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, 2021


Item 1.

Reports to Stockholders




Strategic Advisers® Short Duration Fund

Offered exclusively to certain managed account clients of Strategic Advisers LLC or its affiliates - not available for sale to the general public



Semi-Annual Report

November 30, 2021

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. © 2022 FMR LLC. All rights reserved.



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

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

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

NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE

Neither the Fund nor Fidelity Distributors Corporation is a bank.



Note to Shareholders:

Early in 2020, the outbreak and spread of COVID-19 emerged as a public health emergency that had a major influence on financial markets, primarily based on its impact on the global economy and corporate earnings. On March 11, 2020, the World Health Organization declared the COVID-19 outbreak a pandemic, citing sustained risk of further global spread. The pandemic prompted a number of measures to limit the spread of COVID-19, including travel and border restrictions, quarantines, and restrictions on large gatherings. In turn, these resulted in lower consumer activity, diminished demand for a wide range of products and services, disruption in manufacturing and supply chains, and – given the wide variability in outcomes regarding the outbreak – significant market uncertainty and volatility. To help stem the turmoil, the U.S. government took unprecedented action – in concert with the U.S. Federal Reserve and central banks around the world – to help support consumers, businesses, and the broader economy, and to limit disruption to the financial system.

In general, the overall impact of the pandemic lessened in 2021, amid a resilient economy and widespread distribution of three COVID-19 vaccines granted emergency use authorization from the U.S. Food and Drug Administration (FDA) early in the year. Still, the situation remains dynamic, and the extent and duration of its influence on financial markets and the economy is highly uncertain, due in part to a recent spike in cases based on highly contagious variants of the coronavirus.

Extreme events such as the COVID-19 crisis are exogenous shocks that can have significant adverse effects on mutual funds and their investments. Although multiple asset classes may be affected by market disruption, the duration and impact may not be the same for all types of assets. Fidelity is committed to helping you stay informed amid news about COVID-19 and during increased market volatility, and we continue to take extra steps to be responsive to customer needs. We encourage you to visit us online, where we offer ongoing updates, commentary, and analysis on the markets and our funds.

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, 2021

(excluding cash equivalents) % of fund's net assets 
PIMCO Short-Term Fund Institutional Class 13.6 
Baird Ultra Short Bond Fund Institutional Class 6.3 
PIMCO Enhanced Short Maturity Active ETF 4.9 
T. Rowe Price Ultra Short-Term Bond Fund 4.4 
Fidelity SAI Short-Term Bond Fund 4.4 
BlackRock Low Duration Bond Portfolio Investor A Shares 4.2 
Metropolitan West Low Duration Bond Fund - Class M 3.9 
iShares Short Treasury Bond ETF 3.7 
JPMorgan Ultra-Short Income ETF 3.7 
iShares Short Maturity Bond ETF 3.5 

Asset Allocation (% of fund's net assets)

As of November 30, 2021 
   Corporate Bonds 22.7% 
   U.S. Government and U.S. Government Agency Obligations 3.7% 
   Asset-Backed Securities 6.6% 
   CMOs and Other Mortgage Related Securities 2.6% 
   Municipal Securities 0.1% 
   Other Investments 0.4% 
   Short-Term Funds 59.9% 
   Short-Term Investments and Net Other Assets (Liabilities) 4.0% 


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

Schedule of Investments November 30, 2021 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 22.7%   
 Principal Amount Value 
COMMUNICATION SERVICES - 1.0%   
Diversified Telecommunication Services - 0.5%   
AT&T, Inc. 0.9% 3/25/24 $2,145,000 $2,131,172 
NBN Co. Ltd. 1.45% 5/5/26 (a) 1,765,000 1,738,961 
NTT Finance Corp.:   
0.373% 3/3/23 (a) 5,265,000 5,249,663 
0.583% 3/1/24 (a) 2,184,000 2,163,327 
SBA Tower Trust 3.448% 3/15/48 (a) 880,000 886,855 
Verizon Communications, Inc.:   
3 month U.S. LIBOR + 1.000% 1.118% 3/16/22 (b)(c) 15,233,000 15,275,043 
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.500% 0.549% 3/22/24 (b)(c) 2,563,000 2,574,277 
0.85% 11/20/25 710,000 689,625 
1.45% 3/20/26 1,155,000 1,146,945 
  31,855,868 
Entertainment - 0.1%   
The Walt Disney Co. 3% 9/15/22 4,273,000 4,356,509 
Interactive Media & Services - 0.0%   
Baidu, Inc. 3.5% 11/28/22 780,000 798,233 
Media - 0.2%   
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.:   
4.464% 7/23/22 3,670,000 3,734,834 
4.908% 7/23/25 2,295,000 2,531,963 
Comcast Corp. 3.1% 4/1/25 355,000 374,305 
COX Communications, Inc.:   
2.95% 6/30/23 (a) 1,950,000 2,002,046 
3.15% 8/15/24 (a) 796,000 834,290 
Fox Corp. 3.666% 1/25/22 260,000 261,239 
RELX Capital, Inc. 3.5% 3/16/23 575,000 593,595 
SES SA 3.6% 4/4/23 (a) 155,000 159,890 
TWDC Enterprises 18 Corp. 3 month U.S. LIBOR + 0.390% 0.5055% 3/4/22 (b)(c) 5,000,000 5,004,527 
  15,496,689 
Wireless Telecommunication Services - 0.2%   
CC Holdings GS V LLC/Crown Castle GS III Corp. 3.849% 4/15/23 2,615,000 2,713,381 
Rogers Communications, Inc. 3 month U.S. LIBOR + 0.600% 0.7254% 3/22/22 (b)(c) 5,520,000 5,527,288 
T-Mobile U.S.A., Inc. 3.5% 4/15/25 1,005,000 1,063,127 
  9,303,796 
TOTAL COMMUNICATION SERVICES  61,811,095 
CONSUMER DISCRETIONARY - 1.5%   
Automobiles - 1.1%   
American Honda Finance Corp.:   
3 month U.S. LIBOR + 0.150% 0.3096% 2/22/23 (b)(c) 3,342,000 3,341,985 
3 month U.S. LIBOR + 0.290% 0.4058% 12/10/21 (b)(c) 5,000,000 5,000,186 
0.4% 10/21/22 2,775,000 2,772,257 
BMW U.S. Capital LLC U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.530% 0.5789% 4/1/24 (a)(b)(c) 5,925,000 5,966,319 
Daimler Finance North America LLC:   
3 month U.S. LIBOR + 0.840% 0.985% 5/4/23 (a)(b)(c) 3,240,000 3,268,827 
3 month U.S. LIBOR + 0.900% 1.056% 2/15/22 (a)(b)(c) 5,000,000 5,007,689 
1.75% 3/10/23 (a) 1,800,000 1,821,204 
General Motors Co.:   
4.875% 10/2/23 730,000 776,205 
5.4% 10/2/23 1,130,000 1,217,262 
General Motors Financial Co., Inc.:   
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.000% 0.6685% 10/15/24 (b)(c) 4,200,000 4,197,578 
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.760% 0.8092% 3/8/24 (b)(c) 4,061,000 4,076,488 
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 1.200% 1.25% 11/17/23 (b)(c) 5,000,000 5,068,950 
2.9% 2/26/25 1,880,000 1,947,548 
3.25% 1/5/23 5,000,000 5,120,538 
Harley-Davidson Financial Services, Inc.:   
2.55% 6/9/22 (a) 375,000 378,260 
4.05% 2/4/22 (a) 1,210,000 1,217,132 
Nissan Motor Acceptance Corp.:   
2.6% 9/28/22 (a) 1,610,000 1,629,217 
2.65% 7/13/22 (a) 560,000 565,880 
Nissan Motor Co. Ltd. 3.043% 9/15/23 (a) 1,550,000 1,596,107 
Stellantis Finance U.S., Inc. 1.711% 1/29/27 (a) 675,000 662,223 
Volkswagen Group of America Finance LLC:   
0.75% 11/23/22 (a) 10,620,000 10,628,190 
0.875% 11/22/23 (a) 590,000 587,366 
2.7% 9/26/22 (a) 650,000 660,537 
2.9% 5/13/22 (a) 5,663,000 5,720,975 
3.125% 5/12/23 (a) 355,000 366,105 
  73,595,028 
Hotels, Restaurants & Leisure - 0.1%   
Expedia, Inc. 3.6% 12/15/23 1,270,000 1,324,143 
Hyatt Hotels Corp. 1.3% 10/1/23 565,000 565,235 
Marriott International, Inc.:   
2.3% 1/15/22 90,000 90,057 
3.125% 2/15/23 290,000 295,674 
3.6% 4/15/24 1,750,000 1,838,437 
4.15% 12/1/23 175,000 184,703 
Starbucks Corp. 2.7% 6/15/22 435,000 438,559 
  4,736,808 
Household Durables - 0.0%   
Panasonic Corp. 2.536% 7/19/22 (a) 785,000 793,208 
Internet & Direct Marketing Retail - 0.1%   
QVC, Inc. 4.375% 3/15/23 3,565,000 3,694,231 
Leisure Products - 0.0%   
Brunswick Corp. 0.85% 8/18/24 1,190,000 1,174,451 
Hasbro, Inc. 3% 11/19/24 1,485,000 1,551,710 
  2,726,161 
Multiline Retail - 0.0%   
Nordstrom, Inc. 2.3% 4/8/24 150,000 147,750 
Specialty Retail - 0.1%   
AutoZone, Inc. 3.625% 4/15/25 485,000 517,314 
O'Reilly Automotive, Inc. 3.8% 9/1/22 385,000 391,054 
Ross Stores, Inc.:   
0.875% 4/15/26 450,000 436,361 
4.6% 4/15/25 2,310,000 2,538,139 
Triton Container International Ltd. 0.8% 8/1/23 (a) 1,350,000 1,344,094 
  5,226,962 
Textiles, Apparel & Luxury Goods - 0.1%   
Ralph Lauren Corp. 1.7% 6/15/22 225,000 226,578 
VF Corp. 2.05% 4/23/22 6,772,000 6,813,165 
  7,039,743 
TOTAL CONSUMER DISCRETIONARY  97,959,891 
CONSUMER STAPLES - 0.7%   
Beverages - 0.0%   
Coca-Cola European Partners PLC 0.8% 5/3/24 (a) 2,005,000 1,975,275 
Diageo Capital PLC 1.375% 9/29/25 680,000 679,996 
  2,655,271 
Food & Staples Retailing - 0.1%   
7-Eleven, Inc.:   
0.625% 2/10/23 (a) 1,072,000 1,068,709 
0.8% 2/10/24 (a) 1,448,000 1,432,454 
Prosperous Ray Ltd. 4.625% 11/12/23 (Reg. S) 1,200,000 1,269,225 
  3,770,388 
Food Products - 0.2%   
Bunge Ltd. Finance Corp.:   
3% 9/25/22 3,375,000 3,434,409 
4.35% 3/15/24 130,000 139,053 
China Mengniu Dairy Co. Ltd. 1.875% 6/17/25 (Reg. S) 2,004,000 1,995,683 
JDE Peet's BV 0.8% 9/24/24 (a) 515,000 504,745 
Mondelez International, Inc. 0.625% 7/1/22 6,350,000 6,356,073 
  12,429,963 
Tobacco - 0.4%   
BAT International Finance PLC 1.668% 3/25/26 885,000 871,801 
Imperial Tobacco Finance PLC:   
3.125% 7/26/24 (a) 1,565,000 1,622,507 
3.5% 2/11/23 (a) 14,124,000 14,441,198 
3.75% 7/21/22 (a) 3,390,000 3,436,808 
Philip Morris International, Inc. 1.125% 5/1/23 8,991,000 9,044,925 
  29,417,239 
TOTAL CONSUMER STAPLES  48,272,861 
ENERGY - 1.1%   
Energy Equipment & Services - 0.0%   
Schlumberger Finance Canada Ltd. 1.4% 9/17/25 290,000 291,509 
Schlumberger Holdings Corp.:   
3.75% 5/1/24 (a) 1,515,000 1,594,326 
4% 12/21/25 (a) 375,000 408,177 
  2,294,012 
Oil, Gas & Consumable Fuels - 1.1%   
Aker BP ASA 3% 1/15/25 (a) 995,000 1,035,454 
Canadian Natural Resources Ltd. 2.05% 7/15/25 1,430,000 1,445,076 
Cheniere Corpus Christi Holdings LLC:   
5.875% 3/31/25 1,470,000 1,637,605 
7% 6/30/24 1,625,000 1,805,849 
Chevron Corp.:   
3 month U.S. LIBOR + 0.480% 0.5989% 3/3/22 (b)(c) 4,700,000 4,703,732 
1.141% 5/11/23 4,174,000 4,203,450 
Devon Energy Corp. 8.25% 8/1/23 (a) 525,000 577,689 
Diamondback Energy, Inc.:   
2.875% 12/1/24 2,720,000 2,822,299 
4.75% 5/31/25 1,080,000 1,183,358 
Enbridge, Inc.:   
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.400% 0.45% 2/17/23 (b)(c) 1,892,000 1,891,489 
0.55% 10/4/23 5,000,000 4,963,731 
2.5% 1/15/25 1,115,000 1,148,135 
4% 10/1/23 1,605,000 1,680,641 
Energy Transfer LP:   
2.9% 5/15/25 255,000 263,180 
3.45% 1/15/23 110,000 112,242 
4.2% 9/15/23 280,000 293,412 
4.25% 3/15/23 1,795,000 1,853,389 
4.25% 4/1/24 70,000 73,725 
4.9% 2/1/24 245,000 260,151 
5.875% 1/15/24 2,375,000 2,559,614 
Eni SpA 4% 9/12/23 (a) 1,610,000 1,688,812 
Enterprise Products Operating LP 3.5% 2/1/22 1,050,000 1,055,030 
EOG Resources, Inc. 2.625% 3/15/23 291,000 296,455 
EQT Corp. 3% 10/1/22 2,275,000 2,280,688 
Gray Oak Pipeline LLC:   
2% 9/15/23 (a) 205,000 207,331 
2.6% 10/15/25 (a) 385,000 391,548 
Kinder Morgan Energy Partners LP 3.95% 9/1/22 135,000 137,243 
Phillips 66 Co. 3 month U.S. LIBOR + 0.620% 0.776% 2/15/24 (b)(c) 10,000,000 10,000,227 
Pioneer Natural Resources Co.:   
0.55% 5/15/23 3,792,000 3,774,041 
0.75% 1/15/24 610,000 605,457 
Plains All American Pipeline LP/PAA Finance Corp. 2.85% 1/31/23 1,275,000 1,299,046 
Reliance Industries Ltd. 5.4% 2/14/22 (Reg. S) 1,700,000 1,711,475 
Sabine Pass Liquefaction LLC:   
5.625% 4/15/23 (b) 1,810,000 1,902,672 
6.25% 3/15/22 1,698,000 1,701,385 
Saudi Arabian Oil Co. 2.75% 4/16/22 (a) 1,815,000 1,829,520 
Suncor Energy, Inc. 2.8% 5/15/23 975,000 998,959 
The Williams Companies, Inc.:   
3.35% 8/15/22 200,000 202,341 
3.7% 1/15/23 2,205,000 2,260,239 
4.3% 3/4/24 305,000 323,794 
Valero Energy Corp.:   
1.2% 3/15/24 715,000 711,692 
3.65% 3/15/25 245,000 261,793 
Western Gas Partners LP 4% 7/1/22 1,800,000 1,804,500 
  69,958,469 
TOTAL ENERGY  72,252,481 
FINANCIALS - 13.1%   
Banks - 7.6%   
Banco Bilbao Vizcaya Argentaria SA 0.875% 9/18/23 1,800,000 1,797,537 
Banco del Estado de Chile 2.704% 1/9/25 (a) 665,000 679,256 
Banco Santander Mexico SA 4.125% 11/9/22 (Reg. S) 1,750,000 1,790,338 
Banco Santander SA 0.701% 6/30/24 (b) 200,000 198,878 
Bank Ireland Group PLC 4.5% 11/25/23 (a) 2,655,000 2,822,383 
Bank of America Corp.:   
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.690% 0.7398% 4/22/25 (b)(c) 10,000,000 10,055,779 
0.523% 6/14/24 (b) 1,210,000 1,200,920 
0.81% 10/24/24 (b) 755,000 750,263 
0.976% 4/22/25 (b) 1,050,000 1,041,067 
1.734% 7/22/27 (b) 765,000 758,089 
3.124% 1/20/23 (b) 20,000,000 20,067,090 
Bank of Montreal:   
3 month U.S. LIBOR + 0.570% 0.7023% 3/26/22 (b)(c) 5,000,000 5,008,661 
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.260% 0.3141% 9/15/23 (b)(c) 10,000,000 9,996,961 
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.270% 0.3186% 4/14/23 (b)(c) 8,000,000 8,007,760 
Bank of Nova Scotia:   
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.000% 0.3091% 9/15/23 (b)(c) 5,000,000 4,989,757 
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.380% 0.43% 7/31/24 (b)(c) 5,000,000 4,997,614 
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.440% 0.4935% 4/15/24 (b)(c) 10,000,000 10,017,000 
Banque Federative du Credit Mutuel SA:   
0.65% 2/27/24 (a) 860,000 851,933 
0.998% 2/4/25 (a) 1,145,000 1,133,536 
2.125% 11/21/22 (a) 4,457,000 4,523,858 
Barclays Bank PLC 1.7% 5/12/22 650,000 652,809 
Barclays PLC:   
4.338% 5/16/24 (b) 660,000 691,049 
4.61% 2/15/23 (b) 15,000,000 15,116,009 
BNP Paribas SA 3.5% 3/1/23 (a) 10,000,000 10,334,637 
BPCE SA:   
3 month U.S. LIBOR + 0.300% 0.4268% 1/14/22 (a)(b)(c) 5,000,000 5,001,412 
3 month U.S. LIBOR + 1.220% 1.3796% 5/22/22 (a)(b)(c) 1,605,000 1,613,291 
3% 5/22/22 (a) 5,508,000 5,572,851 
5.7% 10/22/23 (a) 2,710,000 2,930,078 
Canadian Imperial Bank of Commerce:   
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.340% 0.389% 6/22/23 (b)(c) 5,885,000 5,891,186 
0.95% 6/23/23 7,200,000 7,219,051 
Capital One Bank NA 2.014% 1/27/23 (b) 7,000,000 7,013,010 
Citigroup, Inc.:   
0.981% 5/1/25 (b) 880,000 874,148 
2.7% 10/27/22 15,130,000 15,403,002 
Credit Agricole SA 3 month U.S. LIBOR + 1.020% 1.1439% 4/24/23 (a)(b)(c) 675,000 681,990 
Credit Suisse Group Funding Guernsey Ltd. 3.8% 9/15/22 10,000,000 10,245,935 
Danske Bank A/S:   
1.226% 6/22/24 (a) 1,610,000 1,613,724 
5% 1/12/22 (a) 1,050,000 1,055,196 
5.375% 1/12/24 (a) 775,000 838,129 
Federation des caisses Desjardin U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.430% 0.48% 5/21/24 (a)(b)(c) 5,316,000 5,312,013 
Fifth Third Bancorp 1.625% 5/5/23 10,625,000 10,748,807 
First Niagara Financial Group, Inc. 7.25% 12/15/21 515,000 516,226 
First Republic Bank 2.5% 6/6/22 6,050,000 6,104,394 
HSBC Holdings PLC:   
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.580% 0.63% 11/22/24 (b)(c) 10,000,000 10,000,000 
0.976% 5/24/25 (b) 245,000 242,242 
1.162% 11/22/24 (b) 750,000 748,815 
1.645% 4/18/26 (b) 850,000 846,085 
2.099% 6/4/26 (b) 645,000 649,039 
3.262% 3/13/23 (b) 15,300,000 15,407,618 
3.803% 3/11/25 (b) 425,000 447,473 
ING Groep NV 3 month U.S. LIBOR + 1.150% 1.2818% 3/29/22 (b)(c) 735,000 737,404 
Intesa Sanpaolo SpA 3.125% 7/14/22 (a) 7,500,000 7,607,065 
JPMorgan Chase & Co.:   
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.530% 0.585% 6/1/25 (b)(c) 10,000,000 10,018,855 
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.580% 0.6291% 3/16/24 (b)(c) 5,000,000 5,018,289 
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.880% 0.9338% 4/22/27 (b)(c) 380,000 384,588 
0.824% 6/1/25 (b) 965,000 953,475 
2.083% 4/22/26 (b) 1,870,000 1,901,908 
2.776% 4/25/23 (b) 5,200,000 5,242,138 
KeyBank NA:   
3 month U.S. LIBOR + 0.660% 0.7916% 2/1/22 (b)(c) 8,128,000 8,135,787 
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.320% 0.37% 6/14/24 (b)(c) 10,000,000 9,986,724 
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.340% 0.39% 1/3/24 (b)(c) 6,000,000 6,001,320 
Lloyds Banking Group PLC:   
0.695% 5/11/24 (b) 2,698,000 2,688,355 
1.326% 6/15/23 (b) 1,803,000 1,807,723 
3% 1/11/22 5,000,000 5,013,850 
4.5% 11/4/24 480,000 517,751 
Mitsubishi UFJ Financial Group, Inc.:   
3 month U.S. LIBOR + 0.700% 0.8155% 3/7/22 (b)(c) 10,000,000 10,016,626 
3 month U.S. LIBOR + 0.740% 0.8596% 3/2/23 (b)(c) 1,623,000 1,632,850 
3 month U.S. LIBOR + 0.920% 1.0796% 2/22/22 (b)(c) 840,000 841,091 
0.953% 7/19/25 (b) 1,660,000 1,643,412 
2.623% 7/18/22 7,441,000 7,541,052 
3.218% 3/7/22 1,090,000 1,098,234 
Mizuho Financial Group Cayman 2 Ltd. 4.2% 7/18/22 (Reg. S) 1,625,000 1,663,838 
Mizuho Financial Group, Inc.:   
3 month U.S. LIBOR + 0.850% 0.9641% 9/13/23 (b)(c) 10,000,000 10,042,529 
3 month U.S. LIBOR + 0.940% 1.1156% 2/28/22 (b)(c) 5,000,000 5,009,950 
National Bank of Canada 0.9% 8/15/23 (b) 7,000,000 7,010,226 
NatWest Group PLC 3.875% 9/12/23 1,085,000 1,134,199 
NatWest Markets PLC:   
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.530% 0.58% 8/12/24 (a)(b)(c) 5,905,000 5,913,031 
0.8% 8/12/24 (a) 370,000 364,993 
2.375% 5/21/23 (a) 1,525,000 1,558,885 
3.625% 9/29/22 (a) 5,000,000 5,129,571 
PNC Bank NA:   
1.743% 2/24/23 (b) 4,078,000 4,088,220 
2.028% 12/9/22 (b) 7,000,000 7,002,023 
QNB Finance Ltd.:   
2.625% 5/12/25 (Reg. S) 500,000 513,750 
3.5% 3/28/24 (Reg. S) 1,000,000 1,048,750 
Rabobank Nederland 3.95% 11/9/22 11,630,000 11,964,220 
Rabobank Nederland New York Branch 3 month U.S. LIBOR + 0.830% 0.9511% 1/10/22 (b)(c) 5,000,000 5,004,140 
Royal Bank of Canada U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.450% 0.4997% 10/26/23 (b)(c) 15,000,000 15,062,925 
Santander Holdings U.S.A., Inc. 4.45% 12/3/21 7,000,000 7,000,770 
Societe Generale 2.625% 10/16/24 (a) 365,000 375,955 
Standard Chartered PLC:   
3 month U.S. LIBOR + 1.150% 1.2815% 1/20/23 (a)(b)(c) 910,000 910,955 
0.991% 1/12/25 (a)(b) 375,000 371,086 
1.214% 3/23/25 (a)(b) 200,000 198,860 
1.319% 10/14/23 (a)(b) 200,000 200,453 
1.822% 11/23/25 (a)(b) 475,000 475,035 
3.885% 3/15/24 (a)(b) 365,000 377,270 
3.95% 1/11/23 (a) 1,245,000 1,279,845 
Svenska Handelsbanken AB:   
0.55% 6/11/24 (a) 720,000 711,427 
1.418% 6/11/27 (a)(b) 695,000 683,845 
Swedbank AB:   
0.6% 9/25/23 (a) 500,000 498,039 
1.3% 6/2/23 (a) 1,150,000 1,160,129 
Synchrony Bank 3% 6/15/22 10,395,000 10,511,625 
Synovus Bank 2.289% 2/10/23 (b) 1,237,000 1,239,386 
Synovus Financial Corp. 3.125% 11/1/22 5,000,000 5,080,803 
The Toronto-Dominion Bank:   
3 month U.S. LIBOR + 0.530% 0.6499% 12/1/22 (b)(c) 5,000,000 5,025,524 
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.220% 0.2692% 6/2/23 (b)(c) 10,000,000 10,001,650 
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.480% 0.5297% 1/27/23 (b)(c) 5,000,000 5,017,055 
0.25% 1/6/23 4,000,000 3,985,625 
0.55% 3/4/24 1,790,000 1,775,267 
0.7% 9/10/24 1,430,000 1,415,404 
Truist Bank U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.200% 0.2491% 1/17/24 (b)(c) 10,000,000 9,995,100 
Truist Financial Corp. U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.400% 0.4492% 6/9/25 (b)(c) 10,710,000 10,679,701 
U.S. Bancorp 3% 3/15/22 1,530,000 1,538,441 
UniCredit SpA 3.75% 4/12/22 (a) 1,740,000 1,759,053 
Wells Fargo & Co.:   
1.654% 6/2/24 (b) 5,935,000 5,997,252 
2.188% 4/30/26 (b) 840,000 857,724 
3.5% 3/8/22 123,000 124,031 
  495,005,956 
Capital Markets - 2.6%   
Credit Suisse AG:   
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.380% 0.43% 8/9/23 (b)(c) 5,000,000 4,996,606 
0.495% 2/2/24 810,000 801,771 
1% 5/5/23 6,590,000 6,610,201 
2.8% 4/8/22 2,340,000 2,359,538 
Credit Suisse Group AG:   
2.997% 12/14/23 (a)(b) 250,000 254,786 
3.574% 1/9/23 (a) 650,000 651,803 
Deutsche Bank AG New York Branch:   
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.500% 0.55% 11/8/23 (b)(c) 10,000,000 9,987,900 
2.222% 9/18/24 (b) 10,000,000 10,142,131 
3.3% 11/16/22 7,072,000 7,241,169 
E*TRADE Financial Corp. 2.95% 8/24/22 8,277,000 8,408,839 
Goldman Sachs Group, Inc.:   
3 month U.S. LIBOR + 0.750% 0.914% 2/23/23 (b)(c) 5,000,000 5,024,930 
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.540% 0.59% 11/17/23 (b)(c) 10,000,000 9,991,580 
0.523% 3/8/23 3,300,000 3,289,294 
0.657% 9/10/24 (b) 725,000 719,391 
0.673% 3/8/24 (b) 1,180,000 1,175,633 
0.925% 10/21/24 (b) 555,000 552,952 
2.905% 7/24/23 (b) 10,000,000 10,129,816 
2.908% 6/5/23 (b) 11,000,000 11,116,709 
3.5% 4/1/25 1,005,000 1,065,682 
5.75% 1/24/22 1,800,000 1,813,861 
Moody's Corp. 4.5% 9/1/22 5,000,000 5,098,305 
Morgan Stanley:   
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.700% 0.7488% 1/20/23 (b)(c) 5,000,000 5,003,250 
0.529% 1/25/24 (b) 3,994,000 3,978,300 
0.56% 11/10/23 (b) 6,170,000 6,151,165 
0.731% 4/5/24 (b) 985,000 982,486 
1.164% 10/21/25 (b) 785,000 778,753 
2.75% 5/19/22 1,095,000 1,106,422 
3.737% 4/24/24 (b) 5,000,000 5,187,756 
4.1% 5/22/23 275,000 287,448 
4.875% 11/1/22 8,160,000 8,468,184 
NASDAQ, Inc. 0.445% 12/21/22 2,417,000 2,411,460 
State Street Corp. 2.825% 3/30/23 (b) 330,000 332,406 
UBS AG London Branch:   
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.360% 0.41% 2/9/24 (a)(b)(c) 10,000,000 10,024,170 
1.75% 4/21/22 (a) 7,000,000 7,029,897 
UBS Group AG:   
1.008% 7/30/24 (a)(b) 7,118,000 7,113,636 
1.494% 8/10/27 (a)(b) 375,000 366,788 
3.491% 5/23/23 (a) 5,000,000 5,065,518 
  165,720,536 
Consumer Finance - 1.1%   
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust:   
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.680% 0.73% 9/29/23 (b)(c) 9,823,000 9,814,847 
1.65% 10/29/24 1,365,000 1,362,538 
3.95% 2/1/22 1,070,000 1,072,805 
4.125% 7/3/23 1,025,000 1,068,861 
4.5% 9/15/23 1,095,000 1,153,442 
4.875% 1/16/24 490,000 523,579 
American Express Co.:   
2.65% 12/2/22 9,500,000 9,705,670 
2.75% 5/20/22 5,000,000 5,045,447 
Capital One Financial Corp.:   
3.2% 1/30/23 8,016,000 8,233,664 
3.5% 6/15/23 555,000 576,674 
3.9% 1/29/24 505,000 532,958 
Discover Financial Services 3.85% 11/21/22 3,500,000 3,605,359 
Hyundai Capital America:   
0.8% 1/8/24 (a) 660,000 654,544 
0.875% 6/14/24 (a) 535,000 528,541 
1% 9/17/24 (a) 445,000 439,123 
2.375% 2/10/23 (a) 1,925,000 1,956,808 
2.85% 11/1/22 (a) 511,000 520,610 
3% 6/20/22 (a) 1,060,000 1,071,775 
3.95% 2/1/22 (a) 1,315,000 1,321,947 
LeasePlan Corp. NV 2.875% 10/24/24 (a) 750,000 777,618 
Synchrony Financial:   
2.85% 7/25/22 3,758,000 3,808,225 
4.25% 8/15/24 1,960,000 2,086,607 
Toyota Motor Credit Corp.:   
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.300% 0.35% 6/13/22 (b)(c) 5,450,000 5,454,988 
0.45% 7/22/22 7,207,000 7,202,806 
  68,519,436 
Diversified Financial Services - 0.3%   
Athene Global Funding:   
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.700% 0.75% 5/24/24 (a)(b)(c) 8,000,000 8,010,776 
0.95% 1/8/24 (a) 3,469,000 3,457,590 
BP Capital Markets America, Inc. 2.937% 4/6/23 1,035,000 1,064,749 
Jackson Financial, Inc. 1.125% 11/22/23 (a) 5,631,000 5,627,849 
LSEGA Financing PLC 0.65% 4/6/24 (a) 1,355,000 1,341,155 
Park Aerospace Holdings Ltd.:   
4.5% 3/15/23 (a) 660,000 684,110 
5.25% 8/15/22 (a) 880,000 902,716 
  21,088,945 
Insurance - 1.5%   
ACE INA Holdings, Inc. 2.875% 11/3/22 2,500,000 2,542,007 
American International Group, Inc. 2.5% 6/30/25 1,000,000 1,034,713 
Aon Corp. 2.2% 11/15/22 1,592,000 1,616,101 
Brighthouse Financial Global Funding:   
0.6% 6/28/23 (a) 845,000 842,155 
1% 4/12/24 (a) 855,000 850,761 
CNO Global Funding 1.75% 10/7/26 (a) 850,000 842,444 
Equitable Financial Life Global Funding:   
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.390% 0.438% 4/6/23 (a)(b)(c) 10,000,000 10,014,980 
0.5% 4/6/23 (a) 2,010,000 2,005,234 
0.5% 11/17/23 (a) 5,000,000 4,960,551 
1.1% 11/12/24 (a) 780,000 773,759 
Health Care Service Corp. 1.5% 6/1/25 (a) 1,375,000 1,381,928 
Lincoln National Corp. 4% 9/1/23 270,000 284,250 
MassMutual Global Funding II 0.85% 6/9/23 (a) 10,000,000 10,025,872 
Metropolitan Life Global Funding I:   
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.570% 0.6187% 1/13/23 (a)(b)(c) 6,940,000 6,970,536 
0.9% 6/8/23 (a) 4,918,000 4,935,513 
Metropolitan Tower Global Funding:   
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.550% 0.5985% 1/17/23 (a)(b)(c) 5,000,000 5,016,016 
0.55% 7/13/22 (a) 6,000,000 6,002,514 
New York Life Global Funding:   
3 month U.S. LIBOR + 0.280% 0.4011% 1/10/23 (a)(b)(c) 6,945,000 6,960,307 
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.220% 0.27% 2/2/23 (a)(b)(c) 10,000,000 10,004,740 
1.1% 5/5/23 (a) 725,000 730,304 
Northwestern Mutual Global Funding U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.330% 0.3788% 3/25/24 (a)(b)(c) 4,063,000 4,073,486 
Pacific Life Global Funding II U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.380% 0.4278% 4/12/24 (a)(b)(c) 10,000,000 10,014,367 
Principal Life Global Funding II:   
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.450% 0.4987% 4/12/24 (a)(b)(c) 1,763,000 1,770,572 
0.75% 4/12/24 (a) 930,000 922,173 
Trinity Acquisition PLC 4.625% 8/15/23 1,054,000 1,111,202 
  95,686,485 
Thrifts & Mortgage Finance - 0.0%   
Crown Castle Towers LLC/Crown Atlantic Holdings Sub LLC/Crown Communication, Inc. 3.72% 7/15/43 (a) 370,000 375,437 
Nationwide Building Society:   
3.622% 4/26/23 (a)(b) 1,035,000 1,046,532 
3.766% 3/8/24 (a)(b) 500,000 517,189 
  1,939,158 
TOTAL FINANCIALS  847,960,516 
HEALTH CARE - 1.5%   
Biotechnology - 0.4%   
AbbVie, Inc.:   
3 month U.S. LIBOR + 0.650% 0.8096% 11/21/22 (b)(c) 7,100,000 7,135,420 
2.6% 11/21/24 3,500,000 3,628,104 
2.9% 11/6/22 5,000,000 5,100,453 
2.95% 11/21/26 90,000 94,718 
3.2% 11/6/22 170,000 173,208 
3.2% 5/14/26 175,000 185,090 
3.25% 10/1/22 5,850,000 5,939,920 
3.45% 3/15/22 615,000 617,138 
Baxalta, Inc. 3.6% 6/23/22 265,000 268,056 
Gilead Sciences, Inc. 0.75% 9/29/23 1,553,000 1,547,826 
  24,689,933 
Health Care Equipment & Supplies - 0.0%   
Baxter International, Inc. 0.868% 12/1/23 (a)(d) 1,460,000 1,453,164 
Becton, Dickinson & Co.:   
3.363% 6/6/24 551,000 578,044 
3.734% 12/15/24 128,000 136,559 
Stryker Corp. 0.6% 12/1/23 325,000 322,221 
  2,489,988 
Health Care Providers & Services - 0.4%   
Aetna, Inc. 2.8% 6/15/23 885,000 907,962 
AmerisourceBergen Corp. 0.737% 3/15/23 1,855,000 1,853,159 
Anthem, Inc.:   
0.45% 3/15/23 4,094,000 4,076,574 
2.375% 1/15/25 410,000 421,953 
Cardinal Health, Inc.:   
3.079% 6/15/24 695,000 724,071 
3.2% 3/15/23 875,000 899,727 
3.5% 11/15/24 1,180,000 1,250,353 
Cigna Corp.:   
0.613% 3/15/24 6,302,000 6,226,137 
3% 7/15/23 715,000 737,299 
3.05% 11/30/22 1,729,000 1,768,255 
3.75% 7/15/23 401,000 418,402 
CommonSpirit Health 1.547% 10/1/25 670,000 666,462 
CVS Health Corp.:   
2.625% 8/15/24 335,000 346,446 
3.7% 3/9/23 369,000 381,612 
Humana, Inc.:   
0.65% 8/3/23 4,706,000 4,680,675 
1.35% 2/3/27 120,000 116,326 
2.9% 12/15/22 160,000 163,474 
3.15% 12/1/22 315,000 321,124 
3.85% 10/1/24 745,000 794,445 
4.5% 4/1/25 1,205,000 1,317,735 
PeaceHealth Obligated Group 1.375% 11/15/25 190,000 189,264 
  28,261,455 
Life Sciences Tools & Services - 0.3%   
PerkinElmer, Inc.:   
0.55% 9/15/23 10,675,000 10,601,250 
0.85% 9/15/24 1,290,000 1,269,326 
Thermo Fisher Scientific, Inc.:   
0.5788% 10/18/24 (b) 2,411,000 2,414,292 
0.797% 10/18/23 1,865,000 1,859,246 
4.133% 3/25/25 385,000 416,773 
  16,560,887 
Pharmaceuticals - 0.4%   
AstraZeneca Finance LLC:   
0.7% 5/28/24 995,000 984,935 
1.2% 5/28/26 1,390,000 1,372,062 
AstraZeneca PLC:   
0.3% 5/26/23 1,425,000 1,417,534 
3.5% 8/17/23 365,000 381,428 
Bristol-Myers Squibb Co. 3.25% 2/20/23 178,000 183,274 
EMD Finance LLC 2.95% 3/19/22 (a) 430,000 431,380 
Perrigo Finance PLC 3.9% 12/15/24 3,240,000 3,412,780 
Royalty Pharma PLC 0.75% 9/2/23 870,000 865,162 
Shire Acquisitions Investments Ireland DAC 2.875% 9/23/23 1,845,000 1,903,844 
Viatris, Inc. 1.125% 6/22/22 13,114,000 13,133,637 
  24,086,036 
TOTAL HEALTH CARE  96,088,299 
INDUSTRIALS - 1.3%   
Aerospace & Defense - 0.1%   
DAE Funding LLC 1.55% 8/1/24 (a) 465,000 456,863 
The Boeing Co. 1.167% 2/4/23 2,790,000 2,791,043 
  3,247,906 
Airlines - 0.0%   
American Airlines 2017-2 Class B Pass Through Trust equipment trust certificate 3.7% 4/15/27 503,980 486,730 
United Airlines 2019-2 Class B Pass Through Trust equipment trust certificate 3.5% 11/1/29 342,590 337,452 
  824,182 
Building Products - 0.0%   
Carrier Global Corp. 2.242% 2/15/25 1,860,000 1,901,679 
Commercial Services & Supplies - 0.0%   
HPHT Finance 19 Ltd. 2.875% 11/5/24 (Reg. S) 400,000 416,112 
Republic Services, Inc. 2.5% 8/15/24 880,000 908,400 
  1,324,512 
Construction & Engineering - 0.0%   
Yongda Investment Ltd. 2.25% 6/16/25 (Reg. S) 944,000 940,913 
Industrial Conglomerates - 0.4%   
Honeywell International, Inc. 3 month U.S. LIBOR + 0.370% 0.5144% 8/8/22 (b)(c) 9,078,000 9,089,874 
Roper Technologies, Inc.:   
0.45% 8/15/22 205,000 204,815 
1% 9/15/25 235,000 229,503 
2.35% 9/15/24 365,000 375,602 
3.125% 11/15/22 1,505,000 1,531,149 
3.65% 9/15/23 270,000 282,083 
Siemens Financieringsmaatschappij NV:   
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.430% 0.4792% 3/11/24 (a)(b)(c) 10,290,000 10,322,475 
0.65% 3/11/24 (a) 690,000 685,814 
  22,721,315 
Machinery - 0.3%   
Caterpillar Financial Services Corp.:   
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.150% 0.2% 11/17/22 (b)(c) 5,000,000 4,997,123 
0.25% 3/1/23 10,000,000 9,958,012 
Otis Worldwide Corp. 3 month U.S. LIBOR + 0.450% 0.5831% 4/5/23 (b)(c) 3,299,000 3,299,168 
  18,254,303 
Professional Services - 0.0%   
Equifax, Inc. 3.95% 6/15/23 1,090,000 1,138,210 
IHS Markit Ltd. 3.625% 5/1/24 985,000 1,031,689 
  2,169,899 
Road & Rail - 0.2%   
Canadian Pacific Railway Co.:   
1.35% 12/2/24 (d) 7,739,000 7,731,903 
1.75% 12/2/26 (d) 580,000 580,326 
Eastern Creation II Investment Holdings Ltd. 1% 9/10/23 (Reg. S) 1,670,000 1,662,485 
Guangzhou Metro Investment Finance (BVI) Ltd. 1.507% 9/17/25 (Reg. S) 1,300,000 1,274,299 
Penske Truck Leasing Co. LP:   
2.7% 3/14/23 (a) 1,556,000 1,589,289 
4.25% 1/17/23 (a) 285,000 295,594 
SMBC Aviation Capital Finance:   
3.55% 4/15/24 (a) 815,000 854,842 
4.125% 7/15/23 (a) 900,000 942,279 
  14,931,017 
Trading Companies & Distributors - 0.2%   
Air Lease Corp.:   
2.25% 1/15/23 3,810,000 3,869,120 
3.5% 1/15/22 5,560,000 5,579,935 
GATX Corp.:   
3.9% 3/30/23 820,000 851,220 
4.35% 2/15/24 965,000 1,028,201 
  11,328,476 
Transportation Infrastructure - 0.1%   
Avolon Holdings Funding Ltd.:   
2.125% 2/21/26 (a) 1,035,000 1,013,346 
2.875% 2/15/25 (a) 980,000 1,000,985 
3.625% 5/1/22 (a) 1,560,000 1,575,233 
3.95% 7/1/24 (a) 265,000 277,746 
HPHT Finance 17 Ltd. 2.75% 9/11/22 (Reg. S) 1,650,000 1,669,554 
Sydney Airport Finance Co. Property Ltd. 3.9% 3/22/23 (a) 1,133,000 1,174,932 
  6,711,796 
TOTAL INDUSTRIALS  84,355,998 
INFORMATION TECHNOLOGY - 0.6%   
Electronic Equipment & Components - 0.0%   
Amphenol Corp. 2.05% 3/1/25 910,000 933,550 
Avnet, Inc. 4.875% 12/1/22 325,000 337,755 
  1,271,305 
IT Services - 0.3%   
CDW LLC/CDW Finance Corp. 5.5% 12/1/24 320,000 348,414 
Fidelity National Information Services, Inc.:   
0.375% 3/1/23 1,160,000 1,154,761 
0.6% 3/1/24 555,000 548,231 
Global Payments, Inc. 2.65% 2/15/25 800,000 824,196 
HCL America, Inc. 1.375% 3/10/26 (a) 1,800,000 1,763,213 
IBM Corp. 2.85% 5/13/22 10,000,000 10,111,539 
PayPal Holdings, Inc. 1.35% 6/1/23 2,224,000 2,247,177 
The Western Union Co. 2.85% 1/10/25 1,280,000 1,331,012 
  18,328,543 
Semiconductors & Semiconductor Equipment - 0.2%   
Analog Devices, Inc.:   
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.000% 0.2988% 10/1/24 (b)(c) 2,353,000 2,356,977 
2.95% 4/1/25 295,000 311,573 
Marvell Technology, Inc. 4.2% 6/22/23 (a) 1,050,000 1,097,358 
Microchip Technology, Inc.:   
0.972% 2/15/24 (a) 1,165,000 1,154,283 
0.983% 9/1/24 (a) 970,000 955,987 
2.67% 9/1/23 1,110,000 1,138,872 
NXP BV/NXP Funding LLC:   
3.875% 9/1/22 (a) 1,355,000 1,384,117 
4.625% 6/1/23 (a) 2,745,000 2,886,875 
4.875% 3/1/24 (a) 560,000 602,207 
NXP BV/NXP Funding LLC/NXP U.S.A., Inc. 2.7% 5/1/25 (a) 205,000 212,272 
Skyworks Solutions, Inc. 0.9% 6/1/23 305,000 304,001 
  12,404,522 
Software - 0.1%   
Fortinet, Inc. 1% 3/15/26 675,000 656,789 
Oracle Corp. 2.4% 9/15/23 1,280,000 1,308,485 
VMware, Inc. 0.6% 8/15/23 4,644,000 4,616,544 
  6,581,818 
Technology Hardware, Storage & Peripherals - 0.0%   
Hewlett Packard Enterprise Co. 4.4% 10/15/22 (b) 3,269,000 3,355,059 
TOTAL INFORMATION TECHNOLOGY  41,941,247 
MATERIALS - 0.1%   
Chemicals - 0.0%   
Cytec Industries, Inc. 3.5% 4/1/23 919,000 942,073 
International Flavors & Fragrances, Inc. 0.697% 9/15/22 (a) 582,000 582,333 
LYB International Finance III LLC 1.25% 10/1/25 705,000 696,044 
Westlake Chemical Corp. 0.875% 8/15/24 180,000 178,191 
  2,398,641 
Construction Materials - 0.0%   
Boral Finance Pty Ltd. 3% 11/1/22 (a) 135,000 136,871 
Martin Marietta Materials, Inc. 0.65% 7/15/23 405,000 403,841 
  540,712 
Metals & Mining - 0.1%   
ArcelorMittal SA 3.6% 7/16/24 390,000 408,608 
Nucor Corp. 2% 6/1/25 350,000 355,652 
POSCO 2.375% 1/17/23 (a) 1,870,000 1,898,106 
  2,662,366 
Paper & Forest Products - 0.0%   
Celulosa Arauco y Constitucion SA 4.5% 8/1/24 635,000 674,386 
TOTAL MATERIALS  6,276,105 
REAL ESTATE - 0.1%   
Equity Real Estate Investment Trusts (REITs) - 0.1%   
American Campus Communities Operating Partnership LP 3.75% 4/15/23 1,449,000 1,494,322 
Crown Castle International Corp. 1.05% 7/15/26 1,005,000 970,193 
Highwoods/Forsyth LP 3.625% 1/15/23 1,620,000 1,654,313 
Public Storage U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.470% 0.5193% 4/23/24 (b)(c) 495,000 495,337 
Simon Property Group LP:   
2% 9/13/24 380,000 387,858 
3.375% 10/1/24 985,000 1,041,732 
  6,043,755 
UTILITIES - 1.7%   
Electric Utilities - 1.2%   
American Electric Power Co., Inc. 3.65% 12/1/21 180,000 180,000 
Cleco Power LLC 3 month U.S. LIBOR + 0.500% 0.6158% 6/15/23 (a)(b)(c) 3,377,000 3,376,013 
Duke Energy Corp. U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.250% 0.2992% 6/10/23 (b)(c) 3,003,000 3,001,474 
Edison International:   
2.95% 3/15/23 455,000 463,042 
3.125% 11/15/22 650,000 660,857 
ENEL Finance International NV:   
1.375% 7/12/26 (a) 1,105,000 1,082,190 
2.65% 9/10/24 (a) 1,375,000 1,421,592 
Eversource Energy U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.250% 0.3% 8/15/23 (b)(c) 5,000,000 4,993,300 
FirstEnergy Corp. 3.35% 7/15/22 885,000 888,761 
Florida Power & Light Co. U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.250% 0.3% 5/10/23 (b)(c) 3,574,000 3,571,716 
Israel Electric Corp. Ltd. 5% 11/12/24 (Reg. S) (a) 1,365,000 1,486,294 
Korea Hydro & Nuclear Power Co. Ltd. 1.25% 4/27/26 (a) 1,421,000 1,403,785 
Mississippi Power Co. U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.300% 0.349% 6/28/24 (b)(c) 5,297,000 5,265,072 
NextEra Energy Capital Holdings, Inc.:   
3 month U.S. LIBOR + 0.270% 0.4296% 2/22/23 (b)(c) 10,000,000 9,983,800 
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.000% 0.45% 11/3/23 (b)(c) 6,000,000 5,989,290 
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.540% 0.59% 3/1/23 (b)(c) 3,472,000 3,481,961 
NRG Energy, Inc. 3.75% 6/15/24 (a) 535,000 558,770 
Pacific Gas & Electric Co.:   
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 1.150% 1.2% 11/14/22 (b)(c) 180,000 180,172 
1.75% 6/16/22 6,280,000 6,276,094 
3.5% 6/15/25 955,000 989,544 
PPL Electric Utilities Corp.:   
3 month U.S. LIBOR + 0.250% 0.3823% 9/28/23 (b)(c) 1,780,000 1,780,005 
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.330% 0.379% 6/24/24 (b)(c) 4,059,000 4,058,476 
Sinosing Services Pte Ltd. 2.25% 2/20/25 (Reg. S) 2,200,000 2,213,464 
Southern California Edison Co.:   
3 month U.S. LIBOR + 0.270% 0.3889% 12/3/21 (b)(c) 2,687,000 2,687,004 
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.640% 0.6889% 4/3/23 (b)(c) 5,000,000 5,006,076 
Southern Co.:   
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.370% 0.42% 5/10/23 (b)(c) 3,257,000 3,251,691 
0.6% 2/26/24 2,230,000 2,201,003 
Vistra Operations Co. LLC 3.55% 7/15/24 (a) 3,435,000 3,561,077 
  80,012,523 
Gas Utilities - 0.2%   
APT Pipelines Ltd. 4.2% 3/23/25 (a) 1,645,000 1,770,090 
Atmos Energy Corp. 3 month U.S. LIBOR + 0.380% 0.496% 3/9/23 (b)(c) 2,617,000 2,617,179 
CenterPoint Energy Resources Corp. 3 month U.S. LIBOR + 0.500% 0.6196% 3/2/23 (b)(c) 3,494,000 3,488,469 
ONE Gas, Inc. 3 month U.S. LIBOR + 0.610% 0.7241% 3/11/23 (b)(c) 2,500,000 2,500,046 
  10,375,784 
Independent Power and Renewable Electricity Producers - 0.1%   
Alexander Funding Trust 1.841% 11/15/23 (a) 920,000 929,118 
Hero Asia Investment Ltd. 1.5% 11/18/23 (Reg. S) 1,650,000 1,643,836 
The AES Corp. 3.3% 7/15/25 (a) 820,000 857,786 
  3,430,740 
Multi-Utilities - 0.2%   
CenterPoint Energy, Inc. U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.650% 0.7% 5/13/24 (b)(c) 2,893,000 2,892,855 
Dominion Energy, Inc. 3 month U.S. LIBOR + 0.530% 0.646% 9/15/23 (b)(c) 2,327,000 2,327,538 
DTE Energy Co. 0.55% 11/1/22 5,000,000 4,991,647 
Puget Energy, Inc. 5.625% 7/15/22 5,000,000 5,092,697 
San Diego Gas & Electric Co. 1.914% 2/1/22 34,289 34,354 
Sempra Energy 2.875% 10/1/22 535,000 542,701 
  15,881,792 
TOTAL UTILITIES  109,700,839 
TOTAL NONCONVERTIBLE BONDS   
(Cost $1,469,579,761)  1,472,663,087 
U.S. Government and Government Agency Obligations - 3.1%   
U.S. Government Agency Obligations - 0.3%   
Fannie Mae U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.180% 0.23% 7/8/22 (b)(c) 20,000,000 20,020,301 
U.S. Treasury Inflation-Protected Obligations - 0.1%   
U.S. Treasury Inflation-Indexed Notes 0.625% 4/15/23 3,989,666 4,207,041 
U.S. Treasury Obligations - 2.7%   
U.S. Treasury Notes:   
0.125% 1/31/23 $18,625,000 $18,582,803 
0.125% 4/30/23 (e) 28,965,000 28,856,381 
0.125% 5/31/23 3,860,000 3,843,113 
0.125% 6/30/23 31,945,000 31,794,010 
0.125% 7/31/23 7,205,000 7,164,753 
0.125% 8/31/23 1,820,000 1,808,767 
0.25% 9/30/23 20,000,000 19,908,594 
0.375% 3/31/22 30,000,000 30,029,757 
0.375% 10/31/23 32,000,000 31,912,500 
0.5% 11/30/23 3,425,000 3,421,388 
TOTAL U.S. TREASURY OBLIGATIONS  177,322,066 
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS   
(Cost $201,500,217)  201,549,408 
U.S. Government Agency - Mortgage Securities - 0.4%   
Fannie Mae - 0.2%   
12 month U.S. LIBOR + 1.560% 1.841% 7/1/35 (b)(c) 3,518 3,693 
12 month U.S. LIBOR + 1.590% 1.926% 12/1/35 (b)(c) 5,228 5,494 
12 month U.S. LIBOR + 1.650% 1.905% 8/1/37 (b)(c) 1,517 1,596 
12 month U.S. LIBOR + 1.690% 1.94% 5/1/38 (b)(c) 21,422 22,563 
12 month U.S. LIBOR + 1.780% 2.163% 5/1/38 (b)(c) 2,518 2,645 
12 month U.S. LIBOR + 1.830% 2.098% 4/1/38 (b)(c) 14,014 14,763 
12 month U.S. LIBOR + 1.850% 2.103% 8/1/38 (b)(c) 7,526 7,964 
12 month U.S. LIBOR + 1.880% 2.191% 5/1/38 (b)(c) 8,325 8,771 
12 month U.S. LIBOR + 2.040% 2.415% 12/1/36 (b)(c) 1,239 1,310 
6 month U.S. LIBOR + 1.360% 1.492% 10/1/33 (b)(c) 25,540 26,427 
2% 11/1/51 284,244 284,692 
2.5% 10/1/51 276,878 283,996 
3% 9/1/28 to 11/1/51 (d) 4,160,519 4,349,698 
3.5% 11/1/26 to 7/1/50 1,000,036 1,055,880 
4% 1/1/47 to 12/1/49 415,343 446,261 
4.5% 8/1/24 to 1/1/50 2,114,340 2,280,661 
5% 3/1/23 to 7/1/45 1,025,835 1,140,446 
5.5% 5/1/22 to 5/1/40 1,350,534 1,545,988 
6% to 6% 1/1/22 to 2/1/49 1,329,137 1,540,623 
6.5% 7/1/32 to 12/1/32 63,954 73,761 
TOTAL FANNIE MAE  13,097,232 
Freddie Mac - 0.1%   
12 month U.S. LIBOR + 1.620% 1.875% 6/1/38 (b)(c) 14,200 14,931 
12 month U.S. LIBOR + 1.620% 1.875% 7/1/38 (b)(c) 22,186 23,276 
12 month U.S. LIBOR + 1.720% 1.976% 7/1/35 (b)(c) 6,449 6,785 
12 month U.S. LIBOR + 1.730% 2.006% 10/1/36 (b)(c) 12,394 13,041 
12 month U.S. LIBOR + 1.730% 2.046% 5/1/38 (b)(c) 5,484 5,786 
12 month U.S. LIBOR + 1.730% 2.108% 2/1/37 (b)(c) 3,021 3,188 
12 month U.S. LIBOR + 1.770% 2.025% 5/1/37 (b)(c) 2,642 2,789 
12 month U.S. LIBOR + 1.830% 2.204% 2/1/37 (b)(c) 2,724 2,883 
12 month U.S. LIBOR + 1.920% 2.307% 12/1/36 (b)(c) 4,932 5,200 
12 month U.S. LIBOR + 2.020% 2.351% 11/1/36 (b)(c) 2,771 2,918 
12 month U.S. LIBOR + 2.080% 2.457% 2/1/38 (b)(c) 11,068 11,760 
12 month U.S. LIBOR + 2.160% 2.537% 2/1/37 (b)(c) 5,301 5,614 
U.S. TREASURY 1 YEAR INDEX + 2.340% 2.472% 11/1/34 (b)(c) 9,869 10,413 
2% 1/1/36 to 9/1/36 1,953,893 2,006,148 
3% 11/1/34 290,427 307,088 
3.5% 12/1/47 843,057 890,457 
4% 12/1/49 175,378 188,637 
4.5% 5/1/50 195,636 211,488 
5% 10/1/22 to 12/1/41 384,860 430,022 
5.5% 4/1/23 to 10/1/38 6,479 6,940 
6% 8/1/22 to 9/1/35 84,116 96,833 
7% 3/1/39 129,308 152,039 
7.5% 6/1/38 127,008 147,218 
TOTAL FREDDIE MAC  4,545,454 
Ginnie Mae - 0.1%   
6% 7/15/36 155,042 176,439 
3.5% 8/20/44 to 11/20/50 3,757,490 3,931,830 
4% 3/20/48 to 8/20/50 812,582 870,343 
4.5% 9/20/40 to 8/20/47 630,826 689,696 
5% 12/20/34 to 5/20/48 745,392 815,823 
5.5% 9/15/45 to 2/20/49 576,328 641,655 
TOTAL GINNIE MAE  7,125,786 
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES   
(Cost $24,550,520)  24,768,472 
Asset-Backed Securities - 6.6%   
Aimco:   
Series 2021-10A Class AR, 3 month U.S. LIBOR + 1.060% 1.1883% 7/22/32 (a)(b)(c) $4,100,000 $4,099,988 
Series 2021-BA Class AR, 3 month U.S. LIBOR + 1.100% 1.2238% 1/15/32 (a)(b)(c) 4,342,000 4,342,282 
Ally Auto Receivables Trust Series 2019-3 Class A4, 1.96% 12/16/24 600,000 609,952 
American Express Credit Account Master Trust Series 2019-3 Class B, 2.2% 4/15/25 740,000 749,317 
AmeriCredit Automobile Receivables Trust:   
Series 2017-3:   
Class C, 2.69% 6/19/23 55,346 55,443 
Class D, 3.18% 7/18/23 1,355,000 1,365,187 
Series 2018-1 Class D, 3.82% 3/18/24 1,645,000 1,688,043 
Series 2019-3 Class B, 2.13% 7/18/25 985,000 995,351 
Series 2020-1:   
Class C, 1.59% 10/20/25 705,000 711,657 
Class D, 1.8% 12/18/25 690,000 697,682 
Series 2020-3 Class C, 1.06% 8/18/26 420,000 419,820 
Series 2021-1:   
Class C, 0.89% 10/19/26 755,000 749,572 
Class D, 1.21% 12/18/26 470,000 463,171 
Series 2021-2:   
Class A2, 0.26% 11/18/24 4,028,961 4,026,579 
Class D, 1.29% 6/18/27 995,000 981,506 
Series 2021-3 Class A2, 0.41% 2/18/25 7,839,000 7,833,223 
Applebee's/IHOP Funding LLC Series 2019-1A Class A2I, 4.194% 6/5/49 (a) 1,613,700 1,634,188 
Arbor Realty Collateralized Loan Obligation Series 2021-FL3 Class A, 1 month U.S. LIBOR + 1.070% 1.1595% 8/15/34 (a)(b)(c) 1,100,000 1,097,592 
Arbor Realty Commercial Real Estate Notes, Ltd. Series 2021-FL4 Class A, 1 month U.S. LIBOR + 1.350% 1.44% 11/15/36 (a)(b)(c) 845,000 845,000 
Ares LII CLO Ltd. Series 2021-52A Class A1R, 3 month U.S. LIBOR + 1.050% 1.1783% 4/22/31 (a)(b)(c) 3,577,000 3,581,156 
Ares LVII CLO Ltd. / Ares LVII CLO LLC Series 2020-57A Class A, 3 month U.S. LIBOR + 1.320% 1.4453% 10/25/31 (a)(b)(c) 895,000 895,261 
ARI Fleet Lease Trust Series 2020-A Class B, 2.06% 11/15/28 (a) 770,000 776,366 
Avis Budget Rental Car Funding (AESOP) LLC:   
Series 2017-1A Class B, 3.41% 9/20/23 (a) 540,000 547,431 
Series 2017-2A Class A, 2.97% 3/20/24 (a) 905,000 927,702 
Series 2018-2A Class C, 4.95% 3/20/25 (a) 430,000 457,061 
Series 2019-1A Class B, 3.7% 3/20/23 (a) 163,333 164,196 
Series 2019-2A Class A, 3.35% 9/22/25 (a) 650,000 684,785 
Series 2020-1A Class A, 2.33% 8/20/26 (a) 540,000 556,593 
Babson CLO Ltd. Series 2013-IA Class AR, 3 month U.S. LIBOR + 0.800% 0.9315% 1/20/28 (a)(b)(c) 838,097 837,470 
Bank of America Credit Card Master Trust Series 2020-A1 Class A1, 0.34% 5/15/26 4,768,000 4,721,930 
Bayview Opportunity Master Fund Trust:   
Series 2017-RT3 Class A, 3.5% 1/28/58 (a)(b) 620,230 623,786 
Series 2017-SPL4 Class A, 3.5% 1/28/55 (a) 187,897 190,568 
Series 2017-SPL5 Class A, 3.5% 6/28/57 (a) 539,567 548,741 
BDS Ltd. / BDS LLC Series 2021-FL10 Class A, 1 month U.S. LIBOR + 1.350% 1.45% 12/18/36 (a)(b)(c) 770,000 769,997 
Blackbird Capital Aircraft Series 2016-1A Class AA, 2.487% 12/16/41 (a)(b) 601,667 603,731 
BlueMountain CLO Ltd. Series 2015-2A Class A1R, 3 month U.S. LIBOR + 0.930% 1.0523% 7/18/27 (a)(b)(c) 533,029 533,173 
BRE Grand Islander Timeshare Issuer Series 2019-A Class A, 3.28% 9/26/33 (a) 198,259 204,693 
Carlyle Global Market Strategies Series 2015-3A Class A1R, 3 month U.S. LIBOR + 1.000% 1.1359% 7/28/28 (a)(b)(c) 424,735 424,783 
CarMax Auto Owner Trust:   
Series 2017-4 Class C, 2.7% 10/16/23 205,000 205,183 
Series 2019-2 Class B, 3.01% 12/16/24 1,935,000 1,990,913 
Series 2020-3 Class A2A, 0.49% 6/15/23 1,055,583 1,055,766 
Series 2020-4:   
Class A2, 0.31% 1/16/24 3,273,929 3,273,774 
Class D, 1.75% 4/15/27 540,000 540,072 
Series 2021-1 Class A3, 0.34% 12/15/25 2,373,000 2,362,039 
Series 2021-2 Class C, 1.34% 2/16/27 545,000 537,684 
Carvana Auto Receivables Trust:   
Series 2021-P2 Class A2, 0.3% 7/10/24 6,185,622 6,185,230 
Series 2021-P3 Class A2, 0.38% 1/10/25 3,044,000 3,038,364 
Cedar Funding Ltd.:   
Series 2021-10A Class AR, 3 month U.S. LIBOR + 1.100% 1.1% 10/20/32 (a)(b)(c) 1,089,000 1,088,546 
Series 2021-14A Class A, 3 month U.S. LIBOR + 1.100% 1.2238% 7/15/33 (a)(b)(c) 5,722,000 5,723,419 
Cent CLO LP Series 2021-21A Class A1R3, 3 month U.S. LIBOR + 0.970% 1.1045% 7/27/30 (a)(b)(c) 4,090,000 4,090,515 
Chesapeake Funding II LLC:   
Series 2018-3A Class A2, 1 month U.S. LIBOR + 0.480% 0.5695% 1/15/31 (a)(b)(c) 783,687 784,809 
Series 2019-1A Class A1, 2.94% 4/15/31 (a) 1,149,654 1,160,089 
Series 2020-1A Class A1, 0.87% 8/16/32 (a) 2,534,823 2,540,207 
Series 2021-1A Class A2, 1 month U.S. LIBOR + 0.230% 0.3195% 4/15/33 (a)(b)(c) 3,153,163 3,155,225 
CIFC Funding Ltd. / CIFC Funding LLC Series 2021-4A Class A, 3 month U.S. LIBOR + 1.050% 1.1738% 7/15/33 (a)(b)(c) 1,360,000 1,360,593 
CIM Trust Series 2020-INV1 Class A2, 2.5% 4/25/50 (a) 248,164 249,869 
CNH Equipment Trust:   
Series 2018-A Class B, 3.47% 10/15/25 380,000 383,413 
Series 2020-A Class A4, 1.51% 4/15/27 590,000 597,458 
Series 2021-C Class A2, 0.33% 1/15/25 4,124,000 4,116,744 
Daimler Trucks Retail Trust Series 2020-1 Class A4, 1.37% 6/15/27 1,820,000 1,827,069 
Dell Equipment Finance Trust:   
Series 2019-2 Class A3, 1.91% 10/22/24 (a) 1,102,454 1,107,799 
Series 2020-2:   
Class A2, 0.47% 10/24/22 (a) 842,402 842,918 
Class A3, 0.57% 10/23/23 (a) 1,915,000 1,914,927 
Series 2021-1 Class A3, 0.43% 5/22/26 (a) 1,601,000 1,594,155 
Series 2021-2 Class A2, 0.33% 12/22/26 (a) 4,976,000 4,959,726 
DLL Securitization Trust Series 2019-MT3 Class A3, 2.08% 2/21/23 (a) 635,854 637,906 
DLLAD LLC Series 2021-1A Class A2, 0.35% 9/20/24 (a) 2,882,000 2,874,584 
DLLMT LLC Series 2021-1A Class A2, 0.6% 3/20/24 (a) 7,674,000 7,666,411 
Donlen Fleet Lease Funding Series 2021-2 Class A1, 1 month U.S. LIBOR + 0.330% 0.4211% 12/11/34 (a)(b)(c) 4,058,000 4,060,505 
Drive Auto Receivables Trust:   
Series 2021-1 Class D, 1.45% 1/16/29 630,000 628,574 
Series 2021-2:   
Class A2, 0.36% 5/15/24 4,100,000 4,098,107 
Class D, 1.39% 3/15/29 785,000 771,601 
Series 2021-3 Class A2, 0.52% 1/15/25 5,000,000 4,998,409 
Dryden CLO, Ltd. / Dryden CLO, LLC Series 2021-86A Class A1R, 3 month U.S. LIBOR + 1.100% 1.2223% 7/17/34 (a)(b)(c) 1,055,000 1,055,169 
Eagle Re Ltd. Series 2021-2 Class M1A, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 1.550% 1.5993% 4/25/34 (a)(b)(c) 460,000 460,364 
Eaton Vance CLO, Ltd. Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.100% 1.2238% 4/15/31 (a)(b)(c) 3,935,000 3,937,703 
Elara HGV Timeshare Issuer LLC Series 2017-A Class A, 2.69% 3/25/30 (a) 485,848 492,675 
Ellington Financial Mortgage Trust Series 2019-2 Class A1, 2.739% 11/25/59 (a) 248,903 251,190 
Enterprise Fleet Financing LLC:   
Series 2019-1 Class A2, 2.98% 10/20/24 (a) 77,434 77,702 
Series 2019-3 Class A2, 2.06% 5/20/25 (a) 372,726 376,138 
Series 2020-1 Class A2, 1.78% 12/22/25 (a) 4,135,620 4,172,145 
Series 2020-2 Class A2, 0.61% 7/20/26 (a) 3,221,523 3,218,995 
Series 2021-1 Class A2, 0.44% 12/21/26 (a) 1,372,807 1,367,093 
Series 2021-2 Class A2, 0.48% 5/20/27 (a) 3,480,000 3,453,393 
Exeter Automobile Receivables Trust:   
Series 2021-2A Class A2, 0.27% 1/16/24 3,523,312 3,522,636 
Series 2021-3A Class A2, 0.34% 1/16/24 2,071,843 2,070,901 
Ford Credit Auto Lease Trust Series 2020-B Class A3, 0.62% 8/15/23 4,531,000 4,536,437 
Ford Credit Auto Owner Trust:   
Series 2020-2 Class C, 1.74% 4/15/33 (a) 570,000 564,908 
Series 2020-B Class C, 2.04% 12/15/26 1,270,000 1,296,867 
Ford Credit Floorplan Master Owner Trust Series 2020-1 Class A1, 0.7% 9/15/25 5,274,000 5,261,231 
GM Financial Automobile Leasing Trust:   
Series 2020-2 Class C, 2.56% 7/22/24 445,000 454,513 
Series 2020-3 Class A2A, 0.35% 11/21/22 2,019,399 2,019,517 
Series 2021-2 Class A2, 0.22% 7/20/23 3,974,424 3,971,992 
Series 2021-3 Class A2, 0.24% 12/20/23 5,000,000 4,991,866 
GM Financial Consumer Automobile Receivables Trust:   
Series 2020-2 Class A3, 1.49% 12/16/24 300,228 302,313 
Series 2020-3 Class A2, 0.35% 7/17/23 778,804 778,825 
Series 2020-4:   
Class A2, 0.26% 11/16/23 3,420,773 3,420,683 
Class C, 1.05% 5/18/26 420,000 417,691 
GMF Floorplan Owner Revolving Trust:   
Series 2020-1 Class A, 0.68% 8/15/25 (a) 1,480,000 1,476,386 
Series 2020-2 Class A, 0.69% 10/15/25 (a) 3,238,000 3,223,097 
Hardee's Funding LLC / Carl's Jr. Funding LLC Series 2018-1A Class A2II, 4.959% 6/20/48 (a) 213,400 224,693 
Hilton Grand Vacations Trust:   
Series 2017-AA:   
Class A, 2.66% 12/26/28 (a) 144,728 147,030 
Class B, 2.96% 12/26/28 (a) 220,737 223,867 
Series 2020-AA:   
Class A, 2.74% 2/25/39 (a) 564,166 581,380 
Class B, 4.22% 2/25/39 (a) 869,210 917,479 
HPEFS Equipment Trust:   
Series 2020-2A Class A2, 0.65% 7/22/30 (a) 1,010,993 1,011,432 
Series 2021-2A Class A2, 0.3% 9/20/28 (a) 2,780,000 2,774,418 
Hyundai Auto Lease Securitization Trust:   
Series 2020-A Class A3, 1.95% 7/17/23 (a) 1,411,860 1,415,614 
Series 2021-A Class A2, 0.25% 4/17/23 (a) 5,305,022 5,303,470 
Series 2021-B Class A2, 0.19% 10/16/23 (a) 5,140,000 5,132,022 
Hyundai Auto Receivables Trust:   
Series 2019-A Class B, 2.94% 5/15/25 635,000 650,234 
Series 2020-A Class A3, 1.41% 11/15/24 735,000 740,491 
Series 2020-C Class A2, 0.26% 9/15/23 4,103,164 4,103,035 
John Deere Owner Trust Series 2020-B Class A2, 0.41% 3/15/23 1,152,766 1,152,912 
KKR CLO Ltd. / KKR CLO LLC Series 2021-29A Class A, 3 month U.S. LIBOR + 1.200% 1.3238% 1/15/32 (a)(b)(c) 1,250,000 1,248,696 
KKR Finanical CLO Ltd. Series 13 Class A1R, 3 month U.S. LIBOR + 0.800% 0.9223% 1/16/28 (a)(b)(c) 852,677 852,757 
KKR Industrial Portfolio Trust Series 2021-KDIP Class C, 1 month U.S. LIBOR + 1.000% 1.0895% 12/15/37 (a)(b)(c) 1,061,250 1,047,003 
Kubota Credit Owner Trust Series 2020-1A Class A3, 1.96% 3/15/24 (a) 380,000 383,951 
Lanark Master Issuer PLC Series 2020-1A Class 1A, 2.277% 12/22/69 (a)(b) 1,768,000 1,792,955 
Madison Park Funding Ltd. Series 2015-18A Class A1R, 3 month U.S. LIBOR + 1.190% 1.3195% 10/21/30 (a)(b)(c) 1,165,000 1,165,871 
Madison Park Funding XXIII, Ltd. Series 2021-23A:   
Class AR, 3 month U.S. LIBOR + 0.970% 1.1045% 7/27/31 (a)(b)(c) 4,376,000 4,376,271 
Class BR, 3 month U.S. LIBOR + 1.550% 1.6845% 7/27/31 (a)(b)(c) 800,000 800,074 
Madison Park Funding XXXII, Ltd. / Madison Park Funding XXXII LLC Series 2021-32A Class A1R, 3 month U.S. LIBOR + 1.000% 1.1283% 1/22/31 (a)(b)(c) 3,229,000 3,229,139 
Madison Park Funding XXXV Ltd. / Madison Park Funding XXXV LLC Series 2021-35A Class A1R, 3 month U.S. LIBOR + 0.990% 1.1215% 4/20/32 (a)(b)(c) 1,650,000 1,648,799 
Magnetite XVI, Ltd. / Magnetite XVI, LLC Series 2015-16A Class AR, 3 month U.S. LIBOR + 0.800% 0.9223% 1/18/28 (a)(b)(c) 1,956,769 1,956,196 
Mercedes-Benz Auto Lease Trust:   
Series 2019-B Class A3, 2% 10/17/22 2,813,790 2,820,441 
Series 2020-B Class A2, 0.31% 2/15/23 1,465,037 1,465,154 
Series 2021-B Class A2, 0.22% 1/16/24 10,000,000 9,993,630 
Mercedes-Benz Auto Receivables Trust Series 2020-1 Class A2, 0.46% 3/15/23 455,477 455,537 
MF1 Multifamily Housing Mortgage Loan Trust Series 2021-FL7 Class A, 1 month U.S. LIBOR + 1.080% 1.1691% 10/16/36 (a)(b)(c) 800,000 798,056 
MFRA Trust Series 2021-INV1 Class A1, 0.852% 1/25/56 (a)(b) 435,212 432,733 
MMAF Equipment Finance LLC Series 2019-B Class A2, 2.07% 10/12/22 (a) 102,095 102,156 
MVW LLC Series 2020-1A Class B, 2.73% 10/20/37 (a) 463,658 470,801 
MVW Owner Trust:   
Series 2017-1A:   
Class A, 2.42% 12/20/34 (a) 342,831 347,215 
Class B, 2.75% 12/20/34 (a) 20,167 20,392 
Class C, 2.99% 12/20/34 (a) 48,400 48,755 
Series 2021-1WA Class C, 1.94% 1/22/41 (a) 292,019 288,996 
Navient Private Education Loan Trust:   
Series 2019-D Class A2A, 3.01% 12/15/59 (a) 437,313 451,530 
Series 2020-A Class A2A, 2.46% 11/15/68 (a) 840,000 859,167 
Series 2020-CA Class A2A, 2.15% 11/15/68 (a) 2,610,000 2,641,708 
Series 2020-IA Class A1A, 1.33% 4/15/69 (a) 594,010 587,304 
Navient Private Education Refi Loan Trust:   
Series 2019-A Class A2A, 3.42% 1/15/43 (a) 1,470,917 1,500,716 
Series 2019-GA Class A, 2.4% 10/15/68 (a) 392,578 398,963 
Series 2020-DA Class A, 1.69% 5/15/69 (a) 603,816 606,682 
Navient Student Loan Trust:   
Series 2017-3A Class A2, 1 month U.S. LIBOR + 0.600% 0.692% 7/26/66 (a)(b)(c) 3,183,893 3,190,366 
Series 2017-A Class A2A, 2.88% 12/16/58 (a) 774,002 782,934 
Series 2019-EA Class A2A, 2.64% 5/15/68 (a) 1,096,348 1,108,941 
Nelnet Student Loan Trust:   
Series 2005-4 Class A4, 3 month U.S. LIBOR + 0.180% 0.3054% 3/22/32 (b)(c) 608,595 591,214 
Series 2020-1A Class A, 1 month U.S. LIBOR + 0.740% 0.832% 3/26/68 (a)(b)(c) 335,616 337,007 
Series 2021-CA Class AFX, 1.32% 4/20/62 (a) 1,734,867 1,716,384 
Series 2021-DA Class AFX, 1.63% 4/20/62 (a) 605,000 603,046 
Neuberger Berman Loan Advisers CLO 32 Ltd. Series 2021-32A Class AR, 3 month U.S. LIBOR + 0.990% 1.1136% 1/20/32 (a)(b)(c) 1,570,000 1,570,738 
Neuberger Berman Loan Advisers CLO 40, Ltd. / Neuberger Berman Loan Advisers CLO 40 LLC Series 2021-40A Class A, 3 month U.S. LIBOR + 1.060% 1.1823% 4/16/33 (a)(b)(c) 455,000 455,647 
Neuberger Berman Loan Advisers CLO, Ltd. Series 2021-26A Class BR, 3 month U.S. LIBOR + 1.400% 1.545% 10/18/30 (a)(b)(c) 890,000 889,244 
Niagara Park CLO, Ltd. Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.000% 1.1223% 7/17/32 (a)(b)(c) 4,100,000 4,104,945 
Nissan Auto Receivables Trust Series 2020-A Class A3, 1.38% 12/16/24 407,629 410,526 
Nissan Master Owner Trust Receivables Series 2019-A Class A, 1 month U.S. LIBOR + 0.560% 0.6495% 2/15/24 (b)(c) 1,350,000 1,350,964 
OCP CLO Ltd. Series 2014-7A Class A1RR, 3 month U.S. LIBOR + 1.120% 1.2515% 7/20/29 (a)(b)(c) 2,530,000 2,531,139 
OCP CLO Ltd. / OCP CLO LLC Series 2021-13A Class A2R, 1.6738% 7/15/30 (a)(b) 1,320,000 1,316,590 
Octane Receivables Trust Series 2021-2A Class A, 1.21% 9/20/28 (a) 745,000 742,042 
OZLM Ltd. Series 2014-8A Class RR, 3 month U.S. LIBOR + 1.170% 1.2923% 10/17/29 (a)(b)(c) 610,198 610,295 
Palmer Square Loan Funding, Ltd. Series 2021-2A Class A1, 3 month U.S. LIBOR + 0.800% 0.9596% 5/20/29 (a)(b)(c) 3,617,073 3,617,558 
Planet Fitness Master Issuer LLC Series 2018-1A Class A2II, 4.666% 9/5/48 (a) 1,508,350 1,545,633 
Santander Consumer Auto Receivables Trust:   
Series 2021-AA Class A2, 0.23% 11/15/23 (a) 4,014,167 4,013,439 
1.57% 1/15/27 (a) 801,000 795,000 
Santander Drive Auto Receivables Trust:   
Series 2020-4 Class C, 1.01% 1/15/26 675,000 676,774 
Series 2021-2 Class A2, 0.28% 4/15/24 4,638,070 4,636,717 
Series 2021-3 Class A2, 0.29% 5/15/24 5,096,684 5,095,456 
Series 2021-4:   
Class A2, 0.37% 8/15/24 4,907,000 4,904,938 
Class D, 1.67% 10/15/27 1,310,000 1,306,492 
Santander Retail Auto Lease Trust:   
Series 2019-B Class C, 2.77% 8/21/23 (a) 690,000 697,581 
Series 2019-C:   
Class B, 2.17% 11/20/23 (a) 495,000 500,524 
Class C, 2.39% 11/20/23 (a) 830,000 839,970 
Class D, 2.88% 6/20/24 (a) 870,000 884,945 
Series 2020-A:   
Class A2, 1.69% 1/20/23 (a) 1,503,829 1,505,698 
Class D, 2.52% 11/20/24 (a) 720,000 732,939 
Series 2020-B Class A2, 0.42% 11/20/23 (a) 5,447,638 5,445,785 
Series 2021-A:   
Class A2, 0.32% 2/20/24 (a) 4,296,354 4,292,700 
Class C, 1.14% 3/20/26 (a) 1,815,000 1,796,568 
Series 2021-B Class A2, 0.31% 1/22/24 (a) 3,585,729 3,580,890 
Series 2021-C:   
Class A2, 0.29% 4/22/24 (a) 4,069,000 4,063,751 
Class C, 1.11% 3/20/26 (a) 630,000 623,291 
SBA Tower Trust:   
Series 2019, 2.836% 1/15/50 (a) 990,000 1,021,250 
1.631% 5/15/51 (a) 495,000 489,859 
1.884% 7/15/50 (a) 365,000 366,518 
SG Residential Mortgage Trust Series 2019-3 Class A2, 2.877% 9/25/59 (a) 738,995 739,436 
Sierra Receivables Funding Co. LLC:   
Series 2019-1A Class A, 3.2% 1/20/36 (a) 159,341 163,467 
Series 2019-2A Class A, 2.59% 5/20/36 (a) 974,992 989,115 
Sierra Timeshare Receivables Funding Co. LLC Series 2017-1A Class A, 2.91% 3/20/34 (a) 229,574 230,004 
Sierra Timeshare Receivables Funding LLC:   
Series 2019-3A Class A, 2.34% 8/20/36 (a) 237,231 239,407 
Series 2020-2A Class C, 3.51% 7/20/37 (a) 320,377 326,784 
Series 2021-1A Class B, 1.34% 11/20/37 (a) 338,305 334,223 
SLM Student Loan Trust:   
Series 2003-10A Class A3, 3 month U.S. LIBOR + 0.470% 0.586% 12/15/27 (a)(b)(c) 877,440 877,466 
Series 2003-11 Class A6, 3 month U.S. LIBOR + 0.550% 0.666% 12/15/25 (a)(b)(c) 736,243 736,062 
Series 2010-1 Class A, 1 month U.S. LIBOR + 0.400% 0.492% 3/25/25 (b)(c) 718,278 706,577 
SMB Private Education Loan Trust:   
Series 2014-A Class A3, 1 month U.S. LIBOR + 1.500% 1.5895% 4/15/32 (a)(b)(c) 1,221,726 1,233,435 
Series 2015-A Class A2B, 1 month U.S. LIBOR + 1.000% 1.0895% 6/15/27 (a)(b)(c) 18,443 18,452 
Series 2016-C Class A2B, 1 month U.S. LIBOR + 1.100% 1.1893% 9/15/34 (a)(b)(c) 659,613 662,707 
Series 2018-B Class A2B, 1 month U.S. LIBOR + 0.720% 0.8093% 1/15/37 (a)(b)(c) 1,242,751 1,246,517 
Series 2020-BA Class A1A, 1.29% 7/15/53 (a) 395,571 392,421 
Series 2020-PTB Class A2A, 1.6% 9/15/54 (a) 2,512,739 2,485,442 
Series 2021-B Class A, 1.31% 7/17/51 (a) 1,544,649 1,539,893 
SoFi Consumer Loan Program Trust Series 2019-4 Class A, 2.45% 8/25/28 (a) 138,077 138,322 
Symphony CLO XXI, Ltd. Series 2021-21A Class AR, 3 month U.S. LIBOR + 1.060% 1.1836% 7/15/32 (a)(b)(c) 3,117,000 3,117,383 
Symphony CLO XXIII Ltd. Series 2021-23A Class AR, 3 month U.S. LIBOR + 1.020% 0% 1/15/34 (a)(b)(c) 6,116,000 6,116,000 
Symphony CLO XXVI Ltd. / Symphony CLO XXVI LLC Series 2021-26A Class AR, 3 month U.S. LIBOR + 1.080% 1.2115% 4/20/33 (a)(b)(c) 465,000 464,132 
Symphony Static CLO Ltd. Series 2021-1A Class B, 3 month U.S. LIBOR + 1.450% 1.5791% 10/25/29 (a)(b)(c) 1,385,000 1,381,100 
TCI-Flatiron CLO Ltd. / LLC Series 2021-1A Class AR, 3 month U.S. LIBOR + 0.960% 1.1179% 11/18/30 (a)(b)(c) 4,292,000 4,291,996 
TCI-Symphony CLO Series 2021-1A Class AR, 3 month U.S. LIBOR + 0.920% 1.0423% 7/15/30 (a)(b)(c) 4,588,000 4,589,546 
Tesla Series 2020-A:   
Class A2, 0.55% 5/22/23 (a) 1,004,202 1,004,531 
Class A3, 0.68% 12/20/23 (a) 2,527,000 2,531,025 
Tesla Auto Lease Trust:   
Series 2021-A Class A2, 0.36% 3/20/25 (a) 4,593,884 4,588,200 
Series 2021-B Class A2, 0.36% 9/22/25 (a) 4,737,000 4,714,467 
Towd Point Mortgage Trust:   
Series 2017-1 Class A1, 2.75% 10/25/56 (a)(b) 220,974 223,147 
Series 2017-4 Class A1, 2.75% 6/25/57 (a) 158,037 160,994 
Series 2019-1 Class A1, 3.6777% 3/25/58 (a)(b) 676,734 702,212 
Toyota Auto Receivables Owner Trust Series 2020-C Class A3, 0.44% 10/15/24 9,912,000 9,910,190 
Verizon Owner Trust:   
Series 2018-A:   
Class A1A, 3.23% 4/20/23 221,251 221,719 
Class A1B, 1 month U.S. LIBOR + 0.240% 0.3311% 4/20/23 (b)(c) 172,448 172,465 
Series 2020-A Class A1A, 1.85% 7/22/24 4,951,000 4,997,196 
Volkswagen Auto Lease Trust:   
Series 2019-A Class A3, 1.99% 11/21/22 1,169,021 1,172,102 
Series 2020-A Class A2, 0.27% 4/20/23 6,681,056 6,680,384 
Volkswagen Auto Loan Enhanced Trust Series 2020-1 Class A4, 1.26% 8/20/26 545,000 549,676 
Volvo Financial Equipment LLC Series 2019-2A Class A3, 2.04% 11/15/23 (a) 1,862,869 1,876,649 
Voya CLO Ltd. Series 2021-1A Class A1R, 3 month U.S. LIBOR + 0.950% 1.0723% 4/17/30 (a)(b)(c) 4,486,000 4,486,354 
Wheels SPV LLC Series 2021-1A Class A, 1 month U.S. LIBOR + 0.280% 0.3711% 8/20/29 (a)(b)(c) 3,226,261 3,228,058 
World Omni Auto Receivables Trust:   
Series 2019-C Class C, 2.4% 6/15/26 895,000 912,246 
Series 2020-A Class C, 1.64% 8/17/26 480,000 483,448 
Series 2020-C Class A2, 0.35% 12/15/23 1,725,927 1,726,340 
Series 2021-D Class A2, 0.35% 12/16/24 4,626,000 4,621,703 
World Omni Automobile Lease Securitization Trust:   
Series 2019-B Class A3, 2.03% 11/15/22 1,138,516 1,140,980 
Series 2020-A Class A2, 1.71% 11/15/22 897,668 898,624 
Series 2020-B Class A2, 0.32% 9/15/23 2,091,938 2,091,681 
World Omni Select Auto Trust Series 2020-A:   
Class B, 0.84% 6/15/26 510,000 510,544 
Class C, 1.25% 10/15/26 585,000 586,542 
TOTAL ASSET-BACKED SECURITIES   
(Cost $427,009,086)  427,137,396 
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) 274,211 274,468 
Series 2020-6 Class A1, 1.261% 5/25/65 (a) 385,026 385,442 
Series 2021-1:   
Class A1, 0.909% 1/25/66 (a) 981,623 981,196 
Class A2, 1.115% 1/25/66 (a) 287,073 286,793 
Series 2021-2 Class A1, 0.985% 4/25/66 (a) 786,807 785,943 
Series 2019-2 Class M1, 4.065% 3/25/49 (a) 545,000 547,575 
Series 2021-3 Class A1, 1.068% 5/25/66 (a) 571,150 568,867 
Series 2021-6 Class A3, 1.714% 9/25/66 (a) 528,240 524,344 
Angel Oak Mortgage Trust LLC:   
sequential payer Series 2020-3 Class A1, 1.691% 4/25/65 (a) 579,687 581,706 
Series 2020-3 Class A3, 2.872% 4/25/65 (a)(b) 940,091 950,225 
Barclays Mortgage Loan Trust sequential payer Series 2021-NQM1 Class A1, 1.747% 9/25/51 (a) 1,570,000 1,569,620 
Bayview MSR Opportunity Master Fund Trust sequential payer Series 2021-5 Class A5, 2.5% 11/25/51 (a) 1,920,485 1,951,542 
Brass PLC Series 2021-10A Class A1, 0.669% 4/16/69 (a)(b) 883,579 883,638 
BRAVO Residential Funding Trust sequential payer Series 2021-NQM3 Class A1, 1.699% 4/26/60 (a) 967,633 972,610 
CIM Trust Series 2021-INV1 Class A8, 2.5% 7/1/51 (a) 470,811 479,896 
Citigroup Mortgage Loan Trust Series 2020-EXP2 Class A3, 2.5% 8/25/50 (a) 294,607 297,736 
Colt Funding LLC Series 2021-1 Class A2, 1.167% 6/25/66 (a) 663,267 659,670 
COLT Funding LLC Series 2021-3 Class A3, 1.419% 9/27/66 (a)(b) 440,420 438,752 
COLT Mortgage Loan Trust sequential payer Series 2020-3 Class A1, 1.506% 4/27/65 (a) 181,985 182,504 
Deephaven Residential Mortgage Trust:   
sequential payer Series 2020-2 Class A1, 1.692% 5/25/65 (a) 279,326 280,070 
Series 2021-1 Class A2, 0.973% 5/25/65 (a) 225,521 223,895 
Series 2021-2:   
Class A1, 0.899% 4/25/66 (a) 296,100 295,404 
Class A3, 1.26% 4/25/66 (a) 329,940 328,541 
Ellington Financial Mortgage Trust:   
Series 2019-2 Class A3, 3.046% 11/25/59 (a) 159,879 161,111 
Series 2020-1 Class A1, 2.006% 5/25/65 (a) 463,532 465,975 
Series 2020-2 Class A1, 1.178% 10/25/65 (a) 529,513 529,360 
Series 2021-1:   
Class A1, 0.797% 2/25/66 (a) 212,478 211,972 
Class A3, 1.106% 2/25/66 (a) 177,065 176,246 
Series 2021-2:   
Class A1, 0.931% 6/25/66 (a)(b) 380,730 378,019 
Class A3, 1.291% 6/25/66 (a) 368,179 364,621 
Series 2021-3:   
Class A1, 1.241% 9/25/66 (a) 481,459 479,521 
Class A3, 1.55% 9/25/66 (a) 342,481 340,484 
Flagstar Mortgage Trust floater sequential payer Series 2020-1INV Class A11, 1 month U.S. LIBOR + 0.850% 0.942% 3/25/50 (a)(b)(c) 333,190 333,384 
FWD Securitization Trust sequential payer Series 2020-INV1 Class A1, 2.24% 1/25/50 (a) 851,650 862,098 
Galton Funding Mortgage Trust:   
sequential payer:   
Series 2019-H1 Class M1, 3.339% 10/25/59 (a) 600,000 611,255 
Series 2020-H1 Class M1, 2.832% 1/25/60 (a) 625,000 630,530 
Series 2019-1:   
Class A21, 4.5% 2/25/59 (a) 163,877 166,505 
Class A32, 4% 2/25/59 (a) 82,839 83,858 
Series 2020-H1 Class A1, 2.31% 1/25/60 (a) 450,627 455,444 
GMRF Mortgage Acquisition Co., LLC Series 2018-1 Class A33, 3.5% 11/25/57 (a) 125,429 126,819 
Gosforth Funding PLC floater Series 2018-1A Class A1, 3 month U.S. LIBOR + 0.450% 0.628% 8/25/60 (a)(b)(c) 399,284 399,598 
GS Mortgage Securities Trust sequential payer Series 2021-NQM1 Class A1, 1.017% 7/25/61 (a) 437,877 437,707 
GS Mortgage-Backed Securites Trust:   
sequential payer Series 2021-HP1 Class A6, 2.5% 1/25/52 (a)(b) 590,804 598,106 
Series 2014-EB1A Class 2A1, 1.636% 7/25/44 (a)(b) 12,523 12,483 
Series 2021-GR2 Class A6, 2.5% 2/25/52 (a)(b) 1,052,887 1,071,413 
GS Mortgage-Backed Securities Trust Series 2021-PJ5 Class A8, 2.5% 10/25/51 (a)(b) 1,393,455 1,411,636 
Homeward Opportunities Fund I Trust sequential payer Series 2019-3 Class A1, 2.675% 11/25/59 (a) 134,981 135,267 
Homeward Opportunities Fund Trust sequential payer Series 2020-2 Class A1, 1.657% 5/25/65 (a)(b) 293,207 294,037 
Hundred Acre Wood Trust Series 2021-INV1 Class A9, 2.5% 7/25/51 (a)(b) 941,114 958,498 
Imperial Fund Mortgage Trust Series 2021-NQM2 Class A3, 1.516% 9/25/56 (a) 599,002 595,115 
J.P. Morgan Mortgage Trust Series 2020-INV1 Class A15, 3.5% 8/25/50 (a) 278,583 282,720 
Mello Mortgage Capital Acceptance sequential payer Series 2021-INV3 Class A4, 2.5% 10/25/51 (a) 791,480 807,248 
Metlife Securitization Trust Series 2017-1A Class A, 3% 4/25/55 (a) 223,911 228,857 
MFRA Trust Series 2021-NQM2 Class A2, 1.317% 11/25/64 (a) 361,472 359,599 
Mill City Mortgage Loan Trust:   
Series 2016-1 Class A1, 2.5% 4/25/57 (a) 7,035 7,035 
Series 2017-2 Class A1, 2.75% 7/25/59 (a) 186,972 189,050 
New Residential Mortgage Loan Trust:   
sequential payer:   
Series 2019-NQM5 Class A1, 2.7099% 11/25/59 (a) 561,600 567,809 
Series 2020-NQM1 Class A1, 2.4641% 1/26/60 (a) 298,853 300,706 
Series 2021-NQ1R Class A1, 0.9426% 7/25/55 (a) 723,596 725,193 
Series 2021-INV1 Class A6, 2.5% 6/25/51 (a) 629,453 641,207 
NMLT Trust sequential payer Series 2021-INV2:   
Class A1, 1.162% 8/25/56 (a) 1,900,444 1,890,714 
Class A3, 1.52% 8/25/56 (a) 489,805 486,837 
OBX Trust:   
floater Series 2020-EXP1 Class 2A2, 1 month U.S. LIBOR + 0.950% 1.0416% 2/25/60 (a)(b)(c) 358,059 358,374 
sequential payer Series 2021-NQM3 Class A1, 1.054% 7/25/61 (a) 471,957 469,092 
Series 2020-EXP1 Class 1A8, 3.5% 2/25/60 (a)(b) 511,395 521,117 
Series 2020-EXP2:   
Class A8, 3% 5/25/60 (a) 686,042 694,590 
Class A9, 3% 5/25/60 (a) 168,771 170,590 
Series 2020-INV1 Class A5, 3.5% 12/25/49 (a) 148,765 151,928 
Oceanview Mortgage Trust sequential payer Series 2021-2 Class A5, 2.5% 6/25/51 (a) 945,155 962,757 
Onslow Bay Financial LLC:   
floater Series 2019-EXP2 Class 2A2, 1 month U.S. LIBOR + 1.200% 1.2916% 6/25/59 (a)(b)(c) 420,329 420,329 
floater sequential payer Series 2019-EXP2 Class 2A1A, 1 month U.S. LIBOR + 0.900% 0.9916% 6/25/59 (a)(b)(c) 84,659 84,659 
sequential payer:   
Series 2021-J1 Class A4, 2.5% 5/25/51 (a) 1,059,161 1,072,979 
Series 2021-NQM1:   
Class A1, 1.072% 2/25/66 (a) 941,352 938,626 
Class A2, 1.175% 2/25/66 (a) 501,100 498,840 
PSMC Trust sequential payer:   
Series 2021-1 Class A11, 2.5% 3/25/51 (a)(b) 1,518,029 1,538,916 
Series 2021-2 Class A3, 2.5% 5/25/51 (a) 1,171,594 1,186,919 
Sequoia Mortgage Trust:   
sequential payer Series 2018-CH2 Class A3, 4% 6/25/48 (a) 232,657 236,571 
Series 2018-CH2 Class A21, 4% 6/25/48 (a) 103,820 105,452 
Series 2018-CH3 Class A19, 4.5% 8/25/48 (a) 38,536 38,915 
Series 2018-CH4 Class A2, 4% 10/25/48 (a) 58,434 58,895 
SG Residential Mortgage Trust Series 2020-2 Class A1, 1.381% 5/25/65 (a) 299,426 300,211 
Starwood Mortgage Residential Trust:   
sequential payer Series 2019-INV1:   
Class A1, 2.61% 9/27/49 (a) 42,355 42,767 
Class A3, 2.916% 9/27/49 (a) 388,376 391,502 
Series 2020-1 Class A2, 2.408% 2/25/50 (a) 467,069 469,434 
Series 2021-2 Class A1, 0.943% 5/25/65 (a) 520,903 520,015 
Series 2021-4 Class A1, 1.162% 8/25/56 (a) 1,674,542 1,663,204 
Toorak Mortgage Corp. Series 2021-INV1 Class A2, 1.409% 7/25/56 (a) 295,727 293,682 
Towd Point Mortgage Trust:   
Series 2016-1 Class A3B, 3% 2/25/55 (a) 53,181 53,464 
Series 2016-2 Class A1A, 2.75% 8/25/55 (a) 37,811 37,944 
Series 2016-3 Class A1, 2.25% 4/25/56 (a) 4,621 4,628 
Series 2017-2 Class A1, 2.75% 4/25/57 (a)(b) 141,173 142,510 
Series 2017-3 Class A1, 2.75% 7/25/57 (a)(b) 363,425 368,121 
United Wholesale Mortgage LLC sequential payer Series 2021-INV2 Class A4, 2.5% 9/25/51 (a) 310,949 317,144 
Verus Securitization Trust:   
sequential payer:   
Series 2019-INV3 Class A3, 3.1% 11/25/59 (a) 625,253 631,605 
Series 2020-1 Class A3, 2.724% 1/25/60 (a) 669,609 673,850 
Series 2020-2 Class A1, 2.226% 5/25/60 (a) 728,348 733,014 
Series 2020-INV1 Class A1, 1.977% 3/25/60 (a) 109,589 110,421 
Series 2019-3 Class A3, 3.04% 7/25/59 (a) 945,637 950,694 
Series 2019-4 Class A3, 3% 11/25/59 (a) 323,667 326,477 
Series 2019-INV2 Class A2, 3.117% 7/25/59 (a) 714,160 720,330 
Series 2020-5 Class A3, 1.733% 5/25/65 (a) 256,215 255,607 
Series 2021-1:   
Class A2, 1.052% 1/25/66 (a) 370,121 369,509 
Class A3, 1.155% 1/25/66 (a) 218,708 218,226 
Series 2021-2 Class A1, 1.031% 2/25/66 (a) 523,041 523,784 
Series 2021-5 Class A3, 1.373% 9/25/66 (a) 501,942 498,685 
Series 2021-7 Class A1, 1.829% 10/25/66 (a) 1,850,000 1,849,335 
Series 2021-R1 Class A2, 1.057% 10/25/63 (a) 206,857 206,311 
Series 2021-R2 Class A1, 0.918% 2/25/64 (a) 561,517 560,397 
Vista Point Securitization Trust sequential payer Series 2020-2 Class A3, 2.496% 4/25/65 (a) 231,891 233,412 
Wells Fargo Mortgage Backed Securities Trust:   
Series 2021-INV2 Class A4, 2.5% 9/25/51 (a) 1,110,000 1,125,870 
Series 2021-RR1 Class A3, 2.5% 12/25/50 (a)(b) 1,306,007 1,329,576 
ZH Trust sequential payer Series 2021-1 Class A, 2.2525% 2/18/27 (a) 595,000 592,359 
TOTAL PRIVATE SPONSOR  59,252,111 
U.S. Government Agency - 0.2%   
Fannie Mae:   
Series 2017-90 Class KA, 3% 11/25/47 606,468 637,322 
Series 2018-44 Class PC, 4% 6/25/44 24,201 24,254 
Fannie Mae Connecticut Avenue Securities floater:   
Series 2017-C02 Class 2ED3, 1 month U.S. LIBOR + 1.350% 1.442% 9/25/29 (b)(c) 73,253 73,920 
Series 2017-C04 Class 2ED2, 1 month U.S. LIBOR + 1.100% 1.192% 11/25/29 (b)(c) 1,297,886 1,299,594 
Series 2017-C05 Class 1ED3, 1 month U.S. LIBOR + 1.200% 1.292% 1/25/30 (b)(c) 537,296 536,520 
Series 2018-C01 Class 1ED2, 1 month U.S. LIBOR + 0.850% 0.942% 7/25/30 (b)(c) 862,714 862,714 
FHLMC Structured Agency Credit Risk Debt Notes floater:   
Series 2014-DN3 Class M3, 1 month U.S. LIBOR + 4.000% 4.092% 8/25/24 (b)(c) 184,794 188,269 
Series 2015-DNA3 Class M3, 1 month U.S. LIBOR + 4.700% 4.792% 4/25/28 (b)(c) 876,525 904,671 
Series 2016-DNA2 Class M3, 1 month U.S. LIBOR + 4.650% 4.742% 10/25/28 (b)(c) 610,636 631,623 
Series 2017-DNA2 Class M1, 1 month U.S. LIBOR + 1.200% 1.292% 10/25/29 (b)(c) 166,667 166,855 
Series 2017-DNA3 Class M1, 1 month U.S. LIBOR + 0.750% 0.842% 3/25/30 (b)(c) 63,486 63,492 
Freddie Mac planned amortization class Series 3713 Class PA, 2% 2/15/40 279,307 283,057 
Freddie Mac STACR REMIC Trust:   
floater:   
Series 2020-DNA6 Class M1, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.900% 0.9497% 12/25/50 (a)(b)(c) 89,850 89,850 
Series 2021-DNA2 Class M1, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.800% 0.8497% 8/25/33 (a)(b)(c) 564,178 564,525 
Series 2021-DNA3 Class M2, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 2.100% 2.1497% 10/25/33 (a)(b)(c) 690,000 695,286 
Series 2021-DNA5 Class M2, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 1.650% 1.6997% 1/25/34 (a)(b)(c) 440,000 442,258 
Series 2021-DNA6 Class M2, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 1.500% 1.5497% 10/25/41 (a)(b)(c) 575,000 575,810 
Series 2021-DNA7 Class M2, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 1.800% 1.8477% 11/25/41 (a)(b)(c) 555,000 556,042 
Series 2021-HQA1 Class M1, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.700% 0.7497% 8/25/33 (a)(b)(c) 741,520 741,665 
Series 2021-HQA3 Class M1, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.850% 0.8997% 9/25/41 (a)(b)(c) 510,000 510,000 
U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.650% 0.6997% 1/25/51 (a)(b)(c) 131,173 131,159 
Freddie Mac STACR Trust floater:   
Series 18-HQA2 Class M1, 1 month U.S. LIBOR + 0.750% 0.842% 10/25/48 (a)(b)(c) 64,207 64,207 
Series 2018-DNA2:   
Class M1, 1 month U.S. LIBOR + 0.800% 0.892% 12/25/30 (a)(b)(c) 232,179 232,221 
Class M2A/S, 1 month U.S. LIBOR + 0.950% 1.042% 12/25/30 (a)(b)(c) 450,000 448,870 
Series 2018-DNA3:   
Class M1, 1 month U.S. LIBOR + 0.750% 0.842% 9/25/48 (a)(b)(c) 1,831 1,831 
Class M2A/S, 1 month U.S. LIBOR + 0.900% 0.992% 9/25/48 (a)(b)(c) 600,000 599,038 
Series 2018-HRP2 Class M2, 1 month U.S. LIBOR + 1.250% 1.342% 2/25/47 (a)(b)(c) 466,141 466,915 
Series 2019-HRP1 Class M2, 1 month U.S. LIBOR + 1.400% 1.492% 2/25/49 (a)(b)(c) 628,406 630,400 
Freddie Mac Whole Loan Securities Trust:   
Series 2016-SC02 Class M1, 3.6515% 10/25/46 (b) 122,127 121,688 
Series 2017-SC02 Class M1, 3.8427% 5/25/47 (a)(b) 67,851 69,572 
TOTAL U.S. GOVERNMENT AGENCY  12,613,628 
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS   
(Cost $71,969,004)  71,865,739 
Commercial Mortgage Securities - 1.7%   
ALEN Mortgage Trust floater Series 2021-ACEN Class A, 1 month U.S. LIBOR + 1.150% 1.24% 4/15/34 (a)(b)(c) 595,000 594,256 
Americold Realty Trust floater Series 2020-ICE5 Class B, 1 month U.S. LIBOR + 1.300% 1.3895% 11/15/37 (a)(b)(c) 1,705,489 1,702,282 
Atrium Hotel Portfolio Trust floater Series 2017-ATRM Class A 1 month U.S. LIBOR + 0.930% 1.02% 12/15/36 (a)(b)(c) 1,395,000 1,392,360 
Austin Fairmont Hotel Trust floater Series 2019-FAIR Class A, 1 month U.S. LIBOR + 1.050% 1.14% 9/15/32 (a)(b)(c) 615,000 614,228 
BAMLL Commercial Mortgage Securities Trust floater Series 2021-JACX Class C, 1 month U.S. LIBOR + 2.000% 2.09% 9/15/38 (a)(b)(c) 805,000 804,999 
Banc of America Merrill Lynch Large Loan, Inc. floater Series 2018-DSNY Class A, 1 month U.S. LIBOR + 0.850% 0.939% 9/15/34 (a)(b)(c) 970,000 966,951 
BANK Series 2019-BN19 Class A1, 2.263% 8/15/61 354,917 361,018 
BCP Trust floater Series 2021-330N Class A, 1 month U.S. LIBOR + 0.790% 0.889% 6/15/38 (a)(b)(c) 500,000 494,912 
BLOX Trust floater sequential payer Series 2021-BLOX Class A, 1 month U.S. LIBOR + 0.750% 0.84% 9/15/26 (a)(b)(c) 2,040,000 2,036,634 
BPR Trust floater Series 2021-TY Class B, 1 month U.S. LIBOR + 1.150% 1.24% 9/15/38 (a)(b)(c) 780,000 779,766 
BSREP Commercial Mortgage Trust floater Series 2021-DC Class D, 1 month U.S. LIBOR + 1.900% 1.99% 8/15/38 (a)(b)(c) 340,000 337,889 
BX Commercial Mortgage Trust:   
floater:   
Series 2020-BXLP:   
Class C, 1 month U.S. LIBOR + 1.120% 1.21% 12/15/36 (a)(b)(c) 663,857 661,793 
Class D, 1 month U.S. LIBOR + 1.250% 1.34% 12/15/36 (a)(b)(c) 634,631 631,848 
Series 2021-PAC Class A, 1 month U.S. LIBOR + 0.680% 0.7791% 10/15/36 (a)(b)(c) 1,872,000 1,866,735 
Series 2021-VINO Class A, 1 month U.S. LIBOR + 0.650% 0.7423% 5/15/38 (a)(b)(c) 1,600,000 1,595,129 
floater sequential payer Series 2020-BXLP Class A, 1 month U.S. LIBOR + 0.800% 0.89% 12/15/36 (a)(b)(c) 1,948,150 1,946,318 
BX Trust:   
floater:   
Series 2019-XL Class B, 1 month U.S. LIBOR + 1.080% 1.17% 10/15/36 (a)(b)(c) 382,500 381,661 
Series 2021-ACNT Class A, 1 month U.S. LIBOR + 0.850% 0.95% 11/15/26 (a)(b)(c) 1,838,000 1,833,419 
Series 2021-ARIA Class C, 1 month U.S. LIBOR + 1.640% 1.736% 10/15/36 (a)(b)(c) 590,000 587,784 
Series 2021-BXMF Class A, 1 month U.S. LIBOR + 0.630% 0.7259% 10/15/26 (a)(b)(c) 1,715,000 1,701,672 
Series 2021-SOAR Class D, 1 month U.S. LIBOR + 1.400% 1.49% 6/15/38 (a)(b)(c) 665,000 660,872 
floater sequential payer Series 2021-SOAR Class A, 0.76% 6/15/38 (a)(b) 1,777,000 1,767,029 
floater, sequential payer:   
Series 2019-IMC Class A, 1 month U.S. LIBOR + 1.000% 1.089% 4/15/34 (a)(b)(c) 2,135,000 2,130,319 
Series 2019-XL Class A, 1 month U.S. LIBOR + 0.920% 1.01% 10/15/36 (a)(b)(c) 5,095,725 5,095,724 
CGDB Commercial Mortgage Trust floater Series 2019-MOB:   
Class A, 1 month U.S. LIBOR + 0.950% 1.0395% 11/15/36 (a)(b)(c) 1,033,000 1,030,412 
Class D, 1 month U.S. LIBOR + 1.650% 1.7395% 11/15/36 (a)(b)(c) 1,545,000 1,527,653 
CHC Commercial Mortgage Trust floater Series 2019-CHC Class A, 1 month U.S. LIBOR + 1.120% 1.21% 6/15/34 (a)(b)(c) 3,715,877 3,708,887 
CIM Retail Portfolio Trust floater Series 2021-RETL Class A, 1 month U.S. LIBOR + 1.400% 1.49% 8/15/36 (a)(b)(c) 1,166,000 1,163,802 
Citigroup Commercial Mortgage Trust:   
sequential payer:   
Series 2012-GC8 Class A/S, 3.683% 9/10/45 (a) 2,157,000 2,182,871 
Series 2015-GC27 Class AAB, 2.944% 2/10/48 3,303,415 3,392,373 
Series 2013-375P Class C, 3.6348% 5/10/35 (a)(b) 560,000 565,579 
COMM Mortgage Trust:   
sequential payer Series 2013-300P Class A1, 4.353% 8/10/30 (a) 620,000 644,641 
Series 2014-CR15 Class B, 4.8116% 2/10/47 (b) 920,000 977,199 
Series 2014-CR19 Class AM, 4.08% 8/10/47 860,000 911,649 
Series 2014-UBS2 Class B, 4.701% 3/10/47 915,000 965,708 
Series 2015-CR22 Class B, 3.926% 3/10/48 (b) 405,000 427,153 
Series 2020-CMB Class D, 3.7538% 2/10/37 (a)(b) 560,000 556,095 
Credit Suisse Mortgage Trust:   
floater Series 2019-ICE4:   
Class A, 1 month U.S. LIBOR + 0.980% 1.07% 5/15/36 (a)(b)(c) 5,485,000 5,484,999 
Class C, 1 month U.S. LIBOR + 1.430% 1.52% 5/15/36 (a)(b)(c) 1,015,000 1,011,184 
Class D, 1 month U.S. LIBOR + 1.600% 1.69% 5/15/36 (a)(b)(c) 780,000 778,951 
sequential payer Series 2020-NET Class A, 2.2569% 8/15/37 (a) 455,000 460,133 
Series 2020-NET Class D, 3.8277% 8/15/37 (a)(b) 985,000 1,008,127 
CSAIL Commercial Mortgage Trust:   
sequential payer Series 2015-C3 Class A4, 3.7182% 8/15/48 670,000 715,518 
Series 2019-C16 Class A1, 2.3595% 6/15/52 402,571 408,104 
CSMC Trust Series 2017-CHOP Class A, 1 month U.S. LIBOR + 1.000% 1.09% 7/15/32 (a)(b)(c) 4,189,000 4,179,548 
ELP Commercial Mortgage Trust floater Series 2021-ELP Class A, 1 month U.S. LIBOR + 0.700% 0.801% 11/15/38 (a)(b)(c) 2,555,000 2,543,006 
Extended Stay America Trust floater Series 2021-ESH:   
Class A, 1 month U.S. LIBOR + 1.080% 1.17% 7/15/38 (a)(b)(c) 858,534 858,019 
Class C, 1 month U.S. LIBOR + 1.700% 1.79% 7/15/38 (a)(b)(c) 810,782 810,538 
Fontainebleau Miami Beach Trust Series 2019-FBLU Class B, 3.447% 12/10/36 (a) 1,075,000 1,102,578 
GCT Commercial Mortgage Trust floater Series 2021-GCT Class A, 1 month U.S. LIBOR + 0.800% 0.89% 2/15/38 (a)(b)(c) 555,000 555,491 
Great Wolf Trust floater Series 2019-WOLF:   
Class A, 1 month U.S. LIBOR + 1.030% 1.124% 12/15/36 (a)(b)(c) 1,906,000 1,902,407 
Class C, 1 month U.S. LIBOR + 1.630% 1.723% 12/15/36 (a)(b)(c) 600,000 595,485 
GS Mortgage Securities Corp. Trust floater Series 2021-ROSS Class B, 1 month U.S. LIBOR + 1.600% 1.69% 5/15/26 (a)(b)(c) 685,000 685,379 
GS Mortgage Securities Trust floater Series 2021-IP Class A, 1 month U.S. LIBOR + 0.950% 1.04% 10/15/36 (a)(b)(c) 1,087,000 1,087,323 
Intown Hotel Portfolio Trust Series 2018-STAY:   
Class A, 1 month U.S. LIBOR + 0.950% 1.04% 1/15/33 (a)(b)(c) 245,000 245,001 
Class C, 1 month U.S. LIBOR + 1.500% 1.59% 1/15/33 (a)(b)(c) 205,000 204,939 
J.P. Morgan Chase Commercial Mortgage Securities Trust floater Series 2020-609M:   
Class B, 1 month U.S. LIBOR + 1.770% 1.86% 10/15/33 (a)(b)(c) 995,000 993,119 
Class C, 1 month U.S. LIBOR + 2.170% 2.26% 10/15/33 (a)(b)(c) 805,000 803,478 
JPMorgan Chase Commercial Mortgage Securities Trust floater:   
Series 2018-GW Class A, 1 month U.S. LIBOR + 0.800% 0.89% 5/15/35 (a)(b)(c) 2,440,000 2,435,383 
Series 2019-BKWD:   
Class A, 1 month U.S. LIBOR + 1.000% 1.09% 9/15/29 (a)(b)(c) 1,911,000 1,907,362 
Class B, 1 month U.S. LIBOR + 1.350% 1.44% 9/15/29 (a)(b)(c) 1,830,000 1,811,606 
Class C, 1 month U.S. LIBOR + 1.600% 1.69% 9/15/29 (a)(b)(c) 575,000 566,338 
KKR Industrial Portfolio Trust floater Series 2021-KDIP Class D, 1 month U.S. LIBOR + 1.250% 1.3395% 12/15/37 (a)(b)(c) 198,750 195,390 
KNDR Trust floater Series 2021-KIND Class C, 1 month U.S. LIBOR + 1.750% 1.84% 8/15/38 (a)(b)(c) 980,000 976,318 
LIFE Mortgage Trust floater Series 2021-BMR Class A, 1 month U.S. LIBOR + 0.700% 0.79% 3/15/38 (a)(b)(c) 1,660,000 1,656,633 
Merit floater:   
Series 2020-HILL:   
Class A, 1 month U.S. LIBOR + 1.150% 1.24% 8/15/37 (a)(b)(c) 543,187 542,337 
Class B, 1 month U.S. LIBOR + 1.400% 1.49% 8/15/37 (a)(b)(c) 778,003 776,785 
Class C, 1 month U.S. LIBOR + 1.700% 1.79% 8/15/37 (a)(b)(c) 386,644 386,038 
Class D, 1 month U.S. LIBOR + 2.350% 2.44% 8/15/37 (a)(b)(c) 518,669 517,856 
Series 2021-STOR Class A, 1 month U.S. LIBOR + 0.700% 0.79% 7/15/38 (a)(b)(c) 907,000 903,310 
MHC Commercial Mortgage Trust floater Series 2021-MHC Class B, 1 month U.S. LIBOR + 1.100% 1.1905% 4/15/38 (a)(b)(c) 710,000 708,224 
MHC Trust floater Series 2021-MHC2 Class B, 1 month U.S. LIBOR + 1.100% 1.19% 5/15/23 (a)(b)(c) 660,000 655,899 
Morgan Stanley BAML Trust Series 2014-C18 Class A/S, 4.11% 10/15/47 370,000 390,469 
Morgan Stanley Capital I Trust:   
floater:   
Series 2018-BOP Class A, 1 month U.S. LIBOR + 0.850% 0.94% 8/15/33 (a)(b)(c) 5,578,279 5,574,876 
Series 2019-NUGS Class D, 1 month U.S. LIBOR + 1.800% 3.3% 12/15/36 (a)(b)(c) 510,000 511,388 
sequential payer Series 2014-150E Class A, 3.912% 9/9/32 (a) 1,325,000 1,391,555 
Series 2019-MEAD Class D, 3.283% 11/10/36 (a)(b) 1,150,000 1,130,038 
New Orleans Hotel Trust floater Series 2019-HNLA Class B, 1 month U.S. LIBOR + 1.289% 1.3777% 4/15/32 (a)(b)(c) 1,585,000 1,571,477 
OPG Trust floater Series 2021-PORT Class A, 1 month U.S. LIBOR + 0.480% 0.574% 10/15/36 (a)(b)(c) 4,110,000 4,077,564 
RLGH Trust floater Series 2021-TROT Class A, 1 month U.S. LIBOR + 0.800% 0.89% 4/15/36 (a)(b)(c) 650,000 650,172 
Shelter Growth CRE Issuer Ltd. floater Series 2021-FL3 Class A, 1 month U.S. LIBOR + 1.080% 1.1695% 9/15/36 (a)(c) 580,000 578,584 
Slide floater Series 2018-FUN Class D, 1 month U.S. LIBOR + 2.100% 2.19% 6/15/31 (a)(b)(c) 764,775 749,399 
SREIT Trust floater Series 2021-MFP Class A, 1 month U.S. LIBOR + 0.730% 0.8308% 11/15/38 (a)(b)(c) 1,753,000 1,742,952 
UBS-Barclays Commercial Mortgage Trust floater Series 2013-C6 Class A3, 1 month U.S. LIBOR + 0.790% 0.8795% 4/10/46 (a)(b)(c) 2,917,076 2,911,080 
Vista Point Securitization Trust sequential payer Series 2020-1 Class A1, 1.763% 3/25/65 (a) 194,159 194,784 
Wells Fargo Commercial Mortgage Trust Series 2015-NXS2 Class A2, 3.02% 7/15/58 275,793 280,308 
WF-RBS Commercial Mortgage Trust Series 2012-C6 Class B, 4.697% 4/15/45 760,000 763,226 
TOTAL COMMERCIAL MORTGAGE SECURITIES   
(Cost $112,143,143)  111,990,298 
Municipal Securities - 0.1%   
Chicago Transit Auth. Series 2020 B:   
1.708% 12/1/22 $40,000 $40,420 
1.838% 12/1/23 35,000 35,534 
2.064% 12/1/24 105,000 107,090 
Connecticut Gen. Oblig. Series A:   
1.998% 7/1/24 285,000 292,801 
2% 7/1/23 115,000 117,507 
2.098% 7/1/25 190,000 196,271 
Dallas Fort Worth Int'l. Arpt. Rev. Series 2020 C, 1.329% 11/1/25 245,000 245,835 
Houston Arpt. Sys. Rev. Series 2020 C:   
0.883% 7/1/22 70,000 70,257 
1.054% 7/1/23 120,000 120,928 
1.272% 7/1/24 400,000 403,152 
Illinois Gen. Oblig. Series 2020 A, 2.25% 10/1/22 1,640,000 1,656,902 
Long Island Pwr. Auth. Elec. Sys. Rev. Series 2020 C, 0.764% 3/1/23 360,000 360,298 
TOTAL MUNICIPAL SECURITIES   
(Cost $3,605,361)  3,646,995 
Bank Notes - 0.4%   
BBVA U.S.A. 2.875% 6/29/22 12,000,000 12,144,190 
Capital One NA 2.15% 9/6/22 1,370,000 1,385,046 
Citizens Bank NA 3.25% 2/14/22 1,015,000 1,018,481 
First Republic Bank 1.912% 2/12/24 (b) 2,031,000 2,056,265 
PNC Bank NA 2.95% 1/30/23 695,000 712,018 
Truist Bank 1.25% 3/9/23 7,000,000 7,045,219 
TOTAL BANK NOTES   
(Cost $24,272,597)  24,361,219 
Commercial Paper - 1.0%   
AT&T, Inc. 0% 12/14/21 2,185,000 2,184,882 
Enel Finance America LLC:   
yankee 0.37% 7/11/22 7,000,000 6,982,699 
0.4% 8/11/22 5,000,000 4,985,219 
General Motors Financial Co., Inc.:   
0.34% 1/20/22 5,000,000 4,997,585 
0.38% 3/21/22 5,000,000 4,993,849 
0.4% 3/28/22 5,000,000 4,993,363 
HSBC U.S.A., Inc.:   
yankee 0.4% 2/9/22 10,000,000 9,994,853 
0.33% 10/4/22 5,000,000 4,979,467 
NatWest Markets PLC yankee 0.35% 4/19/22 10,000,000 9,991,172 
Viatris, Inc.:   
0.45% 12/20/21 8,000,000 7,998,414 
0.68% 4/26/22 5,000,000 4,990,200 
TOTAL COMMERCIAL PAPER   
(Cost $67,088,937)  67,091,703 
 Shares Value 
Short-Term Funds - 59.9%   
Short-Term Funds - 59.9%   
Baird Short-Term Bond Fund - Institutional Class 17,765,488 $173,924,131 
Baird Ultra Short Bond Fund Institutional Class 40,760,623 409,644,260 
BlackRock Low Duration Bond Portfolio Investor A Shares 28,327,287 272,791,772 
Fidelity SAI Short-Term Bond Fund (f) 28,535,247 283,640,353 
iShares Floating Rate Bond ETF (g) 1,477,153 74,935,972 
iShares Short Maturity Bond ETF (g) 4,526,102 226,305,100 
iShares Short Treasury Bond ETF (g) 2,161,608 238,619,907 
iShares Ultra Short-Term Bond ETF 2,537,045 127,968,550 
JPMorgan Ultra-Short Income ETF (g) 4,701,077 237,827,485 
Metropolitan West Low Duration Bond Fund - Class M 28,834,868 255,188,581 
PIMCO Enhanced Low Duration Active ETF 747,550 75,569,830 
PIMCO Enhanced Short Maturity Active ETF (g) 3,163,695 321,716,145 
PIMCO Short-Term Fund Institutional Class 90,333,584 882,559,099 
Prudential Short-Term Corporate Bond Fund, Inc. Class A 1,827,943 20,363,281 
T. Rowe Price Ultra Short-Term Bond Fund 56,332,039 285,603,436 
TOTAL SHORT-TERM FUNDS   
(Cost $3,872,788,190)  3,886,657,902 
Money Market Funds - 3.9%   
Fidelity Cash Central Fund 0.06% (h) 77,384,668 77,400,145 
Fidelity Investments Money Market Government Portfolio Institutional Class 0.01% (f)(i) 145,829,551 145,829,551 
Fidelity Securities Lending Cash Central Fund 0.07% (h)(j) 23,291,409 23,293,739 
State Street Institutional U.S. Government Money Market Fund Premier Class 0.03% (i) 7,076,789 7,076,789 
TOTAL MONEY MARKET FUNDS   
(Cost $253,595,250)  253,600,224 
TOTAL INVESTMENT IN SECURITIES - 100.9%   
(Cost $6,528,102,066)  6,545,332,443 
NET OTHER ASSETS (LIABILITIES) - (0.9)%  (60,139,690) 
NET ASSETS - 100%  $6,485,192,753 

