N-CSRS 1 filing1018.htm PRIMARY DOCUMENT

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, MA 02210

 (Address of principal executive offices)       (Zip code)


Christina H. Lee, Secretary

245 Summer St.

Boston, Massachusetts  02210

(Name and address of agent for service)



Registrant's telephone number, including area code:

617-563-7000



Date of fiscal year end:

May 31



Date of reporting period:

November 30, 2020


Item 1.

Reports to Stockholders




Strategic Advisers® Short Duration Fund

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



Semi-Annual Report

November 30, 2020

Fidelity Investments



Fidelity Investments

Contents

Note to Shareholders

Investment Summary

Schedule of Investments

Financial Statements

Notes to Financial Statements

Shareholder Expense Example

Board Approval of Investment Advisory Contracts and Management Fees

Proxy Voting Results


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. © 2021 FMR LLC. All rights reserved.



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

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

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

NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE

Neither the Fund nor Fidelity Distributors Corporation is a bank.



Note to Shareholders:

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

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

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

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

Investment Summary (Unaudited)

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

Top Ten Holdings as of November 30, 2020

(excluding cash equivalents) % of fund's net assets 
PIMCO Short-Term Fund Institutional Class  12.8 
Baird Ultra Short Bond Fund Institutional Class  6.1 
PIMCO Enhanced Short Maturity Active ETF  5.4 
BlackRock Low Duration Bond Portfolio Investor A Shares  4.5 
Fidelity SAI Short-Term Bond Fund  4.2 
iShares Short Maturity Bond ETF  3.8 
JPMorgan Ultra-Short Income ETF  3.2 
Metropolitan West Low Duration Bond Fund - Class M  2.9 
Baird Short-Term Bond Fund - Institutional Class  2.7 
iShares Short Treasury Bond ETF  2.2 
 47.8 

Asset Allocation (% of fund's net assets)

As of November 30, 2020 
   Corporate Bonds 24.4% 
   U.S. Government and U.S. Government Agency Obligations 3.1% 
   Asset-Backed Securities 7.9% 
   CMOs and Other Mortgage Related Securities 2.4% 
   Municipal Securities 0.1% 
   Other Investments 0.4% 
   Short-Term Funds 52.0% 
   Short-Term Investments and Net Other Assets (Liabilities) 9.7% 


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

Schedule of Investments November 30, 2020 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 24.4%   
 Principal Amount Value 
COMMUNICATION SERVICES - 0.9%   
Diversified Telecommunication Services - 0.3%   
SBA Tower Trust 3.448% 3/15/48 (a) $880,000 $935,612 
Verizon Communications, Inc.:   
3 month U.S. LIBOR + 1.000% 1.2373% 3/16/22 (b)(c) 15,233,000 15,414,090 
0.85% 11/20/25 710,000 712,899 
  17,062,601 
Interactive Media & Services - 0.0%   
Baidu.com, Inc. 3.5% 11/28/22 780,000 816,563 
Media - 0.4%   
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.:   
4.464% 7/23/22 3,590,000 3,794,486 
4.908% 7/23/25 2,145,000 2,482,902 
Comcast Corp. 3.1% 4/1/25 355,000 390,394 
COX Communications, Inc.:   
2.95% 6/30/23 (a) 590,000 621,548 
3.15% 8/15/24 (a) 1,600,000 1,730,151 
Fox Corp.:   
3.05% 4/7/25 185,000 202,705 
3.666% 1/25/22 260,000 269,725 
4.03% 1/25/24 305,000 336,244 
RELX Capital, Inc. 3.5% 3/16/23 575,000 612,891 
Time Warner Cable, Inc. 4.125% 2/15/21 6,234,000 6,244,647 
TWDC Enterprises 18 Corp. 3 month U.S. LIBOR + 0.390% 0.6413% 3/4/22 (b)(c) 5,000,000 5,015,350 
WPP Finance 2010 3.625% 9/7/22 310,000 324,479 
  22,025,522 
Wireless Telecommunication Services - 0.2%   
CC Holdings GS V LLC/Crown Castle GS III Corp. 3.849% 4/15/23 1,900,000 2,039,487 
Rogers Communications, Inc. 3 month U.S. LIBOR + 0.600% 0.8254% 3/22/22 (b)(c) 5,520,000 5,555,863 
T-Mobile U.S.A., Inc. 3.5% 4/15/25 (a) 1,005,000 1,111,409 
Vodafone Group PLC 3.75% 1/16/24 770,000 842,067 
  9,548,826 
TOTAL COMMUNICATION SERVICES  49,453,512 
CONSUMER DISCRETIONARY - 2.0%   
Automobiles - 1.3%   
American Honda Finance Corp.:   
3 month U.S. LIBOR + 0.290% 0.5395% 12/10/21 (b)(c) 5,000,000 5,008,406 
0.4% 10/21/22 2,775,000 2,778,182 
BMW U.S. Capital LLC:   
3 month U.S. LIBOR + 0.410% 0.6305% 4/12/21 (a)(b)(c) 11,110,000 11,120,953 
3 month U.S. LIBOR + 0.500% 0.7136% 8/13/21 (a)(b)(c) 830,000 831,862 
2% 4/11/21 (a) 1,500,000 1,507,188 
Daimler Finance North America LLC:   
3 month U.S. LIBOR + 0.900% 1.121% 2/15/22 (a)(b)(c) 5,000,000 5,033,028 
1.75% 3/10/23 (a) 1,800,000 1,843,744 
2.3% 2/12/21 (a) 1,745,000 1,751,266 
General Motors Co.:   
4.875% 10/2/23 730,000 806,905 
5.4% 10/2/23 1,130,000 1,266,133 
General Motors Financial Co., Inc.:   
3 month U.S. LIBOR + 0.850% 1.0795% 4/9/21 (b)(c) 5,628,000 5,634,831 
U.S. SECURED OVERNIGHT FINL RATE (SOFR) INDX + 1.200% 1.2656% 11/17/23 (b)(c) 5,000,000 5,004,400 
2.9% 2/26/25 1,880,000 1,991,653 
3.2% 7/6/21 510,000 516,334 
4.2% 3/1/21 6,059,000 6,092,056 
4.2% 11/6/21 370,000 381,728 
Harley-Davidson Financial Services, Inc.:   
3 month U.S. LIBOR + 0.940% 1.1809% 3/2/21 (a)(b)(c) 995,000 995,779 
2.55% 6/9/22 (a) 375,000 382,753 
4.05% 2/4/22 (a) 1,210,000 1,252,486 
Nissan Motor Acceptance Corp. 3.65% 9/21/21 (a) 580,000 590,936 
Nissan Motor Co. Ltd. 3.043% 9/15/23 (a) 985,000 1,023,447 
Volkswagen Group of America Finance LLC:   
0.75% 11/23/22 (a) 10,620,000 10,634,745 
0.875% 11/22/23 (a) 590,000 591,259 
2.5% 9/24/21 (a) 1,805,000 1,834,122 
2.7% 9/26/22 (a) 650,000 674,278 
2.9% 5/13/22 (a) 2,663,000 2,749,873 
3.125% 5/12/23 (a) 355,000 375,034 
  72,673,381 
Hotels, Restaurants & Leisure - 0.0%   
Marriott International, Inc. 3.6% 4/15/24 150,000 158,616 
Starbucks Corp.:   
1.3% 5/7/22 1,195,000 1,210,459 
2.7% 6/15/22 435,000 448,823 
  1,817,898 
Household Durables - 0.0%   
D.R. Horton, Inc. 2.55% 12/1/20 495,000 495,000 
Panasonic Corp. 2.536% 7/19/22 (a) 785,000 807,742 
  1,302,742 
Internet & Direct Marketing Retail - 0.1%   
Expedia, Inc. 3.6% 12/15/23 (a) 1,270,000 1,327,787 
JD.com, Inc. 3.125% 4/29/21 2,645,000 2,662,358 
QVC, Inc. 4.375% 3/15/23 660,000 691,350 
The Booking Holdings, Inc. 4.1% 4/13/25 830,000 935,875 
  5,617,370 
Leisure Products - 0.1%   
Hasbro, Inc.:   
2.6% 11/19/22 885,000 916,164 
3% 11/19/24 1,190,000 1,281,567 
  2,197,731 
Specialty Retail - 0.4%   
AutoZone, Inc. 3.625% 4/15/25 485,000 540,220 
O'Reilly Automotive, Inc. 3.8% 9/1/22 385,000 404,237 
Ross Stores, Inc.:   
0.875% 4/15/26 450,000 445,708 
4.6% 4/15/25 2,310,000 2,671,367 
The Home Depot, Inc. 3 month U.S. LIBOR + 0.310% 0.556% 3/1/22 (b)(c) 14,500,000 14,542,749 
TJX Companies, Inc. 3.5% 4/15/25 770,000 855,888 
  19,460,169 
Textiles, Apparel & Luxury Goods - 0.1%   
Ralph Lauren Corp. 1.7% 6/15/22 225,000 229,524 
VF Corp. 2.05% 4/23/22 6,772,000 6,922,763 
  7,152,287 
TOTAL CONSUMER DISCRETIONARY  110,221,578 
CONSUMER STAPLES - 0.8%   
Beverages - 0.1%   
Diageo Capital PLC 1.375% 9/29/25 680,000 698,707 
Molson Coors Beverage Co. 3.5% 5/1/22 3,209,000 3,340,028 
  4,038,735 
Food & Staples Retailing - 0.0%   
Prosperous Ray Ltd. 4.625% 11/12/23 (Reg. S) 1,200,000 1,312,090 
Walgreen Co. 3.1% 9/15/22 435,000 455,131 
  1,767,221 
Food Products - 0.4%   
Archer Daniels Midland Co. 2.75% 3/27/25 285,000 308,421 
Bunge Ltd. Finance Corp.:   
3% 9/25/22 2,775,000 2,879,046 
4.35% 3/15/24 130,000 143,397 
Cargill, Inc. 1.375% 7/23/23 (a) 630,000 646,083 
China Mengniu Dairy Co. Ltd. 1.875% 6/17/25 (Reg. S) 2,004,000 2,015,517 
General Mills, Inc. 3 month U.S. LIBOR + 0.540% 0.7701% 4/16/21 (b)(c) 6,229,000 6,239,782 
Mondelez International, Inc.:   
0.625% 7/1/22 6,350,000 6,380,607 
2.125% 4/13/23 2,351,000 2,439,066 
  21,051,919 
Tobacco - 0.3%   
Altria Group, Inc.:   
3.49% 2/14/22 1,657,000 1,721,293 
3.8% 2/14/24 1,300,000 1,419,719 
BAT International Finance PLC 1.668% 3/25/26 885,000 900,799 
Imperial Tobacco Finance PLC:   
3.5% 2/11/23 (a) 1,125,000 1,179,194 
3.75% 7/21/22 (a) 1,800,000 1,872,996 
Philip Morris International, Inc. 1.125% 5/1/23 9,481,000 9,664,566 
  16,758,567 
TOTAL CONSUMER STAPLES  43,616,442 
ENERGY - 1.3%   
Energy Equipment & Services - 0.0%   
Schlumberger Finance Canada Ltd. 1.4% 9/17/25 290,000 295,985 
Schlumberger Holdings Corp.:   
3.75% 5/1/24 (a) 1,515,000 1,643,572 
4% 12/21/25 (a) 375,000 420,807 
  2,360,364 
Oil, Gas & Consumable Fuels - 1.3%   
Aker BP ASA 3% 1/15/25 (a) 995,000 1,011,700 
Canadian Natural Resources Ltd. 2.05% 7/15/25 1,430,000 1,472,368 
Cenovus Energy, Inc.:   
3% 8/15/22 1,515,000 1,519,076 
3.8% 9/15/23 165,000 170,176 
Cheniere Corpus Christi Holdings LLC:   
5.875% 3/31/25 1,470,000 1,684,258 
7% 6/30/24 1,625,000 1,873,800 
Chevron Corp.:   
3 month U.S. LIBOR + 0.480% 0.7311% 3/3/22 (b)(c) 4,700,000 4,722,846 
1.141% 5/11/23 4,174,000 4,257,380 
Diamondback Energy, Inc.:   
2.875% 12/1/24 2,720,000 2,834,092 
4.75% 5/31/25 1,080,000 1,204,024 
Energy Transfer Partners LP:   
2.9% 5/15/25 255,000 264,565 
4.2% 9/15/23 280,000 298,114 
4.25% 3/15/23 855,000 899,900 
4.9% 2/1/24 245,000 265,995 
5.875% 1/15/24 2,375,000 2,636,136 
Eni SpA 4% 9/12/23 (a) 930,000 1,011,862 
Enterprise Products Operating LP:   
2.85% 4/15/21 3,000,000 3,021,199 
3.5% 2/1/22 1,050,000 1,087,833 
EOG Resources, Inc. 2.625% 3/15/23 291,000 303,641 
EQT Corp.:   
3% 10/1/22 2,275,000 2,284,214 
4.875% 11/15/21 284,000 288,970 
Gray Oak Pipeline LLC:   
2% 9/15/23 (a) 120,000 120,935 
2.6% 10/15/25 (a) 385,000 390,859 
Kinder Morgan Energy Partners LP:   
3.5% 3/1/21 435,000 436,048 
3.95% 9/1/22 135,000 142,109 
Kinder Morgan, Inc. 5% 2/15/21 (a) 675,000 678,588 
Marathon Oil Corp. 2.8% 11/1/22 653,000 667,222 
MPLX LP 3 month U.S. LIBOR + 1.100% 1.3418% 9/9/22 (b)(c) 1,683,000 1,683,245 
Occidental Petroleum Corp. 2.6% 8/13/21 990,000 980,100 
Phillips 66 Co.:   
3 month U.S. LIBOR + 0.600% 0.833% 2/26/21 (b)(c) 5,033,000 5,033,458 
3 month U.S. LIBOR + 0.620% 0.8404% 2/15/24 (b)(c) 10,000,000 10,007,850 
Reliance Holding U.S.A., Inc. 5.4% 2/14/22 (Reg. S) 1,700,000 1,784,469 
Sabine Pass Liquefaction LLC:   
5.625% 4/15/23 (b) 1,085,000 1,188,437 
6.25% 3/15/22 2,495,000 2,634,900 
Saudi Arabian Oil Co. 2.75% 4/16/22 (a) 1,815,000 1,859,241 
Suncor Energy, Inc. 2.8% 5/15/23 505,000 530,883 
Sunoco Logistics Partner Operations LP:   
3.45% 1/15/23 110,000 114,205 
4.25% 4/1/24 70,000 74,982 
4.4% 4/1/21 765,000 772,042 
The Williams Companies, Inc. 3.7% 1/15/23 2,205,000 2,328,962 
Valero Energy Corp.:   
1.2% 3/15/24 715,000 714,866 
2.7% 4/15/23 1,430,000 1,486,494 
3.65% 3/15/25 245,000 266,017 
Western Gas Partners LP 4% 7/1/22 1,800,000 1,831,500 
Williams Partners LP:   
3.35% 8/15/22 200,000 208,691 
4.3% 3/4/24 305,000 334,696 
  69,382,948 
TOTAL ENERGY  71,743,312 
FINANCIALS - 14.5%   
Banks - 8.6%   
Abbey National PLC 2.1% 1/13/23 1,255,000 1,296,436 
ABN AMRO Bank NV:   
3 month U.S. LIBOR + 0.410% 0.6278% 1/19/21 (a)(b)(c) 10,000,000 10,004,840 
3 month U.S. LIBOR + 0.570% 0.803% 8/27/21 (a)(b)(c) 10,813,000 10,851,105 
Banco Bilbao Vizcaya Argentaria SA 0.875% 9/18/23 1,800,000 1,809,119 
Banco del Estado de Chile 2.704% 1/9/25 (a) 665,000 700,328 
Banco Santander Mexico SA 4.125% 11/9/22 (Reg. S) 1,750,000 1,847,125 
Bank of America Corp.:   
3 month U.S. LIBOR + 0.380% 0.5891% 1/23/22 (b)(c) 15,000,000 15,005,908 
3 month U.S. LIBOR + 0.650% 0.875% 6/25/22 (b)(c) 10,000,000 10,032,010 
0.81% 10/24/24 (b) 755,000 757,947 
3.124% 1/20/23 (b) 10,000,000 10,299,544 
3.3% 1/11/23 1,445,000 1,532,663 
Bank of Montreal:   
3 month U.S. LIBOR + 0.400% 0.6495% 9/10/21 (b)(c) 5,000,000 5,013,395 
3 month U.S. LIBOR + 0.460% 0.6841% 4/13/21 (b)(c) 960,000 961,526 
3 month U.S. LIBOR + 0.570% 0.8033% 3/26/22 (b)(c) 5,000,000 5,029,865 
Bank of Nova Scotia 0.8% 6/15/23 7,000,000 7,079,539 
Banque Federative du Credit Mutuel SA:   
0.65% 2/27/24 (a) 860,000 860,869 
1.96% 7/21/21 (a) 5,000,000 5,052,706 
2.125% 11/21/22 (a) 1,415,000 1,461,962 
2.5% 4/13/21 (a) 5,000,000 5,040,979 
Barclays Bank PLC:   
1.7% 5/12/22 1,790,000 1,821,737 
2.65% 1/11/21 10,905,000 10,911,295 
Barclays PLC 4.61% 2/15/23 (b) 6,000,000 6,278,400 
BB&T Corp. 2.15% 2/1/21 1,160,000 1,161,793 
BBVA U.S.A. 3 month U.S. LIBOR + 0.730% 0.9803% 6/11/21 (b)(c) 11,700,000 11,733,484 
BNP Paribas SA:   
3 month U.S. LIBOR + 0.390% 0.603% 8/7/21 (a)(b)(c) 5,000,000 5,010,786 
3.5% 3/1/23 (a) 10,000,000 10,641,018 
BPCE SA:   
3 month U.S. LIBOR + 0.300% 0.5289% 1/14/22 (a)(b)(c) 5,000,000 5,006,337 
3 month U.S. LIBOR + 1.220% 1.4326% 5/22/22 (a)(b)(c) 1,605,000 1,622,655 
5.7% 10/22/23 (a) 530,000 597,688 
Canadian Imperial Bank of Commerce 0.95% 6/23/23 7,200,000 7,290,065 
Capital One Bank NA 2.014% 1/27/23 (b) 7,000,000 7,120,567 
Capital One NA 2.15% 9/6/22 1,370,000 1,410,289 
Citibank NA 3 month U.S. LIBOR + 0.600% 0.8238% 5/20/22 (b)(c) 8,000,000 8,014,539 
Citigroup, Inc.:   
3 month U.S. LIBOR + 1.190% 1.4044% 8/2/21 (b)(c) 9,500,000 9,568,922 
3 month U.S. LIBOR + 1.380% 1.6004% 3/30/21 (b)(c) 10,000,000 10,043,926 
2.312% 11/4/22 (b) 16,290,000 16,569,700 
2.9% 12/8/21 1,495,000 1,530,328 
Credit Agricole SA 3 month U.S. LIBOR + 1.020% 1.2348% 4/24/23 (a)(b)(c) 675,000 682,830 
Credit Suisse Group Funding Guernsey Ltd.:   
3 month U.S. LIBOR + 2.290% 2.5078% 4/16/21 (b)(c) 6,250,000 6,301,130 
3.125% 12/10/20 5,000,000 5,003,100 
3.45% 4/16/21 15,000,000 15,172,200 
Danske Bank A/S:   
1.226% 6/22/24 (a) 1,610,000 1,631,837 
3.001% 9/20/22 (a)(b) 1,475,000 1,500,089 
5% 1/12/22 (a) 1,050,000 1,099,127 
Fifth Third Bancorp 1.625% 5/5/23 10,625,000 10,914,946 
First Niagara Financial Group, Inc. 7.25% 12/15/21 515,000 550,594 
HSBC Holdings PLC:   
1.645% 4/18/26 (b) 1,735,000 1,759,492 
2.099% 6/4/26 (b) 1,840,000 1,897,614 
3.262% 3/13/23 (b) 3,300,000 3,414,829 
3.803% 3/11/25 (b) 425,000 462,502 
ING Groep NV 3 month U.S. LIBOR + 1.150% 1.3679% 3/29/22 (b)(c) 735,000 742,981 
JPMorgan Chase & Co.:   
3 month U.S. LIBOR + 1.100% 1.348% 6/7/21 (b)(c) 11,083,000 11,133,055 
2.083% 4/22/26 (b) 1,870,000 1,959,006 
2.776% 4/25/23 (b) 5,200,000 5,370,576 
3.514% 6/18/22 (b) 5,000,000 5,084,343 
KeyBank NA 3 month U.S. LIBOR + 0.660% 0.8744% 2/1/22 (b)(c) 8,128,000 8,179,526 
Lloyds Bank PLC:   
3 month U.S. LIBOR + 0.490% 0.703% 5/7/21 (b)(c) 9,000,000 9,016,569 
3.3% 5/7/21 2,649,000 2,683,331 
4.5% 11/4/24 480,000 533,778 
Lloyds Banking Group PLC 1.326% 6/15/23 (b) 1,803,000 1,821,770 
Mitsubishi UFJ Financial Group, Inc.:   
3 month U.S. LIBOR + 0.650% 0.8648% 7/26/21 (b)(c) 6,519,000 6,540,389 
3 month U.S. LIBOR + 0.700% 0.948% 3/7/22 (b)(c) 10,000,000 10,058,431 
3 month U.S. LIBOR + 0.740% 0.9809% 3/2/23 (b)(c) 1,623,000 1,633,549 
3 month U.S. LIBOR + 0.920% 1.1249% 2/22/22 (b)(c) 840,000 847,498 
2.998% 2/22/22 5,000,000 5,160,194 
3.218% 3/7/22 1,090,000 1,129,178 
Mizuho Financial Group, Inc.:   
3 month U.S. LIBOR + 0.940% 1.1644% 2/28/22 (b)(c) 5,000,000 5,046,705 
3 month U.S. LIBOR + 1.140% 1.3891% 9/13/21 (b)(c) 17,000,000 17,137,202 
National Bank of Canada 0.9% 8/15/23 (b) 7,000,000 7,048,864 
NatWest Markets PLC 2.375% 5/21/23 (a) 1,525,000 1,586,503 
Nordea Bank ABP 4.875% 5/13/21 (a) 710,000 724,073 
PNC Bank NA:   
1.743% 2/24/23 (b) 4,078,000 4,151,341 
2.028% 12/9/22 (b) 7,000,000 7,120,054 
QNB Finance Ltd. 3.5% 3/28/24 (Reg. S) 1,000,000 1,069,375 
Rabobank Nederland 3.95% 11/9/22 1,370,000 1,457,474 
Rabobank Nederland New York Branch 3 month U.S. LIBOR + 0.830% 1.0541% 1/10/22 (b)(c) 5,000,000 5,040,771 
Royal Bank of Canada U.S. SECURED OVERNIGHT FINL RATE (SOFR) INDX + 0.450% 0.5346% 10/26/23 (b)(c) 15,000,000 15,019,548 
Royal Bank of Scotland Group PLC 3.875% 9/12/23 1,085,000 1,175,549 
Santander Holdings U.S.A., Inc. 4.45% 12/3/21 7,000,000 7,250,885 
Societe Generale 2.625% 10/16/24 (a) 365,000 383,328 
Standard Chartered PLC:   
3 month U.S. LIBOR + 1.150% 1.3684% 1/20/23 (a)(b)(c) 910,000 914,521 
1.319% 10/14/23 (a)(b) 200,000 201,906 
2.744% 9/10/22 (a)(b) 1,495,000 1,517,084 
3.885% 3/15/24 (a)(b) 365,000 388,052 
3.95% 1/11/23 (a) 405,000 425,002 
Sumitomo Mitsui Financial Group, Inc.:   
3 month U.S. LIBOR + 1.140% 1.3578% 10/19/21 (b)(c) 6,500,000 6,558,360 
3 month U.S. LIBOR + 1.680% 1.9218% 3/9/21 (b)(c) 3,000,000 3,012,961 
2.934% 3/9/21 10,000,000 10,071,600 
Swedbank AB 1.3% 6/2/23 (a) 1,150,000 1,172,025 
Synchrony Bank 3% 6/15/22 10,395,000 10,742,468 
Synovus Bank 2.289% 2/10/23 (b) 1,237,000 1,252,433 
The Toronto-Dominion Bank:   
3 month U.S. LIBOR + 0.530% 0.776% 12/1/22 (b)(c) 5,000,000 5,038,464 
U.S. SECURED OVERNIGHT FINL RATE (SOFR) INDX + 0.480% 0.565% 1/27/23 (b)(c) 5,000,000 5,014,119 
0.75% 6/12/23 5,000,000 5,041,293 
U.S. Bancorp 3% 3/15/22 1,530,000 1,579,750 
Wells Fargo & Co.:   
1.654% 6/2/24 (b) 5,935,000 6,073,387 
2.188% 4/30/26 (b) 840,000 879,265 
3.5% 3/8/22 735,000 763,960 
Wells Fargo Bank NA 2.082% 9/9/22 (b) 1,105,000 1,119,342 
Zions Bancorp NA 3.5% 8/27/21 5,000,000 5,104,937 
  474,338,460 
Capital Markets - 2.9%   
Credit Suisse AG:   
U.S. SECURED OVERNIGHT FINL RATE (SOFR) INDX + 0.450% 0.5347% 2/4/22 (b)(c) 5,310,000 5,317,381 
1% 5/5/23 6,590,000 6,678,578 
2.1% 11/12/21 8,156,000 8,292,470 
2.8% 4/8/22 2,340,000 2,417,618 
Deutsche Bank AG New York Branch:   
3 month U.S. LIBOR + 0.810% 1.0308% 1/22/21 (b)(c) 10,000,000 9,999,117 
3 month U.S. LIBOR + 1.290% 1.5101% 2/4/21 (b)(c) 860,000 860,849 
3.15% 1/22/21 11,435,000 11,469,991 
3.375% 5/12/21 125,000 126,316 
4.25% 10/14/21 1,260,000 1,292,889 
E*TRADE Financial Corp. 2.95% 8/24/22 2,362,000 2,461,940 
Goldman Sachs Group, Inc.:   
3 month U.S. LIBOR + 1.360% 1.5748% 4/23/21 (b)(c) 10,000,000 10,039,430 
U.S. SECURED OVERNIGHT FINL RATE (SOFR) INDX + 0.540% 0.6114% 11/17/23 (b)(c) 10,000,000 10,008,100 
2.876% 10/31/22 (b) 520,000 531,407 
2.905% 7/24/23 (b) 10,000,000 10,398,358 
3% 4/26/22 1,505,000 1,520,778 
3.5% 4/1/25 1,005,000 1,113,390 
5.75% 1/24/22 1,800,000 1,910,496 
Morgan Stanley:   
3 month U.S. LIBOR + 0.930% 1.1458% 7/22/22 (b)(c) 4,040,000 4,059,302 
U.S. SECURED OVERNIGHT FINL RATE (SOFR) INDX + 0.700% 0.784% 1/20/23 (b)(c) 5,000,000 5,013,823 
U.S. SECURED OVERNIGHT FINL RATE (SOFR) INDX + 0.830% 0.9158% 6/10/22 (b)(c) 5,000,000 5,011,735 
0.56% 11/10/23 (b) 6,170,000 6,174,278 
2.625% 11/17/21 17,214,000 17,584,144 
2.75% 5/19/22 1,095,000 1,132,885 
5.5% 7/28/21 10,000,000 10,333,320 
State Street Corp. 2.825% 3/30/23 (b) 603,000 622,865 
TD Ameritrade Holding Corp. 3 month U.S. LIBOR + 0.430% 0.6444% 11/1/21 (b)(c) 7,500,000 7,523,580 
UBS AG London Branch 1.75% 4/21/22 (a) 7,525,000 7,663,339 
UBS Group AG:   
3 month U.S. LIBOR + 1.220% 1.4326% 5/23/23 (a)(b)(c) 880,000 890,618 
3 month U.S. LIBOR + 1.780% 2.0041% 4/14/21 (a)(b)(c) 5,000,000 5,031,131 
1.008% 7/30/24 (a)(b) 7,118,000 7,169,020 
  162,649,148 
Consumer Finance - 1.4%   
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust:   
3.95% 2/1/22 1,070,000 1,098,080 
4.45% 12/16/21 1,395,000 1,436,660 
4.5% 9/15/23 1,095,000 1,172,326 
American Express Co.:   
3 month U.S. LIBOR + 0.600% 0.8248% 11/5/21 (b)(c) 6,750,000 6,779,093 
2.65% 12/2/22 9,500,000 9,937,128 
2.75% 5/20/22 5,000,000 5,165,006 
3.375% 5/17/21 1,500,000 1,517,430 
Aviation Capital Group LLC:   
3 month U.S. LIBOR + 0.670% 0.8844% 7/30/21 (a)(b)(c) 1,427,000 1,402,908 
3 month U.S. LIBOR + 0.950% 1.196% 6/1/21 (a)(b)(c) 4,307,000 4,261,805 
Capital One Financial Corp.:   
3.2% 1/30/23 8,016,000 8,475,370 
3.5% 6/15/23 555,000 595,159 
3.9% 1/29/24 505,000 553,626 
Ford Motor Credit Co. LLC:   
3.47% 4/5/21 415,000 416,038 
3.813% 10/12/21 495,000 501,002 
5.875% 8/2/21 290,000 296,885 
Hyundai Capital America:   
2.375% 2/10/23 (a) 1,925,000 1,984,030 
2.45% 6/15/21 (a) 755,000 760,771 
2.85% 11/1/22 (a) 511,000 529,381 
3% 6/20/22 (a) 1,060,000 1,093,768 
3.95% 2/1/22 (a) 1,315,000 1,362,572 
John Deere Capital Corp.:   
3 month U.S. LIBOR + 0.240% 0.4891% 3/12/21 (b)(c) 5,000,000 5,002,815 
3 month U.S. LIBOR + 0.260% 0.5095% 9/10/21 (b)(c) 5,000,000 5,012,105 
PACCAR Financial Corp. 0.8% 6/8/23 445,000 450,187 
Synchrony Financial 2.85% 7/25/22 3,473,000 3,587,396 
Toyota Motor Credit Corp.:   
0.45% 7/22/22 7,207,000 7,237,069 
1.15% 5/26/22 5,000,000 5,063,992 
  75,692,602 
Diversified Financial Services - 0.3%   
AIG Global Funding:   
3 month U.S. LIBOR + 0.460% 0.685% 6/25/21 (a)(b)(c) 4,293,000 4,303,003 
2.3% 7/1/22 (a) 1,528,000 1,573,280 
3.35% 6/25/21 (a) 770,000 783,522 
BP Capital Markets America, Inc.:   
2.937% 4/6/23 700,000 740,637 
4.742% 3/11/21 5,000,000 5,060,900 
Brixmor Operating Partnership LP:   
3.25% 9/15/23 1,355,000 1,419,643 
3.875% 8/15/22 170,000 176,801 
CNH Industrial Capital LLC 3.875% 10/15/21 1,325,000 1,357,905 
General Electric Capital Corp.:   
3.15% 9/7/22 555,000 580,145 
3.45% 5/15/24 530,000 574,510 
Park Aerospace Holdings Ltd.:   
4.5% 3/15/23 (a) 435,000 453,211 
5.25% 8/15/22 (a) 880,000 920,193 
  17,943,750 
Insurance - 1.3%   
AIA Group Ltd. 3 month U.S. LIBOR + 0.520% 0.7474% 9/20/21 (a)(b)(c) 6,046,000 6,039,947 
American International Group, Inc.:   
4.875% 6/1/22 675,000 719,512 
6.4% 12/15/20 2,010,000 2,014,442 
Aon Corp. 2.2% 11/15/22 1,592,000 1,647,269 
Aon PLC 2.8% 3/15/21 1,320,000 1,326,874 
Equitable Financial Life Global Funding 0.5% 11/17/23 (a) 5,000,000 5,004,461 
Lincoln National Corp. 4% 9/1/23 270,000 295,330 
Marsh & McLennan Companies, Inc.:   
3 month U.S. LIBOR + 1.200% 1.4179% 12/29/21 (b)(c) 4,546,000 4,547,925 
3.5% 12/29/20 1,135,000 1,137,713 
MassMutual Global Funding II 0.85% 6/9/23 (a) 10,000,000 10,116,692 
Metropolitan Life Global Funding I:   
U.S. SECURED OVERNIGHT FINL RATE (SOFR) INDX + 0.570% 0.6555% 1/13/23 (a)(b)(c) 6,940,000 6,972,132 
0.9% 6/8/23 (a) 4,918,000 4,982,556 
Metropolitan Tower Global Funding:   
U.S. SECURED OVERNIGHT FINL RATE (SOFR) INDX + 0.550% 0.635% 1/17/23 (a)(b)(c) 5,000,000 5,021,293 
0.55% 7/13/22 (a) 6,000,000 6,026,289 
New York Life Global Funding:   
3 month U.S. LIBOR + 0.280% 0.5041% 1/10/23 (a)(b)(c) 6,945,000 6,956,772 
3 month U.S. LIBOR + 0.320% 0.5523% 8/6/21 (a)(b)(c) 4,942,000 4,952,173 
1.1% 5/5/23 (a) 725,000 737,456 
Protective Life Global Funding 3 month U.S. LIBOR + 0.520% 0.7533% 6/28/21 (a)(b)(c) 2,000,000 2,005,858 
Trinity Acquisition PLC 3.5% 9/15/21 650,000 663,895 
  71,168,589 
Thrifts & Mortgage Finance - 0.0%   
Crown Castle Towers LLC/Crown Atlantic Holdings Sub LLC/Crown Communication, Inc. 3.72% 7/15/43 (a) 370,000 387,872 
TOTAL FINANCIALS  802,180,421 
HEALTH CARE - 1.8%   
Biotechnology - 0.5%   
AbbVie, Inc.:   
3 month U.S. LIBOR + 0.650% 0.8626% 11/21/22 (b)(c) 7,100,000 7,144,908 
2.15% 11/19/21 11,244,000 11,434,415 
2.3% 5/14/21 850,000 856,891 
2.6% 11/21/24 3,500,000 3,740,761 
3.2% 11/6/22 170,000 178,066 
3.25% 10/1/22 185,000 193,141 
3.45% 3/15/22 615,000 635,762 
Baxalta, Inc. 3.6% 6/23/22 265,000 276,163 
Gilead Sciences, Inc. 0.75% 9/29/23 2,070,000 2,076,208 
Nutrition & Biosciences, Inc. 0.697% 9/15/22 (a) 582,000 584,091 
  27,120,406 
Health Care Equipment & Supplies - 0.2%   
Becton, Dickinson & Co.:   
2.894% 6/6/22 6,407,000 6,626,656 
3.363% 6/6/24 1,215,000 1,313,983 
3.734% 12/15/24 285,000 314,732 
Stryker Corp. 0.6% 12/1/23 325,000 325,448 
Zimmer Biomet Holdings, Inc. 3 month U.S. LIBOR + 0.750% 0.9774% 3/19/21 (b)(c) 3,220,000 3,220,639 
  11,801,458 
Health Care Providers & Services - 0.5%   
Anthem, Inc. 2.375% 1/15/25 410,000 435,708 
Cardinal Health, Inc.:   
2.616% 6/15/22 115,000 118,444 
3.079% 6/15/24 695,000 747,107 
3.2% 3/15/23 875,000 927,294 
3.5% 11/15/24 1,180,000 1,294,063 
Cigna Corp.:   
3 month U.S. LIBOR + 0.650% 0.8961% 9/17/21 (b)(c) 4,130,000 4,131,044 
3% 7/15/23 715,000 758,177 
3.75% 7/15/23 738,000 798,915 
3.9% 2/15/22 585,000 609,291 
CommonSpirit Health 1.547% 10/1/25 670,000 679,967 
CVS Health Corp.:   
2.625% 8/15/24 335,000 358,490 
3.35% 3/9/21 10,000,000 10,083,795 
3.7% 3/9/23 1,169,000 1,250,561 
Humana, Inc.:   
2.9% 12/15/22 160,000 167,457 
3.15% 12/1/22 315,000 329,704 
3.85% 10/1/24 610,000 674,581 
4.5% 4/1/25 1,205,000 1,386,431 
PeaceHealth Obligated Group 1.375% 11/15/25 190,000 193,872 
  24,944,901 
Life Sciences Tools & Services - 0.0%   
Thermo Fisher Scientific, Inc. 4.133% 3/25/25 385,000 437,677 
Pharmaceuticals - 0.6%   
Bayer U.S. Finance II LLC 3 month U.S. LIBOR + 0.630% 0.855% 6/25/21 (a)(b)(c) 17,180,000 17,219,342 
Bristol-Myers Squibb Co.:   
2.75% 2/15/23 605,000 634,600 
3.25% 2/20/23 185,000 196,363 
3.55% 8/15/22 600,000 632,584 
3.625% 5/15/24 160,000 175,533 
EMD Finance LLC 2.95% 3/19/22 (a) 430,000 441,829 
Perrigo Finance PLC 3.9% 12/15/24 3,245,000 3,528,619 
Royalty Pharma PLC 0.75% 9/2/23 (a) 870,000 873,763 
Shire Acquisitions Investments Ireland DAC 2.875% 9/23/23 115,000 122,053 
Viatris, Inc. 1.125% 6/22/22 (a) 1,153,000 1,163,308 
Zoetis, Inc. 3 month U.S. LIBOR + 0.440% 0.6638% 8/20/21 (b)(c) 10,000,000 10,022,720 
  35,010,714 
TOTAL HEALTH CARE  99,315,156 
INDUSTRIALS - 1.0%   
Air Freight & Logistics - 0.0%   
FedEx Corp. 3.8% 5/15/25 570,000 643,614 
Airlines - 0.0%   
American Airlines 2017-2 Class B Pass Through Trust equipment trust certificate 3.7% 4/15/27 582,843 402,163 
Delta Air Lines, Inc. 2.6% 12/4/20 290,000 290,000 
United Airlines 2019-2 Class B Pass Through Trust equipment trust certificate 3.5% 11/1/29 391,954 329,242 
  1,021,405 
Building Products - 0.0%   
Carrier Global Corp. 2.242% 2/15/25 (a) 1,860,000 1,952,906 
Commercial Services & Supplies - 0.0%   
Republic Services, Inc. 2.5% 8/15/24 880,000 937,659 
Construction & Engineering - 0.0%   
Yongda Investment Ltd. 2.25% 6/16/25 (Reg. S) 1,384,000 1,413,698 
Electrical Equipment - 0.1%   
Shanghai Electric Group Global Investment Ltd. 2.65% 11/21/24 2,220,000 2,296,023 
Industrial Conglomerates - 0.2%   
Honeywell International, Inc. 3 month U.S. LIBOR + 0.370% 0.583% 8/8/22 (b)(c) 9,078,000 9,120,139 
Roper Technologies, Inc.:   
0.45% 8/15/22 706,000 706,798 
1% 9/15/25 235,000 236,341 
2.35% 9/15/24 365,000 386,637 
3.125% 11/15/22 1,505,000 1,571,679 
3.65% 9/15/23 270,000 293,058 
  12,314,652 
Machinery - 0.3%   
Caterpillar Financial Services Corp.:   
3 month U.S. LIBOR + 0.200% 0.4136% 11/12/21 (b)(c) 5,000,000 5,005,800 
3 month U.S. LIBOR + 0.220% 0.4535% 1/6/22 (b)(c) 3,019,000 3,022,916 
3 month U.S. LIBOR + 0.280% 0.528% 9/7/21 (b)(c) 6,190,000 6,201,697 
Otis Worldwide Corp. 3 month U.S. LIBOR + 0.450% 0.684% 4/5/23 (b)(c) 3,299,000 3,299,828 
  17,530,241 
Professional Services - 0.1%   
Equifax, Inc.:   
3 month U.S. LIBOR + 0.870% 1.091% 8/15/21 (b)(c) 610,000 612,004 
2.3% 6/1/21 975,000 982,391 
3.95% 6/15/23 1,090,000 1,177,569 
  2,771,964 
Road & Rail - 0.1%   
Avolon Holdings Funding Ltd.:   
2.875% 2/15/25 (a) 980,000 962,740 
3.625% 5/1/22 (a) 1,560,000 1,583,142 
3.95% 7/1/24 (a) 265,000 272,318 
Eastern Creation II Investment Holdings Ltd. 1% 9/10/23 (Reg. S) 1,670,000 1,661,082 
SMBC Aviation Capital Finance:   
3.55% 4/15/24 (a) 325,000 345,340 
4.125% 7/15/23 (a) 200,000 212,748 
  5,037,370 
Trading Companies & Distributors - 0.1%   
Air Lease Corp.:   
2.25% 1/15/23 810,000 829,901 
2.5% 3/1/21 275,000 276,194 
3.5% 1/15/22 5,560,000 5,711,980 
GATX Corp. 3.9% 3/30/23 545,000 581,462 
  7,399,537 
Transportation Infrastructure - 0.1%   
Heathrow Funding Ltd. 4.875% 7/15/23 (a) 1,340,000 1,370,280 
HPHT Finance 17 Ltd. 2.75% 9/11/22 (Reg. S) 1,235,000 1,265,155 
  2,635,435 
TOTAL INDUSTRIALS  55,954,504 
INFORMATION TECHNOLOGY - 0.5%   
Electronic Equipment & Components - 0.0%   
Amphenol Corp. 2.05% 3/1/25 910,000 955,122 
Avnet, Inc. 3.75% 12/1/21 905,000 925,801 
  1,880,923 
IT Services - 0.3%   
Global Payments, Inc. 2.65% 2/15/25 800,000 856,580 
IBM Corp. 2.85% 5/13/22 10,000,000 10,374,787 
PayPal Holdings, Inc. 1.35% 6/1/23 2,224,000 2,278,903 
The Western Union Co.:   
2.85% 1/10/25 1,280,000 1,367,564 
3.6% 3/15/22 840,000 868,828 
  15,746,662 
Semiconductors & Semiconductor Equipment - 0.2%   
Analog Devices, Inc. 2.95% 4/1/25 295,000 321,827 
Broadcom Corp./Broadcom Cayman LP 2.2% 1/15/21 225,000 225,430 
Microchip Technology, Inc.:   
2.67% 9/1/23 (a) 1,110,000 1,163,538 
3.922% 6/1/21 2,185,000 2,220,708 
Micron Technology, Inc.:   
2.497% 4/24/23 2,585,000 2,699,414 
4.64% 2/6/24 340,000 378,702 
NXP BV/NXP Funding LLC:   
3.875% 9/1/22 (a) 1,355,000 1,430,809 
4.625% 6/1/23 (a) 1,175,000 1,286,912 
4.875% 3/1/24 (a) 195,000 219,889 
NXP BV/NXP Funding LLC/NXP U.S.A., Inc. 2.7% 5/1/25 (a) 205,000 220,205 
  10,167,434 
TOTAL INFORMATION TECHNOLOGY  27,795,019 
MATERIALS - 0.1%   
Chemicals - 0.0%   
LYB International Finance III LLC 1.25% 10/1/25 705,000 711,293 
Syngenta Finance NV 3.933% 4/23/21 (a) 735,000 742,480 
  1,453,773 
Construction Materials - 0.0%   
Boral Finance Pty Ltd. 3% 11/1/22 (a) 135,000 138,174 
Vulcan Materials Co. 3 month U.S. LIBOR + 0.650% 0.896% 3/1/21 (b)(c) 1,620,000 1,620,099 
  1,758,273 
Metals & Mining - 0.1%   
Nucor Corp. 2% 6/1/25 350,000 367,627 
POSCO 2.375% 1/17/23 (a) 1,870,000 1,918,770 
  2,286,397 
TOTAL MATERIALS  5,498,443 
REAL ESTATE - 0.1%   
Equity Real Estate Investment Trusts (REITs) - 0.1%   
American Campus Communities Operating Partnership LP 3.75% 4/15/23 910,000 960,011 
Highwoods/Forsyth LP 3.625% 1/15/23 1,620,000 1,688,765 
Simon Property Group LP:   
2.625% 6/15/22 1,150,000 1,179,677 
3.375% 10/1/24 1,175,000 1,271,460 
3.5% 9/1/25 280,000 308,448 
Ventas Realty LP 3.1% 1/15/23 180,000 189,013 
  5,597,374 
UTILITIES - 1.4%   
Electric Utilities - 0.8%   
American Electric Power Co., Inc. 3.65% 12/1/21 180,000 185,888 
Duke Energy Corp.:   
3 month U.S. LIBOR + 0.500% 0.721% 5/14/21 (a)(b)(c) 7,000,000 7,013,624 
3.55% 9/15/21 330,000 335,694 
Edison International:   
2.95% 3/15/23 455,000 469,754 
3.125% 11/15/22 650,000 672,239 
ENEL Finance International NV:   
2.65% 9/10/24 (a) 200,000 212,462 
2.875% 5/25/22 (a) 1,660,000 1,715,007 
4.25% 9/14/23 (a) 980,000 1,074,893 
FirstEnergy Corp. 2.85% 7/15/22 885,000 905,708 
Florida Power & Light Co. 3 month U.S. LIBOR + 0.380% 0.6023% 7/28/23 (b)(c) 5,358,000 5,360,129 
Israel Electric Corp. Ltd. 5% 11/12/24 (Reg. S) (a) 1,365,000 1,546,900 
NextEra Energy Capital Holdings, Inc. 2.403% 9/1/21 11,475,000 11,653,196 
NRG Energy, Inc. 3.75% 6/15/24 (a) 535,000 574,336 
Pacific Gas & Electric Co.:   
3 month U.S. LIBOR + 1.370% 1.6% 11/15/21 (b)(c) 1,755,000 1,756,905 
1.75% 6/16/22 3,430,000 3,436,630 
PNM Resources, Inc. 3.25% 3/9/21 995,000 1,002,249 
PPL Electric Utilities Corp. 0.000% x 3 month U.S. LIBOR 0.4751% 9/28/23 (b)(c) 1,780,000 1,781,509 
Sinosing Services Pte Ltd. 2.25% 2/20/25 (Reg. S) 2,200,000 2,258,922 
Vistra Operations Co. LLC 3.55% 7/15/24 (a) 3,025,000 3,254,706 
  45,210,751 
Gas Utilities - 0.0%   
Southern California Gas Co. 3 month U.S. LIBOR + 0.350% 0.5774% 9/14/23 (b)(c) 902,000 902,268 
Independent Power and Renewable Electricity Producers - 0.0%   
Hero Asia Investment Ltd. 1.5% 11/18/23 (Reg. S) 1,650,000 1,647,251 
The AES Corp. 3.3% 7/15/25 (a) 820,000 894,423 
  2,541,674 
Multi-Utilities - 0.6%   
Consolidated Edison Co. of New York, Inc. 3 month U.S. LIBOR + 0.400% 0.625% 6/25/21 (b)(c) 11,500,000 11,522,770 
Dominion Energy, Inc.:   
3 month U.S. LIBOR + 0.400% 0.646% 12/1/20 (a)(b)(c) 10,000,000 10,000,000 
3 month U.S. LIBOR + 0.530% 0.7761% 9/15/23 (b)(c) 2,327,000 2,330,737 
2.715% 8/15/21 3,153,000 3,201,090 
DTE Energy Co. 0.55% 11/1/22 5,000,000 5,010,665 
San Diego Gas & Electric Co. 1.914% 2/1/22 102,860 103,426 
Sempra Energy 2.875% 10/1/22 535,000 553,563 
  32,722,251 
TOTAL UTILITIES  81,376,944 
TOTAL NONCONVERTIBLE BONDS   
(Cost $1,337,002,561)  1,352,752,705 
U.S. Government and Government Agency Obligations - 2.5%   
U.S. Government Agency Obligations - 0.4%   
Fannie Mae U.S. SECURED OVERNIGHT FINL RATE (SOFR) INDX + 0.180% 0.2656% 7/8/22 (b)(c) 20,000,000 20,036,268 
U.S. Treasury Obligations - 2.1%   
U.S. Treasury Notes:   
0.125% 4/30/22 $7,520,000 $7,520,294 
0.125% 9/30/22 12,080,000 12,076,697 
0.125% 10/31/22 13,245,000 13,239,826 
0.125% 11/30/22 4,860,000 4,858,102 
0.125% 5/15/23 3,315,000 3,311,763 
0.125% 7/15/23 5,180,000 5,172,918 
0.375% 3/31/22 35,500,000 35,610,938 
1.75% 6/15/22 810,000 829,997 
2.125% 5/15/22 14,690,000 15,112,911 
2.25% 4/15/22 (d) 20,770,000 21,375,251 
TOTAL U.S. TREASURY OBLIGATIONS  119,108,697 
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS   
(Cost $138,094,825)  139,144,965 
U.S. Government Agency - Mortgage Securities - 0.4%   
Fannie Mae - 0.3%   
12 month U.S. LIBOR + 1.560% 3.23% 12/1/35 (b)(c) 6,079 6,346 
12 month U.S. LIBOR + 1.620% 2.632% 7/1/35 (b)(c) 5,513 5,769 
12 month U.S. LIBOR + 1.650% 2.62% 8/1/37 (b)(c) 1,635 1,716 
12 month U.S. LIBOR + 1.690% 2.775% 5/1/38 (b)(c) 22,516 23,608 
12 month U.S. LIBOR + 1.780% 3.788% 5/1/38 (b)(c) 7,892 8,247 
12 month U.S. LIBOR + 1.830% 3.615% 4/1/38 (b)(c) 14,749 15,494 
12 month U.S. LIBOR + 1.850% 2.692% 8/1/38 (b)(c) 8,971 9,439 
12 month U.S. LIBOR + 1.860% 3.635% 5/1/38 (b)(c) 14,286 14,992 
12 month U.S. LIBOR + 2.040% 3.612% 12/1/36 (b)(c) 2,013 2,108 
6 month U.S. LIBOR + 1.360% 2.063% 10/1/33 (b)(c) 32,413 33,438 
2% 9/1/35 to 12/1/50 (e) 989,654 1,037,957 
2.5% 11/1/50 to 12/1/50 (e) 994,473 1,043,736 
3% 9/1/28 to 12/1/34 1,913,064 2,042,993 
3.5% 11/1/26 to 7/1/50 1,151,735 1,218,013 
4% 1/1/47 to 12/1/49 770,826 830,721 
4.5% 8/1/24 to 1/1/50 3,651,436 3,977,449 
5% 12/1/20 to 7/1/45 1,447,133 1,645,895 
5.5% 3/1/21 to 5/1/40 1,857,393 2,158,523 
6% to 6% 1/1/22 to 2/1/49 1,751,716 2,072,562 
6.5% 7/1/32 to 12/1/32 82,296 95,719 
TOTAL FANNIE MAE  16,244,725 
Freddie Mac - 0.0%   
12 month U.S. LIBOR + 1.590% 2.216% 9/1/35 (b)(c) 3,513 3,670 
12 month U.S. LIBOR + 1.620% 2.504% 7/1/38 (b)(c) 23,158 24,062 
12 month U.S. LIBOR + 1.620% 2.888% 6/1/38 (b)(c) 20,729 21,722 
12 month U.S. LIBOR + 1.720% 2.72% 7/1/35 (b)(c) 8,050 8,408 
12 month U.S. LIBOR + 1.720% 3.193% 5/1/38 (b)(c) 8,871 9,317 
12 month U.S. LIBOR + 1.730% 2.788% 10/1/36 (b)(c) 22,107 23,235 
12 month U.S. LIBOR + 1.730% 3.733% 2/1/37 (b)(c) 3,190 3,356 
12 month U.S. LIBOR + 1.730% 3.734% 2/1/37 (b)(c) 4,409 4,639 
12 month U.S. LIBOR + 1.770% 3.377% 5/1/37 (b)(c) 5,678 5,987 
12 month U.S. LIBOR + 2.020% 3.465% 11/1/36 (b)(c) 2,926 3,057 
12 month U.S. LIBOR + 2.050% 4.073% 12/1/36 (b)(c) 6,100 6,377 
12 month U.S. LIBOR + 2.080% 4.082% 2/1/38 (b)(c) 17,713 18,613 
12 month U.S. LIBOR + 2.190% 4.191% 2/1/37 (b)(c) 6,533 6,860 
U.S. TREASURY 1 YEAR INDEX + 2.340% 3.759% 11/1/34 (b)(c) 13,898 14,467 
3% 11/1/34 404,607 436,859 
4% 12/1/49 279,114 303,101 
4.5% 5/1/50 377,545 412,472 
5% 10/1/22 to 12/1/41 595,278 676,588 
5.5% 11/1/21 to 10/1/38 15,473 16,440 
6% 7/1/21 to 1/1/38 112,555 131,953 
7% 3/1/39 159,738 188,697 
7.5% 6/1/38 162,544 189,478 
TOTAL FREDDIE MAC  2,509,358 
Ginnie Mae - 0.1%   
6% 7/15/36 200,592 233,148 
4% 3/20/48 to 4/20/50 1,006,221 1,094,269 
4.5% 9/20/40 to 9/20/49 (e) 1,067,063 1,160,527 
5% 12/20/34 to 5/20/48 1,241,501 1,391,082 
5.5% 9/15/45 to 2/20/49 909,979 1,035,435 
TOTAL GINNIE MAE  4,914,461 
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES   
(Cost $22,927,843)  23,668,544 
Asset-Backed Securities - 7.9%   
Ally Auto Receivables Trust:   
Series 2017-2:   
Class C, 2.46% 9/15/22 $745,000 $745,649 
Class D, 2.93% 11/15/23 200,000 200,186 
Series 2019-3 Class A4, 1.96% 12/16/24 600,000 619,895 
Series 2019-4 Class A2, 1.93% 10/17/22 1,464,760 1,469,382 
Ally Master Owner Trust Series 2018-1 Class A1, 1 month U.S. LIBOR + 0.280% 0.4209% 1/17/23 (b)(c) 8,383,000 8,385,463 
American Credit Acceptance Receivables Trust Series 2019-3 Class A, 2.44% 12/12/22 (a) 162,295 162,420 
American Express Credit Account Master Trust Series 2019-3 Class B, 2.2% 4/15/25 740,000 761,835 
AmeriCredit Automobile Receivables Trust:   
Series 2016-3 Class D, 2.71% 9/8/22 810,000 818,436 
Series 2017-1:   
Class C, 2.71% 8/18/22 170,940 172,105 
Class D, 3.13% 1/18/23 1,330,000 1,362,962 
Series 2017-3:   
Class B, 2.24% 6/19/23 178,800 179,248 
Class C, 2.69% 6/19/23 420,000 426,594 
Class D, 3.18% 7/18/23 1,355,000 1,397,807 
Series 2018-1 Class D, 3.82% 3/18/24 1,645,000 1,730,027 
Series 2019-3 Class B, 2.13% 7/18/25 985,000 1,012,684 
Series 2020-1:   
Class C, 1.59% 10/20/25 705,000 716,159 
Class D, 1.8% 12/18/25 690,000 699,239 
Series 2020-3 Class C, 1.06% 8/18/26 420,000 421,222 
Applebee's/IHOP Funding LLC Series 2019-1A Class A2I, 4.194% 6/7/49 (a) 1,440,000 1,407,125 
Ares LVII CLO Ltd. / Ares LVII CLO LLC Series 2020-57A Class A, 3 month U.S. LIBOR + 1.320% 0% 10/25/31 (a)(b)(c)(e) 895,000 895,000 
ARI Fleet Lease Trust:   
Series 2018-A Class A2, 2.55% 10/15/26 (a) 29,504 29,537 
Series 2020-A Class B, 2.06% 11/15/28 (a) 770,000 789,531 
Ascentium Equipment Receivables LLC Series 2017-1A Class A3, 2.29% 6/10/21 (a) 21,945 21,973 
Avis Budget Rental Car Funding (AESOP) LLC:   
Series 2015-2A Class A, 2.63% 12/20/21 (a) 148,333 148,474 
Series 2016-1A Class A, 2.99% 6/20/22 (a) 610,000 614,474 
Series 2017-1A Class B, 3.41% 9/20/23 (a) 540,000 548,255 
Series 2017-2A Class A, 2.97% 3/20/24 (a) 905,000 935,571 
Series 2018-2A Class C, 4.95% 3/20/25 (a) 430,000 450,832 
Series 2019-1A Class B, 3.7% 3/20/23 (a) 245,000 250,564 
Series 2019-2A Class A, 3.35% 9/22/25 (a) 650,000 688,592 
Series 2020-1A Class A, 2.33% 8/20/26 (a) 540,000 554,806 
Babson CLO Ltd. Series 2013-IA Class AR, 3 month U.S. LIBOR + 0.800% 1.0184% 1/20/28 (a)(b)(c) 971,087 966,072 
Bank of The West Auto Trust Series 2019-1 Class A2, 2.4% 10/17/22 (a) 331,296 332,659 
Bayview Opportunity Master Fund Trust:   
Series 2017-RT3 Class A, 3.5% 1/28/58 (a)(b) 920,915 931,320 
Series 2017-SPL4 Class A, 3.5% 1/28/55 (a) 269,623 275,113 
Bayview Opportunity Master Funding Trust Series 2017-SPL5 Class A, 3.5% 6/28/57 (a) 791,813 818,454 
BlueMountain CLO Ltd. Series 2015-2A Class A1R, 3 month U.S. LIBOR + 0.930% 1.1478% 7/18/27 (a)(b)(c) 1,081,926 1,075,677 
BMW Floorplan Master Owner Trust Series 2018-1 Class A2, 1 month U.S. LIBOR + 0.320% 0.4609% 5/15/23 (a)(b)(c) 6,174,000 6,179,928 
BMW Vehicle Owner Trust Series 2020-A Class A2, 0.39% 2/27/23 5,908,000 5,912,819 
BRE Grand Islander Timeshare Issuer Series 2019-A Class A, 3.28% 9/26/33 (a) 260,050 269,635 
Canadian Pacer Auto Receivables Trust Series 2019-1A Class A2, 2.78% 3/21/22 (a) 553,673 555,152 
Capital Auto Receivables Asset Trust:   
Series 2017-1:   
Class B, 2.43% 5/20/22 (a) 145,000 145,930 
Class C, 2.7% 9/20/22 (a) 235,000 238,141 
Series 2018-1 Class B, 3.09% 8/22/22 (a) 760,000 771,964 
Series 2018-2:   
Class B, 3.48% 10/20/23 (a) 370,000 373,563 
Class C, 3.69% 12/20/23 (a) 460,000 468,086 
Carlyle Global Market Strategies Series 2015-3A Class A1R, 3 month U.S. LIBOR + 1.000% 1.2223% 7/28/28 (a)(b)(c) 506,433 503,905 
CarMax Auto Owner Trust:   
Series 2017-4 Class C, 2.7% 10/16/23 205,000 209,085 
Series 2019-2 Class B, 3.01% 12/16/24 1,935,000 2,037,713 
Series 2019-4 Class A2A, 2.01% 3/15/23 763,331 768,458 
Series 2020-1 Class A2, 1.87% 4/17/23 2,701,764 2,721,772 
Series 2020-3 Class A2A, 0.49% 6/15/23 8,502,000 8,512,444 
Series 2020-4:   
Class A2, 0.31% 1/16/24 7,423,000 7,422,087 
Class D, 1.75% 4/15/27 540,000 541,429 
Carvana Auto Receivables Trust Series 2019-4A Class A2, 2.2% 7/15/22 (a) 126,877 127,173 
Cayuga Park CLO, Ltd. Series 2020-1A, Class A, 3 month U.S. LIBOR + 1.600% 1.8318% 7/17/31 (a)(b)(c) 1,020,000 1,022,568 
Chesapeake Funding II LLC:   
Series 2017-2A Class A2, 1 month U.S. LIBOR + 0.450% 0.5909% 5/15/29 (a)(b)(c) 553,859 553,858 
Series 2017-4A Class A2, 1 month U.S. LIBOR + 0.310% 0.4509% 11/15/29 (a)(b)(c) 712,850 712,873 
Series 2018-3A Class A2, 1 month U.S. LIBOR + 0.480% 0.6209% 1/15/31 (a)(b)(c) 1,509,503 1,510,102 
Series 2019-1A Class A1, 2.94% 4/15/31 (a) 2,214,383 2,257,678 
Series 2020-1A Class A1, 0.87% 8/16/32 (a) 3,576,480 3,583,375 
CIFC Funding Ltd./CIFC Funding LLC Series 2020-1A Class A1, 3 month U.S. LIBOR + 1.700% 1.9369% 7/15/32 (a)(b)(c) 1,480,000 1,482,741 
CIM Trust Series 2020-INV1 Class A2, 2.5% 4/25/50 (a) 512,166 527,787 
CNH Equipment Trust:   
Series 2018-A Class B, 3.47% 10/15/25 380,000 393,205 
Series 2019-B Class A2, 2.55% 9/15/22 1,116,359 1,119,356 
Series 2019-C Class A2, 1.99% 3/15/23 668,740 672,904 
Series 2020-A Class A4, 1.51% 4/15/27 590,000 609,345 
Cole Park CLO Ltd. Series 2015-1A Class AR, 3 month U.S. LIBOR + 1.050% 1.2684% 10/20/28 (a)(b)(c) 1,110,000 1,108,685 
Daimler Trucks Retail Trust:   
Series 2018-1 Class A4, 3.03% 11/15/24 (a) 246,636 247,212 
Series 2020-1 Class A4, 1.37% 6/15/27 1,820,000 1,831,558 
Dell Equipment Finance Trust:   
Series 2019-1 Class A2, 2.78% 8/23/21 (a) 468,205 469,375 
Series 2019-2:   
Class A2, 1.95% 12/22/21 (a) 2,725,735 2,743,182 
Class A3, 1.91% 10/22/24 (a) 1,714,000 1,744,176 
Series 2020-2:   
Class A2, 0.47% 10/24/22 (a) 1,568,000 1,570,682 
Class A3, 0.57% 10/23/23 (a) 1,915,000 1,919,986 
DLL Securitization Trust:   
Series 2019-MA2 Class A2, 2.27% 5/20/22 (a) 912,082 915,020 
Series 2019-MT3:   
Class A2, 2.13% 1/20/22 (a) 2,262,719 2,272,115 
Class A3, 2.08% 2/21/23 (a) 1,639,000 1,662,855 
Dryden CLO, Ltd. / Dryden CLO, LLC Series 2020-86A Class A, 3 month U.S. LIBOR + 1.650% 1.8838% 7/17/30 (a)(b)(c) 1,220,000 1,222,166 
DT Auto Owner Trust:   
Series 2019-3A Class A, 2.55% 8/15/22 (a) 499,905 501,179 
Series 2019-4A Class A, 2.17% 5/15/23 (a) 1,334,038 1,340,610 
Elara HGV Timeshare Issuer LLC:   
Series 2014-A Class A, 2.53% 2/25/27 (a) 33,138 33,212 
Series 2017-A Class A, 2.69% 3/25/30 (a) 157,729 161,939 
Ellington Financial Mortgage Trust Series 2019-2 Class A1, 2.739% 11/25/59 (a) 509,235 517,007 
Enterprise Fleet Financing LLC:   
Series 2018-1 Class A2, 2.87% 10/20/23 (a) 69,258 69,601 
Series 2018-2 Class A2, 3.14% 2/20/24 (a) 259,188 261,305 
Series 2019-1 Class A2, 2.98% 10/20/24 (a) 1,862,774 1,895,759 
Series 2019-3 Class A2, 2.06% 5/20/25 (a) 727,865 740,037 
Series 2020-1 Class A2, 1.78% 12/22/25 (a) 7,284,711 7,397,817 
Series 2020-2 Class A2, 0.61% 7/20/26 (a) 3,960,000 3,962,173 
Fifth Third Auto Trust Series 2019-1 Class A2A, 2.66% 5/16/22 329,353 329,717 
Ford Credit Auto Lease Trust:   
Series 2019-B Class A2A, 2.28% 2/15/22 898,918 901,223 
Series 2020-A Class A2, 1.8% 7/15/22 5,866,825 5,897,803 
Series 2020-B Class A3, 0.62% 8/15/23 4,531,000 4,548,986 
Ford Credit Auto Owner Trust Series 2020-2 Class C, 1.74% 4/15/33 (a) 570,000 572,204 
Ford Credit Floorplan Master Owner Trust Series 2020-1 Class A1, 0.7% 9/15/25 3,274,000 3,289,958 
Freddie Mac STACR REMIC Trust Series 2020-DNA5 Class M1, UNITED STATES 30 DAY AVERAGE S + 1.300% 1.3877% 10/25/50 (a)(b)(c) 250,000 250,477 
GM Financial Automobile Leasing Trust:   
Series 2019-1 Class C, 3.56% 12/20/22 835,000 850,422 
Series 2020-1 Class A2A, 1.67% 4/20/22 9,214,767 9,260,696 
Series 2020-2 Class C, 2.56% 7/22/24 445,000 461,564 
Series 2020-3 Class A2A, 0.35% 11/21/22 10,000,000 10,003,740 
GM Financial Consumer Automobile Receivables Trust:   
Series 2020-1 Class A2, 1.83% 1/17/23 2,302,476 2,314,502 
Series 2020-2 Class A3, 1.49% 12/16/24 335,000 340,761 
Series 2020-3 Class A2, 0.35% 7/17/23 5,000,000 5,002,641 
Series 2020-4:   
Class A2, 0.26% 11/16/23 9,590,000 9,589,631 
Class C, 1.05% 5/18/26 420,000 420,736 
GM Financial Securitized Auto Receivables Trust Series 2017-3A Class C, 2.52% 3/16/23 (a) 245,000 247,873 
GMF Floorplan Owner Revolving Trust:   
Series 2018-2 Class A2, 3.13% 3/15/23 (a) 2,500,000 2,519,629 
Series 2019-1 Class A, 2.7% 4/15/24 (a) 710,000 732,074 
Series 2020-1 Class A, 0.68% 8/15/25 (a) 1,480,000 1,485,115 
Series 2020-2 Class A, 0.69% 10/15/25 (a) 3,238,000 3,241,173 
Golub Capital Partners CLO 39B LLC Series 2018-39A Class A1, 3 month U.S. LIBOR + 1.150% 1.3684% 10/20/28 (a)(b)(c) 680,000 678,390 
GreatAmerica Leasing Receivables Funding LLC 2.6% 6/15/21 (a) 12,950 12,960 
Hardee's Funding LLC / Carl's Jr. Funding LLC Series 2018-1A Class AI, 4.25% 6/20/48 (a) 924,278 925,276 
Hilton Grand Vacations Trust:   
Series 2017-AA:   
Class A, 2.66% 12/26/28 (a) 216,901 221,833 
Class B, 2.96% 12/26/28 (a)(b) 330,813 334,590 
Series 2020-AA Class A, 2.74% 2/25/39 (a) 567,829 591,109 
HPEFS Equipment Trust:   
Series 2020-1A Class A2, 1.73% 2/20/30 (a) 3,564,225 3,588,611 
Series 2020-2A Class A2, 0.65% 7/22/30 (a) 5,990,000 6,001,368 
Hyundai Auto Lease Securitization Trust Series 2020-A:   
Class A2, 1.9% 5/16/22 (a) 4,272,756 4,297,639 
Class A3, 1.95% 7/17/23 (a) 2,698,000 2,744,836 
Hyundai Auto Receivables Trust:   
Series 2017-A Class B, 2.38% 4/17/23 340,000 342,344 
Series 2019-A Class B, 2.94% 5/15/25 635,000 665,241 
Series 2020-A Class A3, 1.41% 11/15/24 735,000 749,422 
Series 2020-C Class A2, 0.26% 9/15/23 8,398,000 8,398,421 
John Deere Owner Trust:   
Series 2019-B Class A2, 2.28% 5/16/22 1,160,239 1,163,795 
Series 2020-A Class A2, 1.01% 1/17/23 2,476,653 2,485,086 
Series 2020-B Class A2, 0.41% 3/15/23 9,670,000 9,677,423 
KKR Finanical CLO Ltd. Series 13 Class A1R, 3 month U.S. LIBOR + 0.800% 1.0301% 1/16/28 (a)(b)(c) 1,456,228 1,445,194 
Kubota Credit Owner Trust Series 2020-1A Class A3, 1.96% 3/15/24 (a) 380,000 391,031 
Lanark Master Issuer PLC Series 2020-1A Class 1A, 2.277% 12/22/69 (a)(b) 1,768,000 1,810,220 
Madison Park Funding Ltd. Series 2015-18A Class A1R, 3 month U.S. LIBOR + 1.190% 1.3986% 10/21/30 (a)(b)(c) 1,165,000 1,161,285 
Magnetite XVI, Ltd. / Magnetite XVI, LLC Series 2015-16A Class AR, 3 month U.S. LIBOR + 0.800% 1.0178% 1/18/28 (a)(b)(c) 2,017,652 2,005,078 
Mercedes-Benz Auto Lease Trust:   
Series 2019-A Class A3, 3.1% 11/15/21 1,341,529 1,348,399 
Series 2019-B Class A3, 2% 10/17/22 8,016,000 8,123,172 
Series 2020-A Class A2, 1.82% 3/15/22 4,455,889 4,472,576 
Series 2020-B Class A2, 0.31% 2/15/23 5,200,000 5,202,068 
Mercedes-Benz Auto Receivables Trust Series 2020-1 Class A2, 0.46% 3/15/23 5,892,000 5,899,356 
MMAF Equipment Finance LLC Series 2019-B Class A2, 2.07% 10/12/22 (a) 2,030,154 2,047,387 
MVW Owner Trust:   
Series 2014-1A Class A, 2.25% 9/22/31 (a) 71,877 72,067 
Series 2015-1A Class A, 2.52% 12/20/32 (a) 176,596 177,642 
Series 2017-1A:   
Class A, 2.42% 12/20/34 (a) 531,178 544,022 
Class B, 2.75% 12/20/34 (a) 31,246 31,846 
Class C, 2.99% 12/20/34 (a) 74,990 75,842 
Navient Private Education Loan Trust:   
Series 2020-A Class A2A, 2.46% 11/15/68 (a) 840,000 874,901 
Series 2020-CA Class A2A, 2.15% 11/15/68 (a) 2,610,000 2,688,803 
Navient Private Education Refi Loan Trust:   
Series 2019-A Class A2A, 3.42% 1/15/43 (a) 2,679,779 2,802,794 
Series 2020-DA Class A, 1.69% 5/15/69 (a) 1,061,514 1,079,469 
Navient Student Loan Trust:   
Series 2017-3A Class A2, 1 month U.S. LIBOR + 0.600% 0.7501% 7/26/66 (a)(b)(c) 5,086,471 5,085,385 
Series 2017-A Class A2A, 2.88% 12/16/58 (a) 1,413,543 1,436,557 
Series 2019-2A Class A1, 1 month U.S. LIBOR + 0.270% 0.4201% 2/27/68 (a)(b)(c) 233,858 233,791 
Series 2019-CA Class A1, 2.82% 2/15/68 (a) 189,621 190,217 
Series 2019-EA:   
Class A1, 2.39% 5/15/68 (a) 385,419 387,385 
Class A2A, 2.64% 5/15/68 (a) 1,560,000 1,601,358 
Nelnet Student Loan Trust:   
Series 2005-4 Class A4, 3 month U.S. LIBOR + 0.180% 0.4054% 3/22/32 (b)(c) 691,489 652,177 
Series 2020-1A Class A, 1 month U.S. LIBOR + 0.740% 0.8901% 3/26/68 (a)(b)(c) 375,560 372,375 
Neuberger Berman CLO Ltd. Series 2017-16SA Class A, 3 month U.S. LIBOR + 0.850% 1.0869% 1/15/28 (a)(b)(c) 791,679 787,631 
Neuberger Berman CLO XIX Ltd. Series 2015-19A Class A1R2, 3 month U.S. LIBOR + 0.800% 1.0369% 7/15/27 (a)(b)(c) 296,604 295,052 
New Residential Mortgage Loan Trust Series 2019-NQM3:   
Class A1, 2.8018% 7/25/49 (a) 857,718 868,037 
Class A3, 3.0864% 7/25/49 (a) 390,725 395,290 
Nissan Auto Receivables Trust Series 2020-A Class A3, 1.38% 12/16/24 425,000 432,382 
Nissan Master Owner Trust Receivables Series 2019-A Class A, 1 month U.S. LIBOR + 0.560% 0.7009% 2/15/24 (b)(c) 1,350,000 1,355,739 
OCP CLO Ltd. Series 2014-7A Class A1RR, 3 month U.S. LIBOR + 1.120% 1.3384% 7/20/29 (a)(b)(c) 2,530,000 2,519,184 
OZLM Ltd. Series 2014-8A Class RR, 3 month U.S. LIBOR + 1.170% 1.3878% 10/17/29 (a)(b)(c) 610,198 606,674 
Palmer Square CLO Ltd. / Palmer Square CLO LLC Series 2020-2A Class A1A, 3 month U.S. LIBOR + 1.700% 1.904% 7/15/31 (a)(b)(c) 860,000 861,588 
Reese Park CLO Ltd. / Reese Park CLO LLC Series 2020-1A Class A1, 3 month U.S. LIBOR + 1.320% 0% 10/15/32 (a)(b)(c) 830,000 830,000 
Santander Drive Auto Receivables Trust:   
Series 2018-1 Class C, 2.96% 3/15/24 106,301 106,919 
Series 2018-2 Class C, 3.35% 7/17/23 255,131 257,568 
Series 2019-1 Class B, 3.21% 9/15/23 220,582 221,546 
Series 2019-2 Class B, 2.79% 1/16/24 535,000 541,270 
Series 2020-4 Class C, 1.01% 1/15/26 675,000 675,927 
Santander Retail Auto Lease Trust:   
Series 2019-A:   
Class A2, 2.72% 1/20/22 (a) 983,059 986,355 
Class B, 3.01% 5/22/23 (a) 700,000 718,010 
Series 2019-B:   
Class A2A, 2.29% 4/20/22 (a) 2,788,710 2,808,479 
Class C, 2.77% 8/21/23 (a) 690,000 709,059 
Series 2019-C:   
Class A2A, 1.89% 9/20/22 (a) 3,390,148 3,417,690 
Class B, 2.17% 11/20/23 (a) 495,000 506,068 
Class C, 2.39% 11/20/23 (a) 830,000 847,562 
Class D, 2.88% 6/20/24 (a) 870,000 888,174 
Series 2020-A:   
Class A2, 1.69% 1/20/23 (a) 8,730,981 8,821,143 
Class D, 2.52% 11/20/24 (a) 720,000 735,724 
Series 2020-B Class A2, 0.42% 11/20/23 (a) 8,856,000 8,866,819 
SBA Tower Trust:   
Series 2019, 2.836% 1/15/50 (a) 990,000 1,051,370 
1.884% 7/15/50 (a) 365,000 375,794 
3.168% 4/9/47 (a) 1,255,000 1,268,747 
SG Residential Mortgage Trust Series 2019-3 Class A2, 2.877% 9/25/59 (a) 824,192 824,148 
Sierra Receivables Funding Co. LLC:   
Series 2016-2A Class A, 2.33% 7/20/33 (a) 57,806 57,976 
Series 2019-1A Class A, 3.2% 1/20/36 (a) 249,915 258,734 
Series 2019-2A Class A, 2.59% 5/20/36 (a) 1,572,583 1,625,001 
Sierra Timeshare Receivables Funding Co. LLC Series 2017-1A Class A, 2.91% 3/20/34 (a) 351,923 358,628 
Sierra Timeshare Receivables Funding LLC:   
Series 2019-3A Class A, 2.34% 8/20/36 (a) 389,597 398,591 
Series 2020-2A Class C, 3.51% 7/20/37 (a) 534,700 551,070 
SLM Student Loan Trust:   
Series 2003-10A Class A3, 3 month U.S. LIBOR + 0.470% 0.7204% 12/15/27 (a)(b)(c) 2,182,821 2,182,404 
Series 2003-11 Class A6, 3 month U.S. LIBOR + 0.550% 0.8004% 12/15/25 (a)(b)(c) 1,261,200 1,260,434 
Series 2007-7 Class A4, 3 month U.S. LIBOR + 0.330% 0.5448% 1/25/22 (b)(c) 564,958 541,773 
Series 2008-1 Class A4, 3 month U.S. LIBOR + 0.650% 0.8648% 1/25/22 (b)(c) 1,326,467 1,274,446 
Series 2008-5 Class A4, 3 month U.S. LIBOR + 1.700% 1.9148% 7/25/23 (b)(c) 165,608 165,353 
Series 2008-9 Class A, 3 month U.S. LIBOR + 1.500% 1.7148% 4/25/23 (b)(c) 120,058 119,743 
Series 2010-1 Class A, 1 month U.S. LIBOR + 0.400% 0.5501% 3/25/25 (b)(c) 802,496 778,244 
SMB Private Education Loan Trust:   
Series 2014-A Class A3, 1 month U.S. LIBOR + 1.500% 1.6409% 4/15/32 (a)(b)(c) 1,400,000 1,414,711 
Series 2015-A Class A2B, 1 month U.S. LIBOR + 1.000% 1.1409% 6/15/27 (a)(b)(c) 152,465 152,825 
Series 2016-C Class A2B, 1 month U.S. LIBOR + 1.100% 1.2409% 9/15/34 (a)(b)(c) 881,611 882,301 
Series 2018-B Class A2B, 1 month U.S. LIBOR + 0.720% 0.8609% 1/15/37 (a)(b)(c) 1,600,907 1,599,496 
Series 2020-BA Class A1A, 1.29% 7/15/53 (a) 537,603 539,094 
Series 2020-PTB Class A2A, 1.6% 9/15/54 (a) 2,750,000 2,764,144 
SoFi Consumer Loan Program Trust Series 2019-4 Class A, 2.45% 8/25/28 (a) 1,695,385 1,713,861 
Synchrony Credit Card Master Note Trust Series 2018-1 Class C, 3.36% 3/15/24 955,000 960,994 
Tesla Series 2020-A:   
Class A2, 0.55% 5/22/23 (a) 2,221,000 2,224,888 
Class A3, 0.68% 12/20/23 (a) 2,527,000 2,540,623 
Tesla Auto Lease Trust Series 2019-A Class A2, 2.13% 4/20/22 (a) 5,017,583 5,063,283 
Towd Point Mortgage Trust:   
Series 2017-1 Class A1, 2.75% 10/25/56 (a)(b) 453,949 465,196 
Series 2017-4 Class A1, 2.75% 6/25/57 (a) 245,581 254,269 
Series 2019-1 Class A1, 3.7236% 3/25/58 (a)(b) 914,514 981,203 
Toyota Auto Receivables Owner Trust Series 2020-C Class A3, 0.44% 10/15/24 9,912,000 9,942,350 
Verizon Owner Trust:   
Series 2017-3A:   
Class A1A, 2.06% 4/20/22 (a) 28,097 28,126 
Class C, 2.53% 4/20/22 (a) 700,000 701,946 
Series 2018-1A:   
Class A1B, 1 month U.S. LIBOR + 0.260% 0.4114% 9/20/22 (a)(b)(c) 1,872,313 1,872,904 
Class C, 3.2% 9/20/22 (a) 970,000 985,342 
Series 2018-A:   
Class A1A, 3.23% 4/20/23 4,551,672 4,610,177 
Class A1B, 1 month U.S. LIBOR + 0.240% 0.3865% 4/20/23 (b)(c) 3,547,679 3,550,551 
Series 2020-A Class A1A, 1.85% 7/22/24 4,951,000 5,072,333 
Volkswagen Auto Lease Trust:   
Series 2019-A:   
Class A2A, 2% 3/21/22 5,081,504 5,110,457 
Class A3, 1.99% 11/21/22 2,795,000 2,838,736 
Series 2020-A Class A2, 0.27% 4/20/23 10,000,000 9,999,334 
Volkswagen Auto Loan Enhanced Trust Series 2020-1 Class A4, 1.26% 8/20/26 545,000 557,291 
Volvo Financial Equipment LLC:   
Series 2019-1A Class A2, 2.9% 11/15/21 (a) 223,753 223,985 
Series 2019-2A Class A3, 2.04% 11/15/23 (a) 2,435,000 2,483,599 
Volvo Financial Equipment Master Owner Trust Series 2018-A Class A, 1 month U.S. LIBOR + 0.520% 0.6609% 7/17/23 (a)(b)(c) 5,080,000 5,087,978 
World Omni Auto Receivables Trust:   
Series 2019-C Class C, 2.4% 6/15/26 895,000 924,850 
Series 2020-A:   
Class A2A, 1.02% 6/15/23 3,321,785 3,333,877 
Class C, 1.64% 8/17/26 480,000 489,480 
Series 2020-C Class A2, 0.35% 12/15/23 5,000,000 5,003,707 
World Omni Automobile Lease Securitization Trust:   
Series 2019-A Class A3, 2.94% 5/16/22 2,284,000 2,310,344 
Series 2019-B Class A3, 2.03% 11/15/22 2,480,000 2,524,652 
Series 2020-A Class A2, 1.71% 11/15/22 9,267,561 9,355,312 
Series 2020-B Class A2, 0.32% 9/15/23 4,533,000 4,533,462 
World Omni Select Auto Trust:   
Series 2019-A Class A2A, 2.06% 8/15/23 2,271,127 2,284,201 
Series 2020-A:   
Class B, 0.84% 6/15/26 510,000 511,197 
Class C, 1.25% 10/15/26 585,000 587,209 
TOTAL ASSET-BACKED SECURITIES   
(Cost $434,192,559)  436,792,369 
Collateralized Mortgage Obligations - 1.1%   
Private Sponsor - 0.9%   
Angel Oak Mortgage Trust:   
sequential payer:   
Series 2019-4 Class A3, 3.301% 7/26/49 (a) 757,354 765,486 
Series 2020-6 Class A1, 1.261% 5/25/65 (a) 764,803 764,648 
Series 2019-2 Class M1, 4.065% 3/25/49 (a) 545,000 559,226 
Angel Oak Mortgage Trust LLC sequential payer Series 2020-3 Class A1, 1.691% 4/25/65 (a) 787,098 794,284 
Citigroup Mortgage Loan Trust Series 2020-EXP2 Class A3, 2.5% 8/25/50 (a) 603,057 621,031 
COLT Funding LLC sequential payer Series 2019-2 Class A1, 3.337% 5/25/49 (a) 279,891 282,797 
COLT Mortgage Loan Trust sequential payer Series 2020-3 Class A1, 1.506% 4/27/65 (a) 488,999 486,545 
Deephaven Residential Mortgage Trust:   
sequential payer Series 2020-2 Class A1, 1.692% 5/25/65 (a) 957,768 963,160 
Series 2017-1A Class A3, 3.485% 12/26/46 (a)(b) 28,594 28,769 
Series 2017-3A:   
Class A1, 2.577% 10/25/47 (a)(b) 132,982 133,890 
Class A2, 2.711% 10/25/47 (a)(b) 11,082 11,112 
Class A3, 2.813% 10/25/47 (a)(b) 10,554 10,530 
Series 2018-1A Class A1, 2.976% 12/25/57 (a)(b) 159,174 160,186 
Series 2018-2A Class A1, 3.479% 4/25/58 (a) 357,874 362,211 
Series 2018-3A Class A3, 3.963% 8/25/58 (a) 36,841 37,280 
Series 2019-1A Class A1, 3.743% 1/25/59 (a) 443,063 450,387 
Series 2019-2A:   
Class A3, 3.763% 4/25/59 (a) 378,561 382,490 
Class M1, 3.921% 4/25/59 (a) 380,000 386,929 
Ellington Financial Mortgage Trust Series 2020-1 Class A1, 2.006% 5/25/65 (a) 340,815 342,956 
Flagstar Mortgage Trust floater sequential payer Series 2020-1INV Class A11, 1 month U.S. LIBOR + 0.850% 0.9993% 3/25/50 (a)(b)(c) 603,168 601,785 
Freddie Mac STACR REMIC Trust floater:   
Series 2020-DNA2 Class M1, 1 month U.S. LIBOR + 0.750% 0.8993% 2/25/50 (a)(b)(c) 312,777 312,133 
Series 2020-HQA1 Class M1, 1 month U.S. LIBOR + 0.750% 0.9001% 1/25/50 (a)(b)(c) 190,940 190,807 
Series 2020-HQA2 Class M1, 1 month U.S. LIBOR + 1.100% 1.2501% 3/25/50 (a)(b)(c) 516,157 515,937 
Series 2020-HQA3 Class M1, 1 month U.S. LIBOR + 1.550% 1.6993% 7/25/50 (a)(b)(c) 470,000 470,181 
Series 2020-HQA4 Class M1, 1 month U.S. LIBOR + 1.300% 1.4501% 9/25/50 (a)(b)(c) 1,140,000 1,140,000 
Series 2020-HQA5 Class M1, UNITED STATES 30 DAY AVERAGE S + 1.100% 1.191% 11/25/50 (a)(b)(c) 530,000 530,005 
Freddie Mac STACR Trust floater:   
Series 2018-DNA2:   
Class M1, 1 month U.S. LIBOR + 0.800% 0.9493% 12/25/30 (a)(b)(c) 232,179 232,133 
Class M2A/S, 1 month U.S. LIBOR + 0.950% 1.0993% 12/25/30 (a)(b)(c) 450,000 448,118 
Series 2018-HRP2 Class M2, 1 month U.S. LIBOR + 1.250% 1.4001% 2/25/47 (a)(b)(c) 466,141 462,163 
Series 2019-HRP1 Class M2, 1 month U.S. LIBOR + 1.400% 1.5493% 2/25/49 (a)(b)(c) 628,406 606,572 
Series 2020-DNA3 Class M1, 1 month U.S. LIBOR + 1.500% 1.6493% 6/25/50 (a)(b)(c) 293,367 293,664 
FWD Securitization Trust sequential payer Series 2020-INV1 Class A1, 2.24% 1/25/50 (a) 1,465,409 1,495,804 
Galton Funding Mortgage Trust:   
sequential payer:   
Series 2019-H1 Class M1, 3.339% 10/25/59 (a) 600,000 598,862 
Series 2020-H1 Class M1, 2.832% 1/25/60 (a) 625,000 598,140 
Series 2020-H1 Class A1, 2.31% 1/25/60 (a) 525,098 535,138 
GMRF Mortgage Acquisition Co., LLC:   
Series 2018-1 Class A33, 3.5% 11/25/57 (a) 337,911 345,450 
Series 2019-1 Class A32, 4% 2/25/59 (a) 251,916 253,577 
Series 2019-2 Class A42, 3.5% 6/25/59 (a) 542,290 539,789 
Gosforth Funding PLC floater Series 2018-1A Class A1, 3 month U.S. LIBOR + 0.450% 0.6565% 8/25/60 (a)(b)(c) 999,058 999,084 
GS Mortgage-Backed Securites Trust Series 2014-EB1A Class 2A1, 2.3964% 7/25/44 (a)(b) 25,934 25,893 
Holmes Master Issuer PLC floater Series 2018-2A Class A2, 3 month U.S. LIBOR + 0.420% 0.6569% 10/15/54 (a)(b)(c) 839,530 839,648 
Homeward Opportunities Fund I Trust sequential payer:   
Series 2019-1:   
Class A1, 3.454% 1/25/59 (a) 685,643 709,930 
Class A3, 3.606% 1/25/59 (a) 554,975 561,455 
Series 2019-3 Class A1, 2.675% 11/25/59 (a) 764,023 778,473 
Homeward Opportunities Fund Trust sequential payer:   
Series 2018-1:   
Class A1, 3.766% 6/25/48 (a) 379,048 395,023 
Class A2, 3.897% 6/25/48 (a) 365,337 377,709 
Series 2020-2 Class A1, 1.657% 5/25/65 (a)(b) 676,867 681,194 
J.P. Morgan Mortgage Trust:   
sequential payer Series 2020-LTV1 Class A4, 3.5% 6/25/50 (a) 1,182,979 1,204,051 
Series 2020-INV1 Class A15, 3.5% 8/25/50 (a) 595,590 611,968 
Lanark Master Issuer PLC floater Series 2019-1A Class 1A1, 3 month U.S. LIBOR + 0.770% 1.0261% 12/22/69 (a)(b)(c) 945,567 948,467 
Metlife Securitization Trust Series 2017-1A Class A, 3% 4/25/55 (a) 349,553 364,653 
Mill City Mortgage Loan Trust:   
Series 2016-1 Class A1, 2.5% 4/25/57 (a) 64,051 64,846 
Series 2017-2 Class A1, 2.75% 7/25/59 (a) 381,633 388,500 
New Residential Mortgage Loan Trust sequential payer:   
Series 2019-NQM5 Class A1, 2.7099% 11/25/59 (a) 1,014,033 1,035,502 
Series 2020-NQM1 Class A1, 2.4641% 1/26/60 (a) 634,493 645,352 
OBX Trust:   
floater Series 2020-EXP1 Class 2A2, 1 month U.S. LIBOR + 0.950% 1.1001% 2/25/60 (a)(b)(c) 795,859 797,104 
Series 2020-EXP1 Class 1A8, 3.5% 2/25/60 (a)(b) 868,530 885,554 
Series 2020-EXP2:   
Class A8, 3% 5/25/60 (a) 1,329,805 1,364,688 
Class A9, 3% 5/25/60 (a) 327,141 333,711 
Series 2020-INV1 Class A5, 3.5% 12/25/49 (a) 370,453 384,529 
Onslow Bay Financial LLC:   
floater Series 2019-EXP2 Class 2A2, 1 month U.S. LIBOR + 1.200% 1.3501% 6/25/59 (a)(b)(c) 825,397 830,145 
floater sequential payer Series 2019-EXP2 Class 2A1A, 1 month U.S. LIBOR + 0.900% 1.0501% 6/25/59 (a)(b)(c) 407,165 407,219 
Permanent Master Issuer PLC floater Series-1A Class 1A1, 3 month U.S. LIBOR + 0.550% 0.7869% 7/15/58 (a)(b)(c) 896,000 896,798 
Sequoia Mortgage Trust:   
sequential payer:   
Series 2018-CH1 Class A11, 3.5% 2/25/48 (a) 298,726 301,035 
Series 2018-CH2 Class A3, 4% 6/25/48 (a) 718,976 739,220 
Series 2018-CH2 Class A21, 4% 6/25/48 (a) 320,834 330,790 
Series 2018-CH3 Class A19, 4.5% 8/25/48 (a) 147,098 152,160 
Series 2018-CH4 Class A2, 4% 10/25/48 (a) 231,394 236,164 
Silverstone Master Issuer PLC floater Series 2019-1A Class 1A, 3 month U.S. LIBOR + 0.570% 0.7786% 1/21/70 (a)(b)(c) 3,610,800 3,618,433 
Starvest Emerging Markets Cbo sequential payer Series 2019-IMC1 Class A1, 3.468% 2/25/49 (a) 355,208 359,856 
Starwood Mortgage Residential Trust:   
sequential payer Series 2019-INV1:   
Class A1, 2.61% 9/27/49 (a) 132,000 134,072 
Class A3, 2.916% 9/27/49 (a) 388,376 396,295 
Series 2019-1:   
Class A1, 2.941% 6/25/49 (a) 626,675 640,354 
Class A3, 3.299% 6/25/49 (a) 555,402 558,473 
Series 2020-1 Class A2, 2.408% 2/25/50 (a) 467,069 470,871 
Towd Point Mortgage Trust:   
Series 2015-4 Class A1B, 2.75% 4/25/55 (a) 99,601 100,006 
Series 2015-5 Class A1B, 2.75% 5/25/55 (a) 123,101 123,628 
Series 2016-1:   
Class A1B, 2.75% 2/25/55 (a) 82,697 83,832 
Class A3B, 3% 2/25/55 (a) 150,530 154,107 
Series 2016-2 Class A1A, 2.75% 8/25/55 (a) 139,843 142,685 
Series 2016-3 Class A1, 2.25% 4/25/56 (a) 30,750 31,016 
Series 2017-2 Class A1, 2.75% 4/25/57 (a)(b) 296,636 303,490 
Series 2017-3 Class A1, 2.75% 7/25/57 (a)(b) 669,424 687,629 
Verus Securitization Trust:   
sequential payer:   
Series 2018-3 Class A1, 4.108% 10/25/58 (a) 565,238 585,948 
Series 2019-1 Class A1, 3.836% 2/25/59 (a) 605,029 612,407 
Series 2019-2 Class A1, 3.211% 5/25/59 (a) 511,109 518,385 
Series 2019-INV3 Class A3, 3.1% 11/25/59 (a) 706,301 727,265 
Series 2020-1 Class A3, 2.724% 1/25/60 (a) 669,609 679,094 
Series 2020-2 Class A1, 2.226% 5/25/60 (a) 2,165,759 2,193,851 
Series 2020-INV1 Class A1, 1.977% 3/25/60 (a) 219,898 220,834 
Series 2018-2:   
Class A1, 3.677% 6/1/58 (a) 453,396 457,755 
Class A2, 3.779% 6/1/58 (a) 167,301 168,081 
Class A3, 3.83% 6/1/58 (a) 105,423 105,827 
Series 2019-3 Class A3, 3.04% 7/25/59 (a) 1,132,737 1,141,724 
Series 2019-INV1:   
Class A1, 3.402% 12/25/59 (a)(b) 413,977 432,971 
Class M1, 4.034% 12/25/59 (a) 195,000 201,312 
Series 2019-INV2 Class A2, 3.117% 7/25/59 (a) 854,285 876,959 
Series 2020-5 Class A3, 1.733% 5/25/65 (a) 438,405 438,540 
Vista Point Securitization Trust sequential payer Series 2020-2 Class A3, 2.496% 4/25/65 (a) 404,656 404,437 
TOTAL PRIVATE SPONSOR  53,575,177 
U.S. Government Agency - 0.2%   
Fannie Mae:   
Series 2017-90 Class KA, 3% 11/25/47 798,998 854,264 
Series 2018-44 Class PC, 4% 6/25/44 643,151 654,000 
Fannie Mae Connecticut Avenue Securities floater:   
Series 2017-C02 Class 2ED3, 1 month U.S. LIBOR + 1.350% 1.5001% 9/25/29 (b)(c) 941,886 919,340 
Series 2017-C04 Class 2ED2, 1 month U.S. LIBOR + 1.100% 1.2501% 11/25/29 (b)(c) 1,373,341 1,341,451 
Series 2017-C05 Class 1ED3, 1 month U.S. LIBOR + 1.200% 1.3501% 1/25/30 (b)(c) 583,910 574,606 
Series 2018-C01 Class 1ED2, 1 month U.S. LIBOR + 0.850% 1.0001% 7/25/30 (b)(c) 921,428 904,832 
FHLMC Structured Agency Credit Risk Debt Notes floater:   
Series 2014-DN3 Class M3, 1 month U.S. LIBOR + 4.000% 4.1501% 8/25/24 (b)(c) 384,734 392,030 
Series 2015-DNA3 Class M3, 1 month U.S. LIBOR + 4.700% 4.8493% 4/25/28 (b)(c) 1,315,162 1,369,070 
Series 2016-DNA2 Class M3, 1 month U.S. LIBOR + 4.650% 4.7993% 10/25/28 (b)(c) 751,847 779,723 
Series 2017-DNA2 Class M1, 1 month U.S. LIBOR + 1.200% 1.3493% 10/25/29 (b)(c) 242,483 242,604 
Series 2017-DNA3 Class M1, 1 month U.S. LIBOR + 0.750% 0.8993% 3/25/30 (b)(c) 117,931 117,864 
Freddie Mac:   
planned amortization class Series 3713 Class PA, 2% 2/15/40 464,857 475,300 
Series 4448 Class JA, 4% 11/15/36 26,487 26,642 
Freddie Mac STACR Trust floater:   
Series 18-HQA2 Class M1, 1 month U.S. LIBOR + 0.750% 0.9001% 10/25/48 (a)(b)(c) 64,207 64,115 
Series 2018-DNA3:   
Class M1, 1 month U.S. LIBOR + 0.750% 0.9001% 9/25/48 (a)(b)(c) 1,831 1,831 
Class M2A/S, 1 month U.S. LIBOR + 0.900% 1.0501% 9/25/48 (a)(b)(c) 600,000 595,277 
Freddie Mac Whole Loan Securities Trust:   
Series 2016-SC02 Class M1, 3.6052% 10/25/46 (b) 713,221 706,452 
Series 2017-SC02 Class M1, 3.8231% 5/25/47 (a)(b) 73,251 72,850 
TOTAL U.S. GOVERNMENT AGENCY  10,092,251 
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS   
(Cost $63,242,857)  63,667,428 
Commercial Mortgage Securities - 1.5%   
Americold Realty Trust floater Series 2020-ICE5 Class B, 1.4409% 11/15/37 (a)(b) 1,735,000 1,734,999 
Atrium Hotel Portfolio Trust floater Series 2017-ATRM Class A 1 month U.S. LIBOR + 0.930% 1.0709% 12/15/36 (a)(b)(c) 1,395,000 1,332,090 
Austin Fairmont Hotel Trust floater Series 2019-FAIR Class A, 1 month U.S. LIBOR + 1.050% 1.1909% 9/15/32 (a)(b)(c) 615,000 599,593 
Banc of America Merrill Lynch Large Loan, Inc. floater Series 2018-DSNY Class A, 1 month U.S. LIBOR + 0.850% 0.9909% 9/15/34 (a)(b)(c) 970,000 949,253 
BANK Series 2019-BN19 Class A1, 2.263% 8/15/61 437,028 447,326 
BX Commercial Mortgage Trust:   
floater Series 2020-BXLP:   
Class C, 1 month U.S. LIBOR + 1.120% 1.2609% 12/15/36 (a)(b)(c) 794,273 789,338 
Class D, 1 month U.S. LIBOR + 1.250% 1.3909% 12/15/36 (a)(b)(c) 759,305 749,337 
floater sequential payer Series 2020-BXLP Class A, 1 month U.S. LIBOR + 0.800% 0.9409% 12/15/36 (a)(b)(c) 2,330,867 2,328,067 
BX Trust:   
floater Series 2019-XL Class B, 1 month U.S. LIBOR + 1.080% 1.2209% 10/15/36 (a)(b)(c) 427,184 426,381 
floater, sequential payer:   
Series 2019-IMC Class A, 1 month U.S. LIBOR + 1.000% 1.1409% 4/15/34 (a)(b)(c) 2,135,000 2,068,231 
Series 2019-XL Class A, 1 month U.S. LIBOR + 0.920% 1.0609% 10/15/36 (a)(b)(c) 5,211,645 5,211,644 
CGDB Commercial Mortgage Trust floater Series 2019-MOB:   
Class A, 1 month U.S. LIBOR + 0.950% 1.0909% 11/15/36 (a)(b)(c) 1,033,000 1,025,883 
Class D, 1 month U.S. LIBOR + 1.650% 1.7909% 11/15/36 (a)(b)(c) 1,545,000 1,487,915 
CGDBB Commercial Mortgage Trust floater Series 2017-BIOC Class A, 1 month U.S. LIBOR + 0.790% 0.9309% 7/15/32 (a)(b)(c) 3,713,554 3,712,434 
CHC Commercial Mortgage Trust floater Series 2019-CHC Class A, 1 month U.S. LIBOR + 1.120% 1.2609% 6/15/34 (a)(b)(c) 3,726,918 3,565,592 
Citigroup Commercial Mortgage Trust:   
sequential payer Series 2012-GC8 Class A/S, 3.683% 9/10/45 (a) 2,157,000 2,230,030 
Series 2013-375P Class C, 3.6348% 5/10/35 (a)(b) 560,000 565,286 
COMM Mortgage Trust:   
sequential payer Series 2013-300P Class A1, 4.353% 8/10/30 (a) 620,000 660,170 
Series 2014-CR15 Class B, 4.8412% 2/10/47 (b) 920,000 1,008,883 
Series 2014-UBS2 Class B, 4.701% 3/10/47 520,000 556,889 
Series 2020-CMB Class D, 3.7538% 2/10/37 (a)(b) 560,000 532,347 
Credit Suisse Mortgage Trust:   
floater Series 2019-ICE4:   
Class A, 1 month U.S. LIBOR + 0.980% 1.1209% 5/15/36 (a)(b)(c) 5,485,000 5,486,710 
Class C, 1 month U.S. LIBOR + 1.430% 1.5709% 5/15/36 (a)(b)(c) 1,015,000 1,013,072 
Class D, 1 month U.S. LIBOR + 1.600% 1.7409% 5/15/36 (a)(b)(c) 780,000 774,137 
sequential payer Series 2020-NET Class A, 2.2569% 8/15/37 (a) 455,000 469,340 
Series 2020-NET Class D, 3.8277% 8/15/37 (a)(b) 985,000 983,490 
CSAIL Commercial Mortgage Trust:   
sequential payer Series 2015-C3 Class A4, 3.7182% 8/15/48 670,000 740,997 
Series 2019-C16 Class A1, 2.3595% 6/15/52 527,163 539,843 
CSMC Trust Series 2017-CHOP Class A, 1 month U.S. LIBOR + 0.750% 0.8909% 7/15/32 (a)(b)(c) 4,189,000 4,083,699 
Great Wolf Trust floater Series 2019-WOLF:   
Class A, 1 month U.S. LIBOR + 1.030% 1.1749% 12/15/36 (a)(b)(c) 1,906,000 1,846,409 
Class C, 1 month U.S. LIBOR + 1.630% 1.7739% 12/15/36 (a)(b)(c) 600,000 554,191 
Intown Hotel Portfolio Trust Series 2018-STAY:   
Class A, 1 month U.S. LIBOR + 0.700% 0.8409% 1/15/33 (a)(b)(c) 245,000 242,842 
Class C, 1 month U.S. LIBOR + 1.250% 1.3909% 1/15/33 (a)(b)(c) 205,000 199,604 
J.P. Morgan Chase Commercial Mortgage Securities Trust floater Series 2020-609M:   
Class B, 1 month U.S. LIBOR + 1.770% 1.9109% 10/15/33 (a)(b)(c) 995,000 993,797 
Class C, 1 month U.S. LIBOR + 2.170% 2.3109% 10/15/33 (a)(b)(c) 805,000 804,025 
JPMorgan Chase Commercial Mortgage Securities Trust:   
floater:   
Series 2018-GW Class A, 1 month U.S. LIBOR + 0.800% 0.9409% 5/15/35 (a)(b)(c) 2,440,000 2,369,701 
Series 2019-BKWD:   
Class A, 1 month U.S. LIBOR + 1.000% 1.1409% 9/15/29 (a)(b)(c) 1,911,000 1,877,458 
Class B, 1 month U.S. LIBOR + 1.350% 1.4909% 9/15/29 (a)(b)(c) 1,830,000 1,774,961 
Class C, 1 month U.S. LIBOR + 1.600% 1.7409% 9/15/29 (a)(b)(c) 575,000 551,943 
sequential payer Series 2014-C20 Class A3A1, 3.4718% 7/15/47 1,713,932 1,726,604 
Series 2013-C13 Class A4, 3.9936% 1/15/46 (b) 2,583,966 2,770,463 
Merit floater Series 2020-HILL:   
Class A, 1 month U.S. LIBOR + 1.150% 1.2909% 8/15/37 (a)(b)(c) 576,000 576,722 
Class B, 1 month U.S. LIBOR + 1.400% 1.5409% 8/15/37 (a)(b)(c) 455,000 455,730 
Class C, 1 month U.S. LIBOR + 1.700% 1.8409% 8/15/37 (a)(b)(c) 410,000 410,780 
Class D, 1 month U.S. LIBOR + 2.350% 2.4909% 8/15/37 (a)(b)(c) 550,000 551,378 
Morgan Stanley BAML Trust:   
Series 2014-C18 Class A/S, 4.11% 10/15/47 370,000 400,480 
Series 2016-C30 Class A1, 1.389% 9/15/49 56,820 56,866 
Morgan Stanley Capital I Trust:   
floater Series 2018-BOP Class A, 1 month U.S. LIBOR + 0.850% 0.9909% 8/15/33 (a)(b)(c) 5,578,279 5,413,549 
sequential payer Series 2014-150E Class A, 3.912% 9/9/32 (a) 1,325,000 1,410,467 
Series 2011-C3 Class AJ, 5.4191% 7/15/49 (a)(b) 2,264,000 2,305,598 
Series 2019-MEAD Class D, 3.283% 11/10/36 (a)(b) 1,150,000 957,141 
New Orleans Hotel Trust floater Series 2019-HNLA Class B, 1 month U.S. LIBOR + 1.289% 1.4296% 4/15/32 (a)(b)(c) 1,585,000 1,473,632 
Slide floater Series 2018-FUN Class D, 1 month U.S. LIBOR + 1.850% 1.9909% 6/15/31 (a)(b)(c) 778,428 717,903 
UBS-Barclays Commercial Mortgage Trust floater Series 2013-C6 Class A3, 1 month U.S. LIBOR + 0.790% 0.9314% 4/10/46 (a)(b)(c) 3,020,457 3,018,518 
Vista Point Securitization Trust sequential payer Series 2020-1 Class A1, 1.763% 3/25/65 (a) 579,485 583,836 
Wells Fargo Commercial Mortgage Trust Series 2015-NXS2 Class A2, 3.02% 7/15/58 332,927 338,327 
WF-RBS Commercial Mortgage Trust:   
floater Series 2013-C14 Class A3, 1 month U.S. LIBOR + 0.720% 0.8635% 6/15/46 (a)(b)(c) 2,846,183 2,845,123 
Series 2012-C6 Class B, 4.697% 4/15/45 760,000 782,526 
TOTAL COMMERCIAL MORTGAGE SECURITIES   
(Cost $85,287,002)  84,083,550 
Municipal Securities - 0.1%   
Chicago Transit Auth. Series 2020 B:   
1.708% 12/1/22 $40,000 $40,293 
1.838% 12/1/23 35,000 35,406 
2.064% 12/1/24 105,000 106,743 
Connecticut Gen. Oblig. Series A:   
1.998% 7/1/24 285,000 298,059 
2% 7/1/23 115,000 119,119 
2.098% 7/1/25 190,000 200,999 
Dallas Fort Worth Int'l. Arpt. Rev. Series 2020 C, 1.329% 11/1/25 245,000 246,566 
Houston Arpt. Sys. Rev. Series 2020 C:   
0.883% 7/1/22 70,000 70,035 
1.054% 7/1/23 120,000 120,198 
1.272% 7/1/24 400,000 401,708 
Illinois Gen. Oblig. Series 2020 A, 2.25% 10/1/22 1,640,000 1,605,363 
Long Island Pwr. Auth. Elec. Sys. Rev. Series 2020 C, 0.764% 3/1/23 360,000 358,718 
Port Auth. of New York & New Jersey Series AAA, 1.086% 7/1/23 1,405,000 1,421,045 
TOTAL MUNICIPAL SECURITIES   
(Cost $5,010,583)  5,024,252 
Bank Notes - 0.4%   
Citibank NA 2.844% 5/20/22 (b) 1,485,000 1,502,663 
Discover Bank 3.2% 8/9/21 1,050,000 1,068,151 
First Republic Bank 1.912% 2/12/24 (b) 2,031,000 2,091,714 
KeyBank NA 2.3% 9/14/22 355,000 367,577 
PNC Bank NA 2.95% 1/30/23 695,000 729,761 
RBS Citizens NA:   
2.55% 5/13/21 1,320,000 1,330,784 
3.25% 2/14/22 1,015,000 1,047,662 
Synchrony Bank 3.65% 5/24/21 3,082,000 3,120,287 
Truist Bank 1.25% 3/9/23 9,650,000 9,835,699 
TOTAL BANK NOTES   
(Cost $20,715,230)  21,094,298 
Certificates of Deposit - 0.1%   
Sumitomo Mitsui Banking Corp. yankee 0.27% 5/10/21   
(Cost $6,000,000) 6,000,000 6,000,347 
Commercial Paper - 0.3%   
Conagra Brands, Inc. 0% 4/3/21 3,355,000 3,347,270 
Svenska Handelsbanken AB 3 month U.S. LIBOR + 0.090% 0.3084% 7/20/21 (b)(c) 8,000,000 8,003,558 
TransCanada PipeLines Ltd. 0.25% 12/15/20 4,300,000 4,299,696 
TOTAL COMMERCIAL PAPER   
(Cost $15,643,974)  15,650,524 
 Shares Value 
Short-Term Funds - 52.0%   
Short-Term Funds - 52.0%   
Baird Short-Term Bond Fund - Institutional Class 14,943,440 $149,135,528 
Baird Ultra Short Bond Fund Institutional Class 33,588,312 338,906,072 
BlackRock Low Duration Bond Portfolio Investor A Shares 25,493,332 248,559,985 
Fidelity SAI Short-Term Bond Fund (f) 23,419,908 234,433,279 
iShares Short Maturity Bond ETF (g) 4,226,791 212,100,372 
iShares Short Treasury Bond ETF 1,120,350 123,989,135 
iShares Ultra Short-Term Bond ETF 1,646,060 83,208,333 
JPMorgan Ultra-Short Income ETF 3,518,801 178,719,903 
Metropolitan West Low Duration Bond Fund - Class M 17,949,172 159,747,633 
PIMCO Enhanced Low Duration Active ETF 502,985 51,309,500 
PIMCO Enhanced Short Maturity Active ETF (g) 2,918,935 297,760,559 
PIMCO Short-Term Fund Institutional Class 71,610,278 706,077,326 
Prudential Short-Term Corporate Bond Fund, Inc. Class A 1,793,311 20,407,884 
T. Rowe Price Ultra Short-Term Bond Fund 14,767,487 75,166,511 
TOTAL SHORT-TERM FUNDS   
(Cost $2,840,899,008)  2,879,522,020 
Money Market Funds - 13.6%   
Fidelity Cash Central Fund 0.09%(h) 87,445,934 87,463,423 
Fidelity Investments Money Market Government Portfolio Institutional Class 0.01% (f)(i) 430,453,231 430,453,231 
Fidelity Securities Lending Cash Central Fund 0.09% (h)(j) 228,723,916 228,746,789 
State Street Institutional U.S. Government Money Market Fund Premier Class .02% (i) 7,447,474 7,447,474 
TOTAL MONEY MARKET FUNDS   
(Cost $754,105,943)  754,110,917 
TOTAL INVESTMENT IN SECURITIES - 104.3%   
(Cost $5,723,122,385)  5,781,511,919 
NET OTHER ASSETS (LIABILITIES) - (4.3)%  (240,539,198) 
NET ASSETS - 100%  $5,540,972,721 

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) 489 March 2021 $107,996,414 $40,883 $40,883 
Sold      
Treasury Contracts      
CBOT 10-Year U.S. Treasury Note Contracts (United States) 162 March 2021 22,383,844 (11,620) (11,620) 
CBOT 5-Year U.S. Treasury Note Contracts (United States) 211 March 2021 26,592,594 (26,036) (26,036) 
TOTAL FUTURES CONTRACTS     $3,227 

The notional amount of futures purchased as a percentage of Net Assets is 1.9%

The notional amount of futures sold as a percentage of Net Assets is 0.9%

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 $617,997,090 or 11.2% 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 $350,950.

