UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-21991
Fidelity Rutland Square Trust II
(Exact name of registrant as specified in charter)
245 Summer St., Boston, Massachusetts 02210
(Address of principal executive offices) (Zip code)
Christina H. Lee, Secretary
245 Summer St.
Boston, Massachusetts 02210
(Name and address of agent for service)
Registrant's telephone number, including area code:
617-563-7000
Date of fiscal year end: | May 31 |
Date of reporting period: | May 31, 2022 |
Item 1.
Reports to Stockholders
Strategic Advisers® Short Duration Fund
Offered exclusively to certain managed account clients of Strategic Advisers LLC or its affiliates - not available for sale to the general public
May 31, 2022
Contents
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All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2022 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
Note to Shareholders:
Early in 2020, the outbreak and spread of COVID-19 emerged as a public health emergency that had a major influence on financial markets, primarily based on its impact on the global economy and corporate earnings. On March 11, 2020, the World Health Organization declared the COVID-19 outbreak a pandemic, citing sustained risk of further global spread. The pandemic prompted a number of measures to limit the spread of COVID-19, including travel and border restrictions, quarantines, and restrictions on large gatherings. In turn, these resulted in lower consumer activity, diminished demand for a wide range of products and services, disruption in manufacturing and supply chains, and – given the wide variability in outcomes regarding the outbreak – significant market uncertainty and volatility. To help stem the turmoil, the U.S. government took unprecedented action – in concert with the U.S. Federal Reserve and central banks around the world – to help support consumers, businesses, and the broader economy, and to limit disruption to the financial system.
In general, the overall impact of the pandemic lessened in 2021, amid a resilient economy and widespread distribution of three COVID-19 vaccines granted emergency use authorization from the U.S. Food and Drug Administration (FDA) early in the year. Still, the situation remains dynamic, and the extent and duration of its influence on financial markets and the economy is highly uncertain, due in part to a recent spike in cases based on highly contagious variants of the coronavirus.
Extreme events such as the COVID-19 crisis are exogenous shocks that can have significant adverse effects on mutual funds and their investments. Although multiple asset classes may be affected by market disruption, the duration and impact may not be the same for all types of assets. Fidelity is committed to helping you stay informed amid news about COVID-19 and during increased market volatility, and we continue to take extra steps to be responsive to customer needs. We encourage you to visit us online, where we offer ongoing updates, commentary, and analysis on the markets and our funds.
Performance: The Bottom Line
Average annual total return reflects the change in the value of an investment, assuming reinvestment of distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year. The hypothetical investment and the average annual total returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund’s total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.
Average Annual Total Returns
For the periods ended May 31, 2022 | Past 1 year | Past 5 years | Past 10 years |
Strategic Advisers® Short Duration Fund | (1.54)% | 1.38% | 1.21% |
$10,000 Over 10 Years
Let's say hypothetically that $10,000 was invested in Strategic Advisers® Short Duration Fund on May 31, 2012.
The chart shows how the value of your investment would have changed, and also shows how the FTSE 6-Month U.S. Treasury Bill Index performed over the same period.
Period Ending Values | ||
$11,283 | Strategic Advisers® Short Duration Fund | |
$10,709 | FTSE 6-Month U.S. Treasury Bill Index |
Management's Discussion of Fund Performance
Market Recap: U.S. taxable investment-grade bonds posted a notable loss for the 12 months ending May 31, 2022, amid the headwinds of increasingly hawkish U.S. Federal Reserve policy measures to combat inflationary pressures. The Bloomberg U.S. Aggregate Bond index returned -8.22% for the period, including a -5.93% result for the first three months of 2022 — its worst quarter in more than 40 years. Bond yields rose and their prices declined throughout most of the period as the Fed pivoted from an “easy” to a “tight” monetary stance. The central bank kicked off its efforts by ending its purchases of trillions of dollars’ worth of government and mortgage-backed bonds it had made dating back to 2008. Then in early 2022, the Fed began to take more aggressive steps to try to tame rapid and persistent inflation, raising the federal funds target rate by 25 basis points (0.25%) in mid-March, its first policy rate hike since 2018. In April and May, bonds continued to struggle as increasingly elevated inflation readings — which hit an eight-year high — raised concern that the Fed could act even more quickly and more aggressively to curtail inflation. Short-term securities outpaced long-term bonds, and high-quality issues held up better overall than lower-rated bonds. Within the index, corporate bonds returned -10.28% over the trailing 12 months, underperforming the -7.50% result for U.S. Treasuries. Outside the index, U.S. corporate high-yield bonds returned -5.27% and U.S. Treasury Inflation-Protected Securities returned -1.45%, per Bloomberg Barclays.Comments from Lead Portfolio Manager Jonathan Duggan: For the fiscal year ending May 31, 2022, the Fund returned -1.54%, trailing the 0.16% increase in the benchmark FTSE® 6-Month U.S. Treasury Bill Index. The Fund began on a positive note, posting modest gains during the early months of the reporting period. However, short-term yields began to move steadily higher during the fourth quarter of 2021, creating a more challenging investment backdrop. The market environment changed dramatically as 2022 began, with interest rates rising rapidly and credit spreads widening. In anticipation of U.S. Federal Reserve (Fed) policy changes, U.S. Treasury yields surged across the curve, causing the yield curve to flatten materially and invert at multiple points. In particular, the yield on the 2-year U.S. Treasury note spiked from 0.78% at the beginning of 2022 to 2.53% by May 31. Then in mid-March, the Fed approved its first interest-rate hike since December 2018 and signaled an aggressive approach going forward. Within the Fund, sub-adviser T. Rowe Price (-3%), PIMCO Short-Term Fund (-1.5%) and BlackRock Low Duration Fund (-5%) were the primary relative detractors. The sharp rise in short-duration U.S. Treasury yields worked against their performance, as did expanding spreads. Holdings in emerging-markets debt also hampered the results of PIMCO and BlackRock. There were no relative contributors of note the past 12 months. During the period, we added the iShares® Floating Rate Note exchange-trade fund to gain access to bank loans as their coupons adjust higher with rising interest rates. Additionally, we used the market downturn to increase the Fund’s allocations in our U.S. Treasury positions to help boost the portfolio’s yield.The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
Investment Summary (Unaudited)
The information in the following tables is based on the direct investments of the Fund.Top Ten Holdings as of May 31, 2022
(excluding cash equivalents) | % of fund's net assets |
PIMCO Short-Term Fund Institutional Class | 13.2 |
Baird Ultra Short Bond Fund Institutional Class | 6.8 |
JPMorgan Ultra-Short Income ETF | 5.3 |
T. Rowe Price Ultra Short-Term Bond Fund | 5.2 |
PIMCO Enhanced Short Maturity Active ETF | 5.0 |
Metropolitan West Low Duration Bond Fund - Class M | 4.3 |
Fidelity SAI Short-Term Bond Fund | 4.0 |
BlackRock Low Duration Bond Portfolio Investor A Shares | 3.9 |
iShares Short Maturity Bond ETF | 3.9 |
Baird Short-Term Bond Fund - Institutional Class | 2.9 |
Asset Allocation (% of fund's net assets)
As of May 31, 2022 | ||
Corporate Bonds | 25.1% | |
U.S. Government and U.S. Government Agency Obligations | 3.0% | |
Asset-Backed Securities | 6.1% | |
CMOs and Other Mortgage Related Securities | 3.2% | |
Other Investments | 0.2% | |
Short-Term Funds | 60.8% | |
Short-Term Investments and Net Other Assets (Liabilities) | 1.6% |
Asset allocations of funds in the pie chart reflect the categorizations of assets as defined by Morningstar as of the reporting date.
Schedule of Investments May 31, 2022
Showing Percentage of Net Assets
Nonconvertible Bonds - 25.1% | |||
Principal Amount | Value | ||
COMMUNICATION SERVICES - 0.8% | |||
Diversified Telecommunication Services - 0.3% | |||
AT&T, Inc. 0.9% 3/25/24 | $2,145,000 | $2,067,066 | |
NBN Co. Ltd. 1.45% 5/5/26 (a) | 1,765,000 | 1,603,763 | |
NTT Finance Corp.: | |||
0.373% 3/3/23 (a) | 5,265,000 | 5,179,286 | |
0.583% 3/1/24 (a) | 2,184,000 | 2,090,673 | |
SBA Tower Trust 3.448% 3/15/48 (a) | 880,000 | 878,337 | |
Verizon Communications, Inc.: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Averages Indx + 0.500% 0.9617% 3/22/24 (b)(c) | 2,563,000 | 2,553,133 | |
0.85% 11/20/25 | 710,000 | 654,953 | |
1.45% 3/20/26 | 1,155,000 | 1,073,515 | |
2.625% 8/15/26 | 1,615,000 | 1,555,012 | |
17,655,738 | |||
Entertainment - 0.1% | |||
Take-Two Interactive Software, Inc.: | |||
3.3% 3/28/24 | 955,000 | 953,709 | |
3.55% 4/14/25 | 320,000 | 318,087 | |
The Walt Disney Co.: | |||
1.75% 1/13/26 | 790,000 | 749,099 | |
3% 9/15/22 | 4,273,000 | 4,287,098 | |
6,307,993 | |||
Media - 0.4% | |||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.: | |||
4.464% 7/23/22 | 1,835,000 | 1,835,476 | |
4.908% 7/23/25 | 3,110,000 | 3,175,557 | |
COX Communications, Inc.: | |||
2.95% 6/30/23 (a) | 1,950,000 | 1,949,822 | |
3.15% 8/15/24 (a) | 1,831,000 | 1,816,474 | |
Magallanes, Inc.: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Averages Indx + 1.780% 2.2092% 3/15/24 (a)(b)(c) | 3,122,000 | 3,144,635 | |
3.755% 3/15/27 (a) | 3,060,000 | 2,970,037 | |
RELX Capital, Inc. 3.5% 3/16/23 | 575,000 | 577,173 | |
SES SA 3.6% 4/4/23 (a) | 1,850,000 | 1,851,077 | |
SKY PLC 3.75% 9/16/24 (a) | 3,870,000 | 3,909,230 | |
21,229,481 | |||
Wireless Telecommunication Services - 0.0% | |||
Rogers Communications, Inc. 3.2% 3/15/27 (a) | 1,365,000 | 1,327,268 | |
T-Mobile U.S.A., Inc. 3.5% 4/15/25 | 1,150,000 | 1,141,185 | |
2,468,453 | |||
TOTAL COMMUNICATION SERVICES | 47,661,665 | ||
CONSUMER DISCRETIONARY - 1.6% | |||
Auto Components - 0.0% | |||
Aptiv PLC / Aptiv Corp. 2.396% 2/18/25 | 815,000 | 787,638 | |
Automobiles - 1.3% | |||
American Honda Finance Corp.: | |||
3 month U.S. LIBOR + 0.150% 1.6549% 2/22/23 (b)(c) | 3,342,000 | 3,336,307 | |
0.4% 10/21/22 | 2,775,000 | 2,760,637 | |
BMW U.S. Capital LLC: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Averages Indx + 0.530% 1.026% 4/1/24 (a)(b)(c) | 5,925,000 | 5,909,702 | |
U.S. Secured Overnight Fin. Rate (SOFR) Averages Indx + 0.840% 1.336% 4/1/25 (a)(b)(c) | 7,500,000 | 7,504,342 | |
Daimler Finance North America LLC: | |||
3 month U.S. LIBOR + 0.840% 2.1749% 5/4/23 (a)(b)(c) | 3,240,000 | 3,253,072 | |
1.75% 3/10/23 (a) | 1,800,000 | 1,784,376 | |
General Motors Co.: | |||
4.875% 10/2/23 | 730,000 | 743,860 | |
5.4% 10/2/23 | 1,130,000 | 1,161,757 | |
General Motors Financial Co., Inc.: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.000% 1.1742% 10/15/24 (b)(c) | 4,200,000 | 4,099,491 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.760% 1.1591% 3/8/24 (b)(c) | 4,061,000 | 3,990,521 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 1.200% 1.9851% 11/17/23 (b)(c) | 5,000,000 | 4,950,019 | |
2.9% 2/26/25 | 2,035,000 | 1,978,608 | |
3.25% 1/5/23 | 5,000,000 | 5,013,898 | |
Harley-Davidson Financial Services, Inc. 2.55% 6/9/22 (a) | 375,000 | 375,051 | |
Hyundai Capital Services, Inc. 2.125% 4/24/25 (a) | 380,000 | 362,383 | |
Nissan Motor Acceptance Corp.: | |||
2.6% 9/28/22 (a) | 1,610,000 | 1,604,888 | |
2.65% 7/13/22 (a) | 560,000 | 560,046 | |
3.875% 9/21/23 (a) | 225,000 | 225,512 | |
Nissan Motor Co. Ltd. 3.043% 9/15/23 (a) | 1,800,000 | 1,788,509 | |
Stellantis Finance U.S., Inc. 1.711% 1/29/27 (a) | 675,000 | 600,696 | |
Volkswagen Group of America Finance LLC: | |||
0% 6/7/24 (a)(b) | 8,000,000 | 8,000,000 | |
0.75% 11/23/22 (a) | 10,620,000 | 10,539,362 | |
0.875% 11/22/23 (a) | 590,000 | 570,154 | |
2.7% 9/26/22 (a) | 650,000 | 650,368 | |
3.125% 5/12/23 (a) | 355,000 | 355,433 | |
3.95% 6/6/25 (a) | 760,000 | 759,658 | |
72,878,650 | |||
Distributors - 0.0% | |||
Genuine Parts Co. 1.75% 2/1/25 | 410,000 | 389,296 | |
Hotels, Restaurants & Leisure - 0.1% | |||
Hyatt Hotels Corp. 1.3% 10/1/23 | 565,000 | 551,586 | |
Marriott International, Inc.: | |||
3.125% 2/15/23 | 290,000 | 289,994 | |
3.6% 4/15/24 | 1,750,000 | 1,756,166 | |
4.15% 12/1/23 | 175,000 | 177,279 | |
Starbucks Corp.: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Averages Indx + 0.000% 1.2054% 2/14/24 (b)(c) | 4,193,000 | 4,194,173 | |
2.7% 6/15/22 | 435,000 | 435,187 | |
7,404,385 | |||
Household Durables - 0.0% | |||
Panasonic Holdings Corp. 2.536% 7/19/22 (a) | 785,000 | 784,965 | |
Internet & Direct Marketing Retail - 0.1% | |||
QVC, Inc. 4.375% 3/15/23 | 3,565,000 | 3,531,546 | |
Leisure Products - 0.0% | |||
Brunswick Corp. 0.85% 8/18/24 | 1,190,000 | 1,120,739 | |
Hasbro, Inc. 3% 11/19/24 | 1,915,000 | 1,905,709 | |
3,026,448 | |||
Multiline Retail - 0.0% | |||
Nordstrom, Inc. 2.3% 4/8/24 | 150,000 | 144,000 | |
Specialty Retail - 0.1% | |||
AutoZone, Inc. 3.625% 4/15/25 | 485,000 | 485,371 | |
Lowe's Companies, Inc. 3.35% 4/1/27 | 345,000 | 338,445 | |
O'Reilly Automotive, Inc. 3.8% 9/1/22 | 385,000 | 385,400 | |
Ross Stores, Inc.: | |||
0.875% 4/15/26 | 690,000 | 618,642 | |
4.6% 4/15/25 | 2,310,000 | 2,363,131 | |
Triton Container International Ltd. 0.8% 8/1/23 (a) | 1,350,000 | 1,306,969 | |
5,497,958 | |||
TOTAL CONSUMER DISCRETIONARY | 94,444,886 | ||
CONSUMER STAPLES - 0.7% | |||
Beverages - 0.1% | |||
Anheuser-Busch Companies LLC / Anheuser-Busch InBev Worldwide, Inc. 3.65% 2/1/26 | 495,000 | 495,699 | |
Coca-Cola European Partners PLC 0.8% 5/3/24 (a) | 2,005,000 | 1,909,454 | |
Constellation Brands, Inc. 3.6% 5/9/24 | 965,000 | 972,828 | |
Diageo Capital PLC 1.375% 9/29/25 | 680,000 | 638,138 | |
4,016,119 | |||
Food & Staples Retailing - 0.0% | |||
7-Eleven, Inc.: | |||
0.625% 2/10/23 (a) | 1,072,000 | 1,057,094 | |
0.8% 2/10/24 (a) | 1,448,000 | 1,385,543 | |
2,442,637 | |||
Food Products - 0.1% | |||
Bunge Ltd. Finance Corp. 3% 9/25/22 | 3,375,000 | 3,383,130 | |
Cargill, Inc. 3.5% 4/22/25 (a) | 740,000 | 740,205 | |
JDE Peet's BV 0.8% 9/24/24 (a) | 515,000 | 482,335 | |
Mondelez International, Inc.: | |||
2.125% 3/17/24 | 815,000 | 802,433 | |
2.625% 3/17/27 | 815,000 | 776,821 | |
6,184,924 | |||
Tobacco - 0.5% | |||
BAT International Finance PLC: | |||
1.668% 3/25/26 | 885,000 | 799,084 | |
4.448% 3/16/28 | 1,985,000 | 1,930,707 | |
Imperial Tobacco Finance PLC: | |||
3.125% 7/26/24 (a) | 1,865,000 | 1,825,189 | |
3.5% 2/11/23 (a) | 14,424,000 | 14,388,506 | |
4.25% 7/21/25 (a) | 235,000 | 233,255 | |
Philip Morris International, Inc. 1.125% 5/1/23 | 8,991,000 | 8,878,862 | |
28,055,603 | |||
TOTAL CONSUMER STAPLES | 40,699,283 | ||
ENERGY - 1.0% | |||
Energy Equipment & Services - 0.1% | |||
Baker Hughes Co. 1.231% 12/15/23 | 1,215,000 | 1,186,214 | |
Schlumberger Finance Canada Ltd. 1.4% 9/17/25 | 290,000 | 273,658 | |
Schlumberger Holdings Corp.: | |||
3.75% 5/1/24 (a) | 1,515,000 | 1,529,416 | |
4% 12/21/25 (a) | 375,000 | 378,565 | |
3,367,853 | |||
Oil, Gas & Consumable Fuels - 0.9% | |||
Aker BP ASA 3% 1/15/25 (a) | 995,000 | 974,714 | |
Canadian Natural Resources Ltd. 2.05% 7/15/25 | 1,430,000 | 1,356,509 | |
Cheniere Corpus Christi Holdings LLC: | |||
5.875% 3/31/25 | 1,470,000 | 1,529,175 | |
7% 6/30/24 | 2,000,000 | 2,099,398 | |
ConocoPhillips Co. 2.125% 3/8/24 | 10,000,000 | 9,937,009 | |
Devon Energy Corp. 8.25% 8/1/23 | 525,000 | 551,897 | |
Enbridge, Inc.: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Averages Indx + 0.630% 1.4154% 2/16/24 (b)(c) | 4,149,000 | 4,131,012 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.400% 1.1851% 2/17/23 (b)(c) | 1,892,000 | 1,887,913 | |
0.55% 10/4/23 | 5,000,000 | 4,837,814 | |
2.5% 1/15/25 | 1,115,000 | 1,082,020 | |
2.5% 2/14/25 | 615,000 | 597,696 | |
4% 10/1/23 | 1,605,000 | 1,622,231 | |
Energy Transfer LP: | |||
2.9% 5/15/25 | 255,000 | 248,448 | |
3.45% 1/15/23 | 110,000 | 110,299 | |
4.2% 9/15/23 | 280,000 | 283,391 | |
4.25% 3/15/23 | 1,795,000 | 1,805,335 | |
4.25% 4/1/24 | 70,000 | 70,475 | |
4.9% 2/1/24 | 620,000 | 628,913 | |
5.875% 1/15/24 | 2,375,000 | 2,445,690 | |
Eni SpA 4% 9/12/23 (a) | 1,610,000 | 1,625,152 | |
EOG Resources, Inc. 2.625% 3/15/23 | 291,000 | 290,873 | |
Gray Oak Pipeline LLC: | |||
2% 9/15/23 (a) | 605,000 | 593,381 | |
2.6% 10/15/25 (a) | 385,000 | 364,291 | |
Kinder Morgan Energy Partners LP 3.95% 9/1/22 | 135,000 | 135,000 | |
Pioneer Natural Resources Co. 0.55% 5/15/23 | 3,792,000 | 3,708,696 | |
Plains All American Pipeline LP/PAA Finance Corp. 2.85% 1/31/23 | 1,275,000 | 1,271,527 | |
Sabine Pass Liquefaction LLC: | |||
5.625% 4/15/23 (b) | 2,530,000 | 2,572,233 | |
5.625% 3/1/25 | 510,000 | 529,880 | |
5.75% 5/15/24 | 665,000 | 686,962 | |
Suncor Energy, Inc. 2.8% 5/15/23 | 975,000 | 973,719 | |
The Williams Companies, Inc.: | |||
3.7% 1/15/23 | 2,205,000 | 2,215,103 | |
4.3% 3/4/24 | 305,000 | 309,532 | |
Total Capital International SA 2.434% 1/10/25 | 95,000 | 93,301 | |
51,569,589 | |||
TOTAL ENERGY | 54,937,442 | ||
FINANCIALS - 15.1% | |||
Banks - 8.1% | |||
AIB Group PLC 4.75% 10/12/23 (a) | 1,115,000 | 1,123,030 | |
Banco Bilbao Vizcaya Argentaria SA 0.875% 9/18/23 | 2,000,000 | 1,939,490 | |
Banco del Estado de Chile 2.704% 1/9/25 (a) | 665,000 | 636,654 | |
Banco Santander Mexico SA 4.125% 11/9/22 (Reg. S) | 1,750,000 | 1,753,150 | |
Banco Santander SA: | |||
0.701% 6/30/24 (b) | 200,000 | 194,140 | |
3.496% 3/24/25 | 1,400,000 | 1,390,742 | |
Bank of America Corp.: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.660% 1.4275% 2/4/25 (b)(c) | 10,000,000 | 9,921,465 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.690% 1.3146% 4/22/25 (b)(c) | 10,000,000 | 9,920,808 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 1.100% 1.7738% 4/25/25 (b)(c) | 10,000,000 | 10,024,900 | |
0.523% 6/14/24 (b) | 1,210,000 | 1,175,286 | |
0.81% 10/24/24 (b) | 755,000 | 728,134 | |
0.976% 4/22/25 (b) | 1,050,000 | 998,439 | |
1.734% 7/22/27 (b) | 765,000 | 696,531 | |
1.843% 2/4/25 (b) | 850,000 | 827,436 | |
3.384% 4/2/26 (b) | 1,145,000 | 1,128,109 | |
3.841% 4/25/25 (b) | 815,000 | 818,503 | |
Bank of Ireland Group PLC 4.5% 11/25/23 (a) | 2,655,000 | 2,677,444 | |
Bank of Montreal: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Averages Indx + 0.260% 0.6942% 9/15/23 (b)(c) | 10,000,000 | 9,936,783 | |
U.S. Secured Overnight Fin. Rate (SOFR) Averages Indx + 0.270% 0.8188% 4/14/23 (b)(c) | 8,000,000 | 7,973,547 | |
3.7% 6/7/25 | 1,490,000 | 1,489,657 | |
Bank of Nova Scotia: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Averages Indx + 0.440% 0.9992% 4/15/24 (b)(c) | 10,000,000 | 9,944,300 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.260% 0.6892% 9/15/23 (b)(c) | 5,000,000 | 4,963,573 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.380% 1.0475% 7/31/24 (b)(c) | 5,000,000 | 4,950,571 | |
1.45% 1/10/25 | 1,720,000 | 1,634,142 | |
Banque Federative du Credit Mutuel SA: | |||
0.65% 2/27/24 (a) | 860,000 | 822,032 | |
0.998% 2/4/25 (a) | 1,145,000 | 1,063,315 | |
2.125% 11/21/22 (a) | 4,457,000 | 4,455,819 | |
Barclays PLC: | |||
1.007% 12/10/24 (b) | 1,100,000 | 1,054,213 | |
4.338% 5/16/24 (b) | 660,000 | 665,298 | |
BNP Paribas SA: | |||
2.591% 1/20/28 (a)(b) | 1,150,000 | 1,056,002 | |
3.5% 3/1/23 (a) | 10,000,000 | 10,049,390 | |
BPCE SA: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.570% 1.1388% 1/14/25 (a)(b)(c) | 3,533,000 | 3,485,126 | |
5.7% 10/22/23 (a) | 3,145,000 | 3,218,442 | |
Canadian Imperial Bank of Commerce: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.340% 0.8014% 6/22/23 (b)(c) | 5,885,000 | 5,867,397 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.940% 1.5587% 4/7/25 (b)(c) | 5,000,000 | 4,992,814 | |
0.95% 6/23/23 | 7,200,000 | 7,053,978 | |
Citigroup, Inc.: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.690% 1.3988% 1/25/26 (b)(c) | 10,000,000 | 9,789,551 | |
0.981% 5/1/25 (b) | 1,880,000 | 1,786,029 | |
2.7% 10/27/22 | 15,130,000 | 15,168,658 | |
4.14% 5/24/25 (b) | 1,070,000 | 1,078,945 | |
Credit Agricole SA 3 month U.S. LIBOR + 1.020% 2.204% 4/24/23 (a)(b)(c) | 675,000 | 677,777 | |
Credit Suisse Group Funding Guernsey Ltd. 3.8% 9/15/22 | 10,000,000 | 10,041,885 | |
Danske Bank A/S: | |||
1.226% 6/22/24 (a) | 1,610,000 | 1,527,617 | |
3.773% 3/28/25 (a)(b) | 800,000 | 792,875 | |
5.375% 1/12/24 (a) | 775,000 | 793,371 | |
Discover Bank 4.2% 8/8/23 | 1,075,000 | 1,086,744 | |
DNB Bank ASA U.S. Secured Overnight Fin. Rate (SOFR) Averages Indx + 0.830% 1.3988% 3/28/25 (a)(b)(c) | 10,000,000 | 9,994,000 | |
Federation des caisses Desjardin U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.430% 1.2101% 5/21/24 (a)(b)(c) | 5,316,000 | 5,272,080 | |
Fifth Third Bancorp 1.625% 5/5/23 | 10,625,000 | 10,548,820 | |
HSBC Holdings PLC: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.580% 1.3623% 11/22/24 (b)(c) | 10,000,000 | 9,866,186 | |
0.976% 5/24/25 (b) | 245,000 | 231,204 | |
1.162% 11/22/24 (b) | 750,000 | 722,966 | |
1.645% 4/18/26 (b) | 850,000 | 791,257 | |
2.099% 6/4/26 (b) | 645,000 | 606,122 | |
3.803% 3/11/25 (b) | 425,000 | 424,037 | |
4.18% 12/9/25 (b) | 645,000 | 645,000 | |
Huntington National Bank U.S. Secured Overnight Fin. Rate (SOFR) Averages Indx + 1.190% 1.9717% 5/16/25 (b)(c) | 8,000,000 | 8,008,720 | |
Intesa Sanpaolo SpA: | |||
3.125% 7/14/22 (a) | 7,500,000 | 7,508,027 | |
3.375% 1/12/23 (a) | 7,435,000 | 7,426,186 | |
JPMorgan Chase & Co.: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.530% 1.315% 6/1/25 (b)(c) | 10,000,000 | 9,839,520 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.580% 1.0238% 3/16/24 (b)(c) | 5,000,000 | 4,978,483 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.880% 1.4845% 4/22/27 (b)(c) | 747,000 | 728,967 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 1.320% 1.9366% 4/26/26 (b)(c) | 5,000,000 | 5,002,350 | |
0.824% 6/1/25 (b) | 965,000 | 914,922 | |
2.083% 4/22/26 (b) | 1,870,000 | 1,777,967 | |
4.08% 4/26/26(b) | 1,710,000 | 1,721,265 | |
KeyBank NA: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.320% 1.1% 6/14/24 (b)(c) | 10,000,000 | 9,890,292 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.340% 1.12% 1/3/24 (b)(c) | 6,000,000 | 5,960,888 | |
KeyCorp 3.878% 5/23/25 (b) | 445,000 | 449,040 | |
Lloyds Banking Group PLC: | |||
0.695% 5/11/24 (b) | 2,698,000 | 2,628,588 | |
1.326% 6/15/23 (b) | 1,803,000 | 1,802,885 | |
4.5% 11/4/24 | 480,000 | 484,706 | |
Mitsubishi UFJ Financial Group, Inc.: | |||
3 month U.S. LIBOR + 0.740% 1.2443% 3/2/23 (b)(c) | 4,624,000 | 4,636,197 | |
0.953% 7/19/25 (b) | 1,660,000 | 1,565,147 | |
2.623% 7/18/22 | 10,441,000 | 10,453,498 | |
Mizuho Financial Group Cayman 2 Ltd. 4.2% 7/18/22 (Reg. S) | 1,625,000 | 1,627,444 | |
Mizuho Financial Group, Inc.: | |||
3 month U.S. LIBOR + 0.850% 1.6529% 9/13/23 (b)(c) | 10,000,000 | 10,010,110 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.960% 1.7467% 5/22/26 (b)(c) | 5,000,000 | 4,965,175 | |
Morgan Stanley Domestic Hold 2.95% 8/24/22 | 8,277,000 | 8,288,640 | |
National Bank of Canada 0.9% 8/15/23 (b) | 7,000,000 | 6,972,729 | |
NatWest Group PLC 3.875% 9/12/23 | 1,085,000 | 1,091,345 | |
NatWest Markets PLC: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.530% 0.7453% 8/12/24 (a)(b)(c) | 5,905,000 | 5,850,774 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 1.450% 1.9117% 3/22/25 (a)(b)(c) | 4,248,000 | 4,259,583 | |
0.8% 8/12/24 (a) | 370,000 | 347,448 | |
2.375% 5/21/23 (a) | 1,525,000 | 1,511,513 | |
3.479% 3/22/25 (a) | 1,210,000 | 1,200,357 | |
3.625% 9/29/22 (a) | 5,000,000 | 5,023,153 | |
QNB Finance Ltd.: | |||
2.625% 5/12/25 (Reg. S) | 500,000 | 484,375 | |
3.5% 3/28/24 (Reg. S) | 1,000,000 | 998,625 | |
Rabobank Nederland 3.95% 11/9/22 | 10,000,000 | 10,072,182 | |
Royal Bank of Canada U.S. Secured Overnight Fin. Rate (SOFR) Averages Indx + 0.450% 1.0666% 10/26/23 (b)(c) | 15,000,000 | 14,976,702 | |
Santander Holdings U.S.A., Inc. 2.49% 1/6/28 (b) | 760,000 | 690,101 | |
Societe Generale: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 1.050% 1.7437% 1/21/26 (a)(b)(c) | 10,000,000 | 9,754,307 | |
2.625% 10/16/24 (a) | 365,000 | 355,420 | |
Standard Chartered PLC: | |||
0.991% 1/12/25 (a)(b) | 375,000 | 357,864 | |
1.214% 3/23/25 (a)(b) | 200,000 | 190,502 | |
1.319% 10/14/23 (a)(b) | 200,000 | 198,469 | |
1.822% 11/23/25 (a)(b) | 475,000 | 446,681 | |
3.885% 3/15/24 (a)(b) | 365,000 | 365,659 | |
3.95% 1/11/23 (a) | 1,840,000 | 1,846,058 | |
3.971% 3/30/26 (a)(b) | 680,000 | 671,713 | |
Svenska Handelsbanken AB: | |||
0.55% 6/11/24 (a) | 720,000 | 682,752 | |
1.418% 6/11/27 (a)(b) | 695,000 | 630,055 | |
Swedbank AB: | |||
0.6% 9/25/23 (a) | 500,000 | 484,539 | |
1.3% 6/2/23 (a) | 1,150,000 | 1,132,348 | |
Synovus Financial Corp. 3.125% 11/1/22 | 5,000,000 | 5,005,471 | |
The Toronto-Dominion Bank: | |||
3 month U.S. LIBOR + 0.530% 1.053% 12/1/22 (b)(c) | 5,000,000 | 5,009,236 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.220% 0.5858% 6/2/23 (b)(c) | 10,000,000 | 9,964,802 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.480% 1.1255% 1/27/23 (b)(c) | 5,000,000 | 4,999,999 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.910% 1.3257% 3/8/24 (b)(c) | 5,948,000 | 5,962,493 | |
0.25% 1/6/23 | 4,000,000 | 3,954,541 | |
0.55% 3/4/24 | 1,790,000 | 1,713,301 | |
0.7% 9/10/24 | 1,430,000 | 1,356,451 | |
Truist Bank U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.200% 0.7542% 1/17/24 (b)(c) | 10,000,000 | 9,910,990 | |
Truist Financial Corp. U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.400% 0.8114% 6/9/25 (b)(c) | 10,710,000 | 10,531,464 | |
Wells Fargo & Co.: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 1.320% 1.9277% 4/25/26 (b)(c) | 6,000,000 | 5,999,580 | |
1.654% 6/2/24 (b) | 5,935,000 | 5,856,296 | |
2.188% 4/30/26 (b) | 840,000 | 798,850 | |
3.526% 3/24/28 (b) | 735,000 | 714,564 | |
3.908% 4/25/26 (b) | 1,210,000 | 1,209,544 | |
466,727,637 | |||
Capital Markets - 2.9% | |||
Charles Schwab Corp. 2.45% 3/3/27 | 2,155,000 | 2,049,762 | |
Credit Suisse AG: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Averages Indx + 0.380% 1.1644% 8/9/23 (b)(c) | 5,000,000 | 4,980,225 | |
U.S. Secured Overnight Fin. Rate (SOFR) Averages Indx + 1.260% 2.0409% 2/21/25 (b)(c) | 5,000,000 | 5,004,010 | |
0.495% 2/2/24 | 810,000 | 773,024 | |
1% 5/5/23 | 6,590,000 | 6,469,667 | |
Credit Suisse Group AG 2.997% 12/14/23 (a)(b) | 250,000 | 249,302 | |
Deutsche Bank AG New York Branch: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.500% 1.2844% 11/8/23 (b)(c) | 10,000,000 | 9,936,746 | |
2.222% 9/18/24 (b) | 10,000,000 | 9,746,228 | |
3.3% 11/16/22 | 7,072,000 | 7,078,522 | |
Goldman Sachs Group, Inc.: | |||
3 month U.S. LIBOR + 0.750% 2.2549% 2/23/23 (b)(c) | 5,000,000 | 4,991,290 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.540% 1.3251% 11/17/23 (b)(c) | 10,000,000 | 9,928,643 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.700% 1.3077% 1/24/25 (b)(c) | 10,000,000 | 9,881,839 | |
0.523% 3/8/23 | 3,300,000 | 3,248,833 | |
0.657% 9/10/24 (b) | 725,000 | 699,633 | |
0.673% 3/8/24 (b) | 1,180,000 | 1,156,281 | |
0.925% 10/21/24 (b) | 555,000 | 536,009 | |
1.757% 1/24/25 (b) | 1,115,000 | 1,084,306 | |
2.905% 7/24/23 (b) | 10,000,000 | 10,001,406 | |
2.908% 6/5/23 (b) | 11,000,000 | 11,000,951 | |
3.5% 4/1/25 | 1,005,000 | 1,003,649 | |
Morgan Stanley: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.620% 1.2776% 1/24/25 (b)(c) | 8,000,000 | 7,902,008 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 1.160% 1.7729% 4/17/25 (b)(c) | 5,000,000 | 5,001,550 | |
0.529% 1/25/24 (b) | 3,994,000 | 3,926,453 | |
0.56% 11/10/23 (b) | 6,170,000 | 6,106,062 | |
0.731% 4/5/24 (b) | 985,000 | 964,720 | |
1.164% 10/21/25 (b) | 1,035,000 | 974,086 | |
2.63% 2/18/26 (b) | 1,070,000 | 1,036,222 | |
3.62% 4/17/25 (b) | 1,280,000 | 1,281,245 | |
3.737% 4/24/24 (b) | 5,000,000 | 5,021,530 | |
4.1% 5/22/23 | 275,000 | 278,563 | |
4.875% 11/1/22 | 8,160,000 | 8,253,984 | |
NASDAQ, Inc. 0.445% 12/21/22 | 2,417,000 | 2,386,116 | |
S&P Global, Inc. 2.45% 3/1/27 (a) | 2,215,000 | 2,101,851 | |
UBS AG London Branch: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.360% 1.1444% 2/9/24 (a)(b)(c) | 10,000,000 | 9,956,120 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.470% 1.1206% 1/13/25 (a)(b)(c) | 5,000,000 | 4,943,420 | |
UBS Group AG: | |||
1.008% 7/30/24 (a)(b) | 7,118,000 | 6,924,187 | |
1.494% 8/10/27 (a)(b) | 375,000 | 334,376 | |
4.488% 5/12/26 (a)(b) | 370,000 | 373,676 | |
167,586,495 | |||
Consumer Finance - 1.8% | |||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.680% 1.1599% 9/29/23 (b)(c) | 9,823,000 | 9,690,550 | |
1.65% 10/29/24 | 1,690,000 | 1,584,302 | |
4.125% 7/3/23 | 1,025,000 | 1,024,176 | |
4.5% 9/15/23 | 1,450,000 | 1,455,001 | |
4.875% 1/16/24 | 850,000 | 856,073 | |
American Express Co.: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Averages Indx + 0.720% 1.4118% 5/3/24 (b)(c) | 5,517,000 | 5,516,044 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.930% 1.3213% 3/4/25 (b)(c) | 8,000,000 | 8,041,845 | |
2.25% 3/4/25 | 1,925,000 | 1,873,164 | |
2.65% 12/2/22 | 9,500,000 | 9,524,563 | |
3.375% 5/3/24 | 825,000 | 828,084 | |
Capital One Financial Corp.: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 1.350% 2.1354% 5/9/25 (b)(c) | 8,000,000 | 8,004,560 | |
1.343% 12/6/24 (b) | 5,000,000 | 4,825,566 | |
2.636% 3/3/26 (b) | 1,150,000 | 1,108,566 | |
3.2% 1/30/23 | 8,016,000 | 8,059,738 | |
3.5% 6/15/23 | 555,000 | 557,868 | |
3.9% 1/29/24 | 505,000 | 510,104 | |
Discover Financial Services 3.85% 11/21/22 | 3,500,000 | 3,521,294 | |
Hyundai Capital America: | |||
0.8% 1/8/24 (a) | 910,000 | 870,209 | |
0.875% 6/14/24 (a) | 1,035,000 | 977,933 | |
1% 9/17/24 (a) | 445,000 | 418,178 | |
2.375% 2/10/23 (a) | 1,925,000 | 1,911,960 | |
2.85% 11/1/22 (a) | 511,000 | 510,534 | |
3% 6/20/22 (a) | 1,060,000 | 1,060,255 | |
LeasePlan Corp. NV 2.875% 10/24/24 (a) | 1,000,000 | 968,884 | |
Synchrony Financial: | |||
2.85% 7/25/22 | 3,758,000 | 3,759,268 | |
4.25% 8/15/24 | 1,960,000 | 1,963,243 | |
Toyota Motor Credit Corp.: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.300% 1.08% 6/13/22 (b)(c) | 5,450,000 | 5,449,820 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.350% 1.13% 6/13/23 (b)(c) | 5,000,000 | 4,992,214 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.620% 1.1413% 3/22/24 (b)(c) | 5,000,000 | 4,999,598 | |
0.45% 7/22/22 | 7,207,000 | 7,195,349 | |
3.05% 3/22/27 | 640,000 | 625,100 | |
102,684,043 | |||
Diversified Financial Services - 0.5% | |||
Athene Global Funding: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Averages Indx + 0.700% 1.4801% 5/24/24 (a)(b)(c) | 8,000,000 | 7,767,139 | |
0.95% 1/8/24 (a) | 3,469,000 | 3,316,462 | |
1.716% 1/7/25 (a) | 1,905,000 | 1,792,971 | |
2.514% 3/8/24 (a) | 2,290,000 | 2,237,713 | |
GA Global Funding Trust 1.25% 12/8/23 (a) | 5,000,000 | 4,827,866 | |
Jackson Financial, Inc. 1.125% 11/22/23 (a) | 5,631,000 | 5,434,189 | |
LSEGA Financing PLC 0.65% 4/6/24 (a) | 1,355,000 | 1,289,427 | |
Park Aerospace Holdings Ltd.: | |||
4.5% 3/15/23 (a) | 660,000 | 660,335 | |
5.25% 8/15/22 (a) | 880,000 | 881,862 | |
28,207,964 | |||
Insurance - 1.8% | |||
ACE INA Holdings, Inc. 2.875% 11/3/22 | 2,500,000 | 2,507,481 | |
American International Group, Inc. 2.5% 6/30/25 | 1,000,000 | 965,244 | |
Aon Corp. 2.2% 11/15/22 | 1,592,000 | 1,590,800 | |
Brighthouse Financial Global Funding: | |||
0.6% 6/28/23 (a) | 845,000 | 823,541 | |
1% 4/12/24 (a) | 1,105,000 | 1,055,719 | |
CNO Global Funding: | |||
1.65% 1/6/25 (a) | 1,300,000 | 1,243,493 | |
1.75% 10/7/26 (a) | 1,360,000 | 1,232,045 | |
Equitable Financial Life Global Funding: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.390% 0.9033% 4/6/23 (a)(b)(c) | 10,000,000 | 9,982,047 | |
0.5% 4/6/23 (a) | 2,010,000 | 1,971,872 | |
0.5% 11/17/23 (a) | 5,000,000 | 4,815,820 | |
1.1% 11/12/24 (a) | 1,378,000 | 1,301,680 | |
Health Care Service Corp. 1.5% 6/1/25 (a) | 1,800,000 | 1,694,457 | |
Jackson National Life Global Funding 1.75% 1/12/25 (a) | 1,145,000 | 1,090,461 | |
Lincoln National Corp. 4% 9/1/23 | 270,000 | 273,546 | |
MassMutual Global Funding II 0.85% 6/9/23 (a) | 10,000,000 | 9,798,275 | |
Metropolitan Life Global Funding I: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.570% 1.1138% 1/13/23 (a)(b)(c) | 6,940,000 | 6,942,564 | |
0.9% 6/8/23 (a) | 4,918,000 | 4,829,849 | |
Metropolitan Tower Global Funding: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.550% 1.1042% 1/17/23 (a)(b)(c) | 5,000,000 | 5,001,640 | |
0.55% 7/13/22 (a) | 6,000,000 | 5,991,120 | |
New York Life Global Funding: | |||
3 month U.S. LIBOR + 0.280% 1.2689% 1/10/23 (a)(b)(c) | 6,945,000 | 6,942,995 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.220% 0.8993% 2/2/23 (a)(b)(c) | 10,000,000 | 9,975,800 | |
Northwestern Mutual Global Funding U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.330% 0.8038% 3/25/24 (a)(b)(c) | 4,063,000 | 4,041,528 | |
Pacific Life Global Funding II U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.380% 0.9194% 4/12/24 (a)(b)(c) | 10,000,000 | 9,944,068 | |
Principal Life Global Funding II: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.450% 0.98% 4/12/24 (a)(b)(c) | 1,763,000 | 1,752,207 | |
0.75% 4/12/24 (a) | 930,000 | 886,120 | |
Protective Life Global Funding: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.980% 1.4478% 3/28/25 (a)(b)(c) | 7,500,000 | 7,527,994 | |
3.218% 3/28/25 (a) | 715,000 | 707,290 | |
SunAmerica, Inc. 3.5% 4/4/25 (a) | 900,000 | 891,558 | |
Trinity Acquisition PLC 4.625% 8/15/23 | 1,054,000 | 1,069,620 | |
106,850,834 | |||
Thrifts & Mortgage Finance - 0.0% | |||
Nationwide Building Society 3.766% 3/8/24 (a)(b) | 500,000 | 500,689 | |
TOTAL FINANCIALS | 872,557,662 | ||
HEALTH CARE - 1.7% | |||
Biotechnology - 0.4% | |||
AbbVie, Inc.: | |||
3 month U.S. LIBOR + 0.650% 2.1549% 11/21/22 (b)(c) | 7,100,000 | 7,104,431 | |
2.6% 11/21/24 | 3,500,000 | 3,448,506 | |
2.95% 11/21/26 | 2,215,000 | 2,152,877 | |
3.2% 11/6/22 | 170,000 | 170,487 | |
3.2% 5/14/26 | 175,000 | 172,271 | |
3.25% 10/1/22 | 5,850,000 | 5,855,848 | |
Csl Uk Holdings Ltd. 3.85% 4/27/27 (a) | 395,000 | 395,653 | |
Gilead Sciences, Inc. 0.75% 9/29/23 | 1,553,000 | 1,510,940 | |
20,811,013 | |||
Health Care Equipment & Supplies - 0.0% | |||
Baxter International, Inc. 0.868% 12/1/23 (a) | 1,460,000 | 1,409,573 | |
Becton, Dickinson & Co.: | |||
3.363% 6/6/24 | 966,000 | 968,856 | |
3.734% 12/15/24 | 200,000 | 201,591 | |
Stryker Corp. 0.6% 12/1/23 | 325,000 | 313,796 | |
2,893,816 | |||
Health Care Providers & Services - 0.5% | |||
Aetna, Inc. 2.8% 6/15/23 | 885,000 | 886,614 | |
AmerisourceBergen Corp. 0.737% 3/15/23 | 1,855,000 | 1,829,222 | |
Anthem, Inc.: | |||
0.45% 3/15/23 | 4,094,000 | 4,016,001 | |
2.375% 1/15/25 | 410,000 | 401,853 | |
Cardinal Health, Inc.: | |||
3.079% 6/15/24 | 695,000 | 691,527 | |
3.2% 3/15/23 | 875,000 | 879,515 | |
3.5% 11/15/24 | 1,180,000 | 1,184,502 | |
Cigna Corp.: | |||
0.613% 3/15/24 | 6,302,000 | 6,030,321 | |
3% 7/15/23 | 715,000 | 716,511 | |
3.75% 7/15/23 | 401,000 | 405,018 | |
CommonSpirit Health 1.547% 10/1/25 | 670,000 | 621,565 | |
CVS Health Corp.: | |||
2.625% 8/15/24 | 335,000 | 331,412 | |
2.875% 6/1/26 | 475,000 | 460,534 | |
3% 8/15/26 | 415,000 | 405,111 | |
HCA Holdings, Inc. 3.125% 3/15/27 (a) | 1,140,000 | 1,085,354 | |
Humana, Inc.: | |||
0.65% 8/3/23 | 4,706,000 | 4,581,013 | |
1.35% 2/3/27 | 120,000 | 106,781 | |
2.9% 12/15/22 | 160,000 | 160,380 | |
3.15% 12/1/22 | 315,000 | 316,344 | |
3.85% 10/1/24 | 1,045,000 | 1,050,597 | |
4.5% 4/1/25 | 1,205,000 | 1,234,698 | |
PeaceHealth Obligated Group 1.375% 11/15/25 | 190,000 | 175,798 | |
UnitedHealth Group, Inc.: | |||
3.7% 5/15/27 | 700,000 | 707,053 | |
3.75% 7/15/25 | 1,020,000 | 1,038,242 | |
29,315,966 | |||
Life Sciences Tools & Services - 0.2% | |||
PerkinElmer, Inc.: | |||
0.55% 9/15/23 | 10,675,000 | 10,340,096 | |
0.85% 9/15/24 | 1,290,000 | 1,212,164 | |
Thermo Fisher Scientific, Inc. U.S. Secured Overnight Fin. Rate (SOFR) Averages Indx + 0.530% 1.0842% 10/18/24 (b)(c) | 2,411,000 | 2,390,062 | |
13,942,322 | |||
Pharmaceuticals - 0.6% | |||
AstraZeneca Finance LLC 1.2% 5/28/26 | 1,390,000 | 1,275,863 | |
Bayer U.S. Finance II LLC 3.875% 12/15/23 (a) | 750,000 | 756,056 | |
Bristol-Myers Squibb Co. 3.25% 2/20/23 | 178,000 | 179,958 | |
GSK Consumer Healthcare Capital U.S. LLC U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.890% 1.4352% 3/24/24 (a)(b)(c) | 3,555,000 | 3,556,458 | |
Perrigo Finance PLC 3.9% 12/15/24 | 2,790,000 | 2,772,972 | |
Roche Holdings, Inc. U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.330% 0.781% 9/11/23 (a)(b)(c) | 10,000,000 | 10,003,610 | |
Royalty Pharma PLC 0.75% 9/2/23 | 870,000 | 844,623 | |
Shire Acquisitions Investments Ireland DAC 2.875% 9/23/23 | 728,000 | 725,536 | |
Viatris, Inc.: | |||
1.125% 6/22/22 | 13,114,000 | 13,110,841 | |
1.65% 6/22/25 | 445,000 | 410,304 | |
33,636,221 | |||
TOTAL HEALTH CARE | 100,599,338 | ||
INDUSTRIALS - 1.3% | |||
Aerospace & Defense - 0.1% | |||
DAE Funding LLC 1.55% 8/1/24 (a) | 465,000 | 433,031 | |
The Boeing Co. 1.167% 2/4/23 | 2,790,000 | 2,752,397 | |
3,185,428 | |||
Airlines - 0.0% | |||
American Airlines 2017-2 Class B Pass Through Trust equipment trust certificate 3.7% 4/15/27 | 464,549 | 432,196 | |
United Airlines 2019-2 Class B Pass Through Trust equipment trust certificate 3.5% 11/1/29 | 317,908 | 284,882 | |
717,078 | |||
Building Products - 0.0% | |||
Carrier Global Corp. 2.242% 2/15/25 | 259,000 | 248,880 | |
Commercial Services & Supplies - 0.1% | |||
HPHT Finance 19 Ltd. 2.875% 11/5/24 (Reg. S) | 400,000 | 394,325 | |
Republic Services, Inc. 2.5% 8/15/24 | 880,000 | 865,405 | |
Waste Management, Inc. 0.75% 11/15/25 | 946,000 | 873,325 | |
2,133,055 | |||
Industrial Conglomerates - 0.3% | |||
Honeywell International, Inc. 3 month U.S. LIBOR + 0.370% 1.7407% 8/8/22 (b)(c) | 9,078,000 | 9,079,757 | |
Siemens Financieringsmaatschappij NV U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.430% 0.8501% 3/11/24 (a)(b)(c) | 10,290,000 | 10,282,468 | |
19,362,225 | |||
Machinery - 0.4% | |||
Caterpillar Financial Services Corp.: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.150% 0.9351% 11/17/22 (b)(c) | 5,000,000 | 4,995,350 | |
0.25% 3/1/23 | 10,000,000 | 9,843,533 | |
Daimler Trucks Finance North America LLC: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.500% 0.9869% 6/14/23 (a)(b)(c) | 8,000,000 | 7,979,303 | |
1.625% 12/13/24 (a) | 1,065,000 | 1,015,672 | |
Otis Worldwide Corp. 2.056% 4/5/25 | 1,000,000 | 959,342 | |
24,793,200 | |||
Professional Services - 0.0% | |||
Equifax, Inc. 3.95% 6/15/23 | 1,090,000 | 1,099,650 | |
Road & Rail - 0.2% | |||
Canadian Pacific Railway Co.: | |||
1.35% 12/2/24 | 7,739,000 | 7,356,788 | |
1.75% 12/2/26 | 580,000 | 534,147 | |
Kansas City Southern/Old 3% 5/15/23 | 1,030,000 | 1,031,856 | |
Penske Truck Leasing Co. LP: | |||
2.7% 3/14/23 (a) | 1,751,000 | 1,746,565 | |
4.25% 1/17/23 (a) | 285,000 | 287,252 | |
SMBC Aviation Capital Finance: | |||
3.55% 4/15/24 (a) | 815,000 | 803,830 | |
4.125% 7/15/23 (a) | 900,000 | 899,267 | |
12,659,705 | |||
Trading Companies & Distributors - 0.1% | |||
Air Lease Corp. 2.25% 1/15/23 | 3,810,000 | 3,781,540 | |
GATX Corp.: | |||
3.9% 3/30/23 | 820,000 | 825,674 | |
4.35% 2/15/24 | 965,000 | 979,105 | |
5,586,319 | |||
Transportation Infrastructure - 0.1% | |||
Avolon Holdings Funding Ltd.: | |||
2.125% 2/21/26 (a) | 1,035,000 | 924,448 | |
2.875% 2/15/25 (a) | 980,000 | 921,491 | |
3.95% 7/1/24 (a) | 265,000 | 259,051 | |
HPHT Finance 17 Ltd. 2.75% 9/11/22 (Reg. S) | 1,650,000 | 1,649,274 | |
Sydney Airport Finance Co. Property Ltd. 3.9% 3/22/23 (a) | 1,133,000 | 1,139,747 | |
4,894,011 | |||
TOTAL INDUSTRIALS | 74,679,551 | ||
INFORMATION TECHNOLOGY - 0.6% | |||
Electronic Equipment & Components - 0.0% | |||
Amphenol Corp. 2.05% 3/1/25 | 910,000 | 877,349 | |
Avnet, Inc. 4.875% 12/1/22 | 325,000 | 329,385 | |
1,206,734 | |||
IT Services - 0.1% | |||
CDW LLC/CDW Finance Corp. 5.5% 12/1/24 | 320,000 | 325,424 | |
Fidelity National Information Services, Inc.: | |||
0.375% 3/1/23 | 1,160,000 | 1,140,591 | |
0.6% 3/1/24 | 555,000 | 530,445 | |
Fiserv, Inc. 3.8% 10/1/23 | 2,340,000 | 2,365,152 | |
HCL America, Inc. 1.375% 3/10/26 (a) | 1,800,000 | 1,627,650 | |
PayPal Holdings, Inc. 2.65% 10/1/26 | 1,295,000 | 1,247,927 | |
The Western Union Co. 2.85% 1/10/25 | 1,600,000 | 1,559,283 | |
8,796,472 | |||
Semiconductors & Semiconductor Equipment - 0.2% | |||
Analog Devices, Inc.: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.250% 0.746% 10/1/24 (b)(c) | 2,353,000 | 2,334,357 | |
2.95% 4/1/25 | 295,000 | 292,880 | |
Marvell Technology, Inc. 4.2% 6/22/23 | 1,050,000 | 1,059,541 | |
Microchip Technology, Inc.: | |||
0.972% 2/15/24 | 1,165,000 | 1,116,615 | |
0.983% 9/1/24 (a) | 1,220,000 | 1,146,797 | |
2.67% 9/1/23 | 1,110,000 | 1,101,990 | |
NXP BV/NXP Funding LLC 4.875% 3/1/24 | 750,000 | 763,150 | |
NXP BV/NXP Funding LLC/NXP U.S.A., Inc.: | |||
2.7% 5/1/25 | 395,000 | 378,873 | |
3.875% 6/18/26 | 475,000 | 468,796 | |
4.4% 6/1/27 | 155,000 | 155,548 | |
Qorvo, Inc. 1.75% 12/15/24 (a) | 510,000 | 484,898 | |
Skyworks Solutions, Inc. 0.9% 6/1/23 | 305,000 | 297,251 | |
9,600,696 | |||
Software - 0.2% | |||
Fortinet, Inc. 1% 3/15/26 | 675,000 | 604,551 | |
Oracle Corp. 2.4% 9/15/23 | 1,280,000 | 1,269,290 | |
Roper Technologies, Inc.: | |||
0.45% 8/15/22 | 205,000 | 204,374 | |
1% 9/15/25 | 235,000 | 215,635 | |
2.35% 9/15/24 | 365,000 | 357,973 | |
3.125% 11/15/22 | 1,505,000 | 1,508,316 | |
3.65% 9/15/23 | 270,000 | 272,277 | |
VMware, Inc. 0.6% 8/15/23 | 4,644,000 | 4,504,665 | |
Workday, Inc. 3.5% 4/1/27 | 525,000 | 515,062 | |
9,452,143 | |||
Technology Hardware, Storage & Peripherals - 0.1% | |||
Hewlett Packard Enterprise Co. 4.4% 10/15/22 (b) | 3,269,000 | 3,282,774 | |
TOTAL INFORMATION TECHNOLOGY | 32,338,819 | ||
MATERIALS - 0.1% | |||
Chemicals - 0.0% | |||
Cytec Industries, Inc. 3.5% 4/1/23 | 919,000 | 917,492 | |
Ecolab, Inc. 1.65% 2/1/27 | 400,000 | 369,579 | |
International Flavors & Fragrances, Inc. 0.697% 9/15/22 (a) | 582,000 | 579,029 | |
LYB International Finance III LLC 1.25% 10/1/25 | 692,000 | 636,706 | |
Westlake Corp. 0.875% 8/15/24 | 180,000 | 172,673 | |
2,675,479 | |||
Construction Materials - 0.0% | |||
Boral Finance Pty Ltd. 3% 11/1/22 (a) | 135,000 | 134,811 | |
Martin Marietta Materials, Inc. 0.65% 7/15/23 | 405,000 | 394,942 | |
529,753 | |||
Containers & Packaging - 0.0% | |||
Bemis Co., Inc. 4% 5/17/25 | 805,000 | 808,309 | |
Metals & Mining - 0.1% | |||
ArcelorMittal SA 3.6% 7/16/24 | 390,000 | 390,341 | |
Nucor Corp.: | |||
2% 6/1/25 | 350,000 | 334,705 | |
3.95% 5/23/25 | 525,000 | 530,595 | |
POSCO 2.375% 1/17/23 (a) | 1,870,000 | 1,863,268 | |
3,118,909 | |||
Paper & Forest Products - 0.0% | |||
Celulosa Arauco y Constitucion SA 4.5% 8/1/24 | 635,000 | 636,905 | |
TOTAL MATERIALS | 7,769,355 | ||
REAL ESTATE - 0.3% | |||
Equity Real Estate Investment Trusts (REITs) - 0.3% | |||
American Campus Communities Operating Partnership LP: | |||
3.75% 4/15/23 | 1,449,000 | 1,454,245 | |
4.125% 7/1/24 | 2,000,000 | 2,027,330 | |
American Tower Corp.: | |||
2.4% 3/15/25 | 665,000 | 640,481 | |
5% 2/15/24 | 375,000 | 384,952 | |
Crown Castle International Corp.: | |||
1.05% 7/15/26 | 1,005,000 | 894,300 | |
2.9% 3/15/27 | 955,000 | 900,536 | |
3.15% 7/15/23 | 985,000 | 986,125 | |
Highwoods/Forsyth LP 3.625% 1/15/23 | 1,770,000 | 1,775,145 | |
Kilroy Realty LP 4.375% 10/1/25 | 755,000 | 759,452 | |
Public Storage U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.470% 1.0777% 4/23/24 (b)(c) | 495,000 | 494,189 | |
Simon Property Group LP: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Averages Indx + 0.000% 1.0595% 1/11/24 (b)(c) | 3,589,000 | 3,564,664 | |
2% 9/13/24 | 380,000 | 369,827 | |
3.375% 10/1/24 | 985,000 | 986,695 | |
15,237,941 | |||
Real Estate Management & Development - 0.0% | |||
Essex Portfolio LP 3.875% 5/1/24 | 1,980,000 | 1,993,884 | |
TOTAL REAL ESTATE | 17,231,825 | ||
UTILITIES - 1.9% | |||
Electric Utilities - 1.4% | |||
Cleco Power LLC 3 month U.S. LIBOR + 0.500% 1.326% 6/15/23 (a)(b)(c) | 3,377,000 | 3,360,454 | |
Duke Energy Corp. U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.250% 0.6657% 6/10/23 (b)(c) | 3,003,000 | 2,992,185 | |
Edison International: | |||
2.95% 3/15/23 | 455,000 | 454,143 | |
3.125% 11/15/22 | 650,000 | 648,885 | |
ENEL Finance International NV: | |||
1.375% 7/12/26 (a) | 1,105,000 | 993,430 | |
2.65% 9/10/24 (a) | 1,775,000 | 1,732,957 | |
Eversource Energy U.S. Secured Overnight Fin. Rate (SOFR) Averages Indx + 0.250% 1.0354% 8/15/23 (b)(c) | 5,000,000 | 4,987,268 | |
FirstEnergy Corp. 3.35% 7/15/22 | 885,000 | 881,018 | |
Florida Power & Light Co. U.S. Secured Overnight Fin. Rate (SOFR) Averages Indx + 0.250% 1.0342% 5/10/23 (b)(c) | 3,574,000 | 3,558,817 | |
Israel Electric Corp. Ltd. 5% 11/12/24 (Reg. S) (a) | 1,365,000 | 1,403,302 | |
Korea Hydro & Nuclear Power Co. Ltd. 1.25% 4/27/26 (a) | 1,421,000 | 1,309,210 | |
Mississippi Power Co. U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.300% 0.7768% 6/28/24 (b)(c) | 5,297,000 | 5,235,577 | |
NextEra Energy Capital Holdings, Inc.: | |||
3 month U.S. LIBOR + 0.270% 1.7749% 2/22/23 (b)(c) | 10,000,000 | 9,972,699 | |
U.S. Secured Overnight Fin. Rate (SOFR) Averages Indx + 0.400% 1.0918% 11/3/23 (b)(c) | 6,000,000 | 5,961,293 | |
U.S. Secured Overnight Fin. Rate (SOFR) Averages Indx + 0.540% 1.32% 3/1/23 (b)(c) | 3,472,000 | 3,465,275 | |
1.875% 1/15/27 | 1,255,000 | 1,157,041 | |
NRG Energy, Inc. 3.75% 6/15/24 (a) | 535,000 | 530,477 | |
Pacific Gas & Electric Co.: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Averages Indx + 1.150% 1.9354% 11/14/22 (b)(c) | 180,000 | 179,652 | |
3.5% 6/15/25 | 955,000 | 923,658 | |
PPL Electric Utilities Corp.: | |||
3 month U.S. LIBOR + 0.250% 1.2156% 9/28/23 (b)(c) | 1,780,000 | 1,770,446 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.330% 0.8011% 6/24/24 (b)(c) | 4,059,000 | 4,034,299 | |
Southern California Edison Co.: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Averages Indx + 0.640% 1.136% 4/3/23 (b)(c) | 5,000,000 | 4,997,466 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.470% 1.2508% 12/2/22 (b)(c) | 10,000,000 | 9,990,884 | |
Southern Co.: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.370% 1.1542% 5/10/23 (b)(c) | 3,257,000 | 3,242,677 | |
0.6% 2/26/24 | 2,230,000 | 2,132,634 | |
Vistra Operations Co. LLC: | |||
3.55% 7/15/24 (a) | 4,595,000 | 4,508,018 | |
5.125% 5/13/25 (a) | 1,210,000 | 1,217,538 | |
81,641,303 | |||
Gas Utilities - 0.3% | |||
APT Pipelines Ltd. 4.2% 3/23/25 (a) | 1,895,000 | 1,901,276 | |
Atmos Energy Corp. 3 month U.S. LIBOR + 0.380% 1.0229% 3/9/23 (b)(c) | 6,117,000 | 6,113,169 | |
CenterPoint Energy Resources Corp. 3 month U.S. LIBOR + 0.500% 1.0043% 3/2/23 (b)(c) | 2,009,000 | 2,003,768 | |
ONE Gas, Inc. 3 month U.S. LIBOR + 0.610% 1.355% 3/11/23 (b)(c) | 2,500,000 | 2,494,357 | |
Southern California Gas Co. 2.95% 4/15/27 | 815,000 | 787,716 | |
13,300,286 | |||
Independent Power and Renewable Electricity Producers - 0.0% | |||
Alexander Funding Trust 1.841% 11/15/23 (a) | 920,000 | 886,302 | |
The AES Corp. 3.3% 7/15/25 (a) | 820,000 | 798,008 | |
1,684,310 | |||
Multi-Utilities - 0.2% | |||
CenterPoint Energy, Inc. U.S. Secured Overnight Fin. Rate (SOFR) Averages Indx + 0.650% 1.4351% 5/13/24 (b)(c) | 2,893,000 | 2,855,800 | |
Dominion Energy, Inc. 3 month U.S. LIBOR + 0.530% 1.356% 9/15/23 (b)(c) | 2,327,000 | 2,327,014 | |
DTE Energy Co. 0.55% 11/1/22 | 5,000,000 | 4,958,935 | |
Sempra Energy 3.3% 4/1/25 | 760,000 | 755,216 | |
10,896,965 | |||
TOTAL UTILITIES | 107,522,864 | ||
TOTAL NONCONVERTIBLE BONDS | |||
(Cost $1,470,465,932) | 1,450,442,690 | ||
U.S. Government and Government Agency Obligations - 2.4% | |||
U.S. Government Agency Obligations - 0.4% | |||
Fannie Mae U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.180% 0.96% 7/8/22 (b)(c) | 20,000,000 | 20,003,809 | |
U.S. Treasury Obligations - 2.0% | |||
U.S. Treasury Notes: | |||
0.125% 4/30/23 (d) | $715,000 | $702,264 | |
0.25% 9/30/23 (d) | 40,000 | 38,959 | |
0.375% 10/31/23 | 10,000,000 | 9,732,813 | |
0.75% 12/31/23 | 25,000 | 24,371 | |
0.875% 1/31/24 | 39,730,000 | 38,730,542 | |
1.75% 3/15/25 | 17,440,000 | 16,987,673 | |
2.25% 3/31/24 | 14,015,000 | 13,955,327 | |
2.5% 4/30/24 | 13,820,000 | 13,815,681 | |
2.75% 5/15/25 | 22,760,000 | 22,779,559 | |
TOTAL U.S. TREASURY OBLIGATIONS | 116,767,189 | ||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | |||
(Cost $137,660,106) | 136,770,998 | ||
U.S. Government Agency - Mortgage Securities - 0.4% | |||
Fannie Mae - 0.2% | |||
12 month U.S. LIBOR + 1.560% 1.818% 7/1/35 (b)(c) | 3,403 | 3,509 | |
12 month U.S. LIBOR + 1.590% 1.834% 12/1/35 (b)(c) | 4,726 | 4,860 | |
12 month U.S. LIBOR + 1.650% 1.905% 8/1/37 (b)(c) | 872 | 905 | |
12 month U.S. LIBOR + 1.690% 1.94% 5/1/38 (b)(c) | 7,930 | 8,201 | |
12 month U.S. LIBOR + 1.780% 2.538% 5/1/38 (b)(c) | 2,457 | 2,520 | |
12 month U.S. LIBOR + 1.830% 3.117% 4/1/38 (b)(c) | 13,661 | 14,097 | |
12 month U.S. LIBOR + 1.850% 2.103% 8/1/38 (b)(c) | 7,338 | 7,648 | |
12 month U.S. LIBOR + 1.880% 3.198% 5/1/38 (b)(c) | 8,089 | 8,342 | |
12 month U.S. LIBOR + 2.040% 2.29% 12/1/36 (b)(c) | 1,186 | 1,227 | |
6 month U.S. LIBOR + 1.360% 1.861% 10/1/33 (b)(c) | 23,256 | 23,714 | |
2% 10/1/50 | 253,891 | 226,677 | |
2.5% 1/1/52 | 900,516 | 829,863 | |
3% 9/1/28 to 11/1/51 | 3,739,270 | 3,622,902 | |
3.5% 11/1/26 to 6/1/52 | 1,141,273 | 1,133,069 | |
4% 1/1/47 to 12/1/49 | 317,839 | 322,371 | |
4.5% 8/1/24 to 1/1/50 | 1,623,954 | 1,678,977 | |
5% 3/1/23 to 7/1/45 | 874,858 | 924,357 | |
5.5% 2/1/23 to 5/1/40 | 1,171,729 | 1,266,123 | |
6% to 6% 2/1/23 to 2/1/49 | 1,148,016 | 1,262,439 | |
6.5% 7/1/32 to 12/1/32 | 57,061 | 62,621 | |
TOTAL FANNIE MAE | 11,404,422 | ||
Freddie Mac - 0.0% | |||
12 month U.S. LIBOR + 1.620% 1.875% 7/1/38 (b)(c) | 10,378 | 10,688 | |
12 month U.S. LIBOR + 1.620% 2.128% 6/1/38 (b)(c) | 13,795 | 14,252 | |
12 month U.S. LIBOR + 1.720% 1.976% 7/1/35 (b)(c) | 6,139 | 6,347 | |
12 month U.S. LIBOR + 1.730% 2.076% 10/1/36 (b)(c) | 11,920 | 12,331 | |
12 month U.S. LIBOR + 1.730% 2.108% 2/1/37 (b)(c) | 2,098 | 2,150 | |
12 month U.S. LIBOR + 1.730% 2.21% 5/1/38 (b)(c) | 5,343 | 5,517 | |
12 month U.S. LIBOR + 1.770% 2.921% 5/1/37 (b)(c) | 2,500 | 2,583 | |
12 month U.S. LIBOR + 1.830% 2.204% 2/1/37 (b)(c) | 2,637 | 2,709 | |
12 month U.S. LIBOR + 1.920% 2.185% 12/1/36 (b)(c) | 4,789 | 4,921 | |
12 month U.S. LIBOR + 2.020% 2.275% 11/1/36 (b)(c) | 2,689 | 2,762 | |
12 month U.S. LIBOR + 2.080% 2.582% 2/1/38 (b)(c) | 10,786 | 11,133 | |
12 month U.S. LIBOR + 2.160% 2.558% 2/1/37 (b)(c) | 2,695 | 2,777 | |
U.S. TREASURY 1 YEAR INDEX + 2.340% 2.472% 11/1/34 (b)(c) | 6,745 | 6,989 | |
2.5% 1/1/52 | 999,442 | 924,152 | |
3% 11/1/34 | 258,155 | 256,478 | |
3.5% 12/1/47 | 700,666 | 696,865 | |
4% 12/1/49 | 148,963 | 150,705 | |
4.5% 5/1/50 | 140,742 | 143,886 | |
5% 10/1/22 to 12/1/41 | 301,339 | 318,094 | |
5.5% 4/1/23 to 10/1/38 | 4,077 | 4,272 | |
6% 8/1/22 to 9/1/35 | 74,351 | 81,423 | |
7% 3/1/39 | 114,497 | 127,576 | |
7.5% 6/1/38 | 113,372 | 125,515 | |
TOTAL FREDDIE MAC | 2,914,125 | ||
Ginnie Mae - 0.2% | |||
6% 7/15/36 | 137,360 | 148,536 | |
3% 9/20/47 | 2,322,210 | 2,268,326 | |
3.5% 8/20/44 to 2/20/52 (e) | 4,125,092 | 4,106,779 | |
4% 3/20/48 to 4/20/52 | 1,297,970 | 1,315,528 | |
4.5% 9/20/40 to 5/20/52 (f) | 1,737,281 | 1,790,028 | |
5% 12/20/34 to 5/20/48 | 590,723 | 620,581 | |
5.5% 9/15/45 to 2/20/49 | 491,138 | 524,348 | |
TOTAL GINNIE MAE | 10,774,126 | ||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES | |||
(Cost $26,178,874) | 25,092,673 | ||
Asset-Backed Securities - 6.1% | |||
Aimco: | |||
Series 2021-10A Class AR, 3 month U.S. LIBOR + 1.060% 2.1963% 7/22/32 (a)(b)(c) | $4,100,000 | $3,988,160 | |
Series 2021-BA Class AR, 3 month U.S. LIBOR + 1.100% 2.1443% 1/15/32 (a)(b)(c) | 4,342,000 | 4,246,980 | |
AIMCO CLO Ltd. Series 2022-12A Class AR, CME TERM SOFR 3 MONTH INDEX + 1.170% 2.0212% 1/17/32 (a)(b)(c) | 4,835,000 | 4,699,823 | |
Ally Auto Receivables Trust Series 2019-3 Class A4, 1.96% 12/16/24 | 600,000 | 596,484 | |
American Express Credit Account Master Trust Series 2019-3 Class B, 2.2% 4/15/25 | 740,000 | 739,971 | |
AmeriCredit Automobile Receivables Trust: | |||
Series 2018-1 Class D, 3.82% 3/18/24 | 1,645,000 | 1,648,820 | |
Series 2019-3 Class B, 2.13% 7/18/25 | 985,000 | 984,982 | |
Series 2020-1: | |||
Class C, 1.59% 10/20/25 | 1,760,000 | 1,727,002 | |
Class D, 1.8% 12/18/25 | 690,000 | 667,336 | |
Series 2020-3 Class C, 1.06% 8/18/26 | 420,000 | 403,710 | |
Series 2021-1: | |||
Class C, 0.89% 10/19/26 | 755,000 | 712,645 | |
Class D, 1.21% 12/18/26 | 470,000 | 443,285 | |
Series 2021-2: | |||
Class A2, 0.26% 11/18/24 | 1,857,422 | 1,846,374 | |
Class D, 1.29% 6/18/27 | 995,000 | 923,243 | |
Series 2021-3 Class A2, 0.41% 2/18/25 | 5,678,885 | 5,632,790 | |
Series 2022-1 Class D, 3.23% 2/18/28 | 1,830,000 | 1,759,089 | |
Applebee's/IHOP Funding LLC Series 2019-1A Class A2I, 4.194% 6/5/49 (a) | 2,262,150 | 2,220,877 | |
Arbor Realty Collateralized Loan Obligation Series 2021-FL3 Class A, 1 month U.S. LIBOR + 1.070% 1.9447% 8/15/34 (a)(b)(c) | 1,100,000 | 1,059,943 | |
Arbor Realty Commercial Real Estate Notes, Ltd. Series 2021-FL4 Class A, 1 month U.S. LIBOR + 1.350% 2.2247% 11/15/36 (a)(b)(c) | 845,000 | 822,611 | |
Ares LII CLO Ltd. Series 2021-52A Class A1R, 3 month U.S. LIBOR + 1.050% 2.1863% 4/22/31 (a)(b)(c) | 3,577,000 | 3,520,569 | |
ARI Fleet Lease Trust Series 2020-A Class B, 2.06% 11/15/28 (a) | 770,000 | 754,261 | |
Avis Budget Rental Car Funding (AESOP) LLC: | |||
Series 2017-1A Class B, 3.41% 9/20/23 (a) | 360,000 | 360,393 | |
Series 2017-2A Class A, 2.97% 3/20/24 (a) | 905,000 | 903,889 | |
Series 2018-2A Class C, 4.95% 3/20/25 (a) | 430,000 | 432,439 | |
Series 2019-2A Class A, 3.35% 9/22/25 (a) | 650,000 | 640,094 | |
Series 2020-1A Class A, 2.33% 8/20/26 (a) | 540,000 | 517,260 | |
Babson CLO Ltd. Series 2013-IA Class AR, 3 month U.S. LIBOR + 0.800% 1.8627% 1/20/28 (a)(b)(c) | 791,291 | 786,175 | |
Bank of America Credit Card Master Trust Series 2020-A1 Class A1, 0.34% 5/15/26 | 4,768,000 | 4,583,421 | |
Bayview Opportunity Master Fund Trust: | |||
Series 2017-RT3 Class A, 3.5% 1/28/58 (a)(b) | 491,112 | 479,480 | |
Series 2017-SPL4 Class A, 3.5% 1/28/55 (a) | 158,891 | 157,016 | |
Series 2017-SPL5 Class A, 3.5% 6/28/57 (a) | 426,997 | 427,224 | |
BDS, Ltd. / BDS LLC Series 2021-FL10 Class A, 1 month U.S. LIBOR + 1.350% 2.2856% 12/16/36 (a)(b)(c) | 770,000 | 741,420 | |
Blackbird Capital Aircraft Series 2016-1A Class AA, 2.487% 12/16/41 (a)(b) | 481,891 | 453,941 | |
BMW Vehicle Owner Trust Series 2022-A Class A2B, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.950% 1.3% 12/26/24 (b)(c) | 5,000,000 | 4,993,591 | |
BRE Grand Islander Timeshare Issuer Series 2019-A Class A, 3.28% 9/26/33 (a) | 172,833 | 167,808 | |
BSPRT Issuer, Ltd. / BSPRT CO-Issuer LLC Series 2022-FL8 Class A, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 1.500% 1.767% 2/15/37 (a)(b)(c) | 1,510,000 | 1,478,624 | |
CarMax Auto Owner Trust: | |||
Series 2019-2 Class B, 3.01% 12/16/24 | 1,935,000 | 1,933,323 | |
Series 2020-4: | |||
Class A2, 0.31% 1/16/24 | 445,674 | 445,370 | |
Class D, 1.75% 4/15/27 | 540,000 | 510,086 | |
Series 2021-1 Class A3, 0.34% 12/15/25 | 2,373,000 | 2,326,744 | |
Series 2021-2 Class C, 1.34% 2/16/27 | 545,000 | 507,684 | |
Series 2022-2 Class A2B, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.600% 0.9987% 5/15/25 (b)(c) | 2,753,000 | 2,744,138 | |
Carvana Auto Receivables Trust: | |||
Series 2021-P2 Class A2, 0.3% 7/10/24 | 2,473,447 | 2,464,843 | |
Series 2021-P3 Class A2, 0.38% 1/10/25 | 2,260,283 | 2,237,996 | |
Series 2021-P4 Class B, 1.98% 2/10/28 | 445,000 | 400,240 | |
Series 2022-N1 Class C, 3.32% 12/11/28 (a) | 580,000 | 569,320 | |
Cedar Funding Ltd.: | |||
Series 2021-10A Class AR, 3 month U.S. LIBOR + 1.100% 2.1627% 10/20/32 (a)(b)(c) | 1,089,000 | 1,061,613 | |
Series 2021-14A Class A, 3 month U.S. LIBOR + 1.100% 2.1443% 7/15/33 (a)(b)(c) | 5,722,000 | 5,590,119 | |
Cent CLO LP Series 2021-21A Class A1R3, 3 month U.S. LIBOR + 0.970% 2.1949% 7/27/30 (a)(b)(c) | 4,090,000 | 4,036,830 | |
Chesapeake Funding II LLC: | |||
Series 2018-3A Class A2, 1 month U.S. LIBOR + 0.480% 1.3547% 1/15/31 (a)(b)(c) | 306,141 | 306,131 | |
Series 2019-1A Class A1, 2.94% 4/15/31 (a) | 449,122 | 449,272 | |
Series 2020-1A Class A1, 0.87% 8/15/32 (a) | 1,905,896 | 1,884,964 | |
Series 2021-1A Class A2, 1 month U.S. LIBOR + 0.230% 1.1047% 4/15/33 (a)(b)(c) | 2,524,511 | 2,497,819 | |
CIFC Funding Ltd. / CIFC Funding LLC Series 2021-4A Class A, 3 month U.S. LIBOR + 1.050% 2.0943% 7/15/33 (a)(b)(c) | 1,360,000 | 1,338,470 | |
CIM Trust Series 2020-INV1 Class A2, 2.5% 4/25/50 (a) | 210,872 | 195,007 | |
CNH Equipment Trust: | |||
Series 2020-A Class A4, 1.51% 4/15/27 | 590,000 | 572,951 | |
Series 2021-C Class A2, 0.33% 1/15/25 | 4,124,000 | 4,074,830 | |
Daimler Trucks Retail Trust Series 2020-1 Class A4, 1.37% 6/15/27 | 1,820,000 | 1,798,520 | |
Dell Equipment Finance Trust: | |||
Series 2019-2 Class A3, 1.91% 10/22/24 (a) | 249,025 | 249,021 | |
Series 2020-2 Class A3, 0.57% 10/23/23 (a) | 1,863,187 | 1,845,616 | |
Series 2021-1 Class A3, 0.43% 5/22/26 (a) | 1,601,000 | 1,561,047 | |
Series 2021-2 Class A2, 0.33% 12/22/26 (a) | 4,969,994 | 4,912,823 | |
DLLAD LLC Series 2021-1A Class A2, 0.35% 9/20/24 (a) | 2,298,645 | 2,265,774 | |
DLLMT LLC Series 2021-1A Class A2, 0.6% 3/20/24 (a) | 7,674,000 | 7,586,628 | |
Donlen Fleet Lease Funding Series 2021-2 Class A1, 1 month U.S. LIBOR + 0.330% 1.1721% 12/11/34 (a)(b)(c) | 3,177,410 | 3,155,785 | |
Drive Auto Receivables Trust: | |||
Series 2021-1 Class D, 1.45% 1/16/29 | 630,000 | 600,403 | |
Series 2021-2: | |||
Class A2, 0.36% 5/15/24 | 630,000 | 629,068 | |
Class D, 1.39% 3/15/29 | 785,000 | 733,336 | |
Series 2021-3 Class A2, 0.52% 1/15/25 | 3,222,059 | 3,202,064 | |
Dryden CLO, Ltd. / Dryden CLO, LLC Series 2021-86A Class A1R, 3 month U.S. LIBOR + 1.100% 2.1443% 7/17/34 (a)(b)(c) | 1,055,000 | 1,028,753 | |
Eagle Re Ltd. Series 2021-2 Class M1A, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 1.550% 2.1345% 4/25/34 (a)(b)(c) | 460,000 | 456,781 | |
Eaton Vance CLO, Ltd. Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.100% 2.1443% 4/15/31 (a)(b)(c) | 3,935,000 | 3,854,061 | |
Elara HGV Timeshare Issuer LLC Series 2017-A Class A, 2.69% 3/25/30 (a) | 392,838 | 385,817 | |
Ellington Financial Mortgage Trust Series 2019-2 Class A1, 2.739% 11/25/59 (a) | 175,511 | 174,365 | |
Enterprise Fleet Financing LLC: | |||
Series 2019-3 Class A2, 2.06% 5/20/25 (a) | 202,864 | 202,658 | |
Series 2020-1 Class A2, 1.78% 12/22/25 (a) | 2,757,417 | 2,744,167 | |
Series 2020-2 Class A2, 0.61% 7/20/26 (a) | 2,437,849 | 2,377,072 | |
Series 2021-1 Class A2, 0.44% 12/21/26 (a) | 1,068,360 | 1,039,985 | |
Series 2021-2 Class A2, 0.48% 5/20/27 (a) | 3,293,014 | 3,181,936 | |
Exeter Automobile Receivables Series 2022-2A Class C, 3.85% 7/17/28 | 1,285,000 | 1,273,449 | |
Exeter Automobile Receivables Trust: | |||
Series 2021-3A Class D, 1.55% 6/15/27 | 660,000 | 623,022 | |
Series 2022-1A Class D, 3.02% 6/15/28 | 1,350,000 | 1,273,910 | |
Ford Credit Auto Lease Trust: | |||
Series 2020-B Class A3, 0.62% 8/15/23 | 1,456,147 | 1,454,286 | |
Series 2022-A: | |||
Class A2B, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.600% 0.9987% 10/15/24 (b)(c) | 2,696,000 | 2,687,014 | |
Class C, 4.18% 10/15/25 | 2,030,000 | 2,021,538 | |
Ford Credit Auto Owner Trust: | |||
Series 2020-2 Class C, 1.74% 4/15/33 (a) | 570,000 | 519,807 | |
Series 2020-B Class C, 2.04% 12/15/26 | 1,270,000 | 1,236,348 | |
Ford Credit Floorplan Master Owner Trust Series 2020-1 Class A1, 0.7% 9/15/25 | 5,274,000 | 5,118,052 | |
Freddie Mac STACR REMIC Trust: | |||
Series 2022-DNA3 Class M1A, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 2.000% 2.5845% 4/25/42 (a)(b)(c) | 1,357,690 | 1,351,795 | |
Series 2022-DNA4 Class M1A, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 2.200% 2.5507% 5/25/42 (a)(b)(c) | 1,520,000 | 1,515,258 | |
GM Financial Automobile Leasing Trust: | |||
Series 2020-2 Class C, 2.56% 7/22/24 | 445,000 | 443,222 | |
Series 2021-2 Class A2, 0.22% 7/20/23 | 1,672,861 | 1,668,677 | |
Series 2021-3 Class A2, 0.24% 12/20/23 | 3,634,239 | 3,605,704 | |
Series 2022-2 Class A2, 2.93% 10/21/24 | 3,401,000 | 3,395,198 | |
GM Financial Consumer Automobile Receivables Series 2022-2 Class A2, 2.52% 5/16/25 | 3,502,000 | 3,492,847 | |
GM Financial Consumer Automobile Receivables Trust: | |||
Series 2020-2 Class A3, 1.49% 12/16/24 | 192,886 | 191,763 | |
Series 2020-4 Class C, 1.05% 5/18/26 | 420,000 | 399,905 | |
GMF Floorplan Owner Revolving Trust: | |||
Series 2020-1 Class A, 0.68% 8/15/25 (a) | 1,480,000 | 1,436,645 | |
Series 2020-2 Class A, 0.69% 10/15/25 (a) | 3,238,000 | 3,127,727 | |
Hardee's Funding LLC / Carl's Jr. Funding LLC Series 2018-1A Class A2II, 4.959% 6/20/48 (a) | 212,300 | 209,971 | |
Hilton Grand Vacations Trust: | |||
Series 2017-AA: | |||
Class A, 2.66% 12/26/28 (a) | 114,268 | 112,590 | |
Class B, 2.96% 12/26/28 (a) | 174,279 | 171,347 | |
Series 2020-AA: | |||
Class A, 2.74% 2/25/39 (a) | 482,221 | 465,539 | |
Class B, 4.22% 2/25/39 (a) | 742,957 | 734,888 | |
Home Partners of America Trust Series 2022-1 Class A, 3.93% 4/17/39 (a) | 1,983,870 | 1,964,372 | |
HPEFS Equipment Trust Series 2021-2A Class A2, 0.3% 9/20/28 (a) | 2,045,573 | 2,028,974 | |
Hyundai Auto Lease Securitization Trust: | |||
Series 2021-A Class A2, 0.25% 4/17/23 (a) | 976,268 | 975,531 | |
Series 2021-B Class A2, 0.19% 10/16/23 (a) | 3,185,121 | 3,165,832 | |
Hyundai Auto Receivables Trust: | |||
Series 2019-A Class B, 2.94% 5/15/25 | 635,000 | 635,259 | |
Series 2020-A Class A3, 1.41% 11/15/24 | 542,049 | 537,715 | |
Series 2020-C Class A2, 0.26% 9/15/23 | 386,018 | 385,854 | |
KKR CLO Ltd. / KKR CLO LLC Series 2021-29A Class A, 3 month U.S. LIBOR + 1.200% 2.2443% 1/15/32 (a)(b)(c) | 1,250,000 | 1,230,444 | |
KKR Finanical CLO Ltd. Series 13 Class A1R, 3 month U.S. LIBOR + 0.800% 1.8443% 1/16/28 (a)(b)(c) | 533,559 | 530,987 | |
KKR Industrial Portfolio Trust Series 2021-KDIP Class C, 1 month U.S. LIBOR + 1.000% 1.8747% 12/15/37 (a)(b)(c) | 1,061,250 | 1,012,136 | |
Kubota Credit Owner Trust Series 2020-1A Class A3, 1.96% 3/15/24 (a) | 255,935 | 254,585 | |
Lanark Master Issuer PLC Series 2020-1A Class 1A, 2.277% 12/22/69 (a)(b) | 1,768,000 | 1,758,456 | |
Madison Park Funding XXIII, Ltd. Series 2021-23A: | |||
Class AR, 3 month U.S. LIBOR + 0.970% 2.1949% 7/27/31 (a)(b)(c) | 1,240,000 | 1,224,506 | |
Class BR, 3 month U.S. LIBOR + 1.550% 2.7749% 7/27/31 (a)(b)(c) | 800,000 | 796,916 | |
Madison Park Funding XXXII, Ltd. / Madison Park Funding XXXII LLC Series 2021-32A Class A1R, 3 month U.S. LIBOR + 1.000% 2.1363% 1/22/31 (a)(b)(c) | 3,229,000 | 3,183,972 | |
Madison Park Funding XXXIII Ltd. Series 2022-33A Class AR, CME TERM SOFR 3 MONTH INDEX + 1.290% 2.1364% 10/15/32 (a)(b)(c) | 1,910,000 | 1,863,618 | |
Madison Park Funding XXXV Ltd. / Madison Park Funding XXXV LLC Series 2021-35A Class A1R, 3 month U.S. LIBOR + 0.990% 2.0527% 4/20/32 (a)(b)(c) | 1,650,000 | 1,614,591 | |
Magnetite XVI, Ltd. / Magnetite XVI, LLC Series 2015-16A Class AR, 3 month U.S. LIBOR + 0.800% 1.8443% 1/18/28 (a)(b)(c) | 1,867,217 | 1,847,180 | |
Magnetite XXV Ltd. Series 2020-25A Class A, 3 month U.S. LIBOR + 1.200% 2.384% 1/25/32 (a)(b)(c) | 1,015,000 | 1,000,692 | |
Mercedes-Benz Auto Lease Trust Series 2021-B Class A2, 0.22% 1/16/24 | 6,103,658 | 6,072,623 | |
MF1 Multifamily Housing Mortgage Loan Trust Series 2021-FL7 Class A, 1 month U.S. LIBOR + 1.080% 2.0156% 10/16/36 (a)(b)(c) | 800,000 | 772,850 | |
MFRA Trust Series 2021-INV1 Class A1, 0.852% 1/25/56 (a)(b) | 303,868 | 289,926 | |
MVW LLC Series 2020-1A Class B, 2.73% 10/20/37 (a) | 363,953 | 350,361 | |
MVW Owner Trust: | |||
Series 2017-1A: | |||
Class A, 2.42% 12/20/34 (a) | 278,178 | 274,999 | |
Class B, 2.75% 12/20/34 (a) | 16,363 | 16,112 | |
Class C, 2.99% 12/20/34 (a) | 39,272 | 38,528 | |
Series 2021-1WA Class C, 1.94% 1/22/41 (a) | 244,696 | 229,629 | |
Navient Private Education Loan Trust: | |||
Series 2019-D Class A2A, 3.01% 12/15/59 (a) | 390,962 | 379,226 | |
Series 2020-A Class A2A, 2.46% 11/15/68 (a) | 741,028 | 705,150 | |
Series 2020-CA Class A2A, 2.15% 11/15/68 (a) | 2,581,911 | 2,418,606 | |
Series 2020-IA Class A1A, 1.33% 4/15/69 (a) | 523,211 | 478,715 | |
Navient Private Education Refi Loan Trust: | |||
Series 2019-A Class A2A, 3.42% 1/15/43 (a) | 1,070,930 | 1,066,695 | |
Series 2019-GA Class A, 2.4% 10/15/68 (a) | 305,198 | 296,439 | |
Series 2020-DA Class A, 1.69% 5/15/69 (a) | 477,746 | 456,674 | |
Series 2022-A Class A, 2.23% 7/15/70 (a) | 1,731,296 | 1,652,165 | |
Navient Student Loan Trust: | |||
Series 2017-A Class A2A, 2.88% 12/16/58 (a) | 529,908 | 528,854 | |
Series 2019-EA Class A2A, 2.64% 5/15/68 (a) | 831,609 | 810,941 | |
Nelnet Student Loan Trust: | |||
Series 2005-4 Class A4, 3 month U.S. LIBOR + 0.180% 1.114% 3/22/32 (b)(c) | 551,799 | 525,138 | |
Series 2020-1A Class A, 1 month U.S. LIBOR + 0.740% 1.7457% 3/26/68 (a)(b)(c) | 306,556 | 297,860 | |
Series 2021-CA Class AFX, 1.32% 4/20/62 (a) | 1,487,263 | 1,381,760 | |
Series 2021-DA Class AFX, 1.63% 4/20/62 (a) | 516,623 | 486,789 | |
Neuberger Berman CLO XVII Ltd. Series 2020-17A Class AR2, 3 month U.S. LIBOR + 1.030% 2.1663% 4/22/29 (a)(b)(c) | 1,300,000 | 1,289,396 | |
Neuberger Berman Loan Advisers CLO 32 Ltd. Series 2021-32A Class AR, 3 month U.S. LIBOR + 0.990% 2.0343% 1/20/32 (a)(b)(c) | 1,570,000 | 1,543,737 | |
Neuberger Berman Loan Advisers CLO 40, Ltd. / Neuberger Berman Loan Advisers CLO 40 LLC Series 2021-40A Class A, 3 month U.S. LIBOR + 1.060% 2.1043% 4/16/33 (a)(b)(c) | 455,000 | 447,668 | |
Neuberger Berman Loan Advisers CLO, Ltd. Series 2021-26A: | |||
Class AR, 3 month U.S. LIBOR + 0.920% 1.9643% 10/18/30 (a)(b)(c) | 825,000 | 815,962 | |
Class BR, 3 month U.S. LIBOR + 1.400% 2.4443% 10/18/30 (a)(b)(c) | 890,000 | 858,231 | |
Niagara Park CLO, Ltd. Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.000% 2.0443% 7/17/32 (a)(b)(c) | 4,100,000 | 4,004,183 | |
Nissan Auto Receivables Trust Series 2020-A Class A3, 1.38% 12/16/24 | 271,869 | 270,467 | |
OCP CLO Ltd. Series 2014-7A Class A1RR, 3 month U.S. LIBOR + 1.120% 2.1827% 7/20/29 (a)(b)(c) | 2,502,227 | 2,471,845 | |
OCP CLO Ltd. / OCP CLO LLC Series 2021-13A Class A2R, 2.5943% 7/15/30 (a)(b) | 1,320,000 | 1,267,992 | |
Octane Receivables Trust: | |||
Series 2021-2A Class A, 1.21% 9/20/28 (a) | 564,356 | 549,352 | |
Series 2022-1A Class B, 4.9% 5/22/28 (a) | 780,000 | 775,451 | |
Palmer Square CLO, Ltd. Series 2021-3A Class A1AR, 3 month U.S. LIBOR + 1.080% 2.4913% 11/15/31 (a)(b)(c) | 2,570,000 | 2,533,069 | |
Palmer Square Loan Funding, Ltd. Series 2021-2A Class A1, 3 month U.S. LIBOR + 0.800% 2.278% 5/20/29 (a)(b)(c) | 3,166,703 | 3,135,698 | |
Palmer Square Loan Funding, Ltd. / Palmer Square Loan Funding LLC Series 2022-1A Class A1, CME TERM SOFR 3 MONTH INDEX + 1.050% 1.2842% 4/15/30 (a)(b)(c) | 4,210,000 | 4,157,430 | |
Planet Fitness Master Issuer LLC Series 2018-1A Class A2II, 4.666% 9/5/48 (a) | 1,500,575 | 1,471,153 | |
Santander Bank, N.A. Series 2021-1A Class B, 1.833% 12/15/31 (a) | 227,848 | 222,263 | |
Santander Consumer Auto Receivables Trust: | |||
Series 2021-AA Class A2, 0.23% 11/15/23 (a) | 217,298 | 217,136 | |
1.57% 1/15/27 (a) | 801,000 | 740,312 | |
Santander Drive Auto Receivables Trust: | |||
Series 2020-4 Class C, 1.01% 1/15/26 | 675,000 | 665,724 | |
Series 2021-3 Class A2, 0.29% 5/15/24 | 437,693 | 437,265 | |
Series 2021-4: | |||
Class A2, 0.37% 8/15/24 | 2,104,427 | 2,097,420 | |
Class D, 1.67% 10/15/27 | 1,310,000 | 1,209,799 | |
Series 2022-1 Class C, 2.56% 4/17/28 | 1,630,000 | 1,557,688 | |
Series 2022-2 Class C, 3.76% 7/16/29 | 1,990,000 | 1,938,041 | |
Santander Retail Auto Lease Trust: | |||
Series 2019-B Class C, 2.77% 8/21/23 (a) | 534,299 | 534,252 | |
Series 2019-C: | |||
Class B, 2.17% 11/20/23 (a) | 495,000 | 495,104 | |
Class C, 2.39% 11/20/23 (a) | 830,000 | 829,961 | |
Class D, 2.88% 6/20/24 (a) | 870,000 | 868,238 | |
Series 2020-A Class D, 2.52% 11/20/24 (a) | 720,000 | 708,857 | |
Series 2020-B Class A2, 0.42% 11/20/23 (a) | 2,493,935 | 2,485,464 | |
Series 2021-A: | |||
Class A2, 0.32% 2/20/24 (a) | 2,477,362 | 2,455,468 | |
Class C, 1.14% 3/20/26 (a) | 1,815,000 | 1,714,758 | |
Series 2021-B Class A2, 0.31% 1/22/24 (a) | 2,084,540 | 2,065,231 | |
Series 2021-C: | |||
Class A2, 0.29% 4/22/24 (a) | 2,608,785 | 2,585,756 | |
Class C, 1.11% 3/20/26 (a) | 630,000 | 593,153 | |
Series 2022-B Class B, 3.85% 3/22/27 (a) | 445,000 | 440,885 | |
SBA Tower Trust: | |||
Series 2019, 2.836% 1/15/50 (a) | 990,000 | 965,874 | |
1.631% 5/15/51 (a) | 495,000 | 446,180 | |
1.884% 7/15/50 (a) | 365,000 | 340,586 | |
SG Residential Mortgage Trust Series 2019-3 Class A2, 2.877% 9/25/59 (a) | 380,830 | 377,280 | |
Sierra Receivables Funding Co. LLC: | |||
Series 2019-1A Class A, 3.2% 1/20/36 (a) | 125,177 | 123,872 | |
Series 2019-2A Class A, 2.59% 5/20/36 (a) | 768,621 | 750,283 | |
Sierra Timeshare Receivables Funding LLC: | |||
Series 2019-3A Class A, 2.34% 8/20/36 (a) | 187,161 | 181,677 | |
Series 2020-2A Class C, 3.51% 7/20/37 (a) | 250,280 | 241,998 | |
Series 2021-1A Class B, 1.34% 11/20/37 (a) | 260,819 | 244,086 | |
SLM Student Loan Trust Series 2003-10A Class A3, 3 month U.S. LIBOR + 0.470% 1.296% 12/15/27 (a)(b)(c) | 133,807 | 133,780 | |
SMB Private Education Loan Trust: | |||
Series 2014-A Class A3, 1 month U.S. LIBOR + 1.500% 2.3747% 4/15/32 (a)(b)(c) | 920,400 | 922,113 | |
Series 2016-C Class A2B, 1 month U.S. LIBOR + 1.100% 1.9747% 9/15/34 (a)(b)(c) | 528,256 | 528,048 | |
Series 2018-B Class A2B, 1 month U.S. LIBOR + 0.720% 1.5947% 1/15/37 (a)(b)(c) | 1,050,055 | 1,029,378 | |
Series 2020-BA Class A1A, 1.29% 7/15/53 (a) | 328,279 | 307,341 | |
Series 2020-PTB Class A2A, 1.6% 9/15/54 (a) | 2,042,622 | 1,882,049 | |
Series 2021-B Class A, 1.31% 7/17/51 (a) | 1,324,543 | 1,249,637 | |
Symphony CLO XXI, Ltd. Series 2021-21A Class AR, 3 month U.S. LIBOR + 1.060% 2.1043% 7/15/32 (a)(b)(c) | 3,117,000 | 3,060,389 | |
Symphony CLO XXIII Ltd. Series 2021-23A Class AR, 3 month U.S. LIBOR + 1.020% 2.0643% 1/15/34 (a)(b)(c) | 6,116,000 | 6,027,673 | |
Symphony CLO XXVI Ltd. / Symphony CLO XXVI LLC Series 2021-26A Class AR, 3 month U.S. LIBOR + 1.080% 2.1427% 4/20/33 (a)(b)(c) | 465,000 | 454,350 | |
Symphony Static CLO Ltd. Series 2021-1A Class B, 3 month U.S. LIBOR + 1.450% 2.634% 10/25/29 (a)(b)(c) | 1,385,000 | 1,317,095 | |
TCI-Flatiron CLO Ltd. / LLC Series 2021-1A Class AR, 3 month U.S. LIBOR + 0.960% 2.4037% 11/18/30 (a)(b)(c) | 4,292,000 | 4,222,547 | |
TCI-Symphony CLO Series 2021-1A Class AR, 3 month U.S. LIBOR + 0.920% 1.9743% 7/15/30 (a)(b)(c) | 4,588,000 | 4,518,698 | |
Tesla Series 2020-A Class A3, 0.68% 12/20/23 (a) | 2,309,649 | 2,286,445 | |
Tesla Auto Lease Trust: | |||
Series 2021-A Class A2, 0.36% 3/20/25 (a) | 3,197,192 | 3,154,145 | |
Series 2021-B Class A2, 0.36% 9/22/25 (a) | 4,380,842 | 4,288,830 | |
Towd Point Mortgage Trust: | |||
Series 2017-1 Class A1, 2.75% 10/25/56 (a)(b) | 133,074 | 132,550 | |
Series 2017-4 Class A1, 2.75% 6/25/57 (a) | 126,182 | 124,148 | |
Series 2019-1 Class A1, 3.6585% 3/25/58 (a)(b) | 569,575 | 562,216 | |
Toyota Auto Receivables 2022-B Series 2022-B Class A2B, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.000% 0.8887% 1/15/25 (b)(c) | 1,867,000 | 1,863,345 | |
Toyota Auto Receivables Owner Trust Series 2020-C Class A3, 0.44% 10/15/24 | 7,225,932 | 7,143,062 | |
Verizon Owner Trust Series 2020-A Class A1A, 1.85% 7/22/24 | 3,073,047 | 3,071,155 | |
Volkswagen Auto Lease Trust Series 2020-A Class A2, 0.27% 4/20/23 | 1,236,979 | 1,235,655 | |
Volkswagen Auto Loan Enhanced Trust: | |||
Series 2020-1 Class A4, 1.26% 8/20/26 | 545,000 | 533,066 | |
Series 2021-1 Class A2, 0.49% 10/21/24 | 7,037,869 | 6,978,799 | |
Volvo Financial Equipment LLC Series 2019-2A Class A3, 2.04% 11/15/23 (a) | 725,281 | 725,310 | |
Voya CLO Ltd. Series 2021-1A Class A1R, 3 month U.S. LIBOR + 0.950% 1.9943% 4/17/30 (a)(b)(c) | 4,486,000 | 4,424,273 | |
Wheels SPV LLC Series 2021-1A Class A, 1 month U.S. LIBOR + 0.280% 1.2073% 8/20/29 (a)(b)(c) | 2,569,513 | 2,549,728 | |
World Omni Auto Receivables Trust: | |||
Series 2019-C Class C, 2.4% 6/15/26 | 895,000 | 885,377 | |
Series 2020-A Class C, 1.64% 8/17/26 | 480,000 | 467,136 | |
Series 2021-D Class A2, 0.35% 12/16/24 | 3,984,690 | 3,942,557 | |
Series 2022-A Class C, 2.55% 9/15/28 | 600,000 | 573,811 | |
Series 2022-B, Class A2B, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 1.050% 0% 10/15/25 (b)(c) | 3,347,000 | 3,345,630 | |
World Omni Automobile Lease Securitization Trust Series 2020-B Class A2, 0.32% 9/15/23 | 405,700 | 405,355 | |
World Omni Select Auto Trust Series 2020-A: | |||
Class B, 0.84% 6/15/26 | 510,000 | 498,107 | |
Class C, 1.25% 10/15/26 | 585,000 | 567,525 | |
TOTAL ASSET-BACKED SECURITIES | |||
(Cost $356,949,646) | 350,264,890 | ||
Collateralized Mortgage Obligations - 1.4% | |||
Private Sponsor - 1.2% | |||
Angel Oak Mortgage Trust: | |||
sequential payer: | |||
Series 2019-4 Class A3, 3.301% 7/26/49 (a) | 97,160 | 96,906 | |
Series 2020-6 Class A1, 1.261% 5/25/65 (a) | 275,072 | 264,249 | |
Series 2021-1: | |||
Class A1, 0.909% 1/25/66 (a) | 668,357 | 620,920 | |
Class A2, 1.115% 1/25/66 (a) | 195,459 | 181,595 | |
Series 2021-2 Class A1, 0.985% 4/25/66 (a) | 566,073 | 526,544 | |
Series 2019-2 Class M1, 4.065% 3/25/49 (a) | 545,000 | 540,881 | |
Series 2021-3 Class A1, 1.068% 5/25/66 (a) | 427,997 | 397,516 | |
Series 2021-6 Class A3, 1.714% 9/25/66 (a) | 446,866 | 400,162 | |
Angel Oak Mortgage Trust LLC: | |||
sequential payer Series 2020-3 Class A1, 1.691% 4/25/65 (a) | 381,275 | 372,177 | |
Series 2020-3 Class A3, 2.872% 4/25/65 (a)(b) | 618,323 | 609,349 | |
Series 2022-2 Class A1, 3.353% 1/25/67 (a)(b) | 1,915,362 | 1,870,218 | |
Barclays Mortgage Loan Trust sequential payer Series 2021-NQM1 Class A1, 1.747% 9/25/51 (a) | 1,158,433 | 1,100,491 | |
Bayview MSR Opportunity Master Fund Trust sequential payer: | |||
Series 2021-1 Class A5, 2.5% 12/25/51 (a) | 887,992 | 815,322 | |
Series 2021-5 Class A5, 2.5% 11/25/51 (a) | 1,766,538 | 1,623,076 | |
BINOM Securitization Trust sequential payer Series 2021-INV1: | |||
Class A2, 2.37% 6/25/56 (a) | 1,284,302 | 1,205,127 | |
Class A3, 2.625% 6/25/56 (a) | 402,918 | 377,494 | |
Brass PLC Series 2021-10A Class A1, 0.669% 4/16/69 (a)(b) | 752,338 | 725,550 | |
BRAVO Residential Funding Trust sequential payer Series 2021-NQM3 Class A1, 1.699% 4/25/60 (a) | 712,098 | 691,348 | |
Cascade Funding Mortgage Trust sequential payer Series 2022-EBO2 Class A, 3.169% 7/25/54 (a) | 1,404,213 | 1,400,121 | |
CIM Trust Series 2021-INV1 Class A8, 2.5% 7/1/51 (a) | 440,497 | 404,724 | |
Citigroup Mortgage Loan Trust Series 2020-EXP2 Class A3, 2.5% 8/25/50 (a) | 239,855 | 218,937 | |
Colt 2022-3 Mortgage Loan Trust sequential payer Series 2022-3 Class A1, 3.901% 2/25/67 (a) | 1,894,676 | 1,832,275 | |
Colt Funding LLC Series 2021-1 Class A2, 1.167% 6/25/66 (a) | 542,678 | 492,118 | |
COLT Funding LLC Series 2021-3 Class A3, 1.419% 9/27/66 (a)(b) | 376,319 | 338,553 | |
COLT Mortgage Loan Trust sequential payer Series 2020-3 Class A1, 1.506% 4/27/65 (a) | 101,920 | 100,019 | |
Connecticut Avenue Securities floater Series 2022-R03 Class 1M1, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 2.100% 2.6845% 3/25/42 (a)(b)(c) | 1,079,208 | 1,076,495 | |
Connecticut Avenue Securities Trust floater: | |||
Series 2022-R01 Class 1M1, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 1.000% 1.5845% 12/25/41 (a)(b)(c) | 2,110,308 | 2,066,803 | |
Series 2022-R02 Class 2M1, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 1.200% 1.7845% 1/25/42 (a)(b)(c) | 1,607,827 | 1,593,441 | |
Series 2022-R05 Class 2M1, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 1.900% 2.4845% 4/25/42 (a)(b)(c) | 1,299,981 | 1,294,539 | |
Deephaven Residential Mortgage Trust: | |||
sequential payer Series 2020-2 Class A1, 1.692% 5/25/65 (a) | 10,012 | 9,993 | |
Series 2021-1 Class A2, 0.973% 5/25/65 (a) | 124,067 | 120,285 | |
Series 2021-2: | |||
Class A1, 0.899% 4/25/66 (a) | 235,280 | 221,933 | |
Class A3, 1.26% 4/25/66 (a) | 262,170 | 242,763 | |
Ellington Financial Mortgage Trust: | |||
Series 2019-2 Class A3, 3.046% 11/25/59 (a) | 112,737 | 111,596 | |
Series 2020-1 Class A1, 2.006% 5/25/65 (a) | 242,042 | 238,819 | |
Series 2020-2 Class A1, 1.178% 10/25/65 (a) | 354,060 | 347,315 | |
Series 2021-1: | |||
Class A1, 0.797% 2/25/66 (a) | 141,525 | 131,048 | |
Class A3, 1.106% 2/25/66 (a) | 117,938 | 109,046 | |
Series 2021-2: | |||
Class A1, 0.931% 6/25/66 (a)(b) | 317,825 | 291,315 | |
Class A3, 1.291% 6/25/66 (a) | 307,347 | 278,961 | |
Series 2021-3: | |||
Class A1, 1.241% 9/25/66 (a) | 437,297 | 393,175 | |
Class A3, 1.55% 9/25/66 (a) | 311,067 | 276,005 | |
Finance of America HECM Buyout sequential payer Series 2022-HB1 Class A, 2.6948% 2/25/32 (a)(b) | 4,073,780 | 3,998,046 | |
Flagstar Mortgage Trust floater sequential payer Series 2020-1INV Class A11, 1 month U.S. LIBOR + 0.850% 1.8557% 3/25/50 (a)(b)(c) | 264,986 | 261,230 | |
FWD Securitization Trust sequential payer Series 2020-INV1 Class A1, 2.24% 1/25/50 (a) | 572,567 | 557,131 | |
Galton Funding Mortgage Trust: | |||
sequential payer: | |||
Series 2019-H1 Class M1, 3.339% 10/25/59 (a) | 600,000 | 580,622 | |
Series 2020-H1 Class M1, 2.832% 1/25/60 (a) | 625,000 | 587,099 | |
Series 2019-1: | |||
Class A21, 4.5% 2/25/59 (a) | 89,653 | 89,544 | |
Class A32, 4% 2/25/59 (a) | 45,319 | 45,046 | |
Series 2020-H1 Class A1, 2.31% 1/25/60 (a) | 4,495 | 4,392 | |
GMRF Mortgage Acquisition Co., LLC Series 2018-1 Class A33, 3.5% 11/25/57 (a) | 78,719 | 77,891 | |
Gosforth Funding PLC floater Series 2018-1A Class A1, 3 month U.S. LIBOR + 0.450% 1.9739% 8/25/60 (a)(b)(c) | 128,275 | 128,174 | |
GS Mortgage Securities Trust sequential payer Series 2021-NQM1 Class A1, 1.017% 7/25/61 (a) | 305,152 | 286,588 | |
GS Mortgage-Backed Securites Trust: | |||
sequential payer Series 2021-HP1 Class A6, 2.5% 1/25/52 (a)(b) | 545,705 | 501,388 | |
Series 2014-EB1A Class 2A1, 1.8938% 7/25/44 (a)(b) | 9,420 | 9,250 | |
Series 2021-GR2 Class A6, 2.5% 2/25/52 (a)(b) | 965,652 | 891,455 | |
GS Mortgage-Backed Securities Trust: | |||
Series 2021-PJ5 Class A8, 2.5% 10/25/51 (a)(b) | 1,300,867 | 1,210,670 | |
Series 2022-GR1 Class A5, 2.5% 6/25/52 (a) | 1,858,981 | 1,699,878 | |
Homeward Opportunities Fund Trust sequential payer Series 2020-2 Class A1, 1.657% 5/25/65 (a)(b) | 72,997 | 72,778 | |
Hundred Acre Wood Trust Series 2021-INV1 Class A9, 2.5% 7/25/51 (a)(b) | 855,311 | 789,057 | |
Imperial Fund Mortgage Trust Series 2021-NQM2 Class A3, 1.516% 9/25/56 (a) | 518,763 | 457,759 | |
J.P. Morgan Mortgage Trust Series 2020-INV1 Class A15, 3.5% 8/25/50 (a) | 190,024 | 183,594 | |
Mello Mortgage Capital Acceptance sequential payer Series 2021-INV3 Class A4, 2.5% 10/25/51 (a) | 743,234 | 686,127 | |
Metlife Securitization Trust Series 2017-1A Class A, 3% 4/25/55 (a) | 197,662 | 194,230 | |
MFRA Trust Series 2021-NQM2 Class A2, 1.317% 11/25/64 (a) | 264,419 | 246,154 | |
Mill City Mortgage Loan Trust Series 2017-2 Class A1, 2.75% 7/25/59 (a) | 102,464 | 102,061 | |
New Residential Mortgage Loan Trust: | |||
sequential payer: | |||
Series 2019-NQM5 Class A1, 2.7099% 11/25/59 (a) | 368,115 | 361,621 | |
Series 2020-NQM1 Class A1, 2.4641% 1/26/60 (a) | 193,137 | 187,307 | |
Series 2021-NQ1R Class A1, 0.9426% 7/25/55 (a) | 532,191 | 503,973 | |
Series 2021-INV1 Class A6, 2.5% 6/25/51 (a) | 578,672 | 533,848 | |
NMLT Trust sequential payer Series 2021-INV2: | |||
Class A1, 1.162% 8/25/56 (a) | 1,718,487 | 1,593,754 | |
Class A3, 1.52% 8/25/56 (a) | 442,910 | 404,067 | |
OBX Trust: | |||
floater Series 2020-EXP1 Class 2A2, 1 month U.S. LIBOR + 0.950% 1.9557% 2/25/60 (a)(b)(c) | 228,549 | 227,816 | |
sequential payer Series 2021-NQM3 Class A1, 1.054% 7/25/61 (a) | 400,608 | 358,383 | |
Series 2020-EXP1 Class 1A8, 3.5% 2/25/60 (a)(b) | 390,783 | 383,819 | |
Series 2020-EXP2: | |||
Class A8, 3% 5/25/60 (a) | 483,078 | 469,624 | |
Class A9, 3% 5/25/60 (a) | 118,840 | 115,084 | |
Series 2020-INV1 Class A5, 3.5% 12/25/49 (a) | 109,040 | 107,514 | |
Oceanview Mortgage Trust sequential payer Series 2021-2 Class A5, 2.5% 6/25/51 (a) | 862,042 | 792,035 | |
Onslow Bay Financial LLC: | |||
floater Series 2019-EXP2 Class 2A2, 1 month U.S. LIBOR + 1.200% 2.2057% 6/25/59 (a)(b)(c) | 266,019 | 263,531 | |
sequential payer: | |||
Series 2021-J1 Class A4, 2.5% 5/25/51 (a) | 971,408 | 896,162 | |
Series 2021-NQM1: | |||
Class A1, 1.072% 2/25/66 (a) | 678,299 | 630,911 | |
Class A2, 1.175% 2/25/66 (a) | 361,071 | 332,760 | |
PSMC Trust sequential payer: | |||
Series 2021-1 Class A11, 2.5% 3/25/51 (a)(b) | 1,365,065 | 1,282,644 | |
Series 2021-2 Class A3, 2.5% 5/25/51 (a) | 1,058,139 | 976,174 | |
Residential Mortgage Loan Trust Series 2021-INV2 Class A7, 2.5% 9/25/51 (a) | 1,696,280 | 1,564,885 | |
Sequoia Mortgage Trust: | |||
sequential payer Series 2018-CH2 Class A3, 4% 6/25/48 (a) | 125,844 | 125,022 | |
Series 2018-CH2 Class A21, 4% 6/25/48 (a) | 56,156 | 55,730 | |
Series 2018-CH3 Class A19, 4.5% 8/25/48 (a) | 14,788 | 14,798 | |
Series 2018-CH4 Class A2, 4% 10/25/48 (a) | 22,990 | 22,951 | |
SG Residential Mortgage Trust: | |||
sequential payer Series 2022-1 Class A1, 3.166% 3/27/62 (a) | 1,207,240 | 1,156,119 | |
Series 2020-2 Class A1, 1.381% 5/25/65 (a) | 227,862 | 218,760 | |
Starwood Mortgage Residential Trust: | |||
sequential payer Series 2019-INV1: | |||
Class A1, 2.61% 9/27/49 (a) | 6,887 | 6,829 | |
Class A3, 2.916% 9/27/49 (a) | 388,376 | 383,896 | |
Series 2020-1 Class A2, 2.408% 2/25/50 (a) | 467,069 | 460,745 | |
Series 2021-2 Class A1, 0.943% 5/25/65 (a) | 584,343 | 566,361 | |
Series 2021-4 Class A1, 1.162% 8/25/56 (a) | 1,270,122 | 1,197,159 | |
Toorak Mortgage Corp. Series 2021-INV1 Class A2, 1.409% 7/25/56 (a) | 249,388 | 231,325 | |
Towd Point Mortgage Trust: | |||
Series 2016-1 Class A3B, 3% 2/25/55 (a) | 15,654 | 15,632 | |
Series 2016-2 Class A1A, 2.75% 8/25/55 (a) | 2,434 | 2,429 | |
Series 2017-2 Class A1, 2.75% 4/25/57 (a)(b) | 84,610 | 84,237 | |
Series 2017-3 Class A1, 2.75% 7/25/57 (a)(b) | 253,775 | 251,724 | |
United Wholesale Mortgage LLC sequential payer Series 2021-INV2 Class A4, 2.5% 9/25/51 (a) | 288,799 | 266,248 | |
Verus Securitization Trust: | |||
sequential payer: | |||
Series 2019-INV3 Class A3, 3.1% 11/25/59 (a) | 444,492 | 437,611 | |
Series 2020-1 Class A3, 2.724% 1/25/60 (a) | 519,046 | 508,955 | |
Series 2020-2 Class A1, 2.226% 5/25/60 (a) | 380,334 | 376,720 | |
Series 2020-INV1 Class A1, 1.977% 3/25/60 (a) | 180,008 | 178,632 | |
Series 2019-4 Class A3, 3% 11/25/59 (a) | 184,248 | 182,982 | |
Series 2019-INV2 Class A2, 3.117% 7/25/59 (a) | 456,659 | 452,948 | |
Series 2020-5 Class A3, 1.733% 5/25/65 (a) | 186,809 | 179,050 | |
Series 2021-1: | |||
Class A2, 1.052% 1/25/66 (a) | 262,728 | 245,290 | |
Class A3, 1.155% 1/25/66 (a) | 155,249 | 144,652 | |
Series 2021-2 Class A1, 1.031% 2/25/66 (a) | 376,822 | 352,270 | |
Series 2021-5 Class A3, 1.373% 9/25/66 (a) | 436,468 | 399,021 | |
Series 2021-7 Class A1, 1.829% 10/25/66 (a) | 1,629,229 | 1,504,983 | |
Series 2021-R1 Class A2, 1.057% 10/25/63 (a) | 135,009 | 129,399 | |
Series 2021-R2 Class A1, 0.918% 2/25/64 (a) | 399,852 | 383,394 | |
Series 2022-1 Class A3, 3.288% 1/25/67 (a) | 1,813,844 | 1,744,123 | |
Vista Point Securitization Trust sequential payer Series 2020-2 Class A3, 2.496% 4/25/65 (a) | 1,091,795 | 1,060,739 | |
Wells Fargo Mortgage Backed Securities Trust: | |||
Series 2021-INV2 Class A4, 2.5% 9/25/51 (a) | 1,006,910 | 928,914 | |
Series 2021-RR1 Class A3, 2.5% 12/25/50 (a)(b) | 1,145,293 | 1,055,861 | |
TOTAL PRIVATE SPONSOR | 66,980,789 | ||
U.S. Government Agency - 0.2% | |||
Fannie Mae: | |||
floater Series 2022-R04 Class 1M1, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 2.000% 2.5845% 3/25/42 (a)(b)(c) | 717,449 | 716,313 | |
Series 2017-90 Class KA, 3% 11/25/47 | 519,248 | 519,122 | |
Fannie Mae Connecticut Avenue Securities floater: | |||
Series 2017-C02 Class 2ED3, 1 month U.S. LIBOR + 1.350% 2.3557% 9/25/29 (b)(c) | 57,129 | 56,855 | |
Series 2017-C04 Class 2ED2, 1 month U.S. LIBOR + 1.100% 2.1057% 11/25/29 (b)(c) | 1,081,878 | 1,073,012 | |
Series 2017-C05 Class 1ED3, 1 month U.S. LIBOR + 1.200% 2.2057% 1/25/30 (b)(c) | 324,241 | 323,932 | |
Series 2018-C01 Class 1ED2, 1 month U.S. LIBOR + 0.850% 1.8557% 7/25/30 (b)(c) | 545,516 | 538,054 | |
FHLMC Structured Agency Credit Risk Debt Notes floater Series 2014-DN3 Class M3, 1 month U.S. LIBOR + 4.000% 5.0057% 8/25/24 (b)(c) | 141,289 | 142,848 | |
Freddie Mac planned amortization class Series 3713 Class PA, 2% 2/15/40 | 215,512 | 213,071 | |
Freddie Mac STACR REMIC Trust floater: | |||
Series 2020-DNA6 Class M1, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.900% 1.4845% 12/25/50 (a)(b)(c) | 8,885 | 8,875 | |
Series 2021-DNA2 Class M1, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.800% 1.3845% 8/25/33 (a)(b)(c) | 256,250 | 254,344 | |
Series 2021-DNA3 Class M2, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 2.100% 2.6845% 10/25/33 (a)(b)(c) | 690,000 | 661,367 | |
Series 2021-DNA5 Class M2, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 1.650% 2.2345% 1/25/34 (a)(b)(c) | 429,300 | 419,775 | |
Series 2021-DNA6 Class M2, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 1.500% 2.0845% 10/25/41 (a)(b)(c) | 575,000 | 537,273 | |
Series 2021-DNA7 Class M2, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 1.800% 2.3845% 11/25/41 (a)(b)(c) | 555,000 | 518,999 | |
Series 2021-HQA1 Class M1, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.700% 1.2845% 8/25/33 (a)(b)(c) | 336,689 | 334,194 | |
Series 2021-HQA3 Class M1, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.850% 1.4345% 9/25/41 (a)(b)(c) | 510,000 | 493,802 | |
Series 2021-HQA4 Class M1, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.950% 1.5345% 12/25/41 (a)(b)(c) | 1,915,000 | 1,857,337 | |
Series 2022-DNA2 Class M1A, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 1.300% 1.8845% 2/25/42 (a)(b)(c) | 590,421 | 583,600 | |
Series 2022-HQA1 Class M1A, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 2.100% 2.6845% 3/25/42 (a)(b)(c) | 1,687,299 | 1,683,783 | |
Freddie Mac STACR Trust floater: | |||
Series 18-HQA2 Class M1, 1 month U.S. LIBOR + 0.750% 1.7557% 10/25/48 (a)(b)(c) | 9,350 | 9,345 | |
Series 2018-DNA2 Class M2A/S, 1 month U.S. LIBOR + 0.950% 1.9557% 12/25/30 (a)(b)(c) | 381,344 | 379,324 | |
Series 2018-DNA3 Class M2A/S, 1 month U.S. LIBOR + 0.900% 1.9057% 9/25/48 (a)(b)(c) | 424,371 | 421,868 | |
Series 2018-HRP2 Class M2, 1 month U.S. LIBOR + 1.250% 2.2557% 2/25/47 (a)(b)(c) | 102,190 | 102,209 | |
Series 2019-HRP1 Class M2, 1 month U.S. LIBOR + 1.400% 2.4057% 2/25/49 (a)(b)(c) | 501,356 | 499,099 | |
Freddie Mac Whole Loan Securities Trust Series 2017-SC02 Class M1, 3.8461% 5/25/47 (a)(b) | 57,675 | 57,386 | |
TOTAL U.S. GOVERNMENT AGENCY | 12,405,787 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | |||
(Cost $83,497,428) | 79,386,576 | ||
Commercial Mortgage Securities - 2.0% | |||
ALEN Mortgage Trust floater Series 2021-ACEN Class A, 1 month U.S. LIBOR + 1.150% 2.025% 4/15/34 (a)(b)(c) | 595,000 | 573,150 | |
Americold Realty Trust floater Series 2020-ICE5 Class B, 1 month U.S. LIBOR + 1.300% 2.1747% 11/15/37 (a)(b)(c) | 1,705,489 | 1,669,265 | |
Atrium Hotel Portfolio Trust floater Series 2017-ATRM Class A 1 month U.S. LIBOR + 0.930% 1.805% 12/15/36 (a)(b)(c) | 1,395,000 | 1,360,846 | |
Austin Fairmont Hotel Trust floater Series 2019-FAIR Class A, 1 month U.S. LIBOR + 1.050% 1.925% 9/15/32 (a)(b)(c) | 615,000 | 601,923 | |
BAMLL Commercial Mortgage Securities Trust floater: | |||
Series 2021-JACX Class C, 1 month U.S. LIBOR + 2.000% 2.875% 9/15/38 (a)(b)(c) | 805,000 | 777,003 | |
Series 2022-DKLX Class A, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 1.150% 1.932% 1/15/39 (a)(b)(c) | 1,014,000 | 989,477 | |
Banc of America Merrill Lynch Large Loan, Inc. floater Series 2018-DSNY Class A, 1 month U.S. LIBOR + 0.850% 1.725% 9/15/34 (a)(b)(c) | 970,000 | 948,121 | |
BANK Series 2019-BN19 Class A1, 2.263% 8/15/61 | 314,621 | 304,012 | |
BCP Trust floater Series 2021-330N Class A, 1 month U.S. LIBOR + 0.790% 1.674% 6/15/38 (a)(b)(c) | 500,000 | 481,811 | |
Big Commercial Mortgage Trust floater Series 2022-BIG Class C, CME TERM SOFR 1 MONTH INDEX + 2.340% 3.1221% 2/15/39 (a)(b)(c) | 410,000 | 401,548 | |
BLOX Trust floater sequential payer Series 2021-BLOX Class A, 1 month U.S. LIBOR + 0.750% 1.625% 9/15/26 (a)(b)(c) | 2,040,000 | 1,931,402 | |
BPR Trust floater: | |||
Series 2021-TY Class B, 1 month U.S. LIBOR + 1.150% 2.025% 9/15/38 (a)(b)(c) | 780,000 | 748,482 | |
Series 2022-OANA Class A, CME TERM SOFR 1 MONTH INDEX + 1.890% 2.6797% 4/15/37 (a)(b)(c) | 3,529,000 | 3,435,721 | |
BSREP Commercial Mortgage Trust floater Series 2021-DC Class D, 1 month U.S. LIBOR + 1.900% 2.775% 8/15/38 (a)(b)(c) | 340,000 | 318,006 | |
BX Commercial Mortgage Trust floater: | |||
Series 2021-PAC Class A, 1 month U.S. LIBOR + 0.680% 1.5641% 10/15/36 (a)(b)(c) | 1,872,000 | 1,779,972 | |
Series 2021-VINO Class A, 1 month U.S. LIBOR + 0.650% 1.5273% 5/15/38 (a)(b)(c) | 1,600,000 | 1,535,906 | |
Series 2022-AHP Class A, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.990% 1.7717% 1/17/39 (a)(b)(c) | 760,000 | 738,248 | |
Series 2022-CSMO Class B, CME TERM SOFR 1 MONTH INDEX + 3.140% 3.89% 6/15/27 (b)(c) | 1,090,000 | 1,084,774 | |
Series 2022-LP2 Class A, CME TERM SOFR 1 MONTH INDEX + 1.010% 1.8089% 2/15/39 (a)(b)(c) | 2,451,911 | 2,367,498 | |
BX Trust: | |||
floater: | |||
Series 2019-XL Class B, 1 month U.S. LIBOR + 1.080% 1.955% 10/15/36 (a)(b)(c) | 382,500 | 376,515 | |
Series 2021-ACNT Class A, 1 month U.S. LIBOR + 0.850% 1.725% 11/15/38 (a)(b)(c) | 1,838,000 | 1,773,113 | |
Series 2021-ARIA Class C, 1 month U.S. LIBOR + 1.640% 2.521% 10/15/36 (a)(b)(c) | 590,000 | 556,035 | |
Series 2021-BXMF Class A, 1 month U.S. LIBOR + 0.630% 1.5109% 10/15/26 (a)(b)(c) | 1,715,000 | 1,646,828 | |
Series 2021-SOAR Class D, 1 month U.S. LIBOR + 1.400% 2.275% 6/15/38 (a)(b)(c) | 665,000 | 621,316 | |
floater sequential payer Series 2021-SOAR Class A, 1.545% 6/15/38 (a)(b) | 1,777,000 | 1,704,751 | |
floater, sequential payer: | |||
Series 2019-IMC Class A, 1 month U.S. LIBOR + 1.000% 1.875% 4/15/34 (a)(b)(c) | 2,135,000 | 2,090,851 | |
Series 2019-XL Class A, 1 month U.S. LIBOR + 0.920% 1.795% 10/15/36 (a)(b)(c) | 4,590,206 | 4,532,657 | |
CGDB Commercial Mortgage Trust floater Series 2019-MOB: | |||
Class A, 1 month U.S. LIBOR + 0.950% 1.8247% 11/15/36 (a)(b)(c) | 1,033,000 | 1,005,528 | |
Class D, 1 month U.S. LIBOR + 1.650% 2.5247% 11/15/36 (a)(b)(c) | 1,545,000 | 1,488,373 | |
CHC Commercial Mortgage Trust floater Series 2019-CHC Class A, 1 month U.S. LIBOR + 1.120% 1.995% 6/15/34 (a)(b)(c) | 3,715,877 | 3,631,019 | |
Citigroup Commercial Mortgage Trust: | |||
sequential payer: | |||
Series 2012-GC8 Class A/S, 3.683% 9/10/45 (a) | 2,157,000 | 2,155,564 | |
Series 2015-GC27 Class AAB, 2.944% 2/10/48 | 2,672,118 | 2,660,297 | |
Series 2013-375P Class C, 3.5176% 5/10/35 (a)(b) | 560,000 | 544,066 | |
COMM Mortgage Trust: | |||
sequential payer: | |||
Series 2013-300P Class A1, 4.353% 8/10/30 (a) | 620,000 | 620,636 | |
Series 2015-CR22 Class A4, 3.048% 3/10/48 | 2,091,510 | 2,049,444 | |
Series 2014-CR15 Class B, 4.6275% 2/10/47 (b) | 920,000 | 927,275 | |
Series 2014-CR19 Class AM, 4.08% 8/10/47 | 1,846,434 | 1,838,171 | |
Series 2014-UBS2 Class B, 4.701% 3/10/47 | 915,000 | 916,194 | |
Series 2015-CR22: | |||
Class B, 3.926% 3/10/48 (b) | 405,000 | 397,639 | |
Class C, 4.0752% 3/10/48 (b) | 740,000 | 715,005 | |
Series 2020-CMB Class D, 3.6327% 2/10/37 (a)(b) | 560,000 | 517,143 | |
Credit Suisse Mortgage Trust: | |||
floater Series 2019-ICE4: | |||
Class A, 1 month U.S. LIBOR + 0.980% 1.855% 5/15/36 (a)(b)(c) | 5,485,000 | 5,395,831 | |
Class C, 1 month U.S. LIBOR + 1.430% 2.305% 5/15/36 (a)(b)(c) | 1,015,000 | 992,695 | |
Class D, 1 month U.S. LIBOR + 1.600% 2.475% 5/15/36 (a)(b)(c) | 780,000 | 762,390 | |
sequential payer Series 2020-NET Class A, 2.2569% 8/15/37 (a) | 445,369 | 414,763 | |
Series 2020-NET Class D, 3.7042% 8/15/37 (a)(b) | 985,000 | 899,266 | |
CSAIL Commercial Mortgage Trust: | |||
sequential payer Series 2015-C3 Class A4, 3.7182% 8/15/48 | 670,000 | 663,097 | |
Series 2019-C16 Class A1, 2.3595% 6/15/52 | 331,682 | 326,947 | |
CSMC Trust Series 2017-CHOP Class A, 1 month U.S. LIBOR + 0.750% 1.625% 7/15/32 (a)(b)(c) | 4,189,000 | 3,946,367 | |
ELP Commercial Mortgage Trust floater Series 2021-ELP Class A, 1 month U.S. LIBOR + 0.700% 1.576% 11/15/38 (a)(b)(c) | 2,555,000 | 2,441,426 | |
Extended Stay America Trust floater Series 2021-ESH: | |||
Class A, 1 month U.S. LIBOR + 1.080% 1.955% 7/15/38 (a)(b)(c) | 857,721 | 838,397 | |
Class C, 1 month U.S. LIBOR + 1.700% 2.575% 7/15/38 (a)(b)(c) | 810,015 | 787,710 | |
Fontainebleau Miami Beach Trust Series 2019-FBLU Class B, 3.447% 12/10/36 (a) | 1,075,000 | 1,041,000 | |
GCT Commercial Mortgage Trust floater Series 2021-GCT Class A, 1 month U.S. LIBOR + 0.800% 1.675% 2/15/38 (a)(b)(c) | 555,000 | 538,990 | |
Great Wolf Trust floater Series 2019-WOLF: | |||
Class A, 1 month U.S. LIBOR + 1.030% 1.909% 12/15/36 (a)(b)(c) | 1,906,000 | 1,865,472 | |
Class C, 1 month U.S. LIBOR + 1.630% 2.508% 12/15/36 (a)(b)(c) | 600,000 | 577,437 | |
GS Mortgage Securities Corp. Trust floater Series 2021-ROSS Class B, 1 month U.S. LIBOR + 1.600% 2.475% 5/15/26 (a)(b)(c) | 685,000 | 657,559 | |
GS Mortgage Securities Trust floater Series 2021-IP Class A, 1 month U.S. LIBOR + 0.950% 1.825% 10/15/36 (a)(b)(c) | 1,087,000 | 1,051,105 | |
Intown Hotel Portfolio Trust Series 2018-STAY: | |||
Class A, 1 month U.S. LIBOR + 1.100% 1.975% 1/15/33 (a)(b)(c) | 245,000 | 242,816 | |
Class C, 1 month U.S. LIBOR + 1.650% 2.525% 1/15/33 (a)(b)(c) | 205,000 | 202,072 | |
J.P. Morgan Chase Commercial Mortgage Securities Trust floater Series 2020-609M: | |||
Class B, 1 month U.S. LIBOR + 1.770% 2.645% 10/15/33 (a)(b)(c) | 995,000 | 955,583 | |
Class C, 1 month U.S. LIBOR + 2.170% 3.045% 10/15/33 (a)(b)(c) | 805,000 | 763,031 | |
JPMorgan Chase Commercial Mortgage Securities Trust floater: | |||
Series 2018-GW Class A, 1 month U.S. LIBOR + 0.800% 1.675% 5/15/35 (a)(b)(c) | 2,440,000 | 2,377,414 | |
Series 2019-BKWD: | |||
Class A, 1 month U.S. LIBOR + 1.000% 1.875% 9/15/29 (a)(b)(c) | 1,644,659 | 1,622,606 | |
Class B, 1 month U.S. LIBOR + 1.350% 2.225% 9/15/29 (a)(b)(c) | 1,830,000 | 1,772,699 | |
Class C, 1 month U.S. LIBOR + 1.600% 2.475% 9/15/29 (a)(b)(c) | 575,000 | 554,473 | |
KKR Industrial Portfolio Trust floater Series 2021-KDIP Class D, 1 month U.S. LIBOR + 1.250% 2.1247% 12/15/37 (a)(b)(c) | 198,750 | 189,413 | |
KNDR Trust floater Series 2021-KIND Class C, 1 month U.S. LIBOR + 1.750% 2.625% 8/15/38 (a)(b)(c) | 980,000 | 923,885 | |
Life Financial Services Trust floater Series 2022-BMR2 Class A1, CME TERM SOFR 1 MONTH INDEX + 1.290% 2.0952% 5/15/39 (a)(b)(c) | 2,874,000 | 2,816,480 | |
LIFE Mortgage Trust floater Series 2021-BMR Class A, 1 month U.S. LIBOR + 0.700% 1.575% 3/15/38 (a)(b)(c) | 1,631,730 | 1,562,272 | |
Merit floater Series 2021-STOR Class A, 1 month U.S. LIBOR + 0.700% 1.575% 7/15/38 (a)(b)(c) | 907,000 | 871,214 | |
MHC Commercial Mortgage Trust floater Series 2021-MHC Class B, 1 month U.S. LIBOR + 1.100% 1.976% 4/15/38 (a)(b)(c) | 710,000 | 680,009 | |
MHC Trust floater Series 2021-MHC2 Class B, 1 month U.S. LIBOR + 1.100% 1.975% 5/15/23 (a)(b)(c) | 660,000 | 631,513 | |
Morgan Stanley BAML Trust Series 2014-C18 Class A/S, 4.11% 10/15/47 | 370,000 | 365,688 | |
Morgan Stanley Capital I Trust: | |||
floater: | |||
Series 2018-BOP Class A, 1 month U.S. LIBOR + 0.850% 1.725% 8/15/33 (a)(b)(c) | 4,683,624 | 4,630,965 | |
Series 2019-NUGS Class D, 1 month U.S. LIBOR + 1.800% 3.3% 12/15/36 (a)(b)(c) | 510,000 | 488,994 | |
sequential payer Series 2014-150E Class A, 3.912% 9/9/32 (a) | 1,325,000 | 1,299,978 | |
Series 2019-MEAD Class D, 3.1771% 11/10/36 (a)(b) | 1,150,000 | 1,061,207 | |
New Orleans Hotel Trust floater Series 2019-HNLA Class B, 1 month U.S. LIBOR + 1.289% 2.1637% 4/15/32 (a)(b)(c) | 1,585,000 | 1,518,968 | |
OPG Trust floater Series 2021-PORT Class A, 1 month U.S. LIBOR + 0.480% 1.359% 10/15/36 (a)(b)(c) | 4,110,000 | 3,893,972 | |
RLGH Trust floater Series 2021-TROT Class A, 1 month U.S. LIBOR + 0.800% 1.675% 4/15/36 (a)(b)(c) | 650,000 | 631,657 | |
Shelter Growth CRE Issuer Ltd. floater Series 2021-FL3 Class A, 1 month U.S. LIBOR + 1.080% 1.9547% 9/15/36 (a)(c) | 371,720 | 360,388 | |
Slide floater Series 2018-FUN Class D, 1 month U.S. LIBOR + 2.100% 2.975% 6/15/31 (a)(b)(c) | 757,949 | 735,042 | |
SREIT Trust floater Series 2021-MFP Class A, 1 month U.S. LIBOR + 0.730% 1.6055% 11/15/38 (a)(b)(c) | 1,753,000 | 1,701,681 | |
UBS-Barclays Commercial Mortgage Trust floater Series 2013-C6 Class A3, 1 month U.S. LIBOR + 0.790% 1.6331% 4/10/46 (a)(b)(c) | 2,917,076 | 2,909,090 | |
Vista Point Securitization Trust sequential payer Series 2020-1 Class A1, 1.763% 3/25/65 (a) | 148,388 | 148,080 | |
Wells Fargo Commercial Mortgage Trust Series 2015-NXS2 Class A2, 3.02% 7/15/58 | 272,660 | 270,165 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES | |||
(Cost $117,908,633) | 114,197,392 | ||
Municipal Securities - 0.0% | |||
Golden State Tobacco Securitization Corp. Tobacco Settlement Rev. Series 2021 A1, 1.711% 6/1/24 | 800,000 | 771,347 | |
Illinois Gen. Oblig. Series 2020 A, 2.25% 10/1/22 | 1,640,000 | 1,639,304 | |
Long Island Pwr. Auth. Elec. Sys. Rev. Series 2020 C, 0.764% 3/1/23 | 360,000 | 355,718 | |
TOTAL MUNICIPAL SECURITIES | |||
(Cost $2,800,000) | 2,766,369 | ||
Bank Notes - 0.2% | |||
Capital One NA 2.15% 9/6/22 | 1,370,000 | 1,370,262 | |
First Republic Bank 1.912% 2/12/24 (b) | 4,071,000 | 4,033,454 | |
Truist Bank 1.25% 3/9/23 | 7,000,000 | 6,935,438 | |
TOTAL BANK NOTES | |||
(Cost $12,438,436) | 12,339,154 | ||
Commercial Paper - 0.7% | |||
Enel Finance America LLC: | |||
yankee 0.37% 7/11/22 | $7,000,000 | $6,989,230 | |
0.4% 8/11/22 | 5,000,000 | 4,981,500 | |
General Motors Financial Co., Inc. 1.5% 6/15/22 | 5,000,000 | 4,997,273 | |
HSBC U.S.A., Inc. 0.33% 10/4/22 | 5,000,000 | 4,968,413 | |
National Bank of Canada yankee 0.95% 8/30/22 (b)(c) | 8,000,000 | 7,997,154 | |
Thermo Fisher Scientific, Inc. 0.51% 6/1/22 | 8,000,000 | 7,999,781 | |
TOTAL COMMERCIAL PAPER | |||
(Cost $37,984,532) | 37,933,351 | ||
Shares | Value | ||
Short-Term Funds - 60.8% | |||
Short-Term Funds - 60.8% | |||
Baird Short-Term Bond Fund - Institutional Class | 17,922,563 | $169,009,766 | |
Baird Ultra Short Bond Fund Institutional Class | 39,220,580 | 391,813,590 | |
BlackRock Low Duration Bond Portfolio Investor A Shares | 24,840,976 | 228,785,390 | |
Fidelity SAI Short-Term Bond Fund (g) | 24,122,610 | 232,541,959 | |
iShares Floating Rate Bond ETF (h) | 1,477,153 | 74,404,197 | |
iShares Short Maturity Bond ETF (h) | 4,526,102 | 223,815,744 | |
iShares Short Treasury Bond ETF (h) | 513,199 | 56,575,058 | |
iShares Ultra Short-Term Bond ETF (h) | 3,334,018 | 167,167,663 | |
JPMorgan Ultra-Short Income ETF (h) | 6,142,075 | 308,086,482 | |
Metropolitan West Low Duration Bond Fund - Class M | 29,007,562 | 246,274,201 | |
PIMCO Enhanced Low Duration Active ETF (h) | 666,324 | 64,833,325 | |
PIMCO Enhanced Short Maturity Active ETF (h) | 2,912,968 | 290,277,261 | |
PIMCO Short-Term Fund Institutional Class | 79,178,259 | 761,694,847 | |
T. Rowe Price Ultra Short-Term Bond Fund | 60,820,807 | 301,671,205 | |
TOTAL SHORT-TERM FUNDS | |||
(Cost $3,572,208,664) | 3,516,950,688 | ||
Money Market Funds - 2.7% | |||
Fidelity Cash Central Fund 0.82% (i) | 26,993,104 | 26,998,503 | |
Fidelity Investments Money Market Government Portfolio Institutional Class 0.64% (g)(j) | 30,026,291 | 30,026,291 | |
Fidelity Securities Lending Cash Central Fund 0.82% (i)(k) | 83,351,203 | 83,359,539 | |
State Street Institutional U.S. Government Money Market Fund Premier Class 0.74% (j) | 17,423,749 | 17,423,749 | |
TOTAL MONEY MARKET FUNDS | |||
(Cost $157,803,108) | 157,808,082 | ||
TOTAL INVESTMENT IN SECURITIES - 101.8% | |||
(Cost $5,975,895,359) | 5,883,952,863 | ||
NET OTHER ASSETS (LIABILITIES) - (1.8)% | (104,572,868) | ||
NET ASSETS - 100% | $5,779,379,995 |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/(Depreciation) | |
Purchased | |||||
Treasury Contracts | |||||
CBOT 2-Year U.S. Treasury Note Contracts (United States) | 697 | Sept. 2022 | $147,137,789 | $(66,333) | $(66,334) |
Sold | |||||
Treasury Contracts | |||||
CBOT 10-Year U.S. Treasury Note Contracts (United States) | 16 | Sept. 2022 | 1,911,250 | 8,009 | 8,009 |
CBOT 5-Year U.S. Treasury Note Contracts (United States) | 220 | Sept. 2022 | 24,849,688 | (76,839) | (76,839) |
CBOT Ultra 10-Year U.S. Treasury Note Contracts (United States) | 18 | Sept. 2022 | 2,312,719 | 16,709 | 16,709 |
Total Sold | $(52,121) | ||||
TOTAL FUTURES CONTRACTS | $(118,455) |
The notional amount of futures purchased as a percentage of Net Assets is 2.5%
The notional amount of futures sold as a percentage of Net Assets is 0.5%
Security Type Abbreviations
ETF – Exchange-Traded Fund
Legend
(a) 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 $827,051,914 or 14.3% of net assets.
(b) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(c) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
(d) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $678,359.
(e) A portion of the security sold on a delayed delivery basis.
(f) Security or a portion of the security purchased on a delayed delivery or when-issued basis.
(g) Affiliated Fund
(h) Security or a portion of the security is on loan at period end.
(i) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.
(j) The rate quoted is the annualized seven-day yield of the fund at period end.
(k) Investment made with cash collateral received from securities on loan.
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
Fund | 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 0.82% | $140,618,356 | $788,359,371 | $901,979,224 | $132,635 | $-- | $-- | $26,998,503 | 0.1% |
Fidelity Securities Lending Cash Central Fund 0.82% | 83,337,814 | 2,298,631,173 | 2,298,609,448 | 173,336 | -- | -- | 83,359,539 | 0.2% |
Total | $223,956,170 | $3,086,990,544 | $3,200,588,672 | $305,971 | $-- | $-- | $110,358,042 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations, if applicable. Amount for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.
Affiliated Underlying Funds
Fiscal year to date information regarding the Fund's investments in affiliated Underlying Funds is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur, and are excluded from purchases and sales below if applicable. If an underlying Fund 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 0.64% | $367,658,318 | $462,367,671 | $799,999,698 | $36,468 | $-- | $-- | $30,026,291 |
Fidelity SAI Short-Term Bond Fund | 285,020,885 | 1,264,675 | 44,121,036 | 1,264,386 | (761,480) | (8,861,085) | 232,541,959 |
Total | $652,679,203 | $463,632,346 | $844,120,734 | $1,300,854 | $(761,480) | $(8,861,085) | $262,568,250 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations, if applicable.
Investment Valuation
The following is a summary of the inputs used, as of May 31, 2022, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Corporate Bonds | $1,450,442,690 | $-- | $1,450,442,690 | $-- |
U.S. Government and Government Agency Obligations | 136,770,998 | -- | 136,770,998 | -- |
U.S. Government Agency - Mortgage Securities | 25,092,673 | -- | 25,092,673 | -- |
Asset-Backed Securities | 350,264,890 | -- | 350,264,890 | -- |
Collateralized Mortgage Obligations | 79,386,576 | -- | 79,386,576 | -- |
Commercial Mortgage Securities | 114,197,392 | -- | 114,197,392 | -- |
Municipal Securities | 2,766,369 | -- | 2,766,369 | -- |
Bank Notes | 12,339,154 | -- | 12,339,154 | -- |
Commercial Paper | 37,933,351 | -- | 37,933,351 | -- |
Short-Term Funds | 3,516,950,688 | 3,516,950,688 | -- | -- |
Money Market Funds | 157,808,082 | 157,808,082 | -- | -- |
Total Investments in Securities: | $5,883,952,863 | $3,674,758,770 | $2,209,194,093 | $-- |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $24,718 | $24,718 | $-- | $-- |
Total Assets | $24,718 | $24,718 | $-- | $-- |
Liabilities | ||||
Futures Contracts | $(143,173) | $(143,173) | $-- | $-- |
Total Liabilities | $(143,173) | $(143,173) | $-- | $-- |
Total Derivative Instruments: | $(118,455) | $(118,455) | $-- | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of May 31, 2022. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
Primary Risk Exposure / Derivative Type | Value | |
Asset | Liability | |
Interest Rate Risk | ||
Futures Contracts(a) | $24,718 | $(143,173) |
Total Interest Rate Risk | 24,718 | (143,173) |
Total Value of Derivatives | $24,718 | $(143,173) |
(a) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
May 31, 2022 | ||
Assets | ||
Investment in securities, at value (including securities loaned of $81,622,975) — See accompanying schedule: Unaffiliated issuers (cost $5,594,531,181) | $5,511,026,571 | |
Fidelity Central Funds (cost $110,353,067) | 110,358,042 | |
Other affiliated issuers (cost $271,011,111) | 262,568,250 | |
Total Investment in Securities (cost $5,975,895,359) | $5,883,952,863 | |
Cash | 2,933,532 | |
Foreign currency held at value (cost $6) | 6 | |
Receivable for investments sold | ||
Regular delivery | 28,650,710 | |
Delayed delivery | 1,228,731 | |
Receivable for fund shares sold | 8,882,951 | |
Dividends receivable | 15,179 | |
Interest receivable | 6,709,689 | |
Distributions receivable from Fidelity Central Funds | 59,941 | |
Prepaid expenses | 15,997 | |
Other receivables | 121,326 | |
Total assets | 5,932,570,925 | |
Liabilities | ||
Payable for investments purchased | ||
Regular delivery | $30,720,768 | |
Delayed delivery | 1,222,416 | |
Payable for fund shares redeemed | 36,203,411 | |
Distributions payable | 1,327,138 | |
Accrued management fee | 209,957 | |
Payable for daily variation margin on futures contracts | 3,164 | |
Other payables and accrued expenses | 167,076 | |
Collateral on securities loaned | 83,337,000 | |
Total liabilities | 153,190,930 | |
Net Assets | $5,779,379,995 | |
Net Assets consist of: | ||
Paid in capital | $5,885,385,265 | |
Total accumulated earnings (loss) | (106,005,270) | |
Net Assets | $5,779,379,995 | |
Net Asset Value, offering price and redemption price per share ($5,779,379,995 ÷ 584,407,253 shares) | $9.89 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Year ended May 31, 2022 | ||
Investment Income | ||
Dividends: | ||
Unaffiliated issuers | $24,061,372 | |
Affiliated issuers | 1,185,368 | |
Interest | 24,229,168 | |
Income from Fidelity Central Funds (including $173,336 from security lending) | 305,971 | |
Total income | 49,781,879 | |
Expenses | ||
Management fee | $18,418,361 | |
Custodian fees and expenses | 48,737 | |
Independent trustees' fees and expenses | 42,112 | |
Registration fees | 83,889 | |
Audit | 77,154 | |
Legal | 10,758 | |
Miscellaneous | 35,860 | |
Total expenses before reductions | 18,716,871 | |
Expense reductions | (15,823,115) | |
Total expenses after reductions | 2,893,756 | |
Net investment income (loss) | 46,888,123 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | (6,383,722) | |
Affiliated issuers | (761,480) | |
Futures contracts | (2,127,865) | |
Capital gain distributions from underlying funds: | ||
Unaffiliated issuers | 2,117,992 | |
Affiliated issuers | 115,486 | |
Total net realized gain (loss) | (7,039,589) | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers | (133,872,065) | |
Affiliated issuers | (8,861,085) | |
Futures contracts | (85,219) | |
Total change in net unrealized appreciation (depreciation) | (142,818,369) | |
Net gain (loss) | (149,857,958) | |
Net increase (decrease) in net assets resulting from operations | $(102,969,835) |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Year ended May 31, 2022 | Year ended May 31, 2021 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $46,888,123 | $65,632,999 |
Net realized gain (loss) | (7,039,589) | 40,280,476 |
Change in net unrealized appreciation (depreciation) | (142,818,369) | 24,047,973 |
Net increase (decrease) in net assets resulting from operations | (102,969,835) | 129,961,448 |
Distributions to shareholders | (53,579,740) | (70,450,374) |
Share transactions | ||
Proceeds from sales of shares | 2,455,390,765 | 3,198,769,089 |
Reinvestment of distributions | 41,012,985 | 56,384,302 |
Cost of shares redeemed | (2,741,262,414) | (5,182,916,407) |
Net increase (decrease) in net assets resulting from share transactions | (244,858,664) | (1,927,763,016) |
Total increase (decrease) in net assets | (401,408,239) | (1,868,251,942) |
Net Assets | ||
Beginning of period | 6,180,788,234 | 8,049,040,176 |
End of period | $5,779,379,995 | $6,180,788,234 |
Other Information | ||
Shares | ||
Sold | 244,485,558 | 315,709,701 |
Issued in reinvestment of distributions | 4,092,840 | 5,562,128 |
Redeemed | (274,075,501) | (511,257,803) |
Net increase (decrease) | (25,497,103) | (189,985,974) |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Strategic Advisers Short Duration Fund
Years ended May 31, | 2022 | 2021 | 2020 | 2019 | 2018 |
Selected Per–Share Data | |||||
Net asset value, beginning of period | $10.13 | $10.06 | $10.04 | $10.03 | $10.05 |
Income from Investment Operations | |||||
Net investment income (loss)A,B | .075 | .106 | .229 | .254 | .168 |
Net realized and unrealized gain (loss) | (.230) | .081 | .020 | .018 | (.028) |
Total from investment operations | (.155) | .187 | .249 | .272 | .140 |
Distributions from net investment income | (.085) | (.112) | (.229) | (.259) | (.160) |
Distributions from net realized gain | – | (.005) | – | (.003) | – |
Total distributions | (.085) | (.117) | (.229) | (.262) | (.160) |
Net asset value, end of period | $9.89 | $10.13 | $10.06 | $10.04 | $10.03 |
Total ReturnC | (1.54)% | 1.86% | 2.51% | 2.75% | 1.40% |
Ratios to Average Net AssetsB,D,E | |||||
Expenses before reductions | .30% | .30% | .30% | .32% | .35% |
Expenses net of fee waivers, if any | .05% | .05% | .05% | .07% | .10% |
Expenses net of all reductions | .05% | .05% | .05% | .07% | .10% |
Net investment income (loss) | .74% | 1.05% | 2.28% | 2.54% | 1.67% |
Supplemental Data | |||||
Net assets, end of period (000 omitted) | $5,779,380 | $6,180,788 | $8,049,040 | $7,144,753 | $8,841,193 |
Portfolio turnover rateF | 43% | 102% | 58% | 33% | 25% |
A Calculated based on average shares outstanding during the period.
B Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any such underlying funds is not included in the Fund's net investment income (loss) ratio.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
E Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
F Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements
For the period ended May 31, 2022
1. Organization.
Strategic Advisers Short Duration Fund (the Fund) is a fund of Fidelity Rutland Square Trust II (the Trust), and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust. The Fund is offered exclusively to certain managed account clients of Strategic Advisers LLC (Strategic Advisers), an affiliate of Fidelity Management & Research Company LLC (FMR).
2. Significant Accounting Policies.
The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
- Level 1 – 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 vendors or from brokers who make markets in such securities. Corporate bonds, bank notes, municipal securities, U.S. government and government agency obligations, and commercial paper are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities are valued by pricing vendors who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Exchange-Traded Funds (ETFs) are valued at their last sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day but the exchange reports a closing bid level, ETFs are valued at the closing bid and would be categorized as Level 1 in the hierarchy. In the event there was no closing bid, ETFs may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and may be categorized as Level 2 in the hierarchy.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. If an unaffiliated open-end mutual fund's NAV is unavailable, shares of that fund may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and is categorized as Level 2 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of May 31, 2022 is included at the end of the Fund's Schedule of Investments.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. 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. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan) for certain Funds, certain independent Trustees have elected to defer receipt of a portion of their annual compensation. Deferred amounts are invested in affiliated mutual funds, are marked-to-market and remain in a fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees presented below are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, as applicable.
Strategic Advisers Short Duration Fund | $106,764 |
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of May 31, 2022, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.
Distributions are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to the short-term gain distributions from the underlying mutual funds or exchange-traded funds (ETFs), market discount, futures contracts, 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 | $5,472,941 |
Gross unrealized depreciation | (97,274,634) |
Net unrealized appreciation (depreciation) | $(91,801,693) |
Tax Cost | $5,975,754,556 |
The tax-based components of distributable earnings as of period end were as follows:
Undistributed ordinary income | $66,397 |
Capital loss carryforward | $(14,269,974) |
Net unrealized appreciation (depreciation) on securities and other investments | $(91,801,693) |
Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of fiscal period end and is subject to adjustment.
No expiration | |
Short-term | $(6,679,915) |
Long-term | (7,590,059) |
Total capital loss carryforward | $(14,269,974) |
The tax character of distributions paid was as follows:
May 31, 2022 | May 31, 2021 | |
Ordinary Income | $53,579,740 | $ 70,450,374 |
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 objective allows the Fund to enter into various types of derivative contracts, including futures contracts. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.
The Fund used derivatives to increase returns and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.
The Fund's use of derivatives increased or decreased its exposure to the following risk:
Interest Rate Risk | Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates. |
The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Counterparty credit risk related to exchange-traded futures contracts may be mitigated by the protection provided by the exchange on which they trade.
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.
Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. The Fund used futures contracts to manage its exposure to the bond market and fluctuations in interest rates.
Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments (variation margin) are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is presented in the Statement of Operations.
Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The notional amount at value reflects each contract's exposure to the underlying instrument or index at period end and is representative of volume of activity during the period. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.
4. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities, U.S. government securities and in-kind transactions, as applicable, are noted in the table below.
Purchases ($) | Sales ($) | |
Strategic Advisers Short Duration Fund | 2,341,605,520 | 2,512,823,988 |
5. Fees and Other Transactions with Affiliates.
Management Fee. Strategic Advisers (the investment adviser) provides the Fund with investment management related services. For these services, the Fund pays a monthly management fee to the investment adviser. The management fee is calculated by adding the annual management fee rate of .25% of the Fund's average net assets throughout the month to the aggregate of the fee rates, payable monthly by the investment adviser, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed .55% of the Fund's average net assets. For the reporting period, the total annual management fee rate was .29% of the Fund's average net assets.
During the period, the investment adviser waived a portion of its management fee as described in the Expense Reductions note.
Sub-Advisers. FIAM LLC (an affiliate of the investment adviser) and T. Rowe Price Associates, Inc. each served as a sub-adviser for the Fund during the period. Sub-advisers provide discretionary investment advisory services for their allocated portion of the Fund's assets and are paid as described in the Management Fee note.
Brokerage Commissions. A portion of portfolio transactions were placed with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Statement of Operations. The commissions paid to these affiliated firms were as follows:
Amount | |
Strategic Advisers Short Duration Fund | $3,667 |
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.
Prior Fiscal Year Reallocation of Underlying Fund Investments. During the prior period, the investment adviser reallocated investments of the Fund. This involved taxable redemptions of the Fund's interest in Fidelity Short-Term Bond Fund in exchange for shares of Fidelity SAI Short Term Bond Fund. The Fund redeemed 29,295,214 shares of Fidelity Short-Term Bond Fund in exchange for 25,893,567 shares of Fidelity SAI Short Term Bond Fund with a value of $258,676,739. The net realized gain (loss) of $9,260,000 on the Fund's redemptions of Fidelity Short-Term Bond Fund shares is included in the accompanying Statements of Changes in Net Assets. The fund recognized net gains on the exchanges for federal income tax purposes.
6. Investments in Fidelity Central Funds.
Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.
Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense Ratio(a) |
Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |
(a) Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.
7. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below. During the period, there were no borrowings on this line of credit.
Amount | |
Strategic Advisers Short Duration Fund | $10,382 |
8. Security Lending.
Funds lend portfolio securities from time to time in order to earn additional income. Lending agents are used, including National Financial Services (NFS), an affiliate of the investment adviser. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of a fund's daily lending revenue, for its services as lending agent. A fund may lend securities to certain qualified borrowers, including NFS. On the settlement date of the loan, a fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of a fund and any additional required collateral is delivered to a fund on the next business day. A fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund may apply collateral received from the borrower against the obligation. A fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Affiliated security lending activity, if any, was as follows:
Total Security Lending Fees Paid to NFS | Security Lending Income From Securities Loaned to NFS | Value of Securities Loaned to NFS at Period End | |
Strategic Advisers Short Duration Fund | $15,836 | $– | $– |
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, 2024. During the period, this waiver reduced the Fund's management fee by $15,738,558.
In addition, the investment adviser has voluntarily agreed to waive a portion of the Fund's management fee. During the period, this waiver reduced the Fund's management fee by $83,938.
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 $619.
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 Short Duration Fund |
Fidelity SAI Short-Term Bond Fund | 12% |
11. Coronavirus (COVID-19) Pandemic.
An outbreak of COVID-19 first detected in China during December 2019 has since spread globally and was declared a pandemic by the World Health Organization during March 2020. Developments that disrupt global economies and financial markets, such as the COVID-19 pandemic, may magnify factors that affect the Fund's performance.
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Fidelity Rutland Square Trust II and Shareholders of Strategic Advisers Short Duration Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Strategic Advisers Short Duration Fund (one of the funds constituting Fidelity Rutland Square Trust II, referred to hereafter as the “Fund”) as of May 31, 2022, the related statement of operations for the year ended May 31, 2022, the statement of changes in net assets for each of the two years in the period ended May 31, 2022, including the related notes, and the financial highlights for each of the five years in the period ended May 31, 2022 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of May 31, 2022, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended May 31, 2022 and the financial highlights for each of the five years in the period ended May 31, 2022 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of May 31, 2022 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
Boston, Massachusetts
July 14, 2022
We have served as the auditor of one or more investment companies in the Fidelity group of funds since 1932.
Trustees and Officers
The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance. If the interests of the fund and an underlying Fidelity® fund were to diverge, a conflict of interest could arise and affect how the Trustees and Members of the Advisory Board fulfill their fiduciary duties to the affected funds. Strategic Advisers has structured the fund to avoid these potential conflicts, although there may be situations where a conflict of interest is unavoidable. In such instances, Strategic Advisers, the Trustees, and Members of the Advisory Board would take reasonable steps to minimize and, if possible, eliminate the conflict. Each of the Trustees oversees 13 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 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.
Each Trustee who is not an interested person (as defined in the 1940 Act) of the trust and the fund is referred to herein as an Independent Trustee.
The fund’s Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-3455.
Experience, Skills, Attributes, and Qualifications of the Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee may also engage professional search firms to help identify potential Independent Trustee candidates with experience, qualifications, attributes, and skills consistent with the Statement of Policy. Additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, may be considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.
In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.
Board Structure and Oversight Function. Kathleen Murphy is an interested person and currently serves as Chair. The Trustees have determined that an interested Chair is appropriate and benefits shareholders because an interested Chair has a personal and professional stake in the quality and continuity of services provided to the fund. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chair, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chair and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session. Mary C. Farrell serves as the lead Independent Trustee and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.
Fidelity® funds are overseen by different Boards of Trustees. The fund's Board oversees asset allocation funds. Other Boards oversee Fidelity's investment-grade bond, money market, and asset allocation funds, and Fidelity's equity and high income funds. The fund may invest in Fidelity® funds overseen by such other Boards. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity® funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues.
The Trustees primarily operate as a full Board, but also operate in committees, to facilitate the timely and efficient consideration of all matters of importance to the Trustees, the fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the fund's activities and associated risks. The Board has charged Strategic Advisers and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the fund's business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above. Because the day-to-day operations and activities of the fund are carried out by or through Strategic Advisers, its affiliates and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees. Board oversight of different aspects of the fund's activities is exercised primarily through the full Board, but also through the Audit and Compliance Committee. Appropriate personnel, including but not limited to the fund's Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the fund's Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate. The responsibilities of each standing committee, including their oversight responsibilities, are described further under "Standing Committees of the Trustees."
Interested Trustees*:
Correspondence intended for a Trustee who is an interested person may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Charles S. Morrison (1960)
Year of Election or Appointment: 2020
Trustee
Mr. Morrison also serves as Trustee of other funds. Previously, Mr. Morrison served as President (2017-2018) and Director (2014-2018) of Fidelity SelectCo, LLC (investment adviser firm), President of Fidelity Management & Research Company (FMR) (investment adviser firm, 2016-2018), a Director of Fidelity Investments Money Management, Inc. (investment adviser firm, 2014-2018), President, Asset Management (2014-2018), Trustee of the Fidelity Equity and High Income Funds (283 funds as of December 2018) (2014-2018), and was an employee of Fidelity Investments. Mr. Morrison also previously served as Vice President of Fidelity's Fixed Income and Asset Allocation Funds (2012-2014), President, Fixed Income (2011-2014), Vice President of Fidelity's Money Market Funds (2005-2009), President, Money Market Group Leader of FMR (2009), and Senior Vice President, Money Market Group of FMR (2004-2009). Mr. Morrison also served as Vice President of Fidelity's Bond Funds (2002-2005), certain Balanced Funds (2002-2005), and certain Asset Allocation Funds (2002-2007), and as Senior Vice President (2002-2005) of Fidelity's Bond Division.
Kathleen Murphy (1963)
Year of Election or Appointment: 2022
Trustee
Chair of the Board of Trustees
Ms. Murphy also serves as Trustee of other funds. Ms. Murphy serves as a Senior Adviser to the Chief Executive Officer of Fidelity Investments (2022-present), member of the Board of Directors of Snyk Technologies (cybersecurity technology, 2022-present), member of the Advisory Board of FliptRX (pharmacy benefits manager, 2022-present), member of the Board of Directors of Fidelity Investments Life Insurance Company (2009-present)), and member of the Board of Directors of Empire Fidelity Investments Life Insurance Company (2009-present). Previously, Ms. Murphy served as President of Personal Investing at Fidelity Investments (2009-2021), Chief Executive Officer of ING U.S. Wealth Management (2003-2008), and Deputy General Counsel, General Counsel and Chief Compliance Officer (1997-2003) of Aetna. Ms. Murphy also serves as Vice Chairman of the Board of Directors of the National Football Foundation (2013-present).
* Determined to be an "Interested Trustee" by virtue of, among other things, his or her affiliation with the trust or various entities under common control with Strategic Advisers.
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Independent Trustees:
Correspondence intended for an Independent Trustee may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Peter C. Aldrich (1944)
Year of Election or Appointment: 2006
Trustee
Mr. Aldrich also serves as Trustee of other funds. Mr. Aldrich is an independent Director of BLPF GP LLC (general partner of a private fund, 2006-present) and BlackRock US Core Property Fund, Inc. (real estate investment trust, 2006-present). Previously, Mr. Aldrich served as a Managing Member of Poseidon, LLC (foreign private investment, 1998-2004), and Chairman and Managing Member of AEGIS, LLC (foreign private investment, 1997-2004). Mr. Aldrich previously was a founder, Chief Executive Officer, and Chairman of AEW Capital Management, L.P. (then, Aldrich, Eastman and Waltch, L.P.). Mr. Aldrich also served as a Director of LivelyHood, Inc. (private corporation, 2013-2020), a Trustee for the Fidelity Rutland Square Trust (2005-2010), a Director of Zipcar, Inc. (car sharing services, 2001-2009) and as Faculty Chairman of The Research Council on Global Investment of The Conference Board (business and professional education non-profit, 1999-2004). Mr. Aldrich is a Member Emeritus of the Board of Directors of the National Bureau of Economic Research and the Board of Trustees of the Museum of Fine Arts Boston.
Mary C. Farrell (1949)
Year of Election or Appointment: 2013
Trustee
Ms. Farrell also serves as Trustee of other funds. Ms. Farrell is a Director of the W.R. Berkley Corporation (insurance provider) and Director (2006-present) and Chair (2021-present) of the Howard Gilman Foundation (charitable organization). Previously, Ms. Farrell was Managing Director and Chief Investment Strategist at UBS Wealth Management USA and Co-Head of UBS Wealth Management Investment Strategy & Research Group (2003-2005) and President (2009-2021) of the Howard Gilman Foundation (charitable organization). Ms. Farrell also served as Investment Strategist at PaineWebber (1982-2000) and UBS PaineWebber (2000-2002). Ms. Farrell serves as Chairman of the Board of Trustees of Yale-New Haven Hospital and Vice Chairman of the Yale New Haven Health System Board and previously served as Trustee on the Board of Overseers of the New York University Stern School of Business.
Karen Kaplan (1960)
Year of Election or Appointment: 2006
Trustee
Ms. Kaplan also serves as Trustee of other funds. Ms. Kaplan is Chair (2014-present) and Chief Executive Officer (2013-present) of Hill Holliday (advertising and specialized marketing). Ms. Kaplan is a Member of the Board of Governors of the Chief Executives’ Club of Boston (2010-present), Member of the Executive Committee and past Chair of the Greater Boston Chamber of Commerce (2006-present), Advisory Board Member of the National Association of Corporate Directors Chapter (2012-present), Member of the Board of Trustees of the Post Office Square Trust (2012-present), Trustee of the Brigham and Women’s Hospital (2016-present), Overseer of the Boston Symphony Orchestra (2014-present), Member of the Board of Directors of The Advertising Council, Inc. (2016-present), Member of the Ron Burton Training Village Executive Board of Advisors (2017-present), Member of the Executive Committee of The Ad Council, Inc. (2019-present), and Member of the Board of Directors of The Ad Club of Boston (2020-present). Previously, Ms. Kaplan served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010), Director of The Michaels Companies, Inc. (specialty retailer, 2015-2021), a member of the Clinton Global Initiative (2010-2015), Director of DSM (dba Delta Dental and DentaQuest) (2004-2014), Formal Appointee of the 2015 Baker-Polito Economic Development Council, Director of Vera Bradley Inc. (designer of women’s accessories, 2012-2015), Member of the Board of Directors of the Massachusetts Conference for Women (2008-2015), Member of the Board of Directors of Jobs for Massachusetts (2012-2015), President of the Massachusetts Women’s Forum (2008-2010), Treasurer of the Massachusetts Women’s Forum (2002-2006), and Vice Chair of the Board of the Massachusetts Society for the Prevention of Cruelty to Children (2003-2010).
Christine Marcks (1955)
Year of Election or Appointment: 2020
Trustee
Ms. Marcks also serves as Trustee of other Funds. Prior to her retirement, Ms. Marcks served as Chief Executive Officer and President – Prudential Retirement (2007-2017) and Vice President for Rollover and Retirement Income Strategies (2005-2007), Prudential Financial, Inc. (financial services). Previously, Ms. Marcks served as a Member of the Advisory Board of certain Fidelity® funds (2019-2020), was Senior Vice President and Head of Financial Horizons (2002-2004) and Vice President, Strategic Marketing (2000-2002) of Voya Financial (formerly ING U.S.) (financial services), held numerous positions at Aetna Financial Services (financial services, 1987-2000) and served as an International Economist for the United States Department of the Treasury (1980-1987). Ms. Marcks also serves as a member of the Board of Trustees, Audit Committee and Benefits & Operations Committee of the YMCA Retirement Fund (2018-present), a non-profit organization providing retirement plan benefits to YMCA staff members, and as a member of the Board of Trustees of Assumption College (2019-present).
Heidi L. Steiger (1953)
Year of Election or Appointment: 2017
Trustee
Ms. Steiger also serves as Trustee of other funds. Ms. Steiger serves as Managing Partner of Topridge Associates, LLC (consulting, 2005-present) and a member of the Board of Directors (2022-present) of Live Current Media, Inc. Previously, Ms. Steiger served as a member of the Board of Directors (2013-2021) and member of the Membership and Executive Committee (2017-2021) of Business Executives for National Security (nonprofit), a member of the Board of Directors Chair of the Remuneration Committee of Imagine Intelligent Materials Limited (2019-2021) (technology company), a member of the Advisory Board of the joint degree program in Global Luxury Management at North Carolina State University (Raleigh, NC) and Skema (Paris) (2018-2021), a Non-Executive Director of CrowdBureau Corporation (financial technology company and index provider, 2018-2021), a member of the Global Advisory Board and Of Counsel to Signum Global Advisors (international policy and strategy, 2018-2020), Eastern Region President of The Private Client Reserve of U.S. Bancorp (banking and financial services, 2010-2015), Advisory Director of Berkshire Capital Securities, LLC (financial services, 2009-2010), President and Senior Advisor of Lowenhaupt Global Advisors, LLC (financial services, 2005-2007), and President and Contributing Editor of Worth Magazine (2004-2005) and held a variety of positions at Neuberger Berman Group, LLC (financial services, 1986-2004), including Partner and Executive Vice President and Global Head of Private Asset Management at Neuberger Berman (1999-2004). Ms. Steiger also served as a member of the Board of Directors of Nuclear Electric Insurance Ltd (insurer of nuclear utilities, 2006-2017), a member of the Board of Trustees and Audit Committee of the Eaton Vance Funds (2007-2010), a member of the Board of Directors of Aviva USA (formerly AmerUs) (insurance, 2004-2014), and a member of the Board of Trustees and Audit Committee and Chair of the Investment Committee of CIFG (financial guaranty insurance, 2009-2012), and a member of the Board of Directors of Kin Group Plc (formerly, Fitbug Holdings) (health and technology, 2016-2017).
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Advisory Board Members and Officers:
Correspondence intended for a Member of the Advisory Board (if any) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235. Correspondence intended for an officer or Howard E. Cox, Jr. may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210. Officers appear below in alphabetical order.
Name, Year of Birth; Principal Occupation
Howard E. Cox, Jr. (1944)
Year of Election or Appointment: 2009
Member of the Advisory Board
Mr. Cox also serves as a Member of the Advisory Board of other funds. Mr. Cox is a Partner of Greylock (venture capital, 1971-present) and a Director of Stryker Corporation (medical products and services, 1974-present). Previously, Mr. Cox served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010). Mr. Cox also serves as a Member of the Secretary of Defense's Business Board of Directors (2008-present), a Director of Business Executives for National Security (1997-present), a Director of the Brookings Institution (2010-present), a Director of the World Economic Forum’s Young Global Leaders Foundation (2009-present), and is a Member of the Harvard Medical School Board of Fellows (2002-present).
Craig S. Brown (1977)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Brown also serves as an officer of other funds. Mr. Brown serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2013-present).
John J. Burke III (1964)
Year of Election or Appointment: 2018
Chief Financial Officer
Mr. Burke also serves as Chief Financial Officer of other funds. Mr. Burke serves as Head of Investment Operations for Fidelity Fund and Investment Operations (2018-present) and is an employee of Fidelity Investments (1998-present). Previously Mr. Burke served as head of Asset Management Investment Operations (2012-2018).
Jonathan Davis (1968)
Year of Election or Appointment: 2010
Assistant Treasurer
Mr. Davis also serves as an officer of other funds. Mr. Davis serves as Assistant Treasurer of FIMM, LLC (2021-present), FMR Capital, Inc. (2017-present), FD Funds GP LLC (2021-present), FD Funds Holding LLC (2021-present), and FD Funds Management LLC (2021-present); and is an employee of Fidelity Investments. Previously, Mr. Davis served as Vice President and Associate General Counsel of FMR LLC (diversified financial services company, 2003-2010).
Laura M. Del Prato (1964)
Year of Election or Appointment: 2018
Assistant Treasurer
Ms. Del Prato also serves as an officer of other funds. Ms. Del Prato serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2017-present). Previously, Ms. Del Prato served as President and Treasurer of The North Carolina Capital Management Trust: Cash Portfolio and Term Portfolio (2018-2020). Prior to joining Fidelity Investments, Ms. Del Prato served as a Managing Director and Treasurer of the JPMorgan Mutual Funds (2014-2017). Prior to JPMorgan, Ms. Del Prato served as a partner at Cohen Fund Audit Services (accounting firm, 2012-2013) and KPMG LLP (accounting firm, 2004-2012).
James D. Gryglewicz (1972)
Year of Election or Appointment: 2015
Chief Compliance Officer
Mr. Gryglewicz also serves as Chief Compliance Officer of other funds. Mr. Gryglewicz serves as Compliance Officer of Strategic Advisers LLC (investment adviser firm, 2015-present), Senior Vice President of Asset Management Compliance (2009-present), and is an employee of Fidelity Investments (2004-present). Previously, Mr. Gryglewicz served as Compliance Officer of Fidelity SelectCo, LLC (investment adviser firm, 2014-2019), and as Chief Compliance Officer of certain Fidelity® funds (2014-2018).
Colm A. Hogan (1973)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Hogan also serves as an officer of other funds. Mr. Hogan serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2005-present). Previously, Mr. Hogan served as Deputy Treasurer of certain Fidelity® funds (2016-2020) and Assistant Treasurer of certain Fidelity® funds (2016-2018).
Christina H. Lee (1975)
Year of Election or Appointment: 2020
Secretary and Chief Legal Officer
Ms. Lee also serves as Secretary and CLO of other funds. Ms. Lee serves as Vice President, Associate General Counsel (2014-present) and is an employee of Fidelity Investments (2007-present). Previously, Ms. Lee served as Assistant Secretary of certain funds (2018-2019).
Cynthia Lo Bessette (1969)
Year of Election or Appointment: 2020
Assistant Secretary
Ms. Lo Bessette also serves as an officer of other funds. Ms. Lo Bessette serves as CLO, Secretary, and Senior Vice President of Fidelity Management & Research Company LLC (investment adviser firm, 2019-present); CLO of Fidelity Management & Research (Hong Kong) Limited, FMR Investment Management (UK) Limited, and Fidelity Management & Research (Japan) Limited (investment adviser firms, 2019-present); Secretary of FD Funds GP LLC (2021-present), FD Funds Holding LLC (2021-present), and FD Funds Management LLC (2021-present); and Assistant Secretary of FIMM, LLC (2019-present). She is a Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company, 2019-present), and is an employee of Fidelity Investments. Previously, Ms. Lo Bessette served as CLO, Secretary, and Senior Vice President of FMR Co., Inc. (investment adviser firm, 2019); Secretary of Fidelity SelectCo, LLC and Fidelity Investments Money Management, Inc. (investment adviser firms, 2019). Prior to joining Fidelity Investments, Ms. Lo Bessette was Executive Vice President, General Counsel (2016-2019) and Senior Vice President, Deputy General Counsel (2015-2016) of OppenheimerFunds (investment management company) and Deputy Chief Legal Officer (2013-2015) of Jennison Associates LLC (investment adviser firm).
Chris Maher (1972)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Maher also serves as an officer of other funds. Mr. Maher serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present), and is an employee of Fidelity Investments (2008-present). Previously, Mr. Maher served as Assistant Treasurer of certain funds (2013-2020); Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010).
Brett Segaloff (1972)
Year of Election or Appointment: 2021
Anti-Money Laundering (AML) Officer
Mr. Segaloff also serves as an AML Officer of other funds and other related entities. He is Director, Anti-Money Laundering (2007-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments (1996-present).
Stacie M. Smith (1974)
Year of Election or Appointment: 2020
President and Treasurer
Ms. Smith also serves as an officer of other funds. Ms. Smith serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present), is an employee of Fidelity Investments (2009-present), and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (accounting firm, 1996-2009). Previously, Ms. Smith served as Assistant Treasurer (2013-2019) and Deputy Treasurer (2013-2016) of certain Fidelity® funds.
Jim Wegmann (1979)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Wegmann also serves as an officer of other funds. Mr. Wegmann serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2011-present). Previously, Mr. Wegmann served as Assistant Treasurer of certain Fidelity® funds (2019-2021).
Shareholder Expense Example
As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (December 1, 2021 to May 31, 2022).
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Annualized Expense Ratio-A | Beginning Account Value December 1, 2021 | Ending Account Value May 31, 2022 | Expenses Paid During Period-B December 1, 2021 to May 31, 2022 | |
Strategic Advisers Short Duration Fund | .05% | |||
Actual | $1,000.00 | $986.40 | $.25 | |
Hypothetical-C | $1,000.00 | $1,024.68 | $.25 |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/ 365 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.
C 5% return per year before expenses
Distributions (Unaudited)
The dividend and capital gains distributions for the fund(s) are available on Fidelity.com or Institutional.Fidelity.com.
A total of 3.56% 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 $23,914,894 of distributions paid in the calendar year 2021 as qualifying to be taxed as section 163(j) interest dividends.
The fund will notify shareholders in January 2023 of amounts for use in preparing 2022 income tax returns.
Board Approval of Amended Sub-Advisory Agreement
Strategic Advisers Short Duration Fund
In December 2021, the Board of Trustees, including the Independent Trustees (together, the Board) voted to approve an amendment to lower the fee schedule in the existing sub-advisory agreement among Strategic Advisers LLC (Strategic Advisers), T. Rowe Price Associates, Inc. (TRPA), and Fidelity Rutland Square Trust II (Trust) on behalf of the fund (Amended Sub-Advisory Agreement). The Board noted that the updated fee schedule in the Amended Sub-Advisory Agreement became effective October 1, 2021 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 Amended Sub-Advisory Agreement, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the approval of the Amended Sub-Advisory Agreement is in the best interests of the fund and its shareholders and that the approval of such agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the fees to be charged under the Amended Sub-Advisory Agreement bear a reasonable relationship to the services to be rendered and will be based on services provided that will be in addition to, rather than duplicative of services provided under the advisory contract of any underlying fund in which the fund may invest. The Board's decision to approve the Amended Sub-Advisory Agreement was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board. In addition, individual Trustees did not necessarily attribute the same weight or importance to each factor.Nature, Extent, and Quality of Services Provided. The Board considered the backgrounds of the investment personnel that will provide services to the fund, and also considered the fund's investment objective, strategies and related investment philosophy and current sub-adviser line-up, as well as the structures of the investment personnel compensation programs and whether such structures provide appropriate incentives to act in the best interests of the fund, at its September 2021 meeting. The Board considered the detailed information provided by Strategic Advisers and by TRPA with respect to the fund and the other funds it sub-advises in the June 2021 annual contract renewal materials.The Board noted that it had approved the existing sub-advisory agreement with TRPA at its September 2021 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.Investment Performance. The Board did not consider performance to be a material factor in its decision to approve the Amended Sub-Advisory Agreement because the approval of the Amended Sub-Advisory Agreement will not result in any changes (i) to the fund's investment processes or strategies; or (ii) in the persons primarily responsible for the day-to-day management of the fund.Based on its review, the Board concluded that the nature, extent, and quality of services that will be provided to the fund under the Amended Sub-Advisory Agreement will continue to benefit the fund's shareholders.Competitiveness of Management Fee and Total Fund Expenses. The Board noted that the Amended Sub-Advisory Agreement will not result in changes to the maximum aggregate annual management fee payable by the fund or Strategic Advisers' portion of the management fee. The Board considered Strategic Advisers' contractual agreement to waive its portion of the fund's management fee. The Board considered that the Amended Sub-Advisory Agreement is expected to result in a decrease in the total management fee rate of the fund. Based on its review, the Board concluded that the fund's management fee structure and any changes to projected total expenses bear a reasonable relationship to the services that the fund and its shareholders will receive and the other factors considered.Because the Amended Sub-Advisory Agreement was negotiated at arm's length and will have no impact on the maximum management fees payable by the fund, the Board did not consider the costs of services and profitability of the relationship with the fund to Strategic Advisers to be significant factors in its decision to approve the Amended Sub-Advisory Agreement.Potential Fall-Out Benefits. The Board considered that it reviews information regarding the potential of direct and indirect benefits to Strategic Advisers and its affiliates from their relationships with the fund, including non-advisory fee compensation paid to affiliates of Strategic Advisers, if any, as well as information regarding potential fall-out benefits accruing to each sub-adviser, if any, as a result of its relationship with the fund, during its annual renewal of the fund's management contract, sub-advisory agreements, and sub-subadvisory agreements. The Board considered Strategic Advisers' representation that it does not anticipate that the approval of the Amended Sub-Advisory Agreement will have a significant impact on the profitability of, or potential fall-out benefits to, Strategic Advisers or its affiliates.Possible Economies of Scale. The Board considered that it reviews whether there have been economies of scale in connection with the management of the fund during its annual renewal of the fund's management contract, sub-advisory agreements, and sub-subadvisory agreements. The Board noted that 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 will not bear any additional management fees or expenses under the Amended Sub-Advisory Agreement.Conclusion. Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the Amended Sub-Advisory Agreement's fee structure bears a reasonable relationship to the services to be rendered and that the Amended Sub-Advisory Agreement is in the best interests of the fund and its shareholders and should be approved. The Board also concluded that the sub-advisory fees to be charged under the Amended Sub-Advisory Agreement will be based on services provided that will be in addition to, rather than duplicative of, services provided under the advisory contract of any underlying fund in which the fund may invest. In addition, the Board concluded that the approval of the Amended Sub-Advisory Agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.Liquidity Risk Management Program
The Securities and Exchange Commission adopted Rule 22e-4 under the Investment Company Act of 1940 (the Liquidity Rule) to promote effective liquidity risk management throughout the open-end investment company industry, thereby reducing the risk that funds will be unable to meet their redemption obligations and mitigating dilution of the interests of fund shareholders.
The Fund has adopted and implemented a liquidity risk management program (the Program) reasonably designed to assess and manage the Fund’s liquidity risk and to comply with the requirements of the Liquidity Rule. The Fund’s Board of Trustees (the Board) has designated the Fund’s investment adviser as administrator of the Program. Strategic Advisers has established a Liquidity Risk Management Committee (the LRM Committee) to manage the Program for each of the Funds. The LRM Committee monitors the adequacy and effectiveness of implementation of the Program and on a periodic basis assesses each Fund’s liquidity risk based on a variety of factors including (1) the Fund’s investment strategy, (2) portfolio liquidity and cash flow projections during normal and reasonably foreseeable stressed conditions, (3) shareholder redemptions and (4) borrowings and other funding sources, as applicable.
In accordance with the Program, each of the Fund’s portfolio investments is classified into one of four liquidity categories described below based on a determination of a reasonable expectation for how long it would take to convert the investment to cash (or sell or dispose of the investment) without significantly changing its market value.
- Highly liquid investments – cash or convertible to cash within three business days or less
- Moderately liquid investments – convertible to cash in three to seven calendar days
- Less liquid investments – can be sold or disposed of, but not settled, within seven calendar days
- Illiquid investments – cannot be sold or disposed of within seven calendar days
Liquidity classification determinations take into account a variety of factors including various market, trading and investment-specific considerations, as well as market depth, and generally utilize analysis from a third-party liquidity metrics service.
The Liquidity Rule places a 15% limit on a fund’s illiquid investments and requires funds that do not primarily hold assets that are highly liquid investments to determine and maintain a minimum percentage of the fund’s net assets to be invested in highly liquid investments (highly liquid investment minimum or HLIM). The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments and for determining, periodically reviewing and complying with the HLIM requirement as applicable.
At a recent meeting of the Fund’s Board of Trustees, the LRM Committee provided a written report to the Board pertaining to the operation, adequacy, and effectiveness of implementation of the Program for the annual period from December 1, 2020 through November 30, 2021. The report concluded that the Program has been implemented and is operating effectively and is reasonably designed to assess and manage the Fund’s liquidity risk.
ASD-ANN-0722
1.934458.110
Strategic Advisers® Tax-Sensitive Short Duration Fund
Offered exclusively to certain managed account clients of Strategic Advisers LLC or its affiliates - not available for sale to the general public
May 31, 2022
Contents
To view a fund's proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
You may also call 1-800-544-3455 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2022 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
Note to Shareholders:
Early in 2020, the outbreak and spread of COVID-19 emerged as a public health emergency that had a major influence on financial markets, primarily based on its impact on the global economy and corporate earnings. On March 11, 2020, the World Health Organization declared the COVID-19 outbreak a pandemic, citing sustained risk of further global spread. The pandemic prompted a number of measures to limit the spread of COVID-19, including travel and border restrictions, quarantines, and restrictions on large gatherings. In turn, these resulted in lower consumer activity, diminished demand for a wide range of products and services, disruption in manufacturing and supply chains, and – given the wide variability in outcomes regarding the outbreak – significant market uncertainty and volatility. To help stem the turmoil, the U.S. government took unprecedented action – in concert with the U.S. Federal Reserve and central banks around the world – to help support consumers, businesses, and the broader economy, and to limit disruption to the financial system.
In general, the overall impact of the pandemic lessened in 2021, amid a resilient economy and widespread distribution of three COVID-19 vaccines granted emergency use authorization from the U.S. Food and Drug Administration (FDA) early in the year. Still, the situation remains dynamic, and the extent and duration of its influence on financial markets and the economy is highly uncertain, due in part to a recent spike in cases based on highly contagious variants of the coronavirus.
Extreme events such as the COVID-19 crisis are exogenous shocks that can have significant adverse effects on mutual funds and their investments. Although multiple asset classes may be affected by market disruption, the duration and impact may not be the same for all types of assets. Fidelity is committed to helping you stay informed amid news about COVID-19 and during increased market volatility, and we continue to take extra steps to be responsive to customer needs. We encourage you to visit us online, where we offer ongoing updates, commentary, and analysis on the markets and our funds.
Performance: The Bottom Line
Average annual total return reflects the change in the value of an investment, assuming reinvestment of distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year. The hypothetical investment and the average annual total returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund’s total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.
Average Annual Total Returns
For the periods ended May 31, 2022 | Past 1 year | Life of fundA |
Strategic Advisers® Tax-Sensitive Short Duration Fund | (0.85)% | 0.96% |
A From December 28, 2017
$10,000 Over Life of Fund
Let's say hypothetically that $10,000 was invested in Strategic Advisers® Tax-Sensitive Short Duration Fund on December 28, 2017, when the fund started.
The chart shows how the value of your investment would have changed, and also shows how the Bloomberg Municipal Bond 1 Year (1-2 Y) Index performed over the same period.
Period Ending Values | ||
$10,432 | Strategic Advisers® Tax-Sensitive Short Duration Fund | |
$10,508 | Bloomberg Municipal Bond 1 Year (1-2 Y) Index |
Management's Discussion of Fund Performance
Market Recap: Tax-exempt municipal bonds posted a notable loss for the 12 months ending May 31, 2022, as rising interest rates, failure to pass the income-tax increases included in the Build Back Better legislation, and perceived richness of municipals relative to U.S. Treasuries caused shareholder flows to turn negative in 2022. The Bloomberg Municipal Bond Index returned -6.79% for the 12-month period. From mid-to-late 2021, the municipal market benefited from an improved fiscal outlook, bolstered by better-than-expected tax revenue, as well as by substantial federal aid from the American Rescue Plan Act legislation. Investor demand was strong amid expectations for higher tax rates on upper-income tax brackets. Then, from January through March, municipals suffered their worst quarter in roughly four decades, returning -6.23% as rapidly rising inflation, the lack of tax increases, and uncertainty regarding the pace of U.S. Federal Reserve interest rate hikes led to market volatility and investor outflows. As anticipated, the Fed raised its target policy rate by 25 basis points (0.25%) in mid-March. Municipals continued to struggle in April, before staging a partial rebound in May. Expectations for additional rate hikes became more tempered in response to recessionary signals, and some investors returned to the municipal market for compelling tax-free yields relative to comparable U.S. Treasuries. Municipal credit fundamentals remained solid for the 12-month period overall and, for most issuers, the risk of credit-rating downgrades appeared low.Comments from Lead Portfolio Manager Chris Heavey: For the fiscal year ending May 31, 2022, the Fund returned -0.85%, trailing the -0.19% result of the benchmark Strategic Advisers® Tax-Sensitive Short-Duration Composite Index. Municipal bonds fared well during the early months of the reporting period, supported by reduced issuance during the summer of 2021, increased redemptions and strong mutual fund inflows. After a relatively quiet period during the fourth quarter, the market environment changed dramatically as 2022 began. In anticipation of U.S. Federal Reserve policy changes, municipal yields surged across the curve, and the yield curve flattened materially. Bond issuance by state and local governments dropped and investors pulled money from municipal-bond funds. Within the Fund, the Limited Term Municipal Income strategy managed by sub-adviser FIAM® (-3%) and Ultra-Short Fixed Income portfolio from Allspring Global Investments (formerly Wells Capital; -1%) were the primary relative detractors. Both were hurt by having greater interest-rate sensitivity versus the benchmark. Holdings of BBB-rated securities also dampened Allspring’s result. On the plus side, the Fund’s cash allocation provided a valuable cushion against the negative market backdrop early in 2022. As of May 31, about 72% of the Fund’s assets were committed to sub-advisers, up from 67% at the beginning of the period.The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
Investment Summary (Unaudited)
The information in the following tables is based on the direct investments of the Fund.Top Ten Holdings as of May 31, 2022
(excluding cash equivalents) | % of fund's net assets |
JPMorgan Ultra-Short Municipal Fund Class I | 6.7 |
Vanguard Short-Term Tax-Exempt Fund Admiral Shares | 5.6 |
Federated Hermes Municipal Ultrashort Fund Institutional Shares | 1.4 |
Port Arthur Navigation Dist. Environmental Facilities Rev. | 0.7 |
Louisville & Jefferson County Metropolitan Swr. District Swr. & Drain Sys. Rev. | 0.6 |
New York Metropolitan Transportation Authority Rev | 0.6 |
New Jersey Gen. Oblig. | 0.5 |
Saint James Parish Gen. Oblig. | 0.5 |
Phoenix Indl. Solid Waste Disp. Rev. | 0.5 |
Denver City & County Arpt. Rev. | 0.5 |
Top Five Sectors as of May 31, 2022
% of fund's net assets | |
General Obligations | 12.5 |
Transportation | 12.3 |
Synthetics | 7.7 |
Other | 6.9 |
Health Care | 6.6 |
Quality Diversification (% of fund's net assets)
As of May 31, 2022 | ||
AAA,AA,A | 39.2% | |
BBB | 6.3% | |
Not Rated | 2.3% | |
Equities | 13.9% | |
Short-Term Investments and Net Other Assets | 38.3% |
We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes.