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) 583 March 2022 $127,522,141 $84,309 $84,309 
Sold      
Treasury Contracts      
CBOT 10-Year U.S. Treasury Note Contracts (United States) 52 March 2022 6,802,250 (38,668) (38,668) 
CBOT 5-Year U.S. Treasury Note Contracts (United States) 152 March 2022 18,452,563 (63,153) (63,153) 
CBOT Ultra 10-Year U.S. Treasury Note Contracts (United States) 35 March 2022 5,141,172 (89,190) (89,190) 
Total Sold     $(191,011) 
TOTAL FUTURES CONTRACTS     $(106,702) 

The notional amount of futures purchased as a percentage of Net Assets is 2.0%

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

Security Type Abbreviations

ETF – Exchange-Traded Fund

Legend

 (a) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $784,181,603 or 12.1% of net assets.

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

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

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

 (e) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $387,733.

 (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

Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.

Fund Value, beginning of period Purchases Sales Proceeds Dividend Income Realized Gain/Loss Change in Unrealized appreciation (depreciation) Value, end of period % ownership, end of period 
Fidelity Cash Central Fund 0.06% $140,618,356 $335,775,897 $398,994,108 $27,571 $-- $-  $77,400,145 0.1% 
Fidelity Securities Lending Cash Central Fund 0.07% 83,337,814 796,049,753 856,093,828 51,064 -- -- 23,293,739 0.1% 
Total $223,956,170 $1,131,825,650 $1,255,087,936 $78,635 $-- $-  $100,693,884  

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

Affiliated Underlying Funds

Fiscal year to date information regarding the Fund's investments in affiliated Underlying Funds is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur. If an underlying Fund changes its name, the name presented below is the name in effect at period end.

Affiliate Value, beginning of period Purchases Sales Proceeds Dividend Income Realized Gain (loss) Change in Unrealized appreciation (depreciation) Value, end of period 
Fidelity Investments Money Market Government Portfolio Institutional Class 0.01% $367,658,318 $161,616,089 $383,444,856 $12,542 $-- $-- $145,829,551 
Fidelity SAI Short-Term Bond Fund 285,020,885 615,423 -- 615,430 -- (1,995,955) 283,640,353 
Total $652,679,203 $162,231,512 $383,444,856 $627,972 $-- $(1,995,955) $429,469,904 

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, 2021, 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 $1,472,663,087 $-- $1,472,663,087 $-- 
U.S. Government and Government Agency Obligations 201,549,408 -- 201,549,408 -- 
U.S. Government Agency - Mortgage Securities 24,768,472 -- 24,768,472 -- 
Asset-Backed Securities 427,137,396 -- 427,137,396 -- 
Collateralized Mortgage Obligations 71,865,739 -- 71,865,739 -- 
Commercial Mortgage Securities 111,990,298 -- 111,990,298 -- 
Municipal Securities 3,646,995 -- 3,646,995 -- 
Bank Notes 24,361,219 -- 24,361,219 -- 
Commercial Paper 67,091,703 -- 67,091,703 -- 
Short-Term Funds 3,886,657,902 3,886,657,902 -- -- 
Money Market Funds 253,600,224 253,600,224 -- -- 
Total Investments in Securities: $6,545,332,443 $4,140,258,126 $2,405,074,317 $-- 
Derivative Instruments:     
Assets     
Futures Contracts $84,309 $84,309 $-- $-- 
Total Assets $84,309 $84,309 $-- $-- 
Liabilities     
Futures Contracts $(191,011) $(191,011) $-- $-- 
Total Liabilities $(191,011) $(191,011) $-- $-- 
Total Derivative Instruments: $(106,702) $(106,702) $-- $-- 

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, 2021. 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) $84,309 $(191,011) 
Total Interest Rate Risk 84,309 (191,011) 
Total Value of Derivatives $84,309 $(191,011) 

 (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, 2021 (Unaudited) 
Assets   
Investment in securities, at value (including securities loaned of $22,781,331) — See accompanying schedule:
Unaffiliated issuers (cost $5,996,365,522) 		$6,015,168,655  
Fidelity Central Funds (cost $100,688,909) 100,693,884  
Other affiliated issuers (cost $431,047,635) 429,469,904  
Total Investment in Securities (cost $6,528,102,066)  $6,545,332,443 
Cash  3,646,709 
Receivable for investments sold  3,339,532 
Receivable for fund shares sold  4,295,816 
Interest receivable  6,857,537 
Distributions receivable from Fidelity Central Funds  13,562 
Prepaid expenses  5,209 
Other receivables  135,782 
Total assets  6,563,626,590 
Liabilities   
Payable for investments purchased   
Regular delivery $35,463,175  
Delayed delivery 12,217,278  
Payable for fund shares redeemed 6,493,255  
Distributions payable 479,989  
Accrued management fee 216,421  
Payable for daily variation margin on futures contracts 110,409  
Other payables and accrued expenses 182,110  
Collateral on securities loaned 23,271,200  
Total liabilities  78,433,837 
Net Assets  $6,485,192,753 
Net Assets consist of:   
Paid in capital  $6,460,320,842 
Total accumulated earnings (loss)  24,871,911 
Net Assets  $6,485,192,753 
Net Asset Value, offering price and redemption price per share ($6,485,192,753 ÷ 642,545,948 shares)  $10.09 

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


Statement of Operations

  Six months ended November 30, 2021 (Unaudited) 
Investment Income   
Dividends:   
Unaffiliated issuers  $10,130,097 
Affiliated issuers  513,944 
Interest  11,369,709 
Income from Fidelity Central Funds (including $51,064 from security lending)  78,635 
Total income  22,092,385 
Expenses   
Management fee $9,086,628  
Custodian fees and expenses 23,406  
Independent trustees' fees and expenses 22,469  
Registration fees 63,203  
Audit 39,304  
Legal 5,721  
Miscellaneous 20,016  
Total expenses before reductions 9,260,747  
Expense reductions (7,794,283)  
Total expenses after reductions  1,466,464 
Net investment income (loss)  20,625,921 
Realized and Unrealized Gain (Loss)   
Net realized gain (loss) on:   
Investment securities:   
Unaffiliated issuers 766,492  
Futures contracts (408,999)  
Capital gain distributions from underlying funds:   
Affiliated issuers 114,028  
Total net realized gain (loss)  471,521 
Change in net unrealized appreciation (depreciation) on:   
Investment securities:   
Unaffiliated issuers (31,564,322)  
Affiliated issuers (1,995,955)  
Futures contracts (73,466)  
Total change in net unrealized appreciation (depreciation)  (33,633,743) 
Net gain (loss)  (33,162,222) 
Net increase (decrease) in net assets resulting from operations  $(12,536,301) 

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


Statement of Changes in Net Assets

 Six months ended November 30, 2021 (Unaudited) Year ended May 31, 2021 
Increase (Decrease) in Net Assets   
Operations   
Net investment income (loss) $20,625,921 $65,632,999 
Net realized gain (loss) 471,521 40,280,476 
Change in net unrealized appreciation (depreciation) (33,633,743) 24,047,973 
Net increase (decrease) in net assets resulting from operations (12,536,301) 129,961,448 
Distributions to shareholders (13,136,078) (70,450,374) 
Share transactions   
Proceeds from sales of shares 1,149,865,689 3,198,769,089 
Reinvestment of distributions 10,074,085 56,384,302 
Cost of shares redeemed (829,862,876) (5,182,916,407) 
Net increase (decrease) in net assets resulting from share transactions 330,076,898 (1,927,763,016) 
Total increase (decrease) in net assets 304,404,519 (1,868,251,942) 
Net Assets   
Beginning of period 6,180,788,234 8,049,040,176 
End of period $6,485,192,753 $6,180,788,234 
Other Information   
Shares   
Sold 113,642,602 315,709,701 
Issued in reinvestment of distributions 995,813 5,562,128 
Redeemed (81,996,823) (511,257,803) 
Net increase (decrease) 32,641,592 (189,985,974) 

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,     
 2021 2021 2020 2019 2018 2017 
Selected Per–Share Data       
Net asset value, beginning of period $10.13 $10.06 $10.04 $10.03 $10.05 $10.01 
Income from Investment Operations       
Net investment income (loss)A .033 .106 .229 .254 .168 .136 
Net realized and unrealized gain (loss) (.052) .081 .020 .018 (.028) .033 
Total from investment operations (.019) .187 .249 .272 .140 .169 
Distributions from net investment income (.021) (.112) (.229) (.259) (.160) (.129) 
Distributions from net realized gain – (.005) – (.003) – – 
Total distributions (.021) (.117) (.229) (.262) (.160) (.129) 
Net asset value, end of period $10.09 $10.13 $10.06 $10.04 $10.03 $10.05 
Total ReturnB,C (.18)% 1.86% 2.51% 2.75% 1.40% 1.69% 
Ratios to Average Net AssetsD,E       
Expenses before reductions .30%F .30% .30% .32% .35% .36% 
Expenses net of fee waivers, if any .05%F .05% .05% .07% .10% .10% 
Expenses net of all reductions .05%F .05% .05% .07% .10% .10% 
Net investment income (loss) .66%F 1.05% 2.28% 2.54% 1.67% 1.36% 
Supplemental Data       
Net assets, end of period (000 omitted) $6,485,193 $6,180,788 $8,049,040 $7,144,753 $8,841,193 $9,920,937 
Portfolio turnover rateG 34%F 102% 58% 33% 25% 26% 

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

 F 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, 2021

1. Organization.

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

2. Significant Accounting Policies.

The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:

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

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

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

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

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

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

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

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of November 30, 2021 is included at the end of the Fund's Schedule of Investments.

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of a fund include an amount in addition to trade execution, which may be rebated back to a fund. Any such rebates are included in net realized gain (loss) on investments in the Statement of Operations. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Income and capital gain distributions from any underlying mutual funds or exchange-traded funds (ETFs) are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. The principal amount on inflation-indexed securities is periodically adjusted to the rate of inflation and interest is accrued based on the principal amount. The adjustments to principal due to inflation are reflected as increases or decreases to Interest in the accompanying Statement of Operations. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.

Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan) for certain Funds, certain independent Trustees have elected to defer receipt of a portion of their annual compensation. Deferred amounts are invested in affiliated mutual funds, are marked-to-market and remain in a fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees presented below are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, as applicable.

Strategic Advisers Short Duration Fund $135,470 

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, short-term gain distributions from the Underlying Funds, 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 $28,698,788 
Gross unrealized depreciation (11,251,516) 
Net unrealized appreciation (depreciation) $17,447,272 
Tax cost $6,527,778,469 

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 $(6,304,429) 

Delayed Delivery Transactions and When-Issued Securities. During the period, certain Funds transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. Securities purchased on a delayed delivery or when-issued basis are identified as such in the Schedule of Investments. Compensation for interest forgone in the purchase of a delayed delivery or when-issued debt security may be received. With respect to purchase commitments, each applicable Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Payables and receivables associated with the purchases and sales of delayed delivery securities having the same coupon, settlement date and broker are offset. Delayed delivery or when-issued securities that have been purchased from and sold to different brokers are reflected as both payables and receivables in the Statement of Assets and Liabilities under the caption "Delayed delivery", as applicable. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.

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

3. Derivative Instruments.

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

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

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

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

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

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

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

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

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

4. Purchases and Sales of Investments.

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

 Purchases ($) Sales ($) 
Strategic Advisers Short Duration Fund 1,210,111,051 952,889,949 

5. Fees and Other Transactions with Affiliates.

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

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

 Amount 
Strategic Advisers Short Duration Fund $1,397 

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. During the period there were no interfund trades.

Prior Fiscal Year Reallocation of Underlying Fund Investments. During the prior period, the investment adviser reallocated investments of the Fund. This involved taxable redemptions of the Fund's interest in Fidelity Short-Term Bond Fund in exchange for shares of Fidelity SAI Short Term Bond Fund. The Fund redeemed 29,295,214 shares of Fidelity Short-Term Bond Fund in exchange for 25,893,567 shares of Fidelity SAI Short Term Bond Fund with a value of $258,676,739. The Fund had a net realized gain (loss) of $9,260,000 on the Fund's redemptions of Fidelity Short-Term Bond Fund shares which is included in the accompanying Statements of Changes in Net Assets. The Fund recognized net gains on the exchanges for federal income tax purposes.

6. Investments in Fidelity Central Funds.

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

Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.

Fidelity Central Fund Investment Manager Investment Objective Investment Practices Expense Ratio(a) 
Fidelity Money Market Central Funds Fidelity Management & Research Company LLC (FMR) Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. Short-term Investments Less than .005% 

 (a) Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.

A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.

7. Committed Line of Credit.

Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below. During the period, there were no borrowings on this line of credit.

 Amount 
Strategic Advisers Short Duration Fund $5,094 

8. Security Lending.

Funds lend portfolio securities from time to time in order to earn additional income. Lending agents are used, including National Financial Services (NFS), an affiliate of the investment adviser. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of a fund's daily lending revenue, for its services as lending agent. A fund may lend securities to certain qualified borrowers, including NFS. On the settlement date of the loan, a fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of a fund and any additional required collateral is delivered to a fund on the next business day. A fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund may apply collateral received from the borrower against the obligation. A fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Affiliated security lending activity, if any, was as follows:

 Total Security Lending Fees Paid to NFS Security Lending Income From Securities Loaned to NFS Value of Securities Loaned to NFS at Period End 
Strategic Advisers Short Duration Fund $2,314 $– $– 

9. Expense Reductions.

The investment adviser has contractually agreed to waive the Fund's management fee in an amount equal to .25% of the Fund's average net assets until September 30, 2024. During the period, this waiver reduced the Fund's management fee by $ 7,794,272.

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 $11.

10. Other.

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

Funds do not invest in underlying mutual funds for the purpose of exercising management or control; however, investments by funds within their principal investment strategies may represent a significant portion of the underlying mutual fund's net assets. At the end of the period, certain Funds were the owners of record of 10% or more of the total outstanding shares of the following underlying mutual funds as shown below.

Fund Strategic Advisers Short Duration Fund 
Fidelity SAI Short-Term Bond Fund 15% 

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, 2021 to November 30, 2021).

Actual Expenses

The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.

Hypothetical Example for Comparison Purposes

The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

 Annualized Expense Ratio-A Beginning
Account Value
June 1, 2021 		Ending
Account Value
November 30, 2021 		Expenses Paid
During Period-B
June 1, 2021
to November 30, 2021 
Strategic Advisers Short Duration Fund .05%    
Actual  $1,000.00 $998.20 $.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). 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 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), 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 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 2021 meeting, the Board, including the Independent Trustees, unanimously determined to renew the fund's Advisory Contracts. In reaching its determination to renew the fund's Advisory Contracts, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness relative to peer funds of the fund's management fee and total expenses; (iii) the total costs of the services provided by and the profits, if any, realized by Strategic Advisers from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and are realized as the fund grows and whether any economies of scale are appropriately shared with fund shareholders.

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, the Board concluded that the renewal of each Sub-Advisory Agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees charged under the Advisory Contracts bear a reasonable relationship to the services rendered 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 Board also considered steps taken by the Investment Advisers to continue to provide the same nature, extent, and quality of services to the funds during the COVID-19 pandemic.

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

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

Resources Dedicated to Investment Management and Support Services.  The Board reviewed the general qualifications and capabilities of the Investment Advisers' investment staffs, their use of technology, and the Investment Advisers' approach to managing and compensating investment personnel. The Board noted that the Investment Advisers' analysts have extensive resources, tools, and capabilities that allow them to conduct sophisticated quantitative and/or fundamental analysis. Additionally, in its deliberations, the Board considered the Investment Advisers' trading capabilities and resources and global compliance infrastructure, which are integral parts of the investment management process.

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

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

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

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

The following charts considered by the Board show, over the one-, three-, and five-year periods ended December 31, 2020, 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.


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-, three-, and five-year periods ended December 31, 2020. The Board also noted that the fund had out-performed 93%, 87%, and 84% of its peers for the one-, three-, and five-year periods, respectively, ended December 31, 2020. 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.


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, 2020. 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, 2020.

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 those funds and classes in the Total Mapped Group (used by the Board for management fee comparisons) that have similar sales load structures. This comparison, which is a proxy for comparing funds by distribution channel, showed the fund's position relative to competitive funds with similar sales load structures. The Board noted that the fund's total expense ratio ranked below the fund's similar sales load structure group competitive median for the 12-month period ended December 31, 2020.

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 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, the Board concluded that the renewal of each Sub-Advisory Agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.





Fidelity Investments

ASD-SANN-0122
1.934461.109

Strategic Advisers® Tax-Sensitive Short Duration Fund

Offered exclusively to certain managed account clients of Strategic Advisers LLC or its affiliates - not available for sale to the general public



Semi-Annual Report

November 30, 2021

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.

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All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2022 FMR LLC. All rights reserved.



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

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

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

NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE

Neither the Fund nor Fidelity Distributors Corporation is a bank.



Note to Shareholders:

Early in 2020, the outbreak and spread of COVID-19 emerged as a public health emergency that had a major influence on financial markets, primarily based on its impact on the global economy and corporate earnings. On March 11, 2020, the World Health Organization declared the COVID-19 outbreak a pandemic, citing sustained risk of further global spread. The pandemic prompted a number of measures to limit the spread of COVID-19, including travel and border restrictions, quarantines, and restrictions on large gatherings. In turn, these resulted in lower consumer activity, diminished demand for a wide range of products and services, disruption in manufacturing and supply chains, and – given the wide variability in outcomes regarding the outbreak – significant market uncertainty and volatility. To help stem the turmoil, the U.S. government took unprecedented action – in concert with the U.S. Federal Reserve and central banks around the world – to help support consumers, businesses, and the broader economy, and to limit disruption to the financial system.

In general, the overall impact of the pandemic lessened in 2021, amid a resilient economy and widespread distribution of three COVID-19 vaccines granted emergency use authorization from the U.S. Food and Drug Administration (FDA) early in the year. Still, the situation remains dynamic, and the extent and duration of its influence on financial markets and the economy is highly uncertain, due in part to a recent spike in cases based on highly contagious variants of the coronavirus.

Extreme events such as the COVID-19 crisis are exogenous shocks that can have significant adverse effects on mutual funds and their investments. Although multiple asset classes may be affected by market disruption, the duration and impact may not be the same for all types of assets. Fidelity is committed to helping you stay informed amid news about COVID-19 and during increased market volatility, and we continue to take extra steps to be responsive to customer needs. We encourage you to visit us online, where we offer ongoing updates, commentary, and analysis on the markets and our funds.

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, 2021

(by issuer, excluding cash equivalents) % of fund's net assets 
JPMorgan Ultra-Short Municipal Fund Class I 8.4 
Vanguard Short-Term Tax-Exempt Fund Admiral Shares 4.7 
New York Metropolitan Transportation Authority Rev. 2.1 
Federated Hermes Municipal Ultrashort Fund Institutional Shares 1.1 
Saint James Parish Gen. Oblig. 1.0 
New York City Gen. Oblig. 0.9 
Illinois Gen. Oblig. 0.9 
Denver City & County Airport Rev. 0.9 
Main Street Natural Gas, Inc. 0.7 
Harris County Cultural Education Facilities Finance Corp. Rev. 0.7 

Top Five Sectors as of November 30, 2021

 % of fund's net assets 
General Obligations 12.8 
Transportation 10.7 
Synthetics 8.2 
Health Care 6.9 
Other 4.9 

Quality Diversification (% of fund's net assets)

As of November 30, 2021 
   AAA,AA,A 34.8% 
   BBB 6.1% 
   Not Rated 2.1% 
   Equities 14.3% 
   Short-Term Investments and Net Other Assets 42.7% 


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, 2021 
   Municipal Bond Funds 0.1% 
   Short-Term Funds 14.2% 
   Municipal Bonds 24.7% 
   Short-Term Investments and Net Other Assets (Liabilities) 61.0% 


Schedule of Investments November 30, 2021 (Unaudited)