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

 (f) Affiliated Fund

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

 (h) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.

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

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

Affiliated Central Funds

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

Fund Income earned 
Fidelity Cash Central Fund $83,369 
Fidelity Securities Lending Cash Central Fund 121,613 
Total $204,982 

Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations, if applicable. Amount for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.

Affiliated Underlying Funds

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

Affiliate Value, beginning of period Purchases(a) Sales Proceeds(a) Dividend Income Realized Gain (loss) Change in Unrealized appreciation (depreciation) Value, end of period 
Fidelity Conservative Income Bond Fund Institutional Class $38,648,696 $49,958 $38,814,165 $53,671 $127,290 $(11,779) $-- 
Fidelity Floating Rate High Income Fund 58,035,797 283,180 58,957,982 283,495 (3,777,578) 4,416,583 -- 
Fidelity Investments Money Market Government Portfolio Institutional Class 0.01% 82,618,947 2,955,977,647 2,608,143,363 73,768 -- -- 430,453,231 
Fidelity SAI Short-Term Bond Fund -- 258,940,087 25,000,000 160,179 25,000 468,192 234,433,279 
Fidelity Short-Term Bond Fund 419,380,785 2,691,803 424,000,435 2,968,008 15,690,781 (13,762,934) -- 
Total $598,684,225 $3,217,942,675 $3,154,915,945 $3,539,121 $12,065,493 $(8,889,938) $664,886,510 

 (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 November 30, 2020, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.

 Valuation Inputs at Reporting Date: 
Description Total Level 1 Level 2 Level 3 
Investments in Securities:     
Corporate Bonds $1,352,752,705 $-- $1,352,752,705 $-- 
U.S. Government and Government Agency Obligations 139,144,965 -- 139,144,965 -- 
U.S. Government Agency - Mortgage Securities 23,668,544 -- 23,668,544 -- 
Asset-Backed Securities 436,792,369 -- 436,792,369 -- 
Collateralized Mortgage Obligations 63,667,428 -- 63,667,428 -- 
Commercial Mortgage Securities 84,083,550 -- 84,083,550 -- 
Municipal Securities 5,024,252 -- 5,024,252 -- 
Bank Notes 21,094,298 -- 21,094,298 -- 
Certificates of Deposit 6,000,347 -- 6,000,347 -- 
Commercial Paper 15,650,524 -- 15,650,524 -- 
Short-Term Funds 2,879,522,020 2,879,522,020 -- -- 
Money Market Funds 754,110,917 754,110,917 -- -- 
Total Investments in Securities: $5,781,511,919 $3,633,632,937 $2,147,878,982 $-- 
Derivative Instruments:     
Assets     
Futures Contracts $40,883 $40,883 $-- $-- 
Total Assets $40,883 $40,883 $-- $-- 
Liabilities     
Futures Contracts $(37,656) $(37,656) $-- $-- 
Total Liabilities $(37,656) $(37,656) $-- $-- 
Total Derivative Instruments: $3,227 $3,227 $-- $-- 

Value of Derivative Instruments

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of November 30, 2020. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.

Primary Risk Exposure / Derivative Type Value 
 Asset Liability 
Interest Rate Risk   
Futures Contracts(a) $40,883 $(37,656) 
Total Interest Rate Risk 40,883 (37,656) 
Total Value of Derivatives $40,883 $(37,656) 

 (a) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).

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


Financial Statements

Statement of Assets and Liabilities

  November 30, 2020 (Unaudited) 
Assets   
Investment in securities, at value (including securities loaned of $223,934,972) — See accompanying schedule:
Unaffiliated issuers (cost $4,742,498,829) 		$4,800,415,197  
Fidelity Central Funds (cost $316,205,238) 316,210,212  
Other affiliated issuers (cost $664,418,318) 664,886,510  
Total Investment in Securities (cost $5,723,122,385)  $5,781,511,919 
Cash  965,246 
Receivable for securities sold on a delayed delivery basis  465,727 
Receivable for fund shares sold  9,450,795 
Interest receivable  6,821,175 
Distributions receivable from Fidelity Central Funds  35,452 
Receivable for daily variation margin on futures contracts  11,228 
Prepaid expenses  8,521 
Other receivables  112,353 
Total assets  5,799,382,416 
Liabilities   
Payable for investments purchased   
Regular delivery $22,856,324  
Delayed delivery 2,522,998  
Payable for fund shares redeemed 3,155,552  
Distributions payable 717,464  
Accrued management fee 203,000  
Other payables and accrued expenses 230,107  
Collateral on securities loaned 228,724,250  
Total liabilities  258,409,695 
Net Assets  $5,540,972,721 
Net Assets consist of:   
Paid in capital  $5,474,618,093 
Total accumulated earnings (loss)  66,354,628 
Net Assets  $5,540,972,721 
Net Asset Value, offering price and redemption price per share ($5,540,972,721 ÷ 545,280,879 shares)  $10.16 

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


Statement of Operations

  Six months ended November 30, 2020 (Unaudited) 
Investment Income   
Dividends:   
Unaffiliated issuers  $18,751,493 
Affiliated issuers  3,539,121 
Interest  19,009,423 
Income from Fidelity Central Funds (including $121,613 from security lending)  204,982 
Total income  41,505,019 
Expenses   
Management fee $9,616,136  
Custodian fees and expenses 26,827  
Independent trustees' fees and expenses 36,327  
Registration fees 64,366  
Audit 31,530  
Legal 13,946  
Miscellaneous 90,215  
Total expenses before reductions 9,879,347  
Expense reductions (8,198,488)  
Total expenses after reductions  1,680,859 
Net investment income (loss)  39,824,160 
Realized and Unrealized Gain (Loss)   
Net realized gain (loss) on:   
Investment securities:   
Unaffiliated issuers 22,636,706  
Fidelity Central Funds 17,457  
Other affiliated issuers 12,065,493  
Futures contracts (105,468)  
Total net realized gain (loss)  34,614,188 
Change in net unrealized appreciation (depreciation) on:   
Investment securities:   
Unaffiliated issuers 40,546,518  
Affiliated issuers (8,889,938)  
Futures contracts 26,736  
Total change in net unrealized appreciation (depreciation)  31,683,316 
Net gain (loss)  66,297,504 
Net increase (decrease) in net assets resulting from operations  $106,121,664 

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


Statement of Changes in Net Assets

 Six months ended November 30, 2020 (Unaudited) Year ended May 31, 2020 
Increase (Decrease) in Net Assets   
Operations   
Net investment income (loss) $39,824,160 $169,307,872 
Net realized gain (loss) 34,614,188 13,007,378 
Change in net unrealized appreciation (depreciation) 31,683,316 9,847,421 
Net increase (decrease) in net assets resulting from operations 106,121,664 192,162,671 
Distributions to shareholders (30,703,911) (168,201,353) 
Share transactions   
Proceeds from sales of shares 1,551,604,305 2,771,783,132 
Reinvestment of distributions 26,159,911 153,886,892 
Cost of shares redeemed (4,161,249,424) (2,045,344,183) 
Net increase (decrease) in net assets resulting from share transactions (2,583,485,208) 880,325,841 
Total increase (decrease) in net assets (2,508,067,455) 904,287,159 
Net Assets   
Beginning of period 8,049,040,176 7,144,753,017 
End of period $5,540,972,721 $8,049,040,176 
Other Information   
Shares   
Sold 153,235,977 277,408,378 
Issued in reinvestment of distributions 2,579,685 15,320,138 
Redeemed (410,425,113) (204,536,004) 
Net increase (decrease) (254,609,451) 88,192,512 

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


Financial Highlights

Strategic Advisers Short Duration Fund

 Six months ended (Unaudited) November 30, Years endedMay 31,     
 2020 2020 2019 2018 2017 2016 
Selected Per–Share Data       
Net asset value, beginning of period $10.06 $10.04 $10.03 $10.05 $10.01 $10.07 
Income from Investment Operations       
Net investment income (loss)A .062 .229 .254 .168 .136 .115 
Net realized and unrealized gain (loss) .085 .020 .018 (.028) .033 (.051) 
Total from investment operations .147 .249 .272 .140 .169 .064 
Distributions from net investment income (.047) (.229) (.259) (.160) (.129) (.118) 
Distributions from net realized gain – – (.003) – – (.006) 
Total distributions (.047) (.229) (.262) (.160) (.129) (.124) 
Net asset value, end of period $10.16 $10.06 $10.04 $10.03 $10.05 $10.01 
Total ReturnB,C 1.46% 2.51% 2.75% 1.40% 1.69% .64% 
Ratios to Average Net AssetsD,E       
Expenses before reductions .30%F .30% .32% .35% .36% .36% 
Expenses net of fee waivers, if any .05%F .05% .07% .10% .10% .11% 
Expenses net of all reductions .05%F .05% .07% .10% .10% .11% 
Net investment income (loss) 1.22%F 2.28% 2.54% 1.67% 1.36% 1.15% 
Supplemental Data       
Net assets, end of period (000 omitted) $5,540,973 $8,049,040 $7,144,753 $8,841,193 $9,920,937 $6,593,754 
Portfolio turnover rateG 148%F 58% 33% 25% 26% 33% 

 A Calculated based on average shares outstanding during the period.

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

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

 D Fees and expenses of any underlying 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 advisor, 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 Annualized

 G 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 (Unaudited)

For the period ended November 30, 2020

1. Organization.

Strategic Advisers Short Duration Fund (the Fund) is a fund of Fidelity Rutland Square Trust II (the Trust), and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust. The Fund is offered exclusively to certain clients of Strategic Advisers LLC (Strategic Advisers), an affiliate of Fidelity Management & Research Company LLC (FMR).

2. Significant Accounting Policies.

The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services – 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 following summarizes the significant accounting policies of the Fund:

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

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

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

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

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Corporate bonds, bank notes, municipal securities, U.S. government and government agency obligations, commercial paper and certificates of deposit are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities are valued by pricing vendors who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Exchange-Traded Funds (ETFs) are valued at their last sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day but the exchange reports a closing bid level, ETFs are valued at the closing bid and would be categorized as Level 1 in the hierarchy. In the event there was no closing bid, ETFs may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and may be categorized as Level 2 in the hierarchy.

Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. If an unaffiliated open-end mutual fund's NAV is unavailable, shares of that fund may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and is categorized as Level 2 in the hierarchy.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of November 30, 2020 is included at the end of the Fund's Schedule of Investments.

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Income and capital gain distributions from 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. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.

Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan) 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 $112,346 

Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.

Distributions are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.

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

Book-tax differences are primarily due to market discount, capital loss carryforwards, futures contracts, foreign currency transactions, deferred trustees compensation and losses deferred due to wash sales.

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

Gross unrealized appreciation $61,229,708 
Gross unrealized depreciation (2,430,574) 
Net unrealized appreciation (depreciation) $58,799,134 
Tax cost $5,722,716,012 

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 prior fiscal period end and is subject to adjustment.

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

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). The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.

3. Derivative Instruments.

Risk Exposures and the Use of Derivative Instruments. The Fund's investment objective allows the Fund to enter into various types of derivative contracts, including futures contracts. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.

The Fund used derivatives to increase returns and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.

The Fund's use of derivatives increased or decreased its exposure to the following risk:

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

The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Counterparty credit risk related to exchange-traded futures contracts may be mitigated by the protection provided by the exchange on which they trade.

Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.

Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. The Fund used futures contracts to manage its exposure to the bond market and fluctuations in interest rates.

Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments (variation margin) are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is presented in the Statement of Operations.

Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The notional amount at value reflects each contract's exposure to the underlying instrument or index at period end and is representative of volume of activity during the period. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.

4. Purchases and Sales of Investments.

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

 Purchases ($) Sales ($) 
Strategic Advisers Short Duration Fund 4,047,250,743 6,231,030,850 

5. Fees and Other Transactions with Affiliates.

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

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

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

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 $740 

Interfund Trades. Funds may purchase from or sell securities to other funds affiliated with each sub-adviser under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.

Reallocation of Underlying Fund Investments. During the period, the investment adviser reallocated investments of the Fund. This involved a taxable redemption of the Fund's interest in Fidelity Short-Term Bond Fund in exchange for shares 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 gains of $9,260,000 on the Fund's redemptions of Fidelity Short Term Bond Fund shares is included in "Net realized gain (loss) on Other affiliated issuers." in the accompanying Statement of Operations. The Fund recognized net gains on the exchanges for federal income tax purposes.

6. Investments in Fidelity Central Funds.

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

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

A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds are available on the SEC website or upon request.

7. Committed Line of Credit.

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

 Amount 
Strategic Advisers Short Duration Fund $8,278 

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

8. Security Lending.

Funds lend portfolio securities through a lending agent from time to time in order to earn additional income. 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.

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, 2023. During the period, this waiver reduced the Fund's management fee by $ 8,130,342.

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 $49,560.

In addition, through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses by $18,586.

10. Other.

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

The Fund does not invest in the Underlying Funds for the purpose of exercising management or control; however, investments by the Fund within its principal investment strategies may represent a significant portion of an Underlying Fund's net assets. At the end of the period, the Fund was the owner of record of approximately 14% of the total outstanding shares of Fidelity SAI Short-Term Bond Fund.

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.

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 (June 1, 2020 to November 30, 2020).

Actual Expenses

The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line 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.

 Annualized Expense Ratio-A Beginning
Account Value
June 1, 2020 		Ending
Account Value
November 30, 2020 		Expenses Paid
During Period-B
June 1, 2020
to November 30, 2020 
Strategic Advisers Short Duration Fund .05%    
Actual  $1,000.00 $1,014.60 $.25 
Hypothetical-C  $1,000.00 $1,024.82 $.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 183/ 365 (to reflect the one-half year period).

 C 5% return per year before expenses

Board Approval of Investment Advisory Contracts and Management Fees

Strategic Advisers Short Duration Fund

Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes at a meeting on the renewal of the management contract with Strategic Advisers LLC (Strategic Advisers) and the sub-advisory agreements with FIAM LLC and T. Rowe Price Associates, Inc. (each a Sub-Adviser and collectively, the Sub-Advisers) (collectively, the Sub-Advisory Agreements and, together with the management contract, the Advisory Contracts) for the fund. Strategic Advisers and the Sub-Advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.

The Board meets at least four times per year and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The full Board or the Independent Trustees, as appropriate, act on all major matters; however, a portion of the activities of the Board (including certain of those described herein) may be conducted through standing committees that have been established by the Board. The Board, acting directly and through its committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts.

At its September 2020 meeting, the Board, including the Independent Trustees, unanimously determined to renew the fund's Advisory Contracts. In reaching its determination to renew the fund's Advisory Contracts, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness of the fund's management fee and total expenses relative to peer funds; (iii) the total costs of the services provided by and the profits, if any, realized by Strategic Advisers from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and are realized as the fund grows and whether any economies of scale are appropriately shared with fund shareholders.

In considering whether to renew the Advisory Contracts for the fund, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts is in the best interests of the fund and its shareholders. In addition, with respect to the Sub-Advisory Agreements, the Board also concluded that the renewal of such agreements does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees charged under the Advisory Contracts bear a reasonable relationship to the services rendered and are based on services provided that are in addition to, rather than duplicative of, services provided under the advisory contract of any underlying fund in which the fund may invest. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board throughout the year.

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

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

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

Resources Dedicated to Investment Management and Support Services.  The Board reviewed the general qualifications and capabilities of the Investment Advisers' investment staffs, their use of technology, and the Investment Advisers' approach to managing and compensating investment personnel. The Board noted that the Investment Advisers' analysts have extensive resources, tools, and capabilities that allow them to conduct sophisticated quantitative and/or fundamental analysis. Additionally, in its deliberations, the Board considered the Investment Advisers' trading capabilities and resources and global compliance infrastructure, which are integral parts of the investment management process. The Board also considered the Investment Advisers' investments in business continuity planning, and their success in continuously providing services to the fund notwithstanding the severe disruptions caused by the COVID-19 pandemic.

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

Investment Performance.  The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions and its performance history.

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

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

The following charts considered by the Board show, over the one-, three-, and five-year periods ended December 31, 2019, the cumulative total returns of the fund and the cumulative total returns of an appropriate benchmark index and peer group. The box within each chart shows the 25th percentile return (75% beaten, top of box) and the 75th percentile return (25% beaten, bottom of box) of the peer group. Returns shown above the box are in the first quartile and returns shown below the box are in the fourth quartile. The percentage beaten number noted below each chart corresponds to the percentile box and represents the percentage of funds in the peer group whose performance was equal to or lower than that of the fund.

Strategic Advisers Short Duration Fund


The Board reviewed the fund’s relative investment performance against its peer group and noted that the performance of the fund was in the first quartile for the one-year period and in the second quartile for the three- and five-year periods ended December 31, 2019. The Board also noted that the fund had out-performed 84%, 68%, and 73% of its peers for the one-, three-, and five-year periods, respectively, ended December 31, 2019. The Board also noted that the investment performance of the fund was higher than its benchmark for the one-, three-, and five-year periods shown.

Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.

Competitiveness of Management Fee and Total Fund Expenses.  The Board considered the amount and nature of fees paid to the Investment Advisers. The Board also considered information comparing the management fees and total expenses of the fund to those of other registered investment companies with investment objectives similar to those of the fund, as discussed below. The Board also noted Strategic Advisers' proposal to extend the management fee waiver and considered the fund's contractual maximum aggregate annual management fee rate. In considering the fund's management fee and management fee waiver and comparisons to other registered investment companies with investment objectives similar to those of the fund, the Board noted that shares of the fund are offered only to clients that participate in the Fidelity Portfolio Advisory Service managed account program.

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

Management Fee.  The Board considered two proprietary management fee comparisons. The group of Lipper funds used by the Board for management fee comparisons is referred to as the "Total Mapped Group." The Total Mapped Group comparison focuses on a fund's standing in terms of gross management fees before expense reimbursements or caps relative to the total universe of funds with comparable investment mandates, regardless of whether their management fee structures also are comparable. Funds with comparable investment mandates offer exposure to similar types of securities. Funds with comparable management fee structures have similar management fee contractual arrangements (e.g., flat rate charged for advisory services, all-inclusive fee rate, etc.). "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a hypothetical TMG % of 20% would mean that 80% of the funds in the Total Mapped Group had higher, and 20% had lower, management fees than the fund. The fund's actual TMG %s and the number of funds in the Total Mapped Group are in the chart below. The Board also compared the fund's management fee to an "Asset-Size Peer Group" (ASPG), which is a sub-set of the competitive funds in the Total Mapped Group. The ASPG comparison focuses on a fund's standing relative to non-Fidelity funds within the Total Mapped Group that are similar in size and management fee structure. For example, if a fund is in the first quartile of the ASPG, the fund's management fee ranks in the least expensive or lowest 25% of funds in the ASPG. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee structures, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee rate ranked, is also included in the chart and was considered by the Board.

Strategic Advisers Short Duration Fund


The Board noted that the fund's management fee rate ranked above the median of its Total Mapped Group and above the median of its ASPG for the 12-month period ended December 31, 2019. The Board also noted that the fund's management fee rate was compared on a pre-waiver basis and, therefore, did not reflect the management fee waiver noted above. Giving effect to the waiver, the fund's management fee was below the median of its Total Mapped Group and ASPG for the 12-month period ended December 31, 2019.

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

Total Expenses.  In its review of the fund's total expenses, the Board considered the fund's management fee rate as well as other fund expenses, as applicable, such as expenses from holding Fidelity and non-Fidelity mutual funds and ETFs, pricing and bookkeeping fees, and custodial, legal, and audit fees. The Board also noted the effects of any waivers and reimbursements on fees and expenses. The Board further noted that the fund's total expenses were compared to classes of competitive funds having similar load types. This comparison, which is a proxy for comparing funds by distribution channel, showed the fund's position relative to competitive funds with the same load type. The Board noted that the fund's total expenses were below the median of the fund's Total Mapped Group for the 12-month period ended December 31, 2019.

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

Based on its review of the total expense ratios and fees charged to other clients of Strategic Advisers or its affiliates and each Sub-Adviser, the Board concluded that the total expenses of the fund were reasonable in light of the services that the fund and its shareholders receive and the other factors considered.

Costs of the Services and Profitability.  The Board considered information regarding the revenues earned and the expenses incurred by Strategic Advisers and its affiliates in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and servicing the fund's shareholders.

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

A public accounting firm has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. The engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's mutual fund business, and completion of agreed-upon procedures in respect of the mathematical accuracy of certain fund profitability information and its conformity to established allocation methodologies. After considering the reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.

The Board also reviewed Fidelity's non-fund businesses and potential indirect benefits such businesses may have received as a result of their association with Fidelity's mutual fund business (i.e., fall-out benefits) as well as cases where Fidelity's affiliates may benefit from the fund's business. The Board noted that changes to fall-out benefits year-over-year reflect business developments at Fidelity's various businesses.

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

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

Possible Economies of Scale.  The Board considered whether there have been economies of scale in respect of the management of the Strategic Advisers funds, whether the Strategic Advisers funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale as assets grow through increased services to the fund, through waivers or reimbursements, or through fee or expense ratio reductions. The Board considered thatthe fund's Sub-Advisory Agreements provide for breakpoints as the fund's assets grow and noted that any potential decline in sub-advisory fees would accrue directly to the fund. The Board also took Strategic Advisers' management fee waiver into consideration.

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

Board Approval of New Sub-Subadvisory Agreements

Strategic Advisers Short Duration Fund

In June 2020, the Board of Trustees, including the Independent Trustees (together, the Board) voted to approve sub-subadvisory agreements (New Sub-Subadvisory Agreements) among FIAM LLC (FIAM), each of FMR Investment Management (UK) Limited (FMR UK), Fidelity Management & Research (Japan) Limited (FMR Japan), and Fidelity Management & Research (Hong Kong) Limited (FMR H.K., and together with FMR UK and FMR Japan, New Sub-Subadvisers), and Fidelity Rutland Square Trust II on behalf of the fund. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, considered a broad range of information.

The Board noted that it previously received and considered materials relating to the nature, extent and quality of services provided by Strategic Advisers LLC (Strategic Advisers) and FIAM, 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 2019 meeting. The Board noted its familiarity with the nature, extent and quality of services provided by the New Sub-Subadvisers to other Strategic Advisers funds. The Board also considered the detailed information provided by Strategic Advisers and FIAM in the June 2020 annual contract renewal materials.

The Board considered that FIAM, and not the fund, will compensate the New Sub-Subadvisers under the terms of the New Sub-Subadvisory Agreements and that the fund and Strategic Advisers are not responsible for any such fees or expenses. The Board also considered that the New Sub-Subadvisory Agreements will not result in any changes to the fees paid under the sub-advisory agreement among Strategic Advisers, FIAM, and the Trust on behalf of the fund.

Because the Board was approving New Sub-Subadvisory Agreements under which the fund will not bear any additional management fees or expenses, it did not consider the competitiveness of management fee and total expenses or the possible realization of economies of scale to be significant factors in its decision. In addition, because the New Sub-Subadvisory Agreements were negotiated at arm's length and will have no impact on the maximum management fees payable by the fund or Strategic Advisers' portion of the management fee, the Board did not consider the costs of services and profitability to be significant factors in its decision to approve the New Sub-Subadvisory Agreements. The Board considered Strategic Advisers' representation that it does not anticipate that the approval of the New Sub-Subadvisory Agreements will have a significant impact on the profitability of, or potential fall-out benefits to, Strategic Advisers or its affiliates.

The Board noted that in connection with future annual contract renewals, it will consider: (i) the nature, extent, and quality of services provided to the fund, including administrative services and investment performance; (ii) the historical investment performance of the fund; (iii) the competitiveness of the fund's management fees and total expenses; (iv) the costs of services and profitability; (v) the potential fall-out benefits to Strategic Advisers and its affiliates from their relationships with the fund; and (vi) the possible realization of economies of scale.

Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the New Sub-Subadvisory Agreements are in the best interests of the fund and its shareholders and should be approved. In addition, the Board concluded that the approval of the New Sub-Subadvisory Agreements does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.

Proxy Voting Results

A special meeting of shareholders was held on November 2, 2020. The results of votes taken among shareholders on the proposals before them are reported below. Each vote reported represents one dollar of net asset value held on the record date for the meeting.

PROPOSAL 1

To elect a Board of Trustees.

 # of
Votes 		% of
Votes 
ROBERT A. LAWRENCE 
Affirmative 204,250,982,594.51 96.530 
Withheld 7,343,512,146.85 3.470 
TOTAL 211,594,494,741.36 100.000 
CHARLES S. MORRISON 
Affirmative 204,349,460,488.43 96.576 
Withheld 7,245,034,252.93 3.424 
TOTAL 211,594,494,741.36 100.000 
PETER C. ALDRICH 
Affirmative 203,499,803,652.67 96.175 
Withheld 8,094,691,088.69 3.825 
TOTAL 211,594,494,741.36 100.000 
MARY C. FARRELL 
Affirmative 204,011,925,737.22 96.417 
Withheld 7,582,569,004.14 3.583 
TOTAL 211,594,494,741.36 100.00 
KAREN KAPLAN 
Affirmative 204,297,547,550.53 96.552 
Withheld 7,296,947,190.83 3.448 
TOTAL 211,594,494,741.36 100.000 
CHRISTINE MARCKS 
Affirmative 204,700,871,317.72 96.743 
Withheld 6,893,623,423.64 3.257 
TOTAL 211,594,494,741.36 100.000 
HEIDI L. STEIGER 
Affirmative 204,406,589,957.28 96.603 
Withheld 7,187,904,784.08 3.397 
TOTAL 211,594,494,741.36 100.000 

PROPOSAL 2

To approve the conversion of a fundamental investment policy to a non-fundamental investment policy.

 # of
Votes 		% of
Votes 
Affirmative 5,104,820,048.35 86.600 
Against 329,800,777.16 5.594 
Abstain 460,156,413.94 7.806 
Broker Non-Vote 0.00 0.000 
TOTAL 5,894,777,239.45 100.000 

PROPOSAL 5

To approve a sub-subadvisory agreement between FIAM LLC (FIAM) and FMR Investment Management (UK) Limited (FMR UK).

 # of
Votes 		% of
Votes 
Affirmative 5,271,166,307.76 89.421 
Against 225,238,983.44 3.821 
Abstain 398,371,948.25 6.758 
Broker Non-Vote 0.00 0.000 
TOTAL 5,894,777,239.45 100.000 

PROPOSAL 6

To approve a sub-subadvisory agreement between FIAM and Fidelity Management & Research (Hong Kong) Limited (FMR H.K.).

 # of
Votes 		% of
Votes 
Affirmative 5,195,633,592.20 88.140 
Against 278,351,890.70 4.722 
Abstain 420,791,756.55 7.138 
Broker Non-Vote 0.00 0.000 
TOTAL 5,894,777,239.45 100.000 

PROPOSAL 7

To approve a sub-subadvisory agreement between FIAM and Fidelity Management & Research (Japan) Limited (FMR Japan).

 # of
Votes 		% of
Votes 
Affirmative 5,265,653,754.88 89.328 
Against 229,669,288.91 3.896 
Abstain 399,454,195.66 6.776 
Broker Non-Vote 0.00 0.000 
TOTAL 5,894,777,239.45 100.000 
Proposal 1 reflects trust wide proposal and voting results. 





Fidelity Investments

ASD-SANN-0121
1.934461.108

Strategic Advisers® Tax-Sensitive Short Duration Fund

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



Semi-Annual Report

November 30, 2020

Fidelity Investments



Fidelity Investments

Contents

Note to Shareholders

Investment Summary

Schedule of Investments

Financial Statements

Notes to Financial Statements

Shareholder Expense Example

Board Approval of Investment Advisory Contracts and Management Fees

Proxy Voting Results


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. © 2021 FMR LLC. All rights reserved.



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

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

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

NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE

Neither the Fund nor Fidelity Distributors Corporation is a bank.



Note to Shareholders:

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

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

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

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

Investment Summary (Unaudited)

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

Top Ten Holdings as of November 30, 2020

(by issuer, excluding cash equivalents) % of fund's net assets 
JPMorgan Ultra-Short Municipal Fund Class I 12.0 
New York Metropolitan Transportation Authority Rev. 1.7 
Texas General Obligation 1.5 
Denver City & County Airport Rev. 1.2 
Illinois Gen. Oblig. 0.8 
Harris County Cultural Education Facilities Finance Corp. Rev. 0.8 
Port Arthur Navigation Dist. Environmental Facilities Rev. 0.7 
Clark County Airport Rev. 0.7 
Georgia Muni. Elec. Auth. Pwr. Rev. 0.7 
New York City Gen. Oblig. 0.7 

Top Five Sectors as of November 30, 2020

 % of fund's net assets 
General Obligations 16.7 
Transportation 10.5 
Health Care 8.2 
Other 6.5 
Synthetics 5.1 

Quality Diversification (% of fund's net assets)

As of November 30, 2020 
   AAA,AA,A 38.2% 
   BBB 4.3% 
   Not Rated 2.1% 
   Equities 12.6% 
   Short-Term Investments and Net Other Assets 42.8% 


We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes.

Asset Allocation (% of fund's net assets)

As of November 30, 2020 
   Municipal Bonds 23.3% 
   Short-Term Funds 12.4% 
   Investment Companies 0.1% 
   Short-Term Investments and Net Other Assets (Liabilities) 64.2% 


Schedule of Investments November 30, 2020 (Unaudited)