Asset Allocation (% of fund's net assets)
As of May 31, 2022 | ||
Municipal Bond Funds | 0.2% | |
Short-Term Funds | 13.7% | |
Municipal Bonds | 26.3% | |
Short-Term Investments and Net Other Assets (Liabilities) | 59.8% |
Schedule of Investments May 31, 2022
Showing Percentage of Net Assets
Municipal Bonds - 47.3% | |||
Principal Amount | Value | ||
Alabama - 1.1% | |||
Birmingham Arpt. Auth. Arpt. Series 2020: | |||
5% 7/1/24 (Build America Mutual Assurance Insured) | $325,000 | $343,285 | |
5% 7/1/25 (Build America Mutual Assurance Insured) | 325,000 | 350,390 | |
Black Belt Energy Gas District: | |||
(Proj. No. 4) Series 2019 A, 4% 6/1/23 | 1,750,000 | 1,776,771 | |
(Proj. No. 6) Series 2021 B: | |||
4% 12/1/22 | 500,000 | 504,468 | |
4% 12/1/23 | 1,250,000 | 1,274,554 | |
4% 12/1/24 | 1,250,000 | 1,283,068 | |
(Proj. No.7) Series 2021 C1: | |||
4% 12/1/22 | 750,000 | 756,703 | |
4% 12/1/24 | 3,000,000 | 3,079,364 | |
4% 12/1/25 | 4,000,000 | 4,133,356 | |
Bonds: | |||
(Proj. No.7): | |||
Series 2021 C1, 4%, tender 12/1/26 (a) | 8,850,000 | 9,153,080 | |
Series 2021 C2, SIFMA Municipal Swap Index + 0.350% 1.14%, tender 12/1/26 (a)(b) | 2,350,000 | 2,294,151 | |
Series 2017 A, 4%, tender 7/1/22 (a) | 5,220,000 | 5,229,392 | |
Series 2019 A, 4%, tender 12/1/25 (a) | 2,000,000 | 2,063,362 | |
Series 2021 A: | |||
4% 6/1/22 | 340,000 | 340,000 | |
4% 12/1/22 | 470,000 | 475,159 | |
4% 6/1/23 | 400,000 | 407,749 | |
4% 12/1/23 | 435,000 | 446,385 | |
Chatom Indl. Dev. Board Gulf Opportunity Zone Series 2020, 5% 8/1/23 (Assured Guaranty Muni. Corp. Insured) | 1,350,000 | 1,395,647 | |
Health Care Auth. for Baptist Health Series 2006 B, 1.05%, tender 11/15/37 (a) | 1,325,000 | 1,325,000 | |
Mobile County Board of School Commissioners: | |||
Series 2016 A: | |||
5% 3/1/23 | 20,000 | 20,493 | |
5% 3/1/24 | 25,000 | 26,274 | |
5% 3/1/25 | 100,000 | 107,831 | |
Series 2016 B: | |||
5% 3/1/23 | 405,000 | 414,988 | |
5% 3/1/24 | 45,000 | 47,293 | |
Mobile Indl. Dev. Board Poll. Cont. Rev. Bonds Series 2009 E, 1%, tender 6/26/25 (a) | 600,000 | 572,138 | |
Southeast Alabama Gas Supply District Bonds: | |||
(Proj. No. 2) Series 2018 A, 4%, tender 6/1/24 (a) | 1,695,000 | 1,727,348 | |
Series 2018 A, 4%, tender 4/1/24 (a) | 4,000,000 | 4,068,578 | |
Southeast Energy Auth. Rev. Bonds: | |||
(Proj. No. 1) Series 2021 A: | |||
4% 10/1/22 | 355,000 | 357,181 | |
4% 10/1/23 | 425,000 | 432,619 | |
(Proj. No. 2) Series 2021 B1: | |||
4% 6/1/22 | 770,000 | 770,000 | |
4% 6/1/23 | 1,500,000 | 1,523,244 | |
4% 6/1/24 | 1,090,000 | 1,115,710 | |
4% 6/1/25 | 300,000 | 309,316 | |
Univ. of South Alabama Univ. Rev. Series 2021, 4% 4/1/26 | 500,000 | 531,215 | |
TOTAL ALABAMA | 48,656,112 | ||
Alaska - 0.3% | |||
Alaska Hsg. Fin. Corp. Series 2021 A: | |||
3% 12/1/23 | 450,000 | 457,319 | |
3% 6/1/24 | 400,000 | 407,259 | |
Alaska Hsg. Fin. Corp. Mtg. Rev.: | |||
Series 2020 A: | |||
0.35% 6/1/22 | 660,000 | 660,000 | |
0.4% 12/1/22 | 750,000 | 745,734 | |
Series 2022 A, 3% 6/1/51 | 555,000 | 547,990 | |
Alaska Int'l. Arpts. Revs.: | |||
Series 2016 C: | |||
5% 10/1/22 (c) | 1,605,000 | 1,621,506 | |
5% 10/1/23 (c) | 425,000 | 439,950 | |
Series 2021 C: | |||
5% 10/1/23 (c) | 1,525,000 | 1,578,645 | |
5% 10/1/25 (c) | 1,720,000 | 1,848,010 | |
Alaska Muni. Bond Bank Series 2021 1, 5% 12/1/22 | 2,190,000 | 2,226,807 | |
Anchorage Gen. Oblig.: | |||
Series B, 5% 9/1/22 | 30,000 | 30,279 | |
Series C, 5% 9/1/22 | 20,000 | 20,186 | |
Northern Tobacco Securitization Corp. Tobacco Settlement Rev. Series 2021 A: | |||
3% 6/1/22 | 1,265,000 | 1,265,000 | |
4% 6/1/23 | 1,000,000 | 1,013,282 | |
5% 6/1/24 | 1,000,000 | 1,039,421 | |
5% 6/1/25 | 715,000 | 754,785 | |
5% 6/1/26 | 1,000,000 | 1,070,155 | |
TOTAL ALASKA | 15,726,328 | ||
Arizona - 1.6% | |||
Arizona Board of Regents Ctfs. of Prtn. Series 2015 A, 5% 6/1/22 | 150,000 | 150,000 | |
Arizona Ctfs. of Prtn. Series 2019 A, 5% 10/1/24 (Escrowed to Maturity) | 195,000 | 208,595 | |
Arizona Health Facilities Auth. Rev.: | |||
(Scottsdale Lincoln Hospitals Proj.) Series 2014 A: | |||
5% 12/1/22 | 15,000 | 15,271 | |
5% 12/1/23 | 20,000 | 20,949 | |
5% 12/1/24 | 45,000 | 47,736 | |
5% 12/1/26 | 110,000 | 116,290 | |
Bonds Series 2013 A3, SIFMA Municipal Swap Index + 1.850% 2.64%, tender 6/2/22 (a)(b) | 2,000,000 | 2,001,899 | |
Series 2015 A, 5% 1/1/23 | 160,000 | 163,035 | |
Arizona Indl. Dev. Auth. Hosp. Rev.: | |||
Series 2020 A: | |||
5% 2/1/24 | 600,000 | 629,719 | |
5% 2/1/26 | 750,000 | 810,629 | |
Series 2021 A, 5% 2/1/23 | 1,000,000 | 1,022,405 | |
Bullhead City Excise Taxes Series 2021 2, 0.75% 7/1/25 | 325,000 | 302,480 | |
Chandler Indl. Dev. Auth. Indl. Dev. Rev. Bonds (Intel Corp. Proj.): | |||
Series 2005, 2.4%, tender 8/14/23 (a) | 5,100,000 | 5,118,844 | |
Series 2007, 2.7%, tender 8/14/23 (a)(c) | 8,820,000 | 8,883,770 | |
Series 2019, 5%, tender 6/3/24 (a)(c) | 11,580,000 | 12,149,368 | |
Coconino County Poll. Cont. Corp. Rev. Bonds: | |||
Series 2017 A, 1.875%, tender 3/31/23 (a)(c) | 1,145,000 | 1,141,965 | |
Series 2017 B, 1.65%, tender 3/31/23 (a) | 1,020,000 | 1,015,419 | |
Glendale Union School District 205 Series A: | |||
5% 7/1/24 (Assured Guaranty Muni. Corp. Insured) | 225,000 | 238,556 | |
5% 7/1/25 (Assured Guaranty Muni. Corp. Insured) | 225,000 | 244,114 | |
Glendale Gen. Oblig. Series 2015, 5% 7/1/22 (Assured Guaranty Muni. Corp. Insured) | 20,000 | 20,060 | |
Glendale Trans. Excise Tax Rev. Series 2015: | |||
5% 7/1/22 (Assured Guaranty Muni. Corp. Insured) | 25,000 | 25,075 | |
5% 7/1/23 (Assured Guaranty Muni. Corp. Insured) | 30,000 | 31,073 | |
Maricopa County Indl. Dev. Auth. Series 2019 A, 5% 9/1/23 | 365,000 | 379,976 | |
Maricopa County Rev.: | |||
Bonds Series B, 5%, tender 10/18/22 (a) | 2,980,000 | 3,016,419 | |
Series 2016 A: | |||
4% 1/1/24 | 115,000 | 118,413 | |
5% 1/1/25 | 105,000 | 111,943 | |
Maricopa County Spl. Health Care District Gen. Oblig. Series 2021 D, 5% 7/1/25 | 1,100,000 | 1,190,026 | |
Phoenix Civic Impt. Board Arpt. Rev.: | |||
Series 2017 A, 5% 7/1/24 (c) | 1,020,000 | 1,074,827 | |
Series 2017 D: | |||
5% 7/1/22 | 940,000 | 942,782 | |
5% 7/1/24 | 490,000 | 517,465 | |
5% 7/1/25 | 50,000 | 53,937 | |
Series 2018, 5% 7/1/23 (c) | 1,100,000 | 1,134,900 | |
Series 2019 B: | |||
5% 7/1/22 (c) | 725,000 | 726,949 | |
5% 7/1/23 (c) | 1,000,000 | 1,030,312 | |
Phoenix Civic Impt. Corp. Wtr. Sys. Rev. Series 2014 B, 5% 7/1/27 | 400,000 | 423,343 | |
Phoenix Indl. Solid Waste Disp. Rev. Bonds (Republic Svc., Inc. Proj.) Series 2013, 2%, tender 8/1/22 (a)(c) | 23,880,000 | 23,874,063 | |
Pima County Ctfs. of Prtn. Series 2014: | |||
5% 12/1/22 | 130,000 | 132,374 | |
5% 12/1/23 | 75,000 | 78,526 | |
Pima County Swr. Sys. Rev. Series 2020 A, 5% 7/1/23 | 270,000 | 279,746 | |
Tucson Ctfs. of Prtn. Series 2015: | |||
5% 7/1/22 (Assured Guaranty Muni. Corp. Insured) | 290,000 | 290,882 | |
5% 7/1/23 (Assured Guaranty Muni. Corp. Insured) | 200,000 | 207,000 | |
Yavapai County Indl. Dev. Auth.: | |||
Series 2016, 5% 8/1/23 | 275,000 | 285,269 | |
Series 2019: | |||
5% 8/1/22 | 425,000 | 427,628 | |
5% 8/1/23 | 355,000 | 368,256 | |
Yuma Pledged Rev. Series 2021: | |||
4% 7/1/24 | 300,000 | 311,683 | |
4% 7/1/25 | 505,000 | 532,151 | |
TOTAL ARIZONA | 71,866,122 | ||
Arkansas - 0.3% | |||
Arkansas Dev. Fin. Auth. Multi-family Hsg. Rev.: | |||
(NLR Rad Family Homes Proj.) Series 2020, 1.2%, tender 9/1/22 (a) | 5,000,000 | 4,996,837 | |
Bonds Series 2021, 1.25%, tender 12/1/23 (a) | 5,000,000 | 4,919,325 | |
Arkansas Dev. Fin. Auth. Pub. Safety Charges (Arkansas Division of Emergency Mgmt. Proj.) Series 2020, 5% 6/1/24 | 565,000 | 597,366 | |
Batesville Pub. Facilities Board Series 2020: | |||
5% 6/1/22 | 590,000 | 590,000 | |
5% 6/1/23 | 790,000 | 810,611 | |
TOTAL ARKANSAS | 11,914,139 | ||
California - 3.3% | |||
Bay Area Toll Auth. San Francisco Bay Toll Bridge Rev. Bonds: | |||
Series 2017 G, 2%, tender 4/1/24 (a) | 1,120,000 | 1,112,271 | |
Series 2021 B, 0.280% x SIFMA Municipal Swap Index 1.07%, tender 4/1/24 (a)(b) | 2,500,000 | 2,478,717 | |
Series A, 2.95%, tender 4/1/26 (a) | 110,000 | 110,242 | |
Series B, 2.85%, tender 4/1/25 (a) | 95,000 | 95,008 | |
Burbank Glendale Pasadena Arpt. Auth. Rev. Series B, 5% 7/1/23 (c) | 1,290,000 | 1,329,524 | |
California Edl. Facilities Auth. Rev. Series 2022 A, 5% 12/1/22 | 200,000 | 203,151 | |
California Gen. Oblig.: | |||
Series 2011, 5.25% 9/1/22 | 35,000 | 35,365 | |
Series 2015, 5% 3/1/23 | 310,000 | 318,373 | |
Series 2021: | |||
4% 12/1/22 | 4,150,000 | 4,206,956 | |
5% 10/1/22 | 2,500,000 | 2,531,749 | |
5% 12/1/22 | 4,000,000 | 4,074,665 | |
5% 12/1/23 | 2,000,000 | 2,099,502 | |
California Health Facilities Fing. Auth. Rev.: | |||
Bonds: | |||
Series 2009 C, 5%, tender 10/18/22 (a) | 970,000 | 982,597 | |
Series 2017 A, 5%, tender 11/1/22 (a) | 210,000 | 212,926 | |
Series 2017 C, 5%, tender 11/1/22 (a) | 1,185,000 | 1,201,511 | |
Series 2021 A, 3%, tender 8/15/25 (a) | 2,665,000 | 2,725,356 | |
Series 2015, 5% 11/15/23 | 200,000 | 209,461 | |
Series 2018 A, 5% 11/15/22 | 195,000 | 198,121 | |
California Infrastructure and Econ. Dev. Bank Rev. Bonds Series 2021 B1, 0.39%, tender 1/1/24 (a) | 1,000,000 | 976,892 | |
California Muni. Fin. Auth. Solid Waste Disp. Rev. Bonds: | |||
(Republic Svcs., Inc. Proj.): | |||
Series 2021 A, 1.875%, tender 10/3/22 (a)(c) | 6,100,000 | 6,094,290 | |
Series 2021 B, 0.375%, tender 7/15/22 (a)(c) | 11,600,000 | 11,576,235 | |
(Waste Mgmt., Inc. Proj.): | |||
Series 2017 A, 0.7%, tender 12/1/23 (a)(c) | 1,600,000 | 1,550,155 | |
Series 2020, 1%, tender 6/1/22 (a)(c) | 10,800,000 | 10,800,000 | |
California Muni. Fin. Auth. Student Hsg. (CHF Davis II, L.L.C. Orchard Park Student Hsg. Proj.) Series 2021, 5% 5/15/24 (Build America Mutual Assurance Insured) | 500,000 | 524,124 | |
California Poll. Cont. Fing. Auth. Solid Waste Disp. Rev. Bonds (Republic Svcs., Inc. Proj.): | |||
Series 2017 A1, 2%, tender 7/15/22 (a)(c)(d) | 7,900,000 | 7,899,008 | |
Series 2017 A2, 2%, tender 7/15/22 (a)(c)(d) | 5,000,000 | 4,999,372 | |
California Pub. Fin. Auth. Rev. Series 2021 A: | |||
4% 10/15/23 | 285,000 | 292,378 | |
4% 10/15/24 | 380,000 | 390,374 | |
California Pub. Works Board Lease Rev.: | |||
(Various Cap. Projs.): | |||
Series 2021 B, 5% 5/1/24 | 1,095,000 | 1,159,745 | |
Series 2022 C, 5% 8/1/23 (e) | 1,030,000 | 1,057,794 | |
Series 2014 B, 5% 10/1/25 | 350,000 | 372,749 | |
California Statewide Cmntys. Dev. Auth. Series 2021, 4% 5/15/23 | 1,300,000 | 1,318,972 | |
California Statewide Cmntys. Dev. Auth. Rev. Series 2007: | |||
1.03%, tender 7/1/40 (Assured Guaranty Muni. Corp. Insured) (a) | 9,275,000 | 9,275,000 | |
1.03%, tender 7/1/41 (Assured Guaranty Muni. Corp. Insured) (a) | 4,525,000 | 4,525,000 | |
1.12%, tender 7/1/40 (Assured Guaranty Muni. Corp. Insured) (a) | 175,000 | 175,000 | |
Cathedral City Redev. Agcy. (Merged Redev. Proj.) Series 2021 C: | |||
4% 8/1/22 | 200,000 | 200,741 | |
4% 8/1/23 | 225,000 | 229,903 | |
Golden State Tobacco Securitization Corp. Tobacco Settlement Rev.: | |||
Series 2017 A1, 5% 6/1/24 (Escrowed to Maturity) | 25,000 | 26,538 | |
Series A, 0% 6/1/24 (Escrowed to Maturity) | 75,000 | 72,010 | |
Long Beach Hbr. Rev. Series 2020 B, 5% 5/15/24 (c) | 1,475,000 | 1,551,364 | |
Los Angeles Dept. Arpt. Rev.: | |||
Series 2016 B, 5% 5/15/26 (c) | 135,000 | 146,963 | |
Series 2017 A, 5% 5/15/24 (c) | 430,000 | 451,335 | |
Series 2017 B, 5% 5/15/23 (c) | 800,000 | 823,125 | |
Series 2019 A, 5% 5/15/24 (c) | 375,000 | 393,606 | |
Series 2019 D, 5% 5/15/24 (c) | 415,000 | 435,591 | |
Series 2019 E, 4% 5/15/24 | 200,000 | 207,100 | |
Series 2020 C, 5% 5/15/24 (c) | 250,000 | 262,796 | |
Series 2022 C: | |||
5% 5/15/24 (c) | 965,000 | 1,012,880 | |
5% 5/15/25 (c) | 455,000 | 486,833 | |
Los Angeles Hbr. Dept. Rev. Series 2019 A, 5% 8/1/22 (c) | 360,000 | 362,190 | |
Metropolitan Wtr. District of Southern California Wtr. Rev. Bonds Series 2017 C, SIFMA Municipal Swap Index + 0.140% 0.93%, tender 5/21/24 (a)(b) | 1,000,000 | 997,422 | |
Oakland Unified School District Alameda County Series 2013, 5.5% 8/1/23 | 20,000 | 20,536 | |
Palomar Pomerado Health Care Dis: | |||
Series 2006 A, 1.5%, tender 11/1/36 (Assured Guaranty Muni. Corp. Insured) (a) | 4,725,000 | 4,725,000 | |
Series 2006 B, 1.4%, tender 11/1/36 (Assured Guaranty Muni. Corp. Insured) (a) | 4,600,000 | 4,600,000 | |
Series 2006 C, 1%, tender 11/1/36 (Assured Guaranty Muni. Corp. Insured) (a) | 2,200,000 | 2,200,000 | |
Port of Oakland Rev.: | |||
Series 2017 D, 5% 11/1/24 (c) | 100,000 | 106,049 | |
Series 2017: | |||
5% 11/1/23 (c) | 395,000 | 411,288 | |
5% 11/1/23 (Escrowed to Maturity) (c) | 105,000 | 109,585 | |
Series 2021 H: | |||
5% 5/1/23 (c) | 5,115,000 | 5,259,872 | |
5% 5/1/23 (Escrowed to Maturity) (c) | 400,000 | 412,328 | |
5% 5/1/24 (c) | 865,000 | 909,453 | |
5% 5/1/24 (Escrowed to Maturity) (c) | 65,000 | 68,742 | |
Riverside County Teeter Plan Series 2021 A, 0.5% 10/20/22 | 8,000,000 | 7,974,395 | |
San Diego County Reg'l. Arpt. Auth. Arpt. Rev.: | |||
Series 2013 A, 5% 7/1/22 (Escrowed to Maturity) | 200,000 | 200,635 | |
Series 2013 B, 5% 7/1/22 (Escrowed to Maturity) (c) | 1,800,000 | 1,805,343 | |
Series 2019 B, 5% 7/1/22 (c) | 250,000 | 250,678 | |
Series 2020 C: | |||
5% 7/1/22 (c) | 1,475,000 | 1,479,001 | |
5% 7/1/23 (c) | 545,000 | 561,698 | |
San Diego County Reg'l. Trans. Commission Sales Tax Rev. Series A, 5% 10/1/22 | 8,050,000 | 8,151,961 | |
San Diego Pub. Facilities Fing. Auth. Wtr. Rev. Series 2020 A, 5% 8/1/22 | 250,000 | 251,592 | |
San Francisco City & County Arpts. Commission Int'l. Arpt. Rev.: | |||
Series 2013 A, 5% 5/1/23 (c) | 705,000 | 726,401 | |
Series 2016 A, 5% 5/1/23 | 225,000 | 232,039 | |
Series 2018 A, 5% 5/1/23 (c) | 400,000 | 411,772 | |
Series 2019 A, 5% 1/1/24 (c) | 655,000 | 683,110 | |
Series 2019 H: | |||
5% 5/1/23 (c) | 2,000,000 | 2,058,862 | |
5% 5/1/25 (c) | 680,000 | 725,078 | |
Series 2022 A, 5% 5/1/26 (c) | 2,000,000 | 2,167,207 | |
San Jose Int. Arpt. Rev.: | |||
Series 2014 A, 5% 3/1/23 (Escrowed to Maturity) (c) | 1,400,000 | 1,436,115 | |
Series 2017 B, 5% 3/1/23 (Escrowed to Maturity) | 200,000 | 205,311 | |
Series 2021 A, 5% 3/1/24 (c) | 1,000,000 | 1,043,567 | |
Series 2021 B, 5% 3/1/24 | 500,000 | 524,417 | |
San Pablo Redev. Agcy. Series 2014 A, 5% 6/15/24 (Assured Guaranty Muni. Corp. Insured) | 30,000 | 31,742 | |
Southern California Pub. Pwr. Auth. Rev. Bonds Series 2020 C, 0.65%, tender 7/1/25 (a) | 250,000 | 229,830 | |
Vernon Elec. Sys. Rev.: | |||
Series 2021 A: | |||
4% 10/1/22 | 1,000,000 | 1,006,377 | |
5% 4/1/23 | 1,500,000 | 1,531,614 | |
Series 2022 A, 5% 8/1/23 | 575,000 | 591,015 | |
Washington Township Health Care District Rev. Series A: | |||
5% 7/1/22 | 200,000 | 200,584 | |
5% 7/1/23 | 200,000 | 206,673 | |
West Contra Costa Unified School District Series 2004 C, 0% 8/1/25 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 260,000 | 238,997 | |
Western Placer Unified School District Spl. Tax Series 2020, 2% 6/1/25 | 1,400,000 | 1,360,903 | |
TOTAL CALIFORNIA | 149,882,750 | ||
Colorado - 0.7% | |||
Adams & Weld Counties School District 27 Gen. Oblig. Series 2022, 5% 12/1/22 | 3,100,000 | 3,158,490 | |
Colorado Bridge Enterprise Rev. Series 2017, 4% 6/30/24 (c) | 1,330,000 | 1,370,752 | |
Colorado Health Facilities Auth.: | |||
Bonds: | |||
(Valley View Hosp. Assoc. Proj.) Series 2018, 2.8%, tender 5/15/23 (a) | 465,000 | 467,213 | |
Series 2018 B, 5%, tender 11/20/25 (a) | 660,000 | 713,152 | |
Series 2019 B: | |||
5%, tender 8/1/25 (a) | 300,000 | 317,983 | |
5%, tender 8/1/26 (a) | 340,000 | 365,637 | |
Series 2019 A, 5% 1/1/23 | 870,000 | 887,730 | |
Colorado Health Facilities Auth. Rev. Bonds Series 2016 C, 5%, tender 11/15/23 (a) | 355,000 | 370,227 | |
Colorado Hsg. & Fin. Auth.: | |||
Series 2019 F, 4.25% 11/1/49 | 150,000 | 155,140 | |
Series 2019 H, 4.25% 11/1/49 | 75,000 | 77,627 | |
Colorado Reg'l. Trans. District (Denver Transit Partners Eagle P3 Proj.) Series 2020: | |||
5% 1/15/24 | 750,000 | 781,455 | |
5% 1/15/25 | 650,000 | 678,682 | |
Colorado Reg'l. Trans. District Ctfs. of Prtn.: | |||
Series 2013 A, 5% 6/1/23 | 250,000 | 257,952 | |
Series 2014 A, 5% 6/1/23 | 85,000 | 87,704 | |
Denver City & County Arpt. Rev.: | |||
Series 2012 A: | |||
5% 11/15/22 (c) | 520,000 | 527,633 | |
5% 11/15/23 (c) | 250,000 | 253,600 | |
Series 2012 B, 5% 11/15/22 | 250,000 | 254,013 | |
Series 2013 A, 5% 11/15/22 (c) | 500,000 | 507,340 | |
Series 2013 B, 5% 11/15/24 | 250,000 | 259,698 | |
Series 2016 A, 5% 11/15/23 | 300,000 | 313,529 | |
Series 2017 A: | |||
5% 11/15/22 (c) | 3,455,000 | 3,505,716 | |
5% 11/15/23 (c) | 2,300,000 | 2,393,599 | |
Series 2018 A: | |||
5% 12/1/23 (c) | 250,000 | 260,431 | |
5% 12/1/29 (c) | 185,000 | 204,204 | |
Series 2020 A1, 5% 11/15/22 | 3,200,000 | 3,251,365 | |
Series 2020 B1: | |||
5% 11/15/22 (c) | 4,045,000 | 4,104,377 | |
5% 11/15/23 (c) | 935,000 | 973,050 | |
E-470 Pub. Hwy. Auth. Rev.: | |||
Bonds Series 2021 B, U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.350% 0.873%, tender 9/1/24 (a)(b) | 3,250,000 | 3,197,600 | |
Series 2020 A: | |||
5% 9/1/23 | 275,000 | 285,553 | |
5% 9/1/24 | 450,000 | 478,628 | |
5% 9/1/25 | 300,000 | 325,737 | |
Univ. of Colorado Enterprise Sys. Rev. Bonds: | |||
Series 2019 C, 2%, tender 10/15/24 (a) | 2,500,000 | 2,465,153 | |
Series 2021 C3A, 2%, tender 10/15/25 (a) | 645,000 | 630,508 | |
Vauxmont Metropolitan District Series 2019: | |||
5% 12/15/22 (Assured Guaranty Muni. Corp. Insured) | 100,000 | 101,735 | |
5% 12/15/23 (Assured Guaranty Muni. Corp. Insured) | 120,000 | 125,254 | |
TOTAL COLORADO | 34,108,467 | ||
Connecticut - 1.6% | |||
City of New Haven Series A, 5% 8/1/22 | 1,000,000 | 1,005,766 | |
Connecticut Gen. Oblig.: | |||
Series 2013 A, 1.78% 3/1/25 (a) | 510,000 | 518,503 | |
Series 2015 A: | |||
4% 3/15/23 | 250,000 | 254,389 | |
5% 3/15/23 | 280,000 | 287,091 | |
Series 2015 C, 5% 6/15/22 | 400,000 | 400,473 | |
Series 2016 A, 5% 3/15/26 | 150,000 | 164,741 | |
Series 2016 B, 5% 5/15/24 | 575,000 | 607,826 | |
Series 2018 F, 5% 9/15/22 | 225,000 | 227,025 | |
Series 2020 A, 5% 1/15/23 | 1,740,000 | 1,774,333 | |
Series 2022 A, 3% 1/15/23 | 3,755,000 | 3,783,062 | |
Series 2022, 4% 9/15/22 (e) | 7,500,000 | 7,537,232 | |
Series A: | |||
4% 1/15/25 | 3,500,000 | 3,655,962 | |
5% 3/15/23 | 690,000 | 707,474 | |
Series B, 4% 6/15/22 | 250,000 | 250,206 | |
Series C: | |||
4% 6/1/24 | 525,000 | 544,225 | |
5% 6/1/24 | 300,000 | 300,364 | |
Series H, 5% 11/15/22 | 390,000 | 395,582 | |
Connecticut Health & Edl. Facilities Auth. Rev.: | |||
Bonds: | |||
Series 2010 A4, 1.1%, tender 2/11/25 (a) | 5,440,000 | 5,153,381 | |
Series 2014 A, 1.1%, tender 2/7/23 (a) | 5,450,000 | 5,422,783 | |
Series 2014 B, 1.8%, tender 7/1/24 (a) | 545,000 | 538,866 | |
Series 2015 A, 0.375%, tender 7/12/24 (a) | 1,525,000 | 1,444,571 | |
Series 2017 A1, 5%, tender 7/1/22 (a) | 1,600,000 | 1,604,802 | |
Series 2017 B, 0.55%, tender 7/3/23 (a) | 6,050,000 | 5,954,406 | |
Series X2, 0.25%, tender 2/9/24 (a) | 11,565,000 | 11,203,642 | |
Series 2013 N, 5% 7/1/24 | 100,000 | 103,610 | |
Series 2014 A, 5% 7/1/27 | 390,000 | 410,602 | |
Series 2017 I1, 5% 7/1/22 | 275,000 | 275,796 | |
Series 2019 A, 5% 7/1/26 | 260,000 | 279,799 | |
Series 2020 K: | |||
5% 7/1/22 | 250,000 | 250,724 | |
5% 7/1/23 | 250,000 | 258,259 | |
Series 2022 M, 5% 7/1/26 | 200,000 | 216,830 | |
Series L1: | |||
4% 7/1/22 | 800,000 | 801,597 | |
4% 7/1/23 | 225,000 | 229,746 | |
4% 7/1/25 | 600,000 | 618,137 | |
Series N: | |||
5% 7/1/22 | 780,000 | 781,795 | |
5% 7/1/23 | 830,000 | 850,487 | |
5% 7/1/24 | 375,000 | 387,271 | |
Connecticut Higher Ed. Supplemental Ln. Auth. Rev.: | |||
(Chesla Ln. Prog.): | |||
Series 2017 A, 5% 11/15/22 (c) | 300,000 | 304,753 | |
Series B, 5% 11/15/23 (c) | 425,000 | 443,541 | |
(Chesla Loan Prog.) Series B, 5% 11/15/22 (c) | 115,000 | 116,793 | |
Series 2017 B, 5% 11/15/23 (c) | 125,000 | 130,534 | |
Connecticut Hsg. Fin. Auth.: | |||
Bonds Series 2019 E, 1.625%, tender 11/15/22 (a) | 1,175,000 | 1,174,975 | |
Series 2016 E2: | |||
1.85% 11/15/22 (c) | 1,000,000 | 1,001,214 | |
2.1% 11/15/23 (c) | 1,000,000 | 1,000,148 | |
Series 2021, 0.45% 11/15/25 | 700,000 | 649,362 | |
Series A2: | |||
0.25% 11/15/22 (c) | 1,175,000 | 1,168,980 | |
0.35% 5/15/23 (c) | 825,000 | 814,344 | |
0.4% 11/15/23 (c) | 300,000 | 293,458 | |
Series C: | |||
5% 5/15/23 (c) | 205,000 | 210,827 | |
5% 11/15/23 (c) | 710,000 | 738,893 | |
Connecticut Spl. Tax Oblig. Trans. Infrastructure Rev.: | |||
Series 2012 A: | |||
5% 1/1/23 | 665,000 | 677,654 | |
5% 1/1/24 | 200,000 | 203,676 | |
Series 2014 B, 5% 9/1/22 | 600,000 | 605,156 | |
Series 2015 A, 5% 8/1/23 | 1,370,000 | 1,421,159 | |
Series 2021 C: | |||
5% 1/1/23 | 795,000 | 810,128 | |
5% 1/1/24 | 215,000 | 225,393 | |
5% 1/1/25 | 190,000 | 204,096 | |
Series A, 4% 1/1/23 | 315,000 | 319,183 | |
New Haven Gen. Oblig. Series 2016 A, 5% 8/15/25 (Assured Guaranty Muni. Corp. Insured) | 20,000 | 21,656 | |
Univ. of Connecticut Gen. Oblig. Series 2019 A, 5% 11/1/25 | 225,000 | 245,341 | |
West Haven Gen. Oblig. Series 2021: | |||
4% 9/15/22 | 180,000 | 181,328 | |
4% 9/15/23 | 290,000 | 297,642 | |
4% 9/15/24 | 260,000 | 270,250 | |
4% 9/15/25 | 255,000 | 268,248 | |
4% 9/15/26 | 255,000 | 270,703 | |
TOTAL CONNECTICUT | 73,270,793 | ||
Delaware - 0.1% | |||
Delaware Econ. Dev. Auth. Rev. Bonds (Delmarva Pwr. & Lt. Co. Proj.) Series A, 1.05%, tender 7/1/25 (a) | 565,000 | 539,308 | |
Delaware Trans. Auth. Grant Series 2020: | |||
5% 9/1/22 | 1,250,000 | 1,261,623 | |
5% 9/1/23 | 1,400,000 | 1,456,377 | |
TOTAL DELAWARE | 3,257,308 | ||
District Of Columbia - 0.9% | |||
District of Columbia Hsg. Fin. Agcy. Multi-family Hsg. Rev. Bonds: | |||
(218 Vine St. Apts. Proj.) Series 2020, 0.3%, tender 7/1/23 (a) | 5,000,000 | 4,848,456 | |
(Park Southern Apts. Proj.) Series 2020, 0.7%, tender 6/1/23 (a) | 9,000,000 | 8,838,134 | |
Metropolitan Washington DC Arpts. Auth. Sys. Rev.: | |||
Series 2012 A: | |||
5% 10/1/22 (c) | 140,000 | 141,548 | |
5% 10/1/23 (c) | 500,000 | 504,784 | |
Series 2014 A, 5% 10/1/23 (c) | 110,000 | 114,208 | |
Series 2017 A: | |||
5% 10/1/24 (c) | 115,000 | 121,827 | |
5% 10/1/26 (c) | 145,000 | 158,857 | |
Series 2018 A, 5% 10/1/26 (c) | 325,000 | 356,059 | |
Series 2019 A: | |||
5% 10/1/22 (c) | 290,000 | 293,206 | |
5% 10/1/23 (c) | 50,000 | 51,913 | |
5% 10/1/25 (c) | 155,000 | 167,049 | |
Series 2020 A: | |||
5% 10/1/22 (c) | 1,750,000 | 1,769,345 | |
5% 10/1/23 (c) | 925,000 | 960,387 | |
5% 10/1/24 (c) | 2,575,000 | 2,727,866 | |
5% 10/1/25 (c) | 530,000 | 571,201 | |
Series 2021 A: | |||
5% 10/1/22 (c) | 2,000,000 | 2,022,109 | |
5% 10/1/23 (c) | 9,750,000 | 10,123,000 | |
5% 10/1/24 (c) | 8,000,000 | 8,474,925 | |
5% 10/1/26 (c) | 335,000 | 367,015 | |
TOTAL DISTRICT OF COLUMBIA | 42,611,889 | ||
Florida - 2.0% | |||
Brevard County Health Facilities Auth. Rev. Series 2023 A: | |||
5% 4/1/26 (e) | 290,000 | 305,608 | |
5% 4/1/28 (e) | 325,000 | 348,771 | |
Brevard County Hsg. Fin. Auth. Bonds Series 2021, 0.25%, tender 12/1/22 (a) | 2,000,000 | 1,981,570 | |
Brevard County School Board Ctfs. of Prtn.: | |||
Series 2014, 5% 7/1/27 | 115,000 | 121,808 | |
Series 2015 C: | |||
5% 7/1/22 | 80,000 | 80,245 | |
5% 7/1/23 | 65,000 | 67,289 | |
Broward County Arpt. Sys. Rev.: | |||
Series 2012 P-1: | |||
5% 10/1/22 (c) | 300,000 | 303,326 | |
5% 10/1/25 (c) | 1,000,000 | 1,009,831 | |
Series 2012 P1: | |||
5% 10/1/23 (c) | 235,000 | 237,579 | |
5% 10/1/26 (Pre-Refunded to 10/1/22 @ 100) (c) | 350,000 | 354,163 | |
Series 2012 P2, 5% 10/1/22 | 415,000 | 419,755 | |
series 2012 Q1, 5% 10/1/22 | 200,000 | 202,291 | |
Series 2012 Q2, 5% 10/1/30 (Pre-Refunded to 10/1/22 @ 100) (c) | 200,000 | 202,412 | |
Series 2013 A: | |||
5% 10/1/23 (c) | 600,000 | 623,034 | |
5.125% 10/1/38 (Pre-Refunded to 10/1/23 @ 100) (c) | 310,000 | 323,409 | |
5.25% 10/1/25 (c) | 1,500,000 | 1,554,010 | |
Series 2013 C, 5.25% 10/1/25 | 575,000 | 596,703 | |
Series 2015 A, 5% 10/1/22 (c) | 1,590,000 | 1,607,630 | |
Series 2015 C, 5% 10/1/24 (c) | 245,000 | 258,459 | |
Series 2017, 5% 10/1/25 (c) | 500,000 | 537,212 | |
Series 2019 B, 5% 10/1/23 (c) | 700,000 | 726,873 | |
Series C, 5% 10/1/23 (c) | 90,000 | 93,455 | |
Broward County Port Facilities Rev. Series 2019 D, 5% 9/1/22 (c) | 850,000 | 857,839 | |
Broward County School Board Ctfs. of Prtn.: | |||
(Broward County School District Proj.) Series 2017 C, 5% 7/1/22 | 70,000 | 70,214 | |
(Broward County School District) Series 2012 A, 5% 7/1/25 | 525,000 | 526,632 | |
Series 2015 A: | |||
5% 7/1/22 | 345,000 | 346,058 | |
5% 7/1/23 | 180,000 | 186,281 | |
Series 2015 B: | |||
5% 7/1/22 | 100,000 | 100,306 | |
5% 7/1/23 | 85,000 | 87,966 | |
5% 7/1/24 | 25,000 | 26,533 | |
Cap. Trust Agcy. Hsg. Rev. Bonds (College Park Towers Apts. Proj.) Series 2021, 1.25%, tender 5/1/23 (a) | 3,000,000 | 2,975,460 | |
Central Florida Expressway Auth. Sr. Lien Rev.: | |||
Series 2016 B, 4% 7/1/22 | 215,000 | 215,507 | |
Series 2021, 5% 7/1/24 (Assured Guaranty Muni. Corp. Insured) | 885,000 | 936,647 | |
Citizens Property Ins. Corp. Series 2012 A1, 5% 6/1/22 | 1,325,000 | 1,325,000 | |
Escambia County Poll. Cont. Rev. (Gulf Pwr. Co. Proj.) Series 2003, 2.6% 6/1/23 | 2,500,000 | 2,519,484 | |
Florida Board of Ed. Lottery Rev. Series 2014 A, 5% 7/1/24 | 200,000 | 206,760 | |
Florida Dev. Fin. Corp. Edl. Facilities (Nova Southeastern Univ. Proj.) Series 2020 A: | |||
5% 4/1/23 | 350,000 | 359,455 | |
5% 4/1/24 | 360,000 | 378,023 | |
5% 4/1/25 | 200,000 | 212,718 | |
Florida Dev. Fin. Corp. Rev. Bonds (Brightline Florida Passenger Rail Expansion Proj.) Series 2021 A, 0.3%, tender 7/1/22 (a)(c) | 3,355,000 | 3,351,203 | |
Florida Keys Aqueduct Auth. Wtr. Rev. Series 2021 B, 5% 9/1/25 | 350,000 | 380,370 | |
Florida Mid-Bay Bridge Auth. Rev. Series 2015 A: | |||
5% 10/1/22 | 45,000 | 45,463 | |
5% 10/1/23 | 55,000 | 56,935 | |
5% 10/1/24 | 45,000 | 47,242 | |
5% 10/1/25 | 40,000 | 42,648 | |
5% 10/1/26 | 45,000 | 47,862 | |
Florida Muni. Pwr. Agcy. Rev.: | |||
Series 2016 A: | |||
5% 10/1/22 | 790,000 | 799,581 | |
5% 10/1/24 | 475,000 | 504,868 | |
Series 2021 A: | |||
5% 10/1/22 | 500,000 | 506,064 | |
5% 10/1/23 | 400,000 | 416,755 | |
5% 10/1/24 | 450,000 | 478,296 | |
5% 10/1/25 | 500,000 | 543,039 | |
5% 10/1/26 | 300,000 | 332,037 | |
Greater Orlando Aviation Auth. Arpt. Facilities Rev.: | |||
Series 2015 A: | |||
4% 10/1/22 (c) | 350,000 | 352,757 | |
4% 10/1/22 (Escrowed to Maturity) (c) | 80,000 | 80,689 | |
5% 10/1/23 (c) | 160,000 | 166,185 | |
5% 10/1/23 (Escrowed to Maturity) (c) | 40,000 | 41,665 | |
Series 2016: | |||
5% 10/1/23 (c) | 2,400,000 | 2,488,920 | |
5% 10/1/24 (c) | 285,000 | 300,656 | |
Series 2017 A: | |||
5% 10/1/25 (c) | 30,000 | 31,986 | |
5% 10/1/25 (Escrowed to Maturity) (c) | 55,000 | 59,771 | |
5% 10/1/26 (c) | 10,000 | 10,781 | |
5% 10/1/26 (Escrowed to Maturity) (c) | 35,000 | 38,814 | |
Series 2019 A: | |||
5% 10/1/22 (c) | 2,415,000 | 2,442,183 | |
5% 10/1/23 (c) | 3,700,000 | 3,843,038 | |
Halifax Hosp. Med. Ctr. Rev. Series 2015, 5% 6/1/23 | 30,000 | 30,963 | |
Hillsborough County Aviation Auth. Rev.: | |||
Series 2013 A, 5.5% 10/1/24 (Pre-Refunded to 10/1/23 @ 100) (c) | 685,000 | 717,063 | |
Series 2022 A: | |||
5% 10/1/23 (c) | 110,000 | 114,252 | |
5% 10/1/25 (c) | 1,245,000 | 1,341,784 | |
Series A: | |||
5% 10/1/25 (Pre-Refunded to 10/1/23 @ 100) (c) | 2,305,000 | 2,397,826 | |
5% 10/1/26 (Pre-Refunded to 10/1/23 @ 100) (c) | 580,000 | 603,358 | |
Hillsborough County School Board Ctfs. of Prtn. Series 2015 A, 5% 7/1/26 | 230,000 | 248,253 | |
Hillsborough County School District Sales Tax Rev. Series 2015 B, 5% 10/1/22 (Assured Guaranty Muni. Corp. Insured) | 145,000 | 146,720 | |
Indian River County School Board Ctfs. of Prtn. Series 2014: | |||
5% 7/1/22 | 85,000 | 85,262 | |
5% 7/1/23 | 175,000 | 181,164 | |
Jacksonville Elec. Auth. Elec. Sys. Rev. Series 2013 C, 5% 10/1/22 (Escrowed to Maturity) | 645,000 | 652,888 | |
Jacksonville Spl. Rev. Series 2022 A: | |||
5% 10/1/23 (e) | 160,000 | 166,217 | |
5% 10/1/24 (e) | 355,000 | 378,094 | |
5% 10/1/25 (e) | 275,000 | 299,800 | |
5% 10/1/26 (e) | 65,000 | 72,431 | |
5% 10/1/27 (e) | 55,000 | 62,718 | |
Lee County Arpt. Rev.: | |||
Series 2021 A: | |||
5% 10/1/23 (c) | 2,820,000 | 2,924,480 | |
5% 10/1/24 (c) | 745,000 | 785,406 | |
5% 10/1/25 (c) | 1,375,000 | 1,475,969 | |
Series 2021 B: | |||
5% 10/1/22 (c) | 845,000 | 854,086 | |
5% 10/1/23 (c) | 800,000 | 829,640 | |
5% 10/1/24 (c) | 1,250,000 | 1,317,796 | |
5% 10/1/25 (c) | 925,000 | 992,925 | |
Manatee County Rev. Series 2013, 5% 10/1/22 | 20,000 | 20,249 | |
Manatee County School District Series 2017, 5% 10/1/24 (Assured Guaranty Muni. Corp. Insured) | 30,000 | 31,915 | |
Miami Beach Health Facilities Auth. Hosp. Rev. (Mount Sinai Med. Ctr. of Florida Proj.) Series 2012, 5% 11/15/22 | 1,250,000 | 1,269,950 | |
Miami Dade County Hsg. Multifamily Hsg. Rev. Bonds Series 2021, 0.25%, tender 12/1/22 (a) | 3,000,000 | 2,969,724 | |
Miami-Dade County Aviation Rev.: | |||
Series 2012 A: | |||
5% 10/1/22 (c) | 250,000 | 252,688 | |
5% 10/1/23 (c) | 5,375,000 | 5,433,987 | |
5% 10/1/24 (c) | 200,000 | 201,869 | |
5% 10/1/29 (Pre-Refunded to 10/1/22 @ 100) (c) | 210,000 | 212,533 | |
Series 2012 B, 5% 10/1/22 | 400,000 | 404,449 | |
Series 2014, 5% 10/1/22 (c) | 610,000 | 616,559 | |
Series 2016 A, 5% 10/1/23 | 335,000 | 347,906 | |
Series 2020 A: | |||
5% 10/1/23 | 2,435,000 | 2,528,808 | |
5% 10/1/25 | 1,255,000 | 1,356,737 | |
Miami-Dade County Expressway Auth.: | |||
(Waste Mgmt., Inc. of Florida Proj.) Series 2013 A: | |||
5% 7/1/22 | 45,000 | 45,122 | |
5% 7/1/23 | 45,000 | 45,134 | |
Series 2014 B: | |||
5% 7/1/22 | 35,000 | 35,095 | |
5% 7/1/23 | 70,000 | 72,259 | |
Miami-Dade County Health Facilities Auth. Hosp. Rev. (Nicklaus Children's Hosp. Proj.) Series 2021 A: | |||
5% 8/1/22 | 480,000 | 483,049 | |
5% 8/1/23 | 325,000 | 337,366 | |
5% 8/1/24 | 600,000 | 632,209 | |
5% 8/1/25 | 700,000 | 752,009 | |
Miami-Dade County Indl. Dev. Auth. Solid Waste Disp. Rev. Bonds (Waste Mgmt., Inc. of Florida Proj.): | |||
Series 2007, 0.32%, tender 11/1/22 (a) | 600,000 | 597,371 | |
Series 2018, 0.4%, tender 8/1/23 (a)(c) | 1,250,000 | 1,223,256 | |
Miami-Dade County School Board Ctfs. of Prtn.: | |||
Bonds Series 2014 A, 5%, tender 5/1/24 (a) | 635,000 | 668,980 | |
Series 2014 D: | |||
5% 11/1/22 | 120,000 | 121,642 | |
5% 11/1/23 | 300,000 | 313,014 | |
Series 2015 A: | |||
5% 5/1/23 | 1,075,000 | 1,106,937 | |
5% 5/1/27 (Assured Guaranty Muni. Corp. Insured) | 265,000 | 286,050 | |
Series 2015 D, 5% 2/1/23 | 830,000 | 848,596 | |
North Sumter County Util. Dependent District Series 2021: | |||
3% 10/1/22 (Assured Guaranty Muni. Corp. Insured) | 295,000 | 296,572 | |
4% 10/1/24 (Assured Guaranty Muni. Corp. Insured) | 795,000 | 824,461 | |
Okeechobee County Solid Waste Rev. Bonds (Waste Mgmt., Inc.-Okeechobee Landfill Proj.) Series 2004 A, 0.55%, tender 7/1/24 (a) | 750,000 | 708,998 | |
Orange County Health Facilities Auth. Series B, 5% 10/1/22 | 1,295,000 | 1,310,619 | |
Orange County Hsg. Fin. Auth. Multi-family Rev. Bonds Series 2021 B, 0.55%, tender 7/1/24 (a) | 1,450,000 | 1,382,322 | |
Orlando & Orange County Expressway Auth. Rev.: | |||
Series 2012, 5% 7/1/22 | 530,000 | 531,582 | |
Series 2013 B, 5% 7/1/22 | 250,000 | 250,746 | |
Orlando Utils. Commission Util. Sys. Rev.: | |||
Series 2013 A, 5% 10/1/24 | 250,000 | 267,252 | |
Series 2016 A, 5% 10/1/22 | 200,000 | 202,459 | |
Palm Beach County Edl. Facilities Auth. Series 2021: | |||
4% 10/1/22 | 205,000 | 206,164 | |
4% 10/1/23 | 220,000 | 223,712 | |
Palm Beach County Health Facilities Auth. Hosp. Rev. Series 2014: | |||
5% 12/1/23 (Escrowed to Maturity) | 5,000 | 5,237 | |
5% 12/1/24 (Escrowed to Maturity) | 10,000 | 10,729 | |
Palm Beach County School Board Ctfs. of Prtn.: | |||
Series 2014 B, 5% 8/1/22 | 40,000 | 40,249 | |
Series 2018 A, 5% 8/1/23 | 100,000 | 103,793 | |
Pasco County School District Sales Tax Rev. Series 2013, 5% 10/1/22 | 20,000 | 20,243 | |
Pinellas County Hsg. Fin. Auth. Bonds Series 2021 B, 0.65%, tender 7/1/24 (a) | 325,000 | 310,483 | |
Seminole County School Board Ctfs. of Prtn.: | |||
Series 2012 A, 5% 7/1/23 | 120,000 | 124,227 | |
Series 2016 C: | |||
5% 7/1/25 | 20,000 | 21,699 | |
5% 7/1/26 | 25,000 | 27,673 | |
Tampa Bay Wtr. Reg'l. Wtr. Supply Auth. Util. Sys. Rev. Series 2005, 5.5% 10/1/22 (FGIC Insured) | 30,000 | 30,418 | |
Tampa Hosp. Rev. (H. Lee Moffitt Cancer Ctr. Proj.) Series 2020 B: | |||
5% 7/1/23 | 90,000 | 93,180 | |
5% 7/1/24 | 75,000 | 78,891 | |
5% 7/1/25 | 100,000 | 107,257 | |
5% 7/1/26 | 175,000 | 190,502 | |
5% 7/1/27 | 150,000 | 165,065 | |
Volusia County Edl. Facilities Auth. Rev. (Embry-Riddle Aeronautical Univ., Inc. Proj.) Series 2020 A: | |||
4% 10/15/22 | 300,000 | 302,715 | |
5% 10/15/23 | 590,000 | 614,095 | |
5% 10/15/24 | 1,000,000 | 1,056,904 | |
5% 10/15/25 | 1,000,000 | 1,075,184 | |
5% 10/15/26 | 750,000 | 818,639 | |
5% 10/15/27 | 165,000 | 182,590 | |
TOTAL FLORIDA | 92,175,342 | ||
Georgia - 2.0% | |||
Atlanta Arpt. Rev.: | |||
Series 2019 B, 5% 7/1/22 (c) | 845,000 | 847,362 | |
Series 2020 B, 5% 7/1/24 (c) | 1,400,000 | 1,475,252 | |
Bartow County Dev. Auth. Poll. Cont. Rev. Bonds (Georgia Pwr. Co. Plant Bowen Proj.): | |||
Series 2009 1st, 2.75%, tender 3/15/23 (a) | 5,260,000 | 5,267,653 | |
Series 2013, 1.55%, tender 8/19/22 (a) | 2,370,000 | 2,366,409 | |
Brookhaven Dev. Auth. Rev. Series 2019 A, 5% 7/1/25 | 100,000 | 107,751 | |
Burke County Indl. Dev. Auth. Poll. Cont. Rev. Bonds: | |||
(Georgia Pwr. Co. Plant Vogtle Proj.): | |||
Series 1994, 2.25%, tender 5/25/23 (a) | 2,375,000 | 2,368,773 | |
Series 2008, 2.925%, tender 3/12/24 (a) | 250,000 | 249,300 | |
Series 2012 1st, 1.55%, tender 8/19/22 (a) | 2,000,000 | 1,996,970 | |
Series 2013 1st, 2.925%, tender 3/12/24 (a) | 990,000 | 987,230 | |
(Oglethorpe Pwr. Corp. Vogtle Proj.) Series 2017 E, 3.25%, tender 2/3/25 (a) | 100,000 | 101,938 | |
Cobb County Kennestone Hosp. Auth. Rev. (WellStar Health Sys., Inc. Proj.) Series 2020 A, 5% 4/1/23 | 150,000 | 154,103 | |
Fayette County Hosp. Auth. Rev. Bonds (Piedmont Healthcare, Inc. Proj.) Series 2019 A, 5%, tender 7/1/24 (a) | 1,075,000 | 1,120,622 | |
Gainesville & Hall County Hosp. Auth. Rev. Series 2021 A, 5% 2/15/25 | 675,000 | 718,848 | |
Georgia Muni. Elec. Auth. Pwr. Rev.: | |||
Series 2016 A, 5% 1/1/23 | 410,000 | 417,346 | |
Series 2020 A: | |||
3% 11/1/22 | 1,045,000 | 1,050,200 | |
4% 11/1/23 | 2,780,000 | 2,852,163 | |
4% 11/1/24 | 200,000 | 207,149 | |
4% 11/1/25 | 800,000 | 837,571 | |
5% 1/1/23 | 5,625,000 | 5,725,778 | |
5% 1/1/24 | 2,105,000 | 2,196,676 | |
5% 1/1/24 | 1,250,000 | 1,304,439 | |
5% 11/1/26 | 870,000 | 957,889 | |
Series 2021 A: | |||
5% 1/1/23 | 140,000 | 142,508 | |
5% 1/1/24 | 170,000 | 177,404 | |
5% 1/1/24 | 190,000 | 199,063 | |
Georgia Muni. Gas Auth. Rev. (Gas Portfolio III Proj.) Series 2014 U: | |||
5% 10/1/22 | 20,000 | 20,232 | |
5% 10/1/23 | 55,000 | 57,348 | |
Main Street Natural Gas, Inc.: | |||
Bonds: | |||
Series 2018 A, 4%, tender 9/1/23 (a) | 4,750,000 | 4,838,825 | |
Series 2018 B, 1 month U.S. LIBOR + 0.750% 1.286%, tender 9/1/23 (a)(b) | 22,200,000 | 22,064,598 | |
Series 2018 C, 4%, tender 12/1/23 (a) | 3,155,000 | 3,222,328 | |
Series 2018 E, SIFMA Municipal Swap Index + 0.570% 1.36%, tender 12/1/23 (a)(b) | 12,500,000 | 12,495,638 | |
Series 2019 B, 4%, tender 12/2/24 (a) | 1,210,000 | 1,248,087 | |
Series 2018 A, 4% 3/1/23 | 200,000 | 202,705 | |
Series 2019 A, 5% 5/15/23 | 1,750,000 | 1,788,874 | |
Series 2021 A: | |||
4% 9/1/24 | 500,000 | 514,329 | |
4% 3/1/25 | 430,000 | 443,740 | |
4% 9/1/25 | 400,000 | 413,971 | |
Series 2021 C: | |||
4% 12/1/22 | 900,000 | 907,508 | |
4% 12/1/23 | 1,470,000 | 1,496,272 | |
Series 2022 A: | |||
4% 12/1/23 | 735,000 | 748,136 | |
4% 12/1/25 | 1,500,000 | 1,540,462 | |
4% 12/1/26 | 245,000 | 252,428 | |
Monroe County Dev. Auth. Poll. Cont. Rev.: | |||
(Georgia Pwr. Co. Plant Scherer Proj.) Series 1995, 2.25% 7/1/25 | 435,000 | 421,158 | |
Bonds (Oglethorpe Pwr. Corp. Scherer Proj.) Series 2013 A, 1.5%, tender 2/3/25 (a) | 1,500,000 | 1,461,707 | |
Paulding County Hosp. Auth. Rev. Series 2022 A, 5% 4/1/24 | 365,000 | 384,487 | |
Private Colleges & Univs. Auth. Rev. (The Savannah College of Art & Design Projs.) Series 2021, 5% 4/1/25 | 600,000 | 640,523 | |
TOTAL GEORGIA | 88,993,753 | ||
Guam - 0.1% | |||
Guam Pwr. Auth. Rev. Series 2022 A: | |||
5% 10/1/22 (e) | 510,000 | 513,493 | |
5% 10/1/23 (e) | 2,370,000 | 2,444,709 | |
5% 10/1/24 (e) | 2,595,000 | 2,721,947 | |
5% 10/1/25 (e) | 870,000 | 926,255 | |
TOTAL GUAM | 6,606,404 | ||
Hawaii - 0.3% | |||
Hawaii Arpts. Sys. Rev. Series 2022 B: | |||
5% 7/1/23 (c) | 5,000,000 | 5,157,002 | |
5% 7/1/24 (c) | 2,000,000 | 2,099,587 | |
Hawaii Dept. of Budget & Fin. Spl. Purp. Rev.: | |||
(Queens Health Sys. Proj.) Series 2015 B, SIFMA Municipal Swap Index + 0.140% 1.24%, tender 7/1/39 (a)(b) | 515,000 | 515,000 | |
Series 2017 A, 3.1% 5/1/26 (c) | 2,175,000 | 2,181,145 | |
Hawaii Gen. Oblig. Series 2020 A: | |||
5% 7/1/24 (c) | 655,000 | 692,400 | |
5% 7/1/25 (c) | 350,000 | 378,102 | |
Honolulu City & County Gen. Oblig. Series 2022 A, 5% 11/1/26 (e) | 815,000 | 901,187 | |
State of Hawaii Dept. of Trans. Series 2013: | |||
5% 8/1/22 (c) | 45,000 | 45,218 | |
5% 8/1/23 (c) | 30,000 | 30,944 | |
5.25% 8/1/24 (c) | 890,000 | 917,493 | |
TOTAL HAWAII | 12,918,078 | ||
Idaho - 0.0% | |||
Idaho Hsg. & Fin. Assoc. Single Family Mtg. Series 2019 A, 4% 1/1/50 | 40,000 | 41,035 | |
Illinois - 3.5% | |||
Champaign County Cmnty. Unit Series 2020 A, 0% 1/1/26 | 800,000 | 723,585 | |
Chicago Board of Ed.: | |||
Series 1999, 0% 12/1/22 (Berkshire Hathaway Assurance Corp. Insured) (FGIC Insured) | 560,000 | 554,779 | |
Series 2019 A, 5% 12/1/23 | 1,000,000 | 1,025,721 | |
Chicago Gen. Oblig. Series 2020 A, 5% 1/1/25 | 1,500,000 | 1,559,291 | |
Chicago Metropolitan Wtr. Reclamation District of Greater Chicago Series 2021 C, 5% 12/1/23 | 990,000 | 1,037,447 | |
Chicago Midway Arpt. Rev.: | |||
Series 2013 B: | |||
5% 1/1/23 | 205,000 | 208,889 | |
5% 1/1/25 | 150,000 | 152,290 | |
5% 1/1/26 | 275,000 | 278,847 | |
Series 2014 A: | |||
5% 1/1/24 (c) | 1,000,000 | 1,039,426 | |
5% 1/1/26 (c) | 595,000 | 615,802 | |
5% 1/1/27 (c) | 615,000 | 635,522 | |
5% 1/1/28 (c) | 100,000 | 103,175 | |
5% 1/1/29 (c) | 675,000 | 695,620 | |
Series 2014 B: | |||
5% 1/1/23 | 225,000 | 229,268 | |
5% 1/1/26 | 140,000 | 145,270 | |
Series 2016 A, 5% 1/1/24 (c) | 1,000,000 | 1,039,426 | |
Chicago Motor Fuel Tax Rev. Series 2013, 5% 1/1/23 (Escrowed to Maturity) | 10,000 | 10,203 | |
Chicago O'Hare Int'l. Arpt. Rev.: | |||
Series 2013 A, 5% 1/1/23 (c) | 3,740,000 | 3,803,071 | |
Series 2013 B, 5% 1/1/23 | 1,020,000 | 1,039,350 | |
Series 2015 B, 5% 1/1/23 | 475,000 | 484,011 | |
Series 2015 C, 5% 1/1/24 (c) | 1,865,000 | 1,938,530 | |
Series 2015 D, 5% 1/1/23 | 200,000 | 203,794 | |
Series 2016 A: | |||
5% 1/1/23 (c) | 250,000 | 254,216 | |
5% 1/1/24 (c)�� | 305,000 | 317,025 | |
Series 2017 D: | |||
5% 1/1/24 (c) | 1,000,000 | 1,039,426 | |
5% 1/1/27 (c) | 85,000 | 91,789 | |
Chicago Park District Gen. Oblig. Series 2021 D, 4% 1/1/23 | 975,000 | 988,573 | |
Chicago Spl. Assessment (Lakeshore East Proj.) Series 2022, 1.57% 12/1/22 | 270,000 | 268,582 | |
Chicago Transit Auth. Cap. Grant Receipts Rev.: | |||
Series 2017: | |||
5% 6/1/24 | 445,000 | 467,452 | |
5% 6/1/25 | 25,000 | 26,764 | |
Series 2021: | |||
5% 6/1/22 | 875,000 | 875,000 | |
5% 6/1/23 | 1,075,000 | 1,108,979 | |
Chicago Wastewtr. Transmission Rev. Series 2012, 5% 1/1/23 | 25,000 | 25,139 | |
Cook County Gen. Oblig.: | |||
Series 2012 C: | |||
5% 11/15/22 | 740,000 | 750,964 | |
5% 11/15/23 | 385,000 | 390,720 | |
Series 2014 A, 5% 11/15/22 | 475,000 | 482,038 | |
Series 2021 A: | |||
5% 11/15/22 | 10,200,000 | 10,351,124 | |
5% 11/15/23 | 4,550,000 | 4,737,160 | |
5% 11/15/24 | 50,000 | 53,152 | |
5% 11/15/25 | 50,000 | 54,237 | |
Series 2021 B: | |||
4% 11/15/22 | 1,250,000 | 1,262,908 | |
4% 11/15/23 | 865,000 | 888,271 | |
4% 11/15/24 | 625,000 | 648,380 | |
4% 11/15/25 | 465,000 | 487,200 | |
4% 11/15/26 | 235,000 | 248,272 | |
Geneva Gen. Oblig. Series 2021, 4% 2/1/23 | 275,000 | 279,409 | |
Illinois Dev. Fin. Auth. Retirement Hsg. Regency Park Rev. Series 1991 A, 0% 7/15/23 (Escrowed to Maturity) | 300,000 | 294,057 | |
Illinois Dev. Fin. Auth. Solid Waste Disp. Rev. Bonds (Waste Mgmt., Inc. Proj.) Series 2019, 0.4%, tender 11/1/22 (a)(c) | 1,900,000 | 1,885,847 | |
Illinois Fin. Auth.: | |||
Bonds Series 2020 B, 5%, tender 11/15/24 (a) | 1,450,000 | 1,519,109 | |
Series 2013 A: | |||
5% 6/1/23 | 540,000 | 557,885 | |
5% 6/1/23 (Escrowed to Maturity) | 55,000 | 56,672 | |
Series 2020 A, 5% 8/15/22 | 750,000 | 755,792 | |
Series 2021 A: | |||
5% 7/15/22 | 300,000 | 301,289 | |
5% 10/1/25 | 2,000,000 | 2,179,544 | |
Illinois Fin. Auth. Rev.: | |||
(Bradley Univ. Proj.) Series 2017 C, 5% 8/1/26 | 35,000 | 37,510 | |
(Edward-Elmhurst Healthcare) Series 2017 A, 5% 1/1/25 (Escrowed to Maturity) | 100,000 | 107,471 | |
Bonds: | |||
Series 2017 B, 5%, tender 12/15/22 (a) | 265,000 | 269,637 | |
Series 2019, 1.044%, tender 6/1/22 (a)(e) | 2,000,000 | 2,007,963 | |
Series 2014 A, 5% 10/1/26 | 500,000 | 531,675 | |
Series 2014, 5% 8/1/22 | 1,000,000 | 1,005,966 | |
Series 2015 A: | |||
5% 11/15/22 | 10,000 | 10,147 | |
5% 11/15/22 | 1,000,000 | 1,016,097 | |
5% 11/15/24 | 150,000 | 158,978 | |
5% 11/15/25 | 45,000 | 48,611 | |
5% 11/15/26 | 45,000 | 48,364 | |
Series 2015 B, 5% 11/15/24 | 45,000 | 48,026 | |
Series 2016 A: | |||
5% 2/15/23 | 20,000 | 20,492 | |
5% 8/15/23 (Escrowed to Maturity) | 35,000 | 36,320 | |
5% 8/15/24 (Escrowed to Maturity) | 50,000 | 53,097 | |
5% 7/1/25 | 250,000 | 272,175 | |
5% 8/15/35 (Pre-Refunded to 8/15/26 @ 100) | 195,000 | 216,152 | |
Series 2016 B, 5% 8/15/24 | 775,000 | 820,508 | |
Series 2016 C: | |||
5% 2/15/23 | 700,000 | 715,740 | |
5% 2/15/24 | 345,000 | 362,277 | |
Series 2016: | |||
5% 7/1/22 | 65,000 | 65,198 | |
5% 11/15/23 | 235,000 | 245,252 | |
5% 11/15/24 | 245,000 | 260,507 | |
5% 5/15/25 | 10,000 | 10,700 | |
5% 12/1/25 | 325,000 | 351,153 | |
5% 5/15/26 | 20,000 | 21,725 | |
5% 5/15/27 | 25,000 | 27,094 | |
Series 2017: | |||
5% 1/1/23 | 35,000 | 35,707 | |
5% 1/1/25 | 50,000 | 53,670 | |
Series 2018 A, 5% 5/15/24 | 250,000 | 263,336 | |
Series 2019, 5% 9/1/22 | 225,000 | 226,673 | |
Illinois Gen. Oblig.: | |||
Series 2012 A, 4% 1/1/23 | 30,000 | 30,052 | |
Series 2012: | |||
4% 9/1/22 | 200,000 | 201,200 | |
5% 8/1/22 | 1,760,000 | 1,770,058 | |
Series 2013 A, 5% 4/1/24 | 795,000 | 815,993 | |
Series 2013: | |||
5% 7/1/22 | 375,000 | 376,079 | |
5% 7/1/23 | 1,700,000 | 1,752,577 | |
5.5% 7/1/24 | 835,000 | 861,691 | |
Series 2014: | |||
5% 4/1/23 | 50,000 | 51,245 | |
5% 2/1/25 | 50,000 | 51,892 | |
Series 2016: | |||
5% 2/1/24 | 450,000 | 469,268 | |
5% 1/1/26 | 300,000 | 322,362 | |
5% 2/1/26 | 1,235,000 | 1,328,629 | |
Series 2017 A: | |||
5% 12/1/22 | 5,000,000 | 5,079,796 | |
5% 12/1/23 | 750,000 | 779,844 | |
Series 2017 D: | |||
5% 11/1/22 | 2,400,000 | 2,432,392 | |
5% 11/1/23 | 2,400,000 | 2,491,538 | |
5% 11/1/26 | 1,000,000 | 1,086,024 | |
Series 2018 A, 5% 10/1/26 | 1,340,000 | 1,454,083 | |
Series 2020 B, 5% 10/1/28 | 1,030,000 | 1,129,720 | |
Series 2020 D, 5% 10/1/22 | 7,500,000 | 7,582,280 | |
Series 2021 A: | |||
5% 3/1/23 | 380,000 | 388,644 | |
5% 3/1/24 | 2,000,000 | 2,088,484 | |
Series 2021 B, 5% 3/1/23 | 670,000 | 685,241 | |
Series 2022 A: | |||
5% 3/1/23 (e) | 2,050,000 | 2,096,634 | |
5% 3/1/24 (e) | 2,165,000 | 2,260,784 | |
Series 2022 B: | |||
5% 3/1/24 (e) | 1,480,000 | 1,545,478 | |
5% 3/1/25 (e) | 4,325,000 | 4,589,254 | |
5% 3/1/26 (e) | 3,185,000 | 3,430,434 | |
Series 2022 D1, 5% 3/1/23 (e) | 2,630,000 | 2,689,828 | |
Illinois Health Facilities Auth. Rev. Series 2003, 1.6% 11/15/22 | 155,000 | 155,154 | |
Illinois Hsg. Dev. Auth. Multi-family Hsg. Rev. Bonds: | |||
Series 2015, 1.79%, tender 5/15/25, LOC Fed. Home Ln. Bank, San Francisco (a) | 2,425,000 | 2,438,462 | |
Series 2020, 0.325%, tender 8/1/22 (a) | 12,250,000 | 12,218,052 | |
Illinois Muni. Elec. Agcy. Pwr. Supply Series 2015 A: | |||
5% 2/1/23 | 25,000 | 25,525 | |
5% 2/1/24 | 420,000 | 440,450 | |
Illinois Reg'l. Trans. Auth.: | |||
Series 2004 A, 5.5% 6/1/22 (Assured Guaranty Muni. Corp. Insured) | 350,000 | 350,000 | |
Series 2017 A, 5% 7/1/24 | 285,000 | 302,351 | |
Illinois Sales Tax Rev.: | |||
Series 2013, 5% 6/15/24 | 400,000 | 410,557 | |
Series 2016 C, 5% 6/15/22 | 285,000 | 285,367 | |
Series 2016 D, 5% 6/15/23 | 1,500,000 | 1,541,930 | |
Series 2021 A: | |||
3% 6/15/22 | 1,670,000 | 1,670,954 | |
4% 6/15/23 | 3,175,000 | 3,231,422 | |
4% 6/15/24 | 1,670,000 | 1,716,456 | |
Series 2021 C: | |||
5% 6/15/23 | 75,000 | 77,097 | |
5% 6/15/24 | 85,000 | 89,040 | |
5% 6/15/25 | 50,000 | 53,164 | |
Illinois State Univ. Revs. Series 2018 A, 5% 4/1/23 (Assured Guaranty Muni. Corp. Insured) | 290,000 | 297,323 | |
Illinois Toll Hwy. Auth. Toll Hwy. Rev. Series 2014 A, 5% 12/1/22 | 1,090,000 | 1,109,085 | |
Joliet Wtrwks. & Swr. Rev. Series 2022, 5% 1/1/24 | 2,175,000 | 2,265,232 | |
Kane County School District No. 131: | |||
Series 2020 A: | |||
4% 12/1/22 (Assured Guaranty Muni. Corp. Insured) | 235,000 | 237,896 | |
5% 12/1/23 (Assured Guaranty Muni. Corp. Insured) | 290,000 | 301,882 | |
Series 2020 B, 4% 12/1/22 (Assured Guaranty Muni. Corp. Insured) | 435,000 | 440,361 | |
Kane, Cook, DuPage, McHenry & DeKalb Counties Cmnty. College District #509 Elgin Series 2021 B: | |||
4% 12/15/23 | 155,000 | 160,271 | |
4% 12/15/24 | 450,000 | 470,679 | |
Kane, McHenry, Cook & DeKalb Counties Unit School District #300 Series 2015 5% 1/1/27 | 395,000 | 423,686 | |
Kendall, Kane & Will Counties Cmnty. Unit School District #308 Series 2011, 5.5% 2/1/23 | 550,000 | 563,945 | |
Matteson Gen. Oblig.: | |||
Series 2021 A, 4% 12/1/23 | 705,000 | 725,347 | |
Series 2021 B, 4% 12/1/23 | 525,000 | 540,152 | |
McHenry County Cmnty. School District #200 Series 2006 B: | |||
0% 1/15/24 | 60,000 | 57,621 | |
0% 1/15/24 (Escrowed to Maturity) | 45,000 | 43,663 | |
0% 1/15/25 | 110,000 | 102,251 | |
0% 1/15/26 | 80,000 | 71,991 | |
McHenry County Conservation District Gen. Oblig. Series 2014, 5% 2/1/23 | 65,000 | 66,404 | |
Metropolitan Pier & Exposition: | |||
(McCormick Place Expansion Proj.) Series 1996 A, 0% 6/15/23 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 150,000 | 146,066 | |
Series 2012 B, 5% 12/15/22 | 1,655,000 | 1,679,712 | |
Series 2022 A, 3% 6/15/24 | 630,000 | 630,806 | |
Peoria County Gen. Oblig. Series 2021 A, 4% 1/1/24 | 1,000,000 | 1,027,314 | |
Railsplitter Tobacco Settlement Auth. Rev. Series 2017: | |||
5% 6/1/22 | 3,520,000 | 3,520,000 | |
5% 6/1/23 | 2,990,000 | 3,071,895 | |
5% 6/1/24 | 635,000 | 665,009 | |
Skokie Pk District Series 2003, 0% 12/1/22 | 1,830,000 | 1,811,866 | |
Univ. of Illinois Board of Trustees Ctfs. of Prtn. Series 2014 C, 5% 3/15/23 | 265,000 | 271,395 | |
Univ. of Illinois Rev. Series 2018 B, 5% 4/1/23 (Assured Guaranty Muni. Corp. Insured) | 270,000 | 277,226 | |
Upper Illinois River Valley Dev. Auth. Rev. Series 2018, 5% 12/1/24 | 300,000 | 316,226 | |
Village of Westchester Gen. Oblig. Series 2021, 4% 12/1/22 | 500,000 | 506,662 | |
Waukegan Gen. Oblig.: | |||
Series 2018 A, 4% 12/30/22 (Assured Guaranty Muni. Corp. Insured) | 425,000 | 430,621 | |
Series 2018 B, 4% 12/30/22 (Assured Guaranty Muni. Corp. Insured) | 400,000 | 405,290 | |
TOTAL ILLINOIS | 158,003,875 | ||
Indiana - 1.1% | |||
Ctr. Grove Cmnty. School Corp. Series 2021 B: | |||
3% 1/1/23 | 600,000 | 604,309 | |
4% 1/1/24 | 2,065,000 | 2,123,680 | |
Fort Wayne Cmnty. Schools Bldg. Corp. Series 2021: | |||
4% 7/15/22 | 575,000 | 576,963 | |
4% 1/15/23 | 625,000 | 634,786 | |
Fort Wayne Redev. Auth. (Grand Wayne Ctr. Proj.) Series 2022: | |||
4% 2/1/24 | 770,000 | 794,445 | |
4% 8/1/26 | 895,000 | 948,554 | |
Hammond Multi-School Bldg. Corp. Series 2018, 5% 1/15/24 | 640,000 | 670,599 | |
Indiana Dev. Fin. Auth. Solid Waste Disp. Rev. Bonds (Waste Mgmt., Inc. Proj.) Series 2001, 0.4%, tender 10/3/22 (a)(c) | 3,500,000 | 3,481,998 | |
Indiana Fin. Auth. Econ. Dev. Rev. Bonds (Republic Svcs., Inc. Proj.) Series A, 1.05%, tender 6/1/22 (a)(c) | 1,500,000 | 1,500,000 | |
Indiana Fin. Auth. Health Sys. Rev.: | |||
Bonds Series 2019 B, 2.25%, tender 7/1/25 (a) | 710,000 | 712,180 | |
Series 2017 C, 5% 11/1/22 | 1,100,000 | 1,116,849 | |
Indiana Fin. Auth. Hosp. Rev.: | |||
Bonds Series 2011 M, 0.7%, tender 1/1/26 (a) | 3,680,000 | 3,479,502 | |
Series 2013: | |||
5% 8/15/22 | 15,000 | 15,110 | |
5% 8/15/23 | 20,000 | 20,749 | |
Indiana Fin. Auth. Rev.: | |||
(Butler Univ. Proj.) Series 2019: | |||
3% 2/1/23 | 225,000 | 227,008 | |
4% 2/1/24 | 200,000 | 206,316 | |
4% 2/1/25 | 275,000 | 285,249 | |
(DePauw Univ. Proj.) Series 2019, 5% 7/1/22 | 600,000 | 601,603 | |
(Ohio River Bridges East End Crossing Proj.) Series 2013 A: | |||
5% 7/1/44 (Pre-Refunded to 7/1/23 @ 100) (c) | 10,000,000 | 10,342,366 | |
5% 7/1/48 (Pre-Refunded to 7/1/23 @ 100) (c) | 4,000,000 | 4,136,946 | |
Series 2016, 5% 9/1/26 | 205,000 | 225,927 | |
Indiana Fin. Auth. Wastewtr. Util. Rev. (CWA Auth. Proj.): | |||
Series 2012 A, 5% 10/1/22 | 35,000 | 35,420 | |
Series 2014 A, 5% 10/1/22 | 15,000 | 15,180 | |
Series 2015 A: | |||
5% 10/1/24 | 35,000 | 37,399 | |
5% 10/1/25 | 35,000 | 37,366 | |
Indiana Health Facility Fing. Auth. Rev. Bonds Series 2001 A2, 2%, tender 2/1/23 (a) | 155,000 | 155,130 | |
Indiana Hsg. & Cmnty. Dev. Auth. Series 2021 C1, 3% 1/1/52 | 1,000,000 | 985,389 | |
Indiana Muni. Pwr. Agcy. Pwr. Supply Sys. Rev. Series 2017 A, 5% 1/1/25 | 705,000 | 755,096 | |
Indianapolis Local Pub. Impt.: | |||
(Indianapolis Arpt. Auth. Proj.): | |||
Series 2016 A1: | |||
5% 1/1/23 (c) | 45,000 | 45,827 | |
5% 1/1/24 (c) | 60,000 | 62,604 | |
5% 1/1/25 (c) | 65,000 | 68,895 | |
Series 2019 D, 5% 1/1/24 (c) | 270,000 | 281,716 | |
Series 2021 A: | |||
5% 6/1/22 | 1,265,000 | 1,265,000 | |
5% 6/1/23 | 255,000 | 263,394 | |
Marion High School Bldg. Corp.: | |||
Series 2021 A: | |||
4% 1/15/24 | 240,000 | 247,631 | |
4% 1/15/25 | 250,000 | 261,335 | |
4% 7/15/25 | 255,000 | 268,306 | |
Series 2021 B, 4% 1/15/23 | 205,000 | 208,057 | |
Purdue Univ. Rev. Series 2012 AA, 5% 7/1/27 | 255,000 | 255,793 | |
Upland Econ. Dev. Rfdg. Rev. (Taylor Univ. Proj.) Series 2021: | |||
4% 9/1/22 | 200,000 | 201,248 | |
4% 9/1/23 | 275,000 | 282,352 | |
Vinton Tecumseh School Bldg. Corp. Series 2021: | |||
3% 1/15/24 | 490,000 | 497,654 | |
3% 7/15/25 | 515,000 | 524,730 | |
Warrick County Envir. Impt. Rev. Bonds (Southern Indiana Gas and Elec. Co.) Series 2015, 0.875%, tender 9/1/23 (a)(c) | 2,800,000 | 2,751,524 | |
Whiting Envir. Facilities Rev. Bonds (BP Products North America, Inc. Proj.): | |||
Series 2015, 5%, tender 11/1/22 (a)(c) | 1,780,000 | 1,798,151 | |
Series 2016 A, 5%, tender 3/1/23 (a)(c) | 4,400,000 | 4,474,181 | |
Series 2019 A, 5%, tender 6/5/26 (a)(c) | 3,515,000 | 3,752,602 | |
TOTAL INDIANA | 52,237,119 | ||
Iowa - 0.1% | |||
Iowa Fin. Auth. Rev. Series 2018 B, 5% 2/15/24 | 200,000 | 209,913 | |
Iowa Fin. Auth. Solid Waste Facilities Bonds (Gevo NW Iowa RNG, LLC Renewable Natural Gas Proj.) Series 2021, 1.5%, tender 4/1/24, LOC Citibank NA (a)(c) | 1,500,000 | 1,491,834 | |
Iowa Higher Ed. Ln. Auth. Rev. (Grinnell College Proj.) Series 2017, 4% 12/1/24 | 250,000 | 262,281 | |
Iowa Student Ln. Liquidity Corp. Student Ln. Rev.: | |||
Series 2018 A, 5% 12/1/22 (c) | 725,000 | 736,603 | |
Series 2019 B, 5% 12/1/23 (c) | 600,000 | 624,131 | |
TOTAL IOWA | 3,324,762 | ||
Kansas - 0.2% | |||
Desoto Unified School District # 232 Series 2015 A, 5% 9/1/22 | 35,000 | 35,320 | |
Wichita Gen. Oblig. Series 2021 306, 4% 10/15/22 | 10,000,000 | 10,099,080 | |
Wyandotte County/Kansas City Unified Govt. Util. Sys. Rev. Series 2016 A: | |||
5% 9/1/22 | 10,000 | 10,092 | |
5% 9/1/23 | 15,000 | 15,604 | |
5% 9/1/25 | 15,000 | 16,287 | |
TOTAL KANSAS | 10,176,383 | ||
Kentucky - 1.0% | |||
Ashland Med. Ctr. Rev. (Ashland Hosp. Corp. D/B/A King's Daughters Med. Ctr. Proj.) Series 2016 A: | |||
5% 2/1/24 | 30,000 | 31,405 | |
5% 2/1/25 | 20,000 | 21,146 | |
Hazard Healthcare Rev. Series 2021: | |||
5% 7/1/23 | 350,000 | 362,442 | |
5% 7/1/24 | 230,000 | 241,931 | |
Kenton County Arpt. Board Arpt. Rev. Series 2016, 5% 1/1/24 | 200,000 | 209,188 | |
Kentucky Asset/Liability Commission Agcy. Fund Rev. Series A, 5% 9/1/22 | 2,000,000 | 2,017,841 | |
Kentucky Asset/Liability Commission Gen. Fund Rev. Series 2021 A, 5% 11/1/24 | 435,000 | 463,846 | |
Kentucky Bond Dev. Corp. Edl. Facilities: | |||
(Transylvania Univ. Proj.) Series 2021 A, 2% 3/1/23 | 320,000 | 320,631 | |
(Transylvania Univ. Proj.) Series 2021 A, 4% 3/1/25 | 340,000 | 353,426 | |
Kentucky Econ. Dev. Fin. Auth. Hosp. Rev. Series 2017 A, 5% 6/1/22 | 1,000,000 | 1,000,000 | |
Kentucky Econ. Dev. Fin. Auth. Solid Waste Disp. Rev. Bonds (Republic Svcs., Inc. Proj.) Series A, 1.05%, tender 6/1/22 (a)(c) | 4,000,000 | 4,000,000 | |
Kentucky Higher Ed. Student Ln. Corp. Rev.: | |||
Series 2019 A1 5% 6/1/23 (c) | 250,000 | 257,550 | |
Series 2019 A1, 5% 6/1/22 (c) | 200,000 | 200,000 | |
Kentucky Hsg. Corp. Multi-family Rev. Bonds: | |||
(Cambridge Square Proj.) Series 2021, 0.3%, tender 2/1/24 (a) | 3,500,000 | 3,361,008 | |
(City View Park Proj.) Series 2020, 1.16%, tender 8/1/22 (a) | 4,000,000 | 3,998,465 | |
Kentucky State Property & Buildings Commission Rev.: | |||
Series 2005, 5% 8/1/22 | 250,000 | 251,517 | |
Series 2013 A, 5% 10/1/23 | 365,000 | 380,191 | |
Series 2015, 4% 8/1/25 | 200,000 | 209,501 | |
Series 2016 B: | |||
5% 11/1/23 | 2,730,000 | 2,849,596 | |
5% 11/1/24 | 285,000 | 302,653 | |
Series 2016: | |||
3% 2/1/24 | 350,000 | 356,224 | |
5% 11/1/23 | 1,435,000 | 1,498,276 | |
5% 2/1/24 | 275,000 | 288,760 | |
5% 10/1/24 | 425,000 | 450,429 | |
Series 2017, 5% 4/1/23 | 600,000 | 616,562 | |
Series 2018, 5% 5/1/23 | 1,415,000 | 1,457,430 | |
Series A: | |||
5% 11/1/22 | 610,000 | 618,960 | |
5% 11/1/25 | 350,000 | 379,002 | |
Series B: | |||
5% 8/1/22 | 4,660,000 | 4,688,271 | |
5% 8/1/23 | 3,265,000 | 3,386,152 | |
5% 8/1/25 | 300,000 | 323,333 | |
Kentucky State Univ. Ctfs. of Prtn. (Kentucky State Univ. Proj.) Series 2021, 5% 11/1/25 | 280,000 | 304,064 | |
Kentucky, Inc. Pub. Energy: | |||
Bonds: | |||
Series 2018 B, 4%, tender 1/1/25 (a) | 225,000 | 230,438 | |
Series 2019 A1, 4%, tender 6/1/25 (a) | 1,000,000 | 1,027,643 | |
Series A, 4%, tender 6/1/26 (a) | 165,000 | 170,158 | |
Series A, 4% 12/1/22 | 350,000 | 353,354 | |
Louisville & Jefferson County: | |||
Bonds: | |||
Series 2020 B, 5%, tender 10/1/23 (a) | 840,000 | 869,998 | |
Series 2020 C, 5%, tender 10/1/26 (a) | 2,015,000 | 2,225,814 | |
Series 2016 A, 5% 10/1/22 | 200,000 | 202,406 | |
Louisville Reg'l. Arpt. Auth. Sys. Rev. Series 2014 A: | |||
5% 7/1/23 (c) | 1,750,000 | 1,804,570 | |
5% 7/1/24 (c) | 155,000 | 162,236 | |
Louisville/Jefferson County Metropolitan Gov. Series 2012 A: | |||
5% 12/1/24 (Pre-Refunded to 6/1/22 @ 100) | 2,560,000 | 2,560,000 | |
5% 12/1/28 (Pre-Refunded to 6/1/22 @ 100) | 55,000 | 55,000 | |
5% 12/1/29 (Pre-Refunded to 6/1/22 @ 100) | 230,000 | 230,000 | |
Paducah Elec. Plant Board Rev. Series 2019, 5% 10/1/22 | 2,005,000 | 2,027,635 | |
TOTAL KENTUCKY | 47,119,052 | ||
Louisiana - 0.7% | |||
Lake Charles Hbr. & Term. Rev. Bonds (Big Lake Fuels LLC Proj.) Series 2021, 1%, tender 12/1/24 (a)(c) | 1,300,000 | 1,212,766 | |
Louisiana Citizens Property Ins. Corp. Assessment Rev. Series 2015, 5% 6/1/22 (Assured Guaranty Muni. Corp. Insured) | 900,000 | 900,000 | |
Louisiana Gas & Fuel Tax Rev. Bonds Series 2022 A, U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.500% 1.046%, tender 5/1/26 (a)(b) | 3,970,000 | 3,894,063 | |
Louisiana Gen. Oblig.: | |||
Series 2015 A, 5% 5/1/24 | 350,000 | 370,355 | |
Series 2016 D, 5% 9/1/24 | 155,000 | 164,861 | |
Series 2020 A, 5% 3/1/23 | 500,000 | 513,012 | |
Louisiana Local Govt. Envir. Facilities and Cmnty. Dev. Auth. Bonds: | |||
(American Biocarbon, CT, LLC Proj.) Series 2021, 0.25%, tender 6/1/22 (a)(c) | 4,300,000 | 4,300,000 | |
(East Baton Rouge Sewerage Commission Proj.) Series 2020 B, 0.875%, tender 2/1/25 (a) | 4,000,000 | 3,784,814 | |
Louisiana Offshore Term. Auth. Deepwater Port Rev. Bonds Series 2010 B-1A, 2%, tender 10/1/22 (a) | 815,000 | 815,078 | |
Louisiana Stadium and Exposition District: | |||
Series 2013 A, 5% 7/1/22 | 20,000 | 20,058 | |
Series 2021, 4% 7/3/23 | 1,685,000 | 1,707,858 | |
New Orleans Aviation Board Rev.: | |||
(North Term. Proj.): | |||
Series 2015 B, 5% 1/1/25 (c) | 150,000 | 158,873 | |
Series 2017 B: | |||
5% 1/1/23 (c) | 1,070,000 | 1,088,732 | |
5% 1/1/24 (c) | 20,000 | 20,823 | |
5% 1/1/25 (c) | 5,000 | 5,296 | |
5% 1/1/26 (c) | 15,000 | 16,131 | |
Series 2017 D2: | |||
5% 1/1/23 (c) | 10,000 | 10,175 | |
5% 1/1/24 (c) | 15,000 | 15,618 | |
5% 1/1/25 (c) | 115,000 | 121,803 | |
St. John Baptist Parish Rev. Bonds (Marathon Oil Corp.) Series 2017, 2%, tender 4/1/23 (a) | 10,255,000 | 10,159,714 | |
State of Louisiana Grant Anticipation Rev. Series 2021: | |||
5% 9/1/22 | 2,400,000 | 2,422,618 | |
5% 9/1/23 | 865,000 | 900,819 | |
5% 9/1/24 | 785,000 | 834,405 | |
Tobacco Settlement Fing. Corp. Series 2013 A, 5% 5/15/23 | 110,000 | 113,000 | |
TOTAL LOUISIANA | 33,550,872 | ||
Maine - 0.1% | |||
Maine Fin. Auth. Student Ln. Rev. Series 2019 A, 5% 12/1/23 (Assured Guaranty Muni. Corp. Insured) (c) | 500,000 | 520,862 | |
Maine Health & Higher Edl. Facilities Auth. Rev.: | |||
Series 2020 A: | |||
4% 7/1/22 | 190,000 | 190,434 | |
4% 7/1/22 (Escrowed to Maturity) | 235,000 | 235,533 | |
Series 2021 A: | |||
5% 7/1/24 | 500,000 | 526,980 | |
5% 7/1/25 | 500,000 | 536,287 | |
5% 7/1/26 | 975,000 | 1,061,367 | |
Maine Tpk. Auth. Tpk. Rev. Series 2015: | |||
5% 7/1/22 | 40,000 | 40,123 | |
5% 7/1/26 | 250,000 | 271,082 | |
TOTAL MAINE | 3,382,668 | ||
Maryland - 0.6% | |||
Baltimore Proj. Rev.: | |||
(Wtr. Projs.) Series 2020 A, 5% 7/1/23 | 400,000 | 414,483 | |
Series 2017 D: | |||
5% 7/1/24 | 70,000 | 74,365 | |
5% 7/1/25 | 75,000 | 81,488 | |
Howard County Gen. Oblig. Series A, 5% 8/15/22 | 1,000,000 | 1,007,992 | |
Hsg. Opportunities Commission of Montgomery County Series 2021 C, 0.8% 7/1/25 | 105,000 | 99,483 | |
Maryland Cmnty. Dev. Admin Dept. Hsg. & Cmnty. Dev.: | |||
Series 2019 B, 4% 9/1/49 | 185,000 | 189,566 | |
Series 2020 C, 0.625% 7/1/22 | 500,000 | 499,568 | |
Series 2021 A, 0.83% 5/1/23 (d) | 4,000,000 | 3,962,889 | |
Series 2021 C: | |||
0.375% 7/1/23 | 260,000 | 255,737 | |
0.6% 7/1/24 | 560,000 | 540,466 | |
Series 2022, 1.33% 1/1/24 (d) | 5,000,000 | 4,918,961 | |
Series A: | |||
0.2% 3/1/23 | 1,015,000 | 1,003,133 | |
0.25% 9/1/23 | 775,000 | 758,651 | |
Maryland Dept. of Trans.: | |||
Series 2022 A: | |||
5% 12/1/22 | 205,000 | 208,775 | |
5% 12/1/23 | 95,000 | 99,567 | |
Series 2022 B: | |||
5% 12/1/23 (e) | 120,000 | 123,840 | |
5% 12/1/24 (e) | 220,000 | 232,145 | |
Maryland Health & Higher Edl. Bonds Series 2020, 5%, tender 7/1/25 (a) | 1,000,000 | 1,062,245 | |
Maryland Health & Higher Edl. Facilities Auth. Rev.: | |||
Series 2015: | |||
5% 7/1/22 | 20,000 | 20,059 | |
5% 7/1/23 | 20,000 | 20,704 | |
5% 7/1/24 | 45,000 | 47,381 | |
5% 7/1/25 | 40,000 | 42,842 | |
5% 7/1/25 (Pre-Refunded to 7/1/24 @ 100) | 1,145,000 | 1,213,505 | |
Series 2020 A, 4% 7/1/22 | 100,000 | 100,220 | |
Series 2020 B, 5% 4/15/23 | 675,000 | 693,431 | |
Maryland Stadium Auth. Built to Learn Rev.: | |||
Series 2021, 5% 6/1/23 | 1,250,000 | 1,290,392 | |
Series 2022 A: | |||
5% 6/1/23 | 600,000 | 619,388 | |
5% 6/1/26 | 850,000 | 930,791 | |
Maryland Trans. Auth. Trans. Facility Projs. Rev.: | |||
Series 2020, 5% 7/1/22 | 1,500,000 | 1,504,811 | |
Series 2021 A, 5% 7/1/24 | 1,250,000 | 1,327,947 | |
Montgomery County Gen. Oblig. Bonds Series 2013 MD, 0.6%, tender 6/1/22 (a) | 4,200,000 | 4,200,000 | |
TOTAL MARYLAND | 27,544,825 | ||
Massachusetts - 1.4% | |||
Boston Hsg. Auth. Cap. Prog. Series 2020 B: | |||
5% 4/1/23 | 450,000 | 462,687 | |
5% 4/1/24 | 475,000 | 501,239 | |
Massachusetts Bay Trans. Auth. Sales Tax Rev.: | |||
Series 2016 A, 0% 7/1/23 | 355,000 | 347,168 | |
Series B, 5% 7/1/22 | 900,000 | 902,679 | |
Massachusetts Dept. of Trans. Metropolitan Hwy. Sys. Rev. Bonds Series 2019 A, 5%, tender 1/1/23 (a) | 4,955,000 | 5,048,998 | |
Massachusetts Dev. Fin. Agcy. Multi-family Hsg. Rev. Bonds Series 2021, 0.25%, tender 7/1/23 (a) | 1,750,000 | 1,707,087 | |
Massachusetts Dev. Fin. Agcy. Rev.: | |||
Bonds: | |||
Series 2011 N, 0.45%, tender 7/1/25 (a) | 3,200,000 | 2,958,742 | |
Series S3, SIFMA Municipal Swap Index + 0.500% 1.29%, tender 6/2/22 (a)(b) | 3,400,000 | 3,383,380 | |
Series 2015 C, 5% 10/1/22 | 200,000 | 202,325 | |
Series 2015 H1, 5% 7/1/22 | 575,000 | 576,754 | |
Series 2016 A, 5% 7/15/22 | 30,000 | 30,140 | |
Series 2016 I: | |||
5% 7/1/22 | 410,000 | 411,197 | |
5% 7/1/23 | 15,000 | 15,487 | |
5% 7/1/24 | 25,000 | 26,167 | |
5% 7/1/25 | 20,000 | 21,286 | |
5% 7/1/26 | 20,000 | 21,611 | |
Series 2019 A: | |||
5% 7/1/22 | 450,000 | 451,339 | |
5% 7/1/24 | 155,000 | 162,944 | |
Series 2019 O: | |||
5% 12/1/23 | 130,000 | 135,915 | |
5% 12/1/24 | 100,000 | 106,807 | |
Series 2020 A2, 5% 7/1/22 | 310,000 | 310,948 | |
Series 2021 A, 5% 6/1/23 | 360,000 | 369,392 | |
Series C: | |||
5% 10/1/22 (Assured Guaranty Muni. Corp. Insured) | 275,000 | 278,252 | |
5% 10/1/23 (Assured Guaranty Muni. Corp. Insured) | 350,000 | 363,954 | |
5% 10/1/24 (Assured Guaranty Muni. Corp. Insured) | 325,000 | 344,142 | |
Series Q, 5% 7/1/22 | 250,000 | 250,765 | |
Massachusetts Edl. Fing. Auth. Rev.: | |||
Series 2011 J, 5.125% 7/1/22 (c) | 2,080,000 | 2,082,178 | |
Series 2013, 5% 7/1/22 (c) | 400,000 | 401,098 | |
Series 2014: | |||
5% 1/1/23 (c) | 3,000,000 | 3,060,257 | |
5% 1/1/24 (c) | 5,000,000 | 5,175,039 | |
Series 2015 A: | |||
5% 1/1/23 (c) | 9,000,000 | 9,170,734 | |
5% 1/1/24 (c) | 8,250,000 | 8,538,814 | |
Series 2016 J, 5% 7/1/23 (c) | 725,000 | 745,874 | |
Series 2016, 5% 7/1/24 (c) | 535,000 | 560,529 | |
Series 2020 C, 5% 7/1/23 (c) | 375,000 | 386,898 | |
Series 2021 B: | |||
5% 7/1/24 (c) | 750,000 | 788,906 | |
5% 7/1/25 (c) | 750,000 | 798,693 | |
Massachusetts Gen. Oblig. Bonds Series D2, 1.7%, tender 8/1/22 (a) | 980,000 | 980,485 | |
Massachusetts Health & Edl. Facilities Auth. Rev.: | |||
(Partners Healthcare Sys., Inc. Proj.) Series 2007 G2, 1.03%, tender 6/7/22 (Assured Guaranty Muni. Corp. Insured) (a) | 8,815,000 | 8,815,000 | |
Bonds Series I, 0.7%, tender 7/1/25 (a) | 395,000 | 377,384 | |
Massachusetts Port Auth. Rev.: | |||
Series 2017 A: | |||
5% 7/1/24 (c) | 65,000 | 68,372 | |
5% 7/1/25 (c) | 25,000 | 26,776 | |
Series 2019 C, 5% 7/1/24 (c) | 345,000 | 362,897 | |
Series 2021 E, 5% 7/1/23 (c) | 500,000 | 516,409 | |
TOTAL MASSACHUSETTS | 62,247,748 | ||
Michigan - 0.8% | |||
Brandon School District Series A, 5% 5/1/23 | 430,000 | 443,133 | |
Carman-Ainsworth Cmnty. School District Series 2021, 4% 5/1/24 | 1,335,000 | 1,380,518 | |
Chippewa Valley Schools Series 2016 B, 5% 5/1/24 | 200,000 | 211,631 | |
Detroit Downtown Dev. Auth. Tax: | |||
Series 1, 5% 7/1/22 (Assured Guaranty Muni. Corp. Insured) | 500,000 | 501,525 | |
Series A, 5% 7/1/25 (Assured Guaranty Muni. Corp. Insured) | 550,000 | 580,483 | |
Grand Rapids Pub. Schools Series 2017, 5% 5/1/23 (Assured Guaranty Muni. Corp. Insured) | 30,000 | 30,933 | |
Grand Traverse County Hosp. Fin. Auth.: | |||
Series 2019 B, 5% 7/1/23 | 255,000 | 264,121 | |
Series 2021: | |||
5% 7/1/24 | 650,000 | 684,803 | |
5% 7/1/25 | 480,000 | 514,836 | |
Grosse Ile Township School District Unltd. Tax Gen. Oblig. Series 2016, 2% 5/1/24 | 125,000 | 124,741 | |
Huron School District Series 2019, 5% 5/1/24 | 205,000 | 216,604 | |
Kalamazoo Hosp. Fin. Auth. Hosp. Facilities Rev. Series 2016: | |||
5% 5/15/24 | 10,000 | 10,533 | |
5% 5/15/25 | 15,000 | 16,049 | |
5% 5/15/26 | 15,000 | 16,294 | |
Kent City Cmnty. Schools Series 2020, 4% 5/1/23 | 205,000 | 209,334 | |
Kent Hosp. Fin. Auth. Hosp. Facilities Rev. (Spectrum Health Sys. Proj.) Series 2015 A, SIFMA Municipal Swap Index + 0.250% 1.04%, tender 12/27/22 (a)(b) | 1,000,000 | 1,000,000 | |
Lake Superior State Univ. Series 2021, 4% 11/15/22 (Assured Guaranty Muni. Corp. Insured) | 305,000 | 308,483 | |
Ludington Area School District (Michigan School Bond Qualification and Ln. Prog.) Series 2022 II, 5% 11/1/25 | 1,230,000 | 1,338,239 | |
Michigan Bldg. Auth. Rev. (Facilities Prog.) Series 2016 I, 5% 4/15/24 | 60,000 | 63,482 | |
Michigan Fin. Auth. Rev.: | |||
(Trinity Health Proj.) Series 2017, 5% 12/1/23 | 250,000 | 261,072 | |
Bonds: | |||
Series 2016 E1, 4%, tender 8/15/24 (a) | 275,000 | 285,392 | |
Series 2019 B, 3.5%, tender 11/15/22 (a) | 7,550,000 | 7,599,730 | |
Series 2012, 5% 11/1/22 | 350,000 | 355,214 | |
Series 2014 25A, 5% 11/1/22 (c) | 1,100,000 | 1,116,018 | |
Series 2015 A: | |||
5% 8/1/22 | 1,380,000 | 1,388,603 | |
5% 8/1/23 | 630,000 | 654,492 | |
Series 2015 D1: | |||
0.25% 10/15/22 | 500,000 | 496,973 | |
0.4% 10/15/23 | 650,000 | 631,964 | |
0.55% 10/15/24 | 300,000 | 288,834 | |
0.75% 10/15/25 | 250,000 | 237,491 | |
Series 2015 MI: | |||
5% 12/1/22 | 600,000 | 610,174 | |
5% 12/1/24 | 100,000 | 106,832 | |
Series 2016: | |||
5% 11/15/22 | 715,000 | 726,608 | |
5% 11/15/23 | 225,000 | 235,279 | |
Series 2020 A, 4% 6/1/22 | 1,000,000 | 1,000,000 | |
Michigan Gen. Oblig. Series 2016, 5% 3/15/23 | 85,000 | 87,281 | |
Michigan Hosp. Fin. Auth. Rev.: | |||
Bonds: | |||
(Ascension Health Cr. Group Proj.) Series F5, 2.4%, tender 3/15/23 (a) | 330,000 | 331,279 | |
Series 2010 F1, 4%, tender 6/1/23 (a) | 200,000 | 204,034 | |
Series 2012 A, 5% 6/1/23 | 200,000 | 200,535 | |
Michigan Hsg. Dev. Auth. Multi-family Hsg. Rev. Bonds (Cambridge Square of Flint Apts. Proj.) Series 2022, 1.5%, tender 5/1/23 (a) | 5,000,000 | 4,963,632 | |
Michigan Strategic Fund Exempt Facilities Rev. Bonds (Waste Mgmt., Inc. Proj.) Series 2001, 0.58%, tender 8/1/24 (a)(c) | 150,000 | 141,575 | |
Michigan Strategic Fund Ltd. Oblig. Rev. Series 2019, 4% 11/15/22 | 730,000 | 731,573 | |
Northern Michigan Univ. Revs. Series 2018 A, 5% 12/1/22 | 700,000 | 712,503 | |
Novi Cmnty. School District Series I, 4% 5/1/23 | 550,000 | 561,325 | |
Portage Pub. Schools Series 2016: | |||
5% 5/1/23 | 45,000 | 46,395 | |
5% 11/1/23 | 30,000 | 31,362 | |
5% 5/1/24 | 40,000 | 42,249 | |
5% 11/1/24 | 45,000 | 48,094 | |
5% 5/1/25 | 25,000 | 27,023 | |
5% 11/1/25 | 25,000 | 27,329 | |
5% 11/1/28 | 20,000 | 22,039 | |
Roseville Cmnty. Schools Series 2014, 5% 5/1/23 | 300,000 | 309,329 | |
Royal Oak Hosp. Fin. Auth. Hosp. Rev. Series 2014 D, 5% 9/1/23 | 345,000 | 359,242 | |
Saginaw Hosp. Fin. Auth. Hosp. Rev. Series 2020 J: | |||
5% 7/1/22 | 455,000 | 456,384 | |
5% 7/1/23 | 250,000 | 258,751 | |
Warren Consolidated School District Series 2019, 4% 5/1/23 | 230,000 | 234,377 | |
Wayne County Arpt. Auth. Rev.: | |||
Series 2011 A: | |||
4.125% 12/1/22 (Assured Guaranty Muni. Corp. Insured) (c) | 530,000 | 530,890 | |
5% 12/1/22 (c) | 2,150,000 | 2,155,039 | |
Series 2012 B, 5% 12/1/22 (c) | 485,000 | 492,059 | |
Wayne State Univ. Revs. Series 2013 A, 4% 11/15/23 | 350,000 | 360,738 | |
Wayne-Westland Cmnty. Schools Series 2019, 5% 11/1/24 | 335,000 | 358,032 | |
TOTAL MICHIGAN | 37,603,487 | ||
Minnesota - 0.3% | |||
Central Muni. Pwr. Agcy. Rev. Series 2021: | |||
5% 1/1/23 (Assured Guaranty Muni. Corp. Insured) | 330,000 | 336,706 | |
5% 1/1/25 (Assured Guaranty Muni. Corp. Insured) | 265,000 | 284,245 | |
Maple Grove Health Care Sys. Rev. Series 2017, 5% 5/1/23 | 110,000 | 113,217 | |
Minneapolis & Saint Paul Hsg. & Redev. Auth. Health Care Sys. Rev. (Allina Health Sys. Proj.) Series 2017 A, 5% 11/15/23 | 355,000 | 370,331 | |
Minneapolis & Saint Paul Metropolitan Arpts. Commission Arpt. Rev.: | |||
Series 2014 A: | |||
5% 1/1/23 | 20,000 | 20,379 | |
5% 1/1/28 | 215,000 | 222,704 | |
Series 2014 B, 5% 1/1/23 (c) | 20,000 | 20,369 | |
Series 2016 B, 4% 1/1/23 | 300,000 | 303,966 | |
Series 2016, 5% 1/1/25 | 620,000 | 661,960 | |
Series 2019 C, 5% 1/1/26 | 380,000 | 413,512 | |
Minnesota Hsg. Fin. Agcy.: | |||
Bonds Series 2018 D, SIFMA Municipal Swap Index + 0.430% 1.22%, tender 7/3/23 (a)(b) | 2,955,000 | 2,951,323 | |
Series 2021 A: | |||
0.3% 7/1/22 (c) | 190,000 | 189,817 | |
0.4% 1/1/23 (c) | 190,000 | 188,362 | |
0.5% 7/1/23 (c) | 185,000 | 181,630 | |
0.625% 1/1/24 (c) | 380,000 | 369,423 | |
Series H: | |||
0.55% 1/1/23 (c) | 175,000 | 173,932 | |
0.65% 1/1/24 (c) | 180,000 | 176,071 | |
Minnesota Muni. Gas Agcy. Rev.: | |||
Bonds Series 2022 A, 4%, tender 12/1/27 (a) | 1,725,000 | 1,806,759 | |
Series 2022 A: | |||
4% 12/1/22 | 1,350,000 | 1,365,423 | |
4% 12/1/24 | 2,700,000 | 2,805,155 | |
Moorhead Edl. Facilities Rev. (The Concordia College Corp. Proj.) Series 2016, 5% 12/1/25 | 65,000 | 67,929 | |
Northern Muni. Pwr. Agcy. Elec. Sys. Rev. Series 2017: | |||
5% 1/1/23 | 250,000 | 254,977 | |
5% 1/1/24 | 35,000 | 36,653 | |
Southern Minnesota Muni. Pwr. Agcy. Pwr. Supply Sys. Rev.: | |||
Series 1994 A, 0% 1/1/24 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 290,000 | 280,315 | |
Series 2015 A, 3% 1/1/23 | 250,000 | 252,085 | |
Western Minnesota Muni. Pwr. Agcy. Pwr. Supply Rev. Series 2014 A: | |||
5% 1/1/23 | 65,000 | 66,325 | |
5% 1/1/24 | 20,000 | 20,983 | |
TOTAL MINNESOTA | 13,934,551 | ||
Mississippi - 0.1% | |||
Jackson Gen. Oblig. Series 2021: | |||
5% 3/1/23 | 325,000 | 332,966 | |
5% 3/1/24 | 500,000 | 525,299 | |
Mississippi Dev. Bank Spl. Oblig. (Jackson Mississippi Sales Tax Rev. Infrastructure Proj.) Series 2020, 5% 9/1/24 | 740,000 | 785,231 | |
Mississippi Hosp. Equip. & Facilities Auth.: | |||
Bonds Series 2020 A2, 0.2%, tender 9/1/22 (a) | 4,500,000 | 4,483,015 | |
Series I, 5% 10/1/22 | 420,000 | 425,136 | |
TOTAL MISSISSIPPI | 6,551,647 | ||
Missouri - 0.4% | |||
Cape Girardeau County Indl. Dev. Auth. (Southeast Hosp. Proj.) Series 2017 A: | |||
5% 3/1/23 | 20,000 | 20,445 | |
5% 3/1/24 | 15,000 | 15,669 | |
5% 3/1/25 | 15,000 | 15,796 | |
5% 3/1/26 | 20,000 | 21,375 | |
Kansas City Spl. Oblig. (Main Streetcar Extension Proj.) Series 2022 C, 5% 9/1/22 | 800,000 | 805,890 | |
Missouri Health & Edl. Facilities Rev.: | |||
Series 2014 A, 5% 6/1/24 | 1,000,000 | 1,056,075 | |
Series 2020: | |||
5% 11/15/22 | 660,000 | 670,745 | |
5% 11/15/23 | 815,000 | 851,633 | |
Missouri Hsg. Dev. Commission Single Family Mtg. Rev. Series 2019, 4% 5/1/50 | 65,000 | 66,770 | |
Missouri State Pub. Util. Commn Rev. Series 2022, 0.75% 8/1/23 | 10,000,000 | 9,825,491 | |
Ozarks Technical Cmnty. College Series 2021: | |||
5% 3/1/23 | 225,000 | 230,634 | |
5% 3/1/25 | 225,000 | 241,620 | |
Saint Louis Arpt. Rev.: | |||
Series 2017 A, 5% 7/1/22 (Assured Guaranty Muni. Corp. Insured) | 1,175,000 | 1,178,488 | |
Series 2017 B: | |||
5% 7/1/22 (Assured Guaranty Muni. Corp. Insured) (c) | 500,000 | 501,356 | |
5% 7/1/24 (Assured Guaranty Muni. Corp. Insured) (c) | 250,000 | 262,656 | |
Series 2019 B: | |||
5% 7/1/22 (c) | 365,000 | 365,975 | |
5% 7/1/23 (c) | 385,000 | 396,587 | |
5% 7/1/24 (c) | 400,000 | 420,250 | |
5% 7/1/25 (c) | 420,000 | 448,807 | |
St Charles County Francis Howell R-III School District Gen. Oblig. Series 2022, 5% 3/1/23 | 375,000 | 384,560 | |
TOTAL MISSOURI | 17,780,822 | ||
Montana - 0.0% | |||
Montana Board Hsg. Single Family: | |||
Series 2019 B, 4% 6/1/50 | 30,000 | 30,840 | |
Series 2022 A, 3% 6/1/52 | 265,000 | 261,511 | |
Series A1, 3.5% 6/1/50 | 420,000 | 425,338 | |
TOTAL MONTANA | 717,689 | ||
Nebraska - 0.5% | |||
Central Plains Energy Proj. Gas Supply: | |||
Bonds Series 2019, 4%, tender 8/1/25 (a) | 1,170,000 | 1,204,732 | |
Series 2019, 4% 8/1/23 | 580,000 | 592,437 | |
Douglas County Hosp. Auth. #2 Health Facilities Rev. Series 2020, 5% 11/15/22 | 130,000 | 131,813 | |
Gretna Ctfs. of Prtn.: | |||
Series 2021, 4% 12/15/25 | 2,620,000 | 2,719,171 | |
Series 2022, 5% 12/15/25 | 4,000,000 | 4,257,304 | |
Lincoln Arpt. Auth. Series 2021, 5% 7/1/23 (c) | 725,000 | 749,584 | |
Muni. Energy Agcy. of Nebraska Pwr. Swr. Rev. Series 2022 A: | |||
5% 4/1/24 | 1,690,000 | 1,783,984 | |
5% 4/1/25 | 2,835,000 | 3,049,824 | |
Nebraska Invt. Fin. Auth. Single Family Hsg. Rev.: | |||
Series 2019 B, 4% 9/1/49 (c) | 120,000 | 122,362 | |
Series 2022 B: | |||
5% 3/1/24 (c) | 1,050,000 | 1,095,745 | |
5% 9/1/24 (c) | 1,065,000 | 1,121,691 | |
Nebraska Pub. Pwr. District Rev.: | |||
Bonds Series 2020 A, 0.6%, tender 7/1/23 (a) | 5,800,000 | 5,704,144 | |
Series 2016 C, 5% 1/1/25 | 200,000 | 214,629 | |
Series B, 5% 1/1/23 | 250,000 | 255,183 | |
Omaha Pub. Pwr. District Elec. Rev. Series A, 5% 2/1/25 | 200,000 | 215,306 | |
TOTAL NEBRASKA | 23,217,909 | ||
Nevada - 1.2% | |||
Clark County Arpt. Rev.: | |||
(Sub Lien Proj.) Series 2017 A1, 5% 7/1/22 (c) | 360,000 | 360,991 | |
Series 2019 A, 5% 7/1/23 | 200,000 | 206,673 | |
Series 2019 D, 5% 7/1/22 | 10,000,000 | 10,029,188 | |
Series 2021 B: | |||
5% 7/1/22 (c) | 1,510,000 | 1,514,121 | |
5% 7/1/23 (c) | 2,500,000 | 2,576,597 | |
5% 7/1/24 (c) | 2,145,000 | 2,251,807 | |
Clark County McCarran Int'l. Arpt. Passenger Facility Charge Rev.: | |||
(Clark County Arpt. Rev. Proj.) Series 2017 B, 5% 7/1/22 (c) | 2,665,000 | 2,672,493 | |
Series 2019 E: | |||
5% 7/1/22 | 480,000 | 481,401 | |
5% 7/1/25 | 100,000 | 108,029 | |
5% 7/1/27 | 275,000 | 308,142 | |
Clark County School District: | |||
Series 2015 C, 5% 6/15/22 | 500,000 | 500,712 | |
Series 2016 A, 5% 6/15/23 | 255,000 | 263,868 | |
Series 2017 A, 5% 6/15/22 | 710,000 | 711,010 | |
Series 2017 C: | |||
5% 6/15/22 | 3,300,000 | 3,304,696 | |
5% 6/15/24 | 200,000 | 212,025 | |
Series 2017 D: | |||
5% 6/15/24 | 400,000 | 407,202 | |
5% 6/15/25 | 350,000 | 356,257 | |
Series 2018 A: | |||
5% 6/15/23 | 435,000 | 450,128 | |
5% 6/15/24 | 685,000 | 726,186 | |
5% 6/15/25 | 315,000 | 341,896 | |
Series 2020 A: | |||
3% 6/15/22 | 500,000 | 500,352 | |
3% 6/15/23 (Assured Guaranty Muni. Corp. Insured) | 450,000 | 456,439 | |
Las Vegas Convention & Visitors Auth. Series 2021: | |||
5% 7/1/23 | 1,000,000 | 1,032,817 | |
5% 7/1/24 | 1,000,000 | 1,056,052 | |
Nevada Dept. of Bus. & Industry Bonds: | |||
(Republic Svcs., Inc. Proj.) Series 2001, 0.28%, tender 6/1/22 (a)(c)(d) | 3,500,000 | 3,500,000 | |
Series 2020 A, 0.85%, tender 1/26/23 (a)(c)(d) | 15,450,000 | 15,314,836 | |
Nevada Gen. Oblig.: | |||
Series 2013 D1, 5% 3/1/24 | 60,000 | 61,469 | |
Series 2013 F1, 5% 3/1/25 | 250,000 | 255,901 | |
Nevada Hsg. Division Bonds Series 2020, 0.3%, tender 10/1/22 (a) | 4,220,000 | 4,195,544 | |
Washoe County Gas & Wtr. Facilities Bonds (Sierra Pacific Pwr. Co. Proj.) Series 2016 B, 3%, tender 6/1/22 (a) | 1,460,000 | 1,460,000 | |
TOTAL NEVADA | 55,616,832 | ||
New Hampshire - 0.5% | |||
Nat'l. Fin. Auth. Hosp. Rev. (St. Luke's Univ. Health Network Proj.) Series 2021 B, 5% 8/15/25 | 1,140,000 | 1,232,923 | |
Nat'l. Fin. Auth. Solid Bonds (Waste Mgmt., Inc. Proj.): | |||
Series 2018 A, 1.165%, tender 7/1/24 (a)(c) | 5,000,000 | 4,809,833 | |
Series 2019 A2, 2.15%, tender 7/1/24 (a)(c) | 555,000 | 542,370 | |
Series 2020 A3, 1%, tender 6/1/22 (a)(c) | 15,000,000 | 15,000,000 | |
New Hampshire Bus. Fin. Auth. Wtr. Facility (Pennichuck Wtr. Works, Inc. Proj.) Series 2014 A, 5% 1/1/24 (Escrowed to Maturity) (c) | 260,000 | 272,069 | |
New Hampshire Health & Ed. Facilities Auth. Rev.: | |||
Series 2012, 5% 7/1/27 | 120,000 | 120,196 | |
Series 2016, 5% 10/1/23 | 425,000 | 441,373 | |
TOTAL NEW HAMPSHIRE | 22,418,764 | ||
New Jersey - 3.0% | |||
Burlington County Bridge Commission Lease Rev. (Governmental Leasing Prog.) Series 2021: | |||
4% 4/1/23 | 715,000 | 729,583 | |
4% 4/1/24 | 425,000 | 440,403 | |
Camden County Impt. Auth. Health Care Redev. Rev. Series 2014 A, 5% 2/15/23 | 70,000 | 71,499 | |
Garden State Preservation Trust Open Space & Farmland Preservation Series B, 0% 11/1/22 (Assured Guaranty Muni. Corp. Insured) | 680,000 | 674,710 | |
Gloucester County Impt. Auth. Rev. Series 2021, 0.6% 3/1/24 | 2,400,000 | 2,300,077 | |
Hudson County Impt. Auth. (Hudson County Courthouse Proj.) Series 2020, 4% 10/1/22 | 225,000 | 226,997 | |
New Brunswick Parking Auth. Rev. Series 2020 B: | |||
5% 9/1/23 | 675,000 | 700,052 | |
5% 9/1/25 | 850,000 | 924,313 | |
New Jersey Econ. Dev. Auth. Series QQQ: | |||
5% 6/15/22 | 400,000 | 400,532 | |
5% 6/15/23 | 420,000 | 433,285 | |
5% 6/15/24 | 300,000 | 314,537 | |
5% 6/15/25 | 385,000 | 410,093 | |
5% 6/15/26 | 555,000 | 598,844 | |
New Jersey Econ. Dev. Auth. Rev.: | |||
(New Jersey Gen. Oblig. Proj.) Series 2017 B, 5% 11/1/24 | 515,000 | 543,831 | |
(New Jersey Transit Corp. Projs.) Series 2017 B, 5% 11/1/22 | 1,900,000 | 1,927,349 | |
(Provident Montclair Proj.) Series 2017: | |||
4% 6/1/22 (Assured Guaranty Muni. Corp. Insured) | 20,000 | 20,000 | |
5% 6/1/23 (Assured Guaranty Muni. Corp. Insured) | 25,000 | 25,803 | |
5% 6/1/24 (Assured Guaranty Muni. Corp. Insured) | 20,000 | 21,121 | |
(The Goethals Bridge Replacement Proj.) Series 2013, 5% 1/1/24 (c) | 350,000 | 361,889 | |
Series 2005 N1, 5.5% 9/1/23 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 350,000 | 364,913 | |
Series 2012 II, 5% 3/1/23 | 835,000 | 838,690 | |
Series 2012: | |||
5% 6/15/22 | 315,000 | 315,439 | |
5% 6/15/22 (Assured Guaranty Corp. Insured) | 900,000 | 901,271 | |
Series 2013 NN, 5% 3/1/26 | 305,000 | 310,438 | |
Series 2013: | |||
5% 3/1/23 | 1,890,000 | 1,934,895 | |
5% 3/1/24 | 480,000 | 490,014 | |
5% 3/1/25 | 355,000 | 361,401 | |
Series 2014 UU, 5% 6/15/24 | 400,000 | 419,382 | |
Series 2015 XX: | |||
4% 6/15/24 | 545,000 | 560,115 | |
5% 6/15/23 | 75,000 | 77,372 | |
Series 2017 DDD, 5% 6/15/22 | 220,000 | 220,293 | |
Series 2019: | |||
5.25% 9/1/22 (d) | 5,550,000 | 5,601,236 | |
5.25% 9/1/23 (d) | 5,000,000 | 5,197,731 | |
5.25% 9/1/24 (d) | 2,100,000 | 2,211,438 | |
Series UU, 3.1% 6/15/23 | 575,000 | 582,034 | |
New Jersey Econ. Dev. Auth. Wtr. Facilities Rev.: | |||
(New Jersey-American Wtr. Co., Inc. Proj.): | |||
Series 2020 C, 1.15% 6/1/23 (c) | 2,500,000 | 2,474,383 | |
Series 2020 E, 0.85% 12/1/25 (c) | 1,600,000 | 1,485,167 | |
Bonds (New Jersey-American Wtr. Co., Inc.) Series 2020, 1.2%, tender 6/1/23 (a)(c) | 2,000,000 | 1,978,280 | |
New Jersey Edl. Facility: | |||
Series 2015 C, 5% 7/1/22 | 240,000 | 240,582 | |
Series 2016 A: | |||
5% 7/1/22 | 140,000 | 140,397 | |
5% 7/1/23 | 75,000 | 77,420 | |
5% 7/1/24 | 175,000 | 184,553 | |
Series 2016 E, 5% 7/1/22 | 625,000 | 626,762 | |
New Jersey Gen. Oblig.: | |||
Series 2013, 5% 6/1/23 | 580,000 | 597,457 | |
Series 2014: | |||
5% 6/1/22 | 400,000 | 400,000 | |
5% 6/1/24 | 385,000 | 405,350 | |
Series 2020 A: | |||
4% 6/1/23 | 24,320,000 | 24,812,949 | |
5% 6/1/24 | 1,530,000 | 1,610,872 | |
5% 6/1/25 | 2,330,000 | 2,504,846 | |
Series 2021, 2% 6/1/25 | 840,000 | 820,854 | |
New Jersey Health Care Facilities Fing. Auth. Rev.: | |||
Bonds Series 2019 B2, 5%, tender 7/1/25 (a) | 150,000 | 160,748 | |
Series 2011, 5% 7/1/22 | 400,000 | 401,266 | |
Series 2013, 5% 7/1/22 | 325,000 | 326,002 | |
Series 2016 A: | |||
2% 7/1/22 | 250,000 | 250,160 | |
5% 7/1/22 | 300,000 | 300,893 | |
5% 7/1/22 (Escrowed to Maturity) | 5,000 | 5,014 | |
5% 7/1/24 | 25,000 | 26,427 | |
5% 7/1/24 (Escrowed to Maturity) | 20,000 | 21,197 | |
5% 7/1/24 (Escrowed to Maturity) | 10,000 | 10,556 | |
5% 7/1/25 (Escrowed to Maturity) | 10,000 | 10,778 | |
5% 7/1/26 (Escrowed to Maturity) | 5,000 | 5,498 | |
5% 7/1/27 (Pre-Refunded to 7/1/26 @ 100) | 5,000 | 5,498 | |
Series 2016, 5% 7/1/22 | 460,000 | 461,411 | |
New Jersey Higher Ed. Student Assistance Auth. Student Ln. Rev.: | |||
Series 2012 1, 5% 12/1/22 (c) | 500,000 | 506,305 | |
Series 2015 1A: | |||
5% 12/1/22 (c) | 200,000 | 203,041 | |
5% 12/1/24 (c) | 55,000 | 58,152 | |
Series 2016 1A: | |||
5% 12/1/22 (c) | 1,400,000 | 1,423,459 | |
5% 12/1/23 (c) | 1,400,000 | 1,456,306 | |
5% 12/1/24 (c) | 1,430,000 | 1,511,957 | |
Series 2017 1A: | |||
5% 12/1/22 (c) | 215,000 | 218,711 | |
5% 12/1/23 (c) | 4,195,000 | 4,363,717 | |
Series 2019 A: | |||
5% 12/1/22 | 245,000 | 249,290 | |
5% 12/1/23 | 4,260,000 | 4,455,120 | |
5% 12/1/24 | 270,000 | 288,447 | |
Series 2020 A, 5% 12/1/23 (c) | 1,500,000 | 1,560,328 | |
Series 2020: | |||
5% 12/1/22 (c) | 1,600,000 | 1,626,811 | |
5% 12/1/22 (c) | 1,660,000 | 1,686,568 | |
5% 12/1/23 (c) | 945,000 | 983,006 | |
5% 12/1/24 (c) | 675,000 | 713,686 | |
Series 2021 A: | |||
5% 12/1/23 (c) | 200,000 | 208,044 | |
5% 12/1/24 (c) | 330,000 | 348,913 | |
5% 12/1/25 (c) | 700,000 | 753,898 | |
Series 2021 B, 5% 12/1/24 (c) | 570,000 | 602,668 | |
New Jersey Hsg. & Mtg. Fin. Agcy. Bonds Series 2020 A, 0.75%, tender 6/1/22 (a) | 2,000,000 | 2,000,000 | |
New Jersey Hsg. & Mtg. Fin. Agcy. Multi-family Rev. Series 2021 B, 0.5% 11/1/23 | 670,000 | 654,908 | |
New Jersey Hsg. & Mtg. Fin. Agcy. Rev.: | |||
Series 2019 D: | |||
4% 10/1/22 (c) | 1,340,000 | 1,350,285 | |
4% 4/1/23 (c) | 115,000 | 116,895 | |
4% 10/1/23 (c) | 125,000 | 127,935 | |
4% 4/1/25 (c) | 150,000 | 155,433 | |
Series 2021 H: | |||
0.2% 4/1/23 | 235,000 | 231,881 | |
0.35% 4/1/24 | 775,000 | 748,556 | |
New Jersey Tobacco Settlement Fing. Corp. Series 2018 A: | |||
5% 6/1/22 | 2,580,000 | 2,580,000 | |
5% 6/1/23 | 1,080,000 | 1,106,819 | |
5% 6/1/25 | 825,000 | 871,088 | |
New Jersey Trans. Trust Fund Auth.: | |||
Series 2005 B: | |||
5.25% 12/15/22 (AMBAC Insured) | 5,365,000 | 5,470,082 | |
5.25% 12/15/23 | 470,000 | 491,412 | |
Series 2006 A: | |||
5.25% 12/15/22 | 1,160,000 | 1,182,720 | |
5.25% 12/15/23 (Assured Guaranty Muni. Corp. Insured) | 500,000 | 525,342 | |
5.5% 12/15/22 | 3,000,000 | 3,062,747 | |
5.5% 12/15/22 (Assured Guaranty Muni. Corp. Insured) | 2,000,000 | 2,042,592 | |
Series 2010 D, 5.25% 12/15/23 | 555,000 | 580,285 | |
Series 2013 AA: | |||
5% 6/15/22 | 215,000 | 215,286 | |
5% 6/15/23 | 785,000 | 809,831 | |
Series 2016 A: | |||
5% 6/15/22 | 2,720,000 | 2,723,388 | |
5% 6/15/27 | 90,000 | 98,200 | |
Series 2016 A1, 5% 6/15/24 | 800,000 | 843,989 | |
Series 2016 A2, 5% 6/15/23 | 1,205,000 | 1,243,369 | |
Series 2018 A: | |||
5% 6/15/22 | 4,475,000 | 4,480,574 | |
5% 6/15/23 | 445,000 | 459,169 | |
5% 6/15/24 | 755,000 | 796,515 | |
Series 2022 AA: | |||
5% 6/15/23 | 150,000 | 154,745 | |
5% 6/15/24 | 330,000 | 345,990 | |
5% 6/15/25 | 2,000,000 | 2,130,354 | |
Series A: | |||
5% 12/15/23 | 365,000 | 380,258 | |
5% 12/15/24 | 210,000 | 222,276 | |
5% 12/15/25 | 200,000 | 214,856 | |
Series D, 5% 12/15/23 | 480,000 | 500,065 | |
Newark Gen. Oblig. Series 2020: | |||
5% 10/1/22 | 900,000 | 909,768 | |
5% 10/1/22 | 650,000 | 657,055 | |
Rutgers State Univ. Rev.: | |||
Series 2013 J, 5% 5/1/23 | 275,000 | 283,348 | |
Series 2018 N, 4% 5/1/23 | 370,000 | 377,958 | |
Series Q, 5% 5/1/23 | 65,000 | 66,985 | |
The Board of Ed. of Newark Series 2021: | |||
5% 7/15/22 | 125,000 | 125,572 | |
5% 7/15/25 (Build America Mutual Assurance Insured) | 250,000 | 270,533 | |
5% 7/15/26 (Build America Mutual Assurance Insured) | 300,000 | 330,844 | |
Trenton Gen. Oblig. Series 2015, 5% 7/15/22 | 2,000,000 | 2,008,764 | |
TOTAL NEW JERSEY | 139,023,999 | ||
New Mexico - 0.2% | |||
New Mexico Edl. Assistance Foundation Series 2021 1A: | |||
5% 9/1/23 (c) | 750,000 | 779,538 | |
5% 9/1/24 (c) | 1,000,000 | 1,062,936 | |
New Mexico Mtg. Fin. Auth. Series 2019 C, 4% 1/1/50 | 405,000 | 415,596 | |
New Mexico Muni. Energy Acquisition Auth. Gas Supply Rev.: | |||
Bonds Series 2019 A, 5%, tender 5/1/25 (a) | 1,000,000 | 1,062,332 | |
Series 2019 A: | |||
4% 5/1/23 | 980,000 | 997,037 | |
4% 11/1/23 | 645,000 | 660,470 | |
4% 11/1/24 | 250,000 | 258,342 | |
4% 5/1/25 | 960,000 | 995,512 | |
Santa Fe Pub. School District Gen. Oblig. Series 2021: | |||
4% 8/1/22 | 500,000 | 502,277 | |
4% 8/1/23 | 450,000 | 461,907 | |
TOTAL NEW MEXICO | 7,195,947 | ||
New York - 3.9% | |||
Dorm. Auth. New York Univ. Rev. Series 2016 A: | |||
5% 7/1/22 | 10,000 | 10,030 | |
5% 7/1/24 | 40,000 | 42,033 | |
Hempstead Local Dev. Corp. Rev. (Adelphi Univ. Proj.) Series 2021: | |||
5% 6/1/22 | 200,000 | 200,000 | |
5% 6/1/23 | 400,000 | 412,442 | |
5% 6/1/24 | 940,000 | 987,614 | |
Hudson Yards Infrastructure Corp. New York Rev. Series 2017 A, 5% 2/15/25 | 805,000 | 866,045 | |
Long Island Pwr. Auth. Elec. Sys. Rev. Bonds: | |||
Series 2019 B, 1.65%, tender 9/1/24 (a) | 1,055,000 | 1,036,734 | |
Series 2020 B, 0.85%, tender 9/1/25 (a) | 7,060,000 | 6,649,176 | |
Series 2021 B, 1.5%, tender 9/1/26 (a) | 470,000 | 447,262 | |
Monroe County Indl. Dev. Corp.: | |||
(The Rochester Gen. Hosp. Proj.) Series 2017, 5% 12/1/26 | 350,000 | 384,350 | |
Series 2020 A, 5% 7/1/23 | 300,000 | 310,928 | |
Nassau County Local Econ. Assistance Corp. Multifamily Hsg. Rev. Bonds (Park Lake Hempstead, L.P. Proj.) Series 2021, 0.3%, tender 11/1/23 (a) | 5,190,000 | 4,971,402 | |
New York Bridge Auth. Gen. Rev. Series 2021 B, 5% 1/1/23 | 1,025,000 | 1,046,311 | |
New York City Gen. Oblig.: | |||
Bonds Series D, 5%, tender 2/1/24 (a) | 900,000 | 923,290 | |
Series 1, 5% 8/1/23 | 405,000 | 420,841 | |
Series 2006, 1.2%, tender 6/1/36 (Assured Guaranty Muni. Corp. Insured) (a) | 1,000,000 | 1,000,000 | |
Series 2007 A, 1.15%, tender 8/1/26 (Assured Guaranty Muni. Corp. Insured) (a) | 4,725,000 | 4,725,000 | |
Series 2007 C-4, 1.14%, tender 1/1/32 (Assured Guaranty Muni. Corp. Insured) (a) | 225,000 | 225,000 | |
Series 2007, 1.03%, tender 6/7/22 (Assured Guaranty Muni. Corp. Insured) (a) | 3,550,000 | 3,550,000 | |
Series 2008 A-3, 1.2%, tender 8/1/26 (Assured Guaranty Muni. Corp. Insured) (a) | 3,175,000 | 3,175,000 | |
Series 2008 C-4, 1.19%, tender 10/1/27 (a) | 8,675,000 | 8,675,000 | |
Series 2013 D, 5% 8/1/23 | 1,605,000 | 1,642,663 | |
Series 2013 F1, 5% 3/1/24 | 250,000 | 256,423 | |
Series 2013 I, 5% 8/1/23 | 200,000 | 207,823 | |
Series 2014 J, 5% 8/1/25 | 410,000 | 434,506 | |
Series 2015 A, 5% 8/1/23 | 570,000 | 592,295 | |
Series 2016 B, 5% 8/1/22 | 300,000 | 301,941 | |
Series 2016, 5% 8/1/22 | 475,000 | 478,072 | |
Series 2017 C, 5% 8/1/23 | 120,000 | 124,694 | |
Series 2018 A: | |||
5% 8/1/23 | 200,000 | 207,823 | |
5% 8/1/24 | 150,000 | 159,754 | |
Series 2018, 5% 8/1/22 | 540,000 | 543,493 | |
Series 2021 F1, 5% 3/1/23 | 85,000 | 87,289 | |
Series A: | |||
4% 8/1/23 | 995,000 | 1,022,493 | |
5% 8/1/22 | 440,000 | 442,846 | |
5% 8/1/23 | 100,000 | 103,911 | |
5% 8/1/25 | 670,000 | 710,047 | |
Series A1, 5% 10/1/22 | 350,000 | 354,445 | |
Series C: | |||
5% 8/1/23 | 300,000 | 311,734 | |
5% 8/1/26 | 220,000 | 244,858 | |
Series D, 5% 8/1/25 | 710,000 | 725,478 | |
Series E, 5% 8/1/22 | 590,000 | 593,816 | |
Series F1: | |||
5% 3/1/27 | 325,000 | 332,867 | |
5% 3/1/37 (Pre-Refunded to 3/1/23 @ 100) | 405,000 | 415,570 | |
Series H3, 5% 8/1/23 | 475,000 | 493,579 | |
Series I1, 5% 3/1/27 | 200,000 | 209,767 | |
New York City Health & Hosp. Corp. Rev. Series A, 4% 2/15/25 | 1,440,000 | 1,498,827 | |
New York City Hsg. Dev. Corp. Series G1, 2.35% 11/1/23 | 450,000 | 452,335 | |
New York City Hsg. Dev. Corp. Multifamily Hsg. Bonds: | |||
Series 2021 C2, 0.7%, tender 7/1/25 (a) | 2,710,000 | 2,529,003 | |
Series 2021 K2, 0.9%, tender 1/1/26 (a) | 1,820,000 | 1,690,350 | |
Series 2021, 0.6%, tender 7/1/25 (a) | 430,000 | 400,025 | |
Series A3, 1.125%, tender 11/1/24 (a) | 2,000,000 | 1,923,914 | |
New York City Indl. Dev. Agcy. Rev. Series 2021 A: | |||
5% 1/1/25 (Assured Guaranty Muni. Corp. Insured) | 1,000,000 | 1,061,214 | |
5% 1/1/26 (Assured Guaranty Muni. Corp. Insured) | 365,000 | 394,581 | |
New York City Muni. Wtr. Fin. Auth. Wtr. & Swr. Sys. Rev. Series 2022 DD, 1.11% 6/15/33 (a) | 2,000,000 | 2,000,000 | |
New York City Transitional Fin. Auth. Bldg. Aid Rev.: | |||
Series 2016 S 1: | |||
5% 7/15/24 | 70,000 | 74,212 | |
5% 7/15/24 (Escrowed to Maturity) | 305,000 | 324,104 | |
Series 2018 S1, 5% 7/15/25 (Escrowed to Maturity) | 370,000 | 403,570 | |
Series S1, 5% 7/15/23 (Escrowed to Maturity) | 600,000 | 622,838 | |
New York City Transitional Fin. Auth. Rev.: | |||
Series 1: | |||
5% 11/1/22 | 215,000 | 218,438 | |
5% 11/1/22 | 400,000 | 406,396 | |
Series 2014 D1, 5% 2/1/27 | 350,000 | 367,454 | |
Series 2015 C, 5% 11/1/22 | 370,000 | 375,916 | |
Series A1: | |||
5% 5/1/23 | 300,000 | 309,858 | |
5% 8/1/24 | 250,000 | 266,312 | |
Series A3, 5% 8/1/23 | 1,045,000 | 1,087,605 | |
Series B1, 5% 8/1/22 | 350,000 | 352,305 | |
New York Convention Ctr. Dev. Corp. Rev. Series 2015, 5% 11/15/22 | 755,000 | 767,119 | |
New York Dorm. Auth. Personal Income Tax Rev.: | |||
Series 2012 A, 4% 12/15/22 (Escrowed to Maturity) | 325,000 | 329,684 | |
Series 2014 A, 5% 2/15/26 | 865,000 | 907,574 | |
Series 2014 E, 5% 2/15/26 | 300,000 | 322,258 | |
Series 2015 E, 5% 3/15/23 (Escrowed to Maturity) | 300,000 | 308,355 | |
Series 2016 D: | |||
5% 2/15/23 (Escrowed to Maturity) | 665,000 | 681,762 | |
5% 2/15/25 (Escrowed to Maturity) | 455,000 | 491,438 | |
New York Dorm. Auth. Rev.: | |||
Series 2015 A: | |||
5% 5/1/23 | 510,000 | 524,869 | |
5% 7/1/24 | 275,000 | 292,323 | |
Series 2015, 5% 12/1/22 (d) | 700,000 | 711,379 | |
Series 2021 A: | |||
4% 10/1/22 | 2,875,000 | 2,900,523 | |
5% 7/1/24 | 1,410,000 | 1,484,612 | |
Series 2022 A: | |||
5% 7/1/26 | 200,000 | 217,313 | |
5% 7/1/27 | 500,000 | 550,216 | |
New York Dorm. Auth. Sales Tax Rev.: | |||
Series 2015 A, 5% 3/15/24 | 250,000 | 263,816 | |
Series 2017 A, 5% 3/15/24 | 445,000 | 469,592 | |
New York Metropolitan Trans. Auth. Dedicated Tax Fund Rev.: | |||
Bonds Series 2008 A, SIFMA Municipal Swap Index + 0.450% 1.24%, tender 6/1/22 (a)(b) | 1,160,000 | 1,160,000 | |
Series 2012 A, 5% 11/15/22 | 225,000 | 228,781 | |
Series 2016 A: | |||
4% 11/15/25 | 350,000 | 371,009 | |
5% 11/15/22 | 400,000 | 406,721 | |
Series 2016 B1, 5% 11/15/25 | 255,000 | 278,742 | |
Series 2017 B2, 5% 11/15/24 | 420,000 | 449,185 | |
Series 2021 B1, 3% 11/1/22 | 3,000,000 | 3,021,847 | |
New York Metropolitan Trans. Auth. Rev.: | |||
Bonds: | |||
Series 2005 D1, U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.330% 0.853%, tender 4/1/24 (a)(b) | 5,700,000 | 5,592,716 | |
Series 2011 B, 1 month U.S. LIBOR + 0.550% 1.086%, tender 6/4/22 (a)(b) | 1,745,000 | 1,737,207 | |
Series 2019 D1, 5%, tender 11/15/24 (a) | 4,000,000 | 4,209,086 | |
Series 2012 B, 5% 11/15/22 | 45,000 | 45,715 | |
Series 2012 F: | |||
5% 11/15/22 | 1,000,000 | 1,015,903 | |
5% 11/15/23 | 985,000 | 998,949 | |
Series 2014 C, 5% 11/15/22 | 255,000 | 259,055 | |
Series 2015 A1, 5% 11/15/22 | 700,000 | 711,132 | |
Series 2015 F, 5% 11/15/22 | 855,000 | 868,597 | |
Series 2016 B, 5% 11/15/23 | 2,035,000 | 2,117,194 | |
Series 2016 D, 5% 11/15/27 | 450,000 | 489,486 | |
Series 2017 A2, 5% 11/15/25 | 1,880,000 | 2,017,665 | |
Series 2017 B: | |||
5% 11/15/22 | 1,605,000 | 1,630,701 | |
5% 11/15/23 | 780,000 | 811,504 | |
Series 2017 C1, 5% 11/15/28 | 660,000 | 720,307 | |
Series 2017 D: | |||
5% 11/15/23 | 420,000 | 436,964 | |
5% 11/15/25 | 2,140,000 | 2,296,591 | |
Series 2019 F, 5% 11/15/22 | 6,250,000 | 6,336,587 | |
Series 2020 A, 5% 2/1/23 | 7,880,000 | 8,016,389 | |
New York St Mtg. Agcy. Homeowner: | |||
Series 2014 189, 2.85% 10/1/22 (c) | 500,000 | 502,002 | |
Series 212, 2.5% 10/1/22 (c) | 1,160,000 | 1,163,199 | |
Series 214, 2.9% 10/1/22 (c) | 805,000 | 808,009 | |
New York State Dorm. Auth.: | |||
Series 2012 A: | |||
5% 12/15/23 | 415,000 | 422,912 | |
5% 12/15/23 (Pre-Refunded to 12/15/22 @ 100) | 345,000 | 351,715 | |
Series 2017 A: | |||
5% 2/15/23 | 555,000 | 568,862 | |
5% 2/15/25 | 250,000 | 269,780 | |
5% 2/15/25 (Escrowed to Maturity) | 440,000 | 474,632 | |
Series 2017 B: | |||
5% 2/15/23 | 210,000 | 215,245 | |
5% 2/15/23 (Escrowed to Maturity) | 455,000 | 466,306 | |
Series 2018 A, 5% 3/15/25 (Escrowed to Maturity) | 200,000 | 216,444 | |
Series 2019 D, 5% 2/15/23 | 390,000 | 399,741 | |
Series 2020 A, 5% 3/15/23 (Escrowed to Maturity) | 250,000 | 256,963 | |
New York State Energy Research & Dev. Auth. Poll. Cont. Rev. Series 1999, 1.45%, tender 6/3/22 (AMBAC Insured) (a) | 300,000 | 300,000 | |
New York State Hsg. Fin. Agcy. Rev.: | |||
Bonds: | |||
Series 2021 D2, 0.65%, tender 11/1/25 (a) | 405,000 | 374,281 | |
Series 2021 J2, 1.1%, tender 5/1/27 (a) | 980,000 | 892,704 | |
Series 2021 K2, 1%, tender 11/1/26 (a) | 265,000 | 245,175 | |
Series J, 0.75% 5/1/25 | 360,000 | 340,635 | |
New York State Mtg. Agcy. Homeowner Mtg.: | |||
Series 2021 232, 5% 4/1/24 (c) | 1,110,000 | 1,161,079 | |
Series 221, 3.5% 10/1/32 (c) | 55,000 | 55,342 | |
New York Trans. Dev. Corp.: | |||
(Delta Air Lines, Inc. Laguardia Arpt. Terminals C&D Redev. Proj.) Series 2018, 5% 1/1/23 (c) | 2,500,000 | 2,522,012 | |
(Term. 4 JFK Int'l. Arpt. Proj.): | |||
Series 2020 A: | |||
5% 12/1/22 (c) | 475,000 | 481,132 | |
5% 12/1/23 (c) | 675,000 | 696,394 | |
5% 12/1/25 (c) | 1,100,000 | 1,160,958 | |
Series 2020 C: | |||
5% 12/1/22 | 2,355,000 | 2,388,100 | |
5% 12/1/23 | 1,000,000 | 1,034,227 | |
(Term. 4 John F. Kennedy Int'l. Arpt. Proj.) Series 2022: | |||
5% 12/1/26 (c) | 3,190,000 | 3,395,776 | |
5% 12/1/27 (c) | 1,585,000 | 1,695,697 | |
New York Urban Dev. Corp. Rev.: | |||
Series 2013 A1, 4% 3/15/23 | 250,000 | 254,962 | |
Series 2013 D, 5% 3/15/24 | 355,000 | 364,669 | |
Series 2014 A, 5% 3/15/26 | 340,000 | 357,682 | |
Series 2016 A: | |||
5% 3/15/23 | 640,000 | 657,686 | |
5% 3/15/29 | 420,000 | 460,154 | |
Series 2017 A, 5% 3/15/23 | 200,000 | 205,527 | |
Niagara Frontier Trans. Auth. Arpt. Rev. Series 2019 A: | |||
5% 4/1/23 (c) | 4,225,000 | 4,328,155 | |
5% 4/1/24 (c) | 2,885,000 | 3,017,758 | |
Onondaga County Ind. Dev. Agcy. Swr. Facilities Rev. (Bristol-Meyers Squibb Co. Proj.) Series 1994, 5.75% 3/1/24 (c) | 945,000 | 1,002,565 | |
Poughkeepsie Gen. Oblig. Series 2021, 4% 4/15/23 | 270,000 | 273,788 | |
Rockland County Gen. Oblig. Series 2014 A, 5% 3/1/23 (Assured Guaranty Muni. Corp. Insured) | 275,000 | 282,240 | |
Suffolk County Gen. Oblig.: | |||
Series 2022 A: | |||
5% 6/15/24 | 280,000 | 296,028 | |
5% 6/15/25 | 295,000 | 318,470 | |
Series 2022 B: | |||
5% 10/1/25 (e) | 340,000 | 364,793 | |
5% 10/1/26 (e) | 175,000 | 190,480 | |
Syracuse Reg'l. Arpt. Auth. Series 2021, 5% 7/1/23 (c) | 750,000 | 772,164 | |
Triborough Bridge & Tunnel Auth. Bonds: | |||
Series 2021 A2: | |||
2%, tender 5/15/24 (a) | 1,000,000 | 995,173 | |
2%, tender 5/15/26 (a) | 1,285,000 | 1,257,404 | |
Series 2021 B, 5%, tender 5/15/26 (a) | 5,000,000 | 5,500,335 | |
Series 2021 C, 5%, tender 5/15/26 (a) | 4,200,000 | 4,618,613 | |
Triborough Bridge & Tunnel Auth. Revs.: | |||
Bonds Series 2005 B 4A, U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.380% 0.903%, tender 2/1/24 (a)(b) | 1,980,000 | 1,960,604 | |
Series 2013 A, 5% 11/15/26 | 400,000 | 411,332 | |
Series 2016 A, 5% 11/15/23 | 400,000 | 418,627 | |
Yonkers Gen. Oblig.: | |||
Series 2017 C, 5% 10/1/22 (Build America Mutual Assurance Insured) | 55,000 | 55,588 | |
Series 2021 A: | |||
4% 2/15/24 | 250,000 | 258,016 | |
5% 2/15/26 (Assured Guaranty Muni. Corp. Insured) | 400,000 | 435,573 | |
Series 2021 B: | |||
4% 2/15/24 | 290,000 | 299,594 | |
5% 2/15/26 | 320,000 | 348,458 | |
TOTAL NEW YORK | 177,832,528 | ||
New York And New Jersey - 0.4% | |||
Port Auth. of New York & New Jersey: | |||
Series 188, 5% 5/1/23 (c) | 200,000 | 205,720 | |
Series 189, 5% 5/1/23 | 200,000 | 206,219 | |
Series 2013 178, 5% 12/1/25 (c) | 975,000 | 1,016,416 | |
Series 2013: | |||
5% 12/1/22 | 275,000 | 279,567 | |
5% 12/1/24 (c) | 250,000 | 260,997 | |
Series 2014 185, 5% 9/1/25 (c) | 415,000 | 437,371 | |
Series 202, 5% 10/15/22 (c) | 4,435,000 | 4,483,278 | |
Series 2020 221, 5% 7/15/24 (c) | 605,000 | 638,179 | |
Series 2022 209, 5% 7/15/22 | 300,000 | 301,278 | |
Series 207: | |||
5% 9/15/23 (c) | 2,095,000 | 2,175,592 | |
5% 9/15/24 (c) | 430,000 | 455,197 | |
Series 223: | |||
5% 7/15/22 (c) | 2,500,000 | 2,509,247 | |
5% 7/15/23 (c) | 3,675,000 | 3,800,571 | |
5% 7/15/24 (c) | 1,250,000 | 1,318,551 | |
TOTAL NEW YORK AND NEW JERSEY | 18,088,183 | ||
North Carolina - 0.5% | |||
Charlotte Int'l. Arpt. Rev.: | |||
Series 2017 B, 5% 7/1/25 (c) | 100,000 | 107,257 | |
Series 2019 B, 5% 7/1/22 (c) | 400,000 | 401,144 | |
Series 2021 B: | |||
5% 7/1/22 (c) | 270,000 | 270,773 | |
5% 7/1/24 (c) | 2,000,000 | 2,107,503 | |
Charlotte-Mecklenburg Hosp. Auth. Health Care Sys. Rev. Bonds: | |||
Series 2018 B, 1.95%, tender 11/1/29 (a) | 3,000,000 | 2,799,376 | |
Series 2018 E, 0.8%, tender 10/31/25 (a) | 1,500,000 | 1,419,686 | |
Series 2021 B, 5%, tender 12/2/24 (a) | 1,360,000 | 1,452,314 | |
Columbus County Indl. Facilities And Poll. Cont. Fing. Auth. Rev. Bonds Series 2019 C, 2.1%, tender 10/1/24 (a)(c) | 2,000,000 | 1,974,567 | |
New Hanover County Hosp. Rev. Series 2017, 5% 10/1/26 (Escrowed to Maturity) | 290,000 | 322,739 | |
North Carolina Grant Anticipation Rev.: | |||
Series 2017, 5% 3/1/23 | 450,000 | 461,404 | |
Series 2019, 5% 3/1/25 | 335,000 | 360,769 | |
Series 2021, 5% 3/1/25 | 1,250,000 | 1,346,152 | |
North Carolina Med. Care Commission Health Care Facilities Rev. Bonds Series 2019 B, 2.2%, tender 12/1/22 (a) | 1,420,000 | 1,421,056 | |
North Carolina Muni. Pwr. Agcy. #1 Catawba Elec. Rev.: | |||
Series 2015 A: | |||
5% 1/1/23 | 385,000 | 392,914 | |
5% 1/1/25 | 200,000 | 213,484 | |
Series 2015 B, 5% 1/1/23 | 425,000 | 433,736 | |
Series 2015 E, 5% 1/1/23 | 35,000 | 35,719 | |
North Carolina State Ed. Assistance Auth. Student Ln. Rev. Series 2020 A, 5% 6/1/26 (c) | 1,000,000 | 1,082,366 | |
North Carolina Tpk. Auth. Triangle Expressway Sys. Series 2020 C, 5% 2/1/24 | 6,100,000 | 6,356,154 | |
Raleigh Durham Arpt. Auth. Arpt. Rev.: | |||
Series 2017 A, 5% 5/1/23 (c) | 235,000 | 240,964 | |
Series 2020 A: | |||
5% 5/1/23 (c) | 340,000 | 348,628 | |
5% 5/1/27 (c) | 130,000 | 143,378 | |
TOTAL NORTH CAROLINA | 23,692,083 | ||
North Dakota - 0.1% | |||
Cass County Joint Wtr. Resource District Series 2021 A, 0.48% 5/1/24 | 3,000,000 | 2,897,390 | |
Ohio - 0.6% | |||
Akron Bath Copley Hosp. District Rev. Series 2016, 5% 11/15/24 | 45,000 | 47,583 | |
Allen County Hosp. Facilities Rev.: | |||
Series 2017 A, 5% 8/1/22 | 5,300,000 | 5,331,444 | |
Series 2020 A: | |||
5% 12/1/22 | 1,550,000 | 1,576,361 | |
5% 12/1/23 | 1,000,000 | 1,044,743 | |
American Muni. Pwr., Inc. Rev.: | |||
Bonds Series 2021 A2, 1%, tender 8/15/24 (a) | 565,000 | 545,578 | |
Series 2021 A, 5% 2/15/24 | 555,000 | 582,985 | |
Cleveland Arpt. Sys. Rev.: | |||
Series 2016 A: | |||
5% 1/1/24 (Assured Guaranty Muni. Corp. Insured) | 25,000 | 26,157 | |
5% 1/1/25 (Assured Guaranty Muni. Corp. Insured) | 395,000 | 421,528 | |
5% 1/1/26 (Assured Guaranty Muni. Corp. Insured) | 10,000 | 10,651 | |
Series 2018 A, 5% 1/1/26 (c) | 290,000 | 311,857 | |
Series 2019 B, 5% 1/1/27 (c) | 350,000 | 380,134 | |
Dayton City School District Ctfs. Prtn. Series 2021: | |||
3% 12/1/22 | 270,000 | 272,022 | |
3% 12/1/24 | 165,000 | 168,093 | |
Fairfield County Hosp. Facilities Rev. (Fairfield Med. Ctr. Proj.) Series 2013: | |||
5% 6/15/22 | 45,000 | 45,045 | |
5% 6/15/23 | 40,000 | 40,933 | |
Franklin County Hosp. Facilities Rev.: | |||
Bonds (U.S. Health Corp. of Columbus Proj.) Series 2011 B, 5%, tender 5/15/23 (a) | 1,385,000 | 1,428,502 | |
Series 2016 C, 5% 11/1/23 | 60,000 | 62,775 | |
Franklin County Rev. Bonds Series 2013 OH, 1.4%, tender 8/1/22 (a) | 1,250,000 | 1,250,283 | |
Gahanna-Jefferson City School District (School Facilities Proj.) Series 2021: | |||
2% 12/1/22 | 425,000 | 426,253 | |
2% 12/1/23 | 355,000 | 356,028 | |
Hamilton County Healthcare Facilities Rev. Series 2012, 5.25% 6/1/26 | 115,000 | 115,000 | |
Miami County Hosp. Facilities Rev. (Kettering Health Network Obligated Group Proj.) Series 2019: | |||
5% 8/1/24 | 770,000 | 812,504 | |
5% 8/1/25 | 310,000 | 333,033 | |
5% 8/1/26 | 535,000 | 583,180 | |
Miami Univ.: | |||
Series 2020 A, 5% 9/1/22 | 340,000 | 343,247 | |
Series 2022 A, 5% 9/1/24 (e) | 550,000 | 584,654 | |
Montgomery County Hosp. Rev. (Kettering Health Network Obligated Group Proj.) Series 2021, 5% 8/1/23 | 485,000 | 503,454 | |
Ohio Gen. Oblig. Series 2021 A, 5% 3/1/23 | 800,000 | 821,244 | |
Ohio Higher Edl. Facility Commission Rev.: | |||
(Case Western Reserve Univ. Proj.) Series 2016, 5% 12/1/22 | 585,000 | 595,478 | |
(Xavier Univ. 2020 Proj.) Series 2020, 5% 5/1/24 | 490,000 | 514,239 | |
Ohio Hosp. Facilities Rev. Series 2017 A: | |||
5% 1/1/23 | 650,000 | 662,712 | |
5% 1/1/24 | 40,000 | 41,870 | |
5% 1/1/25 | 60,000 | 64,248 | |
Ohio Hsg. Fin. Agcy. Residential Mtg. Rev. (Mtg. Backed Securities Prog.) Series 2019 B, 4.5% 3/1/50 | 40,000 | 41,558 | |
Ohio Tpk. Commission Tpk. Rev. (Infrastructure Projs.) Series 2022 A: | |||
5% 2/15/24 (e) | 55,000 | 57,035 | |
5% 2/15/25 (e) | 1,055,000 | 1,116,020 | |
5% 2/15/26 (e) | 910,000 | 980,710 | |
Scioto County Hosp. Facilities Rev.: | |||
Series 2016: | |||
5% 2/15/23 | 45,000 | 46,060 | |
5% 2/15/24 | 35,000 | 36,735 | |
5% 2/15/25 | 35,000 | 37,274 | |
5% 2/15/26 | 405,000 | 435,808 | |
Series 2019, 5% 2/15/29 | 800,000 | 856,479 | |
Toledo Gen. Oblig. Series 2020: | |||
3% 12/1/24 | 510,000 | 519,559 | |
3% 12/1/24 | 425,000 | 433,485 | |
Univ. of Akron Gen. Receipts Series 2019 A: | |||
5% 1/1/24 | 300,000 | 314,070 | |
5% 1/1/25 | 400,000 | 426,035 | |
Univ. of Toledo Gen. Receipts Series 2013 C, 5% 6/1/22 | 260,000 | 260,000 | |
TOTAL OHIO | 25,864,646 | ||
Oklahoma - 0.5% | |||
Canadian Cny Edl. Facilities Auth. Series 2021, 3% 9/1/23 | 2,000,000 | 2,031,412 | |
Cleveland County Edl. Facilities Auth. (Moore Pub. Schools Proj.) Series 2021: | |||
4% 6/1/24 | 1,050,000 | 1,091,591 | |
4% 6/1/25 | 295,000 | 310,930 | |
Jackson County Facilities Auth. Rev. (Jackson County Courthouse Proj.) Series 2022: | |||
3% 10/1/24 | 400,000 | 404,625 | |
3% 10/1/25 | 730,000 | 738,556 | |
Mcintosh County Edl. Facilities Auth. (Checotah Pub. School Proj.) Series 2022, 2% 9/1/25 | 650,000 | 635,370 | |
Oklahoma County Fin. Auth. Edl. Facilities (Jones Pub. Schools Proj.) Series 2020, 4% 9/1/22 | 305,000 | 306,682 | |
Oklahoma Dev. Fin. Auth. Health Sys. Rev. Series 2020 C, 1.11% 8/15/31 (a) | 2,925,000 | 2,925,000 | |
Oklahoma Dev. Fin. Auth. Rev.: | |||
(Gilcrease Expressway West Proj.) Series 2020, 1.625% 7/6/23 (c) | 4,000,000 | 3,936,077 | |
(Oklahoma City Univ. Proj.) Series 2019, 5% 8/1/23 | 560,000 | 575,011 | |
Oklahoma Tpk. Auth. Tpk. Rev. Series 2017 D, 5% 1/1/25 | 315,000 | 337,876 | |
Osage County Indl. Auth. Series 2022, 2% 9/1/23 | 3,500,000 | 3,485,853 | |
Tulsa County Independent School District #1 Series 2021 B, 0.25% 9/1/24 | 4,000,000 | 3,756,840 | |
Tulsa County Indl. Auth. Edl. Facilities Lease Rev. (Berryhill Pub. School Proj.) Series 2020: | |||
4% 9/1/24 | 445,000 | 460,810 | |
4% 9/1/25 | 690,000 | 722,843 | |
Univ. of Oklahoma Gen. Rev.: | |||
Series 2020 B, 4% 7/1/24 | 490,000 | 506,042 | |
Series 2021 A, 5% 7/1/23 (Assured Guaranty Muni. Corp. Insured) | 1,125,000 | 1,163,147 | |
TOTAL OKLAHOMA | 23,388,665 | ||
Oregon - 0.2% | |||
Oregon Bus. Dev. Commission Recovery Zone Facility Bonds (Intel Corp. Proj.) Series 232, 2.4%, tender 8/14/23 (a) | 770,000 | 772,845 | |
Oregon Gen. Oblig. Series 2021 A, 5% 5/1/24 | 1,500,000 | 1,588,692 | |
Port of Morrow Full Faith and Cr. Obligations Series 2021 D: | |||
4% 12/1/22 | 135,000 | 136,576 | |
4% 12/1/23 | 110,000 | 113,060 | |
4% 12/1/24 | 150,000 | 155,879 | |
4% 12/1/25 | 150,000 | 157,444 | |
Port of Portland Arpt. Rev.: | |||
Series 2014 22, 5% 7/1/25 (c) | 1,255,000 | 1,314,673 | |
Series 2015 23, 5% 7/1/23 | 275,000 | 284,325 | |
Series 2022, 5% 7/1/25 (c) | 1,315,000 | 1,403,184 | |
Series 26 C: | |||
5% 7/1/23 (c) | 2,000,000 | 2,065,634 | |
5% 7/1/24 (c) | 1,000,000 | 1,049,793 | |
Salem Hosp. Facility Auth. Rev. (Cap. Manor Proj.) Series 2022, 5% 5/15/26 | 135,000 | 140,841 | |
TOTAL OREGON | 9,182,946 | ||
Pennsylvania - 2.7% | |||
Allegheny County Hosp. Dev. Auth. Rev.: | |||
Bonds Series 2017 E, 0.000% x SIFMA Municipal Swap Index 1.49%, tender 5/15/27 (a)(b) | 4,000,000 | 3,958,220 | |
Series 2021 B: | |||
5% 10/15/23 | 950,000 | 988,402 | |
5% 10/15/24 | 705,000 | 745,786 | |
5% 10/15/25 | 740,000 | 797,372 | |
Allegheny County Sanitation Auth. Swr. Rev. Series 2020 A, 4% 6/1/24 | 300,000 | 311,464 | |
Bucks Co. Indl. Dev. Auth. Solid Waste Rev. Bonds (Waste Mgmt., Inc. Proj.) Series 2002, 2.75%, tender 12/1/22 (a)(c) | 1,700,000 | 1,706,420 | |
Butler Area School District Series 2018, 5% 10/1/22 | 1,250,000 | 1,265,286 | |
Chester County Health & Ed. Facilities Auth. Health Sys. Rev. Series C, 3% 9/1/23 | 245,000 | 249,000 | |
Coatesville Area School District Series 2017, 5% 8/1/23 (Assured Guaranty Muni. Corp. Insured) | 710,000 | 735,927 | |
Commonwealth Fing. Auth. Rev.: | |||
Series 2019 B, 5% 6/1/24 | 275,000 | 290,033 | |
Series 2020 A, 5% 6/1/23 | 350,000 | 361,451 | |
Delaware County Auth. Rev. Series 2015, 5% 8/1/22 | 475,000 | 477,969 | |
Delaware County Auth. Univ. Rev. Series 2020: | |||
4% 10/1/22 | 190,000 | 191,205 | |
5% 10/1/23 | 240,000 | 247,643 | |
Hollidaysburg Area School District Series 2020, 4% 7/15/22 | 500,000 | 501,677 | |
Lancaster County Hosp. Auth. Health Ctr. Rev. Series 2016 A, 4% 8/15/22 | 470,000 | 472,673 | |
Laurel Highlands School District Series 2021: | |||
4% 2/1/24 | 635,000 | 652,947 | |
4% 2/1/25 | 345,000 | 358,763 | |
Lehigh County Indl. Dev. Auth. Poll. Cont. Rev. Bonds: | |||
(PPL Elec. Utils. Corp. Proj.) Series 2016 A, 1.8%, tender 9/1/22 (a) | 2,405,000 | 2,402,086 | |
Series B, 1.8%, tender 8/15/22 (a) | 1,595,000 | 1,593,399 | |
Monroeville Fin. Auth. UPMC Rev. Series 2012, 3% 2/15/23 | 340,000 | 341,083 | |
Montgomery County Higher Ed. & Health Auth. Rev.: | |||
Series 2014 A, 5% 10/1/23 | 5,000 | 5,173 | |
Series 2019: | |||
5% 9/1/23 | 500,000 | 519,187 | |
5% 9/1/26 | 1,250,000 | 1,364,408 | |
Neshannock Township School District Gen. Oblig. Series 2021 B: | |||
2% 9/1/22 | 115,000 | 115,210 | |
2% 9/1/23 | 325,000 | 325,793 | |
Northampton County Gen. Purp. College Rev. Series 2017, 5% 11/1/23 | 365,000 | 381,356 | |
Octorara Area School District Chester and Lancaster Counties Series 2020, 4% 4/1/23 | 700,000 | 713,399 | |
Parkland School District Series 2021 A, 3% 2/1/24 | 225,000 | 229,261 | |
Pennsylvania Econ. Dev. Fing. Auth.: | |||
Series 2017 A, 5% 11/15/23 | 225,000 | 234,552 | |
Series 2021 A, 4% 10/15/23 | 425,000 | 436,468 | |
Pennsylvania Econ. Dev. Fing. Auth. Indl. Dev. Rev. (The Pennsylvania Rapid Bridge Replacement Proj.) Series 2015, 5% 6/30/22 (c) | 1,495,000 | 1,498,535 | |
Pennsylvania Econ. Dev. Fing. Auth. Solid Waste Disp. Rev. Bonds: | |||
(Republic Svcs., Inc. Proj.) Series 2019 A, 2%, tender 7/15/22 (a)(c) | 1,000,000 | 999,874 | |
(Republic Svcs., Inc. Proj.): | |||
Series 2014, 1.9%, tender 6/1/44 (a)(c) | 4,000,000 | 3,999,328 | |
Series 2019 B2, 0.3%, tender 7/15/22 (a)(c) | 1,700,000 | 1,694,639 | |
(Waste Mgmt., Inc. Proj.) Series 2013, 2%, tender 8/1/22 (a)(c) | 10,000,000 | 10,002,561 | |
(Waste Mgmt., Inc. Proj.): | |||
Series 2017 A, 0.58%, tender 8/1/24 (a)(c) | 500,000 | 471,918 | |
Series 2021 A, SIFMA Municipal Swap Index + 0.400% 1.19%, tender 6/3/24 (a)(b)(c) | 1,365,000 | 1,315,882 | |
Series 2011, 2.15%, tender 7/1/24 (a)(c) | 775,000 | 757,364 | |
Pennsylvania Gen. Oblig.: | |||
Series 2012 1, 5% 6/1/22 (Escrowed to Maturity) | 355,000 | 355,000 | |
Series 2015 1, 5% 8/15/23 | 780,000 | 811,390 | |
Pennsylvania Higher Edl. Facilities Auth. Rev.: | |||
Series 2014, 5% 12/1/22 | 20,000 | 20,365 | |
Series 2015, 5% 8/15/22 | 565,000 | 569,352 | |
Pennsylvania Hsg. Fin. Agcy.: | |||
Bonds: | |||
Series 2018 127C, 1.282%, tender 10/1/23 (a)(b) | 4,000,000 | 4,011,139 | |
Series 2019, 1.4%, tender 1/1/23 (a) | 4,500,000 | 4,480,612 | |
Series 2021 134 B, 5% 10/1/23 (c) | 1,000,000 | 1,035,845 | |
Series 2021 134B, 5% 10/1/24 (c) | 1,000,000 | 1,052,611 | |
Series 2021 135 B: | |||
5% 10/1/22 (c) | 660,000 | 667,672 | |
5% 4/1/23 (c) | 660,000 | 677,220 | |
5% 10/1/23 (c) | 1,025,000 | 1,063,800 | |
5% 4/1/24 (c) | 600,000 | 628,712 | |
5% 10/1/24 (c) | 805,000 | 851,473 | |
5% 4/1/25 (c) | 180,000 | 192,055 | |
Series 2021 137: | |||
0.45% 10/1/23 | 325,000 | 318,426 | |
5% 4/1/24 | 200,000 | 210,678 | |
5% 4/1/25 | 200,000 | 215,498 | |
5% 10/1/26 | 280,000 | 310,876 | |
Series 2022 138, 5% 4/1/25 | 2,415,000 | 2,598,688 | |
Pennsylvania Hsg. Fin. Agcy. Multifamily Hsg. Dev. Rev. Bonds Series 2022: | |||
1.25%, tender 2/1/24 (a) | 6,000,000 | 5,868,097 | |
1.5%, tender 7/1/23 (a) | 9,000,000 | 8,917,336 | |
Pennsylvania Tpk. Commission Tpk. Rev.: | |||
Series 2016, 5% 6/1/22 | 200,000 | 200,000 | |
Series 2021 B: | |||
5% 12/1/22 | 800,000 | 813,646 | |
5% 12/1/23 | 1,410,000 | 1,475,864 | |
Philadelphia Arpt. Rev.: | |||
Series 2015 A: | |||
5% 6/15/24 (c) | 1,315,000 | 1,378,452 | |
5% 6/15/26 (c) | 1,000,000 | 1,061,202 | |
Series 2017 A, 5% 7/1/24 | 40,000 | 42,158 | |
Series 2017 B: | |||
5% 7/1/23 (c) | 3,280,000 | 3,380,495 | |
5% 7/1/24 (c) | 1,160,000 | 1,217,037 | |
5% 7/1/25 (c) | 440,000 | 470,179 | |
Series 2020 C: | |||
5% 7/1/22 (c) | 2,750,000 | 2,757,460 | |
5% 7/1/23 (c) | 8,930,000 | 9,203,603 | |
Series 2021: | |||
5% 7/1/24 (c) | 1,970,000 | 2,066,865 | |
5% 7/1/25 (c) | 3,925,000 | 4,194,209 | |
5% 7/1/28 (c) | 95,000 | 104,815 | |
Philadelphia Auth. for Indl. Dev. Series 2020 C, 4% 11/1/24 | 535,000 | 553,488 | |
Philadelphia Gas Works Rev.: | |||
Series 14, 5% 10/1/22 | 390,000 | 393,815 | |
Series 2017 15, 5% 8/1/22 | 480,000 | 482,311 | |
Philadelphia School District: | |||
Series 2019 A, 5% 9/1/23 | 185,000 | 191,983 | |
Series 2021 A, 5% 9/1/22 | 850,000 | 857,604 | |
Series 2021 B: | |||
5% 9/1/22 | 1,000,000 | 1,008,946 | |
5% 9/1/23 | 660,000 | 684,911 | |
Pittsburgh & Allegheny County Sports & Exhibition Auth. Series 2020, 4% 2/1/23 (Assured Guaranty Muni. Corp. Insured) | 1,775,000 | 1,801,916 | |
Pittsburgh Wtr. & Swr. Auth. Wtr. & Swr. Sys. Rev.: | |||
Bonds Series 2017 C, 1 month U.S. LIBOR + 0.640% 1.44%, tender 12/1/23 (Assured Guaranty Muni. Corp. Insured) (a)(b) | 4,000,000 | 4,003,471 | |
Series 2019 A, 5% 9/1/23 | 270,000 | 280,293 | |
Reading School District Series 2017: | |||
5% 3/1/25 (Assured Guaranty Muni. Corp. Insured) | 5,000 | 5,357 | |
5% 3/1/26 (Assured Guaranty Muni. Corp. Insured) | 5,000 | 5,468 | |
5% 3/1/27 (Assured Guaranty Muni. Corp. Insured) | 5,000 | 5,574 | |
5% 3/1/28 (Assured Guaranty Muni. Corp. Insured) | 5,000 | 5,595 | |
Southcentral Pennsylvania Gen. Auth. Rev. Series 2021 TT2: | |||
5% 5/1/24 | 210,000 | 220,388 | |
5% 5/1/25 | 340,000 | 363,032 | |
5% 5/1/26 | 320,000 | 347,373 | |
Southeastern Pennsylvania Trans. Auth. Rev. Series 2020: | |||
5% 6/1/22 | 1,000,000 | 1,000,000 | |
5% 6/1/23 | 750,000 | 773,706 | |
Township of East Vincent Gen. Oblig. Series 2021: | |||
3% 12/1/23 | 200,000 | 203,372 | |
3% 12/1/24 | 250,000 | 255,298 | |
Westmoreland County Indl. Dev. Auth. (Excela Health Proj.) Series 2020 A: | |||
4% 7/1/23 | 350,000 | 356,063 | |
4% 7/1/24 | 450,000 | 460,858 | |
TOTAL PENNSYLVANIA | 121,197,366 | ||
Rhode Island - 0.1% | |||
Rhode Island Commerce Corp. Series 2016 A, 5% 6/15/24 | 1,010,000 | 1,063,676 | |
Rhode Island Health & Edl. Bldg. Corp. Higher Ed. Facilities Rev. Series 2016: | |||
5% 5/15/23 | 25,000 | 25,737 | |
5% 5/15/24 | 160,000 | 168,535 | |
5% 5/15/25 | 120,000 | 126,468 | |
Rhode Island Health & Edl. Bldg. Corp. Pub. Schools Rev. Series 2015, 5% 5/15/25 (Assured Guaranty Muni. Corp. Insured) | 130,000 | 140,676 | |
Rhode Island Hsg. & Mtg. Fin. Corp.: | |||
Series 2019 70, 4% 10/1/49 | 85,000 | 87,142 | |
Series 2022 76 A: | |||
5% 4/1/27 | 35,000 | 39,226 | |
5% 4/1/28 | 250,000 | 283,755 | |
5% 4/1/29 | 300,000 | 343,133 | |
Rhode Island Student Ln. Auth. Student Ln. Rev.: | |||
Series 2019 A, 5% 12/1/28 (c) | 490,000 | 549,021 | |
Series A, 4% 12/1/26 (c) | 455,000 | 469,033 | |
Tobacco Settlement Fing. Corp. Series 2015 A: | |||
5% 6/1/26 | 75,000 | 78,822 | |
5% 6/1/27 | 20,000 | 20,985 | |
TOTAL RHODE ISLAND | 3,396,209 | ||
South Carolina - 0.4% | |||
Charleston County Arpt. District Series 2013 A, 5.5% 7/1/27 (c) | 850,000 | 876,248 | |
Patriots Energy Group Fing. Agcy. Bonds Series 2018 A, 4%, tender 2/1/24 (a) | 9,000,000 | 9,200,036 | |
Richland County School District #2 Gen. Oblig. (South Carolina Gen. Oblig. Proj.) Series 2015 A, 5% 2/1/23 | 85,000 | 87,019 | |
Scago Edl. Facilities Corp. for Colleton School District (School District of Colleton County Proj.) Series 2015: | |||
5% 12/1/23 | 95,000 | 99,322 | |
5% 12/1/26 | 25,000 | 26,742 | |
South Carolina Hsg. Fin. & Dev. Auth. Mtg. Rev. Series 2019 A, 4% 1/1/50 | 105,000 | 108,040 | |
South Carolina Ports Auth. Ports Rev.: | |||
Series 2015, 5.25% 7/1/55 (Pre-Refunded to 7/1/25 @ 100) (c) | 175,000 | 190,454 | |
Series 2019 B: | |||
5% 7/1/22 (c) | 310,000 | 310,895 | |
5% 7/1/26 (c) | 185,000 | 200,642 | |
South Carolina Pub. Svc. Auth. Rev.: | |||
Series 2014 C: | |||
5% 12/1/22 | 25,000 | 25,439 | |
5% 12/1/23 | 110,000 | 115,105 | |
5% 12/1/25 | 190,000 | 201,388 | |
Series 2015 A, 5% 12/1/25 | 115,000 | 123,222 | |
Series 2015 C, 5% 12/1/22 | 560,000 | 569,833 | |
Series 2020 A: | |||
5% 12/1/22 | 270,000 | 274,741 | |
5% 12/1/22 (Escrowed to Maturity) | 480,000 | 488,477 | |
5% 12/1/23 | 395,000 | 413,451 | |
5% 12/1/23 | 225,000 | 235,442 | |
5% 12/1/24 | 135,000 | 143,377 | |
5% 12/1/24 (Escrowed to Maturity) | 230,000 | 246,469 | |
Series 2021 A: | |||
5% 12/1/24 | 375,000 | 398,269 | |
5% 12/1/25 | 850,000 | 920,473 | |
Series A, 5% 12/1/23 | 1,015,000 | 1,062,105 | |
Spartanburg County Reg'l. Health Series 2022, 5% 4/15/23 | 690,000 | 708,659 | |
TOTAL SOUTH CAROLINA | 17,025,848 | ||
South Dakota - 0.1% | |||
South Dakota Board of Regents Hsg. and Auxiliary Facilities Series 2021: | |||
3% 4/1/23 | 275,000 | 278,143 | |
3% 4/1/24 | 425,000 | 432,186 | |
3% 4/1/25 | 500,000 | 510,745 | |
South Dakota Health & Edl. Facilities Auth. Rev.: | |||
Series 2014 B, 5% 11/1/22 | 10,000 | 10,154 | |
Series 2020 A: | |||
5% 9/1/22 | 140,000 | 141,302 | |
5% 9/1/23 | 335,000 | 348,660 | |
South Dakota Hsg. Dev. Auth. Series 2017 D, 4% 11/1/47 | 700,000 | 715,732 | |
TOTAL SOUTH DAKOTA | 2,436,922 | ||
Tennessee - 1.0% | |||
Greeneville Health & Edl. Facilities Board Series 2018 A, 5% 7/1/22 | 1,500,000 | 1,504,045 | |
Memphis Health, Edl. & Hsg. Facilities Board Bonds Series 2020, 0.25%, tender 12/1/22 (a) | 1,250,000 | 1,238,481 | |
Memphis-Shelby County Arpt. Auth. Arpt. Rev.: | |||
Series 2020 B: | |||
5% 7/1/22 (c) | 300,000 | 300,802 | |
5% 7/1/23 (c) | 1,405,000 | 1,447,284 | |
Series 2021 B, 5% 7/1/22 (c) | 400,000 | 401,069 | |
Series 2021 C: | |||
5% 7/1/22 (c) | 400,000 | 401,069 | |
5% 7/1/23 (c) | 1,750,000 | 1,802,666 | |
5% 7/1/24 (c) | 1,850,000 | 1,940,965 | |
Metropolitan Gov Nashvle&David Ind. Bonds (Waste Mgmt., Inc. Proj.) Series 2001, 0.58%, tender 8/1/24 (a)(c) | 400,000 | 377,535 | |
Metropolitan Govt. Nashville & Davidson County Health & Edl. Facilities Board Bonds (Richland Hills Apts. Proj.) Series 2021, 1.25%, tender 12/1/23 (a) | 4,000,000 | 3,935,460 | |
Metropolitan Nashville Arpt. Auth. Rev. Series 2019 B, 5% 7/1/25 (c) | 1,910,000 | 2,041,004 | |
Tennergy Corp. Gas Rev.: | |||
Bonds Series 2019 A, 5%, tender 10/1/24 (a) | 10,650,000 | 11,189,103 | |
Series 2021 A: | |||
4% 9/1/22 | 335,000 | 336,638 | |
4% 3/1/23 | 350,000 | 354,394 | |
4% 9/1/23 | 275,000 | 280,024 | |
4% 3/1/24 | 300,000 | 306,676 | |
Tennessee Energy Acquisition Corp.: | |||
Bonds (Gas Rev. Proj.) Series A, 4%, tender 5/1/23 (a) | 10,860,000 | 10,995,669 | |
Series 2006 A, 5.25% 9/1/22 | 3,885,000 | 3,914,418 | |
Series 2018, 5% 11/1/22 | 1,500,000 | 1,517,267 | |
Series 2021 A: | |||
5% 11/1/22 | 150,000 | 151,745 | |
5% 11/1/23 | 250,000 | 258,181 | |
Tennessee Hsg. Dev. Agcy. Residential Series 2021 3A, 3% 1/1/52 | 260,000 | 257,034 | |
TOTAL TENNESSEE | 44,951,529 | ||
Texas - 4.2% | |||
Aledo Independent School District Series 2015, 0% 2/15/24 | 25,000 | 24,219 | |
Andrews County Hosp. District Series 2021, 5% 3/15/26 | 1,430,000 | 1,555,341 | |
Arlington Higher Ed. Fin. Corp. Series 2022, 5% 8/15/22 | 225,000 | 226,621 | |
Atascosa County Indl. Dev. Corp. Poll. Cont. Rev. Series 2020: | |||
5% 12/15/23 | 450,000 | 466,042 | |
5% 12/15/24 | 550,000 | 579,021 | |
Austin Affordable Pfc, Inc. Multifamily Hsg. Rev. Bonds Series 2019, 1.46%, tender 6/1/22 (a) | 700,000 | 700,000 | |
Austin Arpt. Sys. Rev.: | |||
Series 2014, 5% 11/15/26 (c) | 715,000 | 754,519 | |
Series 2019 B, 5% 11/15/22 (c) | 600,000 | 608,670 | |
Series 2019: | |||
5% 11/15/22 (c) | 885,000 | 897,789 | |
5% 11/15/23 (c) | 845,000 | 878,770 | |
5% 11/15/24 (c) | 515,000 | 545,068 | |
Austin Independent School District Series 2022 A, 5% 8/1/22 | 1,000,000 | 1,006,184 | |
Burleson Independent School District Bonds Series 2018, 2.5%, tender 8/1/22 (a) | 5,000,000 | 5,009,895 | |
Central Reg'l. Mobility Auth.: | |||
Series 2016: | |||
5% 1/1/23 | 55,000 | 55,899 | |
5% 1/1/24 | 75,000 | 77,827 | |
5% 1/1/26 | 75,000 | 80,759 | |
Series 2020 B: | |||
5% 1/1/23 | 220,000 | 223,723 | |
5% 1/1/25 | 125,000 | 132,330 | |
5% 1/1/26 | 125,000 | 134,598 | |
Series 2020 F, 5% 1/1/25 | 2,000,000 | 2,088,545 | |
City of Beaumont Series 2021, 5% 3/1/23 | 665,000 | 681,853 | |
Clear Creek Independent School District Bonds Series 2021 B, 0.28%, tender 8/15/24 (a) | 630,000 | 590,773 | |
Clifton Higher Ed. Fin. Corp. Ed. Rev. Series 2022 A, 5% 8/15/26 | 475,000 | 515,542 | |
Coastal Bend Health Facilities Dev. Corp. Series 2005 B2, 1.2%, tender 7/1/31 (Assured Guaranty Muni. Corp. Insured) (a) | 6,100,000 | 6,100,000 | |
Corpus Christi Util. Sys. Rev. Series 2012, 5% 7/15/23 | 200,000 | 200,958 | |
Cypress-Fairbanks Independent School District: | |||
Bonds: | |||
Series 2015 B1, 0.28%, tender 8/15/24 (a) | 4,495,000 | 4,306,556 | |
Series 2017 A2, 1.25%, tender 8/15/22 (a) | 3,000,000 | 2,999,759 | |
Series 2020 A, 5% 2/15/25 | 200,000 | 215,221 | |
Dallas Fort Worth Int'l. Arpt. Rev.: | |||
Series 2013 A, 5% 11/1/28 (Pre-Refunded to 11/1/22 @ 100) (c) | 1,000,000 | 1,014,688 | |
Series 2013 E, 5% 11/1/23 (c) | 1,455,000 | 1,510,854 | |
Series 2013 F, 5% 11/1/22 | 580,000 | 588,689 | |
Series 2014 A: | |||
4% 11/1/23 (c) | 200,000 | 204,910 | |
5.25% 11/1/26 (c) | 900,000 | 933,207 | |
5.25% 11/1/30 (c) | 1,000,000 | 1,033,948 | |
Series 2014 B: | |||
5% 11/1/22 (c) | 100,000 | 101,310 | |
5% 11/1/29 (Pre-Refunded to 11/1/22 @ 100) (c) | 515,000 | 522,564 | |
Series 2014 C, 5% 11/1/22 | 550,000 | 558,240 | |
Series 2020 A: | |||
5% 11/1/23 | 2,250,000 | 2,350,825 | |
5% 11/1/24 | 225,000 | 239,373 | |
Series 2020 B, 5% 11/1/22 | 3,000,000 | 3,044,944 | |
Series 2021 B, 5% 11/1/24 | 3,500,000 | 3,723,583 | |
Denton Independent School District: | |||
Bonds Series 2014 B, 2%, tender 8/1/24 (a) | 600,000 | 593,255 | |
Series 2016, 0% 8/15/25 | 35,000 | 32,691 | |
East Downtown Redev. Auth. Series 2021: | |||
5% 9/1/24 | 405,000 | 425,651 | |
5% 9/1/26 | 300,000 | 325,325 | |
El Paso Gen. Oblig. Series 2021 B, 5% 8/15/22 | 565,000 | 569,305 | |
Fort Bend County Muni. Util. District Series 2021, 2% 4/1/24 | 750,000 | 745,760 | |
Fort Bend Independent School District Bonds: | |||
Series 2019 A, 1.95%, tender 8/1/22 (a) | 5,490,000 | 5,491,156 | |
Series 2020 B, 0.875%, tender 8/1/25 (a) | 3,245,000 | 3,095,072 | |
Series 2021 B, 0.72%, tender 8/1/26 (a) | 2,525,000 | 2,328,580 | |
Fort Worth Gen. Oblig.: | |||
Series 2015 A, 5% 3/1/23 | 35,000 | 35,866 | |
Series 2016, 5% 3/1/25 | 120,000 | 129,131 | |
Galveston Pub. Facility Corp. Multifamily Hsg. Rev. Bonds Series 2021, 0.47%, tender 8/1/24 (a) | 3,000,000 | 2,848,967 | |
Goose Creek Consolidated Independent School District Bonds Series 2021 B, 0.6%, tender 8/17/26 (a) | 500,000 | 461,307 | |
Grand Parkway Trans. Corp. Bonds Series 2018 B, 5%, tender 10/1/23 (a) | 1,865,000 | 1,941,613 | |
Hale Ctr. Ed. Facilities Corp. (Wayland Baptist Univ. Proj.) Series 2022, 5% 3/1/25 | 475,000 | 498,922 | |
Harris County Cultural Ed. Facilities Fin. Corp. Med. Facilities Rev.: | |||
(Baylor College of Medicine Proj.) Series 2012 A, 5% 11/15/37 (Pre-Refunded to 11/15/22 @ 100) | 435,000 | 442,190 | |
Series 2012 A, 5% 11/15/22 (Escrowed to Maturity) | 245,000 | 249,050 | |
Harris County Cultural Ed. Facilities Fin. Corp. Rev.: | |||
Bonds: | |||
Series 2019 B, 5%, tender 9/1/22 (a) | 5,000,000 | 5,046,364 | |
Series 2019 C, SIFMA Municipal Swap Index + 0.420% 1.21%, tender 6/2/22 (a)(b) | 3,250,000 | 3,249,772 | |
Series 2020 A, 0.9%, tender 5/15/25 (a) | 1,770,000 | 1,747,230 | |
Series 2020 C, 5%, tender 9/1/22 (a) | 6,710,000 | 6,772,220 | |
Series 2020 C2, 5%, tender 12/1/24 (a) | 200,000 | 212,360 | |
Series 2013 B, SIFMA Municipal Swap Index + 0.900% 1.69% 6/1/22 (a)(b) | 600,000 | 600,000 | |
Series 2014 A, 5% 12/1/26 | 120,000 | 127,280 | |
Series 2020 A, 4% 7/1/25 | 250,000 | 260,857 | |
Series 2020, 5% 6/1/22 | 1,000,000 | 1,000,000 | |
Harris County Health Facilities Dev. Corp. Rev.: | |||
Series 2005 A4, 0.05%, tender 7/1/31 (Assured Guaranty Muni. Corp. Insured) (a) | 6,050,000 | 6,050,000 | |
Series A3, 0.75%, tender 7/1/31 (Assured Guaranty Muni. Corp. Insured) (a) | 4,450,000 | 4,450,000 | |
Houston Arpt. Sys. Rev.: | |||
Series 2012 A: | |||
5% 7/1/23 (Pre-Refunded to 7/1/22 @ 100) (c) | 235,000 | 235,721 | |
5% 7/1/31 (Pre-Refunded to 7/1/22 @ 100) (c) | 630,000 | 631,932 | |
Series 2018 A, 5% 7/1/22 (c) | 860,000 | 862,298 | |
Series 2018 C, 5% 7/1/25 (c) | 400,000 | 427,803 | |
Series 2020 A, 5% 7/1/23 (c) | 1,000,000 | 1,030,095 | |
Series 2021 A: | |||
5% 7/1/24 (c) | 500,000 | 524,897 | |
5% 7/1/26 (c) | 1,250,000 | 1,358,206 | |
Houston Convention and Entertainment Facilities Dept. Hotel Occupancy Tax and Spl. Rev. Series 2021: | |||
4% 9/1/24 | 250,000 | 259,272 | |
4% 9/1/25 | 215,000 | 225,715 | |
4% 9/1/26 | 275,000 | 291,819 | |
Houston Independent School District Bonds Series 2012, 4%, tender 6/1/23 (a) | 1,000,000 | 1,020,369 | |
Katy Independent School District Bonds Series 2021 C, 1.5%, tender 8/15/24 (a) | 2,500,000 | 2,456,140 | |
Kilgore Independent School District Bonds Series 2022, 2%, tender 8/15/25 (a) | 4,000,000 | 3,898,682 | |
Klein Independent School District Series 2015 A, 5% 8/1/24 | 225,000 | 239,779 | |
Leander Independent School District Series 2013 A, 0% 8/15/23 (Escrowed to Maturity) | 1,000,000 | 979,577 | |
Love Field Arpt. Modernization Rev.: | |||
Series 2015, 5% 11/1/23 (c) | 375,000 | 389,129 | |
Series 2017: | |||
5% 11/1/22 (c) | 620,000 | 627,991 | |
5% 11/1/23 (c) | 1,150,000 | 1,193,329 | |
5% 11/1/24 (c) | 750,000 | 792,831 | |
Series 2021: | |||
5% 11/1/22 (c) | 2,880,000 | 2,917,117 | |
5% 11/1/23 (c) | 3,860,000 | 4,005,433 | |
5% 11/1/24 (c) | 3,560,000 | 3,763,304 | |
5% 11/1/25 (c) | 605,000 | 651,015 | |
5% 11/1/26 (c) | 405,000 | 441,495 | |
5% 11/1/27 (c) | 415,000 | 457,724 | |
Lower Colorado River Auth. Rev.: | |||
(LCRA Transmission Svcs. Corp. Proj.): | |||
Series 2018, 5% 5/15/23 | 265,000 | 273,272 | |
Series 2019: | |||
5% 5/15/23 | 1,070,000 | 1,103,402 | |
5% 5/15/24 | 550,000 | 580,314 | |
Series 2020: | |||
5% 5/15/23 | 215,000 | 221,712 | |
5% 5/15/24 | 550,000 | 580,314 | |
Series 2015 B, 5% 5/15/24 | 325,000 | 342,913 | |
Series 2022: | |||
5% 5/15/24 (Assured Guaranty Muni. Corp. Insured) | 3,365,000 | 3,550,464 | |
5% 5/15/25 (Assured Guaranty Muni. Corp. Insured) | 1,000,000 | 1,076,172 | |
Lubbock Elec. Lt. & Pwr. Sys. Rev. Series 2021: | |||
5% 4/15/24 | 875,000 | 924,120 | |
5% 4/15/25 | 725,000 | 780,154 | |
Mansfield Independent School District Series 2016, 5% 2/15/24 | 110,000 | 115,679 | |
Midland County Pub. Facilities Corp. Bonds Series 2020, 0.35%, tender 6/1/23 (a) | 2,000,000 | 1,939,394 | |
Mission Econ. Dev. Corp. Solid Waste Disp. Rev. Bonds: | |||
(Republic Svcs., Inc. Proj.) Series 2008 A, 2%, tender 1/1/26 (a)(c) | 2,000,000 | 1,999,503 | |
(Waste Mgmt., Inc. Proj.): | |||
Series 2018, 1.165%, tender 7/1/24 (a)(c) | 3,425,000 | 3,294,736 | |
Series 2020 B, 1%, tender 6/1/22 (a)(c) | 4,150,000 | 4,150,000 | |
New Caney Independent School District Bonds Series 2018, 1.25%, tender 8/15/24 (a) | 600,000 | 587,917 | |
Newark Higher Ed. Fin. Corp. (Abilene Christian Univ. Proj.) Series 2016 A, 5% 4/1/26 | 55,000 | 59,723 | |
North Harris County Reg'l. Wtr. Auth. Series 2013, 4% 12/15/22 | 35,000 | 35,496 | |
North Texas Tollway Auth. Rev.: | |||
Series 2015 B, 5% 1/1/23 | 325,000 | 331,547 | |
Series 2016 A, 5% 1/1/23 | 780,000 | 795,712 | |
Series 2017 A: | |||
5% 1/1/24 | 605,000 | 616,120 | |
5% 1/1/26 | 580,000 | 589,815 | |
Series 2019 A, 5% 1/1/23 | 325,000 | 331,547 | |
Series 2019 B, 5% 1/1/25 | 325,000 | 347,502 | |
Series 2020 A, 5% 1/1/25 | 265,000 | 283,692 | |
Series 2021 B, 5% 1/1/26 | 695,000 | 758,039 | |
Odessa College District Rev. Series 2021, 4% 7/1/22 (Assured Guaranty Muni. Corp. Insured) | 740,000 | 741,695 | |
Odessa Hsg. Fin. Corp. Multifamily Hsg. Rev. Bonds Series 2020, 0.35%, tender 3/1/23 (a) | 2,500,000 | 2,461,684 | |
Pearland Gen. Oblig. Series 2020, 5% 3/1/24 | 295,000 | 311,232 | |
Pflugerville Independent School District Bonds Series 2019 B, 2.5%, tender 8/15/23 (a) | 610,000 | 615,805 | |
Port Arthur Series 2021: | |||
5% 2/15/24 | 240,000 | 252,143 | |
5% 2/15/24 | 195,000 | 204,866 | |
Port of Houston Auth. Series 2021, 5% 10/1/23 | 805,000 | 839,806 | |
Prosper Independent School District: | |||
Bonds Series 2019 B, 2%, tender 8/15/23 (a) | 1,000,000 | 1,001,572 | |
Series 2015, 5% 2/15/24 | 250,000 | 263,253 | |
San Antonio Arpt. Sys. Rev. Series 2019 A: | |||
5% 7/1/22 (c) | 275,000 | 275,746 | |
5% 7/1/22 (c) | 265,000 | 265,719 | |
5% 7/1/23 (c) | 195,000 | 200,975 | |
5% 7/1/25 (c) | 400,000 | 427,435 | |
5% 7/1/26 (c) | 500,000 | 543,282 | |
San Antonio Elec. & Gas Sys. Rev.: | |||
Bonds Series 2022, 2%, tender 12/1/27 (a) | 1,415,000 | 1,350,804 | |
Series 2016, 5% 2/1/25 (Escrowed to Maturity) | 330,000 | 355,789 | |
Series 2022, 5% 2/1/26 | 545,000 | 598,251 | |
San Antonio Independent School District Series 2015, 5% 2/15/24 | 315,000 | 331,590 | |
San Antonio Pub. Facilities Corp. and Rfdg. Lease (Convention Ctr. Proj.) Series 2012, 5% 9/15/22 | 75,000 | 75,762 | |
San Antonio Wtr. Sys. Rev. Bonds: | |||
Series 2013 F, 1%, tender 11/1/26 (a) | 3,000,000 | 2,783,862 | |
Series 2014 B, 2%, tender 11/1/22 (a) | 520,000 | 520,712 | |
Splendora Independent School District Series 2016 A, 5% 2/15/25 | 200,000 | 214,948 | |
Tarrant County Cultural Ed. Facilities Fin. Corp. Hosp. Rev. (Scott & White Healthcare Proj.) Series 2013 A: | |||
5% 8/15/23 (Escrowed to Maturity) | 20,000 | 20,803 | |
5% 8/15/28 (Pre-Refunded to 8/15/23 @ 100) | 50,000 | 52,008 | |
Tarrant County Cultural Ed. Facilities Fin. Corp. Rev. Series 2016 A: | |||
5% 2/15/25 | 1,240,000 | 1,328,956 | |
5% 2/15/26 | 35,000 | 38,281 | |
Texas A&M Univ. Rev. Series 2021 A: | |||
5% 5/15/24 | 1,350,000 | 1,430,541 | |
5% 5/15/26 | 725,000 | 801,014 | |
Texas Gen. Oblig. Series 2013 B, 5.5% 8/1/23 (c) | 5,500,000 | 5,736,917 | |
Texas Muni. Gas Acquisition And Supply Corp. Series 2021: | |||
5% 12/15/22 | 1,250,000 | 1,267,361 | |
5% 12/15/23 | 3,450,000 | 3,559,809 | |
Texas Muni. Pwr. Agcy. Rev. Series 2021: | |||
3% 9/1/22 (Assured Guaranty Muni. Corp. Insured) | 1,450,000 | 1,455,669 | |
3% 9/1/23 (Assured Guaranty Muni. Corp. Insured) | 900,000 | 912,459 | |
3% 9/1/24 (Assured Guaranty Muni. Corp. Insured) | 850,000 | 865,826 | |
Texas Trans. Commission Hwy. Impt. Gen. Oblig. Bonds Series 2014 B, 0.65%, tender 4/1/26 (a) | 3,500,000 | 3,237,176 | |
Trinity River Auth. Reg'l. Wastewtr. Sys. Rev. Series 2016, 5% 8/1/23 | 35,000 | 36,352 | |
Waco Edl. Fin. Corp. Rev. Series 2021: | |||
3% 3/1/23 | 325,000 | 328,284 | |
4% 3/1/24 | 580,000 | 599,951 | |
4% 3/1/25 | 400,000 | 417,421 | |
TOTAL TEXAS | 189,290,232 | ||
Utah - 0.1% | |||
Salt Lake City Arpt. Rev.: | |||
Series 2017 A, 5% 7/1/24 (c) | 150,000 | 157,376 | |
Series 2018 A, 5% 7/1/23 (c) | 250,000 | 257,959 | |
Series 2021 A: | |||
5% 7/1/22 (c) | 650,000 | 651,822 | |
5% 7/1/23 (c) | 550,000 | 567,510 | |
5% 7/1/24 (c) | 1,000,000 | 1,049,170 | |
Utah County Hosp. Rev. Bonds Series 2018 B2, 5%, tender 8/1/24 (a) | 265,000 | 277,992 | |
Utah Infrastructure Agcy. Series 2021, 3% 10/15/24 | 500,000 | 496,822 | |
Vineyard Redev. Agcy. Series 2021, 5% 5/1/24 (Assured Guaranty Muni. Corp. Insured) | 675,000 | 712,425 | |
TOTAL UTAH | 4,171,076 | ||
Vermont - 0.0% | |||
Vermont Student Assistant Corp. Ed. Ln. Rev.: | |||
Series 2017 A, 5% 6/15/23 (c) | 700,000 | 720,681 | |
Series 2020 A, 5% 6/15/27 (c) | 665,000 | 723,269 | |
TOTAL VERMONT | 1,443,950 | ||
Virginia - 1.1% | |||
Arlington County IDA Hosp. Facilities Series 2020: | |||
5% 7/1/23 | 340,000 | 352,012 | |
5% 7/1/24 | 425,000 | 448,644 | |
Chesapeake Bay Bridge and Tunnel District Gen. Resolution Rev. Series 2019, 5% 11/1/23 | 2,400,000 | 2,489,743 | |
Fairfax County Indl. Dev. Auth. Bonds (Inova Health Sys. Proj.) Series 2018 B, 5%, tender 5/15/23 (a) | 1,625,000 | 1,672,598 | |
Fredericksburg Econ. Dev. Auth. Rev. Series 2014, 5% 6/15/24 | 50,000 | 52,545 | |
Halifax County Indl. Dev. Auth. Bonds (Virginia Elec. and Pwr. Co. Proj.) Series 2010 A, 1.65%, tender 5/31/24 (a) | 3,000,000 | 2,951,346 | |
Hampton Roads Trans. Accountability Commission Series 2019 A, 5% 7/1/22 | 14,500,000 | 14,545,907 | |
King George County Indl. Dev. Auth. Solid Waste Disp. Fac. Rev. (King George Landfill, Inc. Proj.) Series 2003 A, 2.5% 6/1/23 (a)(c) | 735,000 | 737,034 | |
Louisa Indl. Dev. Auth. Poll. Cont. Rev. Bonds (Virginia Elec. and Pwr. Co. Proj.): | |||
Series 2008 A, 1.9%, tender 6/1/23 (a) | 2,500,000 | 2,493,919 | |
Series 2008 B, 0.75%, tender 9/2/25 (a) | 4,000,000 | 3,751,084 | |
Norfolk Arpt. Auth.: | |||
Series 2021 A: | |||
4% 7/1/24 | 1,170,000 | 1,209,992 | |
4% 7/1/25 | 1,000,000 | 1,046,758 | |
Series 2021 B: | |||
4% 7/1/23 (c) | 500,000 | 510,007 | |
5% 7/1/24 (c) | 400,000 | 418,673 | |
Peninsula Port Auth. Coal Term. Rev. Bonds (Dominion Term. Associates Proj. - Detc Issue) Series 2003, 1.7%, tender 10/1/22 (a) | 2,000,000 | 1,999,348 | |
Spotsylvania County Econ. Dev. Bonds (Palmers Creek Apt. Proj.) Series 2019, 0.65%, tender 8/1/22 (a) | 5,000,000 | 4,986,903 | |
Stafford County Econ. Dev. Auth. Hosp. Facilities Rev. Series 2016: | |||
5% 6/15/24 | 25,000 | 26,272 | |
5% 6/15/25 | 20,000 | 21,433 | |
5% 6/15/26 | 35,000 | 37,864 | |
Virginia Pub. Bldg. Auth. Pub. Facilities Rev.: | |||
Series 2019 B, 5% 8/1/23 (c) | 410,000 | 424,586 | |
Series 2020 A, 5% 8/1/22 | 1,940,000 | 1,952,419 | |
Virginia Small Bus. Fing. Auth.: | |||
Series 2012, 5.5% 1/1/42 (c) | 4,000,000 | 4,012,879 | |
Series 2020 A, 5% 1/1/23 | 400,000 | 406,116 | |
Wise County Indl. Dev. Auth. Waste & Sewage Rev. Bonds (Virginia Elec. and Pwr. Co. Proj.) Series 2010 A, 1.2%, tender 5/31/24 (a) | 2,075,000 | 2,023,264 | |
York County Econ. Dev. Auth. Poll. Cont. Rev. Bonds (Virginia Elec. and Pwr. Co. Proj.) Series 2009 A, 1.9%, tender 6/1/23 (a) | 300,000 | 299,270 | |
TOTAL VIRGINIA | 48,870,616 | ||
Washington - 0.7% | |||
King County Hsg. Auth. Rev.: | |||
Series 2019: | |||
3% 11/1/23 | 1,175,000 | 1,190,868 | |
4% 11/1/24 | 135,000 | 140,471 | |
Series 2020: | |||
3% 6/1/22 | 250,000 | 250,000 | |
3% 6/1/23 | 400,000 | 404,374 | |
3% 6/1/25 | 275,000 | 278,703 | |
Series 2021: | |||
2% 6/1/23 | 780,000 | 780,860 | |
3% 12/1/25 | 825,000 | 837,100 | |
King County Hsg. Auth. Workforce Hsg. Preservation Series 2021: | |||
2% 10/1/22 | 100,000 | 100,145 | |
2% 10/1/23 | 100,000 | 99,949 | |
King County Swr. Rev. Bonds Series 2020 B, 0.875%, tender 1/1/26 (a) | 2,105,000 | 1,955,793 | |
Port of Seattle Rev.: | |||
Series 2012 A: | |||
5% 8/1/22 | 400,000 | 402,474 | |
5% 8/1/27 | 400,000 | 402,006 | |
Series 2012 B, 5% 8/1/23 (c) | 1,345,000 | 1,352,095 | |
Series 2016 B: | |||
5% 10/1/22 (c) | 70,000 | 70,825 | |
5% 10/1/23 (c) | 65,000 | 67,635 | |
Series 2016, 5% 2/1/25 | 290,000 | 310,165 | |
Series 2019: | |||
5% 4/1/23 (c) | 615,000 | 631,511 | |
5% 4/1/24 (c) | 400,000 | 420,911 | |
5% 4/1/25 (c) | 280,000 | 299,307 | |
Series 2021 C: | |||
5% 8/1/22 (c) | 2,420,000 | 2,434,317 | |
5% 8/1/23 (c) | 3,665,000 | 3,797,108 | |
5% 8/1/24 (c) | 1,360,000 | 1,437,437 | |
5% 8/1/25 (c) | 390,000 | 418,977 | |
Series 2021: | |||
5% 9/1/23 (c) | 2,100,000 | 2,177,938 | |
5% 9/1/24 (c) | 1,080,000 | 1,142,837 | |
Port of Seattle Spl. Facility Rev. Series 2013, 5% 6/1/22 (c) | 500,000 | 500,000 | |
Seattle Hsg. Auth. Rev. (Northgate Plaza Proj.) Series 2021, 1% 6/1/26 | 1,740,000 | 1,646,580 | |
Seattle Muni. Lt. & Pwr. Rev. Series 2012 A, 5% 6/1/24 | 500,000 | 500,974 | |
Tacoma Elec. Sys. Rev. Series 2017: | |||
5% 1/1/25 | 25,000 | 26,855 | |
5% 1/1/26 | 35,000 | 38,402 | |
Tobacco Settlement Auth. Rev. Series 2018, 5% 6/1/22 | 915,000 | 915,000 | |
Washington Fed. Hwy. Grant Anticipation Rev. Series 2012 F, 5% 9/1/22 | 495,000 | 499,702 | |
Washington Gen. Oblig.: | |||
Series R 2020 A, 5% 1/1/25 | 250,000 | 268,875 | |
Series R 2020 C, 5% 7/1/22 | 2,500,000 | 2,508,080 | |
Washington Health Care Facilities Auth. Rev.: | |||
(Virginia Mason Med. Ctr. Proj.) Series 2017: | |||
5% 8/15/25 | 205,000 | 218,118 | |
5% 8/15/26 | 115,000 | 124,247 | |
5% 8/15/27 | 50,000 | 54,717 | |
Bonds Series 2019 B, 5%, tender 8/1/24 (a) | 1,095,000 | 1,139,887 | |
Series 2012 A, 5% 10/1/22 | 445,000 | 450,412 | |
Series 2012 B, 5% 10/1/24 (Pre-Refunded to 10/1/22 @ 100) | 405,000 | 409,953 | |
Series 2015 B, 5% 8/15/23 | 600,000 | 623,780 | |
Series 2015, 5% 7/1/24 | 1,250,000 | 1,316,146 | |
Washington Hsg. Fin. Commission Series 2021 2N, 5% 6/1/25 | 945,000 | 1,023,328 | |
TOTAL WASHINGTON | 33,668,862 | ||
West Virginia - 0.2% | |||
Hsg. Auth. of Everett Bonds Series 2021, 0.3%, tender 9/1/23 (a) | 1,500,000 | 1,457,559 | |
Mason Co. Poll. Cont. Rev. (Appalachian Pwr. Co. Proj.) Series 2003 L, 2.75% 10/1/22 | 3,245,000 | 3,248,027 | |
West Virginia Econ. Dev. Auth. Solid Waste Disp. Facilities Rev. Bonds (Appalachian Pwr. Co. Amos Proj.): | |||
Series 2010 A, 0.625%, tender 12/15/25 (a) | 2,000,000 | 1,812,101 | |
Series 2015 A, 2.55%, tender 4/1/24 (a) | 225,000 | 222,481 | |
West Virginia Hosp. Fin. Auth. Hosp. Rev. Series 2016 A: | |||
5% 6/1/22 | 2,195,000 | 2,195,000 | |
5% 6/1/24 | 1,490,000 | 1,564,579 | |
West Virginia Hsg. Dev. Fund Series 2017 A, 2.4% 11/1/22 (c) | 960,000 | 961,939 | |
TOTAL WEST VIRGINIA | 11,461,686 | ||
Wisconsin - 0.4% | |||
Blue Ridge Healthcare Pub. Fin. Auth. Series 2020 A, 5% 1/1/25 | 300,000 | 318,751 | |
Clayton Town Series 2021 B, 2% 6/1/26 | 2,000,000 | 1,913,191 | |
Dunn County Gen. Oblig. Series 2021 A, 0.25% 10/1/24 | 1,155,000 | 1,082,491 | |
Milwaukee County Arpt. Rev.: | |||
Series 2013 A: | |||
5% 12/1/22 (c) | 30,000 | 30,465 | |
5.25% 12/1/23 (c) | 35,000 | 36,536 | |
Series 2016 A, 5% 12/1/22 (c) | 1,000,000 | 1,015,504 | |
Milwaukee Gen. Oblig. Series 2018 N4, 5% 4/1/25 | 1,130,000 | 1,220,476 | |
Pub. Fin. Auth. Hosp. Rev. Series 2020 A: | |||
5% 6/1/23 | 345,000 | 356,427 | |
5% 6/1/24 | 675,000 | 708,381 | |
5% 6/1/25 | 375,000 | 400,895 | |
5% 6/1/26 | 300,000 | 331,403 | |
Racine Unified School District Series 2021: | |||
2% 4/1/23 | 225,000 | 225,984 | |
2% 4/1/24 | 475,000 | 476,585 | |
2% 4/1/25 | 600,000 | 597,340 | |
Wisconsin Gen. Oblig. Series 2014 4, 5% 5/1/25 | 90,000 | 96,298 | |
Wisconsin Health & Edl. Facilities: | |||
Bonds: | |||
Series 2018 B, 5%, tender 1/29/25 (a) | 355,000 | 378,598 | |
Series 2018 C3, SIFMA Municipal Swap Index + 0.550% 1.34%, tender 7/26/23 (a)(b) | 4,000,000 | 3,988,283 | |
Series 2018, 5% 4/1/26 | 195,000 | 213,610 | |
Series 2019 A: | |||
5% 11/15/22 | 325,000 | 330,083 | |
5% 12/1/23 | 35,000 | 36,603 | |
5% 12/1/24 | 100,000 | 106,832 | |
5% 12/1/25 | 125,000 | 135,146 | |
5% 12/1/26 | 200,000 | 219,184 | |
Wisconsin Health & Edl. Facilities Auth. Series 2014 A, 5% 12/1/24 | 775,000 | 824,142 | |
Wisconsin Health & Edl. Facilities Auth. Rev.: | |||
Series 2021 B: | |||
4% 9/15/24 | 200,000 | 200,815 | |
4% 9/15/26 | 220,000 | 219,903 | |
Series 2022, 5% 10/1/25 (e) | 3,635,000 | 3,900,356 | |
Wisconsin Hsg. & Econ. Dev. Auth. Series 2021 C, 3% 9/1/52 | 330,000 | 326,202 | |
Wisconsin Hsg. & Econ. Dev. Auth. Hsg. Rev. Bonds: | |||
Series 2019 A, 0.2%, tender 6/1/22 (a) | 85,000 | 84,429 | |
Series 2021 C: | |||
0.61%, tender 5/1/24 (a) | 170,000 | 162,984 | |
0.81%, tender 5/1/25 (a) | 200,000 | 188,018 | |
TOTAL WISCONSIN | 20,125,915 | ||
Wyoming - 0.1% | |||
Laramie County Hosp. Rev. (Cheyenne Reg'l. Med. Ctr. Proj.) Series 2021: | |||
4% 5/1/23 | 250,000 | 255,285 | |
4% 5/1/25 | 260,000 | 272,599 | |
Wyoming Cmnty. Dev. Auth. Hsg. Rev.: | |||
Series 2020 3: | |||
5% 6/1/22 (c) | 280,000 | 280,000 | |
5% 6/1/23 (c) | 955,000 | 983,264 | |
Series 2021 4: | |||
0.2% 6/1/22 (c) | 285,000 | 285,000 | |
0.3% 6/1/23 (c) | 1,170,000 | 1,153,554 | |
TOTAL WYOMING | 3,229,702 | ||
TOTAL MUNICIPAL BONDS | |||
(Cost $2,191,655,210) | 2,155,893,825 | ||
Municipal Notes - 23.4% | |||
Alabama - 0.4% | |||
Columbia Indl. Dev. Board Poll. Cont. Rev. (Alabama Pwr. Co. Proj.) Series 2014 A, 0.65% 6/1/22, VRDN (a) | 9,375,000 | $9,375,000 | |
Health Care Auth. for Baptist Health Series 2013 B, 1.13% 6/7/22, VRDN (a) | 6,705,000 | 6,705,000 | |
Huntsville Health Care Auth. Participating VRDN Series XG 03 01, 0.83% 6/7/22 (Liquidity Facility Bank of America NA) (a)(f)(g) | 4,170,000 | 4,170,000 | |
TOTAL ALABAMA | 20,250,000 | ||
Arizona - 0.6% | |||
Arizona Health Facilities Auth. Rev. Series 2015 B, 1.04% 6/2/22, LOC MUFG Bank Ltd., VRDN (a) | 2,500,000 | 2,429,906 | |
Arizona St Indl. Dev. Auth. Multi Participating VRDN: | |||
Series Floater MIZ 90 88, 1.04% 7/5/22 (Liquidity Facility Mizuho Cap. Markets LLC) (a)(f)(g) | 12,800,000 | 12,800,000 | |
Series XF 10 91, 1.04% 6/7/22 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(c)(f)(g) | 950,000 | 950,000 | |
Maricopa County Indl. Dev. Auth. Participating VRDN Series 2021 XG 03 09, 0.94% 6/7/22 (Liquidity Facility JPMorgan Chase Bank) (a)(f)(g) | 6,145,000 | 6,145,000 | |
Phoenix Civic Impt. Board Arpt. Rev. Participating VRDN: | |||
Series 2018 XM 06 15, 0.98% 6/7/22 (Liquidity Facility Royal Bank of Canada) (a)(c)(f)(g) | 1,750,000 | 1,750,000 | |
Series XM 08 23, 0.91% 6/7/22 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(f)(g) | 1,300,000 | 1,300,000 | |
Pima County Indl. Dev. Auth. Multi-family Hsg. Rev. Participating VRDN Series XF 10 96, 1.04% 6/7/22 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(f)(g) | 1,820,000 | 1,820,000 | |
TOTAL ARIZONA | 27,194,906 | ||
California - 2.8% | |||
California Health Facilities Fing. Auth. Rev. Participating VRDN Series Floaters XG 01 75, 0.92% 6/7/22 (Liquidity Facility Bank of America NA) (a)(f)(g) | 4,825,000 | 4,825,000 | |
California Statewide Cmntys. Dev. Auth. Rev.: | |||
Series 2004 I, 0.21% tender 7/13/22, CP mode | 5,000,000 | 4,994,641 | |
Series 2021, 0.2% tender 6/12/22, CP mode (a) | 9,200,000 | 9,190,262 | |
Lodi Unified School District Participating VRDN Series 2021 XG 03 22, 0.82% 6/7/22 (Liquidity Facility Royal Bank of Canada) (a)(f)(g) | 2,190,000 | 2,190,000 | |
Los Angeles Cmnty. Redev. Agcy. Multi-family Hsg. Rev. Participating VRDN: | |||
Series 2022 MIZ 90 89, 0.99% 6/7/22 (Liquidity Facility Mizuho Cap. Markets LLC) (a)(c)(f)(g) | 14,500,000 | 14,500,000 | |
Series 2022 MIZ 90 90, 0.99% 6/7/22 (Liquidity Facility Mizuho Cap. Markets LLC) (a)(c)(f)(g) | 7,500,000 | 7,500,000 | |
Los Angeles County Gen. Oblig. TRAN Series 2021, 4% 6/30/22 | 6,300,000 | 6,315,156 | |
Los Angeles Gen. Oblig. TRAN Series 2021, 4% 6/23/22 | 15,000,000 | 15,027,471 | |
Los Angeles Muni. Impt. Corp. Lease Rev. Series 2022, 0.7% 6/1/22, LOC BMO Harris Bank NA, CP | 2,265,000 | 2,264,997 | |
River Islands Pub. Fing. Auth. Participating VRDN Series MIZ 90 26, 1.04% 7/5/22 (Liquidity Facility Mizuho Cap. Markets LLC) (a)(f)(g)(h) | 4,300,000 | 4,300,000 | |
Sacramento County Hsg. Auth. Multi-family Hsg. Rev. Participating VRDN Series 2022 MIZ 90 93, 1.04% 7/5/22 (Liquidity Facility Mizuho Cap. Markets LLC) (a)(f)(g) | 2,795,000 | 2,795,000 | |
San Diego Pub. Facilities Fing. Auth. Wtr. Rev. Series 2022 A, 1.05% 7/7/22, LOC Bank of America NA, CP | 12,000,000 | 11,999,993 | |
San Francisco City & County Arpts. Commission Int'l. Arpt. Rev. Participating VRDN Series Floaters XM 06 75, 0.91% 6/7/22 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(c)(f)(g) | 1,850,000 | 1,850,000 | |
San Francisco City & County Multi-family Hsg. Rev. Participating VRDN: | |||
Series DBE 8059, 1.19% 8/1/22 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(f)(g) | 1,900,000 | 1,900,000 | |
Series MIZ 90 63, 1.04% 7/5/22 (Liquidity Facility Mizuho Cap. Markets LLC) (a)(f)(g) | 16,325,000 | 16,325,000 | |
Series MIZ 90 95, 1.04% 7/5/22 (Liquidity Facility Mizuho Cap. Markets LLC) (a)(f)(g) | 14,645,000 | 14,645,000 | |
San Francisco City & County Pub. Util. Commission Wastewtr. Rev. Series 2022 A2, 1.05% 7/7/22, LOC Bank of America NA, CP | 5,000,000 | 4,999,997 | |
San Mateo County Joint Powers Fing. Auth. Participating VRDN Series 2021 XG 03 18, 0.85% 6/7/22 (Liquidity Facility Deutsche Bank AG) (a)(f)(g) | 3,800,000 | 3,800,000 | |
Univ. of California Revs. Series AL1, 0.5% 6/1/22, VRDN (a) | 300,000 | 300,000 | |
TOTAL CALIFORNIA | 129,722,517 | ||
Colorado - 0.6% | |||
Colorado Ed. Ln. Prog. TRAN Series 2021 A, 4% 6/29/22 | 2,000,000 | 2,004,641 | |
Colorado Edl. & Cultural Facilities Auth. Rev. (Mesivta of Greater Los Angeles Proj.) Series 2005, 1.14% 6/7/22, LOC Deutsche Bank AG, VRDN (a) | 665,000 | 665,000 | |
Colorado Hsg. & Fin. Auth. Multi-family Hsg. Rev. Participating VRDN Series Floater 2021 MIZ 90 68, 1.04% 7/5/22 (Liquidity Facility Mizuho Cap. Markets LLC) (a)(f)(g) | 99,832 | 99,832 | |
Denver City & County Arpt. Rev. Participating VRDN Series Floaters XL 00 90, 0.91% 6/7/22 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(c)(f)(g) | 23,100,000 | 23,100,000 | |
TOTAL COLORADO | 25,869,473 | ||
Connecticut - 0.2% | |||
Connecticut Hsg. Fin. Auth. Series 2022 A4, 1.09% 6/7/22, VRDN (a) | 10,000,000 | 9,880,114 | |
Delaware - 0.1% | |||
Delaware Econ. Dev. Auth. Rev. (Delmarva Pwr. & Lt. Co. Proj.) Series 1994, 0.69% 6/1/22, VRDN (a)(c) | 3,880,000 | 3,880,000 | |
Florida - 0.9% | |||
Broward County Arpt. Sys. Rev. Participating VRDN: | |||
Series XL 01 36, 0.92% 6/7/22 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(f)(g) | 3,000,000 | 3,000,000 | |
Series XM 08 95, 0.92% 6/7/22 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(f)(g) | 840,000 | 840,000 | |
Greater Orlando Aviation Auth. Arpt. Facilities Rev. Participating VRDN Series XM 08 91, 0.92% 6/7/22 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(f)(g) | 3,400,000 | 3,400,000 | |
Jacksonville Health Care Series 2022, 0.62% 6/2/22, CP | 2,000,000 | 1,999,976 | |
Miami Dade County Hsg. Multifamily Hsg. Rev. Participating VRDN: | |||
Series Floater MIZ 90 87, 1.04% 7/5/22 (Liquidity Facility Mizuho Cap. Markets LLC) (a)(f)(g) | 1,035,000 | 1,035,000 | |
Series MIZ 90 72, 1.04% 7/5/22 (Liquidity Facility Mizuho Cap. Markets LLC) (a)(f)(g) | 400,000 | 400,000 | |
Miami-Dade County Aviation Rev.: | |||
Participating VRDN Series XM 08 70, 0.92% 6/7/22 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(f)(g) | 2,100,000 | 2,100,000 | |
Series 2022, 1.05% 6/16/22, LOC Bank of America NA, CP (c) | 2,000,000 | 1,999,960 | |
Miami-Dade County Health Facilities Auth. Hosp. Rev. Participating VRDN Series 2021 XF 12 61, 0.94% 6/7/22 (Liquidity Facility JPMorgan Chase Bank) (a)(f)(g) | 1,190,000 | 1,190,000 | |
Miami-Dade County Indl. Dev. Auth. Rev. (Florida Pwr. & Lt. Co. Proj.) Series 2021, 0.71% 6/1/22, VRDN (a)(c) | 5,000,000 | 5,000,000 | |