Showing Percentage of Net Assets

Municipal Bonds - 42.7%   
 Principal Amount Value 
Alabama - 0.6%   
Alabama Pub. School & College Auth. Rev. Series 2020 A:   
5% 11/1/22 $1,500,000 $1,566,397 
5% 11/1/24 1,500,000 1,701,509 
Alabama Spl. Care Facilities Fing. Auth. Birmingham Rev. Bonds Series 2006 C1, 1.85%, tender 11/1/22 (a) 1,025,000 1,040,234 
Birmingham Arpt. Auth. Arpt. Series 2020:   
5% 7/1/24 (Build America Mutual Assurance Insured) 325,000 362,867 
5% 7/1/25 (Build America Mutual Assurance Insured) 325,000 376,061 
Black Belt Energy Gas District:   
(Proj. No. 4) Series 2019 A, 4% 6/1/23 1,750,000 1,841,376 
(Proj. No. 6) Series 2021 B:   
4% 12/1/22 500,000 517,712 
4% 12/1/23 1,250,000 1,335,430 
4% 12/1/24 1,250,000 1,372,206 
Bonds:   
Series 2017 A, 4%, tender 7/1/22 (a) 4,750,000 4,832,467 
Series 2021 B, 4%, tender 10/1/52 2,850,000 3,253,343 
Series 2021 A:   
4% 12/1/21 435,000 435,000 
4% 6/1/22 340,000 346,181 
4% 12/1/22 470,000 486,985 
4% 6/1/23 400,000 421,318 
4% 12/1/23 435,000 465,540 
Chatom Indl. Dev. Board Gulf Opportunity Zone Series 2020, 5% 8/1/23 (FSA Insured) 1,350,000 1,449,552 
Health Care Auth. for Baptist Health Series 2006 B, 0.25%, tender 11/15/37 (a) 1,325,000 1,325,000 
Lower Alabama Gas District (No. 2 Proj.) Series 2020, 4% 12/1/21 100,000 100,000 
Mobile County Board of School Commissioners:   
Series 2016 A:   
5% 3/1/22 15,000 15,175 
5% 3/1/23 20,000 21,117 
5% 3/1/24 25,000 27,543 
5% 3/1/25 25,000 28,541 
Series 2016 B:   
5% 3/1/22 80,000 80,935 
5% 3/1/23 405,000 427,625 
5% 3/1/24 45,000 49,578 
Mobile Indl. Dev. Board Poll. Cont. Rev. Bonds Series 2009 E, 1%, tender 6/26/25 (a) 600,000 605,477 
Montgomery Med. Clinic Facilities Series 2015, 5% 3/1/22 70,000 70,691 
Southeast Alabama Gas Supply District Bonds:   
(Proj. No. 2) Series 2018 A, 4%, tender 6/1/24 (a) 1,695,000 1,826,345 
Series 2018 A, 4%, tender 4/1/24 (a) 4,000,000 4,293,768 
Southeast Energy Auth. Rev. Bonds:   
(Proj. No. 1) Series 2021 A:   
4% 10/1/22 355,000 365,295 
4% 10/1/23 425,000 450,960 
(Proj. No. 2) Series 2021 B1:   
4% 6/1/22 770,000 783,921 
4% 6/1/23 1,500,000 1,579,016 
4% 6/1/24 1,090,000 1,181,544 
4% 6/1/25 300,000 333,470 
Univ. of South Alabama Univ. Rev. Series 2021, 4% 4/1/26 500,000 568,384 
TOTAL ALABAMA  35,938,563 
Alaska - 0.3%   
Alaska Hsg. Fin. Corp. Series 2021 A:   
3% 12/1/23 450,000 473,951 
3% 6/1/24 400,000 425,855 
Alaska Hsg. Fin. Corp. Mtg. Rev. Series 2020 A:   
0.3% 12/1/21 665,000 665,000 
0.35% 6/1/22 660,000 660,336 
0.4% 12/1/22 750,000 750,551 
Alaska Int'l. Arpts. Revs.:   
Series 2016 C:   
5% 10/1/22 (b) 1,605,000 1,668,535 
5% 10/1/23 (b) 425,000 461,043 
Series 2021 C, 5% 10/1/23 (b) 1,525,000 1,654,333 
Alaska Muni. Bond Bank:   
Series 1, 5% 12/1/21 1,000,000 1,000,000 
Series 2021 1, 5% 12/1/22 2,190,000 2,293,627 
Anchorage Gen. Oblig.:   
Series B, 5% 9/1/22 30,000 31,079 
Series C, 5% 9/1/22 20,000 20,722 
Northern Tobacco Securitization Corp. Tobacco Settlement Rev. Series 2021 A:   
3% 6/1/22 600,000 607,793 
4% 6/1/23 1,000,000 1,053,430 
5% 6/1/24 1,000,000 1,111,734 
5% 6/1/25 715,000 822,366 
5% 6/1/26 1,000,000 1,185,963 
TOTAL ALASKA  14,886,318 
Arizona - 1.5%   
Arizona Board of Regents Arizona State Univ. Rev.:   
Series 2015 B, 5% 7/1/26 790,000 913,812 
Series 2021:   
5% 8/1/24 1,000,000 1,123,178 
5% 8/1/25 700,000 814,436 
Arizona Board of Regents Ctfs. of Prtn. Series 2015 A, 5% 6/1/22 150,000 153,548 
Arizona Ctfs. of Prtn. Series 2019 A:   
5% 10/1/24 (Escrowed to Maturity) 195,000 220,303 
5% 10/1/25 (Escrowed to Maturity) 570,000 667,574 
Arizona Health Facilities Auth. Rev.:   
(Scottsdale Lincoln Hospitals Proj.) Series 2014 A:   
5% 12/1/21 25,000 25,000 
5% 12/1/22 15,000 15,714 
5% 12/1/23 20,000 21,852 
5% 12/1/24 45,000 51,091 
Bonds Series 2013 A3, SIFMA Municipal Swap Index + 1.850% 1.9%, tender 2/1/23 (a)(c) 2,000,000 2,017,988 
Series 2015 A:   
5% 1/1/22 370,000 371,436 
5% 1/1/23 160,000 168,224 
Arizona Indl. Dev. Auth. Hosp. Rev.:   
Series 2020 A:   
5% 2/1/24 600,000 659,290 
5% 2/1/26 750,000 883,370 
Series 2021 A, 5% 2/1/23 1,000,000 1,054,411 
Arizona State Univ. Ctfs. of Partnership (Arizona State Univ. Projs.) Series 2013 A, 5% 9/1/25 1,085,000 1,170,421 
Bullhead City Excise Taxes Series 2021 2, 0.75% 7/1/25 325,000 323,040 
Chandler Indl. Dev. Auth. Indl. Dev. Rev. Bonds (Intel Corp. Proj.):   
Series 2005, 2.4%, tender 8/14/23 (a) 5,100,000 5,265,101 
Series 2007, 2.7%, tender 8/14/23 (a)(b) 6,820,000 7,065,930 
Series 2019, 5%, tender 6/3/24 (a)(b) 7,610,000 8,411,042 
Coconino County Poll. Cont. Corp. Rev. Bonds:   
Series 2017 A, 1.875%, tender 3/31/23 (a)(b) 1,145,000 1,164,791 
Series 2017 B, 1.65%, tender 3/31/23 (a) 1,020,000 1,036,368 
Glendale Union School District 205 Series A:   
5% 7/1/24 (FSA Insured) 225,000 251,092 
5% 7/1/25 (FSA Insured) 225,000 260,176 
Glendale Gen. Oblig.:   
Series 2015, 5% 7/1/22 (FSA Insured) 20,000 20,560 
Series 2017, 5% 7/1/22 75,000 77,100 
Glendale Trans. Excise Tax Rev. Series 2015:   
5% 7/1/22 (FSA Insured) 25,000 25,700 
5% 7/1/23 (FSA Insured) 30,000 32,230 
Maricopa County Indl. Dev. Auth. Series 2019 A, 5% 9/1/23 365,000 394,939 
Maricopa County Rev.:   
Bonds:   
Series 2019 B, SIFMA Municipal Swap Index + 0.380% 0.43%, tender 12/2/21 (a)(c) 4,065,000 4,066,535 
Series B, 5%, tender 10/18/22 (a) 2,980,000 3,103,782 
Series 2016 A:   
4% 1/1/24 115,000 123,640 
5% 1/1/25 105,000 119,534 
Maricopa County Spl. Health Care District Gen. Oblig. Series 2021 D, 5% 7/1/25 1,000,000 1,154,412 
Maricopa County Unified School District #48 Scottsdale Series D, 4% 7/1/23 500,000 529,611 
Mesa Util. Sys. Rev.:   
Series 2016, 5% 7/1/25 1,015,000 1,177,213 
Series 2020, 5% 7/1/24 635,000 710,731 
Phoenix Civic Impt. Board Arpt. Rev.:   
Series 2017 A:   
5% 7/1/22 (b) 715,000 734,891 
5% 7/1/24 (b) 1,020,000 1,134,102 
Series 2017 D:   
5% 7/1/22 940,000 966,038 
5% 7/1/24 250,000 279,334 
Series 2018, 5% 7/1/23 (b) 1,100,000 1,181,395 
Series 2019 B:   
5% 7/1/22 (b) 725,000 744,780 
5% 7/1/23 (b) 1,000,000 1,072,839 
Phoenix Civic Impt. Corp. Wtr. Sys. Rev. Series 2014 B, 5% 7/1/27 400,000 446,606 
Phoenix Indl. Solid Waste Disp. Rev. Bonds (Republic Svc., Inc. Proj.) Series 2013, 0.2%, tender 2/1/22 (a)(b) 23,880,000 23,879,988 
Pima County Ctfs. of Prtn.:   
Series 2014:   
5% 12/1/21 50,000 50,000 
5% 12/1/22 130,000 136,259 
5% 12/1/23 75,000 81,976 
Series 2019, 5% 12/1/26 1,120,000 1,347,107 
Pima County Swr. Sys. Rev. Series 2020 A, 5% 7/1/23 270,000 290,202 
Salt River Proj. Agricultural Impt. & Pwr. District Elec. Sys. Rev. Series 2011 A, 5% 12/1/22 1,000,000 1,000,000 
Tucson Ctfs. of Prtn. Series 2015:   
5% 7/1/22 (FSA Insured) 290,000 298,154 
5% 7/1/23 (FSA Insured) 200,000 215,031 
Yavapai County Indl. Dev. Auth.:   
Series 2016, 5% 8/1/23 275,000 295,996 
Series 2019:   
5% 8/1/22 425,000 438,364 
5% 8/1/23 355,000 382,104 
Yuma Pledged Rev. Series 2021:   
4% 7/1/24 300,000 326,781 
4% 7/1/25 505,000 564,175 
TOTAL ARIZONA  81,511,297 
Arkansas - 0.1%   
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 5,031,621 
Arkansas Dev. Fin. Auth. Pub. Safety Charges (Arkansas Division of Emergency Mgmt. Proj.) Series 2020, 5% 6/1/24 565,000 627,926 
Batesville Pub. Facilities Board Series 2020:   
5% 6/1/22 590,000 601,832 
5% 6/1/23 790,000 836,536 
TOTAL ARKANSAS  7,097,915 
California - 2.8%   
ABC Unified School District Series 2001 C, 0% 8/1/25 (FGIC Insured) (Nat'l. Pub. Fin. Guarantee Corp. Insured) 2,035,000 1,984,136 
Bay Area Toll Auth. San Francisco Bay Toll Bridge Rev. Bonds:   
Series 2017 G, 2%, tender 4/1/24 (a) 1,120,000 1,150,613 
Series 2021 B, 0.280% x SIFMA Municipal Swap Index 0.33%, tender 4/1/24 (a)(c) 2,500,000 2,504,233 
Series A, 2.95%, tender 4/1/26 (a) 115,000 124,068 
Series B, 2.85%, tender 4/1/25 (a) 95,000 101,422 
Burbank Glendale Pasadena Arpt. Auth. Rev. Series B, 5% 7/1/23 (b) 1,290,000 1,383,749 
California Gen. Oblig.:   
Bonds Series 2013, SIFMA Municipal Swap Index + 0.380% 0.43%, tender 12/1/21 (a)(c) 3,270,000 3,270,000 
Series 2011, 5.25% 9/1/22 35,000 36,335 
Series 2015, 5% 3/1/23 310,000 328,522 
Series 2020:   
5% 3/1/22 3,180,000 3,218,390 
5% 11/1/24 500,000 567,013 
Series 2021:   
4% 12/1/22 4,150,000 4,308,463 
5% 12/1/22 4,000,000 4,192,574 
5% 9/1/23 1,000,000 1,082,209 
5% 12/1/23 2,000,000 2,187,277 
5% 12/1/24 565,000 642,752 
California Health Facilities Fing. Auth. Rev.:   
Bonds:   
(Stanford Hosp. & Clinics Proj.) Series 2008 B2, 0.12%, tender 3/2/22 (a) 1,700,000 1,700,000 
Series 2009 C, 5%, tender 10/18/22 (a) 970,000 1,010,819 
Series 2017 A, 5%, tender 11/1/22 (a) 210,000 219,236 
Series 2017 C, 5%, tender 11/1/22 (a) 1,185,000 1,237,118 
Series 2021 A, 3%, tender 8/15/25 (a) 2,000,000 2,181,109 
Series 2013 A, 5% 3/1/22 375,000 379,461 
Series 2015, 5% 11/15/23 200,000 218,535 
Series 2018 A, 5% 11/15/22 195,000 203,879 
California Infrastructure and Econ. Dev. Bank Rev. Bonds:   
(Brightline West Passenger Rail Proj.) Series 2020 A, 0.2%, tender 1/1/22 (a)(b)(d) 10,430,000 10,429,302 
Series 2021 B1, 0.39%, tender 1/1/24 (a) 1,000,000 999,145 
California Muni. Fin. Auth. Solid Waste Disp. Rev. Bonds:   
(Republic Svcs., Inc. Proj.):   
Series 2021 A, 0.3%, tender 4/1/22 (a)(b) 4,200,000 4,201,416 
Series 2021 B, 0.3%, tender 1/18/22 (a)(b) 4,100,000 4,100,633 
(Waste Mgmt., Inc. Proj.):   
Series 2017 A, 0.7%, tender 12/1/23 (a)(b) 1,600,000 1,605,397 
Series 2020, 0.15%, tender 12/1/21 (a)(b) 3,000,000 3,000,000 
California Muni. Fin. Auth. Student Hsg. (CHF Davis II, L.L.C. Orchard Park Student Hsg. Proj.) Series 2021, 5% 5/15/24 (Build America Mutual Assurance Insured) 500,000 553,451 
California Poll. Cont. Fing. Auth. Solid Waste Disp. Rev. Bonds (Republic Svcs., Inc. Proj.):   
Series 2017 A1, 0.18%, tender 1/18/22 (a)(b)(d) 1,150,000 1,150,002 
Series 2017 A2, 0.18%, tender 1/15/22 (a)(b)(d) 7,750,000 7,750,012 
California Pub. Fin. Auth. Rev. Series 2021 A:   
4% 10/15/23 285,000 302,589 
4% 10/15/24 380,000 414,793 
California Pub. Works Board Lease Rev.:   
(Various Cap. Projs.):   
Series 2021 B, 5% 5/1/24 1,095,000 1,216,742 
Series 2022 C, 5% 8/1/23 (e) 1,030,000 1,067,045 
Series 2014 B, 5% 10/1/25 350,000 394,589 
California School Cash Reserve Prog. Auth. Series 2021 L, 2% 1/31/22 7,000,000 7,020,857 
California Statewide Cmntys. Dev. Auth. Series 2021, 4% 5/15/23 1,300,000 1,367,528 
California Statewide Cmntys. Dev. Auth. Rev. Series 2007:   
0.18%, tender 7/1/41 (FSA Insured) (a) 4,475,000 4,475,000 
0.22%, tender 7/1/40 (FSA Insured) (a) 4,275,000 4,275,000 
Cathedral City Redev. Agcy. (Merged Redev. Proj.) Series 2021 C:   
4% 8/1/22 200,000 204,273 
4% 8/1/23 225,000 237,099 
Golden State Tobacco Securitization Corp. Tobacco Settlement Rev.:   
Series 2017 A1:   
5% 6/1/22 40,000 40,927 
5% 6/1/23 45,000 48,093 
5% 6/1/24 25,000 27,815 
Series A, 0% 6/1/24 (Escrowed to Maturity) 75,000 74,151 
Long Beach Hbr. Rev. Series 2020 B, 5% 5/15/24 (b) 1,225,000 1,355,004 
Los Angeles Dept. Arpt. Rev.:   
Series 2016 A, 5% 5/15/22 (b) 250,000 255,353 
Series 2016 B, 5% 5/15/26 (b) 135,000 159,847 
Series 2017 A, 5% 5/15/24 (b) 430,000 476,413 
Series 2017 B, 5% 5/15/23 (b) 800,000 853,966 
Series 2018 D, 5% 5/15/22 (b) 200,000 204,282 
Series 2019 A, 5% 5/15/24 (b) 375,000 415,477 
Series 2019 D, 5% 5/15/24 (b) 415,000 459,794 
Series 2019 E, 4% 5/15/24 200,000 217,799 
Series 2019 F, 5% 5/15/24 (b) 2,610,000 2,891,718 
Series 2020 C, 5% 5/15/24 (b) 250,000 277,309 
Series F, 5% 5/15/22 (b) 1,700,000 1,736,398 
Los Angeles Dept. of Wtr. & Pwr. Rev. Series 2018 B, 4% 1/1/22 200,000 200,000 
Los Angeles Hbr. Dept. Rev. Series 2019 A, 5% 8/1/22 (b) 1,175,000 1,212,187 
Los Angeles Reg'l. Arpts. Impt. Rev. Series 2012, 4.5% 1/1/27 (b) 375,000 376,181 
Los Angeles Unified School District Series 2020 C, 5% 7/1/23 1,200,000 1,290,184 
Metropolitan Wtr. District of Southern California Wtr. Rev. Bonds Series 2017 C, SIFMA Municipal Swap Index + 0.140% 0.19%, tender 5/21/24 (a)(c) 1,000,000 1,000,136 
Mount Diablo Unified School District Series 2022 B, 4% 8/1/26 (e) 510,000 576,072 
Oakland Unified School District Alameda County Series 2013, 5.5% 8/1/23 20,000 21,237 
Palomar Pomerado Health Care Dis:   
Series 2006 A, 0.75%, tender 11/1/36 (FSA Insured) (a) 4,650,000 4,650,000 
Series 2006 B, 0.69%, tender 11/1/36 (FSA Insured) (a) 4,475,000 4,475,000 
Series 2006 C, 0.69%, tender 11/1/36 (FSA Insured) (a) 2,200,000 2,200,000 
Port of Oakland Rev.:   
Series 2012 P, 5% 5/1/23 (Pre-Refunded to 5/1/22 @ 100) (b) 335,000 341,603 
Series 2017 D:   
5% 11/1/23 (b) 500,000 544,448 
5% 11/1/24 (b) 100,000 112,780 
Series H:   
5% 5/1/22 (b) 2,750,000 2,804,433 
5% 5/1/23 (b) 5,515,000 5,881,471 
5% 5/1/24 (b) 930,000 1,029,591 
Riverside County Teeter Plan Series 2021 A, 0.5% 10/20/22 8,000,000 8,021,046 
San Diego County Reg'l. Arpt. Auth. Arpt. Rev.:   
Series 2013 A, 5% 7/1/22 (Escrowed to Maturity) 200,000 205,576 
Series 2013 B, 5% 7/1/22 (Escrowed to Maturity) (b) 1,800,000 1,849,109 
Series 2019 B, 5% 7/1/22 (b) 250,000 256,806 
Series 2020 C:   
5% 7/1/22 (b) 1,475,000 1,515,155 
5% 7/1/23 (b) 545,000 584,607 
San Diego County Reg'l. Trans. Commission Sales Tax Rev. Series A, 5% 10/1/22 4,050,000 4,213,100 
San Diego Pub. Facilities Fing. Auth. Wtr. Rev. Series 2020 A, 5% 8/1/22 250,000 258,049 
San Francisco City & County Arpts. Commission Int'l. Arpt. Rev.:   
Series 2013 A:   
5% 5/1/22 (Escrowed to Maturity) (b) 500,000 509,895 
5% 5/1/23 (b) 705,000 751,120 
Series 2016 A, 5% 5/1/23 225,000 240,084 
Series 2018 A, 5% 5/1/23 (b) 400,000 426,167 
Series 2019 A:   
5% 1/1/22 (b) 3,025,000 3,036,568 
5% 1/1/24 (b) 655,000 715,480 
5% 1/1/25 (b) 575,000 651,751 
Series 2019 H, 5% 5/1/23 (b) 2,000,000 2,130,837 
San Jose Int. Arpt. Rev.:   
Series 2014 A, 5% 3/1/23 (Escrowed to Maturity) (b) 1,400,000 1,481,197 
Series 2017 B, 5% 3/1/23 (Escrowed to Maturity) 200,000 211,859 
Series 2021 A, 5% 3/1/24 (b) 1,000,000 1,099,354 
Series 2021 B, 5% 3/1/24 500,000 552,170 
San Pablo Redev. Agcy. Series 2014 A, 5% 6/15/24 (FSA Insured) 30,000 33,398 
Southern California Pub. Pwr. Auth. Rev. Bonds Series 2020 C, 0.65%, tender 7/1/25 (a) 250,000 249,104 
Washington Township Health Care District Rev. Series A:   
5% 7/1/22 200,000 205,266 
5% 7/1/23 200,000 214,040 
West Contra Costa Unified School District Series 2004 C, 0% 8/1/25 (Nat'l. Pub. Fin. Guarantee Corp. Insured) 260,000 251,383 
TOTAL CALIFORNIA  154,869,576 
Colorado - 0.7%   
Colorado Bridge Enterprise Rev. Series 2017, 4% 6/30/24 (b) 1,330,000 1,444,664 
Colorado Ctfs. of Prtn. Series 2020 A, 5% 12/15/21 2,000,000 2,003,532 
Colorado Health Facilities Auth.:   
Bonds:   
(Valley View Hosp. Assoc. Proj.) Series 2018, 2.8%, tender 5/15/23 (a) 480,000 490,556 
Series 2018 B, 5%, tender 11/20/25 (a) 250,000 293,802 
Series 2019 B:   
5%, tender 8/1/25 (a) 300,000 342,151 
5%, tender 8/1/26 (a) 340,000 400,400 
5%, tender 11/19/26 (a) 1,590,000 1,923,520 
Series 2019 A, 5% 1/1/23 870,000 914,716 
Colorado Health Facilities Auth. Retirement Hsg. Rev. (Liberty Heights Proj.) Series 1991 A, 0% 7/15/22 (Escrowed to Maturity) 620,000 619,169 
Colorado Health Facilities Auth. Rev. Bonds Series 2016 C, 5%, tender 11/15/23 (a) 355,000 388,984 
Colorado Hsg. & Fin. Auth.:   
Series 2019 F, 4.25% 11/1/49 165,000 182,210 
Series 2019 H, 4.25% 11/1/49 85,000 94,008 
Colorado Reg'l. Trans. District (Denver Transit Partners Eagle P3 Proj.) Series 2020:   
5% 1/15/24 750,000 817,979 
5% 1/15/25 650,000 733,210 
Colorado Reg'l. Trans. District Ctfs. of Prtn.:   
Series 2013 A, 5% 6/1/23 250,000 266,856 
Series 2014 A, 5% 6/1/23 85,000 90,731 
Denver City & County Arpt. Rev.:   
Series 2011 A, 5.25% 11/15/22 (b) 1,750,000 1,757,078 
Series 2012 A:   
5% 11/15/22 (b) 520,000 543,625 
5% 11/15/23 (b) 250,000 260,949 
Series 2012 B, 5% 11/15/22 250,000 261,481 
Series 2013 A, 5% 11/15/22 (b) 500,000 522,716 
Series 2013 B, 5% 11/15/24 250,000 272,551 
Series 2016 A, 5% 11/15/23 300,000 327,184 
Series 2017 A:   
5% 11/15/22 (b) 3,455,000 3,611,970 
5% 11/15/23 (b) 2,300,000 2,506,050 
Series 2018 A:   
5% 12/1/21 (b) 1,000,000 1,000,000 
5% 12/1/23 (b) 250,000 272,202 
5% 12/1/29 (b) 185,000 229,829 
Series 2020 A1, 5% 11/15/22 3,200,000 3,346,961 
Series 2020 B1:   
5% 11/15/22 (b) 4,045,000 4,228,776 
5% 11/15/23 (b) 935,000 1,018,764 
E-470 Pub. Hwy. Auth. Rev.:   
Bonds Series 2021 B, U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.350% 0.384%, tender 9/1/24 (a)(c) 3,250,000 3,256,711 
Series 2020 A:   
5% 9/1/23 275,000 297,003 
5% 9/1/24 450,000 505,348 
5% 9/1/25 300,000 348,806 
Univ. of Colorado Enterprise Sys. Rev. Bonds Series 2021 C3A, 2%, tender 10/15/25 (a) 645,000 678,013 
Vauxmont Metropolitan District Series 2019:   
5% 12/15/22 (FSA Insured) 100,000 104,584 
5% 12/15/23 (FSA Insured) 120,000 130,581 
TOTAL COLORADO  36,487,670 
Connecticut - 1.4%   
Bridgeport Gen. Oblig. Series 2020, 1.5% 12/9/21 1,500,000 1,500,296 
City of New Haven Series A, 5% 8/1/22 1,000,000 1,030,898 
Connecticut Gen. Oblig.:   
Series 2013 A, 1.04% 3/1/25 (a) 510,000 519,895 
Series 2014 A, 4% 3/1/22 450,000 454,309 
Series 2015 A:   
4% 3/15/23 250,000 262,047 
5% 3/15/23 280,000 297,086 
Series 2015 C, 5% 6/15/22 400,000 410,414 
Series 2016 A:   
5% 3/15/24 380,000 420,026 
5% 3/15/26 70,000 83,023 
Series 2016 B:   
5% 5/15/22 575,000 587,658 
5% 5/15/24 575,000 639,604 
Series 2016 E, 5% 10/15/23 240,000 260,908 
Series 2017 B, 3% 4/15/22 625,000 631,623 
Series 2018 B, 5% 4/15/22 810,000 824,564 
Series 2018 F, 5% 9/15/22 225,000 233,562 
Series 2019 A:   
5% 4/15/22 670,000 682,047 
5% 4/15/23 1,000,000 1,064,851 
Series 2020 A, 5% 1/15/23 1,740,000 1,832,768 
Series 2021 D:   
5% 7/15/24 300,000 335,868 
5% 7/15/25 495,000 574,474 
Series A:   
3% 1/15/22 1,725,000 1,730,933 
4% 1/15/25 3,500,000 3,884,005 
5% 3/15/23 690,000 732,105 
Series B, 4% 6/15/22 250,000 255,169 
Series C:   
4% 6/1/24 1,050,000 1,143,936 
5% 6/1/24 300,000 306,991 
Series H, 5% 11/15/22 390,000 407,911 
Connecticut Health & Edl. Facilities Auth. Rev.:   
Bonds:   
Series 2014 A, 1.1%, tender 2/7/23 (a) 5,450,000 5,502,978 
Series 2014 B, 1.8%, tender 7/1/24 (a) 545,000 560,203 
Series 2015 A, 0.375%, tender 7/12/24 (a) 1,525,000 1,522,591 
Series 2017 B, 0.55%, tender 7/3/23 (a) 11,050,000 11,087,676 
Series U1, 2%, tender 2/8/22 (a) 975,000 978,284 
Series U2, 2%, tender 2/8/22 (a) 200,000 200,674 
Series X2, 0.25%, tender 2/9/24 (a) 11,565,000 11,517,129 
Series 2013 N, 5% 7/1/24 100,000 107,449 
Series 2014 A, 5% 7/1/27 390,000 435,227 
Series 2017 I1, 5% 7/1/22 275,000 282,503 
Series 2019 A, 5% 7/1/26 260,000 308,501 
Series 2020 K:   
5% 7/1/22 250,000 256,821 
5% 7/1/23 250,000 267,592 
Series 2022 M, 5% 7/1/26 (e) 200,000 231,764 
Series L1:   
4% 7/1/22 800,000 816,906 
4% 7/1/23 225,000 237,626 
4% 7/1/25 600,000 670,307 
Series N:   
5% 7/1/22 780,000 799,150 
5% 7/1/23 830,000 884,183 
5% 7/1/24 375,000 412,477 
Connecticut Higher Ed. Supplemental Ln. Auth. Rev.:   
(Chesla Ln. Prog.) Series 2017 A, 5% 11/15/22 (b) 300,000 313,040 
(Chesla Loan Prog.) Series B:   
5% 11/15/22 (b) 115,000 120,055 
5% 11/15/23 (b) 425,000 461,942 
Series 2017 B, 5% 11/15/23 (b) 125,000 135,763 
Connecticut Hsg. Fin. Auth.:   
Bonds Series 2019 E, 1.625%, tender 11/15/22 (a) 1,620,000 1,621,629 
Series 2013 B2, 4% 11/15/32 5,000 5,076 
Series 2016 E2:   
1.85% 11/15/22 (b) 1,000,000 1,013,547 
2.1% 11/15/23 (b) 1,000,000 1,029,071 
Series 2021, 0.45% 11/15/25 700,000 692,412 
Series A2:   
0.2% 5/15/22 (b) 700,000 699,953 
0.25% 11/15/22 (b) 1,175,000 1,174,475 
0.35% 5/15/23 (b) 825,000 824,152 
0.4% 11/15/23 (b) 300,000 299,358 
Series C:   
5% 5/15/23 (b) 205,000 217,808 
5% 11/15/23 (b) 710,000 768,092 
Connecticut Muni. Elec. Energy Coop. Pwr. Supply Sys. Rev. Series 2012 A, 5% 1/1/23 395,000 396,530 
Connecticut Spl. Tax Oblig. Trans. Infrastructure Rev.:   
Series 2012 A:   
5% 1/1/23 665,000 699,254 
5% 1/1/24 200,000 210,280 
Series 2014 B, 5% 9/1/22 600,000 621,715 
Series 2015 A, 5% 8/1/23 1,370,000 1,477,224 
Series 2021 C:   
5% 1/1/23 795,000 835,950 
5% 1/1/24 215,000 235,558 
5% 1/1/25 535,000 608,349 
Series A:   
4% 1/1/23 315,000 327,828 
5% 1/1/22 355,000 356,396 
5% 5/1/22 280,000 285,637 
5% 12/1/23 700,000 700,000 
New Haven Gen. Oblig.:   
Series 2016 A, 5% 8/15/25 (FSA Insured) 20,000 23,220 
Series B, 5% 2/1/22 350,000 352,686 
Univ. of Connecticut Gen. Oblig.:   
Series 2016 A, 5% 3/15/22 190,000 192,642 
Series 2019 A, 5% 11/1/25 225,000 263,491 
West Haven Gen. Oblig. Series 2021:   
4% 9/15/22 180,000 185,103 
4% 9/15/23 290,000 307,842 
4% 9/15/24 260,000 283,927 
4% 9/15/25 255,000 285,290 
4% 9/15/26 255,000 290,744 
TOTAL CONNECTICUT  76,503,051 
Delaware - 0.1%   
Delaware Econ. Dev. Auth. Rev. Bonds (Delmarva Pwr. & Lt. Co. Proj.) Series A, 1.05%, tender 7/1/25 (a) 565,000 573,261 
Delaware Trans. Auth. Grant Series 2020:   
5% 9/1/22 1,250,000 1,295,143 
5% 9/1/23 1,400,000 1,512,782 
TOTAL DELAWARE  3,381,186 
District Of Columbia - 1.1%   
District of Columbia Gen. Oblig. Series 2021 E, 5% 2/1/24 3,730,000 4,104,554 
District of Columbia Hsg. Fin. Agcy. Multi-family Hsg. Rev. Bonds:   
(218 Vine St. Apts. Proj.) Series 2020, 0.3%, tender 7/1/23 (a) 5,000,000 5,003,667 
(Liberty Place Apts. Proj.) Series 2018, 0.5%, tender 12/1/21 (a) 5,000,000 5,001,386 
(Park Southern Apts. Proj.) Series 2020, 0.7%, tender 6/1/23 (a) 9,000,000 9,015,079 
District of Columbia Income Tax Rev. Series 2012 C, 5% 12/1/21 (Escrowed to Maturity) 275,000 275,000 
Metropolitan Washington DC Arpts. Auth. Sys. Rev.:   
Series 2012 A:   
5% 10/1/22 (b) 140,000 145,518 
5% 10/1/23 (b) 500,000 519,229 
Series 2014 A:   
5% 10/1/23 (b) 110,000 119,329 
5% 10/1/27 (b) 500,000 560,537 
Series 2017 A:   
5% 10/1/24 (b) 115,000 129,027 
5% 10/1/26 (b) 145,000 172,976 
Series 2018 A, 5% 10/1/26 (b) 325,000 387,705 
Series 2019 A:   
5% 10/1/22 (b) 290,000 301,430 
5% 10/1/23 (b) 50,000 54,240 
5% 10/1/25 (b) 155,000 179,744 
Series 2020 A:   
5% 10/1/22 (b) 1,750,000 1,818,975 
5% 10/1/23 (b) 925,000 1,003,448 
5% 10/1/24 (b) 2,575,000 2,889,084 
5% 10/1/25 (b) 530,000 614,610 
Series 2021 A:   
5% 10/1/22 (b) 2,000,000 2,078,828 
5% 10/1/23 (b) 9,750,000 10,576,880 
5% 10/1/24 (b) 8,000,000 8,975,794 
5% 10/1/25 (b) 3,000,000 3,478,922 
5% 10/1/26 (b) 335,000 399,635 
Washington D.C. Metropolitan Transit Auth. Rev. Series 2017 A1, 5% 7/1/24 1,120,000 1,251,418 
TOTAL DISTRICT OF COLUMBIA  59,057,015 
Florida - 1.5%   
Brevard County Hsg. Fin. Auth. Bonds Series 2021, 0.25%, tender 12/1/22 (a) 2,000,000 1,997,201 
Brevard County School Board Ctfs. of Prtn.:   
Series 2014, 5% 7/1/27 115,000 128,179 
Series 2015 C:   
5% 7/1/22 80,000 82,230 
5% 7/1/23 65,000 69,745 
Broward County Arpt. Sys. Rev.:   
Series 2012 P-1:   
5% 10/1/22 (b) 300,000 311,696 
5% 10/1/25 (b) 1,000,000 1,038,387 
Series 2012 P1:   
5% 10/1/23 (b) 235,000 243,977 
5% 10/1/26 (Pre-Refunded to 10/1/22 @ 100) (b) 350,000 363,786 
Series 2012 P2, 5% 10/1/22 415,000 431,357 
series 2012 Q1, 5% 10/1/22 200,000 207,883 
Series 2012 Q2, 5% 10/1/30 (Pre-Refunded to 10/1/22 @ 100) (b) 200,000 207,878 
Series 2013 A:   
5% 10/1/23 (b) 600,000 650,424 
5.125% 10/1/38 (Pre-Refunded to 10/1/23 @ 100) (b) 310,000 336,711 
5.25% 10/1/25 (b) 1,500,000 1,630,582 
Series 2013 C, 5.25% 10/1/25 575,000 626,385 
Series 2015 A, 5% 10/1/22 (b) 75,000 77,924 
Series 2015 C, 5% 10/1/24 (b) 245,000 274,884 
Series 2017, 5% 10/1/25 (b) 500,000 579,820 
Series 2019 B, 5% 10/1/23 (b) 700,000 758,828 
Series C, 5% 10/1/23 (b) 90,000 97,564 
Broward County Port Facilities Rev. Series 2019 D, 5% 9/1/22 (b) 850,000 880,108 
Broward County School Board Ctfs. of Prtn.:   
(Broward County School District Proj.) Series 2017 C, 5% 7/1/22 70,000 71,939 
(Broward County School District) Series 2012 A, 5% 7/1/25 525,000 539,199 
Series 2015 A:   
5% 7/1/22 345,000 354,556 
5% 7/1/23 180,000 193,319 
5% 7/1/24 30,000 33,495 
Series 2015 B:   
5% 7/1/22 100,000 102,770 
5% 7/1/23 85,000 91,290 
5% 7/1/24 25,000 27,913 
Cap. Trust Agcy. Hsg. Rev. Bonds (College Park Towers Apts. Proj.) Series 2021, 1.25%, tender 5/1/23 (a) 3,000,000 3,033,482 
Central Florida Expressway Auth. Sr. Lien Rev.:   
Series 2016 B, 4% 7/1/22 215,000 219,683 
Series 2021, 5% 7/1/24 (FSA Insured) 885,000 990,789 
Citizens Property Ins. Corp.:   
Series 2012 A1, 5% 6/1/22 1,325,000 1,356,541 
Series 2015 A1, 5% 6/1/22 345,000 345,000 
Escambia County Poll. Cont. Rev. (Gulf Pwr. Co. Proj.) Series 2003, 2.6% 6/1/23 2,500,000 2,578,392 
Florida Board of Ed. Lottery Rev. Series 2014 A, 5% 7/1/24 200,000 214,998 
Florida Dev. Fin. Corp. Edl. Facilities (Nova Southeastern Univ. Proj.) Series 2020 A:   
5% 4/1/23 350,000 371,105 
5% 4/1/24 360,000 396,493 
5% 4/1/25 200,000 228,189 
Florida Hsg. Fin. Corp. Rev. Series 2017, 2.05% 1/1/22 125,000 125,153 
Florida Keys Aqueduct Auth. Wtr. Rev. Series 2021 B, 5% 9/1/25 350,000 407,790 
Florida Mid-Bay Bridge Auth. Rev. Series 2015 A:   
5% 10/1/22 45,000 46,555 
5% 10/1/23 55,000 59,338 
5% 10/1/24 45,000 50,340 
5% 10/1/25 40,000 46,172 
5% 10/1/26 45,000 51,824 
Florida Muni. Pwr. Agcy. Rev.:   
Series 2016 A:   
5% 10/1/22 790,000 821,205 
5% 10/1/24 475,000 535,514 
Series 2021 A:   
5% 10/1/22 500,000 519,750 
5% 10/1/23 400,000 433,846 
5% 10/1/24 450,000 507,329 
5% 10/1/25 500,000 582,294 
5% 10/1/26 300,000 359,611 
Greater Orlando Aviation Auth. Arpt. Facilities Rev.:   
Series 2011 B, 4% 10/1/22 (b) 115,000 115,351 
Series 2015 A:   
4% 10/1/22 (b) 350,000 361,012 
4% 10/1/22 (Escrowed to Maturity) (b) 80,000 82,435 
5% 10/1/23 (b) 160,000 173,631 
5% 10/1/23 (Escrowed to Maturity) (b) 40,000 43,339 
Series 2016:   
5% 10/1/23 (b) 2,400,000 2,601,694 
5% 10/1/24 (b) 285,000 319,763 
Series 2017 A:   
5% 10/1/25 (b) 30,000 34,789 
5% 10/1/25 (Escrowed to Maturity) (b) 55,000 64,075 
5% 10/1/26 (b) 10,000 11,929 
5% 10/1/26 (Escrowed to Maturity) (b) 35,000 42,047 
Series 2019 A:   
5% 10/1/22 (b) 2,415,000 2,511,013 
5% 10/1/23 (b) 3,700,000 4,015,214 
Halifax Hosp. Med. Ctr. Rev. Series 2015, 5% 6/1/23 30,000 32,046 
Hillsborough County Aviation Auth. Rev.:   
Series 2013 A, 5.5% 10/1/24 (b) 685,000 747,882 
Series A, 5% 10/1/25 (b) 705,000 762,489 
Hillsborough County School Board Ctfs. of Prtn. Series 2015 A, 5% 7/1/26 230,000 264,191 
Hillsborough County School District Sales Tax Rev. Series 2015 B, 5% 10/1/22 (FSA Insured) 145,000 150,628 
Indian River County School Board Ctfs. of Prtn. Series 2014:   
5% 7/1/22 85,000 87,339 
5% 7/1/23 175,000 187,776 
Jacksonville Elec. Auth. Elec. Sys. Rev. Series 2013 C, 5% 10/1/22 (Escrowed to Maturity) 535,000 556,302 
Lee County Arpt. Rev.:   
Series 2021 A:   
5% 10/1/23 (b) 2,820,000 3,053,201 
5% 10/1/24 (b) 745,000 835,871 
5% 10/1/25 (b) 1,375,000 1,594,506 
Series 2021 B:   
5% 10/1/22 (b) 845,000 877,437 
5% 10/1/23 (b) 800,000 866,156 
5% 10/1/24 (b) 1,250,000 1,402,468 
5% 10/1/25 (b) 925,000 1,072,668 
Manatee County Rev. Series 2013, 5% 10/1/22 20,000 20,802 
Manatee County School District Series 2017, 5% 10/1/24 (FSA Insured) 30,000 33,740 
Miami Beach Health Facilities Auth. Hosp. Rev. (Mount Sinai Med. Ctr. of Florida Proj.) Series 2012, 5% 11/15/22 1,250,000 1,305,315 
Miami Dade County Hsg. Multifamily Hsg. Rev. Bonds:   
Series 2020, 1.4%, tender 4/1/22 (a) 4,000,000 4,002,769 
Series 2021, 0.25%, tender 12/1/22 (a) 3,000,000 2,998,477 
Miami-Dade County Aviation Rev.:   
Series 2012 A:   
5% 10/1/22 (b) 250,000 259,939 
5% 10/1/24 (b) 200,000 207,677 
5% 10/1/29 (Pre-Refunded to 10/1/22 @ 100) (b) 210,000 218,223 
Series 2012 B, 5% 10/1/22 400,000 416,040 
Series 2014, 5% 10/1/22 (b) 485,000 504,282 
Series 2016 A, 5% 10/1/23 335,000 363,604 
Series 2020 A:   
5% 10/1/23 2,435,000 2,642,913 
5% 10/1/25 1,255,000 1,463,115 
Miami-Dade County Expressway Auth.:   
(Waste Mgmt., Inc. of Florida Proj.) Series 2013 A:   
5% 7/1/22 45,000 46,220 
5% 7/1/23 45,000 46,198 
Series 2014 B:   
5% 7/1/22 35,000 35,949 
5% 7/1/23 70,000 75,064 
Miami-Dade County Health Facilities Auth. Hosp. Rev. (Nicklaus Children's Hosp. Proj.) Series 2021 A:   
5% 8/1/22 480,000 495,421 
5% 8/1/23 325,000 350,153 
5% 8/1/24 600,000 672,032 
5% 8/1/25 700,000 811,389 
Miami-Dade County Indl. Dev. Auth. Solid Waste Disp. Rev. Bonds:   
(Waste Mgmt., Inc. of Florida Proj.) Series 2007, 0.32%, tender 11/1/22 (a) 600,000 600,103 
(Waste Mgmt. of Florida Proj.) Series 2018, 0.4%, tender 8/1/23 (a)(b) 1,250,000 1,248,724 
Miami-Dade County School Board Ctfs. of Prtn.:   
Bonds Series 2014 A, 5%, tender 5/1/24 (a) 260,000 287,644 
Series 2014 D:   
5% 11/1/22 120,000 125,300 
5% 11/1/23 300,000 325,824 
Series 2015 A:   
5% 5/1/22 1,210,000 1,234,309 
5% 5/1/23 1,075,000 1,145,483 
5% 5/1/27 (FSA Insured) 265,000 303,753 
Series 2015 D:   
5% 2/1/22 410,000 413,277 
5% 2/1/23 830,000 876,264 
North Sumter County Util. Dependent District Series 2021:   
3% 10/1/22 (FSA Insured) 295,000 301,511 
4% 10/1/24 (FSA Insured) 795,000 870,648 
Okeechobee County Solid Waste Rev. Bonds (Waste Mgmt., Inc.-Okeechobee Landfill Proj.) Series 2004 A, 0.55%, tender 7/1/24 (a) 750,000 747,127 
Orange County Health Facilities Auth. Series B, 5% 10/1/22 1,295,000 1,345,598 
Orange County Hsg. Fin. Auth. Multi-family Rev. Bonds Series 2021 B, 0.55%, tender 7/1/24 (a) 1,450,000 1,448,768 
Orlando & Orange County Expressway Auth. Rev.:   
Series 2012, 5% 7/1/22 530,000 544,744 
Series 2013 B, 5% 7/1/22 250,000 256,955 
Orlando Utils. Commission Util. Sys. Rev.:   
Series 2013 A, 5% 10/1/24 250,000 282,530 
Series 2016 A, 5% 10/1/22 200,000 208,003 
Palm Beach County Edl. Facilities Auth. Series 2021:   
4% 10/1/22 205,000 210,390 
4% 10/1/23 220,000 232,319 
Palm Beach County Health Facilities Auth. Hosp. Rev. Series 2014:   
5% 12/1/21 (Escrowed to Maturity) 35,000 35,000 
5% 12/1/23 (Escrowed to Maturity) 5,000 5,466 
5% 12/1/24 (Escrowed to Maturity) 10,000 11,374 
Palm Beach County School Board Ctfs. of Prtn.:   
Series 2014 B, 5% 8/1/22 40,000 41,277 
Series 2018 A, 5% 8/1/23 100,000 107,739 
Pasco County School District Sales Tax Rev. Series 2013, 5% 10/1/22 20,000 20,787 
Seminole County School Board Ctfs. of Prtn.:   
Series 2012 A, 5% 7/1/23 120,000 128,760 
Series 2016 C:   
5% 7/1/25 20,000 23,081 
5% 7/1/26 25,000 29,775 
Tallahassee Health Facilities Rev. (Tallahassee Memorial Healthcare, Inc. Proj.) Series 2016 A, 5% 12/1/21 65,000 65,000 
Tampa Bay Wtr. Reg'l. Wtr. Supply Auth. Util. Sys. Rev. Series 2005, 5.5% 10/1/22 (FGIC Insured) 30,000 31,330 
Tampa Hosp. Rev. (H. Lee Moffitt Cancer Ctr. Proj.) Series 2020 B:   
5% 7/1/23 90,000 96,585 
5% 7/1/24 75,000 83,636 
5% 7/1/25 100,000 115,403 
5% 7/1/26 175,000 208,166 
5% 7/1/27 150,000 183,199 
Volusia County Edl. Facilities Auth. Rev. (Embry-Riddle Aeronautical Univ., Inc. Proj.) Series 2020 A:   
4% 10/15/22 300,000 309,580 
5% 10/15/23 590,000 640,356 
5% 10/15/24 1,000,000 1,123,229 
5% 10/15/25 1,000,000 1,160,613 
5% 10/15/26 750,000 894,086 
5% 10/15/27 165,000 201,698 
TOTAL FLORIDA  85,053,411 
Georgia - 1.8%   
Atlanta Arpt. Rev.:   
Series 2012 B, 5% 1/1/23 615,000 617,382 
Series 2014 B, 5% 1/1/22 30,000 30,118 
Series 2019 B, 5% 7/1/22 (b) 845,000 868,507 
Series 2020 B, 5% 7/1/24 (b) 1,400,000 1,556,610 
Atlanta Urban Residential Fin. Auth. Bonds (Herndon Square Sr. Apts. Proj.) Series 2019, 1.36%, tender 12/1/21 (a) 3,195,000 3,195,000 
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 4,689,005 
Bartow County Dev. Auth. Poll. Cont. Rev. Bonds (Georgia Pwr. Co. Plant Bowen Proj.):   
Series 2009 1st, 2.75%, tender 3/15/23 (a) 3,360,000 3,457,894 
Series 2013, 1.55%, tender 8/19/22 (a) 2,370,000 2,390,946 
Brookhaven Dev. Auth. Rev. Series 2019 A, 5% 7/1/25 100,000 115,904 
Burke County Indl. Dev. Auth. Poll. Cont. Rev. Bonds:   
(Georgia Pwr. Co. Plant Vogtle Proj.):   
Series 1994, 2.25%, tender 5/25/23 (a) 2,375,000 2,437,523 
Series 2008, 2.925%, tender 3/12/24 (a) 250,000 263,286 
Series 2012 1st, 1.55%, tender 8/19/22 (a) 2,000,000 2,017,676 
Series 2013 1st, 2.925%, tender 3/12/24 (a) 990,000 1,042,614 
(Oglethorpe Pwr. Corp. Vogtle Proj.) Series 2017 E, 3.25%, tender 2/3/25 (a) 100,000 108,048 
Cobb County Kennestone Hosp. Auth. Rev. (WellStar Health Sys., Inc. Proj.):   
Series 2020 A:   
5% 4/1/22 150,000 152,333 
5% 4/1/23 150,000 159,232 
Series 2020 B, 5% 4/1/22 1,120,000 1,137,421 
Fayette County Hosp. Auth. Rev. Bonds (Piedmont Healthcare, Inc. Proj.) Series 2019 A, 5%, tender 7/1/24 (a) 750,000 819,251 
Fulton County Dev. Auth. Rev. Series 2019 C:   
5% 7/1/22 1,000,000 1,027,879 
5% 7/1/23 1,300,000 1,396,838 
Gainesville & Hall County Hosp. Auth. Rev. Series 2021 A, 5% 2/15/25 675,000 771,274 
Georgia Gen. Oblig. Series 2014 A, 5% 2/1/22 200,000 201,605 
Georgia Muni. Elec. Auth. Pwr. Rev.:   
Series 2016 A:   
5% 1/1/22 780,000 782,963 
5% 1/1/23 410,000 430,614 
Series 2019 A, 5% 1/1/22 1,620,000 1,626,155 
Series 2020 A:   
3% 11/1/22 1,045,000 1,070,524 
4% 11/1/23 2,780,000 2,968,614 
4% 11/1/24 200,000 220,033 
4% 11/1/25 800,000 903,284 
5% 1/1/22 1,905,000 1,912,238 
5% 1/1/23 5,625,000 5,907,818 
5% 1/1/24 2,105,000 2,302,129 
5% 1/1/24 1,250,000 1,367,060 
5% 11/1/26 870,000 1,045,361 
Series 2021 A:   
5% 1/1/23 140,000 146,992 
5% 1/1/24 170,000 185,586 
5% 1/1/24 190,000 207,793 
Series C, 5% 1/1/22 1,900,000 1,907,219 
Georgia Muni. Gas Auth. Rev. (Gas Portfolio III Proj.) Series 2014 U:   
5% 10/1/22 20,000 20,785 
5% 10/1/23 55,000 59,664 
Georgia Road & Thruway Auth. Rev. Series 2020, 5% 6/1/24 2,000,000 2,231,229 
Main Street Natural Gas, Inc.:   
Bonds:   
Series 2018 A, 4%, tender 9/1/23 (a) 4,750,000 5,024,959 
Series 2018 B, 1 month U.S. LIBOR + 0.750% 0.808%, tender 9/1/23 (a)(c) 12,200,000 12,257,329 
Series 2018 C, 4%, tender 12/1/23 (a) 3,055,000 3,255,876 
Series 2018 E, SIFMA Municipal Swap Index + 0.570% 0.62%, tender 12/1/23 (a)(c) 12,500,000 12,614,124 
Series 2019 B, 4%, tender 12/2/24 (a) 1,210,000 1,330,280 
Series 2018 A, 4% 3/1/23 200,000 209,254 
Series 2019 A:   
5% 5/15/22 1,000,000 1,020,809 
5% 5/15/23 1,750,000 1,862,761 
Series 2021 A:   
4% 9/1/24 500,000 546,576 
4% 3/1/25 430,000 475,188 
4% 9/1/25 400,000 447,116 
Series 2021 C:   
4% 12/1/22 800,000 828,747 
4% 12/1/23 1,470,000 1,570,770 
Monroe County Dev. Auth. Poll. Cont. Rev.:   
(Georgia Pwr. Co. Plant Scherer Proj.) Series 1995, 2.25% 7/1/25 435,000 452,758 
Bonds (Oglethorpe Pwr. Corp. Scherer Proj.) Series 2013 A, 1.5%, tender 2/3/25 (a) 1,500,000 1,538,312 
Private Colleges & Univs. Auth. Rev. (The Savannah College of Art & Design Projs.) Series 2021:   
5% 4/1/22 175,000 177,787 
5% 4/1/25 600,000 686,275 
TOTAL GEORGIA  98,051,328 
Hawaii - 0.1%   
Hawaii Dept. of Budget & Fin. Spl. Purp. Rev. (Queens Health Sys. Proj.) Series 2015 B, SIFMA Municipal Swap Index + 0.140% 0.5%, tender 7/1/39 (a)(c) 515,000 515,000 
Hawaii Gen. Oblig. Series 2020 A:   
5% 7/1/24 (b) 655,000 728,271 
5% 7/1/25 (b) 350,000 402,700 
Honolulu City & County Gen. Oblig. Series 2022 A, 5% 11/1/26 (e) 815,000 946,810 
State of Hawaii Dept. of Trans. Series 2013:   
5% 8/1/22 (b) 45,000 46,403 
5% 8/1/23 (b) 30,000 32,301 
5.25% 8/1/24 (b) 890,000 958,846 
TOTAL HAWAII  3,630,331 
Idaho - 0.0%   
Idaho Health Facilities Auth. Rev. Series 2015 ID, 5% 12/1/21 350,000 350,000 
Idaho Hsg. & Fin. Assoc. Single Family Mtg. Series 2019 A, 4% 1/1/50 45,000 49,156 
TOTAL IDAHO  399,156 
Illinois - 3.3%   
Champaign County Cmnty. Unit Series 2020 A, 0% 1/1/26 800,000 768,610 
Chicago Board of Ed.:   
Series 1999, 0% 12/1/22 (Berkshire Hathaway Assurance Corp. Insured) (FGIC Insured) 560,000 557,350 
Series 2019 A, 5% 12/1/23 1,000,000 1,087,078 
Series 2021 B, 5% 12/1/21 400,000 400,000 
Chicago Gen. Oblig. Series 2020 A, 5% 1/1/25 1,500,000 1,692,880 
Chicago Metropolitan Wtr. Reclamation District of Greater Chicago Series 2021 C, 5% 12/1/23 (e) 990,000 1,081,645 
Chicago Midway Arpt. Rev.:   
Series 2013 B:   
5% 1/1/22 1,235,000 1,239,825 
5% 1/1/23 205,000 215,514 
5% 1/1/25 150,000 157,458 
5% 1/1/26 275,000 288,612 
Series 2014 A:   
5% 1/1/22 (b) 2,865,000 2,875,885 
5% 1/1/24 (b) 1,000,000 1,091,243 
5% 1/1/26 (b) 525,000 572,673 
5% 1/1/27 (b) 370,000 403,598 
5% 1/1/28 (b) 100,000 109,081 
5% 1/1/29 (b) 675,000 735,853 
Series 2014 B:   
5% 1/1/23 225,000 236,539 
5% 1/1/26 140,000 153,049 
Series 2016 A, 5% 1/1/24 (b) 1,000,000 1,091,243 
Series 2016 B, 5% 1/1/22 200,000 200,781 
Chicago Motor Fuel Tax Rev. Series 2013:   
5% 1/1/22 5,000 5,015 
5% 1/1/23 10,000 10,410 
Chicago O'Hare Int'l. Arpt. Rev.:   
Series 2012 A:   
5% 1/1/23 (Pre-Refunded to 1/1/22 @ 100) (b) 1,000,000 1,003,853 
5% 1/1/25 (Pre-Refunded to 1/1/22 @ 100) (b) 500,000 501,926 
Series 2012 B:   
5% 1/1/22 (b) 1,875,000 1,882,124 
5% 1/1/22 (Escrowed to Maturity) (b) 1,000,000 1,003,853 
Series 2013 A:   
5% 1/1/22 (Escrowed to Maturity) (b) 1,400,000 1,405,394 
5% 1/1/23 (b) 1,740,000 1,827,485 
Series 2013 B:   
5% 1/1/22 (Escrowed to Maturity) 135,000 135,531 
5% 1/1/23 1,020,000 1,071,855 
Series 2013 C, 5% 1/1/22 (Escrowed to Maturity) (b) 700,000 702,697 
Series 2013 D, 5% 1/1/22 (Escrowed to Maturity) 70,000 70,275 
Series 2015 B, 5% 1/1/23 475,000 499,148 
Series 2015 D:   
5% 1/1/22 (Escrowed to Maturity) 510,000 512,007 
5% 1/1/23 200,000 210,168 
Series 2016 A:   
5% 1/1/23 (b) 250,000 262,570 
5% 1/1/24 (b) 305,000 332,829 
Series 2016 D, 5% 1/1/22 300,000 301,165 
Series 2017 C, 5% 1/1/22 110,000 110,427 
Series 2017 D:   
5% 1/1/24 (b) 1,000,000 1,091,243 
5% 1/1/27 (b) 85,000 101,998 
Chicago Park District Gen. Oblig. Series 2021 D, 4% 1/1/23 975,000 1,012,758 
Chicago Transit Auth. Cap. Grant Receipts Rev.:   
Series 2017:   
5% 6/1/24 445,000 493,856 
5% 6/1/25 25,000 28,772 
Series 2021:   
5% 6/1/22 875,000 894,984 
5% 6/1/23 1,075,000 1,147,481 
Chicago Wastewtr. Transmission Rev. Series 2012, 5% 1/1/23 25,000 25,094 
Cook County Cmnty. Consolidated School District No. 59 Series 2020, 4% 3/1/22 480,000 484,572 
Cook County Gen. Oblig.:   
Series 2011 A, 5.25% 11/15/22 20,000 20,051 
Series 2012 C:   
5% 11/15/22 740,000 773,839 
5% 11/15/23 385,000 402,012 
Series 2014 A, 5% 11/15/22 475,000 496,721 
Series 2021 A:   
5% 11/15/22 10,200,000 10,666,429 
5% 11/15/23 4,550,000 4,961,359 
5% 11/15/24 50,000 56,595 
5% 11/15/25 50,000 58,520 
Series 2021 B:   
4% 11/15/22 1,250,000 1,295,268 
4% 11/15/23 865,000 926,385 
4% 11/15/24 625,000 689,140 
4% 11/15/25 465,000 525,328 
4% 11/15/26 235,000 271,043 
Geneva Gen. Oblig. Series 2021, 4% 2/1/23 (e) 275,000 286,247 
Illinois Dev. Fin. Auth. Retirement Hsg. Regency Park Rev. Series 1991 A, 0% 7/15/23 (Escrowed to Maturity) 300,000 297,856 
Illinois Dev. Fin. Auth. Solid Waste Disp. Rev. Bonds (Waste Mgmt., Inc. Proj.) Series 2019, 0.4%, tender 11/1/22 (a)(b) 1,900,000 1,899,807 
Illinois Fin. Auth.:   
Bonds Series 2020 B, 5%, tender 11/15/24 (a) 1,450,000 1,607,638 
Series 2013 A:   
5% 6/1/23 540,000 578,263 
5% 6/1/23 (Escrowed to Maturity) 55,000 58,828 
Series 2020 A, 5% 8/15/22 750,000 775,274 
Series 2021 A:   
5% 7/15/22 300,000 308,882 
5% 10/1/25 2,000,000 2,334,971 
Illinois Fin. Auth. Rev.:   
(Bradley Univ. Proj.) Series 2017 C, 5% 8/1/26 35,000 41,190 
(Edward-Elmhurst Healthcare) Series 2017 A, 5% 1/1/25 100,000 113,578 
Bonds:   
Series 2017 B, 5%, tender 12/15/22 (a) 265,000 277,931 
Series E, 2.25%, tender 4/29/22 (a) 770,000 776,432 
Series 2011 IL, 5% 12/1/22 (Pre-Refunded to 12/1/21 @ 100) 25,000 25,000 
Series 2012 A:   
5% 5/15/22 250,000 255,330 
5% 5/15/23 (Pre-Refunded to 5/15/22 @ 100) 30,000 30,658 
Series 2012, 5% 9/1/22 (Escrowed to Maturity) 75,000 77,703 
Series 2014 A:   
5% 10/1/26 500,000 562,793 
5.25% 7/1/44 (Pre-Refunded to 7/1/23 @ 100) 3,000,000 3,231,813 
Series 2014, 5% 8/1/22 1,000,000 1,031,922 
Series 2015 A:   
5% 11/15/22 1,000,000 1,044,547 
5% 11/15/22 10,000 10,449 
5% 11/15/24 35,000 39,583 
5% 11/15/25 45,000 52,591 
5% 11/15/26 45,000 52,208 
Series 2015 B, 5% 11/15/24 45,000 50,850 
Series 2016 A:   
5% 2/15/23 20,000 21,141 
5% 8/15/23 (Escrowed to Maturity) 35,000 37,768 
5% 8/15/24 (Escrowed to Maturity) 50,000 56,119 
5% 7/1/25 250,000 289,567 
Series 2016 B, 5% 8/15/24 775,000 868,424 
Series 2016 C:   
5% 2/15/22 225,000 227,219 
5% 2/15/23 700,000 740,369 
5% 2/15/24 230,000 253,436 
Series 2016:   
5% 12/1/21 5,000,000 5,000,000 
5% 7/1/22 65,000 66,831 
5% 11/15/23 235,000 256,053 
5% 11/15/24 245,000 276,313 
5% 5/15/25 10,000 11,499 
5% 12/1/25 325,000 379,097 
5% 5/15/26 20,000 23,720 
5% 5/15/27 25,000 29,541 
Series 2017:   
5% 1/1/23 35,000 36,822 
5% 1/1/25 50,000 56,921 
Series 2018 A, 5% 5/15/24 250,000 277,503 
Series 2019:   
5% 9/1/22 225,000 232,679 
5% 4/1/26 1,000,000 1,182,077 
Illinois Gen. Oblig.:   
Series 2012 A, 4% 1/1/23 30,000 30,089 
Series 2012:   
4% 9/1/22 200,000 205,511 
5% 3/1/22 1,105,000 1,118,160 
5% 8/1/22 1,760,000 1,814,937 
5% 8/1/22 (FSA Insured) 2,800,000 2,889,120 
Series 2013 A, 5% 4/1/24 795,000 845,128 
Series 2013:   
5% 7/1/22 375,000 385,271 
5% 7/1/23 1,700,000 1,821,399 
5.5% 7/1/24 835,000 901,749 
Series 2014:   
5% 2/1/22 2,335,000 2,353,522 
5% 4/1/23 50,000 53,032 
5% 2/1/25 50,000 54,654 
Series 2016:   
5% 1/1/22 1,650,000 1,656,441 
5% 2/1/22 3,100,000 3,124,591 
5% 2/1/24 450,000 493,028 
5% 1/1/26 300,000 349,087 
5% 2/1/26 1,235,000 1,439,979 
Series 2017 A:   
5% 12/1/22 5,000,000 5,231,154 
5% 12/1/23 750,000 816,673 
Series 2017 D:   
5% 11/1/22 2,400,000 2,502,044 
5% 11/1/23 2,400,000 2,604,966 
Series 2018 A:   
5% 10/1/26 1,340,000 1,587,083 
5.25% 5/1/22 1,660,000 1,694,799 
Series 2018 B, 5% 5/1/22 900,000 917,745 
Series 2020 D, 5% 10/1/22 7,500,000 7,790,817 
Series 2020 May, 5.125% 5/1/22 275,000 280,564 
Series 2021 A:   
5% 3/1/22 2,555,000 2,585,428 
5% 3/1/23 380,000 401,694 
5% 3/1/24 2,000,000 2,197,703 
Series 2021 B:   
5% 3/1/22 2,110,000 2,135,128 
5% 3/1/23 670,000 708,250 
Illinois Health Facilities Auth. Rev. Series 2003, 1.6% 11/15/22 155,000 156,724 
Illinois Hsg. Dev. Auth. Multi-family Hsg. Rev. Bonds Series 2020, 0.325%, tender 8/1/22 (a) 12,250,000 12,256,404 
Illinois Muni. Elec. Agcy. Pwr. Supply Series 2015 A:   
5% 2/1/22 1,270,000 1,279,980 
5% 2/1/23 25,000 26,381 
5% 2/1/24 420,000 460,257 
Illinois Reg'l. Trans. Auth.:   
Series 2004 A, 5.5% 6/1/22 (FSA Insured) 350,000 359,219 
Series 2017 A, 5% 7/1/24 285,000 318,050 
Illinois Sales Tax Rev.:   
Series 2013, 5% 6/15/24 400,000 427,429 
Series 2016 C, 5% 6/15/22 285,000 292,222 
Series 2016 D, 5% 6/15/23 1,500,000 1,603,156 
Series 2021 A:   
3% 6/15/22 1,670,000 1,694,439 
4% 6/15/23 3,175,000 3,344,824 
4% 6/15/24 1,670,000 1,812,086 
Series 2021 C:   
5% 6/15/23 75,000 80,158 
5% 6/15/24 85,000 94,368 
5% 6/15/25 50,000 57,413 
Illinois State Univ. Revs. Series 2018 A, 5% 4/1/23 (FSA Insured) 290,000 307,407 
Illinois Toll Hwy. Auth. Toll Hwy. Rev.:   
Series 2014 A:   
5% 12/1/21 1,360,000 1,360,000 
5% 12/1/22 1,090,000 1,141,689 
Series 2018 A, 5% 1/1/25 485,000 551,494 
Kane County School District #129, Aurora West Side Series 2014 A, 2.75% 2/1/22 1,000,000 1,004,174 
Kane County School District No. 131:   
Series 2020 A:   
3% 12/1/21 (FSA Insured) 355,000 355,000 
4% 12/1/22 (FSA Insured) 235,000 243,468 
5% 12/1/23 (FSA Insured) 290,000 314,240 
Series 2020 B:   
3% 12/1/21 (FSA Insured) 510,000 510,000 
4% 12/1/22 (FSA Insured) 435,000 450,675 
Kane, Cook, DuPage, McHenry & DeKalb Counties Cmnty. College District #509 Elgin Series 2021 B:   
4% 12/15/23 155,000 166,509 
4% 12/15/24 450,000 498,070 
Kendall, Kane & Will Counties Cmnty. Unit School District #308:   
Series 2008, 0% 2/1/22 (FSA Insured) 265,000 264,835 
Series 2011, 5.5% 2/1/23 550,000 582,252 
Lake County Cmnty. Consolidated School District Series 2020, 4% 2/1/22 (FSA Insured) 310,000 311,861 
Matteson Gen. Oblig.:   
Series 2021 A, 4% 12/1/23 705,000 752,454 
Series 2021 B, 4% 12/1/23 525,000 560,338 
McHenry County Cmnty. School District #200 Series 2006 B:   
0% 1/15/24 (Pre-Refunded to 1/15/24 @ 100) 105,000 102,967 
0% 1/15/25 110,000 106,254 
0% 1/15/26 80,000 75,879 
McHenry County Conservation District Gen. Oblig. Series 2014, 5% 2/1/23 65,000 68,537 
Metropolitan Pier & Exposition:   
(McCormick Place Expansion Proj.) Series 1996 A, 0% 6/15/23 (Nat'l. Pub. Fin. Guarantee Corp. Insured) 150,000 148,128 
Series 2012 B, 5% 12/15/22 1,655,000 1,732,839 
Series 2022 A, 3% 6/15/24 (e) 630,000 655,191 
Northern Illinois Univ. Revs. Series 2020 B, 5% 4/1/22 (Build America Mutual Assurance Insured) 250,000 253,855 
Peoria County Gen. Oblig. Series 2021 A:   
4% 1/1/22 150,000 150,437 
4% 1/1/24 1,000,000 1,070,378 
Railsplitter Tobacco Settlement Auth. Rev. Series 2017:   
5% 6/1/22 3,520,000 3,602,181 
5% 6/1/23 2,990,000 3,193,928 
5% 6/1/24 635,000 704,715 
Skokie Pk District Series 2003, 0% 12/1/22 1,830,000 1,816,277 
Southern Illinois Univ. Rev. Series 2021 A, 4% 4/1/22 650,000 658,118 
Univ. of Illinois Board of Trustees Ctfs. of Prtn. Series 2014 C, 5% 3/15/23 265,000 281,135 
Univ. of Illinois Rev.:   
Series 2015 A, 3% 4/1/22 455,000 459,226 
Series 2016 A, 5% 4/1/22 245,000 248,894 
Series 2018 A, 5% 4/1/22 1,000,000 1,015,893 
Series 2018 B, 5% 4/1/23 (FSA Insured) 270,000 286,991 
Series 2019 A, 5% 4/1/22 485,000 492,708 
Upper Illinois River Valley Dev. Auth. Rev. Series 2018, 5% 12/1/24 300,000 330,399 
Village of Westchester Gen. Oblig. Series 2021, 4% 12/1/22 500,000 518,171 
Waukegan Gen. Oblig.:   
Series 2018 A:   
4% 12/30/21 (FSA Insured) 410,000 411,169 
4% 12/30/22 (FSA Insured) 425,000 440,854 
Series 2018 B, 4% 12/30/22 (FSA Insured) 400,000 414,922 
Western Illinois Univ. Board Rev. Series 2020, 4% 4/1/22 1,200,000 1,214,543 
Whiteside & Lee Counties Cmnty. Unit School District Series 2018 A, 4% 12/1/21 1,325,000 1,325,000 
TOTAL ILLINOIS  185,783,451 
Indiana - 0.8%   
Ctr. Grove Cmnty. School Corp. Series 2021 B:   
3% 1/1/23 (e) 600,000 615,308 
4% 1/1/24 (e) 2,065,000 2,203,700 
Fort Wayne Cmnty. Schools Bldg. Corp. Series 2021:   
4% 7/15/22 575,000 588,503 
4% 1/15/23 625,000 651,050 
Hammond Loc Pub. Impt. Bd Bank Series 2021 A, 2% 12/31/21 1,170,000 1,171,185 
Indiana Dev. Fin. Auth. Solid Waste Disp. Rev. Bonds (Waste Mgmt., Inc. Proj.) Series 2001, 0.4%, tender 10/3/22 (a)(b) 3,500,000 3,500,385 
Indiana Fin. Auth. Econ. Dev. Rev. Bonds (Republic Svcs., Inc. Proj.):   
Series 2012, 0.15%, tender 12/1/21 (a)(b) 2,000,000 2,000,000 
Series A, 0.15%, tender 12/1/21 (a)(b) 5,100,000 5,100,000 
Indiana Fin. Auth. Health Sys. Rev. Bonds Series 2019 B, 2.25%, tender 7/1/25 (a) 710,000 748,987 
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 2,133,195 
Bonds:   
Series 2011 H, 1.65%, tender 1/1/22 (a) 3,300,000 3,303,832 
Series 2011 M, 0.7%, tender 1/1/26 (a) 3,680,000 3,670,645 
Series 2015 B, 1.65%, tender 1/1/22 (a) 1,290,000 1,291,550 
Series 2013:   
5% 8/15/22 15,000 15,504 
5% 8/15/23 20,000 21,597 
Series 2016 A, 5% 12/1/21 200,000 200,000 
Indiana Fin. Auth. Rev.:   
(Butler Univ. Proj.):   
Series 2012 A, 5% 2/1/25 515,000 518,910 
Series 2019:   
3% 2/1/22 210,000 210,952 
3% 2/1/23 225,000 232,072 
4% 2/1/24 200,000 214,829 
4% 2/1/25 275,000 303,900 
(DePauw Univ. Proj.) Series 2019, 5% 7/1/22 600,000 615,621 
Series 2016, 5% 9/1/26 205,000 246,205 
Indiana Fin. Auth. Wastewtr. Util. Rev. (CWA Auth. Proj.):   
Series 2012 A, 5% 10/1/22 35,000 36,392 
Series 2014 A, 5% 10/1/22 15,000 15,596 
Series 2015 A:   
5% 10/1/24 35,000 39,565 
5% 10/1/25 35,000 39,524 
Indiana Health Facility Fing. Auth. Rev. Bonds Series 2001 A2, 2%, tender 2/1/23 (a) 155,000 157,854 
Indiana Hsg. & Cmnty. Dev. Auth. Series 2021 C1, 3% 1/1/52 1,000,000 1,086,906 
Indiana Muni. Pwr. Agcy. Pwr. Supply Sys. Rev. Series 2017 A, 5% 1/1/25 705,000 800,727 
Indianapolis Local Pub. Impt.:   
(Indianapolis Arpt. Auth. Proj.):   
Series 2016 A1:   
5% 1/1/23 (b) 45,000 47,263 
5% 1/1/24 (b) 60,000 65,475 
5% 1/1/25 (b) 65,000 73,463 
Series 2019 D, 5% 1/1/24 (b) 270,000 294,636 
Series 2021 A:   
5% 6/1/22 1,265,000 1,294,598 
5% 6/1/23 255,000 272,631 
Marion High School Bldg. Corp.:   
Series 2021 A:   
4% 1/15/24 240,000 257,503 
4% 1/15/25 250,000 275,870 
4% 7/15/25 255,000 284,957 
Series 2021 B, 4% 1/15/23 205,000 213,262 
Purdue Univ. Rev. Series 2012 AA, 5% 7/1/27 255,000 261,790 
Upland Econ. Dev. Rfdg. Rev. (Taylor Univ. Proj.) Series 2021:   
4% 9/1/22 200,000 205,424 
4% 9/1/23 275,000 291,971 
Vinton Tecumseh School Bldg. Corp. Series 2021:   
3% 1/15/24 490,000 515,210 
3% 7/15/25 515,000 557,323 
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 2,797,822 
Whiting Envir. Facilities Rev. Bonds (BP Products North America, Inc. Proj.):   
Series 2015, 5%, tender 11/1/22 (a)(b) 1,780,000 1,855,954 
Series 2016 A, 5%, tender 3/1/23 (a)(b) 3,400,000 3,596,566 
Series 2019 A, 5%, tender 6/5/26 (a)(b) 1,645,000 1,959,991 
TOTAL INDIANA  46,856,203 
Iowa - 0.1%   
Iowa Fin. Auth. Rev. Series 2018 B:   
5% 2/15/22 540,000 545,248 
5% 2/15/24 200,000 220,007 
Iowa Fin. Auth. Solid Waste Facilities Bonds (Gevo NW Iowa RNG, LLC Renewable Natural Gas Proj.) Series 2021, 1.5%, tender 4/1/24, LOC Citibank NA (a)(b) 1,500,000 1,510,774 
Iowa Higher Ed. Ln. Auth. Rev. (Grinnell College Proj.) Series 2017, 4% 12/1/24 250,000 276,327 
Iowa Student Ln. Liquidity Corp. Student Ln. Rev.:   
Series 2015 A, 5% 12/1/21 (b) 1,000,000 1,000,000 
Series 2018 A:   
5% 12/1/21 (b) 500,000 500,000 
5% 12/1/22 (b) 725,000 757,218 
Series 2019 B, 5% 12/1/23 (b) 600,000 652,656 
TOTAL IOWA  5,462,230 
Kansas - 0.2%   
Desoto Unified School District # 232 Series 2015 A, 5% 9/1/22 35,000 36,261 
Wichita Gen. Oblig. Series 2021 306, 4% 10/15/22 10,000,000 10,333,416 
Wyandotte County/Kansas City Unified Govt. Util. Sys. Rev. Series 2016 A:   
5% 9/1/22 10,000 10,344 
5% 9/1/23 15,000 16,175 
5% 9/1/25 15,000 17,380 
TOTAL KANSAS  10,413,576 
Kentucky - 0.9%   
Ashland Med. Ctr. Rev.:   
(Ashland Hosp. Corp. D/B/A King's Daughters Med. Ctr. Proj.) Series 2016 A:   
5% 2/1/24 30,000 32,800 
5% 2/1/25 20,000 22,660 
Series 2019, 5% 2/1/22 500,000 503,711 
Hazard Healthcare Rev. Series 2021:   
5% 7/1/23 350,000 375,725 
5% 7/1/24 230,000 256,988 
Kenton County Arpt. Board Arpt. Rev. Series 2016:   
5% 1/1/22 285,000 286,104 
5% 1/1/24 200,000 219,124 
Kentucky Asset/Liability Commission Agcy. Fund Rev. Series A, 5% 9/1/22 2,000,000 2,071,305 
Kentucky Asset/Liability Commission Gen. Fund Rev. Series 2021 A, 5% 11/1/24 435,000 491,539 
Kentucky Bond Dev. Corp. Edl. Facilities:   
(Transylvania Univ. Proj.) Series 2021 A, 2% 3/1/23 320,000 325,957 
(Transylvania Univ. Proj.) Series 2021 A, 4% 3/1/25 340,000 374,807 
Kentucky Econ. Dev. Fin. Auth. Solid Waste Disp. Rev. Bonds (Republic Svcs., Inc. Proj.) Series B, 0.15%, tender 12/1/21 (a) 1,400,000 1,400,000 
Kentucky Higher Ed. Student Ln. Corp. Rev.:   
Series 2019 A1 5% 6/1/23 (b) 250,000 266,273 
Series 2019 A1, 5% 6/1/22 (b) 200,000 204,568 
Kentucky Hsg. Corp. Multi-family Rev. Bonds:   
(Cambridge Square Proj.) Series 2021, 0.3%, tender 2/1/24 (a) 3,500,000 3,491,842 
(City View Park Proj.) Series 2020, 1.16%, tender 2/7/22 (a) 4,000,000 4,006,548 
Kentucky Rural Wtr. Fin. Corp. Series 2020 E, 0.425% 12/1/21 3,000,000 3,000,000 
Kentucky State Property & Buildings Commission Rev.:   
Series 2005, 5% 8/1/22 (Nat'l. Pub. Fin. Guarantee Corp. Insured) 250,000 257,861 
Series 2013 A, 5% 10/1/23 365,000 395,885 
Series 2015, 4% 8/1/25 200,000 224,125 
Series 2016 B:   
5% 11/1/23 2,730,000 2,971,038 
5% 11/1/24 285,000 322,753 
Series 2016:   
3% 2/1/24 350,000 368,121 
5% 11/1/23 1,435,000 1,561,699 
5% 2/1/24 275,000 302,489 
5% 10/1/24 425,000 478,246 
Series 2017:   
5% 4/1/22 400,000 406,330 
5% 4/1/23 600,000 637,342 
5% 4/1/24 900,000 996,553 
Series 2018:   
5% 5/1/22 385,000 392,621 
5% 5/1/23 1,415,000 1,508,401 
Series A:   
5% 2/1/22 550,000 554,322 
5% 11/1/22 610,000 636,310 
5% 11/1/25 350,000 408,098 
Series B:   
5% 8/1/22 4,660,000 4,806,528 
5% 8/1/23 3,265,000 3,517,121 
5% 8/1/25 300,000 346,910 
Kentucky State Univ. Ctfs. of Prtn. (Kentucky State Univ. Proj.) Series 2021, 5% 11/1/25 280,000 324,830 
Kentucky, Inc. Pub. Energy:   
Bonds Series 2019 A1, 4%, tender 6/1/25 (a) 1,000,000 1,104,227 
Series A, 4% 12/1/22 350,000 362,827 
Louisville & Jefferson County:   
Bonds:   
Series 2020 B, 5%, tender 10/1/23 (a) 840,000 910,855 
Series 2020 C, 5%, tender 10/1/26 (a) 2,015,000 2,418,502 
Series 2016 A, 5% 10/1/22 200,000 207,797 
Louisville & Jefferson County Gen. Oblig. Series 2020 A, 5% 10/1/24 2,005,000 2,265,284 
Louisville Reg'l. Arpt. Auth. Sys. Rev. Series 2014 A:   
5% 7/1/23 (b) 1,750,000 1,874,581 
5% 7/1/24 (b) 155,000 172,339 
Louisville/Jefferson County Metropolitan Gov. Series 2012 A:   
5% 12/1/28 (Pre-Refunded to 6/1/22 @ 100) 55,000 56,301 
5% 12/1/29 (Pre-Refunded to 6/1/22 @ 100) 230,000 235,442 
Paducah Elec. Plant Board Rev. Series 2019, 5% 10/1/22 2,005,000 2,078,711 
TOTAL KENTUCKY  50,434,400 
Louisiana - 0.4%   
Louisiana Citizens Property Ins. Corp. Assessment Rev. Series 2015, 5% 6/1/22 (FSA Insured) 900,000 921,424 
Louisiana Gen. Oblig.:   
Series 2015 A, 5% 5/1/24 350,000 389,272 
Series 2016 D, 5% 9/1/24 155,000 174,610 
Series 2020 A, 5% 3/1/23 500,000 529,420 
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 4,009,304 
Louisiana Offshore Term. Auth. Deepwater Port Rev. Bonds Series 2010 B-1A, 2%, tender 10/1/22 (a) 815,000 822,219 
Louisiana Stadium and Exposition District:   
Series 2013 A, 5% 7/1/22 20,000 20,544 
Series 2021, 4% 7/3/23 1,685,000 1,759,322 
New Orleans Aviation Board Rev.:   
(North Term. Proj.):   
Series 2015 B, 5% 1/1/25 (b) 150,000 169,530 
Series 2017 B:   
5% 1/1/22 (b) 280,000 281,064 
5% 1/1/23 (b) 1,070,000 1,123,798 
5% 1/1/24 (b) 20,000 21,825 
5% 1/1/25 (b) 5,000 5,651 
5% 1/1/26 (b) 15,000 17,496 
Series 2017 D2:   
5% 1/1/22 (b) 345,000 346,311 
5% 1/1/23 (b) 10,000 10,503 
5% 1/1/24 (b) 15,000 16,369 
5% 1/1/25 (b) 115,000 129,973 
St. John Baptist Parish Rev. Bonds (Marathon Oil Corp.) Series 2017, 2%, tender 4/1/23 (a) 9,280,000 9,446,915 
State of Louisiana Grant Anticipation Rev. Series 2021:   
5% 9/1/22 2,400,000 2,486,490 
5% 9/1/23 865,000 936,428 
5% 9/1/24 785,000 880,404 
Tobacco Settlement Fing. Corp. Series 2013 A, 5% 5/15/23 110,000 117,448 
TOTAL LOUISIANA  24,616,320 
Maine - 0.0%   
Maine Fin. Auth. Student Ln. Rev. Series 2019 A, 5% 12/1/23 (FSA Insured) (b) 500,000 542,314 
Maine Health & Higher Edl. Facilities Auth. Rev. Series 2020 A:   
4% 7/1/22 235,000 240,161 
4% 7/1/22 190,000 194,128 
Maine Tpk. Auth. Tpk. Rev. Series 2015:   
5% 7/1/22 40,000 41,118 
5% 7/1/24 630,000 703,923 
5% 7/1/26 250,000 289,664 
TOTAL MAINE  2,011,308 
Maryland - 0.3%   
Baltimore County Gen. Oblig. Series 2020, 4% 1/1/22 830,000 832,561 
Baltimore Proj. Rev.:   
(Wtr. Projs.) Series 2020 A:   
5% 7/1/23 400,000 429,796 
5% 7/1/24 635,000 710,381 
Series 2017 D:   
5% 7/1/24 70,000 78,310 
5% 7/1/25 75,000 87,015 
Howard County Gen. Oblig. Series A, 5% 8/15/22 1,000,000 1,034,133 
Hsg. Opportunities Commission of Montgomery County Series 2021 C, 0.8% 7/1/25 (e) 105,000 105,061 
Maryland Cmnty. Dev. Admin Dept. Hsg. & Cmnty. Dev.:   
Series 2019 B, 4% 9/1/49 215,000 234,698 
Series 2020 C, 0.625% 7/1/22 500,000 500,109 
Series 2021 A, 0.83% 5/1/23 (d) 4,000,000 3,995,111 
Series 2021 C:   
0.375% 7/1/23 260,000 259,965 
0.6% 7/1/24 560,000 559,811 
Series A:   
0.2% 3/1/23 1,015,000 1,012,467 
0.25% 9/1/23 775,000 771,636 
Maryland Dept. of Trans. Consolidated Trans. Rev.:   
Series 2022 A:   
5% 12/1/22 (e) 205,000 212,117 
5% 12/1/23 (e) 95,000 102,494 
Series 2022 B:   
5% 12/1/23 (e) 120,000 125,378 
5% 12/1/24 (e) 220,000 238,581 
Maryland Health & Higher Edl.:   
Bonds Series 2020, 5%, tender 7/1/25 (a) 1,000,000 1,132,168 
Series 2020, 4% 1/1/22 200,000 200,591 
Maryland Health & Higher Edl. Facilities Auth. Rev.:   
Series 2015:   
5% 7/1/22 20,000 20,550 
5% 7/1/23 20,000 21,470 
5% 7/1/24 45,000 50,255 
5% 7/1/25 40,000 46,300 
5% 7/1/25 (Pre-Refunded to 7/1/24 @ 100) 1,145,000 1,280,609 
Series 2020 A, 4% 7/1/22 100,000 102,113 
Series 2020 B, 5% 4/15/23 675,000 718,196 
Maryland Stadium Auth. Built to Learn Rev. Series 2021, 5% 6/1/23 1,250,000 1,337,205 
Maryland Trans. Auth. Trans. Facility Projs. Rev.:   
Series 2020, 5% 7/1/22 1,500,000 1,542,354 
Series 2021 A, 5% 7/1/24 1,250,000 1,398,389 
TOTAL MARYLAND  19,139,824 
Massachusetts - 1.3%   
Boston Hsg. Auth. Cap. Prog. Series 2020 B:   
5% 4/1/23 450,000 478,381 
5% 4/1/24 475,000 525,489 
Massachusetts Bay Trans. Auth. Sales Tax Rev.:   
Series 2016 A, 0% 7/1/23 355,000 353,080 
Series 2021, 4% 5/1/25 2,500,000 2,799,364 
Series B, 5% 7/1/22 900,000 925,359 
Massachusetts Dept. of Trans. Metropolitan Hwy. Sys. Rev. Bonds Series 2019 A, 5%, tender 1/1/23 (a) 4,880,000 5,124,269 
Massachusetts Dev. Fin. Agcy. Multi-family Hsg. Rev. Bonds Series 2021, 0.25%, tender 7/1/23 (a) 1,750,000 1,742,414 
Massachusetts Dev. Fin. Agcy. Rev.:   
Bonds:   
Series 2011 N, 0.45%, tender 7/1/25 (a) 1,000,000 994,638 
Series S3, SIFMA Municipal Swap Index + 0.500% 0.55%, tender 1/26/23 (a)(c) 3,400,000 3,404,803 
Series 2015 C, 5% 10/1/22 200,000 207,763 
Series 2015 H1, 5% 7/1/22 575,000 590,756 
Series 2016 A, 5% 7/15/22 30,000 30,903 
Series 2016 I:   
5% 7/1/22 410,000 420,967 
5% 7/1/23 15,000 16,046 
5% 7/1/24 25,000 27,742 
5% 7/1/25 20,000 22,950 
5% 7/1/26 20,000 23,642 
Series 2019 A:   
5% 7/1/22 450,000 462,036 
5% 7/1/24 155,000 172,170 
Series 2019 O:   
5% 12/1/23 130,000 141,599 
5% 12/1/24 100,000 113,056 
Series 2020 A2, 5% 7/1/22 310,000 318,661 
Series C:   
5% 10/1/22 (FSA Insured) 275,000 285,580 
5% 10/1/23 (FSA Insured) 350,000 378,273 
5% 10/1/24 (FSA Insured) 325,000 364,642 
Series Q, 5% 7/1/22 250,000 256,985 
Massachusetts Edl. Fing. Auth. Rev.:   
Series 2011 J, 5.125% 7/1/22 (b) 2,080,000 2,082,635 
Series 2013, 5% 7/1/22 (b) 400,000 411,104 
Series 2014:   
5% 1/1/23 (b) 3,000,000 3,147,484 
5% 1/1/24 (b) 5,000,000 5,418,180 
Series 2015 A:   
5% 1/1/22 (b) 600,000 602,314 
5% 1/1/23 (b) 9,000,000 9,447,478 
5% 1/1/24 (b) 8,250,000 8,939,997 
Series 2016 J:   
5% 7/1/22 (b) 1,475,000 1,515,330 
5% 7/1/23 (b) 725,000 776,493 
Series 2016, 5% 7/1/24 (b) 535,000 588,900 
Series 2020 C, 5% 7/1/23 (b) 375,000 401,634 
Series 2021 B:   
5% 7/1/24 (b) 750,000 828,802 
5% 7/1/25 (b) 750,000 854,354 
Massachusetts Gen. Oblig.:   
Bonds Series D2, 1.7%, tender 8/1/22 (a) 980,000 989,641 
Series 2021 B, 5% 11/1/23 8,880,000 9,683,720 
Massachusetts Health & Edl. Facilities Auth. Rev.:   
(Partners Healthcare Sys., Inc. Proj.) Series 2007 G2, 0.2%, tender 12/7/21 (FSA Insured) (a) 6,790,000 6,790,000 
Bonds Series I, 0.7%, tender 7/1/25 (a) 395,000 395,858 
Massachusetts Port Auth. Rev.:   
Series 2017 A:   
5% 7/1/24 (b) 65,000 72,484 
5% 7/1/25 (b) 25,000 28,841 
Series 2019 C, 5% 7/1/24 (b) 345,000 384,725 
Series 2021 E, 5% 7/1/23 (b) 500,000 536,502 
TOTAL MASSACHUSETTS  74,078,044 
Michigan - 0.9%   
Armada Area Schools Series 2014, 4% 5/1/22 305,000 309,725 
Brandon School District Series A, 5% 5/1/23 430,000 458,320 
Carman-Ainsworth Cmnty. School District Series 2021, 4% 5/1/24 1,335,000 1,442,295 
Chippewa Valley Schools Series 2016 B, 5% 5/1/24 200,000 222,287 
Clarkston Cmnty. Schools Series 2015, 5% 5/1/22 35,000 35,688 
Dearborn School District Series 2017, 5% 5/1/22 250,000 255,023 
Detroit Downtown Dev. Auth. Tax:   
Series 1, 5% 7/1/22 (FSA Insured) 500,000 513,642 
Series A, 5% 7/1/25 (FSA Insured) 550,000 610,326 
Grand Blanc Cmnty. Schools Series 2013, 5% 5/1/22 40,000 40,799 
Grand Rapids Pub. Schools Series 2017, 5% 5/1/23 (FSA Insured) 30,000 32,002 
Grand Traverse County Hosp. Fin. Auth.:   
Series 2019 B, 5% 7/1/23 255,000 273,827 
Series 2021:   
5% 7/1/24 650,000 726,091 
5% 7/1/25 480,000 555,228 
Grosse Ile Township School District Unltd. Tax Gen. Oblig. Series 2016, 2% 5/1/24 125,000 129,251 
Huron School District Series 2019, 5% 5/1/24 205,000 227,424 
Kalamazoo Hosp. Fin. Auth. Hosp. Facilities Rev. Series 2016:   
5% 5/15/22 20,000 20,428 
5% 5/15/24 10,000 11,113 
5% 5/15/25 15,000 17,271 
5% 5/15/26 15,000 17,819 
Kent City Cmnty. Schools Series 2020, 4% 5/1/23 205,000 215,492 
Kent Hosp. Fin. Auth. Hosp. Facilities Rev. (Spectrum Health Sys. Proj.) Series 2015 A, SIFMA Municipal Swap Index + 0.250% 0.3%, tender 6/28/22 (a)(c) 1,000,000 1,000,000 
Lake Superior State Univ. Series 2021, 4% 11/15/22 (FSA Insured) 305,000 315,569 
Michigan Bldg. Auth. Rev. (Facilities Prog.) Series 2016 I, 5% 4/15/24 60,000 66,433 
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 1,186,443 
Series 2014 D1, 5% 7/1/22 (FSA Insured) 2,845,000 2,922,451 
(Trinity Health Proj.) Series 2017, 5% 12/1/23 250,000 273,146 
Bonds:   
Series 2016 E1, 4%, tender 8/15/24 (a) 275,000 300,700 
Series 2016 MI2, SIFMA Municipal Swap Index + 0.480% 0.53%, tender 12/2/21 (a)(c) 5,000,000 5,000,702 
Series 2019 B, 3.5%, tender 11/15/22 (a) 5,750,000 5,920,803 
Series 2019 MI2, 5%, tender 2/1/25 (a) 1,605,000 1,828,202 
Series 2012, 5% 11/1/22 350,000 365,427 
Series 2015 A:   
5% 8/1/22 1,380,000 1,424,335 
5% 8/1/23 630,000 679,747 
Series 2015 D1:   
0.25% 10/15/22 500,000 499,898 
0.4% 10/15/23 650,000 650,460 
0.55% 10/15/24 300,000 299,936 
0.75% 10/15/25 250,000 250,590 
Series 2015 MI:   
5% 12/1/22 600,000 628,886 
5% 12/1/24 100,000 113,568 
Series 2016:   
5% 11/15/22 715,000 747,133 
5% 11/15/23 225,000 245,249 
Series 2020 A:   
4% 6/1/22 1,000,000 1,018,180 
5% 6/1/24 1,000,000 1,113,397 
Michigan Gen. Oblig. Series 2016:   
5% 3/15/22 50,000 50,678 
5% 3/15/23 85,000 90,062 
Michigan Hosp. Fin. Auth. Rev.:   
Bonds:   
(Ascension Health Cr. Group Proj.) Series F5, 2.4%, tender 3/15/23 (a) 330,000 338,868 
Series 2010 F1, 4%, tender 6/1/23 (a) 200,000 211,154 
Series 2008 C, 5% 12/1/21 500,000 500,000 
Series 2012 A, 5% 6/1/23 200,000 204,641 
Michigan Strategic Fund Exempt Facilities Rev. Bonds (Waste Mgmt., Inc. Proj.) Series 2001, 0.58%, tender 8/1/24 (a)(b) 150,000 149,526 
Michigan Strategic Fund Ltd. Oblig. Rev. Series 2019, 4% 11/15/22 730,000 749,655 
Northern Michigan Univ. Revs. Series 2018 A, 5% 12/1/22 700,000 732,907 
Novi Cmnty. School District Series I, 4% 5/1/23 550,000 579,195 
Oakland Univ. Rev. Series 2016, 5% 3/1/22 385,000 389,531 
Portage Pub. Schools Series 2016:   
5% 5/1/23 45,000 47,997 
5% 11/1/23 30,000 32,673 
5% 5/1/24 40,000 44,355 
5% 11/1/24 45,000 50,849 
5% 5/1/25 25,000 28,748 
5% 11/1/25 25,000 29,224 
5% 11/1/28 20,000 23,769 
Rockford Pub. Schools Gen. Oblig. Series 2019 I, 4% 5/1/22 285,000 289,439 
Roseville Cmnty. Schools Series 2014, 5% 5/1/23 300,000 320,023 
Royal Oak Hosp. Fin. Auth. Hosp. Rev. Series 2014 D, 5% 9/1/23 345,000 372,919 
Saginaw Hosp. Fin. Auth. Hosp. Rev. Series 2020 J:   
5% 7/1/22 455,000 467,522 
5% 7/1/23 250,000 268,375 
Warren Consolidated School District Series 2019, 4% 5/1/23 230,000 241,873 
Wayne County Arpt. Auth. Rev.:   
Series 2011 A:   
4.125% 12/1/22 (FSA Insured) (b) 530,000 531,606 
5% 12/1/21 (b) 8,505,000 8,505,000 
5% 12/1/22 (b) 250,000 252,392 
Series 2012 B, 5% 12/1/22 (b) 485,000 507,999 
Series 2017 B, 5% 12/1/21 (b) 300,000 300,000 
Wayne State Univ. Revs. Series 2013 A, 4% 11/15/23 350,000 374,269 
Wayne-Westland Cmnty. Schools Series 2019, 5% 11/1/24 335,000 379,063 
TOTAL MICHIGAN  50,029,618 
Minnesota - 0.2%   
Central Muni. Pwr. Agcy. Rev. Series 2021:   
5% 1/1/23 (FSA Insured) 330,000 346,703 
5% 1/1/25 (FSA Insured) 265,000 301,157 
Maple Grove Health Care Sys. Rev. Series 2017:   
4% 5/1/22 110,000 111,639 
5% 5/1/23 110,000 117,018 
Minneapolis & Saint Paul Hsg. & Redev. Auth. Health Care Sys. Rev. (Allina Health Sys. Proj.) Series 2017 A, 5% 11/15/23 355,000 387,095 
Minneapolis & Saint Paul Metropolitan Arpts. Commission Arpt. Rev.:   
Series 2014 A:   
5% 1/1/22 20,000 20,078 
5% 1/1/23 20,000 21,039 
Series 2014 B:   
5% 1/1/22 (b) 45,000 45,172 
5% 1/1/23 (b) 20,000 21,015 
Series 2016 B:   
4% 1/1/23 300,000 312,351 
5% 1/1/22 1,085,000 1,089,257 
Series 2016 C, 5% 1/1/22 485,000 486,903 
Series 2016, 5% 1/1/25 620,000 705,207 
Series 2019 B, 5% 1/1/22 (b) 3,000,000 3,011,497 
Series 2019 C, 5% 1/1/26 380,000 445,896 
Minnesota Hsg. Fin. Agcy.:   
Bonds Series 2018 D, SIFMA Municipal Swap Index + 0.430% 0.48%, tender 7/3/23 (a)(c) 2,955,000 2,960,410 
Series 2021 A:   
0.25% 1/1/22 (b) 200,000 199,997 
0.3% 7/1/22 (b) 200,000 199,974 
0.4% 1/1/23 (b) 200,000 199,969 
0.5% 7/1/23 (b) 200,000 199,958 
0.625% 1/1/24 (b) 395,000 394,948 
Series H:   
0.55% 1/1/23 (b) 185,000 185,210 
0.65% 1/1/24 (b) 190,000 190,152 
Moorhead Edl. Facilities Rev. (The Concordia College Corp. Proj.) Series 2016, 5% 12/1/25 65,000 71,419 
Northern Muni. Pwr. Agcy. Elec. Sys. Rev. Series 2017:   
5% 1/1/22 25,000 25,095 
5% 1/1/23 250,000 262,458 
5% 1/1/24 35,000 38,255 
Southern Minnesota Muni. Pwr. Agcy. Pwr. Supply Sys. Rev.:   
Series 1994 A, 0% 1/1/24 (Nat'l. Pub. Fin. Guarantee Corp. Insured) 290,000 286,103 
Series 2015 A, 3% 1/1/23 250,000 256,879 
Western Minnesota Muni. Pwr. Agcy. Pwr. Supply Rev. Series 2014 A:   
5% 1/1/22 20,000 20,078 
5% 1/1/23 65,000 68,297 
5% 1/1/24 20,000 21,912 
TOTAL MINNESOTA  13,003,141 
Mississippi - 0.1%   
Jackson Gen. Oblig. Series 2021:   
5% 3/1/22 325,000 328,693 
5% 3/1/23 325,000 343,030 
5% 3/1/24 500,000 550,863 
Mississippi Dev. Bank Spl. Oblig. (Jackson Mississippi Sales Tax Rev. Infrastructure Proj.) Series 2020, 5% 9/1/24 740,000 827,777 
Mississippi Hosp. Equip. & Facilities Auth.:   
(Forrest County Gen. Hosp. Rfdg. Proj.) Series 2019 B, 5% 1/1/22 350,000 351,330 
Bonds Series 2020 A2, 0.2%, tender 9/1/22 (a) 4,500,000 4,497,260 
Series I, 5% 10/1/22 420,000 436,590 
TOTAL MISSISSIPPI  7,335,543 
Missouri - 0.5%   
Cape Girardeau County Indl. Dev. Auth. (Southeast Hosp. Proj.) Series 2017 A:   
5% 3/1/22 15,000 15,159 
5% 3/1/23 20,000 21,053 
5% 3/1/24 15,000 16,374 
5% 3/1/25 15,000 16,928 
5% 3/1/26 20,000 23,235 
Missouri Health & Edl. Facilities Rev.:   
Bonds Series 2021 B, 4%, tender 5/1/26 (a) 9,000,000 10,347,423 
Series 2014 A, 5% 6/1/24 1,710,000 1,907,701 
Series 2020:   
5% 11/15/22 660,000 689,661 
5% 11/15/23 815,000 887,344 
Missouri Hsg. Dev. Commission Single Family Mtg. Rev. Series 2019, 4% 5/1/50 65,000 71,345 
Missouri State Pub. Util. Commn Rev. Series 2020, 0.5% 3/1/22 5,000,000 5,000,912 
Ozarks Technical Cmnty. College Series 2021:   
5% 3/1/23 225,000 237,918 
5% 3/1/25 225,000 256,399 
Saint Louis Arpt. Rev.:   
Series 2017 A:   
5% 7/1/22 (FSA Insured) 1,175,000 1,207,617 
5% 7/1/23 (FSA Insured) 1,160,000 1,246,026 
Series 2017 B:   
5% 7/1/22 (FSA Insured) (b) 500,000 513,612 
5% 7/1/24 (FSA Insured) (b) 250,000 277,966 
Series 2019 B:   
5% 7/1/22 (b) 365,000 374,937 
5% 7/1/23 (b) 385,000 412,979 
5% 7/1/24 (b) 400,000 444,746 
5% 7/1/25 (b) 420,000 482,436 
Series 2019 C, 5% 7/1/25 660,000 763,184 
TOTAL MISSOURI  25,214,955 
Montana - 0.0%   
Montana Board Hsg. Single Family:   
Series 2019 B, 4% 6/1/50 30,000 33,453 
Series A1, 3.5% 6/1/50 445,000 483,440 
Montana Facility Fin. Auth. Rev. Series 2019 A, 5% 1/1/22 430,000 431,669 
TOTAL MONTANA  948,562 
Nebraska - 0.3%   
Central Plains Energy Proj. Gas Supply:   
Bonds Series 2019, 4%, tender 8/1/25 (a) 1,170,000 1,307,938 
Series 2019:   
4% 2/1/22 1,465,000 1,474,089 
4% 8/1/23 580,000 615,173 
Douglas County Hosp. Auth. #2 Health Facilities Rev. Series 2020, 5% 11/15/22 130,000 135,842 
Gretna Ctfs. Prtn. Series 2021, 4% 12/15/25 2,620,000 2,884,396 
Lincoln Arpt. Auth. Series 2021, 5% 7/1/23 (b) 725,000 778,646 
Nebraska Invt. Fin. Auth. Single Family Hsg. Rev. Series 2019 B, 4% 9/1/49 (b) 135,000 146,721 
Nebraska Pub. Pwr. District Rev.:   
Bonds Series 2020 A, 0.6%, tender 7/1/23 (a) 5,800,000 5,815,347 
Series 2012 A, 4% 1/1/22 200,000 200,624 
Series 2016 C, 5% 1/1/25 200,000 227,420 
Series B, 5% 1/1/23 250,000 262,877 
Omaha Pub. Pwr. District Elec. Rev. Series A, 5% 2/1/25 200,000 228,492 
TOTAL NEBRASKA  14,077,565 
Nevada - 1.0%   
Clark County Arpt. Rev.:   
(Sub Lien Proj.) Series 2017 A-1, 5% 7/1/22 (b) 360,000 369,758 
Series 2019 A, 5% 7/1/23 200,000 214,799 
Series 2019 D, 5% 7/1/22 10,000,000 10,276,998 
Series 2021 B:   
5% 7/1/22 (b) 1,510,000 1,551,647 
5% 7/1/23 (b) 2,500,000 2,679,622 
5% 7/1/24 (b) 2,145,000 2,384,949 
Clark County McCarran Int'l. Arpt. Passenger Facility Charge Rev.:   
(Clark County Arpt. Rev. Proj.) Series 2017 B, 5% 7/1/22 (b) 2,665,000 2,737,233 
Series 2019 E:   
5% 7/1/22 480,000 493,296 
5% 7/1/24 575,000 642,943 
5% 7/1/25 100,000 115,904 
Clark County School District:   
Series 2015 C, 5% 6/15/22 500,000 512,880 
Series 2016 A:   
5% 6/15/23 255,000 273,275 
5% 6/15/24 685,000 762,221 
Series 2017 A, 5% 6/15/22 710,000 728,212 
Series 2017 C:   
5% 6/15/22 3,300,000 3,385,009 
5% 6/15/24 200,000 222,546 
Series 2017 D:   
5% 6/15/24 400,000 419,005 
5% 6/15/25 350,000 366,330 
Series 2018 A:   
5% 6/15/23 435,000 466,174 
5% 6/15/24 630,000 701,021 
5% 6/15/25 315,000 363,106 
Series 2020 A:   
3% 6/15/22 500,000 507,524 
3% 6/15/23 (FSA Insured) 450,000 468,469 
Las Vegas Convention & Visitors Auth. Series 2021:   
5% 7/1/23 1,000,000 1,072,179 
5% 7/1/24 1,000,000 1,114,050 
Las Vegas Valley Wtr. District Wtr. Impt. Gen. Oblig. Series 2015 B, 5% 12/1/21 600,000 600,000 
Nevada Dept. of Bus. & Industry Bonds:   
(Brightline West Passenger Rail Proj.) Series 2020 A, 0.25%, tender 2/1/22 (a)(b)(d) 2,500,000 2,500,040 
(Republic Svcs., Inc. Proj.) Series 2001, 0.25%, tender 12/1/21 (a)(b)(d) 3,600,000 3,600,000 
Nevada Gen. Oblig.:   
Series 2013 D1, 5% 3/1/24 60,000 63,515 
Series 2013 F1, 5% 3/1/25 250,000 264,483 
Nevada Hsg. Division Bonds Series 2020, 0.3%, tender 10/1/22 (a) 4,220,000 4,221,026 
Washoe County Gas & Wtr. Facilities Bonds (Sierra Pacific Pwr. Co. Proj.) Series 2016 B, 3%, tender 6/1/22 (a) 1,460,000 1,478,782 
Washoe County Gas Facilities Rev. Bonds:   
(Sierra Pacific Pwr. Co. Proj.) Series 2016 C, 0.625%, tender 4/15/22 (a)(b) 1,590,000 1,590,672 
Series 2016 F, 2.05%, tender 4/15/22 (a)(b) 8,400,000 8,447,658 
Series 2016, 2.05%, tender 4/15/22 (a)(b) 1,210,000 1,216,865 
TOTAL NEVADA  56,812,191 
New Hampshire - 0.1%   
Nat'l. Fin. Auth. Hosp. Rev. (St. Luke's Univ. Health Network Proj.) Series 2021 B, 5% 8/15/25 1,140,000 1,318,988 
Nat'l. Fin. Auth. Solid Bonds (Waste Mgmt., Inc. Proj.):   
Series 2018 A, 0.425%, tender 7/1/24 (a)(b) 5,000,000 4,998,602 
Series 2019 A2, 2.15%, tender 7/1/24 (a)(b) 555,000 573,590 
New Hampshire Bus. Fin. Auth. Wtr. Facility (Pennichuck Wtr. Works, Inc. Proj.) Series 2014 A, 5% 1/1/24 (Escrowed to Maturity) (b) 260,000 283,797 
New Hampshire Health & Ed. Facilities Auth. Rev.:   
Series 2012, 5% 7/1/27 120,000 122,762 
Series 2016, 5% 10/1/23 425,000 460,146 
TOTAL NEW HAMPSHIRE  7,757,885 
New Jersey - 2.8%   
Burlington County Bridge Commission Lease Rev. (Governmental Leasing Prog.) Series 2021:   
4% 4/1/23 715,000 750,504 
4% 4/1/24 425,000 460,846 
Camden County Impt. Auth. Health Care Redev. Rev. Series 2014 A:   
5% 2/15/22 55,000 55,508 
5% 2/15/23 70,000 73,775 
Garden State Preservation Trust Open Space & Farmland Preservation Series B, 0% 11/1/22 (FSA Insured) 680,000 676,219 
Gloucester County Impt. Auth. Rev. Series 2021, 0.6% 3/1/24 2,400,000 2,400,319 
Hudson County Impt. Auth. (Hudson County Courthouse Proj.) Series 2020, 4% 10/1/22 225,000 231,984 
New Brunswick Parking Auth. Rev. Series 2020 B:   
5% 9/1/23 675,000 726,540 
5% 9/1/25 850,000 986,908 
New Jersey Econ. Dev. Auth. Series QQQ:   
5% 6/15/22 400,000 410,063 
5% 6/15/23 420,000 449,292 
5% 6/15/24 300,000 332,929 
5% 6/15/25 385,000 442,151 
5% 6/15/26 555,000 657,263 
New Jersey Econ. Dev. Auth. Motor Vehicle Rev. Series 2017 A, 4% 7/1/22 1,400,000 1,429,336 
New Jersey Econ. Dev. Auth. Rev.:   
(New Jersey Gen. Oblig. Proj.) Series 2017 B, 5% 11/1/24 515,000 579,361 
(New Jersey Transit Corp. Projs.) Series 2017 B, 5% 11/1/22 1,900,000 1,981,233 
(Provident Montclair Proj.) Series 2017:   
4% 6/1/22 (FSA Insured) 20,000 20,285 
5% 6/1/23 (FSA Insured) 25,000 26,705 
5% 6/1/24 (FSA Insured) 20,000 22,222 
(The Goethals Bridge Replacement Proj.) Series 2013, 5% 1/1/24 (b) 350,000 383,545 
Series 2005 N1, 5.5% 9/1/23 (Nat'l. Pub. Fin. Guarantee Corp. Insured) 300,000 326,281 
Series 2005, 5.25% 12/15/21 1,720,000 1,723,116 
Series 2012 II:   
5% 3/1/22 135,000 136,575 
5% 3/1/23 835,000 844,453 
5% 3/1/27 (Pre-Refunded to 3/1/22 @ 100) 240,000 242,879 
Series 2012:   
5% 6/15/22 315,000 322,907 
5% 6/15/22 (Assured Guaranty Corp. Insured) 900,000 923,085 
Series 2013:   
5% 3/1/23 5,045,000 5,332,701 
5% 3/1/24 480,000 507,005 
5% 3/1/25 355,000 374,927 
Series 2014 UU, 5% 6/15/24 400,000 443,905 
Series 2015 XX:   
4% 6/15/24 545,000 591,131 
5% 6/15/23 75,000 80,231 
Series 2017 DDD, 5% 6/15/22 220,000 225,546 
Series 2019:   
5.25% 9/1/22 (d) 5,550,000 5,746,687 
5.25% 9/1/23 (d) 5,000,000 5,416,284 
5.25% 9/1/24 (d) 2,100,000 2,362,695 
Series UU, 3.1% 6/15/23 575,000 598,395 
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 2,524,760 
Series 2020 E, 0.85% 12/1/25 (b) 1,600,000 1,599,126 
Bonds (New Jersey-American Wtr. Co., Inc.) Series 2020, 1.2%, tender 6/1/23 (a)(b) 2,000,000 2,015,607 
New Jersey Edl. Facility:   
Series 2015 C, 5% 7/1/22 240,000 246,320 
Series 2016 A:   
5% 7/1/22 140,000 143,603 
5% 7/1/23 75,000 80,142 
5% 7/1/24 175,000 193,814 
Series 2016 E, 5% 7/1/22 625,000 641,643 
New Jersey Gen. Oblig.:   
Series 2013, 5% 6/1/23 580,000 619,558 
Series 2014:   
5% 6/1/22 400,000 409,237 
5% 6/1/24 385,000 428,184 
Series 2020 A:   
4% 6/1/23 24,320,000 25,616,127 
5% 6/1/24 1,530,000 1,701,616 
5% 6/1/25 2,330,000 2,684,178 
Series 2021, 2% 6/1/25 840,000 880,606 
New Jersey Health Care Facilities Fing. Auth. Rev.:   
Series 2011, 5% 7/1/22 400,000 411,318 
Series 2012 A, 5% 7/1/24 (Pre-Refunded to 7/1/22 @ 100) 1,310,000 1,346,365 
Series 2013, 5% 7/1/22 325,000 334,196 
Series 2016 A:   
2% 7/1/22 250,000 252,459 
5% 7/1/22 5,000 5,130 
5% 7/1/22 300,000 308,489 
5% 7/1/23 15,000 16,041 
5% 7/1/24 25,000 27,940 
5% 7/1/24 20,000 22,205 
5% 7/1/24 10,000 11,102 
5% 7/1/25 10,000 11,483 
5% 7/1/26 5,000 5,915 
5% 7/1/27 5,000 5,905 
Series 2016, 5% 7/1/22 460,000 473,016 
New Jersey Higher Ed. Student Assistance Auth. Student Ln. Rev.:   
Series 2012 1, 5% 12/1/22 (b) 500,000 522,733 
Series 2013, 5% 12/1/21 (b) 1,500,000 1,500,000 
Series 2015 1A:   
5% 12/1/21 (b) 4,650,000 4,650,000 
5% 12/1/22 (b) 200,000 209,196 
Series 2016 1A:   
5% 12/1/22 (b) 1,400,000 1,465,092 
5% 12/1/23 (b) 1,400,000 1,526,678 
5% 12/1/24 (b) 1,430,000 1,619,904 
Series 2017 1A:   
5% 12/1/22 (b) 215,000 224,775 
5% 12/1/23 (b) 4,195,000 4,567,545 
Series 2017 1B, 5% 12/1/21 (b) 190,000 190,000 
Series 2018 B, 5% 12/1/21 (b) 835,000 835,000 
Series 2019 A:   
5% 12/1/22 245,000 256,391 
5% 12/1/23 4,260,000 4,645,463 
5% 12/1/24 260,000 293,863 
Series 2020 A, 5% 12/1/23 (b) 1,500,000 1,632,268 
Series 2020:   
5% 12/1/22 (b) 1,600,000 1,672,745 
5% 12/1/22 (b) 1,360,000 1,421,833 
5% 12/1/23 (b) 945,000 1,028,329 
5% 12/1/24 (b) 675,000 761,837 
Series 2021 A:   
5% 12/1/23 (b) 200,000 217,552 
5% 12/1/24 (b) 330,000 371,928 
5% 12/1/25 (b) 700,000 811,418 
Series 2021 B, 5% 12/1/24 (b) 570,000 642,422 
New Jersey Hsg. & Mtg. Fin. Agcy. Bonds Series 2020 A, 0.75%, tender 6/1/22 (a) 2,000,000 2,004,095 
New Jersey Hsg. & Mtg. Fin. Agcy. Rev.:   
Series 2019 D:   
4% 10/1/22 (b) 1,340,000 1,377,496 
4% 4/1/23 (b) 115,000 119,971 
4% 10/1/23 (b) 125,000 132,235 
4% 4/1/25 (b) 150,000 164,185 
Series 2021 H:   
0.2% 4/1/23 235,000 234,505 
0.35% 4/1/24 775,000 771,554 
New Jersey Tobacco Settlement Fing. Corp. Series 2018 A:   
5% 6/1/22 2,580,000 2,639,395 
5% 6/1/23 1,080,000 1,153,534 
5% 6/1/25 825,000 947,998 
New Jersey Tpk. Auth. Tpk. Rev.:   
Series 2004 C2, 5.5% 1/1/25 350,000 404,377 
Series 2012 B, 5% 1/1/22 (Escrowed to Maturity) 520,000 522,046 
New Jersey Trans. Trust Fund Auth.:   
Series 2005 B:   
5.25% 12/15/22 (AMBAC Insured) 5,365,000 5,638,356 
5.25% 12/15/23 470,000 515,898 
Series 2006 A:   
5.25% 12/15/21 2,000,000 2,003,624 
5.25% 12/15/21 (FSA Insured) 645,000 646,176 
5.25% 12/15/22 1,160,000 1,219,104 
5.25% 12/15/23 (FSA Insured) 500,000 549,365 
5.5% 12/15/21 1,900,000 1,903,614 
Series 2006, 5.25% 12/15/21 (Nat'l. Pub. Fin. Guarantee Corp. Insured) 465,000 465,842 
Series 2010 D, 5.25% 12/15/23 555,000 609,199 
Series 2013 AA:   
5% 6/15/22 215,000 220,420 
5% 6/15/23 785,000 839,748 
Series 2016 A:   
5% 6/15/22 2,720,000 2,788,724 
5% 6/15/27 90,000 106,512 
Series 2016 A-2, 5% 6/15/23 1,205,000 1,289,618 
Series 2018 A:   
5% 6/15/22 4,475,000 4,588,065 
5% 6/15/23 445,000 476,249 
5% 6/15/24 755,000 839,707 
Series 2022 AA:   
5% 6/15/23 (e) 150,000 157,391 
5% 6/15/24 (e) 330,000 360,506 
5% 6/15/25 (e) 2,000,000 2,255,834 
Series A:   
5% 12/15/23 365,000 398,796 
5% 12/15/24 210,000 237,250 
5% 12/15/25 200,000 233,274 
Series D, 5% 12/15/23 480,000 524,444 
Newark Gen. Oblig. Series 2020:   
5% 10/1/22 900,000 933,010 
5% 10/1/22 650,000 672,733 
Rutgers State Univ. Rev.:   
Series 2013 J, 5% 5/1/23 275,000 293,031 
Series 2018 N, 4% 5/1/23 370,000 389,153 
Series Q:   
5% 5/1/22 80,000 81,577 
5% 5/1/23 65,000 69,281 
The Board of Ed. of Newark Series 2021:   
5% 7/15/22 125,000 128,693 
5% 7/15/25 (Build America Mutual Assurance Insured) 250,000 288,288 
5% 7/15/26 (Build America Mutual Assurance Insured) 300,000 355,910 
Union County Gen. Oblig. Series 2020, 0.5% 3/1/22 1,700,000 1,700,905 
TOTAL NEW JERSEY  157,630,536 
New Mexico - 0.1%   
New Mexico Mtg. Fin. Auth. Series 2019 C, 4% 1/1/50 450,000 491,923 
New Mexico Muni. Energy Acquisition Auth. Gas Supply Rev.:   
Bonds Series 2019 A, 5%, tender 5/1/25 (a) 1,000,000 1,144,074 
Series 2019 A:   
4% 5/1/22 140,000 142,163 
4% 5/1/23 980,000 1,030,445 
4% 11/1/23 645,000 689,274 
4% 11/1/24 250,000 275,347 
4% 5/1/25 960,000 1,068,318 
Santa Fe Pub. School District Gen. Oblig. Series 2021:   
4% 8/1/22 500,000 512,611 
4% 8/1/23 450,000 477,677 
TOTAL NEW MEXICO  5,831,832 
New York - 3.7%   
Albany County Arpt. Auth. Arpt. Rev. Series 2020 B, 5% 12/15/21 (b) 500,000 500,861 
Dorm. Auth. New York Univ. Rev. Series 2016 A:   
5% 7/1/22 10,000 10,272 
5% 7/1/24 40,000 44,573 
East Ramapo Central School District Series 2021, 1.25% 5/5/22 1,250,000 1,254,253 
Hempstead Local Dev. Corp. Rev. (Adelphi Univ. Proj.) Series 2021:   
5% 6/1/22 200,000 204,619 
5% 6/1/23 400,000 427,281 
5% 6/1/24 940,000 1,038,252 
Hudson Yards Infrastructure Corp. New York Rev. Series 2017 A:   
5% 2/15/24 1,280,000 1,411,921 
5% 2/15/25 805,000 923,143 
5% 2/15/26 1,545,000 1,834,643 
Long Island Pwr. Auth. Elec. Sys. Rev. Bonds:   
Series 2019 B, 1.65%, tender 9/1/24 (a) 1,055,000 1,081,710 
Series 2020 B, 0.85%, tender 9/1/25 (a) 11,560,000 11,560,101 
Series 2021 B, 1.5%, tender 9/1/26 (a) 470,000 481,877 
Monroe County Indl. Dev. Corp.:   
(The Rochester Gen. Hosp. Proj.) Series 2017, 5% 12/1/26 350,000 419,832 
Series 2020 A, 5% 7/1/23 300,000 322,596 
Nassau County Local Econ. Assistance Corp. Multifamily Hsg. Rev. Bonds (Park Lake Hempstead, L.P. Proj.) Series 2021, 0.3%, tender 11/1/23 (a) 5,190,000 5,177,529 
New York Bridge Auth. Gen. Rev. Series 2021 B:   
5% 1/1/23 1,025,000 1,076,650 
5% 1/1/24 1,100,000 1,205,907 
5% 1/1/25 1,315,000 1,497,024 
New York City Edl. Construction Fund Series 2021 A, 5% 4/1/22 1,080,000 1,097,054 
New York City Gen. Oblig.:   
Bonds Series D, 5%, tender 2/1/24 (a) 900,000 966,911 
Series 1, 5% 8/1/23 405,000 436,980 
Series 2006, 0.23%, tender 6/1/36 (FSA Insured) (a) 1,000,000 1,000,000 
Series 2007 A, 0.2%, tender 8/1/26 (FSA Insured) (a) 800,000 800,000 
Series 2007 C-4, 0.2%, tender 1/1/32 (FSA Insured) (a) 225,000 225,000 
Series 2007, 0.15%, tender 12/7/21 (FSA Insured) (a) 3,550,000 3,550,000 
Series 2008 A-3, 0.3%, tender 8/1/26 (FSA Insured) (a) 3,175,000 3,175,000 
Series 2008 C-4, 0.2%, tender 10/1/27 (a) 2,550,000 2,550,000 
Series 2008 J3, 5% 8/1/22 550,000 567,707 
Series 2012 D1, 5% 10/1/26 440,000 441,748 
Series 2012 E, 5% 8/1/24 365,000 367,948 
Series 2013 D, 5% 8/1/23 1,605,000 1,693,704 
Series 2013 I, 5% 8/1/23 200,000 215,793 
Series 2014 J, 5% 8/1/25 410,000 460,037 
Series 2015 A, 5% 8/1/23 570,000 615,009 
Series 2016 B, 5% 8/1/22 300,000 309,659 
Series 2016 E, 5% 8/1/24 840,000 942,992 
Series 2016:   
5% 8/1/22 1,405,000 1,450,234 
5% 8/1/26 5,885,000 6,958,134 
Series 2017 C, 5% 8/1/23 120,000 129,476 
Series 2017, 5% 8/1/23 1,105,000 1,192,255 
Series 2018 A:   
5% 8/1/23 200,000 215,793 
5% 8/1/24 150,000 168,391 
Series 2018, 5% 8/1/22 540,000 557,385 
Series 2021 F1, 5% 3/1/23 85,000 90,079 
Series A:   
4% 8/1/23 995,000 1,057,057 
5% 8/1/22 440,000 454,166 
5% 8/1/23 100,000 107,896 
5% 8/1/25 570,000 639,563 
Series A1, 5% 10/1/22 350,000 364,065 
Series C:   
5% 8/1/23 300,000 323,689 
5% 8/1/23 5,040,000 5,437,978 
5% 8/1/26 220,000 264,123 
Series D, 5% 8/1/25 710,000 748,717 
Series E, 5% 8/1/22 590,000 608,995 
Series F1:   
5% 3/1/27 325,000 343,913 
5% 3/1/37 (Pre-Refunded to 3/1/23 @ 100) 405,000 429,198 
Series H3, 5% 8/1/23 475,000 512,508 
Series I1, 5% 3/1/27 200,000 220,203 
Series J4, 5% 8/1/24 2,100,000 2,357,480 
New York City Health & Hosp. Corp. Rev. Series A, 4% 2/15/25 1,440,000 1,600,181 
New York City Hsg. Dev. Corp. Series G1, 2.35% 11/1/23 450,000 465,258 
New York City Hsg. Dev. Corp. Multifamily Hsg.:   
Bonds:   
Series 2021 C2, 0.7%, tender 7/1/25 (a) 2,710,000 2,715,893 
Series 2021 H, 0.12%, tender 3/15/22 (a) 950,000 948,736 
Series 2021, 0.6%, tender 7/1/25 (a) 430,000 426,946 
Series A3, 1.125%, tender 11/1/24 (a) 2,000,000 2,005,150 
Series 2017 C3A, 0.2% 5/1/22 2,390,000 2,389,679 
New York City Indl. Dev. Agcy. Rev. Series 2021 A, 5% 1/1/25 (FSA Insured) 1,000,000 1,136,772 
New York City Muni. Wtr. Fin. Auth. Wtr. & Swr. Sys. Rev. Series AA, 4% 6/15/24 845,000 922,812 
New York City Transitional Fin. Auth. Bldg. Aid Rev.:   
Series 2016 S 1:   
5% 7/15/24 70,000 78,395 
5% 7/15/24 (Escrowed to Maturity) 305,000 341,383 
Series 2018 S1, 5% 7/15/25 (Escrowed to Maturity) 370,000 430,493 
Series S1, 5% 7/15/23 (Escrowed to Maturity) 600,000 646,199 
New York City Transitional Fin. Auth. Rev.:   
Series 1:   
5% 11/1/22 400,000 417,555 
5% 11/1/22 215,000 224,436 
Series 2013 E, 2% 11/1/23 230,000 233,595 
Series 2014 D1, 5% 2/1/27 350,000 383,787 
Series 2014, 5% 11/1/26 750,000 831,273 
Series 2015 C, 5% 11/1/22 370,000 386,238 
Series 2015 D, 5% 11/1/26 525,000 615,481 
Series A1:   
5% 5/1/23 300,000 320,156 
5% 8/1/24 250,000 280,297 
Series A3, 5% 8/1/23 1,045,000 1,127,152 
Series B1:   
5% 8/1/22 350,000 361,244 
5% 8/1/24 545,000 611,048 
Series C1, 3% 5/1/22 320,000 323,809 
New York Convention Ctr. Dev. Corp. Rev. Series 2015, 5% 11/15/22 755,000 788,559 
New York Dorm. Auth. Personal Income Tax Rev.:   
Series 2012 A, 4% 12/15/22 (Escrowed to Maturity) 325,000 337,858 
Series 2014 A:   
5% 2/15/22 695,000 701,899 
5% 2/15/26 865,000 951,328 
Series 2014 E, 5% 2/15/26 300,000 342,995 
Series 2015 E, 5% 3/15/23 (Escrowed to Maturity) 300,000 318,483 
Series 2016 D:   
5% 2/15/23 (Escrowed to Maturity) 665,000 703,387 
5% 2/15/25 (Escrowed to Maturity) 855,000 980,352 
New York Dorm. Auth. Rev.:   
Series 1, 5% 7/1/22 (Pre-Refunded to 1/1/22 @ 100) 400,000 401,569 
Series 2015 A:   
5% 5/1/23 510,000 543,363 
5% 7/1/24 275,000 307,645 
Series 2015, 5% 12/1/22 (d) 700,000 732,042 
Series 2021 A:   
4% 10/1/22 2,875,000 2,966,437 
5% 7/1/24 1,410,000 1,574,285 
New York Dorm. Auth. Sales Tax Rev.:   
Series 2015 A, 5% 3/15/24 250,000 276,717 
Series 2017 A, 5% 3/15/24 445,000 492,556 
Series 2018 C, 5% 3/15/24 600,000 664,120 
New York Metropolitan Trans. Auth. Dedicated Tax Fund Rev.:   
Bonds Series 2008 A, SIFMA Municipal Swap Index + 0.450% 0.5%, tender 12/2/21 (a)(c) 1,160,000 1,161,340 
Series 2012 A, 5% 11/15/22 225,000 235,314 
Series 2016 A:   
4% 11/15/25 350,000 397,478 
5% 11/15/22 400,000 418,336 
Series 2016 B1, 5% 11/15/25 255,000 299,553 
Series 2017 B2, 5% 11/15/24 365,000 414,373 
Series 2021 B1, 3% 11/1/22 3,000,000 3,077,220 
New York Metropolitan Trans. Auth. Rev.:   
Bonds:   
Series 2005 D1, U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.330% 0.364%, tender 4/1/24 (a)(c) 5,700,000 5,670,233 
Series 2011 B, 1 month U.S. LIBOR + 0.550% 0.608%, tender 12/4/21 (a)(c) 1,745,000 1,749,376 
Series 2012 B, 5% 11/15/22 45,000 46,996 
Series 2012 F:   
5% 11/15/22 1,000,000 1,044,348 
5% 11/15/23 985,000 1,029,234 
Series 2014 C, 5% 11/15/22 255,000 266,309 
Series 2015 A1, 5% 11/15/22 700,000 731,043 
Series 2015 F, 5% 11/15/22 855,000 892,917 
Series 2016 B, 5% 11/15/23 765,000 832,662 
Series 2017 B:   
5% 11/15/22 1,605,000 1,676,178 
5% 11/15/23 780,000 848,989 
Series 2017 D, 5% 11/15/23 420,000 457,148 
Series 2019 F, 5% 11/15/22 250,000 261,052 
Series 2020 A:   
4% 2/1/22 6,700,000 6,740,749 
5% 2/1/23 7,880,000 8,300,443 
New York St Mtg. Agcy. Homeowner:   
Series 186, 3.4% 4/1/22 (b) 1,160,000 1,170,750 
Series 2014 189, 2.85% 10/1/22 (b) 500,000 509,362 
Series 212:   
2.4% 4/1/22 (b) 1,130,000 1,136,936 
2.5% 10/1/22 (b) 1,160,000 1,178,361 
Series 214, 2.9% 10/1/22 (b) 805,000 819,864 
New York State Dorm. Auth.:   
Series 2012 A:   
5% 12/15/21 540,000 540,956 
5% 12/15/23 415,000 435,662 
5% 12/15/23 (Pre-Refunded to 12/15/22 @ 100) 345,000 362,034 
Series 2017 A:   
5% 2/15/22 935,000 944,281 
5% 2/15/23 555,000 587,076 
5% 2/15/23 (Escrowed to Maturity) 1,925,000 2,034,917 
5% 2/15/25 195,000 223,522 
5% 2/15/25 (Escrowed to Maturity) 440,000 503,750 
Series 2017 B:   
5% 2/15/23 210,000 222,137 
5% 2/15/23 (Escrowed to Maturity) 455,000 480,980 
Series 2018 A, 5% 3/15/25 (Escrowed to Maturity) 200,000 230,006 
Series 2019 D, 5% 2/15/23 390,000 412,540 
Series 2020 A, 5% 3/15/23 (Escrowed to Maturity) 250,000 265,403 
New York State Energy Research & Dev. Auth. Poll. Cont. Rev. Series 1999, 0.5%, tender 12/3/21 (AMBAC Insured) (a) 300,000 300,000 
New York State Hsg. Fin. Agcy. Rev.:   
Bonds Series 2021 D2, 0.65%, tender 11/1/25 (a) 405,000 403,075 
Series J, 0.75% 5/1/25 360,000 360,561 
New York State Mtg. Agcy. Homeowner Mtg.:   
Series 2021 232, 5% 4/1/24 (b) 1,110,000 1,223,884 
Series 221, 3.5% 10/1/32 (b) 60,000 64,673 
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 1,505,509 
(Term. 4 JFK Int'l. Arpt. Proj.):   
Series 2020 A:   
5% 12/1/22 (b) 475,000 495,767 
5% 12/1/23 (b) 675,000 731,561 
5% 12/1/25 (b) 1,100,000 1,268,531 
Series 2020 C:   
5% 12/1/22 2,355,000 2,459,410 
5% 12/1/23 1,000,000 1,085,671 
New York Urban Dev. Corp. Rev.:   
Series 2013 A1, 4% 3/15/23 250,000 262,213 
Series 2013 D, 5% 3/15/24 355,000 376,805 
Series 2014 A, 5% 3/15/26 340,000 375,236 
Series 2015 A, 5% 3/15/24 590,000 651,765 
Series 2016 A:   
5% 3/15/23 640,000 679,482 
5% 3/15/27 350,000 412,999 
5% 3/15/29 420,000 494,431 
Series 2017 A, 5% 3/15/23 200,000 212,338 
Niagara Frontier Trans. Auth. Arpt. Rev. Series 2019 A:   
5% 4/1/22 (b) 700,000 711,006 
5% 4/1/23 (b) 4,225,000 4,485,026 
5% 4/1/24 (b) 2,885,000 3,174,622 
Onondaga County Ind. Dev. Agcy. Swr. Facilities Rev. (Bristol-Meyers Squibb Co. Proj.) Series 1994, 5.75% 3/1/24 (b) 945,000 1,052,440 
Poughkeepsie Gen. Oblig. Series 2021, 4% 4/15/23 270,000 281,315 
Rockland County Gen. Oblig. Series 2014 A:   
5% 3/1/22 (FSA Insured) 925,000 936,096 
5% 3/1/23 (FSA Insured) 275,000 291,395 
Schenectady County Cap. Resources Corp. Rev. (Union College Proj.) Series 2017, 5% 1/1/22 420,000 421,648 
Suffolk County Gen. Oblig. Series 2014, 5% 2/1/22 (FSA Insured) 300,000 302,347 
Syracuse Reg'l. Arpt. Auth. Series 2021, 5% 7/1/23 (b) 750,000 803,639 
Triborough Bridge & Tunnel Auth. Bonds:   
Series 2021 A2:   
2%, tender 5/15/24 (a) 6,000,000 6,218,734 
2%, tender 5/15/26 (a) 1,285,000 1,360,684 
Series 2021 B, 5%, tender 5/15/26 (a) 5,000,000 5,941,992 
Series 2021 C, 5%, tender 5/15/26 (a) 4,200,000 4,989,240 
Triborough Bridge & Tunnel Auth. Revs.:   
Bonds Series 2005 B 4A, U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.380% 0.414%, tender 2/1/24 (a)(c) 2,000,000 2,001,810 
Series 2013 A, 5% 11/15/26 400,000 426,680 
Series 2016 A, 5% 11/15/23 400,000 436,575 
Yonkers Gen. Oblig.:   
Series 2017 C, 5% 10/1/22 (Build America Mutual Assurance Insured) 55,000 57,163 
Series 2021 A:   
4% 2/15/24 250,000 268,617 
5% 2/15/26 (FSA Insured) 400,000 470,238 
Series 2021 B:   
4% 2/15/24 290,000 311,662 
5% 2/15/26 320,000 376,336 
TOTAL NEW YORK  205,120,451 
New York And New Jersey - 0.4%   
Port Auth. of New York & New Jersey:   
Series 173, 4% 12/1/21 675,000 675,000 
Series 188, 5% 5/1/23 (b) 200,000 213,025 
Series 189, 5% 5/1/23 200,000 213,290 
Series 2013 178, 5% 12/1/25 (b) 975,000 1,060,158 
Series 2013:   
5% 12/1/22 275,000 288,098 
5% 12/1/23 725,000 792,735 
5% 12/1/24 (b) 250,000 272,411 
Series 2015 188, 5% 5/1/22 (b) 370,000 377,245 
Series 2018, 5% 9/15/22 (b) 4,105,000 4,256,891 
Series 202, 5% 10/15/22 (b) 4,435,000 4,616,296 
Series 2020 221, 5% 7/15/24 (b) 605,000 675,311 
Series 2022 209, 5% 7/15/22 300,000 309,035 
Series 207:   
5% 9/15/23 (b) 2,095,000 2,265,785 
5% 9/15/24 (b) 430,000 482,949 
Series 223:   
5% 7/15/22 (b) 2,500,000 2,573,062 
5% 7/15/23 (b) 3,275,000 3,518,067 
5% 7/15/24 (b) 1,250,000 1,395,271 
TOTAL NEW YORK AND NEW JERSEY  23,984,629 
North Carolina - 0.5%   
Charlotte Int'l. Arpt. Rev.:   
Series 2014 A, 5% 7/1/25 560,000 625,863 
Series 2017 B, 5% 7/1/25 (b) 100,000 115,057 
Series 2019 B, 5% 7/1/22 (b) 400,000 411,128 
Series 2021 B:   
5% 7/1/22 (b) 270,000 277,511 
5% 7/1/24 (b) 2,000,000 2,223,729 
5% 7/1/25 (b) 1,345,000 1,547,518 
Charlotte-Mecklenburg Hosp. Auth. Health Care Sys. Rev.:   
Bonds:   
Series 2018 E, 0.8%, tender 10/31/25 (a) 1,500,000 1,500,375 
Series 2021 B, 5%, tender 12/2/24 (a) 2,360,000 2,677,429 
Series 2016 A, 5% 1/15/22 1,650,000 1,659,534 
Columbus County Indl. Facilities And Poll. Cont. Fing. Auth. Rev. Bonds Series 2019 C, 2.1%, tender 10/1/24 (a)(b) 2,000,000 2,082,966 
New Hanover County Hosp. Rev. Series 2017, 5% 10/1/26 (Escrowed to Maturity) 290,000 348,234 
North Carolina Cap. Facilities Fin. Agcy. Edl. Facilities Rev. Series 2021, 3% 5/1/22 225,000 227,480 
North Carolina Grant Anticipation Rev.:   
Series 2017:   
5% 3/1/22 425,000 430,109 
5% 3/1/23 450,000 476,712 
Series 2019, 5% 3/1/25 335,000 384,083 
Series 2021, 5% 3/1/25 1,250,000 1,433,145 
North Carolina Hsg. Fin. Agcy. Home Ownership Rev. Series 43, 4% 7/1/50 2,490,000 2,731,892 
North Carolina Med. Care Commission Health Care Facilities Rev.:   
Bonds Series 2019 B, 2.2%, tender 12/1/22 (a) 1,420,000 1,432,914 
Series 2012 B, 4% 12/1/21 200,000 200,000 
North Carolina Muni. Pwr. Agcy. #1 Catawba Elec. Rev.:   
Series 2015 A:   
5% 1/1/23 385,000 404,659 
5% 1/1/25 200,000 227,091 
Series 2015 B, 5% 1/1/23 425,000 446,701 
Series 2015 E:   
5% 1/1/22 680,000 682,617 
5% 1/1/23 35,000 36,787 
North Carolina Tpk. Auth. Triangle Expressway Sys. Series 2017, 5% 1/1/22 1,100,000 1,104,179 
Raleigh Durham Arpt. Auth. Arpt. Rev.:   
Series 2015 B, 5% 5/1/22 (b) 750,000 764,909 
Series 2017 A:   
5% 5/1/22 (b) 400,000 407,951 
5% 5/1/23 (b) 235,000 250,616 
Series 2020 A, 5% 5/1/23 (b) 340,000 362,593 
TOTAL NORTH CAROLINA  25,473,782 
North Dakota - 0.1%   
Cass County Joint Wtr. Resource District Series 2021 A, 0.48% 5/1/24 3,000,000 3,001,934 
Ohio - 0.6%   
Akron Bath Copley Hosp. District Rev.:   
Series 2012, 5% 11/15/24 830,000 847,617 
Series 2016, 5% 11/15/24 45,000 50,512 
Akron Gen. Oblig. Series 2020, 2% 12/1/21 850,000 850,000 
Allen County Hosp. Facilities Rev.:   
Bonds (Mercy Health) Series 2017 B, 5%, tender 5/5/22 (a) 985,000 1,004,204 
Series 2017 A, 5% 8/1/22 5,300,000 5,466,652 
Series 2020 A:   
5% 12/1/21 1,410,000 1,410,000 
5% 12/1/22 1,550,000 1,622,864 
5% 12/1/23 1,000,000 1,091,534 
American Muni. Pwr., Inc. Rev.:   
Bonds Series 2021 A2, 1%, tender 8/15/24 (a) 565,000 572,140 
Series 2021 A, 5% 2/15/24 555,000 611,294 
Cleveland Arpt. Sys. Rev.:   
Series 2016 A:   
5% 1/1/22 (FSA Insured) 200,000 200,776 
5% 1/1/24 (FSA Insured) 25,000 27,385 
5% 1/1/25 (FSA Insured) 395,000 449,285 
5% 1/1/26 (FSA Insured) 10,000 11,351 
Series 2018 A, 5% 1/1/26 (b) 290,000 338,122 
Series 2019 B:   
5% 1/1/22 (b) 650,000 652,443 
5% 1/1/27 (b) 350,000 419,029 
Dayton City School District Ctfs. Prtn. Series 2021:   
3% 12/1/22 270,000 277,099 
3% 12/1/24 165,000 176,449 
Fairfield County Hosp. Facilities Rev. (Fairfield Med. Ctr. Proj.) Series 2013:   
5% 6/15/22 45,000 45,889 
5% 6/15/23 40,000 42,194 
Franklin County Hosp. Facilities Rev.:   
Bonds (U.S. Health Corp. of Columbus Proj.) Series 2011 B, 5%, tender 5/15/23 (a) 1,385,000 1,476,124 
Series 2013, 5% 5/15/22 (Escrowed to Maturity) 415,000 423,909 
Series 2016 C, 5% 11/1/23 60,000 65,358 
Franklin County Rev. Bonds Series 2013 OH, 0.1%, tender 2/1/22 (a) 1,000,000 1,000,000 
Gahanna-Jefferson City School District (School Facilities Proj.) Series 2021:   
2% 12/1/22 425,000 432,591 
2% 12/1/23 355,000 366,833 
Gahanna-Jefferson School District Series 2021, 2% 12/1/21 (FSA Insured) 800,000 800,000 
Hamilton County Convention Facilities Auth. Rev. Series 2014, 5% 12/1/21 45,000 45,000 
Hamilton County Healthcare Facilities Rev. Series 2012, 5.25% 6/1/26 115,000 117,588 
Miami County Hosp. Facilities Rev. (Kettering Health Network Obligated Group Proj.) Series 2019:   
5% 8/1/24 770,000 862,878 
5% 8/1/25 310,000 359,697 
5% 8/1/26 535,000 640,118 
Miami Univ. Series 2020 A, 5% 9/1/22 340,000 352,305 
Montgomery County Hosp. Rev. (Kettering Health Network Obligated Group Proj.) Series 2021, 5% 8/1/23 485,000 522,536 
Ohio Gen. Oblig. Series 2021 A, 5% 3/1/23 800,000 847,592 
Ohio Higher Edl. Facility Commission Rev.:   
(Case Western Reserve Univ. Proj.) Series 2016, 5% 12/1/22 585,000 612,862 
(Xavier Univ. 2020 Proj.) Series 2020, 5% 5/1/24 490,000 540,975 
Ohio Hosp. Facilities Rev. Series 2017 A:   
5% 1/1/22 35,000 35,136 
5% 1/1/23 650,000 683,263 
5% 1/1/24 40,000 43,851 
5% 1/1/25 45,000 51,244 
Ohio Hsg. Fin. Agcy. Residential Mtg. Rev.:   
(Mtg. Backed Securities Prog.) Series 2019 B, 4.5% 3/1/50 45,000 49,786 
Series 2021 C, 3.25% 3/1/51 2,100,000 2,295,175 
Ohio Spl. Oblig. Series 2020 A, 5% 2/1/22 185,000 186,472 
Scioto County Hosp. Facilities Rev.:   
Series 2016:   
5% 2/15/22 25,000 25,236 
5% 2/15/23 45,000 47,483 
5% 2/15/24 35,000 38,412 
5% 2/15/25 35,000 39,836 
5% 2/15/26 405,000 475,932 
Series 2019, 5% 2/15/29 900,000 1,046,182 
Toledo Gen. Oblig. Series 2020:   
3% 12/1/24 510,000 545,388 
3% 12/1/24 425,000 455,146 
Univ. of Akron Gen. Receipts Series 2019 A:   
5% 1/1/24 300,000 328,160 
5% 1/1/25 400,000 454,050 
Univ. of Toledo Gen. Receipts Series 2013 C, 5% 6/1/22 260,000 265,885 
Wright State Univ. Gen. Receipts Series 2021 A, 4% 5/1/22 (Build America Mutual Assurance Insured) 700,000 710,785 
TOTAL OHIO  33,410,627 
Oklahoma - 0.2%   
Canadian Cny Edl. Facilities Auth. Series 2021, 3% 9/1/23 2,000,000 2,094,392 
Cleveland County Edl. Facilities Auth. (Moore Pub. Schools Proj.) Series 2021:   
4% 6/1/24 900,000 980,046 
4% 6/1/25 295,000 330,084 
Oklahoma County Fin. Auth. Edl. Facilities (Jones Pub. Schools Proj.) Series 2020, 4% 9/1/22 305,000 312,366 
Oklahoma Dev. Fin. Auth. Health Sys. Rev. Series 2020 C, 0.13% 8/15/31 (a) 925,000 925,000 
Oklahoma Dev. Fin. Auth. Rev.:   
(Oklahoma City Univ. Proj.) Series 2019, 5% 8/1/23 560,000 599,163 
Series 2004 A, 2.375% 12/1/21 (a) 30,000 30,000 
Oklahoma Hsg. Fin. Agcy. Collateralized Bonds Series 2019, 1.6%, tender 1/1/22 185,000 185,212 
Oklahoma Tpk. Auth. Tpk. Rev. Series 2017 D, 5% 1/1/25 205,000 233,919 
Tulsa County Independent School District #1 Series 2021 B, 0.25% 9/1/24 4,000,000 3,962,751 
Tulsa County Indl. Auth. Edl. Facilities Lease Rev. (Berryhill Pub. School Proj.) Series 2020:   
4% 9/1/24 445,000 483,522 
4% 9/1/25 690,000 768,026 
Univ. of Oklahoma Gen. Rev.:   
Series 2020 B, 4% 7/1/24 490,000 533,609 
Series 2021 A, 5% 7/1/23 (FSA Insured) (e) 1,125,000 1,206,673 
TOTAL OKLAHOMA  12,644,763 
Oregon - 0.2%   
Oregon Bus. Dev. Commission Bonds Series 250, 5%, tender 3/1/22 (a)(b) 2,970,000 3,003,374 
Oregon Bus. Dev. Commission Recovery Zone Facility Bonds (Intel Corp. Proj.) Series 232, 2.4%, tender 8/14/23(a) 770,000 794,528 
Oregon Gen. Oblig. Series 2021 A, 5% 5/1/24 1,500,000 1,667,154 
Port of Morrow Full Faith and Cr. Obligations Series 2021 D:   
4% 12/1/22 135,000 139,686 
4% 12/1/23 110,000 117,245 
4% 12/1/24 150,000 164,149 
4% 12/1/25 150,000 167,690 
Port of Portland Arpt. Rev.:   
Series 2015 23, 5% 7/1/23 275,000 295,394 
Series 26 C:   
5% 7/1/22 (b) 1,300,000 1,334,463 
5% 7/1/23 (b) 2,000,000 2,141,391 
5% 7/1/24 (b) 1,000,000 1,111,865 
TOTAL OREGON  10,936,939 
Pennsylvania - 2.4%   
Allegheny County Hosp. Dev. Auth. Rev. Series 2021 B:   
5% 10/15/23 950,000 1,032,014 
5% 10/15/24 705,000 795,321 
5% 10/15/25 740,000 863,788 
Allegheny County Sanitation Auth. Swr. Rev. Series 2020 A, 4% 6/1/24 300,000 326,133 
Bucks Co. Indl. Dev. Auth. Solid Waste Rev. Bonds (Waste Mgmt., Inc. Proj.) Series 2002, 2.75%, tender 12/1/22 (a)(b) 1,700,000 1,737,143 
Butler Area School District Series 2018, 5% 10/1/22 1,250,000 1,299,375 
Chester County Health & Ed. Facilities Auth. Health Sys. Rev. Series C, 3% 9/1/23 245,000 256,783 
Coatesville Area School District Series 2017, 5% 8/1/23 (FSA Insured) 710,000 763,343 
Commonwealth Fing. Auth. Rev.:   
Series 2019 B, 5% 6/1/24 275,000 305,846 
Series 2020 A, 5% 6/1/23 350,000 374,691 
Cumberland County Muni. Auth. Rev. Bonds Series 2014 T1, 3.75%, tender 4/30/22 (a) 1,000,000 1,001,948 
Delaware County Auth. Rev. Series 2015, 5% 8/1/22 475,000 489,936 
Delaware County Auth. Univ. Rev. Series 2020:   
4% 10/1/22 190,000 195,075 
5% 10/1/23 240,000 257,331 
Delaware Valley Reg'l. Fin. Auth. Local Govt. Rev. Bonds Series 2018 B, SIFMA Municipal Swap Index + 0.420% 0.47%, tender 12/2/21 (a)(c) 5,000,000 5,000,266 
Geisinger Auth. Health Sys. Rev. Series 2020 A, 5% 4/1/22 6,075,000 6,171,753 
Hollidaysburg Area School District Series 2020, 4% 7/15/22 500,000 511,584 
Lancaster County Hosp. Auth. Health Ctr. Rev. Series 2016 A, 4% 8/15/22 470,000 482,675 
Laurel Highlands School District Series 2021:   
4% 2/1/24 635,000 678,666 
4% 2/1/25 345,000 378,520 
Lehigh County Indl. Dev. Auth. Poll. Cont. Rev. Bonds:   
(PPL Elec. Utils. Corp. Proj.) Series 2016 A, 1.8%, tender 9/1/22 (a) 2,405,000 2,428,434 
Series B, 1.8%, tender 8/15/22 (a) 1,595,000 1,609,651 
Monroeville Fin. Auth. UPMC Rev. Series 2012:   
3% 2/15/23 340,000 346,446 
5% 2/15/22 440,000 444,249 
Montgomery County Higher Ed. & Health Auth. Rev.:   
Series 2014 A, 5% 10/1/23 5,000 5,366 
Series 2017, 3% 12/1/21 155,000 155,000 
Series 2019:   
5% 9/1/23 500,000 539,090 
5% 9/1/26 1,250,000 1,485,782 
Neshannock Township School District Gen. Oblig. Series 2021 B:   
2% 9/1/22 115,000 116,491 
2% 9/1/23 325,000 333,872 
New Kensington-Arnold School District Series 2019 A, 4% 5/15/22 975,000 990,435 
Northampton County Gen. Purp. College Rev. Series 2017, 5% 11/1/23 365,000 396,566 
Octorara Area School District Chester and Lancaster Counties Series 2020, 4% 4/1/23 700,000 733,319 
Parkland School District Series 2021 A, 3% 2/1/24 225,000 237,249 
Pennsylvania Econ. Dev. Fing. Auth.:   
(Philadelphia Biosolids Facility Proj.) Series 2020, 3% 1/1/22 360,000 360,686 
Series 2017 A, 5% 11/15/23 225,000 245,018 
Series 2020 A, 5% 4/15/22 500,000 508,782 
Series 2021 A, 4% 10/15/23 425,000 453,780 
Pennsylvania Econ. Dev. Fing. Auth. Indl. Dev. Rev. (The Pennsylvania Rapid Bridge Replacement Proj.) Series 2015, 5% 6/30/22 (b) 1,495,000 1,534,266 
Pennsylvania Econ. Dev. Fing. Auth. Solid Waste Disp. Rev. Bonds:   
(Republic Svcs., Inc. Proj.):   
Series 2019 A, 0.18%, tender 1/18/22 (a)(b) 7,550,000 7,550,011 
Series 2019 B1, 0.18%, tender 1/15/22 (a)(b) 5,000,000 5,000,008 
(Republic Svcs., Inc. Proj.) Series 2014, 0.23%, tender 1/3/22 (a)(b) 4,000,000 4,000,173 
(Waste Mgmt., Inc. Proj.) Series 2013, 0.18%, tender 2/1/22 (a)(b) 12,000,000 11,999,995 
(Waste Mgmt., Inc. Proj.):   
Series 2009, 2.8%, tender 12/1/21 (a) 600,000 600,000 
Series 2010 B, 0.2%, tender 1/3/22 (a) 300,000 300,019 
Series 2017 A, 0.58%, tender 8/1/24 (a)(b) 500,000 498,419 
Series 2021 A, SIFMA Municipal Swap Index + 0.400% 0.45%, tender 6/3/24 (a)(b)(c) 1,365,000 1,365,128 
Series 2011, 2.15%, tender 7/1/24 (a)(b) 775,000 803,687 
Pennsylvania Gen. Oblig.:   
Series 2012 1, 5% 6/1/22 (Escrowed to Maturity) 355,000 363,541 
Series 2015 1:   
5% 8/15/23 780,000 842,973 
5% 3/15/25 425,000 487,482 
Series 2016, 5% 1/15/22 290,000 291,686 
Pennsylvania Higher Edl. Facilities Auth. Rev.:   
Bonds (AICUP Fing. Prog.-York College of Pennsylvania Proj.) Series 2014 T3, 3%, tender 4/30/22 (a) 1,470,000 1,480,436 
Series 2014:   
5% 12/1/21 5,000 5,000 
5% 12/1/22 20,000 20,961 
Series 2015, 5% 8/15/22 565,000 584,203 
Series 2017, 5% 5/1/22 1,000,000 1,019,624 
Pennsylvania Hsg. Fin. Agcy.:   
Bonds:   
Series 2018 127C, 0.634%, tender 10/1/23 (a)(c) 4,000,000 4,013,461 
Series 2019, 1.4%, tender 1/1/23 (a) 4,500,000 4,544,834 
Series 2021 134 B, 5% 10/1/23 (b) 1,000,000 1,080,779 
Series 2021 135 B:   
5% 4/1/22 (b) 390,000 396,132 
5% 10/1/22 (b) 660,000 685,618 
5% 4/1/23 (b) 660,000 700,163 
5% 10/1/23 (b) 1,025,000 1,108,780 
5% 4/1/24 (b) 600,000 660,233 
5% 10/1/24 (b) 805,000 900,775 
5% 4/1/25 (b) 180,000 204,731 
Series 2021 137:   
0.45% 10/1/23 (e) 325,000 324,781 
5% 4/1/24 (e) 200,000 220,226 
5% 4/1/25 (e) 200,000 228,120 
5% 10/1/26 (e) 280,000 333,186 
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 90,000 
5% 12/1/21 (Escrowed to Maturity) 20,000 20,000 
Pennsylvania Tpk. Commission Tpk. Rev.:   
Series 2016, 5% 6/1/22 200,000 204,741 
Series 2021 B:   
5% 12/1/22 800,000 837,855 
5% 12/1/23 1,410,000 1,541,436 
Philadelphia Arpt. Rev.:   
Series 2015 A, 5% 6/15/24 (b) 1,315,000 1,459,715 
Series 2017 A, 5% 7/1/24 40,000 44,694 
Series 2017 B:   
5% 7/1/22 (b) 2,840,000 2,917,315 
5% 7/1/23 (b) 3,280,000 3,518,369 
5% 7/1/24 (b) 660,000 733,831 
5% 7/1/25 (b) 440,000 506,251 
Series 2020 C:   
5% 7/1/22 (b) 2,750,000 2,824,865 
5% 7/1/23 (b) 8,930,000 9,578,974 
Series 2021:   
5% 7/1/24 (b) 1,970,000 2,190,373 
5% 7/1/25 (b) 3,925,000 4,515,992 
Philadelphia Auth. for Indl. Dev. Series 2020 C, 4% 11/1/24 535,000 585,652 
Philadelphia Gas Works Rev.:   
Series 14, 5% 10/1/22 390,000 405,305 
Series 2017 15, 5% 8/1/22 480,000 495,093 
Philadelphia School District:   
Series 2019 A, 5% 9/1/23 185,000 200,039 
Series 2021 A, 5% 9/1/22 850,000 880,370 
Series 2021 B:   
5% 9/1/22 1,000,000 1,035,730 
5% 9/1/23 660,000 713,652 
Pittsburgh & Allegheny County Sports & Exhibition Auth. Series 2020, 4% 2/1/23 (FSA Insured) 1,775,000 1,849,488 
Pittsburgh Wtr. & Swr. Auth. Wtr. & Swr. Sys. Rev.:   
Bonds Series 2017 C, 1 month U.S. LIBOR + 0.640% 0.7%, tender 12/1/23 (FSA Insured) (a)(c) 4,000,000 4,028,686 
Series 2019 A:   
5% 9/1/23 270,000 291,751 
5% 9/1/26 (FSA Insured) 625,000 748,036 
Reading School District Series 2017:   
5% 3/1/25 (FSA Insured) 5,000 5,682 
5% 3/1/26 (FSA Insured) 5,000 5,861 
5% 3/1/27 (FSA Insured) 5,000 6,029 
5% 3/1/28 (FSA Insured) 5,000 6,048 
Southcentral Pennsylvania Gen. Auth. Rev. Series 2021 TT2:   
5% 5/1/24 210,000 232,007 
5% 5/1/25 340,000 388,976 
5% 5/1/26 320,000 377,392 
Southeastern Pennsylvania Trans. Auth. Rev. Series 2020:   
5% 6/1/22 1,000,000 1,024,110 
5% 6/1/23 750,000 802,674 
Township of East Vincent Gen. Oblig. Series 2021:   
3% 12/1/23 200,000 210,234 
3% 12/1/24 250,000 268,894 
Westmoreland County Indl. Dev. Auth. (Excela Health Proj.) Series 2020 A:   
4% 7/1/23 350,000 369,355 
4% 7/1/24 450,000 488,959 
TOTAL PENNSYLVANIA  134,866,272 
Rhode Island - 0.1%   
Rhode Island Comm Corp. Rev. Series 2016 A, 5% 6/15/24 1,010,000 1,127,122 
Rhode Island Health & Edl. Bldg. Corp. Higher Ed. Facilities Rev. Series 2016:   
5% 5/15/22 295,000 301,084 
5% 5/15/23 25,000 26,622 
5% 5/15/24 160,000 177,104 
5% 5/15/25 120,000 137,547 
Rhode Island Health & Edl. Bldg. Corp. Pub. Schools Rev. Series 2015, 5% 5/15/25 (FSA Insured) 130,000 149,635 
Rhode Island Hsg. & Mtg. Fin. Corp. Series 2019 70, 4% 10/1/49 95,000 103,665 
Rhode Island Student Ln. Auth. Student Ln. Rev.:   
Series 2019 A, 5% 12/1/28 (b) 490,000 602,501 
Series A, 4% 12/1/26 (b) 540,000 585,243 
Tobacco Settlement Fing. Corp. Series 2015 A:   
5% 6/1/26 75,000 86,187 
5% 6/1/27 20,000 22,897 
TOTAL RHODE ISLAND  3,319,607 
South Carolina - 0.6%   
Charleston County Arpt. District Series 2013 A:   
5.25% 7/1/22 (b) 1,235,000 1,270,778 
5.5% 7/1/27 (b) 850,000 916,914 
Lancaster County School District ( South Carolina Gen. Oblig. Proj.) Series 2017, 5% 3/1/22 45,000 45,541 
Patriots Energy Group Fing. Agcy. Bonds Series 2018 A, 4%, tender 2/1/24 (a) 9,000,000 9,636,007 
Richland County School District #2 Gen. Oblig. (South Carolina Gen. Oblig. Proj.) Series 2015 A, 5% 2/1/23 85,000 89,697 
Scago Edl. Facilities Corp. for Colleton School District (School District of Colleton County Proj.) Series 2015:   
5% 12/1/23 95,000 103,536 
5% 12/1/26 25,000 28,570 
South Carolina Assoc. of Governmental Organizations Ctfs. of Prtn. Series 2021 B, 3% 3/1/22 10,000,000 10,071,888 
South Carolina Hsg. Fin. & Dev. Auth. Mtg. Rev. Series 2019 A, 4% 1/1/50 115,000 127,020 
South Carolina Ports Auth. Ports Rev.:   
Series 2015, 5.25% 7/1/55 (Pre-Refunded to 7/1/25 @ 100) (b) 175,000 204,192 
Series 2019 B:   
5% 7/1/22 (b) 310,000 318,089 
5% 7/1/26 (b) 185,000 219,419 
South Carolina Pub. Svc. Auth. Rev.:   
Series 2011 B, 5% 12/1/21 (Escrowed to Maturity) 1,110,000 1,110,000 
Series 2014 C:   
5% 12/1/22 25,000 26,183 
5% 12/1/23 110,000 120,115 
Series 2015 A:   
5% 12/1/21 (Escrowed to Maturity) 400,000 400,000 
5% 12/1/25 115,000 132,469 
Series 2015 C:   
5% 12/1/21 890,000 890,000 
5% 12/1/22 560,000 586,498 
Series 2021 A:   
5% 12/1/24 375,000 425,521 
5% 12/1/25 850,000 997,354 
Series A:   
5% 12/1/21 350,000 350,000 
5% 12/1/21 530,000 530,000 
5% 12/1/22 750,000 785,489 
5% 12/1/23 620,000 677,012 
5% 12/1/23 1,015,000 1,108,334 
5% 12/1/24 365,000 414,174 
Spartanburg County Reg'l. Health Series 2022, 5% 4/15/23 (e) 690,000 728,712 
TOTAL SOUTH CAROLINA  32,313,512 
South Dakota - 0.1%   
South Dakota Board of Regents Hsg. and Auxiliary Facilities Series 2021:   
3% 4/1/22 250,000 252,297 
3% 4/1/23 275,000 284,669 
3% 4/1/24 425,000 449,156 
3% 4/1/25 500,000 538,646 
South Dakota Health & Edl. Facilities Auth. Rev.:   
Series 2014 B, 5% 11/1/22 10,000 10,432 
Series 2020 A:   
5% 9/1/22 140,000 144,991 
5% 9/1/23 335,000 362,356 
South Dakota Hsg. Dev. Auth. Series 2017 D, 4% 11/1/47 795,000 853,962 
TOTAL SOUTH DAKOTA  2,896,509 
Tennessee - 0.8%   
Greeneville Health & Edl. Facilities Board Series 2018 A, 5% 7/1/22 1,500,000 1,541,103 
Lewisburg Indl. Dev. Board Bonds (Waste Mgmt. Tennessee Proj.) Series 2012, 0.18%, tender 2/1/22 (a)(b) 4,000,000 3,999,998 
Memphis Health, Edl. & Hsg. Facilities Board Bonds Series 2020, 0.25%, tender 12/1/22 (a) 1,250,000 1,250,919 
Memphis-Shelby County Arpt. Auth. Arpt. Rev.:   
Series 2020 B:   
5% 7/1/22 (b) 300,000 308,238 
5% 7/1/23 (b) 250,000 268,333 
Series 2021 B, 5% 7/1/22 (b) 400,000 410,985 
Series 2021 C:   
5% 7/1/22 (b) 400,000 410,985 
5% 7/1/23 (b) 1,750,000 1,878,334 
5% 7/1/24 (b) 1,850,000 2,056,949 
Metropolitan Gov Nashvle&David Ind. Bonds (Waste Mgmt., Inc. Proj.) Series 2001, 0.58%, tender 8/1/24 (a)(b) 400,000 398,735 
Metropolitan Nashville Arpt. Auth. Rev. Series 2019 B, 5% 7/1/25 (b) 1,910,000 2,197,591 
Tennergy Corp. Gas Rev.:   
Bonds Series 2019 A, 5%, tender 10/1/24 (a) 10,650,000 11,932,027 
Series 2021 A:   
4% 9/1/22 335,000 344,265 
4% 3/1/23 350,000 365,610 
4% 9/1/23 275,000 291,921 
4% 3/1/24 300,000 323,185 
Tennessee Energy Acquisition Corp.:   
Bonds (Gas Rev. Proj.) Series A, 4%, tender 5/1/23 (a) 10,140,000 10,605,639 
Series 2018, 5% 11/1/22 1,500,000 1,562,577 
Series 2021 A:   
5% 11/1/22 150,000 156,258 
5% 11/1/23 250,000 270,819 
Tennessee Hsg. Dev. Agcy. Residential:   
Series 2021 3A, 3% 1/1/52 (e) 260,000 281,952 
Series 2021 3B, 0.25% 7/1/22 (e) 3,350,000 3,349,951 
TOTAL TENNESSEE  44,206,374 
Texas - 4.4%   
Alamito Pub. Facilities Corp. Bonds Series 2019, 1.51%, tender 5/1/22 (a) 6,000,000 6,003,275 
Aledo Independent School District Series 2015, 0% 2/15/24 25,000 24,774 
Andrews County Hosp. District Series 2021, 5% 3/15/26 (e) 1,430,000 1,663,468 
Atascosa County Indl. Dev. Corp. Poll. Cont. Rev. Series 2020:   
5% 12/15/21 975,000 976,495 
5% 12/15/23 450,000 484,503 
5% 12/15/24 550,000 609,288 
Austin Affordable Pfc, Inc. Multifamily Hsg. Rev. Bonds Series 2019, 1.46%, tender 6/1/22 (a) 700,000 704,250 
Austin Arpt. Sys. Rev.:   
Series 2014, 5% 11/15/26 (b) 715,000 804,365 
Series 2019 B, 5% 11/15/22 (b) 600,000 627,142 
Series 2019:   
5% 11/15/22 (b) 885,000 925,034 
5% 11/15/23 (b) 845,000 921,569 
5% 11/15/24 (b) 515,000 580,336 
Austin Gen. Oblig. Series 2019, 5% 5/1/25 780,000 900,653 
Burleson Independent School District Bonds Series 2018, 2.5%, tender 8/1/22 (a) 5,000,000 5,073,357 
Cap. Area Hsg. Fin. Corp. Multi-family Hsg. Rev. Bonds Series 2019, 2.1%, tender 9/1/22 (a) 2,800,000 2,803,474 
Central Reg'l. Mobility Auth.:   
Series 2016:   
5% 1/1/22 35,000 35,133 
5% 1/1/23 55,000 57,759 
5% 1/1/24 75,000 82,007 
5% 1/1/26 75,000 87,841 
Series 2020 B:   
5% 1/1/22 155,000 155,588 
5% 1/1/23 220,000 231,037 
5% 1/1/25 125,000 141,808 
5% 1/1/26 125,000 146,401 
Series 2020 F, 5% 1/1/25 2,000,000 2,219,070 
City of Beaumont Series 2021, 5% 3/1/23 665,000 703,526 
Clear Creek Independent School District:   
Bonds Series 2021 B, 0.28%, tender 8/15/24 (a) 630,000 626,897 
Series 2019, 5% 2/15/25 500,000 572,174 
Coastal Bend Health Facilities Dev. Corp. Series 2005 B2, 0.2%, tender 7/1/31 (FSA Insured) (a) 5,450,000 5,450,000 
Corpus Christi Gen. Oblig. Series 2015, 5% 3/1/24 1,955,000 2,155,265 
Corpus Christi Util. Sys. Rev. Series 2012, 5% 7/15/23 200,000 205,841 
Cypress-Fairbanks Independent School District:   
Bonds:   
Series 2015 B1, 0.28%, tender 8/15/24 (a) 4,700,000 4,658,039 
Series 2017 A-2, 1.25%, tender 8/15/22 (a) 3,000,000 3,020,863 
Series 2020 A, 5% 2/15/25 200,000 228,594 
Dallas Fort Worth Int'l. Arpt. Rev.:   
Series 2013 A, 5% 11/1/28 (Pre-Refunded to 11/1/22 @ 100) (b) 1,000,000 1,042,566 
Series 2013 E, 5% 11/1/23 (b) 1,455,000 1,584,344 
Series 2013 F, 5% 11/1/22 580,000 605,564 
Series 2014 A:   
4% 11/1/23 (b) 200,000 213,967 
5.25% 11/1/26 (b) 900,000 981,211 
5.25% 11/1/30 (b) 1,000,000 1,087,223 
Series 2014 B:   
5% 11/1/22 (b) 100,000 104,341 
5% 11/1/29 (Pre-Refunded to 11/1/22 @ 100) (b) 515,000 536,921 
Series 2014 C, 5% 11/1/22 550,000 574,242 
Series 2020 A:   
5% 11/1/23 2,250,000 2,450,923 
5% 11/1/24 225,000 254,594 
Series 2020 B, 5% 11/1/22 3,000,000 3,132,227 
Series 2021 B, 5% 11/1/24 3,500,000 3,955,998 
Dallas Gen. Oblig. Series 2020 A:   
5% 2/15/23 2,020,000 2,136,241 
5% 2/15/24 1,000,000 1,102,597 
Dallas Independent School District Bonds:   
Series 2016, 5%, tender 2/15/22 (a) 5,000 5,049 
Series B6:   
5%, tender 2/15/22 (a) 100,000 100,986 
5%, tender 2/15/22 (a) 100,000 100,988 
Denton Independent School District Series 2016, 0% 8/15/25 35,000 34,211 
East Downtown Redev. Auth. Series 2021:   
5% 9/1/24 (e) 405,000 450,165 
5% 9/1/26 (e) 300,000 352,198 
El Paso Gen. Oblig. Series 2021 B, 5% 8/15/22 (e) 565,000 583,624 
Fort Bend County Muni. Util. District Series 2021, 2% 4/1/24 750,000 775,461 
Fort Bend Independent School District Bonds:   
Series 2019 A, 1.95%, tender 8/1/22 (a) 5,490,000 5,548,697 
Series 2020 B, 0.875%, tender 8/1/25 (a) 3,245,000 3,293,624 
Series 2021 B, 0.72%, tender 8/1/26 (a) 2,525,000 2,520,446 
Fort Worth Gen. Oblig.:   
Series 2015 A, 5% 3/1/23 35,000 37,087 
Series 2016, 5% 3/1/25 120,000 137,289 
Series 2019, 5% 3/1/24 4,520,000 4,986,241 
Fort Worth Independent School District Series 2015, 5% 2/15/22 35,000 35,345 
Galveston Pub. Facility Corp. Multifamily Hsg. Rev. Bonds Series 2021, 0.47%, tender 8/1/24 (a) 3,000,000 2,990,483 
Goose Creek Consolidated Independent School District Bonds Series 2021 B, 0.6%, tender 8/17/26 (a) 500,000 496,431 
Grand Parkway Trans. Corp. Bonds Series 2018 B, 5%, tender 10/1/23 (a) 1,865,000 2,017,797 
Harris County Cultural Ed. Facilities Fin. Corp. Med. Facilities Rev.:   
(Baylor College of Medicine Proj.) Series 2012 A, 5% 11/15/37 (Pre-Refunded to 11/15/22 @ 100) 435,000 455,078 
Series 2012 A, 5% 11/15/22 (Escrowed to Maturity) 245,000 256,309 
Harris County Cultural Ed. Facilities Fin. Corp. Rev.:   
Bonds:   
Series 2019 B, 5%, tender 12/1/22 (a) 5,000,000 5,220,837 
Series 2019 C, SIFMA Municipal Swap Index + 0.420% 0.47%, tender 12/2/21 (a)(c) 3,250,000 3,249,364 
Series 2020 A, 0.9%, tender 5/15/25 (a) 1,770,000 1,771,145 
Series 2020 C, 5%, tender 12/1/22 (a) 6,710,000 7,024,847 
Series 2020 C2, 5%, tender 12/1/24 (a) 200,000 226,654 
Series 2013 A, 5% 12/1/21 450,000 450,000 
Series 2013 B, SIFMA Municipal Swap Index + 0.900% 0.95% 6/1/22 (a)(c) 600,000 601,383 
Series 2014 A, 5% 12/1/26 120,000 135,782 
Series 2019 A, 5% 12/1/21 2,310,000 2,310,000 
Series 2020 A, 4% 7/1/25 250,000 280,239 
Series 2020, 5% 6/1/22 1,000,000 1,024,008 
Harris County Health Facilities Dev. Corp. Rev.:   
Series 2005 A4, 0.19%, tender 7/1/31 (FSA Insured) (a) 1,750,000 1,750,000 
Series A3, 0.2%, tender 7/1/31 (FSA Insured) (a) 4,050,000 4,050,000 
Houston Arpt. Sys. Rev.:   
Series 2012 A:   
5% 7/1/23 (Pre-Refunded to 7/1/22 @ 100) (b) 235,000 241,453 
5% 7/1/31 (Pre-Refunded to 7/1/22 @ 100) (b) 630,000 647,301 
Series 2018 A, 5% 7/1/22 (b) 860,000 883,822 
Series 2018 B, 5% 7/1/22 720,000 740,244 
Series 2018 C, 5% 7/1/25 (b) 400,000 460,229 
Series 2020 A, 5% 7/1/23 (b) 1,000,000 1,073,995 
Series 2021 A:   
5% 7/1/24 (b) 500,000 555,932 
5% 7/1/26 (b) 1,250,000 1,480,703 
Houston Convention and Entertainment Facilities Dept. Hotel Occupancy Tax and Spl. Rev. Series 2021:   
4% 9/1/24 250,000 273,575 
4% 9/1/25 215,000 241,342 
4% 9/1/26 275,000 315,372 
Houston Independent School District Bonds Series 2012, 4%, tender 6/1/23 (a) 1,000,000 1,054,067 
Jacksonville Independent School District Series 2020, 5% 2/15/24 1,915,000 2,108,794 
Katy Independent School District Bonds Series 2021 C, 1.5%, tender 8/15/24 (a) 2,500,000 2,570,874 
Klein Independent School District Series 2015 A, 5% 8/1/24 225,000 252,267 
Leander Independent School District Series 2013 A, 0% 8/15/23 (Escrowed to Maturity) 1,000,000 994,103 
Love Field Arpt. Modernization Rev.:   
Series 2015, 5% 11/1/23 (b) 375,000 408,110 
Series 2017:   
5% 11/1/22 (b) 620,000 646,742 
5% 11/1/23 (b) 1,250,000 1,360,365 
5% 11/1/24 (b) 750,000 843,989 
Series 2021:   
5% 11/1/22 (b) 2,880,000 3,004,219 
5% 11/1/23 (b) 3,860,000 4,200,808 
5% 11/1/24 (b) 3,560,000 4,006,136 
5% 11/1/25 (b) 605,000 702,118 
5% 11/1/26 (b) 405,000 483,827 
5% 11/1/27 (b) 415,000 506,502 
Lower Colorado River Auth. Rev.:   
(LCRA Transmission Svcs. Corp. Proj.):   
Series 2018, 5% 5/15/23 265,000 283,157 
Series 2019:   
5% 5/15/23 1,070,000 1,143,314 
5% 5/15/24 550,000 610,508 
Series 2020:   
5% 5/15/22 1,000,000 1,021,874 
5% 5/15/23 215,000 229,731 
5% 5/15/24 550,000 610,508 
Series 2015 B, 5% 5/15/24 325,000 360,754 
Series 2022:   
5% 5/15/24 (FSA Insured) (e) 3,365,000 3,691,179 
5% 5/15/25 (FSA Insured) (e) 1,000,000 1,135,420 
Lubbock Elec. Lt. & Pwr. Sys. Rev. Series 2021:   
5% 4/15/24 875,000 970,354 
5% 4/15/25 725,000 833,727 
5% 4/15/26 675,000 800,760 
Mansfield Independent School District Series 2016, 5% 2/15/24 110,000 121,004 
McKinney Independent School District Series 2021, 5% 2/15/25 600,000 687,850 
Midland County Pub. Facilities Corp. Bonds Series 2020, 0.35%, tender 6/1/23 (a) 2,000,000 1,996,266 
Mission Econ. Dev. Corp. Solid Waste Disp. Rev. Bonds:   
(Republic Svcs., Inc. Proj.):   
Series 2008 A, 0.2%, tender 2/1/22 (a)(b) 10,000,000 10,000,327 
Series 2020 A, 0.2%, tender 2/1/22 (a)(b) 10,300,000 10,300,337 
(Waste Mgmt., Inc. Proj.):   
Series 2018, 0.425%, tender 7/1/24 (a)(b) 3,425,000 3,424,042 
Series 2020 B, 0.15%, tender 12/1/21 (a)(b) 4,500,000 4,500,000 
New Caney Independent School District Bonds Series 2018, 1.25%, tender 8/15/24 (a) 600,000 611,681 
Newark Higher Ed. Fin. Corp. (Abilene Christian Univ. Proj.) Series 2016 A, 5% 4/1/26 55,000 64,526 
North Harris County Reg'l. Wtr. Auth. Series 2013, 4% 12/15/22 35,000 36,335 
North Texas Tollway Auth. Rev.:   
Series 2014 A, 5% 1/1/22 (Escrowed to Maturity) 1,015,000 1,018,953 
Series 2015 A, 5% 1/1/22 200,000 200,785 
Series 2015 B, 5% 1/1/23 325,000 341,704 
Series 2016 A:   
5% 1/1/22 200,000 200,785 
5% 1/1/23 780,000 820,090 
Series 2017 A:   
5% 1/1/22 830,000 833,256 
5% 1/1/24 605,000 635,419 
5% 1/1/26 580,000 609,032 
Series 2019 A:   
5% 1/1/22 285,000 286,118 
5% 1/1/23 325,000 341,704 
Series 2019 B, 5% 1/1/25 325,000 369,772 
Series 2020 A, 5% 1/1/25 265,000 301,507 
Northside Independent School District Bonds Series 2020, 0.7%, tender 6/1/25 (a) 6,300,000 6,308,460 
Odessa College District Rev. Series 2021, 4% 7/1/22 (FSA Insured) 740,000 756,119 
Odessa Hsg. Fin. Corp. Multifamily Hsg. Rev. Bonds Series 2020, 0.35%, tender 3/1/23 (a) 2,500,000 2,500,918 
Pearland Gen. Oblig. Series 2020, 5% 3/1/24 295,000 324,869 
Pflugerville Independent School District Bonds Series 2019 B, 2.5%, tender 8/15/23 (a) 610,000 631,233 
Port Arthur Series 2021:   
5% 2/15/22 185,000 186,790 
5% 2/15/24 240,000 263,729 
5% 2/15/24 195,000 214,280 
Port of Houston Auth. Series 2021, 5% 10/1/23 (e) 805,000 873,314 
Prosper Independent School District:   
Bonds Series 2019 B, 2%, tender 8/15/23 (a) 1,000,000 1,028,407 
Series 2015, 5% 2/15/24 250,000 275,533 
San Antonio Arpt. Sys. Rev. Series 2019 A:   
5% 7/1/22 (b) 275,000 282,617 
5% 7/1/22 (b) 265,000 272,340 
5% 7/1/23 (b) 195,000 209,429 
5% 7/1/25 (b) 400,000 459,463 
5% 7/1/26 (b) 500,000 592,281 
San Antonio Elec. & Gas Sys. Rev.:   
Bonds Series 2015 B, 2%, tender 12/1/21 (a) 3,700,000 3,700,000 
Series 2016, 5% 2/1/25 (Escrowed to Maturity) 330,000 377,124 
San Antonio Hsg. Trust Fin. Corp. Bonds Series 2019, 1.4%, tender 1/1/22 (a) 5,000,000 5,003,828 
San Antonio Independent School District Series 2015, 5% 2/15/24 315,000 347,244 
San Antonio Pub. Facilities Corp. and Rfdg. Lease (Convention Ctr. Proj.) Series 2012, 5% 9/15/22 75,000 77,702 
San Antonio Wtr. Sys. Rev. Bonds:   
Series 2013 F, 1%, tender 11/1/26 (a) 3,000,000 3,026,284 
Series 2014 B, 2%, tender 11/1/22 (a) 520,000 527,960 
Splendora Independent School District Series 2016 A, 5% 2/15/25 200,000 228,045 
Tarrant County Cultural Ed. Facilities Fin. Corp. Hosp. Rev. (Scott & White Healthcare Proj.) Series 2013 A:   
5% 8/15/23 (Escrowed to Maturity) 20,000 21,595 
5% 8/15/28 (Pre-Refunded to 8/15/23 @ 100) 50,000 53,987 
Tarrant County Cultural Ed. Facilities Fin. Corp. Rev.:   
Series 2016 A:   
5% 2/15/25 1,240,000 1,416,432 
5% 2/15/26 35,000 41,289 
Series 2017 A, 5% 2/15/24 500,000 550,483 
Texas A&M Univ. Rev. Series 2021 A:   
5% 5/15/24 1,350,000 1,503,791 
5% 5/15/26 725,000 864,402 
Texas Muni. Gas Acquisition And Supply Corp. Series 2021:   
5% 12/15/21 1,520,000 1,522,555 
5% 12/15/22 1,250,000 1,308,454 
5% 12/15/23 3,450,000 3,754,697 
Texas Muni. Pwr. Agcy. Rev. Series 2021:   
3% 9/1/22 (FSA Insured) 1,450,000 1,480,059 
3% 9/1/23 (FSA Insured) 900,000 941,831 
3% 9/1/24 (FSA Insured) 850,000 908,213 
Texas State Univ. Sys. Fing. Rev. Series 2019 A, 5% 3/15/24 250,000 276,393 
Texas Trans. Commission Hwy. Impt. Gen. Oblig. Bonds Series 2014 B, 0.65%, tender 4/1/26 (a) 3,500,000 3,477,446 
Trinity River Auth. Reg'l. Wastewtr. Sys. Rev. Series 2016, 5% 8/1/23 35,000 37,752 
Tyler Independent School District Series 2017, 5% 2/15/25 215,000 245,813 
Waco Edl. Fin. Corp. Rev. Series 2021:   
3% 3/1/23 325,000 336,036 
4% 3/1/24 580,000 627,135 
4% 3/1/25 400,000 445,178 
4% 3/1/26 575,000 654,723 
Wichita Falls Independent School District Series 2021, 3% 2/1/23 1,400,000 1,444,671 
TOTAL TEXAS  246,745,125 
Utah - 0.1%   
Salt Lake City Arpt. Rev.:   
Series 2018 A, 5% 7/1/23 (b) 250,000 268,333 
Series 2021 A:   
5% 7/1/22 (b) 650,000 667,850 
5% 7/1/23 (b) 550,000 590,334 
5% 7/1/24 (b) 1,000,000 1,111,865 
Utah County Hosp. Rev.:   
Bonds Series 2018 B2, 5%, tender 8/1/24 (a) 135,000 148,371 
Series 2016 B, 5% 5/15/22 250,000 255,457 
Utah Infrastructure Agcy. Series 2021, 3% 10/15/24 500,000 532,500 
Vineyard Redev. Agcy. Series 2021, 5% 5/1/24 (FSA Insured) 675,000 747,801 
TOTAL UTAH  4,322,511 
Vermont - 0.0%   
Vermont Student Assistant Corp. Ed. Ln. Rev.:   
Series 2017 A, 5% 6/15/23 (b) 700,000 745,580 
Series 2020 A, 5% 6/15/27 (b) 665,000 790,282 
TOTAL VERMONT  1,535,862 
Virginia - 1.1%   
Arlington County IDA Hosp. Facilities Series 2020:   
5% 7/1/23 340,000 364,877 
5% 7/1/24 425,000 474,635 
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 1,763,451 
Chesapeake Bay Bridge and Tunnel District Gen. Resolution Rev. Series 2019, 5% 11/1/23 2,400,000 2,606,595 
Fairfax County Indl. Dev. Auth. Bonds (Inova Health Sys. Proj.) Series 2018 B, 5%, tender 5/15/23 (a) 1,625,000 1,734,618 
Fredericksburg Econ. Dev. Auth. Rev. Series 2014, 5% 6/15/24 50,000 55,677 
Gloucester County Indl. Dev. Auth. Bonds Series 2003 A, 2.4%, tender 5/2/22 (a)(b) 475,000 478,651 
Halifax County Indl. Dev. Auth. Bonds (Virginia Elec. and Pwr. Co. Proj.) Series 2010 A, 0.45%, tender 4/1/22 (a) 6,685,000 6,688,580 
Hampton Roads Trans. Accountability Commission Series 2019 A, 5% 7/1/22 14,500,000 14,906,831 
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) 735,000 755,561 
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 2,557,236 
Series 2008 B, 0.75%, tender 9/2/25 (a) 4,000,000 4,011,723 
Series 2008 C, 1.8%, tender 4/1/22 (a) 2,600,000 2,612,978 
Norfolk Arpt. Auth.:   
Series 2021 A:   
4% 7/1/24 1,170,000 1,276,973 
4% 7/1/25 1,000,000 1,120,955 
Series 2021 B:   
4% 7/1/23 (b) 500,000 528,057 
5% 7/1/24 (b) 400,000 444,746 
Peninsula Port Auth. Coal Term. Rev. Bonds (Dominion Term. Associates Proj. - Detc Issue) Series 2003, 1.7%, tender 10/1/22 (a) 2,000,000 2,022,502 
Spotsylvania County Econ. Dev. Bonds (Palmers Creek Apt. Proj.) Series 2019, 1.45%, tender 2/1/22 (a) 5,000,000 5,009,240 
Stafford County Econ. Dev. Auth. Hosp. Facilities Rev. Series 2016:   
5% 6/15/24 25,000 27,832 
5% 6/15/25 20,000 23,032 
5% 6/15/26 35,000 41,544 
Sussex County Indl. Dev. Auth. Solid Waste Disp. Rev. Bonds Series 2003 A, 2.4%, tender 5/2/22 (a)(b) 1,205,000 1,214,262 
Virginia Pub. Bldg. Auth. Pub. Facilities Rev.:   
Series 2019 B, 5% 8/1/23 (b) 410,000 441,874 
Series 2020 A, 5% 8/1/22 1,940,000 2,002,458 
Virginia Small Bus. Fing. Auth. Series 2020 A:   
5% 1/1/22 900,000 903,427 
5% 1/1/23 400,000 420,111 
Wise County Indl. Dev. Auth. Waste & Sewage Rev. Bonds (Virginia Elec. and Pwr. Co. Proj.):   
Series 2009 A, 0.75%, tender 9/2/25 (a) 7,000,000 7,060,520 
Series 2010 A, 1.2%, tender 5/31/24 (a) 2,075,000 2,109,606 
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) 300,000 306,868 
TOTAL VIRGINIA  63,965,420 
Washington - 1.1%   
Energy Northwest Elec. Rev. Series 2021 A, 5% 7/1/22 1,395,000 1,434,223 
King County Hsg. Auth. Rev.:   
Series 2019:   
3% 11/1/23 1,175,000 1,231,659 
4% 11/1/24 135,000 148,688 
Series 2020:   
3% 6/1/22 250,000 253,291 
3% 6/1/23 400,000 414,743 
3% 6/1/25 275,000 295,616 
King County Hsg. Auth. Workforce Hsg. Preservation Series 2021:   
2% 10/1/22 100,000 101,228 
2% 10/1/23 100,000 102,456 
King County Swr. Rev.:   
Bonds Series 2020 B, 0.875%, tender 1/1/26 (a) 2,105,000 2,116,399 
Series B, 5% 7/1/25 1,885,000 2,106,698 
Port of Seattle Rev.:   
Series 2012 A:   
5% 8/1/22 400,000 412,796 
5% 8/1/27 400,000 412,468 
Series 2012 B, 5% 8/1/23 (b) 1,345,000 1,385,957 
Series 2015 A, 3% 4/1/22 250,000 252,347 
Series 2016 B:   
5% 10/1/22 (b) 70,000 72,777 
5% 10/1/23 (b) 65,000 70,500 
Series 2016, 5% 2/1/25 290,000 330,919 
Series 2017 C, 5% 5/1/22 (b) 5,540,000 5,648,954 
Series 2018 A, 5% 5/1/22 (b) 11,475,000 11,700,677 
Series 2019:   
5% 4/1/22 (b) 790,000 802,421 
5% 4/1/23 (b) 615,000 652,765 
5% 4/1/24 (b) 400,000 441,334 
5% 4/1/25 (b) 280,000 319,763 
Series 2021 C:   
5% 8/1/22 (b) 3,510,000 3,620,367 
5% 8/1/23 (b) 3,665,000 3,944,180 
5% 8/1/24 (b) 1,360,000 1,519,424 
5% 8/1/25 (b) 390,000 450,216 
Series 2021:   
5% 9/1/23 (b) 2,100,000 2,269,943 
5% 9/1/24 (b) 1,080,000 1,211,256 
Port of Seattle Spl. Facility Rev. Series 2013, 5% 6/1/22 (b) 500,000 511,801 
Seattle Hsg. Auth. Rev. (Northgate Plaza Proj.) Series 2021, 1% 6/1/26 1,740,000 1,742,051 
Seattle Muni. Lt. & Pwr. Rev. Series 2012 A, 5% 6/1/24 500,000 511,979 
Tacoma Elec. Sys. Rev. Series 2017:   
5% 1/1/22 15,000 15,059 
5% 1/1/25 25,000 28,477 
5% 1/1/26 35,000 41,240 
Tobacco Settlement Auth. Rev. Series 2018, 5% 6/1/22 915,000 936,723 
Washington Fed. Hwy. Grant Anticipation Rev. Series 2012 F, 5% 9/1/22 300,000 310,673 
Washington Gen. Oblig.:   
Series 2020 R, 5% 1/1/22 200,000 200,785 
Series R 2020 A, 5% 1/1/25 250,000 284,936 
Series R 2020 C, 5% 7/1/22 2,500,000 2,570,292 
Washington Health Care Facilities Auth. Rev.:   
(Providence Health Systems Proj.) Series 2012 A, 5% 10/1/24 250,000 259,918 
(Virginia Mason Med. Ctr. Proj.) Series 2017:   
5% 8/15/25 205,000 234,192 
5% 8/15/26 115,000 135,014 
5% 8/15/27 50,000 60,112 
Bonds Series 2019 B, 5%, tender 8/1/24 (a) 1,095,000 1,205,746 
Series 2012 A, 5% 10/1/22 445,000 462,806 
Series 2012 B, 5% 10/1/24 (Pre-Refunded to 10/1/22 @ 100) 405,000 421,032 
Series 2014, 5% 3/1/22 200,000 202,349 
Series 2015 B, 5% 8/15/23 600,000 647,904 
Series 2015, 5% 7/1/24 1,250,000 1,391,537 
Series 2018 B, 5% 10/1/25 1,220,000 1,422,311 
Washington Hsg. Fin. Commission Series 2021 2N, 5% 6/1/25 945,000 1,087,937 
TOTAL WASHINGTON  58,408,939 
West Virginia - 0.2%   
Hsg. Auth. of Everett Bonds Series 2021, 0.3%, tender 9/1/23 (a) 1,500,000 1,496,353 
Mason Co. Poll. Cont. Rev. (Appalachian Pwr. Co. Proj.) Series 2003 L, 2.75% 10/1/22 3,245,000 3,307,440 
West Virginia Econ. Dev. Auth. Solid Waste Disp. Facilities Rev. Bonds (Appalachian Pwr. Co. Amos Proj.):   
Series 2010 A, 0.625%, tender 12/15/25 (a) 2,000,000 1,981,638 
Series 2011 A, 1%, tender 9/1/25 (a)(b) 1,500,000 1,510,623 
Series 2015 A, 2.55%, tender 4/1/24 (a) 225,000 235,262 
West Virginia Hosp. Fin. Auth. Hosp. Rev. Series 2016 A:   
5% 6/1/22 2,195,000 2,246,247 
5% 6/1/24 1,490,000 1,657,129 
West Virginia Hsg. Dev. Fund Series 2017 A, 2.4% 11/1/22 (b) 960,000 973,769 
TOTAL WEST VIRGINIA  13,408,461 
Wisconsin - 0.7%   
Blue Ridge Healthcare Pub. Fin. Auth. Series 2020 A, 5% 1/1/25 300,000 339,847 
Clayton Town Series 2021 B, 2% 6/1/26 2,000,000 2,034,263 
Dunn County Gen. Oblig. Series 2021 A, 0.25% 10/1/24 1,155,000 1,142,111 
Milwaukee County Arpt. Rev.:   
Series 2013 A:   
5% 12/1/22 (b) 30,000 31,398 
5.25% 12/1/23 (b) 35,000 38,282 
Series 2016 A, 5% 12/1/22 (b) 1,000,000 1,046,597 
Series 2021, 5% 12/1/21 300,000 300,000 
Milwaukee Gen. Oblig.:   
Series 2018 N4, 5% 4/1/25 1,130,000 1,293,290 
Series 2020 N4, 5% 4/1/22 2,125,000 2,158,556 
Pub. Fin. Auth. Hosp. Rev. Series 2020 A:   
5% 6/1/23 345,000 369,069 
5% 6/1/24 675,000 750,713 
5% 6/1/25 375,000 432,003 
5% 6/1/26 300,000 356,418 
Pub. Fin. Auth. Solid Waste Bonds (Waste Mgmt., Inc. Proj.) Series 2017 A-2, 0.18%, tender 2/1/22 (a)(b) 2,500,000 2,499,999 
Racine County Gen. Oblig. Series 2021, 2% 4/1/22 1,150,000 1,150,853 
Racine Unified School District Series 2021:   
2% 4/1/22 175,000 176,053 
2% 4/1/23 225,000 230,230 
2% 4/1/24 475,000 492,473 
2% 4/1/25 600,000 628,465 
Waukesha Gen. Oblig. Series 2021 A, 2% 7/1/22 1,500,000 1,512,131 
Wisconsin Gen. Oblig. Series 2014 4, 5% 5/1/25 90,000 102,034 
Wisconsin Health & Edl. Facilities:   
Bonds:   
Series 2018 B:   
5%, tender 1/26/22 (a) 5,710,000 5,749,231 
5%, tender 1/29/25 (a) 355,000 404,291 
Series 2018 C, SIFMA Municipal Swap Index + 0.450% 0.5%, tender 12/2/21 (a)(c) 3,885,000 3,886,420 
Series 2018 C3, SIFMA Municipal Swap Index + 0.550% 0.6%, tender 7/26/23 (a)(c) 4,000,000 4,009,010 
Series 2018, 5% 4/1/26 195,000 231,239 
Series 2019 A:   
5% 11/15/22 325,000 339,830 
5% 12/1/23 35,000 38,160 
5% 12/1/24 100,000 113,152 
5% 12/1/25 125,000 146,076 
5% 12/1/26 200,000 240,555 
Wisconsin Health & Edl. Facilities Auth. Series 2014 A, 5% 12/1/24 775,000 876,936 
Wisconsin Health & Edl. Facilities Auth. Rev. Series 2021 B:   
4% 9/15/24 200,000 215,926 
4% 9/15/26 220,000 245,845 
Wisconsin Hsg. & Econ. Dev. Auth. Hsg. Rev. Bonds Series 2019 A, 0.2%, tender 10/14/22 (a) 3,250,000 3,246,951 
TOTAL WISCONSIN  36,828,407 
Wyoming - 0.1%   
Laramie County Hosp. Rev. (Cheyenne Reg'l. Med. Ctr. Proj.) Series 2021:   
4% 5/1/22 775,000 787,201 
4% 5/1/23 250,000 262,869 
4% 5/1/25 260,000 289,447 
Wyoming Cmnty. Dev. Auth. Hsg. Rev.:   
Series 2020 3:   
5% 12/1/21 (b) 565,000 565,000 
5% 6/1/22 (b) 280,000 286,310 
5% 6/1/23 (b) 955,000 1,015,238 
Series 2021 4:   
0.2% 6/1/22 (b) 575,000 574,807 
0.3% 6/1/23 (b) 1,170,000 1,167,989 
TOTAL WYOMING  4,948,861 
TOTAL MUNICIPAL BONDS   
(Cost $2,367,781,952)  2,376,642,986 
Municipal Notes - 24.3%   
Alabama - 0.8%   
East Alabama Health Care Auth. Series 2012 B, 0.09% 12/7/21, VRDN (a) 4,897,000 $4,897,000 
Health Care Auth. for Baptist Health Series 2013 B, 0.18% 12/7/21, VRDN (a) 6,705,000 6,705,000 
Huntsville Health Care Auth. Participating VRDN Series XG 03 01, 0.09% 12/7/21 (Liquidity Facility Bank of America NA) (a)(f)(g) 5,000,000 5,000,000 
Walker County Econ. & Indl. Dev. Auth. Solid Waste Disp. Rev. (Alabama Pwr. Co. Plant Gorgas Proj.) Series 2007, 0.07% 12/1/21, VRDN (a)(b) 6,500,000 6,500,000 
West Jefferson Indl. Dev. Board Solid Waste Disp. Rev. (Alabama Pwr. Co. Miller Plant Proj.) Series 2008, 0.07% 12/1/21, VRDN (a)(b) 11,200,000 11,200,000 
Wilsonville Indl. Dev. Board Poll. Cont. Rev. (Alabama Pwr. Co. Gaston Plant Proj.) Series 2008, 0.07% 12/1/21, VRDN (a)(b) 11,690,000 11,690,000 
TOTAL ALABAMA  45,992,000 
Alaska - 0.1%   
Anchorage Gen. Oblig. TAN Series 2021, 1.5% 12/15/21 6,000,000 6,003,272 
Arizona - 0.3%   
Arizona Health Facilities Auth. Rev. Series 2015 B, 0.3% 12/1/21, LOC MUFG Bank Ltd., VRDN (a) 2,500,000 2,500,000 
Arizona St Indl. Dev. Auth. Multi Participating VRDN Series XF 10 91, 0.3% 12/7/21 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(b)(f)(g) 950,000 950,000 
Maricopa County Indl. Dev. Auth. Participating VRDN Series 2021 XG 03 09, 0.12% 12/7/21 (Liquidity Facility JPMorgan Chase Bank) (a)(f)(g) 6,145,000 6,145,000 
Maricopa County Rev. Participating VRDN Series Floaters YX 10 32, 0.08% 12/7/21 (Liquidity Facility Barclays Bank PLC) (a)(f)(g) 4,835,000 4,835,000 
Phoenix Civic Impt. Board Arpt. Rev. Participating VRDN Series XM 08 23, 0.17% 12/7/21 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(f)(g) 1,300,000 1,300,000 
Pima County Indl. Dev. Auth. Multi-family Hsg. Rev. Participating VRDN Series XF 10 96, 0.3% 12/7/21 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(f)(g) 400,000 400,000 
TOTAL ARIZONA  16,130,000 
California - 2.3%   
Bay Area Toll Auth. San Francisco Bay Toll Bridge Rev. Participating VRDN Series XF 05 68, 0.07% 12/7/21 (Liquidity Facility Bank of America NA) (a)(f)(g) 10,400,000 10,400,000 
California Health Facilities Fing. Auth. Rev. Participating VRDN Series Floaters XG 01 75, 0.18% 12/7/21 (Liquidity Facility Bank of America NA) (a)(f)(g) 4,825,000 4,825,000 
California Muni. Fin. Auth. Participating VRDN Series DBE 80 61, 0.45% 12/7/21 (Liquidity Facility Deutsche Bank AG) (a)(f)(g) 1,278,846 1,278,846 
California School Fin. Auth. Rev. TRAN Series 2021 A1, 3% 12/30/21 2,500,000 2,505,823 
California Statewide Cmntys. Dev. Auth. Multi-family Hsg. Rev. Series 2005 F, 0.08% 12/7/21, LOC Citibank NA, VRDN (a)(b) 700,000 700,000 
California Statewide Cmntys. Dev. Auth. Rev.:   
Series 2004 E, 0.17% tender 12/9/21, CP mode 6,000,000 6,000,089 
Series 2008 A, 0.02% 12/1/21, LOC U.S. Bank NA, Cincinnati, VRDN (a) 1,450,000 1,450,000 
Series 2021 E, 0.14% tender 5/3/22, CP mode (a) 10,000,000 10,000,000 
Contra Costa County Schools TRAN Series A, 2% 12/1/21 2,000,000 2,000,000 
Fresno Calif Unified School District Participating VRDN Series 2021 XF 11 04, 0.11% 12/7/21 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(f)(g) 485,000 485,000 
Lodi Unified School District Participating VRDN Series 2021 XG 03 22, 0.08% 12/7/21 (Liquidity Facility Royal Bank of Canada) (a)(f)(g) 7,400,000 7,400,000 
Los Angeles County Schools Pooled Fing. Prog. Ctfs. of Prtn. TRAN Series B:   
2% 12/30/21 2,500,000 2,503,831 
2% 12/30/21 2,915,000 2,919,467 
Los Angeles Dept. Arpt. Rev. Series 2021, 0.09% 1/4/22, LOC Sumitomo Mitsui Banking Corp., CP (b) 3,569,000 3,569,034 
Los Angeles Gen. Oblig. TRAN Series 2021, 4% 6/23/22 15,000,000 15,327,081 
River Islands Pub. Fing. Auth. Participating VRDN Series MIZ 90 26, 0.3% 1/4/22 (Liquidity Facility Mizuho Cap. Markets Llc) (a)(f)(g)(h) 4,300,000 4,300,000 
Riverside County Ind. Dev. Auth. Ind. Dev. Rev. Series 1999, 0.11% 12/7/21, LOC JPMorgan Chase Bank, VRDN (a)(b) 1,000,000 1,000,000 
Riverside County Office of Ed. TRAN Series 2021, 2% 12/31/21 10,000,000 10,015,683 
Sacramento Gen. Oblig. Participating VRDN Series XG 00 67, 0.11% 12/7/21 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(f)(g) 1,500,000 1,500,000 
San Francisco City & County Series 2021 A1, 0.08% 12/7/21, LOC Bank of America NA, CP 4,600,000 4,600,027 
San Francisco City & County Arpts. Commission Int'l. Arpt. Rev.:   
Participating VRDN:   
Series Floaters XM 06 75, 0.17% 12/7/21 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(b)(f)(g) 1,850,000 1,850,000 
Series XM 09 16, 0.11% 12/7/21 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(f)(g) 2,200,000 2,200,000 
Series 2021 A4, 0.1% 1/5/22, LOC U.S. Bank NA, Cincinnati, CP (b) 5,000,000 4,999,951 
San Francisco City & County Multi-family Hsg. Rev. Participating VRDN Series MIZ 90 63, 0.3% 1/4/22 (Liquidity Facility Mizuho Cap. Markets Llc) (a)(f)(g) 16,325,000 16,325,000 
San Francisco City & County Pub. Util. Commission Wastewtr. Rev. Series 2021 A2, 0.08% 12/1/21, LOC Bank of America NA, CP 5,400,000 5,400,006 
Transbay Joint Powers Auth. Participating VRDN Series YX 11 42, 0.1% 12/7/21 (Liquidity Facility Barclays Bank PLC) (a)(f)(g) 500,000 500,000 
Univ. of California Revs. Participating VRDN Series Floaters XM 04 34, 0.07% 12/7/21 (Liquidity Facility Barclays Bank PLC) (a)(f)(g) 5,800,000 5,800,000 
TOTAL CALIFORNIA  129,854,838 
Colorado - 0.5%   
Colorado Edl. & Cultural Facilities Auth. Rev. (Mesivta of Greater Los Angeles Proj.) Series 2005, 0.4% 12/7/21, LOC Deutsche Bank AG, VRDN (a) 665,000 665,000 
Colorado Hsg. & Fin. Auth. Multi-family Hsg. Rev. Participating VRDN Series Floater 2021 MIZ 90 68, 0.3% 1/4/22 (Liquidity Facility Mizuho Cap. Markets Llc) (a)(f)(g) 99,832 99,832 
Denver City & County Arpt. Rev. Participating VRDN:   
Series Floaters XL 00 90, 0.17% 12/7/21 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(b)(f)(g) 23,100,000 23,100,000 
Series Floaters XM 07 15, 0.15% 12/7/21 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(b)(f)(g) 1,240,000 1,240,000 
TOTAL COLORADO  25,104,832 
Connecticut - 0.3%   
Connecticut Health & Edl. Facilities Auth. Rev.:   
Participating VRDN Series Floaters XG 02 04, 0.08% 12/7/21 (Liquidity Facility Barclays Bank PLC) (a)(f)(g) 1,200,000 1,200,000 
Series 2013 O, 0.05% 12/7/21, VRDN (a) 18,000,000 18,000,000 
TOTAL CONNECTICUT  19,200,000 
Delaware - 0.1%   
Delaware Econ. Dev. Auth. Rev. (Delmarva Pwr. & Lt. Co. Proj.) Series 1994, 0.09% 12/1/21, VRDN (a)(b) 5,880,000 5,880,000 
District Of Columbia - 0.2%   
District of Columbia Gen. Oblig. Series 2021, 0.09% 12/1/21, LOC Barclays Bank PLC, CP 6,500,000 6,500,007 
Metropolitan Washington DC Arpts. Auth. Sys. Rev. Participating VRDN Series 2021 XF 12 62, 0.1% 12/7/21 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(f)(g) 1,710,000 1,710,000 
Washington D.C. Metropolitan Transit Auth. Rev. Participating VRDN Series ZM 06 10, 0.13% 12/7/21 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(f)(g) 900,000 900,000 
TOTAL DISTRICT OF COLUMBIA  9,110,007 
Florida - 1.6%   
Broward County Arpt. Sys. Rev. Participating VRDN:   
Series XL 01 36, 0.15% 12/7/21 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(f)(g) 3,000,000 3,000,000 
Series XM 08 95, 0.15% 12/7/21 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(f)(g) 840,000 840,000 
Greater Orlando Aviation Auth. Arpt. Facilities Rev. Participating VRDN Series XM 08 91, 0.15% 12/7/21 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(f)(g) 1,100,000 1,100,000 
Jacksonville Health Care Series 2021, 0.17% 1/28/22, CP 2,000,000 1,999,967 
Lee Memorial Health Sys. Hosp. Rev. Series 2019 B, 0.12% 12/7/21, VRDN (a) 14,500,000 14,500,000 
Miami Dade County Hsg. Multifamily Hsg. Rev. Participating VRDN Series MIZ 90 72, 0.3% 1/4/22 (Liquidity Facility Mizuho Cap. Markets Llc) (a)(f)(g) 400,000 400,000 
Miami-Dade County Participating VRDN:   
Series XF 29 47, 0.11% 12/7/21 (Liquidity Facility Barclays Bank PLC) (a)(b)(f)(g) 3,400,000 3,400,000 
Series XF 29 48, 0.1% 12/7/21 (Liquidity Facility Citibank NA) (a)(f)(g) 3,400,000 3,400,000 
Miami-Dade County Aviation Rev.:   
Participating VRDN Series XM 08 70, 0.15% 12/7/21 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(f)(g) 2,100,000 2,100,000 
Series 2021, 0.12% 12/9/21, LOC Bank of America NA, CP (b) 2,000,000 2,000,020 
Miami-Dade County Edl. Facilities Rev. Participating VRDN Series 2018 XM 06 76, 0.15% 12/7/21 (a)(f)(g) 5,000,000 5,000,000 
Miami-Dade County Expressway Auth. Participating VRDN Series XG 00 99, 0.11% 12/7/21 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(f)(g) 400,000 400,000 
Miami-Dade County Health Facilities Auth. Hosp. Rev. Participating VRDN Series 2021 XF 12 61, 0.12% 12/7/21 (Liquidity Facility JPMorgan Chase Bank) (a)(f)(g) 1,755,000 1,755,000 
Miami-Dade County Indl. Dev. Auth. Rev. (Florida Pwr. & Lt. Co. Proj.) Series 2021, 0.05% 12/1/21, VRDN (a)(b) 5,000,000 5,000,000 
Miami-Dade County School District TAN Series 2021, 2.5% 2/23/22 10,000,000 10,053,424 
Miami-Dade County Wtr. & Swr. Rev. Participating VRDN:   
Series 2021 XF 11 01, 0.11% 12/7/21 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(f)(g) 2,000,000 2,000,000 
Series 2021 XM 09 42, 0.09% 12/7/21 (Liquidity Facility Bank of America NA) (a)(f)(g) 3,475,000 3,475,000 
South Miami Health Facilities Auth. Hosp. Rev. Participating VRDN:   
Series Floaters XF 25 30, 0.11% 12/7/21 (Liquidity Facility Citibank NA) (a)(f)(g) 10,500,000 10,500,000 
Series XF 25 23, 0.11% 12/7/21 (Liquidity Facility Barclays Bank PLC) (a)(f)(g) 10,000,000 10,000,000 
Series ZM 05 71, 0.15% 12/7/21 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(f)(g) 5,230,000 5,230,000 
Tampa Hosp. Rev. Participating VRDN Series XM 08 85, 0.15% 12/7/21 (Liquidity Facility JPMorgan Chase Bank) (a)(f)(g) 3,300,000 3,300,000 
TOTAL FLORIDA  89,453,411 
Georgia - 0.4%   
Atlanta Arpt. Rev. Series 2021 J2, 0.12% 2/4/22, LOC Bank of America NA, CP (b) 7,163,000 7,162,870 
Brookhaven Dev. Auth. Rev. Participating VRDN Series XX 11 22, 0.08% 12/7/21 (Liquidity Facility Barclays Bank PLC) (a)(f)(g) 1,050,000 1,050,000 
Burke County Indl. Dev. Auth. Poll. Cont. Rev.:   
(Georgia Pwr. Co. Plant Vogtle Proj.) Series 2012, 0.09% 12/1/21, VRDN (a)(b) 3,600,000 3,600,000 
Participating VRDN Series 2021 XG 03 08, 0.11% 12/7/21 (Liquidity Facility Bank of America NA) (a)(f)(g) 7,000,000 7,000,000 
Georgia Road & Thruway Auth. Rev. Participating VRDN Series 2021 XF 11 17, 0.11% 12/7/21 (Liquidity Facility Deutsche Bank AG) (a)(f)(g) 1,440,000 1,440,000 
Griffin-Spalding County Hosp. Participating VRDN Series Floaters XL 00 76, 0.21% 12/7/21 (Liquidity Facility JPMorgan Chase Bank) (a)(f)(g) 400,000 400,000 
TOTAL GEORGIA  20,652,870 
Hawaii - 0.1%   
Hawaii Arpts. Sys. Rev. Participating VRDN Series XF 07 65, 0.15% 12/7/21 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(f)(g) 2,900,000 2,900,000 
Idaho - 0.1%   
Idaho Gen. Oblig. TAN Series 2021, 3% 6/30/22 7,000,000 7,116,850 
Idaho Hsg. & Fin. Assoc. Single Family Mtg. Series A, 0.1% 12/7/21 (Liquidity Facility Fannie Mae) (Liquidity Facility Freddie Mac), VRDN (a) 920,000 920,000 
TOTAL IDAHO  8,036,850 
Illinois - 0.9%   
Chicago Midway Arpt. Rev. Series 2021 A, 0.1% 12/15/21, LOC JPMorgan Chase Bank, CP (b) 6,000,000 6,000,074 
Chicago O'Hare Int'l. Arpt. Rev. Participating VRDN:   
Series Floaters XL 00 49, 0.13% 12/7/21 (Liquidity Facility Barclays Bank PLC) (a)(b)(f)(g) 750,000 750,000 
Series XM 08 79, 0.12% 12/7/21 (Liquidity Facility JPMorgan Chase Bank) (a)(f)(g) 2,500,000 2,500,000 
Series XM 08 84, 0.15% 12/7/21 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(f)(g) 2,500,000 2,500,000 
Series XM 09 18, 0.12% 12/7/21 (Liquidity Facility JPMorgan Chase Bank) (a)(f)(g) 700,000 700,000 
Chicago Park District Gen. Oblig. Participating VRDN Series 2021 XX 11 68, 0.12% 12/7/21 (Liquidity Facility Barclays Bank PLC) (a)(f)(g) 1,200,000 1,200,000 
Chicago Transit Auth. Participating VRDN:   
Series 20 XF 28 97, 0.13% 12/7/21 (Liquidity Facility Barclays Bank PLC) (a)(f)(g) 900,000 900,000 
Series XM 09 03, 0.15% 12/7/21 (Liquidity Facility JPMorgan Chase Bank) (a)(f)(g) 300,000 300,000 
Series XM 09 05, 0.15% 12/7/21 (Liquidity Facility JPMorgan Chase Bank) (a)(f)(g) 1,100,000 1,100,000 
Cook County Gen. Oblig. Participating VRDN Series 2015 XF0124, 0.15% 12/7/21 (Liquidity Facility JPMorgan Chase Bank) (a)(f)(g) 1,280,000 1,280,000 
Illinois Fin. Auth. Participating VRDN Series 2021 XL 01 72, 0.11% 12/7/21 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(f)(g) 1,300,000 1,300,000 
Illinois Fin. Auth. Rev.:   
Participating VRDN Series Floaters XF 25 35, 0.08% 12/7/21 (Liquidity Facility Barclays Bank PLC) (a)(f)(g) 700,000 700,000 
Series 2009 D1, 0.03% 12/1/21, LOC PNC Bank NA, VRDN (a) 3,325,000 3,325,000 
Illinois Sales Tax Rev. Participating VRDN Series XF 24 06, 0.09% 12/7/21 (Liquidity Facility Barclays Bank PLC) (a)(f)(g) 7,055,000 7,055,000 
Metropolitan Pier & Exposition Participating VRDN Series XF 09 65, 0.13% 12/7/21 (Liquidity Facility JPMorgan Chase Bank) (a)(f)(g) 4,000,000 4,000,000 
Reg'l. Transn Auth. Extend Series 2005 B, 0.4% 12/7/21, VRDN (a) 1,360,000 1,360,000 
Sales Tax Securitization Corp. Participating VRDN Series XF 06 03, 0.19% 12/7/21 (Liquidity Facility Royal Bank of Canada) (a)(f)(g) 13,615,000 13,615,000 
TOTAL ILLINOIS  48,585,074 
Indiana - 0.1%   
Indiana Univ. Student Fee Revs. Series 2021, 0.13% 3/7/22, CP 2,500,000 2,499,934 
Indianapolis Local Pub. Impt. Participating VRDN Series XM 09 27, 0.11% 12/7/21 (Liquidity Facility JPMorgan Chase Bank) (a)(f)(g) 800,000 800,000 
TOTAL INDIANA  3,299,934 
Iowa - 0.5%   
Iowa Fin. Auth. Midwestern Disaster Area Econ. Dev. Series 2012 IA, 0.09% 12/2/21, VRDN (a) 14,000,000 14,000,000 
Iowa Fin. Auth. Sewage And Solid Waste Disp. Facilities Rev. Series 2021, 0.11% 12/7/21, VRDN (a)(b) 2,000,000 2,000,000 
Iowa Fin. Auth. Single Family Mtg. (Mtg. Backed Securities Prog.) Series 2019 B, 0.06% 12/7/21 (Liquidity Facility U.S. Bank NA, Cincinnati), VRDN (a) 14,000,000 14,000,000 
TOTAL IOWA  30,000,000 
Kentucky - 1.1%   
Kentucky Econ. Dev. Fin. Auth. Hosp. Rev. Participating VRDN Series XM 09 19, 0.12% 12/7/21 (Liquidity Facility JPMorgan Chase Bank) (a)(f)(g) 1,100,000 1,100,000 
Kentucky Hsg. Corp. Hsg. Rev. Participating VRDN Series XF 10 93, 0.3% 12/7/21 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(f)(g) 1,200,000 1,200,000 
Kentucky Tpk. Auth. Econ. Dev. Road Rev. Participating VRDN Series XF 24 84, 0.13% 12/7/21 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(f)(g) 1,780,000 1,780,000 
Louisville & Jefferson County Metropolitan Swr. District Swr. & Drain Sys. Rev. BAN Series 2021, 3% 10/14/22 20,000,000 20,491,034 
Louisville & Jefferson County Reg'l. Arpt. Auth. Spl. Facilities Rev. (UPS Worldwide Forwarding, Inc. Proj.) Series 1999 A, 0.06% 12/1/21, VRDN (a)(b) 6,100,000 6,100,000 
Louisville Reg'l. Arpt. Auth. Series 2006 A, 0.06% 12/1/21, VRDN (a)(b) 3,800,000 3,800,000 
Louisville/Jefferson County Metropolitan Govt. Poll. Cont. Rev. (Louisville Gas And Elec. Co. Proj.) Series 2007 B, 0.06% 12/7/21, VRDN (a) 13,000,000 13,000,000 
Maysville Indl. Bldg. Rev. Series 1996, 0.09% 12/2/21, LOC MUFG Union Bank NA, VRDN (a)(b) 5,340,000 5,340,000 
Meade County Indl. Bldg. Rev. (Nucor Steel Brandenburg Proj.) Series 2020 A1, 0.07% 12/1/21, VRDN (a)(b) 5,700,000 5,700,000 
TOTAL KENTUCKY  58,511,034 
Louisiana - 1.0%   
Louisiana Hsg. Corp. Multifamily Hsg. Rev. Participating VRDN Series MIZ 90 53, 0.3% 1/4/22 (Liquidity Facility Mizuho Cap. Markets Llc) (a)(f)(g) 585,000 585,000 
Saint James Parish Gen. Oblig. (Nucor Steel Louisiana LLC Proj.):   
Series 2010 A1, 0.09% 12/7/21, VRDN (a) 29,730,000 29,730,000 
Series 2010 B1, 0.09% 12/7/21, VRDN (a) 27,100,000 27,100,000 
TOTAL LOUISIANA  57,415,000 
Maryland - 0.6%   
Baltimore County Gen. Oblig. BAN Series 2021, 4% 3/23/22 10,000,000 10,121,060 
Baltimore Proj. Rev. Bonds Series Floaters G 42, 0.25%, tender 7/1/22 (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, 0.18% 12/7/21 (a)(f)(g) 14,985,000 14,985,000 
Maryland Gen. Oblig. Participating VRDN:   
Series DB 80 76, 0.11% 12/2/21 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(f)(g) 1,565,000 1,565,000 
Series DB 807, 0.11% 12/7/21 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(f)(g) 1,660,000 1,660,000 
Maryland Health & Higher Edl. Facilities Auth. Rev. Series 2021 B, 0.09% 12/8/21, CP 2,500,000 2,500,022 
TOTAL MARYLAND  35,331,082 
Massachusetts - 0.2%   
Boston Wtr. & Swr. Commission Rev. Series 2021 A, 0.1% 1/5/22, LOC State Street Bank & Trust Co., Boston, CP 4,400,000 4,400,043 
Massachusetts Edl. Fing. Auth. Rev. Participating VRDN Series Floaters XF 23 06, 0.3% 12/7/21 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(b)(f)(g) 1,445,000 1,445,000 
Massachusetts Port Auth. Rev. Participating VRDN Series XM 08 51, 0.12% 12/7/21 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(f)(g) 3,200,000 3,200,000 
TOTAL MASSACHUSETTS  9,045,043 
Michigan - 0.6%   
Michigan Bldg. Auth. Rev. Participating VRDN Series 2021 XF 11 15, 0.11% 12/7/21 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(f)(g) 2,800,000 2,800,000 
Michigan Fin. Auth. Rev. RAN Series 2021 A, 3% 8/22/22, LOC PNC Bank NA 16,500,000 16,835,400 
Michigan Hsg. Dev. Auth. Rental Hsg. Rev. Series 2002 A, 0.08% 12/7/21, LOC Bank of America NA, VRDN (a)(b) 6,200,000 6,200,000 
Michigan Strategic Fund Ltd. Oblig. Rev. Series 2002, 0.15% 12/2/21, LOC JPMorgan Chase Bank, VRDN (a)(b) 250,000 250,000 
Univ. of Michigan Rev. Series 2021 B, 0.09% tender 12/3/21, CP mode 5,000,000 5,000,017 
TOTAL MICHIGAN  31,085,417 
Minnesota - 0.1%   
Minneapolis Health Care Sys. Rev. Participating VRDN Series XM 08 72, 0.15% 12/7/21 (Liquidity Facility JPMorgan Chase Bank) (a)(f)(g) 1,000,000 1,000,000 
Minnesota Rural Wtr. Fin. Auth. BAN Series 2021 B, 0.3% 8/1/22 2,700,000 2,700,123 
Univ. of Minnesota Gen. Oblig. Series 2021 G, 0.1% 12/8/21, CP 4,000,000 4,000,040 
TOTAL MINNESOTA  7,700,163 
Mississippi - 0.2%   
Jackson County Poll. Cont. Rev. (Chevron U.S.A., Inc. Proj.) Series 1993 0.02% 12/1/21, VRDN (a) 7,650,000 7,650,000 
Mississippi Bus. Fin. Corp. Solid Waste Disp. Rev. (Mississippi Pwr. Co. Proj.):   
Series 1995, 0.07% 12/1/21, VRDN (a)(b) 3,900,000 3,900,000 
Series 1998, 0.07% 12/1/21, VRDN (a)(b) 1,600,000 1,600,000 
TOTAL MISSISSIPPI  13,150,000 
Missouri - 0.2%   
Kansas City Indl. Dev. Auth. Participating VRDN Series XM 09 21, 0.17% 12/7/21 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(b)(f)(g) 6,150,000 6,150,000 
Lees Summit Indl. Dev. Auth. Multi-family Hsg. Rev. Participating VRDN Series MIZ 90 55, 0.3% 1/4/22 (Liquidity Facility Mizuho Cap. Markets Llc) (a)(f)(g) 200,000 200,000 
Mercy Health Participating VRDN Series Floaters XL 00 80, 0.12% 12/7/21 (Liquidity Facility JPMorgan Chase Bank) (a)(f)(g) 1,200,000 1,200,000 
Missouri Health & Edl. Facilities Auth. Edl. Facilities Rev. Participating VRDN Series XG 01 76, 0.17% 12/7/21 (Liquidity Facility Royal Bank of Canada) (a)(f)(g) 3,200,000 3,200,000 
TOTAL MISSOURI  10,750,000 
Montana - 0.0%   
Montana Board of Hsg. Participating VRDN Series Floater MIZ 90 61, 0.3% 1/4/22 (Liquidity Facility Mizuho Cap. Markets Llc) (a)(f)(g) 500,000 500,000 
Montana Facility Fin. Auth. Participating VRDN Series 2021 XF 11 14, 0.11% 12/7/21 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(f)(g) 700,000 700,000 
TOTAL MONTANA  1,200,000 
Nebraska - 0.0%   
Univ. of Nebraska Facilities Corp. Participating VRDN Series 2021 XF 11 03, 0.11% 12/7/21 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(f)(g) 1,100,000 1,100,000 
New Jersey - 0.8%   
Borough of Mountainside Gen. Oblig. BAN Series 2021, 2% 4/29/22 1,100,000 1,107,664 
Borough of Oceanport BAN Series 2021, 2% 2/24/22 1,100,000 1,104,502 
Burlington County Bridge Commission Lease Rev. BAN (Governmental Leasing Prog.) Series 2021 A, 1% 4/14/22 13,000,000 13,040,180 
Hudson County Impt. Auth. Rev. BAN:   
(Local Unit Ln. Prog.) Series 2021 A1, 1.5% 2/8/22 2,774,000 2,781,002 
Series 2021 C1, 1% 8/16/22 4,400,000 4,425,130 
Jersey City Gen. Oblig. BAN Series 2021 A, 1.5% 1/12/22 295,000 295,454 
New Jersey Tpk. Auth. Tpk. Rev. Participating VRDN Series XM 09 11, 0.15% 12/7/21 (Liquidity Facility JPMorgan Chase Bank) (a)(f)(g) 1,305,000 1,305,000 
New Jersey Trans. Trust Fund Auth. Participating VRDN:   
Series Floaters XG 02 05, 0.08% 12/7/21 (Liquidity Facility Barclays Bank PLC) (a)(f)(g) 6,140,000 6,140,000 
Series XF 09 75, 0.21% 12/7/21 (Liquidity Facility JPMorgan Chase Bank) (a)(f)(g) 1,066,000 1,066,000 
Series XM 09 29, 0.17% 12/7/21 (Liquidity Facility JPMorgan Chase Bank) (a)(f)(g) 400,000 400,000 
Newark Gen. Oblig. BAN Series 2021 C, 1.25% 7/25/22 600,000 603,766 
Ramsey Borough Gen. Oblig. BAN Series 2021, 1.25% 1/7/22 2,000,000 2,001,951 
Roselle County of Union BAN Series 2021 A, 1.5% 7/20/22 1,000,000 1,007,730 
Springfield Township Gen. Oblig. BAN Series 2021, 2% 7/29/22 3,228,000 3,263,292 
West Orange Gen. Oblig. BAN Series 2021, 2% 11/11/22 4,500,000 4,568,971 
TOTAL NEW JERSEY  43,110,642 
New York - 4.1%   
Broome County Gen. Oblig. BAN Series 2021 A, 1.5% 4/29/22 20,000,000 20,105,730 
Connetquot Central School District:   
BAN Series 2021, 1.25% 7/27/22 5,000,000 5,031,980 
TAN Series 2021, 1.5% 6/24/22 10,000,000 10,069,101 
East Rochester Hsg. Auth. Rev. (Home Good Sheperd Proj.) Series A, 0.18% 12/7/21, LOC Citizens Bank NA, VRDN (a) 400,000 400,000 
Hempstead Indl. Dev. Auth. Participating VRDN Series DBE 80 63, 0.45% 12/7/21, LOC Deutsche Bank AG, (Liquidity Facility Deutsche Bank AG) (a)(b)(f)(g) 8,341,186 8,341,186 
Hempstead Union Free School District BAN Series 2021 A, 1.5% 11/30/22 6,427,819 6,503,103 
New York City Gen. Oblig.:   
Series 2006, 0.2% 12/3/21 (FSA Insured), VRDN (a) 4,275,000 4,275,000 
Series 2021 3, 0.1% 12/8/21, VRDN (a) 5,000,000 5,000,000 
New York Metropolitan Trans. Auth. Dedicated Tax Fund Rev.:   
BAN Series 2019 A, 5% 3/1/22 4,055,000 4,102,331 
Participating VRDN Series ZM 06 00, 0.1% 12/7/21 (Liquidity Facility Wells Fargo Bank NA) (a)(f)(g) 2,100,000 2,100,000 
New York Metropolitan Trans. Auth. Rev.:   
BAN:   
Series 2019 B, 5% 5/15/22 27,265,000 27,843,078 
Series 2019 D1, 5% 9/1/22 23,990,000 24,823,432 
Participating VRDN:   
Series XF 05 20, 0.09% 12/7/21 (Liquidity Facility Royal Bank of Canada) (a)(f)(g) 1,425,000 1,425,000 
Series XF 28 68, 0.09% 12/7/21 (Liquidity Facility Barclays Bank PLC) (a)(f)(g) 10,000,000 10,000,000 
Series XG 02 90, 0.09% 12/7/21 (Liquidity Facility Barclays Bank PLC) (a)(f)(g) 15,000,000 15,000,000 
Series XM 09 35, 0.21% 12/7/21 (Liquidity Facility JPMorgan Chase Bank) (a)(f)(g) 300,000 300,000 
Series ZF 02 18, 0.21% 12/7/21 (Liquidity Facility JPMorgan Chase Bank) (a)(f)(g) 4,200,000 4,200,000 
New York Pwr. Auth. Series 2021, 0.1% 1/6/22 (Liquidity Facility TD Banknorth, NA) (Liquidity Facility Wells Fargo Bank NA), CP 8,000,000 7,999,918 
New York Thruway Auth. Gen. Rev. Participating VRDN:   
Series XF 09 18, 0.1% 12/7/21 (Liquidity Facility JPMorgan Chase Bank) (a)(f)(g) 1,600,000 1,600,000 
Series XM 08 30, 0.15% 12/7/21 (Liquidity Facility JPMorgan Chase Bank) (a)(f)(g) 1,700,000 1,700,000 
Series XM 08 31, 0.2% 12/7/21 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(f)(g) 2,000,000 2,000,000 
Series XM 08 80, 0.15% 12/7/21 (Liquidity Facility JPMorgan Chase Bank) (a)(f)(g) 1,500,000 1,500,000 
New York Trans. Dev. Corp.:   
Participating VRDN Series XL 01 68, 0.16% 12/7/21 (Liquidity Facility Barclays Bank PLC) (a)(b)(f)(g) 200,000 200,000 
RAN (Term. 4 JFK Int'l. Arpt. Proj.) Series 2020 C, 5% 12/1/21 2,100,000 2,100,000 
Oneida County Indl. Dev. Agcy. Rev. (Mohawk Valley Cmnty. College Dorm. Corp. Proj.) Series 2004 A, 0.15% 12/7/21, LOC Manufacturers & Traders Trust Co., VRDN (a) 500,000 500,000 
Port Washington Union Free School District TAN Series 2021, 2% 6/23/22 3,000,000 3,030,051 
Putnam County Indl. Dev. Agcy. Rev. Series 2006 A, 0.23% 12/7/21, LOC Citizens Bank NA, VRDN (a) 1,100,000 1,100,000 
Riverhead Central School District TAN:   
Series 2021 A, 1.5% 2/25/22 7,500,000 7,523,559 
Series 2021 B, 2% 6/24/22 15,500,000 15,660,441 
South Huntington Union Free School District TAN Series 2021, 1.5% 6/24/22 10,000,000 10,073,639 
Syosset Central School District TAN Series 2021, 1.5% 6/24/22 9,500,000 9,571,035 
Triborough Bridge & Tunnel Auth. Participating VRDN Series 2021 XF 11 25, 0.11% 12/7/21 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(f)(g) 2,265,000 2,265,000 
Village of Garden City BAN Series 2021, 1% 2/18/22 2,000,000 2,003,407 
Westchester County BAN:   
Series 2021 A, 1% 12/17/21 9,000,000 9,003,530 
Series 2021 B, 1.5% 12/17/21 3,316,861 3,318,825 
TOTAL NEW YORK  230,669,346 
New York And New Jersey - 0.2%   
Port Auth. of New York & New Jersey Series 2021 A:   
0.12% 12/9/21, CP (b) 2,000,000 2,000,020 
0.13% 1/12/22, CP (b) 525,000 525,000 
0.13% 2/2/22, CP (b) 4,000,000 4,000,000 
0.13% 3/3/22, CP (b) 5,015,000 5,014,872 
TOTAL NEW YORK AND NEW JERSEY  11,539,892 
North Carolina - 0.1%   
Charlotte Ctfs. of Prtn. Participating VRDN Series 2021 XG 03 31, 0.11% 12/7/21 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(f)(g) 342,000 342,000 
Charlotte Int'l. Arpt. Rev. Participating VRDN Series Floaters ZF 24 90, 0.08% 12/7/21 (Liquidity Facility Barclays Bank PLC) (a)(f)(g) 7,500,000 7,500,000 
TOTAL NORTH CAROLINA  7,842,000 
North Dakota - 0.1%   
Basin Elec. Pwr. Coop. Series 2021, 0.18% 1/19/22 (Liquidity Facility Nat'l. Rural Utils. Coop. Fin. Corp.), CP 8,200,000 8,199,888 
Ohio - 0.6%   
American Muni. Pwr. BAN:   
(City of Wapakoneta Proj.) Series 2021, 1% 6/23/22 1,210,000 1,215,203 
(Village of Carey Proj.) Series 2021, 1.25% 11/30/22 500,000 504,813 
(Village of Grafton Proj.) Series 2021, 1% 4/14/22 1,235,000 1,238,497 
(Village of Pioneer Proj.) Series 2021, 1.25% 12/1/22 400,000 403,770 
Lorain County Gen. Oblig. BAN:   
(North Ridge Road Proj.) Series 2020 D, 1% 12/17/21 2,190,000 2,190,742 
Series 2021 A, 1.5% 5/4/22 2,900,000 2,915,229 
Oakwood Village BAN Series 2021, 1.375% 9/15/22 1,675,000 1,687,281 
Ohio Hosp. Rev.:   
Series 2021 B, 0.1% 12/1/21, VRDN (a) 3,000,000 3,000,000 
Series 2021 D, 0.04% 12/7/21, LOC U.S. Bank NA, Cincinnati, VRDN (a) 10,000,000 10,000,000 
Ohio Hsg. Fin. Agcy. Multi-family Hsg. Rev. Participating VRDN Series XF 10 92, 0.3% 12/7/21 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(f)(g) 5,100,000 5,100,000 
Ohio Tpk. Commission Tpk. Rev. Participating VRDN Series Floaters XL 00 57, 0.12% 12/7/21 (Liquidity Facility Cr. Suisse AG) (a)(f)(g) 800,000 800,000 
Whitehall Spl. Oblig. Nontax Rev. BAN Series 2021 A, 1.5% 12/7/22 (e) 1,700,000 1,720,479 
TOTAL OHIO  30,776,014 
Oklahoma - 0.3%   
Oklahoma Dev. Fin. Auth. Health Sys. Rev. Series 2020 B, 0.14% 12/7/21, VRDN (a) 16,680,000 16,680,000 
Oregon - 0.0%   
Oregon St Hsg. & Cmnty. Svcs. Dep Participating VRDN Series 2021 XF 11 23, 0.3% 12/7/21 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(f)(g) 600,000 600,000 
Pennsylvania - 0.5%   
Allentown School District TRAN Series 2021, 1% 3/31/22 750,000 749,964 
Central Bradford Progress Auth. Rev. Series 2021 D, 0.16% 12/7/21, VRDN (a) 2,000,000 2,000,000 
Pennsylvania Econ. Dev. Fing. Auth. Exempt Facilities Rev. Series 2009 B, 0.17% 12/7/21, LOC MUFG Bank Ltd., VRDN (a) 5,000,000 5,000,000 
Pennsylvania Hsg. Fin. Agcy. Multifamily Hsg. Dev. Rev. Participating VRDN Series XF 10 95, 0.3% 12/7/21 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(f)(g) 2,615,000 2,615,000 
Pennsylvania Tpk. Commission Tpk. Rev. Participating VRDN Series 2021 XL 01 80, 0.11% 12/7/21 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(f)(g) 4,000,000 4,000,000 
Philadelphia Auth. Indl. Mrf Participating VRDN Series MIZ 90 51, 0.3% 1/4/22 (Liquidity Facility Mizuho Cap. Markets Llc) (a)(f)(g) 1,000,000 1,000,000 
Philadelphia Auth. for Indl. Dev. Series 2017 B, 0.13% 12/6/24, VRDN (a) 12,565,000 12,565,000 
TOTAL PENNSYLVANIA  27,929,964 
South Carolina - 0.8%   
Charleston County School District TAN Series 2021, 1.25% 4/1/22 10,000,000 10,037,889 
County Square Redev. Corp. BAN (Greenville County, South Carolina Proj.) Series 2021, 2% 3/3/22 6,945,000 6,978,299 
Greenville Hosp. Sys. Facilities Rev. Participating VRDN Series XF 01 45, 0.2% 12/7/21 (Liquidity Facility Toronto-Dominion Bank) (a)(f)(g) 1,600,000 1,600,000 
South Carolina Jobs-Econ. Dev. Auth. Series 2018 C, 0.14% 12/6/24, VRDN (a) 10,000,000 10,000,000 
South Carolina Pub. Svc. Auth. Rev.:   
Participating VRDN:   
Series 2021 XL 01 85, 0.13% 12/7/21 (Liquidity Facility Barclays Bank PLC) (a)(f)(g) 600,000 600,000 
Series Floaters XM 03 84, 0.15% 12/7/21 (Liquidity Facility JPMorgan Chase Bank) (a)(f)(g) 9,800,000 9,800,000 
Series YX 11 57, 0.13% 12/7/21 (Liquidity Facility Barclays Bank PLC) (a)(f)(g) 2,110,000 2,110,000 
Series 2021 B, 0.1% 12/15/21, LOC Barclays Bank PLC, CP 2,000,000 2,000,033 
TOTAL SOUTH CAROLINA  43,126,221 
South Dakota - 0.0%   
South Dakota Health & Edl. Facilities Auth. Rev. Participating VRDN Series XG 03 02, 0.12% 12/7/21 (Liquidity Facility Barclays Bank PLC) (a)(f)(g) 600,000 600,000 
Tennessee - 0.2%   
Greeneville Health & Edl. Facilities Board:   
Participating VRDN Series Floaters XF 25 76, 0.09% 12/7/21 (Liquidity Facility Barclays Bank PLC) (a)(f)(g) 6,000,000 6,000,000 
Series 2018 B, 0.05% 12/7/21, LOC U.S. Bank NA, Cincinnati, VRDN (a) 800,000 800,000 
Metropolitan Govt. Nashville & Davidson County Health & Edl. Facilities Board Participating VRDN Series XF 10 97, 0.3% 12/7/21 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(f)(g) 1,590,000 1,590,000 
Tennessee Gen. Oblig. Series 2021 A, 0.1% 1/11/22 (Liquidity Facility Tennessee Consldatd Retire Sys.), CP 5,000,000 5,000,000 
TOTAL TENNESSEE  13,390,000 
Texas - 2.8%   
Arlington Higher Ed. Fin. Corp. Participating VRDN Series 2021 MS 00 02, 0.25% 12/7/21 (a)(f)(g) 10,000,000 10,000,000 
Austin Affordable Pfc, Inc. Multifamily Hsg. Rev. Participating VRDN:   
Series XF 11 02, 0.3% 12/7/21 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(f)(g) 2,000,000 2,000,000 
Series XF 11 19, 0.3% 12/7/21 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(f)(g) 800,000 800,000 
Calhoun County Navigation Indl. Dev. Auth. Port Rev. (B P Chemicals, Inc. Proj.) Series 1998, 0.1% 12/7/21, VRDN (a)(b) 11,300,000 11,300,000 
Dallas Area Rapid Transit Sales Tax Rev. Series 2021 IIA, 0.1% 12/3/21 (Liquidity Facility JPMorgan Chase Bank), CP 8,000,000 8,000,026 
Dallas/Fort Worth Int'l. Arpt. Facility Impt. Corp. Rev. (United Parcel Svc., Inc. Proj.) Series 2002, 0.07% 12/1/21, VRDN (a)(b) 1,180,000 1,180,000 
Deutsche Spears/Lifers Trust Participating VRDN Series Floaters XG 00 58, 0.11% 12/7/21 (Liquidity Facility Deutsche Bank AG) (a)(f)(g) 1,085,000 1,085,000 
Harris County Cultural Ed. Facilities Fin. Corp. Rev.:   
Participating VRDN Series 2021 XG 03 28, 0.11% 12/7/21 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(f)(g) 4,120,000 4,120,000 
Series 2021 C2, 0.1% tender 2/2/22, CP mode 9,000,000 8,999,842 
Series 2021, 0.1% tender 2/2/22, CP mode 4,000,000 3,999,930 
Houston Arpt. Sys. Rev. Series 2021 A, 0.11% 12/14/21, LOC Sumitomo Mitsui Banking Corp., CP (b) 4,500,000 4,500,069 
Houston Gen. Oblig. TRAN Series 2021:   
2% 6/30/22 5,000,000 5,053,870 
3% 6/30/22 8,500,000 8,641,889 
Hurst Participating VRDN Series XF 10 94, 0.3% 12/7/21 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(f)(g) 1,600,000 1,600,000 
Lamar Consolidated Independent School District Participating VRDN Series XF 11 18, 0.11% 12/7/21 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(f)(g) 700,000 700,000 
Love Field Arpt. Modernization Corp. Series 2021, 0.11% 1/11/22, CP 2,280,000 2,279,974 
Lower Colorado River Auth. Rev.:   
Series 2021, 0.09% 1/5/22, LOC JPMorgan Chase Bank, LOC State Street Bank & Trust Co., Boston, CP 1,546,000 1,546,015 
TRAN (LCRA Transmission Svcs. Corp. Proj.) Series 2012 A, 5% 5/15/22 2,365,000 2,416,732 
North Central Texas Hsg. Fin. Corp. Mu Participating VRDN Series XF 10 99, 0.3% 12/7/21 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(f)(g) 400,000 400,000 
North Texas Tollway Auth. Rev. Participating VRDN:   
Series 2021 XF 12 25, 0.13% 12/7/21 (Liquidity Facility JPMorgan Chase Bank) (a)(f)(g) 1,160,000 1,160,000 
Series XF 12 21, 0.13% 12/7/21 (Liquidity Facility JPMorgan Chase Bank) (a)(f)(g) 6,760,000 6,760,000 
Series XM0085, 0.13% 12/7/21 (Liquidity Facility Barclays Bank PLC) (a)(f)(g) 400,000 400,000 
Port Arthur Navigation District Envir. Facilities Rev. (Motiva Enterprises LLC Proj.) Series 2004, 0.18% 12/7/21, VRDN (a)(b) 33,015,000 33,015,000 
San Antonio Elec. & Gas Sys. Rev. Series 2021, 0.09% 12/16/21 (Liquidity Facility Bank of America NA), CP 10,000,000 10,000,044 
Temple Tex College District Participating VRDN Series XL 01 82, 0.11% 12/7/21, LOC Deutsche Bank AG, (Liquidity Facility Deutsche Bank AG) (a)(f)(g) 2,495,000 2,495,000 
Tender Option Bond Trust Receipts Participating VRDN Series 2021 XF 11 09, 0.3% 12/7/21 (Liquidity Facility Deutsche Bank AG) (a)(f)(g) 2,000,000 2,000,000 
Texas A&M Univ. Rev. Series 2021 B, 0.09% 12/2/21, CP 15,000,000 15,000,041 
Texas Dept. of Hsg. & Cmnty. Affairs Residential Mtg. Rev. Participating VRDN Series XF 10 98, 0.3% 12/7/21 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(f)(g) 1,100,000 1,100,000 
Texas Private Activity Bond Surface Trans. Corp. Participating VRDN Series XM 07 56, 0.24% 12/7/21 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(b)(f)(g) 1,800,000 1,800,000 
Trinity Riv Pub. Facilities Corp. Tex M Participating VRDN Series XF 10 83, 0.3% 12/7/21 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(f)(g) 1,600,000 1,600,000 
Waco Edl. Fin. Corp. Rev. Participating VRDN Series 2021 XF 11 13, 0.11% 12/7/21 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(f)(g) 300,000 300,000 
TOTAL TEXAS  154,253,432 
Utah - 0.4%   
Salt Lake City Arpt. Rev. Participating VRDN:   
Series 17 XM 0493, 0.17% 12/7/21 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(b)(f)(g) 500,000 500,000 
Series 2021 XG 03 43, 0.15% 12/7/21 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(b)(f)(g) 2,800,000 2,800,000 
Series Floaters XM 06 99, 0.19% 12/7/21 (Liquidity Facility Cr. Suisse AG) (a)(b)(f)(g) 11,030,000 11,030,000 
Series XM 08 82, 0.15% 12/7/21 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(f)(g) 1,400,000 1,400,000 
Utah Hsg. Corp. Multi-family Hsg. Rev. Participating VRDN Series 2021 XF 11 00, 0.3% 12/7/21 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(f)(g) 4,000,000 4,000,000 
TOTAL UTAH  19,730,000 
Virginia - 0.4%   
Loudoun County Indl. Dev. Auth. (Howard Hughes Med. Institute Proj.) Series 2003 B, 0.06% 12/7/21, VRDN (a) 4,000,000 4,000,000 
Lynchburg Econ. Dev. Series 2017 B, 0.05% 12/1/21, LOC Truist Bank, VRDN (a) 650,000 650,000 
Suffolk Econ. Dev. Auth. Hosp. Facilities Rev. Participating VRDN Series MIZ 90 25, 0.12% 12/7/21 (Liquidity Facility Mizuho Cap. Markets Llc) (a)(f)(g) 13,965,000 13,965,000 
Virginia Commonwealth Trans. Board Rev. Participating VRDN Series DB 80 80, 0.11% 12/7/21 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(f)(g) 2,270,000 2,270,000 
TOTAL VIRGINIA  20,885,000 
Washington - 0.5%   
Port of Seattle Gen. Oblig. Series 2021 B1, 0.1% 12/2/21, LOC Bayerische Landesbank Girozentrale, CP (b) 2,000,000 2,000,004 
Univ. of Washington Univ. Revs. Series 2021, 0.11% 2/17/22, CP 1,500,000 1,499,935 
Washington Convention Ctr. Pub. Facilities Participating VRDN Series XG 02 96, 0.09% 12/7/21 (Liquidity Facility Barclays Bank PLC) (a)(f)(g) 7,985,000 7,985,000 
Washington Econ. Dev. Fin. Auth. Rev. Participating VRDN Series Floaters 005, 0.23% 1/11/22 (Liquidity Facility Barclays Bank PLC) (a)(b)(f)(g) 5,000,000 5,000,000 
Washington Health Care Facilities Auth. Rev. Participating VRDN Series XM 08 83, 0.12% 12/7/21 (Liquidity Facility JPMorgan Chase Bank) (a)(f)(g) 1,500,000 1,500,000 
Washington Hsg. Fin. Commission Multi-family Hsg. Rev. (Merrill Gardens at Queen Anne Proj.) Series A, 0.06% 12/7/21, LOC Bank of America NA, VRDN (a)(b) 10,000,000 10,000,000 
TOTAL WASHINGTON  27,984,939 
Wisconsin - 0.2%   
JPMorgan Chase Participating VRDN Series Floaters XF 01 27, 0.08% 12/2/21 (a)(f)(g) 1,060,000 1,060,000 
Wisconsin Ctr. District Tax Rev. Participating VRDN Series 2021 XF 12 22, 0.15% 12/7/21 (Liquidity Facility JPMorgan Chase Bank) (a)(f)(g) 212,000 212,000 
Wisconsin Health & Edl. Facilities:   
Participating VRDN Series Floaters XG 00 72, 0.11% 12/7/21 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(f)(g) 600,000 600,000 
Series 2020 C, 0.14% 12/7/21, VRDN (a) 6,750,000 6,750,000 
Wood County BAN Series 2021, 0.75% 3/7/22 1,550,000 1,550,115 
TOTAL WISCONSIN  10,172,115 
TOTAL MUNICIPAL NOTES   
(Cost $1,352,783,136)  1,352,980,280 
 Shares Value 
Municipal Bond Funds - 0.1%   
Nuveen NY AMT-Free Quality Municipal Income Fund Preferred Shares 0.25% (a)(d)(i)   
(Cost $6,800,000) 6,800,000 6,800,000 
Short-Term Funds - 14.2%   
Federated Hermes Municipal Ultrashort Fund Institutional Shares 5,990,726 60,086,980 
JPMorgan Ultra-Short Municipal Fund Class I 46,903,464 471,379,777 
Vanguard Short-Term Tax-Exempt Fund Admiral Shares 16,387,855 260,403,010 
TOTAL SHORT-TERM FUNDS   
(Cost $793,132,856)  791,869,767 
Money Market Funds - 19.2%   
Fidelity Investments Money Market Government Portfolio Institutional Class 0.01% (j)(k) 532,154,256 532,154,256 
Fidelity Municipal Cash Central Fund 0.06% (l)(m) 50,029,994 50,040,000 
Fidelity SAI Municipal Money Market Fund 0.01% (j)(k) 477,991,818 478,183,015 
State Street Institutional U.S. Government Money Market Fund Premier Class 0.03% (j) 9,858,408 9,858,408 
TOTAL MONEY MARKET FUNDS   
(Cost $1,070,178,858)  1,070,235,679 
TOTAL INVESTMENT IN SECURITIES - 100.5%   
(Cost $5,590,676,802)  5,598,528,712 
NET OTHER ASSETS (LIABILITIES) - (0.5)%  (29,439,526) 
NET ASSETS - 100%  $5,569,089,186 