Showing Percentage of Net Assets

Municipal Bonds - 45.2%   
 Principal Amount Value 
Alabama - 0.7%   
Alabama Pub. School & College Auth. Rev. Series 2020 A:   
5% 11/1/22 $1,500,000 $1,636,860 
5% 11/1/24 1,500,000 1,777,335 
Alabama Spl. Care Facilities Fing. Auth. Birmingham Rev. Bonds Series 2006 C1, 1.85%, tender 11/1/22 (a) 1,025,000 1,054,500 
Birmingham Arpt. Auth. Arpt. Series 2020:   
5% 7/1/24 (Build America Mutual Assurance Insured) 325,000 373,857 
5% 7/1/25 (Build America Mutual Assurance Insured) 325,000 386,731 
Black Belt Energy Gas District:   
(Proj. No. 4) Series 2019 A:   
4% 6/1/21 1,250,000 1,271,636 
4% 6/1/23 1,750,000 1,896,248 
Bonds:   
Series 2016 A, 4%, tender 6/1/21 (a) 9,725,000 9,871,925 
Series 2017 A, 4%, tender 7/1/22 (a) 4,640,000 4,884,157 
Chatom Indl. Dev. Board Gulf Opportunity Zone Series 2020, 5% 8/1/23 (FSA Insured) 1,350,000 1,498,136 
Health Care Auth. for Baptist Health Series 2006 B, 0.3%, tender 11/15/37 (a) 1,150,000 1,150,000 
Jefferson County Gen. Oblig. Series 2018 B, 5% 4/1/21 270,000 274,207 
Lower Alabama Gas District (No. 2 Proj.) Series 2020, 4% 12/1/21 100,000 103,538 
Mobile County Board of School Commissioners:   
Series 2016 A:   
5% 3/1/22 15,000 15,875 
5% 3/1/23 20,000 21,939 
5% 3/1/24 25,000 28,431 
5% 3/1/25 25,000 29,427 
Series 2016 B:   
5% 3/1/22 80,000 84,666 
5% 3/1/23 405,000 444,273 
5% 3/1/24 45,000 51,176 
Mobile Indl. Dev. Board Poll. Cont. Rev. Bonds Series 2009 E, 1%, tender 6/26/25 (a) 600,000 606,144 
Montgomery Med. Clinic Facilities Series 2015:   
5% 3/1/21 10,000 10,085 
5% 3/1/22 70,000 73,006 
Southeast Alabama Gas Supply District Bonds Series 2018 A, 4%, tender 4/1/24 (a) 4,000,000 4,419,640 
TOTAL ALABAMA  31,963,792 
Alaska - 0.3%   
Alaska Hsg. Fin. Corp. Mtg. Rev. Series 2020 A:   
0.3% 12/1/21 665,000 664,431 
0.35% 6/1/22 660,000 659,360 
0.4% 12/1/22 750,000 748,965 
Alaska Int'l. Arpts. Revs. Series 2016 C:   
5% 10/1/22 (b) 1,105,000 1,183,079 
5% 10/1/23 (b) 425,000 472,315 
Alaska Muni. Bond Bank Series 1, 5% 12/1/21 1,000,000 1,044,605 
Anchorage Gen. Oblig.:   
Series B, 5% 9/1/22 30,000 32,521 
Series C, 5% 9/1/22 20,000 21,681 
Valdez Marine Term. Rev. (BP Pipelines (Alaska), Inc. Proj.):   
Series 2003 B, 5% 1/1/21 5,945,000 5,967,669 
Series 2003 C, 5% 1/1/21 4,520,000 4,537,235 
TOTAL ALASKA  15,331,861 
Arizona - 1.8%   
Arizona Board of Regents Ctfs. of Prtn. Series 2015 A, 5% 6/1/22 150,000 160,010 
Arizona Ctfs. of Prtn. Series 2019 A, 5% 10/1/24 195,000 229,884 
Arizona Health Facilities Auth. Hosp. Sys. Rev. Series 2012 A, 5% 2/1/21 500,000 503,753 
Arizona Health Facilities Auth. Rev.:   
(Scottsdale Lincoln Hospitals Proj.) Series 2014 A:   
5% 12/1/21 25,000 26,077 
5% 12/1/22 15,000 16,334 
5% 12/1/23 20,000 22,658 
5% 12/1/24 45,000 52,945 
Bonds Series 2013 A3, SIFMA Municipal Swap Index + 1.850% 1.96%, tender 2/1/23 (a)(c) 2,000,000 2,037,280 
Arizona Indl. Dev. Auth. Hosp. Rev. Series 2020 A:   
5% 2/1/24 600,000 685,140 
5% 2/1/26 750,000 919,298 
Chandler Indl. Dev. Auth. Indl. Dev. Rev. Bonds (Intel Corp. Proj.):   
Series 2005, 2.4%, tender 8/14/23 (a) 5,100,000 5,366,985 
Series 2007, 2.7%, tender 8/14/23 (a)(b) 6,500,000 6,863,675 
Series 2019, 5%, tender 6/3/24 (a)(b) 4,070,000 4,677,936 
Coconino County Poll. Cont. Corp. Rev. Bonds:   
Series 2017 A, 1.875%, tender 3/31/23 (a)(b) 415,000 419,598 
Series 2017 B, 1.65%, tender 3/31/23 (a) 895,000 906,313 
Glendale Gen. Oblig.:   
Series 2015, 5% 7/1/22 (FSA Insured) 20,000 21,521 
Series 2017, 5% 7/1/22 75,000 80,159 
Glendale Trans. Excise Tax Rev. Series 2015:   
5% 7/1/21 (FSA Insured) 15,000 15,417 
5% 7/1/22 (FSA Insured) 25,000 26,901 
5% 7/1/23 (FSA Insured) 30,000 33,676 
Maricopa County Rev.:   
Bonds:   
Series 2019 B, SIFMA Municipal Swap Index + 0.380% 0.49%, tender 10/18/22 (a)(c) 4,185,000 4,176,630 
Series B, 5%, tender 10/18/22 (a) 2,980,000 3,227,906 
Series 2016 A, 5% 1/1/25 105,000 124,285 
Mesa Util. Sys. Rev. Series 2020, 5% 7/1/24 (d) 635,000 740,112 
Phoenix Civic Impt. Board Arpt. Rev.:   
Series 2013, 5% 7/1/21 (b) 2,750,000 2,814,145 
Series 2017 A, 5% 7/1/22 (b) 715,000 762,068 
Series 2017 D:   
5% 7/1/22 500,000 534,555 
5% 7/1/24 250,000 288,830 
Series 2018, 5% 7/1/23 (b) 1,100,000 1,220,318 
Series 2019 B, 5% 7/1/23 (b) 1,000,000 1,106,670 
Phoenix Indl. Solid Waste Disp. Rev. Bonds (Republic Svc., Inc. Proj.) Series 2013, 0.3%, tender 12/1/35 (a)(b) 23,380,000 23,381,146 
Pima County Ctfs. of Prtn. Series 2014:   
5% 12/1/21 50,000 52,333 
5% 12/1/22 130,000 142,048 
5% 12/1/23 75,000 85,403 
Pima County Swr. Sys. Rev. Series 2020 A, 5% 7/1/23 260,000 291,931 
Scottsdale Indl. Dev. Auth. Hosp. Rev. Series 2006 F, 0.23%, tender 9/1/45 (FSA Insured) (a) 14,725,000 14,725,000 
Tucson Ctfs. of Prtn.:   
Series 2015, 5% 7/1/23 (FSA Insured) 200,000 223,132 
Series 2016, 4% 7/1/21 (FSA Insured) 260,000 265,483 
Western Maricopa Ed. Ctr. District Series 2019 B, 4% 7/1/21 1,365,000 1,394,998 
Yavapai County Indl. Dev. Auth.:   
Series 2016, 5% 8/1/23 275,000 306,257 
Series 2019:   
5% 8/1/21 225,000 231,456 
5% 8/1/22 425,000 455,396 
5% 8/1/23 355,000 395,349 
Yavapai County Indl. Dev. Auth. Solid Waste Disp. Rev. Bonds Series 2010, 0.25%, tender 12/1/20 (a) 1,500,000 1,500,000 
TOTAL ARIZONA  81,511,011 
Arkansas - 0.4%   
Arkansas Dev. Fin. Auth. Multi-family Hsg. Rev.:   
(NLR Rad Family Homes Proj.) Series 2020, 1.2%, tender 9/1/22 (a) 5,000,000 5,063,650 
Bonds:   
(Hsg. Alliance 2 Proj.) Series 2018 B, 2.1%, tender 12/1/20 (a) 2,900,000 2,900,000 
Series 2018 A, 2.1%, tender 12/1/20 (a) 8,000,000 8,000,000 
Batesville Pub. Facilities Board Series 2020:   
5% 6/1/22 590,000 615,889 
5% 6/1/23 790,000 842,227 
Little Rock School District Series 2017, 3% 2/1/21 1,120,000 1,125,041 
TOTAL ARKANSAS  18,546,807 
California - 2.2%   
Bay Area Toll Auth. San Francisco Bay Toll Bridge Rev. Bonds:   
Series 2017 G, 2%, tender 4/1/24 (a) 1,120,000 1,164,565 
Series A, 2.95%, tender 4/1/26 (a) 115,000 128,334 
Series B, 2.85%, tender 4/1/25 (a) 95,000 103,462 
Burbank Glendale Pasadena Arpt. Auth. Rev. Series B, 5% 7/1/23 (b) 1,290,000 1,417,504 
California Gen. Oblig.:   
Bonds Series 2013, SIFMA Municipal Swap Index + 0.380% 0.49%, tender 12/1/22 (a)(c) 3,270,000 3,269,477 
Series 2017, 5% 8/1/26 1,175,000 1,479,137 
Series 2020:   
5% 3/1/22 3,180,000 3,370,037 
5% 11/1/24 500,000 592,015 
5.25% 9/1/22 35,000 38,075 
California Health Facilities Fing. Auth. Rev.:   
Bonds (Stanford Hosp. & Clinics Proj.) Series 2008 B2, 0.3%, tender 3/2/21 (a) 4,050,000 4,050,000 
Series 2014 A, 5% 10/1/21 325,000 337,521 
California Infrastructure and Econ. Dev. Bank Rev. Bonds:   
(Brightline West Passenger Rail Proj.) Series 2020 A, 0.45%, tender 7/1/21 (a)(b)(e) 4,000,000 4,000,694 
Series 2012 B, 1 month U.S. LIBOR + 0.200% 0.303%, tender 12/1/20 (a)(c) 5,000,000 5,000,113 
Series 2018 A, 1 month U.S. LIBOR + 0.380% 0.48%, tender 12/3/20 (a)(c) 400,000 399,948 
Series 2018 C, 1 month U.S. LIBOR + 0.380% 0.48%, tender 12/3/20 (a)(c) 2,940,000 2,939,615 
Series 2018 D, 1 month U.S. LIBOR + 0.380% 0.485%, tender 12/2/20 (a)(c) 7,600,000 7,599,004 
California Muni. Fin. Auth. Solid Waste Disp. Rev. Bonds (Waste Mgmt., Inc. Proj.) Series 2020, 0.23%, tender 12/1/20 (a)(b) 2,000,000 2,000,000 
California Poll. Cont. Fing. Auth. Solid Waste Disp. Rev. Bonds (Republic Svcs., Inc. Proj.) Series 2017 A2, 0.3%, tender 1/15/21 (a)(b)(e) 1,850,000 1,850,000 
California Statewide Cmntys. Dev. Auth. Rev. Series 2007:   
0.17%, tender 7/1/41 (FSA Insured) (a) 4,475,000 4,475,000 
0.23%, tender 7/1/40 (FSA Insured) (a) 4,275,000 4,275,000 
Golden State Tobacco Securitization Corp. Tobacco Settlement Rev.:   
Series 2017 A1:   
5% 6/1/21 25,000 25,602 
5% 6/1/22 40,000 42,838 
5% 6/1/23 45,000 50,246 
5% 6/1/24 25,000 28,953 
Series A, 0% 6/1/24 (AMBAC Insured) 75,000 72,916 
Long Beach Hbr. Rev. Series 2020 C, 4% 7/15/21 2,500,000 2,557,986 
Los Angeles Dept. Arpt. Rev.:   
Series 2015 C, 5% 5/15/21 225,000 229,771 
Series 2016 A, 5% 5/15/22 (b) 250,000 266,378 
Series 2017 B, 5% 5/15/23 (b) 800,000 887,624 
Series 2018 C, 5% 5/15/21 (b) 360,000 367,383 
Series 2019 F, 5% 5/15/24 (b) 2,610,000 3,007,921 
Series F, 5% 5/15/22 (b) 1,400,000 1,491,714 
Los Angeles Reg'l. Arpts. Impt. Rev. Series 2012, 4.5% 1/1/27 (b) 375,000 387,705 
Los Angeles Unified School District Series 2020 C, 5% 7/1/23 1,200,000 1,345,716 
Oakland Unified School District Alameda County Series 2013, 5.5% 8/1/23 20,000 22,104 
Palomar Pomerado Health Care Dis:   
Series 2006 A, 0.66%, tender 11/1/36 (FSA Insured) (a) 4,900,000 4,900,000 
Series 2006 B, 0.66%, tender 11/1/36 (FSA Insured) (a) 4,700,000 4,700,000 
Series 2006 C, 0.69%, tender 11/1/36 (FSA Insured) (a) 2,300,000 2,300,000 
Port of Oakland Rev.:   
Series 2012 P, 5% 5/1/21 (b) 55,000 55,996 
Series H:   
5% 5/1/22 (b)(d) 2,750,000 2,897,620 
5% 5/1/23 (b)(d) 5,515,000 6,038,870 
5% 5/1/24 (b)(d) 930,000 1,055,039 
Riverside County Teeter Plan Series A, 0.5% 10/21/21 590,000 591,676 
San Diego County Reg'l. Arpt. Auth. Arpt. Rev.:   
Series 2013 B:   
5% 7/1/21 (b) 1,145,000 1,174,420 
5% 7/1/22 (b) 1,800,000 1,925,280 
Series 2020 C:   
5% 7/1/22 (b) 1,475,000 1,577,660 
5% 7/1/23 (b) 545,000 604,912 
San Diego Pub. Facilities Fing. Auth. Lease Rev. Series 2016, 5% 10/15/22 1,940,000 2,104,900 
San Diego Pub. Facilities Fing. Auth. Wtr. Rev. Series 2020 A:   
5% 8/1/21 250,000 258,042 
5% 8/1/22 250,000 270,230 
San Francisco City & County Arpts. Commission Int'l. Arpt. Rev.:   
Series 2016 A:   
5% 5/1/21 305,000 310,847 
5% 5/1/22 1,000,000 1,065,230 
Series 2016 D, 5% 5/1/21 470,000 479,010 
Series 2019 A, 5% 1/1/22 (b) 2,900,000 3,041,752 
Series 2019 H, 5% 5/1/23 (b) 2,000,000 2,214,640 
San Jose Int. Arpt. Rev. Series 2017 A, 5% 3/1/21 (b) 2,550,000 2,574,368 
San Pablo Redev. Agcy. Series 2014 A, 5% 6/15/24 (FSA Insured) 30,000 34,717 
TOTAL CALIFORNIA  99,449,567 
Colorado - 1.0%   
Colorado Bridge Enterprise Rev. Series 2017, 4% 6/30/24 (b) 1,330,000 1,468,985 
Colorado Ctfs. of Prtn. Series 2020 A, 5% 12/15/21 2,000,000 2,099,312 
Colorado Health Facilities Auth.:   
Bonds:   
(Valley View Hosp. Assoc. Proj.) Series 2018, 2.8%, tender 5/15/23 (a) 495,000 515,919 
Series 2019 B:   
5%, tender 8/1/25 (a) 300,000 349,614 
5%, tender 8/1/26 (a) 240,000 287,522 
5%, tender 11/19/26 (a) 1,590,000 1,996,961 
Series 2019 A:   
5% 1/1/21 735,000 737,693 
5% 1/1/23 350,000 382,162 
Series 2019, 4% 1/1/21 650,000 651,001 
Colorado Health Facilities Auth. Retirement Hsg. Rev. (Liberty Heights Proj.) Series 1991 A, 0% 7/15/22 (Escrowed to Maturity) 620,000 616,398 
Colorado Health Facilities Auth. Rev. Bonds Series 2008 D3, 5%, tender 11/12/21 (a) 115,000 119,424 
Colorado Hsg. & Fin. Auth.:   
Series 2019 F, 4.25% 11/1/49 190,000 213,830 
Series 2019 H, 4.25% 11/1/49 110,000 124,001 
Colorado Reg'l. Trans. District Ctfs. of Prtn.:   
Series 2013 A, 5% 6/1/23 250,000 278,003 
Series 2014 A, 5% 6/1/23 85,000 94,521 
Colorado Univ. Co. Hosp. Auth. Rev. Bonds Series 2017C-2, 5%, tender 3/1/22 (a) 1,120,000 1,157,285 
Denver City & County Arpt. Rev.:   
(Sub Lien Proj.) Series 2013 A, 5% 11/15/21 (b) 900,000 938,269 
Series 2011 A, 5.25% 11/15/22 (b) 1,750,000 1,828,558 
Series 2012 A:   
5% 11/15/22 (b) 520,000 565,094 
5% 11/15/23 (b) 250,000 270,563 
Series 2012 B, 5% 11/15/22 250,000 272,603 
Series 2013 A, 5% 11/15/22 (b) 500,000 542,340 
Series 2013 B, 5% 11/15/21 200,000 208,936 
Series 2017 A:   
5% 11/15/21 (b) 565,000 589,024 
5% 11/15/22 (b) 3,455,000 3,754,618 
Series 2018 A:   
5% 12/1/20 (b) 8,375,000 8,375,000 
5% 12/1/21 (b) 1,000,000 1,044,502 
5% 12/1/23 (b) 250,000 282,110 
Series 2020 A1, 5% 11/15/22 3,200,000 3,489,312 
Series 2020 B1:   
5% 11/15/21 (b) 3,855,000 4,018,918 
5% 11/15/22 (b) 4,045,000 4,395,782 
5% 11/15/23 (b) 935,000 1,054,830 
Denver Health & Hosp. Auth. Healthcare Rev. Series 2017 A, 5% 12/1/20 (e) 325,000 325,000 
E-470 Pub. Hwy. Auth. Rev.:   
Bonds Series 2019 A, 1 month U.S. LIBOR + 0.420% 0.517%, tender 12/3/20(a)(c) 2,250,000 2,243,812 
Series 2020 A:   
5% 9/1/23 275,000 309,620 
5% 9/1/24 450,000 526,014 
5% 9/1/25 300,000 363,021 
Series B, 0% 9/1/21 (Nat'l. Pub. Fin. Guarantee Corp. Insured) 525,000 523,045 
Vauxmont Metropolitan District Series 2019:   
5% 12/15/22 (FSA Insured) 100,000 108,363 
5% 12/15/23 (FSA Insured) 120,000 134,884 
TOTAL COLORADO  47,256,849 
Connecticut - 1.4%   
City of New Haven Series A, 5% 8/1/22 1,000,000 1,054,740 
Connecticut Gen. Oblig.:   
Series 2011 B, 5% 5/15/21 830,000 847,905 
Series 2011 D, 5% 11/1/22 185,000 193,035 
Series 2012 C, 5% 6/1/21 960,000 982,743 
Series 2014 A:   
4% 3/1/21 800,000 807,447 
4% 3/1/22 450,000 471,114 
Series 2014 H, 5% 11/15/21 925,000 966,968 
Series 2015 A:   
4% 3/15/23 250,000 270,955 
5% 3/15/22 1,035,000 1,098,363 
Series 2015 B, 5% 6/15/21 390,000 399,961 
Series 2015 C:   
SIFMA Municipal Swap Index + 0.900% 1.01% 6/15/21 (a)(c) 2,500,000 2,508,055 
5% 6/15/22 400,000 429,176 
Series 2015, 4% 11/15/21 290,000 300,399 
Series 2016 A, 5% 3/15/26 60,000 73,844 
Series 2016 B:   
5% 5/15/21 1,920,000 1,961,419 
5% 5/15/22 450,000 481,046 
5% 5/15/24 395,000 457,137 
Series 2016 D, 5% 8/15/21 430,000 444,393 
Series 2016 E, 5% 10/15/23 240,000 271,896 
Series 2016 G, 5% 11/1/21 1,200,000 1,252,224 
Series 2017 B, 3% 4/15/22 500,000 518,925 
Series 2018 B, 5% 4/15/22 810,000 862,796 
Series 2018 F:   
5% 9/15/21 665,000 689,897 
5% 9/15/22 225,000 244,076 
Series 2019 A:   
5% 4/15/22 355,000 378,139 
5% 4/15/23 1,000,000 1,110,400 
Series 2020 A, 5% 1/15/23 1,470,000 1,616,089 
Series A:   
5% 10/15/21 1,050,000 1,093,475 
5% 3/15/23 690,000 763,540 
Series B:   
4% 6/15/21 250,000 255,047 
4% 6/15/22 250,000 264,405 
Series C:   
4% 6/1/24 1,050,000 1,180,851 
5% 6/15/21 1,000,000 1,025,541 
5% 6/1/24 300,000 320,967 
Series H, 5% 11/15/22 390,000 425,744 
Connecticut Health & Edl. Facilities Auth. Rev.:   
(Quinnipiac Univ., Ct Proj.) Series 2016 M, 5% 7/1/21 400,000 410,753 
Bonds:   
Series 2014 A, 1.1%, tender 2/7/23 (a) 5,000,000 5,082,000 
Series 2014 B, 1.8%, tender 7/1/24 (a) 345,000 358,638 
Series 2015 A, 2.05%, tender 7/12/21 (a) 5,000,000 5,054,302 
Series 2017 B, 0.55%, tender 7/3/23 (a) 10,000,000 10,121,000 
Series U1, 2%, tender 2/8/22 (a) 500,000 510,210 
Series 2020 K:   
5% 7/1/22 250,000 267,688 
5% 7/1/23 250,000 278,505 
Series A, 5% 7/1/21 (Escrowed to Maturity) 800,000 821,792 
Series N:   
5% 7/1/21 610,000 624,950 
5% 7/1/22 400,000 415,900 
5% 7/1/23 415,000 439,224 
Connecticut Higher Ed. Supplemental Ln. Auth. Rev.:   
(Chesla Ln. Prog.) Series 2017 A, 5% 11/15/22 (b) 300,000 321,156 
(Chesla Loan Prog.) Series B:   
5% 11/15/22 (b) 115,000 122,650 
5% 11/15/23 (b) 425,000 465,817 
Series 2017 B:   
5% 11/15/21 (b) 655,000 678,378 
5% 11/15/23 (b) 125,000 137,766 
Connecticut Hsg. Fin. Auth.:   
Bonds Series 2019 E, 1.625%, tender 11/15/22 (a) 3,000,000 3,002,460 
Series 2013 B2, 4% 11/15/32 45,000 46,186 
Series C:   
5% 5/15/23 (b) 205,000 226,976 
5% 11/15/23 (b) 710,000 799,432 
Connecticut Muni. Elec. Energy Coop. Pwr. Supply Sys. Rev. Series 2012 A, 5% 1/1/23 395,000 415,275 
Connecticut Spl. Tax Oblig. Trans. Infrastructure Rev.:   
Series 2012 A, 5% 1/1/23 480,000 526,526 
Series 2012 B, 5% 1/1/21 450,000 451,723 
Series 2014 B, 5% 9/1/22 250,000 270,690 
Series 2015 A, 5% 8/1/23 300,000 337,071 
Series 2016 A, 5% 9/1/21 700,000 724,858 
Series A:   
4% 5/1/21 250,000 253,886 
5% 1/1/22 290,000 304,889 
5% 5/1/22 1,080,000 1,152,360 
Series B, 5% 10/1/21 1,070,000 1,112,231 
Hartford Gen. Oblig. Series 2012 A, 5% 4/1/21 (FSA Insured) 2,000,000 2,029,470 
New Britain Gen. Oblig. Series 2017 A, 5% 3/1/21 (Escrowed to Maturity) 90,000 91,076 
New Haven Gen. Oblig.:   
Series 2016 A, 5% 8/15/25 (FSA Insured) 20,000 23,501 
Series B, 5% 2/1/22 350,000 364,655 
Univ. of Connecticut Gen. Oblig.:   
Series 2016 A, 5% 3/15/22 190,000 201,149 
Series 2019 A, 5% 11/1/25 225,000 273,377 
TOTAL CONNECTICUT  64,741,232 
Delaware - 0.1%   
Delaware Econ. Dev. Auth. Rev. Bonds (Delmarva Pwr. & Lt. Co. Proj.) Series A, 1.05%, tender 7/1/25 (a) 565,000 573,848 
Delaware Trans. Auth. Grant Series 2020:   
5% 9/1/22 1,250,000 1,353,450 
5% 9/1/23 1,400,000 1,579,942 
TOTAL DELAWARE  3,507,240 
Delaware, New Jersey - 0.0%   
Delaware River & Bay Auth. Rev. Series 2014 C, 5% 1/1/21 45,000 45,171 
District Of Columbia - 0.6%   
District of Columbia Hsg. Fin. Agcy. Multi-family Hsg. Rev. Bonds:   
(Liberty Place Apts. Proj.) Series 2018, 2.13%, tender 12/1/20 (a) 5,000,000 5,000,000 
(Park Southern Apts. Proj.) Series 2020, 0.7%, tender 6/1/23 (a) 9,000,000 9,015,030 
Metropolitan Washington DC Arpts. Auth. Sys. Rev.:   
Series 2011 C:   
5% 10/1/21 (b) 365,000 378,812 
5% 10/1/22 (b) 430,000 445,390 
5% 10/1/23 (b) 140,000 145,298 
5% 10/1/24 (b) 115,000 119,302 
Series 2012 A:   
5% 10/1/22 (b) 140,000 151,116 
5% 10/1/23 (b) 500,000 541,250 
Series 2014 A:   
5% 10/1/21 (b) 400,000 415,137 
5% 10/1/23 (b) 110,000 123,860 
Series 2017 A, 5% 10/1/26 (b) 145,000 180,129 
Series 2019 A:   
5% 10/1/21 (b) 130,000 134,919 
5% 10/1/22 (b) 290,000 313,026 
5% 10/1/23 (b) 50,000 56,300 
5% 10/1/25 (b) 155,000 187,370 
Series 2020 A:   
5% 10/1/21 (b) 1,200,000 1,245,411 
5% 10/1/22 (b) 1,750,000 1,888,950 
5% 10/1/23 (b) 925,000 1,041,550 
5% 10/1/24 (b) 2,575,000 3,008,810 
5% 10/1/25 (b) 530,000 640,685 
Washington D.C. Metropolitan Transit Auth. Rev. Series 2017 A1, 5% 7/1/24 870,000 1,011,523 
TOTAL DISTRICT OF COLUMBIA  26,043,868 
Florida - 1.6%   
Alachua County Health Facilities Auth. Health Facilities Rev. Series 2019 B1, 5% 12/1/20 550,000 550,000 
Brevard County School Board Ctfs. of Prtn.:   
Series 2014, 5% 7/1/21 20,000 20,552 
Series 2015 C:   
5% 7/1/21 15,000 15,414 
5% 7/1/22 80,000 85,990 
5% 7/1/23 65,000 72,500 
Broward County Arpt. Sys. Rev.:   
Series 2012 P1, 5% 10/1/25 (b) 1,000,000 1,075,820 
Series 2012 P2, 5% 10/1/22 230,000 248,262 
Series 2012 Q, 5% 10/1/21 (b) 320,000 331,891 
Series 2012 Q2, 5% 10/1/30 (Pre-Refunded to 10/1/22 @ 100) (b) 200,000 217,030 
Series 2015 C, 5% 10/1/24 (b) 145,000 168,587 
Series 2019 A, 5% 10/1/21 (b) 2,185,000 2,266,192 
Series 2019 B:   
5% 10/1/21 (b) 1,665,000 1,726,869 
5% 10/1/23 (b) 700,000 785,666 
Series A:   
5% 10/1/22 (b) 65,000 69,975 
5% 10/1/23 (b) 90,000 101,014 
Broward County Fin. Auth. Multi-family Hsg. Rev. Bonds Series 2019 B, 1.2%, tender 8/1/21 (a) 4,000,000 4,024,121 
Broward County Port Facilities Rev.:   
Series 2011 B:   
4.625% 9/1/27 (Pre-Refunded to 9/1/21 @ 100) (b) 475,000 489,958 
5% 9/1/21 (b) 215,000 221,514 
5% 9/1/21 (Escrowed to Maturity) (b) 240,000 248,227 
Series 2019 D, 5% 9/1/22 (b) 850,000 909,959 
Broward County School Board Ctfs. of Prtn.:   
(Broward County School District Proj.) Series 2017 C, 5% 7/1/22 70,000 75,242 
Series 2015 A:   
5% 7/1/21 100,000 102,760 
5% 7/1/22 345,000 370,834 
5% 7/1/23 60,000 67,022 
5% 7/1/24 30,000 34,845 
Series 2015 B:   
5% 7/1/22 100,000 107,488 
5% 7/1/23 60,000 67,022 
5% 7/1/24 25,000 29,038 
Central Florida Expressway Auth. Sr. Lien Rev.:   
Series 2019 A, 5% 7/1/21 625,000 641,393 
Series 2019 B, 5% 7/1/21 1,000,000 1,026,229 
Citizens Property Ins. Corp. Series 2012 A1:   
5% 6/1/21 2,915,000 2,983,020 
5% 6/1/22 1,145,000 1,225,150 
Escambia County Poll. Cont. Rev. (Gulf Pwr. Co. Proj.) Series 2003, 2.6% 6/1/23 2,500,000 2,633,175 
Florida Dev. Fin. Corp. Edl. Facilities (Nova Southeastern Univ. Proj.) Series 2020 A:   
5% 4/1/23 350,000 382,438 
5% 4/1/24 360,000 407,221 
5% 4/1/25 200,000 233,572 
Florida Governmental Util. Auth. Rev. Series 2019, 4% 10/1/21 400,000 412,164 
Florida Higher Edl. Facilities Fing. Auth. Series 2019, 5% 10/1/21 450,000 458,951 
Florida Hsg. Fin. Corp. Multi-family Mtg. Rev. Series 2019 A, 2% 8/1/21 2,500,000 2,529,335 
Florida Hsg. Fin. Corp. Rev. Series 2017:   
1.95% 1/1/21 300,000 300,347 
2% 7/1/21 260,000 262,167 
2.05% 1/1/22 205,000 208,284 
Florida Mid-Bay Bridge Auth. Rev. Series 2015 A:   
5% 10/1/21 20,000 20,682 
5% 10/1/22 45,000 48,359 
5% 10/1/23 55,000 60,862 
5% 10/1/24 45,000 51,438 
5% 10/1/25 40,000 47,079 
5% 10/1/26 45,000 52,688 
Florida Muni. Pwr. Agcy. Rev. Series 2016 A, 5% 10/1/22 250,000 271,098 
Greater Orlando Aviation Auth. Arpt. Facilities Rev.:   
Series 2011 B, 4% 10/1/22 (b) 500,000 513,595 
Series 2015 A, 4% 10/1/22 (b) 430,000 455,194 
Series 2016, 5% 10/1/24 (b) 285,000 331,598 
Series 2017 A:   
5% 10/1/25 (b) 65,000 78,162 
5% 10/1/26 (b) 45,000 55,296 
Series 2019 A:   
5% 10/1/22 (b) 2,415,000 2,600,303 
5% 10/1/23 (b) 700,000 785,876 
Halifax Hosp. Med. Ctr. Rev. Series 2015, 5% 6/1/23 30,000 32,966 
Hillsborough County Aviation Auth. Rev. Series A:   
5% 10/1/21 (b) 990,000 1,025,942 
5% 10/1/25 (b) 520,000 580,523 
Hillsborough County School District Sales Tax Rev. Series 2015 B, 5% 10/1/22 (FSA Insured) 45,000 48,815 
Indian River County School Board Ctfs. of Prtn. Series 2014:   
5% 7/1/22 55,000 59,028 
5% 7/1/23 175,000 193,904 
Jacksonville Elec. Auth. Elec. Sys. Rev.:   
Series 2013 A, 5% 10/1/21 500,000 518,579 
Series 2013 B, 5% 10/1/21 820,000 850,470 
Series 2013 C, 5% 10/1/22 (Escrowed to Maturity) 535,000 581,385 
Series 2014 A, 5% 10/1/21 1,380,000 1,431,279 
Lee Memorial Health Sys. Hosp. Rev. Series 2019 A1, 5% 4/1/21 400,000 405,989 
Manatee County Rev. Series 2013, 5% 10/1/22 20,000 21,765 
Manatee County School District Series 2017:   
5% 10/1/21 (FSA Insured) 255,000 265,239 
5% 10/1/24 (FSA Insured) 30,000 34,695 
Miami Dade County Hsg. Multifamily Hsg. Rev. Bonds Series 2020, 1.4%, tender 4/1/22 (a) 4,000,000 4,030,000 
Miami-Dade County Aviation Rev.:   
Series 2012 A:   
5% 10/1/21 (b) 335,000 346,877 
5% 10/1/22 (b) 250,000 269,183 
5% 10/1/24 (b) 200,000 215,544 
Series 2014, 5% 10/1/22 (b) 235,000 253,032 
Series 2015 A, 5% 10/1/21 (b) 255,000 264,041 
Miami-Dade County Expressway Auth.:   
(Waste Mgmt., Inc. of Florida Proj.) Series 2013 A:   
5% 7/1/21 345,000 353,599 
5% 7/1/22 45,000 48,036 
5% 7/1/23 45,000 48,032 
Series 2014 A, 5% 7/1/21 250,000 256,231 
Series 2014 B:   
5% 7/1/22 35,000 37,361 
5% 7/1/23 70,000 77,714 
Miami-Dade County Health Facilities Auth. Hosp. Rev. Series 2010, 5.25% 8/1/21 45,000 45,166 
Miami-Dade County Indl. Dev. Auth. Solid Waste Disp. Rev. Bonds:   
(Waste Mgmt. of Florida Proj.) Series 2018, 2.85%, tender 8/2/21 (a)(b) 3,960,000 4,017,040 
Series 2011, 0.55%, tender 11/1/41 (a)(b) 2,900,000 2,901,583 
Miami-Dade County School Board Ctfs. of Prtn.:   
Series 2014 D:   
5% 11/1/21 135,000 140,862 
5% 11/1/22 65,000 70,721 
5% 11/1/23 200,000 226,608 
Series 2015 A:   
5% 5/1/21 415,000 423,166 
5% 5/1/22 605,000 645,535 
5% 5/1/23 1,040,000 1,155,066 
Series 2015 D, 5% 2/1/22 410,000 432,669 
North Broward Hosp. District Rev. Series 2017 B, 5% 1/1/21 380,000 381,239 
Orange County Health Facilities Auth. Series B:   
5% 10/1/21 1,330,000 1,378,853 
5% 10/1/22 1,295,000 1,399,312 
Orlando & Orange County Expressway Auth. Rev. Series 2012, 5% 7/1/22 305,000 327,939 
Palm Beach County Health Facilities Auth. Hosp. Rev.:   
Series 2014:   
5% 12/1/20 (Escrowed to Maturity) 30,000 30,000 
5% 12/1/21 (Escrowed to Maturity) 35,000 36,640 
5% 12/1/23 (Escrowed to Maturity) 5,000 5,694 
5% 12/1/24 (Escrowed to Maturity) 10,000 11,840 
Series 2019, 5% 8/15/21 425,000 438,213 
Palm Beach County School Board Ctfs. of Prtn.:   
(Palm Beach County School District Proj.):   
Series 2018 A, 5% 8/1/21 2,000,000 2,063,107 
Series 2018 B, 5% 8/1/21 1,100,000 1,134,709 
Series 2014 B:   
4% 8/1/21 90,000 92,243 
5% 8/1/21 115,000 118,629 
5% 8/1/22 40,000 43,153 
Pasco County School Board Ctfs. of Prtn. Bonds Series 2020 B, 0.86%, tender 8/2/23 (a) 5,000,000 5,002,350 
Pasco County School District Sales Tax Rev. Series 2013:   
5% 10/1/21 120,000 124,203 
5% 10/1/22 20,000 21,554 
Pinellas County Hsg. Fin. Auth. Bonds (Lutheran Apts. Proj.) Series 2019 B, 1.25%, tender 8/1/21 (a) 1,625,000 1,634,579 
Seminole County School Board Ctfs. of Prtn. Series 2016 C:   
5% 7/1/25 20,000 24,150 
5% 7/1/26 25,000 31,204 
Tallahassee Health Facilities Rev. (Tallahassee Memorial Healthcare, Inc. Proj.) Series 2016 A, 5% 12/1/21 65,000 67,402 
Tampa Bay Wtr. Reg'l. Wtr. Supply Auth. Util. Sys. Rev. Series 2005, 5.5% 10/1/22 (FGIC Insured) 30,000 32,892 
Tampa Hosp. Rev. (H. Lee Moffitt Cancer Ctr. Proj.) Series 2020 B:   
5% 7/1/23 90,000 99,551 
5% 7/1/24 75,000 85,959 
5% 7/1/25 100,000 118,300 
5% 7/1/26 175,000 212,508 
5% 7/1/27 150,000 185,933 
Volusia County Edl. Facilities Auth. Rev. (Embry-Riddle Aeronautical Univ., Inc. Proj.) Series 2020 A:   
4% 10/15/21 390,000 400,996 
4% 10/15/22 300,000 318,063 
5% 10/15/23 590,000 660,658 
5% 10/15/24 1,000,000 1,160,550 
5% 10/15/25 1,000,000 1,198,750 
5% 10/15/26 750,000 922,973 
5% 10/15/27 165,000 207,507 
TOTAL FLORIDA  75,839,766 
Georgia - 2.3%   
Atlanta Arpt. Rev.:   
Series 2011 B, 5% 1/1/26 (b) 400,000 401,516 
Series 2014 B, 5% 1/1/22 20,000 21,020 
Series 2019 B, 5% 7/1/22 (b) 845,000 905,620 
Atlanta Urban Residential Fin. Auth. Bonds:   
(Creekside at Adamsville Place Proj.) Series 2019, 1.95%, tender 5/1/21 (a) 7,000,000 7,045,980 
(Herndon Square Sr. Apts. Proj.) Series 2019, 1.36%, tender 12/1/21 (a) 3,195,000 3,229,978 
Atlanta Urban Residential Fin. Auth. Multi-family Hsg. Rev. Bonds (Parkside Proj.) Series 2019 B, 1.38%, tender 1/1/22 (a) 4,685,000 4,731,382 
Bartow County Dev. Auth. Poll. Cont. Rev. Bonds (Georgia Pwr. Co. Plant Bowen Proj.):   
Series 2009 1st, 2.75%, tender 3/15/23 (a) 1,500,000 1,566,570 
Series 2013, 1.55%, tender 8/19/22 (a) 2,370,000 2,404,247 
Brookhaven Dev. Auth. Rev. Series 2019 A, 5% 7/1/22 1,000,000 1,074,550 
Burke County Indl. Dev. Auth. Poll. Cont. Rev. Bonds:   
(Georgia Pwr. Co. Plant Vogtle Proj.):   
Series 1994, 2.25%, tender 5/25/23 (a) 1,700,000 1,760,775 
Series 1995 5, 2.05%, tender 11/19/21 (a) 375,000 380,400 
Series 2008, 1.65%, tender 6/18/21 (a) 940,000 945,613 
Series 2012 1st, 1.55%, tender 8/22/22 (a) 2,000,000 2,028,900 
Series 2013 1st, 2.925%, tender 3/12/24 (a) 990,000 1,056,380 
(Oglethorpe Pwr. Corp. Vogtle Proj.) Series 2017 E, 3.25%, tender 2/3/25 (a) 100,000 108,551 
Series 1996, 2.35%, tender 12/11/20 (a) 1,840,000 1,840,834 
Cobb County Kennestone Hosp. Auth. Rev.:   
(Wellstar Health Sys., Inc. Proj.) Series 2017 A, 5% 4/1/21 100,000 101,494 
(WellStar Health Sys., Inc. Proj.):   
Series 2020 A:   
5% 4/1/22 150,000 159,002 
5% 4/1/23 150,000 165,479 
Series 2020 B, 5% 4/1/22 (d) 1,120,000 1,179,136 
DeKalb County Hsg. Auth. Multi-family Hsg. Rev. Bonds Series 2019 A, 2%, tender 2/1/21 (a) 9,000,000 9,024,140 
Fayette County Hosp. Auth. Rev. Bonds (Piedmont Healthcare, Inc. Proj.) Series 2019 A, 5%, tender 7/1/24 (a) 750,000 850,200 
Fulton County Dev. Auth. Hosp. R (Wellstar Health Sys., Inc. Proj.) Series 2017 A, 5% 4/1/21 85,000 86,270 
Fulton County Dev. Auth. Rev. Series 2019 C:   
5% 7/1/21 1,000,000 1,027,478 
5% 7/1/22 1,000,000 1,074,550 
5% 7/1/23 1,300,000 1,452,854 
Georgia Muni. Elec. Auth. Pwr. Rev.:   
Series 2008 A, 5.25% 1/1/21 140,000 140,563 
Series 2011 A, 5% 1/1/21 5,775,000 5,797,069 
Series 2011 B, 5% 1/1/21 750,000 752,866 
Series 2012 A, 5% 11/1/21 435,000 453,685 
Series 2015 A, 5% 1/1/21 255,000 255,974 
Series 2016 A:   
4% 1/1/21 280,000 280,845 
5% 1/1/22 350,000 367,535 
5% 1/1/23 280,000 306,401 
Series 2019 A:   
5% 1/1/21 600,000 602,293 
5% 1/1/22 1,495,000 1,569,900 
Series 2020 A:   
3% 11/1/21 (d) 1,300,000 1,330,860 
3% 11/1/22 (d) 1,045,000 1,096,581 
4% 11/1/23 (d) 2,780,000 3,065,840 
4% 11/1/24 (d) 200,000 227,098 
4% 11/1/25 (d) 800,000 931,896 
5% 1/1/22 1,905,000 2,000,441 
5% 1/1/23 5,625,000 6,155,381 
5% 1/1/24 2,105,000 2,391,070 
5% 1/1/24 1,250,000 1,419,875 
5% 11/1/26 (d) 805,000 1,002,644 
Series C, 5% 1/1/22 1,200,000 1,260,120 
Series GG, 5% 1/1/21 255,000 255,974 
Georgia Muni. Gas Auth. Rev. (Gas Portfolio III Proj.):   
Series 2014 U:   
5% 10/1/22 20,000 21,722 
5% 10/1/23 55,000 62,046 
Series R, 5% 10/1/21 110,000 114,313 
Griffin-Spalding County Hosp. (Wellstar Health Sys., Inc. Proj.) Series 2017 A, 3% 4/1/21 35,000 35,292 
Lagrange-Troup County Hosp. Rev. (Wellstar Health Sys., Inc. Proj.) Series 2017 A, 5% 4/1/21 85,000 86,270 
Main Street Natural Gas, Inc.:   
Bonds:   
Series 2018 A, 4%, tender 9/1/23 (a) 1,000,000 1,090,990 
Series 2018 C, 4%, tender 12/1/23 (a) 400,000 439,352 
Series 2018 E, SIFMA Municipal Swap Index + 0.570% 0.68%, tender 12/1/23 (a)(c) 12,500,000 12,530,000 
Seroes 2018 B, 1 month U.S. LIBOR + 0.750% 0.849%, tender 9/1/23 (a)(c) 11,500,000 11,517,365 
Series 2019 A, 5% 5/15/22 1,000,000 1,062,430 
Series 2019 C, 5% 9/1/21 285,000 294,333 
Monroe County Dev. Auth. Poll. Cont. Rev.:   
(Georgia Pwr. Co. Plant Scherer Proj.) Series 1995, 2.25% 7/1/25 435,000 448,276 
Bonds:   
(Georgia Pwr. Co. Plant Scherer Proj.):   
Series 2009 1, 2.05%, tender 11/19/21 (a) 705,000 715,152 
Series 2009, 2.35%, tender 12/11/20 (a) 2,275,000 2,276,049 
(Oglethorpe Pwr. Corp. Scherer Proj.) Series 2013 A, 1.5%, tender 2/3/25 (a) 1,500,000 1,521,690 
Private Colleges & Univs. Auth. Rev. (The Savannah College of Arts and Design Projs.) Series 2014, 5% 4/1/21 75,000 76,022 
TOTAL GEORGIA  108,579,132 
Hawaii - 0.2%   
Hawaii Dept. of Budget & Fin. Spl. Purp. Rev. (Queens Health Sys. Proj.) Series 2015 B, SIFMA Municipal Swap Index + 0.140% 0.56%, tender 7/1/39 (a)(c) 545,000 545,000 
Hawaii Gen. Oblig.:   
Series 2020 A:   
5% 7/1/24 (b)(d) 250,000 287,965 
5% 7/1/25 (b)(d) 350,000 416,479 
Series GA, 5% 10/1/21 5,000,000 5,199,055 
State of Hawaii Dept. of Trans. Series 2013:   
5% 8/1/21 (b) 10,000 10,260 
5% 8/1/21 (FSA Insured) (b) 300,000 308,099 
5% 8/1/22 (b) 45,000 47,870 
5% 8/1/23 (b) 30,000 33,108 
TOTAL HAWAII  6,847,836 
Idaho - 0.0%   
Idaho Health Facilities Auth. Rev.:   
Series 2015 D, 5% 12/1/20 500,000 500,000 
Series 2015 ID, 5% 12/1/21 250,000 261,408 
Idaho Hsg. & Fin. Assoc. Single Family Mtg.:   
(Idaho St Garvee Proj.) Series 2017 A, 5% 7/15/21 230,000 236,334 
Series 2019 A, 4% 1/1/50 55,000 61,191 
TOTAL IDAHO  1,058,933 
Illinois - 3.3%   
Champaign County Cmnty. Unit Series 2017, 5% 1/1/21 355,000 356,333 
Chicago Board of Ed.:   
Series 1999, 0% 12/1/22 (Berkshire Hathaway Assurance Corp. Insured) (FGIC Insured) 560,000 546,890 
Series 2019 A, 5% 12/1/23 1,000,000 1,072,790 
Chicago Gen. Oblig.:   
Series 2015 C, 5% 1/1/21 (Escrowed to Maturity) 435,000 436,677 
Series 2020 A:   
3% 1/1/21 500,000 500,123 
5% 1/1/21 400,000 400,734 
5% 1/1/25 1,500,000 1,613,625 
Chicago Midway Arpt. Rev.:   
Series 2013 B:   
5% 1/1/21 250,000 250,929 
5% 1/1/22 610,000 640,360 
5% 1/1/23 190,000 206,712 
Series 2014 A:   
5% 1/1/22 (b) 2,865,000 2,999,598 
5% 1/1/24 (b) 1,000,000 1,120,220 
Series 2014 B:   
5% 1/1/21 10,000 10,037 
5% 1/1/23 225,000 244,791 
Series 2016 A, 5% 1/1/24 (b) 1,000,000 1,120,220 
Chicago Motor Fuel Tax Rev. Series 2013:   
5% 1/1/21 10,000 10,007 
5% 1/1/22 5,000 5,050 
5% 1/1/23 10,000 10,379 
Chicago O'Hare Int'l. Arpt. Rev.:   
Series 2012 A:   
5% 1/1/21 30,000 30,113 
5% 1/1/23 (Pre-Refunded to 1/1/22 @ 100) (b) 1,000,000 1,049,880 
5% 1/1/25 (Pre-Refunded to 1/1/22 @ 100) (b) 500,000 524,940 
Series 2012 B:   
5% 1/1/21 (b) 100,000 100,363 
5% 1/1/22 (b) 1,875,000 1,964,138 
5% 1/1/22 (Escrowed to Maturity) (b) 1,000,000 1,049,880 
Series 2013 A:   
5% 1/1/21 (b) 2,435,000 2,443,843 
5% 1/1/22 (Escrowed to Maturity) (b) 1,400,000 1,469,832 
5% 1/1/23 (b) 1,440,000 1,567,613 
Series 2013 B:   
5% 1/1/21 725,000 727,723 
5% 1/1/22 (Escrowed to Maturity) 135,000 141,931 
Series 2013 C, 5% 1/1/22 (Escrowed to Maturity) (b) 700,000 734,916 
Series 2013 D, 5% 1/1/22 (Escrowed to Maturity) 70,000 73,594 
Series 2015 B, 5% 1/1/21 1,190,000 1,194,469 
Series 2015 D, 5% 1/1/21 250,000 250,939 
Series 2017 C, 5% 1/1/22 110,000 115,536 
Series 2017 D, 5% 1/1/27 (b) 35,000 42,903 
Series 2018 A, 5% 1/1/21 (b) 250,000 250,908 
Chicago Park District Gen. Oblig.:   
Series 2010 C, 5% 1/1/24 280,000 280,986 
Series 2015 B, 5% 1/1/21 770,000 772,244 
Chicago Transit Auth. Cap. Grant Receipts Rev. Series 2017:   
5% 6/1/21 635,000 648,336 
5% 6/1/25 25,000 29,556 
Chicago Wastewtr. Transmission Rev. Series 2012, 5% 1/1/23 25,000 26,163 
Cook County Cmnty. Consolidated School District No. 59 Series 2020, 4% 3/1/22 480,000 502,027 
Cook County Gen. Oblig.:   
Series 2010 A, 5.25% 11/15/22 545,000 546,891 
Series 2011 A, 5.25% 11/15/22 20,000 20,820 
Series 2012 C:   
5% 11/15/21 120,000 124,645 
5% 11/15/22 590,000 636,480 
Series 2014 A:   
5% 11/15/21 35,000 36,355 
5% 11/15/22 275,000 296,665 
Series 2016 A, 5% 11/15/21 2,250,000 2,337,092 
DeKalb County Cmnty. Unit Scd Series 2001, 0% 1/1/21 (AMBAC Insured) 1,175,000 1,174,253 
Illinois Dev. Fin. Auth. Solid Waste Disp. Rev. Bonds (Waste Mgmt., Inc. Proj.) Series 2019, 0.55%, tender 11/1/21 (a)(b) 6,000,000 6,003,276 
Illinois Fin. Auth.:   
Bonds Series 2020 B, 5%, tender 11/15/24 (a) 1,450,000 1,659,801 
Series 2013 A:   
5% 6/1/23 540,000 597,920 
5% 6/1/23 (Escrowed to Maturity) 55,000 61,324 
Series 2020 A:   
5% 8/15/21 1,000,000 1,030,730 
5% 8/15/22 750,000 804,218 
Illinois Fin. Auth. Rev.:   
(Bradley Univ. Proj.) Series 2017 C, 5% 8/1/26 35,000 40,339 
(Edward-Elmhurst Healthcare) Series 2017 A, 5% 1/1/25 100,000 116,600 
Bonds:   
(Ascension Health Cr. Group Proj.) Series 2012 E2, 1.75%, tender 4/1/21 (a) 3,030,000 3,044,399 
Series 2016 B, 1 month U.S. LIBOR + 1.350% 1.453%, tender 12/1/20 (a)(c) 1,090,000 1,090,151 
Series 2017 B, 5%, tender 12/15/22 (a) 265,000 289,200 
Series E, 2.25%, tender 4/29/22 (a) 770,000 790,867 
Series 2011 IL:   
4% 12/1/20 350,000 350,000 
5% 12/1/22 (Pre-Refunded to 12/1/21 @ 100) 25,000 26,185 
Series 2012 A:   
5% 5/15/22 250,000 264,873 
5% 5/15/23 (Pre-Refunded to 5/15/22 @ 100) 30,000 32,070 
Series 2012:   
5% 9/1/21 45,000 46,588 
5% 9/1/22 75,000 80,987 
Series 2014 A, 5.25% 7/1/44 (Pre-Refunded to 7/1/23 @ 100) 3,000,000 3,379,770 
Series 2014, 5% 8/1/22 1,000,000 1,075,860 
Series 2015 A:   
5% 11/15/22 10,000 10,857 
5% 11/15/22 1,000,000 1,078,570 
5% 11/15/24 35,000 40,486 
5% 11/15/25 45,000 53,751 
5% 11/15/26 45,000 53,580 
Series 2015 B, 5% 11/15/24 45,000 52,530 
Series 2016 A:   
5% 2/15/21 15,000 15,128 
5% 8/15/21 (Escrowed to Maturity) 15,000 15,504 
5% 2/15/23 20,000 21,819 
5% 8/15/23 (Escrowed to Maturity) 35,000 39,344 
5% 8/15/24 (Escrowed to Maturity) 50,000 58,445 
5% 7/1/25 250,000 296,368 
Series 2016 C:   
5% 2/15/21 215,000 216,908 
5% 2/15/22 225,000 236,817 
5% 2/15/23 700,000 769,321 
5% 2/15/24 115,000 131,438 
Series 2016:   
5% 5/15/21 740,000 754,152 
5% 12/1/21 5,000,000 5,210,213 
5% 7/1/22 65,000 69,900 
5% 5/15/25 10,000 11,757 
5% 5/15/26 20,000 24,185 
5% 5/15/27 25,000 30,032 
Series 2017 A, 5% 7/15/21 600,000 616,827 
Series 2017:   
5% 1/1/23 35,000 38,431 
5% 1/1/25 50,000 59,475 
Series 2019:   
5% 9/1/22 225,000 235,141 
5% 4/1/26 1,000,000 1,220,590 
Illinois Gen. Oblig.:   
Series 2006, 5% 6/1/21 405,000 412,077 
Series 2010:   
5% 1/1/21 (FSA Insured) 35,000 35,115 
5% 1/1/23 (FSA Insured) 250,000 254,118 
Series 2012 A, 4% 1/1/23 30,000 30,593 
Series 2012:   
5% 8/1/21 55,000 56,258 
5% 8/1/22 1,760,000 1,844,005 
5% 8/1/22 (FSA Insured) 2,800,000 2,972,312 
Series 2013:   
5% 7/1/21 3,070,000 3,132,021 
5% 7/1/22 375,000 392,333 
Series 2014:   
5% 2/1/21 865,000 870,145 
5% 2/1/22 65,000 67,434 
5% 4/1/23 50,000 53,035 
5% 2/1/25 50,000 53,346 
Series 2016:   
5% 1/1/21 3,325,000 3,334,827 
5% 2/1/21 4,000,000 4,023,794 
5% 11/1/21 1,505,000 1,551,079 
5% 1/1/22 1,650,000 1,708,328 
5% 1/1/26 300,000 329,547 
5% 2/1/26 1,235,000 1,357,858 
Series 2017 A:   
5% 12/1/22 5,000,000 5,269,050 
5% 12/1/23 750,000 803,490 
Series 2017 D:   
5% 11/1/21 2,180,000 2,223,718 
5% 11/1/23 420,000 443,327 
Series 2018 A:   
5% 5/1/21 1,650,000 1,674,195 
5% 10/1/21 1,500,000 1,542,131 
5% 10/1/26 1,340,000 1,481,692 
5.25% 5/1/22 1,500,000 1,569,540 
Series 2020 May, 5.125% 5/1/22 275,000 287,271 
Series 2020, 4.875% 5/1/21 1,350,000 1,369,102 
Illinois Health Facilities Auth. Rev. Series 2003, 1.6% 11/15/22 125,000 126,760 
Illinois Hsg. Dev. Auth. Multi-family Hsg. Rev. Bonds Series 2020, 0.325%, tender 8/1/22 (a) 12,250,000 12,241,548 
Illinois Muni. Elec. Agcy. Pwr. Supply Series 2015 A:   
5% 2/1/21 470,000 473,512 
5% 2/1/22 905,000 952,956 
5% 2/1/23 25,000 27,462 
Illinois Reg'l. Trans. Auth.:   
Series 2002 A, 6% 7/1/21 460,000 474,207 
Series 2017 A, 5% 7/1/21 210,000 215,271 
Illinois Sales Tax Rev. Series 2016 D, 5% 6/15/23 1,500,000 1,625,220 
Illinois State Univ. Revs. Series 2018 A, 5% 4/1/23 (FSA Insured) 290,000 317,654 
Illinois Toll Hwy. Auth. Toll Hwy. Rev. Series 2014 A:   
5% 12/1/20 3,200,000 3,200,000 
5% 12/1/21 990,000 1,035,889 
5% 12/1/22 1,090,000 1,188,732 
Kane County School District #129, Aurora West Side Series 2014 A, 2.75% 2/1/22 1,000,000 1,023,600 
Kane County School District No. 131:   
Series 2020 A:   
3% 12/1/21 (FSA Insured) 355,000 363,602 
4% 12/1/22 (FSA Insured) 235,000 250,402 
5% 12/1/23 (FSA Insured) 290,000 326,972 
Series 2020 B:   
3% 12/1/21 (FSA Insured) 510,000 522,358 
4% 12/1/22 (FSA Insured) 435,000 463,510 
Kendall, Kane & Will Counties Cmnty. Unit School District #308 Series 2011, 5.5% 2/1/23 550,000 605,418 
Lake County Cmnty. Consolidated School District Series 2020, 4% 2/1/22 (FSA Insured) 310,000 322,093 
McHenry County Cmnty. School District #200 Series 2006 B:   
0% 1/15/24 105,000 101,988 
0% 1/15/25 110,000 105,603 
0% 1/15/26 80,000 75,731 
McHenry County Conservation District Gen. Oblig. Series 2014, 5% 2/1/23 50,000 54,992 
Metropolitan Pier & Exposition:   
(McCormick Place Expansion Proj.) Series 1996 A, 0% 6/15/23 (Nat'l. Pub. Fin. Guarantee Corp. Insured) 105,000 100,479 
Series 1994, 0% 6/15/21 (Escrowed to Maturity) 470,000 468,944 
Series 2012 B, 5% 12/15/22 1,655,000 1,758,404 
Northern Illinois Univ. Revs. Series 2020 B, 5% 4/1/22 (Build America Mutual Assurance Insured) 250,000 262,975 
Railsplitter Tobacco Settlement Auth. Rev.:   
Series 2010:   
5.25% 6/1/21 500,000 512,034 
5.375% 6/1/21 310,000 317,653 
Series 2017:   
5% 6/1/22 2,320,000 2,475,718 
5% 6/1/23 1,900,000 2,109,304 
Rockford Park District Series 2019 B, 3% 12/15/20 1,165,000 1,165,933 
Skokie Pk District Series 2003, 0% 12/1/22 1,830,000 1,801,068 
Univ. of Illinois Board of Trustees Ctfs. of Prtn. Series 2014 C, 5% 3/15/23 265,000 290,117 
Univ. of Illinois Rev.:   
Series 2005 A, 5.5% 4/1/21 (Nat'l. Pub. Fin. Guarantee Corp. Insured) 700,000 710,924 
Series 2011 A, 5% 4/1/21 250,000 253,490 
Series 2011, 5% 4/1/22 350,000 354,886 
Series 2018 A, 5% 4/1/22 1,000,000 1,056,010 
Series 2019 A, 5% 4/1/22 485,000 512,165 
Waukegan Gen. Oblig.:   
Series 2018 A:   
3% 12/30/20 (FSA Insured) 1,000,000 1,001,860 
4% 12/30/21 (FSA Insured) 410,000 424,908 
4% 12/30/22 (FSA Insured) 425,000 453,968 
Series 2018 B, 4% 12/30/22 (FSA Insured) 400,000 427,868 
Western Illinois Univ. Board Rev. Series 2020, 4% 4/1/22 1,200,000 1,249,728 
Whiteside & Lee Counties Cmnty. Unit School District Series 2018 A, 4% 12/1/21 1,325,000 1,371,614 
Will County Cmnty. Consolidated School District Series 2013, 2.3% 1/1/21 2,950,000 2,954,721 
TOTAL ILLINOIS  152,130,228 
Indiana - 1.0%   
Indiana Bond Bank Series 2020 A, 3% 1/11/21 5,000,000 5,012,777 
Indiana Dev. Fin. Auth. Solid Waste Disp. Rev. Bonds (Waste Mgmt., Inc. Proj.) Series 2001, 2.95%, tender 10/1/21 (a)(b) 500,000 509,382 
Indiana Fin. Auth. Econ. Dev. Rev. Bonds (Republic Svcs., Inc. Proj.) Series B, 0.25%, tender 12/1/20 (a) 1,400,000 1,400,000 
Indiana Fin. Auth. Health Sys. Rev. Bonds Series 2019 B, 2.25%, tender 7/1/25 (a) 710,000 757,336 
Indiana Fin. Auth. Hosp. Rev.:   
(Cmnty. Health Network Proj.) Series 2012 A, 5% 5/1/42 (Pre-Refunded to 5/1/23 @ 100) 2,000,000 2,224,880 
Bonds:   
Series 2011 H, 1.65%, tender 7/1/22 (a) 3,300,000 3,345,507 
Series 2011 L:   
SIFMA Municipal Swap Index + 0.280% 0.39%, tender 12/3/20 (a)(c) 3,300,000 3,299,844 
SIFMA Municipal Swap Index + 0.280% 0.39%, tender 12/3/20 (a)(c) 3,500,000 3,499,838 
Series 2015 B, 1.65%, tender 7/2/22 (a) 1,190,000 1,206,410 
Series 2013:   
5% 8/15/22 15,000 16,138 
5% 8/15/23 20,000 22,363 
Series 2016 A, 5% 12/1/20 450,000 450,000 
Indiana Fin. Auth. Rev.:   
(Butler Univ. Proj.) Series 2019:   
3% 2/1/22 210,000 215,439 
3% 2/1/23 225,000 232,283 
4% 2/1/24 200,000 215,418 
4% 2/1/25 275,000 302,253 
(DePauw Univ. Proj.) Series 2019:   
5% 7/1/21 565,000 578,847 
5% 7/1/22 600,000 639,792 
Series 2012, 5% 3/1/21 (Escrowed to Maturity) 25,000 25,299 
Series 2016, 5% 9/1/26 205,000 252,019 
Indiana Fin. Auth. Wastewtr. Util. Rev. (CWA Auth. Proj.):   
Series 2012 A, 5% 10/1/22 35,000 38,014 
Series 2014 A:   
5% 10/1/21 10,000 10,396 
5% 10/1/22 15,000 16,292 
Series 2015 A:   
5% 10/1/24 35,000 41,173 
5% 10/1/25 35,000 41,310 
Indiana Health Facility Fing. Auth. Rev. Bonds Series 2001 A2, 2%, tender 2/1/23 (a) 155,000 160,358 
Indiana Univ. Student Fee Revs. Series Z1, 3% 8/1/21 1,895,000 1,930,693 
Indianapolis Local Pub. Impt.:   
(Indianapolis Arpt. Auth. Proj.):   
Series 2016 A1:   
5% 1/1/21 (b) 960,000 963,106 
5% 1/1/23 (b) 45,000 48,812 
5% 1/1/24 (b) 60,000 67,388 
5% 1/1/25 (b) 65,000 75,477 
Series 2019 D, 5% 1/1/24 (b) 150,000 168,471 
Series 2019, 1.45% 6/1/21 3,000,000 3,000,076 
Indianapolis Multifamily Hsg. Rev. Bonds Series A, 1.4%, tender 9/1/21 (a) 4,000,000 4,031,008 
Lafayette School Corp. Series 2019, 4% 1/15/21 425,000 426,798 
Lake Central Multi-District School Bldg. Corp. Series 2012 B:   
4% 1/15/21 25,000 25,108 
5% 7/15/21 20,000 20,571 
Purdue Univ. Rev. Series 2012 AA, 5% 7/1/27 255,000 273,396 
Warrick County Envir. Impt. Rev. Bonds (Southern Indiana Gas and Elec. Co.) Series 2015, 0.875%, tender 9/1/23 (a)(b) 2,800,000 2,801,260 
Whiting Envir. Facilities Rev.:   
(BP Products North America, Inc. Proj.) Series 2009, 5.25% 1/1/21 1,825,000 1,832,326 
Bonds (BP Products North America, Inc. Proj.):   
Series 2015, 5%, tender 11/1/22 (a)(b) 1,780,000 1,930,232 
Series 2016 A, 5%, tender 3/1/23 (a)(b) 3,400,000 3,727,794 
Series 2019 A, 5%, tender 6/5/26 (a)(b) 1,645,000 1,993,839 
TOTAL INDIANA  47,829,723 
Iowa - 0.2%   
Iowa Fin. Auth. Rev. Series 2018 B, 5% 2/15/22 540,000 568,696 
Iowa Fin. Auth. Single Family Mtg. Bonds Series 2018 B, SIFMA Municipal Swap Index + 0.300% 0.41%, tender 12/3/20 (a)(c) 3,500,000 3,500,042 
Iowa Student Ln. Liquidity Corp. Student Ln. Rev.:   
Series 2015 A, 5% 12/1/21 (b) 1,000,000 1,034,312 
Series 2018 A:   
5% 12/1/20 (b) 500,000 500,000 
5% 12/1/21 (b) 500,000 517,156 
5% 12/1/22 (b) 725,000 772,821 
Series 2019 B, 5% 12/1/23 (b) 600,000 661,236 
TOTAL IOWA  7,554,263 
Kansas - 0.1%   
Desoto Unified School District # 232 Series 2015 A, 5% 9/1/22 35,000 37,935 
Kansas Dept. of Trans. Hwy. Rev. Series 2004 C1, 1 month U.S. LIBOR + 0.300% 0.403% 9/1/21 (a)(c) 5,000,000 4,997,593 
Univ. of Kansas Hosp. Auth. Health Facilities Rev. Series 2019 B, 5% 3/1/21 500,000 505,674 
Wichita Health Care Facilities Series III, 4% 5/15/21 455,000 455,940 
Wyandotte County/Kansas City Unified Govt. Util. Sys. Rev. Series 2016 A:   
5% 9/1/22 10,000 10,800 
5% 9/1/23 15,000 16,871 
5% 9/1/25 15,000 18,159 
TOTAL KANSAS  6,042,972 
Kentucky - 1.6%   
Ashland Med. Ctr. Rev.:   
(Ashland Hosp. Corp. D/B/A King's Daughters Med. Ctr. Proj.) Series 2016 A:   
5% 2/1/24 30,000 33,021 
5% 2/1/25 20,000 22,587 
Series 2019:   
5% 2/1/21 385,000 387,168 
5% 2/1/22 500,000 519,515 
Carroll County Envir. Facilities Rev. Bonds (Kentucky Utils. Co. Proj.) Series 2008 A, 1.2%, tender 6/1/21 (a)(b) 1,025,000 1,027,387 
Kenton County Arpt. Board Arpt. Rev. Series 2016, 5% 1/1/22 285,000 298,452 
Kentucky Asset/Liability Commission Agcy. Fund Rev. Series A, 5% 9/1/22 (d) 2,000,000 2,159,680 
Kentucky Bond Dev. Corp. (Lexington Ctr. Corp. Proj.) Series 2018 A, 5% 9/1/21 (Escrowed to Maturity) 435,000 450,514 
Kentucky Econ. Dev. Fin. Auth. Bonds Series 2009 B, 2.7%, tender 11/10/21 (a) 345,000 350,792 
Kentucky Econ. Dev. Fin. Auth. Hosp. Rev. Series 2017 A, 5% 6/1/21 230,000 233,270 
Kentucky Econ. Dev. Fin. Auth. Solid Waste Disp. Rev. Bonds (Republic Svcs., Inc. Proj.):   
Series A, 0.28%, tender 12/1/20 (a)(b) 2,420,000 2,420,000 
Series B, 0.25%, tender 12/1/20 (a) 1,600,000 1,600,000 
Kentucky Higher Ed. Student Ln. Corp. Rev.:   
Series 2019 A1 5% 6/1/23 (b) 250,000 271,483 
Series 2019 A1, 5% 6/1/22 (b) 200,000 210,586 
Kentucky Hsg. Corp. Hsg. Rev. Bonds (Westminster Village Proj.) Series 2019, 2%, tender 4/1/21 (a) 2,000,000 2,010,888 
Kentucky Hsg. Corp. Multi-family Rev. Bonds (City View Park Proj.) Series 2020, 1.16%, tender 8/1/22 (a) 4,000,000 4,045,480 
Kentucky Rural Wtr. Fin. Corp. Series 2020 E, 0.425% 12/1/21 (d) 3,000,000 3,000,372 
Kentucky State Property & Buildings Commission Rev.:   
(Kentucky St Proj.) Series D, 5% 5/1/21 1,130,000 1,151,662 
(Kentucky St Proj.) Series 2005 5% 8/1/21 (Nat'l. Pub. Fin. Guarantee Corp. Insured) 3,050,000 3,143,742 
Series 2002, 5.5% 8/1/21 (AMBAC Insured) 770,000 796,216 
Series 2005, 5% 8/1/22 (Nat'l. Pub. Fin. Guarantee Corp. Insured) 250,000 269,183 
Series 2016 B, 5% 11/1/23 1,785,000 2,015,265 
Series 2016, 5% 11/1/23 375,000 423,956 
Series 2017:   
5% 4/1/21 600,000 609,186 
5% 4/1/22 400,000 424,612 
5% 4/1/23 500,000 552,580 
5% 4/1/24 900,000 1,030,815 
Series 2018:   
5% 5/1/21 1,145,000 1,166,949 
5% 5/1/22 250,000 266,308 
5% 5/1/23 1,415,000 1,569,023 
Series A:   
5% 10/1/21 765,000 794,407 
5% 11/1/21 350,000 364,803 
5% 2/1/22 350,000 368,844 
5% 8/1/22 905,000 932,756 
5% 11/1/22 610,000 663,814 
5% 11/1/25 350,000 422,986 
Series B:   
3% 5/1/21 275,000 277,999 
5% 11/1/21 975,000 1,016,236 
5% 8/1/22 1,620,000 1,744,303 
5% 8/1/23 2,695,000 3,014,250 
Series C, 5% 11/1/21 2,875,000 2,996,594 
Kentucky, Inc. Pub. Energy:   
Bonds Series 2019 A1, 4%, tender 6/1/25 (a) 1,000,000 1,138,990 
Series 2018 B, 4% 7/1/21 1,350,000 1,376,875 
Series A:   
4% 6/1/21 270,000 274,646 
4% 12/1/22 350,000 373,594 
Louisville & Jefferson County:   
Bonds:   
Series 2020 B, 5%, tender 10/1/23 (a) 840,000 941,573 
Series 2020 C, 5%, tender 10/1/26 (a) 2,015,000 2,460,134 
Series 2016 A, 5% 10/1/22 200,000 215,728 
Louisville & Jefferson County Gen. Oblig. Series 2020 A, 5% 10/1/24 2,005,000 2,356,978 
Louisville Reg'l. Arpt. Auth. Sys. Rev. Series 2014 A:   
5% 7/1/21 (b) 1,250,000 1,280,192 
5% 7/1/23 (b) 1,750,000 1,940,943 
5% 7/1/24 (b) 155,000 177,886 
Louisville/Jefferson County Metropolitan Gov. Series 2012 A:   
5% 12/1/28 (Pre-Refunded to 6/1/22 @ 100) 55,000 58,868 
5% 12/1/29 (Pre-Refunded to 6/1/22 @ 100) 230,000 246,174 
Louisville/Jefferson County Metropolitan Govt. Poll. Cont. Rev. Bonds (Louisville Gas and Elec. Co. Proj.):   
Series 2001 B, 2.55%, tender 5/3/21 (a) 2,000,000 2,015,124 
Series 2007 A, 1.65%, tender 6/1/21 (a) 7,250,000 7,282,683 
Series 2007 B, 1.65%, tender 6/1/21 (a) 2,000,000 2,009,016 
Paducah Elec. Plant Board Rev. Series 2019, 5% 10/1/22 2,005,000 2,166,503 
Trimble County Poll. Cont. Rev. Bonds (Louisville Gas and Elec. Co. Proj.):   
Series 2001 A, 2.3%, tender 9/1/21 (a) 600,000 606,959 
Series 2001 B, 2.55%, tender 5/3/21 (a) 2,590,000 2,609,586 
Univ. Louisville Revs. Series 2016 C, 3% 9/1/21 780,000 794,995 
TOTAL KENTUCKY  75,385,131 
Louisiana - 0.5%   
Louisiana Citizens Property Ins. Corp. Assessment Rev. Series 2015:   
5% 6/1/21 (FSA Insured) 1,770,000 1,811,302 
5% 6/1/22 (FSA Insured) 900,000 963,000 
Louisiana Gen. Oblig.:   
Series 2012 C, 5% 7/15/21 240,000 247,082 
Series 2016 D, 5% 9/1/24 155,000 181,942 
Louisiana Hsg. Corp. Multifamily Hsg. Rev. Bonds Series 2018, 0.7%, tender 6/1/21 (a) 7,000,000 7,001,400 
Louisiana Local Govt. Envir. Facilities and Cmnty. Dev. Auth. Bonds (East Baton Rouge Sewerage Commission Proj.) Series 2020 B, 0.875%, tender 2/1/25 (a) 4,000,000 4,004,240 
Louisiana Offshore Term. Auth. Deepwater Port Rev. Bonds Series 2010 B-1A, 2%, tender 10/1/22 (a) 815,000 823,069 
Louisiana Stadium and Exposition District Series 2013 A:   
5% 7/1/21 35,000 35,802 
5% 7/1/22 20,000 21,238 
New Orleans Aviation Board Rev.:   
(North Term. Proj.) Series 2017 B:   
5% 1/1/22 (b) 280,000 292,284 
5% 1/1/23 (b) 1,070,000 1,162,491 
5% 1/1/24 (b) 5,000 5,627 
5% 1/1/25 (b) 5,000 5,817 
5% 1/1/26 (b) 15,000 17,982 
Series 2017 D2:   
5% 1/1/21 (b) 290,000 290,950 
5% 1/1/22 (b) 345,000 360,135 
5% 1/1/23 (b) 10,000 10,864 
5% 1/1/24 (b) 15,000 16,881 
5% 1/1/25 (b) 115,000 133,789 
St. John Baptist Parish Rev. Bonds (Marathon Oil Corp.) Series 2017, 2%, tender 4/1/23 (a) 4,780,000 4,827,896 
St. Tammany Parish Hosp. Svc. (St. Tammany Parish Hosp. Proj.) Series 2011, 4.5% 7/1/21 (Escrowed to Maturity) 600,000 614,605 
Tobacco Settlement Fing. Corp. Series 2013 A:   
5% 5/15/21 635,000 648,960 
5% 5/15/23 100,000 111,414 
TOTAL LOUISIANA  23,588,770 
Maine - 0.0%   
Maine Fin. Auth. Student Ln. Rev. Series 2019 A, 5% 12/1/23 (FSA Insured) (b) 500,000 555,075 
Maine Health & Higher Edl. Facilities Auth. Rev.:   
Series 2017 B, 4% 7/1/21 85,000 86,592 
Series 2020 A, 4% 7/1/22 425,000 447,903 
Maine Tpk. Auth. Tpk. Rev. Series 2015:   
5% 7/1/21 50,000 51,392 
5% 7/1/22 40,000 43,022 
5% 7/1/26 250,000 300,610 
TOTAL MAINE  1,484,594 
Maryland - 0.4%   
Baltimore County Gen. Oblig. Series 2020:   
4% 1/1/21 650,000 651,502 
4% 1/1/22 830,000 855,049 
Baltimore Proj. Rev.:   
(Wtr. Proj.) Series 2020 A:   
5% 7/1/23 (d) 400,000 448,904 
5% 7/1/24 (d) 635,000 741,261 
Series 2017 D:   
5% 7/1/24 70,000 81,714 
5% 7/1/25 75,000 90,904 
Howard County Gen. Oblig. Series A:   
5% 8/15/21 100,000 103,398 
5% 8/15/22 1,000,000 1,082,090 
Maryland Cmnty. Dev. Admin Dept. Hsg. & Cmnty. Dev.:   
Series 2019 B:   
1.6% 3/1/21 1,390,000 1,394,010 
4% 9/1/49 270,000 300,483 
Series 2020 C, 0.625% 7/1/22 500,000 500,425 
Maryland Health & Higher Edl. Bonds Series 2020, 5%, tender 7/1/25 (a) 1,000,000 1,171,710 
Maryland Health & Higher Edl. Facilities Auth. Rev.:   
Series 2015:   
5% 7/1/22 20,000 21,287 
5% 7/1/23 20,000 22,058 
5% 7/1/24 45,000 51,336 
5% 7/1/25 40,000 47,084 
Series 2019 A, 5% 10/1/21 380,000 393,472 
Series 2020 A:   
3% 7/1/21 210,000 212,719 
4% 7/1/22 100,000 105,064 
Series 2020 B:   
5% 4/15/21 440,000 447,429 
5% 4/15/23 675,000 746,300 
Maryland Trans. Auth. Series 2012 B, 5% 3/1/21 (b) 3,565,000 3,600,865 
Maryland Trans. Auth. Trans. Facility Projs. Rev. Series 2020, 5% 7/1/22 1,500,000 1,614,810 
Montgomery County Gen. Oblig. Bonds Series 2013 MD, 0.18%, tender 12/1/20 (a) 3,000,000 3,000,000 
TOTAL MARYLAND  17,683,874 
Massachusetts - 0.5%   
Massachusetts Bay Trans. Auth. Sales Tax Rev. Series B:   
5% 7/1/21 780,000 801,758 
5% 7/1/22 900,000 968,139 
Massachusetts Dept. of Trans. Metropolitan Hwy. Sys. Rev. Series 2019 C, 5% 1/1/21 2,500,000 2,509,636 
Massachusetts Dev. Fin. Agcy. Rev.:   
Bonds Series S3, SIFMA Municipal Swap Index + 0.500% 0.61%, tender 1/26/23 (a)(c) 3,400,000 3,405,134 
Series 2016 A, 5% 7/15/22 30,000 32,363 
Series 2016 I:   
5% 7/1/21 10,000 10,229 
5% 7/1/22 15,000 15,934 
5% 7/1/23 15,000 16,511 
5% 7/1/24 25,000 28,463 
5% 7/1/25 20,000 23,424 
5% 7/1/26 20,000 24,046 
Series 2019 A:   
5% 7/1/21 200,000 204,547 
5% 7/1/22 450,000 477,639 
5% 7/1/24 155,000 175,593 
Series C:   
5% 10/1/21 (FSA Insured) 250,000 258,970 
5% 10/1/22 (FSA Insured) 275,000 296,362 
5% 10/1/23 (FSA Insured) 350,000 390,635 
5% 10/1/24 (FSA Insured) 325,000 375,733 
Massachusetts Edl. Fing. Auth. Rev.:   
Series 2011 J, 5.125% 7/1/22 (b) 2,080,000 2,129,213 
Series 2015 A, 5% 1/1/22 (b) 600,000 627,984 
Series 2016 J:   
5% 7/1/21 (b) 1,465,000 1,503,512 
5% 7/1/22 (b) 1,475,000 1,570,506 
5% 7/1/23 (b) 725,000 799,197 
Series 2016, 5% 7/1/24 (b) 350,000 397,292 
Series 2020 C, 5% 7/1/23 (b) 200,000 220,468 
Massachusetts Gen. Oblig. Bonds Series D2, 1.7%, tender 8/1/22 (a) 250,000 255,510 
Massachusetts Health & Edl. Facilities Auth. Rev. (Partners Healthcare Sys., Inc. Proj.) Series 2007 G2, 0.18%, tender 12/7/20 (FSA Insured) (a) 3,930,000 3,930,000 
Massachusetts Port Auth. Rev.:   
Series 2017 A:   
5% 7/1/24 (b) 65,000 75,046 
5% 7/1/25 (b) 25,000 29,911 
Series 2019 C, 5% 7/1/24 (b) 345,000 398,320 
TOTAL MASSACHUSETTS  21,952,075 
Michigan - 1.5%   
Armada Area Schools Series 2014, 4% 5/1/22 305,000 320,598 
Brandon School District Series A, 5% 5/1/23 430,000 478,569 
Chippewa Valley Schools:   
Series 2013, 5% 5/1/21 310,000 316,139 
Series A, 2% 5/1/21 250,000 251,850 
Clarkston Cmnty. Schools Series 2015, 5% 5/1/22 35,000 37,309 
Dearborn School District Series 2017, 5% 5/1/22 250,000 266,493 
Detroit Downtown Dev. Auth. Tax:   
Series 1, 5% 7/1/22 (FSA Insured) 500,000 534,720 
Series A, 5% 7/1/25 (FSA Insured) 550,000 630,366 
Detroit Swr. Disp. Rev. Series 2006 D, 3 month U.S. LIBOR + 0.600% 0.751% 7/1/32 (a)(c) 90,000 86,279 
Durand Area Schools Gen. Oblig. Series 2015, 5% 5/1/21 335,000 341,422 
Grand Blanc Cmnty. Schools Series 2013:   
5% 5/1/21 45,000 45,872 
5% 5/1/22 40,000 42,639 
Grand Rapids Pub. Schools Series 2017, 5% 5/1/23 (FSA Insured) 30,000 33,358 
Huron Valley School District Series 2011:   
5% 5/1/21 685,000 697,986 
5% 5/1/22 510,000 519,904 
Kalamazoo Hosp. Fin. Auth. Hosp. Facilities Rev. Series 2016:   
5% 5/15/22 20,000 21,250 
5% 5/15/24 10,000 11,429 
5% 5/15/25 15,000 17,744 
5% 5/15/26 15,000 18,290 
Michigan Bldg. Auth. Rev. (Facilities Prog.) Series 2016 I, 5% 4/15/24 60,000 69,344 
Michigan Fin. Auth. Rev.:   
(Detroit Wtr. and Sewage Dept. Wtr. Supply Sys. Rev. Rfdg. Local Proj.):   
Series 2014 C3, 5% 7/1/22 (FSA Insured) 1,155,000 1,241,290 
Series 2014 D1, 5% 7/1/22 (FSA Insured) 2,845,000 3,057,550 
(Mclaren Health Care Corp. Proj.) Series 2015, 5% 5/15/21 145,000 147,907 
(Trinity Health Proj.) Series 2017, 5% 12/1/23 250,000 283,790 
Bonds:   
Series 2013 M1, 0.18%, tender 12/1/20 (a) 12,060,000 12,060,000 
Series 2016 MI2, SIFMA Municipal Swap Index + 0.480% 0.59%, tender 2/1/22 (a)(c) 5,000,000 5,006,050 
Series 2019 B, 3.5%, tender 11/15/22 (a) 5,750,000 6,070,908 
Series 2019 MI2, 5%, tender 2/1/25 (a) 1,605,000 1,889,631 
Series 2012, 5% 11/1/22 350,000 380,100 
Series 2015 A:   
5% 8/1/22 1,380,000 1,481,085 
5% 8/1/23 260,000 290,800 
Series 2015 MI, 5% 12/1/22 475,000 518,125 
Series 2015, 5% 11/15/21 435,000 452,900 
Series 2016, 5% 11/15/22 100,000 108,549 
Series 2020 A:   
4% 6/1/22 1,000,000 1,054,150 
5% 6/1/24 1,000,000 1,164,910 
Michigan Gen. Oblig. Series 2016:   
5% 3/15/21 560,000 567,273 
5% 3/15/22 50,000 52,914 
5% 3/15/23 85,000 93,751 
Michigan Hosp. Fin. Auth. Rev.:   
Bonds:   
(Ascension Health Cr. Group Proj.) Series F5, 2.4%, tender 3/15/23 (a) 80,000 83,643 
Series 2010 F1, 4%, tender 6/1/23 (a) 200,000 217,862 
Series 2005 A4, 5% 11/1/21 3,805,000 3,964,135 
Series 2008 C:   
5% 12/1/20 500,000 500,000 
5% 12/1/21 500,000 522,354 
Michigan State Univ. Revs. Series 2015 A, 5% 8/15/21 380,000 392,720 
Michigan Strategic Fund Ltd. Oblig. Rev.:   
Bonds:   
Series 2008 ET2, 1.45%, tender 9/1/21 (a) 2,700,000 2,709,815 
Series CC, 1.45%, tender 9/1/21 (a) 155,000 155,563 
Series 2019, 4% 11/15/22 730,000 752,572 
Michigan Trunk Line Fund Rev. Series 2020 A, 5% 11/15/21 1,500,000 1,568,795 
Northern Michigan Univ. Revs. Series 2018 A, 5% 12/1/22 700,000 758,429 
Novi Cmnty. School District Series I, 4% 5/1/23 550,000 599,324 
Oakland Univ. Rev. Series 2016, 5% 3/1/22 385,000 407,607 
Portage Pub. Schools Series 2016:   
5% 5/1/23 45,000 49,726 
5% 11/1/23 30,000 33,786 
5% 5/1/24 40,000 45,899 
5% 11/1/24 45,000 52,591 
5% 5/1/25 25,000 29,738 
5% 11/1/25 25,000 30,254 
5% 11/1/28 20,000 24,456 
Royal Oak Hosp. Fin. Auth. Hosp. Rev. Series 2014 D:   
5% 9/1/21 35,000 36,157 
5% 9/1/23 10,000 11,221 
Saginaw Hosp. Fin. Auth. Hosp. Rev. Series 2020 J:   
5% 7/1/21 285,000 292,323 
5% 7/1/22 455,000 486,668 
5% 7/1/23 250,000 278,233 
Spring Lake Pub. Schools Series 2014, 5% 5/1/21 90,000 91,744 
Wayne County Arpt. Auth. Rev.:   
Series 2011 A:   
4.125% 12/1/22 (FSA Insured) (b) 530,000 546,610 
5% 12/1/20 (b) 1,385,000 1,385,000 
5% 12/1/21 (b) 8,505,000 8,894,851 
Series 2011 B, 5% 12/1/20 410,000 410,000 
Series 2012 B:   
5% 12/1/20 (b) 300,000 300,000 
5% 12/1/22 (b) 485,000 524,775 
Series 2017 A, 5% 12/1/20 155,000 155,000 
Series 2017 B:   
5% 12/1/20 (b) 355,000 355,000 
5% 12/1/21 (b) 300,000 313,751 
Zeeland Pub. Schools Series 2015, 5% 5/1/21 445,000 453,530 
TOTAL MICHIGAN  68,097,376 
Minnesota - 0.6%   
Apple Valley Sr. Living Series 2016 B:   
4% 1/1/21 150,000 149,668 
4% 1/1/22 155,000 150,700 
Maple Grove Health Care Sys. Rev. Series 2017:   
4% 5/1/21 110,000 111,253 
4% 5/1/22 110,000 114,194 
5% 5/1/23 110,000 120,800 
Minneapolis & Saint Paul Metropolitan Arpts. Commission Arpt. Rev.:   
Series 2014 A:   
5% 1/1/22 20,000 20,962 
5% 1/1/23 20,000 21,768 
Series 2014 B:   
5% 1/1/21 (b) 50,000 50,177 
5% 1/1/22 (b) 45,000 47,089 
5% 1/1/23 (b) 20,000 21,677 
Series 2016 B, 5% 1/1/22 410,000 429,717 
Series 2016 C, 5% 1/1/22 235,000 246,301 
Series 2019 B:   
5% 1/1/21 (b) 8,000,000 8,028,393 
5% 1/1/22 (b) 3,000,000 3,139,260 
Series 2019 C, 5% 1/1/21 675,000 677,479 
Minneapolis Multi-family Rev. Bonds Series 2019, 1.55%, tender 11/1/21 (a) 4,050,000 4,092,068 
Minnesota Hsg. Fin. Agcy. Bonds Series 2018 D, SIFMA Municipal Swap Index + 0.430% 0.54%, tender 7/3/23 (a)(c) 3,000,000 2,997,060 
Minnesota Rural Wtr. Fin. Auth. Series 2020, 1% 8/1/21 2,000,000 2,002,125 
Moorhead Edl. Facilities Rev. (The Concordia College Corp. Proj.) Series 2016, 5% 12/1/25 65,000 71,935 
Northern Muni. Pwr. Agcy. Elec. Sys. Rev. Series 2017:   
5% 1/1/22 25,000 26,256 
5% 1/1/23 25,000 27,407 
5% 1/1/24 35,000 39,907 
Rochester Health Care Facilities Rev. Bonds (Mayo Foundation Proj.) Series C, 4.5%, tender 11/15/21 (a) 1,905,000 1,979,919 
Roseville Independent School District #623 Series 2018A, 5% 2/1/21 1,715,000 1,728,305 
Southern Minnesota Muni. Pwr. Agcy. Pwr. Supply Sys. Rev. (Cap. Appreciation) Series 1994 A, 0% 1/1/21 (Nat'l. Pub. Fin. Guarantee Corp. Insured) 370,000 369,878 
Western Minnesota Muni. Pwr. Agcy. Pwr. Supply Rev. Series 2014 A:   
5% 1/1/22 20,000 21,031 
5% 1/1/23 65,000 71,358 
5% 1/1/24 20,000 22,870 
TOTAL MINNESOTA  26,779,557 
Mississippi - 0.1%   
Mississippi Bus. Fin. Corp. Solid Waste Disp. Rev. Bonds (Waste Mgmt., Inc. Proj.) Series 2004, 0.55%, tender 9/1/21 (a)(b) 1,700,000 1,698,354 
Mississippi Dev. Bank Spl. Obl (Jackson Mississippi Sales Tax Rev. Infrastructure Proj.) Series 2020, 5% 9/1/24 740,000 853,642 
Mississippi Hosp. Equip. & Facilities Auth.:   
(Forrest County Gen. Hosp. Rfdg. Proj.) Series 2019 B, 5% 1/1/22 350,000 366,328 
Bonds Series 2020 A2, 0.65%, tender 9/1/21 (a) 300,000 300,000 
Series I, 5% 10/1/22 420,000 453,831 
TOTAL MISSISSIPPI  3,672,155 
Missouri - 0.3%   
Cape Girardeau County Indl. Dev. Auth. (Southeast Hosp. Proj.) Series 2017 A:   
5% 3/1/21 10,000 10,074 
5% 3/1/22 15,000 15,549 
5% 3/1/23 20,000 21,254 
5% 3/1/24 15,000 16,360 
5% 3/1/25 15,000 16,723 
5% 3/1/26 20,000 22,709 
Missouri Health & Edl. Facilities Rev.:   
Series 2019 A, 5% 2/15/21 775,000 781,957 
Series 2020:   
5% 11/15/21 520,000 543,183 
5% 11/15/22 660,000 719,129 
5% 11/15/23 815,000 924,585 
Missouri Hsg. Dev. Commission Single Family Mtg. Rev. Series 2019, 4% 5/1/50 65,000 72,738 
Missouri State Pub. Util. Commn Rev. Series 2020, 0.5% 3/1/22 5,000,000 5,003,000 
Saint Louis Arpt. Rev.:   
Series 2017 A, 5% 7/1/23 (FSA Insured) 1,080,000 1,202,256 
Series 2017 B:   
5% 7/1/21 (FSA Insured) (b) 400,000 409,898 
5% 7/1/22 (FSA Insured) (b) 500,000 533,160 
Series 2019 B:   
5% 7/1/21 (b) 350,000 358,247 
5% 7/1/22 (b) 365,000 388,013 
5% 7/1/23 (b) 385,000 423,569 
5% 7/1/24 (b) 400,000 454,500 
5% 7/1/25(b) 420,000 491,912 
Series 2019 C, 5% 7/1/25 660,000 781,110 
Saint Louis Muni. Fin. Corp. Leasehold Rev. Series 2017 B, 4% 6/1/21 (FSA Insured) 320,000 325,781 
TOTAL MISSOURI  13,515,707 
Montana - 0.1%   
Montana Board Hsg. Single Family:   
Series 2019 B, 4% 6/1/50 30,000 34,295 
Series A1, 3.5% 6/1/50 480,000 531,893 
Montana Board of Invt.:   
(Intercap Revolving Prog.) Series 2017, 1%, tender 3/1/21 (a) 1,425,000 1,426,543 
Series 2007, 1%, tender 3/1/21 (a) 1,520,000 1,521,646 
Montana Facility Fin. Auth. Rev.:   
Series 2016, 5% 2/15/21 550,000 554,823 
Series 2019 A:   
5% 1/1/21 500,000 501,832 
5% 1/1/22 430,000 451,113 
TOTAL MONTANA  5,022,145 
Nebraska - 0.3%   
Central Plains Energy Proj. Gas Supply:   
Bonds Series 2019, 4%, tender 8/1/25 (a) 1,170,000 1,350,566 
Series 2019:   
4% 2/1/21 1,150,000 1,157,078 
4% 8/1/21 1,500,000 1,537,184 
4% 2/1/22 1,465,000 1,527,892 
4% 8/1/23 580,000 635,489 
Douglas County Hosp. Auth. #2 Health Facilities Rev. Series 2020:   
5% 11/15/21 100,000 104,213 
5% 11/15/22 130,000 141,141 
Nebraska Invt. Fin. Auth. Single Family Hsg. Rev. Series 2019 B, 4% 9/1/49 (b) 155,000 170,303 
Nebraska Pub. Pwr. District Rev. Bonds Series 2020 A, 0.6%, tender 7/1/23 (a) 5,000,000 5,016,050 
TOTAL NEBRASKA  11,639,916 
Nevada - 1.3%   
Clark County Arpt. Rev.:   
(Sub Lien Proj.) Series 2017 A-1:   
5% 7/1/21 (b) 2,045,000 2,099,245 
5% 7/1/22 (b) 160,000 171,506 
Series 2017 C, 5% 7/1/21 (b) 11,625,000 11,926,455 
Series 2018 A, 5% 7/1/21 1,520,000 1,560,319 
Series 2019 D:   
5% 7/1/21 5,800,000 5,957,298 
5% 7/1/22 10,000,000 10,735,600 
Clark County McCarran Int'l. Arpt. Passenger Facility Charge Rev.:   
(Clark County Arpt. Rev. Proj.) Series 2017 B, 5% 7/1/21 (b) 800,000 821,221 
Series 2019 E, 5% 7/1/22 480,000 515,309 
Clark County School District:   
Series 2012 A, 5% 6/15/21 560,000 573,443 
Series 2016 A:   
5% 6/15/21 165,000 168,961 
5% 6/15/23 30,000 33,291 
Series 2017 A, 5% 6/15/22 2,000,000 2,134,040 
Series 2017 C, 5% 6/15/22 300,000 320,106 
Series 2019 C, 5% 6/15/21 370,000 378,882 
Series 2020 A:   
3% 6/15/22 500,000 518,240 
3% 6/15/23 (FSA Insured) 450,000 477,338 
Nevada Dept. of Bus. & Industry Bonds (Republic Svcs., Inc. Proj.) Series 2001, 0.875%, tender 12/1/20 (a)(b)(e) 3,100,000 3,100,000 
Nevada Gen. Oblig. Series 2013 D1, 5% 3/1/24 60,000 66,388 
Nevada Hsg. Division Bonds Series 2020, 1.19%, tender 4/1/21 (a) 5,000,000 5,013,690 
Washoe County Gas & Wtr. Facilities Bonds (Sierra Pacific Pwr. Co. Proj.) Series 2016 B, 3%, tender 6/1/22 (a) 940,000 975,870 
Washoe County Gas Facilities Rev. Bonds:   
(Sierra Pacific Pwr. Co. Proj.) Series 2016 C, 0.625%, tender 4/15/22 (a)(b) 1,490,000 1,490,715 
Series 2016 F, 2.05%, tender 4/15/22 (a)(b) 7,900,000 8,057,052 
Series 2016, 2.05%, tender 4/15/22 (a)(b) 1,210,000 1,234,055 
TOTAL NEVADA  58,329,024 
New Hampshire - 0.0%   
Nat'l. Fin. Auth. Solid Bonds (Waste Mgmt., Inc. Proj.) Series 2019 A2, 2.15%, tender 7/1/24 (a)(b) 555,000 578,848 
New Hampshire Bus. Fin. Auth. Wtr. Facility (Pennichuck Wtr. Works, Inc. Proj.) Series 2014 A, 5% 1/1/24 (Escrowed to Maturity) (b) 260,000 295,550 
New Hampshire Health & Ed. Facilities Auth. Rev.:   
(Southern NH Med. Ctr. Proj.) Series 2016, 3% 10/1/21 225,000 228,975 
Series 2012, 4% 7/1/21 35,000 35,569 
Series 2016:   
5% 10/1/21 25,000 25,876 
5% 10/1/23 425,000 474,976 
TOTAL NEW HAMPSHIRE  1,639,794 
New Jersey - 2.8%   
Camden County Impt. Auth. Health Care Redev. Rev. Series 2014 A:   
5% 2/15/21 55,000 55,431 
5% 2/15/22 55,000 57,548 
5% 2/15/23 70,000 75,884 
Garden State Preservation Trust Open Space & Farmland Preservation:   
Series 2005 C, 5.25% 11/1/21 (FSA Insured) 1,000,000 1,042,970 
Series B, 0% 11/1/22 (FSA Insured) 680,000 668,426 
Hudson County Impt. Auth. (Hudson County Courthouse Proj.) Series 2020, 4% 10/1/22 225,000 240,356 
Hudson County Impt. Auth. Rev. Series 2020 C1A, 1.5% 9/2/21 1,750,000 1,765,644 
Monmouth County Impt. Auth. Rev.:   
Series 1, 2% 2/15/21 1,750,000 1,756,468 
Series 2020 A, 2% 7/12/21 1,250,000 1,263,719 
New Brunswick Parking Auth. Rev. Series 2020 B:   
5% 9/1/23 675,000 754,454 
5% 9/1/25 850,000 1,022,797 
New Jersey Econ. Dev. Auth. Motor Vehicle Rev. Series A, 5% 7/1/23 (Build America Mutual Assurance Insured) 250,000 277,578 
New Jersey Econ. Dev. Auth. Rev.:   
(New Jersey Gen. Oblig. Proj.) Series 2017 B, 5% 11/1/24 115,000 131,209 
(New Jersey Transit Corp. Proj.) Series 2017 B, 5% 11/1/22 1,800,000 1,941,498 
(Provident Montclair Proj.) Series 2017:   
4% 6/1/22 (FSA Insured) 20,000 20,844 
5% 6/1/23 (FSA Insured) 25,000 27,478 
5% 6/1/24 (FSA Insured) 20,000 22,752 
(The Goethals Bridge Replacement Proj.) Series 2013, 5% 1/1/24 (b) 350,000 392,007 
Series 2005 K, 5.25% 12/15/20 (AMBAC Insured) 350,000 350,574 
Series 2005, 5.25% 12/15/21 295,000 308,737 
Series 2012 II:   
5% 3/1/22 135,000 141,951 
5% 3/1/23 835,000 879,155 
Series 2013, 5% 3/1/23 4,920,000 5,365,162 
Series 2015 XX:   
5% 6/15/21 500,000 511,483 
5% 6/15/23 75,000 82,638 
Series 2016 BBB, 5% 6/15/21 1,090,000 1,115,034 
Series 2017 DDD, 5% 6/15/22 220,000 233,904 
New Jersey Econ. Dev. Auth. Wtr. Facilities Rev.:   
(New Jersey-American Wtr. Co., Inc. Proj.) Series 2020 C, 1.15% 6/1/23 (b) 2,500,000 2,533,275 
Bonds (New Jersey-American Wtr. Co., Inc.) Series 2020, 1.2%, tender 6/1/23 (a)(b) 2,000,000 2,028,600 
New Jersey Edl. Facility:   
Series 2014, 5% 6/15/21 240,000 245,512 
Series 2015 B, 5% 7/1/21 (FSA Insured) 300,000 307,619 
Series 2016 A:   
5% 7/1/21 50,000 51,093 
5% 7/1/22 140,000 148,257 
5% 7/1/23 75,000 82,151 
5% 7/1/24 175,000 197,922 
Series 2016 E, 5% 7/1/22 625,000 666,963 
New Jersey Gen. Oblig.:   
Series 2013, 5% 6/1/23 330,000 366,788 
Series 2014, 5% 6/1/22 400,000 426,880 
Series 2020 A:   
4% 6/1/23 21,665,000 23,543,139 
5% 6/1/24 1,530,000 1,759,913 
5% 6/1/25 2,330,000 2,768,250 
New Jersey Health Care Facilities Fing. Auth. Rev.:   
Series 2012 A, 5% 7/1/24 1,310,000 1,403,167 
Series 2013, 5% 7/1/22 325,000 349,443 
Series 2016 A:   
5% 7/1/21 5,000 5,116 
5% 7/1/22 5,000 5,310 
5% 7/1/23 15,000 16,531 
5% 7/1/24 10,000 11,404 
5% 7/1/24 25,000 29,047 
5% 7/1/24 20,000 22,808 
5% 7/1/25 10,000 11,781 
5% 7/1/26 5,000 6,057 
5% 7/1/27 5,000 6,013 
Series 2016, 5% 7/1/21 220,000 224,393 
New Jersey Higher Ed. Student Assistance Auth. Student Ln. Rev.:   
Series 2011 1, 5% 12/1/20 (b) 4,320,000 4,320,000 
Series 2012 1, 5% 12/1/22 (b) 400,000 433,056 
Series 2012 1A, 5% 12/1/20 (b) 2,000,000 2,000,000 
Series 2013:   
4% 12/1/20 (b) 1,055,000 1,055,000 
5% 12/1/21 (b) 1,500,000 1,566,137 
Series 2015 1A:   
5% 12/1/21 (b) 4,650,000 4,855,025 
5% 12/1/22 (b) 200,000 216,528 
Series 2015 A, 5% 12/1/20 (b) 1,700,000 1,700,000 
Series 2017 1A:   
5% 12/1/22 (b) 215,000 232,768 
5% 12/1/23 (b) 45,000 50,310 
Series 2017 1B:   
5% 12/1/20 (b) 1,665,000 1,665,000 
5% 12/1/21 (b) 190,000 198,377 
Series 2018 B:   
5% 12/1/20 (b) 4,475,000 4,475,000 
5% 12/1/21 (b) 835,000 871,816 
Series 2019 A:   
5% 12/1/20 1,150,000 1,150,000 
5% 12/1/22 245,000 266,268 
5% 12/1/23 80,000 89,818 
5% 12/1/24 45,000 52,035 
Series 2020:   
5% 12/1/22(b) 160,000 173,222 
5% 12/1/23 (b) 545,000 609,305 
New Jersey Hsg. & Mtg. Fin. Agcy. Bonds Series 2020 A, 0.75%, tender 6/1/22 (a) 2,000,000 2,008,500 
New Jersey Hsg. & Mtg. Fin. Agcy. Rev.:   
Series 2018 B, 2.5% 4/1/21 (b) 4,165,000 4,188,158 
Series 2019 D:   
4% 10/1/22 (b) 1,340,000 1,411,261 
4% 4/1/23 (b) 115,000 122,602 
4% 10/1/23 (b) 125,000 134,963 
4% 4/1/25 (b) 150,000 168,029 
New Jersey Tobacco Settlement Fing. Corp. Series 2018 A:   
5% 6/1/21 2,185,000 2,236,652 
5% 6/1/22 2,580,000 2,759,258 
5% 6/1/23 930,000 1,035,462 
New Jersey Tpk. Auth. Tpk. Rev.:   
Bonds Series 2017 C5, 1 month U.S. LIBOR + 0.460% 0.563%, tender 1/1/21 (a)(c) 5,905,000 5,904,650 
Series 2012 B, 5% 1/1/22 250,000 262,358 
Series 2017 C1, 1 month U.S. LIBOR + 0.340% 0.443% 1/1/21 (Escrowed to Maturity) (a)(c) 195,000 194,977 
New Jersey Trans. Trust Fund Auth.:   
Series 2005 B, 5.25% 12/15/23 260,000 293,491 
Series 2006 A:   
5.25% 12/15/20 375,000 375,615 
5.25% 12/15/20 (FSA Insured) 2,220,000 2,223,847 
5.25% 12/15/21 (FSA Insured) 295,000 309,178 
5.25% 12/15/23 (FSA Insured) 500,000 568,315 
5.5% 12/15/21 1,700,000 1,783,544 
Series 2006, 5.25% 12/15/21 (Nat'l. Pub. Fin. Guarantee Corp. Insured) 165,000 172,684 
Series 2011 B, 5% 6/15/21 1,250,000 1,278,708 
Series 2013 AA, 5% 6/15/23 580,000 639,067 
Series 2016 A:   
5% 6/15/21 1,700,000 1,739,601 
5% 6/15/22 2,720,000 2,896,229 
5% 6/15/27 90,000 106,056 
Series 2016 A-2, 5% 6/15/23 630,000 694,399 
Series 2018 A:   
5% 6/15/21 3,995,000 4,088,062 
5% 6/15/22 4,175,000 4,445,498 
5% 6/15/24 405,000 459,667 
Series A:   
5% 12/15/24 210,000 240,479 
5% 12/15/25 200,000 234,134 
New Jersey Transit Corp. Ctfs. of Prtn. Series 2014 A, 5% 9/15/21 710,000 734,114 
Newark Gen. Oblig. Series 2020:   
5% 10/1/21 250,000 258,778 
5% 10/1/21 100,000 103,443 
5% 10/1/22 900,000 968,715 
5% 10/1/22 650,000 699,010 
Rutgers State Univ. Rev. Series Q:   
5% 5/1/21 125,000 127,327 
5% 5/1/22 80,000 85,066 
5% 5/1/23 65,000 71,993 
Union County Gen. Oblig. Series 2020, 0.5% 3/1/22 1,700,000 1,707,191 
TOTAL NEW JERSEY  131,433,879 
New Mexico - 0.1%   
New Mexico Mtg. Fin. Auth. Series 2019 C, 4% 1/1/50 510,000 567,742 
New Mexico Muni. Energy Acquisition Auth. Gas Supply Rev.:   
Bonds Series 2019 A, 5%, tender 5/1/25 (a) 1,000,000 1,189,830 
Series 2019 A:   
4% 5/1/22 140,000 147,294 
4% 5/1/23 580,000 630,402 
4% 11/1/23 245,000 270,580 
4% 11/1/24 250,000 284,395 
4% 5/1/25 960,000 1,101,974 
New Mexico Severance Tax Rev. Series 2015 B, 5% 7/1/21 1,495,000 1,535,634 
TOTAL NEW MEXICO  5,727,851 
New York - 2.5%   
Albany County Arpt. Auth. Arpt. Rev. Series 2020 B, 5% 12/15/21 (b) 500,000 521,358 
Dorm. Auth. New York Univ. Rev.:   
Series 2016 A:   
5% 7/1/22 10,000 10,680 
5% 7/1/24 40,000 45,541 
Series 2017, 4% 12/1/20 (e) 200,000 200,000 
Genessee Valley Central School District Series 2012, 5% 6/15/21 (FSA Insured) 435,000 445,419 
Hempstead Town Gen. Oblig. Series 2017, 4% 4/1/21 (FSA Insured) 345,000 349,318 
Hudson Yards Infrastructure Corp. New York Rev. Series 2017 A:   
5% 2/15/24 470,000 536,049 
5% 2/15/25 350,000 413,907 
5% 2/15/26 725,000 885,486 
Long Island Pwr. Auth. Elec. Sys. Rev. Bonds:   
Series 2019 B, 1.65%, tender 9/1/24 (a) 1,055,000 1,087,600 
Series 2020 B, 0.85%, tender 9/1/25 (a) 11,000,000 11,080,410 
Monroe County Indl. Dev. Corp. (The Rochester Gen. Hosp. Proj.) Series 2017, 5% 12/1/26 350,000 424,816 
New York City Gen. Oblig.:   
Bonds Series D, 5%, tender 2/1/24 (a) 500,000 557,615 
Series 2006, 0.24%, tender 6/1/36 (FSA Insured) (a) 1,000,000 1,000,000 
Series 2007 C-4, 0.18%, tender 1/1/32 (FSA Insured) (a) 225,000 225,000 
Series 2007, 0.1%, tender 12/4/20 (FSA Insured) (a) 4,200,000 4,200,000 
Series 2008 A-3, 0.33%, tender 8/1/26 (FSA Insured) (a) 3,775,000 3,775,000 
Series 2008 C-4, 0.24%, tender 10/1/27 (a) 225,000 225,000 
Series 2008 J3, 5% 8/1/22 450,000 484,371 
Series 2013 D, 5% 8/1/23 1,535,000 1,687,195 
Series 2014 B, 5% 8/1/21 400,000 412,512 
Series 2016 B, 5% 8/1/22 300,000 322,914 
Series 2016 E, 5% 8/1/24 700,000 817,040 
Series 2016, 5% 8/1/22 555,000 597,391 
Series 2017 A, 4% 8/1/21 460,000 471,341 
Series 2017 C, 5% 8/1/21 500,000 515,640 
Series 2017, 5% 8/1/23 375,000 421,020 
Series 2019 B, 5% 8/1/21 200,000 206,256 
Series A, 5% 8/1/22 440,000 473,607 
Series C:   
5% 8/1/23 5,020,000 5,636,054 
5% 8/1/26 220,000 274,149 
Series D1, 5% 10/1/21 250,000 259,696 
Series J4, 5% 8/1/24 1,200,000 1,400,640 
New York City Hsg. Dev. Corp.:   
Bonds Series 2017 G-2, 2%, tender 12/31/21 (a) 2,630,000 2,631,552 
Series 2017 A2A, 1.9% 5/1/21 240,000 240,134 
New York City Hsg. Dev. Corp. Multifamily Hsg. Bonds:   
Series 2020 G, 0.2%, tender 2/22/21 (a) 23,000,000 22,997,721 
Series A3, 1.125%, tender 11/1/24 (a) 2,000,000 2,015,320 
New York City Transitional Fin. Auth. Rev.:   
Series 1, 5% 11/1/22 400,000 436,092 
Series 2015 C, 5% 11/1/22 220,000 239,851 
Series C, 5% 11/1/21 230,000 240,053 
Series C1, 3% 5/1/22 320,000 332,413 
New York Dorm. Auth. Personal Income Tax Rev.:   
Series 2012 A:   
4% 12/15/22 325,000 350,360 
5% 12/15/23 600,000 657,966 
Series 2014 A, 5% 2/15/22 500,000 528,565 
New York Dorm. Auth. Rev.:   
Bonds Series 2019 B1, 5%, tender 5/1/22 (a) 675,000 702,533 
Series 2015, 5% 12/1/22 (e) 700,000 754,509 
New York Dorm. Auth. Sales Tax Rev.:   
Series 2015 A, 5% 3/15/23 1,115,000 1,233,603 
Series 2015 B, 5% 3/15/21 300,000 304,125 
Series 2017 A, 5% 3/15/24 400,000 460,488 
New York Metropolitan Trans. Auth. Dedicated Tax Fund Rev. Bonds Series 2008 A, SIFMA Municipal Swap Index + 0.450% 0.56%, tender 6/1/22 (a)(c) 1,370,000 1,361,438 
New York Metropolitan Trans. Auth. Rev.:   
Bonds Series 2011 B, 1 month U.S. LIBOR + 0.550% 0.649%, tender 11/1/22 (a)(c) 1,745,000 1,687,450 
Series 2005 B, 5.25% 11/15/21 (Nat'l. Pub. Fin. Guarantee Corp. Insured) 275,000 283,231 
Series 2008 B2, 5% 11/15/21 110,000 112,613 
Series 2012 B, 5% 11/15/22 45,000 47,122 
Series 2012 E, 5% 11/15/21 55,000 56,307 
Series 2012 F:   
5% 11/15/21 765,000 783,175 
5% 11/15/22 1,000,000 1,047,090 
Series 2014 C, 5% 11/15/21 60,000 61,425 
Series 2016 B, 5% 11/15/21 50,000 51,188 
Series 2020 A:   
4% 2/1/22 4,800,000 4,874,736 
5% 2/1/23 4,200,000 4,416,846 
New York St Mtg. Agcy. Homeowner:   
Series 186, 3.4% 4/1/22 (b) 1,160,000 1,198,048 
Series 198, 1.65% 10/1/21 (b) 2,245,000 2,264,120 
Series 2014 189, 2.5% 10/1/21 (b) 1,640,000 1,665,495 
Series 212:   
2.4% 4/1/22 (b) 1,130,000 1,156,555 
2.5% 10/1/22 (b) 1,160,000 1,199,452 
Series 214, 2.9% 10/1/22 (b) 805,000 838,230 
New York State Dorm. Auth.:   
Series 2017 A:   
5% 2/15/22 355,000 375,281 
5% 2/15/23 1,795,000 1,978,664 
Series 2017 B, 5% 2/15/23 245,000 270,068 
New York State Energy Research & Dev. Auth. Poll. Cont. Rev. Series 1999, 1.35%, tender 12/4/20 (AMBAC Insured) (a) 300,000 300,000 
New York State Hsg. Fin. Agcy. Rev.:   
Bonds Series 2019 F, 1.875%, tender 11/1/21 (a) 2,365,000 2,366,698 
Series J, 0.75% 5/1/25 360,000 360,234 
New York State Mtg. Agcy. Homeowner Mtg. Series 221, 3.5% 10/1/32 (b) 70,000 76,208 
New York Trans. Dev. Corp.:   
(Delta Air Lines, Inc. Laguardia Arpt. Terminals C&D Redev. Proj.) Series 2018, 5% 1/1/22 (b) 1,500,000 1,549,785 
(Term. 4 JFK Int'l. Arpt. Proj.) Series 2020 A:   
5% 12/1/22 (b) 250,000 269,675 
5% 12/1/23 (b) 175,000 194,660 
5% 12/1/25 (b) 1,100,000 1,285,284 
New York Urban Dev. Corp. Rev.:   
Series 2015 A, 5% 3/15/24 300,000 345,579 
Series 2016 A, 5% 3/15/22 210,000 222,827 
Niagara Frontier Trans. Auth. Arpt. Rev.:   
Series 2014 A, 5% 4/1/21 (b) 300,000 304,097 
Series 2019 A:   
5% 4/1/22 (b) 700,000 738,346 
5% 4/1/23 (b) 2,575,000 2,808,038 
5% 4/1/24 (b) 1,720,000 1,938,354 
Onondaga County Ind. Dev. Agcy. Swr. Facilities Rev. (Bristol-Meyers Squibb Co. Proj.) Series 1994, 5.75% 3/1/24 (b) 770,000 890,413 
Rockland County Gen. Oblig. Series 2014 A, 5% 3/1/22 (FSA Insured) 340,000 360,142 
Triborough Bridge & Tunnel Auth. Revs. Series 2016 A, 5% 11/15/23 300,000 340,434 
Yonkers Gen. Oblig.:   
Series 2016 C, 4% 11/15/21 (FSA Insured) 225,000 233,112 
Series 2017 C, 5% 10/1/22 (Build America Mutual Assurance Insured) 55,000 59,262 
TOTAL NEW YORK  114,459,992 
New York And New Jersey - 0.5%   
Port Auth. of New York & New Jersey:   
Series 167, 5% 9/15/21 (b) 465,000 471,189 
Series 173, 4% 12/1/21 500,000 518,714 
Series 188, 5% 5/1/21 (b) 11,465,000 11,685,748 
Series 197, 5% 11/15/21 (b) 585,000 610,909 
Series 2013:   
5% 12/1/22 250,000 272,855 
5% 12/1/23 705,000 801,874 
Series 2018, 5% 9/15/22 (b) 4,075,000 4,412,084 
Series 202, 5% 10/15/22 (b) 4,435,000 4,818,938 
Series 207:   
5% 9/15/23 (b) 505,000 566,903 
5% 9/15/24 (b) 385,000 448,644 
TOTAL NEW YORK AND NEW JERSEY  24,607,858 
North Carolina - 0.6%   
Charlotte Int'l. Arpt. Rev. Series 2017 B, 5% 7/1/25 (b) 100,000 119,193 
Charlotte-Mecklenburg Hosp. Auth. Health Care Sys. Rev. Series 2016 A, 5% 1/15/22 1,650,000 1,736,015 
New Hanover County Hosp. Rev. Series 2017, 5% 10/1/26 290,000 358,020 
North Carolina Cap. Facilities Fin. Agcy. Rev. Bonds:   
(Republic Svcs., Inc. Proj.) Series 2010 B, 0.28%, tender 12/1/20 (a)(b) 12,000,000 12,000,000 
Series 2010, 0.25%, tender 12/1/20 (a) 1,800,000 1,800,000 
North Carolina Eastern Muni. Pwr. Agcy. Pwr. Sys. Rev. Series 1993 B, 6% 1/1/22 (Escrowed to Maturity) 1,750,000 1,856,925 
North Carolina Grant Anticipation Rev. Series 2017:   
5% 3/1/22 80,000 84,718 
5% 3/1/23 450,000 497,052 
North Carolina Hsg. Fin. Agcy. Home Ownership Rev. Series 43, 4% 7/1/50 2,800,000 3,149,048 
North Carolina Med. Care Commission Health Care Facilities Rev. Bonds Series 2019 B, 2.2%, tender 12/1/22 (a) 1,420,000 1,455,997 
North Carolina Muni. Pwr. Agcy. #1 Catawba Elec. Rev. Series 2015 E:   
5% 1/1/22 110,000 115,586 
5% 1/1/23 35,000 38,086 
Raleigh Durham Arpt. Auth. Arpt. Rev.:   
Series 2015 B, 5% 5/1/22 (b) 550,000 584,018 
Series 2017 A:   
4% 5/1/21 (b) 300,000 304,221 
5% 5/1/22 (b) 400,000 424,740 
5% 5/1/23 (b) 235,000 258,845 
Series 2020 B, 5% 5/1/21 425,000 433,003 
TOTAL NORTH CAROLINA  25,215,467 
North Dakota - 0.1%   
North Dakota Hsg. Fin. Agcy. Bonds (Home Mtg. Fin. Prog.) Series 2019 B, SIFMA Municipal Swap Index + 0.400% 0.51%, tender 2/1/22 (a)(c) 4,000,000 4,001,120 
Ohio - 0.9%   
Akron Bath Copley Hosp. District Rev. Series 2016, 5% 11/15/24 45,000 52,053 
Akron Gen. Oblig. Series 2020, 2% 12/1/21 850,000 863,778 
Allen County Hosp. Facilities Rev.:   
Bonds (Mercy Health) Series 2017 B, 5%, tender 5/5/22 (a) 350,000 372,439 
Series 2017 A:   
5% 8/1/21 780,000 803,761 
5% 8/1/22 5,300,000 5,702,959 
Series 2020 A:   
5% 12/1/20 1,405,000 1,405,000 
5% 12/1/21 1,000,000 1,045,735 
5% 12/1/22 1,550,000 1,686,819 
5% 12/1/23 1,000,000 1,131,960 
American Muni. Pwr., Inc. Rev. Bonds:   
(Combined Hydroelectric Proj.) Series 2018, 2.25%, tender 8/15/21 (a) 3,570,000 3,581,755 
Series 2019 A, 2.3%, tender 2/15/22 (a) 1,800,000 1,818,090 
Cleveland Arpt. Sys. Rev.:   
Series 2016 A:   
5% 1/1/24 (FSA Insured) 25,000 28,348 
5% 1/1/25 (FSA Insured) 370,000 434,676 
5% 1/1/26 (FSA Insured) 10,000 11,704 
Series 2018 A, 5% 1/1/26 (b) 290,000 346,695 
Series 2019 B:   
5% 1/1/21 (b) 1,700,000 1,705,347 
5% 1/1/22 (b) 650,000 677,079 
Cleveland Pub. Pwr. Sys. Rev. Series 2016, 5% 11/15/21 (FSA Insured) 1,180,000 1,232,028 
Cuyahoga Metropolitan Hsg. Auth. Bonds (Riverside Park Phase II Proj.) Series 2019, 2%, tender 4/1/21 (a) 3,000,000 3,016,232 
Fairfield County Hosp. Facilities Rev. (Fairfield Med. Ctr. Proj.) Series 2013:   
5% 6/15/22 45,000 47,439 
5% 6/15/23 40,000 43,384 
Franklin County Hosp. Facilities Rev.:   
Bonds:   
(Ohio Health Corp.) Series 2018 B, SIFMA Municipal Swap Index + 0.430% 0.54%, tender 12/3/20 (a)(c) 3,800,000 3,802,161 
(U.S. Health Corp. of Columbus Proj.) Series 2011 B, 5%, tender 5/15/23 (a) 390,000 432,416 
Series 2016 C, 5% 11/1/23 60,000 67,870 
Hamilton County Convention Facilities Auth. Rev. Series 2014, 5% 12/1/21 45,000 46,367 
Hamilton County HealthCare Facilities Rev. Series 2012:   
5% 6/1/21 400,000 408,401 
5.25% 6/1/26 115,000 122,161 
Miami County Hosp. Facilities Rev. (Kettering Health Network Obligated Group Proj.) Series 2019:   
5% 8/1/24 620,000 716,305 
5% 8/1/25 310,000 370,850 
5% 8/1/26 535,000 657,622 
Miami Univ. Series 2020 A:   
5% 9/1/21 300,000 310,723 
5% 9/1/22 340,000 368,325 
Ohio Higher Edl. Facility Commission Rev.:   
(Case Western Reserve Univ. Proj.) Series 2016, 5% 12/1/22 585,000 635,170 
(Xavier Univ. 2020 Proj.) Series 2020, 5% 5/1/24 490,000 560,830 
Ohio Hosp. Facilities Rev.:   
Series 2011 A, 5% 1/1/24 580,000 582,198 
Series 2017 A:   
5% 1/1/21 60,000 60,229 
5% 1/1/22 35,000 36,789 
5% 1/1/23 45,000 49,342 
5% 1/1/24 40,000 45,648 
5% 1/1/25 45,000 53,346 
Ohio Hsg. Fin. Agcy. Multi-family Hsg. Rev. Bonds (Brandt Meadows Apts. Proj.) Series 2019, 0.55%, tender 12/1/20 (a) 3,700,000 3,700,000 
Ohio Hsg. Fin. Agcy. Residential Mtg. Rev. (Mtg. Backed Securities Prog.) Series 2019 B, 4.5% 3/1/50 45,000 50,982 
Ohio Spl. Oblig. Series 2020 A, 5% 2/1/22 185,000 195,184 
Ross County Hosp. Facilities Rev. (Adena Health Sys. Obligated Group Proj.) Series 2019, 5% 12/1/20 375,000 375,000 
Scioto County Hosp. Facilities Rev.:   
Series 2016:   
5% 2/15/21 15,000 15,125 
5% 2/15/22 25,000 26,236 
5% 2/15/23 45,000 48,937 
5% 2/15/24 35,000 39,407 
5% 2/15/25 35,000 40,662 
5% 2/15/26 405,000 484,785 
Series 2019, 5% 2/15/29 1,000,000 1,148,850 
Toledo Gen. Oblig. Series 2020:   
3% 12/1/24 510,000 552,998 
3% 12/1/24 425,000 460,832 
Univ. of Akron Gen. Receipts Series 2019 A:   
5% 1/1/24 300,000 338,310 
5% 1/1/25 400,000 467,276 
TOTAL OHIO  43,278,618 
Oklahoma - 0.2%   
Beckham Independent School District#6 Elk City Series 2019, 2% 7/1/21 1,405,000 1,415,724 
Canadian Cny Edl. Facilities Auth. (Yukon Pub. Schools Proj.) Series 2019, 5% 12/1/20 2,050,000 2,050,000 
Oklahoma County Fin. Auth. Edl. Facilities:   
(Jones Pub. Schools Proj.) Series 2020:   
4% 9/1/21 200,000 204,060 
4% 9/1/22 305,000 318,905 
(Midwest City- Del City School Dis Proj.) Series 2018, 5% 10/1/21 240,000 249,226 
Oklahoma County Independent School District No. 9 Series 2018, 2.5% 6/1/21 1,535,000 1,549,074 
Oklahoma Dev. Fin. Auth. Health Sys. Rev. Series 2020 C, 0.34% 8/15/31 (a) 1,000,000 1,000,000 
Oklahoma Dev. Fin. Auth. Rev.:   
(Oklahoma City Univ. Proj.) Series 2019, 5% 8/1/23 560,000 603,411 
Series 2004 A, 2.375% 12/1/21 (a) 30,000 30,450 
Oklahoma Hsg. Fin. Agcy. Collateralized Bonds Series 2019, 1.6%, tender 1/1/22 185,000 186,231 
Tulsa County Indl. Auth. Edl. Facilities Lease Rev. (Berryhill Pub. School Proj.) Series 2020:   
4% 9/1/24 445,000 495,036 
4% 9/1/25 690,000 785,220 
TOTAL OKLAHOMA  8,887,337 
Oregon - 0.2%   
Oregon Bus. Dev. Commission Bonds Series 250, 5%, tender 3/1/22 (a)(b) 2,970,000 3,130,974 
Oregon Bus. Dev. Commission Recovery Zone Facility Bonds (Intel Corp. Proj.) Series 232, 2.4%, tender 8/14/23 (a) 770,000 810,310 
Oregon Facilities Auth. Rev. (Legacy Health Proj.) Series 2011 A, 5.25% 5/1/21 255,000 259,936 
Port of Portland Arpt. Rev. Series 26 C:   
5% 7/1/21 (b) 1,815,000 1,857,014 
5% 7/1/22 (b) 1,300,000 1,382,173 
5% 7/1/23 (b) 2,000,000 2,218,220 
TOTAL OREGON  9,658,627 
Pennsylvania - 2.5%   
Albert Gallatin Area School District Series 2020 A, 4% 9/1/21 400,000 409,027 
Allegheny County Sanitation Auth. Swr. Rev. Series 2020 A, 4% 6/1/24 300,000 337,833 
Berks County Muni. Auth. Rev.:   
(Tower Health Proj.) Series 2020 A:   
5% 2/1/21 400,000 401,831 
5% 2/1/22 500,000 515,400 
Bonds (Tower Health Proj.) Series 2020 B1, 5%, tender 2/1/25 (a) 255,000 274,566 
Bethlehem Area School District Auth. Bonds (School District Rfdg. Proj.) Series 2018 A, 1 month U.S. LIBOR + 0.480% 0.585%, tender 12/3/20 (a)(c) 3,990,000 3,980,505 
Butler Area School District Series 2018, 5% 10/1/22 1,250,000 1,354,275 
Chester County Health & Ed. Auth. Rev. Series 2017, 5% 11/1/21 160,000 159,233 
Chester County Health & Ed. Facilities Auth. Health Sys. Rev. Series C, 3% 9/1/23 245,000 262,677 
Coatesville Area School District Series 2017, 5% 8/1/23 (FSA Insured) 350,000 389,585 
Commonwealth Fing. Auth. Rev.:   
Series 2019 B, 5% 6/1/24 265,000 305,317 
Series 2020 A, 5% 6/1/23 350,000 388,280 
Commonwealth Fing. Auth. Tobacco Series 2018, 5% 6/1/21 1,000,000 1,022,116 
Cumberland County Muni. Auth. Rev. Bonds Series 2014 T1, 3.75%, tender 4/30/22 (a) 1,000,000 1,006,580 
Delaware County Auth. Univ. Rev. Series 2020:   
4% 10/1/22 190,000 196,272 
5% 10/1/23 240,000 258,406 
Delaware Valley Reg'l. Fin. Auth. Local Govt. Rev. Bonds SIFMA Municipal Swap Index + 0.420% 0.53%, tender 9/1/22 (a)(c) 5,000,000 4,971,600 
Easton Area School District Series 2013 A, 5% 4/1/23 705,000 732,883 
Geisinger Auth. Health Sys. Rev. Series 2020 A, 5% 4/1/22 6,075,000 6,443,753 
Hollidaysburg Area School District Series 2020, 4% 7/15/22 500,000 529,275 
Lehigh County Gen. Purp. Hosp. Rev. Series 2019 A, 5% 7/1/21 1,000,000 1,025,694 
Lehigh County Indl. Dev. Auth. Poll. Cont. Rev. Bonds:   
(PPL Elec. Utils. Corp. Proj.) Series 2016 A, 1.8%, tender 9/1/22 (a) 1,260,000 1,273,545 
Series B, 1.8%, tender 8/15/22 (a) 985,000 996,229 
Monroeville Fin. Auth. UPMC Rev. Series 2012, 5% 2/15/22 290,000 305,846 
Montgomery County Higher Ed. & Health Auth. Rev.:   
Bonds Series 2017, 3%, tender 5/1/21 (a) 1,225,000 1,232,945 
Series 2014 A, 5% 10/1/23 5,000 5,419 
Series 2017:   
2% 12/1/20 145,000 145,000 
3% 12/1/21 155,000 156,308 
Series 2019:   
5% 9/1/23 500,000 557,835 
5% 9/1/26 1,250,000 1,521,825 
Montgomery County Indl. Dev. Auth. Rev. (Meadowood Sr. Living Proj.) Series 2018 A, 3% 12/1/20 250,000 250,000 
New Kensington-Arnold School District Series 2019 A:   
4% 5/15/21 940,000 955,334 
4% 5/15/22 975,000 1,023,896 
Northeastern Hosp. & Ed. Auth. Series 2016 A, 5% 3/1/21 110,000 110,554 
Octorara Area School District Chester and Lancaster Counties Series 2020, 4% 4/1/23 700,000 757,575 
Pennsylvania Econ. Dev. Fing. Auth.:   
(Philadelphia Biosolids Facility Proj.) Series 2020:   
3% 1/1/21 150,000 150,233 
3% 1/1/22 360,000 367,286 
Series 2020 A:   
5% 4/15/21 350,000 355,909 
5% 4/15/22 500,000 531,095 
Pennsylvania Econ. Dev. Fing. Auth. Indl. Dev. Rev. (The Pennsylvania Rapid Bridge Replacement Proj.) Series 2015:   
5% 12/31/20 (b) 980,000 983,228 
5% 6/30/22 (b) 1,495,000 1,590,560 
Pennsylvania Econ. Dev. Fing. Auth. Solid Waste Disp. Rev. Bonds:   
(Waste Mgmt., Inc. Proj.):   
Series 2009, 2.8%, tender 12/1/21 (a) 600,000 614,682 
Series 2017 A, 0.7%, tender 8/2/21 (a)(b) 500,000 500,066 
Series 2011, 2.15%, tender 7/1/24 (a)(b) 445,000 467,130 
0.28%, tender 1/4/21 (a)(b) 3,000,000 2,999,975 
Pennsylvania Gen. Oblig.:   
Series 2012 1, 5% 6/1/22 355,000 380,294 
Series 2015 1, 5% 8/15/23 580,000 653,869 
Series 2016:   
5% 9/15/21 400,000 415,008 
5% 1/15/22 290,000 305,489 
Pennsylvania Higher Edl. Facilities Auth. Rev.:   
Bonds:   
Series 2014 T3 and T4, 2.875%, tender 4/30/21 (a) 1,000,000 1,000,016 
3%, tender 4/30/22 (a) 1,565,000 1,602,591 
Series 2012 A, 5% 8/15/21 335,000 345,415 
Series 2014:   
5% 12/1/21 5,000 5,238 
5% 12/1/22 20,000 21,803 
Series 2015:   
5% 8/15/21 450,000 463,991 
5% 8/15/22 325,000 349,359 
Pennsylvania Hsg. Fin. Agcy.:   
Bonds:   
Series 2018 127C, 0.675%, tender 10/1/23 (a)(c) 4,000,000 4,000,360 
Series 2019, 1.4%, tender 1/1/23 (a) 4,500,000 4,576,950 
Series 2018 127A, 2.25% 4/1/21 (b) 1,900,000 1,909,000 
Pennsylvania Hsg. Fin. Agcy. Multifamily Hsg. Dev. Rev. Bonds Series 2018, 2.45%, tender 7/1/21 (a) 2,000,000 2,024,217 
Pennsylvania Hsg. Fin. Agcy. Single Family Mtg. Rev. Series 114A, 2.9% 10/1/21 (b) 585,000 595,097 
Pennsylvania Indl. Dev. Auth. Rev. Series 2012, 5% 7/1/21 335,000 344,205 
Pennsylvania Pub. School Bldg. Auth. School Rev. (The School District of The City of Harrisburg Proj.) Series 2016 A:   
5% 12/1/21 90,000 94,061 
5% 12/1/21 (Escrowed to Maturity) 20,000 20,937 
Pennsylvania Tpk. Commission Tpk. Rev.:   
Series 2018 A1, SIFMA Municipal Swap Index + 0.430% 0.54% 12/1/21 (a)(c) 3,500,000 3,501,764 
Series 2018 B, SIFMA Municipal Swap Index + 0.500% 0.61% 12/1/21 (a)(c) 3,460,000 3,460,473 
Philadelphia Arpt. Rev.:   
Series 2011 A:   
5% 6/15/21 (b) 1,725,000 1,766,505 
5% 6/15/22 (b) 1,400,000 1,433,614 
Series 2015 A, 5% 6/15/24 (b) 1,065,000 1,215,122 
Series 2017 A, 5% 7/1/24 40,000 46,274 
Series 2017 B:   
5% 7/1/21 (b) 2,800,000 2,872,941 
5% 7/1/22 (b) 620,000 663,766 
5% 7/1/24 (b) 345,000 395,674 
Series 2020 C:   
5% 7/1/21 (b) 7,500,000 7,695,378 
5% 7/1/22 (b) 2,750,000 2,944,123 
5% 7/1/23 (b) 8,930,000 9,882,563 
Philadelphia Auth. for Indl. Dev. Series 2020 C, 4% 11/1/24 535,000 599,082 
Philadelphia Auth. Indl. Dev. Lease Rev. Series 2019, 5% 10/1/21 500,000 516,240 
Philadelphia Gas Works Rev.:   
Series 15, 5% 8/1/21 25,000 25,745 
Series 2015 13, 5% 8/1/21 850,000 875,314 
Series 2017 15, 5% 8/1/22 480,000 515,659 
Philadelphia Gen. Oblig. Series 2019 B, 5% 2/1/21 1,500,000 1,510,983 
Philadelphia School District Series 2019 A:   
5% 9/1/21 115,000 118,810 
5% 9/1/23 185,000 206,937 
Philadelphia Wtr. & Wastewtr. Rev. Series 2013 A, 5% 1/1/21 250,000 250,953 
Phoenixville Area School District Gen. Oblig. Series 2016 B, 4% 8/15/21 500,000 512,653 
Pittsburgh & Allegheny County Sports & Exhibition Auth. Series 2020, 4% 2/1/23 (FSA Insured) 1,775,000 1,914,373 
Pittsburgh Wtr. & Swr. Auth. Wtr. & Swr. Sys. Rev.:   
Bonds Series 2017 C, 1 month U.S. LIBOR + 0.640% 0.765%, tender 12/1/20 (FSA Insured) (a)(c)(d) 7,270,000 7,279,015 
Series 2019 A:   
5% 9/1/23 270,000 304,150 
5% 9/1/26 (FSA Insured) 625,000 775,875 
Quakertown Gen. Auth. Health Facilities Series 2017 A, 3.125% 7/1/21 705,000 696,720 
Reading School District Series 2017:   
5% 3/1/21 (FSA Insured) 50,000 50,557 
5% 3/1/25 (FSA Insured) 5,000 5,902 
5% 3/1/26 (FSA Insured) 5,000 6,069 
5% 3/1/27 (FSA Insured) 5,000 6,159 
5% 3/1/28 (FSA Insured) 5,000 6,254 
Southeastern Pennsylvania Trans. Auth. Rev. Series 2020:   
5% 6/1/21 500,000 511,464 
5% 6/1/22 1,000,000 1,068,440 
5% 6/1/23 750,000 833,610 
TOTAL PENNSYLVANIA  116,394,644 
Rhode Island - 0.1%   
Rhode Is Comm Corp. Spl. Facilities Rev. Series 2018, 5% 7/1/21 685,000 700,775 
Rhode Island Comm Corp. Rev. Series 2016 A, 5% 6/15/24 1,010,000 1,170,348 
Rhode Island Health & Edl. Bldg. Corp. Higher Ed. Facilities Rev. Series 2016:   
5% 5/15/22 45,000 47,402 
5% 5/15/23 25,000 27,174 
5% 5/15/24 160,000 179,248 
5% 5/15/25 120,000 138,310 
Rhode Island Health & Edl. Bldg. Corp. Pub. Schools Rev. Series 2015, 5% 5/15/25 (FSA Insured) 130,000 154,658 
Rhode Island Hsg. & Mtg. Fin. Corp. Series 2019 70, 4% 10/1/49 105,000 116,691 
Rhode Island Student Ln. Auth. Student Ln. Rev.:   
Series 2019 A, 5% 12/1/28 (b) 490,000 595,879 
Series A, 5% 12/1/20 (b) 250,000 250,000 
Tobacco Settlement Fing. Corp. Series 2015 A:   
5% 6/1/21 555,000 567,838 
5% 6/1/26 75,000 87,325 
5% 6/1/27 20,000 23,158 
TOTAL RHODE ISLAND  4,058,806 
South Carolina - 0.5%   
Charleston County Arpt. District Series 2013 A, 5.25% 7/1/22 (b) 1,235,000 1,325,810 
Lancaster County School District ( South Carolina Gen. Oblig. Proj.) Series 2017, 5% 3/1/22 45,000 47,707 
Laurens County Wtr. & Swr. Cmnty. Wtrwks. Series 2020, 1.375% 2/1/22 (Pre-Refunded to 7/1/21 @ 100) 3,000,000 3,017,640 
Patriots Energy Group Fing. Agcy. Bonds Series 2018 A, 4%, tender 2/1/24 (a) 1,100,000 1,213,916 
Richland County School District #2 Gen. Oblig. (South Carolina Gen. Oblig. Proj.) Series 2015 A, 5% 2/1/23 55,000 60,667 
Scago Edl. Facilities Corp. for Colleton School District (School District of Colleton County Proj.) Series 2015:   
5% 12/1/23 95,000 105,880 
5% 12/1/26 25,000 28,975 
South Carolina Assoc. of Governmental Organizations Ctfs. of Prtn. Series 2020 C, 2% 3/1/21 10,000,000 10,045,451 
South Carolina Hsg. Fin. & Dev. Auth. Mtg. Rev. Series 2019 A, 4% 1/1/50 135,000 152,495 
South Carolina Ports Auth. Ports Rev. Series 2019 B, 5% 7/1/22 (b) 310,000 331,830 
South Carolina Pub. Svc. Auth. Rev.:   
Series 2011 B, 5% 12/1/21 910,000 952,368 
Series 2012 B, 5% 12/1/20 20,000 20,000 
Series 2012 C, 5% 12/1/20 400,000 400,000 
Series 2014 C:   
5% 12/1/22 25,000 27,270 
5% 12/1/23 110,000 124,797 
Series 2015 A, 5% 12/1/21 225,000 235,476 
Series 2015 C, 5% 12/1/21 295,000 308,735 
Series A:   
5% 12/1/21 530,000 554,676 
5% 12/1/22 750,000 818,093 
5% 12/1/23 1,015,000 1,151,538 
5% 12/1/23 620,000 703,402 
5% 12/1/24 365,000 429,915 
TOTAL SOUTH CAROLINA  22,056,641 
South Dakota - 0.0%   
South Dakota Health & Edl. Facilities Auth. Rev.:   
Series 2014 B:   
4% 11/1/21 10,000 10,333 
5% 11/1/22 10,000 10,860 
Series 2020 A:   
5% 9/1/21 190,000 196,659 
5% 9/1/22 140,000 151,304 
5% 9/1/23 335,000 376,976 
South Dakota Hsg. Dev. Auth. Series 2017 D, 4% 11/1/47 1,000,000 1,087,540 
TOTAL SOUTH DAKOTA  1,833,672 
Tennessee - 0.4%   
Greeneville Health & Edl. Facilities Board Series 2018 A, 5% 7/1/22 1,500,000 1,595,550 
Metropolitan Nashville Arpt. Auth. Rev.:   
Series 2015 B, 5% 7/1/21 (b) 300,000 307,797 
Series 2019 B, 5% 7/1/25 (b) 770,000 910,533 
Tennergy Corp. Gas Rev. Bonds Series 2019 A, 5%, tender 10/1/24 (a) 2,050,000 2,386,262 
Tennessee Energy Acquisition Corp.:   
Bonds (Gas Rev. Proj.) Series A, 4%, tender 5/1/23 (a) 10,000,000 10,777,400 
Series 2006 A, 5.25% 9/1/21 1,235,000 1,279,542 
Series 2018, 5% 11/1/22 1,500,000 1,626,930 
TOTAL TENNESSEE  18,884,014 
Texas - 5.0%   
Alamito Pub. Facilities Corp. Bonds:   
(Cramer Three Apts. Proj.) Series 2018, 2.5%, tender 5/1/21 (a) 5,000,000 5,043,160 
Series 2019, 1.51%, tender 5/1/22 (a) 6,000,000 6,049,440 
Aledo Independent School District Series 2015, 0% 2/15/24 25,000 24,583 
Atascosa County Indl. Dev. Corp. Poll. Cont. Rev. Series 2020:   
5% 12/15/21 975,000 1,017,374 
5% 12/15/23 450,000 505,499 
5% 12/15/24 550,000 638,682 
Austin Affordable Pfc, Inc. Multifamily Hsg. Rev. Bonds Series 2019, 1.46%, tender 6/1/22 (a) 700,000 711,438 
Austin Arpt. Sys. Rev.:   
Series 2014, 5% 11/15/26 (b) 715,000 828,578 
Series 2019 B, 5% 11/15/22 (b) 600,000 652,158 
Series 2019:   
5% 11/15/21 (b) 2,225,000 2,319,827 
5% 11/15/22 (b) 385,000 418,468 
5% 11/15/23 (b) 500,000 563,605 
5% 11/15/24 (b) 500,000 583,885 
Austin-Bergstrom Landhost Ente Series 2017, 5% 10/1/21 280,000 286,315 
Burleson Independent School District Bonds Series 2018, 2.5%, tender 8/1/22 (a) 5,000,000 5,180,750 
Cap. Area Hsg. Fin. Corp. Multi-family Hsg. Rev. Bonds Series 2019, 2.1%, tender 9/1/22 (a) 2,800,000 2,827,636 
Central Reg'l. Mobility Auth.:   
Series 2016:   
5% 1/1/21 10,000 10,036 
5% 1/1/22 35,000 36,687 
5% 1/1/23 55,000 60,066 
5% 1/1/24 75,000 84,995 
5% 1/1/26 65,000 78,531 
Series 2020 B:   
5% 1/1/21 150,000 150,547 
5% 1/1/22 155,000 162,473 
5% 1/1/23 220,000 240,264 
5% 1/1/25 125,000 146,519 
5% 1/1/26 125,000 151,021 
Series 2020 F, 5% 1/1/25 2,000,000 2,300,340 
Coastal Bend Health Facilities Dev. Corp. Series 2005 B2, 0.24%, tender 7/1/31 (FSA Insured) (a) 3,825,000 3,825,000 
Corpus Christi Gen. Oblig. Series 2015, 5% 3/1/24 1,955,000 2,245,102 
Cypress-Fairbanks Independent School District Bonds:   
Series 2015 B2, 2.125%, tender 8/16/21 (a) 4,000,000 4,051,690 
Series 2017 A-2, 1.25%, tender 8/15/22 (a) 3,000,000 3,047,340 
Series 2017 A1, 2.125%, tender 8/16/21 (a) 8,180,000 8,285,706 
Dallas Fort Worth Int'l. Arpt. Rev.:   
Series 2012 C, 5% 11/1/21 305,000 317,813 
Series 2013 F:   
5% 11/1/21 75,000 78,151 
5% 11/1/22 240,000 261,026 
Series 2014 A, 5.25% 11/1/26 (b) 400,000 449,528 
Series 2014 B, 5% 11/1/22 (b) 100,000 108,420 
Series 2014 C, 5% 11/1/22 400,000 435,044 
Series 2014 D, 5% 11/1/21 (b) 2,515,000 2,616,635 
Series 2014 E, 5% 11/1/21 300,000 312,603 
Series 2020 A, 5% 11/1/23 2,250,000 2,548,643 
Series 2020 B:   
5% 11/1/21 3,580,000 3,730,399 
5% 11/1/22 3,000,000 3,262,830 
Dallas Gen. Oblig. Series 2020 A:   
5% 2/15/23 2,000,000 2,203,660 
5% 2/15/24 1,000,000 1,145,350 
Dallas Independent School District Bonds:   
Series 2016 B5, 5%, tender 2/15/21 (a) 175,000 176,669 
Series 2016, 5%, tender 2/15/22 (a) 5,000 5,286 
Series B6:   
5%, tender 2/15/22 (a) 100,000 105,713 
5%, tender 2/15/22 (a) 100,000 105,613 
Denton Independent School District Series 2016, 0% 8/15/25 35,000 34,358 
El Paso Independent School District Bonds Series 2020, 2.5%, tender 8/1/21 (a) 2,500,000 2,536,613 
Fort Bend Independent School District Bonds:   
Series 2019 A, 1.95%, tender 8/1/22 (a) 5,585,000 5,735,963 
Series 2020 B, 0.875%, tender 8/1/25 (a) 2,700,000 2,733,696 
Series D, 1.5%, tender 8/1/21 (a) 70,000 70,561 
Fort Worth Gen. Oblig.:   
Series 2015 A, 5% 3/1/23 35,000 38,735 
Series 2019, 5% 3/1/24 4,520,000 5,207,537 
Fort Worth Independent School District Series 2015, 5% 2/15/22 35,000 37,035 
Goose Creek Consolidated Independent School District Bonds Series 2019 B, 0.27%, tender 10/1/21 (a) 3,000,000 2,999,502 
Harris County Cultural Ed. Facilities Fin. Corp. Med. Facilities Rev. Series 2016, 5% 11/15/21 895,000 932,179 
Harris County Cultural Ed. Facilities Fin. Corp. Rev.:   
Bonds:   
Series 2019 B, 5%, tender 12/1/22 (a) 5,000,000 5,435,400 
Series 2019 C, SIFMA Municipal Swap Index + 0.420% 0.53%, tender 12/1/22 (a)(c) 3,250,000 3,237,585 
Series 2020 C, 5%, tender 12/1/22 (a) 6,180,000 6,735,026 
Series 2013 A, 5% 12/1/21 450,000 469,841 
Series 2013 B, SIFMA Municipal Swap Index + 0.900% 1.01% 6/1/22 (a)(c) 600,000 602,874 
Series 2014 A, 5% 12/1/26 120,000 140,434 
Series 2019 A:   
5% 12/1/20 1,000,000 1,000,000 
5% 12/1/21 2,110,000 2,203,033 
Series 2020, 5% 6/1/22 1,000,000 1,065,950 
Harris County Gen. Oblig. Series 2012 B, 1.45% 8/15/21 (a) 4,075,000 4,109,889 
Harris County Health Facilities Dev. Corp. Rev.:   
Series 2005 A4, 0.18%, tender 7/1/31 (FSA Insured) (a) 925,000 925,000 
Series A3, 0.24%, tender 7/1/31 (FSA Insured) (a) 3,000,000 3,000,000 
Houston Arpt. Sys. Rev.:   
Series 2011 A, 5% 7/1/22 (Pre-Refunded to 7/1/21 @ 100) (b) 410,000 420,853 
Series 2012 A:   
5% 7/1/21 (b) 300,000 307,708 
5% 7/1/23 (Pre-Refunded to 7/1/22 @ 100) (b) 235,000 251,744 
Series 2012 B:   
5% 7/1/21 655,000 672,608 
5% 7/1/27 (Pre-Refunded to 7/1/22 @ 100) 4,000,000 4,300,200 
Series 2018 A:   
5% 7/1/21 (b) 275,000 282,066 
5% 7/1/22 (b) 700,000 748,720 
Series 2018 B, 5% 7/1/22 720,000 772,488 
Series 2018 C, 5% 7/1/21 (b) 635,000 651,316 
Series 2020 A, 5% 7/1/23 (b) 1,000,000 1,110,470 
Series A:   
5% 7/1/21 (b) 475,000 487,205 
5% 7/1/21 (Escrowed to Maturity) (b) 200,000 205,293 
Houston Independent School District Bonds:   
Series 2012:   
2.4%, tender 6/1/21 (a) 2,985,000 3,016,271 
4%, tender 6/1/29 1,000,000 1,090,620 
Series 2013 B, 2.4%, tender 6/1/21 (a) 3,100,000 3,132,476 
Houston Util. Sys. Rev. Bonds Series 2018 C, 1 month U.S. LIBOR + 0.360% 0.465%, tender 12/3/20 (a)(c) 8,245,000 8,243,010 
Irving Hosp. Auth. Hosp. Rev. Series 2017 A, 5% 10/15/21 65,000 67,499 
Jacksonville Independent School District Series 2020, 5% 2/15/24 1,915,000 2,201,273 
Katy Independent School District Bonds Series 2015 C, 1 month U.S. LIBOR + 0.280% 0.374%, tender 12/15/20 (a)(c) 4,800,000 4,792,978 
Leander Independent School District Series 2013 A:   
0% 8/15/21 550,000 549,151 
0% 8/15/23 1,000,000 990,660 
Love Field Arpt. Modernization Rev.:   
Series 2015, 5% 11/1/23 (b) 375,000 418,399 
Series 2017, 5% 11/1/24 (b) 750,000 864,863 
Lower Colorado River Auth. Rev.:   
(LCRA Transmission Corp. Proj.) Series 2011 B, 5% 5/15/23 465,000 475,030 
(LCRA Transmission Svc. Corp. Proj.) Series 2019, 5% 5/15/21 500,000 510,879 
(LCRA Transmission Svcs. Corp. Proj.):   
Series 2019 A, 5% 5/15/21 1,335,000 1,364,047 
Series 2019, 5% 5/15/23 1,070,000 1,191,937 
Series 2020:   
5% 5/15/21 1,265,000 1,292,524 
5% 5/15/22 1,000,000 1,069,290 
5% 5/15/23 215,000 239,501 
5% 5/15/24 300,000 347,418 
Mansfield Independent School District Series 2016, 5% 2/15/24 95,000 109,169 
Mission Econ. Dev. Corp. Solid Waste Disp. Rev. Bonds:   
(Republic Svcs., Inc. Proj.) Series 2008 A, 0.3%, tender 2/1/21 (a)(b) 7,800,000 7,800,766 
(Waste Mgmt., Inc. Proj.):   
Series 2020 A, 0.4%, tender 12/1/20 (a)(b) 5,200,000 5,200,000 
Series 2020 B, 0.4%, tender 12/1/20 (a)(b) 5,350,000 5,350,000 
New Caney Independent School District Bonds Series 2018, 3%, tender 8/15/21 (a) 1,090,000 1,110,720 
Newark Higher Ed. Fin. Corp. (Abilene Christian Univ. Proj.) Series 2016 A, 5% 4/1/26 55,000 65,172 
North East Texas Independent School District Bonds Series 2013 B, 1.42%, tender 8/1/21 (a) 285,000 285,508 
North Harris County Reg'l. Wtr. Auth. Series 2013, 4% 12/15/22 35,000 37,597 
North Texas Tollway Auth. Rev.:   
Series 2017 B, 5% 1/1/21 325,000 326,237 
Series 2019 A, 5% 1/1/21 1,700,000 1,706,468 
Series 2020 C, 5% 1/1/21 3,000,000 3,011,415 
Northside Independent School District Bonds:   
Series 2016, 2%, tender 6/1/21 (a) 3,205,000 3,232,211 
Series 2020, 0.7%, tender 6/1/25 (a) 5,000,000 5,063,450 
Odessa Hsg. Fin. Corp. Multifamily Hsg. Rev. Bonds Series 2020, 0.35%, tender 3/1/23 (a) 2,500,000 2,498,000 
Prosper Independent School District Bonds Series 2019 B, 2%, tender 8/15/23 (a) 1,000,000 1,036,730 
San Antonio Arpt. Sys. Rev. Series 2019 A:   
5% 7/1/21 (b) 640,000 656,444 
5% 7/1/21 (b) 1,330,000 1,364,173 
5% 7/1/22 (b) 275,000 294,140 
5% 7/1/22 (b) 265,000 283,444 
5% 7/1/23 (b) 195,000 215,114 
5% 7/1/25 (b) 400,000 469,468 
5% 7/1/26 (b) 500,000 606,860 
San Antonio Elec. & Gas Sys. Rev. Bonds:   
Series 2015 B, 2%, tender 12/1/21 (a) 3,550,000 3,577,653 
Series 2015 D, 3%, tender 12/1/20 (a) 4,000,000 4,000,000 
San Antonio Hsg. Trust Fin. Corp. Bonds Series 2019, 1.4%, tender 1/1/22 (a) 5,000,000 5,043,500 
San Antonio Pub. Facilities Corp. and Rfdg. Lease (Convention Ctr. Proj.) Series 2012:   
5% 9/15/21 20,000 20,699 
5% 9/15/22 75,000 80,924 
San Antonio Wtr. Sys. Rev. Bonds Series 2013 F, 2%, tender 11/1/21 (a) 1,000,000 1,013,842 
Tarrant County Cultural Ed. Facilities Fin. Corp. Hosp. Rev. (Scott & White Healthcare Proj.) Series 2013 A:   
5% 8/15/21 15,000 15,466 
5% 8/15/23 20,000 22,478 
Tarrant County Cultural Ed. Facilities Fin. Corp. Rev.:   
Series 2016 A:   
5% 2/15/25 345,000 407,835 
5% 2/15/26 35,000 42,687 
Series 2017 A, 5% 2/15/24 195,000 222,203 
Texas Dept. of Hsg. & Cmnty. Affairs Multi-family Hsg. Rev. Bonds:   
Series 2018, 1.17%, tender 2/1/21 (a) 3,800,000 3,802,012 
Series 2019, 2.11%, tender 2/1/21 2,880,000 2,888,243 
Texas Gen. Oblig. Bonds:   
Series 2019 C2, 1.85%, tender 8/1/22 (a) 115,000 115,104 
Series 2019 E2, 2.25%, tender 8/1/22 (a) 420,000 420,664 
Texas State Univ. Sys. Fing. Rev. Series 2019 A, 4% 3/15/21 2,000,000 2,021,897 
Texas Wtr. Dev. Board Rev. Series 2019 A, 5% 4/15/21 850,000 865,251 
Tomball Independent School District Bonds Series 2014 B2, 2.125%, tender 8/15/21 (a) 1,000,000 1,012,923 
Trinity River Auth. Reg'l. Wastewtr. Sys. Rev. Series 2016, 5% 8/1/23 35,000 39,375 
Univ. of Texas Board of Regents Sys. Rev. Series 2017 C, 5% 8/15/21 1,945,000 2,011,372 
Weatherford Util. Sys. Rev. Series 2015, 5% 9/1/21 (FSA Insured) 250,000 259,032 
TOTAL TEXAS  230,317,052 
Utah - 0.0%   
Intermountain Pwr. Agcy. Pwr. Supply Rev. Series 2018 A, 5% 7/1/21 500,000 513,293 
Salt Lake City Arpt. Rev. Series 2018 A, 5% 7/1/23 (b) 250,000 277,210 
Utah County Hosp. Rev. Bonds Series 2018 B2, 5%, tender 8/1/24 (a) 135,000 154,111 
TOTAL UTAH  944,614 
Vermont - 0.0%   
Vermont Student Assistant Corp. Ed. Ln. Rev.:   
Series 2017 A, 5% 6/15/23 (b) 700,000 761,964 
Series 2020 A, 5% 6/15/27 (b) 625,000 744,919 
TOTAL VERMONT  1,506,883 
Virginia - 1.2%   
Arlington County IDA Hosp. Facilities Series 2020:   
5% 7/1/23 340,000 378,396 
5% 7/1/24 425,000 490,850 
Charles City County Solid Wt Rev. Bonds Series 2002, 3%, tender 4/1/21 (a)(b) 5,750,000 5,793,932 
Charles City County Econ. Dev. Auth. Solid Waste Disp. Rev. Bonds (Waste Mgmt., Inc. Proj.) Series 2003 A, 2.4%, tender 5/2/22 (a)(b) 1,750,000 1,793,610 
Chesapeake Bay Bridge and Tunnel District Gen. Resolution Rev. Series 2019, 5% 11/1/23 2,000,000 2,235,760 
Chesapeake Trans. Sys. Toll Road Rev. Series 2012 A, 5% 7/15/21 10,000 10,271 
Fairfax County Indl. Dev. Auth. Bonds (Inova Health Sys. Proj.) Series 2018 B, 5%, tender 5/15/23 (a) 1,200,000 1,333,932 
Fredericksburg Econ. Dev. Auth. Rev. Series 2014, 5% 6/15/24 50,000 57,218 
Halifax County Indl. Dev. Auth. Bonds (Virginia Elec. and Pwr. Co. Proj.) Series 2010 A, 0.45%, tender 4/1/22 (a) 6,185,000 6,183,330 
Hampton Roads Trans. Accountability Commission Series 2019 A, 5% 7/1/22 14,500,000 15,573,725 
King George County Indl. Dev. Auth. Solid Waste Disp. Fac. Rev. (King George Landfill, Inc. Proj.) Series 2003 A, 2.5% 6/1/23 (a)(b) 735,000 762,864 
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 2,593,125 
Series 2008 B, 0.75%, tender 9/2/25 (a) 4,000,000 4,043,200 
Series 2008 C, 1.8%, tender 4/1/22 (a) 1,600,000 1,628,192 
Russell County Poll. Cont. (Appalachian Pwr. Co. Proj.) Series K 4.625% 11/1/21 250,000 250,796 
Spotsylvania County Econ. Dev. Bonds (Palmers Creek Apt. Proj.) Series 2019, 1.45%, tender 2/1/22 (a) 5,000,000 5,057,300 
Stafford County Econ. Dev. Auth. Hosp. Facilities Rev. Series 2016:   
5% 6/15/24 25,000 28,609 
5% 6/15/25 20,000 23,675 
5% 6/15/26 35,000 42,664 
Sussex County Indl. Dev. Auth. Solid Waste Disp. Rev. Bonds Series 2003 A, 2.4%, tender 5/2/22 (a)(b) 805,000 825,061 
Virginia Pub. Bldg. Auth. Pub. Facilities Rev.:   
Series 2020 A, 5% 8/1/22 1,940,000 2,095,627 
Series 2020 B, 5% 8/1/21 2,625,000 2,709,263 
Virginia Small Bus. Fing. Auth. Series 2020 A:   
5% 1/1/22 900,000 942,678 
5% 1/1/23 400,000 435,968 
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) 1,890,000 1,932,468 
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) 300,000 310,989 
TOTAL VIRGINIA  57,533,503 
Washington - 1.7%   
Central Puget Sound Reg'l. Trans. Auth. Sales & Use Tax Rev. Bonds Series 2015 S2A, SIFMA Municipal Swap Index + 0.300% 0.41%, tender 12/3/20 (a)(c) 20,000,000 20,000,256 
Grant County Pub. Util. District #2 Series 2012 A, 5% 1/1/21 (Escrowed to Maturity) 40,000 40,157 
King County Hsg. Auth. Rev.:   
Series 2018, 3.5% 5/1/21 500,000 506,276 
Series 2019:   
3% 11/1/23 1,175,000 1,260,129 
4% 11/1/24 135,000 153,573 
Series 2020:   
3% 6/1/21 400,000 404,839 
3% 6/1/22 250,000 258,873 
3% 6/1/23 400,000 422,916 
3% 6/1/25 275,000 300,908 
King County Swr. Rev. Bonds:   
Series 2012, 2.6%, tender 12/1/21 (a) 3,600,000 3,619,987 
Series 2020 B, 0.875%, tender 1/1/26 (a) 2,000,000 2,020,320 
Port of Seattle Gen. Oblig. Series 2011:   
5.25% 12/1/20 (b) 375,000 375,000 
5.25% 12/1/21 (b) 300,000 307,464 
Port of Seattle Rev.:   
Series 2012 A, 5% 8/1/22 325,000 349,372 
Series 2012 B:   
5% 8/1/21 (b) 500,000 514,687 
5% 8/1/23 (b) 1,345,000 1,439,648 
Series 2015 B, 5% 3/1/21 355,000 359,137 
Series 2015 C, 5% 4/1/21 (b) 540,000 548,231 
Series 2016 B:   
5% 10/1/21 (b) 60,000 62,230 
5% 10/1/22 (b) 70,000 75,438 
5% 10/1/23 (b) 65,000 72,740 
Series 2017 C, 5% 5/1/22 (b) 5,540,000 5,899,712 
Series 2018 A, 5% 5/1/22 (b) 11,475,000 12,220,072 
Series 2019:   
5% 4/1/21 (b) 1,000,000 1,015,242 
5% 4/1/22 (b) 530,000 562,463 
5% 4/1/23 (b) 615,000 675,596 
Port of Seattle Spl. Facility Rev. Series 2013, 5% 6/1/22 (b) 500,000 534,375 
Seattle Muni. Lt. & Pwr. Rev. Bonds Series 2018 B2, SIFMA Municipal Swap Index + 0.290% 0.4%, tender 12/3/20 (a)(c) 10,000,000 10,000,437 
Tacoma Elec. Sys. Rev.:   
Series 2013 A:   
4% 1/1/21 5,000 5,015 
5% 1/1/21 40,000 40,154 
Series 2017:   
5% 1/1/22 15,000 15,783 
5% 1/1/25 25,000 29,760 
5% 1/1/26 10,000 12,351 
Tobacco Settlement Auth. Rev. Series 2018, 5% 6/1/22 215,000 230,252 
Washington Gen. Oblig. Series R 2020 C:   
5% 7/1/21 1,000,000 1,028,073 
5% 7/1/22 2,500,000 2,689,275 
Washington Health Care Facilities Auth. Rev.:   
(Providence Health Systems Proj.) Series 2012 A, 5% 10/1/24 250,000 270,715 
(Virginia Mason Med. Ctr. Proj.) Series 2017:   
5% 8/15/25 205,000 230,857 
5% 8/15/26 115,000 131,825 
5% 8/15/27 50,000 58,114 
Bonds:   
Series 2012 B, 5%, tender 10/1/21 (a) 450,000 466,760 
Series 2019 B, 5%, tender 8/1/24 (a) 1,095,000 1,236,540 
Series 2011 B, 3.5% 10/1/21 250,000 256,081 
Series 2012 A, 5% 10/1/22 445,000 479,995 
Series 2015 B, 5% 8/15/23 600,000 673,296 
Series 2018 B, 5% 10/1/25 1,195,000 1,445,197 
Washington Hsg. Fin. Commission Multi-family Hsg. Rev. (Columbia Park Apts. Proj.) Series 2019, 1.39%, tender 7/1/21 (a) 5,000,000 5,029,837 
TOTAL WASHINGTON  78,329,958 
West Virginia - 0.3%   
Harrison County Commission Solid Waste Disp. Rev. Bonds (Monongahela Pwr. Co. Proj.) Series 2018 A, 3%, tender 10/15/21 (a)(b) 6,900,000 7,009,326 
Mason Co. Poll. Cont. Rev. (Appalachian Pwr. Co. Proj.) Series 2003 L, 2.75% 10/1/22 3,245,000 3,364,092 
West Virginia Econ. Dev. Auth. Solid Waste Disp. Facilities Rev. Bonds (Appalachian Pwr. Co. - Amos Proj.) Series 2015 A, 2.55%, tender 4/1/24 (a) 225,000 237,938 
West Virginia Hosp. Fin. Auth. Hosp. Rev. Series 2016 A:   
5% 6/1/22 2,195,000 2,336,358 
5% 6/1/24 1,490,000 1,706,095 
West Virginia Hsg. Dev. Fund Series 2017 A, 2.4% 11/1/22 (b) 960,000 985,987 
TOTAL WEST VIRGINIA  15,639,796 
Wisconsin - 1.0%   
Crosse Resources Recovery Rev. Series 1996, 6% 11/1/21 (b) 1,500,000 1,572,852 
Milwaukee County Arpt. Rev.:   
Series 2013 A:   
5% 12/1/20 (b) 30,000 30,000 
5% 12/1/22 (b) 30,000 32,386 
5.25% 12/1/23 (b) 35,000 39,443 
Series 2016 A:   
5% 12/1/20 (b) 375,000 375,000 
5% 12/1/22 (b) 1,000,000 1,079,520 
Milwaukee Gen. Oblig. Series 2020 N4, 5% 4/1/22 2,000,000 2,123,340 
Pub. Fin. Auth. Series 2020 A:   
5% 1/1/21 225,000 225,786 
5% 1/1/25 300,000 349,536 
Pub. Fin. Auth. Hosp. Rev. Series 2020 A:   
5% 6/1/23 345,000 383,371 
5% 6/1/24 675,000 778,208 
5% 6/1/25 375,000 447,551 
5% 6/1/26 300,000 367,860 
Pub. Fin. Auth. Solid Waste Bonds (Waste Mgmt., Inc. Proj.):   
Series 2017 A, 0.3%, tender 9/1/27 (a)(b) 1,500,000 1,500,147 
Series 2017 A-2, 0.3%, tender 10/1/25 (a)(b) 16,000,000 16,001,571 
Wisconsin Health & Edl. Facilities:   
(Agnesian Healthcare Proj.) Series 2017, 5% 7/1/21 100,000 102,569 
Bonds:   
(Ascension Health Cr. Group Proj.) Series 2013 B, 5%, tender 6/1/21 (a) 1,905,000 1,949,355 
Series 2018 B, 5%, tender 1/26/22 (a) 5,710,000 6,008,633 
Series 2018 C, SIFMA Municipal Swap Index + 0.450% 0.56%, tender 7/27/22 (a)(c) 3,885,000 3,889,312 
Series 2018 C3, SIFMA Municipal Swap Index + 0.550% 0.66%, tender 7/26/23 (a)(c) 4,000,000 4,008,600 
Series 2014 A, 5% 11/15/21 325,000 338,692 
Series 2014, 5% 5/1/21 15,000 15,251 
Series 2016 A, 5% 11/15/21 480,000 500,928 
Series 2018, 5% 4/1/26 195,000 238,473 
Series 2019 A:   
5% 12/1/23 30,000 33,920 
5% 12/1/24 100,000 116,919 
5% 12/1/25 125,000 151,215 
5% 12/1/26 200,000 247,966 
Series 2019, 5% 10/1/21 400,000 414,011 
Series 2020, 4% 7/1/21 820,000 835,840 
Wisconsin Health & Edl. Facilities Auth. Series 2014 A, 5% 12/1/24 695,000 813,101 
Wisconsin Health & Edl. Facilities Auth. Rev.:   
Series 2010, 5% 12/15/20 350,000 350,561 
Series 2012, 5% 10/1/21 30,000 31,051 
TOTAL WISCONSIN  45,352,968 
Wyoming - 0.2%   
Wyoming Cmnty. Dev. Auth. Hsg. Rev.:   
Bonds Series 2018 4, SIFMA Municipal Swap Index + 0.320% 0.43%, tender 12/3/20 (a)(c) 5,000,000 4,999,825 
Series 2020 3:   
5% 12/1/21 (b) 565,000 590,956 
5% 6/1/22 (b) 280,000 298,880 
5% 6/1/23 (b) 955,000 1,056,173 
TOTAL WYOMING  6,945,834 
TOTAL MUNICIPAL BONDS   
(Cost $2,073,417,076)  2,090,139,503 
Municipal Notes - 22.5%   
Alabama - 0.2%   
Health Care Auth. for Baptist Health Series 2013 B, 0.43% 12/7/20, VRDN (a) 6,705,000 $6,705,000 
Mobile Indl. Dev. Board Rev. (Alabama Pwr. Co. Proj.) Series 2001 B, 0.15% 12/1/20, VRDN (a)(b) 600,000 600,000 
TOTAL ALABAMA  7,305,000 
Alaska - 0.0%   
Alaska Hsg. Fin. Corp. Series 2002 A, 0.13% 12/1/20 (Liquidity Facility JPMorgan Chase Bank), VRDN (a)(b) 15,000 15,000 
Arizona - 0.5%   
Arizona St Indl. Dev. Auth. Multi Participating VRDN:   
Series DBE 80 53, 0.71% 1/29/21 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(f)(g)(h) 10,200,000 10,200,000 
Series XF 10 91, 0.51% 12/7/20 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(b)(f)(h) 950,000 950,000 
Phoenix Civic Impt. Board Arpt. Rev. Participating VRDN Series XM 08 23, 0.36% 12/7/20 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(f)(h) 1,900,000 1,900,000 
Phoenix Indl. Dev. Auth. Health Care Facilities (Mayo Clinic Proj.) Series 2014 A, 0.08% 12/1/20 (Liquidity Facility Bank of America NA), VRDN (a) 10,200,000 10,200,000 
TOTAL ARIZONA  23,250,000 
California - 1.3%   
California Edl. Facilities Auth. Rev. Series 2020, 0.21% 3/3/21, CP 1,500,000 1,500,267 
Los Angeles County Gen. Oblig. TRAN Series A, 4% 6/30/21 15,000,000 15,329,028 
Los Angeles Gen. Oblig. TRAN Series 2020, 4% 6/24/21 15,000,000 15,321,921 
River Islands Pub. Fing. Auth. Participating VRDN Series MIZ 90 26, 0.46% 1/4/21 (Liquidity Facility Mizuho Cap. Markets Llc) (a)(f)(g)(h) 4,300,000 4,300,000 
Riverside County Gen. Oblig. TRAN Series 2020, 4% 6/30/21 5,000,000 5,110,773 
San Diego Unified School District TRAN Series 2020, 5% 6/30/21 3,280,000 3,371,298 
San Francisco City & County Series A1, 0.18% 1/13/21, LOC Bank of America NA, CP 4,000,000 3,999,903 
San Francisco City & County Arpts. Commission Int'l. Arpt. Rev.:   
Participating VRDN:   
Series Floaters XM 06 75, 0.36% 12/7/20 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(b)(f)(h) 2,775,000 2,775,000 
Series XM 09 16, 0.34% 12/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(f)(h) 2,200,000 2,200,000 
Series 2010 A2, 0.12% 12/7/20, LOC Bank of America NA, VRDN (a)(b) 4,000,000 4,000,000 
Shafter Indl. Dev. Auth. Indl. Dev. Rev. 0.48% 12/7/20, LOC Deutsche Bank AG New York Branch, VRDN (a)(b) 335,000 335,000 
Transbay Joint Powers Auth. Participating VRDN Series YX 11 42, 0.21% 12/7/20 (Liquidity Facility Barclays Bank PLC) (a)(f)(h) 500,000 500,000 
TOTAL CALIFORNIA  58,743,190 
Colorado - 1.4%   
Colorado Ed. Ln. Prog. TRAN Series 2020 A:   
3% 6/29/21 8,000,000 8,129,744 
4% 6/29/21 12,000,000 12,263,875 
Colorado Edl. & Cultural Facilities Auth. Rev. (Mesivta of Greater Los Angeles Proj.) Series 2005, 0.46% 12/7/20, LOC Deutsche Bank AG, VRDN (a) 675,000 675,000 
Colorado Gen. Fdg. Rev. TRAN Series 2020, 4% 6/25/21 20,000,000 20,432,498 
Denver City & County Arpt. Rev. Participating VRDN:   
Series Floaters XL 00 90, 0.36% 12/7/20 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(b)(f)(h) 23,100,000 23,100,000 
Series Floaters XM 07 15, 0.36% 12/7/20 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(b)(f)(h) 1,240,000 1,240,000 
TOTAL COLORADO  65,841,117 
Connecticut - 0.6%   
Connecticut Health & Edl. Facilities Auth. Rev. Series 2013 O, 0.11% 12/7/20, VRDN (a) 23,125,000 23,125,000 
Oxford Gen. Oblig. BAN Series 2020, 2.5% 1/15/21 2,000,000 2,004,380 
Windsor Gen. Oblig. BAN Series 2020, 2% 6/24/21 3,000,000 3,028,540 
TOTAL CONNECTICUT  28,157,920 
Delaware - 0.1%   
Delaware Econ. Dev. Auth. Rev. (Delmarva Pwr. & Lt. Co. Proj.) Series 1994, 0.18% 12/1/20, VRDN (a)(b) 5,880,000 5,880,000 
District Of Columbia - 0.0%   
Washington D.C. Metropolitan Transit Auth. Rev. Participating VRDN Series ZM 06 10, 0.36% 12/7/20 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(f)(h) 900,000 900,000 
Florida - 1.4%   
Broward County Arpt. Sys. Rev. Participating VRDN:   
Series XL 01 36, 0.36% 12/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(f)(h) 3,000,000 3,000,000 
Series XM 08 95, 0.36% 12/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(f)(h) 840,000 840,000 
Broward County Indl. Dev. Rev. (Florida Pwr. & Lt. Co. Proj.) Series 2015, 0.16% 12/1/20, VRDN (a)(b) 5,040,000 5,040,000 
Broward County School District TAN Series 2020, 2% 6/30/21 15,000,000 15,159,207 
Greater Orlando Aviation Auth. Arpt. Facilities Rev. Participating VRDN Series XM 08 91, 0.31% 12/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(f)(h) 1,100,000 1,100,000 
Highlands County Health Facilities Auth. Rev. (Adventist Health Sys./Sunbelt, Inc. Prog.) Series 2007 A1, 0.1% 12/7/20, VRDN (a) 1,250,000 1,250,000 
Jacksonville Health Care Series 2020, 0.23% 2/4/21, CP 2,200,000 2,199,960 
Lee County Indl. Dev. Auth. Rev. (Florida Pwr. & Lt. Co. Proj.) Series 2016 A, 0.16% 12/1/20, VRDN (a)(b) 700,000 700,000 
Lee Memorial Health Sys. Hosp. Rev. Series 2019 B, 0.28% 12/7/23, VRDN (a) 1,000,000 1,000,000 
Miami-Dade County Aviation Rev. Participating VRDN Series XM 08 70, 0.38% 12/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(f)(h) 2,100,000 2,100,000 
Miami-Dade County Expressway Auth. Participating VRDN Series XG 00 99, 0.21% 12/7/20 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(f)(h) 400,000 400,000 
Saint Lucie County Solid Waste Disp. (Florida Pwr. & Lt. Co. Proj.) Series 2003, 0.15% 12/1/20, VRDN (a)(b) 2,510,000 2,510,000 
South Miami Health Facilities Auth. Hosp. Rev. Participating VRDN:   
Series Floaters XF 25 30, 0.21% 12/7/20 (Liquidity Facility Citibank NA) (a)(f)(h) 10,500,000 10,500,000 
Series XF 25 23, 0.21% 12/7/20 (Liquidity Facility Barclays Bank PLC) (a)(f)(h) 10,000,000 10,000,000 
Series ZM 05 71, 0.21% 12/7/20 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(f)(h) 5,230,000 5,230,000 
Tampa Hosp. Rev. Participating VRDN Series XM 08 85, 0.26% 12/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(f)(h) 3,300,000 3,300,000 
TOTAL FLORIDA  64,329,167 
Georgia - 0.3%   
Burke County Indl. Dev. Auth. Poll. Cont. Rev. (Georgia Pwr. Co. Plant Vogtle Proj.):   
First Series 2009, 0.15% 12/1/20, VRDN (a) 940,000 940,000 
Series 2012, 0.16% 12/1/20, VRDN (a)(b) 6,125,000 6,125,000 
Series 2018, 0.18% 12/1/20, VRDN (a) 1,700,000 1,700,000 
Griffin-Spalding County Hosp. Participating VRDN Series Floaters XL 00 76, 0.46% 12/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(f)(h) 400,000 400,000 
Monroe County Dev. Auth. Poll. Cont. Rev. (Georgia Pwr. Co. Plant Scherer Proj.):   
Series 1997, 0.17% 12/1/20, VRDN (a) 500,000 500,000 
Series 2008, 0.17% 12/1/20, VRDN (a) 1,800,000 1,800,000 
Monroe County Dev. Auth. Rev. (Gulf Pwr. Co. Proj.) Series 2019, 0.16% 12/1/20, VRDN (a)(b) 500,000 500,000 
TOTAL GEORGIA  11,965,000 
Hawaii - 0.1%   
Hawaii Arpts. Sys. Rev. Participating VRDN Series XF 07 65, 0.23% 12/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(f)(h) 2,900,000 2,900,000 
Idaho - 0.0%   
Idaho Hsg. & Fin. Assoc. Single Family Mtg. Series A, 0.28% 12/7/20 (Liquidity Facility Fannie Mae) (Liquidity Facility Freddie Mac), VRDN (a) 1,370,000 1,370,000 
Illinois - 0.3%   
Chicago O'Hare Int'l. Arpt. Rev. Participating VRDN:   
Series Floaters XL 00 49, 0.31% 12/3/20 (Liquidity Facility Barclays Bank PLC) (a)(b)(f)(h) 750,000 750,000 
Series XM 08 79, 0.31% 12/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(f)(h) 2,500,000 2,500,000 
Series XM 08 84, 0.38% 12/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(f)(h) 2,500,000 2,500,000 
Chicago Park District Gen. Oblig. Participating VRDN Series ROC II R 11935, 0.31% 12/7/20 (Liquidity Facility Citibank NA) (a)(f)(h) 2,300,000 2,300,000 
Chicago Transit Auth. Participating VRDN:   
Series 20 XF 28 97, 0.29% 12/7/20 (Liquidity Facility Barclays Bank PLC) (a)(f)(h) 900,000 900,000 
Series XM 09 03, 0.31% 12/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(f)(h) 300,000 300,000 
Cook County Gen. Oblig. Participating VRDN Series 2015 XF0124, 0.34% 12/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(f)(h) 1,280,000 1,280,000 
Metropolitan Pier & Exposition Participating VRDN Series XF 09 65, 0.46% 12/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(f)(h) 3,600,000 3,600,000 
Reg'l. Transn Auth. Extend Series 2005 B, 0.75% 12/7/20, VRDN (a) 1,690,000 1,690,000 
TOTAL ILLINOIS  15,820,000 
Kansas - 0.0%   
Baldwin City BAN Series 2020 A, 4.4% 3/1/21 2,000,000 2,020,264 
Kentucky - 0.9%   
Kentucky Econ. Dev. Fin. Auth. Hosp. Rev. Participating VRDN Series XM 09 19, 0.26% 12/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(f)(h) 1,100,000 1,100,000 
Kentucky Hsg. Corp. Hsg. Rev. Participating VRDN Series XF 10 93, 0.46% 12/7/20 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(f)(h) 800,000 800,000 
Kentucky Tpk. Auth. Econ. Dev. Road Rev. Participating VRDN Series XF 24 84, 0.36% 12/7/20 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(f)(h) 1,780,000 1,780,000 
Louisville & Jefferson County Metropolitan Swr. District Swr. & Drain Sys. Rev. BAN Series 2020, 5% 10/20/21 20,000,000 20,849,446 
Louisville & Jefferson County Reg'l. Arpt. Auth. Spl. Facilities Rev. (UPS Worldwide Forwarding, Inc. Proj.):   
Series 1999 B, 0.18% 12/1/20, VRDN (a)(b) 400,000 400,000 
Series 1999 C, 0.16% 12/1/20, VRDN (a)(b) 13,700,000 13,700,000 
Meade County Indl. Bldg. Rev. (Nucor Steel Brandenburg Proj.):   
Series 2020 A1, 0.18% 12/1/20, VRDN (a)(b) 1,400,000 1,400,000 
Series 2020 B1, 0.18% 12/1/20, VRDN (a)(b) 2,900,000 2,900,000 
TOTAL KENTUCKY  42,929,446 
Louisiana - 0.0%   
Saint James Parish Gen. Oblig. (Nucor Steel Louisiana LLC Proj.) Series 2010 A1, 0.18% 12/7/20, VRDN (a) 230,000 230,000 
Maryland - 0.5%   
Baltimore Proj. Rev. Bonds Series Floaters G 42, 0.31%, tender 7/1/21 (Liquidity Facility Royal Bank of Canada) (a)(f)(g)(h) 4,500,000 4,500,000 
Maryland Econ. Dev. Corp. Student Hsg. Rev. Participating VRDN Series XF 28 32, 0.33% 12/7/20 (a)(f)(h) 14,985,000 14,985,000 
Maryland Health & Higher Edl. Facilities Auth. Rev.:   
(Anne Arundel Health Sys. Proj.) Series 2009 B, 0.12% 12/7/20, LOC Bank of America NA, VRDN (a) 1,050,000 1,050,000 
Participating VRDN Series 005, 0.41% 12/3/20 (Liquidity Facility Barclays Bank PLC) (a)(f)(h) 2,720,000 2,720,000 
TOTAL MARYLAND  23,255,000 
Massachusetts - 0.5%   
Ashland Gen. Oblig. BAN Series 2020, 1.75% 1/22/21 3,000,000 3,005,895 
Massachusetts Edl. Fing. Auth. Rev. Participating VRDN Series Floaters XF 23 06, 0.41% 12/7/20 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(b)(f)(h) 2,075,000 2,075,000 
Massachusetts Health & Edl. Facilities Auth. Rev. Series 1997 P1, 0.1% 12/7/20 (Liquidity Facility JPMorgan Chase Bank), VRDN (a) 5,000,000 5,000,000 
Middleborough Gen. Oblig. BAN Series 2020, 2% 10/1/21 13,000,000 13,190,345 
TOTAL MASSACHUSETTS  23,271,240 
Michigan - 0.3%   
Michigan Fin. Auth. Rev. RAN Series 2020 A2, 4% 8/20/21, LOC JPMorgan Chase Bank 12,500,000 12,841,289 
Minnesota - 0.0%   
Minneapolis Health Care Sys. Rev. Participating VRDN Series XM 08 72, 0.34% 12/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(f)(h) 1,000,000 1,000,000 
Mississippi - 0.3%   
Mississippi Bus. Fin. Corp. Solid Waste Disp. Rev. (Gulf Pwr. Co. Proj.) Series 2012, 0.13% 12/1/20, VRDN (a)(b) 12,030,000 12,030,000 
Missouri - 0.2%   
Kansas City Indl. Dev. Auth. Participating VRDN Series XM 09 21, 0.27% 12/7/20 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(b)(f)(h) 5,000,000 5,000,000 
Mercy Health Participating VRDN Series Floaters XL 00 80, 0.26% 12/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(f)(h) 1,200,000 1,200,000 
Missouri Health & Edl. Facilities Auth. Edl. Facilities Rev. Participating VRDN Series XG 01 76, 0.36% 12/7/20 (Liquidity Facility Royal Bank of Canada) (a)(f)(h) 2,400,000 2,400,000 
TOTAL MISSOURI  8,600,000 
New Jersey - 0.4%   
Brick Township Gen. Oblig. BAN Series 2020, 2% 6/22/21 2,000,000 2,018,952 
Jersey City Gen. Oblig. BAN Series 2020, 2% 6/17/21 2,000,000 2,019,579 
Mercer County Gen. Oblig. BAN Series 2020, 2% 6/10/21 5,000,000 5,046,936 
New Jersey Tpk. Auth. Tpk. Rev. Participating VRDN Series XM 09 11, 0.31% 12/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(f)(h) 1,305,000 1,305,000 
New Jersey Trans. Trust Fund Auth. Participating VRDN Series XF 09 75, 0.46% 12/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(f)(h) 800,000 800,000 
Newark Gen. Oblig. BAN Series 2020 C, 2% 10/5/21 2,000,000 2,022,015 
Summit Gen. Oblig. BAN Series 2020, 2.5% 10/22/21 2,800,000 2,854,808 
Union County Gen. Oblig. BAN Series 2020, 4% 6/18/21 2,000,000 2,041,544 
TOTAL NEW JERSEY  18,108,834 
New York - 4.3%   
Connetquot Central School District TAN Series 2020, 1.75% 6/25/21 5,000,000 5,042,155 
Cortland Enlarged City School District RAN Series 2020, 1.5% 7/30/21 1,000,000 1,005,885 
Erie County Gen. Oblig. RAN Series 2020, 3% 6/24/21 2,000,000 2,029,142 
Middletown BAN Series 2020, 1.5% 8/26/21 1,932,434 1,950,329 
Nassau County Gen. Oblig. RAN Series A, 2% 12/9/20 10,000,000 10,003,861 
New York City Gen. Oblig.:   
Series 2006, 0.24% 12/4/20 (FSA Insured), VRDN (a) 625,000 625,000 
Series 2017 A, 0.12% 12/7/20 (Liquidity Facility Citibank NA), VRDN (a) 6,650,000 6,650,000 
New York City Muni. Wtr. Fin. Auth. Wtr. & Swr. Sys. Rev.:   
Series 2010 CC, 0.11% 12/7/20 (Liquidity Facility Barclays Bank PLC), VRDN (a) 15,000,000 15,000,000 
Series 2014 BB1, 0.1% 12/1/20 (Liquidity Facility Bank of America NA), VRDN (a) 12,885,000 12,885,000 
New York Dorm. Auth. Rev. Participating VRDN Series XM 09 22, 0.17% 12/7/20 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(f)(h) 1,600,000 1,600,000 
New York Metropolitan Trans. Auth. Dedicated Tax Fund Rev. Participating VRDN Series ZM 06 00, 0.41% 12/7/20 (Liquidity Facility Wells Fargo Bank NA) (a)(f)(h) 2,100,000 2,100,000 
New York Metropolitan Trans. Auth. Rev.:   
BAN:   
Series 2018 B:   
5% 5/15/21 12,060,000 12,195,213 
5% 5/15/21 215,000 217,411 
5% 5/15/21 5,505,000 5,566,720 
Series 2018 C, 5% 9/1/21 4,030,000 4,104,271 
Series 2019 B, 5% 5/15/22 15,310,000 15,853,352 
Series 2019 D1, 5% 9/1/22 19,500,000 20,327,580 
Participating VRDN:   
Series XF 05 20, 0.56% 12/7/20 (Liquidity Facility Royal Bank of Canada) (a)(f)(h) 1,425,000 1,425,000 
Series XG 02 90, 0.15% 12/7/20 (Liquidity Facility Barclays Bank PLC) (a)(f)(h) 1,005,000 1,005,000 
Series ZF 02 18, 0.48% 12/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(f)(h) 4,200,000 4,200,000 
New York Pwr. Auth. Series 1, 0.29% 7/13/21, CP 8,000,000 7,999,505 
New York State Dorm. Auth. RAN Series 2020 B, 5% 3/31/21 9,550,000 9,703,297 
New York Thruway Auth. Gen. Rev. Participating VRDN:   
Series XF 09 18, 0.34% 12/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(f)(h) 1,600,000 1,600,000 
Series XM 08 31, 0.36% 12/7/20 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(f)(h) 2,000,000 2,000,000 
Series XM 08 80, 0.31% 12/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(f)(h) 1,500,000 1,500,000 
Oyster Bay Gen. Oblig. BAN Series C, 4% 8/27/21 9,500,000 9,751,311 
Port Washington Union Free School District BAN Series 2020, 1.5% 8/5/21 5,000,000 5,039,566 
Putnam County Indl. Dev. Agcy. Rev. Series 2006 A, 0.37% 12/7/20, LOC RBS Citizens NA, VRDN (a) 1,100,000 1,100,000 
Riverhead Central School District TAN Series 2020 B, 1.5% 6/25/21 5,000,000 5,036,222 
Rockland County Gen. Oblig. TAN Series 2020, 2% 4/1/21 3,000,000 3,017,276 
Suffolk County Gen. Oblig.:   
RAN Series 2020, 5% 3/19/21 2,000,000 2,025,704 
TAN Series 2020 I, 3% 9/24/21 14,000,000 14,232,021 
Syosset Central School District TAN Series 2020, 2% 6/25/21 5,000,000 5,048,657 
Town of Colonie Albany County BAN Series 2020, 1.25% 3/12/21 5,987,000 5,993,831 
TOTAL NEW YORK  197,833,309 
Ohio - 0.6%   
Coshocton City BAN Series 2020, 2.5% 2/18/21 1,245,000 1,250,849 
Mahoning County BAN Series 2020, 1% 9/13/21 1,735,000 1,744,630 
Mahoning County Sales Tax TAN Series 2020, 1% 9/13/21 1,025,000 1,030,287 
Ohio Hsg. Fin. Agcy. Multi-family Hsg. Rev. Participating VRDN:   
Series MIZ 90 50, 0.51% 1/4/21 (Liquidity Facility Mizuho Cap. Markets Llc) (a)(f)(h) 1,100,000 1,100,000 
Series XF 10 92, 0.46% 12/7/20 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(f)(h) 5,100,000 5,100,000 
Ohio Parks & Recreation Cap. Facilities (Parks and Recreation Impt. Fund Projs.) Series 2020 B, 0.1% 12/7/20, VRDN (a) 15,000,000 15,000,000 
Sycamore Township BAN Series 2020, 1.55% 5/4/21 1,000,000 1,002,663 
Tipp City BAN Series 2020 A, 2% 2/11/21 1,000,000 1,003,300 
TOTAL OHIO  27,231,729 
Oklahoma - 0.1%   
Oklahoma Dev. Fin. Auth. Health Sys. Rev. Series 2020 B, 0.33% 12/7/20, VRDN (a) 3,760,000 3,760,000 
Pennsylvania - 1.4%   
Pennsylvania Hsg. Fin. Agcy. Single Family Mtg. Rev. Series 2006 93B, 0.14% 12/7/20 (Liquidity Facility Wells Fargo Bank NA), VRDN (a)(b) 6,000,000 6,000,000 
Philadelphia Auth. Indl. Mrf Participating VRDN Series MIZ 90 51, 0.46% 1/4/21 (Liquidity Facility Mizuho Cap. Markets Llc) (a)(f)(h) 1,000,000 1,000,000 
Philadelphia Auth. for Indl. Dev. Series 2017 B, 0.29% 12/7/23, VRDN (a) 10,210,000 10,210,000 
Philadelphia Gen. Oblig. TRAN Series 2020 A, 4% 6/30/21 9,500,000 9,707,653 
Philadelphia School District TRAN Series 2020 A, 4% 6/30/21 17,645,000 18,031,734 
Southcentral Pennsylvania Gen. Auth. Rev. Series 2019 E, 0.09% 12/1/20 (Liquidity Facility U.S. Bank NA, Cincinnati), VRDN (a) 20,000,000 20,000,000 
TOTAL PENNSYLVANIA  64,949,387 
South Carolina - 1.0%   
Charleston County School District TAN (Sales Tax Proj. Phase IV) Series 2020 B, 5% 5/12/21 20,000,000 20,429,818 
County Square Redev. Corp. BAN (Greenville County, SC Proj.) Series 2020, 2% 3/24/21 10,000,000 10,053,592 
Greenville Hosp. Sys. Facilities Rev. Participating VRDN Series XF 01 45, 0.36% 12/7/20 (Liquidity Facility Toronto-Dominion Bank) (a)(f)(h) 1,600,000 1,600,000 
South Carolina Pub. Svc. Auth. Rev. Participating VRDN:   
Series Floaters XM 03 84, 0.37% 12/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(f)(h) 9,800,000 9,800,000 
Series YX 11 57, 0.26% 12/7/20 (Liquidity Facility Barclays Bank PLC) (a)(f)(h) 2,110,000 2,110,000 
South Carolina St. Pub. Svc. Auth. Rev. Participating VRDN Series XG 0046, 0.16% 12/7/20 (Liquidity Facility Toronto-Dominion Bank) (a)(f)(h) 265,000 265,000 
TOTAL SOUTH CAROLINA  44,258,410 
South Dakota - 0.0%   
South Dakota Health & Edl. Facilities Auth. Rev. Participating VRDN Series XG 03 02, 0.26% 12/7/20 (Liquidity Facility Barclays Bank PLC) (a)(f)(h) 600,000 600,000 
Tennessee - 0.8%   
Blount County Pub. Bldg. Auth. Series D3A, 0.09% 12/1/20 (Liquidity Facility Bank of America NA), VRDN (a) 20,000,000 20,000,000 
Greeneville Health & Edl. Facilities Board Series 2018 B, 0.1% 12/7/20, LOC U.S. Bank NA, Cincinnati, VRDN (a) 800,000 800,000 
Nashville and Davidson County Metropolitan Govt. Gen. Oblig. Series B1, 0.22% 1/6/21 (Liquidity Facility JPMorgan Chase Bank), CP 8,000,000 8,000,162 
Tennessee Gen. Oblig.:   
Series 2020, 0.3% 12/29/20 (Liquidity Facility Tennessee Consldatd Retire Sys.), CP 1,784,000 1,784,014 
Series A:   
0.25% 3/10/21 (Liquidity Facility Tennessee Consldatd Retire Sys.), CP 5,000,000 5,000,137 
0.28% 12/10/20 (Liquidity Facility Tennessee Consldatd Retire Sys.), CP 2,000,000 1,999,995 
TOTAL TENNESSEE  37,584,308 
Texas - 3.4%   
Dallas Fort Worth Int'l. Arpt. Rev. Participating VRDN Series Floaters XF 10 61, 0.36% 12/7/20 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(b)(f)(h) 8,000,000 8,000,000 
Deutsche Spears/Lifers Trust Participating VRDN Series Floaters XG 00 58, 0.23% 12/7/20 (Liquidity Facility Deutsche Bank AG) (a)(f)(h) 1,085,000 1,085,000 
Harris County Cultural Ed. Facilities Fin. Corp. Rev.:   
Series 2016 B3, 0.27% tender 1/6/21, CP mode 8,000,000 8,000,566 
Series 2016 D, 0.13% 12/7/20, VRDN (a) 6,400,000 6,400,000 
Houston Gen. Oblig. TRAN Series 2020:   
4% 6/30/21 5,000,000 5,111,069 
5% 6/30/21 11,000,000 11,306,840 
Houston Util. Sys. Rev. Series 2004 B3, 0.1% 12/7/20, LOC Sumitomo Mitsui Banking Corp., VRDN (a) 6,000,000 6,000,000 
Hurst Participating VRDN Series XF 10 94, 0.46% 12/7/20 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(f)(h) 1,600,000 1,600,000 
Port Arthur Navigation District Envir. Facilities Rev. (Motiva Enterprises LLC Proj.) Series 2004, 0.43% 12/7/20, VRDN (a)(b) 33,015,000 33,015,000 
San Antonio Elec. & Gas Sys. Rev. Series A:   
0.22% 1/28/21 (Liquidity Facility Bank of America NA), CP 5,000,000 5,000,000 
0.25% 1/5/21 (Liquidity Facility Bank of America NA), CP 4,000,000 4,000,512 
Texas Gen. Oblig. TRAN Series 2020, 4% 8/26/21 65,000,000 66,820,689 
Texas Private Activity Bond Surface Trans. Corp. Participating VRDN Series XM 07 56, 0.46% 12/7/20 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(b)(f)(h) 1,800,000 1,800,000 
Trinity Riv Pub. Facilities Corp. Tex M Participating VRDN Series XF 10 83, 0.46% 12/7/20 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(f)(h) 1,600,000 1,600,000 
TOTAL TEXAS  159,739,676 
Utah - 0.3%   
Salt Lake City Arpt. Rev. Participating VRDN:   
Series 17 XM 0493, 0.36% 12/7/20 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(b)(f)(h) 700,000 700,000 
Series Floaters XM 06 99, 0.46% 12/7/20 (Liquidity Facility Cr. Suisse AG) (a)(b)(f)(h) 11,030,000 11,030,000 
Series XM 08 82, 0.38% 12/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(f)(h) 1,400,000 1,400,000 
TOTAL UTAH  13,130,000 
Virginia - 0.3%   
Suffolk Econ. Dev. Auth. Hosp. Facilities Rev. Participating VRDN Series MIZ 90 25, 0.21% 12/7/20 (Liquidity Facility Mizuho Cap. Markets Llc) (a)(f)(h) 14,490,000 14,490,000 
Washington - 0.3%   
Washington Convention Ctr. Pub. Facilities Participating VRDN Series XG 02 96, 0.15% 12/7/20 (Liquidity Facility Barclays Bank PLC) (a)(f)(h) 7,985,000 7,985,000 
Washington Econ. Dev. Fin. Auth. Rev. Participating VRDN Series Floaters 005, 0.46% 1/11/21 (Liquidity Facility Barclays Bank PLC) (a)(b)(f)(h) 5,100,000 5,100,000 
Washington Health Care Facilities Auth. Rev. Participating VRDN Series XM 08 83, 0.26% 12/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(f)(h) 1,500,000 1,500,000 
TOTAL WASHINGTON  14,585,000 
West Virginia - 0.0%   
Putnam County W Solid Waste Dis Series 1991, 0.31% 12/3/20, LOC Wells Fargo Bank NA, VRDN (a)(b) 1,030,000 1,030,000 
Wisconsin - 0.4%   
JPMorgan Chase Participating VRDN Series Floaters XF 01 27, 0.29% 12/7/20 (a)(f)(h) 1,060,000 1,060,000 
Milwaukee School District RAN Series 2020 M8, 2% 7/1/21 10,000,000 10,104,291 
Wisconsin Health & Edl. Facilities Series 2020 C, 0.31% 12/7/20, VRDN (a) 6,750,000 6,750,000 
TOTAL WISCONSIN  17,914,291 
Wyoming - 0.3%   
Lincoln County Poll. Cont. Rev. (ExxonMobile Proj.) Series 2014, 0.12% 12/1/20, VRDN (a) 15,000,000 15,000,000 
TOTAL MUNICIPAL NOTES   
(Cost $1,043,093,211)  1,042,868,577 
   