South Miami Health Facilities Auth. Hosp. Rev. Participating VRDN: | |||
Series Floaters XF 25 30, 0.94% 6/7/22 (Liquidity Facility Citibank NA) (a)(f)(g) | 10,500,000 | 10,500,000 | |
Series ZM 05 71, 0.84% 6/7/22 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(f)(g) | 5,230,000 | 5,230,000 | |
Tampa Hosp. Rev. Participating VRDN Series XM 08 85, 0.93% 6/7/22 (Liquidity Facility JPMorgan Chase Bank) (a)(f)(g) | 2,650,000 | 2,650,000 | |
TOTAL FLORIDA | 39,344,936 | ||
Georgia - 0.9% | |||
Atlanta Arpt. Rev.: | |||
Series 2022 L2, 1.05% 7/18/22, LOC JPMorgan Chase Bank, CP (c) | 9,300,000 | 9,296,682 | |
Series 2022, 1.05% 7/18/22, LOC Bank of America NA, CP (c) | 4,550,000 | 4,548,377 | |
Burke County Indl. Dev. Auth. Poll. Cont. Rev. (Georgia Pwr. Co. Plant Vogtle Proj.): | |||
First Series 2009, 0.78% 6/1/22, VRDN (a) | 3,950,000 | 3,950,000 | |
Series 2012, 0.79% 6/1/22, VRDN (a)(c) | 7,740,000 | 7,740,000 | |
Series 2018, 0.7% 6/1/22, VRDN (a) | 7,100,000 | 7,100,000 | |
Griffin-Spalding County Hosp. Participating VRDN Series Floaters XL 00 76, 0.96% 6/7/22 (Liquidity Facility JPMorgan Chase Bank) (a)(f)(g) | 1,400,000 | 1,400,000 | |
Monroe County Dev. Auth. Poll. Cont. Rev. (Georgia Pwr. Co. Plant Scherer Proj.) Series 2008, 0.77% 6/1/22, VRDN (a) | 6,450,000 | 6,450,000 | |
TOTAL GEORGIA | 40,485,059 | ||
Hawaii - 0.1% | |||
Hawaii Arpts. Sys. Rev. Participating VRDN Series XF 07 65, 0.92% 6/7/22 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(f)(g) | 2,900,000 | 2,900,000 | |
Idaho - 0.2% | |||
Idaho Gen. Oblig. TAN Series 2021, 3% 6/30/22 | 7,640,000 | 7,652,255 | |
Idaho Hsg. & Fin. Assoc. Single Family Mtg. Series A, 1.05% 6/7/22 (Liquidity Facility Fannie Mae) (Liquidity Facility Freddie Mac), VRDN (a) | 785,000 | 785,000 | |
TOTAL IDAHO | 8,437,255 | ||
Illinois - 0.8% | |||
Chicago Midway Arpt. Rev. Series 2022, 0.98% 6/22/22, LOC JPMorgan Chase Bank, CP (c) | 6,000,000 | 6,000,361 | |
Chicago O'Hare Int'l. Arpt. Rev. Participating VRDN: | |||
Series XM 08 79, 0.92% 6/7/22 (Liquidity Facility JPMorgan Chase Bank) (a)(f)(g) | 2,500,000 | 2,500,000 | |
Series XM 08 84, 0.92% 6/7/22 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(f)(g) | 2,500,000 | 2,500,000 | |
Series XM 09 18, 0.92% 6/7/22 (Liquidity Facility JPMorgan Chase Bank) (a)(f)(g) | 1,400,000 | 1,400,000 | |
Chicago Transit Auth. Participating VRDN: | |||
Series XM 09 03, 0.93% 6/7/22 (Liquidity Facility JPMorgan Chase Bank) (a)(f)(g) | 300,000 | 300,000 | |
Series XM 09 05, 0.93% 6/7/22 (Liquidity Facility JPMorgan Chase Bank) (a)(f)(g) | 1,100,000 | 1,100,000 | |
Cook County Gen. Oblig. Participating VRDN Series 2015 XF0124, 0.94% 6/7/22 (Liquidity Facility JPMorgan Chase Bank) (a)(f)(g) | 4,780,000 | 4,780,000 | |
Deutsche Spears/Lifers Trust Participating VRDN Series 2016 XG 00 93, 0.99% 6/7/22 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(c)(f)(g) | 3,200,000 | 3,200,000 | |
Illinois Edl. Facilities Auth. Rev. Series 2022 0.85% 6/2/22, LOC Northern Trust Co., CP | 8,500,000 | 8,500,014 | |
Metropolitan Pier & Exposition Participating VRDN Series XF 09 65, 0.91% 6/7/22 (Liquidity Facility JPMorgan Chase Bank) (a)(f)(g) | 4,343,000 | 4,343,000 | |
Reg'l. Transn Auth. Extend Series 2005 B, 1.1% 6/7/22, VRDN (a) | 1,360,000 | 1,360,000 | |
TOTAL ILLINOIS | 35,983,375 | ||
Indiana - 0.3% | |||
Brownsburg 1999 School Bldg. Corp. BAN Series 2022, 1.75% 2/1/23 (d) | 6,000,000 | 6,001,793 | |
Indiana Muni. Pwr. Agcy. Pwr. Supply Sys. Rev. Series B, 0.67% 6/1/22, LOC U.S. Bank NA, Cincinnati, VRDN (a) | 250,000 | 250,000 | |
Indiana Univ. Student Fee Revs. Series 2022, 0.65% 6/21/22, CP | 2,500,000 | 2,499,423 | |
Indianapolis Local Pub. Impt. Participating VRDN Series 2019 XF 07 56, 0.88% 6/7/22 (Liquidity Facility Bank of America NA) (a)(f)(g) | 3,750,000 | 3,750,000 | |
TOTAL INDIANA | 12,501,216 | ||
Kentucky - 1.1% | |||
Econ. Dev. Fin. Auth. Lousiville Arena Proj. Rev. Participating VRDN Series XG 01 61, 0.82% 6/7/22 (Assured Guaranty Muni. Corp. Insured), LOC Bank of America NA, (Liquidity Facility Bank of America NA) (a)(f)(g) | 5,460,000 | 5,460,000 | |
Kentucky Econ. Dev. Fin. Auth. Hosp. Rev. Participating VRDN Series XM 09 19, 0.94% 6/7/22 (Liquidity Facility JPMorgan Chase Bank) (a)(f)(g) | 1,100,000 | 1,100,000 | |
Kentucky Hsg. Corp. Hsg. Rev. Participating VRDN Series XF 10 93, 1.04% 6/7/22 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(f)(g) | 1,000,000 | 1,000,000 | |
Louisville & Jefferson County Metropolitan Swr. District Swr. & Drain Sys. Rev. BAN Series 2021, 3% 10/14/22 | 29,000,000 | 29,159,767 | |
Meade County Indl. Bldg. Rev. (Nucor Steel Brandenburg Proj.): | |||
Series 2020 A1, 0.88% 6/1/22, VRDN (a)(c) | 11,520,000 | 11,520,000 | |
Series 2020 B1, 0.88% 6/1/22, VRDN (a)(c) | 800,000 | 800,000 | |
TOTAL KENTUCKY | 49,039,767 | ||
Louisiana - 0.5% | |||
Louisiana Hsg. Corp. Multifamily Hsg. Rev. Participating VRDN Series MIZ 90 53, 1.04% 7/5/22 (Liquidity Facility Mizuho Cap. Markets LLC) (a)(f)(g) | 585,000 | 585,000 | |
Saint Charles Parish Poll. Cont. Rev. (Shell Oil Co. Proj.) Series 1992 B, 0.65% 6/1/22, VRDN (a) | 500,000 | 500,000 | |
Saint James Parish Gen. Oblig. (Nucor Steel Louisiana LLC Proj.) Series 2010 A1, 0.99% 6/7/22, VRDN (a) | 23,920,000 | 23,920,000 | |
TOTAL LOUISIANA | 25,005,000 | ||
Maryland - 0.4% | |||
Baltimore County Gen. Oblig. BAN Series 2022, 4% 3/24/23 | 8,000,000 | 8,144,054 | |
Baltimore Proj. Rev. Bonds Series Floaters G 42, 0.99%, tender 1/3/23 (Liquidity Facility Royal Bank of Canada) (a)(f)(g)(h) | 4,500,000 | 4,500,000 | |
Maryland Health & Higher Edl. Facilities Auth. Rev. Series 2022, 0.88% 6/8/22 (Liquidity Facility Wells Fargo Bank NA), CP | 5,500,000 | 5,500,120 | |
TOTAL MARYLAND | 18,144,174 | ||
Massachusetts - 0.3% | |||
Boston Wtr. & Swr. Commission Rev. Series 2022 A, 0.61% 6/6/22, LOC State Street Bank & Trust Co., Boston, CP | 8,500,000 | 8,499,649 | |
Massachusetts Dev. Fin. Agcy. Rev. Participating VRDN Series XM 09 99, 0.94% 6/7/22 (Liquidity Facility JPMorgan Chase Bank) (a)(f)(g) | 3,300,000 | 3,300,000 | |
Massachusetts Edl. Fing. Auth. Rev. Participating VRDN Series Floaters XF 23 06, 0.99% 6/7/22 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(c)(f)(g) | 1,280,000 | 1,280,000 | |
TOTAL MASSACHUSETTS | 13,079,649 | ||
Michigan - 0.7% | |||
Michigan Bldg. Auth. Rev.: | |||
Participating VRDN Series 2021 XF 11 15, 0.85% 6/7/22 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(f)(g) | 800,000 | 800,000 | |
Series 2020 III, 0.89% 7/3/23, VRDN (a) | 3,000,000 | 3,000,000 | |
Michigan Fin. Auth. Rev. RAN Series 2021 A, 3% 8/22/22, LOC PNC Bank NA | 16,500,000 | 16,551,713 | |
Michigan Strategic Fund Ltd. Oblig. Rev. Series 2002, 0.93% 6/2/22, LOC JPMorgan Chase Bank, VRDN (a)(c) | 250,000 | 250,000 | |
St Joseph Hosp. Fa Hsp Rev. Series 2002, 0.8% 6/7/22 (Assured Guaranty Muni. Corp. Insured), VRDN (a) | 7,640,000 | 7,640,000 | |
Univ. of Michigan Rev. Series 2022 B, 0.7% tender 6/6/22, CP mode | 5,200,000 | 5,199,888 | |
TOTAL MICHIGAN | 33,441,601 | ||
Minnesota - 0.2% | |||
Duluth Minn Hsg. & Redev. Auth. MultiFamily Hsg. Rev. Participating VRDN Series 2021 XF 11 30, 1.04% 6/7/22 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(f)(g) | 900,000 | 900,000 | |
Minneapolis Health Care Sys. Rev. Participating VRDN Series XM 08 72, 0.93% 6/7/22 (Liquidity Facility JPMorgan Chase Bank) (a)(f)(g) | 1,000,000 | 1,000,000 | |
Minnesota Rural Wtr. Fin. Auth. BAN Series 2021 B, 0.3% 8/1/22 | 2,700,000 | 2,691,692 | |
Univ. of Minnesota Gen. Oblig. Series 2022 D1, 0.95% 6/7/22, CP | 4,000,000 | 4,000,120 | |
TOTAL MINNESOTA | 8,591,812 | ||
Mississippi - 0.4% | |||
Mississippi Bus. Fin. Corp. Rev. (Mississippi Pwr. Co. Proj.) Series 1999, 0.77% 6/1/22, VRDN (a)(c) | 2,400,000 | 2,400,000 | |
Mississippi Bus. Fin. Corp. Solid Waste Disp. Rev.: | |||
(Gulf Pwr. Co. Proj.) Series 2012, 0.74% 6/1/22, VRDN (a)(c) | 10,020,000 | 10,020,000 | |
(Mississippi Pwr. Co. Proj.) Series 1995, 0.78% 6/1/22, VRDN (a)(c) | 4,500,000 | 4,500,000 | |
TOTAL MISSISSIPPI | 16,920,000 | ||
Missouri - 0.1% | |||
Kansas City Planned Indl. Expansion Participating VRDN Series Floater MIZ 90 86, 1.04% 7/5/22 (Liquidity Facility Mizuho Cap. Markets LLC) (a)(f)(g) | 1,055,000 | 1,055,000 | |
Lees Summit Indl. Dev. Auth. Multi-family Hsg. Rev. Participating VRDN Series MIZ 90 55, 1.04% 7/5/22 (Liquidity Facility Mizuho Cap. Markets LLC) (a)(f)(g) | 200,000 | 200,000 | |
Mercy Health Participating VRDN Series Floaters XL 00 80, 0.94% 6/7/22 (Liquidity Facility JPMorgan Chase Bank) (a)(f)(g) | 1,200,000 | 1,200,000 | |
Missouri Health & Edl. Facilities Rev.: | |||
Participating VRDN Series XL 02 58, 0.94% 6/7/22 (Liquidity Facility JPMorgan Chase Bank) (a)(f)(g) | 1,900,000 | 1,900,000 | |
Series 2009 B, 0.62% 6/1/22 (Liquidity Facility JPMorgan Chase Bank), VRDN (a) | 1,800,000 | 1,800,000 | |
TOTAL MISSOURI | 6,155,000 | ||
Montana - 0.0% | |||
Montana Board of Hsg. Participating VRDN Series Floater MIZ 90 61, 1.04% 7/5/22 (Liquidity Facility Mizuho Cap. Markets LLC) (a)(f)(g) | 500,000 | 500,000 | |
Nevada - 0.3% | |||
Clark County Arpt. Rev. Series 2008 C1, 0.88% 6/7/22, LOC Bank of America NA, VRDN (a)(c) | 10,000,000 | 10,000,000 | |
Nevada Hsg. Division Participating VRDN Series 2022 MIZ 90 91, 1.04% 7/5/22 (Liquidity Facility Mizuho Cap. Markets LLC) (a)(f)(g) | 5,200,000 | 5,200,000 | |
TOTAL NEVADA | 15,200,000 | ||
New Jersey - 0.5% | |||
Hudson County Impt. Auth. Rev. BAN Series 2021 C1, 1% 8/16/22 | 5,400,000 | 5,398,503 | |
New Jersey Tpk. Auth. Tpk. Rev. Participating VRDN Series XM 09 12, 0.94% 6/7/22 (Liquidity Facility JPMorgan Chase Bank) (a)(f)(g) | 1,600,000 | 1,600,000 | |
New Jersey Trans. Trust Fund Auth. Participating VRDN: | |||
Series XF 09 75, 0.96% 6/7/22 (Liquidity Facility JPMorgan Chase Bank) (a)(f)(g) | 541,000 | 541,000 | |
Series XM 09 29, 0.96% 6/7/22 (Liquidity Facility JPMorgan Chase Bank) (a)(f)(g) | 800,000 | 800,000 | |
Newark Gen. Oblig. BAN Series 2021 C, 1.25% 7/25/22 | 600,000 | 599,361 | |
Plainfield Gen. Oblig. BAN Series 2021, 1% 8/16/22 | 4,517,000 | 4,513,114 | |
Roselle County of Union BAN Series 2021 A, 1.5% 7/20/22 | 1,000,000 | 1,000,166 | |
Springfield Township Gen. Oblig. BAN Series 2021, 2% 7/29/22 | 3,228,000 | 3,231,093 | |
West Orange Gen. Oblig. BAN Series 2021, 2% 11/11/22 | 4,500,000 | 4,505,616 | |
TOTAL NEW JERSEY | 22,188,853 | ||
New York - 3.5% | |||
Connetquot Central School District: | |||
BAN Series 2021, 1.25% 7/27/22 | 5,450,000 | 5,448,094 | |
TAN Series 2021, 1.5% 6/24/22 | 10,000,000 | 10,000,601 | |
Greater Soutern Tier Board of Coop. Edl. Svcs. RAN Series 2021, 1% 6/30/22 | 15,000,000 | 14,990,289 | |
Hempstead Indl. Dev. Auth. Participating VRDN Series DBE 80 63, 1.19% 6/7/22, LOC Deutsche Bank AG, (Liquidity Facility Deutsche Bank AG) (a)(c)(f)(g) | 8,341,186 | 8,341,186 | |
Hempstead Union Free School District BAN Series 2021 A, 1.5% 11/30/22 | 6,427,819 | 6,420,070 | |
New York City Gen. Oblig.: | |||
Series 2006, 1.19% 6/3/22 (Assured Guaranty Muni. Corp. Insured), VRDN (a) | 5,100,000 | 5,100,000 | |
Series 2021 3, 1.07% 6/8/22, VRDN (a) | 5,000,000 | 5,000,000 | |
New York Dorm. Auth. Rev. Participating VRDN Series XF 13 28, 0.96% 6/7/22 (Liquidity Facility JPMorgan Chase Bank) (a)(f)(g) | 1,700,000 | 1,700,000 | |
New York Metropolitan Trans. Auth. Rev.: | |||
BAN Series 2019 D1, 5% 9/1/22 | 25,210,000 | 25,417,279 | |
Participating VRDN: | |||
Series XF 13 21, 0.97% 6/7/22 (Liquidity Facility JPMorgan Chase Bank) (a)(f)(g) | 3,705,000 | 3,705,000 | |
Series XM 09 35, 0.97% 6/7/22 (Liquidity Facility JPMorgan Chase Bank) (a)(f)(g) | 300,000 | 300,000 | |
Series ZF 02 18, 0.97% 6/7/22 (Liquidity Facility JPMorgan Chase Bank) (a)(f)(g) | 4,200,000 | 4,200,000 | |
New York Pwr. Auth. Series 2022, 0.8% 7/13/22, CP | 8,500,000 | 8,496,481 | |
New York Thruway Auth. Gen. Rev. Participating VRDN: | |||
Series XM 08 30, 0.94% 6/7/22 (Liquidity Facility JPMorgan Chase Bank) (a)(f)(g) | 1,700,000 | 1,700,000 | |
Series XM 08 31, 0.96% 6/7/22 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(f)(g) | 2,000,000 | 2,000,000 | |
Oyster Bay Gen. Oblig. BAN Series 2022, 3% 3/9/23 | 8,000,000 | 8,061,814 | |
Port Washington Union Free School District TAN Series 2021, 2% 6/23/22 | 3,000,000 | 3,001,323 | |
Putnam County Indl. Dev. Agcy. Rev. Series 2006 A, 0.97% 6/2/22, LOC Citizens Bank NA, VRDN (a) | 1,100,000 | 1,100,000 | |
Riverhead Central School District TAN Series 2021 B, 2% 6/24/22 | 15,500,000 | 15,507,645 | |
Rockland County Indl. Dev. Agcy. Participating VRDN Series XF 11 32, 1.04% 6/7/22 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(f)(g) | 1,400,000 | 1,400,000 | |
South Huntington Union Free School District TAN Series 2021, 1.5% 6/24/22 | 10,000,000 | 10,001,565 | |
Syosset Central School District TAN Series 2021, 1.5% 6/24/22 | 9,500,000 | 9,501,608 | |
Triborough Bridge & Tunnel Auth. Participating VRDN Series 2021 XF 11 25, 0.85% 6/7/22 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(f)(g) | 634,000 | 634,000 | |
Troy Rensselaer County BAN Series 2021, 1.5% 7/29/22 | 7,000,000 | 7,002,127 | |
TOTAL NEW YORK | 159,029,082 | ||
New York And New Jersey - 0.2% | |||
Port Auth. of New York & New Jersey Series 2022 A: | |||
0.25% 6/16/22, CP (c) | 525,000 | 524,816 | |
0.6% 7/14/22, CP (c) | 4,000,000 | 3,996,360 | |
Port Auth. of NY & NJ Series 2022 A, 0.83% 8/4/22, CP | 5,030,000 | 5,024,166 | |
TOTAL NEW YORK AND NEW JERSEY | 9,545,342 | ||
Ohio - 0.4% | |||
American Muni. Pwr. BAN: | |||
(City of Wapakoneta Proj.) Series 2021, 1% 6/23/22 | 1,210,000 | 1,209,895 | |
(Village of Carey Proj.) Series 2021, 1.25% 11/30/22 | 500,000 | 499,052 | |
(Village of Pioneer Proj.) Series 2021, 1.25% 12/1/22 | 400,000 | 399,331 | |
Lakewood Income Tax Rev. TAN Series 2022, 1.75% 3/16/23 | 3,000,000 | 2,994,840 | |
Lorain County Gen. Oblig. BAN: | |||
(North Ridge Road Proj.) Series 2021 B, 2% 12/15/22 | 1,100,000 | 1,100,069 | |
Series 2022 A, 2.5% 5/3/23 | 2,500,000 | 2,505,436 | |
Oakwood Village BAN Series 2021, 1.375% 9/15/22 | 1,675,000 | 1,673,627 | |
Ohio Hosp. Rev. Series 2021 B, 1.1% 6/1/22, VRDN (a) | 3,000,000 | 3,000,000 | |
Ohio Hsg. Fin. Agcy. Multi-family Hsg. Rev. Participating VRDN Series XF 10 92, 1.04% 6/7/22 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(f)(g) | 5,100,000 | 5,100,000 | |
Whitehall Spl. Oblig. Nontax Rev. BAN Series 2021 A, 1.5% 12/7/22 | 1,700,000 | 1,698,813 | |
TOTAL OHIO | 20,181,063 | ||
Oklahoma - 0.4% | |||
Oklahoma Dev. Fin. Auth. Health Sys. Rev. Series 2020 B, 1.1% 6/7/22, VRDN (a) | 16,680,000 | 16,680,000 | |
Oregon - 0.0% | |||
Oregon St Hsg. & Cmnty. Svcs. Dep Participating VRDN Series 2021 XF 11 23, 1.04% 6/7/22 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(f)(g) | 1,300,000 | 1,300,000 | |
Pennsylvania - 1.0% | |||
Central Bradford Progress Auth. Rev. Series 2021 D, 1.12% 6/7/22, VRDN (a) | 4,500,000 | 4,500,000 | |
Chester County Indl. Dev. Auth. Student Hsg. Rev. Participating VRDN Series DBE 80 86, 1.19% 8/1/22 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(f)(g) | 3,400,000 | 3,400,000 | |
Montgomery County Higher Ed. & Health Auth. Rev. Series 2018 D, 1.08% 6/6/25, VRDN (a) | 3,000,000 | 3,000,000 | |
Pennsylvania Econ. Dev. Fing. Auth. Exempt Facilities Rev. Series 2009 B, 1.4% 6/7/22, LOC MUFG Bank Ltd., VRDN (a) | 5,000,000 | 5,000,000 | |
Pennsylvania Hsg. Fin. Agcy. Multifamily Hsg. Dev. Rev. Participating VRDN Series XF 10 95, 1.04% 6/7/22 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(f)(g) | 2,605,000 | 2,605,000 | |
Philadelphia Auth. Indl. Mrf Participating VRDN Series MIZ 90 51, 1.04% 7/5/22 (Liquidity Facility Mizuho Cap. Markets LLC) (a)(f)(g) | 1,000,000 | 1,000,000 | |
Philadelphia Arpt. Rev. Series 2022 B3, 0.75% 6/10/22, LOC Wells Fargo Bank NA, CP (c) | 10,221,000 | 10,220,632 | |
Philadelphia Auth. for Indl. Dev. Series 2017 B, 1.08% 6/6/25, VRDN (a) | 15,465,000 | 15,465,000 | |
TOTAL PENNSYLVANIA | 45,190,632 | ||
South Carolina - 0.5% | |||
Charleston County School District BAN Series 2022 A, 3% 11/3/22 | 4,000,000 | 4,027,602 | |
Greenville Hosp. Sys. Facilities Rev. Participating VRDN Series XF 01 45, 0.94% 6/7/22 (Liquidity Facility Toronto-Dominion Bank) (a)(f)(g) | 1,600,000 | 1,600,000 | |
South Carolina Pub. Svc. Auth. Rev.: | |||
Participating VRDN Series Floaters XM 03 84, 0.93% 6/7/22 (Liquidity Facility JPMorgan Chase Bank) (a)(f)(g) | 9,800,000 | 9,800,000 | |
Series 2020, 0% 9/9/70, LOC Barclays Bank PLC, CP | 5,466,000 | 5,465,996 | |
TOTAL SOUTH CAROLINA | 20,893,598 | ||
Tennessee - 0.6% | |||
Greeneville Health & Edl. Facilities Board Series 2018 B, 0.8% 6/7/22, LOC U.S. Bank NA, Cincinnati, VRDN (a) | 800,000 | 800,000 | |
Metropolitan Govt. Nashville & Davidson County Health & Edl. Facilities Board Participating VRDN Series XF 10 97, 1.04% 6/7/22 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(f)(g) | 1,890,000 | 1,890,000 | |
Nashville and Davidson County Metropolitan Govt. Gen. Oblig. Series 2022, 0.75% 6/2/22 (Liquidity Facility Bank of America NA), CP | 16,600,000 | 16,599,944 | |
Tennessee Gen. Oblig.: | |||
Series 2022 A, 1.4% 8/3/22 (Liquidity Facility Tennessee Consldatd Retire Sys.), CP | 2,500,000 | 2,499,777 | |
Series 2022, 1.42% 8/10/22 (Liquidity Facility Tennessee Consldatd Retire Sys.), CP | 5,000,000 | 4,999,993 | |
TOTAL TENNESSEE | 26,789,714 | ||
Texas - 2.7% | |||
Arlington Higher Ed. Fin. Corp. Participating VRDN Series 2021 MS 00 02, 0.99% 6/7/22 (a)(f)(g) | 10,000,000 | 10,000,000 | |
Austin Affordable Pfc, Inc. Multifamily Hsg. Rev. Participating VRDN: | |||
Series XF 11 02, 1.04% 6/7/22 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(f)(g) | 2,000,000 | 2,000,000 | |
Series XF 11 19, 1.04% 6/7/22 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(f)(g) | 1,400,000 | 1,400,000 | |
Cap. Area Hsg. Fin. Corp. Multi-family Hsg. Rev. Participating VRDN Series XF 11 31, 1.04% 6/7/22 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(f)(g) | 1,400,000 | 1,400,000 | |
Deutsche Spears/Lifers Trust Participating VRDN Series Floaters XG 00 58, 0.85% 6/7/22 (Liquidity Facility Deutsche Bank AG) (a)(f)(g) | 1,085,000 | 1,085,000 | |
Harris County Cultural Ed. Facilities Fin. Corp. Rev.: | |||
Series 2022 B3, 0.41% tender 6/2/22, CP mode | 5,000,000 | 4,999,855 | |
Series 2022, 0.86% tender 6/1/22, CP mode | 10,000,000 | 10,000,016 | |
Harris County Gen. Oblig. Series 2022, 0.55% 6/1/22 (Liquidity Facility State Street Bank & Trust Co., Boston), CP | 1,055,000 | 1,054,994 | |
Houston Arpt. Sys. Rev. Series 2022, 0.87% 6/6/22, CP | 4,500,000 | 4,499,969 | |
Houston Gen. Oblig. TRAN Series 2021: | |||
2% 6/30/22 | 5,000,000 | 5,004,124 | |
3% 6/30/22 | 8,500,000 | 8,513,824 | |
Hurst Participating VRDN Series XF 10 94, 1.04% 6/7/22 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(f)(g) | 1,600,000 | 1,600,000 | |
North Central Texas Hsg. Fin. Corp. Mu Participating VRDN Series XF 10 99, 1.04% 6/7/22 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(f)(g) | 400,000 | 400,000 | |
North Texas Tollway Auth. Rev. Participating VRDN: | |||
Series 2021 XF 12 25, 0.91% 6/7/22 (Liquidity Facility JPMorgan Chase Bank) (a)(f)(g) | 335,000 | 335,000 | |
Series XF 12 21, 0.91% 6/7/22 (Liquidity Facility JPMorgan Chase Bank) (a)(f)(g) | 3,380,000 | 3,380,000 | |
Series XF 12 93, 0.91% 6/7/22 (Liquidity Facility JPMorgan Chase Bank) (a)(f)(g) | 6,525,000 | 6,525,000 | |
Port Arthur Navigation District Envir. Facilities Rev. (Motiva Enterprises LLC Proj.) Series 2004, 0.95% 6/7/22, VRDN (a)(c) | 33,015,000 | 33,015,000 | |
Temple Tex College District Participating VRDN Series XL 01 82, 0.85% 6/7/22, LOC Deutsche Bank AG, (Liquidity Facility Deutsche Bank AG) (a)(f)(g) | 1,140,000 | 1,140,000 | |
Tender Option Bond Trust Receipts Participating VRDN Series 2021 XF 11 09, 1.04% 6/7/22 (Liquidity Facility Deutsche Bank AG) (a)(f)(g) | 2,000,000 | 2,000,000 | |
Texas A&M Univ. Rev. Series 2022, 0.5% 6/1/22, CP | 15,000,000 | 14,999,909 | |
Texas Dept. of Hsg. & Cmnty. Affairs Residential Mtg. Rev. Participating VRDN Series XF 10 98, 1.04% 6/7/22 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(f)(g) | 1,100,000 | 1,100,000 | |
Texas Private Activity Bond Surface Trans. Corp. Participating VRDN Series XM 07 56, 0.98% 6/7/22 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(c)(f)(g) | 1,800,000 | 1,800,000 | |
Trinity Riv Pub. Facilities Corp. Tex M Participating VRDN Series XF 10 83, 1.04% 6/7/22 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(f)(g) | 1,500,000 | 1,500,000 | |
Univ. of Texas Permanent Univ. Fund Rev. Series 2022, 0.75% 6/10/22, CP | 6,000,000 | 6,000,000 | |
TOTAL TEXAS | 123,752,691 | ||
Utah - 0.8% | |||
Salt Lake City Arpt. Rev. Participating VRDN: | |||
Series 17 XM 0493, 0.91% 6/7/22 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(c)(f)(g) | 400,000 | 400,000 | |
Series Floaters XM 06 99, 0.96% 6/7/22 (Liquidity Facility Cr. Suisse AG) (a)(c)(f)(g) | 11,030,000 | 11,030,000 | |
Series XM 08 82, 0.92% 6/7/22 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(f)(g) | 1,400,000 | 1,400,000 | |
Series ZF 29 76, 0.99% 6/7/22 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(c)(f)(g) | 2,600,000 | 2,600,000 | |
Utah County Hosp. Rev. Series 2016 E, 0.72% 6/7/22 (Liquidity Facility JPMorgan Chase Bank), VRDN (a) | 7,790,000 | 7,790,000 | |
Utah Hsg. Corp. Multi-family Hsg. Rev. Participating VRDN Series 2021 XF 11 00, 1.04% 6/7/22 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(f)(g) | 12,800,000 | 12,800,000 | |
TOTAL UTAH | 36,020,000 | ||
Virginia - 0.3% | |||
Suffolk Econ. Dev. Auth. Hosp. Facilities Rev. Participating VRDN Series MIZ 90 25, 0.88% 6/7/22 (Liquidity Facility Mizuho Cap. Markets LLC) (a)(f)(g) | 13,965,000 | 13,965,000 | |
Washington - 0.2% | |||
Univ. of Washington Univ. Revs. Series 2022 8: | |||
0% 7/12/22, CP | 1,500,000 | 1,500,258 | |
0.48% 6/3/22, CP | 1,800,000 | 1,800,000 | |
Washington Convention Ctr. Pub. Facilities Participating VRDN Series Floaters ZM 06 79, 1.09% 6/7/22 (Liquidity Facility Citibank NA) (a)(f)(g) | 1,100,000 | 1,100,000 | |
Washington Econ. Dev. Fin. Auth. Rev. Participating VRDN Series Floaters 005, 0.97% 7/12/22 (Liquidity Facility Barclays Bank PLC) (a)(c)(f)(g) | 4,900,000 | 4,900,000 | |
Washington Health Care Facilities Auth. Rev. Participating VRDN Series XM 08 83, 0.94% 6/7/22 (Liquidity Facility JPMorgan Chase Bank) (a)(f)(g) | 1,500,000 | 1,500,000 | |
TOTAL WASHINGTON | 10,800,258 | ||
West Virginia - 0.0% | |||
West Virginia Hosp. Fin. Auth. Hosp. Rev. Series 2018 E, 1.08% 6/6/25, VRDN (a) | 2,100,000 | 2,100,000 | |
Wisconsin - 0.4% | |||
JPMorgan Chase Participating VRDN Series Floaters XF 01 27, 0.82% 6/2/22 (a)(f)(g) | 975,000 | 975,000 | |
Wisconsin Ctr. District Tax Rev. Participating VRDN Series 2021 XF 12 22, 0.93% 6/7/22 (Liquidity Facility JPMorgan Chase Bank) (a)(f)(g) | 212,000 | 212,000 | |
Wisconsin Health & Edl. Facilities Series 2020 C, 1.11% 6/7/22, VRDN (a) | 12,750,000 | 12,750,000 | |
Wisconsin Health & Edl. Facilities Auth. Rev. Series 2022 A, 1.11% 6/7/22, VRDN (a) | 2,000,000 | 2,000,000 | |
TOTAL WISCONSIN | 15,937,000 | ||
TOTAL MUNICIPAL NOTES | |||
(Cost $1,067,638,914) | 1,066,899,087 | ||
Shares | Value | ||
Municipal Bond Funds - 0.2% | |||
Nuveen NY AMT-Free Quality Municipal Income Fund Preferred Shares 1.29% (a)(d) | |||
(Cost $6,800,000) | 6,800,000 | 6,800,000 | |
Short-Term Funds - 13.7% | |||
Federated Hermes Municipal Ultrashort Fund Institutional Shares | 6,502,576 | 64,440,526 | |
JPMorgan Ultra-Short Municipal Fund Class I | 30,808,955 | 305,624,800 | |
Vanguard Short-Term Tax-Exempt Fund Admiral Shares | 16,387,855 | 256,142,168 | |
TOTAL SHORT-TERM FUNDS | |||
(Cost $636,235,432) | 626,207,494 | ||
Money Market Funds - 16.8% | |||
Fidelity Investments Money Market Government Portfolio Institutional Class 0.64% (i)(j) | 167,772,403 | 167,772,403 | |
Fidelity Municipal Cash Central Fund 0.75% (k)(l) | 92,078,584 | 92,097,000 | |
Fidelity SAI Municipal Money Market Fund 0.65% (i)(j) | 461,073,394 | 461,165,608 | |
State Street Institutional U.S. Government Money Market Fund Premier Class 0.74% (i) | 44,509,093 | 44,509,093 | |
TOTAL MONEY MARKET FUNDS | |||
(Cost $765,561,150) | 765,544,104 | ||
TOTAL INVESTMENT IN SECURITIES - 101.4% | |||
(Cost $4,667,890,706) | 4,621,344,510 | ||
NET OTHER ASSETS (LIABILITIES) - (1.4)% | (61,932,360) | ||
NET ASSETS - 100% | $4,559,412,150 |
Security Type Abbreviations
BAN – BOND ANTICIPATION NOTE
CP – COMMERCIAL PAPER
RAN – REVENUE ANTICIPATION NOTE
TAN – TAX ANTICIPATION NOTE
TRAN – TAX AND REVENUE ANTICIPATION NOTE
VRDN – VARIABLE RATE DEMAND NOTE (A debt instrument that is payable upon demand, either daily, weekly or monthly)
Legend
(a) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(b) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
(c) Private activity obligations whose interest is subject to the federal alternative minimum tax for individuals.
(d) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $67,118,643 or 1.5% of net assets.
(e) Security or a portion of the security purchased on a delayed delivery or when-issued basis.
(f) Provides evidence of ownership in one or more underlying municipal bonds.
(g) Coupon rates are determined by re-marketing agents based on current market conditions.
(h) Restricted securities (including private placements) - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $8,800,000 or 0.2% of net assets.
(i) The rate quoted is the annualized seven-day yield of the fund at period end.
(j) Affiliated Fund
(k) Information in this report regarding holdings by state and security types does not reflect the holdings of the Fidelity Municipal Cash Central Fund.
(l) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.
Additional information on each restricted holding is as follows:
Security | Acquisition Date | Acquisition Cost |
Baltimore Proj. Rev. Bonds Series Floaters G 42, 0.99%, tender 1/3/23 (Liquidity Facility Royal Bank of Canada) | 1/3/22 | $4,500,000 |
River Islands Pub. Fing. Auth. Participating VRDN Series MIZ 90 26, 1.04% 7/5/22 (Liquidity Facility Mizuho Cap. Markets LLC) | 8/14/20 | $4,300,000 |
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
Fund | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income | Realized Gain/Loss | Change in Unrealized appreciation (depreciation) | Value, end of period | % ownership, end of period |
Fidelity Municipal Cash Central Fund 0.75% | $10,608,583 | $598,302,000 | $516,813,583 | $132,213 | $715 | $(715) | $92,097,000 | 5.0% |
Total | $10,608,583 | $598,302,000 | $516,813,583 | $132,213 | $715 | $(715) | $92,097,000 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations, if applicable.
Affiliated Underlying Funds
Fiscal year to date information regarding the Fund's investments in affiliated Underlying Funds is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur, and are excluded from purchases and sales below if applicable. If an underlying Fund 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 0.64% | $483,241,223 | $595,584,290 | $911,053,119 | $250,436 | $9 | $-- | $167,772,403 |
Fidelity SAI Municipal Money Market Fund 0.65% | 455,032,513 | 84,979,023 | 78,745,257 | 567,378 | (26,805) | (73,866) | 461,165,608 |
Total | $938,273,736 | $680,563,313 | $989,798,376 | $817,814 | $(26,796) | $(73,866) | $628,938,011 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations, if applicable.
Investment Valuation
The following is a summary of the inputs used, as of May 31, 2022, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Municipal Securities | $3,222,792,912 | $-- | $3,222,792,912 | $-- |
Municipal Bond Funds | 6,800,000 | -- | 6,800,000 | -- |
Short-Term Funds | 626,207,494 | 626,207,494 | -- | -- |
Money Market Funds | 765,544,104 | 765,544,104 | -- | -- |
Total Investments in Securities: | $4,621,344,510 | $1,391,751,598 | $3,229,592,912 | $-- |
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
May 31, 2022 | ||
Assets | ||
Investment in securities, at value — See accompanying schedule: Unaffiliated issuers (cost $3,946,838,649) | $3,900,309,499 | |
Fidelity Central Funds (cost $92,096,654) | 92,097,000 | |
Other affiliated issuers (cost $628,955,403) | 628,938,011 | |
Total Investment in Securities (cost $4,667,890,706) | $4,621,344,510 | |
Cash | 761,653 | |
Receivable for investments sold | ||
Regular delivery | 46,607,942 | |
Delayed delivery | 1,513,530 | |
Receivable for fund shares sold | 9,326,339 | |
Dividends receivable | 618,500 | |
Interest receivable | 25,741,507 | |
Distributions receivable from Fidelity Central Funds | 55,715 | |
Prepaid expenses | 13,675 | |
Other receivables | 5,071 | |
Total assets | 4,705,988,442 | |
Liabilities | ||
Payable for investments purchased | ||
Regular delivery | $40,141 | |
Delayed delivery | 45,265,746 | |
Payable for fund shares redeemed | 97,898,235 | |
Distributions payable | 3,035,592 | |
Accrued management fee | 245,114 | |
Other payables and accrued expenses | 91,464 | |
Total liabilities | 146,576,292 | |
Net Assets | $4,559,412,150 | |
Net Assets consist of: | ||
Paid in capital | $4,615,254,201 | |
Total accumulated earnings (loss) | (55,842,051) | |
Net Assets | $4,559,412,150 | |
Net Asset Value, offering price and redemption price per share ($4,559,412,150 ÷ 459,645,949 shares) | $9.92 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Year ended May 31, 2022 | ||
Investment Income | ||
Dividends: | ||
Unaffiliated issuers | $3,256,154 | |
Affiliated issuers | 801,719 | |
Interest | 23,329,879 | |
Income from Fidelity Central Funds | 132,213 | |
Total income | 27,519,965 | |
Expenses | ||
Management fee | $16,923,085 | |
Custodian fees and expenses | 46,646 | |
Independent trustees' fees and expenses | 36,605 | |
Registration fees | 30,983 | |
Audit | 70,144 | |
Legal | 8,564 | |
Miscellaneous | 29,746 | |
Total expenses before reductions | 17,145,773 | |
Expense reductions | (13,584,011) | |
Total expenses after reductions | 3,561,762 | |
Net investment income (loss) | 23,958,203 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | (8,604,998) | |
Fidelity Central Funds | 715 | |
Other affiliated issuers | (26,796) | |
Capital gain distributions from underlying funds: | ||
Affiliated issuers | 16,095 | |
Total net realized gain (loss) | (8,614,984) | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers | (64,366,613) | |
Fidelity Central Funds | (715) | |
Other affiliated issuers | (73,866) | |
Total change in net unrealized appreciation (depreciation) | (64,441,194) | |
Net gain (loss) | (73,056,178) | |
Net increase (decrease) in net assets resulting from operations | $(49,097,975) |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Year ended May 31, 2022 | Year ended May 31, 2021 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $23,958,203 | $28,802,287 |
Net realized gain (loss) | (8,614,984) | 455,658 |
Change in net unrealized appreciation (depreciation) | (64,441,194) | 10,941,667 |
Net increase (decrease) in net assets resulting from operations | (49,097,975) | 40,199,612 |
Distributions to shareholders | (23,902,105) | (29,155,326) |
Share transactions | ||
Proceeds from sales of shares | 1,479,201,995 | 3,198,122,199 |
Reinvestment of distributions | 5,311 | 11,827 |
Cost of shares redeemed | (2,236,352,971) | (1,188,111,043) |
Net increase (decrease) in net assets resulting from share transactions | (757,145,665) | 2,010,022,983 |
Total increase (decrease) in net assets | (830,145,745) | 2,021,067,269 |
Net Assets | ||
Beginning of period | 5,389,557,895 | 3,368,490,626 |
End of period | $4,559,412,150 | $5,389,557,895 |
Other Information | ||
Shares | ||
Sold | 147,957,299 | 318,386,661 |
Issued in reinvestment of distributions | 532 | 1,177 |
Redeemed | (224,667,170) | (118,260,585) |
Net increase (decrease) | (76,709,339) | 200,127,253 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Strategic Advisers Tax-Sensitive Short Duration Fund
Years ended May 31, | 2022 | 2021 | 2020 | 2019 | 2018 A |
Selected Per–Share Data | |||||
Net asset value, beginning of period | $10.05 | $10.02 | $10.03 | $9.99 | $10.00 |
Income from Investment Operations | |||||
Net investment income (loss)B,C | .044 | .067 | .159 | .174 | .053 |
Net realized and unrealized gain (loss) | (.130) | .034 | (.006) | .042 | (.014) |
Total from investment operations | (.086) | .101 | .153 | .216 | .039 |
Distributions from net investment income | (.044) | (.070) | (.159) | (.173) | (.049) |
Distributions from net realized gain | – | (.001) | (.004) | (.003) | – |
Total distributions | (.044) | (.071) | (.163) | (.176) | (.049) |
Net asset value, end of period | $9.92 | $10.05 | $10.02 | $10.03 | $9.99 |
Total ReturnD,E | (.85)% | 1.01% | 1.53% | 2.19% | .39% |
Ratios to Average Net AssetsC,F,G | |||||
Expenses before reductions | .32% | .33% | .34% | .37% | .52%H |
Expenses net of fee waivers, if any | .07% | .08% | .09% | .12% | .26%H,I |
Expenses net of all reductions | .07% | .08% | .09% | .12% | .26%H,I |
Net investment income (loss) | .44% | .66% | 1.59% | 1.74% | 1.28%H |
Supplemental Data | |||||
Net assets, end of period (000 omitted) | $4,559,412 | $5,389,558 | $3,368,491 | $3,415,877 | $3,219,118 |
Portfolio turnover rateJ | 53% | 86% | 81% | 57% | 180%K |
A For the period December 28, 2017 (commencement of operations) through May 31, 2018.
B Calculated based on average shares outstanding during the period.
C Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any such underlying funds is not included in the Fund's net investment income (loss) ratio.
D Total returns for periods of less than one year are not annualized.
E Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
F Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
H Annualized
I Audit fees are not annualized.
J Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
K Amount not annualized.
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements
For the period ended May 31, 2022
1. Organization.
Strategic Advisers Tax-Sensitive Short Duration Fund (the Fund) is a fund of Fidelity Rutland Square Trust II (the Trust), and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust. The Fund is offered exclusively to certain managed account clients of Strategic Advisers LLC (Strategic Advisers), an affiliate of Fidelity Management & Research Company LLC (FMR).
2. Significant Accounting Policies.
The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
- Level 1 – 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 vendors or from brokers who make markets in such securities. Municipal securities are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. If an unaffiliated open-end mutual fund's NAV is unavailable, shares of that fund may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and is categorized as Level 2 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of May 31, 2022 is included at the end of the Fund's Schedule of Investments.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Income and capital gain distributions from any underlying mutual funds or exchange-traded funds (ETFs) are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan) for certain Funds, certain independent Trustees have elected to defer receipt of a portion of their annual compensation. Deferred amounts are invested in affiliated mutual funds, are marked-to-market and remain in a fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees presented below are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, as applicable.
Strategic Advisers Tax-Sensitive Short Duration Fund | $4,929 |
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of May 31, 2022, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.
Distributions are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to the short-term gain distributions from the underlying funds, market discount, capital loss carryforwards and losses deferred due to wash sales and excise tax regulations.
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
Gross unrealized appreciation | $1,192,485 |
Gross unrealized depreciation | (47,753,271) |
Net unrealized appreciation (depreciation) | $(46,560,786) |
Tax Cost | $4,667,905,296 |
The tax-based components of distributable earnings as of period end were as follows:
Capital loss carryforward | $(8,948,246) |
Net unrealized appreciation (depreciation) on securities and other investments | $(46,560,786) |
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 | $(3,747,868) |
Long-term | (5,200,379) |
Total capital loss carryforward | $(8,948,246) |
The tax character of distributions paid was as follows:
May 31, 2022 | May 31, 2021 | |
Tax-exempt Income | $23,844,568 | $28,634,634 |
Ordinary Income | 57,537 | 57,416 |
Long-term Capital Gains | – | 463,276 |
Total | $23,902,105 | $ 29,155,326 |
Delayed Delivery Transactions and When-Issued Securities. During the period, certain Funds transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. Securities purchased on a delayed delivery or when-issued basis are identified as such in the Schedule of Investments. Compensation for interest forgone in the purchase of a delayed delivery or when-issued debt security may be received. With respect to purchase commitments, each applicable Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Payables and receivables associated with the purchases and sales of delayed delivery securities having the same coupon, settlement date and broker are offset. Delayed delivery or when-issued securities that have been purchased from and sold to different brokers are reflected as both payables and receivables in the Statement of Assets and Liabilities under the caption "Delayed delivery", as applicable. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
Restricted Securities (including Private Placements). Funds may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities held at period end is included at the end of the Schedule of Investments, if applicable.
3. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities and in-kind transactions, as applicable, are noted in the table below.
Purchases ($) | Sales ($) | |
Strategic Advisers Tax-Sensitive Short Duration Fund | 2,230,718,574 | 2,950,667,348 |
4. Fees and Other Transactions with Affiliates.
Management Fee. Strategic Advisers (the investment adviser) provides the Fund with investment management related services. For these services, the Fund pays a monthly management fee to the investment adviser. The management fee is calculated by adding the annual management fee rate of .25% of the Fund's average net assets throughout the month to the aggregate of the fee rates, payable monthly by the investment adviser, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed .55% of the Fund's average net assets. For the reporting period, the total annual management fee rate was .31% of the Fund's average net assets.
During the period, the investment adviser waived a portion of its management fee as described in the Expense Reductions note.
Sub-Advisers. FIAM LLC (an affiliate of the investment adviser), T. Rowe Price Associates, Inc. and Allspring Global Investments, LLC (formally known as Wells Capital Management, Inc.) each served as a sub-adviser for the Fund during the period. Sub-advisers provide discretionary investment advisory services for their allocated portion of the Fund's assets and are paid as described in the Management Fee note.
Interfund Trades. Funds may purchase from or sell securities to other funds affiliated with each sub-adviser under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. Interfund trades during the period are noted in the table below.
Purchases ($) | Sales ($) | Realized Gain (Loss) ($) | |
Strategic Advisers Tax-Sensitive Short Duration Fund | 54,000,000 | 45,007,000 | – |
Other. During the period, the investment adviser reimbursed the Fund for certain losses as follows:
Amount ($) | |
Strategic Advisers Tax-Sensitive Short Duration Fund | 1,830 |
5. Investments in Fidelity Central Funds.
Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.
Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense Ratio(a) |
Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |
(a) Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.
6. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below. During the period, there were no borrowings on this line of credit.
Amount | |
Strategic Advisers Tax-Sensitive Short Duration Fund | $8,986 |
7. Expense Reductions.
The investment adviser has contractually agreed to waive the Fund's management fee in an amount equal to .25% of the Fund's average net assets until September 30, 2024. During the period, this waiver reduced the Fund's management fee by $ 13,584,011.
8. Other.
A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.
Funds do not invest in underlying mutual funds for the purpose of exercising management or control; however, investments by funds within their principal investment strategies may represent a significant portion of the underlying mutual fund's net assets. At the end of the period, certain Funds were the owners of record of 10% or more of the total outstanding shares of the following underlying mutual funds as shown below.
Fund | Strategic Advisers Tax-Sensitive Short Duration Fund |
Fidelity SAI Municipal Money Market Fund | 100% |
9. Coronavirus (COVID-19) Pandemic.
An outbreak of COVID-19 first detected in China during December 2019 has since spread globally and was declared a pandemic by the World Health Organization during March 2020. Developments that disrupt global economies and financial markets, such as the COVID-19 pandemic, may magnify factors that affect the Fund's performance.
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Fidelity Rutland Square Trust II and Shareholders of Strategic Advisers Tax-Sensitive Short Duration Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Strategic Advisers Tax-Sensitive Short Duration Fund (one of the funds constituting Fidelity Rutland Square Trust II, referred to hereafter as the “Fund”) as of May 31, 2022, the related statement of operations for the year ended May 31, 2022, the statement of changes in net assets for each of the two years in the period ended May 31, 2022, including the related notes, and the financial highlights for each of the four years in the period ended May 31, 2022 and for the period December 28, 2017 (commencement of operations) through May 31, 2018 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of May 31, 2022, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended May 31, 2022 and the financial highlights for each of the four years in the period ended May 31, 2022 and for the period December 28, 2017 (commencement of operations) through May 31, 2018 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of May 31, 2022 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
Boston, Massachusetts
July 14, 2022
We have served as the auditor of one or more investment companies in the Fidelity group of funds since 1932.
Trustees and Officers
The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance. If the interests of the fund and an underlying Fidelity® fund were to diverge, a conflict of interest could arise and affect how the Trustees and Members of the Advisory Board fulfill their fiduciary duties to the affected funds. Strategic Advisers has structured the fund to avoid these potential conflicts, although there may be situations where a conflict of interest is unavoidable. In such instances, Strategic Advisers, the Trustees, and Members of the Advisory Board would take reasonable steps to minimize and, if possible, eliminate the conflict. Each of the Trustees oversees 13 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 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.
Each Trustee who is not an interested person (as defined in the 1940 Act) of the trust and the fund is referred to herein as an Independent Trustee.
The fund’s Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-3455.
Experience, Skills, Attributes, and Qualifications of the Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee may also engage professional search firms to help identify potential Independent Trustee candidates with experience, qualifications, attributes, and skills consistent with the Statement of Policy. Additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, may be considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.
In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.
Board Structure and Oversight Function. Kathleen Murphy is an interested person and currently serves as Chair. The Trustees have determined that an interested Chair is appropriate and benefits shareholders because an interested Chair has a personal and professional stake in the quality and continuity of services provided to the fund. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chair, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chair and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session. Mary C. Farrell serves as the lead Independent Trustee and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.
Fidelity® funds are overseen by different Boards of Trustees. The fund's Board oversees asset allocation funds. Other Boards oversee Fidelity's investment-grade bond, money market, and asset allocation funds, and Fidelity's equity and high income funds. The fund may invest in Fidelity® funds overseen by such other Boards. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity® funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues.
The Trustees primarily operate as a full Board, but also operate in committees, to facilitate the timely and efficient consideration of all matters of importance to the Trustees, the fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the fund's activities and associated risks. The Board has charged Strategic Advisers and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the fund's business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above. Because the day-to-day operations and activities of the fund are carried out by or through Strategic Advisers, its affiliates and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees. Board oversight of different aspects of the fund's activities is exercised primarily through the full Board, but also through the Audit and Compliance Committee. Appropriate personnel, including but not limited to the fund's Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the fund's Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate. The responsibilities of each standing committee, including their oversight responsibilities, are described further under "Standing Committees of the Trustees."
Interested Trustees*:
Correspondence intended for a Trustee who is an interested person may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Charles S. Morrison (1960)
Year of Election or Appointment: 2020
Trustee
Mr. Morrison also serves as Trustee of other funds. Previously, Mr. Morrison served as President (2017-2018) and Director (2014-2018) of Fidelity SelectCo, LLC (investment adviser firm), President of Fidelity Management & Research Company (FMR) (investment adviser firm, 2016-2018), a Director of Fidelity Investments Money Management, Inc. (investment adviser firm, 2014-2018), President, Asset Management (2014-2018), Trustee of the Fidelity Equity and High Income Funds (283 funds as of December 2018) (2014-2018), and was an employee of Fidelity Investments. Mr. Morrison also previously served as Vice President of Fidelity's Fixed Income and Asset Allocation Funds (2012-2014), President, Fixed Income (2011-2014), Vice President of Fidelity's Money Market Funds (2005-2009), President, Money Market Group Leader of FMR (2009), and Senior Vice President, Money Market Group of FMR (2004-2009). Mr. Morrison also served as Vice President of Fidelity's Bond Funds (2002-2005), certain Balanced Funds (2002-2005), and certain Asset Allocation Funds (2002-2007), and as Senior Vice President (2002-2005) of Fidelity's Bond Division.
Kathleen Murphy (1963)
Year of Election or Appointment: 2022
Trustee
Chair of the Board of Trustees
Ms. Murphy also serves as Trustee of other funds. Ms. Murphy serves as a Senior Adviser to the Chief Executive Officer of Fidelity Investments (2022-present), member of the Board of Directors of Snyk Technologies (cybersecurity technology, 2022-present), member of the Advisory Board of FliptRX (pharmacy benefits manager, 2022-present), member of the Board of Directors of Fidelity Investments Life Insurance Company (2009-present)), and member of the Board of Directors of Empire Fidelity Investments Life Insurance Company (2009-present). Previously, Ms. Murphy served as President of Personal Investing at Fidelity Investments (2009-2021), Chief Executive Officer of ING U.S. Wealth Management (2003-2008), and Deputy General Counsel, General Counsel and Chief Compliance Officer (1997-2003) of Aetna. Ms. Murphy also serves as Vice Chairman of the Board of Directors of the National Football Foundation (2013-present).
* Determined to be an "Interested Trustee" by virtue of, among other things, his or her affiliation with the trust or various entities under common control with Strategic Advisers.
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Independent Trustees:
Correspondence intended for an Independent Trustee may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Peter C. Aldrich (1944)
Year of Election or Appointment: 2006
Trustee
Mr. Aldrich also serves as Trustee of other funds. Mr. Aldrich is an independent Director of BLPF GP LLC (general partner of a private fund, 2006-present) and BlackRock US Core Property Fund, Inc. (real estate investment trust, 2006-present). Previously, Mr. Aldrich served as a Managing Member of Poseidon, LLC (foreign private investment, 1998-2004), and Chairman and Managing Member of AEGIS, LLC (foreign private investment, 1997-2004). Mr. Aldrich previously was a founder, Chief Executive Officer, and Chairman of AEW Capital Management, L.P. (then, Aldrich, Eastman and Waltch, L.P.). Mr. Aldrich also served as a Director of LivelyHood, Inc. (private corporation, 2013-2020), a Trustee for the Fidelity Rutland Square Trust (2005-2010), a Director of Zipcar, Inc. (car sharing services, 2001-2009) and as Faculty Chairman of The Research Council on Global Investment of The Conference Board (business and professional education non-profit, 1999-2004). Mr. Aldrich is a Member Emeritus of the Board of Directors of the National Bureau of Economic Research and the Board of Trustees of the Museum of Fine Arts Boston.
Mary C. Farrell (1949)
Year of Election or Appointment: 2013
Trustee
Ms. Farrell also serves as Trustee of other funds. Ms. Farrell is a Director of the W.R. Berkley Corporation (insurance provider) and Director (2006-present) and Chair (2021-present) of the Howard Gilman Foundation (charitable organization). Previously, Ms. Farrell was Managing Director and Chief Investment Strategist at UBS Wealth Management USA and Co-Head of UBS Wealth Management Investment Strategy & Research Group (2003-2005) and President (2009-2021) of the Howard Gilman Foundation (charitable organization). Ms. Farrell also served as Investment Strategist at PaineWebber (1982-2000) and UBS PaineWebber (2000-2002). Ms. Farrell serves as Chairman of the Board of Trustees of Yale-New Haven Hospital and Vice Chairman of the Yale New Haven Health System Board and previously served as Trustee on the Board of Overseers of the New York University Stern School of Business.
Karen Kaplan (1960)
Year of Election or Appointment: 2006
Trustee
Ms. Kaplan also serves as Trustee of other funds. Ms. Kaplan is Chair (2014-present) and Chief Executive Officer (2013-present) of Hill Holliday (advertising and specialized marketing). Ms. Kaplan is a Member of the Board of Governors of the Chief Executives’ Club of Boston (2010-present), Member of the Executive Committee and past Chair of the Greater Boston Chamber of Commerce (2006-present), Advisory Board Member of the National Association of Corporate Directors Chapter (2012-present), Member of the Board of Trustees of the Post Office Square Trust (2012-present), Trustee of the Brigham and Women’s Hospital (2016-present), Overseer of the Boston Symphony Orchestra (2014-present), Member of the Board of Directors of The Advertising Council, Inc. (2016-present), Member of the Ron Burton Training Village Executive Board of Advisors (2017-present), Member of the Executive Committee of The Ad Council, Inc. (2019-present), and Member of the Board of Directors of The Ad Club of Boston (2020-present). Previously, Ms. Kaplan served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010), Director of The Michaels Companies, Inc. (specialty retailer, 2015-2021), a member of the Clinton Global Initiative (2010-2015), Director of DSM (dba Delta Dental and DentaQuest) (2004-2014), Formal Appointee of the 2015 Baker-Polito Economic Development Council, Director of Vera Bradley Inc. (designer of women’s accessories, 2012-2015), Member of the Board of Directors of the Massachusetts Conference for Women (2008-2015), Member of the Board of Directors of Jobs for Massachusetts (2012-2015), President of the Massachusetts Women’s Forum (2008-2010), Treasurer of the Massachusetts Women’s Forum (2002-2006), and Vice Chair of the Board of the Massachusetts Society for the Prevention of Cruelty to Children (2003-2010).
Christine Marcks (1955)
Year of Election or Appointment: 2020
Trustee
Ms. Marcks also serves as Trustee of other Funds. Prior to her retirement, Ms. Marcks served as Chief Executive Officer and President – Prudential Retirement (2007-2017) and Vice President for Rollover and Retirement Income Strategies (2005-2007), Prudential Financial, Inc. (financial services). Previously, Ms. Marcks served as a Member of the Advisory Board of certain Fidelity® funds (2019-2020), was Senior Vice President and Head of Financial Horizons (2002-2004) and Vice President, Strategic Marketing (2000-2002) of Voya Financial (formerly ING U.S.) (financial services), held numerous positions at Aetna Financial Services (financial services, 1987-2000) and served as an International Economist for the United States Department of the Treasury (1980-1987). Ms. Marcks also serves as a member of the Board of Trustees, Audit Committee and Benefits & Operations Committee of the YMCA Retirement Fund (2018-present), a non-profit organization providing retirement plan benefits to YMCA staff members, and as a member of the Board of Trustees of Assumption College (2019-present).
Heidi L. Steiger (1953)
Year of Election or Appointment: 2017
Trustee
Ms. Steiger also serves as Trustee of other funds. Ms. Steiger serves as Managing Partner of Topridge Associates, LLC (consulting, 2005-present) and a member of the Board of Directors (2022-present) of Live Current Media, Inc. Previously, Ms. Steiger served as a member of the Board of Directors (2013-2021) and member of the Membership and Executive Committee (2017-2021) of Business Executives for National Security (nonprofit), a member of the Board of Directors Chair of the Remuneration Committee of Imagine Intelligent Materials Limited (2019-2021) (technology company), a member of the Advisory Board of the joint degree program in Global Luxury Management at North Carolina State University (Raleigh, NC) and Skema (Paris) (2018-2021), a Non-Executive Director of CrowdBureau Corporation (financial technology company and index provider, 2018-2021), a member of the Global Advisory Board and Of Counsel to Signum Global Advisors (international policy and strategy, 2018-2020), Eastern Region President of The Private Client Reserve of U.S. Bancorp (banking and financial services, 2010-2015), Advisory Director of Berkshire Capital Securities, LLC (financial services, 2009-2010), President and Senior Advisor of Lowenhaupt Global Advisors, LLC (financial services, 2005-2007), and President and Contributing Editor of Worth Magazine (2004-2005) and held a variety of positions at Neuberger Berman Group, LLC (financial services, 1986-2004), including Partner and Executive Vice President and Global Head of Private Asset Management at Neuberger Berman (1999-2004). Ms. Steiger also served as a member of the Board of Directors of Nuclear Electric Insurance Ltd (insurer of nuclear utilities, 2006-2017), a member of the Board of Trustees and Audit Committee of the Eaton Vance Funds (2007-2010), a member of the Board of Directors of Aviva USA (formerly AmerUs) (insurance, 2004-2014), and a member of the Board of Trustees and Audit Committee and Chair of the Investment Committee of CIFG (financial guaranty insurance, 2009-2012), and a member of the Board of Directors of Kin Group Plc (formerly, Fitbug Holdings) (health and technology, 2016-2017).
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Advisory Board Members and Officers:
Correspondence intended for a Member of the Advisory Board (if any) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235. Correspondence intended for an officer or Howard E. Cox, Jr. may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210. Officers appear below in alphabetical order.
Name, Year of Birth; Principal Occupation
Howard E. Cox, Jr. (1944)
Year of Election or Appointment: 2009
Member of the Advisory Board
Mr. Cox also serves as a Member of the Advisory Board of other funds. Mr. Cox is a Partner of Greylock (venture capital, 1971-present) and a Director of Stryker Corporation (medical products and services, 1974-present). Previously, Mr. Cox served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010). Mr. Cox also serves as a Member of the Secretary of Defense's Business Board of Directors (2008-present), a Director of Business Executives for National Security (1997-present), a Director of the Brookings Institution (2010-present), a Director of the World Economic Forum’s Young Global Leaders Foundation (2009-present), and is a Member of the Harvard Medical School Board of Fellows (2002-present).
Craig S. Brown (1977)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Brown also serves as an officer of other funds. Mr. Brown serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2013-present).
John J. Burke III (1964)
Year of Election or Appointment: 2018
Chief Financial Officer
Mr. Burke also serves as Chief Financial Officer of other funds. Mr. Burke serves as Head of Investment Operations for Fidelity Fund and Investment Operations (2018-present) and is an employee of Fidelity Investments (1998-present). Previously Mr. Burke served as head of Asset Management Investment Operations (2012-2018).
Jonathan Davis (1968)
Year of Election or Appointment: 2010
Assistant Treasurer
Mr. Davis also serves as an officer of other funds. Mr. Davis serves as Assistant Treasurer of FIMM, LLC (2021-present), FMR Capital, Inc. (2017-present), FD Funds GP LLC (2021-present), FD Funds Holding LLC (2021-present), and FD Funds Management LLC (2021-present); and is an employee of Fidelity Investments. Previously, Mr. Davis served as Vice President and Associate General Counsel of FMR LLC (diversified financial services company, 2003-2010).
Laura M. Del Prato (1964)
Year of Election or Appointment: 2018
Assistant Treasurer
Ms. Del Prato also serves as an officer of other funds. Ms. Del Prato serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2017-present). Previously, Ms. Del Prato served as President and Treasurer of The North Carolina Capital Management Trust: Cash Portfolio and Term Portfolio (2018-2020). Prior to joining Fidelity Investments, Ms. Del Prato served as a Managing Director and Treasurer of the JPMorgan Mutual Funds (2014-2017). Prior to JPMorgan, Ms. Del Prato served as a partner at Cohen Fund Audit Services (accounting firm, 2012-2013) and KPMG LLP (accounting firm, 2004-2012).
James D. Gryglewicz (1972)
Year of Election or Appointment: 2015
Chief Compliance Officer
Mr. Gryglewicz also serves as Chief Compliance Officer of other funds. Mr. Gryglewicz serves as Compliance Officer of Strategic Advisers LLC (investment adviser firm, 2015-present), Senior Vice President of Asset Management Compliance (2009-present), and is an employee of Fidelity Investments (2004-present). Previously, Mr. Gryglewicz served as Compliance Officer of Fidelity SelectCo, LLC (investment adviser firm, 2014-2019), and as Chief Compliance Officer of certain Fidelity® funds (2014-2018).
Colm A. Hogan (1973)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Hogan also serves as an officer of other funds. Mr. Hogan serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2005-present). Previously, Mr. Hogan served as Deputy Treasurer of certain Fidelity® funds (2016-2020) and Assistant Treasurer of certain Fidelity® funds (2016-2018).
Christina H. Lee (1975)
Year of Election or Appointment: 2020
Secretary and Chief Legal Officer
Ms. Lee also serves as Secretary and CLO of other funds. Ms. Lee serves as Vice President, Associate General Counsel (2014-present) and is an employee of Fidelity Investments (2007-present). Previously, Ms. Lee served as Assistant Secretary of certain funds (2018-2019).
Cynthia Lo Bessette (1969)
Year of Election or Appointment: 2020
Assistant Secretary
Ms. Lo Bessette also serves as an officer of other funds. Ms. Lo Bessette serves as CLO, Secretary, and Senior Vice President of Fidelity Management & Research Company LLC (investment adviser firm, 2019-present); CLO of Fidelity Management & Research (Hong Kong) Limited, FMR Investment Management (UK) Limited, and Fidelity Management & Research (Japan) Limited (investment adviser firms, 2019-present); Secretary of FD Funds GP LLC (2021-present), FD Funds Holding LLC (2021-present), and FD Funds Management LLC (2021-present); and Assistant Secretary of FIMM, LLC (2019-present). She is a Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company, 2019-present), and is an employee of Fidelity Investments. Previously, Ms. Lo Bessette served as CLO, Secretary, and Senior Vice President of FMR Co., Inc. (investment adviser firm, 2019); Secretary of Fidelity SelectCo, LLC and Fidelity Investments Money Management, Inc. (investment adviser firms, 2019). Prior to joining Fidelity Investments, Ms. Lo Bessette was Executive Vice President, General Counsel (2016-2019) and Senior Vice President, Deputy General Counsel (2015-2016) of OppenheimerFunds (investment management company) and Deputy Chief Legal Officer (2013-2015) of Jennison Associates LLC (investment adviser firm).
Chris Maher (1972)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Maher also serves as an officer of other funds. Mr. Maher serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present), and is an employee of Fidelity Investments (2008-present). Previously, Mr. Maher served as Assistant Treasurer of certain funds (2013-2020); Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010).
Brett Segaloff (1972)
Year of Election or Appointment: 2021
Anti-Money Laundering (AML) Officer
Mr. Segaloff also serves as an AML Officer of other funds and other related entities. He is Director, Anti-Money Laundering (2007-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments (1996-present).
Stacie M. Smith (1974)
Year of Election or Appointment: 2020
President and Treasurer
Ms. Smith also serves as an officer of other funds. Ms. Smith serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present), is an employee of Fidelity Investments (2009-present), and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (accounting firm, 1996-2009). Previously, Ms. Smith served as Assistant Treasurer (2013-2019) and Deputy Treasurer (2013-2016) of certain Fidelity® funds.
Jim Wegmann (1979)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Wegmann also serves as an officer of other funds. Mr. Wegmann serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2011-present). Previously, Mr. Wegmann served as Assistant Treasurer of certain Fidelity® funds (2019-2021).
Shareholder Expense Example
As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (December 1, 2021 to May 31, 2022).
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Annualized Expense Ratio-A | Beginning Account Value December 1, 2021 | Ending Account Value May 31, 2022 | Expenses Paid During Period-B December 1, 2021 to May 31, 2022 | |
Strategic Advisers Tax-Sensitive Short Duration Fund | .07% | |||
Actual | $1,000.00 | $991.50 | $.35 | |
Hypothetical-C | $1,000.00 | $1,024.58 | $.35 |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/ 365 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.
C 5% return per year before expenses
Distributions (Unaudited)
The dividend and capital gains distributions for the fund(s) are available on Fidelity.com or Institutional.Fidelity.com.
A total of 33.68% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.
During fiscal year ended 2022, 98.87% of the fund's income dividends was free from federal income tax, and 23.92% of the fund's income dividends was subject to the federal alternative minimum tax.
The fund will notify shareholders in January 2023 of amounts for use in preparing 2022 income tax returns.
Liquidity Risk Management Program
The Securities and Exchange Commission adopted Rule 22e-4 under the Investment Company Act of 1940 (the Liquidity Rule) to promote effective liquidity risk management throughout the open-end investment company industry, thereby reducing the risk that funds will be unable to meet their redemption obligations and mitigating dilution of the interests of fund shareholders.
The Fund has adopted and implemented a liquidity risk management program (the Program) reasonably designed to assess and manage the Fund’s liquidity risk and to comply with the requirements of the Liquidity Rule. The Fund’s Board of Trustees (the Board) has designated the Fund’s investment adviser as administrator of the Program. Strategic Advisers has established a Liquidity Risk Management Committee (the LRM Committee) to manage the Program for each of the Funds. The LRM Committee monitors the adequacy and effectiveness of implementation of the Program and on a periodic basis assesses each Fund’s liquidity risk based on a variety of factors including (1) the Fund’s investment strategy, (2) portfolio liquidity and cash flow projections during normal and reasonably foreseeable stressed conditions, (3) shareholder redemptions and (4) borrowings and other funding sources, as applicable.
In accordance with the Program, each of the Fund’s portfolio investments is classified into one of four liquidity categories described below based on a determination of a reasonable expectation for how long it would take to convert the investment to cash (or sell or dispose of the investment) without significantly changing its market value.
- Highly liquid investments – cash or convertible to cash within three business days or less
- Moderately liquid investments – convertible to cash in three to seven calendar days
- Less liquid investments – can be sold or disposed of, but not settled, within seven calendar days
- Illiquid investments – cannot be sold or disposed of within seven calendar days
Liquidity classification determinations take into account a variety of factors including various market, trading and investment-specific considerations, as well as market depth, and generally utilize analysis from a third-party liquidity metrics service.
The Liquidity Rule places a 15% limit on a fund’s illiquid investments and requires funds that do not primarily hold assets that are highly liquid investments to determine and maintain a minimum percentage of the fund’s net assets to be invested in highly liquid investments (highly liquid investment minimum or HLIM). The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments and for determining, periodically reviewing and complying with the HLIM requirement as applicable.
At a recent meeting of the Fund’s Board of Trustees, the LRM Committee provided a written report to the Board pertaining to the operation, adequacy, and effectiveness of implementation of the Program for the annual period from December 1, 2020 through November 30, 2021. The report concluded that the Program has been implemented and is operating effectively and is reasonably designed to assess and manage the Fund’s liquidity risk.
TSS-ANN-0722
1.9885904.104
Strategic Advisers® Fidelity® U.S. Total Stock Fund
Offered exclusively to certain managed account clients of Strategic Advisers LLC or its affiliates - not available for sale to the general public
May 31, 2022
Contents
To view a fund's proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
You may also call 1-800-544-3455 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2022 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
Note to Shareholders:
Early in 2020, the outbreak and spread of COVID-19 emerged as a public health emergency that had a major influence on financial markets, primarily based on its impact on the global economy and corporate earnings. On March 11, 2020, the World Health Organization declared the COVID-19 outbreak a pandemic, citing sustained risk of further global spread. The pandemic prompted a number of measures to limit the spread of COVID-19, including travel and border restrictions, quarantines, and restrictions on large gatherings. In turn, these resulted in lower consumer activity, diminished demand for a wide range of products and services, disruption in manufacturing and supply chains, and – given the wide variability in outcomes regarding the outbreak – significant market uncertainty and volatility. To help stem the turmoil, the U.S. government took unprecedented action – in concert with the U.S. Federal Reserve and central banks around the world – to help support consumers, businesses, and the broader economy, and to limit disruption to the financial system.
In general, the overall impact of the pandemic lessened in 2021, amid a resilient economy and widespread distribution of three COVID-19 vaccines granted emergency use authorization from the U.S. Food and Drug Administration (FDA) early in the year. Still, the situation remains dynamic, and the extent and duration of its influence on financial markets and the economy is highly uncertain, due in part to a recent spike in cases based on highly contagious variants of the coronavirus.
Extreme events such as the COVID-19 crisis are exogenous shocks that can have significant adverse effects on mutual funds and their investments. Although multiple asset classes may be affected by market disruption, the duration and impact may not be the same for all types of assets. Fidelity is committed to helping you stay informed amid news about COVID-19 and during increased market volatility, and we continue to take extra steps to be responsive to customer needs. We encourage you to visit us online, where we offer ongoing updates, commentary, and analysis on the markets and our funds.
Performance: The Bottom Line
Average annual total return reflects the change in the value of an investment, assuming reinvestment of distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year. The hypothetical investment and the average annual total returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund’s total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.
Average Annual Total Returns
For the periods ended May 31, 2022 | Past 1 year | Life of fundA |
Strategic Advisers® Fidelity® U.S. Total Stock Fund | (4.85)% | 11.06% |
A From March 20, 2018
$10,000 Over Life of Fund
Let's say hypothetically that $10,000 was invested in Strategic Advisers® Fidelity® U.S. Total Stock Fund on March 20, 2018, when the fund started.
The chart shows how the value of your investment would have changed, and also shows how the Dow Jones U.S. Total Stock Market Index℠ performed over the same period.
Period Ending Values | ||
$15,536 | Strategic Advisers® Fidelity® U.S. Total Stock Fund | |
$15,820 | Dow Jones U.S. Total Stock Market Index℠ |
Management's Discussion of Fund Performance
Market Recap: The S&P 500® index returned -0.30% for the 12 months ending May 31, 2022. Large-cap stocks retreated to begin the new year amid several notable headwinds that stoked volatility, uncertainty and anxiety. Chief among these was the U.S. Federal Reserve’s accelerated plan to hike interest rates and aggressively wind down its balance sheet to rein in historically high inflation. In addition, geopolitical unrest rose as Russia invaded Ukraine in late February and escalated its attack through period end. Other factors influencing stocks included surging commodity prices, rising bond yields, supply constraint and disruption, and the potential for variants of the coronavirus to upend the U.S. economy. Against this backdrop, the S&P 500® index returned -5.17% in January and -2.99% in February, falling on mixed corporate earnings, particularly among some highflying tech firms. In April, the index returned -8.72% amid clearer signals of the Fed’s intension to tighten monetary policy and angst about the economic toll of “zero-COVID” lockdowns in China. It was the largest monthly decline for the S&P 500® since March 2020. In early May, the Fed approved a rare half-percentage-point interest rate increase and announced plans to shrink its $9 trillion asset portfolio starting in June. For the full 12 months, the growth-oriented communication services (-21%) and consumer discretionary (-12%) sectors lagged most. In contrast, energy (+76%) rode a surge in commodity prices and led, followed by utilities (+18%).Comments from Portfolio Manager Barry Golden: For the fiscal year ending May 31, 2022, the Fund returned -4.85%, trailing the -3.99% result of the benchmark Dow Jones U.S. Total Stock Market Index. Amid shifting investor preferences for growth versus value stocks, and a narrowing of market leadership, the Fund struggled to keep pace with the benchmark, ultimately underperforming for the period as a whole. Within the portfolio, Fidelity® Growth Company Fund (-17%) was the primary relative detractor, as its aggressive-growth approach faced a stylistic headwind. Weak investment choices in the information technology and consumer discretionary sectors, as well as the biotechnology industry, weighed on its result. Fidelity® Contrafund (-11%) also worked against the broader Fund’s relative result. Specifically, a large position in social-media giant Meta Platforms (formerly Facebook) was part of the reason for its poor performance. The Small-Mid Cap Core strategy from sub-adviser FIAM® (-11%) underperformed the Fund’s large-cap benchmark and further weighed on relative performance. On the plus side, Fidelity® SAI U.S. Quality Index Fund (+2%), was the top relative contributor, benefiting from its quality-growth tilt along with overweighted exposure to technology stocks. The FIAM Value Discovery (+3%) sub-advised portfolio also contributed, as its quality value approach yielded solid picks in health care and financials. Fidelity SAI U.S. Value Index Fund (+4%) provided a further relative boost, aided by an overweighting in the energy sector. During the period, we added Fidelity® Blue Chip Growth Fund in order to increase the broader Fund’s exposure to large- and mega-cap growth stocks. We also funded two mandates from FIAM – Small Company and Small Cap Core – in addition to one from Geode, U.S. Small-Mid Cap Quality Focus, to increase the Fund's exposure to small- and mid-cap equities.The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
Investment Summary (Unaudited)
The information in the following tables is based on the direct investments of the Fund.Top Ten Stocks as of May 31, 2022
(excluding cash equivalents) | % of fund's net assets |
Fidelity SAI U.S. Quality Index Fund | 12.5 |
Fidelity Growth Company Fund | 8.3 |
Fidelity Contrafund | 6.2 |
Fidelity Magellan Fund | 5.5 |
Fidelity SAI U.S. Low Volatility Index Fund | 5.0 |
Fidelity Large Cap Value Enhanced Index Fund | 4.7 |
Fidelity SAI U.S. Momentum Index Fund | 3.9 |
Fidelity SAI U.S. Value Index Fund | 3.5 |
Fidelity SAI U.S. Large Cap Index Fund | 1.8 |
Microsoft Corp. | 1.7 |
53.1 |
Asset Allocation (% of fund's net assets)
As of May 31, 2022 | ||
Common Stocks | 44.6% | |
Preferred Stocks | 0.2% | |
Large Blend Funds | 6.8% | |
Large Growth Funds | 37.4% | |
Large Value Funds | 8.2% | |
Small Blend Funds | 0.9% | |
Small Growth Funds | 0.9% | |
Short-Term Investments and Net Other Assets (Liabilities) | 1.0% |
Asset allocations of funds in the pie chart reflect the categorizations of assets as defined by Morningstar as of the reporting date.
Schedule of Investments May 31, 2022
Showing Percentage of Net Assets
Common Stocks - 44.6% | |||
Shares | Value | ||
COMMUNICATION SERVICES - 3.3% | |||
Diversified Telecommunication Services - 0.3% | |||
AT&T, Inc. | 710,600 | $15,128,674 | |
Cellnex Telecom SA (a) | 171,500 | 7,739,654 | |
Cogent Communications Group, Inc. | 32,150 | 1,941,539 | |
EchoStar Holding Corp. Class A (b)(c) | 42,430 | 1,019,593 | |
Liberty Global PLC Class C (b) | 709,000 | 18,015,690 | |
Verizon Communications, Inc. | 2,801,309 | 143,679,139 | |
187,524,289 | |||
Entertainment - 0.5% | |||
Activision Blizzard, Inc. | 1,395,544 | 108,684,967 | |
Cinemark Holdings, Inc. (b)(c) | 368,000 | 6,248,640 | |
IMAX Corp. (b) | 590,710 | 10,231,097 | |
International Games Systems Co. Ltd. | 162,000 | 4,173,823 | |
Netflix, Inc. (b) | 152,400 | 30,089,856 | |
Nintendo Co. Ltd. ADR | 235,283 | 13,081,735 | |
Sciplay Corp. (A Shares) (b) | 26,736 | 381,255 | |
Sea Ltd. ADR (b) | 191,700 | 15,845,922 | |
Take-Two Interactive Software, Inc. (b) | 123,998 | 15,441,471 | |
The Walt Disney Co. (b) | 859,922 | 94,969,786 | |
Universal Music Group NV | 1,507,183 | 33,800,778 | |
Universal Music Group NV rights (b)(d) | 1,507,183 | 323,607 | |
Warner Bros Discovery, Inc. (b) | 497,658 | 9,181,790 | |
342,454,727 | |||
Interactive Media & Services - 1.6% | |||
Alphabet, Inc.: | |||
Class A (b) | 257,792 | 586,538,670 | |
Class C (b) | 75,382 | 171,929,758 | |
Dip Corp. | 93,300 | 2,728,664 | |
Match Group, Inc. (b) | 30,600 | 2,410,668 | |
Meta Platforms, Inc. Class A (b) | 1,496,300 | 289,743,532 | |
Moneysupermarket.com Group PLC | 315,300 | 739,393 | |
QuinStreet, Inc. (b) | 58,820 | 647,020 | |
Snap, Inc. Class A (b) | 1,681,400 | 23,724,554 | |
Tongdao Liepin Group (b) | 1,136,303 | 1,737,643 | |
Twitter, Inc. (b) | 248,200 | 9,828,720 | |
Ziff Davis, Inc. (b) | 124,505 | 9,504,712 | |
ZIGExN Co. Ltd. | 938,100 | 2,710,787 | |
1,102,244,121 | |||
Media - 0.8% | |||
Altice U.S.A., Inc. Class A (b) | 493,200 | 5,612,616 | |
Comcast Corp. Class A | 8,596,701 | 380,661,920 | |
Corus Entertainment, Inc. Class B (non-vtg.) (c) | 43,000 | 151,963 | |
iHeartMedia, Inc. (b) | 1,313,274 | 15,496,633 | |
Interpublic Group of Companies, Inc. | 2,368,325 | 76,331,115 | |
Liberty Broadband Corp. Class C (b) | 159,100 | 19,914,547 | |
Loyalty Ventures, Inc. (b) | 21,712 | 230,147 | |
News Corp. Class A | 1,078,200 | 18,760,680 | |
Nexstar Broadcasting Group, Inc. Class A | 56,800 | 9,952,496 | |
Pico Far East Holdings Ltd. | 1,000,000 | 138,903 | |
Sirius XM Holdings, Inc. (c) | 232,556 | 1,488,358 | |
TechTarget, Inc. (b)(c) | 262,620 | 18,669,656 | |
The New York Times Co. Class A | 546,800 | 18,859,132 | |
Thryv Holdings, Inc. (b)(c) | 234,560 | 6,143,126 | |
Trenders, Inc. | 71,100 | 753,334 | |
WPP PLC | 814,300 | 9,453,598 | |
582,618,224 | |||
Wireless Telecommunication Services - 0.1% | |||
T-Mobile U.S., Inc. (b) | 478,275 | 63,749,275 | |
TOTAL COMMUNICATION SERVICES | 2,278,590,636 | ||
CONSUMER DISCRETIONARY - 3.7% | |||
Auto Components - 0.2% | |||
Adient PLC (b) | 1,101,720 | 38,989,871 | |
Akwel | 5,700 | 113,206 | |
Autoliv, Inc. | 81,186 | 6,501,375 | |
BorgWarner, Inc. | 811,238 | 32,709,116 | |
Cie Automotive SA | 186,000 | 4,752,391 | |
DaikyoNishikawa Corp. | 604,000 | 2,275,527 | |
Eagle Industry Co. Ltd. | 21,100 | 165,542 | |
G-Tekt Corp. | 511,700 | 5,083,810 | |
Gentex Corp. | 321,714 | 9,998,871 | |
Gentherm, Inc. (b) | 36,207 | 2,496,111 | |
Hi-Lex Corp. | 105,500 | 947,357 | |
Lear Corp. | 283,556 | 39,970,054 | |
Murakami Corp. | 19,800 | 347,598 | |
Patrick Industries, Inc. (c) | 132,690 | 7,975,996 | |
Plastic Omnium SA | 103,600 | 1,938,561 | |
Topre Corp. | 189,400 | 1,510,963 | |
TPR Co. Ltd. | 168,600 | 1,643,632 | |
157,419,981 | |||
Automobiles - 0.2% | |||
Ferrari NV | 49,500 | 9,651,015 | |
General Motors Co. (b) | 153,246 | 5,927,555 | |
Tesla, Inc. (b) | 203,700 | 154,457,562 | |
170,036,132 | |||
Distributors - 0.1% | |||
Arata Corp. | 71,900 | 2,242,424 | |
Funko, Inc. (b) | 28,326 | 577,001 | |
Harima-Kyowa Co. Ltd. | 25,100 | 319,953 | |
LKQ Corp. | 757,302 | 38,917,750 | |
Yagi & Co. Ltd. | 21,545 | 184,597 | |
42,241,725 | |||
Diversified Consumer Services - 0.2% | |||
Adtalem Global Education, Inc. (b)(c) | 282,754 | 9,223,435 | |
Carriage Services, Inc. | 16,511 | 666,549 | |
Grand Canyon Education, Inc. (b) | 43,665 | 3,893,608 | |
H&R Block, Inc. | 1,974,900 | 69,595,476 | |
Heian Ceremony Service Co. Ltd. | 130,000 | 790,694 | |
Laureate Education, Inc. Class A | 223,310 | 2,842,736 | |
MegaStudy Co. Ltd. | 21,694 | 208,661 | |
Multicampus Co. Ltd. | 21,428 | 759,733 | |
OneSpaWorld Holdings Ltd. (b) | 123,560 | 1,161,464 | |
Perdoceo Education Corp. (b) | 76,388 | 833,393 | |
Service Corp. International | 179,689 | 12,583,621 | |
Terminix Global Holdings, Inc. (b) | 132,005 | 5,730,337 | |
WW International, Inc. (b) | 57,985 | 411,114 | |
108,700,821 | |||
Hotels, Restaurants & Leisure - 0.8% | |||
ARAMARK Holdings Corp. | 1,050,600 | 36,214,182 | |
Betsson AB (b) | 166,700 | 33,559 | |
Betsson AB (B Shares) | 166,700 | 1,140,243 | |
Booking Holdings, Inc. (b) | 51,667 | 115,918,015 | |
Brinker International, Inc. (b) | 532,100 | 16,149,235 | |
Caesars Entertainment, Inc. (b) | 680,161 | 34,123,677 | |
Churchill Downs, Inc. | 155,600 | 31,498,108 | |
Compass Group PLC | 790,900 | 17,729,088 | |
Domino's Pizza, Inc. | 138,600 | 50,335,362 | |
El Pollo Loco Holdings, Inc. (b)(c) | 93,820 | 971,975 | |
Everi Holdings, Inc. (b) | 145,163 | 2,598,418 | |
Expedia, Inc. (b) | 120,066 | 15,528,136 | |
Golden Entertainment, Inc. (b)(c) | 26,340 | 1,245,355 | |
Jack in the Box, Inc. (c) | 46,090 | 3,147,947 | |
Las Vegas Sands Corp. (b) | 387,500 | 13,740,750 | |
Marriott International, Inc. Class A | 424,100 | 72,767,078 | |
Marriott Vacations Worldwide Corp. (c) | 12,190 | 1,800,707 | |
McDonald's Corp. | 132,600 | 33,443,046 | |
NeoGames SA (b) | 135,860 | 1,783,842 | |
Noodles & Co. (b)(c) | 95,516 | 630,406 | |
Planet Fitness, Inc. (b) | 336,400 | 23,672,468 | |
Ruth's Hospitality Group, Inc. (c) | 338,660 | 6,241,504 | |
Starbucks Corp. | 83,802 | 6,578,457 | |
Wingstop, Inc. | 32,499 | 2,588,870 | |
Wyndham Hotels & Resorts, Inc. | 520,448 | 41,703,498 | |
531,583,926 | |||
Household Durables - 0.3% | |||
Cavco Industries, Inc. (b) | 9,299 | 2,065,866 | |
Cuckoo Holdings Co. Ltd. | 40,045 | 576,945 | |
D.R. Horton, Inc. | 104,500 | 7,853,175 | |
Ethan Allen Interiors, Inc. (c) | 23,945 | 556,961 | |
FJ Next Co. Ltd. | 112,000 | 926,555 | |
Helen of Troy Ltd. (b)(c) | 96,900 | 17,944,911 | |
Lennar Corp. Class A | 431,400 | 34,619,850 | |
Mohawk Industries, Inc. (b) | 303,840 | 42,981,206 | |
Pressance Corp. | 305,900 | 3,607,070 | |
PulteGroup, Inc. | 1,044,000 | 47,251,440 | |
Skyline Champion Corp. (b) | 57,556 | 3,057,950 | |
Sony Group Corp. sponsored ADR | 103,900 | 9,773,873 | |
Taylor Morrison Home Corp. (b) | 42,970 | 1,244,841 | |
Tempur Sealy International, Inc. (c) | 695,920 | 18,351,410 | |
Toll Brothers, Inc. | 124,666 | 6,291,893 | |
TopBuild Corp. (b) | 91,867 | 18,121,684 | |
TRI Pointe Homes, Inc. (b) | 50,050 | 1,054,554 | |
Whirlpool Corp. (c) | 55,352 | 10,198,052 | |
226,478,236 | |||
Internet & Direct Marketing Retail - 0.7% | |||
Amazon.com, Inc. (b) | 163,100 | 392,123,389 | |
ASKUL Corp. (c) | 155,600 | 1,752,593 | |
eBay, Inc. | 1,141,800 | 55,571,406 | |
Farfetch Ltd. Class A (b) | 307,800 | 2,760,966 | |
PetMed Express, Inc. (c) | 22,820 | 502,725 | |
Revolve Group, Inc. (b) | 43,021 | 1,263,957 | |
Shutterstock, Inc. (c) | 25,307 | 1,523,481 | |
455,498,517 | |||
Leisure Products - 0.0% | |||
Clarus Corp. (c) | 33,180 | 726,974 | |
Malibu Boats, Inc. Class A (b) | 22,707 | 1,330,630 | |
Sturm, Ruger & Co., Inc. (c) | 19,174 | 1,301,723 | |
YETI Holdings, Inc. (b) | 95,495 | 4,368,896 | |
7,728,223 | |||
Multiline Retail - 0.2% | |||
Big Lots, Inc. (c) | 164,113 | 4,019,127 | |
Dillard's, Inc. Class A (c) | 4,710 | 1,419,971 | |
Dollar General Corp. | 528,700 | 116,493,758 | |
Europris ASA (a) | 441,081 | 2,273,019 | |
Max Stock Ltd. | 99,100 | 195,011 | |
Next PLC | 59,313 | 4,841,677 | |
Nordstrom, Inc. (c) | 896,418 | 23,692,328 | |
Ollie's Bargain Outlet Holdings, Inc. (b) | 6,430 | 302,017 | |
Target Corp. | 4,500 | 728,460 | |
153,965,368 | |||
Specialty Retail - 0.8% | |||
Academy Sports & Outdoors, Inc. | 186,401 | 6,246,298 | |
Advance Auto Parts, Inc. (c) | 28,558 | 5,422,022 | |
America's Car Mart, Inc. (b)(c) | 5,180 | 561,512 | |
American Eagle Outfitters, Inc. (c) | 77,580 | 939,494 | |
Arcland Sakamoto Co. Ltd. | 100,000 | 1,151,202 | |
Asbury Automotive Group, Inc. (b) | 25,209 | 4,566,610 | |
AutoNation, Inc. (b) | 43,561 | 5,208,153 | |
Burlington Stores, Inc. (b) | 240,500 | 40,476,150 | |
Dick's Sporting Goods, Inc. | 118,388 | 9,616,657 | |
Five Below, Inc. (b) | 130,800 | 17,081,172 | |
Foot Locker, Inc. | 185,407 | 6,114,723 | |
Group 1 Automotive, Inc. | 19,723 | 3,542,054 | |
Haverty Furniture Companies, Inc. (c) | 16,212 | 458,151 | |
Industria de Diseno Textil SA (c) | 907,700 | 21,879,932 | |
JD Sports Fashion PLC | 3,388,494 | 5,236,960 | |
Lithia Motors, Inc. Class A (sub. vtg.) | 3,860 | 1,175,254 | |
Lookers PLC | 459,428 | 405,248 | |
Lowe's Companies, Inc. | 934,308 | 182,470,352 | |
Maisons du Monde SA (a) | 400,100 | 5,274,596 | |
Penske Automotive Group, Inc. | 33,271 | 3,830,823 | |
Pets At Home Group PLC | 1,341,200 | 5,864,460 | |
Rent-A-Center, Inc. | 40,380 | 1,112,065 | |
Ross Stores, Inc. | 486,600 | 41,370,732 | |
Sally Beauty Holdings, Inc. (b)(c) | 1,009,800 | 15,308,568 | |
Samse SA | 2,800 | 613,212 | |
Signet Jewelers Ltd. (c) | 57,811 | 3,445,536 | |
The Buckle, Inc. | 32,004 | 1,051,651 | |
The Children's Place, Inc. (b) | 16,760 | 795,765 | |
The Container Store Group, Inc. (b)(c) | 99,830 | 768,691 | |
The Home Depot, Inc. | 197,600 | 59,823,400 | |
The Hour Glass Ltd. | 1,760,100 | 3,044,733 | |
TJX Companies, Inc. | 857,800 | 54,530,346 | |
Williams-Sonoma, Inc. (c) | 152,130 | 19,460,470 | |
Winmark Corp. | 3,319 | 656,498 | |
529,503,490 | |||
Textiles, Apparel & Luxury Goods - 0.2% | |||
Capri Holdings Ltd. (b) | 124,600 | 6,073,004 | |
Crocs, Inc. (b) | 103,510 | 5,771,718 | |
Deckers Outdoor Corp. (b) | 10,945 | 2,939,389 | |
Embry Holdings Ltd. | 190,000 | 20,581 | |
Kontoor Brands, Inc. | 302,676 | 12,128,227 | |
NIKE, Inc. Class B | 209,100 | 24,851,535 | |
PVH Corp. | 577,200 | 40,906,164 | |
Rocky Brands, Inc. (c) | 102,867 | 3,852,369 | |
Sitoy Group Holdings Ltd. | 2,572,000 | 149,131 | |
Skechers U.S.A., Inc. Class A (sub. vtg.) (b)(c) | 77,910 | 3,069,654 | |
Steven Madden Ltd. | 44,940 | 1,670,869 | |
Tapestry, Inc. | 1,386,400 | 47,830,800 | |
Wolverine World Wide, Inc. | 90,650 | 1,934,471 | |
151,197,912 | |||
TOTAL CONSUMER DISCRETIONARY | 2,534,354,331 | ||
CONSUMER STAPLES - 2.8% | |||
Beverages - 0.7% | |||
Coca-Cola European Partners PLC | 716,200 | 38,051,706 | |
Constellation Brands, Inc. Class A (sub. vtg.) | 325,000 | 79,777,750 | |
Diageo PLC sponsored ADR | 202,405 | 37,843,663 | |
Keurig Dr. Pepper, Inc. | 548,500 | 19,054,890 | |
Monster Beverage Corp. (b) | 855,700 | 76,259,984 | |
National Beverage Corp. (c) | 25,421 | 1,261,644 | |
Primo Water Corp. | 85,920 | 1,230,374 | |
The Coca-Cola Co. | 3,934,886 | 249,393,075 | |
Yantai Changyu Pioneer Wine Co. Ltd. (B Shares) | 273,321 | 406,122 | |
503,279,208 | |||
Food & Staples Retailing - 0.6% | |||
Alimentation Couche-Tard, Inc. Class A (multi-vtg.) | 204,200 | 9,278,076 | |
Amsterdam Commodities NV | 40,700 | 1,042,090 | |
Belc Co. Ltd. | 10,400 | 423,319 | |
BJ's Wholesale Club Holdings, Inc. (b) | 348,681 | 20,178,169 | |
Costco Wholesale Corp. | 8,200 | 3,823,004 | |
G-7 Holdings, Inc. | 366,200 | 4,047,870 | |
Grocery Outlet Holding Corp. (b)(c) | 66,920 | 2,559,690 | |
Ingles Markets, Inc. Class A | 15,540 | 1,383,992 | |
Natural Grocers by Vitamin Cottage, Inc. | 50,000 | 883,000 | |
OM2 Network Co. Ltd. | 29,800 | 255,558 | |
Performance Food Group Co. (b) | 893,689 | 38,732,481 | |
PriceSmart, Inc. | 26,214 | 2,061,207 | |
Satoh & Co. Ltd. | 12,300 | 117,903 | |
Sprouts Farmers Market LLC (b) | 948,810 | 25,703,263 | |
Sysco Corp. | 1,602,855 | 134,928,334 | |
U.S. Foods Holding Corp. (b) | 2,851,665 | 94,447,145 | |
Walgreens Boots Alliance, Inc. | 662,330 | 29,029,924 | |
Walmart, Inc. | 111,700 | 14,367,971 | |
Weis Markets, Inc. | 17,878 | 1,314,391 | |
YAKUODO Holdings Co. Ltd. | 40,300 | 618,579 | |
385,195,966 | |||
Food Products - 0.4% | |||
Armanino Foods of Distinction | 10,000 | 34,400 | |
Axyz Co. Ltd. | 7,100 | 183,105 | |
Bunge Ltd. | 777,300 | 91,970,136 | |
Darling Ingredients, Inc. (b)(c) | 27,480 | 2,200,324 | |
Delsole Corp. | 38,000 | 138,144 | |
Flowers Foods, Inc. | 216,517 | 5,975,869 | |
Freshpet, Inc. (b) | 286,200 | 20,597,814 | |
Ingredion, Inc. | 72,498 | 6,864,836 | |
J&J Snack Foods Corp. | 16,202 | 2,077,420 | |
John B. Sanfilippo & Son, Inc. | 9,667 | 738,365 | |
Kaneko Seeds Co. Ltd. | 58,100 | 815,074 | |
Lamb Weston Holdings, Inc. | 132,100 | 8,927,318 | |
Lancaster Colony Corp. | 21,598 | 2,632,796 | |
LDC SA | 10,059 | 1,012,931 | |
Local Bounti Corp. (b)(c) | 425,947 | 2,312,892 | |
Lotte Samkang Co. Ltd. | 1,500 | 382,722 | |
Mondelez International, Inc. | 1,660,200 | 105,522,312 | |
Pickles Corp. | 100,000 | 1,030,800 | |
S Foods, Inc. | 200,000 | 4,691,809 | |
Sunjuice Holdings Co. Ltd. | 30,000 | 293,613 | |
SunOpta, Inc. (b) | 104,360 | 811,921 | |
Tootsie Roll Industries, Inc. | 19,423 | 642,319 | |
Toyo Sugar Refining Co. Ltd. | 35,800 | 264,464 | |
Tyson Foods, Inc. Class A | 511,857 | 45,867,506 | |
Whole Earth Brands, Inc. Class A (b)(c) | 360,270 | 2,464,247 | |
308,453,137 | |||
Household Products - 0.7% | |||
Central Garden & Pet Co. Class A (non-vtg.) (b) | 9,110 | 385,626 | |
Colgate-Palmolive Co. | 3,000 | 236,430 | |
Procter & Gamble Co. | 2,060,200 | 304,662,376 | |
Reckitt Benckiser Group PLC | 543,700 | 41,969,049 | |
Spectrum Brands Holdings, Inc. | 864,643 | 75,863,777 | |
The Clorox Co. | 250,600 | 36,427,216 | |
Transaction Co. Ltd. | 49,100 | 418,781 | |
WD-40 Co. (c) | 14,937 | 2,819,956 | |
462,783,211 | |||
Personal Products - 0.2% | |||
Estee Lauder Companies, Inc. Class A | 361,600 | 92,081,440 | |
Hengan International Group Co. Ltd. | 403,500 | 2,002,794 | |
Herbalife Nutrition Ltd. (b) | 107,519 | 2,342,839 | |
MediFast, Inc. | 12,657 | 2,110,555 | |
Nu Skin Enterprises, Inc. Class A (c) | 54,288 | 2,532,535 | |
The Beauty Health Co. (b)(c) | 663,361 | 9,466,161 | |
Unilever PLC sponsored ADR | 398,900 | 19,278,837 | |
USANA Health Sciences, Inc. (b) | 12,724 | 894,879 | |
130,710,040 | |||
Tobacco - 0.2% | |||
Altria Group, Inc. | 1,921,381 | 103,927,498 | |
KT&G Corp. | 40,099 | 2,743,379 | |
Swedish Match Co. AB | 1,910,900 | 19,750,309 | |
Vector Group Ltd. | 142,592 | 1,755,308 | |
128,176,494 | |||
TOTAL CONSUMER STAPLES | 1,918,598,056 | ||
ENERGY - 3.3% | |||
Energy Equipment & Services - 0.1% | |||
Baker Hughes Co. Class A | 149,500 | 5,379,010 | |
Cactus, Inc.(c) | 39,270 | 2,058,533 | |
Halliburton Co. | 702,200 | 28,439,100 | |
Liberty Oilfield Services, Inc. Class A (b) | 529,009 | 8,606,976 | |
Natural Gas Services Group, Inc. (b) | 175,876 | 2,506,233 | |
Oceaneering International, Inc. (b) | 89,310 | 1,136,023 | |
Schlumberger Ltd. | 281,300 | 12,928,548 | |
TechnipFMC PLC (b)(c) | 167,060 | 1,376,574 | |
U.S. Silica Holdings, Inc. (b) | 228,400 | 4,038,112 | |
Weatherford International PLC (b) | 107,000 | 3,620,880 | |
70,089,989 | |||
Oil, Gas & Consumable Fuels - 3.2% | |||
Antero Resources Corp. (b) | 2,244,080 | 96,226,150 | |
APA Corp. | 1,201,800 | 56,496,618 | |
Baytex Energy Corp. (b)(c) | 1,927,300 | 10,620,454 | |
Bonterra Energy Corp. (b) | 94,700 | 923,902 | |
Canadian Natural Resources Ltd. | 920,400 | 60,913,693 | |
Cenovus Energy, Inc.: | |||
warrants 1/1/26 (b) | 117,180 | 2,114,122 | |
(Canada) | 5,265,454 | 122,056,458 | |
Civitas Resources, Inc. | 95,065 | 7,258,213 | |
CNX Resources Corp. (b)(c) | 708,800 | 15,395,136 | |
Delek U.S. Holdings, Inc. (b) | 125,500 | 3,659,580 | |
Diamondback Energy, Inc. | 413,000 | 62,784,260 | |
Enterprise Products Partners LP | 400,000 | 10,968,000 | |
EQT Corp. | 845,000 | 40,323,400 | |
Exxon Mobil Corp. | 9,775,545 | 938,452,320 | |
Frontline Ltd. (NY Shares) (b)(c) | 10,000 | 96,800 | |
Genesis Energy LP | 1,093,900 | 13,389,336 | |
Harbour Energy PLC | 1,910,561 | 9,249,607 | |
Hess Corp. | 1,645,463 | 202,507,131 | |
Imperial Oil Ltd. | 898,700 | 49,224,759 | |
Kosmos Energy Ltd. (b) | 8,535,827 | 66,067,301 | |
Magnolia Oil & Gas Corp. Class A | 2,790,410 | 77,043,220 | |
Marathon Oil Corp. | 905,000 | 28,444,150 | |
MEG Energy Corp. (b) | 2,685,525 | 46,858,945 | |
Motor Oil (HELLAS) Corinth Refineries SA | 44,600 | 783,801 | |
Murphy Oil Corp. | 300,000 | 12,726,000 | |
National Energy Services Reunited Corp. (b) | 376,000 | 2,804,960 | |
Northern Oil & Gas, Inc. | 26,680 | 872,169 | |
Oil & Natural Gas Corp. Ltd. | 3,097,600 | 6,037,681 | |
Ovintiv, Inc. | 150,220 | 8,410,818 | |
Parex Resources, Inc. | 1,738,700 | 38,503,370 | |
PDC Energy, Inc. | 80,540 | 6,373,936 | |
Phillips 66 Co. | 403,968 | 40,724,014 | |
Range Resources Corp. (b) | 256,050 | 8,692,898 | |
Sinopec Kantons Holdings Ltd. | 2,606,000 | 890,009 | |
Southwestern Energy Co. (b) | 2,626,884 | 23,957,182 | |
Star Petroleum Refining PCL (For. Reg.) | 2,366,800 | 848,550 | |
TotalEnergies SE sponsored ADR | 235,420 | 13,842,696 | |
Tourmaline Oil Corp. | 1,225,700 | 75,663,245 | |
Unit Corp. warrants 9/3/27 (b)(c) | 55,938 | 900,602 | |
Valero Energy Corp. | 282,000 | 36,547,200 | |
Whiting Petroleum Corp. | 220,311 | 19,488,711 | |
Whiting Petroleum Corp.: | |||
warrants 9/1/24 (b) | 1,220 | 29,207 | |
warrants 9/1/25 (b) | 610 | 10,272 | |
2,219,180,876 | |||
TOTAL ENERGY | 2,289,270,865 | ||
FINANCIALS - 6.9% | |||
Banks - 3.4% | |||
Arrow Financial Corp. (c) | 70,000 | 2,319,100 | |
Associated Banc-Corp. | 3,429,015 | 70,980,611 | |
Bank of America Corp. | 13,028,056 | 484,643,683 | |
Bank OZK (c) | 124,290 | 5,154,306 | |
Bank7 Corp. | 10,000 | 244,100 | |
BankUnited, Inc. | 1,168,038 | 48,660,463 | |
BNP Paribas SA (c) | 183,527 | 10,504,280 | |
Byline Bancorp, Inc. | 45,400 | 1,134,092 | |
Cadence Bank (c) | 202,680 | 5,417,636 | |
Camden National Corp. | 25,430 | 1,125,532 | |
Chesapeake Financial Shares, Inc. | 5,000 | 138,050 | |
Citizens Financial Group, Inc. | 255,372 | 10,567,293 | |
Citizens Financial Services, Inc. | 5,010 | 330,660 | |
CNB Financial Corp., Pennsylvania (c) | 125,000 | 3,141,250 | |
Comerica, Inc. | 137,372 | 11,430,724 | |
Credit Agricole Atlantique Vendee | 3,600 | 335,656 | |
Cullen/Frost Bankers, Inc. (c) | 134,600 | 16,822,308 | |
Customers Bancorp, Inc. (b) | 32,491 | 1,341,878 | |
Eagle Bancorp, Inc. | 65,600 | 3,251,136 | |
Embassy Bancorp, Inc. | 5,000 | 95,550 | |
Enterprise Bancorp, Inc. | 5,000 | 168,850 | |
Eurobank Ergasias Services and Holdings SA (b) | 8,723,411 | 9,760,323 | |
First Bancorp, Puerto Rico | 327,600 | 4,891,068 | |
First Foundation, Inc. (c) | 255,930 | 5,771,222 | |
First Horizon National Corp. | 1,382,670 | 31,566,356 | |
First Northwest Bancorp | 135,440 | 2,333,631 | |
First of Long Island Corp. | 48,500 | 922,470 | |
Five Star Bancorp | 6,756 | 175,859 | |
FNB Corp., Pennsylvania | 577,700 | 7,019,055 | |
Great Southern Bancorp, Inc. (c) | 70,000 | 4,154,500 | |
Hanmi Financial Corp. | 98,242 | 2,292,968 | |
Hirogin Holdings, Inc. | 29,000 | 136,288 | |
Independent Bank Corp. | 53,820 | 1,066,174 | |
JPMorgan Chase & Co. | 1,933,184 | 255,624,920 | |
M&T Bank Corp. | 641,632 | 115,474,511 | |
Meta Financial Group, Inc. | 34,508 | 1,434,498 | |
Nicolet Bankshares, Inc. (b)(c) | 30,000 | 2,395,800 | |
Orrstown Financial Services, Inc. | 57,010 | 1,401,306 | |
PacWest Bancorp | 1,443,899 | 45,598,330 | |
Piraeus Financial Holdings SA (b) | 3,013,900 | 3,817,975 | |
Plumas Bancorp | 145,000 | 4,219,500 | |
PNC Financial Services Group, Inc. | 1,039,944 | 182,416,577 | |
Professional Holdings Corp. (A Shares) (b) | 76,020 | 1,677,001 | |
QCR Holdings, Inc. | 104,000 | 5,763,680 | |
Signature Bank | 51,191 | 11,071,078 | |
Silvergate Capital Corp. (b) | 65,500 | 5,141,750 | |
Societe Generale Series A (c) | 423,217 | 11,404,651 | |
Standard Chartered PLC (United Kingdom) | 843,500 | 6,704,921 | |
SVB Financial Group (b) | 25,059 | 12,243,076 | |
Synovus Financial Corp. | 250,250 | 10,673,163 | |
Texas Capital Bancshares, Inc. (b) | 150,000 | 8,479,500 | |
The Bank of NT Butterfield & Son Ltd. (c) | 49,522 | 1,563,905 | |
The Bank of Princeton (c) | 5,000 | 148,300 | |
Truist Financial Corp. | 1,113,242 | 55,372,657 | |
U.S. Bancorp | 2,022,020 | 107,308,601 | |
UniCredit SpA | 861,208 | 10,097,759 | |
Union Bankshares, Inc. (c) | 30,712 | 878,670 | |
United Community Bank, Inc. (c) | 311,338 | 9,785,353 | |
Univest Corp. of Pennsylvania (c) | 234,020 | 6,201,530 | |
Washington Trust Bancorp, Inc. | 190,000 | 9,538,000 | |
Webster Financial Corp. | 329,031 | 16,152,132 | |
Wells Fargo & Co. | 14,131,951 | 646,819,397 | |
West Bancorp., Inc. | 25,100 | 638,795 | |
Western Alliance Bancorp. | 137,139 | 11,159,000 | |
2,309,103,408 | |||
Capital Markets - 1.1% | |||
Affiliated Managers Group, Inc. | 292,100 | 39,030,402 | |
Artisan Partners Asset Management, Inc. | 71,060 | 2,729,415 | |
B. Riley Financial, Inc. (c) | 17,423 | 946,940 | |
Bank of New York Mellon Corp. | 1,668,045 | 77,747,577 | |
BlackRock, Inc. Class A | 167,769 | 112,250,883 | |
Bridge Investment Group Holdings, Inc. | 23,591 | 455,542 | |
Carlyle Group LP | 151,506 | 5,837,526 | |
Cboe Global Markets, Inc. | 65,100 | 7,311,381 | |
CI Financial Corp. | 339,600 | 4,298,530 | |
Cohen & Steers, Inc. | 27,342 | 2,083,734 | |
Coinbase Global, Inc. (b)(c) | 32,139 | 2,510,056 | |
Cowen Group, Inc. Class A (c) | 76,470 | 2,029,514 | |
Diamond Hill Investment Group, Inc. | 3,456 | 646,756 | |
Evercore, Inc. Class A | 42,515 | 4,855,213 | |
FactSet Research Systems, Inc. | 41,015 | 15,658,707 | |
Federated Hermes, Inc. (c) | 355,522 | 12,077,082 | |
Focus Financial Partners, Inc. Class A (b) | 64,430 | 2,429,011 | |
Goldman Sachs Group, Inc. | 37,217 | 12,164,376 | |
Greenhill & Co., Inc. (c) | 15,113 | 185,890 | |
Hamilton Lane, Inc. Class A | 38,090 | 2,649,160 | |
Hennessy Advisors, Inc. (c) | 10,000 | 103,600 | |
Houlihan Lokey | 55,568 | 4,775,514 | |
Intercontinental Exchange, Inc. | 460,780 | 47,179,264 | |
Invesco Ltd. | 764,300 | 14,781,562 | |
KKR & Co. LP | 637,607 | 34,947,240 | |
Lazard Ltd. Class A | 1,396,586 | 49,243,622 | |
LPL Financial | 80,000 | 15,695,200 | |
Moelis & Co. Class A | 66,427 | 3,116,755 | |
Morgan Stanley | 445,912 | 38,410,860 | |
Northern Trust Corp. | 1,093,466 | 122,194,826 | |
Patria Investments Ltd. (c) | 129,392 | 2,128,498 | |
Perella Weinberg Partners Class A | 129,820 | 973,650 | |
PJT Partners, Inc. | 26,443 | 2,005,437 | |
Raymond James Financial, Inc. | 204,859 | 20,176,563 | |
SEI Investments Co. | 115,481 | 6,747,555 | |
State Street Corp. | 895,357 | 64,904,429 | |
StepStone Group, Inc. Class A | 290,805 | 7,927,344 | |
TMX Group Ltd. (c) | 70,100 | 7,627,674 | |
Van Lanschot Kempen NV (Bearer) | 5,800 | 152,551 | |
Victory Capital Holdings, Inc. | 17,802 | 503,441 | |
Virtu Financial, Inc. Class A | 380,537 | 9,943,432 | |
Virtus Investment Partners, Inc. | 16,760 | 3,228,982 | |
764,665,694 | |||
Consumer Finance - 0.3% | |||
Aeon Credit Service (Asia) Co. Ltd. | 2,960,123 | 1,969,090 | |
American Express Co. | 212,995 | 35,957,816 | |
Capital One Financial Corp. | 135,847 | 17,369,397 | |
Credit Acceptance Corp. (b)(c) | 9,030 | 5,375,649 | |
Discover Financial Services | 421,390 | 47,823,551 | |
Enova International, Inc. (b) | 39,685 | 1,253,252 | |
FirstCash Holdings, Inc. (c) | 421,380 | 31,456,017 | |
OneMain Holdings, Inc. | 1,284,649 | 56,601,635 | |
Shriram Transport Finance Co. Ltd. | 210,246 | 3,186,826 | |
SLM Corp. | 319,448 | 6,257,986 | |
Synchrony Financial | 418,036 | 15,484,053 | |
222,735,272 | |||
Diversified Financial Services - 0.5% | |||
A-Mark Precious Metals, Inc. | 9,030 | 686,551 | |
Berkshire Hathaway, Inc.: | |||
Class A (b) | 2 | 948,100 | |
Class B (b) | 1,019,148 | 322,030,385 | |
BFF Bank SpA (a)(c) | 693,800 | 5,400,010 | |
Cannae Holdings, Inc. (b) | 1,193,010 | 24,182,313 | |
Jackson Financial, Inc. | 221,785 | 8,075,192 | |
Zenkoku Hosho Co. Ltd. | 18,200 | 604,381 | |
361,926,932 | |||
Insurance - 1.3% | |||
AFLAC, Inc. | 512,902 | 31,066,474 | |
AIA Group Ltd. | 272,600 | 2,824,186 | |
American Financial Group, Inc. | 72,078 | 10,184,621 | |
Amerisafe, Inc. | 21,099 | 1,063,390 | |
Arthur J. Gallagher & Co. | 166,758 | 27,004,791 | |
ASR Nederland NV | 137,300 | 6,264,433 | |
Assurant, Inc. | 248,830 | 43,965,773 | |
Axis Capital Holdings Ltd. | 8,080 | 473,246 | |
BRP Group, Inc. (b)(c) | 936,170 | 23,610,207 | |
Chubb Ltd. | 722,266 | 152,607,583 | |
Db Insurance Co. Ltd. | 148,458 | 7,766,946 | |
Enstar Group Ltd. (b) | 2,220 | 514,885 | |
Erie Indemnity Co. Class A | 27,177 | 4,558,942 | |
Fidelity National Financial, Inc. | 310,028 | 13,114,184 | |
First American Financial Corp. | 119,603 | 7,246,746 | |
Globe Life, Inc. | 224,353 | 21,890,122 | |
Hartford Financial Services Group, Inc. | 519,229 | 37,649,295 | |
Hyundai Fire & Marine Insurance Co. Ltd. | 157,600 | 3,983,081 | |
Investors Title Co. | 6,000 | 995,580 | |
Kinsale Capital Group, Inc. | 23,372 | 5,139,035 | |
Marsh & McLennan Companies, Inc. | 425,167 | 68,005,462 | |
NN Group NV | 131,103 | 6,517,930 | |
NN Group NV rights 6/8/22 (b)(c)(d) | 138,503 | 231,956 | |
Old Republic International Corp. | 311,103 | 7,441,584 | |
Primerica, Inc. | 336,600 | 42,411,600 | |
Prudential PLC | 155,200 | 2,023,786 | |
Reinsurance Group of America, Inc. | 195,560 | 24,611,226 | |
RLI Corp. (c) | 43,383 | 5,254,549 | |
Talanx AG | 74,041 | 3,031,623 | |
The Travelers Companies, Inc. | 1,264,528 | 226,401,093 | |
Willis Towers Watson PLC | 406,300 | 85,757,741 | |
873,612,070 | |||
Mortgage Real Estate Investment Trusts - 0.1% | |||
New Residential Investment Corp. | 6,415,300 | 72,492,890 | |
Redwood Trust, Inc. | 150,080 | 1,530,816 | |
74,023,706 | |||
Thrifts & Mortgage Finance - 0.2% | |||
Bridgewater Bancshares, Inc. (b) | 100,050 | 1,623,812 | |
Enact Holdings, Inc. | 300,000 | 7,296,000 | |
Equitable Group, Inc. | 26,700 | 1,345,502 | |
Equitable Group, Inc. rights | 5,000 | 249,120 | |
Essent Group Ltd. (c) | 1,393,454 | 59,625,897 | |
Federal Agricultural Mortgage Corp. Class C (non-vtg.) | 35,200 | 3,696,352 | |
Greene County Bancorp, Inc. | 205,000 | 11,477,950 | |
Merchants Bancorp | 27,287 | 695,546 | |
MGIC Investment Corp. | 3,337,305 | 46,488,659 | |
NMI Holdings, Inc. (b) | 286,804 | 5,337,422 | |
Radian Group, Inc. | 775,312 | 16,676,961 | |
Rocket Companies, Inc. (c) | 147,242 | 1,335,485 | |
Southern Missouri Bancorp, Inc. | 35,000 | 1,633,800 | |
157,482,506 | |||
TOTAL FINANCIALS | 4,763,549,588 | ||
HEALTH CARE - 6.8% | |||
Biotechnology - 0.8% | |||
AbbVie, Inc. | 128,000 | 18,863,360 | |
ADC Therapeutics SA (b)(c) | 268,600 | 1,837,224 | |
Agios Pharmaceuticals, Inc. (b)(c) | 51,250 | 997,838 | |
Alnylam Pharmaceuticals, Inc. (b) | 144,200 | 18,140,360 | |
Amgen, Inc. | 66,100 | 16,970,514 | |
Arcutis Biotherapeutics, Inc. (b)(c) | 175,976 | 3,674,379 | |
Argenx SE ADR (b) | 113,050 | 34,966,365 | |
Ascendis Pharma A/S sponsored ADR (b) | 132,513 | 11,198,674 | |
Atara Biotherapeutics, Inc. (b) | 300,000 | 1,560,000 | |
Aurinia Pharmaceuticals, Inc. (b)(c) | 114,230 | 1,288,514 | |
Avid Bioservices, Inc. (b)(c) | 151,490 | 2,025,421 | |
Beam Therapeutics, Inc. (b)(c) | 70,000 | 2,462,600 | |
BioCryst Pharmaceuticals, Inc. (b) | 1,701,850 | 15,844,224 | |
Blueprint Medicines Corp. (b) | 834,988 | 45,924,340 | |
Celldex Therapeutics, Inc. (b)(c) | 542,581 | 12,761,505 | |
Century Therapeutics, Inc. (c) | 171,480 | 1,490,161 | |
Cerevel Therapeutics Holdings (b)(c) | 46,410 | 1,212,693 | |
Crinetics Pharmaceuticals, Inc. (b) | 153,900 | 2,577,825 | |
Cytokinetics, Inc. (b)(c) | 354,890 | 14,160,111 | |
Erasca, Inc. (c) | 529,870 | 2,871,895 | |
Essex Bio-Technology Ltd. | 320,000 | 134,163 | |
Exelixis, Inc. (b) | 200,000 | 3,666,000 | |
Fusion Pharmaceuticals, Inc. (b)(c) | 1,900 | 6,821 | |
Generation Bio Co. (b)(c) | 740 | 4,159 | |
Gilead Sciences, Inc. | 182,140 | 11,811,779 | |
Global Blood Therapeutics, Inc. (b) | 123,430 | 3,078,344 | |
Graphite Bio, Inc. | 6,290 | 14,782 | |
Imago BioSciences, Inc. (c) | 125,000 | 2,020,000 | |
Innovent Biologics, Inc. (a)(b) | 1,500,000 | 4,654,526 | |
Insmed, Inc. (b)(c) | 221,600 | 4,170,512 | |
Instil Bio, Inc. (b)(c) | 339,800 | 2,040,499 | |
Intercept Pharmaceuticals, Inc. (b)(c) | 367,582 | 6,653,234 | |
Iovance Biotherapeutics, Inc. (b) | 60,780 | 410,265 | |
Kalvista Pharmaceuticals, Inc. (b) | 73,830 | 656,349 | |
Kinnate Biopharma, Inc. (b) | 1,670 | 13,260 | |
Legend Biotech Corp. ADR (b) | 218,000 | 9,219,220 | |
Mirati Therapeutics, Inc. (b) | 6,300 | 246,708 | |
Poseida Therapeutics, Inc. (b)(c) | 3,190 | 7,241 | |
Prelude Therapeutics, Inc. (b)(c) | 139,390 | 585,438 | |
PTC Therapeutics, Inc. (b)(c) | 352,190 | 10,343,820 | |
RAPT Therapeutics, Inc. (b)(c)(e) | 1,652,120 | 24,319,206 | |
Regeneron Pharmaceuticals, Inc. (b) | 201,300 | 133,812,162 | |
Relay Therapeutics, Inc. (b)(c) | 303,380 | 4,939,026 | |
Repare Therapeutics, Inc. (b)(c) | 670 | 6,151 | |
Scholar Rock Holding Corp. (b)(c) | 810 | 4,066 | |
Shattuck Labs, Inc. (b)(c) | 7,120 | 20,363 | |
Stoke Therapeutics, Inc. (b)(c) | 131,621 | 1,593,930 | |
United Therapeutics Corp. (b) | 75,000 | 17,275,500 | |
Vaxcyte, Inc. (b) | 102,400 | 2,456,576 | |
Vertex Pharmaceuticals, Inc. (b) | 286,500 | 76,968,225 | |
Verve Therapeutics, Inc. | 106,600 | 1,616,056 | |
Xencor, Inc. (b) | 240,000 | 5,359,200 | |
Zai Lab Ltd. (b) | 1,180,000 | 3,744,265 | |
Zentalis Pharmaceuticals, Inc. (b)(c) | 258,282 | 6,227,179 | |
548,907,028 | |||
Health Care Equipment & Supplies - 0.7% | |||
Abbott Laboratories | 37,900 | 4,451,734 | |
Atrion Corp. | 1,511 | 950,102 | |
Axonics Modulation Technologies, Inc. (b)(c) | 954,940 | 47,747,000 | |
Becton, Dickinson & Co. | 69,725 | 17,835,655 | |
Boston Scientific Corp. (b) | 4,346,109 | 178,233,930 | |
Cutera, Inc. (b)(c) | 524,540 | 23,599,055 | |
Envista Holdings Corp. (b) | 602,968 | 25,951,743 | |
Globus Medical, Inc. (b) | 86,124 | 5,735,858 | |
Heska Corp. (b) | 13,160 | 1,313,236 | |
Hologic, Inc. (b) | 125,000 | 9,408,750 | |
InBody Co. Ltd. | 31,800 | 711,550 | |
Inogen, Inc. (b) | 28,080 | 721,094 | |
Insulet Corp. (b) | 167,000 | 35,651,160 | |
Intuitive Surgical, Inc. (b) | 12,000 | 2,731,680 | |
iRhythm Technologies, Inc. (b)(c) | 1,909 | 268,883 | |
Koninklijke Philips Electronics NV (depositary receipt) (NY Reg.) | 347,000 | 8,997,710 | |
LeMaitre Vascular, Inc. (c) | 20,939 | 957,331 | |
Masimo Corp. (b) | 37,000 | 5,195,910 | |
Meridian Bioscience, Inc. (b) | 228,964 | 6,296,510 | |
Natus Medical, Inc. (b) | 37,212 | 1,220,181 | |
Neogen Corp. (b)(c) | 117,125 | 3,099,128 | |
Omnicell, Inc. (b) | 29,720 | 3,303,675 | |
Penumbra, Inc. (b)(c) | 254,141 | 37,338,396 | |
ResMed, Inc. | 140,000 | 28,484,400 | |
Tandem Diabetes Care, Inc. (b) | 510,610 | 34,808,284 | |
Value Added Technology Co. Ltd. | 78,700 | 2,397,585 | |
Vieworks Co. Ltd. | 237,500 | 7,493,470 | |
ViewRay, Inc. (b) | 373,130 | 1,078,346 | |
495,982,356 | |||
Health Care Providers & Services - 2.9% | |||
1Life Healthcare, Inc. (b)(c) | 360,000 | 3,049,200 | |
Acadia Healthcare Co., Inc. (b) | 30,900 | 2,199,153 | |
AdaptHealth Corp. (b)(c) | 209,430 | 3,767,646 | |
Addus HomeCare Corp. (b) | 25,150 | 2,100,025 | |
agilon health, Inc. (b)(c) | 2,115,900 | 40,413,690 | |
Alignment Healthcare, Inc. (b)(c) | 537,500 | 5,740,500 | |
AMN Healthcare Services, Inc. (b) | 68,551 | 6,642,592 | |
Anthem, Inc. | 271,534 | 138,376,442 | |
Apollo Medical Holdings, Inc. (b)(c) | 14,903 | 559,459 | |
Cano Health, Inc. (b) | 1,200,000 | 6,180,000 | |
Cardinal Health, Inc. | 641,827 | 36,147,697 | |
Centene Corp. (b) | 2,635,500 | 214,635,120 | |
Chemed Corp. | 16,775 | 8,125,810 | |
Cigna Corp. | 1,313,975 | 352,526,353 | |
Corvel Corp. (b) | 10,233 | 1,526,354 | |
CVS Health Corp. | 790,093 | 76,441,498 | |
Guardant Health, Inc. (b) | 798,960 | 32,741,381 | |
Hanger, Inc. (b)(c) | 73,950 | 1,167,671 | |
HCA Holdings, Inc. | 118,000 | 24,827,200 | |
Henry Schein, Inc. (b) | 151,100 | 12,940,204 | |
Humana, Inc. | 378,300 | 171,835,209 | |
Laboratory Corp. of America Holdings | 50,000 | 12,336,000 | |
LHC Group, Inc. (b) | 35,980 | 5,996,427 | |
LifeStance Health Group, Inc. (c) | 800,000 | 5,960,000 | |
McKesson Corp. | 278,974 | 91,695,964 | |
MEDNAX, Inc. (b)(c) | 30,310 | 585,589 | |
Modivcare, Inc. (b) | 11,650 | 1,111,760 | |
National Research Corp. Class A | 14,974 | 537,417 | |
Oak Street Health, Inc. (b)(c) | 1,181,600 | 22,308,608 | |
Option Care Health, Inc. (b) | 748,270 | 22,717,477 | |
Owens & Minor, Inc. (c) | 1,099,060 | 38,335,213 | |
Progyny, Inc. (b)(c) | 103,745 | 3,279,379 | |
Quest Diagnostics, Inc. | 3,700 | 521,774 | |
R1 RCM, Inc. (b) | 260,500 | 5,592,935 | |
RadNet, Inc. (b)(c) | 85,680 | 1,759,010 | |
Sinopharm Group Co. Ltd. (H Shares) | 3,916,000 | 9,711,153 | |
Surgery Partners, Inc. (b)(c) | 444,990 | 17,443,608 | |
Tenet Healthcare Corp. (b) | 659,490 | 42,675,598 | |
Tokai Corp. | 64,500 | 851,750 | |
U.S. Physical Therapy, Inc. | 14,069 | 1,584,029 | |
UnitedHealth Group, Inc. | 1,073,330 | 533,208,877 | |
Universal Health Services, Inc. Class B | 256,610 | 31,976,172 | |
1,992,131,944 | |||
Health Care Technology - 0.0% | |||
Change Healthcare, Inc. (b) | 220,000 | 5,299,800 | |
Doximity, Inc. (c) | 185,000 | 6,473,150 | |
Evolent Health, Inc. (b)(c) | 72,280 | 2,033,236 | |
Health Catalyst, Inc. (b) | 15,180 | 222,387 | |
Inspire Medical Systems, Inc. (b) | 60,000 | 10,609,800 | |
Phreesia, Inc. (b) | 549,212 | 9,962,706 | |
Simulations Plus, Inc. (c) | 17,124 | 813,048 | |
35,414,127 | |||
Life Sciences Tools & Services - 0.7% | |||
10X Genomics, Inc. (b) | 120,000 | 6,142,800 | |
Agilent Technologies, Inc. | 155,000 | 19,771,800 | |
Avantor, Inc. (b) | 1,898,100 | 60,815,124 | |
Bio-Rad Laboratories, Inc. Class A (b) | 25,000 | 13,444,750 | |
Bruker Corp. | 1,059,004 | 66,166,570 | |
Charles River Laboratories International, Inc. (b) | 78,000 | 18,258,240 | |
Danaher Corp. | 417,700 | 110,197,614 | |
ICON PLC (b)(c) | 21,600 | 4,833,864 | |
Lonza Group AG | 28,000 | 16,881,362 | |
Medpace Holdings, Inc. (b) | 31,328 | 4,487,423 | |
Sartorius Stedim Biotech | 42,000 | 14,478,110 | |
Seer, Inc. (b) | 820 | 7,282 | |
Syneos Health, Inc. (b) | 70,430 | 5,204,073 | |
Thermo Fisher Scientific, Inc. | 160,000 | 90,811,200 | |
West Pharmaceutical Services, Inc. | 76,000 | 23,588,880 | |
455,089,092 | |||
Pharmaceuticals - 1.7% | |||
Arvinas Holding Co. LLC (b)(c) | 882,910 | 36,808,518 | |
AstraZeneca PLC: | |||
(United Kingdom) | 190,000 | 25,111,122 | |
sponsored ADR | 1,326,220 | 88,167,106 | |
Bayer AG | 943,408 | 67,499,002 | |
Bristol-Myers Squibb Co. | 4,531,261 | 341,883,642 | |
Daito Pharmaceutical Co. Ltd. | 55,500 | 1,128,236 | |
Dawnrays Pharmaceutical Holdings Ltd. | 2,354,000 | 341,977 | |
Eli Lilly & Co. | 383,900 | 120,329,616 | |
Faes Farma SA | 105,263 | 453,150 | |
Genomma Lab Internacional SA de CV | 1,000,000 | 1,008,613 | |
GSK PLC sponsored ADR | 1,853,159 | 81,353,680 | |
Jazz Pharmaceuticals PLC (b) | 125,000 | 18,710,000 | |
Johnson & Johnson | 490,289 | 88,021,584 | |
Merck & Co., Inc. | 328,000 | 30,185,840 | |
Nippon Chemiphar Co. Ltd. | 5,983 | 89,047 | |
Pliant Therapeutics, Inc. (b)(c) | 58,900 | 331,607 | |
Roche Holding AG (participation certificate) | 308,096 | 104,996,386 | |
Royalty Pharma PLC | 950,000 | 39,083,000 | |
Sanofi SA sponsored ADR (c) | 1,626,550 | 86,613,788 | |
UCB SA | 75,000 | 6,615,215 | |
Viatris, Inc. | 63,300 | 776,691 | |
1,139,507,820 | |||
TOTAL HEALTH CARE | 4,667,032,367 | ||
INDUSTRIALS - 5.1% | |||
Aerospace & Defense - 1.0% | |||
Airbus Group NV | 701,398 | 82,200,905 | |
Cadre Holdings, Inc. (c) | 270,400 | 6,811,376 | |
General Dynamics Corp. | 78,927 | 17,751,472 | |
HEICO Corp. Class A | 379,746 | 44,464,459 | |
Huntington Ingalls Industries, Inc. | 92,631 | 19,495,120 | |
Kratos Defense & Security Solutions, Inc. (b) | 92,380 | 1,332,120 | |
L3Harris Technologies, Inc. | 244,800 | 58,972,320 | |
Lockheed Martin Corp. | 350,600 | 154,302,566 | |
Magellan Aerospace Corp. | 23,600 | 139,005 | |
Mercury Systems, Inc. (b) | 30,210 | 1,806,860 | |
MTU Aero Engines AG | 30,800 | 6,079,063 | |
Northrop Grumman Corp. | 223,900 | 104,778,483 | |
Raytheon Technologies Corp. | 79,568 | 7,568,508 | |
Safran SA | 49,400 | 5,118,390 | |
The Boeing Co. (b) | 1,198,797 | 157,521,926 | |
Triumph Group, Inc. (b) | 131,060 | 2,005,218 | |
Vectrus, Inc. (b) | 87,260 | 3,125,653 | |
Woodward, Inc. | 68,693 | 6,979,896 | |
680,453,340 | |||
Air Freight & Logistics - 0.3% | |||
Air Transport Services Group, Inc. (b) | 912,000 | 27,560,640 | |
C.H. Robinson Worldwide, Inc. | 141,635 | 15,368,814 | |
Deutsche Post AG | 777,300 | 32,167,511 | |
FedEx Corp. | 152,083 | 34,154,800 | |
Onelogix Group Ltd. (b) | 574,686 | 103,599 | |
Sinotrans Ltd. (H Shares) | 378,000 | 119,943 | |
United Parcel Service, Inc. Class B | 589,160 | 107,374,410 | |
216,849,717 | |||
Airlines - 0.1% | |||
Copa Holdings SA Class A (b) | 17,300 | 1,223,110 | |
Delta Air Lines, Inc. (b) | 1,366,000 | 56,948,540 | |
Hawaiian Holdings, Inc. (b) | 50,000 | 887,500 | |
Jet2 PLC (b) | 215,179 | 3,166,998 | |
JetBlue Airways Corp. (b) | 1,507,800 | 16,193,772 | |
Ryanair Holdings PLC sponsored ADR (b) | 49,500 | 4,316,400 | |
SkyWest, Inc. (b) | 26,450 | 713,092 | |
Spirit Airlines, Inc. (b) | 35,680 | 747,496 | |
Sun Country Airlines Holdings, Inc. (b)(c) | 52,780 | 1,248,247 | |
85,445,155 | |||
Building Products - 0.4% | |||
A.O. Smith Corp. | 145,122 | 8,724,735 | |
Allegion PLC | 97,733 | 10,911,889 | |
Builders FirstSource, Inc. (b) | 624,193 | 40,628,722 | |
Carlisle Companies, Inc. | 240,220 | 61,119,175 | |
Fortune Brands Home & Security, Inc. | 517,429 | 35,883,701 | |
Hayward Holdings, Inc. (b)(c) | 62,570 | 957,321 | |
Johnson Controls International PLC | 139,493 | 7,603,763 | |
KVK Corp. | 4,500 | 70,226 | |
Masonite International Corp. (b) | 111,800 | 10,266,594 | |
Nihon Dengi Co. Ltd. | 28,200 | 723,976 | |
Nihon Flush Co. Ltd. | 104,578 | 753,862 | |
Simpson Manufacturing Co. Ltd. | 47,333 | 5,128,531 | |
Trane Technologies PLC | 620,000 | 85,597,200 | |
UFP Industries, Inc. | 14,880 | 1,148,736 | |
269,518,431 | |||
Commercial Services & Supplies - 0.1% | |||
ACV Auctions, Inc. Class A (b) | 709,500 | 5,988,180 | |
Biffa PLC (a) | 624,700 | 2,530,011 | |
Casella Waste Systems, Inc. Class A (b) | 31,180 | 2,231,864 | |
CoreCivic, Inc. (b) | 131,063 | 1,686,781 | |
Millerknoll, Inc. (c) | 36,860 | 1,113,172 | |
Rollins, Inc. | 246,625 | 8,745,323 | |
Tetra Tech, Inc. | 58,916 | 7,951,893 | |
The Brink's Co. (c) | 136,420 | 8,298,429 | |
The GEO Group, Inc. (b) | 172,340 | 1,225,337 | |
UniFirst Corp. | 16,590 | 2,711,470 | |
42,482,460 | |||
Construction & Engineering - 0.1% | |||
API Group Corp. (b) | 29,340 | 511,983 | |
Boustead Projs. Pte Ltd. | 2,180,500 | 1,448,308 | |
Comfort Systems U.S.A., Inc. | 75,600 | 6,782,832 | |
Dycom Industries, Inc. (b) | 28,710 | 2,673,188 | |
EMCOR Group, Inc. | 58,157 | 6,143,124 | |
IES Holdings, Inc. (b) | 2,320 | 71,665 | |
Meisei Industrial Co. Ltd. | 215,000 | 1,212,491 | |
MYR Group, Inc. (b) | 18,382 | 1,683,975 | |
Raiznext Corp. | 201,000 | 1,806,478 | |
Totetsu Kogyo Co. Ltd. | 107,100 | 1,800,322 | |
Watanabe Sato Co. Ltd. | 5,300 | 108,112 | |
Willscot Mobile Mini Holdings (b) | 1,417,900 | 50,661,567 | |
74,904,045 | |||
Electrical Equipment - 0.5% | |||
Acuity Brands, Inc. | 216,307 | 37,858,051 | |
Aichi Electric Co. Ltd. | 100,050 | 2,126,359 | |
AMETEK, Inc. | 890,900 | 108,217,623 | |
Array Technologies, Inc. (b)(c) | 232,610 | 2,577,319 | |
Atkore, Inc. (b) | 202,754 | 22,083,966 | |
Emerson Electric Co. | 823,200 | 72,984,912 | |
GrafTech International Ltd. | 802,000 | 6,961,360 | |
Hubbell, Inc. Class B | 86,907 | 16,500,163 | |
Iwabuchi Corp. | 2,400 | 81,283 | |
nVent Electric PLC | 183,312 | 6,489,245 | |
Regal Rexnord Corp. | 365,331 | 45,648,108 | |
Shoals Technologies Group, Inc. (b)(c) | 70,080 | 1,093,248 | |
Vertiv Holdings Co. (c) | 1,442,924 | 15,857,735 | |
Vertiv Holdings LLC (b)(f) | 600,000 | 6,594,000 | |
345,073,372 | |||
Industrial Conglomerates - 0.7% | |||
3M Co. | 90,403 | 13,496,264 | |
General Electric Co. | 5,099,645 | 399,251,207 | |
Siemens AG | 435,000 | 57,421,305 | |
470,168,776 | |||
Machinery - 1.1% | |||
AGCO Corp. | 398,000 | 50,995,740 | |
Barnes Group, Inc. (c) | 50,750 | 1,828,523 | |
Caterpillar, Inc. | 525,300 | 113,386,005 | |
Chart Industries, Inc. (b)(c) | 255,890 | 45,005,933 | |
Columbus McKinnon Corp. (NY Shares) | 127,800 | 4,313,250 | |
Crane Holdings Co. (c) | 211,405 | 20,223,002 | |
Cummins, Inc. | 28,942 | 6,052,351 | |
Donaldson Co., Inc. | 134,670 | 7,040,548 | |
Ebara Jitsugyo Co. Ltd. | 19,800 | 367,285 | |
EnPro Industries, Inc. | 800 | 76,608 | |
Epiroc AB (A Shares) | 27,600 | 535,190 | |
ESAB Corp. | 435,733 | 21,786,650 | |
Estic Corp. | 17,500 | 156,329 | |
Federal Signal Corp. | 75,360 | 2,645,136 | |
Flowserve Corp. | 1,583,931 | 49,893,827 | |
Fortive Corp. | 1,949,024 | 120,391,212 | |
Gorman-Rupp Co. | 24,767 | 737,809 | |
Graco, Inc. | 185,196 | 11,722,907 | |
Hy-Lok Corp. | 14,316 | 217,203 | |
IDEX Corp. | 217,527 | 41,667,297 | |
ITT, Inc. | 943,370 | 69,639,573 | |
John Bean Technologies Corp. (c) | 24,830 | 3,023,053 | |
Lincoln Electric Holdings, Inc. | 64,339 | 8,738,523 | |
Mueller Industries, Inc. | 62,508 | 3,366,056 | |
Nakanishi Manufacturing Co. Ltd. | 10,300 | 106,812 | |
Nordson Corp. | 58,890 | 12,830,953 | |
NORMA Group AG | 83,068 | 2,174,151 | |
Omega Flex, Inc. | 3,300 | 364,782 | |
Oshkosh Corp. | 788,100 | 73,222,371 | |
Otis Worldwide Corp. | 112,104 | 8,340,538 | |
Pentair PLC | 642,400 | 32,229,208 | |
Sakura Rubber Co. Ltd. | 11,000 | 242,669 | |
Semperit AG Holding | 25,000 | 528,723 | |
Shinwa Co. Ltd. | 12,000 | 202,742 | |
Snap-On, Inc. | 58,539 | 12,988,633 | |
Stanley Black & Decker, Inc. | 328,032 | 38,934,118 | |
Toro Co. | 115,983 | 9,567,438 | |
Watts Water Technologies, Inc. Class A | 30,027 | 3,928,432 | |
Westinghouse Air Brake Tech Co. | 155,314 | 14,670,960 | |
794,142,540 | |||
Marine - 0.0% | |||
Genco Shipping & Trading Ltd. | 336,900 | 8,506,725 | |
Japan Transcity Corp. | 74,800 | 309,694 | |
8,816,419 | |||
Professional Services - 0.2% | |||
Alight, Inc. Class A (b) | 467,300 | 3,813,168 | |
Altech Corp. | 83,900 | 1,228,504 | |
ASGN, Inc. (b) | 167,590 | 15,959,596 | |
Barrett Business Services, Inc. | 8,178 | 612,205 | |
CACI International, Inc. Class A (b) | 145,700 | 40,849,909 | |
Career Design Center Co. Ltd. | 138,100 | 1,192,894 | |
CBIZ, Inc. (b)(c) | 14,930 | 611,533 | |
CRA International, Inc. | 114,790 | 9,840,947 | |
Creek & River Co. Ltd. | 20,000 | 325,630 | |
Dun & Bradstreet Holdings, Inc. (b)(c) | 210,124 | 3,628,841 | |
Equifax, Inc. | 45,409 | 9,198,955 | |
Exponent, Inc. | 56,782 | 5,132,525 | |
First Advantage Corp. | 20,270 | 295,942 | |
Heidrick & Struggles International, Inc. | 21,348 | 737,787 | |
ICF International, Inc. | 54,970 | 5,618,484 | |
Insperity, Inc. | 80,975 | 8,103,168 | |
KBR, Inc. (c) | 289,940 | 14,427,414 | |
Kforce, Inc. (c) | 139,073 | 9,134,315 | |
Mastech Digital, Inc. (b)(c) | 30,000 | 539,250 | |
Quick Co. Ltd. | 180,800 | 1,973,232 | |
Robert Half International, Inc. | 121,306 | 10,935,736 | |
SHL-JAPAN Ltd. | 34,600 | 702,563 | |
TriNet Group, Inc. (b) | 65,031 | 5,107,535 | |
WDB Holdings Co. Ltd. | 22,300 | 394,951 | |
Will Group, Inc. | 187,400 | 1,716,275 | |
World Holdings Co. Ltd. | 86,200 | 1,575,551 | |
153,656,910 | |||
Road & Rail - 0.4% | |||
ArcBest Corp. | 27,859 | 2,106,976 | |
Autohellas SA | 13,800 | 130,816 | |
CSX Corp. | 3,394,700 | 107,917,513 | |
Daqin Railway Co. Ltd. (A Shares) | 926,141 | 931,416 | |
Hertz Global Holdings, Inc. | 27,780 | 557,545 | |
Knight-Swift Transportation Holdings, Inc. Class A | 742,885 | 36,133,926 | |
Landstar System, Inc. | 282,744 | 42,815,924 | |
Meitetsu Transport Co. Ltd. | 25,300 | 685,882 | |
NANSO Transport Co. Ltd. | 56,800 | 504,752 | |
Nikkon Holdings Co. Ltd. | 48,200 | 753,692 | |
Old Dominion Freight Lines, Inc. | 141,500 | 36,540,960 | |
Patriot Transportation Holding, Inc. | 10,000 | 74,900 | |
Stef SA | 50,734 | 4,880,107 | |
Uber Technologies, Inc. (b) | 996,900 | 23,128,080 | |
Universal Logistics Holdings, Inc. | 500 | 13,945 | |
257,176,434 | |||
Trading Companies & Distributors - 0.2% | |||
Air Lease Corp. Class A | 817,200 | 30,734,892 | |
Applied Industrial Technologies, Inc. | 47,220 | 4,883,020 | |
Beacon Roofing Supply, Inc. (b) | 276,358 | 16,971,145 | |
Beijer Ref AB (B Shares) | 86,700 | 1,378,720 | |
Boise Cascade Co. | 42,855 | 3,313,549 | |
Canox Corp. | 32,539 | 283,596 | |
Green Cross Co. Ltd. | 28,200 | 192,768 | |
Itochu Corp. | 320,500 | 9,193,711 | |
Kamei Corp. | 149,800 | 1,229,958 | |
Mitani Shoji Co. Ltd. | 226,400 | 2,750,531 | |
Mitsubishi Corp. | 175,400 | 6,053,394 | |
MSC Industrial Direct Co., Inc. Class A | 51,015 | 4,332,704 | |
Narasaki Sangyo Co. Ltd. | 9,700 | 125,983 | |
Rush Enterprises, Inc. Class A | 185,200 | 9,441,496 | |
Shinsho Corp. | 117,200 | 3,473,166 | |
Totech Corp. | 18,400 | 445,939 | |
Triton International Ltd. (c) | 5,000 | 318,850 | |
Univar Solutions, Inc. (b) | 491,300 | 15,092,736 | |
Watsco, Inc. | 35,985 | 9,198,846 | |
119,415,004 | |||
Transportation Infrastructure - 0.0% | |||
Isewan Terminal Service Co. Ltd. | 95,100 | 489,776 | |
Qingdao Port International Co. Ltd. (H Shares) (a) | 4,884,814 | 2,496,190 | |
2,985,966 | |||
TOTAL INDUSTRIALS | 3,521,088,569 | ||
INFORMATION TECHNOLOGY - 8.1% | |||
Communications Equipment - 0.1% | |||
Cisco Systems, Inc. | 1,879,500 | 84,671,475 | |
Juniper Networks, Inc. | 354,320 | 10,870,538 | |
Lumentum Holdings, Inc. (b) | 23,780 | 2,046,982 | |
NetScout Systems, Inc. (b) | 80,495 | 2,763,393 | |
100,352,388 | |||
Electronic Equipment & Components - 0.4% | |||
Advanced Energy Industries, Inc. | 125,500 | 10,223,230 | |
Amphenol Corp. Class A | 422,500 | 29,938,350 | |
Avnet, Inc. | 861,900 | 41,759,055 | |
Badger Meter, Inc. | 31,871 | 2,522,271 | |
CDW Corp. | 49,500 | 8,408,070 | |
Cognex Corp. | 403,000 | 19,513,260 | |
CTS Corp. | 35,113 | 1,428,046 | |
Daido Signal Co. Ltd. | 111,500 | 438,257 | |
Daiwabo Holdings Co. Ltd. | 160,000 | 2,150,153 | |
Elematec Corp. | 60,000 | 608,226 | |
Fabrinet (b) | 40,335 | 3,503,901 | |
Flex Ltd. (b) | 50,070 | 854,695 | |
Hagiwara Electric Holdings Co. Ltd. | 12,280 | 195,835 | |
II-VI, Inc. (b)(c) | 47,130 | 2,945,625 | |
Insight Enterprises, Inc. (b)(c) | 70,217 | 6,938,844 | |
IPG Photonics Corp. (b) | 38,918 | 4,105,460 | |
Kingboard Chemical Holdings Ltd. | 707,000 | 3,387,603 | |
Kitron ASA | 74,100 | 149,739 | |
Makus, Inc. | 734,784 | 6,239,438 | |
Methode Electronics, Inc. Class A | 210,000 | 9,460,500 | |
Mirion Technologies, Inc. (f) | 1,430,613 | 11,444,904 | |
Napco Security Technologies, Inc. | 31,601 | 619,696 | |
National Instruments Corp. | 143,700 | 5,075,484 | |
Redington (India) Ltd. | 1,034,288 | 1,732,744 | |
Riken Keiki Co. Ltd. | 17,700 | 576,778 | |
Rogers Corp. (b) | 20,408 | 5,415,875 | |
Sanmina Corp. (b) | 70,146 | 3,078,708 | |
ScanSource, Inc. (b) | 119,631 | 4,634,505 | |
TD SYNNEX Corp. | 124,300 | 12,908,555 | |
TE Connectivity Ltd. | 374,300 | 48,430,677 | |
Thinking Electronic Industries Co. Ltd. | 351,000 | 1,714,183 | |
TTM Technologies, Inc. (b)(c) | 206,990 | 2,957,887 | |
Vontier Corp. | 150,000 | 4,023,000 | |
257,383,554 | |||
IT Services - 1.7% | |||
Accenture PLC Class A | 41,300 | 12,326,398 | |
Affirm Holdings, Inc. (b)(c) | 125,000 | 3,562,500 | |
Amadeus IT Holding SA Class A (b) | 253,100 | 15,748,813 | |
Amdocs Ltd. | 861,050 | 74,816,635 | |
Avant Corp. | 180,500 | 1,867,604 | |
Block, Inc. Class A (b) | 335,700 | 29,377,107 | |
Capgemini SA | 264,000 | 51,156,804 | |
Cass Information Systems, Inc. | 12,823 | 437,521 | |
Cognizant Technology Solutions Corp. Class A | 1,493,300 | 111,549,510 | |
Concentrix Corp. | 264,267 | 40,932,316 | |
CSE Global Ltd. | 1,349,925 | 468,023 | |
CSG Systems International, Inc. | 35,571 | 2,212,160 | |
Cyxtera Technologies, Inc. Class A (b)(c) | 325,566 | 4,824,888 | |
Dlocal Ltd. | 591,700 | 17,058,711 | |
DTS Corp. | 109,500 | 2,607,042 | |
DXC Technology Co. (b) | 72,130 | 2,540,419 | |
E-Credible Co. Ltd. | 53,370 | 794,698 | |
Edenred SA | 431,059 | 21,250,095 | |
Enea AB (b) | 27,900 | 345,681 | |
EPAM Systems, Inc. (b) | 53,300 | 18,043,116 | |
EVERTEC, Inc. | 65,088 | 2,469,439 | |
EVO Payments, Inc. Class A (b) | 51,675 | 1,191,109 | |
ExlService Holdings, Inc. (b) | 126,747 | 18,022,156 | |
Fidelity National Information Services, Inc. | 328,257 | 34,302,857 | |
Future Corp. | 27,500 | 352,895 | |
Genpact Ltd. | 926,594 | 41,112,976 | |
Global Payments, Inc. | 34,400 | 4,507,776 | |
GoDaddy, Inc. (b) | 521,900 | 39,168,595 | |
Hackett Group, Inc. | 29,215 | 598,615 | |
IBM Corp. | 58,082 | 8,064,105 | |
Jack Henry & Associates, Inc. | 80,676 | 15,176,769 | |
Korea Information & Communication Co. Ltd. (b) | 103,507 | 672,321 | |
MasterCard, Inc. Class A | 141,586 | 50,669,382 | |
Maximus, Inc. | 548,700 | 35,605,143 | |
MongoDB, Inc. Class A (b) | 162,000 | 38,418,300 | |
PayPal Holdings, Inc. (b) | 195,000 | 16,615,950 | |
Perficient, Inc. (b) | 57,689 | 5,648,330 | |
Sabre Corp. (b)(c) | 1,303,800 | 9,791,538 | |
Snowflake, Inc. (b) | 69,400 | 8,858,910 | |
SolarWinds, Inc. | 48,537 | 564,971 | |
TDC Soft, Inc. | 182,200 | 1,501,644 | |
Twilio, Inc. Class A (b) | 277,100 | 29,142,607 | |
Unisys Corp. (b) | 688,078 | 8,208,771 | |
Verra Mobility Corp. (b)(c) | 577,720 | 9,214,634 | |
Visa, Inc. Class A | 1,352,574 | 286,975,626 | |
WEX, Inc. (b) | 232,600 | 39,607,128 | |
Wix.com Ltd. (b) | 133,500 | 8,411,835 | |
WNS Holdings Ltd. sponsored ADR (b) | 82,900 | 6,032,633 | |
Worldline SA (a)(b) | 80,500 | 3,293,929 | |
1,136,120,985 | |||
Semiconductors & Semiconductor Equipment - 1.4% | |||
Advanced Micro Devices, Inc. (b) | 79,200 | 8,067,312 | |
Allegro MicroSystems LLC (b)�� | 59,944 | 1,543,558 | |
Amkor Technology, Inc. | 109,239 | 2,232,845 | |
Analog Devices, Inc. | 65,426 | 11,017,738 | |
Applied Materials, Inc. | 171,918 | 20,164,262 | |
ASML Holding NV (Netherlands) | 37,400 | 21,522,022 | |
Cirrus Logic, Inc. (b) | 238,300 | 19,430,982 | |
Diodes, Inc. (b) | 7,560 | 582,196 | |
Ichor Holdings Ltd. (b) | 7,830 | 236,779 | |
Intel Corp. | 665,922 | 29,580,255 | |
Kulicke & Soffa Industries, Inc. (c) | 67,522 | 3,657,667 | |
Lam Research Corp. | 120,000 | 62,403,600 | |
Lattice Semiconductor Corp. (b) | 149,211 | 7,761,956 | |
MACOM Technology Solutions Holdings, Inc. (b) | 40,690 | 2,218,012 | |
Marvell Technology, Inc. | 722,411 | 42,730,611 | |
MediaTek, Inc. | 520,000 | 16,064,597 | |
Microchip Technology, Inc. | 619,400 | 44,999,410 | |
Micron Technology, Inc. | 938,450 | 69,295,148 | |
MKS Instruments, Inc. | 75,800 | 9,361,300 | |
Nova Ltd. (b)(c) | 14,120 | 1,499,826 | |
NVE Corp. (c) | 5,266 | 260,456 | |
NVIDIA Corp. | 1,007,936 | 188,201,810 | |
NXP Semiconductors NV (c) | 397,942 | 75,513,474 | |
Power Integrations, Inc. | 65,738 | 5,546,972 | |
Qualcomm, Inc. | 734,175 | 105,148,544 | |
Renesas Electronics Corp. (b) | 2,916,800 | 34,067,777 | |
Semtech Corp. (b) | 138,757 | 8,892,936 | |
Silergy Corp. | 89,000 | 9,138,207 | |
Silicon Laboratories, Inc. (b) | 43,788 | 6,531,418 | |
SiTime Corp. (b) | 8,930 | 1,902,090 | |
Sitronix Technology Corp. | 20,000 | 176,068 | |
SMART Global Holdings, Inc. (b)(c) | 59,920 | 1,477,028 | |
SolarEdge Technologies, Inc. (b) | 199,600 | 54,448,884 | |
Synaptics, Inc. (b) | 7,270 | 1,076,832 | |
Systems Technology, Inc. | 42,700 | 738,924 | |
Taiwan Semiconductor Manufacturing Co. Ltd. | 2,847,000 | 53,791,224 | |
Topco Scientific Co. Ltd. | 881,000 | 5,052,905 | |
Universal Display Corp. | 47,241 | 5,967,011 | |
932,302,636 | |||
Software - 3.2% | |||
Adobe, Inc. (b) | 277,000 | 115,364,960 | |
Altair Engineering, Inc. Class A (b) | 11,110 | 610,606 | |
American Software, Inc. Class A | 34,287 | 586,308 | |
Anaplan, Inc. (b) | 678,000 | 44,476,800 | |
Asiainfo Technologies Ltd. (a) | 174,000 | 295,351 | |
Aspen Technology, Inc. (b) | 99,078 | 19,170,602 | |
Autodesk, Inc. (b) | 234,667 | 48,752,069 | |
Black Knight, Inc. (b) | 104,500 | 7,096,595 | |
Blackbaud, Inc. (b) | 518,133 | 32,979,165 | |
CCC Intelligent Solutions Holdings, Inc. (b)(f) | 134,385 | 1,202,746 | |
Ceridian HCM Holding, Inc. (b) | 485,900 | 27,356,170 | |
Check Point Software Technologies Ltd. (b) | 39,100 | 4,890,628 | |
Consensus Cloud Solutions, Inc. (b) | 17,487 | 839,901 | |
Coupa Software, Inc. (b) | 197,400 | 13,579,146 | |
Cresco Ltd. | 317,400 | 5,345,269 | |
Cvent Holding Corp. (f) | 267,744 | 1,427,076 | |
Dolby Laboratories, Inc. Class A | 71,152 | 5,522,818 | |
DoubleVerify Holdings, Inc. (b) | 101,700 | 2,262,825 | |
Dynatrace, Inc. (b) | 243,702 | 9,180,254 | |
Elastic NV (b) | 629,386 | 38,801,647 | |
Envestnet, Inc. (b) | 100 | 6,662 | |
Five9, Inc. (b) | 222,700 | 21,537,317 | |
HubSpot, Inc. (b) | 77,400 | 26,137,206 | |
Intuit, Inc. | 145,700 | 60,386,822 | |
LivePerson, Inc. (b)(c) | 107,560 | 1,804,857 | |
Manhattan Associates, Inc. (b) | 68,953 | 8,338,486 | |
Microsoft Corp. | 4,369,402 | 1,187,909,322 | |
Model N, Inc. (b) | 8,890 | 223,672 | |
NCR Corp. (b) | 33,350 | 1,156,912 | |
New Relic, Inc. (b)(c) | 79,470 | 3,723,964 | |
NortonLifeLock, Inc. | 3,698,100 | 90,011,754 | |
Open Text Corp. | 725,300 | 29,744,553 | |
Open Text Corp. | 75,400 | 3,090,276 | |
Otonomo Technologies Ltd. (b)(c) | 276,600 | 362,346 | |
Paylocity Holding Corp. (b) | 43,169 | 7,548,531 | |
Ping Identity Holding Corp. (b) | 18,580 | 351,162 | |
PTC, Inc. (b) | 471,243 | 54,913,947 | |
Qualys, Inc. (b) | 58,681 | 7,668,433 | |
Rapid7, Inc. (b) | 59,090 | 4,187,708 | |
SailPoint Technologies Holding, Inc. (b) | 115,680 | 7,338,739 | |
Salesforce.com, Inc. (b) | 504,370 | 80,820,249 | |
SAP SE sponsored ADR | 468,655 | 46,790,515 | |
Sinosoft Tech Group Ltd. | 14,393,000 | 880,396 | |
Synopsys, Inc. (b) | 106,700 | 34,058,640 | |
System Information Co. Ltd. | 48,000 | 378,452 | |
System Research Co. Ltd. | 147,000 | 2,365,977 | |
Telos Corp. (b) | 134,810 | 1,298,220 | |
Tenable Holdings, Inc. (b) | 1,087,748 | 54,713,724 | |
Varonis Systems, Inc. (b) | 104,050 | 3,440,934 | |
VMware, Inc. Class A | 196,688 | 25,195,733 | |
Workday, Inc. Class A (b) | 127,823 | 19,978,735 | |
Workiva, Inc. (b) | 172,600 | 12,601,526 | |
Zendesk, Inc. (b) | 420,000 | 38,409,000 | |
Zuora, Inc. (b)(c) | 285,080 | 2,890,711 | |
2,220,006,417 | |||
Technology Hardware, Storage & Peripherals - 1.3% | |||
3D Systems Corp. (b)(c) | 139,175 | 1,504,482 | |
Apple, Inc. | 5,709,657 | 849,825,348 | |
Avid Technology, Inc. (b) | 36,910 | 1,081,094 | |
Dell Technologies, Inc. | 378,353 | 18,894,949 | |
Elecom Co. Ltd. | 66,800 | 788,721 | |
MCJ Co. Ltd. | 1,017,300 | 6,874,983 | |
Pure Storage, Inc. Class A (b) | 79,310 | 1,882,026 | |
Samsung Electronics Co. Ltd. | 101,720 | 5,518,227 | |
Seagate Technology Holdings PLC | 117,400 | 9,940,258 | |
TSC Auto ID Technology Corp. | 43,000 | 268,793 | |
Western Digital Corp. (b) | 336,000 | 20,391,840 | |
916,970,721 | |||
TOTAL INFORMATION TECHNOLOGY | 5,563,136,701 | ||
MATERIALS - 1.8% | |||
Chemicals - 0.9% | |||
Ashland Global Holdings, Inc. | 26,830 | 2,871,347 | |
Aspen Aerogels, Inc. (b)(c) | 40,240 | 705,005 | |
Axalta Coating Systems Ltd. (b) | 414,300 | 11,252,388 | |
Balchem Corp. | 35,284 | 4,390,388 | |
C. Uyemura & Co. Ltd. | 77,700 | 4,369,814 | |
CF Industries Holdings, Inc. | 1,037,322 | 102,456,294 | |
Chase Corp. | 8,134 | 657,146 | |
DuPont de Nemours, Inc. | 1,619,875 | 109,908,519 | |
Element Solutions, Inc. | 1,477,220 | 31,450,014 | |
Huntsman Corp. | 343,754 | 12,461,083 | |
International Flavors & Fragrances, Inc. | 313,521 | 41,438,071 | |
Isamu Paint Co. Ltd. | 3,600 | 80,006 | |
K+S AG | 153,100 | 4,294,740 | |
Linde PLC | 260,600 | 84,611,608 | |
LyondellBasell Industries NV Class A | 221,300 | 25,283,525 | |
Minerals Technologies, Inc. | 36,276 | 2,403,648 | |
Olin Corp. | 834,810 | 54,922,150 | |
Quaker Houghton (c) | 8,810 | 1,377,884 | |
Scientex Bhd | 1,245,100 | 1,029,408 | |
Scientex Bhd warrants 1/14/26 (b) | 118,080 | 22,384 | |
Sensient Technologies Corp. | 45,792 | 4,004,052 | |
Sherwin-Williams Co. | 341,200 | 91,455,248 | |
Sisecam Resources LP | 25,000 | 475,500 | |
SK Kaken Co. Ltd. | 5,000 | 1,305,006 | |
Soulbrain Co. Ltd. | 15,800 | 3,484,504 | |
The Mosaic Co. | 251,300 | 15,743,945 | |
Toho Acetylene Co. Ltd. | 82,700 | 745,832 | |
Tronox Holdings PLC | 596,641 | 10,745,504 | |
Valvoline, Inc. (c) | 703,987 | 23,555,405 | |
647,500,418 | |||
Construction Materials - 0.1% | |||
Eagle Materials, Inc. (c) | 173,359 | 22,633,751 | |
RHI Magnesita NV | 63,000 | 1,913,210 | |
Summit Materials, Inc. (b) | 1,383,810 | 37,791,851 | |
Vertex Corp. | 11,200 | 288,406 | |
Vicat SA | 43,400 | 1,339,522 | |
Wienerberger AG | 72,713 | 2,007,730 | |
65,974,470 | |||
Containers & Packaging - 0.1% | |||
Aptargroup, Inc. | 71,726 | 7,681,137 | |
Crown Holdings, Inc. | 361,530 | 37,758,193 | |
O-I Glass, Inc. (b)(c) | 82,540 | 1,357,783 | |
Silgan Holdings, Inc. | 30,000 | 1,314,300 | |
Vidrala SA | 5,250 | 418,765 | |
48,530,178 | |||
Metals & Mining - 0.6% | |||
Alcoa Corp. | 362,300 | 22,361,156 | |
Arconic Corp. (b) | 114,660 | 3,225,386 | |
Chubu Steel Plate Co. Ltd. | 64,700 | 405,082 | |
Commercial Metals Co. | 1,191,757 | 47,348,506 | |
First Quantum Minerals Ltd. | 1,441,900 | 41,745,960 | |
Freeport-McMoRan, Inc. | 3,968,212 | 155,077,725 | |
Glencore Xstrata PLC | 4,480,600 | 29,552,171 | |
Lundin Mining Corp. | 6,236,700 | 55,520,609 | |
Mount Gibson Iron Ltd. | 12,253,674 | 6,023,787 | |
Newmont Corp. | 464,200 | 31,495,970 | |
Pacific Metals Co. Ltd. | 25,400 | 550,676 | |
Reliance Steel & Aluminum Co. | 68,269 | 13,271,494 | |
Rio Tinto PLC sponsored ADR | 10,000 | 734,400 | |
Royal Gold, Inc. | 71,519 | 8,087,369 | |
Sandfire Resources NL | 196,469 | 778,298 | |
St Barbara Ltd. | 491,765 | 448,202 | |
Teck Resources Ltd. Class B (sub. vtg.) | 47,400 | 1,965,178 | |
418,591,969 | |||
Paper & Forest Products - 0.1% | |||
Louisiana-Pacific Corp. | 414,900 | 28,652,994 | |
Resolute Forest Products, Inc. (c) | 51,790 | 748,883 | |
Stella-Jones, Inc. | 58,100 | 1,656,391 | |
31,058,268 | |||
TOTAL MATERIALS | 1,211,655,303 | ||
REAL ESTATE - 1.1% | |||
Equity Real Estate Investment Trusts (REITs) - 0.9% | |||
Alexanders, Inc. | 2,337 | 566,138 | |
Alexandria Real Estate Equities, Inc. | 6,200 | 1,028,890 | |
American Tower Corp. | 261,199 | 66,900,900 | |
Americold Realty Trust | 54,330 | 1,504,398 | |
Apartment Income (REIT) Corp. | 1,042,400 | 46,762,064 | |
Apple Hospitality (REIT), Inc. | 1,492,300 | 24,936,333 | |
Armada Hoffler Properties, Inc. | 126,030 | 1,736,693 | |
Corporate Office Properties Trust (SBI) | 313,000 | 8,651,320 | |
Crown Castle International Corp. | 367,400 | 69,677,410 | |
CubeSmart | 184,500 | 8,215,785 | |
Douglas Emmett, Inc. | 68,800 | 1,944,976 | |
Equinix, Inc. | 3,095 | 2,126,544 | |
Equity Lifestyle Properties, Inc. | 302,200 | 22,876,540 | |
Essex Property Trust, Inc. | 38,600 | 10,956,610 | |
Gaming & Leisure Properties | 924,300 | 43,275,726 | |
Host Hotels & Resorts, Inc. | 662,000 | 13,233,380 | |
Invitation Homes, Inc. | 487,500 | 18,388,500 | |
Kilroy Realty Corp. | 4,100 | 248,870 | |
Life Storage, Inc. | 48,400 | 5,651,184 | |
LXP Industrial Trust (REIT) | 4,133,881 | 47,787,664 | |
Medical Properties Trust, Inc. | 1,727,300 | 32,093,234 | |
Mid-America Apartment Communities, Inc. | 64,100 | 11,602,100 | |
Plymouth Industrial REIT, Inc. | 1,530,910 | 31,092,782 | |
Prologis (REIT), Inc. | 251,100 | 32,010,228 | |
PS Business Parks, Inc. | 21,914 | 4,111,724 | |
RLJ Lodging Trust | 530,540 | 7,125,152 | |
Sabra Health Care REIT, Inc. | 144,190 | 2,024,428 | |
Simon Property Group, Inc. | 349,435 | 40,062,723 | |
Spirit Realty Capital, Inc. | 34,800 | 1,461,252 | |
Sunstone Hotel Investors, Inc. (b) | 169,030 | 2,023,289 | |
Terreno Realty Corp. | 30,210 | 1,834,049 | |
Uniti Group, Inc. | 2,174,770 | 24,661,892 | |
Urban Edge Properties | 70,170 | 1,322,705 | |
Ventas, Inc. | 191,500 | 10,865,710 | |
Washington REIT (SBI) | 225,200 | 5,470,108 | |
Welltower, Inc. | 171,500 | 15,278,935 | |
619,510,236 | |||
Real Estate Management & Development - 0.2% | |||
Arealink Co. Ltd. | 26,800 | 291,451 | |
CBRE Group, Inc. (b) | 436,700 | 36,176,228 | |
Cushman & Wakefield PLC (b)(c) | 2,025,809 | 37,821,854 | |
Howard Hughes Corp. (b) | 187,400 | 15,765,962 | |
Jones Lang LaSalle, Inc. (b) | 73,857 | 14,573,463 | |
Newmark Group, Inc. | 2,677,800 | 29,643,246 | |
Realogy Holdings Corp. (b) | 113,410 | 1,404,016 | |
WeWork, Inc. (b)(c) | 1,444,300 | 10,528,947 | |
146,205,167 | |||
TOTAL REAL ESTATE | 765,715,403 | ||
UTILITIES - 1.7% | |||
Electric Utilities - 1.3% | |||
Allete, Inc. | 63,520 | 3,939,510 | |
Constellation Energy Corp. | 1,433,455 | 88,988,886 | |
Duke Energy Corp. | 619,100 | 69,661,132 | |
Edison International | 230,300 | 16,100,273 | |
Entergy Corp. | 336,600 | 40,499,712 | |
Evergy, Inc. | 1,182,264 | 82,687,544 | |
Exelon Corp. | 2,322,666 | 114,159,034 | |
FirstEnergy Corp. | 425,500 | 18,279,480 | |
IDACORP, Inc. | 353,843 | 38,575,964 | |
NextEra Energy, Inc. | 674,600 | 51,060,474 | |
PG&E Corp. (b) | 12,697,866 | 154,913,965 | |
Portland General Electric Co. | 699,300 | 34,440,525 | |
PPL Corp. | 1,589,700 | 47,977,146 | |
Southern Co. | 1,995,066 | 150,946,694 | |
912,230,339 | |||
Gas Utilities - 0.0% | |||
Brookfield Infrastructure Corp. A Shares (c) | 67,230 | 4,743,077 | |
China Resource Gas Group Ltd. | 462,000 | 1,934,027 | |
New Jersey Resources Corp. (c) | 49,050 | 2,252,376 | |
Seoul City Gas Co. Ltd. | 5,478 | 917,104 | |
South Jersey Industries, Inc. | 926,300 | 32,281,555 | |
YESCO Co. Ltd. | 9,188 | 266,600 | |
42,394,739 | |||
Independent Power and Renewable Electricity Producers - 0.1% | |||
Brookfield Renewable Corp. (c) | 579,210 | 20,955,818 | |
Clearway Energy, Inc. Class C | 47,070 | 1,649,804 | |
Sunnova Energy International, Inc. (b)(c) | 884,650 | 17,693,000 | |
The AES Corp. | 591,900 | 13,045,476 | |
Vistra Corp. | 194,500 | 5,128,965 | |
58,473,063 | |||
Multi-Utilities - 0.3% | |||
CenterPoint Energy, Inc. | 455,444 | 14,596,980 | |
Dominion Energy, Inc. | 1,400,517 | 117,951,542 | |
NiSource, Inc. | 337,500 | 10,614,375 | |
Public Service Enterprise Group, Inc. | 181,583 | 12,445,699 | |
Sempra Energy | 167,500 | 27,446,550 | |
183,055,146 | |||
TOTAL UTILITIES | 1,196,153,287 | ||
TOTAL COMMON STOCKS | |||
(Cost $25,948,117,910) | 30,709,145,106 | ||
Nonconvertible Preferred Stocks - 0.2% | |||
CONSUMER DISCRETIONARY - 0.1% | |||
Automobiles - 0.1% | |||
Porsche Automobil Holding SE (Germany) | 137,500 | 11,262,181 | |
INDUSTRIALS - 0.0% | |||
Aerospace & Defense - 0.0% | |||
Embraer SA sponsored ADR (b) | 788,200 | 8,441,622 | |
INFORMATION TECHNOLOGY - 0.1% | |||
Technology Hardware, Storage & Peripherals - 0.1% | |||
Samsung Electronics Co. Ltd. | 1,590,970 | 77,729,164 | |
TOTAL NONCONVERTIBLE PREFERRED STOCKS | |||
(Cost $89,852,204) | 97,432,967 | ||
Equity Funds - 54.2% | |||
Large Blend Funds - 6.8% | |||
Fidelity SAI U.S. Large Cap Index Fund (g) | 61,855,882 | 1,226,602,131 | |
Fidelity SAI U.S. Low Volatility Index Fund (g) | 194,571,083 | 3,443,908,174 | |
TOTAL LARGE BLEND FUNDS | 4,670,510,305 | ||
Large Growth Funds - 37.4% | |||
Fidelity Blue Chip Growth Fund (g) | 5,561,350 | 728,703,693 | |
Fidelity Contrafund (g) | 291,651,377 | 4,252,277,077 | |
Fidelity Growth Company Fund (g) | 215,954,947 | 5,757,358,880 | |
Fidelity Magellan Fund (g) | 324,949,034 | 3,775,907,772 | |
Fidelity SAI U.S. Momentum Index Fund (g) | 189,567,175 | 2,661,523,137 | |
Fidelity SAI U.S. Quality Index Fund (g) | 520,401,003 | 8,581,412,523 | |
TOTAL LARGE GROWTH FUNDS | 25,757,183,082 | ||
Large Value Funds - 8.2% | |||
Fidelity Large Cap Value Enhanced Index Fund (g) | 206,784,757 | 3,223,774,368 | |
Fidelity SAI U.S. Value Index Fund (g) | 186,811,882 | 2,398,664,563 | |
TOTAL LARGE VALUE FUNDS | 5,622,438,931 | ||
Mid-Cap Growth Funds - 0.0% | |||
Fidelity Extended Market Index Fund (g) | 140,274 | 9,653,628 | |
Small Blend Funds - 0.9% | |||
Fidelity Small Cap Discovery Fund (g) | 22,776,984 | 614,067,483 | |
Fidelity Small Cap Index Fund (g) | 468,342 | 10,781,226 | |
TOTAL SMALL BLEND FUNDS | 624,848,709 | ||
Small Growth Funds - 0.9% | |||
Fidelity Advisor Small Cap Growth Fund Class Z (g) | 26,480,430 | 645,592,892 | |
TOTAL EQUITY FUNDS | |||
(Cost $35,802,698,742) | 37,330,227,547 | ||
Other - 0.0% | |||
Commodity Funds - Broad Basket - 0.0% | |||
Fidelity SAI Inflation-Focused Fund (g) | |||
(Cost $10,022,703) | 1,173,878 | 15,530,401 | |
Money Market Funds - 1.8% | |||
Fidelity Cash Central Fund 0.82% (h) | 698,925,728 | 699,065,513 | |
Fidelity Securities Lending Cash Central Fund 0.82% (h)(i) | 538,478,883 | 538,532,731 | |
TOTAL MONEY MARKET FUNDS | |||
(Cost $1,237,594,482) | 1,237,598,244 | ||
TOTAL INVESTMENT IN SECURITIES - 100.8% | |||
(Cost $63,088,286,041) | 69,389,934,265 | ||
NET OTHER ASSETS (LIABILITIES) - (0.8)% | (524,918,394) | ||
NET ASSETS - 100% | $68,865,015,871 |
Written Options | ||||||
Counterparty | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | |
Call Options | ||||||
Bristol-Myers Squibb Co. | Chicago Board Options Exchange | 1,000 | $7,545,000 | $80.00 | 9/16/22 | $(183,500) |
Hess Corp. | Chicago Board Options Exchange | 600 | 7,384,200 | 125.00 | 8/19/22 | (534,000) |
TOTAL WRITTEN OPTIONS | $(717,500) |
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) | 1 | June 2022 | $9,310 | $(1,051) | $(1,051) |
CME E-mini Russell 2000 Index Contracts (United States) | 12 | June 2022 | 1,117,140 | 44,569 | 44,569 |
CME E-mini S&P 500 Index Contracts (United States) | 219 | June 2022 | 45,237,188 | (2,989,472) | (2,989,472) |
CME E-mini S&P MidCap 400 Index Contracts (United States) | 6 | June 2022 | 1,507,920 | 45,007 | 45,007 |
TOTAL FUTURES CONTRACTS | $(2,900,947) |
The notional amount of futures purchased as a percentage of Net Assets is 0.1%
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 $33,957,286 or 0.0% of net assets.