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 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 $50,482,175 or 0.9% of net assets.

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

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

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

 (h) Restricted securities (including private placements) - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $8,800,000 or 0.2% of net assets.

 (i) 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 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.

Additional information on each restricted holding is as follows:

Security Acquisition Date Acquisition Cost 
Baltimore Proj. Rev. Bonds Series Floaters G 42, 0.25%, tender 7/1/22 (Liquidity Facility Royal Bank of Canada) 7/1/21 $4,500,000 
River Islands Pub. Fing. Auth. Participating VRDN Series MIZ 90 26, 0.3% 1/4/22 (Liquidity Facility Mizuho Cap. Markets Llc) 8/14/20 $4,300,000 

Affiliated Central Funds

Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.

Fund Value, beginning of period Purchases Sales Proceeds Dividend Income Realized Gain/Loss Change in Unrealized appreciation (depreciation) Value, end of period % ownership, end of period 
Fidelity Municipal Cash Central Fund 0.06% $10,608,583 $240,139,000 $200,707,583 $10,791 $715 $(715) $50,040,000 3.2% 
Total $10,608,583 $240,139,000 $200,707,583 $10,791 $715 $(715) $50,040,000  

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

Affiliated Underlying Funds

Fiscal year to date information regarding the Fund's investments in affiliated Underlying Funds is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur. If an underlying Fund changes its name, the name presented below is the name in effect at period end.

Affiliate Value, beginning of period Purchases Sales Proceeds Dividend Income Realized Gain (loss) Change in Unrealized appreciation (depreciation) Value, end of period 
Fidelity Investments Money Market Government Portfolio Institutional Class 0.01% $483,241,223 $201,403,797 $152,490,764 $21,288 $-- $-- $532,154,256 
Fidelity SAI Municipal Money Market Fund 0.01% 455,032,513 23,150,502 -- 19,553 -- -- 478,183,015 
Total $938,273,736 $224,554,299 $152,490,764 $40,841 $-- $-- $1,010,337,271 

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, 2021, 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 $3,729,623,266 $-- $3,729,623,266 $-- 
Municipal Bond Funds 6,800,000 -- 6,800,000 -- 
Short-Term Funds 791,869,767 791,869,767 -- -- 
Money Market Funds 1,070,235,679 1,070,235,679 -- -- 
Total Investments in Securities: $5,598,528,712 $1,862,105,446 $3,736,423,266 $-- 

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


Financial Statements

Statement of Assets and Liabilities

  November 30, 2021 (Unaudited) 
Assets   
Investment in securities, at value — See accompanying schedule:
Unaffiliated issuers (cost $4,530,356,352) 		$4,538,151,441  
Fidelity Central Funds (cost $50,039,654) 50,040,000  
Other affiliated issuers (cost $1,010,280,796) 1,010,337,271  
Total Investment in Securities (cost $5,590,676,802)  $5,598,528,712 
Cash  3,256,826 
Receivable for investments sold  2,868,650 
Receivable for fund shares sold  1,946,359 
Dividends receivable  138,991 
Interest receivable  25,381,793 
Distributions receivable from Fidelity Central Funds  2,824 
Prepaid expenses  4,563 
Other receivables  5,797 
Total assets  5,632,134,515 
Liabilities   
Payable for investments purchased   
Regular delivery $29,491,268  
Delayed delivery 28,350,777  
Payable for fund shares redeemed 3,184,416  
Distributions payable 1,627,062  
Accrued management fee 285,527  
Other payables and accrued expenses 106,279  
Total liabilities  63,045,329 
Net Assets  $5,569,089,186 
Net Assets consist of:   
Paid in capital  $5,562,205,763 
Total accumulated earnings (loss)  6,883,423 
Net Assets  $5,569,089,186 
Net Asset Value, offering price and redemption price per share ($5,569,089,186 ÷ 555,253,107 shares)  $10.03 

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


Statement of Operations

  Six months ended November 30, 2021 (Unaudited) 
Investment Income   
Dividends:   
Unaffiliated issuers  $1,408,959 
Affiliated issuers  39,627 
Interest  11,227,548 
Income from Fidelity Central Funds  10,791 
Total income  12,686,925 
Expenses   
Management fee $8,542,396  
Custodian fees and expenses 22,572  
Independent trustees' fees and expenses 19,806  
Registration fees 23,686  
Audit 32,990  
Legal 4,664  
Miscellaneous 16,061  
Total expenses before reductions 8,662,175  
Expense reductions (6,872,849)  
Total expenses after reductions  1,789,326 
Net investment income (loss)  10,897,599 
Realized and Unrealized Gain (Loss)   
Net realized gain (loss) on:   
Investment securities:   
Unaffiliated issuers (242,534)  
Fidelity Central Funds 715  
Capital gain distributions from underlying funds:   
Affiliated issuers 1,214  
Total net realized gain (loss)  (240,605) 
Change in net unrealized appreciation (depreciation) on:   
Investment securities:   
Unaffiliated issuers (10,042,374)  
Fidelity Central Funds (715)  
Other affiliated issuers 1  
Total change in net unrealized appreciation (depreciation)  (10,043,088) 
Net gain (loss)  (10,283,693) 
Net increase (decrease) in net assets resulting from operations  $613,906 

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


Statement of Changes in Net Assets

 Six months ended November 30, 2021 (Unaudited) Year ended May 31, 2021 
Increase (Decrease) in Net Assets   
Operations   
Net investment income (loss) $10,897,599 $28,802,287 
Net realized gain (loss) (240,605) 455,658 
Change in net unrealized appreciation (depreciation) (10,043,088) 10,941,667 
Net increase (decrease) in net assets resulting from operations 613,906 40,199,612 
Distributions to shareholders (10,888,499) (29,155,326) 
Share transactions   
Proceeds from sales of shares 677,694,919 3,198,122,199 
Reinvestment of distributions 2,539 11,827 
Cost of shares redeemed (487,891,574) (1,188,111,043) 
Net increase (decrease) in net assets resulting from share transactions 189,805,884 2,010,022,983 
Total increase (decrease) in net assets 179,531,291 2,021,067,269 
Net Assets   
Beginning of period 5,389,557,895 3,368,490,626 
End of period $5,569,089,186 $5,389,557,895 
Other Information   
Shares   
Sold 67,475,958 318,386,661 
Issued in reinvestment of distributions 253 1,177 
Redeemed (48,578,392) (118,260,585) 
Net increase (decrease) 18,897,819 200,127,253 

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,    
 2021 2021 2020 2019 2018 A 
Selected Per–Share Data      
Net asset value, beginning of period $10.05 $10.02 $10.03 $9.99 $10.00 
Income from Investment Operations      
Net investment income (loss)B .020 .067 .159 .174 .053 
Net realized and unrealized gain (loss) (.020) .034 (.006) .042 (.014) 
Total from investment operations – .101 .153 .216 .039 
Distributions from net investment income (.020) (.070) (.159) (.173) (.049) 
Distributions from net realized gain – (.001) (.004) (.003) – 
Total distributions (.020) (.071) (.163) (.176) (.049) 
Net asset value, end of period $10.03 $10.05 $10.02 $10.03 $9.99 
Total ReturnC,D -% 1.01% 1.53% 2.19% .39% 
Ratios to Average Net AssetsE,F      
Expenses before reductions .31%G .33% .34% .37% .52%G 
Expenses net of fee waivers, if any .06%G .08% .09% .12% .26%G,H 
Expenses net of all reductions .06%G .08% .09% .12% .26%G,H 
Net investment income (loss) .40%G .66% 1.59% 1.74% 1.28%G 
Supplemental Data      
Net assets, end of period (000 omitted) $5,569,089 $5,389,558 $3,368,491 $3,415,877 $3,219,118 
Portfolio turnover rateI 52%G 86% 81% 57% 180%J 

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

 B Calculated based on average shares outstanding during the period.

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

 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, 2021

1. Organization.

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

2. Significant Accounting Policies.

The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:

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

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

  • Level 1 – 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, 2021 is included at the end of the Fund's Schedule of Investments.

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

Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan) for certain Funds, certain independent Trustees have elected to defer receipt of a portion of their annual compensation. Deferred amounts are invested in affiliated mutual funds, are marked-to-market and remain in a fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees presented below are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, as applicable.

Strategic Advisers Tax-Sensitive Short Duration Fund $5,797 

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

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

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

Book-tax differences are primarily due to market discount, deferred trustees compensation and losses deferred due to wash sales 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 $11,038,500 
Gross unrealized depreciation (3,224,089) 
Net unrealized appreciation (depreciation) $7,814,411 
Tax cost $5,590,714,301 

Delayed Delivery Transactions and When-Issued Securities. During the period, certain Funds transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. Securities purchased on a delayed delivery or when-issued basis are identified as such in the Schedule of Investments. Compensation for interest forgone in the purchase of a delayed delivery or when-issued debt security may be received. With respect to purchase commitments, each applicable Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Payables and receivables associated with the purchases and sales of delayed delivery securities having the same coupon, settlement date and broker are offset. Delayed delivery or when-issued securities that have been purchased from and sold to different brokers are reflected as both payables and receivables in the Statement of Assets and Liabilities under the caption "Delayed delivery", as applicable. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.

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

3. Purchases and Sales of Investments.

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

 Purchases ($) Sales ($) 
Strategic Advisers Tax-Sensitive Short Duration Fund 1,117,789,298 1,120,176,795 

4. Fees and Other Transactions with Affiliates.

Management Fee. Strategic Advisers (the investment adviser) provides the Fund with investment management related services. For these services, the Fund pays a monthly management fee to the investment adviser. The management fee is calculated by adding the annual management fee rate of .25% of the Fund's average net assets throughout the month to the aggregate of the fee rates, payable monthly by the investment adviser, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed .55% of the Fund's average net assets. For the reporting period, the total 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-Advisers. FIAM LLC (an affiliate of the investment adviser), T. Rowe Price Associates, Inc. and Allspring Global Investments, LLC (formerly known as Wells Capital Management, Inc.) each served as a sub-adviser for the Fund during the period. Sub-advisers provide discretionary investment advisory services for their allocated portion of the Fund's assets and are paid as described in the Management Fee note.

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

 Purchases ($) Sales ($) Realized Gain (Loss) ($) 
Strategic Advisers Tax-Sensitive Short Duration Fund 29,030,000 19,655,000 – 

Other. During the period, the investment adviser reimbursed the Fund for certain losses as follows:

 Amount ($) 
Strategic Advisers Tax-Sensitive Short Duration Fund 1,830 

5. Investments in Fidelity Central Funds.

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

Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.

Fidelity Central Fund Investment Manager Investment Objective Investment Practices Expense Ratio(a) 
Fidelity Money Market Central Funds Fidelity Management & Research Company LLC (FMR) Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. Short-term Investments Less than .005% 

 (a) Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.

A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.

6. Committed Line of Credit.

Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below. During the period, there were no borrowings on this line of credit.

 Amount 
Strategic Advisers Tax-Sensitive Short Duration Fund $4,433 

7. Expense Reductions.

The investment adviser has contractually agreed to waive the Fund's management fee in an amount equal to .25% of the Fund's average net assets until September 30, 2024. During the period, this waiver reduced the Fund's management fee by $ 6,872,849.

8. Other.

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

Funds do not invest in underlying mutual funds for the purpose of exercising management or control; however, investments by funds within their principal investment strategies may represent a significant portion of the underlying mutual fund's net assets. At the end of the period, certain Funds were the owners of record of 10% or more of the total outstanding shares of the following underlying mutual funds as shown below.

Fund Strategic Advisers Tax-Sensitive Short Duration Fund 
Fidelity SAI Municipal Money Market Fund 100% 

9. Coronavirus (COVID-19) Pandemic.

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

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, 2021 to November 30, 2021).

Actual Expenses

The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.

Hypothetical Example for Comparison Purposes

The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

 Annualized Expense Ratio-A Beginning
Account Value
June 1, 2021 		Ending
Account Value
November 30, 2021 		Expenses Paid
During Period-B
June 1, 2021
to November 30, 2021 
Strategic Advisers Tax-Sensitive Short Duration Fund .06%    
Actual  $1,000.00 $1,000.00 $.30 
Hypothetical-C  $1,000.00 $1,024.77 $.30 

 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 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), 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 2021 meeting, the Board, including the Independent Trustees, unanimously determined to renew the fund's Advisory Contracts. In addition, the Board approved a prospective new sub-advisory agreement with Wells Cap (New Wells Cap Agreement) to take effect upon consummation of a transaction that is expected to result in a change of control of Wells Cap (Transaction). The Board noted that it had previously approved a separate prospective new sub-advisory agreement with Wells Cap in connection with the Transaction, which never became effective and expired on September 30, 2021. The Board further noted that the New Wells Cap Agreement has the same terms as the previously approved prospective sub-advisory agreement with Wells Cap except that the New Wells Cap Agreement has been updated to include Wells Cap's new name, Allspring Global Investments, LLC, and is for an initial one-year term.

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

In considering whether to renew the Advisory Contracts for the fund and approve the New Wells Cap Agreement, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts and the approval of the New Wells Cap Agreement 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 New Wells Cap Agreement 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 New Wells Cap Agreement 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 Board also considered steps taken by the Investment Advisers to continue to provide the same nature, extent, and quality of services to the funds during the COVID-19 pandemic.

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

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

Resources Dedicated to Investment Management and Support Services.  The Board reviewed the general qualifications and capabilities of the Investment Advisers' investment staffs, their use of technology, and the Investment Advisers' approach to managing and compensating investment personnel. The Board noted that the Investment Advisers' analysts have extensive resources, tools, and capabilities that allow them to conduct sophisticated quantitative and/or fundamental analysis. Additionally, in its deliberations, the Board considered the Investment Advisers' trading capabilities and resources and global compliance infrastructure, which are integral parts of the investment management process.

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

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

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

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

The following charts considered by the Board show, over the one- and three-year periods ended December 31, 2020, 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.


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- and three-year periods ended December 31, 2020. The Board also noted that the fund had out-performed 96% and 100% of its peers for the one- and three-year periods, respectively, ended December 31, 2020. The Board also noted that the investment performance of the fund was higher than its benchmark for the one- and three-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.


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, 2020.

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 those funds and classes in the Total Mapped Group (used by the Board for management fee comparisons) that have similar sales load structures. This comparison, which is a proxy for comparing funds by distribution channel, showed the fund's position relative to competitive funds with similar sales load structures. The Board noted that the fund's total expense ratio ranked below the fund's similar sales load structure group competitive median for the 12-month period ended December 31, 2020.

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 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 New Wells Cap Agreement 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 New Wells Cap Agreement do not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.





Fidelity Investments

TSS-SANN-0122
1.9885905.103

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

Offered exclusively to certain managed account clients of Strategic Advisers LLC or its affiliates - not available for sale to the general public



Semi-Annual Report

November 30, 2021

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. © 2022 FMR LLC. All rights reserved.



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

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

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

NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE

Neither the Fund nor Fidelity Distributors Corporation is a bank.



Note to Shareholders:

Early in 2020, the outbreak and spread of COVID-19 emerged as a public health emergency that had a major influence on financial markets, primarily based on its impact on the global economy and corporate earnings. On March 11, 2020, the World Health Organization declared the COVID-19 outbreak a pandemic, citing sustained risk of further global spread. The pandemic prompted a number of measures to limit the spread of COVID-19, including travel and border restrictions, quarantines, and restrictions on large gatherings. In turn, these resulted in lower consumer activity, diminished demand for a wide range of products and services, disruption in manufacturing and supply chains, and – given the wide variability in outcomes regarding the outbreak – significant market uncertainty and volatility. To help stem the turmoil, the U.S. government took unprecedented action – in concert with the U.S. Federal Reserve and central banks around the world – to help support consumers, businesses, and the broader economy, and to limit disruption to the financial system.

In general, the overall impact of the pandemic lessened in 2021, amid a resilient economy and widespread distribution of three COVID-19 vaccines granted emergency use authorization from the U.S. Food and Drug Administration (FDA) early in the year. Still, the situation remains dynamic, and the extent and duration of its influence on financial markets and the economy is highly uncertain, due in part to a recent spike in cases based on highly contagious variants of the coronavirus.

Extreme events such as the COVID-19 crisis are exogenous shocks that can have significant adverse effects on mutual funds and their investments. Although multiple asset classes may be affected by market disruption, the duration and impact may not be the same for all types of assets. Fidelity is committed to helping you stay informed amid news about COVID-19 and during increased market volatility, and we continue to take extra steps to be responsive to customer needs. We encourage you to visit us online, where we offer ongoing updates, commentary, and analysis on the markets and our funds.

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, 2021

(excluding cash equivalents) % of fund's net assets 
Fidelity SAI U.S. Quality Index Fund 12.0 
Fidelity Growth Company Fund 11.5 
Fidelity Contrafund 7.1 
Fidelity Magellan Fund 5.9 
Fidelity Large Cap Value Enhanced Index Fund 4.5 
Fidelity SAI U.S. Value Index Fund 3.6 
Fidelity SAI U.S. Low Volatility Index Fund 3.5 
Fidelity SAI U.S. Momentum Index Fund 2.6 
Microsoft Corp. 1.9 
Fidelity Extended Market Index Fund 1.4 
 54.0 

Asset Allocation (% of fund's net assets)

As of November 30, 2021 
   Common Stocks 43.3% 
   Preferred Stocks 0.2% 
   Large Blend Funds 4.8% 
   Large Growth Funds 39.6% 
   Large Value Funds 8.1% 
   Mid-Cap Growth Funds 1.4% 
   Small Blend Funds 1.3% 
   Small Growth Funds 0.8% 
   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, 2021 (Unaudited)