 Shares  
Short-Term Funds - 12.4%   
Federated Hermes Municipal Ultrashort Fund Institutional Shares 1,993,024  $20,013,751  
JPMorgan Ultra-Short Municipal Fund Class I 55,221,047  556,075,852  
   
TOTAL SHORT-TERM FUNDS   
(Cost $575,547,181)  576,089,603  
   
 Shares  
Municipal Bond Funds - 0.1%   
Nuveen NY AMT-Free Quality Municipal Income Fund Preferred Shares 0.56%(a)(e)(i)   
(Cost $6,800,000) 6,800,000  $6,800,000  
   
 Shares Value 
   
Money Market Funds - 20.4%   
Fidelity Investments Money Market Government Portfolio Institutional Class 0.01% (j)(k) 459,809,209 459,809,209 
Fidelity Municipal Cash Central Fund .13% (l)(m) 110,524,948 110,536,000 
Fidelity SAI Municipal Money Market Fund 1.19% (j)(k) 367,453,709 367,600,691 
State Street Institutional U.S. Government Money Market Fund Premier Class .02% (j) 5,350,358 5,350,358 
TOTAL MONEY MARKET FUNDS   
(Cost $943,238,723)  943,296,258 
TOTAL INVESTMENT IN SECURITIES - 100.6%   
(Cost $4,642,096,191)  4,659,193,941 
NET OTHER ASSETS (LIABILITIES) - (0.6)%  (26,328,465) 
NET ASSETS - 100%  $4,632,865,476 

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) Private activity obligations whose interest is subject to the federal alternative minimum tax for individuals.

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

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

 (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 $17,030,203 or 0.4% of net assets.

 (f) Provides evidence of ownership in one or more underlying municipal bonds.

 (g) 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 $19,000,000 or 0.4% of net assets.

 (h) Coupon rates are determined by re-marketing agents based on current market conditions.

 (i) Non-income producing

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

 (k) Affiliated Fund

 (l) Information in this report regarding holdings by state and security types does not reflect the holdings of the Fidelity Municipal Cash Central Fund.

 (m) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.

Additional information on each restricted holding is as follows:

Security Acquisition Date Acquisition Cost 
Arizona St Indl. Dev. Auth. Multi Participating VRDN Series DBE 80 53, 0.71% 1/29/21 (Liquidity Facility Deutsche Bank AG New York Branch) 9/30/20 $10,200,000 
Baltimore Proj. Rev. Bonds Series Floaters G 42, 0.31%, tender 7/1/21 (Liquidity Facility Royal Bank of Canada) 7/1/20 $4,500,000 
River Islands Pub. Fing. Auth. Participating VRDN Series MIZ 90 26, 0.46% 1/4/21 (Liquidity Facility Mizuho Cap. Markets Llc) 8/14/20 $4,300,000 

Affiliated Central Funds

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

Fund Income earned 
Fidelity Municipal Cash Central Fund $25,813 
Total $25,813 

Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations, if applicable.

Affiliated Underlying Funds

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

Affiliate Value, beginning of period Purchases Sales Proceeds Dividend Income Realized Gain (loss) Change in Unrealized appreciation (depreciation) Value, end of period 
Fidelity Investments Money Market Government Portfolio Institutional Class 0.01% $249,972,338 $1,299,946,753 $1,090,109,882 $55,049 $-- $-- $459,809,209 
Fidelity SAI Municipal Money Market Fund 1.19% 190,501,215 200,997,984 23,878,416 120,940 (133) (19,959) 367,600,691 
Total $440,473,553 $1,500,944,737 $1,113,988,298  $175,989 $(133) $(19,959) $827,409,900 

Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations, if applicable.

Investment Valuation

The following is a summary of the inputs used, as of November 30, 2020, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.

 Valuation Inputs at Reporting Date: 
Description Total Level 1 Level 2 Level 3 
Investments in Securities:     
Municipal Securities $3,133,008,080 $-- $3,133,008,080 $-- 
Money Market Funds 943,296,258 943,296,258 -- -- 
Investment Companies 6,800,000 -- 6,800,000 -- 
Short-Term Funds 576,089,603 576,089,603  -- -- 
Total Investments in Securities: $4,659,193,941 $1,519,385,861 $3,139,808,080 $-- 

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


Financial Statements

Statement of Assets and Liabilities

  November 30, 2020 (Unaudited) 
Assets   
Investment in securities, at value — See accompanying schedule:
Unaffiliated issuers (cost $3,704,207,826) 		$3,721,248,041  
Fidelity Central Funds (cost $110,536,000) 110,536,000  
Other affiliated issuers (cost $827,352,365) 827,409,900  
Total Investment in Securities (cost $4,642,096,191)  $4,659,193,941 
Receivable for fund shares sold  38,007,103 
Dividends receivable  15,379 
Interest receivable  23,122,901 
Distributions receivable from Fidelity Central Funds  7,501 
Prepaid expenses  3,981 
Other receivables  4,237 
Total assets  4,720,355,043 
Liabilities   
Payable to custodian bank $370,957  
Payable for investments purchased   
Regular delivery 51,492,116  
Delayed delivery 30,620,214  
Payable for fund shares redeemed 2,397,844  
Distributions payable 2,238,469  
Accrued management fee 258,829  
Other payables and accrued expenses 111,138  
Total liabilities  87,489,567 
Net Assets  $4,632,865,476 
Net Assets consist of:   
Paid in capital  $4,616,113,288 
Total accumulated earnings (loss)  16,752,188 
Net Assets  $4,632,865,476 
Net Asset Value, offering price and redemption price per share ($4,632,865,476 ÷ 461,114,520 shares)  $10.05 

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


Statement of Operations

  Six months ended November 30, 2020 (Unaudited) 
Investment Income   
Dividends:   
Unaffiliated issuers  $516,725 
Affiliated issuers  175,119 
Interest  16,366,068 
Income from Fidelity Central Funds  25,813 
Total income  17,083,725 
Expenses   
Management fee $5,936,105  
Custodian fees and expenses 17,339  
Independent trustees' fees and expenses 17,330  
Registration fees 66,842  
Audit 31,192  
Legal 6,203  
Miscellaneous 26,506  
Total expenses before reductions 6,101,517  
Expense reductions (4,468,078)  
Total expenses after reductions  1,633,439 
Net investment income (loss)  15,450,286 
Realized and Unrealized Gain (Loss)   
Net realized gain (loss) on:   
Investment securities:   
Unaffiliated issuers 403,478  
Affiliated issuers (133)  
Capital gain distributions from underlying funds:   
Affiliated issuers 870  
Total net realized gain (loss)  404,215 
Change in net unrealized appreciation (depreciation) on:   
Investment securities:   
Unaffiliated issuers 10,164,378  
Affiliated issuers (19,959)  
Total change in net unrealized appreciation (depreciation)  10,144,419 
Net gain (loss)  10,548,634 
Net increase (decrease) in net assets resulting from operations  $25,998,920 

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


Statement of Changes in Net Assets

 Six months ended November 30, 2020 (Unaudited) Year ended May 31, 2020 
Increase (Decrease) in Net Assets   
Operations   
Net investment income (loss) $15,450,286 $53,942,535 
Net realized gain (loss) 404,215 413,520 
Change in net unrealized appreciation (depreciation) 10,144,419 (2,002,641) 
Net increase (decrease) in net assets resulting from operations 25,998,920 52,353,414 
Distributions to shareholders (15,356,313) (55,246,709) 
Share transactions   
Proceeds from sales of shares 1,926,616,227 1,047,372,777 
Reinvestment of distributions 7,817 3,699,668 
Cost of shares redeemed (672,891,801) (1,095,565,154) 
Net increase (decrease) in net assets resulting from share transactions 1,253,732,243 (44,492,709) 
Total increase (decrease) in net assets 1,264,374,850 (47,386,004) 
Net Assets   
Beginning of period 3,368,490,626 3,415,876,630 
End of period $4,632,865,476 $3,368,490,626 
Other Information   
Shares   
Sold 191,879,742 104,544,855 
Issued in reinvestment of distributions 778 368,964 
Redeemed (66,994,035) (109,355,545) 
Net increase (decrease) 124,886,485 (4,441,726) 

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


Financial Highlights

Strategic Advisers Tax-Sensitive Short Duration Fund

 Six months ended (Unaudited) November 30, Years endedMay 31,   
 2020 2020 2019 2018 A 
Selected Per–Share Data     
Net asset value, beginning of period $10.02 $10.03 $9.99 $10.00 
Income from Investment Operations     
Net investment income (loss)B .044 .159 .174 .053 
Net realized and unrealized gain (loss) .030 (.006) .042 (.014) 
Total from investment operations .074 .153 .216 .039 
Distributions from net investment income (.044) (.159) (.173) (.049) 
Distributions from net realized gain – (.004) (.003) – 
Total distributions (.044) (.163) (.176) (.049) 
Net asset value, end of period $10.05 $10.02 $10.03 $9.99 
Total ReturnC,D .74% 1.53% 2.19% .39% 
Ratios to Average Net AssetsE,F     
Expenses before reductions .34%G .34% .37% .52%G 
Expenses net of fee waivers, if any .09%G .09% .12% .26%G,H 
Expenses net of all reductions .09%G .09% .12% .26%G,H 
Net investment income (loss) .87%G 1.59% 1.74% 1.28%G 
Supplemental Data     
Net assets, end of period (000 omitted) $4,632,865 $3,368,491 $3,415,877 $3,219,118 
Portfolio turnover rateI 131%G 81% 57% 180%J 

 A For the period December 28, 2017 (commencement of operations) to May 31, 2018.

 B Calculated based on average shares outstanding during the period.

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

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

 E Fees and expenses of any underlying 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.

 F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, 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.

 G Annualized

 H Audit fees are not annualized.

 I Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).

 J Amount not annualized.

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


Notes to Financial Statements (Unaudited)

For the period ended November 30, 2020

1. Organization.

Strategic Advisers Tax-Sensitive Short Duration Fund (the Fund) is a fund of Fidelity Rutland Square Trust II (the Trust), and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust. The Fund is offered exclusively to certain clients of Strategic Advisers LLC (Strategic Advisers), an affiliate of Fidelity Management & Research Company LLC (FMR).

2. Significant Accounting Policies.

The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services – 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 following summarizes the significant accounting policies of the Fund:

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

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

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

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

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Municipal securities are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. If an unaffiliated open-end mutual fund's NAV is unavailable, shares of that fund may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and is categorized as Level 2 in the hierarchy.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of November 30, 2020 is included at the end of the Fund's Schedule of Investments.

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Income and capital gain distributions from 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. 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 $4,237 

Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.

Distributions are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.

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

Book-tax differences are primarily due to the short-term gain distributions from the Underlying Funds, defaulted bonds, market discount, deferred trustees compensation and losses deferred due to wash sales and excise tax regulations.

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

Gross unrealized appreciation $18,196,561 
Gross unrealized depreciation (1,596,547) 
Net unrealized appreciation (depreciation) $16,600,014 
Tax cost $4,642,593,927 

The Fund elected to defer to its next fiscal year approximately $209,233 of capital losses recognized during the period November 1, 2019 to May 31, 2020.

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). The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.

3. Purchases and Sales of Investments.

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

 Purchases ($) Sales ($) 
Strategic Advisers Tax-Sensitive Short Duration Fund 2,888,259,066 1,871,645,862 

4. Fees and Other Transactions with Affiliates.

Management Fee. Strategic Advisers (the investment adviser) provides the Fund with investment management related services. For these services, the Fund pays a monthly management fee to the investment adviser. The management fee is calculated by adding the annual management fee rate of .25% of the Fund's average net assets throughout the month payable to the investment adviser to the aggregate of the fee rates, payable monthly, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed .55% of the Fund's average net assets. For the reporting period, the total annualized management fee rate was .33% of the Fund's average net assets.

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

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

Interfund Trades. Funds may purchase from or sell securities to other funds affiliated with each sub-adviser under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.

5. Investments in Fidelity Central Funds.

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

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

A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds are available on the SEC website or upon request.

6. Committed Line of Credit.

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

 Amount 
Strategic Advisers Tax-Sensitive Short Duration Fund $3,728 

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

7. Expense Reductions.

The investment adviser has contractually agreed to waive the Fund's management fee in an amount equal to .25% of the Fund's average net assets until September 30, 2023. During the period, this waiver reduced the Fund's management fee by $4,430,070.

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 $38,008.

8. Other.

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

The Fund does not invest in the Underlying Funds for the purpose of exercising management or control; however, investments by the Fund within its principal investment strategies may represent a significant portion of an Underlying Fund's net assets. At the end of the period, the Fund was the owner of record of approximately 100% of the total outstanding shares of Fidelity SAI Municipal Money Market Fund.

9. Coronavirus (COVID-19) Pandemic.

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

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 (June 1, 2020 to November 30, 2020).

Actual Expenses

The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line 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.

 Annualized Expense Ratio-A Beginning
Account Value
June 1, 2020 		Ending
Account Value
November 30, 2020 		Expenses Paid
During Period-B
June 1, 2020
to November 30, 2020 
Strategic Advisers Tax-Sensitive Short Duration Fund .09%    
Actual  $1,000.00 $1,007.40 $.45 
Hypothetical-C  $1,000.00 $1,024.62 $.46 

 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 183/ 365 (to reflect the one-half year period).

 C 5% return per year before expenses

Board Approval of Investment Advisory Contracts and Management Fees

Strategic Advisers Tax-Sensitive Short Duration Fund

Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes at a meeting on the renewal of the management contract with Strategic Advisers LLC (Strategic Advisers) and the sub-advisory agreements with FIAM LLC, T. Rowe Price Associates, Inc., and Wells Capital Management, Inc. (Wells Cap) (each a Sub-Adviser and collectively, the Sub-Advisers) (collectively, the Sub-Advisory Agreements), and the sub-sub-advisory agreements with FMR Investment Management (UK) Limited, Fidelity Management & Research (Japan) Limited, and Fidelity Management & Research (Hong Kong) Limited (collectively, the Sub-Sub-Advisory Agreements and, together with the management contract and the Sub-Advisory Agreements, the Advisory Contracts) for the fund. Strategic Advisers and the Sub-Advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.

The Board meets at least four times per year and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The full Board or the Independent Trustees, as appropriate, act on all major matters; however, a portion of the activities of the Board (including certain of those described herein) may be conducted through standing committees that have been established by the Board. The Board, acting directly and through its committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts.

At its September 2020 meeting, the Board, including the Independent Trustees, unanimously determined to renew the fund's Advisory Contracts. In addition, the Board approved an amendment to the fund's sub-advisory agreement with Wells Cap (Amendment) to implement a new fee schedule, effective July 1, 2020, resulting in the same or lower fees at all asset levels. The Board noted that the other terms of the amended sub-advisory agreement are not materially different from those of the existing sub-advisory agreement with Wells Cap. The Board also noted that the amended sub-advisory agreement with Wells Cap would not result in changes to the nature, extent, and quality of the services that Wells Cap provides to the fund.

In reaching its determination to renew the fund's Advisory Contracts and approve the Amendment, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness of the fund's management fee and total expenses relative to peer funds; (iii) the total costs of the services provided by and the profits, if any, realized by Strategic Advisers from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and are realized as the fund grows and whether any economies of scale are appropriately shared with fund shareholders.

In considering whether to renew the Advisory Contracts for the fund and approve the Amendment, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts and the approval of the Amendment is in the best interests of the fund and its shareholders. In addition, with respect to the Sub-Advisory Agreements, the Board also concluded that the renewal of such agreements and the approval of the Amendment do not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees charged under the Advisory Contracts bear a reasonable relationship to the services rendered and are based on services provided that are in addition to, rather than duplicative of, services provided under the advisory contract of any underlying fund in which the fund may invest. The Board's decision to renew the Advisory Contracts and approve the Amendment was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board throughout the year.

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

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

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

Resources Dedicated to Investment Management and Support Services.  The Board reviewed the general qualifications and capabilities of the Investment Advisers' investment staffs, their use of technology, and the Investment Advisers' approach to managing and compensating investment personnel. The Board noted that the Investment Advisers' analysts have extensive resources, tools, and capabilities that allow them to conduct sophisticated quantitative and/or fundamental analysis. Additionally, in its deliberations, the Board considered the Investment Advisers' trading capabilities and resources and global compliance infrastructure, which are integral parts of the investment management process. The Board also considered the Investment Advisers' investments in business continuity planning, and their success in continuously providing services to the fund notwithstanding the severe disruptions caused by the COVID-19 pandemic.

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

Investment Performance.  The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions and its performance history.

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

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

The following chart considered by the Board shows, over the one-year period ended December 31, 2019, the cumulative total returns of the fund and the cumulative total returns of an appropriate benchmark index and peer group. The box within the chart shows the 25th percentile return (75% beaten, top of box) and the 75th percentile return (25% beaten, bottom of box) of the peer group. Returns shown above the box are in the first quartile and returns shown below the box are in the fourth quartile. The percentage beaten number noted below each chart corresponds to the percentile box and represents the percentage of funds in the peer group whose performance was equal to or lower than that of the fund.

Strategic Advisers Tax-Sensitive Short Duration Fund


The Board reviewed the fund’s relative investment performance against its peer group and noted that the performance of the fund was in the first quartile for the one-year period ended December 31, 2019. The Board also noted that the fund had out-performed 90% of its peers for the one-year period ended December 31, 2019. The Board also noted that the investment performance of the fund was higher than its benchmark for the one-year period shown.

Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.

Competitiveness of Management Fee and Total Fund Expenses.  The Board considered the amount and nature of fees paid to the Investment Advisers. The Board also considered information comparing the management fees and total expenses of the fund to those of other registered investment companies with investment objectives similar to those of the fund, as discussed below. The Board also noted Strategic Advisers' proposal to extend the management fee waiver and considered the fund's contractual maximum aggregate annual management fee rate. In considering the fund's management fee and management fee waiver and comparisons to other registered investment companies with investment objectives similar to those of the fund, the Board noted that shares of the fund are offered only to clients that participate in the Fidelity Portfolio Advisory Service managed account program.

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

Management Fee.  The Board considered two proprietary management fee comparisons. The group of Lipper funds used by the Board for management fee comparisons is referred to as the "Total Mapped Group." The Total Mapped Group comparison focuses on a fund's standing in terms of gross management fees before expense reimbursements or caps relative to the total universe of funds with comparable investment mandates, regardless of whether their management fee structures also are comparable. Funds with comparable investment mandates offer exposure to similar types of securities. Funds with comparable management fee structures have similar management fee contractual arrangements (e.g., flat rate charged for advisory services, all-inclusive fee rate, etc.). "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a hypothetical TMG % of 20% would mean that 80% of the funds in the Total Mapped Group had higher, and 20% had lower, management fees than the fund. The fund's actual TMG %s and the number of funds in the Total Mapped Group are in the chart below. The Board also compared the fund's management fee to an "Asset-Size Peer Group" (ASPG), which is a sub-set of the competitive funds in the Total Mapped Group. The ASPG comparison focuses on a fund's standing relative to non-Fidelity funds within the Total Mapped Group that are similar in size and management fee structure. For example, if a fund is in the first quartile of the ASPG, the fund's management fee ranks in the least expensive or lowest 25% of funds in the ASPG. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee structures, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee rate ranked, is also included in the chart and was considered by the Board.

Strategic Advisers Tax-Sensitive Short Duration Fund


The Board noted that the fund's management fee rate ranked below the median of its Total Mapped Group and below the median of its ASPG for the 12-month period ended December 31, 2019.

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

Total Expenses.  In its review of the fund's total expenses, the Board considered the fund's management fee rate as well as other fund expenses, as applicable, such as expenses from holding Fidelity and non-Fidelity mutual funds and ETFs, pricing and bookkeeping fees, and custodial, legal, and audit fees. The Board also noted the effects of any waivers and reimbursements on fees and expenses. The Board further noted that the fund's total expenses were compared to classes of competitive funds having similar load types. This comparison, which is a proxy for comparing funds by distribution channel, showed the fund's position relative to competitive funds with the same load type. The Board noted that the fund's total expenses were below the median of the fund's Total Mapped Group for the 12-month period ended December 31, 2019.

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

Based on its review of the total expense ratios and fees charged to other clients of Strategic Advisers or its affiliates and each Sub-Adviser, the Board concluded that the total expenses of the fund were reasonable in light of the services that the fund and its shareholders receive and the other factors considered.

Costs of the Services and Profitability.  The Board considered information regarding the revenues earned and the expenses incurred by Strategic Advisers and its affiliates in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and servicing the fund's shareholders.

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

A public accounting firm has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. The engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's mutual fund business, and completion of agreed-upon procedures in respect of the mathematical accuracy of certain fund profitability information and its conformity to established allocation methodologies. After considering the reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.

The Board also reviewed Fidelity's non-fund businesses and potential indirect benefits such businesses may have received as a result of their association with Fidelity's mutual fund business (i.e., fall-out benefits) as well as cases where Fidelity's affiliates may benefit from the fund's business. The Board noted that changes to fall-out benefits year-over-year reflect business developments at Fidelity's various businesses.

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

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

Possible Economies of Scale.  The Board considered whether there have been economies of scale in respect of the management of the Strategic Advisers funds, whether the Strategic Advisers funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale as assets grow through increased services to the fund, through waivers or reimbursements, or through fee or expense ratio reductions. The Board considered that certain of the fund's Sub-Advisory Agreements provide for breakpoints as the fund's assets grow and noted that any potential decline in sub-advisory fees would accrue directly to the fund. The Board also took Strategic Advisers' management fee waiver into consideration.

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

Board Approval of Amendments to Sub-Subadvisory Agreements

Strategic Advisers Tax-Sensitive Short Duration Fund

In June 2020, the Board of Trustees, including the Independent Trustees (together, the Board) voted to approve non-material amendments to the sub-subadvisory agreements (Sub-Subadvisory Agreements) among FIAM LLC (FIAM), each of FMR Investment Management (UK) Limited (FMR UK), Fidelity Management & Research (Japan) Limited (FMR Japan), and Fidelity Management & Research (Hong Kong) Limited (FMR H.K., and together with FMR UK and FMR Japan, Sub-Subadvisers), and Fidelity Rutland Square Trust II (Trust) on behalf of the fund (Amendments) to clarify the compensation that FIAM pays the Sub-Subadvisers for providing non-discretionary services. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, considered a broad range of information.

The Board noted that it had approved the annual renewal of the Sub-Subadvisory Agreements at its September 2019 meeting and that no material contract terms are impacted by the Amendments. The Board considered that the Amendments will not change (i) the nature, extent and quality of the sub-advisory or sub-subadvisory services provided; (ii) the investment process or strategies employed in the management of the fund's assets; or (iii) the day-to-day management of the fund or the persons primarily responsible for such management.

The Board also considered that FIAM, and not the fund, compensates the Sub-Subadvisers under the terms of the Sub-Subadvisory Agreements and that the fund and Strategic Advisers are not responsible for any such fees or expenses. The Board also considered that the Amendments will not result in any changes to the fees paid under the sub-advisory agreement among Strategic Advisers, FIAM, and the Trust on behalf of the fund.

Because the Board was approving Amendments under which the fund will not bear any additional management fees or expenses, it did not consider the competitiveness of management fee and total expenses or the possible realization of economies of scale to be significant factors in its decision. In addition, because the Amendments were 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 Amendments. The Board considered Strategic Advisers' representation that it does not anticipate that the approval of the Amendments will have a significant impact on the profitability of, or potential fall-out benefits to, Strategic Advisers or its affiliates.

The Board noted that in connection with future annual contract renewals, it will consider: (i) the nature, extent, and quality of services provided to the fund, including administrative services and investment performance; (ii) the historical investment performance of the fund; (iii) the competitiveness of the fund's management fees and total expenses; (iv) the costs of services and profitability; (v) the potential fall-out benefits to Strategic Advisers and its affiliates from their relationships with the fund; and (vi) the possible realization of economies of scale.

Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the Amendments are in the best interests of the fund and its shareholders and should be approved. In addition, the Board concluded that the approval of the Amendments does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.

Proxy Voting Results

A special meeting of shareholders was held on November 2, 2020. The results of votes taken among shareholders on the proposals before them are reported below. Each vote reported represents one dollar of net asset value held on the record date for the meeting.

PROPOSAL 1

To elect a Board of Trustees.

 # of
Votes 		% of
Votes 
ROBERT A. LAWRENCE 
Affirmative 204,250,982,594.51 96.530 
Withheld 7,343,512,146.85 3.470 
TOTAL 211,594,494,741.36 100.000 
CHARLES S. MORRISON 
Affirmative 204,349,460,488.43 96.576 
Withheld 7,245,034,252.93 3.424 
TOTAL 211,594,494,741.36 100.000 
PETER C. ALDRICH 
Affirmative 203,499,803,652.67 96.175 
Withheld 8,094,691,088.69 3.825 
TOTAL 211,594,494,741.36 100.000 
MARY C. FARRELL 
Affirmative 204,011,925,737.22 96.417 
Withheld 7,582,569,004.14 3.583 
TOTAL 211,594,494,741.36 100.00 
KAREN KAPLAN 
Affirmative 204,297,547,550.53 96.552 
Withheld 7,296,947,190.83 3.448 
TOTAL 211,594,494,741.36 100.000 
CHRISTINE MARCKS 
Affirmative 204,700,871,317.72 96.743 
Withheld 6,893,623,423.64 3.257 
TOTAL 211,594,494,741.36 100.000 
HEIDI L. STEIGER 
Affirmative 204,406,589,957.28 96.603 
Withheld 7,187,904,784.08 3.397 
TOTAL 211,594,494,741.36 100.000 

PROPOSAL 2

To approve the conversion of a fundamental investment policy to a non-fundamental investment policy.

 # of
Votes 		% of
Votes 
Affirmative 2,144,720,745.71 79.830 
Against 185,985,124.90 6.923 
Abstain 355,906,306.35 13.247 
Broker Non-Vote 0.00 0.000 
TOTAL 2,686,612,176.96 100.000 
Proposal 1 reflects trust wide proposal and voting results. 





Fidelity Investments

TSS-SANN-0121
1.9885905.102

Strategic Advisers® Fidelity® U.S. Total Stock Fund

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



Semi-Annual Report

November 30, 2020

Fidelity Investments



Fidelity Investments

Contents

Note to Shareholders

Investment Summary

Schedule of Investments

Financial Statements

Notes to Financial Statements

Shareholder Expense Example

Board Approval of Investment Advisory Contracts and Management Fees

Proxy Voting Results


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. © 2021 FMR LLC. All rights reserved.



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

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

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

NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE

Neither the Fund nor Fidelity Distributors Corporation is a bank.



Note to Shareholders:

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

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

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

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

Investment Summary (Unaudited)

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

Top Ten Holdings as of November 30, 2020

(excluding cash equivalents) % of fund's net assets 
Fidelity SAI U.S. Quality Index Fund 10.4 
Fidelity Growth Company Fund 9.9 
Fidelity SAI U.S. Large Cap Index Fund 8.4 
Fidelity Contrafund 5.7 
Fidelity Large Cap Value Enhanced Index Fund 5.5 
Fidelity Magellan Fund 4.4 
Fidelity SAI U.S. Value Index Fund 3.4 
Fidelity Small Cap Index Fund 3.4 
Fidelity SAI U.S. Low Volatility Index Fund 2.2 
Fidelity SAI U.S. Momentum Index Fund 2.1 
 55.4 

Asset Allocation (% of fund's net assets)

As of November 30, 2020  
   Common Stocks 42.6% 
   Preferred Stocks 0.2% 
   Large Blend Funds 10.6% 
   Large Growth Funds 32.5% 
   Large Value Funds 8.9% 
   Small Blend Funds 4.1% 
   Small Growth Funds 0.6% 
   Short-Term Investments and Net Other Assets (Liabilities) 0.5% 


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

Schedule of Investments November 30, 2020 (Unaudited)