(b) Non-income producing
(c) Security or a portion of the security is on loan at period end.
(d) Security or a portion of the security purchased on a delayed delivery or when-issued basis.
(e) Affiliated company
(f) Restricted securities (including private placements) - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $20,668,726 or 0.0% of net assets.
(g) Affiliated Fund
(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.
Additional information on each restricted holding is as follows:
Security | Acquisition Date | Acquisition Cost |
CCC Intelligent Solutions Holdings, Inc. | 2/2/21 | $1,343,850 |
Cvent Holding Corp. | 7/23/21 | $2,677,440 |
Mirion Technologies, Inc. | 6/16/21 | $14,306,130 |
Vertiv Holdings LLC | 2/6/20 | $6,000,000 |
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
Fund | 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 0.82% | $469,648,079 | $8,005,223,988 | $7,775,806,554 | $793,103 | $-- | $-- | $699,065,513 | 1.3% |
Fidelity Securities Lending Cash Central Fund 0.82% | 173,683,379 | 2,718,067,731 | 2,353,218,379 | 4,770,742 | -- | -- | 538,532,731 | 1.4% |
Total | $643,331,458 | $10,723,291,719 | $10,129,024,933 | $5,563,845 | $-- | $-- | $1,237,598,244 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations, if applicable. Amount for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.
Affiliated Underlying Funds
Fiscal year to date information regarding the Fund's investments in affiliated Underlying Funds is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur, and are excluded from purchases and sales below if applicable. If an underlying Fund 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 | $-- | $339,268,413 | $-- | $95,919,804 | $-- | $(135,426,087) | $645,592,892 |
Fidelity Blue Chip Growth Fund | -- | 942,995,121 | -- | 5,626,224 | -- | (214,291,428) | 728,703,693 |
Fidelity Contrafund | 3,354,370,561 | 1,959,191,219 | -- | 455,795,167 | -- | (1,061,284,703) | 4,252,277,077 |
Fidelity Extended Market Index Fund | -- | 1,744,805,137 | 1,438,021,225 | 21,769,149 | (296,182,035) | (948,249) | 9,653,628 |
Fidelity Growth Company Fund | 5,718,686,749 | 2,019,990,815 | -- | 739,419,528 | -- | (1,981,318,684) | 5,757,358,880 |
Fidelity Large Cap Value Enhanced Index Fund | 3,116,214,629 | 361,201,779 | -- | 361,201,778 | -- | (253,642,040) | 3,223,774,368 |
Fidelity Magellan Fund | 2,787,054,916 | 1,606,084,935 | -- | 261,343,960 | -- | (617,232,079) | 3,775,907,772 |
Fidelity SAI Inflation-Focused Fund | 10,795,429 | 3,254,116 | -- | 3,254,115 | -- | 1,480,856 | 15,530,401 |
Fidelity SAI U.S. Large Cap Index Fund | 1,279,013,129 | 7,092,712,170 | 7,019,423,571 | 184,289,638 | 164,233,057 | (289,932,654) | 1,226,602,131 |
Fidelity SAI U.S. Low Volatility Index Fund | 2,108,242,671 | 1,336,729,490 | -- | 86,089,811 | -- | (1,063,987) | 3,443,908,174 |
Fidelity SAI U.S. Momentum Index Fund | 1,526,869,335 | 1,507,809,462 | -- | 316,476,270 | -- | (373,155,660) | 2,661,523,137 |
Fidelity SAI U.S. Quality Index Fund | 6,488,426,308 | 2,669,622,705 | -- | 645,907,454 | -- | (576,636,490) | 8,581,412,523 |
Fidelity SAI U.S. Value Index Fund | 2,410,798,537 | 192,743,015 | 307,964,494 | 142,743,015 | 21,102,438 | 81,985,067 | 2,398,664,563 |
Fidelity Small Cap Discovery Fund | 466,394,048 | 216,306,456 | -- | 31,164,181 | -- | (68,633,021) | 614,067,483 |
Fidelity Small Cap Growth Fund | 546,324,788 | -- | -- | -- | -- | (104,574,222) | -- |
Fidelity Small Cap Index Fund | 2,007,379,429 | 169,608,590 | 2,158,398,224 | 9,090,257 | 647,443,046 | (655,251,615) | 10,781,226 |
Total | $31,820,570,529 | $22,162,323,423 | $10,923,807,514 | $3,360,090,351 | $536,596,506 | $(6,249,924,996) | $37,345,757,948 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations, if applicable.
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.
Affiliate | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income | Realized Gain (loss) | Change in Unrealized appreciation (depreciation) | Value, end of period |
Makus, Inc. | $8,085,051 | $-- | $4,402,898 | $109,618 | $1,901,177 | $656,108 | $-- |
RAPT Therapeutics, Inc. | -- | 38,757,574 | -- | -- | -- | (14,438,368) | 24,319,206 |
Total | $8,085,051 | $38,757,574 | $4,402,898 | $109,618 | $1,901,177 | $(13,782,260) | $24,319,206 |
Investment Valuation
The following is a summary of the inputs used, as of May 31, 2022, 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 | $2,278,590,636 | $2,256,899,954 | $21,690,682 | $-- |
Consumer Discretionary | 2,545,616,512 | 2,494,745,311 | 50,871,201 | -- |
Consumer Staples | 1,918,598,056 | 1,856,585,085 | 62,012,971 | -- |
Energy | 2,289,270,865 | 2,289,270,865 | -- | -- |
Financials | 4,763,549,588 | 4,709,859,676 | 53,689,912 | -- |
Health Care | 4,667,032,367 | 4,452,544,495 | 214,487,872 | -- |
Industrials | 3,529,530,191 | 3,336,736,186 | 192,794,005 | -- |
Information Technology | 5,640,865,865 | 5,480,027,347 | 160,838,518 | -- |
Materials | 1,211,655,303 | 1,181,552,456 | 30,102,847 | -- |
Real Estate | 765,715,403 | 765,715,403 | -- | -- |
Utilities | 1,196,153,287 | 1,196,153,287 | -- | -- |
Equity Funds | 37,330,227,547 | 37,330,227,547 | -- | -- |
Other | 15,530,401 | 15,530,401 | -- | -- |
Money Market Funds | 1,237,598,244 | 1,237,598,244 | -- | -- |
Total Investments in Securities: | $69,389,934,265 | $68,603,446,257 | $786,488,008 | $-- |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $89,576 | $89,576 | $-- | $-- |
Total Assets | $89,576 | $89,576 | $-- | $-- |
Liabilities | ||||
Futures Contracts | $(2,990,523) | $(2,990,523) | $-- | $-- |
Written Options | (717,500) | (717,500) | -- | -- |
Total Liabilities | $(3,708,023) | $(3,708,023) | $-- | $-- |
Total Derivative Instruments: | $(3,618,447) | $(3,618,447) | $-- | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of May 31, 2022. 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 | $89,576 | $(2,990,523) |
Written Options | 0 | (717,500) |
Total Equity Risk | 89,576 | (3,708,023) |
Total Value of Derivatives | $89,576 | $(3,708,023) |
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
May 31, 2022 | ||
Assets | ||
Investment in securities, at value (including securities loaned of $512,518,233) — See accompanying schedule: Unaffiliated issuers (cost $25,999,212,538) | $30,782,258,867 | |
Fidelity Central Funds (cost $1,237,594,482) | 1,237,598,244 | |
Other affiliated issuers (cost $35,851,479,021) | 37,370,077,154 | |
Total Investment in Securities (cost $63,088,286,041) | $69,389,934,265 | |
Segregated cash with brokers for derivative instruments | 2,600,255 | |
Cash | 5,259,367 | |
Foreign currency held at value (cost $4,696,347) | 4,823,768 | |
Receivable for investments sold | 47,152,086 | |
Receivable for fund shares sold | 69,875,272 | |
Dividends receivable | 50,440,879 | |
Distributions receivable from Fidelity Central Funds | 534,163 | |
Prepaid expenses | 177,363 | |
Other receivables | 429,035 | |
Total assets | 69,571,226,453 | |
Liabilities | ||
Payable for investments purchased | ||
Regular delivery | $131,230,253 | |
Delayed delivery | 555,564 | |
Payable for fund shares redeemed | 26,196,262 | |
Accrued management fee | 6,724,225 | |
Payable for daily variation margin on futures contracts | 294,918 | |
Written options, at value (premium received $637,512) | 717,500 | |
Other payables and accrued expenses | 1,962,758 | |
Collateral on securities loaned | 538,529,102 | |
Total liabilities | 706,210,582 | |
Net Assets | $68,865,015,871 | |
Net Assets consist of: | ||
Paid in capital | $60,327,420,949 | |
Total accumulated earnings (loss) | 8,537,594,922 | |
Net Assets | $68,865,015,871 | |
Net Asset Value, offering price and redemption price per share ($68,865,015,871 ÷ 5,193,313,055 shares) | $13.26 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Year ended May 31, 2022 | ||
Investment Income | ||
Dividends: | ||
Unaffiliated issuers | $449,860,323 | |
Affiliated issuers | 286,933,072 | |
Non-Cash dividends | 44,493,285 | |
Income from Fidelity Central Funds (including $4,770,742 from security lending) | 5,563,845 | |
Total income | 786,850,525 | |
Expenses | ||
Management fee | $252,313,966 | |
Custodian fees and expenses | 601,931 | |
Independent trustees' fees and expenses | 445,334 | |
Registration fees | 3,682,963 | |
Audit | 95,497 | |
Legal | 110,144 | |
Miscellaneous | 326,366 | |
Total expenses before reductions | 257,576,201 | |
Expense reductions | (169,820,137) | |
Total expenses after reductions | 87,756,064 | |
Net investment income (loss) | 699,094,461 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers (net of foreign taxes of $4,564,509) | 1,307,014,997 | |
Affiliated issuers | 550,001,813 | |
Foreign currency transactions | (1,270,750) | |
Futures contracts | (103,779) | |
Written options | 1,551,062 | |
Capital gain distributions from underlying funds: | ||
Affiliated issuers | 3,073,266,897 | |
Total net realized gain (loss) | 4,930,460,240 | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers (net of decrease in deferred foreign taxes of $2,342,983) | (2,964,482,790) | |
Affiliated issuers | (6,263,707,256) | |
Unfunded commitments | (1,801,679) | |
Assets and liabilities in foreign currencies | (293,300) | |
Futures contracts | (2,900,947) | |
Written options | (79,988) | |
Total change in net unrealized appreciation (depreciation) | (9,233,265,960) | |
Net gain (loss) | (4,302,805,720) | |
Net increase (decrease) in net assets resulting from operations | $(3,603,711,259) |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Year ended May 31, 2022 | Year ended May 31, 2021 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $699,094,461 | $512,715,492 |
Net realized gain (loss) | 4,930,460,240 | 3,451,371,630 |
Change in net unrealized appreciation (depreciation) | (9,233,265,960) | 13,365,930,289 |
Net increase (decrease) in net assets resulting from operations | (3,603,711,259) | 17,330,017,411 |
Distributions to shareholders | (5,208,639,221) | (1,284,354,099) |
Share transactions | ||
Proceeds from sales of shares | 29,306,308,888 | 20,227,797,679 |
Reinvestment of distributions | 5,100,769,766 | 1,253,181,860 |
Cost of shares redeemed | (16,843,458,876) | (10,842,890,026) |
Net increase (decrease) in net assets resulting from share transactions | 17,563,619,778 | 10,638,089,513 |
Total increase (decrease) in net assets | 8,751,269,298 | 26,683,752,825 |
Net Assets | ||
Beginning of period | 60,113,746,573 | 33,429,993,748 |
End of period | $68,865,015,871 | $60,113,746,573 |
Other Information | ||
Shares | ||
Sold | 2,010,560,389 | 1,563,776,896 |
Issued in reinvestment of distributions | 336,660,502 | 95,299,001 |
Redeemed | (1,143,166,462) | (835,812,779) |
Net increase (decrease) | 1,204,054,429 | 823,263,118 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Strategic Advisers Fidelity U.S. Total Stock Fund
Years ended May 31, | 2022 | 2021 | 2020 | 2019 | 2018 A |
Selected Per–Share Data | |||||
Net asset value, beginning of period | $15.07 | $10.56 | $9.72 | $9.96 | $10.00 |
Income from Investment Operations | |||||
Net investment income (loss)B,C | .15 | .14 | .16 | .18 | .01 |
Net realized and unrealized gain (loss) | (.75) | 4.73 | 1.00 | (.20) | (.05) |
Total from investment operations | (.60) | 4.87 | 1.16 | (.02) | (.04) |
Distributions from net investment income | (.12) | (.18) | (.17) | (.09)D | – |
Distributions from net realized gain | (1.09) | (.19) | (.16) | (.13)D | – |
Total distributions | (1.21) | (.36)E | (.32)E | (.22) | – |
Net asset value, end of period | $13.26 | $15.07 | $10.56 | $9.72 | $9.96 |
Total ReturnF,G | (4.85)% | 46.63% | 11.84% | (.04)% | (.40)% |
Ratios to Average Net AssetsC,H,I | |||||
Expenses before reductions | .38% | .38% | .39% | .42% | .54%J |
Expenses net of fee waivers, if any | .13% | .13% | .14% | .17% | .29%J,K |
Expenses net of all reductions | .13% | .13% | .14% | .17% | .29%J,K |
Net investment income (loss) | 1.03% | 1.11% | 1.55% | 1.81% | .55%J |
Supplemental Data | |||||
Net assets, end of period (000 omitted) | $68,865,016 | $60,113,747 | $33,429,994 | $22,411,704 | $16,637,411 |
Portfolio turnover rateL | 35% | 46% | 52% | 61% | 126%M,N |
A For the period March 20, 2018 (commencement of operations) through May 31, 2018.
B Calculated based on average shares outstanding during the period.
C Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any such underlying funds is not included in the Fund's net investment income (loss) ratio.
D The amounts shown reflect certain reclassifications related to book to tax differences that were made in the year shown.
E Total distributions per share do not sum due to rounding.
F Total returns for periods of less than one year are not annualized.
G Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
H Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
I Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
J Annualized
K Audit fees are not annualized.
L Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
M Portfolio turnover rate excludes securities received or delivered in-kind.
N Amount not annualized.
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements
For the period ended May 31, 2022
1. Organization.
Strategic Advisers Fidelity U.S. Total Stock Fund (the Fund) is a fund of Fidelity Rutland Square Trust II (the Trust), and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust. The Fund is offered exclusively to certain managed account clients of Strategic Advisers LLC (Strategic Advisers), an affiliate of Fidelity Management & Research Company LLC (FMR).
2. Significant Accounting Policies.
The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
- Level 1 – 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 vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Exchange-traded options are valued using the last sale price or, in the absence of a sale, the last offering price and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of May 31, 2022 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. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain. Funds may file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. Any withholding tax reclaims income is included in the Statement of Operations in dividends. Any receivables for withholding tax reclaims are included in the Statement of Assets and Liabilities in dividends receivable.
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan) for certain Funds, certain independent Trustees have elected to defer receipt of a portion of their annual compensation. Deferred amounts are invested in affiliated mutual funds, are marked-to-market and remain in a fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees presented below are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, as applicable.
Strategic Advisers Fidelity U.S. Total Stock Fund | $19,865 |
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of May 31, 2022, 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), partnerships and losses deferred due to wash sales and excise tax regulations.
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
Gross unrealized appreciation | $10,567,724,386 |
Gross unrealized depreciation | (4,486,966,822) |
Net unrealized appreciation (depreciation) | $6,080,757,564 |
Tax Cost | $63,308,459,201 |
The tax-based components of distributable earnings as of period end were as follows:
Undistributed ordinary income | $154,102,561 |
Undistributed long-term capital gain | $2,812,144,736 |
Net unrealized appreciation (depreciation) on securities and other investments | $6,080,658,289 |
The Fund intends to elect to defer to its next fiscal year $509,105,569 of capital losses recognized during the period November 1, 2021 to May 31, 2022.
The tax character of distributions paid was as follows:
May 31, 2022 | May 31, 2021 | |
Ordinary Income | $1,871,983,731 | $736,457,893 |
Long-term Capital Gains | 3,336,655,490 | 547,896,206 |
Total | 5,208,639,221 | 1,284,354,099 |
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.
Special Purpose Acquisition Companies. Funds may invest in stock, warrants, and other securities of special purpose acquisition companies (SPACs) or similar special purpose entities. A SPAC is a publicly traded company that raises investment capital via an initial public offering (IPO) for the purpose of acquiring the equity securities of one or more existing companies via merger, business combination, acquisition or other similar transactions within a designated time frame.
Private Investment in Public Equity. Funds may acquire equity securities of an issuer through a private investment in a public equity (PIPE) transaction, including through commitments to purchase securities on a when-issued basis. A PIPE typically involves the purchase of securities directly from a publicly traded company in a private placement transaction. Securities purchased through PIPE transactions will be restricted from trading and considered illiquid until a resale registration statement for the shares is filed and declared effective.
At the current and/or prior period end, the Fund had commitments to purchase when-issued securities through PIPE transactions with SPACs. The commitments are contingent upon the SPACs acquiring the securities of target companies. Unrealized appreciation (depreciation) on any commitments outstanding at period end is separately presented in the Statements 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.
3. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund's investment objective allows the Fund to enter into various types of derivative contracts, including futures contracts and options. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.
The Fund used derivatives to increase returns and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.
The Fund's use of derivatives increased or decreased its exposure to the following risks:
Equity Risk | Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment. |
The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Counterparty credit risk related to exchange-traded futures contracts and exchange-traded options may be mitigated by the protection provided by the exchange on which they trade.
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.
Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives. The table below, which reflects the impacts of derivatives on the financial performance of the Fund, summarizes the net realized gain (loss) and change in net unrealized appreciation (depreciation) for derivatives during the period as presented in the Statement of Operations.
Primary Risk Exposure / Derivative Type | Net Realized Gain (Loss) | Change in Net Unrealized Appreciation (Depreciation) |
Equity Risk | ||
Futures Contracts | $(103,779) | $(2,900,947) |
Written Options | 1,551,062 | (79,988) |
Total Equity Risk | 1,447,283 | (2,980,935) |
Totals | $1,447,283 | $(2,980,935) |
A summary of the value of derivatives by primary risk exposure as of period end is included at the end of the Schedule of Investments.
Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. The Fund used futures contracts to manage its exposure to the stock market.
Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments (variation margin) are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is presented in the Statement of Operations.
Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The notional amount at value reflects each contract's exposure to the underlying instrument or index at period end and is representative of volume of activity during the period. 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.
The Fund used exchange-traded written covered call options to manage its exposure to the market. When the Fund writes a covered call option, the Fund holds the underlying instrument which must be delivered to the holder upon the exercise of the option.
Upon entering into a written options contract, the Fund will receive a premium. Premiums received are reflected as a liability on the Statement of Assets and Liabilities. Options are valued daily and any unrealized appreciation (depreciation) is reflected on the Statement of Assets and Liabilities. When a written option is exercised, the premium is added to the proceeds from the sale of the underlying instrument in determining the gain or loss realized on that investment. When an option is closed the Fund will realize a gain or loss depending on whether the proceeds or amount paid for the closing sale transaction are greater or less than the premium received. When an option expires, gains and losses are realized to the extent of premiums received. The net realized gain (loss) on closed and expired written options and the change in net unrealized appreciation (depreciation) on written options are presented in the Statement of Operations.
Writing call options tends to decrease exposure to the underlying instrument and risk of loss is the change in value in excess of the premium received.
Any open options at period end are presented in the Schedule of Investments under the caption "Written Options" and are representative of volume of activity during the period.
4. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities and in-kind transactions, as applicable, are noted in the table below.
Purchases ($) | Sales ($) | |
Strategic Advisers Fidelity U.S. Total Stock Fund | 39,307,512,320 | 23,252,049,827 |
5. Fees and Other Transactions with Affiliates.
Management Fee. Strategic Advisers (the investment adviser) provides the Fund with investment management related services. For these services, the Fund pays a monthly management fee to the investment adviser. The management fee is calculated by adding the annual management fee rate of .25% of the Fund's average net assets throughout the month to the aggregate of the fee rates, payable monthly by the investment adviser, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed 1.00% of the Fund's average net assets. For the reporting period, the total annual management fee rate was .37% of the Fund's average net assets.
During the period, the investment adviser waived a portion of its management fee as described in the Expense Reductions note.
Sub-Advisers. FIAM LLC (an affiliate of the investment adviser) and Geode Capital Management, LLC each served as a sub-adviser for the Fund during the period. Sub-advisers provide discretionary investment advisory services for their allocated portion of the Fund's assets and are paid as described in the Management Fee note.
FIL Investment Advisors (FIL) has been retained to serve as a sub-adviser for the Fund. As of the date of this report, however, FIL has not been allocated any portion of the Fund's assets. FIL in the future may provide discretionary investment advisory services for an allocated portion of the Fund's assets and will be paid by the investment adviser for providing these services.
Brokerage Commissions. A portion of portfolio transactions were placed with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Statement of Operations. The commissions paid to these affiliated firms were as follows:
Amount | |
Strategic Advisers Fidelity U.S. Total Stock Fund | $248,741 |
Interfund Trades. Funds may purchase from or sell securities to other funds affiliated with each sub-adviser under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. Interfund trades during the period are noted in the table below.
Purchases ($) | Sales ($) | Realized Gain (Loss) ($) | |
Strategic Advisers Fidelity U.S. Total Stock Fund | 2,079,108,850 | 1,024,514,380 | 14,668,794 |
Other. During the period, the investment adviser reimbursed the Fund for certain losses as follows:
Amount ($) | |
Strategic Advisers Fidelity U.S. Total Stock Fund | 33,299 |
6. Investments in Fidelity Central Funds.
Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.
Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense Ratio(a) |
Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |
(a) Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.
7. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below. During the period, there were no borrowings on this line of credit.
Amount | |
Strategic Advisers Fidelity U.S. Total Stock Fund | $107,861 |
8. Security Lending.
Funds lend portfolio securities from time to time in order to earn additional income. Lending agents are used, including National Financial Services (NFS), an affiliate of the investment adviser. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of a fund's daily lending revenue, for its services as lending agent. A fund may lend securities to certain qualified borrowers, including NFS. On the settlement date of the loan, a fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of a fund and any additional required collateral is delivered to a fund on the next business day. A fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund may apply collateral received from the borrower against the obligation. A fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Affiliated security lending activity, if any, was as follows:
Total Security Lending Fees Paid to NFS | Security Lending Income From Securities Loaned to NFS | Value of Securities Loaned to NFS at Period End | |
Strategic Advisers Fidelity U.S. Total Stock Fund | $100,740 | $– | $– |
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, 2024. During the period, this waiver reduced the Fund's management fee by $ 169,459,593.
In addition, during the period the investment adviser or an affiliate reimbursed and/or waived a portion of operating expenses in the amount of $360,544.
10. Other.
A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.
Funds do not invest in underlying mutual funds for the purpose of exercising management or control; however, investments by funds within their principal investment strategies may represent a significant portion of the underlying mutual fund's net assets. At the end of the period, certain Funds were the owners of record of 10% or more of the total outstanding shares of the following underlying mutual funds as shown below.
Fund | Strategic Advisers Fidelity U.S. Total Stock Fund |
Fidelity Growth Company Fund | 13% |
Fidelity Large Cap Value Enhanced Index Fund | 51% |
Fidelity Magellan Fund | 15% |
Fidelity SAI U.S. Low Volatility Index Fund | 41% |
Fidelity SAI U.S. Momentum Index Fund | 58% |
Fidelity SAI U.S. Quality Index Fund | 76% |
Fidelity SAI U.S. Value Index Fund | 77% |
Fidelity Small Cap Discovery Fund | 19% |
Fidelity Small Cap Growth Fund | 12% |
11. Coronavirus (COVID-19) Pandemic.
An outbreak of COVID-19 first detected in China during December 2019 has since spread globally and was declared a pandemic by the World Health Organization during March 2020. Developments that disrupt global economies and financial markets, such as the COVID-19 pandemic, may magnify factors that affect the Fund's performance.
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Fidelity Rutland Square Trust II and Shareholders of Strategic Advisers Fidelity U.S. Total Stock Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Strategic Advisers Fidelity U.S. Total Stock Fund (one of the funds constituting Fidelity Rutland Square Trust II, referred to hereafter as the “Fund”) as of May 31, 2022, the related statement of operations for the year ended May 31, 2022, the statement of changes in net assets for each of the two years in the period ended May 31, 2022, including the related notes, and the financial highlights for each of the four years in the period ended May 31, 2022 and for the period March 20, 2018 (commencement of operations) through May 31, 2018 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of May 31, 2022, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended May 31, 2022 and the financial highlights for each of the four years in the period ended May 31, 2022 and for the period March 20, 2018 (commencement of operations) through May 31, 2018 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of May 31, 2022 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
Boston, Massachusetts
July 15, 2022
We have served as the auditor of one or more investment companies in the Fidelity group of funds since 1932.
Trustees and Officers
The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance. If the interests of the fund and an underlying Fidelity® fund were to diverge, a conflict of interest could arise and affect how the Trustees and Members of the Advisory Board fulfill their fiduciary duties to the affected funds. Strategic Advisers has structured the fund to avoid these potential conflicts, although there may be situations where a conflict of interest is unavoidable. In such instances, Strategic Advisers, the Trustees, and Members of the Advisory Board would take reasonable steps to minimize and, if possible, eliminate the conflict. Each of the Trustees oversees 13 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 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.
Each Trustee who is not an interested person (as defined in the 1940 Act) of the trust and the fund is referred to herein as an Independent Trustee.
The fund’s Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-3455.
Experience, Skills, Attributes, and Qualifications of the Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee may also engage professional search firms to help identify potential Independent Trustee candidates with experience, qualifications, attributes, and skills consistent with the Statement of Policy. Additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, may be considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.
In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.
Board Structure and Oversight Function. Kathleen Murphy is an interested person and currently serves as Chair. The Trustees have determined that an interested Chair is appropriate and benefits shareholders because an interested Chair has a personal and professional stake in the quality and continuity of services provided to the fund. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chair, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chair and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session. Mary C. Farrell serves as the lead Independent Trustee and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.
Fidelity® funds are overseen by different Boards of Trustees. The fund's Board oversees asset allocation funds. Other Boards oversee Fidelity's investment-grade bond, money market, and asset allocation funds, and Fidelity's equity and high income funds. The fund may invest in Fidelity® funds overseen by such other Boards. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity® funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues.
The Trustees primarily operate as a full Board, but also operate in committees, to facilitate the timely and efficient consideration of all matters of importance to the Trustees, the fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the fund's activities and associated risks. The Board has charged Strategic Advisers and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the fund's business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above. Because the day-to-day operations and activities of the fund are carried out by or through Strategic Advisers, its affiliates and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees. Board oversight of different aspects of the fund's activities is exercised primarily through the full Board, but also through the Audit and Compliance Committee. Appropriate personnel, including but not limited to the fund's Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the fund's Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate. The responsibilities of each standing committee, including their oversight responsibilities, are described further under "Standing Committees of the Trustees."
Interested Trustees*:
Correspondence intended for a Trustee who is an interested person may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Charles S. Morrison (1960)
Year of Election or Appointment: 2020
Trustee
Mr. Morrison also serves as Trustee of other funds. Previously, Mr. Morrison served as President (2017-2018) and Director (2014-2018) of Fidelity SelectCo, LLC (investment adviser firm), President of Fidelity Management & Research Company (FMR) (investment adviser firm, 2016-2018), a Director of Fidelity Investments Money Management, Inc. (investment adviser firm, 2014-2018), President, Asset Management (2014-2018), Trustee of the Fidelity Equity and High Income Funds (283 funds as of December 2018) (2014-2018), and was an employee of Fidelity Investments. Mr. Morrison also previously served as Vice President of Fidelity's Fixed Income and Asset Allocation Funds (2012-2014), President, Fixed Income (2011-2014), Vice President of Fidelity's Money Market Funds (2005-2009), President, Money Market Group Leader of FMR (2009), and Senior Vice President, Money Market Group of FMR (2004-2009). Mr. Morrison also served as Vice President of Fidelity's Bond Funds (2002-2005), certain Balanced Funds (2002-2005), and certain Asset Allocation Funds (2002-2007), and as Senior Vice President (2002-2005) of Fidelity's Bond Division.
Kathleen Murphy (1963)
Year of Election or Appointment: 2022
Trustee
Chair of the Board of Trustees
Ms. Murphy also serves as Trustee of other funds. Ms. Murphy serves as a Senior Adviser to the Chief Executive Officer of Fidelity Investments (2022-present), member of the Board of Directors of Snyk Technologies (cybersecurity technology, 2022-present), member of the Advisory Board of FliptRX (pharmacy benefits manager, 2022-present), member of the Board of Directors of Fidelity Investments Life Insurance Company (2009-present)), and member of the Board of Directors of Empire Fidelity Investments Life Insurance Company (2009-present). Previously, Ms. Murphy served as President of Personal Investing at Fidelity Investments (2009-2021), Chief Executive Officer of ING U.S. Wealth Management (2003-2008), and Deputy General Counsel, General Counsel and Chief Compliance Officer (1997-2003) of Aetna. Ms. Murphy also serves as Vice Chairman of the Board of Directors of the National Football Foundation (2013-present).
* Determined to be an "Interested Trustee" by virtue of, among other things, his or her affiliation with the trust or various entities under common control with Strategic Advisers.
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Independent Trustees:
Correspondence intended for an Independent Trustee may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Peter C. Aldrich (1944)
Year of Election or Appointment: 2006
Trustee
Mr. Aldrich also serves as Trustee of other funds. Mr. Aldrich is an independent Director of BLPF GP LLC (general partner of a private fund, 2006-present) and BlackRock US Core Property Fund, Inc. (real estate investment trust, 2006-present). Previously, Mr. Aldrich served as a Managing Member of Poseidon, LLC (foreign private investment, 1998-2004), and Chairman and Managing Member of AEGIS, LLC (foreign private investment, 1997-2004). Mr. Aldrich previously was a founder, Chief Executive Officer, and Chairman of AEW Capital Management, L.P. (then, Aldrich, Eastman and Waltch, L.P.). Mr. Aldrich also served as a Director of LivelyHood, Inc. (private corporation, 2013-2020), a Trustee for the Fidelity Rutland Square Trust (2005-2010), a Director of Zipcar, Inc. (car sharing services, 2001-2009) and as Faculty Chairman of The Research Council on Global Investment of The Conference Board (business and professional education non-profit, 1999-2004). Mr. Aldrich is a Member Emeritus of the Board of Directors of the National Bureau of Economic Research and the Board of Trustees of the Museum of Fine Arts Boston.
Mary C. Farrell (1949)
Year of Election or Appointment: 2013
Trustee
Ms. Farrell also serves as Trustee of other funds. Ms. Farrell is a Director of the W.R. Berkley Corporation (insurance provider) and Director (2006-present) and Chair (2021-present) of the Howard Gilman Foundation (charitable organization). Previously, Ms. Farrell was Managing Director and Chief Investment Strategist at UBS Wealth Management USA and Co-Head of UBS Wealth Management Investment Strategy & Research Group (2003-2005) and President (2009-2021) of the Howard Gilman Foundation (charitable organization). Ms. Farrell also served as Investment Strategist at PaineWebber (1982-2000) and UBS PaineWebber (2000-2002). Ms. Farrell serves as Chairman of the Board of Trustees of Yale-New Haven Hospital and Vice Chairman of the Yale New Haven Health System Board and previously served as Trustee on the Board of Overseers of the New York University Stern School of Business.
Karen Kaplan (1960)
Year of Election or Appointment: 2006
Trustee
Ms. Kaplan also serves as Trustee of other funds. Ms. Kaplan is Chair (2014-present) and Chief Executive Officer (2013-present) of Hill Holliday (advertising and specialized marketing). Ms. Kaplan is a Member of the Board of Governors of the Chief Executives’ Club of Boston (2010-present), Member of the Executive Committee and past Chair of the Greater Boston Chamber of Commerce (2006-present), Advisory Board Member of the National Association of Corporate Directors Chapter (2012-present), Member of the Board of Trustees of the Post Office Square Trust (2012-present), Trustee of the Brigham and Women’s Hospital (2016-present), Overseer of the Boston Symphony Orchestra (2014-present), Member of the Board of Directors of The Advertising Council, Inc. (2016-present), Member of the Ron Burton Training Village Executive Board of Advisors (2017-present), Member of the Executive Committee of The Ad Council, Inc. (2019-present), and Member of the Board of Directors of The Ad Club of Boston (2020-present). Previously, Ms. Kaplan served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010), Director of The Michaels Companies, Inc. (specialty retailer, 2015-2021), a member of the Clinton Global Initiative (2010-2015), Director of DSM (dba Delta Dental and DentaQuest) (2004-2014), Formal Appointee of the 2015 Baker-Polito Economic Development Council, Director of Vera Bradley Inc. (designer of women’s accessories, 2012-2015), Member of the Board of Directors of the Massachusetts Conference for Women (2008-2015), Member of the Board of Directors of Jobs for Massachusetts (2012-2015), President of the Massachusetts Women’s Forum (2008-2010), Treasurer of the Massachusetts Women’s Forum (2002-2006), and Vice Chair of the Board of the Massachusetts Society for the Prevention of Cruelty to Children (2003-2010).
Christine Marcks (1955)
Year of Election or Appointment: 2020
Trustee
Ms. Marcks also serves as Trustee of other Funds. Prior to her retirement, Ms. Marcks served as Chief Executive Officer and President – Prudential Retirement (2007-2017) and Vice President for Rollover and Retirement Income Strategies (2005-2007), Prudential Financial, Inc. (financial services). Previously, Ms. Marcks served as a Member of the Advisory Board of certain Fidelity® funds (2019-2020), was Senior Vice President and Head of Financial Horizons (2002-2004) and Vice President, Strategic Marketing (2000-2002) of Voya Financial (formerly ING U.S.) (financial services), held numerous positions at Aetna Financial Services (financial services, 1987-2000) and served as an International Economist for the United States Department of the Treasury (1980-1987). Ms. Marcks also serves as a member of the Board of Trustees, Audit Committee and Benefits & Operations Committee of the YMCA Retirement Fund (2018-present), a non-profit organization providing retirement plan benefits to YMCA staff members, and as a member of the Board of Trustees of Assumption College (2019-present).
Heidi L. Steiger (1953)
Year of Election or Appointment: 2017
Trustee
Ms. Steiger also serves as Trustee of other funds. Ms. Steiger serves as Managing Partner of Topridge Associates, LLC (consulting, 2005-present) and a member of the Board of Directors (2022-present) of Live Current Media, Inc. Previously, Ms. Steiger served as a member of the Board of Directors (2013-2021) and member of the Membership and Executive Committee (2017-2021) of Business Executives for National Security (nonprofit), a member of the Board of Directors Chair of the Remuneration Committee of Imagine Intelligent Materials Limited (2019-2021) (technology company), a member of the Advisory Board of the joint degree program in Global Luxury Management at North Carolina State University (Raleigh, NC) and Skema (Paris) (2018-2021), a Non-Executive Director of CrowdBureau Corporation (financial technology company and index provider, 2018-2021), a member of the Global Advisory Board and Of Counsel to Signum Global Advisors (international policy and strategy, 2018-2020), Eastern Region President of The Private Client Reserve of U.S. Bancorp (banking and financial services, 2010-2015), Advisory Director of Berkshire Capital Securities, LLC (financial services, 2009-2010), President and Senior Advisor of Lowenhaupt Global Advisors, LLC (financial services, 2005-2007), and President and Contributing Editor of Worth Magazine (2004-2005) and held a variety of positions at Neuberger Berman Group, LLC (financial services, 1986-2004), including Partner and Executive Vice President and Global Head of Private Asset Management at Neuberger Berman (1999-2004). Ms. Steiger also served as a member of the Board of Directors of Nuclear Electric Insurance Ltd (insurer of nuclear utilities, 2006-2017), a member of the Board of Trustees and Audit Committee of the Eaton Vance Funds (2007-2010), a member of the Board of Directors of Aviva USA (formerly AmerUs) (insurance, 2004-2014), and a member of the Board of Trustees and Audit Committee and Chair of the Investment Committee of CIFG (financial guaranty insurance, 2009-2012), and a member of the Board of Directors of Kin Group Plc (formerly, Fitbug Holdings) (health and technology, 2016-2017).
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Advisory Board Members and Officers:
Correspondence intended for a Member of the Advisory Board (if any) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235. Correspondence intended for an officer or Howard E. Cox, Jr. may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210. Officers appear below in alphabetical order.
Name, Year of Birth; Principal Occupation
Howard E. Cox, Jr. (1944)
Year of Election or Appointment: 2009
Member of the Advisory Board
Mr. Cox also serves as a Member of the Advisory Board of other funds. Mr. Cox is a Partner of Greylock (venture capital, 1971-present) and a Director of Stryker Corporation (medical products and services, 1974-present). Previously, Mr. Cox served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010). Mr. Cox also serves as a Member of the Secretary of Defense's Business Board of Directors (2008-present), a Director of Business Executives for National Security (1997-present), a Director of the Brookings Institution (2010-present), a Director of the World Economic Forum’s Young Global Leaders Foundation (2009-present), and is a Member of the Harvard Medical School Board of Fellows (2002-present).
Craig S. Brown (1977)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Brown also serves as an officer of other funds. Mr. Brown serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2013-present).
John J. Burke III (1964)
Year of Election or Appointment: 2018
Chief Financial Officer
Mr. Burke also serves as Chief Financial Officer of other funds. Mr. Burke serves as Head of Investment Operations for Fidelity Fund and Investment Operations (2018-present) and is an employee of Fidelity Investments (1998-present). Previously Mr. Burke served as head of Asset Management Investment Operations (2012-2018).
Jonathan Davis (1968)
Year of Election or Appointment: 2010
Assistant Treasurer
Mr. Davis also serves as an officer of other funds. Mr. Davis serves as Assistant Treasurer of FIMM, LLC (2021-present), FMR Capital, Inc. (2017-present), FD Funds GP LLC (2021-present), FD Funds Holding LLC (2021-present), and FD Funds Management LLC (2021-present); and is an employee of Fidelity Investments. Previously, Mr. Davis served as Vice President and Associate General Counsel of FMR LLC (diversified financial services company, 2003-2010).
Laura M. Del Prato (1964)
Year of Election or Appointment: 2018
Assistant Treasurer
Ms. Del Prato also serves as an officer of other funds. Ms. Del Prato serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2017-present). Previously, Ms. Del Prato served as President and Treasurer of The North Carolina Capital Management Trust: Cash Portfolio and Term Portfolio (2018-2020). Prior to joining Fidelity Investments, Ms. Del Prato served as a Managing Director and Treasurer of the JPMorgan Mutual Funds (2014-2017). Prior to JPMorgan, Ms. Del Prato served as a partner at Cohen Fund Audit Services (accounting firm, 2012-2013) and KPMG LLP (accounting firm, 2004-2012).
James D. Gryglewicz (1972)
Year of Election or Appointment: 2015
Chief Compliance Officer
Mr. Gryglewicz also serves as Chief Compliance Officer of other funds. Mr. Gryglewicz serves as Compliance Officer of Strategic Advisers LLC (investment adviser firm, 2015-present), Senior Vice President of Asset Management Compliance (2009-present), and is an employee of Fidelity Investments (2004-present). Previously, Mr. Gryglewicz served as Compliance Officer of Fidelity SelectCo, LLC (investment adviser firm, 2014-2019), and as Chief Compliance Officer of certain Fidelity® funds (2014-2018).
Colm A. Hogan (1973)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Hogan also serves as an officer of other funds. Mr. Hogan serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2005-present). Previously, Mr. Hogan served as Deputy Treasurer of certain Fidelity® funds (2016-2020) and Assistant Treasurer of certain Fidelity® funds (2016-2018).
Christina H. Lee (1975)
Year of Election or Appointment: 2020
Secretary and Chief Legal Officer
Ms. Lee also serves as Secretary and CLO of other funds. Ms. Lee serves as Vice President, Associate General Counsel (2014-present) and is an employee of Fidelity Investments (2007-present). Previously, Ms. Lee served as Assistant Secretary of certain funds (2018-2019).
Cynthia Lo Bessette (1969)
Year of Election or Appointment: 2020
Assistant Secretary
Ms. Lo Bessette also serves as an officer of other funds. Ms. Lo Bessette serves as CLO, Secretary, and Senior Vice President of Fidelity Management & Research Company LLC (investment adviser firm, 2019-present); CLO of Fidelity Management & Research (Hong Kong) Limited, FMR Investment Management (UK) Limited, and Fidelity Management & Research (Japan) Limited (investment adviser firms, 2019-present); Secretary of FD Funds GP LLC (2021-present), FD Funds Holding LLC (2021-present), and FD Funds Management LLC (2021-present); and Assistant Secretary of FIMM, LLC (2019-present). She is a Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company, 2019-present), and is an employee of Fidelity Investments. Previously, Ms. Lo Bessette served as CLO, Secretary, and Senior Vice President of FMR Co., Inc. (investment adviser firm, 2019); Secretary of Fidelity SelectCo, LLC and Fidelity Investments Money Management, Inc. (investment adviser firms, 2019). Prior to joining Fidelity Investments, Ms. Lo Bessette was Executive Vice President, General Counsel (2016-2019) and Senior Vice President, Deputy General Counsel (2015-2016) of OppenheimerFunds (investment management company) and Deputy Chief Legal Officer (2013-2015) of Jennison Associates LLC (investment adviser firm).
Chris Maher (1972)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Maher also serves as an officer of other funds. Mr. Maher serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present), and is an employee of Fidelity Investments (2008-present). Previously, Mr. Maher served as Assistant Treasurer of certain funds (2013-2020); Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010).
Brett Segaloff (1972)
Year of Election or Appointment: 2021
Anti-Money Laundering (AML) Officer
Mr. Segaloff also serves as an AML Officer of other funds and other related entities. He is Director, Anti-Money Laundering (2007-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments (1996-present).
Stacie M. Smith (1974)
Year of Election or Appointment: 2020
President and Treasurer
Ms. Smith also serves as an officer of other funds. Ms. Smith serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present), is an employee of Fidelity Investments (2009-present), and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (accounting firm, 1996-2009). Previously, Ms. Smith served as Assistant Treasurer (2013-2019) and Deputy Treasurer (2013-2016) of certain Fidelity® funds.
Jim Wegmann (1979)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Wegmann also serves as an officer of other funds. Mr. Wegmann serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2011-present). Previously, Mr. Wegmann served as Assistant Treasurer of certain Fidelity® funds (2019-2021).
Shareholder Expense Example
As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (December 1, 2021 to May 31, 2022).
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Annualized Expense Ratio-A | Beginning Account Value December 1, 2021 | Ending Account Value May 31, 2022 | Expenses Paid During Period-B December 1, 2021 to May 31, 2022 | |
Strategic Advisers Fidelity U.S. Total Stock Fund | .13% | |||
Actual | $1,000.00 | $898.70 | $.62 | |
Hypothetical-C | $1,000.00 | $1,024.28 | $.66 |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/ 365 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.
C 5% return per year before expenses
Distributions (Unaudited)
The dividend and capital gains distributions for the fund(s) are available on Fidelity.com or Institutional.Fidelity.com.
The fund hereby designates as a capital gain dividend with respect to the taxable year ended May 31, 2022, $4,897,216,935 or, if subsequently determined to be different, the net capital gain of such year.
The fund designates 17% and 42% of the dividends distributed in July and December, respectively during the fiscal year as qualifying for the dividends–received deduction for corporate shareholders.
The fund designates 21% and 47% of the dividends distributed in July and December, respectively during the fiscal year as amounts which may be taken into account as a dividend for the purposes of the maximum rate under section 1(h)(11) of the Internal Revenue Code.
The fund designates 1% and 3% of the dividends distributed in July and December, respectively during the fiscal year as a section 199A dividend.
The fund will notify shareholders in January 2023 of amounts for use in preparing 2022 income tax returns.
Board Approval of Amended Sub-Advisory Agreement
Strategic Advisers Fidelity U.S. Total Stock Fund
In March 2022, the Board of Trustees, including the Independent Trustees (together, the Board) voted to approve an amendment to add a new investment mandate to the existing sub-advisory agreement among Strategic Advisers, Geode Capital Management, LLC (Sub-Adviser) and the Trust on behalf of the fund (Amended Sub-Advisory Agreement). The Board noted that no material contract terms are impacted by the Amended Sub-Advisory Agreement except for the amendment to the fee schedule to add the new investment mandate. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, considered a broad range of information.In considering whether to approve the Amended Sub-Advisory Agreement, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the approval of the Amended Sub-Advisory Agreement is in the best interests of the fund and its shareholders and does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the fees to be charged under the Sub-Advisory Agreements bear a reasonable relationship to the services to be rendered. The Board's decision to approve the Amended Sub-Advisory Agreement was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board. In addition, individual Trustees did not necessarily attribute the same weight or importance to each factor.Nature, Extent, and Quality of Services Provided. The Board considered the backgrounds of the investment personnel that will provide services to the fund, and also considered the fund's investment objective, strategies and related investment philosophy and current sub-adviser line-up. The Board also considered the structures of the investment personnel compensation programs and whether such structures provide appropriate incentives to act in the best interests of the fund.With respect to the Amended Sub-Advisory Agreement, the Board noted that it previously received and considered materials relating to the nature, extent and quality of services provided by Strategic Advisers and to be provided by the Sub-Adviser, including the resources dedicated to investment management and support services, as well as shareholder and administrative services, in connection with its annual renewal of the fund's management contract and sub-advisory agreements at its September 2021 meeting. The Board also took into consideration additional information regarding the new investment mandate provided by Strategic Advisers and the Sub-Adviser. The Board noted its familiarity with the nature, extent and quality of services provided by the Sub-Adviser to another Strategic Advisers fund with the new investment mandate. The Board considered supplemental information provided by the Sub-Adviser in the Board's February 2022 materials.Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of the Sub-Adviser's investment staff, use of technology, and approach to managing and compensating investment personnel. The Board noted that the Sub-Adviser's analysts have extensive resources, tools, and capabilities that allow them to conduct sophisticated quantitative and/or fundamental analysis. Additionally, in its deliberations, the Board considered the Sub-Adviser's trading capabilities and resources and compliance infrastructure, which are integral parts of the investment management process. The Board also considered the Sub-Adviser's investments in business continuity planning, and success in continuously providing services to other another Strategic Advisers fund with the same investment mandate notwithstanding the COVID-19 pandemic.Shareholder and Administrative Services. The Board considered: (i) the nature, extent, quality, and cost of advisory services to be performed by the Sub-Adviser under the Amended Sub-Advisory Agreement; and (ii) the resources to be devoted to the fund's compliance policies and procedures.Investment Performance. The Board considered the historical investment performance of the Sub-Adviser and its portfolio managers in managing an account under the same investment mandate.Based on its review, the Board concluded that the nature, extent, and quality of services that will be provided to the fund under the Amended Sub-Advisory Agreement should benefit the fund's shareholders.Competitiveness of Management Fee and Total Fund Expenses. With respect to the Amended Sub-Advisory Agreement, the Board considered the amount and nature of the fees to be paid by the fund to Strategic Advisers and by Strategic Advisers to the Sub-Adviser. The Board also considered the projected change in the fund's management fee and total operating expenses, if any, as a result of adding the new investment mandate for the Sub-Adviser.The Board noted that the Amended Sub-Advisory Agreement will not result in changes to the maximum aggregate annual management fee payable by the fund or Strategic Advisers' portion of the management fee. The Board considered Strategic Advisers' contractual agreement to waive its portion of the fund's management fee. The Board further considered that after allocating assets to the Sub-Adviser, the fund's management fee and total net expenses are expected to increase but are each expected to continue to rank below the competitive peer group median reported in the June 2021 management contract renewal materials.Based on its review, the Board concluded that the fund's management fee structure and any changes to projected total expenses bear a reasonable relationship to the services that the fund and its shareholders will receive and the other factors considered.Because the Amended Sub-Advisory Agreement was negotiated at arm's length and will have no impact on the maximum management fees payable by the fund or Strategic Advisers' portion of the management fee, the Board did not consider the costs of services and profitability to be significant factors in its decision to approve the Amended Sub-Advisory Agreement.Potential Fall-Out Benefits. The Board considered that it reviews information regarding the potential of direct and indirect benefits to Strategic Advisers and its affiliates from their relationships with the fund, including non-advisory fee compensation paid to affiliates of Strategic Advisers, if any, as well as information regarding potential fall-out benefits accruing to each sub-adviser, if any, as a result of its relationship with the fund, during its annual renewal of the fund's management contract, sub-advisory agreements, and sub-subadvisory agreements. The Board considered Strategic Advisers' representation that it does not anticipate that the approval of the Amended Sub-Advisory Agreement will have a significant impact on the profitability of, or potential fall-out benefits to, Strategic Advisers or its affiliates.Possible Economies of Scale. The Board considered that it reviews whether there have been economies of scale in connection with the management of the fund during its annual renewal of the fund's management contract, sub-advisory agreements, and sub-subadvisory agreements.Conclusion. Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the Amended Sub-Advisory Agreement's fee structure bears a reasonable relationship to the services to be rendered and that the Amended Sub-Advisory Agreement is in the best interests of the fund and its shareholders and should be approved. In addition, the Board concluded that the approval of the Amended Sub-Advisory Agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.Liquidity Risk Management Program
The Securities and Exchange Commission adopted Rule 22e-4 under the Investment Company Act of 1940 (the Liquidity Rule) to promote effective liquidity risk management throughout the open-end investment company industry, thereby reducing the risk that funds will be unable to meet their redemption obligations and mitigating dilution of the interests of fund shareholders.
The Fund has adopted and implemented a liquidity risk management program (the Program) reasonably designed to assess and manage the Fund’s liquidity risk and to comply with the requirements of the Liquidity Rule. The Fund’s Board of Trustees (the Board) has designated the Fund’s investment adviser as administrator of the Program. Strategic Advisers has established a Liquidity Risk Management Committee (the LRM Committee) to manage the Program for each of the Funds. The LRM Committee monitors the adequacy and effectiveness of implementation of the Program and on a periodic basis assesses each Fund’s liquidity risk based on a variety of factors including (1) the Fund’s investment strategy, (2) portfolio liquidity and cash flow projections during normal and reasonably foreseeable stressed conditions, (3) shareholder redemptions and (4) borrowings and other funding sources, as applicable.
In accordance with the Program, each of the Fund’s portfolio investments is classified into one of four liquidity categories described below based on a determination of a reasonable expectation for how long it would take to convert the investment to cash (or sell or dispose of the investment) without significantly changing its market value.
- Highly liquid investments – cash or convertible to cash within three business days or less
- Moderately liquid investments – convertible to cash in three to seven calendar days
- Less liquid investments – can be sold or disposed of, but not settled, within seven calendar days
- Illiquid investments – cannot be sold or disposed of within seven calendar days
Liquidity classification determinations take into account a variety of factors including various market, trading and investment-specific considerations, as well as market depth, and generally utilize analysis from a third-party liquidity metrics service.
The Liquidity Rule places a 15% limit on a fund’s illiquid investments and requires funds that do not primarily hold assets that are highly liquid investments to determine and maintain a minimum percentage of the fund’s net assets to be invested in highly liquid investments (highly liquid investment minimum or HLIM). The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments and for determining, periodically reviewing and complying with the HLIM requirement as applicable.
At a recent meeting of the Fund’s Board of Trustees, the LRM Committee provided a written report to the Board pertaining to the operation, adequacy, and effectiveness of implementation of the Program for the annual period from December 1, 2020 through November 30, 2021. The report concluded that the Program has been implemented and is operating effectively and is reasonably designed to assess and manage the Fund’s liquidity risk.
TSF-ANN-0722
1.9887487.104
Strategic Advisers® Fidelity® Core Income Fund
Offered exclusively to certain managed account clients of Strategic Advisers LLC or its affiliates - not available for sale to the general public
May 31, 2022
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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All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2022 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
Note to Shareholders:
Early in 2020, the outbreak and spread of COVID-19 emerged as a public health emergency that had a major influence on financial markets, primarily based on its impact on the global economy and corporate earnings. On March 11, 2020, the World Health Organization declared the COVID-19 outbreak a pandemic, citing sustained risk of further global spread. The pandemic prompted a number of measures to limit the spread of COVID-19, including travel and border restrictions, quarantines, and restrictions on large gatherings. In turn, these resulted in lower consumer activity, diminished demand for a wide range of products and services, disruption in manufacturing and supply chains, and – given the wide variability in outcomes regarding the outbreak – significant market uncertainty and volatility. To help stem the turmoil, the U.S. government took unprecedented action – in concert with the U.S. Federal Reserve and central banks around the world – to help support consumers, businesses, and the broader economy, and to limit disruption to the financial system.
In general, the overall impact of the pandemic lessened in 2021, amid a resilient economy and widespread distribution of three COVID-19 vaccines granted emergency use authorization from the U.S. Food and Drug Administration (FDA) early in the year. Still, the situation remains dynamic, and the extent and duration of its influence on financial markets and the economy is highly uncertain, due in part to a recent spike in cases based on highly contagious variants of the coronavirus.
Extreme events such as the COVID-19 crisis are exogenous shocks that can have significant adverse effects on mutual funds and their investments. Although multiple asset classes may be affected by market disruption, the duration and impact may not be the same for all types of assets. Fidelity is committed to helping you stay informed amid news about COVID-19 and during increased market volatility, and we continue to take extra steps to be responsive to customer needs. We encourage you to visit us online, where we offer ongoing updates, commentary, and analysis on the markets and our funds.
Performance: The Bottom Line
Average annual total return reflects the change in the value of an investment, assuming reinvestment of distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year. The hypothetical investment and the average annual total returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund’s total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.
Average Annual Total Returns
For the periods ended May 31, 2022 | Past 1 year | Life of fundA |
Strategic Advisers® Fidelity® Core Income Fund | (7.41)% | 2.88% |
A From October 16, 2018
$10,000 Over Life of Fund
Let's say hypothetically that $10,000 was invested in Strategic Advisers® Fidelity® Core Income Fund on October 16, 2018, when the fund started.
The chart shows how the value of your investment would have changed, and also shows how the Bloomberg U.S. Aggregate Bond Index performed over the same period.
Period Ending Values | ||
$11,085 | Strategic Advisers® Fidelity® Core Income Fund | |
$10,714 | Bloomberg U.S. Aggregate Bond Index |
Effective August 24, 2021, all Bloomberg Barclays Indices were re-branded as Bloomberg Indices.
Management's Discussion of Fund Performance
Market Recap: U.S. taxable investment-grade bonds posted a notable loss for the 12 months ending May 31, 2022, amid the headwinds of increasingly hawkish U.S. Federal Reserve policy measures to combat inflationary pressures. The Bloomberg U.S. Aggregate Bond index returned -8.22% for the period, including a -5.93% result for the first three months of 2022 — its worst quarter in more than 40 years. Bond yields rose and their prices declined throughout most of the period as the Fed pivoted from an “easy” to a “tight” monetary stance. The central bank kicked off its efforts by ending its purchases of trillions of dollars’ worth of government and mortgage-backed bonds it had made dating back to 2008. Then in early 2022, the Fed began to take more aggressive steps to try to tame rapid and persistent inflation, raising the federal funds target rate by 25 basis points (0.25%) in mid-March, its first policy rate hike since 2018. In April and May, bonds continued to struggle as increasingly elevated inflation readings — which hit an eight-year high — raised concern that the Fed could act even more quickly and more aggressively to curtail inflation. Short-term securities outpaced long-term bonds, and high-quality issues held up better overall than lower-rated bonds. Within the index, corporate bonds returned -10.28% over the trailing 12 months, underperforming the -7.50% result for U.S. Treasuries. Outside the index, U.S. corporate high-yield bonds returned -5.27% and U.S. Treasury Inflation-Protected Securities returned -1.45%, per Bloomberg Barclays.Comments from Portfolio Manager Jonathan Duggan: For the fiscal year ending May 31, 2022, the Fund returned -7.41%, topping the -8.22% result of the benchmark Bloomberg Barclays U.S. Aggregate Bond Index. Despite a variety of investor concerns in fixed-income markets during the period, including rising bond yields and widening credit spreads, the Fund consistently outpaced the benchmark the past 12 months. Within the Fund, the top relative contributors were Fidelity® SAI Total Bond Fund (-7.5%), along with two sub-advised strategies from FIAM®: Core Investment Grade (-7.5%) and Fixed Income Securitized (-7%). Fidelity® SAI Total Bond benefited from lower-than-benchmark interest rate sensitivity, an underweighting in agency mortgage-backed securities (MBS), and a sizable allocation to high-yield corporate bonds and loans. For FIAM Core Investment Grade, high-yield credit exposure, an overweight position in intermediate-term investment-grade (IG) credit and an underweighting in agency MBS added the most value. Meanwhile, stakes in shorter-maturity asset-backed securities aided the performance of FIAM's Fixed Income Securitized strategy. On the downside, 2022's rapid increase in U.S. Treasury yields hampered the performance of Fidelity® SAI Long-Term Treasury Fund (-14%), making it the largest relative detractor. Fidelity Advisor® New Markets Income (-14%), which focuses on emerging-markets debt, also dampened the broader portfolio's relative result. I used 2022's market downturn to increase the Fund’s allocations to core categories represented in the benchmark, such as agency MBS, IG credit and long-term U.S. Treasuries. These changes helped reduce the Fund’s out-of-benchmark risk, which I believed was prudent in light of the uncertain 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.
Investment Summary (Unaudited)
The information in the following tables is based on the direct investments of the Fund.Top Ten Holdings as of May 31, 2022
(by issuer, excluding cash equivalents) | % of fund's net assets |
Fidelity SAI Total Bond Fund | 26.6 |
U.S. Treasury Obligations | 9.6 |
Fidelity SAI U.S. Treasury Bond Index Fund | 6.9 |
Fannie Mae | 5.9 |
Uniform Mortgage Backed Securities | 5.2 |
Freddie Mac | 4.5 |
Fidelity SAI Long-Term Treasury Bond Index Fund | 4.2 |
Fidelity Advisor Corporate Bond Fund Class Z | 4.1 |
Fidelity U.S. Bond Index Fund | 4.0 |
Ginnie Mae | 3.9 |
Asset Allocation (% of fund's net assets)
As of May 31, 2022 | ||
Corporate Bonds | 10.2% | |
U.S. Government and U.S. Government Agency Obligations | 32.3% | |
Asset-Backed Securities | 2.0% | |
CMOs and Other Mortgage Related Securities | 3.5% | |
Municipal Securities | 0.1% | |
Bank Loan Funds | 2.4% | |
High Yield Fixed-Income Funds | 3.3% | |
Intermediate-Term Bond Funds | 37.4% | |
Long Government Bond Funds | 4.2% | |
Sector Funds | 1.8% | |
Stocks | 0.2% | |
Other Investments | 0.5% | |
Short-Term Investments and Net Other Assets (Liabilities)* | (5.9)% | |
Intermediate Government Funds | 8.0% |
* Net Other Assets (Liabilities) are not included in the pie chart
Asset allocations of funds in the pie chart reflect the categorizations of assets as defined by Morningstar as of the reporting date.
Percentages in the above tables are adjusted for the effect of TBA Sale Commitments.
Percentages are adjusted for the effect of futures contracts and swaps, if applicable.
Schedule of Investments May 31, 2022
Showing Percentage of Net Assets
Nonconvertible Bonds - 10.2% | |||
Principal Amount(a) | Value | ||
COMMUNICATION SERVICES - 1.0% | |||
Diversified Telecommunication Services - 0.3% | |||
Altice France SA 8.125% 2/1/27 (b) | $325,000 | $325,982 | |
AT&T, Inc.: | |||
2.55% 12/1/33 | 2,825,000 | 2,387,810 | |
3.8% 12/1/57 | 39,772,000 | 32,799,870 | |
4.3% 2/15/30 | 3,992,000 | 4,024,954 | |
4.75% 5/15/46 | 41,310,000 | 40,705,585 | |
C&W Senior Financing Designated Activity Co. 6.875% 9/15/27 (b) | 1,246,000 | 1,171,240 | |
Frontier Communications Holdings LLC 5.875% 10/15/27 (b) | 235,000 | 230,300 | |
Iliad SA 1.5% 10/14/24 (Reg. S) | EUR | 5,600,000 | 5,801,464 |
Level 3 Financing, Inc.: | |||
3.625% 1/15/29 (b) | 85,000 | 71,825 | |
4.25% 7/1/28 (b) | 2,240,000 | 1,965,600 | |
Lumen Technologies, Inc.: | |||
4.5% 1/15/29 (b) | 280,000 | 230,070 | |
5.125% 12/15/26 (b) | 2,190,000 | 2,025,750 | |
5.625% 4/1/25 | 1,450,000 | 1,439,546 | |
6.875% 1/15/28 | 40,000 | 38,202 | |
Sable International Finance Ltd. 5.75% 9/7/27 (b) | 2,332,000 | 2,197,840 | |
Sprint Capital Corp.: | |||
6.875% 11/15/28 | 4,750,000 | 5,373,580 | |
8.75% 3/15/32 | 1,315,000 | 1,708,192 | |
Telecom Italia Capital SA: | |||
6% 9/30/34 | 286,000 | 252,787 | |
7.2% 7/18/36 | 1,635,000 | 1,477,778 | |
Telenet Finance Luxembourg Notes SARL 5.5% 3/1/28 (b) | 800,000 | 748,000 | |
Verizon Communications, Inc.: | |||
2.987% 10/30/56 | 1,378,000 | 1,022,069 | |
4.329% 9/21/28 | 10,293,000 | 10,473,191 | |
5.012% 4/15/49 | 129,000 | 137,758 | |
Virgin Media Finance PLC 5% 7/15/30 (b) | 636,000 | 567,757 | |
Windstream Escrow LLC 7.75% 8/15/28 (b) | 1,195,000 | 1,100,583 | |
118,277,733 | |||
Entertainment - 0.0% | |||
Roblox Corp. 3.875% 5/1/30 (b) | 670,000 | 594,558 | |
The Walt Disney Co.: | |||
2.2% 1/13/28 | 10,316,000 | 9,629,389 | |
2.65% 1/13/31 | 13,000,000 | 11,764,767 | |
21,988,714 | |||
Interactive Media & Services - 0.0% | |||
Twitter, Inc. 3.875% 12/15/27 (b) | 510,000 | 490,753 | |
Media - 0.6% | |||
Advantage Sales & Marketing, Inc. 6.5% 11/15/28 (b) | 1,330,000 | 1,184,631 | |
Altice Financing SA: | |||
5% 1/15/28 (b) | 225,000 | 203,849 | |
5.75% 8/15/29 (b) | 650,000 | 581,750 | |
CCO Holdings LLC/CCO Holdings Capital Corp.: | |||
4.25% 2/1/31 (b) | 940,000 | 829,268 | |
4.5% 8/15/30 (b) | 435,000 | 392,849 | |
4.5% 5/1/32 | 2,380,000 | 2,093,924 | |
4.5% 6/1/33 (b) | 500,000 | 430,293 | |
5% 2/1/28 (b) | 2,401,000 | 2,326,173 | |
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.: | |||
2.8% 4/1/31 | 25,100,000 | 20,980,938 | |
3.7% 4/1/51 | 20,100,000 | 14,561,858 | |
3.9% 6/1/52 | 20,000,000 | 14,919,363 | |
4.464% 7/23/22 | 2,993,000 | 2,993,776 | |
4.8% 3/1/50 | 10,000,000 | 8,596,992 | |
4.908% 7/23/25 | 4,642,000 | 4,739,850 | |
5.375% 5/1/47 | 41,310,000 | 37,911,486 | |
5.75% 4/1/48 | 18,275,000 | 17,729,589 | |
Comcast Corp.: | |||
3.75% 4/1/40 | 1,000,000 | 914,926 | |
3.999% 11/1/49 | 25,463,000 | 23,656,779 | |
4.65% 7/15/42 | 2,578,000 | 2,602,750 | |
CSC Holdings LLC: | |||
4.625% 12/1/30 (b) | 410,000 | 321,891 | |
5.5% 4/15/27 (b) | 564,000 | 564,682 | |
5.75% 1/15/30 (b) | 875,000 | 731,290 | |
6.5% 2/1/29 (b) | 1,500,000 | 1,473,285 | |
Diamond Sports Group LLC/Diamond Sports Finance Co. 5.375% 8/15/26 (b) | 925,000 | 305,250 | |
Discovery Communications LLC: | |||
3.625% 5/15/30 | 6,407,000 | 5,920,276 | |
4.65% 5/15/50 | 17,335,000 | 14,591,593 | |
Fox Corp.: | |||
5.476% 1/25/39 | 2,264,000 | 2,314,376 | |
5.576% 1/25/49 | 1,502,000 | 1,558,782 | |
Gray Television, Inc. 4.75% 10/15/30 (b) | 245,000 | 215,264 | |
Lagardere S.C.A. 2.125% 10/16/26 (Reg. S) | EUR | 1,400,000 | 1,447,976 |
Lamar Media Corp. 3.625% 1/15/31 | 515,000 | 459,625 | |
Magallanes, Inc.: | |||
3.428% 3/15/24 (b) | 7,508,000 | 7,462,130 | |
3.638% 3/15/25(b) | 5,651,000 | 5,579,473 | |
3.755% 3/15/27 (b) | 7,510,000 | 7,289,208 | |
4.054% 3/15/29 (b) | 3,830,000 | 3,669,269 | |
4.279% 3/15/32 (b) | 9,987,000 | 9,334,307 | |
5.05% 3/15/42 (b) | 7,412,000 | 6,699,495 | |
5.141% 3/15/52 (b) | 11,980,000 | 10,719,009 | |
Scripps Escrow II, Inc. 3.875% 1/15/29 (b) | 225,000 | 203,603 | |
Sirius XM Radio, Inc.: | |||
3.875% 9/1/31 (b) | 275,000 | 241,786 | |
4.125% 7/1/30 (b) | 10,000,000 | 9,012,500 | |
5% 8/1/27 (b) | 375,000 | 372,656 | |
5.5% 7/1/29 (b) | 2,890,000 | 2,870,623 | |
TEGNA, Inc.: | |||
4.625% 3/15/28 | 915,000 | 896,243 | |
5% 9/15/29 | 115,000 | 113,563 | |
Time Warner Cable LLC: | |||
4.5% 9/15/42 | 886,000 | 738,902 | |
5.5% 9/1/41 | 10,030,000 | 9,343,492 | |
5.875% 11/15/40 | 8,089,000 | 8,047,708 | |
6.55% 5/1/37 | 5,846,000 | 6,177,711 | |
6.75% 6/15/39 | 4,614,000 | 4,916,476 | |
7.3% 7/1/38 | 3,785,000 | 4,193,061 | |
Virgin Media Secured Finance PLC 5.5% 5/15/29 (b) | 415,000 | 408,065 | |
VZ Secured Financing BV 5% 1/15/32 (b) | 1,090,000 | 986,109 | |
Ziggo Bond Co. BV 5.125% 2/28/30 (b) | 345,000 | 307,326 | |
Ziggo BV 4.875% 1/15/30 (b) | 550,000 | 509,328 | |
287,647,377 | |||
Wireless Telecommunication Services - 0.1% | |||
Millicom International Cellular SA: | |||
4.5% 4/27/31 (b) | 7,026,000 | 6,038,847 | |
5.125% 1/15/28 (b) | 540,000 | 507,364 | |
Rogers Communications, Inc.: | |||
3.2% 3/15/27 (b) | 11,791,000 | 11,465,069 | |
3.8% 3/15/32 (b) | 10,290,000 | 9,759,914 | |
T-Mobile U.S.A., Inc.: | |||
2.875% 2/15/31 | 695,000 | 609,876 | |
3.75% 4/15/27 | 10,840,000 | 10,701,939 | |
3.875% 4/15/30 | 22,877,000 | 21,999,673 | |
4.5% 4/15/50 | 4,597,000 | 4,275,742 | |
Vodafone Group PLC: | |||
4.875% 10/3/78 (Reg. S) (c) | GBP | 1,100,000 | 1,369,629 |
6.25% 10/3/78 (Reg. S) (c) | 1,445,000 | 1,452,017 | |
68,180,070 | |||
TOTAL COMMUNICATION SERVICES | 496,584,647 | ||
CONSUMER DISCRETIONARY - 0.7% | |||
Auto Components - 0.0% | |||
Allison Transmission, Inc. 3.75% 1/30/31 (b) | 615,000 | 526,594 | |
Dana, Inc. 4.5% 2/15/32 | 275,000 | 235,551 | |
Valeo SA 1% 8/3/28 (Reg. S) | EUR | 1,100,000 | 962,497 |
ZF Finance GmbH 2% 5/6/27 (Reg. S) | EUR | 1,400,000 | 1,264,100 |
2,988,742 | |||
Automobiles - 0.1% | |||
General Motors Co. 5.4% 10/2/23 | 18,263,000 | 18,776,252 | |
General Motors Financial Co., Inc.: | |||
3.7% 5/9/23 | 8,751,000 | 8,808,026 | |
4.25% 5/15/23 | 1,359,000 | 1,373,829 | |
Thor Industries, Inc. 4% 10/15/29 (b) | 355,000 | 291,988 | |
Volkswagen Group of America Finance LLC: | |||
3.125% 5/12/23 (b) | 9,168,000 | 9,179,185 | |
3.35% 5/13/25 (b) | 14,765,000 | 14,563,336 | |
52,992,616 | |||
Diversified Consumer Services - 0.0% | |||
Adtalem Global Education, Inc. 5.5% 3/1/28 (b) | 430,000 | 398,838 | |
GEMS MENASA Cayman Ltd. 7.125% 7/31/26 (b) | 765,000 | 744,345 | |
Service Corp. International 5.125% 6/1/29 | 970,000 | 970,760 | |
2,113,943 | |||
Hotels, Restaurants & Leisure - 0.1% | |||
Accor SA 2.375% 11/29/28 (Reg. S) | EUR | 800,000 | 758,959 |
Aramark Services, Inc.: | |||
5% 2/1/28 (b) | 3,530,000 | 3,438,220 | |
6.375% 5/1/25 (b) | 1,890,000 | 1,937,014 | |
Carnival Corp. 10.5% 2/1/26 (b) | 1,105,000 | 1,189,533 | |
Hilton Domestic Operating Co., Inc.: | |||
3.625% 2/15/32 (b) | 660,000 | 572,550 | |
3.75% 5/1/29 (b) | 700,000 | 641,025 | |
4% 5/1/31 (b) | 1,535,000 | 1,407,135 | |
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp. 4.875% 4/1/27 | 164,000 | 164,853 | |
InterContinental Hotel Group PLC 3.375% 10/8/28 (Reg. S) | GBP | 2,335,000 | 2,830,354 |
Melco Resorts Finance Ltd. 4.875% 6/6/25 (b) | 750,000 | 649,800 | |
MGM Resorts International 5.75% 6/15/25 | 820,000 | 822,296 | |
NCL Corp. Ltd. 5.875% 2/15/27 (b) | 365,000 | 340,038 | |
Royal Caribbean Cruises Ltd.: | |||
5.375% 7/15/27 (b) | 245,000 | 208,060 | |
5.5% 4/1/28 (b) | 755,000 | 637,152 | |
9.125% 6/15/23 (b) | 130,000 | 132,600 | |
11.5% 6/1/25 (b) | 325,000 | 352,219 | |
Whitbread PLC: | |||
2.375% 5/31/27 (Reg. S) | GBP | 2,360,000 | 2,761,046 |
3.375% 10/16/25 (Reg. S) | GBP | 3,355,000 | 4,180,345 |
Wyndham Hotels & Resorts, Inc. 4.375% 8/15/28 (b) | 290,000 | 273,650 | |
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. 5.5% 3/1/25 (b) | 645,000 | 629,236 | |
Yum! Brands, Inc. 3.625% 3/15/31 | 358,000 | 316,630 | |
24,242,715 | |||
Household Durables - 0.2% | |||
Century Communities, Inc. 3.875% 8/15/29 (b) | 325,000 | 281,093 | |
D.R. Horton, Inc. 1.3% 10/15/26 | 15,859,000 | 14,087,303 | |
Lennar Corp.: | |||
4.75% 11/29/27 | 9,429,000 | 9,480,869 | |
5% 6/15/27 | 12,243,000 | 12,494,109 | |
5.25% 6/1/26 | 2,965,000 | 3,051,797 | |
Newell Brands, Inc. 5.625% 4/1/36 (d) | 270,000 | 256,657 | |
Tempur Sealy International, Inc. 3.875% 10/15/31 (b) | 280,000 | 233,548 | |
The Berkeley Group PLC 2.5% 8/11/31 (Reg. S) | GBP | 1,820,000 | 1,820,620 |
Toll Brothers Finance Corp.: | |||
4.35% 2/15/28 | 14,431,000 | 13,838,621 | |
4.875% 11/15/25 | 45,000 | 45,436 | |
4.875% 3/15/27 | 27,556,000 | 27,390,901 | |
TopBuild Corp. 4.125% 2/15/32 (b) | 580,000 | 511,720 | |
83,492,674 | |||
Internet & Direct Marketing Retail - 0.0% | |||
Alibaba Group Holding Ltd.: | |||
2.125% 2/9/31 | 2,350,000 | 1,952,850 | |
2.7% 2/9/41 | 12,255,000 | 8,539,161 | |
Match Group Holdings II LLC: | |||
3.625% 10/1/31 (b) | 410,000 | 348,377 | |
4.125% 8/1/30 (b) | 170,000 | 151,261 | |
10,991,649 | |||
Leisure Products - 0.0% | |||
Hasbro, Inc. 3% 11/19/24 | 6,474,000 | 6,442,592 | |
Mattel, Inc. 3.75% 4/1/29 (b) | 430,000 | 413,058 | |
6,855,650 | |||
Multiline Retail - 0.0% | |||
John Lewis PLC 6.125% 1/21/25 | GBP | 2,207,000 | 2,908,296 |
Marks & Spencer PLC 4.5% 7/10/27 (Reg. S) | GBP | 2,700,000 | 3,109,675 |
Nordstrom, Inc.: | |||
4.25% 8/1/31 | 10,000,000 | 8,430,100 | |
4.375% 4/1/30 | 510,000 | 445,985 | |
14,894,056 | |||
Specialty Retail - 0.2% | |||
Asbury Automotive Group, Inc.: | |||
4.625% 11/15/29 (b) | 175,000 | 161,330 | |
5% 2/15/32 (b) | 190,000 | 172,062 | |
AutoNation, Inc.: | |||
2.4% 8/1/31 | 23,196,000 | 18,614,600 | |
4.75% 6/1/30 | 1,430,000 | 1,395,495 | |
AutoZone, Inc. 4% 4/15/30 | 19,121,000 | 18,587,456 | |
Bath & Body Works, Inc. 6.625% 10/1/30 (b) | 825,000 | 823,527 | |
Foot Locker, Inc. 4% 10/1/29 (b) | 145,000 | 119,351 | |
Gap, Inc. 3.875% 10/1/31 (b) | 275,000 | 195,938 | |
LCM Investments Holdings 4.875% 5/1/29 (b) | 120,000 | 102,300 | |
Lowe's Companies, Inc.: | |||
3.35% 4/1/27 | 1,748,000 | 1,714,788 | |
3.75% 4/1/32 | 30,381,000 | 28,969,701 | |
4.25% 4/1/52 | 14,990,000 | 13,637,470 | |
4.45% 4/1/62 | 36,330,000 | 32,838,697 | |
VIA Outlets 1.75% 11/15/28 (Reg. S) | EUR | 1,300,000 | 1,221,487 |
118,554,202 | |||
Textiles, Apparel & Luxury Goods - 0.1% | |||
Crocs, Inc. 4.125% 8/15/31 (b) | 285,000 | 227,340 | |
Hanesbrands, Inc. 4.875% 5/15/26 (b) | 615,000 | 608,684 | |
Kontoor Brands, Inc. 4.125% 11/15/29 (b) | 95,000 | 80,808 | |
Levi Strauss & Co. 3.5% 3/1/31 (b) | 355,000 | 311,513 | |
Tapestry, Inc. 3.05% 3/15/32 | 38,118,000 | 32,290,929 | |
The William Carter Co. 5.625% 3/15/27 (b) | 446,000 | 443,471 | |
Wolverine World Wide, Inc. 4% 8/15/29 (b) | 380,000 | 315,174 | |
34,277,919 | |||
TOTAL CONSUMER DISCRETIONARY | 351,404,166 | ||
CONSUMER STAPLES - 0.8% | |||
Beverages - 0.3% | |||
Anheuser-Busch InBev Finance, Inc.: | |||
4.7% 2/1/36 | 6,600,000 | 6,680,469 | |
4.9% 2/1/46 | 14,391,000 | 14,350,623 | |
Anheuser-Busch InBev Worldwide, Inc.: | |||
3.5% 6/1/30 | 10,375,000 | 9,995,136 | |
4.35% 6/1/40 | 6,274,000 | 5,924,035 | |
4.5% 6/1/50 | 11,500,000 | 10,938,450 | |
4.6% 6/1/60 | 18,803,000 | 17,477,005 | |
4.75% 1/23/29 | 11,220,000 | 11,669,589 | |
4.75% 4/15/58 | 5,641,000 | 5,374,200 | |
5.45% 1/23/39 | 5,480,000 | 5,848,455 | |
5.55% 1/23/49 | 13,389,000 | 14,510,020 | |
5.8% 1/23/59 (Reg. S) | 14,304,000 | 16,100,376 | |
Constellation Brands, Inc. 4.75% 11/15/24 | 3,799,000 | 3,913,838 | |
PepsiCo, Inc.: | |||
2.625% 3/19/27 | 1,114,000 | 1,086,823 | |
2.75% 3/19/30 | 5,700,000 | 5,367,375 | |
129,236,394 | |||
Food & Staples Retailing - 0.1% | |||
Albertsons Companies LLC/Safeway, Inc./New Albertson's, Inc./Albertson's LLC: | |||
3.5% 3/15/29 (b) | 2,290,000 | 1,993,010 | |
4.625% 1/15/27 (b) | 925,000 | 898,577 | |
Sysco Corp. 6.6% 4/1/50 | 53,060,000 | 64,758,608 | |
U.S. Foods, Inc.: | |||
4.625% 6/1/30 (b) | 130,000 | 119,340 | |
6.25% 4/15/25 (b) | 1,210,000 | 1,246,300 | |
69,015,835 | |||
Food Products - 0.4% | |||
Darling Ingredients, Inc.: | |||
5.25% 4/15/27 (b) | 615,000 | 602,700 | |
6% 6/15/30 (b) | 160,000 | 161,800 | |
General Mills, Inc. 2.875% 4/15/30 | 1,277,000 | 1,161,201 | |
JBS Finance Luxembourg SARL: | |||
2.5% 1/15/27 (b) | 13,235,000 | 11,840,435 | |
3.625% 1/15/32 (b) | 24,530,000 | 20,779,118 | |
JBS U.S.A. LLC/JBS U.S.A. Finance, Inc. 6.75% 2/15/28 (b) | 2,139,000 | 2,207,859 | |
JBS U.S.A. Lux SA / JBS Food Co.: | |||
3% 5/15/32 (b) | 13,470,000 | 11,062,238 | |
5.5% 1/15/30 (b) | 25,145,000 | 24,390,650 | |
6.5% 4/15/29 (b) | 41,740,000 | 42,261,750 | |
JDE Peet's BV 2.25% 9/24/31 (b) | 2,500,000 | 2,000,790 | |
Kraft Heinz Foods Co.: | |||
4.375% 6/1/46 | 31,645,000 | 27,787,130 | |
4.875% 10/1/49 | 10,000,000 | 9,375,432 | |
5.2% 7/15/45 | 6,203,000 | 6,037,643 | |
7.125% 8/1/39 (b) | 9,489,000 | 11,106,656 | |
Lamb Weston Holdings, Inc. 4.875% 5/15/28 (b) | 825,000 | 814,259 | |
Post Holdings, Inc. 4.625% 4/15/30 (b) | 905,000 | 811,812 | |
TreeHouse Foods, Inc. 4% 9/1/28 | 390,000 | 337,350 | |
172,738,823 | |||
Personal Products - 0.0% | |||
BellRing Brands, Inc. 7% 3/15/30 (b) | 270,000 | 269,247 | |
GSK Consumer Healthcare Capital 2.125% 3/29/34 (Reg. S) | EUR | 1,250,000 | 1,243,364 |
Prestige Brands, Inc. 3.75% 4/1/31 (b) | 340,000 | 287,235 | |
1,799,846 | |||
Tobacco - 0.0% | |||
BAT International Finance PLC 2.25% 6/26/28 (Reg. S) | GBP | 7,165,000 | 7,796,626 |
TOTAL CONSUMER STAPLES | 380,587,524 | ||
ENERGY - 1.0% | |||
Energy Equipment & Services - 0.0% | |||
Technip Energies NV 1.125% 5/28/28 | EUR | 1,465,000 | 1,295,494 |
Oil, Gas & Consumable Fuels - 1.0% | |||
Apache Corp.: | |||
5.1% 9/1/40 | 330,000 | 307,880 | |
5.25% 2/1/42 | 495,000 | 441,788 | |
5.35% 7/1/49 | 80,000 | 70,400 | |
Cenovus Energy, Inc. 6.75% 11/15/39 | 9,060,000 | 10,204,183 | |
Cheniere Energy Partners LP: | |||
3.25% 1/31/32 (b) | 275,000 | 240,405 | |
4% 3/1/31 | 925,000 | 854,469 | |
Cheniere Energy, Inc. 4.625% 10/15/28 | 595,000 | 578,062 | |
Citgo Petroleum Corp. 6.375% 6/15/26 (b) | 660,000 | 650,100 | |
CNX Midstream Partners LP 4.75% 4/15/30 (b) | 115,000 | 102,549 | |
Colgate Energy Partners III LLC 5.875% 7/1/29 (b) | 145,000 | 139,200 | |
Columbia Pipeline Group, Inc. 4.5% 6/1/25 | 852,000 | 873,680 | |
Continental Resources, Inc. 5.75% 1/15/31 (b) | 895,000 | 920,042 | |
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.: | |||
5.625% 5/1/27 (b) | 1,653,000 | 1,594,814 | |
5.75% 4/1/25 | 2,038,000 | 2,020,677 | |
6% 2/1/29 (b) | 1,420,000 | 1,339,699 | |
CVR Energy, Inc.: | |||
5.25% 2/15/25 (b) | 790,000 | 776,254 | |
5.75% 2/15/28 (b) | 105,000 | 99,745 | |
DCP Midstream Operating LP: | |||
3.875% 3/15/23 | 3,116,000 | 3,113,373 | |
5.125% 5/15/29 | 1,740,000 | 1,740,174 | |
5.375% 7/15/25 | 540,000 | 553,489 | |
5.6% 4/1/44 | 2,748,000 | 2,449,945 | |
5.625% 7/15/27 | 620,000 | 640,671 | |
5.85% 5/21/43 (b)(c) | 29,466,000 | 25,856,415 | |
6.45% 11/3/36 (b) | 210,000 | 219,450 | |
8.125% 8/16/30 | 15,000 | 17,138 | |
EG Global Finance PLC 6.75% 2/7/25 (b) | 530,000 | 516,088 | |
Enbridge, Inc.: | |||
4% 10/1/23 | 3,854,000 | 3,895,377 | |
4.25% 12/1/26 | 1,461,000 | 1,475,695 | |
Endeavor Energy Resources LP/EER Finance, Inc.: | |||
5.75% 1/30/28 (b) | 435,000 | 443,626 | |
6.625% 7/15/25 (b) | 110,000 | 113,730 | |
Energy Transfer LP: | |||
3.75% 5/15/30 | 3,643,000 | 3,387,549 | |
3.9% 5/15/24 (c) | 869,000 | 868,308 | |
4.2% 9/15/23 | 1,203,000 | 1,217,571 | |
4.25% 3/15/23 | 1,393,000 | 1,401,020 | |
4.5% 4/15/24 | 1,576,000 | 1,597,692 | |
4.95% 6/15/28 | 4,103,000 | 4,160,935 | |
5% 5/15/50 | 11,621,000 | 10,459,364 | |
5.25% 4/15/29 | 2,564,000 | 2,623,807 | |
5.4% 10/1/47 | 1,732,000 | 1,594,266 | |
5.8% 6/15/38 | 2,288,000 | 2,256,050 | |
6% 6/15/48 | 1,490,000 | 1,473,120 | |
6.25% 4/15/49 | 1,761,000 | 1,796,789 | |
EnLink Midstream LLC 5.625% 1/15/28 (b) | 105,000 | 104,344 | |
EnLink Midstream Partners LP: | |||
5.05% 4/1/45 | 140,000 | 110,847 | |
5.45% 6/1/47 | 290,000 | 232,268 | |
5.6% 4/1/44 | 490,000 | 397,073 | |
EQM Midstream Partners LP: | |||
4.75% 1/15/31 (b) | 550,000 | 477,125 | |
5.5% 7/15/28 | 440,000 | 418,013 | |
6.5% 7/1/27 (b) | 465,000 | 465,000 | |
6.5% 7/15/48 | 265,000 | 225,913 | |
7.5% 6/1/27 (b) | 515,000 | 518,219 | |
EQT Corp. 3.9% 10/1/27 | 405,000 | 390,375 | |
Global Partners LP/GLP Finance Corp. 7% 8/1/27 | 1,200,000 | 1,165,920 | |
Hess Corp.: | |||
4.3% 4/1/27 | 7,041,000 | 7,025,485 | |
5.6% 2/15/41 | 57,796,000 | 58,873,425 | |
5.8% 4/1/47 | 5,019,000 | 5,282,031 | |
7.125% 3/15/33 | 1,403,000 | 1,621,243 | |
7.3% 8/15/31 | 1,709,000 | 1,982,434 | |
7.875% 10/1/29 | 4,789,000 | 5,663,393 | |
Hess Midstream Partners LP: | |||
5.125% 6/15/28 (b) | 780,000 | 770,160 | |
5.5% 10/15/30 (b) | 115,000 | 113,436 | |
5.625% 2/15/26 (b) | 1,503,000 | 1,534,563 | |
Hilcorp Energy I LP/Hilcorp Finance Co.: | |||
6% 4/15/30 (b) | 520,000 | 505,700 | |
6.25% 11/1/28 (b) | 185,000 | 186,388 | |
Holly Energy Partners LP/Holly Energy Finance Corp.: | |||
5% 2/1/28 (b) | 910,000 | 855,286 | |
6.375% 4/15/27 (b) | 215,000 | 214,748 | |
Kinder Morgan, Inc. 3.6% 2/15/51 | 26,000,000 | 20,223,504 | |
MPLX LP: | |||
4.8% 2/15/29 | 1,376,000 | 1,395,089 | |
4.875% 12/1/24 | 1,974,000 | 2,019,734 | |
5.5% 2/15/49 | 4,129,000 | 4,116,673 | |
Murphy Oil U.S.A., Inc. 3.75% 2/15/31 (b) | 110,000 | 99,767 | |
New Fortress Energy, Inc. 6.5% 9/30/26 (b) | 1,930,000 | 1,879,453 | |
Occidental Petroleum Corp.: | |||
3.5% 8/15/29 | 465,000 | 449,364 | |
4.2% 3/15/48 | 310,000 | 270,785 | |
4.3% 8/15/39 | 165,000 | 149,325 | |
4.4% 4/15/46 | 480,000 | 432,000 | |
4.4% 8/15/49 | 545,000 | 481,734 | |
5.55% 3/15/26 | 5,734,000 | 5,972,305 | |
6.125% 1/1/31 | 365,000 | 396,025 | |
6.2% 3/15/40 | 160,000 | 168,800 | |
6.45% 9/15/36 | 5,135,000 | 5,744,370 | |
6.6% 3/15/46 | 4,886,000 | 5,521,180 | |
7.5% 5/1/31 | 7,400,000 | 8,872,637 | |
7.875% 9/15/31 | 100,000 | 121,091 | |
8.875% 7/15/30 | 345,000 | 430,905 | |
Ovintiv, Inc.: | |||
5.15% 11/15/41 | 3,000,000 | 2,850,105 | |
8.125% 9/15/30 | 5,649,000 | 6,632,856 | |
PBF Holding Co. LLC/PBF Finance Corp. 9.25% 5/15/25 (b) | 1,500,000 | 1,558,125 | |
Petroleos Mexicanos: | |||
5.95% 1/28/31 | 3,260,000 | 2,709,386 | |
6.35% 2/12/48 | 1,560,000 | 1,080,846 | |
6.49% 1/23/27 | 3,630,000 | 3,467,376 | |
6.5% 3/13/27 | 9,576,000 | 9,134,929 | |
6.75% 9/21/47 | 22,490,000 | 16,118,583 | |
6.84% 1/23/30 | 12,004,000 | 10,743,580 | |
6.95% 1/28/60 | 32,166,000 | 23,079,105 | |
7.69% 1/23/50 | 100,606,000 | 77,969,650 | |
Plains All American Pipeline LP/PAA Finance Corp.: | |||
3.55% 12/15/29 | 1,968,000 | 1,820,508 | |
3.6% 11/1/24 | 1,903,000 | 1,893,555 | |
Rattler Midstream LP 5.625% 7/15/25 (b) | 1,110,000 | 1,135,075 | |
Rockies Express Pipeline LLC: | |||
4.8% 5/15/30 (b) | 735,000 | 644,963 | |
4.95% 7/15/29 (b) | 276,000 | 261,373 | |
6.875% 4/15/40 (b) | 105,000 | 93,561 | |
Sabine Pass Liquefaction LLC 4.5% 5/15/30 | 14,626,000 | 14,576,198 | |
Sunoco LP/Sunoco Finance Corp.: | |||
4.5% 5/15/29 | 635,000 | 591,185 | |
5.875% 3/15/28 | 135,000 | 134,939 | |
6% 4/15/27 | 1,005,000 | 1,025,155 | |
Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp.: | |||
5.5% 1/15/28 (b) | 125,000 | 115,993 | |
6% 3/1/27 (b) | 545,000 | 531,566 | |
6% 12/31/30 (b) | 655,000 | 589,860 | |
6% 9/1/31 (b) | 270,000 | 238,094 | |
Targa Resources Partners LP/Targa Resources Partners Finance Corp. 5.5% 3/1/30 | 135,000 | 134,584 | |
The Williams Companies, Inc.: | |||
3.5% 11/15/30 | 15,742,000 | 14,636,813 | |
3.7% 1/15/23 | 808,000 | 811,702 | |
5.1% 9/15/45 | 9,765,000 | 9,481,748 | |
Venture Global Calcasieu Pass LLC: | |||
3.875% 8/15/29 (b) | 340,000 | 321,667 | |
3.875% 11/1/33 (b) | 275,000 | 249,563 | |
4.125% 8/15/31 (b) | 325,000 | 304,688 | |
Western Gas Partners LP: | |||
3.95% 6/1/25 | 1,280,000 | 1,254,400 | |
4.55% 2/1/30 | 1,420,000 | 1,357,335 | |
4.65% 7/1/26 | 2,046,000 | 2,040,885 | |
4.75% 8/15/28 | 1,236,000 | 1,223,937 | |
453,777,607 | |||
TOTAL ENERGY | 455,073,101 | ||
FINANCIALS - 4.6% | |||
Banks - 2.4% | |||
AIB Group PLC: | |||
1.875% 11/19/29 (Reg. S) (c) | EUR | 2,710,000 | 2,760,654 |
2.25% 4/4/28 (Reg. S) (c) | EUR | 3,400,000 | 3,517,974 |
2.875% 5/30/31 (Reg. S) (c) | EUR | 700,000 | 709,176 |
Alpha Bank SA 4.25% 2/13/30 (Reg. S) (c) | EUR | 895,000 | 842,272 |
Bank of America Corp.: | |||
1.734% 7/22/27 (c) | 25,000,000 | 22,762,456 | |
2.299% 7/21/32 (c) | 50,000,000 | 42,027,815 | |
2.972% 2/4/33 (c) | 20,000,000 | 17,748,236 | |
3.3% 1/11/23 | 2,658,000 | 2,676,204 | |
3.419% 12/20/28 (c) | 5,193,000 | 4,963,310 | |
3.5% 4/19/26 | 6,078,000 | 6,032,429 | |
3.95% 4/21/25 | 37,660,000 | 37,912,391 | |
4% 1/22/25 | 26,856,000 | 26,979,717 | |
4.1% 7/24/23 | 1,426,000 | 1,454,972 | |
4.183% 11/25/27 | 6,909,000 | 6,859,123 | |
4.2% 8/26/24 | 8,311,000 | 8,446,327 | |
4.25% 10/22/26 | 38,178,000 | 38,603,639 | |
4.45% 3/3/26 | 6,522,000 | 6,600,738 | |
Bank of Ireland Group PLC: | |||
1.375% 8/11/31 (Reg. S) (c) | EUR | 4,235,000 | 4,043,679 |
2.029% 9/30/27 (b)(c) | 2,500,000 | 2,207,400 | |
Banque Federative du Credit Mutuel SA 3 month U.S. LIBOR + 0.730% 1.7927% 7/20/22 (b)(c)(e) | 8,158,000 | 8,158,797 | |
Barclays PLC: | |||
2.279% 11/24/27 (c) | 25,000,000 | 22,640,628 | |
2.852% 5/7/26 (c) | 14,944,000 | 14,371,717 | |
4.375% 1/12/26 | 4,468,000 | 4,481,977 | |
4.836% 5/9/28 | 6,102,000 | 6,023,972 | |
5.088% 6/20/30 (c) | 29,218,000 | 28,773,152 | |
5.2% 5/12/26 | 1,556,000 | 1,581,391 | |
BNP Paribas SA: | |||
2.159% 9/15/29 (b)(c) | 3,350,000 | 2,882,604 | |
2.219% 6/9/26 (b)(c) | 13,752,000 | 12,923,727 | |
2.5% 3/31/32 (Reg. S) (c) | EUR | 2,500,000 | 2,554,904 |
BPCE SA: | |||
1.5% 1/13/42 (Reg. S) (c) | EUR | 2,200,000 | 2,113,041 |
4.875% 4/1/26 (b) | 7,383,000 | 7,423,441 | |
Canadian Imperial Bank of Commerce: | |||
3.45% 4/7/27 | 16,220,000 | 15,833,329 | |
3.6% 4/7/32 | 16,310,000 | 15,208,091 | |
Citigroup, Inc.: | |||
4.075% 4/23/29 (c) | 4,606,000 | 4,521,003 | |
4.125% 7/25/28 | 6,909,000 | 6,784,450 | |
4.3% 11/20/26 | 1,766,000 | 1,772,315 | |
4.4% 6/10/25 | 19,341,000 | 19,550,846 | |
4.412% 3/31/31 (c) | 34,201,000 | 33,792,304 | |
4.45% 9/29/27 | 21,445,000 | 21,501,848 | |
4.6% 3/9/26 | 17,445,000 | 17,687,285 | |
5.3% 5/6/44 | 9,501,000 | 9,760,784 | |
5.5% 9/13/25 | 7,738,000 | 8,094,747 | |
Citizens Financial Group, Inc. 2.638% 9/30/32 | 7,305,000 | 5,997,384 | |
Commonwealth Bank of Australia 3.61% 9/12/34 (b)(c) | 3,723,000 | 3,381,795 | |
Danske Bank A/S 2.25% 1/14/28 (Reg. S) (c) | GBP | 1,760,000 | 2,066,479 |
DNB Bank ASA 1.535% 5/25/27 (b)(c) | 48,309,000 | 43,696,150 | |
First Citizens Bank & Trust Co.: | |||
3.929% 6/19/24 (c) | 1,900,000 | 1,908,883 | |
6.125% 3/9/28 | 40,920,000 | 43,775,633 | |
HAT Holdings I LLC/HAT Holdings II LLC 3.375% 6/15/26 (b) | 350,000 | 323,811 | |
HSBC Holdings PLC: | |||
2.251% 11/22/27 (c) | 25,000,000 | 22,718,035 | |
4.25% 3/14/24 | 1,433,000 | 1,450,017 | |
4.95% 3/31/30 | 2,548,000 | 2,576,927 | |
5.25% 3/14/44 | 1,039,000 | 1,022,877 | |
Intesa Sanpaolo SpA: | |||
4.198% 6/1/32 (b)(c) | 17,320,000 | 14,186,484 | |
5.017% 6/26/24 (b) | 10,324,000 | 10,266,575 | |
5.71% 1/15/26 (b) | 80,549,000 | 81,136,412 | |
JPMorgan Chase & Co.: | |||
2.956% 5/13/31 (c) | 7,934,000 | 7,080,081 | |
4.125% 12/15/26 | 15,380,000 | 15,465,901 | |
Lloyds Banking Group PLC 1.985% 12/15/31 (c) | GBP | 1,195,000 | 1,355,747 |
NatWest Group PLC: | |||
3.073% 5/22/28 (c) | 8,707,000 | 8,113,286 | |
3.619% 3/29/29 (Reg. S) (c) | GBP | 1,600,000 | 1,977,708 |
3.622% 8/14/30 (Reg. S) (c) | GBP | 3,400,000 | 4,153,668 |
4.8% 4/5/26 | 19,815,000 | 20,064,122 | |
5.125% 5/28/24 | 35,958,000 | 36,515,252 | |
6% 12/19/23 | 43,478,000 | 44,873,703 | |
6.1% 6/10/23 | 19,857,000 | 20,280,754 | |
6.125% 12/15/22 | 21,905,000 | 22,250,899 | |
NatWest Markets PLC 2.375% 5/21/23 (b) | 15,700,000 | 15,561,147 | |
Rabobank Nederland 4.375% 8/4/25 | 4,789,000 | 4,812,242 | |
Societe Generale: | |||
1.038% 6/18/25 (b)(c) | 75,000,000 | 70,454,024 | |
1.488% 12/14/26 (b)(c) | 16,638,000 | 14,867,967 | |
4.25% 4/14/25 (b) | 7,110,000 | 7,102,021 | |
4.75% 11/24/25 (b) | 1,485,000 | 1,486,444 | |
UniCredit SpA 2.731% 1/15/32 (Reg. S) (c) | EUR | 3,365,000 | 3,233,747 |
Virgin Money UK PLC 5.125% 12/11/30 (Reg. S) (c) | GBP | 1,075,000 | 1,358,961 |
Wells Fargo & Co.: | |||
2.406% 10/30/25 (c) | 7,739,000 | 7,502,792 | |
3.526% 3/24/28 (c) | 23,819,000 | 23,156,733 | |
4.3% 7/22/27 | 25,328,000 | 25,459,864 | |
4.478% 4/4/31 (c) | 19,300,000 | 19,486,725 | |
Westpac Banking Corp. 4.11% 7/24/34 (c) | 5,171,000 | 4,847,896 | |
1,121,554,011 | |||
Capital Markets - 1.0% | |||
Affiliated Managers Group, Inc. 4.25% 2/15/24 | 1,396,000 | 1,417,233 | |
Ares Capital Corp.: | |||
3.25% 7/15/25 | 42,000,000 | 39,963,021 | |
3.875% 1/15/26 | 22,188,000 | 21,219,273 | |
4.2% 6/10/24 | 15,463,000 | 15,520,942 | |
Coinbase Global, Inc.: | |||
3.375% 10/1/28 (b) | 685,000 | 500,728 | |
3.625% 10/1/31 (b) | 1,480,000 | 999,000 | |
Credit Suisse Group AG: | |||
2.125% 10/13/26 (Reg. S) (c) | EUR | 2,500,000 | 2,596,316 |
2.125% 11/15/29 (Reg. S) (c) | GBP | 1,300,000 | 1,414,463 |
2.593% 9/11/25 (b)(c) | 14,306,000 | 13,685,199 | |
3.75% 3/26/25 | 9,717,000 | 9,626,479 | |
4.194% 4/1/31 (b)(c) | 38,618,000 | 35,775,615 | |
4.282% 1/9/28 (b) | 2,250,000 | 2,164,054 | |
4.55% 4/17/26 | 3,126,000 | 3,122,480 | |
Deutsche Bank AG: | |||
3.25% 5/24/28 (Reg. S) (c) | EUR | 1,000,000 | 1,068,783 |
4% 6/24/32 (Reg. S) (c) | EUR | 2,300,000 | 2,368,818 |
4.5% 4/1/25 | 33,327,000 | 33,073,866 | |
Deutsche Bank AG New York Branch: | |||
2.311% 11/16/27 (c) | 25,000,000 | 22,129,521 | |
3.3% 11/16/22 | 7,369,000 | 7,375,795 | |
3.729% 1/14/32 (c) | 10,000,000 | 8,338,336 | |
4.1% 1/13/26 | 8,332,000 | 8,255,946 | |
Goldman Sachs Group, Inc.: | |||
2.383% 7/21/32 (c) | 18,425,000 | 15,478,783 | |
3.102% 2/24/33 (c) | 20,000,000 | 17,771,871 | |
3.272% 9/29/25 (c) | 35,921,000 | 35,564,723 | |
4.25% 10/21/25 | 12,215,000 | 12,373,996 | |
6.75% 10/1/37 | 59,592,000 | 69,674,306 | |
Hightower Holding LLC 6.75% 4/15/29 (b) | 835,000 | 704,561 | |
Intercontinental Exchange, Inc. 3.75% 12/1/25 | 2,038,000 | 2,056,452 | |
Jane Street Group LLC/JSG Finance, Inc. 4.5% 11/15/29 (b) | 155,000 | 144,925 | |
LPL Holdings, Inc. 4% 3/15/29 (b) | 1,070,000 | 991,088 | |
Morgan Stanley: | |||
3.125% 7/27/26 | 14,775,000 | 14,359,451 | |
3.622% 4/1/31 (c) | 17,370,000 | 16,545,092 | |
3.625% 1/20/27 | 16,594,000 | 16,408,978 | |
3.7% 10/23/24 | 4,754,000 | 4,823,440 | |
3.875% 4/29/24 | 4,377,000 | 4,462,845 | |
4.875% 11/1/22 | 9,955,000 | 10,069,658 | |
5% 11/24/25 | 21,351,000 | 22,092,764 | |
MSCI, Inc. 3.25% 8/15/33 (b) | 215,000 | 187,403 | |
State Street Corp. 2.901% 3/30/26 (c) | 1,141,000 | 1,119,639 | |
UBS Group AG 1.494% 8/10/27 (b)(c) | 11,792,000 | 10,514,569 | |
485,960,412 | |||
Consumer Finance - 0.8% | |||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust: | |||
1.65% 10/29/24 | 47,700,000 | 44,716,681 | |
1.75% 1/30/26 | 14,780,000 | 13,197,854 | |
2.45% 10/29/26 | 8,602,000 | 7,691,756 | |
2.875% 8/14/24 | 8,576,000 | 8,301,524 | |
3% 10/29/28 | 9,010,000 | 7,905,631 | |
3.3% 1/30/32 | 9,639,000 | 8,133,396 | |
4.125% 7/3/23 | 4,250,000 | 4,246,584 | |
4.45% 4/3/26 | 4,254,000 | 4,162,122 | |
4.875% 1/16/24 | 6,629,000 | 6,676,362 | |
6.5% 7/15/25 | 6,613,000 | 6,902,651 | |
Ally Financial, Inc.: | |||
1.45% 10/2/23 | 3,893,000 | 3,805,139 | |
3.05% 6/5/23 | 17,631,000 | 17,640,363 | |
3.875% 5/21/24 | 8,893,000 | 8,939,257 | |
4.625% 3/30/25 | 3,595,000 | 3,656,387 | |
5.125% 9/30/24 | 3,534,000 | 3,645,325 | |
5.8% 5/1/25 | 9,417,000 | 9,845,187 | |
8% 11/1/31 | 5,022,000 | 5,898,069 | |
Capital One Financial Corp.: | |||
2.636% 3/3/26 (c) | 11,804,000 | 11,378,703 | |
3.273% 3/1/30 (c) | 12,200,000 | 11,096,297 | |
3.65% 5/11/27 | 21,700,000 | 21,127,589 | |
3.8% 1/31/28 | 10,723,000 | 10,383,069 | |
Discover Financial Services: | |||
3.95% 11/6/24 | 1,874,000 | 1,875,075 | |
4.1% 2/9/27 | 13,375,000 | 13,256,026 | |
4.5% 1/30/26 | 5,913,000 | 5,957,388 | |
Ford Motor Credit Co. LLC: | |||
2.3% 2/10/25 | 275,000 | 256,290 | |
2.7% 8/10/26 | 5,665,000 | 5,117,325 | |
2.9% 2/10/29 | 275,000 | 235,188 | |
3.625% 6/17/31 | 5,000,000 | 4,325,000 | |
4% 11/13/30 | 17,230,000 | 15,507,000 | |
4.063% 11/1/24 | 46,639,000 | 45,704,284 | |
4.125% 8/17/27 | 19,335,000 | 18,319,913 | |
4.687% 6/9/25 | 430,000 | 424,032 | |
4.95% 5/28/27 | 10,000,000 | 9,952,825 | |
5.113% 5/3/29 | 1,320,000 | 1,286,498 | |
5.125% 6/16/25 | 320,000 | 319,891 | |
5.584% 3/18/24 | 8,520,000 | 8,621,183 | |
OneMain Finance Corp.: | |||
3.5% 1/15/27 | 2,190,000 | 1,948,553 | |
3.875% 9/15/28 | 1,350,000 | 1,169,478 | |
Synchrony Financial: | |||
2.85% 7/25/22 | 2,154,000 | 2,154,727 | |
3.95% 12/1/27 | 8,239,000 | 7,857,405 | |
4.25% 8/15/24 | 8,335,000 | 8,348,790 | |
4.375% 3/19/24 | 8,694,000 | 8,763,378 | |
5.15% 3/19/29 | 18,424,000 | 18,196,470 | |
398,946,665 | |||
Diversified Financial Services - 0.2% | |||
Blackstone Private Credit Fund: | |||
4.7% 3/24/25 (b) | 31,043,000 | 30,260,565 | |
4.875% 4/14/26 | GBP | 2,200,000 | 2,718,605 |
Brixmor Operating Partnership LP: | |||
4.05% 7/1/30 | 9,134,000 | 8,583,517 | |
4.125% 6/15/26 | 5,362,000 | 5,335,760 | |
4.125% 5/15/29 | 19,691,000 | 18,935,654 | |
Equitable Holdings, Inc. 3.9% 4/20/23 | 674,000 | 679,464 | |
Icahn Enterprises LP/Icahn Enterprises Finance Corp.: | |||
4.75% 9/15/24 | 740,000 | 738,028 | |
5.25% 5/15/27 | 3,430,000 | 3,297,088 | |
6.25% 5/15/26 | 2,206,000 | 2,220,232 | |
Leighton Finance U.S.A. Pty Ltd. 1.5% 5/28/29 (Reg. S) | EUR | 2,050,000 | 1,738,436 |
M&G PLC 5.625% 10/20/51 (Reg. S) (c) | GBP | 1,485,000 | 1,910,429 |
Park Aerospace Holdings Ltd. 5.5% 2/15/24 (b) | 7,300,000 | 7,366,548 | |
Pine Street Trust I 4.572% 2/15/29 (b) | 7,749,000 | 7,686,853 | |
Pine Street Trust II 5.568% 2/15/49 (b) | 7,700,000 | 7,784,356 | |
VMED O2 UK Financing I PLC 4.25% 1/31/31 (b) | 1,805,000 | 1,588,400 | |
100,843,935 | |||
Insurance - 0.2% | |||
AIA Group Ltd. 0.88% 9/9/33 (Reg. S) (c) | EUR | 705,000 | 641,633 |
Alliant Holdings Intermediate LLC 4.25% 10/15/27 (b) | 820,000 | 776,587 | |
Credit Agricole Assurances SA 4.75% 9/27/48 (c) | EUR | 2,200,000 | 2,441,521 |
Demeter Investments BV 5.625% 8/15/52 (Reg. S) (c) | 5,775,000 | 5,616,881 | |
Fidelidade-Companhia de Seguros SA 4.25% 9/4/31 (Reg. S) (c) | EUR | 800,000 | 840,435 |
Five Corners Funding Trust II 2.85% 5/15/30 (b) | 19,470,000 | 17,327,197 | |
Liberty Mutual Group, Inc. 3.95% 5/15/60 (b) | 12,820,000 | 10,118,497 | |
Lincoln National Corp. 3.4% 1/15/31 | 14,811,000 | 13,764,710 | |
Pacific LifeCorp 5.125% 1/30/43 (b) | 2,623,000 | 2,663,380 | |
Pricoa Global Funding I 5.375% 5/15/45 (c) | 3,148,000 | 3,070,698 | |
Prudential PLC 2.95% 11/3/33 (Reg. S) (c) | 3,700,000 | 3,251,116 | |
QBE Insurance Group Ltd.: | |||
2.5% 9/13/38 (Reg. S) (c) | GBP | 1,705,000 | 1,862,893 |
6.75% 12/2/44 (Reg. S) (c) | 3,605,000 | 3,663,581 | |
Ryan Specialty Group LLC 4.375% 2/1/30 (b) | 400,000 | 360,034 | |
SunAmerica, Inc.: | |||
3.85% 4/5/29 (b) | 7,387,000 | 7,088,876 | |
3.9% 4/5/32 (b) | 8,759,000 | 8,322,437 | |
4.35% 4/5/42 (b) | 2,000,000 | 1,815,853 | |
4.4% 4/5/52 (b) | 5,916,000 | 5,294,330 | |
Swiss Re Finance Luxembourg SA 5% 4/2/49 (b)(c) | 3,000,000 | 2,940,000 | |
Unum Group: | |||
4% 6/15/29 | 6,130,000 | 5,934,749 | |
5.75% 8/15/42 | 1,622,000 | 1,572,371 | |
Zurich Finance (Ireland) DAC 3.5% 5/2/52 (Reg. S) (c) | 1,650,000 | 1,386,000 | |
100,753,779 | |||
Thrifts & Mortgage Finance - 0.0% | |||
Quicken Loans LLC/Quicken Loans Co-Issuer, Inc. 3.625% 3/1/29 (b) | 655,000 | 566,993 | |
TOTAL FINANCIALS | 2,208,625,795 | ||
HEALTH CARE - 0.4% | |||
Biotechnology - 0.0% | |||
AbbVie, Inc. 3.2% 11/21/29 | 4,900,000 | 4,606,183 | |
Emergent BioSolutions, Inc. 3.875% 8/15/28 (b) | 1,197,000 | 946,264 | |
Grifols Escrow Issuer SA 4.75% 10/15/28 (b) | 200,000 | 182,750 | |
5,735,197 | |||
Health Care Equipment & Supplies - 0.0% | |||
Avantor Funding, Inc. 4.625% 7/15/28 (b) | 915,000 | 890,780 | |
Coloplast Finance BV 2.75% 5/19/30 (Reg. S) | EUR | 1,750,000 | 1,894,283 |
Hologic, Inc.: | |||
3.25% 2/15/29 (b) | 545,000 | 490,500 | |
4.625% 2/1/28 (b) | 65,000 | 64,608 | |
Teleflex, Inc. 4.25% 6/1/28 (b) | 145,000 | 139,251 | |
3,479,422 | |||
Health Care Providers & Services - 0.2% | |||
180 Medical, Inc. 3.875% 10/15/29 (b) | 200,000 | 181,989 | |
Anthem, Inc. 3.3% 1/15/23 | 4,322,000 | 4,346,717 | |
Centene Corp.: | |||
2.45% 7/15/28 | 11,370,000 | 10,209,692 | |
2.5% 3/1/31 | 945,000 | 801,843 | |
2.625% 8/1/31 | 5,485,000 | 4,689,373 | |
3.375% 2/15/30 | 7,725,000 | 7,087,688 | |
4.25% 12/15/27 | 6,215,000 | 6,183,925 | |
4.625% 12/15/29 | 8,795,000 | 8,667,824 | |
Cigna Corp. 4.375% 10/15/28 | 6,630,000 | 6,731,742 | |
CVS Health Corp. 3.625% 4/1/27 | 3,208,000 | 3,194,659 | |
DaVita HealthCare Partners, Inc. 4.625% 6/1/30 (b) | 1,405,000 | 1,220,594 | |
HCA Holdings, Inc. 5.375% 9/1/26 | 4,125,000 | 4,295,156 | |
HealthEquity, Inc. 4.5% 10/1/29 (b) | 110,000 | 102,575 | |
Humana, Inc. 3.7% 3/23/29 | 6,817,000 | 6,660,533 | |
MEDNAX, Inc. 5.375% 2/15/30 (b) | 410,000 | 360,193 | |
Molina Healthcare, Inc. 3.875% 11/15/30 (b) | 850,000 | 783,445 | |
Owens & Minor, Inc. 4.5% 3/31/29 (b) | 160,000 | 144,600 | |
RP Escrow Issuer LLC 5.25% 12/15/25 (b) | 785,000 | 715,512 | |
Sabra Health Care LP 3.2% 12/1/31 | 18,596,000 | 15,328,029 | |
Tenet Healthcare Corp.: | |||
4.625% 6/15/28 (b) | 2,765,000 | 2,660,497 | |
4.875% 1/1/26 (b) | 385,000 | 384,138 | |
5.125% 11/1/27 (b) | 1,000,000 | 992,380 | |
Toledo Hospital 5.325% 11/15/28 | 2,395,000 | 2,383,050 | |
88,126,154 | |||
Health Care Technology - 0.0% | |||
IQVIA, Inc. 5% 5/15/27 (b) | 630,000 | 630,441 | |
Life Sciences Tools & Services - 0.0% | |||
Charles River Laboratories International, Inc.: | |||
3.75% 3/15/29 (b) | 180,000 | 166,784 | |
4.25% 5/1/28 (b) | 70,000 | 67,716 | |
234,500 | |||
Pharmaceuticals - 0.2% | |||
Bayer U.S. Finance II LLC 4.25% 12/15/25 (b) | 50,548,000 | 50,991,766 | |
Catalent Pharma Solutions 3.5% 4/1/30 (b) | 1,205,000 | 1,082,424 | |
Elanco Animal Health, Inc.: | |||
5.772% 8/28/23 (c) | 3,402,000 | 3,470,040 | |
6.4% 8/28/28 (c) | 1,432,000 | 1,471,810 | |
Jazz Securities DAC 4.375% 1/15/29 (b) | 225,000 | 217,125 | |
Organon & Co. / Organon Foreign Debt Co-Issuer BV: | |||
4.125% 4/30/28 (b) | 530,000 | 508,153 | |
5.125% 4/30/31 (b) | 530,000 | 509,529 | |
Utah Acquisition Sub, Inc. 3.95% 6/15/26 | 2,065,000 | 2,017,534 | |
Viatris, Inc.: | |||
1.65% 6/22/25 | 1,773,000 | 1,634,763 | |
2.7% 6/22/30 | 9,017,000 | 7,539,869 | |
3.85% 6/22/40 | 3,928,000 | 3,055,511 | |
4% 6/22/50 | 6,783,000 | 5,062,682 | |
Zoetis, Inc. 3.25% 2/1/23 | 1,210,000 | 1,213,699 | |
78,774,905 | |||
TOTAL HEALTH CARE | 176,980,619 | ||
INDUSTRIALS - 0.3% | |||
Aerospace & Defense - 0.1% | |||
BAE Systems PLC 3.4% 4/15/30 (b) | 4,094,000 | 3,823,078 | |
BWX Technologies, Inc. 4.125% 6/30/28 (b) | 480,000 | 434,362 | |
Howmet Aerospace, Inc.: | |||
5.95% 2/1/37 | 25,000 | 24,998 | |
6.75% 1/15/28 | 365,000 | 389,638 | |
Moog, Inc. 4.25% 12/15/27 (b) | 980,000 | 928,550 | |
Rolls-Royce PLC: | |||
3.375% 6/18/26 | GBP | 1,940,000 | 2,206,686 |
5.75% 10/15/27 (b) | 615,000 | 611,943 | |
The Boeing Co.: | |||
5.04% 5/1/27 | 6,070,000 | 6,098,725 | |
5.15% 5/1/30 | 6,070,000 | 6,034,727 | |
5.805% 5/1/50 | 6,070,000 | 5,972,625 | |
5.93% 5/1/60 | 6,070,000 | 5,932,168 | |
TransDigm, Inc.: | |||
6.25% 3/15/26 (b) | 2,552,000 | 2,596,047 | |
7.5% 3/15/27 | 95,000 | 96,671 | |
8% 12/15/25 (b) | 1,120,000 | 1,168,294 | |
36,318,512 | |||
Airlines - 0.0% | |||
United Airlines, Inc. 4.375% 4/15/26 (b) | 530,000 | 511,473 | |
Building Products - 0.0% | |||
Advanced Drain Systems, Inc. 5% 9/30/27 (b) | 1,565,000 | 1,502,400 | |
Builders FirstSource, Inc. 4.25% 2/1/32 (b) | 260,000 | 231,847 | |
Standard Industries, Inc./New Jersey 4.375% 7/15/30 (b) | 715,000 | 644,147 | |
2,378,394 | |||
Commercial Services & Supplies - 0.0% | |||
ADT Corp.: | |||
4.125% 8/1/29 (b) | 270,000 | 240,273 | |
4.875% 7/15/32 (b) | 670,000 | 581,998 | |
Madison IAQ LLC 4.125% 6/30/28 (b) | 1,245,000 | 1,142,288 | |
Nielsen Finance LLC/Nielsen Finance Co. 5.625% 10/1/28 (b) | 495,000 | 490,599 | |
Prime Securities Services Borrower LLC/Prime Finance, Inc. 3.375% 8/31/27 (b) | 1,230,000 | 1,100,850 | |
Stericycle, Inc. 3.875% 1/15/29 (b) | 450,000 | 408,555 | |
The GEO Group, Inc. 6% 4/15/26 | 305,000 | 252,362 | |
4,216,925 | |||
Construction & Engineering - 0.0% | |||
AECOM 5.125% 3/15/27 | 1,077,000 | 1,075,600 | |
Pike Corp. 5.5% 9/1/28 (b) | 1,360,000 | 1,150,206 | |
2,225,806 | |||
Electrical Equipment - 0.0% | |||
Sensata Technologies BV 4% 4/15/29 (b) | 275,000 | 264,605 | |
Vertiv Group Corp. 4.125% 11/15/28 (b) | 675,000 | 600,078 | |
864,683 | |||
Industrial Conglomerates - 0.0% | |||
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp. 4.25% 2/1/27 (b) | 500,000 | 450,853 | |
Machinery - 0.0% | |||
Vertical U.S. Newco, Inc. 5.25% 7/15/27 (b) | 1,065,000 | 1,038,375 | |
Marine - 0.0% | |||
Seaspan Corp. 5.5% 8/1/29 (b) | 270,000 | 241,368 | |
Professional Services - 0.0% | |||
ASGN, Inc. 4.625% 5/15/28 (b) | 1,470,000 | 1,376,288 | |
Booz Allen Hamilton, Inc.: | |||
3.875% 9/1/28 (b) | 765,000 | 715,348 | |
4% 7/1/29 (b) | 105,000 | 99,362 | |
TriNet Group, Inc. 3.5% 3/1/29 (b) | 405,000 | 361,062 | |
2,552,060 | |||
Road & Rail - 0.0% | |||
Alpha Trains Finance SA 2.064% 6/30/30 | EUR | 1,740,000 | 1,857,572 |
XPO Logistics, Inc. 6.25% 5/1/25 (b) | 771,000 | 794,569 | |
2,652,141 | |||
Trading Companies & Distributors - 0.1% | |||
Air Lease Corp.: | |||
0.7% 2/15/24 | 10,742,000 | 10,191,827 | |
2.25% 1/15/23 | 1,863,000 | 1,849,084 | |
3% 9/15/23 | 583,000 | 577,978 | |
3.375% 7/1/25 | 11,630,000 | 11,270,831 | |
3.75% 6/1/26 | 5,000,000 | 4,825,315 | |
4.25% 2/1/24 | 7,180,000 | 7,208,306 | |
4.25% 9/15/24 | 2,331,000 | 2,332,416 | |
Travis Perkins PLC 3.75% 2/17/26 (Reg. S) | GBP | 1,100,000 | 1,308,003 |
39,563,760 | |||
Transportation Infrastructure - 0.1% | |||
Aeroporti di Roma SPA 1.75% 7/30/31 (Reg. S) | EUR | 1,340,000 | 1,163,444 |
Autostrade per L'italia SpA 2.25% 1/25/32 (Reg. S) | EUR | 1,850,000 | 1,618,947 |
Avolon Holdings Funding Ltd.: | |||
3.25% 2/15/27 (b) | 10,726,000 | 9,773,133 | |
3.95% 7/1/24 (b) | 2,844,000 | 2,780,156 | |
4.375% 5/1/26 (b) | 7,394,000 | 7,116,484 | |
5.25% 5/15/24 (b) | 4,186,000 | 4,201,718 | |
Heathrow Funding Ltd. 2.625% 3/16/28 (Reg. S) | GBP | 3,560,000 | 4,076,675 |
Holding d'Infrastructures et des Metiers de l'Environnement 0.625% 9/16/28 (Reg. S) | EUR | 700,000 | 631,991 |
31,362,548 | |||
TOTAL INDUSTRIALS | 124,376,898 | ||
INFORMATION TECHNOLOGY - 0.2% | |||
Communications Equipment - 0.0% | |||
Cellnex Finance Co. SA 1% 9/15/27 (Reg. S) | EUR | 2,900,000 | 2,633,854 |
Viavi Solutions, Inc. 3.75% 10/1/29 (b) | 545,000 | 491,219 | |
3,125,073 | |||
Electronic Equipment & Components - 0.0% | |||
Dell International LLC/EMC Corp.: | |||
5.45% 6/15/23 | 1,493,000 | 1,522,483 | |
6.02% 6/15/26 | 1,948,000 | 2,056,964 | |
II-VI, Inc. 5% 12/15/29 (b) | 1,215,000 | 1,139,063 | |
Sensata Technologies, Inc. 3.75% 2/15/31 (b) | 1,410,000 | 1,260,188 | |
TTM Technologies, Inc. 4% 3/1/29 (b) | 315,000 | 278,603 | |
6,257,301 | |||
IT Services - 0.0% | |||
Block, Inc. 2.75% 6/1/26 (b) | 265,000 | 244,416 | |
Gartner, Inc.: | |||
3.625% 6/15/29 (b) | 155,000 | 141,438 | |
3.75% 10/1/30 (b) | 255,000 | 236,513 | |
4.5% 7/1/28 (b) | 395,000 | 384,118 | |
Twilio, Inc. 3.875% 3/15/31 | 200,000 | 180,074 | |
1,186,559 | |||
Semiconductors & Semiconductor Equipment - 0.1% | |||
Broadcom, Inc.: | |||
1.95% 2/15/28 (b) | 2,879,000 | 2,503,019 | |
2.45% 2/15/31 (b) | 19,432,000 | 16,106,568 | |
2.6% 2/15/33 (b) | 19,432,000 | 15,609,780 | |
3.5% 2/15/41 (b) | 19,430,000 | 15,373,605 | |
3.75% 2/15/51 (b) | 9,284,000 | 7,250,061 | |
Entegris, Inc. 4.375% 4/15/28 (b) | 755,000 | 704,038 | |
onsemi 3.875% 9/1/28 (b) | 300,000 | 284,583 | |
57,831,654 | |||
Software - 0.1% | |||
CDK Global, Inc. 5.25% 5/15/29 (b) | 1,132,000 | 1,132,000 | |
Crowdstrike Holdings, Inc. 3% 2/15/29 | 295,000 | 267,713 | |
Fair Isaac Corp.: | |||
4% 6/15/28 (b) | 330,000 | 313,427 | |
5.25% 5/15/26 (b) | 793,000 | 792,009 | |
MicroStrategy, Inc. 6.125% 6/15/28 (b) | 415,000 | 351,713 | |
Open Text Corp.: | |||
3.875% 2/15/28 (b) | 420,000 | 394,712 | |
3.875% 12/1/29(b) | 960,000 | 878,630 | |
Oracle Corp.: | |||
2.5% 4/1/25 | 8,253,000 | 7,955,513 | |
2.8% 4/1/27 | 8,253,000 | 7,658,192 | |
2.95% 4/1/30 | 8,300,000 | 7,241,688 | |
3.85% 4/1/60 | 8,300,000 | 5,954,919 | |
32,940,516 | |||
Technology Hardware, Storage & Peripherals - 0.0% | |||
Hewlett Packard Enterprise Co. 4.4% 10/15/22 (c) | 3,173,000 | 3,186,369 | |
TOTAL INFORMATION TECHNOLOGY | 104,527,472 | ||
MATERIALS - 0.0% | |||
Chemicals - 0.0% | |||
Axalta Coating Systems/Dutch Holding BV 4.75% 6/15/27 (b) | 585,000 | 557,213 | |
LSB Industries, Inc. 6.25% 10/15/28 (b) | 560,000 | 553,482 | |
Methanex Corp.: | |||
5.125% 10/15/27 | 765,000 | 738,256 | |
5.25% 12/15/29 | 90,000 | 86,220 | |
5.65% 12/1/44 | 581,000 | 461,605 | |
NOVA Chemicals Corp. 5.25% 6/1/27 (b) | 949,000 | 923,064 | |
Nufarm Australia Ltd. 5% 1/27/30 (b) | 675,000 | 614,486 | |
Olin Corp.: | |||
5% 2/1/30 | 1,715,000 | 1,671,268 | |
5.125% 9/15/27 | 975,000 | 974,903 | |
5.625% 8/1/29 | 465,000 | 469,741 | |
SPCM SA 3.125% 3/15/27 (b) | 285,000 | 247,950 | |
The Chemours Co. LLC: | |||
5.375% 5/15/27 | 1,115,000 | 1,106,638 | |
5.75% 11/15/28 (b) | 275,000 | 271,494 | |
Valvoline, Inc. 4.25% 2/15/30 (b) | 165,000 | 150,356 | |
W.R. Grace Holding LLC: | |||
4.875% 6/15/27 (b) | 305,000 | 285,105 | |
5.625% 10/1/24 (b) | 1,254,000 | 1,247,730 | |
10,359,511 | |||
Containers & Packaging - 0.0% | |||
Ardagh Packaging Finance PLC/Ardagh MP Holdings U.S.A., Inc. 4.125% 8/15/26 (b) | 25,000 | 23,324 | |
Ball Corp. 3.125% 9/15/31 | 955,000 | 834,240 | |
Graphic Packaging International, Inc. 3.75% 2/1/30(b) | 135,000 | 120,112 | |
OI European Group BV 4.75% 2/15/30 (b) | 280,000 | 246,064 | |
Trivium Packaging Finance BV 5.5% 8/15/26 (b) | 485,000 | 481,976 | |
1,705,716 | |||
Metals & Mining - 0.0% | |||
Commercial Metals Co. 3.875% 2/15/31 | 565,000 | 490,944 | |
FMG Resources Pty Ltd. 4.5% 9/15/27 (b) | 10,000 | 9,627 | |
HudBay Minerals, Inc. 4.5% 4/1/26 (b) | 135,000 | 119,966 | |
Kaiser Aluminum Corp. 4.625% 3/1/28 (b) | 1,005,000 | 924,025 | |
Mineral Resources Ltd. 8% 11/1/27 (b) | 360,000 | 370,946 | |
Novelis Corp. 3.875% 8/15/31 (b) | 270,000 | 235,575 | |
PMHC II, Inc. 9% 2/15/30 (b) | 425,000 | 318,750 | |
Roller Bearing Co. of America, Inc. 4.375% 10/15/29 (b) | 75,000 | 66,657 | |
2,536,490 | |||
Paper & Forest Products - 0.0% | |||
Glatfelter Corp. 4.75% 11/15/29 (b) | 220,000 | 158,189 | |
TOTAL MATERIALS | 14,759,906 | ||
REAL ESTATE - 0.8% | |||
Equity Real Estate Investment Trusts (REITs) - 0.6% | |||
Alexandria Real Estate Equities, Inc.: | |||
2% 5/18/32 | 8,258,000 | 6,729,822 | |
4.9% 12/15/30 | 7,224,000 | 7,468,532 | |
American Homes 4 Rent LP: | |||
2.375% 7/15/31 | 1,482,000 | 1,225,451 | |
3.375% 7/15/51 | 2,291,000 | 1,668,259 | |
3.625% 4/15/32 | 8,086,000 | 7,376,751 | |
4.3% 4/15/52 | 5,604,000 | 4,786,686 | |
Boston Properties, Inc. 4.5% 12/1/28 | 4,766,000 | 4,793,393 | |
Corporate Office Properties LP: | |||
2.25% 3/15/26 | 2,969,000 | 2,737,111 | |
2.75% 4/15/31 | 2,188,000 | 1,839,226 | |
Duke Realty LP 3.25% 6/30/26 | 589,000 | 575,696 | |
Healthcare Trust of America Holdings LP: | |||
3.1% 2/15/30 | 1,868,000 | 1,671,232 | |
3.5% 8/1/26 | 1,945,000 | 1,906,666 | |
Hudson Pacific Properties LP 4.65% 4/1/29 | 10,668,000 | 10,624,745 | |
Invitation Homes Operating Partnership LP 4.15% 4/15/32 | 12,097,000 | 11,543,729 | |
Iron Mountain, Inc. 4.875% 9/15/29 (b) | 615,000 | 581,581 | |
Kimco Realty Corp.: | |||
2.25% 12/1/31 | 15,265,000 | 12,734,680 | |
3.375% 10/15/22 | 456,000 | 456,567 | |
Kite Realty Group Trust: | |||
4% 3/15/25 | 10,791,000 | 10,702,987 | |
4.75% 9/15/30 | 17,486,000 | 17,081,684 | |
LXP Industrial Trust (REIT): | |||
2.7% 9/15/30 | 1,445,000 | 1,222,271 | |
4.4% 6/15/24 | 948,000 | 957,262 | |
Omega Healthcare Investors, Inc.: | |||
3.25% 4/15/33 | 12,277,000 | 9,744,131 | |
3.375% 2/1/31 | 5,854,000 | 4,889,691 | |
3.625% 10/1/29 | 8,376,000 | 7,367,207 | |
4.375% 8/1/23 | 1,006,000 | 1,009,631 | |
4.5% 1/15/25 | 2,013,000 | 2,008,057 | |
4.5% 4/1/27 | 716,000 | 698,438 | |
4.75% 1/15/28 | 11,294,000 | 10,930,071 | |
4.95% 4/1/24 | 882,000 | 893,407 | |
5.25% 1/15/26 | 3,755,000 | 3,805,896 | |
Piedmont Operating Partnership LP 2.75% 4/1/32 | 3,072,000 | 2,475,936 | |
Realty Income Corp.: | |||
2.2% 6/15/28 | 1,380,000 | 1,240,882 | |
2.85% 12/15/32 | 1,698,000 | 1,515,565 | |
3.25% 1/15/31 | 1,828,000 | 1,712,488 | |
3.4% 1/15/28 | 2,874,000 | 2,778,694 | |
Retail Opportunity Investments Partnership LP: | |||
4% 12/15/24 | 641,000 | 635,465 | |
5% 12/15/23 | 494,000 | 499,940 | |
SBA Communications Corp. 3.875% 2/15/27 | 515,000 | 503,477 | |
Service Properties Trust: | |||
3.95% 1/15/28 | 40,000 | 30,986 | |
4.375% 2/15/30 | 415,000 | 305,025 | |
4.95% 10/1/29 | 245,000 | 192,772 | |
5.5% 12/15/27 | 230,000 | 204,412 | |
Simon Property Group LP: | |||
2.45% 9/13/29 | 3,008,000 | 2,648,802 | |
3.375% 12/1/27 | 6,125,000 | 5,947,641 | |
SITE Centers Corp.: | |||
3.625% 2/1/25 | 1,532,000 | 1,509,211 | |
4.25% 2/1/26 | 2,753,000 | 2,728,683 | |
Store Capital Corp.: | |||
2.75% 11/18/30 | 3,456,000 | 2,938,786 | |
4.625% 3/15/29 | 2,374,000 | 2,360,464 | |
Sun Communities Operating LP: | |||
2.3% 11/1/28 | 3,510,000 | 3,075,694 | |
2.7% 7/15/31 | 8,479,000 | 7,167,649 | |
Uniti Group, Inc. 7.875% 2/15/25 (b) | 1,050,000 | 1,078,655 | |
Ventas Realty LP: | |||
2.5% 9/1/31 | 22,080,000 | 18,779,984 | |
3% 1/15/30 | 11,060,000 | 9,978,274 | |
4% 3/1/28 | 2,150,000 | 2,114,523 | |
4.125% 1/15/26 | 999,000 | 1,003,937 | |
4.75% 11/15/30 | 16,500,000 | 16,743,731 | |
VICI Properties LP: | |||
4.375% 5/15/25 | 2,145,000 | 2,132,688 | |
4.75% 2/15/28 | 12,672,000 | 12,535,776 | |
4.95% 2/15/30 | 13,269,000 | 13,042,896 | |
5.125% 5/15/32 | 2,388,000 | 2,367,893 | |
VICI Properties LP / VICI Note Co.: | |||
4.25% 12/1/26 (b) | 1,640,000 | 1,557,377 | |
4.5% 9/1/26 (b) | 1,508,000 | 1,439,220 | |
4.625% 6/15/25 (b) | 150,000 | 146,432 | |
Vornado Realty LP: | |||
2.15% 6/1/26 | 3,558,000 | 3,245,584 | |
3.4% 6/1/31 | 12,870,000 | 11,248,840 | |
WP Carey, Inc.: | |||
3.85% 7/15/29 | 1,773,000 | 1,697,123 | |
4% 2/1/25 | 3,423,000 | 3,441,518 | |
4.6% 4/1/24 | 5,327,000 | 5,422,707 | |
298,480,590 | |||
Real Estate Management & Development - 0.2% | |||
ACCENTRO Real Estate AG 3.625% 2/13/23 (Reg. S) | EUR | 1,460,000 | 1,144,190 |
ADLER Group SA: | |||
1.875% 1/14/26 (Reg. S) | EUR | 500,000 | 296,568 |
2.25% 4/27/27 (Reg. S) | EUR | 5,500,000 | 3,045,436 |
Akelius Residential Property AB 3.875% 10/5/78 (Reg. S) (c) | EUR | 650,000 | 694,374 |
Blackstone Property Partners Europe LP: | |||
1% 5/4/28 (Reg. S) | EUR | 4,220,000 | 3,793,533 |
2.625% 10/20/28 (Reg. S) | GBP | 650,000 | 725,338 |
Brandywine Operating Partnership LP: | |||
3.95% 2/15/23 | 7,832,000 | 7,856,316 | |
3.95% 11/15/27 | 4,382,000 | 4,237,507 | |
4.1% 10/1/24 | 3,961,000 | 3,993,960 | |
4.55% 10/1/29 | 1,896,000 | 1,868,049 | |
CBRE Group, Inc.: | |||
2.5% 4/1/31 | 10,225,000 | 8,603,782 | |
4.875% 3/1/26 | 7,844,000 | 8,013,963 | |
Essex Portfolio LP 3.875% 5/1/24 | 1,923,000 | 1,936,484 | |
GTC Aurora Luxembourg SA 2.25% 6/23/26 (Reg. S) | EUR | 1,390,000 | 1,220,051 |
Heimstaden AB 4.375% 3/6/27 (Reg. S) | EUR | 1,400,000 | 1,276,773 |
Howard Hughes Corp. 4.375% 2/1/31 (b) | 395,000 | 350,484 | |
Kennedy-Wilson, Inc. 4.75% 2/1/30 | 540,000 | 481,469 | |
Mid-America Apartments LP 4% 11/15/25 | 828,000 | 833,737 | |
Post Apartment Homes LP 3.375% 12/1/22 | 251,000 | 251,498 | |
Samhallsbyggnadsbolaget I Norden AB: | |||
1% 8/12/27 (Reg. S) | EUR | 650,000 | 547,731 |
1.75% 1/14/25 (Reg. S) | EUR | 652,000 | 649,516 |
Sirius Real Estate Ltd. 1.125% 6/22/26 (Reg. S) | EUR | 700,000 | 671,166 |
Tanger Properties LP: | |||
2.75% 9/1/31 | 8,876,000 | 7,216,872 | |
3.125% 9/1/26 | 2,628,000 | 2,489,969 | |
3.875% 7/15/27 | 11,191,000 | 10,848,178 | |
Tritax EuroBox PLC 0.95% 6/2/26 (Reg. S) | EUR | 1,300,000 | 1,275,782 |
74,322,726 | |||
TOTAL REAL ESTATE | 372,803,316 | ||
UTILITIES - 0.4% | |||
Electric Utilities - 0.2% | |||
Alabama Power Co. 3.05% 3/15/32 | 16,210,000 | 15,134,272 | |
AusNet Services Holdings Pty Ltd. 1.625% 3/11/81 (Reg. S) (c) | EUR | 1,360,000 | 1,264,484 |
CEZ A/S 2.375% 4/6/27 (Reg. S) | EUR | 400,000 | 417,443 |
Clearway Energy Operating LLC: | |||
3.75% 2/15/31 (b) | 925,000 | 816,313 | |
4.75% 3/15/28 (b) | 140,000 | 133,700 | |
Cleco Corporate Holdings LLC 3.375% 9/15/29 | 4,843,000 | 4,402,424 | |
DPL, Inc. 4.35% 4/15/29 | 7,785,000 | 7,123,275 | |
Duquesne Light Holdings, Inc.: | |||
2.532% 10/1/30 (b) | 2,328,000 | 1,966,036 | |
2.775% 1/7/32 (b) | 8,828,000 | 7,429,440 | |
Enel SpA 3.375% (Reg. S) (c)(f) | EUR | 1,855,000 | 1,937,356 |
Exelon Corp.: | |||
2.75% 3/15/27 (b) | 3,591,000 | 3,409,517 | |
3.35% 3/15/32 (b) | 4,360,000 | 3,996,530 | |
4.1% 3/15/52 (b) | 3,230,000 | 2,879,051 | |
FirstEnergy Corp. 7.375% 11/15/31 | 5,738,000 | 6,776,406 | |
InterGen NV 7% 6/30/23 (b) | 964,000 | 930,260 | |
IPALCO Enterprises, Inc. 3.7% 9/1/24 | 1,963,000 | 1,962,085 | |
NextEra Energy Partners LP 4.25% 9/15/24 (b) | 56,000 | 55,160 | |
NGG Finance PLC 2.125% 9/5/82 (Reg. S) (c) | EUR | 2,060,000 | 1,931,106 |
NRG Energy, Inc.: | |||
3.625% 2/15/31 (b) | 1,785,000 | 1,570,800 | |
5.25% 6/15/29 (b) | 484,000 | 472,016 | |
5.75% 1/15/28 | 581,000 | 582,511 | |
6.625% 1/15/27 | 57,000 | 58,501 | |
NSG Holdings II LLC/NSG Holdings, Inc. 7.75% 12/15/25 (b) | 1,017,897 | 1,017,897 | |
PG&E Corp.: | |||
5% 7/1/28 | 4,480,000 | 4,233,421 | |
5.25% 7/1/30 | 1,155,000 | 1,065,476 | |
Southern Co. 1.875% 9/15/81 (c) | EUR | 2,800,000 | 2,461,053 |
SSE PLC 4.75% 9/16/77 (Reg. S) (c) | 6,395,000 | 6,395,000 | |
Vistra Operations Co. LLC: | |||
5.5% 9/1/26 (b) | 3,498,000 | 3,474,458 | |
5.625% 2/15/27 (b) | 665,000 | 665,333 | |
84,561,324 | |||
Gas Utilities - 0.0% | |||
Nakilat, Inc. 6.067% 12/31/33 (b) | 1,149,343 | 1,237,914 | |
Superior Plus LP / Superior General Partner, Inc. 4.5% 3/15/29 (b) | 185,000 | 172,744 | |
1,410,658 | |||
Independent Power and Renewable Electricity Producers - 0.1% | |||
RWE AG 2.75% 5/24/30 (Reg. S) | EUR | 3,350,000 | 3,577,475 |
TerraForm Power Operating LLC: | |||
4.75% 1/15/30 (b) | 75,000 | 71,063 | |
5% 1/31/28 (b) | 656,000 | 628,861 | |
The AES Corp.: | |||
2.45% 1/15/31 | 4,011,000 | 3,338,448 | |
3.3% 7/15/25 (b) | 15,965,000 | 15,536,819 | |
3.95% 7/15/30 (b) | 13,922,000 | 12,915,439 | |
36,068,105 | |||
Multi-Utilities - 0.1% | |||
Berkshire Hathaway Energy Co.: | |||
3.7% 7/15/30 | 1,758,000 | 1,708,815 | |
4.05% 4/15/25 | 21,459,000 | 21,941,978 | |
Consolidated Edison Co. of New York, Inc. 3.95% 4/1/50 | 2,477,000 | 2,232,923 | |
NiSource, Inc.: | |||
2.95% 9/1/29 | 12,206,000 | 11,037,918 | |
3.49% 5/15/27 | 13,900,000 | 13,578,025 | |
5.95% 6/15/41 | 1,737,000 | 1,827,661 | |
Puget Energy, Inc.: | |||
4.1% 6/15/30 | 6,250,000 | 5,960,415 | |
4.224% 3/15/32 | 15,319,000 | 14,617,397 | |
Sempra Energy 6% 10/15/39 | 2,744,000 | 3,048,999 | |
WEC Energy Group, Inc. 3 month U.S. LIBOR + 2.610% 3.5238% 5/15/67 (c)(e) | 1,843,000 | 1,449,980 | |
77,404,111 | |||
TOTAL UTILITIES | 199,444,198 | ||
TOTAL NONCONVERTIBLE BONDS | |||
(Cost $5,209,341,317) | 4,885,167,642 | ||
U.S. Treasury Obligations - 9.6% | |||
U.S. Treasury Bonds: | |||
2% 11/15/41 (g) | $3,600,000 | $2,923,313 | |
2.25% 2/15/52 | 85,500,000 | 71,512,734 | |
2.375% 5/15/51 | 674,726,000 | 579,236,455 | |
U.S. Treasury Notes: | |||
0.125% 6/30/22 | 65,500,000 | 65,459,601 | |
0.5% 5/31/27 | 520,000,000 | 463,429,689 | |
0.875% 11/15/30 | 428,909,000 | 365,862,727 | |
1.125% 10/31/26 | 250,000,000 | 232,373,048 | |
1.125% 2/15/31 | 160,064,000 | 138,936,802 | |
1.25% 12/31/26 | 545,000,000 | 508,020,900 | |
1.25% 4/30/28 | 250,000,000 | 227,783,203 | |
1.25% 5/31/28 | 74,500,000 | 67,800,820 | |
1.25% 6/30/28 | 75,000,000 | 68,144,531 | |
1.25% 8/15/31 | 314,600,000 | 273,837,180 | |
1.5% 2/29/24 (h) | 11,000,000 | 10,823,828 | |
1.5% 1/31/27 | 417,000,000 | 392,761,875 | |
1.875% 2/28/27 | 310,000,000 | 296,970,313 | |
1.875% 2/28/29 (g)(i) | 167,600,000 | 157,452,343 | |
1.875% 2/15/32 (g)(i) | 667,123,000 | 611,824,774 | |
3.125% 11/15/28 | 51,642,000 | 52,305,680 | |
TOTAL U.S. TREASURY OBLIGATIONS | |||
(Cost $4,960,584,066) | 4,587,459,816 | ||
U.S. Government Agency - Mortgage Securities - 21.4% | |||
Fannie Mae - 5.7% | |||
12 month U.S. LIBOR + 1.440% 1.945% 4/1/37 (c)(e) | 7,070 | 7,214 | |
12 month U.S. LIBOR + 1.460% 1.856% 1/1/35 (c)(e) | 7,474 | 7,640 | |
12 month U.S. LIBOR + 1.480% 1.855% 7/1/34 (c)(e) | 1,918 | 1,975 | |
12 month U.S. LIBOR + 1.530% 1.94% 3/1/36 (c)(e) | 1,658 | 1,697 | |
12 month U.S. LIBOR + 1.550% 1.803% 6/1/36 (c)(e) | 7,055 | 7,309 | |
12 month U.S. LIBOR + 1.560% 2.065% 3/1/37 (c)(e) | 6,162 | 6,312 | |
12 month U.S. LIBOR + 1.620% 1.93% 5/1/35 (c)(e) | 12,851 | 13,240 | |
12 month U.S. LIBOR + 1.620% 2.002% 3/1/33 (c)(e) | 8,247 | 8,434 | |
12 month U.S. LIBOR + 1.630% 1.815% 9/1/36 (c)(e) | 5,398 | 5,565 | |
12 month U.S. LIBOR + 1.630% 2.164% 11/1/36 (c)(e) | 3,708 | 3,818 | |
12 month U.S. LIBOR + 1.640% 2.05% 5/1/36 (c)(e) | 12,797 | 13,210 | |
12 month U.S. LIBOR + 1.640% 2.089% 6/1/47 (c)(e) | 13,523 | 13,971 | |
12 month U.S. LIBOR + 1.680% 2.011% 7/1/43 (c)(e) | 127,586 | 131,679 | |
12 month U.S. LIBOR + 1.700% 2.379% 6/1/42 (c)(e) | 11,963 | 12,392 | |
12 month U.S. LIBOR + 1.710% 1.927% 8/1/35 (c)(e) | 4,232 | 4,376 | |
12 month U.S. LIBOR + 1.730% 2.012% 3/1/40 (c)(e) | 14,157 | 14,549 | |
12 month U.S. LIBOR + 1.730% 2.377% 5/1/36 (c)(e) | 9,855 | 10,209 | |
12 month U.S. LIBOR + 1.750% 2% 8/1/41 (c)(e) | 18,227 | 18,927 | |
12 month U.S. LIBOR + 1.750% 2.134% 7/1/35 (c)(e) | 4,178 | 4,292 | |
12 month U.S. LIBOR + 1.800% 2.05% 7/1/41 (c)(e) | 7,891 | 8,202 | |
12 month U.S. LIBOR + 1.800% 2.054% 12/1/40 (c)(e) | 388,459 | 402,513 | |
12 month U.S. LIBOR + 1.800% 2.054% 1/1/42 (c)(e) | 29,924 | 30,873 | |
12 month U.S. LIBOR + 1.810% 2.06% 12/1/39 (c)(e) | 9,422 | 9,689 | |
12 month U.S. LIBOR + 1.810% 2.068% 7/1/41 (c)(e) | 9,881 | 10,307 | |
12 month U.S. LIBOR + 1.810% 2.068% 9/1/41 (c)(e) | 4,168 | 4,330 | |
12 month U.S. LIBOR + 1.810% 2.304% 2/1/42 (c)(e) | 16,388 | 16,939 | |
12 month U.S. LIBOR + 1.820% 2.292% 2/1/35 (c)(e) | 15,830 | 16,298 | |
12 month U.S. LIBOR + 1.830% 2.08% 10/1/41 (c)(e) | 3,768 | 3,817 | |
12 month U.S. LIBOR + 1.950% 2.202% 7/1/37 (c)(e) | 17,382 | 18,108 | |
6 month U.S. LIBOR + 1.500% 1.736% 1/1/35 (c)(e) | 18,860 | 19,368 | |
6 month U.S. LIBOR + 1.530% 1.785% 12/1/34 (c)(e) | 2,365 | 2,426 | |
6 month U.S. LIBOR + 1.530% 1.834% 3/1/35 (c)(e) | 3,443 | 3,534 | |
6 month U.S. LIBOR + 1.550% 2.002% 10/1/33 (c)(e) | 1,193 | 1,226 | |
6 month U.S. LIBOR + 1.560% 1.815% 7/1/35 (c)(e) | 1,826 | 1,887 | |
6 month U.S. LIBOR + 1.740% 1.865% 12/1/34 (c)(e) | 341 | 353 | |
6 month U.S. LIBOR + 1.960% 2.444% 9/1/35 (c)(e) | 2,475 | 2,570 | |
U.S. TREASURY 1 YEAR INDEX + 2.200% 2.583% 3/1/35 (c)(e) | 3,825 | 3,958 | |
U.S. TREASURY 1 YEAR INDEX + 2.270% 2.395% 6/1/36 (c)(e) | 17,789 | 18,455 | |
U.S. TREASURY 1 YEAR INDEX + 2.280% 2.408% 10/1/33 (c)(e) | 8,038 | 8,334 | |
U.S. TREASURY 1 YEAR INDEX + 2.460% 2.667% 7/1/34 (c)(e) | 17,097 | 17,732 | |
1.5% 11/1/40 to 11/1/51 | 102,995,128 | 88,892,581 | |
2% 12/1/36 to 3/1/52 | 633,607,120 | 565,792,940 | |
2.5% 5/1/31 to 3/1/52 | 638,996,933 | 597,951,757 | |
3% 12/1/28 to 5/1/52 | 524,167,720 | 506,436,484 | |
3.25% 12/1/41 | 6,318 | 6,247 | |
3.4% 7/1/42 to 9/1/42 | 112,895 | 112,050 | |
3.5% 10/1/33 to 4/1/52 (g) | 702,750,713 | 695,745,969 | |
3.65% 5/1/42 to 8/1/42 | 35,587 | 35,788 | |
3.9% 4/1/42 | 9,888 | 10,084 | |
4% 3/1/36 to 5/1/52 | 171,021,891 | 173,580,655 | |
4.25% 11/1/41 | 19,913 | 20,506 | |
4.5% to 4.5% 6/1/24 to 5/1/52 (g) | 104,220,317 | 107,943,875 | |
5% 11/1/22 to 2/1/49 | 8,449,191 | 8,918,678 | |
5.237% 8/1/41 (c) | 292,438 | 307,179 | |
5.5% 12/1/23 to 9/1/24 | 346 | 351 | |
6% to 6% 9/1/29 to 1/1/42 | 1,350,475 | 1,481,297 | |
6.5% 8/1/22 to 5/1/38 | 179,799 | 194,056 | |
6.637% 2/1/39 (c) | 183,439 | 194,572 | |
7% to 7% 4/1/23 to 7/1/37 | 129,306 | 141,036 | |
7.5% to 7.5% 6/1/25 to 9/1/32 | 70,293 | 76,601 | |
8% 3/1/37 | 3,013 | 3,473 | |
8.5% 9/1/22 | 1 | 1 | |
9% 10/1/30 | 3,554 | 3,995 | |
TOTAL FANNIE MAE | 2,748,737,903 | ||
Freddie Mac - 3.7% | |||
12 month U.S. LIBOR + 1.320% 1.575% 1/1/36 (c)(e) | 6,510 | 6,591 | |
12 month U.S. LIBOR + 1.370% 1.684% 3/1/36 (c)(e) | 24,719 | 25,143 | |
12 month U.S. LIBOR + 1.500% 1.824% 3/1/36 (c)(e) | 17,171 | 17,521 | |
12 month U.S. LIBOR + 1.750% 2% 12/1/40 (c)(e) | 171,010 | 175,689 | |
12 month U.S. LIBOR + 1.750% 2% 7/1/41 (c)(e) | 40,358 | 41,846 | |
12 month U.S. LIBOR + 1.750% 2% 9/1/41 (c)(e) | 72,887 | 75,321 | |
12 month U.S. LIBOR + 1.860% 3.239% 4/1/36 (c)(e) | 8,620 | 8,926 | |
12 month U.S. LIBOR + 1.880% 2.13% 9/1/41 (c)(e) | 5,954 | 6,155 | |
12 month U.S. LIBOR + 1.880% 3.255% 4/1/41 (c)(e) | 1,513 | 1,567 | |
12 month U.S. LIBOR + 1.900% 2.188% 10/1/42 (c)(e) | 27,003 | 27,966 | |
12 month U.S. LIBOR + 1.910% 2.16% 6/1/41 (c)(e) | 3,962 | 4,130 | |
12 month U.S. LIBOR + 1.910% 2.295% 6/1/41 (c)(e) | 15,380 | 16,041 | |
12 month U.S. LIBOR + 1.910% 2.434% 5/1/41 (c)(e) | 12,348 | 12,873 | |
12 month U.S. LIBOR + 1.910% 2.729% 5/1/41 (c)(e) | 11,764 | 12,216 | |
12 month U.S. LIBOR + 1.960% 2.211% 6/1/33 (c)(e) | 9,806 | 10,183 | |
12 month U.S. LIBOR + 2.020% 2.931% 4/1/38 (c)(e) | 7,427 | 7,637 | |
12 month U.S. LIBOR + 2.030% 2.275% 3/1/33 (c)(e) | 226 | 232 | |
12 month U.S. LIBOR + 2.040% 2.295% 7/1/36 (c)(e) | 14,113 | 14,680 | |
12 month U.S. LIBOR + 2.200% 2.45% 12/1/36 (c)(e) | 22,278 | 23,006 | |
6 month U.S. LIBOR + 1.120% 1.424% 8/1/37 (c)(e) | 8,170 | 8,264 | |
6 month U.S. LIBOR + 1.580% 1.705% 12/1/35 (c)(e) | 649 | 671 | |
6 month U.S. LIBOR + 1.880% 2.335% 10/1/36 (c)(e) | 28,373 | 29,260 | |
6 month U.S. LIBOR + 1.990% 2.435% 10/1/35 (c)(e) | 10,418 | 10,775 | |
6 month U.S. LIBOR + 2.020% 2.169% 6/1/37 (c)(e) | 18,256 | 19,002 | |
6 month U.S. LIBOR + 2.680% 3.238% 10/1/35 (c)(e) | 9,848 | 10,247 | |
U.S. TREASURY 1 YEAR INDEX + 2.030% 2.417% 6/1/33 (c)(e) | 17,942 | 18,557 | |
U.S. TREASURY 1 YEAR INDEX + 2.260% 2.51% 6/1/33 (c)(e) | 34,173 | 35,324 | |
U.S. TREASURY 1 YEAR INDEX + 2.430% 2.517% 3/1/35 (c)(e) | 64,092 | 66,503 | |
1.5% 12/1/40 to 11/1/51 | 17,684,871 | 15,347,843 | |
2% 4/1/41 to 4/1/52 | 590,907,740 | 527,330,286 | |
2.5% 6/1/31 to 2/1/52 | 515,153,864 | 479,489,418 | |
3% 6/1/31 to 4/1/52 | 334,882,460 | 322,582,250 | |
3.5% 3/1/32 to 5/1/52 (i)(j) | 302,642,211 | 300,238,787 | |
3.5% 8/1/47 | 2,664,471 | 2,652,515 | |
4% 5/1/33 to 3/1/49 (g) | 97,796,573 | 99,675,169 | |
4% 4/1/48 | 8,838 | 8,983 | |
4.5% 6/1/25 to 7/1/49 | 25,103,459 | 26,064,491 | |
5% 7/1/33 to 7/1/41 | 2,662,879 | 2,829,414 | |
6% 1/1/23 to 12/1/37 | 280,981 | 306,075 | |
6.5% 1/1/24 to 9/1/39 | 429,826 | 475,824 | |
7% 3/1/26 to 9/1/36 | 145,179 | 160,158 | |
7.5% 1/1/27 to 7/1/34 | 38,059 | 42,176 | |
8% 7/1/24 to 4/1/32 | 2,512 | 2,774 | |
8.5% 12/1/22 to 1/1/28 | 1,675 | 1,807 | |
TOTAL FREDDIE MAC | 1,777,894,296 | ||
Ginnie Mae - 5.1% | |||
3.5% 9/20/40 to 11/20/50 | 249,935,929 | 249,253,467 | |
4% 7/20/33 to 6/20/49 | 108,289,980 | 110,409,398 | |
4.5% 6/20/33 to 9/20/46 | 8,203,257 | 8,562,476 | |
5.5% 8/15/33 to 9/15/39 | 235,881 | 252,957 | |
6% to 6% 10/15/30 to 5/15/40 | 330,956 | 361,782 | |
7% to 7% 11/15/22 to 11/15/32 | 141,319 | 153,305 | |
7.5% to 7.5% 9/15/22 to 9/15/31 | 29,097 | 31,009 | |
8% 6/15/22 to 11/15/29 | 6,824 | 7,226 | |
8.5% to 8.5% 11/15/27 to 1/15/31 | 3,656 | 4,015 | |
9% 1/15/23 | 6 | 6 | |
2% 6/1/52 (j) | 71,950,000 | 65,446,396 | |
2% 6/1/52 (j) | 143,000,000 | 130,074,144 | |
2% 6/1/52 (j) | 29,200,000 | 26,560,594 | |
2% 6/1/52 (j) | 28,600,000 | 26,014,829 | |
2% 6/1/52 (j) | 5,850,000 | 5,321,215 | |
2% 6/1/52 (j) | 41,100,000 | 37,384,946 | |
2% 6/1/52 (j) | 8,400,000 | 7,640,719 | |
2% 6/1/52 (j) | 41,450,000 | 37,703,310 | |
2% 6/1/52 (j) | 8,500,000 | 7,731,680 | |
2% 6/1/52 (j) | 71,800,000 | 65,309,955 | |
2% 6/1/52 (j) | 14,700,000 | 13,371,258 | |
2% 6/1/52 (j) | 14,700,000 | 13,371,258 | |
2% 7/1/52 (j) | 139,250,000 | 126,478,157 | |
2% 7/1/52 (j) | 28,450,000 | 25,840,600 | |
2% 7/1/52 (j) | 33,475,000 | 30,404,713 | |
2% 7/1/52 (j) | 7,200,000 | 6,539,625 | |
2% 7/1/52 (j) | 33,475,000 | 30,404,713 | |
2% 7/1/52 (j) | 7,200,000 | 6,539,625 | |
2% 7/1/52 (j) | 33,625,000 | 30,540,955 | |
2% 7/1/52 (j) | 7,250,000 | 6,585,039 | |
2% 7/1/52 (j) | 14,300,000 | 12,988,421 | |
2% 7/1/52 (j) | 67,350,000 | 61,172,739 | |
2% 7/1/52 (j) | 34,600,000 | 31,426,530 | |
2% 7/1/52 (j) | 7,350,000 | 6,675,867 | |
2% 7/1/52 (j) | 7,350,000 | 6,675,867 | |
2% 7/1/52 (j) | 34,600,000 | 31,426,530 | |
2.5% 11/20/47 to 12/20/51 | 6,332,317 | 5,962,794 | |
2.5% 6/1/52 (j) | 71,900,000 | 67,396,198 | |
2.5% 6/1/52 (j) | 15,650,000 | 14,669,687 | |
2.5% 6/1/52 (j) | 28,750,000 | 26,949,106 | |
2.5% 6/1/52 (j) | 6,250,000 | 5,858,501 | |
2.5% 6/1/52 (j) | 43,800,000 | 41,056,377 | |
2.5% 6/1/52 (j) | 9,550,000 | 8,951,790 | |
2.5% 6/1/52 (j) | 42,700,000 | 40,025,281 | |
2.5% 6/1/52 (j) | 9,300,000 | 8,717,450 | |
2.5% 6/1/52 (j) | 72,150,000 | 67,630,538 | |
2.5% 6/1/52 (j) | 15,750,000 | 14,763,423 | |
2.5% 6/1/52 (j) | 71,900,000 | 67,396,198 | |
2.5% 6/1/52 (j) | 15,700,000 | 14,716,555 | |
2.5% 7/1/52 (j) | 75,200,000 | 70,380,800 | |
2.5% 7/1/52 (j) | 16,400,000 | 15,349,004 | |
2.5% 7/1/52 (j) | 72,050,000 | 67,432,669 | |
2.5% 7/1/52 (j) | 15,700,000 | 14,693,864 | |
2.5% 7/1/52 (j) | 36,000,000 | 33,692,936 | |
2.5% 7/1/52 (j) | 7,850,000 | 7,346,932 | |
2.5% 7/1/52 (j) | 36,300,000 | 33,973,711 | |
2.5% 7/1/52 (j) | 7,900,000 | 7,393,728 | |
2.5% 7/1/52 (j) | 36,550,000 | 34,207,690 | |
2.5% 7/1/52 (j) | 7,950,000 | 7,440,523 | |
3% 5/15/42 to 10/20/51 (g) | 103,726,192 | 100,476,010 | |
3% 6/1/52 (j) | 40,750,000 | 39,311,016 | |
3% 6/1/52 (j) | 12,000,000 | 11,576,250 | |
3% 6/1/52 (j) | 42,875,000 | 41,360,977 | |
3% 6/1/52 (j) | 10,975,000 | 10,587,445 | |
3% 6/1/52 (j) | 11,025,000 | 10,635,680 | |
3% 6/1/52 (j) | 42,950,000 | 41,433,328 | |
3% 6/1/52 (j) | 53,250,000 | 51,369,609 | |
3% 6/1/52 (j) | 15,650,000 | 15,097,359 | |
3.5% 6/1/52 (j) | 2,475,000 | 2,451,797 | |
3.5% 6/1/52 (j) | 1,650,000 | 1,634,531 | |
3.5% 6/1/52 (j) | 3,250,000 | 3,219,531 | |
3.5% 6/1/52 (j) | 1,300,000 | 1,287,813 | |
4% 6/1/52 (j) | 37,350,000 | 37,718,842 | |
4% 6/1/52 (j) | 4,850,000 | 4,897,895 | |
4% 6/1/52 (j) | 37,350,000 | 37,718,842 | |
4% 6/1/52 (j) | 4,850,000 | 4,897,895 | |
4% 6/1/52 (j) | 3,800,000 | 3,837,526 | |
4% 6/1/52 (j) | 48,200,000 | 48,675,989 | |
4.5% 6/1/52 (j) | 62,500,000 | 63,878,925 | |
5% 4/15/33 to 6/20/48 | 11,026,533 | 11,592,394 | |
6.5% 3/20/31 to 6/15/37 | 53,321 | 58,469 | |
TOTAL GINNIE MAE | 2,438,389,204 | ||
Uniform Mortgage Backed Securities - 6.9% | |||
1.5% 6/1/37 (j) | 23,000,000 | 21,237,266 | |
1.5% 6/1/37 (j) | 5,150,000 | 4,755,301 | |
1.5% 6/1/37 (j) | 4,850,000 | 4,478,293 | |
1.5% 6/1/37 (j) | 21,800,000 | 20,129,235 | |
1.5% 6/1/52 (j) | 23,600,000 | 20,021,282 | |
1.5% 6/1/52 (j) | 5,750,000 | 4,878,067 | |
1.5% 6/1/52 (j) | 5,900,000 | 5,005,320 | |
1.5% 6/1/52 (j) | 24,100,000 | 20,445,462 | |
1.5% 6/1/52 (j) | 14,600,000 | 12,386,047 | |
1.5% 6/1/52 (j) | 59,850,000 | 50,774,310 | |
1.5% 6/1/52 (j) | 11,500,000 | 9,756,133 | |
1.5% 6/1/52 (j) | 47,200,000 | 40,042,564 | |
1.5% 7/1/52 (j) | 5,950,000 | 5,070,981 | |
1.5% 7/1/52 (j) | 24,350,000 | 20,601,167 | |
2% 6/1/37 (j) | 14,600,000 | 13,802,703 | |
2% 6/1/37 (j) | 59,900,000 | 56,628,897 | |
2% 6/1/37 (j) | 59,900,000 | 56,628,897 | |
2% 6/1/37 (j) | 14,600,000 | 13,802,703 | |
2% 6/1/37 (j) | 59,900,000 | 56,628,897 | |
2% 6/1/37 (j) | 14,600,000 | 13,802,703 | |
2% 6/1/37 (j) | 25,850,000 | 24,438,347 | |
2% 6/1/37 (j) | 6,300,000 | 5,955,961 | |
2% 6/1/37 (j) | 29,950,000 | 28,314,448 | |
2% 6/1/37 (j) | 7,300,000 | 6,901,351 | |
2% 6/1/37 (j) | 7,000,000 | 6,617,734 | |
2% 6/1/37 (j) | 28,800,000 | 27,227,249 | |
2% 6/1/52 (j) | 32,800,000 | 29,102,312 | |
2% 6/1/52 (j) | 4,500,000 | 3,992,695 | |
2% 6/1/52 (j) | 2,300,000 | 2,040,711 | |
2% 6/1/52 (j) | 21,900,000 | 19,431,117 | |
2% 6/1/52 (j) | 18,250,000 | 16,192,597 | |
2% 6/1/52 (j) | 104,650,000 | 92,852,345 | |
2% 6/1/52 (j) | 106,750,000 | 94,715,603 | |
2% 6/1/52 (j) | 18,850,000 | 16,724,957 | |
2% 6/1/52 (j) | 65,100,000 | 57,760,991 | |
2% 6/1/52 (j) | 11,500,000 | 10,203,554 | |
2% 7/1/52 (j) | 56,700,000 | 50,232,656 | |
2% 7/1/52 (j) | 12,550,000 | 11,118,516 | |
2% 7/1/52 (j) | 62,575,000 | 55,437,539 | |
2% 7/1/52 (j) | 6,575,000 | 5,825,039 | |
2% 7/1/52 (j) | 51,350,000 | 45,492,891 | |
2% 7/1/52 (j) | 9,050,000 | 8,017,734 | |
2% 7/1/52 (j) | 12,650,000 | 11,207,109 | |
2% 7/1/52 (j) | 76,500,000 | 67,774,219 | |
2% 7/1/52 (j) | 62,400,000 | 55,282,500 | |
2% 7/1/52 (j) | 10,150,000 | 8,992,266 | |
2% 7/1/52 (j) | 91,450,000 | 81,018,984 | |
2% 7/1/52 (j) | 16,100,000 | 14,263,594 | |
2.5% 6/1/37 (j) | 62,750,000 | 60,754,732 | |
2.5% 6/1/37 (j) | 10,500,000 | 10,166,130 | |
2.5% 6/1/37 (j) | 48,650,000 | 47,103,071 | |
2.5% 6/1/37 (j) | 8,100,000 | 7,842,443 | |
2.5% 6/1/52 (j) | 81,900,000 | 75,367,132 | |
2.5% 6/1/52 (j) | 11,050,000 | 10,168,581 | |
2.5% 6/1/52 (j) | 65,075,000 | 59,884,202 | |
2.5% 6/1/52 (j) | 5,850,000 | 5,383,367 | |
2.5% 6/1/52 (j) | 95,250,000 | 87,652,250 | |
2.5% 6/1/52 (j) | 10,000,000 | 9,202,336 | |
2.5% 6/1/52 (j) | 14,000,000 | 12,883,270 | |
2.5% 6/1/52 (j) | 117,000,000 | 107,667,331 | |
2.5% 6/1/52 (j) | 142,950,000 | 131,547,393 | |
2.5% 6/1/52 (j) | 19,300,000 | 17,760,508 | |
2.5% 7/1/52 (j) | 22,400,000 | 20,578,233 | |
2.5% 7/1/52 (j) | 187,000,000 | 171,791,496 | |
2.5% 7/1/52 (j) | 61,050,000 | 56,084,871 | |
2.5% 7/1/52 (j) | 7,200,000 | 6,614,432 | |
2.5% 7/1/52 (j) | 9,200,000 | 8,451,774 | |
2.5% 7/1/52 (j) | 78,000,000 | 71,656,346 | |
3% 6/1/37 (j) | 18,300,000 | 18,058,383 | |
3% 6/1/37 (j) | 4,200,000 | 4,144,547 | |
3% 6/1/52 (j) | 45,100,000 | 43,003,554 | |
3% 6/1/52 (j) | 5,650,000 | 5,387,363 | |
3% 6/1/52 (j) | 22,000,000 | 20,977,343 | |
3% 7/1/52 (j) | 42,700,000 | 40,636,723 | |
3% 7/1/52 (j) | 5,350,000 | 5,091,486 | |
3.5% 6/1/52 (j) | 44,275,000 | 43,406,794 | |
3.5% 6/1/52 (j) | 8,700,000 | 8,529,398 | |
3.5% 6/1/52 (j) | 19,400,000 | 19,019,578 | |
3.5% 6/1/52 (j) | 15,550,000 | 15,245,074 | |
3.5% 6/1/52 (j) | 19,250,000 | 18,872,519 | |
3.5% 6/1/52 (j) | 11,350,000 | 11,127,433 | |
3.5% 6/1/52 (j) | 2,950,000 | 2,892,152 | |
3.5% 6/1/52 (j) | 1,750,000 | 1,715,684 | |
3.5% 6/1/52 (j) | 20,850,000 | 20,441,144 | |
3.5% 7/1/52 (j) | 10,800,000 | 10,565,437 | |
3.5% 7/1/52 (j) | 20,850,000 | 20,397,163 | |
4% 6/1/52 (j) | 64,325,000 | 64,350,145 | |
4% 6/1/52 (j) | 6,750,000 | 6,752,639 | |
4% 6/1/52 (j) | 18,900,000 | 18,907,388 | |
4% 6/1/52 (j) | 3,900,000 | 3,901,525 | |
4% 6/1/52 (j) | 10,800,000 | 10,804,222 | |
4% 6/1/52 (j) | 26,200,000 | 26,210,242 | |
4% 6/1/52 (j) | 5,600,000 | 5,602,189 | |
4% 6/1/52 (j) | 4,300,000 | 4,301,681 | |
4% 6/1/52 (j) | 21,100,000 | 21,108,248 | |
4% 6/1/52 (j) | 108,375,000 | 108,417,364 | |
4% 6/1/52 (j) | 11,350,000 | 11,354,437 | |
4% 7/1/52 (j) | 75,000,000 | 74,833,028 | |
4% 7/1/52 (j) | 13,200,000 | 13,170,613 | |
4.5% 6/1/52 (j) | 41,300,000 | 42,025,988 | |
4.5% 6/1/52 (j) | 21,450,000 | 21,827,057 | |
4.5% 6/1/52 (j) | 24,050,000 | 24,472,761 | |
4.5% 6/1/52 (j) | 16,800,000 | 17,095,317 | |
4.5% 6/1/52 (j) | 40,400,000 | 41,110,167 | |
4.5% 6/1/52 (j) | 74,500,000 | 75,809,591 | |
4.5% 6/1/52 (j) | 7,100,000 | 7,224,807 | |
4.5% 7/1/52 (j) | 9,900,000 | 10,041,928 | |
4.5% 7/1/52 (j) | 78,900,000 | 80,031,126 | |
TOTAL UNIFORM MORTGAGE BACKED SECURITIES | 3,285,435,383 | ||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES | |||
(Cost $10,591,554,399) | 10,250,456,786 | ||
Asset-Backed Securities - 2.0% | |||
AASET Trust: | |||
Series 2018-1A Class A, 3.844% 1/16/38 (b) | $7,422,536 | $5,122,482 | |
Series 2019-1 Class A, 3.844% 5/15/39 (b) | 4,080,986 | 2,507,072 | |
Series 2019-2: | |||
Class A, 3.376% 10/16/39 (b) | 7,720,375 | 5,941,601 | |
Class B, 4.458% 10/16/39 (b) | 1,488,945 | 960,221 | |
Series 2021-1A Class A, 2.95% 11/16/41 (b) | 10,769,192 | 9,109,451 | |
Series 2021-2A Class A, 2.798% 1/15/47 (b) | 20,540,002 | 17,789,669 | |
Affirm, Inc. Series 2021-A Class A, 0.88% 8/15/25 (b) | 4,062,000 | 3,996,968 | |
Aimco Series 2021-BA Class AR, 3 month U.S. LIBOR + 1.100% 2.1443% 1/15/32 (b)(c)(e) | 8,580,000 | 8,392,235 | |
AIMCO CLO Ltd. Series 2021-11A Class AR, 3 month U.S. LIBOR + 1.130% 2.1743% 10/17/34 (b)(c)(e) | 7,980,000 | 7,720,562 | |
Allegro CLO XV, Ltd. / Allegro CLO VX LLC Series 2022-1A Class A, CME TERM SOFR 3 MONTH INDEX + 1.500% 0% 7/20/35 (b)(c)(e)(j) | 12,690,000 | 12,527,086 | |
Allegro CLO, Ltd. Series 2021-1A Class A, 3 month U.S. LIBOR + 1.140% 2.2027% 7/20/34 (b)(c)(e) | 8,250,000 | 7,978,682 | |
Apollo Aviation Securitization Equity Trust Series 2020-1A: | |||
Class A, 3.351% 1/16/40 (b) | 3,134,663 | 2,647,051 | |
Class B, 4.335% 1/16/40 (b) | 501,466 | 228,132 | |
Ares CLO Series 2019-54A Class A, 3 month U.S. LIBOR + 1.320% 2.3643% 10/15/32 (b)(c)(e) | 8,066,000 | 7,937,218 | |
Ares LV CLO Ltd. Series 2021-55A Class A1R, 3 month U.S. LIBOR + 1.130% 2.1743% 7/15/34 (b)(c)(e) | 10,540,000 | 10,280,020 | |
Ares LVIII CLO LLC Series 2022-58A Class AR, U.S. 90-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 1.330% 2.1764% 1/15/35 (b)(c)(e) | 18,170,000 | 17,618,341 | |
Ares XLI CLO Ltd. / Ares XLI CLO LLC Series 2021-41A Class AR2, 3 month U.S. LIBOR + 1.070% 2.1143% 4/15/34 (b)(c)(e) | 24,780,000 | 23,960,971 | |
Ares XXXIV CLO Ltd. Series 2020-2A Class AR2, 3 month U.S. LIBOR + 1.250% 2.2943% 4/17/33 (b)(c)(e) | 20,753,000 | 20,385,091 | |
Babson CLO Ltd. Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.150% 2.1943% 10/15/36 (b)(c)(e) | 7,970,000 | 7,743,899 | |
Barings CLO Ltd. Series 2021-4A Class A, 3 month U.S. LIBOR + 1.220% 2.2827% 1/20/32 (b)(c)(e) | 9,220,000 | 9,078,464 | |
Beechwood Park CLO Ltd. Series 2022-1A Class A1R, CME TERM SOFR 3 MONTH INDEX + 1.300% 2.1464% 1/17/35 (b)(c)(e) | 15,590,000 | 15,178,826 | |
BETHP Series 2021-1A Class A, 3 month U.S. LIBOR + 1.130% 2.1743% 1/15/35 (b)(c)(e) | 11,380,000 | 11,031,590 | |
Blackbird Capital Aircraft: | |||
Series 2016-1A: | |||
Class A, 4.213% 12/16/41 (b) | 5,505,025 | 4,927,218 | |
Class AA, 2.487% 12/16/41 (b)(c) | 657,210 | 619,092 | |
Series 2021-1A Class A, 2.443% 7/15/46 (b) | 25,251,664 | 21,888,872 | |
Brazos Higher Education Authority, Inc. Series 2011-2 Class A2, 3 month U.S. LIBOR + 0.850% 2.034% 7/25/29 (c)(e) | 71,099 | 71,101 | |
Bristol Park CLO, Ltd. Series 2020-1A Class AR, 3 month U.S. LIBOR + 0.990% 2.0343% 4/15/29 (b)(c)(e) | 10,557,934 | 10,415,497 | |
Castlelake Aircraft Securitization Trust: | |||
Series 2019-1A: | |||
Class A, 3.967% 4/15/39 (b) | 6,655,712 | 5,759,482 | |
Class B, 5.095% 4/15/39 (b) | 3,098,041 | 2,501,753 | |
Series 2021-1R Class A, 2.741% 8/15/41 (b) | 28,496,858 | 25,368,473 | |
Castlelake Aircraft Structured Trust: | |||
Series 2018-1 Class A, 4.125% 6/15/43 (b) | 3,243,702 | 2,920,824 | |
Series 2021-1A: | |||
Class A, 3.474% 1/15/46 (b) | 3,372,044 | 3,029,396 | |
Class B, 6.656% 1/15/46 (b) | 2,756,103 | 2,294,225 | |
Cedar Funding Ltd.: | |||
Series 2021-10A Class AR, 3 month U.S. LIBOR + 1.100% 2.1627% 10/20/32 (b)(c)(e) | 7,910,000 | 7,711,071 | |
Series 2022-15A Class A, CME TERM SOFR 3 MONTH INDEX + 1.320% 2.0327% 4/20/35 (b)(c)(e) | 14,330,000 | 13,873,200 | |
Cedar Funding XII CLO Ltd. / Cedar Funding XII CLO LLC Series 2021-12A Class A1R, 3 month U.S. LIBOR + 1.130% 2.314% 10/25/34 (b)(c)(e) | 6,880,000 | 6,655,932 | |
Cent CLO Ltd. / Cent CLO Series 2021-29A Class AR, 3 month U.S. LIBOR + 1.170% 2.2327% 10/20/34 (b)(c)(e) | 11,410,000 | 11,008,505 | |
Citi Mortgage Loan Trust Series 2007-1 Class 1A, 1 month U.S. LIBOR + 1.350% 2.3557% 10/25/37 (b)(c)(e) | 74,026 | 73,882 | |
Columbia Cent CLO 31 Ltd. Series 2021-31A Class A1, 3 month U.S. LIBOR + 1.200% 2.2627% 4/20/34 (b)(c)(e) | 9,300,000 | 9,015,290 | |
Columbia Cent CLO Ltd. / Columbia Cent CLO Corp. Series 2021-30A Class A1, 3 month U.S. LIBOR + 1.310% 2.3727% 1/20/34 (b)(c)(e) | 12,220,000 | 11,936,899 | |
DB Master Finance LLC: | |||
Series 2017-1A Class A2II, 4.03% 11/20/47 (b) | 5,267,208 | 5,158,687 | |
Series 2019-1A: | |||
Class A23, 4.352% 5/20/49 (b) | 977,363 | 962,579 | |
Class A2II, 4.021% 5/20/49 (b) | 735,210 | 719,904 | |
Series 2021-1A Class A23, 2.791% 11/20/51 (b) | 6,965,000 | 5,863,437 | |
Dominos Pizza Master Issuer LLC: | |||
Series 2019-1A Class A2, 3.668% 10/25/49 (b) | 11,803,313 | 10,913,980 | |
Series 2021-1A: | |||
Class A2I, 2.662% 4/25/51 (b) | 7,098,300 | 6,339,080 | |
Class A2II, 3.151% 4/25/51 (b) | 6,017,220 | 5,321,262 | |
Dryden 98 CLO Ltd. Series 2022-98A Class A, CME TERM SOFR 3 MONTH INDEX + 1.300% 2.204% 4/20/35 (b)(c)(e) | 9,710,000 | 9,413,011 | |
Dryden CLO, Ltd.: | |||
Series 2021-76A Class A1R, 3 month U.S. LIBOR + 1.150% 2.2127% 10/20/34 (b)(c)(e) | 7,990,000 | 7,782,092 | |
Series 2021-83A Class A, 3 month U.S. LIBOR + 1.220% 2.2643% 1/18/32 (b)(c)(e) | 7,360,000 | 7,246,943 | |
Dryden Senior Loan Fund: | |||
Series 2018-70A Class A1, 3 month U.S. LIBOR + 1.170% 2.2327% 1/16/32 (b)(c)(e) | 2,909,000 | 2,877,222 | |
Series 2020-78A Class A, 3 month U.S. LIBOR + 1.180% 2.2243% 4/17/33 (b)(c)(e) | 7,000,000 | 6,840,596 | |
Series 2021-85A Class AR, 3 month U.S. LIBOR + 1.150% 2.1943% 10/15/35 (b)(c)(e) | 9,590,000 | 9,295,558 | |
Series 2021-90A Class A1A, 3 month U.S. LIBOR + 1.130% 2.608% 2/20/35 (b)(c)(e) | 6,930,000 | 6,711,476 | |
Eaton Vance CLO, Ltd.: | |||
Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.100% 2.1443% 4/15/31 (b)(c)(e) | 4,560,000 | 4,466,205 | |
Series 2021-2A Class AR, 3 month U.S. LIBOR + 1.150% 2.1943% 1/15/35 (b)(c)(e) | 11,970,000 | 11,625,683 | |
Eaton Vance CLO, Ltd. / Eaton Vance CLO LLC Series 2021-1A Class A13R, 3 month U.S. LIBOR + 1.250% 2.2943% 1/15/34 (b)(c)(e) | 2,000,000 | 1,955,474 | |
Enterprise Fleet Financing LLC Series 2021-1 Class A2, 0.44% 12/21/26 (b) | 8,609,767 | 8,381,100 | |
Flatiron CLO Ltd. Series 2021-1A: | |||
Class A1, 3 month U.S. LIBOR + 1.110% 2.1543% 7/19/34 (b)(c)(e) | 7,180,000 | 6,952,645 | |
Class AR, 3 month U.S. LIBOR + 1.080% 2.4913% 11/16/34 (b)(c)(e) | 11,500,000 | 11,208,280 | |
Flatiron CLO Ltd. / Flatiron CLO LLC Series 2020-1A Class A, 3 month U.S. LIBOR + 1.300% 2.778% 11/20/33 (b)(c)(e) | 12,800,000 | 12,510,605 | |
Ford Credit Auto Owner Trust Series 2020-2 Class A, 1.06% 4/15/33 (b) | 14,930,000 | 13,741,830 | |
Ford Credit Floorplan Master Owner Trust: | |||
Series 2019-2 Class A, 3.06% 4/15/26 | 8,253,000 | 8,203,074 | |
Series 2019-3 Class A1, 2.23% 9/15/24 | 4,320,000 | 4,323,631 | |
Series 2019-4 Class A, 2.44% 9/15/26 | 1,300,000 | 1,265,216 | |
Horizon Aircraft Finance I Ltd. Series 2018-1 Class A, 4.458% 12/15/38 (b) | 3,006,895 | 2,654,508 | |
Horizon Aircraft Finance Ltd. Series 2019-1 Class A, 3.721% 7/15/39 (b) | 4,253,376 | 3,785,493 | |
Invesco CLO Ltd. Series 2021-3A Class A, 3 month U.S. LIBOR + 1.130% 2.2663% 10/22/34 (b)(c)(e) | 9,130,000 | 8,812,678 | |
KKR CLO Ltd. Series 2022-41A Class A1, CME TERM SOFR 3 MONTH INDEX + 1.330% 2.0223% 4/15/35 (b)(c)(e) | 19,170,000 | 18,526,292 | |
Lanark Master Issuer PLC Series 2020-1A Class 1A, 2.277% 12/22/69 (b)(c) | 7,887,000 | 7,844,426 | |
Lucali CLO Ltd. Series 2021-1A Class A, 3 month U.S. LIBOR + 1.210% 2.2543% 1/15/33 (b)(c)(e) | 4,500,000 | 4,418,177 | |
Madison Park Funding Series 2020-19A Class A1R2, 3 month U.S. LIBOR + 0.920% 2.0563% 1/22/28 (b)(c)(e) | 2,557,363 | 2,531,436 | |
Madison Park Funding L Ltd. / Madison Park Funding L LLC Series 2021-50A Class A, 3 month U.S. LIBOR + 1.140% 2.1843% 4/19/34 (b)(c)(e) | 9,810,000 | 9,584,664 | |
Madison Park Funding LII Ltd. / Madison Park Funding LII LLC Series 2021-52A Class A, 3 month U.S. LIBOR + 1.100% 2.2363% 1/22/35 (b)(c)(e) | 11,690,000 | 11,283,176 | |
Madison Park Funding XLV Ltd./Madison Park Funding XLV LLC Series 2021-45A Class AR, 3 month U.S. LIBOR + 1.120% 2.1643% 7/15/34 (b)(c)(e) | 7,360,000 | 7,139,818 | |
Magnetite CLO Ltd. Series 2021-27A Class AR, 3 month U.S. LIBOR + 1.140% 2.2027% 10/20/34 (b)(c)(e) | 3,092,000 | 2,996,027 | |
Magnetite XVI, Ltd. / Magnetite XVI, LLC Series 2015-16A Class AR, 3 month U.S. LIBOR + 0.800% 1.8443% 1/18/28 (b)(c)(e) | 7,943,660 | 7,858,417 | |
Magnetite XXIII, Ltd. Series 2021-23A Class AR, 3 month U.S. LIBOR + 1.130% 2.314% 1/25/35 (b)(c)(e) | 9,420,000 | 9,125,116 | |
Magnetite XXIX, Ltd. / Magnetite XXIX LLC Series 2021-29A Class A, 3 month U.S. LIBOR + 0.990% 2.0343% 1/15/34 (b)(c)(e) | 8,400,000 | 8,225,784 | |
MAPS Trust Series 2021-1A Class A, 2.521% 6/15/46 (b) | 34,772,595 | 30,109,753 | |
Marlette Funding Trust: | |||
Series 2021-3A Class A, 0.65% 12/15/31 (b) | 10,964,281 | 10,784,970 | |
Series 2022-1A Class A, 1.36% 4/15/32 (b) | 14,595,108 | 14,412,169 | |
Metlife Securitization Trust Series 2019-1A Class A1A, 3.75% 4/25/58 (b) | 1,390,097 | 1,386,037 | |
Milos CLO, Ltd. Series 2020-1A Class AR, 3 month U.S. LIBOR + 1.070% 2.1327% 10/20/30 (b)(c)(e) | 10,859,000 | 10,700,383 | |
Peace Park CLO, Ltd. Series 2021-1A Class A, 3 month U.S. LIBOR + 1.130% 2.1927% 10/20/34 (b)(c)(e) | 5,068,000 | 4,925,675 | |
Planet Fitness Master Issuer LLC: | |||
Series 2019-1A Class A2, 3.858% 12/5/49 (b) | 18,798,303 | 16,911,273 | |
Series 2022-1A: | |||
Class A2I, 3.251% 12/5/51 (b) | 9,720,000 | 8,909,439 | |
Class A2II, 4.008% 12/5/51 (b) | 9,720,000 | 8,380,876 | |
Preston Ridge Partners Mortgage Trust Series 2021-RPL2 Class A1, 1.455% 10/25/51(b)(c) | 6,300,497 | 5,897,637 | |
Project Silver Series 2019-1 Class A, 3.967% 7/15/44 (b) | 6,437,122 | 5,566,913 | |
Rockland Park CLO Ltd. Series 2021-1A Class A, 3 month U.S. LIBOR + 1.120% 2.1827% 4/20/34 (b)(c)(e) | 12,190,000 | 11,924,709 | |
RR 7 Ltd. Series 2022-7A Class A1AB, 3 month U.S. LIBOR + 1.340% 1.5203% 1/15/37 (b)(c)(e) | 15,740,000 | 15,281,327 | |
Sapphire Aviation Finance Series 2020-1A: | |||
Class A, 3.228% 3/15/40 (b) | 18,666,599 | 16,244,468 | |
Class B, 4.335% 3/15/40 (b) | 853,777 | 574,343 | |
SBA Tower Trust: | |||
Series 2019, 2.836% 1/15/50 (b) | 8,715,000 | 8,502,616 | |
1.884% 7/15/50 (b) | 4,275,000 | 3,989,059 | |
2.328% 7/15/52 (b) | 3,269,000 | 2,945,329 | |
SLM Student Loan Trust Series 2003-10A Class A3, 3 month U.S. LIBOR + 0.470% 1.296% 12/15/27 (b)(c)(e) | 73,801 | 73,787 | |
Store Master Funding Series 2021-1A Class A1, 2.12% 6/20/51 (b) | 10,949,583 | 9,529,920 | |
SYMP Series 2022-32A Class A1, CME TERM SOFR 3 MONTH INDEX + 1.320% 1.6326% 4/23/35 (b)(c)(e) | 15,650,000 | 15,194,214 | |
Symphony CLO XXI, Ltd. Series 2021-21A Class AR, 3 month U.S. LIBOR + 1.060% 2.1043% 7/15/32 (b)(c)(e) | 1,769,000 | 1,736,871 | |
Symphony CLO XXVI Ltd. / Symphony CLO XXVI LLC Series 2021-26A Class AR, 3 month U.S. LIBOR + 1.080% 2.1427% 4/20/33 (b)(c)(e) | 14,285,000 | 13,957,816 | |
Terwin Mortgage Trust Series 2003-4HE Class A1, 1 month U.S. LIBOR + 0.860% 1.8657% 9/25/34 (c)(e) | 6,201 | 6,066 | |
Thunderbolt Aircraft Lease Ltd. Series 2018-A Class A, 4.147% 9/15/38 (b)(c) | 8,775,523 | 7,665,858 | |
Thunderbolt III Aircraft Lease Ltd. Series 2019-1 Class A, 3.671% 11/15/39 (b) | 18,801,748 | 16,139,045 | |
Towd Point Mortgage Trust Series 2019-1 Class A1, 3.6585% 3/25/58 (b)(c) | 726,152 | 716,769 | |
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 3 month U.S. LIBOR + 0.560% 1.529% 4/6/42 (b)(c)(e) | 778,000 | 570,652 | |
Upstart Securitization Trust: | |||
Series 2021-1 Class A, 0.87% 3/20/31 (b) | 459,915 | 455,763 | |
Series 2021-2 Class A, 0.91% 6/20/31 (b) | 9,071,843 | 8,888,460 | |
Series 2021-3 Class A, 0.83% 7/20/31 (b) | 16,486,198 | 16,092,221 | |
Series 2021-4 Class A, 0.84% 9/20/31 (b) | 22,970,798 | 22,244,871 | |
Series 2021-5 Class A, 1.31% 11/20/31 (b) | 17,013,110 | 16,491,457 | |
3.12% 3/20/32 (b) | 18,965,873 | 18,698,251 | |
Voya CLO Ltd./Voya CLO LLC: | |||
Series 2021-2A Class A1R, 3 month U.S. LIBOR + 1.160% 2.2043% 7/19/34 (b)(c)(e) | 7,780,000 | 7,575,985 | |
Series 2021-3A Class AR, 3 month U.S. LIBOR + 1.150% 2.2127% 10/20/34 (b)(c)(e) | 13,570,000 | 13,121,973 | |
Voya CLO, Ltd. Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.150% 2.1943% 7/16/34 (b)(c)(e) | 7,590,000 | 7,361,647 | |
TOTAL ASSET-BACKED SECURITIES | |||
(Cost $1,032,441,908) | 977,040,528 | ||
Collateralized Mortgage Obligations - 0.8% | |||
Private Sponsor - 0.6% | |||
Ajax Mortgage Loan Trust sequential payer: | |||
Series 2021-C Class A, 2.115% 1/25/61 (b) | 3,478,278 | 3,409,546 | |
Series 2021-E Class A1, 1.74% 12/25/60 (b) | 15,859,532 | 14,519,695 | |
Binom Securitization Trust 202 Series 2022-RPL1 Class A1, 3% 2/25/61 (b) | 16,345,442 | 15,847,783 | |
Brass PLC Series 2021-10A Class A1, 0.669% 4/16/69 (b)(c) | 6,064,976 | 5,849,026 | |
BRAVO Residential Funding Trust sequential payer Series 2022-RPL1 Class A1, 2.75% 9/25/61 (b) | 14,909,574 | 14,354,148 | |
Cascade Funding Mortgage Trust: | |||
sequential payer Series 2022-EBO2 Class A, 3.169% 7/25/54 (b) | 16,512,373 | 16,464,258 | |
Series 2021-EBO1 Class A, 0.9849% 11/25/50 (b)(c) | 10,940,883 | 10,741,209 | |
Series 2021-HB5 Class A, 0.8006% 2/25/31 (b) | 6,382,213 | 6,296,791 | |
Series 2021-HB6 Class A, 0.8983% 6/25/36 (b) | 8,122,090 | 8,013,800 | |
Series 2021-HB7 Class A, 1.1512% 10/27/31 (b) | 11,033,006 | 10,848,025 | |
CFMT LLC Series 2020-HB4 Class A, 0.9461% 12/26/30 (b) | 4,106,488 | 4,066,326 | |
CIM Trust sequential payer Series 2022-R2 Class A1, 0% 12/25/61 (b)(c) | 11,700,000 | 11,432,257 | |
Citigroup Mortgage Loan Trust sequential payer Series 2014-8 Class 2A1, 3.45% 6/27/37 (b)(c) | 26,173 | 25,921 | |
COLT Trust sequential payer Series 2021-RPL1 Class A1, 1.6654% 9/25/61 (b) | 9,473,622 | 9,061,527 | |
CSMC: | |||
floater Series 2015-1R Class 6A1, 1 month U.S. LIBOR + 0.280% 1.2279% 5/27/37 (b)(c)(e) | 45,314 | 44,709 | |
Series 2014-3R: | |||
Class 2A1, 1 month U.S. LIBOR + 0.700% 0% 5/27/37 (b)(c)(e)(k) | 556,406 | 56 | |
Class AA1, 1 month U.S. LIBOR + 0.280% 1.2279% 5/27/37 (b)(c)(e) | 632,019 | 603,376 | |
CSMC Trust sequential payer: | |||
Series 2020-RPL3 Class A1, 2.691% 3/25/60 (b)(c) | 1,912,062 | 1,867,020 | |
Series 2020-RPL4 Class A1, 2% 1/25/60 (b) | 3,627,047 | 3,506,544 | |