Showing Percentage of Net Assets

Common Stocks - 43.3%   
 Shares Value 
COMMUNICATION SERVICES - 3.6%   
Diversified Telecommunication Services - 0.3%   
AT&T, Inc. 1,332,700 $30,425,541 
Cellnex Telecom SA (a) 74,800 4,414,589 
Cogent Communications Group, Inc. 4,400 329,692 
Deutsche Telekom AG 978,800 17,239,299 
Liberty Global PLC Class C (b) 1,164,600 31,024,944 
Verizon Communications, Inc. 2,211,209 111,157,476 
  194,591,541 
Entertainment - 0.4%   
Activision Blizzard, Inc. 594,644 34,846,138 
Cinemark Holdings, Inc. (b)(c) 362,100 5,619,792 
IMAX Corp. (b) 14,690 242,238 
Netflix, Inc. (b) 91,800 58,926,420 
Nihon Falcom Corp. 5,000 59,141 
Nintendo Co. Ltd. ADR 334,483 18,423,324 
Sea Ltd. ADR (b) 100,900 29,066,263 
Take-Two Interactive Software, Inc. (b) 48,598 8,061,436 
The Walt Disney Co. (b) 824,622 119,487,728 
Universal Music Group NV 1,276,883 36,651,740 
Zynga, Inc. (b) 744,700 4,490,541 
  315,874,761 
Interactive Media & Services - 1.7%   
Alphabet, Inc.:   
Class A (b) 227,092 644,475,741 
Class C (b) 54,730 155,927,959 
Dip Corp. 320,000 11,267,307 
Meta Platforms, Inc. Class A (b) 1,032,000 334,842,720 
QuinStreet, Inc. (b) 22,080 338,045 
Snap, Inc. Class A (b) 337,100 16,049,331 
Tongdao Liepin Group (b) 1,265,703 2,480,116 
Ziff Davis, Inc. (b) 6,030 686,636 
ZIGExN Co. Ltd. 1,550,000 4,237,183 
Zoominfo Technologies, Inc. (b) 146,500 9,039,050 
  1,179,344,088 
Media - 1.1%   
Altice U.S.A., Inc. Class A (b) 187,300 2,966,832 
AMC Networks, Inc. Class A (b)(c) 20,000 772,200 
Cogeco Communications, Inc. 20,000 1,528,514 
Comcast Corp. Class A 8,021,401 400,909,622 
Corus Entertainment, Inc. Class B (non-vtg.) 95,400 368,173 
Discovery Communications, Inc.:   
Class A (b) 550,000 12,798,500 
Class C (non-vtg.) (b) 1,350,000 30,658,500 
F@N Communications, Inc. 26,900 96,144 
Fox Corp. Class A 474,333 16,938,431 
Hyundai HCN 486,513 1,706,443 
iHeartMedia, Inc. (b)(c) 1,010,450 19,814,925 
Intage Holdings, Inc. 5,000 77,454 
Interpublic Group of Companies, Inc. 4,340,725 144,068,663 
Magnite, Inc. (b) 393,400 6,935,642 
Meredith Corp. (b) 1,400 82,600 
News Corp. Class A 1,097,800 23,734,436 
Nexstar Broadcasting Group, Inc. Class A 730 109,135 
Nippon Television Network Corp. 70,700 719,290 
Pico Far East Holdings Ltd. 1,000,000 161,580 
Sinclair Broadcast Group, Inc. Class A (c) 50,000 1,166,500 
TechTarget, Inc. (b) 227,550 21,988,157 
Thryv Holdings, Inc. (b) 5,750 224,768 
Trenders, Inc. 150,000 1,089,486 
ViacomCBS, Inc. Class B 550,000 17,022,500 
WOWOW INC. 100,000 1,799,443 
WPP PLC 2,663,100 36,964,137 
  744,702,075 
Wireless Telecommunication Services - 0.1%   
KDDI Corp. 100,000 2,901,518 
Okinawa Cellular Telephone Co. 43,400 1,885,204 
T-Mobile U.S., Inc. (b) 379,875 41,334,199 
  46,120,921 
TOTAL COMMUNICATION SERVICES  2,480,633,386 
CONSUMER DISCRETIONARY - 4.3%   
Auto Components - 0.3%   
Adient PLC (b) 881,700 37,428,165 
Akwel 25,000 567,050 
Aptiv PLC (b) 299,200 47,976,720 
BorgWarner, Inc. 814,903 35,269,002 
Cie Automotive SA 125,000 3,470,346 
Cooper-Standard Holding, Inc. (b) 35,000 808,150 
DaikyoNishikawa Corp. 604,000 2,869,448 
DTR Automotive Corp. 15,029 758,322 
Eagle Industry Co. Ltd. 71,400 647,454 
G-Tekt Corp. 650,000 7,665,325 
Gentex Corp. 64,000 2,203,520 
Hi-Lex Corp. 200,300 2,888,389 
IJTT Co. Ltd. 450,000 2,105,985 
Lear Corp. 275,000 46,142,250 
Linamar Corp. 300,000 17,223,375 
Murakami Corp. 70,000 1,701,155 
Patrick Industries, Inc. 22,450 1,790,837 
Plastic Omnium SA 125,000 3,135,787 
Topre Corp. 350,000 3,378,157 
TPR Co. Ltd. 500,000 6,051,223 
  224,080,660 
Automobiles - 0.4%   
Daimler AG (Germany) 572,800 53,917,836 
General Motors Co. (b) 285,246 16,507,186 
Renault SA (b) 60,000 1,936,589 
Rivian Automotive, Inc. 157,400 18,850,224 
Tesla, Inc. (b) 143,800 164,616,488 
  255,828,323 
Distributors - 0.0%   
Arata Corp. 25,000 851,506 
Harima-Kyowa Co. Ltd. 39,600 600,823 
LKQ Corp. 12,600 704,340 
Yagi & Co. Ltd. 60,045 738,378 
  2,895,047 
Diversified Consumer Services - 0.0%   
Adtalem Global Education, Inc. (b) 51,320 1,522,664 
Heian Ceremony Service Co. Ltd. 175,000 1,334,542 
Laureate Education, Inc. Class A 20,900 209,000 
MegaStudy Co. Ltd. 79,794 856,492 
Multicampus Co. Ltd. 33,128 1,016,368 
Service Corp. International 489,442 32,381,483 
  37,320,549 
Hotels, Restaurants & Leisure - 0.6%   
Bally's Corp. (b) 4,720 180,965 
Betsson AB (B Shares) 200,000 1,112,528 
Booking Holdings, Inc. (b) 56,467 118,685,164 
Caesars Entertainment, Inc. (b) 168,661 15,191,296 
Churchill Downs, Inc. 208,000 46,637,760 
El Pollo Loco Holdings, Inc. (b) 13,970 176,301 
Elior SA (a)(b) 557,345 3,583,922 
Everi Holdings, Inc. (b) 43,310 898,249 
Expedia, Inc. (b) 117,466 18,922,598 
Golden Entertainment, Inc. (b) 4,970 228,173 
Jack in the Box, Inc. 6,180 510,468 
Las Vegas Sands Corp. (b) 1,083,100 38,580,022 
Marriott International, Inc. Class A (b) 541,400 79,888,984 
Marriott Vacations Worldwide Corp. 324,920 49,599,038 
NeoGames SA 5,380 179,262 
Noodles & Co. (b) 23,010 236,773 
Penn National Gaming, Inc. (b) 289,400 14,825,962 
Red Rock Resorts, Inc. 5,370 255,290 
Starbucks Corp. 64,102 7,028,143 
The Restaurant Group PLC (b) 1,271,237 1,347,473 
Tosho Co. Ltd. 5,000 74,048 
  398,142,419 
Household Durables - 0.5%   
Cuckoo Holdings Co. Ltd. 111,735 1,714,017 
ES-Con Japan Ltd. 25,000 165,878 
FJ Next Co. Ltd. 600,000 5,164,772 
GoPro, Inc. Class A (b)(c) 1,146,400 11,464,000 
Gree Electric Appliances, Inc. of Zhuhai (A Shares) 750,013 4,072,789 
Haseko Corp. 25,000 296,930 
Helen of Troy Ltd. (b)(c) 160,900 38,696,450 
Hinokiya Holdings Co. Ltd. 25,000 468,439 
Installed Building Products, Inc. 1,430 184,599 
Lennar Corp. Class A 525,300 55,182,765 
Mohawk Industries, Inc. (b) 207,261 34,792,904 
Open House Co. Ltd. 5,000 284,868 
Portmeirion Group PLC (b) 23,413 211,739 
Pressance Corp. 1,225,100 18,576,736 
PulteGroup, Inc. 1,015,500 50,805,465 
Sony Group Corp. sponsored ADR 103,900 12,660,215 
Taylor Morrison Home Corp. (b) 14,340 445,400 
Tempur Sealy International, Inc. 39,390 1,687,468 
Token Corp. 5,000 395,895 
TopBuild Corp. (b) 1,810 488,320 
TRI Pointe Homes, Inc. (b) 12,860 321,114 
Tupperware Brands Corp. (b) 1,800 28,152 
Whirlpool Corp. 379,752 82,687,200 
  320,796,115 
Internet & Direct Marketing Retail - 0.9%   
Alibaba Group Holding Ltd. sponsored ADR (b) 246,800 31,474,404 
Amazon.com, Inc. (b) 138,000 483,975,660 
Aucfan Co. Ltd. (b) 25,000 124,961 
Chewy, Inc. (b)(c) 34,700 2,368,622 
eBay, Inc. 605,100 40,820,046 
Global-e Online Ltd. (c) 84,700 5,627,468 
Hyundai Home Shopping Network Corp. 4,861 251,435 
Locondo, Inc. 10,000 100,677 
Moneysupermarket.com Group PLC 400,000 1,070,344 
Oisix Ra Daichi, Inc. (b) 5,000 147,742 
Papyless Co. Ltd. 100,000 983,766 
Porch Group, Inc. Class A (b)(c) 617,932 13,001,289 
Syuppin Co. Ltd. 5,000 43,040 
The RealReal, Inc. (b)(c) 762,400 11,870,568 
Vipshop Holdings Ltd. ADR (b) 25,000 244,250 
  592,104,272 
Leisure Products - 0.0%   
Brunswick Corp. 341,182 32,040,402 
Clarus Corp. 4,580 120,866 
  32,161,268 
Multiline Retail - 0.1%   
Big Lots, Inc. (c) 250,000 10,845,000 
Dollar General Corp. 276,900 61,277,970 
Europris ASA (a) 5,000 34,662 
Macy's, Inc. 50,000 1,425,000 
Max Stock Ltd. 250,000 924,031 
Ollie's Bargain Outlet Holdings, Inc. (b)(c) 9,950 615,806 
Ryohin Keikaku Co. Ltd. 10,000 162,339 
  75,284,808 
Specialty Retail - 1.0%   
Academy Sports & Outdoors, Inc. (b) 17,890 798,252 
America's Car Mart, Inc. (b) 1,310 128,563 
American Eagle Outfitters, Inc. (c) 10,390 268,997 
Arcland Sakamoto Co. Ltd. 100,000 1,467,687 
AT-Group Co. Ltd. 225,000 2,641,438 
Auto1 Group SE (a) 173,200 4,871,368 
Bed Bath & Beyond, Inc. (b)(c) 350,000 6,415,500 
Best Buy Co., Inc. 784,000 83,778,240 
Burlington Stores, Inc. (b) 146,600 42,972,858 
Dick's Sporting Goods, Inc. 8,230 967,519 
Dunelm Group PLC 200,000 3,574,906 
Floor & Decor Holdings, Inc. Class A (b) 203,600 26,246,076 
Foot Locker, Inc. 1,100,000 50,204,000 
Genesco, Inc. (b) 25,000 1,580,000 
Hour Glass Ltd. 1,871,200 2,961,996 
JB Hi-Fi Ltd. 5,000 171,761 
JD Sports Fashion PLC 4,375,000 12,969,506 
Kid ASA (a) 25,000 307,920 
Ku Holdings Co. Ltd. 100,000 826,293 
Lithia Motors, Inc. Class A (sub. vtg.) 1,800 524,394 
Lookers PLC (b) 828,728 643,665 
Lowe's Companies, Inc. 383,208 93,728,845 
Mandarake, Inc. 43,600 223,333 
Sally Beauty Holdings, Inc. (b) 1,038,800 20,350,092 
Samse SA 4,000 900,475 
The Children's Place, Inc. (b) 2,930 253,533 
The Container Store Group, Inc. (b) 14,440 167,937 
The Home Depot, Inc. 380,600 152,472,166 
TJX Companies, Inc. 960,400 66,651,760 
Tokatsu Holdings Co. Ltd. 18,700 67,663 
Ulta Beauty, Inc. (b) 168,500 64,695,575 
Urban Outfitters, Inc. (b) 350,000 11,084,500 
  654,916,818 
Textiles, Apparel & Luxury Goods - 0.5%   
Capri Holdings Ltd. (b) 125,000 7,402,500 
Carter's, Inc. 110,000 11,113,300 
Columbia Sportswear Co. 351,500 34,281,795 
Crocs, Inc. (b) 8,360 1,371,207 
Deckers Outdoor Corp. (b) 109,455 44,373,057 
Embry Holdings Ltd. 280,000 36,625 
Fossil Group, Inc. (b) 30,000 358,500 
G-III Apparel Group Ltd. (b) 258,190 7,652,752 
Hagihara Industries, Inc. 25,000 293,272 
Levi Strauss & Co. Class A 1,633,400 41,766,038 
NIKE, Inc. Class B 705,500 119,398,820 
PVH Corp. 207,100 22,114,138 
Rocky Brands, Inc. 12,010 426,715 
Seiren Co. Ltd. 10,000 201,088 
Sitoy Group Holdings Ltd. 2,613,000 177,596 
Skechers U.S.A., Inc. Class A (sub. vtg.) (b) 12,370 555,660 
Steven Madden Ltd. 7,070 335,472 
Tapestry, Inc. 997,200 40,007,664 
Ted Baker PLC (b) 418,192 617,354 
Wolverine World Wide, Inc. 14,070 437,999 
  332,921,552 
TOTAL CONSUMER DISCRETIONARY  2,926,451,831 
CONSUMER STAPLES - 2.5%   
Beverages - 0.4%   
Anheuser-Busch InBev SA NV ADR (c) 20,600 1,147,832 
Britvic PLC 500,000 5,918,277 
Diageo PLC sponsored ADR 174,805 35,515,132 
Keurig Dr. Pepper, Inc. 548,500 18,643,515 
Monster Beverage Corp. (b) 551,600 46,213,048 
Primo Water Corp. 14,400 239,328 
The Coca-Cola Co. 3,633,486 190,576,341 
Yantai Changyu Pioneer Wine Co. Ltd. (B Shares) 690,621 1,223,953 
  299,477,426 
Food & Staples Retailing - 0.7%   
Alimentation Couche-Tard, Inc. Class A (multi-vtg.) 380,000 13,975,028 
Amsterdam Commodities NV (b) 40,700 1,100,865 
Belc Co. Ltd. 15,000 698,014 
BJ's Wholesale Club Holdings, Inc. (b) 14,070 930,731 
Costco Wholesale Corp. 19,600 10,571,848 
Daiichi Co. Ltd. 10,000 76,702 
G-7 Holdings, Inc. 443,600 6,491,037 
Grocery Outlet Holding Corp. (b) 6,900 199,824 
Halows Co. Ltd. 77,768 1,821,134 
Natural Grocers by Vitamin Cottage, Inc. 50,000 643,000 
Nihon Chouzai Co. Ltd. 13,400 150,200 
Ocado Group PLC (b) 30,400 725,929 
OM2 Network Co. Ltd. 70,900 733,870 
Performance Food Group Co. (b) 828,869 33,411,709 
Qol Holdings Co. Ltd. 425,000 5,192,418 
Retail Partners Co. Ltd. 154,400 1,655,530 
Sapporo Clinical Laboratory 15,000 169,992 
Satoh & Co. Ltd. 12,300 162,027 
Sprouts Farmers Market LLC (b)(c) 1,500,000 39,690,000 
Sundrug Co. Ltd. 1,000 26,443 
Sysco Corp. 1,452,955 101,764,968 
U.S. Foods Holding Corp. (b) 2,277,870 71,570,675 
Walgreens Boots Alliance, Inc. 1,325,000 59,360,000 
Walmart, Inc. 959,200 134,892,296 
YAKUODO Holdings Co. Ltd. 85,000 1,607,732 
Yaoko Co. Ltd. 2,000 118,370 
  487,740,342 
Food Products - 0.3%   
Armanino Foods of Distinction 10,000 33,400 
Axyz Co. Ltd. 30,000 832,043 
Bunge Ltd. 273,400 23,668,238 
Darling Ingredients, Inc. (b) 4,140 279,533 
Delsole Corp. 65,000 309,948 
Freshpet, Inc. (b) 175,100 18,914,302 
Ingredion, Inc. 175,000 16,297,750 
Kaneko Seeds Co. Ltd. 88,900 1,060,178 
Lamb Weston Holdings, Inc. 138,450 7,188,324 
LDC SA 10,059 1,079,188 
Lotte Samkang Co. Ltd. 1,500 403,785 
Mondelez International, Inc. 1,355,000 79,863,700 
Origin Enterprises PLC 179,000 705,439 
Pickles Corp. 100,000 1,561,463 
Prima Meat Packers Ltd. 20,000 419,516 
S Foods, Inc. 200,000 5,812,359 
Shinobu Food Products Co. Ltd. 50,000 289,291 
Sunjuice Holdings Co. Ltd. 50,000 643,511 
SunOpta, Inc. (b) 15,510 92,595 
Toyo Sugar Refining Co. Ltd. 39,400 392,832 
Tyson Foods, Inc. Class A 559,700 44,193,912 
Whole Earth Brands, Inc. Class A (b)(c) 54,290 573,302 
  204,614,609 
Household Products - 0.7%   
Central Garden & Pet Co. Class A (non-vtg.) (b) 1,400 60,690 
Colgate-Palmolive Co. 11,200 840,224 
Energizer Holdings, Inc. 5,440 202,314 
Procter & Gamble Co. 2,156,600 311,801,228 
Reckitt Benckiser Group PLC 551,800 44,697,487 
Reynolds Consumer Products, Inc. (c) 5,000 145,900 
Spectrum Brands Holdings, Inc. 556,473 55,702,947 
The Clorox Co. 187,800 30,583,230 
Transaction Co. Ltd. 75,000 641,615 
  444,675,635 
Personal Products - 0.2%   
Estee Lauder Companies, Inc. Class A 249,100 82,718,637 
Hengan International Group Co. Ltd. 1,100,000 5,310,977 
Herbalife Nutrition Ltd. (b) 150,000 5,604,000 
The Beauty Health Co. (c) 500,000 12,980,000 
USANA Health Sciences, Inc. (b) 1,000 99,720 
  106,713,334 
Tobacco - 0.2%   
Altria Group, Inc. 3,425,381 146,058,246 
KT&G Corp. 40,099 2,775,662 
Scandinavian Tobacco Group A/S (a) 32,565 598,384 
Swedish Match Co. AB 981,600 7,170,781 
  156,603,073 
TOTAL CONSUMER STAPLES  1,699,824,419 
ENERGY - 2.1%   
Energy Equipment & Services - 0.1%   
Aspen Aerogels, Inc. (b) 6,740 385,258 
Baker Hughes Co. Class A 130,900 3,055,206 
Cactus, Inc. 5,820 212,430 
Championx Corp. (b) 34,800 710,268 
Halliburton Co. 780,100 16,842,359 
Helix Energy Solutions Group, Inc. (b) 14,230 43,259 
High Arctic Energy Services, Inc. 362,600 425,770 
Liberty Oilfield Services, Inc. Class A (b) 520,709 4,790,523 
Natural Gas Services Group, Inc. (b) 27,390 291,977 
Oceaneering International, Inc. (b) 287,508 3,073,461 
Schlumberger Ltd. 173,000 4,961,640 
Subsea 7 SA 1,121,800 7,875,936 
Weatherford International PLC (b) 102,400 2,944,000 
  45,612,087 
Oil, Gas & Consumable Fuels - 2.0%   
Africa Oil Corp. (b)(c) 3,743,500 5,333,414 
Antero Resources Corp. (b) 356,680 6,263,301 
APA Corp. 710,500 18,309,585 
ARC Resources Ltd. 5,540 48,615 
Baytex Energy Corp. (b)(c) 2,463,500 7,096,700 
Bonterra Energy Corp. (b) 218,300 963,804 
Canadian Natural Resources Ltd. (c) 918,100 37,544,752 
Cenovus Energy, Inc.:   
warrants 1/1/26 (b) 117,180 845,747 
(Canada) 7,410,754 87,946,323 
China Petroleum & Chemical Corp.:   
(H Shares) 31,000,100 13,513,242 
sponsored ADR (H Shares) 9,600 420,000 
Civitas Resources, Inc. (c) 95,065 4,858,772 
Clean Energy Fuels Corp. (b)(c) 18,170 130,279 
CNX Resources Corp. (b)(c) 259,630 3,541,353 
ConocoPhillips Co. 118,400 8,303,392 
Delek U.S. Holdings, Inc. (b) 550,000 8,624,000 
Diamondback Energy, Inc. 382,900 40,866,917 
Enterprise Products Partners LP 400,000 8,556,000 
EQT Corp. (b) 1,400,000 27,202,000 
Exxon Mobil Corp. 8,829,845 528,377,925 
Frontline Ltd. (NY Shares) (b)(c) 10,000 68,500 
Genesis Energy LP 1,011,900 10,210,071 
Harbour Energy PLC (b) 2,730,370 14,278,097 
Headwater Exploration, Inc. (b) 254,000 906,681 
Hess Corp. 1,689,763 125,921,139 
Imperial Oil Ltd. 478,900 15,831,498 
Iwatani Corp. 30,000 1,520,768 
Kosmos Energy Ltd. (b) 6,769,727 24,777,201 
Magnolia Oil & Gas Corp. Class A 2,339,360 44,377,659 
Marathon Oil Corp. 450,000 6,970,500 
MEG Energy Corp. (b) 2,211,425 18,003,695 
Motor Oil (HELLAS) Corinth Refineries SA 111,300 1,691,419 
Murphy Oil Corp. 572,037 15,204,743 
National Energy Services Reunited Corp. (b) 55,430 549,311 
Oil & Natural Gas Corp. Ltd. 17,750,000 33,585,553 
Oil India Ltd. 2,300,000 6,481,957 
Ovintiv, Inc. 12,410 431,372 
Parex Resources, Inc. 1,848,500 29,635,039 
PDC Energy, Inc. 1,340 67,576 
Petronet LNG Ltd. 1,500,000 4,391,145 
Phillips 66 Co. 536,368 37,100,575 
Range Resources Corp. (b) 1,964,330 38,422,295 
Renewable Energy Group, Inc. (b)(c) 5,000 238,900 
Sinopec Kantons Holdings Ltd. 5,064,000 1,844,288 
Southwestern Energy Co. (b) 6,250,084 28,000,376 
Star Petroleum Refining PCL (b) 2,366,800 632,740 
Thai Oil PCL (For. Reg.) 468,100 646,566 
Total SA sponsored ADR 750,000 34,492,500 
Tourmaline Oil Corp. 1,065,000 35,440,252 
Tsakos Energy Navigation Ltd. (c) 10,000 72,700 
Unit Corp. warrants 9/3/27 (b)(c)(d) 55,938 65,468 
Valero Energy Corp. 177,000 11,848,380 
Whiting Petroleum Corp. (b) 220,311 14,251,919 
Whiting Petroleum Corp.:   
warrants 9/1/24 (b) 1,220 12,786 
warrants 9/1/25 (b) 610 6,283 
  1,366,726,073 
TOTAL ENERGY  1,412,338,160 
FINANCIALS - 6.7%   
Banks - 3.1%   
Arrow Financial Corp. 70,000 2,415,000 
Associated Banc-Corp. 2,278,100 49,890,390 
Bancorp, Inc., Delaware (b) 19,530 552,113 
Bank of America Corp. (e) 12,142,473 539,975,774 
Bank OZK 19,510 872,292 
Bank7 Corp. 10,000 229,900 
BankUnited, Inc. 870,848 34,520,415 
Byline Bancorp, Inc. 7,100 184,387 
Camden National Corp. 4,490 205,732 
Chesapeake Financial Shares, Inc. 5,000 147,800 
Citizens Financial Group, Inc. 466,012 22,028,387 
Citizens Financial Services, Inc. 5,010 303,305 
CNB Financial Corp., Pennsylvania (c) 125,000 3,293,750 
Comerica, Inc. 131,500 10,852,695 
Credit Agricole Atlantique Vendee 7,800 796,846 
Cullen/Frost Bankers, Inc. 134,600 16,944,794 
Eagle Bancorp, Inc. (c) 65,000 3,662,750 
East West Bancorp, Inc. 5,000 385,000 
EFG Eurobank Ergasias SA (b) 8,216,400 8,190,715 
Embassy Bancorp, Inc. 5,000 99,000 
Enterprise Bancorp, Inc. 5,000 197,100 
First Foundation, Inc. 47,840 1,216,093 
First Horizon National Corp. 3,066,670 49,465,387 
First Northwest Bancorp 21,710 396,208 
First of Long Island Corp. 49,800 1,043,310 
FNB Corp., Pennsylvania 127,720 1,489,215 
Great Southern Bancorp, Inc. 70,000 3,894,100 
Gunma Bank Ltd. 468,400 1,371,614 
Hanmi Financial Corp. 26,030 584,894 
Hirogin Holdings, Inc. 65,700 361,529 
Independent Bank Corp. 4,820 108,691 
JPMorgan Chase & Co. 1,914,173 304,028,098 
M&T Bank Corp. 627,698 92,026,804 
NIBC Holding NV (a)(c) 15,000 119,081 
Nicolet Bankshares, Inc. (b)(c) 30,000 2,139,300 
Northrim Bancorp, Inc. 10,000 405,500 
Ogaki Kyoritsu Bank Ltd. 51,400 805,320 
Old Second Bancorp, Inc. 3,400 41,990 
Orrstown Financial Services, Inc. 8,200 191,880 
PacWest Bancorp 1,407,539 62,973,295 
Parke Bancorp, Inc. 10,000 205,000 
Piraeus Financial Holdings SA (b) 3,013,900 4,361,450 
Plumas Bancorp 145,000 4,957,550 
PNC Financial Services Group, Inc. 1,129,203 222,452,991 
Professional Holdings Corp. (A Shares) (b)(c) 11,590 220,674 
Sbanken ASA (a) 149,998 1,567,221 
Seven Bank Ltd. 500,000 1,008,537 
Shinsei Bank Ltd. (c) 82,500 1,391,952 
Signature Bank 31,400 9,492,220 
Silvergate Capital Corp. (b) 82,200 16,808,256 
Societe Generale Series A 370,461 11,527,747 
Standard Chartered PLC (United Kingdom) 843,500 4,668,985 
Sterling Bancorp 53,110 1,317,659 
SVB Financial Group (b) 30,700 21,254,531 
Texas Capital Bancshares, Inc. (b) 160,000 9,011,200 
The Bank of NT Butterfield & Son Ltd. 23,770 875,449 
The Bank of Princeton 5,000 149,050 
The Keiyo Bank Ltd. 148,400 554,030 
The San-In Godo Bank Ltd. 142,300 710,021 
Truist Financial Corp. 1,001,842 59,419,249 
U.S. Bancorp 857,740 47,467,332 
UniCredit SpA 606,800 7,326,388 
Union Bankshares, Inc. (c) 30,000 939,000 
United Community Bank, Inc. 18,440 631,939 
Univest Corp. of Pennsylvania 32,230 888,581 
Washington Trust Bancorp, Inc. 190,000 10,222,000 
Wells Fargo & Co. 10,368,117 495,388,630 
West Bancorp., Inc. (c) 25,000 775,750 
Western Alliance Bancorp. 3,770 413,871 
Yamaguchi Financial Group, Inc. 127,800 702,117 
  2,155,119,834 
Capital Markets - 1.2%   
Affiliated Managers Group, Inc. 292,100 49,694,973 
Bank of New York Mellon Corp. 1,652,950 90,565,131 
BlackRock, Inc. Class A 81,975 74,155,405 
BrightSphere Investment Group, Inc. 26,840 806,005 
Cboe Global Markets, Inc. 97,600 12,584,544 
CI Financial Corp. 2,250,000 49,598,810 
CME Group, Inc. 88,500 19,516,020 
Cowen Group, Inc. Class A 11,320 400,502 
Daou Data Corp. 1,000 10,987 
Federated Hermes, Inc. (c) 250,000 8,427,500 
Focus Financial Partners, Inc. Class A (b) 9,100 560,014 
Goldman Sachs Group, Inc. 51,824 19,744,426 
Hennessy Advisors, Inc. (c) 10,000 106,700 
Intercontinental Exchange, Inc. 348,700 45,582,064 
Invesco Ltd. 764,300 17,066,819 
KKR & Co. LP 528,607 39,354,791 
Lazard Ltd. Class A 991,063 42,239,105 
Morgan Stanley 915,443 86,802,305 
Northern Trust Corp. 1,052,266 121,747,176 
Patria Investments Ltd. 27,310 466,455 
Perella Weinberg Partners Class A (c) 18,160 216,467 
Raymond James Financial, Inc. 204,859 20,135,591 
State Street Corp. (e) 1,168,476 103,959,310 
StepStone Group, Inc. Class A 238,299 9,858,430 
Van Lanschot NV (Bearer) 5,800 137,476 
Virtu Financial, Inc. Class A 140,789 3,967,434 
Virtus Investment Partners, Inc. 2,050 609,629 
  818,314,069 
Consumer Finance - 0.6%   
Aeon Credit Service (Asia) Co. Ltd. 5,000,000 3,135,419 
Ally Financial, Inc. 363,900 16,677,537 
American Express Co. 245,217 37,346,549 
Capital One Financial Corp. 420,635 59,111,837 
Discover Financial Services 1,098,948 118,521,542 
First Cash Financial Services, Inc. 442,096 28,223,409 
Navient Corp. 150,000 2,959,500 
OneMain Holdings, Inc. 1,375,359 68,479,125 
Santander Consumer U.S.A. Holdings, Inc. 175,000 7,306,250 
Shriram Transport Finance Co. Ltd. 188,146 3,524,167 
Synchrony Financial 1,250,000 55,987,500 
  401,272,835 
Diversified Financial Services - 0.5%   
Berkshire Hathaway, Inc.:   
Class A (b) 2 833,752 
Class B (b) 1,035,559 286,528,820 
BFF Bank SpA (a) 693,800 5,224,608 
Cannae Holdings, Inc. (b) 8,120 240,108 
Fuyo General Lease Co. Ltd. 100,000 6,352,015 
Jackson Financial, Inc. (c) 1,300,000 41,158,000 
Local Bounti Corp. (f) 364,047 2,152,610 
WeWork, Inc. (b) 209,650 1,821,859 
Zenkoku Hosho Co. Ltd. 100,000 4,388,021 
  348,699,793 
Insurance - 1.0%   
AFLAC, Inc. 1,300,000 70,382,000 
AIA Group Ltd. 272,600 2,869,783 
American International Group, Inc. 479,100 25,200,660 
Arthur J. Gallagher & Co. 165,209 26,912,546 
ASR Nederland NV 150,000 6,418,439 
Assurant, Inc. 234,930 35,732,853 
Axis Capital Holdings Ltd. 14,330 711,914 
BRP Group, Inc. (b)(c) 745,030 27,595,911 
Chubb Ltd. 555,966 99,779,218 
Db Insurance Co. Ltd. 600,000 27,282,408 
Enstar Group Ltd. (b) 1,280 285,568 
Hartford Financial Services Group, Inc. 516,159 34,118,110 
Hyundai Fire & Marine Insurance Co. Ltd. 435,000 8,456,025 
Investors Title Co. 6,000 1,296,000 
Legal & General Group PLC 100,000 374,913 
Marsh & McLennan Companies, Inc. 226,100 37,084,922 
NN Group NV 150,203 7,484,969 
Primerica, Inc. 268,700 39,539,205 
Prudential Financial, Inc. 100,000 10,226,000 
Prudential PLC (b) 155,200 2,621,524 
Qualitas Controladora S.A.B. de CV 49,200 214,835 
Reinsurance Group of America, Inc. 147,750 14,022,953 
Selectquote, Inc. (b)(c) 50,000 450,000 
Sul America SA unit 10,803 47,963 
The Travelers Companies, Inc. 1,160,745 170,571,478 
Willis Towers Watson PLC 242,600 54,788,784 
  704,468,981 
Mortgage Real Estate Investment Trusts - 0.1%   
Hannon Armstrong Sustainable Infrastructure Capital, Inc. 2,670 151,870 
New Residential Investment Corp. 4,340,700 46,141,641 
Redwood Trust, Inc. 26,250 336,525 
  46,630,036 
Thrifts & Mortgage Finance - 0.2%   
ASAX Co. Ltd. 188,500 1,140,656 
Axos Financial, Inc. (b) 55,000 3,113,550 
Bridgewater Bancshares, Inc. (b) 17,010 290,701 
Enact Holdings, Inc. 300,000 6,228,000 
Equitable Group, Inc. 50,000 2,919,097 
Essent Group Ltd. 1,105,750 45,977,085 
Federal Agricultural Mortgage Corp. Class C (non-vtg.) 35,000 4,260,200 
Genworth Mortgage Insurance Ltd. 600,000 958,070 
Greene County Bancorp, Inc. 205,000 6,929,000 
MGIC Investment Corp. 3,196,775 45,074,528 
NMI Holdings, Inc. (b) 44,470 871,612 
Radian Group, Inc. 736,342 14,999,287 
Sangsangin Co. Ltd. (b) 35,000 227,480 
Southern Missouri Bancorp, Inc. 35,000 1,869,350 
  134,858,616 
TOTAL FINANCIALS  4,609,364,164 
HEALTH CARE - 6.2%   
Biotechnology - 0.9%   
89Bio, Inc. (b)(c) 8,550 112,946 
ADC Therapeutics SA (b)(c) 235,800 5,248,908 
Agios Pharmaceuticals, Inc. (b)(c) 134,700 4,798,014 
Akouos, Inc. (b)(c) 420 3,230 
Allakos, Inc. (b) 1,600 125,360 
Alnylam Pharmaceuticals, Inc. (b) 176,100 32,367,180 
Ambrx Biopharma, Inc. ADR 132,050 1,234,668 
Arcutis Biotherapeutics, Inc. (b) 174,120 2,885,168 
Argenx SE ADR (b) 90,910 25,382,981 
Ascendis Pharma A/S sponsored ADR (b) 132,513 18,156,931 
Atara Biotherapeutics, Inc. (b) 280,000 5,009,200 
Aurinia Pharmaceuticals, Inc. (b) 14,750 277,890 
Avid Bioservices, Inc. (b)(c) 321,520 9,825,651 
BioAtla, Inc. 100,230 2,530,808 
BioCryst Pharmaceuticals, Inc. (b)(c) 1,383,500 16,685,010 
Blueprint Medicines Corp. (b) 399,848 38,465,378 
Bolt Biotherapeutics, Inc. 3,600 33,372 
Cell Biotech Co. Ltd. 75,959 1,226,201 
Celldex Therapeutics, Inc. (b) 492,319 18,757,354 
Century Therapeutics, Inc. (c) 166,390 3,179,713 
Cerevel Therapeutics Holdings (b) 6,530 203,671 
Connect Biopharma Holdings Ltd. ADR (c) 400 1,740 
Crinetics Pharmaceuticals, Inc. (b) 153,900 4,204,548 
Cytokinetics, Inc. (b) 244,890 9,633,973 
Erasca, Inc. (c) 336,260 4,764,804 
Essex Bio-Technology Ltd. 700,000 494,614 
Exelixis, Inc. (b) 228,000 3,828,120 
Forma Therapeutics Holdings, Inc. (b)(c) 1,680 24,343 
Fusion Pharmaceuticals, Inc. (b)(c) 450 2,610 
Generation Bio Co. (b)(c) 130,660 2,243,432 
Gilead Sciences, Inc. 325,000 22,402,250 
Global Blood Therapeutics, Inc. (b) 15,370 434,356 
Graphite Bio, Inc. (c) 930 8,389 
Gritstone Bio, Inc. (b) 138,500 1,828,200 
Heron Therapeutics, Inc. (b)(c) 29,900 282,555 
Imago BioSciences, Inc. (c) 115,000 2,572,550 
ImmunoGen, Inc. (b) 3,860,750 23,820,828 
Innovent Biologics, Inc. (a)(b) 1,280,000 11,383,432 
Insmed, Inc. (b)(c) 221,600 6,098,432 
Instil Bio, Inc. (c) 220,190 4,839,776 
Intercept Pharmaceuticals, Inc. (b)(c) 367,582 6,326,086 
Iovance Biotherapeutics, Inc. (b) 7,180 134,410 
Kalvista Pharmaceuticals, Inc. (b) 10,170 147,465 
Kinnate Biopharma, Inc. (c) 230 4,595 
Krystal Biotech, Inc. (b)(c) 234,270 18,870,449 
Kura Oncology, Inc. (b) 8,330 116,287 
Macrogenics, Inc. (b) 9,960 175,296 
Mirati Therapeutics, Inc. (b) 80,850 11,057,855 
Natera, Inc. (b) 376,700 34,452,982 
Nuvalent, Inc. Class A (c) 128,000 2,730,240 
ORIC Pharmaceuticals, Inc. (b) 1,320 18,269 
Poseida Therapeutics, Inc. (b)(c) 2,900 20,155 
Prelude Therapeutics, Inc. (b)(c) 16,180 231,212 
PTC Therapeutics, Inc. (b) 220,920 8,209,387 
RAPT Therapeutics, Inc. (b) 490,790 16,024,294 
Regeneron Pharmaceuticals, Inc. (b) 218,900 139,336,417 
Relay Therapeutics, Inc. (b)(c) 225,380 6,630,680 
Repare Therapeutics, Inc. (b) 100 2,347 
Revolution Medicines, Inc. (b) 10,180 281,579 
Sarepta Therapeutics, Inc. (b) 91,500 7,394,115 
Scholar Rock Holding Corp. (b)(c) 190 5,045 
Shattuck Labs, Inc. (b)(c) 152,300 1,291,504 
Stoke Therapeutics, Inc. (b)(c) 17,010 423,549 
TG Therapeutics, Inc. (b)(c) 317,550 4,826,760 
United Therapeutics Corp. (b) 75,000 14,212,500 
Vaxcyte, Inc. (b) 102,400 2,086,912 
Vertex Pharmaceuticals, Inc. (b) 62,600 11,702,444 
Verve Therapeutics, Inc. 106,600 3,632,928 
Xencor, Inc. (b) 180,000 6,519,600 
Zentalis Pharmaceuticals, Inc. (b)(c) 162,580 13,339,689 
Zymeworks, Inc. (b) 160,000 3,217,600 
  598,801,237 
Health Care Equipment & Supplies - 0.7%   
Abbott Laboratories 50,100 6,301,077 
Axonics Modulation Technologies, Inc. (b)(c) 629,200 34,234,772 
Becton, Dickinson & Co. 69,725 16,534,587 
Boston Scientific Corp. (b) 4,263,709 162,319,402 
Butterfly Network, Inc. Class A (b)(c) 1,244,160 8,771,328 
DexCom, Inc. (b) 10,800 6,075,972 
Envista Holdings Corp. (b) 425,984 16,528,179 
Fukuda Denshi Co. Ltd. 125,000 9,112,222 
Heska Corp. (b) 1,920 309,043 
Hologic, Inc. (b) 210,000 15,693,300 
InBody Co. Ltd. 215,000 4,015,872 
Inogen, Inc. (b) 4,690 143,280 
Insulet Corp. (b) 145,428 41,947,252 
Intuitive Surgical, Inc. (b) 25,800 8,367,972 
iRhythm Technologies, Inc. (b)(c) 1,909 201,590 
Koninklijke Philips Electronics NV (depositary receipt) (NY Reg.) 239,100 8,411,538 
Masimo Corp. (b) 30,000 8,343,600 
Meridian Bioscience, Inc. (b) 30,000 597,300 
Penumbra, Inc. (b) 162,000 39,795,300 
Pulmonx Corp. (b) 60 1,938 
Tandem Diabetes Care, Inc. (b)(c) 384,260 49,385,095 
Value Added Technology Co. Ltd. 150,000 4,158,285 
Vieworks Co. Ltd. 375,000 11,251,458 
ViewRay, Inc. (b) 5,953,910 30,603,097 
  483,103,459 
Health Care Providers & Services - 2.5%   
Acadia Healthcare Co., Inc. (b) 5,690 319,607 
Addus HomeCare Corp. (b)(c) 3,870 337,541 
agilon health, Inc. 360,000 7,920,000 
Alignment Healthcare, Inc. (c) 500,000 8,105,000 
AMN Healthcare Services, Inc. (b) 6,720 766,147 
Anthem, Inc. 385,000 156,398,550 
Cano Health, Inc. (b) 1,000,000 9,340,000 
Cardinal Health, Inc. 569,727 26,338,479 
Centene Corp. (b) 2,771,900 197,941,379 
Cigna Corp. 1,446,055 277,497,955 
Covetrus, Inc. (b) 139,200 2,502,816 
CVS Health Corp. 1,484,038 132,168,424 
Guardant Health, Inc. (b) 49,100 5,161,392 
Hanger, Inc. (b) 11,660 196,704 
HCA Holdings, Inc. 95,000 21,431,050 
Humana, Inc. 405,600 170,234,376 
Laboratory Corp. of America Holdings (b) 50,000 14,266,500 
LHC Group, Inc. (b) 3,740 429,053 
LifeStance Health Group, Inc. (c) 500,000 3,970,000 
McKesson Corp. 340,774 73,866,172 
MEDNAX, Inc. (b) 1,211,850 29,763,036 
Modivcare, Inc. (b) 1,640 224,729 
Oak Street Health, Inc. (b) 185,000 5,725,750 
Option Care Health, Inc. (b) 37,370 945,835 
Owens & Minor, Inc. 40,140 1,605,600 
Progyny, Inc. (b) 651,010 33,051,778 
Quest Diagnostics, Inc. 3,700 550,116 
R1 RCM, Inc. (b) 56,670 1,349,879 
RadNet, Inc. (b) 12,020 324,059 
Rede D'Oregon Sao Luiz SA (a) 800,000 7,139,287 
Sinopharm Group Co. Ltd. (H Shares) 4,000,000 8,689,408 
Surgery Partners, Inc. (b) 190,530 8,451,911 
Tenet Healthcare Corp. (b) 6,670 486,043 
The Ensign Group, Inc. 700 53,431 
Tokai Corp. 150,000 2,586,367 
UnitedHealth Group, Inc. 1,074,030 477,105,607 
Universal Health Services, Inc. Class B 500,000 59,365,000 
  1,746,608,981 
Health Care Technology - 0.1%   
Definitive Healthcare Corp. (c) 60,000 1,758,600 
Doximity, Inc. 65,000 4,397,250 
Evolent Health, Inc. (b) 197,030 5,122,780 
GPI SpA (c) 10,000 154,805 
Health Catalyst, Inc. (b)(c) 2,200 95,458 
Inspire Medical Systems, Inc. (b) 460 102,704 
Omnicell, Inc. (b)(c) 5,330 943,410 
Phreesia, Inc. (b)(c) 676,630 39,028,018 
  51,603,025 
Life Sciences Tools & Services - 0.6%   
Avantor, Inc. (b) 1,642,500 64,845,900 
Bio-Rad Laboratories, Inc. Class A (b) 40,800 30,730,560 
Bruker Corp. (c) 737,530 59,732,555 
Charles River Laboratories International, Inc. (b) 47,000 17,195,890 
Danaher Corp. 359,800 115,726,072 
ICON PLC (b) 5,200 1,406,444 
Lonza Group AG 24,000 19,423,779 
Quanterix Corp. (b) 4,650 185,861 
Sartorius Stedim Biotech 28,000 16,556,953 
Seer, Inc. 80 1,785 
Syneos Health, Inc. (b) 9,970 968,685 
Thermo Fisher Scientific, Inc. 108,500 68,662,055 
  395,436,539 
Pharmaceuticals - 1.4%   
Antares Pharma, Inc. (b) 45,470 146,868 
Arvinas Holding Co. LLC (b) 634,990 48,011,594 
AstraZeneca PLC:   
(United Kingdom) 228,000 24,996,745 
sponsored ADR 1,305,920 71,603,594 
Bayer AG 1,013,308 51,162,055 
Bristol-Myers Squibb Co. 4,237,561 227,260,396 
Dai Han Pharmaceutical Co. Ltd. 25,000 552,536 
Daito Pharmaceutical Co. Ltd. 90,600 2,277,123 
Dawnrays Pharmaceutical Holdings Ltd. 8,622,000 1,879,636 
Eli Lilly & Co. 434,800 107,847,792 
Faes Farma SA 100,000 374,707 
Fuji Pharma Co. Ltd. 5,000 47,773 
Genomma Lab Internacional SA de CV 1,000,000 837,123 
GlaxoSmithKline PLC sponsored ADR (c) 1,801,859 74,092,442 
Humedix Co. Ltd. 10,000 196,927 
Huons Co. Ltd. 10,000 384,557 
Jazz Pharmaceuticals PLC (b) 125,000 14,983,750 
Johnson & Johnson 484,389 75,530,777 
Kaken Pharmaceutical Co. Ltd. 2,000 71,571 
Nektar Therapeutics (b) 252,430 2,842,362 
Nippon Chemiphar Co. Ltd. 40,100 724,060 
Pliant Therapeutics, Inc. (b)(c) 180,200 2,555,236 
Reata Pharmaceuticals, Inc. (b)(c) 241,840 20,701,504 
Roche Holding AG (participation certificate) 312,146 121,865,029 
Royalty Pharma PLC 560,000 22,271,200 
Sanofi SA sponsored ADR 1,628,250 77,455,853 
UCB SA 71,000 7,741,299 
Viatris, Inc. 63,300 779,223 
  959,193,732 
TOTAL HEALTH CARE  4,234,746,973 
INDUSTRIALS - 5.2%   
Aerospace & Defense - 0.7%   
AerSale Corp. (c) 3,390 61,325 
Airbus Group NV (b) 456,498 50,954,313 
General Dynamics Corp. 78,927 14,914,835 
HEICO Corp. Class A 374,646 46,531,033 
Huntington Ingalls Industries, Inc. 60,931 10,815,862 
Kratos Defense & Security Solutions, Inc. (b) 15,000 295,650 
L3Harris Technologies, Inc. 242,200 50,639,176 
Lockheed Martin Corp. 122,000 40,665,040 
Magellan Aerospace Corp. 50,000 369,095 
Maxar Technologies, Inc. (c) 29,500 812,135 
Mercury Systems, Inc. (b) 5,370 262,862 
MTU Aero Engines AG 27,400 5,125,712 
Northrop Grumman Corp. 240,100 83,746,880 
Raytheon Technologies Corp. 79,568 6,438,643 
Rolls-Royce Holdings PLC (b) 6,547,000 10,680,422 
Safran SA 31,700 3,540,692 
The Boeing Co. (b) 730,597 144,548,616 
Triumph Group, Inc. (b) 32,150 538,834 
Vectrus, Inc. (b) 85,800 3,589,872 
  474,530,997 
Air Freight & Logistics - 0.3%   
Air Transport Services Group, Inc. (b) 899,100 22,198,779 
Deutsche Post AG 502,100 29,707,247 
FedEx Corp. 134,383 30,957,812 
Onelogix Group Ltd. (b) 574,686 91,585 
Sinotrans Ltd. (H Shares) 1,000,000 320,595 
United Parcel Service, Inc. Class B 617,660 122,525,214 
  205,801,232 
Airlines - 0.1%   
Copa Holdings SA Class A (b)(c) 17,300 1,209,616 
Delta Air Lines, Inc. (b) 635,400 23,001,480 
Hawaiian Holdings, Inc. (b)(c) 50,000 914,000 
JetBlue Airways Corp. (b) 1,956,400 26,254,888 
Ryanair Holdings PLC sponsored ADR (b) 49,500 4,729,725 
SkyWest, Inc. (b) 5,300 207,601 
Spirit Airlines, Inc. (b) 4,490 93,886 
  56,411,196 
Building Products - 0.5%   
Builders FirstSource, Inc. (b) 598,080 41,530,675 
Carlisle Companies, Inc. 242,740 54,665,048 
Fortune Brands Home & Security, Inc. 1,207,429 121,382,837 
Johnson Controls International PLC 139,493 10,428,497 
KVK Corp. 10,000 171,717 
Nihon Dengi Co. Ltd. 171,800 5,851,550 
Nihon Flush Co. Ltd. 350,078 3,298,386 
Trane Technologies PLC 690,500 128,881,825 
UFP Industries, Inc. 2,090 174,055 
  366,384,590 
Commercial Services & Supplies - 0.0%   
ACV Auctions, Inc. Class A (b)(c) 545,700 11,557,926 
Casella Waste Systems, Inc. Class A (b) 4,040 342,511 
CoreCivic, Inc. (b) 200,000 2,154,000 
CTS Co. Ltd. 5,000 34,458 
Millerknoll, Inc. 4,340 164,660 
Tetra Tech, Inc. 2,070 382,288 
The Brink's Co. 19,250 1,177,330 
VSE Corp. 20,054 1,097,756 
  16,910,929 
Construction & Engineering - 0.1%   
API Group Corp. (b) 4,090 95,338 
Boustead Projs. Pte Ltd. 2,180,500 1,589,973 
Br Holding Corp. 50,000 156,146 
Dai-Ichi Cutter Kogyo KK 25,000 280,665 
Dycom Industries, Inc. (b) 7,170 670,252 
IES Holdings, Inc. (b) 340 16,317 
Kawasaki Setsubi Kogyo Co. Ltd. 35,000 124,165 
Meisei Industrial Co. Ltd. 700,000 4,037,687 
Primoris Services Corp. 325,000 7,286,500 
Raiznext Corp. 550,800 5,462,439 
Seikitokyu Kogyo Co. Ltd. 200,000 1,457,956 
Shinnihon Corp. 25,000 164,772 
Totetsu Kogyo Co. Ltd. 350,000 7,038,086 
Watanabe Sato Co. Ltd. 20,000 552,926 
Willscot Mobile Mini Holdings (b) 1,248,000 47,536,320 
  76,469,542 
Electrical Equipment - 0.6%   
Acuity Brands, Inc. 147,752 29,749,865 
Aichi Electric Co. Ltd. 231,450 5,649,317 
AMETEK, Inc. 806,900 110,141,850 
AQ Group AB (b) 1,000 31,723 
Array Technologies, Inc. (b) 1,088,162 19,603,238 
Atkore, Inc. (b) 11,650 1,240,725 
BizLink Holding, Inc. 50,000 465,623 
Emerson Electric Co. 682,500 59,950,800 
FTC Solar, Inc. 290,900 2,490,104 
Hubbell, Inc. Class B 78,060 15,276,342 
Iwabuchi Corp. 8,700 422,551 
Plug Power, Inc. (b)(c) 219,600 8,751,060 
Regal Rexnord Corp. 264,200 41,770,020 
Shoals Technologies Group, Inc. (c) 227,450 6,391,345 
Sunrun, Inc. (b) 1,533,910 70,621,216 
Terasaki Electric Co. Ltd. 33,600 328,762 
Vertiv Holdings Co. 1,098,234 28,158,720 
Vertiv Holdings LLC (b)(f) 600,000 15,384,000 
  416,427,261 
Industrial Conglomerates - 0.9%   
3M Co. 99,403 16,902,486 
General Electric Co. 4,367,845 414,901,597 
Hitachi Ltd. 507,800 29,745,995 
Reunert Ltd. 56,900 172,467 
Roper Technologies, Inc. 217,700 101,045,455 
Siemens AG 432,200 68,899,448 
  631,667,448 
Machinery - 1.1%   
AGCO Corp. 364,100 40,127,461 
Caterpillar, Inc. 364,500 70,476,075 
Chart Industries, Inc. (b) 244,720 42,715,876 
Clean & Science Co. Ltd. 5,000 78,602 
Colfax Corp. (b) 987,700 45,868,788 
Columbus McKinnon Corp. (NY Shares) 19,670 873,741 
Crane Co. 12,870 1,242,470 
Cummins, Inc. 28,942 6,070,585 
Danieli & C. Officine Meccaniche SpA (c) 25,000 710,230 
Ebara Jitsugyo Co. Ltd. 50,000 1,110,276 
Epiroc AB (A Shares) 27,600 671,670 
Estic Corp. 14,900 715,769 
Flowserve Corp. 1,710,431 51,278,721 
Fortive Corp. 1,352,924 99,940,496 
Fukushima Industries Corp. 10,000 369,797 
Haitian International Holdings Ltd. 900,000 2,469,864 
Hy-Lok Corp. 14,316 185,729 
IDEX Corp. 181,727 40,814,067 
ITT, Inc. 1,014,780 95,977,892 
John Bean Technologies Corp. (c) 1,080 170,392 
Kito Corp. 10,000 155,173 
Koike Sanso Kogyo Co. Ltd. 2,200 42,235 
Mitsui Engineering & Shipbuilding Co. (b) 2,105,800 6,994,729 
Nakanishi Manufacturing Co. Ltd. 30,000 303,623 
Nansin Co. Ltd. 32,900 163,576 
Oshkosh Corp. 644,000 69,294,400 
Otis Worldwide Corp. 612,254 49,225,222 
PACCAR, Inc. 39,000 3,253,380 
Park-Ohio Holdings Corp. 50,000 1,055,500 
Pentair PLC 642,700 47,360,563 
Sakura Rubber Co. Ltd. 20,800 654,169 
Semperit AG Holding 25,000 738,583 
Shinwa Co. Ltd. 50,000 858,141 
Stanley Black & Decker, Inc. 235,132 41,091,668 
Takamatsu Machinery Co. Ltd. 25,000 156,589 
The Hanshin Diesel Works Ltd. 4,500 68,395 
Trinity Industrial Corp. 10,000 72,632 
Westinghouse Air Brake Tech Co. 177,614 15,766,795 
Yamada Corp. 25,000 519,972 
  739,643,846 
Marine - 0.0%   
Genco Shipping & Trading Ltd. 295,300 4,550,573 
Japan Transcity Corp. 280,300 1,373,789 
  5,924,362 
Professional Services - 0.2%   
ABIST Co. Ltd. 57,385 1,397,628 
Altech Corp. 125,000 2,067,944 
Artner Co. Ltd. 10,000 72,986 
ASGN, Inc. (b) 21,110 2,568,665 
Bertrandt AG 55,000 3,661,442 
Career Design Center Co. Ltd. 152,800 1,304,481 
CBIZ, Inc. (b) 2,250 81,068 
Clarivate Analytics PLC (b) 2,339,900 54,613,266 
CRA International, Inc. 17,240 1,587,287 
Creek & River Co. Ltd. 45,000 795,815 
Dun & Bradstreet Holdings, Inc. (b) 531,300 10,094,700 
Equifax, Inc. 32,000 8,916,800 
Gakujo Co. Ltd. 268,800 2,565,888 
ICF International, Inc. 7,990 772,953 
Insperity, Inc. 7,150 827,541 
KBR, Inc. 9,360 411,840 
Kforce, Inc. 17,040 1,305,775 
Mastech Digital, Inc. (b) 30,000 529,500 
McMillan Shakespeare Ltd. 46,017 410,696 
Outsourcing, Inc. 125,000 1,663,202 
Quick Co. Ltd. 325,900 4,045,098 
SaraminHR Co. Ltd. 112,438 3,658,668 
SHL-JAPAN Ltd. 51,600 1,081,895 
TriNet Group, Inc. (b) 5,390 540,617 
Upwork, Inc. (b) 2,390 89,051 
WDB Holdings Co. Ltd. 60,000 1,658,778 
Will Group, Inc. 250,000 3,007,918 
Willdan Group, Inc. (b)(c) 880 35,209 
World Holdings Co. Ltd. 150,000 3,356,040 
  113,122,751 
Road & Rail - 0.5%   
Autohellas SA 51,600 505,609 
CSX Corp. 3,217,500 111,518,550 
Daqin Railway Co. Ltd. (A Shares) 2,952,141 2,824,904 
Hertz Global Holdings, Inc. (c) 4,300 103,888 
Knight-Swift Transportation Holdings, Inc. Class A 691,985 39,616,141 
Landstar System, Inc. 161,420 27,207,341 
Lyft, Inc. (b) 247,183 10,038,102 
Meitetsu Transport Co. Ltd. 32,200 664,311 
NANSO Transport Co. Ltd. 90,000 863,892 
Nikkon Holdings Co. Ltd. 150,000 2,631,486 
Old Dominion Freight Lines, Inc. 339,300 120,509,181 
Patriot Transportation Holding, Inc. 10,000 97,200 
Ryder System, Inc. 27,864 2,314,941 
Sakai Moving Service Co. Ltd. 10,000 371,124 
SENKO Co. Ltd. 5,000 40,961 
Stef SA 118,234 13,945,275 
Tohbu Network Co. Ltd. 42,500 341,399 
Uber Technologies, Inc. (b) 855,100 32,493,800 
  366,088,105 
Trading Companies & Distributors - 0.2%   
AerCap Holdings NV (b) 50,000 2,802,000 
Air Lease Corp. Class A 653,500 26,525,565 
Alconix Corp. 2,500 25,988 
Applied Industrial Technologies, Inc. 9,260 880,070 
Beacon Roofing Supply, Inc. (b) 12,720 634,855 
Beijer Ref AB (B Shares) 86,700 1,721,402 
Canox Corp. 81,539 908,914 
Daiichi Jitsugyo Co. Ltd. 5,900 255,240 
Green Cross Co. Ltd. 81,100 672,993 
Itochu Corp. 1,850,200 52,912,238 
Kamei Corp. 300,000 2,632,813 
Mitani Shoji Co. Ltd. 226,400 3,487,083 
Mitsubishi Corp. 400,000 11,893,783 
Narasaki Sangyo Co. Ltd. 25,000 468,881 
Nishikawa Keisoku Co. Ltd. 15,000 627,682 
Rasa Corp. (b) 25,000 189,543 
Sam Yung Trading Co. Ltd. 7,856 92,956 
Shinsho Corp. 274,300 7,631,915 
Totech Corp. 50,000 1,028,443 
Triton International Ltd. 5,000 279,850 
Univar, Inc. (b) 5,060 131,105 
  115,803,319 
Transportation Infrastructure - 0.0%   
Isewan Terminal Service Co. Ltd. 200,400 1,230,394 
Meiko Transportation Co. Ltd. 25,000 235,104 
Qingdao Port International Co. Ltd. (H Shares) (a) 4,884,814 2,443,033 
  3,908,531 
TOTAL INDUSTRIALS  3,589,094,109 
INFORMATION TECHNOLOGY - 8.5%   
Communications Equipment - 0.2%   
AudioCodes Ltd. 6,110 211,773 
Cisco Systems, Inc. 2,271,000 124,541,640 
Lumentum Holdings, Inc. (b) 4,590 398,274 
  125,151,687 
Electronic Equipment & Components - 0.6%   
Advanced Energy Industries, Inc. 1,850 162,227 
Ai Holdings Corp. 5,000 85,726 
Avnet, Inc. 795,500 28,852,785 
CDW Corp. 42,800 8,104,608 
Cognex Corp. 344,700 26,628,075 
Daido Signal Co. Ltd. 155,000 821,383 
Daiwabo Holdings Co. Ltd. 250,000 4,000,973 
Elematec Corp. 177,000 1,579,980 
Flex Ltd. (b) 3,124,613 53,430,882 
FLEXium Interconnect, Inc. 101,316 375,900 
Hagiwara Electric Holdings Co. Ltd. 60,080 1,058,781 
Hon Hai Precision Industry Co. Ltd. (Foxconn) 600,000 2,236,235 
II-VI, Inc. (b)(c) 16,760 1,048,003 
Insight Enterprises, Inc. (b) 91,848 9,058,050 
Jabil, Inc. 1,866,597 109,121,261 
Kingboard Chemical Holdings Ltd. 1,550,000 7,771,865 
Kitron ASA 250,000 531,259 
Makus, Inc. (g) 1,300,684 7,970,012 
Methode Electronics, Inc. Class A 210,000 9,338,700 
Mirion Technologies, Inc. (f) 1,430,613 15,250,335 
New Cosmos Electric Co. Ltd. 20,000 362,720 
PAX Global Technology Ltd. 11,000,000 8,562,452 
Redington (India) Ltd. 1,034,288 2,025,194 
Riken Kieki Co. Ltd. 110,000 5,225,815 
ScanSource, Inc. (b) 119,631 3,738,469 
TD SYNNEX Corp. 5,000 517,300 
TE Connectivity Ltd. 561,800 86,477,874 
Thinking Electronic Industries Co. Ltd. 700,000 3,792,240 
TTM Technologies, Inc. (b) 56,920 784,358 
Vontier Corp. 497,829 15,686,592 
  414,600,054 
IT Services - 1.3%   
Amadeus IT Holding SA Class A (b) 234,000 14,981,992 
Amdocs Ltd. 673,500 47,023,770 
Asahi Intelligence Service Co. 35,000 377,140 
Avant Corp. 300,000 3,559,075 
Capgemini SA 159,100 36,826,847 
CDS Co. Ltd. 10,000 144,911 
Cielo SA 625,000 230,129 
Cognizant Technology Solutions Corp. Class A 1,045,600 81,535,888 
CSE Global Ltd. 1,349,925 479,802 
Cyxtera Technologies, Inc. Class A (b) 50,160 497,086 
Data Applications Co. Ltd. 20,000 297,253 
DTS Corp. 275,000 5,758,615 
DXC Technology Co. (b) 200,000 5,998,000 
E-Credible Co. Ltd. 127,100 2,073,252 
E-Guardian, Inc. 10,000 308,312 
Edenred SA 401,159 17,979,799 
Enea Data AB (b) 67,600 1,927,037 
Euronet Worldwide, Inc. (b) 1,730 175,370 
ExlService Holdings, Inc. (b) 5,290 687,012 
FDM Group Holdings PLC 5,000 74,610 
Fidelity National Information Services, Inc. 379,947 39,704,462 
Fiserv, Inc. (b) 656,500 63,365,380 
Future Corp. 35,000 1,255,585 
Gartner, Inc. (b) 63,100 19,702,975 
Genpact Ltd. 250,508 12,092,021 
Global Payments, Inc. 131,632 15,669,473 
GoDaddy, Inc. (b) 526,200 36,923,454 
IBM Corp. 58,082 6,801,402 
IFIS Japan Ltd. 30,000 171,451 
Information Planning Co. 5,000 128,323 
Kgmobilians Co. Ltd. 5,000 35,878 
Korea Information & Communication Co. Ltd. (b) 250,407 1,801,048 
MasterCard, Inc. Class A 374,786 118,027,607 
Maximus, Inc. 6,670 503,252 
MongoDB, Inc. Class A (b) 90,300 44,978,430 
Nice Information & Telecom, Inc. 6,500 149,703 
Payoneer Global, Inc. 219,400 1,700,350 
PayPal Holdings, Inc. (b) 347,538 64,256,301 
Sabre Corp. (b)(c) 1,533,800 11,549,514 
Shift4 Payments, Inc. (b) 31,900 1,659,438 
Snowflake Computing, Inc. (b) 6,000 2,040,900 
Softcreate Co. Ltd. 5,000 193,966 
Sysage Technology Co. Ltd. 50,000 68,475 
TaskUs, Inc. (c) 70,950 3,160,823 
TDC Soft, Inc. 250,000 2,638,563 
Techmatrix Corp. 1,000 17,296 
The Western Union Co. 50,000 791,000 
Twilio, Inc. Class A (b) 49,100 14,049,965 
Unisys Corp. (b) 561,603 10,198,710 
Verra Mobility Corp. (b) 62,870 904,699 
Visa, Inc. Class A (c) 951,874 184,444,625 
WEX, Inc. (b) 214,800 27,155,016 
Wix.com Ltd. (b) 14,900 2,276,720 
WNS Holdings Ltd. sponsored ADR (b) 19,620 1,649,453 
  911,002,158 
Semiconductors & Semiconductor Equipment - 1.4%   
Advanced Micro Devices, Inc. (b) 48,995 7,759,338 
Analog Devices, Inc. 60,726 10,945,862 
Applied Materials, Inc. 414,818 61,057,061 
Cirrus Logic, Inc. (b) 219,780 17,621,960 
indie Semiconductor, Inc. (c) 182,200 2,501,606 
Intel Corp. 583,322 28,699,442 
Lam Research Corp. 51,100 34,740,335 
MACOM Technology Solutions Holdings, Inc. (b) 4,950 355,955 
Marvell Technology, Inc. 538,011 38,290,243 
Microchip Technology, Inc. 555,300 46,328,679 
Micron Technology, Inc. 331,050 27,808,200 
Nova Ltd. (b)(c) 2,130 273,812 
NVIDIA Corp. 777,236 253,969,635 
NXP Semiconductors NV 445,942 99,605,605 
ON Semiconductor Corp. (b) 972,511 59,741,351 
Qualcomm, Inc. 777,775 140,435,054 
Renesas Electronics Corp. (b) 776,700 9,759,492 
Semtech Corp. (b) 80,490 6,895,578 
Sitronix Technology Corp. 100,000 1,013,962 
SMART Global Holdings, Inc. (b)(c) 6,160 351,243 
SolarEdge Technologies, Inc. (b) 99,300 32,546,568 
Synaptics, Inc. (b) 1,050 296,352 
Systems Technology, Inc. 100,000 1,512,872 
Teradyne, Inc. 45,500 6,955,585 
Topco Scientific Co. Ltd. 953,000 5,021,195 
Universal Display Corp. 13,000 1,859,650 
Xilinx, Inc. 83,471 19,068,950 
  915,415,585 
Software - 3.5%   
8x8, Inc. (b) 10,500 226,275 
Adobe, Inc. (b) 156,300 104,697,555 
Altair Engineering, Inc. Class A (b) 1,530 113,909 
Anaplan, Inc. (b) 1,109,700 47,506,257 
Asiainfo Technologies Ltd. (a) 400,000 663,760 
Autodesk, Inc. (b) 118,728 30,179,470 
Avalara, Inc. (b) 23,000 3,212,640 
AvidXchange Holdings, Inc. 153,700 3,283,032 
Blackbaud, Inc. (b)(c) 479,033 36,147,830 
Braze, Inc. 28,300 2,156,460 
CCC Intelligent Solutions Holdings, Inc. (f) 134,385 1,726,847 
Cerence, Inc. (b)(c) 4,130 310,493 
Ceridian HCM Holding, Inc. (b) 458,600 50,170,840 
Check Point Software Technologies Ltd. (b) 10,000 1,113,100 
Cognyte Software Ltd. 617,319 12,574,788 
Confluent, Inc. 23,700 1,849,074 
Coupa Software, Inc. (b) 56,000 11,012,960 
Cresco Ltd. 450,800 7,657,239 
DoubleVerify Holdings, Inc. 101,700 3,140,496 
Dynatrace, Inc. (b) 162,602 10,219,536 
Ebix, Inc. (c) 41,900 1,280,464 
Elastic NV (b) 401,186 62,368,376 
Encourage Technologies Co. Ltd. 25,000 135,135 
Envestnet, Inc. (b) 100 7,667 
Everbridge, Inc. (b) 71,100 8,064,162 
GitLab, Inc. 55,600 5,367,624 
HubSpot, Inc. (b) 2,100 1,694,511 
Intuit, Inc. 79,900 52,118,770 
Lightspeed Commerce, Inc. (b)(c) 95,400 4,816,746 
LivePerson, Inc. (b)(c) 267,030 10,323,380 
Mandiant, Inc. (b) 190,200 3,227,694 
Microsoft Corp. 3,978,502 1,315,252,976 
Model N, Inc. (b) 1,200 33,720 
Momentive Global, Inc. (b) 1,751,861 35,790,520 
NCR Corp. (b) 5,460 212,394 
New Relic, Inc. (b) 11,620 1,287,845 
NortonLifeLock, Inc. 3,552,200 88,272,170 
Ping Identity Holding Corp. (b) 2,810 66,906 
PTC, Inc. (b) 445,643 48,833,560 
Qualtrics International, Inc. 220,500 7,135,380 
Qualys, Inc. (b) 2,380 310,090 
Rapid7, Inc. (b) 9,530 1,182,292 
Rimini Street, Inc. (b) 1,130,425 7,472,109 
SailPoint Technologies Holding, Inc. (b) 19,920 1,047,593 
Salesforce.com, Inc. (b) 447,070 127,397,067 
SAP SE sponsored ADR (c) 426,255 54,748,192 
Scala, Inc. 25,000 134,472 
ServiceNow, Inc. (b) 39,200 25,389,840 
Sinosoft Tech Group Ltd. 23,000,000 2,625,032 
System Information Co. Ltd. 75,000 583,890 
System Research Co. Ltd. 186,400 3,011,159 
Telos Corp. 183,360 2,887,920 
Tenable Holdings, Inc. (b) 919,008 45,398,995 
Toho System Science Co. Ltd. 12,100 106,083 
UiPath, Inc. Class A (b) 91,200 4,400,400 
Varonis Systems, Inc. (b) 11,820 612,394 
Verint Systems, Inc. (b)(c) 47,997 2,284,177 
VMware, Inc. Class A (b) 220,313 25,719,340 
Vonage Holdings Corp. (b) 15,370 316,929 
Workday, Inc. Class A (b) 138,723 38,042,008 
Workiva, Inc. (b) 161,300 22,496,511 
Yext, Inc. (b) 1,348,462 13,026,143 
Zendesk, Inc. (b) 387,600 39,577,836 
Zuora, Inc. (b) 39,100 774,571 
  2,393,797,604 
Technology Hardware, Storage & Peripherals - 1.5%   
ABKO Co. Ltd. 1,000 10,692 
Apple, Inc. 5,717,357 945,079,112 
Avid Technology, Inc. (b) 6,040 193,642 
Dell Technologies, Inc. (b) 500,000 28,235,000 
Elecom Co. Ltd. 115,000 1,348,034 
HP, Inc. 496,098 17,502,337 
MCJ Co. Ltd. 2,200,000 19,190,516 
Pure Storage, Inc. Class A (b) 17,700 548,169 
Samsung Electronics Co. Ltd. 101,720 6,129,782 
TSC Auto ID Technology Corp. 193,000 1,402,266 
Western Digital Corp. (b) 429,621 24,849,279 
  1,044,488,829 
TOTAL INFORMATION TECHNOLOGY  5,804,455,917 
MATERIALS - 1.4%   
Chemicals - 0.6%   
Ashland Global Holdings, Inc. 5,820 588,227 
C. Uyemura & Co. Ltd. 150,000 6,568,762 
CF Industries Holdings, Inc. 818,728 49,606,730 
Ciner Resources LP 25,000 442,750 
DuPont de Nemours, Inc. 1,301,175 96,234,903 
EcoGreen International Group Ltd. 300,000 63,093 
Element Solutions, Inc. 1,280,820 29,292,353 
International Flavors & Fragrances, Inc. 242,021 34,408,126 
Isamu Paint Co. Ltd. 5,000 158,800 
K+S AG 200,000 3,407,971 
KPX Holdings Corp. 7,154 377,901 
Linde PLC 266,000 84,625,240 
Livent Corp. (b) 64,700 1,959,763 
LyondellBasell Industries NV Class A 275,000 23,960,750 
Olin Corp. 913,460 49,646,551 
PPG Industries, Inc. 55,748 8,594,669 
Quaker Houghton (c) 1,380 314,433 
Scientex Bhd 1,771,200 1,896,585 
Scientex Bhd warrants 1/14/26 (b) 118,080 33,155 
SK Kaken Co. Ltd. 5,000 1,643,296 
Toho Acetylene Co. Ltd. 125,000 1,320,387 
Tokuyama Corp. 14,280 223,416 
Tronox Holdings PLC 21,810 479,602 
Yara International ASA 50,300 2,478,142 
Yip's Chemical Holdings Ltd. 450,000 229,097 
  398,554,702 
Construction Materials - 0.2%   
Eagle Materials, Inc. 4,210 649,266 
Kunimine Industries Co. Ltd. 5,000 44,853 
Summit Materials, Inc. (b) 2,052,470 76,557,131 
Vertex Corp. 20,000 530,455 
Vicat SA 2,000 77,459 
Vulcan Materials Co. 224,000 42,927,360 
  120,786,524 
Containers & Packaging - 0.0%   
Crown Holdings, Inc. 214,630 22,707,854 
Mayr-Melnhof Karton AG 11,200 2,179,649 
O-I Glass, Inc. (b) 38,260 423,538 
Silgan Holdings, Inc. 30,000 1,244,100 
Vidrala SA 250 23,674 
Vidrala SA 5,000 473,487 
  27,052,302 
Metals & Mining - 0.5%   
Anglo American PLC (United Kingdom) 329,948 12,145,335 
Arconic Corp. (b) 16,220 433,398 
Chubu Steel Plate Co. Ltd. 169,800 1,273,857 
CI Resources Ltd. 136,202 124,277 
CK-SAN-ETSU Co. Ltd. 55,000 1,632,459 
Commercial Metals Co. 1,010,550 31,225,995 
Compania de Minas Buenaventura SA sponsored ADR (b) 168,400 1,231,004 
Daiki Aluminum Industry Co. Ltd. 10,000 129,340 
First Quantum Minerals Ltd. 1,004,200 21,405,430 
Freeport-McMoRan, Inc. 4,009,912 148,687,537 
Fresnillo PLC 10,000 120,759 
Glencore Xstrata PLC 2,097,100 9,956,604 
Labrador Iron Ore Royalty Corp. 4,700 133,445 
Lundin Mining Corp. 6,307,100 49,520,696 
Mount Gibson Iron Ltd. 23,500,000 6,114,471 
Newmont Corp. 954,600 52,426,632 
Pacific Metals Co. Ltd. 58,300 1,036,698 
Perenti Global Ltd. 3,500,411 2,046,120 
Rio Tinto PLC sponsored ADR (c) 100,000 6,269,000 
Sandfire Resources NL 900,000 3,855,806 
St Barbara Ltd. 681,138 655,491 
Teck Resources Ltd. Class B (sub. vtg.) 300,000 7,956,476 
  358,380,830 
Paper & Forest Products - 0.1%   
Louisiana-Pacific Corp. 375,300 24,525,855 
Stella-Jones, Inc. 99,000 3,101,476 
  27,627,331 
TOTAL MATERIALS  932,401,689 
REAL ESTATE - 1.3%   
Equity Real Estate Investment Trusts (REITs) - 0.9%   
Alexandria Real Estate Equities, Inc. 78,700 15,745,509 
American Tower Corp. 509,599 133,759,546 
Americold Realty Trust 7,660 250,022 
Armada Hoffler Properties, Inc. 21,810 304,250 
CoreSite Realty Corp. 195,350 33,414,618 
Corporate Office Properties Trust (SBI) 118,310 3,035,835 
CubeSmart 390,400 21,050,368 
CyrusOne, Inc. 514,600 45,809,692 
Digital Realty Trust, Inc. 48,100 8,068,294 
Douglas Emmett, Inc. 264,700 8,674,219 
Equinix, Inc. 11,895 9,661,119 
Equity Lifestyle Properties, Inc. 261,200 21,235,560 
Invitation Homes, Inc. 525,900 21,267,396 
Kilroy Realty Corp. 95,100 6,136,803 
Lexington Corporate Properties Trust 3,518,621 52,955,246 
Mid-America Apartment Communities, Inc. 139,300 28,730,625 
Outfront Media, Inc. 1,232,640 30,803,674 
Plymouth Industrial REIT, Inc. 1,384,670 41,193,933 
Prologis (REIT), Inc. 277,500 41,833,125 
RLJ Lodging Trust 24,970 314,372 
Sabra Health Care REIT, Inc. 13,840 178,951 
Simon Property Group, Inc. 670,035 102,408,149 
Spirit Realty Capital, Inc. 5,750 256,220 
Terreno Realty Corp. 4,140 315,261 
The GEO Group, Inc. 30,530 256,452 
Uniti Group, Inc. 1,943,080 25,784,672 
Ventas, Inc. 159,400 7,479,048 
VICI Properties, Inc. 121,300 3,299,360 
Weyerhaeuser Co. 99,400 3,738,434 
  667,960,753 
Real Estate Management & Development - 0.4%   
Anabuki Kosan, Inc. 25,000 412,483 
Arealink Co. Ltd. 100,000 1,342,062 
CBRE Group, Inc. (b) 1,234,900 118,019,393 
Cushman & Wakefield PLC (b) 1,978,870 34,986,422 
Daito Trust Construction Co. Ltd. 85,000 9,241,828 
Howard Hughes Corp. (b) 343,250 28,143,068 
Jones Lang LaSalle, Inc. (b) 50,010 11,747,849 
Newmark Group, Inc. 2,549,900 40,951,394 
Nihon Housing Co. Ltd. 46,000 436,661 
Nisshin Group Holdings Co. 64,700 266,161 
Opendoor Technologies, Inc. (b) 755,000 11,959,200 
Realogy Holdings Corp. (b) 32,330 491,093 
Sun Frontier Fudousan Co. Ltd. 50,000 423,763 
Will Co. Ltd. 10,000 32,556 
  258,453,933 
TOTAL REAL ESTATE  926,414,686 
UTILITIES - 1.5%   
Electric Utilities - 1.1%   
Allete, Inc. 5,810 340,640 
Duke Energy Corp. 722,400 70,080,024 
Edison International 230,300 15,033,984 
Entergy Corp. 361,400 36,262,876 
Evergy, Inc. 1,172,564 74,223,301 
Exelon Corp. 2,382,966 125,653,797 
FirstEnergy Corp. 425,500 16,024,330 
Fjordkraft Holding ASA (a) 1,000 4,768 
NextEra Energy, Inc. 609,700 52,909,766 
NRG Energy, Inc. 101,200 3,645,224 
PG&E Corp. (b) 9,623,246 114,324,162 
Portland General Electric Co. 703,120 34,220,850 
PPL Corp. 2,766,900 77,002,827 
Southern Co. 2,105,466 128,643,973 
  748,370,522 
Gas Utilities - 0.0%   
Brookfield Infrastructure Corp. A Shares 7,420 439,190 
Busan City Gas Co. Ltd. 44,516 3,167,943 
China Resource Gas Group Ltd. 764,000 3,953,244 
Enagas SA 56,000 1,275,908 
Hokuriku Gas Co. 6,200 171,407 
Keiyo Gas Co. Ltd. 3,000 85,460 
New Jersey Resources Corp. 7,880 289,826 
Seoul City Gas Co. Ltd. 13,199 1,756,996 
South Jersey Industries, Inc. 794,970 18,681,795 
YESCO Co. Ltd. 25,028 761,514 
  30,583,283 
Independent Power and Renewable Electricity Producers - 0.1%   
Brookfield Renewable Corp. 430,870 15,955,116 
Clearway Energy, Inc. Class C 10,710 399,697 
Sunnova Energy International, Inc. (b)(c) 567,140 20,967,166 
The AES Corp. 596,300 13,941,494 
  51,263,473 
Multi-Utilities - 0.3%   
CenterPoint Energy, Inc. 599,944 15,544,549 
Dominion Energy, Inc. 1,453,017 103,454,810 
MDU Resources Group, Inc. 1,105,850 30,112,296 
NiSource, Inc. 337,500 8,272,125 
Public Service Enterprise Group, Inc. 136,083 8,503,827 
Sempra Energy 163,900 19,646,693 
  185,534,300 
TOTAL UTILITIES  1,015,751,578 
TOTAL COMMON STOCKS   
(Cost $22,509,819,073)  29,631,476,912 
Nonconvertible Preferred Stocks - 0.2%   
CONSUMER DISCRETIONARY - 0.0%   
Automobiles - 0.0%   
Porsche Automobil Holding SE (Germany) 180,000 15,101,191 
INDUSTRIALS - 0.0%   
Aerospace & Defense - 0.0%   
Embraer SA sponsored ADR (b) 534,300 7,335,939 
INFORMATION TECHNOLOGY - 0.2%   
Technology Hardware, Storage & Peripherals - 0.2%   
Samsung Electronics Co. Ltd. 1,570,630 84,825,011 
TOTAL NONCONVERTIBLE PREFERRED STOCKS   
(Cost $89,920,350)  107,262,141 
Equity Funds - 56.0%   
Large Blend Funds - 4.8%   
Fidelity SAI U.S. Large Cap Index Fund (h) 41,252,739 903,434,990 
Fidelity SAI U.S. Low Volatility Index Fund (h) 126,416,756 2,382,955,843 
TOTAL LARGE BLEND FUNDS  3,286,390,833 
Large Growth Funds - 39.6%   
Fidelity Blue Chip Growth Fund (h) 1,629,172 306,773,089 
Fidelity Contrafund (h) 241,441,022 4,857,793,355 
Fidelity Growth Company Fund (h) 188,836,190 7,874,469,129 
Fidelity Magellan Fund (h) 261,799,669 4,065,748,863 
Fidelity SAI U.S. Momentum Index Fund (h) 103,948,895 1,794,157,925 
Fidelity SAI U.S. Quality Index Fund (h) 453,224,733 8,207,899,885 
TOTAL LARGE GROWTH FUNDS  27,106,842,246 
Large Value Funds - 8.1%   
Fidelity Large Cap Value Enhanced Index Fund (h) 183,630,797 3,108,869,398 
Fidelity SAI U.S. Value Index Fund (h) 203,149,425 2,437,793,104 
TOTAL LARGE VALUE FUNDS  5,546,662,502 
Mid-Cap Growth Funds - 1.4%   
Fidelity Extended Market Index Fund (h) 10,838,363 952,583,749 
Small Blend Funds - 1.3%   
Fidelity Small Cap Discovery Fund (h) 17,033,309 507,422,286 
Fidelity Small Cap Index Fund (h) 14,917,806 417,251,036 
TOTAL SMALL BLEND FUNDS  924,673,322 
Small Growth Funds - 0.8%   
Fidelity Advisor Small Cap Growth Fund - Class Z (h) 17,280,586 568,185,681 
TOTAL EQUITY FUNDS   
(Cost $29,198,425,278)  38,385,338,333 
Other - 0.0%   
Commodity Funds - Broad Basket - 0.0%   
Fidelity SAI Inflation-Focused Fund (h)   
(Cost $9,232,556) 1,094,386 11,370,671 
Money Market Funds - 1.0%   
Fidelity Cash Central Fund 0.06% (i) 274,125,530 274,180,355 
Fidelity Securities Lending Cash Central Fund 0.07% (i)(j) 412,440,376 412,481,620 
TOTAL MONEY MARKET FUNDS   
(Cost $686,658,213)  686,661,975 
TOTAL INVESTMENT IN SECURITIES - 100.5%   
(Cost $52,494,055,470)  68,822,110,032 
NET OTHER ASSETS (LIABILITIES) - (0.5)%  (326,653,462) 
NET ASSETS - 100%  $68,495,456,570 

Written Options       
 Counterparty Number of Contracts Notional Amount Exercise Price Expiration Date Value 
Call Options       
Bank of America Corp. Chicago Board Options Exchange 2,751 $12,233,697 $50.00 1/21/22 $(118,293) 
State Street Corp. Chicago Board Options Exchange 624 5,551,728 105.00 1/21/22 (29,640) 
TOTAL WRITTEN OPTIONS      $(147,933) 

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 $42,356,035 or 0.1% of net assets.

 (b) Non-income producing

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

 (d) Level 3 security

 (e) Security or a portion of the security is pledged as collateral for call options written. At period end, the value of securities pledged amounted to $17,785,425.

 (f) Restricted securities (including private placements) - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $34,513,792 or 0.1% of net assets.

 (g) Affiliated company

 (h) Affiliated Fund

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

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

Additional information on each restricted holding is as follows:

Security Acquisition Date Acquisition Cost 
CCC Intelligent Solutions Holdings, Inc. 2/2/21 $1,343,850 
Local Bounti Corp. 6/17/21 - 11/4/21 $3,640,470 
Mirion Technologies, Inc. 6/16/21 $14,306,130 
Vertiv Holdings LLC 2/6/20 $6,000,000 

Affiliated Central Funds

Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.

Fund Value, beginning of period Purchases Sales Proceeds Dividend Income Realized Gain/Loss Change in Unrealized appreciation (depreciation) Value, end of period % ownership, end of period 
Fidelity Cash Central Fund 0.06% $469,648,079 $2,813,790,319 $3,009,258,043 $134,235 $-- $-- $274,180,355 0.5% 
Fidelity Securities Lending Cash Central Fund 0.07% 173,683,379 1,071,535,484 832,737,243 3,997,319 -- -- 412,481,620 1.3% 
Total $643,331,458 $3,885,325,803 $3,841,995,286 $4,131,554 $-- $-- $686,661,975  

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

Affiliated Underlying Funds

Fiscal year to date information regarding the Fund's investments in affiliated Underlying Funds is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur. If an underlying Fund changes its name, the name presented below is the name in effect at period end.

Affiliate Value, beginning of period Purchases Sales Proceeds Dividend Income Realized Gain (loss) Change in Unrealized appreciation (depreciation) Value, end of period 
Fidelity Advisor Small Cap Growth Fund - Class Z $-- $76,208,679 $-- $76,208,678 $-- $50,226,436 $568,185,681 
Fidelity Blue Chip Growth Fund -- 306,225,389 -- -- -- 547,700 306,773,089 
Fidelity Contrafund 3,354,370,561 1,062,445,304 -- -- -- 440,977,490 4,857,793,355 
Fidelity Extended Market Index Fund -- 1,000,000,001 -- -- -- (47,416,252) 952,583,749 
Fidelity Growth Company Fund 5,718,686,749 1,050,462,347 -- -- -- 1,105,320,033 7,874,469,129 
Fidelity Large Cap Value Enhanced Index Fund 3,116,214,629 1 -- -- -- (7,345,232) 3,108,869,398 
Fidelity Magellan Fund 2,787,054,916 764,246,547 -- -- -- 514,447,400 4,065,748,863 
Fidelity SAI Inflation-Focused Fund 10,795,429 2,463,970 -- 2,463,969 -- (1,888,728) 11,370,671 
Fidelity SAI U.S. Large Cap Index Fund 1,279,013,129 4,014,555,843 4,355,139,475 176,944,744 248,037,076 (283,031,583) 903,434,990 
Fidelity SAI U.S. Low Volatility Index Fund 2,108,242,671 145,000,000 -- -- -- 129,713,172 2,382,955,843 
Fidelity SAI U.S. Momentum Index Fund 1,526,869,335 308,368,938 -- 258,368,838 -- (41,080,348) 1,794,157,925 
Fidelity SAI U.S. Quality Index Fund 6,488,426,308 1,512,959,883 -- 542,319,030 -- 206,513,694 8,207,899,885 
Fidelity SAI U.S. Value Index Fund 2,410,798,537 100,716,325 -- 50,716,325 -- (73,721,758) 2,437,793,104 
Fidelity Small Cap Discovery Fund 466,394,048 48,257,391 -- 13,757,391 -- (7,229,153) 507,422,286 
Fidelity Small Cap Growth Fund 546,324,788 -- -- -- -- (104,574,222) -- 
Fidelity Small Cap Index Fund 2,007,379,429 29,796,743 1,641,234,742 4,796,743 496,678,582 (475,368,976) 417,251,036 
Total $31,820,570,529 $10,421,707,361 $5,996,374,217 $1,125,575,718 $744,715,658 $1,406,089,673 $38,396,709,004 

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

Other Affiliated Issuers

An affiliated company is a company in which the Fund has ownership of at least 5% of the voting securities. Fiscal year to date transactions with companies which are or were affiliates are as follows:

Affiliate Value, beginning of period Purchases Sales Proceeds Dividend Income Realized Gain (loss) Change in Unrealized appreciation (depreciation) Value, end of period 
Makus, Inc. $8,085,051 $-- $-- $-- $-- $(115,039) $7,970,012 
Total $8,085,051 $-- $-- $-- $-- $(115,039) $7,970,012 

Investment Valuation

The following is a summary of the inputs used, as of November 30, 2021, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.

 Valuation Inputs at Reporting Date: 
Description Total Level 1 Level 2 Level 3 
Investments in Securities:     
Equities:     
Communication Services $2,480,633,386 $2,423,528,432 $57,104,954 $-- 
Consumer Discretionary 2,941,553,022 2,926,154,901 15,398,121 -- 
Consumer Staples 1,699,824,419 1,654,483,421 45,340,998 -- 
Energy 1,412,338,160 1,398,759,450 13,513,242 65,468 
Financials 4,609,364,164 4,581,474,160 27,890,004 -- 
Health Care 4,234,746,973 4,087,885,199 146,861,774 -- 
Industrials 3,596,430,048 3,360,078,753 236,351,295 -- 
Information Technology 5,889,280,928 5,850,629,171 38,651,757 -- 
Materials 932,401,689 909,039,636 23,362,053 -- 
Real Estate 926,414,686 926,414,686 -- -- 
Utilities 1,015,751,578 1,015,751,578 -- -- 
Equity Funds 38,385,338,333 38,385,338,333 -- -- 
Other 11,370,671 11,370,671 -- -- 
Money Market Funds 686,661,975 686,661,975 -- -- 
Total Investments in Securities: $68,822,110,032 $68,217,570,366 $604,474,198 $65,468 
Net unrealized depreciation on unfunded commitments $(274,973) $-- $(274,973) $-- 
Derivative Instruments:     
Liabilities     
Written Options $(147,933) $(147,933) $-- $-- 
Total Liabilities $(147,933) $(147,933) $-- $-- 
Total Derivative Instruments: $(147,933) $(147,933) $-- $-- 

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, 2021. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.

Primary Risk Exposure / Derivative Type Value 
 Asset Liability 
Equity Risk   
Written Options(a) $0 $(147,933) 
Total Equity Risk 0 (147,933) 
Total Value of Derivatives $0 $(147,933) 

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

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


Financial Statements

Statement of Assets and Liabilities

  November 30, 2021 (Unaudited) 
Assets   
Investment in securities, at value (including securities loaned of $392,265,485) — See accompanying schedule:
Unaffiliated issuers (cost $22,594,592,846) 		$29,730,769,041  
Fidelity Central Funds (cost $686,658,213) 686,661,975  
Other affiliated issuers (cost $29,212,804,411) 38,404,679,016  
Total Investment in Securities (cost $52,494,055,470)  $68,822,110,032 
Cash  1,051,681 
Foreign currency held at value (cost $399,856)  715,696 
Receivable for investments sold  329,737,401 
Receivable for fund shares sold  66,713,167 
Dividends receivable  44,761,727 
Distributions receivable from Fidelity Central Funds  96,672 
Prepaid expenses  45,105 
Other receivables  310,781 
Total assets  69,265,542,262 
Liabilities   
Payable for investments purchased $323,315,103  
Unrealized depreciation on unfunded commitments 274,973  
Payable for fund shares redeemed 23,299,250  
Accrued management fee 7,094,535  
Written options, at value (premium received $467,913) 147,933  
Other payables and accrued expenses 3,475,906  
Collateral on securities loaned 412,477,992  
Total liabilities  770,085,692 
Net Assets  $68,495,456,570 
Net Assets consist of:   
Paid in capital  $49,438,233,573 
Total accumulated earnings (loss)  19,057,222,997 
Net Assets  $68,495,456,570 
Net Asset Value, offering price and redemption price per share ($68,495,456,570 ÷ 4,465,204,145 shares)  $15.34 

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


Statement of Operations

  Six months ended November 30, 2021 (Unaudited) 
Investment Income   
Dividends:   
Unaffiliated issuers  $211,939,649 
Affiliated issuers  105,021,036 
Non-Cash dividends  35,306,158 
Income from Fidelity Central Funds (including $3,997,319 from security lending)  4,131,554 
Total income  356,398,397 
Expenses   
Management fee $122,053,376  
Custodian fees and expenses 234,496  
Independent trustees' fees and expenses 228,298  
Registration fees 1,533,583  
Audit 52,302  
Legal 55,826  
Miscellaneous 164,434  
Total expenses before reductions 124,322,315  
Expense reductions (82,218,453)  
Total expenses after reductions  42,103,862 
Net investment income (loss)  314,294,535 
Realized and Unrealized Gain (Loss)   
Net realized gain (loss) on:   
Investment securities:   
Unaffiliated issuers (net of foreign taxes of $1,910,640) 816,045,854  
Affiliated issuers 744,715,658  
Foreign currency transactions (542,089)  
Capital gain distributions from underlying funds:   
Affiliated issuers 1,020,554,682  
Total net realized gain (loss)  2,580,774,105 
Change in net unrealized appreciation (depreciation) on:   
Investment securities:   
Unaffiliated issuers (net of decrease in deferred foreign taxes of $22,775) (610,078,550)  
Affiliated issuers 1,405,974,634  
Unfunded commitments (2,076,652)  
Assets and liabilities in foreign currencies 128,890  
Written options 319,980  
Total change in net unrealized appreciation (depreciation)  794,268,302 
Net gain (loss)  3,375,042,407 
Net increase (decrease) in net assets resulting from operations  $3,689,336,942 

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


Statement of Changes in Net Assets

 Six months ended November 30, 2021 (Unaudited) Year ended May 31, 2021 
Increase (Decrease) in Net Assets   
Operations   
Net investment income (loss) $314,294,535 $512,715,492 
Net realized gain (loss) 2,580,774,105 3,451,371,630 
Change in net unrealized appreciation (depreciation) 794,268,302 13,365,930,289 
Net increase (decrease) in net assets resulting from operations 3,689,336,942 17,330,017,411 
Distributions to shareholders (2,425,942,274) (1,284,354,099) 
Share transactions   
Proceeds from sales of shares 12,806,723,333 20,227,797,679 
Reinvestment of distributions 2,375,547,375 1,253,181,860 
Cost of shares redeemed (8,063,955,379) (10,842,890,026) 
Net increase (decrease) in net assets resulting from share transactions 7,118,315,329 10,638,089,513 
Total increase (decrease) in net assets 8,381,709,997 26,683,752,825 
Net Assets   
Beginning of period 60,113,746,573 33,429,993,748 
End of period $68,495,456,570 $60,113,746,573 
Other Information   
Shares   
Sold 839,345,789 1,563,776,896 
Issued in reinvestment of distributions 159,005,848 95,299,001 
Redeemed (522,406,118) (835,812,779) 
Net increase (decrease) 475,945,519 823,263,118 

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


Financial Highlights

Strategic Advisers Fidelity U.S. Total Stock Fund

 Six months ended (Unaudited) November 30, Years endedMay 31,    
 2021 2021 2020 2019 2018 A 
Selected Per–Share Data      
Net asset value, beginning of period $15.07 $10.56 $9.72 $9.96 $10.00 
Income from Investment Operations      
Net investment income (loss)B .07 .14 .16 .18 .01 
Net realized and unrealized gain (loss) .80 4.73 1.00 (.20) (.05) 
Total from investment operations .87 4.87 1.16 (.02) (.04) 
Distributions from net investment income (.01) (.18) (.17) (.09)C – 
Distributions from net realized gain (.60) (.19) (.16) (.13)C – 
Total distributions (.60)D (.36)D (.32)D (.22) – 
Net asset value, end of period $15.34 $15.07 $10.56 $9.72 $9.96 
Total ReturnE,F 5.88% 46.63% 11.84% (.04)% (.40)% 
Ratios to Average Net AssetsG,H      
Expenses before reductions .38%I .38% .39% .42% .54%I 
Expenses net of fee waivers, if any .13%I .13% .14% .17% .29%I,J 
Expenses net of all reductions .13%I .13% .14% .17% .29%I,J 
Net investment income (loss) .96%I 1.11% 1.55% 1.81% .55%I 
Supplemental Data      
Net assets, end of period (000 omitted) $68,495,457 $60,113,747 $33,429,994 $22,411,704 $16,637,411 
Portfolio turnover rateK 34%I 46% 52% 61% 126%L,M 

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

 B Calculated based on average shares outstanding during the period.

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

 I Annualized

 J Audit fees are not annualized.

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

 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, 2021

1. Organization.

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

2. Significant Accounting Policies.

The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:

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

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

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

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

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

Exchange-traded options are valued using the last sale price or, in the absence of a sale, the last offering price and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of November 30, 2021 is included at the end of the Fund's Schedule of Investments.

Foreign Currency. Certain Funds may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.

Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received, and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.

The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and include proceeds received from litigation. Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of a fund include an amount in addition to trade execution, which may be rebated back to a fund. Any such rebates are included in net realized gain (loss) on investments in the Statement of Operations. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Income and capital gain distributions from any underlying mutual funds or exchange-traded funds (ETFs) are recorded on the ex-dividend date. Certain distributions received by the Fund represent a return of capital or capital gain. The Fund determines the components of these distributions subsequent to the ex-dividend date, based upon receipt of tax filings or other correspondence relating to the underlying investment. These distributions are recorded as a reduction of cost of investments and/or as a realized gain. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain. Funds may file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. Any withholding tax reclaims income is included in the Statement of Operations in dividends. Any receivables for withholding tax reclaims are included in the Statement of Assets and Liabilities in dividends receivable.

Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan) for certain Funds, certain independent Trustees have elected to defer receipt of a portion of their annual compensation. Deferred amounts are invested in affiliated mutual funds, are marked-to-market and remain in a fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees presented below are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, as applicable.

Strategic Advisers Fidelity U.S. Total Stock Fund $23,267 

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 the short-term gain distributions from the Underlying Funds, foreign currency transactions, passive foreign investment companies (PFIC), certain foreign taxes, 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 $17,273,549,261 
Gross unrealized depreciation (1,074,999,639) 
Net unrealized appreciation (depreciation) $16,198,549,622 
Tax cost $52,624,155,363 

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

Special Purpose Acquisition Companies. Funds may invest in stock, warrants, and other securities of special purpose acquisition companies (SPACs) or similar special purpose entities. A SPAC is a publicly traded company that raises investment capital via an initial public offering (IPO) for the purpose of acquiring the equity securities of one or more existing companies via merger, business combination, acquisition or other similar transactions within a designated time frame.

Private Investment in Public Equity. Funds may acquire equity securities of an issuer through a private investment in a public equity (PIPE) transaction, including through commitments to purchase securities on a when-issued basis. A PIPE typically involves the purchase of securities directly from a publicly traded company in a private placement transaction. Securities purchased through PIPE transactions will be restricted from trading and considered illiquid until a resale registration statement for the shares is filed and declared effective.

At period end, the Fund had commitments to purchase when-issued securities through PIPE transactions with SPACs. The commitments are contingent upon the SPACs acquiring the securities of target companies. Unrealized appreciation (depreciation) on these commitments is separately presented in the Statements of Assets and Liabilities as Unrealized appreciation (depreciation) on unfunded commitments, and in the Statement of Operations as Change in unrealized appreciation (depreciation) on unfunded commitments.

3. Derivative Instruments.

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

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

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

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

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

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

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

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

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

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

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

4. Purchases and Sales of Investments.

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

 Purchases ($) Sales ($) 
Strategic Advisers Fidelity U.S. Total Stock Fund 17,132,690,292 10,882,717,353 

5. Fees and Other Transactions with Affiliates.

Management Fee. Strategic Advisers (the investment adviser) provides the Fund with investment management related services. For these services, the Fund pays a monthly management fee to the investment adviser. The management fee is calculated by adding the annual management fee rate of .25% of the Fund's average net assets throughout the month to the aggregate of the fee rates, payable monthly by the investment adviser, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed 1.00% of the Fund's average net assets. For the reporting period, the total 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 as described in the Management Fee note.

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 $98,143 

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

 Purchases ($) Sales ($) Realized Gain (Loss) ($) 
Strategic Advisers Fidelity U.S. Total Stock Fund 480,102,669 275,546,402 31,679,047 

Other. During the period, the investment adviser reimbursed the Fund for certain losses as follows:

 Amount ($) 
Strategic Advisers Fidelity U.S. Total Stock Fund 7,405 

6. Investments in Fidelity Central Funds.

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

Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.

Fidelity Central Fund Investment Manager Investment Objective Investment Practices Expense Ratio(a) 
Fidelity Money Market Central Funds Fidelity Management & Research Company LLC (FMR) Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. Short-term Investments Less than .005% 

 (a) Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.

A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.

7. Committed Line of Credit.

Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below. During the period, there were no borrowings on this line of credit.

 Amount 
Strategic Advisers Fidelity U.S. Total Stock Fund $50,303 

8. Security Lending.

Funds lend portfolio securities from time to time in order to earn additional income. Lending agents are used, including National Financial Services (NFS), an affiliate of the investment adviser. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of a fund's daily lending revenue, for its services as lending agent. A fund may lend securities to certain qualified borrowers, including NFS. On the settlement date of the loan, a fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of a fund and any additional required collateral is delivered to a fund on the next business day. A fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund may apply collateral received from the borrower against the obligation. A fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Affiliated security lending activity, if any, was as follows:

 Total Security Lending Fees Paid to NFS Security Lending Income From Securities Loaned to NFS Value of Securities Loaned to NFS at Period End 
Strategic Advisers Fidelity U.S. Total Stock Fund $14,395 $– $– 

9. Expense Reductions.

The investment adviser has contractually agreed to waive the Fund's management fee in an amount equal to .25% of the Fund's average net assets until September 30, 2024. During the period, this waiver reduced the Fund's management fee by $ 81,857,909.

In addition, during the period the investment adviser or an affiliate reimbursed and/or waived a portion of operating expenses in the amount of $360,544.

10. Other.

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

Funds do not invest in underlying mutual funds for the purpose of exercising management or control; however, investments by funds within their principal investment strategies may represent a significant portion of the underlying mutual fund's net assets. At the end of the period, certain Funds were the owners of record of 10% or more of the total outstanding shares of the following underlying mutual funds as shown below.

Fund Strategic Advisers Fidelity U.S. Total Stock Fund 
Fidelity Growth Company Fund 11% 
Fidelity Large Cap Value Enhanced Index Fund 52% 
Fidelity Magellan Fund 13% 
Fidelity SAI Inflation-Focused Fund 24% 
Fidelity SAI U.S. Low Volatility Index Fund 32% 
Fidelity SAI U.S. Momentum Index Fund 57% 
Fidelity SAI U.S. Quality Index Fund 78% 
Fidelity SAI U.S. Value Index Fund 68% 
Fidelity Small Cap Discovery Fund 16% 

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, 2021 to November 30, 2021).

Actual Expenses

The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.

Hypothetical Example for Comparison Purposes

The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

 Annualized Expense Ratio-A Beginning
Account Value
June 1, 2021 		Ending
Account Value
November 30, 2021 		Expenses Paid
During Period-B
June 1, 2021
to November 30, 2021 
Strategic Advisers Fidelity U.S. Total Stock Fund .13%    
Actual  $1,000.00 $1,058.80 $.67 
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), 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 2021 meeting, the Board, including the Independent Trustees, unanimously determined to renew the fund's Advisory Contracts. In addition, the Board approved amendments to the Sub-Advisory Agreement with FIAM to add two new mandates (Amendments). The Board noted that, combined, the two new mandates (once funded) are expected to increase each of the fund's total management fee rate and total net expenses by less than 0.5 basis points. The Board noted that no other contract terms are impacted by the Amendments.

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

In considering whether to renew the Advisory Contracts for the fund and approve the Amendments, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts and the approval of the Amendments is in the best interests of the fund and its shareholders. In addition, the Board concluded that the renewal of each Sub-Advisory Agreement and the approval of each 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 Amendments was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board throughout the year.

Nature, Extent, and Quality of Services Provided.  The Board considered the staffing within the Investment Advisers, including the backgrounds of the fund's investment personnel and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Strategic Advisers' investment operations and investment groups. The Board considered the structure of each Investment Adviser's investment personnel compensation program and whether such structures provide appropriate incentives to act in the best interests of the fund. The Board also considered steps taken by the Investment Advisers to continue to provide the same nature, extent, and quality of services to the funds during the COVID-19 pandemic.

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

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

Resources Dedicated to Investment Management and Support Services.  The Board reviewed the general qualifications and capabilities of the Investment Advisers' investment staffs, their use of technology, and the Investment Advisers' approach to managing and compensating investment personnel. The Board noted that the Investment Advisers' analysts have extensive resources, tools, and capabilities that allow them to conduct sophisticated quantitative and/or fundamental analysis. Additionally, in its deliberations, the Board considered the Investment Advisers' trading capabilities and resources and global compliance infrastructure, which are integral parts of the investment management process.

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

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

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

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

The following chart considered by the Board shows, over the one-year period ended December 31, 2020, 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.


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, 2020. The Board also noted that the fund had out-performed 89% of its peers for the one-year period ended December 31, 2020. The Board also noted that the investment performance of the fund was higher than its benchmark for the one-year period shown. The Board also noted that, after funding the new mandates with FIAM, it is expected that the fund's management fee rate will continue to rank below its competitive median.

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.


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, 2020.

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 those funds and classes in the Total Mapped Group (used by the Board for management fee comparisons) that have similar sales load structures. This comparison, which is a proxy for comparing funds by distribution channel, showed the fund's position relative to competitive funds with similar sales load structures. The Board noted that the fund's total expense ratio ranked below the fund's similar sales load structure group competitive median for the 12-month period ended December 31, 2020.

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 that certain of the fund's Sub-Advisory Agreements provide for breakpoints as the fund's assets grow and noted that any potential decline in sub-advisory fees under such contracts would accrue directly to the fund. The Board also took Strategic Advisers' management fee waiver into consideration.

Conclusion.  Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee arrangements bear a reasonable relationship to the services rendered and that the fund's Advisory Contracts should be renewed and the Amendment should be approved because each agreement is in the best interests of the fund and its shareholders. 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, the Board concluded that the renewal of each Sub-Advisory Agreement and the approval of each Amendment do not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.





Fidelity Investments

TSF-SANN-0122
1.9887484.103

Strategic Advisers® Fidelity® Core Income Fund

Offered exclusively to certain managed account clients of Strategic Advisers LLC or its affiliates - not available for sale to the general public



Semi-Annual Report

November 30, 2021

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. © 2022 FMR LLC. All rights reserved.



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

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

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

NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE

Neither the Fund nor Fidelity Distributors Corporation is a bank.



Note to Shareholders:

Early in 2020, the outbreak and spread of COVID-19 emerged as a public health emergency that had a major influence on financial markets, primarily based on its impact on the global economy and corporate earnings. On March 11, 2020, the World Health Organization declared the COVID-19 outbreak a pandemic, citing sustained risk of further global spread. The pandemic prompted a number of measures to limit the spread of COVID-19, including travel and border restrictions, quarantines, and restrictions on large gatherings. In turn, these resulted in lower consumer activity, diminished demand for a wide range of products and services, disruption in manufacturing and supply chains, and – given the wide variability in outcomes regarding the outbreak – significant market uncertainty and volatility. To help stem the turmoil, the U.S. government took unprecedented action – in concert with the U.S. Federal Reserve and central banks around the world – to help support consumers, businesses, and the broader economy, and to limit disruption to the financial system.

In general, the overall impact of the pandemic lessened in 2021, amid a resilient economy and widespread distribution of three COVID-19 vaccines granted emergency use authorization from the U.S. Food and Drug Administration (FDA) early in the year. Still, the situation remains dynamic, and the extent and duration of its influence on financial markets and the economy is highly uncertain, due in part to a recent spike in cases based on highly contagious variants of the coronavirus.

Extreme events such as the COVID-19 crisis are exogenous shocks that can have significant adverse effects on mutual funds and their investments. Although multiple asset classes may be affected by market disruption, the duration and impact may not be the same for all types of assets. Fidelity is committed to helping you stay informed amid news about COVID-19 and during increased market volatility, and we continue to take extra steps to be responsive to customer needs. We encourage you to visit us online, where we offer ongoing updates, commentary, and analysis on the markets and our funds.

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, 2021

(by issuer, excluding cash equivalents) % of fund's net assets 
Fidelity SAI Total Bond Fund 26.4 
Fidelity SAI U.S. Treasury Bond Index Fund 9.1 
U.S. Treasury Obligations 7.9 
Fidelity SAI Long-Term Treasury Bond Index Fund 5.0 
Fannie Mae 4.8 
Fidelity U.S. Bond Index Fund 4.4 
Freddie Mac 4.4 
Ginnie Mae 3.9 
Uniform Mortgage Backed Securities 3.2 
Fidelity Advisor Corporate Bond Fund Class Z 2.8 

Asset Allocation (% of fund's net assets)

As of November 30, 2021 
   Corporate Bonds 10.5% 
   U.S. Government and U.S. Government Agency Obligations 26.2% 
   Asset-Backed Securities 2.1% 
   CMOs and Other Mortgage Related Securities 2.8% 
   Municipal Securities 0.1% 
   Bank Loan Funds 2.4% 
   High Yield Fixed-Income Funds 3.2% 
   Intermediate-Term Bond Funds 35.7% 
   Long Government Bond Funds 5.0% 
   Sector Funds 1.7% 
   Other Investments 0.4% 
   Intermediate Government Funds 10.2% 
 Short-Term Investments and Net Other Assets (Liabilities)* (0.3)% 


 * Short-Term Investments and Net Other Assets (Liabilities) are not included in the pie chart

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

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

Percentages are adjusted for the effect of futures contracts and swaps, if applicable.