Showing Percentage of Net Assets

Common Stocks - 42.6%   
 Shares Value 
COMMUNICATION SERVICES - 3.8%   
Diversified Telecommunication Services - 0.4%   
GCI Liberty, Inc. (a) 213,600 $19,463,232 
Liberty Global PLC Class C (a) 352,200 7,621,608 
Verizon Communications, Inc. 2,124,692 128,352,644 
Vonage Holdings Corp.(a) 479,697 6,168,903 
  161,606,387 
Entertainment - 0.7%   
Activision Blizzard, Inc. 580,138 46,109,368 
Cinemark Holdings, Inc. (b) 487,000 7,524,150 
Electronic Arts, Inc. 196,900 25,153,975 
Liberty Media Corp. Liberty Formula One Group Series C (a) 366,800 15,324,904 
Lions Gate Entertainment Corp. Class B (a) 1,023,200 9,188,336 
Netflix, Inc. (a) 102,900 50,493,030 
Nihon Falcom Corp. 5,000 64,683 
Nintendo Co. Ltd. ADR 210,300 14,920,785 
Sea Ltd. ADR (a) 24,800 4,473,176 
Spotify Technology SA (a) 22,900 6,672,373 
Take-Two Interactive Software, Inc. (a) 37,798 6,822,917 
The Walt Disney Co. 772,494 114,336,837 
Vivendi SA 1,115,989 33,455,678 
Warner Music Group Corp. Class A 85,900 2,553,807 
  337,094,019 
Interactive Media & Services - 1.3%   
Alphabet, Inc.:   
Class A (a) 154,342 270,777,605 
Class C (a) 53,141 93,567,484 
Dip Corp. 60,000 1,393,682 
Facebook, Inc. Class A (a) 755,000 209,112,350 
InterActiveCorp (a) 79,300 11,259,807 
Match Group, Inc. (a) 106,076 14,766,840 
Wise Talent Information Technology Co. Ltd. (a) 1,100,103 2,770,385 
ZIGExN Co. Ltd. 695,603 2,165,786 
Zoominfo Technologies, Inc. (b) 116,000 5,945,000 
  611,758,939 
Media - 1.2%   
AMC Networks, Inc. Class A (a)(b) 20,000 659,400 
Comcast Corp. Class A 6,182,078 310,587,599 
Corus Entertainment, Inc. Class B (non-vtg.) 95,400 315,135 
Discovery Communications, Inc. Class A (a)(b) 1,240,100 33,371,091 
F@N Communications, Inc. 26,900 107,361 
Fox Corp. Class A 382,633 11,035,136 
Hyundai HCN 486,513 1,437,349 
Interpublic Group of Companies, Inc. 3,746,503 83,472,087 
Liberty Broadband Corp. Class C (a) 194,800 30,651,780 
News Corp. Class A 1,007,700 17,785,905 
Nippon Television Network Corp. 70,700 769,033 
Pico Far East Holdings Ltd. 1,000,000 182,926 
Trenders, Inc. 10,000 68,276 
ViacomCBS, Inc.:   
Class A 285,656 10,420,731 
Class B 327,600 11,557,728 
WOWOW INC. 100,000 2,714,189 
WPP PLC 2,130,900 20,532,829 
  535,668,555 
Wireless Telecommunication Services - 0.2%   
Okinawa Cellular Telephone Co. 33,400 1,388,166 
T-Mobile U.S., Inc. 658,775 87,577,549 
  88,965,715 
TOTAL COMMUNICATION SERVICES  1,735,093,615 
CONSUMER DISCRETIONARY - 4.3%   
Auto Components - 0.5%   
Adient PLC (a) 200,000 6,258,000 
Aptiv PLC 298,500 35,431,950 
BorgWarner, Inc. 1,639,564 63,697,061 
Compagnie Plastic Omnium 50,000 1,722,181 
Cooper-Standard Holding, Inc. (a) 30,000 1,017,600 
DaikyoNishikawa Corp. 150,000 983,651 
Dana, Inc. 934,400 15,735,296 
DTR Automotive Corp. 11,829 255,570 
Eagle Industry Co. Ltd. 71,400 614,958 
G-Tekt Corp. 599,800 7,966,972 
Gentex Corp. 64,000 2,086,400 
Hi-Lex Corp. 100,300 1,148,252 
Hyundai Mobis 97,500 21,461,047 
IJT Technology Holdings Co. Ltd. 350,000 1,624,779 
Lear Corp. 492,300 70,374,285 
Linamar Corp. 260,000 11,975,976 
Strattec Security Corp. 16,610 735,823 
Topre Corp. 47,750 594,318 
TPR Co. Ltd. 276,100 3,453,817 
  247,137,936 
Automobiles - 0.1%   
General Motors Co. 860,589 37,728,222 
Renault SA 60,000 2,382,110 
  40,110,332 
Distributors - 0.0%   
Arata Corp. 25,000 1,186,376 
Harima-Kyowa Co. Ltd. (b) 24,500 395,869 
LKQ Corp. (a) 133,700 4,708,914 
Yagi & Co. Ltd. 60,045 801,528 
  7,092,687 
Diversified Consumer Services - 0.2%   
Afya Ltd. (a) 142,784 3,786,632 
Heian Ceremony Service Co. Ltd. 164,900 1,284,294 
MegaStudy Co. Ltd. 79,794 856,591 
Multicampus Co. Ltd. 33,128 1,017,581 
Service Corp. International 712,942 34,677,499 
ServiceMaster Global Holdings, Inc. (a) 668,900 32,796,167 
  74,418,764 
Hotels, Restaurants & Leisure - 0.4%   
Caesars Entertainment, Inc. (a) 240,261 16,366,579 
Darden Restaurants, Inc. 224,700 24,263,106 
Las Vegas Sands Corp. 589,300 32,829,903 
Marriott International, Inc. Class A 289,200 36,690,804 
McDonald's Corp. 173,000 37,617,120 
Starbucks Corp. 91,802 8,998,432 
The Restaurant Group PLC (a) 1,119,900 960,808 
Wendy's Co. 978,650 21,520,514 
  179,247,266 
Household Durables - 0.4%   
Cuckoo Holdings Co. Ltd. 22,347 1,931,262 
FJ Next Co. Ltd. 421,800 3,961,223 
Gree Electric Appliances, Inc. of Zhuhai (A Shares) 470,713 4,768,018 
Iida Group Holdings Co. Ltd. 68,900 1,380,739 
Lennar Corp. Class A 283,900 21,536,654 
Mohawk Industries, Inc. (a) 581,250 73,138,688 
Newell Brands, Inc. 506,100 10,759,686 
Pressance Corp. (b) 50,000 836,832 
Sony Corp. 43,700 4,072,205 
Sony Corp. sponsored ADR 76,700 7,155,343 
Toll Brothers, Inc. 547,685 25,932,885 
Whirlpool Corp. 237,916 46,300,833 
  201,774,368 
Internet & Direct Marketing Retail - 0.9%   
Alibaba Group Holding Ltd. sponsored ADR (a) 59,900 15,775,264 
Amazon.com, Inc. (a) 89,400 283,222,776 
Expedia, Inc. 94,276 11,736,419 
Hyundai Home Shopping Network Corp. 4,861 319,237 
NS Shopping Co. Ltd. 21,105 248,458 
Ocado Group PLC (a) 30,400 893,797 
Papyless Co. Ltd. 1,000 22,849 
The Booking Holdings, Inc. (a) 38,982 79,073,038 
  391,291,838 
Leisure Products - 0.1%   
Brunswick Corp. 365,092 27,250,467 
Hasbro, Inc. 347,900 32,365,137 
  59,615,604 
Multiline Retail - 0.2%   
Big Lots, Inc. 2,000 103,340 
Dollar General Corp. 156,100 34,120,338 
Dollar Tree, Inc. (a) 302,500 33,045,100 
Macy's, Inc. (b) 50,000 510,500 
Max Stock Ltd. 250,000 1,064,875 
Ryohin Keikaku Co. Ltd. 1,000 20,522 
  68,864,675 
Specialty Retail - 1.0%   
Arc Land Sakamoto Co. Ltd. 30,000 513,652 
AT-Group Co. Ltd. 152,100 2,120,823 
Bed Bath & Beyond, Inc. (b) 361,700 7,581,232 
Best Buy Co., Inc. 377,000 41,017,600 
Burlington Stores, Inc. (a) 237,745 51,956,792 
Dick's Sporting Goods, Inc. 256,600 14,577,446 
Dunelm Group PLC 200,000 3,216,649 
Five Below, Inc. (a) 148,900 23,287,960 
Foot Locker, Inc. 800,000 29,920,000 
Gap, Inc. 5,000 104,800 
Genesco, Inc. (a) 35,000 1,097,950 
Hibbett Sports, Inc. (a) 115,000 4,733,400 
Hour Glass Ltd. 1,871,200 1,067,344 
JB Hi-Fi Ltd. 5,000 167,767 
John David Group PLC 875,000 8,978,833 
Ku Holdings Co. Ltd. 47,500 362,961 
Lookers PLC (c) 828,728 232,012 
Lowe's Companies, Inc. 536,416 83,584,341 
Mandarake, Inc. (b) 30,000 141,565 
Sally Beauty Holdings, Inc. (a) 1,038,800 11,946,200 
Samse SA 2,200 394,680 
The Buckle, Inc. 25,000 670,500 
The Home Depot, Inc. 257,000 71,294,370 
TJX Companies, Inc. 663,200 42,119,832 
Tokatsu Holdings Co. Ltd. 18,700 72,984 
Ulta Beauty, Inc. (a) 126,000 34,700,400 
Urban Outfitters, Inc. (a) 350,000 9,583,000 
Williams-Sonoma, Inc. 238,300 26,086,701 
  471,531,794 
Textiles, Apparel & Luxury Goods - 0.5%   
Capri Holdings Ltd. (a) 125,000 4,422,500 
Columbia Sportswear Co. 487,700 39,957,261 
Embry Holdings Ltd. 280,000 36,186 
Fossil Group, Inc. (a) 30,000 318,000 
G-III Apparel Group Ltd. (a) 100,000 2,037,000 
Levi Strauss & Co. Class A 1,426,600 26,235,174 
NIKE, Inc. Class B 420,900 56,695,230 
PVH Corp. 560,400 44,546,196 
Sitoy Group Holdings Ltd. 2,613,000 128,005 
Tapestry, Inc. 1,097,300 31,075,536 
Ted Baker PLC 418,192 759,627 
VF Corp. 425,800 35,511,720 
Wolverine World Wide, Inc. 3,000 86,580 
  241,809,015 
TOTAL CONSUMER DISCRETIONARY  1,982,894,279 
CONSUMER STAPLES - 2.6%   
Beverages - 0.4%   
Anheuser-Busch InBev SA NV ADR (b) 76,200 5,081,016 
Boston Beer Co., Inc. Class A (a) 15,900 14,800,356 
Britvic PLC 588,000 6,406,327 
C&C Group PLC (United Kingdom) 4,373,700 12,792,558 
Constellation Brands, Inc. Class A (sub. vtg.) 268,800 55,329,792 
Diageo PLC sponsored ADR 85,863 13,304,472 
Keurig Dr. Pepper, Inc. 145,700 4,436,565 
Monster Beverage Corp. (a) 535,400 45,391,212 
The Coca-Cola Co. 754,292 38,921,467 
Yantai Changyu Pioneer Wine Co. Ltd. (B Shares) 690,621 1,291,955 
  197,755,720 
Food & Staples Retailing - 0.8%   
Amsterdam Commodities NV 40,700 1,029,957 
Halows Co. Ltd. 11,868 392,794 
Kroger Co. 1,302,600 42,985,800 
Nihon Chouzai Co. Ltd. 13,400 194,347 
OM2 Network Co. Ltd. 70,900 899,046 
Performance Food Group Co. (a) 723,063 31,366,473 
Qol Holdings Co. Ltd. 100,000 993,183 
Retail Partners Co. Ltd. 154,400 2,190,301 
Sapporo Clinical Laboratory 8,900 119,316 
Satoh & Co. Ltd. (b) 12,300 172,901 
Sysco Corp. 1,083,191 77,220,686 
U.S. Foods Holding Corp. (a) 1,899,100 59,783,668 
Walgreens Boots Alliance, Inc. 1,100,000 41,811,000 
Walmart, Inc. 569,200 86,968,068 
YAKUODO Holdings Co. Ltd. 1,000 23,016 
  346,150,556 
Food Products - 0.4%   
Axyz Co. Ltd. 17,100 529,077 
Changshouhua Food Co. Ltd. (a) 2,467,000 1,333,591 
Freshpet, Inc. (a) 99,900 13,674,312 
Ingredion, Inc. 175,000 13,501,250 
JC Comsa Corp. 39,900 175,882 
Kaneko Seeds Co. Ltd. 88,900 1,314,908 
Lamb Weston Holdings, Inc. 16,400 1,187,032 
Lotte Samkang Co. Ltd. 1,500 429,627 
Mondelez International, Inc. 1,674,200 96,182,790 
Origin Enterprises PLC 150,000 641,199 
Pickles Corp. 45,000 1,259,042 
Post Holdings, Inc. (a) 281,377 26,578,871 
Prima Meat Packers Ltd. 14,600 404,940 
S Foods, Inc. 27,400 823,330 
Shinobu Food Products Co. Ltd. 29,100 159,670 
Toyo Sugar Refining Co. Ltd. 39,400 458,054 
Tyson Foods, Inc. Class A 577,200 37,633,440 
  196,287,015 
Household Products - 0.5%   
Colgate-Palmolive Co. 4,300 368,252 
Procter & Gamble Co. 1,417,000 196,778,790 
Spectrum Brands Holdings, Inc. 183,113 12,237,442 
  209,384,484 
Personal Products - 0.1%   
Estee Lauder Companies, Inc. Class A 227,700 55,859,364 
Hengan International Group Co. Ltd. 280,000 1,925,830 
Unilever PLC 74,100 4,474,021 
  62,259,215 
Tobacco - 0.4%   
Altria Group, Inc. 3,641,702 145,048,991 
British American Tobacco PLC sponsored ADR 710,607 25,091,533 
KT&G Corp. 23,699 1,763,764 
Scandinavian Tobacco Group A/S (d) 32,565 501,117 
  172,405,405 
TOTAL CONSUMER STAPLES  1,184,242,395 
ENERGY - 1.5%   
Energy Equipment & Services - 0.1%   
Baker Hughes Co. Class A 161,000 3,013,920 
Geospace Technologies Corp. (a) 25,000 155,250 
High Arctic Energy Services, Inc. 362,600 307,123 
Hoegh LNG Partners LP (b) 368,400 4,907,088 
Liberty Oilfield Services, Inc. Class A 206,309 1,918,674 
National Oilwell Varco, Inc. 78,500 962,410 
Oceaneering International, Inc. (a) 555,508 3,371,934 
SBM Offshore NV 191,300 3,567,782 
Subsea 7 SA (a) 1,485,400 14,068,478 
TechnipFMC PLC 169,600 1,409,376 
  33,682,035 
Oil, Gas & Consumable Fuels - 1.4%   
Africa Oil Corp. (a)(b) 2,222,500 1,865,346 
Aker BP ASA 84,400 1,895,086 
Apache Corp. 618,800 7,976,332 
Baytex Energy Corp. (a)(b) 2,463,500 1,251,952 
Black Stone Minerals LP 84,600 593,892 
Bonterra Energy Corp. (b) 218,300 267,265 
Cabot Oil & Gas Corp. 2,098,600 36,767,472 
Canadian Natural Resources Ltd. 546,500 12,468,465 
Cenovus Energy, Inc. (Canada) 4,678,214 23,198,351 
Cheniere Energy, Inc. (a) 40,700 2,307,283 
Chevron Corp. 114,900 10,016,982 
China Petroleum & Chemical Corp.:   
(H Shares) 27,500,100 12,354,135 
sponsored ADR (H Shares) 9,600 432,768 
CNOOC Ltd. sponsored ADR 19,400 1,915,362 
CNX Resources Corp. (a) 175,000 1,646,750 
ConocoPhillips Co. 125,700 4,972,692 
Delek U.S. Holdings, Inc. 550,000 7,309,500 
Enterprise Products Partners LP 118,000 2,289,200 
EQT Corp. 1,250,000 18,600,000 
Equinor ASA sponsored ADR 1,578,160 24,208,974 
Exxon Mobil Corp. 4,388,145 167,319,969 
Frontline Ltd. (NY Shares) (b) 10,000 62,500 
GasLog Partners LP (b) 152,822 401,922 
Golar LNG Partners LP 778,067 2,155,246 
Hess Corp. 1,365,830 64,439,859 
Husky Energy, Inc. 1,800,000 7,304,227 
Imperial Oil Ltd. (b) 200,000 3,461,923 
Kosmos Energy Ltd. 7,013,100 12,343,056 
Magellan Midstream Partners LP 93,500 3,847,525 
Magnolia Oil & Gas Corp. Class A (a) 5,070,100 31,688,125 
Marathon Oil Corp. 422,000 2,498,240 
Marathon Petroleum Corp. 28,500 1,108,080 
MEG Energy Corp. (a) 1,947,925 5,474,649 
Motor Oil (HELLAS) Corinth Refineries SA 111,300 1,428,374 
Murphy Oil Corp. 300,000 3,018,000 
NuVista Energy Ltd.(a)(b) 5,000 3,773 
Oil & Natural Gas Corp. Ltd. 11,500,000 12,063,539 
Parex Resources, Inc. (a) 2,013,600 27,598,429 
Phillips 66 Co. 356,400 21,590,712 
QEP Resources, Inc. 1,000,000 1,610,000 
Renewable Energy Group, Inc. (a) 151,400 8,793,312 
Royal Dutch Shell PLC Class B sponsored ADR 604,995 19,632,088 
Seven Generations Energy Ltd. (a) 5,000 20,790 
Sinopec Kantons Holdings Ltd. 5,064,000 1,879,612 
Southwestern Energy Co. (a) 5,028,284 15,637,963 
Star Petroleum Refining PCL 2,366,800 594,831 
Teekay LNG Partners LP 1,342,300 15,906,255 
Thai Oil PCL (For. Reg.) 468,100 735,276 
The Williams Companies, Inc. 77,800 1,632,244 
Total SA sponsored ADR 961,946 40,536,404 
Tsakos Energy Navigation Ltd. 10,000 88,100 
Unit Corp. (a)(b)(c) 1,616,500 65,468 
Valero Energy Corp. 142,900 7,683,733 
Whiting Petroleum Corp. (a) 311 7,041 
Whiting Petroleum Corp.:   
warrants 9/1/24 (a) 1,220 4,099 
warrants 9/1/25 (a) 610 2,031 
World Fuel Services Corp. 100,000 2,842,000 
  657,817,202 
TOTAL ENERGY  691,499,237 
FINANCIALS - 6.1%   
Banks - 2.2%   
Bank of America Corp. 8,739,990 246,118,118 
BankUnited, Inc. 732,898 20,894,922 
Citigroup, Inc. 787,400 43,362,118 
Comerica, Inc. 202,100 9,943,320 
Credit Agricole Atlantique Vendee 7,800 1,121,309 
Cullen/Frost Bankers, Inc. 107,900 9,053,889 
East West Bancorp, Inc. 5,000 213,600 
EFG Eurobank Ergasias SA (a) 8,822,100 5,142,891 
First Horizon National Corp. 3,174,770 38,795,689 
FNB Corp., Pennsylvania 56,100 495,363 
Gunma Bank Ltd. 468,400 1,451,070 
Hirogin Holdings, Inc. 65,700 364,153 
Huntington Bancshares, Inc. 536,400 6,479,712 
JPMorgan Chase & Co. 1,274,409 150,227,333 
KeyCorp 512,595 7,924,719 
M&T Bank Corp. 426,898 49,729,348 
NIBC Holding NV (a)(d) 660,726 5,858,520 
Northrim Bancorp, Inc. 5,000 158,850 
Ogaki Kyoritsu Bank Ltd. 51,400 1,155,718 
PacWest Bancorp 1,183,259 27,522,604 
PNC Financial Services Group, Inc. 660,743 91,228,786 
Shinsei Bank Ltd. 82,500 975,026 
Signature Bank 31,700 3,556,423 
Skandiabanken ASA (d) 110,600 884,474 
Societe Generale Series A 113,700 2,254,415 
Sumitomo Mitsui Financial Group, Inc. 650,000 18,689,168 
Synovus Financial Corp. 92,800 2,929,696 
TCF Financial Corp. 925,600 31,100,160 
The Keiyo Bank Ltd. 148,400 647,961 
The San-In Godo Bank Ltd. 142,300 740,640 
Truist Financial Corp. 845,585 39,252,056 
U.S. Bancorp 680,875 29,420,609 
Unicaja Banco SA (d) 2,100,000 1,654,595 
Van Lanschot NV (Bearer) 5,800 137,693 
Wells Fargo & Co. 6,745,623 184,492,789 
Yamaguchi Financial Group, Inc. 127,800 792,547 
  1,034,770,284 
Capital Markets - 1.0%   
Affiliated Managers Group, Inc. 206,400 17,981,568 
Bank of New York Mellon Corp. 1,449,300 56,696,616 
BlackRock, Inc. Class A 67,400 47,068,790 
Cboe Global Markets, Inc. 99,500 9,086,340 
Daou Data Corp. 1,000 11,321 
Goldman Sachs Group, Inc. 100,000 23,058,000 
Intercontinental Exchange, Inc. 217,400 22,937,874 
Invesco Ltd. 417,000 6,767,910 
KKR & Co. LP 425,799 16,150,556 
Lazard Ltd. Class A 821,963 30,675,659 
Morgan Stanley 1,245,974 77,038,572 
Northern Trust Corp. 514,212 47,883,421 
Raymond James Financial, Inc. 111,047 10,099,725 
State Street Corp. 886,190 62,458,671 
StepStone Group, Inc. Class A 272,400 7,387,488 
Virtu Financial, Inc. Class A 631,100 14,382,769 
  449,685,280 
Consumer Finance - 1.0%   
360 Finance, Inc. ADR (a) 177,800 2,204,720 
Aeon Credit Service (Asia) Co. Ltd. 3,946,000 2,673,238 
Ally Financial, Inc. 1,074,300 31,852,995 
Capital One Financial Corp. 1,377,400 117,960,536 
Discover Financial Services 2,108,734 160,622,269 
Encore Capital Group, Inc. (a) 16,726 571,026 
First Cash Financial Services, Inc. 479,410 30,797,298 
Navient Corp. 92,600 867,662 
OneMain Holdings, Inc. 1,233,859 48,108,162 
Santander Consumer U.S.A. Holdings, Inc. 185,300 4,095,130 
Shriram Transport Finance Co. Ltd. 369,861 5,309,267 
SLM Corp. 741,800 7,870,498 
Synchrony Financial 1,300,000 39,611,000 
  452,543,801 
Diversified Financial Services - 0.6%   
Berkshire Hathaway, Inc.:   
Class A (a) 2 687,376 
Class B (a) 1,032,000 236,235,120 
Fuyo General Lease Co. Ltd. 100,000 6,094,387 
Jaws Acquisition Corp. (a) 520,000 5,943,600 
Ricoh Leasing Co. Ltd. 114,000 3,159,021 
Voya Financial, Inc. 655,210 37,759,752 
  289,879,256 
Insurance - 1.1%   
AFLAC, Inc. 950,000 41,733,500 
Allstate Corp. 99,900 10,224,765 
American International Group, Inc. 804,171 30,912,333 
Arthur J. Gallagher & Co. 101,800 11,748,738 
ASR Nederland NV 92,500 3,427,888 
Assurant, Inc. 233,930 30,205,042 
Brown & Brown, Inc. 583,782 26,287,703 
BRP Group, Inc. (a) 441,200 12,993,340 
Chubb Ltd. 408,072 60,325,284 
Db Insurance Co. Ltd. 280,000 11,113,918 
Fairfax Financial Holdings Ltd. (sub. vtg.) 15,400 5,281,558 
First American Financial Corp. 164,700 7,978,068 
Genworth Financial, Inc. Class A (a) 324,100 1,471,414 
Hartford Financial Services Group, Inc. 322,300 14,245,660 
Hyundai Fire & Marine Insurance Co. Ltd. 212,600 4,276,856 
Lincoln National Corp. 56,000 2,644,320 
Marsh & McLennan Companies, Inc. 160,100 18,353,864 
MetLife, Inc. 1,050,000 48,478,500 
NN Group NV 150,203 6,070,442 
Prudential Financial, Inc. 75,000 5,671,500 
Reinsurance Group of America, Inc. 131,700 15,182,376 
Sul America SA unit 10,188 81,429 
The Travelers Companies, Inc. 808,800 104,860,920 
Willis Towers Watson PLC 70,500 14,677,395 
  488,246,813 
Thrifts & Mortgage Finance - 0.2%   
ASAX Co. Ltd. 188,500 1,272,989 
Essent Group Ltd. 807,230 35,405,108 
Genworth Mortgage Insurance Ltd. 400,000 778,093 
MGIC Investment Corp. 2,499,919 29,899,031 
Radian Group, Inc. 669,802 12,645,862 
  80,001,083 
TOTAL FINANCIALS  2,795,126,517 
HEALTH CARE - 6.7%   
Biotechnology - 1.4%   
AbbVie, Inc. 81,507 8,524,002 
ADC Therapeutics SA (a)(b) 237,600 8,864,856 
Alexion Pharmaceuticals, Inc. (a) 647,560 79,073,552 
Alnylam Pharmaceuticals, Inc. (a) 107,600 13,978,316 
Amgen, Inc. 272,100 60,417,084 
Arcutis Biotherapeutics, Inc. (a) 100,000 2,712,000 
Argenx SE ADR (a) 66,000 18,930,120 
Ascendis Pharma A/S sponsored ADR (a) 112,000 18,897,760 
Aurinia Pharmaceuticals, Inc. (a) 973,200 14,792,640 
Blueprint Medicines Corp. (a) 412,498 44,582,784 
Cell Biotech Co. Ltd. 75,959 1,349,901 
Crinetics Pharmaceuticals, Inc. (a) 69,800 933,226 
Deciphera Pharmaceuticals, Inc. (a) 295,500 18,261,900 
Essex Bio-Technology Ltd. 500,000 267,948 
Exelixis, Inc. (a) 200,000 3,832,000 
Fate Therapeutics, Inc. (a) 60,000 3,507,900 
Generation Bio Co. 120,000 5,786,400 
Gilead Sciences, Inc. 325,000 19,717,750 
Gritstone Oncology, Inc. (a)(b) 310,600 947,330 
Heron Therapeutics, Inc. (a) 29,900 518,167 
ImmunoGen, Inc. (a) 3,117,000 16,987,650 
Innovent Biologics, Inc. (a)(d) 750,000 4,926,054 
Insmed, Inc. (a) 292,700 11,418,227 
Intercept Pharmaceuticals, Inc. (a) 177,782 6,313,039 
Neurocrine Biosciences, Inc. (a) 100,000 9,494,000 
Prelude Therapeutics, Inc. (b) 140,000 7,205,800 
PTC Therapeutics, Inc. (a) 582,500 36,447,025 
Regeneron Pharmaceuticals, Inc. (a) 143,500 74,050,305 
Revolution Medicines, Inc. 118,000 5,148,340 
Sarepta Therapeutics, Inc. (a) 276,992 39,017,093 
Shattuck Labs, Inc. 150,000 5,424,000 
Stoke Therapeutics, Inc. (a) 70,000 3,646,300 
Turning Point Therapeutics, Inc. (a) 332,400 35,400,600 
uniQure B.V. (a) 25,303 1,216,568 
United Therapeutics Corp. (a) 93,800 12,441,632 
Vaxcyte, Inc. (b) 192,600 6,182,460 
Vertex Pharmaceuticals, Inc. (a) 40,000 9,110,000 
Xencor, Inc. (a) 118,000 4,993,760 
Zentalis Pharmaceuticals, Inc. 120,000 6,115,200 
Zymeworks, Inc. (a) 112,620 5,929,443 
  627,363,132 
Health Care Equipment & Supplies - 0.8%   
A&T Corp. 21,000 305,804 
Atricure, Inc. (a) 327,500 14,239,700 
Axonics Modulation Technologies, Inc. (a)(b) 422,000 18,521,580 
Becton, Dickinson & Co. 143,887 33,790,423 
Boston Scientific Corp. (a) 1,948,457 64,591,350 
Danaher Corp. 280,000 62,896,400 
DexCom, Inc. (a) 10,000 3,196,800 
Fukuda Denshi Co. Ltd. 85,000 6,090,003 
Genmark Diagnostics, Inc. (a) 600,000 8,022,000 
Hologic, Inc. (a) 330,000 22,812,900 
InBody Co. Ltd. 55,000 880,679 
Insulet Corp. (a) 105,000 27,059,550 
Intuitive Surgical, Inc. (a) 20,500 14,884,025 
Masimo Corp. (a) 40,000 10,179,600 
Meridian Bioscience, Inc. (a) 15,000 283,500 
Penumbra, Inc. (a)(b) 110,000 24,409,000 
STERIS PLC 125,649 24,352,033 
Tandem Diabetes Care, Inc. (a) 371,300 34,857,644 
Value Added Technology Co. Ltd. 15,000 300,401 
Vieworks Co. Ltd. 115,000 3,034,451 
  374,707,843 
Health Care Providers & Services - 2.6%   
1Life Healthcare, Inc. (a) 120,000 3,944,400 
AmerisourceBergen Corp. 48,800 5,031,768 
Anthem, Inc. 457,900 142,645,008 
Cardinal Health, Inc. 476,644 26,019,996 
Centene Corp. (a) 1,907,200 117,578,880 
Cigna Corp. 1,118,721 233,969,310 
Covetrus, Inc. (a) 165,800 4,479,087 
CVS Health Corp. 1,822,013 123,514,261 
HCA Holdings, Inc. 20,000 3,002,200 
Humana, Inc. 169,500 67,888,140 
Laboratory Corp. of America Holdings (a) 80,000 15,987,200 
LHC Group, Inc. (a) 182,800 35,887,296 
McKesson Corp. 293,853 52,867,093 
MEDNAX, Inc. (a) 125,000 2,526,250 
Patterson Companies, Inc. 101,000 2,803,760 
Progyny, Inc. (a) 386,255 13,708,190 
Quest Diagnostics, Inc. 3,700 458,726 
Tokai Corp. 150,000 2,919,980 
UnitedHealth Group, Inc. 804,528 270,594,948 
Universal Health Services, Inc. Class B 250,000 32,645,000 
  1,158,471,493 
Health Care Technology - 0.1%   
Inspire Medical Systems, Inc. (a) 50,000 9,287,000 
Phreesia, Inc. (a) 1,051,100 46,416,576 
  55,703,576 
Life Sciences Tools & Services - 0.3%   
10X Genomics, Inc. (a) 40,000 6,124,400 
Avantor, Inc. (a) 764,500 20,855,560 
Bio-Rad Laboratories, Inc. Class A (a) 28,000 15,078,000 
Bruker Corp. 631,750 31,972,868 
ICON PLC (a) 5,200 1,013,376 
Lonza Group AG 20,000 12,583,456 
Maravai LifeSciences Holdings, Inc. 140,000 3,941,000 
PRA Health Sciences, Inc. (a) 195,500 21,935,100 
Sotera Health Co. 140,000 3,788,400 
Thermo Fisher Scientific, Inc. 47,500 22,086,550 
  139,378,710 
Pharmaceuticals - 1.5%   
AstraZeneca PLC (United Kingdom) 365,000 38,191,729 
Bayer AG 792,925 45,683,374 
Bristol-Myers Squibb Co. 3,452,727 215,450,165 
Bristol-Myers Squibb Co. rights (a) 727,000 857,860 
Daito Pharmaceutical Co. Ltd. 17,200 595,385 
Dawnrays Pharmaceutical Holdings Ltd. 8,622,000 1,224,449 
Eli Lilly & Co. 320,000 46,608,000 
Genomma Lab Internacional SA de CV (a) 1,000,000 977,227 
GlaxoSmithKline PLC sponsored ADR 1,466,463 53,951,174 
Intra-Cellular Therapies, Inc. (a) 44,700 1,056,708 
Jazz Pharmaceuticals PLC (a) 64,800 9,118,008 
Johnson & Johnson 467,255 67,602,453 
Korea United Pharm, Inc. 77,800 3,670,606 
Nektar Therapeutics (a)(b) 194,000 3,179,660 
Nippon Chemiphar Co. Ltd. 10,400 246,207 
Pliant Therapeutics, Inc. (b) 176,500 4,857,280 
Roche Holding AG (participation certificate) 306,336 100,615,161 
Royalty Pharma PLC 178,000 7,582,800 
Sanofi SA 100,000 10,079,883 
Sanofi SA sponsored ADR 1,178,595 59,165,469 
Taro Pharmaceutical Industries Ltd. (a) 11,200 790,720 
Theravance Biopharma, Inc. (a) 180,000 2,986,200 
UCB SA 64,000 6,848,814 
Viatris, Inc. (a) 200,000 3,364,000 
  684,703,332 
TOTAL HEALTH CARE  3,040,328,086 
INDUSTRIALS - 5.1%   
Aerospace & Defense - 0.4%   
Airbus Group NV 69,000 7,213,780 
Axon Enterprise, Inc. (a) 94,900 11,927,981 
General Dynamics Corp. 66,294 9,901,009 
HEICO Corp. Class A 257,546 28,523,220 
Huntington Ingalls Industries, Inc. 42,731 6,845,079 
Lockheed Martin Corp. 121,200 44,238,000 
MTU Aero Engines Holdings AG 1,700 400,339 
Raytheon Technologies Corp. 79,568 5,706,617 
Safran SA (a) 25,500 3,717,237 
The Boeing Co. 199,895 42,119,875 
Vectrus, Inc. (a) 5,000 238,350 
  160,831,487 
Air Freight & Logistics - 0.4%   
Air Transport Services Group, Inc. (a) 816,000 25,083,840 
Deutsche Post AG 253,900 12,247,695 
FedEx Corp. 151,823 43,509,435 
Onelogix Group Ltd. (a) 574,686 92,403 
United Parcel Service, Inc. Class B 544,836 93,205,095 
XPO Logistics, Inc. (a) 92,600 9,878,568 
  184,017,036 
Airlines - 0.1%   
Delta Air Lines, Inc. 471,500 18,977,875 
Hawaiian Holdings, Inc. 2,000 40,520 
JetBlue Airways Corp. (a) 958,200 14,459,238 
Ryanair Holdings PLC sponsored ADR (a) 46,700 4,846,059 
  38,323,692 
Building Products - 0.6%   
Apogee Enterprises, Inc. 50,000 1,312,000 
Carrier Global Corp. 303,319 11,547,354 
Fortune Brands Home & Security, Inc. 1,144,329 95,551,472 
Johnson Controls International PLC 139,493 6,422,258 
KVK Corp. 5,500 93,344 
Nihon Dengi Co. Ltd. 113,700 4,234,367 
Nihon Flush Co. Ltd. 40,000 524,709 
Owens Corning 389,500 28,382,865 
Trane Technologies PLC 737,300 107,822,752 
  255,891,121 
Commercial Services & Supplies - 0.0%   
VSE Corp. 1,000 34,200 
Construction & Engineering - 0.0%   
Arcadis NV 44,800 1,368,332 
Boustead Projs. Pte Ltd. 2,180,500 1,268,158 
Joban Kaihatsu Co. Ltd. 1,400 114,101 
Kawasaki Setsubi Kogyo Co. Ltd. 35,000 166,553 
Meisei Industrial Co. Ltd. 425,200 3,157,514 
Raiznext Corp. 450,800 4,801,877 
Seikitokyu Kogyo Co. Ltd. 158,000 1,220,979 
Watanabe Sato Co. Ltd. 4,900 99,250 
  12,196,764 
Electrical Equipment - 0.7%   
Acuity Brands, Inc. 101,352 12,032,509 
Aichi Electric Co. Ltd. (b) 231,450 4,991,659 
AMETEK, Inc. 705,400 83,611,062 
Emerson Electric Co. 506,400 38,901,648 
Gerard Perrier Industrie SA (b) 5,000 391,698 
Hubbell, Inc. Class B 65,950 10,656,861 
Iwabuchi Corp. 3,500 185,950 
Regal Beloit Corp. 287,600 34,235,904 
Sensata Technologies, Inc. PLC (a) 28,000 1,367,240 
Siemens Energy AG (a) 155,750 4,607,577 
Soltec Power Holdings SA 28,122 200,467 
Sunrun, Inc. (a) 1,365,010 87,469,841 
Terasaki Electric Co. Ltd. 33,600 334,284 
Vertiv Holdings Co. 670,853 12,551,660 
Vertiv Holdings LLC (e) 600,000 11,226,000 
Vestas Wind Systems A/S 186,500 38,011,218 
  340,775,578 
Industrial Conglomerates - 0.9%   
3M Co. 77,251 13,343,565 
Carlisle Companies, Inc. 249,120 36,080,050 
General Electric Co. 25,650,164 261,118,670 
Mytilineos SA 239,500 3,116,327 
Reunert Ltd. 56,900 136,240 
Roper Technologies, Inc. 135,000 57,645,000 
Siemens AG 311,400 41,563,980 
  413,003,832 
Machinery - 0.9%   
Caterpillar, Inc. 21,700 3,766,903 
Colfax Corp. (a) 887,100 32,006,568 
Conrad Industries, Inc. (a) 5,400 59,400 
Crane Co. 5,000 347,650 
Cummins, Inc. 29,942 6,921,692 
Epiroc AB Class A 47,400 787,883 
Flowserve Corp. 665,658 22,685,625 
Fortive Corp. 1,152,005 80,790,111 
Fukushima Industries Corp. 10,000 420,687 
Haitian International Holdings Ltd. 1,290,000 3,494,821 
Hy-Lok Corp. 14,316 176,929 
IDEX Corp. 300,027 57,950,215 
ITT, Inc. 730,500 53,056,215 
Koike Sanso Kogyo Co. Ltd. 2,200 48,302 
Nakanishi Manufacturing Co. Ltd. 24,600 229,250 
Nansin Co. Ltd. 32,900 160,896 
Oshkosh Corp. 447,300 36,007,650 
Otis Worldwide Corp. 762,004 51,008,548 
Pentair PLC 359,200 18,613,744 
Sakura Rubber Co. Ltd. 20,800 860,593 
Stanley Black & Decker, Inc. 181,732 33,495,025 
The Hanshin Diesel Works Ltd. 4,500 78,763 
Westinghouse Air Brake Co. 170,895 12,526,604 
Yamada Corp. 22,300 516,345 
  416,010,419 
Marine - 0.0%   
Japan Transcity Corp. 280,300 1,514,387 
Professional Services - 0.0%   
ABIST Co. Ltd. 40,000 1,145,557 
Altech Corp. 10,000 199,620 
Bertrandt AG 50,000 2,276,620 
Career Design Center Co. Ltd. 50,000 471,050 
Dun & Bradstreet Holdings, Inc. (a) 147,100 3,943,751 
Equifax, Inc. 15,000 2,503,500 
Gakujo Co. Ltd. 10,000 103,832 
McMillan Shakespeare Ltd. 46,017 400,616 
Outsourcing, Inc. 105,000 1,433,270 
Quick Co. Ltd. 20,000 215,328 
Robert Half International, Inc. 5,000 320,900 
SaraminHR Co. Ltd. 29,600 683,578 
SHL-JAPAN Ltd. 34,800 824,243 
  14,521,865 
Road & Rail - 0.6%   
Autohellas SA 51,600 328,519 
CSX Corp. 864,700 77,866,235 
Daqin Railway Co. Ltd. (A Shares) 2,952,141 3,042,380 
J.B. Hunt Transport Services, Inc. 51,690 6,992,623 
Knight-Swift Transportation Holdings, Inc. Class A 579,569 23,930,404 
Landstar System, Inc. 357,520 46,985,278 
Lyft, Inc. (a) 709,683 27,088,600 
Meitetsu Transport Co. Ltd. 15,000 321,855 
NANSO Transport Co. Ltd. 76,500 868,417 
Nikkon Holdings Co. Ltd. 150,000 2,910,808 
Old Dominion Freight Lines, Inc. 251,700 51,185,712 
Ryder System, Inc. 192,542 11,402,337 
Schneider National, Inc. Class B 1,260,600 26,346,540 
STEF-TFE Group 15,000 1,285,828 
Tohbu Network Co. Ltd. 42,500 375,691 
Uber Technologies, Inc. (a) 67,372 3,345,694 
Utoc Corp. 136,300 604,837 
  284,881,758 
Trading Companies & Distributors - 0.5%   
AerCap Holdings NV (a) 50,000 1,838,000 
Air Lease Corp. Class A 895,000 32,730,150 
Beacon Roofing Supply, Inc. (a) 129,300 4,705,227 
Beijer Ref AB (B Shares) 28,900 988,929 
Canox Corp. 81,539 474,166 
Daiichi Jitsugyo Co. Ltd. 5,900 227,529 
Green Cross Co. Ltd. 81,100 726,528 
HD Supply Holdings, Inc. (a) 1,371,780 76,517,888 
Howden Joinery Group PLC 26,900 225,138 
Itochu Corp. 1,926,200 50,831,026 
Kamei Corp. 300,000 3,366,532 
Mitani Shoji Co. Ltd. 56,600 3,675,846 
Mitsubishi Corp. 447,900 10,406,154 
MSC Industrial Direct Co., Inc. Class A 5,000 416,600 
Narasaki Sangyo Co. Ltd. 25,000 502,492 
Nishikawa Keisoku Co. Ltd. 9,300 395,167 
Pla Matels Corp. 49,800 367,299 
Sam Yung Trading Co. Ltd. 2,000 24,808 
Shinsho Corp. 137,000 2,435,781 
Totech Corp. 1,000 24,075 
United Rentals, Inc. (a) 68,200 15,480,036 
  206,359,371 
Transportation Infrastructure - 0.0%   
Isewan Terminal Service Co. Ltd. 200,400 1,520,651 
Qingdao Port International Co. Ltd. (H Shares) (d) 4,884,814 3,033,279 
  4,553,930 
TOTAL INDUSTRIALS  2,332,915,440 
INFORMATION TECHNOLOGY - 8.2%   
Communications Equipment - 0.3%   
Cisco Systems, Inc. 1,828,300 78,653,466 
CommScope Holding Co., Inc. (a) 414,600 4,913,010 
F5 Networks, Inc. (a) 225,000 36,632,250 
Juniper Networks, Inc. 50,000 1,088,500 
Lumentum Holdings, Inc. (a) 2,400 207,312 
  121,494,538 
Electronic Equipment & Components - 0.7%   
Ai Holdings Corp. 5,000 92,958 
Avnet, Inc. 847,600 25,724,660 
CDW Corp. 10,900 1,422,341 
Cognex Corp. 269,300 20,235,202 
Corning, Inc. 127,200 4,759,824 
Daido Signal Co. Ltd. 121,700 688,976 
Elematec Corp. 159,000 1,457,790 
FLEXium Interconnect, Inc. 101,316 425,548 
Flextronics International Ltd. (a) 3,268,893 53,054,133 
HAGIAWARA ELECTRIC Co. Ltd. 60,080 1,387,893 
Hon Hai Precision Industry Co. Ltd. (Foxconn) 600,000 1,728,386 
II-VI, Inc. (a) 104,523 7,070,981 
Insight Enterprises, Inc. (a) 96,948 6,929,843 
Jabil, Inc. 1,938,897 74,104,643 
Kingboard Chemical Holdings Ltd. 1,678,800 6,414,224 
Makus, Inc. (f) 1,300,684 5,585,155 
Methode Electronics, Inc. Class A 20,000 700,400 
New Cosmos Electric Co. Ltd. 11,000 172,807 
PAX Global Technology Ltd. 7,756,000 4,819,706 
Redington India Ltd. 517,144 911,700 
Riken Kieki Co. Ltd. 102,000 2,731,248 
ScanSource, Inc. (a) 119,631 3,002,738 
Solid State PLC 6,000 50,590 
TE Connectivity Ltd. 493,600 56,255,592 
Thinking Electronic Industries Co. Ltd. 400,000 2,044,102 
Trimble, Inc. (a) 457,800 27,408,486 
Vontier Corp. (a) 51,202 1,698,370 
  310,878,296 
IT Services - 1.5%   
Amadeus IT Holding SA Class A 80,100 5,508,032 
Amdocs Ltd. 579,700 38,150,057 
Avant Corp. 300,000 3,173,684 
CACI International, Inc. Class A (a) 91,000 21,593,390 
Capgemini SA 291,400 40,541,279 
Cielo SA 600,000 397,581 
Cognizant Technology Solutions Corp. Class A 646,700 50,526,671 
Data Applications Co. Ltd. 11,000 164,187 
DXC Technology Co. 45,312 992,786 
E-Credible Co. Ltd. 125,000 2,751,416 
Edenred SA 118,700 6,783,126 
Enea Data AB (a) 67,600 1,365,622 
FDM Group Holdings PLC 5,000 68,253 
Fidelity National Information Services, Inc. 510,912 75,824,450 
Fiserv, Inc. (a) 35,400 4,077,372 
FleetCor Technologies, Inc. (a) 15,800 4,190,318 
Future Corp. 35,000 596,297 
Gartner, Inc. (a) 196,242 29,828,784 
Genpact Ltd. 817,101 33,215,156 
Global Payments, Inc. 74,832 14,606,458 
GoDaddy, Inc. (a) 534,104 42,482,632 
Hexaware Technologies Ltd. 100,000 641,892 
IBM Corp. 56,282 6,951,953 
IFIS Japan Ltd. 15,300 115,621 
Korea Information & Communication Co. Ltd. (a) 162,407 1,286,340 
Liveramp Holdings, Inc. (a) 48,300 2,826,033 
MasterCard, Inc. Class A 288,716 97,155,821 
MongoDB, Inc. Class A (a) 9,600 2,758,176 
PayPal Holdings, Inc. (a) 352,738 75,528,261 
Sabre Corp. 383,000 4,308,750 
Snowflake Computing, Inc. (b) 9,700 3,160,648 
Tech Mahindra Ltd. 50,000 588,185 
Tessi SA (a) 107 14,365 
The Western Union Co. 26,000 586,560 
Twilio, Inc. Class A (a) 10,100 3,232,909 
Unisys Corp. (a) 422,500 6,160,050 
Visa, Inc. Class A 498,851 104,933,308 
WEX, Inc. (a) 142,400 24,669,376 
  711,755,799 
Semiconductors & Semiconductor Equipment - 1.4%   
Advanced Micro Devices, Inc. (a) 312,795 28,983,585 
Analog Devices, Inc. 87,326 12,145,300 
Applied Materials, Inc. 434,514 35,838,715 
Array Technologies, Inc. (b) 822,555 37,492,057 
Broadcom, Inc. 10,300 4,136,274 
Cirrus Logic, Inc. (a) 377,895 30,269,390 
Intel Corp. 69,800 3,374,830 
Lam Research Corp. 87,300 39,517,218 
Marvell Technology Group Ltd. 622,911 28,834,550 
Micron Technology, Inc. (a) 690,950 44,282,986 
Miraial Co. Ltd. 51,000 592,584 
NVIDIA Corp. 156,309 83,791,003 
NXP Semiconductors NV 474,042 75,097,734 
ON Semiconductor Corp. (a) 1,221,311 35,112,691 
Phison Electronics Corp. 300,000 3,391,670 
Qualcomm, Inc. 996,332 146,630,180 
Sanken Electric Co. Ltd. 64,089 2,330,843 
Semtech Corp. (a) 57,600 3,886,272 
Sitronix Technology Corp. 100,000 490,025 
STMicroelectronics NV (France) 54,000 2,127,293 
Systems Technology, Inc. 25,000 360,841 
Topco Scientific Co. Ltd. 100,000 425,271 
Xilinx, Inc. 79,071 11,508,784 
  630,620,096 
Software - 3.1%   
Adobe, Inc. (a) 36,579 17,501,954 
Asiainfo Technologies Ltd. (d) 256,000 387,692 
Autodesk, Inc. (a) 130,487 36,566,372 
Blackbaud, Inc. 366,800 20,207,012 
CENIT AG (a) 20,000 309,851 
Ceridian HCM Holding, Inc. (a) 324,600 31,297,932 
Cloudflare, Inc. (a) 311,529 23,389,597 
Cresco Ltd. 92,900 1,137,592 
Cyient Ltd. 1,000,000 6,591,139 
Digital Turbine, Inc. (a) 66,400 2,986,672 
Dynatrace, Inc. (a) 133,502 5,075,746 
Elastic NV (a) 381,386 47,215,587 
Encourage Technologies Co. Ltd. 5,900 43,944 
Envestnet, Inc. (a) 100 8,026 
FireEye, Inc. (a) 891,300 13,396,239 
HubSpot, Inc. (a) 73,800 29,101,554 
LivePerson, Inc. (a) 292,506 17,088,201 
Microsoft Corp. 2,927,981 626,792,893 
Nortonlifelock, Inc. 3,036,683 55,358,731 
Nuance Communications, Inc. (a) 662,600 28,577,938 
Nucleus Software Exports Ltd. (a) 16,048 119,991 
Oracle Corp. 185,678 10,717,334 
Parametric Technology Corp. (a) 384,343 41,451,393 
Pluralsight, Inc. (a) 1,544,300 25,295,634 
Proofpoint, Inc. (a) 310,120 32,094,319 
Rapid7, Inc. (a) 189,800 14,223,612 
RealPage, Inc. (a) 721,200 49,755,588 
RingCentral, Inc. (a) 11,795 3,503,705 
Salesforce.com, Inc. (a) 249,670 61,368,886 
SAP SE sponsored ADR (b) 335,901 40,697,765 
Sinosoft Tech Group Ltd. (a) 12,500,000 2,120,147 
SS&C Technologies Holdings, Inc. 111,395 7,674,002 
SurveyMonkey (a) 1,378,053 29,324,968 
System Research Co. Ltd. 70,000 1,097,645 
Telos Corp. 62,000 1,244,340 
Tenable Holdings, Inc. (a) 427,500 15,394,275 
Toho System Science Co. Ltd. (b) 12,100 107,753 
Verint Systems, Inc. (a) 177,000 10,081,920 
VMware, Inc. Class A (a)(b) 35,200 4,924,128 
Workday, Inc. Class A (a) 95,623 21,495,094 
Workiva, Inc. (a) 257,393 19,301,901 
Yext, Inc. (a) 1,466,888 27,885,541 
Zendesk, Inc. (a) 190,467 25,427,345 
Zensar Technologies Ltd. 25,000 76,335 
  1,408,418,293 
Technology Hardware, Storage & Peripherals - 1.2%   
Apple, Inc. 3,669,668 436,873,975 
Dell Technologies, Inc. (a) 10,000 690,300 
Elecom Co. Ltd. 50,000 2,289,891 
HP, Inc. 1,485,098 32,568,199 
MCJ Co. Ltd. 350,000 3,224,504 
NetApp, Inc. 140,000 7,463,400 
Samsung Electronics Co. Ltd. 355,980 21,419,430 
Seagate Technology LLC 150,000 8,821,500 
TSC Auto ID Technology Corp. 50,000 339,517 
Western Digital Corp. 395,021 17,728,542 
Xerox Holdings Corp. 31,556 690,761 
  532,110,019 
TOTAL INFORMATION TECHNOLOGY  3,715,277,041 
MATERIALS - 1.4%   
Chemicals - 0.5%   
Albemarle Corp. U.S. 203,300 27,642,701 
Amyris, Inc. (a)(b) 919,943 2,686,234 
Balchem Corp. 179,100 18,570,879 
C. Uyemura & Co. Ltd. 74,000 5,138,571 
Cabot Corp. 10,000 414,100 
CF Industries Holdings, Inc. 30,000 1,119,000 
DuPont de Nemours, Inc. 1,035,751 65,708,043 
Innospec, Inc. 174,911 14,393,426 
Isamu Paint Co. Ltd. 3,800 109,024 
KPC Holdings Corp. 7,154 411,743 
Linde PLC 93,200 23,898,344 
Livent Corp. (a) 1,174,645 17,819,365 
NOF Corp. 21,600 955,860 
Nutrien Ltd. 178,751 8,822,622 
Olin Corp. 1,418,400 31,048,776 
PPG Industries, Inc. 55,748 8,182,134 
Scientex Bhd 590,400 1,724,536 
Toho Acetylene Co. Ltd. 103,800 1,225,696 
Yara International ASA 50,300 2,038,845 
Yip's Chemical Holdings Ltd. 450,000 175,990 
  232,085,889 
Construction Materials - 0.2%   
Kunimine Industries Co. Ltd. 5,000 52,524 
Mitani Sekisan Co. Ltd. 16,400 653,901 
Summit Materials, Inc. (a) 3,163,900 60,114,100 
Vulcan Materials Co. 217,100 30,318,015 
  91,138,540 
Containers & Packaging - 0.1%   
Crown Holdings, Inc. (a) 504,130 47,514,253 
Mayr-Melnhof Karton AG 11,200 1,967,628 
Silgan Holdings, Inc. 18,100 611,780 
  50,093,661 
Metals & Mining - 0.6%   
ArcelorMittal SA Class A unit (a) 101,800 1,848,688 
BHP Billiton Ltd. sponsored ADR (b) 406,112 22,656,988 
Chubu Steel Plate Co. Ltd. 169,800 1,271,441 
CI Resources Ltd. (a) 136,202 96,980 
CK-SAN-ETSU Co. Ltd. 51,900 1,908,772 
Commercial Metals Co. 908,500 18,088,235 
Compania de Minas Buenaventura SA sponsored ADR 168,400 1,869,240 
Freeport-McMoRan, Inc. 3,006,285 70,317,006 
Labrador Iron Ore Royalty Corp. 4,700 95,144 
Lundin Mining Corp. 3,286,700 26,269,305 
Mount Gibson Iron Ltd. 5,500,000 3,027,956 
Newmont Corp. 1,534,500 90,259,290 
Pacific Metals Co. Ltd. (b) 58,300 1,029,667 
Perenti Global Ltd. 2,508,411 2,402,895 
Rio Tinto PLC sponsored ADR 15,000 974,550 
Royal Gold, Inc. 104,500 11,544,115 
St Barbara Ltd. 681,138 1,224,974 
Teck Resources Ltd. Class B (sub. vtg.) 150,000 2,370,062 
  257,255,308 
TOTAL MATERIALS  630,573,398 
REAL ESTATE - 1.2%   
Equity Real Estate Investment Trusts (REITs) - 0.9%   
Alexandria Real Estate Equities, Inc. 40,000 6,549,200 
American Tower Corp. 178,486 41,265,963 
Apartment Investment & Management Co. Class A 776,477 23,566,077 
CoreSite Realty Corp. 199,142 24,970,415 
Corporate Office Properties Trust (SBI) 155,400 4,138,302 
CubeSmart 168,100 5,468,293 
CyrusOne, Inc. 354,400 24,776,104 
Digital Realty Trust, Inc. 85,500 11,521,125 
Douglas Emmett, Inc. 118,300 3,663,751 
Empire State Realty Trust, Inc. 2,234,326 20,220,650 
Equinix, Inc. 26,600 18,561,214 
Healthcare Trust of America, Inc. 219,477 5,712,986 
Kilroy Realty Corp. 79,900 4,886,684 
Lexington Corporate Properties Trust 1,973,500 20,149,435 
Medical Properties Trust, Inc. 1,139,130 22,099,122 
Mid-America Apartment Communities, Inc. 62,900 7,935,464 
Outfront Media, Inc. 1,846,540 34,973,468 
Potlatch Corp. 467,093 21,738,508 
Prologis (REIT), Inc. 216,600 21,670,830 
SBA Communications Corp. Class A 45,600 13,095,408 
Simon Property Group, Inc. 338,000 27,908,660 
Uniti Group, Inc. 1,018,800 10,473,264 
Ventas, Inc. 218,000 10,444,380 
VICI Properties, Inc. 124,700 3,153,663 
Weyerhaeuser Co. 599,900 17,421,096 
  406,364,062 
Real Estate Management & Development - 0.3%   
Arealink Co. Ltd. 25,000 226,164 
CBRE Group, Inc. (a) 1,141,500 69,791,310 
Cushman & Wakefield PLC (a) 613,400 9,139,660 
Howard Hughes Corp. (a) 337,600 24,553,648 
KE Holdings, Inc. ADR (a) 247,500 16,169,175 
Newmark Group, Inc. 554,485 3,892,485 
Nisshin Group Holdings Co. 64,700 232,866 
  124,005,308 
TOTAL REAL ESTATE  530,369,370 
UTILITIES - 1.7%   
Electric Utilities - 1.2%   
American Electric Power Co., Inc. 143,800 12,207,182 
Duke Energy Corp. 660,000 61,155,600 
Edison International 207,100 12,707,656 
Entergy Corp. 178,400 19,418,840 
Evergy, Inc. 850,964 47,151,915 
Exelon Corp. 1,538,766 63,197,120 
FirstEnergy Corp. 438,400 11,643,904 
NextEra Energy, Inc. 444,800 32,732,832 
PG&E Corp. (a) 4,484,046 56,947,384 
PNM Resources, Inc. 621,300 30,512,043 
Portland General Electric Co. 515,400 21,327,252 
PPL Corp. 2,237,700 63,595,434 
Southern Co. 1,563,266 93,561,470 
  526,158,632 
Gas Utilities - 0.1%   
Atmos Energy Corp. 255,700 24,519,073 
Busan City Gas Co. Ltd. 60,816 2,759,576 
China Resource Gas Group Ltd. 764,000 3,682,236 
Enagas SA 56,000 1,368,122 
Hokuriku Gas Co. 6,200 184,717 
Keiyo Gas Co. Ltd. 3,000 104,399 
Seoul City Gas Co. Ltd. 13,199 1,133,534 
South Jersey Industries, Inc. 661,500 15,227,730 
YESCO Co. Ltd. 25,028 774,420 
  49,753,807 
Independent Power and Renewable Electricity Producers - 0.1%   
NextEra Energy Partners LP 42,000 2,665,740 
Sunnova Energy International, Inc. (a) 372,700 15,098,077 
The AES Corp. 908,100 18,561,564 
Vistra Corp. 1,204,500 22,500,060 
  58,825,441 
Multi-Utilities - 0.3%   
CenterPoint Energy, Inc. 582,044 13,497,600 
Dominion Energy, Inc. 708,717 55,627,197 
MDU Resources Group, Inc. 1,251,900 31,222,386 
NiSource, Inc. 771,500 18,670,300 
Sempra Energy 103,200 13,155,936 
  132,173,419 
TOTAL UTILITIES  766,911,299 
TOTAL COMMON STOCKS   
(Cost $15,523,697,061)  19,405,230,677 
Nonconvertible Preferred Stocks - 0.2%   
CONSUMER DISCRETIONARY - 0.0%   
Automobiles - 0.0%   
Porsche Automobil Holding SE (Germany) 100,000 6,351,217 
INFORMATION TECHNOLOGY - 0.2%   
Technology Hardware, Storage & Peripherals - 0.2%   
Samsung Electronics Co. Ltd. 1,437,090 79,210,298 
UTILITIES - 0.0%   
Electric Utilities - 0.0%   
Companhia Paranaense de Energia-Copel (PN-B) 40,600 517,371 
TOTAL NONCONVERTIBLE PREFERRED STOCKS   
(Cost $66,776,527)  86,078,886 
Equity Funds - 56.7%   
Large Blend Funds - 10.6%   
Fidelity SAI U.S. Large Cap Index Fund (g) 196,983,793 3,831,334,780 
Fidelity SAI U.S. Low Volatility Index Fund(g) 60,870,221 987,314,988 
TOTAL LARGE BLEND FUNDS  4,818,649,768 
Large Growth Funds - 32.5%   
Fidelity Contrafund (g) 149,235,022 2,611,612,889 
Fidelity Growth Company Fund (g) 131,113,457 4,519,480,855 
Fidelity Magellan Fund (g) 157,842,612 1,999,865,897 
Fidelity SAI U.S. Momentum Index Fund (g) 58,971,854 960,061,791 
Fidelity SAI U.S. Quality Index Fund (g) 292,210,745 4,745,502,484 
TOTAL LARGE GROWTH FUNDS  14,836,523,916 
Large Value Funds - 8.9%   
Fidelity Large Cap Value Enhanced Index Fund (g) 180,590,509 2,481,313,595 
Fidelity SAI U.S. Value Index Fund (g) 159,361,716 1,560,151,197 
TOTAL LARGE VALUE FUNDS  4,041,464,792 
Small Blend Funds - 4.1%   
Fidelity Small Cap Discovery Fund (g) 12,932,562 302,880,603 
Fidelity Small Cap Index Fund (g) 67,062,539 1,554,509,647 
TOTAL SMALL BLEND FUNDS  1,857,390,250 
Small Growth Funds - 0.6%   
Fidelity Small Cap Growth Fund (g) 9,244,346 299,331,931 
TOTAL EQUITY FUNDS   
(Cost $20,733,854,126)  25,853,360,657 
Other - 0.0%   
Commodity Funds - Broad Basket - 0.0%   
Fidelity SAI Inflation-Focused Fund (g)   
(Cost $6,694,501) 851,569 8,464,593 
Money Market Funds - 0.9%   
Fidelity Cash Central Fund 0.09% (h) 206,020,650 206,061,854 
Fidelity Securities Lending Cash Central Fund 0.09% (h)(i) 198,745,630 198,765,504 
TOTAL MONEY MARKET FUNDS   
(Cost $404,823,596)  404,827,358 
TOTAL INVESTMENT IN SECURITIES - 100.4%   
(Cost $36,735,845,811)  45,757,962,171 
NET OTHER ASSETS (LIABILITIES) - (0.4)%  (193,810,596) 
NET ASSETS - 100%  $45,564,151,575 

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 $17,245,731 or 0.0% of net assets.

 (e) Restricted securities (including private placements) - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $11,226,000 or 0.0% of net assets.

 (f) Affiliated company

 (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 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 
Vertiv Holdings LLC 2/6/20 $6,000,000 

Affiliated Central Funds

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

Fund Income earned 
Fidelity Cash Central Fund $163,210 
Fidelity Securities Lending Cash Central Fund 1,397,275 
Total $1,560,485 

Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations, if applicable. Amount for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.

Affiliated Underlying Funds

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

Affili-
ate 		Value, beginning of period Purchases Sales Proceeds Dividend Income Realized Gain (loss) Change in Unrealized appreciation (depreciation) Value, end of period 
Fidelity Contra-
fund 		$2,344,964,212 $-- $243,690,170 $-- $58,353,191 $451,985,656 $2,611,612,889 
Fidelity Gro-
wth Co-
mpa-
ny Fund 		3,188,414,591 99,999,999 78,000,000 -- 11,514,890 1,297,551,375 4,519,480,855 
Fidelity Lar-
ge Cap Value En-
han-
ced Index Fund 		1,962,505,180 150,000,001 -- -- -- 368,808,414 2,481,313,595 
Fidelity Ma-
gellan Fund 		1,734,440,075 -- 61,999,999 -- 6,267,862 321,157,959 1,999,865,897 
Fidelity SAI Infla-
tion-Foc-
used Fund 		7,015,345 194,502 -- 194,501 -- 1,254,746 8,464,593 
Fidelity SAI U.S. Lar-
ge Cap Index Fund 		2,085,384,411 4,360,394,341 3,090,863,772 14,104,623 309,851,010 166,568,790 3,831,334,780 
Fidelity SAI U.S. Low Volatil-
ity Index Fund 		615,258,296 282,150,540 -- -- -- 89,906,152 987,314,988 
Fidelity SAI U.S. Momen-
tum Index Fund 		654,081,230 326,737,347 120,000,000 76,737,347 (5,963,340) 105,206,554 960,061,791 
Fidelity SAI U.S. Qua-
lity Index Fund 		3,701,607,976 664,979,599 -- 254,979,605 -- 378,914,909 4,745,502,484 
Fidelity SAI U.S. Value Index Fund 1,201,926,152 195,258,986 -- 20,258,986 -- 162,966,059 1,560,151,197 
Fidelity Sm-
all Cap Dis-
cov-
ery Fund 		183,429,936 59,999,999 -- -- -- 59,450,668 302,880,603 
Fidelity Sm-
all Cap Gro-
wth Fund 		173,905,565 74,044,088 -- 14,044,089 -- 51,382,278 299,331,931 
Makus, Inc.  1,881,048 2,455,713 -- -- -- 1,248,394 5,585,155 
Fidelity Sm-
all Cap Index Fund 		962,441,329 242,231,906 -- 2,231,906 -- 349,836,412 1,554,509,647 
 18,817,255,346  6,458,447,021  3,594,553,941 382,551,057 380,023,613 3,806,238,366  25,867,410,405 

Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations, if applicable.

Investment Valuation

The following is a summary of the inputs used, as of November 30, 2020, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.

 Valuation Inputs at Reporting Date: 
Description Total Level 1 Level 2 Level 3 
Investments in Securities:     
Equities:     
Communication Services $1,735,093,615 $1,669,480,621 $65,612,994 $-- 
Consumer Discretionary 1,989,245,496 1,929,628,222 59,385,262 232,012 
Consumer Staples 1,184,242,395 1,146,361,579 37,880,816 -- 
Energy 691,499,237 644,176,763 47,257,006 65,468 
Financials 2,795,126,517 2,725,249,105 69,877,412 -- 
Health Care 3,040,328,086 2,809,749,839 230,578,247 -- 
Industrials 2,332,915,440 2,099,841,508 233,073,932 -- 
Information Technology 3,794,487,339 3,694,283,592 100,203,747 -- 
Materials 630,573,398 613,948,499 16,624,899 -- 
Real Estate 530,369,370 529,910,340 459,030 -- 
Utilities 767,428,670 762,089,196 5,339,474 -- 
Equity Funds 25,853,360,657 25,853,360,657 -- -- 
Other 8,464,593 8,464,593 -- -- 
Money Market Funds 404,827,358 404,827,358 -- -- 
Total Investments in Securities: $45,757,962,171 $44,891,371,872 $866,292,819 $297,480 

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


Financial Statements

Statement of Assets and Liabilities

  November 30, 2020 (Unaudited) 
Assets   
Investment in securities, at value (including securities loaned of $191,313,151) — See accompanying schedule:
Unaffiliated issuers (cost $15,585,327,005) 		$19,485,724,408  
Fidelity Central Funds (cost $404,823,596) 404,827,358  
Other affiliated issuers (cost $20,745,695,210) 25,867,410,405  
Total Investment in Securities (cost $36,735,845,811)  $45,757,962,171 
Cash  757,779 
Foreign currency held at value (cost $742,969)  743,444 
Receivable for investments sold  85,143,403 
Receivable for fund shares sold  66,305,187 
Dividends receivable  29,553,032 
Distributions receivable from Fidelity Central Funds  80,192 
Prepaid expenses  35,324 
Other receivables  137,002 
Total assets  45,940,717,534 
Liabilities   
Payable for investments purchased $158,994,758  
Payable for fund shares redeemed 13,356,889  
Accrued management fee 4,495,353  
Other payables and accrued expenses 957,083  
Collateral on securities loaned 198,761,876  
Total liabilities  376,565,959 
Net Assets  $45,564,151,575 
Net Assets consist of:   
Paid in capital  $35,553,136,747 
Total accumulated earnings (loss)  10,011,014,828 
Net Assets  $45,564,151,575 
Net Asset Value, offering price and redemption price per share ($45,564,151,575 ÷ 3,517,313,275 shares)  $12.95 

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


Statement of Operations

  Six months ended November 30, 2020 (Unaudited) 
Investment Income   
Dividends:   
Unaffiliated issuers  $149,074,210 
Affiliated issuers  94,372,340 
Income from Fidelity Central Funds (including $1,397,275 from security lending)  1,560,485 
Total income  245,007,035 
Expenses   
Management fee $73,090,619  
Custodian fees and expenses 150,122  
Independent trustees' fees and expenses 189,004  
Registration fees 1,101,496  
Audit 43,396  
Legal 62,911  
Miscellaneous 153,707  
Total expenses before reductions 74,791,255  
Expense reductions (49,567,601)  
Total expenses after reductions  25,223,654 
Net investment income (loss)  219,783,381 
Realized and Unrealized Gain (Loss)   
Net realized gain (loss) on:   
Investment securities:   
Unaffiliated issuers 302,766,232  
Fidelity Central Funds (493)  
Other affiliated issuers 380,023,613  
Foreign currency transactions (75,599)  
Written options 243,257  
Capital gain distributions from underlying funds:   
Affiliated issuers 288,178,717  
Total net realized gain (loss)  971,135,727 
Change in net unrealized appreciation (depreciation) on:   
Investment securities:   
Unaffiliated issuers (net of increase in deferred foreign taxes of $374,352) 3,049,645,234  
Affiliated issuers 3,806,238,366  
Assets and liabilities in foreign currencies 119,044  
Written options 178,456  
Total change in net unrealized appreciation (depreciation)  6,856,181,100 
Net gain (loss)  7,827,316,827 
Net increase (decrease) in net assets resulting from operations  $8,047,100,208 

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


Statement of Changes in Net Assets

 Six months ended November 30, 2020 (Unaudited) Year ended May 31, 2020 
Increase (Decrease) in Net Assets   
Operations   
Net investment income (loss) $219,783,381 $592,082,136 
Net realized gain (loss) 971,135,727 46,009,684 
Change in net unrealized appreciation (depreciation) 6,856,181,100 2,317,613,529 
Net increase (decrease) in net assets resulting from operations 8,047,100,208 2,955,705,349 
Distributions to shareholders – (835,651,420) 
Share transactions   
Proceeds from sales of shares 8,703,929,356 15,476,810,855 
Reinvestment of distributions – 788,436,934 
Cost of shares redeemed (4,616,871,737) (7,367,011,490) 
Net increase (decrease) in net assets resulting from share transactions 4,087,057,619 8,898,236,299 
Total increase (decrease) in net assets 12,134,157,827 11,018,290,228 
Net Assets   
Beginning of period 33,429,993,748 22,411,703,520 
End of period $45,564,151,575 $33,429,993,748 
Other Information   
Shares   
Sold 745,841,823 1,518,664,437 
Issued in reinvestment of distributions – 71,866,316 
Redeemed (394,524,056) (730,138,079) 
Net increase (decrease) 351,317,767 860,392,674 

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


Financial Highlights

Strategic Advisers Fidelity U.S. Total Stock Fund

 Six months ended (Unaudited) November 30, Years endedMay 31,   
 2020 2020 2019 2018 A 
Selected Per–Share Data     
Net asset value, beginning of period $10.56 $9.72 $9.96 $10.00 
Income from Investment Operations     
Net investment income (loss)B .07 .22 .18 .01 
Net realized and unrealized gain (loss) 2.32 .94 (.20) (.05) 
Total from investment operations 2.39 1.16 (.02) (.04) 
Distributions from net investment income – (.17) (.09)C – 
Distributions from net realized gain – (.16) (.13)C – 
Total distributions – (.32)D (.22) – 
Net asset value, end of period $12.95 $10.56 $9.72 $9.96 
Total ReturnE,F 22.63% 11.84% (.04)% (.40)% 
Ratios to Average Net AssetsG,H     
Expenses before reductions .38%I .39% .42% .54%I 
Expenses net of fee waivers, if any .13%I .14% .17% .29%I,J 
Expenses net of all reductions .13%I .14% .17% .29%I,J 
Net investment income (loss) 1.13%I 2.14% 1.81% .55%I 
Supplemental Data     
Net assets, end of period (000 omitted) $45,564,152 $33,429,994 $22,411,704 $16,637,411 
Portfolio turnover rateK 43%I 52% 61% 126%L,M 

 A For the period March 20, 2018 (commencement of operations) to May 31, 2018.

 B Calculated based on average shares outstanding during the period.

 C The amounts shown reflect certain reclassifications related to book to tax differences that were made in the year shown.

 D Total distributions 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 advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.

 I Annualized

 J Audit fees are not annualized.

 K Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).

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

 M Amount not annualized.

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


Notes to Financial Statements (Unaudited)

For the period ended November 30, 2020

1. Organization.

Strategic Advisers Fidelity U.S. Total Stock Fund (the Fund) is a fund of Fidelity Rutland Square Trust II (the Trust), and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust. The Fund is offered exclusively to certain clients of Strategic Advisers LLC (Strategic Advisers), an affiliate of Fidelity Management & Research Company LLC (FMR).

2. Significant Accounting Policies.

The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services – 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 following summarizes the significant accounting policies of the Fund:

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

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

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

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

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

Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of November 30, 2020 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. 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.

Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan) 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 $16,516 

Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests. The Fund is subject to a tax imposed on capital gains by certain countries in which it invests. An estimated deferred tax liability for net unrealized appreciation on the applicable securities is included in Other payables and accrued expenses on the Statement of Assets & Liabilities.

Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.

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

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

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

Gross unrealized appreciation $9,660,712,409 
Gross unrealized depreciation (820,078,919) 
Net unrealized appreciation (depreciation) $8,840,633,490 
Tax cost $36,917,328,681 

The Fund elected to defer to its next fiscal year approximately $102,700,382 of capital losses recognized during the period November 1, 2019 to May 31, 2020.

Restricted Securities (including Private Placements). The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.

3. Derivative Instruments.

Risk Exposures and the Use of Derivative Instruments. The Fund's investment objective allows the Fund to enter into various types of derivative contracts, including options. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.

The Fund used derivatives to increase returns and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.

The Fund's use of derivatives increased or decreased its exposure to the following risk:

Equity Risk Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment.
 

The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund.

Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.

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

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

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

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

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

4. Purchases and Sales of Investments.

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

 Purchases ($) Sales ($) 
Strategic Advisers Fidelity U.S. Total Stock Fund 12,968,743,937 8,323,601,183 

5. Fees and Other Transactions with Affiliates.

Management Fee. Strategic Advisers (the investment adviser) provides the Fund with investment management related services. For these services, the Fund pays a monthly management fee to the investment adviser. The management fee is calculated by adding the annual management fee rate of .25% of the Fund's average net assets throughout the month payable to the investment adviser to the aggregate of the fee rates, payable monthly, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed 1.00% of the Fund's average net assets. For the reporting period, the total annualized management fee rate was .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) served as a sub-adviser for the Fund during the period. Sub-advisers provide discretionary investment advisory services for their allocated portion of the Fund's assets and are paid by the investment adviser and not the Fund for providing these services.

FIL Investment Advisors and Geode Capital Management, LLC (Geode) 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.

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 $138,142 

Interfund Trades. Funds may purchase from or sell securities to other funds affiliated with each sub-adviser under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.

6. Investments in Fidelity Central Funds.

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

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

A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds are available on the SEC website or upon request.

7. Committed Line of Credit.

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

 Amount 
Strategic Advisers Fidelity U.S. Total Stock Fund $38,941 

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

8. Security Lending.

Funds lend portfolio securities through a lending agent from time to time in order to earn additional income. 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.

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, 2023. During the period, this waiver reduced the Fund's management fee by $ 48,925,019.

Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of the Fund include an amount in addition to trade execution, which may be rebated back to the Fund to offset certain expenses. This amount totaled $639,993 for the period.

In addition, through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses by $2,589.

10. Other.

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

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

Fund % of shares held 
Fidelity Small Cap Index Fund 11% 
Fidelity SAI Inflation-Focused Fund 24% 
Fidelity SAI U.S. Large Cap Index Fund 22% 
Fidelity SAI U.S. Low Volatility Index Fund 17% 
Fidelity SAI U.S. Momentum Index Fund 47% 
Fidelity SAI U.S. Quality Index Fund 61% 
Fidelity SAI U.S. Value Index Fund 67% 

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.

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 (June 1, 2020 to November 30, 2020).

Actual Expenses

The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line 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.

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.

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

 Annualized Expense Ratio-A Beginning
Account Value
June 1, 2020 		Ending
Account Value
November 30, 2020 		Expenses Paid
During Period-B
June 1, 2020
to November 30, 2020 
Strategic Advisers Fidelity U.S. Total Stock Fund .13%    
Actual  $1,000.00 $1,226.30 $.73 
Hypothetical-C  $1,000.00 $1,024.42 $.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 183/ 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

Board Approval of Investment Advisory Contracts and Management Fees

Strategic Advisers Fidelity U.S. Total Stock Fund

Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes at a meeting on the renewal of the management contract with Strategic Advisers LLC (Strategic Advisers) and the sub-advisory agreements with FIAM LLC and Geode Capital Management, LLC (each a Sub-Adviser and collectively, the Sub-Advisers) (collectively, the Sub-Advisory Agreements), and the sub-sub-advisory agreements with FMR Investment Management (UK) Limited, Fidelity Management & Research (Japan) Limited, and Fidelity Management & Research (Hong Kong) Limited (the Sub-Sub-Advisory Agreements and, together with the management contract and the Sub-Advisory Agreements, the Advisory Contracts) for the fund. Strategic Advisers and the Sub-Advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.

The Board meets at least four times per year and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The full Board or the Independent Trustees, as appropriate, act on all major matters; however, a portion of the activities of the Board (including certain of those described herein) may be conducted through standing committees that have been established by the Board. The Board, acting directly and through its committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts.

At its September 2020 meeting, the Board, including the Independent Trustees, unanimously determined to renew the fund's Advisory Contracts. In reaching its determination to renew the fund's Advisory Contracts, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness of the fund's management fee and total expenses relative to peer funds; (iii) the total costs of the services provided by and the profits, if any, realized by Strategic Advisers from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and are realized as the fund grows and whether any economies of scale are appropriately shared with fund shareholders.

In considering whether to renew the Advisory Contracts for the fund, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts is in the best interests of the fund and its shareholders. In addition, with respect to the Sub-Advisory Agreements, the Board also concluded that the renewal of such agreements does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees charged under the Advisory Contracts bear a reasonable relationship to the services rendered and are based on services provided that are in addition to, rather than duplicative of, services provided under the advisory contract of any underlying fund in which the fund may invest. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board throughout the year.

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

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

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

Resources Dedicated to Investment Management and Support Services.  The Board reviewed the general qualifications and capabilities of the Investment Advisers' investment staffs, their use of technology, and the Investment Advisers' approach to managing and compensating investment personnel. The Board noted that the Investment Advisers' analysts have extensive resources, tools, and capabilities that allow them to conduct sophisticated quantitative and/or fundamental analysis. Additionally, in its deliberations, the Board considered the Investment Advisers' trading capabilities and resources and global compliance infrastructure, which are integral parts of the investment management process. The Board also considered the Investment Advisers' investments in business continuity planning, and their success in continuously providing services to the fund notwithstanding the severe disruptions caused by the COVID-19 pandemic.

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

Investment Performance.  The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions and its performance history.

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

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

The following chart considered by the Board shows, over the one-year period ended December 31, 2019, the cumulative total returns of the fund and the cumulative total returns of an appropriate benchmark index and peer group. The box within the chart shows the 25th percentile return (75% beaten, top of box) and the 75th percentile return (25% beaten, bottom of box) of the peer group. Returns shown above the box are in the first quartile and returns shown below the box are in the fourth quartile. The percentage beaten number noted below each chart corresponds to the percentile box and represents the percentage of funds in the peer group whose performance was equal to or lower than that of the fund.

Strategic Advisers Fidelity U.S. Total Stock Fund


The Board reviewed the fund's relative investment performance against its peer group and noted that the performance of the fund was in the second quartile for the one-year period ended December 31, 2019. The Board also noted that the fund had out-performed 53% of its peers for the one-year period ended December 31, 2019. The Board also noted that the investment performance of the fund was lower than its benchmark for the one-year period shown.

Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.

Competitiveness of Management Fee and Total Fund Expenses.  The Board considered the amount and nature of fees paid to the Investment Advisers. The Board also considered information comparing the management fees and total expenses of the fund to those of other registered investment companies with investment objectives similar to those of the fund, as discussed below. The Board also noted Strategic Advisers' proposal to extend the management fee waiver and considered the fund's contractual maximum aggregate annual management fee rate. In considering the fund's management fee and management fee waiver and comparisons to other registered investment companies with investment objectives similar to those of the fund, the Board noted that shares of the fund are offered only to clients that participate in the Fidelity Portfolio Advisory Service managed account program.

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

Management Fee.  The Board considered two proprietary management fee comparisons. The group of Lipper funds used by the Board for management fee comparisons is referred to as the "Total Mapped Group." The Total Mapped Group comparison focuses on a fund's standing in terms of gross management fees before expense reimbursements or caps relative to the total universe of funds with comparable investment mandates, regardless of whether their management fee structures also are comparable. Funds with comparable investment mandates offer exposure to similar types of securities. Funds with comparable management fee structures have similar management fee contractual arrangements (e.g., flat rate charged for advisory services, all-inclusive fee rate, etc.). "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a hypothetical TMG % of 20% would mean that 80% of the funds in the Total Mapped Group had higher, and 20% had lower, management fees than the fund. The fund's actual TMG %s and the number of funds in the Total Mapped Group are in the chart below. The Board also compared the fund's management fee to an "Asset-Size Peer Group" (ASPG), which is a sub-set of the competitive funds in the Total Mapped Group. The ASPG comparison focuses on a fund's standing relative to non-Fidelity funds within the Total Mapped Group that are similar in size and management fee structure. For example, if a fund is in the first quartile of the ASPG, the fund's management fee ranks in the least expensive or lowest 25% of funds in the ASPG. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee structures, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee rate ranked, is also included in the chart and was considered by the Board.

Strategic Advisers Fidelity U.S. Total Stock Fund


The Board noted that the fund's management fee rate ranked below the median of its Total Mapped Group and below the median of its ASPG for the 12-month period ended December 31, 2019.

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

Total Expenses.  In its review of the fund's total expenses, the Board considered the fund's management fee rate as well as other fund expenses, as applicable, such as expenses from holding Fidelity and non-Fidelity mutual funds and ETFs, pricing and bookkeeping fees, and custodial, legal, and audit fees. The Board also noted the effects of any waivers and reimbursements on fees and expenses. The Board further noted that the fund's total expenses were compared to classes of competitive funds having similar load types. This comparison, which is a proxy for comparing funds by distribution channel, showed the fund's position relative to competitive funds with the same load type. The Board noted that the fund's total expenses were below the median of the fund's Total Mapped Group for the 12-month period ended December 31, 2019.

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

Based on its review of the total expense ratios and fees charged to other clients of Strategic Advisers or its affiliates and each Sub-Adviser, the Board concluded that the total expenses of the fund were reasonable in light of the services that the fund and its shareholders receive and the other factors considered.

Costs of the Services and Profitability.  The Board considered information regarding the revenues earned and the expenses incurred by Strategic Advisers and its affiliates in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and servicing the fund's shareholders.

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

A public accounting firm has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. The engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's mutual fund business, and completion of agreed-upon procedures in respect of the mathematical accuracy of certain fund profitability information and its conformity to established allocation methodologies. After considering the reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.

The Board also reviewed Fidelity's non-fund businesses and potential indirect benefits such businesses may have received as a result of their association with Fidelity's mutual fund business (i.e., fall-out benefits) as well as cases where Fidelity's affiliates may benefit from the fund's business. The Board noted that changes to fall-out benefits year-over-year reflect business developments at Fidelity's various businesses.

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

The Board also considered information regarding the profitability of the Sub-Advisers' respective relationships with the fund and the potential fall-out benefits, if any, that may accrue to the Sub-Advisers as a result of their respective relationships with the fund. The Board considered profitability information provided by the Sub-Advisers in light of the nature of the relationships between Strategic Advisers and the Sub-Advisers with respect to the negotiation of sub-advisory fees.

Possible Economies of Scale.  The Board considered whether there have been economies of scale in respect of the management of the Strategic Advisers funds, whether the Strategic Advisers funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale as assets grow through increased services to the fund, through waivers or reimbursements, or through fee or expense ratio reductions. The Board considered thatcertain of the fund's Sub-Advisory Agreements provide for breakpoints as the fund's assets grow and noted that any potential decline in sub-advisory fees under such contracts would accrue directly to the fund.The Board also took Strategic Advisers' management fee waiver into consideration.

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

Board Approval of New Sub-Advisory Agreements and New and Amended Sub-Subadvisory Agreements

Strategic Advisers Fidelity U.S. Total Stock Fund

In June 2020, the Board of Trustees, including the Independent Trustees (together, the Board) voted to approve: (i) a new sub-advisory agreement among Strategic Advisers LLC (Strategic Advisers), FIL Investment Advisors (FIA), and Fidelity Rutland Square Trust II (Trust) on behalf of the fund (FIA Sub-Advisory Agreement); (ii) a new sub-subadvisory agreement among FIA, FIL Investment Advisors (UK) Limited (FIA UK), and the Trust on behalf of the fund (New Sub-Subadvisory Agreement and together with the FIA Sub-Advisory Agreement, New Agreements); and (iii) non-material amendments (Sub-Subadvisory Amendments) to the sub-subadvisory agreements (Existing Sub-Subadvisory Agreements) among FIAM LLC (FIAM), each of FMR Investment Management (UK) Limited (FMR UK), Fidelity Management & Research (Japan) Limited (FMR Japan), and Fidelity Management & Research (Hong Kong) Limited (FMR H.K., and together with FMR UK and FMR Japan, Existing Sub-Subadvisers), and the Trust on behalf of the fund to clarify the compensation that FIAM pays the Existing Sub-Subadvisers for providing non-discretionary services. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, considered a broad range of information.

In considering whether to approve each New Agreement and the Sub-Subadvisory Amendments, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the approval of each New Agreement and the Sub-Subadvisory Amendments 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 FIA 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 each New Agreement and the Sub-Subadvisory Amendments 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 New Sub-Subadvisory 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 FIA, 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, sub-advisory agreements, and sub-subadvisory agreements at its September 2019 meeting. The Board noted its familiarity with the nature, extent and quality of services provided by FIA and FIA UK to other Strategic Advisers funds. The Board also considered the detailed information provided by Strategic Advisers and FIA in the June 2020 annual contract renewal materials.

With respect to the Existing Sub-Subadvisory Agreements, the Board noted that it had approved the annual renewal of the Existing Sub-Subadvisory Agreements at its September 2019 meeting and that no material contract terms are impacted by the Sub-Subadvisory Amendments. The Board considered that the Sub-Subadvisory Amendments will not change (i) the nature, extent and quality of the sub-advisory or sub-subadvisory services provided; (ii) the investment process or strategies employed in the management of the fund's assets; or (iii) the day-to-day management of the fund or the persons primarily responsible for such management. The Board also considered that FIAM, and not the fund, compensates the Existing Sub-Subadvisers under the terms of the Existing Sub-Subadvisory Agreements and that the fund and Strategic Advisers are not responsible for any such fees or expenses.

Resources Dedicated to Investment Management and Support Services.  The Board reviewed the general qualifications and capabilities of FIA's investment staffs, their use of technology, and their approach to managing and compensating investment personnel. The Board noted that FIA'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 FIA's trading capabilities and resources and global compliance infrastructure, which are integral parts of the investment management process.

Shareholder and Administrative Services.  The Board considered: (i) the nature, extent, quality, and cost of advisory services to be performed by FIA under the FIA Sub-Advisory Agreement; and (ii) the resources to be devoted to the fund's compliance policies and procedures.

Investment Performance.  The Board considered the composite performance of FIA and the portfolio managers in managing an open-end mutual fund trust established under the laws of Ontario under a similar mandate.

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

Competitiveness of Management Fee and Total Fund Expenses.  In reviewing the FIA 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 FIA. The Board also considered that the approval of the FIA Sub-Advisory Agreement will not initially result in any changes to the fund's management fee or total net expenses because Strategic Advisers does not expect to allocate assets to FIA at this time.

With respect to the New Sub-Subadvisory Agreement, the Board considered that FIA, and not the fund, will compensate FIA UK under the terms of the New Sub-Subadvisory Agreement and that the fund and Strategic Advisers are not responsible for any such fees or expenses. The Board also considered that the New Sub-Subadvisory Agreement will not result in any changes to the fees paid under the sub-advisory agreement among Strategic Advisers, FIA, and the Trust on behalf of the fund.

In reviewing the Sub-Subadvisory Amendments, the Board considered that FIAM, and not the fund, compensates the Existing Sub-Subadvisers under the terms of the Existing Sub-Subadvisory Agreements and that the fund and Strategic Advisers are not responsible for any such fees or expenses. The Board also considered that the Sub-Subadvisory Amendments will not result in changes to the fees paid under the sub-advisory agreement among Strategic Advisers, FIAM, and the Trust on behalf of the fund.

The Board noted that the fund's maximum aggregate annual management fee rate may not exceed 1.00% of the fund's average daily net assets and that neither the New Agreements nor the Sub-Subadvisory Amendments will result in changes to the maximum aggregate annual management fee payable by the fund or in Strategic Advisers' contractual agreement to waive its 0.25% portion of the fund's management fee through September 30, 2022.

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 New Agreements and Sub-Subadvisory Amendments were 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 Agreements and the Sub-Subadvisory Amendments.

Potential Fall-Out Benefits.  The Board considered that it reviews information regarding the potential of direct and indirect benefits to Strategic Advisers and its affiliates from their relationships with the fund, including non-advisory fee compensation paid to affiliates of Strategic Advisers, if any, as well as information regarding potential fall-out benefits accruing to each sub-adviser, if any, as a result of its relationship with the fund, during its annual renewal of the fund's management contract, sub-advisory agreements, and sub-subadvisory agreements. The Board considered Strategic Advisers' representation that it does not anticipate that the approval of the New Agreements and/or the Sub-Subadvisory Amendments 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 FIA Sub-Advisory Agreement provides for breakpoints that have the potential to reduce sub-advisory fees paid to FIA as assets allocated to FIA 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 New Sub-Subadvisory Agreement or the Sub-Subadvisory Amendments because the fund will not bear any additional management fees or expenses under the New Sub-Subadvisory Agreement or as a result of the Sub-Subadvisory Amendments.

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 FIA Sub-Advisory Agreement's fee structure bears a reasonable relationship to the services to be rendered and that the New Agreements and the Sub-Subadvisory Amendments are 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 FIA 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 New Agreements and the Sub-Subadvisory Amendments does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.

Proxy Voting Results

A special meeting of shareholders was held on November 2, 2020. The results of votes taken among shareholders on the proposals before them are reported below. Each vote reported represents one dollar of net asset value held on the record date for the meeting.

PROPOSAL 1

To elect a Board of Trustees.

 # of
Votes 		% of
Votes 
ROBERT A. LAWRENCE 
Affirmative 204,250,982,594.51 96.530 
Withheld 7,343,512,146.85 3.470 
TOTAL 211,594,494,741.36 100.000 
CHARLES S. MORRISON 
Affirmative 204,349,460,488.43 96.576 
Withheld 7,245,034,252.93 3.424 
TOTAL 211,594,494,741.36 100.000 
PETER C. ALDRICH 
Affirmative 203,499,803,652.67 96.175 
Withheld 8,094,691,088.69 3.825 
TOTAL 211,594,494,741.36 100.000 
MARY C. FARRELL 
Affirmative 204,011,925,737.22 96.417 
Withheld 7,582,569,004.14 3.583 
TOTAL 211,594,494,741.36 100.00 
KAREN KAPLAN 
Affirmative 204,297,547,550.53 96.552 
Withheld 7,296,947,190.83 3.448 
TOTAL 211,594,494,741.36 100.000 
CHRISTINE MARCKS 
Affirmative 204,700,871,317.72 96.743 
Withheld 6,893,623,423.64 3.257 
TOTAL 211,594,494,741.36 100.000 
HEIDI L. STEIGER 
Affirmative 204,406,589,957.28 96.603 
Withheld 7,187,904,784.08 3.397 
TOTAL 211,594,494,741.36 100.000 

PROPOSAL 3

To approve a sub-advisory agreement among Strategic Advisers LLC (Strategic Advisers), FIL Investment Advisors (FIA), and Fidelity Rutland Square Trust II (the trust) and a sub-subadvisory agreement between FIA and FIL Investment Advisors (UK) Limited (FIA (UK)).

 # of
Votes 		% of
Votes 
Affirmative 34,447,794,812.20 90.254 
Against 1,646,630,202.93 4.314 
Abstain 2,073,399,277.79 5.432 
Broker Non-Vote 0.00 0.000 
TOTAL 38,167,824,292.92 100.000 
Proposal 1 reflects trust wide proposal and voting results. 





Fidelity Investments

TSF-SANN-0121
1.9887484.102

Strategic Advisers® Fidelity® Core Income Fund

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



Semi-Annual Report

November 30, 2020

Fidelity Investments



Fidelity Investments

Contents

Note to Shareholders

Investment Summary

Schedule of Investments

Financial Statements

Notes to Financial Statements

Shareholder Expense Example

Board Approval of Investment Advisory Contracts and Management Fees

Proxy Voting Results


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. © 2021 FMR LLC. All rights reserved.



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

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

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

NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE

Neither the Fund nor Fidelity Distributors Corporation is a bank.



Note to Shareholders:

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

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

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

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

Investment Summary (Unaudited)

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

Top Ten Holdings as of November 30, 2020

(by issuer, excluding cash equivalents) % of fund's net assets 
Fidelity SAI Total Bond Fund 35.5 
U.S. Treasury Obligations 6.8 
Fannie Mae 5.9 
Ginnie Mae 5.1 
Fidelity SAI Long-Term Treasury Bond Index Fund 3.6 
Freddie Mac 3.3 
Fidelity Corporate Bond Fund 2.3 
Uniform Mortgage Backed Securities 2.3 
Fidelity SAI U.S. Treasury Bond Index Fund 2.1 
Fidelity U.S. Bond Index Fund 2.0 

Asset Allocation (% of fund's net assets)

As of November 30, 2020 
   Corporate Bonds 14.9% 
   U.S. Government and U.S. Government Agency Obligations 25.0% 
   Asset-Backed Securities 2.6% 
   CMOs and Other Mortgage Related Securities 3.5% 
   Municipal Securities 0.2% 
   Bank Loan Funds 2.0% 
   High Yield Fixed-Income Funds 3.5% 
   Intermediate-Term Bond Funds 37.7% 
   Investment Grade Fixed-Income Funds 2.3% 
   Long Government Bond Funds 3.6% 
   Sector Funds 0.5% 
   Other Investments 0.2% 
   Short-Term Investments and Net Other Assets (Liabilities) 1.9% 
   Intermediate Government Funds 2.1% 