Finance of America HECM Buyout sequential payer Series 2022-HB1 Class A, 2.6948% 2/25/32 (b)(c) | 34,732,695 | 34,086,994 | |
New Residential Mortgage Loan Trust: | |||
Series 2019-5A Class A1B, 3.5% 8/25/59 (b) | 2,899,176 | 2,889,149 | |
Series 2020-1A Class A1B, 3.5% 10/25/59 (b) | 4,399,294 | 4,323,498 | |
New York Mortgage Trust sequential payer Series 2021-SP1 Class A1, 1.6696% 8/25/61 (b) | 10,593,857 | 9,786,729 | |
NYMT Loan Trust sequential payer Series 2021-CP1 Class A1, 2.0424% 7/25/61 (b) | 21,203,671 | 20,431,656 | |
Oceanview Trust sequential payer Series 2021-1 Class A, 1.2187% 12/29/51 (b)(c) | 21,277,308 | 21,119,467 | |
Preston Ridge Partners Mortgage Trust: | |||
Series 2021-2 Class A1, 2.115% 3/25/26 (b) | 11,557,187 | 11,131,911 | |
Series 2021-RPL1 Class A1, 1.319% 7/25/51 (b) | 4,617,604 | 4,375,905 | |
RMF Buyout Issuance Trust: | |||
sequential payer: | |||
Series 2021-HB1 Class A, 1.2586% 11/25/31 (b) | 18,770,780 | 18,090,601 | |
Series 2022-HB1 Class A, 4.272% 4/25/32 (b) | 10,650,555 | 10,590,017 | |
Series 2020-HB1 Class A1, 1.7188% 10/25/50 (b) | 5,498,779 | 5,254,530 | |
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 6 month U.S. LIBOR + 0.880% 1.1915% 7/20/34 (c)(e) | 1,458 | 1,385 | |
Thornburg Mortgage Securities Trust floater Series 2003-4 Class A1, 1 month U.S. LIBOR + 0.640% 1.6457% 9/25/43 (c)(e) | 70,440 | 68,355 | |
Towd Point Mortgage Trust sequential payer Series 2021-1 Class A1, 2.25% 11/25/61 (b)(c) | 40,716,433 | 38,836,474 | |
Wells Fargo Mortgage Backed Securities Trust Series 2003-I Class A1, 2.4678% 9/25/33 (c) | 6,874 | 6,822 | |
TOTAL PRIVATE SPONSOR | 317,945,510 | ||
U.S. Government Agency - 0.2% | |||
Fannie Mae: | |||
floater: | |||
Series 2002-18 Class FD, 1 month U.S. LIBOR + 0.800% 1.8057% 2/25/32 (c)(e) | 2,424 | 2,460 | |
Series 2002-39 Class FD, 1 month U.S. LIBOR + 1.000% 1.9356% 3/18/32 (c)(e) | 4,579 | 4,666 | |
Series 2002-60 Class FV, 1 month U.S. LIBOR + 1.000% 2.0057% 4/25/32 (c)(e) | 5,194 | 5,304 | |
Series 2002-63 Class FN, 1 month U.S. LIBOR + 1.000% 2.0057% 10/25/32 (c)(e) | 6,753 | 6,886 | |
Series 2002-7 Class FC, 1 month U.S. LIBOR + 0.750% 1.7557% 1/25/32 (c)(e) | 2,402 | 2,433 | |
Series 2003-118 Class S, 8.100% - 1 month U.S. LIBOR 7.0943% 12/25/33 (c)(l)(m) | 96,948 | 18,455 | |
Series 2006-104 Class GI, 6.680% - 1 month U.S. LIBOR 5.6743% 11/25/36 (c)(l)(m) | 62,412 | 8,515 | |
Series 2012-154 Class F, 1 month U.S. LIBOR + 0.300% 1.3057% 1/25/43 (c)(e) | 575,246 | 573,643 | |
Series 2017-36 Class FB, 1 month U.S. LIBOR + 0.350% 1.3557% 5/25/47 (c)(e) | 1,135,723 | 1,135,183 | |
Series 2018-32 Class FB, 1 month U.S. LIBOR + 0.300% 1.3057% 5/25/48 (c)(e) | 656,365 | 654,415 | |
Series 2018-38 Class FG, 1 month U.S. LIBOR + 0.300% 1.3057% 6/25/48 (c)(e) | 1,541,287 | 1,536,133 | |
Series 2019-23 Class FC, 1 month U.S. LIBOR + 0.450% 1.4557% 5/25/49 (c)(e) | 9,966,016 | 9,993,433 | |
planned amortization class: | |||
Series 1992-168 Class KB, 7% 10/25/22 | 118 | 119 | |
Series 1993-207 Class H, 6.5% 11/25/23 | 8,978 | 9,133 | |
Series 1996-28 Class PK, 6.5% 7/25/25 | 3,599 | 3,670 | |
Series 1999-17 Class PG, 6% 4/25/29 | 36,604 | 38,462 | |
Series 1999-32 Class PL, 6% 7/25/29 | 40,392 | 42,562 | |
Series 1999-33 Class PK, 6% 7/25/29 | 30,870 | 32,519 | |
Series 2001-52 Class YZ, 6.5% 10/25/31 | 4,592 | 4,814 | |
Series 2003-28 Class KG, 5.5% 4/25/23 | 2,882 | 2,900 | |
Series 2005-102 Class CO 11/25/35 (n) | 16,363 | 14,349 | |
Series 2005-39 Class TE, 5% 5/25/35 | 16,233 | 17,131 | |
Series 2005-73 Class SA, 17.500% - 1 month U.S. LIBOR 14.9352% 8/25/35 (c)(m) | 4,573 | 5,212 | |
Series 2005-81 Class PC, 5.5% 9/25/35 | 45,476 | 48,522 | |
Series 2006-12 Class BO 10/25/35 (n) | 74,697 | 65,929 | |
Series 2006-15 Class OP 3/25/36 (n) | 87,252 | 74,054 | |
Series 2006-37 Class OW 5/25/36 (n) | 8,504 | 7,006 | |
Series 2006-45 Class OP 6/25/36 (n) | 26,923 | 22,332 | |
Series 2006-62 Class KP 4/25/36 (n) | 44,700 | 38,008 | |
Series 2012-149: | |||
Class DA, 1.75% 1/25/43 | 124,037 | 117,590 | |
Class GA, 1.75% 6/25/42 | 134,549 | 127,293 | |
sequential payer: | |||
Series 1997-41 Class J, 7.5% 6/18/27 | 5,857 | 6,208 | |
Series 1999-25 Class Z, 6% 6/25/29 | 26,561 | 27,719 | |
Series 2001-20 Class Z, 6% 5/25/31 | 41,620 | 43,999 | |
Series 2001-31 Class ZC, 6.5% 7/25/31 | 20,069 | 21,169 | |
Series 2002-16 Class ZD, 6.5% 4/25/32 | 13,032 | 13,645 | |
Series 2002-74 Class SV, 7.550% - 1 month U.S. LIBOR 6.5443% 11/25/32 (c)(l)(m) | 37,116 | 2,738 | |
Series 2012-67 Class AI, 4.5% 7/25/27 (l) | 52,450 | 2,319 | |
Series 06-116 Class SG, 6.640% - 1 month U.S. LIBOR 5.6343% 12/25/36 (c)(l)(m) | 47,806 | 8,196 | |
Series 07-40 Class SE, 6.440% - 1 month U.S. LIBOR 5.4343% 5/25/37 (c)(l)(m) | 24,270 | 4,025 | |
Series 1993-165 Class SH, 19.800% - 1 month U.S. LIBOR 16.9551% 9/25/23 (c)(m) | 574 | 598 | |
Series 2003-21 Class SK, 8.100% - 1 month U.S. LIBOR 7.0943% 3/25/33 (c)(l)(m) | 7,037 | 1,185 | |
Series 2005-72 Class ZC, 5.5% 8/25/35 | 347,488 | 363,509 | |
Series 2005-79 Class ZC, 5.9% 9/25/35 | 209,056 | 222,750 | |
Series 2007-57 Class SA, 40.600% - 1 month U.S. LIBOR 34.5857% 6/25/37 (c)(m) | 29,011 | 46,596 | |
Series 2007-66: | |||
Class SA, 39.600% - 1 month U.S. LIBOR 33.5657% 7/25/37 (c)(m) | 29,758 | 48,202 | |
Class SB, 39.600% - 1 month U.S. LIBOR 33.5657% 7/25/37 (c)(m) | 9,600 | 13,518 | |
Series 2008-12 Class SG, 6.350% - 1 month U.S. LIBOR 5.3443% 3/25/38 (c)(l)(m) | 159,716 | 22,852 | |
Series 2010-135: | |||
Class LS, 6.050% - 1 month U.S. LIBOR 5.0443% 12/25/40 (c)(l)(m) | 163,426 | 19,676 | |
Class ZA, 4.5% 12/25/40 | 60,465 | 65,229 | |
Series 2010-139 Class NI, 4.5% 2/25/40 (l) | 60,895 | 2,201 | |
Series 2010-150 Class ZC, 4.75% 1/25/41 | 661,791 | 699,540 | |
Series 2010-95 Class ZC, 5% 9/25/40 | 1,534,367 | 1,624,124 | |
Series 2011-39 Class ZA, 6% 11/25/32 | 106,873 | 114,326 | |
Series 2011-4 Class PZ, 5% 2/25/41 | 207,338 | 214,540 | |
Series 2011-67 Class AI, 4% 7/25/26 (l) | 16,602 | 588 | |
Series 2011-83 Class DI, 6% 9/25/26 (l) | 1,184 | 10 | |
Series 2012-100 Class WI, 3% 9/25/27 (l) | 372,685 | 22,022 | |
Series 2012-14 Class JS, 6.650% - 1 month U.S. LIBOR 5.6443% 12/25/30 (c)(l)(m) | 61,591 | 1,636 | |
Series 2012-9 Class SH, 6.550% - 1 month U.S. LIBOR 5.5443% 6/25/41 (c)(l)(m) | 48,671 | 1,271 | |
Series 2013-133 Class IB, 3% 4/25/32 (l) | 143,959 | 5,419 | |
Series 2013-134 Class SA, 6.050% - 1 month U.S. LIBOR 5.0443% 1/25/44 (c)(l)(m) | 96,382 | 16,003 | |
Series 2013-44 Class DJ, 1.85% 5/25/33 | 8,339,715 | 7,921,244 | |
Series 2013-51 Class GI, 3% 10/25/32 (l) | 104,629 | 7,201 | |
Series 2013-N1 Class A, 6.720% - 1 month U.S. LIBOR 5.7143% 6/25/35 (c)(l)(m) | 137,489 | 16,768 | |
Series 2015-42 Class IL, 6% 6/25/45 (l) | 684,287 | 128,788 | |
Series 2015-70 Class JC, 3% 10/25/45 | 756,447 | 747,143 | |
Series 2017-30 Class AI, 5.5% 5/25/47 (l) | 345,506 | 66,509 | |
Fannie Mae Stripped Mortgage-Backed Securities: | |||
Series 339 Class 5, 5.5% 7/25/33 (l) | 22,879 | 3,990 | |
Series 343 Class 16, 5.5% 5/25/34 (l) | 20,391 | 3,301 | |
Series 348 Class 14, 6.5% 8/25/34 (c)(l) | 18,163 | 3,792 | |
Series 351: | |||
Class 12, 5.5% 4/25/34 (c)(l) | 11,344 | 2,044 | |
Class 13, 6% 3/25/34 (l) | 16,682 | 2,966 | |
Series 359 Class 19, 6% 7/25/35 (c)(l) | 9,758 | 1,929 | |
Series 384 Class 6, 5% 7/25/37 (l) | 94,861 | 16,887 | |
Freddie Mac: | |||
floater: | |||
Series 2412 Class FK, 1 month U.S. LIBOR + 0.800% 1.6747% 1/15/32 (c)(e) | 1,798 | 1,824 | |
Series 2423 Class FA, 1 month U.S. LIBOR + 0.900% 1.7747% 3/15/32 (c)(e) | 2,813 | 2,865 | |
Series 2424 Class FM, 1 month U.S. LIBOR + 1.000% 1.8747% 3/15/32 (c)(e) | 2,680 | 2,732 | |
Series 2432: | |||
Class FE, 1 month U.S. LIBOR + 0.900% 1.7747% 6/15/31 (c)(e) | 4,865 | 4,943 | |
Class FG, 1 month U.S. LIBOR + 0.900% 1.7747% 3/15/32 (c)(e) | 1,570 | 1,597 | |
Series 4709 Class FE, 1 month U.S. LIBOR + 0.350% 1.2247% 8/15/47 (c)(e) | 626,131 | 626,127 | |
floater target amortization class Series 3366 Class FD, 1 month U.S. LIBOR + 0.250% 1.1247% 5/15/37 (c)(e) | 110,676 | 110,260 | |
planned amortization class: | |||
Series 2095 Class PE, 6% 11/15/28 | 46,789 | 49,365 | |
Series 2101 Class PD, 6% 11/15/28 | 2,774 | 2,928 | |
Series 2104 Class PG, 6% 12/15/28 | 3,335 | 3,519 | |
Series 2121 Class MG, 6% 2/15/29 | 18,250 | 19,237 | |
Series 2131 Class BG, 6% 3/15/29 | 101,493 | 107,143 | |
Series 2137 Class PG, 6% 3/15/29 | 15,540 | 16,407 | |
Series 2154 Class PT, 6% 5/15/29 | 35,414 | 37,392 | |
Series 2162 Class PH, 6% 6/15/29 | 6,653 | 7,002 | |
Series 2520 Class BE, 6% 11/15/32 | 51,056 | 54,820 | |
Series 2693 Class MD, 5.5% 10/15/33 | 207,338 | 212,722 | |
Series 2802 Class OB, 6% 5/15/34 | 55,530 | 58,749 | |
Series 3002 Class NE, 5% 7/15/35 | 118,619 | 124,094 | |
Series 3110 Class OP 9/15/35 (n) | 34,901 | 32,387 | |
Series 3119 Class PO 2/15/36 (n) | 103,461 | 86,947 | |
Series 3121 Class KO 3/15/36 (n) | 15,983 | 13,663 | |
Series 3123 Class LO 3/15/36 (n) | 58,441 | 49,385 | |
Series 3145 Class GO 4/15/36 (n) | 61,583 | 52,284 | |
Series 3189 Class PD, 6% 7/15/36 | 99,921 | 108,108 | |
Series 3225 Class EO 10/15/36 (n) | 32,182 | 26,775 | |
Series 3258 Class PM, 5.5% 12/15/36 | 39,851 | 42,502 | |
Series 3415 Class PC, 5% 12/15/37 | 44,506 | 46,193 | |
Series 3806 Class UP, 4.5% 2/15/41 | 210,944 | 214,818 | |
Series 3832 Class PE, 5% 3/15/41 | 437,217 | 456,603 | |
Series 4135 Class AB, 1.75% 6/15/42 | 101,238 | 96,368 | |
Series 4765 Class PE, 3% 12/15/41 | 29,233 | 29,201 | |
sequential payer: | |||
Series 2114 Class ZM, 6% 1/15/29 | 1,545 | 1,629 | |
Series 2135 Class JE, 6% 3/15/29 | 12,607 | 13,308 | |
Series 2274 Class ZM, 6.5% 1/15/31 | 12,932 | 13,621 | |
Series 2281 Class ZB, 6% 3/15/30 | 21,896 | 23,048 | |
Series 2303 Class ZV, 6% 4/15/31 | 9,991 | 10,573 | |
Series 2357 Class ZB, 6.5% 9/15/31 | 83,646 | 89,611 | |
Series 2502 Class ZC, 6% 9/15/32 | 24,987 | 26,813 | |
Series 2519 Class ZD, 5.5% 11/15/32 | 27,815 | 29,571 | |
Series 2546 Class MJ, 5.5% 3/15/23 | 1,974 | 1,988 | |
Series 2601 Class TB, 5.5% 4/15/23 | 904 | 910 | |
Series 2998 Class LY, 5.5% 7/15/25 | 11,819 | 12,150 | |
Series 3871 Class KB, 5.5% 6/15/41 | 568,283 | 614,244 | |
Series 06-3115 Class SM, 6.600% - 1 month U.S. LIBOR 5.7253% 2/15/36 (c)(l)(m) | 31,427 | 4,130 | |
Series 1658 Class GZ, 7% 1/15/24 | 2,332 | 2,391 | |
Series 2013-4281 Class AI, 4% 12/15/28 (l) | 142,576 | 4,279 | |
Series 2017-4683 Class LM, 3% 5/15/47 | 970,647 | 956,643 | |
Series 2380 Class SY, 8.200% - 1 month U.S. LIBOR 7.3253% 11/15/31 (c)(l)(m) | 16,568 | 1,213 | |
Series 2587 Class IM, 6.5% 3/15/33 (l) | 3,305 | 634 | |
Series 2933 Class ZM, 5.75% 2/15/35 | 473,679 | 512,018 | |
Series 2935 Class ZK, 5.5% 2/15/35 | 400,515 | 429,401 | |
Series 2947 Class XZ, 6% 3/15/35 | 196,426 | 211,812 | |
Series 2996 Class ZD, 5.5% 6/15/35 | 319,803 | 342,105 | |
Series 3237 Class C, 5.5% 11/15/36 | 461,700 | 486,133 | |
Series 3244 Class SG, 6.660% - 1 month U.S. LIBOR 5.7853% 11/15/36 (c)(l)(m) | 144,646 | 22,333 | |
Series 3287 Class SD, 6.750% - 1 month U.S. LIBOR 5.8753% 3/15/37 (c)(l)(m) | 213,754 | 37,459 | |
Series 3297 Class BI, 6.760% - 1 month U.S. LIBOR 5.8853% 4/15/37 (c)(l)(m) | 306,810 | 48,700 | |
Series 3336 Class LI, 6.580% - 1 month U.S. LIBOR 5.7053% 6/15/37 (c)(l)(m) | 102,711 | 14,430 | |
Series 3949 Class MK, 4.5% 10/15/34 | 82,683 | 85,199 | |
Series 4055 Class BI, 3.5% 5/15/31 (l) | 157,358 | 6,056 | |
Series 4149 Class IO, 3% 1/15/33 (l) | 54,828 | 4,890 | |
Series 4314 Class AI, 5% 3/15/34 (l) | 51,581 | 2,301 | |
Series 4427 Class LI, 3.5% 2/15/34 (l) | 395,012 | 31,445 | |
Series 4471 Class PA 4% 12/15/40 | 436,681 | 441,497 | |
target amortization class Series 2156 Class TC, 6.25% 5/15/29 | 15,157 | 15,747 | |
Freddie Mac Manufactured Housing participation certificates guaranteed: | |||
floater Series 1686 Class FA, 1 month U.S. LIBOR + 0.900% 1.4541% 2/15/24 (c)(e) | 2,492 | 2,498 | |
planned amortization class Series 2043 Class CJ, 6.5% 4/15/28 | 4,199 | 4,415 | |
sequential payer: | |||
Series 2043 Class ZH, 6% 4/15/28 | 11,728 | 12,334 | |
Series 2056 Class Z, 6% 5/15/28 | 27,538 | 29,011 | |
Freddie Mac Multi-family Structured pass-thru certificates: | |||
floater Series 4795 Class FA, 1 month U.S. LIBOR + 0.300% 1.1747% 5/15/48 (c)(e) | 1,019,779 | 1,015,897 | |
Series 4386 Class AZ, 4.5% 11/15/40 | 943,883 | 968,569 | |
Freddie Mac Seasoned Credit Risk Transfer Trust: | |||
sequential payer: | |||
Series 2018-3 Class MA, 3.5% 8/25/57 | 7,159,909 | 7,112,546 | |
Series 2018-4 Class MA, 3.5% 3/25/58 | 2,805,038 | 2,789,393 | |
Series 2019-1 Class MA, 3.5% 7/25/58 | 4,793,732 | 4,758,353 | |
Series 2018-3 Class M55D, 4% 8/25/57 | 400,082 | 400,481 | |
Ginnie Mae guaranteed REMIC pass-thru certificates: | |||
floater: | |||
Series 2007-37 Class TS, 6.690% - 1 month U.S. LIBOR 5.8153% 6/16/37 (c)(l)(m) | 59,765 | 8,908 | |
Series 2010-H03 Class FA, 1 month U.S. LIBOR + 0.550% 1.248% 3/20/60 (c)(e)(o) | 704,771 | 702,599 | |
Series 2010-H17 Class FA, 1 month U.S. LIBOR + 0.330% 1.028% 7/20/60 (c)(e)(o) | 105,363 | 104,505 | |
Series 2010-H18 Class AF, 1 month U.S. LIBOR + 0.300% 0.7376% 9/20/60 (c)(e)(o) | 127,757 | 126,690 | |
Series 2010-H19 Class FG, 1 month U.S. LIBOR + 0.300% 0.7376% 8/20/60 (c)(e)(o) | 109,578 | 108,687 | |
Series 2010-H27 Class FA, 1 month U.S. LIBOR + 0.380% 0.8176% 12/20/60 (c)(e)(o) | 274,089 | 272,237 | |
Series 2011-H05 Class FA, 1 month U.S. LIBOR + 0.500% 0.9376% 12/20/60 (c)(e)(o) | 268,863 | 267,725 | |
Series 2011-H07 Class FA, 1 month U.S. LIBOR + 0.500% 0.9376% 2/20/61 (c)(e)(o) | 279,779 | 278,630 | |
Series 2011-H12 Class FA, 1 month U.S. LIBOR + 0.490% 0.9276% 2/20/61 (c)(e)(o) | 425,659 | 423,878 | |
Series 2011-H13 Class FA, 1 month U.S. LIBOR + 0.500% 0.9376% 4/20/61 (c)(e)(o) | 251,631 | 250,524 | |
Series 2011-H14: | |||
Class FB, 1 month U.S. LIBOR + 0.500% 0.9376% 5/20/61 (c)(e)(o) | 407,592 | 405,898 | |
Class FC, 1 month U.S. LIBOR + 0.500% 0.9376% 5/20/61 (c)(e)(o) | 291,605 | 290,343 | |
Series 2011-H17 Class FA, 1 month U.S. LIBOR + 0.530% 0.9676% 6/20/61 (c)(e)(o) | 341,652 | 340,396 | |
Series 2011-H20 Class FA, 1 month U.S. LIBOR + 0.550% 0.9876% 9/20/61 (c)(e)(o) | 952,678 | 949,463 | |
Series 2011-H21 Class FA, 1 month U.S. LIBOR + 0.600% 1.0376% 10/20/61 (c)(e)(o) | 394,746 | 393,742 | |
Series 2012-H01 Class FA, 1 month U.S. LIBOR + 0.700% 1.1376% 11/20/61 (c)(e)(o) | 383,696 | 383,365 | |
Series 2012-H03 Class FA, 1 month U.S. LIBOR + 0.700% 1.1376% 1/20/62 (c)(e)(o) | 236,472 | 236,251 | |
Series 2012-H06 Class FA, 1 month U.S. LIBOR + 0.630% 1.0676% 1/20/62 (c)(e)(o) | 334,841 | 334,154�� | |
Series 2012-H07 Class FA, 1 month U.S. LIBOR + 0.630% 1.0676% 3/20/62 (c)(e)(o) | 219,528 | 219,334 | |
Series 2012-H21 Class DF, 1 month U.S. LIBOR + 0.650% 1.0876% 5/20/61 (c)(e)(o) | 5,918 | 5,907 | |
Series 2014-H03 Class FA, 1 month U.S. LIBOR + 0.600% 1.0376% 1/20/64 (c)(e)(o) | 267,657 | 267,031 | |
Series 2014-H05 Class FB, 1 month U.S. LIBOR + 0.600% 1.0376% 12/20/63 (c)(e)(o) | 1,152,626 | 1,149,979 | |
Series 2014-H11 Class BA, 1 month U.S. LIBOR + 0.500% 0.9376% 6/20/64 (c)(e)(o) | 297,094 | 295,884 | |
Series 2015-H07 Class FA, 1 month U.S. LIBOR + 0.300% 0.7376% 3/20/65 (c)(e)(o) | 3,270 | 3,250 | |
Series 2015-H13 Class FL, 1 month U.S. LIBOR + 0.280% 0.7176% 5/20/63 (c)(e)(o) | 6,730 | 6,657 | |
Series 2015-H19 Class FA, 1 month U.S. LIBOR + 0.200% 0.6376% 4/20/63 (c)(e)(o) | 6,480 | 6,410 | |
Series 2016-H20 Class FM, 1 month U.S. LIBOR + 0.400% 0.8376% 12/20/62 (c)(e)(o) | 18,751 | 18,600 | |
Series 2019-23 Class NF, 1 month U.S. LIBOR + 0.450% 1.3773% 2/20/49 (c)(e) | 2,583,633 | 2,599,432 | |
planned amortization class: | |||
Series 2010-158 Class MS, 10.000% - 1 month U.S. LIBOR 8.1454% 12/20/40 (c)(m) | 532,869 | 515,896 | |
Series 2011-136 Class WI, 4.5% 5/20/40 (l) | 22,198 | 1,519 | |
Series 2016-69 Class WA, 3% 2/20/46 | 360,203 | 352,155 | |
Series 2017-134 Class BA, 2.5% 11/20/46 | 140,275 | 135,407 | |
Series 2017-153 Class GA, 3% 9/20/47 | 1,193,969 | 1,151,089 | |
Series 2017-182 Class KA, 3% 10/20/47 | 932,488 | 900,264 | |
Series 2018-13 Class Q, 3% 4/20/47 | 1,204,923 | 1,178,428 | |
sequential payer: | |||
Series 2004-24 Class ZM, 5% 4/20/34 | 171,399 | 176,492 | |
Series 2010-160 Class DY, 4% 12/20/40 | 1,174,261 | 1,174,722 | |
Series 2010-170 Class B, 4% 12/20/40 | 262,505 | 262,641 | |
Series 2017-139 Class BA, 3% 9/20/47 | 3,593,207 | 3,515,072 | |
Series 2004-32 Class GS, 6.500% - 1 month U.S. LIBOR 5.6253% 5/16/34 (c)(l)(m) | 42,221 | 4,995 | |
Series 2004-73 Class AL, 7.200% - 1 month U.S. LIBOR 6.3253% 8/17/34 (c)(l)(m) | 30,885 | 5,007 | |
Series 2010-116 Class QB, 4% 9/16/40 | 84,660 | 85,805 | |
Series 2010-14 Class SN, 5.950% - 1 month U.S. LIBOR 5.0753% 2/16/40 (c)(l)(m) | 215,831 | 21,512 | |
Series 2010-H10 Class FA, 1 month U.S. LIBOR + 0.330% 1.028% 5/20/60 (c)(e)(o) | 331,520 | 329,025 | |
Series 2011-52 Class HI, 7% 4/16/41 (l) | 38,921 | 6,720 | |
Series 2011-94 Class SA, 6.100% - 1 month U.S. LIBOR 5.1727% 7/20/41 (c)(l)(m) | 101,879 | 14,814 | |
Series 2012-76 Class GS, 6.700% - 1 month U.S. LIBOR 5.8253% 6/16/42 (c)(l)(m) | 135,895 | 18,936 | |
Series 2013-124 Class ES, 8.667% - 1 month U.S. LIBOR 7.4303% 4/20/39 (c)(m) | 4,987 | 4,998 | |
Series 2013-149 Class MA, 2.5% 5/20/40 | 1,067,987 | 1,051,096 | |
Series 2014-2 Class BA, 3% 1/20/44 | 2,221,584 | 2,145,945 | |
Series 2014-21 Class HA, 3% 2/20/44 | 814,098 | 788,762 | |
Series 2014-25 Class HC, 3% 2/20/44 | 1,408,159 | 1,358,484 | |
Series 2014-5 Class A, 3% 1/20/44 | 1,241,265 | 1,199,380 | |
Series 2015-H13 Class HA, 2.5% 8/20/64 (o) | 11,065 | 10,799 | |
Series 2016-H13 Class FB, U.S. TREASURY 1 YEAR INDEX + 0.500% 2.17% 5/20/66 (c)(e)(o) | 2,073,788 | 2,063,483 | |
Series 2017-186 Class HK, 3% 11/16/45 | 1,187,720 | 1,152,125 | |
Series 2017-H06 Class FA, U.S. TREASURY 1 YEAR INDEX + 0.350% 2.02% 8/20/66 (c)(e)(o) | 2,576,595 | 2,558,009 | |
Ginnie Mae REMIC Trust Series 2015-H17 Class GZ, 4.2354% 5/20/65 (c)(o) | 55,736 | 56,183 | |
TOTAL U.S. GOVERNMENT AGENCY | 84,152,487 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | |||
(Cost $415,762,481) | 402,097,997 | ||
Commercial Mortgage Securities - 3.7% | |||
BAMLL Commercial Mortgage Securities Trust: | |||
floater Series 2022-DKLX: | |||
Class A, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 1.150% 1.932% 1/15/39 (b)(c)(e) | 10,929,000 | 10,664,692 | |
Class B, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 1.550% 2.332% 1/15/39 (b)(c)(e) | 2,064,000 | 2,005,691 | |
Class C, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 2.150% 2.932% 1/15/39 (b)(c)(e) | 1,474,000 | 1,424,867 | |
sequential payer Series 2019-BPR: | |||
Class AMP, 3.287% 11/5/32 (b) | 10,500,000 | 10,131,652 | |
Class ANM, 3.112% 11/5/32 (b) | 5,768,000 | 5,546,486 | |
Series 2019-BPR: | |||
Class BNM, 3.465% 11/5/32 (b) | 1,295,000 | 1,226,347 | |
Class CNM, 3.7186% 11/5/32 (b)(c) | 536,000 | 498,514 | |
BANK: | |||
sequential payer: | |||
Series 2018-BN10 Class A5, 3.688% 2/15/61 | 2,901,000 | 2,853,671 | |
Series 2019-BN21 Class A5, 2.851% 10/17/52 | 1,112,000 | 1,026,870 | |
Series 2022-BNK42, Class A5, 4.545% 6/15/55 (c) | 33,000,000 | 34,080,371 | |
Series 2020-BN25 Class XB, 0.4398% 1/15/63 (c)(l) | 30,600,000 | 870,882 | |
Series 2021-BN33 Class XA, 1.0605% 5/15/64 (c)(l) | 72,461,779 | 4,862,975 | |
Bayview Commercial Asset Trust floater: | |||
Series 2005-3A: | |||
Class A2, 1 month U.S. LIBOR + 0.600% 1.6057% 11/25/35 (b)(c)(e) | 31,206 | 28,995 | |
Class M1, 1 month U.S. LIBOR + 0.660% 1.6657% 11/25/35 (b)(c)(e) | 8,348 | 7,590 | |
Series 2005-4A: | |||
Class A2, 1 month U.S. LIBOR + 0.580% 1.5907% 1/25/36 (b)(c)(e) | 76,347 | 70,448 | |
Class M1, 1 month U.S. LIBOR + 0.670% 1.6807% 1/25/36 (b)(c)(e) | 24,647 | 22,405 | |
Class M2, 1 month U.S. LIBOR + 0.700% 1.7107% 1/25/36 (b)(c)(e) | 9,294 | 8,424 | |
Class M3, 1 month U.S. LIBOR + 0.750% 1.7557% 1/25/36 (b)(c)(e) | 13,527 | 12,241 | |
Series 2006-1: | |||
Class A2, 1 month U.S. LIBOR + 0.540% 1.5457% 4/25/36 (b)(c)(e) | 12,781 | 11,811 | |
Class M1, 1 month U.S. LIBOR + 0.570% 1.5757% 4/25/36 (b)(c)(e) | 7,728 | 7,048 | |
Class M2, 1 month U.S. LIBOR + 0.600% 1.6057% 4/25/36 (b)(c)(e) | 8,174 | 7,337 | |
Class M6, 1 month U.S. LIBOR + 0.960% 1.9657% 4/25/36 (b)(c)(e) | 7,728 | 6,700 | |
Series 2006-2A: | |||
Class M1, 1 month U.S. LIBOR + 0.460% 1.4707% 7/25/36 (b)(c)(e) | 11,578 | 10,607 | |
Class M2, 1 month U.S. LIBOR + 0.490% 1.5007% 7/25/36 (b)(c)(e) | 8,226 | 7,319 | |
Class M4, 1 month U.S. LIBOR + 0.630% 1.6357% 7/25/36 (b)(c)(e) | 7,769 | 7,053 | |
Series 2006-4A: | |||
Class A2, 1 month U.S. LIBOR + 0.400% 1.4107% 12/25/36 (b)(c)(e) | 164,494 | 152,612 | |
Class M1, 1 month U.S. LIBOR + 0.430% 1.4407% 12/25/36 (b)(c)(e) | 13,220 | 12,101 | |
Class M3, 1 month U.S. LIBOR + 0.510% 1.5157% 12/25/36 (b)(c)(e) | 8,961 | 7,995 | |
Series 2007-1 Class A2, 1 month U.S. LIBOR + 0.270% 1.2757% 3/25/37 (b)(c)(e) | 42,495 | 39,346 | |
Series 2007-2A: | |||
Class A1, 1 month U.S. LIBOR + 0.270% 1.2757% 7/25/37 (b)(c)(e) | 127,282 | 117,939 | |
Class A2, 1 month U.S. LIBOR + 0.320% 1.3257% 7/25/37 (b)(c)(e) | 119,134 | 110,538 | |
Class M1, 1 month U.S. LIBOR + 0.370% 1.3757% 7/25/37 (b)(c)(e) | 40,583 | 37,585 | |
Class M2, 1 month U.S. LIBOR + 0.410% 1.4157% 7/25/37 (b)(c)(e) | 26,440 | 23,653 | |
Class M3, 1 month U.S. LIBOR + 0.490% 1.4957% 7/25/37 (b)(c)(e) | 30,297 | 33,753 | |
Series 2007-3: | |||
Class A2, 1 month U.S. LIBOR + 0.290% 1.2957% 7/25/37 (b)(c)(e) | 45,379 | 41,712 | |
Class M1, 1 month U.S. LIBOR + 0.310% 1.3157% 7/25/37 (b)(c)(e) | 24,072 | 22,800 | |
Class M2, 1 month U.S. LIBOR + 0.340% 1.3457% 7/25/37 (b)(c)(e) | 25,684 | 24,152 | |
Class M3, 1 month U.S. LIBOR + 0.370% 1.3757% 7/25/37 (b)(c)(e) | 41,463 | 37,100 | |
Class M4, 1 month U.S. LIBOR + 0.500% 1.5057% 7/25/37 (b)(c)(e) | 65,189 | 58,156 | |
Class M5, 1 month U.S. LIBOR + 0.600% 1.6057% 7/25/37 (b)(c)(e) | 27,900 | 32,847 | |
Benchmark Mortgage Trust: | |||
sequential payer: | |||
Series 2018-B1 Class ASB, 3.602% 1/15/51 | 3,507,000 | 3,501,082 | |
Series 2018-B2 Class ASB, 3.7802% 2/15/51 | 1,800,000 | 1,798,620 | |
Series 2018-B4 Class A5, 4.121% 7/15/51 | 1,260,000 | 1,263,683 | |
Series 2019-B10 Class A4, 3.717% 3/15/62 | 2,283,000 | 2,232,730 | |
Series 2019-B13 Class A4, 2.952% 8/15/57 | 12,263,000 | 11,378,632 | |
Series 2018-B8 Class A5, 4.2317% 1/15/52 | 15,369,000 | 15,502,981 | |
Series 2019-B12 Class XA, 1.0419% 8/15/52 (c)(l) | 74,365,739 | 3,708,129 | |
Series 2019-B14 Class XA, 0.7808% 12/15/62 (c)(l) | 121,388,566 | 4,602,435 | |
Series 2020-B17 Class XA, 1.4175% 3/15/53 (c)(l) | 11,973,152 | 849,846 | |
Series 2020-B18 Class XA, 1.791% 7/15/53 (c)(l) | 20,013,283 | 1,828,305 | |
BFLD Trust floater sequential payer Series 2020-OBRK Class A, 1 month U.S. LIBOR + 2.050% 2.925% 11/15/28 (b)(c)(e) | 6,075,000 | 6,000,764 | |
BLOX Trust floater sequential payer Series 2021-BLOX Class A, 1 month U.S. LIBOR + 0.750% 1.625% 9/15/26 (b)(c)(e) | 19,346,000 | 18,316,133 | |
BPR Trust floater Series 2022-OANA: | |||
Class A, CME TERM SOFR 1 MONTH INDEX + 1.890% 2.6797% 4/15/37 (b)(c)(e) | 40,977,000 | 39,893,888 | |
Class B, CME TERM SOFR 1 MONTH INDEX + 2.440% 3.2287% 4/15/37 (b)(c)(e) | 8,770,000 | 8,580,251 | |
BX Commercial Mortgage Trust: | |||
floater: | |||
Series 2021-PAC: | |||
Class A, 1 month U.S. LIBOR + 0.680% 1.5641% 10/15/36 (b)(c)(e) | 19,711,000 | 18,741,999 | |
Class B, 1 month U.S. LIBOR + 0.890% 1.7738% 10/15/36 (b)(c)(e) | 2,754,000 | 2,600,692 | |
Class C, 1 month U.S. LIBOR + 1.090% 1.9736% 10/15/36 (b)(c)(e) | 3,686,000 | 3,445,026 | |
Class D, 1 month U.S. LIBOR + 1.290% 2.1733% 10/15/36 (b)(c)(e) | 3,579,000 | 3,311,337 | |
Class E, 1 month U.S. LIBOR + 1.940% 2.8225% 10/15/36 (b)(c)(e) | 11,390,000 | 10,613,437 | |
Series 2021-VINO Class A, 1 month U.S. LIBOR + 0.650% 1.5273% 5/15/38 (b)(c)(e) | 14,550,000 | 13,967,146 | |
Series 2022-LP2: | |||
Class A, CME TERM SOFR 1 MONTH INDEX + 1.010% 1.8089% 2/15/39 (b)(c)(e) | 26,177,313 | 25,276,097 | |
Class B, CME TERM SOFR 1 MONTH INDEX + 1.310% 2.1083% 2/15/39 (b)(c)(e) | 6,861,199 | 6,612,638 | |
Class C, CME TERM SOFR 1 MONTH INDEX + 1.560% 2.3577% 2/15/39 (b)(c)(e) | 6,861,199 | 6,578,308 | |
Class D, CME TERM SOFR 1 MONTH INDEX + 1.960% 2.7568% 2/15/39 (b)(c)(e) | 6,861,199 | 6,569,380 | |
floater sequential payer Series 2019-CALM Class A, 1 month U.S. LIBOR + 0.870% 1.751% 11/15/32 (b)(c)(e) | 14,035,000 | 13,705,673 | |
BX Trust: | |||
floater: | |||
Series 2018-EXCL: | |||
Class A, 1 month U.S. LIBOR + 1.088% 1.9626% 9/15/37 (b)(c)(e) | 9,706,741 | 9,513,312 | |
Class B, 1 month U.S. LIBOR + 1.320% 2.2% 9/15/37 (b)(c)(e) | 3,831,508 | 3,626,732 | |
Class D, 1 month U.S. LIBOR + 2.620% 3.5% 9/15/37 (b)(c)(e) | 1,846,787 | 1,542,070 | |
Series 2019-IMC: | |||
Class B, 1 month U.S. LIBOR + 1.300% 2.175% 4/15/34 (b)(c)(e) | 4,437,000 | 4,294,930 | |
Class C, 1 month U.S. LIBOR + 1.600% 2.475% 4/15/34 (b)(c)(e) | 2,933,000 | 2,835,551 | |
Class D, 1 month U.S. LIBOR + 1.900% 2.775% 4/15/34 (b)(c)(e) | 3,079,000 | 2,970,834 | |
Series 2019-XL: | |||
Class B, 1 month U.S. LIBOR + 1.080% 1.955% 10/15/36 (b)(c)(e) | 3,808,850 | 3,749,256 | |
Class C, 1 month U.S. LIBOR + 1.250% 2.125% 10/15/36 (b)(c)(e) | 4,788,050 | 4,701,133 | |
Class D, 1 month U.S. LIBOR + 1.450% 2.325% 10/15/36 (b)(c)(e) | 6,782,150 | 6,646,116 | |
Class E, 1 month U.S. LIBOR + 1.800% 2.675% 10/15/36 (b)(c)(e) | 9,529,350 | 9,266,538 | |
Series 2021-ACNT Class A, 1 month U.S. LIBOR + 0.850% 1.725% 11/15/38 (b)(c)(e) | 18,262,000 | 17,617,297 | |
Series 2021-BXMF Class A, 1 month U.S. LIBOR + 0.630% 1.5109% 10/15/26 (b)(c)(e) | 16,987,000 | 16,311,758 | |
Series 2022-IND: | |||
Class A, CME TERM SOFR 1 MONTH INDEX + 1.490% 2.287% 4/15/37 (b)(c)(e) | 22,432,000 | 21,956,096 | |
Class B, CME TERM SOFR 1 MONTH INDEX + 1.940% 2.736% 4/15/37 (b)(c)(e) | 11,435,000 | 11,145,506 | |
Class C, CME TERM SOFR 1 MONTH INDEX + 2.290% 2.64% 4/15/37 (b)(c)(e) | 2,580,000 | 2,486,539 | |
Class D, CME TERM SOFR 1 MONTH INDEX + 2.830% 3.189% 4/15/37 (b)(c)(e) | 2,160,000 | 2,068,795 | |
floater sequential payer: | |||
Series 2021-MFM1 Class A, 1 month U.S. LIBOR + 0.700% 1.5747% 1/15/34 (b)(c)(e) | 6,330,000 | 6,147,398 | |
Series 2021-SOAR Class A, 1.545% 6/15/38 (b)(c) | 30,062,000 | 28,839,748 | |
floater, sequential payer: | |||
Series 2019-IMC Class A, 1 month U.S. LIBOR + 1.000% 1.875% 4/15/34 (b)(c)(e) | 6,400,000 | 6,267,655 | |
Series 2019-XL Class A, 1 month U.S. LIBOR + 0.920% 1.795% 10/15/36 (b)(c)(e) | 70,686,220 | 69,799,998 | |
CAMB Commercial Mortgage Trust floater Series 2019-LIFE: | |||
Class A, 1 month U.S. LIBOR + 1.070% 1.945% 12/15/37 (b)(c)(e) | 12,840,500 | 12,615,366 | |
Class B, 1 month U.S. LIBOR + 1.250% 2.125% 12/15/37 (b)(c)(e) | 6,200,000 | 6,052,186 | |
CD Commercial Mortgage Trust sequential payer Series 2017-CD6 Class ASB, 3.332% 11/13/50 | 17,655,000 | 17,401,381 | |
CF Hippolyta Issuer LLC sequential payer: | |||
Series 2020-1: | |||
Class A1, 1.69% 7/15/60 (b) | 26,732,342 | 24,525,063 | |
Class A2, 1.99% 7/15/60 (b) | 10,431,542 | 9,159,872 | |
Series 2021-1A Class A1, 1.53% 3/15/61 (b) | 14,120,358 | 12,729,356 | |
CGDB Commercial Mortgage Trust floater Series 2019-MOB: | |||
Class A, 1 month U.S. LIBOR + 0.950% 1.8247% 11/15/36 (b)(c)(e) | 4,222,000 | 4,109,720 | |
Class B, 1 month U.S. LIBOR + 1.250% 2.1247% 11/15/36 (b)(c)(e) | 1,600,000 | 1,552,442 | |
CHC Commercial Mortgage Trust floater Series 2019-CHC: | |||
Class A, 1 month U.S. LIBOR + 1.120% 1.995% 6/15/34 (b)(c)(e) | 28,328,229 | 27,681,306 | |
Class B, 1 month U.S. LIBOR + 1.500% 2.375% 6/15/34 (b)(c)(e) | 2,163,210 | 2,091,511 | |
Class C, 1 month U.S. LIBOR + 1.750% 2.625% 6/15/34 (b)(c)(e) | 2,444,160 | 2,352,650 | |
CIM Retail Portfolio Trust floater Series 2021-RETL: | |||
Class C, 1 month U.S. LIBOR + 2.300% 3.175% 8/15/36 (b)(c)(e) | 1,157,872 | 1,100,750 | |
Class D, 1 month U.S. LIBOR + 3.050% 3.925% 8/15/36 (b)(c)(e) | 2,308,500 | 2,178,175 | |
Citigroup Commercial Mortgage Trust: | |||
sequential payer Series 2017-P7 Class AAB, 3.509% 4/14/50 | 706,492 | 704,135 | |
Series 2013-GC17 Class A/S, 4.544% 11/10/46 | 10,042,000 | 10,111,852 | |
Series 2014-GC25 Class A/S, 4.017% 10/10/47 | 7,354,000 | 7,328,420 | |
Series 2015-GC33 Class XA, 0.8795% 9/10/58 (c)(l) | 1,537,833 | 36,869 | |
Series 2016-P6 Class XA, 0.5689% 12/10/49 (c)(l) | 1,213,384 | 25,801 | |
Series 2019-GC41 Class XA, 1.0548% 8/10/56 (c)(l) | 20,583,621 | 1,118,014 | |
COMM Mortgage Trust: | |||
sequential payer: | |||
Series 2014-CR18 Class A5, 3.828% 7/15/47 | 2,137,000 | 2,140,625 | |
Series 2017-CD4 Class ASB, 3.317% 5/10/50 | 10,300,253 | 10,211,292 | |
Series 2013-CR13 Class AM, 4.449% 11/10/46 | 2,366,000 | 2,378,311 | |
Series 2013-LC13 Class AM, 4.557% 8/10/46 (b) | 5,200,000 | 5,242,536 | |
Series 2014-CR20 Class XA, 0.9824% 11/10/47 (c)(l) | 356,524 | 6,564 | |
Series 2014-LC17 Class XA, 0.7113% 10/10/47 (c)(l) | 1,038,524 | 13,373 | |
Series 2014-UBS6 Class XA, 0.8536% 12/10/47 (c)(l) | 870,987 | 14,991 | |
Credit Suisse Mortgage Trust: | |||
floater Series 2019-ICE4: | |||
Class A, 1 month U.S. LIBOR + 0.980% 1.855% 5/15/36 (b)(c)(e) | 17,947,000 | 17,655,239 | |
Class B, 1 month U.S. LIBOR + 1.230% 2.105% 5/15/36 (b)(c)(e) | 8,335,000 | 8,168,158 | |
Class C, 1 month U.S. LIBOR + 1.430% 2.305% 5/15/36 (b)(c)(e) | 1,603,000 | 1,567,774 | |
sequential payer Series 2020-NET Class A, 2.2569% 8/15/37 (b) | 3,478,776 | 3,239,705 | |
Series 2018-SITE: | |||
Class A, 4.284% 4/15/36 (b) | 4,971,000 | 4,868,402 | |
Class B, 4.5349% 4/15/36 (b) | 1,471,000 | 1,425,412 | |
Class C, 4.782% 4/15/36 (b)(c) | 955,000 | 920,191 | |
Class D, 4.782% 4/15/36 (b)(c) | 1,909,000 | 1,798,465 | |
DBJPM Mortgage Trust sequential payer Series 2017-C6 Class ASB, 3.121% 6/10/50 | 4,803,000 | 4,758,050 | |
ELP Commercial Mortgage Trust floater Series 2021-ELP: | |||
Class A, 1 month U.S. LIBOR + 0.700% 1.576% 11/15/38 (b)(c)(e) | 25,278,000 | 24,154,352 | |
Class B, 1 month U.S. LIBOR + 1.120% 1.9952% 11/15/38 (b)(c)(e) | 10,750,000 | 10,265,709 | |
Extended Stay America Trust floater Series 2021-ESH: | |||
Class A, 1 month U.S. LIBOR + 1.080% 1.955% 7/15/38 (b)(c)(e) | 22,277,891 | 21,775,967 | |
Class B, 1 month U.S. LIBOR + 1.380% 2.255% 7/15/38 (b)(c)(e) | 4,194,187 | 4,081,206 | |
Class C, 1 month U.S. LIBOR + 1.700% 2.575% 7/15/38 (b)(c)(e) | 3,140,671 | 3,054,187 | |
Class D, 1 month U.S. LIBOR + 2.250% 3.125% 7/15/38 (b)(c)(e) | 7,935,163 | 7,676,945 | |
Freddie Mac: | |||
floater: | |||
Series 2021-F114 Class A/S, 0.507% 5/25/31 (c) | 65,899,000 | 64,910,495 | |
Series 2021-F120 Class A/S, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.210% 0.487% 8/25/31 (c)(e) | 21,177,000 | 20,859,442 | |
Series 2021-F121 Class A/S, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.180% 0.467% 8/25/28 (c)(e) | 24,572,000 | 24,294,130 | |
floater sequential payer Series 2021-KF124 Class A/S, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.220% 0.507% 10/25/31 (c)(e) | 114,400,000 | 113,144,117 | |
sequential payer: | |||
Series 2021-K136 Class A2, 2.127% 11/25/31 | 10,700,000 | 9,569,198 | |
Series 2022-K141 Class A2, 2.25% 2/25/32 | 14,415,000 | 13,004,923 | |
Series 2022-K142 Class A2, 2.4% 3/25/32 | 10,750,000 | 9,825,623 | |
Series 2022-K144 Class A2, 2.45% 4/25/32 | 25,200,000 | 23,078,651 | |
GS Mortgage Securities Trust: | |||
floater: | |||
Series 2018-3PCK Class A, 1 month U.S. LIBOR + 1.700% 2.575% 9/15/31 (b)(c)(e) | 11,450,968 | 11,287,738 | |
Series 2018-HART Class A, 1 month U.S. LIBOR + 1.090% 1.97% 10/15/31 (b)(c)(e) | 3,300,000 | 3,215,943 | |
Series 2021-IP: | |||
Class A, 1 month U.S. LIBOR + 0.950% 1.825% 10/15/36 (b)(c)(e) | 10,697,000 | 10,343,767 | |
Class B, 1 month U.S. LIBOR + 1.150% 2.025% 10/15/36 (b)(c)(e) | 1,654,000 | 1,565,503 | |
Class C, 1 month U.S. LIBOR + 1.550% 2.425% 10/15/36 (b)(c)(e) | 1,363,000 | 1,281,589 | |
sequential payer: | |||
Series 2014-GC18 Class AAB, 3.648% 1/10/47 | 672,016 | 674,801 | |
Series 2016-GC34 Class AAB, 3.278% 10/10/48 | 1,886,459 | 1,884,198 | |
Series 2011-GC5 Class A/S, 5.1589% 8/10/44 (b)(c) | 9,752,400 | 9,727,848 | |
Series 2013-GC16 Class A/S, 4.649% 11/10/46 | 2,932,000 | 2,956,989 | |
Series 2015-GC30 Class A/S, 3.777% 5/10/50 | 2,577,000 | 2,537,386 | |
J.P. Morgan Chase Commercial Mortgage Securities Trust floater Series 2012-NLP Class A, CME TERM SOFR 1 MONTH INDEX + 0.590% 1.2865% 4/15/37 (b)(c)(e) | 18,600,000 | 17,622,603 | |
JP Morgan Chase Commercial Mortgage Securities Trust sequential payer Series 2021-2NU Class A, 1.9739% 1/5/40 (b) | 24,200,000 | 20,864,797 | |
JPMBB Commercial Mortgage Securities Trust: | |||
sequential payer Series 2014-C21 Class A4, 3.4927% 8/15/47 | 8,865,850 | 8,807,952 | |
Series 2013-C14 Class A/S, 4.4093% 8/15/46 | 4,614,000 | 4,602,400 | |
Series 2013-C17 Class A/S, 4.4584% 1/15/47 | 9,500,000 | 9,566,286 | |
JPMDB Commercial Mortgage Securities Trust sequential payer: | |||
Series 2017-C5 Class ASB, 3.4919% 3/15/50 | 3,182,005 | 3,160,021 | |
Series 2018-C8 Class ASB, 4.145% 6/15/51 | 8,779,000 | 8,823,017 | |
Series 2019-COR6 Class A4, 3.0565% 11/13/52 | 2,872,000 | 2,671,457 | |
JPMorgan Chase Commercial Mortgage Securities Trust: | |||
floater Series 2019-BKWD Class A, 1 month U.S. LIBOR + 1.000% 1.875% 9/15/29 (b)(c)(e) | 5,508,014 | 5,434,160 | |
sequential payer Series 2013-LC11 Class A5, 2.9599% 4/15/46 | 7,200,000 | 7,166,817 | |
Series 2012-C8 Class A/S, 3.4239% 10/15/45 (b) | 6,783,000 | 6,777,834 | |
Series 2013-C10 Class A/S, 3.3715% 12/15/47 | 6,495,000 | 6,484,705 | |
Series 2013-C16 Class A/S, 4.5169% 12/15/46 | 8,577,000 | 8,649,238 | |
Series 2013-LC11 Class A/S, 3.216% 4/15/46 | 5,691,000 | 5,646,611 | |
Series 2018-WPT: | |||
Class AFX, 4.2475% 7/5/33 (b) | 84,000 | 83,507 | |
Class CFX, 4.9498% 7/5/33 (b) | 767,000 | 758,699 | |
Class DFX, 5.3503% 7/5/33 (b) | 1,370,000 | 1,348,149 | |
Class EFX, 5.5422% 7/5/33 (b) | 1,614,000 | 1,572,540 | |
Life Financial Services Trust floater Series 2022-BMR2: | |||
Class A1, CME TERM SOFR 1 MONTH INDEX + 1.290% 2.0952% 5/15/39 (b)(c)(e) | 33,532,000 | 32,860,891 | |
Class B, CME TERM SOFR 1 MONTH INDEX + 1.790% 2.5939% 5/15/39 (b)(c)(e) | 18,757,000 | 18,359,074 | |
Class C, CME TERM SOFR 1 MONTH INDEX + 2.090% 2.8931% 5/15/39 (b)(c)(e) | 8,790,000 | 8,580,686 | |
Class D, CME TERM SOFR 1 MONTH INDEX + 2.540% 3.3419% 5/15/39 (b)(c)(e) | 8,790,000 | 8,559,576 | |
LIFE Mortgage Trust floater Series 2021-BMR: | |||
Class A, 1 month U.S. LIBOR + 0.700% 1.575% 3/15/38 (b)(c)(e) | 21,056,204 | 20,159,900 | |
Class B, 1 month U.S. LIBOR + 0.880% 1.755% 3/15/38 (b)(c)(e) | 2,889,932 | 2,752,448 | |
Class C, 1 month U.S. LIBOR + 1.100% 1.975% 3/15/38 (b)(c)(e) | 2,003,293 | 1,892,339 | |
Class D, 1 month U.S. LIBOR + 1.400% 2.275% 3/15/38 (b)(c)(e) | 2,785,737 | 2,613,044 | |
Class E, 1 month U.S. LIBOR + 1.750% 2.625% 3/15/38 (b)(c)(e) | 2,433,834 | 2,271,502 | |
Merit floater Series 2021-STOR Class A, 1 month U.S. LIBOR + 0.700% 1.575% 7/15/38 (b)(c)(e) | 8,363,000 | 8,033,038 | |
MHC Commercial Mortgage Trust floater sequential payer Series 2021-MHC Class A, 1 month U.S. LIBOR + 0.800% 1.676% 4/15/38 (b)(c)(e) | 34,600,000 | 33,520,456 | |
Morgan Stanley BAML Trust: | |||
sequential payer: | |||
Series 2016-C28 Class A3, 3.272% 1/15/49 | 5,368,278 | 5,229,434 | |
Series 2017-C33 Class A4, 3.337% 5/15/50 | 13,400,000 | 12,937,921 | |
Series 2012-C5 Class A/S, 3.792% 8/15/45 | 1,365,772 | 1,363,510 | |
Series 2012-C6 Class A/S, 3.476% 11/15/45 | 8,330,000 | 8,326,748 | |
Series 2015-C25 Class XA, 1.046% 10/15/48 (c)(l) | 882,199 | 22,642 | |
Morgan Stanley Capital I Trust: | |||
floater Series 2018-BOP Class A, 1 month U.S. LIBOR + 0.850% 1.725% 8/15/33 (b)(c)(e) | 172,299 | 170,362 | |
floater sequential payer Series 2019-NUGS Class A, 1 month U.S. LIBOR + 0.950% 2.45% 12/15/36 (b)(c)(e) | 9,700,000 | 9,455,037 | |
sequential payer Series 2019-MEAD Class A, 3.17% 11/10/36 (b) | 16,247,000 | 15,767,028 | |
Series 2018-H4 Class A4, 4.31% 12/15/51 | 2,991,000 | 2,998,305 | |
Series 2019-MEAD: | |||
Class B, 3.1771% 11/10/36 (b)(c) | 1,783,000 | 1,697,230 | |
Class C, 3.1771% 11/10/36 (b)(c) | 1,712,000 | 1,606,323 | |
Series 2021-L6 Class XA, 1.2342% 6/15/54 (c)(l) | 26,613,119 | 1,935,160 | |
MSCCG Trust floater Series 2018-SELF Class A, 1 month U.S. LIBOR + 0.900% 1.775% 10/15/37 (b)(c)(e) | 2,048,000 | 2,015,991 | |
Natixis Commercial Mortgage Securities Trust sequential payer Series 2020-2PAC Class A, 2.966% 12/15/38 (b) | 29,460,000 | 28,420,463 | |
NYT Mortgage Trust floater Series 2019-NYT Class A, 1 month U.S. LIBOR + 1.200% 2.075% 12/15/35 (b)(c)(e) | 20,822,000 | 20,392,636 | |
OPG Trust floater Series 2021-PORT Class A, 1 month U.S. LIBOR + 0.480% 1.359% 10/15/36 (b)(c)(e) | 37,834,000 | 35,845,384 | |
Prima Capital Ltd.: | |||
floater Series 2021-9A Class B, 1 month U.S. LIBOR + 1.800% 2.7273% 12/15/37 (b)(c)(e) | 4,403,000 | 4,212,474 | |
floater sequential payer Series 2021-9A Class A, 1 month U.S. LIBOR + 1.450% 2.3773% 12/15/37 (b)(c)(e) | 800,004 | 789,303 | |
RLGH Trust floater Series 2021-TROT Class A, 1 month U.S. LIBOR + 0.800% 1.675% 4/15/36 (b)(c)(e) | 23,000,000 | 22,350,929 | |
SLG Office Trust Series 2021-OVA Class X, 0.258% 7/15/41 (b)(c)(l) | 213,942,750 | 3,829,789 | |
SPGN Mortgage Trust floater Series 2022-TFLM: | |||
Class B, CME TERM SOFR 1 MONTH INDEX + 2.000% 2.7817% 2/15/39 (b)(c)(e) | 4,954,000 | 4,743,323 | |
Class C, CME TERM SOFR 1 MONTH INDEX + 2.650% 3.4317% 2/15/39 (b)(c)(e) | 2,576,000 | 2,468,103 | |
SREIT Trust floater: | |||
Series 2021-FLWR Class A, 1 month U.S. LIBOR + 0.570% 1.4516% 7/15/36 (b)(c)(e) | 9,074,000 | 8,619,675 | |
Series 2021-IND Class A, 1 month U.S. LIBOR + 0.700% 1.575% 10/15/38 (b)(c)(e) | 3,400,000 | 3,233,877 | |
Series 2021-MFP: | |||
Class A, 1 month U.S. LIBOR + 0.730% 1.6055% 11/15/38 (b)(c)(e) | 23,780,000 | 23,083,848 | |
Class B, 1 month U.S. LIBOR + 1.070% 1.9545% 11/15/38 (b)(c)(e) | 9,752,000 | 9,331,877 | |
Class C, 1 month U.S. LIBOR + 1.320% 2.2037% 11/15/38 (b)(c)(e) | 5,710,000 | 5,422,516 | |
Class D, 1 month U.S. LIBOR + 1.570% 2.4529% 11/15/38 (b)(c)(e) | 3,430,000 | 3,235,534 | |
UBS Commercial Mortgage Trust: | |||
sequential payer: | |||
Series 2017-C1 Class ASB, 3.462% 11/15/50 | 1,400,000 | 1,387,817 | |
Series 2017-C7 Class ASB, 3.586% 12/15/50 | 1,000,000 | 998,161 | |
Series 2017-C7 Class XA, 1.0063% 12/15/50 (c)(l) | 1,198,790 | 48,068 | |
UBS-Barclays Commercial Mortgage Trust: | |||
floater Series 2013-C6 Class A3, 1 month U.S. LIBOR + 0.790% 1.6331% 4/10/46 (b)(c)(e) | 106,791 | 106,499 | |
sequential payer Series 2012-C4 Class A/S, 3.3165% 12/10/45 (b) | 4,200,000 | 4,198,951 | |
Series 2012-C3 Class A/S, 3.814% 8/10/49 (b) | 12,000,000 | 12,009,971 | |
VLS Commercial Mortgage Trust: | |||
sequential payer Series 2020-LAB Class A, 2.13% 10/10/42 (b) | 8,020,000 | 6,710,732 | |
Series 2020-LAB: | |||
Class B, 2.453% 10/10/42 (b) | 470,000 | 388,749 | |
Class X, 0.4294% 10/10/42 (b)(c)(l) | 27,100,000 | 810,528 | |
Wells Fargo Commercial Mortgage Trust: | |||
floater Series 2021-FCMT Class A, 1 month U.S. LIBOR + 1.200% 2.075% 5/15/31 (b)(c)(e) | 16,435,000 | 15,818,604 | |
sequential payer: | |||
Series 2015-C26 Class A4, 3.166% 2/15/48 | 11,250,000 | 11,090,699 | |
Series 2015-C29 Class ASB, 3.4% 6/15/48 | 3,599,177 | 3,597,470 | |
Series 2016-LC24 Class A3, 2.684% 10/15/49 | 4,380,318 | 4,176,190 | |
Series 2017-C40 Class ASB, 3.395% 10/15/50 | 1,000,000 | 990,902 | |
Series 2018-C44 Class ASB, 4.167% 5/15/51 | 1,000,000 | 1,011,248 | |
Series 2019-C52 Class A5, 2.892% 8/15/52 | 3,829,000 | 3,536,909 | |
Series 2019-C54 Class ASB, 3.063% 12/15/52 | 1,000,000 | 967,175 | |
Series 2015-SG1 Class ASB, 3.556% 9/15/48 | 3,178,081 | 3,184,564 | |
Series 2017-C42 Class XA, 0.8712% 12/15/50 (c)(l) | 1,438,834 | 56,960 | |
Series 2018-C46 Class XA, 0.9346% 8/15/51 (c)(l) | 37,621,092 | 1,313,920 | |
Series 2018-C48 Class A5, 4.302% 1/15/52 | 3,836,000 | 3,871,686 | |
Series 2019-C54 Class XA, 0.8334% 12/15/52 (c)(l) | 63,419,819 | 3,116,133 | |
WF-RBS Commercial Mortgage Trust: | |||
Series 2012-C8 Class A/S, 3.66% 8/15/45 | 5,036,000 | 5,029,488 | |
Series 2012-C9 Class A/S, 3.388% 11/15/45 | 1,300,000 | 1,299,908 | |
Series 2013-C12 Class A/S, 3.56% 3/15/48 | 17,361,000 | 17,367,207 | |
Series 2013-C16 Class A/S, 4.668% 9/15/46 (c) | 8,828,629 | 8,900,763 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES | |||
(Cost $1,818,560,900) | 1,752,412,894 | ||
Municipal Securities - 0.1% | |||
Chicago Board of Ed. Series 2009 G, 1.75% 12/15/25 | 4,720,000 | 4,236,489 | |
Illinois Gen. Oblig.: | |||
Series 2003: | $ | $ | |
4.95% 6/1/23 | 2,400,364 | 2,425,584 | |
5.1% 6/1/33 | 22,095,000 | 22,522,019 | |
Series 2010-1, 6.63% 2/1/35 | 2,035,000 | 2,190,713 | |
Series 2010-3: | |||
6.725% 4/1/35 | 2,710,000 | 2,919,135 | |
7.35% 7/1/35 | 1,385,000 | 1,535,264 | |
New Jersey Econ. Dev. Auth. State Pension Fdg. Rev. Series 1997, 7.425% 2/15/29 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 11,609,000 | 13,175,817 | |
TOTAL MUNICIPAL SECURITIES | |||
(Cost $48,786,874) | 49,005,021 | ||
Foreign Government and Government Agency Obligations - 0.1% | |||
German Federal Republic: | |||
0% 8/15/31 | EUR | $12,025,000 | $11,691,390 |
1.25% 8/15/48 (g) | EUR | 5,415,000 | 5,705,821 |
Kingdom of Saudi Arabia 3.25% 11/17/51 (b) | 15,410,000 | 12,482,100 | |
Panamanian Republic: | |||
3.298% 1/19/33 | 18,075,000 | 16,077,713 | |
4.5% 1/19/63 | 11,905,000 | 9,982,343 | |
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | |||
(Cost $67,307,467) | 55,939,367 | ||
Shares | Value | ||
Common Stocks - 0.0% | |||
ENERGY - 0.0% | |||
Energy Equipment & Services - 0.0% | |||
Jonah Energy Parent LLC (k)(p) | |||
(Cost $65,550) | 4,766 | 310,505 | |
Principal Amount(a) | Value | ||
Bank Loan Obligations - 0.0% | |||
COMMUNICATION SERVICES - 0.0% | |||
Media - 0.0% | |||
Diamond Sports Group LLC 1LN, term loan U.S. Secured Overnight Fin. Rate (SOFR) Indx + 8.000% 9% 5/25/26 (c)(e)(q) | 135,329 | 135,871 | |
UTILITIES - 0.0% | |||
Electric Utilities - 0.0% | |||
Brookfield WEC Holdings, Inc. 1LN, term loan CME TERM SOFR 1 MONTH INDEX + 3.750% 8/1/25 (e)(q)(r) | 240,000 | 231,900 | |
TOTAL BANK LOAN OBLIGATIONS | |||
(Cost $356,670) | 367,771 | ||
Bank Notes - 0.0% | |||
Discover Bank 4.682% 8/9/28 (c) | 2,954,000 | 2,953,997 | |
KeyBank NA 6.95% 2/1/28 | 619,000 | 691,903 | |
Regions Bank 6.45% 6/26/37 | 4,251,000 | 4,889,938 | |
TOTAL BANK NOTES | |||
(Cost $8,468,617) | 8,535,838 | ||
Shares | Value | ||
Fixed-Income Funds - 57.8% | |||
Bank Loan Funds - 2.4% | |||
Fidelity Advisor Floating Rate High Income Fund Class Z (s) | 127,358,680 | $1,161,511,158 | |
High Yield Fixed-Income Funds - 3.3% | |||
Fidelity Advisor New Markets Income Fund Class Z (s) | 92,395,139 | 1,136,460,210 | |
Fidelity SAI High Income Fund (s) | 49,273,792 | 449,376,981 | |
TOTAL HIGH YIELD FIXED-INCOME FUNDS | 1,585,837,191 | ||
Inflation-Protected Bond Funds - 0.7% | |||
Fidelity Inflation-Protected Bond Index Fund (s) | 33,061,504 | 346,815,177 | |
Intermediate Government Funds - 8.0% | |||
Fidelity Advisor Government Income Fund Class Z (s) | 49,900,729 | 486,033,097 | |
Fidelity SAI U.S. Treasury Bond Index Fund (s) | 360,694,563 | 3,311,176,093 | |
TOTAL INTERMEDIATE GOVERNMENT FUNDS | 3,797,209,190 | ||
Intermediate-Term Bond Funds - 37.4% | |||
Fidelity Advisor Corporate Bond Fund Class Z (s) | 181,876,772 | 1,962,450,369 | |
Fidelity Advisor Global Credit Fund Class Z (s) | 3,228,108 | 27,309,796 | |
Fidelity Intermediate Bond Fund (s) | 119,906,666 | 1,232,640,527 | |
Fidelity SAI Total Bond Fund (s) | 1,350,693,944 | 12,737,043,861 | |
Fidelity Sustainability Bond Index Fund (s) | 2,400,500 | 23,260,844 | |
Fidelity U.S. Bond Index Fund (s) | 178,565,544 | 1,933,864,841 | |
TOTAL INTERMEDIATE-TERM BOND FUNDS | 17,916,570,238 | ||
Long Government Bond Funds - 4.2% | |||
Fidelity SAI Long-Term Treasury Bond Index Fund (s) | 225,092,120 | 2,003,319,872 | |
Sector Funds - 1.8% | |||
Fidelity Advisor Real Estate Income Fund Class Z (s) | 68,462,849 | 872,216,700 | |
TOTAL FIXED-INCOME FUNDS | |||
(Cost $30,165,568,211) | 27,683,479,526 | ||
Principal Amount(a) | Value | ||
Preferred Securities - 0.2% | |||
COMMUNICATION SERVICES - 0.0% | |||
Diversified Telecommunication Services - 0.0% | |||
Telefonica Europe BV 3.875% (Reg. S) (c)(f) | 1,100,000 | 1,182,031 | |
CONSUMER DISCRETIONARY - 0.0% | |||
Automobiles - 0.0% | |||
Volkswagen International Finance NV: | |||
3.5% (Reg. S) (c)(f) | 9,200,000 | 10,089,164 | |
3.748% (Reg. S) (c)(f) | 500,000 | 508,385 | |
10,597,549 | |||
CONSUMER STAPLES - 0.0% | |||
Tobacco - 0.0% | |||
British American Tobacco PLC 3% (Reg. S) (c)(f) | 5,200,000 | 4,744,655 | |
FINANCIALS - 0.1% | |||
Banks - 0.1% | |||
AIB Group PLC 6.25% (Reg. S) (c)(f) | 1,235,000 | 1,355,529 | |
Banco Bilbao Vizcaya Argentaria SA 5.875% (Reg. S) (c)(f) | 1,200,000 | 1,313,840 | |
Bank of Nova Scotia: | |||
4.65% (c)(f) | 13,095,000 | 12,116,996 | |
4.9% (c)(f) | 9,500,000 | 9,348,594 | |
Barclays Bank PLC 7.625% 11/21/22 | 12,633,000 | 12,881,776 | |
Barclays PLC 5.875% (Reg. S) (c)(f) | 1,150,000 | 1,428,159 | |
BNP Paribas SA 6.625% (Reg. S) (c)(f) | 1,485,000 | 1,522,665 | |
HSBC Holdings PLC 6.375% (c)(f) | 1,470,000 | 1,500,940 | |
Lloyds Banking Group PLC 5.125% (c)(f) | 200,000 | 244,869 | |
Societe Generale 7.875% (Reg. S) (c)(f) | 740,000 | 785,188 | |
42,498,556 | |||
Capital Markets - 0.0% | |||
Credit Suisse Group AG 7.5% (Reg. S) (c)(f) | 4,925,000 | 5,116,422 | |
Consumer Finance - 0.0% | |||
Ally Financial, Inc. 4.7% (c)(f) | 2,600,000 | 2,198,089 | |
Insurance - 0.0% | |||
QBE Insurance Group Ltd. 5.25% (Reg. S) (c)(f) | 4,750,000 | 4,568,075 | |
TOTAL FINANCIALS | 54,381,142 | ||
HEALTH CARE - 0.0% | |||
Pharmaceuticals - 0.0% | |||
Bayer AG 2.375% 11/12/79 (Reg. S) (c) | 8,300,000 | 8,420,847 | |
INDUSTRIALS - 0.0% | |||
Road & Rail - 0.0% | |||
National Express Group PLC 4.25% (Reg. S) (c)(f) | 570,000 | 693,521 | |
REAL ESTATE - 0.1% | |||
Real Estate Management & Development - 0.1% | |||
Aroundtown SA 3.375% (Reg. S) (c)(f) | 3,900,000 | 3,809,998 | |
AT Securities BV 5.25% (Reg. S) (c)(f) | 4,750,000 | 4,715,839 | |
Citycon Oyj 4.496% (Reg. S) (c)(f) | 850,000 | 809,962 | |
CPI Property Group SA 3.75% (Reg. S) (c)(f) | 2,370,000 | 1,698,377 | |
Grand City Properties SA 1.5% (Reg. S) (c)(f) | 4,300,000 | 3,840,581 | |
Heimstaden Bostad AB: | |||
3.248% (Reg. S) (c)(f) | 3,735,000 | 3,499,740 | |
3.625% (Reg. S) (c)(f) | 195,000 | 168,642 | |
Samhallsbyggnadsbolaget I Norden AB 2.624% (Reg. S) (c)(f) | 1,385,000 | 1,110,289 | |
19,653,428 | |||
UTILITIES - 0.0% | |||
Electric Utilities - 0.0% | |||
EDF SA 5.625% (Reg. S) (c)(f) | 6,300,000 | 6,284,244 | |
SSE PLC: | |||
3.74% (Reg. S) (c)(f) | 1,135,000 | 1,335,345 | |
4% (Reg. S) (c)(f) | 1,500,000 | 1,561,199 | |
9,180,788 | |||
Multi-Utilities - 0.0% | |||
ELM BV for Firmenich International SA 3.75% (Reg. S) (c)(f) | 520,000 | 568,325 | |
Veolia Environnement SA 2% (Reg. S) (c)(f) | 2,300,000 | 2,184,222 | |
2,752,547 | |||
TOTAL UTILITIES | 11,933,335 | ||
TOTAL PREFERRED SECURITIES | |||
(Cost $129,115,005) | 111,606,508 | ||
Shares | Value | ||
Money Market Funds - 5.0% | |||
Fidelity Cash Central Fund 0.82% (t) | 2,087,465,920 | 2,087,883,413 | |
Fidelity Investments Money Market Government Portfolio Institutional Class 0.64% (s)(u) | 282,906,171 | 282,906,171 | |
TOTAL MONEY MARKET FUNDS | |||
(Cost $2,370,789,545) | 2,370,789,584 |
Purchased Swaptions - 0.0% | ||||
Expiration Date | Notional Amount | Value | ||
Put Options - 0.0% | ||||
Option with an exercise rate of 4.5% on a credit default swap with BNP Paribas S.A. to buy protection on the 5-Year iTraxx Europe Crossover Series 36 Index expiring December 2026, paying 5% quarterly. | 6/15/22 | EUR 14,400,000 | $41,501 | |
TOTAL PURCHASED SWAPTIONS | ||||
(Cost $344,012) | 41,501 | |||
TOTAL INVESTMENT IN SECURITIES - 110.9% | ||||
(Cost $56,819,047,022) | 53,134,711,284 | |||
NET OTHER ASSETS (LIABILITIES) - (10.9)% | (5,243,697,065) | |||
NET ASSETS - 100% | $47,891,014,219 |
TBA Sale Commitments | ||
Principal Amount | Value | |
Ginnie Mae | ||
2% 6/1/52 | $(31,400,000) | $(28,561,735) |
2% 6/1/52 | (3,300,000) | (3,001,711) |
2% 6/1/52 | (33,475,000) | (30,449,175) |
2% 6/1/52 | (7,200,000) | (6,549,188) |
2% 6/1/52 | (33,475,000) | (30,449,175) |
2% 6/1/52 | (7,200,000) | (6,549,188) |
2% 6/1/52 | (33,625,000) | (30,585,616) |
2% 6/1/52 | (7,250,000) | (6,594,668) |
2% 6/1/52 | (67,350,000) | (61,262,193) |
2% 6/1/52 | (14,300,000) | (13,007,414) |
2% 6/1/52 | (34,600,000) | (31,472,485) |
2% 6/1/52 | (7,350,000) | (6,685,629) |
2% 6/1/52 | (7,350,000) | (6,685,629) |
2% 6/1/52 | (34,600,000) | (31,472,485) |
2.5% 6/1/52 | (72,050,000) | (67,536,802) |
2.5% 6/1/52 | (15,700,000) | (14,716,555) |
2.5% 6/1/52 | (7,850,000) | (7,358,278) |
2.5% 6/1/52 | (36,000,000) | (33,744,967) |
2.5% 6/1/52 | (36,300,000) | (34,026,175) |
2.5% 6/1/52 | (7,900,000) | (7,405,146) |
2.5% 6/1/52 | (36,550,000) | (34,260,515) |
2.5% 6/1/52 | (7,950,000) | (7,452,014) |
4% 6/1/52 | (10,800,000) | (10,906,653) |
4% 6/1/52 | (2,700,000) | (2,726,663) |
4% 6/1/52 | (26,200,000) | (26,458,733) |
4% 6/1/52 | (6,500,000) | (6,564,189) |
TOTAL GINNIE MAE | (546,482,981) | |
Uniform Mortgage Backed Securities | ||
1.5% 6/1/37 | (44,800,000) | (41,366,501) |
1.5% 6/1/52 | (24,350,000) | (20,657,551) |
1.5% 6/1/52 | (5,950,000) | (5,047,738) |
2% 6/1/37 | (6,000,000) | (5,672,344) |
2% 6/1/37 | (14,500,000) | (13,708,164) |
2% 6/1/37 | (16,200,000) | (15,315,328) |
2% 6/1/37 | (5,200,000) | (4,916,031) |
2% 6/1/37 | (7,300,000) | (6,901,351) |
2% 6/1/37 | (1,500,000) | (1,418,086) |
2% 6/1/52 | (51,350,000) | (45,561,089) |
2% 6/1/52 | (9,050,000) | (8,029,754) |
2% 6/1/52 | (76,500,000) | (67,875,818) |
2% 6/1/52 | (12,650,000) | (11,223,910) |
2% 6/1/52 | (11,900,000) | (10,558,461) |
2% 6/1/52 | (2,500,000) | (2,218,164) |
2% 6/1/52 | (10,150,000) | (9,005,746) |
2% 6/1/52 | (62,400,000) | (55,365,373) |
2.5% 6/1/37 | (10,700,000) | (10,359,771) |
2.5% 6/1/37 | (14,700,000) | (14,232,583) |
2.5% 6/1/37 | (20,850,000) | (20,187,030) |
2.5% 6/1/37 | (23,350,000) | (22,607,538) |
2.5% 6/1/52 | (187,000,000) | (172,083,683) |
2.5% 6/1/52 | (22,400,000) | (20,613,233) |
2.5% 6/1/52 | (32,800,000) | (30,183,662) |
2.5% 6/1/52 | (4,500,000) | (4,141,051) |
2.5% 6/1/52 | (61,050,000) | (56,180,261) |
2.5% 6/1/52 | (7,200,000) | (6,625,682) |
2.5% 6/1/52 | (78,000,000) | (71,778,221) |
2.5% 6/1/52 | (9,200,000) | (8,466,149) |
2.5% 6/1/52 | (10,900,000) | (10,030,546) |
2.5% 6/1/52 | (2,700,000) | (2,484,631) |
2.5% 6/1/52 | (13,100,000) | (12,055,060) |
3.5% 6/1/52 | (4,600,000) | (4,509,797) |
3.5% 6/1/52 | (18,900,000) | (18,529,382) |
3.5% 6/1/52 | (3,900,000) | (3,823,523) |
3.5% 6/1/52 | (10,800,000) | (10,588,218) |
3.5% 6/1/52 | (20,850,000) | (20,441,144) |
3.5% 6/1/52 | (5,400,000) | (5,294,109) |
3.5% 6/1/52 | (81,300,000) | (79,705,756) |
3.5% 6/1/52 | (2,500,000) | (2,450,977) |
3.5% 6/1/52 | (2,500,000) | (2,450,977) |
3.5% 6/1/52 | (1,300,000) | (1,274,508) |
3.5% 6/1/52 | (6,000,000) | (5,882,344) |
3.5% 6/1/52 | (23,900,000) | (23,431,335) |
3.5% 6/1/52 | (5,000,000) | (4,901,953) |
3.5% 7/1/52 | (20,850,000) | (20,397,163) |
4% 6/1/52 | (75,000,000) | (75,029,318) |
4% 6/1/52 | (13,200,000) | (13,205,160) |
4.5% 6/1/52 | (10,700,000) | (10,888,089) |
4.5% 6/1/52 | (78,900,000) | (80,286,936) |
4.5% 6/1/52 | (9,900,000) | (10,074,026) |
TOTAL UNIFORM MORTGAGE BACKED SECURITIES | (1,180,035,225) | |
TOTAL TBA SALE COMMITMENTS | ||
(Proceeds $1,718,145,551) | $(1,726,518,206) |
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) | 21 | June 2022 | $1,841,904 | $(154,147) | $(154,147) |
Eurex Euro-Bund Contracts (Germany) | 27 | June 2022 | 4,393,385 | (119,389) | (119,389) |
Eurex Euro-Buxl 30 Year Bond Contracts (Germany) | 2 | June 2022 | 348,260 | (22,748) | (22,748) |
TME 10 Year Canadian Note Contracts (Canada) | 94 | Sept. 2022 | 9,439,016 | (93,953) | (93,953) |
TOTAL BOND INDEX CONTRACTS | (390,237) | ||||
Treasury Contracts | |||||
CBOT 10-Year U.S. Treasury Note Contracts (United States) | 1,094 | Sept. 2022 | 130,681,719 | (302,256) | (302,256) |
CBOT 2-Year U.S. Treasury Note Contracts (United States) | 135 | Sept. 2022 | 28,498,711 | (20,214) | (20,214) |
CBOT 5-Year U.S. Treasury Note Contracts (United States) | 290 | Sept. 2022 | 32,756,406 | (63,389) | (63,389) |
CBOT Ultra 10-Year U.S. Treasury Note Contracts (United States) | 122 | Sept. 2022 | 15,675,094 | (116,728) | (116,728) |
CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States) | 100 | Sept. 2022 | 15,575,000 | (226,790) | (226,790) |
TOTAL TREASURY CONTRACTS | (729,377) | ||||
TOTAL PURCHASED | (1,119,614) | ||||
Sold | |||||
Bond Index Contracts | |||||
Eurex Euro-Bobl Contracts (Germany) | 154 | June 2022 | 20,912,174 | 650,343 | 650,343 |
ICE Long Gilt Contracts (United Kingdom) | 87 | Sept. 2022 | 12,713,640 | 239,916 | 239,916 |
TOTAL BOND INDEX CONTRACTS | 890,259 | ||||
Treasury Contracts | |||||
CBOT 10-Year U.S. Treasury Note Contracts (United States) | 10 | Sept. 2022 | 1,194,531 | 5,448 | 5,448 |
CBOT 2-Year U.S. Treasury Note Contracts (United States) | 190 | Sept. 2022 | 40,109,297 | 18,068 | 18,068 |
CBOT 5-Year U.S. Treasury Note Contracts (United States) | 595 | Sept. 2022 | 67,207,109 | 133,610 | 133,610 |
CBOT Long Term U.S. Treasury Bond Contracts (United States) | 2,538 | Sept. 2022 | 353,892,375 | 3,821,010 | 3,821,010 |
TOTAL TREASURY CONTRACTS | 3,978,136 | ||||
TOTAL SOLD | 4,868,395 | ||||
TOTAL FUTURES CONTRACTS | $3,748,781 |
The notional amount of futures purchased as a percentage of Net Assets is 0.4%
The notional amount of futures sold as a percentage of Net Assets is 0.9%
Forward Foreign Currency Contracts | ||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation/(Depreciation) | ||
CAD | 135,000 | USD | 105,651 | Goldman Sachs Bank USA | 8/5/22 | $1,044 |
EUR | 296,000 | USD | 309,615 | BNP Paribas | 8/5/22 | 9,268 |
EUR | 196,000 | USD | 209,450 | BNP Paribas | 8/5/22 | 1,703 |
EUR | 644,000 | USD | 698,802 | Goldman Sachs Bank USA | 8/5/22 | 985 |
EUR | 780,000 | USD | 825,860 | Royal Bank Of Canada | 8/5/22 | 14,441 |
GBP | 179,000 | USD | 223,668 | JPMorgan Chase Bank, N.A. | 8/5/22 | 1,999 |
USD | 194,398 | AUD | 278,000 | State Street Bank And Trust Co | 8/5/22 | (5,289) |
USD | 316,896 | CAD | 411,000 | State Street Bank And Trust Co | 8/5/22 | (7,930) |
USD | 141,129,066 | EUR | 133,385,000 | BNP Paribas | 8/5/22 | (2,567,838) |
USD | 330,588 | EUR | 317,000 | BNP Paribas | 8/5/22 | (10,919) |
USD | 165,037 | EUR | 158,000 | BNP Paribas | 8/5/22 | (5,178) |
USD | 1,804,195 | EUR | 1,704,000 | BNP Paribas | 8/5/22 | (31,540) |
USD | 181,153 | EUR | 171,000 | JPMorgan Chase Bank, N.A. | 8/5/22 | (3,066) |
USD | 3,614,773 | EUR | 3,411,000 | JPMorgan Chase Bank, N.A. | 8/5/22 | (59,929) |
USD | 56,793,784 | GBP | 46,072,000 | JPMorgan Chase Bank, N.A. | 8/5/22 | (1,289,500) |
USD | 1,361,170 | GBP | 1,104,000 | JPMorgan Chase Bank, N.A. | 8/5/22 | (30,650) |
USD | 158,217 | GBP | 125,000 | Royal Bank Of Canada | 8/5/22 | 629 |
USD | 175,112 | GBP | 143,000 | State Street Bank And Trust Co | 8/5/22 | (5,170) |
TOTAL FORWARD FOREIGN CURRENCY CONTRACTS | $(3,986,940) | |||||
Unrealized Appreciation | 30,069 | |||||
Unrealized Depreciation | (4,017,009) |
For the period, the average contract value for forward foreign currency contracts was $222,951,578. Contract value represents contract amount in United States dollars plus or minus unrealized appreciation or depreciation, respectively
Swaps
Underlying Reference | Maturity Date | Clearinghouse / Counterparty | Fixed Payment Received/(Paid) | Payment Frequency | Notional Amount | Value | Upfront Premium Received/(Paid) | Unrealized Appreciation/(Depreciation) |
Credit Default Swaps | ||||||||
Buy Protection | ||||||||
CMBX N.A. AAA Index Series 13 | Dec. 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | $7,810,000 | $70,128 | $(19,144) | $50,984 |
CMBX N.A. AAA Index Series 13 | Dec. 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 9,790,000 | 87,906 | (33,611) | 54,295 |
CMBX N.A. AAA Index Series 13 | Dec. 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 8,230,000 | 73,899 | (25,448) | 48,451 |
CMBX N.A. AAA Index Series 13 | Dec. 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 10,240,000 | 91,947 | 9,644 | 101,591 |
CMBX N.A. AAA Index Series 13 | Dec. 2072 | Goldman Sachs & Co. LLC | (0.5%) | Monthly | 14,210,000 | 127,594 | (21,414) | 106,180 |
CMBX N.A. AAA Index Series 13 | Dec. 2072 | Goldman Sachs & Co. LLC | (0.5%) | Monthly | 10,290,000 | 92,396 | (48,033) | 44,363 |
CMBX N.A. AAA Index Series 13 | Dec. 2072 | JPMorgan Securities LLC | (0.5%) | Monthly | 3,530,000 | 31,697 | (20,552) | 11,145 |
CMBX N.A. AAA Index Series 13 | Dec. 2072 | JPMorgan Securities LLC | (0.5%) | Monthly | 7,890,000 | 70,846 | (31,855) | 38,991 |
CMBX N.A. AAA Index Series 13 | Dec. 2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 2,100,000 | 18,856 | (11,436) | 7,420 |
CMBX N.A. AAA Index Series 13 | Dec. 2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 15,830,000 | 142,141 | (112,116) | 30,025 |
Intesa Sanpaolo SpA | Dec. 2026 | JPMorgan Chase Bank, N.A. | (1%) | Quarterly | EUR 2,700,000 | 7,116 | 63,598 | 70,714 |
TOTAL CREDIT DEFAULT SWAPS | $814,526 | $(250,367) | $564,159 | |||||
Swaps
Payment Received | Payment Frequency | Payment Paid | Payment Frequency | Clearinghouse / Counterparty(1) | Maturity Date | Notional Amount | Value | Upfront Premium Received/(Paid)(2) | Unrealized Appreciation/(Depreciation) |
Interest Rate Swaps | |||||||||
1.75% | Annual | U.S. Secured Overnight Fin. Rate (SOFR) Indx(3) | Annual | LCH | Jun. 2024 | $53,469,000 | $(826,821) | $0 | $(826,821) |
1.75% | Annual | U.S. Secured Overnight Fin. Rate (SOFR) Indx(3) | Annual | LCH | Jun. 2027 | 33,071,000 | (1,208,317) | 0 | (1,208,317) |
1.75% | Annual | U.S. Secured Overnight Fin. Rate (SOFR) Indx(3) | Annual | LCH | Jun. 2029 | 14,092,000 | (704,050) | 0 | (704,050) |
1.75% | Annual | U.S. Secured Overnight Fin. Rate (SOFR) Indx(3) | Annual | LCH | Jun. 2052 | 3,082,000 | (464,903) | 0 | (464,903) |
TOTAL INTEREST RATE SWAPS | $(3,204,091) | $0 | $(3,204,091) | ||||||
(1) Swaps with LCH Clearnet Group (LCH) are centrally cleared over-the-counter (OTC) swaps.
(2) Any premiums for centrally cleared over-the-counter (OTC) swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation).
(3) Represents floating rate.
Currency Abbreviations
AUD – Australian dollar
CAD – Canadian dollar
EUR – European Monetary Unit
GBP – British pound
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 $3,504,041,608 or 7.3% of net assets.
(c) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(d) 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.
(e) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
(f) Security is perpetual in nature with no stated maturity date.
(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 $14,415,884.
(h) Security or a portion of the security has been segregated as collateral for open forward foreign currency contracts, options and bi-lateral over-the-counter (OTC) swaps. At period end, the value of securities pledged amounted to $4,083,535.
(i) Security or a portion of the security was pledged to cover margin requirements for centrally cleared OTC swaps. At period end, the value of securities pledged amounted to $2,109,326.
(j) Security or a portion of the security purchased on a delayed delivery or when-issued basis.
(k) Level 3 security
(l) 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.
(m) 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.
(n) Principal Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans.
(o) 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.
(p) Non-income producing
(q) 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.
(r) The coupon rate will be determined upon settlement of the loan after period end.
(s) Affiliated Fund
(t) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.
(u) The rate quoted is the annualized seven-day yield of the fund at period end.
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
Fund | 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 0.82% | $2,065,023,730 | $8,914,154,189 | $8,891,294,506 | $2,960,739 | $-- | $-- | $2,087,883,413 | 3.9% |
Total | $2,065,023,730 | $8,914,154,189 | $8,891,294,506 | $2,960,739 | $-- | $-- | $2,087,883,413 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations, if applicable.
Affiliated Underlying Funds
Fiscal year to date information regarding the Fund's investments in affiliated Underlying Funds is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur, and are excluded from purchases and sales below if applicable. If an underlying Fund changes its name, the name presented below is the name in effect at period end.
Fund | Value, beginning of period | Purchases(a) | Sales Proceeds(a) | Dividend Income | Realized Gain (loss) | Change in Unrealized appreciation (depreciation) | Value, end of period |
Fidelity Advisor Corporate Bond Fund Class Z | $-- | $1,214,316,926 | $-- | $39,324,308 | $-- | $(211,472,576) | $1,962,450,369 |
Fidelity Advisor Floating Rate High Income Fund Class Z | -- | 355,723,846 | 50,004,196 | 30,719,955 | (375,138) | (30,983,759) | 1,161,511,158 |
Fidelity Advisor Global Credit Fund Class Z | -- | 712,293 | -- | 712,293 | -- | (3,285,125) | 27,309,796 |
Fidelity Advisor Government Income Fund Class Z | -- | 628,278,113 | 100,002,643 | 3,275,485 | (3,431,705) | (38,810,668) | 486,033,097 |
Fidelity Advisor High Income Fund Class Z | -- | 37,070,547 | 387,739,970 | 12,185,948 | (1,437,616) | -- | -- |
Fidelity Advisor New Markets Income Fund Class Z | -- | 511,281,878 | 75,008,406 | 36,274,002 | (5,315,945) | (185,116,659) | 1,136,460,210 |
Fidelity Advisor Real Estate Income Fund Class I | 646,246,691 | 49,903 | -- | 49,903 | -- | (71,882,750) | -- |
Fidelity Advisor Real Estate Income Fund Class Z | -- | 316,968,883 | 75,000,000 | 11,968,884 | (2,364,488) | 58,198,461 | 872,216,700 |
Fidelity Corporate Bond Fund | 828,101,099 | 154,935,371 | -- | 3,935,371 | -- | (23,430,451) | -- |
Fidelity Floating Rate High Income Fund | 792,379,385 | 104,706,150 | -- | 4,706,150 | -- | (9,935,130) | -- |
Fidelity Global Credit Fund | 30,723,536 | 113,325 | -- | 113,325 | -- | (954,233) | -- |
Fidelity High Income Fund | 292,575,915 | 77,332,952 | -- | 2,332,952 | -- | (17,801,828) | -- |
Fidelity Inflation-Protected Bond Index Fund | 749,815,600 | 166,578,131 | 530,000,000 | 41,578,131 | (10,124,638) | (29,453,916) | 346,815,177 |
Fidelity Intermediate Bond Fund | 548,937,405 | 764,374,054 | -- | 14,378,479 | -- | (80,670,932) | 1,232,640,527 |
Fidelity Investments Money Market Government Portfolio Institutional Class 0.64% | 1,590,674,573 | 11,188,078,578 | 12,495,846,980 | 407,689 | -- | -- | 282,906,171 |
Fidelity New Markets Income Fund | 711,717,114 | 180,052,864 | -- | 5,052,864 | -- | (1,150,636) | -- |
Fidelity SAI High Income Fund | -- | 466,000,541 | -- | 3,260,737 | -- | (16,623,560) | 449,376,981 |
Fidelity SAI Long-Term Treasury Bond Index Fund | 1,166,946,960 | 2,837,515,332 | 1,650,000,000 | 37,377,890 | (53,972,293) | (297,170,127) | 2,003,319,872 |
Fidelity SAI Total Bond Fund | 10,738,130,397 | 3,376,327,755 | -- | 376,336,928 | -- | (1,377,414,291) | 12,737,043,861 |
Fidelity SAI U.S. Treasury Bond Index Fund | 2,358,068,459 | 3,154,633,990 | 1,912,404,939 | 35,829,856 | (85,643,804) | (203,477,613) | 3,311,176,093 |
Fidelity Sustainability Bond Index Fund | 25,317,551 | 381,628 | -- | 381,635 | -- | (2,438,335) | 23,260,844 |
Fidelity U.S. Bond Index Fund | 1,030,314,170 | 1,812,956,125 | 700,634,182 | 37,322,172 | (26,827,031) | (181,944,241) | 1,933,864,841 |
$21,509,948,855 | $27,348,389,185 | $17,976,641,316 | $697,524,957 | $(189,492,658) | $(2,725,818,369) | $27,966,385,697 |
(a) Includes the value of shares purchased or redeemed through in-kind transactions, if applicable.
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations, if applicable.
Investment Valuation
The following is a summary of the inputs used, as of May 31, 2022, 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: | ||||
Energy | $310,505 | $-- | $-- | $310,505 |
Corporate Bonds | 4,885,167,642 | -- | 4,885,167,642 | -- |
U.S. Government and Government Agency Obligations | 4,587,459,816 | -- | 4,587,459,816 | -- |
U.S. Government Agency - Mortgage Securities | 10,250,456,786 | -- | 10,250,456,786 | -- |
Asset-Backed Securities | 977,040,528 | -- | 977,040,528 | -- |
Collateralized Mortgage Obligations | 402,097,997 | -- | 402,097,941 | 56 |
Commercial Mortgage Securities | 1,752,412,894 | -- | 1,752,412,894 | -- |
Municipal Securities | 49,005,021 | -- | 49,005,021 | -- |
Foreign Government and Government Agency Obligations | 55,939,367 | -- | 55,939,367 | -- |
Bank Loan Obligations | 367,771 | -- | 367,771 | -- |
Bank Notes | 8,535,838 | -- | 8,535,838 | -- |
Fixed-Income Funds | 27,683,479,526 | 27,683,479,526 | -- | -- |
Preferred Securities | 111,606,508 | -- | 111,606,508 | -- |
Money Market Funds | 2,370,789,584 | 2,370,789,584 | -- | -- |
Purchased Swaptions | 41,501 | -- | 41,501 | -- |
Total Investments in Securities: | $53,134,711,284 | $30,054,269,110 | $23,080,131,613 | $310,561 |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $4,868,395 | $4,868,395 | $-- | $-- |
Forward Foreign Currency Contracts | 30,069 | -- | 30,069 | -- |
Swaps | 814,526 | -- | 814,526 | -- |
Total Assets | $5,712,990 | $4,868,395 | $844,595 | $-- |
Liabilities | ||||
Futures Contracts | $(1,119,614) | $(1,119,614) | $-- | $-- |
Forward Foreign Currency Contracts | ( 4,017,009) | -- | ( 4,017,009) | -- |
Swaps | (3,204,091) | -- | (3,204,091) | -- |
Total Liabilities | $(8,340,714) | $(1,119,614) | $(7,221,100) | $-- |
Total Derivative Instruments: | $(2,627,724) | $3,748,781 | $(6,376,505) | $-- |
Other Financial Instruments: | ||||
TBA Sale Commitments | $(1,726,518,206) | $-- | $(1,726,518,206) | $-- |
Total Other Financial Instruments: | $(1,726,518,206) | $-- | $(1,726,518,206) | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of May 31, 2022. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
Primary Risk Exposure / Derivative Type | Value | |
Asset | Liability | |
Credit Risk | ||
Purchased Swaptions(a) | $41,501 | $0 |
Swaps(b) | 814,526 | 0 |
Total Credit Risk | 856,027 | 0 |
Foreign Exchange Risk | ||
Forward Foreign Currency Contracts(c) | 30,069 | (4,017,009) |
Total Foreign Exchange Risk | 30,069 | (4,017,009) |
Interest Rate Risk | ||
Futures Contracts(d) | 4,868,395 | (1,119,614) |
Swaps(e) | 0 | (3,204,091) |
Total Interest Rate Risk | 4,868,395 | (4,323,705) |
Total Value of Derivatives | $5,754,491 | $(8,340,714) |
(a) Gross value is included in the Statement of Assets and Liabilities in the investments in securities, at value line-item.
(b) For bi-lateral over-the-counter (OTC) swaps, reflects gross value which is presented in the Statement of Assets and Liabilities in the bi-lateral OTC swaps, at value line-items.
(c) Gross value is presented in the Statement of Assets and Liabilities in the unrealized appreciation/depreciation on forward foreign currency contracts line-items.
(d) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).
(e) For centrally cleared over-the-counter (OTC) swaps, reflects gross cumulative appreciation (depreciation) as presented in the Consolidated Schedule of Investments. In the Consolidated Statement of Assets and Liabilities, the period end daily variation margin for centrally cleared OTC swaps is included in receivable or payable for daily variation margin on centrally cleared OTC swaps, and the net cumulative appreciation (depreciation) for centrally cleared OTC swaps is included in Total accumulated earnings (loss).
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
May 31, 2022 | ||
Assets | ||
Investment in securities, at value — See accompanying schedule: Unaffiliated issuers (cost $24,282,689,241) | $23,080,442,174 | |
Fidelity Central Funds (cost $2,087,883,374) | 2,087,883,413 | |
Other affiliated issuers (cost $30,448,474,407) | 27,966,385,697 | |
Total Investment in Securities (cost $56,819,047,022) | $53,134,711,284 | |
Cash | 81,173 | |
Foreign currency held at value (cost $1,220,220) | 1,236,988 | |
Receivable for investments sold | 2,077,499 | |
Receivable for TBA sale commitments | 1,718,145,551 | |
Unrealized appreciation on forward foreign currency contracts | 30,069 | |
Receivable for fund shares sold | 56,953,479 | |
Dividends receivable | 56,960,749 | |
Interest receivable | 89,121,283 | |
Distributions receivable from Fidelity Central Funds | 1,267,785 | |
Receivable for daily variation margin on futures contracts | 3,148,656 | |
Receivable for daily variation margin on centrally cleared OTC swaps | 372,462 | |
Bi-lateral OTC swaps, at value | 814,526 | |
Prepaid expenses | 114,079 | |
Other receivables | 4,096 | |
Total assets | 55,065,039,679 | |
Liabilities | ||
Payable for investments purchased | ||
Regular delivery | $190,565,646 | |
Delayed delivery | 5,213,789,470 | |
TBA sale commitments, at value | 1,726,518,206 | |
Unrealized depreciation on forward foreign currency contracts | 4,017,009 | |
Payable for fund shares redeemed | 34,116,548 | |
Distributions payable | 1,732,087 | |
Accrued management fee | 1,635,664 | |
Other payables and accrued expenses | 1,650,830 | |
Total liabilities | 7,174,025,460 | |
Net Assets | $47,891,014,219 | |
Net Assets consist of: | ||
Paid in capital | $52,040,435,507 | |
Total accumulated earnings (loss) | (4,149,421,288) | |
Net Assets | $47,891,014,219 | |
Net Asset Value, offering price and redemption price per share ($47,891,014,219 ÷ 4,987,922,764 shares) | $9.60 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Year ended May 31, 2022 | ||
Investment Income | ||
Dividends: | ||
Unaffiliated issuers | $3,714,587 | |
Affiliated issuers | 603,335,308 | |
Interest | 347,011,960 | |
Income from Fidelity Central Funds | 2,960,739 | |
Total income | 957,022,594 | |
Expenses | ||
Management fee | $126,879,764 | |
Custodian fees and expenses | 318,233 | |
Independent trustees' fees and expenses | 281,508 | |
Registration fees | 2,573,989 | |
Audit | 82,364 | |
Legal | 64,783 | |
Miscellaneous | 231,210 | |
Total expenses before reductions | 130,431,851 | |
Expense reductions | (109,413,354) | |
Total expenses after reductions | 21,018,497 | |
Net investment income (loss) | 936,004,097 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | (281,418,811) | |
Affiliated issuers | (189,492,658) | |
Forward foreign currency contracts | 24,392,054 | |
Foreign currency transactions | (400,673) | |
Futures contracts | 26,532,195 | |
Swaps | (2,500,259) | |
Written options | (1,117,915) | |
Capital gain distributions from underlying funds: | ||
Affiliated issuers | 94,189,649 | |
Total net realized gain (loss) | (329,816,418) | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers | (1,603,668,107) | |
Affiliated issuers | (2,725,818,369) | |
Forward foreign currency contracts | (3,986,940) | |
Assets and liabilities in foreign currencies | (94,452) | |
Futures contracts | 2,770,885 | |
Swaps | (3,398,829) | |
Written options | 1,915,061 | |
TBA sale commitments | (7,859,761) | |
Total change in net unrealized appreciation (depreciation) | (4,340,140,512) | |
Net gain (loss) | (4,669,956,930) | |
Net increase (decrease) in net assets resulting from operations | $(3,733,952,833) |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Year ended May 31, 2022 | Year ended May 31, 2021 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $936,004,097 | $636,999,362 |
Net realized gain (loss) | (329,816,418) | 445,887,103 |
Change in net unrealized appreciation (depreciation) | (4,340,140,512) | (319,072,971) |
Net increase (decrease) in net assets resulting from operations | (3,733,952,833) | 763,813,494 |
Distributions to shareholders | (979,531,888) | (1,837,657,639) |
Share transactions | ||
Proceeds from sales of shares | 25,793,224,401 | 15,795,273,550 |
Reinvestment of distributions | 966,120,654 | 1,814,939,433 |
Cost of shares redeemed | (10,110,382,903) | (5,355,146,752) |
Net increase (decrease) in net assets resulting from share transactions | 16,648,962,152 | 12,255,066,231 |
Total increase (decrease) in net assets | 11,935,477,431 | 11,181,222,086 |
Net Assets | ||
Beginning of period | 35,955,536,788 | 24,774,314,702 |
End of period | $47,891,014,219 | $35,955,536,788 |
Other Information | ||
Shares | ||
Sold | 2,488,475,540 | 1,448,161,531 |
Issued in reinvestment of distributions | 93,428,870 | 166,996,807 |
Redeemed | (985,283,953) | (487,179,030) |
Net increase (decrease) | 1,596,620,457 | 1,127,979,308 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Strategic Advisers Fidelity Core Income Fund
Years ended May 31, | 2022 | 2021 | 2020 | 2019 A |
Selected Per–Share Data | ||||
Net asset value, beginning of period | $10.60 | $10.95 | $10.47 | $10.00 |
Income from Investment Operations | ||||
Net investment income (loss)B,C | .222 | .239 | .302 | .209 |
Net realized and unrealized gain (loss) | (.993) | .106 | .613 | .445 |
Total from investment operations | (.771) | .345 | .915 | .654 |
Distributions from net investment income | (.223) | (.245) | (.299) | (.182) |
Distributions from net realized gain | (.006) | (.450) | (.136) | (.002) |
Total distributions | (.229) | (.695) | (.435) | (.184) |
Net asset value, end of period | $9.60 | $10.60 | $10.95 | $10.47 |
Total ReturnD,E | (7.41)% | 3.10% | 8.94% | 6.60% |
Ratios to Average Net AssetsC,F,G | ||||
Expenses before reductions | .30% | .31% | .32% | .37%H |
Expenses net of fee waivers, if any | .05% | .06% | .07% | .12%H |
Expenses net of all reductions | .05% | .06% | .07% | .12%H |
Net investment income (loss) | 2.14% | 2.18% | 2.83% | 3.30%H |
Supplemental Data | ||||
Net assets, end of period (000 omitted) | $47,891,014 | $35,955,537 | $24,774,315 | $16,953,257 |
Portfolio turnover rateI | 201% | 191% | 247% | 124%H,J |
A For the period October 16, 2018 (commencement of operations) through May 31, 2019.
B Calculated based on average shares outstanding during the period.
C Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any such underlying funds is not included in the Fund's net investment income (loss) ratio.
D Total returns for periods of less than one year are not annualized.
E Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
F Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
H Annualized
I Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
J Portfolio turnover rate excludes securities received or delivered in-kind.
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements
For the period ended May 31, 2022
1. Organization.
Strategic Advisers Fidelity Core Income Fund (the Fund) is a fund of Fidelity Rutland Square Trust II (the Trust), and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust. The Fund is offered exclusively to certain managed account clients of Strategic Advisers LLC (Strategic Advisers), an affiliate of Fidelity Management & Research Company LLC (FMR).
2. Significant Accounting Policies.
The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
- Level 1 – 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 vendors or from brokers who make markets in such securities. Corporate bonds, bank notes, bank loan obligations, foreign government and government agency obligations, municipal securities, preferred securities and U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities are valued by pricing vendors who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Swaps are marked-to-market daily based on valuations from third party pricing vendors, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. 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 vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For 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 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 vendor or broker-supplied valuations and are categorized as Level 2 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of May 31, 2022 is included at the end of the Fund's Schedule of Investments.
Foreign Currency. Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received, and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Realized gains and losses on foreign currency transactions arise from the disposition of foreign currency, realized changes in the value of foreign currency between the trade and settlement dates on security transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on transaction date and the U.S. dollar equivalent of the amounts actually received or paid. Unrealized gains and losses on assets and liabilities in foreign currencies arise from changes in the value of foreign currency, and from assets and liabilities denominated in foreign currencies, other than investments, which are held at period end.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of a fund include an amount in addition to trade execution, which may be rebated back to a fund. Any such rebates are included in net realized gain (loss) on investments in the Statement of Operations. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Income and capital gain distributions from any underlying mutual funds or exchange-traded funds (ETFs) are recorded on the ex-dividend date. Certain distributions received by the Fund represent a return of capital or capital gain. The Fund determines the components of these distributions subsequent to the ex-dividend date, based upon receipt of tax filings or other correspondence relating to the underlying investment. These distributions are recorded as a reduction of cost of investments and/or as a realized gain. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan) for certain Funds, certain independent Trustees have elected to defer receipt of a portion of their annual compensation. Deferred amounts are invested in affiliated mutual funds, are marked-to-market and remain in a fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees presented below are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, as applicable.
Strategic Advisers Fidelity Core Income Fund | $2,355 |
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of May 31, 2022, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.
Distributions are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to the short-term gain distributions from the underlying mutual funds or exchange-traded funds (ETFs), futures contracts, foreign currency transactions, swaps, market discount, deferred Trustee compensation, capital loss carryforwards and losses deferred due to wash sales, future contracts, and excise tax regulations.
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
Gross unrealized appreciation | $277,349,245 |
Gross unrealized depreciation | (4,031,728,983) |
Net unrealized appreciation (depreciation) | $(3,754,379,738) |
Tax Cost | $56,878,080,702 |
The tax-based components of distributable earnings as of period end were as follows:
Capital loss carryforward | $(389,500,709) |
Net unrealized appreciation (depreciation) on securities and other investments | $(3,756,884,859) |
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 | $(389,500,709) |
Total capital loss carryforward | $(389,500,709) |
The tax character of distributions paid was as follows:
May 31, 2022 | May 31, 2021 | |
Ordinary Income | $979,531,888 | $ 1,226,101,021 |
Long-term Capital Gains | – | 611,556,618 |
Total | $979,531,888 | $ 1,837,657,639 |
Delayed Delivery Transactions and When-Issued Securities. During the period, certain Funds transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. Securities purchased on a delayed delivery or when-issued basis are identified as such in the Schedule of Investments. Compensation for interest forgone in the purchase of a delayed delivery or when-issued debt security may be received. With respect to purchase commitments, each applicable Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Payables and receivables associated with the purchases and sales of delayed delivery securities having the same coupon, settlement date and broker are offset. Delayed delivery or when-issued securities that have been purchased from and sold to different brokers are reflected as both payables and receivables in the Statement of Assets and Liabilities under the caption "Delayed delivery", as applicable. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
To-Be-Announced (TBA) Securities and Mortgage Dollar Rolls. TBA securities involve buying or selling mortgage-backed securities (MBS) on a forward commitment basis. A TBA transaction typically does not designate the actual security to be delivered and only includes an approximate principal amount; however delivered securities must meet specified terms defined by industry guidelines, including issuer, rate and current principal amount outstanding on underlying mortgage pools. Funds may enter into a TBA transaction with the intent to take possession of or deliver the underlying MBS, or a fund may elect to extend the settlement by entering into either a mortgage or reverse mortgage dollar roll. Mortgage dollar rolls are transactions where a fund sells TBA securities and simultaneously agrees to repurchase MBS on a later date at a lower price and with the same counterparty. Reverse mortgage dollar rolls involve the purchase and simultaneous agreement to sell TBA securities on a later date at a lower price. Transactions in mortgage dollar rolls and reverse mortgage dollar rolls are accounted for as purchases and sales and may result in an increase to a fund's portfolio turnover rate.
Purchases and sales of TBA securities involve risks similar to those discussed above for delayed delivery and when-issued securities. Also, if the counterparty in a mortgage dollar roll or a reverse mortgage dollar roll transaction files for bankruptcy or becomes insolvent, a fund's right to repurchase or sell securities may be limited. Additionally, when a fund sells TBA securities without already owning or having the right to obtain the deliverable securities (an uncovered forward commitment to sell), it incurs a risk of loss because it could have to purchase the securities at a price that is higher than the price at which it sold them. A fund may be unable to purchase the deliverable securities if the corresponding market is illiquid.
TBA securities subject to a forward commitment to sell at period end are included at the end of the Schedule of Investments under the caption "TBA Sale Commitments." The proceeds and value of these commitments are reflected in the Statement of Assets and Liabilities as "Receivable for TBA sale commitments" and "TBA sale commitments, at value," respectively.
Restricted Securities (including Private Placements). Funds may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities held at period end is included at the end of the Schedule of Investments, if applicable.
Loans and Other Direct Debt Instruments. Direct debt instruments are interests in amounts owed to lenders by corporate or other borrowers. These instruments may be in the form of loans, trade claims or other receivables and may include standby financing commitments such as revolving credit facilities that obligate a fund to supply additional cash to the borrower on demand. Loans may be acquired through assignment, participation, or may be made directly to a borrower. Such instruments are presented in the Bank Loan Obligations section in the Schedule of Investments. Certain funds may also invest in unfunded loan commitments, which are contractual obligations for future funding. Information regarding unfunded commitments is included at the end of the Schedule of Investments, if applicable.
3. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund's investment objective allows the Fund to enter into various types of derivative contracts, 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.
The Fund used derivatives 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 Fund may not achieve its objectives.
The Fund's use of derivatives increased or decreased its exposure to the following risks:
Credit Risk | Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to the Fund. |
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. |
The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives such as forward foreign currency contracts, options and bi-lateral swaps, the Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives the Fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, the Fund receives collateral in the form of cash or securities once the Fund's net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the counterparty and the Fund's custodian bank. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund. For OTC written options with upfront premiums received, the Fund is obligated to perform and therefore does not have counterparty risk. For OTC written options with premiums to be received at a future date, the maximum risk of loss from counterparty credit risk is the amount of the premium in excess of any collateral pledged by the counterparty. The Fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments. Exchange-traded futures contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to exchange-traded futures contracts may be mitigated by the protection provided by the exchange on which they trade. Counterparty credit risk related to centrally cleared OTC swaps may be mitigated by the protection provided by the clearinghouse.
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.
Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives. The table below, which reflects the impacts of derivatives on the financial performance of the Fund, summarizes the net realized gain (loss) and change in net unrealized appreciation (depreciation) for derivatives during the period as presented in the Statement of Operations.
Primary Risk Exposure / Derivative Type | Net Realized Gain (Loss) | Change in Net Unrealized Appreciation (Depreciation) |
Credit Risk | ||
Purchased Options | $378,403 | $(302,511) |
Swaps | 472,155 | 459,226 |
Total Credit Risk | 850,558 | 156,715 |
Foreign Exchange Risk | ||
Forward Foreign Currency Contracts | 24,392,054 | (3,986,940) |
Total Foreign Exchange Risk | 24,392,054 | (3,986,940) |
Interest Rate Risk | ||
Futures Contracts | 26,532,195 | 2,770,885 |
Purchased Options | (84,094) | (598,456) |
Swaps | (2,972,414) | (3,858,055) |
Written Options | (1,117,915) | 1,915,061 |
Total Interest Rate Risk | 22,357,772 | 229,435 |
Totals | $47,600,384 | $(3,600,790) |
A summary of the value of derivatives by primary risk exposure as of period end is included at the end of the Schedule of Investments.
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. The Fund used forward foreign currency contracts 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 the Statement of Assets and Liabilities. When the contract is closed, the Fund realizes a gain or loss 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.
Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. The Fund used futures contracts to manage its exposure to the bond market and fluctuations in interest rates.
Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments (variation margin) are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is presented in the Statement of Operations.
Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The notional amount at value reflects each contract's exposure to the underlying instrument or index at period end and is representative of volume of activity during the period. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.
Options. Options give the purchaser the right, but not the obligation, to buy (call) or sell (put) an underlying security or financial instrument at an agreed exercise or strike price between or on certain dates. Options obligate the seller (writer) to buy (put) or sell (call) an underlying instrument at the exercise or strike price or cash settle an underlying derivative instrument if the holder exercises the option on or before the expiration date. The Fund uses OTC options, such as swaptions, which are options where the underlying instrument is a swap, to manage its exposure to fluctuations in interest rates.
Upon entering into an options contract, a fund will pay or receive a premium. Premiums paid on purchased options are reflected as cost of investments and premiums received on written options are reflected as a liability on the Statement of Assets and Liabilities. Certain options may be purchased or written with premiums to be paid or received on a future date. Options are valued daily and any unrealized appreciation (depreciation) is reflected on the Statement of Assets and Liabilities. When an option is exercised, the cost or proceeds of the underlying instrument purchased or sold is adjusted by the amount of the premium. When an option is closed the Fund will realize a gain or loss depending on whether the proceeds or amount paid for the closing sale transaction is greater or less than the premium received or paid. When an option expires, gains and losses are realized to the extent of premiums received and paid, respectively. The net realized and unrealized gains (losses) on purchased options are included in the Statement of Operations in net realized gain (loss) and change in net unrealized appreciation (depreciation) on investment securities. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on written options are presented in the Statement of Operations.
Any open options at period end are presented in the Schedule of Investments under the captions "Purchased Options," "Purchased Swaptions," "Written Options" and "Written Swaptions," as applicable, and are representative of volume of activity during the period.
Writing puts and buying calls tend to increase exposure to the underlying instrument while buying puts and writing calls tend to decrease exposure to the underlying instrument. For purchased options, risk of loss is limited to the premium paid, and for written options, risk of loss is the change in value in excess of the premium received.
Swaps. A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. A bi-lateral OTC swap is a transaction between a fund and a dealer counterparty where cash flows are exchanged between the two parties for the life of the swap. A centrally cleared OTC swap is a transaction executed between a fund and a dealer counterparty, then cleared by a futures commission merchant (FCM) through a clearinghouse. Once cleared, the clearinghouse serves as a central counterparty, with whom a fund exchanges cash flows for the life of the transaction, similar to transactions in futures contracts.
Bi-lateral OTC swaps are marked-to-market daily and changes in value are reflected in the Statement of Assets and Liabilities in the bi-lateral OTC swaps at value line items. Any upfront premiums paid or received upon entering a bi-lateral OTC swap to compensate for differences between stated terms of the swap and prevailing market conditions (e.g. credit spreads, interest rates or other factors) are recorded in net unrealized appreciation (depreciation) in the Statement of Assets and Liabilities and amortized to realized gain or (loss) ratably over the term of the swap. Any unamortized upfront premiums are presented in the Schedule of Investments.
Centrally cleared OTC swaps require a fund to deposit either cash or securities (initial margin) with the FCM, at the instruction of and for the benefit of the clearinghouse. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Centrally cleared OTC swaps are marked-to-market daily and subsequent payments (variation margin) are made or received depending on the daily fluctuations in the value of the swaps and are recorded as unrealized appreciation or (depreciation). These daily payments, if any, are included in receivable or payable for daily variation margin on centrally cleared OTC swaps in the Statement of Assets and Liabilities. Any premiums for centrally cleared OTC swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation) in the Statement of Assets and Liabilities. Any premiums are recognized as realized gain (loss) upon termination or maturity of the swap.
For both bi-lateral and centrally cleared OTC swaps, payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gain or (loss). Some swaps may be terminated prior to the effective date and realize a gain or loss upon termination. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on swaps during the period is presented in the Statement of Operations.
Any open swaps at period end are included in the Schedule of Investments under the caption "Swaps" and are representative of volume of activity during the period.
Credit Default Swaps. Credit default swaps enable the Fund to buy or sell protection against specified credit events on a single-name issuer or a traded credit index. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller will be required to make a payment upon the occurrence of one or more specified credit events. The Fund enters into credit default swaps as a seller to gain credit exposure to an issuer and/or as a buyer to obtain a measure of protection against defaults of an issuer. Periodic payments are made over the life of the contract by the buyer provided that no credit event occurs.
For credit default swaps on most corporate and sovereign issuers, credit events include bankruptcy, failure to pay or repudiation/moratorium. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller is not limited to the specific reference obligation described in the Schedule of Investments. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller. For credit default swaps on a traded credit index, a specified credit event may affect all or individual underlying securities included in the index.
As a seller, if an underlying credit event occurs, the Fund will pay a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will the Fund be required to take delivery of the reference obligation or underlying securities comprising an index and pay an amount equal to the notional amount of the swap.
As a buyer, if an underlying credit event occurs, the Fund will receive a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will the Fund be required to deliver the reference obligation or underlying securities comprising an index in exchange for payment of an amount equal to the notional amount of the swap.
Typically, the value of each credit default swap and credit rating disclosed for each reference obligation in the Schedule of Investments, where the Fund is the seller, can be used as measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. In addition to these measures, the investment adviser monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/performance risk.
Interest Rate Swaps. Interest rate swaps are agreements between counterparties to exchange cash flows, one based on a fixed rate, and the other on a floating rate. The Fund entered into interest rate swaps to manage its exposure to interest rate changes. Changes in interest rates can have an effect on both the value of bond holdings as well as the amount of interest income earned. In general, the value of bonds can fall when interest rates rise and can rise when interest rates fall.
4. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities, U.S. government securities and in-kind transactions, as applicable, are noted in the table below.
Purchases ($) | Sales ($) | |
Strategic Advisers Fidelity Core Income Fund | 74,638,443,626 | 61,374,051,333 |
5. Fees and Other Transactions with Affiliates.
Management Fee. Strategic Advisers (the investment adviser) provides the Fund with investment management related services. For these services, the Fund pays a monthly management fee to the investment adviser. The management fee is calculated by adding the annual management fee rate of .25% of the Fund's average net assets throughout the month to the aggregate of the fee rates, payable monthly by the investment adviser, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed .60% of the Fund's average net assets. For the reporting period, the total annual management fee rate was .29% of the Fund's average net assets.
During the period, the investment adviser waived a portion of its management fee as described in the Expense Reductions note.
Sub-Adviser. FIAM LLC (an affiliate of the investment adviser) served as a sub-adviser for the Fund during the period. Sub-advisers provide discretionary investment advisory services for their allocated portion of the Fund's assets and are paid as described in the Management Fee note.
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.
Reallocation of Underlying Fund Investments. During the period, the investment adviser reallocated investments of the Funds. This involved taxable redemptions of the Funds' interest in Fidelity High Income Fund for investments and cash and non-taxable exchanges of those investments and cash for shares of Fidelity SAI High Income Fund which is an affiliated investment company managed by FMR. The Fund redeemed 37,999,996 shares of Fidelity High Income Fund in exchange for 32,919,997 shares of Fidelity SAI High Income Fund with a value of $312,739,970. The net realized gain of $2,108,542 on the Fund's redemptions of Fidelity High Income Fund is included in the accompanying Statements of Operations as "Net realized gain (loss) on Affiliated issuers." The Fund recognized a net gain on the exchanges for federal income tax purposes.
6. Investments in Fidelity Central Funds.
Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.
Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense Ratio(a) |
Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |
(a) Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.
7. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below. During the period, there were no borrowings on this line of credit.
Amount | |
Strategic Advisers Fidelity Core Income Fund | $67,870 |
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, 2024. During the period, this waiver reduced the Fund's management fee by $ 109,413,354.
9. Other.
A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.
Funds do not invest in underlying mutual funds for the purpose of exercising management or control; however, investments by funds within their principal investment strategies may represent a significant portion of the underlying mutual fund's net assets. At the end of the period, certain Funds were the owners of record of 10% or more of the total outstanding shares of the following underlying mutual funds as shown below.
Fund | Strategic Advisers Fidelity Core Income Fund |
Fidelity Corporate Bond Fund | 53% |
Fidelity Global Credit Fund | 25% |
Fidelity Government Income Fund | 14% |
Fidelity Intermediate Bond Fund | 28% |
Fidelity New Markets Income Fund | 24% |
Fidelity Real Estate Income Fund | 13% |
Fidelity SAI High Income Fund | 21% |
Fidelity SAI Long-Term Treasury Bond Index Fund | 36% |
Fidelity SAI Total Bond Fund | 69% |
Fidelity SAI U.S. Treasury Bond Index Fund | 25% |
10. Coronavirus (COVID-19) Pandemic.
An outbreak of COVID-19 first detected in China during December 2019 has since spread globally and was declared a pandemic by the World Health Organization during March 2020. Developments that disrupt global economies and financial markets, such as the COVID-19 pandemic, may magnify factors that affect the Fund's performance.
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Fidelity Rutland Square Trust II and Shareholders of Strategic Advisers Fidelity Core Income Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Strategic Advisers Fidelity Core Income Fund (one of the funds constituting Fidelity Rutland Square Trust II, referred to hereafter as the “Fund”) as of May 31, 2022, the related statement of operations for the year ended May 31, 2022, the statement of changes in net assets for each of the two years in the period ended May 31, 2022, including the related notes, and the financial highlights for each of the three years in the period ended May 31, 2022 and for the period October 16, 2018 (commencement of operations) through May 31, 2019 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of May 31, 2022, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended May 31, 2022 and the financial highlights for each of the three years in the period ended May 31, 2022 and for the period October 16, 2018 (commencement of operations) through May 31, 2019 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of May 31, 2022 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
July 15, 2022
We have served as the auditor of one or more investment companies in the Fidelity group of funds since 1932.
Trustees and Officers
The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance. If the interests of the fund and an underlying Fidelity® fund were to diverge, a conflict of interest could arise and affect how the Trustees and Members of the Advisory Board fulfill their fiduciary duties to the affected funds. Strategic Advisers has structured the fund to avoid these potential conflicts, although there may be situations where a conflict of interest is unavoidable. In such instances, Strategic Advisers, the Trustees, and Members of the Advisory Board would take reasonable steps to minimize and, if possible, eliminate the conflict. Each of the Trustees oversees 13 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 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.
Each Trustee who is not an interested person (as defined in the 1940 Act) of the trust and the fund is referred to herein as an Independent Trustee.
The fund’s Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-8544.
Experience, Skills, Attributes, and Qualifications of the Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee may also engage professional search firms to help identify potential Independent Trustee candidates with experience, qualifications, attributes, and skills consistent with the Statement of Policy. Additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, may be considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.
In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.
Board Structure and Oversight Function. Kathleen Murphy is an interested person and currently serves as Chair. The Trustees have determined that an interested Chair is appropriate and benefits shareholders because an interested Chair has a personal and professional stake in the quality and continuity of services provided to the fund. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chair, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chair and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session. Mary C. Farrell serves as the lead Independent Trustee and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.
Fidelity® funds are overseen by different Boards of Trustees. The fund's Board oversees asset allocation funds. Other Boards oversee Fidelity's investment-grade bond, money market, and asset allocation funds, and Fidelity's equity and high income funds. The fund may invest in Fidelity® funds overseen by such other Boards. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity® funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues.
The Trustees primarily operate as a full Board, but also operate in committees, to facilitate the timely and efficient consideration of all matters of importance to the Trustees, the fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the fund's activities and associated risks. The Board has charged Strategic Advisers and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the fund's business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above. Because the day-to-day operations and activities of the fund are carried out by or through Strategic Advisers, its affiliates and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees. Board oversight of different aspects of the fund's activities is exercised primarily through the full Board, but also through the Audit and Compliance Committee. Appropriate personnel, including but not limited to the fund's Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the fund's Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate. The responsibilities of each standing committee, including their oversight responsibilities, are described further under "Standing Committees of the Trustees."
Interested Trustees*:
Correspondence intended for a Trustee who is an interested person may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Charles S. Morrison (1960)
Year of Election or Appointment: 2020
Trustee
Mr. Morrison also serves as Trustee of other funds. Previously, Mr. Morrison served as President (2017-2018) and Director (2014-2018) of Fidelity SelectCo, LLC (investment adviser firm), President of Fidelity Management & Research Company (FMR) (investment adviser firm, 2016-2018), a Director of Fidelity Investments Money Management, Inc. (investment adviser firm, 2014-2018), President, Asset Management (2014-2018), Trustee of the Fidelity Equity and High Income Funds (283 funds as of December 2018) (2014-2018), and was an employee of Fidelity Investments. Mr. Morrison also previously served as Vice President of Fidelity's Fixed Income and Asset Allocation Funds (2012-2014), President, Fixed Income (2011-2014), Vice President of Fidelity's Money Market Funds (2005-2009), President, Money Market Group Leader of FMR (2009), and Senior Vice President, Money Market Group of FMR (2004-2009). Mr. Morrison also served as Vice President of Fidelity's Bond Funds (2002-2005), certain Balanced Funds (2002-2005), and certain Asset Allocation Funds (2002-2007), and as Senior Vice President (2002-2005) of Fidelity's Bond Division.
Kathleen Murphy (1963)
Year of Election or Appointment: 2022
Trustee
Chair of the Board of Trustees
Ms. Murphy also serves as Trustee of other funds. Ms. Murphy serves as a Senior Adviser to the Chief Executive Officer of Fidelity Investments (2022-present), member of the Board of Directors of Snyk Technologies (cybersecurity technology, 2022-present), member of the Advisory Board of FliptRX (pharmacy benefits manager, 2022-present), member of the Board of Directors of Fidelity Investments Life Insurance Company (2009-present)), and member of the Board of Directors of Empire Fidelity Investments Life Insurance Company (2009-present). Previously, Ms. Murphy served as President of Personal Investing at Fidelity Investments (2009-2021), Chief Executive Officer of ING U.S. Wealth Management (2003-2008), and Deputy General Counsel, General Counsel and Chief Compliance Officer (1997-2003) of Aetna. Ms. Murphy also serves as Vice Chairman of the Board of Directors of the National Football Foundation (2013-present).
* Determined to be an "Interested Trustee" by virtue of, among other things, his or her affiliation with the trust or various entities under common control with Strategic Advisers.
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Independent Trustees:
Correspondence intended for an Independent Trustee may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Peter C. Aldrich (1944)
Year of Election or Appointment: 2006
Trustee
Mr. Aldrich also serves as Trustee of other funds. Mr. Aldrich is an independent Director of BLPF GP LLC (general partner of a private fund, 2006-present) and BlackRock US Core Property Fund, Inc. (real estate investment trust, 2006-present). Previously, Mr. Aldrich served as a Managing Member of Poseidon, LLC (foreign private investment, 1998-2004), and Chairman and Managing Member of AEGIS, LLC (foreign private investment, 1997-2004). Mr. Aldrich previously was a founder, Chief Executive Officer, and Chairman of AEW Capital Management, L.P. (then, Aldrich, Eastman and Waltch, L.P.). Mr. Aldrich also served as a Director of LivelyHood, Inc. (private corporation, 2013-2020), a Trustee for the Fidelity Rutland Square Trust (2005-2010), a Director of Zipcar, Inc. (car sharing services, 2001-2009) and as Faculty Chairman of The Research Council on Global Investment of The Conference Board (business and professional education non-profit, 1999-2004). Mr. Aldrich is a Member Emeritus of the Board of Directors of the National Bureau of Economic Research and the Board of Trustees of the Museum of Fine Arts Boston.
Mary C. Farrell (1949)
Year of Election or Appointment: 2013
Trustee
Ms. Farrell also serves as Trustee of other funds. Ms. Farrell is a Director of the W.R. Berkley Corporation (insurance provider) and Director (2006-present) and Chair (2021-present) of the Howard Gilman Foundation (charitable organization). Previously, Ms. Farrell was Managing Director and Chief Investment Strategist at UBS Wealth Management USA and Co-Head of UBS Wealth Management Investment Strategy & Research Group (2003-2005) and President (2009-2021) of the Howard Gilman Foundation (charitable organization). Ms. Farrell also served as Investment Strategist at PaineWebber (1982-2000) and UBS PaineWebber (2000-2002). Ms. Farrell serves as Chairman of the Board of Trustees of Yale-New Haven Hospital and Vice Chairman of the Yale New Haven Health System Board and previously served as Trustee on the Board of Overseers of the New York University Stern School of Business.
Karen Kaplan (1960)
Year of Election or Appointment: 2006
Trustee
Ms. Kaplan also serves as Trustee of other funds. Ms. Kaplan is Chair (2014-present) and Chief Executive Officer (2013-present) of Hill Holliday (advertising and specialized marketing). Ms. Kaplan is a Member of the Board of Governors of the Chief Executives’ Club of Boston (2010-present), Member of the Executive Committee and past Chair of the Greater Boston Chamber of Commerce (2006-present), Advisory Board Member of the National Association of Corporate Directors Chapter (2012-present), Member of the Board of Trustees of the Post Office Square Trust (2012-present), Trustee of the Brigham and Women’s Hospital (2016-present), Overseer of the Boston Symphony Orchestra (2014-present), Member of the Board of Directors of The Advertising Council, Inc. (2016-present), Member of the Ron Burton Training Village Executive Board of Advisors (2017-present), Member of the Executive Committee of The Ad Council, Inc. (2019-present), and Member of the Board of Directors of The Ad Club of Boston (2020-present). Previously, Ms. Kaplan served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010), Director of The Michaels Companies, Inc. (specialty retailer, 2015-2021), a member of the Clinton Global Initiative (2010-2015), Director of DSM (dba Delta Dental and DentaQuest) (2004-2014), Formal Appointee of the 2015 Baker-Polito Economic Development Council, Director of Vera Bradley Inc. (designer of women’s accessories, 2012-2015), Member of the Board of Directors of the Massachusetts Conference for Women (2008-2015), Member of the Board of Directors of Jobs for Massachusetts (2012-2015), President of the Massachusetts Women’s Forum (2008-2010), Treasurer of the Massachusetts Women’s Forum (2002-2006), and Vice Chair of the Board of the Massachusetts Society for the Prevention of Cruelty to Children (2003-2010).
Christine Marcks (1955)
Year of Election or Appointment: 2020
Trustee
Ms. Marcks also serves as Trustee of other Funds. Prior to her retirement, Ms. Marcks served as Chief Executive Officer and President – Prudential Retirement (2007-2017) and Vice President for Rollover and Retirement Income Strategies (2005-2007), Prudential Financial, Inc. (financial services). Previously, Ms. Marcks served as a Member of the Advisory Board of certain Fidelity® funds (2019-2020), was Senior Vice President and Head of Financial Horizons (2002-2004) and Vice President, Strategic Marketing (2000-2002) of Voya Financial (formerly ING U.S.) (financial services), held numerous positions at Aetna Financial Services (financial services, 1987-2000) and served as an International Economist for the United States Department of the Treasury (1980-1987). Ms. Marcks also serves as a member of the Board of Trustees, Audit Committee and Benefits & Operations Committee of the YMCA Retirement Fund (2018-present), a non-profit organization providing retirement plan benefits to YMCA staff members, and as a member of the Board of Trustees of Assumption College (2019-present).
Heidi L. Steiger (1953)
Year of Election or Appointment: 2017
Trustee
Ms. Steiger also serves as Trustee of other funds. Ms. Steiger serves as Managing Partner of Topridge Associates, LLC (consulting, 2005-present) and a member of the Board of Directors (2022-present) of Live Current Media, Inc. Previously, Ms. Steiger served as a member of the Board of Directors (2013-2021) and member of the Membership and Executive Committee (2017-2021) of Business Executives for National Security (nonprofit), a member of the Board of Directors Chair of the Remuneration Committee of Imagine Intelligent Materials Limited (2019-2021) (technology company), a member of the Advisory Board of the joint degree program in Global Luxury Management at North Carolina State University (Raleigh, NC) and Skema (Paris) (2018-2021), a Non-Executive Director of CrowdBureau Corporation (financial technology company and index provider, 2018-2021), a member of the Global Advisory Board and Of Counsel to Signum Global Advisors (international policy and strategy, 2018-2020), Eastern Region President of The Private Client Reserve of U.S. Bancorp (banking and financial services, 2010-2015), Advisory Director of Berkshire Capital Securities, LLC (financial services, 2009-2010), President and Senior Advisor of Lowenhaupt Global Advisors, LLC (financial services, 2005-2007), and President and Contributing Editor of Worth Magazine (2004-2005) and held a variety of positions at Neuberger Berman Group, LLC (financial services, 1986-2004), including Partner and Executive Vice President and Global Head of Private Asset Management at Neuberger Berman (1999-2004). Ms. Steiger also served as a member of the Board of Directors of Nuclear Electric Insurance Ltd (insurer of nuclear utilities, 2006-2017), a member of the Board of Trustees and Audit Committee of the Eaton Vance Funds (2007-2010), a member of the Board of Directors of Aviva USA (formerly AmerUs) (insurance, 2004-2014), and a member of the Board of Trustees and Audit Committee and Chair of the Investment Committee of CIFG (financial guaranty insurance, 2009-2012), and a member of the Board of Directors of Kin Group Plc (formerly, Fitbug Holdings) (health and technology, 2016-2017).
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Advisory Board Members and Officers:
Correspondence intended for a Member of the Advisory Board (if any) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235. Correspondence intended for an officer or Howard E. Cox, Jr. may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210. Officers appear below in alphabetical order.
Name, Year of Birth; Principal Occupation
Howard E. Cox, Jr. (1944)
Year of Election or Appointment: 2009
Member of the Advisory Board
Mr. Cox also serves as a Member of the Advisory Board of other funds. Mr. Cox is a Partner of Greylock (venture capital, 1971-present) and a Director of Stryker Corporation (medical products and services, 1974-present). Previously, Mr. Cox served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010). Mr. Cox also serves as a Member of the Secretary of Defense's Business Board of Directors (2008-present), a Director of Business Executives for National Security (1997-present), a Director of the Brookings Institution (2010-present), a Director of the World Economic Forum’s Young Global Leaders Foundation (2009-present), and is a Member of the Harvard Medical School Board of Fellows (2002-present).
Craig S. Brown (1977)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Brown also serves as an officer of other funds. Mr. Brown serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2013-present).
John J. Burke III (1964)
Year of Election or Appointment: 2018
Chief Financial Officer
Mr. Burke also serves as Chief Financial Officer of other funds. Mr. Burke serves as Head of Investment Operations for Fidelity Fund and Investment Operations (2018-present) and is an employee of Fidelity Investments (1998-present). Previously Mr. Burke served as head of Asset Management Investment Operations (2012-2018).
Jonathan Davis (1968)
Year of Election or Appointment: 2010
Assistant Treasurer
Mr. Davis also serves as an officer of other funds. Mr. Davis serves as Assistant Treasurer of FIMM, LLC (2021-present), FMR Capital, Inc. (2017-present), FD Funds GP LLC (2021-present), FD Funds Holding LLC (2021-present), and FD Funds Management LLC (2021-present); and is an employee of Fidelity Investments. Previously, Mr. Davis served as Vice President and Associate General Counsel of FMR LLC (diversified financial services company, 2003-2010).
Laura M. Del Prato (1964)
Year of Election or Appointment: 2018
Assistant Treasurer
Ms. Del Prato also serves as an officer of other funds. Ms. Del Prato serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2017-present). Previously, Ms. Del Prato served as President and Treasurer of The North Carolina Capital Management Trust: Cash Portfolio and Term Portfolio (2018-2020). Prior to joining Fidelity Investments, Ms. Del Prato served as a Managing Director and Treasurer of the JPMorgan Mutual Funds (2014-2017). Prior to JPMorgan, Ms. Del Prato served as a partner at Cohen Fund Audit Services (accounting firm, 2012-2013) and KPMG LLP (accounting firm, 2004-2012).
James D. Gryglewicz (1972)
Year of Election or Appointment: 2015
Chief Compliance Officer
Mr. Gryglewicz also serves as Chief Compliance Officer of other funds. Mr. Gryglewicz serves as Compliance Officer of Strategic Advisers LLC (investment adviser firm, 2015-present), Senior Vice President of Asset Management Compliance (2009-present), and is an employee of Fidelity Investments (2004-present). Previously, Mr. Gryglewicz served as Compliance Officer of Fidelity SelectCo, LLC (investment adviser firm, 2014-2019), and as Chief Compliance Officer of certain Fidelity® funds (2014-2018).
Colm A. Hogan (1973)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Hogan also serves as an officer of other funds. Mr. Hogan serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2005-present). Previously, Mr. Hogan served as Deputy Treasurer of certain Fidelity® funds (2016-2020) and Assistant Treasurer of certain Fidelity® funds (2016-2018).
Christina H. Lee (1975)
Year of Election or Appointment: 2020
Secretary and Chief Legal Officer
Ms. Lee also serves as Secretary and CLO of other funds. Ms. Lee serves as Vice President, Associate General Counsel (2014-present) and is an employee of Fidelity Investments (2007-present). Previously, Ms. Lee served as Assistant Secretary of certain funds (2018-2019).
Cynthia Lo Bessette (1969)
Year of Election or Appointment: 2020
Assistant Secretary
Ms. Lo Bessette also serves as an officer of other funds. Ms. Lo Bessette serves as CLO, Secretary, and Senior Vice President of Fidelity Management & Research Company LLC (investment adviser firm, 2019-present); CLO of Fidelity Management & Research (Hong Kong) Limited, FMR Investment Management (UK) Limited, and Fidelity Management & Research (Japan) Limited (investment adviser firms, 2019-present); Secretary of FD Funds GP LLC (2021-present), FD Funds Holding LLC (2021-present), and FD Funds Management LLC (2021-present); and Assistant Secretary of FIMM, LLC (2019-present). She is a Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company, 2019-present), and is an employee of Fidelity Investments. Previously, Ms. Lo Bessette served as CLO, Secretary, and Senior Vice President of FMR Co., Inc. (investment adviser firm, 2019); Secretary of Fidelity SelectCo, LLC and Fidelity Investments Money Management, Inc. (investment adviser firms, 2019). Prior to joining Fidelity Investments, Ms. Lo Bessette was Executive Vice President, General Counsel (2016-2019) and Senior Vice President, Deputy General Counsel (2015-2016) of OppenheimerFunds (investment management company) and Deputy Chief Legal Officer (2013-2015) of Jennison Associates LLC (investment adviser firm).
Chris Maher (1972)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Maher also serves as an officer of other funds. Mr. Maher serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present), and is an employee of Fidelity Investments (2008-present). Previously, Mr. Maher served as Assistant Treasurer of certain funds (2013-2020); Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010).
Brett Segaloff (1972)
Year of Election or Appointment: 2021
Anti-Money Laundering (AML) Officer
Mr. Segaloff also serves as an AML Officer of other funds and other related entities. He is Director, Anti-Money Laundering (2007-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments (1996-present).
Stacie M. Smith (1974)
Year of Election or Appointment: 2020
President and Treasurer
Ms. Smith also serves as an officer of other funds. Ms. Smith serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present), is an employee of Fidelity Investments (2009-present), and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (accounting firm, 1996-2009). Previously, Ms. Smith served as Assistant Treasurer (2013-2019) and Deputy Treasurer (2013-2016) of certain Fidelity® funds.
Jim Wegmann (1979)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Wegmann also serves as an officer of other funds. Mr. Wegmann serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2011-present). Previously, Mr. Wegmann served as Assistant Treasurer of certain Fidelity® funds (2019-2021).
Shareholder Expense Example
As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (December 1, 2021 to May 31, 2022).
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Annualized Expense Ratio-A | Beginning Account Value December 1, 2021 | Ending Account Value May 31, 2022 | Expenses Paid During Period-B December 1, 2021 to May 31, 2022 | |
Strategic Advisers Fidelity Core Income Fund | .05% | |||
Actual | $1,000.00 | $911.20 | $.24 | |
Hypothetical-C | $1,000.00 | $1,024.68 | $.25 |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/ 365 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.
C 5% return per year before expenses
Distributions (Unaudited)
The dividend and capital gains distributions for the fund(s) are available on Fidelity.com or Institutional.Fidelity.com.
A total of 23.61% 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 $590,293,639 of distributions paid in the calendar year 2021 as qualifying to be taxed as section 163(j) interest dividends.
The fund will notify shareholders in January 2023 of amounts for use in preparing 2022 income tax returns.
Liquidity Risk Management Program
The Securities and Exchange Commission adopted Rule 22e-4 under the Investment Company Act of 1940 (the Liquidity Rule) to promote effective liquidity risk management throughout the open-end investment company industry, thereby reducing the risk that funds will be unable to meet their redemption obligations and mitigating dilution of the interests of fund shareholders.
The Fund has adopted and implemented a liquidity risk management program (the Program) reasonably designed to assess and manage the Fund’s liquidity risk and to comply with the requirements of the Liquidity Rule. The Fund’s Board of Trustees (the Board) has designated the Fund’s investment adviser as administrator of the Program. Strategic Advisers has established a Liquidity Risk Management Committee (the LRM Committee) to manage the Program for each of the Funds. The LRM Committee monitors the adequacy and effectiveness of implementation of the Program and on a periodic basis assesses each Fund’s liquidity risk based on a variety of factors including (1) the Fund’s investment strategy, (2) portfolio liquidity and cash flow projections during normal and reasonably foreseeable stressed conditions, (3) shareholder redemptions and (4) borrowings and other funding sources, as applicable.
In accordance with the Program, each of the Fund’s portfolio investments is classified into one of four liquidity categories described below based on a determination of a reasonable expectation for how long it would take to convert the investment to cash (or sell or dispose of the investment) without significantly changing its market value.
- Highly liquid investments – cash or convertible to cash within three business days or less
- Moderately liquid investments – convertible to cash in three to seven calendar days
- Less liquid investments – can be sold or disposed of, but not settled, within seven calendar days
- Illiquid investments – cannot be sold or disposed of within seven calendar days
Liquidity classification determinations take into account a variety of factors including various market, trading and investment-specific considerations, as well as market depth, and generally utilize analysis from a third-party liquidity metrics service.
The Liquidity Rule places a 15% limit on a fund’s illiquid investments and requires funds that do not primarily hold assets that are highly liquid investments to determine and maintain a minimum percentage of the fund’s net assets to be invested in highly liquid investments (highly liquid investment minimum or HLIM). The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments and for determining, periodically reviewing and complying with the HLIM requirement as applicable.
At a recent meeting of the Fund’s Board of Trustees, the LRM Committee provided a written report to the Board pertaining to the operation, adequacy, and effectiveness of implementation of the Program for the annual period from December 1, 2020 through November 30, 2021. The report concluded that the Program has been implemented and is operating effectively and is reasonably designed to assess and manage the Fund’s liquidity risk.
COI-ANN-0722
1.9887939.103
Strategic Advisers® Fidelity® Emerging Markets Fund
Offered exclusively to certain managed account clients of Strategic Advisers LLC or its affiliates - not available for sale to the general public
May 31, 2022
Contents
To view a fund's proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
You may also call 1-800-544-3455 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2022 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
Note to Shareholders:
Early in 2020, the outbreak and spread of COVID-19 emerged as a public health emergency that had a major influence on financial markets, primarily based on its impact on the global economy and corporate earnings. On March 11, 2020, the World Health Organization declared the COVID-19 outbreak a pandemic, citing sustained risk of further global spread. The pandemic prompted a number of measures to limit the spread of COVID-19, including travel and border restrictions, quarantines, and restrictions on large gatherings. In turn, these resulted in lower consumer activity, diminished demand for a wide range of products and services, disruption in manufacturing and supply chains, and – given the wide variability in outcomes regarding the outbreak – significant market uncertainty and volatility. To help stem the turmoil, the U.S. government took unprecedented action – in concert with the U.S. Federal Reserve and central banks around the world – to help support consumers, businesses, and the broader economy, and to limit disruption to the financial system.
In general, the overall impact of the pandemic lessened in 2021, amid a resilient economy and widespread distribution of three COVID-19 vaccines granted emergency use authorization from the U.S. Food and Drug Administration (FDA) early in the year. Still, the situation remains dynamic, and the extent and duration of its influence on financial markets and the economy is highly uncertain, due in part to a recent spike in cases based on highly contagious variants of the coronavirus.
Extreme events such as the COVID-19 crisis are exogenous shocks that can have significant adverse effects on mutual funds and their investments. Although multiple asset classes may be affected by market disruption, the duration and impact may not be the same for all types of assets. Fidelity is committed to helping you stay informed amid news about COVID-19 and during increased market volatility, and we continue to take extra steps to be responsive to customer needs. We encourage you to visit us online, where we offer ongoing updates, commentary, and analysis on the markets and our funds.
Performance: The Bottom Line
Average annual total return reflects the change in the value of an investment, assuming reinvestment of distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year. The hypothetical investment and the average annual total returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund’s total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.
Average Annual Total Returns
For the periods ended May 31, 2022 | Past 1 year | Life of fundA |
Strategic Advisers® Fidelity® Emerging Markets Fund | (21.40)% | 7.31% |
A From October 30, 2018
$10,000 Over Life of Fund
Let's say hypothetically that $10,000 was invested in Strategic Advisers® Fidelity® Emerging Markets Fund on October 30, 2018, when the fund started.
The chart shows how the value of your investment would have changed, and also shows how the MSCI Emerging Markets Index performed over the same period.
Period Ending Values | ||
$12,878 | Strategic Advisers® Fidelity® Emerging Markets Fund | |
$12,478 | MSCI Emerging Markets Index |
Management's Discussion of Fund Performance
Market Recap: The MSCI Emerging Markets Index returned -19.82% for the 12 months ending May 31, 2022, as several headwinds stoked volatility, uncertainty and investor anxiety. Chief among these was accelerated efforts by some central banks around the world to hike interest rates and aggressively wind down extraordinary monetary policy support in an attempt to rein in high inflation. In addition, geopolitical unrest rose as Russia invaded Ukraine in late February. Other factors influencing emerging-markets stocks included surging global commodity prices, rising sovereign bond yields in some markets, global supply constraint and disruption, and the potential for variants of the coronavirus to upend global economic growth. Against this backdrop, the index declined for four consecutive months after the calendar turned, followed by a flattish May, with stocks falling amid increased global uncertainty and angst about the economic toll of “zero-COVID” lockdowns in China. For the full 12 months, Russia (-100%) lagged all larger country components of the index. China (-36%) and South Korea (-24%) also notably underperformed. Conversely, some resource-rich Middle East countries, including United Arab Emirates and Saudi Arabia (+29% each), led the way. By sector, health care (-42%), consumer discretionary (-40%), real estate (-30%) and communication services (-29%) fared worst, whereas utilities (+6%), financials (-2%) and industrials (-5%) topped the index.Comments from Co-Portfolio Managers Wilfred Chilangwa and Antonio Martinez: For the fiscal year ending May 31, 2022, the Fund returned -21.40%, trailing the -19.82% result of the benchmark MSCI Emerging Markets (EM) Index. Despite poor performance in China – the largest country-specific component of the MSCI EM index by far – the Fund topped the benchmark in 2021. However, the market backdrop changed dramatically during the early months of 2022 due to Russia’s invasion of Ukraine and a resurgence of COVID-19 in China. Against this backdrop, the Fund's relative performance was unable to keep pace with the benchmark. Within the Fund, the Global EM mandate from sub-adviser FIL® (-29%) and the Select EM Equity mandate from sub-adviser FIAM® (-24%) were the primary relative detractors. Overweighted exposure to Russia, along with poor security selection in the financials sector, weighed on FIL’s performance. Stock picks in China and Hong Kong, along with underweighted exposure to several strong-performing Persian Gulf countries, hampered FIAM’s result. On the plus side, we reallocated capital from active managers into Fidelity® SAI Emerging Markets Value Index Fund (-12%) early in 2022, and it paid off as value strategies outpaced growth approaches. Additionally, investment choices in China and favorable positioning in Russia helped this fund outperform. Fidelity® SAI Emerging Markets Low Volatility Index Fund (-4%) also contributed, as exposure to lower-volatility stocks helped in a down market. Country-wise, positive security selection in Taiwan and favorable positioning in China helped this fund. As the period progressed, given our expectations for continued volatility in both growth- and value-oriented investment approaches, we focused on risk management by bringing the Fund's style tilts closer to neutral and by keeping country allocations in line with the benchmark.The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
Investment Summary (Unaudited)
The information in the following tables is based on the direct investments of the Fund.Top Ten Stocks as of May 31, 2022
(excluding cash equivalents) | % of fund's net assets |
Fidelity SAI Emerging Markets Value Index Fund | 20.0 |
Fidelity Advisor Emerging Markets Fund Class Z | 10.9 |
Fidelity SAI Emerging Markets Index Fund | 8.3 |
Fidelity SAI Emerging Markets Low Volatility Index Fund | 7.5 |
Taiwan Semiconductor Manufacturing Co. Ltd. | 4.4 |
Samsung Electronics Co. Ltd. | 2.9 |
Tencent Holdings Ltd. | 2.7 |
Alibaba Group Holding Ltd. | 1.3 |
HDFC Bank Ltd. | 1.0 |
Meituan Class B | 0.9 |
59.9 |
Market Sectors as of May 31, 2022
(stocks only) | % of fund's net assets |
Information Technology | 11.1 |
Financials | 10.0 |
Consumer Discretionary | 7.0 |
Communication Services | 4.4 |
Materials | 4.2 |
Consumer Staples | 3.1 |
Energy | 2.5 |
Industrials | 2.4 |
Health Care | 1.5 |
Real Estate | 0.6 |
Utilities | 0.2 |
Geographic Diversification (% of fund's net assets)
As of May 31, 2022 | ||
United States of America* | 53.2% | |
Cayman Islands | 10.2% | |
Taiwan | 6.6% | |
Korea (South) | 6.4% | |
India | 5.5% | |
China | 4.9% | |
Brazil | 2.4% | |
Mexico | 1.6% | |
Hong Kong | 1.6% | |
Other | 7.6% |
* Includes Short-Term investments and Net Other Assets (Liabilities).
Percentages are based on country or territory of incorporation and are adjusted for the effect of futures contracts, if applicable.
Asset Allocation (% of fund's net assets)
As of May 31, 2022 | ||
Common Stocks | 45.9% | |
Preferred Stocks | 1.1% | |
Diversifed Emerging Markets Funds | 46.7% | |
Short-Term Investments and Net Other Assets (Liabilities) | 6.3% |
Asset allocations of funds in the pie chart reflect the categorizations of assets as defined by Morningstar as of the reporting date.
Schedule of Investments May 31, 2022
Showing Percentage of Net Assets
Common Stocks - 45.9% | |||
Shares | Value | ||
COMMUNICATION SERVICES - 4.4% | |||
Diversified Telecommunication Services - 0.1% | |||
PT Telkom Indonesia Persero Tbk | 35,871,075 | $10,590,280 | |
Entertainment - 0.6% | |||
Bilibili, Inc.: | |||
ADR (a)(b) | 658,403 | 14,715,307 | |
Class Z (a) | 182,660 | 4,067,005 | |
NetEase, Inc. | 487,900 | 10,203,901 | |
NetEase, Inc. ADR | 206,199 | 21,389,022 | |
PVR Ltd. (a) | 228,200 | 5,411,214 | |
55,786,449 | |||
Interactive Media & Services - 3.0% | |||
NAVER Corp. | 87,012 | 20,169,956 | |
Tencent Holdings Ltd. | 5,281,737 | 241,472,445 | |
Yandex NV Series A (a)(c) | 963,690 | 3,305,303 | |
264,947,704 | |||
Wireless Telecommunication Services - 0.7% | |||
America Movil S.A.B. de CV Series L | 9,055,504 | 9,575,216 | |
Bharti Airtel Ltd. (a) | 2,118,713 | 19,118,055 | |
Far EasTone Telecommunications Co. Ltd. | 876,000 | 2,396,028 | |
MTN Group Ltd. | 3,135,839 | 33,801,380 | |
64,890,679 | |||
TOTAL COMMUNICATION SERVICES | 396,215,112 | ||
CONSUMER DISCRETIONARY - 7.0% | |||
Automobiles - 1.2% | |||
Eicher Motors Ltd. | 297,624 | 10,665,455 | |
Guangzhou Automobile Group Co. Ltd. (H Shares) | 42,209,448 | 39,965,363 | |
Hyundai Motor Co. | 130,242 | 19,865,229 | |
Kia Corp. | 121,010 | 8,347,096 | |
Li Auto, Inc. ADR (a) | 630,938 | 15,817,616 | |
XPeng, Inc. ADR (a) | 693,882 | 16,306,227 | |
110,966,986 | |||
Hotels, Restaurants & Leisure - 0.4% | |||
MakeMyTrip Ltd. (a)(b) | 231,353 | 6,399,224 | |
Shangri-La Asia Ltd. (a) | 13,890,000 | 10,496,445 | |
Trip.com Group Ltd. ADR (a) | 519,419 | 11,458,383 | |
Yum China Holdings, Inc. | 25,526 | 1,160,412 | |
Yum China Holdings, Inc. (Hong Kong) | 52,350 | 2,402,955 | |
31,917,419 | |||
Household Durables - 0.6% | |||
Haier Smart Home Co. Ltd. | 1,530,400 | 5,441,084 | |
Haier Smart Home Co. Ltd. (A Shares) | 11,501,295 | 43,767,668 | |
Midea Group Co. Ltd. (A Shares) | 640,900 | 5,233,248 | |
54,442,000 | |||
Internet & Direct Marketing Retail - 3.5% | |||
Alibaba Group Holding Ltd. (a) | 982,100 | 11,795,249 | |
Alibaba Group Holding Ltd. sponsored ADR (a) | 1,168,840 | 112,267,082 | |
JD.com, Inc.: | |||
Class A | 253,647 | 7,125,038 | |
sponsored ADR | 1,270,414 | 71,295,634 | |
Meituan Class B (a)(d) | 3,528,966 | 82,807,572 | |
Naspers Ltd. Class N | 166,037 | 18,086,579 | |
Pinduoduo, Inc. ADR (a) | 301,888 | 15,200,061 | |
318,577,215 | |||
Specialty Retail - 0.3% | |||
Pop Mart International Group Ltd. (d) | 542,600 | 2,091,657 | |
Zhongsheng Group Holdings Ltd. Class H | 3,235,500 | 22,965,816 | |
25,057,473 | |||
Textiles, Apparel & Luxury Goods - 1.0% | |||
Anta Sports Products Ltd. | 1,651,600 | 18,837,063 | |
ECLAT Textile Co. Ltd. | 767,000 | 13,035,087 | |
Li Ning Co. Ltd. | 5,699,757 | 44,452,178 | |
Shenzhou International Group Holdings Ltd. | 666,951 | 9,156,460 | |
85,480,788 | |||
TOTAL CONSUMER DISCRETIONARY | 626,441,881 | ||
CONSUMER STAPLES - 2.9% | |||
Beverages - 1.4% | |||
China Resources Beer Holdings Co. Ltd. | 4,996,000 | 31,260,016 | |
Fomento Economico Mexicano S.A.B. de CV: | |||
unit | 2,705,100 | 20,264,368 | |
sponsored ADR | 83,461 | 6,246,221 | |
Kweichow Moutai Co. Ltd. (A Shares) | 179,302 | 48,481,143 | |
Thai Beverage PCL | 13,510,285 | 6,853,508 | |
Wuliangye Yibin Co. Ltd. (A Shares) | 424,800 | 10,912,878 | |
124,018,134 | |||
Food & Staples Retailing - 0.6% | |||
Atacadao SA | 406,400 | 1,654,657 | |
Bid Corp. Ltd. | 462,304 | 9,833,553 | |
CP ALL PCL (For. Reg.) | 8,927,593 | 17,239,759 | |
Wal-Mart de Mexico SA de CV Series V | 8,053,413 | 29,778,048 | |
58,506,017 | |||
Food Products - 0.7% | |||
China Mengniu Dairy Co. Ltd. | 11,499,000 | 59,054,147 | |
Inner Mongoli Yili Industries Co. Ltd. (A Shares) | 612,467 | 3,488,271 | |
Muyuan Foodstuff Co. Ltd. (A Shares) | 201,099 | 1,542,603 | |
64,085,021 | |||
Personal Products - 0.2% | |||
LG Household & Health Care Ltd. | 10,669 | 6,303,084 | |
Natura & Co. Holding SA (a) | 1,798,603 | 6,233,073 | |
Proya Cosmetics Co. Ltd. (A Shares) | 159,740 | 3,722,957 | |
16,259,114 | |||
TOTAL CONSUMER STAPLES | 262,868,286 | ||
ENERGY - 2.2% | |||
Oil, Gas & Consumable Fuels - 2.2% | |||
3R Petroleum Oleo e Gas SA (a) | 498,600 | 5,114,465 | |
China Merchants Energy Shipping Co. Ltd. (A Shares) | 4,477,355 | 4,059,952 | |
Gazprom OAO (c) | 5,946,277 | 922,656 | |
LUKOIL PJSC (c) | 345,667 | 158,652 | |
LUKOIL PJSC sponsored ADR (c) | 499,400 | 141,275 | |
Oil & Natural Gas Corp. Ltd. | 11,349,584 | 22,122,021 | |
OMV AG | 54,320 | 3,172,349 | |
Petroleo Brasileiro SA - Petrobras (ON) | 2,795,689 | 19,565,205 | |
PT United Tractors Tbk | 17,640,580 | 37,867,784 | |
PTT PCL (For. Reg.) | 17,204,900 | 19,182,028 | |
Reliance Industries Ltd. | 1,402,046 | 47,566,901 | |
Reliance Industries Ltd. sponsored GDR (d) | 127,357 | 8,558,390 | |
Saudi Arabian Oil Co. (d) | 998,690 | 11,157,209 | |
TotalEnergies SE | 93,163 | 5,513,676 | |
Turkiye Petrol Rafinerileri A/S (a) | 815,000 | 13,469,678 | |
198,572,241 | |||
FINANCIALS - 9.4% | |||
Banks - 6.7% | |||
Absa Group Ltd. | 642,224 | 7,544,618 | |
Al Rajhi Bank | 1,056,728 | 27,865,724 | |
Alinma Bank | 1,656,872 | 17,008,285 | |
Axis Bank Ltd. (a) | 2,111,892 | 18,648,269 | |
Bangkok Bank PCL (For. Reg.) | 840,322 | 3,208,691 | |
BOC Hong Kong (Holdings) Ltd. | 1,248,500 | 4,796,905 | |
Capitec Bank Holdings Ltd. (b) | 57,268 | 8,239,520 | |
China Construction Bank Corp. (H Shares) | 34,668,874 | 25,700,596 | |
China Merchants Bank Co. Ltd. (H Shares) | 7,367,597 | 46,944,114 | |
Credicorp Ltd. (United States) | 181,910 | 25,536,526 | |
CTBC Financial Holding Co. Ltd. | 6,749,000 | 6,261,715 | |
E.SUN Financial Holdings Co. Ltd. | 12,861,406 | 13,466,384 | |
First Abu Dhabi Bank PJSC | 635,235 | 3,714,855 | |
Grupo Financiero Banorte S.A.B. de CV Series O | 4,836,959 | 31,358,329 | |
Hana Financial Group, Inc. | 284,614 | 11,339,523 | |
HDFC Bank Ltd. | 1,492,505 | 26,506,542 | |
HDFC Bank Ltd. sponsored ADR | 1,060,592 | 61,058,281 | |
ICICI Bank Ltd. | 3,258,190 | 31,392,994 | |
Industrial & Commercial Bank of China Ltd. (H Shares) | 72,303,440 | 43,296,800 | |
Industrial Bank Co. Ltd. (A Shares) | 1,801,588 | 5,305,936 | |
Kasikornbank PCL (For. Reg.) | 3,137,600 | 13,443,918 | |
KB Financial Group, Inc. | 367,653 | 17,893,063 | |
National Bank of Greece SA (a) | 6,136,600 | 23,341,096 | |
Postal Savings Bank of China Co. Ltd. | 7,700,000 | 6,058,903 | |
PT Bank Central Asia Tbk | 65,956,550 | 35,056,804 | |
PT Bank Mandiri (Persero) Tbk | 55,313,195 | 32,271,178 | |
PT Bank Rakyat Indonesia (Persero) Tbk | 19,065,422 | 6,039,470 | |
Sberbank of Russia (c) | 617,111 | 5,626 | |
Sberbank of Russia (c) | 3,314,825 | 30,222 | |
Sberbank of Russia sponsored ADR (c) | 1,653,549 | 29,433 | |
SCB X PCL (For. Reg.) | 3,593,674 | 11,836,629 | |
Shinhan Financial Group Co. Ltd. | 614,335 | 21,295,966 | |
TCS Group Holding PLC GDR (a)(c) | 267,069 | 335,051 | |
The Saudi National Bank | 325,600 | 6,285,413 | |
Woori Financial Group, Inc. | 885,570 | 10,620,439 | |
603,737,818 | |||
Capital Markets - 0.2% | |||
B3 SA - Brasil Bolsa Balcao | 3,530,000 | 9,485,034 | |
East Money Information Co. Ltd. (A Shares) | 688,478 | 2,336,202 | |
Hong Kong Exchanges and Clearing Ltd. | 128,100 | 5,527,271 | |
Noah Holdings Ltd. sponsored ADR (a) | 80,375 | 1,475,685 | |
XP, Inc. Class A (a)(b) | 138,542 | 3,132,435 | |
21,956,627 | |||
Consumer Finance - 0.3% | |||
Bajaj Finance Ltd. | 80,438 | 6,304,750 | |
Kaspi.KZ JSC GDR (Reg. S) | 355,977 | 18,759,988 | |
25,064,738 | |||
Diversified Financial Services - 0.3% | |||
Chailease Holding Co. Ltd. | 3,574,503 | 27,479,639 | |
Insurance - 1.4% | |||
AIA Group Ltd. | 6,139,600 | 63,607,389 | |
China Life Insurance Co. Ltd. (H Shares) | 18,265,000 | 28,021,154 | |
Db Insurance Co. Ltd. | 152,746 | 7,991,283 | |
HDFC Standard Life Insurance Co. Ltd. (d) | 275,492 | 2,126,420 | |
Hyundai Fire & Marine Insurance Co. Ltd. | 74,520 | 1,883,371 | |
ICICI Lombard General Insurance Co. Ltd. (d) | 349,433 | 5,700,273 | |
Ping An Insurance Group Co. of China Ltd. (H Shares) | 2,398,855 | 15,359,458 | |
124,689,348 | |||
Thrifts & Mortgage Finance - 0.5% | |||
Housing Development Finance Corp. Ltd. | 1,354,651 | 40,269,610 | |
TOTAL FINANCIALS | 843,197,780 | ||
HEALTH CARE - 1.5% | |||
Biotechnology - 0.1% | |||
InnoCare Pharma Ltd. (a)(d) | 1,028,000 | 1,380,763 | |
Innovent Biologics, Inc. (a)(d) | 365,500 | 1,134,153 | |
Zai Lab Ltd. (a) | 1,374,450 | 4,361,276 | |
Zai Lab Ltd. ADR (a) | 89,655 | 2,608,961 | |
9,485,153 | |||
Health Care Equipment & Supplies - 0.4% | |||
Peijia Medical Ltd.(a)(d) | 1,320,000 | 1,143,847 | |
Shenzhen Mindray Bio-Medical Electronics Co. Ltd. (A Shares) | 783,726 | 35,533,141 | |
36,676,988 | |||
Health Care Providers & Services - 0.1% | |||
Apollo Hospitals Enterprise Ltd. | 76,444 | 3,920,122 | |
Aster DM Healthcare Ltd. (a)(d) | 1,192 | 3,067 | |
3,923,189 | |||
Health Care Technology - 0.0% | |||
Medlive Technology Co. Ltd. (d) | 429,500 | 489,312 | |
Life Sciences Tools & Services - 0.4% | |||
WuXi AppTec Co. Ltd. (H Shares) (d) | 547,749 | 6,760,308 | |
Wuxi Biologics (Cayman), Inc. (a)(d) | 3,524,195 | 26,060,057 | |
32,820,365 | |||
Pharmaceuticals - 0.5% | |||
Hansoh Pharmaceutical Group Co. Ltd. (d) | 3,507,278 | 6,319,822 | |
Hypera SA | 952,600 | 7,775,058 | |
Richter Gedeon PLC | 1,772,825 | 34,704,217 | |
48,799,097 | |||
TOTAL HEALTH CARE | 132,194,104 | ||
INDUSTRIALS - 2.4% | |||
Aerospace & Defense - 0.2% | |||
Korea Aerospace Industries Ltd. | 462,400 | 19,539,365 | |
Airlines - 0.1% | |||
Wizz Air Holdings PLC (a)(d) | 103,969 | 3,825,531 | |
Building Products - 0.0% | |||
Zhejiang Weixing New Building Materials Co. Ltd. (A Shares) | 847,948 | 2,332,111 | |
Construction & Engineering - 0.5% | |||
Larsen & Toubro Ltd. | 1,483,340 | 31,626,924 | |
Voltas Ltd. | 1,199,300 | 15,734,263 | |
47,361,187 | |||
Electrical Equipment - 0.2% | |||
Sungrow Power Supply Co. Ltd. (A Shares) | 1,241,330 | 14,876,611 | |
Titan Wind Energy Suzhou Co. Ltd. (A Shares) | 1,068,620 | 2,184,649 | |
17,061,260 | |||
Industrial Conglomerates - 0.1% | |||
Industries Qatar QSC (a) | 1,114,331 | 5,596,517 | |
Machinery - 0.8% | |||
HIWIN Technologies Corp. | 2,494,716 | 19,186,255 | |
Shandong Himile Mechanical Science & Technology Co. Ltd. (A Shares) | 97,760 | 298,174 | |
Techtronic Industries Co. Ltd. | 1,066,000 | 13,964,828 | |
Wuxi Lead Intelligent Equipment Co. Ltd. (A Shares) | 258,105 | 1,877,760 | |
Zhejiang Sanhua Intelligent Controls Co. Ltd. (A Shares) | 13,438,599 | 35,127,273 | |
70,454,290 | |||
Professional Services - 0.0% | |||
Sporton International, Inc. | 451,500 | 3,026,492 | |
Road & Rail - 0.4% | |||
Localiza Rent A Car SA | 2,807,037 | 33,973,502 | |
Trading Companies & Distributors - 0.0% | |||
BOC Aviation Ltd. Class A (d) | 459,600 | 3,795,249 | |
Transportation Infrastructure - 0.1% | |||
Grupo Aeroportuario del Sureste S.A.B. de CV Series B | 305,126 | 6,665,934 | |
TOTAL INDUSTRIALS | 213,631,438 | ||
INFORMATION TECHNOLOGY - 11.1% | |||
Communications Equipment - 0.1% | |||
Accton Technology Corp. | 578,000 | 4,569,983 | |
Electronic Equipment & Components - 1.1% | |||
Hon Hai Precision Industry Co. Ltd. (Foxconn) | 3,158,739 | 12,236,488 | |
LG Innotek Co. Ltd. | 75,030 | 23,250,323 | |
SINBON Electronics Co. Ltd. | 464,000 | 4,123,563 | |
Sunny Optical Technology Group Co. Ltd. | 90,700 | 1,430,913 | |
Unimicron Technology Corp. | 5,775,830 | 42,354,455 | |
Yageo Corp. | 965,000 | 13,335,825 | |
96,731,567 | |||
IT Services - 0.8% | |||
Infosys Ltd. | 936,360 | 18,077,824 | |
Infosys Ltd. sponsored ADR | 2,723,435 | 51,363,984 | |
Tata Consultancy Services Ltd. | 102,317 | 4,436,071 | |
73,877,879 | |||
Semiconductors & Semiconductor Equipment - 6.2% | |||
ASMedia Technology, Inc. | 44,000 | 2,045,466 | |
eMemory Technology, Inc. | 245,330 | 12,866,695 | |
LONGi Green Energy Technology Co. Ltd. | 483,605 | 5,740,635 | |
MediaTek, Inc. | 1,874,993 | 57,925,013 | |
Parade Technologies Ltd. | 310,252 | 15,988,289 | |
Silergy Corp. | 207,551 | 21,310,606 | |
SK Hynix, Inc. | 605,790 | 52,659,796 | |
Taiwan Semiconductor Manufacturing Co. Ltd. | 18,338,648 | 346,490,454 | |
Taiwan Semiconductor Manufacturing Co. Ltd. sponsored ADR | 458,346 | 43,680,374 | |
Will Semiconductor Ltd. | 68,754 | 1,689,996 | |
560,397,324 | |||
Technology Hardware, Storage & Peripherals - 2.9% | |||
Samsung Electronics Co. Ltd. | 4,186,798 | 227,130,375 | |
Samsung Electronics Co. Ltd. GDR (Reg. S) | 24,405 | 32,739,308 | |
Wiwynn Corp. | 154,000 | 4,847,324 | |
264,717,007 | |||
TOTAL INFORMATION TECHNOLOGY | 1,000,293,760 | ||
MATERIALS - 4.2% | |||
Chemicals - 0.7% | |||
Hansol Chemical Co. Ltd. | 41,050 | 8,772,250 | |
LG Chemical Ltd. | 51,038 | 24,031,608 | |
PhosAgro OJSC GDR (Reg. S) (c) | 268,447 | 5,506 | |
PT Avia Avian | 102,592,032 | 5,206,646 | |
Shandong Sinocera Functional Material Co. Ltd. (A Shares) | 522,200 | 2,790,232 | |
SKSHU Paint Co. Ltd. (A Shares) | 258,864 | 3,616,414 | |
Sociedad Quimica y Minera de Chile SA (PN-B) sponsored ADR | 50,607 | 5,372,945 | |
Solar Industries India Ltd. | 521,560 | 17,610,497 | |
67,406,098 | |||
Construction Materials - 0.3% | |||
Beijing Oriental Yuhong Waterproof Technology Co. Ltd. (A Shares) | 1,211,986 | 8,092,622 | |
JK Cement Ltd. | 383,800 | 11,782,617 | |
Ultratech Cement Ltd. | 96,200 | 7,540,737 | |
27,415,976 | |||
Metals & Mining - 3.1% | |||
Anglo American PLC: | |||
(South Africa) | 129,534 | 6,319,610 | |
(United Kingdom) | 3,280 | 161,585 | |
AngloGold Ashanti Ltd. | 103,003 | 1,774,387 | |
Barrick Gold Corp. (b) | 1,617,000 | 33,132,330 | |
China Hongqiao Group Ltd. | 1,678,500 | 2,083,366 | |
First Quantum Minerals Ltd. | 1,466,627 | 42,461,858 | |
Gold Fields Ltd. sponsored ADR | 326,490 | 3,049,417 | |
Grupo Mexico SA de CV Series B | 8,903,280 | 43,976,924 | |
Impala Platinum Holdings Ltd. | 2,105,336 | 28,703,880 | |
Korea Zinc Co. Ltd. | 28,970 | 13,873,907 | |
Novolipetsk Steel OJSC GDR (Reg. S) (c) | 169,976 | 21,118 | |
POSCO | 206,270 | 47,744,073 | |
Press Metal Bhd | 5,963,700 | 7,545,712 | |
Sibanye-Stillwater Ltd. | 2,469,001 | 7,995,366 | |
Tata Steel Ltd. | 1,317,855 | 17,928,215 | |
Vale SA | 502,245 | 9,110,591 | |
Vale SA sponsored ADR | 550,800 | 9,941,940 | |
275,824,279 | |||
Paper & Forest Products - 0.1% | |||
Suzano Papel e Celulose SA | 842,233 | 9,481,113 | |
TOTAL MATERIALS | 380,127,466 | ||
REAL ESTATE - 0.6% | |||
Equity Real Estate Investment Trusts (REITs) - 0.0% | |||
Link (REIT) | 258,200 | 2,337,791 | |
Real Estate Management & Development - 0.6% | |||
Ayala Land, Inc. | 29,948,737 | 16,895,037 | |
China Merchants Shekou Industrial Zone Holdings Co. Ltd. (A Shares) | 1,169,000 | 2,190,123 | |
China Overseas Land and Investment Ltd. | 2,931,500 | 8,517,458 | |
China Resources Land Ltd. | 2,064,000 | 9,205,831 | |
KE Holdings, Inc. ADR (a) | 719,568 | 9,642,211 | |
Longfor Properties Co. Ltd. (d) | 1,732,000 | 8,641,018 | |
55,091,678 | |||
TOTAL REAL ESTATE | 57,429,469 | ||
UTILITIES - 0.2% | |||
Gas Utilities - 0.2% | |||
ENN Energy Holdings Ltd. | 322,700 | 4,947,091 | |
Kunlun Energy Co. Ltd. | 16,075,405 | 13,848,218 | |
18,795,309 | |||
Multi-Utilities - 0.0% | |||
Dubai Electricity & Water Authority PJSC | 2,391,577 | 1,660,343 | |
TOTAL UTILITIES | 20,455,652 | ||
TOTAL COMMON STOCKS | |||
(Cost $4,268,725,507) | 4,131,427,189 | ||
Nonconvertible Preferred Stocks - 1.1% | |||
CONSUMER STAPLES - 0.2% | |||
Beverages - 0.2% | |||
Ambev SA sponsored ADR | 6,119,100 | 18,112,536 | |
ENERGY - 0.3% | |||
Oil, Gas & Consumable Fuels - 0.3% | |||
Petroleo Brasileiro SA - Petrobras: | |||
(PN) (non-vtg.) | 63,700 | 402,904 | |
sponsored ADR | 1,590,626 | 22,077,889 | |
22,480,793 | |||
FINANCIALS - 0.6% | |||
Banks - 0.6% | |||
Banco Bradesco SA (PN) | 5,635,339 | 24,307,887 | |
Itau Unibanco Holding SA | 6,021,861 | 33,146,813 | |
Sberbank of Russia (c) | 2,462,434 | 22,614 | |
Sberbank of Russia (Russia) (c) | 3,791,522 | 34,819 | |
57,512,133 | |||
MATERIALS - 0.0% | |||
Metals & Mining - 0.0% | |||
Gerdau SA | 642,307 | 3,942,325 | |
TOTAL NONCONVERTIBLE PREFERRED STOCKS | |||
(Cost $101,883,692) | 102,047,787 | ||
Equity Funds - 46.7% | |||
Diversified Emerging Markets Funds - 46.7% | |||
Fidelity Advisor Emerging Markets Fund Class Z (e) | 28,004,799 | 976,247,283 | |
Fidelity SAI Emerging Markets Index Fund (e) | 54,212,366 | 748,130,649 | |
Fidelity SAI Emerging Markets Low Volatility Index Fund (e) | 61,993,983 | 670,774,901 | |
Fidelity SAI Emerging Markets Value Index Fund (e) | 143,572,608 | 1,803,271,961 | |
TOTAL EQUITY FUNDS | |||
(Cost $4,343,585,965) | 4,198,424,794 | ||
U.S. Treasury Obligations - 0.4% | |||
U.S. Treasury Bills, yield at date of purchase 0.33% to 1.05% 6/2/22 to 8/18/22 (f) | |||
(Cost $32,928,966) | 32,940,000 | 32,926,499 | |
Money Market Funds - 6.3% | |||
Fidelity Cash Central Fund 0.82% (g) | 120,229,492 | 120,253,538 | |
Fidelity Securities Lending Cash Central Fund 0.82% (g)(h) | 38,527,404 | 38,531,257 | |
Invesco Government & Agency Portfolio Institutional Class 0.67% (i) | 407,175,000 | 407,175,000 | |
TOTAL MONEY MARKET FUNDS | |||
(Cost $565,939,652) | 565,959,795 | ||
TOTAL INVESTMENT IN SECURITIES - 100.4% | |||
(Cost $9,313,063,782) | 9,030,786,064 | ||
NET OTHER ASSETS (LIABILITIES) - (0.4)% | (34,562,183) | ||
NET ASSETS - 100% | $8,996,223,881 |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/(Depreciation) | |
Purchased | |||||
Equity Index Contracts | |||||
ICE E-mini MSCI Emerging Markets Index Contracts (United States) | 7,759 | June 2022 | $412,507,235 | $11,395,370 | $11,395,370 |
The notional amount of futures purchased as a percentage of Net Assets is 4.6%
For the period, the average monthly notional amount at value for futures contracts in the aggregate was $527,915,950.