Schedule of Investments November 30, 2021 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 10.5%   
 Principal Amount(a) Value 
COMMUNICATION SERVICES - 1.1%   
Diversified Telecommunication Services - 0.4%   
Altice France SA:   
5.125% 1/15/29 (b) $720,000 $681,790 
8.125% 2/1/27 (b) 325,000 346,661 
AT&T, Inc.:   
2.55% 12/1/33 2,825,000 2,730,714 
3.8% 12/1/57 39,772,000 41,534,707 
4.3% 2/15/30 3,992,000 4,505,508 
4.75% 5/15/46 41,310,000 50,287,154 
4.9% 6/15/42 6,909,000 8,376,508 
5.55% 8/15/41 12,537,000 16,262,500 
6.2% 3/15/40 2,303,000 3,083,260 
C&W Senior Financing Designated Activity Co. 6.875% 9/15/27 (b) 1,246,000 1,302,070 
Frontier Communications Holdings LLC 5.875% 10/15/27 (b) 235,000 242,679 
Iliad SA 1.5% 10/14/24 (Reg. S) EUR5,600,000 6,311,952 
Level 3 Financing, Inc.:   
3.625% 1/15/29 (b) 85,000 78,625 
4.25% 7/1/28 (b) 2,240,000 2,184,000 
Lumen Technologies, Inc.:   
4.5% 1/15/29 (b) 280,000 263,281 
5.125% 12/15/26 (b) 2,190,000 2,193,833 
5.625% 4/1/25 415,000 432,297 
6.875% 1/15/28 40,000 43,891 
Sable International Finance Ltd. 5.75% 9/7/27 (b) 2,332,000 2,401,960 
Sprint Capital Corp.:   
6.875% 11/15/28 5,880,000 7,259,272 
8.75% 3/15/32 1,315,000 1,944,096 
Telecom Italia Capital SA:   
6% 9/30/34 286,000 287,727 
7.2% 7/18/36 1,635,000 1,780,858 
Telenet Finance Luxembourg Notes SARL 5.5% 3/1/28 (b) 800,000 824,400 
Verizon Communications, Inc.:   
2.987% 10/30/56 1,378,000 1,325,749 
4.329% 9/21/28 10,293,000 11,723,408 
5.012% 4/15/49 129,000 175,347 
Virgin Media Finance PLC 5% 7/15/30 (b) 636,000 616,920 
  169,201,167 
Entertainment - 0.1%   
Roblox Corp. 3.875% 5/1/30 (b) 670,000 671,675 
The Walt Disney Co.:   
2.2% 1/13/28 10,316,000 10,465,367 
2.65% 1/13/31 13,000,000 13,495,005 
  24,632,047 
Interactive Media & Services - 0.0%   
Twitter, Inc. 3.875% 12/15/27 (b) 510,000 528,202 
Media - 0.5%   
Altice Financing SA:   
5% 1/15/28 (b) 225,000 210,340 
5.75% 8/15/29 (b) 1,500,000 1,428,623 
CCO Holdings LLC/CCO Holdings Capital Corp.:   
4.25% 2/1/31 (b) 940,000 925,985 
4.5% 8/15/30 (b) 435,000 438,456 
4.5% 5/1/32 2,380,000 2,370,194 
4.5% 6/1/33 (b) 500,000 492,500 
5% 2/1/28 (b) 2,401,000 2,473,030 
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.:   
2.8% 4/1/31 25,100,000 24,877,599 
3.7% 4/1/51 20,100,000 19,485,369 
4.464% 7/23/22 5,986,000 6,091,748 
4.8% 3/1/50 10,000,000 11,263,950 
4.908% 7/23/25 4,642,000 5,121,294 
5.375% 5/1/47 41,310,000 49,575,440 
5.75% 4/1/48 18,275,000 23,011,406 
Comcast Corp.:   
3.75% 4/1/40 1,000,000 1,126,656 
4.65% 7/15/42 2,578,000 3,215,354 
CSC Holdings LLC:   
4.125% 12/1/30 (b) 510,000 488,055 
4.625% 12/1/30 (b) 410,000 381,300 
5.5% 4/15/27 (b) 564,000 579,067 
5.75% 1/15/30 (b) 875,000 856,958 
Diamond Sports Group LLC/Diamond Sports Finance Co. 5.375% 8/15/26 (b) 925,000 409,313 
Discovery Communications LLC:   
3.625% 5/15/30 6,407,000 6,854,263 
4.65% 5/15/50 17,335,000 20,552,562 
Fox Corp.:   
5.476% 1/25/39 2,264,000 2,925,853 
5.576% 1/25/49 1,502,000 2,053,881 
Gray Television, Inc. 4.75% 10/15/30 (b) 245,000 236,119 
Lagardere S.C.A. 2.125% 10/16/26 (Reg. S) EUR1,400,000 1,628,132 
Lamar Media Corp. 3.625% 1/15/31 515,000 492,610 
Meredith Corp. 6.5% 7/1/25 615,000 654,206 
Scripps Escrow II, Inc. 3.875% 1/15/29 (b) 225,000 223,594 
Sirius XM Radio, Inc.:   
3.875% 9/1/31 (b) 275,000 260,563 
4.125% 7/1/30 (b) 10,155,000 9,920,623 
5% 8/1/27 (b) 375,000 386,138 
5.5% 7/1/29 (b) 2,890,000 3,065,539 
Tegna, Inc.:   
4.625% 3/15/28 915,000 911,386 
5% 9/15/29 115,000 115,288 
Time Warner Cable LLC:   
4.5% 9/15/42 886,000 973,925 
5.5% 9/1/41 1,530,000 1,874,434 
5.875% 11/15/40 8,089,000 10,249,593 
6.55% 5/1/37 5,846,000 7,829,237 
6.75% 6/15/39 4,614,000 6,326,076 
7.3% 7/1/38 3,785,000 5,430,223 
Virgin Media Secured Finance PLC:   
4.5% 8/15/30 (b) 585,000 571,738 
5.5% 5/15/29 (b) 415,000 431,189 
Ziggo Bond Co. BV 5.125% 2/28/30 (b) 540,000 539,611 
Ziggo BV:   
4.875% 1/15/30 (b) 550,000 556,531 
5.5% 1/15/27 (b) 1,083,000 1,114,710 
  241,000,661 
Wireless Telecommunication Services - 0.1%   
Millicom International Cellular SA:   
4.5% 4/27/31 (b) 7,026,000 6,994,383 
5.125% 1/15/28 (b) 540,000 556,470 
T-Mobile U.S.A., Inc.:   
2.875% 2/15/31 695,000 672,419 
3.75% 4/15/27 10,840,000 11,654,168 
3.875% 4/15/30 22,877,000 24,863,731 
4.5% 4/15/50 4,597,000 5,376,424 
Vodafone Group PLC:   
4.875% 10/3/78 (Reg. S) (c) GBP1,100,000 1,547,064 
6.25% 10/3/78 (Reg. S) (c) 1,445,000 1,549,242 
  53,213,901 
TOTAL COMMUNICATION SERVICES  488,575,978 
CONSUMER DISCRETIONARY - 0.6%   
Auto Components - 0.0%   
Allison Transmission, Inc. 3.75% 1/30/31 (b) 615,000 587,931 
Dana, Inc. 4.5% 2/15/32 275,000 268,155 
Valeo SA 1% 8/3/28 (Reg. S) EUR1,100,000 1,202,650 
ZF Finance GmbH 2% 5/6/27 (Reg. S) EUR1,400,000 1,577,420 
  3,636,156 
Automobiles - 0.1%   
General Motors Co. 5.4% 10/2/23 18,263,000 19,673,318 
General Motors Financial Co., Inc.:   
3.7% 5/9/23 8,751,000 9,053,037 
4.25% 5/15/23 1,359,000 1,422,145 
Thor Industries, Inc. 4% 10/15/29 (b) 355,000 347,723 
Volkswagen Group of America Finance LLC:   
2.9% 5/13/22 (b) 10,524,000 10,631,739 
3.125% 5/12/23 (b) 9,168,000 9,454,788 
3.35% 5/13/25 (b) 14,765,000 15,572,559 
  66,155,309 
Diversified Consumer Services - 0.0%   
Adtalem Global Education, Inc. 5.5% 3/1/28 (b) 825,000 794,648 
GEMS MENASA Cayman Ltd. 7.125% 7/31/26 (b) 765,000 782,834 
Service Corp. International 5.125% 6/1/29 970,000 1,033,050 
  2,610,532 
Hotels, Restaurants & Leisure - 0.1%   
Accor SA 2.375% 11/29/28 (Reg. S) EUR1,300,000 1,463,479 
Aramark Services, Inc.:   
5% 2/1/28 (b) 3,530,000 3,547,650 
6.375% 5/1/25 (b) 1,890,000 1,971,270 
Carnival Corp. 10.5% 2/1/26 (b) 1,105,000 1,259,700 
Hilton Domestic Operating Co., Inc.:   
3.625% 2/15/32 (b) 660,000 640,642 
3.75% 5/1/29 (b) 700,000 693,511 
4% 5/1/31 (b) 1,535,000 1,538,082 
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp. 4.875% 4/1/27 164,000 168,305 
InterContinental Hotel Group PLC 3.375% 10/8/28 (Reg. S) GBP4,895,000 6,889,634 
Melco Resorts Finance Ltd.:   
4.875% 6/6/25 (b) 750,000 742,485 
5.375% 12/4/29 (b) 260,000 253,612 
5.75% 7/21/28 (b) 390,000 383,175 
MGM Resorts International 5.75% 6/15/25 820,000 865,215 
Royal Caribbean Cruises Ltd.:   
5.5% 4/1/28 (b) 755,000 734,238 
9.125% 6/15/23 (b) 130,000 137,885 
11.5% 6/1/25 (b) 325,000 361,969 
Starbucks Corp. 1.3% 5/7/22 5,502,000 5,521,590 
Whitbread PLC:   
2.375% 5/31/27 (Reg. S) GBP2,360,000 3,143,503 
3.375% 10/16/25 (Reg. S) GBP3,355,000 4,651,311 
Wyndham Hotels & Resorts, Inc. 4.375% 8/15/28 (b) 290,000 293,003 
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. 5.5% 3/1/25 (b) 645,000 645,922 
Yum! Brands, Inc. 3.625% 3/15/31 358,000 347,142 
  36,253,323 
Household Durables - 0.2%   
Century Communities, Inc. 3.875% 8/15/29 (b) 325,000 320,169 
D.R. Horton, Inc. 1.3% 10/15/26 15,859,000 15,476,073 
Lennar Corp.:   
4.75% 11/29/27 9,429,000 10,715,964 
5% 6/15/27 12,243,000 13,962,162 
5.25% 6/1/26 2,965,000 3,363,348 
Newell Brands, Inc.:   
5.875% 4/1/36 270,000 329,586 
6% 4/1/46 1,185,000 1,472,363 
Tempur Sealy International, Inc. 3.875% 10/15/31 (b) 280,000 270,511 
The Berkeley Group PLC 2.5% 8/11/31 (Reg. S) GBP1,820,000 2,357,208 
Toll Brothers Finance Corp.:   
4.35% 2/15/28 14,431,000 15,594,572 
4.875% 11/15/25 45,000 49,275 
4.875% 3/15/27 15,464,000 17,049,060 
TopBuild Corp. 4.125% 2/15/32 (b) 580,000 581,093 
  81,541,384 
Internet & Direct Marketing Retail - 0.0%   
Alibaba Group Holding Ltd.:   
2.125% 2/9/31 2,350,000 2,280,675 
2.7% 2/9/41 12,255,000 11,353,890 
Match Group Holdings II LLC:   
3.625% 10/1/31 (b) 410,000 386,507 
4.125% 8/1/30 (b) 170,000 168,513 
  14,189,585 
Leisure Products - 0.0%   
Hasbro, Inc. 3% 11/19/24 6,474,000 6,764,827 
Mattel, Inc.:   
3.75% 4/1/29 (b) 430,000 439,940 
5.45% 11/1/41 70,000 82,503 
6.2% 10/1/40 531,000 678,459 
  7,965,729 
Multiline Retail - 0.0%   
John Lewis PLC 6.125% 1/21/25 GBP1,157,000 1,704,122 
Marks & Spencer PLC 4.5% 7/10/27 (Reg. S) GBP2,700,000 3,752,921 
Nordstrom, Inc.:   
4.25% 8/1/31 10,000,000 9,574,549 
4.375% 4/1/30 510,000 500,489 
  15,532,081 
Specialty Retail - 0.1%   
Asbury Automotive Group, Inc.:   
4.625% 11/15/29 (b) 175,000 176,105 
5% 2/15/32 (b) 190,000 191,209 
AutoNation, Inc. 4.75% 6/1/30 1,430,000 1,654,172 
AutoZone, Inc. 4% 4/15/30 19,121,000 21,379,020 
Bath & Body Works, Inc. 6.625% 10/1/30 (b) 825,000 915,222 
Foot Locker, Inc. 4% 10/1/29 (b) 145,000 143,550 
Gap, Inc. 3.875% 10/1/31 (b) 275,000 263,181 
LCM Investments Holdings 4.875% 5/1/29 (b) 120,000 119,536 
VIA Outlets 1.75% 11/15/28 (Reg. S) EUR1,300,000 1,472,089 
  26,314,084 
Textiles, Apparel & Luxury Goods - 0.1%   
Crocs, Inc. 4.125% 8/15/31 (b) 285,000 283,575 
Hanesbrands, Inc. 4.875% 5/15/26 (b) 615,000 656,636 
Kontoor Brands, Inc. 4.125% 11/15/29 (b) 95,000 94,764 
Levi Strauss & Co. 3.5% 3/1/31 (b) 355,000 360,769 
Tapestry, Inc. 3.05% 3/15/32 (d) 33,118,000 33,474,994 
The William Carter Co. 5.625% 3/15/27 (b) 446,000 459,175 
Wolverine World Wide, Inc. 4% 8/15/29 (b) 380,000 368,600 
  35,698,513 
TOTAL CONSUMER DISCRETIONARY  289,896,696 
CONSUMER STAPLES - 0.9%   
Beverages - 0.3%   
Anheuser-Busch InBev Finance, Inc.:   
4.7% 2/1/36 6,600,000 7,913,930 
4.9% 2/1/46 14,391,000 18,108,887 
Anheuser-Busch InBev Worldwide, Inc.:   
3.5% 6/1/30 10,375,000 11,346,138 
4.35% 6/1/40 6,274,000 7,369,805 
4.5% 6/1/50 11,500,000 14,231,647 
4.6% 6/1/60 18,803,000 23,368,438 
4.75% 1/23/29 11,220,000 13,080,607 
4.75% 4/15/58 5,641,000 7,154,652 
5.45% 1/23/39 5,480,000 7,182,196 
5.55% 1/23/49 13,389,000 18,467,646 
5.8% 1/23/59 (Reg. S) 14,304,000 20,975,242 
Constellation Brands, Inc. 4.75% 11/15/24 3,799,000 4,170,843 
PepsiCo, Inc.:   
2.625% 3/19/27 1,114,000 1,173,225 
2.75% 3/19/30 5,700,000 6,004,342 
  160,547,598 
Food & Staples Retailing - 0.2%   
Albertsons Companies LLC/Safeway, Inc./New Albertson's, Inc./Albertson's LLC:   
3.5% 3/15/29 (b) 2,290,000 2,269,505 
4.625% 1/15/27 (b) 125,000 129,581 
4.875% 2/15/30 (b) 1,090,000 1,158,485 
Sysco Corp. 6.6% 4/1/50 53,060,000 83,349,444 
U.S. Foods, Inc.:   
4.625% 6/1/30 (b) 130,000 130,650 
6.25% 4/15/25 (b) 445,000 463,112 
  87,500,777 
Food Products - 0.4%   
Darling Ingredients, Inc. 5.25% 4/15/27 (b) 615,000 635,716 
General Mills, Inc. 2.875% 4/15/30 1,277,000 1,340,452 
JBS Finance Luxembourg SARL 2.5% 1/15/27 (b) 12,010,000 11,909,116 
JBS U.S.A. LLC/JBS U.S.A. Finance, Inc. 6.75% 2/15/28 (b) 269,000 290,117 
JBS U.S.A. Lux SA / JBS Food Co.:   
3% 5/15/32 (b)(d) 9,870,000 9,762,516 
5.5% 1/15/30 (b) 23,280,000 24,972,223 
6.5% 4/15/29 (b) 42,201,000 46,210,095 
JDE Peet's BV 2.25% 9/24/31 (b) 2,500,000 2,439,742 
Kraft Heinz Foods Co.:   
3.875% 5/15/27 560,000 605,441 
4.25% 3/1/31 525,000 600,591 
4.375% 6/1/46 11,995,000 13,882,266 
4.625% 1/30/29 10,000,000 11,559,238 
4.875% 10/1/49 10,000,000 12,467,569 
5% 7/15/35 2,215,000 2,744,798 
5.2% 7/15/45 6,203,000 7,894,843 
7.125% 8/1/39 (b) 9,489,000 14,241,110 
Lamb Weston Holdings, Inc. 4.875% 5/15/28 (b) 825,000 875,531 
Post Holdings, Inc. 4.625% 4/15/30 (b) 905,000 893,688 
TreeHouse Foods, Inc. 4% 9/1/28 390,000 369,763 
  163,694,815 
Personal Products - 0.0%   
Prestige Brands, Inc. 3.75% 4/1/31 (b) 340,000 325,763 
Tobacco - 0.0%   
BAT International Finance PLC 2.25% 6/26/28 (Reg. S) GBP7,165,000 9,377,779 
TOTAL CONSUMER STAPLES  421,446,732 
ENERGY - 0.9%   
Energy Equipment & Services - 0.0%   
Technip Energies NV 1.125% 5/28/28 EUR1,465,000 1,676,345 
Oil, Gas & Consumable Fuels - 0.9%   
Apache Corp.:   
5.1% 9/1/40 330,000 357,806 
5.25% 2/1/42 495,000 546,975 
5.35% 7/1/49 80,000 91,212 
Cheniere Energy Partners LP:   
3.25% 1/31/32 (b) 275,000 267,094 
4% 3/1/31 (b) 925,000 943,500 
Cheniere Energy, Inc. 4.625% 10/15/28 595,000 612,850 
Citgo Petroleum Corp. 6.375% 6/15/26 (b) 660,000 660,000 
CNX Midstream Partners LP 4.75% 4/15/30 (b) 115,000 113,275 
Colgate Energy Partners III LLC 5.875% 7/1/29 (b) 145,000 143,913 
Columbia Pipeline Group, Inc. 4.5% 6/1/25 852,000 933,022 
Continental Resources, Inc. 5.75% 1/15/31 (b) 895,000 1,042,478 
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.:   
5.625% 5/1/27 (b) 1,653,000 1,653,000 
5.75% 4/1/25 2,038,000 2,044,022 
6% 2/1/29 (b) 1,420,000 1,435,975 
CVR Energy, Inc.:   
5.25% 2/15/25 (b) 790,000 752,554 
5.75% 2/15/28 (b) 105,000 99,171 
DCP Midstream Operating LP:   
3.875% 3/15/23 3,116,000 3,170,530 
5.125% 5/15/29 1,740,000 1,929,486 
5.375% 7/15/25 540,000 576,126 
5.6% 4/1/44 2,748,000 3,269,296 
5.625% 7/15/27 620,000 692,472 
5.85% 5/21/43 (b)(c) 29,466,000 28,165,371 
6.45% 11/3/36 (b) 210,000 273,000 
8.125% 8/16/30 15,000 20,063 
EG Global Finance PLC 6.75% 2/7/25 (b) 530,000 533,975 
Enable Midstream Partners LP 3.9% 5/15/24 (c) 869,000 911,986 
Enbridge, Inc.:   
4% 10/1/23 3,854,000 4,035,633 
4.25% 12/1/26 1,461,000 1,602,813 
Endeavor Energy Resources LP/EER Finance, Inc.:   
5.75% 1/30/28 (b) 435,000 452,400 
6.625% 7/15/25 (b) 110,000 115,638 
Energy Transfer LP:   
3.75% 5/15/30 3,643,000 3,835,053 
4.2% 9/15/23 1,203,000 1,260,622 
4.25% 3/15/23 1,393,000 1,438,313 
4.5% 4/15/24 1,576,000 1,678,333 
4.95% 6/15/28 4,103,000 4,638,561 
5% 5/15/50 7,800,000 8,962,838 
5.25% 4/15/29 2,564,000 2,932,480 
5.4% 10/1/47 1,732,000 2,061,748 
5.8% 6/15/38 2,288,000 2,776,757 
6% 6/15/48 1,490,000 1,870,286 
6.25% 4/15/49 1,761,000 2,286,261 
EnLink Midstream LLC 5.625% 1/15/28 (b) 105,000 107,625 
EnLink Midstream Partners LP:   
5.05% 4/1/45 140,000 129,501 
5.45% 6/1/47 290,000 281,201 
5.6% 4/1/44 490,000 463,050 
EQM Midstream Partners LP:   
4.75% 1/15/31 (b) 550,000 555,500 
5.5% 7/15/28 440,000 466,400 
6.5% 7/1/27 (b) 465,000 502,200 
6.5% 7/15/48 265,000 307,586 
EQT Corp. 3.9% 10/1/27 405,000 422,229 
Global Partners LP/GLP Finance Corp. 7% 8/1/27 1,200,000 1,236,000 
Hess Corp.:   
4.3% 4/1/27 7,041,000 7,646,606 
5.6% 2/15/41 50,505,000 62,248,736 
5.8% 4/1/47 5,019,000 6,592,231 
7.125% 3/15/33 1,403,000 1,875,151 
7.3% 8/15/31 1,709,000 2,280,063 
7.875% 10/1/29 4,789,000 6,450,190 
Hess Midstream Partners LP:   
5.125% 6/15/28 (b) 780,000 797,550 
5.625% 2/15/26 (b) 1,503,000 1,536,818 
Hilcorp Energy I LP/Hilcorp Finance Co. 6.25% 11/1/28 (b) 185,000 187,775 
Holly Energy Partners LP/Holly Energy Finance Corp. 5% 2/1/28 (b) 910,000 905,450 
MPLX LP:   
4.8% 2/15/29 1,376,000 1,560,782 
4.875% 12/1/24 1,974,000 2,146,002 
5.5% 2/15/49 4,129,000 5,214,921 
Murphy Oil U.S.A., Inc. 3.75% 2/15/31 (b) 110,000 105,947 
New Fortress Energy, Inc. 6.5% 9/30/26 (b) 650,000 614,465 
Occidental Petroleum Corp.:   
3.5% 8/15/29 3,191,000 3,124,978 
4.2% 3/15/48 310,000 297,800 
4.3% 8/15/39 562,000 547,950 
4.4% 4/15/46 480,000 471,677 
4.4% 8/15/49 3,942,000 3,873,015 
5.55% 3/15/26 5,734,000 6,129,847 
6.125% 1/1/31 365,000 425,335 
6.2% 3/15/40 160,000 189,600 
6.45% 9/15/36 5,135,000 6,376,335 
6.6% 3/15/46 4,886,000 6,219,145 
7.5% 5/1/31 7,400,000 9,327,219 
7.875% 9/15/31 100,000 130,250 
8.875% 7/15/30 345,000 453,045 
Ovintiv, Inc.:   
5.15% 11/15/41 3,000,000 3,310,668 
8.125% 9/15/30 5,649,000 7,430,113 
PBF Holding Co. LLC/PBF Finance Corp. 9.25% 5/15/25 (b) 1,500,000 1,387,500 
Petroleos Mexicanos:   
6.35% 2/12/48 1,560,000 1,224,990 
6.49% 1/23/27 3,630,000 3,711,494 
6.5% 3/13/27 9,576,000 9,784,278 
6.75% 9/21/47 22,490,000 18,388,949 
6.84% 1/23/30 15,264,000 15,241,104 
6.95% 1/28/60 7,166,000 5,858,205 
7.69% 1/23/50 73,606,000 66,047,400 
Plains All American Pipeline LP/PAA Finance Corp.:   
3.55% 12/15/29 1,968,000 2,039,318 
3.6% 11/1/24 1,903,000 1,992,144 
3.65% 6/1/22 3,779,000 3,805,342 
Rattler Midstream LP 5.625% 7/15/25 (b) 1,110,000 1,143,300 
Regency Energy Partners LP/Regency Energy Finance Corp. 5.875% 3/1/22 2,000,000 2,000,000 
Rockies Express Pipeline LLC:   
4.8% 5/15/30 (b) 735,000 760,725 
4.95% 7/15/29 (b) 276,000 289,455 
6.875% 4/15/40 (b) 105,000 117,075 
Sabine Pass Liquefaction LLC 4.5% 5/15/30 14,626,000 16,545,491 
Sunoco LP/Sunoco Finance Corp.:   
4.5% 5/15/29 635,000 626,428 
5.875% 3/15/28 135,000 141,075 
6% 4/15/27 15,000 15,544 
Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp.:   
5.5% 1/15/28 (b) 125,000 122,031 
6% 3/1/27 (b) 545,000 558,625 
6% 12/31/30 (b) 655,000 647,230 
6% 9/1/31 (b) 270,000 261,225 
Targa Resources Partners LP/Targa Resources Partners Finance Corp.:   
4% 1/15/32 (b) 1,200,000 1,239,624 
4.875% 2/1/31 1,705,000 1,828,613 
5.375% 2/1/27 128,000 130,880 
5.5% 3/1/30 135,000 146,813 
5.875% 4/15/26 881,000 912,936 
The Williams Companies, Inc.:   
3.5% 11/15/30 15,742,000 16,699,869 
3.7% 1/15/23 808,000 828,242 
5.1% 9/15/45 9,765,000 12,041,804 
Venture Global Calcasieu Pass LLC:   
3.875% 8/15/29 (b) 340,000 341,411 
3.875% 11/1/33 (b) 275,000 275,688 
4.125% 8/15/31 (b) 325,000 332,365 
Viper Energy Partners LP 5.375% 11/1/27 (b) 600,000 618,000 
Western Gas Partners LP:   
3.95% 6/1/25 1,280,000 1,323,475 
4.65% 7/1/26 2,046,000 2,184,105 
4.75% 8/15/28 1,236,000 1,345,695 
5.3% 2/1/30 1,420,000 1,528,346 
  438,614,638 
TOTAL ENERGY  440,290,983 
FINANCIALS - 4.8%   
Banks - 2.5%   
AIB Group PLC 1.875% 11/19/29 (Reg. S) (c) EUR2,710,000 3,113,599 
Alpha Bank SA 4.25% 2/13/30 (Reg. S) (c) EUR795,000 863,291 
Bank Ireland Group PLC:   
1.375% 8/11/31 (Reg. S) (c) EUR4,235,000 4,717,345 
2.029% 9/30/27 (b)(c) 2,500,000 2,468,343 
Bank of America Corp.:   
1.734% 7/22/27 (c) 25,000,000 24,774,156 
2.299% 7/21/32 (c) 50,000,000 49,065,730 
3.3% 1/11/23 2,658,000 2,736,397 
3.419% 12/20/28 (c) 5,193,000 5,532,553 
3.5% 4/19/26 6,078,000 6,545,245 
3.95% 4/21/25 37,660,000 40,408,619 
4% 1/22/25 26,856,000 28,726,982 
4.1% 7/24/23 1,426,000 1,505,887 
4.183% 11/25/27 6,909,000 7,556,492 
4.2% 8/26/24 8,311,000 8,930,940 
4.25% 10/22/26 38,178,000 42,083,312 
4.45% 3/3/26 6,522,000 7,176,840 
Banque Federative du Credit Mutuel SA 3 month U.S. LIBOR + 0.730% 0.8615% 7/20/22 (b)(c)(e) 8,158,000 8,191,770 
Barclays Bank PLC 1.7% 5/12/22 5,246,000 5,268,672 
Barclays PLC:   
2.279% 11/24/27 (c) 25,000,000 25,030,048 
2.852% 5/7/26 (c) 14,944,000 15,423,220 
4.375% 1/12/26 4,468,000 4,886,613 
4.836% 5/9/28 6,102,000 6,727,068 
5.088% 6/20/30 (c) 29,218,000 33,206,745 
5.2% 5/12/26 1,556,000 1,747,186 
BNP Paribas SA:   
2.159% 9/15/29 (b)(c) 3,350,000 3,290,775 
2.219% 6/9/26 (b)(c) 13,752,000 13,961,224 
BPCE SA:   
1.5% 1/13/42 (Reg. S) (c) EUR2,200,000 2,472,315 
4.875% 4/1/26 (b) 7,383,000 8,200,629 
CIT Group, Inc.:   
3.929% 6/19/24 (c) 1,900,000 1,956,836 
4.75% 2/16/24 2,520,000 2,658,600 
6.125% 3/9/28 40,155,000 47,382,900 
Citigroup, Inc.:   
4.075% 4/23/29 (c) 4,606,000 5,083,082 
4.125% 7/25/28 6,909,000 7,587,778 
4.3% 11/20/26 1,766,000 1,947,649 
4.4% 6/10/25 19,341,000 21,005,266 
4.412% 3/31/31 (c) 34,201,000 39,012,861 
4.45% 9/29/27 21,445,000 23,848,868 
4.6% 3/9/26 17,445,000 19,275,787 
5.3% 5/6/44 9,501,000 12,452,999 
5.5% 9/13/25 7,738,000 8,757,199 
Citizens Financial Group, Inc. 2.638% 9/30/32 7,305,000 7,309,259 
Commonwealth Bank of Australia 3.61% 9/12/34 (b)(c) 3,723,000 3,905,099 
Danske Bank A/S 2.25% 1/14/28 (Reg. S) (c) GBP1,760,000 2,357,869 
DNB Bank ASA 1.535% 5/25/27 (b)(c) 48,309,000 47,683,653 
HAT Holdings I LLC/HAT Holdings II LLC 3.375% 6/15/26 (b) 350,000 344,313 
HSBC Holdings PLC:   
2.251% 11/22/27 (c) 25,000,000 25,057,682 
4.25% 3/14/24 1,433,000 1,519,767 
4.95% 3/31/30 2,548,000 2,995,970 
5.25% 3/14/44 1,039,000 1,347,238 
Intesa Sanpaolo SpA:   
4.198% 6/1/32 (b)(c) 17,320,000 17,364,932 
5.017% 6/26/24 (b) 10,324,000 11,036,742 
5.71% 1/15/26 (b) 77,369,000 85,760,169 
JPMorgan Chase & Co.:   
2.956% 5/13/31 (c) 7,934,000 8,194,769 
4.125% 12/15/26 15,380,000 16,999,373 
Lloyds Banking Group PLC 1.985% 12/15/31 (c) GBP1,195,000 1,560,327 
NatWest Group PLC:   
3.073% 5/22/28 (c) 8,707,000 9,069,696 
3.622% 8/14/30 (Reg. S) (c) GBP3,400,000 4,715,862 
4.8% 4/5/26 19,815,000 22,084,674 
5.125% 5/28/24 35,958,000 38,919,593 
6% 12/19/23 43,478,000 47,409,929 
6.1% 6/10/23 19,857,000 21,273,952 
6.125% 12/15/22 21,905,000 23,046,639 
NatWest Markets PLC 2.375% 5/21/23 (b) 15,700,000 16,048,844 
Rabobank Nederland 4.375% 8/4/25 4,789,000 5,206,274 
Societe Generale:   
1.038% 6/18/25 (b)(c) 75,000,000 73,975,228 
1.488% 12/14/26 (b)(c) 16,638,000 16,260,032 
4.25% 4/14/25 (b) 7,110,000 7,573,310 
4.75% 11/24/25 (b) 1,485,000 1,616,431 
Synchrony Bank 3% 6/15/22 3,984,000 4,028,698 
UniCredit SpA:   
2.731% 1/15/32 (Reg. S) (c) EUR3,365,000 3,848,830 
6.572% 1/14/22 (b) 6,953,000 6,997,916 
Virgin Money UK PLC 5.125% 12/11/30 (Reg. S) (c) GBP1,075,000 1,548,175 
Wells Fargo & Co.:   
2.406% 10/30/25 (c) 7,739,000 7,945,971 
4.3% 7/22/27 25,328,000 28,161,481 
4.478% 4/4/31 (c) 19,300,000 22,302,566 
Westpac Banking Corp. 4.11% 7/24/34 (c) 5,171,000 5,607,575 
  1,156,660,659 
Capital Markets - 1.1%   
Affiliated Managers Group, Inc. 4.25% 2/15/24 1,396,000 1,490,143 
Ares Capital Corp.:   
3.25% 7/15/25 42,000,000 43,243,137 
3.875% 1/15/26 22,188,000 23,355,749 
4.2% 6/10/24 15,463,000 16,291,324 
Coinbase Global, Inc.:   
3.375% 10/1/28 (b) 685,000 643,900 
3.625% 10/1/31 (b) 685,000 635,338 
Credit Suisse Group AG:   
2.125% 11/15/29 (Reg. S) (c) GBP1,300,000 1,712,441 
2.593% 9/11/25 (b)(c) 14,306,000 14,628,125 
3.75% 3/26/25 9,717,000 10,357,217 
4.194% 4/1/31 (b)(c) 38,618,000 42,477,013 
4.282% 1/9/28 (b) 2,250,000 2,453,538 
4.55% 4/17/26 3,126,000 3,452,350 
Deutsche Bank AG 4.5% 4/1/25 33,327,000 35,560,350 
Deutsche Bank AG New York Branch:   
2.311% 11/16/27 (c) 25,000,000 24,957,658 
3.3% 11/16/22 7,369,000 7,545,274 
3.729% 1/14/32 (c) 10,000,000 10,187,976 
4.1% 1/13/26 8,332,000 8,959,509 
5% 2/14/22 11,778,000 11,881,536 
Goldman Sachs Group, Inc.:   
2.383% 7/21/32 (c) 18,425,000 18,078,449 
3.272% 9/29/25 (c) 35,921,000 37,679,378 
4.25% 10/21/25 12,215,000 13,283,017 
6.75% 10/1/37 59,592,000 84,160,572 
Intercontinental Exchange, Inc. 3.75% 12/1/25 2,038,000 2,207,384 
Jane Street Group LLC/JSG Finance, Inc. 4.5% 11/15/29 (b) 155,000 154,768 
LPL Holdings, Inc. 4% 3/15/29 (b) 1,070,000 1,074,483 
Morgan Stanley:   
3.125% 7/27/26 14,775,000 15,654,645 
3.622% 4/1/31 (c) 17,370,000 18,964,305 
3.625% 1/20/27 16,594,000 17,959,204 
3.7% 10/23/24 4,754,000 5,067,479 
3.875% 4/29/24 4,377,000 4,648,481 
4.875% 11/1/22 9,955,000 10,330,976 
5% 11/24/25 21,351,000 23,868,974 
MSCI, Inc. 3.25% 8/15/33 (b) 215,000 214,389 
State Street Corp.:   
2.825% 3/30/23 (c) 1,216,000 1,224,865 
2.901% 3/30/26 (c) 1,141,000 1,200,062 
UBS Group AG 1.494% 8/10/27 (b)(c) 11,792,000 11,533,772 
  527,137,781 
Consumer Finance - 0.8%   
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust:   
1.65% 10/29/24 22,700,000 22,659,059 
1.75% 1/30/26 14,780,000 14,489,064 
2.45% 10/29/26 8,602,000 8,623,641 
2.875% 8/14/24 8,576,000 8,851,954 
3% 10/29/28 9,010,000 9,073,096 
3.3% 1/30/32 9,639,000 9,712,546 
3.5% 5/26/22 293,000 296,400 
4.125% 7/3/23 4,250,000 4,431,862 
4.45% 4/3/26 4,254,000 4,614,957 
4.875% 1/16/24 6,629,000 7,083,273 
6.5% 7/15/25 6,613,000 7,564,789 
Ally Financial, Inc.:   
1.45% 10/2/23 3,893,000 3,910,216 
3.05% 6/5/23 17,631,000 18,101,999 
3.875% 5/21/24 8,893,000 9,378,102 
4.625% 3/30/25 3,595,000 3,925,081 
5.125% 9/30/24 3,534,000 3,872,168 
5.75% 11/20/25 1,188,000 1,345,388 
5.8% 5/1/25 9,417,000 10,642,578 
8% 11/1/31 5,827,000 8,243,060 
8% 11/1/31 222,000 308,358 
Capital One Financial Corp.:   
3.65% 5/11/27 21,700,000 23,465,583 
3.8% 1/31/28 10,723,000 11,738,347 
Discover Financial Services:   
3.95% 11/6/24 1,874,000 2,001,869 
4.1% 2/9/27 13,375,000 14,571,044 
4.5% 1/30/26 5,913,000 6,486,428 
Ford Motor Credit Co. LLC:   
2.7% 8/10/26 5,665,000 5,615,431 
3.625% 6/17/31 5,000,000 5,100,000 
4% 11/13/30 17,230,000 18,069,963 
4.063% 11/1/24 46,639,000 48,644,477 
4.125% 8/17/27 19,335,000 20,396,878 
4.687% 6/9/25 430,000 455,905 
5.113% 5/3/29 1,320,000 1,461,372 
5.125% 6/16/25 320,000 345,882 
5.584% 3/18/24 8,520,000 9,089,136 
5.596% 1/7/22 7,576,000 7,603,274 
OneMain Finance Corp.:   
3.5% 1/15/27 805,000 776,825 
3.875% 9/15/28 1,350,000 1,302,750 
Synchrony Financial:   
2.85% 7/25/22 2,154,000 2,182,788 
3.95% 12/1/27 8,239,000 8,894,986 
4.25% 8/15/24 8,335,000 8,873,401 
4.375% 3/19/24 8,694,000 9,217,512 
5.15% 3/19/29 18,424,000 21,417,341 
  384,838,783 
Diversified Financial Services - 0.2%   
Brixmor Operating Partnership LP:   
4.05% 7/1/30 9,134,000 10,035,408 
4.125% 6/15/26 5,362,000 5,844,886 
4.125% 5/15/29 19,691,000 21,919,695 
Equitable Holdings, Inc. 3.9% 4/20/23 674,000 700,917 
Icahn Enterprises LP/Icahn Enterprises Finance Corp.:   
4.75% 9/15/24 740,000 749,250 
5.25% 5/15/27 3,430,000 3,490,025 
6.25% 5/15/26 1,691,000 1,737,503 
Leighton Finance U.S.A. Pty Ltd. 1.5% 5/28/29 (Reg. S) EUR2,050,000 2,351,851 
M&G PLC 5.625% 10/20/51 (Reg. S) (c) GBP1,485,000 2,288,404 
Park Aerospace Holdings Ltd. 5.5% 2/15/24 (b) 7,300,000 7,864,498 
Pine Street Trust I 4.572% 2/15/29 (b) 7,749,000 8,839,344 
Pine Street Trust II 5.568% 2/15/49 (b) 7,700,000 10,377,183 
VMED O2 UK Financing I PLC 4.25% 1/31/31 (b) 1,805,000 1,726,898 
  77,925,862 
Insurance - 0.2%   
AIA Group Ltd. 0.88% 9/9/33 (Reg. S) (c) EUR705,000 789,794 
Credit Agricole Assurances SA 4.75% 9/27/48 (c) EUR2,200,000 2,958,575 
Demeter Investments BV 5.625% 8/15/52 (Reg. S) (c) 5,775,000 6,483,131 
Fidelidade-Companhia de Seguros SA 4.25% 9/4/31 (Reg. S) (c) EUR800,000 922,132 
Five Corners Funding Trust II 2.85% 5/15/30 (b) 15,870,000 16,435,968 
Liberty Mutual Group, Inc. 3.95% 5/15/60 (b) 12,820,000 14,658,640 
Lincoln National Corp. 3.4% 1/15/31 14,811,000 16,006,261 
Pacific LifeCorp 5.125% 1/30/43 (b) 2,623,000 3,380,806 
Pricoa Global Funding I 5.375% 5/15/45 (c) 3,148,000 3,369,556 
Prudential PLC 2.95% 11/3/33 (Reg. S) (c) 3,700,000 3,637,285 
QBE Insurance Group Ltd.:   
2.5% 9/13/38 (Reg. S) (c) GBP1,705,000 2,185,801 
6.75% 12/2/44 (Reg. S) (c) 3,605,000 3,989,775 
Swiss Re Finance Luxembourg SA 5% 4/2/49 (b)(c) 3,000,000 3,345,000 
Unum Group:   
4% 6/15/29 6,130,000 6,787,705 
5.75% 8/15/42 1,622,000 2,046,836 
Zurich Finance (Ireland) DAC 3.5% 5/2/52 (Reg. S) (c) 1,650,000 1,614,938 
  88,612,203 
Thrifts & Mortgage Finance - 0.0%   
Quicken Loans LLC/Quicken Loans Co-Issuer, Inc. 3.625% 3/1/29 (b) 655,000 640,263 
TOTAL FINANCIALS  2,235,815,551 
HEALTH CARE - 0.4%   
Biotechnology - 0.0%   
AbbVie, Inc. 3.2% 11/21/29 4,900,000 5,198,731 
Emergent BioSolutions, Inc. 3.875% 8/15/28 (b) 212,000 201,336 
Grifols Escrow Issuer SA 4.75% 10/15/28 (b) 200,000 198,000 
  5,598,067 
Health Care Equipment & Supplies - 0.0%   
Hologic, Inc.:   
3.25% 2/15/29 (b) 545,000 534,781 
4.625% 2/1/28 (b) 65,000 67,438 
Mozart Debt Merger Sub, Inc. 3.875% 4/1/29 (b) 820,000 809,750 
Teleflex, Inc. 4.25% 6/1/28(b) 145,000 146,450 
  1,558,419 
Health Care Providers & Services - 0.2%   
180 Medical, Inc. 3.875% 10/15/29 (b) 200,000 196,392 
Anthem, Inc. 3.3% 1/15/23 4,322,000 4,444,370 
Centene Corp.:   
2.45% 7/15/28 11,370,000 11,156,813 
2.5% 3/1/31 945,000 905,475 
2.625% 8/1/31 5,485,000 5,306,738 
3.375% 2/15/30 7,725,000 7,780,172 
4.25% 12/15/27 6,215,000 6,448,063 
4.625% 12/15/29 8,795,000 9,410,650 
Cigna Corp. 4.375% 10/15/28 6,630,000 7,511,892 
CVS Health Corp. 3.625% 4/1/27 3,208,000 3,468,246 
DaVita HealthCare Partners, Inc. 4.625% 6/1/30 (b) 1,405,000 1,387,438 
HCA Holdings, Inc. 4.75% 5/1/23 138,000 144,950 
HealthEquity, Inc. 4.5% 10/1/29 (b) 110,000 108,625 
Molina Healthcare, Inc. 3.875% 11/15/30 (b) 850,000 854,250 
Owens & Minor, Inc. 4.5% 3/31/29 (b) 160,000 162,172 
Sabra Health Care LP 3.2% 12/1/31 18,596,000 18,246,204 
Tenet Healthcare Corp.:   
4.625% 6/15/28 (b) 2,765,000 2,821,434 
4.875% 1/1/26 (b) 385,000 393,663 
5.125% 11/1/27 (b) 1,000,000 1,026,830 
Toledo Hospital 5.325% 11/15/28 2,395,000 2,672,475 
  84,446,852 
Health Care Technology - 0.0%   
IQVIA, Inc. 5% 5/15/27 (b) 630,000 648,900 
Life Sciences Tools & Services - 0.0%   
Charles River Laboratories International, Inc.:   
3.75% 3/15/29 (b) 180,000 177,975 
4.25% 5/1/28 (b) 70,000 70,960 
  248,935 
Pharmaceuticals - 0.2%   
Bayer AG 2.375% 4/2/75 (Reg. S) (c) EUR4,095,000 4,675,069 
Bayer U.S. Finance II LLC 4.25% 12/15/25 (b) 50,548,000 55,024,570 
Catalent Pharma Solutions 3.5% 4/1/30 (b) 1,205,000 1,170,537 
Elanco Animal Health, Inc.:   
5.272% 8/28/23 (c) 3,402,000 3,593,975 
5.9% 8/28/28 (c) 1,432,000 1,638,022 
Jazz Securities DAC 4.375% 1/15/29 (b) 225,000 229,235 
Organon & Co. / Organon Foreign Debt Co-Issuer BV 4.125% 4/30/28 (b) 530,000 528,784 
Utah Acquisition Sub, Inc. 3.95% 6/15/26 2,065,000 2,220,359 
Viatris, Inc.:   
1.65% 6/22/25 1,773,000 1,769,461 
2.7% 6/22/30 9,017,000 9,003,487 
3.85% 6/22/40 3,928,000 4,183,670 
4% 6/22/50 6,783,000 7,308,874 
Zoetis, Inc. 3.25% 2/1/23 1,210,000 1,235,957 
  92,582,000 
TOTAL HEALTH CARE  185,083,173 
INDUSTRIALS - 0.3%   
Aerospace & Defense - 0.1%   
BAE Systems PLC 3.4% 4/15/30 (b) 4,094,000 4,381,412 
BWX Technologies, Inc. 4.125% 6/30/28 (b) 480,000 480,000 
Howmet Aerospace, Inc.:   
5.95% 2/1/37 25,000 29,313 
6.75% 1/15/28 365,000 426,138 
Moog, Inc. 4.25% 12/15/27 (b) 980,000 995,362 
Rolls-Royce PLC:   
3.375% 6/18/26 GBP1,940,000 2,581,393 
5.75% 10/15/27 (b) 615,000 677,269 
The Boeing Co.:   
5.04% 5/1/27 6,070,000 6,834,469 
5.15% 5/1/30 6,070,000 7,041,154 
5.805% 5/1/50 6,070,000 8,187,277 
5.93% 5/1/60 6,070,000 8,390,227 
TransDigm, Inc.:   
6.25% 3/15/26 (b) 2,552,000 2,647,700 
7.5% 3/15/27 95,000 99,038 
8% 12/15/25 (b) 1,120,000 1,180,200 
  43,950,952 
Airlines - 0.0%   
United Airlines, Inc. 4.375% 4/15/26 (b) 530,000 532,109 
Building Products - 0.0%   
Advanced Drain Systems, Inc. 5% 9/30/27 (b) 965,000 997,733 
Standard Industries, Inc./New Jersey 4.375% 7/15/30 (b) 715,000 703,381 
  1,701,114 
Commercial Services & Supplies - 0.0%   
ADT Corp.:   
4.125% 8/1/29 (b) 270,000 262,744 
4.875% 7/15/32 (b) 670,000 663,173 
Nielsen Finance LLC/Nielsen Finance Co.:   
5.625% 10/1/28 (b) 495,000 505,286 
5.875% 10/1/30 (b) 490,000 509,786 
Prime Securities Services Borrower LLC/Prime Finance, Inc. 3.375% 8/31/27 (b) 1,230,000 1,163,888 
Stericycle, Inc. 3.875% 1/15/29 (b) 450,000 438,750 
  3,543,627 
Construction & Engineering - 0.0%   
AECOM 5.125% 3/15/27 1,077,000 1,154,339 
Electrical Equipment - 0.0%   
Sensata Technologies BV 4% 4/15/29 (b) 275,000 278,850 
Vertiv Group Corp. 4.125% 11/15/28 (b) 675,000 673,313 
  952,163 
Industrial Conglomerates - 0.0%   
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp. 4.25% 2/1/27 (b) 500,000 497,050 
Machinery - 0.0%   
Vertical U.S. Newco, Inc. 5.25% 7/15/27 (b) 1,065,000 1,083,030 
Marine - 0.0%   
Seaspan Corp. 5.5% 8/1/29 (b) 270,000 267,894 
Professional Services - 0.0%   
ASGN, Inc. 4.625% 5/15/28 (b) 1,470,000 1,507,779 
Booz Allen Hamilton, Inc.:   
3.875% 9/1/28 (b) 765,000 768,833 
4% 7/1/29 (b) 105,000 105,525 
TriNet Group, Inc. 3.5% 3/1/29 (b) 405,000 400,140 
  2,782,277 
Road & Rail - 0.0%   
Alpha Trains Finance SA 2.064% 6/30/30 EUR1,740,000 2,057,039 
XPO Logistics, Inc. 6.25% 5/1/25 (b) 1,705,000 1,772,757 
  3,829,796 
Trading Companies & Distributors - 0.1%   
Air Lease Corp.:   
0.7% 2/15/24 10,742,000 10,590,430 
2.25% 1/15/23 1,863,000 1,891,908 
3% 9/15/23 583,000 599,485 
3.375% 7/1/25 11,630,000 12,191,223 
3.75% 2/1/22 2,924,000 2,924,000 
3.75% 6/1/26 5,000,000 5,316,646 
4.25% 2/1/24 7,180,000 7,600,522 
4.25% 9/15/24 2,331,000 2,493,592 
Travis Perkins PLC 3.75% 2/17/26 (Reg. S) GBP1,100,000 1,510,491 
  45,118,297 
Transportation Infrastructure - 0.1%   
Aeroporti di Roma SPA 1.75% 7/30/31 (Reg. S) EUR1,340,000 1,554,437 
Avolon Holdings Funding Ltd.:   
3.25% 2/15/27 (b) 10,726,000 10,901,386 
3.625% 5/1/22 (b) 2,141,000 2,161,906 
3.95% 7/1/24 (b) 2,844,000 2,980,790 
4.375% 5/1/26 (b) 7,394,000 7,923,098 
5.25% 5/15/24 (b) 4,186,000 4,504,632 
Heathrow Funding Ltd. 2.625% 3/16/28 (Reg. S) GBP3,560,000 4,732,444 
Holding d'Infrastructures et des Metiers de l'Environnement 0.625% 9/16/28 (Reg. S) EUR700,000 783,645 
  35,542,338 
TOTAL INDUSTRIALS  140,954,986 
INFORMATION TECHNOLOGY - 0.3%   
Communications Equipment - 0.0%   
Cellnex Finance Co. SA 1% 9/15/27 (Reg. S) EUR2,900,000 3,191,934 
Viavi Solutions, Inc. 3.75% 10/1/29 (b) 545,000 532,738 
  3,724,672 
Electronic Equipment & Components - 0.0%   
Dell International LLC/EMC Corp.:   
5.45% 6/15/23 3,360,000 3,563,826 
6.02% 6/15/26 1,948,000 2,267,454 
Sensata Technologies, Inc. 3.75% 2/15/31 (b) 1,410,000 1,385,325 
TTM Technologies, Inc. 4% 3/1/29 (b) 315,000 305,607 
  7,522,212 
IT Services - 0.0%   
Gartner, Inc.:   
3.625% 6/15/29 (b) 155,000 154,031 
3.75% 10/1/30 (b) 255,000 254,363 
4.5% 7/1/28 (b) 395,000 410,524 
Square, Inc. 2.75% 6/1/26 (b) 265,000 263,712 
Twilio, Inc. 3.875% 3/15/31 200,000 198,500 
  1,281,130 
Semiconductors & Semiconductor Equipment - 0.2%   
Broadcom, Inc.:   
1.95% 2/15/28 (b) 2,879,000 2,808,966 
2.45% 2/15/31 (b) 19,432,000 18,701,634 
2.6% 2/15/33 (b) 19,432,000 18,590,083 
3.5% 2/15/41 (b) 19,430,000 19,379,847 
3.75% 2/15/51 (b) 9,284,000 9,657,171 
Entegris, Inc. 4.375% 4/15/28 (b) 755,000 769,156 
ON Semiconductor Corp. 3.875% 9/1/28 (b) 300,000 305,217 
Qorvo, Inc. 3.375% 4/1/31 (b) 615,000 619,859 
  70,831,933 
Software - 0.1%   
CDK Global, Inc. 5.25% 5/15/29 (b) 1,132,000 1,197,090 
Crowdstrike Holdings, Inc. 3% 2/15/29 295,000 284,480 
Fair Isaac Corp. 5.25% 5/15/26 (b) 793,000 871,309 
Nuance Communications, Inc. 5.625% 12/15/26 1,382,000 1,423,729 
Open Text Corp.:   
3.875% 2/15/28 (b) 420,000 415,800 
3.875% 12/1/29 (b) 960,000 954,317 
Oracle Corp.:   
2.5% 4/1/25 8,253,000 8,494,880 
2.8% 4/1/27 8,253,000 8,550,683 
2.95% 4/1/30 8,300,000 8,570,470 
3.85% 4/1/60 8,300,000 8,616,279 
  39,379,037 
Technology Hardware, Storage & Peripherals - 0.0%   
Hewlett Packard Enterprise Co. 4.4% 10/15/22 (c) 3,173,000 3,256,532 
TOTAL INFORMATION TECHNOLOGY  125,995,516 
MATERIALS - 0.0%   
Chemicals - 0.0%   
Axalta Coating Systems/Dutch Holding BV 4.75% 6/15/27 (b) 585,000 604,568 
CF Industries Holdings, Inc.:   
4.95% 6/1/43 5,000 6,015 
5.15% 3/15/34 1,617,000 1,938,039 
5.375% 3/15/44 255,000 322,583 
LSB Industries, Inc. 6.25% 10/15/28 (b) 165,000 170,372 
Methanex Corp.:   
5.125% 10/15/27 765,000 799,425 
5.25% 12/15/29 90,000 94,050 
5.65% 12/1/44 581,000 586,188 
NOVA Chemicals Corp. 5.25% 6/1/27 (b) 949,000 996,450 
Olin Corp.:   
5% 2/1/30 1,715,000 1,792,175 
5.125% 9/15/27 975,000 1,004,250 
5.625% 8/1/29 465,000 501,516 
SPCM SA 3.125% 3/15/27 (b) 285,000 278,588 
The Chemours Co. LLC:   
5.375% 5/15/27 1,115,000 1,165,404 
5.75% 11/15/28 (b) 275,000 281,875 
Valvoline, Inc. 4.25% 2/15/30 (b) 165,000 163,581 
W.R. Grace Holding LLC:   
4.875% 6/15/27 (b) 305,000 302,617 
5.625% 10/1/24 (b) 1,254,000 1,334,388 
  12,342,084 
Containers & Packaging - 0.0%   
Ardagh Packaging Finance PLC/Ardagh MP Holdings U.S.A., Inc. 4.125% 8/15/26 (b) 25,000 25,283 
Ball Corp. 3.125% 9/15/31 955,000 919,001 
Graphic Packaging International, Inc. 3.75% 2/1/30 (b) 135,000 134,172 
OI European Group BV 4.75% 2/15/30 (b) 280,000 279,714 
Trivium Packaging Finance BV 5.5% 8/15/26 (b) 485,000 500,675 
  1,858,845 
Metals & Mining - 0.0%   
FMG Resources (August 2006) Pty Ltd. 4.5% 9/15/27 (b) 10,000 10,362 
HudBay Minerals, Inc. 4.5% 4/1/26 (b) 135,000 132,638 
Kaiser Aluminum Corp. 4.625% 3/1/28 (b) 1,005,000 984,327 
Novelis Corp. 3.875% 8/15/31 (b) 270,000 260,550 
Roller Bearing Co. of America, Inc. 4.375% 10/15/29 (b) 75,000 74,831 
  1,462,708 
Paper & Forest Products - 0.0%   
Glatfelter Corp. 4.75% 11/15/29 (b) 220,000 222,750 
TOTAL MATERIALS  15,886,387 
REAL ESTATE - 0.8%   
Equity Real Estate Investment Trusts (REITs) - 0.6%   
Alexandria Real Estate Equities, Inc.:   
2% 5/18/32 8,258,000 7,966,268 
4.9% 12/15/30 7,224,000 8,710,328 
American Homes 4 Rent LP:   
2.375% 7/15/31 1,482,000 1,465,941 
3.375% 7/15/51 2,291,000 2,365,829 
ARGAN SA 1.011% 11/17/26 (Reg. S) EUR1,000,000 1,136,402 
Boston Properties, Inc. 4.5% 12/1/28 4,766,000 5,420,872 
Corporate Office Properties LP:   
2.25% 3/15/26 2,969,000 3,004,512 
2.75% 4/15/31 2,188,000 2,193,901 
Duke Realty LP 3.25% 6/30/26 589,000 629,690 
Healthcare Trust of America Holdings LP:   
3.1% 2/15/30 1,868,000 1,938,933 
3.5% 8/1/26 1,945,000 2,088,399 
Hudson Pacific Properties LP 4.65% 4/1/29 10,668,000 12,157,066 
Iron Mountain, Inc. 4.875% 9/15/29 (b) 615,000 623,610 
Kimco Realty Corp.:   
2.25% 12/1/31 15,265,000 14,844,700 
3.375% 10/15/22 456,000 463,564 
Kite Realty Group Trust:   
4% 3/15/25 10,791,000 11,339,594 
4.75% 9/15/30 17,486,000 19,373,264 
Lexington Corporate Properties Trust:   
2.7% 9/15/30 1,445,000 1,453,634 
4.4% 6/15/24 948,000 1,005,505 
MGM Growth Properties Operating Partnership LP:   
4.5% 9/1/26 1,508,000 1,617,330 
4.5% 1/15/28 637,000 684,775 
4.625% 6/15/25 (b) 150,000 159,750 
5.75% 2/1/27 256,000 289,920 
Omega Healthcare Investors, Inc.:   
3.25% 4/15/33 9,457,000 9,201,090 
3.375% 2/1/31 5,854,000 5,894,775 
3.625% 10/1/29 8,376,000 8,762,796 
4.375% 8/1/23 1,006,000 1,053,786 
4.5% 1/15/25 2,013,000 2,161,925 
4.5% 4/1/27 716,000 787,226 
4.75% 1/15/28 11,294,000 12,520,185 
4.95% 4/1/24 882,000 946,785 
5.25% 1/15/26 3,755,000 4,194,185 
Piedmont Operating Partnership LP 2.75% 4/1/32 3,072,000 3,030,699 
Realty Income Corp.:   
2.2% 6/15/28 1,380,000 1,392,669 
2.85% 12/15/32 1,698,000 1,771,272 
3.25% 1/15/31 1,828,000 1,964,332 
3.4% 1/15/28 2,874,000 3,089,603 
Retail Opportunity Investments Partnership LP:   
4% 12/15/24 641,000 676,694 
5% 12/15/23 494,000 525,168 
SBA Communications Corp. 3.875% 2/15/27 515,000 527,142 
Service Properties Trust:   
3.95% 1/15/28 40,000 35,998 
4.375% 2/15/30 415,000 373,500 
4.95% 2/15/27 600,000 572,394 
4.95% 10/1/29 245,000 228,855 
5.5% 12/15/27 230,000 232,190 
Simon Property Group LP:   
2.45% 9/13/29 3,008,000 3,051,650 
3.375% 12/1/27 6,125,000 6,582,581 
SITE Centers Corp.:   
3.625% 2/1/25 1,532,000 1,611,011 
4.25% 2/1/26 2,753,000 2,945,562 
Store Capital Corp.:   
2.75% 11/18/30 3,456,000 3,474,483 
4.625% 3/15/29 2,374,000 2,682,767 
The GEO Group, Inc. 6% 4/15/26 305,000 262,300 
Uniti Group, Inc. 7.875% 2/15/25 (b) 1,050,000 1,097,901 
Ventas Realty LP:   
2.5% 9/1/31 22,080,000 21,813,595 
3% 1/15/30 11,060,000 11,434,101 
4% 3/1/28 2,150,000 2,372,956 
4.125% 1/15/26 999,000 1,093,535 
4.75% 11/15/30 16,500,000 19,330,184 
VICI Properties, Inc.:   
4.25% 12/1/26 (b) 1,640,000 1,693,300 
4.625% 12/1/29 (b) 595,000 632,045 
Vornado Realty LP:   
2.15% 6/1/26 3,558,000 3,571,720 
3.4% 6/1/31 12,870,000 13,267,364 
WP Carey, Inc.:   
3.85% 7/15/29 1,773,000 1,966,720 
4% 2/1/25 3,423,000 3,666,450 
4.6% 4/1/24 5,327,000 5,685,347 
  269,112,628 
Real Estate Management & Development - 0.2%   
ACCENTRO Real Estate AG 3.625% 2/13/23 (Reg. S) EUR1,460,000 1,364,368 
ADLER Group SA:   
1.875% 1/14/26 (Reg. S) EUR500,000 462,146 
2.25% 4/27/27 (Reg. S) EUR5,500,000 5,021,228 
Akelius Residential Property AB 3.875% 10/5/78 (Reg. S) (c) EUR1,295,000 1,527,744 
Blackstone Property Partners Europe LP:   
1% 5/4/28 (Reg. S) EUR4,220,000 4,671,161 
2.625% 10/20/28 (Reg. S) GBP650,000 876,635 
Brandywine Operating Partnership LP:   
3.95% 2/15/23 7,832,000 8,050,674 
3.95% 11/15/27 4,382,000 4,727,213 
4.1% 10/1/24 3,961,000 4,217,810 
4.55% 10/1/29 1,896,000 2,108,579 
CBRE Group, Inc.:   
2.5% 4/1/31 10,225,000 10,255,711 
4.875% 3/1/26 7,844,000 8,817,402 
Essex Portfolio LP 3.875% 5/1/24 1,923,000 2,033,706 
GTC Aurora Luxembourg SA 2.25% 6/23/26 (Reg. S) EUR1,390,000 1,554,219 
Heimstaden AB 4.375% 3/6/27 (Reg. S) EUR1,400,000 1,577,721 
Howard Hughes Corp. 4.375% 2/1/31 (b) 395,000 390,588 
Kennedy-Wilson, Inc. 4.75% 2/1/30 540,000 542,700 
Mid-America Apartments LP 4% 11/15/25 828,000 902,762 
Post Apartment Homes LP 3.375% 12/1/22 251,000 256,000 
Sirius Real Estate Ltd. 1.125% 6/22/26 (Reg. S) EUR700,000 788,376 
Sun Communities Operating LP:   
2.3% 11/1/28 3,510,000 3,502,951 
2.7% 7/15/31 8,479,000 8,492,206 
Tanger Properties LP:   
2.75% 9/1/31 8,876,000 8,512,608 
3.125% 9/1/26 2,628,000 2,730,624 
3.875% 7/15/27 11,191,000 12,025,923 
Tritax EuroBox PLC 0.95% 6/2/26 (Reg. S) EUR1,300,000 1,481,585 
  96,892,640 
TOTAL REAL ESTATE  366,005,268 
UTILITIES - 0.4%   
Electric Utilities - 0.1%   
AusNet Services Holdings Pty Ltd. 1.625% 3/11/81 (Reg. S) (c) EUR1,360,000 1,540,448 
Clearway Energy Operating LLC:   
3.75% 2/15/31 (b) 925,000 914,289 
4.75% 3/15/28 (b) 140,000 147,000 
Cleco Corporate Holdings LLC 3.375% 9/15/29 4,843,000 4,919,427 
DPL, Inc. 4.35% 4/15/29 7,785,000 8,252,100 
Duquesne Light Holdings, Inc.:   
2.532% 10/1/30 (b) 2,328,000 2,292,563 
2.775% 1/7/32 (b) 8,828,000 8,823,308 
Enel SpA 3.375% (Reg. S) (c)(f) EUR1,855,000 2,285,204 
FirstEnergy Corp.:   
4.75% 3/15/23 4,502,000 4,628,191 
7.375% 11/15/31 5,738,000 7,674,059 
InterGen NV 7% 6/30/23 (b) 964,000 944,720 
IPALCO Enterprises, Inc. 3.7% 9/1/24 1,963,000 2,063,955 
NextEra Energy Partners LP 4.25% 9/15/24 (b) 56,000 58,479 
NGG Finance PLC 2.125% 9/5/82 (Reg. S) (c) EUR2,060,000 2,329,938 
NRG Energy, Inc.:   
3.625% 2/15/31 (b) 1,785,000 1,695,750 
5.25% 6/15/29 (b) 484,000 501,714 
5.75% 1/15/28 581,000 607,145 
6.625% 1/15/27 57,000 58,924 
NSG Holdings II LLC/NSG Holdings, Inc. 7.75% 12/15/25 (b) 1,206,034 1,284,426 
PG&E Corp.:   
5% 7/1/28 4,480,000 4,614,400 
5.25% 7/1/30 1,155,000 1,183,875 
Southern Co. 1.875% 9/15/81 (c) EUR2,800,000 3,073,865 
SSE PLC 4.75% 9/16/77 (Reg. S) (c) 6,395,000 6,506,913 
Vistra Operations Co. LLC:   
5.5% 9/1/26 (b) 3,498,000 3,583,771 
5.625% 2/15/27 (b) 665,000 682,885 
  70,667,349 
Gas Utilities - 0.0%   
Nakilat, Inc. 6.067% 12/31/33 (b) 1,181,644 1,443,304 
Superior Plus LP / Superior General Partner, Inc. 4.5% 3/15/29 (b) 185,000 188,534 
  1,631,838 
Independent Power and Renewable Electricity Producers - 0.1%   
TerraForm Power Operating LLC:   
4.75% 1/15/30 (b) 75,000 76,106 
5% 1/31/28 (b) 656,000 682,240 
The AES Corp.:   
2.45% 1/15/31 4,011,000 3,926,263 
3.3% 7/15/25 (b) 15,965,000 16,700,667 
3.95% 7/15/30 (b) 13,922,000 15,009,169 
  36,394,445 
Multi-Utilities - 0.2%   
Berkshire Hathaway Energy Co.:   
3.7% 7/15/30 1,758,000 1,956,966 
4.05% 4/15/25 21,459,000 23,349,707 
Consolidated Edison Co. of New York, Inc. 3.95% 4/1/50 2,477,000 2,888,572 
NiSource, Inc.:   
2.95% 9/1/29 12,206,000 12,648,907 
3.49% 5/15/27 13,900,000 14,908,831 
5.95% 6/15/41 1,737,000 2,394,268 
Puget Energy, Inc.:   
4.1% 6/15/30 6,250,000 6,787,630 
5.625% 7/15/22 3,305,000 3,366,273 
Sempra Energy 6% 10/15/39 2,744,000 3,807,636 
WEC Energy Group, Inc. 3 month U.S. LIBOR + 2.110% 2.2685% 5/15/67 (c)(e) 1,843,000 1,713,990 
  73,822,780 
TOTAL UTILITIES  182,516,412 
TOTAL NONCONVERTIBLE BONDS   
(Cost $4,601,745,339)  4,892,467,682 
U.S. Treasury Obligations - 7.9%   
U.S. Treasury Bonds 2.375% 5/15/51 674,726,000 765,286,880 
U.S. Treasury Notes:   
0.125% 6/30/22 $455,500,000 $455,393,240 
0.5% 5/31/27 520,000,000 500,114,061 
0.875% 11/15/30 428,909,000 410,060,461 
1.125% 2/28/22 199,000,000 199,518,928 
1.125% 10/31/26 250,000,000 249,648,438 
1.125% 2/15/31 160,064,000 156,256,228 
1.25% 4/30/28 250,000,000 248,925,780 
1.25% 5/31/28 74,500,000 74,142,051 
1.25% 6/30/28 75,000,000 74,566,406 
1.25% 8/15/31 314,600,000 309,536,906 
1.375% 11/15/31 (g) 193,097,000 191,920,315 
3.125% 11/15/28 51,642,000 57,728,090 
TOTAL U.S. TREASURY OBLIGATIONS   
(Cost $3,605,867,800)  3,693,097,784 
U.S. Government Agency - Mortgage Securities - 17.2%   
Fannie Mae - 4.7%   
12 month U.S. LIBOR + 1.440% 1.779% 4/1/37 (c)(e) 10,777 11,285 
12 month U.S. LIBOR + 1.460% 1.859% 1/1/35 (c)(e) 7,962 8,322 
12 month U.S. LIBOR + 1.480% 1.855% 7/1/34 (c)(e) 1,986 2,074 
12 month U.S. LIBOR + 1.530% 1.91% 3/1/36 (c)(e) 1,721 1,808 
12 month U.S. LIBOR + 1.550% 1.803% 6/1/36 (c)(e) 7,396 7,761 
12 month U.S. LIBOR + 1.560% 1.94% 3/1/37 (c)(e) 6,331 6,656 
12 month U.S. LIBOR + 1.620% 1.875% 5/1/35 (c)(e) 15,535 16,259 
12 month U.S. LIBOR + 1.620% 1.927% 3/1/33 (c)(e) 8,948 9,332 
12 month U.S. LIBOR + 1.630% 1.815% 9/1/36 (c)(e) 5,564 5,841 
12 month U.S. LIBOR + 1.630% 1.947% 11/1/36 (c)(e) 4,342 4,557 
12 month U.S. LIBOR + 1.640% 1.896% 5/1/36 (c)(e) 23,819 25,040 
12 month U.S. LIBOR + 1.640% 2.096% 6/1/47 (c)(e) 13,718 14,545 
12 month U.S. LIBOR + 1.680% 1.994% 7/1/43 (c)(e) 141,985 149,022 
12 month U.S. LIBOR + 1.700% 1.968% 6/1/42 (c)(e) 12,569 13,186 
12 month U.S. LIBOR + 1.710% 1.95% 8/1/35 (c)(e) 4,748 4,993 
12 month U.S. LIBOR + 1.730% 1.988% 5/1/36 (c)(e) 10,263 10,826 
12 month U.S. LIBOR + 1.730% 2.085% 3/1/40 (c)(e) 14,526 15,287 
12 month U.S. LIBOR + 1.750% 2% 8/1/41 (c)(e) 18,594 19,620 
12 month U.S. LIBOR + 1.750% 2.08% 7/1/35 (c)(e) 4,458 4,685 
12 month U.S. LIBOR + 1.800% 2.05% 7/1/41 (c)(e) 10,488 11,051 
12 month U.S. LIBOR + 1.800% 2.074% 12/1/40 (c)(e) 434,150 458,195 
12 month U.S. LIBOR + 1.800% 2.175% 1/1/42 (c)(e) 31,063 32,725 
12 month U.S. LIBOR + 1.810% 2.068% 7/1/41 (c)(e) 10,855 11,486 
12 month U.S. LIBOR + 1.810% 2.068% 9/1/41 (c)(e) 4,380 4,635 
12 month U.S. LIBOR + 1.810% 2.185% 12/1/39 (c)(e) 9,634 10,151 
12 month U.S. LIBOR + 1.810% 2.193% 2/1/42 (c)(e) 16,795 17,735 
12 month U.S. LIBOR + 1.820% 2.2% 2/1/35 (c)(e) 16,488 17,422 
12 month U.S. LIBOR + 1.830% 2.08% 10/1/41 (c)(e) 3,893 4,003 
12 month U.S. LIBOR + 1.950% 2.202% 7/1/37 (c)(e) 18,072 19,189 
6 month U.S. LIBOR + 1.500% 1.723% 1/1/35 (c)(e) 19,518 20,319 
6 month U.S. LIBOR + 1.530% 1.7% 12/1/34 (c)(e) 3,626 3,777 
6 month U.S. LIBOR + 1.530% 1.737% 3/1/35 (c)(e) 3,600 3,753 
6 month U.S. LIBOR + 1.550% 1.675% 10/1/33 (c)(e) 1,247 1,298 
6 month U.S. LIBOR + 1.560% 1.71% 7/1/35 (c)(e) 2,332 2,436 
6 month U.S. LIBOR + 1.740% 1.99% 12/1/34 (c)(e) 353 369 
6 month U.S. LIBOR + 1.960% 2.085% 9/1/35 (c)(e) 4,231 4,466 
U.S. TREASURY 1 YEAR INDEX + 2.200% 2.333% 3/1/35 (c)(e) 3,977 4,204 
U.S. TREASURY 1 YEAR INDEX + 2.270% 2.395% 6/1/36 (c)(e) 18,444 19,407 
U.S. TREASURY 1 YEAR INDEX + 2.280% 2.41% 10/1/33 (c)(e) 9,155 9,622 
U.S. TREASURY 1 YEAR INDEX + 2.460% 2.53% 7/1/34 (c)(e) 21,469 22,570 
1.5% 2/1/51 to 6/1/51 39,853,732 38,575,154 
2% 7/1/50 to 11/1/51 371,818,690 373,511,283 
2.5% 5/1/31 to 12/1/51 490,294,726 506,456,922 
3% 12/1/28 to 11/1/51 (d)(g)(h)(i) 401,968,301 422,644,679 
3.25% 12/1/41 6,491 6,917 
3.4% 7/1/42 to 9/1/42 114,960 122,836 
3.5% 10/1/33 to 1/1/51 631,861,968 670,976,294 
3.65% 5/1/42 to 8/1/42 36,250 39,199 
3.9% 4/1/42 10,088 11,082 
4% 3/1/36 to 11/1/49 57,244,665 62,106,929 
4.25% 11/1/41 28,604 31,257 
4.5% to 4.5% 12/1/23 to 9/1/49 (h) 108,738,465 118,172,051 
5% 1/1/22 to 2/1/49 9,942,569 11,102,100 
5.237% 8/1/41 (c) 308,197 343,234 
5.5% 3/1/22 to 9/1/24 2,767 2,794 
6% to 6% 1/1/22 to 1/1/42 1,516,388 1,754,769 
6.5% 3/1/22 to 5/1/38 216,565 244,761 
6.623% 2/1/39 (c) 226,584 249,450 
7% to 7% 4/1/23 to 7/1/37 150,230 171,525 
7.5% to 7.5% 9/1/22 to 9/1/32 79,328 90,099 
8% 3/1/37 3,063 3,684 
8.5% 9/1/22 79 81 
9% 10/1/30 3,699 4,331 
TOTAL FANNIE MAE  2,207,631,343 
Freddie Mac - 3.0%   
12 month U.S. LIBOR + 1.320% 1.7% 1/1/36 (c)(e) 6,722 6,996 
12 month U.S. LIBOR + 1.370% 1.7% 3/1/36 (c)(e) 25,546 26,660 
12 month U.S. LIBOR + 1.500% 1.839% 3/1/36 (c)(e) 25,594 26,832 
12 month U.S. LIBOR + 1.750% 2% 7/1/41 (c)(e) 41,236 43,488 
12 month U.S. LIBOR + 1.750% 2% 9/1/41 (c)(e) 82,317 86,807 
12 month U.S. LIBOR + 1.750% 2.068% 12/1/40 (c)(e) 193,894 204,182 
12 month U.S. LIBOR + 1.790% 2.168% 4/1/37 (c)(e) 2,487 2,625 
12 month U.S. LIBOR + 1.860% 2.114% 4/1/36 (c)(e) 8,875 9,408 
12 month U.S. LIBOR + 1.880% 2.13% 4/1/41 (c)(e) 1,732 1,834 
12 month U.S. LIBOR + 1.880% 2.13% 9/1/41 (c)(e) 6,239 6,579 
12 month U.S. LIBOR + 1.900% 2.174% 10/1/42 (c)(e) 28,958 30,607 
12 month U.S. LIBOR + 1.910% 2.16% 5/1/41 (c)(e) 12,662 13,419 
12 month U.S. LIBOR + 1.910% 2.16% 6/1/41 (c)(e) 16,552 17,540 
12 month U.S. LIBOR + 1.910% 2.16% 6/1/41 (c)(e) 4,353 4,613 
12 month U.S. LIBOR + 1.910% 2.197% 5/1/41 (c)(e) 12,027 12,754 
12 month U.S. LIBOR + 1.960% 2.211% 6/1/33 (c)(e) 10,615 11,195 
12 month U.S. LIBOR + 2.020% 2.32% 4/1/38 (c)(e) 13,931 14,698 
12 month U.S. LIBOR + 2.030% 2.296% 3/1/33 (c)(e) 255 267 
12 month U.S. LIBOR + 2.040% 2.295% 7/1/36 (c)(e) 14,521 15,350 
12 month U.S. LIBOR + 2.200% 2.575% 12/1/36 (c)(e) 22,871 24,211 
6 month U.S. LIBOR + 1.120% 1.325% 8/1/37 (c)(e) 8,398 8,637 
6 month U.S. LIBOR + 1.580% 1.83% 12/1/35 (c)(e) 825 863 
6 month U.S. LIBOR + 1.720% 1.97% 8/1/37 (c)(e) 3,537 3,715 
6 month U.S. LIBOR + 1.840% 1.97% 2/1/37 (c)(e) 4,313 4,540 
6 month U.S. LIBOR + 1.880% 2.021% 10/1/36 (c)(e) 29,373 30,831 
6 month U.S. LIBOR + 1.990% 2.152% 10/1/35 (c)(e) 10,786 11,344 
6 month U.S. LIBOR + 2.020% 2.245% 6/1/37 (c)(e) 21,392 22,530 
6 month U.S. LIBOR + 2.680% 2.812% 10/1/35 (c)(e) 10,411 11,010 
U.S. TREASURY 1 YEAR INDEX + 2.030% 2.158% 6/1/33 (c)(e) 20,046 21,065 
U.S. TREASURY 1 YEAR INDEX + 2.260% 2.387% 6/1/33 (c)(e) 37,676 39,525 
U.S. TREASURY 1 YEAR INDEX + 2.430% 2.515% 3/1/35 (c)(e) 72,306 76,221 
1.5% 11/1/50 to 6/1/51 3,177,621 3,081,922 
2% 6/1/50 to 11/1/51 353,264,536 355,025,327 
2.5% 6/1/31 to 12/1/51 403,347,819 416,077,578 
3% 6/1/31 to 8/1/50 256,223,001 269,268,724 
3.5% 3/1/32 to 4/1/50 (i) 163,379,763 174,099,952 
3.5% 8/1/47 2,961,544 3,161,258 
4% 5/1/33 to 3/1/49 (h) 117,784,643 127,031,211 
4% 4/1/48 8,922 9,578 
4.5% 6/1/25 to 7/1/49 30,480,814 33,219,875 
5% 7/1/33 to 7/1/41 3,055,505 3,433,438 
5.5% 6/1/22 1,460 1,471 
6% 12/1/21 to 12/1/37 320,303 366,687 
6.5% 12/1/21 to 9/1/39 512,150 598,361 
7% 3/1/26 to 9/1/36 157,505 182,415 
7.5% 1/1/27 to 7/1/34 43,263 50,230 
8% 7/1/24 to 4/1/32 3,649 4,149 
8.5% 12/1/22 to 1/1/28 2,044 2,264 
TOTAL FREDDIE MAC  1,386,404,786 
Ginnie Mae - 4.3%   
3.5% 9/20/40 to 11/20/50 265,666,290 278,960,288 
4% 7/20/33 to 6/20/49 134,621,064 144,284,207 
4.5% 6/20/33 to 9/20/46 9,323,833 10,296,526 
5.5% 8/15/33 to 9/15/39 261,966 298,137 
6% to 6% 10/15/30 to 5/15/40 376,185 432,190 
7% to 7% 11/15/22 to 11/15/32 157,502 178,949 
7.5% to 7.5% 2/15/22 to 9/15/31 36,398 40,025 
8% 1/15/22 to 11/15/29 9,045 9,798 
8.5% to 8.5% 11/15/27 to 1/15/31 4,909 5,582 
9% 1/15/23 13 13 
2% 12/1/51 (d) 46,900,000 47,499,377 
2% 12/1/51 (d) 14,650,000 14,837,226 
2% 12/1/51 (d) 15,500,000 15,698,088 
2% 12/1/51 (d) 49,650,000 50,284,522 
2% 12/1/51 (d) 50,300,000 50,942,829 
2% 12/1/51 (d) 15,700,000 15,900,644 
2% 12/1/51 (d) 35,250,000 35,700,491 
2% 12/1/51 (d) 10,950,000 11,089,940 
2% 12/1/51 (d) 25,200,000 25,522,053 
2% 12/1/51 (d) 7,850,000 7,950,322 
2% 12/1/51 (d) 16,950,000 17,166,619 
2% 12/1/51 (d) 5,250,000 5,317,094 
2% 12/1/51 (d) 4,725,000 4,785,385 
2% 12/1/51 (d) 15,150,000 15,343,615 
2% 12/1/51 (d) 11,500,000 11,646,969 
2% 12/1/51 (d) 13,300,000 13,469,973 
2.5% 11/20/47 to 7/20/51 35,168,522 36,158,566 
2.5% 12/1/51 (d) 6,800,000 6,986,055 
2.5% 12/1/51 (d) 82,150,000 84,397,706 
2.5% 12/1/51 (d) 22,550,000 23,166,991 
2.5% 12/1/51 (d) 32,700,000 33,594,705 
2.5% 12/1/51 (d) 10,200,000 10,479,082 
2.5% 12/1/51 (d) 28,350,000 29,125,684 
2.5% 12/1/51 (d) 8,850,000 9,092,145 
2.5% 12/1/51 (d) 6,675,000 6,857,635 
2.5% 12/1/51 (d) 21,475,000 22,062,577 
2.5% 12/1/51 (d) 17,275,000 17,747,661 
2.5% 12/1/51 (d) 5,375,000 5,522,065 
2.5% 12/1/51 (d) 25,200,000 25,889,497 
2.5% 12/1/51 (d) 13,300,000 13,663,901 
3% 5/15/42 to 7/20/51 217,810,447 226,057,121 
3% 12/1/51 (d) 9,200,000 9,534,132 
3% 12/1/51 (d) 7,900,000 8,186,918 
3% 12/1/51 (d) 5,150,000 5,337,041 
3% 12/1/51 (d) 4,450,000 4,611,618 
3% 12/1/51 (d) 2,900,000 3,005,324 
3% 12/1/51 (d) 4,075,000 4,222,999 
3% 12/1/51 (d) 2,625,000 2,720,337 
3% 12/1/51 (d) 11,000,000 11,399,506 
3% 12/1/51 (d) 16,600,000 17,202,890 
3.5% 12/1/51 (d) 6,500,000 6,788,160 
3.5% 12/1/51 (d) 2,000,000 2,088,665 
3.5% 12/1/51 (d) 35,700,000 37,282,663 
3.5% 12/1/51 (d) 11,550,000 12,062,038 
3.5% 12/1/51 (d) 45,950,000 47,987,069 
3.5% 12/1/51 (d) 27,650,000 28,875,788 
3.5% 12/1/51 (d) 6,950,000 7,258,109 
3.5% 12/1/51 (d) 11,500,000 12,009,821 
3.5% 12/1/51 (d) 45,950,000 47,987,069 
3.5% 12/1/51 (d) 9,200,000 9,607,857 
3.5% 12/1/51 (d) 2,300,000 2,401,964 
3.5% 12/1/51 (d) 2,300,000 2,401,964 
3.5% 12/1/51 (d) 9,200,000 9,607,857 
3.5% 12/1/51 (d) 27,650,000 28,875,788 
3.5% 12/1/51 (d) 6,950,000 7,258,109 
3.5% 12/1/51 (d) 18,350,000 19,163,498 
3.5% 12/1/51 (d) 4,600,000 4,803,929 
3.5% 12/1/51 (d) 18,400,000 19,215,714 
3.5% 12/1/51 (d) 4,600,000 4,803,929 
3.5% 12/1/51 (d) 9,250,000 9,660,074 
3.5% 12/1/51 (d) 2,300,000 2,401,964 
3.5% 12/1/51 (d) 4,600,000 4,803,929 
3.5% 12/1/51 (d) 18,350,000 19,163,498 
3.5% 12/1/51 (d) 13,700,000 14,307,353 
3.5% 12/1/51 (d) 3,450,000 3,602,946 
3.5% 12/1/51 (d) 16,125,000 16,839,858 
3.5% 12/1/51 (d) 4,075,000 4,255,654 
3.5% 12/1/51 (d) 34,500,000 36,029,464 
3.5% 1/1/52 (d) 8,750,000 9,128,337 
3.5% 1/1/52 (d) 41,800,000 43,607,369 
3.5% 1/1/52 (d) 28,150,000 29,367,164 
3.5% 1/1/52 (d) 7,050,000 7,354,831 
3.5% 1/1/52 (d) 27,500,000 28,689,059 
3.5% 1/1/52 (d) 6,900,000 7,198,346 
3.5% 1/1/52 (d) 27,600,000 28,793,383 
3.5% 1/1/52 (d) 6,900,000 7,198,346 
5% 4/15/33 to 6/20/48 13,911,808 15,217,600 
6.5% 3/20/31 to 6/15/37 62,636 72,239 
TOTAL GINNIE MAE  1,992,854,423 
Uniform Mortgage Backed Securities - 5.2%   
1.5% 12/1/51 (d) 18,200,000 17,599,282 
1.5% 12/1/51 (d) 65,650,000 63,483,123 
1.5% 12/1/51 (d) 25,650,000 24,803,383 
1.5% 12/1/51 (d) 45,550,000 44,046,554 
1.5% 12/1/51 (d) 17,800,000 17,212,484 
1.5% 12/1/51 (d) 32,550,000 31,475,638 
1.5% 12/1/51 (d) 12,700,000 12,280,817 
2% 12/1/51 (d) 5,650,000 5,655,109 
2% 12/1/51 (d) 17,200,000 17,215,554 
2% 12/1/51 (d) 35,600,000 35,632,193 
2% 12/1/51 (d) 51,400,000 51,446,481 
2% 12/1/51 (d) 15,050,000 15,063,610 
2% 12/1/51 (d) 71,550,000 71,614,703 
2% 12/1/51 (d) 26,050,000 26,073,557 
2% 12/1/51 (d) 1,300,000 1,301,176 
2% 12/1/51 (d) 4,250,000 4,253,843 
2% 12/1/51 (d) 18,500,000 18,516,730 
2% 12/1/51 (d) 28,000,000 28,025,320 
2% 12/1/51 (d) 1,700,000 1,701,537 
2% 12/1/51 (d) 7,600,000 7,606,873 
2% 12/1/51 (d) 9,100,000 9,108,229 
2% 12/1/51 (d) 2,500,000 2,502,261 
2% 12/1/51 (d) 40,900,000 40,936,986 
2% 12/1/51 (d) 2,800,000 2,802,532 
2% 12/1/51 (d) 63,700,000 63,757,604 
2% 12/1/51 (d) 20,950,000 20,968,945 
2% 12/1/51 (d) 21,100,000 21,119,081 
2% 12/1/51 (d) 64,200,000 64,258,056 
2% 12/1/51 (d) 64,650,000 64,708,463 
2% 12/1/51 (d) 20,850,000 20,868,855 
2% 12/1/51 (d) 97,950,000 98,038,576 
2% 12/1/51 (d) 31,550,000 31,578,531 
2% 12/1/51 (d) 27,550,000 27,574,913 
2% 12/1/51 (d) 85,650,000 85,727,453 
2% 12/1/51 (d) 54,250,000 54,299,058 
2% 12/1/51 (d) 17,450,000 17,465,780 
2% 12/1/51 (d) 22,500,000 22,520,347 
2% 12/1/51 (d) 7,350,000 7,356,647 
2% 12/1/51 (d) 33,900,000 33,930,656 
2% 12/1/51 (d) 2,500,000 2,502,261 
2% 12/1/51 (d) 25,400,000 25,422,969 
2% 12/1/51 (d) 25,400,000 25,422,969 
2% 1/1/52 (d) 68,650,000 68,578,000 
2% 1/1/52 (d) 20,700,000 20,678,290 
2% 1/1/52 (d) 73,050,000 72,973,385 
2% 1/1/52 (d) 21,150,000 21,127,818 
2.5% 12/1/51 (d) 5,500,000 5,637,500 
2.5% 12/1/51 (d) 4,800,000 4,920,000 
2.5% 12/1/51 (d) 42,000,000 43,050,000 
2.5% 12/1/51 (d) 4,250,000 4,356,250 
2.5% 12/1/51 (d) 5,200,000 5,330,000 
2.5% 12/1/51 (d) 10,300,000 10,557,500 
2.5% 12/1/51 (d) 5,700,000 5,842,500 
2.5% 12/1/51 (d) 15,700,000 16,092,500 
2.5% 12/1/51 (d) 4,300,000 4,407,500 
2.5% 12/1/51 (d) 7,500,000 7,687,500 
2.5% 12/1/51 (d) 84,700,000 86,817,500 
2.5% 12/1/51 (d) 20,550,000 21,063,750 
2.5% 12/1/51 (d) 82,950,000 85,023,750 
2.5% 12/1/51 (d) 22,300,000 22,857,500 
2.5% 12/1/51 (d) 55,800,000 57,195,000 
2.5% 12/1/51 (d) 15,000,000 15,375,000 
2.5% 12/1/51 (d) 64,775,000 66,394,375 
2.5% 12/1/51 (d) 17,450,000 17,886,250 
2.5% 12/1/51 (d) 38,100,000 39,052,500 
2.5% 12/1/51 (d) 2,925,000 2,998,125 
2.5% 12/1/51 (d) 31,850,000 32,646,250 
2.5% 12/1/51 (d) 9,800,000 10,045,000 
2.5% 12/1/51 (d) 26,350,000 27,008,750 
2.5% 12/1/51 (d) 6,600,000 6,765,000 
2.5% 1/1/52 (d) 9,450,000 9,662,625 
2.5% 1/1/52 (d) 42,000,000 42,945,000 
3% 12/1/51 (d) 13,700,000 14,223,382 
3% 12/1/51 (d) 31,600,000 32,807,218 
3% 12/1/51 (d) 8,000,000 8,305,625 
3% 12/1/51 (d) 1,900,000 1,972,586 
3% 12/1/51 (d) 26,100,000 27,097,101 
3% 12/1/51 (d) 4,000,000 4,152,812 
3% 12/1/51 (d) 19,200,000 19,933,500 
3% 12/1/51 (d) 5,900,000 6,125,398 
3% 12/1/51 (d) 1,900,000 1,972,586 
3% 12/1/51 (d) 24,500,000 25,435,976 
3.5% 12/1/51 (d) 3,400,000 3,574,383 
3.5% 12/1/51 (d) 15,200,000 15,979,594 
3.5% 12/1/51 (d) 30,700,000 32,274,575 
3.5% 12/1/51 (d) 4,200,000 4,415,414 
3.5% 12/1/51 (d) 68,600,000 72,118,432 
3.5% 12/1/51 (d) 6,900,000 7,253,895 
3.5% 12/1/51 (d) 8,000,000 8,410,313 
3.5% 12/1/51 (d) 44,400,000 46,677,236 
TOTAL UNIFORM MORTGAGE BACKED SECURITIES  2,405,584,283 
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES   
(Cost $7,979,536,873)  7,992,474,835 
Asset-Backed Securities - 2.1%   
AASET Trust:   
Series 2018-1A Class A, 3.844% 1/16/38 (b) $7,986,087 $7,036,153 
Series 2019-1 Class A, 3.844% 5/15/39 (b) 4,486,323 4,260,656 
Series 2019-2:   
Class A, 3.376% 10/16/39 (b) 8,065,531 7,766,757 
Class B, 4.458% 10/16/39 (b) 1,488,945 1,240,390 
Series 2021-1A Class A, 2.95% 11/16/41 (b) 11,336,884 11,181,433 
Series 2021-2A Class A, 2.798% 1/15/47 (b) 21,050,000 21,014,299 
Affirm, Inc. Series 2021-A Class A, 0.88% 8/15/25 (b) 4,062,000 4,064,410 
Aimco Series 2021-BA Class AR, 3 month U.S. LIBOR + 1.100% 1.2238% 1/15/32 (b)(c)(e) 3,420,000 3,420,222 
AIMCO CLO Ltd.:   
Series 2021-11A Class AR, 3 month U.S. LIBOR + 1.130% 1.14% 10/17/34 (b)(c)(e) 7,980,000 7,980,000 
Series 2021-12A Class A, 3 month U.S. LIBOR + 1.210% 1.3323% 1/17/32 (b)(c)(e) 9,320,000 9,313,308 
Ajax Mortgage Loan Trust Series 2021-C Class A, 2.115% 1/25/61 (b) 4,015,954 4,003,848 
Allegany Park CLO, Ltd. / Allegany Series 2020-1A Class A, 3 month U.S. LIBOR + 1.330% 1.4615% 1/20/33 (b)(c)(e) 4,684,000 4,685,906 
Allegro CLO, Ltd. Series 2021-1A Class A, 3 month U.S. LIBOR + 1.140% 1.2715% 7/20/34 (b)(c)(e) 8,250,000 8,252,673 
Apollo Aviation Securitization Equity Trust Series 2020-1A:   
Class A, 3.351% 1/16/40 (b) 4,403,273 4,173,756 
Class B, 4.335% 1/16/40 (b) 766,953 550,762 
Ares CLO Series 2019-54A Class A, 3 month U.S. LIBOR + 1.320% 1.4438% 10/15/32 (b)(c)(e) 8,066,000 8,069,372 
Ares CLO Ltd. Series 2020-58A Class A, 3 month U.S. LIBOR + 1.220% 1.3438% 1/15/33 (b)(c)(e) 13,570,000 13,574,573 
Ares LV CLO Ltd. Series 2021-55A Class A1R, 3 month U.S. LIBOR + 1.130% 1.2538% 7/15/34 (b)(c)(e) 10,540,000 10,546,819 
Ares XLI CLO Ltd. / Ares XLI CLO LLC Series 2021-41A Class AR2, 3 month U.S. LIBOR + 1.070% 1.1938% 4/15/34 (b)(c)(e) 11,760,000 11,761,588 
Ares XXXIV CLO Ltd. Series 2020-2A Class AR2, 3 month U.S. LIBOR + 1.250% 1.3723% 4/17/33 (b)(c)(e) 20,753,000 20,759,309 
Babson CLO Ltd. Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.150% 1.2738% 10/15/36 (b)(c)(e) 7,970,000 7,965,250 
Barings CLO Ltd. Series 2021-4A Class A, 3 month U.S. LIBOR + 1.220% 1.3515% 1/20/32 (b)(c)(e) 9,220,000 9,220,231 
Beechwood Park CLO Ltd. Series 2019-1A Class A1, 3 month U.S. LIBOR + 1.330% 1.4523% 1/17/33 (b)(c)(e) 7,381,000 7,384,691 
BETHP Series 2021-1A Class A, 3 month U.S. LIBOR + 1.130% 1.2698% 1/15/35 (b)(c)(e) 11,380,000 11,379,943 
Blackbird Capital Aircraft:   
Series 2016-1A:   
Class A, 4.213% 12/16/41 (b) 5,740,452 5,749,788 
Class AA, 2.487% 12/16/41 (b)(c) 820,562 823,378 
Series 2021-1A Class A, 2.443% 7/15/46 (b) 22,271,147 22,112,088 
Brazos Higher Education Authority, Inc.:   
Series 2010-1 Class A1, 3 month U.S. LIBOR + 0.900% 1.078% 5/25/29 (c)(e) 203,762 203,900 
Series 2011-2 Class A2, 3 month U.S. LIBOR + 0.850% 0.9739% 7/25/29 (c)(e) 279,630 280,150 
Bristol Park CLO, Ltd. Series 2020-1A Class AR, 3 month U.S. LIBOR + 0.990% 1.1138% 4/15/29 (b)(c)(e) 10,597,000 10,574,725 
Cascade Funding Mortgage Trust Series 2021-HB6 Class A, 0.8983% 6/25/36 (b) 9,768,942 9,762,576 
Castlelake Aircraft Securitization Trust:   
Series 2019-1A:   
Class A, 3.967% 4/15/39 (b) 7,965,815 7,941,275 
Class B, 5.095% 4/15/39 (b) 3,098,041 2,943,707 
Series 2021-1R Class A, 2.741% 8/15/41 (b) 32,113,292 31,953,741 
Castlelake Aircraft Structured Trust:   
Series 2018-1 Class A, 4.125% 6/15/43 (b) 4,472,967 4,421,830 
Series 2021-1A:   
Class A, 3.474% 1/15/46 (b) 3,530,513 3,603,406 
Class B, 6.656% 1/15/46 (b) 2,884,224 3,091,683 
Cedar Funding Ltd. Series 2021-10A Class AR, 3 month U.S. LIBOR + 1.100% 1.1% 10/20/32 (b)(c)(e) 7,910,000 7,906,702 
Cedar Funding XII CLO Ltd. / Cedar Funding XII CLO LLC Series 2021-12A Class A1R, 3 month U.S. LIBOR + 1.130% 1.13% 10/25/34 (b)(c)(e) 6,880,000 6,875,927 
Cent CLO Ltd. / Cent CLO Series 2021-29A Class AR, 3 month U.S. LIBOR + 1.170% 1.3244% 10/20/34 (b)(c)(e) 11,410,000 11,382,799 
Citi Mortgage Loan Trust Series 2007-1 Class 1A, 1 month U.S. LIBOR + 1.350% 1.442% 10/25/37 (b)(c)(e) 110,710 111,489 
Collegiate Funding Services Education Loan Trust Series 2004-A Class A4, 3 month U.S. LIBOR + 0.340% 0.4723% 9/28/30 (c)(e) 269,638 269,354 
Columbia Cent CLO 31 Ltd. Series 2021-31A Class A1, 3 month U.S. LIBOR + 1.200% 1.3315% 4/20/34 (b)(c)(e) 9,300,000 9,280,005 
Columbia Cent CLO Ltd. / Columbia Cent CLO Corp. Series 2021-30A Class A1, 3 month U.S. LIBOR + 1.310% 1.4415% 1/20/34 (b)(c)(e) 12,220,000 12,230,130 
Consumer Loan Underlying Bond Credit Trust Series 2019-HP1 Class A, 2.59% 12/15/26 (b) 2,258,906 2,268,921 
DB Master Finance LLC:   
Series 2017-1A Class A2II, 4.03% 11/20/47 (b) 5,294,713 5,521,914 
Series 2019-1A:   
Class A23, 4.352% 5/20/49 (b) 982,388 1,055,950 
Class A2II, 4.021% 5/20/49 (b) 738,990 764,379 
Dominos Pizza Master Issuer LLC Series 2019-1A Class A2, 3.668% 10/25/49 (b) 2,097,638 2,221,417 
Dryden CLO, Ltd.:   
Series 2021-76A Class A1R, 3 month U.S. LIBOR + 1.150% 1.15% 10/20/34 (b)(c)(e) 7,990,000 7,990,000 
Series 2021-83A Class A, 3 month U.S. LIBOR + 1.220% 1.3423% 1/18/32 (b)(c)(e) 7,360,000 7,361,575 
Dryden Senior Loan Fund:   
Series 2018-70A Class A1, 3 month U.S. LIBOR + 1.170% 1.2923% 1/16/32 (b)(c)(e) 2,909,000 2,909,428 
Series 2020-78A Class A, 3 month U.S. LIBOR + 1.180% 1.3023% 4/17/33 (b)(c)(e) 7,000,000 7,003,479 
Series 2021-85A Class AR, 3 month U.S. LIBOR + 1.150% 1.2738% 10/15/35 (b)(c)(e) 9,590,000 9,584,227 
Series 2021-90A Class A1A, 3 month U.S. LIBOR + 1.130% 1.13% 2/20/35 (b)(c)(d)(e) 6,930,000 6,930,000 
Eaton Vance CLO, Ltd.:   
Series 2020-2A Class A1, 3 month U.S. LIBOR + 1.370% 1.4938% 10/15/32 (b)(c)(e) 9,400,000 9,403,158 
Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.100% 1.2238% 4/15/31 (b)(c)(e) 4,560,000 4,563,133 
Eaton Vance CLO, Ltd. / Eaton Vance CLO LLC Series 2021-1A Class A13R, 3 month U.S. LIBOR + 1.250% 1.3738% 1/15/34 (b)(c)(e) 2,000,000 2,001,128 
Enterprise Fleet Financing LLC Series 2021-1 Class A2, 0.44% 12/21/26 (b) 11,063,267 11,017,220 
Finance of America HECM Buyout Series 2021-HB1 Class A, 0.8754% 2/25/31 (b)(c) 6,691,559 6,688,050 
Flatiron CLO Ltd. Series 2021-1A:   
Class A1, 3 month U.S. LIBOR + 1.110% 1.2613% 7/19/34 (b)(c)(e) 7,180,000 7,189,133 
Class AR, 3 month U.S. LIBOR + 1.080% 0% 11/16/34 (b)(c)(e) 11,500,000 11,500,000 
Flatiron CLO Ltd. / Flatiron CLO LLC Series 2020-1A Class A, 3 month U.S. LIBOR + 1.300% 1.4596% 11/20/33 (b)(c)(e) 8,920,000 8,929,598 
Ford Credit Floorplan Master Owner Trust:   
Series 2019-1 Class B, 3.04% 3/15/24 1,170,000 1,178,565 
Series 2019-2 Class A, 3.06% 4/15/26 8,253,000 8,632,940 
Series 2019-3 Class A1, 2.23% 9/15/24 4,320,000 4,383,977 
Series 2019-4 Class A, 2.44% 9/15/26 1,300,000 1,338,233 
Horizon Aircraft Finance I Ltd. Series 2018-1 Class A, 4.458% 12/15/38 (b) 3,007,862 2,975,842 
Horizon Aircraft Finance Ltd. Series 2019-1 Class A, 3.721% 7/15/39 (b) 4,416,268 4,378,137 
Invesco CLO Ltd. Series 2021-3A Class A, 3 month U.S. LIBOR + 1.130% 1.13% 10/22/34 (b)(c)(d)(e) 9,130,000 9,130,000 
Lanark Master Issuer PLC Series 2020-1A Class 1A, 2.277% 12/22/69 (b)(c) 7,887,000 7,998,325 
Lucali CLO Ltd. Series 2021-1A Class A, 3 month U.S. LIBOR + 1.210% 1.3338% 1/15/33 (b)(c)(e) 4,500,000 4,501,395 
Madison Park Funding Series 2020-19A Class A1R2, 3 month U.S. LIBOR + 0.920% 1.0483% 1/22/28 (b)(c)(e) 2,599,040 2,602,918 
Madison Park Funding L Ltd. / Madison Park Funding L LLC Series 2021-50A Class A, 3 month U.S. LIBOR + 1.140% 1.2636% 4/19/34 (b)(c)(e) 9,810,000 9,829,022 
Madison Park Funding LII Ltd. / Madison Park Funding LII LLC Series 2021-52A Class A, 3 month U.S. LIBOR + 1.120% 1.13% 1/22/35 (b)(c)(d)(e) 11,690,000 11,689,380 
Madison Park Funding XLV Ltd./Madison Park Funding XLV LLC Series 2021-45A Class AR, 3 month U.S. LIBOR + 1.120% 1.2438% 7/15/34 (b)(c)(e) 7,360,000 7,355,834 
Madison Park Funding XXXIII Ltd. Series 2019-33A Class A, 3 month U.S. LIBOR + 1.330% 1.4538% 10/15/32 (b)(c)(e) 4,271,000 4,273,891 
Magnetite CLO Ltd. Series 2021-27A Class AR, 3 month U.S. LIBOR + 1.140% 1.2715% 10/20/34 (b)(c)(e) 3,092,000 3,090,157 
Magnetite XVI, Ltd. / Magnetite XVI, LLC Series 2015-16A Class AR, 3 month U.S. LIBOR + 0.800% 0.9223% 1/18/28 (b)(c)(e) 8,324,642 8,322,202 
Magnetite XXI Ltd. Series 2019-24A Class A, 3 month U.S. LIBOR + 1.330% 1.4538% 1/15/33 (b)(c)(e) 23,148,000 23,152,630 
Magnetite XXIII, Ltd. Series 2021-23A Class AR, 3 month U.S. LIBOR + 1.130% 0% 1/25/35 (b)(c)(e) 9,420,000 9,420,000 
Magnetite XXIX, Ltd. / Magnetite XXIX LLC Series 2021-29A Class A, 3 month U.S. LIBOR + 0.990% 1.1138% 1/15/34 (b)(c)(e) 8,400,000 8,407,762 
MAPS Trust Series 2021-1A Class A, 2.521% 6/15/46 (b) 36,209,139 35,981,228 
Marlette Funding Trust:   
Series 2019-4A Class A, 2.39% 12/17/29 (b) 287,191 287,603 
Series 2021-3A Class A, 0.65% 12/15/31 (b) 19,400,000 19,351,003 
Metlife Securitization Trust Series 2019-1A Class A1A, 3.75% 4/25/58 (b) 1,844,820 1,894,847 
Milos CLO, Ltd. Series 2020-1A Class AR, 3 month U.S. LIBOR + 1.070% 1.2015% 10/20/30 (b)(c)(e) 10,553,000 10,553,274 
Mortgage Repurchase Agreement Financing Trust Series 2020-5 Class A1, 1 month U.S. LIBOR + 1.000% 1.0911% 8/10/23 (b)(c)(e) 21,867,000 21,917,119 
Nationstar HECM Loan Trust Series 2020-1A Class A1, 1.2686% 9/25/30 (b) 11,433,691 11,408,892 
Navient Student Loan Trust Series 2017-3A Class A2, 1 month U.S. LIBOR + 0.600% 0.692% 7/26/66 (b)(c)(e) 345,466 346,169 
Peace Park CLO, Ltd. Series 2021-1A Class A, 3 month U.S. LIBOR + 1.130% 1.2682% 10/20/34 (b)(c)(e) 5,068,000 5,065,015 
Planet Fitness Master Issuer LLC:   
Series 2018-1A Class A2I, 4.262% 9/5/48 (b) 291,000 290,822 
Series 2019-1A Class A2, 3.858% 12/5/49 (b) 7,085,790 7,348,815 
Preston Ridge Partners Mortgage Trust Series 2021-RPL2 Class A1, 1.455% 10/25/51 (b)(c) 7,163,937 7,147,949 
Project Silver Series 2019-1 Class A, 3.967% 7/15/44 (b) 6,653,705 6,530,070 
Provident Funding Mortgage Trust Series 2020-1 Class A3, 3% 2/25/50 (b) 100,987 100,798 
Rockland Park CLO Ltd. Series 2021-1A Class A, 3 month U.S. LIBOR + 1.120% 1.2515% 4/20/34 (b)(c)(e) 12,190,000 12,198,435 
Sapphire Aviation Finance Series 2020-1A:   
Class A, 3.228% 3/15/40 (b) 19,740,481 19,366,575 
Class B, 4.335% 3/15/40 (b) 853,777 746,745 
SBA Tower Trust:   
Series 2019, 2.836% 1/15/50 (b) 8,715,000 8,990,096 
1.884% 7/15/50 (b) 4,275,000 4,292,776 
2.328% 7/15/52 (b) 3,269,000 3,343,143 
SLM Student Loan Trust Series 2003-10A Class A3, 3 month U.S. LIBOR + 0.470% 0.586% 12/15/27 (b)(c)(e) 483,953 483,967 
SoFi Consumer Loan Program Trust Series 2019-4 Class A, 2.45% 8/25/28 (b) 361,936 362,578 
Store Master Funding Series 2021-1A Class A1, 2.12% 6/20/51 (b) 10,977,083 10,858,198 
Symphony CLO XXI, Ltd. Series 2021-21A Class AR, 3 month U.S. LIBOR + 1.060% 1.1836% 7/15/32 (b)(c)(e) 1,769,000 1,769,218 
Symphony CLO XXIII Ltd. Series 2020-23A Class A, 3 month U.S. LIBOR + 1.320% 1.4438% 1/15/34 (b)(c)(e) 5,300,000 5,300,000 
Symphony CLO XXVI Ltd. / Symphony CLO XXVI LLC Series 2021-26A Class AR, 3 month U.S. LIBOR + 1.080% 1.2115% 4/20/33 (b)(c)(e) 7,300,000 7,286,371 
Taconic Park CLO, Ltd. Series 2020-1A Class A1R, 3 month U.S. LIBOR + 1.000% 1.1315% 1/20/29 (b)(c)(e) 7,106,000 7,131,020 
Terwin Mortgage Trust Series 2003-4HE Class A1, 1 month U.S. LIBOR + 0.860% 0.9516% 9/25/34 (c)(e) 7,249 6,790 
Thunderbolt Aircraft Lease Ltd. Series 2018-A Class A, 4.147% 9/15/38 (b)(c) 9,411,899 9,394,892 
Thunderbolt III Aircraft Lease Ltd. Series 2019-1 Class A, 3.671% 11/15/39 (b) 19,974,463 19,924,563 
Towd Point Mortgage Trust Series 2019-1 Class A1, 3.6777% 3/25/58 (b)(c) 862,768 895,250 
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 3 month U.S. LIBOR + 0.560% 0.6866% 4/6/42 (b)(c)(e) 778,000 566,497 
Upstart Securitization Trust:   
Series 2021-1 Class A, 0.87% 3/20/31 (b) 923,828 921,119 
Series 2021-2 Class A, 0.91% 6/20/31 (b) 14,927,386 14,913,892 
Series 2021-3 Class A, 0.83% 7/20/31 (b) 25,316,063 25,258,342 
Series 2021-4 Class A, 0.84% 9/20/31 (b) 32,253,852 31,985,964 
Series 2021-5 Class A, 1.31% 11/20/31 (b) 22,400,000 22,347,992 
Voya CLO Ltd./Voya CLO LLC:   
Series 2021-2A Class A1R, 3 month U.S. LIBOR + 1.160% 1.2836% 7/19/34 (b)(c)(e) 7,780,000 7,775,558 
Series 2021-3A Class AR, 3 month U.S. LIBOR + 1.150% 1.2815% 10/20/34 (b)(c)(e) 13,570,000 13,561,926 
Voya CLO, Ltd. Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.150% 1.2723% 7/16/34 (b)(c)(e) 7,590,000 7,589,977 
TOTAL ASSET-BACKED SECURITIES   
(Cost $963,872,456)  964,184,410 
Collateralized Mortgage Obligations - 0.8%   
Private Sponsor - 0.5%   
Ajax Mortgage Loan Trust sequential payer Series 2021-E Class A1, 1.74% 12/25/60 (b) 17,439,820 17,492,145 
Brass PLC Series 2021-10A Class A1, 0.669% 4/16/69 (b)(c) 7,122,981 7,123,458 
Cascade Funding Mortgage Trust:   
Series 2021-EBO1 Class A, 0.9849% 11/25/50 (b)(c) 14,472,658 14,454,599 
Series 2021-HB5 Class A, 0.8006% 2/25/31 (b) 8,115,254 8,109,610 
Series 2021-HB7 Class A, 1.1512% 10/27/31 (b) 12,537,000 12,518,415 
CFMT LLC Series 2020-HB4 Class A, 0.9461% 12/26/30 (b) 5,561,415 5,567,394 
Citigroup Mortgage Loan Trust sequential payer Series 2014-8 Class 2A1, 3.45% 6/27/37 (b)(c) 58,350 58,253 
COLT Trust sequential payer Series 2021-RPL1 Class A1, 1.6654% 9/25/61 (b) 10,872,641 10,881,480 
CSMC:   
floater Series 2015-1R Class 6A1, 1 month U.S. LIBOR + 0.280% 0.3921% 5/27/37 (b)(c)(e) 64,525 63,454 
Series 2014-3R:   
Class 2A1, 1 month U.S. LIBOR + 0.700% 0% 5/27/37 (b)(c)(e)(j) 552,731 55 
Class AA1, 1 month U.S. LIBOR + 0.280% 0.3921% 5/27/37 (b)(c)(e) 767,463 730,849 
CSMC Trust sequential payer Series 2020-RPL4 Class A1, 2% 1/25/60 (b) 4,228,511 4,253,469 
Lanark Master Issuer PLC Series 2019-2A Class 1A, 2.71% 12/22/69 (b)(c) 9,300,000 9,388,443 
New Residential Mortgage Loan Trust:   
Series 2019-5A Class A1B, 3.5% 8/25/59 (b) 3,493,330 3,615,961 
Series 2020-1A Class A1B, 3.5% 10/25/59 (b) 5,155,936 5,424,637 
New York Mortgage Trust sequential payer Series 2021-SP1 Class A1, 1.6696% 8/25/61 (b) 11,452,151 11,362,689 
Oceanview Trust sequential payer Series 2021-1 Class A, 1.2187% 12/25/51 (b)(c) 35,900,000 35,900,000 
Preston Ridge Partners Mortgage Trust Series 2021-RPL1 Class A1, 1.319% 7/25/51 (b) 5,375,727 5,328,174 
RMF Buyout Issuance Trust:   
sequential payer Series 2021-HB1 Class A, 1.2586% 11/25/31 (b) 25,826,000 25,859,703 
Series 2020-HB1 Class A1, 1.7188% 10/25/50 (b) 5,498,794 5,496,195 
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 6 month U.S. LIBOR + 0.880% 1.0386% 7/20/34 (c)(e) 1,656 1,620 
Thornburg Mortgage Securities Trust floater Series 2003-4 Class A1, 1 month U.S. LIBOR + 0.640% 0.732% 9/25/43 (c)(e) 76,548 75,589 
Towd Point Mortgage Trust sequential payer Series 2021-1 Class A1, 2.25% 11/25/61 (b)(c) 46,585,000 47,292,533 
Wells Fargo Mortgage Backed Securities Trust Series 2003-I Class A1, 2.3785% 9/25/33 (c) 9,966 9,904 
TOTAL PRIVATE SPONSOR  231,008,629 
U.S. Government Agency - 0.3%   
Fannie Mae:   
floater:   
Series 2002-18 Class FD, 1 month U.S. LIBOR + 0.800% 0.892% 2/25/32 (c)(e) 2,793 2,843 
Series 2002-39 Class FD, 1 month U.S. LIBOR + 1.000% 1.0889% 3/18/32 (c)(e) 5,125 5,233 
Series 2002-60 Class FV, 1 month U.S. LIBOR + 1.000% 1.092% 4/25/32 (c)(e) 5,882 6,026 
Series 2002-63 Class FN, 1 month U.S. LIBOR + 1.000% 1.092% 10/25/32 (c)(e) 7,650 7,819 
Series 2002-7 Class FC, 1 month U.S. LIBOR + 0.750% 0.842% 1/25/32 (c)(e) 2,710 2,753 
Series 2003-118 Class S, 8.100% - 1 month U.S. LIBOR 8.008% 12/25/33 (c)(k)(l) 106,380 25,859 
Series 2006-104 Class GI, 6.680% - 1 month U.S. LIBOR 6.588% 11/25/36 (c)(k)(l) 70,716 13,414 
Series 2012-154 Class F, 1 month U.S. LIBOR + 0.300% 0.392% 1/25/43 (c)(e) 669,537 671,338 
Series 2017-36 Class FB, 1 month U.S. LIBOR + 0.350% 0.442% 5/25/47 (c)(e) 1,357,570 1,362,978 
Series 2018-32 Class FB, 1 month U.S. LIBOR + 0.300% 0.392% 5/25/48 (c)(e) 772,541 774,095 
Series 2018-38 Class FG, 1 month U.S. LIBOR + 0.300% 0.392% 6/25/48 (c)(e) 1,945,683 1,949,817 
Series 2019-23 Class FC, 1 month U.S. LIBOR + 0.450% 0.542% 5/25/49 (c)(e) 11,359,063 11,454,954 
planned amortization class:   
Series 1992-168 Class KB, 7% 10/25/22 432 442 
Series 1993-207 Class H, 6.5% 11/25/23 13,759 14,200 
Series 1996-28 Class PK, 6.5% 7/25/25 5,527 5,722 
Series 1999-17 Class PG, 6% 4/25/29 43,863 48,157 
Series 1999-32 Class PL, 6% 7/25/29 50,006 55,086 
Series 1999-33 Class PK, 6% 7/25/29 35,064 38,660 
Series 2001-52 Class YZ, 6.5% 10/25/31 5,362 5,939 
Series 2003-28 Class KG, 5.5% 4/25/23 6,028 6,179 
Series 2005-102 Class CO 11/25/35 (m) 18,684 17,208 
Series 2005-39 Class TE, 5% 5/25/35 18,608 20,639 
Series 2005-73 Class SA, 17.500% - 1 month U.S. LIBOR 17.3108% 8/25/35 (c)(l) 5,436 7,076 
Series 2005-81 Class PC, 5.5% 9/25/35 51,949 58,005 
Series 2006-12 Class BO 10/25/35 (m) 85,327 78,735 
Series 2006-15 Class OP 3/25/36 (m) 97,665 89,123 
Series 2006-37 Class OW 5/25/36 (m) 9,662 8,649 
Series 2006-45 Class OP 6/25/36 (m) 30,479 27,279 
Series 2006-62 Class KP 4/25/36 (m) 49,898 45,700 
Series 2012-149:   
Class DA, 1.75% 1/25/43 141,902 143,233 
Class GA, 1.75% 6/25/42 153,778 155,489 
sequential payer:   
Series 1997-41 Class J, 7.5% 6/18/27 7,163 7,849 
Series 1999-25 Class Z, 6% 6/25/29 30,610 33,119 
Series 2001-20 Class Z, 6% 5/25/31 47,734 52,915 
Series 2001-31 Class ZC, 6.5% 7/25/31 23,851 26,086 
Series 2002-16 Class ZD, 6.5% 4/25/32 14,428 16,017 
Series 2002-74 Class SV, 7.550% - 1 month U.S. LIBOR 7.458% 11/25/32 (c)(k)(l) 45,818 5,276 
Series 2012-67 Class AI, 4.5% 7/25/27 (k) 73,213 3,827 
Series 06-116 Class SG, 6.640% - 1 month U.S. LIBOR 6.548% 12/25/36 (c)(k)(l) 52,752 12,391 
Series 07-40 Class SE, 6.440% - 1 month U.S. LIBOR 6.348% 5/25/37 (c)(k)(l) 28,740 6,208 
Series 1993-165 Class SH, 19.800% - 1 month U.S. LIBOR 19.5396% 9/25/23 (c)(l) 946 1,048 
Series 2003-21 Class SK, 8.100% - 1 month U.S. LIBOR 8.008% 3/25/33 (c)(k)(l) 7,995 1,765 
Series 2005-72 Class ZC, 5.5% 8/25/35 404,951 450,250 
Series 2005-79 Class ZC, 5.9% 9/25/35 231,990 262,555 
Series 2007-57 Class SA, 40.600% - 1 month U.S. LIBOR 40.068% 6/25/37 (c)(l) 32,435 64,665 
Series 2007-66:   
Class SA, 39.600% - 1 month U.S. LIBOR 39.048% 7/25/37 (c)(l) 33,914 67,677 
Class SB, 39.600% - 1 month U.S. LIBOR 39.048% 7/25/37 (c)(l) 10,998 19,122 
Series 2008-12 Class SG, 6.350% - 1 month U.S. LIBOR 6.258% 3/25/38 (c)(k)(l) 182,372 35,590 
Series 2010-135:   
Class LS, 6.050% - 1 month U.S. LIBOR 5.958% 12/25/40 (c)(k)(l) 183,706 32,191 
Class ZA, 4.5% 12/25/40 71,379 79,973 
Series 2010-139 Class NI, 4.5% 2/25/40 (k) 81,976 3,556 
Series 2010-150 Class ZC, 4.75% 1/25/41 778,256 876,720 
Series 2010-95 Class ZC, 5% 9/25/40 1,687,902 1,894,509 
Series 2011-39 Class ZA, 6% 11/25/32 118,222 133,409 
Series 2011-4 Class PZ, 5% 2/25/41 260,371 283,001 
Series 2011-67 Class AI, 4% 7/25/26 (k) 22,460 952 
Series 2011-83 Class DI, 6% 9/25/26 (k) 4,710 79 
Series 2012-100 Class WI, 3% 9/25/27 (k) 457,727 31,190 
Series 2012-14 Class JS, 6.650% - 1 month U.S. LIBOR 6.558% 12/25/30 (c)(k)(l) 88,229 4,290 
Series 2012-9 Class SH, 6.550% - 1 month U.S. LIBOR 6.458% 6/25/41 (c)(k)(l) 75,891 2,843 
Series 2013-133 Class IB, 3% 4/25/32 (k) 197,761 6,835 
Series 2013-134 Class SA, 6.050% - 1 month U.S. LIBOR 5.958% 1/25/44 (c)(k)(l) 118,743 22,299 
Series 2013-44 Class DJ, 1.85% 5/25/33 9,464,771 9,582,523 
Series 2013-51 Class GI, 3% 10/25/32 (k) 120,109 8,450 
Series 2013-N1 Class A, 6.720% - 1 month U.S. LIBOR 6.628% 6/25/35 (c)(k)(l) 152,206 26,411 
Series 2015-42 Class IL, 6% 6/25/45 (k) 784,810 148,718 
Series 2015-70 Class JC, 3% 10/25/45 885,984 928,897 
Series 2017-30 Class AI, 5.5% 5/25/47 (k) 388,207 74,779 
Fannie Mae Stripped Mortgage-Backed Securities:   
Series 339 Class 5, 5.5% 7/25/33 (k) 25,976 4,618 
Series 343 Class 16, 5.5% 5/25/34 (k) 22,460 3,630 
Series 348 Class 14, 6.5% 8/25/34 (c)(k) 20,921 4,526 
Series 351:   
Class 12, 5.5% 4/25/34 (c)(k) 12,669 2,279 
Class 13, 6% 3/25/34 (k) 18,444 3,325 
Series 359 Class 19, 6% 7/25/35 (c)(k) 10,907 2,164 
Series 384 Class 6, 5% 7/25/37 (k) 109,798 19,063 
Freddie Mac:   
floater:   
Series 2412 Class FK, 1 month U.S. LIBOR + 0.800% 0.8893% 1/15/32 (c)(e) 2,324 2,366 
Series 2423 Class FA, 1 month U.S. LIBOR + 0.900% 0.9893% 3/15/32 (c)(e) 3,150 3,217 
Series 2424 Class FM, 1 month U.S. LIBOR + 1.000% 1.0893% 3/15/32 (c)(e) 3,136 3,204 
Series 2432:   
Class FE, 1 month U.S. LIBOR + 0.900% 0.9893% 6/15/31 (c)(e) 5,569 5,670 
Class FG, 1 month U.S. LIBOR + 0.900% 0.9893% 3/15/32 (c)(e) 1,721 1,754 
Series 4709 Class FE, 1 month U.S. LIBOR + 0.350% 0.4393% 8/15/47 (c)(e) 728,979 732,149 
floater target amortization class Series 3366 Class FD, 1 month U.S. LIBOR + 0.250% 0.3393% 5/15/37 (c)(e) 130,434 130,840 
planned amortization class:   
Series 2095 Class PE, 6% 11/15/28 52,125 57,568 
Series 2101 Class PD, 6% 11/15/28 3,236 3,573 
Series 2104 Class PG, 6% 12/15/28 3,882 4,292 
Series 2121 Class MG, 6% 2/15/29 20,612 22,732 
Series 2131 Class BG, 6% 3/15/29 118,089 130,538 
Series 2137 Class PG, 6% 3/15/29 19,029 21,059 
Series 2154 Class PT, 6% 5/15/29 40,945 45,306 
Series 2162 Class PH, 6% 6/15/29 7,684 8,450 
Series 2520 Class BE, 6% 11/15/32 54,972 62,388 
Series 2693 Class MD, 5.5% 10/15/33 239,418 260,202 
Series 2802 Class OB, 6% 5/15/34 65,827 72,941 
Series 3002 Class NE, 5% 7/15/35 134,518 148,540 
Series 3110 Class OP 9/15/35 (m) 45,256 43,493 
Series 3119 Class PO 2/15/36 (m) 117,013 106,384 
Series 3121 Class KO 3/15/36 (m) 18,618 17,083 
Series 3123 Class LO 3/15/36 (m) 66,564 60,652 
Series 3145 Class GO 4/15/36 (m) 68,720 62,879 
Series 3189 Class PD, 6% 7/15/36 116,152 133,402 
Series 3225 Class EO 10/15/36 (m) 35,346 31,873 
Series 3258 Class PM, 5.5% 12/15/36 45,337 51,271 
Series 3415 Class PC, 5% 12/15/37 49,672 54,629 
Series 3786 Class HI, 4% 3/15/38 (k) 7,206 8 
Series 3806 Class UP, 4.5% 2/15/41 231,888 243,406 
Series 3832 Class PE, 5% 3/15/41 547,917 605,776 
Series 4135 Class AB, 1.75% 6/15/42 115,785 117,179 
Series 4765 Class PE, 3% 12/15/41 119,287 119,944 
sequential payer:   
Series 2114 Class ZM, 6% 1/15/29 1,779 1,966 
Series 2135 Class JE, 6% 3/15/29 14,194 15,569 
Series 2274 Class ZM, 6.5% 1/15/31 15,376 16,764 
Series 2281 Class ZB, 6% 3/15/30 25,174 27,672 
Series 2303 Class ZV, 6% 4/15/31 11,524 12,806 
Series 2357 Class ZB, 6.5% 9/15/31 93,704 106,471 
Series 2502 Class ZC, 6% 9/15/32 28,761 32,591 
Series 2519 Class ZD, 5.5% 11/15/32 30,798 34,476 
Series 2546 Class MJ, 5.5% 3/15/23 4,038 4,144 
Series 2601 Class TB, 5.5% 4/15/23 1,842 1,893 
Series 2998 Class LY, 5.5% 7/15/25 14,780 15,827 
Series 3871 Class KB, 5.5% 6/15/41 634,152 726,181 
Series 06-3115 Class SM, 6.600% - 1 month U.S. LIBOR 6.5108% 2/15/36 (c)(k)(l) 36,144 6,372 
Series 1658 Class GZ, 7% 1/15/24 3,623 3,836 
Series 2013-4281 Class AI, 4% 12/15/28 (k) 205,529 7,641 
Series 2017-4683 Class LM, 3% 5/15/47 1,091,992 1,140,990 
Series 2380 Class SY, 8.200% - 1 month U.S. LIBOR 8.1108% 11/15/31 (c)(k)(l) 20,823 2,254 
Series 2587 Class IM, 6.5% 3/15/33 (k) 3,711 742 
Series 2844:   
Class SC, 46.800% - 1 month U.S. LIBOR 46.2199% 8/15/24 (c)(l) 10 10 
Class SD, 86.400% - 1 month U.S. LIBOR 85.2897% 8/15/24 (c)(l) 18 20 
Series 2933 Class ZM, 5.75% 2/15/35 521,213 587,460 
Series 2935 Class ZK, 5.5% 2/15/35 456,382 516,147 
Series 2947 Class XZ, 6% 3/15/35 215,197 246,347 
Series 2996 Class ZD, 5.5% 6/15/35 348,346 395,240 
Series 3237 Class C, 5.5% 11/15/36 514,551 575,314 
Series 3244 Class SG, 6.660% - 1 month U.S. LIBOR 6.5708% 11/15/36 (c)(k)(l) 158,470 34,166 
Series 3287 Class SD, 6.750% - 1 month U.S. LIBOR 6.6608% 3/15/37 (c)(k)(l) 238,641 56,064 
Series 3297 Class BI, 6.760% - 1 month U.S. LIBOR 6.6708% 4/15/37 (c)(k)(l) 334,184 72,969 
Series 3336 Class LI, 6.580% - 1 month U.S. LIBOR 6.4908% 6/15/37 (c)(k)(l) 125,329 23,064 
Series 3949 Class MK, 4.5% 10/15/34 97,091 105,630 
Series 4055 Class BI, 3.5% 5/15/31 (k) 226,572 9,532 
Series 4149 Class IO, 3% 1/15/33 (k) 61,541 5,518 
Series 4314 Class AI, 5% 3/15/34 (k) 70,908 3,788 
Series 4427 Class LI, 3.5% 2/15/34 (k) 485,181 37,026 
Series 4471 Class PA 4% 12/15/40 520,163 551,383 
target amortization class Series 2156 Class TC, 6.25% 5/15/29 18,547 19,774 
Freddie Mac Manufactured Housing participation certificates guaranteed:   
floater Series 1686 Class FA, 1 month U.S. LIBOR + 0.900% 0.9903% 2/15/24 (c)(e) 4,063 4,080 
planned amortization class Series 2043 Class CJ, 6.5% 4/15/28 4,882 5,309 
sequential payer:   
Series 2043 Class ZH, 6% 4/15/28 12,891 14,166 
Series 2056 Class Z, 6% 5/15/28 34,493 38,025 
Freddie Mac Multi-family Structured pass-thru certificates:   
floater Series 4795 Class FA, 1 month U.S. LIBOR + 0.300% 0.3893% 5/15/48 (c)(e) 1,252,024 1,253,536 
Series 4386 Class AZ, 4.5% 11/15/40 1,089,441 1,199,121 
Freddie Mac Seasoned Credit Risk Transfer Trust:   
sequential payer:   
Series 2018-3 Class MA, 3.5% 8/25/57 8,433,093 8,848,282 
Series 2018-4 Class MA, 3.5% 3/25/58 3,207,612 3,354,500 
Series 2019-1 Class MA, 3.5% 7/25/58 5,619,890 5,895,651 
Series 2018-3 Class M55D, 4% 8/25/57 448,256 479,615 
Ginnie Mae guaranteed REMIC pass-thru certificates:   
floater:   
Series 2007-37 Class TS, 6.690% - 1 month U.S. LIBOR 6.6009% 6/16/37 (c)(k)(l) 67,743 13,933 
Series 2010-H03 Class FA, 1 month U.S. LIBOR + 0.550% 0.6378% 3/20/60 (c)(e)(n) 809,926 812,689 
Series 2010-H17 Class FA, 1 month U.S. LIBOR + 0.330% 0.4178% 7/20/60 (c)(e)(n) 120,799 120,703 
Series 2010-H18 Class AF, 1 month U.S. LIBOR + 0.300% 0.3753% 9/20/60 (c)(e)(n) 136,577 136,373 
Series 2010-H19 Class FG, 1 month U.S. LIBOR + 0.300% 0.3753% 8/20/60 (c)(e)(n) 129,468 129,285 
Series 2010-H27 Class FA, 1 month U.S. LIBOR + 0.380% 0.4553% 12/20/60 (c)(e)(n) 291,361 291,464 
Series 2011-H05 Class FA, 1 month U.S. LIBOR + 0.500% 0.5753% 12/20/60 (c)(e)(n) 313,329 314,172 
Series 2011-H07 Class FA, 1 month U.S. LIBOR + 0.500% 0.5753% 2/20/61 (c)(e)(n) 356,981 357,819 
Series 2011-H12 Class FA, 1 month U.S. LIBOR + 0.490% 0.5653% 2/20/61 (c)(e)(n) 556,041 557,215 
Series 2011-H13 Class FA, 1 month U.S. LIBOR + 0.500% 0.5753% 4/20/61 (c)(e)(n) 279,116 279,915 
Series 2011-H14:   
Class FB, 1 month U.S. LIBOR + 0.500% 0.5753% 5/20/61 (c)(e)(n) 458,658 459,889 
Class FC, 1 month U.S. LIBOR + 0.500% 0.5753% 5/20/61 (c)(e)(n) 334,231 335,180 
Series 2011-H17 Class FA, 1 month U.S. LIBOR + 0.530% 0.6053% 6/20/61 (c)(e)(n) 399,640 400,914 
Series 2011-H20 Class FA, 1 month U.S. LIBOR + 0.550% 0.6253% 9/20/61 (c)(e)(n) 1,050,806 1,054,772 
Series 2011-H21 Class FA, 1 month U.S. LIBOR + 0.600% 0.6753% 10/20/61 (c)(e)(n) 454,196 456,300 
Series 2012-H01 Class FA, 1 month U.S. LIBOR + 0.700% 0.7753% 11/20/61 (c)(e)(n) 439,151 442,067 
Series 2012-H03 Class FA, 1 month U.S. LIBOR + 0.700% 0.7753% 1/20/62 (c)(e)(n) 277,251 278,966 
Series 2012-H06 Class FA, 1 month U.S. LIBOR + 0.630% 0.7053% 1/20/62 (c)(e)(n) 390,588 392,631 
Series 2012-H07 Class FA, 1 month U.S. LIBOR + 0.630% 0.7053% 3/20/62 (c)(e)(n) 248,214 249,446 
Series 2012-H21 Class DF, 1 month U.S. LIBOR + 0.650% 0.7253% 5/20/61 (c)(e)(n) 7,074 7,123 
Series 2014-H03 Class FA, 1 month U.S. LIBOR + 0.600% 0.6753% 1/20/64 (c)(e)(n) 331,985 333,292 
Series 2014-H05 Class FB, 1 month U.S. LIBOR + 0.600% 0.6753% 12/20/63 (c)(e)(n) 1,389,069 1,394,304 
Series 2014-H11 Class BA, 1 month U.S. LIBOR + 0.500% 0.5753% 6/20/64 (c)(e)(n) 343,663 344,562 
Series 2015-H07 Class FA, 1 month U.S. LIBOR + 0.300% 0.3753% 3/20/65 (c)(e)(n) 4,001 3,996 
Series 2015-H13 Class FL, 1 month U.S. LIBOR + 0.280% 0.3553% 5/20/63 (c)(e)(n) 8,093 8,076 
Series 2015-H19 Class FA, 1 month U.S. LIBOR + 0.200% 0.2753% 4/20/63 (c)(e)(n) 7,136 7,113 
Series 2016-H20 Class FM, 1 month U.S. LIBOR + 0.400% 0.4753% 12/20/62 (c)(e)(n) 19,089 19,109 
Series 2017-161 Class DF, 1 month U.S. LIBOR + 0.250% 0.3411% 10/20/47 (c)(e) 868,170 869,223 
Series 2018-159 Class F, 1 month U.S. LIBOR + 0.350% 0.4411% 11/20/48 (c)(e) 1,687,308 1,698,913 
Series 2018-65 Class DF, 1 month U.S. LIBOR + 0.300% 0.3911% 5/20/48 (c)(e) 834,105 836,544 
Series 2018-77 Class FA, 1 month U.S. LIBOR + 0.300% 0.3911% 6/20/48 (c)(e) 1,081,939 1,082,967 
Series 2018-78 Class AF, 1 month U.S. LIBOR + 0.300% 0.3911% 6/20/48 (c)(e) 975,964 980,446 
Series 2019-153 Class FB, 1 month U.S. LIBOR + 0.450% 0.5411% 12/20/49 (c)(e) 11,593,262 11,709,892 
Series 2019-23 Class NF, 1 month U.S. LIBOR + 0.450% 0.5411% 2/20/49 (c)(e) 3,197,264 3,222,776 
Series 2020-32 Class GF, 1 month U.S. LIBOR + 0.400% 0.4911% 3/20/50 (c)(e) 10,725,968 10,792,062 
planned amortization class:   
Series 2010-158 Class MS, 10.000% - 1 month U.S. LIBOR 9.8177% 12/20/40 (c)(l) 614,211 700,229 
Series 2011-136 Class WI, 4.5% 5/20/40 (k) 29,709 1,890 
Series 2016-69 Class WA, 3% 2/20/46 417,305 436,075 
Series 2017-134 Class BA, 2.5% 11/20/46 163,492 169,139 
Series 2017-153 Class GA, 3% 9/20/47 1,392,115 1,454,178 
Series 2017-182 Class KA, 3% 10/20/47 1,144,422 1,195,510 
Series 2018-13 Class Q, 3% 4/20/47 1,518,026 1,571,107 
sequential payer:   
Series 2004-24 Class ZM, 5% 4/20/34 194,711 207,418 
Series 2010-160 Class DY, 4% 12/20/40 1,353,512 1,444,549 
Series 2010-170 Class B, 4% 12/20/40 303,948 324,458 
Series 2017-139 Class BA, 3% 9/20/47 4,290,495 4,506,221 
Series 2004-32 Class GS, 6.500% - 1 month U.S. LIBOR 6.4109% 5/16/34 (c)(k)(l) 46,942 8,257 
Series 2004-73 Class AL, 7.200% - 1 month U.S. LIBOR 7.1109% 8/17/34 (c)(k)(l) 35,402 7,538 
Series 2010-116 Class QB, 4% 9/16/40 99,962 106,966 
Series 2010-14 Class SN, 5.950% - 1 month U.S. LIBOR 5.8609% 2/16/40 (c)(k)(l) 242,932 37,290 
Series 2010-H10 Class FA, 1 month U.S. LIBOR + 0.330% 0.4178% 5/20/60 (c)(e)(n) 347,324 347,045 
Series 2011-52 Class HI, 7% 4/16/41 (k) 43,900 8,142 
Series 2011-94 Class SA, 6.100% - 1 month U.S. LIBOR 6.0089% 7/20/41(c)(k)(l) 117,866 21,582 
Series 2012-76 Class GS, 6.700% - 1 month U.S. LIBOR 6.6109% 6/16/42 (c)(k)(l) 152,822 29,812 
Series 2013-124 Class ES, 8.667% - 1 month U.S. LIBOR 8.5452% 4/20/39 (c)(l) 16,652 16,922 
Series 2013-149 Class MA, 2.5% 5/20/40 1,333,638 1,359,837 
Series 2014-2 Class BA, 3% 1/20/44 2,510,918 2,628,936 
Series 2014-21 Class HA, 3% 2/20/44 934,482 978,059 
Series 2014-25 Class HC, 3% 2/20/44 1,601,071 1,663,506 
Series 2014-5 Class A, 3% 1/20/44 1,416,053 1,469,045 
Series 2015-H13 Class HA, 2.5% 8/20/64 (n) 14,656 15,035 
Series 2016-H13 Class FB, U.S. TREASURY 1 YEAR INDEX + 0.500% 0.59% 5/20/66 (c)(e)(n) 2,495,477 2,480,261 
Series 2017-186 Class HK, 3% 11/16/45 1,340,624 1,399,278 
Series 2017-H06 Class FA, U.S. TREASURY 1 YEAR INDEX + 0.350% 0.44% 8/20/66 (c)(e)(n) 2,999,245 2,972,494 
Ginnie Mae REMIC Trust Series 2015-H17 Class GZ, 4.108% 5/20/65 (c)(n) 59,950 62,853 
TOTAL U.S. GOVERNMENT AGENCY  130,222,703 
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS   
(Cost $359,882,347)  361,231,332 
Commercial Mortgage Securities - 3.5%   
BAMLL Commercial Mortgage Securities Trust:   
floater sequential payer Series 2020-JGDN Class A, 1 month U.S. LIBOR + 2.750% 2.84% 11/15/30 (b)(c)(e) 10,322,000 10,458,342 
sequential payer Series 2019-BPR:   
Class AMP, 3.287% 11/5/32 (b) 10,500,000 10,784,767 
Class ANM, 3.112% 11/5/32 (b) 5,768,000 5,910,720 
Series 2019-BPR:   
Class BNM, 3.465% 11/5/32 (b) 1,295,000 1,310,351 
Class CNM, 3.8425% 11/5/32 (b)(c) 536,000 537,348 
BANK:   
sequential payer:   
Series 2018-BN10 Class A5, 3.688% 2/15/61 2,901,000 3,180,200 
Series 2019-BN21 Class A5, 2.851% 10/17/52 1,112,000 1,170,142 
Series 2020-BN25 Class XB, 0.5326% 1/15/63 (c)(k) 30,600,000 1,042,273 
Series 2021-BN33 Class XA, 1.1754% 5/15/64 (c)(k) 72,535,271 5,633,822 
Bayview Commercial Asset Trust floater:   
Series 2005-3A:   
Class A2, 1 month U.S. LIBOR + 0.600% 0.6916% 11/25/35 (b)(c)(e) 33,672 32,263 
Class M1, 1 month U.S. LIBOR + 0.660% 0.7516% 11/25/35 (b)(c)(e) 9,007 8,345 
Series 2005-4A:   
Class A2, 1 month U.S. LIBOR + 0.580% 0.6766% 1/25/36 (b)(c)(e) 83,544 80,747 
Class M1, 1 month U.S. LIBOR + 0.670% 0.7666% 1/25/36 (b)(c)(e) 26,970 26,060 
Class M2, 1 month U.S. LIBOR + 0.700% 0.7966% 1/25/36 (b)(c)(e) 10,171 9,801 
Class M3, 1 month U.S. LIBOR + 0.750% 0.8416% 1/25/36 (b)(c)(e) 14,802 14,273 
Series 2006-1:   
Class A2, 1 month U.S. LIBOR + 0.540% 0.6316% 4/25/36 (b)(c)(e) 14,044 13,383 
Class M1, 1 month U.S. LIBOR + 0.570% 0.6616% 4/25/36 (b)(c)(e) 8,492 8,001 
Class M2, 1 month U.S. LIBOR + 0.600% 0.6916% 4/25/36 (b)(c)(e) 8,981 8,164 
Class M6, 1 month U.S. LIBOR + 0.960% 1.0516% 4/25/36 (b)(c)(e) 8,492 7,525 
Series 2006-2A:   
Class M1, 1 month U.S. LIBOR + 0.460% 0.5566% 7/25/36 (b)(c)(e) 12,959 11,887 
Class M2, 1 month U.S. LIBOR + 0.490% 0.5866% 7/25/36 (b)(c)(e) 9,207 8,355 
Class M4, 1 month U.S. LIBOR + 0.630% 0.7216% 7/25/36 (b)(c)(e) 8,696 7,899 
Series 2006-4A:   
Class A2, 1 month U.S. LIBOR + 0.400% 0.4966% 12/25/36 (b)(c)(e) 187,737 179,676 
Class M1, 1 month U.S. LIBOR + 0.430% 0.5266% 12/25/36 (b)(c)(e) 15,088 13,928 
Class M3, 1 month U.S. LIBOR + 0.510% 0.6016% 12/25/36 (b)(c)(e) 10,227 9,216 
Series 2007-1 Class A2, 1 month U.S. LIBOR + 0.270% 0.3616% 3/25/37 (b)(c)(e) 46,769 44,863 
Series 2007-2A:   
Class A1, 1 month U.S. LIBOR + 0.270% 0.3616% 7/25/37 (b)(c)(e) 138,030 132,698 
Class A2, 1 month U.S. LIBOR + 0.320% 0.4116% 7/25/37 (b)(c)(e) 129,195 120,327 
Class M1, 1 month U.S. LIBOR + 0.370% 0.4616% 7/25/37 (b)(c)(e) 44,010 42,650 
Class M2, 1 month U.S. LIBOR + 0.410% 0.5016% 7/25/37 (b)(c)(e) 28,673 27,471 
Class M3, 1 month U.S. LIBOR + 0.490% 0.5816% 7/25/37 (b)(c)(e) 31,355 35,656 
Series 2007-3:   
Class A2, 1 month U.S. LIBOR + 0.290% 0.3816% 7/25/37 (b)(c)(e) 49,117 46,629 
Class M1, 1 month U.S. LIBOR + 0.310% 0.4016% 7/25/37 (b)(c)(e) 26,055 24,597 
Class M2, 1 month U.S. LIBOR + 0.340% 0.4316% 7/25/37 (b)(c)(e) 27,800 25,966 
Class M3, 1 month U.S. LIBOR + 0.370% 0.4616% 7/25/37 (b)(c)(e) 44,879 41,016 
Class M4, 1 month U.S. LIBOR + 0.500% 0.5916% 7/25/37 (b)(c)(e) 70,559 64,073 
Class M5, 1 month U.S. LIBOR + 0.600% 0.6916% 7/25/37 (b)(c)(e) 29,631 34,100 
Benchmark Mortgage Trust:   
sequential payer:   
Series 2018-B1 Class ASB, 3.602% 1/15/51 3,507,000 3,759,440 
Series 2018-B2 Class ASB, 3.7802% 2/15/51 1,800,000 1,930,006 
Series 2018-B4 Class A5, 4.121% 7/15/51 1,260,000 1,417,676 
Series 2019-B10 Class A4, 3.717% 3/15/62 2,283,000 2,536,307 
Series 2019-B13 Class A4, 2.952% 8/15/57 12,263,000 12,965,983 
Series 2018-B8 Class A5, 4.2317% 1/15/52 15,369,000 17,490,162 
Series 2019-B12 Class XA, 1.2% 8/15/52 (c)(k) 75,438,147 4,413,177 
Series 2019-B14 Class XA, 0.9093% 12/15/62 (c)(k) 121,673,771 5,423,499 
Series 2020-B17 Class XA, 1.5406% 3/15/53 (c)(k) 11,983,468 998,419 
Series 2020-B18 Class XA, 1.9178% 7/15/53 (c)(k) 20,036,146 2,143,553 
BFLD Trust floater sequential payer Series 2020-OBRK Class A, 1 month U.S. LIBOR + 2.050% 2.14% 11/15/28 (b)(c)(e) 6,075,000 6,082,314 
BLOX Trust floater sequential payer Series 2021-BLOX Class A, 1 month U.S. LIBOR + 0.750% 0.84% 9/15/26 (b)(c)(e) 19,346,000 19,314,079 
BX Commercial Mortgage Trust:   
floater:   
Series 2018-BIOA:   
Class E, 1 month U.S. LIBOR + 1.950% 2.0411% 3/15/37 (b)(c)(e) 9,800,000 9,756,913 
Class F, 1 month U.S. LIBOR + 2.470% 2.5611% 3/15/37 (b)(c)(e) 2,450,000 2,431,550 
Series 2020-BXLP:   
Class B, 1 month U.S. LIBOR + 1.000% 1.09% 12/15/36 (b)(c)(e) 5,489,560 5,475,799 
Class C, 1 month U.S. LIBOR + 1.120% 1.21% 12/15/36 (b)(c)(e) 4,505,881 4,491,872 
Class D, 1 month U.S. LIBOR + 1.250% 1.34% 12/15/36 (b)(c)(e) 5,058,678 5,036,495 
Series 2021-PAC:   
Class A, 1 month U.S. LIBOR + 0.680% 0.7791% 10/15/36 (b)(c)(e) 18,411,000 18,359,219 
Class B, 1 month U.S. LIBOR + 0.890% 0.9888% 10/15/36 (b)(c)(e) 2,754,000 2,747,345 
Class C, 1 month U.S. LIBOR + 1.090% 1.1886% 10/15/36 (b)(c)(e) 3,686,000 3,677,102 
Class D, 1 month U.S. LIBOR + 1.290% 1.3883% 10/15/36 (b)(c)(e) 3,579,000 3,570,352 
Class E, 1 month U.S. LIBOR + 1.940% 2.0375% 10/15/36 (b)(c)(e) 11,390,000 11,362,490 
Series 2021-VINO Class A, 1 month U.S. LIBOR + 0.650% 0.7423% 5/15/38 (b)(c)(e) 14,550,000 14,505,704 
floater sequential payer:   
Series 2019-CALM Class A, 1 month U.S. LIBOR + 0.870% 0.966% 11/15/32 (b)(c)(e) 2,254,000 2,254,000 
Series 2020-BXLP Class A, 1 month U.S. LIBOR + 0.800% 0.89% 12/15/36 (b)(c)(e) 13,253,771 13,241,307 
Series 2020-FOX Class A, 1 month U.S. LIBOR + 1.000% 1.09% 11/15/32 (b)(c)(e) 7,527,922 7,518,864 
BX Trust:   
floater:   
Series 2018-EXCL:   
Class A, 1 month U.S. LIBOR + 1.088% 1.1776% 9/15/37 (b)(c)(e) 10,436,160 10,391,400 
Class B, 1 month U.S. LIBOR + 1.320% 1.415% 9/15/37 (b)(c)(e) 4,119,428 4,018,798 
Class D, 1 month U.S. LIBOR + 2.620% 2.715% 9/15/37 (b)(c)(e) 1,985,564 1,690,075 
Series 2018-IND Class F, 1 month U.S. LIBOR + 1.800% 1.89% 11/15/35 (b)(c)(e) 2,356,900 2,348,040 
Series 2019-IMC:   
Class B, 1 month U.S. LIBOR + 1.300% 1.389% 4/15/34 (b)(c)(e) 4,437,000 4,406,418 
Class C, 1 month U.S. LIBOR + 1.600% 1.689% 4/15/34 (b)(c)(e) 2,933,000 2,900,076 
Class D, 1 month U.S. LIBOR + 1.900% 1.989% 4/15/34(b)(c)(e) 3,079,000 3,036,567 
Series 2019-XL:   
Class B, 1 month U.S. LIBOR + 1.080% 1.17% 10/15/36 (b)(c)(e) 3,808,850 3,800,500 
Class C, 1 month U.S. LIBOR + 1.250% 1.34% 10/15/36 (b)(c)(e) 4,788,050 4,774,601 
Class D, 1 month U.S. LIBOR + 1.450% 1.54% 10/15/36 (b)(c)(e) 6,782,150 6,759,028 
Class E, 1 month U.S. LIBOR + 1.800% 1.89% 10/15/36 (b)(c)(e) 9,529,350 9,490,540 
Series 2020-BXLP Class E, 1 month U.S. LIBOR + 1.600% 1.69% 12/15/36 (b)(c)(e) 4,798,981 4,774,922 
Series 2021-ACNT Class A, 1 month U.S. LIBOR + 0.850% 0.95% 11/15/26 (b)(c)(e) 18,162,000 18,116,731 
Series 2021-BXMF Class A, 1 month U.S. LIBOR + 0.630% 0.7259% 10/15/26 (b)(c)(e) 16,987,000 16,854,986 
floater sequential payer:   
Series 2021-MFM1 Class A, 1 month U.S. LIBOR + 0.700% 0.7895% 1/15/34 (b)(c)(e) 6,330,000 6,304,227 
Series 2021-SOAR Class A, 0.76% 6/15/38 (b)(c) 18,360,000 18,256,980 
floater, sequential payer:   
Series 2019-IMC Class A, 1 month U.S. LIBOR + 1.000% 1.089% 4/15/34 (b)(c)(e) 6,400,000 6,385,968 
Series 2019-XL Class A, 1 month U.S. LIBOR + 0.920% 1.01% 10/15/36 (b)(c)(e) 21,556,638 21,556,634 
CD Commercial Mortgage Trust sequential payer Series 2017-CD6 Class ASB, 3.332% 11/13/50 17,655,000 18,692,035 
CF Hippolyta Issuer LLC sequential payer:   
Series 2020-1:   
Class A1, 1.69% 7/15/60 (b) 27,063,695 26,951,173 
Class A2, 1.99% 7/15/60 (b) 10,613,912 10,485,986 
Series 2021-1A Class A1, 1.53% 3/15/61 (b) 14,295,383 14,058,911 
CGDB Commercial Mortgage Trust floater Series 2019-MOB:   
Class A, 1 month U.S. LIBOR + 0.950% 1.0395% 11/15/36 (b)(c)(e) 4,222,000 4,211,421 
Class B, 1 month U.S. LIBOR + 1.250% 1.3395% 11/15/36 (b)(c)(e) 1,600,000 1,590,054 
CHC Commercial Mortgage Trust floater Series 2019-CHC:   
Class A, 1 month U.S. LIBOR + 1.120% 1.21% 6/15/34 (b)(c)(e) 28,328,229 28,274,938 
Class B, 1 month U.S. LIBOR + 1.500% 1.59% 6/15/34 (b)(c)(e) 2,163,210 2,146,934 
Class C, 1 month U.S. LIBOR + 1.750% 1.84% 6/15/34 (b)(c)(e) 2,444,160 2,413,515 
CIM Retail Portfolio Trust floater Series 2021-RETL:   
Class A, 1 month U.S. LIBOR + 1.400% 1.49% 8/15/36 (b)(c)(e) 10,885,000 10,864,482 
Class B, 1 month U.S. LIBOR + 1.900% 1.99% 8/15/36 (b)(c)(e) 3,280,000 3,267,656 
Class C, 1 month U.S. LIBOR + 2.300% 2.39% 8/15/36 (b)(c)(e) 2,493,000 2,482,051 
Class D, 1 month U.S. LIBOR + 3.050% 3.14% 8/15/36 (b)(c)(e) 3,078,000 3,062,564 
Citigroup Commercial Mortgage Trust:   
sequential payer Series 2017-P7 Class AAB, 3.509% 4/14/50 740,000 779,450 
Series 2015-GC33 Class XA, 1.0347% 9/10/58 (c)(k) 1,554,936 45,202 
Series 2016-P6 Class XA, 0.7802% 12/10/49 (c)(k) 1,319,452 30,627 
Series 2019-GC41 Class XA, 1.1846% 8/10/56 (c)(k) 20,608,385 1,309,195 
COMM Mortgage Trust:   
sequential payer:   
Series 2014-CR18 Class A5, 3.828% 7/15/47 2,137,000 2,259,471 
Series 2017-CD4 Class ASB, 3.317% 5/10/50 10,467,000 11,030,446 
Series 2014-CR20 Class XA, 1.1497% 11/10/47 (c)(k) 360,678 8,785 
Series 2014-LC17 Class XA, 0.8567% 10/10/47 (c)(k) 1,137,420 19,048 
Series 2014-UBS6 Class XA, 1.0107% 12/10/47 (c)(k) 921,144 19,832 
Core Industrial Trust floater Series 2019-CORE Class A, 1 month U.S. LIBOR + 0.880% 0.97% 12/15/31 (b)(c)(e) 273,770 272,740 
Credit Suisse Mortgage Trust:   
floater Series 2019-ICE4:   
Class B, 1 month U.S. LIBOR + 1.230% 1.32% 5/15/36 (b)(c)(e) 6,081,000 6,065,768 
Class C, 1 month U.S. LIBOR + 1.430% 1.52% 5/15/36 (b)(c)(e) 1,603,000 1,596,973 
sequential payer Series 2020-NET Class A, 2.2569% 8/15/37(b) 3,554,000 3,594,095 
Series 2018-SITE:   
Class A, 4.284% 4/15/36 (b) 4,971,000 5,124,925 
Class B, 4.5349% 4/15/36 (b) 1,471,000 1,502,625 
Class C, 4.9414% 4/15/36 (b)(c) 955,000 966,962 
Class D, 4.9414% 4/15/36 (b)(c) 1,909,000 1,882,565 
DBJPM Mortgage Trust sequential payer Series 2017-C6 Class ASB, 3.121% 6/10/50 4,803,000 5,040,451 
DBUBS Mortgage Trust Series 2011-LC3A Class C, 5.5442% 8/10/44 (b)(c) 1,099,140 1,100,854 
ELP Commercial Mortgage Trust floater Series 2021-ELP:   
Class A, 1 month U.S. LIBOR + 0.700% 0.801% 11/15/38 (b)(c)(e) 25,278,000 25,159,332 
Class B, 1 month U.S. LIBOR + 1.120% 1.2202% 11/15/38 (b)(c)(e) 6,150,000 6,121,137 
Extended Stay America Trust floater Series 2021-ESH:   
Class A, 1 month U.S. LIBOR + 1.080% 1.17% 7/15/38 (b)(c)(e) 15,315,323 15,306,139 
Class B, 1 month U.S. LIBOR + 1.380% 1.47% 7/15/38 (b)(c)(e) 4,198,159 4,195,528 
Class C, 1 month U.S. LIBOR + 1.700% 1.79% 7/15/38 (b)(c)(e) 3,143,645 3,142,701 
Class D, 1 month U.S. LIBOR + 2.250% 2.34% 7/15/38 (b)(c)(e) 7,942,679 7,942,671 
Freddie Mac:   
floater:   
Series 2021-F104 Class A/S, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.250% 0.2977% 1/25/31 (c)(e) 26,400,000 26,376,050 
Series 2021-F108 Class A/S, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.250% 0.2977% 2/25/31 (c)(e) 29,600,000 29,614,670 
Series 2021-F109 Class A/S, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.240% 0.2877% 3/25/31 (c)(e) 51,500,000 51,525,415 
Series 2021-F110 Class A/S, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.240% 0.2877% 3/25/31 (c)(e) 24,100,000 24,078,344 
Series 2021-F111 Class A/S, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.240% 0.2877% 3/25/31 (c)(e) 28,097,562 28,072,005 
Series 2021-F112 Class A/S, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.230% 0.2777% 4/25/31 (c)(e) 23,200,000 23,200,000 
Series 2021-F113 Class A/S, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.230% 0.2777% 5/25/28 (c)(e) 14,205,407 14,205,407 
Series 2021-F114 Class A/S, 0.2677% 5/25/31 (c) 65,899,000 65,839,994 
Series 2021-F115 Class A/S, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.210% 0.2577% 6/25/31 (c)(e) 77,180,000 77,032,532 
Series 2021-F120 Class A/S, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.210% 0.2477% 8/25/31 (c)(e) 21,177,000 21,147,617 
Series 2021-F121 Class A/S, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.180% 0.2277% 8/25/28 (c)(e) 24,572,000 24,523,357 
floater sequential payer Series 2021-KF124 Class A/S, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.220% 0.2677% 10/25/31 (c)(e) 121,900,000 121,676,850 
GS Mortgage Securities Trust:   
floater:   
Series 2018-3PCK Class A, 1 month U.S. LIBOR + 1.700% 1.789% 9/15/31 (b)(c)(e) 14,140,814 14,092,268 
Series 2018-HART Class A, 1 month U.S. LIBOR + 1.090% 1.18% 10/15/31 (b)(c)(e) 3,300,000 3,292,620 
Series 2021-IP:   
Class A, 1 month U.S. LIBOR + 0.950% 1.04% 10/15/36 (b)(c)(e) 10,697,000 10,700,176 
Class B, 1 month U.S. LIBOR + 1.150% 1.24% 10/15/36 (b)(c)(e) 1,654,000 1,654,496 
Class C, 1 month U.S. LIBOR + 1.550% 1.64% 10/15/36 (b)(c)(e) 1,363,000 1,363,405 
sequential payer:   
Series 2014-GC18 Class AAB, 3.648% 1/10/47 884,119 908,019 
Series 2016-GC34 Class AAB, 3.278% 10/10/48 2,135,633 2,218,314 
Series 2019-GC39 Class A4, 3.567% 5/10/52 130,000 143,023 
Series 2011-GC5 Class A/S, 5.209% 8/10/44 (b)(c) 10,701,380 10,745,481 
Series 2013-GC16 Class A/S, 4.649% 11/10/46 2,932,000 3,090,798 
Series 2015-GC30 Class A/S, 3.777% 5/10/50 2,577,000 2,717,294 
JP Morgan Chase Commercial Mortgage Securities Trust sequential payer Series 2021-2NU Class A, 1.9739% 1/5/40 (b) 24,200,000 23,894,823 
JPMBB Commercial Mortgage Securities Trust Series 2013-C14 Class A/S, 4.4093% 8/15/46 4,614,000 4,766,292 
JPMDB Commercial Mortgage Securities Trust sequential payer:   
Series 2017-C5 Class ASB, 3.4919% 3/15/50 3,236,000 3,396,305 
Series 2018-C8 Class ASB, 4.145% 6/15/51 8,779,000 9,647,130 
Series 2019-COR6 Class A4, 3.0565% 11/13/52 2,872,000 3,058,952 
JPMorgan Chase Commercial Mortgage Securities Corp. Series 2012-C6 Class A/S, 4.1166% 5/15/45 600,000 605,655 
JPMorgan Chase Commercial Mortgage Securities Trust:   
floater Series 2019-BKWD Class A, 1 month U.S. LIBOR + 1.000% 1.09% 9/15/29 (b)(c)(e) 6,400,000 6,387,817 
sequential payer Series 2013-LC11 Class A5, 2.9599% 4/15/46 7,200,000 7,343,461 
Series 2012-C8 Class A/S, 3.4239% 10/15/45 (b) 6,783,000 6,866,692 
Series 2012-CBX Class A/S, 4.2707% 6/15/45 31,528,000 31,924,701 
Series 2013-C16 Class A/S, 4.5169% 12/15/46 7,001,000 7,372,979 
Series 2013-LC11 Class A/S, 3.216% 4/15/46 5,691,000 5,822,723 
Series 2018-WPT:   
Class AFX, 4.2475% 7/5/33 (b) 84,000 87,579 
Class CFX, 4.9498% 7/5/33 (b) 767,000 795,874 
Class DFX, 5.3503% 7/5/33 (b) 1,370,000 1,417,149 
Class EFX, 5.5422% 7/5/33 (b) 1,614,000 1,648,971 
LIFE Mortgage Trust floater Series 2021-BMR:   
Class A, 1 month U.S. LIBOR + 0.700% 0.79% 3/15/38 (b)(c)(e) 13,421,000 13,393,781 
Class B, 1 month U.S. LIBOR + 0.880% 0.97% 3/15/38 (b)(c)(e) 2,940,000 2,918,822 
Class C, 1 month U.S. LIBOR + 1.100% 1.19% 3/15/38 (b)(c)(e) 2,038,000 2,020,846 
Class D, 1 month U.S. LIBOR + 1.400% 1.49% 3/15/38 (b)(c)(e) 2,834,000 2,808,266 
Class E, 1 month U.S. LIBOR + 1.750% 1.84% 3/15/38 (b)(c)(e) 2,476,000 2,455,903 
Merit floater:   
Series 2020-HILL Class A, 1 month U.S. LIBOR + 1.150% 1.24% 8/15/37 (b)(c)(e) 5,445,077 5,436,556 
Series 2021-STOR Class A, 1 month U.S. LIBOR + 0.700% 0.79% 7/15/38 (b)(c)(e) 8,363,000 8,328,976 
MHC Commercial Mortgage Trust floater sequential payer Series 2021-MHC Class A, 1 month U.S. LIBOR + 0.800% 0.8905% 4/15/38 (b)(c)(e) 34,600,000 34,513,455 
Morgan Stanley BAML Trust:   
sequential payer:   
Series 2016-C28 Class A3, 3.272% 1/15/49 5,961,171 6,199,029 
Series 2017-C33 Class A4, 3.337% 5/15/50 13,400,000 14,206,495 
Series 2012-C5 Class A/S, 3.792% 8/15/45 6,800,000 6,905,864 
Series 2012-C6 Class A/S, 3.476% 11/15/45 8,330,000 8,459,240 
Series 2015-C25 Class XA, 1.1981% 10/15/48 (c)(k) 910,660 28,486 
Morgan Stanley Capital I Trust:   
floater Series 2018-BOP Class A, 1 month U.S. LIBOR + 0.850% 0.94% 8/15/33 (b)(c)(e) 205,211 205,086 
floater sequential payer Series 2019-NUGS Class A, 1 month U.S. LIBOR + 0.950% 2.45% 12/15/36 (b)(c)(e) 9,700,000 9,705,109 
sequential payer:   
Series 2019-L2 Class A3, 3.806% 3/15/52 100,000 109,417 
Series 2019-MEAD Class A, 3.17% 11/10/36 (b) 16,247,000 16,696,629 
Series 2018-H4 Class A4, 4.31% 12/15/51 2,991,000 3,411,305 
Series 2019-MEAD:   
Class B, 3.283% 11/10/36 (b)(c) 1,783,000 1,804,243 
Class C, 3.283% 11/10/36 (b)(c) 1,712,000 1,710,431 
Series 2021-L6 Class XA, 1.3542% 6/15/54 (c)(k) 26,695,016 2,264,098 
NYT Mortgage Trust floater Series 2019-NYT Class A, 1 month U.S. LIBOR + 1.200% 1.29% 12/15/35 (b)(c)(e) 20,822,000 20,800,368 
Prima Capital Ltd.:   
floater Series 2021-9A Class B, 1 month U.S. LIBOR + 1.800% 1.8911% 12/15/37 (b)(c)(e) 4,403,000 4,402,995 
floater sequential payer Series 2021-9A Class A, 1 month U.S. LIBOR + 1.450% 1.5411% 12/15/37 (b)(c)(e) 4,740,641 4,740,584 
RLGH Trust floater Series 2021-TROT Class A, 1 month U.S. LIBOR + 0.800% 0.89% 4/15/36 (b)(c)(e) 23,000,000 23,006,090 
SLG Office Trust Series 2021-OVA Class X, 0.258% 7/15/41 (b)(c)(k) 213,942,750 4,408,718 
SREIT Trust floater:   
Series 2021-IND Class A, 1 month U.S. LIBOR + 0.700% 0.79% 10/15/38 (b)(c)(e) 3,400,000 3,367,899 
Series 2021-MFP:   
Class A, 1 month U.S. LIBOR + 0.730% 0.8308% 11/15/38 (b)(c)(e) 17,028,000 16,930,399 
Class B, 1 month U.S. LIBOR + 1.070% 1.1798% 11/15/38 (b)(c)(e) 9,752,000 9,696,127 
Class C, 1 month U.S. LIBOR + 1.320% 1.429% 11/15/38 (b)(c)(e) 5,710,000 5,677,273 
Class D, 1 month U.S. LIBOR + 1.570% 1.6782% 11/15/38 (b)(c)(e) 3,430,000 3,410,333 
UBS Commercial Mortgage Trust:   
sequential payer:   
Series 2017-C1 Class ASB, 3.462% 11/15/50 1,400,000 1,487,541 
Series 2017-C7 Class ASB, 3.586% 12/15/50 1,000,000 1,066,795 
Series 2012-C1 Class A/S, 4.171% 5/10/45 9,200,000 9,221,514 
Series 2017-C7 Class XA, 1.1691% 12/15/50 (c)(k) 1,207,929 56,233 
UBS-Barclays Commercial Mortgage Trust:   
floater Series 2013-C6 Class A3, 1 month U.S. LIBOR + 0.790% 0.8795% 4/10/46 (b)(c)(e) 106,791 106,571 
sequential payer Series 2012-C4 Class A/S, 3.3165% 12/10/45 (b) 4,200,000 4,272,694 
Series 2012-C3 Class A/S, 3.814% 8/10/49 (b) 12,000,000 12,247,249 
VLS Commercial Mortgage Trust:   
sequential payer Series 2020-LAB Class A, 2.13% 10/10/42 (b) 8,020,000 7,962,130 
Series 2020-LAB:   
Class B, 2.453% 10/10/42 (b) 470,000 469,054 
Class X, 0.5162% 10/10/42 (b)(c)(k) 27,100,000 906,251 
Wells Fargo Commercial Mortgage Trust:   
floater Series 2021-FCMT Class A, 1 month U.S. LIBOR + 1.200% 1.29% 5/15/31 (b)(c)(e) 16,435,000 16,430,088 
sequential payer:   
Series 2015-C26 Class A4, 3.166% 2/15/48 11,250,000 11,779,886 
Series 2015-C29 Class ASB, 3.4% 6/15/48 4,312,734 4,469,956 
Series 2016-LC24 Class A3, 2.684% 10/15/49 4,700,000 4,848,886 
Series 2017-C40 Class ASB, 3.395% 10/15/50 1,000,000 1,058,237 
Series 2018-C44 Class ASB, 4.167% 5/15/51 1,000,000 1,094,163 
Series 2019-C52 Class A5, 2.892% 8/15/52 3,829,000 4,027,230 
Series 2019-C54 Class ASB, 3.063% 12/15/52 1,000,000 1,068,174 
Series 2015-SG1 Class ASB, 3.556% 9/15/48 3,777,939 3,923,048 
Series 2017-C42 Class XA, 1.0213% 12/15/50 (c)(k) 1,443,634 66,981 
Series 2018-C46 Class XA, 1.1013% 8/15/51 (c)(k) 37,785,054 1,577,654 
Series 2018-C48 Class A5, 4.302% 1/15/52 3,836,000 4,361,651 
Series 2019-C54 Class XA, 0.9657% 12/15/52 (c)(k) 63,663,501 3,637,452 
WF-RBS Commercial Mortgage Trust:   
Series 2012-C8 Class A/S, 3.66% 8/15/45 5,036,000 5,096,378 
Series 2012-C9 Class A/S, 3.388% 11/15/45 1,300,000 1,321,454 
Series 2013-C12 Class A/S, 3.56% 3/15/48 17,361,000 17,840,858 
Series 2013-C16 Class A/S, 4.668% 9/15/46 (c) 8,828,629 9,309,388 
TOTAL COMMERCIAL MORTGAGE SECURITIES   
(Cost $1,649,575,525)  1,645,882,471 
Municipal Securities - 0.1%   
Chicago Board of Ed. Series 2009 G, 1.75% 12/15/25 4,720,000 4,524,897 
Illinois Gen. Oblig.:   
Series 2003: $ $ 
4.95% 6/1/23 2,400,364 2,510,670 
5.1% 6/1/33 22,095,000 25,832,955 
Series 2010-1, 6.63% 2/1/35 2,035,000 2,527,885 
Series 2010-3:   
6.725% 4/1/35 2,710,000 3,393,753 
7.35% 7/1/35 1,385,000 1,773,570 
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 14,754,454 
TOTAL MUNICIPAL SECURITIES   
(Cost $48,911,312)  55,318,184 
Foreign Government and Government Agency Obligations - 0.1%   
Kingdom of Saudi Arabia 3.25% 11/17/51 (b) $15,410,000 $14,966,963 
State of Qatar 3.4% 4/16/25 (b) 4,110,000 4,368,930 
United Kingdom, Great Britain and Northern Ireland 1.25% 10/22/41 (Reg. S) (h) GBP3,760,000 5,216,888 
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS   
(Cost $24,545,776)  24,552,781 
 Shares Value 
Common Stocks - 0.0%   
ENERGY - 0.0%   
Energy Equipment & Services - 0.0%   
Jonah Energy Parent LLC (j)   
(Cost $65,550) 4,766 246,736 
 Principal Amount(a) Value 
Bank Notes - 0.0%   
Discover Bank 4.682% 8/9/28 (c) 2,954,000 3,099,855 
KeyBank NA 6.95% 2/1/28 619,000 787,026 
Regions Bank 6.45% 6/26/37 4,251,000 6,033,517 
TOTAL BANK NOTES   
(Cost $8,485,692)  9,920,398 
 Shares Value 
Fixed-Income Funds - 60.2%   
Bank Loan Funds - 2.4%   
Fidelity Advisor Floating Rate High Income Fund Class Z (o) 119,898,806 $1,133,043,712 
High Yield Fixed-Income Funds - 3.2%   
Fidelity Advisor High Income Fund Class Z (o) 43,087,404 369,689,922 
Fidelity Advisor New Markets Income Fund Class Z (o) 78,593,974 1,112,104,734 
TOTAL HIGH YIELD FIXED-INCOME FUNDS  1,481,794,656 
Inflation-Protected Bond Funds - 2.0%   
Fidelity Inflation-Protected Bond Index Fund (o) 78,301,363 913,776,908 
Intermediate Government Funds - 10.2%   
Fidelity Advisor Government Income Fund Class Z (o) 46,858,319 501,852,593 
Fidelity SAI U.S. Treasury Bond Index Fund (o) 421,504,419 4,269,839,763 
TOTAL INTERMEDIATE GOVERNMENT FUNDS  4,771,692,356 
Intermediate-Term Bond Funds - 35.7%   
Fidelity Advisor Corporate Bond Fund Class Z (o) 105,563,458 1,317,431,950 
Fidelity Advisor Global Credit Fund Class Z (o) 3,168,781 31,149,122 
Fidelity Intermediate Bond Fund (o) 78,745,769 870,928,208 
Fidelity SAI Total Bond Fund (o) 1,171,942,256 12,317,113,079 
Fidelity Sustainability Bond Index Fund (o) 2,380,881 25,546,852 
Fidelity U.S. Bond Index Fund (o) 171,658,509 2,066,768,447 
TOTAL INTERMEDIATE-TERM BOND FUNDS  16,628,937,658 
Long Government Bond Funds - 5.0%   
Fidelity SAI Long-Term Treasury Bond Index Fund (o) 201,005,111 2,335,679,393 
Sector Funds - 1.7%   
Fidelity Advisor Real Estate Income Fund Class Z (o) 57,430,610 777,036,151 
TOTAL FIXED-INCOME FUNDS   
(Cost $27,570,344,977)  28,041,960,834 
 Principal Amount(a) Value 
Preferred Securities - 0.3%   
COMMUNICATION SERVICES - 0.0%   
Diversified Telecommunication Services - 0.0%   
Telefonica Europe BV 3.875% (Reg. S) (c)(f) 1,100,000 1,323,835 
CONSUMER DISCRETIONARY - 0.0%   
Automobiles - 0.0%   
Volkswagen International Finance NV 3.5% (Reg. S) (c)(f) 9,200,000 11,265,952 
CONSUMER STAPLES - 0.0%   
Tobacco - 0.0%   
British American Tobacco PLC 3% (Reg. S) (c)(f) 5,200,000 5,810,880 
FINANCIALS - 0.1%   
Banks - 0.1%   
AIB Group PLC 6.25% (Reg. S) (c)(f) 1,235,000 1,563,601 
Banco Bilbao Vizcaya Argentaria SA 5.875% (Reg. S) (c)(f) 1,200,000 1,450,666 
Bank of Nova Scotia:   
4.65% (c)(f) 13,095,000 12,844,720 
4.9% (c)(f) 9,500,000 10,172,989 
Barclays Bank PLC 7.625% 11/21/22 12,633,000 13,383,296 
Barclays PLC 5.875% (Reg. S) (c)(f) 600,000 836,786 
BNP Paribas SA 6.625% (Reg. S) (c)(f) 1,485,000 1,621,464 
HSBC Holdings PLC 6.375% (c)(f) 1,470,000 1,596,153 
Lloyds Banking Group PLC 5.125% (c)(f) 200,000 275,770 
Societe Generale 7.875% (Reg. S) (c)(f) 740,000 833,179 
  44,578,624 
Capital Markets - 0.0%   
Credit Suisse Group AG 7.5% (Reg. S) (c)(f) 4,925,000 5,478,340 
Consumer Finance - 0.0%   
Ally Financial, Inc. 4.7% (c)(f) 2,600,000 2,686,563 
Insurance - 0.0%   
QBE Insurance Group Ltd. 5.25% (Reg. S) (c)(f) 4,750,000 4,996,696 
TOTAL FINANCIALS  57,740,223 
HEALTH CARE - 0.0%   
Pharmaceuticals - 0.0%   
Bayer AG 2.375% 11/12/79 (Reg. S) (c) 8,300,000 9,463,285 
INDUSTRIALS - 0.0%   
Road & Rail - 0.0%   
National Express Group PLC 4.25% (Reg. S) (c)(f) 570,000 793,799 
REAL ESTATE - 0.1%   
Real Estate Management & Development - 0.1%   
Aroundtown SA 3.375% (Reg. S) (c)(f) 3,900,000 4,692,936 
AT Securities BV 5.25% (Reg. S) (c)(f) 4,750,000 4,998,758 
CPI Property Group SA 3.75% (Reg. S) (c)(f) 2,370,000 2,613,644 
Grand City Properties SA 1.5% (Reg. S) (c)(f) 4,300,000 4,742,014 
Heimstaden Bostad AB:   
3.248% (Reg. S) (c)(f) 3,735,000 4,327,460 
3.625% (Reg. S) (c)(f) 195,000 219,461 
Samhallsbyggnadsbolaget I Norden AB 2.624% (Reg. S) (c)(f) 1,385,000 1,561,277 
  23,155,550 
UTILITIES - 0.1%   
Electric Utilities - 0.1%   
EDF SA 5.625% (Reg. S) (c)(f) 6,300,000 6,749,988 
SSE PLC 3.74% (Reg. S) (c)(f) 1,135,000 1,579,186 
  8,329,174 
Multi-Utilities - 0.0%   
ELM BV for Firmenich International SA 3.75% (Reg. S) (c)(f) 520,000 626,085 
Veolia Environnement SA 2% (Reg. S) (c)(f) 2,300,000 2,584,372 
  3,210,457 
TOTAL UTILITIES  11,539,631 
TOTAL PREFERRED SECURITIES   
(Cost $125,164,460)  121,093,155 
 Shares Value 
Money Market Funds - 6.1%   
Fidelity Cash Central Fund 0.06% (p) 2,110,182,205 2,110,604,241 
Fidelity Investments Money Market Government Portfolio Institutional Class 0.01% (o)(q) 751,155,219 751,155,219 
TOTAL MONEY MARKET FUNDS   
(Cost $2,861,759,421)  2,861,759,460 