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

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

Schedule of Investments November 30, 2020 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 14.9%   
 Principal Amount Value 
COMMUNICATION SERVICES - 1.8%   
Diversified Telecommunication Services - 0.6%   
AT&T, Inc.:   
4.1% 2/15/28 $2,406,000 $2,830,006 
4.3% 2/15/30 3,992,000 4,766,271 
4.5% 3/9/48 33,904,000 41,317,296 
4.75% 5/15/46 41,310,000 50,781,466 
4.9% 6/15/42 6,909,000 8,642,290 
5.55% 8/15/41 12,537,000 16,559,277 
6.2% 3/15/40 2,303,000 3,210,170 
C&W Senior Financing Designated Activity Co.:   
6.875% 9/15/27 (a) 1,246,000 1,343,661 
7.5% 10/15/26 (a) 1,565,000 1,664,769 
Century Telephone Enterprises, Inc. 6.875% 1/15/28 40,000 45,900 
CenturyLink, Inc.:   
5.125% 12/15/26 (a) 2,190,000 2,277,250 
5.625% 4/1/25 415,000 445,088 
Frontier Communications Corp. 5.875% 10/15/27 (a) 235,000 247,044 
Level 3 Financing, Inc.:   
3.625% 1/15/29 (a) 85,000 85,105 
4.25% 7/1/28 (a) 2,240,000 2,312,800 
5.25% 3/15/26 1,028,000 1,062,757 
Sable International Finance Ltd. 5.75% 9/7/27 (a) 2,595,000 2,786,381 
SFR Group SA:   
5.125% 1/15/29 (a) 720,000 744,293 
7.375% 5/1/26 (a) 1,245,000 1,307,250 
8.125% 2/1/27 (a) 325,000 358,313 
Sprint Capital Corp.:   
6.875% 11/15/28 1,850,000 2,402,595 
8.75% 3/15/32 935,000 1,435,814 
Telecom Italia Capital SA 6% 9/30/34 286,000 338,329 
Telenet Finance Luxembourg Notes SARL 5.5% 3/1/28 (a) 800,000 856,400 
Verizon Communications, Inc.:   
2.987% 10/30/56 (a) 1,378,000 1,457,505 
3.15% 3/22/30 3,550,000 3,990,370 
4.329% 9/21/28 10,293,000 12,486,610 
5.012% 4/15/49 129,000 182,648 
Virgin Media Finance PLC 5% 7/15/30 (a) 636,000 667,800 
  166,605,458 
Entertainment - 0.1%   
NBCUniversal, Inc. 5.95% 4/1/41 1,429,000 2,192,641 
Netflix, Inc.:   
4.375% 11/15/26 395,000 437,956 
4.875% 4/15/28 345,000 395,025 
4.875% 6/15/30 (a) 175,000 202,344 
5.375% 11/15/29 (a) 285,000 340,304 
5.875% 11/15/28 1,515,000 1,829,635 
6.375% 5/15/29 135,000 169,397 
The Walt Disney Co.:   
2.2% 1/13/28 10,316,000 10,954,246 
2.65% 1/13/31 13,000,000 14,144,778 
  30,666,326 
Media - 0.9%   
Altice Financing SA:   
5% 1/15/28 (a) 225,000 229,808 
7.5% 5/15/26 (a) 819,000 864,045 
Altice France Holding SA 6% 2/15/28 (a) 250,000 253,738 
CCO Holdings LLC/CCO Holdings Capital Corp.:   
4.25% 2/1/31 (a) 2,265,000 2,349,711 
4.5% 8/15/30 (a) 435,000 458,381 
4.5% 5/1/32 (a) 875,000 924,788 
5% 2/1/28 (a) 2,401,000 2,524,051 
5.5% 5/1/26 (a) 528,000 549,912 
5.75% 2/15/26 (a) 438,000 454,035 
5.875% 5/1/27 (a) 697,000 727,842 
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.:   
2.8% 4/1/31 25,100,000 26,538,612 
3.7% 4/1/51 20,100,000 21,042,400 
4.464% 7/23/22 5,986,000 6,326,962 
4.8% 3/1/50 10,000,000 11,985,821 
4.908% 7/23/25 4,642,000 5,373,255 
5.375% 5/1/47 41,310,000 52,373,317 
5.75% 4/1/48 18,275,000 24,201,629 
Comcast Corp.:   
3.4% 4/1/30 2,848,000 3,290,205 
3.75% 4/1/40 1,000,000 1,213,405 
3.9% 3/1/38 1,096,000 1,348,198 
4.65% 7/15/42 2,578,000 3,487,272 
CSC Holdings LLC:   
4.125% 12/1/30 (a) 510,000 527,748 
4.625% 12/1/30 (a) 410,000 419,717 
5.5% 5/15/26 (a) 503,000 523,120 
5.5% 4/15/27 (a) 564,000 595,302 
5.75% 1/15/30 (a) 875,000 944,116 
Diamond Sports Group LLC/Diamond Sports Finance Co. 5.375% 8/15/26 (a) 460,000 356,500 
Discovery Communications LLC:   
3.625% 5/15/30 6,407,000 7,302,916 
4.65% 5/15/50 17,335,000 21,273,297 
DISH DBS Corp. 5.875% 11/15/24 638,000 678,535 
Fox Corp.:   
4.709% 1/25/29 2,296,000 2,776,019 
5.476% 1/25/39 2,264,000 3,148,296 
5.576% 1/25/49 1,502,000 2,194,659 
Gray Television, Inc. 4.75% 10/15/30 (a) 245,000 248,369 
Radiate Holdco LLC/Radiate Financial Service Ltd. 4.5% 9/15/26 (a) 650,000 676,000 
Sirius XM Radio, Inc.:   
4.125% 7/1/30 (a) 155,000 162,401 
4.625% 7/15/24 (a) 337,000 349,028 
5% 8/1/27 (a) 375,000 394,583 
5.375% 7/15/26 (a) 2,275,000 2,366,000 
5.5% 7/1/29 (a) 1,890,000 2,069,550 
Tegna, Inc. 5% 9/15/29 55,000 57,853 
Time Warner Cable, Inc.:   
4% 9/1/21 12,819,000 13,027,032 
4.5% 9/15/42 886,000 1,020,854 
5.5% 9/1/41 1,530,000 1,946,351 
5.875% 11/15/40 3,289,000 4,257,357 
6.55% 5/1/37 5,846,000 8,058,342 
6.75% 6/15/39 4,614,000 6,556,733 
7.3% 7/1/38 3,785,000 5,552,559 
Virgin Media Secured Finance PLC:   
4.5% 8/15/30 (a) 585,000 614,250 
5.5% 8/15/26 (a) 709,000 741,706 
5.5% 5/15/29 (a) 415,000 450,275 
Ziggo Bond Co. BV 5.125% 2/28/30 (a) 540,000 572,400 
Ziggo BV:   
4.875% 1/15/30 (a) 280,000 294,700 
5.5% 1/15/27 (a) 3,220,000 3,368,764 
  260,042,719 
Wireless Telecommunication Services - 0.2%   
Intelsat Jackson Holdings SA 8% 2/15/24 (a) 1,020,000 1,042,950 
Millicom International Cellular SA:   
4.5% 4/27/31 (a) 200,000 215,368 
5.125% 1/15/28 (a) 1,200,000 1,282,560 
6.625% 10/15/26 (a) 1,253,000 1,357,939 
SoftBank Group Corp. 5.375% 7/30/22 (Reg. S) 543,000 563,363 
T-Mobile U.S.A., Inc.:   
3.75% 4/15/27 (a) 10,840,000 12,271,964 
3.875% 4/15/30 (a) 22,877,000 26,237,403 
4.375% 4/15/40 (a) 2,340,000 2,857,819 
4.5% 4/15/50 (a) 4,597,000 5,744,181 
  51,573,547 
TOTAL COMMUNICATION SERVICES  508,888,050 
CONSUMER DISCRETIONARY - 0.8%   
Automobiles - 0.3%   
General Motors Co. 5.4% 10/2/23 18,263,000 20,463,179 
General Motors Financial Co., Inc.:   
3.7% 5/9/23 8,751,000 9,270,960 
4.25% 5/15/23 1,359,000 1,463,888 
4.375% 9/25/21 5,310,000 5,461,860 
5.2% 3/20/23 11,203,000 12,287,432 
Volkswagen Group of America Finance LLC:   
2.9% 5/13/22 (a) 10,524,000 10,867,316 
3.125% 5/12/23 (a) 9,168,000 9,685,385 
3.35% 5/13/25 (a) 14,765,000 16,191,531 
  85,691,551 
Diversified Consumer Services - 0.0%   
GEMS MENASA Cayman Ltd. 7.125% 7/31/26 (a) 765,000 781,256 
Service Corp. International 5.125% 6/1/29 970,000 1,077,913 
  1,859,169 
Hotels, Restaurants & Leisure - 0.1%   
1011778 BC Unlimited Liability Co./New Red Finance, Inc.:   
4.25% 5/15/24 (a) 384,000 391,803 
4.375% 1/15/28 (a) 670,000 691,775 
5.75% 4/15/25 (a) 210,000 224,209 
Aramark Services, Inc.:   
4.75% 6/1/26 843,000 861,546 
5% 2/1/28 (a) 3,530,000 3,707,383 
6.375% 5/1/25 (a) 1,890,000 2,012,850 
Caesars Entertainment, Inc. 6.25% 7/1/25 (a) 905,000 965,173 
Caesars Resort Collection LLC 5.25% 10/15/25 (a) 836,000 836,000 
Carnival Corp. 10.5% 2/1/26 (a) 1,105,000 1,306,663 
Hilton Domestic Operating Co., Inc. 4% 5/1/31 (a) 510,000 536,138 
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp.:   
4.625% 4/1/25 836,000 855,328 
4.875% 4/1/27 164,000 170,952 
MCE Finance Ltd.:   
4.875% 6/6/25 (a) 750,000 766,087 
5.375% 12/4/29 (a) 260,000 266,081 
5.75% 7/21/28 (a) 390,000 409,695 
MGM Mirage, Inc. 5.75% 6/15/25 820,000 886,625 
Royal Caribbean Cruises Ltd.:   
9.125% 6/15/23 (a) 130,000 140,725 
11.5% 6/1/25 (a) 545,000 638,331 
Starbucks Corp. 1.3% 5/7/22 5,502,000 5,573,176 
Wyndham Hotels & Resorts, Inc. 5.375% 4/15/26 (a) 478,000 493,535 
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.:   
5.25% 5/15/27 (a) 522,000 527,220 
5.5% 3/1/25 (a) 645,000 657,900 
Wynn Macau Ltd.:   
4.875% 10/1/24 (a) 497,000 498,708 
5.5% 10/1/27 (a) 425,000 428,320 
Yum! Brands, Inc. 7.75% 4/1/25 (a) 805,000 891,538 
  24,737,761 
Household Durables - 0.2%   
Lennar Corp.:   
4.75% 11/29/27 9,429,000 11,185,151 
5% 6/15/27 12,243,000 14,494,488 
5.25% 6/1/26 2,965,000 3,506,113 
Newell Brands, Inc. 5.875% 4/1/36 65,000 78,000 
Toll Brothers Finance Corp.:   
4.35% 2/15/28 14,431,000 16,018,410 
4.875% 11/15/25 45,000 50,794 
4.875% 3/15/27 15,464,000 17,726,597 
5.625% 1/15/24 950,000 1,053,313 
  64,112,866 
Internet & Direct Marketing Retail - 0.0%   
Match Group Holdings II LLC 4.125% 8/1/30 (a) 170,000 175,950 
Leisure Products - 0.1%   
Hasbro, Inc.:   
2.6% 11/19/22 2,845,000 2,945,182 
3% 11/19/24 6,474,000 6,972,154 
Mattel, Inc.:   
5.45% 11/1/41 45,000 47,700 
6.2% 10/1/40 405,000 454,613 
6.75% 12/31/25 (a) 355,000 373,354 
  10,793,003 
Specialty Retail - 0.1%   
AutoNation, Inc. 4.75% 6/1/30 1,430,000 1,719,122 
AutoZone, Inc. 4% 4/15/30 19,121,000 22,502,877 
O'Reilly Automotive, Inc. 4.2% 4/1/30 2,105,000 2,525,490 
  26,747,489 
Textiles, Apparel & Luxury Goods - 0.0%   
NIKE, Inc. 3.25% 3/27/40 4,305,000 5,052,707 
The William Carter Co. 5.625% 3/15/27 (a) 446,000 469,973 
Wolverine World Wide, Inc. 6.375% 5/15/25 (a) 645,000 683,700 
  6,206,380 
TOTAL CONSUMER DISCRETIONARY  220,324,169 
CONSUMER STAPLES - 1.4%   
Beverages - 0.6%   
Anheuser-Busch InBev Finance, Inc.:   
4.7% 2/1/36 6,600,000 8,202,103 
4.9% 2/1/46 14,391,000 18,706,489 
Anheuser-Busch InBev Worldwide, Inc.:   
3.5% 6/1/30 10,375,000 11,984,849 
4.35% 6/1/40 6,274,000 7,774,532 
4.5% 6/1/50 11,500,000 14,401,727 
4.6% 6/1/60 18,803,000 24,020,307 
4.75% 1/23/29 11,220,000 13,767,111 
4.75% 4/15/58 5,641,000 7,440,311 
5.45% 1/23/39 5,480,000 7,464,759 
5.55% 1/23/49 13,389,000 19,219,227 
5.8% 1/23/59 (Reg. S) 14,304,000 21,828,838 
Constellation Brands, Inc. 4.75% 11/15/24 3,799,000 4,373,757 
PepsiCo, Inc.:   
2.625% 3/19/27 1,114,000 1,226,907 
2.75% 3/19/30 5,700,000 6,389,460 
  166,800,377 
Food & Staples Retailing - 0.4%   
Sysco Corp.:   
6.6% 4/1/40 13,806,000 20,374,234 
6.6% 4/1/50 53,060,000 82,282,060 
U.S. Foods, Inc. 6.25% 4/15/25 (a) 445,000 473,278 
Walgreens Boots Alliance, Inc. 3.3% 11/18/21 1,926,000 1,969,798 
  105,099,370 
Food Products - 0.4%   
Darling Ingredients, Inc. 5.25% 4/15/27 (a) 615,000 654,975 
General Mills, Inc. 2.875% 4/15/30 1,277,000 1,419,797 
H.J. Heinz Finance Co. 7.125% 8/1/39 (a) 9,489,000 13,308,603 
JBS U.S.A. LLC/JBS U.S.A. Finance, Inc.:   
5.75% 6/15/25 (a) 2,236,000 2,305,875 
6.75% 2/15/28 (a) 269,000 299,263 
JBS U.S.A. Lux SA / JBS Food Co.:   
5.5% 1/15/30 (a) 23,280,000 26,169,048 
6.5% 4/15/29 (a) 32,201,000 36,870,145 
Kraft Heinz Foods Co.:   
3.875% 5/15/27 (a) 560,000 605,879 
4.25% 3/1/31 (a) 525,000 582,717 
4.375% 6/1/46 11,995,000 12,793,655 
4.625% 10/1/39 (a) 820,000 904,479 
4.875% 10/1/49 (a) 10,000,000 11,263,099 
5% 7/15/35 2,215,000 2,609,316 
5.2% 7/15/45 6,203,000 7,312,311 
Lamb Weston Holdings, Inc. 4.875% 5/15/28 (a) 825,000 915,750 
Post Holdings, Inc. 4.625% 4/15/30 (a) 905,000 944,820 
TreeHouse Foods, Inc. 4% 9/1/28 390,000 395,928 
  119,355,660 
Personal Products - 0.0%   
Estee Lauder Companies, Inc.:   
2.6% 4/15/30 7,880,000 8,741,661 
3.125% 12/1/49 5,608,000 6,537,842 
  15,279,503 
TOTAL CONSUMER STAPLES  406,534,910 
ENERGY - 1.4%   
Energy Equipment & Services - 0.0%   
El Paso Pipeline Partners Operating Co. LLC 5% 10/1/21 1,456,000 1,493,778 
Jonah Energy LLC 7.25% 10/15/25 (a)(b) 301,000 6,020 
  1,499,798 
Oil, Gas & Consumable Fuels - 1.4%   
Alberta Energy Co. Ltd. 8.125% 9/15/30 5,649,000 6,508,776 
Amerada Hess Corp.:   
7.125% 3/15/33 1,403,000 1,770,338 
7.3% 8/15/31 1,709,000 2,127,305 
7.875% 10/1/29 4,789,000 6,066,395 
Apache Corp.:   
4.25% 1/15/30 90,000 89,550 
4.75% 4/15/43 805,000 800,975 
5.1% 9/1/40 150,000 153,938 
5.25% 2/1/42 495,000 508,217 
5.35% 7/1/49 80,000 77,600 
Canadian Natural Resources Ltd. 3.45% 11/15/21 2,648,000 2,701,657 
Cheniere Energy Partners LP:   
5.25% 10/1/25 4,295,000 4,407,744 
5.625% 10/1/26 1,835,000 1,915,281 
Cheniere Energy, Inc. 4.625% 10/15/28 (a) 550,000 569,938 
Columbia Pipeline Group, Inc. 4.5% 6/1/25 852,000 980,272 
Continental Resources, Inc. 5.75% 1/15/31 (a) 895,000 959,888 
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.:   
5.625% 5/1/27 (a) 1,558,000 1,498,463 
5.75% 4/1/25 2,038,000 2,022,715 
6.25% 4/1/23 918,000 922,159 
CVR Energy, Inc.:   
5.25% 2/15/25 (a) 790,000 695,200 
5.75% 2/15/28 (a) 105,000 87,938 
DCP Midstream LLC:   
4.75% 9/30/21 (a) 2,233,000 2,263,704 
5.85% 5/21/43 (a)(c) 4,466,000 3,572,800 
DCP Midstream Operating LP:   
3.875% 3/15/23 3,116,000 3,193,900 
5.125% 5/15/29 1,740,000 1,843,304 
5.375% 7/15/25 1,605,000 1,731,394 
5.6% 4/1/44 2,708,000 2,531,980 
5.625% 7/15/27 620,000 671,150 
Duke Energy Field Services 8.125% 8/16/30 15,000 18,150 
EG Global Finance PLC:   
6.75% 2/7/25 (a) 530,000 548,550 
8.5% 10/30/25 (a) 910,000 980,480 
Enable Midstream Partners LP 3.9% 5/15/24 (c) 869,000 873,621 
Enbridge Energy Partners LP 4.2% 9/15/21 2,622,000 2,674,373 
Enbridge, Inc.:   
4% 10/1/23 3,854,000 4,175,012 
4.25% 12/1/26 1,461,000 1,690,953 
Encana Corp. 5.15% 11/15/41 3,000,000 2,781,591 
Endeavor Energy Resources LP/EER Finance, Inc.:   
5.5% 1/30/26 (a) 45,000 46,294 
5.75% 1/30/28 (a) 435,000 462,623 
6.625% 7/15/25 (a) 110,000 117,247 
Energy Transfer Partners LP:   
3.75% 5/15/30 3,643,000 3,777,934 
4.2% 9/15/23 1,203,000 1,280,824 
4.25% 3/15/23 1,393,000 1,466,153 
4.5% 4/15/24 1,576,000 1,698,692 
4.95% 6/15/28 4,103,000 4,587,828 
5% 5/15/50 7,800,000 8,273,426 
5.25% 4/15/29 2,564,000 2,901,821 
5.8% 6/15/38 2,288,000 2,527,883 
6% 6/15/48 1,490,000 1,675,066 
6.25% 4/15/49 1,761,000 2,057,898 
EQM Midstream Partners LP 6.5% 7/1/27 (a) 305,000 336,263 
Global Partners LP/GLP Finance Corp. 7% 8/1/27 1,200,000 1,281,816 
Hess Corp.:   
4.3% 4/1/27 1,341,000 1,448,017 
5.6% 2/15/41 2,100,000 2,471,861 
5.8% 4/1/47 5,019,000 6,211,211 
Hess Midstream Partners LP:   
5.125% 6/15/28 (a) 780,000 799,984 
5.625% 2/15/26 (a) 1,503,000 1,551,848 
Hilcorp Energy I LP/Hilcorp Finance Co. 5% 12/1/24 (a) 542,000 528,450 
Holly Energy Partners LP/Holly Energy Finance Corp. 5% 2/1/28 (a) 910,000 895,986 
Marathon Petroleum Corp. 5.125% 3/1/21 1,583,000 1,600,982 
MPLX LP:   
3 month U.S. LIBOR + 1.100% 1.3418% 9/9/22 (c)(d) 3,392,000 3,392,494 
4.8% 2/15/29 1,376,000 1,618,651 
4.875% 12/1/24 1,974,000 2,239,567 
5.5% 2/15/49 4,129,000 5,132,662 
Occidental Petroleum Corp.:   
2.7% 8/15/22 1,780,000 1,753,834 
2.9% 8/15/24 6,978,000 6,506,985 
3.125% 2/15/22 4,013,000 4,002,767 
3.2% 8/15/26 865,000 761,806 
3.4% 4/15/26 310,000 277,450 
3.5% 8/15/29 3,191,000 2,792,125 
4.2% 3/15/48 310,000 249,550 
4.3% 8/15/39 562,000 463,650 
4.4% 4/15/46 480,000 404,107 
4.4% 8/15/49 3,942,000 3,202,875 
5.55% 3/15/26 5,734,000 5,724,883 
6.2% 3/15/40 160,000 152,800 
6.45% 9/15/36 5,135,000 5,018,436 
6.6% 3/15/46 4,886,000 4,776,065 
7.5% 5/1/31 7,400,000 7,779,250 
7.875% 9/15/31 100,000 106,971 
8.875% 7/15/30 345,000 389,419 
PBF Holding Co. LLC/PBF Finance Corp. 9.25% 5/15/25 (a) 1,125,000 1,119,375 
Petrobras Global Finance BV 7.25% 3/17/44 27,432,000 34,007,108 
Petroleos Mexicanos:   
6.35% 2/12/48 1,560,000 1,306,744 
6.49% 1/23/27 3,630,000 3,630,000 
6.5% 3/13/27 4,256,000 4,249,350 
6.75% 9/21/47 22,490,000 19,363,890 
6.84% 1/23/30 15,264,000 14,898,427 
6.95% 1/28/60 7,166,000 6,144,845 
7.69% 1/23/50 52,206,000 48,042,572 
Plains All American Pipeline LP/PAA Finance Corp.:   
3.55% 12/15/29 1,968,000 2,017,220 
3.6% 11/1/24 1,903,000 1,986,753 
3.65% 6/1/22 3,779,000 3,881,492 
Rattler Midstream LP 5.625% 7/15/25 (a) 1,110,000 1,171,744 
Regency Energy Partners LP/Regency Energy Finance Corp. 5.875% 3/1/22 2,000,000 2,095,020 
Rockies Express Pipeline LLC 6.875% 4/15/40 (a) 105,000 111,300 
Sabine Pass Liquefaction LLC 4.5% 5/15/30 (a) 14,626,000 17,064,536 
Sunoco Logistics Partner Operations LP 5.4% 10/1/47 1,732,000 1,844,469 
Sunoco LP/Sunoco Finance Corp.:   
4.5% 5/15/29 (a) 635,000 656,431 
5.5% 2/15/26 1,315,000 1,351,491 
5.875% 3/15/28 135,000 144,450 
6% 4/15/27 15,000 16,065 
Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp. 5.5% 1/15/28 (a) 30,000 28,575 
Targa Resources Partners LP/Targa Resources Partners Finance Corp.:   
4.875% 2/1/31 (a) 705,000 749,944 
5.125% 2/1/25 953,000 976,825 
5.375% 2/1/27 128,000 133,760 
5.5% 3/1/30 (a) 135,000 146,424 
5.875% 4/15/26 881,000 927,253 
The Williams Companies, Inc.:   
3.5% 11/15/30 15,742,000 17,428,769 
3.7% 1/15/23 808,000 853,425 
Viper Energy Partners LP 5.375% 11/1/27 (a) 600,000 633,570 
Western Gas Partners LP:   
3.95% 6/1/25 1,395,000 1,388,025 
4.1% 2/1/25 475,000 473,950 
4.65% 7/1/26 2,820,000 2,884,522 
4.75% 8/15/28 1,236,000 1,279,260 
5.05% 2/1/30 805,000 859,776 
5.3% 3/1/48 240,000 214,800 
5.375% 6/1/21 4,807,000 4,843,053 
6.25% 2/1/50 90,000 89,550 
Williams Partners LP 5.1% 9/15/45 9,765,000 11,732,078 
  379,908,606 
TOTAL ENERGY  381,408,404 
FINANCIALS - 6.4%   
Banks - 2.8%   
Bank of America Corp.:   
3.004% 12/20/23 (c) 10,687,000 11,227,146 
3.3% 1/11/23 2,658,000 2,819,252 
3.419% 12/20/28 (c) 5,193,000 5,843,534 
3.5% 4/19/26 6,078,000 6,892,778 
3.95% 4/21/25 37,660,000 42,233,648 
4% 1/22/25 26,856,000 30,047,410 
4.1% 7/24/23 1,426,000 1,561,075 
4.183% 11/25/27 6,909,000 7,972,478 
4.2% 8/26/24 8,311,000 9,298,421 
4.25% 10/22/26 38,178,000 44,556,141 
4.45% 3/3/26 6,522,000 7,611,525 
Banque Federative du Credit Mutuel SA 3 month U.S. LIBOR + 0.730% 0.9484% 7/20/22 (a)(c)(d) 8,158,000 8,222,395 
Barclays Bank PLC:   
1.7% 5/12/22 5,246,000 5,339,012 
10.179% 6/12/21 (a) 1,750,000 1,833,590 
Barclays PLC:   
2.852% 5/7/26 (c) 14,944,000 15,863,060 
4.375% 1/12/26 4,468,000 5,100,123 
4.836% 5/9/28 6,102,000 6,943,386 
5.088% 6/20/30 (c) 29,218,000 34,432,756 
5.2% 5/12/26 1,556,000 1,798,378 
BNP Paribas SA 2.219% 6/9/26 (a)(c) 13,752,000 14,330,206 
BPCE SA 4.875% 4/1/26 (a) 7,383,000 8,604,756 
CIT Group, Inc.:   
3.929% 6/19/24 (c) 1,900,000 2,004,690 
4.75% 2/16/24 2,520,000 2,740,500 
6.125% 3/9/28 4,920,000 6,039,300 
Citigroup, Inc.:   
4.075% 4/23/29 (c) 4,606,000 5,365,391 
4.125% 7/25/28 6,909,000 8,068,065 
4.3% 11/20/26 1,766,000 2,043,361 
4.4% 6/10/25 19,341,000 22,149,838 
4.412% 3/31/31 (c) 34,201,000 41,260,217 
4.45% 9/29/27 21,445,000 25,149,046 
4.6% 3/9/26 17,445,000 20,413,523 
5.3% 5/6/44 9,501,000 13,380,773 
5.5% 9/13/25 7,738,000 9,313,905 
Citizens Financial Group, Inc. 2.638% 9/30/32 (a) 7,305,000 7,615,884 
Commonwealth Bank of Australia 3.61% 9/12/34 (a)(c) 3,723,000 4,069,242 
Fifth Third Bancorp 8.25% 3/1/38 1,098,000 1,854,517 
HSBC Holdings PLC:   
4.25% 3/14/24 1,433,000 1,571,316 
4.95% 3/31/30 2,548,000 3,168,337 
5.25% 3/14/44 1,039,000 1,401,139 
Huntington Bancshares, Inc. 7% 12/15/20 736,000 737,712 
Intesa Sanpaolo SpA:   
5.017% 6/26/24 (a) 10,324,000 11,274,507 
5.71% 1/15/26 (a) 29,145,000 33,038,701 
JPMorgan Chase & Co.:   
2.956% 5/13/31 (c) 7,934,000 8,631,781 
4.125% 12/15/26 15,380,000 17,976,869 
NatWest Markets PLC 2.375% 5/21/23 (a) 15,700,000 16,333,181 
Rabobank Nederland 4.375% 8/4/25 4,789,000 5,472,874 
Royal Bank of Scotland Group PLC:   
3.073% 5/22/28 (c) 8,707,000 9,400,742 
4.8% 4/5/26 19,815,000 23,245,032 
5.125% 5/28/24 35,958,000 40,126,219 
6% 12/19/23 43,478,000 49,384,342 
6.1% 6/10/23 19,857,000 22,197,591 
6.125% 12/15/22 21,905,000 24,072,066 
Societe Generale 4.25% 4/14/25 (a) 7,110,000 7,825,627 
Synchrony Bank 3% 6/15/22 3,984,000 4,117,171 
UniCredit SpA 6.572% 1/14/22 (a) 6,953,000 7,351,755 
Wells Fargo & Co.:   
2.406% 10/30/25 (c) 7,739,000 8,149,246 
4.3% 7/22/27 25,328,000 29,523,330 
4.478% 4/4/31 (c) 19,300,000 23,501,558 
Westpac Banking Corp. 4.11% 7/24/34 (c) 5,171,000 5,870,925 
  798,371,343 
Capital Markets - 1.6%   
Affiliated Managers Group, Inc. 4.25% 2/15/24 1,396,000 1,535,840 
Ares Capital Corp.:   
3.875% 1/15/26 22,188,000 23,311,972 
4.2% 6/10/24 15,463,000 16,448,257 
Credit Suisse Group AG:   
2.593% 9/11/25 (a)(c) 14,306,000 15,093,226 
3.75% 3/26/25 9,717,000 10,784,611 
4.194% 4/1/31 (a)(c) 37,158,000 43,788,754 
4.55% 4/17/26 3,126,000 3,663,123 
Deutsche Bank AG 4.5% 4/1/25 15,769,000 16,859,179 
Deutsche Bank AG New York Branch:   
3.3% 11/16/22 7,369,000 7,676,597 
4.1% 1/13/26 8,332,000 9,175,025 
5% 2/14/22 11,778,000 12,313,793 
Goldman Sachs Group, Inc.:   
2.876% 10/31/22 (c) 10,640,000 10,873,401 
3.272% 9/29/25 (c) 35,921,000 39,157,793 
3.8% 3/15/30 20,550,000 24,025,358 
4.25% 10/21/25 12,215,000 14,024,728 
6.75% 10/1/37 59,592,000 91,200,379 
Intercontinental Exchange, Inc. 3.75% 12/1/25 2,038,000 2,306,039 
Morgan Stanley:   
3 month U.S. LIBOR + 0.930% 1.1458% 7/22/22 (c)(d) 3,745,000 3,762,893 
3.125% 7/27/26 14,775,000 16,500,161 
3.622% 4/1/31 (c) 17,370,000 20,207,212 
3.625% 1/20/27 16,594,000 18,962,218 
3.7% 10/23/24 4,754,000 5,284,362 
3.875% 4/29/24 4,377,000 4,837,553 
4.431% 1/23/30 (c) 5,526,000 6,730,615 
4.875% 11/1/22 9,955,000 10,758,453 
5% 11/24/25 21,351,000 25,446,124 
5.75% 1/25/21 4,669,000 4,705,932 
MSCI, Inc.:   
4.75% 8/1/26 (a) 900,000 933,750 
5.375% 5/15/27 (a) 1,242,000 1,330,493 
State Street Corp.:   
2.825% 3/30/23 (c) 1,216,000 1,256,059 
2.901% 3/30/26 (c) 1,141,000 1,240,603 
  464,194,503 
Consumer Finance - 1.0%   
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust:   
2.875% 8/14/24 8,576,000 8,775,525 
3.5% 5/26/22 1,452,000 1,493,367 
4.125% 7/3/23 4,250,000 4,505,498 
4.45% 4/3/26 4,254,000 4,578,262 
4.875% 1/16/24 6,629,000 7,139,669 
6.5% 7/15/25 6,613,000 7,643,551 
Ally Financial, Inc.:   
1.45% 10/2/23 3,893,000 3,968,230 
3.05% 6/5/23 17,631,000 18,589,593 
3.875% 5/21/24 8,893,000 9,711,866 
4.625% 3/30/25 3,595,000 4,085,626 
5.125% 9/30/24 3,534,000 4,053,104 
5.75% 11/20/25 1,188,000 1,387,311 
5.8% 5/1/25 9,417,000 11,170,538 
8% 11/1/31 222,000 310,911 
8% 11/1/31 5,369,000 7,690,855 
Capital One Financial Corp.:   
3.65% 5/11/27 21,700,000 24,644,826 
3.8% 1/31/28 6,880,000 7,901,979 
Discover Financial Services:   
3.95% 11/6/24 1,874,000 2,076,814 
4.1% 2/9/27 17,218,000 19,617,450 
4.5% 1/30/26 5,913,000 6,793,028 
Ford Motor Credit Co. LLC:   
4.063% 11/1/24 46,639,000 48,504,560 
4.687% 6/9/25 430,000 456,875 
5.085% 1/7/21 3,662,000 3,671,155 
5.113% 5/3/29 510,000 550,290 
5.125% 6/16/25 320,000 345,504 
5.584% 3/18/24 8,520,000 9,148,350 
5.596% 1/7/22 7,576,000 7,793,810 
Navient Corp.:   
7.25% 1/25/22 241,000 253,653 
7.25% 9/25/23 1,246,000 1,358,140 
Springleaf Finance Corp.:   
6.875% 3/15/25 935,000 1,070,575 
7.125% 3/15/26 241,000 277,413 
Synchrony Financial:   
2.85% 7/25/22 2,154,000 2,224,950 
3.75% 8/15/21 1,457,000 1,480,938 
3.95% 12/1/27 8,239,000 9,137,353 
4.25% 8/15/24 1,467,000 1,610,628 
4.375% 3/19/24 8,694,000 9,553,742 
5.15% 3/19/29 18,424,000 22,053,588 
  275,629,527 
Diversified Financial Services - 0.3%   
Brixmor Operating Partnership LP:   
4.05% 7/1/30 9,134,000 10,305,458 
4.125% 6/15/26 5,362,000 5,951,101 
4.125% 5/15/29 19,691,000 22,437,738 
Equitable Holdings, Inc. 3.9% 4/20/23 1,038,000 1,120,227 
Icahn Enterprises LP/Icahn Enterprises Finance Corp.:   
4.75% 9/15/24 740,000 762,200 
5.25% 5/15/27 3,095,000 3,249,750 
6.25% 5/15/26 1,691,000 1,766,994 
6.375% 12/15/25 387,000 397,643 
Park Aerospace Holdings Ltd. 5.5% 2/15/24 (a) 7,300,000 7,793,383 
Pine Street Trust I 4.572% 2/15/29 (a) 7,749,000 9,162,759 
Pine Street Trust II 5.568% 2/15/49 (a) 7,700,000 9,829,243 
VMED O2 UK Financing I PLC 4.25% 1/31/31 (a) 1,190,000 1,221,535 
Voya Financial, Inc. 3.125% 7/15/24 2,503,000 2,699,815 
  76,697,846 
Insurance - 0.7%   
AIA Group Ltd.:   
3.2% 9/16/40 (a) 6,220,000 6,638,730 
3.375% 4/7/30 (a) 13,088,000 14,652,735 
American International Group, Inc. 3.4% 6/30/30 21,700,000 24,735,929 
Five Corners Funding Trust II 2.85% 5/15/30 (a) 15,870,000 17,471,397 
Liberty Mutual Group, Inc.:   
3.95% 5/15/60 (a) 12,820,000 15,251,109 
4.569% 2/1/29 (a) 2,429,000 2,977,224 
Lincoln National Corp. 3.4% 1/15/31 14,811,000 16,872,061 
Marsh & McLennan Companies, Inc.:   
4.75% 3/15/39 2,280,000 3,082,285 
4.8% 7/15/21 1,355,000 1,378,370 
Metropolitan Life Global Funding I U.S. SECURED OVERNIGHT FINL RATE (SOFR) INDX + 0.500% 0.58% 5/28/21 (a)(c)(d) 33,100,000 33,155,277 
New York Life Insurance Co. 3.75% 5/15/50 (a) 3,182,000 3,761,293 
Pacific LifeCorp 5.125% 1/30/43 (a) 2,623,000 3,167,895 
Pricoa Global Funding I 5.375% 5/15/45 (c) 3,148,000 3,438,026 
Progressive Corp. 3.2% 3/26/30 1,484,000 1,718,468 
Prudential Financial, Inc. 4.5% 11/16/21 1,288,000 1,339,457 
Swiss Re Finance Luxembourg SA 5% 4/2/49 (a)(c) 3,000,000 3,487,500 
Teachers Insurance & Annuity Association of America 3.3% 5/15/50 (a) 7,316,000 7,892,430 
Unum Group:   
4% 6/15/29 6,130,000 6,984,755 
4.5% 3/15/25 12,980,000 14,463,587 
5.75% 8/15/42 1,622,000 1,977,086 
  184,445,614 
Mortgage Real Estate Investment Trusts - 0.0%   
Starwood Property Trust, Inc. 4.75% 3/15/25 184,000 188,885 
Thrifts & Mortgage Finance - 0.0%   
Quicken Loans, Inc. 5.25% 1/15/28 (a) 722,000 765,320 
TOTAL FINANCIALS  1,800,293,038 
HEALTH CARE - 0.7%   
Biotechnology - 0.0%   
AbbVie, Inc. 3.2% 11/21/29 4,900,000 5,555,718 
Health Care Equipment & Supplies - 0.0%   
Hologic, Inc.:   
3.25% 2/15/29 (a) 545,000 553,856 
4.625% 2/1/28 (a) 65,000 69,144 
Teleflex, Inc.:   
4.25% 6/1/28 (a) 145,000 153,352 
4.875% 6/1/26 562,000 584,480 
  1,360,832 
Health Care Providers & Services - 0.3%   
Anthem, Inc. 3.3% 1/15/23 4,322,000 4,577,321 
Centene Corp.:   
3.375% 2/15/30 7,725,000 8,096,727 
4.25% 12/15/27 6,480,000 6,897,085 
4.625% 12/15/29 8,795,000 9,642,838 
4.75% 1/15/25 4,500,000 4,638,285 
5.375% 6/1/26 (a) 805,000 846,256 
5.375% 8/15/26 (a) 2,486,000 2,625,838 
Cigna Corp.:   
4.375% 10/15/28 6,630,000 7,967,136 
4.8% 8/15/38 4,128,000 5,379,991 
4.9% 12/15/48 4,124,000 5,681,850 
CVS Health Corp.:   
3.625% 4/1/27 3,208,000 3,643,094 
4.1% 3/25/25 6,710,000 7,599,036 
DaVita HealthCare Partners, Inc. 4.625% 6/1/30 (a) 315,000 331,144 
HCA Holdings, Inc. 4.75% 5/1/23 138,000 150,776 
Molina Healthcare, Inc. 3.875% 11/15/30 (a) 235,000 249,037 
Tenet Healthcare Corp.:   
4.625% 7/15/24 3,152,000 3,207,160 
4.875% 1/1/26 (a) 385,000 396,550 
5.125% 5/1/25 669,000 675,657 
6.25% 2/1/27 (a) 740,000 775,150 
Toledo Hospital:   
5.325% 11/15/28 2,395,000 2,780,148 
6.015% 11/15/48 4,674,000 5,579,875 
  81,740,954 
Health Care Technology - 0.0%   
IMS Health, Inc.:   
5% 10/15/26 (a) 1,449,000 1,516,016 
5% 5/15/27 (a) 630,000 663,075 
  2,179,091 
Life Sciences Tools & Services - 0.0%   
Charles River Laboratories International, Inc.:   
4.25% 5/1/28 (a) 70,000 73,763 
5.5% 4/1/26 (a) 575,000 603,750 
  677,513 
Pharmaceuticals - 0.4%   
Bayer U.S. Finance II LLC 4.25% 12/15/25 (a) 50,548,000 57,838,827 
Elanco Animal Health, Inc.:   
4.912% 8/27/21 (c) 1,077,000 1,104,033 
5.272% 8/28/23 (c) 3,402,000 3,696,154 
5.9% 8/28/28 (c) 1,432,000 1,680,882 
Teva Pharmaceutical Finance Netherlands III BV 2.2% 7/21/21 748,000 748,262 
Utah Acquisition Sub, Inc. 3.95% 6/15/26 2,065,000 2,356,072 
Valeant Pharmaceuticals International, Inc. 7% 3/15/24 (a) 874,000 901,313 
Viatris, Inc.:   
1.65% 6/22/25 (a) 1,773,000 1,826,030 
2.7% 6/22/30 (a) 9,017,000 9,562,326 
3.85% 6/22/40 (a) 3,928,000 4,424,609 
4% 6/22/50 (a) 6,783,000 7,727,273 
Zoetis, Inc. 3.25% 2/1/23 1,210,000 1,274,798 
  93,140,579 
TOTAL HEALTH CARE  184,654,687 
INDUSTRIALS - 0.6%   
Aerospace & Defense - 0.2%   
BAE Systems PLC 3.4% 4/15/30 (a) 4,094,000 4,622,124 
BBA U.S. Holdings, Inc. 5.375% 5/1/26 (a) 1,556,000 1,598,790 
BWX Technologies, Inc.:   
4.125% 6/30/28 (a) 480,000 499,800 
5.375% 7/15/26 (a) 1,748,000 1,815,735 
Howmet Aerospace, Inc.:   
5.95% 2/1/37 25,000 29,435 
6.75% 1/15/28 365,000 430,700 
Moog, Inc. 4.25% 12/15/27 (a) 980,000 1,009,743 
The Boeing Co.:   
5.04% 5/1/27 6,070,000 6,952,600 
5.15% 5/1/30 6,070,000 7,125,650 
5.705% 5/1/40 6,070,000 7,662,277 
5.805% 5/1/50 6,070,000 8,018,981 
5.93% 5/1/60 6,070,000 8,245,854 
TransDigm, Inc.:   
6.25% 3/15/26 (a) 2,552,000 2,705,120 
7.5% 3/15/27 95,000 101,650 
8% 12/15/25 (a) 1,120,000 1,223,600 
  52,042,059 
Air Freight & Logistics - 0.0%   
XPO Logistics, Inc. 6.25% 5/1/25 (a) 1,705,000 1,826,481 
Building Products - 0.0%   
Advanced Drain Systems, Inc. 5% 9/30/27 (a) 965,000 1,013,250 
Masco Corp. 4.45% 4/1/25 1,041,000 1,192,398 
  2,205,648 
Commercial Services & Supplies - 0.0%   
LBC Tank Terminals Holding Netherlands BV 6.875% 5/15/23 (a) 915,000 915,000 
Nielsen Co. SARL (Luxembourg) 5% 2/1/25 (a) 595,000 612,106 
Nielsen Finance LLC/Nielsen Finance Co.:   
5% 4/15/22 (a) 394,000 394,000 
5.625% 10/1/28 (a) 495,000 527,645 
5.875% 10/1/30 (a) 490,000 538,388 
Prime Securities Services Borrower LLC/Prime Finance, Inc. 3.375% 8/31/27 (a) 1,230,000 1,214,625 
Stericycle, Inc. 3.875% 1/15/29 (a) 450,000 468,000 
  4,669,764 
Construction & Engineering - 0.0%   
AECOM:   
5.125% 3/15/27 2,077,000 2,321,048 
5.875% 10/15/24 360,000 399,600 
  2,720,648 
Electrical Equipment - 0.0%   
Sensata Technologies BV:   
4.875% 10/15/23 (a) 791,000 850,325 
5% 10/1/25 (a) 520,000 577,200 
  1,427,525 
Industrial Conglomerates - 0.2%   
General Electric Co.:   
3.45% 5/1/27 2,582,000 2,844,022 
3.625% 5/1/30 6,002,000 6,727,861 
4.25% 5/1/40 18,800,000 21,360,974 
4.35% 5/1/50 21,476,000 25,211,893 
  56,144,750 
Machinery - 0.0%   
Vertical U.S. Newco, Inc. 5.25% 7/15/27 (a) 1,065,000 1,118,250 
Professional Services - 0.0%   
ASGN, Inc. 4.625% 5/15/28 (a) 270,000 280,800 
Booz Allen Hamilton, Inc. 3.875% 9/1/28 (a) 765,000 789,863 
  1,070,663 
Road & Rail - 0.1%   
Avolon Holdings Funding Ltd.:   
3.625% 5/1/22 (a) 2,141,000 2,172,760 
3.95% 7/1/24 (a) 2,844,000 2,922,536 
4.375% 5/1/26 (a) 3,481,000 3,594,023 
5.25% 5/15/24 (a) 4,186,000 4,471,252 
  13,160,571 
Trading Companies & Distributors - 0.1%   
Air Lease Corp.:   
2.25% 1/15/23 1,863,000 1,908,772 
3% 9/15/23 583,000 604,401 
3.375% 6/1/21 1,957,000 1,979,832 
3.375% 7/1/25 11,630,000 12,265,691 
3.75% 2/1/22 2,924,000 3,004,823 
3.75% 6/1/26 5,000,000 5,387,421 
3.875% 4/1/21 2,112,000 2,128,304 
4.25% 2/1/24 7,180,000 7,724,041 
4.25% 9/15/24 2,331,000 2,515,793 
  37,519,078 
Transportation Infrastructure - 0.0%   
BNSF Funding Trust I 6.613% 12/15/55 (c) 1,374,000 1,573,230 
TOTAL INDUSTRIALS  175,478,667 
INFORMATION TECHNOLOGY - 0.3%   
Electronic Equipment & Components - 0.1%   
Diamond 1 Finance Corp./Diamond 2 Finance Corp.:   
5.45% 6/15/23 (a) 5,600,000 6,195,885 
6.02% 6/15/26 (a) 1,948,000 2,364,735 
Sensata Technologies, Inc. 3.75% 2/15/31 (a) 1,410,000 1,431,150 
TTM Technologies, Inc. 5.625% 10/1/25 (a) 1,170,000 1,207,241 
  11,199,011 
IT Services - 0.0%   
Gartner, Inc.:   
3.75% 10/1/30 (a) 255,000 265,282 
4.5% 7/1/28 (a) 395,000 414,750 
  680,032 
Semiconductors & Semiconductor Equipment - 0.0%   
Entegris, Inc.:   
4.375% 4/15/28 (a) 490,000 517,925 
4.625% 2/10/26 (a) 836,000 861,080 
NVIDIA Corp. 2.85% 4/1/30 3,561,000 3,991,108 
ON Semiconductor Corp. 3.875% 9/1/28 (a) 300,000 309,000 
  5,679,113 
Software - 0.2%   
CDK Global, Inc.:   
4.875% 6/1/27 1,199,000 1,262,337 
5.25% 5/15/29 (a) 107,000 117,433 
5.875% 6/15/26 542,000 566,390 
Fair Isaac Corp. 5.25% 5/15/26 (a) 793,000 888,160 
Nuance Communications, Inc. 5.625% 12/15/26 1,382,000 1,460,235 
Open Text Corp. 3.875% 2/15/28 (a) 420,000 433,650 
Oracle Corp.:   
2.5% 4/1/25 8,253,000 8,849,884 
2.8% 4/1/27 8,253,000 9,081,409 
2.95% 4/1/30 8,300,000 9,312,506 
3.6% 4/1/40 8,250,000 9,626,945 
3.85% 4/1/60 8,300,000 10,204,455 
SS&C Technologies, Inc. 5.5% 9/30/27 (a) 1,000,000 1,069,890 
  52,873,294 
Technology Hardware, Storage & Peripherals - 0.0%   
Hewlett Packard Enterprise Co. 4.4% 10/15/22 (c) 3,173,000 3,382,786 
TOTAL INFORMATION TECHNOLOGY  73,814,236 
MATERIALS - 0.1%   
Chemicals - 0.1%   
Axalta Coating Systems/Dutch Holding BV 4.75% 6/15/27 (a) 585,000 617,175 
CF Industries Holdings, Inc.:   
4.95% 6/1/43 5,000 6,231 
5.15% 3/15/34 867,000 1,047,583 
5.375% 3/15/44 255,000 324,169 
Consolidated Energy Finance SA:   
3 month U.S. LIBOR + 3.750% 4.0004% 6/15/22 (a)(c)(d) 1,306,000 1,266,820 
6.5% 5/15/26 (a) 925,000 895,123 
6.875% 6/15/25 (a) 80,000 78,517 
Methanex Corp.:   
5.125% 10/15/27 765,000 805,163 
5.65% 12/1/44 276,000 286,088 
Nufarm Australia Ltd. 5.75% 4/30/26 (a) 1,087,000 1,116,838 
Olin Corp.:   
5% 2/1/30 1,215,000 1,263,600 
5.125% 9/15/27 975,000 1,011,563 
5.625% 8/1/29 465,000 499,847 
The Chemours Co. LLC:   
5.375% 5/15/27 1,115,000 1,159,600 
7% 5/15/25 849,000 878,715 
Valvoline, Inc.:   
4.25% 2/15/30 (a) 165,000 173,663 
4.375% 8/15/25 978,000 1,011,066 
W. R. Grace & Co.-Conn.:   
4.875% 6/15/27 (a) 305,000 319,488 
5.625% 10/1/24 (a) 1,254,000 1,351,185 
  14,112,434 
Containers & Packaging - 0.0%   
Ardagh Packaging Finance PLC/Ardagh MP Holdings U.S.A., Inc. 4.125% 8/15/26 (a) 25,000 25,938 
Berry Global, Inc. 4.875% 7/15/26 (a) 489,000 519,152 
Crown Americas LLC/Crown Americas Capital Corp. IV 4.75% 2/1/26 238,000 247,074 
Intelligent Packaging Ltd. Finco, Inc. 6% 9/15/28 (a) 95,000 100,983 
Silgan Holdings, Inc. 4.75% 3/15/25 165,000 168,609 
Trivium Packaging Finance BV:   
5.5% 8/15/26 (a) 485,000 508,038 
8.5% 8/15/27 (a) 140,000 151,550 
  1,721,344 
Metals & Mining - 0.0%   
Anglo American Capital PLC 4.125% 4/15/21 (a) 1,089,000 1,101,963 
Corporacion Nacional del Cobre de Chile (Codelco):   
3.625% 8/1/27 (a) 1,499,000 1,663,890 
4.5% 8/1/47 (a) 1,522,000 1,866,353 
FMG Resources (August 2006) Pty Ltd. 4.5% 9/15/27 (a) 10,000 10,963 
Freeport-McMoRan, Inc.:   
5.4% 11/14/34 310,000 384,013 
5.45% 3/15/43 330,000 412,500 
Kaiser Aluminum Corp.:   
4.625% 3/1/28 (a) 1,005,000 1,036,426 
6.5% 5/1/25 (a) 260,000 278,200 
  6,754,308 
TOTAL MATERIALS  22,588,086 
REAL ESTATE - 0.9%   
Equity Real Estate Investment Trusts (REITs) - 0.7%   
Alexandria Real Estate Equities, Inc. 4.9% 12/15/30 7,224,000 9,118,860 
Boston Properties, Inc. 4.5% 12/1/28 4,766,000 5,680,956 
CoreCivic, Inc.:   
4.625% 5/1/23 1,421,000 1,335,740 
5% 10/15/22 443,000 435,779 
Corporate Office Properties LP:   
2.25% 3/15/26 2,969,000 3,034,839 
5% 7/1/25 2,273,000 2,591,227 
CTR Partnership LP/CareTrust Capital Corp. 5.25% 6/1/25 720,000 747,014 
Duke Realty LP:   
3.25% 6/30/26 589,000 655,252 
3.625% 4/15/23 1,544,000 1,637,874 
GLP Capital LP/GLP Financing II, Inc. 5.25% 6/1/25 486,000 539,484 
Healthcare Trust of America Holdings LP:   
3.1% 2/15/30 1,868,000 2,029,501 
3.5% 8/1/26 1,945,000 2,193,449 
Highwoods/Forsyth LP 3.2% 6/15/21 529,000 533,723 
Hospitality Properties Trust:   
4.375% 2/15/30 125,000 117,250 
4.95% 2/15/27 65,000 61,994 
4.95% 10/1/29 25,000 23,438 
5.5% 12/15/27 125,000 130,549 
Hudson Pacific Properties LP 4.65% 4/1/29 10,668,000 12,311,070 
Lexington Corporate Properties Trust:   
2.7% 9/15/30 1,445,000 1,494,835 
4.4% 6/15/24 948,000 1,030,951 
MGM Growth Properties Operating Partnership LP:   
4.5% 9/1/26 1,508,000 1,590,940 
4.5% 1/15/28 637,000 664,073 
4.625% 6/15/25 (a) 150,000 158,250 
5.75% 2/1/27 256,000 285,332 
MPT Operating Partnership LP/MPT Finance Corp.:   
5.25% 8/1/26 2,161,000 2,258,677 
6.375% 3/1/24 268,000 277,005 
Omega Healthcare Investors, Inc.:   
3.375% 2/1/31 5,854,000 5,891,762 
3.625% 10/1/29 8,376,000 8,661,643 
4.375% 8/1/23 4,882,000 5,258,424 
4.5% 1/15/25 2,013,000 2,180,789 
4.5% 4/1/27 716,000 789,075 
4.75% 1/15/28 11,294,000 12,638,052 
4.95% 4/1/24 882,000 956,321 
5.25% 1/15/26 3,755,000 4,196,196 
Realty Income Corp. 3.25% 1/15/31 1,828,000 2,068,723 
Retail Opportunity Investments Partnership LP:   
4% 12/15/24 641,000 657,745 
5% 12/15/23 494,000 519,689 
Retail Properties America, Inc.:   
4% 3/15/25 10,791,000 10,837,801 
4.75% 9/15/30 17,486,000 17,644,777 
SBA Communications Corp. 4.875% 9/1/24 557,000 570,747 
Simon Property Group LP:   
2.45% 9/13/29 3,008,000 3,075,461 
3.375% 12/1/27 8,103,000 8,893,115 
SITE Centers Corp.:   
3.625% 2/1/25 1,532,000 1,582,828 
4.25% 2/1/26 2,753,000 2,937,571 
Store Capital Corp.:   
2.75% 11/18/30 3,456,000 3,488,621 
4.625% 3/15/29 2,374,000 2,713,079 
The GEO Group, Inc.:   
5.875% 10/15/24 170,000 134,109 
6% 4/15/26 610,000 451,400 
Uniti Group, Inc. 7.875% 2/15/25 (a) 1,050,000 1,115,972 
Ventas Realty LP:   
3% 1/15/30 11,060,000 11,754,870 
3.125% 6/15/23 1,033,000 1,085,795 
4% 3/1/28 2,150,000 2,430,761 
4.125% 1/15/26 999,000 1,143,775 
4.75% 11/15/30 16,500,000 19,987,917 
VEREIT Operating Partnership LP:   
2.2% 6/15/28 1,380,000 1,388,160 
2.85% 12/15/32 1,698,000 1,738,938 
3.4% 1/15/28 2,874,000 3,110,084 
VICI Properties, Inc.:   
3.5% 2/15/25 (a) 305,000 311,100 
4.25% 12/1/26 (a) 1,640,000 1,701,500 
4.625% 12/1/29 (a) 595,000 634,074 
Weingarten Realty Investors 3.375% 10/15/22 456,000 468,410 
WP Carey, Inc.:   
3.85% 7/15/29 1,773,000 1,992,576 
4% 2/1/25 3,423,000 3,771,669 
4.6% 4/1/24 5,327,000 5,903,831 
  205,625,422 
Real Estate Management & Development - 0.2%   
Brandywine Operating Partnership LP:   
3.95% 2/15/23 7,832,000 8,103,382 
3.95% 11/15/27 4,382,000 4,578,831 
4.1% 10/1/24 3,961,000 4,167,399 
4.55% 10/1/29 1,896,000 2,061,215 
CBRE Group, Inc. 4.875% 3/1/26 7,844,000 9,190,039 
Essex Portfolio LP 3.875% 5/1/24 1,923,000 2,103,564 
Howard Hughes Corp. 5.375% 3/15/25 (a) 927,000 953,651 
Mack-Cali Realty LP:   
3.15% 5/15/23 3,573,000 3,547,082 
4.5% 4/18/22 678,000 668,712 
Mid-America Apartments LP 4% 11/15/25 828,000 936,496 
Post Apartment Homes LP 3.375% 12/1/22 502,000 523,243 
Tanger Properties LP:   
3.125% 9/1/26 2,628,000 2,623,242 
3.75% 12/1/24 2,635,000 2,688,596 
3.875% 12/1/23 1,186,000 1,207,279 
3.875% 7/15/27 11,191,000 11,206,455 
  54,559,186 
TOTAL REAL ESTATE  260,184,608 
UTILITIES - 0.5%   
Electric Utilities - 0.2%   
Clearway Energy Operating LLC:   
4.75% 3/15/28 (a) 140,000 150,139 
5% 9/15/26 925,000 952,750 
5.75% 10/15/25 333,000 350,483 
Cleco Corporate Holdings LLC 3.375% 9/15/29 4,843,000 4,956,669 
DPL, Inc. 4.35% 4/15/29 2,785,000 3,126,163 
Duquesne Light Holdings, Inc.:   
2.532% 10/1/30 (a) 2,328,000 2,377,596 
5.9% 12/1/21 (a) 3,889,000 4,065,064 
Exelon Corp.:   
4.05% 4/15/30 3,122,000 3,701,790 
4.7% 4/15/50 1,390,000 1,876,223 
FirstEnergy Corp.:   
4.25% 3/15/23 4,502,000 4,750,442 
7.375% 11/15/31 5,738,000 7,827,804 
InterGen NV 7% 6/30/23 (a) 964,000 912,185 
IPALCO Enterprises, Inc. 3.7% 9/1/24 1,963,000 2,134,174 
NextEra Energy Partners LP 4.25% 9/15/24 (a) 616,000 651,420 
NRG Energy, Inc.:   
3.375% 2/15/29 (a)(e) 110,000 112,338 
3.625% 2/15/31 (a)(e) 225,000 233,438 
5.25% 6/15/29 (a) 484,000 528,489 
5.75% 1/15/28 581,000 634,074 
6.625% 1/15/27 185,000 194,713 
NSG Holdings II LLC/NSG Holdings, Inc. 7.75% 12/15/25 (a) 1,507,774 1,598,240 
Pattern Energy Operations LP 4.5% 8/15/28 (a) 215,000 230,050 
PG&E Corp. 5.25% 7/1/30 1,155,000 1,258,950 
Vistra Operations Co. LLC:   
5% 7/31/27 (a) 1,843,000 1,949,157 
5.5% 9/1/26 (a) 3,498,000 3,660,132 
5.625% 2/15/27 (a) 665,000 702,440 
  48,934,923 
Gas Utilities - 0.0%   
Nakilat, Inc. 6.067% 12/31/33 (a) 1,213,000 1,558,326 
Southern Natural Gas Co./Southern Natural Issuing Corp. 4.4% 6/15/21 701,000 708,738 
  2,267,064 
Independent Power and Renewable Electricity Producers - 0.1%   
TerraForm Power Operating LLC:   
4.25% 1/31/23 (a) 68,000 70,210 
4.75% 1/15/30 (a) 75,000 81,375 
5% 1/31/28 (a) 656,000 733,080 
The AES Corp.:   
3.3% 7/15/25 (a) 15,965,000 17,413,983 
3.95% 7/15/30 (a) 13,922,000 15,785,877 
  34,084,525 
Multi-Utilities - 0.2%   
Berkshire Hathaway Energy Co.:   
3.7% 7/15/30 (a) 1,758,000 2,085,468 
4.05% 4/15/25 (a) 21,459,000 24,362,822 
Consolidated Edison Co. of New York, Inc.:   
3.35% 4/1/30 1,411,000 1,626,686 
3.95% 4/1/50 2,477,000 3,049,626 
NiSource Finance Corp. 5.95% 6/15/41 1,737,000 2,480,402 
NiSource, Inc. 2.95% 9/1/29 12,206,000 13,411,804 
Puget Energy, Inc.:   
4.1% 6/15/30 (a) 6,250,000 7,074,005 
5.625% 7/15/22 3,305,000 3,519,562 
6% 9/1/21 3,185,000 3,310,861 
Sempra Energy 6% 10/15/39 2,744,000 3,933,903 
WEC Energy Group, Inc. 3 month U.S. LIBOR + 2.110% 2.3335% 5/15/67 (c)(d) 1,843,000 1,555,542 
  66,410,681 
TOTAL UTILITIES  151,697,193 
TOTAL NONCONVERTIBLE BONDS   
(Cost $3,716,911,972)  4,185,866,048 
U.S. Treasury Obligations - 6.8%   
U.S. Treasury Bonds:   
1.25% 5/15/50 $511,700,000 $471,163,766 
1.375% 8/15/50 233,000,000 221,386,406 
1.625% 11/15/50 18,600,000 18,794,719 
2% 2/15/50 23,716,000 26,132,994 
U.S. Treasury Notes:   
0.125% 6/30/22 455,500,000 455,428,828 
0.875% 11/15/30 266,938,000 267,563,636 
1.125% 2/28/22 399,000,000 404,049,844 
3.125% 11/15/28 51,642,000 61,336,979 
TOTAL U.S. TREASURY OBLIGATIONS   
(Cost $1,956,452,081)  1,925,857,172 
U.S. Government Agency - Mortgage Securities - 21.9%   
Fannie Mae - 5.8%   
12 month U.S. LIBOR + 1.440% 3.364% 4/1/37 (c)(d) 11,369 11,854 
12 month U.S. LIBOR + 1.460% 2.991% 1/1/35 (c)(d) 17,294 17,970 
12 month U.S. LIBOR + 1.480% 2.476% 7/1/34 (c)(d) 2,981 3,105 
12 month U.S. LIBOR + 1.530% 3.535% 3/1/36 (c)(d) 1,839 1,920 
12 month U.S. LIBOR + 1.550% 2.553% 6/1/36 (c)(d) 10,754 11,270 
12 month U.S. LIBOR + 1.560% 3.565% 3/1/37 (c)(d) 6,653 6,963 
12 month U.S. LIBOR + 1.620% 2.698% 5/1/36 (c)(d) 28,073 29,495 
12 month U.S. LIBOR + 1.630% 2.156% 9/1/36 (c)(d) 8,462 8,852 
12 month U.S. LIBOR + 1.630% 2.828% 3/1/33 (c)(d) 10,013 10,409 
12 month U.S. LIBOR + 1.640% 3.722% 6/1/47 (c)(d) 14,086 14,892 
12 month U.S. LIBOR + 1.660% 2.346% 5/1/35 (c)(d) 20,793 21,720 
12 month U.S. LIBOR + 1.670% 2.967% 7/1/43 (c)(d) 204,553 212,901 
12 month U.S. LIBOR + 1.680% 3.055% 11/1/36 (c)(d) 6,045 6,334 
12 month U.S. LIBOR + 1.680% 3.435% 4/1/36 (c)(d) 4,067 4,274 
12 month U.S. LIBOR + 1.700% 3.005% 6/1/42 (c)(d) 15,767 16,465 
12 month U.S. LIBOR + 1.710% 2.672% 8/1/35 (c)(d) 6,816 7,125 
12 month U.S. LIBOR + 1.730% 2.972% 5/1/36 (c)(d) 10,843 11,401 
12 month U.S. LIBOR + 1.740% 3.488% 3/1/40 (c)(d) 25,135 26,315 
12 month U.S. LIBOR + 1.750% 2.412% 8/1/41 (c)(d) 19,540 20,337 
12 month U.S. LIBOR + 1.750% 3.382% 7/1/35 (c)(d) 5,683 5,950 
12 month U.S. LIBOR + 1.800% 2.698% 12/1/40 (c)(d) 592,629 620,232 
12 month U.S. LIBOR + 1.800% 2.706% 7/1/41 (c)(d) 14,295 14,869 
12 month U.S. LIBOR + 1.800% 3.818% 1/1/42 (c)(d) 32,715 34,105 
12 month U.S. LIBOR + 1.810% 2.321% 9/1/41 (c)(d) 7,561 7,886 
12 month U.S. LIBOR + 1.810% 2.694% 7/1/41 (c)(d) 13,080 13,713 
12 month U.S. LIBOR + 1.810% 3.81% 12/1/39 (c)(d) 13,392 14,019 
12 month U.S. LIBOR + 1.810% 3.826% 2/1/42 (c)(d) 41,855 43,799 
12 month U.S. LIBOR + 1.820% 3.825% 2/1/35 (c)(d) 50,531 53,124 
12 month U.S. LIBOR + 1.830% 2.33% 10/1/41 (c)(d) 6,340 6,590 
12 month U.S. LIBOR + 1.950% 2.806% 7/1/37 (c)(d) 19,585 20,690 
6 month U.S. LIBOR + 1.500% 2.417% 1/1/35 (c)(d) 21,289 22,057 
6 month U.S. LIBOR + 1.530% 2.41% 12/1/34 (c)(d) 3,868 4,014 
6 month U.S. LIBOR + 1.530% 2.41% 3/1/35 (c)(d) 3,869 4,017 
6 month U.S. LIBOR + 1.550% 1.874% 10/1/33 (c)(d) 1,538 1,593 
6 month U.S. LIBOR + 1.560% 2.105% 7/1/35 (c)(d) 2,486 2,583 
6 month U.S. LIBOR + 1.740% 2.865% 12/1/34 (c)(d) 374 390 
6 month U.S. LIBOR + 1.960% 2.725% 9/1/35 (c)(d) 4,517 4,741 
U.S. TREASURY 1 YEAR INDEX + 2.200% 3.708% 3/1/35 (c)(d) 4,268 4,482 
U.S. TREASURY 1 YEAR INDEX + 2.270% 2.631% 6/1/36 (c)(d) 23,712 24,628 
U.S. TREASURY 1 YEAR INDEX + 2.280% 2.417% 10/1/33 (c)(d) 10,902 11,314 
U.S. TREASURY 1 YEAR INDEX + 2.460% 3.297% 7/1/34 (c)(d) 29,335 30,670 
2.5% 11/1/26 to 10/1/50 188,211,286 199,052,203 
3% 7/1/27 to 9/1/50 583,760,137 619,312,103 
3.25% 12/1/41 6,817 7,404 
3.4% 7/1/42 to 9/1/42 135,707 147,220 
3.5% 7/1/32 to 6/1/50 514,192,408 548,900,107 
3.525% 5/1/42 3,948 4,376 
3.65% 5/1/42 to 8/1/42 46,458 51,185 
3.9% 4/1/42 10,475 11,706 
4% 11/1/31 to 11/1/49 128,089,114 140,121,694 
4.25% 11/1/41 32,846 36,998 
4.5% to 4.5% 12/1/23 to 9/1/49 85,635,143 94,622,546 
5% 5/1/21 to 2/1/49 14,280,009 16,281,926 
5.243% 8/1/41 (c) 406,765 460,303 
5.5% 10/1/21 to 9/1/24 28,116 28,747 
6% to 6% 3/1/21 to 1/1/42 1,931,880 2,286,306 
6.5% 3/1/22 to 5/1/38 283,325 322,481 
6.572% 2/1/39 (c) 334,666 369,255 
7% to 7% 9/1/21 to 7/1/37 200,376 230,182 
7.5% to 7.5% 9/1/22 to 9/1/32 98,981 113,240 
8% 3/1/37 3,158 3,834 
8.5% 2/1/22 to 9/1/22 653 685 
9% 10/1/30 7,484 8,852 
TOTAL FANNIE MAE  1,623,762,421 
Freddie Mac - 2.8%   
12 month U.S. LIBOR + 1.320% 3.212% 1/1/36 (c)(d) 8,092 8,377 
12 month U.S. LIBOR + 1.370% 2.835% 3/1/36 (c)(d) 27,153 28,209 
12 month U.S. LIBOR + 1.500% 3.076% 3/1/36 (c)(d) 27,342 28,539 
12 month U.S. LIBOR + 1.510% 2.015% 11/1/35 (c)(d) 6,428 6,703 
12 month U.S. LIBOR + 1.750% 2.328% 9/1/41 (c)(d) 109,004 113,365 
12 month U.S. LIBOR + 1.750% 2.596% 7/1/41 (c)(d) 56,697 58,942 
12 month U.S. LIBOR + 1.750% 3.088% 12/1/40 (c)(d) 255,007 265,751 
12 month U.S. LIBOR + 1.790% 3.793% 4/1/37 (c)(d) 2,616 2,745 
12 month U.S. LIBOR + 1.860% 3.614% 4/1/36 (c)(d) 9,499 10,053 
12 month U.S. LIBOR + 1.870% 2.796% 10/1/42 (c)(d) 38,813 40,600 
12 month U.S. LIBOR + 1.880% 2.463% 9/1/41 (c)(d) 10,960 11,313 
12 month U.S. LIBOR + 1.880% 3.722% 4/1/41 (c)(d) 5,069 5,325 
12 month U.S. LIBOR + 1.910% 2.91% 6/1/41 (c)(d) 5,704 5,945 
12 month U.S. LIBOR + 1.910% 2.925% 6/1/41 (c)(d) 20,590 21,611 
12 month U.S. LIBOR + 1.910% 3.069% 5/1/41 (c)(d) 15,991 16,789 
12 month U.S. LIBOR + 1.910% 3.321% 5/1/41 (c)(d) 19,138 20,101 
12 month U.S. LIBOR + 1.920% 2.92% 6/1/36 (c)(d) 5,339 5,589 
12 month U.S. LIBOR + 1.960% 2.851% 6/1/33 (c)(d) 13,308 14,000 
12 month U.S. LIBOR + 2.020% 3.869% 4/1/38 (c)(d) 14,653 15,403 
12 month U.S. LIBOR + 2.040% 2.97% 7/1/36 (c)(d) 17,024 17,832 
12 month U.S. LIBOR + 2.040% 3.236% 3/1/33 (c)(d) 341 355 
12 month U.S. LIBOR + 2.200% 4.325% 12/1/36 (c)(d) 24,039 25,104 
6 month U.S. LIBOR + 1.120% 2% 8/1/37 (c)(d) 8,836 9,033 
6 month U.S. LIBOR + 1.580% 2.705% 12/1/35 (c)(d) 1,144 1,190 
6 month U.S. LIBOR + 1.720% 2.274% 8/1/37 (c)(d) 17,160 17,908 
6 month U.S. LIBOR + 1.830% 2.58% 5/1/37 (c)(d) 4,437 4,649 
6 month U.S. LIBOR + 1.840% 2.596% 10/1/36 (c)(d) 39,281 41,084 
6 month U.S. LIBOR + 1.840% 2.72% 2/1/37 (c)(d) 4,528 4,754 
6 month U.S. LIBOR + 1.860% 2.642% 10/1/35 (c)(d) 19,797 20,704 
6 month U.S. LIBOR + 2.020% 3.012% 6/1/37 (c)(d) 22,783 23,805 
6 month U.S. LIBOR + 2.690% 2.993% 10/1/35 (c)(d) 11,766 12,286 
U.S. TREASURY 1 YEAR INDEX + 2.030% 3.106% 6/1/33 (c)(d) 25,282 26,453 
U.S. TREASURY 1 YEAR INDEX + 2.260% 3.043% 6/1/33 (c)(d) 45,767 47,792 
U.S. TREASURY 1 YEAR INDEX + 2.420% 3.174% 3/1/35 (c)(d) 92,171 96,059 
2.5% 6/1/31 to 7/1/50 (f)(g)(h) 60,527,947 63,708,239 
3% 6/1/31 to 8/1/50 236,869,539 252,007,447 
3.5% 6/1/27 to 3/1/50 245,529,259 262,916,415 
3.5% 8/1/47 4,604,230 4,948,764 
4% 6/1/33 to 1/1/49 (f)(i) 160,444,415 174,476,763 
4% 4/1/48 30,458 32,644 
4.5% 6/1/25 to 12/1/48 20,545,797 22,737,579 
5% 2/1/21 to 7/1/41 4,085,080 4,700,526 
5.5% 6/1/22 12,972 13,268 
6% 12/1/21 to 6/1/39 411,335 479,496 
6.5% 5/1/21 to 9/1/39 676,856 793,470 
7% 8/1/21 to 9/1/36 194,541 226,644 
7.5% 1/1/27 to 7/1/34 56,628 65,881 
8% 7/1/24 to 4/1/32 4,300 4,937 
8.5% 12/1/22 to 1/1/28 2,854 3,185 
TOTAL FREDDIE MAC  788,143,626 
Ginnie Mae - 6.4%   
3.5% 9/20/40 to 4/20/50 132,786,526 144,039,519 
4% 7/20/33 to 6/20/49 261,332,458 282,717,705 
4.5% 6/20/33 to 11/20/47 39,896,342 44,057,770 
5.5% 8/15/33 to 9/15/39 350,913 412,456 
6% to 6% 10/15/30 to 5/15/40 506,997 595,723 
7% to 7% 11/15/22 to 11/15/32 197,652 227,546 
7.5% to 7.5% 2/15/22 to 9/15/31 53,138 58,955 
8% 11/15/21 to 11/15/29 15,341 16,689 
8.5% to 8.5% 10/15/21 to 1/15/31 6,437 7,378 
9% 1/15/23 27 28 
2.5% 11/20/47 79,407 84,119 
2.5% 12/1/50 (e) 21,300,000 22,435,311 
2.5% 12/1/50 (e) 16,000,000 16,852,816 
2.5% 12/1/50 (e) 12,800,000 13,482,253 
2.5% 12/1/50 (e) 17,050,000 17,958,782 
2.5% 12/1/50 (e) 9,900,000 10,427,680 
2.5% 12/1/50 (e) 13,200,000 13,903,573 
2.5% 12/1/50 (e) 15,600,000 16,431,496 
2.5% 12/1/50 (e) 42,450,000 44,712,627 
2.5% 12/1/50 (e) 13,500,000 14,219,564 
2.5% 12/1/50 (e) 36,700,000 38,656,147 
2.5% 12/1/50 (e) 12,600,000 13,271,593 
2.5% 12/1/50 (e) 12,600,000 13,271,593 
2.5% 12/1/50 (e) 15,100,000 15,904,845 
2.5% 1/1/51 (e) 9,550,000 10,037,015 
2.5% 1/1/51 (e) 31,500,000 33,106,383 
2.5% 1/1/51 (e) 9,700,000 10,194,664 
2.5% 1/1/51 (e) 9,300,000 9,774,266 
2.5% 1/1/51 (e) 32,150,000 33,789,531 
2.5% 1/1/51 (e) 30,750,000 32,318,136 
3% 5/15/42 to 9/20/50 146,426,297 154,422,115 
3% 12/1/50 (e) 5,950,000 6,209,814 
3% 12/1/50 (e) 7,050,000 7,357,847 
3% 12/1/50 (e) 7,100,000 7,410,031 
3% 12/1/50 (e) 15,150,000 15,811,544 
3% 12/1/50 (e) 7,750,000 8,088,414 
3% 12/1/50 (e) 22,350,000 23,325,942 
3% 12/1/50 (e) 17,900,000 18,681,627 
3% 12/1/50 (e) 17,950,000 18,733,810 
3% 12/1/50 (e) 23,900,000 24,943,625 
3% 1/1/51 (e) 14,800,000 15,452,042 
3% 1/1/51 (e) 1,100,000 1,148,463 
3% 1/1/51 (e) 600,000 626,434 
3% 1/1/51 (e) 8,150,000 8,509,064 
3.5% 12/1/50 (e) 15,550,000 16,423,709 
3.5% 12/1/50 (e) 38,600,000 40,768,822 
3.5% 12/1/50 (e) 5,350,000 5,650,601 
3.5% 12/1/50 (e) 3,000,000 3,168,561 
3.5% 12/1/50 (e) 6,100,000 6,442,741 
3.5% 12/1/50 (e) 3,400,000 3,591,036 
3.5% 12/1/50 (e) 5,950,000 6,284,313 
3.5% 12/1/50 (e) 14,850,000 15,684,378 
3.5% 12/1/50 (e) 8,000,000 8,449,497 
3.5% 12/1/50 (e) 19,850,000 20,965,314 
3.5% 12/1/50 (e) 12,150,000 12,832,673 
3.5% 12/1/50 (e) 10,750,000 11,354,011 
3.5% 12/1/50 (e) 15,100,000 15,948,425 
3.5% 12/1/50 (e) 45,550,000 48,109,322 
3.5% 12/1/50 (e) 6,100,000 6,442,741 
3.5% 12/1/50 (e) 9,000,000 9,505,684 
3.5% 12/1/50 (e) 9,500,000 10,033,777 
3.5% 12/1/50 (e) 4,000,000 4,224,748 
3.5% 12/1/50 (e) 15,350,000 16,212,472 
3.5% 12/1/50 (e) 21,550,000 22,760,832 
3.5% 12/1/50 (e) 54,500,000 57,562,197 
3.5% 1/1/51 (e) 19,600,000 20,693,611 
3.5% 1/1/51 (e) 15,550,000 16,417,636 
3.5% 1/1/51 (e) 49,600,000 52,367,506 
3.5% 1/1/51 (e) 38,600,000 40,753,745 
3.5% 1/1/51 (e) 39,800,000 42,020,701 
3.5% 1/1/51 (e) 20,700,000 21,854,988 
3.5% 1/1/51 (e) 19,400,000 20,482,452 
3.5% 1/1/51 (e) 39,300,000 41,492,802 
3.5% 1/1/51 (e) 4,900,000 5,173,403 
5% 4/15/33 to 6/20/48 24,825,406 27,583,564 
6.5% 3/20/31 to 6/15/37 70,739 83,139 
TOTAL GINNIE MAE  1,795,026,336 
Uniform Mortgage Backed Securities - 6.9%   
1.5% 12/1/35 (e) 3,700,000 3,793,879 
1.5% 12/1/35 (e) 4,050,000 4,152,759 
1.5% 12/1/35 (e) 2,200,000 2,255,820 
1.5% 12/1/35 (e) 2,200,000 2,255,820 
1.5% 12/1/35 (e) 1,850,000 1,896,939 
1.5% 12/1/35 (e) 19,250,000 19,738,423 
1.5% 12/1/35 (e) 33,850,000 34,708,863 
1.5% 12/1/35 (e) 13,450,000 13,791,261 
1.5% 12/1/35 (e) 23,650,000 24,250,062 
1.5% 12/1/35 (e) 19,250,000 19,738,423 
1.5% 12/1/35 (e) 13,450,000 13,791,261 
1.5% 12/1/35 (e) 33,850,000 34,708,863 
1.5% 12/1/35 (e) 23,650,000 24,250,062 
1.5% 12/1/35 (e) 4,400,000 4,511,639 
1.5% 12/1/35 (e) 4,800,000 4,921,788 
1.5% 12/1/35 (e) 2,600,000 2,665,969 
1.5% 1/1/36 (e) 4,050,000 4,148,329 
1.5% 1/1/36 (e) 14,250,000 14,595,973 
1.5% 1/1/36 (e) 4,950,000 5,070,180 
1.5% 1/1/36 (e) 29,950,000 30,677,150 
1.5% 1/1/36 (e) 10,450,000 10,703,713 
1.5% 1/1/36 (e) 4,800,000 4,916,538 
2% 12/1/35 (e) 25,800,000 26,858,510 
2% 12/1/35 (e) 13,200,000 13,741,563 
2% 12/1/35 (e) 14,050,000 14,626,436 
2% 12/1/35 (e) 27,500,000 28,628,256 
2% 12/1/35 (e) 24,300,000 25,296,968 
2% 12/1/35 (e) 12,450,000 12,960,792 
2% 12/1/35 (e) 26,300,000 27,379,023 
2% 12/1/35 (e) 13,450,000 14,001,820 
2% 1/1/36 (e) 14,200,000 14,764,285 
2% 1/1/36 (e) 27,800,000 28,904,728 
2% 1/1/36 (e) 51,800,000 53,858,449 
2% 1/1/36 (e) 26,500,000 27,553,068 
2% 12/1/50 (e) 39,150,000 40,667,986 
2% 12/1/50 (e) 11,850,000 12,309,467 
2% 12/1/50 (e) 11,850,000 12,309,467 
2% 12/1/50 (e) 23,900,000 24,826,689 
2% 12/1/50 (e) 31,050,000 32,253,920 
2% 12/1/50 (e) 18,950,000 19,684,760 
2% 12/1/50 (e) 7,450,000 7,738,863 
2% 12/1/50 (e) 37,800,000 39,265,642 
2% 12/1/50 (e) 8,300,000 8,621,821 
2% 12/1/50 (e) 1,100,000 1,142,651 
2% 12/1/50 (e) 30,850,000 32,046,166 
2% 12/1/50 (e) 9,200,000 9,556,717 
2% 12/1/50 (e) 1,550,000 1,610,099 
2% 12/1/50 (e) 14,500,000 15,062,217 
2% 12/1/50 (e) 23,900,000 24,826,689 
2% 12/1/50 (e) 19,450,000 20,204,147 
2% 12/1/50 (e) 19,450,000 20,204,147 
2.5% 12/1/35 (e) 11,400,000 11,850,648 
2.5% 12/1/35 (e) 11,700,000 12,162,507 
2.5% 12/1/35 (e) 8,450,000 8,784,033 
2.5% 12/1/35 (e) 5,850,000 6,081,253 
2.5% 12/1/35 (e) 800,000 831,624 
2.5% 12/1/35 (e) 4,750,000 4,937,770 
2.5% 12/1/50 (e) 33,500,000 35,099,089 
2.5% 12/1/50 (e) 26,000,000 27,241,084 
3% 12/1/50 (e) 8,300,000 8,670,914 
3% 12/1/50 (e) 10,700,000 11,178,166 
3% 12/1/50 (e) 9,400,000 9,820,071 
3% 12/1/50 (e) 27,100,000 28,311,056 
3% 12/1/50 (e) 27,450,000 28,676,697 
3% 12/1/50 (e) 20,050,000 20,946,002 
3% 12/1/50 (e) 20,350,000 21,259,409 
3% 12/1/50 (e) 20,350,000 21,259,409 
3% 12/1/50 (e) 27,900,000 29,146,806 
3% 12/1/50 (e) 27,900,000 29,146,806 
3% 12/1/50 (e) 22,000,000 22,983,145 
3% 12/1/50 (e) 16,800,000 17,550,765 
3% 12/1/50 (e) 36,800,000 38,444,533 
3% 12/1/50 (e) 36,800,000 38,444,533 
3% 12/1/50 (e) 9,700,000 10,133,477 
3% 12/1/50 (e) 7,250,000 7,573,991 
3% 12/1/50 (e) 7,250,000 7,573,991 
3% 12/1/50 (e) 4,350,000 4,544,395 
3% 12/1/50 (e) 5,650,000 5,902,489 
3% 1/1/51 (e) 9,700,000 10,139,540 
3% 1/1/51 (e) 9,500,000 9,930,477 
3% 1/1/51 (e) 5,750,000 6,010,552 
3% 1/1/51 (e) 8,050,000 8,414,773 
3% 1/1/51 (e) 25,900,000 27,073,617 
3% 1/1/51 (e) 26,400,000 27,596,274 
3.5% 12/1/50 (e) 84,400,000 89,022,242 
3.5% 12/1/50 (e) 7,900,000 8,332,651 
3.5% 12/1/50 (e) 9,100,000 9,598,370 
3.5% 12/1/50 (e) 8,100,000 8,543,604 
3.5% 12/1/50 (e) 69,050,000 72,831,585 
3.5% 12/1/50 (e) 68,500,000 72,251,464 
3.5% 12/1/50 (e) 3,750,000 3,955,372 
3.5% 12/1/50 (e) 4,350,000 4,588,232 
3.5% 12/1/50 (e) 3,900,000 4,113,587 
3.5% 12/1/50 (e) 7,300,000 7,699,791 
3.5% 12/1/50 (e) 6,450,000 6,803,240 
3.5% 12/1/50 (e) 14,350,000 15,135,891 
3.5% 12/1/50 (e) 13,150,000 13,870,172 
3.5% 12/1/50 (e) 4,750,000 5,010,138 
3.5% 12/1/50 (e) 4,350,000 4,588,232 
3.5% 12/1/50 (e) 54,500,000 57,484,742 
3.5% 12/1/50 (e) 5,500,000 5,801,212 
3.5% 12/1/50 (e) 3,700,000 3,902,634 
4% 12/1/50 (e) 4,175,000 4,454,692 
4% 12/1/50 (e) 150,000 160,049 
4% 12/1/50 (e) 7,900,000 8,429,237 
4% 12/1/50 (e) 5,150,000 5,495,009 
4% 12/1/50 (e) 27,350,000 29,182,231 
4% 12/1/50 (e) 3,800,000 4,054,570 
4% 12/1/50 (e) 3,300,000 3,521,074 
4% 12/1/50 (e) 6,350,000 6,775,399 
4% 12/1/50 (e) 3,050,000 3,254,326 
4% 12/1/50 (e) 4,925,000 5,254,936 
4% 12/1/50 (e) 4,175,000 4,454,692 
4% 12/1/50 (e) 150,000 160,049 
4% 12/1/50 (e) 5,225,000 5,575,033 
4% 12/1/50 (e) 14,450,000 15,418,034 
4% 12/1/50 (e) 13,050,000 13,924,246 
TOTAL UNIFORM MORTGAGE BACKED SECURITIES  1,953,815,692 
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES   
(Cost $6,076,700,116)  6,160,748,075 
Asset-Backed Securities - 2.6%   
AASET Trust:   
Series 2018-1A Class A, 3.844% 1/16/38 (a) $8,558,545 $8,102,235 
Series 2019-1 Class A, 3.844% 5/15/39 (a) 5,259,112 4,941,181 
Series 2019-2:   
Class A, 3.376% 10/16/39 (a) 8,813,579 8,325,496 
Class B, 4.458% 10/16/39 (a) 1,629,753 1,186,536 
Aimco Series 2019-10A Class A, 3 month U.S. LIBOR + 1.320% 1.5358% 7/22/32 (a)(c)(d) 11,898,000 11,886,887 
AIMCO CLO Ltd. Series 2020-11A Class A1, 3 month U.S. LIBOR + 1.380% 1.6046% 10/15/31 (a)(c)(d) 8,424,000 8,424,396 
Allegany Park CLO, Ltd. / Allegany Series 2020-1A Class A, 3 month U.S. LIBOR + 1.330% 1.5484% 1/20/33 (a)(c)(d) 4,684,000 4,681,325 
Apollo Aviation Securitization Equity Trust Series 2020-1A:   
Class A, 3.351% 1/16/40 (a) 4,730,547 4,416,244 
Class B, 4.335% 1/16/40 (a) 766,953 557,569 
Ares CLO Series 2019-54A Class A, 3 month U.S. LIBOR + 1.320% 1.5569% 10/15/32 (a)(c)(d) 8,066,000 8,059,410 
Ares CLO Ltd. Series 2020-58A Class A, 3 month U.S. LIBOR + 1.220% 0% 1/15/33 (a)(c)(d) 11,060,000 11,060,000 
Ares LV CLO Ltd. Series 2020-55A Class A1, 3 month U.S. LIBOR + 1.700% 1.9369% 4/15/31 (a)(c)(d) 8,740,000 8,756,186 
Ares XLI CLO Ltd. / Ares XLI CLO LLC Series 2016-41A Class AR, 3 month U.S. LIBOR + 1.200% 1.4369% 1/15/29 (a)(c)(d) 9,695,000 9,656,336 
Ares XXXIV CLO Ltd. Series 2020-2A Class AR2, 3 month U.S. LIBOR + 1.250% 1.4678% 4/17/33 (a)(c)(d) 20,753,000 20,704,044 
Argent Securities, Inc. pass-thru certificates Series 2005-W2 Class A2C, 1 month U.S. LIBOR + 0.360% 0.5101% 10/25/35 (c)(d) 28,767 28,686 
Babson CLO Ltd./Cayman Islands Series 2020-1A Class A1, 3 month U.S. LIBOR + 1.400% 1.6301% 10/15/32 (a)(c)(d) 13,346,000 13,329,264 
Beechwood Park CLO Ltd. Series 2019-1A Class A1, 3 month U.S. LIBOR + 1.330% 1.5478% 1/17/33 (a)(c)(d) 3,961,000 3,958,726 
Blackbird Capital Aircraft Series 2016-1A:   
Class A, 4.213% 12/16/41 (a) 6,217,167 5,909,627 
Class AA, 2.487% 12/16/41 (a)(c) 1,079,687 1,037,822 
Brazos Higher Education Authority, Inc.:   
Series 2010-1 Class A1, 3 month U.S. LIBOR + 0.900% 1.15% 5/25/29 (c)(d) 413,701 414,110 
Series 2011-2 Class A2, 3 month U.S. LIBOR + 0.850% 1.0648% 7/25/29 (c)(d) 602,675 602,883 
Bristol Park CLO, Ltd. Series 2020-1A Class AR, 3 month U.S. LIBOR + 0.990% 1.2269% 4/15/29 (a)(c)(d) 10,597,000 10,508,727 
Carvana Auto Receivables Trust Series 2019-4A Class A2, 2.2% 7/15/22 (a) 549,328 550,609 
Cascade Funding Mortgage Trust:   
Series 2020-HB2 Class A, 3.4047% 4/25/30 (a) 13,810,042 13,958,030 
Series 2020-HB3 Class A, 2.8115% 5/25/30 (a)(c) 1,645,666 1,659,820 
Castlelake Aircraft Securitization Trust Series 2019-1A:   
Class A, 3.967% 4/15/39 (a) 8,902,123 8,329,629 
Class B, 5.095% 4/15/39 (a) 3,608,108 2,685,096 
Castlelake Aircraft Structured Trust Series 2018-1 Class A, 4.125% 6/15/43 (a) 5,614,441 5,305,649 
Cedar Funding Ltd.:   
Series 2019-10A Class A, 3 month U.S. LIBOR + 1.340% 1.5584% 10/20/32 (a)(c)(d) 6,412,000 6,409,083 
Series 2019-11A Class A1A, 3 month U.S. LIBOR + 1.350% 1.596% 5/29/32 (a)(c)(d) 4,342,000 4,339,829 
Cedar Funding XII CLO Ltd. / Cedar Funding XII CLO LLC Series 2020-12A Class A, 3 month U.S. LIBOR + 1.270% 1.5101% 10/25/32 (a)(c)(d) 5,250,000 5,243,401 
CEDF Series 2018-6A Class AR, 3 month U.S. LIBOR + 1.090% 1.3084% 10/20/28 (a)(c)(d) 2,010,000 2,001,214 
Cent CLO Ltd. / Cent CLO Series 2020-29A Class A1N, 3 month U.S. LIBOR + 1.700% 1.9194% 7/20/31 (a)(c)(d) 10,867,000 10,907,751 
Citi Mortgage Loan Trust Series 2007-1 Class 1A, 1 month U.S. LIBOR + 1.350% 1.5001% 10/25/37 (a)(c)(d) 177,258 177,960 
CNH Equipment Trust Series 2019-C Class A2, 1.99% 3/15/23 2,225,762 2,239,619 
Collegiate Funding Services Education Loan Trust Series 2004-A Class A4, 3 month U.S. LIBOR + 0.340% 0.5733% 9/28/30 (c)(d) 849,090 844,837 
Consumer Lending Receivables Trust Series 2019-A Class A, 3.52% 4/15/26 (a) 2,287,251 2,296,959 
Consumer Loan Underlying Bond Credit Trust:   
Series 2018-P3 Class A, 3.82% 1/15/26 (a) 914,025 918,674 
Series 2019-HP1 Class A, 2.59% 12/15/26 (a) 9,648,836 9,760,861 
Series 2019-P1 Class A, 2.94% 7/15/26 (a) 2,641,744 2,660,127 
CPS Auto Receivables Trust Series 2019-D Class A, 2.17% 12/15/22 (a) 512,389 514,241 
DB Master Finance LLC:   
Series 2017-1A:   
Class A2I, 3.629% 11/20/47 (a) 3,145,065 3,228,787 
Class A2II, 4.03% 11/20/47 (a) 5,349,723 5,686,327 
Series 2019-1A:   
Class A23, 4.352% 5/20/49 (a) 992,438 1,073,450 
Class A2II, 4.021% 5/20/49 (a) 746,550 787,200 
Dominos Pizza Master Issuer LLC Series 2019-1A Class A2, 3.668% 10/25/49 (a) 2,113,650 2,245,521 
Dryden 68 CLO Ltd. 3 month U.S. LIBOR + 1.310% 1.5469% 7/15/32 (a)(c)(d) 7,300,000 7,293,569 
Dryden CLO, Ltd.:   
Series 2019-75A Class AR, 3 month U.S. LIBOR + 1.200% 1.4369% 7/15/30 (a)(c)(d) 4,690,000 4,672,305 
Series 2019-76A Class A1, 3 month U.S. LIBOR + 1.330% 1.5484% 10/20/32 (a)(c)(d) 10,321,000 10,322,713 
Series 2021-83A Class A, 3 month U.S. LIBOR + 1.220% 1.22% 1/18/32 (a)(c)(d)(e) 3,940,000 3,940,000 
Dryden CLO, Ltd. / Dryden CLO, LLC Series 2020-85A Class A1, 3 month U.S. LIBOR + 1.350% 1.5633% 10/15/32 (a)(c)(d) 9,656,000 9,643,843 
Dryden Senior Loan Fund:   
Series 2014-36A Class AR2, 3 month U.S. LIBOR + 1.280% 1.5169% 4/15/29 (a)(c)(d) 10,233,000 10,223,678 
Series 2018-70A Class A1, 3 month U.S. LIBOR + 1.170% 1.4001% 1/16/32 (a)(c)(d) 2,909,000 2,905,355 
Series 2019-72A Class A, 3 month U.S. LIBOR + 1.330% 1.6101% 5/15/32 (a)(c)(d) 7,468,000 7,460,704 
Series 2020-78A Class A, 3 month U.S. LIBOR + 1.180% 1.3978% 4/17/33 (a)(c)(d) 7,000,000 6,956,726 
Eaton Vance CLO, Ltd.:   
Series 2020-1A Class A, 1.65% 10/15/30 (a) 9,200,000 9,228,621 
Series 2020-2A Class A1, 3 month U.S. LIBOR + 1.370% 1.5603% 10/15/32 (a)(c)(d) 9,400,000 9,388,175 
Exeter Automobile Receivables Trust Series 2019-4A Class A, 2.18% 1/17/23 (a) 1,085,996 1,088,596 
Flatiron CLO Ltd. Series 2019-1A Class A, 3 month U.S. LIBOR + 1.320% 1.541% 11/16/32 (a)(c)(d) 8,949,000 8,942,091 
Flatiron CLO Ltd. / Flatiron CLO LLC Series 2020-1A Class A, 3 month U.S. LIBOR + 1.300% 1.5483% 11/20/33 (a)(c)(d) 8,920,000 8,919,946 
Ford Credit Floorplan Master Owner Trust:   
Series 2018-1 Class B, 3.1% 5/15/23 6,690,000 6,747,977 
Series 2019-1 Class B, 3.04% 3/15/24 1,170,000 1,192,547 
Series 2019-2 Class A, 3.06% 4/15/26 8,253,000 8,917,299 
Series 2019-3 Class A1, 2.23% 9/15/24 4,320,000 4,458,497 
Series 2019-4 Class A, 2.44% 9/15/26 1,300,000 1,383,696 
GM Financial Automobile Leasing Trust Series 2020-1 Class A2A, 1.67% 4/20/22 5,768,240 5,796,991 
GMF Floorplan Owner Revolving Trust:   
Series 2018-2 Class A2, 3.13% 3/15/23 (a) 6,010,000 6,057,187 
Series 2018-4 Class A2, 1 month U.S. LIBOR + 0.410% 0.5509% 9/15/23 (a)(c)(d) 4,186,000 4,192,428 
Hertz Fleet Lease Funding LP Series 2017-1 Class A1, 1 month U.S. LIBOR + 0.650% 0.7778% 4/10/31 (a)(c)(d) 25,928 25,926 
Horizon Aircraft Finance I Ltd. Series 2018-1 Class A, 4.458% 12/15/38 (a) 3,326,853 3,172,360 
Horizon Aircraft Finance Ltd. Series 2019-1 Class A, 3.721% 7/15/39 (a) 4,719,582 4,495,995 
Lanark Master Issuer PLC Series 2020-1A Class 1A, 2.277% 12/22/69 (a)(c) 7,887,000 8,075,342 
Lucali CLO Ltd. Series 2021-1A Class A, 3 month U.S. LIBOR + 1.210% 1.21% 1/15/33 (a)(c)(d)(e) 4,500,000 4,500,000 
Madison Park Funding Series 2020-19A Class A1R2, 3 month U.S. LIBOR + 0.920% 1.1358% 1/22/28 (a)(c)(d) 2,750,000 2,743,142 
Madison Park Funding Ltd.:   
Series 2012-10A Class AR2, 3 month U.S. LIBOR + 1.220% 1.4384% 1/20/29 (a)(c)(d) 3,495,000 3,491,666 
Series 2019-37A Class A1, 3 month U.S. LIBOR + 1.300% 1.5369% 7/15/32 (a)(c)(d) 9,585,000 9,578,942 
Madison Park Funding XLV Ltd./Madison Park Funding XLV LLC Series 2020-45A Class A, 3 month U.S. LIBOR + 1.650% 1.9184% 7/15/31 (a)(c)(d) 9,770,000 9,786,795 
Madison Park Funding XXXIII Ltd. Series 2019-33A Class A, 3 month U.S. LIBOR + 1.330% 1.5669% 10/15/32 (a)(c)(d) 4,271,000 4,268,548 
Magnetite CLO Ltd.:   
Series 2019-21A Class A, 3 month U.S. LIBOR + 1.280% 1.4984% 4/20/30 (a)(c)(d) 7,329,000 7,322,103 
Series 2019-24A Class A, 3 month U.S. LIBOR + 1.330% 1.5669% 1/15/33 (a)(c)(d) 23,148,000 23,134,713 
Magnetite XVI, Ltd. / Magnetite XVI, LLC Series 2015-16A Class AR, 3 month U.S. LIBOR + 0.800% 1.0178% 1/18/28 (a)(c)(d) 8,583,655 8,530,162 
Marlette Funding Trust:   
Series 2019-4A Class A, 2.39% 12/17/29 (a) 2,641,718 2,663,510 
Series 2020-1A Class A, 2.24% 3/15/30 (a) 1,809,592 1,821,583 
Mercedes-Benz Master Owner Trust Series 2019-BA Class A, 2.61% 5/15/24 (a) 10,340,000 10,685,575 
Metlife Securitization Trust Series 2019-1A Class A1A, 3.75% 4/25/58 (a) 2,982,285 3,194,158 
Milos CLO, Ltd. Series 2020-1A Class AR, 3 month U.S. LIBOR + 1.070% 1.2884% 10/20/30 (a)(c)(d) 10,553,000 10,468,407 
Mortgage Repurchase Agreement Financing Trust Series 2020-5 Class A1, 1 month U.S. LIBOR + 1.000% 1% 8/10/23 (a)(c)(d) 21,867,000 21,867,284 
Nationstar HECM Loan Trust:   
Series 2019-1A Class A, 2.6513% 6/25/29 (a) 1,510,163 1,512,462 
Series 2020-1A Class A1, 1.2686% 9/25/30 (a) 14,329,404 14,310,776 
Navient Student Loan Trust Series 2017-3A Class A2, 1 month U.S. LIBOR + 0.600% 0.7501% 7/26/66 (a)(c)(d) 551,905 551,787 
New Century Home Equity Loan Trust Series 2005-4 Class M2, 1 month U.S. LIBOR + 0.510% 0.6601% 9/25/35 (c)(d) 50,701 50,635 
Niagara Park CLO, Ltd. Series 2019-1A Class A, 3 month U.S. LIBOR + 1.300% 1.5178% 7/17/32 (a)(c)(d) 8,594,000 8,584,856 
Planet Fitness Master Issuer LLC Series 2019-1A Class A2, 3.858% 12/5/49 (a) 7,045,758 6,656,057 
Prosper Marketplace Issuance Trust:   
Series 2019-3A Class A, 3.19% 7/15/25 (a) 2,568,484 2,579,575 
Series 2019-4A Class A, 2.48% 2/17/26 (a) 1,658,150 1,664,537 
Provident Funding Mortgage Trust Series 2020-1 Class A3, 3% 2/25/50 (a) 6,899,972 6,995,978 
RMF Buyout Issuance Trust Series 2020-1 Class A, 2.1582% 2/25/30 (a) 3,465,673 3,477,363 
Santander Retail Auto Lease Trust Series 2019-C Class A2A, 1.89% 9/20/22 (a) 2,935,868 2,959,719 
Sapphire Aviation Finance Series 2020-1A:   
Class A, 3.228% 3/15/40 (a) 9,974,907 9,255,292 
Class B, 4.335% 3/15/40 (a) 853,777 582,942 
SBA Tower Trust:   
Series 2019, 2.836% 1/15/50 (a) 8,715,000 9,255,243 
1.884% 7/15/50 (a) 4,275,000 4,401,423 
2.328% 7/15/52 (a) 3,269,000 3,302,109 
SLM Student Loan Trust Series 2003-10A Class A3, 3 month U.S. LIBOR + 0.470% 0.7204% 12/15/27 (a)(c)(d) 1,203,937 1,203,707 
SoFi Consumer Loan Program Trust Series 2019-4 Class A, 2.45% 8/25/28 (a) 4,444,051 4,492,482 
Stratus CLO Ltd. Series 2020-1A Class A, 3 month U.S. LIBOR + 1.980% 2.1984% 5/1/28 (a)(c)(d) 14,018,235 14,066,921 
Symphony CLO XXIII Ltd. Series 2020-23A Class A, 3 month U.S. LIBOR + 0.000% 1.32% 1/15/34 (a)(c)(d) 5,300,000 5,300,000 
Taconic Park CLO, Ltd. Series 2020-1A Class A1R, 3 month U.S. LIBOR + 1.000% 1.2184% 1/20/29 (a)(c)(d) 7,106,000 7,057,935 
Terwin Mortgage Trust Series 2003-4HE Class A1, 1 month U.S. LIBOR + 0.860% 1.0101% 9/25/34 (c)(d) 7,249 6,661 
Thunderbolt Aircraft Lease Ltd. Series 2018-A Class A, 4.147% 9/15/38 (a)(c) 9,675,593 9,242,247 
Thunderbolt III Aircraft Lease Ltd. Series 2019-1 Class A, 3.671% 11/15/39 (a) 20,541,060 19,501,715 
Towd Point Mortgage Trust:   
Series 2018-3 Class A1, 3.75% 5/25/58 (a) 2,101,481 2,243,568 
Series 2018-6 Class A1A, 3.75% 3/25/58 (a) 309,466 325,724 
Series 2019-1 Class A1, 3.7236% 3/25/58 (a)(c) 1,139,996 1,223,127 
Series 2019-MH1 Class A1, 3% 11/25/58 (a) 1,820,109 1,865,121 
Series 2020-4 Class A1, 1.75% 10/25/60 (a) 6,728,956 6,872,618 
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 3 month U.S. LIBOR + 0.560% 0.7935% 4/6/42 (a)(c)(d) 778,000 536,820 
Upgrade Receivables Trust Series 2019-2A Class A, 2.77% 10/15/25 (a) 1,499,318 1,502,369 
Verde CLO Ltd. Series 2019-1A Class A, 3 month U.S. LIBOR + 1.350% 1.5869% 4/15/32 (a)(c)(d) 8,606,000 8,597,764 
Voya Series 2020-1A Class A, 3 month U.S. LIBOR + 1.700% 2.0027% 7/16/31 (a)(c)(d) 12,409,000 12,451,377 
Voya CLO Ltd. Series 2017-1A Class A1, 3 month U.S. LIBOR + 1.250% 1.4678% 4/17/30 (a)(c)(d) 4,458,000 4,445,790 
Voya CLO Ltd. / Voya CLO LLC Series 2020-3A Class A1, 3 month U.S. LIBOR + 1.300% 1.4965% 10/20/31 (a)(c)(d) 11,800,000 11,785,179 
Voya CLO Ltd./Voya CLO LLC Series 2020-2A Class A1, 3 month U.S. LIBOR + 1.600% 1.7848% 7/19/31 (a)(c)(d) 9,150,000 9,161,611 
TOTAL ASSET-BACKED SECURITIES   
(Cost $718,430,496)  717,955,009 
Collateralized Mortgage Obligations - 1.0%   
Private Sponsor - 0.4%   
Banc of America Funding Corp. Series 2015-R3 Class 10A1, 1 month U.S. LIBOR + 0.140% 0.2881% 6/27/36 (a)(c)(d) 7,175 7,165 
BCAP LLC Trust sequential payer Series 2010-RR2 Class 5A2, 5% 12/26/36 (a) 4,151 4,141 
Citigroup Mortgage Loan Trust sequential payer Series 2014-8 Class 2A1, 3.45% 6/27/37 (a)(c) 111,700 111,416 
CSMC:   
floater Series 2015-1R Class 6A1, 1 month U.S. LIBOR + 0.280% 0.4143% 5/27/37 (a)(c)(d) 103,947 98,261 
Series 2014-3R:   
Class 2A1, 1 month U.S. LIBOR + 0.700% 0% 5/27/37 (a)(c)(d)(j) 543,242 54 
Class AA1, 1 month U.S. LIBOR + 0.280% 0.4143% 5/27/37 (a)(c)(d) 1,090,129 1,007,269 
CSMC Trust sequential payer Series 2020-RPL4 Class A1, 2% 1/25/60 (a) 5,778,197 5,952,267 
Ginnie Mae guaranteed REMIC pass-thru certificates floater Series 2019-23 Class NF, 1 month U.S. LIBOR + 0.450% 0.5965% 2/20/49 (c)(d) 4,903,009 4,953,557 
Lanark Master Issuer PLC:   
floater Series 2019-1A Class 1A1, 3 month U.S. LIBOR + 0.770% 1.0261% 12/22/69 (a)(c)(d) 1,906,333 1,912,180 
Series 2019-2A Class 1A, 2.71% 12/22/69 (a)(c) 9,300,000 9,507,325 
Mortgage Repurchase Agreement Financing Trust:   
floater Series 2020-3 Class A1, 1 month U.S. LIBOR + 1.250% 1.3778% 1/23/23 (a)(c)(d) 5,443,000 5,445,079 
Series 2020-4 Class A1, 1 month U.S. LIBOR + 1.350% 1.4778% 4/23/23 (a)(c)(d) 25,857,000 25,860,708 
Nationstar HECM Loan Trust sequential payer Series 2019-2A Class A, 2.2722% 11/26/29 (a) 2,802,183 2,809,421 
New Residential Mortgage Loan Trust Series 2019-5A Class A1B, 3.5% 8/25/59 (a) 5,006,803 5,217,767 
New Residential Mtg Ln Trust 2020 3.5% 10/25/59 (a) 6,826,409 7,228,057 
Provident Funding Mortgage Trust sequential payer Series 2019-1 Class A3, 3% 12/25/49 (a) 1,733,762 1,756,277 
RMF Buyout Issuance Trust:   
sequential payer Series 2020-2 Class A, 1.7063% 6/25/30 (a) 22,177,538 22,215,812 
Series 2020-HB1 Class A1, 1.7188% 10/25/50 (a) 5,499,625 5,499,097 
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 6 month U.S. LIBOR + 0.880% 1.3048% 7/20/34 (c)(d) 2,425 2,334 
Silverstone Master Issuer PLC floater Series 2019-1A Class 1A, 3 month U.S. LIBOR + 0.570% 0.7786% 1/21/70 (a)(c)(d) 10,080,000 10,101,309 
Thornburg Mortgage Securities Trust floater Series 2003-4 Class A1, 1 month U.S. LIBOR + 0.640% 0.7901% 9/25/43 (c)(d) 97,439 94,712 
Wells Fargo Mortgage Backed Securities Trust Series 2003-I Class A1, 2.8781% 9/25/33 (c) 12,791 12,572 
TOTAL PRIVATE SPONSOR  109,796,780 
U.S. Government Agency - 0.6%   
Fannie Mae:   
floater:   
Series 2002-18 Class FD, 1 month U.S. LIBOR + 0.800% 0.9501% 2/25/32 (c)(d) 3,572 3,631 
Series 2002-39 Class FD, 1 month U.S. LIBOR + 1.000% 1.1435% 3/18/32 (c)(d) 6,403 6,545 
Series 2002-60 Class FV, 1 month U.S. LIBOR + 1.000% 1.1501% 4/25/32 (c)(d) 7,082 7,252 
Series 2002-63 Class FN, 1 month U.S. LIBOR + 1.000% 1.1501% 10/25/32 (c)(d) 9,422 9,640 
Series 2002-7 Class FC, 1 month U.S. LIBOR + 0.750% 0.9001% 1/25/32 (c)(d) 3,542 3,595 
Series 2003-118 Class S, 8.100% - 1 month U.S. LIBOR 7.9499% 12/25/33 (c)(k)(l) 131,247 36,360 
Series 2006-104 Class GI, 6.680% - 1 month U.S. LIBOR 6.5299% 11/25/36 (c)(k)(l) 88,724 19,705 
Series 2012-154 Class F, 1 month U.S. LIBOR + 0.300% 0.4501% 1/25/43 (c)(d) 921,749 922,720 
Series 2017-36 Class FB, 1 month U.S. LIBOR + 0.350% 0.5001% 5/25/47 (c)(d) 2,028,819 2,034,656 
Series 2018-32 Class FB, 1 month U.S. LIBOR + 0.300% 0.4501% 5/25/48 (c)(d) 1,235,667 1,237,084 
Series 2018-38 Class FG, 1 month U.S. LIBOR + 0.300% 0.4501% 6/25/48 (c)(d) 3,985,077 3,986,542 
planned amortization class:   
Series 1992-168 Class KB, 7% 10/25/22 1,260 1,323 
Series 1993-207 Class H, 6.5% 11/25/23 29,666 31,679 
Series 1996-28 Class PK, 6.5% 7/25/25 10,536 11,294 
Series 1999-17 Class PG, 6% 4/25/29 63,381 70,545 
Series 1999-32 Class PL, 6% 7/25/29 63,823 71,245 
Series 1999-33 Class PK, 6% 7/25/29 47,415 53,003 
Series 2001-52 Class YZ, 6.5% 10/25/31 6,382 7,519 
Series 2003-28 Class KG, 5.5% 4/25/23 15,275 15,961 
Series 2005-102 Class CO 11/25/35 (m) 24,273 22,850 
Series 2005-39 Class TE, 5% 5/25/35 24,617 27,639 
Series 2005-73 Class SA, 17.500% - 1 month U.S. LIBOR 17.1597% 8/25/35 (c)(l) 7,646 10,534 
Series 2005-81 Class PC, 5.5% 9/25/35 67,970 77,312 
Series 2006-12 Class BO 10/25/35 (m) 110,647 103,862 
Series 2006-15 Class OP 3/25/36 (m) 125,358 117,998 
Series 2006-37 Class OW 5/25/36 (m) 11,858 11,082 
Series 2006-45 Class OP 6/25/36 (m) 39,049 36,637 
Series 2006-62 Class KP 4/25/36 (m) 65,156 61,472 
Series 2012-149:   
Class DA, 1.75% 1/25/43 185,370 191,244 
Class GA, 1.75% 6/25/42 199,211 205,181 
sequential payer:   
Series 1997-41 Class J, 7.5% 6/18/27 10,275 11,777 
Series 1999-25 Class Z, 6% 6/25/29 38,597 43,944 
Series 2001-20 Class Z, 6% 5/25/31 65,905 74,010 
Series 2001-31 Class ZC, 6.5% 7/25/31 33,675 38,898 
Series 2002-16 Class ZD, 6.5% 4/25/32 19,684 23,255 
Series 2002-74 Class SV, 7.550% - 1 month U.S. LIBOR 7.3999% 11/25/32 (c)(k)(l) 66,531 9,861 
Series 2012-67 Class AI, 4.5% 7/25/27 (k) 128,431 8,035 
Series 06-116 Class SG, 6.640% - 1 month U.S. LIBOR 6.4899% 12/25/36 (c)(k)(l) 69,518 18,976 
Series 07-40 Class SE, 6.440% - 1 month U.S. LIBOR 6.2899% 5/25/37 (c)(k)(l) 38,150 8,688 
Series 1993-165 Class SH, 19.800% - 1 month U.S. LIBOR 19.3752% 9/25/23 (c)(l) 1,851 2,175 
Series 2003-21 Class SK, 8.100% - 1 month U.S. LIBOR 7.9499% 3/25/33 (c)(k)(l) 10,428 2,528 
Series 2005-72 Class ZC, 5.5% 8/25/35 480,104 544,835 
Series 2005-79 Class ZC, 5.9% 9/25/35 284,570 326,401 
Series 2007-57 Class SA, 40.600% - 1 month U.S. LIBOR 39.7192% 6/25/37 (c)(l) 41,644 89,137 
Series 2007-66:   
Class SA, 39.600% - 1 month U.S. LIBOR 38.6992% 7/25/37 (c)(l) 43,503 93,172 
Class SB, 39.600% - 1 month U.S. LIBOR 38.6992% 7/25/37 (c)(l) 15,085 28,634 
Series 2008-12 Class SG, 6.350% - 1 month U.S. LIBOR 6.1999% 3/25/38 (c)(k)(l) 240,668 51,556 
Series 2010-112 Class SG, 6.360% - 1 month U.S. LIBOR 6.2099% 6/25/21 (c)(k)(l) 2 0 
Series 2010-135:   
Class LS, 6.050% - 1 month U.S. LIBOR 5.8999% 12/25/40 (c)(k)(l) 229,482 47,370 
Class ZA, 4.5% 12/25/40 139,300 153,939 
Series 2010-139 Class NI, 4.5% 2/25/40 (k) 134,301 8,211 
Series 2010-150 Class ZC, 4.75% 1/25/41 1,023,704 1,152,459 
Series 2010-95 Class ZC, 5% 9/25/40 2,166,866 2,452,905 
Series 2011-39 Class ZA, 6% 11/25/32 150,029 174,736 
Series 2011-4 Class PZ, 5% 2/25/41 375,843 438,102 
Series 2011-67 Class AI, 4% 7/25/26 (k) 39,267 2,162 
Series 2011-83 Class DI, 6% 9/25/26 (k) 23,426 796 
Series 2012-100 Class WI, 3% 9/25/27 (k) 660,922 43,842 
Series 2012-14 Class JS, 6.650% - 1 month U.S. LIBOR 6.5008% 12/25/30 (c)(k)(l) 197,046 12,732 
Series 2012-9 Class SH, 6.550% - 1 month U.S. LIBOR 6.3999% 6/25/41 (c)(k)(l) 249,143 20,645 
Series 2013-133 Class IB, 3% 4/25/32 (k) 413,616 14,111 
Series 2013-134 Class SA, 6.050% - 1 month U.S. LIBOR 5.8999% 1/25/44 (c)(k)(l) 202,112 33,212 
Series 2013-44 Class DJ, 1.85% 5/25/33 13,406,559 13,714,499 
Series 2013-51 Class GI, 3% 10/25/32 (k) 155,615 11,303 
Series 2013-N1 Class A, 6.720% - 1 month U.S. LIBOR 6.5699% 6/25/35 (c)(k)(l) 186,359 38,464 
Series 2015-42 Class IL, 6% 6/25/45 (k) 1,034,197 201,135 
Series 2015-70 Class JC, 3% 10/25/45 1,145,438 1,216,376 
Series 2017-30 Class AI, 5.5% 5/25/47 (k) 496,640 99,933 
Fannie Mae Stripped Mortgage-Backed Securities:   
Series 339 Class 5, 5.5% 7/25/33 (k) 32,644 6,007 
Series 343 Class 16, 5.5% 5/25/34 (k) 28,817 4,782 
Series 348 Class 14, 6.5% 8/25/34 (c)(k) 25,806 5,865 
Series 351:   
Class 12, 5.5% 4/25/34 (c)(k) 16,514 3,051 
Class 13, 6% 3/25/34 (k) 22,778 4,251 
Series 359 Class 19, 6% 7/25/35 (c)(k) 13,855 2,842 
Series 384 Class 6, 5% 7/25/37 (k) 147,432 25,490 
Freddie Mac:   
floater:   
Series 2412 Class FK, 1 month U.S. LIBOR + 0.800% 0.9409% 1/15/32 (c)(d) 3,037 3,087 
Series 2423 Class FA, 1 month U.S. LIBOR + 0.900% 1.0409% 3/15/32 (c)(d) 3,914 3,992 
Series 2424 Class FM, 1 month U.S. LIBOR + 1.000% 1.1409% 3/15/32 (c)(d) 4,247 4,344 
Series 2432:   
Class FE, 1 month U.S. LIBOR + 0.900% 1.0409% 6/15/31 (c)(d) 7,305 7,443 
Class FG, 1 month U.S. LIBOR + 0.900% 1.0409% 3/15/32 (c)(d) 2,304 2,350 
Series 4709 Class FE, 1 month U.S. LIBOR + 0.350% 0.4909% 8/15/47 (c)(d) 1,085,058 1,088,654 
floater target amortization class Series 3366 Class FD, 1 month U.S. LIBOR + 0.250% 0.3909% 5/15/37 (c)(d) 165,229 165,697 
planned amortization class:   
Series 2095 Class PE, 6% 11/15/28 72,240 80,775 
Series 2101 Class PD, 6% 11/15/28 4,695 5,235 
Series 2104 Class PG, 6% 12/15/28 5,028 5,633 
Series 2121 Class MG, 6% 2/15/29 28,442 31,781 
Series 2131 Class BG, 6% 3/15/29 159,222 178,512 
Series 2137 Class PG, 6% 3/15/29 23,698 26,599 
Series 2154 Class PT, 6% 5/15/29 55,930 62,778 
Series 2162 Class PH, 6% 6/15/29 10,039 11,184 
Series 2520 Class BE, 6% 11/15/32 68,316 78,871 
Series 2693 Class MD, 5.5% 10/15/33 314,132 362,790 
Series 2802 Class OB, 6% 5/15/34 91,954 103,566 
Series 3002 Class NE, 5% 7/15/35 177,472 198,994 
Series 3110 Class OP 9/15/35 (m) 65,945 64,281 
Series 3119 Class PO 2/15/36 (m) 146,505 137,820 
Series 3121 Class KO 3/15/36 (m) 24,626 23,465 
Series 3123 Class LO 3/15/36 (m) 83,574 78,670 
Series 3145 Class GO 4/15/36 (m) 82,560 78,091 
Series 3189 Class PD, 6% 7/15/36 147,735 175,795 
Series 3225 Class EO 10/15/36 (m) 43,354 40,700 
Series 3258 Class PM, 5.5% 12/15/36 64,330 74,208 
Series 3415 Class PC, 5% 12/15/37 60,254 67,846 
Series 3786 Class HI, 4% 3/15/38 (k) 74,474 1,585 
Series 3806 Class UP, 4.5% 2/15/41 440,924 487,820 
Series 3832 Class PE, 5% 3/15/41 755,705 847,928 
Series 4135 Class AB, 1.75% 6/15/42 150,137 154,652 
Series 4765 Class PE, 3% 12/15/41 537,361 545,352 
sequential payer:   
Series 2114 Class ZM, 6% 1/15/29 2,373 2,657 
Series 2135 Class JE, 6% 3/15/29 19,751 22,200 
Series 2274 Class ZM, 6.5% 1/15/31 20,155 23,166 
Series 2281 Class ZB, 6% 3/15/30 32,387 35,983 
Series 2303 Class ZV, 6% 4/15/31 14,738 16,611 
Series 2357 Class ZB, 6.5% 9/15/31 119,935 141,203 
Series 2502 Class ZC, 6% 9/15/32 37,003 42,630 
Series 2519 Class ZD, 5.5% 11/15/32 41,382 46,923 
Series 2546 Class MJ, 5.5% 3/15/23 9,601 10,045 
Series 2601 Class TB, 5.5% 4/15/23 4,501 4,713 
Series 2998 Class LY, 5.5% 7/15/25 20,867 22,448 
Series 3871 Class KB, 5.5% 6/15/41 803,233 955,734 
Series 06-3115 Class SM, 6.600% - 1 month U.S. LIBOR 6.4591% 2/15/36 (c)(k)(l) 46,055 9,639 
Series 1658 Class GZ, 7% 1/15/24 6,199 6,727 
Series 2013-4281 Class AI, 4% 12/15/28 (k) 372,526 18,376 
Series 2017-4683 Class LM, 3% 5/15/47 1,363,287 1,448,372 
Series 2380 Class SY, 8.200% - 1 month U.S. LIBOR 8.0591% 11/15/31 (c)(k)(l) 28,657 4,461 
Series 2587 Class IM, 6.5% 3/15/33 (k) 4,869 994 
Series 2844:   
Class SC, 46.800% - 1 month U.S. LIBOR 45.8843% 8/15/24 (c)(l) 187 220 
Class SD, 86.400% - 1 month U.S. LIBOR 84.6185% 8/15/24 (c)(l) 343 450 
Series 2933 Class ZM, 5.75% 2/15/35 596,965 706,772 
Series 2935 Class ZK, 5.5% 2/15/35 556,289 637,777 
Series 2947 Class XZ, 6% 3/15/35 255,723 298,100 
Series 2996 Class ZD, 5.5% 6/15/35 444,624 525,397 
Series 3237 Class C, 5.5% 11/15/36 629,943 729,400 
Series 3244 Class SG, 6.660% - 1 month U.S. LIBOR 6.5191% 11/15/36 (c)(k)(l) 192,138 48,823 
Series 3287 Class SD, 6.750% - 1 month U.S. LIBOR 6.6091% 3/15/37 (c)(k)(l) 296,571 79,442 
Series 3297 Class BI, 6.760% - 1 month U.S. LIBOR 6.6191% 4/15/37 (c)(k)(l) 421,924 113,432 
Series 3336 Class LI, 6.580% - 1 month U.S. LIBOR 6.4391% 6/15/37 (c)(k)(l) 147,337 34,353 
Series 3949 Class MK, 4.5% 10/15/34 124,449 137,500 
Series 3955 Class YI, 3% 11/15/21 (k) 4,276 41 
Series 4055 Class BI, 3.5% 5/15/31 (k) 393,304 14,806 
Series 4149 Class IO, 3% 1/15/33 (k) 78,182 7,791 
Series 4314 Class AI, 5% 3/15/34 (k) 117,543 8,141 
Series 4427 Class LI, 3.5% 2/15/34 (k) 768,597 43,090 
Series 4471 Class PA 4% 12/15/40 766,816 822,591 
target amortization class Series 2156 Class TC, 6.25% 5/15/29 26,952 29,228 
Freddie Mac Manufactured Housing participation certificates guaranteed:   
floater Series 1686 Class FA, 1 month U.S. LIBOR + 0.900% 1.0484% 2/15/24 (c)(d) 7,516 7,558 
planned amortization class Series 2043 Class CJ, 6.5% 4/15/28 6,856 7,844 
sequential payer:   
Series 2043 Class ZH, 6% 4/15/28 18,709 20,850 
Series 2056 Class Z, 6% 5/15/28 43,949 49,117 
Freddie Mac Multi-family Structured pass-thru certificates:   
floater Series 4795 Class FA, 1 month U.S. LIBOR + 0.300% 0.4409% 5/15/48 (c)(d) 2,658,665 2,658,862 
Series 4386 Class AZ, 4.5% 11/15/40 1,451,923 1,600,324 
Freddie Mac Seasoned Credit Risk Transfer Trust:   
sequential payer:   
Series 2018-3 Class MA, 3.5% 8/25/57 11,958,991 12,811,616 
Series 2018-4 Class MA, 3.5% 3/25/58 4,486,241 4,812,935 
Series 2019-1 Class MA, 3.5% 7/25/58 7,741,248 8,309,449 
Series 2018-3 Class M55D, 4% 8/25/57 564,757 615,996 
Ginnie Mae guaranteed REMIC pass-thru certificates:   
floater:   
Series 2007-37 Class TS, 6.690% - 1 month U.S. LIBOR 6.5491% 6/16/37 (c)(k)(l) 84,794 20,585 
Series 2010-H03 Class FA, 1 month U.S. LIBOR + 0.550% 0.7063% 3/20/60 (c)(d)(n) 1,024,494 1,027,588 
Series 2010-H17 Class FA, 1 month U.S. LIBOR + 0.330% 0.4761% 7/20/60 (c)(d)(n) 133,414 133,123 
Series 2010-H18 Class AF, 1 month U.S. LIBOR + 0.300% 0.44% 9/20/60 (c)(d)(n) 160,213 159,762 
Series 2010-H19 Class FG, 1 month U.S. LIBOR + 0.300% 0.44% 8/20/60 (c)(d)(n) 165,608 165,158 
Series 2010-H27 Series FA, 1 month U.S. LIBOR + 0.380% 0.52% 12/20/60 (c)(d)(n) 335,067 334,794 
Series 2011-H05 Class FA, 1 month U.S. LIBOR + 0.500% 0.64% 12/20/60 (c)(d)(n) 418,078 418,898 
Series 2011-H07 Class FA, 1 month U.S. LIBOR + 0.500% 0.64% 2/20/61 (c)(d)(n) 710,220 711,205 
Series 2011-H12 Class FA, 1 month U.S. LIBOR + 0.490% 0.63% 2/20/61 (c)(d)(n) 951,489 952,765 
Series 2011-H13 Class FA, 1 month U.S. LIBOR + 0.500% 0.64% 4/20/61 (c)(d)(n) 377,991 378,774 
Series 2011-H14:   
Class FB, 1 month U.S. LIBOR + 0.500% 0.64% 5/20/61 (c)(d)(n) 543,002 544,127 
Class FC, 1 month U.S. LIBOR + 0.500% 0.64% 5/20/61 (c)(d)(n) 434,667 435,565 
Series 2011-H17 Class FA, 1 month U.S. LIBOR + 0.530% 0.67% 6/20/61 (c)(d)(n) 507,396 508,721 
Series 2011-H20 Class FA, 1 month U.S. LIBOR + 0.550% 0.69% 9/20/61 (c)(d)(n) 1,295,084 1,299,407 
Series 2011-H21 Class FA, 1 month U.S. LIBOR + 0.600% 0.74% 10/20/61 (c)(d)(n) 584,040 586,534 
Series 2012-H01 Class FA, 1 month U.S. LIBOR + 0.700% 0.84% 11/20/61 (c)(d)(n) 558,602 562,213 
Series 2012-H03 Class FA, 1 month U.S. LIBOR + 0.700% 0.84% 1/20/62 (c)(d)(n) 362,262 364,514 
Series 2012-H06 Class FA, 1 month U.S. LIBOR + 0.630% 0.77% 1/20/62 (c)(d)(n) 511,607 514,115 
Series 2012-H07 Class FA, 1 month U.S. LIBOR + 0.630% 0.77% 3/20/62 (c)(d)(n) 329,575 331,004 
Series 2012-H21 Class DF, 1 month U.S. LIBOR + 0.650% 0.79% 5/20/61 (c)(d)(n) 12,862 12,933 
Series 2012-H26, Class CA, 1 month U.S. LIBOR + 0.530% 0.67% 7/20/60 (c)(d)(n) 8,023 8,029 
Series 2014-H03 Class FA, 1 month U.S. LIBOR + 0.600% 0.74% 1/20/64 (c)(d)(n) 486,792 488,542 
Series 2014-H05 Class FB, 1 month U.S. LIBOR + 0.600% 0.74% 12/20/63 (c)(d)(n) 1,752,478 1,759,654 
Series 2014-H11 Class BA, 1 month U.S. LIBOR + 0.500% 0.64% 6/20/64 (c)(d)(n) 444,553 445,456 
Series 2015-H07 Class FA, 1 month U.S. LIBOR + 0.300% 0.44% 3/20/65 (c)(d)(n) 10,701 10,677 
Series 2015-H13 Class FL, 1 month U.S. LIBOR + 0.280% 0.42% 5/20/63 (c)(d)(n) 15,362 15,329 
Series 2015-H19 Class FA, 1 month U.S. LIBOR + 0.200% 0.34% 4/20/63 (c)(d)(n) 9,998 9,961 
Series 2016-H20 Class FM, 1 month U.S. LIBOR + 0.400% 0.54% 12/20/62 (c)(d)(n) 25,693 25,686 
Series 2017-161 Class DF, 1 month U.S. LIBOR + 0.250% 0.3965% 10/20/47 (c)(d) 1,213,048 1,213,012 
Series 2018-159 Class F, 1 month U.S. LIBOR + 0.350% 0.4965% 11/20/48 (c)(d) 2,863,681 2,876,153 
Series 2018-65 Class DF, 1 month U.S. LIBOR + 0.300% 0.4465% 5/20/48 (c)(d) 1,351,141 1,352,967 
Series 2018-77 Class FA, 1 month U.S. LIBOR + 0.300% 0.4465% 6/20/48 (c)(d) 1,629,279 1,632,017 
Series 2018-78 Class AF, 1 month U.S. LIBOR + 0.300% 0.4465% 6/20/48 (c)(d) 1,693,005 1,697,402 
Series 2019-153 Class FB, 1 month U.S. LIBOR + 0.450% 0.5965% 12/20/49 (c)(d) 17,730,787 17,853,426 
Series 2020-32 Class GF, 1 month U.S. LIBOR + 0.400% 0.5465% 3/20/50 (c)(d) 17,022,800 17,138,919 
planned amortization class:   
Series 2010-158 Class MS, 10.000% - 1 month U.S. LIBOR 9.707% 12/20/40 (c)(l) 918,541 1,102,253 
Series 2011-136 Class WI, 4.5% 5/20/40 (k) 64,535 4,329 
Series 2016-69 Class WA, 3% 2/20/46 612,159 633,937 
Series 2017-134 Class BA, 2.5% 11/20/46 215,611 226,252 
Series 2017-153 Class GA, 3% 9/20/47 2,104,915 2,223,318 
Series 2017-182 Class KA, 3% 10/20/47 1,882,128 1,983,936 
Series 2018-13 Class Q, 3% 4/20/47 2,645,687 2,771,339 
sequential payer:   
Series 2004-24 Class ZM, 5% 4/20/34 253,636 287,601 
Series 2010-160 Class DY, 4% 12/20/40 2,024,151 2,227,377 
Series 2010-170 Class B, 4% 12/20/40 450,484 495,798 
Series 2016-H02 Class FM, 1 month U.S. LIBOR + 0.500% 0.64% 9/20/62 (c)(d)(n) 31,489 31,490 
Series 2016-H04 Class FE, 1 month U.S. LIBOR + 0.650% 0.79% 11/20/65 (c)(d)(n) 9,630 9,632 
Series 2017-139 Class BA, 3% 9/20/47 6,470,766 6,908,084 
Series 2004-32 Class GS, 6.500% - 1 month U.S. LIBOR 6.3591% 5/16/34 (c)(k)(l) 57,306 12,041 
Series 2004-73 Class AL, 7.200% - 1 month U.S. LIBOR 7.0591% 8/17/34 (c)(k)(l) 44,017 11,103 
Series 2010-116 Class QB, 4% 9/16/40 140,573 152,703 
Series 2010-14 Class SN, 5.950% - 1 month U.S. LIBOR 5.8091% 2/16/40 (c)(k)(l) 308,839 57,418 
Series 2010-H10 Class FA, 1 month U.S. LIBOR + 0.330% 0.4863% 5/20/60 (c)(d)(n) 383,052 382,221 
Series 2011-52 Class HI, 7% 4/16/41 (k) 53,234 10,713 
Series 2011-94 Class SA, 6.100% - 1 month U.S. LIBOR 5.9535% 7/20/41 (c)(k)(l) 174,472 32,973 
Series 2012-76 Class GS, 6.700% - 1 month U.S. LIBOR 6.5591% 6/16/42 (c)(k)(l) 186,412 43,223 
Series 2013-124:   
Class ES, 8.667% - 1 month U.S. LIBOR 8.4713% 4/20/39 (c)(l) 43,391 45,740 
Class ST, 8.800% - 1 month U.S. LIBOR 8.6047% 8/20/39 (c)(l) 143,465 148,375 
Series 2013-149 Class MA, 2.5% 5/20/40 2,316,945 2,411,912 
Series 2014-2 Class BA, 3% 1/20/44 3,339,579 3,590,618 
Series 2014-21 Class HA, 3% 2/20/44 1,373,016 1,460,441 
Series 2014-25 Class HC, 3% 2/20/44 2,173,860 2,354,429 
Series 2014-5 Class A, 3% 1/20/44 1,989,866 2,128,504 
Series 2015-H13 Class HA, 2.5% 8/20/64 (n) 192,680 194,144 
Series 2015-H17 Class HA, 2.5% 5/20/65 (n) 61,790 61,804 
Series 2016-H13 Class FB, U.S. TREASURY 1 YEAR INDEX + 0.500% 0.62% 5/20/66 (c)(d)(n) 3,213,743 3,192,569 
Series 2017-186 Class HK, 3% 11/16/45 1,840,980 1,976,581 
Series 2017-H06 Class FA, U.S. TREASURY 1 YEAR INDEX + 0.350% 0.47% 8/20/66 (c)(d)(n) 3,661,690 3,626,017 
Ginnie Mae REMIC Trust Series 2015-H17 Class GZ, 4.0201% 5/20/65 (c)(n) 146,247 152,210 
TOTAL U.S. GOVERNMENT AGENCY  170,746,597 
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS   
(Cost $275,857,524)  280,543,377 
Commercial Mortgage Securities - 3.1%   
BAMLL Commercial Mortgage Securities Trust:   
floater sequential payer Series 2020-JGDN Class A, 1 month U.S. LIBOR + 2.750% 3% 11/15/30 (a)(c)(d) 10,322,000 10,322,189 
sequential payer Series 2019-BPR:   
Class AMP, 3.287% 11/5/32 (a) 10,500,000 10,574,633 
Class ANM, 3.112% 11/5/32 (a) 5,768,000 5,755,049 
Series 2019-BPR:   
Class BNM, 3.465% 11/5/32 (a) 1,295,000 1,149,496 
Class CNM, 3.8425% 11/5/32 (a)(c) 536,000 453,079 
BANK sequential payer:   
Series 2018-BN10 Class A5, 3.688% 2/15/61 2,901,000 3,330,325 
Series 2019-BN21 Class A5, 2.851% 10/17/52 1,112,000 1,225,929 
Bayview Commercial Asset Trust floater:   
Series 2005-3A:   
Class A2, 1 month U.S. LIBOR + 0.400% 0.5493% 11/25/35 (a)(c)(d) 38,847 36,748 
Class M1, 1 month U.S. LIBOR + 0.440% 0.5893% 11/25/35 (a)(c)(d) 10,392 8,710 
Series 2005-4A:   
Class A2, 1 month U.S. LIBOR + 0.390% 0.5393% 1/25/36 (a)(c)(d) 98,620 92,902 
Class M1, 1 month U.S. LIBOR + 0.450% 0.5993% 1/25/36 (a)(c)(d) 31,837 30,126 
Class M2, 1 month U.S. LIBOR + 0.470% 0.6193% 1/25/36 (a)(c)(d) 12,006 11,266 
Class M3, 1 month U.S. LIBOR + 0.500% 0.6493% 1/25/36 (a)(c)(d) 17,473 16,304 
Series 2006-1:   
Class A2, 1 month U.S. LIBOR + 0.360% 0.5093% 4/25/36 (a)(c)(d) 16,730 15,606 
Class M1, 1 month U.S. LIBOR + 0.380% 0.5293% 4/25/36 (a)(c)(d) 10,116 9,140 
Class M2, 1 month U.S. LIBOR + 0.400% 0.5493% 4/25/36 (a)(c)(d) 10,699 8,109 
Class M6, 1 month U.S. LIBOR + 0.640% 0.7893% 4/25/36 (a)(c)(d) 10,116 7,490 
Series 2006-2A:   
Class M1, 1 month U.S. LIBOR + 0.310% 0.4593% 7/25/36 (a)(c)(d) 15,873 14,317 
Class M2, 1 month U.S. LIBOR + 0.330% 0.4793% 7/25/36 (a)(c)(d) 11,278 9,913 
Class M4, 1 month U.S. LIBOR + 0.420% 0.5693% 7/25/36 (a)(c)(d) 10,652 8,536 
Series 2006-4A:   
Class A2, 1 month U.S. LIBOR + 0.270% 0.4193% 12/25/36 (a)(c)(d) 239,353 219,826 
Class M1, 1 month U.S. LIBOR + 0.290% 0.4393% 12/25/36 (a)(c)(d) 19,236 14,544 
Class M3, 1 month U.S. LIBOR + 0.340% 0.4893% 12/25/36 (a)(c)(d) 13,039 9,167 
Series 2007-1 Class A2, 1 month U.S. LIBOR + 0.270% 0.4193% 3/25/37 (a)(c)(d) 59,843 55,385 
Series 2007-2A:   
Class A1, 1 month U.S. LIBOR + 0.270% 0.4193% 7/25/37 (a)(c)(d) 175,895 162,970 
Class A2, 1 month U.S. LIBOR + 0.320% 0.4693% 7/25/37 (a)(c)(d) 164,636 148,314 
Class M1, 1 month U.S. LIBOR + 0.370% 0.5193% 7/25/37 (a)(c)(d) 56,083 42,112 
Class M2, 1 month U.S. LIBOR + 0.410% 0.5593% 7/25/37 (a)(c)(d) 36,539 26,961 
Class M3, 1 month U.S. LIBOR + 0.490% 0.6393% 7/25/37 (a)(c)(d) 32,528 32,706 
Series 2007-3:   
Class A2, 1 month U.S. LIBOR + 0.290% 0.4401% 7/25/37 (a)(c)(d) 61,618 54,621 
Class M1, 1 month U.S. LIBOR + 0.310% 0.4601% 7/25/37 (a)(c)(d) 32,686 26,532 
Class M2, 1 month U.S. LIBOR + 0.340% 0.4901% 7/25/37 (a)(c)(d) 34,875 27,770 
Class M3, 1 month U.S. LIBOR + 0.370% 0.5201% 7/25/37 (a)(c)(d) 56,301 48,251 
Class M4, 1 month U.S. LIBOR + 0.500% 0.6501% 7/25/37 (a)(c)(d) 88,518 75,037 
Class M5, 1 month U.S. LIBOR + 0.600% 0.7501% 7/25/37 (a)(c)(d) 37,025 29,137 
Benchmark Mortgage Trust:   
sequential payer:   
Series 2018-B4 Class A5, 4.121% 7/15/51 1,260,000 1,493,807 
Series 2019-B10 Class A4, 3.717% 3/15/62 2,283,000 2,665,226 
Series 2019-B11 Class A5, 3.5421% 5/15/52 8,500,000 9,821,977 
Series 2019-B13 Class A4, 2.952% 8/15/57 30,611,000 34,026,930 
Series 2019-B14 Class A5, 3.0486% 12/15/62 5,422,000 6,073,470 
Series 2020-B17 Class A5, 2.289% 3/15/53 13,300,000 14,087,268 
Series 2018-B8 Class A5, 4.2317% 1/15/52 15,369,000 18,467,941 
Series 2019-B12 Class XA, 1.2035% 8/15/52 (c)(k) 75,684,653 4,909,429 
Series 2019-B14 Class XA, 0.914% 12/15/62 (c)(k) 50,818,205 2,576,620 
Series 2020-B17 Class XA, 1.5419% 3/15/53 (c)(k) 11,995,449 1,116,089 
Series 2020-B18 Class XA, 1.9193% 7/15/53 (c)(k) 20,063,499 2,440,757 
BFLD Trust floater sequential payer Series 2020-OBRK Class A, 1 month U.S. LIBOR + 2.050% 2.2% 11/15/22 (a)(c)(d) 5,927,000 5,938,297 
BX Commercial Mortgage Trust:   
floater Series 2020-BXLP:   
Class B, 1 month U.S. LIBOR + 1.000% 1.1409% 12/15/36 (a)(c)(d) 6,567,989 6,549,566 
Class C, 1 month U.S. LIBOR + 1.120% 1.2609% 12/15/36 (a)(c)(d) 5,391,066 5,357,573 
Class D, 1 month U.S. LIBOR + 1.250% 1.3909% 12/15/36 (a)(c)(d) 6,052,460 5,973,008 
floater sequential payer:   
Series 2019-CALM Class A, 1 month U.S. LIBOR + 0.870% 1.0169% 11/15/32 (a)(c)(d) 2,254,000 2,238,088 
Series 2020-BXLP Class A, 1 month U.S. LIBOR + 0.800% 0.9409% 12/15/36 (a)(c)(d) 10,781,132 10,768,181 
Series 2020-FOX Class A, 1 month U.S. LIBOR + 1.000% 1.1409% 11/15/32 (a)(c)(d) 8,932,000 8,946,296 
BX Trust:   
floater:   
Series 2018-EXCL:   
Class A, 1 month U.S. LIBOR + 1.088% 1.2285% 9/15/37 (a)(c)(d) 11,493,874 10,631,121 
Class B, 1 month U.S. LIBOR + 1.320% 1.4659% 9/15/37 (a)(c)(d) 4,536,936 4,042,639 
Class D, 1 month U.S. LIBOR + 2.620% 2.7659% 9/15/37 (a)(c)(d) 2,186,803 1,656,004 
Series 2018-IND:   
Class B, 1 month U.S. LIBOR + 0.900% 1.0409% 11/15/35 (a)(c)(d) 3,999,800 3,989,775 
Class C, 1 month U.S. LIBOR + 1.100% 1.2409% 11/15/35 (a)(c)(d) 893,200 890,425 
Class F, 1 month U.S. LIBOR + 1.800% 1.9409% 11/15/35 (a)(c)(d) 2,356,900 2,334,762 
Series 2019-IMC:   
Class B, 1 month U.S. LIBOR + 1.300% 1.4409% 4/15/34 (a)(c)(d) 4,437,000 4,214,643 
Class C, 1 month U.S. LIBOR + 1.600% 1.7409% 4/15/34 (a)(c)(d) 2,933,000 2,749,274 
Class D, 1 month U.S. LIBOR + 1.900% 2.0409% 4/15/34 (a)(c)(d) 3,079,000 2,866,849 
Series 2019-XL:   
Class B, 1 month U.S. LIBOR + 1.080% 1.2209% 10/15/36 (a)(c)(d) 4,253,804 4,245,808 
Class C, 1 month U.S. LIBOR + 1.250% 1.3909% 10/15/36 (a)(c)(d) 5,347,395 5,334,002 
Class D, 1 month U.S. LIBOR + 1.450% 1.5909% 10/15/36 (a)(c)(d) 7,574,447 7,541,228 
Class E, 1 month U.S. LIBOR + 1.800% 1.9409% 10/15/36 (a)(c)(d) 10,642,578 10,582,854 
Series 2020-BXLP Class E, 1 month U.S. LIBOR + 1.600% 1.7409% 12/15/36 (a)(c)(d) 5,741,745 5,644,661 
floater, sequential payer:   
Series 2019-IMC Class A, 1 month U.S. LIBOR + 1.000% 1.1409% 4/15/34 (a)(c)(d) 11,557,000 11,195,571 
Series 2019-XL Class A, 1 month U.S. LIBOR + 0.920% 1.0609% 10/15/36 (a)(c)(d) 30,357,595 30,357,589 
CF Hippolyta Issuer LLC sequential payer Series 2020-1:   
Class A1, 1.69% 7/15/60 (a) 25,157,512 25,468,067 
Class A2, 1.99% 7/15/60 (a) 11,168,449 11,318,191 
CGDB Commercial Mortgage Trust floater Series 2019-MOB:   
Class A, 1 month U.S. LIBOR + 0.950% 1.0909% 11/15/36 (a)(c)(d) 4,222,000 4,192,913 
Class B, 1 month U.S. LIBOR + 1.250% 1.3909% 11/15/36 (a)(c)(d) 1,600,000 1,576,951 
CHC Commercial Mortgage Trust floater Series 2019-CHC:   
Class A, 1 month U.S. LIBOR + 1.120% 1.2609% 6/15/34 (a)(c)(d) 21,133,804 20,218,992 
Class B, 1 month U.S. LIBOR + 1.500% 1.6409% 6/15/34 (a)(c)(d) 2,169,638 2,057,584 
Class C, 1 month U.S. LIBOR + 1.750% 1.8909% 6/15/34 (a)(c)(d) 2,451,422 2,304,267 
Citigroup Commercial Mortgage Trust:   
sequential payer:   
Series 2017-P7 Class AAB, 3.509% 4/14/50 740,000 807,261 
Series 2020-GC46 Class A5, 2.717% 2/15/53 20,180,000 22,065,395 
Series 2015-GC33 Class XA, 1.0396% 9/10/58 (c)(k) 1,607,568 56,537 
Series 2016-P6 Class XA, 0.9188% 12/10/49 (c)(k) 1,631,981 43,910 
Series 2019-GC41 Class XA, 1.1872% 8/10/56 (c)(k) 20,651,213 1,446,268 
COMM Mortgage Trust:   
sequential payer:   
Series 2014-CR18 Class A5, 3.828% 7/15/47 2,137,000 2,344,508 
Series 2017-CD4 Class ASB, 3.317% 5/10/50 2,000,000 2,181,132 
Series 2014-CR20 Class XA, 1.1727% 11/10/47 (c)(k) 386,297 12,721 
Series 2014-LC17 Class XA, 0.8755% 10/10/47 (c)(k) 1,308,100 29,045 
Series 2014-UBS6 Class XA, 1.0361% 12/10/47 (c)(k) 971,698 27,079 
Core Industrial Trust floater Series 2019-CORE Class A, 1 month U.S. LIBOR + 0.880% 1.0209% 12/15/31 (a)(c)(d) 1,667,000 1,659,240 
Credit Suisse Mortgage Trust:   
floater Series 2019-ICE4:   
Class B, 1 month U.S. LIBOR + 1.230% 1.3709% 5/15/36 (a)(c)(d) 6,081,000 6,073,678 
Class C, 1 month U.S. LIBOR + 1.430% 1.5709% 5/15/36 (a)(c)(d) 7,314,000 7,300,110 
sequential payer Series 2020-NET Class A, 2.2569% 8/15/37 (a) 3,554,000 3,666,012 
Series 2018-SITE:   
Class A, 4.284% 4/15/36 (a) 4,971,000 4,932,598 
Class B, 4.5349% 4/15/36 (a) 1,471,000 1,427,538 
Class C, 4.9414% 4/15/36 (a)(c) 955,000 892,503 
Class D, 4.9414% 4/15/36 (a)(c) 1,909,000 1,601,473 
DBUBS Mortgage Trust Series 2011-LC3A:   
Class B, 5.5131% 8/10/44 (a)(c) 500,000 505,098 
Class C, 5.5131% 8/10/44 (a)(c) 4,800,000 4,803,251 
Freddie Mac:   
sequential payer:   
Series 2020-K118 Class A2, 1.493% 9/25/30 34,823,000 35,902,092 
Series 2020-K120 Class A2, 1.5% 10/25/30 15,600,000 16,086,829 
Series 2020-K739 Class A2, 1.336% 9/25/27 31,857,000 32,815,424 
Series K069 Class A2, 3.187% 9/25/27 3,630,000 4,158,121 
Series K073 Class A2, 3.35% 1/25/28 6,811,000 7,868,009 
Series 2020-K119 Class A2, 1.566% 9/25/30 45,100,000 46,879,623 
Series K734 Class A2, 3.208% 2/25/26 2,438,000 2,715,466 
GB Trust floater Series 2020-FLIX:   
Class A, 1 month U.S. LIBOR + 1.120% 1.2609% 8/15/37 (a)(c)(d) 6,300,000 6,308,717 
Class B, 1 month U.S. LIBOR + 1.350% 1.4909% 8/15/37 (a)(c)(d) 1,300,000 1,304,179 
Class C, 1 month U.S. LIBOR + 1.600% 1.7409% 8/15/37 (a)(c)(d) 710,000 713,243 
GS Mortgage Securities Trust:   
floater:   
Series 2018-3PCK Class A, 1 month U.S. LIBOR + 1.450% 1.5909% 9/15/31 (a)(c)(d) 20,025,000 18,301,046 
Series 2018-HART Class A, 1 month U.S. LIBOR + 1.090% 1.2309% 10/15/31 (a)(c)(d) 3,300,000 3,259,734 
sequential payer:   
Series 2014-GC18 Class AAB, 3.648% 1/10/47 780,314 811,372 
Series 2016-GC34 Class AAB, 3.278% 10/10/48 2,462,052 2,595,255 
Series 2020-GC45 Class A5, 2.9106% 2/13/53 17,280,000 19,173,375 
Series 2011-GC5 Class A/S, 5.209% 8/10/44 (a) 13,806,000 14,033,512 
JPMBB Commercial Mortgage Securities Trust Series 2013-C14 Class A/S, 4.4093% 8/15/46 4,614,000 4,948,364 
JPMDB Commercial Mortgage Securities Trust sequential payer Series 2019-COR6 Class A4, 3.0565% 11/13/52 2,872,000 3,213,023 
JPMorgan Chase Commercial Mortgage Securities Corp.:   
sequential payer Series 2012-CBX Class A4, 3.4834% 6/15/45 4,491,819 4,571,923 
Series 2012-C6 Class A/S, 4.1166% 5/15/45 500,000 516,687 
Series 2012-CBX Class A/S, 4.2707% 6/15/45 2,528,000 2,629,068 
JPMorgan Chase Commercial Mortgage Securities Trust:   
floater Series 2019-BKWD Class A, 1 month U.S. LIBOR + 1.000% 1.1409% 9/15/29 (a)(c)(d) 6,400,000 6,287,666 
sequential payer Series 2013-LC11 Class A4, 2.6942% 4/15/46 2,558,201 2,653,270 
Series 2018-WPT:   
Class AFX, 4.2475% 7/5/33 (a) 84,000 88,539 
Class CFX, 4.9498% 7/5/33 (a) 767,000 791,996 
Class DFX, 5.3503% 7/5/33 (a) 1,180,000 1,177,954 
Class EFX, 5.5422% 7/5/33 (a) 1,614,000 1,571,222 
Ladder Capital Commercial Mortgage Securities Trust:   
sequential payer Series 2014-909 Class A, 3.388% 5/15/31 (a) 12,000,000 12,021,376 
Series 2014-909 Class B, 3.59% 5/15/31 (a) 7,769,000 7,781,668 
Merit floater Series 2020-HILL Class A, 1 month U.S. LIBOR + 1.150% 1.2909% 8/15/37 (a)(c)(d) 3,354,000 3,358,205 
Morgan Stanley BAML Trust:   
sequential payer:   
Series 2013-C10 Class A4, 4.2178% 7/15/46 (c) 3,100,000 3,313,581 
Series 2016-C28 Class A3, 3.272% 1/15/49 6,454,095 6,998,107 
Series 2017-C33 Class A4, 3.337% 5/15/50 13,400,000 14,822,100 
Series 2015-C25 Class XA, 1.2041% 10/15/48 (c)(k) 953,128 37,479 
Morgan Stanley Capital Barclays Bank Trust sequential payer Series 2016-MART Class A, 2.2004% 9/13/31 (a) 3,061,000 3,053,889 
Morgan Stanley Capital I Trust:   
floater Series 2018-BOP Class A, 1 month U.S. LIBOR + 0.850% 0.9909% 8/15/33 (a)(c)(d) 205,211 199,151 
floater sequential payer Series 2019-NUGS Class A, 1 month U.S. LIBOR + 0.950% 2.45% 12/15/36 (a)(c)(d) 9,700,000 9,891,587 
sequential payer Series 2019-MEAD Class A, 3.17% 11/10/36 (a) 16,247,000 16,785,637 
Series 2011-C3 Class AJ, 5.4191% 7/15/49 (a)(c) 24,300,000 24,746,481 
Series 2018-H4 Class A4, 4.31% 12/15/51 2,991,000 3,584,042 
Series 2019-MEAD:   
Class B, 3.283% 11/10/36 (a)(c) 1,783,000 1,725,704 
Class C, 3.283% 11/10/36 (a)(c) 1,712,000 1,549,338 
NYT Mortgage Trust floater Series 2019-NYT Class A, 1 month U.S. LIBOR + 1.200% 1.3409% 12/15/35 (a)(c)(d) 20,822,000 20,777,639 
RETL floater Series 2019-RVP:   
Class B, 1 month U.S. LIBOR + 1.550% 1.6909% 3/15/36 (a)(c)(d) 1,812,322 1,811,789 
Class C, 1 month U.S. LIBOR + 2.100% 2.2409% 3/15/36 (a)(c)(d) 11,487,000 10,381,969 
UBS Commercial Mortgage Trust:   
sequential payer:   
Series 2017-C1 Class ASB, 3.462% 11/15/50 1,400,000 1,548,706 
Series 2017-C7 Class ASB, 3.586% 12/15/50 1,000,000 1,112,787 
Series 2012-C1 Class A/S, 4.171% 5/10/45 9,200,000 9,502,178 
Series 2017-C7 Class XA, 1.1877% 12/15/50 (c)(k) 1,224,871 65,157 
UBS-Barclays Commercial Mortgage Trust:   
floater Series 2013-C6 Class A3, 1 month U.S. LIBOR + 0.790% 0.9314% 4/10/46 (a)(c)(d) 110,576 110,505 
sequential payer Series 2012-C4 Class A/S, 3.3165% 12/10/45 (a) 4,200,000 4,353,153 
Series 2012-C3 Class A/S, 3.814% 8/10/49 (a) 12,000,000 12,514,148 
VLS Commercial Mortgage Trust:   
sequential payer Series 2020-LAB Class A, 2.13% 10/10/42 (a) 5,920,000 6,131,100 
Series 2020-LAB:   
Class B, 2.453% 10/10/42 (a) 470,000 485,425 
Class X, 0.4294% 10/10/42 (a)(k) 27,100,000 1,027,472 
Wells Fargo Commercial Mortgage Trust:   
sequential payer:   
Series 2015-C26 Class A4, 3.166% 2/15/48 11,250,000 12,217,854 
Series 2015-C29 Class ASB, 3.4% 6/15/48 5,570,834 5,862,591 
Series 2016-LC24 Class A3, 2.684% 10/15/49 4,700,000 5,063,306 
Series 2017-C40 Class ASB, 3.395% 10/15/50 1,000,000 1,101,684 
Series 2018-C44 Class ASB, 4.167% 5/15/51 1,000,000 1,149,995 
Series 2019-C52 Class A5, 2.892% 8/15/52 3,829,000 4,225,149 
Series 2019-C54 Class ASB, 3.063% 12/15/52 1,000,000 1,117,526 
Series 2015-SG1 Class ASB, 3.556% 9/15/48 4,930,675 5,216,294 
Series 2017-C42 Class XA, 1.0298% 12/15/50 (c)(k) 1,452,662 74,514 
Series 2018-C46 Class XA, 1.106% 8/15/51 (c)(k) 25,009,466 1,233,872 
Series 2018-C48 Class A5, 4.302% 1/15/52 3,836,000 4,552,906 
WF-RBS Commercial Mortgage Trust:   
floater Series 2013-C14 Class A3, 1 month U.S. LIBOR + 0.720% 0.8635% 6/15/46 (a)(c)(d) 104,171 104,132 
Series 2012-C8 Class A/S, 3.66% 8/15/45 4,873,000 5,043,090 
Series 2012-C9 Class A/S, 3.388% 11/15/45 1,300,000 1,346,310 
TOTAL COMMERCIAL MORTGAGE SECURITIES   
(Cost $876,364,808)  884,168,555 
Municipal Securities - 0.2%   
Illinois Gen. Oblig.:   
Series 2003: $ $ 
4.95% 6/1/23 3,343,364 3,407,857 
5.1% 6/1/33 22,095,000 22,166,588 
Series 2010-1, 6.63% 2/1/35 2,035,000 2,230,909 
Series 2010-3:   
6.725% 4/1/35 2,710,000 2,973,439 
7.35% 7/1/35 1,385,000 1,553,097 
Series 2010-5, 6.2% 7/1/21 295,000 300,696 
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 14,525,181 
TOTAL MUNICIPAL SECURITIES   
(Cost $45,897,996)  47,157,767 
Foreign Government and Government Agency Obligations - 0.0%   
State of Qatar 3.4% 4/16/25
(Cost $4,098,738)(a) 		$4,110,000 $4,522,284 
 Shares Value 
Common Stocks - 0.0%   
ENERGY - 0.0%   
Oil, Gas & Consumable Fuels - 0.0%   
Denbury, Inc. (o)   
(Cost $614,873) 25,192 565,812 
 Principal Amount Value 
Bank Notes - 0.1%   
Discover Bank 4.682% 8/9/28 (c) 2,954,000 3,133,160 
KeyBank NA 6.95% 2/1/28 619,000 806,866 
RBS Citizens NA 2.55% 5/13/21 1,236,000 1,246,098 
Regions Bank 6.45% 6/26/37 4,251,000 5,992,288 
Synchrony Bank 3.65% 5/24/21 4,817,000 4,876,840 
TOTAL BANK NOTES   
(Cost $14,557,851)  16,055,252 
 Shares Value 
Fixed-Income Funds - 53.3%   
Bank Loan Funds - 2.0%   
Fidelity Floating Rate High Income Fund (p) 61,289,884 $562,641,135 
High Yield Fixed-Income Funds - 3.5%   
Fidelity Capital & Income Fund (p) 4,849,737 51,164,722 
Fidelity High Income Fund (p) 50,222,719 434,426,516 
Fidelity New Markets Income Fund (p) 33,968,155 503,068,372 
TOTAL HIGH YIELD FIXED-INCOME FUNDS  988,659,610 
Inflation-Protected Bond Funds - 1.6%   
Fidelity Inflation-Protected Bond Index Fund (p) 41,869,844 461,824,380 
Intermediate Government Funds - 2.1%   
Fidelity SAI U.S. Treasury Bond Index Fund (p) 55,904,924 600,977,936 
Intermediate-Term Bond Funds - 37.7%   
Fidelity Global Credit Fund (p) 3,059,509 31,054,020 
Fidelity SAI Total Bond Fund (p) 932,075,430 9,991,848,564 
Fidelity Sustainability Bond Index Fund (p) 2,345,322 25,962,717 
Fidelity U.S. Bond Index Fund (p) 45,438,497 567,072,449 
TOTAL INTERMEDIATE-TERM BOND FUNDS  10,615,937,750 
Investment Grade Fixed-Income Funds - 2.3%   
Fidelity Corporate Bond Fund (p) 49,665,291 643,165,515 
Long Government Bond Funds - 3.6%   
Fidelity SAI Long-Term Treasury Bond Index Fund (p) 76,932,303 997,042,649 
Sector Funds - 0.5%   
Fidelity Advisor Real Estate Income Fund Class I 12,854,118 151,292,972 
TOTAL FIXED-INCOME FUNDS   
(Cost $14,313,955,439)  15,021,541,947 
 Principal Amount Value 
Preferred Securities - 0.1%   
FINANCIALS - 0.1%   
Banks - 0.1%   
Bank of Nova Scotia 4.65% (c)(q) 13,095,000 13,272,177 
Barclays Bank PLC 7.625% 11/21/22 12,633,000 13,999,975 
TOTAL PREFERRED SECURITIES   
(Cost $26,529,144)  27,272,152 
 Shares Value 
Money Market Funds - 6.7%   
Fidelity Cash Central Fund 0.09% (r) 1,083,113,535 1,083,330,158 
Fidelity Investments Money Market Government Portfolio Institutional Class 0.01% (p)(s) 813,481,331 813,481,331 
TOTAL MONEY MARKET FUNDS   
(Cost $1,896,811,450)  1,896,811,489 