Legend
(a) Non-income producing
(b) Security or a portion of the security is on loan at period end.
(c) Level 3 security
(d) Security 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 $171,994,648 or 1.9% of net assets.
(e) Affiliated Fund
(f) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $23,655,153.
(g) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.
(h) Investment made with cash collateral received from securities on loan.
(i) The rate quoted is the annualized seven-day yield of the fund at period end.
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
Fund | 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 0.82% | $78,422,634 | $1,655,386,032 | $1,613,555,128 | $158,001 | $-- | $-- | $120,253,538 | 0.2% |
Fidelity Securities Lending Cash Central Fund 0.82% | 24,237,307 | 629,689,707 | 615,395,757 | 222,680 | -- | -- | 38,531,257 | 0.1% |
Total | $102,659,941 | $2,285,075,739 | $2,228,950,885 | $380,681 | $-- | $-- | $158,784,795 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations, if applicable. Amount for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.
Affiliated Underlying Funds
Fiscal year to date information regarding the Fund's investments in affiliated Underlying Funds is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur, and are excluded from purchases and sales below if applicable. If an underlying Fund 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 | $-- | $422,814,315 | $-- | $63,814,315 | $-- | $(96,174,245) | $976,247,283 |
Fidelity Emerging Markets Fund | 886,916,276 | -- | -- | -- | -- | (237,309,063) | -- |
Fidelity SAI Emerging Markets Index Fund | 595,071,338 | 310,134,435 | -- | 15,320,236 | -- | (157,075,124) | 748,130,649 |
Fidelity SAI Emerging Markets Low Volatility Index Fund | 491,205,946 | 219,241,201 | -- | 14,241,201 | -- | (39,672,246) | 670,774,901 |
Fidelity SAI Emerging Markets Value Index Fund | 1,092,630,032 | 988,902,325 | -- | 79,902,317 | -- | (278,260,396) | 1,803,271,961 |
Total | $3,065,823,592 | $1,941,092,276 | $-- | $173,278,069 | $-- | $(808,491,074) | $4,198,424,794 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations, if applicable.
Investment Valuation
The following is a summary of the inputs used, as of May 31, 2022, 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 | $396,215,112 | $90,378,770 | $302,531,039 | $3,305,303 |
Consumer Discretionary | 626,441,881 | 478,994,812 | 147,447,069 | -- |
Consumer Staples | 280,980,822 | 271,147,269 | 9,833,553 | -- |
Energy | 221,053,034 | 214,316,775 | 5,513,676 | 1,222,583 |
Financials | 900,709,913 | 520,348,391 | 379,903,757 | 457,765 |
Health Care | 132,194,104 | 106,134,047 | 26,060,057 | -- |
Industrials | 213,631,438 | 191,418,691 | 22,212,747 | -- |
Information Technology | 1,000,293,760 | 444,121,775 | 556,171,985 | -- |
Materials | 384,069,791 | 291,344,266 | 92,698,901 | 26,624 |
Real Estate | 57,429,469 | 57,429,469 | -- | -- |
Utilities | 20,455,652 | 20,455,652 | -- | -- |
Equity Funds | 4,198,424,794 | 4,198,424,794 | -- | -- |
Other Short-Term Investments | 32,926,499 | -- | 32,926,499 | -- |
Money Market Funds | 565,959,795 | 565,959,795 | -- | -- |
Total Investments in Securities: | $9,030,786,064 | $7,450,474,506 | $1,575,299,283 | $5,012,275 |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $11,395,370 | $11,395,370 | $-- | $-- |
Total Assets | $11,395,370 | $11,395,370 | $-- | $-- |
Total Derivative Instruments: | $11,395,370 | $11,395,370 | $-- | $-- |
The following is a reconciliation of Investments in Securities for which Level 3 inputs were used in determining value:
Investments in Securities: | |
Beginning Balance | $-- |
Net Realized Gain (Loss) on Investment Securities | (30,184,537) |
Net Unrealized Gain (Loss) on Investment Securities | (242,252,473) |
Cost of Purchases | 174,452,791 |
Proceeds of Sales | (53,501,957) |
Amortization/Accretion | -- |
Transfers into Level 3 | 156,498,451 |
Transfers out of Level 3 | -- |
Ending Balance | $5,012,275 |
The change in unrealized gain (loss) for the period attributable to Level 3 securities held at May 31, 2022 | $(242,252,473) |
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. 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. Cost of purchases and proceeds of sales may include securities received and/or delivered through in-kind transactions. 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. The cost of purchases and the proceeds of sales may include securities received or delivered through corporate actions or exchanges. 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 May 31, 2022. 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) | $11,395,370 | $0 |
Total Equity Risk | 11,395,370 | 0 |
Total Value of Derivatives | $11,395,370 | $0 |
(a) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
May 31, 2022 | ||
Assets | ||
Investment in securities, at value (including securities loaned of $37,896,666) — See accompanying schedule: Unaffiliated issuers (cost $4,810,713,165) | $4,673,576,475 | |
Fidelity Central Funds (cost $158,764,652) | 158,784,795 | |
Other affiliated issuers (cost $4,343,585,965) | 4,198,424,794 | |
Total Investment in Securities (cost $9,313,063,782) | $9,030,786,064 | |
Cash | 1,516 | |
Foreign currency held at value (cost $12,392,778) | 12,288,694 | |
Receivable for investments sold | 13,389,136 | |
Receivable for fund shares sold | 8,933,732 | |
Dividends receivable | 14,092,829 | |
Interest receivable | 202,992 | |
Distributions receivable from Fidelity Central Funds | 78,389 | |
Receivable for daily variation margin on futures contracts | 5,701,356 | |
Prepaid expenses | 23,639 | |
Other receivables | 1,262,790 | |
Total assets | 9,086,761,137 | |
Liabilities | ||
Payable for investments purchased | $43,134,788 | |
Payable for fund shares redeemed | 3,811,394 | |
Accrued management fee | 1,557,951 | |
Other payables and accrued expenses | 3,502,923 | |
Collateral on securities loaned | 38,530,200 | |
Total liabilities | 90,537,256 | |
Net Assets | $8,996,223,881 | |
Net Assets consist of: | ||
Paid in capital | $9,673,447,412 | |
Total accumulated earnings (loss) | (677,223,531) | |
Net Assets | $8,996,223,881 | |
Net Asset Value, offering price and redemption price per share ($8,996,223,881 ÷ 761,667,282 shares) | $11.81 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Year ended May 31, 2022 | ||
Investment Income | ||
Dividends: | ||
Unaffiliated issuers | $98,525,601 | |
Affiliated issuers | 85,499,348 | |
Non-Cash dividends | 14,313,967 | |
Interest | 507,486 | |
Income from Fidelity Central Funds (including $222,680 from security lending) | 380,681 | |
Income before foreign taxes withheld | 199,227,083 | |
Less foreign taxes withheld | (11,460,905) | |
Total income | 187,766,178 | |
Expenses | ||
Management fee | $42,116,743 | |
Custodian fees and expenses | 769,449 | |
Independent trustees' fees and expenses | 57,351 | |
Registration fees | 665,847 | |
Audit | 91,895 | |
Legal | 14,350 | |
Miscellaneous | 41,241 | |
Total expenses before reductions | 43,756,876 | |
Expense reductions | (22,019,963) | |
Total expenses after reductions | 21,736,913 | |
Net investment income (loss) | 166,029,265 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers (net of foreign taxes of $4,717,162) | (316,622,292) | |
Foreign currency transactions | (4,396,413) | |
Futures contracts | (113,858,053) | |
Capital gain distributions from underlying funds: | ||
Affiliated issuers | 87,778,721 | |
Total net realized gain (loss) | (347,098,037) | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers (net of decrease in deferred foreign taxes of $7,887,681) | (1,133,269,038) | |
Affiliated issuers | (808,491,074) | |
Assets and liabilities in foreign currencies | (114,208) | |
Futures contracts | 4,140,143 | |
Total change in net unrealized appreciation (depreciation) | (1,937,734,177) | |
Net gain (loss) | (2,284,832,214) | |
Net increase (decrease) in net assets resulting from operations | $(2,118,802,949) |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Year ended May 31, 2022 | Year ended May 31, 2021 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $166,029,265 | $55,084,427 |
Net realized gain (loss) | (347,098,037) | 272,233,390 |
Change in net unrealized appreciation (depreciation) | (1,937,734,177) | 1,652,625,526 |
Net increase (decrease) in net assets resulting from operations | (2,118,802,949) | 1,979,943,343 |
Distributions to shareholders | (364,306,392) | (42,636,300) |
Share transactions | ||
Proceeds from sales of shares | 5,475,036,336 | 3,477,545,708 |
Reinvestment of distributions | 360,403,920 | 42,188,485 |
Cost of shares redeemed | (1,860,049,091) | (929,486,679) |
Net increase (decrease) in net assets resulting from share transactions | 3,975,391,165 | 2,590,247,514 |
Total increase (decrease) in net assets | 1,492,281,824 | 4,527,554,557 |
Net Assets | ||
Beginning of period | 7,503,942,057 | 2,976,387,500 |
End of period | $8,996,223,881 | $7,503,942,057 |
Other Information | ||
Shares | ||
Sold | 398,993,856 | 252,627,825 |
Issued in reinvestment of distributions | 24,964,583 | 2,895,572 |
Redeemed | (140,229,335) | (66,023,143) |
Net increase (decrease) | 283,729,104 | 189,500,254 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Strategic Advisers Fidelity Emerging Markets Fund
Years ended May 31, | 2022 | 2021 | 2020 | 2019 A |
Selected Per–Share Data | ||||
Net asset value, beginning of period | $15.70 | $10.32 | $10.71 | $10.00 |
Income from Investment Operations | ||||
Net investment income (loss)B,C | .26 | .15 | .26D | .18 |
Net realized and unrealized gain (loss) | (3.50) | 5.34 | (.39) | .67 |
Total from investment operations | (3.24) | 5.49 | (.13) | .85 |
Distributions from net investment income | (.24) | (.11) | (.26) | (.14) |
Distributions from net realized gain | (.40) | – | – | – |
Total distributions | (.65)E | (.11) | (.26) | (.14) |
Net asset value, end of period | $11.81 | $15.70 | $10.32 | $10.71 |
Total ReturnF,G | (21.40)% | 53.25% | (1.58)% | 8.63% |
Ratios to Average Net AssetsC,H,I | ||||
Expenses before reductions | .50% | .51% | .49% | .57%J |
Expenses net of fee waivers, if any | .25% | .25% | .24% | .32%J |
Expenses net of all reductions | .25% | .24% | .23% | .31%J |
Net investment income (loss) | 1.89% | 1.05% | 2.35%D | 2.82%J |
Supplemental Data | ||||
Net assets, end of period (000 omitted) | $8,996,224 | $7,503,942 | $2,976,388 | $1,943,853 |
Portfolio turnover rateK | 29% | 47% | 49% | 125%J |
A For the period October 30, 2018 (commencement of operations) through May 31, 2019.
B Calculated based on average shares outstanding during the period.
C Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any such underlying funds is not included in the Fund's net investment income (loss) ratio.
D Net investment income per share reflects one or more large, non-recurring dividend(s) which amounted to $.06 per share. Excluding such non-recurring dividend(s), the ratio of net investment income (loss) to average net assets would have been 1.80%.
E Total distributions per share do not sum due to rounding.
F Total returns for periods of less than one year are not annualized.
G Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
H Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
I Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
J Annualized
K Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements
For the period ended May 31, 2022
1. Organization.
Strategic Advisers Fidelity Emerging Markets Fund (the Fund) is a fund of Fidelity Rutland Square Trust II (the Trust), and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust. The Fund is offered exclusively to certain managed account clients of Strategic Advisers LLC (Strategic Advisers), an affiliate of Fidelity Management & Research Company LLC (FMR). The Fund's investments in emerging markets can be subject to social, economic, regulatory, and political uncertainties and can be extremely volatile.
2. Significant Accounting Policies.
The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
- Level 1 – 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 vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, ETFs and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. If an unaffiliated open-end mutual fund's NAV is unavailable, shares of that fund may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and is categorized as Level 2 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of May 31, 2022, as well as a roll forward of Level 3 investments, 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 dividends. Any receivables for withholding tax reclaims are included in the Statement of Assets and Liabilities in dividends receivable.
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan) for certain Funds, certain independent Trustees have elected to defer receipt of a portion of their annual compensation. Deferred amounts are invested in affiliated mutual funds, are marked-to-market and remain in a fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees presented below are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, as applicable.
Strategic Advisers Fidelity Emerging Markets Fund | $11 |
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of May 31, 2022, 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), capital loss carryforwards and losses deferred due to wash sales and excise tax regulations.
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
Gross unrealized appreciation | $785,471,017 |
Gross unrealized depreciation | (1,182,380,833) |
Net unrealized appreciation (depreciation) | $(396,909,816) |
Tax Cost | $9,427,695,880 |
The tax-based components of distributable earnings as of period end were as follows:
Undistributed ordinary income | $12,433,829 |
Capital loss carryforward | $(64,510,980) |
Net unrealized appreciation (depreciation) on securities and other investments | $(397,080,597) |
Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of fiscal period end and is subject to adjustment.
No expiration | |
Short-term | $(46,976,565) |
Long-term | (17,534,415) |
Total capital loss carryforward | $(64,510,980) |
The Fund intends to elect to defer to its next fiscal year $225,138,402 of capital losses recognized during the period November 1, 2021 to May 31, 2022.
The tax character of distributions paid was as follows:
May 31, 2022 | May 31, 2021 | |
Ordinary Income | $185,950,539 | $ 42,636,300 |
Long-term Capital Gains | 178,355,853 | – |
Total | $364,306,392 | $ 42,636,300 |
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 objective allows the Fund to enter into various types of derivative contracts, including futures contracts. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.
The Fund used derivatives to increase returns and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.
The Fund's use of derivatives increased or decreased its exposure to the following risk:
Equity Risk | Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment. |
The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Counterparty credit risk related to exchange-traded futures contracts may be mitigated by the protection provided by the exchange on which they trade.
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.
Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. The Fund used futures contracts to manage its exposure to the stock market.
Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments (variation margin) are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is presented in the Statement of Operations.
Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The notional amount at value reflects each contract's exposure to the underlying instrument or index at period end. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.
4. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities and in-kind transactions, as applicable, are noted in the table below.
Purchases ($) | Sales ($) | |
Strategic Advisers Fidelity Emerging Markets Fund | 5,932,067,069 | 2,371,450,609 |
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 .48% of the Fund's average net assets.
During the period, the investment adviser waived a portion of its management fee as described in the Expense Reductions note.
Sub-Advisers. FIAM LLC (an affiliate of the investment adviser) and FIL Investment Advisors each served as a sub-adviser for the Fund during the period. Sub-advisers provide discretionary investment advisory services for their allocated portion of the Fund's assets and are paid as described in the Management Fee note.
Geode Capital Management, LLC (Geode) has been retained to serve as a sub-adviser for the Fund. As of the date of this report, however, Geode has not been allocated any portion of the Fund's assets. Geode in the future may provide discretionary investment advisory services for an allocated portion of the Fund's assets and will be paid by the investment adviser for providing these services.
Brokerage Commissions. A portion of portfolio transactions were placed with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Statement of Operations. The commissions paid to these affiliated firms were as follows:
Amount | |
Strategic Advisers Fidelity Emerging Markets Fund | $8,097 |
Interfund Trades. Funds may purchase from or sell securities to other funds affiliated with each sub-adviser under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. Interfund trades during the period are noted in the table below.
Purchases ($) | Sales ($) | Realized Gain (Loss) ($) | |
Strategic Advisers Fidelity Emerging Markets Fund | 25,774,872 | 26,193,583 | (959,712) |
Other. During the period, the investment adviser reimbursed the Fund for certain losses as follows:
Amount ($) | |
Strategic Advisers Fidelity Emerging Markets Fund | 859,399 |
6. Investments in Fidelity Central Funds.
Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.
Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense Ratio(a) |
Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |
(a) Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.
7. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below. During the period, there were no borrowings on this line of credit.
Amount | |
Strategic Advisers Fidelity Emerging Markets Fund | $13,785 |
8. Security Lending.
Funds lend portfolio securities from time to time in order to earn additional income. Lending agents are used, including National Financial Services (NFS), an affiliate of the investment adviser. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of a fund's daily lending revenue, for its services as lending agent. A fund may lend securities to certain qualified borrowers, including NFS. On the settlement date of the loan, a fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of a fund and any additional required collateral is delivered to a fund on the next business day. A fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund may apply collateral received from the borrower against the obligation. A fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Affiliated security lending activity, if any, was as follows:
Total Security Lending Fees Paid to NFS | Security Lending Income From Securities Loaned to NFS | Value of Securities Loaned to NFS at Period End | |
Strategic Advisers Fidelity Emerging Markets Fund | $11,948 | $– | $– |
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, 2024. During the period, this waiver reduced the Fund's management fee by $22,019,032.
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 $931.
10. Other.
A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.
Funds do not invest in underlying mutual funds for the purpose of exercising management or control; however, investments by funds within their principal investment strategies may represent a significant portion of the underlying mutual fund's net assets. At the end of the period, certain Funds were the owners of record of 10% or more of the total outstanding shares of the following underlying mutual funds as shown below.
Fund | Strategic Advisers Fidelity Emerging Markets Fund |
Fidelity Emerging Markets Fund | 14% |
Fidelity SAI Emerging Markets Index Fund | 18% |
Fidelity SAI Emerging Markets Low Volatility Index Fund | 33% |
Fidelity SAI Emerging Markets Value Index Fund | 65% |
11. Coronavirus (COVID-19) Pandemic.
An outbreak of COVID-19 first detected in China during December 2019 has since spread globally and was declared a pandemic by the World Health Organization during March 2020. Developments that disrupt global economies and financial markets, such as the COVID-19 pandemic, may magnify factors that affect the Fund's performance.
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Fidelity Rutland Square Trust II and Shareholders of Strategic Advisers Fidelity Emerging Markets Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Strategic Advisers Fidelity Emerging Markets Fund (one of the funds constituting Fidelity Rutland Square Trust II, referred to hereafter as the “Fund”) as of May 31, 2022, the related statement of operations for the year ended May 31, 2022, the statement of changes in net assets for each of the two years in the period ended May 31, 2022, including the related notes, and the financial highlights for each of the three years in the period ended May 31, 2022 and for the period October 30, 2018 (commencement of operations) through May 31, 2019 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of May 31, 2022, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended May 31, 2022 and the financial highlights for each of the three years in the period ended May 31, 2022 and for the period October 30, 2018 (commencement of operations) through May 31, 2019 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of May 31, 2022 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
Boston, Massachusetts
July 15, 2022
We have served as the auditor of one or more investment companies in the Fidelity group of funds since 1932.
Trustees and Officers
The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance. If the interests of the fund and an underlying Fidelity® fund were to diverge, a conflict of interest could arise and affect how the Trustees and Members of the Advisory Board fulfill their fiduciary duties to the affected funds. Strategic Advisers has structured the fund to avoid these potential conflicts, although there may be situations where a conflict of interest is unavoidable. In such instances, Strategic Advisers, the Trustees, and Members of the Advisory Board would take reasonable steps to minimize and, if possible, eliminate the conflict. Each of the Trustees oversees 13 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 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.
Each Trustee who is not an interested person (as defined in the 1940 Act) of the trust and the fund is referred to herein as an Independent Trustee.
The fund’s Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-3455.
Experience, Skills, Attributes, and Qualifications of the Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee may also engage professional search firms to help identify potential Independent Trustee candidates with experience, qualifications, attributes, and skills consistent with the Statement of Policy. Additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, may be considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.
In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.
Board Structure and Oversight Function. Kathleen Murphy is an interested person and currently serves as Chair. The Trustees have determined that an interested Chair is appropriate and benefits shareholders because an interested Chair has a personal and professional stake in the quality and continuity of services provided to the fund. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chair, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chair and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session. Mary C. Farrell serves as the lead Independent Trustee and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.
Fidelity® funds are overseen by different Boards of Trustees. The fund's Board oversees asset allocation funds. Other Boards oversee Fidelity's investment-grade bond, money market, and asset allocation funds, and Fidelity's equity and high income funds. The fund may invest in Fidelity® funds overseen by such other Boards. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity® funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues.
The Trustees primarily operate as a full Board, but also operate in committees, to facilitate the timely and efficient consideration of all matters of importance to the Trustees, the fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the fund's activities and associated risks. The Board has charged Strategic Advisers and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the fund's business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above. Because the day-to-day operations and activities of the fund are carried out by or through Strategic Advisers, its affiliates and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees. Board oversight of different aspects of the fund's activities is exercised primarily through the full Board, but also through the Audit and Compliance Committee. Appropriate personnel, including but not limited to the fund's Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the fund's Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate. The responsibilities of each standing committee, including their oversight responsibilities, are described further under "Standing Committees of the Trustees."
Interested Trustees*:
Correspondence intended for a Trustee who is an interested person may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Charles S. Morrison (1960)
Year of Election or Appointment: 2020
Trustee
Mr. Morrison also serves as Trustee of other funds. Previously, Mr. Morrison served as President (2017-2018) and Director (2014-2018) of Fidelity SelectCo, LLC (investment adviser firm), President of Fidelity Management & Research Company (FMR) (investment adviser firm, 2016-2018), a Director of Fidelity Investments Money Management, Inc. (investment adviser firm, 2014-2018), President, Asset Management (2014-2018), Trustee of the Fidelity Equity and High Income Funds (283 funds as of December 2018) (2014-2018), and was an employee of Fidelity Investments. Mr. Morrison also previously served as Vice President of Fidelity's Fixed Income and Asset Allocation Funds (2012-2014), President, Fixed Income (2011-2014), Vice President of Fidelity's Money Market Funds (2005-2009), President, Money Market Group Leader of FMR (2009), and Senior Vice President, Money Market Group of FMR (2004-2009). Mr. Morrison also served as Vice President of Fidelity's Bond Funds (2002-2005), certain Balanced Funds (2002-2005), and certain Asset Allocation Funds (2002-2007), and as Senior Vice President (2002-2005) of Fidelity's Bond Division.
Kathleen Murphy (1963)
Year of Election or Appointment: 2022
Trustee
Chair of the Board of Trustees
Ms. Murphy also serves as Trustee of other funds. Ms. Murphy serves as a Senior Adviser to the Chief Executive Officer of Fidelity Investments (2022-present), member of the Board of Directors of Snyk Technologies (cybersecurity technology, 2022-present), member of the Advisory Board of FliptRX (pharmacy benefits manager, 2022-present), member of the Board of Directors of Fidelity Investments Life Insurance Company (2009-present)), and member of the Board of Directors of Empire Fidelity Investments Life Insurance Company (2009-present). Previously, Ms. Murphy served as President of Personal Investing at Fidelity Investments (2009-2021), Chief Executive Officer of ING U.S. Wealth Management (2003-2008), and Deputy General Counsel, General Counsel and Chief Compliance Officer (1997-2003) of Aetna. Ms. Murphy also serves as Vice Chairman of the Board of Directors of the National Football Foundation (2013-present).
* Determined to be an "Interested Trustee" by virtue of, among other things, his or her affiliation with the trust or various entities under common control with Strategic Advisers.
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Independent Trustees:
Correspondence intended for an Independent Trustee may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Peter C. Aldrich (1944)
Year of Election or Appointment: 2006
Trustee
Mr. Aldrich also serves as Trustee of other funds. Mr. Aldrich is an independent Director of BLPF GP LLC (general partner of a private fund, 2006-present) and BlackRock US Core Property Fund, Inc. (real estate investment trust, 2006-present). Previously, Mr. Aldrich served as a Managing Member of Poseidon, LLC (foreign private investment, 1998-2004), and Chairman and Managing Member of AEGIS, LLC (foreign private investment, 1997-2004). Mr. Aldrich previously was a founder, Chief Executive Officer, and Chairman of AEW Capital Management, L.P. (then, Aldrich, Eastman and Waltch, L.P.). Mr. Aldrich also served as a Director of LivelyHood, Inc. (private corporation, 2013-2020), a Trustee for the Fidelity Rutland Square Trust (2005-2010), a Director of Zipcar, Inc. (car sharing services, 2001-2009) and as Faculty Chairman of The Research Council on Global Investment of The Conference Board (business and professional education non-profit, 1999-2004). Mr. Aldrich is a Member Emeritus of the Board of Directors of the National Bureau of Economic Research and the Board of Trustees of the Museum of Fine Arts Boston.
Mary C. Farrell (1949)
Year of Election or Appointment: 2013
Trustee
Ms. Farrell also serves as Trustee of other funds. Ms. Farrell is a Director of the W.R. Berkley Corporation (insurance provider) and Director (2006-present) and Chair (2021-present) of the Howard Gilman Foundation (charitable organization). Previously, Ms. Farrell was Managing Director and Chief Investment Strategist at UBS Wealth Management USA and Co-Head of UBS Wealth Management Investment Strategy & Research Group (2003-2005) and President (2009-2021) of the Howard Gilman Foundation (charitable organization). Ms. Farrell also served as Investment Strategist at PaineWebber (1982-2000) and UBS PaineWebber (2000-2002). Ms. Farrell serves as Chairman of the Board of Trustees of Yale-New Haven Hospital and Vice Chairman of the Yale New Haven Health System Board and previously served as Trustee on the Board of Overseers of the New York University Stern School of Business.
Karen Kaplan (1960)
Year of Election or Appointment: 2006
Trustee
Ms. Kaplan also serves as Trustee of other funds. Ms. Kaplan is Chair (2014-present) and Chief Executive Officer (2013-present) of Hill Holliday (advertising and specialized marketing). Ms. Kaplan is a Member of the Board of Governors of the Chief Executives’ Club of Boston (2010-present), Member of the Executive Committee and past Chair of the Greater Boston Chamber of Commerce (2006-present), Advisory Board Member of the National Association of Corporate Directors Chapter (2012-present), Member of the Board of Trustees of the Post Office Square Trust (2012-present), Trustee of the Brigham and Women’s Hospital (2016-present), Overseer of the Boston Symphony Orchestra (2014-present), Member of the Board of Directors of The Advertising Council, Inc. (2016-present), Member of the Ron Burton Training Village Executive Board of Advisors (2017-present), Member of the Executive Committee of The Ad Council, Inc. (2019-present), and Member of the Board of Directors of The Ad Club of Boston (2020-present). Previously, Ms. Kaplan served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010), Director of The Michaels Companies, Inc. (specialty retailer, 2015-2021), a member of the Clinton Global Initiative (2010-2015), Director of DSM (dba Delta Dental and DentaQuest) (2004-2014), Formal Appointee of the 2015 Baker-Polito Economic Development Council, Director of Vera Bradley Inc. (designer of women’s accessories, 2012-2015), Member of the Board of Directors of the Massachusetts Conference for Women (2008-2015), Member of the Board of Directors of Jobs for Massachusetts (2012-2015), President of the Massachusetts Women’s Forum (2008-2010), Treasurer of the Massachusetts Women’s Forum (2002-2006), and Vice Chair of the Board of the Massachusetts Society for the Prevention of Cruelty to Children (2003-2010).
Christine Marcks (1955)
Year of Election or Appointment: 2020
Trustee
Ms. Marcks also serves as Trustee of other Funds. Prior to her retirement, Ms. Marcks served as Chief Executive Officer and President – Prudential Retirement (2007-2017) and Vice President for Rollover and Retirement Income Strategies (2005-2007), Prudential Financial, Inc. (financial services). Previously, Ms. Marcks served as a Member of the Advisory Board of certain Fidelity® funds (2019-2020), was Senior Vice President and Head of Financial Horizons (2002-2004) and Vice President, Strategic Marketing (2000-2002) of Voya Financial (formerly ING U.S.) (financial services), held numerous positions at Aetna Financial Services (financial services, 1987-2000) and served as an International Economist for the United States Department of the Treasury (1980-1987). Ms. Marcks also serves as a member of the Board of Trustees, Audit Committee and Benefits & Operations Committee of the YMCA Retirement Fund (2018-present), a non-profit organization providing retirement plan benefits to YMCA staff members, and as a member of the Board of Trustees of Assumption College (2019-present).
Heidi L. Steiger (1953)
Year of Election or Appointment: 2017
Trustee
Ms. Steiger also serves as Trustee of other funds. Ms. Steiger serves as Managing Partner of Topridge Associates, LLC (consulting, 2005-present) and a member of the Board of Directors (2022-present) of Live Current Media, Inc. Previously, Ms. Steiger served as a member of the Board of Directors (2013-2021) and member of the Membership and Executive Committee (2017-2021) of Business Executives for National Security (nonprofit), a member of the Board of Directors Chair of the Remuneration Committee of Imagine Intelligent Materials Limited (2019-2021) (technology company), a member of the Advisory Board of the joint degree program in Global Luxury Management at North Carolina State University (Raleigh, NC) and Skema (Paris) (2018-2021), a Non-Executive Director of CrowdBureau Corporation (financial technology company and index provider, 2018-2021), a member of the Global Advisory Board and Of Counsel to Signum Global Advisors (international policy and strategy, 2018-2020), Eastern Region President of The Private Client Reserve of U.S. Bancorp (banking and financial services, 2010-2015), Advisory Director of Berkshire Capital Securities, LLC (financial services, 2009-2010), President and Senior Advisor of Lowenhaupt Global Advisors, LLC (financial services, 2005-2007), and President and Contributing Editor of Worth Magazine (2004-2005) and held a variety of positions at Neuberger Berman Group, LLC (financial services, 1986-2004), including Partner and Executive Vice President and Global Head of Private Asset Management at Neuberger Berman (1999-2004). Ms. Steiger also served as a member of the Board of Directors of Nuclear Electric Insurance Ltd (insurer of nuclear utilities, 2006-2017), a member of the Board of Trustees and Audit Committee of the Eaton Vance Funds (2007-2010), a member of the Board of Directors of Aviva USA (formerly AmerUs) (insurance, 2004-2014), and a member of the Board of Trustees and Audit Committee and Chair of the Investment Committee of CIFG (financial guaranty insurance, 2009-2012), and a member of the Board of Directors of Kin Group Plc (formerly, Fitbug Holdings) (health and technology, 2016-2017).
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Advisory Board Members and Officers:
Correspondence intended for a Member of the Advisory Board (if any) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235. Correspondence intended for an officer or Howard E. Cox, Jr. may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210. Officers appear below in alphabetical order.
Name, Year of Birth; Principal Occupation
Howard E. Cox, Jr. (1944)
Year of Election or Appointment: 2009
Member of the Advisory Board
Mr. Cox also serves as a Member of the Advisory Board of other funds. Mr. Cox is a Partner of Greylock (venture capital, 1971-present) and a Director of Stryker Corporation (medical products and services, 1974-present). Previously, Mr. Cox served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010). Mr. Cox also serves as a Member of the Secretary of Defense's Business Board of Directors (2008-present), a Director of Business Executives for National Security (1997-present), a Director of the Brookings Institution (2010-present), a Director of the World Economic Forum’s Young Global Leaders Foundation (2009-present), and is a Member of the Harvard Medical School Board of Fellows (2002-present).
Craig S. Brown (1977)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Brown also serves as an officer of other funds. Mr. Brown serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2013-present).
John J. Burke III (1964)
Year of Election or Appointment: 2018
Chief Financial Officer
Mr. Burke also serves as Chief Financial Officer of other funds. Mr. Burke serves as Head of Investment Operations for Fidelity Fund and Investment Operations (2018-present) and is an employee of Fidelity Investments (1998-present). Previously Mr. Burke served as head of Asset Management Investment Operations (2012-2018).
Jonathan Davis (1968)
Year of Election or Appointment: 2010
Assistant Treasurer
Mr. Davis also serves as an officer of other funds. Mr. Davis serves as Assistant Treasurer of FIMM, LLC (2021-present), FMR Capital, Inc. (2017-present), FD Funds GP LLC (2021-present), FD Funds Holding LLC (2021-present), and FD Funds Management LLC (2021-present); and is an employee of Fidelity Investments. Previously, Mr. Davis served as Vice President and Associate General Counsel of FMR LLC (diversified financial services company, 2003-2010).
Laura M. Del Prato (1964)
Year of Election or Appointment: 2018
Assistant Treasurer
Ms. Del Prato also serves as an officer of other funds. Ms. Del Prato serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2017-present). Previously, Ms. Del Prato served as President and Treasurer of The North Carolina Capital Management Trust: Cash Portfolio and Term Portfolio (2018-2020). Prior to joining Fidelity Investments, Ms. Del Prato served as a Managing Director and Treasurer of the JPMorgan Mutual Funds (2014-2017). Prior to JPMorgan, Ms. Del Prato served as a partner at Cohen Fund Audit Services (accounting firm, 2012-2013) and KPMG LLP (accounting firm, 2004-2012).
James D. Gryglewicz (1972)
Year of Election or Appointment: 2015
Chief Compliance Officer
Mr. Gryglewicz also serves as Chief Compliance Officer of other funds. Mr. Gryglewicz serves as Compliance Officer of Strategic Advisers LLC (investment adviser firm, 2015-present), Senior Vice President of Asset Management Compliance (2009-present), and is an employee of Fidelity Investments (2004-present). Previously, Mr. Gryglewicz served as Compliance Officer of Fidelity SelectCo, LLC (investment adviser firm, 2014-2019), and as Chief Compliance Officer of certain Fidelity® funds (2014-2018).
Colm A. Hogan (1973)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Hogan also serves as an officer of other funds. Mr. Hogan serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2005-present). Previously, Mr. Hogan served as Deputy Treasurer of certain Fidelity® funds (2016-2020) and Assistant Treasurer of certain Fidelity® funds (2016-2018).
Christina H. Lee (1975)
Year of Election or Appointment: 2020
Secretary and Chief Legal Officer
Ms. Lee also serves as Secretary and CLO of other funds. Ms. Lee serves as Vice President, Associate General Counsel (2014-present) and is an employee of Fidelity Investments (2007-present). Previously, Ms. Lee served as Assistant Secretary of certain funds (2018-2019).
Cynthia Lo Bessette (1969)
Year of Election or Appointment: 2020
Assistant Secretary
Ms. Lo Bessette also serves as an officer of other funds. Ms. Lo Bessette serves as CLO, Secretary, and Senior Vice President of Fidelity Management & Research Company LLC (investment adviser firm, 2019-present); CLO of Fidelity Management & Research (Hong Kong) Limited, FMR Investment Management (UK) Limited, and Fidelity Management & Research (Japan) Limited (investment adviser firms, 2019-present); Secretary of FD Funds GP LLC (2021-present), FD Funds Holding LLC (2021-present), and FD Funds Management LLC (2021-present); and Assistant Secretary of FIMM, LLC (2019-present). She is a Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company, 2019-present), and is an employee of Fidelity Investments. Previously, Ms. Lo Bessette served as CLO, Secretary, and Senior Vice President of FMR Co., Inc. (investment adviser firm, 2019); Secretary of Fidelity SelectCo, LLC and Fidelity Investments Money Management, Inc. (investment adviser firms, 2019). Prior to joining Fidelity Investments, Ms. Lo Bessette was Executive Vice President, General Counsel (2016-2019) and Senior Vice President, Deputy General Counsel (2015-2016) of OppenheimerFunds (investment management company) and Deputy Chief Legal Officer (2013-2015) of Jennison Associates LLC (investment adviser firm).
Chris Maher (1972)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Maher also serves as an officer of other funds. Mr. Maher serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present), and is an employee of Fidelity Investments (2008-present). Previously, Mr. Maher served as Assistant Treasurer of certain funds (2013-2020); Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010).
Brett Segaloff (1972)
Year of Election or Appointment: 2021
Anti-Money Laundering (AML) Officer
Mr. Segaloff also serves as an AML Officer of other funds and other related entities. He is Director, Anti-Money Laundering (2007-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments (1996-present).
Stacie M. Smith (1974)
Year of Election or Appointment: 2020
President and Treasurer
Ms. Smith also serves as an officer of other funds. Ms. Smith serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present), is an employee of Fidelity Investments (2009-present), and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (accounting firm, 1996-2009). Previously, Ms. Smith served as Assistant Treasurer (2013-2019) and Deputy Treasurer (2013-2016) of certain Fidelity® funds.
Jim Wegmann (1979)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Wegmann also serves as an officer of other funds. Mr. Wegmann serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2011-present). Previously, Mr. Wegmann served as Assistant Treasurer of certain Fidelity® funds (2019-2021).
Shareholder Expense Example
As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (December 1, 2021 to May 31, 2022).
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Annualized Expense Ratio-A | Beginning Account Value December 1, 2021 | Ending Account Value May 31, 2022 | Expenses Paid During Period-B December 1, 2021 to May 31, 2022 | |
Strategic Advisers Fidelity Emerging Markets Fund | .24% | |||
Actual | $1,000.00 | $864.00 | $1.12 | |
Hypothetical-C | $1,000.00 | $1,023.73 | $1.21 |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/ 365 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.
C 5% return per year before expenses
Distributions (Unaudited)
The dividend and capital gains distributions for the fund(s) are available on Fidelity.com or Institutional.Fidelity.com.
The fund designates 1% and 0% of the dividends distributed in July and December, respectively during the fiscal year as qualifying for the dividends–received deduction for corporate shareholders.
The fund designates 100% and 48% of the dividends distributed in July and December, respectively during the fiscal year as amounts which may be taken into account as a dividend for the purposes of the maximum rate under section 1(h)(11) of the Internal Revenue Code.
The fund will notify shareholders in January 2023 of amounts for use in preparing 2022 income tax returns.
Liquidity Risk Management Program
The Securities and Exchange Commission adopted Rule 22e-4 under the Investment Company Act of 1940 (the Liquidity Rule) to promote effective liquidity risk management throughout the open-end investment company industry, thereby reducing the risk that funds will be unable to meet their redemption obligations and mitigating dilution of the interests of fund shareholders.
The Fund has adopted and implemented a liquidity risk management program (the Program) reasonably designed to assess and manage the Fund’s liquidity risk and to comply with the requirements of the Liquidity Rule. The Fund’s Board of Trustees (the Board) has designated the Fund’s investment adviser as administrator of the Program. Strategic Advisers has established a Liquidity Risk Management Committee (the LRM Committee) to manage the Program for each of the Funds. The LRM Committee monitors the adequacy and effectiveness of implementation of the Program and on a periodic basis assesses each Fund’s liquidity risk based on a variety of factors including (1) the Fund’s investment strategy, (2) portfolio liquidity and cash flow projections during normal and reasonably foreseeable stressed conditions, (3) shareholder redemptions and (4) borrowings and other funding sources, as applicable.
In accordance with the Program, each of the Fund’s portfolio investments is classified into one of four liquidity categories described below based on a determination of a reasonable expectation for how long it would take to convert the investment to cash (or sell or dispose of the investment) without significantly changing its market value.
- Highly liquid investments – cash or convertible to cash within three business days or less
- Moderately liquid investments – convertible to cash in three to seven calendar days
- Less liquid investments – can be sold or disposed of, but not settled, within seven calendar days
- Illiquid investments – cannot be sold or disposed of within seven calendar days
Liquidity classification determinations take into account a variety of factors including various market, trading and investment-specific considerations, as well as market depth, and generally utilize analysis from a third-party liquidity metrics service.
The Liquidity Rule places a 15% limit on a fund’s illiquid investments and requires funds that do not primarily hold assets that are highly liquid investments to determine and maintain a minimum percentage of the fund’s net assets to be invested in highly liquid investments (highly liquid investment minimum or HLIM). The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments and for determining, periodically reviewing and complying with the HLIM requirement as applicable.
At a recent meeting of the Fund’s Board of Trustees, the LRM Committee provided a written report to the Board pertaining to the operation, adequacy, and effectiveness of implementation of the Program for the annual period from December 1, 2020 through November 30, 2021. The report concluded that the Program has been implemented and is operating effectively and is reasonably designed to assess and manage the Fund’s liquidity risk.
STE-ANN-0722
1.9890707.103
Strategic Advisers® Large Cap Fund
Offered exclusively to certain managed account clients of Strategic Advisers LLC or its affiliates - not available for sale to the general public
May 31, 2022
Contents
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All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2022 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
Note to Shareholders:
Early in 2020, the outbreak and spread of COVID-19 emerged as a public health emergency that had a major influence on financial markets, primarily based on its impact on the global economy and corporate earnings. On March 11, 2020, the World Health Organization declared the COVID-19 outbreak a pandemic, citing sustained risk of further global spread. The pandemic prompted a number of measures to limit the spread of COVID-19, including travel and border restrictions, quarantines, and restrictions on large gatherings. In turn, these resulted in lower consumer activity, diminished demand for a wide range of products and services, disruption in manufacturing and supply chains, and – given the wide variability in outcomes regarding the outbreak – significant market uncertainty and volatility. To help stem the turmoil, the U.S. government took unprecedented action – in concert with the U.S. Federal Reserve and central banks around the world – to help support consumers, businesses, and the broader economy, and to limit disruption to the financial system.
In general, the overall impact of the pandemic lessened in 2021, amid a resilient economy and widespread distribution of three COVID-19 vaccines granted emergency use authorization from the U.S. Food and Drug Administration (FDA) early in the year. Still, the situation remains dynamic, and the extent and duration of its influence on financial markets and the economy is highly uncertain, due in part to a recent spike in cases based on highly contagious variants of the coronavirus.
Extreme events such as the COVID-19 crisis are exogenous shocks that can have significant adverse effects on mutual funds and their investments. Although multiple asset classes may be affected by market disruption, the duration and impact may not be the same for all types of assets. Fidelity is committed to helping you stay informed amid news about COVID-19 and during increased market volatility, and we continue to take extra steps to be responsive to customer needs. We encourage you to visit us online, where we offer ongoing updates, commentary, and analysis on the markets and our funds.
Performance: The Bottom Line
Average annual total return reflects the change in the value of an investment, assuming reinvestment of distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year. The hypothetical investment and the average annual total returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund’s total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.
Average Annual Total Returns
For the periods ended May 31, 2022 | Past 1 year | Past 5 years | Past 10 years |
Strategic Advisers® Large Cap Fund | (2.43)% | 13.17% | 14.01% |
Returns from November 21, 2020 through May 31, 2022 are those of Strategic Advisers Large Cap Fund. Returns prior to the Reorganization on November 20, 2020 are those of Strategic Advisers Core Fund (“Predecessor Fund”).
$10,000 Over 10 Years
Let's say hypothetically that $10,000 was invested in Strategic Advisers® Large Cap Fund on May 31, 2012.
The chart shows how the value of your investment would have changed, and also shows how the S&P 500® Index performed over the same period.
Period Ending Values | ||
$37,103 | Strategic Advisers® Large Cap Fund | |
$38,377 | S&P 500® Index |
Management's Discussion of Fund Performance
Market Recap: The S&P 500® index returned -0.30% for the 12 months ending May 31, 2022. Large-cap stocks retreated to begin the new year amid several notable headwinds that stoked volatility, uncertainty and anxiety. Chief among these was the U.S. Federal Reserve’s accelerated plan to hike interest rates and aggressively wind down its balance sheet to rein in historically high inflation. In addition, geopolitical unrest rose as Russia invaded Ukraine in late February and escalated its attack through period end. Other factors influencing stocks included surging commodity prices, rising bond yields, supply constraint and disruption, and the potential for variants of the coronavirus to upend the U.S. economy. Against this backdrop, the S&P 500® index returned -5.17% in January and -2.99% in February, falling on mixed corporate earnings, particularly among some highflying tech firms. In April, the index returned -8.72% amid clearer signals of the Fed’s intension to tighten monetary policy and angst about the economic toll of “zero-COVID” lockdowns in China. It was the largest monthly decline for the S&P 500® since March 2020. In early May, the Fed approved a rare half-percentage-point interest rate increase and announced plans to shrink its $9 trillion asset portfolio starting in June. For the full 12 months, the growth-oriented communication services (-21%) and consumer discretionary (-12%) sectors lagged most. In contrast, energy (+76%) rode a surge in commodity prices and led, followed by utilities (+18%).Comments from Portfolio Manager Niall Devitt: For the fiscal year ending May 31, 2022, the Fund returned -2.43% compared with the -0.30% result of the benchmark S&P 500®. Amid shifting investor preferences for growth versus value stocks, and a narrowing of market leadership, the Fund had mixed results and was unable to keep pace with the benchmark, ultimately underperforming for the period as a whole. Within the portfolio, Fidelity® Growth Company Fund (-17%) was the primary relative detractor, as its aggressive-growth approach faced a stylistic headwind. Weak investment choices in the information technology and consumer discretionary sectors, as well as the biotechnology industry, weighed on its result. Sub-adviser Loomis Sayles (-16%) performed worse than expected, given its opportunistic and contrarian strategy focusing on both quality and long-term growth stocks. It was partly hurt by a sizable position in China-based e-commerce company Alibaba Group Holding. Sub-advised portfolios managed by Principal Global Investors (-14%) and ClearBridge Investments (-15%) also worked against the Fund’s relative return. Both pursue opportunistic growth strategies and struggled, in part, due to subpar picks among technology companies. On the plus side, sub-adviser Brandywine Global Investment Management (+4%) was the top relative contributor. Brandywine emphasizes traditional value metrics and benefited from security selection in health care and industrials, along with an overweighting in energy. Sub-advised strategies from AllianceBernstein (AB, +2.5%) and PineBridge Investments (+2%) also added value versus the benchmark. Timely exposure to the energy sector aided AB's result, as did investment choices in the industrials, technology and health care sectors. PineBridge's quantitative strategy rose due to its tilt toward value and lower-volatility stocks. During the period, we defunded sub-adviser Invesco Advisers, as well as the U.S. Equity mandate from sub-adviser FIAM®. We reallocated these assets to several managers employing enhanced-index (EI) 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.
Investment Summary (Unaudited)
The information in the following tables is based on the direct investments of the Fund.Top Ten Holdings as of May 31, 2022
% of fund's net assets | |
Fidelity Growth Company Fund | 4.9 |
Microsoft Corp. | 4.5 |
Apple, Inc. | 4.0 |
Fidelity SAI U.S. Large Cap Index Fund | 3.4 |
Fidelity SAI U.S. Quality Index Fund | 2.9 |
Amazon.com, Inc. | 2.4 |
Alphabet, Inc. Class C | 1.7 |
Fidelity SAI U.S. Low Volatility Index Fund | 1.7 |
UnitedHealth Group, Inc. | 1.3 |
Alphabet, Inc. Class A | 1.2 |
28.0 |
Market Sectors as of May 31, 2022
(stocks only)
% of fund's net assets | |
Information Technology | 20.6 |
Health Care | 13.0 |
Financials | 11.4 |
Consumer Discretionary | 9.1 |
Industrials | 7.5 |
Communication Services | 6.7 |
Consumer Staples | 4.7 |
Energy | 4.1 |
Materials | 2.8 |
Utilities | 2.3 |
Real Estate | 1.9 |
Asset Allocation (% of fund's net assets)
As of May 31, 2022 | ||
Common Stocks | 84.1% | |
Large Blend Funds | 6.0% | |
Large Growth Funds | 9.0% | |
Other | 0.1% | |
Short-Term Investments and Net Other Assets (Liabilities) | 0.8% |
Asset allocations of funds in the pie chart reflect the categorizations of assets as defined by Morningstar as of the reporting date.
Schedule of Investments May 31, 2022
Showing Percentage of Net Assets
Common Stocks - 84.1% | |||
Shares | Value | ||
COMMUNICATION SERVICES - 6.7% | |||
Diversified Telecommunication Services - 0.5% | |||
AT&T, Inc. | 3,153,935 | $67,147,276 | |
Liberty Global PLC Class C (a) | 188,600 | 4,792,326 | |
Verizon Communications, Inc. | 3,668,489 | 188,156,801 | |
260,096,403 | |||
Entertainment - 0.6% | |||
Activision Blizzard, Inc. | 421,272 | 32,808,663 | |
Cinemark Holdings, Inc. (a)(b) | 98,700 | 1,675,926 | |
Electronic Arts, Inc. | 23,025 | 3,192,416 | |
Live Nation Entertainment, Inc. (a) | 2,733 | 259,772 | |
Netflix, Inc. (a) | 560,569 | 110,678,743 | |
Roblox Corp. (a) | 427,800 | 12,808,332 | |
Sea Ltd. ADR (a) | 156,380 | 12,926,371 | |
Take-Two Interactive Software, Inc. (a) | 32,900 | 4,097,037 | |
The Walt Disney Co. (a) | 1,440,413 | 159,079,212 | |
Warner Bros Discovery, Inc. (a) | 551,672 | 10,178,348 | |
347,704,820 | |||
Interactive Media & Services - 4.1% | |||
Alphabet, Inc.: | |||
Class A (a) | 291,404 | 663,014,037 | |
Class C (a) | 422,848 | 964,423,261 | |
IAC (a) | 81,192 | 6,925,678 | |
Meta Platforms, Inc. Class A (a) | 3,110,496 | 602,316,445 | |
Snap, Inc. Class A (a) | 2,315,732 | 32,674,979 | |
Tongdao Liepin Group (a) | 345,000 | 527,577 | |
Twitter, Inc. (a) | 66,600 | 2,637,360 | |
2,272,519,337 | |||
Media - 1.0% | |||
Altice U.S.A., Inc. Class A (a) | 131,000 | 1,490,780 | |
Charter Communications, Inc. Class A (a) | 369,861 | 187,493,637 | |
Comcast Corp. Class A | 5,277,685 | 233,695,892 | |
DISH Network Corp. Class A (a) | 335,856 | 7,667,592 | |
Fox Corp. Class A | 1,187,026 | 42,151,293 | |
Interpublic Group of Companies, Inc. | 411,044 | 13,247,948 | |
Liberty Broadband Corp. Class C (a) | 218,254 | 27,318,853 | |
Liberty Media Corp. Liberty SiriusXM Series C (a) | 283,314 | 11,644,205 | |
News Corp.: | |||
Class A | 172,395 | 2,999,673 | |
Class B | 14,993 | 263,577 | |
Nexstar Broadcasting Group, Inc. Class A | 52,258 | 9,156,647 | |
Omnicom Group, Inc. | 232,361 | 17,336,454 | |
Paramount Global Class B (b) | 387,300 | 13,296,009 | |
TEGNA, Inc. | 305,200 | 6,683,880 | |
574,446,440 | |||
Wireless Telecommunication Services - 0.5% | |||
T-Mobile U.S., Inc. (a) | 2,200,350 | 293,284,652 | |
TOTAL COMMUNICATION SERVICES | 3,748,051,652 | ||
CONSUMER DISCRETIONARY - 9.1% | |||
Auto Components - 0.2% | |||
Aptiv PLC (a) | 184,349 | 19,585,238 | |
BorgWarner, Inc. | 432,300 | 17,430,336 | |
Compagnie Generale des Etablissements Michelin SCA ADR | 900,000 | 23,427,000 | |
Lear Corp. | 152,100 | 21,440,016 | |
Magna International, Inc. Class A (sub. vtg.) | 221,149 | 14,351,038 | |
The Goodyear Tire & Rubber Co. (a) | 857,300 | 11,076,316 | |
107,309,944 | |||
Automobiles - 1.2% | |||
Ferrari NV | 64,879 | 12,649,459 | |
Ford Motor Co. | 4,351,993 | 59,535,264 | |
General Motors Co. (a) | 1,092,191 | 42,245,948 | |
Harley-Davidson, Inc. | 418,400 | 14,719,312 | |
Tesla, Inc. (a) | 720,100 | 546,023,026 | |
675,173,009 | |||
Distributors - 0.1% | |||
Genuine Parts Co. | 79,600 | 10,883,708 | |
LKQ Corp. | 413,760 | 21,263,126 | |
32,146,834 | |||
Diversified Consumer Services - 0.0% | |||
Service Corp. International | 96,700 | 6,771,901 | |
Hotels, Restaurants & Leisure - 1.6% | |||
Airbnb, Inc. Class A (a) | 25,086 | 3,032,145 | |
Booking Holdings, Inc. (a) | 54,574 | 122,440,043 | |
Boyd Gaming Corp. | 24,485 | 1,438,983 | |
Caesars Entertainment, Inc. (a) | 120,249 | 6,032,892 | |
Chipotle Mexican Grill, Inc. (a) | 67,486 | 94,652,489 | |
Compass Group PLC | 215,400 | 4,828,481 | |
Cracker Barrel Old Country Store, Inc. | 46,466 | 4,739,997 | |
Darden Restaurants, Inc. | 81,881 | 10,235,125 | |
Domino's Pizza, Inc. | 22,805 | 8,282,092 | |
Expedia, Inc. (a) | 88,001 | 11,381,169 | |
Hilton Worldwide Holdings, Inc. | 873,164 | 122,993,881 | |
Las Vegas Sands Corp. (a) | 528,408 | 18,737,348 | |
Marriott International, Inc. Class A | 364,420 | 62,527,184 | |
McDonald's Corp. | 967,525 | 244,019,480 | |
MGM Resorts International | 497,492 | 17,397,295 | |
Royal Caribbean Cruises Ltd. (a) | 60,000 | 3,484,200 | |
Starbucks Corp. | 1,197,979 | 94,041,352 | |
Texas Roadhouse, Inc. Class A | 86,814 | 6,768,888 | |
Wynn Resorts Ltd. (a) | 128,515 | 8,494,842 | |
Yum China Holdings, Inc. | 220,129 | 10,007,064 | |
Yum! Brands, Inc. | 163,795 | 19,896,179 | |
875,431,129 | |||
Household Durables - 0.4% | |||
D.R. Horton, Inc. | 201,500 | 15,142,725 | |
Lennar Corp.: | |||
Class A | 1,046,027 | 83,943,667 | |
Class B | 6,000 | 403,020 | |
Mohawk Industries, Inc. (a) | 112,400 | 15,900,104 | |
Newell Brands, Inc. | 594,814 | 12,752,812 | |
NVR, Inc. (a) | 5,557 | 24,732,095 | |
PulteGroup, Inc. | 773,399 | 35,004,039 | |
Sony Group Corp. sponsored ADR | 310,000 | 29,161,700 | |
Whirlpool Corp. | 201,900 | 37,198,056 | |
254,238,218 | |||
Internet & Direct Marketing Retail - 2.5% | |||
Alibaba Group Holding Ltd. sponsored ADR (a) | 205,459 | 19,734,337 | |
Amazon.com, Inc. (a) | 562,865 | 1,353,234,404 | |
eBay, Inc. | 692,731 | 33,715,218 | |
Farfetch Ltd. Class A (a) | 84,300 | 756,171 | |
1,407,440,130 | |||
Leisure Products - 0.0% | |||
Brunswick Corp. | 42,700 | 3,212,321 | |
Hasbro, Inc. | 19,297 | 1,731,906 | |
Peloton Interactive, Inc. Class A (a)(b) | 574,100 | 8,014,436 | |
12,958,663 | |||
Multiline Retail - 0.3% | |||
Big Lots, Inc. (b) | 174,300 | 4,268,607 | |
Dollar General Corp. | 245,513 | 54,096,334 | |
Dollar Tree, Inc. (a) | 136,151 | 21,829,090 | |
Kohl's Corp. | 404,177 | 16,296,417 | |
Macy's, Inc. (b) | 515,897 | 12,200,964 | |
Nordstrom, Inc. (b) | 91,700 | 2,423,631 | |
Target Corp. | 267,232 | 43,259,516 | |
154,374,559 | |||
Specialty Retail - 2.5% | |||
Advance Auto Parts, Inc. (b) | 110,162 | 20,915,357 | |
AutoNation, Inc. (a)(b) | 100,600 | 12,027,736 | |
AutoZone, Inc. (a) | 49,689 | 102,341,949 | |
Bath & Body Works, Inc. | 174,800 | 7,170,296 | |
Best Buy Co., Inc. | 665,072 | 54,575,808 | |
Burlington Stores, Inc. (a) | 404,710 | 68,112,693 | |
CarMax, Inc. (a) | 119,499 | 11,862,666 | |
Dick's Sporting Goods, Inc. (b) | 464,965 | 37,769,107 | |
Gap, Inc. (b) | 734,867 | 8,105,583 | |
Industria de Diseno Textil SA (b) | 247,100 | 5,956,298 | |
Lowe's Companies, Inc. | 1,813,876 | 354,249,983 | |
Murphy U.S.A., Inc. | 48,232 | 12,015,556 | |
O'Reilly Automotive, Inc. (a) | 285,233 | 181,741,911 | |
Penske Automotive Group, Inc. | 226,900 | 26,125,266 | |
Ross Stores, Inc. | 363,347 | 30,891,762 | |
Sally Beauty Holdings, Inc. (a)(b) | 463,900 | 7,032,724 | |
Sleep Number Corp. (a)(b) | 111,000 | 5,098,230 | |
The Home Depot, Inc. | 885,471 | 268,076,345 | |
The ODP Corp. (a) | 62,070 | 2,370,453 | |
TJX Companies, Inc. | 1,563,326 | 99,380,634 | |
Tractor Supply Co. | 74,680 | 13,992,045 | |
Ulta Beauty, Inc. (a) | 97,394 | 41,207,401 | |
Williams-Sonoma, Inc. | 33,000 | 4,221,360 | |
1,375,241,163 | |||
Textiles, Apparel & Luxury Goods - 0.3% | |||
Capri Holdings Ltd. (a) | 61,700 | 3,007,258 | |
Columbia Sportswear Co. (b) | 120,573 | 9,378,168 | |
Hanesbrands, Inc. (b) | 811,200 | 9,628,944 | |
lululemon athletica, Inc. (a) | 19,177 | 5,612,916 | |
NIKE, Inc. Class B | 866,162 | 102,943,354 | |
PVH Corp. | 47,600 | 3,373,412 | |
Ralph Lauren Corp. | 167,427 | 16,925,195 | |
Skechers U.S.A., Inc. Class A (sub. vtg.) (a) | 50,000 | 1,970,000 | |
Tapestry, Inc. | 466,567 | 16,096,562 | |
Under Armour, Inc.: | |||
Class A (sub. vtg.) (a) | 299,588 | 3,169,641 | |
Class C (non-vtg.) (a) | 175,817 | 1,705,425 | |
173,810,875 | |||
TOTAL CONSUMER DISCRETIONARY | 5,074,896,425 | ||
CONSUMER STAPLES - 4.7% | |||
Beverages - 1.6% | |||
Brown-Forman Corp. Class B (non-vtg.) | 207,059 | 13,690,741 | |
Constellation Brands, Inc. Class A (sub. vtg.) | 398,525 | 97,825,932 | |
Keurig Dr. Pepper, Inc. | 1,091,094 | 37,904,606 | |
Molson Coors Beverage Co. Class B | 682,720 | 38,123,085 | |
Monster Beverage Corp. (a) | 2,070,512 | 184,524,029 | |
PepsiCo, Inc. | 1,103,671 | 185,140,810 | |
The Coca-Cola Co. | 4,996,521 | 316,679,501 | |
873,888,704 | |||
Food & Staples Retailing - 0.7% | |||
Albertsons Companies, Inc. | 161,965 | 4,948,031 | |
BJ's Wholesale Club Holdings, Inc. (a) | 58,600 | 3,391,182 | |
Costco Wholesale Corp. | 288,024 | 134,282,549 | |
Kroger Co. (b) | 1,525,018 | 80,780,203 | |
Sysco Corp. | 405,503 | 34,135,243 | |
U.S. Foods Holding Corp. (a) | 159,800 | 5,292,576 | |
Walgreens Boots Alliance, Inc. | 899,400 | 39,420,702 | |
Walmart, Inc. | 768,378 | 98,836,462 | |
401,086,948 | |||
Food Products - 0.8% | |||
Archer Daniels Midland Co. | 306,800 | 27,863,576 | |
Bunge Ltd. | 219,800 | 26,006,736 | |
Campbell Soup Co. | 143,694 | 6,884,380 | |
Conagra Brands, Inc. | 1,098,220 | 36,120,456 | |
Darling Ingredients, Inc. (a) | 192,000 | 15,373,440 | |
General Mills, Inc. | 373,975 | 26,122,154 | |
Ingredion, Inc. | 219,700 | 20,803,393 | |
Kellogg Co. (b) | 138,500 | 9,658,990 | |
Local Bounti Corp. (a)(b) | 125,589 | 681,948 | |
Mondelez International, Inc. | 883,016 | 56,124,497 | |
Pilgrim's Pride Corp. (a) | 14,400 | 479,808 | |
Post Holdings, Inc. (a)(b) | 188,343 | 15,487,445 | |
The Hershey Co. | 119,419 | 25,282,196 | |
The J.M. Smucker Co. | 214,700 | 26,916,939 | |
The Kraft Heinz Co. | 1,526,742 | 57,756,650 | |
Tyson Foods, Inc. Class A | 930,487 | 83,380,940 | |
434,943,548 | |||
Household Products - 1.0% | |||
Colgate-Palmolive Co. | 292,106 | 23,020,874 | |
Energizer Holdings, Inc. | 517,853 | 15,530,411 | |
Kimberly-Clark Corp. | 230,726 | 30,691,173 | |
Procter & Gamble Co. | 3,095,105 | 457,704,127 | |
The Clorox Co. | 43,089 | 6,263,417 | |
533,210,002 | |||
Personal Products - 0.1% | |||
BellRing Brands, Inc. (a) | 249,635 | 6,527,955 | |
Estee Lauder Companies, Inc. Class A | 279,742 | 71,236,300 | |
The Beauty Health Co. (a)(b) | 187,300 | 2,672,771 | |
80,437,026 | |||
Tobacco - 0.5% | |||
Altria Group, Inc. | 1,913,447 | 103,498,348 | |
Philip Morris International, Inc. | 1,596,622 | 169,641,088 | |
273,139,436 | |||
TOTAL CONSUMER STAPLES | 2,596,705,664 | ||
ENERGY - 4.1% | |||
Energy Equipment & Services - 0.3% | |||
Baker Hughes Co. Class A | 1,736,295 | 62,471,894 | |
Halliburton Co. | 1,545,307 | 62,584,934 | |
Liberty Oilfield Services, Inc. Class A (a) | 100,000 | 1,627,000 | |
Schlumberger Ltd. | 798,175 | 36,684,123 | |
U.S. Silica Holdings, Inc. (a) | 56,300 | 995,384 | |
Weatherford International PLC (a) | 33,600 | 1,137,024 | |
165,500,359 | |||
Oil, Gas & Consumable Fuels - 3.8% | |||
APA Corp. | 254,600 | 11,968,746 | |
Canadian Natural Resources Ltd. | 185,200 | 12,256,862 | |
Chevron Corp. | 1,796,607 | 313,795,379 | |
ConocoPhillips Co. | 2,865,716 | 321,991,850 | |
Coterra Energy, Inc. | 1,639,340 | 56,278,542 | |
Delek U.S. Holdings, Inc. (a) | 33,300 | 971,028 | |
Devon Energy Corp. | 17,369 | 1,300,938 | |
Diamondback Energy, Inc. | 539,304 | 81,984,994 | |
EOG Resources, Inc. | 1,482,608 | 203,057,992 | |
EQT Corp. | 632,724 | 30,193,589 | |
Exxon Mobil Corp. | 4,837,732 | 464,422,272 | |
Genesis Energy LP | 308,396 | 3,774,767 | |
Harbour Energy PLC | 116,067 | 561,916 | |
Hess Corp. | 249,900 | 30,755,193 | |
HF Sinclair Corp. | 361,400 | 17,744,740 | |
Imperial Oil Ltd. | 143,500 | 7,859,968 | |
Kinder Morgan, Inc. | 1,757,761 | 34,610,314 | |
Kosmos Energy Ltd. (a) | 518,800 | 4,015,512 | |
Marathon Oil Corp. | 1,075,973 | 33,817,831 | |
Marathon Petroleum Corp. | 974,809 | 99,225,808 | |
MEG Energy Corp. (a) | 715,900 | 12,491,531 | |
Occidental Petroleum Corp. | 109,883 | 7,615,991 | |
ONEOK, Inc. | 449,457 | 29,596,743 | |
Ovintiv, Inc. | 106,700 | 5,974,133 | |
Phillips 66 Co. | 784,866 | 79,122,341 | |
Pioneer Natural Resources Co. | 463,441 | 128,808,792 | |
The Williams Companies, Inc. | 586,721 | 21,743,880 | |
TotalEnergies SE sponsored ADR | 867,183 | 50,990,360 | |
Tourmaline Oil Corp. | 96,900 | 5,981,699 | |
Valero Energy Corp. | 565,993 | 73,352,693 | |
2,146,266,404 | |||
TOTAL ENERGY | 2,311,766,763 | ||
FINANCIALS - 11.4% | |||
Banks - 4.7% | |||
Bank of America Corp. | 12,551,445 | 466,913,754 | |
BankUnited, Inc. | 17,800 | 741,548 | |
BNP Paribas SA | 50,776 | 2,906,195 | |
Citigroup, Inc. | 2,735,967 | 146,127,997 | |
Citizens Financial Group, Inc. | 1,401,782 | 58,005,739 | |
Comerica, Inc. | 99,893 | 8,312,097 | |
Commerce Bancshares, Inc. | 286,405 | 19,813,498 | |
Cullen/Frost Bankers, Inc. (b) | 192,300 | 24,033,654 | |
East West Bancorp, Inc. | 61,700 | 4,537,418 | |
Eurobank Ergasias Services and Holdings SA (a) | 2,549,177 | 2,852,186 | |
Fifth Third Bancorp | 7,329,840 | 289,015,591 | |
First Horizon National Corp. | 1,080,184 | 24,660,601 | |
First Republic Bank | 59,366 | 9,203,511 | |
Huntington Bancshares, Inc. | 3,816,974 | 52,979,599 | |
JPMorgan Chase & Co. | 2,252,433 | 297,839,216 | |
KeyCorp | 2,551,746 | 50,932,850 | |
M&T Bank Corp. | 430,803 | 77,531,616 | |
Mitsubishi UFJ Financial Group, Inc. sponsored ADR (b) | 2,250,000 | 12,757,500 | |
Pinnacle Financial Partners, Inc. | 14,000 | 1,139,880 | |
Piraeus Financial Holdings SA (a) | 639,038 | 809,526 | |
PNC Financial Services Group, Inc. | 1,366,878 | 239,764,070 | |
Prosperity Bancshares, Inc. | 14,100 | 1,022,250 | |
Regions Financial Corp. | 1,976,100 | 43,652,049 | |
Signature Bank | 131,485 | 28,436,261 | |
Silvergate Capital Corp. (a) | 4,556 | 357,646 | |
Societe Generale Series A (b) | 125,375 | 3,378,546 | |
Standard Chartered PLC (United Kingdom) | 255,041 | 2,027,303 | |
SVB Financial Group (a) | 176,269 | 86,119,745 | |
Synovus Financial Corp. | 26,900 | 1,147,285 | |
Truist Financial Corp. | 2,382,999 | 118,530,370 | |
U.S. Bancorp | 1,983,619 | 105,270,660 | |
UniCredit SpA | 254,007 | 2,978,260 | |
Wells Fargo & Co. | 9,067,521 | 415,020,436 | |
Zions Bancorp NA | 70,700 | 4,032,728 | |
2,602,851,585 | |||
Capital Markets - 2.3% | |||
Ameriprise Financial, Inc. | 379,646 | 104,884,800 | |
Ares Management Corp. | 91,900 | 6,540,523 | |
Bank of New York Mellon Corp. | 1,731,821 | 80,720,177 | |
BlackRock, Inc. Class A | 15,159 | 10,142,584 | |
Blackstone, Inc. | 338,947 | 39,924,567 | |
Blue Owl Capital, Inc. Class A (b) | 504,500 | 6,326,430 | |
Brookfield Asset Management, Inc. Class A | 1,316,184 | 66,598,910 | |
Cboe Global Markets, Inc. | 19,245 | 2,161,406 | |
Charles Schwab Corp. | 2,458,622 | 172,349,402 | |
CME Group, Inc. | 204,326 | 40,626,139 | |
FactSet Research Systems, Inc. | 76,652 | 29,264,201 | |
Goldman Sachs Group, Inc. | 534,346 | 174,650,990 | |
Intercontinental Exchange, Inc. | 556,107 | 56,939,796 | |
Invesco Ltd. | 758,168 | 14,662,969 | |
Jefferies Financial Group, Inc. | 1,217,705 | 40,208,619 | |
KKR & Co. LP | 738,336 | 40,468,196 | |
MarketAxess Holdings, Inc. | 27,400 | 7,718,032 | |
Moody's Corp. | 127,551 | 38,465,555 | |
Morgan Stanley | 1,416,999 | 122,060,294 | |
MSCI, Inc. | 31,600 | 13,978,260 | |
Northern Trust Corp. | 208,464 | 23,295,852 | |
Raymond James Financial, Inc. | 283,850 | 27,956,387 | |
S&P Global, Inc. | 225,392 | 78,769,996 | |
SEI Investments Co. | 417,914 | 24,418,715 | |
State Street Corp. | 747,821 | 54,209,544 | |
StepStone Group, Inc. Class A | 67,571 | 1,841,985 | |
T. Rowe Price Group, Inc. | 175,809 | 22,343,566 | |
TMX Group Ltd. | 19,500 | 2,121,821 | |
Tradeweb Markets, Inc. Class A | 66,291 | 4,481,935 | |
Virtu Financial, Inc. Class A | 113,643 | 2,969,492 | |
1,311,101,143 | |||
Consumer Finance - 0.7% | |||
Ally Financial, Inc. | 161,100 | 7,094,844 | |
American Express Co. | 981,532 | 165,702,232 | |
Capital One Financial Corp. | 1,129,956 | 144,476,174 | |
Credit Acceptance Corp. (a)(b) | 6,600 | 3,929,046 | |
Discover Financial Services | 471,072 | 53,461,961 | |
Navient Corp. | 734,600 | 11,753,600 | |
OneMain Holdings, Inc. | 99,200 | 4,370,752 | |
Synchrony Financial | 13,114 | 485,743 | |
391,274,352 | |||
Diversified Financial Services - 1.1% | |||
Apollo Global Management, Inc. | 223,573 | 12,886,748 | |
Berkshire Hathaway, Inc.: | |||
Class A (a) | 1 | 474,050 | |
Class B (a) | 1,634,431 | 516,447,507 | |
Equitable Holdings, Inc. | 1,463,764 | 44,513,063 | |
Voya Financial, Inc. (b) | 475,576 | 32,629,269 | |
606,950,637 | |||
Insurance - 2.6% | |||
AFLAC, Inc. | 872,647 | 52,856,229 | |
AIA Group Ltd. | 82,000 | 849,535 | |
Alleghany Corp. (a) | 14,736 | 12,286,582 | |
Allstate Corp. | 458,300 | 62,645,027 | |
American Financial Group, Inc. | 206,300 | 29,150,190 | |
American International Group, Inc. | 1,419,229 | 83,280,358 | |
Aon PLC | 45,366 | 12,506,045 | |
Arch Capital Group Ltd. (a) | 172,800 | 8,201,088 | |
Arthur J. Gallagher & Co. | 378,043 | 61,220,283 | |
Assurant, Inc. | 191,794 | 33,888,082 | |
Axis Capital Holdings Ltd. | 200,700 | 11,754,999 | |
Brookfield Asset Management Reinsurance Partners Ltd. | 9,502 | 482,987 | |
Chubb Ltd. | 732,039 | 154,672,520 | |
Cincinnati Financial Corp. | 415,077 | 53,071,745 | |
CNA Financial Corp. | 126,609 | 5,803,757 | |
Everest Re Group Ltd. | 134,542 | 38,008,115 | |
Fairfax Financial Holdings Ltd. | 24,209 | 13,429,865 | |
Fidelity National Financial, Inc. | 122,200 | 5,169,060 | |
First American Financial Corp. | 48,000 | 2,908,320 | |
Globe Life, Inc. | 103,400 | 10,088,738 | |
Hartford Financial Services Group, Inc. | 1,642,359 | 119,087,451 | |
Lincoln National Corp. | 368,600 | 21,352,998 | |
Loews Corp. | 695,404 | 45,542,008 | |
Markel Corp. (a) | 5,360 | 7,340,145 | |
Marsh & McLennan Companies, Inc. | 393,207 | 62,893,460 | |
MetLife, Inc. | 1,772,513 | 119,449,651 | |
Old Republic International Corp. | 87,200 | 2,085,824 | |
Principal Financial Group, Inc. | 118,400 | 8,634,912 | |
Progressive Corp. | 1,391,094 | 166,068,802 | |
Prudential Financial, Inc. | 379,400 | 40,311,250 | |
Prudential PLC | 45,820 | 597,486 | |
Reinsurance Group of America, Inc. | 14,922 | 1,877,934 | |
RenaissanceRe Holdings Ltd. | 261,967 | 40,217,174 | |
The Travelers Companies, Inc. | 565,131 | 101,181,054 | |
Unum Group | 411,400 | 14,995,530 | |
W.R. Berkley Corp. | 199,494 | 14,190,008 | |
Willis Towers Watson PLC | 72,500 | 15,302,575 | |
1,433,401,787 | |||
Mortgage Real Estate Investment Trusts - 0.0% | |||
Annaly Capital Management, Inc. | 1,475,500 | 9,753,055 | |
Thrifts & Mortgage Finance - 0.0% | |||
Radian Group, Inc. | 603,800 | 12,987,738 | |
TOTAL FINANCIALS | 6,368,320,297 | ||
HEALTH CARE - 13.0% | |||
Biotechnology - 2.3% | |||
AbbVie, Inc. | 3,537,692 | 521,349,670 | |
ADC Therapeutics SA (a)(b) | 59,300 | 405,612 | |
Alnylam Pharmaceuticals, Inc. (a) | 22,000 | 2,767,600 | |
Amgen, Inc. | 830,533 | 213,231,042 | |
Arcutis Biotherapeutics, Inc. (a) | 50,000 | 1,044,000 | |
Argenx SE ADR (a) | 25,800 | 7,979,940 | |
Ascendis Pharma A/S sponsored ADR (a) | 48,400 | 4,090,284 | |
Atara Biotherapeutics, Inc. (a) | 85,000 | 442,000 | |
Beam Therapeutics, Inc. (a)(b) | 20,000 | 703,600 | |
Biogen, Inc. (a) | 208,225 | 41,645,000 | |
Blueprint Medicines Corp. (a) | 28,000 | 1,540,000 | |
Celldex Therapeutics, Inc. (a) | 38,000 | 893,760 | |
Century Therapeutics, Inc. (b) | 50,000 | 434,500 | |
Cytokinetics, Inc. (a)(b) | 90,000 | 3,591,000 | |
Erasca, Inc. (b) | 130,000 | 704,600 | |
Exelixis, Inc. (a) | 60,000 | 1,099,800 | |
Gilead Sciences, Inc. | 1,109,077 | 71,923,643 | |
Imago BioSciences, Inc. (b) | 17,500 | 282,800 | |
Innovent Biologics, Inc. (a)(c) | 400,000 | 1,241,207 | |
Instil Bio, Inc. (a)(b) | 60,000 | 360,300 | |
Legend Biotech Corp. ADR (a) | 58,000 | 2,452,820 | |
Moderna, Inc. (a) | 126,857 | 18,436,128 | |
Neurocrine Biosciences, Inc. (a) | 280,851 | 26,256,760 | |
PTC Therapeutics, Inc. (a) | 64,000 | 1,879,680 | |
Regeneron Pharmaceuticals, Inc. (a) | 272,526 | 181,158,933 | |
Relay Therapeutics, Inc. (a)(b) | 70,000 | 1,139,600 | |
Vertex Pharmaceuticals, Inc. (a) | 551,082 | 148,048,179 | |
Xencor, Inc. (a) | 65,000 | 1,451,450 | |
Zai Lab Ltd. (a) | 300,000 | 951,932 | |
Zentalis Pharmaceuticals, Inc. (a)(b) | 64,139 | 1,546,391 | |
1,259,052,231 | |||
Health Care Equipment & Supplies - 1.6% | |||
Abbott Laboratories | 1,176,477 | 138,188,988 | |
Alcon, Inc. (b) | 573,816 | 42,881,270 | |
Becton, Dickinson & Co. | 305,798 | 78,223,128 | |
Boston Scientific Corp. (a) | 2,656,851 | 108,957,460 | |
DexCom, Inc. (a) | 117,698 | 35,066,942 | |
Edwards Lifesciences Corp. (a) | 122,412 | 12,345,250 | |
Envista Holdings Corp. (a) | 100,000 | 4,304,000 | |
Hologic, Inc. (a) | 631,070 | 47,500,639 | |
IDEXX Laboratories, Inc. (a) | 16,193 | 6,341,503 | |
Insulet Corp. (a)(b) | 46,000 | 9,820,080 | |
Intuitive Surgical, Inc. (a) | 857,242 | 195,142,569 | |
Masimo Corp. (a) | 10,000 | 1,404,300 | |
Medtronic PLC | 606,845 | 60,775,527 | |
Penumbra, Inc. (a)(b) | 68,000 | 9,990,560 | |
ResMed, Inc. | 35,500 | 7,222,830 | |
STERIS PLC | 67,600 | 15,426,320 | |
Stryker Corp. | 239,112 | 56,071,764 | |
Tandem Diabetes Care, Inc. (a) | 30,000 | 2,045,100 | |
Teleflex, Inc. | 25,521 | 7,343,413 | |
The Cooper Companies, Inc. | 33,469 | 11,738,917 | |
Zimmer Biomet Holdings, Inc. | 553,874 | 66,581,194 | |
917,371,754 | |||
Health Care Providers & Services - 3.5% | |||
1Life Healthcare, Inc. (a) | 100,000 | 847,000 | |
agilon health, Inc. (a)(b) | 290,000 | 5,539,000 | |
Alignment Healthcare, Inc. (a)(b) | 160,876 | 1,718,156 | |
AmerisourceBergen Corp. | 242,350 | 37,513,357 | |
Anthem, Inc. | 312,468 | 159,236,817 | |
Cano Health, Inc. (a)(b) | 330,000 | 1,699,500 | |
Cardinal Health, Inc. | 375,429 | 21,144,161 | |
Centene Corp. (a) | 1,809,567 | 147,371,136 | |
Cigna Corp. | 337,821 | 90,633,996 | |
CVS Health Corp. | 2,030,804 | 196,480,287 | |
DaVita HealthCare Partners, Inc. (a) | 286,013 | 27,883,407 | |
Guardant Health, Inc. (a)(b) | 25,000 | 1,024,500 | |
HCA Holdings, Inc. | 483,841 | 101,800,146 | |
Henry Schein, Inc. (a) | 60,100 | 5,146,964 | |
Humana, Inc. | 352,886 | 160,291,408 | |
Laboratory Corp. of America Holdings | 122,674 | 30,266,129 | |
LifeStance Health Group, Inc. (b) | 218,000 | 1,624,100 | |
McKesson Corp. | 367,197 | 120,693,982 | |
Molina Healthcare, Inc. (a) | 105,838 | 30,716,304 | |
Oak Street Health, Inc. (a)(b) | 280,000 | 5,286,400 | |
Quest Diagnostics, Inc. | 297,280 | 41,922,426 | |
Surgery Partners, Inc. (a) | 100,000 | 3,920,000 | |
UnitedHealth Group, Inc. | 1,440,860 | 715,790,431 | |
Universal Health Services, Inc. Class B | 174,800 | 21,781,828 | |
1,930,331,435 | |||
Health Care Technology - 0.0% | |||
Cerner Corp. | 6,205 | 588,544 | |
Change Healthcare, Inc. (a) | 45,000 | 1,084,050 | |
Doximity, Inc. (b) | 45,000 | 1,574,550 | |
Inspire Medical Systems, Inc. (a) | 15,000 | 2,652,450 | |
Phreesia, Inc. (a) | 50,000 | 907,000 | |
Veeva Systems, Inc. Class A (a) | 113,800 | 19,375,588 | |
26,182,182 | |||
Life Sciences Tools & Services - 1.6% | |||
10X Genomics, Inc. (a) | 30,000 | 1,535,700 | |
Agilent Technologies, Inc. | 479,693 | 61,189,639 | |
Avantor, Inc. (a) | 108,000 | 3,460,320 | |
Bio-Rad Laboratories, Inc. Class A (a) | 6,300 | 3,388,077 | |
Bio-Techne Corp. | 976 | 360,856 | |
Bruker Corp. | 67,000 | 4,186,160 | |
Charles River Laboratories International, Inc. (a) | 25,853 | 6,051,670 | |
Danaher Corp. | 898,133 | 236,945,448 | |
Illumina, Inc. (a) | 140,071 | 33,544,203 | |
IQVIA Holdings, Inc. (a) | 88,424 | 19,033,266 | |
Lonza Group AG | 7,500 | 4,521,793 | |
Mettler-Toledo International, Inc. (a) | 12,522 | 16,104,795 | |
PerkinElmer, Inc. | 12,562 | 1,880,155 | |
Sartorius Stedim Biotech | 10,800 | 3,722,943 | |
Thermo Fisher Scientific, Inc. | 768,154 | 435,981,166 | |
Waters Corp. (a) | 49,480 | 16,226,966 | |
West Pharmaceutical Services, Inc. | 57,228 | 17,762,427 | |
865,895,584 | |||
Pharmaceuticals - 4.0% | |||
Arvinas Holding Co. LLC (a) | 32,000 | 1,334,080 | |
AstraZeneca PLC: | |||
(United Kingdom) | 50,000 | 6,608,190 | |
sponsored ADR | 940,054 | 62,494,790 | |
Bristol-Myers Squibb Co. | 3,871,809 | 292,127,989 | |
Elanco Animal Health, Inc. (a) | 2,374,440 | 56,274,228 | |
Eli Lilly & Co. | 972,167 | 304,716,024 | |
Jazz Pharmaceuticals PLC (a) | 162,700 | 24,352,936 | |
Johnson & Johnson | 3,376,498 | 606,182,686 | |
Merck & Co., Inc. | 2,907,929 | 267,616,706 | |
Novartis AG sponsored ADR | 487,047 | 44,292,054 | |
Novo Nordisk A/S Series B sponsored ADR (b) | 175,917 | 19,421,237 | |
Organon & Co. | 297,937 | 11,309,689 | |
Pfizer, Inc. | 6,633,717 | 351,852,350 | |
Roche Holding AG: | |||
(participation certificate) | 15,000 | 5,111,867 | |
sponsored ADR | 768,447 | 32,689,735 | |
Royalty Pharma PLC | 240,000 | 9,873,600 | |
Sanofi SA sponsored ADR | 704,081 | 37,492,313 | |
UCB SA | 20,000 | 1,764,057 | |
Viatris, Inc. | 240,687 | 2,953,229 | |
Zoetis, Inc. Class A | 701,305 | 119,874,064 | |
2,258,341,824 | |||
TOTAL HEALTH CARE | 7,257,175,010 | ||
INDUSTRIALS - 7.5% | |||
Aerospace & Defense - 1.9% | |||
Curtiss-Wright Corp. | 5,460 | 775,211 | |
General Dynamics Corp. | 380,587 | 85,597,822 | |
Howmet Aerospace, Inc. | 669,245 | 23,938,894 | |
Huntington Ingalls Industries, Inc. | 114,700 | 24,139,762 | |
L3Harris Technologies, Inc. | 295,826 | 71,264,483 | |
Lockheed Martin Corp. | 303,764 | 133,689,574 | |
Moog, Inc. Class A | 127,400 | 10,369,086 | |
Northrop Grumman Corp. (b) | 478,854 | 224,089,306 | |
Raytheon Technologies Corp. | 2,158,256 | 205,293,311 | |
Textron, Inc. | 809,960 | 52,882,288 | |
The Boeing Co. (a) | 918,988 | 120,755,023 | |
TransDigm Group, Inc. (a) | 132,524 | 80,226,054 | |
Vectrus, Inc. (a) | 37,733 | 1,351,596 | |
1,034,372,410 | |||
Air Freight & Logistics - 0.7% | |||
C.H. Robinson Worldwide, Inc. (b) | 52,700 | 5,718,477 | |
Expeditors International of Washington, Inc. | 366,607 | 39,901,506 | |
FedEx Corp. | 673,410 | 151,234,418 | |
GXO Logistics, Inc. (a) | 49,068 | 2,662,920 | |
United Parcel Service, Inc. Class B | 1,114,930 | 203,195,993 | |
402,713,314 | |||
Airlines - 0.2% | |||
Delta Air Lines, Inc. (a) | 617,600 | 25,747,744 | |
Southwest Airlines Co. (a) | 857,216 | 39,311,926 | |
United Airlines Holdings, Inc. (a) | 517,457 | 24,646,477 | |
89,706,147 | |||
Building Products - 0.4% | |||
A.O. Smith Corp. | 48,504 | 2,916,060 | |
Builders FirstSource, Inc. (a) | 26,500 | 1,724,885 | |
Carlisle Companies, Inc. | 42,934 | 10,923,698 | |
Carrier Global Corp. | 343,070 | 13,486,082 | |
Fortune Brands Home & Security, Inc. | 102,572 | 7,113,368 | |
Masco Corp. | 392,340 | 22,241,755 | |
Owens Corning | 179,505 | 17,157,088 | |
Trane Technologies PLC | 955,236 | 131,879,882 | |
207,442,818 | |||
Commercial Services & Supplies - 0.2% | |||
Copart, Inc. (a) | 197,088 | 22,572,489 | |
Deluxe Corp. | 215,300 | 5,152,129 | |
Republic Services, Inc. | 405,912 | 54,327,262 | |
Waste Connections, Inc. (United States) | 262,185 | 33,439,075 | |
115,490,955 | |||
Construction & Engineering - 0.0% | |||
MDU Resources Group, Inc. | 387,800 | 10,617,964 | |
Electrical Equipment - 0.4% | |||
Acuity Brands, Inc. | 73,900 | 12,933,978 | |
AMETEK, Inc. | 239,800 | 29,128,506 | |
Eaton Corp. PLC | 830,695 | 115,134,327 | |
Emerson Electric Co. | 341,334 | 30,262,672 | |
Generac Holdings, Inc. (a) | 149,225 | 36,870,513 | |
Sensata Technologies, Inc. PLC | 60,600 | 2,910,618 | |
227,240,614 | |||
Industrial Conglomerates - 0.7% | |||
3M Co. | 194,262 | 29,001,374 | |
General Electric Co. | 1,535,089 | 120,182,118 | |
Honeywell International, Inc. | 1,352,434 | 261,858,271 | |
411,041,763 | |||
Machinery - 1.6% | |||
AGCO Corp. | 242,798 | 31,109,708 | |
Allison Transmission Holdings, Inc. | 309,700 | 12,391,097 | |
Caterpillar, Inc. | 143,501 | 30,974,691 | |
Crane Holdings Co. | 172,600 | 16,510,916 | |
Cummins, Inc. | 516,967 | 108,108,139 | |
Deere & Co. | 498,147 | 178,227,034 | |
Dover Corp. | 389,000 | 52,090,990 | |
Fortive Corp. | 764,234 | 47,206,734 | |
Illinois Tool Works, Inc. | 34,300 | 7,136,801 | |
Ingersoll Rand, Inc. | 2,174,065 | 102,507,165 | |
ITT, Inc. | 102,300 | 7,551,786 | |
Middleby Corp. (a)(b) | 77,327 | 11,711,947 | |
Nordson Corp. | 25,526 | 5,561,605 | |
Oshkosh Corp. | 256,337 | 23,816,271 | |
Otis Worldwide Corp. | 370,310 | 27,551,064 | |
PACCAR, Inc. | 641,723 | 55,727,225 | |
Parker Hannifin Corp. | 368,263 | 100,230,141 | |
Snap-On, Inc. | 134,923 | 29,936,715 | |
Stanley Black & Decker, Inc. | 59,990 | 7,120,213 | |
Timken Co. | 247,710 | 15,127,650 | |
Xylem, Inc. (b) | 252,000 | 21,231,000 | |
891,828,892 | |||
Professional Services - 0.3% | |||
CACI International, Inc. Class A (a) | 3,600 | 1,009,332 | |
CoStar Group, Inc. (a) | 436,140 | 26,578,372 | |
Dun & Bradstreet Holdings, Inc. (a) | 66,153 | 1,142,462 | |
Equifax, Inc. | 12,029 | 2,436,835 | |
Jacobs Engineering Group, Inc. | 226,236 | 31,693,401 | |
Leidos Holdings, Inc. | 579,082 | 60,514,069 | |
Manpower, Inc. | 135,800 | 12,169,038 | |
Robert Half International, Inc. | 90,827 | 8,188,054 | |
TransUnion Holding Co., Inc. | 71,055 | 6,168,285 | |
149,899,848 | |||
Road & Rail - 1.0% | |||
AMERCO | 10,000 | 4,899,800 | |
Canadian Pacific Railway Ltd. | 242,826 | 17,347,489 | |
CSX Corp. | 3,087,479 | 98,150,957 | |
Knight-Swift Transportation Holdings, Inc. Class A | 72,100 | 3,506,944 | |
Lyft, Inc. (a) | 1,904,962 | 33,679,728 | |
Norfolk Southern Corp. | 806,471 | 193,278,840 | |
Old Dominion Freight Lines, Inc. | 171,984 | 44,413,148 | |
Saia, Inc. (a) | 51,800 | 10,235,162 | |
Uber Technologies, Inc. (a) | 743,667 | 17,253,074 | |
Union Pacific Corp. | 578,359 | 127,111,741 | |
XPO Logistics, Inc. (a) | 82,800 | 4,424,832 | |
554,301,715 | |||
Trading Companies & Distributors - 0.1% | |||
United Rentals, Inc. (a) | 127,519 | 38,023,615 | |
W.W. Grainger, Inc. | 78,066 | 38,023,607 | |
76,047,222 | |||
TOTAL INDUSTRIALS | 4,170,703,662 | ||
INFORMATION TECHNOLOGY - 20.6% | |||
Communications Equipment - 0.5% | |||
Arista Networks, Inc. (a) | 54,776 | 5,602,489 | |
Cisco Systems, Inc. | 4,315,697 | 194,422,150 | |
CommScope Holding Co., Inc. (a) | 431,632 | 3,241,556 | |
F5, Inc. (a) | 125,352 | 20,437,390 | |
Motorola Solutions, Inc. | 262,425 | 57,665,270 | |
281,368,855 | |||
Electronic Equipment & Components - 0.3% | |||
Amphenol Corp. Class A | 124,459 | 8,819,165 | |
Arrow Electronics, Inc. (a) | 246,800 | 29,776,420 | |
Corning, Inc. | 133,040 | 4,765,493 | |
Jabil, Inc. | 158,400 | 9,744,768 | |
Keysight Technologies, Inc. (a) | 369,552 | 53,806,771 | |
TD SYNNEX Corp. | 140,757 | 14,617,614 | |
TE Connectivity Ltd. | 67,024 | 8,672,235 | |
Teledyne Technologies, Inc. (a) | 85,193 | 34,515,944 | |
Trimble, Inc. (a) | 7,320 | 498,126 | |
Vishay Intertechnology, Inc. | 618,200 | 12,636,008 | |
Zebra Technologies Corp. Class A (a) | 6,975 | 2,358,875 | |
180,211,419 | |||
IT Services - 3.7% | |||
Accenture PLC Class A | 482,774 | 144,088,728 | |
Affirm Holdings, Inc. (a)(b) | 745,353 | 21,242,561 | |
Amdocs Ltd. | 226,500 | 19,680,585 | |
Automatic Data Processing, Inc. | 90,665 | 20,212,855 | |
Block, Inc. Class A (a) | 289,500 | 25,334,145 | |
Capgemini SA | 32,600 | 6,317,090 | |
Cognizant Technology Solutions Corp. Class A | 439,816 | 32,854,255 | |
CSG Systems International, Inc. | 185,800 | 11,554,902 | |
Dlocal Ltd. (b) | 160,100 | 4,615,683 | |
DXC Technology Co. (a) | 319,007 | 11,235,427 | |
EPAM Systems, Inc. (a) | 14,400 | 4,874,688 | |
Fidelity National Information Services, Inc. | 518,517 | 54,185,048 | |
Fiserv, Inc. (a) | 1,170,606 | 117,271,309 | |
FleetCor Technologies, Inc. (a) | 567,735 | 141,258,145 | |
Gartner, Inc. (a) | 49,756 | 13,055,974 | |
Genpact Ltd. | 104,900 | 4,654,413 | |
Global Payments, Inc. | 490,291 | 64,247,733 | |
IBM Corp. | 736,588 | 102,267,878 | |
MasterCard, Inc. Class A | 1,375,691 | 492,318,538 | |
MongoDB, Inc. Class A (a) | 25,400 | 6,023,610 | |
Paychex, Inc. | 143,609 | 17,783,102 | |
PayPal Holdings, Inc. (a) | 992,808 | 84,597,170 | |
Shopify, Inc. Class A (a) | 76,114 | 28,551,884 | |
Snowflake, Inc. (a) | 44,811 | 5,720,124 | |
SS&C Technologies Holdings, Inc. | 185,143 | 11,847,301 | |
The Western Union Co. | 167,700 | 3,042,078 | |
Twilio, Inc. Class A (a) | 34,300 | 3,607,331 | |
VeriSign, Inc. (a) | 109,266 | 19,072,380 | |
Visa, Inc. Class A (b) | 2,747,870 | 583,015,578 | |
Wix.com Ltd. (a) | 35,800 | 2,255,758 | |
Worldline SA (a)(c) | 23,532 | 962,891 | |
2,057,749,164 | |||
Semiconductors & Semiconductor Equipment - 4.3% | |||
Advanced Micro Devices, Inc. (a) | 3,065,478 | 312,249,589 | |
Analog Devices, Inc. | 604,561 | 101,808,072 | |
Applied Materials, Inc. | 502,449 | 58,932,243 | |
ASML Holding NV | 21,030 | 12,119,379 | |
ASML Holding NV (Netherlands) | 10,100 | 5,812,097 | |
Broadcom, Inc. | 403,645 | 234,166,574 | |
First Solar, Inc. (a) | 46,300 | 3,269,243 | |
Intel Corp. | 1,775,900 | 78,885,478 | |
KLA Corp. | 241,712 | 88,188,623 | |
Lam Research Corp. | 194,869 | 101,337,726 | |
Marvell Technology, Inc. | 352,800 | 20,868,120 | |
MediaTek, Inc. | 140,000 | 4,325,084 | |
Microchip Technology, Inc. | 738,026 | 53,617,589 | |
Micron Technology, Inc. | 704,448 | 52,016,440 | |
NVIDIA Corp. | 3,138,562 | 586,032,297 | |
NXP Semiconductors NV | 1,263,092 | 239,684,338 | |
onsemi (a) | 125,600 | 7,621,408 | |
Qorvo, Inc. (a) | 203,400 | 22,729,950 | |
Qualcomm, Inc. | 2,093,253 | 299,795,695 | |
Renesas Electronics Corp. (a) | 789,300 | 9,218,903 | |
Silergy Corp. | 25,000 | 2,566,912 | |
SolarEdge Technologies, Inc. (a) | 23,700 | 6,465,123 | |
Taiwan Semiconductor Manufacturing Co. Ltd. | 771,000 | 14,567,276 | |
Teradyne, Inc. (b) | 447,814 | 48,928,158 | |
Texas Instruments, Inc. | 274,599 | 48,538,119 | |
2,413,744,436 | |||
Software - 7.3% | |||
Adobe, Inc. (a) | 552,973 | 230,302,195 | |
Anaplan, Inc. (a) | 62,800 | 4,119,680 | |
ANSYS, Inc. (a) | 110,000 | 28,639,600 | |
Atlassian Corp. PLC (a) | 67,320 | 11,937,182 | |
Autodesk, Inc. (a) | 416,713 | 86,572,126 | |
Black Knight, Inc. (a) | 207,600 | 14,098,116 | |
Cadence Design Systems, Inc. (a) | 275,974 | 42,425,483 | |
CCC Intelligent Solutions Holdings, Inc. (a)(d) | 35,655 | 319,112 | |
Consensus Cloud Solutions, Inc. (a) | 54,833 | 2,633,629 | |
Coupa Software, Inc. (a) | 370,537 | 25,489,240 | |
Cvent Holding Corp. (d) | 88,079 | 469,461 | |
Dropbox, Inc. Class A (a) | 301,000 | 6,272,840 | |
Elastic NV (a) | 29,200 | 1,800,180 | |
Envestnet, Inc. (a) | 100 | 6,662 | |
Five9, Inc. (a) | 39,700 | 3,839,387 | |
Fortinet, Inc. (a) | 110,283 | 32,438,642 | |
HashiCorp, Inc. (b) | 28,101 | 984,097 | |
HubSpot, Inc. (a) | 20,900 | 7,057,721 | |
Intuit, Inc. | 419,904 | 174,033,412 | |
Microsoft Corp. | 9,158,188 | 2,489,836,572 | |
NCR Corp. (a) | 219,300 | 7,607,517 | |
NortonLifeLock, Inc. | 388,187 | 9,448,472 | |
Oracle Corp. | 3,302,430 | 237,510,766 | |
Palo Alto Networks, Inc. (a) | 72,923 | 36,664,226 | |
Roper Technologies, Inc. | 180,902 | 80,038,281 | |
Salesforce.com, Inc. (a) | 1,722,514 | 276,015,643 | |
ServiceNow, Inc. (a) | 30,684 | 14,343,849 | |
Splunk, Inc. (a) | 131,500 | 13,486,640 | |
Synopsys, Inc. (a) | 276,660 | 88,309,872 | |
UiPath, Inc. Class A (a)(b) | 172,855 | 2,950,635 | |
Unity Software, Inc. (a)(b) | 101,600 | 4,060,952 | |
VMware, Inc. Class A | 105,309 | 13,490,083 | |
Workday, Inc. Class A (a) | 479,571 | 74,956,947 | |
Zoom Video Communications, Inc. Class A (a) | 438,910 | 47,160,880 | |
4,069,320,100 | |||
Technology Hardware, Storage & Peripherals - 4.5% | |||
Apple, Inc. | 14,903,252 | 2,218,200,028 | |
Dell Technologies, Inc. | 476,200 | 23,781,428 | |
Hewlett Packard Enterprise Co. | 2,339,260 | 36,492,456 | |
HP, Inc. | 2,019,911 | 78,453,343 | |
NetApp, Inc. | 78,144 | 5,622,461 | |
Pure Storage, Inc. Class A (a) | 684,000 | 16,231,320 | |
Seagate Technology Holdings PLC | 946,292 | 80,122,544 | |
Western Digital Corp. (a) | 178,723 | 10,846,699 | |
Xerox Holdings Corp. | 386,650 | 7,276,753 | |
2,477,027,032 | |||
TOTAL INFORMATION TECHNOLOGY | 11,479,421,006 | ||
MATERIALS - 2.8% | |||
Chemicals - 1.9% | |||
Air Products & Chemicals, Inc. | 185,795 | 45,735,297 | |
Albemarle Corp. U.S. | 47,478 | 12,364,221 | |
Axalta Coating Systems Ltd. (a) | 214,347 | 5,821,665 | |
Cabot Corp. | 99,100 | 7,492,951 | |
Celanese Corp. Class A | 259,548 | 40,624,453 | |
CF Industries Holdings, Inc. | 486,069 | 48,009,035 | |
Corteva, Inc. | 1,084,400 | 67,905,128 | |
Dow, Inc. | 611,748 | 41,586,629 | |
DuPont de Nemours, Inc. | 211,000 | 14,316,350 | |
Eastman Chemical Co. | 724,267 | 79,785,253 | |
Ecolab, Inc. | 136,000 | 22,291,760 | |
FMC Corp. | 483,224 | 59,233,598 | |
Huntsman Corp. | 748,735 | 27,141,644 | |
Ingevity Corp. (a) | 136,575 | 9,516,546 | |
International Flavors & Fragrances, Inc. | 136,960 | 18,102,003 | |
Linde PLC | 737,159 | 239,340,784 | |
LyondellBasell Industries NV Class A | 361,704 | 41,324,682 | |
Nutrien Ltd. | 67,000 | 6,511,730 | |
Olin Corp. | 300,462 | 19,767,395 | |
PPG Industries, Inc. | 384,058 | 48,579,496 | |
RPM International, Inc. | 497,806 | 43,856,709 | |
Schweitzer-Mauduit International, Inc. | 240,600 | 6,525,072 | |
Sherwin-Williams Co. | 391,738 | 105,001,454 | |
The Chemours Co. LLC | 376,900 | 16,240,621 | |
The Mosaic Co. | 270,358 | 16,937,929 | |
Valvoline, Inc. | 470,500 | 15,742,930 | |
1,059,755,335 | |||
Construction Materials - 0.1% | |||
Martin Marietta Materials, Inc. | 136,097 | 46,188,600 | |
Vulcan Materials Co. | 94,605 | 15,597,526 | |
61,786,126 | |||
Containers & Packaging - 0.5% | |||
Amcor PLC | 910,673 | 11,929,816 | |
Avery Dennison Corp. | 190,820 | 32,927,899 | |
Ball Corp. | 469,725 | 33,298,805 | |
Berry Global Group, Inc. (a) | 392,300 | 22,882,859 | |
Crown Holdings, Inc. | 74,800 | 7,812,112 | |
International Paper Co. (b) | 703,493 | 34,084,236 | |
O-I Glass, Inc. (a) | 154,700 | 2,544,815 | |
Packaging Corp. of America | 333,343 | 52,428,187 | |
Sealed Air Corp. | 540,418 | 33,603,191 | |
WestRock Co. | 928,261 | 45,011,376 | |
276,523,296 | |||
Metals & Mining - 0.3% | |||
Alcoa Corp. | 28,300 | 1,746,676 | |
Freeport-McMoRan, Inc. | 937,521 | 36,638,321 | |
Newmont Corp. | 424,836 | 28,825,123 | |
Nucor Corp. | 241,135 | 31,940,742 | |
Reliance Steel & Aluminum Co. | 126,300 | 24,552,720 | |
Steel Dynamics, Inc. | 116,500 | 9,946,770 | |
United States Steel Corp. (b) | 220,900 | 5,537,963 | |
139,188,315 | |||
Paper & Forest Products - 0.0% | |||
Sylvamo Corp. | 28,090 | 1,425,287 | |
West Fraser Timber Co. Ltd. (b) | 48,300 | 4,461,954 | |
5,887,241 | |||
TOTAL MATERIALS | 1,543,140,313 | ||
REAL ESTATE - 1.9% | |||
Equity Real Estate Investment Trusts (REITs) - 1.8% | |||
Alexandria Real Estate Equities, Inc. | 37,616 | 6,242,375 | |
American Homes 4 Rent Class A | 299,124 | 11,055,623 | |
American Tower Corp. | 398,970 | 102,188,186 | |
Apple Hospitality (REIT), Inc. | 377,917 | 6,314,993 | |
AvalonBay Communities, Inc. | 62,559 | 13,009,770 | |
Boston Properties, Inc. | 25,379 | 2,821,637 | |
Brandywine Realty Trust (SBI) | 767,000 | 8,552,050 | |
Brixmor Property Group, Inc. | 535,172 | 13,047,493 | |
Camden Property Trust (SBI) | 34,600 | 4,964,754 | |
Corporate Office Properties Trust (SBI) | 66,300 | 1,832,532 | |
Crown Castle International Corp. | 271,200 | 51,433,080 | |
CubeSmart | 60,300 | 2,685,159 | |
Equinix, Inc. | 79,378 | 54,539,830 | |
Equity Lifestyle Properties, Inc. | 356,600 | 26,994,620 | |
Equity Residential (SBI) | 55,419 | 4,257,842 | |
Essex Property Trust, Inc. | 102,875 | 29,201,069 | |
Extra Space Storage, Inc. | 52,034 | 9,272,459 | |
Federal Realty Investment Trust (SBI) | 79,972 | 9,194,381 | |
Host Hotels & Resorts, Inc. | 992,587 | 19,841,814 | |
Invitation Homes, Inc. | 127,300 | 4,801,756 | |
JBG SMITH Properties | 267,162 | 6,895,451 | |
Kilroy Realty Corp. | 5,100 | 309,570 | |
Kimco Realty Corp. | 692,218 | 16,370,956 | |
Lamar Advertising Co. Class A | 69,874 | 6,844,158 | |
Life Storage, Inc. | 8,700 | 1,015,812 | |
Mid-America Apartment Communities, Inc. | 76,840 | 13,908,040 | |
Omega Healthcare Investors, Inc. | 439,500 | 13,083,915 | |
Paramount Group, Inc. | 715,000 | 6,477,900 | |
Piedmont Office Realty Trust, Inc. Class A | 784,400 | 11,562,056 | |
Prologis (REIT), Inc. | 1,077,607 | 137,373,340 | |
Public Storage | 130,682 | 43,208,696 | |
Rayonier, Inc. | 324,348 | 13,369,625 | |
Rexford Industrial Realty, Inc. | 174,300 | 11,132,541 | |
SBA Communications Corp. Class A | 266,130 | 89,582,019 | |
Service Properties Trust | 340,500 | 2,155,365 | |
Simon Property Group, Inc. | 290,094 | 33,259,277 | |
SITE Centers Corp. | 166,350 | 2,615,022 | |
Sun Communities, Inc. | 435,297 | 71,445,297 | |
Ventas, Inc. | 854,635 | 48,491,990 | |
Vornado Realty Trust | 378,853 | 13,244,701 | |
Washington REIT (SBI) | 61,300 | 1,488,977 | |
Welltower, Inc. | 521,388 | 46,450,457 | |
Weyerhaeuser Co. | 1,341,207 | 53,004,501 | |
1,025,541,089 | |||
Real Estate Management & Development - 0.1% | |||
CBRE Group, Inc. (a) | 489,139 | 40,520,275 | |
Cushman & Wakefield PLC (a) | 252,100 | 4,706,707 | |
Jones Lang LaSalle, Inc. (a) | 28,000 | 5,524,960 | |
Opendoor Technologies, Inc. (a)(b) | 437,121 | 3,160,385 | |
WeWork, Inc. (a)(b) | 191,800 | 1,398,222 | |
55,310,549 | |||
TOTAL REAL ESTATE | 1,080,851,638 | ||
UTILITIES - 2.3% | |||
Electric Utilities - 1.4% | |||
Alliant Energy Corp. | 108,000 | 6,892,560 | |
American Electric Power Co., Inc. | 93,796 | 9,570,006 | |
Constellation Energy Corp. | 255,939 | 15,888,693 | |
Duke Energy Corp. | 248,600 | 27,972,472 | |
Edison International | 372,374 | 26,032,666 | |
Entergy Corp. (b) | 292,874 | 35,238,600 | |
Evergy, Inc. | 148,565 | 10,390,636 | |
Eversource Energy | 139,800 | 12,906,336 | |
Exelon Corp. | 1,646,331 | 80,917,169 | |
FirstEnergy Corp. | 124,800 | 5,361,408 | |
NextEra Energy, Inc. | 3,693,422 | 279,555,111 | |
NRG Energy, Inc. | 886,419 | 40,810,731 | |
OGE Energy Corp. | 44,647 | 1,843,921 | |
PG&E Corp. (a) | 1,098,108 | 13,396,918 | |
Pinnacle West Capital Corp. | 25,134 | 1,951,655 | |
PPL Corp. | 946,635 | 28,569,444 | |
Southern Co. | 1,428,200 | 108,057,612 | |
Xcel Energy, Inc. | 993,576 | 74,856,016 | |
780,211,954 | |||
Gas Utilities - 0.1% | |||
Atmos Energy Corp. | 248,700 | 28,926,297 | |
National Fuel Gas Co. | 14,000 | 1,029,420 | |
29,955,717 | |||
Independent Power and Renewable Electricity Producers - 0.1% | |||
The AES Corp. | 159,400 | 3,513,176 | |
Vistra Corp. | 877,200 | 23,131,764 | |
26,644,940 | |||
Multi-Utilities - 0.7% | |||
Ameren Corp. | 1,049,649 | 99,916,088 | |
CenterPoint Energy, Inc. | 147,219 | 4,718,369 | |
CMS Energy Corp. | 546,134 | 38,797,359 | |
Consolidated Edison, Inc. | 128,620 | 12,766,821 | |
Dominion Energy, Inc. | 1,167,193 | 98,300,994 | |
DTE Energy Co. | 127,945 | 16,979,581 | |
NiSource, Inc. | 296,210 | 9,315,805 | |
Public Service Enterprise Group, Inc. | 340,152 | 23,314,018 | |
Sempra Energy | 401,164 | 65,734,733 | |
WEC Energy Group, Inc. | 299,870 | 31,507,341 | |
401,351,109 | |||
Water Utilities - 0.0% | |||
American Water Works Co., Inc. | 94,138 | 14,238,373 | |
Essential Utilities, Inc. | 92,400 | 4,274,424 | |
18,512,797 | |||
TOTAL UTILITIES | 1,256,676,517 | ||
TOTAL COMMON STOCKS | |||
(Cost $27,785,205,457) | 46,887,708,947 | ||
Nonconvertible Preferred Stocks - 0.0% | |||
CONSUMER DISCRETIONARY - 0.0% | |||
Automobiles - 0.0% | |||
Porsche Automobil Holding SE (Germany) | |||
(Cost $3,697,947) | 37,300 | 3,055,123 | |
Equity Funds - 15.0% | |||
Large Blend Funds - 6.0% | |||
Fidelity SAI U.S. Large Cap Index Fund (e) | 95,247,863 | 1,888,765,124 | |
Fidelity SAI U.S. Low Volatility Index Fund (e) | 53,799,395 | 952,249,299 | |
PIMCO StocksPLUS Absolute Return Fund Institutional Class | 48,723,545 | 491,133,329 | |
TOTAL LARGE BLEND FUNDS | 3,332,147,752 | ||
Large Growth Funds - 9.0% | |||
Fidelity Blue Chip Growth Fund (e) | 952,893 | 124,857,618 | |
Fidelity Growth Company Fund (e) | 101,586,266 | 2,708,289,861 | |
Fidelity SAI U.S. Momentum Index Fund (e) | 39,448,581 | 553,858,080 | |
Fidelity SAI U.S. Quality Index Fund (e) | 98,820,468 | 1,629,549,515 | |
TOTAL LARGE GROWTH FUNDS | 5,016,555,074 | ||
Mid-Cap Blend Funds - 0.0% | |||
Fidelity Mid Cap Index Fund (e) | 124,270 | 3,463,398 | |
TOTAL EQUITY FUNDS | |||
(Cost $6,071,526,924) | 8,352,166,224 | ||
Other - 0.1% | |||
Commodity Funds - Broad Basket - 0.1% | |||
Fidelity SAI Inflation-Focused Fund (e) | |||
(Cost $10,022,703) | 1,173,878 | 15,530,401 | |
U.S. Treasury Obligations - 0.0% | |||
U.S. Treasury Bills, yield at date of purchase 0.17% to 0.47% 6/23/22 | |||
(Cost $5,879,236) | 5,880,000 | 5,877,938 | |
Money Market Funds - 1.5% | |||
Fidelity Cash Central Fund 0.82% (f) | 31,245,987 | 31,252,236 | |
Fidelity Securities Lending Cash Central Fund 0.82% (f)(g) | 433,199,385 | 433,242,705 | |
Invesco Government & Agency Portfolio Institutional Class 0.67% (h) | 381,663,984 | 381,663,984 | |
TOTAL MONEY MARKET FUNDS | |||
(Cost $846,158,541) | 846,158,925 | ||
TOTAL INVESTMENT IN SECURITIES - 100.7% | |||
(Cost $34,722,490,808) | 56,110,497,558 | ||
NET OTHER ASSETS (LIABILITIES) - (0.7)% | (362,676,906) | ||
NET ASSETS - 100% | $55,747,820,652 |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/(Depreciation) | |
Purchased | |||||
Equity Index Contracts | |||||
CME E-mini S&P 500 Index Contracts (United States) | 155 | June 2022 | $32,017,188 | $(146,478) | $(146,478) |
The notional amount of futures purchased as a percentage of Net Assets is 0.1%
Legend
(a) Non-income producing
(b) Security or a portion of the security is on loan at period end.
(c) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $2,204,098 or 0.0% of net assets.
(d) 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 $788,573 or 0.0% of net assets.
(e) Affiliated Fund
(f) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, 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.
Additional information on each restricted holding is as follows:
Security | Acquisition Date | Acquisition Cost |
CCC Intelligent Solutions Holdings, Inc. | 2/2/21 | $356,550 |
Cvent Holding Corp. | 7/23/21 | $880,790 |
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
Fund | 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 0.82% | $42,716,602 | $413,584,775 | $425,049,141 | $45,942 | $1,205 | $(1,205) | $31,252,236 | 0.1% |
Fidelity Securities Lending Cash Central Fund 0.82% | 292,027,572 | 1,879,095,397 | 1,737,880,264 | 1,577,057 | -- | -- | 433,242,705 | 1.2% |
Total | $334,744,174 | $2,292,680,172 | $2,162,929,405 | $1,622,999 | $1,205 | $(1,205) | $464,494,941 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations, if applicable. Amount for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.
Affiliated Underlying Funds
Fiscal year to date information regarding the Fund's investments in affiliated Underlying Funds is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur, and are excluded from purchases and sales below if applicable. If an underlying Fund changes its name, the name presented below is the name in effect at period end.
Affiliate | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income | Realized Gain (loss) | Change in Unrealized appreciation (depreciation) | Value, end of period |
Fidelity Blue Chip Growth Fund | $-- | $150,000,000 | $-- | $-- | $-- | $(25,142,382) | $124,857,618 |
Fidelity Growth Company Fund | 3,660,707,600 | 587,235,288 | 595,000,000 | 387,235,288 | 71,312,565 | (1,015,965,592) | 2,708,289,861 |
Fidelity Mid Cap Index Fund | -- | 335,533,084 | 324,144,198 | -- | (7,869,567) | (55,921) | 3,463,398 |
Fidelity SAI Inflation-Focused Fund | 10,795,429 | 3,254,115 | -- | 3,254,115 | -- | 1,480,857 | 15,530,401 |
Fidelity SAI U.S. Large Cap Index Fund | 2,057,113,253 | 5,773,424,254 | 5,860,940,951 | 195,875,251 | 116,181,056 | (197,012,488) | 1,888,765,124 |
Fidelity SAI U.S. Low Volatility Index Fund | 1,442,168,893 | 331,368,799 | 860,966,340 | 31,368,799 | 109,701,276 | (70,023,329) | 952,249,299 |
Fidelity SAI U.S. Momentum Index Fund | 31,475,001 | 543,133,122 | 75 | 10,992,147 | 4 | (20,749,972) | 553,858,080 |
Fidelity SAI U.S. Quality Index Fund | 1,001,129,553 | 774,651,616 | 27,803,884 | 102,135,201 | (1,529,266) | (116,898,504) | 1,629,549,515 |
Total | $8,203,389,729 | $8,498,600,278 | $7,668,855,448 | $730,860,801 | $287,796,068 | $(1,444,367,331) | $7,876,563,296 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations, if applicable.
Investment Valuation
The following is a summary of the inputs used, as of May 31, 2022, 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 | $3,748,051,652 | $3,748,051,652 | $-- | $-- |
Consumer Discretionary | 5,077,951,548 | 5,064,111,646 | 13,839,902 | -- |
Consumer Staples | 2,596,705,664 | 2,596,705,664 | -- | -- |
Energy | 2,311,766,763 | 2,311,766,763 | -- | -- |
Financials | 6,368,320,297 | 6,352,730,786 | 15,589,511 | -- |
Health Care | 7,257,175,010 | 7,240,933,160 | 16,241,850 | -- |
Industrials | 4,170,703,662 | 4,170,703,662 | -- | -- |
Information Technology | 11,479,421,006 | 11,441,967,843 | 37,453,163 | -- |
Materials | 1,543,140,313 | 1,543,140,313 | -- | -- |
Real Estate | 1,080,851,638 | 1,080,851,638 | -- | -- |
Utilities | 1,256,676,517 | 1,256,676,517 | -- | -- |
Equity Funds | 8,352,166,224 | 8,352,166,224 | -- | -- |
Other | 15,530,401 | 15,530,401 | -- | -- |
Other Short-Term Investments | 5,877,938 | -- | 5,877,938 | -- |
Money Market Funds | 846,158,925 | 846,158,925 | -- | -- |
Total Investments in Securities: | $56,110,497,558 | $56,021,495,194 | $89,002,364 | $-- |
Derivative Instruments: | ||||
Liabilities | ||||
Futures Contracts | $(146,478) | $(146,478) | $-- | $-- |
Total Liabilities | $(146,478) | $(146,478) | $-- | $-- |
Total Derivative Instruments: | $(146,478) | $(146,478) | $-- | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of May 31, 2022. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
Primary Risk Exposure / Derivative Type | Value | |
Asset | Liability | |
Equity Risk | ||
Futures Contracts(a) | $0 | $(146,478) |
Total Equity Risk | 0 | (146,478) |
Total Value of Derivatives | $0 | $(146,478) |
(a) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
May 31, 2022 | ||
Assets | ||
Investment in securities, at value (including securities loaned of $415,313,028) — See accompanying schedule: Unaffiliated issuers (cost $28,653,093,904) | $47,769,439,321 | |
Fidelity Central Funds (cost $464,494,556) | 464,494,941 | |
Other affiliated issuers (cost $5,604,902,348) | 7,876,563,296 | |
Total Investment in Securities (cost $34,722,490,808) | $56,110,497,558 | |
Segregated cash with brokers for derivative instruments | 660,800 | |
Cash | 3,387,690 | |
Foreign currency held at value (cost $4,817,896) | 4,759,307 | |
Receivable for investments sold | 184,704,324 | |
Receivable for fund shares sold | 25,646,217 | |
Dividends receivable | 74,595,189 | |
Interest receivable | 207,066 | |
Distributions receivable from Fidelity Central Funds | 80,332 | |
Prepaid expenses | 151,210 | |
Other receivables | 665,847 | |
Total assets | 56,405,355,540 | |
Liabilities | ||
Payable for investments purchased | $188,623,745 | |
Payable for fund shares redeemed | 25,860,500 | |
Accrued management fee | 8,060,196 | |
Payable for daily variation margin on futures contracts | 189,875 | |
Other payables and accrued expenses | 1,557,867 | |
Collateral on securities loaned | 433,242,705 | |
Total liabilities | 657,534,888 | |
Net Assets | $55,747,820,652 | |
Net Assets consist of: | ||
Paid in capital | $32,703,711,931 | |
Total accumulated earnings (loss) | 23,044,108,721 | |
Net Assets | $55,747,820,652 | |
Net Asset Value, offering price and redemption price per share ($55,747,820,652 ÷ 5,166,255,760 shares) | $10.79 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Year ended May 31, 2022 | ||
Investment Income | ||
Dividends: | ||
Unaffiliated issuers | $779,720,030 | |
Affiliated issuers | 60,589,333 | |
Interest | 446,796 | |
Income from Fidelity Central Funds (including $1,577,057 from security lending) | 1,622,999 | |
Total income | 842,379,158 | |
Expenses | ||
Management fee | $259,619,037 | |
Custodian fees and expenses | 630,053 | |
Independent trustees' fees and expenses | 409,186 | |
Registration fees | 1,992,142 | |
Audit | 108,018 | |
Legal | 121,365 | |
Interest | 23,632 | |
Miscellaneous | 318,038 | |
Total expenses before reductions | 263,221,471 | |
Expense reductions | (151,655,814) | |
Total expenses after reductions | 111,565,657 | |
Net investment income (loss) | 730,813,501 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers (net of foreign taxes of $161,528) | 2,863,439,617 | |
Fidelity Central Funds | 1,205 | |
Other affiliated issuers | 287,796,068 | |
Foreign currency transactions | (470,996) | |
Futures contracts | 2,223,342 | |
Written options | 6,699 | |
Capital gain distributions from underlying funds: | ||
Unaffiliated issuers | 130,634,518 | |
Affiliated issuers | 670,271,468 | |
Total net realized gain (loss) | 3,953,901,921 | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers (net of decrease in deferred foreign taxes of $15,095) | (4,264,287,103) | |
Fidelity Central Funds | (1,205) | |
Other affiliated issuers | (1,444,367,331) | |
Unfunded commitments | (458,599) | |
Assets and liabilities in foreign currencies | (163,195) | |
Futures contracts | (3,301,860) | |
Total change in net unrealized appreciation (depreciation) | (5,712,579,293) | |
Net gain (loss) | (1,758,677,372) | |
Net increase (decrease) in net assets resulting from operations | $(1,027,863,871) |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Year ended May 31, 2022 | Year ended May 31, 2021(a) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $730,813,501 | $558,140,028 |
Net realized gain (loss) | 3,953,901,921 | 4,435,084,434 |
Change in net unrealized appreciation (depreciation) | (5,712,579,293) | 11,147,436,258 |
Net increase (decrease) in net assets resulting from operations | (1,027,863,871) | 16,140,660,720 |
Distributions to shareholders | (5,778,945,428) | (1,568,168,745) |
Share transactions | ||
Proceeds from sales of shares | 11,581,260,400 | 7,520,866,873 |
Net asset value of shares issued in exchange for the net assets of the Target Fund(s) (see Merger information note) | – | 18,520,637,551 |
Reinvestment of distributions | 5,458,683,843 | 232,385,307 |
Cost of shares redeemed | (14,677,157,537) | (7,680,619,730) |
Net increase (decrease) in net assets resulting from share transactions | 2,362,786,706 | 18,593,270,001 |
Total increase (decrease) in net assets | (4,444,022,593) | 33,165,761,976 |
Net Assets | ||
Beginning of period | 60,191,843,245 | 27,026,081,269 |
End of period | $55,747,820,652 | $60,191,843,245 |
Other Information | ||
Shares(b) | ||
Sold | 990,057,204 | 905,089,646 |
Issued in exchange for the shares of the Target Fund(s) (see Merger Information note) | – | 1,844,685,437 |
Issued in reinvestment of distributions | 450,858,453 | 143,286,389 |
Redeemed | (1,227,604,984) | (1,009,622,141) |
Net increase (decrease) | 213,310,673 | 1,883,439,331 |
(a) See Note 1 and Note 12.
(b) For the year ended May 31, 2021, as further described in Notes 1 and 12, amounts have been adjusted to reflect the impact of the change in capital structure associated with the merger that occurred on November 20, 2020. All financial information prior to the merger is that of the Predecessor Fund.
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Strategic Advisers Large Cap Fund
Years ended May 31, | 2022 | 2021 A | 2020 A | 2019 A | 2018 A |
Selected Per–Share Data | |||||
Net asset value, beginning of period | $12.15 | $8.81 | $8.33 | $8.86 | $8.34 |
Income from Investment Operations | |||||
Net investment income (loss)B,C | .14 | .14 | .15 | .14 | .12 |
Net realized and unrealized gain (loss) | (.33) | 3.69 | .88 | .03 | 1.05 |
Total from investment operations | (.19) | 3.83 | 1.03 | .17 | 1.17 |
Distributions from net investment income | (.14) | (.15) | (.14) | (.14) | (.12) |
Distributions from net realized gain | (1.02) | (.34) | (.42) | (.56) | (.53) |
Total distributions | (1.17)D | (.49) | (.55)D | (.70) | (.65) |
Net asset value, end of period | $10.79 | $12.15 | $8.81 | $8.33 | $8.86 |
Total ReturnE,F | (2.43)% | 44.55% | 12.17% | 2.41% | 14.59% |
Ratios to Average Net AssetsC,G,H | |||||
Expenses before reductions | .43% | .44% | .45% | .45% | .47% |
Expenses net of fee waivers, if any | .18% | .19% | .20% | .20% | .21% |
Expenses net of all reductions | .18% | .19% | .20% | .20% | .21% |
Net investment income (loss) | 1.21% | 1.29% | 1.74% | 1.65% | 1.41% |
Supplemental Data | |||||
Net assets, end of period (000 omitted) | $55,747,821 | $60,191,843 | $27,026,081 | $24,720,960 | $24,984,597 |
Portfolio turnover rateI | 59% | 74%J | 90% | 84% | 98% |
A As further described in Notes 1 and 12, per share amounts have been adjusted to reflect the impact of the change in capital structure associated with the merger that occurred on November 20, 2020. All financial information prior to the merger is that of the Predecessor Fund.
B Calculated based on average shares outstanding during the period.
C Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any such underlying funds is not included in the Fund's net investment income (loss) ratio.
D Total distributions per share do not sum due to rounding.
E Total returns for periods of less than one year are not annualized.
F Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
G Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
I Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
J The portfolio turnover rate does not include the assets acquired in the merger.
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements
For the period ended May 31, 2022
1. Organization.
Strategic Advisers Large Cap Fund (the Fund) is a fund of Fidelity Rutland Square Trust II (the Trust), and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust. The Fund is offered exclusively to certain managed account clients of Strategic Advisers LLC (Strategic Advisers), an affiliate of Fidelity Management & Research Company LLC (FMR). Effective November 20, 2020, Strategic Advisers Core Fund ("Predecessor Fund") and two other funds were reorganized into the Fund. The Predecessor Fund was the accounting survivor in the reorganization, and, as such, the financial statements and financial highlights for the fiscal year ended May 31, 2021 and prior reflect the financial information of the Predecessor Fund through November 20, 2020 (see Note 12).
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 delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
- Level 1 – 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 vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, ETFs and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. If an unaffiliated open-end mutual fund's NAV is unavailable, shares of that fund may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and is categorized as Level 2 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of May 31, 2022 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 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 Large Cap Fund | $647,040 |
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of May 31, 2022, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests. The Fund is subject to a tax imposed on capital gains by certain countries in which it invests.
Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to the short-term gain distributions from the underlying mutual funds, futures contracts, foreign currency transactions, certain foreign taxes, passive foreign investment companies (PFIC), partnerships and losses deferred due to wash sales and excise tax regulations.
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
Gross unrealized appreciation | $22,583,227,653 |
Gross unrealized depreciation | (1,576,631,898) |
Net unrealized appreciation (depreciation) | $21,006,595,755 |
Tax Cost | $35,103,901,803 |
The tax-based components of distributable earnings as of period end were as follows:
Undistributed ordinary income | $257,551,234 |
Undistributed long-term capital gain | $1,834,942,698 |
Net unrealized appreciation (depreciation) on securities and other investments | $21,007,114,150 |
The Fund intends to elect to defer to its next fiscal year $55,499,361 of capital losses recognized during the period November 1, 2021 to May 31, 2022.
The tax character of distributions paid was as follows:
May 31, 2022 | May 31, 2021 | |
Ordinary Income | $1,674,629,449 | $ 164,015,935 |
Long-term Capital Gains | 4,104,315,979 | 80,778,325 |
Total | $5,778,945,428 | $ 244,794,260 |
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.
Special Purpose Acquisition Companies. Funds may invest in stock, warrants, and other securities of special purpose acquisition companies (SPACs) or similar special purpose entities. A SPAC is a publicly traded company that raises investment capital via an initial public offering (IPO) for the purpose of acquiring the equity securities of one or more existing companies via merger, business combination, acquisition or other similar transactions within a designated time frame.
Private Investment in Public Equity. Funds may acquire equity securities of an issuer through a private investment in a public equity (PIPE) transaction, including through commitments to purchase securities on a when-issued basis. A PIPE typically involves the purchase of securities directly from a publicly traded company in a private placement transaction. Securities purchased through PIPE transactions will be restricted from trading and considered illiquid until a resale registration statement for the shares is filed and declared effective.
At the current and/or prior period end, the Fund had commitments to purchase when-issued securities through PIPE transactions with SPACs. The commitments are contingent upon the SPACs acquiring the securities of target companies. Unrealized appreciation (depreciation) on any commitments outstanding at period end is separately presented in the Statements 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.
3. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund's investment objective allows the Fund to enter into various types of derivative contracts, including futures contracts and options. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.
The Fund used derivatives to increase returns and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.
The Fund's use of derivatives increased or decreased its exposure to the following risk:
Equity Risk | Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment. |
The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Counterparty credit risk related to exchange-traded futures contracts and exchange-traded options may be mitigated by the protection provided by the exchange on which they trade.
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.
Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives. The table below, which reflects the impacts of derivatives on the financial performance of the Fund, summarizes the net realized gain (loss) and change in net unrealized appreciation (depreciation) for derivatives during the period as presented in the Statement of Operations.
Primary Risk Exposure / Derivative Type | Net Realized Gain (Loss) | Change in Net Unrealized Appreciation (Depreciation) |
Equity Risk | ||
Futures Contracts | $2,223,342 | $(3,301,860) |
Written Options | 6,699 | – |
Total Equity Risk | $2,230,041 | $(3,301,860) |
A summary of the value of derivatives by primary risk exposure as of period end, if any, is included at the end of the Schedule of Investments.
Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. The Fund used futures contracts to manage its exposure to the stock market.
Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments (variation margin) are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is presented in the Statement of Operations.
Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The notional amount at value reflects each contract's exposure to the underlying instrument or index at period end and is representative of volume of activity during the period. 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.
The Fund used exchange-traded written covered call options to manage its exposure to the market. When the Fund writes a covered call option, the Fund holds the underlying instrument which must be delivered to the holder upon the exercise of the option.
Upon entering into a written options contract, the Fund will receive a premium. Premiums received are reflected as a liability on the Statement of Assets and Liabilities. Options are valued daily and any unrealized appreciation (depreciation) is reflected on the Statement of Assets and Liabilities. When a written option is exercised, the premium is added to the proceeds from the sale of the underlying instrument in determining the gain or loss realized on that investment. When an option is closed the Fund will realize a gain or loss depending on whether the proceeds or amount paid for the closing sale transaction are greater or less than the premium received. When an option expires, gains and losses are realized to the extent of premiums received. The net realized gain (loss) on closed and expired written options and the change in net unrealized appreciation (depreciation) on written options are presented in the Statement of Operations.
Writing call options tends to decrease exposure to the underlying instrument and risk of loss is the change in value in excess of the premium received.
Any open options at period end are presented in the Schedule of Investments under the caption "Written Options."
4. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities, U.S. government securities and in-kind transactions, as applicable, are noted in the table below.
Purchases ($) | Sales ($) | |
Strategic Advisers Large Cap Fund | 35,310,957,877 | 37,053,115,179 |
Prior Fiscal Year Unaffiliated Exchanges In-Kind. During the prior period, the Fund redeemed 19,946,276 shares of JPMorgan U.S. Large Cap Core Plus Fund Select Class in exchange for investments and cash with a value of $487,287,521. The Fund had a net realized gain of $132,702,495 on the Fund's redemptions of JPMorgan U.S. Large Cap Core Plus Fund Select Class which is included in the accompanying Statement of Changes in Net Assets. The Fund recognized net gains for federal income tax purposes.
5. Fees and Other Transactions with Affiliates.
Management Fee. Strategic Advisers (the investment adviser) provides the Fund with investment management related services. For these services, the Fund pays a monthly management fee to the investment adviser. The management fee is calculated by adding the annual management fee rate of .25% of the Fund's average net assets throughout the month to the aggregate of the fee rates, payable monthly by the investment adviser, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed .65% of the Fund's average net assets. For the reporting period, the total annual management fee rate was .43% of the Fund's average net assets.
During the period, the investment adviser waived a portion of its management fee as described in the Expense Reductions note.
Sub-Advisers. AllianceBernstein, L.P. (AB), Aristotle Capital Management, LLC, Brandywine Global Investment Management, LLC, ClariVest Asset Management LLC, ClearBridge Investments, LLC, FIAM LLC (an affiliate of the investment adviser), Invesco Advisers, Inc. (managed a portion of the Fund's assets through October 7, 2021), J.P. Morgan Investment Management, Inc., Loomis Sayles & Company, L.P., LSV Asset Management, PineBridge Investments LLC, Principal Global Investors, LLC and T. Rowe Price Associates, Inc. each served as a sub-adviser for the Fund during the period. Sub-advisers provide discretionary investment advisory services for their allocated portion of the Fund's assets and are paid 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.
In June 2022, the Board approved the appointment of Neuberger Berman Investment Advisers, LLC as an additional sub-adviser for the Fund.
Brokerage Commissions. A portion of portfolio transactions were placed with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Statement of Operations. The commissions paid to these affiliated firms were as follows:
Amount | |
Strategic Advisers Large Cap Fund | $59,719 |
Interfund Trades. Funds may purchase from or sell securities to other funds affiliated with each sub-adviser under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. Interfund trades during the period are noted in the table below.
Purchases ($) | Sales ($) | Realized Gain (Loss) ($) | |
Strategic Advisers Large Cap Fund | 213,966,172 | 651,367,901 | 72,833,779 |
Other. During the period, the investment adviser reimbursed the Fund for certain losses as follows:
Amount ($) | |
Strategic Advisers Large Cap Fund | 146,303 |
6. Investments in Fidelity Central Funds.
Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.
Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense Ratio(a) |
Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |
(a) Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.
7. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below. During the period, there were no borrowings on this line of credit.
Amount | |
Strategic Advisers Large Cap Fund | $100,458 |
8. Security Lending.
Funds lend portfolio securities from time to time in order to earn additional income. Lending agents are used, including National Financial Services (NFS), an affiliate of the investment adviser. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of a fund's daily lending revenue, for its services as lending agent. A fund may lend securities to certain qualified borrowers, including NFS. On the settlement date of the loan, a fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of a fund and any additional required collateral is delivered to a fund on the next business day. A fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund may apply collateral received from the borrower against the obligation. A fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Affiliated security lending activity, if any, was as follows:
Total Security Lending Fees Paid to NFS | Security Lending Income From Securities Loaned to NFS | Value of Securities Loaned to NFS at Period End | |
Strategic Advisers Large Cap Fund | $86,475 | $– | $– |
9. Bank Borrowings.
The Fund is permitted to have bank borrowings for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity requirements. The Fund has established borrowing arrangements with certain banks. The interest rate on the borrowings is the bank's base rate, as revised from time to time. Any open loans, including accrued interest, at period end are presented under the caption "Notes payable" in the Statement of Assets and Liabilities, if applicable. Activity in this program during the period for which loans were outstanding was as follows:
Average Loan Balance | Weighted Average Interest Rate | Interest Expense | |
Strategic Advisers Large Cap Fund | $57,082,087 | .65% | $23,732 |
10. Expense Reductions.
The investment adviser has contractually agreed to waive the Fund's management fee in an amount equal to .25% of the Fund's average net assets until September 30, 2024. During the period, this waiver reduced the Fund's management fee by $ 151,501,180.
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 $1,376.
In addition, during the period the investment adviser or an affiliate reimbursed and/or waived a portion of operating expenses in the amount of $153,258.
11. Other.
A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.
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 Large Cap Fund |
Fidelity SAI U.S. Large Cap Index Fund | 15% |
Fidelity SAI U.S. Low Volatility Index Fund | 11% |
Fidelity SAI U.S. Momentum Index Fund | 12% |
Fidelity SAI U.S. Quality Index Fund | 14% |
12. Prior Fiscal Year Merger Information.
On November 20, 2020, the Fund acquired all of the assets and assumed all of the liabilities of Strategic Advisers Growth Fund, Strategic Advisers Value Fund (Target Funds) and Strategic Advisers Core Fund (Predecessor Fund) pursuant to an Agreement and Plan of Reorganization approved by the Board of Trustees ("The Board"). The securities held by the Target Funds and Predecessor Fund were the primary assets acquired by the Fund. Each acquisition was accomplished by an exchange of shares of the Fund for shares then outstanding of each Target Fund and the Predecessor Fund at their respective net asset value on the acquisition date. The reorganization provides shareholders of each Target Fund and the Predecessor Fund access to a larger portfolio with a similar investment objective and lower projected expenses. As a result of this transaction the Predecessor Fund was determined to be the accounting survivor. As such, performance and financial history prior to the merger is that of Predecessor Fund. Historical share transactions and per share information for the Predecessor Fund has been retroactively adjusted to reflect the change in capital structure due to the merger. The reorganization qualified as a tax-free reorganization for federal income tax purposes with no gain or loss recognized to the funds or their shareholders. For financial reporting purposes, the assets and liabilities of the Predecessor Fund and Target Funds and shares issued by the Fund were recorded at fair value; however, the cost basis of the investments received from the Predecessor Fund and Target Funds were carried forward to align ongoing reporting of realized and unrealized gains and losses with amounts distributable to shareholders for tax purposes. Costs incurred in connection with the reorganization were paid by the respective fund.
Predecessor and Target Funds | Securities $ | Unrealized appreciation (depreciation) $ | Net Assets $ | Shares Exchanged | Shares Exchanged Ratio |
Strategic Advisers Core Fund(a) | 31,619,450,950 | 12,056,868,793 | 31,632,208,284 | 3,150,617,669 | 2.0769521912 |
Strategic Advisers Growth Fund | 9,684,515,165 | 5,505,004,332 | 9,686,104,070 | 964,750,799 | 2.1295816733 |
Strategic Advisers Value Fund | 8,821,520,451 | 2,357,297,576 | 8,833,529,481 | 879,834,633 | 1.7264342629 |
(a) Predecessor Fund/Accounting survivor
Legal Acquiring Fund | Net Assets $ | Total Net Assets after the acquisition $ |
Strategic Advisers Large Cap Fund | 1,004,000 | 50,152,845,835 |
Pro forma results of operations of the combined entity for the entire period ended May 31, 2021 as though the acquisition had occurred as of the beginning of the year (rather than on the actual acquisition date) are as follows:
Net investment income (loss) | $568,896,394 |
Total net realized gain (loss) | 5,389,603,115 |
Total change in net unrealized appreciation (depreciation) | 13,348,109,861 |
Net increase (decrease) in net assets resulting from operations | $19,306,609,370 |
Because the combined investment portfolios have been managed as a single portfolio since each acquisition was completed, it is not practicable to separate the amounts of revenue and earnings of each Target Fund that has been included in the Fund's Statement of Operations since November 20, 2020.
13. Coronavirus (COVID-19) Pandemic.
An outbreak of COVID-19 first detected in China during December 2019 has since spread globally and was declared a pandemic by the World Health Organization during March 2020. Developments that disrupt global economies and financial markets, such as the COVID-19 pandemic, may magnify factors that affect the Fund's performance.
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Fidelity Rutland Square Trust II and Shareholders of Strategic Advisers Large Cap Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Strategic Advisers Large Cap Fund (one of the funds constituting Fidelity Rutland Square Trust II, referred to hereafteras the “Fund”) as of May 31, 2022, the related statement of operations for the year ended May 31, 2022, the statement of changes in net assets for each of the two years in the period ended May 31, 2022, including the related notes, and the financial highlights for each of the five years in the period ended May 31, 2022 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of May 31, 2022, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended May 31, 2022 and the financial highlights for each of the five years in the period ended May 31, 2022 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of May 31, 2022 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
Boston, Massachusetts
July 15, 2022
We have served as the auditor of one or more investment companies in the Fidelity group of funds since 1932.
Trustees and Officers
The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance. If the interests of the fund and an underlying Fidelity® fund were to diverge, a conflict of interest could arise and affect how the Trustees and Members of the Advisory Board fulfill their fiduciary duties to the affected funds. Strategic Advisers has structured the fund to avoid these potential conflicts, although there may be situations where a conflict of interest is unavoidable. In such instances, Strategic Advisers, the Trustees, and Members of the Advisory Board would take reasonable steps to minimize and, if possible, eliminate the conflict. Each of the Trustees oversees 13 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 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.
Each Trustee who is not an interested person (as defined in the 1940 Act) of the trust and the fund is referred to herein as an Independent Trustee.
The fund’s Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-3455.
Experience, Skills, Attributes, and Qualifications of the Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee may also engage professional search firms to help identify potential Independent Trustee candidates with experience, qualifications, attributes, and skills consistent with the Statement of Policy. Additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, may be considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.
In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.
Board Structure and Oversight Function. Kathleen Murphy is an interested person and currently serves as Chair. The Trustees have determined that an interested Chair is appropriate and benefits shareholders because an interested Chair has a personal and professional stake in the quality and continuity of services provided to the fund. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chair, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chair and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session. Mary C. Farrell serves as the lead Independent Trustee and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.
Fidelity® funds are overseen by different Boards of Trustees. The fund's Board oversees asset allocation funds. Other Boards oversee Fidelity's investment-grade bond, money market, and asset allocation funds, and Fidelity's equity and high income funds. The fund may invest in Fidelity® funds overseen by such other Boards. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity® funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues.
The Trustees primarily operate as a full Board, but also operate in committees, to facilitate the timely and efficient consideration of all matters of importance to the Trustees, the fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the fund's activities and associated risks. The Board has charged Strategic Advisers and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the fund's business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above. Because the day-to-day operations and activities of the fund are carried out by or through Strategic Advisers, its affiliates and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees. Board oversight of different aspects of the fund's activities is exercised primarily through the full Board, but also through the Audit and Compliance Committee. Appropriate personnel, including but not limited to the fund's Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the fund's Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate. The responsibilities of each standing committee, including their oversight responsibilities, are described further under "Standing Committees of the Trustees."
Interested Trustees*:
Correspondence intended for a Trustee who is an interested person may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Charles S. Morrison (1960)
Year of Election or Appointment: 2020
Trustee
Mr. Morrison also serves as Trustee of other funds. Previously, Mr. Morrison served as President (2017-2018) and Director (2014-2018) of Fidelity SelectCo, LLC (investment adviser firm), President of Fidelity Management & Research Company (FMR) (investment adviser firm, 2016-2018), a Director of Fidelity Investments Money Management, Inc. (investment adviser firm, 2014-2018), President, Asset Management (2014-2018), Trustee of the Fidelity Equity and High Income Funds (283 funds as of December 2018) (2014-2018), and was an employee of Fidelity Investments. Mr. Morrison also previously served as Vice President of Fidelity's Fixed Income and Asset Allocation Funds (2012-2014), President, Fixed Income (2011-2014), Vice President of Fidelity's Money Market Funds (2005-2009), President, Money Market Group Leader of FMR (2009), and Senior Vice President, Money Market Group of FMR (2004-2009). Mr. Morrison also served as Vice President of Fidelity's Bond Funds (2002-2005), certain Balanced Funds (2002-2005), and certain Asset Allocation Funds (2002-2007), and as Senior Vice President (2002-2005) of Fidelity's Bond Division.
Kathleen Murphy (1963)
Year of Election or Appointment: 2022
Trustee
Chair of the Board of Trustees
Ms. Murphy also serves as Trustee of other funds. Ms. Murphy serves as a Senior Adviser to the Chief Executive Officer of Fidelity Investments (2022-present), member of the Board of Directors of Snyk Technologies (cybersecurity technology, 2022-present), member of the Advisory Board of FliptRX (pharmacy benefits manager, 2022-present), member of the Board of Directors of Fidelity Investments Life Insurance Company (2009-present)), and member of the Board of Directors of Empire Fidelity Investments Life Insurance Company (2009-present). Previously, Ms. Murphy served as President of Personal Investing at Fidelity Investments (2009-2021), Chief Executive Officer of ING U.S. Wealth Management (2003-2008), and Deputy General Counsel, General Counsel and Chief Compliance Officer (1997-2003) of Aetna. Ms. Murphy also serves as Vice Chairman of the Board of Directors of the National Football Foundation (2013-present).
* Determined to be an "Interested Trustee" by virtue of, among other things, his or her affiliation with the trust or various entities under common control with Strategic Advisers.
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Independent Trustees:
Correspondence intended for an Independent Trustee may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Peter C. Aldrich (1944)
Year of Election or Appointment: 2006
Trustee
Mr. Aldrich also serves as Trustee of other funds. Mr. Aldrich is an independent Director of BLPF GP LLC (general partner of a private fund, 2006-present) and BlackRock US Core Property Fund, Inc. (real estate investment trust, 2006-present). Previously, Mr. Aldrich served as a Managing Member of Poseidon, LLC (foreign private investment, 1998-2004), and Chairman and Managing Member of AEGIS, LLC (foreign private investment, 1997-2004). Mr. Aldrich previously was a founder, Chief Executive Officer, and Chairman of AEW Capital Management, L.P. (then, Aldrich, Eastman and Waltch, L.P.). Mr. Aldrich also served as a Director of LivelyHood, Inc. (private corporation, 2013-2020), a Trustee for the Fidelity Rutland Square Trust (2005-2010), a Director of Zipcar, Inc. (car sharing services, 2001-2009) and as Faculty Chairman of The Research Council on Global Investment of The Conference Board (business and professional education non-profit, 1999-2004). Mr. Aldrich is a Member Emeritus of the Board of Directors of the National Bureau of Economic Research and the Board of Trustees of the Museum of Fine Arts Boston.
Mary C. Farrell (1949)
Year of Election or Appointment: 2013
Trustee
Ms. Farrell also serves as Trustee of other funds. Ms. Farrell is a Director of the W.R. Berkley Corporation (insurance provider) and Director (2006-present) and Chair (2021-present) of the Howard Gilman Foundation (charitable organization). Previously, Ms. Farrell was Managing Director and Chief Investment Strategist at UBS Wealth Management USA and Co-Head of UBS Wealth Management Investment Strategy & Research Group (2003-2005) and President (2009-2021) of the Howard Gilman Foundation (charitable organization). Ms. Farrell also served as Investment Strategist at PaineWebber (1982-2000) and UBS PaineWebber (2000-2002). Ms. Farrell serves as Chairman of the Board of Trustees of Yale-New Haven Hospital and Vice Chairman of the Yale New Haven Health System Board and previously served as Trustee on the Board of Overseers of the New York University Stern School of Business.
Karen Kaplan (1960)
Year of Election or Appointment: 2006
Trustee
Ms. Kaplan also serves as Trustee of other funds. Ms. Kaplan is Chair (2014-present) and Chief Executive Officer (2013-present) of Hill Holliday (advertising and specialized marketing). Ms. Kaplan is a Member of the Board of Governors of the Chief Executives’ Club of Boston (2010-present), Member of the Executive Committee and past Chair of the Greater Boston Chamber of Commerce (2006-present), Advisory Board Member of the National Association of Corporate Directors Chapter (2012-present), Member of the Board of Trustees of the Post Office Square Trust (2012-present), Trustee of the Brigham and Women’s Hospital (2016-present), Overseer of the Boston Symphony Orchestra (2014-present), Member of the Board of Directors of The Advertising Council, Inc. (2016-present), Member of the Ron Burton Training Village Executive Board of Advisors (2017-present), Member of the Executive Committee of The Ad Council, Inc. (2019-present), and Member of the Board of Directors of The Ad Club of Boston (2020-present). Previously, Ms. Kaplan served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010), Director of The Michaels Companies, Inc. (specialty retailer, 2015-2021), a member of the Clinton Global Initiative (2010-2015), Director of DSM (dba Delta Dental and DentaQuest) (2004-2014), Formal Appointee of the 2015 Baker-Polito Economic Development Council, Director of Vera Bradley Inc. (designer of women’s accessories, 2012-2015), Member of the Board of Directors of the Massachusetts Conference for Women (2008-2015), Member of the Board of Directors of Jobs for Massachusetts (2012-2015), President of the Massachusetts Women’s Forum (2008-2010), Treasurer of the Massachusetts Women’s Forum (2002-2006), and Vice Chair of the Board of the Massachusetts Society for the Prevention of Cruelty to Children (2003-2010).
Christine Marcks (1955)
Year of Election or Appointment: 2020
Trustee
Ms. Marcks also serves as Trustee of other Funds. Prior to her retirement, Ms. Marcks served as Chief Executive Officer and President – Prudential Retirement (2007-2017) and Vice President for Rollover and Retirement Income Strategies (2005-2007), Prudential Financial, Inc. (financial services). Previously, Ms. Marcks served as a Member of the Advisory Board of certain Fidelity® funds (2019-2020), was Senior Vice President and Head of Financial Horizons (2002-2004) and Vice President, Strategic Marketing (2000-2002) of Voya Financial (formerly ING U.S.) (financial services), held numerous positions at Aetna Financial Services (financial services, 1987-2000) and served as an International Economist for the United States Department of the Treasury (1980-1987). Ms. Marcks also serves as a member of the Board of Trustees, Audit Committee and Benefits & Operations Committee of the YMCA Retirement Fund (2018-present), a non-profit organization providing retirement plan benefits to YMCA staff members, and as a member of the Board of Trustees of Assumption College (2019-present).
Heidi L. Steiger (1953)
Year of Election or Appointment: 2017
Trustee
Ms. Steiger also serves as Trustee of other funds. Ms. Steiger serves as Managing Partner of Topridge Associates, LLC (consulting, 2005-present) and a member of the Board of Directors (2022-present) of Live Current Media, Inc. Previously, Ms. Steiger served as a member of the Board of Directors (2013-2021) and member of the Membership and Executive Committee (2017-2021) of Business Executives for National Security (nonprofit), a member of the Board of Directors Chair of the Remuneration Committee of Imagine Intelligent Materials Limited (2019-2021) (technology company), a member of the Advisory Board of the joint degree program in Global Luxury Management at North Carolina State University (Raleigh, NC) and Skema (Paris) (2018-2021), a Non-Executive Director of CrowdBureau Corporation (financial technology company and index provider, 2018-2021), a member of the Global Advisory Board and Of Counsel to Signum Global Advisors (international policy and strategy, 2018-2020), Eastern Region President of The Private Client Reserve of U.S. Bancorp (banking and financial services, 2010-2015), Advisory Director of Berkshire Capital Securities, LLC (financial services, 2009-2010), President and Senior Advisor of Lowenhaupt Global Advisors, LLC (financial services, 2005-2007), and President and Contributing Editor of Worth Magazine (2004-2005) and held a variety of positions at Neuberger Berman Group, LLC (financial services, 1986-2004), including Partner and Executive Vice President and Global Head of Private Asset Management at Neuberger Berman (1999-2004). Ms. Steiger also served as a member of the Board of Directors of Nuclear Electric Insurance Ltd (insurer of nuclear utilities, 2006-2017), a member of the Board of Trustees and Audit Committee of the Eaton Vance Funds (2007-2010), a member of the Board of Directors of Aviva USA (formerly AmerUs) (insurance, 2004-2014), and a member of the Board of Trustees and Audit Committee and Chair of the Investment Committee of CIFG (financial guaranty insurance, 2009-2012), and a member of the Board of Directors of Kin Group Plc (formerly, Fitbug Holdings) (health and technology, 2016-2017).
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Advisory Board Members and Officers:
Correspondence intended for a Member of the Advisory Board (if any) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235. Correspondence intended for an officer or Howard E. Cox, Jr. may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210. Officers appear below in alphabetical order.
Name, Year of Birth; Principal Occupation
Howard E. Cox, Jr. (1944)
Year of Election or Appointment: 2009
Member of the Advisory Board
Mr. Cox also serves as a Member of the Advisory Board of other funds. Mr. Cox is a Partner of Greylock (venture capital, 1971-present) and a Director of Stryker Corporation (medical products and services, 1974-present). Previously, Mr. Cox served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010). Mr. Cox also serves as a Member of the Secretary of Defense's Business Board of Directors (2008-present), a Director of Business Executives for National Security (1997-present), a Director of the Brookings Institution (2010-present), a Director of the World Economic Forum’s Young Global Leaders Foundation (2009-present), and is a Member of the Harvard Medical School Board of Fellows (2002-present).
Craig S. Brown (1977)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Brown also serves as an officer of other funds. Mr. Brown serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2013-present).
John J. Burke III (1964)
Year of Election or Appointment: 2018
Chief Financial Officer
Mr. Burke also serves as Chief Financial Officer of other funds. Mr. Burke serves as Head of Investment Operations for Fidelity Fund and Investment Operations (2018-present) and is an employee of Fidelity Investments (1998-present). Previously Mr. Burke served as head of Asset Management Investment Operations (2012-2018).
Jonathan Davis (1968)
Year of Election or Appointment: 2010
Assistant Treasurer
Mr. Davis also serves as an officer of other funds. Mr. Davis serves as Assistant Treasurer of FIMM, LLC (2021-present), FMR Capital, Inc. (2017-present), FD Funds GP LLC (2021-present), FD Funds Holding LLC (2021-present), and FD Funds Management LLC (2021-present); and is an employee of Fidelity Investments. Previously, Mr. Davis served as Vice President and Associate General Counsel of FMR LLC (diversified financial services company, 2003-2010).
Laura M. Del Prato (1964)
Year of Election or Appointment: 2018
Assistant Treasurer
Ms. Del Prato also serves as an officer of other funds. Ms. Del Prato serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2017-present). Previously, Ms. Del Prato served as President and Treasurer of The North Carolina Capital Management Trust: Cash Portfolio and Term Portfolio (2018-2020). Prior to joining Fidelity Investments, Ms. Del Prato served as a Managing Director and Treasurer of the JPMorgan Mutual Funds (2014-2017). Prior to JPMorgan, Ms. Del Prato served as a partner at Cohen Fund Audit Services (accounting firm, 2012-2013) and KPMG LLP (accounting firm, 2004-2012).
James D. Gryglewicz (1972)
Year of Election or Appointment: 2015
Chief Compliance Officer
Mr. Gryglewicz also serves as Chief Compliance Officer of other funds. Mr. Gryglewicz serves as Compliance Officer of Strategic Advisers LLC (investment adviser firm, 2015-present), Senior Vice President of Asset Management Compliance (2009-present), and is an employee of Fidelity Investments (2004-present). Previously, Mr. Gryglewicz served as Compliance Officer of Fidelity SelectCo, LLC (investment adviser firm, 2014-2019), and as Chief Compliance Officer of certain Fidelity® funds (2014-2018).
Colm A. Hogan (1973)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Hogan also serves as an officer of other funds. Mr. Hogan serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2005-present). Previously, Mr. Hogan served as Deputy Treasurer of certain Fidelity® funds (2016-2020) and Assistant Treasurer of certain Fidelity® funds (2016-2018).
Christina H. Lee (1975)
Year of Election or Appointment: 2020
Secretary and Chief Legal Officer
Ms. Lee also serves as Secretary and CLO of other funds. Ms. Lee serves as Vice President, Associate General Counsel (2014-present) and is an employee of Fidelity Investments (2007-present). Previously, Ms. Lee served as Assistant Secretary of certain funds (2018-2019).
Cynthia Lo Bessette (1969)
Year of Election or Appointment: 2020
Assistant Secretary
Ms. Lo Bessette also serves as an officer of other funds. Ms. Lo Bessette serves as CLO, Secretary, and Senior Vice President of Fidelity Management & Research Company LLC (investment adviser firm, 2019-present); CLO of Fidelity Management & Research (Hong Kong) Limited, FMR Investment Management (UK) Limited, and Fidelity Management & Research (Japan) Limited (investment adviser firms, 2019-present); Secretary of FD Funds GP LLC (2021-present), FD Funds Holding LLC (2021-present), and FD Funds Management LLC (2021-present); and Assistant Secretary of FIMM, LLC (2019-present). She is a Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company, 2019-present), and is an employee of Fidelity Investments. Previously, Ms. Lo Bessette served as CLO, Secretary, and Senior Vice President of FMR Co., Inc. (investment adviser firm, 2019); Secretary of Fidelity SelectCo, LLC and Fidelity Investments Money Management, Inc. (investment adviser firms, 2019). Prior to joining Fidelity Investments, Ms. Lo Bessette was Executive Vice President, General Counsel (2016-2019) and Senior Vice President, Deputy General Counsel (2015-2016) of OppenheimerFunds (investment management company) and Deputy Chief Legal Officer (2013-2015) of Jennison Associates LLC (investment adviser firm).
Chris Maher (1972)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Maher also serves as an officer of other funds. Mr. Maher serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present), and is an employee of Fidelity Investments (2008-present). Previously, Mr. Maher served as Assistant Treasurer of certain funds (2013-2020); Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010).
Brett Segaloff (1972)
Year of Election or Appointment: 2021
Anti-Money Laundering (AML) Officer
Mr. Segaloff also serves as an AML Officer of other funds and other related entities. He is Director, Anti-Money Laundering (2007-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments (1996-present).
Stacie M. Smith (1974)
Year of Election or Appointment: 2020
President and Treasurer
Ms. Smith also serves as an officer of other funds. Ms. Smith serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present), is an employee of Fidelity Investments (2009-present), and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (accounting firm, 1996-2009). Previously, Ms. Smith served as Assistant Treasurer (2013-2019) and Deputy Treasurer (2013-2016) of certain Fidelity® funds.
Jim Wegmann (1979)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Wegmann also serves as an officer of other funds. Mr. Wegmann serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2011-present). Previously, Mr. Wegmann served as Assistant Treasurer of certain Fidelity® funds (2019-2021).
Shareholder Expense Example
As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (December 1, 2021 to May 31, 2022).
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Annualized Expense Ratio-A | Beginning Account Value December 1, 2021 | Ending Account Value May 31, 2022 | Expenses Paid During Period-B December 1, 2021 to May 31, 2022 | |
Strategic Advisers Large Cap Fund | .18% | |||
Actual | $1,000.00 | $908.50 | $.86 | |
Hypothetical-C | $1,000.00 | $1,024.03 | $.91 |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/ 365 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.
C 5% return per year before expenses
Distributions (Unaudited)
The dividend and capital gains distributions for the fund(s) are available on Fidelity.com or Institutional.Fidelity.com.
The fund hereby designates as a capital gain dividend with respect to the taxable year ended May 31, 2022, $3,758,017,478, or, if subsequently determined to be different, the net capital gain of such year.
The fund designates 32% and 51% of the dividends distributed in July and December, respectively during the fiscal year as qualifying for the dividends–received deduction for corporate shareholders.
The fund designates 36% and 55% of the dividends distributed in July and December, respectively during the fiscal year as amounts which may be taken into account as a dividend for the purposes of the maximum rate under section 1(h)(11) of the Internal Revenue Code.
The fund designates 3% and 2% of the dividends distributed in July and December, respectively during the fiscal year as a section 199A dividend.
The fund will notify shareholders in January 2023 of amounts for use in preparing 2022 income tax returns.
Liquidity Risk Management Program
The Securities and Exchange Commission adopted Rule 22e-4 under the Investment Company Act of 1940 (the Liquidity Rule) to promote effective liquidity risk management throughout the open-end investment company industry, thereby reducing the risk that funds will be unable to meet their redemption obligations and mitigating dilution of the interests of fund shareholders.
The Fund has adopted and implemented a liquidity risk management program (the Program) reasonably designed to assess and manage the Fund’s liquidity risk and to comply with the requirements of the Liquidity Rule. The Fund’s Board of Trustees (the Board) has designated the Fund’s investment adviser as administrator of the Program. Strategic Advisers has established a Liquidity Risk Management Committee (the LRM Committee) to manage the Program for each of the Funds. The LRM Committee monitors the adequacy and effectiveness of implementation of the Program and on a periodic basis assesses each Fund’s liquidity risk based on a variety of factors including (1) the Fund’s investment strategy, (2) portfolio liquidity and cash flow projections during normal and reasonably foreseeable stressed conditions, (3) shareholder redemptions and (4) borrowings and other funding sources, as applicable.
In accordance with the Program, each of the Fund’s portfolio investments is classified into one of four liquidity categories described below based on a determination of a reasonable expectation for how long it would take to convert the investment to cash (or sell or dispose of the investment) without significantly changing its market value.
- Highly liquid investments – cash or convertible to cash within three business days or less
- Moderately liquid investments – convertible to cash in three to seven calendar days
- Less liquid investments – can be sold or disposed of, but not settled, within seven calendar days
- Illiquid investments – cannot be sold or disposed of within seven calendar days
Liquidity classification determinations take into account a variety of factors including various market, trading and investment-specific considerations, as well as market depth, and generally utilize analysis from a third-party liquidity metrics service.
The Liquidity Rule places a 15% limit on a fund’s illiquid investments and requires funds that do not primarily hold assets that are highly liquid investments to determine and maintain a minimum percentage of the fund’s net assets to be invested in highly liquid investments (highly liquid investment minimum or HLIM). The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments and for determining, periodically reviewing and complying with the HLIM requirement as applicable.
At a recent meeting of the Fund’s Board of Trustees, the LRM Committee provided a written report to the Board pertaining to the operation, adequacy, and effectiveness of implementation of the Program for the annual period from December 1, 2020 through November 30, 2021. The report concluded that the Program has been implemented and is operating effectively and is reasonably designed to assess and manage the Fund’s liquidity risk.
LGC-ANN-0722
1.9899746.101
Strategic Advisers® Municipal Bond Fund
Offered exclusively to certain managed account clients of Strategic Advisers LLC or its affiliates - not available for sale to the general public
May 31, 2022
Contents
To view a fund's proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
You may also call 1-800-544-3455 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2022 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
Note to Shareholders:
Early in 2020, the outbreak and spread of COVID-19 emerged as a public health emergency that had a major influence on financial markets, primarily based on its impact on the global economy and corporate earnings. On March 11, 2020, the World Health Organization declared the COVID-19 outbreak a pandemic, citing sustained risk of further global spread. The pandemic prompted a number of measures to limit the spread of COVID-19, including travel and border restrictions, quarantines, and restrictions on large gatherings. In turn, these resulted in lower consumer activity, diminished demand for a wide range of products and services, disruption in manufacturing and supply chains, and – given the wide variability in outcomes regarding the outbreak – significant market uncertainty and volatility. To help stem the turmoil, the U.S. government took unprecedented action – in concert with the U.S. Federal Reserve and central banks around the world – to help support consumers, businesses, and the broader economy, and to limit disruption to the financial system.
In general, the overall impact of the pandemic lessened in 2021, amid a resilient economy and widespread distribution of three COVID-19 vaccines granted emergency use authorization from the U.S. Food and Drug Administration (FDA) early in the year. Still, the situation remains dynamic, and the extent and duration of its influence on financial markets and the economy is highly uncertain, due in part to a recent spike in cases based on highly contagious variants of the coronavirus.
Extreme events such as the COVID-19 crisis are exogenous shocks that can have significant adverse effects on mutual funds and their investments. Although multiple asset classes may be affected by market disruption, the duration and impact may not be the same for all types of assets. Fidelity is committed to helping you stay informed amid news about COVID-19 and during increased market volatility, and we continue to take extra steps to be responsive to customer needs. We encourage you to visit us online, where we offer ongoing updates, commentary, and analysis on the markets and our funds.
Performance: The Bottom Line
Average annual total return reflects the change in the value of an investment, assuming reinvestment of distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year. The hypothetical investment and the average annual total returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund’s total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.
Average annual total returns for Strategic Advisers® Municipal Bond Fund will be reported once the fund is a year old.
$10,000 Over Life of Fund
Let's say hypothetically that $10,000 was invested in Strategic Advisers® Municipal Bond Fund on June 17, 2021, when the fund started.
The chart shows how the value of your investment would have changed, and also shows how the Bloomberg Municipal Bond Index performed over the same period.
Period Ending Values | ||
$9,208 | Strategic Advisers® Municipal Bond Fund | |
$9,288 | Bloomberg Municipal Bond Index |
Effective August 24, 2021, all Bloomberg Barclays Indices were re-branded as Bloomberg Indices.
Management's Discussion of Fund Performance
Market Recap: Tax-exempt municipal bonds posted a notable loss for the 12 months ending May 31, 2022, as rising interest rates, failure to pass the income-tax increases included in the Build Back Better legislation, and perceived richness of municipals relative to U.S. Treasuries caused shareholder flows to turn negative in 2022. The Bloomberg Municipal Bond Index returned -6.79% for the 12-month period. From mid-to-late 2021, the municipal market benefited from an improved fiscal outlook, bolstered by better-than-expected tax revenue, as well as by substantial federal aid from the American Rescue Plan Act legislation. Investor demand was strong amid expectations for higher tax rates on upper-income tax brackets. Then, from January through March, municipals suffered their worst quarter in roughly four decades, returning -6.23% as rapidly rising inflation, the lack of tax increases, and uncertainty regarding the pace of U.S. Federal Reserve interest rate hikes led to market volatility and investor outflows. As anticipated, the Fed raised its target policy rate by 25 basis points (0.25%) in mid-March. Municipals continued to struggle in April, before staging a partial rebound in May. Expectations for additional rate hikes became more tempered in response to recessionary signals, and some investors returned to the municipal market for compelling tax-free yields relative to comparable U.S. Treasuries. Municipal credit fundamentals remained solid for the 12-month period overall and, for most issuers, the risk of credit-rating downgrades appeared low.Comments from Lead Portfolio Manager Chris Heavey: From its inception on June 21, 2021, to May 31, 2022, the Fund returned -7.92%, trailing the -7.08% result of the benchmark Bloomberg Municipal Bond Index. Municipal bonds fared well during the early months of the reporting period, supported by reduced issuance during the summer of 2021, increased redemptions and strong mutual fund inflows. After a relatively quiet period during the fourth quarter of 2021, the market environment changed dramatically as 2022 began. In anticipation of U.S. Federal Reserve policy changes, municipal yields surged across the curve, and the yield curve flattened materially. Bond issuance by state and local governments dropped and investors pulled money from municipal-bond funds. Within the Fund, Fidelity® SAI Municipal Income Fund (-8%) and Vanguard Long-Term Tax-Exempt Fund (-8%) were the primary relative detractors. Both were hurt by having greater interest-rate sensitivity than the benchmark. Holdings of BBB-rated securities across several industries also worked against Fidelity® SAI Municipal Income, while exposure to the underperforming hospitals group pressured Vanguard’s result. On the plus side, the Fund’s cash allocation provided a valuable cushion against the negative market backdrop in early 2022. Additionally, the U.S. Municipal High Yield Bond strategy from sub-adviser T. Rowe Price (-7%) slightly contributed on a relative basis, benefiting from having a shorter duration than its high-yield benchmark. As of May 31, about 26% of the Fund’s assets were committed to sub-advisers.The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
Investment Summary (Unaudited)
The information in the following tables is based on the direct investments of the Fund.Top Ten Holdings as of May 31, 2022
(excluding cash equivalents) | % of fund's net assets |
Fidelity SAI Municipal Income Fund | 14.0 |
MFS Municipal Income Fund Class A | 10.6 |
Western Asset Managed Municipals Fund Class A | 9.6 |
Vanguard Long-Term Tax-Exempt Fund Admiral Shares | 7.0 |
Wells Fargo Municipal Bond Fund - Class Admin | 6.0 |
BlackRock National Municipal Fund Investor A Shares | 5.5 |
Franklin Federal Tax-Free Income Fund - Class R6 | 4.5 |
MainStay MacKay Tax Free Bond Fund Class A | 3.5 |
Fidelity Tax-Free Bond Fund | 1.7 |
DWS Managed Municipal Bond Fund - Class S | 1.6 |
Top Five Sectors as of May 31, 2022
% of fund's net assets | |
Transportation | 6.8 |
Health Care | 4.0 |
General Obligations | 3.9 |
Special Tax | 3.9 |
Electric Utilities | 1.5 |
Asset Allocation (% of fund's net assets)
As of May 31, 2022 | ||
Municipal Bond Funds | 69.5% | |
Municipal Bonds | 25.7% | |
Short-Term Investments and Net Other Assets (Liabilities) | 4.8% |
Asset allocations of funds in the pie chart reflect the categorizations of assets as defined by Morningstar as of the reporting date.