Purchased Swaptions - 0.0%    
 Expiration Date Notional Amount Value 
Put Options - 0.0%    
Option with an exercise rate of 3.125% on a credit default swap with BNP Paribas SA to buy protection on the 5-Year iTraxx Europe Crossover Series 36 Index expiring December 2026, paying 5% quarterly. 2/16/22 EUR 29,300,000 $463,903 
TOTAL PURCHASED SWAPTIONS    
(Cost $424,716)   463,903 
TOTAL INVESTMENT IN SECURITIES - 108.8%    
(Cost $49,800,182,244)   50,664,653,965 
NET OTHER ASSETS (LIABILITIES) - (8.8)%   (4,087,724,203) 
NET ASSETS - 100%   $46,576,929,762 

TBA Sale Commitments   
 Principal Amount Value 
Ginnie Mae   
3.5% 12/1/51 $(41,800,000) $(43,653,090) 
3.5% 12/1/51 (8,750,000) (9,137,908) 
3.5% 12/1/51 (7,050,000) (7,362,543) 
3.5% 12/1/51 (28,150,000) (29,397,954) 
3.5% 12/1/51 (27,500,000) (28,719,138) 
3.5% 12/1/51 (6,900,000) (7,205,893) 
3.5% 12/1/51 (27,600,000) (28,823,571) 
3.5% 12/1/51 (6,900,000) (7,205,893) 
TOTAL GINNIE MAE  (161,505,990) 
Uniform Mortgage Backed Securities   
2% 12/1/51 (25,400,000) (25,422,969) 
2% 12/1/51 (17,200,000) (17,215,554) 
2% 12/1/51 (5,650,000) (5,655,109) 
2% 12/1/51 (35,600,000) (35,632,193) 
2% 12/1/51 (51,400,000) (51,446,481) 
2% 12/1/51 (71,550,000) (71,614,703) 
2% 12/1/51 (15,050,000) (15,063,610) 
2% 12/1/51 (26,050,000) (26,073,557) 
2% 12/1/51 (14,400,000) (14,413,022) 
2% 12/1/51 (4,250,000) (4,253,843) 
2% 12/1/51 (1,300,000) (1,301,176) 
2% 12/1/51 (5,300,000) (5,304,793) 
2% 12/1/51 (1,700,000) (1,701,537) 
2% 12/1/51 (68,650,000) (68,712,080) 
2% 12/1/51 (20,700,000) (20,718,719) 
2% 12/1/51 (73,050,000) (73,116,059) 
2% 12/1/51 (21,150,000) (21,169,126) 
2% 12/1/51 (49,900,000) (49,945,125) 
2% 12/1/51 (14,450,000) (14,463,067) 
2.5% 12/1/51 (4,800,000) (4,920,000) 
2.5% 12/1/51 (5,500,000) (5,637,500) 
2.5% 12/1/51 (42,000,000) (43,050,000) 
2.5% 12/1/51 (4,250,000) (4,356,250) 
2.5% 12/1/51 (5,200,000) (5,330,000) 
2.5% 12/1/51 (26,100,000) (26,752,500) 
2.5% 12/1/51 (4,000,000) (4,100,000) 
2.5% 12/1/51 (27,850,000) (28,546,250) 
2.5% 12/1/51 (2,925,000) (2,998,125) 
2.5% 12/1/51 (19,200,000) (19,680,000) 
2.5% 12/1/51 (5,900,000) (6,047,500) 
2.5% 12/1/51 (31,850,000) (32,646,250) 
2.5% 12/1/51 (9,800,000) (10,045,000) 
2.5% 12/1/51 (5,100,000) (5,227,500) 
2.5% 12/1/51 (16,600,000) (17,015,000) 
2.5% 12/1/51 (26,350,000) (27,008,750) 
2.5% 12/1/51 (6,600,000) (6,765,000) 
2.5% 12/1/51 (2,925,000) (2,998,125) 
2.5% 12/1/51 (31,850,000) (32,646,250) 
2.5% 12/1/51 (9,800,000) (10,045,000) 
2.5% 12/1/51 (4,800,000) (4,920,000) 
2.5% 12/1/51 (5,500,000) (5,637,500) 
2.5% 12/1/51 (6,600,000) (6,765,000) 
2.5% 12/1/51 (26,350,000) (27,008,750) 
2.5% 12/1/51 (42,000,000) (43,050,000) 
2.5% 12/1/51 (9,450,000) (9,686,250) 
3% 12/1/51 (31,600,000) (32,807,218) 
3% 12/1/51 (8,000,000) (8,305,625) 
3% 12/1/51 (1,900,000) (1,972,586) 
3% 12/1/51 (4,000,000) (4,152,812) 
3% 12/1/51 (26,100,000) (27,097,101) 
3% 12/1/51 (19,200,000) (19,933,500) 
3% 12/1/51 (5,900,000) (6,125,398) 
TOTAL UNIFORM MORTGAGE BACKED SECURITIES  (1,016,499,463) 
TOTAL TBA SALE COMMITMENTS   
(Proceeds $1,173,274,347)  $(1,178,005,453) 

Futures Contracts      
 Number of contracts Expiration Date Notional Amount Value Unrealized Appreciation/(Depreciation) 
Purchased      
Bond Index Contracts      
ASX 10 Year Treasury Bond Index Contracts (Australia) 19 Dec. 2021 $1,887,922 $(62,283) $(62,283) 
Eurex Euro-Bund Contracts (Germany) 139 Dec. 2021 27,172,390 157,452 157,452 
Eurex Euro-Buxl 30 Year Bond Contracts (Germany) 41 Dec. 2021 10,142,166 469,232 469,232 
TME 10 Year Canadian Note Contracts (Canada) 101 March 2022 11,160,640 165,979 165,979 
TOTAL BOND INDEX CONTRACTS     730,380 
Treasury Contracts      
CBOT 10-Year U.S. Treasury Note Contracts (United States) 2,392 March 2022 312,903,500 2,679,650 2,679,650 
CBOT 5-Year U.S. Treasury Note Contracts (United States) 570 March 2022 69,197,109 229,622 229,622 
CBOT Ultra 10-Year U.S. Treasury Note Contracts (United States) 117 March 2022 17,186,203 221,681 221,681 
CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States) 106 March 2022 21,259,625 645,079 645,079 
TOTAL TREASURY CONTRACTS     3,776,032 
TOTAL PURCHASED     4,506,412 
Sold      
Bond Index Contracts      
Eurex Euro-Bobl Contracts (Germany) 167 Dec. 2021 25,662,982 (21,087) (21,087) 
ICE Long Gilt Contracts (United Kingdom) 134 March 2022 22,504,775 (206,998) (206,998) 
TOTAL BOND INDEX CONTRACTS     (228,085) 
Treasury Contracts      
CBOT 2-Year U.S. Treasury Note Contracts (United States) 2,391 March 2022 522,993,891 (299,513) (299,513) 
CBOT Long Term U.S. Treasury Bond Contracts (United States) 1,308 March 2022 212,059,500 (3,543,321) (3,543,321) 
TOTAL TREASURY CONTRACTS     (3,842,834) 
TOTAL SOLD     (4,070,919) 
TOTAL FUTURES CONTRACTS     $435,493 

The notional amount of futures purchased as a percentage of Net Assets is 1.0%

The notional amount of futures sold as a percentage of Net Assets is 1.7%

Forward Foreign Currency Contracts       
Currency Purchased Currency Sold Counterparty Settlement Date Unrealized Appreciation/(Depreciation) 
USD 117,314 CAD 150,000 JPMorgan Chase Bank, N.A. 12/1/21 $(107) 
USD 264,725 EUR 235,000 State Street Bank And Trust Co 12/1/21 (1,788) 
GBP 70,000 USD 92,705 Brown Brothers Harriman & Co. 12/2/21 392 
USD 225,470 EUR 200,000 JPMorgan Chase Bank, N.A. 12/2/21 (1,350) 
CAD 46,000 USD 36,974 State Street Bank And Trust Co 1/13/22 (947) 
EUR 331,000 USD 382,895 Goldman Sachs Bank USA 1/13/22 (6,864) 
EUR 214,000 USD 250,610 JPMorgan Chase Bank, N.A. 1/13/22 (7,497) 
EUR 116,000 USD 134,540 JPMorgan Chase Bank, N.A. 1/13/22 (2,759) 
EUR 715,000 USD 810,923 JPMorgan Chase Bank, N.A. 1/13/22 1,348 
EUR 236,000 USD 273,498 State Street Bank And Trust Co 1/13/22 (5,392) 
EUR 282,000 USD 327,502 State Street Bank And Trust Co 1/13/22 (7,137) 
EUR 553,000 USD 641,993 State Street Bank And Trust Co 1/13/22 (13,760) 
EUR 957,000 USD 1,079,672 State Street Bank And Trust Co 1/13/22 7,522 
EUR 282,000 USD 318,197 State Street Bank And Trust Co 1/13/22 2,168 
GBP 133,000 USD 181,023 State Street Bank And Trust Co 1/13/22 (3,988) 
GBP 297,000 USD 397,802 State Street Bank And Trust Co 1/13/22 (2,468) 
GBP 118,000 USD 157,476 State Street Bank And Trust Co 1/13/22 (407) 
USD 149,218 AUD 199,000 BNP Paribas 1/13/22 7,281 
USD 66,362 CAD 84,000 Citibank NA 1/13/22 574 
USD 27,077 CAD 34,000 Goldman Sachs Bank USA 1/13/22 449 
USD 27,521 CAD 34,000 JPMorgan Chase Bank, N.A. 1/13/22 892 
USD 161,395 CAD 200,000 Royal Bank Of Canada 1/13/22 4,758 
USD 206,433 EUR 180,000 BNP Paribas 1/13/22 1,945 
USD 61,216 EUR 54,000 BNP Paribas 1/13/22 (130) 
USD 132,984,321 EUR 114,522,000 Citibank NA 1/13/22 2,882,335 
USD 586,568 EUR 505,000 Citibank NA 1/13/22 12,866 
USD 169,477 EUR 146,000 Goldman Sachs Bank USA 1/13/22 3,614 
USD 382,429 EUR 337,000 JPMorgan Chase Bank, N.A. 1/13/22 (418) 
USD 42,910 EUR 38,000 JPMorgan Chase Bank, N.A. 1/13/22 (259) 
USD 1,513,068 EUR 1,349,000 Royal Bank Of Canada 1/13/22 (19,456) 
USD 2,840,880 EUR 2,462,000 State Street Bank And Trust Co 1/13/22 43,940 
USD 65,810,369 GBP 47,795,000 BNP Paribas 1/13/22 2,190,933 
USD 917,717 GBP 677,000 BNP Paribas 1/13/22 16,569 
USD 372,195 GBP 277,000 BNP Paribas 1/13/22 3,483 
USD 883,771 GBP 655,000 BNP Paribas 1/13/22 11,907 
USD 820,480 GBP 615,000 BNP Paribas 1/13/22 1,860 
USD 231,955 GBP 175,000 Brown Brothers Harriman & Co. 1/13/22 (986) 
USD 236,139 GBP 171,000 Goldman Sachs Bank USA 1/13/22 8,523 
USD 376,977 GBP 275,000 JPMorgan Chase Bank, N.A. 1/13/22 10,927 
USD 123,744 GBP 93,000 Royal Bank Of Canada 1/13/22 (47) 
USD 194,515 GBP 144,000 State Street Bank And Trust Co 1/13/22 2,838 
USD 198,033 GBP 146,000 State Street Bank And Trust Co 1/13/22 3,694 
USD 1,736,480 GBP 1,288,000 State Street Bank And Trust Co 1/13/22 22,037 
TOTAL FORWARD FOREIGN CURRENCY CONTRACTS      $5,167,095 
     Unrealized Appreciation 5,242,855 
     Unrealized Depreciation (75,760) 

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         
BMW Finance NV Dec. 2026 Citibank, N.A. (1%) Quarterly EUR 2,700,000 $(89,363) $88,102 $(1,261) 
CMBX N.A. AAA Index Series 12 Dec. 2072 Citigroup Global Markets Ltd. (0.5%) Monthly 13,700,000 9,752 42,898 52,650 
CMBX N.A. AAA Index Series 13 Dec. 2072 Citigroup Global Markets Ltd. (0.5%) Monthly 14,200,000 10,108 47,432 57,540 
CMBX N.A. AAA Index Series 13 Dec. 2072 Goldman Sachs & Co. LLC (0.5%) Monthly 1,110,000 790 3,005 3,795 
Daimler AG Dec. 2026 Citibank, N.A. (1%) Quarterly EUR 2,700,000 (80,395) 71,767 (8,628) 
Deutsche Bank AG Dec. 2026 Citibank, N.A. (1%) Quarterly EUR 2,750,000 (29,695) 41,883 12,188 
Intesa Sanpaolo SpA Dec. 2026 JPMorgan Chase Bank, N.A. (1%) Quarterly EUR 2,700,000 (57,297) 70,142 12,845 
Shell International Finance BV Dec. 2026 Citibank, N.A. (1%) Quarterly EUR 2,700,000 (99,717) 99,621 (96) 
TOTAL CREDIT DEFAULT SWAPS      $(335,817) $464,850 $129,033 

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          
0.5% Semi - annual 3-month LIBOR(3) Quarterly LCH Dec. 2023 $54,704,000 $(437,738) $0 $(437,738) 
1.25% Semi - annual 3-month LIBOR(3) Quarterly LCH Dec. 2026 33,414,000 (580,921) 0 (580,921) 
1.5% Semi - annual 3-month LIBOR(3) Quarterly LCH Dec. 2028 14,181,000 (252,245) 0 (252,245) 
2% Semi - annual 3-month LIBOR(3) Quarterly LCH Dec. 2051 2,983,000 17,018 0 17,018 
TOTAL INTEREST RATE SWAPS       $(1,253,886) $0 $(1,253,886) 

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

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

 (3) Represents floating rate.

Currency Abbreviations

AUD – Australian dollar

CAD – Canadian dollar

EUR – European Monetary Unit

GBP – British pound

USD – U.S. dollar

Legend

 (a) Amount is stated in United States dollars unless otherwise noted.

 (b) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $3,020,152,351 or 6.5% of net assets.

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

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

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

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

 (g) Security or a portion of the security 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 $1,862,483.

 (h) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $6,229,277.

 (i) Security or a portion of the security was pledged to cover margin requirements for centrally cleared OTC swaps. At period end, the value of securities pledged amounted to $2,167,601.

 (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) Affiliated Fund

 (p) 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.

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

Affiliated Central Funds

Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.

Fund Value, beginning of period Purchases Sales Proceeds Dividend Income Realized Gain/Loss Change in Unrealized appreciation (depreciation) Value, end of period % ownership, end of period 
Fidelity Cash Central Fund 0.06% $2,065,023,730 $3,864,291,319 $3,818,710,808 $650,673 $-- $-- $2,110,604,241 3.5% 
Total $2,065,023,730 $3,864,291,319 $3,818,710,808 $650,673 $-- $-- $2,110,604,241  

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

Affiliated Underlying Funds

Fiscal year to date information regarding the Fund's investments in affiliated Underlying Funds is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur. If an underlying Fund changes its name, the name presented below is the name in effect at period end.

Affiliate Value, beginning of period Purchases Sales Proceeds Dividend Income Realized Gain (loss) Change in Unrealized appreciation (depreciation) Value, end of period 
Fidelity Advisor Corporate Bond Fund Class Z $-- $338,930,304 $-- $13,930,304 $-- $18,895,627 $1,317,431,950 
Fidelity Advisor Floating Rate High Income Fund Class Z -- 235,353,677 -- 10,353,677 -- 10,539,630 1,133,043,712 
Fidelity Advisor Global Credit Fund Class Z -- 154,502 -- 154,502 -- 1,125,780 31,149,122 
Fidelity Advisor Government Income Fund Class Z -- 500,450,630 -- 196,676 -- 1,401,963 501,852,593 
Fidelity Advisor High Income Fund Class Z -- 4,910,509 -- 4,910,510 -- 12,672,374 369,689,922 
Fidelity Advisor New Markets Income Fund Class Z -- 261,880,791 -- 11,880,791 -- (40,395,399) 1,112,104,734 
Fidelity Advisor Real Estate Income Fund Class I 646,246,691 49,903 -- 49,903 -- (71,882,750) -- 
Fidelity Advisor Real Estate Income Fund Class Z -- 102,090,819 -- 2,090,819 -- 100,531,488 777,036,151 
Fidelity Corporate Bond Fund 828,101,099 154,935,371 -- 3,935,371 -- (23,430,451) -- 
Fidelity Floating Rate High Income Fund 792,379,385 104,706,150 -- 4,706,150 -- (9,935,130) -- 
Fidelity Global Credit Fund 30,723,536 113,325 -- 113,325 -- (968,021) -- 
Fidelity High Income Fund 292,575,915 77,332,952 -- 2,332,952 -- (17,801,828) -- 
Fidelity Inflation-Protected Bond Index Fund 749,815,600 125,000,107 -- 107 -- 38,961,201 913,776,908 
Fidelity Intermediate Bond Fund 548,937,405 331,103,621 -- 6,103,622 -- (9,112,818) 870,928,208 
Fidelity Investments Money Market Government Portfolio Institutional Class 0.01% 1,590,674,573 5,836,699,149 6,676,218,503 44,781 -- -- 751,155,219 
Fidelity New Markets Income Fund 711,717,114 180,052,864 -- 5,052,864 -- (1,150,636) -- 
Fidelity SAI Long-Term Treasury Bond Index Fund 1,166,946,960 1,792,320,802 750,000,000 17,331,219 (68,847,692) 195,259,323 2,335,679,393 
Fidelity SAI Total Bond Fund 10,738,130,397 1,598,867,931 -- 173,867,932 -- (19,885,249) 12,317,113,079 
Fidelity SAI U.S. Treasury Bond Index Fund 2,358,068,459 1,978,217,193 100,002,514 14,431,626 (6,167,212) 39,723,837 4,269,839,763 
Fidelity Sustainability Bond Index Fund 25,317,551 182,788 -- 182,792 -- 46,513 25,546,852 
Fidelity U.S. Bond Index Fund 1,030,314,170 1,293,117,170 250,622,924 17,494,246 (9,330,713) 3,290,744 2,066,768,447 
Total $21,509,948,855 $14,916,470,558 $7,776,843,941 $289,164,169 $(84,345,617) $227,886,198 $28,793,116,053 

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, 2021, 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 $246,736 $-- $-- $246,736 
Corporate Bonds 4,892,467,682 -- 4,892,467,682 -- 
U.S. Government and Government Agency Obligations 3,693,097,784 -- 3,693,097,784 -- 
U.S. Government Agency - Mortgage Securities 7,992,474,835 -- 7,992,474,835 -- 
Asset-Backed Securities 964,184,410 -- 964,184,410 -- 
Collateralized Mortgage Obligations 361,231,332 -- 361,231,277 55 
Commercial Mortgage Securities 1,645,882,471 -- 1,645,882,471 -- 
Municipal Securities 55,318,184 -- 55,318,184 -- 
Foreign Government and Government Agency Obligations 24,552,781 -- 24,552,781 -- 
Bank Notes 9,920,398 -- 9,920,398 -- 
Fixed-Income Funds 28,041,960,834 28,041,960,834 -- -- 
Preferred Securities 121,093,155 -- 121,093,155 -- 
Money Market Funds 2,861,759,460 2,861,759,460 -- -- 
Purchased Swaptions 463,903 -- 463,903 -- 
Total Investments in Securities: $50,664,653,965 $30,903,720,294 $19,760,686,880 $246,791 
Derivative Instruments:     
Assets     
Futures Contracts $4,568,695 $4,568,695 $-- $-- 
Forward Foreign Currency Contracts 5,242,855  5,242,855  
Swaps 37,668 -- 37,668 -- 
Total Assets $9,849,218 $4,568,695 $5,280,523 $-- 
Liabilities     
Futures Contracts $(4,133,202) $(4,133,202) $-- $-- 
Forward Foreign Currency Contracts (75,760)  (75,760)  
Swaps (1,627,371) -- (1,627,371) -- 
Total Liabilities $(5,836,333) $(4,133,202) $(1,703,131) $-- 
Total Derivative Instruments: $4,012,885 $435,493 $3,577,392 $-- 
Other Financial Instruments:     
TBA Sale Commitments $(1,178,005,453) $-- $(1,178,005,453) $-- 
Total Other Financial Instruments: $(1,178,005,453) $-- $(1,178,005,453) $-- 

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, 2021. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.

Primary Risk Exposure / Derivative Type Value 
 Asset Liability 
Credit Risk   
Purchased Swaptions(a) $463,903 $0 
Swaps(b) 20,650 (356,467) 
Total Credit Risk 484,553 (356,467) 
Foreign Exchange Risk   
Forward Foreign Currency Contracts(c) 5,242,855 (75,760) 
Total Foreign Exchange Risk 5,242,855 (75,760) 
Interest Rate Risk   
Futures Contracts(d) 4,568,695 (4,133,202) 
Purchased Swaptions(a) 0 0 
Swaps(e) 17,018 (1,270,904) 
Written Swaptions(f) 0 0 
Total Interest Rate Risk 4,585,713 (5,404,106) 
Total Value of Derivatives $10,313,121 $(5,836,333) 

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

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

 (c) Gross value is presented in the Statement of Assets and Liabilities in the unrealized appreciation/depreciation on forward foreign currency contracts line-items.

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

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

 (f) 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, 2021 (Unaudited) 
Assets   
Investment in securities, at value — See accompanying schedule:
Unaffiliated issuers (cost $19,368,077,846) 		$19,760,933,671  
Fidelity Central Funds (cost $2,110,604,202) 2,110,604,241  
Other affiliated issuers (cost $28,321,500,196) 28,793,116,053  
Total Investment in Securities (cost $49,800,182,244)  $50,664,653,965 
Cash  216,876 
Foreign currency held at value (cost $1,378,750)  1,371,923 
Receivable for investments sold  51,040,798 
Receivable for TBA sale commitments  1,173,274,347 
Unrealized appreciation on forward foreign currency contracts  5,242,855 
Receivable for fund shares sold  44,444,490 
Dividends receivable  42,224,643 
Interest receivable  65,653,251 
Distributions receivable from Fidelity Central Funds  103,198 
Receivable for daily variation margin on centrally cleared OTC swaps  100,242 
Bi-lateral OTC swaps, at value  20,650 
Prepaid expenses  27,769 
Other receivables  4,868 
Total assets  52,048,379,875 
Liabilities   
Payable for investments purchased   
Regular delivery $491,458,401  
Delayed delivery 3,781,940,333  
TBA sale commitments, at value 1,178,005,453  
Unrealized depreciation on forward foreign currency contracts 75,760  
Payable for fund shares redeemed 16,384,246  
Distributions payable 728,446  
Bi-lateral OTC swaps, at value 356,467  
Accrued management fee 1,423,193  
Payable for daily variation margin on futures contracts 46,489  
Other payables and accrued expenses 1,031,325  
Total liabilities  5,471,450,113 
Net Assets  $46,576,929,762 
Net Assets consist of:   
Paid in capital  $45,770,798,036 
Total accumulated earnings (loss)  806,131,726 
Net Assets  $46,576,929,762 
Net Asset Value, offering price and redemption price per share ($46,576,929,762 ÷ 4,361,199,516 shares)  $10.68 

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


Statement of Operations

  Six months ended November 30, 2021 (Unaudited) 
Investment Income   
Dividends:   
Unaffiliated issuers  $1,096,382 
Affiliated issuers  233,191,919 
Interest  146,046,852 
Income from Fidelity Central Funds  650,673 
Total income  380,985,826 
Expenses   
Management fee $59,110,704  
Custodian fees and expenses 141,524  
Independent trustees' fees and expenses 140,556  
Registration fees 1,133,351  
Audit 38,379  
Legal 31,892  
Miscellaneous 119,187  
Total expenses before reductions 60,715,593  
Expense reductions (51,034,944)  
Total expenses after reductions  9,680,649 
Net investment income (loss)  371,305,177 
Realized and Unrealized Gain (Loss)   
Net realized gain (loss) on:   
Investment securities:   
Unaffiliated issuers 10,945,572  
Affiliated issuers (84,345,617)  
Forward foreign currency contracts 2,844,387  
Foreign currency transactions (278,175)  
Futures contracts 10,118,925  
Swaps 1,267,278  
Written options (1,117,915)  
Capital gain distributions from underlying funds:   
Affiliated issuers 55,972,250  
Total net realized gain (loss)  (4,593,295) 
Change in net unrealized appreciation (depreciation) on:   
Investment securities:   
Unaffiliated issuers (8,565,215)  
Affiliated issuers 227,886,198  
Forward foreign currency contracts 5,167,095  
Assets and liabilities in foreign currencies (67,502)  
Futures contracts (542,403)  
Swaps (1,883,750)  
Written options 1,915,061  
Delayed delivery commitments (4,218,212)  
Total change in net unrealized appreciation (depreciation)  219,691,272 
Net gain (loss)  215,097,977 
Net increase (decrease) in net assets resulting from operations  $586,403,154 

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


Statement of Changes in Net Assets

 Six months ended November 30, 2021 (Unaudited) Year ended May 31, 2021 
Increase (Decrease) in Net Assets   
Operations   
Net investment income (loss) $371,305,177 $636,999,362 
Net realized gain (loss) (4,593,295) 445,887,103 
Change in net unrealized appreciation (depreciation) 219,691,272 (319,072,971) 
Net increase (decrease) in net assets resulting from operations 586,403,154 763,813,494 
Distributions to shareholders (344,336,321) (1,837,657,639) 
Share transactions   
Proceeds from sales of shares 12,209,879,004 15,795,273,550 
Reinvestment of distributions 340,694,332 1,814,939,433 
Cost of shares redeemed (2,171,247,195) (5,355,146,752) 
Net increase (decrease) in net assets resulting from share transactions 10,379,326,141 12,255,066,231 
Total increase (decrease) in net assets 10,621,392,974 11,181,222,086 
Net Assets   
Beginning of period 35,955,536,788 24,774,314,702 
End of period $46,576,929,762 $35,955,536,788 
Other Information   
Shares   
Sold 1,141,004,310 1,448,161,531 
Issued in reinvestment of distributions 31,804,490 166,996,807 
Redeemed (202,911,591) (487,179,030) 
Net increase (decrease) 969,897,209 1,127,979,308 

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,   
 2021 2021 2020 2019 A 
Selected Per–Share Data     
Net asset value, beginning of period $10.60 $10.95 $10.47 $10.00 
Income from Investment Operations     
Net investment income (loss)B .097 .239 .302 .209 
Net realized and unrealized gain (loss) .073 .106 .613 .445 
Total from investment operations .170 .345 .915 .654 
Distributions from net investment income (.090) (.245) (.299) (.182) 
Distributions from net realized gain – (.450) (.136) (.002) 
Total distributions (.090) (.695) (.435) (.184) 
Net asset value, end of period $10.68 $10.60 $10.95 $10.47 
Total ReturnC,D 1.61% 3.10% 8.94% 6.60% 
Ratios to Average Net AssetsE,F     
Expenses before reductions .30%G .31% .32% .37%G 
Expenses net of fee waivers, if any .05%G .06% .07% .12%G 
Expenses net of all reductions .05%G .06% .07% .12%G 
Net investment income (loss) 1.81%G 2.18% 2.83% 3.30%G 
Supplemental Data     
Net assets, end of period (000 omitted) $46,576,930 $35,955,537 $24,774,315 $16,953,257 
Portfolio turnover rateH 197%G 191% 247% 124%G,I 

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

 B Calculated based on average shares outstanding during the period.

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

 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, 2021

1. Organization.

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

2. Significant Accounting Policies.

The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:

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

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

  • Level 1 – 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. For foreign debt securities, when significant market or security specific events arise, valuations may be determined in good faith in accordance with procedures adopted by the Board. Debt securities and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.

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

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of November 30, 2021 is included at the end of the Fund's Schedule of Investments.

Foreign Currency. Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received, and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.

The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.

Realized gains and losses on foreign currency transactions arise from the disposition of foreign currency, realized changes in the value of foreign currency between the trade and settlement dates on security transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on transaction date and the U.S. dollar equivalent of the amounts actually received or paid. Unrealized gains and losses on assets and liabilities in foreign currencies arise from changes in the value of foreign currency, and from assets and liabilities denominated in foreign currencies, other than investments, which are held at period end.

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of a fund include an amount in addition to trade execution, which may be rebated back to a fund. Any such rebates are included in net realized gain (loss) on investments in the Statement of Operations. Dividend income is recorded on the ex-dividend date. Income and capital gain distributions from any underlying mutual funds or exchange-traded funds (ETFs) are recorded on the ex-dividend date. Certain distributions received by the Fund represent a return of capital or capital gain. The Fund determines the components of these distributions subsequent to the ex-dividend date, based upon receipt of tax filings or other correspondence relating to the underlying investment. These distributions are recorded as a reduction of cost of investments and/or as a realized gain. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.

Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan) for certain Funds, certain independent Trustees have elected to defer receipt of a portion of their annual compensation. Deferred amounts are invested in affiliated mutual funds, are marked-to-market and remain in a fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees presented below are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, as applicable.

Strategic Advisers Fidelity Core Income Fund $2,728 

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

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

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

Book-tax differences are primarily due to the short-term gain distributions from the underlying mutual funds or exchange-traded funds (ETFs), futures contracts, swaps, market discount, partnerships, deferred Trustees compensation and losses deferred due to wash sales, futures contracts and excise tax regulations.

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

Gross unrealized appreciation $1,161,803,615 
Gross unrealized depreciation (376,869,467) 
Net unrealized appreciation (depreciation) $784,934,148 
Tax cost $49,879,467,110 

The Fund elected to defer to its next fiscal year approximately $83,070,110 of capital losses recognized during the period November 1, 2020 to May 31, 2021.

Delayed Delivery Transactions and When-Issued Securities. During the period, certain Funds transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. Securities purchased on a delayed delivery or when-issued basis are identified as such in the Schedule of Investments. Compensation for interest forgone in the purchase of a delayed delivery or when-issued debt security may be received. With respect to purchase commitments, each applicable Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Payables and receivables associated with the purchases and sales of delayed delivery securities having the same coupon, settlement date and broker are offset. Delayed delivery or when-issued securities that have been purchased from and sold to different brokers are reflected as both payables and receivables in the Statement of Assets and Liabilities under the caption "Delayed delivery", as applicable. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.

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

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

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

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

3. Derivative Instruments.

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

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

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

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

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

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

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

Primary Risk Exposure / Derivative Type Net Realized Gain (Loss) Change in Net Unrealized Appreciation (Depreciation) 
Credit Risk   
Purchased Options $132,674 $39,187 
Swaps 154,368 24,100 
Total Credit Risk $287,042 $63,287 
Foreign Exchange Risk   
Forward Foreign Currency Contracts $2,844,387 $5,167,095 
Total Foreign Exchange Risk $2,844,387 $5,167,095 
Interest Rate Risk   
Futures Contracts $10,118,925 $(542,403) 
Purchased Options (84,094) (598,456) 
Swaps 1,112,910 (1,907,850) 
Written Options (1,117,915) 1,915,061 
Total Interest Rate Risk $10,029,826 $(1,133,648) 
Totals $13,161,255 $4,096,734 

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

Forward Foreign Currency Contracts. Forward foreign currency contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into. The Fund used forward foreign currency contracts to facilitate transactions in foreign-denominated securities and to manage exposure to certain foreign currencies.

Forward foreign currency contracts are valued daily and fluctuations in exchange rates on open contracts are recorded as unrealized appreciation or (depreciation) and reflected in the Statement of Assets and Liabilities. When the contract is closed, the Fund realizes a gain or loss equal to the difference between the closing value and the value at the time it was opened. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on forward foreign currency contracts during the period is presented in the Statement of Operations.

Any open forward foreign currency contracts at period end are presented in the Schedule of Investments under the caption "Forward Foreign Currency Contracts." The contract amount and unrealized appreciation (depreciation) reflects each contract's exposure to the underlying currency at period end and is representative of volume of activity during the period.

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

4. Purchases and Sales of Investments.

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

 Purchases ($) Sales ($) 
Strategic Advisers Fidelity Core Income Fund 37,342,376,534 28,371,810,432 

5. Fees and Other Transactions with Affiliates.

Management Fee. Strategic Advisers (the investment adviser) provides the Fund with investment management related services. For these services, the Fund pays a monthly management fee to the investment adviser. The management fee is calculated by adding the annual management fee rate of .25% of the Fund's average net assets throughout the month to the aggregate of the fee rates, payable monthly by the investment adviser, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed .60% of the Fund's average net assets. For the reporting period, the total annualized management fee rate was .29% of the Fund's average net assets.

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

Sub-Adviser. FIAM LLC (an affiliate of the investment adviser) served as a sub-adviser for the Fund during the period. Sub-advisers provide discretionary investment advisory services for their allocated portion of the Fund's assets and are paid as described in the Management Fee note.

Interfund Trades. Funds may purchase from or sell securities to other funds affiliated with each sub-adviser under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. During the period there were no interfund trades.

6. Investments in Fidelity Central Funds.

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

Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.

Fidelity Central Fund Investment Manager Investment Objective Investment Practices Expense Ratio(a) 
Fidelity Money Market Central Funds Fidelity Management & Research Company LLC (FMR) Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. Short-term Investments Less than .005% 

 (a) Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.

A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.

7. Committed Line of Credit.

Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below. During the period, there were no borrowings on this line of credit.

 Amount 
Strategic Advisers Fidelity Core Income Fund $30,643 

8. Expense Reductions.

The investment adviser has contractually agreed to waive the Fund's management fee in an amount equal to .25% of the Fund's average net assets until September 30, 2024. During the period, this waiver reduced the Fund's management fee by $ 51,034,944.

9. Other.

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

Funds do not invest in underlying mutual funds for the purpose of exercising management or control; however, investments by funds within their principal investment strategies may represent a significant portion of the underlying mutual fund's net assets. At the end of the period, certain Funds were the owners of record of 10% or more of the total outstanding shares of the following underlying mutual funds as shown below.

Fund Strategic Advisers Fidelity Core Income Fund 
Fidelity Advisor Floating Rate High Income Fund 10% 
Fidelity Corporate Bond Fund 35% 
Fidelity Global Credit Fund 23% 
Fidelity Government Income Fund 13% 
Fidelity Intermediate Bond Fund 21% 
Fidelity New Markets Income Fund 19% 
Fidelity Real Estate Income Fund 10% 
Fidelity SAI Long-Term Treasury Bond Index Fund 30% 
Fidelity SAI Total Bond Fund 66% 
Fidelity SAI U.S. Treasury Bond Index Fund 34% 

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, 2021 to November 30, 2021).

Actual Expenses

The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.

Hypothetical Example for Comparison Purposes

The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

 Annualized Expense Ratio-A Beginning
Account Value
June 1, 2021 		Ending
Account Value
November 30, 2021 		Expenses Paid
During Period-B
June 1, 2021
to November 30, 2021 
Strategic Advisers Fidelity Core Income Fund .05%    
Actual  $1,000.00 $1,016.10 $.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). 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), 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 (collectively, 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 2021 meeting, the Board, including the Independent Trustees, unanimously determined to renew the fund's Advisory Contracts. In reaching its determination to renew the fund's Advisory Contracts, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness relative to peer funds of the fund's management fee and total expenses; (iii) the total costs of the services provided by and the profits, if any, realized by Strategic Advisers from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and are realized as the fund grows and whether any economies of scale are appropriately shared with fund shareholders.

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, the Board concluded that the renewal of the Sub-Advisory Agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees charged under the Advisory Contracts bear a reasonable relationship to the services rendered 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 Board also considered steps taken by the Investment Advisers to continue to provide the same nature, extent, and quality of services to the funds during the COVID-19 pandemic.

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

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

Resources Dedicated to Investment Management and Support Services.  The Board reviewed the general qualifications and capabilities of the Investment Advisers' investment staffs, their use of technology, and the Investment Advisers' approach to managing and compensating investment personnel. The Board noted that the Investment Advisers' analysts have extensive resources, tools, and capabilities that allow them to conduct sophisticated quantitative and/or fundamental analysis. Additionally, in its deliberations, the Board considered the Investment Advisers' trading capabilities and resources and global compliance infrastructure, which are integral parts of the investment management process.

Shareholder and Administrative Services.  The Board considered (i) the nature, extent, quality, and cost of administrative and shareholder services performed by Strategic Advisers and 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, 2020, 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.


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, 2020. The Board also noted that the fund had out-performed 91% of its peers for the one-year period ended December 31, 2020. 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.


The Board noted that the fund's management fee rate ranked below the median of its Total Mapped Group and above the median of its ASPG for the 12-month period ended December 31, 2020. 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, 2020.

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 those funds and classes in the Total Mapped Group (used by the Board for management fee comparisons) that have similar sales load structures. This comparison, which is a proxy for comparing funds by distribution channel, showed the fund's position relative to competitive funds with similar sales load structures. The Board noted that the fund's total expense ratio ranked below the fund's similar sales load structure group competitive median for the 12-month period ended December 31, 2020.

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 that the fund's Sub-Advisory Agreement provides for breakpoints as the fund's assets grow and noted that any potential decline in sub-advisory fees under such contract 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, the Board concluded that the renewal of the Sub-Advisory Agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.





Fidelity Investments

COI-SANN-0122
1.9887940.103

Strategic Advisers® Fidelity® Emerging Markets Fund

Offered exclusively to certain managed account clients of Strategic Advisers LLC or its affiliates - not available for sale to the general public



Semi-Annual Report

November 30, 2021

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. © 2022 FMR LLC. All rights reserved.



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

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

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

NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE

Neither the Fund nor Fidelity Distributors Corporation is a bank.



Note to Shareholders:

Early in 2020, the outbreak and spread of COVID-19 emerged as a public health emergency that had a major influence on financial markets, primarily based on its impact on the global economy and corporate earnings. On March 11, 2020, the World Health Organization declared the COVID-19 outbreak a pandemic, citing sustained risk of further global spread. The pandemic prompted a number of measures to limit the spread of COVID-19, including travel and border restrictions, quarantines, and restrictions on large gatherings. In turn, these resulted in lower consumer activity, diminished demand for a wide range of products and services, disruption in manufacturing and supply chains, and – given the wide variability in outcomes regarding the outbreak – significant market uncertainty and volatility. To help stem the turmoil, the U.S. government took unprecedented action – in concert with the U.S. Federal Reserve and central banks around the world – to help support consumers, businesses, and the broader economy, and to limit disruption to the financial system.

In general, the overall impact of the pandemic lessened in 2021, amid a resilient economy and widespread distribution of three COVID-19 vaccines granted emergency use authorization from the U.S. Food and Drug Administration (FDA) early in the year. Still, the situation remains dynamic, and the extent and duration of its influence on financial markets and the economy is highly uncertain, due in part to a recent spike in cases based on highly contagious variants of the coronavirus.

Extreme events such as the COVID-19 crisis are exogenous shocks that can have significant adverse effects on mutual funds and their investments. Although multiple asset classes may be affected by market disruption, the duration and impact may not be the same for all types of assets. Fidelity is committed to helping you stay informed amid news about COVID-19 and during increased market volatility, and we continue to take extra steps to be responsive to customer needs. We encourage you to visit us online, where we offer ongoing updates, commentary, and analysis on the markets and our funds.