Purchased Swaptions - 0.0%    
 Expiration Date Notional Amount Value 
Put Options - 0.0%    
Option on an interest rate swap with Bank of America N.A. to pay semi-annually a fixed rate of 0.865% and receive quarterly a floating rate based on 3-month LIBOR, expiring October 2031 10/14/21 47,500,000 $1,235,009 
Option on an interest rate swap with Bank of America N.A. to pay semi-annually a fixed rate of 1.78% and receive quarterly a floating rate based on 3-month LIBOR, expiring October 2029 10/15/24 4,600,000 45,889 
Option on an interest rate swap with Bank of America N.A. to pay semi-annually a fixed rate of 1.785% and receive quarterly a floating rate based on 3-month LIBOR, expiring October 2029 10/24/24 27,200,000 273,470 
Option on an interest rate swap with Bank of America N.A. to pay semi-annually a fixed rate of 1.82% and receive quarterly a floating rate based on 3-month LIBOR, expiring October 2029 10/18/24 33,500,000 320,339 
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 1.4% and receive quarterly a floating rate based on 3-month LIBOR, expiring February 2030 2/26/25 2,800,000 50,490 
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 2.2% and receive quarterly a floating rate based on 3-month LIBOR, expiring July 2029 7/18/24 43,600,000 227,958 
Option on an interest rate swap with JPMorgan Chase Bank N.A. to pay semi-annually a fixed rate of 1.741% and receive quarterly a floating rate based on 3-month LIBOR, expiring September 2029 9/12/24 16,000,000 159,741 
Option on an interest rate swap with JPMorgan Chase Bank, N.A. to pay semi-annually a fixed rate of 2.313% and receive quarterly a floating rate based on 3-month LIBOR, expiring June 2029 6/6/24 12,300,000 52,035 
TOTAL PUT OPTIONS   2,364,931 
Call Options - 0.0%    
Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 0.865% and pay quarterly a floating rate based on 3-month LIBOR, expiring October 2031 10/14/21 47,500,000 761,540 
Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 1.78% and pay quarterly a floating rate based on 3-month LIBOR, expiring October 2029 10/15/24 4,600,000 190,624 
Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 1.785% and pay quarterly a floating rate based on 3-month LIBOR, expiring October 2029 10/24/24 27,200,000 1,129,554 
Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 1.82% and pay quarterly a floating rate based on 3-month LIBOR, expiring October 2029 10/18/24 33,500,000 1,435,868 
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 1.4% and pay quarterly a floating rate based on 3-month LIBOR, expiring February 2030 2/26/25 2,800,000 79,043 
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 2.2% and pay quarterly a floating rate based on 3-month LIBOR, expiring July 2029 7/18/24 43,600,000 2,580,499 
Option on an interest rate swap with JPMorgan Chase Bank N.A. to receive semi-annually a fixed rate of 1.741% and pay quarterly a floating rate based on 3-month LIBOR, expiring September 2029 9/12/24 16,000,000 644,151 
Option on an interest rate swap with JPMorgan Chase Bank, N.A. to receive semi-annually a fixed rate of 2.313% and pay quarterly a floating rate based on 3-month LIBOR, expiring June 2029 6/6/24 12,300,000 796,193 
TOTAL CALL OPTIONS   7,617,472 
TOTAL PURCHASED SWAPTIONS    
(Cost $10,006,084)   9,982,403 
TOTAL INVESTMENT IN SECURITIES - 110.7%    
(Cost $29,933,188,572)   31,179,047,342 
NET OTHER ASSETS (LIABILITIES) - (10.7)%   (3,019,411,804) 
NET ASSETS - 100%   $28,159,635,538 

TBA Sale Commitments   
 Principal Amount Value 
Ginnie Mae   
2.5% 12/1/50 $(3,950,000) $(4,160,539) 
2.5% 12/1/50 (4,650,000) (4,897,850) 
2.5% 12/1/50 (4,600,000) (4,845,185) 
2.5% 12/1/50 (9,550,000) (10,059,025) 
2.5% 12/1/50 (10,075,000) (10,612,008) 
2.5% 12/1/50 (11,750,000) (12,376,287) 
2.5% 12/1/50 (11,675,000) (12,297,289) 
2.5% 12/1/50 (31,500,000) (33,178,982) 
2.5% 12/1/50 (15,700,000) (16,536,826) 
2.5% 12/1/50 (12,600,000) (13,271,593) 
2.5% 12/1/50 (9,700,000) (10,217,020) 
2.5% 12/1/50 (9,300,000) (9,795,699) 
2.5% 12/1/50 (32,150,000) (33,863,627) 
2.5% 12/1/50 (30,750,000) (32,389,006) 
2.5% 12/1/50 (12,600,000) (13,271,593) 
2.5% 12/1/50 (12,600,000) (13,271,593) 
2.5% 12/1/50 (15,100,000) (15,904,845) 
3% 12/1/50 (20,000,000) (20,873,326) 
3% 12/1/50 (14,800,000) (15,446,261) 
3% 12/1/50 (1,100,000) (1,148,033) 
3% 12/1/50 (600,000) (626,200) 
3% 12/1/50 (8,150,000) (8,505,880) 
3.5% 12/1/50 (15,550,000) (16,423,709) 
3.5% 12/1/50 (38,600,000) (40,768,822) 
3.5% 12/1/50 (7,300,000) (7,710,166) 
3.5% 12/1/50 (6,450,000) (6,812,407) 
3.5% 12/1/50 (39,800,000) (42,036,247) 
3.5% 12/1/50 (20,700,000) (21,863,073) 
3.5% 12/1/50 (19,400,000) (20,490,030) 
3.5% 12/1/50 (39,300,000) (41,508,153) 
TOTAL GINNIE MAE  (495,161,274) 
Uniform Mortgage Backed Securities   
1.5% 12/1/35 (4,050,000) (4,152,759) 
1.5% 12/1/35 (13,500,000) (13,842,530) 
1.5% 12/1/35 (17,100,000) (17,533,871) 
1.5% 12/1/35 (14,250,000) (14,611,560) 
1.5% 12/1/35 (4,950,000) (5,075,594) 
1.5% 12/1/35 (19,250,000) (19,738,423) 
1.5% 12/1/35 (13,450,000) (13,791,261) 
1.5% 12/1/35 (29,950,000) (30,709,909) 
1.5% 12/1/35 (10,450,000) (10,715,144) 
1.5% 12/1/35 (33,850,000) (34,708,863) 
1.5% 12/1/35 (23,650,000) (24,250,062) 
1.5% 12/1/35 (4,800,000) (4,921,788) 
2% 12/1/35 (14,200,000) (14,782,591) 
2% 12/1/35 (27,800,000) (28,940,565) 
2% 12/1/35 (51,800,000) (53,925,225) 
2% 12/1/35 (24,300,000) (25,296,968) 
2% 12/1/35 (26,500,000) (27,587,229) 
2% 12/1/35 (12,450,000) (12,960,792) 
2% 12/1/50 (350,000) (363,571) 
2% 12/1/50 (14,400,000) (14,958,340) 
2% 12/1/50 (9,400,000) (9,764,472) 
2% 12/1/50 (14,500,000) (15,062,217) 
2% 12/1/50 (37,800,000) (39,265,642) 
2% 12/1/50 (7,900,000) (8,206,311) 
2% 12/1/50 (14,700,000) (15,269,972) 
2% 12/1/50 (18,900,000) (19,632,821) 
2% 12/1/50 (11,500,000) (11,945,896) 
2% 12/1/50 (23,900,000) (24,826,689) 
2% 12/1/50 (11,700,000) (12,153,651) 
2% 12/1/50 (5,900,000) (6,128,764) 
2% 12/1/50 (4,700,000) (4,882,236) 
2% 12/1/50 (7,450,000) (7,738,863) 
2% 12/1/50 (37,800,000) (39,265,642) 
2% 12/1/50 (8,300,000) (8,621,821) 
2% 12/1/50 (1,100,000) (1,142,651) 
2% 12/1/50 (30,850,000) (32,046,166) 
2% 12/1/50 (9,200,000) (9,556,717) 
2% 12/1/50 (1,550,000) (1,610,099) 
2% 12/1/50 (14,500,000) (15,062,217) 
2% 12/1/50 (23,900,000) (24,826,689) 
2.5% 12/1/50 (26,000,000) (27,241,084) 
2.5% 12/1/50 (26,000,000) (27,241,084) 
3% 12/1/50 (15,100,000) (15,774,795) 
3% 12/1/50 (41,200,000) (43,041,162) 
3% 12/1/50 (13,950,000) (14,573,403) 
3% 12/1/50 (5,700,000) (5,954,724) 
3% 12/1/50 (4,250,000) (4,439,926) 
3% 12/1/50 (1,750,000) (1,828,205) 
3% 12/1/50 (9,700,000) (10,133,477) 
3% 12/1/50 (9,500,000) (9,924,540) 
3% 12/1/50 (5,750,000) (6,006,958) 
3% 12/1/50 (8,050,000) (8,409,742) 
3% 12/1/50 (25,900,000) (27,057,430) 
3% 12/1/50 (26,400,000) (27,579,774) 
3% 12/1/50 (49,400,000) (51,607,607) 
3.5% 12/1/50 (5,850,000) (6,170,381) 
3.5% 12/1/50 (3,000,000) (3,164,298) 
3.5% 12/1/50 (6,600,000) (6,961,455) 
3.5% 12/1/50 (3,450,000) (3,638,942) 
3.5% 12/1/50 (13,200,000) (13,922,910) 
3.5% 12/1/50 (11,600,000) (12,235,284) 
3.5% 12/1/50 (15,100,000) (15,926,965) 
3.5% 12/1/50 (6,100,000) (6,434,072) 
3.5% 12/1/50 (9,000,000) (9,492,893) 
3.5% 12/1/50 (4,000,000) (4,219,064) 
3.5% 12/1/50 (15,350,000) (16,190,657) 
3.5% 12/1/50 (21,550,000) (22,730,205) 
3.5% 12/1/50 (54,500,000) (57,484,742) 
3.5% 12/1/50 (54,500,000) (57,484,742) 
3.5% 12/1/50 (5,500,000) (5,801,212) 
3.5% 12/1/50 (3,700,000) (3,902,634) 
3.5% 12/1/50 (14,700,000) (15,505,059) 
3.5% 12/1/50 (43,850,000) (46,251,485) 
3.5% 12/1/50 (43,850,000) (46,251,485) 
3.5% 12/1/50 (8,650,000) (9,123,725) 
3.5% 12/1/50 (8,650,000) (9,123,725) 
4% 12/1/50 (14,350,000) (15,311,335) 
4% 12/1/50 (13,150,000) (14,030,945) 
4% 12/1/50 (4,750,000) (5,068,212) 
4% 12/1/50 (4,350,000) (4,641,415) 
4% 12/1/50 (11,725,000) (12,510,481) 
4% 12/1/50 (12,900,000) (13,764,197) 
4% 12/1/50 (4,925,000) (5,254,936) 
4% 12/1/50 (4,175,000) (4,454,692) 
4% 12/1/50 (150,000) (160,049) 
4% 12/1/50 (5,225,000) (5,575,033) 
4% 12/1/50 (14,450,000) (15,418,034) 
4% 12/1/50 (13,050,000) (13,924,246) 
TOTAL UNIFORM MORTGAGE BACKED SECURITIES  (1,442,820,002) 
TOTAL TBA SALE COMMITMENTS   
Proceeds $(1,934,866,940)  $(1,937,981,276) 

Written Swaptions    
 Expiration Date Notional Amount Value 
Put Swaptions    
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 1.27% and receive quarterly a floating rate based on 3-month LIBOR, expiring November 2030 11/25/25 96,100,000 $(2,467,346) 
Call Swaptions    
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 1.27% and pay quarterly a floating rate based on 3-month LIBOR, expiring November 2030 11/25/25 96,100,000 (2,375,412) 
TOTAL WRITTEN SWAPTIONS   $(4,842,758) 

Futures Contracts      
 Number of contracts Expiration Date Notional Amount Value Unrealized Appreciation/(Depreciation) 
Purchased      
Treasury Contracts      
CBOT 5-Year U.S. Treasury Note Contracts (United States) 257 March 2021 $32,390,031 $41,105 $41,105 
CBOT Long Term U.S. Treasury Bond Contracts (United States) 621 March 2021 108,616,781 622,150 622,150 
TOTAL PURCHASED     663,255 
Sold      
Treasury Contracts      
CBOT 10-Year U.S. Treasury Note Contracts (United States) 2,291 March 2021 316,551,766 (604,246) (604,246) 
CBOT 2-Year U.S. Treasury Note Contracts (United States) 1,264 March 2021 279,156,375 (170,175) (170,175) 
TOTAL SOLD     (774,421) 
TOTAL FUTURES CONTRACTS     $(111,166) 

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

The notional amount of futures sold as a percentage of Net Assets is 2.1%

Swaps

Underlying Reference Maturity Date Clearinghouse / Counterparty Fixed Payment Received/(Paid) Payment Frequency Notional Amount Value Upfront Premium Received/(Paid) Unrealized Appreciation/(Depreciation) 
Credit Default Swaps         
Buy Protection         
CMBX N.A. AAA Index Series 12 Aug. 2061 Citigroup Global Markets Ltd. (0.5%) Monthly $ 5,000,000 $(31,962) $(69,143) $(101,105) 
CMBX N.A. AAA Index Series 12 Aug. 2061 JPMorgan Securities LLC (0.5%) Monthly  2,510,000 (16,045) (30,706) (46,751) 
CMBX N.A. AAA Index Series 12 Aug. 2061 Morgan Stanley Capital Services LLC (0.5%) Monthly  20,000,000 (127,848) (140,121) (267,969) 
CMBX N.A. AAA Index Series 12 Aug. 2061 Morgan Stanley Capital Services LLC (0.5%) Monthly  6,100,000 (38,994) 24,035 (14,959) 
CMBX N.A. AAA Index Series 12 Aug. 2061 Morgan Stanley Capital Services LLC (0.5%) Monthly  1,930,000  (12,337) (14,933) (27,270) 
CMBX N.A. AAA Index Series 12 Aug. 2061 Morgan Stanley Capital Services LLC (0.5%) Monthly  5,440,000  (34,775) (191,522) (226,297) 
CMBX N.A. AAA Index Series 12 Aug. 2061 Morgan Stanley Capital Services LLC (0.5%) Monthly  6,800,000 (43,468) (187,639) (231,107) 
CMBX N.A. AAA Index Series 12 Aug. 2061 Morgan Stanley Capital Services LLC (0.5%) Monthly  3,180,000 (20,328) (15,125) (35,453) 
CMBX N.A. AAA Index Series 12 Aug. 2061 Morgan Stanley Capital Services LLC (0.5%) Monthly  8,460,000  (54,080) (70,233) (124,313) 
CMBX N.A. AAA Index Series 12 Aug. 2061 Morgan Stanley Capital Services LLC (0.5%) Monthly  9,300,000 (59,449) (102,935) (162,384) 
TOTAL CREDIT DEFAULT SWAPS      $(439,286) $(798,322) $(1,237,608) 

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          
0.25% Semi - annual 3-month LIBOR(3) Quarterly LCH Mar. 2023 $98,050,000 $(12,454) $0 $(12,454) 
0.5% Semi - annual 3-month LIBOR(3) Quarterly LCH Mar. 2026 42,988,000 (210,298) 0 (210,298) 
3-month LIBOR(3) Quarterly 0.75% Semi - annual LCH Mar. 2031 34,010,000 236,442 0 236,442 
TOTAL INTEREST RATE SWAPS       $13,690 $0 $13,690 

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

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

 (3) Represents floating rate.

Legend

 (a) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $2,120,052,059 or 7.5% of net assets.

 (b) Non-income producing - Security is in default.

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

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

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

 (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 $2,428,659.

 (g) Security or a portion of the security has been segregated as collateral for open options. At period end, the value of securities pledged amounted to $556,072.

 (h) Security or a portion of the security was pledged to cover margin requirements for centrally cleared OTC swaps. At period end, the value of securities pledged amounted to $1,337,658.

 (i) Security or a portion of the security has been segregated as collateral for mortgage-backed or asset-backed securities purchased on a delayed delivery or when-issued basis. At period end, the value of securities pledged amounted to $205,682.

 (j) Level 3 security

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

 (l) 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.

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

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

 (o) Non-income producing

 (p) Affiliated Fund

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

 (r) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.

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

Affiliated Central Funds

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

Fund Income earned 
Fidelity Cash Central Fund $555,215 
Total $555,215 

Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations, if applicable.

Affiliated Underlying Funds

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

Affiliate Value, beginning of period Purchases Sales Proceeds Dividend Income Realized Gain (loss) Change in Unrealized appreciation (depreciation) Value, end of period 
Fidelity Advisor Real Estate Income Fund Class Z $130,711,979 $1,148,146 $126,148,146 $1,148,146 $-- $(5,711,979) $-- 
Fidelity Capital & Income Fund -- 50,099,862 -- 99,862 -- 1,064,860 51,164,722 
Fidelity Corporate Bond Fund 502,825,401 118,718,183 -- 11,674,418 -- 21,621,931 643,165,515 
Fidelity Floating Rate High Income Fund 554,823,681 9,941,095 30,000,000 9,888,719 (2,125,984) 30,002,343 562,641,135 
Fidelity Global Credit Fund 26,242,053 3,300,903 -- 300,903 -- 1,511,064 31,054,020 
Fidelity High Income Fund 189,708,266 254,611,438 20,000,000 4,582,669  1,182,757 8,924,055 434,426,516 
Fidelity Inflation-Protected Bond Index Fund 417,876,035 25,413,071 -- 411,324 -- 18,535,274 461,824,380 
Fidelity Investments Money Market Government Portfolio Institutional Class 0.01% 502,472,950 3,160,918,992 2,849,910,611 157,715 -- -- 813,481,331 
Fidelity New Markets Income Fund 437,744,286 34,244,480 -- 9,244,179  -- 31,079,606 503,068,372 
Fidelity SAI Long-Term Treasury Bond Index Fund 1,107,985,358 9,029,630 100,000,000 9,029,359  2,024,246 (21,996,585) 997,042,649 
Fidelity SAI Total Bond Fund 9,212,423,374 774,811,693 -- 449,130,539 -- 4,613,497 9,991,848,564 
Fidelity SAI U.S. Treasury Bond Index Fund -- 602,158,480 -- 2,160,194  -- (1,180,544) 600,977,936 
Fidelity Sustainability Bond Index Fund 25,576,136 293,906 -- 292,929 -- 92,675 25,962,717 
Fidelity U.S. Bond Index Fund 101,109,716 471,011,199 -- 7,664,063  -- (5,048,466) 567,072,449 
Total $13,209,499,235 $5,515,701,078 $3,126,058,757 $505,785,019  $1,081,019 $83,507,731 $15,683,730,306 

Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations, if applicable.

Investment Valuation

The following is a summary of the inputs used, as of November 30, 2020, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.

 Valuation Inputs at Reporting Date: 
Description Total Level 1 Level 2 Level 3 
Investments in Securities:     
Equities:     
Energy $565,812 $565,812 $-- $-- 
Corporate Bonds 4,185,866,048 -- 4,185,866,048 -- 
U.S. Government and Government Agency Obligations 1,925,857,172 -- 1,925,857,172 -- 
U.S. Government Agency - Mortgage Securities 6,160,748,075 -- 6,160,748,075 -- 
Asset-Backed Securities 717,955,009 -- 717,955,009 -- 
Collateralized Mortgage Obligations 280,543,377 -- 280,543,323 54 
Commercial Mortgage Securities 884,168,555 -- 884,168,555 -- 
Municipal Securities 47,157,767 -- 47,157,767 -- 
Foreign Government and Government Agency Obligations 4,522,284 -- 4,522,284 -- 
Bank Notes 16,055,252 -- 16,055,252 -- 
Fixed-Income Funds 15,021,541,947 15,021,541,947 -- -- 
Preferred Securities 27,272,152 -- 27,272,152 -- 
Money Market Funds 1,896,811,489 1,896,811,489 -- -- 
Purchased Swaptions 9,982,403 -- 9,982,403 -- 
Total Investments in Securities: $31,179,047,342 $16,918,919,248 $14,260,128,040 $54 
Derivative Instruments:     
Assets     
Futures Contracts $663,255 $663,255 $-- $-- 
Swaps 236,442 -- 236,442 -- 
Total Assets $899,697 $663,255 $236,442 $-- 
Liabilities     
Futures Contracts $(774,421) $(774,421) $-- $-- 
Swaps (662,038) -- (662,038) -- 
Written Swaptions (4,842,758) -- (4,842,758) -- 
Total Liabilities $(6,279,217) $(774,421) $(5,504,796) $-- 
Total Derivative Instruments: $(5,379,520) $(111,166) $(5,268,354) $-- 
Other Financial Instruments:     
TBA Sale Commitments $(1,937,981,276) $-- $(1,937,981,276) $-- 
Total Other Financial Instruments: $(1,937,981,276) $-- $(1,937,981,276) $-- 

Value of Derivative Instruments

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of November 30, 2020. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.

Primary Risk Exposure / Derivative Type Value 
 Asset Liability 
Credit Risk   
Swaps(a) $0 $(439,286) 
Total Credit Risk 0 (439,286) 
Interest Rate Risk   
Futures Contracts(b) 663,255 (774,421) 
Purchased Swaptions(c) 9,982,403 0 
Swaps(d) 236,442 (222,752) 
Written Swaptions(e) 0 (4,842,758) 
Total Interest Rate Risk 10,882,100 (5,839,931) 
Total Value of Derivatives $10,882,100 $(6,279,217) 

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

 (b) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).

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

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

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

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


Financial Statements

Statement of Assets and Liabilities

  November 30, 2020 (Unaudited) 
Assets   
Investment in securities, at value — See accompanying schedule:
Unaffiliated issuers (cost $13,254,586,692) 		$13,768,821,363  
Fidelity Central Funds (cost $1,678,788,953) 1,726,495,673  
Other affiliated issuers (cost $14,999,812,927) 15,683,730,306  
Total Investment in Securities (cost $29,933,188,572)  $31,179,047,342 
Cash  6,310,062 
Receivable for investments sold  125,172,979 
Receivable for premium on written options  4,800,194 
Receivable for TBA sale commitments  1,934,866,935 
Receivable for fund shares sold  39,651,143 
Dividends receivable  28,063,345 
Interest receivable  57,197,414 
Distributions receivable from Fidelity Central Funds  71,061 
Receivable for daily variation margin on centrally cleared OTC swaps  147,148 
Prepaid expenses  26,826 
Other receivables  2,017 
Total assets  33,375,356,466 
Liabilities   
Payable for investments purchased   
Regular delivery $153,094,542  
Delayed delivery 3,108,191,376  
TBA sale commitments, at value 1,937,981,276  
Payable for fund shares redeemed 8,659,798  
Distributions payable 610,022  
Bi-lateral OTC swaps, at value 439,286  
Accrued management fee 1,274,772  
Payable for daily variation margin on futures contracts 116,425  
Written options, at value (premium receivable $4,800,194) 4,842,758  
Other payables and accrued expenses 510,673  
Total liabilities  5,215,720,928 
Net Assets  $28,159,635,538 
Net Assets consist of:   
Paid in capital  $25,732,161,005 
Total accumulated earnings (loss)  2,427,474,533 
Net Assets  $28,159,635,538 
Net Asset Value, offering price and redemption price per share ($28,159,635,538 ÷ 2,496,507,902 shares)  $11.28 

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


Statement of Operations

  Six months ended November 30, 2020 (Unaudited) 
Investment Income   
Dividends:   
Unaffiliated issuers  $2,315,744 
Affiliated issuers  505,785,019 
Interest  134,473,923 
Income from Fidelity Central Funds  555,215 
Total income  643,129,901 
Expenses   
Management fee $40,488,293  
Custodian fees and expenses 125,363  
Independent trustees' fees and expenses 132,300  
Registration fees 830,623  
Audit 41,336  
Legal 47,124  
Miscellaneous 138,778  
Total expenses before reductions 41,803,817  
Expense reductions (32,962,013)  
Total expenses after reductions  8,841,804 
Net investment income (loss)  634,288,097 
Realized and Unrealized Gain (Loss)   
Net realized gain (loss) on:   
Investment securities:   
Unaffiliated issuers 153,891,977  
Fidelity Central Funds (33,415)  
Other affiliated issuers 1,081,019  
Futures contracts (268,926)  
Swaps 145,651  
Written options (124,920)  
Total net realized gain (loss)  154,691,386 
Change in net unrealized appreciation (depreciation) on:   
Investment securities:   
Unaffiliated issuers 149,402,909  
Fidelity Central Funds 47,706,681  
Other affiliated issuers 83,507,731  
Futures contracts 609,171  
Swaps (705,284)  
Written options 264,890  
Delayed delivery commitments (2,951,864)  
Total change in net unrealized appreciation (depreciation)  277,834,234 
Net gain (loss)  432,525,620 
Net increase (decrease) in net assets resulting from operations  $1,066,813,717 

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


Statement of Changes in Net Assets

 Six months ended November 30, 2020 (Unaudited) Year ended May 31, 2020 
Increase (Decrease) in Net Assets   
Operations   
Net investment income (loss) $634,288,097 $612,486,361 
Net realized gain (loss) 154,691,386 904,314,719 
Change in net unrealized appreciation (depreciation) 277,834,234 369,303,590 
Net increase (decrease) in net assets resulting from operations 1,066,813,717 1,886,104,670 
Distributions to shareholders (292,219,094) (870,231,562) 
Share transactions   
Proceeds from sales of shares 5,669,116,386 13,153,308,317 
Reinvestment of distributions 287,794,210 789,311,102 
Cost of shares redeemed (3,346,184,383) (7,137,434,535) 
Net increase (decrease) in net assets resulting from share transactions 2,610,726,213 6,805,184,884 
Total increase (decrease) in net assets 3,385,320,836 7,821,057,992 
Net Assets   
Beginning of period 24,774,314,702 16,953,256,710 
End of period $28,159,635,538 $24,774,314,702 
Other Information   
Shares   
Sold 507,285,832 1,238,104,414 
Issued in reinvestment of distributions 25,729,052 74,193,651 
Redeemed (299,829,981) (668,720,512) 
Net increase (decrease) 233,184,903 643,577,553 

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


Financial Highlights

Strategic Advisers Fidelity Core Income Fund

 Six months ended (Unaudited) November 30, Years endedMay 31,  
 2020 2020 2019 A 
Selected Per–Share Data    
Net asset value, beginning of period $10.95 $10.47 $10.00 
Income from Investment Operations    
Net investment income (loss)B .269 .302 .209 
Net realized and unrealized gain (loss) .185 .613 .445 
Total from investment operations .454 .915 .654 
Distributions from net investment income (.124) (.299) (.182) 
Distributions from net realized gain – (.136) (.002) 
Total distributions (.124) (.435) (.184) 
Net asset value, end of period $11.28 $10.95 $10.47 
Total ReturnC,D 4.16% 8.94% 6.60% 
Ratios to Average Net AssetsE,F    
Expenses before reductions .32%G .32% .37%G 
Expenses net of fee waivers, if any .07%G .07% .12%G 
Expenses net of all reductions .07%G .07% .12%G 
Net investment income (loss) 4.80%G 2.83% 3.30%G 
Supplemental Data    
Net assets, end of period (000 omitted) $28,159,636 $24,774,315 $16,953,257 
Portfolio turnover rateH 186%G 247% 124%G,I 

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

 B Calculated based on average shares outstanding during the period.

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

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

 E Fees and expenses of any underlying 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.

 F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, 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.

 G Annualized

 H Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).

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

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


Notes to Financial Statements (Unaudited)

For the period ended November 30, 2020

1. Organization.

Strategic Advisers Fidelity Core Income Fund (the Fund) is a fund of Fidelity Rutland Square Trust II (the Trust), and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust. The Fund is offered exclusively to certain clients of Strategic Advisers LLC (Strategic Advisers), an affiliate of Fidelity Management & Research Company LLC (FMR).

2. Significant Accounting Policies.

The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services – 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 following summarizes the significant accounting policies of the Fund:

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

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

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

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

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

Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Options traded over-the-counter are valued using vendor or broker-supplied valuations and are categorized as Level 2 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of November 30, 2020 is included at the end of the Fund's Schedule of Investments.

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Income and capital gain distributions from 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. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.

Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan) 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 $2,017 

Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.

Distributions are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.

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

Book-tax differences are primarily due to short-term gain distributions from the Underlying funds, swaps, futures and options transactions, market discount, partnerships, deferred trustees compensation and losses deferred due to wash sales and futures transactions.

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

Gross unrealized appreciation $1,369,774,515 
Gross unrealized depreciation (120,762,282) 
Net unrealized appreciation (depreciation) $1,249,012,233 
Tax cost $29,928,657,461 

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

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

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

Restricted Securities (including Private Placements). The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.

3. Derivative Instruments.

Risk Exposures and the Use of Derivative Instruments. The Fund's investment objective allows the Fund to enter into various types of derivative contracts, including futures contracts, options and swaps. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.

The Fund used derivatives to increase returns, to gain exposure to certain types of assets and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.

The Fund's use of derivatives increased or decreased its exposure to the following risks:

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

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

Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.

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

Primary Risk Exposure / Derivative Type Net Realized Gain (Loss) Change in Net Unrealized Appreciation (Depreciation) 
Credit Risk   
Swaps $145,651 $(629,559) 
Total Credit Risk $145,651 $(629,559) 
Interest Rate Risk   
Futures Contracts (268,926) 609,171 
Purchased Options (740,246) (1,858,091) 
Swaps – (75,725) 
Written Options (124,920) 264,890 
Total Interest Rate Risk $(1,134,092) $(1,059,755) 
Totals $(988,441) $(1,689,314) 

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

Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. The Fund used futures contracts to manage its exposure to the bond market and fluctuations in interest rates.

Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments (variation margin) are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is presented in the Statement of Operations.

Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The notional amount at value reflects each contract's exposure to the underlying instrument or index at period end and is representative of volume of activity during the period. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

4. Purchases and Sales of Investments.

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

 Purchases ($) Sales ($) 
Strategic Advisers Fidelity Core Income Fund 19,081,811,183 18,302,777,646 

5. Fees and Other Transactions with Affiliates.

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

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

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

Interfund Trades. Funds may purchase from or sell securities to other funds affiliated with each sub-adviser under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.

Prior Fiscal Year Reallocation of Underlying Fund Investments. During the prior period, the investment adviser reallocated investments of the Fund. This involved a taxable redemption of the Fund's interest in Fidelity Specialized High Income Central Fund. The Fund redeemed 2,350,309 shares of Fidelity Specialized High Income Central Fund in exchange for investments, including accrued interest, and cash with a value of $238,156,796. The Fund realized gains of $9,525,452 on the Fund's redemptions of Fidelity Specialized High Income Central Fund shares. The Fund recognized net gains on the exchanges for federal income tax purposes.

6. Investments in Fidelity Central Funds.

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

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

A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds are available on the SEC website or upon request.

7. Committed Line of Credit.

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

 Amount 
Strategic Advisers Fidelity Core Income Fund $28,283 

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

8. Expense Reductions.

The investment adviser has contractually agreed to waive the Fund's management fee in an amount equal to .25% of the Fund's average net assets until September 30, 2023. During the period, this waiver reduced the Fund's management fee by $ 32,962,013.

9. Other.

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

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

Fund % of shares held 
Fidelity Corporate Bond Fund  18% 
Fidelity Global Credit Fund  28% 
Fidelity SAI Long-Term Treasury Bond Index Fund  100% 
Fidelity SAI Total Bond Fund  61% 
Fidelity Sustainability Bond Index Fund  13% 

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.

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 (June 1, 2020 to November 30, 2020).

Actual Expenses

The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line 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.

 Annualized Expense Ratio-A Beginning
Account Value
June 1, 2020 		Ending
Account Value
November 30, 2020 		Expenses Paid
During Period-B
June 1, 2020
to November 30, 2020 
Strategic Advisers Fidelity Core Income Fund .07%    
Actual  $1,000.00 $1,041.60 $.36 
Hypothetical-C  $1,000.00 $1,024.72 $.36 

 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 183/ 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

Board Approval of Investment Advisory Contracts and Management Fees

Strategic Advisers Fidelity Core Income Fund

Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes at a meeting on the renewal of the management contract with Strategic Advisers LLC (Strategic Advisers) and the sub-advisory agreement with FIAM LLC (the Sub-Adviser) (the Sub-Advisory Agreement), and the sub-sub-advisory agreements with FMR Investment Management (UK) Limited, Fidelity Management & Research (Japan) Limited, and Fidelity Management & Research (Hong Kong) Limited (together, the Sub-Sub-Advisory Agreements and, together with the management contract and the Sub-Advisory Agreement, the Advisory Contracts) for the fund. Strategic Advisers and the Sub-Adviser are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.

The Board meets at least four times per year and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The full Board or the Independent Trustees, as appropriate, act on all major matters; however, a portion of the activities of the Board (including certain of those described herein) may be conducted through standing committees that have been established by the Board. The Board, acting directly and through its committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts.

At its September 2020 meeting, the Board, including the Independent Trustees, unanimously determined to renew the fund's Advisory Contracts. In reaching its determination to renew the fund's Advisory Contracts, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness of the fund's management fee and total expenses relative to peer funds; (iii) the total costs of the services provided by and the profits, if any, realized by Strategic Advisers from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and are realized as the fund grows and whether any economies of scale are appropriately shared with fund shareholders.

In considering whether to renew the Advisory Contracts for the fund, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts is in the best interests of the fund and its shareholders. In addition, with respect to the Sub-Advisory Agreement, the Board also concluded that the renewal of the agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees charged under the Advisory Contracts bear a reasonable relationship to the services rendered and are based on services provided that are in addition to, rather than duplicative of, services provided under the advisory contract of any underlying fund in which the fund may invest. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board throughout the year.

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

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

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

Resources Dedicated to Investment Management and Support Services.  The Board reviewed the general qualifications and capabilities of the Investment Advisers' investment staffs, their use of technology, and the Investment Advisers' approach to managing and compensating investment personnel. The Board noted that the Investment Advisers' analysts have extensive resources, tools, and capabilities that allow them to conduct sophisticated quantitative and/or fundamental analysis. Additionally, in its deliberations, the Board considered the Investment Advisers' trading capabilities and resources and global compliance infrastructure, which are integral parts of the investment management process. The Board also considered the Investment Advisers' investments in business continuity planning, and their success in continuously providing services to the fund notwithstanding the severe disruptions caused by the COVID-19 pandemic.

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

Investment Performance.  The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions and its performance history.

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

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

The following chart considered by the Board shows, over the one-year period ended December 31, 2019, the cumulative total returns of the fund and the cumulative total returns of an appropriate benchmark index and peer group. The box within the chart shows the 25th percentile return (75% beaten, top of box) and the 75th percentile return (25% beaten, bottom of box) of the peer group. Returns shown above the box are in the first quartile and returns shown below the box are in the fourth quartile. The percentage beaten number noted below each chart corresponds to the percentile box and represents the percentage of funds in the peer group whose performance was equal to or lower than that of the fund.

Strategic Advisers Fidelity Core Income Fund


The Board reviewed the fund's relative investment performance against its peer group and noted that the performance of the fund was in the second quartile for the one-year period ended December 31, 2019. The Board also noted that the fund had out-performed 55% of its peers for the one-year period ended December 31, 2019. The Board also noted that the investment performance of the fund was higher than its benchmark for the one-year period shown.

Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.

Competitiveness of Management Fee and Total Fund Expenses.  The Board considered the amount and nature of fees paid to the Investment Advisers. The Board also considered information comparing the management fees and total expenses of the fund to those of other registered investment companies with investment objectives similar to those of the fund, as discussed below. The Board also noted Strategic Advisers' proposal to extend the management fee waiver and considered the fund's contractual maximum aggregate annual management fee rate. In considering the fund's management fee and management fee waiver and comparisons to other registered investment companies with investment objectives similar to those of the fund, the Board noted that shares of the fund are offered only to clients that participate in the Fidelity Portfolio Advisory Service managed account program.

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

Management Fee.  The Board considered two proprietary management fee comparisons. The group of Lipper funds used by the Board for management fee comparisons is referred to as the "Total Mapped Group." The Total Mapped Group comparison focuses on a fund's standing in terms of gross management fees before expense reimbursements or caps relative to the total universe of funds with comparable investment mandates, regardless of whether their management fee structures also are comparable. Funds with comparable investment mandates offer exposure to similar types of securities. Funds with comparable management fee structures have similar management fee contractual arrangements (e.g., flat rate charged for advisory services, all-inclusive fee rate, etc.). "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a hypothetical TMG % of 20% would mean that 80% of the funds in the Total Mapped Group had higher, and 20% had lower, management fees than the fund. The fund's actual TMG %s and the number of funds in the Total Mapped Group are in the chart below. The Board also compared the fund's management fee to an "Asset-Size Peer Group" (ASPG), which is a sub-set of the competitive funds in the Total Mapped Group. The ASPG comparison focuses on a fund's standing relative to non-Fidelity funds within the Total Mapped Group that are similar in size and management fee structure. For example, if a fund is in the first quartile of the ASPG, the fund's management fee ranks in the least expensive or lowest 25% of funds in the ASPG. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee structures, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee rate ranked, is also included in the chart and was considered by the Board.

Strategic Advisers Fidelity Core Income Fund


The Board noted that the fund's management fee rate ranked below the median of its Total Mapped Group and below the median of its ASPG for the 12-month period ended December 31, 2019.

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

Total Expenses.  In its review of the fund's total expenses, the Board considered the fund's management fee rate as well as other fund expenses, as applicable, such as expenses from holding Fidelity and non-Fidelity mutual funds and ETFs, pricing and bookkeeping fees, and custodial, legal, and audit fees. The Board also noted the effects of any waivers and reimbursements on fees and expenses. The Board further noted that the fund's total expenses were compared to classes of competitive funds having similar load types. This comparison, which is a proxy for comparing funds by distribution channel, showed the fund's position relative to competitive funds with the same load type. The Board noted that the fund's total expenses were below the median of the fund's Total Mapped Group for the 12-month period ended December 31, 2019.

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

Based on its review of the total expense ratios and fees charged to other clients of Strategic Advisers or its affiliates and the Sub-Adviser, the Board concluded that the total expenses of the fund were reasonable in light of the services that the fund and its shareholders receive and the other factors considered.

Costs of the Services and Profitability.  The Board considered information regarding the revenues earned and the expenses incurred by Strategic Advisers and its affiliates in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and servicing the fund's shareholders.

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

A public accounting firm has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. The engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's mutual fund business, and completion of agreed-upon procedures in respect of the mathematical accuracy of certain fund profitability information and its conformity to established allocation methodologies. After considering the reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.

The Board also reviewed Fidelity's non-fund businesses and potential indirect benefits such businesses may have received as a result of their association with Fidelity's mutual fund business (i.e., fall-out benefits) as well as cases where Fidelity's affiliates may benefit from the fund's business. The Board noted that changes to fall-out benefits year-over-year reflect business developments at Fidelity's various businesses.

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

The Board also considered information regarding the profitability of the Sub-Adviser's relationship with the fund and the potential fall-out benefits, if any, that may accrue to the Sub-Adviser as a result of its relationship with the fund. The Board considered profitability information provided by the Sub-Adviser in light of the nature of the relationship between Strategic Advisers and the Sub-Adviser with respect to the negotiation of sub-advisory fees.

Possible Economies of Scale.  The Board considered whether there have been economies of scale in respect of the management of the Strategic Advisers funds, whether the Strategic Advisers funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale as assets grow through increased services to the fund, through waivers or reimbursements, or through fee or expense ratio reductions. The Board considered thatthe fund's Sub-Advisory Agreement provides for breakpoints as the fund's assets grow and noted that any potential decline in sub-advisory fees would accrue directly to the fund. The Board also took Strategic Advisers' management fee waiver into consideration.

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

Proxy Voting Results

A special meeting of shareholders was held on November 2, 2020. The results of votes taken among shareholders on the proposal before them are reported below. Each vote reported represents one dollar of net asset value held on the record date for the meeting.

PROPOSAL 1

To elect a Board of Trustees.

 # of
Votes 		% of
Votes 
ROBERT A. LAWRENCE 
Affirmative 204,250,982,594.51 96.530 
Withheld 7,343,512,146.85 3.470 
TOTAL 211,594,494,741.36 100.000 
CHARLES S. MORRISON 
Affirmative 204,349,460,488.43 96.576 
Withheld 7,245,034,252.93 3.424 
TOTAL 211,594,494,741.36 100.000 
PETER C. ALDRICH 
Affirmative 203,499,803,652.67 96.175 
Withheld 8,094,691,088.69 3.825 
TOTAL 211,594,494,741.36 100.000 
MARY C. FARRELL 
Affirmative 204,011,925,737.22 96.417 
Withheld 7,582,569,004.14 3.583 
TOTAL 211,594,494,741.36 100.00 
KAREN KAPLAN 
Affirmative 204,297,547,550.53 96.552 
Withheld 7,296,947,190.83 3.448 
TOTAL 211,594,494,741.36 100.000 
CHRISTINE MARCKS 
Affirmative 204,700,871,317.72 96.743 
Withheld 6,893,623,423.64 3.257 
TOTAL 211,594,494,741.36 100.000 
HEIDI L. STEIGER 
Affirmative 204,406,589,957.28 96.603 
Withheld 7,187,904,784.08 3.397 
TOTAL 211,594,494,741.36 100.000 
Proposal 1 reflects trust wide proposal and voting results. 





Fidelity Investments

COI-SANN-0121
1.9887940.102

Strategic Advisers® Fidelity® Emerging Markets Fund

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



Semi-Annual Report

November 30, 2020

Fidelity Investments



Fidelity Investments

Contents

Note to Shareholders

Investment Summary

Schedule of Investments

Financial Statements

Notes to Financial Statements

Shareholder Expense Example

Board Approval of Investment Advisory Contracts and Management Fees

Proxy Voting Results


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.

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All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2021 FMR LLC. All rights reserved.



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

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

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

NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE

Neither the Fund nor Fidelity Distributors Corporation is a bank.



Note to Shareholders:

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

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

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

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

Investment Summary (Unaudited)

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

Top Ten Holdings as of November 30, 2020

(excluding cash equivalents) % of fund's net assets 
Fidelity SAI Emerging Markets Value Index Fund 11.8 
Fidelity Emerging Markets Fund 11.3 
Fidelity SAI Emerging Markets Index Fund 11.0 
Fidelity SAI Emerging Markets Low Volatility Index Fund 6.2 
Alibaba Group Holding Ltd. sponsored ADR 3.6 
Tencent Holdings Ltd. 3.3 
Samsung Electronics Co. Ltd. 3.0 
Taiwan Semiconductor Manufacturing Co. Ltd. 3.0 
JD.com, Inc. sponsored ADR 0.9 
Naspers Ltd. Class N 0.8 
 54.9 

Asset Allocation (% of fund's net assets)

As of November 30, 2020 
   Common Stocks 49.7% 
   Preferred Stocks 1.1% 
   Diversifed Emerging Markets Funds 40.3% 
   Short-Term Investments and Net Other Assets (Liabilities) 8.9% 


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

Schedule of Investments November 30, 2020 (Unaudited)

Showing Percentage of Net Assets

Common Stocks - 49.7%   
 Shares Value 
COMMUNICATION SERVICES - 5.3%   
Diversified Telecommunication Services - 0.0%   
HKBN Ltd. 735,000 $1,269,423 
Entertainment - 0.7%   
Bilibili, Inc. ADR (a)(b) 204,319 12,843,492 
CD Projekt RED SA (a) 71,367 7,411,068 
DouYu International Holdings Ltd. ADR (a)(b) 362,896 4,812,001 
HUYA, Inc. ADR (a)(b) 125,569 2,598,023 
International Games Systems Co. Ltd. 125,000 2,966,398 
NetEase, Inc. ADR 80,975 7,317,711 
Wuhu Sanqi Interactive Entertainment Network Technology Group Co. Ltd. (A Shares) 354,000 1,406,013 
  39,354,706 
Interactive Media & Services - 4.2%   
Autohome, Inc. ADR Class A 8,772 828,252 
Baidu.com, Inc. sponsored ADR (a) 19,000 2,640,810 
Kakao Corp. 17,014 5,648,208 
NAVER Corp. 16,611 4,158,294 
Tencent Holdings Ltd. 2,434,900 177,498,718 
Yandex NV Series A (a) 363,850 25,091,096 
YY, Inc. ADR 59,500 5,299,665 
  221,165,043 
Media - 0.1%   
Focus Media Information Technology Co. Ltd. (A Shares) 1,513,800 2,231,963 
Wireless Telecommunication Services - 0.3%   
Bharti Airtel Ltd. 1,546,002 9,653,373 
China Mobile Ltd. 1,219,000 7,271,586 
  16,924,959 
TOTAL COMMUNICATION SERVICES  280,946,094 
CONSUMER DISCRETIONARY - 11.2%   
Automobiles - 0.7%   
Great Wall Motor Co. Ltd. (H Shares) 972,500 1,966,541 
Guangzhou Automobile Group Co. Ltd. (H Shares) 4,372,000 4,701,593 
Hyundai Motor Co. 92,058 15,072,824 
Kia Motors Corp. 45,711 2,383,444 
XPeng, Inc. ADR (a)(b) 234,100 13,755,716 
  37,880,118 
Diversified Consumer Services - 0.5%   
New Oriental Education & Technology Group, Inc. (a) 16,000 2,615,528 
New Oriental Education & Technology Group, Inc. sponsored ADR (a) 122,368 20,172,365 
TAL Education Group ADR (a) 81,326 5,697,700 
  28,485,593 
Hotels, Restaurants & Leisure - 0.3%   
Galaxy Entertainment Group Ltd. 108,000 819,481 
Haidilao International Holding Ltd. (c) 91,000 596,978 
Sands China Ltd. 372,000 1,520,412 
Shangri-La Asia Ltd. (a) 7,972,000 7,290,626 
Wynn Macau Ltd. (a) 223,600 381,042 
Yum China Holdings, Inc. 21,006 1,184,318 
Yum China Holdings, Inc. 11,800 672,714 
  12,465,571 
Household Durables - 1.2%   
Gree Electric Appliances, Inc. of Zhuhai (A Shares) 37,500 379,851 
Haier Smart Home Co. Ltd. (A Shares) 9,031,929 37,026,118 
Midea Group Co. Ltd. (A Shares) 2,135,989 28,197,821 
  65,603,790 
Internet & Direct Marketing Retail - 6.5%   
Alibaba Group Holding Ltd. (a) 205,900 6,764,168 
Alibaba Group Holding Ltd. sponsored ADR (a) 724,520 190,809,587 
Baozun, Inc.:   
Class A (a) 216,800 2,720,523 
sponsored ADR (a)(b) 116,122 4,315,094 
Ctrip.com International Ltd. ADR (a) 219,382 7,369,041 
JD.com, Inc.:   
Class A 59,200 2,540,490 
sponsored ADR (a) 530,432 45,272,371 
MakeMyTrip Ltd. (a) 132,098 3,277,351 
Meituan Class B (a) 610,500 22,830,512 
Naspers Ltd. Class N 217,985 43,823,047 
Pinduoduo, Inc. ADR (a) 127,850 17,746,859 
  347,469,043 
Leisure Products - 0.0%   
Goodbaby International Holdings Ltd. (a) 794,000 102,943 
Multiline Retail - 0.0%   
MINISO Group Holding Ltd. ADR 9,230 184,046 
Specialty Retail - 0.6%   
China Yongda Automobiles Services Holdings Ltd. 3,581,000 6,117,288 
Zhongsheng Group Holdings Ltd. Class H 3,074,500 23,116,271 
  29,233,559 
Textiles, Apparel & Luxury Goods - 1.4%   
adidas AG 32,971 10,522,485 
Anta Sports Products Ltd. 1,773,000 24,059,564 
ECLAT Textile Co. Ltd. 566,000 7,924,396 
Li Ning Co. Ltd. 5,179,500 27,984,642 
Regina Miracle International Holdings Ltd. (c) 227,000 90,152 
Shenzhou International Group Holdings Ltd. 298,900 5,023,755 
  75,604,994 
TOTAL CONSUMER DISCRETIONARY  597,029,657 
CONSUMER STAPLES - 3.9%   
Beverages - 1.6%   
China Resources Beer Holdings Co. Ltd. 3,656,000 26,880,445 
Kweichow Moutai Co. Ltd. (A Shares) 140,062 36,488,419 
Nongfu Spring Co. Ltd. (H Shares) (a) 432,800 2,356,486 
Shanghai Bairun Investment Holding Group Co. Ltd. (A Shares) 595,200 6,925,559 
Thai Beverage PCL 15,987,300 8,821,237 
Tsingtao Brewery Co. Ltd. (H Shares) 301,054 2,921,362 
  84,393,508 
Food & Staples Retailing - 0.7%   
Atacadao SA 385,900 1,448,548 
Bidcorp Ltd. 147,109 2,653,733 
CP ALL PCL (For. Reg.) 4,808,300 9,619,780 
President Chain Store Corp. 147,000 1,332,622 
Wal-Mart de Mexico SA de CV Series V 7,689,400 20,260,044 
X5 Retail Group NV GDR (Reg. S) 124,778 4,465,314 
  39,780,041 
Food Products - 1.3%   
Angel Yeast Co. Ltd. (A Shares) 566,300 3,959,598 
China Mengniu Dairy Co. Ltd. 7,001,000 35,210,400 
Gruma S.A.B. de CV Series B 478,015 5,259,519 
Inner Mongoli Yili Industries Co. Ltd. (A Shares) 987,367 5,671,556 
Tingyi (Cayman Islands) Holding Corp. 432,000 729,741 
Unified-President Enterprises Corp. 7,936,201 18,055,760 
WH Group Ltd. (c) 1,212,500 987,790 
  69,874,364 
Personal Products - 0.3%   
Hengan International Group Co. Ltd. 169,500 1,165,815 
LG Household & Health Care Ltd. 1,561 2,131,990 
Natura & Co. Holding SA 1,275,724 12,003,817 
  15,301,622 
TOTAL CONSUMER STAPLES  209,349,535 
ENERGY - 1.7%   
Energy Equipment & Services - 0.2%   
China Oilfield Services Ltd. (H Shares) 7,316,000 5,526,648 
Yantai Jereh Oilfield Services (A Shares) 790,415 4,444,125 
  9,970,773 
Oil, Gas & Consumable Fuels - 1.5%   
China Petroleum & Chemical Corp. (H Shares) 14,268,000 6,409,751 
CNOOC Ltd. 9,580,000 9,532,747 
CNOOC Ltd. sponsored ADR 58,082 5,734,436 
Lukoil PJSC 96,272 6,373,513 
Lukoil PJSC sponsored ADR 216,713 13,950,940 
Petroleo Brasileiro SA - Petrobras (ON) 3,162,600 15,082,770 
Pilipinas Shell Petroleum Corp. (a) 768,700 316,389 
Reliance Industries Ltd. 711,471 18,411,805 
Reliance Industries Ltd. 50,414 710,906 
Reliance Industries Ltd. sponsored GDR (c) 102,000 5,260,769 
  81,784,026 
TOTAL ENERGY  91,754,799 
FINANCIALS - 8.6%   
Banks - 5.7%   
Absa Group Ltd. 695,977 4,952,565 
Axis Bank Ltd. (a) 2,318,321 18,752,348 
Banco do Brasil SA 693,200 4,381,183 
Capitec Bank Holdings Ltd. 61,716 5,162,923 
China Construction Bank Corp. (H Shares) 17,257,000 13,490,361 
China Merchants Bank Co. Ltd. (H Shares) 4,308,500 27,308,448 
Credicorp Ltd. (United States) 59,200 9,111,472 
E.SUN Financial Holdings Co. Ltd. 7,636,267 6,722,160 
Grupo Financiero Banorte S.A.B. de CV Series O (a) 3,718,745 18,619,255 
Hana Financial Group, Inc. 289,149 8,829,515 
HDFC Bank Ltd. (a) 475,743 9,195,050 
HDFC Bank Ltd. sponsored ADR (a) 590,077 40,715,313 
ICICI Bank Ltd. (a) 1,775,422 11,325,945 
Industrial & Commercial Bank of China Ltd. (H Shares) 43,850,000 27,701,144 
KB Financial Group, Inc. 169,755 7,005,227 
Kotak Mahindra Bank Ltd. (a) 258,914 6,634,932 
National Bank of Abu Dhabi PJSC 650,014 2,233,281 
PT Bank Central Asia Tbk 7,887,586 17,330,903 
PT Bank Mandiri (Persero) Tbk 51,260,000 22,991,197 
Qatar National Bank SAQ 555,268 2,701,819 
Sberbank of Russia 3,666,386 11,933,175 
Sberbank of Russia sponsored ADR 1,022,434 13,487,524 
Shinhan Financial Group Co. Ltd. 366,950 10,785,988 
TCS Group Holding PLC GDR 65,745 2,016,833 
  303,388,561 
Capital Markets - 0.4%   
BM&F BOVESPA SA 1,666,500 17,460,082 
CITIC Securities Co. Ltd. (H Shares) 629,500 1,415,858 
Hong Kong Exchanges and Clearing Ltd. 34,100 1,693,643 
Huatai Securities Co. Ltd. (H Shares) (c) 935,200 1,461,081 
Noah Holdings Ltd. sponsored ADR (a) 69,530 2,058,088 
  24,088,752 
Consumer Finance - 0.3%   
Bajaj Finance Ltd. 75,083 4,952,262 
Kaspi.KZ JSC unit 122,209 6,207,728 
Shriram Transport Finance Co. Ltd. 431,392 6,192,529 
  17,352,519 
Diversified Financial Services - 0.2%   
Chailease Holding Co. Ltd. 1,556,146 8,496,982 
Insurance - 1.5%   
AIA Group Ltd. 2,877,400 31,577,706 
China Life Insurance Co. Ltd. (H Shares) 8,283,000 18,692,388 
China Pacific Insurance (Group) Co. Ltd. (H Shares) 460,400 1,749,645 
HDFC Standard Life Insurance Co. Ltd. (a)(c) 405,426 3,516,479 
Hyundai Fire & Marine Insurance Co. Ltd. 168,319 3,386,059 
ICICI Lombard General Insurance Co. Ltd. (c) 225,283 4,386,928 
Ping An Insurance Group Co. of China Ltd. (H Shares) 1,406,500 16,542,617 
  79,851,822 
Thrifts & Mortgage Finance - 0.5%   
Housing Development Finance Corp. Ltd. 840,769 25,521,916 
TOTAL FINANCIALS  458,700,552 
HEALTH CARE - 1.3%   
Biotechnology - 0.1%   
Akeso, Inc. (c) 116,000 374,134 
Innovent Biologics, Inc. (a)(c) 314,500 2,065,659 
Remegen Co. Ltd. (H Shares) (a)(c) 187,000 1,676,982 
Zai Lab Ltd. (a) 40,000 4,263,557 
  8,380,332 
Health Care Equipment & Supplies - 0.3%   
Peijia Medical Ltd. (a)(b)(c) 267,000 709,820 
Shenzhen Mindray Bio-Medical Electronics Co. Ltd. (A Shares) 325,603 16,696,130 
Venus MedTech Hangzhou, Inc. (H Shares) (a)(c) 39,000 356,540 
  17,762,490 
Health Care Providers & Services - 0.0%   
Aier Eye Hospital Group Co. Ltd. (A Shares) 66,409 617,768 
Aster DM Healthcare Ltd. (a)(c) 1,192 2,680 
  620,448 
Life Sciences Tools & Services - 0.4%   
Hangzhou Tigermed Consulting Co. Ltd. (H Shares) (a)(c) 407,600 6,895,400 
Pharmaron Beijing Co. Ltd. (H Shares) (c) 116,400 1,410,454 
WuXi AppTec Co. Ltd. (H Shares) (c) 615,180 9,211,356 
Wuxi Biologics (Cayman), Inc. (a)(c) 289,500 2,866,000 
  20,383,210 
Pharmaceuticals - 0.5%   
Hansoh Pharmaceutical Group Co. Ltd. (a)(c) 1,007,610 4,834,898 
Jiangsu Hengrui Medicine Co. Ltd. (A Shares) 113,616 1,485,026 
Richter Gedeon PLC 709,300 16,805,251 
Sino Biopharmaceutical Ltd. 1,496,000 1,501,382 
  24,626,557 
TOTAL HEALTH CARE  71,773,037 
INDUSTRIALS - 2.6%   
Air Freight & Logistics - 0.0%   
ZTO Express, Inc. (a) 74,000 2,110,307 
Airlines - 0.2%   
Azul SA sponsored ADR (a) 208,067 4,425,585 
Copa Holdings SA Class A 51,960 4,141,212 
  8,566,797 
Construction & Engineering - 0.2%   
Larsen & Toubro Ltd. 812,100 12,236,591 
Electrical Equipment - 0.0%   
Voltronic Power Technology Corp. 81,966 2,507,465 
Machinery - 1.7%   
Airtac International Group 465,000 13,508,925 
Estun Automation Co. Ltd. (A Shares) (a) 616,670 2,244,942 
HIWIN Technologies Corp. 1,363,000 14,574,606 
HIWIN Technologies Corp. rights 11/14/20 (a) 41,938 162,203 
Sany Heavy Industry Co. Ltd. (A Shares) 4,369,838 20,398,201 
Shenzhen Inovance Technology Co. Ltd. (A Shares) 1,118,253 13,088,127 
Techtronic Industries Co. Ltd. 641,500 8,189,360 
Weichai Power Co. Ltd.:   
(A Shares) 5,718,902 14,508,273 
(H Shares) 700,000 1,429,598 
Zoomlion Heavy Industry Science and Technology Co. Ltd. (H Shares) 434,200 453,302 
  88,557,537 
Professional Services - 0.2%   
Sporton International, Inc. 1,031,000 8,660,833 
Road & Rail - 0.3%   
Localiza Rent A Car SA 927,855 11,641,918 
Rumo SA (a) 834,800 2,954,382 
  14,596,300 
Trading Companies & Distributors - 0.0%   
BOC Aviation Ltd. Class A (c) 72,200 643,118 
Transportation Infrastructure - 0.0%   
Grupo Aeroportuario Norte S.A.B. de CV (a) 481,900 2,798,610 
TOTAL INDUSTRIALS  140,677,558 
INFORMATION TECHNOLOGY - 11.2%   
Electronic Equipment & Components - 1.4%   
Chaozhou Three-Circle Group Co. (A Shares) 199,600 969,344 
Hangzhou Hikvision Digital Technology Co. Ltd. (A Shares) 88,800 616,440 
Hon Hai Precision Industry Co. Ltd. (Foxconn) 1,655,000 4,767,466 
Largan Precision Co. Ltd. 75,000 8,466,048 
LG Innotek Co. Ltd. 31,045 4,340,900 
Samsung SDI Co. Ltd. 31,946 15,360,316 
Sunny Optical Technology Group Co. Ltd. 1,555,000 30,374,730 
Yageo Corp. 571,000 8,833,812 
Zhejiang Dahua Technology Co. Ltd.:   
(A Shares) 49,100 155,907 
(A Shares) 64,100 203,537 
  74,088,500 
IT Services - 0.5%   
Infosys Ltd. 431,226 6,445,414 
Infosys Ltd. sponsored ADR 1,069,852 16,283,147 
Tech Mahindra Ltd. 145,654 1,713,430 
  24,441,991 
Semiconductors & Semiconductor Equipment - 5.7%   
ASE Technology Holding Co. Ltd. 4,047,000 10,766,344 
ASM Pacific Technology Ltd. 36,200 452,025 
eMemory Technology, Inc. 163,000 3,269,128 
MediaTek, Inc. 1,577,000 38,859,223 
Realtek Semiconductor Corp. 293,000 3,804,795 
Semiconductor Manufacturing International Corp. (a) 189,500 523,396 
Silergy Corp. 19,000 1,476,374 
SK Hynix, Inc. 429,288 37,758,074 
Taiwan Semiconductor Manufacturing Co. Ltd. 9,408,000 159,763,034 
Taiwan Semiconductor Manufacturing Co. Ltd. sponsored ADR 429,719 41,691,337 
Xinyi Solar Holdings Ltd. 3,772,000 6,908,429 
  305,272,159 
Software - 0.0%   
Kingsoft Corp. Ltd. 160,000 803,055 
Ming Yuan Cloud Group Holdings Ltd. 198,575 992,151 
  1,795,206 
Technology Hardware, Storage & Peripherals - 3.6%   
Samsung Electronics Co. Ltd. 2,680,067 161,260,481 
Samsung Electronics Co. Ltd. unit 17,014 25,774,342 
Xiaomi Corp. Class B (a)(c) 1,329,400 4,538,752 
  191,573,575 
TOTAL INFORMATION TECHNOLOGY  597,171,431 
MATERIALS - 3.3%   
Chemicals - 0.8%   
LG Chemical Ltd. 29,594 21,357,486 
PhosAgro OJSC GDR (Reg. S) 182,254 2,327,898 
Sociedad Quimica y Minera de Chile SA (PN-B) sponsored ADR 230,078 10,829,771 
Solar Industries India Ltd. 555,100 7,790,021 
  42,305,176 
Construction Materials - 0.4%   
Anhui Conch Cement Co. Ltd.:   
(A Shares) 125,700 1,079,519 
(H Shares) 143,000 914,037 
CEMEX S.A.B. de CV sponsored ADR 1,580,546 7,270,512 
JK Cement Ltd. 433,600 11,849,612 
  21,113,680 
Metals & Mining - 1.6%   
Alrosa Co. Ltd. 2,159,090 2,487,695 
AngloGold Ashanti Ltd. 193,119 4,141,474 
Barrick Gold Corp. 504,100 11,664,874 
Grupo Mexico SA de CV Series B 3,474,922 12,609,977 
Harmony Gold Mining Co. Ltd. (a) 632,190 2,610,960 
Impala Platinum Holdings Ltd. 2,177,462 22,879,433 
MMC Norilsk Nickel PJSC 1,365 383,787 
MMC Norilsk Nickel PJSC sponsored ADR 88,063 2,442,308 
Novolipetsk Steel OJSC GDR (Reg. S) 52,936 1,309,620 
POSCO 46,317 9,801,554 
Sibanye Stillwater Ltd. 3,205,236 10,679,716 
Vale SA 241,200 3,511,703 
Vale SA sponsored ADR 74,600 1,086,176 
  85,609,277 
Paper & Forest Products - 0.5%   
Suzano Papel e Celulose SA (a) 2,410,600 25,422,574 
TOTAL MATERIALS  174,450,707 
REAL ESTATE - 0.4%   
Equity Real Estate Investment Trusts (REITs) - 0.0%   
Link (REIT) 127,200 1,112,121 
Real Estate Management & Development - 0.4%   
Ayala Land, Inc. 8,584,300 6,782,672 
China Overseas Land and Investment Ltd. 1,156,500 2,815,833 
China Resources Land Ltd. 404,000 1,748,386 
Hemisphere Properties India Ltd. (a) 11,700 9,889 
Longfor Properties Co. Ltd. (c) 878,500 5,740,850 
Shimao Services Holdings Ltd. (a)(c) 485,000 859,937 
Sun Hung Kai Properties Ltd. 105,000 1,395,703 
  19,353,270 
TOTAL REAL ESTATE  20,465,391 
UTILITIES - 0.2%   
Electric Utilities - 0.0%   
Cheung Kong Infrastructure Holdings Ltd. 104,500 533,262 
Gas Utilities - 0.2%   
China Gas Holdings Ltd. 1,976,800 7,261,956 
China Resource Gas Group Ltd. 302,000 1,455,543 
Indraprastha Gas Ltd. 596,275 4,005,785 
  12,723,284 
Independent Power and Renewable Electricity Producers - 0.0%   
Huadian Power International Corp. Ltd. (H Shares) 812,000 214,753 
TOTAL UTILITIES  13,471,299 
TOTAL COMMON STOCKS   
(Cost $2,036,520,753)  2,655,790,060 
Nonconvertible Preferred Stocks - 1.1%   
ENERGY - 0.3%   
Oil, Gas & Consumable Fuels - 0.3%   
Petroleo Brasileiro SA - Petrobras sponsored ADR 1,385,966 13,263,695 
FINANCIALS - 0.7%   
Banks - 0.7%   
Banco Bradesco SA (PN) 977,572 4,434,054 
Itau Unibanco Holding SA 4,300,709 22,926,839 
Sberbank of Russia 385,881 1,159,425 
Sberbank of Russia 3,791,522 11,392,075 
  39,912,393 
INDUSTRIALS - 0.1%   
Airlines - 0.1%   
Azul SA (a) 868,400 6,162,797 
TOTAL NONCONVERTIBLE PREFERRED STOCKS   
(Cost $53,135,000)  59,338,885 
Equity Funds - 40.3%   
Diversified Emerging Markets Funds - 40.3%   
Fidelity Emerging Markets Fund (d) 14,017,451 603,311,103 
Fidelity SAI Emerging Markets Index Fund (d) 37,256,148 586,784,328 
Fidelity SAI Emerging Markets Low Volatility Index Fund (d) 32,620,248 331,095,519 
Fidelity SAI Emerging Markets Value Index Fund (d) 48,706,138 628,309,191 
TOTAL EQUITY FUNDS   
(Cost $1,784,790,685)  2,149,500,141 
U.S. Treasury Obligations - 0.6%   
U.S. Treasury Bills, yield at date of purchase 0.06% to 0.11% 12/3/20 to 2/25/21 (e)   
(Cost $33,955,411) 33,960,000 33,955,797 
Money Market Funds - 9.2%   
Fidelity Cash Central Fund 0.09% (f) 38,052,259 38,059,870 
Fidelity Securities Lending Cash Central Fund 0.09% (f)(g) 41,826,324 41,830,507 
Invesco Government & Agency Portfolio Institutional Class .01% (h) 410,702,328 410,702,328 
TOTAL MONEY MARKET FUNDS   
(Cost $490,572,562)  490,592,705 
TOTAL INVESTMENT IN SECURITIES - 100.9%   
(Cost $4,398,974,411)  5,389,177,588 
NET OTHER ASSETS (LIABILITIES) - (0.9)%  (48,296,296) 
NET ASSETS - 100%  $5,340,881,292 

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) 6,953 Dec. 2020 $417,979,595 $27,035,817 $27,035,817 

The notional amount of futures purchased as a percentage of Net Assets is 7.8%

For the period, the average monthly notional amount at value for futures contracts in the aggregate was $280,066,293.

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 $58,486,757 or 1.1% of net assets.

 (d) Affiliated Fund

 (e) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $33,040,894.

 (f) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.

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

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

Affiliated Central Funds

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

Fund Income earned 
Fidelity Cash Central Fund $21,214 
Fidelity Securities Lending Cash Central Fund 47,531 
Total $68,745 

Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations, if applicable. Amount for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.

Affiliated Underlying Funds

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

Affiliate Value, beginning of period Purchases Sales Proceeds Dividend Income Realized Gain (loss) Change in Unrealized appreciation (depreciation) Value, end of period 
Fidelity Emerging Markets Fund $335,597,285 $144,000,000 $-- $-- $-- $123,713,818 $603,311,103 
Fidelity SAI Emerging Markets Index Fund 842,100,133 134,835,393 566,000,000 -- 1,933,367 173,915,435 586,784,328 
Fidelity SAI Emerging Markets Low Volatility Index Fund 166,174,301 126,000,000 -- -- -- 38,921,218 331,095,519 
Fidelity SAI Emerging Markets Value Index Fund 21,609,000 524,999,996 -- -- -- 81,700,195 628,309,191 
Total $1,365,480,719 $929,835,389 $566,000,000 $-- $1,933,367 $418,250,666 $2,149,500,141 

Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations, if applicable.

Investment Valuation

The following is a summary of the inputs used, as of November 30, 2020, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.

 Valuation Inputs at Reporting Date: 
Description Total Level 1 Level 2 Level 3 
Investments in Securities:     
Equities:     
Communication Services $280,946,094 $77,841,926 $203,104,168 $-- 
Consumer Discretionary 597,029,657 400,768,902 196,260,755 -- 
Consumer Staples 209,349,535 134,632,182 74,717,353 -- 
Energy 105,018,494 38,525,026 66,493,468 -- 
Financials 498,612,945 192,073,993 306,538,952 -- 
Health Care 71,773,037 35,604,175 36,168,862 -- 
Industrials 146,840,355 121,615,876 25,224,479 -- 
Information Technology 597,171,431 348,116,329 249,055,102 -- 
Materials 174,450,707 120,199,720 54,250,987 -- 
Real Estate 20,465,391 -- 20,465,391 -- 
Utilities 13,471,299 -- 13,471,299 -- 
Equity Funds 2,149,500,141 2,149,500,141 -- -- 
Other Short-Term Investments 33,955,797 -- 33,955,797 -- 
Money Market Funds 490,592,705 490,592,705 -- -- 
Total Investments in Securities: $5,389,177,588 $4,109,470,975 $1,279,706,613 $-- 
Derivative Instruments:     
Assets     
Futures Contracts $27,035,817 $27,035,817 $-- $-- 
Total Assets $27,035,817 $27,035,817 $-- $-- 
Total Derivative Instruments: $27,035,817 $27,035,817 $-- $-- 

Value of Derivative Instruments

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of November 30, 2020. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.

Primary Risk Exposure / Derivative Type Value 
 Asset Liability 
Equity Risk   
Futures Contracts(a) $27,035,817 $0 
Total Equity Risk 27,035,817 0 
Total Value of Derivatives $27,035,817 $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).

Other Information

Distribution of the direct investments by country of issue, as a percentage of Total Net Assets, is as follows (Unaudited):

United States of America 49.3% 
Cayman Islands 14.8% 
Taiwan 6.4% 
Korea (South) 6.4% 
China 6.2% 
India 4.4% 
Brazil 2.8% 
Hong Kong 1.8% 
South Africa 1.8% 
Russia 1.2% 
Mexico 1.2% 
Others (Individually Less Than 1%) 3.7% 
 100.0% 

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


Financial Statements

Statement of Assets and Liabilities

  November 30, 2020 (Unaudited) 
Assets   
Investment in securities, at value (including securities loaned of $38,391,776) — See accompanying schedule:
Unaffiliated issuers (cost $2,534,313,492) 		$3,159,787,070  
Fidelity Central Funds (cost $79,870,234) 79,890,377  
Other affiliated issuers (cost $1,784,790,685) 2,149,500,141  
Total Investment in Securities (cost $4,398,974,411)  $5,389,177,588 
Foreign currency held at value (cost $1,855,967)  1,858,592 
Receivable for investments sold  8,990,673 
Receivable for fund shares sold  8,053,795 
Dividends receivable  642,825 
Interest receivable  2,893 
Distributions receivable from Fidelity Central Funds  17,576 
Prepaid expenses  3,335 
Other receivables  336,870 
Total assets  5,409,084,147 
Liabilities   
Payable to custodian bank $3,428,422  
Payable for investments purchased 3,950,838  
Payable for fund shares redeemed 1,535,317  
Accrued management fee 1,016,063  
Payable for daily variation margin on futures contracts 11,203,255  
Other payables and accrued expenses 5,239,510  
Collateral on securities loaned 41,829,450  
Total liabilities  68,202,855 
Net Assets  $5,340,881,292 
Net Assets consist of:   
Paid in capital  $4,385,161,941 
Total accumulated earnings (loss)  955,719,351 
Net Assets  $5,340,881,292 
Net Asset Value, offering price and redemption price per share ($5,340,881,292 ÷ 392,193,504 shares)  $13.62 

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


Statement of Operations

  Six months ended November 30, 2020 (Unaudited) 
Investment Income   
Dividends:   
Unaffiliated issuers  $21,059,915 
Interest  81,383 
Income from Fidelity Central Funds (including $47,531 from security lending)  68,745 
Income before foreign taxes withheld  21,210,043 
Less foreign taxes withheld  (2,658,580) 
Total income  18,551,463 
Expenses   
Management fee $9,712,954  
Custodian fees and expenses 190,878  
Independent trustees' fees and expenses 18,812  
Registration fees 205,530  
Audit 36,417  
Legal 6,017  
Miscellaneous 49,682  
Total expenses before reductions 10,220,290  
Expense reductions (5,241,748)  
Total expenses after reductions  4,978,542 
Net investment income (loss)  13,572,921 
Realized and Unrealized Gain (Loss)   
Net realized gain (loss) on:   
Investment securities:   
Unaffiliated issuers (11,005,306)  
Fidelity Central Funds (2,201)  
Other affiliated issuers 1,933,367  
Foreign currency transactions (1,568,705)  
Futures contracts 73,387,236  
Total net realized gain (loss)  62,744,391 
Change in net unrealized appreciation (depreciation) on:   
Investment securities:   
Unaffiliated issuers (net of increase in deferred foreign taxes of $4,955,367) 588,947,731  
Affiliated issuers 418,250,666  
Assets and liabilities in foreign currencies 95,934  
Futures contracts (6,106,246)  
Total change in net unrealized appreciation (depreciation)  1,001,188,085 
Net gain (loss)  1,063,932,476 
Net increase (decrease) in net assets resulting from operations  $1,077,505,397 

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


Statement of Changes in Net Assets

 Six months ended November 30, 2020 (Unaudited) Year ended May 31, 2020 
Increase (Decrease) in Net Assets   
Operations   
Net investment income (loss) $13,572,921 $59,865,849 
Net realized gain (loss) 62,744,391 (118,494,533) 
Change in net unrealized appreciation (depreciation) 1,001,188,085 (21,079,610) 
Net increase (decrease) in net assets resulting from operations 1,077,505,397 (79,708,294) 
Distributions to shareholders – (58,777,125) 
Share transactions   
Proceeds from sales of shares 1,604,192,094 1,609,511,839 
Reinvestment of distributions – 56,678,011 
Cost of shares redeemed (317,203,699) (495,169,459) 
Net increase (decrease) in net assets resulting from share transactions 1,286,988,395 1,171,020,391 
Total increase (decrease) in net assets 2,364,493,792 1,032,534,972 
Net Assets   
Beginning of period 2,976,387,500 1,943,852,528 
End of period $5,340,881,292 $2,976,387,500 
Other Information   
Shares   
Sold 130,075,632 149,103,119 
Issued in reinvestment of distributions – 4,725,743 
Redeemed (26,320,052) (46,868,850) 
Net increase (decrease) 103,755,580 106,960,012 

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


Financial Highlights

Strategic Advisers Fidelity Emerging Markets Fund

 Six months ended (Unaudited) November 30, Years endedMay 31,  
 2020 2020 2019 A 
Selected Per–Share Data    
Net asset value, beginning of period $10.32 $10.71 $10.00 
Income from Investment Operations    
Net investment income (loss)B .04 .26C .18 
Net realized and unrealized gain (loss) 3.26 (.39) .67 
Total from investment operations 3.30 (.13) .85 
Distributions from net investment income – (.26) (.14) 
Total distributions – (.26) (.14) 
Net asset value, end of period $13.62 $10.32 $10.71 
Total ReturnD,E 31.98% (1.58)% 8.63% 
Ratios to Average Net AssetsF,G,H    
Expenses before reductions .50%I .49% .57%I 
Expenses net of fee waivers, if any .25%I .24% .32%I 
Expenses net of all reductions .24%I .23% .31%I 
Net investment income (loss) .66%I 2.35%C 2.82%I 
Supplemental Data    
Net assets, end of period (000 omitted) $5,340,881 $2,976,388 $1,943,853 
Portfolio turnover rateH 67%I 49% 125%I 

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

 B Calculated based on average shares outstanding during the period.