Schedule of Investments May 31, 2022
Showing Percentage of Net Assets
Municipal Bonds - 26.9% | |||
Principal Amount | Value | ||
Alabama - 0.4% | |||
Auburn Univ. Gen. Fee Rev. Series 2018 A, 5% 6/1/33 | 400,000 | 449,190 | |
Birmingham Wtrwks. Board Series 2016 B, 5% 1/1/32 (Pre-Refunded to 1/1/27 @ 100) | 800,000 | 900,617 | |
Black Belt Energy Gas District Bonds: | |||
(Proj. No. 5) Series A, 4%, tender 10/1/26 (a) | $1,830,000 | $1,885,840 | |
(Proj. No.7): | |||
Series 2021 C1, 4%, tender 12/1/26 (a) | 1,750,000 | 1,809,931 | |
Series 2021 C2, SIFMA Municipal Swap Index + 0.350% 1.14%, tender 12/1/26 (a)(b) | 5,000,000 | 4,881,173 | |
Series 2021 B, 4%, tender 12/1/26 (a) | 1,250,000 | 1,292,808 | |
Series 2022 B1, 4%, tender 10/1/27 (a) | 675,000 | 696,339 | |
Hoover Indl. Dev. Board Envir. Impt. Rev.: | |||
(United States Steel Corp. Proj.) Series 2019, 5.75% 10/1/49 (c) | 1,175,000 | 1,271,880 | |
Bonds (United States Steel Corp. Proj.) Series 2020, 6.375%, tender 11/1/30 (a)(c) | 195,000 | 224,643 | |
Huntsville Health Care Auth. Series 2020 B, 3% 6/1/50 (Assured Guaranty Muni. Corp. Insured) | 985,000 | 795,590 | |
Huntsville Redstone Village Spl. Care Facilities Finanacing Auth.: | |||
Series 2007: | |||
5.5% 1/1/28 (d) | 520,000 | 338,579 | |
5.5% 1/1/43 (d) | 405,000 | 231,662 | |
Series 2008 A, 6.875% 1/1/43 | 280,000 | 163,346 | |
Series 2011 A, 7.5% 1/1/47 | 500,000 | 292,598 | |
Jefferson County Swr. Rev.: | |||
Series 2013 A: | |||
5.25% 10/1/48 (Assured Guaranty Muni. Corp. Insured) | 2,040,000 | 2,153,040 | |
5.5% 10/1/53 (Assured Guaranty Muni. Corp. Insured) | 3,480,000 | 3,681,727 | |
Series 2013 D, 6% 10/1/42 | 750,000 | 820,619 | |
Lower Alabama Gas District: | |||
(Gas Proj.) Series 2016 A, 5% 9/1/34 | 1,060,000 | 1,164,328 | |
Series 2016 A, 5% 9/1/46 | 1,760,000 | 1,992,821 | |
Montgomery Edl. Bldg. Auth. Series 2016 A, 5% 10/1/43 | 250,000 | 254,199 | |
Prichard Wtrwks. & Swr. Board Series 2019, 4% 11/1/49 | 200,000 | 155,230 | |
Southeast Alabama Gas Supply District Bonds (Proj. No. 2) Series 2018 A, 4%, tender 6/1/24 (a) | 2,750,000 | 2,802,482 | |
Southeast Energy Auth. Rev. Bonds Bonds: | |||
(Proj. No. 1) Series 2021 A, 4%, tender 10/1/28 (a) | 670,000 | 689,085 | |
(Proj. No. 2) Series 2021 B1, 4%, tender 12/1/31 (a) | 3,680,000 | 3,766,587 | |
Tuscaloosa County Indl. Dev. Gulf Opportunity (Hunt Refining Proj.) Series 2019 A: | |||
4.5% 5/1/32 (e) | 683,600 | 692,887 | |
5.25% 5/1/44 (e) | 7,190,000 | 7,281,082 | |
TOTAL ALABAMA | 40,688,283 | ||
Alaska - 0.0% | |||
Alaska Indl. Dev. & Export Auth. Rev.: | |||
(Greater Fairbanks Cmnty. Hosp. Foundation Proj.) Series 2014, 5% 4/1/32 | 250,000 | 253,736 | |
(Tanana Chiefs Conference Proj.) Series 2019 A: | |||
4% 10/1/44 | 250,000 | 250,984 | |
4% 10/1/49 | 250,000 | 245,166 | |
TOTAL ALASKA | 749,886 | ||
Arizona - 0.3% | |||
Arizona Health Facilities Auth. Rev. (Banner Health Sys. Proj.) Series 2007 B, 3 month U.S. LIBOR + 0.810% 1.458%, tender 1/1/37 (a)(b) | 605,000 | 573,393 | |
Arizona Indl. Dev. Auth. Econ. Dev. Rev. (Legacy Cares, Inc. Proj.) Series 2020 A, 7.75% 7/1/50 (e) | 1,980,000 | 2,258,116 | |
Arizona Indl. Dev. Auth. Ed. Rev.: | |||
(American Charter Schools Foundation Proj.) Series 2017, 6% 7/1/47 (e) | 250,000 | 266,078 | |
(Cadence Campus Proj.) Series 2020 A: | |||
4% 7/15/40 (e) | 130,000 | 119,245 | |
4% 7/15/50 (e) | 225,000 | 194,474 | |
(Doral Academy of Nevada, Fire Mesa and Red Rock Campus Projs.) Series 2019 A: | |||
5% 7/15/39 (e) | 185,000 | 188,585 | |
5% 7/15/49 (e) | 165,000 | 166,548 | |
(Great Hearts Arizona Projs.) Series 2021 A: | |||
2.25% 7/1/46 | 205,000 | 146,028 | |
2.375% 7/1/52 | 205,000 | 140,977 | |
(Greathearts Arizona Projs.) Series 2021 A: | |||
3% 7/1/46 | 250,000 | 211,206 | |
3% 7/1/52 | 250,000 | 200,974 | |
(KIPP NYC Pub. Charter Schools - Macombs Facility Proj.) Series 2021 A, 4% 7/1/61 | 250,000 | 213,423 | |
(Leman Academy of Excellence Projs.) Series 2022 A, 4.5% 7/1/54 | 690,000 | 657,702 | |
(Odyssey Preparatory Academy Proj.): | |||
Series 2017 A: | |||
5.25% 7/1/37 (e) | 420,000 | 431,652 | |
5.5% 7/1/52 (e) | 475,000 | 487,660 | |
Series 2019, 5% 7/1/49 (e) | 610,000 | 612,145 | |
Arizona Indl. Dev. Auth. Rev. (Lincoln South Beltway Proj.) Series 2020, 5% 2/1/30 | 40,000 | 46,266 | |
Arizona Indl. Dev. Auth. Sr. Living: | |||
(Great Lakes Sr. Living Cmntys. LLC Proj.) Series 2021, 7.75% 1/1/54 (e) | 100,000 | 66,411 | |
Series 2019 B, 5% 1/1/49 | 100,000 | 66,359 | |
Arizona Indl. Dev. Auth. Sr. Nat'l. Charter School Revolving Ln. Fund: | |||
Series 2020 A, 4% 11/1/50 | 250,000 | 240,484 | |
Series 2021 A, 4% 11/1/51 | 300,000 | 287,765 | |
Arizona Indl. Dev. Auth. Student Hsg. Rev. (North Carolina Central Univ. Proj.) Series 2019 A, 5% 6/1/58 | 250,000 | 273,310 | |
Arizona State Univ. Revs. Series 2020 A, 5% 7/1/43 | 750,000 | 847,660 | |
Bullhead City Excise Taxes Series 2021, 2.55% 7/1/46 | 615,000 | 475,533 | |
Glendale Indl. dev auth Sr Living Facilities Rev. (Royal Oaks Inspirata Pointe Proj.) Series 2020 A, 5% 5/15/56 | 845,000 | 848,918 | |
Goodyear Wtr. & Swr. Rev. Series 2020, 4% 7/1/45 (Assured Guaranty Muni. Corp. Insured) | 550,000 | 566,587 | |
Maricopa County Indl. Dev. Auth. (Choice Academies, Inc. Proj.) Series 2022, 5.75% 9/1/45 (f) | 1,245,000 | 1,266,219 | |
Maricopa County Indl. Dev. Auth. Rev. (Commercial Metals Co. Proj.) Series 2022, 4% 10/15/47 (c)(e) | 1,120,000 | 1,026,227 | |
Maricopa County Indl. Dev. Auth. Sr. Living Facilities Series 2016, 6% 1/1/48 (e) | 280,000 | 218,889 | |
Maricopa County Mesa Unified School District # 4 Series 2022 E: | |||
5% 7/1/24 | 250,000 | 265,537 | |
5% 7/1/26 | 250,000 | 278,179 | |
5% 7/1/28 | 250,000 | 288,079 | |
5% 7/1/30 | 250,000 | 294,970 | |
Maricopa County Poll. Cont. Rev.: | |||
(El Paso Elec. Co. Palo Verde Proj.) Series 2009 A, 3.6% 2/1/40 | 400,000 | 376,920 | |
(Palo Verde Proj.) Series 2009 B, 3.6% 4/1/40 | 250,000 | 235,482 | |
Series 2012 A, 4.5% 8/1/42 | 455,000 | 455,394 | |
Maricopa County Rev. Series 2019 E, 4% 1/1/45 | 800,000 | 803,561 | |
Peoria Indl. Dev. Auth. Rev. (Sierra Winds Life Care Cmnty. Proj.) Series 2014 A: | |||
5.5% 11/15/34 | 520,000 | 469,466 | |
5.75% 11/15/40 | 845,000 | 745,211 | |
Phoenix Civic Impt. Board Arpt. Rev.: | |||
Series 2017 A, 5% 7/1/47 (c) | 885,000 | 938,061 | |
Series 2018: | |||
5% 7/1/37 (c) | 740,000 | 802,080 | |
5% 7/1/38 (c) | 740,000 | 801,024 | |
Series 2019 B, 5% 7/1/44 (c) | 425,000 | 459,761 | |
Phoenix Civic Impt. Corp. District Rev. Series 2005 B: | |||
5.5% 7/1/29 | 1,165,000 | 1,374,856 | |
5.5% 7/1/30 | 1,070,000 | 1,277,187 | |
5.5% 7/1/33 | 175,000 | 215,544 | |
Phoenix Civic Impt. Corp. Wtr. Sys. Rev.: | |||
Series 2020 A, 5% 7/1/44 | 1,185,000 | 1,359,691 | |
Series 2021 A: | |||
4% 7/1/40 | 405,000 | 424,467 | |
4% 7/1/41 | 775,000 | 810,976 | |
4% 7/1/42 | 450,000 | 468,126 | |
5% 7/1/45 | 1,105,000 | 1,282,861 | |
Phoenix Gen. Oblig. Series 2016, 5% 7/1/26 | 310,000 | 344,557 | |
Phoenix IDA Student Hsg. Rev.: | |||
(Downtown Phoenix Student Hsg. II LLC Arizona State Univ. Proj.) Series 2019 A: | |||
5% 7/1/44 | 140,000 | 144,114 | |
5% 7/1/49 | 85,000 | 87,135 | |
5% 7/1/54 | 390,000 | 398,612 | |
5% 7/1/59 | 300,000 | 305,718 | |
Series 2018 A, (Downtown Phoenix Student Hsg., LLC AZ State Univ. Proj.) 5% 7/1/42 | 960,000 | 992,992 | |
Phoenix Indl. Dev. Auth. Rev. (Basis Schools Projs.) Series 2016 A, 5% 7/1/46 (e) | 250,000 | 252,904 | |
Pima County Indl. Dev. Auth. Ed. Rev.: | |||
(American Leadership Academy Proj.) Series 2022: | |||
4% 6/15/41 (e) | 490,000 | 444,967 | |
4% 6/15/51 (e) | 505,000 | 432,335 | |
4% 6/15/57 (e) | 890,000 | 738,911 | |
Series 2015, 5.625% 6/15/45 (e) | 250,000 | 257,750 | |
Pinal County Indl. Dev. Auth. Series 2021 B, 5.5% 10/1/33 (c)(e) | 400,000 | 372,176 | |
Saddle Mountain Unified School District No. 90 Series 2020, 4% 7/1/35 (Assured Guaranty Muni. Corp. Insured) | 800,000 | 852,096 | |
Salt River Proj. Agricultural Impt. & Pwr. District Elec. Sys. Rev. Series 2017 A, 5% 1/1/30 | 1,420,000 | 1,613,928 | |
Salt Verde Finl. Corp. Sr. Gas Rev.: | |||
Series 2007 1, 5% 12/1/32 | 500,000 | 558,201 | |
Series 2007, 5% 12/1/37 | 410,000 | 462,707 | |
Tempe Indl. Dev. Auth. Rev.: | |||
(Friendship Village of Tempe Proj.): | |||
Series 2019: | |||
5% 12/1/50 | 325,000 | 308,460 | |
5% 12/1/54 | 365,000 | 343,279 | |
Series 2021 A, 4% 12/1/46 | 350,000 | 281,825 | |
(Friendship Village of Temple Proj.) Series 2021 A, 4% 12/1/38 | 210,000 | 182,105 | |
(Mirabella At ASU, Inc. Proj.) Series 2017 A, 6.125% 10/1/52 (e) | 435,000 | 429,932 | |
Town of Carefree Utils. Cmnty. Facilities District Wtr. Sys. Rev. Series 2021: | |||
4% 7/1/41 | 160,000 | 164,276 | |
4% 7/1/46 | 160,000 | 161,322 | |
TOTAL ARIZONA | 37,656,569 | ||
Arkansas - 0.1% | |||
Arkansas Dev. Auth. Indl. Dev. Rev. (Big River Steel Proj.): | |||
Series 2019, 4.5% 9/1/49 (c)(e) | 2,350,000 | 2,362,913 | |
Series 2020 A, 4.75% 9/1/49 (c)(e) | 1,805,000 | 1,846,931 | |
Arkansas Dev. Fin. Auth. Health Care Rev. Series 2019, 5% 12/1/47 | 1,475,000 | 1,564,417 | |
Arkansas Dev. Fin. Auth. Hosp. Rev.: | |||
Series 2015 A, 5% 2/1/35 | 130,000 | 134,528 | |
Series 2015 B: | |||
5% 2/1/23 | 180,000 | 183,852 | |
5% 2/1/24 | 235,000 | 245,929 | |
Series 2015 C, 5% 2/1/35 | 170,000 | 175,921 | |
Series 2019, 4% 2/1/42 | 250,000 | 249,700 | |
Little Rock School District Series 2021 A: | |||
3% 2/1/46 | 2,750,000 | 2,401,004 | |
3% 2/1/48 | 800,000 | 691,120 | |
3% 2/1/50 | 980,000 | 832,670 | |
3% 2/1/51 | 1,300,000 | 1,096,542 | |
Springdale Pub. Facilities Board Hosp. Rev. (Arkansas Children's Northwest Proj.) Series 2016, 5% 3/1/34 | 250,000 | 264,731 | |
TOTAL ARKANSAS | 12,050,258 | ||
California - 3.0% | |||
ABAG Fin. Auth. for Nonprofit Corporations Rev. Series 2014 A, 5% 8/1/43 | 1,920,000 | 1,967,679 | |
Alta Loma School District: | |||
Series 2019 B, 5% 8/1/44 | 500,000 | 546,564 | |
Series 2020 C, 4% 8/1/45 | 500,000 | 513,492 | |
Antelope Valley Cmnty. College District Series 2017 A, 4.5% 8/1/38 (Pre-Refunded to 2/15/27 @ 100) | 1,175,000 | 1,299,492 | |
Bay Area Toll Auth. San Francisco Bay Toll Bridge Rev.: | |||
Bonds Series 2021 B, 0.280% x SIFMA Municipal Swap Index 1.07%, tender 4/1/24 (a)(b) | 885,000 | 877,466 | |
Series 2019 SH, 5% 4/1/44 (Pre-Refunded to 4/1/29 @ 100) | 250,000 | 292,059 | |
Calexico Unified School District Series 2022, 3% 8/1/52 | 575,000 | 475,846 | |
California Cmnty. Choice Fing. Auth. Clean Energy Proj. Rev. Bonds: | |||
Series 2021 A, 4%, tender 12/1/27 (a) | 4,260,000 | 4,398,670 | |
Series 2021 B1, 4%, tender 8/1/31 (a) | 500,000 | 517,579 | |
California Cmnty. Hsg. Agcy. Essential Hsg. Rev.: | |||
Series 2020 A: | |||
5% 2/1/50 (e) | 1,875,000 | 1,841,776 | |
5% 8/1/50 (e) | 250,000 | 244,440 | |
Series 2021 A: | |||
4% 2/1/56 (e) | 295,000 | 252,716 | |
4% 2/1/56 (e) | 4,215,000 | 3,641,994 | |
Series 2021 A1, 4% 2/1/56 (e) | 500,000 | 467,520 | |
Series 2021 A2, 4% 2/1/50 (e) | 2,665,000 | 2,132,139 | |
California Cmnty. Hsg. Agcy. Workf Series 2019 A, 5% 4/1/49 (e) | 300,000 | 289,249 | |
California Edl. Facilities Auth. Rev.: | |||
Series 2017 A, 5% 4/1/47 | 240,000 | 258,690 | |
Series 2021 V2, 2.25% 4/1/51 | 295,000 | 214,944 | |
Series T1, 5% 3/15/39 | 1,890,000 | 2,351,989 | |
Series V1, 5% 5/1/49 | 1,955,000 | 2,524,782 | |
California Gen. Oblig.: | |||
Series 2013: | |||
5% 9/1/31 | 1,775,000 | 1,845,580 | |
5% 4/1/37 | 605,000 | 620,430 | |
Series 2014, 5% 10/1/39 | 1,045,000 | 1,107,770 | |
Series 2015, 5% 3/1/30 | 605,000 | 648,017 | |
Series 2016, 5% 8/1/27 | 305,000 | 339,038 | |
Series 2018: | |||
5% 8/1/30 | 1,300,000 | 1,487,792 | |
5% 10/1/47 | 265,000 | 284,190 | |
5.25% 10/1/39 | 750,000 | 825,786 | |
Series 2019: | |||
3% 10/1/36 | 2,860,000 | 2,776,966 | |
4% 10/1/36 | 1,300,000 | 1,382,743 | |
4% 10/1/37 | 430,000 | 456,992 | |
5% 4/1/32 | 340,000 | 410,931 | |
Series 2020: | |||
4% 3/1/36 | 2,100,000 | 2,242,008 | |
4% 3/1/37 | 1,925,000 | 2,051,933 | |
4% 11/1/37 | 3,390,000 | 3,630,504 | |
4% 3/1/38 | 900,000 | 957,743 | |
4% 3/1/46 | 1,925,000 | 2,000,243 | |
Series 2021: | |||
4% 10/1/41 | 1,665,000 | 1,775,790 | |
5% 9/1/32 | 295,000 | 353,205 | |
5% 12/1/35 | 885,000 | 1,037,168 | |
5% 12/1/36 | 1,325,000 | 1,550,834 | |
5% 9/1/41 | 4,095,000 | 4,783,906 | |
Series 2022: | |||
5% 4/1/30 | 500,000 | 590,752 | |
5% 4/1/31 | 800,000 | 957,893 | |
5% 4/1/35 | 2,000,000 | 2,393,198 | |
5% 4/1/35 | 635,000 | 719,117 | |
5% 4/1/42 | 2,770,000 | 3,254,367 | |
5% 4/1/42 | 800,000 | 880,791 | |
5% 4/1/47 | 1,200,000 | 1,391,423 | |
California Health Facilities Fing. Auth. Rev.: | |||
Bonds Series 2017 A, 5%, tender 11/1/22 (a) | 555,000 | 562,733 | |
Series 2012 A, 5% 10/1/33 | 810,000 | 817,680 | |
Series 2015: | |||
5% 11/15/28 | 250,000 | 271,011 | |
5% 11/15/32 | 55,000 | 59,042 | |
5% 11/15/33 | 480,000 | 513,947 | |
Series 2016 A, 5% 11/15/41 (Pre-Refunded to 11/15/25 @ 100) | 1,000,000 | 1,099,802 | |
Series 2017 A2, 5% 11/1/47 | 2,320,000 | 2,803,543 | |
Series 2018 A: | |||
5% 11/15/35 | 440,000 | 476,145 | |
5% 11/15/38 | 240,000 | 257,937 | |
Series 2019: | |||
4% 11/15/45 | 500,000 | 501,119 | |
5% 11/15/49 | 1,310,000 | 1,357,069 | |
Series 2020 A: | |||
4% 4/1/37 | 1,505,000 | 1,514,216 | |
4% 4/1/38 | 355,000 | 356,577 | |
4% 4/1/45 | 950,000 | 938,073 | |
4% 4/1/49 | 1,800,000 | 1,756,966 | |
Series 2021 A: | |||
3% 8/15/51 | 500,000 | 446,658 | |
4% 8/15/48 | 7,700,000 | 7,893,105 | |
5% 8/15/51 | 4,830,000 | 5,422,314 | |
Series 2022 A: | |||
4% 5/15/46 | 2,950,000 | 2,964,224 | |
4% 5/15/51 | 2,000,000 | 2,000,968 | |
California Hsg. Fin. Agcy. Series 2019 A, 4.25% 1/15/35 | 716,162 | 724,745 | |
California Infrastructure & Econ. Dev. Series 2019: | |||
5% 8/1/44 | 3,085,000 | 3,364,206 | |
5% 8/1/49 | 960,000 | 1,042,375 | |
California Infrastructure and Econ. Dev. Bank Rev.: | |||
Bonds (Brightline West Passenger Rail Proj.) Series 2020 A, 0.85%, tender 1/26/23 (a)(c)(e) | 2,300,000 | 2,279,878 | |
Series 2021 A, 5% 6/1/26 | 450,000 | 498,013 | |
California Muni. Fin. Auth. (United Airlines, Inc. Los Angeles Int'l. Arpt. proj.) Series 2019, 4% 7/15/29 (c) | 500,000 | 489,022 | |
California Muni. Fin. Auth. Mobile Home Park Sr. Rev.: | |||
(Caritas Affordable Hsg., Inc. Proj.) Series 2014 A, 5.25% 8/15/39 | 205,000 | 211,045 | |
(Caritas Affordable Hsg., Inc. Projs.) Series 2014 A, 5.25% 8/15/49 | 570,000 | 584,020 | |
California Muni. Fin. Auth. Rev.: | |||
(LINXS APM Proj.) Series 2018 A: | |||
5% 12/31/36 (c) | 960,000 | 1,011,326 | |
5% 12/31/43 (c) | 6,920,000 | 7,228,735 | |
5% 12/31/47 (c) | 2,840,000 | 2,952,296 | |
Series 2015, 5.5% 11/1/45 (e) | 250,000 | 264,217 | |
Series 2016 A, 5% 11/1/46 (e) | 250,000 | 260,735 | |
Series 2017 A: | |||
5% 2/1/42 | 625,000 | 661,444 | |
5% 11/1/47 | 250,000 | 257,930 | |
Series 2021 A: | |||
4% 2/1/41 | 500,000 | 507,956 | |
4% 2/1/51 | 640,000 | 632,021 | |
California Muni. Fin. Auth. Solid Waste Disp. Rev. Bonds: | |||
(Republic Svcs., Inc. Proj.) Series 2021 B, 0.375%, tender 7/15/22 (a)(c) | 1,175,000 | 1,172,593 | |
(Waste Mgmt., Inc. Proj.) Series 2020, 1%, tender 6/1/22 (a)(c) | 1,175,000 | 1,175,000 | |
California Muni. Fin. Auth. Student Hsg.: | |||
(CHF Davis II, LLC - Orchard Park Student Hsg. Proj.) Series 2021, 3% 5/15/54 (Build America Mutual Assurance Insured) | 250,000 | 184,491 | |
(CHF-Davis I, LLC - West Village Student Hsg. Proj.) Series 2018: | |||
5% 5/15/36 | 215,000 | 224,691 | |
5% 5/15/48 | 500,000 | 513,855 | |
5% 5/15/51 | 500,000 | 513,010 | |
(CHF-Riverside II, LLC-UCR North District Phase I Student Hsg. Proj.) Series 2019: | |||
5% 5/15/49 | 420,000 | 432,894 | |
5% 5/15/52 | 350,000 | 360,076 | |
Series 2018: | |||
5% 5/15/36 | 750,000 | 798,074 | |
5% 5/15/39 | 1,100,000 | 1,164,678 | |
5% 5/15/43 | 1,100,000 | 1,158,095 | |
California Pub. Fin. Auth.: | |||
(Enso Village Proj.) Series 2021 B1, 3.125% 5/15/29 (e) | 230,000 | 216,283 | |
(Enso Villiage Proj.) Series 2021 B2, 2.375% 11/15/28 (e) | 210,000 | 197,971 | |
Series 2021 A, 5% 11/15/46 (e) | 105,000 | 105,154 | |
Series 2021 B3, 2.125% 11/15/27 (e) | 370,000 | 351,669 | |
California Pub. Fin. Auth. Rev. Series 2022 A, 4% 7/15/51 | 1,000,000 | 1,000,472 | |
California Pub. Works Board Lease Rev.: | |||
(Various Cap. Projs.) Series 2021 B: | |||
4% 5/1/38 | 295,000 | 312,868 | |
4% 5/1/46 | 750,000 | 774,375 | |
Series 2013 A, 5% 3/1/38 | 665,000 | 679,242 | |
Series 2014 B, 5% 10/1/34 | 1,505,000 | 1,594,345 | |
California School Facilities Fing. Auth. Series 2009 A, 0% 8/1/49 (Assured Guaranty Muni. Corp. Insured) | 500,000 | 126,217 | |
California School Fin. Auth. Charter School Rev.: | |||
Series 2016: | |||
5% 8/1/41 (e) | 470,000 | 486,408 | |
5% 8/1/41 (Pre-Refunded to 8/1/25 @ 100) (e) | 50,000 | 54,447 | |
Series 2021 A: | |||
4% 6/1/51 (e) | 500,000 | 411,952 | |
4% 6/1/61 (e) | 250,000 | 197,335 | |
4% 6/1/61 (e) | 250,000 | 201,860 | |
Series 2022 A, 5% 7/1/52 (f) | 2,045,000 | 2,049,765 | |
Series 2022 B, 5% 7/1/42 (f) | 2,125,000 | 2,149,978 | |
California School Fin. Auth. College (NCCD-Santa Rosa Properties LLC, Sonoma County Jr. College District Proj.) Series 2021 A, 2.75% 11/1/60 | 300,000 | 182,774 | |
California State Univ. Rev. Series 2019 A, 5% 11/1/44 | 2,600,000 | 2,927,292 | |
California Statewide Cmntys. Dev. Auth. Series 2017, 5% 5/15/47 | 1,180,000 | 1,236,300 | |
California Statewide Cmntys. Dev. Auth. Hosp. Rev. Series 2018, 5% 1/1/43 | 250,000 | 264,809 | |
California Statewide Cmntys. Dev. Auth. Rev.: | |||
(899 Charleston Proj.) Series 2014 A, 5.375% 11/1/49 (e) | 490,000 | 481,355 | |
(The Terraces at San Joaquin Gardens Proj.) Series 2012 A, 6% 10/1/42 (Pre-Refunded to 10/1/22 @ 100) | 740,000 | 751,405 | |
Series 2014 A, 5.5% 12/1/54 | 2,920,000 | 3,003,749 | |
Series 2014 B, 5% 7/1/28 (Pre-Refunded to 7/1/24 @ 100) | 860,000 | 914,899 | |
Series 2014, 6.375% 11/1/43 | 300,000 | 311,997 | |
Series 2016 A: | |||
5% 12/1/27 (e) | 420,000 | 436,967 | |
5% 12/1/46 (e) | 865,000 | 875,274 | |
5.25% 12/1/56 (e) | 2,245,000 | 2,285,693 | |
Series 2018 A: | |||
5.25% 12/1/48 (e) | 250,000 | 255,858 | |
5.5% 12/1/58 (e) | 3,895,000 | 4,026,044 | |
Series 2019 B: | |||
4% 9/2/29 | 450,000 | 458,198 | |
5% 9/2/34 | 150,000 | 161,733 | |
5% 9/2/39 | 140,000 | 150,018 | |
5% 9/2/44 | 145,000 | 153,880 | |
5% 9/2/49 | 70,000 | 73,875 | |
Series 2021 A: | |||
4% 9/2/28 | 35,000 | 35,360 | |
4% 9/2/29 | 40,000 | 40,198 | |
4% 9/2/30 | 45,000 | 44,985 | |
4% 9/2/31 | 35,000 | 34,856 | |
4% 9/2/41 | 230,000 | 221,273 | |
4% 9/2/51 | 140,000 | 127,452 | |
Series 2021 B: | |||
4% 9/2/41 | 640,000 | 614,903 | |
4% 9/2/51 | 755,000 | 698,072 | |
Series 2021 C1: | |||
4% 9/2/31 | 90,000 | 89,492 | |
4% 9/2/41 | 465,000 | 447,356 | |
4% 9/2/51 | 110,000 | 100,865 | |
Series 2022 A1, 5% 9/2/52 | 1,525,000 | 1,563,418 | |
California Statewide Fing. Auth.: | |||
Series 2002 A, 6% 5/1/43 | 210,000 | 213,782 | |
Series 2006 C, 0% 6/1/55 (e) | 3,000,000 | 203,039 | |
Chino Valley Unified School District Series 2020 B, 3.375% 8/1/50 | 1,000,000 | 939,847 | |
CMFA Spl. Fin. Agcy. Essential Hsg. Rev. Series 2021, 4% 8/1/45 (e) | 840,000 | 693,296 | |
CMFA Spl. Fin. Agcy. VII Essential Hsg. Rev. Series 2021 A2, 4% 8/1/47 (e) | 2,025,000 | 1,651,192 | |
CMFA Spl. Fin. Agcy. XII: | |||
Series 2022 A1, 3.25% 2/1/57 (e) | 240,000 | 185,144 | |
Series 2022 A2, 4.375% 8/1/49 (e) | 455,000 | 372,180 | |
Coachella Valley Unified School District Series 2016 F, 5% 8/1/46 | 1,300,000 | 1,393,596 | |
Coast Cmnty. College District Series 2017 D, 4.5% 8/1/39 (Pre-Refunded to 8/1/27 @ 100) | 1,800,000 | 2,016,789 | |
Compton Unified School District Series 2019 B, 0% 6/1/39 | 250,000 | 126,081 | |
Corona-Norco Unified School District Series 2019 C, 4% 8/1/49 | 800,000 | 809,641 | |
Cotati-Rohnert Park Unified School District Series 2018 C, 5% 8/1/42 (Assured Guaranty Muni. Corp. Insured) | 250,000 | 269,135 | |
CSCDA Cmnty. Impt. Auth. Essential Hsg. Rev.: | |||
Series 2020 A, 5% 7/1/51 (e) | 905,000 | 906,927 | |
Series 2021 A2: | |||
3.125% 8/1/56 (e) | 450,000 | 339,415 | |
4% 7/1/56 (e) | 300,000 | 259,021 | |
4% 9/1/56 (e) | 1,550,000 | 1,385,429 | |
4% 10/1/56 (e) | 6,060,000 | 5,321,617 | |
4% 6/1/58 (e) | 250,000 | 222,931 | |
Series 2021 B, 4% 3/1/57 (e) | 1,415,000 | 1,101,926 | |
El Monte Union High School District Series 2019, 5% 6/1/49 | 1,900,000 | 2,058,770 | |
Escondido Gen. Oblig. Series 2015, 5% 9/1/36 | 750,000 | 808,961 | |
Fallbrook Union High School District Gen. Oblig. Series 2022 C, 4% 8/1/46 | 1,000,000 | 1,025,971 | |
Firebaugh Las Deltas Unified School District Series 2017 A, 5.25% 8/1/41 (Assured Guaranty Muni. Corp. Insured) | 500,000 | 551,885 | |
Fontana Unified School District Gen. Oblig. Series 2012 C: | |||
0% 8/1/39 (Pre-Refunded to 8/1/22 @ 38.591) | 250,000 | 96,292 | |
0% 8/1/43 (Pre-Refunded to 8/1/22 @ 100) | 250,000 | 75,873 | |
Foothill/Eastern Trans. Corridor Agcy. Toll Road Rev.: | |||
Series 2013 B2, 3.5% 1/15/53 (a) | 500,000 | 468,092 | |
Series 2014 B2, 3.5% 1/15/53 (a) | 300,000 | 266,993 | |
Series 2021 A, 4% 1/15/46 | 3,900,000 | 3,893,492 | |
Series 2021 C, 4% 1/15/43 | 786,000 | 789,905 | |
Golden State Tobacco Securitization Corp. Tobacco Settlement Rev.: | |||
Series 2007 A2, 5.3% 6/1/37 (Pre-Refunded to 6/1/22 @ 100) | 250,000 | 250,000 | |
Series 2015 A: | |||
5% 6/1/34 (Pre-Refunded to 6/1/25 @ 100) | 1,475,000 | 1,604,430 | |
5% 6/1/35 (Pre-Refunded to 6/1/25 @ 100) | 875,000 | 951,781 | |
5% 6/1/40 (Pre-Refunded to 6/1/25 @ 100) | 800,000 | 870,200 | |
Series 2018 A1: | |||
3.5% 6/1/36 (Pre-Refunded to 6/1/22 @ 100) | 250,000 | 250,000 | |
5% 6/1/47 (Pre-Refunded to 6/1/22 @ 100) | 545,000 | 545,000 | |
5.25% 6/1/47 (Pre-Refunded to 6/1/22 @ 100) | 250,000 | 250,000 | |
Series 2018 A2, 5% 6/1/47 (Pre-Refunded to 6/1/22 @ 100) | 800,000 | 800,000 | |
Series 2021 B2, 0% 6/1/66 | 38,355,000 | 5,053,774 | |
Hastings Campus Hsg. Fin. Auth. Series 2020 A, 5% 7/1/61 | 1,400,000 | 1,460,423 | |
Inland Empire Tobacco Securitization Auth. Series 2007: | |||
0% 6/1/57 | 6,500,000 | 386,437 | |
0% 6/1/57 (e) | 35,705,000 | 2,187,945 | |
0% 6/1/57 (e) | 23,425,000 | 1,209,468 | |
Irvine Reassessment District 12-1 Ltd. Oblig.: | |||
Series 2012, 4% 9/2/27 | 45,000 | 45,172 | |
Series 2012, 4% 9/2/28 | 60,000 | 60,213 | |
Irvine Unified School District Cmnty. Facilities District Series 2017 D, 5% 3/1/57 | 775,000 | 811,803 | |
Jurupa Unified School District Series 2019 C, 5.25% 8/1/43 | 800,000 | 904,809 | |
Kern Cmnty. College District Gen. Oblig. Series 2020, 3% 8/1/46 | 800,000 | 711,054 | |
Live Oak School District Ctfs. of Prtn. (2016 Rfdg. and School Fing. Projs.) Series 2016, 5% 8/1/39 (Assured Guaranty Muni. Corp. Insured) | 500,000 | 540,719 | |
Long Beach Arpt. Rev. Series 2010 A, 5% 6/1/30 | 500,000 | 501,135 | |
Los Angeles Cmnty. College District Series 2015 C, 5% 8/1/25 | 595,000 | 648,298 | |
Los Angeles County Metropolitan Trans. Auth. Sales Tax Rev. Series 2020 A, 5% 6/1/29 | 730,000 | 852,451 | |
Los Angeles County Pub. Works Fing. Auth. Lease Rev.: | |||
(Lacma Bldg. for the Permanent Collection Proj.) Series 2020 A: | |||
4% 12/1/37 | 1,690,000 | 1,788,883 | |
4% 12/1/38 | 620,000 | 652,736 | |
4% 12/1/39 | 1,010,000 | 1,061,391 | |
4% 12/1/40 | 1,095,000 | 1,144,735 | |
4% 12/1/43 | 670,000 | 696,389 | |
(Multiple Cap. Projs. II) Series 2012: | |||
5% 8/1/29 | 590,000 | 593,757 | |
5% 8/1/37 | 590,000 | 593,757 | |
(Multiple Cap. Projs.) Series 2015 A, 5% 12/1/33 | 825,000 | 879,914 | |
Series 2015 A, 5% 12/1/39 | 1,715,000 | 1,819,273 | |
Series 2019 E1: | |||
5% 12/1/44 | 425,000 | 478,743 | |
5% 12/1/49 | 500,000 | 559,278 | |
Los Angeles Dept. Arpt. Rev.: | |||
Series 2018 C, 5% 5/15/44 (c) | 500,000 | 533,680 | |
Series 2019 E: | |||
5% 5/15/36 | 250,000 | 280,884 | |
5% 5/15/49 | 1,050,000 | 1,160,788 | |
Series 2020 A, 5% 5/15/40 | 800,000 | 907,245 | |
Series 2020 C, 5% 5/15/45 (c) | 500,000 | 547,493 | |
Series 2021 D: | |||
3% 5/15/39 (c) | 250,000 | 219,203 | |
5% 5/15/46 (c) | 2,100,000 | 2,317,687 | |
Series 2022 A, 4% 5/15/39 (c) | 1,600,000 | 1,645,258 | |
Series 2022 C: | |||
4% 5/15/38 (c) | 750,000 | 766,517 | |
5% 5/15/26 (c) | 300,000 | 326,585 | |
5% 5/15/45 (c) | 1,200,000 | 1,332,596 | |
Series A, 5% 5/15/51 (c) | 1,500,000 | 1,640,989 | |
Series F, 5% 5/15/44 (c) | 1,920,000 | 2,079,466 | |
Los Angeles Dept. of Wtr. & Pwr. Wtrwks. Rev. Series 2021 B, 5% 7/1/46 | 2,025,000 | 2,335,836 | |
Los Angeles Unified School District: | |||
Series 2018 B1, 5.25% 7/1/42 | 6,650,000 | 7,403,097 | |
Series 2020 C: | |||
4% 7/1/36 | 500,000 | 528,638 | |
4% 7/1/38 | 920,000 | 966,475 | |
Los Angeles Wastewtr. Sys. Rev. Series 2018 A, 5% 6/1/43 | 950,000 | 1,056,276 | |
Los Rios Cmnty. College District Series 2008 E, 3% 8/1/25 | 250,000 | 256,462 | |
Martinez Unified School District Series 2021, 4% 8/1/51 (Assured Guaranty Muni. Corp. Insured) | 375,000 | 379,794 | |
Metropolitan Wtr. District of Southern California Wtr. Rev. Bonds: | |||
Series 2017 C, SIFMA Municipal Swap Index + 0.140% 0.93%, tender 5/21/24 (a)(b) | 1,745,000 | 1,740,502 | |
Series 2017 D, SIFMA Municipal Swap Index + 0.140% 0.93%, tender 5/21/24 (a)(b) | 1,475,000 | 1,471,202 | |
Series 2017 E, SIFMA Municipal Swap Index + 0.140% 0.93%, tender 7/1/37 (a)(b) | 1,005,000 | 1,002,407 | |
MSR Energy Auth. Gas Rev.: | |||
Series 2009 A, 6.125% 11/1/29 | 435,000 | 490,534 | |
Series 2009 B, 6.5% 11/1/39 | 1,235,000 | 1,580,067 | |
Series 2009 C, 6.5% 11/1/39 | 595,000 | 761,247 | |
Napa Valley Unified School District Series 2019 C, 4% 8/1/44 (Assured Guaranty Muni. Corp. Insured) | 250,000 | 255,019 | |
North Lake Tahoe Pub. Fin. Auth. Series 2022, 4.5% 12/1/52 (f) | 1,500,000 | 1,540,864 | |
Northern California Gas Auth. #1 Gas Proj. Rev. Series 2007 B, 3 month U.S. LIBOR + 0.720% 1.368% 7/1/27 (a)(b) | 1,625,000 | 1,580,702 | |
Orange County Trans. Auth. (I-405 Impt. Proj.) Series 2021, 4% 10/15/24 (Liquidity Facility Orange County Local Trans. Auth. Sales Tax Rev.) | 650,000 | 679,157 | |
Paramount Unified School District Series 2013, 0% 8/1/43 (Pre-Refunded to 8/1/23 @ 26) | 1,700,000 | 433,368 | |
Peninsula Corridor Joint Powers Board Series 2022 A, 5% 6/1/51 | 500,000 | 571,819 | |
Rancho Cucamonga Redev. Agcy. Series 2014: | |||
5% 9/1/30 (Assured Guaranty Muni. Corp. Insured) | 295,000 | 312,578 | |
5% 9/1/31 (Assured Guaranty Muni. Corp. Insured) | 825,000 | 873,057 | |
5% 9/1/32 (Assured Guaranty Muni. Corp. Insured) | 775,000 | 820,077 | |
Richmond Joint Powers Fing. Auth. Rev. (Civic Ctr. Proj.) Series 2019 A, 5% 11/1/37 (Assured Guaranty Muni. Corp. Insured) | 500,000 | 560,798 | |
Riverside County Redev. Agcy. Series 2016 B, 5% 10/1/30 | 300,000 | 324,831 | |
Riverside County Trans. Commission Sales Tax Rev. Series 2017 B, 4% 6/1/36 | 2,050,000 | 2,133,289 | |
Riverside County Trans. Commission Toll Rev. Series 2021 B1: | |||
3% 6/1/49 | 1,075,000 | 878,689 | |
4% 6/1/37 | 560,000 | 569,843 | |
4% 6/1/38 | 500,000 | 507,451 | |
4% 6/1/39 | 1,020,000 | 1,033,233 | |
4% 6/1/40 | 1,445,000 | 1,460,193 | |
4% 6/1/41 | 515,000 | 519,999 | |
4% 6/1/46 | 470,000 | 467,789 | |
Riverside Unified School District Gen. Oblig. Series 2019 B, 4% 8/1/42 | 750,000 | 770,098 | |
Sacramento County Arpt. Sys. Rev. Series 2018 C, 5% 7/1/37 (c) | 590,000 | 636,140 | |
Sacramento County Sanitation District Fing. Auth. Rev. Series 2020 A, 5% 12/1/50 | 1,220,000 | 1,395,786 | |
Sacramento Spl. Tax Greenbriar Cmnty. Facilities District No. 2018-03 Area No. 1 Series 2021: | |||
4% 9/1/41 | 295,000 | 284,934 | |
4% 9/1/46 | 355,000 | 334,915 | |
Sacramento TOT Rev. Series 2018 A: | |||
5% 6/1/29 | 250,000 | 280,418 | |
5% 6/1/30 | 750,000 | 840,495 | |
Sacramento Wtr. Rev. Series 2017, 5.25% 9/1/47 | 525,000 | 579,137 | |
San Bernardino Cmnty. College District Series 2019 A, 3% 8/1/41 (Pre-Refunded to 8/16/27 @ 100) | 675,000 | 703,530 | |
San Diego California Assn. Govts. South Bay Series 2017 A, 5% 7/1/30 | 250,000 | 277,437 | |
San Diego County Reg'l. Arpt. Auth. Arpt. Rev.: | |||
Series 2013 B, 5% 7/1/43 (Pre-Refunded to 7/1/23 @ 100) (c) | 1,680,000 | 1,737,334 | |
Series 2021 A, 4% 7/1/56 | 1,000,000 | 1,017,771 | |
Series 2021 B: | |||
4% 7/1/51 (c) | 1,000,000 | 990,824 | |
4% 7/1/56 (c) | 690,000 | 679,022 | |
San Diego County Wtr. Auth. Fing. Agcy. Wtr. Rev. Series 2022 A, 5% 5/1/47 | 250,000 | 292,733 | |
San Diego Pub. Facilities Fing. Auth. Lease Rev. Series 2015 A, 5% 10/15/44 | 500,000 | 532,601 | |
San Diego Unified School District Series 2020 D2, 3% 7/1/37 | 590,000 | 553,630 | |
San Francisco City & County Arpts. Commission Int'l. Arpt. Rev.: | |||
Second Series 2019 A, 5% 5/1/44 (c) | 2,950,000 | 3,186,280 | |
Series 2016 B, 5% 5/1/46 (c) | 2,000,000 | 2,094,552 | |
Series 2018 D: | |||
5% 5/1/48 (c) | 4,000,000 | 4,270,360 | |
5.25% 5/1/48 (c) | 1,150,000 | 1,242,865 | |
Series 2019 A, 5% 5/1/49 (c) | 1,175,000 | 1,265,298 | |
Series 2019 E: | |||
5% 5/1/35 (c) | 1,000,000 | 1,096,530 | |
5% 5/1/37 (c) | 900,000 | 984,679 | |
5% 5/1/45 (c) | 2,250,000 | 2,426,251 | |
Series 2020 A, 5% 5/1/38 (c) | 1,845,000 | 2,037,106 | |
San Joaquin Hills Trans. Corridor Agcy. Toll Road Rev.: | |||
Series 2014 B, 5.25% 1/15/44 | 400,000 | 415,560 | |
Series 2021 A, 4% 1/15/50 | 295,000 | 292,002 | |
San Marcos Redev. Agcy. Successor Series 2015 A: | |||
5% 10/1/30 | 460,000 | 498,689 | |
5% 10/1/33 | 330,000 | 357,064 | |
San Mateo Cmnty. Facilities District No. 2008 1 Spl. Tax Series 2012: | |||
5.875% 9/1/32 | 405,000 | 407,441 | |
6% 9/1/42 | 210,000 | 211,350 | |
San Mateo Foster City: | |||
(Clean Wtr. Prog.) Series 2019, 5% 8/1/49 | 500,000 | 557,928 | |
Series 2021 B, 5% 8/1/25 | 690,000 | 751,366 | |
Santa Ana Unified School District Series 2009 B, 0% 8/1/47 (Assured Guaranty Corp. Insured) | 500,000 | 153,337 | |
Santa Margarita Wtr. District Spl. Tax Series 2013, 5.625% 9/1/43 | 335,000 | 342,517 | |
Santa Monica Cmnty. College District Gen. Oblig. Series 2018 A, 4% 8/1/47 | 950,000 | 965,322 | |
Sierra Joint Cmnty. College District Series 2018 A, 4% 8/1/53 | 500,000 | 505,517 | |
Stockton Unified School District Gen. Oblig. Series 2011, 0% 8/1/42 (Assured Guaranty Muni. Corp. Insured) | 300,000 | 135,830 | |
Successor Agcy. to the Inland Valley Dev. Agcy. Tax Allocation Series 2014 A: | |||
5% 9/1/44 (Assured Guaranty Muni. Corp. Insured) | 570,000 | 594,920 | |
5.25% 9/1/37 | 1,215,000 | 1,273,051 | |
Sweetwater Union High School District Series 2016, 4% 8/1/47 | 1,000,000 | 1,001,506 | |
Temecula Valley Unified School District Gen. Oblig. Series 2021 D, 3% 8/1/44 | 250,000 | 222,288 | |
Tobacco Securitization Auth. Northern California Tobacco Settlement Rev. Series 2021 B2, 0% 6/1/60 | 2,950,000 | 545,855 | |
Tobacco Securitization Auth. Southern California Tobacco Settlement: | |||
Series 2006 2C, 0% 6/1/46 | 4,010,000 | 632,562 | |
Series 2006 3D, 0% 6/1/46 | 660,000 | 78,664 | |
Series 2019 B2, 0% 6/1/54 | 300,000 | 54,721 | |
Twin Rivers Unified School District Series 2008, 0% 8/1/32 (Assured Guaranty Muni. Corp. Insured) | 500,000 | 349,166 | |
Univ. of California Regents Med. Ctr. Pool Rev. Series 2022 P, 5% 5/15/47 | 8,775,000 | 9,956,570 | |
Univ. of California Revs.: | |||
Series 2017 M, 5% 5/15/47 | 1,475,000 | 1,602,438 | |
Series 2018 AZ, 5.25% 5/15/58 | 750,000 | 834,150 | |
Series 2018 O, 5.5% 5/15/58 | 4,425,000 | 4,968,313 | |
Val Verde Unified School District: | |||
Series 2021 B, 4% 8/1/51 (Assured Guaranty Muni. Corp. Insured) | 2,000,000 | 2,025,390 | |
Series 2021 F, 3% 8/1/47 (Assured Guaranty Muni. Corp. Insured) | 475,000 | 403,924 | |
West Contra Costa Healthcare District Series 2021, 3% 7/1/42 | 250,000 | 220,507 | |
West Contra Costa Unified School District Series 2021 A1, 3% 8/1/51 (Assured Guaranty Muni. Corp. Insured) | 250,000 | 211,031 | |
West Sacramento Fing. Auth. Spl. Tax Rev. Series 2006 A, 5% 9/1/34 | 280,000 | 316,267 | |
TOTAL CALIFORNIA | 334,688,283 | ||
Colorado - 0.7% | |||
Adams 12 Five Star Schools Series 2016 B, 5% 12/15/30 | 1,175,000 | 1,308,109 | |
Aerotropolis Reg'l. Trans. Auth. Spl. Rev. Series 2021, 4.375% 12/1/52 | 1,945,000 | 1,628,217 | |
Arista Metropolitan District Broomfield Gen. Oblig. and Spl. Rev. Series 2018 A, 5.125% 12/1/48 | 1,055,000 | 1,062,858 | |
Arkansas River Pwr. Auth. Rev. Series 2018 A, 5% 10/1/43 | 400,000 | 421,902 | |
Berthoud-Heritage Metropolitan District No. 1 Ltd. Tax Supported Rev. Series 2019, 5.625% 12/1/48 | 1,215,000 | 1,224,621 | |
Canyons Metropolitan District No. 5 Series 2017 A, 6.125% 12/1/47 | 500,000 | 502,100 | |
Colorado Ctfs. of Prtn. Series 2021 A: | |||
4% 12/15/35 | 340,000 | 359,885 | |
4% 12/15/36 | 680,000 | 713,047 | |
4% 12/15/38 | 680,000 | 705,520 | |
Colorado Edl. & Cultural Facilities Auth. (New Vision Charter School Proj.) Series 2022 A: | |||
4% 6/1/52 | 250,000 | 250,066 | |
4% 6/1/56 | 250,000 | 245,582 | |
Colorado Health Facilities Auth.: | |||
(Adventist Health Sys. / Sunbelt Obligated Group) Series 2016 A, 5% 11/15/41 | 1,475,000 | 1,555,922 | |
(Christian Living Neighborhoods Proj.) Series 2016: | |||
5% 1/1/31 | 185,000 | 187,228 | |
5% 1/1/37 | 235,000 | 236,213 | |
(Frasier Meadows Retirement Cmnty. Proj.) Series 2017 B: | |||
5% 5/15/33 | 210,000 | 216,463 | |
5% 5/15/39 | 315,000 | 324,695 | |
(Frasier Proj.) Series 2023 A: | |||
4% 5/15/31 | 50,000 | 48,057 | |
4% 5/15/32 | 60,000 | 57,222 | |
4% 5/15/33 | 60,000 | 56,751 | |
4% 5/15/34 | 65,000 | 61,056 | |
4% 5/15/35 | 65,000 | 60,336 | |
4% 5/15/36 | 70,000 | 64,487 | |
4% 5/15/41 | 115,000 | 101,964 | |
4% 5/15/48 | 180,000 | 150,257 | |
Series 2018 A, 5% 12/1/48 | 250,000 | 259,889 | |
Series 2019 A: | |||
4% 11/15/43 | 365,000 | 370,381 | |
5% 11/1/44 | 2,950,000 | 3,145,942 | |
Series 2019 A1, 4% 8/1/44 | 500,000 | 490,104 | |
Series 2019 A2: | |||
3.25% 8/1/49 | 250,000 | 202,605 | |
4% 8/1/49 | 2,765,000 | 2,698,451 | |
5% 8/1/44 | 710,000 | 740,904 | |
Series 2021 A: | |||
3% 11/15/51 | 1,875,000 | 1,578,325 | |
4% 11/15/46 | 3,000,000 | 3,035,146 | |
4% 11/15/50 | 2,055,000 | 2,070,870 | |
Colorado Health Facilities Auth. Rev.: | |||
(Mental Health Ctr. of Denver Proj.) Series 2014, 5.75% 2/1/44 | 445,000 | 456,954 | |
(Sunny Vista Living Ctr. Proj.) Series 2015 A: | |||
5.75% 12/1/35 (e) | 215,000 | 186,697 | |
6.125% 12/1/45 (e) | 950,000 | 800,288 | |
6.25% 12/1/50 (e) | 790,000 | 663,536 | |
Series 2013 A, 5.25% 1/1/40 (Pre-Refunded to 1/1/23 @ 100) | 2,120,000 | 2,164,261 | |
Series 2013, 8% 8/1/43 | 510,000 | 523,344 | |
Colorado High Performance Trans. Enterprise C-470 Express Lanes Sr. Rev. Series 2017: | |||
5% 12/31/47 | 1,025,000 | 1,048,069 | |
5% 12/31/51 | 2,240,000 | 2,287,574 | |
5% 12/31/56 | 3,260,000 | 3,326,240 | |
Colorado Hsg. & Fin. Auth. Series 2018 C, 4.25% 11/1/48 | 460,000 | 474,212 | |
Colorado Int'l. Ctr. Metropolitan District No. 14 Ltd. Tax Gen. Oblig. Series 2018, 5.875% 12/1/46 | 990,000 | 1,013,098 | |
Colorado Reg'l. Trans. District (Denver Transit Partners Eagle P3 Proj.) Series 2020, 4% 7/15/40 | 625,000 | 599,220 | |
Colorado Reg'l. Trans. District Ctfs. of Prtn. Series 2014 A, 4.5% 6/1/44 | 925,000 | 929,676 | |
Colorado Reg'l. Trans. District Sales Tax Rev. (Fastracks Proj.) Series 2016 A, 5% 11/1/46 | 1,475,000 | 1,604,717 | |
Denver City& County Arpt. Rev.: | |||
Series 2013 B, 5% 11/15/43 | 365,000 | 375,817 | |
Series 2018 A: | |||
4% 12/1/43 (c) | 1,765,000 | 1,765,900 | |
5% 12/1/25 (c) | 750,000 | 807,487 | |
5% 12/1/43 (c) | 1,420,000 | 1,520,582 | |
5% 12/1/48 (c) | 705,000 | 750,556 | |
5.25% 12/1/48 (c) | 5,130,000 | 5,534,561 | |
Denver City & County Ctfs. of Prtn. Series 2018 A, 5.375% 6/1/43 | 500,000 | 547,433 | |
Denver City & County School District # 1 Series 2022 A: | |||
5% 12/1/36 | 1,630,000 | 1,933,291 | |
5% 12/1/45 | 500,000 | 582,778 | |
Denver City & County Spl. Facilities Arpt. Rev. (United Airlines, Inc. Proj.) Series 2017, 5% 10/1/32 (c) | 4,825,000 | 4,843,328 | |
Dominion Wtr. & Sanitation District Series 2016, 5.75% 12/1/36 | 500,000 | 510,806 | |
E-470 Pub. Hwy. Auth. Rev.: | |||
Bonds Series 2021 B, U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.350% 0.873%, tender 9/1/24 (a)(b) | 800,000 | 787,102 | |
Series 2000 B, 0% 9/1/22 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 250,000 | 249,063 | |
Eagle Garfield & Routt Counties School District Series 2021, 4% 12/1/51 (Assured Guaranty Muni. Corp. Insured) | 550,000 | 565,826 | |
Fruita Healthcare Rev. (The Colorado Canyons Hosp. and Med. Ctr. Proj.) Series 2017 A, 5.5% 1/1/48 (e) | 250,000 | 256,120 | |
Hogback Metropolitan District Series 2021 A, 5% 12/1/51 | 500,000 | 437,452 | |
Johnstown Plaza Metropolitan District Series 2022, 4.25% 12/1/46 | 500,000 | 443,826 | |
Painted Prairie Metropolitan District # 2 Series 2018, 5.25% 12/1/48 | 500,000 | 501,436 | |
Park Creek Metropolitan District Sr. Ltd. Property Tax Supported Rev.: | |||
Series 2015 A, 5% 12/1/45 | 2,740,000 | 2,912,326 | |
Series 2019 A: | |||
4% 12/1/39 (Assured Guaranty Muni. Corp. Insured) | 250,000 | 263,098 | |
4% 12/1/46 (Assured Guaranty Muni. Corp. Insured) | 500,000 | 513,345 | |
Peak Metropolitan District # 1 Series 2021 A, 5% 12/1/51 (e) | 500,000 | 463,032 | |
Pub. Auth. For Colorado Energy Rev. Series 2008: | |||
6.25% 11/15/28 | 845,000 | 957,149 | |
6.5% 11/15/38 | 3,815,000 | 4,993,065 | |
Pueblo Urban Renewal Auth. Tax Increment Rev. (Evraz Proj.) Series 2021 A, 4.75% 12/1/45 (e) | 820,000 | 780,915 | |
Rampart Range Metropolitan District No. 5 Ltd. Tax Supported & Spl. Rev. Series 2021, 4% 12/1/51 | 1,250,000 | 993,230 | |
Riverwalk Metropolitan District No. 2 Rev. Series 2022 A, 5% 12/1/52 | 890,000 | 801,571 | |
Vauxmont Metropolitan District Series 2020: | |||
5% 12/1/32 (Assured Guaranty Muni. Corp. Insured) | 105,000 | 120,487 | |
5% 12/1/35 (Assured Guaranty Muni. Corp. Insured) | 45,000 | 51,067 | |
5% 12/1/50 (Assured Guaranty Muni. Corp. Insured) | 210,000 | 233,668 | |
Villages at Castle Rock Metropolitan District Series 2021 A, 4.125% 12/1/51 (e) | 500,000 | 388,104 | |
TOTAL COLORADO | 78,097,482 | ||
Connecticut - 0.3% | |||
Bridgeport Gen. Oblig. Series 2016 D: | |||
5% 8/15/33 (Assured Guaranty Muni. Corp. Insured) | 500,000 | 542,332 | |
5% 8/15/34 (Assured Guaranty Muni. Corp. Insured) | 500,000 | 541,748 | |
5% 8/15/35 (Assured Guaranty Muni. Corp. Insured) | 250,000 | 270,673 | |
5% 8/15/36 (Assured Guaranty Muni. Corp. Insured) | 250,000 | 270,494 | |
Connecticut Gen. Oblig.: | |||
Series 2015 B, 5% 6/15/31 | 355,000 | 379,118 | |
Series 2017 A, 5% 4/15/35 | 750,000 | 817,849 | |
Series 2018 C, 5% 6/15/28 | 250,000 | 285,292 | |
Series 2018 E: | |||
5% 9/15/33 | 500,000 | 566,684 | |
5% 9/15/35 | 305,000 | 339,762 | |
5% 9/15/35 | 250,000 | 282,621 | |
5% 9/15/37 | 275,000 | 305,821 | |
Series 2018 F, 5% 9/15/28 | 1,300,000 | 1,489,135 | |
Series 2019 A: | |||
4% 4/15/38 | 325,000 | 331,788 | |
5% 4/15/36 | 250,000 | 279,239 | |
Series 2021 A, 3% 1/15/37 | 1,495,000 | 1,396,363 | |
Series 2022 C: | |||
5% 6/15/32 (f) | 150,000 | 177,698 | |
5% 6/15/33 (f) | 75,000 | 88,264 | |
5% 6/15/34 (f) | 100,000 | 116,931 | |
5% 6/15/35 (f) | 75,000 | 87,276 | |
5% 6/15/36 (f) | 125,000 | 144,913 | |
5% 6/15/37 (f) | 50,000 | 57,786 | |
5% 6/15/38 (f) | 75,000 | 86,505 | |
5% 6/15/40 (f) | 300,000 | 344,702 | |
Series 2022 D: | |||
5% 9/15/27 (f) | 1,000,000 | 1,127,835 | |
5% 9/15/32 (f) | 75,000 | 89,086 | |
Connecticut Health & Edl. Facilities Auth. Rev.: | |||
(Church Home of Hartford, Inc. Proj.) Series 2016 A: | |||
5% 9/1/46 (e) | 190,000 | 191,358 | |
5% 9/1/53 (e) | 230,000 | 230,942 | |
Series 2016 F: | |||
5% 7/1/31 | 555,000 | 582,507 | |
5% 7/1/32 | 580,000 | 607,402 | |
5% 7/1/33 | 365,000 | 381,822 | |
5% 7/1/34 | 255,000 | 266,458 | |
5% 7/1/43 | 1,440,000 | 1,489,836 | |
Series 2019, 4% 7/1/44 | 955,000 | 860,451 | |
Series L1: | |||
4% 7/1/22 | 60,000 | 60,120 | |
4% 7/1/23 | 95,000 | 97,004 | |
Series N: | |||
4% 7/1/39 | 980,000 | 913,330 | |
4% 7/1/49 | 1,290,000 | 1,131,230 | |
Connecticut Higher Ed. Supplemental Ln. Auth. Rev. (Chesla Ln. Prog.) Series 2019 B, 3.25% 11/15/35 (c) | 250,000 | 225,554 | |
Connecticut Hsg. Fin. Auth. Series 2018 C1, 4% 11/15/45 | 700,000 | 717,871 | |
Connecticut Spl. Tax Oblig. Trans. Infrastructure Rev.: | |||
Series 2014 A, 5% 9/1/30 | 750,000 | 789,622 | |
Series 2016 A: | |||
5% 9/1/31 | 1,600,000 | 1,745,801 | |
5% 9/1/33 | 1,300,000 | 1,408,377 | |
Series 2018 A: | |||
5% 1/1/31 | 750,000 | 838,303 | |
5% 1/1/33 | 1,860,000 | 2,065,187 | |
5% 1/1/36 | 500,000 | 551,795 | |
Series 2020 A: | |||
3.125% 5/1/40 | 500,000 | 461,049 | |
4% 5/1/39 | 1,050,000 | 1,081,727 | |
5% 5/1/32 | 665,000 | 768,400 | |
Hamden Gen. Oblig. (Whitney Ctr. Proj.) Series 2019: | |||
5% 1/1/40 | 1,265,000 | 1,243,172 | |
5% 1/1/50 | 1,330,000 | 1,257,724 | |
Hartford Gen. Oblig. Series 2015 C, 5% 7/15/32 (Assured Guaranty Muni. Corp. Insured) | 800,000 | 849,915 | |
Steelpointe Hbr. Infrastructure Impt. District (Steelpointe Hbr. Proj.) Series 2021, 4% 4/1/51 (e) | 475,000 | 411,312 | |
Univ. of Connecticut Gen. Oblig. Series 2019 A, 5% 11/1/35 | 500,000 | 557,057 | |
Waterbury Gen. Oblig. Series 2013, 5% 12/1/32 (Pre-Refunded to 12/1/23 @ 100) | 240,000 | 251,575 | |
TOTAL CONNECTICUT | 32,456,816 | ||
Delaware - 0.2% | |||
Delaware Econ. Dev. Auth. Retirement Communitites Rev. Series 2018 B, 5% 11/15/48 | 1,770,000 | 1,873,884 | |
Delaware Health Facilities Auth. Rev.: | |||
(Beebe Med. Ctr. Proj.) Series 2018: | |||
5% 6/1/37 | 140,000 | 150,779 | |
5% 6/1/43 | 1,950,000 | 2,076,556 | |
5% 6/1/48 | 1,775,000 | 1,879,241 | |
5% 6/1/50 | 930,000 | 983,222 | |
(Nanticoke Memorial Hosp. Proj.) Series 2013: | |||
5% 7/1/28 (Pre-Refunded to 7/1/23 @ 100) | 565,000 | 584,962 | |
5% 7/1/32 (Pre-Refunded to 7/1/23 @ 100) | 755,000 | 781,675 | |
Beebe Med. Ctr. Proj.) Series 2018, 4.375% 6/1/48 | 250,000 | 254,375 | |
Series 2020 A: | |||
4% 10/1/49 | 2,455,000 | 2,466,018 | |
5% 10/1/34 | 800,000 | 899,619 | |
5% 10/1/36 | 900,000 | 1,009,764 | |
5% 10/1/40 | 250,000 | 278,658 | |
5% 10/1/45 | 1,990,000 | 2,192,962 | |
Delaware Trans. Auth. Grant Series 2020: | |||
5% 9/1/33 | 365,000 | 418,298 | |
5% 9/1/34 | 590,000 | 674,397 | |
5% 9/1/35 | 590,000 | 673,500 | |
Kent County Student Hsg. & Dining Facility Rev. (CHF Dover, L.L.C. Delaware State Univ. Proj.) Series 2018 A: | |||
5% 7/1/32 | 35,000 | 35,785 | |
5% 7/1/40 | 160,000 | 161,934 | |
5% 7/1/48 | 415,000 | 415,603 | |
5% 7/1/53 | 860,000 | 858,616 | |
5% 7/1/58 | 770,000 | 762,342 | |
Sussex County Rev. (Cadbury at Lewes Proj.) Series 2016, 5% 1/1/36 | 1,425,000 | 1,467,815 | |
The Delaware Econ. Dev. Auth. Charter School Rev.: | |||
(Aspira of Delaware Charter Operations, Inc. Proj.) Series 2022 A: | |||
3% 6/1/32 | 300,000 | 265,650 | |
4% 6/1/52 | 130,000 | 114,494 | |
4% 6/1/57 | 125,000 | 108,145 | |
(Newark Charter School, Inc. Proj.) Series 2020: | |||
4% 9/1/30 | 35,000 | 35,049 | |
5% 9/1/40 | 185,000 | 196,533 | |
5% 9/1/50 | 245,000 | 256,763 | |
TOTAL DELAWARE | 21,876,639 | ||
District Of Columbia - 0.4% | |||
District of Columbia Gen. Oblig. Series 2018 B, 5% 6/1/24 | 405,000 | 429,674 | |
District of Columbia Rev.: | |||
(Ingleside at Rock Creek Proj.) Series 2017 A: | |||
5% 7/1/32 | 535,000 | 540,473 | |
5% 7/1/37 | 555,000 | 556,210 | |
5% 7/1/42 | 925,000 | 907,723 | |
5% 7/1/52 | 2,115,000 | 2,016,955 | |
Series 2009 A: | |||
5.125% 1/1/35 | 220,000 | 214,321 | |
5.25% 1/1/39 | 140,000 | 135,922 | |
Series 2012 A: | |||
5% 6/1/32 (Pre-Refunded to 12/1/22 @ 100) | 300,000 | 305,223 | |
5% 6/1/42 (Pre-Refunded to 12/1/22 @ 100) | 750,000 | 763,057 | |
Series 2016 A: | |||
5% 6/1/36 | 420,000 | 434,928 | |
5% 6/1/41 | 275,000 | 283,006 | |
5% 6/1/46 | 405,000 | 415,299 | |
Series 2019: | |||
4% 7/1/39 | 1,020,000 | 1,007,307 | |
4% 7/1/44 | 60,000 | 57,988 | |
4% 7/1/49 | 765,000 | 724,972 | |
Series 2020, 5% 6/1/50 | 490,000 | 505,594 | |
District of Columbia Student Dorm. Rev. Series 2013, 5% 10/1/45 | 250,000 | 251,574 | |
District of Columbia Tax Increment Rev.: | |||
(Bryant Street Proj.) Series 2019, 4% 6/1/39 | 250,000 | 259,458 | |
(Union Market Infastructure Proj.) Series 2021 A, 0% 6/1/46 (e)(g) | 500,000 | 328,538 | |
(Union Market Infrastructure Proj.) Series 2021 A, 0% 6/1/31 (e)(g) | 100,000 | 76,052 | |
District of Columbia Tobacco Settlement Fing. Corp.: | |||
Series 2006 A, 0% 6/15/46 | 15,130,000 | 3,339,062 | |
Series 2006 B, 0% 6/15/46 | 3,230,000 | 504,199 | |
District of Columbia Wtr. & Swr. Auth. Pub. Util. Rev. Series 2013 A, 5% 10/1/48 (Pre-Refunded to 10/1/23 @ 100) | 1,675,000 | 1,748,102 | |
Howard Univ. 4.756% 10/1/51 | 250,000 | 234,519 | |
Metropolitan Washington Arpts. Auth. Dulles Toll Road Rev.: | |||
(Dulles Metrorail and Cap. Impt. Proj.) Series 2019 B, 4% 10/1/53 | 1,600,000 | 1,502,856 | |
(Dulles Metrorail And Cap. Impt. Proj.) Series 2019 B, 4% 10/1/53 (Assured Guaranty Muni. Corp. Insured) | 400,000 | 403,866 | |
(Dulles Metrorail and Cap. Impt. Projs.) Series 2019 A, 5% 10/1/44 | 3,035,000 | 3,338,938 | |
(Dulles Metrorail And Cap. Impt. Projs.) Series 2019 B, 4% 10/1/49 | 1,260,000 | 1,199,855 | |
Series 2009 B: | |||
0% 10/1/37 | 1,800,000 | 1,006,527 | |
0% 10/1/38 | 1,405,000 | 724,986 | |
0% 10/1/39 | 280,000 | 137,214 | |
0% 10/1/40 | 705,000 | 327,864 | |
Series 2009 C, 6.5% 10/1/41 (Assured Guaranty Corp. Insured) (Pre-Refunded to 10/1/26 @ 100) | 1,040,000 | 1,229,445 | |
Series 2010 B, 6.5% 10/1/44 | 3,405,000 | 3,976,767 | |
Series 2019 218, 4% 10/1/44 | 600,000 | 582,952 | |
Metropolitan Washington DC Arpts. Auth. Sys. Rev.: | |||
Series 2018 A: | |||
5% 10/1/27 (c) | 1,300,000 | 1,441,352 | |
5% 10/1/43 (c) | 3,150,000 | 3,395,480 | |
5% 10/1/48 (c) | 3,140,000 | 3,365,462 | |
Series 2021 A: | |||
4% 10/1/41 (c) | 300,000 | 305,818 | |
5% 10/1/46 (c) | 1,180,000 | 1,298,997 | |
Washington D.C. Metropolitan Transit Auth. Rev. Series 2018, 5% 7/1/43 | 1,315,000 | 1,433,452 | |
Washington Metropolitan Area Transit Auth. Series 2021 A, 3% 7/15/36 | 500,000 | 489,251 | |
TOTAL DISTRICT OF COLUMBIA | 42,201,238 | ||
Florida - 1.6% | |||
Alachua County Health Facilities Auth. Continuing Care Retirement Cmnty. Rev. (Oak Hammock at the Univ. of Florida, Inc. Proj.) Series 2012 A, 8% 10/1/42 | 240,000 | 249,880 | |
Alachua County Health Facilities Auth. Health Facilities Rev.: | |||
(East Ridge Retirement Villiage, Inc. Proj.) Series 2014: | |||
6% 11/15/34 | 800,000 | 670,097 | |
6.375% 11/15/49 | 1,330,000 | 1,057,331 | |
Series 2014 A, 5% 12/1/44 | 3,840,000 | 3,960,164 | |
Series 2019 A, 4% 12/1/49 | 1,475,000 | 1,460,840 | |
Boggy Creek Impt. District Spl. Assessment Rev. Series 2013, 5.125% 5/1/43 | 1,295,000 | 1,308,365 | |
Brevard County Health Facilities Auth. Health Care Facilities Rev. (Health First, Inc. Proj.) Series 2014, 5% 4/1/39 | 885,000 | 932,740 | |
Brevard County Health Facilities Auth. Rev. Series 2022 A, 5% 4/1/40 | 1,905,000 | 2,127,329 | |
Broward County Arpt. Sys. Rev.: | |||
Series 2013 C, 5.25% 10/1/30 (Pre-Refunded to 10/1/23 @ 100) | 1,175,000 | 1,230,128 | |
Series 2019 A: | |||
4% 10/1/49 (c) | 885,000 | 880,840 | |
5% 10/1/49 (c) | 500,000 | 538,771 | |
Broward County Convention Ctr. Series 2022, 5.5% 1/1/55 | 2,500,000 | 2,893,625 | |
Broward County Wtr. & Swr. Util. Rev. Series 2022 A, 4% 10/1/47 | 345,000 | 355,725 | |
Cap. Projs. Fin. Auth. Student Hsg. Rev.: | |||
(Cap. Projs. Ln. Prog. - Florida Univs.) Series 2020 A: | |||
5% 10/1/30 | 230,000 | 245,474 | |
5% 10/1/31 | 100,000 | 106,147 | |
5% 10/1/34 | 190,000 | 200,025 | |
Series 2020 A1: | |||
5% 10/1/32 | 100,000 | 105,569 | |
5% 10/1/33 | 100,000 | 105,425 | |
Cap. Trust Agcy. Rev.: | |||
(The Marie Selby Botanical Gardens, Inc. Proj.) Series 2021: | |||
4% 6/15/24 (e) | 100,000 | 99,612 | |
4% 6/15/41 (e) | 380,000 | 324,893 | |
4% 6/15/51 (e) | 530,000 | 415,354 | |
(Wonderful Foundations Charter School Portfolio Projs.) Series 2020 A1, 5% 1/1/55 (e) | 550,000 | 519,628 | |
Cap. Trust Agcy. Student Hsg. Rev. Series 2018 A, 5.25% 12/1/58 (e) | 1,285,000 | 1,280,851 | |
Cape Coral Wtr. & Swr. Rev. Series 2017, 4% 10/1/42 | 2,815,000 | 2,855,600 | |
Celebration Pointe Cmnty. Dev. District No. 1 Spl. Assessment Rev.: | |||
Series 2014: | |||
4.75% 5/1/24 | 50,000 | 51,108 | |
5.125% 5/1/45 | 135,000 | 136,180 | |
Series 2017: | |||
5% 5/1/32 (e) | 160,000 | 163,792 | |
5% 5/1/48 (e) | 435,000 | 437,987 | |
Series 2021: | |||
3% 5/1/31 | 65,000 | 57,171 | |
3.375% 5/1/41 | 220,000 | 181,022 | |
4% 5/1/53 | 400,000 | 345,131 | |
Central Florida Expressway Auth. Sr. Lien Rev.: | |||
Series 2016 B, 5% 7/1/34 | 530,000 | 581,895 | |
Series 2017, 5% 7/1/42 | 1,545,000 | 1,658,772 | |
Series 2021, 4% 7/1/34 (Assured Guaranty Muni. Corp. Insured) | 1,155,000 | 1,228,882 | |
Collier County Health Facilities Auth. Series 2022, 4% 5/1/52 | 200,000 | 193,324 | |
County of Broward Tourist Dev. Tax Rev.: | |||
(Convention Ctr. Expansion Proj.) Series 2021: | |||
4% 9/1/41 | 965,000 | 1,008,917 | |
4% 9/1/51 | 2,050,000 | 2,111,666 | |
Series 2022 A2, 4% 9/1/47 | 750,000 | 775,525 | |
County of Osceola (Poinciana Parkway Proj.) Series 2014 B2, 0% 10/1/36 (Pre-Refunded to 10/1/31 @ 100) (g) | 250,000 | 278,803 | |
County Wtr.-Swr. District Collier County Wtr. Rev. Series 2021: | |||
4% 7/1/40 | 2,465,000 | 2,613,188 | |
4% 7/1/44 | 1,475,000 | 1,538,105 | |
Davie Edl. Facilities Rev. (Nova Southeastern Univ. Proj.): | |||
Series 2013 A, 6% 4/1/42 (Pre-Refunded to 4/1/23 @ 100) | 2,800,000 | 2,900,994 | |
Series 2018, 5% 4/1/38 | 710,000 | 764,421 | |
Double Branch Cmnty. Dev. District Spl. Assessment Series 2013 A1, 4% 5/1/25 | 35,000 | 35,499 | |
Epperson North Cmnty. Dev. District Series 2021 A, 3.4% 11/1/41 | 250,000 | 207,928 | |
Escambia County Health Facilities Auth. Health Facilities Rev. Series 2020 A, 4% 8/15/45 | 3,875,000 | 3,741,225 | |
Fishhawk Cmnty. Dev. District IV Spl. Assessment Rev. Series 2013 A, 7.25% 5/1/43 | 300,000 | 309,087 | |
Florida Board of Ed. Pub. Ed. Cap. Outlay Series 2017 C, 4% 6/1/32 | 1,000,000 | 1,064,310 | |
Florida Dept. of Trans. Tpk. Rev. Series 2021 C, 3% 7/1/35 | 900,000 | 879,785 | |
Florida Dev. Fin. Corp. Edl. Facilities: | |||
(Mater Academy Projs.): | |||
Series 2020 A, 5% 6/15/50 | 500,000 | 514,291 | |
Series 2022 A: | |||
4% 6/15/52 | 195,000 | 173,530 | |
5% 6/15/56 | 250,000 | 255,835 | |
(River City Science Academy Projs.) Series 2022 A1: | |||
5% 7/1/42 | 870,000 | 906,447 | |
5% 7/1/51 | 785,000 | 809,186 | |
5% 2/1/57 | 1,150,000 | 1,172,149 | |
Series 2016 A, 4.75% 7/15/36 (e) | 300,000 | 301,992 | |
Florida Dev. Fin. Corp. Healthcare Facility Rev.: | |||
(UF Health Jacksonville Proj.) Series 2022 A: | |||
4% 2/1/46 (Assured Guaranty Muni. Corp. Insured) | 500,000 | 500,346 | |
4% 2/1/52 | 300,000 | 280,837 | |
5% 2/1/52 | 1,305,000 | 1,373,715 | |
Series 2021 B, 4% 2/1/52 | 250,000 | 251,851 | |
Florida Dev. Fin. Corp. Rev. Bonds (Brightline Florida Passenger Rail Expansion Proj.) Series 2021 A, 0.3%, tender 7/1/22 (a)(c) | 250,000 | 249,717 | |
Florida Dev. Fin. Corp. Solid Waste Disp. Rev. Series 2021, 3% 6/1/32 (c) | 760,000 | 626,732 | |
Florida Dev. Fin. Corp. Surface T: | |||
Bonds (Virgin Trains U.S.A. Passenger Rail Proj.) Series 2019 A, 6.5%, tender 1/1/29 (a)(c)(e) | 790,000 | 762,554 | |
Series 2019 B, 7.375% 1/1/49 (c)(e) | 2,195,000 | 2,216,923 | |
Florida Gen. Oblig. Series 2019 A: | |||
4% 7/1/33 | 595,000 | 639,360 | |
4% 7/1/34 | 865,000 | 928,004 | |
Florida Higher Edl. Facilities Fing. Auth.: | |||
(Jacksonville Univ. Proj.) Series 2018 A1: | |||
4.5% 6/1/33 (e) | 590,000 | 589,234 | |
4.75% 6/1/38 (e) | 1,075,000 | 1,082,246 | |
5% 6/1/48 (e) | 2,995,000 | 3,029,002 | |
(Nova Southeastern Univ. Proj.) Series 2016: | |||
5% 4/1/30 | 160,000 | 170,899 | |
5% 4/1/31 | 375,000 | 399,759 | |
5% 4/1/32 | 245,000 | 260,833 | |
5% 4/1/36 | 140,000 | 148,050 | |
(Ringling College Proj.) Series 2017, 4% 3/1/47 | 250,000 | 241,808 | |
Florida State Dept. Trans. Fing. Corp. Series 2020: | |||
3% 7/1/32 | 800,000 | 797,818 | |
3% 7/1/33 | 800,000 | 791,536 | |
Fort Myers Util. Sys. Rev.: | |||
Series 2019 A, 4% 10/1/44 | 225,000 | 231,498 | |
Series 2020 B: | |||
5% 10/1/25 (Assured Guaranty Muni. Corp. Insured) | 1,000,000 | 1,089,436 | |
5% 10/1/26 (Assured Guaranty Muni. Corp. Insured) | 300,000 | 333,868 | |
Gainesville Utils. Sys. Rev. Series 2019 A: | |||
5% 10/1/44 | 525,000 | 582,419 | |
5% 10/1/47 | 750,000 | 829,084 | |
Greater Orlando Aviation Auth. Arpt. Facilities Rev.: | |||
Series 2017 A: | |||
5% 10/1/32 (c) | 295,000 | 317,979 | |
5% 10/1/47 (c) | 4,425,000 | 4,691,056 | |
5% 10/1/52 (c) | 440,000 | 465,092 | |
Series 2019 A: | |||
5% 10/1/29 (c) | 795,000 | 893,030 | |
5% 10/1/33 (c) | 500,000 | 553,857 | |
5% 10/1/34 (c) | 500,000 | 551,223 | |
5% 10/1/44 (c) | 1,625,000 | 1,766,325 | |
Hillsborough County Aviation Auth. Rev. Series 2022 A, 5% 10/1/29 (c) | 260,000 | 292,060 | |
Hillsborough County Indl. Dev. (Tampa Gen. Hosp. Proj.) Series 2020 A, 4% 8/1/50 | 2,400,000 | 2,293,802 | |
Hillsborough County Port District (Tampa Port Auth. Proj.) Series 2018 B: | |||
5% 6/1/30 (c) | 240,000 | 263,125 | |
5% 6/1/31 (c) | 255,000 | 278,640 | |
5% 6/1/46 (c) | 1,475,000 | 1,578,863 | |
Jacksonville Edl. Facilities Rev. (Jacksonville Univ. Proj.) Series 2018 B, 5% 6/1/53 (e) | 2,430,000 | 2,451,284 | |
Jacksonville Elec. Auth. Elec. Sys. Rev.: | |||
Series 2017 B, 4% 10/1/36 | 750,000 | 766,418 | |
Series 2020 A, 4% 10/1/37 | 1,475,000 | 1,515,111 | |
Jacksonville Sales Tax Rev. Series 2012 A, 5% 10/1/30 | 885,000 | 892,357 | |
Jacksonville Trans. Rev. Series 2012 A: | |||
5% 10/1/30 (Pre-Refunded to 10/1/22 @ 100) | 725,000 | 733,988 | |
5% 10/1/31 (Pre-Refunded to 10/1/22 @ 100) | 560,000 | 566,942 | |
Lakewood Ranch Stewardship District Spl. Assessment Rev.: | |||
(Lakewood Centre & NW Sector Projs.) Series 2018: | |||
5.5% 5/1/39 (e) | 170,000 | 176,519 | |
5.65% 5/1/48 (e) | 210,000 | 216,785 | |
(Lakewood Nat'l. and Polo Run Projs.) Series 2017: | |||
5.25% 5/1/37 | 510,000 | 523,283 | |
5.375% 5/1/47 | 1,060,000 | 1,077,172 | |
(Northeast Sector Proj. - Phase 1B) Series 2018: | |||
5.3% 5/1/39 | 140,000 | 143,988 | |
5.45% 5/1/48 | 245,000 | 250,086 | |
(Villages of Lakewood Ranch South Proj.) Series 2016: | |||
5% 5/1/36 | 250,000 | 253,752 | |
5.125% 5/1/46 | 500,000 | 504,106 | |
Laurel Road Cmnty. Dev. District Series 2021 A2, 3.125% 5/1/31 | 680,000 | 599,072 | |
Lee County Arpt. Rev.: | |||
Series 2021 A: | |||
5% 10/1/27 (c) | 1,475,000 | 1,616,232 | |
5% 10/1/29 (c) | 1,050,000 | 1,172,181 | |
5% 10/1/30 (c) | 500,000 | 562,675 | |
5% 10/1/32 (c) | 500,000 | 561,379 | |
Series 2021 B: | |||
4% 10/1/51 (c) | 570,000 | 556,129 | |
5% 10/1/34 (c) | 800,000 | 894,236 | |
5% 10/1/37 (c) | 1,000,000 | 1,113,608 | |
5% 10/1/39 (c) | 800,000 | 887,509 | |
Lee County Indl. Dev. Auth. Health Care Facilities Rev. (The Preserve Proj.) Series 2017 A: | |||
5.375% 12/1/32 (e) | 100,000 | 91,607 | |
5.625% 12/1/37 (e) | 220,000 | 197,218 | |
5.75% 12/1/52 (e) | 1,460,000 | 1,223,317 | |
Lee Memorial Health Sys. Hosp. Rev. Series 2019 A1: | |||
5% 4/1/39 | 405,000 | 436,295 | |
5% 4/1/44 | 2,145,000 | 2,293,546 | |
Martin County Health Facilities Series 2015, 5% 11/15/45 (Pre-Refunded to 11/15/24 @ 100) | 1,355,000 | 1,447,281 | |
Miami Beach Health Facilities Auth. Hosp. Rev. Series 2021 B, 4% 11/15/51 | 250,000 | 235,787 | |
Miami Parking Sys. Rev. Series 2019: | |||
4% 10/1/36 | 550,000 | 577,615 | |
4% 10/1/39 | 300,000 | 312,409 | |
Miami-Dade County: | |||
Series 2021 A1, 4% 10/1/45 (Assured Guaranty Muni. Corp. Insured) (c) | 3,750,000 | 3,777,539 | |
Series 2021 B1, 4% 10/1/46 (c) | 300,000 | 300,433 | |
Miami-Dade County Aviation Rev.: | |||
Series 2012 A: | |||
5% 10/1/28 (Pre-Refunded to 10/1/22 @ 100) (c) | 1,055,000 | 1,067,724 | |
5% 10/1/31 (Pre-Refunded to 10/1/22 @ 100) (c) | 1,475,000 | 1,492,790 | |
Series 2016 A, 5% 10/1/41 | 1,695,000 | 1,796,181 | |
Miami-Dade County Cap. Asset Acquisition Series 2009, 0% 10/1/37 | 415,000 | 230,322 | |
Miami-Dade County Edl. Facilities Rev.: | |||
Series 2015 A: | |||
5% 4/1/40 | 3,355,000 | 3,495,729 | |
5% 4/1/45 | 1,475,000 | 1,530,642 | |
Series 2018 A, 5% 4/1/53 | 2,950,000 | 3,151,439 | |
Miami-Dade County Gen. Oblig. (Bldg. Better Cmntys. Prog.) Series 2016 A, 4% 7/1/45 | 500,000 | 516,215 | |
Miami-Dade County Health Facilities Auth. Hosp. Rev.: | |||
(Nicklaus Children's Hosp. Proj.) Series 2017, 5% 8/1/42 | 350,000 | 369,868 | |
Series 2021 A: | |||
4% 8/1/46 | 250,000 | 254,008 | |
4% 8/1/51 | 2,000,000 | 1,984,971 | |
Miami-Dade County Transit Sales Surtax Rev. Series 2020 A, 4% 7/1/49 | 2,100,000 | 2,151,242 | |
Miami-Dade County Wtr. & Swr. Rev.: | |||
Series 2017 B, 5% 10/1/31 | 950,000 | 1,022,276 | |
Series 2017 C, 4% 10/1/44 | 950,000 | 973,486 | |
Series 2019 B: | |||
4% 10/1/49 | 3,260,000 | 3,339,375 | |
5% 10/1/44 | 1,825,000 | 2,058,784 | |
Series 2021: | |||
4% 10/1/44 | 250,000 | 260,440 | |
4% 10/1/48 | 2,840,000 | 2,923,920 | |
North Sumter County Util. Dependent District: | |||
(Sumter Wtr. Conservation Auth. Proj.) Series 2021, 5% 10/1/46 (Assured Guaranty Muni. Corp. Insured) | 1,050,000 | 1,205,870 | |
Series 2019, 5% 10/1/54 | 250,000 | 278,378 | |
Okaloosa County School Board Series 2022 A: | |||
5% 10/1/25 | 500,000 | 544,886 | |
5% 10/1/28 | 250,000 | 287,040 | |
5% 10/1/30 | 250,000 | 294,911 | |
Orange County Health Facilities Auth.: | |||
Series 2016 A, 5% 10/1/39 | 1,875,000 | 1,986,387 | |
Series 2019 A, 5% 10/1/47 | 1,030,000 | 1,097,047 | |
Orlando & Orange County Expressway Auth. Rev. Series 2013 A, 5% 7/1/32 (Pre-Refunded to 7/1/23 @ 100) | 445,000 | 461,210 | |
Osceola County Trans. Impt. Rev. Series 2019 A1, 5% 10/1/49 | 500,000 | 535,077 | |
OTC Cmnty. Dev. District Jacksonville Spl. Assessment Series 2007 A, 5.3% 5/1/38 | 155,000 | 155,051 | |
Palm Beach County Health Facilities Series 2018 A, 5% 11/15/45 | 760,000 | 806,701 | |
Palm Beach County Health Facilities Auth. Hosp. Rev. Series 2019, 4% 8/15/49 | 3,885,000 | 3,894,894 | |
Palm Beach County Health Facilities Auth. Rev.: | |||
(Sinai Residences of Boca Raton Proj.) Series 2014 A: | |||
7.25% 6/1/34 | 205,000 | 209,100 | |
7.5% 6/1/49 | 145,000 | 147,900 | |
Series 2022, 4.25% 6/1/56 | 1,230,000 | 1,126,751 | |
Polk County School District Sales Tax Rev. Series 2019, 5% 10/1/27 | 570,000 | 644,336 | |
Pompano Beach Rev. (John Knox Village Proj.) Series 2021 A, 4% 9/1/56 | 250,000 | 216,152 | |
Putnam County Dev. Auth. Poll. Cont. Rev. (Seminole Elec. Coop., Inc. Proj.) Series 2018 A, 5% 3/15/42 | 750,000 | 827,781 | |
Reedy Creek Impt. District Series 2013 A, 5% 6/1/26 (Pre-Refunded to 6/1/23 @ 100) | 885,000 | 915,027 | |
Sarasota County Health Facilities Auth. Retirement Facility Rev. (Village On The Isle Proj.) Series 2017 A: | |||
5% 1/1/37 | 195,000 | 197,860 | |
5% 1/1/42 | 225,000 | 226,914 | |
5% 1/1/47 | 450,000 | 451,259 | |
5% 1/1/52 | 950,000 | 950,730 | |
Sarasota County Pub. Hosp. District Hosp. Rev. (Sarasota Memorial Hosp. Proj.) Series 2018, 5% 7/1/41 | 2,950,000 | 3,168,456 | |
Sawyers Landing Cmnty. Dev. District Spl. Assessment Rev. Series 2021: | |||
4.125% 5/1/41 | 430,000 | 404,323 | |
4.25% 5/1/53 | 570,000 | 520,689 | |
Seminole County Indl. Dev. Auth. Retirement Facility Rev. (Legacy Pointe At UCF Proj.) Series 2019 A, 5.5% 11/15/49 | 945,000 | 880,557 | |
South Broward Hosp. District Rev.: | |||
Series 2018, 4% 5/1/48 | 1,500,000 | 1,496,171 | |
Series 2021 A, 3% 5/1/51 | 750,000 | 634,821 | |
South Miami Health Facilities Auth. Hosp. Rev. (Baptist Med. Ctr., FL. Proj.) Series 2017: | |||
5% 8/15/42 | 1,950,000 | 2,084,240 | |
5% 8/15/47 | 2,430,000 | 2,582,365 | |
Sumter County Indl. Dev. Auth. Hosp. Rev. (Central Florida Health Alliance Projs.) Series 2014 A, 5.25% 7/1/44 | 870,000 | 888,650 | |
Tallahassee Health Facilities Rev. (Tallahassee Memorial Healthcare, Inc. Proj.) Series 2016 A, 5% 12/1/55 | 250,000 | 258,440 | |
Tampa Non-Ad Valorem Impt. Rev. Series 2021 C, 3% 10/1/36 | 250,000 | 245,986 | |
Tampa Rev. (The Univ. of Tampa Proj.) Series 2015: | |||
5% 4/1/40 | 350,000 | 362,766 | |
5% 4/1/45 | 860,000 | 886,127 | |
Tampa-Hillsborough County Expressway Auth. Rev. Series 2017, 5% 7/1/47 | 4,425,000 | 4,882,021 | |
The Crossings at Fleming Island Cmnty. Dev. District Spl. Assessment Series 2014 A1, 4.5% 5/1/30 | 55,000 | 55,183 | |
Viera Stewardship District Spl. Assessment Rev.: | |||
(Village 2 - Series 2021 Proj.) Series 2021, 4% 5/1/53 | 290,000 | 252,752 | |
Series 2021, 3.125% 5/1/41 | 100,000 | 81,039 | |
Village Cmnty. Dev. District Series 2020, 3.5% 5/1/40 (Assured Guaranty Muni. Corp. Insured) | 750,000 | 759,355 | |
Village Cmnty. Dev. District # 10. Spl. Assessment Rev. Series 2014: | |||
5.125% 5/1/24 | 160,000 | 162,617 | |
5.75% 5/1/31 | 455,000 | 463,613 | |
6% 5/1/44 | 590,000 | 602,159 | |
West Palm Beach Cmnty. Redev. Agcy. Tax Increment Rev. Series 2019: | |||
5% 3/1/34 | 1,150,000 | 1,308,781 | |
5% 3/1/35 | 1,100,000 | 1,250,223 | |
Wildwood Util. Dependent District (South Sumter Util. Proj.) Series 2021, 5% 10/1/52 | 1,000,000 | 1,110,341 | |
TOTAL FLORIDA | 184,025,349 | ||
Georgia - 1.0% | |||
Atlanta Arpt. Passenger Facilities Charge Rev. Series 2019 D, 4% 7/1/37 (c) | 740,000 | 757,974 | |
Atlanta Arpt. Rev. Series 2014 B, 5% 1/1/33 | 740,000 | 767,341 | |
Atlanta Dev. Auth. Rev. (New Downtown Atlanta Stadium Proj.) Series 2015 A1: | |||
5.25% 7/1/40 | 670,000 | 711,376 | |
5.25% 7/1/44 | 3,245,000 | 3,434,973 | |
Atlanta Dev. Auth. Sr. Health Care Facilities Current Interest Rev. (Georgia Proton Treatment Ctr. Proj.) Series 2017 A1: | |||
6.5% 1/1/29 | 505,000 | 267,650 | |
6.75% 1/1/35 | 2,745,000 | 1,454,850 | |
7% 1/1/40 | 2,910,000 | 1,542,300 | |
Atlanta Urban Redev. Agcy.: | |||
(Atlanta Beltine Trail Completion Proj.) Series 2021, 2.375% 7/1/26 (e) | 140,000 | 135,092 | |
Series 2021 A: | |||
2.875% 7/1/31 (e) | 165,000 | 153,764 | |
3.625% 7/1/42 (e) | 340,000 | 315,457 | |
Series 2021, 3.875% 7/1/51 (e) | 430,000 | 393,558 | |
Bibb County Dev. Auth. Rev. Series 2011 A, 5.75% 7/1/40 (Assured Guaranty Muni. Corp. Insured) | 595,000 | 596,339 | |
Brookhaven Dev. Auth. Rev. Series 2019 A: | |||
4% 7/1/44 | 850,000 | 862,190 | |
4% 7/1/49 | 1,635,000 | 1,639,136 | |
5% 7/1/33 | 250,000 | 275,415 | |
5% 7/1/36 | 250,000 | 272,676 | |
5% 7/1/37 | 250,000 | 272,385 | |
Burke County Indl. Dev. Auth. Poll. Cont. Rev. Bonds (Oglethorpe Pwr. Corp. Vogtle Proj.) Series 2013 A, 1.5%, tender 2/3/25 (a) | 750,000 | 730,853 | |
Cedartown Polk County Hosp. Auth. (Polk Med. Ctr. Proj.) Series 2016, 5% 7/1/39 (Pre-Refunded to 7/1/26 @ 100) | 250,000 | 276,939 | |
Cobb County Kennestone Hosp. Auth. Rev.: | |||
(Wellstar Health Sys., Inc. Proj.) Series 2022 A, 4% 4/1/52 | 470,000 | 469,428 | |
Series 2022 A, 4% 4/1/52 | 750,000 | 747,792 | |
Coweta County Dev. Auth. Rev. (Piedmont Healthcare, Inc. Proj.) Series 2019 A, 5% 7/1/44 | 750,000 | 814,751 | |
Dalton Gen. Oblig. Series 2018, 5% 2/1/42 | 2,510,000 | 2,800,260 | |
Fulton County Dev. Auth. (Robert W. Woodruff Arts Ctr., Inc. Proj.) Series 2015 A, 5% 3/15/36 | 775,000 | 824,765 | |
Fulton County Dev. Auth. Hosp. Rev. (Wellstar Health Sys., Inc. Proj.) Series 2017 A: | |||
5% 4/1/37 | 390,000 | 419,222 | |
5% 4/1/42 | 1,455,000 | 1,555,925 | |
5% 4/1/47 | 605,000 | 643,483 | |
Fulton County Dev. Auth. Rev.: | |||
(Piedmont Healthcare, Inc. Proj.) Series 2019 A, 4% 7/1/49 | 3,245,000 | 3,263,175 | |
(Robert W. Woodruff Arts Ctr., Inc. Proj.) Series 2019 A, 5% 3/15/44 | 1,085,000 | 1,179,971 | |
Fulton County Residential Care Facilities: | |||
(Canterbury Court Proj.): | |||
Series 2019 A: | |||
5% 4/1/47 (e) | 485,000 | 480,878 | |
5% 4/1/54 (e) | 385,000 | 374,221 | |
Series 2021 A: | |||
4% 4/1/41 (e) | 420,000 | 349,263 | |
4% 4/1/51 (e) | 1,195,000 | 915,956 | |
(Lenbrook Square Foundation, Inc. Proj.) Series 2016, 5% 7/1/36 | 250,000 | 256,759 | |
Gainesville & Hall County Dev. Auth. Retirement Cmnty. Rev. Series 2016, 5% 11/15/33 | 590,000 | 627,689 | |
Gainesville & Hall County Hosp. Auth. Rev. (Northeast Georgia Health Sys., Inc. Proj.): | |||
Series 2014 A, 5.25% 8/15/49 (Pre-Refunded to 2/15/25 @ 100) | 3,995,000 | 4,337,794 | |
Series 2017 A: | |||
5% 2/15/42 | 760,000 | 802,968 | |
5% 2/15/45 | 775,000 | 815,865 | |
Series 2017 B, 5.5% 2/15/42 | 1,405,000 | 1,514,511 | |
Georgia Muni. Elec. Auth. Pwr. Rev.: | |||
Series 2015 A: | |||
5% 1/1/35 | 750,000 | 781,969 | |
5.5% 7/1/60 | 400,000 | 419,974 | |
Series 2018 A: | |||
5% 1/1/26 | 205,000 | 222,345 | |
5% 1/1/27 | 375,000 | 414,048 | |
5% 1/1/28 | 105,000 | 117,615 | |
Series 2018 HH: | |||
5% 1/1/26 | 1,070,000 | 1,160,533 | |
5% 1/1/27 | 605,000 | 667,998 | |
5% 1/1/28 | 630,000 | 705,688 | |
Series 2019 A: | |||
4% 1/1/49 | 400,000 | 402,794 | |
5% 1/1/49 | 5,250,000 | 5,654,494 | |
5% 1/1/49 | 3,240,000 | 3,462,235 | |
5% 1/1/56 | 800,000 | 850,911 | |
5% 1/1/56 | 400,000 | 426,573 | |
5% 1/1/59 | 1,500,000 | 1,595,457 | |
Series 2019 B, 5% 1/1/59 | 500,000 | 530,426 | |
Series 2019 B2, 4% 1/1/49 | 1,300,000 | 1,252,863 | |
Series 2020 A, 5% 1/1/50 | 500,000 | 545,813 | |
Series 2021 A: | |||
4% 1/1/51 | 650,000 | 651,508 | |
5% 1/1/63 | 250,000 | 268,454 | |
Georgia Port Auth. Rev. Series 2021, 4% 7/1/51 | 2,650,000 | 2,705,879 | |
Glynn-Brunswick Memorial Hosp. Auth. Rev. (Southeast Georgia Health Sys. Proj.) Series 2017, 5% 8/1/47 | 695,000 | 719,742 | |
Griffin-Spalding County Hosp. (Wellstar Health Sys., Inc. Proj.) Series 2017 A, 5% 4/1/37 | 440,000 | 472,969 | |
Hosp. Auth. of Savannah Auth. Rev. Series 2013 A, 5.5% 7/1/31 | 550,000 | 567,677 | |
Macon-Bibb County Urban Dev. Auh. Series 2017 A: | |||
5% 6/15/27 (e) | 50,000 | 50,823 | |
5.75% 6/15/37 (e) | 220,000 | 228,948 | |
5.875% 6/15/47 (e) | 350,000 | 361,592 | |
6% 6/15/52 (e) | 215,000 | 222,819 | |
Main Street Natural Gas, Inc.: | |||
Bonds: | |||
Series 2018 C, 4%, tender 12/1/23 (a) | 1,890,000 | 1,930,333 | |
Series 2019 B, 4%, tender 12/2/24 (a) | 825,000 | 850,969 | |
Series 2019 C, 4%, tender 9/1/26 (a) | 2,090,000 | 2,134,025 | |
Series 2021 A, 4%, tender 9/1/27 (a) | 4,445,000 | 4,618,226 | |
Series 2021 C, 4%, tender 12/1/28 (a) | 12,390,000 | 12,691,612 | |
Series 2019 A: | |||
4% 5/15/39 | 250,000 | 250,928 | |
5% 5/15/31 | 1,180,000 | 1,267,126 | |
5% 5/15/32 | 740,000 | 792,525 | |
5% 5/15/35 | 250,000 | 273,466 | |
5% 5/15/36 | 500,000 | 548,692 | |
5% 5/15/49 | 920,000 | 1,041,585 | |
Marietta Dev. Auth. Rev.: | |||
(Life Univ., Inc. Proj.) Series 2017 A: | |||
5% 11/1/27 (e) | 485,000 | 510,116 | |
5% 11/1/37 (e) | 395,000 | 407,829 | |
(Life Univ., Inc. Proj.) Series 2017 A, 5% 11/1/47 (e) | 1,550,000 | 1,580,842 | |
Monroe County Dev. Auth. Poll. Cont. Rev. Bonds (Oglethorpe Pwr. Corp. Scherer Proj.) Series 2013 A, 1.5%, tender 2/3/25 (a) | 250,000 | 243,618 | |
Paulding County Hosp. Auth. Rev. Series 2022 A, 5% 4/1/42 | 750,000 | 842,292 | |
Private Colleges & Univs. Auth. Rev.: | |||
(Mercer Univ. Proj.) Series 2015, 5% 10/1/45 | 250,000 | 260,843 | |
(The Savannah College of Art & Design Projs.) Series 2021: | |||
4% 4/1/41 | 250,000 | 251,076 | |
4% 4/1/44 | 1,500,000 | 1,503,596 | |
Series 2016 B, 5% 10/1/38 | 865,000 | 936,605 | |
Series 2019 B, 5% 9/1/48 | 600,000 | 670,332 | |
Series 2020 B: | |||
4% 9/1/40 | 2,250,000 | 2,320,030 | |
5% 9/1/25 | 250,000 | 271,447 | |
5% 9/1/30 | 1,000,000 | 1,176,767 | |
Savannah Econ. Dev. Auth. Rev. (The Marshes of Skidaway Island Proj.) Series 2013, 7.25% 1/1/44 (Pre-Refunded to 1/1/24 @ 100) | 1,345,000 | 1,454,783 | |
World Congress Ctr. Auth. Convention Ctr. Hotel Second Tier Rev.: | |||
Series 2021 A: | |||
2.375% 1/1/31 | 390,000 | 345,871 | |
4% 1/1/36 | 680,000 | 651,628 | |
4% 1/1/54 | 8,085,000 | 7,322,437 | |
Series 2021 B: | |||
3.625% 1/1/31 (e) | 225,000 | 208,348 | |
5% 1/1/36 (e) | 465,000 | 469,459 | |
5% 1/1/54 (e) | 3,445,000 | 3,304,145 | |
TOTAL GEORGIA | 114,648,642 | ||
Guam - 0.1% | |||
Guam Dept. of Ed. (John F. Kennedy High School Rfdg. And Energy Efficiency Proj.) Series 2020 A, 5% 2/1/40 | 250,000 | 255,078 | |
Guam Govt. Bus. Privilege Tax Rev.: | |||
Series 2015 D, 5% 11/15/39 | 600,000 | 633,256 | |
Series 2021 F: | |||
4% 1/1/42 | 705,000 | 639,856 | |
5% 1/1/30 | 140,000 | 148,580 | |
5% 1/1/31 | 140,000 | 148,909 | |
Series 2021, 4% 1/1/36 | 935,000 | 881,361 | |
Guam Int'l. Arpt. Auth. Rev. Series 2013 C, 6.125% 10/1/43 (Pre-Refunded to 10/1/23 @ 100) (c) | 500,000 | 527,556 | |
Guam Pwr. Auth. Rev.: | |||
Series 2012 A, 5% 10/1/30 (Assured Guaranty Muni. Corp. Insured) | 750,000 | 758,668 | |
Series 2022 A: | |||
5% 10/1/41 (f) | 1,000,000 | 1,071,846 | |
5% 10/1/44 (f) | 1,350,000 | 1,442,833 | |
Guam Wtrwks. Auth. Wtr. and Wastewtr. Sys. Rev.: | |||
Series 2013, 5.5% 7/1/43 (Pre-Refunded to 7/1/23 @ 100) | 250,000 | 259,891 | |
Series 2016, 5% 1/1/46 | 750,000 | 798,557 | |
Series 2017, 5% 7/1/40 | 250,000 | 269,960 | |
Series 2020 A, 5% 1/1/50 | 470,000 | 515,376 | |
Port Auth. of Guam Port Rev. Series 2018 A, 5% 7/1/48 | 250,000 | 268,731 | |
TOTAL GUAM | 8,620,458 | ||
Hawaii - 0.1% | |||
Hawaii Arpts. Sys. Rev.: | |||
Series 2018 A, 5% 7/1/43 (c) | 1,770,000 | 1,899,097 | |
Series 2022 A, 4% 7/1/40 (c) | 250,000 | 251,220 | |
Hawaii Dept. Budget & Fin. Spl. Purp. Sr. Living Rev. Series 2012: | |||
5.125% 11/15/32 | 185,000 | 187,376 | |
5.25% 11/15/37 | 295,000 | 298,694 | |
Hawaii Dept. of Budget & Fin. Spl. Purp. Rev.: | |||
Series 2013 A, 6.875% 7/1/43 | 300,000 | 305,838 | |
Series 2017 B, 4% 3/1/37 (c) | 250,000 | 251,949 | |
Series 2019, 3.5% 10/1/49 (c) | 1,400,000 | 1,205,084 | |
Hawaii Hwy. Rev. Series 2019 A, 5% 1/1/39 | 250,000 | 278,732 | |
Honolulu City & County Gen. Oblig. Series 2021 B, 5% 7/1/29 | 360,000 | 420,387 | |
Honolulu City and County Wastewtr. Sys. Series 2022 A, 4% 7/1/40 | 1,000,000 | 1,030,933 | |
Kauai County Hawaii Cmnty. Facilities D Series 2022: | |||
4.375% 5/15/42 | 250,000 | 239,549 | |
5% 5/15/51 | 500,000 | 519,055 | |
TOTAL HAWAII | 6,887,914 | ||
Idaho - 0.1% | |||
Idaho Health Facilities Auth. Rev.: | |||
(St. Luke's Health Sys. Proj.): | |||
Series 2014 A, 5% 3/1/39 | 2,575,000 | 2,646,913 | |
Series 2021 A, 4% 3/1/46 | 255,000 | 255,585 | |
Series 2021 A, 4% 3/1/51 | 515,000 | 512,024 | |
Idaho Hsg. & Fin. Assoc. Single Family Mtg. Series 2019 A: | |||
5% 7/15/36 | 1,650,000 | 1,878,128 | |
5% 7/15/37 | 1,250,000 | 1,421,354 | |
Idaho Hsg. and Fin. Assoc.: | |||
(Gem Prep: Meridian Proj.) Series 2022 A, 4% 5/1/57 | 250,000 | 231,116 | |
(Sage Int'l. School of Boise Proj.) Series 2020 A, 4% 5/1/50 | 1,075,000 | 1,087,983 | |
Pwr. County Idaho Indl. Dev. Corp. Solid Waste Disp. Rev. Series 1999, 6.45% 8/1/32 (c) | 640,000 | 642,462 | |
Spring Valley Cmnty. Infrastructure District No. 1 Eagle Spl. Assessment Series 2021, 3.75% 9/1/51 (e) | 3,027,000 | 2,351,934 | |
TOTAL IDAHO | 11,027,499 | ||
Illinois - 2.0% | |||
Bridgeview Fin. Corp. Series 2017 A, 5% 12/1/42 | 250,000 | 204,438 | |
Bridgeview Gen. Oblig. Series 2015 A, 5.625% 12/1/41 | 250,000 | 251,998 | |
Chicago Board of Ed.: | |||
Series 1998 B, 0% 12/1/30 | 250,000 | 178,599 | |
Series 1998 B1: | |||
0% 12/1/27 (FGIC Insured) | 2,180,000 | 1,783,172 | |
0% 12/1/29 (Assured Guaranty Muni. Corp. Insured) | 1,995,000 | 1,548,651 | |
Series 1999 A: | |||
0% 12/1/23 (FGIC Insured) | 280,000 | 267,897 | |
0% 12/1/26 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 2,000,000 | 1,707,306 | |
0% 12/1/27 (FGIC Insured) | 250,000 | 204,492 | |
5.5% 12/1/26 (Assured Guaranty Corp. Insured) (FGIC Insured) | 500,000 | 547,412 | |
Series 2016 A, 7% 12/1/44 | 300,000 | 329,101 | |
Series 2016, 6% 4/1/46 | 2,725,000 | 2,918,830 | |
Series 2017 A, 7% 12/1/46 (e) | 300,000 | 339,438 | |
Series 2017 B, 7% 12/1/42 (e) | 300,000 | 341,323 | |
Series 2017 G, 5% 12/1/34 | 300,000 | 313,519 | |
Series 2017 H: | |||
5% 12/1/36 | 300,000 | 312,991 | |
5% 12/1/46 | 300,000 | 309,417 | |
Series 2017: | |||
5% 4/1/42 | 275,000 | 281,324 | |
5% 4/1/46 | 280,000 | 285,046 | |
Series 2018 A: | |||
5% 12/1/24 (Assured Guaranty Muni. Corp. Insured) | 295,000 | 313,674 | |
5% 12/1/27 (Assured Guaranty Muni. Corp. Insured) | 950,000 | 1,057,915 | |
5% 12/1/34 (Assured Guaranty Muni. Corp. Insured) | 100,000 | 110,413 | |
5% 12/1/35 (Assured Guaranty Muni. Corp. Insured) | 100,000 | 110,299 | |
Series 2018 C, 5% 12/1/46 | 300,000 | 310,731 | |
Series 2018, 5% 4/1/46 | 300,000 | 306,081 | |
Series 2021 A: | |||
5% 12/1/34 | 300,000 | 319,061 | |
5% 12/1/36 | 300,000 | 318,284 | |
5% 12/1/40 | 300,000 | 316,514 | |
5% 12/1/41 | 500,000 | 526,781 | |
Series 2021 B, 5% 12/1/30 | 300,000 | 323,074 | |
Series 2022 A, 5% 12/1/43 | 2,000,000 | 2,107,897 | |
Series 2022 B, 4% 12/1/41 | 300,000 | 289,488 | |
Chicago Gen. Oblig.: | |||
(Cap. Impt. Proj.) Series 1999, 0% 1/1/27 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 1,405,000 | 1,193,968 | |
Series 2005 D, 5.5% 1/1/40 | 1,690,000 | 1,756,333 | |
Series 2007 E, 5.5% 1/1/35 | 210,000 | 218,621 | |
Series 2014 A: | |||
5% 1/1/35 | 250,000 | 253,708 | |
5.25% 1/1/29 | 475,000 | 486,278 | |
Series 2017 A: | |||
5.75% 1/1/34 | 250,000 | 269,490 | |
6% 1/1/38 | 5,575,000 | 6,074,565 | |
6% 1/1/38 | 750,000 | 822,464 | |
Series 2019 A: | |||
5% 1/1/39 | 435,000 | 456,994 | |
5% 1/1/40 | 670,000 | 703,028 | |
5% 1/1/44 | 250,000 | 260,823 | |
5.5% 1/1/35 | 565,000 | 614,018 | |
5.5% 1/1/49 | 2,690,000 | 2,875,558 | |
Series 2021 A: | |||
4% 1/1/36 | 1,250,000 | 1,223,583 | |
5% 1/1/29 | 1,670,000 | 1,791,283 | |
5% 1/1/34 | 1,990,000 | 2,107,867 | |
Chicago Metropolitan Wtr. Reclamation District of Greater Chicago Series 2021 C: | |||
5% 12/1/30 | 250,000 | 289,750 | |
5% 12/1/32 | 310,000 | 361,889 | |
Chicago Midway Arpt. Rev.: | |||
Series 2014 A: | |||
5% 1/1/28 (c) | 475,000 | 490,081 | |
5% 1/1/33 (c) | 1,060,000 | 1,091,177 | |
5% 1/1/34 (c) | 705,000 | 725,723 | |
Series 2016 B, 5% 1/1/46 | 660,000 | 689,842 | |
Chicago Motor Fuel Tax Rev. Series 2013, 5% 1/1/33 (Pre-Refunded to 1/1/24 @ 100) | 750,000 | 787,215 | |
Chicago O'Hare Int'l. Arpt. Rev.: | |||
Series 2013, 5.75% 1/1/38 | 1,690,000 | 1,712,264 | |
Series 2015 A: | |||
5% 1/1/27 (c) | 1,475,000 | 1,553,894 | |
5% 1/1/32 (c) | 1,450,000 | 1,519,827 | |
Series 2015 B, 5% 1/1/28 | 635,000 | 671,349 | |
Series 2016 D: | |||
5% 1/1/47 | 1,100,000 | 1,171,439 | |
5.25% 1/1/42 | 470,000 | 508,061 | |
Series 2017 D, 5% 1/1/47 (c) | 500,000 | 521,484 | |
Series 2018 A: | |||
5% 1/1/37 (c) | 400,000 | 425,122 | |
5% 1/1/38 (c) | 70,000 | 74,292 | |
5% 1/1/48 (c) | 885,000 | 927,083 | |
Series 2018 B, 4% 1/1/53 (Assured Guaranty Muni. Corp. Insured) | 1,050,000 | 1,046,888 | |
Series 2020 A: | |||
4% 1/1/37 | 1,100,000 | 1,124,696 | |
4% 1/1/37 (Assured Guaranty Muni. Corp. Insured) | 1,500,000 | 1,533,677 | |
Chicago O'Hare Int'l. Arpt. Spl. Facilities Rev. Series 2018, 5% 7/1/48 (c) | 250,000 | 261,229 | |
Chicago Park District Gen. Oblig.: | |||
Series 2013 A, 5.75% 1/1/38 (Pre-Refunded to 1/1/24 @ 100) | 500,000 | 531,031 | |
Series 2020 C, 4% 1/1/38 | 250,000 | 254,865 | |
Series 2020 D, 4% 1/1/34 | 750,000 | 772,308 | |
Chicago Transit Auth.: | |||
Series 2014, 5.25% 12/1/49 | 1,000,000 | 1,034,035 | |
Series 2017, 5% 12/1/46 | 250,000 | 263,661 | |
Series 2020 A: | |||
4% 12/1/50 | 4,430,000 | 4,495,620 | |
4% 12/1/55 | 360,000 | 358,893 | |
5% 12/1/45 | 2,000,000 | 2,168,223 | |
Series 2022, 5% 12/1/46 | 5,000,000 | 5,679,114 | |
Chicago Wastewtr. Transmission Rev.: | |||
Series 2008 C: | |||
5% 1/1/31 | 415,000 | 436,595 | |
5% 1/1/33 | 140,000 | 146,944 | |
5% 1/1/34 | 140,000 | 146,691 | |
5% 1/1/35 | 140,000 | 146,427 | |
5% 1/1/39 | 210,000 | 218,925 | |
Series 2014, 5% 1/1/44 | 1,250,000 | 1,267,638 | |
Series 2017 A, 5.25% 1/1/42 (Assured Guaranty Muni. Corp. Insured) | 500,000 | 542,038 | |
Series 2017 B: | |||
5% 1/1/30 | 850,000 | 926,322 | |
5% 1/1/33 | 250,000 | 271,383 | |
Chicago Wtr. Rev.: | |||
Series 2004, 5% 11/1/25 | 280,000 | 301,962 | |
Series 2012, 4% 11/1/37 | 400,000 | 401,145 | |
Series 2014, 5% 11/1/44 | 370,000 | 378,190 | |
Series 2016 A1, 5% 11/1/27 | 190,000 | 207,326 | |
Series 2017 2: | |||
5% 11/1/30 (Assured Guaranty Muni. Corp. Insured) | 500,000 | 550,591 | |
5% 11/1/32 (Assured Guaranty Muni. Corp. Insured) | 750,000 | 822,767 | |
5% 11/1/33 (Assured Guaranty Muni. Corp. Insured) | 950,000 | 1,040,609 | |
5% 11/1/38 (Assured Guaranty Muni. Corp. Insured) | 500,000 | 544,844 | |
Series 2017: | |||
5.25% 11/1/33 (Assured Guaranty Muni. Corp. Insured) | 750,000 | 830,819 | |
5.25% 11/1/35 (Assured Guaranty Muni. Corp. Insured) | 500,000 | 552,698 | |
Cmnty. High School District # 212 Series 2016 C: | |||
5% 12/1/30 | 500,000 | 535,296 | |
5% 12/1/31 | 250,000 | 267,648 | |
Cook County Cmnty. College District Series 2016, 5.5% 12/1/38 | 750,000 | 786,224 | |
Cook County Gen. Oblig. Series 2012 C: | |||
5% 11/15/29 | 520,000 | 526,945 | |
5% 11/15/33 | 810,000 | 820,339 | |
Galesburg Rev. (Knox College Proj.) Series 2021 A, 4% 10/1/46 | 250,000 | 243,876 | |
Hoffman Estates Park District Series 2020 A, 5% 12/1/30 | 1,190,000 | 1,349,174 | |
Illinois Dev. Fin. Auth. Envir. Facilities Rev. Series 2002, 8% 6/1/32 (c) | 245,000 | 244,962 | |
Illinois Fin. Auth.: | |||
Series 2021 A: | |||
4% 8/15/39 | 640,000 | 642,508 | |
5% 10/1/25 | 750,000 | 817,329 | |
Series 2022 A, 5% 8/15/47 | 2,075,000 | 2,339,221 | |
Illinois Fin. Auth. Health Svcs. Facility Lease Rev. (Provident Group - UIC Surgery Ctr. LLC - Univ. of Illinois Health Svcs. Facility Proj.) Series 2020, 4% 10/1/50 | 550,000 | 525,588 | |
Illinois Fin. Auth. Rev.: | |||
(Franciscan Cmntys. Proj.) Series 2017 A, 5% 5/15/37 | 545,000 | 566,773 | |
(Franciscan Communitites Proj.) Series 2017 A, 5% 5/15/47 | 220,000 | 226,206 | |
(Presence Health Proj.) Series 2016 C, 5% 2/15/36 | 190,000 | 204,525 | |
(The Admiral at the Lake Proj.) Series 2017: | |||
5% 5/15/33 | 1,910,000 | 1,769,787 | |
5.125% 5/15/38 | 1,550,000 | 1,401,598 | |
5.25% 5/15/42 | 280,000 | 250,069 | |
5.25% 5/15/54 | 1,690,000 | 1,414,903 | |
Series 2013 A: | |||
5.125% 5/15/43 | 185,000 | 186,526 | |
5.125% 5/15/43 (Pre-Refunded to 5/15/23 @ 100) | 25,000 | 25,799 | |
5.25% 5/15/47 | 860,000 | 867,447 | |
Series 2013 A, 5.25% 5/15/47 (Pre-Refunded to 5/15/23 @ 100) | 125,000 | 129,141 | |
Series 2015 A, 5% 12/1/37 | 250,000 | 262,934 | |
Series 2015 C: | |||
5% 8/15/35 | 705,000 | 739,466 | |
5% 8/15/44 | 705,000 | 732,902 | |
Series 2015: | |||
5.25% 5/15/45 (Pre-Refunded to 5/15/25 @ 100) | 170,000 | 184,736 | |
5.25% 5/15/50 (Pre-Refunded to 5/15/25 @ 100) | 455,000 | 494,441 | |
6.125% 11/15/35 | 465,000 | 488,296 | |
6.375% 11/15/43 | 565,000 | 592,805 | |
Series 2016 C: | |||
5% 2/15/34 | 130,000 | 140,179 | |
5% 2/15/41 | 545,000 | 581,326 | |
Series 2016: | |||
5% 5/15/36 | 195,000 | 197,645 | |
5% 5/15/40 | 175,000 | 176,995 | |
Series 2017: | |||
5% 2/15/32 | 160,000 | 164,370 | |
5% 2/15/37 | 300,000 | 205,794 | |
5.125% 2/15/45 | 300,000 | 197,388 | |
5.25% 2/15/37 | 115,000 | 118,513 | |
5.25% 2/15/47 | 575,000 | 585,493 | |
Illinois Fin. Auth. Student Hsg. and Academic Facility Rev. (CHF - Chicago, LLC - Univ. of Illinois At Chicago Proj.) Series 2017 A: | |||
5% 2/15/47 | 695,000 | 700,329 | |
5% 2/15/50 | 125,000 | 125,787 | |
Illinois Gen. Oblig.: | |||
Series 2012 A, 5% 1/1/31 | 250,000 | 250,429 | |
Series 2013 A, 5% 4/1/38 | 205,000 | 206,257 | |
Series 2013, 5.5% 7/1/38 | 2,520,000 | 2,578,585 | |
Series 2014 February: | |||
5.25% 2/1/33 | 745,000 | 760,549 | |
5.25% 2/1/34 | 435,000 | 443,661 | |
Series 2014 May, 5% 5/1/34 | 280,000 | 284,403 | |
Series 2014: | |||
5% 5/1/36 | 115,000 | 117,117 | |
5% 2/1/39 | 485,000 | 490,680 | |
5.25% 2/1/30 | 425,000 | 437,382 | |
5.25% 2/1/32 | 1,225,000 | 1,255,093 | |
Series 2016: | |||
4% 6/1/41 | 1,550,000 | 1,519,648 | |
5% 2/1/27 | 500,000 | 544,466 | |
5% 1/1/28 | 750,000 | 798,116 | |
5% 2/1/28 | 1,575,000 | 1,699,251 | |
5% 11/1/36 | 420,000 | 433,473 | |
Series 2017 A: | |||
4% 12/1/33 | 240,000 | 235,477 | |
4.5% 12/1/41 | 250,000 | 250,362 | |
Series 2017 B: | |||
5% 12/1/23 | 1,330,000 | 1,382,924 | |
5% 12/1/27 | 250,000 | 273,532 | |
Series 2017 C, 5% 11/1/29 | 4,605,000 | 4,949,046 | |
Series 2017 D: | |||
3.25% 11/1/26 | 250,000 | 253,508 | |
5% 11/1/24 | 800,000 | 844,640 | |
5% 11/1/25 | 140,000 | 150,067 | |
5% 11/1/26 | 2,710,000 | 2,943,124 | |
5% 11/1/27 | 1,130,000 | 1,236,220 | |
5% 11/1/28 | 1,805,000 | 1,960,068 | |
Series 2018 A: | |||
5% 10/1/25 | 235,000 | 251,578 | |
5% 10/1/31 | 645,000 | 687,276 | |
6% 5/1/27 | 975,000 | 1,108,140 | |
Series 2018 B: | |||
5% 10/1/31 | 765,000 | 815,142 | |
5% 10/1/32 | 795,000 | 840,371 | |
Series 2019 B: | |||
4% 11/1/33 | 1,475,000 | 1,447,667 | |
4% 11/1/39 | 2,530,000 | 2,407,711 | |
Series 2019 C, 4% 11/1/41 | 500,000 | 469,883 | |
Series 2020 C: | |||
4% 10/1/40 | 500,000 | 473,181 | |
4% 10/1/41 | 250,000 | 235,040 | |
4% 10/1/42 | 250,000 | 233,776 | |
4.25% 10/1/45 | 500,000 | 476,576 | |
Series 2020: | |||
5.375% 5/1/23 | 155,000 | 159,695 | |
5.5% 5/1/24 | 140,000 | 147,868 | |
5.5% 5/1/25 | 655,000 | 705,747 | |
5.5% 5/1/26 | 475,000 | 521,536 | |
5.5% 5/1/39 | 3,400,000 | 3,680,631 | |
5.75% 5/1/45 | 900,000 | 982,305 | |
Series 2021 A: | |||
4% 3/1/41 | 1,110,000 | 1,045,528 | |
5% 3/1/24 | 135,000 | 140,973 | |
5% 3/1/25 | 365,000 | 387,301 | |
5% 3/1/35 | 925,000 | 981,923 | |
Series 2021 B: | |||
4% 12/1/39 | 1,500,000 | 1,426,430 | |
5% 3/1/24 | 185,000 | 193,185 | |
Series 2022 A: | |||
5.5% 3/1/42 (f) | 1,300,000 | 1,426,313 | |
5.5% 3/1/47 (f) | 5,250,000 | 5,722,499 | |
Illinois Reg'l. Trans. Auth.: | |||
Series 2003 A, 6% 7/1/33 (FGIC Insured) | 1,645,000 | 1,971,113 | |
Series 2003 B, 5.5% 6/1/27 | 1,360,000 | 1,486,501 | |
Illinois Sales Tax Rev.: | |||
Series 2002, 6% 6/15/26 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 240,000 | 268,735 | |
Series 2021 C, 5% 6/15/30 | 750,000 | 826,185 | |
Illinois Sports Facilities Auth. Series 2014, 5.25% 6/15/31 (Assured Guaranty Muni. Corp. Insured) | 750,000 | 784,862 | |
Illinois Toll Hwy. Auth. Toll Hwy. Rev. Series 2014 C, 5% 1/1/37 | 1,475,000 | 1,539,931 | |
Metropolitan Pier & Exposition: | |||
(McCormick Place Expansion Proj.): | |||
Series 2002 A: | |||
0% 12/15/30 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 540,000 | 392,600 | |
0% 12/15/32 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 500,000 | 331,255 | |
0% 6/15/36 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 5,800,000 | 3,281,523 | |
Series 2010 B1, 0% 6/15/44 (Assured Guaranty Muni. Corp. Insured) | 2,650,000 | 1,056,506 | |
Series 2012 B, 0% 12/15/51 | 1,300,000 | 335,019 | |
Series A: | |||
0% 6/15/34 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 1,100,000 | 681,131 | |
0% 6/15/37 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 400,000 | 216,079 | |
0% 12/15/37 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 1,500,000 | 792,666 | |
Series 2002 A: | |||
0% 6/15/33 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 600,000 | 388,717 | |
0% 12/15/33 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 11,715,000 | 7,420,723 | |
Series 2002, 0% 12/15/36 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 750,000 | 414,646 | |
Series 2012 A, 5% 6/15/42 | 250,000 | 250,302 | |
Series 2012 B, 0% 12/15/50 | 800,000 | 217,212 | |
Series 2017 A: | |||
0% 12/15/56 | 500,000 | 100,274 | |
5% 6/15/57 | 1,960,000 | 2,076,403 | |
Series 2017 B: | |||
0% 12/15/54 | 400,000 | 88,603 | |
0% 12/15/54 (Build America Mutual Assurance Insured) | 4,545,000 | 1,100,544 | |
0% 12/15/56 (Assured Guaranty Muni. Corp. Insured) | 800,000 | 177,543 | |
Series 2020 A: | |||
4% 6/15/50 | 470,000 | 451,390 | |
4% 6/15/50 | 825,000 | 778,472 | |
5% 12/15/45 | 105,000 | 110,585 | |
5% 6/15/50 | 675,000 | 699,856 | |
5% 6/15/50 | 4,915,000 | 5,151,584 | |
Series 2022 A: | |||
0% 12/15/35 | 150,000 | 85,676 | |
0% 6/15/36 | 625,000 | 348,783 | |
0% 6/15/37 | 200,000 | 106,460 | |
0% 12/15/38 | 420,000 | 208,074 | |
0% 6/15/39 | 455,000 | 219,381 | |
0% 6/15/40 | 485,000 | 222,374 | |
0% 6/15/41 | 160,000 | 69,726 | |
4% 12/15/42 | 805,000 | 784,090 | |
4% 12/15/42 | 1,720,000 | 1,696,255 | |
4% 12/15/47 | 3,510,000 | 3,339,658 | |
4% 6/15/52 | 1,600,000 | 1,499,402 | |
4% 6/15/52 | 415,000 | 396,252 | |
Railsplitter Tobacco Settlement Auth. Rev. Series 2017, 5% 6/1/27 | 930,000 | 1,003,138 | |
Rock Island County Pub. Bldg. Commission Series 2016, 5% 12/1/36 (Assured Guaranty Muni. Corp. Insured) | 250,000 | 276,322 | |
Rosemont Gen. Oblig. Series 2016 A, 5% 12/1/40 (Assured Guaranty Muni. Corp. Insured) | 900,000 | 988,329 | |
Sales Tax Securitization Corp.: | |||
Series 2017 A, 5% 1/1/28 | 500,000 | 554,595 | |
Series 2018 A: | |||
4% 1/1/48 | 1,750,000 | 1,757,280 | |
5% 1/1/40 | 840,000 | 910,857 | |
Series 2018 C: | |||
5.25% 1/1/35 | 1,000,000 | 1,117,407 | |
5.25% 1/1/43 | 1,000,000 | 1,108,172 | |
Sangamon County Wtr. Reclamation District Series 2019 A: | |||
4% 1/1/44 | 250,000 | 255,704 | |
4% 1/1/49 | 250,000 | 253,488 | |
Schaumburg Village Gen. Oblig. Series 2013 A, 4% 12/1/41 | 3,550,000 | 3,579,004 | |
Southwestern Dev. Auth. Heath Facility Rev. Series 2013, 7.125% 11/1/43 (Pre-Refunded to 11/1/23 @ 100) | 470,000 | 504,462 | |
Univ. of Illinois Rev. Series 2021 A: | |||
3% 4/1/35 | 500,000 | 459,681 | |
3% 4/1/40 | 250,000 | 217,636 | |
Upper Illinois River Valley Dev. Auth. Edl. Facility Rev. (Cambridge Lakes Learning Ctr. Proj.) Series 2017 A: | |||
5% 12/1/32 (e) | 590,000 | 591,685 | |
5.25% 12/1/47 (e) | 1,135,000 | 1,106,972 | |
Upper Illinois River Valley Dev. Auth. Rev. Series 2018, 5% 12/1/48 | 400,000 | 424,432 | |
Village of Oswego Gen. Oblig. Series 2016, 5% 12/15/33 | 925,000 | 1,009,307 | |
Yorkville Svc. Area 2004-106 Tax Series 2016, 5% 3/1/32 (Assured Guaranty Muni. Corp. Insured) | 500,000 | 533,651 | |
TOTAL ILLINOIS | 217,539,242 | ||
Indiana - 0.3% | |||
East Chicago Solid Waste Disp. Rev. Series 1998, 5.5% 9/1/28 (c) | 245,000 | 238,051 | |
Indiana Dev. Fin. Auth. Envir. Rev. (United States Steel Corp. Proj.) Series 2021 A, 4.125% 12/1/26 | 1,945,000 | 1,954,497 | |
Indiana Fin. Auth. Econ. Dev. Rev. Bonds (Republic Svcs., Inc. Proj.) Series A, 1.05%, tender 6/1/22 (a)(c) | 1,320,000 | 1,320,000 | |
Indiana Fin. Auth. Exempt Facilities Rev. (Resources Polyflow Indiana Proj.) Series 2019, 7% 3/1/39 (c)(e) | 350,000 | 292,067 | |
Indiana Fin. Auth. Midwestern Disaster Relief Rev.: | |||
(Ohio Valley Elec. Corp. Proj.) Series 2012 A: | |||
5% 6/1/32 | 420,000 | 420,637 | |
5% 6/1/39 | 1,745,000 | 1,747,633 | |
Series 2012 A, 4.25% 11/1/30 (f) | 925,000 | 947,662 | |
Indiana Fin. Auth. Poll. Cont. Rev. Series 2010 B, 2.5% 11/1/30 | 385,000 | 342,728 | |
Indiana Fin. Auth. Rev.: | |||
(Greencroft Obligated Group) Series 2013 A, 7% 11/15/43 | 1,125,000 | 1,205,207 | |
(Ohio River Bridges East End Crossing Proj.) Series 2013 A: | |||
5% 7/1/48 (Pre-Refunded to 7/1/23 @ 100) (c) | 3,330,000 | 3,444,008 | |
5.25% 1/1/51 (Pre-Refunded to 7/1/23 @ 100) (c) | 3,715,000 | 3,852,082 | |
(Stadium Proj.) Series 2022 A, 5% 2/1/29 | 900,000 | 1,034,881 | |
Series 2015, 5% 3/1/36 | 1,265,000 | 1,313,073 | |
Series 2018 A: | |||
5% 11/15/48 | 250,000 | 254,963 | |
5% 11/15/53 | 250,000 | 254,266 | |
Series 2021 A, 4% 11/15/43 | 550,000 | 490,101 | |
Indiana Univ. Lease Purchase Oblig. Series 2020 A: | |||
4% 6/1/32 | 500,000 | 539,423 | |
4% 6/1/38 | 500,000 | 530,461 | |
4% 6/1/39 | 500,000 | 527,732 | |
Indianapolis Local Pub. Impt. Series 2021 A:�� | |||
4% 6/1/37 (Assured Guaranty Muni. Corp. Insured) | 2,100,000 | 2,200,645 | |
4% 6/1/38 (Assured Guaranty Muni. Corp. Insured) | 750,000 | 780,914 | |
Shoals Exempt Facilities Rev. (Nat'l. Gypsum Co. Proj.) Series 2013, 7.25% 11/1/43 (c) | 255,000 | 263,251 | |
Valparaiso Exempt Facilities Rev. (Pratt Paper (IN), LLC Proj.) Series 2013: | |||
6.75% 1/1/34 (c) | 1,630,000 | 1,704,555 | |
7% 1/1/44 (c) | 2,025,000 | 2,124,682 | |
Whiting Envir. Facilities Rev. Bonds (BP Products North America, Inc. Proj.) Series 2019 A, 5%, tender 6/5/26 (a)(c) | 1,600,000 | 1,708,155 | |
TOTAL INDIANA | 29,491,674 | ||
Iowa - 0.1% | |||
Coralville Gen. Oblig.: | |||
Series 2017 B, 4.25% 5/1/37 | 35,000 | 35,000 | |
Series 2022 C, 5% 5/1/42 | 200,000 | 201,701 | |
Iowa Fin. Auth. Midwestern Disaster Area Rev.: | |||
(Iowa Fertilizer Co. Proj.) Series 2022, 5% 12/1/50 | 500,000 | 528,452 | |
Bonds (Iowa Fertilizer Co. Proj.) Series 2022, 5%, tender 12/1/42 (a) | 880,000 | 941,582 | |
Iowa Fin. Auth. Rev.: | |||
Series 2019 A1, 4% 5/15/55 | 250,000 | 197,339 | |
Series 2020 A, 5% 8/1/39 | 550,000 | 642,627 | |
Series 2021 A: | |||
5% 8/1/39 | 500,000 | 593,318 | |
5% 8/1/40 | 500,000 | 592,320 | |
Iowa Higher Ed. Ln. Auth. Rev. (Des Moines Univ. Proj.) Series 2020, 4% 10/1/50 | 250,000 | 235,377 | |
Iowa State Board of Regents Hosp. Rev.: | |||
Series 2022 A, 4% 9/1/36 | 250,000 | 259,730 | |
Series 2022 B: | |||
3% 9/1/56 | 340,000 | 278,561 | |
3% 9/1/61 | 250,000 | 197,919 | |
Pefa, Inc. Iowa Gas Proj. Rev. Bonds Series 2019, 5%, tender 9/1/26 (a) | 2,640,000 | 2,834,977 | |
Tobacco Settlement Auth. Tobacco Settlement Rev.: | |||
Series 2021 B1, 4% 6/1/49 | 250,000 | 247,959 | |
Series 2021 B2, 0% 6/1/65 | 1,735,000 | 239,588 | |
Waterloo Cmnty. School District Series 2020, 4% 7/1/29 (Assured Guaranty Muni. Corp. Insured) | 305,000 | 330,829 | |
TOTAL IOWA | 8,357,279 | ||
Kansas - 0.0% | |||
Lenexa Health Care Facilities Rev. Series 2018 A: | |||
5% 5/15/30 | 175,000 | 180,628 | |
5% 5/15/32 | 160,000 | 164,302 | |
5% 5/15/39 | 165,000 | 167,540 | |
Univ. of Kansas Hosp. Auth. Health Facilities Rev.: | |||
Series 2015: | |||
5% 9/1/34 | 500,000 | 525,058 | |
5% 9/1/35 | 250,000 | 261,984 | |
Series 2019 A, 5% 9/1/48 | 1,770,000 | 1,893,554 | |
Series 2019 B, 5% 3/1/31 | 495,000 | 556,015 | |
Wyandotte County-Kansas City Unified Govt. Sales Tax Spl. Oblig. Rev.: | |||
(Vacation Village Proj. Area 4 - Major Multi-Sport Athletic Complex Proj.) Series 2015, 0% 9/1/34 (e) | 1,500,000 | 442,762 | |
Series 2015 A, 5.75% 9/1/32 | 780,000 | 723,422 | |
TOTAL KANSAS | 4,915,265 | ||
Kentucky - 0.3% | |||
Ashland Med. Ctr. Rev. Series 2019: | |||
4% 2/1/33 | 170,000 | 172,686 | |
4% 2/1/35 | 135,000 | 136,016 | |
4% 2/1/38 | 195,000 | 195,210 | |
5% 2/1/32 | 95,000 | 104,319 | |
Campbellsville Indl. Bldg. Rev. (Capmpbellsville Univ. Proj.) Series 2017, 5% 3/1/39 | 250,000 | 232,274 | |
Columbia Edl. Dev. Rev. (Lindsey Wilson College Proj.) Series 2019, 5% 12/1/33 | 250,000 | 273,228 | |
Econ. Dev. Fin. Auth. Lousiville Arena Proj. Rev.: | |||
Louisville Arena Auth., Inc. Series 2017 A, 5% 12/1/47 (Assured Guaranty Muni. Corp. Insured) | 615,000 | 623,337 | |
Series 2017 A, 5% 12/1/45 (Assured Guaranty Muni. Corp. Insured) | 450,000 | 502,918 | |
Fayette County School District Fin. Corp. Series 2018 A, 4% 5/1/38 | 500,000 | 513,984 | |
Henderson Rev. (Pratt Paper (KY), LLC Proj.): | |||
Series 2022 A, 4.7% 1/1/52 (c)(e) | 700,000 | 702,656 | |
Series 2022 B: | |||
4.45% 1/1/42 (c)(e) | 195,000 | 195,446 | |
4.7% 1/1/52 (c)(e) | 1,535,000 | 1,540,823 | |
Kentucky Econ. Dev. Fin. Auth.: | |||
(Masonic Home Independent Living II, Inc. - The Meadow Proj. and Grove Pointe Proj.) Series 2016 A: | |||
5% 5/15/46 | 995,000 | 922,939 | |
5% 5/15/51 | 520,000 | 475,529 | |
(Next Generation Kentucky Information Hwy. Proj.) Series 2015 A, 5% 7/1/32 | 250,000 | 262,462 | |
Series 2019 A1, 5% 8/1/44 | 250,000 | 260,882 | |
Series 2019 A2, 5% 8/1/49 | 500,000 | 520,471 | |
Kentucky Econ. Dev. Fin. Auth. Healthcare Facilities Rev.: | |||
(Baptist Life Cmntys. Proj.) Series 2016 A: | |||
6.25% 11/15/46 | 590,000 | 548,908 | |
6.375% 11/15/51 | 820,000 | 766,032 | |
Series 2012: | |||
5.375% 11/15/42 | 635,000 | 600,720 | |
5.5% 11/15/45 | 330,000 | 312,536 | |
Kentucky Econ. Dev. Fin. Auth. Hosp. Rev.: | |||
Series 2015 A, 5.25% 6/1/50 | 3,405,000 | 3,500,713 | |
Series 2017 A: | |||
5% 6/1/37 | 890,000 | 944,105 | |
5% 6/1/41 | 1,210,000 | 1,261,466 | |
5% 6/1/45 | 2,480,000 | 2,572,581 | |
5.25% 6/1/41 | 1,730,000 | 1,822,972 | |
Kentucky Muni. Pwr. Agcy. Pwr. Sys. Rev. (Prairie State Proj.) Series 2019 A, 4% 9/1/45 | 500,000 | 506,470 | |
Kentucky Pub. Trans. Infrastructure Auth. First Tier Toll Rev. (Downtown Crossing Proj.) Series 2013 A: | |||
5.75% 7/1/49 (Pre-Refunded to 7/1/23 @ 100) | 405,000 | 421,879 | |
6% 7/1/53 (Pre-Refunded to 7/1/23 @ 100) | 1,405,000 | 1,466,986 | |
Kentucky, Inc. Pub. Energy Bonds: | |||
Series 2018 A, 4%, tender 4/1/24 (a) | 1,350,000 | 1,373,930 | |
Series 2018 B, 4%, tender 1/1/25 (a) | 3,690,000 | 3,779,177 | |
Series 2019 C, 4%, tender 2/1/28 (a) | 3,145,000 | 3,244,417 | |
Series 2022 A2, U.S. Secured Overnight Fin. Rate (SOFR) Indx + 1.200% 1.723%, tender 8/1/30 (a)(b) | 750,000 | 729,702 | |
Louisville & Jefferson County Series 2016 A, 4% 10/1/34 | 250,000 | 252,984 | |
Louisville & Jefferson County Metropolitan Govt. Hosp. Rev. (UOFL Health Proj.) Series 2022 A, 5% 5/15/47 (Assured Guaranty Muni. Corp. Insured) | 2,015,000 | 2,173,194 | |
TOTAL KENTUCKY | 33,913,952 | ||
Louisiana - 0.3% | |||
Jefferson Parish Econ. Dev. & Port District Rev. Series 2018 A: | |||
5.5% 6/15/38 (e) | 335,000 | 348,579 | |
5.625% 6/15/48 (e) | 395,000 | 407,718 | |
Louisiana Gen. Oblig. Series 2014 A, 4% 2/1/34 | 950,000 | 980,476 | |
Louisiana Local Govt. Envir. Facilities and Cmnty. Dev. Auth. (Westlake Chemical Corp. Projs.) Series 2017, 3.5% 11/1/32 | 3,230,000 | 3,163,540 | |
Louisiana Local Govt. Envir. Facilities And Cmnty. Dev. Auth. Facilities Rev. (The Glen Retirement Sys. Proj.) Series 2019 A, 5% 1/1/49 | 595,000 | 471,419 | |
Louisiana Pub. Facilities Auth. Rev. (Ochsner Clinic Foundation Proj.) Series 2015, 5% 5/15/47 | 250,000 | 257,566 | |
Louisiana Stadium and Exposition District Series 2020, 5% 7/3/23 | 1,025,000 | 1,041,698 | |
New Orleans Aviation Board Rev.: | |||
(North Term. Proj.): | |||
Series 2015 A, 5% 1/1/40 | 685,000 | 714,243 | |
Series 2015 B: | |||
5% 1/1/34 (c) | 1,180,000 | 1,229,836 | |
5% 1/1/40 (c) | 390,000 | 406,355 | |
Series 2017 A: | |||
5% 1/1/43 | 550,000 | 587,238 | |
5% 1/1/48 | 1,255,000 | 1,334,231 | |
Series 2017 B: | |||
5% 1/1/43 (c) | 280,000 | 295,067 | |
5% 1/1/48 (c) | 1,760,000 | 1,846,781 | |
Series 2017 D2: | |||
5% 1/1/28 (c) | 85,000 | 91,965 | |
5% 1/1/29 (c) | 70,000 | 75,467 | |
5% 1/1/30 (c) | 45,000 | 48,380 | |
5% 1/1/31 (c) | 90,000 | 96,327 | |
5% 1/1/32 (c) | 105,000 | 111,956 | |
5% 1/1/34 (c) | 115,000 | 122,296 | |
5% 1/1/35 (c) | 90,000 | 95,614 | |
5% 1/1/38 (c) | 365,000 | 386,662 | |
New Orleans Gen. Oblig. Series 2021, 4% 10/1/34 | 500,000 | 521,838 | |
New Orleans Swr. Svc. Rev. Series 2015: | |||
5% 6/1/33 (Pre-Refunded to 6/1/25 @ 100) | 205,000 | 222,116 | |
5% 6/1/40 (Pre-Refunded to 6/1/25 @ 100) | 825,000 | 893,882 | |
5% 6/1/45 (Pre-Refunded to 6/1/25 @ 100) | 645,000 | 698,853 | |
New Orleans Wtr.: | |||
Series 2014, 5% 12/1/44 (Pre-Refunded to 12/1/24 @ 100) | 250,000 | 268,534 | |
Series 2015: | |||
5% 12/1/40 (Pre-Refunded to 12/1/25 @ 100) | 950,000 | 1,041,119 | |
5% 12/1/45 (Pre-Refunded to 12/1/25 @ 100) | 2,400,000 | 2,630,196 | |
Port of New Orleans Port Facility Rev. Series 2020 D, 5% 4/1/50 | 900,000 | 985,828 | |
Saint James Parish Gen. Oblig.: | |||
(Nustar Logistics, L.P. Proj.) Series 2010, 6.35% 7/1/40 (e) | 750,000 | 858,027 | |
Bonds (Nustar Logistics, L.P. Proj.): | |||
Series 2008, 6.1%, tender 6/1/30 (a)(e) | 740,000 | 844,923 | |
Series 2010 B, 6.1%, tender 6/1/30 (a)(e) | 975,000 | 1,113,243 | |
Series 2011, 5.85%, tender 6/1/25 (a)(e) | 1,410,000 | 1,494,847 | |
Shreveport Gen. Oblig. Series 2017, 5% 8/1/30 | 750,000 | 830,717 | |
St. Charles Parish Gulf Opportunity Zone Rev. Bonds (Valero Proj.) Series 2010, 4%, tender 6/1/22 (a) | 145,000 | 145,000 | |
St. John Baptist Parish Rev.: | |||
(Marathon Oil Corp.) Series 2017, 2.2% 6/1/37 (a) | 440,000 | 416,329 | |
Bonds: | |||
(Marathon Oil Corp. Proj.) Series 2017 B1, 2.125%, tender 7/1/24 (a) | 295,000 | 287,848 | |
(Marathon Oil Corp.) Series 2017, 2.1%, tender 7/1/24 (a) | 185,000 | 180,423 | |
Series 2017 B2, 2.375%, tender 7/1/26 (a) | 595,000 | 566,906 | |
TOTAL LOUISIANA | 28,114,043 | ||
Maine - 0.0% | |||
Maine Fin. Auth. Rev. (Go Lab. Madison, LLC Proj.) Series 2021, 8% 12/1/51 (c)(e) | 900,000 | 750,424 | |
Maine Health & Higher Edl. Facilities Auth. Rev. Series 2013, 5% 7/1/33 (Pre-Refunded to 7/1/23 @ 100) | 250,000 | 258,833 | |
TOTAL MAINE | 1,009,257 | ||
Maryland - 0.9% | |||
Baltimore Convention Ctr. Hotel Rev. Series 2017: | |||
5% 9/1/36 | 870,000 | 871,394 | |
5% 9/1/42 | 405,000 | 392,507 | |
5% 9/1/46 | 3,685,000 | 3,608,278 | |
Baltimore Proj. Rev.: | |||
(Wastewtr. Projs.) Series 2014 C, 5% 7/1/33 | 945,000 | 995,823 | |
(Wtr. Projs.): | |||
Series 2013 B: | |||
5% 7/1/28 (Pre-Refunded to 1/1/24 @ 100) | 440,000 | 462,186 | |
5% 7/1/30 (Pre-Refunded to 1/1/24 @ 100) | 670,000 | 703,783 | |
Series 2014 C, 5% 7/1/31 | 635,000 | 670,226 | |
Series 2019 A, 4% 7/1/37 | 350,000 | 368,564 | |
Frederick County Spl. Oblig. Series 2020 C, 4% 7/1/50 | 190,000 | 176,077 | |
Gaithersburg Eco Dev. Rev. Bd Series 2018 A: | |||
5% 1/1/27 | 210,000 | 220,148 | |
5% 1/1/28 | 280,000 | 294,970 | |
5% 1/1/33 | 1,750,000 | 1,810,145 | |
5% 1/1/36 | 350,000 | 360,453 | |
Maryland Cmnty. Dev. Admin Dept. Hsg. & Cmnty. Dev. Series 2018 A, 4.5% 9/1/48 | 945,000 | 982,053 | |
Maryland Dept. of Trans.: | |||
Series 2021 A: | |||
3% 10/1/32 | 1,000,000 | 1,013,184 | |
4% 10/1/30 | 280,000 | 306,622 | |
Series 2021 B: | |||
4% 8/1/37 (c) | 340,000 | 345,001 | |
4% 8/1/38 (c) | 415,000 | 418,382 | |
5% 8/1/36 (c) | 295,000 | 329,872 | |
5% 8/1/46 (c) | 1,015,000 | 1,114,166 | |
Maryland Econ. Dev. Auth. Rev.: | |||
(Ports America Chesapeake LLC. Proj.) Series 2017 A: | |||
5% 6/1/23 | 140,000 | 144,003 | |
5% 6/1/24 | 80,000 | 83,606 | |
5% 6/1/25 | 150,000 | 159,288 | |
5% 6/1/27 | 140,000 | 152,823 | |
5% 6/1/30 | 140,000 | 152,692 | |
5% 6/1/32 | 145,000 | 156,929 | |
5% 6/1/35 | 360,000 | 387,741 | |
(Trans. Facilities Proj.) Series 2017 A, 5% 6/1/28 | 210,000 | 231,136 | |
Maryland Econ. Dev. Corp.: | |||
(Port Covington Proj.) Series 2020: | |||
4% 9/1/40 | 310,000 | 283,164 | |
4% 9/1/50 | 340,000 | 292,047 | |
(Purple Line Lt. Rail Proj.): | |||
Series 2022 A, 5% 11/12/28 | 2,750,000 | 2,911,346 | |
Series 2022 B: | |||
5.25% 6/30/52 | 1,000,000 | 1,055,483 | |
5.25% 6/30/55 | 11,120,000 | 11,672,765 | |
(SSA Baltimore Proj.) Series 2021, 3.997% 4/1/34 | 250,000 | 222,485 | |
Maryland Econ. Dev. Corp. Sr. Parking Facilities Rev. (Baltimore City Proj.) Series 2018 A, 5% 6/1/58 | 715,000 | 692,962 | |
Maryland Econ. Dev. Corp. Student Hsg. Rev. (Bowie State Univ. Proj.) Series 2015: | |||
5% 6/1/25 (e) | 240,000 | 246,412 | |
5% 6/1/29 (e) | 335,000 | 347,248 | |
5% 6/1/33 (e) | 360,000 | 370,278 | |
Maryland Gen. Oblig.: | |||
Series 2018 A: | |||
5% 3/15/26 | 605,000 | 669,789 | |
5% 3/15/28 | 710,000 | 816,944 | |
Series 2020 A, 5% 8/1/35 | 285,000 | 335,140 | |
Maryland Health & Higher Edl.: | |||
Series 2021 A: | |||
4% 6/1/38 | 500,000 | 489,985 | |
4% 6/1/46 | 1,050,000 | 990,996 | |
4% 6/1/51 | 1,640,000 | 1,521,990 | |
4% 6/1/55 | 1,020,000 | 933,294 | |
Series 2021 B, 4% 1/1/51 | 500,000 | 486,370 | |
Maryland Health & Higher Edl. Facilities Auth. Rev.: | |||
(Medstar Health, Inc. Proj.) Series 2017 A, 5% 5/15/45 | 1,930,000 | 2,027,866 | |
Series 2013 A, 6.75% 7/1/44 | 385,000 | 395,371 | |
Series 2014: | |||
5% 7/1/39 (Pre-Refunded to 7/1/24 @ 100) | 2,180,000 | 2,312,723 | |
5.25% 7/1/34 (Pre-Refunded to 7/1/24 @ 100) | 2,415,000 | 2,576,825 | |
Series 2015: | |||
5% 7/1/27 | 900,000 | 954,980 | |
5% 7/1/29 | 370,000 | 388,951 | |
5% 8/15/33 | 1,325,000 | 1,385,268 | |
5% 8/15/38 | 1,180,000 | 1,230,386 | |
5% 7/1/45 | 1,915,000 | 1,960,730 | |
Series 2016 A: | |||
5% 7/1/32 | 85,000 | 89,670 | |
5% 7/1/33 | 215,000 | 226,544 | |
5% 7/1/34 | 255,000 | 268,398 | |
5% 7/1/35 | 225,000 | 236,648 | |
5% 7/1/36 | 210,000 | 220,733 | |
5% 1/1/45 | 140,000 | 149,097 | |
5.5% 1/1/36 | 1,390,000 | 1,501,700 | |
5.5% 1/1/46 | 4,850,000 | 5,163,941 | |
Maryland Stadium Auth. Built to Learn Rev.: | |||
Series 2021, 4% 6/1/46 | 2,680,000 | 2,702,043 | |
Series 2022 A, 5% 6/1/27 | 515,000 | 572,520 | |
Maryland Stadium Auth. Rev.: | |||
Series 2018 A, 5% 5/1/42 | 4,085,000 | 4,494,727 | |
Series 2018 B, 5% 5/1/35 | 1,180,000 | 1,309,018 | |
Series 2020 B, 5% 5/1/47 | 740,000 | 861,908 | |
Maryland Trans. Auth. Passenger Facility Charge Rev. Series 2019, 4% 6/1/33 (c) | 960,000 | 979,338 | |
Maryland Trans. Auth. Trans. Facility Projs. Rev.: | |||
Series 2020, 4% 7/1/50 | 605,000 | 618,356 | |
Series 2021 A: | |||
4% 7/1/38 | 295,000 | 312,679 | |
4% 7/1/40 | 365,000 | 382,545 | |
Montgomery County Econ. Dev. Rev. Series 2018 A, 5.375% 7/1/48 | 915,000 | 890,565 | |
Prince Georges County Rev. Auth. Spl. Oblig. (Suitland-Naylor Road Proj.) Series 2016: | |||
4.75% 7/1/36 (e) | 245,000 | 250,984 | |
5% 7/1/46 (e) | 350,000 | 359,910 | |
Prince Georges County Spl. Oblig. Series 2004, 5.2% 7/1/34 | 355,000 | 357,563 | |
Rockville Mayor & Council Econ. Dev.: | |||
(Ingleside at King Farm Proj.): | |||
Series 2017 A1, 5% 11/1/31 | 210,000 | 214,380 | |
Series 2017 A2: | |||
5% 11/1/29 | 70,000 | 72,103 | |
5% 11/1/31 | 85,000 | 86,773 | |
5% 11/1/32 | 70,000 | 71,292 | |
Series 2017 B: | |||
4.25% 11/1/37 | 55,000 | 50,104 | |
4.5% 11/1/43 | 275,000 | 255,673 | |
5% 11/1/47 | 935,000 | 925,666 | |
(Rfdg.-Ingleside King Farm Proj.) Series 2017: | |||
5% 11/1/35 | 140,000 | 141,781 | |
5% 11/1/37 | 280,000 | 282,763 | |
5% 11/1/42 | 1,215,000 | 1,217,230 | |
Washington County Econ. Dev. Rev. (Homewood Maryland Obligated Group Proj.) Series 2021: | |||
4% 5/1/26 | 245,000 | 244,466 | |
4% 5/1/27 | 255,000 | 252,526 | |
4% 5/1/30 | 285,000 | 273,754 | |
4% 5/1/31 | 155,000 | 147,493 | |
4% 5/1/36 | 985,000 | 899,090 | |
4% 5/1/42 | 2,010,000 | 1,742,243 | |
Washington Metropolitan Area Transit Auth.: | |||
Series 2020 A: | |||
4% 7/15/40 | 180,000 | 188,115 | |
5% 7/15/38 | 740,000 | 847,483 | |
5% 7/15/39 | 1,625,000 | 1,857,839 | |
Series 2021 A: | |||
3% 7/15/40 | 970,000 | 898,262 | |
4% 7/15/38 | 1,030,000 | 1,085,283 | |
4% 7/15/46 | 3,605,000 | 3,710,263 | |
5% 7/15/41 | 740,000 | 854,660 | |
Westminster Proj. Rev.: | |||
Series 2014 A: | |||
5% 7/1/24 | 180,000 | 183,571 | |
6.25% 7/1/44 | 510,000 | 528,541 | |
Series 2014: | |||
5.125% 7/1/34 | 635,000 | 644,287 | |
5.5% 7/1/44 | 635,000 | 646,064 | |
TOTAL MARYLAND | 94,754,442 | ||
Massachusetts - 0.2% | |||
Boston Gen. Oblig. Series 2022 A, 5% 11/1/41 | 1,585,000 | 1,918,593 | |
Massachusetts Dept. of Trans. Metropolitan Hwy. Sys. Rev.: | |||
Series 2019 A, 5% 1/1/32 | 2,315,000 | 2,622,901 | |
Series 2019 C, 5% 1/1/33 | 965,000 | 1,097,507 | |
Massachusetts Dev. Fin. Agcy. Rev.: | |||
(Newbridge On The Charles Proj.) Series 2017: | |||
5% 10/1/37 (e) | 635,000 | 670,896 | |
5% 10/1/47 (e) | 930,000 | 981,763 | |
5% 10/1/57 (e) | 2,300,000 | 2,427,614 | |
(Univ. of Massachusetts Health Cr., Inc. Proj.) Series 2017 L, 5% 7/1/44 | 250,000 | 263,298 | |
Series 1999 P, 5.45% 5/15/59 (Assured Guaranty Corp. Insured) | 355,000 | 418,253 | |
Series 2014 F: | |||
5.625% 7/15/36 | 85,000 | 87,046 | |
5.75% 7/15/43 | 465,000 | 475,950 | |
Series 2015, 5% 5/1/41 | 250,000 | 262,765 | |
Series 2016, 5% 10/1/48 | 250,000 | 251,723 | |
Series 2018: | |||
5% 11/15/38 (e) | 380,000 | 403,223 | |
5% 10/1/48 | 250,000 | 249,983 | |
5% 10/1/54 | 400,000 | 395,544 | |
5.125% 11/15/46 (e) | 820,000 | 869,541 | |
Series 2019 A, 4% 7/1/44 | 400,000 | 393,246 | |
Series 2020 A, 5% 10/15/29 | 250,000 | 294,800 | |
Series 2021 V, 5% 7/1/55 | 415,000 | 525,214 | |
Series 2021, 5% 7/1/41 (e) | 250,000 | 239,895 | |
Series 2022, 5.25% 1/1/50 | 375,000 | 377,509 | |
Series J2, 5% 7/1/53 | 250,000 | 265,213 | |
Massachusetts Edl. Fing. Auth. Rev. Series 2019 B, 3% 7/1/35 (c) | 250,000 | 251,622 | |
Massachusetts Gen. Oblig.: | |||
Series 2004 A, 5.5% 8/1/30 | 240,000 | 293,074 | |
Series 2021 B, 5% 11/1/24 | 375,000 | 401,699 | |
Series 2021 C, 5% 9/1/28 | 1,265,000 | 1,461,674 | |
Massachusetts Hsg. Fin. Agcy. Series 2010 A, 5.25% 12/1/35 | 10,000 | 10,076 | |
Massachusetts Port Auth. Rev. Series 2019 A: | |||
5% 7/1/37 (c) | 945,000 | 1,035,809 | |
5% 7/1/39 (c) | 700,000 | 764,952 | |
5% 7/1/40 (c) | 435,000 | 474,725 | |
Massachusetts School Bldg. Auth. Dedicated Sales Tax Rev. Series 2015 C: | |||
5% 8/15/31 | 240,000 | 259,030 | |
5% 8/15/31 (Pre-Refunded to 8/15/25 @ 100) | 345,000 | 376,832 | |
Univ. of Massachusetts Bldg. Auth. Facilities Rev. Series 2013, 5% 11/1/39 (Pre-Refunded to 11/1/22 @ 100) | 240,000 | 243,686 | |
TOTAL MASSACHUSETTS | 21,065,656 | ||
Michigan - 0.5% | |||
Calhoun County Hosp. Fin. Auth. Rev. Series 2016: | |||
5% 2/15/37 | 140,000 | 148,044 | |
5% 2/15/41 | 800,000 | 832,158 | |
5% 2/15/47 | 2,235,000 | 2,310,044 | |
Detroit Downtown Dev. Auth. Tax Series 2018 A: | |||
5% 7/1/43 | 620,000 | 651,001 | |
5% 7/1/48 (Assured Guaranty Muni. Corp. Insured) | 680,000 | 712,166 | |
Detroit Gen. Oblig.: | |||
Series 2018: | |||
5% 4/1/27 | 235,000 | 252,573 | |
5% 4/1/29 | 105,000 | 113,284 | |
5% 4/1/30 | 95,000 | 102,145 | |
5% 4/1/31 | 105,000 | 112,291 | |
5% 4/1/32 | 120,000 | 128,089 | |
5% 4/1/33 | 170,000 | 180,702 | |
5% 4/1/37 | 295,000 | 311,324 | |
5% 4/1/38 | 195,000 | 205,530 | |
Series 2020: | |||
5.5% 4/1/32 | 175,000 | 195,567 | |
5.5% 4/1/34 | 95,000 | 105,734 | |
5.5% 4/1/36 | 130,000 | 144,323 | |
5.5% 4/1/38 | 290,000 | 320,976 | |
5.5% 4/1/40 | 205,000 | 226,203 | |
5.5% 4/1/45 | 145,000 | 159,135 | |
5.5% 4/1/50 | 295,000 | 322,173 | |
Series 2021 A, 5% 4/1/50 | 535,000 | 555,812 | |
Gerald R. Ford Int'l. Arpt. Auth. Rev. Series 2021, 5% 1/1/51 (c) | 630,000 | 700,169 | |
Grand Rapids Econ. Dev. Corp. Econ. Dev. Rev. (Beacon Hill at Eastgate Proj.) Series 2017 A: | |||
5% 11/1/32 | 300,000 | 310,182 | |
5% 11/1/37 | 165,000 | 169,397 | |
5% 11/1/47 | 390,000 | 394,776 | |
5% 11/1/52 | 165,000 | 166,628 | |
Great Lakes Wtr. Auth. Sew Disp. Sys. Series 2016 C: | |||
5% 7/1/30 | 135,000 | 145,591 | |
5% 7/1/36 | 4,345,000 | 4,653,876 | |
Great Lakes Wtr. Auth. Wtr. Supply Sys. Rev.: | |||
Series 2016 B, 5% 7/1/46 | 3,205,000 | 3,401,175 | |
Series 2016 C, 5.25% 7/1/35 | 1,800,000 | 1,961,421 | |
Karegnondi Wtr. Auth. Genesee, Lapeer and Sanilac Wtr. Supply Sys. Series 2014 A, 5.25% 11/1/40 | 2,810,000 | 2,902,122 | |
Kentwood Econ. Dev. Corp. Series 2022: | |||
4% 11/15/31 | 265,000 | 256,272 | |
4% 11/15/43 | 365,000 | 323,014 | |
Livonia Pub. School District Series 2006 II, 5% 5/1/40 (Assured Guaranty Muni. Corp. Insured) | 500,000 | 546,077 | |
Michigan Fin. Auth. Rev.: | |||
(Charter County of Wayne Criminal Justice Ctr. Proj.) Series 2018, 4% 11/1/48 | 250,000 | 255,161 | |
(College for Creative Studies Proj.) Series 2015, 5% 12/1/45 | 250,000 | 251,909 | |
Series 2014 C1, 5% 7/1/44 (Pre-Refunded to 7/1/22 @ 100) | 295,000 | 295,929 | |
Series 2014 C3, 5% 7/1/33 (Assured Guaranty Muni. Corp. Insured) | 250,000 | 261,826 | |
Series 2014 C7, 5% 7/1/32 | 250,000 | 262,656 | |
Series 2014 D6, 5% 7/1/36 | 850,000 | 890,031 | |
Series 2015 B, 5% 5/15/35 | 1,475,000 | 1,537,763 | |
Series 2015 C: | |||
5% 7/1/34 | 580,000 | 612,033 | |
5% 7/1/35 | 2,055,000 | 2,167,257 | |
Series 2015 D2, 5% 7/1/34 | 665,000 | 701,727 | |
Series 2015, 5% 12/1/35 (Pre-Refunded to 6/1/22 @ 100) | 1,475,000 | 1,475,000 | |
Series 2016: | |||
5% 11/15/34 | 950,000 | 1,005,830 | |
5% 11/15/37 | 1,030,000 | 1,086,313 | |
Series 2017 A, 5% 12/1/47 (Pre-Refunded to 12/1/22 @ 100) | 885,000 | 900,852 | |
Series 2019 A: | |||
5% 2/15/37 | 410,000 | 449,989 | |
5% 2/15/38 | 590,000 | 646,559 | |
5% 2/15/39 | 1,750,000 | 1,914,806 | |
Series 2020 A, 4% 6/1/49 | 250,000 | 242,364 | |
Series 2020 B, 0% 6/1/45 | 1,200,000 | 261,277 | |
Series 2020 B1, 5% 6/1/49 | 785,000 | 821,491 | |
Series 2020 B2, 0% 6/1/65 | 2,905,000 | 351,900 | |
Series 2022, 5% 4/15/28 | 1,250,000 | 1,410,022 | |
Michigan Strategic Fund Ltd. Oblig. Rev.: | |||
(I-75 Impt. Proj.) Series 2018, 5% 6/30/48 (c) | 400,000 | 405,224 | |
Series 2016, 5% 11/15/42 | 250,000 | 253,076 | |
Michigan Tobacco Settlement Fin. Auth. Tobacco Settlement Asset Rev.: | |||
Series 2007 B, 0% 6/1/52 | 3,580,000 | 422,755 | |
Series 2008: | |||
0% 6/1/46 | 7,000,000 | 847,853 | |
0% 6/1/58 | 23,000,000 | 1,108,356 | |
Michigan Trunk Line Fund Rev. (Rebuilding Michigan Prog.) Series 2021 A: | |||
4% 11/15/46 | 1,000,000 | 1,018,071 | |
5% 11/15/32 | 830,000 | 986,527 | |
Monroe County Econ. Dev. Corp. Ltd. Oblig. Series 1992 AA, 6.95% 9/1/22 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 120,000 | 121,575 | |
South Huron Valley Util. Auth. Series 2020, 4% 5/1/34 | 750,000 | 799,266 | |
Wayne County Arpt. Auth. Rev.: | |||
Series 2012 A, 5% 12/1/42 | 305,000 | 308,746 | |
Series 2014 B, 5% 12/1/44 | 315,000 | 328,990 | |
Series 2015 D, 5% 12/1/45 (Assured Guaranty Muni. Corp. Insured) | 90,000 | 95,428 | |
Wayne County Arpt. Rev. Series 2017 C, 5% 12/1/37 (Assured Guaranty Muni. Corp. Insured) (c)(e) | 2,950,000 | 3,160,730 | |
TOTAL MICHIGAN | 51,679,266 | ||
Minnesota - 0.1% | |||
Apple Valley Sr. Living (Minnesota Sr. Living LLC Proj.): | |||
Series 2016 B, 5% 1/1/47 | 565,000 | 362,378 | |
Series 2016 D, 7.25% 1/1/52 | 610,000 | 407,005 | |
Deephaven Charter School Lease Rev. Series 2017 A: | |||
5% 10/1/37 | 70,000 | 68,673 | |
5% 10/1/49 | 140,000 | 131,278 | |
Duluth Econ. Dev. Auth. Health Care Facilities Rev.: | |||
Series 2018 A: | |||
5% 2/15/48 | 250,000 | 263,719 | |
5% 2/15/53 | 700,000 | 736,550 | |
Series 2018, 5.25% 2/15/58 | 1,250,000 | 1,331,074 | |
Minneapolis Health Care Sys. Rev. Series 2021, 4% 11/15/40 | 500,000 | 504,286 | |
Minneapolis Taxable Charter Schools Lease Rev. (Twin cities Int'l. Schools Proj.) Series 2017 A, 5% 12/1/47 (e) | 250,000 | 252,511 | |
Minnesota Gen. Oblig. Series 2021 B, 4% 9/1/32 | 800,000 | 883,419 | |
Minnesota Hsg. Fin. Agcy.: | |||
Series 2011, 5% 8/1/31 | 55,000 | 55,178 | |
Series 2018 E, 4.25% 1/1/49 | 240,000 | 247,539 | |
Minnesota Muni. Gas Agcy. Rev.: | |||
Bonds Series 2022 A, 4%, tender 12/1/27 (a) | 1,000,000 | 1,047,397 | |
Series 2022 A, 4% 12/1/26 | 570,000 | 603,923 | |
Minnesota Office of Higher Ed. Series 2020, 2.65% 11/1/38 (c) | 455,000 | 405,282 | |
Rochester Health Cr.&Hsg. Rev. Series 2013 A, 6.875% 12/1/48 | 290,000 | 298,383 | |
Rochester Health Care Facilities Rev. Series 2022: | |||
4% 11/15/39 | 750,000 | 775,390 | |
5% 11/15/57 | 1,260,000 | 1,423,444 | |
Virginia Independent School District #706 Series 2019 A, 5% 2/1/25 | 570,000 | 613,467 | |
White Bear Lake Independent School District #624 Gen. Oblig. Series 2020 A, 3% 2/1/42 | 500,000 | 447,830 | |
Woodbury Charter School Lease Rev. (Woodbury Leadership Academy Proj.) Series 2021 A: | |||
4% 7/1/41 | 120,000 | 106,707 | |
4% 7/1/51 | 95,000 | 79,370 | |
4% 7/1/56 | 80,000 | 65,401 | |
TOTAL MINNESOTA | 11,110,204 | ||
Mississippi - 0.0% | |||
Mississippi Bus. Fin. Corp. Rev. (Sys. Energy Resources, Inc. Proj.) Series 2021, 2.375% 6/1/44 | 250,000 | 181,202 | |
Mississippi Dev. Bank Spl. Oblig. (City of Jackson, Mississippi Wtr. And Swr. Sys. Rev. Bond Proj.) Series 2013, 6.75% 12/1/30 (Assured Guaranty Muni. Corp. Insured) | 240,000 | 253,634 | |
TOTAL MISSISSIPPI | 434,836 | ||
Missouri - 0.4% | |||
Conley Road Trans. Dev. District Series 2017, 5.375% 5/1/47 | 245,000 | 245,609 | |
Jackson County Reorganized School District Series 2020 220, 4% 3/1/31 | 500,000 | 542,375 | |
Kansas City Indl. Dev. Auth.: | |||
(Kansas City Int'l. Arpt. Term. Modernization Proj.): | |||
Series 2019 B: | |||
5% 3/1/46 (c) | 1,250,000 | 1,335,339 | |
5% 3/1/49 (Assured Guaranty Muni. Corp. Insured) (c) | 755,000 | 807,124 | |
5% 3/1/54 (c) | 705,000 | 745,571 | |
5% 3/1/55 (Assured Guaranty Muni. Corp. Insured) (c) | 4,865,000 | 5,159,724 | |
Series 2020 A, 4% 3/1/50 (c) | 1,585,000 | 1,550,737 | |
(Kansas City Int'l. Arpt. Term. modernization Proj.) Series 2020 A, 4% 3/1/50 (Assured Guaranty Muni. Corp. Insured) (c) | 1,950,000 | 1,923,712 | |
(Kansas City Int'l. Arpt. Term. Modernization Proj.) Series 2020 A: | |||
4% 3/1/57 (Assured Guaranty Muni. Corp. Insured) (c) | 2,635,000 | 2,583,044 | |
5% 3/1/57 (Assured Guaranty Muni. Corp. Insured) (c) | 3,465,000 | 3,701,582 | |
Kansas City Land Clearance for Redev. Auth. Series 2018 B, 5% 2/1/50 (e) | 300,000 | 250,531 | |
Kansas City Spl. Oblig. (Downtown Arena Proj.) Series 2016 E, 5% 4/1/40 | 1,050,000 | 1,122,698 | |
Kirkwood Indl. Dev. Retirement Commission Series 2017 A: | |||
5.25% 5/15/37 | 280,000 | 281,324 | |
5.25% 5/15/42 | 240,000 | 238,819 | |
5.25% 5/15/50 | 565,000 | 548,073 | |
Maryland Heights Indl. Dev. Auth. Rev. (Saint Louis Cmnty. Ice Ctr. Proj.) Series 2018 A, 5% 3/15/49 | 250,000 | 231,249 | |
Missouri Health & Edl. Facilities Auth. Rev.: | |||
(Lutheran Sr. Svcs. Proj.) Series 2016 B, 5% 2/1/46 | 915,000 | 933,647 | |
(Lutheran Sr. Svcs. Projs.): | |||
Series 2016 B: | |||
5% 2/1/34 | 195,000 | 201,709 | |
5% 2/1/35 | 155,000 | 160,172 | |
Series 2021, 4% 2/1/42 | 250,000 | 236,288 | |
Missouri Health & Edl. Facilities Rev.: | |||
Series 2014 A, 5% 6/1/30 (Pre-Refunded to 6/1/24 @ 100) | 500,000 | 529,349 | |
Series 2021 A, 5% 7/1/31 | 605,000 | 704,873 | |
Series 2022 A, 5% 6/1/27 | 1,300,000 | 1,449,714 | |
Missouri Hsg. Dev. Commission Single Family Mtg. Rev. (First Place Homeownership Ln. Prog.): | |||
Series 2018 A, 4.25% 5/1/49 | 240,000 | 247,608 | |
Series 2019 A, 4.25% 5/1/47 | 760,000 | 785,621 | |
Missouri Joint Muni. Elec. Util. Commission Pwr. Proj. Rev.: | |||
(Iatan 2 Proj.) Series 2014 A, 5% 1/1/33 | 590,000 | 613,355 | |
(Plum Point Proj.) Series 2014 A, 5% 1/1/33 | 1,475,000 | 1,560,739 | |
Saint Louis County Indl. Dev. Auth. Sr. Living Facilities Rev.: | |||
Series 2015 A: | |||
5% 12/1/35 | 280,000 | 285,936 | |
5.125% 12/1/45 | 545,000 | 553,442 | |
Series 2017, 5% 9/1/48 | 2,140,000 | 2,046,462 | |
Series 2018 A: | |||
5% 9/1/38 | 890,000 | 876,316 | |
5.125% 9/1/48 | 2,755,000 | 2,683,040 | |
Saint Louis Muni. Fin. Corp. Leasehold Rev. (Convention Ctr. Expansion And Impt. Projs.) Series 2020, 5% 10/1/49 (Assured Guaranty Muni. Corp. Insured) | 750,000 | 840,533 | |
Springfield School District # R12 Series 2019, 4% 3/1/35 | 500,000 | 534,526 | |
St Louis Indl. Dev. Auth. Dev. Fing. Rev. (Ballpark Village Dev. Proj.) Series 2017 A: | |||
3.875% 11/15/29 | 155,000 | 140,473 | |
4.375% 11/15/35 | 555,000 | 483,716 | |
4.75% 11/15/47 | 560,000 | 470,904 | |
St Louis Land Clearance Redev. Auth. Annual Appropriation Redev. Rev. (Nat'l. Geospatial-Intelligence Agcy. Site Impt. Proj.) Series 2017 A: | |||
5.125% 6/1/46 | 735,000 | 769,318 | |
5.375% 6/1/43 | 2,060,000 | 2,187,632 | |
St. Louis County Indl. Dev. Auth. Health Facilities Rev. Series 2015 A: | |||
5% 8/15/30 | 140,000 | 141,641 | |
5% 8/15/35 | 95,000 | 95,439 | |
5.125% 8/15/45 | 240,000 | 236,106 | |
TOTAL MISSOURI | 41,036,070 | ||
Montana - 0.0% | |||
Kalispell Hsg. and Healthcare Facilities Rev. (Immanuel Lutheran Corp. Proj.) Series 2017 A: | |||
5.25% 5/15/37 | 95,000 | 96,653 | |
5.25% 5/15/47 | 1,020,000 | 1,023,938 | |
5.25% 5/15/52 | 1,060,000 | 1,058,380 | |
Montana Facility Fin. Auth.: | |||
(Montana Children's Home and Hosp. Proj.) Series 2020 A, 4% 7/1/50 | 250,000 | 238,959 | |
Series 2018 B, 5% 7/1/48 | 250,000 | 263,841 | |
Yellowstone County School District # 26 Series 2018: | |||
5% 7/1/30 | 250,000 | 284,219 | |
5% 7/1/31 | 500,000 | 566,862 | |
5% 7/1/32 | 500,000 | 565,834 | |
TOTAL MONTANA | 4,098,686 | ||
Nebraska - 0.1% | |||
Central Plains Energy Proj. Rev.: | |||
(Proj. No. 3) Series 2017 A: | |||
5% 9/1/30 | 490,000 | 540,613 | |
5% 9/1/35 | 1,995,000 | 2,240,977 | |
Series 2012, 5.25% 9/1/37 (Pre-Refunded to 9/1/22 @ 100) | 295,000 | 297,530 | |
Series 2017 A: | |||
5% 9/1/31 | 665,000 | 736,928 | |
5% 9/1/42 | 1,400,000 | 1,591,152 | |
Dodge County Neb School District # 001 Series 2022, 4% 12/15/47 (Assured Guaranty Muni. Corp. Insured) | 500,000 | 508,863 | |
Nebraska Invt. Fin. Auth. Single Family Hsg. Rev. Series 2018 C, 4% 9/1/48 | 475,000 | 486,485 | |
Omaha Pub. Pwr. District Elec. Rev. Series 2021 A, 4% 2/1/51 | 4,500,000 | 4,589,787 | |
Sarpy County School District # 0037 Series 2022, 4% 12/15/47 | 250,000 | 253,997 | |
Univ. of Nebraska Facilities Corp. Series 2021 A, 4% 7/15/59 | 1,000,000 | 1,009,356 | |
TOTAL NEBRASKA | 12,255,688 | ||
Nevada - 0.2% | |||
Clark County Arpt. Rev. Series 2021 B, 5% 7/1/26 (c) | 2,290,000 | 2,488,232 | |
Clark County Fuel Tax Series 2018: | |||
4% 12/1/35 | 950,000 | 997,681 | |
4% 12/1/36 | 750,000 | 782,791 | |
Clark County School District: | |||
Series 2015 C, 4% 6/15/32 | 750,000 | 773,958 | |
Series 2018 B, 5% 6/15/34 | 750,000 | 848,487 | |
Series 2020 B: | |||
3% 6/15/37 | 750,000 | 704,922 | |
3% 6/15/39 | 750,000 | 695,595 | |
Series 2021 B: | |||
3% 6/15/35 | 1,200,000 | 1,165,539 | |
3% 6/15/36 | 1,200,000 | 1,142,265 | |
Henderson Pub. Impt. Trust Touro College & Univ. Sys. Obligated Group Rev. Series 2014 A: | |||
5.5% 1/1/34 | 245,000 | 250,684 | |
5.5% 1/1/39 | 370,000 | 377,845 | |
5.5% 1/1/44 | 525,000 | 534,740 | |
Las Vegas Convention & Visitors Auth.: | |||
Series 2017 A, 4% 7/1/40 | 250,000 | 257,168 | |
Series 2017 B, 4% 7/1/39 | 250,000 | 260,518 | |
Series 2018 B: | |||
4% 7/1/49 | 1,000,000 | 1,014,638 | |
5% 7/1/43 | 5,235,000 | 5,778,881 | |
Series 2019 B, 5% 7/1/33 | 620,000 | 703,913 | |
Series 2021, 5% 7/1/26 | 250,000 | 274,173 | |
Las Vegas Redev. Agcy., Tax Increment Rev. Series 2016: | |||
5% 6/15/30 | 60,000 | 63,841 | |
5% 6/15/40 | 1,580,000 | 1,664,781 | |
5% 6/15/45 | 1,870,000 | 1,960,000 | |
Las Vegas Valley Wtr. District Wtr. Impt. Gen. Oblig.: | |||
Series 2016 A, 5% 6/1/46 | 500,000 | 531,063 | |
Series 2022 A: | |||
4% 6/1/36 | 250,000 | 262,328 | |
4% 6/1/37 | 500,000 | 521,787 | |
4% 6/1/38 | 500,000 | 519,935 | |
4% 6/1/40 | 680,000 | 704,457 | |
Reno Sales Tax Rev. (Retrac-Reno Trans. Rail Access Corridor Proj.): | |||
Series 2018 A: | |||
5% 6/1/36 | 35,000 | 37,946 | |
5% 6/1/37 | 70,000 | 75,810 | |
5% 6/1/48 | 70,000 | 74,731 | |
Series 2018 B: | |||
5% 6/1/33 (Assured Guaranty Muni. Corp. Insured) | 25,000 | 27,589 | |
5% 6/1/38 (Assured Guaranty Muni. Corp. Insured) | 15,000 | 16,450 | |
Series 2018 C, 0% 7/1/58 (e) | 2,500,000 | 293,989 | |
Sparks Tourism Impt. District No. 1 Sr. Sales Tax Anticipation Rev. Series 2019 A, 2.5% 6/15/24 (e) | 175,000 | 170,481 | |
Washoe County School District Series 2019 A, 3% 6/1/33 | 250,000 | 250,456 | |
TOTAL NEVADA | 26,227,674 | ||
New Hampshire - 0.1% | |||
Nat'l. Fin. Auth. Hosp. Rev. (St. Lukes Univ. Health Network Proj.) Series 2021 B, 3% 8/15/51 (Assured Guaranty Muni. Corp. Insured) | 250,000 | 206,712 | |
Nat'l. Fin. Auth. Rev.: | |||
(The Lawrenceville School Proj.) Series 2021 A, 4% 7/1/51 | 2,140,000 | 2,190,101 | |
(The Vista Proj.) Series 2019 A: | |||
5.25% 7/1/39 (e) | 220,000 | 213,238 | |
5.625% 7/1/46 (e) | 125,000 | 124,422 | |
5.75% 7/1/54 (e) | 310,000 | 309,973 | |
Bonds Series 2020 B, 3.75%, tender 7/2/40 (a)(c)(e) | 575,000 | 507,004 | |
Nat'l. Finnance Auth. Series 2020 1, 4.125% 1/20/34 | 658,929 | 693,196 | |
New Hampshire Bus. Fin. Auth. Wtr. Facility (Pennichuck Wtr. Works, Inc. Proj.) Series 2020 A, 4% 4/1/50 (c) | 750,000 | 724,130 | |
New Hampshire Health & Ed. Facilities Auth. Series 2017 A: | |||
6.125% 7/1/37 (e) | 240,000 | 96,000 | |
6.125% 7/1/52 (e) | 590,000 | 236,000 | |
6.25% 7/1/42 (e) | 360,000 | 144,000 | |
New Hampshire Health & Ed. Facilities Auth. Rev. Series 2016: | |||
5% 10/1/36 | 115,000 | 120,270 | |
5% 10/1/40 | 545,000 | 567,544 | |
5% 10/1/46 | 860,000 | 889,344 | |
TOTAL NEW HAMPSHIRE | 7,021,934 | ||
New Jersey - 1.3% | |||
Atlantic City Gen. Oblig. Series 2017 B, 5% 3/1/32 | 500,000 | 554,186 | |
Atlantic County Impt. Auth.: | |||
(Atlantic City Campus Phase II Proj.) Series 2021 A, 4% 7/1/53 (Assured Guaranty Muni. Corp. Insured) | 740,000 | 740,720 | |
(Atlantic City Campus Proj.) Series 2016 A, 5% 7/1/31 (Assured Guaranty Muni. Corp. Insured) | 500,000 | 541,581 | |
Camden County Impt. Auth. Charter School Rev. (Camden Prep High School Proj.) Series 2022: | |||
5% 7/15/52 (e) | 435,000 | 445,863 | |
5% 7/15/62 (e) | 80,000 | 80,918 | |
Edison Township Gen. Oblig. Series 2021: | |||
2% 3/15/36 | 700,000 | 569,870 | |
3% 3/15/32 | 785,000 | 772,425 | |
Essex County Impt. Auth. (CHF-Newark, L.L.C. - NJIT Student Hsg. Proj.) Series 2021 A, 4% 8/1/46 | 355,000 | 355,776 | |
Essex County Impt. Auth. Charter School Rev.: | |||
(North Star Academy Charter School of Newark, Inc. - 2020 Proj.) Series 2020, 4% 7/15/60 (e) | 300,000 | 263,546 | |
(North Star Academy Charter School of Newark, New Jersey Hazelwood & Broad Proj.) Series 2020 A, 4% 8/1/60 (e) | 250,000 | 219,606 | |
(The Friends o Team Charter Schools, Inc. - 2021 Proj.) Series 2021, 4% 6/15/46 | 275,000 | 260,129 | |
(The Friends of Team Charter Schools, Inc. - 2021 Proj.) Series 2021, 4% 6/15/56 | 365,000 | 331,495 | |
Hudson County Impt. Auth. (Hudson County Courthouse Proj.) Series 2020, 4% 10/1/33 | 590,000 | 634,038 | |
New Brunswick Parking Auth. Rev. Series 2016 A: | |||
5% 9/1/28 | 250,000 | 273,735 | |
5% 9/1/29 | 250,000 | 273,023 | |
5% 9/1/30 | 750,000 | 817,057 | |
5% 9/1/31 | 800,000 | 869,884 | |
New Jersey Econ. Dev. Auth.: | |||
Series 2020 A: | |||
4% 11/1/38 | 295,000 | 296,960 | |
4% 11/1/44 | 1,620,000 | 1,610,953 | |
Series A, 5% 11/1/35 | 250,000 | 273,218 | |
Series QQQ, 4% 6/15/50 | 250,000 | 244,982 | |
New Jersey Econ. Dev. Auth. Energy Facility Rev. (Umm Energy Partners, LLC Proj.) Series 2012 A: | |||
5% 6/15/37 (c) | 175,000 | 175,221 | |
5.125% 6/15/43 (c) | 245,000 | 245,293 | |
New Jersey Econ. Dev. Auth. Lease Rev. Series 2018 C, 5% 6/15/42 | 250,000 | 266,006 | |
New Jersey Econ. Dev. Auth. Rev.: | |||
(Goethals Bridge Replacement Proj.) Series 2013: | |||
5.125% 1/1/34 (c) | 1,600,000 | 1,634,808 | |
5.375% 1/1/43 (c) | 1,095,000 | 1,119,021 | |
(Lions Gate Proj.) Series 2014: | |||
4.375% 1/1/24 | 70,000 | 69,950 | |
4.875% 1/1/29 | 145,000 | 144,309 | |
5% 1/1/34 | 280,000 | 272,550 | |
5.25% 1/1/44 | 685,000 | 654,328 | |
(Provident Group - Rowan Properties L.L.C. - Rowan Univ. Student Hsg. Proejct) Series 2015 A, 5% 1/1/48 | 1,405,000 | 1,367,295 | |
(Provident Group - Rowan Properties L.L.C. - Rowan Univ. Student Hsg. Proj.) Series 2015 A, 5% 1/1/30 | 280,000 | 281,738 | |
(Provident Group-Montclair Properties L.L.C. - Montclair State Univ. Student Hsg. Proj.) Series 2017, 5% 6/1/42 (Assured Guaranty Muni. Corp. Insured) | 295,000 | 321,069 | |
(The Goethals Bridge Replacement Proj.) Series 2013: | |||
5% 1/1/31 (Assured Guaranty Muni. Corp. Insured) (c) | 715,000 | 734,207 | |
5.125% 7/1/42 (Assured Guaranty Muni. Corp. Insured) (c) | 325,000 | 332,570 | |
5.625% 1/1/52 (c) | 2,990,000 | 3,059,915 | |
Series 1997 A, 0% 7/1/26 (Escrowed to Maturity) | 350,000 | 316,861 | |
Series 2012: | |||
5% 6/15/24 (Pre-Refunded to 6/15/22 @ 100) | 295,000 | 295,411 | |
5% 6/15/25 (Pre-Refunded to 6/15/22 @ 100) | 1,475,000 | 1,477,056 | |
5% 6/15/28 (Pre-Refunded to 6/15/22 @ 100) | 785,000 | 786,094 | |
Series 2018, 5% 1/1/39 | 495,000 | 520,742 | |
Series 2019 LLL, 5% 6/15/49 | 250,000 | 267,136 | |
New Jersey Econ. Dev. Auth. School Rev. Series 2019 A, 5% 6/15/49 (e) | 100,000 | 101,029 | |
New Jersey Econ. Dev. Auth. Spl. Facilities Rev.: | |||
(Continental Airlines, Inc. Proj.) Series 2000 B, 5.625% 11/15/30 (c) | 2,405,000 | 2,447,413 | |
(Port Newark Container Term. LLC. Proj.) Series 2017: | |||
5% 10/1/37 (c) | 3,600,000 | 3,811,845 | |
5% 10/1/47 (c) | 4,355,000 | 4,559,842 | |
Series 1999: | |||
5.125% 9/15/23 (c) | 75,000 | 75,956 | |
5.25% 9/15/29 (c) | 705,000 | 709,598 | |
New Jersey Econ. Dev. Auth. Wtr. Facilities Rev. (Middlesex Wtr. Co. Proj.): | |||
Series 2012 A, 5% 10/1/23 | 725,000 | 755,369 | |
Series 2019, 5% 8/1/59 (c) | 580,000 | 632,117 | |
New Jersey Edl. Facility Series 2016 A: | |||
5% 7/1/29 | 750,000 | 814,739 | |
5% 7/1/30 | 750,000 | 812,743 | |
New Jersey Gen. Oblig.: | |||
Series 2020 A: | |||
3% 6/1/32 | 450,000 | 444,678 | |
4% 6/1/30 | 2,000,000 | 2,161,905 | |
4% 6/1/31 | 645,000 | 695,830 | |
4% 6/1/32 | 3,795,000 | 4,083,729 | |
5% 6/1/25 | 2,500,000 | 2,687,603 | |
5% 6/1/26 | 2,715,000 | 2,977,395 | |
5% 6/1/27 | 575,000 | 641,792 | |
Series 2021: | |||
5% 6/1/38 | 1,000,000 | 1,127,459 | |
5% 6/1/41 | 1,240,000 | 1,392,020 | |
New Jersey Health Care Facilities Fing. Auth. Rev.: | |||
Series 2011: | |||
5% 7/1/25 | 1,180,000 | 1,183,444 | |
5% 7/1/26 | 295,000 | 295,854 | |
Series 2012 A: | |||
5% 7/1/23 (Pre-Refunded to 7/1/22 @ 100) | 370,000 | 371,150 | |
5% 7/1/24 (Pre-Refunded to 7/1/22 @ 100) | 1,325,000 | 1,329,119 | |
Series 2013 A, 5.5% 7/1/43 | 565,000 | 581,445 | |
Series 2014 A, 5% 7/1/44 | 985,000 | 1,020,046 | |
Series 2015 A, 5% 7/1/46 (Assured Guaranty Muni. Corp. Insured) | 1,045,000 | 1,077,356 | |
Series 2016 A, 5% 7/1/43 | 1,740,000 | 1,840,365 | |
Series 2017 A: | |||
5% 7/1/38 | 1,100,000 | 1,177,065 | |
5.25% 7/1/57 | 590,000 | 627,299 | |
Series 2019: | |||
4% 7/1/35 | 140,000 | 142,304 | |
5% 7/1/31 | 140,000 | 154,848 | |
Series 2021 A: | |||
4% 7/1/45 | 1,475,000 | 1,498,032 | |
4% 7/1/51 | 2,610,000 | 2,628,963 | |
Series 2021, 3% 7/1/40 | 225,000 | 201,525 | |
New Jersey Higher Ed. Student Assistance Auth. Student Ln. Rev.: | |||
Series 2014 A1 1, 5% 12/1/22 (c) | 590,000 | 600,182 | |
Series 2018 C, 4% 12/1/48 (c) | 250,000 | 243,388 | |
New Jersey Hsg. & Mtg. Fin. Agcy. Rev. Series 2019 C, 4.75% 10/1/50 | 865,000 | 905,775 | |
New Jersey Institute of Technology: | |||
Series 2012 A, 5% 7/1/42 (Pre-Refunded to 7/1/22 @ 100) | 820,000 | 822,583 | |
Series 2015 A, 5% 7/1/40 | 1,030,000 | 1,088,128 | |
New Jersey Tobacco Settlement Fing. Corp.: | |||
Series 2018 A: | |||
5% 6/1/31 | 500,000 | 540,055 | |
5% 6/1/33 | 800,000 | 859,873 | |
5% 6/1/36 | 800,000 | 856,138 | |
5% 6/1/46 | 250,000 | 265,128 | |
5.25% 6/1/46 | 2,290,000 | 2,465,312 | |
Series 2018 B, 5% 6/1/46 | 900,000 | 925,327 | |
New Jersey Tpk. Auth. Tpk. Rev.: | |||
Series 2012 B, 5% 1/1/30 (Pre-Refunded to 1/1/23 @ 100) | 1,180,000 | 1,204,672 | |
Series 2014 A, 5% 1/1/28 | 1,175,000 | 1,236,171 | |
Series 2015 E, 5% 1/1/45 | 985,000 | 1,031,925 | |
Series 2017 D1, 1 month U.S. LIBOR + 0.700% 1.26% 1/1/24 (a)(b) | 4,100,000 | 4,130,912 | |
Series 2021 A: | |||
4% 1/1/42 | 570,000 | 587,601 | |
4% 1/1/51 | 6,195,000 | 6,305,827 | |
New Jersey Trans. Trust Fund Auth.: | |||
(Trans. Prog.) Series 2019 AA: | |||
5% 6/15/46 | 925,000 | 984,841 | |
5.25% 6/15/43 | 5,505,000 | 5,982,304 | |
Series 2006 C: | |||
0% 12/15/30 (FGIC Insured) | 2,560,000 | 1,954,027 | |
0% 12/15/31 (FGIC Insured) | 1,355,000 | 992,371 | |
0% 12/15/34 | 2,600,000 | 1,678,324 | |
Series 2008 A, 0% 12/15/28 | 2,110,000 | 1,729,915 | |
Series 2009 A, 0% 12/15/39 | 2,850,000 | 1,455,673 | |
Series 2014 BB1, 5% 6/15/32 | 500,000 | 544,156 | |
Series 2018 A: | |||
5% 6/15/28 | 500,000 | 542,134 | |
5% 6/15/29 | 900,000 | 971,279 | |
5% 6/15/31 | 2,490,000 | 2,669,553 | |
Series 2019 BB: | |||
4% 6/15/50 | 250,000 | 244,982 | |
5% 6/15/44 | 2,100,000 | 2,248,635 | |
Series 2020 AA, 4% 6/15/50 | 2,845,000 | 2,827,764 | |
Series 2021 A: | |||
4% 6/15/34 | 715,000 | 728,709 | |
4% 6/15/35 | 365,000 | 370,750 | |
4% 6/15/36 | 1,530,000 | 1,549,784 | |
4% 6/15/38 | 750,000 | 756,447 | |
Series 2022 A: | |||
4% 6/15/39 | 995,000 | 1,001,510 | |
4% 6/15/40 | 1,010,000 | 1,014,777 | |
4% 6/15/41 | 695,000 | 697,123 | |
4% 6/15/42 | 490,000 | 490,406 | |
Series 2022 AA: | |||
5% 6/15/35 | 440,000 | 493,188 | |
5% 6/15/36 | 660,000 | 738,825 | |
5% 6/15/37 | 530,000 | 592,452 | |
5% 6/15/38 | 250,000 | 278,912 | |
Series 2022 BB: | |||
4% 6/15/40 | 300,000 | 301,360 | |
4% 6/15/41 | 300,000 | 300,879 | |
4% 6/15/42 | 300,000 | 300,238 | |
4% 6/15/46 | 1,545,000 | 1,528,318 | |
4% 6/15/50 | 2,725,000 | 2,670,307 | |
Series A: | |||
5% 12/15/25 | 855,000 | 918,508 | |
5% 12/15/26 | 750,000 | 815,229 | |
Series AA: | |||
4% 6/15/37 | 250,000 | 252,743 | |
4% 6/15/45 | 2,455,000 | 2,438,595 | |
4% 6/15/50 | 2,415,000 | 2,366,529 | |
5% 6/15/44 | 1,300,000 | 1,316,107 | |
5% 6/15/50 | 650,000 | 698,903 | |
Series BB, 4% 6/15/44 | 1,720,000 | 1,710,520 | |
South Jersey Port Corp. Rev.: | |||
(New Jersey Gen. Oblig. Proj.) Series 2017 B: | |||
5% 1/1/42 (c) | 740,000 | 769,881 | |
5% 1/1/48 (c) | 1,675,000 | 1,732,550 | |
Series 2017 A, 5% 1/1/49 | 410,000 | 431,576 | |
South Jersey Trans. Auth. Trans. Sys. Rev. Series 2020 A: | |||
4% 11/1/50 | 600,000 | 560,229 | |
5% 11/1/45 | 250,000 | 267,616 | |
The Poll. Cont. Fin. Auth. of Gloucester County Poll. Cont. Rev. (Logan Proj.) Series 2014 A, 5% 12/1/24 (c) | 415,000 | 432,502 | |
Union County Impt. Auth. Solid Waste Disp. Rev. (Aries Linden, LLC Proj.) Series 2019, 6.75% 12/1/41 (c)(e) | 460,000 | 414,972 | |
TOTAL NEW JERSEY | 147,668,822 | ||
New Mexico - 0.0% | |||
Farmington Poll. Cont. Rev. Bonds (Pub. Svc. Co. of New Mexico San Juan Proj.) Series 2010 C, 1.15%, tender 6/1/24 (a) | 590,000 | 569,685 | |
New Mexico Fin. Auth. Trans. Rev. Series 2021 A, 5% 6/15/25 | 300,000 | 325,615 | |
New Mexico Gen. Oblig. Series 2021, 5% 3/1/27 | 500,000 | 563,589 | |
New Mexico Hosp. Equip. Ln. Council Rev.: | |||
(Gerald Champion Reg'l. Med. Ctr. Proj.) Series 2012 A, 5.5% 7/1/42 | 250,000 | 250,646 | |
Series 2019 A: | |||
4% 8/1/48 | 1,325,000 | 1,328,568 | |
5% 8/1/44 | 500,000 | 539,346 | |
TOTAL NEW MEXICO | 3,577,449 | ||
New York - 2.9% | |||
Brookhaven Loc Dev. Corp. (Active Retirement Cmnty., Inc. D/B/A Jeffersons Ferry Proj.) Series 2016, 5.25% 11/1/36 | 210,000 | 226,507 | |
Brooklyn Arena Local Dev. Corp. Series 2016 A, 5% 7/15/42 | 1,415,000 | 1,487,486 | |
Build NYC Resource Corp. Rev.: | |||
(Friends of Hellenic Classical Charter Schools, Inc. Proj.): | |||
Series 2021 A: | |||
5% 12/1/51 (e) | 130,000 | 132,109 | |
5% 12/1/55 (e) | 100,000 | 101,307 | |
Series 2021 A1, 5% 12/1/41 (e) | 115,000 | 118,106 | |
(Richmond Preparatory Charter School Proj.) Series 2021 A, 5% 6/1/51 (e) | 350,000 | 354,118 | |
(Shefa School Proj.) Series 2021 A, 5% 6/15/51 (e) | 1,910,000 | 1,965,932 | |
Build NYC Resource Corp. Solid Waste Disp. Rev. (Pratt Paper NY, Inc. Proj.) Series 2014, 5% 1/1/35 (c)(e) | 2,200,000 | 2,265,881 | |
Dorm. Auth. New York Univ. Rev.: | |||
Series 2011 A, 5% 10/1/25 | 15,000 | 15,041 | |
Series 2016 A, 5% 7/1/37 | 765,000 | 811,564 | |
Series 2017: | |||
5% 12/1/30 (e) | 200,000 | 215,284 | |
5% 12/1/31 (e) | 200,000 | 214,388 | |
5% 12/1/34 (e) | 300,000 | 318,890 | |
5% 12/1/35 (e) | 255,000 | 270,835 | |
5% 12/1/36 (e) | 200,000 | 212,249 | |
5% 12/1/37 (e) | 105,000 | 111,383 | |
Dutchess County Local Dev. Corp. Rev. (Bard College Proj.) Series 2020 A, 5% 7/1/51 (e) | 300,000 | 311,086 | |
Erie County Tobacco Asset Securitization Corp.: | |||
Series 2005 B, 0% 6/1/47 | 2,000,000 | 443,542 | |
Series 2006 A, 0% 6/1/60 (e) | 19,535,000 | 1,127,199 | |
Glen Cove Local Econ. Assistance Corp. Rev. (Garvies Point Pub. Impt. Proj.): | |||
Series 2016 A, 5% 1/1/56 | 1,125,000 | 1,110,522 | |
Series 2016 B, 0% 1/1/45 | 6,975,000 | 2,012,935 | |
Series 2016 C, 0% 1/1/55 (g) | 1,645,000 | 1,529,753 | |
Huntington Local Dev. Corp. Rev. (Gurwin Independent Hsg., Inc. / Fountaingate Gardens Proj.) Series 2021 B, 4% 7/1/27 | 250,000 | 243,707 | |
Liberty Dev. Corp. Rev. Series 2005, 5.25% 10/1/35 | 6,085,000 | 7,184,844 | |
Long Island Pwr. Auth. Elec. Sys. Rev.: | |||
Series 2012 A: | |||
5% 9/1/37 | 630,000 | 635,445 | |
5% 9/1/37 (Pre-Refunded to 9/1/22 @ 100) | 390,000 | 393,675 | |
Series 2012, 5% 9/1/37 (Pre-Refunded to 9/1/22 @ 100) | 510,000 | 514,806 | |
Series 2014 A: | |||
5% 9/1/34 | 390,000 | 411,286 | |
5% 9/1/39 | 1,000,000 | 1,047,417 | |
Series 2015 B, 5% 9/1/45 | 900,000 | 957,994 | |
Series 2016 B, 5% 9/1/41 | 710,000 | 771,416 | |
Series 2017, 5% 9/1/47 | 195,000 | 214,152 | |
Series 2019 A, 4% 9/1/38 | 1,240,000 | 1,278,484 | |
Monroe County Indl. Dev. Corp. (Univ. of Rochester Proj.) Series 2020 A, 4% 7/1/50 | 2,575,000 | 2,576,462 | |
MTA Hudson Rail Yards Trust Oblig. Series 2016 A, 5% 11/15/56 | 250,000 | 257,595 | |
Nassau County Gen. Oblig. Series 2019 B, 5% 4/1/44 (Assured Guaranty Muni. Corp. Insured) | 750,000 | 833,112 | |
Nassau County Indl. Dev. Agcy.: | |||
Series 2021 A, 9% 1/1/41 (e) | 1,580,000 | 1,413,716 | |
Series 2021 B, 5% 1/1/58 (h) | 3,260,000 | 2,365,374 | |
Nassau County Tobacco Settlement Corp. Series 2006 A3, 5.125% 6/1/46 | 300,000 | 300,343 | |
New York City Edl. Construction Fund Series 2021 B, 5% 4/1/52 | 250,000 | 274,147 | |
New York City Gen. Oblig.: | |||
Series 2014 J: | |||
5% 8/1/30 | 1,275,000 | 1,345,934 | |
5% 8/1/33 | 440,000 | 464,288 | |
Series 2015 A, 5% 8/1/28 | 250,000 | 264,180 | |
Series 2017 A, 4% 8/1/32 | 1,000,000 | 1,035,104 | |
Series 2017 B: | |||
5% 12/1/37 | 1,060,000 | 1,157,451 | |
5% 12/1/41 | 1,175,000 | 1,275,262 | |
Series 2018 B1: | |||
5% 10/1/38 | 750,000 | 819,765 | |
5.25% 10/1/32 | 2,150,000 | 2,419,336 | |
Series 2018 E1, 5% 3/1/44 | 1,175,000 | 1,283,433 | |
Series 2018 F, 5% 4/1/45 | 1,265,000 | 1,381,330 | |
Series 2019 A1, 3% 8/1/36 | 1,100,000 | 1,055,434 | |
Series 2019 D1: | |||
4% 12/1/42 | 205,000 | 211,771 | |
5% 12/1/42 | 1,475,000 | 1,636,160 | |
Series 2019, 4% 8/1/38 | 1,100,000 | 1,139,990 | |
Series 2020 C, 5% 8/1/43 | 500,000 | 558,820 | |
Series 2020 D, 4% 3/1/41 | 1,300,000 | 1,354,372 | |
Series 2021 A1: | |||
3% 8/1/50 | 500,000 | 419,964 | |
5% 8/1/32 | 500,000 | 585,083 | |
Series 2021 C, 4% 8/1/40 | 1,000,000 | 1,040,935 | |
Series 2021 F1: | |||
4% 3/1/40 | 595,000 | 620,850 | |
5% 3/1/43 | 750,000 | 848,527 | |
Series 2021, 4% 8/1/40 | 500,000 | 522,609 | |
Series 2022 A1: | |||
5% 8/1/35 | 500,000 | 580,262 | |
5% 8/1/47 | 170,000 | 192,052 | |
Series 2022 D, 4.5% 5/1/49 | 500,000 | 537,303 | |
Series 2022 D1: | |||
4.25% 5/1/40 | 750,000 | 801,914 | |
5.5% 5/1/44 | 925,000 | 1,110,852 | |
5.5% 5/1/46 | 625,000 | 749,172 | |
Series B: | |||
5% 10/1/42 | 2,065,000 | 2,293,460 | |
5% 10/1/43 | 500,000 | 554,202 | |
New York City Hsg. Dev. Corp. Series 2013 E1C, 4.95% 11/1/46 | 800,000 | 849,003 | |
New York City Hsg. Dev. Corp. Multifamily Hsg. Series 2021 A1, 2.25% 11/1/36 | 250,000 | 209,868 | |
New York City Indl. Dev. Agcy. Rev. (Yankee Stadium Proj.) Series 2020 A: | |||
3% 3/1/38 (Assured Guaranty Muni. Corp. Insured) | 1,000,000 | 897,932 | |
3% 3/1/49 | 250,000 | 190,446 | |
3% 3/1/49 (Assured Guaranty Muni. Corp. Insured) | 500,000 | 394,007 | |
New York City Muni. Wtr. Fin. Auth. Wtr. & Swr. Sys. Rev.: | |||
Series 2018 EE, 5% 6/15/40 | 1,500,000 | 1,651,917 | |
Series 2020 FF, 4% 6/15/41 | 750,000 | 777,596 | |
Series 2020 GG1, 5% 6/15/50 | 1,585,000 | 1,789,180 | |
Series 2021 BB1, 5% 6/15/50 | 1,000,000 | 1,135,806 | |
Series 2021 CC1, 5% 6/15/51 | 2,280,000 | 2,591,405 | |
Series 2021 DD, 4% 6/15/36 | 1,285,000 | 1,357,946 | |
Series 2022 CC2: | |||
5% 6/15/26 | 395,000 | 422,549 | |
5% 6/15/27 | 395,000 | 433,398 | |
New York City Transitional Fin. Auth. Bldg. Aid Rev.: | |||
Series 2013 S1, 5% 7/15/37 | 605,000 | 606,891 | |
Series 2015 S1: | |||
5% 7/15/33 | 750,000 | 790,823 | |
5% 7/15/36 | 1,050,000 | 1,103,080 | |
Series 2015 S2, 5% 7/15/34 | 500,000 | 530,662 | |
Series 2016 S1, 5% 7/15/43 | 925,000 | 992,711 | |
Series 2018 S3, 5% 7/15/43 | 1,475,000 | 1,614,491 | |
Series 2019 S1, 5% 7/15/45 | 1,475,000 | 1,611,602 | |
Series 2019 S3, 5% 7/15/37 | 305,000 | 337,284 | |
Series 2022 S1, 4% 7/15/35 | 500,000 | 527,205 | |
New York City Transitional Fin. Auth. Rev.: | |||
Series 2014 A1, 5% 11/1/42 | 1,220,000 | 1,257,859 | |
Series 2016 E, 5% 2/1/37 | 500,000 | 536,980 | |
Series 2017 A, 5% 8/1/34 | 900,000 | 996,615 | |
Series 2017 A1, 5% 5/1/33 | 1,025,000 | 1,113,076 | |
Series 2017 B1, 4% 8/1/41 | 1,390,000 | 1,424,727 | |
Series 2017 F, 5% 5/1/32 | 500,000 | 553,406 | |
Series 2017 F1, 5% 5/1/42 | 1,200,000 | 1,303,803 | |
Series 2019 B1: | |||
4% 11/1/43 | 1,495,000 | 1,544,294 | |
5% 8/1/36 | 2,050,000 | 2,270,371 | |
5% 8/1/38 | 1,475,000 | 1,629,963 | |
Series 2019 C1, 4% 11/1/40 | 1,150,000 | 1,191,412 | |
Series 2020 A3: | |||
4% 5/1/41 | 900,000 | 931,250 | |
4% 5/1/44 | 815,000 | 838,956 | |
Series 2020 B1: | |||
4% 11/1/39 | 2,475,000 | 2,576,782 | |
4% 11/1/42 | 1,500,000 | 1,552,679 | |
Series 2020 C1, 4% 5/1/43 | 2,225,000 | 2,305,258 | |
Series 2021 A: | |||
3% 11/1/37 | 1,500,000 | 1,387,101 | |
3% 11/1/39 | 300,000 | 272,103 | |
5% 11/1/26 | 675,000 | 757,272 | |
Series 2021 C: | |||
4% 5/1/45 | 1,500,000 | 1,548,163 | |
4% 5/1/46 | 2,250,000 | 2,319,601 | |
Series 2021 C1, 4% 5/1/39 | 1,400,000 | 1,462,220 | |
Series 2021 D: | |||
4% 11/1/38 | 500,000 | 523,166 | |
4% 11/1/39 | 500,000 | 522,221 | |
Series 2021 D1: | |||
4% 11/1/40 | 1,565,000 | 1,630,781 | |
4% 11/1/42 | 800,000 | 830,777 | |
Series 2021 F1: | |||
4% 11/1/36 | 145,000 | 152,820 | |
4% 11/1/37 | 440,000 | 462,641 | |
Series 2021, 4% 11/1/38 | 790,000 | 830,310 | |
Series 2022 A1, 4% 11/1/37 | 1,000,000 | 1,053,921 | |
Series 2022 B1: | |||
3% 8/1/41 | 500,000 | 448,356 | |
5% 8/1/45 | 3,180,000 | 3,621,967 | |
Series 2022 C1: | |||
4% 2/1/38 | 690,000 | 725,991 | |
5% 2/1/51 | 1,750,000 | 1,992,227 | |
Series C1, 4% 5/1/40 | 800,000 | 833,626 | |
New York Convention Ctr. Dev. Corp. Rev. Series 2016 B, 0% 11/15/55 | 410,000 | 83,969 | |
New York Dorm. Auth. Mental Health Svcs. Facilities Impt. Rev. Series 2017, 5% 1/1/47 | 250,000 | 255,110 | |
New York Dorm. Auth. Personal Income Tax Rev. Series 2015 E, 5% 3/15/34 | 500,000 | 540,873 | |
New York Dorm. Auth. Rev.: | |||
Series 2020 A: | |||
4% 7/1/50 | 1,630,000 | 1,642,140 | |
5% 10/1/34 (Assured Guaranty Muni. Corp. Insured) | 500,000 | 565,617 | |
Series 2021 A, 4% 7/1/46 | 800,000 | 810,895 | |
Series 2022 A: | |||
5% 10/1/36 (f) | 2,830,000 | 3,212,761 | |
5% 5/1/52 | 2,000,000 | 2,202,422 | |
New York Dorm. Auth. Sales Tax Rev.: | |||
Series 2016 A, 5% 3/15/35 | 1,785,000 | 1,940,535 | |
Series 2017 A: | |||
5% 3/15/39 | 945,000 | 1,035,786 | |
5% 3/15/40 | 1,000,000 | 1,093,615 | |
5% 3/15/42 | 470,000 | 511,848 | |
5% 3/15/44 | 500,000 | 542,002 | |
Series 2018 A: | |||
5% 3/15/40 | 2,450,000 | 2,685,133 | |
5% 3/15/43 | 900,000 | 981,878 | |
Series 2018 C: | |||
5% 3/15/40 | 1,650,000 | 1,808,355 | |
5% 3/15/41 | 1,650,000 | 1,805,556 | |
Series 2018 E: | |||
5% 3/15/31 | 645,000 | 727,312 | |
5% 3/15/40 | 750,000 | 827,609 | |
New York Liberty Dev. Corp.: | |||
(3 World Trade Ctr. Proj.) Series 2014: | |||
5.15% 11/15/34 (e) | 800,000 | 813,230 | |
5.375% 11/15/40 (e) | 5,685,000 | 5,781,995 | |
(7 World Trade Ctr. Proj.) Series 2022 A: | |||
3% 9/15/43 | 500,000 | 443,774 | |
3.25% 9/15/52 | 750,000 | 655,175 | |
(Bank of America Tower at One Bryant Park Proj.) Series 2019 1, 2.45% 9/15/69 | 1,300,000 | 1,238,946 | |
(Bank of America Tower At One Bryant Park Proj.) Series 2019 3, 2.8% 9/15/69 | 840,000 | 785,581 | |
(World Trade Ctr. Proj.) Series 2014, 7.25% 11/15/44 (e) | 300,000 | 304,808 | |
Series 2021 A, 3% 11/15/51 | 1,770,000 | 1,450,593 | |
Series 2021: | |||
2.75% 2/15/44 | 250,000 | 204,920 | |
3% 2/15/42 | 750,000 | 657,839 | |
4% 2/15/43 | 2,765,000 | 2,812,420 | |
New York Metropolitan Trans. Auth. Dedicated Tax Fund Rev.: | |||
Series 2016 A: | |||
5.25% 11/15/31 | 1,475,000 | 1,606,896 | |
5.25% 11/15/33 | 1,000,000 | 1,082,926 | |
Series 2016 B1, 5% 11/15/36 | 1,300,000 | 1,376,204 | |
Series 2016 B2, 5% 11/15/36 | 470,000 | 497,559 | |
New York Metropolitan Trans. Auth. Rev.: | |||
Bonds Series 2002 D2: | |||
0.550% x U.S. Secured Overnight Fin. Rate (SOFR) Indx 1.073%, tender 4/1/24 (Assured Guaranty Muni. Corp. Insured) (a)(b) | 4,220,000 | 4,164,672 | |
0.550% x U.S. Secured Overnight Fin. Rate (SOFR) Indx 1.073%, tender 4/1/24 (Assured Guaranty Muni. Corp. Insured) (a)(b) | 495,000 | 488,506 | |
Series 2006 B, 5.25% 11/15/26 (Assured Guaranty Muni. Corp. Insured) | 1,180,000 | 1,298,145 | |
Series 2012 F, 5% 11/15/30 | 250,000 | 253,173 | |
Series 2013 C: | |||
5% 11/15/22 | 1,000,000 | 1,015,898 | |
5% 11/15/38 | 800,000 | 817,503 | |
5% 11/15/42 | 975,000 | 995,406 | |
Series 2014 B, 5.25% 11/15/35 | 500,000 | 521,070 | |
Series 2015 A1, 5% 11/15/40 | 500,000 | 515,656 | |
Series 2015 B, 5% 11/15/40 | 250,000 | 257,828 | |
Series 2015 D1, 5% 11/15/26 | 500,000 | 536,793 | |
Series 2016 A1, 5% 11/15/41 | 500,000 | 519,948 | |
Series 2016 A2, 5% 11/15/27 | 250,000 | 271,937 | |
Series 2016 D, 5% 11/15/27 | 250,000 | 271,937 | |
Series 2017 D, 5% 11/15/33 | 345,000 | 368,409 | |
Series 2019 B, 4% 11/15/49 (Assured Guaranty Muni. Corp. Insured) | 450,000 | 438,434 | |
Series 2019 C: | |||
4% 11/15/48 (Assured Guaranty Muni. Corp. Insured) | 550,000 | 537,226 | |
5% 11/15/42 | 250,000 | 266,081 | |
5% 11/15/43 | 250,000 | 262,968 | |
5% 11/15/44 | 1,600,000 | 1,680,088 | |
Series 2019 F, 5% 11/15/22 | 1,485,000 | 1,505,573 | |
Series 2020 A: | |||
5% 2/1/23 | 905,000 | 920,664 | |
5% 11/15/47 | 850,000 | 904,258 | |
Series 2020 A1: | |||
4% 11/15/42 (Assured Guaranty Muni. Corp. Insured) | 800,000 | 785,418 | |
4% 11/15/44 (Assured Guaranty Muni. Corp. Insured) | 500,000 | 494,791 | |
4% 11/15/46 | 500,000 | 486,233 | |
4% 11/15/54 (Assured Guaranty Muni. Corp. Insured) | 725,000 | 697,399 | |
5% 11/15/49 | 3,095,000 | 3,287,145 | |
Series 2020 C1, 5.25% 11/15/55 | 680,000 | 734,036 | |
Series 2020 D, 5% 11/15/45 | 2,050,000 | 2,192,772 | |
Series 2020 E, 4% 11/15/45 | 250,000 | 246,075 | |
Series 2021 A1, 4% 11/15/47 | 2,900,000 | 2,812,365 | |
Series 2021 A2, 4% 11/15/43 | 250,000 | 246,767 | |
New York Pwr. Auth. Series 2022 A, 4% 11/15/47 (Assured Guaranty Muni. Corp. Insured) | 850,000 | 873,304 | |
New York State Dorm. Auth.: | |||
Series 2019 A: | |||
4% 3/15/48 | 250,000 | 255,724 | |
5% 3/15/36 | 1,000,000 | 1,124,226 | |
5% 3/15/46 | 1,475,000 | 1,629,975 | |
Series 2019 D: | |||
4% 2/15/37 | 500,000 | 522,306 | |
4% 2/15/47 | 1,745,000 | 1,785,121 | |
5% 2/15/48 | 1,075,000 | 1,195,593 | |
Series 2019 E, 5% 2/15/35 | 405,000 | 461,345 | |
Series 2020 A: | |||
3% 3/15/49 | 250,000 | 216,076 | |
4% 3/15/47 | 500,000 | 512,244 | |
4% 3/15/48 | 805,000 | 824,042 | |
Series 2021 E: | |||
3% 3/15/41 | 950,000 | 843,720 | |
3% 3/15/50 | 2,500,000 | 2,149,550 | |
4% 3/15/42 | 1,000,000 | 1,037,008 | |
Series 2022 A: | |||
4% 3/15/49 | 550,000 | 564,409 | |
5% 3/15/41 | 1,000,000 | 1,150,965 | |
New York State Gen. Oblig. Series 2021 A, 5% 3/15/24 | 265,000 | 279,837 | |
New York State Hsg. Fin. Agcy. Rev.: | |||
Series 2020 L2, 0.75% 11/1/25 | 1,325,000 | 1,234,916 | |
Series 2020 M2, 0.75% 11/1/25 | 740,000 | 694,297 | |
New York State Urban Dev. Corp.: | |||
Series 2020 A, 4% 3/15/45 | 1,760,000 | 1,808,097 | |
Series 2020 C: | |||
3% 3/15/40 | 1,500,000 | 1,365,742 | |
5% 3/15/47 | 750,000 | 836,318 | |
Series 2020 E: | |||
3% 3/15/47 | 250,000 | 219,552 | |
3% 3/15/48 | 1,900,000 | 1,660,474 | |
4% 3/15/37 | 2,255,000 | 2,347,124 | |
4% 3/15/38 | 2,150,000 | 2,232,603 | |
4% 3/15/39 | 1,215,000 | 1,258,710 | |
4% 3/15/41 | 4,000,000 | 4,132,022 | |
New York State Urban Eev Corp.: | |||
Series 2019 A: | |||
4% 3/15/42 | 900,000 | 928,183 | |
5% 3/15/36 | 500,000 | 562,383 | |
Series 2021 A: | |||
3% 3/15/41 | 1,000,000 | 902,423 | |
3% 3/15/42 | 1,000,000 | 898,439 | |
4% 3/15/44 | 960,000 | 987,216 | |
5% 3/15/25 | 1,900,000 | 2,045,241 | |
New York Thruway Auth. Gen. Rev.: | |||
Series 2019 B: | |||
4% 1/1/39 | 1,625,000 | 1,681,042 | |
4% 1/1/41 | 1,000,000 | 1,026,227 | |
4% 1/1/45 | 2,000,000 | 2,043,977 | |
4% 1/1/50 | 2,000,000 | 2,036,472 | |
4% 1/1/50 (Assured Guaranty Muni. Corp. Insured) | 1,050,000 | 1,074,028 | |
Series 2020 N: | |||
5% 1/1/34 | 1,075,000 | 1,216,774 | |
5% 1/1/35 | 750,000 | 843,805 | |
5% 1/1/36 | 1,600,000 | 1,795,732 | |
5% 1/1/38 | 750,000 | 836,320 | |
Series 2021 O, 4% 1/1/39 | 750,000 | 773,151 | |
Series 2021, 4% 1/1/37 | 3,280,000 | 3,394,203 | |
New York Thruway Auth. Personal Income Tax Rev. Series 2021 A1: | |||
3% 3/15/48 | 400,000 | 351,668 | |
3% 3/15/51 | 1,500,000 | 1,299,321 | |
4% 3/15/52 | 470,000 | 479,526 | |
4% 3/15/54 | 2,000,000 | 2,037,529 | |
New York Trans. Dev. Corp.: | |||
(American Airlines, Inc. John F. Kennedy Int'l. Arpt. Proj.): | |||
Series 2016: | |||
5% 8/1/26 (c) | 2,080,000 | 2,080,113 | |
5% 8/1/31 (c) | 2,635,000 | 2,635,143 | |
Series 2020: | |||
5.25% 8/1/31 (c) | 635,000 | 673,953 | |
5.375% 8/1/36 (c) | 700,000 | 759,616 | |
(Delta Air Lines, Inc. - Laguardia Arpt. Terminals C&D Redev. Proj.) Series 2020: | |||
4.375% 10/1/45 (c) | 4,225,000 | 4,060,393 | |
5% 10/1/40 (c) | 1,535,000 | 1,587,855 | |
(Delta Air Lines, Inc. Laguardia Arpt. Terminals C&D Redev. Proj.) Series 2018, 5% 1/1/34 (c) | 1,595,000 | 1,651,407 | |
(Delta Airlines, Inc. LaGuardia Arpt. Terminals C&D Redev. Proj.) Series 2020, 5% 10/1/35 (c) | 1,870,000 | 1,957,839 | |
(Term. 4 John F. Kennedy Int'l. Arpt. Proj.) Series 2022: | |||
5% 12/1/27 (c) | 500,000 | 534,920 | |
5% 12/1/28 (c) | 500,000 | 535,767 | |
5% 12/1/29 (c) | 1,000,000 | 1,076,518 | |
5% 12/1/38 (c) | 1,500,000 | 1,616,498 | |
5% 12/1/39 (c) | 750,000 | 806,570 | |
5% 12/1/40 (c) | 475,000 | 509,890 | |
5% 12/1/41 (c) | 475,000 | 509,025 | |
5% 12/1/42 (c) | 475,000 | 507,884 | |
Series 2016 A: | |||
4% 7/1/31 (c) | 1,050,000 | 1,060,061 | |
4% 7/1/36 (Assured Guaranty Muni. Corp. Insured) (c) | 2,350,000 | 2,363,935 | |
5.25% 1/1/50 (c) | 750,000 | 781,438 | |
Series 2021: | |||
2.25% 8/1/26 (c) | 190,000 | 179,173 | |
3% 8/1/31 (c) | 420,000 | 392,020 | |
New York Urban Dev. Corp. Rev.: | |||
Series 2016 A, 5% 3/15/30 | 1,300,000 | 1,422,804 | |
Series 2019 A: | |||
5% 3/15/37 | 710,000 | 790,003 | |
5% 3/15/43 | 1,075,000 | 1,182,993 | |
Oneida County Local Dev. Corp. Rev. (Mohawk Valley Health Sys. Proj.) Series 2019 A, 3% 12/1/44 (Assured Guaranty Muni. Corp. Insured) | 250,000 | 218,272 | |
Onondaga Civic Dev. Corp. (St. Joseph's Hosp. Health Ctr. Proj.) Series 2012, 5% 7/1/42 (Pre-Refunded to 7/1/22 @ 100) | 1,010,000 | 1,013,123 | |
Onondaga County Trust for Cultural Resources Rev. Series 2019: | |||
4% 12/1/47 | 500,000 | 506,008 | |
5% 12/1/45 | 1,750,000 | 1,955,433 | |
Orange County N Y Fdg Corp. Assistance (The Hamlet at Wallkill Assisted Living Proj.) Series 2012, 6.5% 1/1/46 | 665,000 | 591,902 | |
Port Auth. of New York & New Jersey Series 2020 222, 4% 7/15/39 | 900,000 | 935,531 | |
Suffolk County Econ. Dev. Corp. Rev. Series 2021: | |||
5.125% 11/1/41 (e) | 290,000 | 264,475 | |
5.375% 11/1/54 (e) | 245,000 | 222,575 | |
Suffolk County Gen. Oblig.: | |||
Series 2017 D, 4% 10/15/28 | 310,000 | 337,277 | |
Series 2019 B: | |||
3% 10/15/31 (Assured Guaranty Muni. Corp. Insured) | 500,000 | 495,661 | |
5% 10/15/28 (Assured Guaranty Muni. Corp. Insured) | 500,000 | 568,876 | |
Series 2021 A, 4% 6/15/30 | 535,000 | 583,859 | |
Suffolk Tobacco Asset Securitization Corp. Series 2021 B2, 0% 6/1/66 | 1,250,000 | 171,942 | |
Tobacco Settlement Asset Securitization Corp. Series 2017 A: | |||
5% 6/1/34 | 800,000 | 851,583 | |
5% 6/1/35 | 250,000 | 265,789 | |
Tompkins County Dev. Corp. Continuing Care Retirement Cmnty. Rev.: | |||
(Kendal at Itchaca, Inc. Proj.) Series 2014 A, 5% 7/1/29 | 125,000 | 130,466 | |
(Kendal at Ithaca, Inc. Proj.) Series 2014 A, 5% 7/1/34 | 235,000 | 243,923 | |
(Kendal at Ithaca, Inc. Proj.) Series 2014 A, 5% 7/1/44 | 255,000 | 263,070 | |
Triborough Bridge & Tunnel Auth.: | |||
Series 2021 A1: | |||
4% 5/15/46 | 500,000 | 514,768 | |
5% 5/15/51 | 2,210,000 | 2,494,778 | |
Series 2021 C2, 3% 5/15/33 | 500,000 | 495,403 | |
Triborough Bridge & Tunnel Auth. Revs.: | |||
Series 2012 B, 5% 11/15/25 | 590,000 | 598,418 | |
Series 2017 B: | |||
5% 11/15/35 | 900,000 | 988,809 | |
5% 11/15/38 | 500,000 | 546,352 | |
Series 2018 A: | |||
5% 11/15/45 | 1,300,000 | 1,423,333 | |
5% 11/15/46 | 900,000 | 984,569 | |
Series 2019 A, 5% 11/15/42 | 930,000 | 1,034,912 | |
Series 2019 C, 4% 11/15/43 | 3,500,000 | 3,611,327 | |
Westchester County Local Dev. Co.: | |||
(Kendal On Hudson Proj.) Series 2022 B, 5% 1/1/51 (f) | 500,000 | 516,638 | |
Series 2014 A, 5.5% 5/1/42 | 3,480,000 | 3,581,696 | |
Yonkers Gen. Oblig. Series 2022 D, 4% 3/15/42 | 510,000 | 524,194 | |
TOTAL NEW YORK | 320,329,600 | ||
New York And New Jersey - 0.1% | |||
Port Auth. of New York & New Jersey: | |||
Series 2012 172, 5% 10/1/34 (c) | 590,000 | 591,118 | |
Series 2016 197, 5% 11/15/34 (c) | 1,300,000 | 1,373,317 | |
Series 2019 218: | |||
4% 11/1/41 (c) | 1,550,000 | 1,559,735 | |
5% 11/1/49 (c) | 500,000 | 527,904 | |
Series 2021 223: | |||
4% 7/15/41 (c) | 500,000 | 503,361 | |
4% 7/15/46 (c) | 6,450,000 | 6,439,103 | |
4% 7/15/51 (c) | 160,000 | 158,529 | |
Series 2022 231, 5.5% 8/1/47 (c) | 3,980,000 | 4,580,571 | |
Series 214, 4% 9/1/43 (c) | 575,000 | 576,373 | |
TOTAL NEW YORK AND NEW JERSEY | 16,310,011 | ||
North Carolina - 0.4% | |||
Greater Asheville Reg'l. Arpt. Auth. Series 2022 A, 5.5% 7/1/47 (Assured Guaranty Muni. Corp. Insured) (c)(f) | 3,500,000 | 3,967,902 | |
Mecklenburg County Gen. Oblig.: | |||
Series 2016 A, 5% 9/1/25 | 1,890,000 | 2,067,679 | |
Series 2017 A, 5% 4/1/25 | 595,000 | 644,520 | |
New Hanover County Gen. Oblig. Series 2021 A, 4% 8/1/27 | 215,000 | 233,559 | |
North Carolina Dept. of Trans. Private Activity Rev. (I-77 Hot Lanes Proj.) Series 2015, 5% 6/30/54 (c) | 250,000 | 254,144 | |
North Carolina Med. Care Commission Health Care Facilities Rev.: | |||
Series 2015: | |||
5% 10/1/25 | 500,000 | 511,775 | |
5% 10/1/30 | 265,000 | 268,763 | |
5% 10/1/35 | 810,000 | 817,923 | |
5% 6/1/40 | 3,730,000 | 3,863,100 | |
5% 6/1/45 | 3,885,000 | 4,008,691 | |
Series 2021 A, 4% 3/1/51 | 350,000 | 271,242 | |
Series 2021 C: | |||
4% 3/1/36 | 325,000 | 286,425 | |
4% 3/1/42 | 685,000 | 565,732 | |
North Carolina Med. Care Commission Retirement Facilities Rev.: | |||
(Salemtowne Proj.) Series 2015: | |||
5.25% 10/1/35 | 295,000 | 295,159 | |
5.25% 10/1/37 | 130,000 | 132,614 | |
5.375% 10/1/45 | 1,655,000 | 1,683,344 | |
(The Forest at Duke Proj.) Series 2021, 4% 9/1/51 | 1,600,000 | 1,528,148 | |
(The Pines at Davidson Proj.) Series 2019 A, 5% 1/1/49 | 250,000 | 261,114 | |
Series 2013, 6.25% 7/1/35 (Pre-Refunded to 7/1/23 @ 100) | 635,000 | 665,406 | |
Series 2015 A, 5% 9/1/37 (Pre-Refunded to 9/1/24 @ 100) | 295,000 | 313,901 | |
Series 2015: | |||
4.7% 7/1/37 | 385,000 | 385,861 | |
4.875% 7/1/40 | 755,000 | 758,075 | |
5% 7/1/45 | 625,000 | 627,982 | |
Series 2016: | |||
5% 10/1/31 | 245,000 | 250,627 | |
5% 10/1/37 | 220,000 | 222,975 | |
Series 2017 A: | |||
5% 7/1/47 | 165,000 | 165,360 | |
5% 10/1/47 (Pre-Refunded to 10/1/23 @ 103) | 250,000 | 267,553 | |
Series 2017 C, 5% 9/1/41 (Pre-Refunded to 9/1/23 @ 103) | 235,000 | 251,456 | |
Series 2019 A: | |||
5% 7/1/39 | 420,000 | 434,141 | |
5% 7/1/44 | 615,000 | 630,073 | |
5% 7/1/49 | 295,000 | 300,444 | |
Series 2021 A: | |||
4% 9/1/41 | 150,000 | 142,069 | |
4% 9/1/47 | 135,000 | 123,346 | |
4% 9/1/51 | 135,000 | 121,639 | |
North Carolina Muni. Pwr. Agcy. #1 Catawba Elec. Rev. Series 2015 A: | |||
5% 1/1/25 | 570,000 | 608,429 | |
5% 1/1/28 | 2,255,000 | 2,437,386 | |
North Carolina Tpk. Auth. Monroe Expressway Toll Rev. Series 2016 A: | |||
5% 7/1/42 | 165,000 | 170,845 | |
5% 7/1/47 | 750,000 | 772,709 | |
5% 7/1/51 | 730,000 | 750,733 | |
5% 7/1/54 | 3,100,000 | 3,185,364 | |
North Carolina Tpk. Auth. Triangle Expressway Sys.: | |||
Series 2017: | |||
5% 1/1/30 | 205,000 | 219,947 | |
5% 1/1/32 | 315,000 | 335,867 | |
Series 2018: | |||
5% 1/1/36 (Assured Guaranty Muni. Corp. Insured) | 710,000 | 797,303 | |
5% 1/1/40 | 2,415,000 | 2,573,494 | |
Series 2019: | |||
5% 1/1/49 | 600,000 | 634,129 | |
5% 1/1/49 (Assured Guaranty Muni. Corp. Insured) | 250,000 | 279,567 | |
Raleigh Durham Arpt. Auth. Arpt. Rev. Series 2020 A: | |||
5% 5/1/34 (c) | 635,000 | 705,014 | |
5% 5/1/35 (c) | 295,000 | 327,071 | |
5% 5/1/36 (c) | 145,000 | 160,583 | |
Univ. of North Carolina at Chapel Hill Rev. Series 2021 B: | |||
5% 12/1/36 | 530,000 | 626,253 | |
5% 12/1/38 | 620,000 | 730,632 | |
Univ. of North Carolina Hosp. at Chapel Hill Rev. Series 2016, 5% 2/1/46 | 60,000 | 62,767 | |
TOTAL NORTH CAROLINA | 42,700,835 | ||
North Dakota - 0.0% | |||
Cass County Health Care Facilities Rev. Series 2018 B, 5.25% 2/15/53 | 250,000 | 266,215 | |
Grand Forks Health Care Sys. Rev. Series 2021, 3% 12/1/51 | 500,000 | 390,375 | |
Univ. of North Dakota Hsg. and Auxiliary Facilities Rev. Series 2019 A, 4% 4/1/44 (Assured Guaranty Muni. Corp. Insured) | 750,000 | 764,033 | |
Ward County Health Care Facility Rev. Series 2017 C, 5% 6/1/48 | 700,000 | 728,823 | |
TOTAL NORTH DAKOTA | 2,149,446 | ||
Ohio - 0.9% | |||
Akron Bath Copley Hosp. District Rev. Series 2016, 5.25% 11/15/46 | 500,000 | 527,530 | |
American Muni. Pwr., Inc. Rev.: | |||
Series 2015 A, 5% 2/15/29 | 250,000 | 260,336 | |
Series 2021 A: | |||
4% 2/15/34 | 2,475,000 | 2,627,796 | |
5% 2/15/33 | 1,300,000 | 1,481,256 | |
Buckeye Tobacco Settlement Fing. Auth.: | |||
Series 2020 A, 0% 6/1/57 | 11,685,000 | 1,719,870 | |
Series 2020 A2: | |||
3% 6/1/48 | 1,890,000 | 1,467,842 | |
4% 6/1/37 | 765,000 | 771,728 | |
4% 6/1/38 | 520,000 | 523,346 | |
4% 6/1/39 | 1,030,000 | 1,034,880 | |
4% 6/1/48 | 2,335,000 | 2,257,955 | |
Series 2020 B2, 5% 6/1/55 | 37,195,000 | 37,757,980 | |
Cleveland-Cuyahoga County Port Auth.: | |||
(Centers for Dialysis Care Proj.) Series 2017 A, 5% 12/1/42 | 250,000 | 259,372 | |
(Playhouse Square Foundation Proj.) Series 2018: | |||
5.5% 12/1/43 | 240,000 | 254,361 | |
5.5% 12/1/53 | 1,370,000 | 1,440,141 | |
(The Cleveland Museum of Natural History Proj.) Series 2021: | |||
4% 7/1/40 | 85,000 | 88,075 | |
4% 7/1/41 | 105,000 | 108,216 | |
4% 7/1/46 | 220,000 | 221,818 | |
4% 7/1/51 | 295,000 | 295,575 | |
Cleveland-Cuyahoga County Port Auth. Rev. (Euclid Avenue Dev. Corp. Proj.) Series 2019, 4% 8/1/44 | 300,000 | 305,853 | |
Columbus Gen. Oblig. Series 2021 A, 5% 4/1/36 | 825,000 | 970,015 | |
Cuyahoga County Hosp. Rev. Series 2017: | |||
5% 2/15/37 | 250,000 | 264,364 | |
5% 2/15/42 | 635,000 | 676,264 | |
5% 2/15/52 | 250,000 | 264,154 | |
5% 2/15/57 | 670,000 | 707,932 | |
5.25% 2/15/47 | 525,000 | 564,158 | |
5.5% 2/15/52 | 4,220,000 | 4,606,379 | |
5.5% 2/15/57 | 4,320,000 | 4,715,535 | |
Franklin County Convention Facilities Auth. (Greater Columbus Convention Ctr. Hotel Expansion Proj.) Series 2019: | |||
5% 12/1/44 | 2,015,000 | 2,067,296 | |
5% 12/1/51 | 2,955,000 | 3,007,881 | |
Hamilton County Healthcare Rev.: | |||
(Life Enriching Cmntys. Proj.): | |||
Series 2016, 5% 1/1/36 | 440,000 | 445,443 | |
Series 2017 A, 5% 1/1/52 | 295,000 | 296,425 | |
(Life Enriching Communitites Proj.) Series 2016, 5% 1/1/46 | 1,240,000 | 1,247,615 | |
Hamilton County Hosp. Facilities Rev. Series 2019 CC, 5% 11/15/49 | 495,000 | 591,110 | |
Lake Local School District Gen. Oblig. Series 2022, 4% 12/1/58 | 1,035,000 | 1,045,902 | |
Lucas County Hosp. Rev. Series 2018 A, 5.25% 11/15/48 | 1,250,000 | 1,248,941 | |
Marion County Health Care Rev. Series 2019: | |||
5% 12/1/39 | 230,000 | 232,147 | |
5.125% 12/1/49 | 255,000 | 255,238 | |
Montgomery County Hosp. Rev. (Kettering Health Network Obligated Group Proj.) Series 2021, 4% 8/1/51 | 800,000 | 796,707 | |
Muskingum County Hosp. Facilities (Genesis Healthcare Sys. Obligated Group Proj.) Series 2013, 5% 2/15/44 | 705,000 | 706,846 | |
Ohio Air Quality Dev. Auth. Exempt Facilities Rev.: | |||
(AMG Vanadium Proj.) Series 2019, 5% 7/1/49 (c)(e) | 2,420,000 | 2,455,894 | |
(Pratt Paper (OH), LLC Proj.) Series 2017: | |||
4.25% 1/15/38 (c)(e) | 100,000 | 99,431 | |
4.5% 1/15/48 (c)(e) | 990,000 | 991,905 | |
Ohio Air Quality Dev. Auth. Rev. (Ohio Valley Elec. Corp. Proj.) Series 2019 A, 3.25% 9/1/29 | 1,800,000 | 1,715,727 | |
Ohio Higher Ed. Facilities Commission Healthcare Rev. Series 2018, 5.25% 1/1/48 | 250,000 | 207,493 | |
Ohio Higher Edl. Facility Commission Rev.: | |||
(The Univ. of Findlay 2019 Proj.) Series 2019, 5% 3/1/44 | 250,000 | 256,895 | |
(Tiffin Univ. 2019 Proj.) Series 2019, 4% 11/1/49 | 250,000 | 204,587 | |
Ohio Hosp. Facilities Rev. Series 2019 B, 4% 1/1/46 | 1,100,000 | 1,086,598 | |
Ohio Hosp. Rev.: | |||
Series 2020 A: | |||
4% 1/15/38 | 150,000 | 151,539 | |
4% 1/15/39 | 280,000 | 282,590 | |
5% 1/15/50 | 2,710,000 | 2,878,803 | |
Series 2021 A, 4% 1/15/46 | 1,000,000 | 1,005,228 | |
Ohio Hsg. Fin. Agcy. Multi-family Hsg. Rev. (Sanctuary at Springboro Proj.) Series 2017, 5.45% 1/1/38 (e) | 250,000 | 212,524 | |
Ohio Hsg. Fin. Agcy. Residential Mtg. Rev. (Mtg.-Backed Securities Prog.) Series 2018 A, 4.5% 9/1/48 | 705,000 | 731,066 | |
Ohio State Univ. Gen. Receipts Series 2021 A, 4% 12/1/48 | 2,400,000 | 2,452,239 | |
Ohio Tpk. Commission Tpk. Rev. (Infrastructure Projs.) Series 2013 A1, 5% 2/15/28 | 35,000 | 35,800 | |
Southeastern Ohio Port Auth. Hosp. Facilities Rev. (Memorial Health Sys. Obligated Group Proj.) Series 2012: | |||
5.75% 12/1/32 | 100,000 | 101,072 | |
6% 12/1/42 | 2,025,000 | 2,045,950 | |
Southern Ohio Port Auth. Exempt Facility Rev. (Purecycle Proj.) Series 2020 A, 7% 12/1/42 (c)(e) | 240,000 | 223,283 | |
Toledo Wtrwks. Rev. Series 2013, 5% 11/15/38 | 240,000 | 245,308 | |
Toledo-Lucas County Port Auth.: | |||
(Univ. of Toledo Parking Proj.) Series 2021, 4% 1/1/57 | 250,000 | 222,175 | |
Series 2014 A, 5% 7/1/46 | 250,000 | 251,612 | |
Univ. of Cincinnati Gen. Receipts Series 2017 A, 5% 6/1/45 | 1,350,000 | 1,459,795 | |
TOTAL OHIO | 97,431,796 | ||
Oklahoma - 0.1% | |||
Garfield County Edl. Facilities Auth. (Enid Pub. Schools Proj.) Series 2016 A: | |||
5% 9/1/27 | 500,000 | 552,745 | |
5% 9/1/28 | 750,000 | 827,201 | |
5% 9/1/29 | 750,000 | 825,609 | |
Lincoln County Edl. Facilities Rev. (Stroud Pub. Schools Proj.) Series 2016: | |||
5% 9/1/28 | 500,000 | 551,468 | |
5% 9/1/29 | 250,000 | 275,203 | |
Norman Reg'l. Hosp. Auth. Hosp. Rev. Series 2019, 4% 9/1/45 | 1,165,000 | 1,111,453 | |
Oklahoma County Fin. Auth. Rev.: | |||
(Epworth Villa Proj.): | |||
Series 2004 B, 5.75% 4/1/27 (a) | 90,000 | 76,500 | |
Series 2005 B, 6% 4/1/30 (a) | 115,000 | 97,750 | |
Series 2012 A: | |||
5% 4/1/33 | 435,000 | 369,750 | |
5.125% 4/1/42 | 420,000 | 357,000 | |
Series 2005 A, 5.875% 4/1/30 | 550,000 | 467,500 | |
Oklahoma Dev. Fin. Auth. Health Sys. Rev. (OU Medicine Proj.) Series 2018 B: | |||
5.5% 8/15/52 | 1,250,000 | 1,281,756 | |
5.5% 8/15/57 | 1,600,000 | 1,632,106 | |
Oklahoma Tpk. Auth. Tpk. Rev. Series 2017 C, 5% 1/1/47 | 385,000 | 418,160 | |
Tulsa Indl. Auth. Rev. (Montereau, Inc. Proj.) Series 2017: | |||
5% 11/15/31 | 265,000 | 278,524 | |
5.25% 11/15/37 | 175,000 | 184,515 | |
5.25% 11/15/45 | 1,455,000 | 1,519,363 | |
Tulsa Muni. Arpt. Trust Rev. Series 2001 B, 5.5% 12/1/35 (c) | 1,550,000 | 1,573,858 | |
Weatherford Indl. Trust Edl. Facilities Lease Rev. (Weatherford Pub. Schools Proj.) Series 2019, 5% 3/1/33 | 500,000 | 568,404 | |
TOTAL OKLAHOMA | 12,968,865 | ||
Oregon - 0.1% | |||
Clackamas County Hosp. Facility Auth.: | |||
(Willamette View, Inc.) Series 2017 A, 5% 11/15/47 | 195,000 | 196,196 | |
(Williamette View Proj.) Series 2017 A, 5% 11/15/32 | 135,000 | 138,886 | |
(Williamette View, Inc.) Series 2017 A: | |||
5% 11/15/37 | 70,000 | 71,335 | |
5% 11/15/52 | 210,000 | 210,790 | |
Eugene Elec. Util. Rev. Series 2020 A, 4% 8/1/45 | 500,000 | 517,070 | |
Medford Hosp. Facilities Auth. Rev. Series 2013 A, 5% 10/1/42 | 250,000 | 254,957 | |
Oregon Facilities Auth. Rev.: | |||
(Legacy Health Proj.) Series 2016 A, 5% 6/1/46 | 1,230,000 | 1,289,339 | |
Series 2022 A, 5% 6/1/52 | 2,200,000 | 2,397,475 | |
Series 2022 B, 5% 6/1/30 | 675,000 | 770,338 | |
Oregon State Hsg. & Cmnty. Svcs. Dept. (Single-Family Mtg. Prog.) Series 2018 C, 4.5% 7/1/49 | 795,000 | 820,502 | |
Port of Portland Arpt. Rev.: | |||
Series 2017 24B, 5% 7/1/42 (c) | 885,000 | 938,072 | |
Series 2020 27A: | |||
4% 7/1/39 (c) | 1,475,000 | 1,504,782 | |
5% 7/1/38 (c) | 1,000,000 | 1,106,026 | |
Salem Hosp. Facility Auth. Rev. (Cap. Manor Proj.) Series 2022: | |||
4% 5/15/40 | 100,000 | 94,356 | |
4% 5/15/47 | 660,000 | 601,575 | |
4% 5/15/57 | 135,000 | 117,400 | |
Univ. of Oregon Gen. Rev. Series 2021 A, 3.5% 4/1/52 | 4,000,000 | 3,830,402 | |
Yamhill County Hosp. Auth. Rev. Series 2016 A: | |||
4% 11/15/26 | 50,000 | 49,497 | |
5% 11/15/31 | 50,000 | 50,356 | |
5% 11/15/36 | 65,000 | 65,101 | |
5% 11/15/46 | 185,000 | 177,927 | |
TOTAL OREGON | 15,202,382 | ||
Pennsylvania - 0.8% | |||
Allegheny County Arpt. Auth. Rev. Series 2021 A: | |||
4% 1/1/46 (Assured Guaranty Muni. Corp. Insured) (c) | 250,000 | 250,160 | |
4% 1/1/56 (c) | 750,000 | 735,460 | |
5% 1/1/51 (c) | 250,000 | 269,432 | |
Allegheny County Hosp. Dev. Auth. Rev. Series 2018 A: | |||
4% 4/1/44 | 405,000 | 399,927 | |
5% 4/1/47 | 440,000 | 464,903 | |
Allegheny County Indl. Dev. Auth. Enviromental Impt. Rev. (United States Steel Corp. Proj.) Series 2019, 4.875% 11/1/24 | 170,000 | 173,935 | |
Allentown Neighborhood Impt. Zone Dev. Auth. Tax Rev.: | |||
(615 Waterfront Proj.) Series 2021, 6% 5/1/42 (e) | 300,000 | 329,266 | |
(City Ctr. Proj.) Series 2018, 5.125% 5/1/32 (e) | 300,000 | 321,084 | |
(City Ctr. Rfdg. Proj.): | |||
Series 2017: | |||
5% 5/1/27 (e) | 1,080,000 | 1,158,000 | |
5% 5/1/32 (e) | 490,000 | 518,843 | |
5% 5/1/42 (e) | 1,665,000 | 1,743,851 | |
Series 2018: | |||
5% 5/1/33 (e) | 490,000 | 522,145 | |
5% 5/1/42 (e) | 1,150,000 | 1,213,391 | |
5.375% 5/1/42 (e) | 1,340,000 | 1,433,510 | |
Series 2022: | |||
5% 5/1/28 | 25,000 | 27,145 | |
5% 5/1/30 | 25,000 | 27,563 | |
5% 5/1/31 | 95,000 | 105,292 | |
5% 5/1/32 | 135,000 | 150,567 | |
5% 5/1/33 | 115,000 | 127,629 | |
5% 5/1/34 | 105,000 | 116,341 | |
5% 5/1/35 | 120,000 | 132,740 | |
5% 5/1/42 | 420,000 | 459,170 | |
5.25% 5/1/42 (f) | 1,000,000 | 1,005,315 | |
Bucks County Indl. Dev. Auth. Hosp. Rev. (Grand View Hosp. Proj.) Series 2021, 4% 7/1/51 | 250,000 | 210,406 | |
Butler County Hosp. Auth. Hosp. Rev. (Butler Health Sys. Proj.) Series 2015 A: | |||
5% 7/1/35 | 1,180,000 | 1,226,926 | |
5% 7/1/39 | 670,000 | 689,056 | |
Chester County Indl. Dev. Auth. Rev. (Longwood Gardens, Inc. Proj.) Series 2021: | |||
4% 12/1/46 | 850,000 | 874,564 | |
4% 12/1/51 | 1,345,000 | 1,357,784 | |
Commonwealth Fing. Auth. Rev. Series 2015 B1, 5% 6/1/25 | 440,000 | 475,538 | |
Commonwealth Fing. Auth. Tobacco: | |||
Series 2018 A, 5% 6/1/31 | 1,050,000 | 1,167,261 | |
Series 2018: | |||
4% 6/1/39 (Assured Guaranty Muni. Corp. Insured) | 1,050,000 | 1,075,996 | |
5% 6/1/34 | 25,000 | 27,479 | |
Cumberland County Muni. Auth. Rev. Series 2021 A: | |||
4.5% 1/1/36 (e) | 555,000 | 529,440 | |
4.5% 1/1/40 (e) | 1,945,000 | 1,823,397 | |
4.5% 1/1/41 (e) | 590,000 | 549,810 | |
Dauphin County Gen. Auth. Rev. (The Harrisburg Univ. of Science and Technology Proj.): | |||
Series 2017: | |||
5% 10/15/34 (e) | 300,000 | 307,932 | |
5.125% 10/15/41 (e) | 300,000 | 307,545 | |
Series 2020: | |||
5.875% 10/15/40 (e) | 300,000 | 326,413 | |
6.25% 10/15/53 (e) | 300,000 | 329,116 | |
Delaware Valley Reg'l. Fin. Auth. Local Govt. Rev. Series 1998 A, 5.5% 8/1/28 (AMBAC Insured) | 705,000 | 808,753 | |
Doylestown Hosp. Auth. Hosp. Rev. Series 2019, 5% 7/1/49 | 1,090,000 | 1,107,605 | |
East Hempfield Township Indl. Dev. Auth. Rev.: | |||
Series 2014: | |||
5% 7/1/34 (Pre-Refunded to 7/1/24 @ 100) | 140,000 | 148,523 | |
5% 7/1/39 (Pre-Refunded to 7/1/24 @ 100) | 140,000 | 148,523 | |
5% 7/1/46 (Pre-Refunded to 7/1/24 @ 100) | 215,000 | 228,090 | |
Series 2015: | |||
5% 7/1/30 (Pre-Refunded to 7/1/25 @ 100) | 115,000 | 124,841 | |
5% 7/1/35 (Pre-Refunded to 7/1/25 @ 100) | 150,000 | 162,836 | |
5% 7/1/47 (Pre-Refunded to 7/1/25 @ 100) | 1,055,000 | 1,145,283 | |
Erie Higher Ed. Bldg. Auth. Series 2016: | |||
5% 9/15/37 | 215,000 | 216,550 | |
5% 9/15/37 (Pre-Refunded to 9/15/26 @ 100) | 35,000 | 38,860 | |
Franklin County Indl. Dev. Auth. (Menno-Haven, Inc. Proj.) Series 2018: | |||
5% 12/1/38 | 295,000 | 294,986 | |
5% 12/1/43 | 170,000 | 167,795 | |
5% 12/1/48 | 185,000 | 179,193 | |
5% 12/1/53 | 195,000 | 186,950 | |
Huntingdon County Gen. Auth. Rev. (Aicup Fing. Prog. - Juniata College Proj.) Series 2016 OO2, 5% 5/1/46 | 250,000 | 261,355 | |
Lancaster County Hosp. Auth. Health Ctr. Rev.: | |||
Series 2015: | |||
5.25% 7/1/35 | 35,000 | 35,575 | |
5.5% 7/1/45 | 140,000 | 141,770 | |
Series 2021, 5% 11/1/51 | 1,000,000 | 1,073,938 | |
Montgomery County Higher Ed. & Health Auth. Rev.: | |||
(Philadelphia Presbytery Homes, Inc. Proj.) Series 2017, 4% 12/1/48 | 250,000 | 236,693 | |
Series 2018 A: | |||
5% 9/1/34 | 810,000 | 875,415 | |
5% 9/1/37 | 740,000 | 797,552 | |
5% 9/1/43 | 710,000 | 758,940 | |
Series 2019, 4% 9/1/49 | 400,000 | 395,509 | |
Series 2022 B: | |||
4% 5/1/52 | 1,485,000 | 1,457,793 | |
5% 5/1/57 | 1,650,000 | 1,788,566 | |
Montgomery County Indl. Dev. Auth. Series 2015 A, 5.25% 1/15/45 (Pre-Refunded to 1/15/25 @ 100) | 3,510,000 | 3,775,044 | |
Montgomery County Indl. Dev. Auth. Rev.: | |||
(Foulkeways At Gwynedd Proj.) Series 2016, 5% 12/1/46 | 785,000 | 796,632 | |
Series 2015: | |||
5.25% 1/1/40 | 490,000 | 497,767 | |
5.375% 1/1/50 | 1,680,000 | 1,702,707 | |
Series 2016, 5% 11/15/36 | 250,000 | 264,488 | |
Moon Indl. Dev. Auth. Rev. Series 2015, 6.125% 7/1/50 | 525,000 | 533,560 | |
Pennsylvania Econ. Dev. Fing. Auth. Series 2017 A, 4% 11/15/36 | 500,000 | 506,664 | |
Pennsylvania Econ. Dev. Fing. Auth. Solid Waste Disp. Rev.: | |||
(Covanta Proj.) Series 2019 A, 3.25% 8/1/39 (c)(e) | 580,000 | 491,440 | |
Bonds: | |||
(Consol Energy, Inc. Proj.) Series 2021 A, 9%, tender 4/13/28 (a)(c)(e) | 1,620,000 | 1,884,878 | |
(Republic Svcs., Inc. Proj.) Series 2019 B1, 2%, tender 7/15/22 (a)(c) | 2,000,000 | 1,999,749 | |
(Republic Svcs., Inc. Proj.) Series 2019 B2, 0.3%, tender 7/15/22 (a)(c) | 250,000 | 249,212 | |
Pennsylvania Gen. Oblig. Series 2018, 4% 3/1/35 | 500,000 | 513,770 | |
Pennsylvania Higher Edl. Facilities Auth. Rev.: | |||
Series 2007 A, 3 month U.S. LIBOR + 0.650% 1.298% 7/1/39 (XL Cap. Assurance, Inc. Insured) (a)(b) | 1,180,000 | 1,033,290 | |
Series 2013 A, 5.5% 7/15/38 (Pre-Refunded to 7/15/23 @ 100) | 395,000 | 411,632 | |
Series 2014, 5% 7/15/38 | 335,000 | 344,248 | |
Series 2015 A: | |||
5% 9/1/39 | 440,000 | 455,857 | |
5% 9/1/45 | 245,000 | 252,814 | |
Series 2019: | |||
4% 8/15/44 | 1,450,000 | 1,463,779 | |
4% 8/15/49 | 2,600,000 | 2,609,861 | |
5% 8/15/49 | 250,000 | 269,580 | |
Series 2021 A, 4% 8/15/43 | 960,000 | 974,675 | |
Pennsylvania Tpk. Commission Oil Franchise Tax Rev. Series 2021 A, 4% 12/1/51 | 2,245,000 | 2,303,255 | |
Pennsylvania Tpk. Commission Tpk. Rev.: | |||
Series 2009, 6.375% 12/1/38 | 500,000 | 595,742 | |
Series 2014 C, 5% 12/1/44 | 520,000 | 539,670 | |
Series 2018 A2, 5% 12/1/43 | 470,000 | 514,340 | |
Series 2019 A: | |||
5% 12/1/34 | 1,095,000 | 1,226,894 | |
5% 12/1/44 | 1,025,000 | 1,137,244 | |
Series 2021 A, 4% 12/1/51 | 250,000 | 252,187 | |
Series 2021 B: | |||
4% 12/1/46 | 950,000 | 930,972 | |
4% 12/1/51 | 400,000 | 386,946 | |
Series 2021 C, 4% 12/1/51 | 500,000 | 501,418 | |
Philadelphia Arpt. Rev. Series 2021, 4% 7/1/46 (c) | 965,000 | 965,648 | |
Philadelphia Auth. for Indl. Dev.: | |||
(First Philadelphia Preparatory Charter School Proj.) Series 2014 A, 7.25% 6/15/43 | 300,000 | 321,674 | |
Series 2016 2, 5% 4/1/34 | 2,265,000 | 2,400,124 | |
Series 2017, 5% 3/15/45 (e) | 250,000 | 247,960 | |
Philadelphia Auth. for Indl. Dev. Sr. Living Facilities Rev. Series 2017 A: | |||
5% 7/1/37 | 440,000 | 424,620 | |
5% 7/1/42 | 300,000 | 282,235 | |
5% 7/1/49 | 505,000 | 460,379 | |
Philadelphia Gen. Oblig.: | |||
Series 2019 B, 5% 2/1/38 | 750,000 | 845,873 | |
Series 2021 A, 5% 5/1/33 | 500,000 | 582,020 | |
Philadelphia Hospitals & Higher Ed. Facilities Auth. Hosp. Rev. Series 2017: | |||
5% 7/1/28 | 705,000 | 766,775 | |
5% 7/1/30 | 140,000 | 151,012 | |
Philadelphia School District: | |||
Series 2019 A, 5% 9/1/44 | 1,830,000 | 2,036,847 | |
Series 2021 A, 4% 9/1/46 | 1,475,000 | 1,487,343 | |
Philadelphia Wtr. & Wastewtr. Rev.: | |||
Series 2017 A, 5% 10/1/47 | 1,150,000 | 1,262,824 | |
Series 2021 C, 5% 10/1/27 | 770,000 | 858,976 | |
Pittsburgh School District Series 2021, 3% 9/1/41 | 250,000 | 233,209 | |
Pittsburgh Wtr. & Swr. Auth. Wtr. & Swr. Sys. Rev.: | |||
Series 2019 A, 5% 9/1/44 (Assured Guaranty Muni. Corp. Insured) | 750,000 | 848,220 | |
Series 2020 B, 4% 9/1/50 (Assured Guaranty Muni. Corp. Insured) | 855,000 | 874,802 | |
Scranton Redev. Auth. Series 2016 A, 5% 11/15/28 | 250,000 | 239,613 | |
Southcentral Pennsylvania Gen. Auth. Rev. (York Academy Reg'l. Charter School Proj.) Series 2018 A, 6.5% 7/15/48 (e) | 300,000 | 322,961 | |
State Pub. School Bldg. Auth. College Rev. (Cmnty. College of Philadelphia Proj.) Series 2015, 5% 6/15/28 | 750,000 | 803,510 | |
State Pub. School Bldg. Auth. Lease Rev. (The School District of Philadelphia Proj.) Series 2016 A: | |||
5% 6/1/31 | 3,025,000 | 3,336,727 | |
5% 6/1/32 (Assured Guaranty Muni. Corp. Insured) | 1,475,000 | 1,624,363 | |
Upper Merion Area School District Series 2021 A, 3% 1/15/43 | 250,000 | 229,657 | |
TOTAL PENNSYLVANIA | 86,773,913 | ||
Puerto Rico - 1.7% | |||
Children's Trust Fund Tobacco Settlement: | |||
Series 2002, 5.625% 5/15/43 | 900,000 | 916,412 | |
Series 2005 A, 0% 5/15/50 | 2,000,000 | 335,888 | |
Series 2008 B, 0% 5/15/57 | 2,000,000 | 105,618 | |
GDB Debt Recovery Auth. Series 2018, 7.5% 8/20/40 | 7,369,718 | 6,559,049 | |
Puerto Rico Commonwealth Aqueduct & Swr. Auth.: | |||
Series 2008 A, 6.125% 7/1/24 | 240,000 | 247,506 | |
Series 2012 A: | |||
5% 7/1/22 | 250,000 | 250,726 | |
6% 7/1/47 | 250,000 | 250,924 | |
Series 2020 A: | |||
5% 7/1/25 (e) | 250,000 | 260,685 | |
5% 7/1/30 (e) | 4,060,000 | 4,354,945 | |
5% 7/1/35 (e) | 3,815,000 | 4,011,492 | |
5% 7/1/47 (e) | 7,565,000 | 7,844,542 | |
Series 2021 A: | |||
4% 7/1/42 (e) | 2,205,000 | 2,136,775 | |
5% 7/1/33 (e) | 510,000 | 543,297 | |
Series 2021 B: | |||
4% 7/1/42 (e) | 1,785,000 | 1,729,723 | |
4% 7/1/47 (e) | 1,550,000 | 1,483,610 | |
5% 7/1/25 (e) | 485,000 | 505,729 | |
5% 7/1/29 (e) | 1,560,000 | 1,672,616 | |
5% 7/1/33 (e) | 1,945,000 | 2,071,987 | |
5% 7/1/37 (e) | 1,700,000 | 1,795,167 | |
Series 2021 C, 3.75% 7/1/27 (e) | 250,000 | 247,132 | |
Series 2022 A: | |||
4% 7/1/42 (i) | 2,540,000 | 2,461,528 | |
5% 7/1/25 | 1,010,000 | 1,052,700 | |
5% 7/1/28 (i) | 775,000 | 826,760 | |
5% 7/1/29 (i) | 540,000 | 578,816 | |
5% 7/1/33 | 3,050,000 | 3,259,701 | |
5% 7/1/37 | 3,405,000 | 3,611,955 | |
Puerto Rico Commonwealth Hwy. & Trans. Auth. Hwy. Rev.: | |||
Series 2007 CC, 5.5% 7/1/29 | 250,000 | 263,186 | |
Series 2007, 5.5% 7/1/28 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 250,000 | 262,848 | |
Puerto Rico Commonwealth Hwy. & Trans. Auth. Trans. Rev. Series 2007: | |||
5.25% 7/1/31 (AMBAC Insured) | 250,000 | 255,133 | |
5.25% 7/1/33 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 250,000 | 260,071 | |
Puerto Rico Commonwealth Pub. Impt. Gen. Oblig.: | |||
Series 2021 A1: | |||
0% 7/1/24 | 1,094,030 | 1,005,381 | |
0% 7/1/33 | 3,614,612 | 2,139,569 | |
4% 7/1/33 | 3,619,988 | 3,540,568 | |
4% 7/1/35 | 3,090,308 | 2,980,198 | |
4% 7/1/37 | 2,166,752 | 2,088,805 | |
4% 7/1/46 | 3,064,431 | 2,854,110 | |
5.25% 7/1/23 | 2,371,494 | 2,402,507 | |
5.625% 7/1/27 | 5,718,366 | 6,237,041 | |
5.625% 7/1/29 | 3,051,870 | 3,370,973 | |
5.75% 7/1/31 | 5,288,639 | 5,978,760 | |
Series 2022 A1: | |||
4% 7/1/41 | 2,947,357 | 2,788,817 | |
5.375% 7/1/25 | 4,953,704 | 5,212,207 | |
Series 2022: | |||
0% 11/1/43 (a) | 19,203,808 | 9,937,971 | |
0% 11/1/51 (a) | 1,251,327 | 575,610 | |
Puerto Rico Elec. Pwr. Auth. Pwr. Rev.: | |||
Series 2004: | |||
5% 7/1/23 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 250,000 | 255,605 | |
5% 7/1/24 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 250,000 | 255,605 | |
Series 2005 RR, 5% 7/1/23 (FGIC Insured) | 250,000 | 255,605 | |
Series 2005 SS, 5% 7/1/24 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 705,000 | 720,805 | |
Series 2005, 5% 7/1/22 (FGIC Insured) | 250,000 | 255,605 | |
Series 2007 TT: | |||
5% 7/1/20 | 155,000 | 143,763 | |
5% 7/1/24 | 595,000 | 551,863 | |
5% 7/1/25 | 195,000 | 180,863 | |
5% 7/1/26 | 240,000 | 222,600 | |
5% 7/1/27 | 670,000 | 621,425 | |
5% 7/1/32 | 1,045,000 | 969,238 | |
5% 7/1/37 | 2,675,000 | 2,481,063 | |
Series 2007 UU: | |||
3 month U.S. LIBOR + 0.520% 1.168% 7/1/29 (Assured Guaranty Muni. Corp. Insured) (a)(b) | 250,000 | 261,619 | |
5% 7/1/23 (Assured Guaranty Muni. Corp. Insured) | 250,000 | 254,827 | |
Series 2007 V, 5.25% 7/1/26 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 300,000 | 310,063 | |
Series 2007, 5% 7/1/24 (Assured Guaranty Muni. Corp. Insured) | 250,000 | 254,827 | |
Series 2008 WW: | |||
5% 7/1/28 | 425,000 | 394,188 | |
5.25% 7/1/33 | 1,165,000 | 1,086,363 | |
5.5% 7/1/18 | 130,000 | 121,713 | |
5.5% 7/1/38 | 1,250,000 | 1,170,313 | |
Series 2010 AAA: | |||
5.25% 7/1/25 | 15,000 | 13,988 | |
5.25% 7/1/27 | 205,000 | 191,163 | |
5.25% 7/1/29 | 705,000 | 657,413 | |
Series 2010 BBB, 5.4% 7/1/28 | 250,000 | 218,125 | |
Series 2010 CCC: | |||
5% 7/1/27 | 50,000 | 46,375 | |
5% 12/31/49 | 115,000 | 106,663 | |
5.25% 7/1/26 | 280,000 | 261,100 | |
5.25% 7/1/27 | 1,230,000 | 1,146,975 | |
5.25% 7/1/28 | 545,000 | 508,213 | |
Series 2010 EEE: | |||
5.95% 7/1/30 | 250,000 | 220,627 | |
5.95% 7/1/30 | 400,000 | 357,500 | |
6.05% 7/1/32 | 300,000 | 268,875 | |
6.25% 7/1/40 | 250,000 | 221,563 | |
Series 2010 XX: | |||
4.75% 7/1/26 | 60,000 | 55,425 | |
5.25% 7/1/27 | 55,000 | 51,288 | |
5.25% 7/1/35 | 640,000 | 596,800 | |
5.25% 7/1/40 | 1,545,000 | 1,440,713 | |
5.75% 7/1/36 | 355,000 | 333,700 | |
Series 2010 YY: | |||
6.125% 7/1/40 | 600,000 | 531,750 | |
6.125% 7/1/40 | 500,000 | 448,750 | |
Series 2010 ZZ: | |||
3.7% 7/1/17 | 35,000 | 30,756 | |
4.75% 7/1/27 | 50,000 | 46,188 | |
5% 7/1/17 | 65,000 | 60,288 | |
5% 7/1/19 | 350,000 | 324,625 | |
5% 7/1/28 | 50,000 | 46,375 | |
5.25% 7/1/19 | 475,000 | 442,938 | |
5.25% 7/1/23 | 120,000 | 111,900 | |
5.25% 7/1/24 | 80,000 | 74,600 | |
5.25% 7/1/26 | 680,000 | 634,100 | |
Series 2012 A: | |||
5% 7/1/29 | 1,560,000 | 1,446,900 | |
5% 7/1/42 | 1,385,000 | 1,284,588 | |
5.05% 7/1/42 | 60,000 | 55,650 | |
Series 2013 A: | |||
6.75% 7/1/36 | 2,305,000 | 2,224,324 | |
7% 7/1/43 | 250,000 | 241,875 | |
Puerto Rico Sales Tax Fing. Corp. Sales Tax Rev.: | |||
Series 2018 A1: | |||
0% 7/1/27 | 2,615,000 | 2,176,833 | |
0% 7/1/29 | 1,710,000 | 1,301,447 | |
0% 7/1/31 | 4,800,000 | 3,294,311 | |
0% 7/1/33 | 3,655,000 | 2,232,231 | |
0% 7/1/46 | 42,050,000 | 12,742,054 | |
0% 7/1/51 | 14,179,000 | 3,115,177 | |
4.55% 7/1/40 | 450,000 | 454,704 | |
4.75% 7/1/53 | 11,510,000 | 11,551,457 | |
5% 7/1/58 | 21,860,000 | 22,225,403 | |
Series 2019 A1, 4.5% 7/1/34 | 3,075,000 | 3,139,687 | |
Series 2019 A2: | |||
4.329% 7/1/40 | 600,000 | 599,249 | |
4.329% 7/1/40 | 1,080,000 | 1,078,649 | |
4.536% 7/1/53 | 420,000 | 412,260 | |
4.784% 7/1/58 | 2,770,000 | 2,784,918 | |
TOTAL PUERTO RICO | 193,847,484 | ||
Rhode Island - 0.0% | |||
Providence R I Pub. Bldgs Authr Series 2022, 4% 9/15/24 (Assured Guaranty Muni. Corp. Insured) | 500,000 | 517,219 | |
Rhode Island Commerce Corp. Series 2020 A, 5% 5/15/28 | 500,000 | 562,826 | |
Rhode Island Health & Edl. Bldg. Corp. Higher Ed. Facilities Rev.: | |||
Series 2013 A: | |||
5.5% 9/1/28 (Pre-Refunded to 9/1/23 @ 100) | 420,000 | 439,706 | |
6% 9/1/33 (Pre-Refunded to 9/1/23 @ 100) | 565,000 | 594,836 | |
Series 2016 B, 5% 9/1/36 | 705,000 | 741,151 | |
Series 2016, 5% 5/15/26 | 500,000 | 533,452 | |
Rhode Island Health & Edl. Bldg. Corp. Pub. Schools Rev. Series 2021 D, 4% 5/15/32 | 500,000 | 545,261 | |
Rhode Island Health and Edl. Bldg. Corp. Higher Ed. Facility Rev. Series 2009 B, 5.25% 9/15/29 | 330,000 | 330,749 | |
Rhode Island Hsg. & Mtg. Fin. Corp. Series 2018 69B, 4% 10/1/48 | 670,000 | 687,085 | |
Tobacco Settlement Fing. Corp. Series 2007 A, 0% 6/1/52 | 2,300,000 | 374,937 | |
TOTAL RHODE ISLAND | 5,327,222 | ||
South Carolina - 0.3% | |||
Connector 2000 Assoc., Inc. Toll Road Rev. Series 2011 A1: | |||
0% 1/1/32 | 2,084,596 | 1,113,880 | |
0% 1/1/42 | 6,087,835 | 1,532,480 | |
0% 7/22/51 | 8,886,352 | 1,016,755 | |
Patriots Energy Group Fing. Agcy. Bonds Series 2018 A, 4%, tender 2/1/24 (a) | 2,225,000 | 2,274,453 | |
South Carolina Jobs-Econ. Dev. Auth. Series 2018 A: | |||
5% 5/1/35 | 640,000 | 686,624 | |
5% 5/1/36 | 1,475,000 | 1,581,070 | |
South Carolina Jobs-Econ. Dev. Auth. Econ. Dev. Rev.: | |||
Series 2013, 5% 11/1/29 (Pre-Refunded to 11/1/22 @ 100) | 590,000 | 598,913 | |
Series 2017, 5.25% 11/15/47 | 250,000 | 250,580 | |
South Carolina Jobs-Econ. Dev. Auth. Hosp. Impt. Rev. Series 2020 A, 4% 12/1/44 | 500,000 | 503,511 | |
South Carolina Jobs-Econ. Dev. Auth. Solid Waste Disp. Rev.: | |||
(Repower South Berkeley, LLC Proj.) Series 2017: | |||
6% 2/1/35 (c)(d)(e) | 890,000 | 356,000 | |
6.25% 2/1/45 (c)(d)(e) | 1,795,000 | 718,000 | |
Series 2019, 8% 12/6/29 (d) | 280,000 | 234,735 | |
South Carolina Jobs-Economoc Dev. Auth. Retirement Cmnty. Rev. Series 2018 C, 5% 11/15/47 | 570,000 | 603,787 | |
South Carolina Pub. Svc. Auth. Rev.: | |||
Series 2014 A: | |||
5% 12/1/49 | 500,000 | 513,585 | |
5.5% 12/1/54 | 605,000 | 626,763 | |
Series 2015 E, 5.25% 12/1/55 | 745,000 | 782,137 | |
Series 2016 A, 5% 12/1/32 | 1,000,000 | 1,064,917 | |
Series 2016 B: | |||
5% 12/1/46 | 1,250,000 | 1,319,897 | |
5% 12/1/56 | 250,000 | 263,174 | |
Series 2020 A: | |||
4% 12/1/39 | 1,000,000 | 1,017,451 | |
4% 12/1/40 | 650,000 | 666,945 | |
4% 12/1/42 | 750,000 | 754,918 | |
5% 12/1/43 | 1,500,000 | 1,639,809 | |
Series 2020, 3% 12/1/41 | 800,000 | 700,755 | |
Series 2021 B, 5% 12/1/51 | 1,475,000 | 1,614,532 | |
Series 2022 A, 4% 12/1/52 | 2,050,000 | 2,060,626 | |
Series 2022 B: | |||
4% 12/1/29 | 491,000 | 516,439 | |
4% 12/1/55 | 1,704,000 | 1,712,832 | |
Series A, 5% 12/1/31 | 350,000 | 395,949 | |
South Carolina Trans. Infrastructure Bank Rev. Series 2017 A: | |||
5% 10/1/35 (Assured Guaranty Muni. Corp. Insured) | 800,000 | 885,424 | |
5% 10/1/36 | 1,550,000 | 1,714,080 | |
TOTAL SOUTH CAROLINA | 29,721,021 | ||
South Dakota - 0.0% | |||
Sioux Falls Health Facilities Rev. (Dow Rummel Village Proj.) Series 2017: | |||
5% 11/1/28 | 200,000 | 203,475 | |
5% 11/1/30 | 215,000 | 217,279 | |
5% 11/1/32 | 195,000 | 196,295 | |
5% 11/1/42 | 280,000 | 275,067 | |
South Dakota Conservancy District Rev. Series 2018, 5% 8/1/38 | 500,000 | 567,528 | |
South Dakota Health & Edl. Facilities Auth. Rev. Series 2014 B, 5% 11/1/44 | 690,000 | 709,755 | |
TOTAL SOUTH DAKOTA | 2,169,399 | ||
Tennessee - 0.3% | |||
Blount County Health & Edl. Facilities Board Rev. Series 2016 A, 5% 1/1/47 | 1,150,000 | 766,938 | |
Chattanooga Health Ed. & Hsg. Facility Board Rev. (CDFI Phase I, LLC - Univ. of Tennessee at Chattanooga Proj.) Series 2015, 5% 10/1/35 | 385,000 | 395,060 | |
Chattanooga-Hamilton County Hosp. Auth. Rev. Series 2014 A, 5% 10/1/44 | 250,000 | 264,015 | |
Greeneville Health & Edl. Facilities Board Series 2018 A, 5% 7/1/36 | 960,000 | 1,030,614 | |
Knox County Health Edl. & Hsg. Facilities Series 2012 A, 5% 1/1/26 | 385,000 | 390,327 | |
Metropolitan Govt. of Nashville & Davidson County Series 2021: | |||
4% 5/1/39 | 500,000 | 507,936 | |
4% 5/1/40 | 500,000 | 507,089 | |
4% 5/1/51 | 400,000 | 398,367 | |
Metropolitan Nashville Arpt. Auth. Rev.: | |||
Series 2015 A, 5% 7/1/45 | 610,000 | 642,597 | |
Series 2019 B: | |||
4% 7/1/49 (c) | 2,065,000 | 2,038,598 | |
4% 7/1/54 (c) | 2,370,000 | 2,320,900 | |
5% 7/1/33 (c) | 750,000 | 830,043 | |
5% 7/1/44 (c) | 885,000 | 959,106 | |
5% 7/1/49 (c) | 2,855,000 | 3,075,254 | |
5% 7/1/54 (c) | 2,945,000 | 3,143,027 | |
Nashville and Davidson County Metropolitan Govt. Health & Edl. Facilities Board Rev.: | |||
(Lipscomb Univ. Proj.): | |||
Series 2016 A, 5% 10/1/45 | 300,000 | 313,689 | |
Series 2019 A, 5.25% 10/1/58 | 250,000 | 266,778 | |
Series 2016 A: | |||
5% 7/1/35 | 830,000 | 885,951 | |
5% 7/1/40 | 460,000 | 488,160 | |
5% 7/1/46 | 3,905,000 | 4,104,469 | |
Shelby County Health Edl. & Hsg. Facility Board Residential Care Facilitiy Mtg. Rev.: | |||
Series 2012: | |||
5.25% 12/1/42 (Pre-Refunded to 12/1/22 @ 100) | 280,000 | 285,290 | |
5.375% 12/1/47 (Pre-Refunded to 12/1/22 @ 100) | 490,000 | 499,561 | |
Series 2014: | |||
5% 12/1/34 | 70,000 | 71,298 | |
5.25% 12/1/44 | 165,000 | 167,892 | |
5.25% 12/1/49 | 470,000 | 477,129 | |
Tennergy Corp. Gas Rev. Bonds Series 2021 A, 4%, tender 9/1/28 (a) | 185,000 | 191,152 | |
Tennessee Energy Acquisition Corp.: | |||
Bonds: | |||
Series 2018, 4%, tender 11/1/25 (a) | 1,480,000 | 1,524,226 | |
Series 2021 A, 5%, tender 11/1/31 (a) | 2,320,000 | 2,550,720 | |
Series 2006 A: | |||
5.25% 9/1/24 | 780,000 | 818,244 | |
5.25% 9/1/26 | 1,675,000 | 1,810,034 | |
Tennessee Hsg. Dev. Agcy. Residential Series 2018, 4.5% 7/1/49 | 695,000 | 720,636 | |
TOTAL TENNESSEE | 32,445,100 | ||
Texas - 1.8% | |||
Arlington Higher Ed. Fin. Corp. Series 2022, 5% 8/15/47 | 785,000 | 893,628 | |
Arlington Independent School District Series 2022, 5% 2/15/36 | 345,000 | 403,727 | |
Austin Arpt. Sys. Rev.: | |||
Series 2017 B, 5% 11/15/41 (c) | 480,000 | 507,590 | |
Series 2019 B: | |||
5% 11/15/44 (c) | 3,475,000 | 3,772,272 | |
5% 11/15/48 (c) | 1,450,000 | 1,565,330 | |
Series 2019: | |||
5% 11/15/24 (c) | 250,000 | 264,596 | |
5% 11/15/25 (c) | 250,000 | 269,204 | |
Series 2022: | |||
5% 11/15/52 (c) | 2,000,000 | 2,200,555 | |
5.25% 11/15/47 (c) | 1,850,000 | 2,087,398 | |
Austin Convention Enterprises, Inc.: | |||
Series 2017 A: | |||
5% 1/1/28 | 125,000 | 132,552 | |
5% 1/1/30 | 290,000 | 305,463 | |
5% 1/1/31 | 405,000 | 425,385 | |
5% 1/1/32 | 470,000 | 493,403 | |
5% 1/1/33 | 440,000 | 460,344 | |
5% 1/1/34 | 885,000 | 922,480 | |
Series 2017 B: | |||
5% 1/1/23 | 70,000 | 70,544 | |
5% 1/1/26 | 310,000 | 317,082 | |
5% 1/1/28 | 70,000 | 71,524 | |
5% 1/1/29 | 160,000 | 162,710 | |
5% 1/1/32 | 315,000 | 317,623 | |
5% 1/1/34 | 450,000 | 452,382 | |
Bexar County Hosp. District Series 2018, 4% 2/15/37 | 500,000 | 511,653 | |
Board of Managers, Joint Guadalupe County, City of Seguin Hosp. Series 2015: | |||
5% 12/1/28 | 195,000 | 202,990 | |
5% 12/1/29 | 500,000 | 519,032 | |
5% 12/1/30 | 240,000 | 248,415 | |
5% 12/1/40 | 965,000 | 984,815 | |
5% 12/1/45 | 935,000 | 950,130 | |
5.25% 12/1/35 | 290,000 | 301,530 | |
Calhoun County Navigation Indl. Dev. Auth. (Max Midstream Texas, LLC Proj.): | |||
Series 2021 A, 3.625% 7/1/26 (c)(e) | 400,000 | 390,860 | |
Series 2021 B, 6.5% 7/1/26 (e) | 300,000 | 288,984 | |
Central Reg'l. Mobility Auth.: | |||
Series 2013, 5% 1/1/33 (Pre-Refunded to 1/1/23 @ 100) | 570,000 | 581,415 | |
Series 2015 A, 5% 1/1/28 | 165,000 | 175,497 | |
Series 2016, 4% 1/1/41 | 250,000 | 247,367 | |
Series 2021 B: | |||
4% 1/1/40 | 105,000 | 107,059 | |
4% 1/1/41 | 80,000 | 81,447 | |
4% 1/1/51 | 1,565,000 | 1,569,039 | |
5% 1/1/34 | 70,000 | 78,335 | |
5% 1/1/39 | 20,000 | 22,085 | |
5% 1/1/46 | 3,115,000 | 3,393,386 | |
Clifton Higher Ed. Fin. Corp. Ed. Rev.: | |||
Series 2018 D, 6.125% 8/15/48 | 2,250,000 | 2,371,468 | |
Series 2021 T, 4% 8/15/47 | 250,000 | 246,695 | |
Conroe Independent School District Series 2020 A, 5% 2/15/27 | 630,000 | 708,284 | |
Conroe Local Govt. Hotel Rev.: | |||
Series 2021 A, 4% 10/1/50 | 230,000 | 205,537 | |
Series 2021 B: | |||
3.5% 10/1/31 | 45,000 | 38,867 | |
5% 10/1/50 | 245,000 | 219,082 | |
Dallas Area Rapid Transit Sales Tax Rev.: | |||
Series 2016 B, 4% 12/1/36 | 1,000,000 | 1,039,294 | |
Series 2020 A, 5% 12/1/45 | 1,000,000 | 1,117,538 | |
Series 2021 B: | |||
4% 12/1/51 | 2,000,000 | 2,047,239 | |
5% 12/1/47 | 3,470,000 | 3,883,770 | |
Dallas County Hosp. District Series 2019, 5% 8/15/30 | 1,100,000 | 1,238,772 | |
Dallas Fort Worth Int'l. Arpt. Rev.: | |||
Series 2013 C, 5.125% 11/1/43 (Pre-Refunded to 11/1/22 @ 100) (c) | 1,370,000 | 1,390,826 | |
Series 2013 F, 5.25% 11/1/30 | 1,175,000 | 1,219,707 | |
Series 2014 A: | |||
5% 11/1/32 (c) | 1,160,000 | 1,195,236 | |
5.25% 11/1/30 (c) | 1,785,000 | 1,845,598 | |
Series 2020 B, 4% 11/1/35 | 2,460,000 | 2,561,929 | |
Series 2021 B, 4% 11/1/45 | 2,000,000 | 2,048,116 | |
Dallas Hotel Occupancy Tax Series 2021: | |||
4% 8/15/29 | 435,000 | 458,605 | |
4% 8/15/30 | 485,000 | 509,452 | |
4% 8/15/31 | 245,000 | 256,657 | |
4% 8/15/32 | 200,000 | 208,918 | |
4% 8/15/33 | 200,000 | 208,420 | |
Dallas Independent School District Series 2022, 2.75% 2/15/52 | 415,000 | 323,547 | |
Danbury Higher Ed. Auth., Inc. Series 2019 A, 4% 8/15/49 | 250,000 | 220,884 | |
Decatur Hosp. Auth. Hosp. Rev. Series 2021 C: | |||
4% 9/1/34 | 239,000 | 240,711 | |
4% 9/1/44 | 1,003,000 | 991,731 | |
Duncanville Independent School District Series 2020, 3% 2/15/25 | 250,000 | 255,228 | |
El Paso Gen. Oblig. Series 2016, 4% 8/15/42 | 2,700,000 | 2,729,196 | |
Fort Bend County Indl. Dev. Corp. (NRG Energy, Inc. Proj.) Series 2012 B, 4.75% 11/1/42 | 705,000 | 707,949 | |
Fort Bend Grand Parkway Toll Road Auth. Series 2021, 3% 3/1/46 | 495,000 | 435,385 | |
Georgetown Util. Sys. Rev. Series 2022, 5.25% 8/15/52 (Assured Guaranty Muni. Corp. Insured) | 1,500,000 | 1,702,812 | |
Grand Parkway Trans. Corp.: | |||
Series 2018 A, 5% 10/1/43 | 900,000 | 980,957 | |
Series 2020 C, 4% 10/1/49 | 4,600,000 | 4,606,471 | |
Series 2020, 4% 10/1/49 | 1,750,000 | 1,758,317 | |
Gulf Coast Indl. Dev. Auth. Solid Waste Disp. Rev. (Citgo Petroleum Corp. Proj.) Series 1995, 4.875% 5/1/25 (c) | 1,670,000 | 1,669,918 | |
Harris County Cultural Ed. Facilities Fin. Corp. Rev.: | |||
(Brazos Presbyterian Homes, Inc. Proj.) Series 2013 A: | |||
5% 1/1/38 | 70,000 | 70,088 | |
5% 1/1/43 | 70,000 | 70,029 | |
Series 2013 B: | |||
6.375% 1/1/33 | 485,000 | 491,861 | |
7% 1/1/48 (Pre-Refunded to 1/1/23 @ 100) | 740,000 | 763,119 | |
Series 2016 A, 5% 7/1/38 | 500,000 | 526,663 | |
Harris County Cultural Ed. Facilities Fin. Corp. Thermal Util. Rev. (Teco Proj.) Series 2017: | |||
5% 11/15/31 | 195,000 | 220,127 | |
5% 11/15/33 | 1,940,000 | 2,183,149 | |
Harris County Flood Cont. District Series 2020 A, 5% 10/1/32 | 500,000 | 579,263 | |
Harris County Toll Road Rev. Series 2018 A, 5% 8/15/27 | 455,000 | 516,203 | |
Harris County-Houston Sports Auth. Rev. Series 2001 A, 0% 11/15/38 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 800,000 | 350,324 | |
Hidalgo County Reginal Mobility Auth. Series 2022 A: | |||
4% 12/1/38 | 385,000 | 369,253 | |
4% 12/1/39 | 85,000 | 81,081 | |
4% 12/1/40 | 85,000 | 80,624 | |
4% 12/1/41 | 85,000 | 80,154 | |
Houston Arpt. Sys. Rev.: | |||
(United Airlines, Inc. Term. E Proj.): | |||
Series 2014, 5% 7/1/29 (c) | 300,000 | 303,132 | |
Series 2021 A, 4% 7/1/41 (c) | 290,000 | 258,205 | |
(United Airlines, Inc. Term. Impt. Projs.): | |||
Series 2015 B1: | |||
5% 7/15/30 (c) | 995,000 | 1,005,594 | |
5% 7/15/35 (c) | 2,085,000 | 2,107,201 | |
Series 2021 B1, 4% 7/15/41 (c) | 705,000 | 627,603 | |
Series 2018 A: | |||
5% 7/1/36 (c) | 325,000 | 351,854 | |
5% 7/1/37 (c) | 630,000 | 681,416 | |
5% 7/1/41 (c) | 960,000 | 1,033,261 | |
Series 2018 C: | |||
5% 7/1/31 (c) | 885,000 | 964,849 | |
5% 7/1/32 (c) | 1,105,000 | 1,202,529 | |
Series 2021 A, 4% 7/1/46 (c) | 740,000 | 738,758 | |
Houston Gen. Oblig. Series 2017 A, 5% 3/1/29 | 750,000 | 836,753 | |
Love Field Arpt. Modernization Rev.: | |||
Series 2017: | |||
5% 11/1/35 (c) | 240,000 | 254,915 | |
5% 11/1/36 (c) | 240,000 | 254,734 | |
Series 2021: | |||
4% 11/1/35 (Assured Guaranty Muni. Corp. Insured) (c) | 800,000 | 813,901 | |
4% 11/1/36 (Assured Guaranty Muni. Corp. Insured) (c) | 1,000,000 | 1,015,955 | |
4% 11/1/39 (Assured Guaranty Muni. Corp. Insured) (c) | 1,190,000 | 1,204,123 | |
Lower Colorado River Auth. Rev. Series 2021, 5% 5/15/51 | 400,000 | 444,739 | |
Lubbock Elec. Lt. & Pwr. Sys. Rev. Series 2021: | |||
4% 4/15/51 | 300,000 | 302,332 | |
5% 4/15/32 | 225,000 | 256,760 | |
Matagorda County Navigation District No. 1 Poll. Cont. Rev. (AEP Texas Central Co. Proj.) Series 2008 2, 4% 6/1/30 | 845,000 | 849,207 | |
Mission Econ. Dev. Corp. Rev. (Natgasoline Proj.) Series 2018, 4.625% 10/1/31 (c)(e) | 3,080,000 | 3,192,893 | |
Mission Econ. Dev. Corp. Solid Waste Disp. Rev. Bonds: | |||
(Republic Svcs., Inc. Proj.) Series 2008 A, 2%, tender 1/1/26 (a)(c) | 500,000 | 499,876 | |
(Waste Mgmt., Inc. Proj.) Series 2020 B, 1%, tender 6/1/22 (a)(c) | 375,000 | 375,000 | |
Montgomery County Toll Road Auth. Series 2018: | |||
5% 9/15/32 | 105,000 | 109,188 | |
5% 9/15/33 | 105,000 | 109,083 | |
5% 9/15/34 | 110,000 | 114,183 | |
5% 9/15/35 | 280,000 | 290,391 | |
5% 9/15/36 | 415,000 | 430,172 | |
5% 9/15/37 | 410,000 | 424,813 | |
5% 9/15/38 | 305,000 | 315,304 | |
5% 9/15/43 | 905,000 | 931,965 | |
5% 9/15/48 | 1,595,000 | 1,636,851 | |
New Hope Cultural Ed. Facilities: | |||
(Cardinal Bay, Inc. - Village on the Park/Carriage Inn Proj.) Series 2016 A1, 5% 7/1/46 | 30,000 | 22,500 | |
Series 2019 A1, 5% 12/1/39 | 255,000 | 251,781 | |
New Hope Cultural Ed. Facilities Corp. Cap. Impt. Rev. (CHF - Collegiate Hsg. Denton, L.L.C. - Texas Woman's Univ. Hsg. Proj.) Series 2018 A1, 5% 7/1/58 (Assured Guaranty Municipal Corp. Insured) | 420,000 | 444,930 | |
New Hope Cultural Ed. Facilities Fin. Corp.: | |||
(CHF - Collegiate Hsg. Stephenville III, L.L.C. - Tarleton State Univ. Proj.) Series 2015 A: | |||
5% 4/1/24 (Escrowed to Maturity) | 125,000 | 131,975 | |
5% 4/1/30 (Pre-Refunded to 4/1/25 @ 100) | 70,000 | 75,665 | |
5% 4/1/35 (Pre-Refunded to 4/1/25 @ 100) | 335,000 | 362,111 | |
5% 4/1/47 (Pre-Refunded to 4/1/25 @ 100) | 1,455,000 | 1,572,750 | |
(CHF Collegiate Hsg. College Station I, LLC Texas A&M Univ. Proj.): | |||
Series 2014 A: | |||
5% 4/1/29 | 820,000 | 830,241 | |
5% 4/1/46 | 2,200,000 | 2,201,752 | |
Series 2017 A, 5% 4/1/46 | 440,000 | 454,980 | |
(CHF Collegiate Hsg. Island Campus, LLC Texas A&M Univ. Corpus Christi Island Campus Proj.) Series 2017 A: | |||
5% 4/1/37 (Pre-Refunded to 4/1/27 @ 100) | 240,000 | 269,796 | |
5% 4/1/42 (Pre-Refunded to 4/1/27 @ 100) | 280,000 | 314,762 | |
Series 2020 A, 5% 7/1/57 | 1,405,000 | 1,379,846 | |
New Hope Cultural Ed. Facilities Fin. Corp. Retirement Facility Rev.: | |||
(MRC Crestview Proj.) Series 2016: | |||
5% 11/15/36 (Pre-Refunded to 11/15/24 @ 102) | 80,000 | 86,967 | |
5% 11/15/46 (Pre-Refunded to 11/15/24 @ 102) | 220,000 | 239,160 | |
(MRC Sr. Living - The Langford Proj.) Series 2016 A: | |||
5.375% 11/15/36 | 70,000 | 68,248 | |
5.5% 11/15/46 | 140,000 | 133,489 | |
5.5% 11/15/52 | 140,000 | 131,556 | |
(Presbyterian Village North Proj.) Series 2018: | |||
5% 10/1/31 | 140,000 | 140,291 | |
5% 10/1/32 | 65,000 | 64,944 | |
5% 10/1/33 | 220,000 | 219,232 | |
5% 10/1/34 | 140,000 | 139,100 | |
5% 10/1/35 | 295,000 | 292,151 | |
5% 10/1/39 | 210,000 | 203,826 | |
5.25% 10/1/49 | 1,365,000 | 1,333,909 | |
Series 2018 A, 5.5% 7/1/54 | 1,160,000 | 1,035,676 | |
Series 2021 B, 2% 11/15/61 (h) | 1,280,000 | 716,883 | |
New Hope Cultural Edl. Facilities Fin. Corp.: | |||
Series 2020 A: | |||
5% 8/15/40 (e) | 250,000 | 253,971 | |
5% 8/15/50 (e) | 250,000 | 254,921 | |
Series 2021: | |||
4% 8/15/51 (e) | 250,000 | 217,583 | |
4% 8/15/56 (e) | 250,000 | 211,904 | |
North East Texas Reg'l. Mobility Auth. Series 2016 B, 5% 1/1/41 | 250,000 | 257,404 | |
North Texas Muni. Wtr. District Wtr. Sys. Rev. Series 2021 A, 5% 9/1/27 | 500,000 | 567,933 | |
North Texas Tollway Auth. Rev.: | |||
(Sr. Lien Proj.) Series 2017 A, 5% 1/1/37 | 1,475,000 | 1,603,777 | |
Series 2015 A: | |||
4% 1/1/38 | 25,000 | 25,297 | |
5% 1/1/34 | 605,000 | 636,530 | |
5% 1/1/35 | 250,000 | 262,873 | |
5% 1/1/38 | 925,000 | 974,525 | |
Series 2015 B, 5% 1/1/40 | 470,000 | 476,284 | |
Series 2016 A, 5% 1/1/39 | 800,000 | 855,091 | |
Series 2017 A, 5% 1/1/43 | 1,655,000 | 1,798,958 | |
Series 2020 A, 3% 1/1/38 | 2,000,000 | 1,869,820 | |
Series 2021 B, 3% 1/1/46 | 500,000 | 445,073 | |
Port Beaumont Navigation District Dock Facility Rev. (Jefferson Gulf Coast Energy Proj.): | |||
Series 2020 A: | |||
3.625% 1/1/35 (e) | 290,000 | 257,584 | |
4% 1/1/50 (e) | 540,000 | 449,757 | |
Series 2021 A: | |||
2.75% 1/1/36 (c)(e) | 100,000 | 78,516 | |
3% 1/1/50 (c)(e) | 650,000 | 431,732 | |
Port of Port Arthur Navigation District Series 2017, 4% 3/1/47 (c) | 250,000 | 251,556 | |
Red River Ed. Fin. Corp. (Houston Baptist Univ. Proj.) Series 2017, 5.5% 10/1/46 | 250,000 | 266,699 | |
Rockwall Independent School District Series 2016, 5% 2/15/46 (Pre-Refunded to 2/15/25 @ 100) | 470,000 | 507,097 | |
San Antonio Edl. Facilities Corp. Rev. Series 2021 A, 4% 4/1/51 | 250,000 | 233,979 | |
San Antonio Elec. & Gas Sys. Rev.: | |||
Series 2012: | |||
5.25% 2/1/24 | 595,000 | 628,403 | |
5.25% 2/1/25 | 1,400,000 | 1,513,893 | |
Series 2016, 4% 2/1/28 | 685,000 | 721,553 | |
Series 2022: | |||
5% 2/1/26 | 700,000 | 768,396 | |
5% 2/1/29 | 750,000 | 863,891 | |
San Antonio Muni. Facilities Corporations (City Tower Renovation Proj.) Series 2021, 4% 8/1/48 | 300,000 | 304,228 | |
San Antonio Wtr. Sys. Rev. Bonds Series 2019 A, 2.625%, tender 5/1/24 (a) | 665,000 | 669,505 | |
Tarrant County Cultural Ed. Facilities Fin. Corp. Retirement Facility Rev.: | |||
(Buckner Retirement Svcs., Inc. Proj.): | |||
Series 2016 A: | |||
5% 11/15/26 | 250,000 | 272,796 | |
5% 11/15/27 | 210,000 | 228,166 | |
5% 11/15/28 | 170,000 | 184,097 | |
5% 11/15/29 | 235,000 | 254,003 | |
5% 11/15/30 | 360,000 | 387,849 | |
5% 11/15/37 | 675,000 | 717,321 | |
Series 2016 B, 5% 11/15/46 | 1,900,000 | 1,999,653 | |
(Buckner Retirement Svcs., Inc.) Series 2016 B, 5% 11/15/40 | 905,000 | 957,807 | |
(Buckner Sr. Living - Ventana Proj.) Series 2017 A, 6.625% 11/15/37 | 260,000 | 275,754 | |
(Northwest Sr. Hsg. Corp. Edgemere Proj.): | |||
Series 2015 A, 5% 11/15/45 | 2,300,000 | 920,000 | |
Series 2017, 5.25% 11/15/47 | 285,000 | 114,000 | |
Series 2020, 5.75% 12/1/54 | 1,045,000 | 895,991 | |
Tarrant County Cultural Ed. Facilities Fin. Corp. Rev. Series 2016 A: | |||
5% 2/15/41 | 855,000 | 911,869 | |
5% 2/15/47 | 3,540,000 | 3,753,611 | |
Texas Gen. Oblig.: | |||
Series 2017 A, 5% 10/1/33 | 410,000 | 459,081 | |
Series 2022 B, 5% 8/1/39 | 1,240,000 | 1,335,658 | |
Texas Muni. Gas Acquisition & Supply Corp. I Gas Supply Rev. Series 2008 D, 6.25% 12/15/26 | 180,000 | 193,787 | |
Texas Muni. Gas Acquisition And Supply Corp. Series 2021: | |||
5% 12/15/26 | 1,000,000 | 1,067,928 | |
5% 12/15/27 | 965,000 | 1,036,595 | |
5% 12/15/28 | 250,000 | 269,285 | |
5% 12/15/29 | 770,000 | 832,171 | |
5% 12/15/30 | 2,465,000 | 2,662,175 | |
5% 12/15/31 | 1,160,000 | 1,251,876 | |
5% 12/15/32 | 1,605,000 | 1,738,114 | |
Texas Muni. Gas Acquisition and Supply Corp. II Gas Supply Rev. Series 2012 C, 1.235% 9/15/27 (a) | 5,350,000 | 5,202,575 | |
Texas Muni. Pwr. Agcy. Rev. Series 2021, 3% 9/1/46 (Assured Guaranty Muni. Corp. Insured) | 500,000 | 437,484 | |
Texas Private Activity Bond Surface Trans. Corp.: | |||
(Blueridge Trans. Group, LLC SH 288 Toll Lanes Proj.) Series 2016: | |||
5% 12/31/45 (c) | 1,030,000 | 1,058,653 | |
5% 12/31/50 (c) | 2,975,000 | 3,050,140 | |
5% 12/31/55 (c) | 1,425,000 | 1,459,781 | |
(LBJ Infrastructure Group LLC I-635 Managed Lanes Proj.) Series 2020 A: | |||
4% 12/31/37 | 500,000 | 496,672 | |
4% 12/31/38 | 250,000 | 247,515 | |
4% 6/30/39 | 250,000 | 246,698 | |
(NTE Mobility Partners LLC North Tarrant Express Managed Lanes Proj.) Series 2019 A: | |||
4% 12/31/38 | 250,000 | 241,371 | |
4% 12/31/39 | 250,000 | 240,264 | |
(NTE Mobility Partners Segments 3 LLC Segment 3C Proj.) Series 2019, 5% 6/30/58 (c) | 7,980,000 | 8,312,548 | |
Series 2013: | |||
6.75% 6/30/43 (c) | 890,000 | 924,714 | |
7% 12/31/38 (c) | 435,000 | 454,097 | |
Texas Tpk. Auth. Central Texas Tpk. Sys. Rev. Series 2002, 0% 8/15/28 | 7,500,000 | 6,201,191 | |
Texas Trans. Commission Series 2019 A, 5% 8/1/57 | 3,475,000 | 3,635,603 | |
Texas Trans. Commission Central Texas Tpk. Sys. Rev.: | |||
Series 2015 C: | |||
5% 8/15/34 | 750,000 | 773,202 | |
5% 8/15/37 | 3,280,000 | 3,376,390 | |
5% 8/15/42 | 300,000 | 307,723 | |
Series 2020 A, 5% 8/15/39 | 2,105,000 | 2,350,902 | |
Univ. of Texas Board of Regents Sys. Rev. Series 2019 B, 5% 8/15/49 | 2,510,000 | 3,219,888 | |
West Harris County Reg'l. Wtr. Auth. Wtr. Sys. Rev. Series 2021, 3.5% 12/15/46 | 975,000 | 957,511 | |
Williamson County Series 2021, 4% 2/15/28 | 1,000,000 | 1,091,881 | |
TOTAL TEXAS | 197,496,069 | ||
Utah - 0.4% | |||
Intermountain Pwr. Agcy. Pwr. Supply Rev. Series 2022 A: | |||
5% 7/1/32 | 1,500,000 | 1,777,293 | |
5% 7/1/33 | 1,000,000 | 1,182,031 | |
5% 7/1/45 | 1,500,000 | 1,715,752 | |
Mida Golf & Equestrian Ctr. Pub. Infrastructure District Series 2021, 4.5% 6/1/51 (e) | 300,000 | 242,771 | |
Mida Mountain Village Pub. Infrastructure Series 2020 A, 5% 8/1/50 | 250,000 | 250,205 | |
Military Installation Dev. Auth. Utah Tax Allocation Rev.: | |||
Series 2021 A1, 4% 6/1/52 | 900,000 | 689,768 | |
Series 2021 A2, 4% 6/1/52 | 1,805,000 | 1,366,402 | |
Park City School District (Utah School Bond Guaranty Prog.) Series 2022, 5% 2/1/33 | 325,000 | 390,949 | |
Salt Lake City Arpt. Rev.: | |||
Series 2017 A: | |||
5% 7/1/42 (c) | 4,020,000 | 4,267,840 | |
5% 7/1/47 (c) | 6,595,000 | 6,956,018 | |
Series 2017 B, 5% 7/1/42 | 815,000 | 878,170 | |
Series 2018 A: | |||
5% 7/1/36 (c) | 945,000 | 1,019,858 | |
5% 7/1/43 (c) | 2,250,000 | 2,406,510 | |
Series 2021 A: | |||
4% 7/1/41 (c) | 1,585,000 | 1,600,464 | |
4% 7/1/51 (c) | 6,725,000 | 6,663,289 | |
5% 7/1/34 (c) | 1,000,000 | 1,115,548 | |
5% 7/1/35 (c) | 1,070,000 | 1,191,877 | |
5% 7/1/51 (c) | 1,425,000 | 1,541,152 | |
UIPA Crossroad Pub. Infrastructure District Series 2021: | |||
4.125% 6/1/41 (e) | 1,000,000 | 862,528 | |
4.375% 6/1/52 (e) | 1,520,000 | 1,260,484 | |
Utah Associated Muni. Pwr. Sys. Rev. Series 2011 A, 5.5% 6/1/22 | 120,000 | 120,000 | |
Utah Charter School Fin. Auth.: | |||
(Spectrum Academy Proj.) Series 2020: | |||
4% 4/15/45 | 750,000 | 748,323 | |
4% 4/15/50 | 250,000 | 246,215 | |
Series 2020 A, 4% 10/15/54 | 250,000 | 247,001 | |
Utah County Hosp. Rev.: | |||
Series 2014 A, 5% 5/15/45 | 500,000 | 518,680 | |
Series 2016 B, 5% 5/15/46 | 1,000,000 | 1,054,123 | |
Series 2020 A: | |||
4% 5/15/43 | 1,400,000 | 1,427,622 | |
5% 5/15/43 | 750,000 | 827,441 | |
Utah Gen. Oblig.: | |||
Series 2018, 5% 7/1/26 | 325,000 | 362,442 | |
Series 2020, 3% 7/1/33 | 250,000 | 251,134 | |
Utah Hsg. Corp. Series 2021 E, 2% 4/21/51 | 837,029 | 798,747 | |
Utah Infrastructure Agcy.: | |||
Series 2017 A: | |||
5% 10/15/34 | 250,000 | 257,225 | |
5% 10/15/40 | 250,000 | 253,739 | |
Series 2018 A, 5.375% 10/15/40 | 250,000 | 259,948 | |
Series 2021, 3% 10/15/45 | 250,000 | 178,379 | |
Series 2022, 5% 10/15/46 | 200,000 | 202,365 | |
Utah Transit Auth. Sales Tax Rev. Series 2018, 4% 12/15/41 | 1,300,000 | 1,342,141 | |
Weber Basin Wtr. Conservancy District Series 2019 A, 5% 10/1/44 | 750,000 | 848,708 | |
TOTAL UTAH | 47,323,142 | ||
Vermont - 0.0% | |||
Univ. of Vermont and State Agricultural College Series 2015: | |||
4% 10/1/40 | 1,500,000 | 1,512,487 | |
4.125% 10/1/45 | 1,000,000 | 1,009,262 | |
TOTAL VERMONT | 2,521,749 | ||
Virgin Islands - 0.1% | |||
Matching Fund Spl. Purp. Securitization Corp. Series 2022 A: | |||
5% 10/1/30 | 2,200,000 | 2,276,337 | |
5% 10/1/32 | 2,200,000 | 2,276,887 | |
5% 10/1/39 | 7,805,000 | 7,928,553 | |
Virgin Islands Pub. Fin. Auth.: | |||
Series 2012 A, 5% 10/1/32 | 400,000 | 394,822 | |
Series 2014 C: | |||
5% 10/1/30 | 400,000 | 397,365 | |
5% 10/1/39 | 300,000 | 290,211 | |
5% 10/1/39 | 800,000 | 832,456 | |
TOTAL VIRGIN ISLANDS | 14,396,631 | ||
Virginia - 1.1% | |||
Albemarle County Econ. Dev. Auth. Residential Care Facility Mtg. Rev. Series 2012 A, 5% 1/1/42 | 455,000 | 463,979 | |
Arlington County IDA Hosp. Facilities Series 2020: | |||
3.75% 7/1/50 | 950,000 | 896,138 | |
4% 7/1/45 | 1,350,000 | 1,346,981 | |
Chesapeake Bay Bridge and Tunnel District Gen. Resolution Rev. Series 2016: | |||
5% 7/1/41 (Assured Guaranty Muni. Corp. Insured) | 1,265,000 | 1,344,392 | |
5% 7/1/46 | 4,380,000 | 4,596,952 | |
5% 7/1/51 | 2,985,000 | 3,120,982 | |
Chesapeake Trans. Sys. Toll Road Rev. Series 2012 B, 0% 7/15/40 (g) | 1,055,000 | 1,077,079 | |
Fairfax County Econ. Dev. Auth. Residential Care Facility Rev. Series 2013 A: | |||
5% 12/1/32 (Pre-Refunded to 12/1/23 @ 100) | 230,000 | 240,744 | |
5% 12/1/42 (Pre-Refunded to 12/1/23 @ 100) | 395,000 | 413,451 | |
5% 12/1/47 (Pre-Refunded to 12/1/23 @ 100) | 280,000 | 293,079 | |
Fairfax County Indl. Dev. Auth. (Inova Health Sys. Proj.): | |||
Series 2014 A, 5% 5/15/44 | 1,475,000 | 1,532,320 | |
Series 2016 A, 5% 5/15/31 | 590,000 | 629,083 | |
Series 2018 A, 4% 5/15/48 | 1,665,000 | 1,626,612 | |
Fairfax County Swr. Rev. Series 2021 A, 4% 7/15/38 | 1,930,000 | 2,077,686 | |
Farmville Indl. Edl. Facilities Rev. (Longwood Univ. Student Hsg. Projs.): | |||
Series 2018 A: | |||
5% 1/1/48 | 250,000 | 255,756 | |
5% 1/1/55 | 700,000 | 713,328 | |
Series 2020 A, 5% 1/1/59 | 250,000 | 254,816 | |
Greater Richmond Convention Ctr. Auth. Hotel Tax Rev. Series 2015, 5% 6/15/31 (Pre-Refunded to 6/15/25 @ 100) | 1,370,000 | 1,490,029 | |
Hampton Roads Trans. Accountability Commission: | |||
Series 2018 A, 5.5% 7/1/57 (Pre-Refunded to 1/1/28 @ 100) | 5,965,000 | 6,956,428 | |
Series 2020 A, 5% 7/1/60 | 1,030,000 | 1,155,863 | |
Series 2021 A, 5% 7/1/26 | 3,000,000 | 3,336,905 | |
Series 2022 A, 4% 7/1/52 | 1,250,000 | 1,292,273 | |
Henrico County Econ. Dev. Auth. Residential Care Facility Rev. Series 2022 A: | |||
5% 10/1/47 | 575,000 | 612,704 | |
5% 10/1/52 | 145,000 | 153,262 | |
Indl. Dev. Auth. Botetourt County Residential Care Facility Rev. Series 2014 A, 6% 7/1/34 | 1,030,000 | 1,082,685 | |
James City County Econ. Dev. Auth. Residential Care Facility Rev. Series 2013 A, 6% 6/1/43 (Pre-Refunded to 6/1/23 @ 100) | 1,075,000 | 1,116,292 | |
Loudoun County Gen. Oblig. Series 2022 A, 5% 12/1/32 (f) | 2,050,000 | 2,488,103 | |
Lynchburg Econ. Dev. Series 2021, 4% 1/1/55 | 1,610,000 | 1,553,976 | |
Lynchburg Econ. Dev. Auth. (Randolph College Projs.) Series 2018, 5% 9/1/48 | 250,000 | 262,053 | |
Norfolk Econ. Dev. Auth. Hosp. Facilities Rev. Bonds Series 2018 A, 5%, tender 11/1/28 (a) | 145,000 | 166,230 | |
Norfolk Econ. Dev. Health Care Facilities Series 2012 B, 5% 11/1/43 | 120,000 | 121,602 | |
Norfolk Redev. & Hsg. Auth. Rev.: | |||
(Fort Norfolk Retirement Cmnty., Inc. Harbors Edge Proj.) Series 2014: | |||
5% 1/1/35 | 565,000 | 570,008 | |
5% 1/1/46 | 725,000 | 725,664 | |
5.375% 1/1/35 | 880,000 | 896,810 | |
5.375% 1/1/46 | 600,000 | 606,659 | |
Series 2019 A, 5% 1/1/49 | 455,000 | 454,966 | |
Richmond Pub. Util. Rev. Series 2013 A, 5% 1/15/38 (Pre-Refunded to 1/15/23 @ 100) | 60,000 | 61,338 | |
Roanoke Econ. Dev. Auth. Edl. Facilities Series 2018 A, 4% 9/1/48 | 250,000 | 242,245 | |
Stafford County Econ. Dev. Auth. Hosp. Facilities Rev. Series 2016: | |||
5% 6/15/33 | 140,000 | 147,989 | |
5% 6/15/34 | 600,000 | 632,388 | |
5% 6/15/35 | 280,000 | 294,360 | |
5% 6/15/36 | 610,000 | 640,890 | |
Tobacco Settlement Fing. Corp.: | |||
Series 2007 A1, 6.706% 6/1/46 | 800,000 | 803,990 | |
Series 2007 C1, 0% 6/1/47 | 6,565,000 | 1,679,879 | |
Series 2007 D, 0% 6/1/47 | 3,330,000 | 689,502 | |
Univ. of Virginia Gen. Rev. Series 2017 A, 5% 4/1/47 | 2,710,000 | 2,988,578 | |
Virginia College Bldg. Auth. Edl. Facilities Rev.: | |||
(Marymount Univ. Proj.): | |||
Series 2015 A: | |||
5% 7/1/23 (e) | 195,000 | 198,028 | |
5% 7/1/24 (e) | 210,000 | 215,243 | |
5% 7/1/25 (e) | 215,000 | 221,922 | |
5% 7/1/30 (e) | 665,000 | 677,313 | |
5% 7/1/35 (e) | 200,000 | 202,839 | |
5% 7/1/45 (e) | 440,000 | 443,101 | |
Series 2015 B: | |||
5% 7/1/45 (e) | 845,000 | 850,955 | |
5.25% 7/1/30 (e) | 210,000 | 215,386 | |
5.25% 7/1/35 (e) | 255,000 | 260,434 | |
Series 2001, 5.75% 1/1/34 | 65,000 | 83,548 | |
Virginia Commonwealth Trans. Board Rev. Series 2022, 4% 5/15/36 | 1,310,000 | 1,361,537 | |
Virginia Small Bus. Fing. Auth.: | |||
(95 Express Lanes LLC Proj.) Series 2022: | |||
4% 1/1/39 (c) | 245,000 | 240,672 | |
4% 1/1/40 (c) | 375,000 | 367,077 | |
4% 1/1/41 (c) | 215,000 | 209,724 | |
4% 1/1/48 (c) | 6,485,000 | 6,218,032 | |
5% 7/1/33 (c) | 820,000 | 904,372 | |
5% 7/1/34 (c) | 270,000 | 295,965 | |
5% 7/1/35 (c) | 305,000 | 333,563 | |
5% 1/1/36 (c) | 85,000 | 92,900 | |
5% 1/1/37 (c) | 250,000 | 272,682 | |
5% 7/1/37 (c) | 190,000 | 207,238 | |
(Elizabeth River Crossings OPCO, LLC Proj.) Series 2022: | |||
4% 1/1/32 (c) | 225,000 | 229,923 | |
4% 7/1/32 (c) | 195,000 | 199,157 | |
(Elizabeth River Crossings OpCo, LLC Proj.) Series 2022: | |||
4% 1/1/35 (c) | 340,000 | 343,670 | |
4% 1/1/36 (c) | 470,000 | 473,650 | |
4% 1/1/37 (c)(f) | 4,355,000 | 4,376,289 | |
4% 1/1/38 (c)(f) | 2,935,000 | 2,927,260 | |
4% 1/1/39 (c)(f) | 845,000 | 841,141 | |
4% 1/1/40 (c)(f) | 2,730,000 | 2,712,822 | |
(I-495 Hot Lanes Proj.) Series 2022: | |||
5% 12/31/42 (c) | 1,000,000 | 1,093,810 | |
5% 12/31/47 (c) | 4,525,000 | 4,894,166 | |
(Transform 66 P3 Proj.) Series 2017: | |||
5% 12/31/47 (c) | 360,000 | 375,493 | |
5% 12/31/49 (c) | 1,845,000 | 1,920,106 | |
5% 12/31/52 (c) | 3,060,000 | 3,175,332 | |
5% 12/31/56 (c) | 15,350,000 | 15,903,667 | |
Series 2012: | |||
4.75% 1/1/25 (c) | 305,000 | 305,799 | |
5% 7/1/25 (c) | 295,000 | 295,832 | |
5% 1/1/26 (c) | 280,000 | 280,790 | |
5% 7/1/26 (c) | 280,000 | 280,790 | |
5% 7/1/27 (c) | 295,000 | 295,832 | |
5.5% 1/1/42 (c) | 4,225,000 | 4,238,603 | |
6% 1/1/37 (c) | 4,395,000 | 4,410,872 | |
Series 2020 A, 4% 1/1/51 | 400,000 | 399,728 | |
TOTAL VIRGINIA | 117,954,312 | ||
Washington - 0.5% | |||
Adams County Pub. Hosp. District No. 2 Series 2014, 5.125% 12/1/44 | 375,000 | 387,753 | |
Energy Northwest Elec. Rev.: | |||
Series 2020 A: | |||
5% 7/1/33 | 1,105,000 | 1,290,667 | |
5% 7/1/34 | 530,000 | 615,725 | |
5% 7/1/36 | 705,000 | 816,984 | |
5% 7/1/37 | 700,000 | 810,215 | |
Series 2021 A: | |||
4% 7/1/42 | 2,805,000 | 2,884,927 | |
5% 7/1/22 | 1,520,000 | 1,524,624 | |
5% 7/1/41 | 5,015,000 | 5,828,101 | |
Series 2022 A: | |||
5% 7/1/33 | 2,000,000 | 2,408,746 | |
5% 7/1/35 | 2,475,000 | 2,956,776 | |
Indl. Dev. Corp. of the Port of Seattle Spl. Facilities Rev. (Delta Air Lines, Inc. Proj.) Series 2012, 5% 4/1/30 (c) | 420,000 | 422,347 | |
Pend Oreille Pub. Util. District Series 2018, 5% 1/1/48 | 250,000 | 261,167 | |
Port of Seattle Rev. Series 2021 C, 5% 8/1/46 (c) | 500,000 | 546,414 | |
Univ. of Washington Univ. Revs.: | |||
Series 2015 C, 4% 12/1/30 | 1,185,000 | 1,230,962 | |
Series 2020 A, 4% 4/1/39 | 250,000 | 260,959 | |
Washington Convention Ctr. Pub. Facilities: | |||
Series 2018, 4% 7/1/58 | 250,000 | 214,453 | |
Series 2021 A, 5% 7/1/58 | 250,000 | 263,287 | |
Series 2021 B: | |||
3% 7/1/48 | 250,000 | 175,416 | |
3% 7/1/58 | 600,000 | 411,211 | |
3% 7/1/58 (Assured Guaranty Muni. Corp. Insured) | 250,000 | 181,392 | |
3% 7/1/58 (Assured Guaranty Muni. Corp. Insured) | 2,150,000 | 1,559,969 | |
4% 7/1/58 | 250,000 | 214,453 | |
Series 2021, 4% 7/1/31 | 1,065,000 | 1,017,422 | |
Washington Gen. Oblig.: | |||
Series 2020 C, 5% 2/1/39 | 5,900,000 | 6,785,896 | |
Series 2020 R, 4% 7/1/29 | 1,375,000 | 1,513,808 | |
Series 2021 E, 5% 6/1/43 | 1,640,000 | 1,902,429 | |
Series 2021 F: | |||
5% 6/1/39 | 305,000 | 356,504 | |
5% 6/1/40 | 3,535,000 | 4,125,110 | |
Series 2021 R, 4% 7/1/41 | 3,470,000 | 3,631,078 | |
Series 2022 A, 5% 8/1/42 | 500,000 | 582,697 | |
Washington Health Care Facilities Auth. Rev. Series 2019 A2, 5% 8/1/44 | 300,000 | 313,058 | |
Washington Higher Ed. Facilities Auth. Rev. (Seattle Pacific Univ. Proj.) Series 2020 A, 5% 10/1/45 | 250,000 | 269,181 | |
Washington Hsg. Fin. Commission: | |||
Series 2018 1N, 4% 12/1/48 | 485,000 | 496,962 | |
Series 2021 1, 3.5% 12/20/35 | 2,518,138 | 2,352,957 | |
Washington Hsg. Fin. Commission Nonprofit Hsg. Rev.: | |||
(Eliseo Proj.) Series 2021 A: | |||
4% 1/1/41 (e) | 300,000 | 254,245 | |
4% 1/1/57 (e) | 300,000 | 226,968 | |
(Judson Park Proj.) Series 2018, 5% 7/1/48 (e) | 295,000 | 281,754 | |
(Presbyterian Retirement Cmntys. Northwest Projs.) Series 2016 A: | |||
5% 1/1/46 (e) | 455,000 | 430,290 | |
5% 1/1/51 (e) | 950,000 | 887,086 | |
(The Hearthstone Proj.) Series 2018 A: | |||
5% 7/1/48 (e) | 405,000 | 343,003 | |
5% 7/1/53 (e) | 100,000 | 83,066 | |
(Transforming Age Projs.): | |||
Series 2019 A, 5% 1/1/55 (e) | 2,350,000 | 2,169,395 | |
Series 2019 B, 2.375% 1/1/26 (e) | 235,000 | 223,354 | |
Series 2015 A, 7% 7/1/45 (e) | 1,205,000 | 1,264,891 | |
Whidbey Island Pub. Hosp. District Series 2013, 5.375% 12/1/39 | 250,000 | 223,800 | |
TOTAL WASHINGTON | 55,001,502 | ||
West Virginia - 0.0% | |||
Monongalia County West Commission Spl. District Excise Tax Rev.: | |||
Series 2017 A: | |||
5.5% 6/1/37 (e) | 445,000 | 468,579 | |
5.75% 6/1/43 (e) | 445,000 | 469,443 | |
Series 2021 A, 4.125% 6/1/43 (e) | 315,000 | 304,460 | |
Series 2021 B, 4.875% 6/1/43 (e) | 220,000 | 203,775 | |
West Virginia Econ. Dev. Auth. Solid Waste Disp. Facilities Rev. Bonds (Arch Resources Proj.) Series 2020, 5%, tender 7/1/25 (a)(c) | 420,000 | 432,473 | |
West Virginia Hosp. Fin. Auth. Hosp. Rev. Series 2018 A: | |||
4% 1/1/37 | 250,000 | 248,959 | |
4.125% 1/1/47 | 300,000 | 289,678 | |
TOTAL WEST VIRGINIA | 2,417,367 | ||
Wisconsin - 0.3% | |||
Blue Ridge Healthcare Pub. Fin. Auth. Series 2019, 6.75% 11/1/24 (e) | 300,000 | 266,958 | |
Pub. Fin. Auth. Charter School Rev. Series 2020 A: | |||
4% 7/1/30 (e) | 55,000 | 53,699 | |
5% 7/1/40 (e) | 100,000 | 101,885 | |
5% 7/1/55 (e) | 205,000 | 205,738 | |
Pub. Fin. Auth. Edl. Facilities Series 2016, 5.5% 1/1/47 | 250,000 | 256,964 | |
Pub. Fin. Auth. Hosp. Rev.: | |||
Series 2019 A, 4% 10/1/49 | 250,000 | 242,768 | |
Series 2021 A, 4% 2/1/51 | 250,000 | 237,151 | |
Pub. Fin. Auth. Hotel Rev. (Grand Hyatt San Antonio Hotel Acquisition Proj.) Series 2022 A: | |||
5% 2/1/42 | 795,000 | 843,844 | |
5% 2/1/52 | 1,545,000 | 1,622,614 | |
5% 2/1/62 | 1,265,000 | 1,313,370 | |
Pub. Fin. Auth. Ltd. Oblig. Pilot Rev. (American Dream Meadowlands Proj.) Series 2017, 7% 12/1/50 (e) | 510,000 | 489,989 | |
Pub. Fin. Auth. Pub. Fin. Auth. Ed. Rev. Mountain Island Charter School: | |||
Series 2017 A, 5.125% 6/15/47 (e) | 370,000 | 370,310 | |
Series 2017: | |||
5% 7/1/37 | 115,000 | 116,724 | |
5% 7/1/47 | 280,000 | 282,828 | |
5% 7/1/52 | 605,000 | 610,362 | |
Series 2019 A: | |||
4% 6/15/29 (e) | 140,000 | 135,570 | |
5% 6/15/39 (e) | 140,000 | 140,200 | |
5% 6/15/49 (e) | 245,000 | 237,578 | |
Pub. Fin. Auth. Rev.: | |||
(Irving Convention Ctr. Hotel) Series 2017 A2, 7% 1/1/50 (e) | 300,000 | 328,669 | |
Series 2016 A, 5% 1/1/24 (c) | 520,000 | 537,800 | |
Series 2016 B, 5% 12/1/25 (c) | 1,140,000 | 1,219,857 | |
Series 2016 C, 4.3% 11/1/30 (c) | 705,000 | 724,664 | |
Series 2016 D, 4.05% 11/1/30 | 350,000 | 354,799 | |
Pub. Fin. Auth. Spl. Facilities Rev.: | |||
(Sky Harbour Cap. Llc Aviation Facilities Proj.) Series 2021, 4% 7/1/41 (c) | 500,000 | 453,202 | |
Series 2021, 4.25% 7/1/54 (c) | 1,930,000 | 1,697,916 | |
Pub. Fin. Auth. Sr. Living Rev.: | |||
(Fellowship Sr. Living Proj.) Series 2019 A, 4% 1/1/52 | 300,000 | 275,135 | |
(Mary's Woods At Marylhurst, Inc. Proj.) Series 2017 A: | |||
5.25% 5/15/37 (e) | 80,000 | 80,067 | |
5.25% 5/15/42 (e) | 175,000 | 172,232 | |
5.25% 5/15/47 (e) | 175,000 | 169,787 | |
5.25% 5/15/52 (e) | 325,000 | 312,205 | |
Pub. Fin. Auth. Student Hsg.: | |||
(NC A&T Real Estate Estate Foundation, LLC Proj.) Series 2019 A, 5% 6/1/49 | 250,000 | 253,535 | |
(Univ. of Hawai'i Foundation Proj.): | |||
Series 2021 B, 5.25% 7/1/61 (e) | 355,000 | 290,198 | |
Series 2021, 4% 7/1/61 (e) | 880,000 | 749,448 | |
Series 2019, 5% 5/1/55 (e) | 1,150,000 | 1,092,500 | |
Series 2021 A1, 4% 7/1/51 (e) | 220,000 | 194,126 | |
Pub. Fin. Auth. Wisconsin Arpt. Facilities Rev. Series 2012 B, 5% 7/1/42 (c) | 250,000 | 250,256 | |
Pub. Fin. Auth. Wisconsin Retirement Facility Rev.: | |||
Series 2018: | |||
5% 10/1/43 (e) | 1,290,000 | 1,261,769 | |
5% 10/1/48 (e) | 575,000 | 551,408 | |
5% 10/1/53 (e) | 1,120,000 | 1,062,287 | |
Series 2021, 4% 12/1/56 | 250,000 | 236,717 | |
Redev. Auth. Platteville Fixed Rate Redev. Rev. Series 2012 A, 5% 7/1/42 | 315,000 | 315,077 | |
Roseman Univ. of Health: | |||
(Church Home of Hartford, Inc. Proj.) Series 2015 A: | |||
5% 9/1/30 (e) | 115,000 | 115,646 | |
5% 9/1/38 (e) | 245,000 | 244,441 | |
(Fargo-Moorhead Metropolitan Area Flood Risk Mgmt. Proj.) Series 2021, 4% 3/31/56 (c) | 550,000 | 500,048 | |
(Roseman Univ. of Health Sciences Proj.): | |||
Series 2015, 5.875% 4/1/45 | 300,000 | 314,566 | |
Series 2020, 5% 4/1/40 (e) | 200,000 | 208,133 | |
(Searstone CCRC Proj.): | |||
Series 2017 A: | |||
5.2% 6/1/37 | 1,150,000 | 1,238,301 | |
5.3% 6/1/47 | 1,585,000 | 1,708,262 | |
5.375% 6/1/52 | 555,000 | 577,138 | |
Series 2023 A, 5% 6/1/52 | 1,140,000 | 933,888 | |
(Ultimate Med. Academy Proj.) Series 2019 A, 5% 10/1/39 (e) | 500,000 | 524,342 | |
(Wonderful Foundations Charter School Portfolio Projs.) Series 2020 B, 0% 1/1/60 (e) | 300,000 | 23,697 | |
Series 2020: | |||
5% 1/1/40 | 250,000 | 267,542 | |
5% 4/1/50 (e) | 295,000 | 303,449 | |
Series 2022, 4% 4/1/32 (e) | 520,000 | 517,218 | |
Series 2023 A, 5% 6/1/37 | 510,000 | 467,521 | |
Wisconsin Ctr. District Tax Rev. Series 2013 A: | |||
5% 12/15/31 (Pre-Refunded to 12/15/22 @ 100) | 500,000 | 509,516 | |
5% 12/15/32 (Pre-Refunded to 12/15/22 @ 100) | 250,000 | 254,758 | |
Wisconsin Gen. Oblig. Series 2021 B: | |||
5% 5/1/31 | 500,000 | 577,879 | |
5% 5/1/32 | 500,000 | 575,278 | |
Wisconsin Health & Edl. Facilities: | |||
(Saint John's Cmntys., Inc. Proj.) Series 2018 A: | |||
5% 9/15/40 (Pre-Refunded to 9/15/23 @ 100) | 140,000 | 145,593 | |
5% 9/15/45 (Pre-Refunded to 9/15/23 @ 100) | 185,000 | 192,390 | |
5% 9/15/50 (Pre-Refunded to 9/15/23 @ 100) | 1,070,000 | 1,112,745 | |
Series 2015 B, 5% 9/15/37 | 90,000 | 90,927 | |
Series 2017: | |||
5% 6/1/37 | 155,000 | 156,679 | |
5% 6/1/41 | 235,000 | 236,087 | |
Series 2020, 3% 8/15/52 | 500,000 | 400,690 | |
Wisconsin Health & Edl. Facilities Auth. Rev. Series 2022: | |||
4% 9/15/36 | 105,000 | 94,420 | |
4% 9/15/41 | 105,000 | 90,247 | |
4% 9/15/45 | 90,000 | 74,762 | |
Wisconsin Hsg. & Econ. Dev. Auth. Series 2018 D, 4% 3/1/47 | 695,000 | 711,449 | |
TOTAL WISCONSIN | 33,279,818 | ||
Wyoming - 0.0% | |||
Wyoming Cmnty. Dev. Auth. Hsg. Rev.: | |||
Series 2018 3, 4% 6/1/43 | 250,000 | 256,024 | |
Series 2019 1, 4% 12/1/48 | 250,000 | 256,300 | |
TOTAL WYOMING | 512,324 | ||
TOTAL MUNICIPAL BONDS | |||
(Cost $3,136,544,250) | 2,998,226,743 | ||
Municipal Notes - 0.6% | |||
Alabama - 0.0% | |||
Columbia Indl. Dev. Board Poll. Cont. Rev. (Alabama Pwr. Co. Proj.) Series 2014 B, 0.65% 6/1/22, VRDN (a) | 740,000 | $740,000 | |
California - 0.0% | |||
Los Angeles Dept. of Wtr. & Pwr. Rev. Series 2021 A1, 0.52% 6/1/22 (Liquidity Facility Royal Bank of Canada), VRDN (a) | 500,000 | 500,000 | |
Los Angeles Dept. of Wtr. & Pwr. Wtrwks. Rev. Series 2020 A, 0.55% 6/1/22 (Liquidity Facility TD Banknorth, NA), VRDN (a) | 115,000 | 115,000 | |
TOTAL CALIFORNIA | 615,000 | ||
Delaware - 0.0% | |||
Univ. of Delaware Rev. Series 2005, 0.61% 6/1/22 (Liquidity Facility TD Banknorth, NA), VRDN (a) | 2,550,000 | 2,550,000 | |
Georgia - 0.1% | |||
Burke County Indl. Dev. Auth. Poll. Cont. Rev. (Georgia Pwr. Co. Plant Vogtle Proj.): | |||
Series 2008, 0.77% 6/1/22, VRDN (a) | 1,600,000 | 1,600,000 | |
Series 2012, 0.79% 6/1/22, VRDN (a)(c) | 10,000,000 | 10,000,000 | |
Series 2018, 0.7% 6/1/22, VRDN (a) | 3,200,000 | 3,200,000 | |
Floyd County Dev. Auth. Poll. Cont. Rev. (Georgia Pwr. Co. Plant Hammond Proj.) Series 2010, 0.78% 6/1/22, VRDN (a) | 1,200,000 | 1,200,000 | |
TOTAL GEORGIA | 16,000,000 | ||
Idaho - 0.0% | |||
Idaho Health Facilities Auth. Rev. (St. Luke's Health Sys. Proj.) Series 2018 C, 0.67% 6/1/22, LOC U.S. Bank NA, Cincinnati, VRDN (a) | 2,400,000 | 2,400,000 | |
Illinois - 0.0% | |||
Deutsche Bank Spears/Lifers Trust Participating VRDN Series 2015 XF 10 09, 0.83% 6/7/22 (Assured Guaranty Muni. Corp. Insured), LOC Barclays Bank PLC, (Liquidity Facility Barclays Bank PLC) (a)(j)(k) | 900,000 | 900,000 | |
Indiana - 0.0% | |||
Indiana Fin. Auth. Health Sys. Rev. (Sisters of Saint Francis Health Svcs., Inc. Obligated Group Proj.) Series 2008 F, 0.82% 6/7/22, LOC Barclays Bank PLC, VRDN (a) | 2,000,000 | 2,000,000 | |
Indiana Fin. Auth. Rev. (DePauw Univ. Proj.) Series 2008 A, 0.78% 6/7/22, LOC BMO Harris Bank NA, VRDN (a) | 1,500,000 | 1,500,000 | |
TOTAL INDIANA | 3,500,000 | ||
Kentucky - 0.0% | |||
Louisville & Jefferson County Reg'l. Arpt. Auth. Spl. Facilities Rev. (UPS Worldwide Forwarding, Inc. Proj.) Series 1999 B, 0.7% 6/1/22, VRDN (a)(c) | 2,100,000 | 2,100,000 | |
Meade County Indl. Bldg. Rev. (Nucor Steel Brandenburg Proj.) Series 2020 A1, 0.88% 6/1/22, VRDN (a)(c) | 300,000 | 300,000 | |
TOTAL KENTUCKY | 2,400,000 | ||
Michigan - 0.1% | |||
Grand Traverse County Hosp. Fin. Auth. Series 2019 C, 0.65% 6/1/22, LOC PNC Bank NA, VRDN (a) | 5,000,000 | 5,000,000 | |
Michigan Bldg. Auth. Rev. Series 2020 III, 0.89% 7/3/23, VRDN (a) | 100,000 | 100,000 | |
TOTAL MICHIGAN | 5,100,000 | ||
Minnesota - 0.0% | |||
Hennepin County Gen. Oblig. Series 2018 B, 0.79% 6/7/22 (Liquidity Facility TD Banknorth, NA), VRDN (a) | 2,000,000 | 2,000,000 | |
Minneapolis Health Care Sys. Rev. (Fairview Health Svcs.) Series 2018 C, 0.58% 6/1/22, LOC Wells Fargo Bank NA, VRDN (a) | 275,000 | 275,000 | |
TOTAL MINNESOTA | 2,275,000 | ||
Mississippi - 0.0% | |||
Mississippi Bus. Fin. Corp. Solid Waste Disp. Rev. (Gulf Pwr. Co. Proj.) Series 2012, 0.74% 6/1/22, VRDN (a)(c) | 1,100,000 | 1,100,000 | |
Missouri - 0.0% | |||
Missouri Health & Edl. Facilities Rev. Participating VRDN Series Floaters 14, 0.83% 6/7/22 (Liquidity Facility Barclays Bank PLC) (a)(j)(k) | 1,750,000 | 1,750,000 | |
New York - 0.1% | |||
New York City Gen. Oblig.: | |||
Series 2012 2, 1.11% 6/8/22, VRDN (a) | 250,000 | 250,000 | |
Series 2018 E, 0.6% 6/1/22 (Liquidity Facility TD Banknorth, NA), VRDN (a) | 435,000 | 435,000 | |
Series 2021 3, 1.07% 6/8/22, VRDN (a) | 750,000 | 750,000 | |
New York City Muni. Wtr. Fin. Auth. Wtr. & Swr. Sys. Rev. Series 2008 BB, 0.58% 6/1/22 (Liquidity Facility Bank of America NA), VRDN (a) | 400,000 | 400,000 | |
New York Metropolitan Trans. Auth. Rev. BAN Series 2019 D1, 5% 9/1/22 | 4,095,000 | 4,128,670 | |
TOTAL NEW YORK | 5,963,670 | ||
North Carolina - 0.1% | |||
Charlotte-Mecklenburg Hosp. Auth. Health Care Sys. Rev. (Carolinas Healthcare Sys.) Series 2007 C, 0.62% 6/1/22 (Liquidity Facility JPMorgan Chase Bank), VRDN (a) | 6,500,000 | 6,500,000 | |
Raleigh Durham Arpt. Auth. Arpt. Rev. Series 2008 C, 0.78% 6/7/22, LOC TD Banknorth, NA, VRDN (a) | 2,050,000 | 2,050,000 | |
Univ. of North Carolina Hosp. at Chapel Hill Rev.: | |||
Series 2001 A, 0.61% 6/1/22, VRDN (a) | 2,775,000 | 2,775,000 | |
Series 2001 B, 0.61% 6/1/22 (Liquidity Facility Landesbank Hessen-Thuringen), VRDN (a) | 500,000 | 500,000 | |
TOTAL NORTH CAROLINA | 11,825,000 | ||
Oregon - 0.0% | |||
Oregon Facilities Auth. Rev. Series 2018 B, 0.6% 6/1/22, LOC TD Banknorth, NA, VRDN (a) | 335,000 | 335,000 | |
Pennsylvania - 0.0% | |||
Southcentral Pennsylvania Gen. Auth. Rev. Series 2019 E, 0.67% 6/1/22 (Liquidity Facility U.S. Bank NA, Cincinnati), VRDN (a) | 380,000 | 380,000 | |
Texas - 0.1% | |||
Harris County Health Facilities Dev. Corp. Rev. (Methodist Hosp. Proj.): | |||
Series 2008 A2, 0.62% 6/1/22, VRDN (a) | 1,200,000 | 1,200,000 | |
Series A1, 0.62% 6/1/22, VRDN (a) | 4,385,000 | 4,385,000 | |
TOTAL TEXAS | 5,585,000 | ||
Virginia - 0.1% | |||
Lynchburg Econ. Dev. Series 2017 B, 0.65% 6/1/22, LOC Truist Bank, VRDN (a) | 6,800,000 | 6,800,000 | |
Wisconsin - 0.0% | |||
Wisconsin Health & Edl. Facilities Series 2018 A, 0.65% 6/1/22, LOC Barclays Bank PLC, VRDN (a) | 1,500,000 | 1,500,000 | |
TOTAL MUNICIPAL NOTES | |||
(Cost $71,725,482) | 71,718,670 | ||
Shares | Value | ||
Municipal Bond Funds - 69.5% | |||
BlackRock National Municipal Fund Investor A Shares | 58,921,002 | 612,189,207 | |
DWS Managed Municipal Bond Fund - Class S | 21,259,011 | 176,662,379 | |
DWS Strategic High Yield Tax-Free Fund Class S | 6,868,017 | 75,754,224 | |
Fidelity Advisor Municipal Income Fund Class Z (l) | 4,282,050 | 52,540,757 | |
Fidelity SAI Municipal Income Fund (l) | 157,979,321 | 1,562,415,414 | |
Fidelity SAI Tax-Free Bond Fund (l) | 13,301,438 | 132,748,349 | |
Fidelity Tax-Free Bond Fund (l) | 16,954,008 | 186,324,548 | |
Franklin Federal Tax-Free Income Fund - Class R6 | 45,051,488 | 498,719,974 | |
iShares S&P National Municipal Bond ETF | 1,228,645 | 132,816,525 | |
MainStay MacKay High Yield Municipal Bond Fund Class A | 9,456,862 | 115,373,716 | |
MainStay MacKay Tax Free Bond Fund Class A | 40,400,579 | 389,865,591 | |
MFS Municipal Income Fund Class A | 142,529,624 | 1,190,122,362 | |
Nuveen AMT-Free Quality Municipal Income Fund Preferred Shares 1.29% (a)(m) | 600,000 | 600,000 | |
Nuveen California AMT-Free Quality Municipal Income Fund Preferred Shares 1.29% (a)(e)(m) | 900,000 | 900,000 | |
Nuveen NY AMT-Free Quality Municipal Income Fund Preferred Shares 1.29% (a)(e)(m) | 1,500,000 | 1,500,000 | |
T. Rowe Price Summit Municipal Income Fund Investor Class | 300,251 | 3,425,866 | |
T. Rowe Price Tax-Free High Yield Fund | 8,290,732 | 94,845,975 | |
T. Rowe Price Tax-Free Income Fund - I Class | 242 | 2,307 | |
Vanguard High-Yield Tax-Exempt Fund Admiral Shares | 211 | 2,285 | |
Vanguard Long-Term Tax-Exempt Fund Admiral Shares | 71,839,463 | 788,797,305 | |
Wells Fargo Municipal Bond Fund - Class Admin | 67,803,777 | 670,579,357 | |
Western Asset Managed Municipals Fund Class A | 70,038,253 | 1,070,184,503 | |
TOTAL MUNICIPAL BOND FUNDS | |||
(Cost $8,188,935,270) | 7,756,370,644 | ||
Money Market Funds - 2.8% | |||
Fidelity Investments Money Market Government Portfolio Class I 0.01% (l)(n) | 19,197,461 | 19,197,461 | |
Fidelity Investments Money Market Government Portfolio Institutional Class 0.64% (l)(n) | 297,808,048 | 297,808,048 | |
Fidelity SAI Municipal Money Market Fund 0.65% (l)(n) | 2,502 | 2,502 | |
Invesco Government & Agency Portfolio Institutional Class 0.67% (n) | 72,443 | 72,443 | |
TOTAL MONEY MARKET FUNDS | |||
(Cost $317,080,455) | 317,080,454 | ||
TOTAL INVESTMENT IN SECURITIES - 99.8% | |||
(Cost $11,714,285,457) | 11,143,396,511 | ||
NET OTHER ASSETS (LIABILITIES) - 0.2% | 17,300,294 | ||
NET ASSETS - 100% | $11,160,696,805 |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/(Depreciation) | |
Sold | |||||
Treasury Contracts | |||||
CBOT 10-Year U.S. Treasury Note Contracts (United States) | 715 | Sept. 2022 | $85,408,984 | $461,988 | $461,988 |
CBOT Long Term U.S. Treasury Bond Contracts (United States) | 160 | Sept. 2022 | 22,310,000 | 242,124 | 242,124 |
TOTAL FUTURES CONTRACTS | $704,112 |
The notional amount of futures sold as a percentage of Net Assets is 1.0%
Security Type Abbreviations
BAN – BOND ANTICIPATION NOTE
VRDN – VARIABLE RATE DEMAND NOTE (A debt instrument that is payable upon demand, either daily, weekly or monthly)
ETF – Exchange-Traded Fund
Legend
(a) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(b) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
(c) Private activity obligations whose interest is subject to the federal alternative minimum tax for individuals.
(d) Level 3 security
(e) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $214,932,380 or 1.9% of net assets.
(f) Security or a portion of the security purchased on a delayed delivery or when-issued basis.
(g) Security initially issued in zero coupon form which converts to coupon form at a specified rate and date. The rate shown is the rate at period end.
(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) A portion of the security sold on a delayed delivery basis.
(j) Provides evidence of ownership in one or more underlying municipal bonds.
(k) Coupon rates are determined by re-marketing agents based on current market conditions.
(l) Affiliated Fund
(m) Non-income producing
(n) The rate quoted is the annualized seven-day yield of the fund at period end.
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, and are excluded from purchases and sales below if applicable. If an underlying Fund changes its name, the name presented below is the name in effect at period end.
Affiliate | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income | Realized Gain (loss) | Change in Unrealized appreciation (depreciation) | Value, end of period |
Fidelity Advisor Municipal Income Fund Class Z | $-- | $53,463,891 | $-- | $93,194 | $-- | $(923,134) | $52,540,757 |
Fidelity Investments Money Market Government Portfolio Class I 0.01% | -- | 133,850,737 | 114,653,276 | 10,775 | -- | -- | 19,197,461 |
Fidelity Investments Money Market Government Portfolio Institutional Class 0.64% | -- | 789,246,238 | 491,438,189 | 212,115 | -- | (1) | 297,808,048 |
Fidelity SAI Municipal Income Fund | -- | 1,704,558,380 | 40,162,197 | 12,439,086 | (2,865,927) | (99,114,842) | 1,562,415,414 |
Fidelity SAI Municipal Money Market Fund 0.65% | -- | 2,503 | -- | 3 | -- | (1) | 2,502 |
Fidelity SAI Tax-Free Bond Fund | -- | 847,570,646 | 690,419,706 | 3,369,869 | (17,985,128) | (6,417,463) | 132,748,349 |
Fidelity Tax-Free Bond Fund | -- | 190,040,847 | -- | 495,773 | -- | (3,716,299) | 186,324,548 |
Total | $-- | $3,718,733,242 | $1,336,673,368 | $16,620,815 | $(20,851,055) | $(110,171,740) | $2,251,037,079 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations, if applicable.
Investment Valuation
The following is a summary of the inputs used, as of May 31, 2022, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Municipal Securities | $3,069,945,413 | $-- | $3,068,066,437 | $1,878,976 |
Municipal Bond Funds | 7,756,370,644 | 7,753,370,644 | 3,000,000 | -- |
Money Market Funds | 317,080,454 | 317,080,454 | -- | -- |
Total Investments in Securities: | $11,143,396,511 | $8,070,451,098 | $3,071,066,437 | $1,878,976 |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $704,112 | $704,112 | $-- | $-- |
Total Assets | $704,112 | $704,112 | $-- | $-- |
Total Derivative Instruments: | $704,112 | $704,112 | $-- | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of May 31, 2022. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
Primary Risk Exposure / Derivative Type | Value | |
Asset | Liability | |
Interest Rate Risk | ||
Futures Contracts(a) | $704,112 | $0 |
Total Interest Rate Risk | 704,112 | 0 |
Total Value of Derivatives | $704,112 | $0 |
(a) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
May 31, 2022 | ||
Assets | ||
Investment in securities, at value — See accompanying schedule: Unaffiliated issuers (cost $9,353,076,638) | $8,892,359,432 | |
Affiliated issuers (cost $2,361,208,819) | 2,251,037,079 | |
Total Investment in Securities (cost $11,714,285,457) | $11,143,396,511 | |
Segregated cash with brokers for derivative instruments | 2,084,000 | |
Cash | 559,950 | |
Receivable for investments sold | ||
Regular delivery | 990,133,703 | |
Delayed delivery | 1,237,883 | |
Receivable for fund shares sold | 113,875,250 | |
Dividends receivable | 4,688,713 | |
Interest receivable | 39,446,995 | |
Receivable for daily variation margin on futures contracts | 837,402 | |
Prepaid expenses | 18,041 | |
Total assets | 12,296,278,448 | |
Liabilities | ||
Payable for investments purchased | ||
Regular delivery | $14,318,337 | |
Delayed delivery | 34,944,304 | |
Payable for fund shares redeemed | 1,059,458,929 | |
Distributions payable | 25,656,091 | |
Accrued management fee | 329,160 | |
Other payables and accrued expenses | 874,822 | |
Total liabilities | 1,135,581,643 | |
Net Assets | $11,160,696,805 | |
Net Assets consist of: | ||
Paid in capital | $12,024,127,657 | |
Total accumulated earnings (loss) | (863,430,852) | |
Net Assets | $11,160,696,805 | |
Net Asset Value, offering price and redemption price per share ($11,160,696,805 ÷ 1,235,440,345 shares) | $9.03 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
For the period June 17, 2021 (commencement of operations) through May 31, 2022 | ||
Investment Income | ||
Dividends: | ||
Unaffiliated issuers | $74,801,965 | |
Affiliated issuers | 15,988,837 | |
Interest | 25,900,865 | |
Total income | 116,691,667 | |
Expenses | ||
Management fee | $14,141,460 | |
Custodian fees and expenses | 29,615 | |
Independent trustees' fees and expenses | 23,365 | |
Registration fees | 1,128,545 | |
Audit | 77,495 | |
Legal | 4,839 | |
Miscellaneous | 44,766 | |
Total expenses before reductions | 15,450,085 | |
Expense reductions | (12,598,993) | |
Total expenses after reductions | 2,851,092 | |
Net investment income (loss) | 113,840,575 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | (284,469,343) | |
Affiliated issuers | (20,851,055) | |
Futures contracts | 6,542,271 | |
Capital gain distributions from underlying funds: | ||
Unaffiliated issuers | 4,674,630 | |
Affiliated issuers | 631,978 | |
Total net realized gain (loss) | (293,471,519) | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers | (460,717,206) | |
Affiliated issuers | (110,171,740) | |
Futures contracts | 704,112 | |
Total change in net unrealized appreciation (depreciation) | (570,184,834) | |
Net gain (loss) | (863,656,353) | |
Net increase (decrease) in net assets resulting from operations | $(749,815,778) |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
For the period June 17, 2021 (commencement of operations) through May 31, 2022 | |
Increase (Decrease) in Net Assets | |
Operations | |
Net investment income (loss) | $113,840,575 |
Net realized gain (loss) | (293,471,519) |
Change in net unrealized appreciation (depreciation) | (570,184,834) |
Net increase (decrease) in net assets resulting from operations | (749,815,778) |
Distributions to shareholders | (113,615,112) |
Share transactions | |
Proceeds from sales of shares | 15,753,905,938 |
Reinvestment of distributions | 111,103 |
Cost of shares redeemed | (3,729,889,346) |
Net increase (decrease) in net assets resulting from share transactions | 12,024,127,695 |
Total increase (decrease) in net assets | 11,160,696,805 |
Net Assets | |
Beginning of period | – |
End of period | $11,160,696,805 |
Other Information | |
Shares | |
Sold | 1,647,644,902 |
Issued in reinvestment of distributions | 11,205 |
Redeemed | (412,215,762) |
Net increase (decrease) | 1,235,440,345 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Strategic Advisers Municipal Bond Fund
Years ended May 31, | 2022 A |
Selected Per–Share Data | |
Net asset value, beginning of period | $10.00 |
Income from Investment Operations | |
Net investment income (loss)B,C | .202 |
Net realized and unrealized gain (loss) | (.984) |
Total from investment operations | (.782) |
Distributions from net investment income | (.187) |
Distributions from net realized gain | (.001) |
Total distributions | (.188) |
Net asset value, end of period | $9.03 |
Total ReturnD,E | (7.92)% |
Ratios to Average Net AssetsC,F,G | |
Expenses before reductions | .31%H |
Expenses net of fee waivers, if any | .06%H |
Expenses net of all reductions | .06%H |
Net investment income (loss) | 2.27%H |
Supplemental Data | |
Net assets, end of period (000 omitted) | $11,160,697 |
Portfolio turnover rateI | 134%H |
A For the period June 17, 2021 (commencement of operations) through May 31, 2022.
B Calculated based on average shares outstanding during the period.
C Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any such underlying funds is not included in the Fund's net investment income (loss) ratio.
D Total returns for periods of less than one year are not annualized.
E Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
F Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
H Annualized
I Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements
For the period ended May 31, 2022
1. Organization.
Strategic Advisers Municipal Bond Fund (the Fund) is a fund of Fidelity Rutland Square Trust II (the Trust), and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust. The Fund is offered exclusively to certain managed account clients of Strategic Advisers LLC (Strategic Advisers), an affiliate of Fidelity Management & Research Company LLC (FMR).
2. Significant Accounting Policies.
The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
- Level 1 – 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 vendors or from brokers who make markets in such securities. Municipal securities are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
ETFs are valued at their last sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day but the exchange reports a closing bid level, ETFs are valued at the closing bid and would be categorized as Level 1 in the hierarchy. In the event there was no closing bid, ETFs may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and may be categorized as Level 2 in the hierarchy.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. If an unaffiliated open-end mutual fund's NAV is unavailable, shares of that fund may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and is categorized as Level 2 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of May 31, 2022 is included at the end of the Fund's Schedule of Investments.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable.
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of May 31, 2022, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.
Distributions are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to the short-term gain distributions from the underlying mutual funds or ETFs, futures contracts, defaulted bonds, market discount, capital loss carryforwards and losses deferred due to wash sales.
The Fund purchases municipal securities whose interest, in the opinion of the issuer, is free from federal income tax. There is no assurance that the IRS will agree with this opinion. In the event the IRS determines that the issuer does not comply with relevant tax requirements, interest payments from a security could become federally taxable, possibly retroactively to the date the security was issued.
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
Gross unrealized appreciation | $19,479,090 |
Gross unrealized depreciation | (620,945,490) |
Net unrealized appreciation (depreciation) | $(601,466,400) |
Tax Cost | $11,744,862,911 |
The tax-based components of distributable earnings as of period end were as follows:
Undistributed tax-exempt income | $429,361 |
Undistributed ordinary income | $621,658 |
Capital loss carryforward | $(263,015,470) |
Net unrealized appreciation (depreciation) on securities and other investments | $(601,466,400) |
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 | $(263,015,470) |
The tax character of distributions paid was as follows:
May 31, 2022(a) | |
Tax-exempt Income | 112,367,525 |
Ordinary Income | $1,247,587 |
Total | $113,615,112 |
(a) For the period June 17, 2021 (commencement of operations) through May 31, 2022.
Delayed Delivery Transactions and When-Issued Securities. During the period, certain Funds transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. Securities purchased on a delayed delivery or when-issued basis are identified as such in the Schedule of Investments. Compensation for interest forgone in the purchase of a delayed delivery or when-issued debt security may be received. With respect to purchase commitments, each applicable Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Payables and receivables associated with the purchases and sales of delayed delivery securities having the same coupon, settlement date and broker are offset. Delayed delivery or when-issued securities that have been purchased from and sold to different brokers are reflected as both payables and receivables in the Statement of Assets and Liabilities under the caption "Delayed delivery", as applicable. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
Restricted Securities (including Private Placements). Funds may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities held at period end is included at the end of the Schedule of Investments, if applicable.
3. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund's investment objective allows the Fund to enter into various types of derivative contracts, including futures contracts. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.
The Fund used derivatives to increase returns and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.
The Fund's use of derivatives increased or decreased its exposure to the following risk:
Interest Rate Risk | Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates. |
The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Counterparty credit risk related to exchange-traded futures contracts may be mitigated by the protection provided by the exchange on which they trade.
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.
Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. The Fund used futures contracts to manage its exposure to the bond market and fluctuations in interest rates.
Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments (variation margin) are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is presented in the Statement of Operations.
Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The notional amount at value reflects each contract's exposure to the underlying instrument or index at period end and is representative of volume of activity during the period. Cash deposited to meet initial margin requirements is presented as segregated cash with brokers for derivative instruments in the Statement of Assets and Liabilities.
4. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities and in-kind transactions, as applicable, are noted in the table below.
Purchases ($) | Sales ($) | |
Strategic Advisers Municipal Bond Fund | 18,994,437,672 | 7,045,593,081 |
Unaffiliated Exchanges In-Kind. During the period, the Fund redeemed shares of Delaware Tax-Free U.S.A. Fund Class A, MainStay MacKay High Yield Municipal Bond Fund Class A, MainStay MacKay Tax Free Bond Fund Class A, T. Rowe Price Summit Municipal Income Fund Investor Class, and T. Rowe Price Tax-Free High Yield Fund in exchange for investments as noted in the following table. The net realized gain (loss) on the Fund's redemptions of Delaware Tax-Free U.S.A. Fund Class A, MainStay MacKay High Yield Municipal Bond Fund Class A, MainStay MacKay Tax Free Bond Fund Class A, T. Rowe Price Summit Municipal Income Fund Investor Class, and T. Rowe Price Tax-Free High Yield Fund is included in "Net Realized gain (loss) on Investment Securities: Unaffiliated issuers" in the accompanying Statement of Operations. The Fund recognized a net loss on the exchanges for federal income tax purposes.
Fund Name | Value of Investments ($) | Net realized gain (loss) ($) | Shares redeemed |
Delaware Tax-Free U.S.A. Fund Class A | 266,484,556 | (10,751,832) | 23,070,010 |
MainStay MacKay High Yield Municipal Bond Fund Class A | 294,446,031 | (9,805,845) | 22,519,084 |
MainStay MacKay Tax Free Bond Fund Class A | 930,537,398 | (8,482,561) | 88,883,334 |
T. Rowe Price Summit Municipal Income Fund Investor Class | 958,244,485 | (27,712,297) | 79,943,332 |
T. Rowe Price Tax-Free High Yield Fund | 818,347,627 | (19,277,866) | 67,546,117 |
Total | 3,268,060,097 | (76,030,401) | 281,961,877 |
5. Fees and Other Transactions with Affiliates.
Management Fee. Strategic Advisers (the investment adviser) provides the Fund with investment management related services. For these services, the Fund pays a monthly management fee to the investment adviser. The management fee is calculated by adding the annual management fee rate of .25% of the Fund's average net assets throughout the month to the aggregate of the fee rates, payable monthly by the investment adviser, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed .60% of the Fund's average net assets. For the reporting period, the total annualized 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. Delaware Investments Fund Advisers, Mackay Shields LLC and T. Rowe Price Associates, Inc. each served as a sub-adviser for the Fund during the period. Sub-advisers provide discretionary investment advisory services for their allocated portion of the Fund's assets and are paid as described in the Management Fee note.
FIAM LLC (an affiliate of the investment adviser), Massachusetts Financial Services Company (MFS) and Western Asset Management Company, 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.
Subsequent to period end, FIAM LLC, Massachusetts Financial Services Company (MFS) and Western Asset Management Company, LLC were each allocated a portion of the Fund's assets.
Interfund Trades. Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. During the period there were no interfund trades.
6. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below. During the period, there were no borrowings on this line of credit.
Amount | |
Strategic Advisers Municipal Bond Fund | $588 |
7. Expense Reductions.
The investment adviser has contractually agreed to waive the Fund's management fee in an amount equal to .25% of the Fund's average net assets until September 30, 2024. During the period, this waiver reduced the Fund's management fee by $12,598,783.
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 $210.
8. Other.
A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.
Funds do not invest in underlying mutual funds for the purpose of exercising management or control; however, investments by funds within their principal investment strategies may represent a significant portion of the underlying mutual fund's net assets. At the end of the period, certain Funds were the owners of record of 10% or more of the total outstanding shares of the following underlying mutual funds as shown below.
Fund | Strategic Advisers Municipal Bond Fund |
Fidelity SAI Municipal Income Fund | 70% |
Affiliated Exchanges In-Kind Effective after the close of business on May 31,2022, the Fund redeemed shares of Fidelity SAI Municipal Income Fund, Fidelity SAI Tax-Free Bond Fund, and Fidelity Tax-Free Bond Fund in exchange for investments as noted in the following table. The Fund recognized a net loss on the exchanges for federal income tax purposes.
Fund Name | Value of Investments ($) | Net realized gain (loss) ($) | Shares redeemed |
Fidelity SAI Municipal Income Fund | 1,510,770,968 | (147,856,951) | 157,700,519 |
Fidelity SAI Tax-Free Bond Fund | 131,430,855 | (10,484,956) | 13,577,568 |
Fidelity Tax-Free Bond Fund | 180,390,645 | (9,650,202) | 16,954,008 |
Total | 1,822,592,468 | (167,992,109) | 188,232,095 |
Unaffiliated Exchanges In-Kind. Effective after the close of business on May 31,2022, the Fund redeemed 70,038,253 shares of Western Asset Managed Municipals Fund Class A in exchange for investments with a value of $1,069,484,120. The Fund had a net realized loss of $73,318,008 on redemptions of Western Asset Managed Municipals Fund Class A shares. The Fund recognized a net loss on the exchanges for federal income tax purposes.
9. Coronavirus (COVID-19) Pandemic.
An outbreak of COVID-19 first detected in China during December 2019 has since spread globally and was declared a pandemic by the World Health Organization during March 2020. Developments that disrupt global economies and financial markets, such as the COVID-19 pandemic, may magnify factors that affect the Fund's performance.
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Fidelity Rutland Square Trust II and Shareholders of Strategic Advisers Municipal Bond Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Strategic Advisers Municipal Bond Fund (one of the funds constituting Fidelity Rutland Square Trust II, referred to hereafter as the “Fund”) as of May 31, 2022, and the related statements of operations and changes in net assets, including the related notes, and the financial highlights for the period June 17, 2021 (commencement of operations) through May 31, 2022 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of May 31, 2022, and the results of its operations, changes in its net assets, and the financial highlights for the period June 17, 2021 (commencement of operations) through May 31, 2022 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audit. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audit of these 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 audit 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 audit also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of May 31, 2022 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audit provides a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
Boston, Massachusetts
July 14, 2022
We have served as the auditor of one or more investment companies in the Fidelity group of funds since 1932.
Trustees and Officers
The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance. If the interests of the fund and an underlying Fidelity® fund were to diverge, a conflict of interest could arise and affect how the Trustees and Members of the Advisory Board fulfill their fiduciary duties to the affected funds. Strategic Advisers has structured the fund to avoid these potential conflicts, although there may be situations where a conflict of interest is unavoidable. In such instances, Strategic Advisers, the Trustees, and Members of the Advisory Board would take reasonable steps to minimize and, if possible, eliminate the conflict. Each of the Trustees oversees 13 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 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.
Each Trustee who is not an interested person (as defined in the 1940 Act) of the trust and the fund is referred to herein as an Independent Trustee.
The fund’s Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-8544.
Experience, Skills, Attributes, and Qualifications of the Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee may also engage professional search firms to help identify potential Independent Trustee candidates with experience, qualifications, attributes, and skills consistent with the Statement of Policy. Additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, may be considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.
In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.
Board Structure and Oversight Function. Kathleen Murphy is an interested person and currently serves as Chair. The Trustees have determined that an interested Chair is appropriate and benefits shareholders because an interested Chair has a personal and professional stake in the quality and continuity of services provided to the fund. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chair, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chair and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session. Mary C. Farrell serves as the lead Independent Trustee and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.
Fidelity® funds are overseen by different Boards of Trustees. The fund's Board oversees asset allocation funds. Other Boards oversee Fidelity's investment-grade bond, money market, and asset allocation funds, and Fidelity's equity and high income funds. The fund may invest in Fidelity® funds overseen by such other Boards. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity® funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues.
The Trustees primarily operate as a full Board, but also operate in committees, to facilitate the timely and efficient consideration of all matters of importance to the Trustees, the fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the fund's activities and associated risks. The Board has charged Strategic Advisers and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the fund's business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above. Because the day-to-day operations and activities of the fund are carried out by or through Strategic Advisers, its affiliates and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees. Board oversight of different aspects of the fund's activities is exercised primarily through the full Board, but also through the Audit and Compliance Committee. Appropriate personnel, including but not limited to the fund's Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the fund's Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate. The responsibilities of each standing committee, including their oversight responsibilities, are described further under "Standing Committees of the Trustees."
Interested Trustees*:
Correspondence intended for a Trustee who is an interested person may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Charles S. Morrison (1960)
Year of Election or Appointment: 2020
Trustee
Mr. Morrison also serves as Trustee of other funds. Previously, Mr. Morrison served as President (2017-2018) and Director (2014-2018) of Fidelity SelectCo, LLC (investment adviser firm), President of Fidelity Management & Research Company (FMR) (investment adviser firm, 2016-2018), a Director of Fidelity Investments Money Management, Inc. (investment adviser firm, 2014-2018), President, Asset Management (2014-2018), Trustee of the Fidelity Equity and High Income Funds (283 funds as of December 2018) (2014-2018), and was an employee of Fidelity Investments. Mr. Morrison also previously served as Vice President of Fidelity's Fixed Income and Asset Allocation Funds (2012-2014), President, Fixed Income (2011-2014), Vice President of Fidelity's Money Market Funds (2005-2009), President, Money Market Group Leader of FMR (2009), and Senior Vice President, Money Market Group of FMR (2004-2009). Mr. Morrison also served as Vice President of Fidelity's Bond Funds (2002-2005), certain Balanced Funds (2002-2005), and certain Asset Allocation Funds (2002-2007), and as Senior Vice President (2002-2005) of Fidelity's Bond Division.
Kathleen Murphy (1963)
Year of Election or Appointment: 2022
Trustee
Chair of the Board of Trustees
Ms. Murphy also serves as Trustee of other funds. Ms. Murphy serves as a Senior Adviser to the Chief Executive Officer of Fidelity Investments (2022-present), member of the Board of Directors of Snyk Technologies (cybersecurity technology, 2022-present), member of the Advisory Board of FliptRX (pharmacy benefits manager, 2022-present), member of the Board of Directors of Fidelity Investments Life Insurance Company (2009-present)), and member of the Board of Directors of Empire Fidelity Investments Life Insurance Company (2009-present). Previously, Ms. Murphy served as President of Personal Investing at Fidelity Investments (2009-2021), Chief Executive Officer of ING U.S. Wealth Management (2003-2008), and Deputy General Counsel, General Counsel and Chief Compliance Officer (1997-2003) of Aetna. Ms. Murphy also serves as Vice Chairman of the Board of Directors of the National Football Foundation (2013-present).
* Determined to be an "Interested Trustee" by virtue of, among other things, his or her affiliation with the trust or various entities under common control with Strategic Advisers.
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Independent Trustees:
Correspondence intended for an Independent Trustee may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Peter C. Aldrich (1944)
Year of Election or Appointment: 2006
Trustee
Mr. Aldrich also serves as Trustee of other funds. Mr. Aldrich is an independent Director of BLPF GP LLC (general partner of a private fund, 2006-present) and BlackRock US Core Property Fund, Inc. (real estate investment trust, 2006-present). Previously, Mr. Aldrich served as a Managing Member of Poseidon, LLC (foreign private investment, 1998-2004), and Chairman and Managing Member of AEGIS, LLC (foreign private investment, 1997-2004). Mr. Aldrich previously was a founder, Chief Executive Officer, and Chairman of AEW Capital Management, L.P. (then, Aldrich, Eastman and Waltch, L.P.). Mr. Aldrich also served as a Director of LivelyHood, Inc. (private corporation, 2013-2020), a Trustee for the Fidelity Rutland Square Trust (2005-2010), a Director of Zipcar, Inc. (car sharing services, 2001-2009) and as Faculty Chairman of The Research Council on Global Investment of The Conference Board (business and professional education non-profit, 1999-2004). Mr. Aldrich is a Member Emeritus of the Board of Directors of the National Bureau of Economic Research and the Board of Trustees of the Museum of Fine Arts Boston.
Mary C. Farrell (1949)
Year of Election or Appointment: 2013
Trustee
Ms. Farrell also serves as Trustee of other funds. Ms. Farrell is a Director of the W.R. Berkley Corporation (insurance provider) and Director (2006-present) and Chair (2021-present) of the Howard Gilman Foundation (charitable organization). Previously, Ms. Farrell was Managing Director and Chief Investment Strategist at UBS Wealth Management USA and Co-Head of UBS Wealth Management Investment Strategy & Research Group (2003-2005) and President (2009-2021) of the Howard Gilman Foundation (charitable organization). Ms. Farrell also served as Investment Strategist at PaineWebber (1982-2000) and UBS PaineWebber (2000-2002). Ms. Farrell serves as Chairman of the Board of Trustees of Yale-New Haven Hospital and Vice Chairman of the Yale New Haven Health System Board and previously served as Trustee on the Board of Overseers of the New York University Stern School of Business.
Karen Kaplan (1960)
Year of Election or Appointment: 2006
Trustee
Ms. Kaplan also serves as Trustee of other funds. Ms. Kaplan is Chair (2014-present) and Chief Executive Officer (2013-present) of Hill Holliday (advertising and specialized marketing). Ms. Kaplan is a Member of the Board of Governors of the Chief Executives’ Club of Boston (2010-present), Member of the Executive Committee and past Chair of the Greater Boston Chamber of Commerce (2006-present), Advisory Board Member of the National Association of Corporate Directors Chapter (2012-present), Member of the Board of Trustees of the Post Office Square Trust (2012-present), Trustee of the Brigham and Women’s Hospital (2016-present), Overseer of the Boston Symphony Orchestra (2014-present), Member of the Board of Directors of The Advertising Council, Inc. (2016-present), Member of the Ron Burton Training Village Executive Board of Advisors (2017-present), Member of the Executive Committee of The Ad Council, Inc. (2019-present), and Member of the Board of Directors of The Ad Club of Boston (2020-present). Previously, Ms. Kaplan served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010), Director of The Michaels Companies, Inc. (specialty retailer, 2015-2021), a member of the Clinton Global Initiative (2010-2015), Director of DSM (dba Delta Dental and DentaQuest) (2004-2014), Formal Appointee of the 2015 Baker-Polito Economic Development Council, Director of Vera Bradley Inc. (designer of women’s accessories, 2012-2015), Member of the Board of Directors of the Massachusetts Conference for Women (2008-2015), Member of the Board of Directors of Jobs for Massachusetts (2012-2015), President of the Massachusetts Women’s Forum (2008-2010), Treasurer of the Massachusetts Women’s Forum (2002-2006), and Vice Chair of the Board of the Massachusetts Society for the Prevention of Cruelty to Children (2003-2010).
Christine Marcks (1955)
Year of Election or Appointment: 2020
Trustee
Ms. Marcks also serves as Trustee of other Funds. Prior to her retirement, Ms. Marcks served as Chief Executive Officer and President – Prudential Retirement (2007-2017) and Vice President for Rollover and Retirement Income Strategies (2005-2007), Prudential Financial, Inc. (financial services). Previously, Ms. Marcks served as a Member of the Advisory Board of certain Fidelity® funds (2019-2020), was Senior Vice President and Head of Financial Horizons (2002-2004) and Vice President, Strategic Marketing (2000-2002) of Voya Financial (formerly ING U.S.) (financial services), held numerous positions at Aetna Financial Services (financial services, 1987-2000) and served as an International Economist for the United States Department of the Treasury (1980-1987). Ms. Marcks also serves as a member of the Board of Trustees, Audit Committee and Benefits & Operations Committee of the YMCA Retirement Fund (2018-present), a non-profit organization providing retirement plan benefits to YMCA staff members, and as a member of the Board of Trustees of Assumption College (2019-present).
Heidi L. Steiger (1953)
Year of Election or Appointment: 2017
Trustee
Ms. Steiger also serves as Trustee of other funds. Ms. Steiger serves as Managing Partner of Topridge Associates, LLC (consulting, 2005-present) and a member of the Board of Directors (2022-present) of Live Current Media, Inc. Previously, Ms. Steiger served as a member of the Board of Directors (2013-2021) and member of the Membership and Executive Committee (2017-2021) of Business Executives for National Security (nonprofit), a member of the Board of Directors Chair of the Remuneration Committee of Imagine Intelligent Materials Limited (2019-2021) (technology company), a member of the Advisory Board of the joint degree program in Global Luxury Management at North Carolina State University (Raleigh, NC) and Skema (Paris) (2018-2021), a Non-Executive Director of CrowdBureau Corporation (financial technology company and index provider, 2018-2021), a member of the Global Advisory Board and Of Counsel to Signum Global Advisors (international policy and strategy, 2018-2020), Eastern Region President of The Private Client Reserve of U.S. Bancorp (banking and financial services, 2010-2015), Advisory Director of Berkshire Capital Securities, LLC (financial services, 2009-2010), President and Senior Advisor of Lowenhaupt Global Advisors, LLC (financial services, 2005-2007), and President and Contributing Editor of Worth Magazine (2004-2005) and held a variety of positions at Neuberger Berman Group, LLC (financial services, 1986-2004), including Partner and Executive Vice President and Global Head of Private Asset Management at Neuberger Berman (1999-2004). Ms. Steiger also served as a member of the Board of Directors of Nuclear Electric Insurance Ltd (insurer of nuclear utilities, 2006-2017), a member of the Board of Trustees and Audit Committee of the Eaton Vance Funds (2007-2010), a member of the Board of Directors of Aviva USA (formerly AmerUs) (insurance, 2004-2014), and a member of the Board of Trustees and Audit Committee and Chair of the Investment Committee of CIFG (financial guaranty insurance, 2009-2012), and a member of the Board of Directors of Kin Group Plc (formerly, Fitbug Holdings) (health and technology, 2016-2017).
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Advisory Board Members and Officers:
Correspondence intended for a Member of the Advisory Board (if any) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235. Correspondence intended for an officer or Howard E. Cox, Jr. may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210. Officers appear below in alphabetical order.
Name, Year of Birth; Principal Occupation
Howard E. Cox, Jr. (1944)
Year of Election or Appointment: 2009
Member of the Advisory Board
Mr. Cox also serves as a Member of the Advisory Board of other funds. Mr. Cox is a Partner of Greylock (venture capital, 1971-present) and a Director of Stryker Corporation (medical products and services, 1974-present). Previously, Mr. Cox served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010). Mr. Cox also serves as a Member of the Secretary of Defense's Business Board of Directors (2008-present), a Director of Business Executives for National Security (1997-present), a Director of the Brookings Institution (2010-present), a Director of the World Economic Forum’s Young Global Leaders Foundation (2009-present), and is a Member of the Harvard Medical School Board of Fellows (2002-present).
Craig S. Brown (1977)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Brown also serves as an officer of other funds. Mr. Brown serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2013-present).
John J. Burke III (1964)
Year of Election or Appointment: 2018
Chief Financial Officer
Mr. Burke also serves as Chief Financial Officer of other funds. Mr. Burke serves as Head of Investment Operations for Fidelity Fund and Investment Operations (2018-present) and is an employee of Fidelity Investments (1998-present). Previously Mr. Burke served as head of Asset Management Investment Operations (2012-2018).
Jonathan Davis (1968)
Year of Election or Appointment: 2010
Assistant Treasurer
Mr. Davis also serves as an officer of other funds. Mr. Davis serves as Assistant Treasurer of FIMM, LLC (2021-present), FMR Capital, Inc. (2017-present), FD Funds GP LLC (2021-present), FD Funds Holding LLC (2021-present), and FD Funds Management LLC (2021-present); and is an employee of Fidelity Investments. Previously, Mr. Davis served as Vice President and Associate General Counsel of FMR LLC (diversified financial services company, 2003-2010).
Laura M. Del Prato (1964)
Year of Election or Appointment: 2018
Assistant Treasurer
Ms. Del Prato also serves as an officer of other funds. Ms. Del Prato serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2017-present). Previously, Ms. Del Prato served as President and Treasurer of The North Carolina Capital Management Trust: Cash Portfolio and Term Portfolio (2018-2020). Prior to joining Fidelity Investments, Ms. Del Prato served as a Managing Director and Treasurer of the JPMorgan Mutual Funds (2014-2017). Prior to JPMorgan, Ms. Del Prato served as a partner at Cohen Fund Audit Services (accounting firm, 2012-2013) and KPMG LLP (accounting firm, 2004-2012).
James D. Gryglewicz (1972)
Year of Election or Appointment: 2015
Chief Compliance Officer
Mr. Gryglewicz also serves as Chief Compliance Officer of other funds. Mr. Gryglewicz serves as Compliance Officer of Strategic Advisers LLC (investment adviser firm, 2015-present), Senior Vice President of Asset Management Compliance (2009-present), and is an employee of Fidelity Investments (2004-present). Previously, Mr. Gryglewicz served as Compliance Officer of Fidelity SelectCo, LLC (investment adviser firm, 2014-2019), and as Chief Compliance Officer of certain Fidelity® funds (2014-2018).
Colm A. Hogan (1973)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Hogan also serves as an officer of other funds. Mr. Hogan serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2005-present). Previously, Mr. Hogan served as Deputy Treasurer of certain Fidelity® funds (2016-2020) and Assistant Treasurer of certain Fidelity® funds (2016-2018).
Christina H. Lee (1975)
Year of Election or Appointment: 2020
Secretary and Chief Legal Officer
Ms. Lee also serves as Secretary and CLO of other funds. Ms. Lee serves as Vice President, Associate General Counsel (2014-present) and is an employee of Fidelity Investments (2007-present). Previously, Ms. Lee served as Assistant Secretary of certain funds (2018-2019).
Cynthia Lo Bessette (1969)
Year of Election or Appointment: 2020
Assistant Secretary
Ms. Lo Bessette also serves as an officer of other funds. Ms. Lo Bessette serves as CLO, Secretary, and Senior Vice President of Fidelity Management & Research Company LLC (investment adviser firm, 2019-present); CLO of Fidelity Management & Research (Hong Kong) Limited, FMR Investment Management (UK) Limited, and Fidelity Management & Research (Japan) Limited (investment adviser firms, 2019-present); Secretary of FD Funds GP LLC (2021-present), FD Funds Holding LLC (2021-present), and FD Funds Management LLC (2021-present); and Assistant Secretary of FIMM, LLC (2019-present). She is a Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company, 2019-present), and is an employee of Fidelity Investments. Previously, Ms. Lo Bessette served as CLO, Secretary, and Senior Vice President of FMR Co., Inc. (investment adviser firm, 2019); Secretary of Fidelity SelectCo, LLC and Fidelity Investments Money Management, Inc. (investment adviser firms, 2019). Prior to joining Fidelity Investments, Ms. Lo Bessette was Executive Vice President, General Counsel (2016-2019) and Senior Vice President, Deputy General Counsel (2015-2016) of OppenheimerFunds (investment management company) and Deputy Chief Legal Officer (2013-2015) of Jennison Associates LLC (investment adviser firm).
Chris Maher (1972)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Maher also serves as an officer of other funds. Mr. Maher serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present), and is an employee of Fidelity Investments (2008-present). Previously, Mr. Maher served as Assistant Treasurer of certain funds (2013-2020); Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010).
Brett Segaloff (1972)
Year of Election or Appointment: 2021
Anti-Money Laundering (AML) Officer
Mr. Segaloff also serves as an AML Officer of other funds and other related entities. He is Director, Anti-Money Laundering (2007-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments (1996-present).
Stacie M. Smith (1974)
Year of Election or Appointment: 2020
President and Treasurer
Ms. Smith also serves as an officer of other funds. Ms. Smith serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present), is an employee of Fidelity Investments (2009-present), and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (accounting firm, 1996-2009). Previously, Ms. Smith served as Assistant Treasurer (2013-2019) and Deputy Treasurer (2013-2016) of certain Fidelity® funds.
Jim Wegmann (1979)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Wegmann also serves as an officer of other funds. Mr. Wegmann serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2011-present). Previously, Mr. Wegmann served as Assistant Treasurer of certain Fidelity® funds (2019-2021).
Shareholder Expense Example
As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (December 1, 2021 to May 31, 2022).
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Annualized Expense Ratio-A | Beginning Account Value December 1, 2021 | Ending Account Value May 31, 2022 | Expenses Paid During Period-B December 1, 2021 to May 31, 2022 | |
Strategic Advisers Municipal Bond Fund | .05% | |||
Actual | $1,000.00 | $918.70 | $.24 | |
Hypothetical-C | $1,000.00 | $1,024.68 | $.25 |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/ 365 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.
C 5% return per year before expenses
Distributions (Unaudited)
The dividend and capital gains distributions for the fund(s) are available on Fidelity.com or Institutional.Fidelity.com.
A total of 22.58% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.
During fiscal year ended 2022, 95.35% of the fund's income dividends was free from federal income tax, and 11.59% of the fund's income dividends was subject to the federal alternative minimum tax.
The fund will notify shareholders in January 2023 of amounts for use in preparing 2022 income tax returns.
Board Approval of Amended Sub-Advisory Agreement
Strategic Advisers Municipal Bond Fund
In December 2021, the Board of Trustees, including the Independent Trustees (together, the Board) voted to approve an amendment to lower the fee schedule in the existing sub-advisory agreement among Strategic Advisers LLC (Strategic Advisers), T. Rowe Price Associates, Inc. (TRPA), and Fidelity Rutland Square Trust II (Trust) on behalf of the fund (Amended Sub-Advisory Agreement). The Board noted that the updated fee schedule in the Amended Sub-Advisory Agreement became effective October 1, 2021 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 Amended Sub-Advisory Agreement, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the approval of the Amended Sub-Advisory Agreement is in the best interests of the fund and its shareholders and that the approval of such agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the fees to be charged under the Amended Sub-Advisory Agreement bear a reasonable relationship to the services to be rendered and will be based on services provided that will be in addition to, rather than duplicative of services provided under the advisory contract of any underlying fund in which the fund may invest. The Board's decision to approve the Amended Sub-Advisory Agreement was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board. In addition, individual Trustees did not necessarily attribute the same weight or importance to each factor.Nature, Extent, and Quality of Services Provided. The Board considered the backgrounds of the investment personnel that will provide services to the fund, and also considered the fund's investment objective, strategies and related investment philosophy and current sub-adviser line-up, as well as the structures of the investment personnel compensation programs and whether such structures provide appropriate incentives to act in the best interests of the fund, at its June 2021 meeting. The Board considered the detailed information provided by Strategic Advisers and by TRPA with respect to the other funds it sub-advises in the June 2021 annual contract renewal materials.The Board noted that it had approved the existing sub-advisory agreement with TRPA at its June 2021 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.Investment Performance. The Board did not consider performance to be a material factor in its decision to approve the Amended Sub-Advisory Agreement because the approval of the Amended Sub-Advisory Agreement will not result in any changes (i) to the fund's investment processes or strategies; or (ii) in the persons primarily responsible for the day-to-day management of the fund.Based on its review, the Board concluded that the nature, extent, and quality of services that will be provided to the fund under the Amended Sub-Advisory Agreement will continue to benefit the fund's shareholders.Competitiveness of Management Fee and Total Fund Expenses. The Board noted that the Amended Sub-Advisory Agreement will not result in changes to the maximum aggregate annual management fee payable by the fund or Strategic Advisers' portion of the management fee. The Board considered Strategic Advisers' contractual agreement to waive its portion of the fund's management fee. The Board considered that the Amended Sub-Advisory Agreement will not change the total management fee rate of the fund because the lower fee schedule became effective prior to funding the mandate. Based on its review, the Board concluded that the fund's management fee structure and any changes to projected total expenses bear a reasonable relationship to the services that the fund and its shareholders will receive and the other factors considered.Because the Amended Sub-Advisory Agreement was negotiated at arm's length and will have no impact on the maximum management fees payable by the fund, the Board did not consider the costs of services and profitability of the relationship with the fund to Strategic Advisers to be significant factors in its decision to approve the Amended Sub-Advisory Agreement.Potential Fall-Out Benefits. The Board considered that the fund recently launched, and so the Board will review information regarding the potential of direct and indirect benefits accruing 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, in connection with future renewals of the of the fund's management contract, sub-advisory agreements, and sub-subadvisory agreements. The Board considered Strategic Advisers' representation that it does not anticipate that the approval of the Amended Sub-Advisory Agreement will have a significant impact on the profitability of, or potential fall-out benefits to, Strategic Advisers or its affiliates.Possible Economies of Scale. The Board noted that the fund recently launched, and so the Board will review whether there have been economies of scale in connection with the management of the fund during future renewals of the fund's management contract, sub-advisory agreements, and sub-subadvisory agreements. The Board noted that 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 will not bear any additional management fees or expenses under the Amended Sub-Advisory Agreement.Conclusion. Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the Amended Sub-Advisory Agreement's fee structure bears a reasonable relationship to the services to be rendered and that the Amended Sub-Advisory Agreement is in the best interests of the fund and its shareholders and should be approved. The Board also concluded that the sub-advisory fees to be charged under the Amended Sub-Advisory Agreement will be based on services provided that will be in addition to, rather than duplicative of, services provided under the advisory contract of any underlying fund in which the fund may invest. In addition, the Board concluded that the approval of the Amended Sub-Advisory Agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.Board Approval of New and Amended Sub-Advisory Agreements
Strategic Advisers Municipal Bond Fund
In March 2022, the Board of Trustees, including the Independent Trustees (together, the Board) voted to approve (i) a new sub-advisory agreement among Strategic Advisers, Western Asset Management Company, LLC (Western Asset), and Fidelity Rutland Square Trust II (Trust) on behalf of the fund (New Sub-Advisory Agreement) and (ii) an amendment to the fee schedule in the existing sub-advisory agreement among Strategic Advisers, FIAM LLC (FIAM), and the Trust on behalf of the fund (Amended Sub-Advisory Agreement). The Board noted that the updated fee schedule in the Amended Sub-Advisory Agreement 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 New and Amended Sub-Advisory Agreements, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the approval of the New and Amended Sub-Advisory Agreements is in the best interests of the fund and its shareholders and that the approval of such agreements does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. The Board's decision to approve the New and Amended Sub-Advisory 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 Western Asset and 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 FIAM and the Amended Sub-Advisory Agreement, the Board noted its consideration of these matters at its June 2021 meeting. The Board also considered the detailed information provided by Strategic Advisers and FIAM with respect to the other funds its sub-advises in the June 2021 annual contract renewal materials.Resources Dedicated to Investment Management and Support Services. With respect to Western Asset and the New Sub-Advisory Agreement, the Board reviewed the general qualifications and capabilities of Western Asset's investment staff that will provide services to the fund, its use of technology, and Western Asset's approach to managing and compensating its investment personnel. The Board noted that Western Asset'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 Western Asset's trading capabilities and resources and compliance infrastructure, which are integral parts of the investment management process. The Board also considered Western Asset's investments in business continuity planning, including in connection with the COVID-19 pandemic.With respect to the Amended Sub-Advisory Agreement, the Board noted that it had approved the existing sub-advisory agreement with FIAM at its June 2021 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 Western Asset 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 Western Asset and its portfolio managers in managing accounts under similar investment mandates. 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 Agreements will not result in any changes (i) to the fund's investment processes or strategies; or (ii) in the persons primarily responsible for the day-to-day management of the fund.Based on its review, the Board concluded that the nature, extent, and quality of services that will be provided to the fund under the New Sub-Advisory Agreement should benefit the fund's shareholders and, with respect to the Amended Sub-Advisory Agreement, will continue to benefit the fund's shareholders.Competitiveness of Management Fee and Total Fund Expenses. With respect to the New Sub-Advisory Agreement, the Board considered the amount and nature of fees to be paid by the fund to Strategic Advisers and by Strategic Advisers to Western Asset. The Board also considered the projected change in the fund's management fee and total operating expenses, if any, as a result of hiring Western Asset.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. The Board further considered that because the fund launched in June 2021 and only certain of its existing sub-advised mandates have been funded, the fund's projected management fee and total expenses are based on current allocations to funded mandates, and expected initial allocations to unfunded mandates and to Western Asset's mandate.With respect to the Amended Sub-Advisory Agreement, the Board noted that because the amended fee schedule is for an existing unfunded mandate, the amended fee schedule will not change the fund's actual total management fee rate. The Board noted, however, that based on the expected initial allocation to the mandate, funding the mandate under the amended fee schedule rather than the existing fee schedule is expected to result in a smaller increase in the fund's projected management fee and a larger decrease in the fund's projected total net expenses, and each are expected to continue to rank below the competitive peer group median reported in the June 2021 initial contract approval materials for the fund.With respect to the New Sub-Advisory Agreement, the Board considered that after allocating assets to Western Asset, the fund's projected management fee is expected to increase and the fund's projected total net expenses are expected to decrease, and each are expected to continue to rank below the competitive peer group median reported in the June 2021 initial contract approval materials for the fund.Based on its review, the Board concluded that the fund's management fee structure and projected total expenses bear a reasonable relationship to the services that the fund and its shareholders will receive and the other factors considered.Costs of the Services and Profitability. Because the New and Amended Sub-Advisory Agreements were each negotiated at arm's length and will have no impact on the maximum management fees payable by the fund or Strategic Advisers' portion of the management fee, the Board did not consider the costs of services and profitability to be significant factors in its decision to approve the New or Amended Sub-Advisory Agreement.Potential Fall-Out Benefits. The Board noted that the fund launched in June 2021, and so the Board will review information regarding the potential of direct and indirect benefits accruing 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, in connection with future renewals of the of the fund's management contract, sub-advisory agreements, and sub-subadvisory agreements. The Board considered Strategic Advisers' representation that it does not anticipate that the approval of the New and/or Amended Sub-Advisory 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 noted that the fund launched in June 2021, and so the Board will review whether there have been economies of scale in connection with the management of the fund during future renewals of the fund's management contract, sub-advisory agreements, and sub-subadvisory agreements. The Board noted that the New Sub-Advisory Agreement provides, and 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 New or Amended Sub-Advisory Agreement's fee structure bears a reasonable relationship to the services to be rendered and that each New or Amended Sub-Advisory Agreement is in the best interests of the fund and its shareholders and should be approved. In addition, the Board concluded that the approval of each New or Amended Sub-Advisory Agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.Liquidity Risk Management Program
The Securities and Exchange Commission adopted Rule 22e-4 under the Investment Company Act of 1940 (the Liquidity Rule) to promote effective liquidity risk management throughout the open-end investment company industry, thereby reducing the risk that funds will be unable to meet their redemption obligations and mitigating dilution of the interests of fund shareholders.
The Fund has adopted and implemented a liquidity risk management program (the Program) reasonably designed to assess and manage the Fund's liquidity risk and to comply with the requirements of the Liquidity Rule. The Fund's Board of Trustees (the Board) has designated the Fund's investment adviser as administrator of the Program. Strategic Advisers has established a Liquidity Risk Management Committee (the LRM Committee) to manage the Program for each of the Funds. The LRM Committee monitors the adequacy and effectiveness of implementation of the Program and on a periodic basis assesses each Fund's liquidity risk based on a variety of factors including (1) the Fund's investment strategy, (2) portfolio liquidity and cash flow projections during normal and reasonably foreseeable stressed conditions, (3) shareholder redemptions and (4) borrowings and other funding sources, as applicable.
In accordance with the Program, each of the Fund’s portfolio investments is classified into one of four liquidity categories described below based on a determination of a reasonable expectation for how long it would take to convert the investment to cash (or sell or dispose of the investment) without significantly changing its market value.
- Highly liquid investments – cash or convertible to cash within three business days or less
- Moderately liquid investments – convertible to cash in three to seven calendar days
- Less liquid investments – can be sold or disposed of, but not settled, within seven calendar days
- Illiquid investments – cannot be sold or disposed of within seven calendar days
Liquidity classification determinations take into account a variety of factors including various market, trading and investment-specific considerations, as well as market depth, and generally utilize analysis from a third-party liquidity metrics service.
The Liquidity Rule places a 15% limit on a fund’s illiquid investments and requires funds that do not primarily hold assets that are highly liquid investments to determine and maintain a minimum percentage of the fund’s net assets to be invested in highly liquid investments (highly liquid investment minimum or HLIM). The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments and for determining, periodically reviewing and complying with the HLIM requirement as applicable.
At a recent meeting of the Fund’s Board of Trustees, the LRM Committee provided a written report to the Board pertaining to the operation, adequacy, and effectiveness of implementation of the Program for the annual period from December 1, 2020 through November 30, 2021. The report concluded that the Program has been implemented and is operating effectively and is reasonably designed to assess and manage the Fund’s liquidity risk.
SAM-ANN-0722
1.9903614.100
Item 2.
Code of Ethics
As of the end of the period, May 31, 2022, 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 Fidelity Core Income Fund, Strategic Advisers Fidelity Emerging Markets Fund, Strategic Advisers Fidelity U.S. Total Stock Fund, Strategic Advisers Large Cap Fund, Strategic Advisers Municipal Bond Fund, Strategic Advisers Short Duration Fund and Strategic Advisers Tax-Sensitive Short Duration Fund (the “Funds”):
Services Billed by PwC
May 31, 2022 FeesA,B
Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees | |
Strategic Advisers Fidelity Core Income Fund | $42,400 | $3,700 | $9,200 | $9,200 |
Strategic Advisers Fidelity Emerging Markets Fund | $25,400 | $2,300 | $6,300 | $5,700 |
Strategic Advisers Fidelity U.S. Total Stock Fund | $37,100 | $3,200 | $8,500 | $8,100 |
Strategic Advisers Large Cap Fund | $42,300 | $3,200 | $15,600 | $8,000 |
Strategic Advisers Municipal Bond Fund | $44,400 | $3,300 | $5,200 | $8,200 |
Strategic Advisers Short Duration Fund | $42,000 | $3,200 | $8,500 | $8,000 |
Strategic Advisers Tax-Sensitive Short Duration Fund | $37,500 | $3,100 | $6,400 | $7,800 |
May 31, 2021 FeesA,B
Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees | |
Strategic Advisers Fidelity Core Income Fund | $43,900 | $4,100 | $11,400 | $10,000 |
Strategic Advisers Fidelity Emerging Markets Fund | $24,900 | $2,500 | $6,100 | $6,200 |
Strategic Advisers Fidelity U.S. Total Stock Fund | $36,200 | $3,600 | $9,700 | $8,800 |
Strategic Advisers Large Cap Fund | $33,400 | $1,800 | $15,100 | $4,300 |
Strategic Advisers Municipal Bond Fund | $- | $- | $- | $- |
Strategic Advisers Short Duration Fund | $36,200 | $3,500 | $7,300 | $8,700 |
Strategic Advisers Tax-Sensitive Short Duration Fund | $36,600 | $3,500 | $6,200 | $8,500 |
A Amounts may reflect rounding.
B Strategic Advisers Municipal Bond Fund commenced operations on June 17, 2021.
The following table(s) present(s) fees billed by PwC that were required to be approved by the Audit Committee for services that relate directly to the operations and financial reporting of the Fund(s) and that are rendered on behalf of Strategic Advisers, LLC (“Strategic Advisers”) and entities controlling, controlled by, or under common control with Strategic Advisers (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to the Fund(s) (“Fund Service Providers”):
Services Billed by PwC
May 31, 2022A,B | May 31, 2021A,B | |
Audit-Related Fees | $7,914,600 | $9,015,700 |
Tax Fees | $353,200 | $14,300 |
All Other Fees | $- | $- |
A Amounts may reflect rounding
B May include amounts billed prior to the Strategic Advisers Municipal Bond Fund’s commencement of operations.
“Audit-Related Fees” represent fees billed for assurance and related services that are reasonably related to the performance of the fund audit or the review of the fund's financial statements and that are not reported under Audit Fees.
“Tax Fees” represent fees billed for tax compliance, tax advice or tax planning that relate directly to the operations and financial reporting of the fund.
“All Other Fees” represent fees billed for services provided to the fund or Fund Service Provider, a significant portion of which are assurance related, that relate directly to the operations and financial reporting of the fund, excluding those services that are reported under Audit Fees, Audit-Related Fees or Tax Fees.
Assurance services must be performed by an independent public accountant.
* * *
The aggregate non-audit fees billed by PwC for services rendered to the Fund(s), Strategic Advisers (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any Fund Service Provider for each of the last two fiscal years of the Fund(s) are as follows:
Billed By | May 31, 2022A,B | May 31, 2021A,B |
PwC | $13,421,900 | $14,404,000 |
A Amounts may reflect rounding
B May include amounts billed prior to the Strategic Advisers Municipal Bond Fund’s commencement of operations.
The trust's Audit Committee has considered non-audit services that were not pre-approved that were provided by PwC to Fund Service Providers to be compatible with maintaining the independence of PwC in its(their) audit of the Fund(s), taking into account representations from PwC, in accordance with Public Company Accounting Oversight Board rules, regarding its independence from the Fund(s) and its(their) related entities and Strategic Advisers’s review of the appropriateness and permissibility under applicable law of such non-audit services prior to their provision to the Fund(s) Service Providers.
Audit Committee Pre-Approval Policies and Procedures
The trust’s Audit Committee must pre-approve all audit and non-audit services provided by a fund’s independent registered public accounting firm relating to the operations or financial reporting of the fund. Prior to the commencement of any audit or non-audit services to a fund, the Audit Committee reviews the services to determine whether they are appropriate and permissible under applicable law.
The Audit Committee has adopted policies and procedures to, among other purposes, provide a framework for the Committee’s consideration of non-audit services by the audit firms that audit the Fidelity funds. The policies and procedures require that any non-audit service provided by a fund audit firm to a Fidelity fund and any non-audit service provided by a fund auditor to a Fund Service Provider that relates directly to the operations and financial reporting of a Fidelity fund (“Covered Service”) are subject to approval by the Audit Committee before such service is provided.
All Covered Services must be approved in advance of provision of the service either: (i) by formal resolution of the Audit Committee, or (ii) by oral or written approval of the service by the Chair of the Audit Committee (or if the Chair is unavailable, such other member of the Audit Committee as may be designated by the Chair to act in the Chair’s absence). The approval contemplated by (ii) above is permitted where the Treasurer determines that action on such an engagement is necessary before the next meeting of the Audit Committee.
Non-audit services provided by a fund audit firm to a Fund Service Provider that do not relate directly to the operations and financial reporting of a Fidelity fund are reported to the Audit Committee periodically.
Non-Audit Services Approved Pursuant to Rule 2-01(c)(7)(i)(C) and (ii) of Regulation S-X (“De Minimis Exception”)
There were no non-audit services approved or required to be approved by the Audit Committee pursuant to the De Minimis Exception during the Fund’s(s’) last two fiscal years relating to services provided to (i) the Fund(s) or (ii) any Fund Service Provider that relate directly to the operations and financial reporting of the Fund(s).
Item 5.
Audit Committee of Listed Registrants
Not applicable.
Item 6.
Investments
(a)
Not applicable.
(b)
Not applicable.
Item 7.
Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8.
Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9.
Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable.
Item 10.
Submission of Matters to a Vote of Security Holders
There were no material changes to the procedures by which shareholders may recommend nominees to the trust’s Board of Trustees.
Item 11.
Controls and Procedures
(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the trust’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.
(a)(ii) There was no change in the trust’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the trust’s internal control over financial reporting.
Item 12.
Disclosure of Securities Lending Activities for Closed-End Management
Investment Companies
Not applicable.
Item 13.
Exhibits
(a) | (1) | Code of Ethics pursuant to Item 2 of Form N-CSR is filed and attached hereto as EX-99.CODE ETH. |
(a) | (2) | |
(a) | (3) | Not applicable. |
(b) |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Fidelity Rutland Square Trust II
By: | /s/Stacie M. Smith |
Stacie M. Smith | |
President and Treasurer | |
Date: | July 21, 2022 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/Stacie M. Smith |
Stacie M. Smith | |
President and Treasurer | |
Date: | July 21, 2022 |
By: | /s/John J. Burke III |
John J. Burke III | |
Chief Financial Officer | |
Date: | July 21, 2022 |