 C Net investment income per share reflects 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%.

 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 advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.

 H Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).

 I Annualized

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


Notes to Financial Statements (Unaudited)

For the period ended November 30, 2020

1. Organization.

Strategic Advisers Fidelity Emerging Markets Fund (the Fund) is a fund of Fidelity Rutland Square Trust II (the Trust), and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust. The Fund is offered exclusively to certain clients of Strategic Advisers LLC (Strategic Advisers), an affiliate of Fidelity Management & Research Company LLC (FMR).

2. Significant Accounting Policies.

The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services – 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 following summarizes the significant accounting policies of the Fund:

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

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

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

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

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

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. If an unaffiliated open-end mutual fund's NAV is unavailable, shares of that fund may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and is categorized as Level 2 in the hierarchy.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of November 30, 2020 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. 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.

Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan) 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 $9 

Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests. The Fund is subject to a tax imposed on capital gains by certain countries in which it invests. An estimated deferred tax liability for net unrealized appreciation on the applicable securities is included in Other payables and accrued expenses on the Statement of Assets & Liabilities.

Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.

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

Book-tax differences are primarily due to futures contracts, foreign currency transactions, certain foreign taxes, passive foreign investment companies (PFIC), market discount, deferred trustees compensation, capital loss carryforwards and losses deferred due to wash sales.

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

Gross unrealized appreciation $1,046,446,501 
Gross unrealized depreciation (62,882,555) 
Net unrealized appreciation (depreciation) $983,563,946 
Tax cost $4,432,649,459 

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 prior fiscal period end and is subject to adjustment.

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

Restricted Securities (including Private Placements). The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.

3. Derivative Instruments.

Risk Exposures and the Use of Derivative Instruments. The Fund's investment objective allows the Fund to enter into various types of derivative contracts, including futures contracts. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.

The Fund used derivatives to increase returns and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.

The Fund's use of derivatives increased or decreased its exposure to the following risk:

Equity Risk Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment.
 

The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Counterparty credit risk related to exchange-traded futures contracts may be mitigated by the protection provided by the exchange on which they trade.

Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.

Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. The Fund used futures contracts to manage its exposure to the stock market.

Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments (variation margin) are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is presented in the Statement of Operations.

Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The notional amount at value reflects each contract's exposure to the underlying instrument or index at period end. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.

4. Purchases and Sales of Investments.

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

 Purchases ($) Sales ($) 
Strategic Advisers Fidelity Emerging Markets Fund 2,442,806,009 1,254,131,182 

5. Fees and Other Transactions with Affiliates.

Management Fee. Strategic Advisers (the investment adviser) provides the Fund with investment management related services. For these services, the Fund pays a monthly management fee to the investment adviser. The management fee is calculated by adding the annual management fee rate of .25% of the Fund's average net assets throughout the month payable to the investment adviser to the aggregate of the fee rates, payable monthly, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed 1.20% of the Fund's average net assets. For the reporting period, the total annualized management fee rate was .47% of the Fund's average net assets.

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

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

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

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 $1,932 

Interfund Trades. Funds may purchase from or sell securities to other funds affiliated with each sub-adviser under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.

6. Investments in Fidelity Central Funds.

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

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

A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds are available on the SEC website or upon request.

7. Committed Line of Credit.

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

 Amount 
Strategic Advisers Fidelity Emerging Markets Fund $3,795 

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

8. Security Lending.

Funds lend portfolio securities through a lending agent from time to time in order to earn additional income. 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.

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, 2023. During the period, this waiver reduced the Fund's management fee by $ 5,137,944.

Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of the Fund include an amount in addition to trade execution, which may be rebated back to the Fund to offset certain expenses. This amount totaled $101,897 for the period.

In addition, through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses by $1,907.

10. Other.

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

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

Fund  % of shares held 
Fidelity SAI Emerging Markets Index Fund  15% 
Fidelity SAI Emerging Markets Low Volatility Index Fund  25% 
Fidelity SAI Emerging Markets Value Index Fund  68% 

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.

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 (June 1, 2020 to November 30, 2020).

Actual Expenses

The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line 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.

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.

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

 Annualized Expense Ratio-A Beginning
Account Value
June 1, 2020 		Ending
Account Value
November 30, 2020 		Expenses Paid
During Period-B
June 1, 2020
to November 30, 2020 
Strategic Advisers Fidelity Emerging Markets Fund .25%    
Actual  $1,000.00 $1,319.80 $1.45 
Hypothetical-C  $1,000.00 $1,023.82 $1.27 

 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 183/ 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

Board Approval of Investment Advisory Contracts and Management Fees

Strategic Advisers Fidelity Emerging Markets Fund

Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes at a meeting on the renewal of the management contract with Strategic Advisers LLC (Strategic Advisers) and the sub-advisory agreements with FIAM LLC (FIAM), FIL Investment Advisors, and Geode Capital Management, LLC (each a Sub-Adviser and collectively, the Sub-Advisers) (collectively, the Sub-Advisory Agreements), and the sub-sub-advisory agreements with FMR Investment Management (UK) Limited, Fidelity Management & Research (Japan) Limited, Fidelity Management & Research (Hong Kong) Limited, and FIL Investment Advisors (UK) Limited (collectively, the Sub-Sub-Advisory Agreements and, together with the management contract and the Sub-Advisory Agreements, the Advisory Contracts) for the fund. Strategic Advisers and the Sub-Advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.

The Board meets at least four times per year and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The full Board or the Independent Trustees, as appropriate, act on all major matters; however, a portion of the activities of the Board (including certain of those described herein) may be conducted through standing committees that have been established by the Board. The Board, acting directly and through its committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts.

At its September 2020 meeting, the Board, including the Independent Trustees, unanimously determined to renew the fund's Advisory Contracts. In addition, the Board approved an amendment to the fund's sub-advisory agreement with FIAM (Amendment) to remove a mandate that was previously defunded due to a portfolio manager departure. The Board noted that no other contact terms are impacted by the Amendment.

In reaching its determination to renew the fund's Advisory Contracts and approve the Amendment, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness of the fund's management fee and total expenses relative to peer funds; (iii) the total costs of the services provided by and the profits, if any, realized by Strategic Advisers from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and are realized as the fund grows and whether any economies of scale are appropriately shared with fund shareholders.

In considering whether to renew the Advisory Contracts for the fund and approve the Amendment, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts and the approval of the Amendment is in the best interests of the fund and its shareholders. In addition, with respect to the Sub-Advisory Agreements, the Board also concluded that the renewal of such agreements and the approval of the Amendment do not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees charged under the Advisory Contracts bear a reasonable relationship to the services rendered and are based on services provided that are in addition to, rather than duplicative of, services provided under the advisory contract of any underlying fund in which the fund may invest. The Board's decision to renew the Advisory Contracts and approve the Amendment was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board throughout the year.

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

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

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

Resources Dedicated to Investment Management and Support Services.  The Board reviewed the general qualifications and capabilities of the Investment Advisers' investment staffs, their use of technology, and the Investment Advisers' approach to managing and compensating investment personnel. The Board noted that the Investment Advisers' analysts have extensive resources, tools, and capabilities that allow them to conduct sophisticated quantitative and/or fundamental analysis. Additionally, in its deliberations, the Board considered the Investment Advisers' trading capabilities and resources and global compliance infrastructure, which are integral parts of the investment management process. The Board also considered the Investment Advisers' investments in business continuity planning, and their success in continuously providing services to the fund notwithstanding the severe disruptions caused by the COVID-19 pandemic.

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

Investment Performance.  The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions and its performance history.

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

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

The following chart considered by the Board shows, over the one-year period ended December 31, 2019, the cumulative total returns of the fund and the cumulative total returns of an appropriate benchmark index and peer group. The box within the chart shows the 25th percentile return (75% beaten, top of box) and the 75th percentile return (25% beaten, bottom of box) of the peer group. Returns shown above the box are in the first quartile and returns shown below the box are in the fourth quartile. The percentage beaten number noted below each chart corresponds to the percentile box and represents the percentage of funds in the peer group whose performance was equal to or lower than that of the fund.

Strategic Advisers Fidelity Emerging Markets Fund


The Board reviewed the fund's relative investment performance against its peer group and noted that the performance of the fund was in the second quartile for the one-year period ended December 31, 2019. The Board also noted that the fund had out-performed 70% of its peers for the one-year period ended December 31, 2019. The Board also noted that the investment performance of the fund was higher than its benchmark for the one-year period shown.

Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.

Competitiveness of Management Fee and Total Fund Expenses.  The Board considered the amount and nature of fees paid to the Investment Advisers. The Board also considered information comparing the management fees and total expenses of the fund to those of other registered investment companies with investment objectives similar to those of the fund, as discussed below. The Board also noted Strategic Advisers' proposal to extend the management fee waiver and considered the fund's contractual maximum aggregate annual management fee rate. In considering the fund's management fee and management fee waiver and comparisons to other registered investment companies with investment objectives similar to those of the fund, the Board noted that shares of the fund are offered only to clients that participate in the Fidelity Portfolio Advisory Service managed account program.

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

Management Fee.  The Board considered two proprietary management fee comparisons. The group of Lipper funds used by the Board for management fee comparisons is referred to as the "Total Mapped Group." The Total Mapped Group comparison focuses on a fund's standing in terms of gross management fees before expense reimbursements or caps relative to the total universe of funds with comparable investment mandates, regardless of whether their management fee structures also are comparable. Funds with comparable investment mandates offer exposure to similar types of securities. Funds with comparable management fee structures have similar management fee contractual arrangements (e.g., flat rate charged for advisory services, all-inclusive fee rate, etc.). "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a hypothetical TMG % of 20% would mean that 80% of the funds in the Total Mapped Group had higher, and 20% had lower, management fees than the fund. The fund's actual TMG %s and the number of funds in the Total Mapped Group are in the chart below. The Board also compared the fund's management fee to an "Asset-Size Peer Group" (ASPG), which is a sub-set of the competitive funds in the Total Mapped Group. The ASPG comparison focuses on a fund's standing relative to non-Fidelity funds within the Total Mapped Group that are similar in size and management fee structure. For example, if a fund is in the first quartile of the ASPG, the fund's management fee ranks in the least expensive or lowest 25% of funds in the ASPG. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee structures, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee rate ranked, is also included in the chart and was considered by the Board.

Strategic Advisers Fidelity Emerging Markets Fund


The Board noted that the fund's management fee rate ranked below the median of its Total Mapped Group and below the median of its ASPG for the 12-month period ended December 31, 2019.

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

Total Expenses.  In its review of the fund's total expenses, the Board considered the fund's management fee rate as well as other fund expenses, as applicable, such as expenses from holding Fidelity and non-Fidelity mutual funds and ETFs, pricing and bookkeeping fees, and custodial, legal, and audit fees. The Board also noted the effects of any waivers and reimbursements on fees and expenses. The Board further noted that the fund's total expenses were compared to classes of competitive funds having similar load types. This comparison, which is a proxy for comparing funds by distribution channel, showed the fund's position relative to competitive funds with the same load type. The Board noted that the fund's total expenses were below the median of the fund's Total Mapped Group for the 12-month period ended December 31, 2019.

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

Based on its review of the total expense ratios and fees charged to other clients of Strategic Advisers or its affiliates and each Sub-Adviser, the Board concluded that the total expenses of the fund were reasonable in light of the services that the fund and its shareholders receive and the other factors considered.

Costs of the Services and Profitability.  The Board considered information regarding the revenues earned and the expenses incurred by Strategic Advisers and its affiliates in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and servicing the fund's shareholders.

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

A public accounting firm has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. The engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's mutual fund business, and completion of agreed-upon procedures in respect of the mathematical accuracy of certain fund profitability information and its conformity to established allocation methodologies. After considering the reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.

The Board also reviewed Fidelity's non-fund businesses and potential indirect benefits such businesses may have received as a result of their association with Fidelity's mutual fund business (i.e., fall-out benefits) as well as cases where Fidelity's affiliates may benefit from the fund's business. The Board noted that changes to fall-out benefits year-over-year reflect business developments at Fidelity's various businesses.

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

The Board also considered information regarding the profitability of the Sub-Advisers' respective relationships with the fund and the potential fall-out benefits, if any, that may accrue to the Sub-Advisers as a result of their respective relationships with the fund. The Board considered profitability information provided by the Sub-Advisers in light of the nature of the relationships between Strategic Advisers and the Sub-Advisers with respect to the negotiation of sub-advisory fees.

Possible Economies of Scale.  The Board considered whether there have been economies of scale in respect of the management of the Strategic Advisers funds, whether the Strategic Advisers funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale as assets grow through increased services to the fund, through waivers or reimbursements, or through fee or expense ratio reductions. The Board considered thatcertain of the fund's Sub-Advisory Agreements provide for breakpoints as the fund's assets grow and noted that any potential decline in sub-advisory fees under such contracts would accrue directly to the fund. The Board also took Strategic Advisers' management fee waiver into consideration.

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

Proxy Voting Results

A special meeting of shareholders was held on November 2, 2020. The results of votes taken among shareholders on the proposal before them are reported below. Each vote reported represents one dollar of net asset value held on the record date for the meeting.

PROPOSAL 1

To elect a Board of Trustees.

 # of
Votes 		% of
Votes 
ROBERT A. LAWRENCE 
Affirmative 204,250,982,594.51 96.530 
Withheld 7,343,512,146.85 3.470 
TOTAL 211,594,494,741.36 100.000 
CHARLES S. MORRISON 
Affirmative 204,349,460,488.43 96.576 
Withheld 7,245,034,252.93 3.424 
TOTAL 211,594,494,741.36 100.000 
PETER C. ALDRICH 
Affirmative 203,499,803,652.67 96.175 
Withheld 8,094,691,088.69 3.825 
TOTAL 211,594,494,741.36 100.000 
MARY C. FARRELL 
Affirmative 204,011,925,737.22 96.417 
Withheld 7,582,569,004.14 3.583 
TOTAL 211,594,494,741.36 100.00 
KAREN KAPLAN 
Affirmative 204,297,547,550.53 96.552 
Withheld 7,296,947,190.83 3.448 
TOTAL 211,594,494,741.36 100.000 
CHRISTINE MARCKS 
Affirmative 204,700,871,317.72 96.743 
Withheld 6,893,623,423.64 3.257 
TOTAL 211,594,494,741.36 100.000 
HEIDI L. STEIGER 
Affirmative 204,406,589,957.28 96.603 
Withheld 7,187,904,784.08 3.397 
TOTAL 211,594,494,741.36 100.000 
Proposal 1 reflects trust wide proposal and voting results. 





Fidelity Investments

STE-SANN-0121
1.9890708.102

Strategic Advisers® Large Cap Fund

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



Semi-Annual Report

November 30, 2020

Fidelity Investments



Fidelity Investments

Contents

Note to Shareholders

Investment Summary

Schedule of Investments

Financial Statements

Notes to Financial Statements

Shareholder Expense Example

Board Approval of Investment Advisory Contracts and Management Fees


To view a fund's proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.

You may also call 1-800-544-3455 to request a free copy of the proxy voting guidelines.

Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.

Other third-party marks appearing herein are the property of their respective owners.

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2021 FMR LLC. All rights reserved.



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

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

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

NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE

Neither the Fund nor Fidelity Distributors Corporation is a bank.



Note to Shareholders:

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

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

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

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

Investment Summary (Unaudited)

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

Top Ten Holdings as of November 30, 2020

 % of fund's net assets 
Fidelity Growth Company Fund 7.6 
Microsoft Corp. 3.7 
Apple, Inc. 3.2 
Amazon.com, Inc. 3.1 
Fidelity SAI U.S. Quality Index Fund 2.8 
Fidelity SAI U.S. Large Cap Index Fund 2.8 
Facebook, Inc. Class A 1.7 
Alphabet, Inc. Class C 1.7 
Janus Henderson Enterprise Fund 1.5 
Fidelity SAI U.S. Low Volatility Index Fund 1.3 
 29.4 

Top Five Market Sectors as of November 30, 2020

(stocks only)

 % of fund's net assets 
Information Technology 20.2 
Health Care 11.6 
Financials 10.4 
Consumer Discretionary 9.3 
Communication Services 8.4 

Asset Allocation (% of fund's net assets)

As of November 30, 2020 * 
   Common Stocks 79.7% 
   Large Blend Funds 6.5% 
   Large Growth Funds 10.4% 
   Large Value Funds 0.2% 
   Mid-Cap Blend Funds 0.8% 
   Mid-Cap Growth Funds 1.5% 
   Short-Term Investments and Net Other Assets (Liabilities) 0.9% 


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

Schedule of Investments November 30, 2020 (Unaudited)

Showing Percentage of Net Assets

Common Stocks - 79.7%   
 Shares Value 
COMMUNICATION SERVICES - 8.4%   
Diversified Telecommunication Services - 1.1%   
AT&T, Inc. 6,262,786 $180,055,098 
Cellnex Telecom SA (a) 188,107 11,915,919 
CenturyLink, Inc. 79,691 832,771 
Liberty Global PLC Class C (b) 145,800 3,155,112 
Verizon Communications, Inc. 5,950,134 359,447,595 
Vonage Holdings Corp. (b) 190,500 2,449,830 
  557,856,325 
Entertainment - 1.3%   
Activision Blizzard, Inc. 1,549,491 123,153,545 
Cinemark Holdings, Inc. 202,200 3,123,990 
Electronic Arts, Inc. 295,074 37,695,704 
Liberty Media Corp. Liberty SiriusXM Series C (b) 179,056 7,343,087 
Live Nation Entertainment, Inc. (b) 47,447 3,114,896 
Netflix, Inc. (b) 484,375 237,682,813 
Nintendo Co. Ltd. ADR 59,600 4,228,620 
Sea Ltd. ADR (b) 10,300 1,857,811 
Spotify Technology SA (b) 27,276 7,947,408 
Take-Two Interactive Software, Inc. (b) 51,117 9,227,130 
The Walt Disney Co. 1,424,376 210,821,892 
Vivendi SA 945,411 28,342,005 
Warner Music Group Corp. Class A 153,862 4,574,317 
Zynga, Inc. (b) 640,802 5,286,617 
  684,399,835 
Interactive Media & Services - 4.1%   
Alphabet, Inc.:   
Class A (b) 205,161 359,934,458 
Class C (b) 481,885 848,474,195 
Facebook, Inc. Class A (b) 3,104,605 859,882,447 
Match Group, Inc. (b) 30,020 4,179,084 
Pinterest, Inc. Class A (b) 131,115 9,180,672 
Snap, Inc. Class A (b) 233,581 10,375,668 
Tencent Holdings Ltd. sponsored ADR 85,969 6,275,737 
Twitter, Inc. (b) 432,256 20,104,227 
Wise Talent Information Technology Co. Ltd. (b) 446,200 1,123,664 
Zoominfo Technologies, Inc. 49,500 2,536,875 
  2,122,067,027 
Media - 1.6%   
Charter Communications, Inc. Class A (b) 266,001 173,429,992 
Comcast Corp. Class A 9,637,517 484,188,854 
Discovery Communications, Inc.:   
Class A (b) 127,788 3,438,775 
Class C (non-vtg.) (b) 1,156,353 27,775,599 
DISH Network Corp. Class A (b) 402,425 14,434,985 
Fox Corp. Class A 231,515 6,676,893 
Interpublic Group of Companies, Inc. 337,074 7,510,009 
Liberty Broadband Corp. Class C (b) 335,680 52,819,248 
Nexstar Broadcasting Group, Inc. Class A 122,282 12,870,181 
Omnicom Group, Inc. 34,951 2,201,913 
Tegna, Inc. 536,100 7,725,201 
ViacomCBS, Inc. Class B 705,570 24,892,510 
  817,964,160 
Wireless Telecommunication Services - 0.3%   
T-Mobile U.S., Inc. 1,148,310 152,656,331 
TOTAL COMMUNICATION SERVICES  4,334,943,678 
CONSUMER DISCRETIONARY - 9.3%   
Auto Components - 0.3%   
Aptiv PLC 432,074 51,287,184 
BorgWarner, Inc. 642,447 24,959,066 
Compagnie Generale des Etablissements Michelin SCA ADR 61,921 1,542,452 
Cooper Tire & Rubber Co. 320,927 12,750,430 
Gentex Corp. 118,367 3,858,764 
Lear Corp. 205,000 29,304,750 
Magna International, Inc. Class A (sub. vtg.) 329,020 20,176,448 
The Goodyear Tire & Rubber Co. 871,600 9,082,072 
  152,961,166 
Automobiles - 0.4%   
Ferrari NV 115,750 24,435,983 
Ford Motor Co. 5,051,900 45,871,252 
General Motors Co. 2,057,889 90,217,854 
Harley-Davidson, Inc. 502,772 20,256,684 
Tesla, Inc. (b) 28,280 16,051,728 
  196,833,501 
Distributors - 0.0%   
Genuine Parts Co. 72,353 7,117,365 
LKQ Corp. (b) 237,672 8,370,808 
Pool Corp. 14,262 4,936,221 
  20,424,394 
Diversified Consumer Services - 0.0%   
Afya Ltd. (b) 66,334 1,759,178 
Service Corp. International 85,700 4,168,448 
  5,927,626 
Hotels, Restaurants & Leisure - 1.1%   
Brinker International, Inc. 182,200 9,130,042 
Carnival Corp. 85,250 1,703,295 
Chipotle Mexican Grill, Inc. (b) 5,319 6,858,478 
Domino's Pizza, Inc. 38,423 15,083,717 
Hilton Worldwide Holdings, Inc. 392,555 40,680,475 
Las Vegas Sands Corp. 366,629 20,424,902 
Marriott International, Inc. Class A 339,918 43,125,397 
McDonald's Corp. 717,967 156,114,744 
Royal Caribbean Cruises Ltd. 119,000 9,378,390 
Starbucks Corp. 913,826 89,573,225 
Wyndham Destinations, Inc. 289,680 12,183,941 
Wynn Resorts Ltd. 216,115 21,719,558 
Yum China Holdings, Inc. 270,077 15,226,941 
Yum! Brands, Inc. 886,758 93,818,996 
  535,022,101 
Household Durables - 0.6%   
D.R. Horton, Inc. 492,106 36,661,897 
Garmin Ltd. 49,832 5,818,384 
Lennar Corp.:   
Class A 911,831 69,171,500 
Class B 6,000 364,200 
Mohawk Industries, Inc. (b) 189,076 23,791,433 
Newell Brands, Inc. 841,996 17,900,835 
NVR, Inc. (b) 3,600 14,389,848 
PulteGroup, Inc. 1,126,042 49,129,212 
Sony Corp. 18,200 1,695,976 
Sony Corp. sponsored ADR 278,220 25,955,144 
Toll Brothers, Inc. 62,100 2,940,435 
Whirlpool Corp. 256,675 49,951,522 
  297,770,386 
Internet & Direct Marketing Retail - 3.9%   
Alibaba Group Holding Ltd. sponsored ADR (b) 505,636 133,164,297 
Amazon.com, Inc. (b) 497,095 1,574,816,844 
eBay, Inc. 1,562,532 78,798,489 
Etsy, Inc. (b) 83,302 13,386,631 
Expedia, Inc. 26,799 3,336,208 
Ocado Group PLC (b) 8,667 254,820 
The Booking Holdings, Inc. (b) 86,926 176,325,045 
  1,980,082,334 
Leisure Products - 0.0%   
Brunswick Corp. 38,500 2,873,640 
Hasbro, Inc. 49,800 4,632,894 
Polaris, Inc. 20,800 1,996,800 
  9,503,334 
Multiline Retail - 0.5%   
Big Lots, Inc. 174,300 9,006,081 
Dillard's, Inc. Class A 129,000 6,032,040 
Dollar General Corp. 161,873 35,382,200 
Dollar Tree, Inc. (b) 394,812 43,129,263 
Kohl's Corp. 566,681 18,247,128 
Macy's, Inc. 451,300 4,607,773 
Nordstrom, Inc. 229,330 5,944,234 
Target Corp. 802,147 144,009,451 
  266,358,170 
Specialty Retail - 2.2%   
Advance Auto Parts, Inc. 179,525 26,515,843 
AutoZone, Inc. (b) 69,119 78,633,230 
Best Buy Co., Inc. 692,024 75,292,211 
Burlington Stores, Inc. (b) 103,607 22,642,274 
CarMax, Inc. (b) 268,327 25,083,208 
Dick's Sporting Goods, Inc. 385,230 21,884,916 
Lowe's Companies, Inc. 1,463,310 228,012,964 
Murphy U.S.A., Inc. 69,096 8,858,107 
O'Reilly Automotive, Inc. (b) 243,537 107,750,510 
Penske Automotive Group, Inc. 237,800 13,095,646 
Ross Stores, Inc. 309,607 33,288,945 
Sally Beauty Holdings, Inc. (b) 463,900 5,334,850 
Sleep Number Corp. (b) 202,500 14,051,475 
The Home Depot, Inc. 1,166,116 323,492,240 
The ODP Corp. 62,070 1,779,547 
TJX Companies, Inc. 1,236,676 78,541,293 
Tractor Supply Co. 71,570 10,077,772 
Ulta Beauty, Inc. (b) 174,636 48,094,754 
Williams-Sonoma, Inc. 38,400 4,203,648 
  1,126,633,433 
Textiles, Apparel & Luxury Goods - 0.3%   
Columbia Sportswear Co. 167,599 13,731,386 
Deckers Outdoor Corp. (b) 5,300 1,349,327 
Hanesbrands, Inc. 220,265 3,127,763 
NIKE, Inc. Class B 831,728 112,033,762 
Ralph Lauren Corp. 122,981 10,545,621 
Skechers U.S.A., Inc. Class A (sub. vtg.) (b) 68,300 2,286,001 
Tapestry, Inc. 29,200 826,944 
VF Corp. 369,730 30,835,482 
  174,736,286 
TOTAL CONSUMER DISCRETIONARY  4,766,252,731 
CONSUMER STAPLES - 4.8%   
Beverages - 1.1%   
Anheuser-Busch InBev SA NV ADR 197,774 13,187,570 
Constellation Brands, Inc. Class A (sub. vtg.) 356,913 73,466,972 
Diageo PLC sponsored ADR 24,025 3,722,674 
Keurig Dr. Pepper, Inc. 1,221,965 37,208,834 
Molson Coors Beverage Co. Class B 467,900 21,523,400 
Monster Beverage Corp. (b) 1,304,162 110,566,854 
PepsiCo, Inc. 591,503 85,312,478 
The Coca-Cola Co. 4,079,354 210,494,666 
  555,483,448 
Food & Staples Retailing - 0.9%   
Costco Wholesale Corp. 328,703 128,775,974 
Kroger Co. 2,209,072 72,899,376 
Performance Food Group Co. (b) 51,442 2,231,554 
Sysco Corp. 651,626 46,454,418 
Walgreens Boots Alliance, Inc. 1,126,693 42,825,601 
Walmart, Inc. 1,020,028 155,850,078 
  449,037,001 
Food Products - 0.8%   
Archer Daniels Midland Co. 276,200 13,746,474 
Bunge Ltd. 68,700 4,045,743 
Campbell Soup Co. 232,618 11,635,552 
Conagra Brands, Inc. 1,896,519 69,336,735 
Darling Ingredients, Inc. (b) 44,300 2,138,804 
General Mills, Inc. 320,444 19,489,404 
Ingredion, Inc. 242,400 18,701,160 
Kellogg Co. 244,642 15,635,070 
Lamb Weston Holdings, Inc. 4,600 332,948 
Mondelez International, Inc. 1,355,606 77,879,565 
Pilgrim's Pride Corp. (b) 262,000 4,949,180 
Post Holdings, Inc. (b) 205,913 19,450,542 
The a2 Milk Co. Ltd. (b) 187,816 1,905,313 
The Hershey Co. 39,224 5,800,837 
The J.M. Smucker Co. 374,156 43,851,083 
The Kraft Heinz Co. 1,478,785 48,711,178 
Tyson Foods, Inc. Class A 1,160,660 75,675,032 
  433,284,620 
Household Products - 1.3%   
Clorox Co. 59,349 12,045,473 
Colgate-Palmolive Co. 544,940 46,668,662 
Energizer Holdings, Inc. 277,005 11,603,739 
Kimberly-Clark Corp. 258,845 36,059,697 
Procter & Gamble Co. 4,031,419 559,843,157 
Reckitt Benckiser Group PLC 45,619 3,981,972 
Spectrum Brands Holdings, Inc. 13,800 922,254 
  671,124,954 
Personal Products - 0.2%   
Coty, Inc. Class A 773,522 5,561,623 
Estee Lauder Companies, Inc. Class A 397,459 97,504,642 
Unilever PLC 21,600 1,304,168 
  104,370,433 
Tobacco - 0.5%   
Altria Group, Inc. 2,825,861 112,554,044 
British American Tobacco PLC sponsored ADR 200,434 7,077,325 
Philip Morris International, Inc. 1,563,775 118,455,956 
  238,087,325 
TOTAL CONSUMER STAPLES  2,451,387,781 
ENERGY - 1.7%   
Energy Equipment & Services - 0.1%   
Baker Hughes Co. Class A 148,884 2,787,108 
Halliburton Co. 1,678,179 27,840,990 
National Oilwell Varco, Inc. 252,509 3,095,760 
Oceaneering International, Inc. (b) 245,567 1,490,592 
SBM Offshore NV 78,800 1,469,635 
Schlumberger Ltd. 900,158 18,714,285 
Subsea 7 SA (b) 528,800 5,008,356 
TechnipFMC PLC 458,757 3,812,271 
  64,218,997 
Oil, Gas & Consumable Fuels - 1.6%   
Africa Oil Corp. (b) 1,010,500 848,114 
Aker BP ASA 36,700 824,048 
Apache Corp. 274,579 3,539,323 
Black Stone Minerals LP 37,300 261,846 
Cabot Oil & Gas Corp. 1,765,117 30,924,850 
Canadian Natural Resources Ltd. 240,300 5,482,474 
Cenovus Energy, Inc. (Canada) 1,646,400 8,164,176 
Cheniere Energy, Inc. (b) 142,200 8,061,318 
Chevron Corp. 1,999,791 174,341,779 
Concho Resources, Inc. 271,504 15,606,050 
ConocoPhillips Co. 2,005,530 79,338,767 
Diamondback Energy, Inc. 655,740 26,203,370 
EOG Resources, Inc. 1,014,634 47,566,042 
EQT Corp. 418,776 6,231,387 
Equinor ASA sponsored ADR 499,731 7,665,874 
Equitrans Midstream Corp. 836,918 6,829,251 
Exxon Mobil Corp. 2,227,012 84,915,968 
Hess Corp. 748,581 35,318,052 
HollyFrontier Corp. 128,937 3,015,836 
Kinder Morgan, Inc. 951,540 13,683,145 
Kosmos Energy Ltd. 2,268,500 3,992,560 
Magellan Midstream Partners LP 403,025 16,584,479 
Marathon Oil Corp. 504,394 2,986,012 
Marathon Petroleum Corp. 1,048,916 40,781,854 
MEG Energy Corp. (b) 799,200 2,246,154 
Occidental Petroleum Corp. 96,931 1,527,633 
PBF Energy, Inc. Class A 512,500 3,720,750 
Phillips 66 Co. 1,015,126 61,496,333 
Pioneer Natural Resources Co. 345,912 34,791,829 
Royal Dutch Shell PLC Class B sponsored ADR 204,539 6,637,291 
Targa Resources Corp. 205,750 4,835,125 
The Williams Companies, Inc. 1,121,188 23,522,524 
Total SA sponsored ADR 492,272 20,744,342 
Valero Energy Corp. 793,724 42,678,539 
  825,367,095 
TOTAL ENERGY  889,586,092 
FINANCIALS - 10.4%   
Banks - 4.1%   
Bank of America Corp. 17,794,160 501,083,546 
BOK Financial Corp. 28,654 1,918,385 
CIT Group, Inc. 325,700 10,907,693 
Citigroup, Inc. 1,958,823 107,872,383 
Citizens Financial Group, Inc. 1,418,583 46,330,921 
Comerica, Inc. 80,700 3,970,440 
Commerce Bancshares, Inc. 221,879 14,635,139 
Cullen/Frost Bankers, Inc. 121,526 10,197,247 
East West Bancorp, Inc. 293,304 12,529,947 
EFG Eurobank Ergasias SA (b) 3,514,900 2,049,030 
Fifth Third Bancorp 4,644,466 117,690,768 
First Horizon National Corp. 175,900 2,149,498 
First Republic Bank 24,028 3,113,068 
Huntington Bancshares, Inc. 3,514,467 42,454,761 
JPMorgan Chase & Co. 4,297,801 506,624,782 
KeyCorp 1,344,800 20,790,608 
M&T Bank Corp. 192,675 22,444,711 
Mitsubishi UFJ Financial Group, Inc. sponsored ADR 2,031,403 8,714,719 
Peoples United Financial, Inc. 284,595 3,528,978 
PNC Financial Services Group, Inc. 1,828,710 252,489,990 
Regions Financial Corp. 3,295,300 50,319,231 
Signature Bank 12,600 1,413,594 
Societe Generale Series A 46,300 918,025 
SVB Financial Group (b) 82,861 28,575,444 
Synovus Financial Corp. 37,800 1,193,346 
Truist Financial Corp. 1,523,394 70,715,949 
U.S. Bancorp 773,990 33,444,108 
Wells Fargo & Co. 8,655,457 236,726,749 
Zions Bancorp NA 80,700 3,114,213 
  2,117,917,273 
Capital Markets - 2.5%   
Ameriprise Financial, Inc. 491,336 91,015,081 
Bank of New York Mellon Corp. 1,184,925 46,354,266 
BlackRock, Inc. Class A 125,376 87,556,330 
Brookfield Asset Management, Inc. Class A 1,316,660 53,311,563 
Cboe Global Markets, Inc. 126,691 11,569,422 
Charles Schwab Corp. 2,813,997 137,266,774 
CME Group, Inc. 181,170 31,710,185 
FactSet Research Systems, Inc. 76,081 25,392,795 
Goldman Sachs Group, Inc. 901,545 207,878,246 
Intercontinental Exchange, Inc. 580,824 61,282,740 
Invesco Ltd. 388,212 6,300,681 
KKR & Co. LP 617,501 23,421,813 
LPL Financial 39,935 3,624,900 
Moody's Corp. 62,843 17,743,093 
Morgan Stanley 3,224,150 199,349,195 
Northern Trust Corp. 554,427 51,628,242 
Raymond James Financial, Inc. 229,541 20,876,754 
S&P Global, Inc. 79,402 27,932,036 
SEI Investments Co. 510,337 26,920,277 
State Street Corp. 1,087,376 76,638,260 
StepStone Group, Inc. Class A 62,200 1,686,864 
T. Rowe Price Group, Inc. 259,815 37,260,069 
The NASDAQ OMX Group, Inc. 80,700 10,328,793 
Tradeweb Markets, Inc. Class A 197,239 11,765,306 
Virtu Financial, Inc. Class A 251,270 5,726,443 
  1,274,540,128 
Consumer Finance - 0.7%   
360 Finance, Inc. ADR (b) 69,700 864,280 
Ally Financial, Inc. 1,063,090 31,520,619 
American Express Co. 425,317 50,438,343 
Capital One Financial Corp. 2,617,962 224,202,266 
Discover Financial Services 689,243 52,499,639 
Encore Capital Group, Inc. (b) 2,500 85,350 
Navient Corp. 734,600 6,883,202 
OneMain Holdings, Inc. 199,000 7,759,010 
SLM Corp. 295,392 3,134,109 
Synchrony Financial 340,185 10,365,437 
  387,752,255 
Diversified Financial Services - 0.9%   
Berkshire Hathaway, Inc.:   
Class A (b) 1 343,688 
Class B (b) 1,656,208 379,122,573 
Equitable Holdings, Inc. 2,395,084 60,787,232 
Jaws Acquisition Corp. (b) 210,000 2,400,300 
Jefferies Financial Group, Inc. 149,218 3,391,725 
Voya Financial, Inc. 290,706 16,753,387 
  462,798,905 
Insurance - 2.1%   
AFLAC, Inc. 1,023,020 44,941,269 
Alleghany Corp. 15,725 9,045,020 
Allstate Corp. 697,289 71,367,529 
American Financial Group, Inc. 247,600 22,137,916 
American International Group, Inc. 2,353,055 90,451,434 
Aon PLC 106,584 21,837,996 
Arthur J. Gallagher & Co. 73,511 8,483,905 
Assurant, Inc. 29,800 3,847,776 
Assured Guaranty Ltd. 257,800 7,767,514 
Axis Capital Holdings Ltd. 200,700 10,057,077 
Chubb Ltd. 1,187,075 175,485,297 
Cincinnati Financial Corp. 185,377 14,153,534 
CNA Financial Corp. 112,024 3,865,948 
Everest Re Group Ltd. 104,675 23,795,768 
Fairfax Financial Holdings Ltd. 26,814 9,193,448 
Fairfax Financial Holdings Ltd. (sub. vtg.) 6,100 2,092,046 
First American Financial Corp. 51,600 2,499,504 
Globe Life, Inc. 117,382 10,928,264 
Hartford Financial Services Group, Inc. 921,432 40,727,294 
Lincoln National Corp. 665,800 31,439,076 
Loews Corp. 878,414 36,814,331 
Markel Corp. (b) 6,932 6,750,590 
Marsh & McLennan Companies, Inc. 171,613 19,673,714 
MetLife, Inc. 1,996,325 92,170,325 
Old Republic International Corp. 110,200 1,974,784 
Primerica, Inc. 18,700 2,436,049 
Principal Financial Group, Inc. 174,396 8,683,177 
Progressive Corp. 1,287,704 112,171,895 
Prudential Financial, Inc. 530,308 40,101,891 
Reinsurance Group of America, Inc. 18,700 2,155,736 
The Travelers Companies, Inc. 710,310 92,091,692 
Unum Group 479,100 10,650,393 
W.R. Berkley Corp. 87,715 5,712,878 
Willis Towers Watson PLC 114,023 23,738,448 
  1,059,243,518 
Mortgage Real Estate Investment Trusts - 0.0%   
Annaly Capital Management, Inc. 1,720,500 13,764,000 
Thrifts & Mortgage Finance - 0.1%   
MGIC Investment Corp. 805,500 9,633,780 
Radian Group, Inc. 789,100 14,898,208 
Rocket Cos., Inc. (b) 661,517 13,706,632 
  38,238,620 
TOTAL FINANCIALS  5,354,254,699 
HEALTH CARE - 11.6%   
Biotechnology - 2.0%   
AbbVie, Inc. 2,501,474 261,604,151 
ADC Therapeutics SA (b) 90,500 3,376,555 
Alexion Pharmaceuticals, Inc. (b) 890,861 108,783,037 
Alnylam Pharmaceuticals, Inc. (b) 41,123 5,342,289 
Amgen, Inc. 1,122,837 249,314,727 
Arcutis Biotherapeutics, Inc. (b) 50,000 1,356,000 
Argenx SE ADR (b) 28,000 8,030,960 
Ascendis Pharma A/S sponsored ADR (b) 47,000 7,930,310 
Biogen, Inc. (b) 231,605 55,624,573 
BioMarin Pharmaceutical, Inc. (b) 129,890 10,222,343 
Crinetics Pharmaceuticals, Inc. (b) 31,000 414,470 
Exelixis, Inc. (b) 86,000 1,647,760 
Fate Therapeutics, Inc. (b) 20,000 1,169,300 
Generation Bio Co. 54,000 2,603,880 
Gilead Sciences, Inc. 1,128,737 68,480,474 
Gritstone Oncology, Inc. (b) 93,400 284,870 
Heron Therapeutics, Inc. (b) 13,800 239,154 
Incyte Corp. (b) 151,881 12,840,020 
Innovent Biologics, Inc. (a)(b) 340,000 2,233,145 
Insmed, Inc. (b) 126,800 4,946,468 
Intercept Pharmaceuticals, Inc. (b) 77,900 2,766,229 
Neurocrine Biosciences, Inc. (b) 90,600 8,601,564 
Prelude Therapeutics, Inc. 58,000 2,985,260 
PTC Therapeutics, Inc. (b) 54,000 3,378,780 
Regeneron Pharmaceuticals, Inc. (b) 195,718 100,996,360 
Revolution Medicines, Inc. 50,000 2,181,500 
Sarepta Therapeutics, Inc. (b) 35,000 4,930,100 
Seagen, Inc. (b) 48,600 8,277,066 
Shattuck Labs, Inc. 58,500 2,115,360 
Stoke Therapeutics, Inc. (b) 20,600 1,073,054 
Turning Point Therapeutics, Inc. (b) 23,400 2,492,100 
uniQure B.V. (b) 6,500 312,520 
United Therapeutics Corp. (b) 4,700 623,408 
Vaxcyte, Inc. 70,452 2,261,509 
Vertex Pharmaceuticals, Inc. (b) 400,353 91,180,396 
Xencor, Inc. (b) 50,000 2,116,000 
Zentalis Pharmaceuticals, Inc. 50,000 2,548,000 
Zymeworks, Inc. (b) 55,000 2,895,750 
  1,048,179,442 
Health Care Equipment & Supplies - 1.9%   
Abbott Laboratories 1,032,011 111,684,230 
Alcon, Inc. (b) 496,475 31,883,625 
Alcon, Inc. (Switzerland) (b) 91,382 5,835,222 
Align Technology, Inc. (b) 1,215 584,767 
Baxter International, Inc. 806,317 61,336,534 
Becton, Dickinson & Co. 342,221 80,367,180 
Boston Scientific Corp. (b) 2,470,624 81,901,186 
Danaher Corp. 634,032 142,422,608 
Dentsply Sirona, Inc. 15,532 790,423 
DexCom, Inc. (b) 8,998 2,876,481 
Edwards Lifesciences Corp. (b) 53,264 4,468,317 
Genmark Diagnostics, Inc. (b) 280,000 3,743,600 
Hill-Rom Holdings, Inc. 125,700 11,923,902 
Hologic, Inc. (b) 590,161 40,797,830 
IDEXX Laboratories, Inc. (b) 18,179 8,380,155 
Insulet Corp. (b) 44,000 11,339,240 
Intuitive Surgical, Inc. (b) 146,059 106,046,137 
Masimo Corp. (b) 16,900 4,300,881 
Medtronic PLC 578,752 65,804,102 
Penumbra, Inc. (b) 46,000 10,207,400 
Quidel Corp. (b) 12,831 2,502,687 
ResMed, Inc. 18,120 3,797,952 
STERIS PLC 7,437 1,441,365 
Stryker Corp. 176,875 41,282,625 
Tandem Diabetes Care, Inc. (b) 28,000 2,628,640 
The Cooper Companies, Inc. 14,969 5,017,908 
West Pharmaceutical Services, Inc. 7,370 2,027,929 
Zimmer Biomet Holdings, Inc. 673,774 100,473,179 
  945,866,105 
Health Care Providers & Services - 3.1%   
1Life Healthcare, Inc. (b) 50,000 1,643,500 
AmerisourceBergen Corp. 222,042 22,894,751 
Anthem, Inc. 286,334 89,198,768 
Cardinal Health, Inc. 657,624 35,899,694 
Centene Corp. (b) 837,760 51,647,904 
Cigna Corp. 915,929 191,557,391 
Covetrus, Inc. (b) 48,040 1,297,801 
CVS Health Corp. 1,569,466 106,394,100 
DaVita HealthCare Partners, Inc. (b) 293,045 32,190,993 
HCA Holdings, Inc. 864,440 129,761,088 
Henry Schein, Inc. (b) 72,864 4,685,884 
Humana, Inc. 291,317 116,678,285 
Laboratory Corp. of America Holdings (b) 106,734 21,329,723 
McKesson Corp. 582,010 104,709,419 
Molina Healthcare, Inc. (b) 28,300 5,776,879 
Quest Diagnostics, Inc. 521,428 64,646,643 
UnitedHealth Group, Inc. 1,780,763 598,941,827 
Universal Health Services, Inc. Class B 218,719 28,560,327 
  1,607,814,977 
Health Care Technology - 0.1%   
Cerner Corp. 350,493 26,230,896 
Inspire Medical Systems, Inc. (b) 20,800 3,863,392 
Phreesia, Inc. (b) 54,000 2,384,640 
Veeva Systems, Inc. Class A (b) 46,263 12,808,837 
  45,287,765 
Life Sciences Tools & Services - 0.7%   
10X Genomics, Inc. (b) 17,000 2,602,870 
Agilent Technologies, Inc. 292,260 34,165,194 
Avantor, Inc. (b) 196,716 5,366,412 
Bio-Rad Laboratories, Inc. Class A (b) 23,400 12,600,900 
Bruker Corp. 100,000 5,061,000 
Illumina, Inc. (b) 119,753 38,571,244 
Lonza Group AG 8,400 5,285,051 
Maravai LifeSciences Holdings, Inc. 184,614 5,196,884 
Mettler-Toledo International, Inc. (b) 2,735 3,145,359 
PerkinElmer, Inc. 37,010 4,922,330 
Sotera Health Co. 60,000 1,623,600 
Thermo Fisher Scientific, Inc. 508,582 236,480,458 
  355,021,302 
Pharmaceuticals - 3.8%   
AstraZeneca PLC:   
(United Kingdom) 154,000 16,113,771 
sponsored ADR 1,117,618 59,166,697 
Bayer AG 224,801 12,951,626 
Bristol-Myers Squibb Co. 3,159,487 197,151,989 
Elanco Animal Health, Inc. (b) 2,168,151 66,323,739 
Eli Lilly & Co. 1,957,128 285,055,693 
GlaxoSmithKline PLC sponsored ADR 416,248 15,313,764 
Intra-Cellular Therapies, Inc. (b) 15,600 368,784 
Jazz Pharmaceuticals PLC (b) 207,300 29,169,183 
Johnson & Johnson 2,984,655 431,819,885 
Merck & Co., Inc. 4,058,972 326,300,759 
Nektar Therapeutics (b) 84,000 1,376,760 
Novartis AG sponsored ADR 814,351 73,967,501 
Novo Nordisk A/S Series B sponsored ADR 204,916 13,756,011 
Perrigo Co. PLC 67,300 3,245,206 
Pfizer, Inc. 6,179,864 236,750,590 
Pliant Therapeutics, Inc. 72,500 1,995,200 
Roche Holding AG:   
(participation certificate) 65,000 21,349,059 
sponsored ADR 1,048,553 42,801,933 
Royalty Pharma PLC 78,000 3,322,800 
Sanofi SA 44,000 4,435,149 
Sanofi SA sponsored ADR 572,143 28,721,579 
Theravance Biopharma, Inc. (b) 80,000 1,327,200 
UCB SA 26,000 2,782,331 
Viatris, Inc. (b) 550,649 9,261,916 
Zoetis, Inc. Class A 536,329 86,016,445 
  1,970,845,570 
TOTAL HEALTH CARE  5,973,015,161 
INDUSTRIALS - 7.8%   
Aerospace & Defense - 1.4%   
Airbus Group NV 19,517 2,040,454 
Axon Enterprise, Inc. (b) 41,300 5,190,997 
BWX Technologies, Inc. 32,400 1,842,912 
Curtiss-Wright Corp. 5,460 629,320 
General Dynamics Corp. 330,912 49,421,707 
Harris Corp. 136,326 26,173,229 
Howmet Aerospace, Inc. 61,600 1,445,136 
Huntington Ingalls Industries, Inc. 144,984 23,224,987 
Lockheed Martin Corp. 292,863 106,894,995 
Moog, Inc. Class A 127,400 9,855,664 
MTU Aero Engines Holdings AG 500 117,747 
Northrop Grumman Corp. 412,410 124,655,047 
Raytheon Technologies Corp. 1,525,655 109,419,977 
Safran SA (b) 6,376 929,455 
Spirit AeroSystems Holdings, Inc. Class A 224,300 7,626,200 
Teledyne Technologies, Inc. (b) 59,855 22,621,599 
Textron, Inc. 1,099,829 49,602,288 
The Boeing Co. 650,185 137,000,481 
TransDigm Group, Inc. 88,965 51,527,638 
Vectrus, Inc. (b) 37,733 1,798,732 
  732,018,565 
Air Freight & Logistics - 0.7%   
C.H. Robinson Worldwide, Inc. 66,970 6,293,171 
Expeditors International of Washington, Inc. 503,253 44,975,721 
FedEx Corp. 427,326 122,463,085 
United Parcel Service, Inc. Class B 1,213,660 207,620,816 
  381,352,793 
Airlines - 0.1%   
Alaska Air Group, Inc. 201,648 10,277,999 
American Airlines Group, Inc. 66,000 932,580 
Delta Air Lines, Inc. 726,600 29,245,650 
JetBlue Airways Corp. (b) 149,800 2,260,482 
Ryanair Holdings PLC sponsored ADR (b) 13,200 1,369,764 
Southwest Airlines Co. 21,421 992,649 
United Airlines Holdings, Inc. (b) 679,199 30,597,915 
  75,677,039 
Building Products - 0.4%   
A.O. Smith Corp. 74,334 4,185,748 
Allegion PLC 190,729 21,750,735 
Carrier Global Corp. 327,755 12,477,633 
Fortune Brands Home & Security, Inc. 300,708 25,109,118 
Johnson Controls International PLC 1,287,574 59,279,907 
Masco Corp. 179,036 9,608,862 
Owens Corning 173,205 12,621,448 
Trane Technologies PLC 533,512 78,020,795 
  223,054,246 
Commercial Services & Supplies - 0.1%   
Deluxe Corp. 215,300 5,541,822 
Herman Miller, Inc. 68,300 2,434,212 
Republic Services, Inc. 22,578 2,183,744 
Waste Connection, Inc. (United States) 353,013 36,706,292 
Waste Management, Inc. 10,662 1,270,164 
  48,136,234 
Construction & Engineering - 0.1%   
Jacobs Engineering Group, Inc. 565,611 60,995,490 
MasTec, Inc. (b) 170,900 9,691,739 
Quanta Services, Inc. 70,802 4,838,609 
  75,525,838 
Electrical Equipment - 0.4%   
Acuity Brands, Inc. 52,826 6,271,503 
AMETEK, Inc. 273,000 32,358,690 
Eaton Corp. PLC 423,427 51,281,244 
Emerson Electric Co. 559,736 42,998,920 
Generac Holdings, Inc. (b) 43,175 9,308,530 
Hubbell, Inc. Class B 64,838 10,477,172 
Sensata Technologies, Inc. PLC (b) 79,093 3,862,111 
Soltec Power Holdings SA 7,862 56,044 
Sunrun, Inc. (b) 581,515 37,263,481 
Vertiv Holdings Co. 80,266 1,501,777 
Vertiv Holdings LLC (c) 450,000 8,419,500 
  203,798,972 
Industrial Conglomerates - 1.2%   
3M Co. 371,573 64,181,804 
Carlisle Companies, Inc. 92,615 13,413,430 
General Electric Co. 16,181,939 164,732,139 
Honeywell International, Inc. 1,357,798 276,882,168 
Roper Technologies, Inc. 185,748 79,314,396 
  598,523,937 
Machinery - 1.8%   
AGCO Corp. 316,138 29,245,926 
Allison Transmission Holdings, Inc. 309,700 12,713,185 
Caterpillar, Inc. 375,555 65,192,592 
Crane Co. 183,100 12,730,943 
Cummins, Inc. 664,187 153,540,109 
Deere & Co. 362,343 94,796,176 
Dover Corp. 235,743 28,767,718 
Epiroc AB Class A 13,400 222,735 
Flowserve Corp. 498,879 17,001,796 
Fortive Corp. 813,869 57,076,633 
Illinois Tool Works, Inc. 104,468 22,052,150 
Ingersoll Rand, Inc. (b) 550,816 24,384,624 
ITT, Inc. 182,014 13,219,677 
Meritor, Inc. (b) 117,300 3,096,720 
Middleby Corp. (b) 53,820 7,318,982 
Oshkosh Corp. 446,710 35,960,155 
Otis Worldwide Corp. 580,486 38,857,733 
PACCAR, Inc. 657,498 57,241,776 
Parker Hannifin Corp. 218,371 58,361,833 
Pentair PLC 81,819 4,239,861 
Snap-On, Inc. 122,400 21,524,040 
Stanley Black & Decker, Inc. 411,335 75,813,154 
Timken Co. 260,200 19,109,088 
Trinity Industries, Inc. 468,600 10,707,510 
Westinghouse Air Brake Co. 360,668 26,436,964 
Xylem, Inc. 203,567 19,536,325 
  909,148,405 
Professional Services - 0.2%   
CoStar Group, Inc. (b) 24,537 22,342,656 
Dun & Bradstreet Holdings, Inc. (b) 58,700 1,573,747 
Equifax, Inc. 190,882 31,858,206 
IHS Markit Ltd. 248,231 24,689,055 
Manpower, Inc. 48,100 4,167,865 
Robert Half International, Inc. 113,672 7,295,469 
  91,926,998 
Road & Rail - 1.2%   
AMERCO 9,639 3,992,763 
CSX Corp. 802,183 72,236,579 
J.B. Hunt Transport Services, Inc. 145,634 19,701,368 
Kansas City Southern 89,426 16,648,438 
Knight-Swift Transportation Holdings, Inc. Class A 247,900 10,235,791 
Lyft, Inc. (b) 908,723 34,685,957 
Norfolk Southern Corp. 808,242 191,569,519 
Old Dominion Freight Lines, Inc. 121,335 24,674,686 
Ryder System, Inc. 54,665 3,237,261 
Uber Technologies, Inc. (b) 499,177 24,789,130 
Union Pacific Corp. 955,979 195,096,194 
  596,867,686 
Trading Companies & Distributors - 0.2%   
Beijer Ref AB (B Shares) 8,800 301,127 
Fastenal Co. 37,470 1,852,892 
HD Supply Holdings, Inc. (b) 374,116 20,868,190 
United Rentals, Inc. (b) 99,167 22,508,926 
W.W. Grainger, Inc. 88,577 37,051,759 
  82,582,894 
TOTAL INDUSTRIALS  4,018,613,607 
INFORMATION TECHNOLOGY - 20.2%   
Communications Equipment - 0.6%   
Arista Networks, Inc. (b) 4,584 1,240,889 
Ciena Corp. (b) 75,900 3,400,320 
Cisco Systems, Inc. 5,616,650 241,628,283 
CommScope Holding Co., Inc. (b) 870,035 10,309,915 
F5 Networks, Inc. (b) 121,596 19,797,045 
Juniper Networks, Inc. 246,319 5,362,365 
Lumentum Holdings, Inc. (b) 2,400 207,312 
Motorola Solutions, Inc. 235,773 40,442,143 
  322,388,272 
Electronic Equipment & Components - 0.4%   
Amphenol Corp. Class A 281,262 36,791,882 
Arrow Electronics, Inc. (b) 386,143 35,390,006 
CDW Corp. 175,410 22,889,251 
Corning, Inc. 408,200 15,274,844 
Flextronics International Ltd. (b) 1,210,500 19,646,415 
II-VI, Inc. (b) 47,082 3,185,097 
Insight Enterprises, Inc. (b) 37,700 2,694,796 
Jabil, Inc. 881,281 33,682,560 
Keysight Technologies, Inc. (b) 117,201 14,068,808 
Vishay Intertechnology, Inc. 618,200 11,968,352 
Vontier Corp. (b) 14,829 491,878 
  196,083,889 
IT Services - 4.0%   
Accenture PLC Class A 386,681 96,318,370 
Akamai Technologies, Inc. (b) 236,431 24,472,973 
Amadeus IT Holding SA Class A 22,700 1,560,953 
Amdocs Ltd. 281,703 18,538,874 
Automatic Data Processing, Inc. 79,410 13,807,811 
Booz Allen Hamilton Holding Corp. Class A 235,267 20,418,823 
Broadridge Financial Solutions, Inc. 12,204 1,792,524 
Capgemini SA 74,100 10,309,227 
Cognizant Technology Solutions Corp. Class A 851,214 66,505,350 
CSG Systems International, Inc. 185,800 8,060,004 
DXC Technology Co. 219,760 4,814,942 
Edenred SA 33,700 1,925,791 
Fidelity National Information Services, Inc. 890,270 132,125,001 
Fiserv, Inc. (b) 841,077 96,875,249 
FleetCor Technologies, Inc. (b) 307,938 81,668,237 
Gartner, Inc. (b) 31,354 4,765,808 
Genpact Ltd. 417,400 16,967,310 
Global Payments, Inc. 386,502 75,441,325 
GoDaddy, Inc. (b) 54,300 4,319,022 
IBM Corp. 821,253 101,441,171 
Jack Henry & Associates, Inc. 16,444 2,645,182 
Leidos Holdings, Inc. 480,797 48,416,258 
Liveramp Holdings, Inc. (b) 18,100 1,059,031 
MasterCard, Inc. Class A 1,097,909 369,457,358 
MongoDB, Inc. Class A (b) 4,100 1,177,971 
PayPal Holdings, Inc. (b) 1,312,383 281,007,448 
Sabre Corp. 179,800 2,022,750 
Snowflake Computing, Inc. 42,856 13,964,199 
The Western Union Co. 496,622 11,203,792 
Twilio, Inc. Class A (b) 2,697 863,283 
Unisys Corp. (b) 184,600 2,691,468 
VeriSign, Inc. (b) 153,073 30,724,813 
Visa, Inc. Class A 2,467,263 518,988,772 
  2,066,351,090 
Semiconductors & Semiconductor Equipment - 5.0%   
Advanced Micro Devices, Inc. (b) 1,911,488 177,118,478 
Analog Devices, Inc. 686,108 95,423,901 
Applied Materials, Inc. 2,949,559 243,279,626 
Array Technologies, Inc. 244,324 11,136,288 
ASML Holding NV 26,790 11,726,787 
Broadcom, Inc. 473,279 190,059,381 
Cirrus Logic, Inc. (b) 192,000 15,379,200 
Intel Corp. 3,110,539 150,394,561 
KLA-Tencor Corp. 179,636 45,262,883 
Lam Research Corp. 461,088 208,716,094 
Marvell Technology Group Ltd. 317,103 14,678,698 
Microchip Technology, Inc. 199,230 26,774,520 
Micron Technology, Inc. (b) 2,142,466 137,310,646 
Monolithic Power Systems, Inc. 68,285 21,848,469 
NVIDIA Corp. 822,043 440,664,371 
NXP Semiconductors NV 607,138 96,182,802 
ON Semiconductor Corp. (b) 512,200 14,725,750 
Qorvo, Inc. (b) 138,920 21,765,986 
Qualcomm, Inc. 2,453,500 361,081,595 
Sanken Electric Co. Ltd. 20,693 752,581 
Semtech Corp. (b) 24,400 1,646,268 
STMicroelectronics NV (France) 18,600 732,734 
Taiwan Semiconductor Manufacturing Co. Ltd. sponsored ADR 313,090 30,375,992 
Teradyne, Inc. 338,726 37,375,027 
Texas Instruments, Inc. 1,080,714 174,265,133 
Xilinx, Inc. 203,262 29,584,784 
  2,558,262,555 
Software - 6.8%   
Adobe, Inc. (b) 455,190 217,794,759 
ANSYS, Inc. (b) 93,791 31,706,985 
Atlassian Corp. PLC (b) 32,210 7,248,861 
Autodesk, Inc. (b) 413,188 115,787,673 
CDK Global, Inc. 59,911 2,869,737 
Ceridian HCM Holding, Inc. (b) 247,005 23,816,222 
Citrix Systems, Inc. 162,107 20,088,299 
Cloudflare, Inc. (b) 113,736 8,539,299 
Coupa Software, Inc. (b) 61,731 20,303,943 
Digital Turbine, Inc. (b) 28,100 1,263,938 
Dynatrace, Inc. (b) 35,592 1,353,208 
Elastic NV (b) 101,000 12,503,800 
Envestnet, Inc. (b) 100 8,026 
FireEye, Inc. (b) 384,900 5,785,047 
Fortinet, Inc. (b) 52,205 6,433,222 
Intuit, Inc. 259,306 91,280,898 
j2 Global, Inc. (b) 164,500 14,740,845 
LivePerson, Inc. (b) 120,818 7,058,188 
Microsoft Corp. 8,932,953 1,912,277,249 
Nortonlifelock, Inc. 2,891,941 52,720,084 
Nuance Communications, Inc. (b) 280,900 12,115,217 
Nutanix, Inc. Class A (b) 308,290 8,444,063 
Oracle Corp. 3,461,126 199,776,193 
Palo Alto Networks, Inc. (b) 65,693 19,308,487 
Parametric Technology Corp. (b) 18,929 2,041,493 
Paylocity Holding Corp. (b) 78,340 15,401,644 
Pluralsight, Inc. (b) 159,300 2,609,334 
Rapid7, Inc. (b) 80,600 6,040,164 
RealPage, Inc. (b) 71,900 4,960,381 
RingCentral, Inc. (b) 5,100 1,514,955 
Salesforce.com, Inc. (b) 1,670,653 410,646,507 
SAP SE sponsored ADR 94,736 11,478,214 
ServiceNow, Inc. (b) 14,467 7,733,335 
Splunk, Inc. (b) 110,230 22,506,761 
SS&C Technologies Holdings, Inc. 154,843 10,667,134 
SurveyMonkey (b) 584,700 12,442,416 
Synopsys, Inc. (b) 205,558 46,764,445 
Telos Corp. 20,300 407,421 
Tyler Technologies, Inc. (b) 8,043 3,439,187 
Verint Systems, Inc. (b) 74,800 4,260,608 
VMware, Inc. Class A (b) 127,359 17,816,251 
Workday, Inc. Class A (b) 386,690 86,924,045 
Workiva, Inc. (b) 18,800 1,409,812 
Yext, Inc. (b) 605,100 11,502,951 
Zendesk, Inc. (b) 74,400 9,932,400 
Zoom Video Communications, Inc. Class A (b) 14,555 6,962,530 
  3,490,686,231 
Technology Hardware, Storage & Peripherals - 3.4%   
Apple, Inc. 13,550,277 1,613,160,477 
Hewlett Packard Enterprise Co. 1,497,500 16,532,400 
HP, Inc. 2,538,705 55,673,801 
NCR Corp. (b) 312,300 8,641,341 
NetApp, Inc. 109,200 5,821,452 
Seagate Technology LLC 432,700 25,447,087 
Western Digital Corp. 43,500 1,952,280 
Xerox Holdings Corp. 403,350 8,829,332 
  1,736,058,170 
TOTAL INFORMATION TECHNOLOGY  10,369,830,207 
MATERIALS - 2.1%   
Chemicals - 1.3%   
Albemarle Corp. U.S. 95,100 12,930,747 
Amyris, Inc. (b) 563,600 1,645,712 
Cabot Corp. 215,400 8,919,714 
Celanese Corp. Class A 439,017 56,778,069 
CF Industries Holdings, Inc. 215,370 8,033,301 
Corteva, Inc. 892,389 34,196,346 
Dow, Inc. 128,343 6,803,462 
DuPont de Nemours, Inc. 492,067 31,216,730 
Eastman Chemical Co. 897,820 87,447,668 
Ecolab, Inc. 95,440 21,201,996 
FMC Corp. 95,249 11,049,836 
Huntsman Corp. 1,028,400 25,473,468 
Ingevity Corp. (b) 136,575 9,093,164 
Linde PLC 509,517 130,650,349 
Livent Corp. (b) 494,800 7,506,116 
LyondellBasell Industries NV Class A 696,690 59,288,319 
Nutrien Ltd. 49,725 2,454,279 
PPG Industries, Inc. 207,623 30,472,828 
RPM International, Inc. 283,834 24,980,230 
Sherwin-Williams Co. 49,368 36,908,998 
The Chemours Co. LLC 353,000 8,588,490 
The Mosaic Co. 253,008 5,556,056 
Trinseo SA 47,700 1,812,123 
Valvoline, Inc. 281,832 6,422,951 
Westlake Chemical Corp. 198,098 14,887,065 
  644,318,017 
Construction Materials - 0.1%   
Martin Marietta Materials, Inc. 140,522 37,326,859 
Summit Materials, Inc. (b) 495,100 9,406,900 
Vulcan Materials Co. 126,931 17,725,914 
  64,459,673 
Containers & Packaging - 0.5%   
Amcor PLC 771,700 8,743,361 
Avery Dennison Corp. 38,956 5,817,689 
Ball Corp. 100,977 9,694,802 
Berry Global Group, Inc. (b) 835,686 44,291,358 
Crown Holdings, Inc. (b) 480,305 45,268,746 
Graphic Packaging Holding Co. 727,720 11,148,670 
International Paper Co. 828,947 41,016,298 
O-I Glass, Inc. 154,700 1,751,204 
Packaging Corp. of America 233,252 30,322,760 
Sealed Air Corp. 478,052 21,541,023 
Sonoco Products Co. 49,356 2,865,609 
WestRock Co. 841,581 35,523,134 
  257,984,654 
Metals & Mining - 0.2%   
BHP Billiton Ltd. sponsored ADR 92,379 5,153,824 
Freeport-McMoRan, Inc. 2,128,155 49,777,545 
Newmont Corp. 378,263 22,249,430 
Nucor Corp. 279,317 14,999,323 
Reliance Steel & Aluminum Co. 123,964 14,602,959 
Steel Dynamics, Inc. 106,700 3,863,607 
  110,646,688 
Paper & Forest Products - 0.0%   
Schweitzer-Mauduit International, Inc. 240,600 8,368,068 
TOTAL MATERIALS  1,085,777,100 
REAL ESTATE - 1.5%   
Equity Real Estate Investment Trusts (REITs) - 1.4%   
Alexandria Real Estate Equities, Inc. 114,228 18,702,550 
American Homes 4 Rent Class A 367,606 10,557,644 
American Tower Corp. 387,955 89,695,196 
Apartment Investment & Management Co. Class A 210,580 6,391,103 
AvalonBay Communities, Inc. 123,024 20,494,568 
Boston Properties, Inc. 55,688 5,466,334 
Brandywine Realty Trust (SBI) 767,000 8,536,710 
Brixmor Property Group, Inc. 601,505 9,184,981 
Corporate Office Properties Trust (SBI) 69,200 1,842,796 
Crown Castle International Corp. 65,848 11,034,149 
CubeSmart 74,500 2,423,485 
Digital Realty Trust, Inc. 37,900 5,107,025 
Douglas Emmett, Inc. 52,300 1,619,731 
Duke Realty Corp. 125,450 4,774,627 
EastGroup Properties, Inc. 47,210 6,436,139 
Equinix, Inc. 78,099 54,496,701 
Equity Lifestyle Properties, Inc. 162,577 9,525,386 
Equity Residential (SBI) 194,252 11,251,076 
Essex Property Trust, Inc. 30,411 7,477,457 
Federal Realty Investment Trust (SBI) 87,021 7,589,972 
Hospitality Properties Trust (SBI) 584,000 6,926,240 
Host Hotels & Resorts, Inc. 133,600 1,874,408 
Kilroy Realty Corp. 35,300 2,158,948 
Kimco Realty Corp. 851,646 12,297,768 
Lexington Corporate Properties Trust 173,100 1,767,351 
Mid-America Apartment Communities, Inc. 170,415 21,499,556 
Omega Healthcare Investors, Inc. 439,500 15,479,190 
Outfront Media, Inc. 454,307 8,604,575 
Paramount Group, Inc. 715,000 6,613,750 
Park Hotels & Resorts, Inc. 418,700 6,833,184 
Piedmont Office Realty Trust, Inc. Class A 784,400 12,260,172 
Potlatch Corp. 49,095 2,284,881 
Prologis (REIT), Inc. 1,240,718 124,133,836 
Public Storage 132,510 29,743,195 
Rayonier, Inc. 392,123 11,046,105 
SBA Communications Corp. Class A 127,475 36,608,271 
Simon Property Group, Inc. 213,405 17,620,851 
SITE Centers Corp. 166,350 1,678,472 
Sun Communities, Inc. 70,575 9,809,925 
Ventas, Inc. 754,983 36,171,236 
VEREIT, Inc. 2,488,300 17,642,047 
VICI Properties, Inc. 55,200 1,396,008 
Welltower, Inc. 243,146 15,313,335 
Weyerhaeuser Co. 1,112,650 32,311,356 
  724,682,290 
Real Estate Management & Development - 0.1%   
CBRE Group, Inc. (b) 413,246 25,265,860 
Cushman & Wakefield PLC (b) 252,100 3,756,290 
KE Holdings, Inc. ADR (b) 86,000 5,618,380 
  34,640,530 
TOTAL REAL ESTATE  759,322,820 
UTILITIES - 1.9%   
Electric Utilities - 1.3%   
American Electric Power Co., Inc. 772,173 65,549,766 
Duke Energy Corp. 506,219 46,906,253 
Edison International 237,207 14,555,022 
Entergy Corp. 336,004 36,574,035 
Evergy, Inc. 412,895 22,878,512 
Exelon Corp. 1,644,058 67,521,462 
FirstEnergy Corp. 126,600 3,362,496 
NextEra Energy, Inc. 3,168,516 233,171,092 
NRG Energy, Inc. 874,306 28,633,522 
OGE Energy Corp. 96,136 3,113,845 
PG&E Corp. (b) 372,718 4,733,519 
Pinnacle West Capital Corp. 196,047 16,046,447 
PPL Corp. 69,800 1,983,716 
Southern Co. 1,057,522 63,292,692 
Xcel Energy, Inc. 759,352 51,149,951 
  659,472,330 
Gas Utilities - 0.0%   
Atmos Energy Corp. 66,697 6,395,575 
UGI Corp. 102,500 3,636,700 
  10,032,275 
Independent Power and Renewable Electricity Producers - 0.1%   
NextEra Energy Partners LP 19,400 1,231,318 
The AES Corp. 618,263 12,637,296 
Vistra Corp. 1,049,400 19,602,792 
  33,471,406 
Multi-Utilities - 0.5%   
Ameren Corp. 726,183 56,482,514 
CenterPoint Energy, Inc. 202,046 4,685,447 
Dominion Energy, Inc. 627,214 49,230,027 
DTE Energy Co. 20,451 2,572,940 
MDU Resources Group, Inc. 383,500 9,564,490 
NiSource, Inc. 436,093 10,553,451 
Public Service Enterprise Group, Inc. 1,005,368 58,592,847 
Sempra Energy 495,927 63,220,774 
  254,902,490 
TOTAL UTILITIES  957,878,501 
TOTAL COMMON STOCKS   
(Cost $24,402,522,016)  40,960,862,377 
Convertible Preferred Stocks - 0.0%   
CONSUMER DISCRETIONARY - 0.0%   
Diversified Consumer Services - 0.0%   
Airbnb, Inc. Series D (b)(c) 197,718 12,100,342 
Internet & Direct Marketing Retail - 0.0%   
The Honest Co., Inc. Series D (b)(c)(d) 32,084 1,468,164 
TOTAL CONVERTIBLE PREFERRED STOCKS   
(Cost $5,492,853)  13,568,506 
Equity Funds - 19.4%   
Large Blend Funds - 6.5%   
Fidelity SAI U.S. Large Cap Index Fund (e) 74,298,311 1,445,102,156 
Fidelity SAI U.S. Low Volatility Index Fund (e) 42,335,514 686,682,043 
JPMorgan U.S. Large Cap Core Plus Fund Select Class (f) 22,226,205 663,452,228 
PIMCO StocksPLUS Absolute Return Fund Institutional Class 45,074,756 549,010,524 
TOTAL LARGE BLEND FUNDS  3,344,246,951 
Large Growth Funds - 10.4%   
Fidelity Growth Company Fund (e) 113,079,612 3,897,854,206 
Fidelity SAI U.S. Momentum Index Fund (e) 1,743,757 28,388,360 
Fidelity SAI U.S. Quality Index Fund (e) 89,205,982 1,448,705,144 
TOTAL LARGE GROWTH FUNDS  5,374,947,710 
Large Value Funds - 0.2%   
Fidelity SAI U.S. Value Index Fund (e) 9,029,500 88,398,804 
Mid-Cap Blend Funds - 0.8%   
Fidelity Mid Cap Index Fund (e) 16,464,304 432,681,915 
Mid-Cap Growth Funds - 1.5%   
Janus Henderson Enterprise Fund 4,663,817 749,335,471 
TOTAL EQUITY FUNDS   
(Cost $5,743,995,660)  9,989,610,851 
Other - 0.0%   
Commodity Funds - Broad Basket - 0.0%   
Fidelity SAI Inflation-Focused Fund (e)   
(Cost $6,694,501) 851,569 8,464,593 
U.S. Treasury Obligations - 0.0%   
U.S. Treasury Bills, yield at date of purchase 0.1% to 0.11% 2/25/21 to 3/25/21 (g)   
(Cost $4,948,388) 4,950,000 4,948,644 
Money Market Funds - 0.7%   
Fidelity Cash Central Fund 0.09% (h) 31,384,561 31,390,838 
Invesco Government & Agency Portfolio Institutional Class .01% (i) 314,092,185 314,092,185 
TOTAL MONEY MARKET FUNDS   
(Cost $345,479,573)  345,483,023 
TOTAL INVESTMENT IN SECURITIES - 99.8%   
(Cost $30,509,132,991)  51,322,937,994 
NET OTHER ASSETS (LIABILITIES) - 0.2%  85,156,968 
NET ASSETS - 100%  $51,408,094,962 

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) 230 Dec. 2020 $41,666,800 $3,216,210 $3,216,210 

The notional amount of futures purchased as a percentage of Net Assets is 0.0%

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 $14,149,064 or 0.0% of net assets.

 (b) Non-income producing

 (c) 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 $21,988,005 or 0.0% of net assets.

 (d) Level 3 security

 (e) Affiliated Fund

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

 (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 $3,049,123.

 (h) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.

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

Additional information on each restricted holding is as follows:

Security Acquisition Date Acquisition Cost 
Airbnb, Inc. Series D 4/16/14 $4,024,850 
The Honest Co., Inc. Series D 8/12/15 $1,468,003 
Vertiv Holdings LLC 2/6/20 $4,500,000 

Affiliated Central Funds

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

Fund Income earned 
Fidelity Cash Central Fund $608 
Total $608 

Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations, if applicable.

Affiliated Underlying Funds

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

Affiliate Value, beginning of period Purchases(a) Sales Proceeds(a) Dividend Income Realized Gain (loss) Change in Unrealized appreciation (depreciation) Value, end of period 
Fidelity Growth Company Fund $-- $-- $-- $-- $-- $2,676,977,731 $3,897,854,206 
Fidelity Mid Cap Index Fund -- -- -- -- -- 94,260,811 432,681,915 
Fidelity SAI Inflation-Focused Fund -- -- -- -- -- 1,770,091 8,464,593 
Fidelity SAI U.S. Large Cap Index Fund -- 307,083,477 12,713,349 -- 15,790 201,265,807 1,445,102,156 
Fidelity SAI U.S. Low Volatility Index Fund -- -- -- -- -- 119,048,152 686,682,043 
Fidelity SAI U.S. Momentum Index Fund -- -- -- -- -- 1,381,612 28,388,360 
Fidelity SAI U.S. Quality Index Fund -- -- -- -- -- 557,231,223 1,448,705,144 
Fidelity SAI U.S. Value Index Fund -- -- -- -- -- 10,541,073 88,398,804 
Total $-- $307,083,477 $12,713,349 $-- $15,790 $3,662,476,500 $8,036,277,221 

 (a) Excludes the value of securities received and delivered through merger 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 November 30, 2020, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.

 Valuation Inputs at Reporting Date: 
Description Total Level 1 Level 2 Level 3 
Investments in Securities:     
Equities:     
Communication Services $4,334,943,678 $4,293,562,090 $41,381,588 $-- 
Consumer Discretionary 4,779,821,237 4,764,301,935 14,051,138 1,468,164 
Consumer Staples 2,451,387,781 2,446,101,641 5,286,140 -- 
Energy 889,586,092 882,284,053 7,302,039 -- 
Financials 5,354,254,699 5,351,287,644 2,967,055 -- 
Health Care 5,973,015,161 5,902,029,807 70,985,354 -- 
Industrials 4,018,613,607 4,014,946,045 3,667,562 -- 
Information Technology 10,369,830,207 10,354,548,921 15,281,286 -- 
Materials 1,085,777,100 1,085,777,100 -- -- 
Real Estate 759,322,820 759,322,820 -- -- 
Utilities 957,878,501 957,878,501 -- -- 
Equity Funds 9,989,610,851 9,989,610,851 -- -- 
Other 8,464,593 8,464,593 -- -- 
Other Short-Term Investments 4,948,644 -- 4,948,644 -- 
Money Market Funds 345,483,023 345,483,023 -- -- 
Total Investments in Securities: $51,322,937,994 $51,155,599,024 $165,870,806 $1,468,164 
Derivative Instruments:     
Assets     
Futures Contracts $3,216,210 $3,216,210 $-- $-- 
Total Assets $3,216,210 $3,216,210 $-- $-- 
Total Derivative Instruments: $3,216,210 $3,216,210 $-- $-- 

Value of Derivative Instruments

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of November 30, 2020. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.

Primary Risk Exposure / Derivative Type Value 
 Asset Liability 
Equity Risk   
Futures Contracts(a) $3,216,210 $0 
Total Equity Risk 3,216,210 0 
Total Value of Derivatives $3,216,210 $0 

 (a) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).

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


Financial Statements

Statement of Assets and Liabilities

  November 30, 2020 (Unaudited) 
Assets   
Investment in securities, at value — See accompanying schedule:
Unaffiliated issuers (cost $26,103,944,882) 		$43,255,269,935  
Fidelity Central Funds (cost $31,387,388) 31,390,838  
Other affiliated issuers (cost $4,373,800,721) 8,036,277,221  
Total Investment in Securities (cost $30,509,132,991)  $51,322,937,994 
Cash  765,904 
Foreign currency held at value (cost $4,564,069)  4,564,700 
Receivable for investments sold  130,645,915 
Receivable for fund shares sold  12,704,002 
Dividends receivable  62,957,772 
Interest receivable  2,932 
Distributions receivable from Fidelity Central Funds  17,642 
Other receivables  929,350 
Total assets  51,535,526,211 
Liabilities   
Payable for investments purchased $100,125,847  
Payable for fund shares redeemed 18,741,432  
Accrued management fee 7,414,034  
Payable for daily variation margin on futures contracts 152,950  
Other affiliated payables 34,712  
Other payables and accrued expenses 962,274  
Total liabilities  127,431,249 
Net Assets  $51,408,094,962 
Net Assets consist of:   
Paid in capital  $30,458,481,467 
Total accumulated earnings (loss)  20,949,613,495 
Net Assets  $51,408,094,962 
Net Asset Value, offering price and redemption price per share ($51,408,094,962 ÷ 5,020,495,901 shares)  $10.24 

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


Statement of Operations

  For the period
November 12, 2020 (commencement of operations) to
November 30, 2020 (Unaudited) 
Investment Income   
Dividends:   
Unaffiliated issuers  $17,598,253 
Interest  985 
Income from Fidelity Central Funds  608 
Total income  17,599,846 
Expenses   
Management fee $4,626,605  
Custodian fees and expenses 1  
Independent trustees' fees and expenses 34,712  
Registration fees 1,312  
Audit 3,036  
Total expenses before reductions 4,665,666  
Expense reductions (2,714,004)  
Total expenses after reductions  1,951,662 
Net investment income (loss)  15,648,184 
Realized and Unrealized Gain (Loss)   
Net realized gain (loss) on:   
Investment securities:   
Unaffiliated issuers (net of foreign taxes of $307) 116,776,020  
Affiliated issuers 15,790  
Foreign currency transactions (686,468)  
Futures contracts 54,509  
Total net realized gain (loss)  116,159,851 
Change in net unrealized appreciation (depreciation) on:   
Investment securities:   
Unaffiliated issuers (2,765,488,226)  
Fidelity Central Funds 3,450  
Other affiliated issuers 3,662,476,500  
Assets and liabilities in foreign currencies 784,247  
Futures contracts 858,789  
Total change in net unrealized appreciation (depreciation)  898,634,760 
Net gain (loss)  1,014,794,611 
Net increase (decrease) in net assets resulting from operations  $1,030,442,795 

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


Statement of Changes in Net Assets

 For the period
November 12, 2020 (commencement of operations) to
November 30, 2020 (Unaudited) 		Strategic Advisers Core Fund(a)
Year ended May 31, 2020 
Increase (Decrease) in Net Assets   
Operations   
Net investment income (loss) $15,648,184 $453,924,654 
Net realized gain (loss) 116,159,851 755,139,994 
Change in net unrealized appreciation (depreciation) 898,634,760 1,822,878,765 
Net increase (decrease) in net assets resulting from operations 1,030,442,795 3,031,943,413 
Distributions to shareholders – (1,621,230,881) 
Share transactions   
Proceeds from sales of shares 383,146,519 5,134,133,462 
Net asset value of shares issued in exchange for the net assets of Target Funds (note 9) 50,151,841,835 – 
Reinvestment of distributions – 1,597,215,641 
Cost of shares redeemed (157,336,187) (5,836,940,101) 
Net increase (decrease) in net assets resulting from share transactions 50,377,652,167 894,409,002 
Total increase (decrease) in net assets 51,408,094,962 2,305,121,534 
Net Assets   
Beginning of period – 24,720,959,735 
End of period $51,408,094,962 $27,026,081,269 
Other Information   
Shares   
Sold 40,690,964 291,290,156 
Issued in exchange for the shares of Target Funds (note 9) 4,995,203,101 – 
Issued in reinvestment of distributions – 84,035,568 
Redeemed (15,398,164) (325,208,146) 
Net increase (decrease) 5,020,495,901 50,117,578 

 (a) See Note 1 and Note 9.

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


Financial Highlights

Strategic Advisers Large Cap Fund

 Six months ended (Unaudited) November 30, Years endedMay 31,     
 2020 A 2020 B 2019 B 2018 B 2017 B 2016 B 
Selected Per–Share Data       
Net asset value, beginning of period $10.00 $17.31 $18.40 $17.32 $15.07 $16.12 
Income from Investment Operations       
Net investment income (loss)C .01 .32 .29 .25 .22 .19 
Net realized and unrealized gain (loss) .23 1.81 .08 2.18 2.48 (.37) 
Total from investment operations .24 2.13 .37 2.43 2.70 (.18) 
Distributions from net investment income – (.29) (.29) (.24) (.19) (.19) 
Distributions from net realized gain – (.87) (1.17) (1.11) (.26) (.68) 
Total distributions – (1.15)D (1.46) (1.35) (.45) (.87) 
Net asset value, end of period $10.24 $18.29 $17.31 $18.40 $17.32 $15.07 
Total ReturnE,F 1.99%G 12.17% 2.41% 14.59% 18.22% (1.10)% 
Ratios to Average Net AssetsH,I       
Expenses before reductions .44%J .45% .45% .47% .46% .43% 
Expenses net of fee waivers, if any .18%J .20% .20% .21% .21% .18% 
Expenses net of all reductions .18%J .20% .20% .21% .21% .18% 
Net investment income (loss) 1.46%J 1.74% 1.65% 1.41% 1.40% 1.32% 
Supplemental Data       
Net assets, end of period (000 omitted) $51,408,095 $27,026,081 $24,720,960 $24,984,597 $23,157,908 $23,636,860 
Portfolio turnover rateK 4%L,M 90% 84% 98% 100% 85% 

 A For the period November 12, 2020 (commencement of operations) to November 30, 2020.

 B Effective November 20, 2020, Strategic Advisers Core Fund ("Predecessor Fund") and two other funds were reorganized into the Fund. The Fund has adopted the Financial Statements of the Predecessor Fund. Therefore, the financial highlights shown above are those of the Predecessor Fund for all periods prior to the Fund's commencement of operations.

 C Calculated based on average shares outstanding during the period.

 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 The Fund commenced operations on November 12, 2020. Returns prior to November 20, 2020 are those of the Predecessor Fund.

 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 advisor, 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).

 L The portfolio turnover rate does not include the assets acquired in the merger.

 M Amount not annualized.

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


Notes to Financial Statements (Unaudited)

For the period ended November 30, 2020

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 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 Fund has adopted the Financial Statements of the Predecessor Fund. Therefore, the Statement of Changes in Net Assets and Financial Highlights are those of the Predecessor Fund for all periods prior to the Fund's commencement of operations on November 12, 2020.

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 following summarizes the significant accounting policies of the Fund:

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

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

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

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

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

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. If an unaffiliated open-end mutual fund's NAV is unavailable, shares of that fund may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and is categorized as Level 2 in the hierarchy.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of November 30, 2020 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. 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.

Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan) 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 $680,176 

Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests. The Fund is subject to a tax imposed on capital gains by certain countries in which it invests.

Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.

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

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

Gross unrealized appreciation $21,310,043,897 
Gross unrealized depreciation (757,505,712) 
Net unrealized appreciation (depreciation) $20,552,538,185 
Tax cost $30,773,616,019 

Restricted Securities (including Private Placements). The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.

3. Derivative Instruments.

Risk Exposures and the Use of Derivative Instruments. The Fund's investment objective allows the Fund to enter into various types of derivative contracts, including futures contracts. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.

The Fund used derivatives to increase returns and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.

The Fund's use of derivatives increased or decreased its exposure to the following risk:

Equity Risk Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment.
 

The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Counterparty credit risk related to exchange-traded futures contracts may be mitigated by the protection provided by the exchange on which they trade.

Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.

Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. The Fund used futures contracts to manage its exposure to the stock market.

Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments (variation margin) are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is presented in the Statement of Operations.

Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The notional amount at value reflects each contract's exposure to the underlying instrument or index at period end 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 and securities acquired in the merger, are noted in the table below.

 Purchases ($) Sales ($) 
Strategic Advisers Large Cap Fund 1,062,596,281 797,345,589 

5. Fees and Other Transactions with Affiliates.

Management Fee. Strategic Advisers (the investment adviser) provides the Fund with investment management related services. For these services, the Fund pays a monthly management fee to the investment adviser. The management fee is calculated by adding the annual management fee rate of .25% of the Fund's average net assets throughout the month payable to the investment adviser to the aggregate of the fee rates, payable monthly, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed .65% of the Fund's average net assets. For the reporting period, the total annualized 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), Geode Capital Management, LLC, Invesco Advisers, Inc., 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 by the investment adviser and not the Fund for providing these services.

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

 Amount 
Strategic Advisers Large Cap Fund $19,828 

Interfund Trades. Funds may purchase from or sell securities to other funds affiliated with each sub-adviser under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.

6. Investments in Fidelity Central Funds.

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

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

A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds are available on the SEC website or upon request.

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, 2023. During the period, this waiver reduced the Fund's management fee by $2,676,443.

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 $37,561.

8. Other.

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

9. Merger Information.

On November 20, 2020, the Fund acquired all of the assets and assumed all of the liabilities of Strategic Advisers Core Fund, Strategic Advisers Growth Fund and Strategic Advisers Value Fund (Target Funds) pursuant to an Agreement and Plan of Reorganization approved by the Board of Trustees ("The Board"). Each acquisition was accomplished by an exchange of shares of the Fund for shares then outstanding of each Target Fund at their respective net asset value on the acquisition date. The reorganization provides shareholders of each Target Fund access to a larger portfolio with a similar investment objective and lower expenses. 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.

Target Funds Securities $ Unrealized appreciation (depreciation) $ Net Assets $ Shares Exchanged 
Strategic Advisers Core Fund 31,619,450,950 12,056,868,793 31,632,208,284 3,150,617,669 
Strategic Advisers Growth Fund 9,684,515,165 5,505,004,332 9,686,104,070 964,750,799 
Strategic Advisers Value Fund 8,821,520,451 2,357,297,576 8,833,529,481 879,834,633 

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 November 30, 2020 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) $391,730,122 
Total net realized gain (loss) 1,996,572,313 
Total change in net unrealized appreciation (depreciation) 7,065,040,379 
Net increase (decrease) in net assets resulting from operations $9,453,342,814 

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 accompanying Statement of Operations since November 20, 2020.

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.

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 actual expense Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (November 12, 2020 to November 30, 2020). The hypothetical expense Example is based on an investment of $1,000 invested for the one-half year period (June 1, 2020 to November 30, 2020).

Actual Expenses

The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line 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.

 Annualized Expense Ratio-A Beginning
Account Value
November 12, 2020 		Ending
Account Value
November 30, 2020 		Expenses Paid
During Period
November 12, 2020
to November 30, 2020 
Strategic Advisers Large Cap Fund .18%    
Actual  $1,000.00 $1,019.90 $.09-B 
Hypothetical-C  $1,000.00 $1,024.17 $.91-D 

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

 B Actual expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 19/365 (to reflect the period November 12, 2020 to November 30, 2020.

 C 5% return per year before expenses

 D Hypothetical expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period).

Board Approval of Investment Advisory Contracts and Management Fees

Strategic Advisers Large Cap Fund

In June 2020, the Board of Trustees, including the Independent Trustees (together, the Board) voted to approve (i) the management contract between Strategic Advisers LLC (Strategic Advisers) and Fidelity Rutland Square Trust II (Trust) on behalf of the fund (Management Contract); (ii) the sub-advisory agreements among Strategic Advisers, each of AllianceBernstein L.P., Aristotle Capital Management, LLC, Brandywine Global Investment Management, LLC (Brandywine), ClariVest Asset Management LLC, ClearBridge Investments, LLC (ClearBridge), FIAM LLC (FIAM), Geode Capital Management, LLC, Invesco Advisers, Inc., J.P. Morgan Investment Management Inc., Loomis, Sayles & Company, L.P., LSV Asset Management, PineBridge Investments LLC, Principal Global Investors, LLC (Principal), and T. Rowe Price Associates, Inc., and the Trust on behalf of the fund (each respective agreement, a Sub-Advisory Agreement and collectively, the Sub-Advisory Agreements); and (iii) the sub-subadvisory agreements among FIAM, each of FMR Investment Management (UK) Limited, Fidelity Management & Research (Japan) Limited and Fidelity Management & Research (Hong Kong) Limited, and the Trust on behalf of the fund (Sub-Subadvisory Agreements and together with the Management Contract and Sub-Advisory Agreements, the Advisory Contracts). Strategic Advisers and the sub-advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, considered a broad range of information it believed relevant to the approval of the Advisory Contracts.

In considering whether to approve each Advisory Contract, 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 each Advisory Contract 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 advisory fees to be charged under each Advisory Contract bear a reasonable relationship to the services to be rendered and will be based upon services provided that will be in addition to, rather than duplicative of services provided under the advisory contract of any underlying fund in which the fund may invest. The Board's decision to approve each Advisory Contract 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.

Additional Sub-Advisory Agreements with Brandywine and ClearBridge.  The Board also approved additional sub-advisory agreements with Brandywine and ClearBridge, which will take effect upon consummation of a transaction pursuant to which Franklin Resources, Inc. will acquire the parent company of Brandywine and ClearBridge (Transaction). The Board noted that the additional sub-advisory agreements were not materially different from the initial sub-advisory agreements with Brandywine and ClearBridge and that the Transaction would not result in changes to the nature, extent, and quality of the services provided to the fund. As used herein, the term Advisory Contracts includes the additional sub-advisory agreements with Brandywine and ClearBridge.

Nature, Extent, and Quality of Services Provided.  The Board considered the backgrounds of the investment personnel that will provide services to the fund, and also took into consideration the fund's investment objective, strategies and related investment philosophy and the proposed sub-adviser line-up. The Board considered the structure of each Investment Adviser's investment personnel compensation program and whether such structures provide appropriate incentives to act in the best interests of the fund. The Board noted that it is familiar with the nature, extent and quality of services provided by the Investment Advisers, with the exception of Principal, from its oversight of the Investment Advisers, on behalf of other funds overseen by the Board and that the same support staff, including compliance personnel, that currently provides services to other Strategic Advisers funds will also provide services to the fund.

The Board noted Strategic Advisers' role in, among other things, (i) setting, implementing and monitoring the investment strategy for the fund; (ii) identifying and recommending to the Board the sub-advisers for the fund; (iii) overseeing compliance with federal securities laws by each sub-adviser with respect to fund assets; (iv) monitoring and overseeing the performance and investment capabilities of each sub-adviser; and (v) recommending the replacement of a sub-adviser as appropriate. The Board also noted that it receives from Strategic Advisers substantial information and periodic reports about Strategic Advisers' sub-adviser oversight and due diligence processes, as well as periodic reports regarding the performance of each sub-adviser.

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

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

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

The Board noted that the growth of fund assets over time across the complex allows Strategic Advisers to reinvest in the development of services designed to enhance the value or convenience of the Strategic Advisers funds as investment vehicles. These services include 24-hour access to account information and market information through telephone representatives and over the Internet, investor education materials and asset allocation tools, and the expanded availability of Fidelity Investor Centers.

Investment Performance.  The fund is a new fund and therefore had no historical performance for the Board to review at the time it approved the fund's Advisory Contracts. Once the fund has been in operation for at least one calendar year, the Board will review the fund's absolute investment performance, as well as the fund's relative investment performance measured against a broad-based securities market index.

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

Competitiveness of Management Fee and Total Fund Expenses.  In reviewing the Advisory Contracts, the Board considered the amount and nature of fees to be paid by the fund to the fund's investment adviser, Strategic Advisers, the amount and nature of fees to be paid by Strategic Advisers to the sub-advisers, and the projected total management fee rate and operating expenses of the fund.

The Board noted that the fund's maximum aggregate annual management fee rate may not exceed 0.65% of the fund's average daily net assets and that Strategic Advisers has contractually agreed to waive its 0.25% portion of the fund's management fee through September 30, 2023. The Board considered that the proposed maximum aggregate annual management fee rate and estimated effective and total management fee rates rank below the median of the fund's total mapped group. The Board noted that FIAM, and not the fund, will compensate the sub-subadvisers under the terms of each Sub-Subadvisory Agreement and that the fund and Strategic Advisers are not responsible for any such fees or expenses. The Board also considered that the fund's projected total net expenses, including acquired fund fees and expenses, if any, rank below the competitive median.

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.  The fund is a new fund and therefore no revenue, cost, or profitability data was available for the Board to review in respect of the fund at the time it approved the Advisory Contracts. The Board noted that it will consider costs of services and the profitability of Strategic Advisers and each sub-adviser as a result of their relationship with the fund in connection with future renewals of the Advisory Contracts.

Potential Fall-Out Benefits.  The fund is a new fund and therefore the Board was unable to consider any direct and indirect benefits to Strategic Advisers and its affiliates from their relationships with the fund. The Board noted that it 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 Advisory Contracts.

Possible Economies of Scale.  The Board noted that because the fund is a new fund a determination of economies of scale was premature until the fund has assets.

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





Fidelity Investments

LGC-SANN-0121
1.9899747.100


Item 2.

Code of Ethics


Not applicable.

 

Item 3.

Audit Committee Financial Expert


Not applicable.


Item 4.

Principal Accountant Fees and Services


Not applicable.


Item 5.

Audit Committee of Listed Registrants


Not applicable.


Item 6.  

Investments


(a)

Not applicable.


(b)

Not applicable


Item 7.

Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies


Not applicable.


Item 8.

Portfolio Managers of Closed-End Management Investment Companies


Not applicable.


Item 9.  

Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers


Not applicable.


Item 10.

Submission of Matters to a Vote of Security Holders


There were no material changes to the procedures by which shareholders may recommend nominees to the Fidelity Rutland Square Trust II’s Board of Trustees.


Item 11.

Controls and Procedures


(a)(i)  The President and Treasurer and the Chief Financial Officer have concluded that the Fidelity Rutland Square Trust II’s (the “Trust”) disclosure controls and procedures (as



defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the Trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.


(a)(ii)  There was no change in the Trust’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Trust’s internal control over financial reporting.


Item 12.

Disclosure of Securities Lending Activities for Closed-End Management

Investment Companies


Not applicable.



Item 13.

Exhibits


(a)

(1)

Not applicable.

(a)

(2)

Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT.

(a)

(3)

Not applicable.

(b)


Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT.




SIGNATURES


Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.


Fidelity Rutland Square Trust II



By:

/s/Stacie M. Smith

Stacie M. Smith

President and Treasurer


Date:

January 22, 2021


Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.



By:

/s/Stacie M. Smith

Stacie M. Smith

President and Treasurer


Date:

January 22, 2021



By:

/s/John J. Burke III

John J. Burke III

Chief Financial Officer


Date:

January 22, 2021