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, 2021

(excluding cash equivalents) % of fund's net assets 
Fidelity SAI Emerging Markets Value Index Fund 16.9 
Fidelity Advisor Emerging Markets Fund - Class Z 12.2 
Fidelity SAI Emerging Markets Low Volatility Index Fund 6.8 
Fidelity SAI Emerging Markets Index Fund 6.0 
Taiwan Semiconductor Manufacturing Co. Ltd. 3.8 
Samsung Electronics Co. Ltd. 3.0 
Tencent Holdings Ltd. 3.0 
Alibaba Group Holding Ltd. sponsored ADR 1.4 
JD.com, Inc. sponsored ADR 1.0 
MediaTek, Inc. 0.9 
 55.0 

Top Five Market Sectors as of November 30, 2021

(stocks only) % of fund's net assets 
Consumer Discretionary 12.3 
Financials 11.3 
Consumer Discretionary 8.4 
Communication Services 4.8 
Materials 3.7 

Geographic Diversification (% of fund's net assets)

As of November 30, 2021 
   United States of America 49.2% 
   Cayman Islands 11.7% 
   Taiwan 7.5% 
   Korea (South) 6.4% 
   India 6.2% 
   China 4.9% 
   Russia 2.3% 
   Brazil 1.9% 
   Hong Kong 1.3% 
   Other 8.6% 


Asset Allocation (% of fund's net assets)

As of November 30, 2021 
   Common Stocks 49.9% 
   Preferred Stocks 1.2% 
   Diversifed Emerging Markets Funds 41.9% 
   Short-Term Investments and Net Other Assets (Liabilities) 7.0% 


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

Schedule of Investments November 30, 2021 (Unaudited)

Showing Percentage of Net Assets

Common Stocks - 49.9%   
 Shares Value 
COMMUNICATION SERVICES - 4.8%   
Diversified Telecommunication Services - 0.1%   
PT Telkom Indonesia Persero Tbk 18,793,700 $5,232,648 
Entertainment - 0.7%   
Bilibili, Inc.:   
ADR (a)(b) 330,732 21,831,619 
Class Z (a) 143,960 9,470,480 
NetEase, Inc. 321,100 6,942,480 
NetEase, Inc. ADR 263,212 28,355,829 
  66,600,408 
Interactive Media & Services - 3.6%   
Kuaishou Technology Class B (c) 277,232 3,020,115 
NAVER Corp. 42,590 13,714,557 
Tencent Holdings Ltd. 4,532,375 264,323,942 
Yandex NV Series A (a)(b) 494,125 35,547,353 
  316,605,967 
Wireless Telecommunication Services - 0.4%   
Bharti Airtel Ltd. (a) 1,886,919 18,297,587 
MTN Group Ltd. (a) 1,616,274 16,303,665 
  34,601,252 
TOTAL COMMUNICATION SERVICES  423,040,275 
CONSUMER DISCRETIONARY - 8.4%   
Automobiles - 1.3%   
Eicher Motors Ltd. 655,163 20,679,509 
Great Wall Motor Co. Ltd. (H Shares) 795,000 3,323,545 
Guangzhou Automobile Group Co. Ltd. (H Shares) 12,682,000 12,977,989 
Hyundai Motor Co. 134,733 22,262,294 
Kia Corp. 198,368 13,043,688 
Li Auto, Inc. ADR (a) 426,237 15,105,839 
XPeng, Inc.:   
ADR (a) 530,923 29,200,765 
Class A 107,100 2,950,150 
  119,543,779 
Hotels, Restaurants & Leisure - 0.4%   
Jiumaojiu International Holdings Ltd. (c) 972,000 2,016,794 
MakeMyTrip Ltd. (a) 217,097 5,286,312 
Shangri-La Asia Ltd. (a) 12,476,000 9,871,367 
Trip.com Group Ltd. ADR (a) 472,301 12,988,278 
Yum China Holdings, Inc. 25,526 1,278,853 
Yum China Holdings, Inc. 32,200 1,611,239 
  33,052,843 
Household Durables - 0.6%   
Haier Smart Home Co. Ltd. (A Shares) 9,787,666 41,861,677 
Midea Group Co. Ltd. (A Shares) 1,325,100 14,112,358 
  55,974,035 
Internet & Direct Marketing Retail - 4.4%   
Alibaba Group Holding Ltd. (a) 971,800 15,517,413 
Alibaba Group Holding Ltd. sponsored ADR (a) 954,813 121,767,302 
Coupang, Inc. Class A (b) 170,346 4,514,169 
JD.com, Inc.:   
Class A (a) 271,150 11,450,097 
sponsored ADR (a) 1,102,537 92,734,387 
Meituan Class B (a)(c) 2,661,345 80,889,759 
MercadoLibre, Inc. (a) 2,275 2,703,633 
momo.com, Inc. 161,200 10,357,579 
Naspers Ltd. Class N 127,336 19,503,601 
Pinduoduo, Inc. ADR (a) 112,916 7,508,914 
Prosus NV 283,770 22,823,727 
  389,770,581 
Leisure Products - 0.0%   
Bafang Electric Suzhou Co. Ltd. (A Shares) 87,091 3,389,465 
Specialty Retail - 0.4%   
China International Travel Service Corp. Ltd. (A Shares) 156,700 5,058,532 
Pop Mart International Group Ltd. (c) 331,400 2,290,646 
Zhongsheng Group Holdings Ltd. Class H 3,463,000 28,488,260 
  35,837,438 
Textiles, Apparel & Luxury Goods - 1.3%   
Anta Sports Products Ltd. 1,175,000 18,714,414 
ECLAT Textile Co. Ltd. 788,000 16,500,528 
Li Ning Co. Ltd. 5,556,564 63,133,056 
Shenzhou International Group Holdings Ltd. 885,434 16,626,551 
  114,974,549 
TOTAL CONSUMER DISCRETIONARY  752,542,690 
CONSUMER STAPLES - 2.8%   
Beverages - 1.1%   
China Resources Beer Holdings Co. Ltd. 4,132,000 33,806,309 
Fomento Economico Mexicano S.A.B. de CV sponsored ADR 74,330 5,258,104 
Kweichow Moutai Co. Ltd. (A Shares) 102,911 31,220,633 
Thai Beverage PCL 25,894,700 12,714,411 
Wuliangye Yibin Co. Ltd. (A Shares) 420,800 14,413,903 
  97,413,360 
Food & Staples Retailing - 0.5%   
Atacadao SA 1,515,459 4,132,445 
Bid Corp. Ltd. 470,722 9,026,548 
CP ALL PCL:   
(For. Reg.) 6,804,831 11,824,821 
rights (a) 453,655 6,738 
Wal-Mart de Mexico SA de CV Series V 5,761,607 18,105,029 
  43,095,581 
Food Products - 1.0%   
Angel Yeast Co. Ltd. (A Shares) 1,515,700 13,341,532 
China Mengniu Dairy Co. Ltd. 11,472,000 63,994,870 
Inner Mongoli Yili Industries Co. Ltd. (A Shares) 574,767 3,537,486 
Uni-President Enterprises Corp. 4,989,201 11,767,479 
  92,641,367 
Personal Products - 0.2%   
LG Household & Health Care Ltd. 2,397 2,135,295 
Natura & Co. Holding SA (a) 2,445,040 11,607,944 
Proya Cosmetics Co. Ltd. (A Shares) 67,700 2,113,132 
  15,856,371 
TOTAL CONSUMER STAPLES  249,006,679 
ENERGY - 2.4%   
Energy Equipment & Services - 0.0%   
Yantai Jereh Oilfield Services (A Shares) 791,535 4,854,204 
Oil, Gas & Consumable Fuels - 2.4%   
China Merchants Energy Shipping Co. Ltd. (A Shares) 4,333,780 2,975,758 
China Petroleum & Chemical Corp. (H Shares) 11,312,471 4,931,215 
Gazprom OAO 4,360,151 19,813,532 
Gazprom OAO sponsored ADR (Reg. S) 1,218,916 10,872,731 
Lukoil PJSC 328,025 28,900,599 
Lukoil PJSC sponsored ADR 368,813 32,175,246 
Novatek PJSC GDR (Reg. S) 53,767 11,780,350 
Oil & Natural Gas Corp. Ltd. 10,099,867 19,110,401 
Petroleo Brasileiro SA - Petrobras (ON) 1,785,038 9,569,989 
Petronet LNG Ltd. 2,056,479 6,020,199 
PT United Tractors Tbk 9,319,300 13,891,922 
Reliance Industries Ltd. 1,287,271 41,230,382 
Reliance Industries Ltd. sponsored GDR (c) 175,356 11,205,248 
  212,477,572 
TOTAL ENERGY  217,331,776 
FINANCIALS - 10.7%   
Banks - 7.5%   
Absa Group Ltd. 569,496 4,781,728 
Al Rajhi Bank 786,623 27,719,256 
Axis Bank Ltd. (a) 1,368,510 11,947,584 
Capitec Bank Holdings Ltd. 61,806 7,041,578 
China Construction Bank Corp. (H Shares) 34,773,431 22,658,595 
China Merchants Bank Co. Ltd. (H Shares) 5,574,401 43,105,460 
Credicorp Ltd. (United States) 203,000 23,954,000 
E.SUN Financial Holdings Co. Ltd. 10,534,187 10,240,618 
Grupo Financiero Banorte S.A.B. de CV Series O 4,534,759 27,097,525 
Hana Financial Group, Inc. 229,760 7,670,447 
HDFC Bank Ltd. 1,329,220 26,351,367 
HDFC Bank Ltd. sponsored ADR 909,319 59,533,115 
ICICI Bank Ltd. 2,901,733 27,447,701 
Industrial & Commercial Bank of China Ltd. (H Shares) 91,899,208 48,562,589 
KB Financial Group, Inc. 290,403 12,957,840 
Kotak Mahindra Bank Ltd. (a) 284,160 7,423,349 
National Bank of Greece SA (a) 6,138,000 18,356,436 
OTP Bank PLC (a) 166,751 9,233,851 
PT Bank Central Asia Tbk 66,987,303 34,025,668 
PT Bank Mandiri (Persero) Tbk 79,639,185 38,922,974 
PT Bank Rakyat Indonesia Tbk 35,913,945 10,233,214 
Sberbank of Russia 2,323,310 9,947,528 
Sberbank of Russia 5,810,767 24,794,438 
Sberbank of Russia sponsored ADR 2,068,544 34,979,079 
Shinhan Financial Group Co. Ltd. 1,160,431 33,881,504 
Siam Commercial Bank PCL (For. Reg.) 3,200,514 11,598,476 
State Bank of India 4,566,342 28,003,047 
TCS Group Holding PLC GDR 495,763 47,464,350 
  669,933,317 
Capital Markets - 0.5%   
East Money Information Co. Ltd. (A Shares) 1,764,560 9,604,255 
Hong Kong Exchanges and Clearing Ltd. 108,200 5,966,402 
Noah Holdings Ltd. sponsored ADR (a) 83,689 3,048,790 
XP, Inc. Class A (a) 881,889 25,292,577 
  43,912,024 
Consumer Finance - 0.8%   
Bajaj Finance Ltd. 184,154 17,158,077 
Kaspi.KZ JSC unit 334,042 43,091,418 
Shriram Transport Finance Co. Ltd. 643,135 12,046,578 
  72,296,073 
Diversified Financial Services - 0.4%   
Chailease Holding Co. Ltd. 3,508,503 31,221,093 
Insurance - 1.0%   
AIA Group Ltd. 4,758,400 50,093,821 
China Life Insurance Co. Ltd. (H Shares) 14,608,000 24,025,214 
HDFC Standard Life Insurance Co. Ltd. (c) 908,669 8,237,308 
ICICI Lombard General Insurance Co. Ltd. (c) 327,901 6,275,746 
Ping An Insurance Group Co. of China Ltd. (H Shares) 675,249 4,680,990 
  93,313,079 
Thrifts & Mortgage Finance - 0.5%   
Housing Development Finance Corp. Ltd. 1,184,371 42,156,353 
TOTAL FINANCIALS  952,831,939 
HEALTH CARE - 1.9%   
Biotechnology - 0.2%   
InnoCare Pharma Ltd. (a)(c) 691,000 1,761,616 
Innovent Biologics, Inc. (a)(c) 271,000 2,410,086 
Remegen Co. Ltd. (H Shares) (a)(c) 231,500 3,140,895 
Zai Lab Ltd. (a) 141,032 9,957,439 
Zai Lab Ltd. ADR (a) 3,100 214,675 
  17,484,711 
Health Care Equipment & Supplies - 0.4%   
Peijia Medical Ltd. (a)(c) 1,047,000 2,252,970 
Shenzhen Mindray Bio-Medical Electronics Co. Ltd. (A Shares) 666,186 37,518,823 
  39,771,793 
Health Care Providers & Services - 0.1%   
Apollo Hospitals Enterprise Ltd. 79,240 6,001,296 
Aster DM Healthcare Ltd. (a)(c) 1,192 3,047 
  6,004,343 
Health Care Technology - 0.0%   
Medlive Technology Co. Ltd. (c) 620,000 3,156,450 
Life Sciences Tools & Services - 0.7%   
Hangzhou Tigermed Consulting Co. Ltd. (H Shares) (c) 132,600 2,113,642 
Pharmaron Beijing Co. Ltd. (H Shares) (c) 514,027 10,592,990 
WuXi AppTec Co. Ltd. (H Shares) (c) 913,629 20,351,033 
Wuxi Biologics (Cayman), Inc. (a)(c) 1,885,600 25,436,351 
  58,494,016 
Pharmaceuticals - 0.5%   
Hansoh Pharmaceutical Group Co. Ltd. (c) 3,017,757 6,160,899 
Richter Gedeon PLC 1,526,758 40,632,617 
  46,793,516 
TOTAL HEALTH CARE  171,704,829 
INDUSTRIALS - 2.6%   
Airlines - 0.1%   
Copa Holdings SA Class A (a) 59,963 4,192,613 
Wizz Air Holdings PLC (a)(c) 57,692 3,027,666 
  7,220,279 
Building Products - 0.0%   
Zhejiang Weixing New Building Materials Co. Ltd. (A Shares) 647,248 1,885,514 
Construction & Engineering - 0.8%   
Larsen & Toubro Ltd. 2,111,011 49,605,948 
Voltas Ltd. 1,141,000 18,246,884 
  67,852,832 
Electrical Equipment - 0.3%   
Graphite India Ltd. 557,168 3,032,893 
Sungrow Power Supply Co. Ltd. (A Shares) 935,130 23,726,850 
Zhejiang HangKe Technology, Inc. Co. (A Shares) 157,440 3,042,031 
  29,801,774 
Machinery - 0.9%   
Estun Automation Co. Ltd. (A Shares) 628,210 2,715,469 
HIWIN Technologies Corp. 2,123,716 21,849,671 
Shandong Himile Mechanical Science & Technology Co. Ltd. (A Shares) 647,360 2,797,228 
Techtronic Industries Co. Ltd. 1,442,500 29,763,818 
Zhejiang Sanhua Intelligent Controls Co. Ltd. (A Shares) 7,568,499 27,625,384 
  84,751,570 
Professional Services - 0.1%   
Sporton International, Inc. 902,500 6,851,376 
Road & Rail - 0.3%   
Localiza Rent A Car SA 2,345,905 21,327,357 
TuSimple Holdings, Inc. 24,381 974,996 
  22,302,353 
Trading Companies & Distributors - 0.0%   
BOC Aviation Ltd. Class A (c) 296,800 2,095,260 
Transportation Infrastructure - 0.1%   
Grupo Aeroportuario del Sureste S.A.B. de CV Series B 558,326 10,228,621 
TOTAL INDUSTRIALS  232,989,579 
INFORMATION TECHNOLOGY - 12.3%   
Communications Equipment - 0.0%   
Accton Technology Corp. 334,000 3,489,473 
Electronic Equipment & Components - 0.8%   
Hon Hai Precision Industry Co. Ltd. (Foxconn) 2,813,162 10,484,817 
Samsung SDI Co. Ltd. 20,668 12,018,107 
SINBON Electronics Co. Ltd. 285,000 2,626,987 
Sunny Optical Technology Group Co. Ltd. 120,400 3,640,718 
Unimicron Technology Corp. 2,806,972 23,055,659 
Wuxi Lead Intelligent Equipment Co. Ltd. (A Shares) 396,967 4,944,389 
Yageo Corp. 821,000 13,489,253 
  70,259,930 
IT Services - 0.7%   
Globant SA (a) 26,100 6,916,761 
Infosys Ltd. 345,249 7,858,527 
Infosys Ltd. sponsored ADR 1,772,169 40,015,576 
Tata Consultancy Services Ltd. 178,948 8,409,245 
  63,200,109 
Semiconductors & Semiconductor Equipment - 7.3%   
ASML Holding NV (Netherlands) 6,807 5,342,679 
eMemory Technology, Inc. 214,265 16,675,312 
Global Unichip Corp. 276,000 5,844,028 
LONGi Green Energy Technology Co. Ltd. 285,705 3,924,443 
MediaTek, Inc. 2,277,720 83,051,236 
Parade Technologies Ltd. 174,982 13,407,715 
Silergy Corp. 191,593 32,571,997 
SK Hynix, Inc. 764,187 73,629,810 
Taiwan Semiconductor Manufacturing Co. Ltd. 15,769,913 337,364,965 
Taiwan Semiconductor Manufacturing Co. Ltd. sponsored ADR 612,059 71,702,712 
United Microelectronics Corp. 1,108,000 2,551,348 
Vanguard International Semiconductor Corp. 870,000 4,875,292 
  650,941,537 
Technology Hardware, Storage & Peripherals - 3.5%   
Samsung Electronics Co. Ltd. 4,415,359 266,075,404 
Samsung Electronics Co. Ltd. unit 25,472 38,157,056 
Wiwynn Corp. 98,000 3,700,408 
  307,932,868 
TOTAL INFORMATION TECHNOLOGY  1,095,823,917 
MATERIALS - 3.7%   
Chemicals - 0.8%   
Hansol Chemical Co. Ltd. 90,734 22,852,594 
LG Chemical Ltd. 11,717 6,872,664 
PhosAgro OJSC GDR (Reg. S) 243,709 5,376,221 
PT Avia Avian (d) 76,285,000 4,953,399 
Shandong Sinocera Functional Material Co. Ltd. (A Shares) 453,600 3,200,138 
SKSHU Paint Co. Ltd. (A Shares) 258,864 4,841,066 
Sociedad Quimica y Minera de Chile SA (PN-B) sponsored ADR 74,904 4,663,523 
Solar Industries India Ltd. 525,100 19,350,040 
  72,109,645 
Construction Materials - 0.5%   
Anhui Conch Cement Co. Ltd. (H Shares) 614,500 2,793,540 
Beijing Oriental Yuhong Waterproof Technology Co. Ltd. (A Shares) 372,300 2,312,433 
CEMEX S.A.B. de CV:   
unit (a) 12,165,542 7,545,842 
sponsored ADR (a) 2,045,146 12,577,648 
JK Cement Ltd. 489,500 21,085,327 
  46,314,790 
Metals & Mining - 2.3%   
AngloGold Ashanti Ltd. 264,459 5,653,157 
Barrick Gold Corp. 1,892,800 35,944,272 
China Molybdenum Co. Ltd. (A Shares) 3,732,616 3,454,442 
First Quantum Minerals Ltd. 1,363,570 29,065,726 
Grupo Mexico SA de CV Series B 7,108,620 29,743,984 
Impala Platinum Holdings Ltd. 2,122,863 26,587,551 
Novolipetsk Steel OJSC GDR (Reg. S) 103,536 2,996,332 
POSCO 154,725 34,106,231 
Sibanye Stillwater Ltd. 4,392,792 13,697,979 
Tata Steel Ltd. 522,316 7,450,132 
Vale SA 435,373 5,417,139 
Vale SA sponsored ADR 472,800 5,848,536 
  199,965,481 
Paper & Forest Products - 0.1%   
Suzano Papel e Celulose SA (a) 821,521 8,206,661 
TOTAL MATERIALS  326,596,577 
REAL ESTATE - 0.2%   
Equity Real Estate Investment Trusts (REITs) - 0.0%   
Link (REIT) 62,800 544,406 
Real Estate Management & Development - 0.2%   
Ayala Land, Inc. 22,586,204 15,422,327 
TOTAL REAL ESTATE  15,966,733 
UTILITIES - 0.1%   
Gas Utilities - 0.1%   
ENN Energy Holdings Ltd. 233,100 4,376,230 
Indraprastha Gas Ltd. 970,834 6,260,005 
  10,636,235 
TOTAL COMMON STOCKS   
(Cost $3,900,821,619)  4,448,471,229 
Nonconvertible Preferred Stocks - 1.2%   
CONSUMER STAPLES - 0.2%   
Beverages - 0.2%   
Ambev SA sponsored ADR 5,659,300 15,959,226 
ENERGY - 0.3%   
Oil, Gas & Consumable Fuels - 0.3%   
Petroleo Brasileiro SA - Petrobras sponsored ADR (b) 2,613,726 27,888,456 
FINANCIALS - 0.6%   
Banks - 0.6%   
Banco Bradesco SA (PN) 1,225,652 4,340,694 
Itau Unibanco Holding SA 5,687,881 22,642,863 
Sberbank of Russia 2,462,434 9,710,550 
Sberbank of Russia (Russia) 3,791,522 14,979,790 
  51,673,897 
INDUSTRIALS - 0.1%   
Airlines - 0.1%   
Azul SA (a) 1,053,179 4,379,933 
MATERIALS - 0.0%   
Metals & Mining - 0.0%   
Gerdau SA 909,305 4,173,016 
TOTAL NONCONVERTIBLE PREFERRED STOCKS   
(Cost $103,487,023)  104,074,528 
Equity Funds - 41.9%   
Diversified Emerging Markets Funds - 41.9%   
Fidelity Advisor Emerging Markets Fund - Class Z (e) 23,530,352 1,086,396,339 
Fidelity SAI Emerging Markets Index Fund (e) 33,734,203 535,024,457 
Fidelity SAI Emerging Markets Low Volatility Index Fund (e) 54,066,028 612,568,102 
Fidelity SAI Emerging Markets Value Index Fund (e) 109,049,898 1,508,160,093 
TOTAL EQUITY FUNDS   
(Cost $3,302,493,694)  3,742,148,991 
U.S. Treasury Obligations - 0.4%   
U.S. Treasury Bills, yield at date of purchase 0.03% to 0.06% 12/2/21 to 2/17/22 (f)   
(Cost $35,178,277) 35,180,000 35,177,490 
Money Market Funds - 7.0%   
Fidelity Cash Central Fund 0.06% (g) 100,004,662 100,024,663 
Fidelity Securities Lending Cash Central Fund 0.07% (g)(h) 52,356,171 52,361,407 
Invesco Government & Agency Portfolio Institutional Class .03% (i) 474,941,510 474,941,510 
TOTAL MONEY MARKET FUNDS   
(Cost $627,307,437)  627,327,580 
TOTAL INVESTMENT IN SECURITIES - 100.4%   
(Cost $7,969,288,050)  8,957,199,818 
NET OTHER ASSETS (LIABILITIES) - (0.4)%  (32,629,376) 
NET ASSETS - 100%  $8,924,570,442 

Futures Contracts      
 Number of contracts Expiration Date Notional Amount Value Unrealized Appreciation/(Depreciation) 
Purchased      
Equity Index Contracts      
ICE MSCI Emerging Markets Index Contracts (United States) 7,856 Dec. 2021 $476,191,440 $(19,943,826) $(19,943,826) 

The notional amount of futures purchased as a percentage of Net Assets is 5.3%

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 $196,438,521 or 2.2% of net assets.

 (d) Security or a portion of the security purchased on a delayed delivery or when-issued basis. Interest rate to be determined at settlement date.

 (e) Affiliated Fund

 (f) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $28,630,045.

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

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

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

Affiliated Central Funds

Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.

Fund Value, beginning of period Purchases Sales Proceeds Dividend Income Realized Gain/Loss Change in Unrealized appreciation (depreciation) Value, end of period % ownership, end of period 
Fidelity Cash Central Fund 0.06% $78,422,634 $955,680,046 $934,078,017 $30,236 $-- $-- $100,024,663 0.2% 
Fidelity Securities Lending Cash Central Fund 0.07% 24,237,307 265,971,494 237,847,394 128,633 -- -- 52,361,407 0.2% 
Total $102,659,941 $1,221,651,540 $1,171,925,411 $158,869 $-- $-- $152,386,070  

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

Affiliated Underlying Funds

Fiscal year to date information regarding the Fund's investments in affiliated Underlying Funds is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur. If an underlying Fund changes its name, the name presented below is the name in effect at period end.

Affiliate Value, beginning of period Purchases Sales Proceeds Dividend Income Realized Gain (loss) Change in Unrealized appreciation (depreciation) Value, end of period 
Fidelity Emerging Markets Fund $886,916,276 $243,000,000 $-- $-- $-- $(43,519,937) $1,086,396,339 
Fidelity SAI Emerging Markets Index Fund 595,071,338 -- -- -- -- (60,046,881) 535,024,457 
Fidelity SAI Emerging Markets Low Volatility Index Fund 491,205,946 131,000,000 -- -- -- (9,637,844) 612,568,102 
Fidelity SAI Emerging Markets Value Index Fund 1,092,630,032 526,000,005 -- -- -- (110,469,944) 1,508,160,093 
Total $3,065,823,592 $900,000,005 $-- $-- $-- $(223,674,606) $3,742,148,991 

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, 2021, 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 $423,040,275 $127,709,540 $295,330,735 $-- 
Consumer Discretionary 752,542,690 578,747,012 173,795,678 -- 
Consumer Staples 264,965,905 244,165,140 20,800,765 -- 
Energy 245,220,232 191,574,886 53,645,346 -- 
Financials 1,004,505,836 630,895,678 373,610,158 -- 
Health Care 171,704,829 136,311,039 35,393,790 -- 
Industrials 237,369,512 208,668,465 28,701,047 -- 
Information Technology 1,095,823,917 529,434,221 566,389,696 -- 
Materials 330,769,593 245,771,276 84,998,317 -- 
Real Estate 15,966,733 544,406 15,422,327 -- 
Utilities 10,636,235 10,636,235 -- -- 
Equity Funds 3,742,148,991 3,742,148,991 -- -- 
Other Short-Term Investments 35,177,490 -- 35,177,490 -- 
Money Market Funds 627,327,580 627,327,580 -- -- 
Total Investments in Securities: $8,957,199,818 $7,273,934,469 $1,683,265,349 $-- 
Derivative Instruments:     
Liabilities     
Futures Contracts $(19,943,826) $(19,943,826) $-- $-- 
Total Liabilities $(19,943,826) $(19,943,826) $-- $-- 
Total Derivative Instruments: $(19,943,826) $(19,943,826) $-- $-- 

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, 2021. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.

Primary Risk Exposure / Derivative Type Value 
 Asset Liability 
Equity Risk   
Futures Contracts(a) $0 $(19,943,826) 
Total Equity Risk 0 (19,943,826) 
Total Value of Derivatives $0 $(19,943,826) 

 (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 49.2% 
Cayman Islands 11.7% 
Taiwan 7.5% 
Korea (South) 6.4% 
India 6.2% 
China 4.9% 
Russia 2.3% 
Brazil 1.9% 
Hong Kong 1.3% 
Mexico 1.3% 
Indonesia 1.3% 
South Africa 1.3% 
Others (Individually Less Than 1%) 4.7% 
 100.0% 

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


Financial Statements

Statement of Assets and Liabilities

  November 30, 2021 (Unaudited) 
Assets   
Investment in securities, at value (including securities loaned of $50,334,889) — See accompanying schedule:
Unaffiliated issuers (cost $4,514,428,429) 		$5,062,664,757  
Fidelity Central Funds (cost $152,365,927) 152,386,070  
Other affiliated issuers (cost $3,302,493,694) 3,742,148,991  
Total Investment in Securities (cost $7,969,288,050)  $8,957,199,818 
Cash  31,028 
Foreign currency held at value (cost $2,867,961)  2,793,451 
Receivable for investments sold  32,212,193 
Receivable for fund shares sold  8,513,881 
Dividends receivable  2,852,145 
Interest receivable  10,382 
Distributions receivable from Fidelity Central Funds  10,763 
Receivable for daily variation margin on futures contracts  312,304 
Prepaid expenses  5,650 
Other receivables  731,671 
Total assets  9,004,673,286 
Liabilities   
Payable for investments purchased   
Regular delivery $7,056,154  
Delayed delivery 5,002,932  
Payable for fund shares redeemed 2,935,152  
Accrued management fee 1,755,311  
Other payables and accrued expenses 10,992,945  
Collateral on securities loaned 52,360,350  
Total liabilities  80,102,844 
Net Assets  $8,924,570,442 
Net Assets consist of:   
Paid in capital  $8,081,126,888 
Total accumulated earnings (loss)  843,443,554 
Net Assets  $8,924,570,442 
Net Asset Value, offering price and redemption price per share ($8,924,570,442÷ 640,446,699 shares)  $13.93 

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


Statement of Operations

  Six months ended November 30, 2021 (Unaudited) 
Investment Income   
Dividends:   
Unaffiliated issuers  $45,566,074 
Non-Cash dividends  5,933,219 
Interest  77,959 
Income from Fidelity Central Funds (including $128,633 from security lending)  158,869 
Income before foreign taxes withheld  51,736,121 
Less foreign taxes withheld  (5,549,381) 
Total income  46,186,740 
Expenses   
Management fee $20,288,191  
Custodian fees and expenses 349,040  
Independent trustees' fees and expenses 28,995  
Registration fees 385,585  
Audit 54,130  
Legal 7,690  
Miscellaneous 20,189  
Total expenses before reductions 21,133,820  
Expense reductions (10,488,972)  
Total expenses after reductions  10,644,848 
Net investment income (loss)  35,541,892 
Realized and Unrealized Gain (Loss)   
Net realized gain (loss) on:   
Investment securities:   
Unaffiliated issuers (net of foreign taxes of $3,352,090) (82,729,216)  
Foreign currency transactions (2,172,337)  
Futures contracts (20,396,515)  
Total net realized gain (loss)  (105,298,068) 
Change in net unrealized appreciation (depreciation) on:   
Investment securities:   
Unaffiliated issuers (net of decrease in deferred foreign taxes of $666,600) (455,117,101)  
Affiliated issuers (223,674,606)  
Assets and liabilities in foreign currencies (14,192)  
Futures contracts (27,199,053)  
Total change in net unrealized appreciation (depreciation)  (706,004,952) 
Net gain (loss)  (811,303,020) 
Net increase (decrease) in net assets resulting from operations  $(775,761,128) 

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


Statement of Changes in Net Assets

 Six months ended November 30, 2021 (Unaudited) Year ended May 31, 2021 
Increase (Decrease) in Net Assets   
Operations   
Net investment income (loss) $35,541,892 $55,084,427 
Net realized gain (loss) (105,298,068) 272,233,390 
Change in net unrealized appreciation (depreciation) (706,004,952) 1,652,625,526 
Net increase (decrease) in net assets resulting from operations (775,761,128) 1,979,943,343 
Distributions to shareholders (187,248,947) (42,636,300) 
Share transactions   
Proceeds from sales of shares 2,906,039,689 3,477,545,708 
Reinvestment of distributions 185,516,382 42,188,485 
Cost of shares redeemed (707,917,611) (929,486,679) 
Net increase (decrease) in net assets resulting from share transactions 2,383,638,460 2,590,247,514 
Total increase (decrease) in net assets 1,420,628,385 4,527,554,557 
Net Assets   
Beginning of period 7,503,942,057 2,976,387,500 
End of period $8,924,570,442 $7,503,942,057 
Other Information   
Shares   
Sold 198,434,547 252,627,825 
Issued in reinvestment of distributions 12,400,820 2,895,572 
Redeemed (48,326,846) (66,023,143) 
Net increase (decrease) 162,508,521 189,500,254 

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,   
 2021 2021 2020 2019 A 
Selected Per–Share Data     
Net asset value, beginning of period $15.70 $10.32 $10.71 $10.00 
Income from Investment Operations     
Net investment income (loss)B .06 .15 .26C .18 
Net realized and unrealized gain (loss) (1.45) 5.34 (.39) .67 
Total from investment operations (1.39) 5.49 (.13) .85 
Distributions from net investment income (.02) (.11) (.26) (.14) 
Distributions from net realized gain (.36) – – – 
Total distributions (.38) (.11) (.26) (.14) 
Net asset value, end of period $13.93 $15.70 $10.32 $10.71 
Total ReturnD,E (9.03)% 53.25% (1.58)% 8.63% 
Ratios to Average Net AssetsF,G     
Expenses before reductions .50%H .51% .49% .57%H 
Expenses net of fee waivers, if any .25%H .25% .24% .32%H 
Expenses net of all reductions .25%H .24% .23% .31%H 
Net investment income (loss) .85%H 1.05% 2.35%C 2.82%H 
Supplemental Data     
Net assets, end of period (000 omitted) $8,924,570 $7,503,942 $2,976,388 $1,943,853 
Portfolio turnover rateI 29%H 47% 49% 125%H 

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

 B Calculated based on average shares outstanding during the period.

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

 H Annualized

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

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


Notes to Financial Statements (Unaudited)

For the period ended November 30, 2021

1. Organization.

Strategic Advisers Fidelity Emerging Markets Fund (the Fund) is a fund of Fidelity Rutland Square Trust II (the Trust), and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust. The Fund is offered exclusively to certain managed account clients of Strategic Advisers LLC (Strategic Advisers), an affiliate of Fidelity Management & Research Company LLC (FMR). The Fund's investments in emerging markets can be subject to social, economic, regulatory, and political uncertainties and can be extremely volatile.

2. Significant Accounting Policies.

The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:

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

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

  • Level 1 – 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, 2021 is included at the end of the Fund's Schedule of Investments.

Foreign Currency. Certain Funds may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.

Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received, and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.

The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and include proceeds received from litigation. Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of a fund include an amount in addition to trade execution, which may be rebated back to a fund. Any such rebates are included in net realized gain (loss) on investments in the Statement of Operations. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Income and capital gain distributions from any underlying mutual funds or exchange-traded funds (ETFs) are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain. Funds may file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. Any withholding tax reclaims income is included in the Statement of Operations in dividends. Any receivables for withholding tax reclaims are included in the Statement of Assets and Liabilities in dividends receivable.

Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan) for certain Funds, certain independent Trustees have elected to defer receipt of a portion of their annual compensation. Deferred amounts are invested in affiliated mutual funds, are marked-to-market and remain in a fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees presented below are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, as applicable.

Strategic Advisers Fidelity Emerging Markets Fund $12 

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 mutual funds or exchange-traded funds (ETFs), futures contracts, foreign currency transactions, certain foreign taxes, passive foreign investment companies (PFIC), 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 $1,346,318,734 
Gross unrealized depreciation (431,227,389) 
Net unrealized appreciation (depreciation) $915,091,345 
Tax cost $8,022,164,647 

Delayed Delivery Transactions and When-Issued Securities. During the period, certain Funds transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. Securities purchased on a delayed delivery or when-issued basis are identified as such in the Schedule of Investments. Compensation for interest forgone in the purchase of a delayed delivery or when-issued debt security may be received. With respect to purchase commitments, each applicable Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Payables and receivables associated with the purchases and sales of delayed delivery securities having the same coupon, settlement date and broker are offset. Delayed delivery or when-issued securities that have been purchased from and sold to different brokers are reflected as both payables and receivables in the Statement of Assets and Liabilities under the caption "Delayed delivery", as applicable. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.

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

3. Derivative Instruments.

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

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

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

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 in-kind transactions, as applicable, are noted in the table below.

 Purchases ($) Sales ($) 
Strategic Advisers Fidelity Emerging Markets Fund 3,049,878,564 1,130,867,739 

5. Fees and Other Transactions with Affiliates.

Management Fee. Strategic Advisers (the investment adviser) provides the Fund with investment management related services. For these services, the Fund pays a monthly management fee to the investment adviser. The management fee is calculated by adding the annual management fee rate of .25% of the Fund's average net assets throughout the month to the aggregate of the fee rates, payable monthly by the investment adviser, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed 1.20% of the Fund's average net assets. For the reporting period, the total annualized management fee rate was .48% of the Fund's average net assets.

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

Sub-Advisers. FIAM LLC (an affiliate of the investment adviser) and FIL Investment Advisors each served as a sub-adviser for the Fund during the period. Sub-advisers provide discretionary investment advisory services for their allocated portion of the Fund's assets and are paid as described in the Management Fee note.

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

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

 Amount 
Strategic Advisers Fidelity Emerging Markets Fund $4,619 

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

 Purchases ($) Sales ($) Realized Gain (Loss) ($) 
Strategic Advisers Fidelity Emerging Markets Fund 17,627,331 5,218,712 (112,036) 

Other. During the period, the investment adviser reimbursed the Fund for certain losses as follows:

 Amount ($) 
Strategic Advisers Fidelity Emerging Markets Fund 40,709 

6. Investments in Fidelity Central Funds.

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

Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.

Fidelity Central Fund Investment Manager Investment Objective Investment Practices Expense Ratio(a) 
Fidelity Money Market Central Funds Fidelity Management & Research Company LLC (FMR) Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. Short-term Investments Less than .005% 

 (a) Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.

A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.

7. Committed Line of Credit.

Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below. During the period, there were no borrowings on this line of credit.

 Amount 
Strategic Advisers Fidelity Emerging Markets Fund $6,282 

8. Security Lending.

Funds lend portfolio securities from time to time in order to earn additional income. Lending agents are used, including National Financial Services (NFS), an affiliate of the investment adviser. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of a fund's daily lending revenue, for its services as lending agent. A fund may lend securities to certain qualified borrowers, including NFS. On the settlement date of the loan, a fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of a fund and any additional required collateral is delivered to a fund on the next business day. A fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund may apply collateral received from the borrower against the obligation. A fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Affiliated security lending activity, if any, was as follows:

 Total Security Lending Fees Paid to NFS Security Lending Income From Securities Loaned to NFS Value of Securities Loaned to NFS at Period End 
Strategic Advisers Fidelity Emerging Markets Fund $1,642 $– $– 

9. Expense Reductions.

The investment adviser has contractually agreed to waive the Fund's management fee in an amount equal to .25% of the Fund's average net assets until September 30, 2024. During the period, this waiver reduced the Fund's management fee by $10,488,831.

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 $141.

10. Other.

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

Funds do not invest in underlying mutual funds for the purpose of exercising management or control; however, investments by funds within their principal investment strategies may represent a significant portion of the underlying mutual fund's net assets. At the end of the period, certain Funds were the owners of record of 10% or more of the total outstanding shares of the following underlying mutual funds as shown below.

Fund Strategic Advisers Fidelity Emerging Markets Fund 
Fidelity Emerging Markets Fund 13% 
Fidelity SAI Emerging Markets Index Fund 14% 
Fidelity SAI Emerging Markets Low Volatility Index Fund 35% 
Fidelity SAI Emerging Markets Value Index Fund 74% 

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, 2021 to November 30, 2021).

Actual Expenses

The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.

Hypothetical Example for Comparison Purposes

The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

 Annualized Expense Ratio-A Beginning
Account Value
June 1, 2021 		Ending
Account Value
November 30, 2021 		Expenses Paid
During Period-B
June 1, 2021
to November 30, 2021 
Strategic Advisers Fidelity Emerging Markets Fund .25%    
Actual  $1,000.00 $909.70 $1.20 
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), the sub-advisory agreements with FIAM LLC, FIL Investment Advisors, and Geode Capital Management, LLC (each a Sub-Adviser and collectively, the Sub-Advisers) (collectively, the Sub-Advisory Agreements), and the sub-sub-advisory agreements with FMR Investment Management (UK) Limited, Fidelity Management & Research (Japan) Limited, Fidelity Management & Research (Hong Kong) Limited, and FIL Investment Advisors (UK) Limited (collectively, the Sub-Sub-Advisory Agreements and, together with the management contract and the Sub-Advisory Agreements, the Advisory Contracts) for the fund. Strategic Advisers and the Sub-Advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.

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

At its September 2021 meeting, the Board, including the Independent Trustees, unanimously determined to renew the fund's Advisory Contracts. In reaching its determination to renew the fund's Advisory Contracts, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness relative to peer funds of the fund's management fee and total expenses; (iii) the total costs of the services provided by and the profits, if any, realized by Strategic Advisers from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and are realized as the fund grows and whether any economies of scale are appropriately shared with fund shareholders.

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, the Board concluded that the renewal of each Sub-Advisory Agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees charged under the Advisory Contracts bear a reasonable relationship to the services rendered 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 Board also considered steps taken by the Investment Advisers to continue to provide the same nature, extent, and quality of services to the funds during the COVID-19 pandemic.

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

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

Resources Dedicated to Investment Management and Support Services.  The Board reviewed the general qualifications and capabilities of the Investment Advisers' investment staffs, their use of technology, and the Investment Advisers' approach to managing and compensating investment personnel. The Board noted that the Investment Advisers' analysts have extensive resources, tools, and capabilities that allow them to conduct sophisticated quantitative and/or fundamental analysis. Additionally, in its deliberations, the Board considered the Investment Advisers' trading capabilities and resources and global compliance infrastructure, which are integral parts of the investment management process.

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

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

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

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

The following chart considered by the Board shows, over the one-year period ended December 31, 2020, 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.


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, 2020. The Board also noted that the fund had out-performed 71% of its peers for the one-year period ended December 31, 2020. 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.


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, 2020.

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 those funds and classes in the Total Mapped Group (used by the Board for management fee comparisons) that have similar sales load structures. This comparison, which is a proxy for comparing funds by distribution channel, showed the fund's position relative to competitive funds with similar sales load structures. The Board noted that the fund's total expense ratio ranked below the fund's similar sales load structure group competitive median for the 12-month period ended December 31, 2020.

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 that certain of the fund's Sub-Advisory Agreements provide for breakpoints as the fund's assets grow and noted that any potential decline in sub-advisory fees under such contracts would accrue directly to the fund. The Board also took Strategic Advisers' management fee waiver into consideration.

Conclusion.  Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee arrangements bear a reasonable relationship to the services rendered and that the fund's Advisory Contracts should be renewed because each agreement is in the best interests of the fund and its shareholders. 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, the Board concluded that the renewal of each Sub-Advisory Agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.





Fidelity Investments

STE-SANN-0122
1.9890708.103

Strategic Advisers® Large Cap Fund

Offered exclusively to certain managed account clients of Strategic Advisers LLC or its affiliates - not available for sale to the general public



Semi-Annual Report

November 30, 2021

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. © 2022 FMR LLC. All rights reserved.



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

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

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

NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE

Neither the Fund nor Fidelity Distributors Corporation is a bank.



Note to Shareholders:

Early in 2020, the outbreak and spread of COVID-19 emerged as a public health emergency that had a major influence on financial markets, primarily based on its impact on the global economy and corporate earnings. On March 11, 2020, the World Health Organization declared the COVID-19 outbreak a pandemic, citing sustained risk of further global spread. The pandemic prompted a number of measures to limit the spread of COVID-19, including travel and border restrictions, quarantines, and restrictions on large gatherings. In turn, these resulted in lower consumer activity, diminished demand for a wide range of products and services, disruption in manufacturing and supply chains, and – given the wide variability in outcomes regarding the outbreak – significant market uncertainty and volatility. To help stem the turmoil, the U.S. government took unprecedented action – in concert with the U.S. Federal Reserve and central banks around the world – to help support consumers, businesses, and the broader economy, and to limit disruption to the financial system.

In general, the overall impact of the pandemic lessened in 2021, amid a resilient economy and widespread distribution of three COVID-19 vaccines granted emergency use authorization from the U.S. Food and Drug Administration (FDA) early in the year. Still, the situation remains dynamic, and the extent and duration of its influence on financial markets and the economy is highly uncertain, due in part to a recent spike in cases based on highly contagious variants of the coronavirus.

Extreme events such as the COVID-19 crisis are exogenous shocks that can have significant adverse effects on mutual funds and their investments. Although multiple asset classes may be affected by market disruption, the duration and impact may not be the same for all types of assets. Fidelity is committed to helping you stay informed amid news about COVID-19 and during increased market volatility, and we continue to take extra steps to be responsive to customer needs. We encourage you to visit us online, where we offer ongoing updates, commentary, and analysis on the markets and our funds.

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, 2021

 % of fund's net assets 
Fidelity Growth Company Fund 6.6 
Microsoft Corp. 4.9 
Apple, Inc. 4.0 
Amazon.com, Inc. 3.2 
Fidelity SAI U.S. Large Cap Index Fund 2.9 
Fidelity SAI U.S. Quality Index Fund 2.3 
Alphabet, Inc. Class C 2.0 
Meta Platforms, Inc. Class A 1.7 
NVIDIA Corp. 1.7 
Fidelity SAI U.S. Low Volatility Index Fund 1.4 
 30.7 

Top Five Market Sectors as of November 30, 2021

(stocks only) % of fund's net assets 
Financials 26.6 
Information Technology 22.4 
Consumer Discretionary 11.0 
Health Care 10.9 
Communication Services 8.4 

Asset Allocation (% of fund's net assets)

As of November 30, 2021 
   Common Stocks 84.2% 
   Large Blend Funds 4.8% 
   Large Growth Funds 9.2% 
   Mid-Cap Growth Funds 1.0% 
   Short-Term Investments and Net Other Assets (Liabilities) 0.8% 


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

Schedule of Investments November 30, 2021 (Unaudited)

Showing Percentage of Net Assets

Common Stocks - 84.2%   
 Shares Value 
COMMUNICATION SERVICES - 8.4%   
Diversified Telecommunication Services - 0.5%   
AT&T, Inc. 6,135,599 $140,075,725 
Cellnex Telecom SA (a) 7,900 466,247 
Deutsche Telekom AG 309,400 5,449,366 
Liberty Global PLC Class C (b) 367,400 9,787,536 
Lumen Technologies, Inc. 158,162 1,951,719 
Verizon Communications, Inc. 3,467,374 174,304,891 
  332,035,484 
Entertainment - 1.0%   
Activision Blizzard, Inc. 955,484 55,991,362 
Cinemark Holdings, Inc. (b)(c) 113,700 1,764,624 
Electronic Arts, Inc. 160,519 19,939,670 
Netflix, Inc. (b) 482,814 309,918,307 
Nintendo Co. Ltd. ADR 36,686 2,020,665 
Playtika Holding Corp. 608,765 10,470,758 
Sea Ltd. ADR (b) 96,380 27,764,187 
Spotify Technology SA (b) 21,466 5,119,641 
Take-Two Interactive Software, Inc. (b) 15,500 2,571,140 
The Walt Disney Co. (b) 1,360,679 197,162,387 
Universal Music Group NV 142,449 4,088,866 
Zynga, Inc. (b) 236,700 1,427,301 
  638,238,908 
Interactive Media & Services - 5.3%   
Alphabet, Inc.:   
Class A (b) 298,054 845,862,349 
Class C (b) 432,184 1,231,309,503 
IAC (b) 66,518 8,890,131 
Meta Platforms, Inc. Class A (b) 3,300,815 1,070,982,435 
Snap, Inc. Class A (b) 851,862 40,557,150 
Tongdao Liepin Group (b) 446,200 874,319 
Twitter, Inc. (b) 528,844 23,237,405 
Ziff Davis, Inc. (b)(c) 156,600 17,832,042 
Zoominfo Technologies, Inc. (b) 464,451 28,656,627 
  3,268,201,961 
Media - 1.4%   
Altice U.S.A., Inc. Class A (b) 61,900 980,496 
Charter Communications, Inc. Class A (b) 290,963 188,043,568 
Comcast Corp. Class A 9,153,608 457,497,328 
DISH Network Corp. Class A (b) 389,060 12,158,125 
Fox Corp.:   
Class A 898,100 32,071,151 
Class B 16,584 557,222 
Interpublic Group of Companies, Inc. 469,500 15,582,705 
Liberty Broadband Corp. Class C (b) 406,339 62,921,594 
Liberty Media Corp. Liberty SiriusXM Series C (b) 308,804 15,109,780 
News Corp. Class B 27,801 599,112 
Nexstar Broadcasting Group, Inc. Class A 73,514 10,990,343 
Omnicom Group, Inc. 236,836 15,941,431 
Tegna, Inc. 536,100 10,587,975 
ViacomCBS, Inc. Class B 426,450 13,198,628 
  836,239,458 
Wireless Telecommunication Services - 0.2%   
T-Mobile U.S., Inc. (b) 922,859 100,416,288 
TOTAL COMMUNICATION SERVICES  5,175,132,099 
CONSUMER DISCRETIONARY - 11.0%   
Auto Components - 0.3%   
Aptiv PLC (b) 402,819 64,592,027 
BorgWarner, Inc. 523,554 22,659,417 
Compagnie Generale des Etablissements Michelin SCA ADR (c) 900,000 26,568,000 
Lear Corp. 136,800 22,953,672 
Magna International, Inc. Class A (sub. vtg.) 243,678 18,264,643 
The Goodyear Tire & Rubber Co. (b) 857,300 17,240,303 
  172,278,062 
Automobiles - 1.4%   
Daimler AG (Germany) 172,700 16,256,303 
Ferrari NV 80,837 21,054,805 
Ford Motor Co. 4,528,245 86,897,022 
General Motors Co. (b) 1,753,301 101,463,529 
Harley-Davidson, Inc. 418,400 15,325,992 
Rivian Automotive, Inc. 797,226 95,475,786 
Tesla, Inc. (b) 454,947 520,805,128 
  857,278,565 
Distributors - 0.0%   
Genuine Parts Co. 87,200 11,138,928 
LKQ Corp. 336,270 18,797,493 
  29,936,421 
Diversified Consumer Services - 0.0%   
Service Corp. International 105,900 7,006,344 
Udemy, Inc. 12,704 349,233 
  7,355,577 
Hotels, Restaurants & Leisure - 1.3%   
Airbnb, Inc. Class A 25,086 4,328,338 
Booking Holdings, Inc. (b) 81,437 171,168,358 
Caesars Entertainment, Inc. (b) 36,469 3,284,763 
Chipotle Mexican Grill, Inc. (b) 22,700 37,305,407 
Cracker Barrel Old Country Store, Inc. 28,638 3,494,409 
Darden Restaurants, Inc. 105,782 14,592,627 
Domino's Pizza, Inc. 10,581 5,545,925 
Elior SA (a)(b) 87,837 564,822 
Expedia, Inc. (b) 31,822 5,126,206 
Hilton Worldwide Holdings, Inc. (b) 374,547 50,590,063 
Las Vegas Sands Corp. (b) 807,983 28,780,354 
Marriott International, Inc. Class A (b) 392,538 57,922,907 
McDonald's Corp. 775,378 189,657,459 
MGM Resorts International 474,692 18,788,309 
Penn National Gaming, Inc. (b) 17,948 919,476 
Royal Caribbean Cruises Ltd. (b) 71,700 5,006,094 
Starbucks Corp. 1,263,474 138,527,289 
Sweetgreen, Inc. Class A 6,363 242,939 
Wynn Resorts Ltd. (b) 101,915 8,256,134 
Yum China Holdings, Inc. 234,114 11,729,111 
Yum! Brands, Inc. 270,730 33,256,473 
  789,087,463 
Household Durables - 0.6%   
D.R. Horton, Inc. 221,200 21,611,240 
Garmin Ltd. 34,468 4,602,857 
GoPro, Inc. Class A (b) 364,800 3,648,000 
Lennar Corp.:   
Class A 1,100,565 115,614,353 
Class B 6,000 514,680 
Mohawk Industries, Inc. (b) 195,444 32,809,184 
Newell Brands, Inc. 725,415 15,574,660 
NVR, Inc. (b) 5,751 30,050,930 
PulteGroup, Inc. 782,799 39,163,434 
Sony Group Corp. sponsored ADR 320,287 39,026,971 
Tempur Sealy International, Inc. 92,700 3,971,268 
Toll Brothers, Inc. 50,800 3,224,276 
Whirlpool Corp. 224,656 48,916,597 
  358,728,450 
Internet & Direct Marketing Retail - 3.4%   
Alibaba Group Holding Ltd. sponsored ADR (b) 610,597 77,869,435 
Amazon.com, Inc. (b) 554,016 1,942,972,893 
Chewy, Inc. (b)(c) 4,200 286,692 
Doordash, Inc. 42,311 7,563,937 
eBay, Inc. 998,952 67,389,302 
Etsy, Inc. (b) 47,625 13,076,873 
Global-e Online Ltd. 27,600 1,833,744 
Porch Group, Inc. Class A (b)(c) 225,670 4,748,097 
  2,115,740,973 
Leisure Products - 0.0%   
Brunswick Corp. 47,500 4,460,725 
Hasbro, Inc. 124,470 12,062,388 
Polaris, Inc. 28,900 3,230,731 
  19,753,844 
Multiline Retail - 0.6%   
Big Lots, Inc. (c) 174,300 7,561,134 
Dollar General Corp. 354,931 78,546,230 
Dollar Tree, Inc. (b) 144,651 19,358,643 
Kohl's Corp. 537,575 27,539,967 
Macy's, Inc. 451,300 12,862,050 
Target Corp. 875,179 213,403,647 
  359,271,671 
Specialty Retail - 2.9%   
Advance Auto Parts, Inc. 198,275 43,763,258 
Auto1 Group SE (a) 49,496 1,392,109 
AutoNation, Inc. (b) 104,200 12,905,170 
AutoZone, Inc. (b) 54,341 98,741,401 
Bath & Body Works, Inc. 92,192 6,926,385 
Best Buy Co., Inc. 876,868 93,702,114 
Burlington Stores, Inc. (b) 146,567 42,963,185 
CarMax, Inc. (b) 205,902 29,083,658 
Dick's Sporting Goods, Inc. (c) 394,638 46,393,643 
Foot Locker, Inc. 94,900 4,331,236 
Gap, Inc. 878,553 14,522,481 
Lowe's Companies, Inc. 1,852,237 453,038,648 
Murphy U.S.A., Inc. 110,486 19,150,538 
O'Reilly Automotive, Inc. (b) 324,883 207,327,335 
Penske Automotive Group, Inc. 230,100 22,922,562 
Ross Stores, Inc. 618,786 67,503,365 
Sally Beauty Holdings, Inc. (b) 463,900 9,087,801 
Sleep Number Corp. (b)(c) 111,000 8,855,580 
The Home Depot, Inc. 929,565 372,393,035 
The ODP Corp. (b) 62,070 2,343,763 
TJX Companies, Inc. 1,572,870 109,157,178 
Tractor Supply Co. 94,680 21,334,244 
Ulta Beauty, Inc. (b) 190,405 73,106,000 
Williams-Sonoma, Inc. 36,100 7,033,724 
  1,767,978,413 
Textiles, Apparel & Luxury Goods - 0.5%   
Allbirds, Inc. Class A (c) 12,825 246,753 
Capri Holdings Ltd. (b) 32,100 1,900,962 
Columbia Sportswear Co. 92,017 8,974,418 
Hanesbrands, Inc. 1,102,046 17,798,043 
lululemon athletica, Inc. (b) 49,400 22,447,854 
NIKE, Inc. Class B 1,394,880 236,069,491 
PVH Corp. 29,500 3,150,010 
Ralph Lauren Corp. 146,037 16,946,133 
Skechers U.S.A., Inc. Class A (sub. vtg.) (b) 57,100 2,564,932 
Tapestry, Inc. 210,198 8,433,144 
Under Armour, Inc.:   
Class A (sub. vtg.) (b) 157,707 3,720,308 
Class C (non-vtg.) (b) 158,901 3,189,143 
VF Corp. 117,091 8,398,937 
  333,840,128 
TOTAL CONSUMER DISCRETIONARY  6,811,249,567 
CONSUMER STAPLES - 4.3%   
Beverages - 1.2%   
Anheuser-Busch InBev SA NV ADR (c) 2,359 131,443 
Constellation Brands, Inc. Class A (sub. vtg.) 435,831 98,205,799 
Diageo PLC sponsored ADR 16,968 3,447,389 
Keurig Dr. Pepper, Inc. 1,382,218 46,981,590 
Molson Coors Beverage Co. Class B 720,700 32,027,908 
Monster Beverage Corp. (b) 1,403,583 117,592,184 
PepsiCo, Inc. 1,013,983 162,014,204 
The Coca-Cola Co. 5,052,661 265,012,069 
  725,412,586 
Food & Staples Retailing - 0.8%   
BJ's Wholesale Club Holdings, Inc. (b) 64,400 4,260,060 
Costco Wholesale Corp. 278,461 150,196,294 
Kroger Co. 1,475,057 61,259,117 
Ocado Group PLC (b) 3,831 91,481 
Performance Food Group Co. (b) 24,524 988,562 
Sysco Corp. 492,174 34,471,867 
U.S. Foods Holding Corp. (b) 29,900 939,458 
Walgreens Boots Alliance, Inc. 1,344,500 60,233,600 
Walmart, Inc. 1,409,923 198,277,471 
  510,717,910 
Food Products - 0.7%   
Archer Daniels Midland Co. 337,400 20,989,654 
Bunge Ltd. 84,900 7,349,793 
Conagra Brands, Inc. 1,030,583 31,484,311 
Darling Ingredients, Inc. (b) 105,400 7,116,608 
General Mills, Inc. 622,400 38,445,648 
Ingredion, Inc. 209,500 19,510,735 
Kellogg Co. 150,184 9,188,257 
Lamb Weston Holdings, Inc. 16,754 869,868 
Mondelez International, Inc. 1,523,389 89,788,548 
Mowi ASA ADR 103,300 2,340,778 
Pilgrim's Pride Corp. (b) 148,461 4,168,785 
Post Holdings, Inc. (b)(c) 169,551 16,378,627 
The Hershey Co. 39,812 7,066,232 
The J.M. Smucker Co. 309,900 39,193,053 
The Kraft Heinz Co. 1,894,616 63,678,044 
Tyson Foods, Inc. Class A 1,186,610 93,694,726 
  451,263,667 
Household Products - 1.0%   
Colgate-Palmolive Co. 584,550 43,852,941 
Energizer Holdings, Inc. (c) 525,316 19,536,502 
Kimberly-Clark Corp. 291,200 37,946,272 
Procter & Gamble Co. 3,384,255 489,295,588 
Spectrum Brands Holdings, Inc. 6,612 661,861 
  591,293,164 
Personal Products - 0.1%   
Estee Lauder Companies, Inc. Class A 263,008 87,337,067 
The Beauty Health Co. (c) 160,000 4,153,600 
  91,490,667 
Tobacco - 0.5%   
Altria Group, Inc. 2,777,283 118,423,347 
Philip Morris International, Inc. 1,855,182 159,434,341 
Swedish Match Co. AB 121,900 890,503 
  278,748,191 
TOTAL CONSUMER STAPLES  2,648,926,185 
ENERGY - 2.5%   
Energy Equipment & Services - 0.1%   
Baker Hughes Co. Class A 38,800 905,592 
Championx Corp. (b) 11,100 226,551 
Halliburton Co. 2,031,437 43,858,725 
Liberty Oilfield Services, Inc. Class A (b) 97,800 899,760 
Oceaneering International, Inc. (b) 96,667 1,033,370 
Schlumberger Ltd. 1,404,464 40,280,028 
Subsea 7 SA 137,500 965,360 
Weatherford International PLC (b) 33,600 966,000 
  89,135,386 
Oil, Gas & Consumable Fuels - 2.4%   
Africa Oil Corp. (b)(c) 1,201,200 1,711,366 
Antero Resources Corp. (b) 73,600 1,292,416 
APA Corp. 77,500 1,997,175 
Canadian Natural Resources Ltd. 243,029 9,938,420 
Cenovus Energy, Inc. (Canada) 678,343 8,050,162 
Chevron Corp. 1,732,867 195,588,698 
ConocoPhillips Co. 3,067,720 215,139,204 
Coterra Energy, Inc. 1,950,579 39,167,626 
Diamondback Energy, Inc. 65,802 7,023,047 
EOG Resources, Inc. 1,718,642 149,521,854 
Exxon Mobil Corp. 5,320,081 318,353,647 
Genesis Energy LP 318,296 3,211,607 
Harbour Energy PLC (b) 499,495 2,612,041 
Headwater Exploration, Inc. (b) 82,700 295,207 
Hess Corp. 264,047 19,676,782 
HollyFrontier Corp. 72,800 2,352,896 
Imperial Oil Ltd. 92,217 3,048,514 
Kinder Morgan, Inc. 1,967,748 30,421,384 
Kosmos Energy Ltd. (b) 1,076,097 3,938,515 
Marathon Oil Corp. 923,976 14,312,388 
Marathon Petroleum Corp. 1,066,800 64,914,780 
MEG Energy Corp. (b) 857,700 6,982,723 
Murphy Oil Corp. 95,800 2,546,364 
Occidental Petroleum Corp. 516,428 15,312,090 
ONEOK, Inc. 375,040 22,442,394 
Ovintiv, Inc. 55,700 1,936,132 
Phillips 66 Co. 822,817 56,914,252 
Pioneer Natural Resources Co. 676,408 120,617,075 
Reliance Industries Ltd. 88,400 2,831,390 
TC Energy Corp. (c) 637,750 29,916,853 
The Williams Companies, Inc. 1,252,284 33,548,688 
Total SA sponsored ADR 795,137 36,568,351 
Tourmaline Oil Corp. 198,400 6,602,203 
Valero Energy Corp. 501,300 33,557,022 
  1,462,343,266 
TOTAL ENERGY  1,551,478,652 
FINANCIALS - 11.6%   
Banks - 4.9%   
Bank of America Corp. 15,037,958 668,737,992 
Citigroup, Inc. 2,030,702 129,355,717 
Citizens Financial Group, Inc. 2,429,861 114,859,529 
Comerica, Inc. 110,961 9,157,611 
Commerce Bancshares, Inc. 278,100 19,411,380 
Cullen/Frost Bankers, Inc. 195,700 24,636,673 
East West Bancorp, Inc. 135,458 10,430,266 
EFG Eurobank Ergasias SA (b) 2,805,257 2,796,487 
Fifth Third Bancorp 6,425,961 270,854,256 
First Horizon National Corp. 1,365,936 22,032,548 
First Republic Bank 37,759 7,916,552 
Huntington Bancshares, Inc. 4,329,362 64,247,732 
JPMorgan Chase & Co. 2,507,489 398,264,478 
KeyCorp 2,394,064 53,722,796 
M&T Bank Corp. 330,515 48,456,804 
Mitsubishi UFJ Financial Group, Inc. sponsored ADR (c) 2,250,000 11,880,000 
Piraeus Financial Holdings SA (b) 639,038 924,759 
PNC Financial Services Group, Inc. 1,262,709 248,753,673 
Regions Financial Corp. 2,674,000 60,833,500 
Signature Bank 126,422 38,217,371 
Societe Generale Series A 128,682 4,004,237 
Standard Chartered PLC (United Kingdom) 293,599 1,625,144 
SVB Financial Group (b) 95,479 66,102,976 
Truist Financial Corp. 2,559,206 151,786,508 
U.S. Bancorp 1,642,559 90,899,215 
UniCredit SpA 213,408 2,576,648 
Wells Fargo & Co. 10,778,165 514,980,724 
Western Alliance Bancorp. 45,800 5,027,924 
Zions Bancorp NA 77,400 4,882,392 
  3,047,375,892 
Capital Markets - 2.8%   
Ameriprise Financial, Inc. 393,400 113,928,640 
Apollo Global Management LLC Class A 148,973 10,544,309 
Bank of New York Mellon Corp. 1,868,045 102,350,186 
BlackRock, Inc. Class A 19,710 17,829,863 
Blackstone, Inc. 80,600 11,400,870 
Brookfield Asset Management, Inc. Class A 1,292,287 72,587,761 
Cboe Global Markets, Inc. 281,067 36,240,779 
Charles Schwab Corp. 1,962,533 151,880,429 
CME Group, Inc. 320,255 70,622,633 
FactSet Research Systems, Inc. 65,771 30,818,317 
Goldman Sachs Group, Inc. 961,924 366,483,425 
Intercontinental Exchange, Inc. 532,138 69,561,079 
Invesco Ltd. 858,935 19,180,019 
Jefferies Financial Group, Inc. 1,659,016 62,345,821 
KKR & Co. LP 653,237 48,633,495 
MarketAxess Holdings, Inc. 27,400 9,663,706 
Moody's Corp. 54,717 21,374,649 
Morgan Stanley 1,530,519 145,123,812 
Northern Trust Corp. 304,377 35,216,419 
Raymond James Financial, Inc. 560,116 55,053,802 
S&P Global, Inc. 140,192 63,889,700 
SEI Investments Co. 439,747 26,222,114 
State Street Corp. (d) 1,681,775 149,627,522 
StepStone Group, Inc. Class A 77,623 3,211,264 
T. Rowe Price Group, Inc. 251,424 50,272,229 
Tradeweb Markets, Inc. Class A 66,291 6,363,936 
Virtu Financial, Inc. Class A 55,366 1,560,214 
  1,751,986,993 
Consumer Finance - 0.7%   
Ally Financial, Inc. 176,400 8,084,412 
American Express Co. 673,225 102,532,168 
Capital One Financial Corp. 1,582,617 222,405,167 
Credit Acceptance Corp. (b)(c) 7,400 4,624,260 
Discover Financial Services 518,839 55,956,786 
Navient Corp. 734,600 14,493,658 
OneMain Holdings, Inc. 263,500 13,119,665 
Synchrony Financial 275,600 12,344,124 
  433,560,240 
Diversified Financial Services - 0.9%   
Berkshire Hathaway, Inc.:   
Class A (b) 1 416,876 
Class B (b) 1,798,537 497,637,203 
Equitable Holdings, Inc. 1,299,675 40,887,776 
Local Bounti Corp. (e) 125,589 742,608 
Voya Financial, Inc. (c) 433,700 26,950,118 
WeWork, Inc. (b) 46,800 406,692 
  567,041,273 
Insurance - 2.2%   
AFLAC, Inc. 1,245,447 67,428,501 
AIA Group Ltd. 94,600 995,897 
Alleghany Corp. (b) 23,569 15,246,315 
Allstate Corp. 608,081 66,110,566 
American Financial Group, Inc. 258,900 34,591,629 
American International Group, Inc. 1,499,633 78,880,696 
Aon PLC 24,483 7,241,337 
Arch Capital Group Ltd. (b) 189,900 7,668,162 
Arthur J. Gallagher & Co. 56,030 9,127,287 
Assurant, Inc. 191,632 29,147,227 
Axis Capital Holdings Ltd. 200,700 9,970,776 
Brookfield Asset Management Reinsurance Partners Ltd. (c) 9,003 516,232 
Chubb Ltd. 1,038,178 186,321,806 
Cincinnati Financial Corp. 439,937 50,108,824 
CNA Financial Corp. 145,843 6,072,903 
Everest Re Group Ltd. 83,600 21,433,368 
Fairfax Financial Holdings Ltd. 27,858 12,371,738 
Fidelity National Financial, Inc. 134,600 6,583,286 
First American Financial Corp. 51,800 3,842,524 
Globe Life, Inc. 43,900 3,799,106 
Hartford Financial Services Group, Inc. 1,750,112 115,682,403 
Lincoln National Corp. 494,800 32,820,084 
Loews Corp. 860,649 46,010,296 
Markel Corp. (b) 6,020 7,192,816 
Marsh & McLennan Companies, Inc. 343,554 56,349,727 
MetLife, Inc. 1,909,419 112,006,519 
Old Republic International Corp. 94,800 2,271,408 
Principal Financial Group, Inc. 129,800 8,901,684 
Progressive Corp. 1,535,266 142,687,622 
Prudential Financial, Inc. 479,800 49,064,348 
Prudential PLC (b) 51,100 863,144 
Reinsurance Group of America, Inc. 18,700 1,774,817 
RenaissanceRe Holdings Ltd. 226,335 34,880,487 
The Travelers Companies, Inc. 647,634 95,169,816 
Unum Group 479,100 11,067,210 
W.R. Berkley Corp. 155,147 11,890,466 
Willis Towers Watson PLC 60,900 13,753,656 
  1,359,844,683 
Mortgage Real Estate Investment Trusts - 0.0%   
Annaly Capital Management, Inc. 1,720,500 13,936,050 
Thrifts & Mortgage Finance - 0.1%   
MGIC Investment Corp. 640,031 9,024,437 
Radian Group, Inc. 783,700 15,963,969 
  24,988,406 
TOTAL FINANCIALS  7,198,733,537 
HEALTH CARE - 10.9%   
Biotechnology - 1.8%   
AbbVie, Inc. 3,664,076 422,394,681 
ADC Therapeutics SA (b)(c) 89,400 1,990,044 
Agios Pharmaceuticals, Inc. (b)(c) 40,000 1,424,800 
Alnylam Pharmaceuticals, Inc. (b) 52,066 9,569,731 
Ambrx Biopharma, Inc. ADR 30,800 287,980 
Amgen, Inc. 691,575 137,540,436 
Arcutis Biotherapeutics, Inc. (b) 62,000 1,027,340 
Argenx SE ADR (b) 28,000 7,817,880 
Ascendis Pharma A/S sponsored ADR (b) 48,400 6,631,768 
Atara Biotherapeutics, Inc. (b) 85,000 1,520,650 
Avid Bioservices, Inc. (b) 100,000 3,056,000 
BioAtla, Inc. (c) 36,000 909,000 
Biogen, Inc. (b) 286,307 67,494,012 
BioMarin Pharmaceutical, Inc. (b) 131,620 11,357,490 
Celldex Therapeutics, Inc. (b) 36,954 1,407,947 
Century Therapeutics, Inc. (c) 50,000 955,500 
Crinetics Pharmaceuticals, Inc. (b) 27,292 745,617 
Cytokinetics, Inc. (b)(c) 75,000 2,950,500 
Erasca, Inc. (c) 100,000 1,417,000 
Exelixis, Inc. (b) 75,000 1,259,250 
Generation Bio Co. (b)(c) 54,000 927,180 
Gilead Sciences, Inc. 1,020,772 70,361,814 
Gritstone Bio, Inc. (b) 15,967 210,764 
Heron Therapeutics, Inc. (b)(c) 6,100 57,645 
Imago BioSciences, Inc. (c) 17,500 391,475 
Innovent Biologics, Inc. (a)(b) 400,000 3,557,322 
Insmed, Inc. (b) 43,647 1,201,165 
Instil Bio, Inc.(c) 60,000 1,318,800 
Intercept Pharmaceuticals, Inc. (b)(c) 55,404 953,503 
Mirati Therapeutics, Inc. (b) 25,000 3,419,250 
Moderna, Inc. (b) 123,173 43,409,860 
Neurocrine Biosciences, Inc. (b) 260,680 21,701,610 
Nuvalent, Inc. Class A (c) 35,310 753,162 
PTC Therapeutics, Inc. (b) 64,000 2,378,240 
Regeneron Pharmaceuticals, Inc. (b) 264,686 168,480,580 
Relay Therapeutics, Inc. (b)(c) 65,000 1,912,300 
Sarepta Therapeutics, Inc. (b) 30,000 2,424,300 
Seagen, Inc. (b) 12,482 1,997,120 
Shattuck Labs, Inc. (b) 59,250 502,440 
TG Therapeutics, Inc. (b) 100,000 1,520,000 
Vaxcyte, Inc. (b) 25,452 518,712 
Vertex Pharmaceuticals, Inc. (b) 580,466 108,512,314 
Xencor, Inc. (b)(c) 56,000 2,028,320 
Zentalis Pharmaceuticals, Inc. (b)(c) 50,000 4,102,500 
Zymeworks, Inc. (b)(c) 50,000 1,005,500 
  1,125,403,502 
Health Care Equipment & Supplies - 1.6%   
Abbott Laboratories 1,104,152 138,869,197 
Alcon, Inc. (c) 617,316 48,397,574 
Align Technology, Inc. (b) 26,037 15,922,407 
Becton, Dickinson & Co. 521,021 123,554,920 
Boston Scientific Corp. (b) 2,691,667 102,471,763 
DexCom, Inc. (b) 3,400 1,912,806 
Envista Holdings Corp. (b) 125,000 4,850,000 
Hologic, Inc. (b) 556,153 41,561,314 
IDEXX Laboratories, Inc. (b) 35,663 21,685,600 
Insulet Corp. (b) 46,000 13,268,240 
Intuitive Surgical, Inc. (b) 566,520 183,745,097 
iRhythm Technologies, Inc. (b) 500 52,800 
Koninklijke Philips Electronics NV (depositary receipt) (NY Reg.) 26,800 942,824 
Masimo Corp. (b) 10,000 2,781,200 
Medtronic PLC 1,223,526 130,550,224 
Penumbra, Inc. (b) 50,000 12,282,500 
Stryker Corp. 198,038 46,861,732 
Tandem Diabetes Care, Inc. (b) 21,000 2,698,920 
Teleflex, Inc. 5,301 1,576,623 
The Cooper Companies, Inc. 21,386 8,051,187 
Zimmer Biomet Holdings, Inc. 437,825 52,363,870 
  954,400,798 
Health Care Providers & Services - 2.8%   
agilon health, Inc. 115,000 2,530,000 
Alignment Healthcare, Inc. 160,000 2,593,600 
AmerisourceBergen Corp. 293,796 34,006,887 
Anthem, Inc. 327,684 133,115,071 
Cano Health, Inc. (b)(c) 330,000 3,082,200 
Cardinal Health, Inc. 380,343 17,583,257 
Centene Corp. (b) 2,012,124 143,685,775 
Cigna Corp. 529,193 101,552,137 
Covetrus, Inc. (b) 18,645 335,237 
CVS Health Corp. 2,057,096 183,204,970 
DaVita HealthCare Partners, Inc. (b) 319,783 30,219,494 
Guardant Health, Inc. (b) 5,150 541,368 
HCA Holdings, Inc. 542,655 122,417,541 
Henry Schein, Inc. (b) 65,900 4,682,854 
Humana, Inc. 250,866 105,290,969 
Laboratory Corp. of America Holdings (b) 185,644 52,969,803 
LifeStance Health Group, Inc. (c) 160,000 1,270,400 
McKesson Corp. 426,202 92,383,546 
Oak Street Health, Inc. (b) 34,600 1,070,870 
Quest Diagnostics, Inc. 229,311 34,093,959 
Rede D'Oregon Sao Luiz SA (a) 260,000 2,320,268 
Surgery Partners, Inc. (b) 56,000 2,484,160 
UnitedHealth Group, Inc. 1,453,271 645,572,044 
Universal Health Services, Inc. Class B 179,100 21,264,543 
  1,738,270,953 
Health Care Technology - 0.1%   
Cerner Corp. 497,294 35,034,362 
Definitive Healthcare Corp. 18,000 527,580 
Doximity, Inc. 20,000 1,353,000 
Evolent Health, Inc. (b) 60,000 1,560,000 
Phreesia, Inc. (b) 50,000 2,884,000 
Veeva Systems, Inc. Class A (b) 35,163 9,936,361 
  51,295,303 
Life Sciences Tools & Services - 1.5%   
Agilent Technologies, Inc. 360,640 54,420,576 
Avantor, Inc. (b) 80,000 3,158,400 
Bio-Rad Laboratories, Inc. Class A (b) 27,500 20,713,000 
Bruker Corp. 60,000 4,859,400 
Charles River Laboratories International, Inc. (b) 15,000 5,488,050 
Danaher Corp. 900,920 289,771,909 
Illumina, Inc. (b) 85,573 31,262,384 
IQVIA Holdings, Inc. (b) 310,956 80,578,028 
Lonza Group AG 7,600 6,150,863 
Mettler-Toledo International, Inc. (b) 11,134 16,858,323 
PerkinElmer, Inc. 18,358 3,344,093 
Sartorius Stedim Biotech 8,800 5,203,614 
Thermo Fisher Scientific, Inc. 649,423 410,974,357 
Waters Corp. (b) 26,229 8,604,948 
West Pharmaceutical Services, Inc. 5,301 2,346,541 
  943,734,486 
Pharmaceuticals - 3.1%   
Arvinas Holding Co. LLC (b) 32,000 2,419,520 
AstraZeneca PLC:   
(United Kingdom) 72,000 7,893,709 
sponsored ADR 1,180,712 64,738,439 
Bayer AG 110,957 5,602,234 
Bristol-Myers Squibb Co. 3,365,509 180,492,248 
Elanco Animal Health, Inc. (b) 2,024,471 58,183,297 
Eli Lilly & Co. 1,187,922 294,652,173 
GlaxoSmithKline PLC sponsored ADR 196,419 8,076,749 
Jazz Pharmaceuticals PLC (b)(c) 179,500 21,516,665 
Johnson & Johnson 3,223,169 502,588,742 
Merck & Co., Inc. 2,844,517 213,082,768 
Nektar Therapeutics (b) 80,000 900,800 
Novartis AG sponsored ADR 535,055 42,643,884 
Novo Nordisk A/S Series B sponsored ADR 186,511 19,924,970 
Organon & Co. 281,337 8,223,481 
Pfizer, Inc. 4,632,721 248,916,099 
Pliant Therapeutics, Inc. (b)(c) 72,500 1,028,050 
Roche Holding AG:   
(participation certificate) 21,000 8,198,617 
sponsored ADR 1,129,365 55,090,425 
Royalty Pharma PLC 175,000 6,959,750 
Sanofi SA sponsored ADR 817,914 38,908,169 
UCB SA 22,800 2,485,938 
Viatris, Inc. 880,348 10,837,084 
Zoetis, Inc. Class A 483,371 107,327,697 
  1,910,691,508 
TOTAL HEALTH CARE  6,723,796,550 
INDUSTRIALS - 7.2%   
Aerospace & Defense - 1.3%   
Airbus Group NV (b) 24,732 2,760,586 
Curtiss-Wright Corp. 5,460 686,977 
General Dynamics Corp. 390,411 73,775,967 
Huntington Ingalls Industries, Inc. 134,831 23,933,851 
L3Harris Technologies, Inc. 363,747 76,052,223 
Lockheed Martin Corp. 121,449 40,481,381 
Maxar Technologies, Inc. 5,000 137,650 
Moog, Inc. Class A 127,400 8,812,258 
MTU Aero Engines AG 1,917 358,613 
Northrop Grumman Corp. 371,613 129,618,614 
Raytheon Technologies Corp. 2,391,723 193,538,225 
Rolls-Royce Holdings PLC (b) 709,995 1,158,247 
Safran SA 2,251 251,423 
Textron, Inc. 811,128 57,427,862 
The Boeing Co. (b) 755,073 149,391,193 
TransDigm Group, Inc. (b) 108,169 62,527,090 
Vectrus, Inc. (b) 37,733 1,578,749 
  822,490,909 
Air Freight & Logistics - 0.7%   
C.H. Robinson Worldwide, Inc. 51,991 4,943,824 
Expeditors International of Washington, Inc. 333,004 40,499,946 
FedEx Corp. 627,967 144,664,758 
GXO Logistics, Inc. 47,700 4,581,585 
United Parcel Service, Inc. Class B 1,138,482 225,840,674 
  420,530,787 
Airlines - 0.1%   
Copa Holdings SA Class A (b) 3,000 209,760 
Delta Air Lines, Inc. (b) 616,600 22,320,920 
Ryanair Holdings PLC sponsored ADR (b) 7,253 693,024 
Southwest Airlines Co. (b) 406,400 18,044,160 
United Airlines Holdings, Inc. (b) 542,157 22,911,555 
  64,179,419 
Building Products - 0.4%   
A.O. Smith Corp. 193,376 15,286,373 
Carlisle Companies, Inc. 60,973 13,731,120 
Carrier Global Corp. 333,970 18,074,456 
Fortune Brands Home & Security, Inc. 405,802 40,795,275 
Johnson Controls International PLC 625,591 46,769,183 
Masco Corp. 158,700 10,458,330 
Owens Corning 184,805 15,678,856 
Trane Technologies PLC 537,493 100,323,068 
  261,116,661 
Commercial Services & Supplies - 0.2%   
ACV Auctions, Inc. Class A (b) 66,600 1,410,588 
Copart, Inc. (b) 21,241 3,083,344 
Deluxe Corp. (c) 215,300 7,285,752 
Republic Services, Inc. 294,868 38,999,242 
Rollins, Inc. 195,148 6,494,525 
Waste Connections, Inc. (United States) 298,268 39,687,540 
  96,960,991 
Construction & Engineering - 0.0%   
MasTec, Inc. (b) 119,200 10,986,664 
Quanta Services, Inc. 65,700 7,475,346 
  18,462,010 
Electrical Equipment - 0.4%   
Acuity Brands, Inc. 101,799 20,497,229 
AMETEK, Inc. 230,900 31,517,850 
Array Technologies, Inc. (b)(c) 267,424 4,817,643 
Eaton Corp. PLC 726,027 117,659,936 
Emerson Electric Co. 195,300 17,155,152 
FTC Solar, Inc. 104,700 896,232 
Generac Holdings, Inc. (b) 32,775 13,806,141 
Hubbell, Inc. Class B 8,716 1,705,721 
Regal Rexnord Corp. 1,100 173,910 
Sensata Technologies, Inc. PLC (b) 65,300 3,637,210 
Shoals Technologies Group, Inc. 82,400 2,315,440 
Sunrun, Inc. (b)(c) 579,015 26,657,851 
Vertiv Holdings Co. 213,543 5,475,243 
  246,315,558 
Industrial Conglomerates - 0.9%   
3M Co. 528,739 89,906,780 
General Electric Co. 1,775,641 168,668,139 
Hitachi Ltd. 160,400 9,395,939 
Honeywell International, Inc. 765,104 154,734,633 
Roper Technologies, Inc. 222,525 103,284,979 
  525,990,470 
Machinery - 1.7%   
AGCO Corp. 324,100 35,719,061 
Allison Transmission Holdings, Inc. 309,700 10,712,523 
Caterpillar, Inc. 195,448 37,789,871 
Crane Co. 183,100 17,676,474 
Cummins, Inc. 629,595 132,057,551 
Deere & Co. 524,139 181,110,990 
Dover Corp. 232,492 38,093,814 
Epiroc AB (A Shares) 3,100 75,441 
Flowserve Corp. 330,462 9,907,251 
Fortive Corp. 760,666 56,190,397 
Illinois Tool Works, Inc. 110,268 25,598,716 
Ingersoll Rand, Inc. 1,659,972 96,842,766 
ITT, Inc. 139,824 13,224,554 
Meritor, Inc. (b) 117,300 2,966,517 
Middleby Corp. (b) 33,500 5,851,780 
Oshkosh Corp. 282,235 30,368,486 
Otis Worldwide Corp. 511,528 41,126,851 
PACCAR, Inc. 630,247 52,575,205 
Parker Hannifin Corp. 326,368 98,582,718 
Snap-On, Inc. 69,935 14,400,316 
Stanley Black & Decker, Inc. 426,771 74,582,500 
Timken Co. 253,729 16,702,980 
Westinghouse Air Brake Tech Co. 135,496 12,027,980 
Xylem, Inc. 252,000 30,519,720 
  1,034,704,462 
Professional Services - 0.4%   
Booz Allen Hamilton Holding Corp. Class A 28,600 2,400,684 
Clarivate Analytics PLC (b) 1,055,888 24,644,426 
CoStar Group, Inc. (b) 310,242 24,124,418 
Dun & Bradstreet Holdings, Inc. (b) 178,553 3,392,507 
Equifax, Inc. 30,696 8,553,440 
IHS Markit Ltd. 369,362 47,211,851 
Jacobs Engineering Group, Inc. 317,102 45,206,061 
Leidos Holdings, Inc. 791,524 69,582,875 
Manpower, Inc. 134,300 12,037,309 
Robert Half International, Inc. 110,238 12,255,158 
  249,408,729 
Road & Rail - 1.0%   
AMERCO 12,400 8,736,544 
Canadian Pacific Railway Ltd. (c) 240,800 16,863,224 
CSX Corp. 2,120,886 73,509,909 
Knight-Swift Transportation Holdings, Inc. Class A 154,818 8,863,331 
Lyft, Inc. (b) 1,249,053 50,724,042 
Norfolk Southern Corp. 1,004,188 266,380,951 
Old Dominion Freight Lines, Inc. 124,200 44,112,114 
Ryder System, Inc. 2,750 228,470 
Uber Technologies, Inc. (b) 814,051 30,933,938 
Union Pacific Corp. 515,428 121,455,454 
XPO Logistics, Inc. (b) 47,700 3,455,388 
  625,263,365 
Trading Companies & Distributors - 0.1%   
Beijer Ref AB (B Shares) 11,700 232,300 
United Rentals, Inc. (b) 124,315 42,110,463 
W.W. Grainger, Inc. 67,776 32,628,044 
  74,970,807 
TOTAL INDUSTRIALS  4,440,394,168 
INFORMATION TECHNOLOGY - 22.4%   
Communications Equipment - 0.6%   
Arista Networks, Inc. (b) 15,882 1,970,321 
Cisco Systems, Inc. 5,159,762 282,961,348 
CommScope Holding Co., Inc. (b) 455,689 4,538,662 
F5, Inc. (b) 160,205 36,459,454 
Juniper Networks, Inc. 220,200 6,854,826 
Motorola Solutions, Inc. 143,492 36,329,305 
  369,113,916 
Electronic Equipment & Components - 0.5%   
Amphenol Corp. Class A 563,159 45,379,352 
Arrow Electronics, Inc. (b) 251,500 30,594,975 
CDW Corp. 168,030 31,818,161 
Corning, Inc. 217,555 8,069,115 
Flex Ltd. (b) 1,012,800 17,318,880 
Insight Enterprises, Inc. (b) 22,400 2,209,088 
Jabil, Inc. 871,881 50,970,163 
Keysight Technologies, Inc. (b) 102,401 19,914,946 
Mirion Technologies, Inc. (e) 200,814 2,140,677 
TD SYNNEX Corp. 139,827 14,466,501 
TE Connectivity Ltd. 58,523 9,008,445 
Teledyne Technologies, Inc. (b) 83,654 34,740,670 
Trimble, Inc. (b) 194,564 16,707,211 
Vishay Intertechnology, Inc. 618,200 12,592,734 
Vontier Corp. 43,891 1,383,005 
Zebra Technologies Corp. Class A (b) 1,128 664,144 
  297,978,067 
IT Services - 3.2%   
Accenture PLC Class A 465,499 166,369,343 
Amadeus IT Holding SA Class A (b) 19,200 1,229,292 
Amdocs Ltd. 226,500 15,814,230 
Automatic Data Processing, Inc. 59,084 13,641,905 
Cognizant Technology Solutions Corp. Class A 601,110 46,874,558 
CSG Systems International, Inc. 185,800 9,793,518 
DXC Technology Co. (b) 248,014 7,437,940 
Edenred SA 47,023 2,107,554 
EPAM Systems, Inc. (b) 19,600 11,927,580 
Fidelity National Information Services, Inc. 724,669 75,727,932 
Fiserv, Inc. (b) 1,207,757 116,572,706 
FleetCor Technologies, Inc. (b) 496,425 102,824,510 
Gartner, Inc. (b) 43,062 13,446,110 
Genpact Ltd. 140,444 6,779,232 
Global Payments, Inc. 510,875 60,814,560 
IBM Corp. 792,237 92,770,953 
Kyndryl Holdings, Inc. (c) 246,947 3,901,763 
MasterCard, Inc. Class A 1,330,278 418,931,148 
MongoDB, Inc. Class A (b) 4,900 2,440,690 
Payoneer Global, Inc. 71,700 555,675 
PayPal Holdings, Inc. (b) 781,084 144,414,621 
Sabre Corp. (b)(c) 185,508 1,396,875 
Shift4 Payments, Inc. (b) 10,300 535,806 
Shopify, Inc. Class A (b) 30,846 46,941,134 
Snowflake Computing, Inc. (b) 8,979 3,054,207 
TaskUs, Inc. (c) 23,000 1,024,650 
The Western Union Co. 687,415 10,874,905 
Twilio, Inc. Class A (b) 91,542 26,194,743 
Unisys Corp. (b) 115,684 2,100,821 
VeriSign, Inc. (b) 139,327 33,425,941 
Visa, Inc. Class A 2,685,529 520,374,954 
Wix.com Ltd. (b) 4,700 718,160 
  1,961,018,016 
Semiconductors & Semiconductor Equipment - 5.2%   
Advanced Micro Devices, Inc. (b) 1,964,274 311,082,073 
Analog Devices, Inc. 522,575 94,194,144 
Applied Materials, Inc. 493,841 72,688,457 
ASML Holding NV 25,830 20,444,703 
Broadcom, Inc. 621,349 344,028,514 
First Solar, Inc. (b) 50,200 5,200,720 
indie Semiconductor, Inc. (c) 55,600 763,388 
Intel Corp. 1,971,994 97,022,105 
KLA Corp. 312,004 127,338,193 
Lam Research Corp. 114,451 77,809,512 
Marvell Technology, Inc. 214,854 15,291,159 
Microchip Technology, Inc. 714,940 59,647,444 
Micron Technology, Inc. 58,900 4,947,600 
Monolithic Power Systems, Inc. 44,998 24,904,593 
NVIDIA Corp. 3,174,238 1,037,214,009 
NXP Semiconductors NV 1,245,080 278,101,069 
ON Semiconductor Corp. (b) 373,800 22,962,534 
Qorvo, Inc. (b) 213,987 31,291,319 
Qualcomm, Inc. 1,921,100 346,873,816 
Renesas Electronics Corp. (b) 263,600 3,312,221 
Semtech Corp. (b) 22,200 1,901,874 
Teradyne, Inc. 155,957 23,841,147 
Texas Instruments, Inc. 697,739 134,224,051 
Universal Display Corp. 4,400 629,420 
Xilinx, Inc. 351,157 80,221,817 
  3,215,935,882 
Software - 8.6%   
Adobe, Inc. (b) 500,020 334,938,397 
Anaplan, Inc. (b) 43,400 1,857,954 
ANSYS, Inc. (b) 110,000 43,062,800 
Atlassian Corp. PLC (b) 83,320 31,354,982 
Autodesk, Inc. (b) 351,111 89,248,905 
Avalara, Inc. (b) 8,100 1,131,408 
AvidXchange Holdings, Inc. 35,400 756,144 
Braze, Inc. 26,106 1,989,277 
Cadence Design Systems, Inc. (b) 205,171 36,409,646 
CCC Intelligent Solutions Holdings, Inc. (e) 35,655 458,167 
Ceridian HCM Holding, Inc. (b) 463,837 50,743,768 
Citrix Systems, Inc. 364,569 29,322,285 
Cognyte Software Ltd. 233,979 4,766,152 
Confluent, Inc. 7,800 608,556 
Consensus Cloud Solutions, Inc. 54,833 3,434,739 
DoubleVerify Holdings, Inc. 11,500 355,120 
Dropbox, Inc. Class A (b) 292,900 7,208,269 
Dynatrace, Inc. (b) 17,838 1,121,118 
Ebix, Inc. (c) 13,500 412,560 
Elastic NV (b) 28,439 4,421,127 
Envestnet, Inc. (b) 100 7,667 
Everbridge, Inc. (b) 21,200 2,404,504 
Fortinet, Inc. (b) 105,668 35,093,399 
GitLab, Inc. 13,600 1,312,944 
HubSpot, Inc. (b) 500 403,455 
Intuit, Inc. 392,329 255,916,207 
Lightspeed Commerce, Inc. (b) 31,800 1,605,582 
LivePerson, Inc. (b)(c) 80,244 3,102,233 
Mandiant, Inc. (b) 62,500 1,060,625 
Microsoft Corp. 9,181,367 3,035,268,117 
Momentive Global, Inc. (b) 562,032 11,482,314 
NCR Corp. (b) 312,300 12,148,470 
NortonLifeLock, Inc. 1,737,433 43,175,210 
Oracle Corp. 3,773,863 342,440,329 
Palo Alto Networks, Inc. (b) 79,623 43,549,004 
PTC, Inc. (b) 8,419 922,554 
Qualtrics International, Inc. 72,500 2,346,100 
Rimini Street, Inc. (b) 327,876 2,167,260 
Salesforce.com, Inc. (b) 1,830,262 521,551,460 
SAP SE sponsored ADR (c) 46,451 5,966,166 
ServiceNow, Inc. (b) 37,449 24,255,717 
Splunk, Inc. (b) 146,300 17,702,300 
SS&C Technologies Holdings, Inc. 180,243 13,757,948 
Synopsys, Inc. (b) 215,473 73,476,293 
Telos Corp. 35,400 557,550 
UiPath, Inc. Class A (b)(c) 206,655 9,971,104 
VMware, Inc. Class A (b)(c) 105,309 12,293,773 
Workday, Inc. Class A (b) 480,691 131,819,893 
Yext, Inc. (b) 368,000 3,554,880 
Zoom Video Communications, Inc. Class A (b) 262,945 55,589,202 
  5,308,503,634 
Technology Hardware, Storage & Peripherals - 4.3%   
Apple, Inc. 14,867,019 2,457,518,241 
Dell Technologies, Inc. (b) 267,600 15,111,372 
Hewlett Packard Enterprise Co. 2,281,500 32,739,525 
HP, Inc. 2,719,305 95,937,080 
NetApp, Inc. 23,631 2,100,323 
Seagate Technology Holdings PLC 789,254 81,032,708 
Western Digital Corp. (b) 146,500 8,473,560 
Xerox Holdings Corp. 386,650 7,122,093 
  2,700,034,902 
TOTAL INFORMATION TECHNOLOGY  13,852,584,417 
MATERIALS - 2.3%   
Chemicals - 1.5%   
Air Products & Chemicals, Inc. 181,100 52,055,384 
Albemarle Corp. U.S. 49,084 13,080,395 
Axalta Coating Systems Ltd. (b) 231,615 7,022,567 
Cabot Corp. (c) 215,400 11,304,192 
Celanese Corp. Class A 244,100 36,946,976 
CF Industries Holdings, Inc. 461,693 27,973,979 
Corteva, Inc. 1,147,020 51,615,900 
Dow, Inc. 439,828 24,159,752 
DuPont de Nemours, Inc. 176,288 13,038,260 
Eastman Chemical Co. 978,040 101,999,792 
Ecolab, Inc. 165,237 36,595,038 
Huntsman Corp. 701,000 22,214,690 
Ingevity Corp. (b)(c) 136,575 9,821,108 
International Flavors & Fragrances, Inc. 103,440 14,706,065 
Linde PLC 687,664 218,773,425 
Livent Corp. (b) 8,693 263,311 
LyondellBasell Industries NV Class A 355,498 30,974,541 
Olin Corp. 259,100 14,082,085 
PPG Industries, Inc. 334,862 51,625,675 
RPM International, Inc. 461,865 42,048,190 
Sherwin-Williams Co. 240,049 79,513,831 
The Chemours Co. LLC 353,000 10,484,100 
The Mosaic Co. 366,460 12,540,261 
Valvoline, Inc. 544,800 18,561,336 
  901,400,853 
Construction Materials - 0.2%   
Martin Marietta Materials, Inc. 132,758 53,569,181 
Summit Materials, Inc. (b) 325,200 12,129,960 
Vulcan Materials Co. 193,800 37,139,832 
  102,838,973 
Containers & Packaging - 0.4%   
Amcor PLC 950,000 10,754,000 
Ball Corp. 419,900 39,239,655 
Berry Global Group, Inc. (b) 480,400 33,171,620 
Crown Holdings, Inc. 81,800 8,654,440 
Graphic Packaging Holding Co. 79,000 1,559,460 
International Paper Co. 1,181,214 53,768,861 
O-I Glass, Inc. (b) 154,700 1,712,529 
Packaging Corp. of America 401,933 52,488,430 
Sealed Air Corp. 696,747 43,281,924 
WestRock Co. 835,554 36,254,688 
  280,885,607 
Metals & Mining - 0.2%   
Anglo American PLC (United Kingdom) 37,082 1,364,983 
First Quantum Minerals Ltd. 128,700 2,743,357 
Freeport-McMoRan, Inc. 1,093,256 40,537,932 
Glencore Xstrata PLC 234,700 1,114,308 
Nucor Corp. 286,940 30,490,244 
Reliance Steel & Aluminum Co. 129,600 19,262,448 
Steel Dynamics, Inc. 127,900 7,648,420 
United States Steel Corp. 175,900 3,977,099 
  107,138,791 
Paper & Forest Products - 0.0%   
Schweitzer-Mauduit International, Inc. 240,600 6,905,220 
Sylvamo Corp. 28,090 850,565 
West Fraser Timber Co. Ltd. (c) 51,700 4,236,815 
  11,992,600 
TOTAL MATERIALS  1,404,256,824 
REAL ESTATE - 1.8%   
Equity Real Estate Investment Trusts (REITs) - 1.7%   
Alexandria Real Estate Equities, Inc. 89,027 17,811,632 
American Homes 4 Rent Class A 316,106 12,672,690 
American Tower Corp. 481,459 126,373,358 
Apple Hospitality (REIT), Inc. 429,479 6,450,775 
AvalonBay Communities, Inc. 107,379 25,649,622 
Brandywine Realty Trust (SBI) 767,000 9,855,950 
Brixmor Property Group, Inc. 701,452 15,951,018 
Camden Property Trust (SBI) 117,173 19,358,151 
Corporate Office Properties Trust (SBI) 39,900 1,023,834 
Crown Castle International Corp. 173,000 31,425,450 
CubeSmart 137,600 7,419,392 
Digital Realty Trust, Inc. 17,400 2,918,676 
Douglas Emmett, Inc. 50,300 1,648,331 
EastGroup Properties, Inc. 19,679 4,008,612 
Equinix, Inc. 76,850 62,417,570 
Equity Lifestyle Properties, Inc. 322,200 26,194,860 
Equity Residential (SBI) 186,519 15,911,936 
Essex Property Trust, Inc. 46,495 15,782,263 
Extra Space Storage, Inc. 51,735 10,347,000 
Federal Realty Investment Trust (SBI) 81,082 9,946,329 
Healthpeak Properties, Inc. 363,525 11,945,432 
Host Hotels & Resorts, Inc. (b) 2,770,924 43,503,507 
Invitation Homes, Inc. 155,100 6,272,244 
Iron Mountain, Inc. 52,579 2,389,190 
JBG SMITH Properties 125,483 3,487,173 
Kilroy Realty Corp. 34,000 2,194,020 
Kimco Realty Corp. 796,556 17,858,786 
Lamar Advertising Co. Class A 33,654 3,677,036 
Lexington Corporate Properties Trust 248,100 3,733,905 
Mid-America Apartment Communities, Inc. 121,135 24,984,094 
Omega Healthcare Investors, Inc. 439,500 12,279,630 
Paramount Group, Inc. 715,000 5,691,400 
Piedmont Office Realty Trust, Inc. Class A 784,400 13,632,872 
Prologis (REIT), Inc. 1,133,045 170,806,534 
Public Storage 107,502 35,194,005 
Rayonier, Inc. 453,496 17,128,544 
SBA Communications Corp. Class A 89,138 30,645,644 
Service Properties Trust 340,500 2,897,655 
Simon Property Group, Inc. 232,295 35,503,968 
SITE Centers Corp. 166,350 2,505,231 
Sun Communities, Inc. 371,795 70,113,101 
Ventas, Inc. 504,459 23,669,216 
VICI Properties, Inc. 42,800 1,164,160 
Vornado Realty Trust 189,479 7,605,687 
Welltower, Inc. 471,592 37,548,155 
Weyerhaeuser Co. 1,304,835 49,074,844 
  1,058,673,482 
Real Estate Management & Development - 0.1%   
CBRE Group, Inc. (b) 315,446 30,147,174 
Cushman & Wakefield PLC (b) 252,100 4,457,128 
Jones Lang LaSalle, Inc. (b) 41,400 9,725,274 
Opendoor Technologies, Inc. (b) 437,121 6,923,997 
  51,253,573 
TOTAL REAL ESTATE  1,109,927,055 
UTILITIES - 1.8%   
Electric Utilities - 1.2%   
Alliant Energy Corp. 118,100 6,470,699 
American Electric Power Co., Inc. 151,263 12,259,866 
Duke Energy Corp. 35,800 3,472,958 
Edison International 696,751 45,483,905 
Entergy Corp. 228,304 22,908,023 
Evergy, Inc. 179,465 11,360,135 
Eversource Energy 430,900 35,450,143 
Exelon Corp. 837,664 44,170,023 
FirstEnergy Corp. 394,200 14,845,572 
NextEra Energy, Inc. 3,494,928 303,289,852 
NRG Energy, Inc. 906,870 32,665,457 
PG&E Corp. (b) 787,496 9,355,452 
PPL Corp. 1,139,906 31,723,584 
Southern Co. 1,581,668 96,639,915 
Xcel Energy, Inc. 855,547 54,524,010 
  724,619,594 
Gas Utilities - 0.0%   
Atmos Energy Corp. 60,400 5,455,328 
UGI Corp. 126,500 5,218,125 
  10,673,453 
Independent Power and Renewable Electricity Producers - 0.0%   
Sunnova Energy International, Inc. (b) 29,300 1,083,221 
The AES Corp. 194,600 4,549,748 
Vistra Corp. 1,037,600 20,627,488 
  26,260,457 
Multi-Utilities - 0.6%   
Ameren Corp. 500,044 40,798,590 
CenterPoint Energy, Inc. 1,017,807 26,371,379 
CMS Energy Corp. 330,100 19,426,385 
Dominion Energy, Inc. 1,468,783 104,577,350 
DTE Energy Co. 201,700 21,852,178 
MDU Resources Group, Inc. 780,700 21,258,461 
NiSource, Inc. 110,100 2,698,551 
Public Service Enterprise Group, Inc. 473,853 29,611,074 
Sempra Energy 393,618 47,182,990 
WEC Energy Group, Inc. 340,369 29,588,277 
  343,365,235 
Water Utilities - 0.0%   
Essential Utilities, Inc. 102,000 4,821,540 
TOTAL UTILITIES  1,109,740,279 
TOTAL COMMON STOCKS   
(Cost $27,742,894,623)  52,026,219,333 
Nonconvertible Preferred Stocks - 0.0%   
INDUSTRIALS - 0.0%   
Aerospace & Defense - 0.0%   
Embraer SA sponsored ADR (b)   
(Cost $608,498) 58,446 802,464 
Equity Funds - 15.0%   
Large Blend Funds - 4.8%   
Fidelity SAI U.S. Large Cap Index Fund (f) 81,644,301 1,788,010,184 
Fidelity SAI U.S. Low Volatility Index Fund (f) 46,062,847 868,284,665 
PIMCO StocksPLUS Absolute Return Fund Institutional Class 23,140,982 325,130,790 
TOTAL LARGE BLEND FUNDS  2,981,425,639 
Large Growth Funds - 9.2%   
Fidelity Growth Company Fund (f) 98,276,989 4,098,150,431 
Fidelity SAI U.S. Momentum Index Fund (f) 10,436,475 180,133,564 
Fidelity SAI U.S. Quality Index Fund (f) 77,342,417 1,400,671,172 
TOTAL LARGE GROWTH FUNDS  5,678,955,167 
Mid-Cap Growth Funds - 1.0%   
Janus Henderson Enterprise Fund 3,572,773 619,983,224 
TOTAL EQUITY FUNDS   
(Cost $4,792,021,859)  9,280,364,030 
Other - 0.0%   
Commodity Funds - Broad Basket - 0.0%   
Fidelity SAI Inflation-Focused Fund (f)   
(Cost $9,232,556) 1,094,386 11,370,671 
U.S. Treasury Obligations - 0.0%   
U.S. Treasury Bills, yield at date of purchase 0.05% to 0.05% 12/30/21 (g)   
(Cost $5,359,790) 5,360,000 5,359,601 
Money Market Funds - 1.0%   
Fidelity Cash Central Fund 0.06% (h) 28,871,997 28,877,772 
Fidelity Securities Lending Cash Central Fund 0.07% (h)(i) 134,363,293 134,376,729 
Invesco Government & Agency Portfolio Institutional Class .03% (j) 446,217,503 446,217,503 
TOTAL MONEY MARKET FUNDS   
(Cost $609,470,414)  609,472,004 
TOTAL INVESTMENT IN SECURITIES - 100.2%   
(Cost $33,159,587,740)  61,933,588,103 
NET OTHER ASSETS (LIABILITIES) - (0.2)%  (117,571,950) 
NET ASSETS - 100%  $61,816,016,153 

Written Options       
 Counterparty Number of Contracts Notional Amount Exercise Price Expiration Date Value 
Call Options       
State Street Corp. Chicago Board Options Exchange 76 $676,172 $105.00 1/21/22 $(3,610) 

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) 98 Dec. 2021 $22,374,625 $123,582 $123,582 

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 $8,300,768 or 0.0% of net assets.

 (b) Non-income producing

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

 (d) Security or a portion of the security is pledged as collateral for call options written. At period end, the value of securities pledged amounted to $676,172.

 (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 $3,341,452 or 0.0% of net assets.

 (f) Affiliated Fund

 (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 $1,192,911.

 (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.

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

Additional information on each restricted holding is as follows:

Security Acquisition Date Acquisition Cost 
CCC Intelligent Solutions Holdings, Inc. 2/2/21 $356,550 
Local Bounti Corp. 6/17/21 - 11/4/21 $1,255,890 
Mirion Technologies, Inc. 6/16/21 $2,008,140 

Affiliated Central Funds

Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.

Fund Value, beginning of period Purchases Sales Proceeds Dividend Income Realized Gain/Loss Change in Unrealized appreciation (depreciation) Value, end of period % ownership, end of period 
Fidelity Cash Central Fund 0.06% $42,716,602 $178,937,613 $192,776,443 $10,369 $-- $-- $28,877,772 0.0% 
Fidelity Securities Lending Cash Central Fund 0.07% 292,027,572 615,483,587 773,134,430 1,050,985 -- -- 134,376,729 0.4% 
Total $334,744,174 $794,421,200 $965,910,873 $1,061,354 $-- $-- $163,254,501  

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

Affiliated Underlying Funds

Fiscal year to date information regarding the Fund's investments in affiliated Underlying Funds is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur. If an underlying Fund changes its name, the name presented below is the name in effect at period end.

Affiliate Value, beginning of period Purchases Sales Proceeds Dividend Income Realized Gain (loss) Change in Unrealized appreciation (depreciation) Value, end of period 
Fidelity Growth Company Fund $3,660,707,600 $50,000,012 $240,000,000 $-- $150,514,455 $476,928,364 $4,098,150,431 
Fidelity SAI Inflation-Focused Fund 10,795,429 2,463,970 -- 2,463,969 -- (1,888,728) 11,370,671 
Fidelity SAI U.S. Large Cap Index Fund 2,057,113,253 2,628,175,527 2,926,420,646 185,381,409 90,712,637 (61,570,587) 1,788,010,184 
Fidelity SAI U.S. Low Volatility Index Fund 1,442,168,893 -- 660,966,341 -- 95,969,810 (8,887,697) 868,284,665 
Fidelity SAI U.S. Momentum Index Fund 31,475,001 143,299,133 75 5,158,158 4 5,359,501 180,133,564 
Fidelity SAI U.S. Quality Index Fund 1,001,129,553 368,952,513 -- 83,952,438 -- 30,589,106 1,400,671,172 
Total $8,203,389,729 $3,192,891,155 $3,827,387,062 $276,955,974 $337,196,906 $440,529,959 $8,346,620,687 

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, 2021, 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 $5,175,132,099 $5,169,682,733 $5,449,366 $-- 
Consumer Discretionary 6,811,249,567 6,811,249,567 -- -- 
Consumer Staples 2,648,926,185 2,648,926,185 -- -- 
Energy 1,551,478,652 1,551,478,652 -- -- 
Financials 7,198,733,537 7,189,551,003 9,182,534 -- 
Health Care 6,723,796,550 6,707,704,224 16,092,326 -- 
Industrials 4,441,196,632 4,427,630,437 13,566,195 -- 
Information Technology 13,852,584,417 13,848,042,904 4,541,513 -- 
Materials 1,404,256,824 1,401,777,533 2,479,291 -- 
Real Estate 1,109,927,055 1,109,927,055 -- -- 
Utilities 1,109,740,279 1,109,740,279 -- -- 
Equity Funds 9,280,364,030 9,280,364,030 -- -- 
Other 11,370,671 11,370,671 -- -- 
Other Short-Term Investments and Net Other Assets 5,359,601 -- 5,359,601 -- 
Money Market Funds 609,472,004 609,472,004 -- -- 
Total Investments in Securities: $61,933,588,103 $61,876,917,277 $56,670,826 $-- 
Net unrealized depreciation on unfunded commitments $(90,457) $-- $(90,457) $-- 
Derivative Instruments:     
Assets     
Futures Contracts $123,582 $123,582 $-- $-- 
Total Assets $123,582 $123,582 $-- $-- 
Liabilities     
Written Options $(3,610) $(3,610) $-- $-- 
Total Liabilities $(3,610) $(3,610) $-- $-- 
Total Derivative Instruments: $119,972 $119,972 $-- $-- 

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, 2021. 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) $123,582 $0 
Written Options(b) 0 (3,610) 
Total Equity Risk 123,582 (3,610) 
Total Value of Derivatives $123,582 $(3,610) 

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

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

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


Financial Statements

Statement of Assets and Liabilities

  November 30, 2021 (Unaudited) 
Assets   
Investment in securities, at value (including securities loaned of $129,034,707) — See accompanying schedule:
Unaffiliated issuers (cost $28,806,272,392) 		$53,423,712,915  
Fidelity Central Funds (cost $163,252,911) 163,254,501  
Other affiliated issuers (cost $4,190,062,437) 8,346,620,687  
Total Investment in Securities (cost $33,159,587,740)  $61,933,588,103 
Cash  549,569 
Foreign currency held at value (cost $5,158,217)  5,123,487 
Receivable for investments sold  378,702,796 
Receivable for fund shares sold  22,076,789 
Dividends receivable  68,921,073 
Interest receivable  10,726 
Distributions receivable from Fidelity Central Funds  23,190 
Prepaid expenses  48,624 
Other receivables  842,473 
Total assets  62,409,886,830 
Liabilities   
Payable for investments purchased $419,965,749  
Unrealized depreciation on unfunded commitments 90,457  
Payable for fund shares redeemed 27,884,963  
Accrued management fee 9,460,096  
Payable for daily variation margin on futures contracts 415,275  
Written options, at value (premium received $20,784) 3,610  
Other payables and accrued expenses 1,673,798  
Collateral on securities loaned 134,376,729  
Total liabilities  593,870,677 
Net Assets  $61,816,016,153 
Net Assets consist of:   
Paid in capital  $30,543,291,552 
Total accumulated earnings (loss)  31,272,724,601 
Net Assets  $61,816,016,153 
Net Asset Value, offering price and redemption price per share ($61,816,016,153 ÷ 5,004,538,532 shares)  $12.35 

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


Statement of Operations

  Six months ended November 30, 2021 (Unaudited) 
Investment Income   
Dividends:   
Unaffiliated issuers  $394,588,846 
Affiliated issuers  26,351,771 
Interest  62,287 
Income from Fidelity Central Funds (including $1,050,985 from security lending)  1,061,354 
Total income  422,064,258 
Expenses   
Management fee $132,290,705  
Custodian fees and expenses 292,004  
Independent trustees' fees and expenses 221,184  
Registration fees 1,522,245  
Audit 52,812  
Legal 70,319  
Interest 8,437  
Miscellaneous 168,116  
Total expenses before reductions 134,625,822  
Expense reductions (77,311,820)  
Total expenses after reductions  57,314,002 
Net investment income (loss)  364,750,256 
Realized and Unrealized Gain (Loss)   
Net realized gain (loss) on:   
Investment securities:   
Unaffiliated issuers (net of foreign taxes of $92,267) 1,773,743,698  
Affiliated issuers 337,196,906  
Foreign currency transactions (186,954)  
Futures contracts 7,401,665  
Capital gain distributions from underlying funds:   
Affiliated issuers 250,604,203  
Total net realized gain (loss)  2,368,759,518 
Change in net unrealized appreciation (depreciation) on:   
Investment securities:   
Unaffiliated issuers (net of increase in deferred foreign taxes of $46,757) 1,236,746,163  
Affiliated issuers 440,529,959  
Unfunded commitments (549,056)  
Assets and liabilities in foreign currencies (98,861)  
Futures contracts (3,031,800)  
Written options 17,174  
Total change in net unrealized appreciation (depreciation)  1,673,613,579 
Net gain (loss)  4,042,373,097 
Net increase (decrease) in net assets resulting from operations  $4,407,123,353 

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


Statement of Changes in Net Assets

 Six months ended November 30, 2021 (Unaudited) Year ended May 31, 2021(a) 
Increase (Decrease) in Net Assets   
Operations   
Net investment income (loss) $364,750,256 $558,140,028 
Net realized gain (loss) 2,368,759,518 4,435,084,434 
Change in net unrealized appreciation (depreciation) 1,673,613,579 11,147,436,258 
Net increase (decrease) in net assets resulting from operations 4,407,123,353 16,140,660,720 
Distributions to shareholders (3,314,328,717) (1,568,168,745) 
Share transactions   
Proceeds from sales of shares 5,077,269,556 7,520,866,873 
Net asset value of shares issued in merger transaction (note 12) – 18,520,637,551 
Reinvestment of distributions 3,140,671,354 232,385,307 
Cost of shares redeemed (7,686,562,638) (7,680,619,730) 
Net increase (decrease) in net assets resulting from share transactions 531,378,272 18,593,270,001 
Total increase (decrease) in net assets 1,624,172,908 33,165,761,976 
Net Assets   
Beginning of period 60,191,843,245 27,026,081,269 
End of period $61,816,016,153 $60,191,843,245 
Other Information   
Shares(b)   
Sold 412,230,394 905,089,646 
Issued in exchange for shares in merger transaction (note 12) – 1,844,685,437 
Issued in reinvestment of distributions 263,921,962 143,286,389 
Redeemed (624,558,911) (1,009,622,141) 
Net increase (decrease) 51,593,445 1,883,439,331 

 (a) See Note 1 and Note 12.

 (b) For the year ended May 31, 2021, as further described in Notes 1 and 12, amounts have been adjusted to reflect the impact of the change in capital structure associated with the merger that occurred on November 20, 2020. All financial information prior to the merger is that of the Predecessor Fund.

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


Financial Highlights

Strategic Advisers Large Cap Fund

 Six months ended (Unaudited) November 30, Years endedMay 31,     
 2021 2021 A 2020 A 2019 A 2018 A 2017 A 
Selected Per–Share Data       
Net asset value, beginning of period $12.15 $8.81 $8.33 $8.86 $8.34 $7.26 
Income from Investment Operations       
Net investment income (loss)B .07 .14 .15 .14 .12 .11 
Net realized and unrealized gain (loss) .80 3.69 .88 .03 1.05 1.19 
Total from investment operations .87 3.83 1.03 .17 1.17 1.30 
Distributions from net investment income (.05) (.15) (.14) (.14) (.12) (.09) 
Distributions from net realized gain (.62) (.34) (.42) (.56) (.53) (.13) 
Total distributions (.67) (.49) (.55)C (.70) (.65) (.22) 
Net asset value, end of period $12.35 $12.15 $8.81 $8.33 $8.86 $8.34 
Total ReturnD,E 7.40% 44.55% 12.17% 2.41% 14.59% 18.22% 
Ratios to Average Net AssetsF,G       
Expenses before reductions .44%H .44% .45% .45% .47% .46% 
Expenses net of fee waivers, if any .19%H .19% .20% .20% .21% .21% 
Expenses net of all reductions .19%H .19% .20% .20% .21% .21% 
Net investment income (loss) 1.18%H 1.29% 1.74% 1.65% 1.41% 1.40% 
Supplemental Data       
Net assets, end of period (000 omitted) $61,816,016 $60,191,843 $27,026,081 $24,720,960 $24,984,597 $23,157,908 
Portfolio turnover rateI 48%H 74%J 90% 84% 98% 100% 

 A As further described in Notes 1 and 12, per share amounts have been adjusted to reflect the impact of the change in capital structure associated with the merger that occurred on November 20, 2020. All financial information prior to the merger is that of the Predecessor Fund.

 B Calculated based on average shares outstanding during the period.

 C Total distributions per share do not sum due to rounding.

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

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

 F Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.

 G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.

 H Annualized

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

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

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


Notes to Financial Statements (Unaudited)

For the period ended November 30, 2021

1. Organization.

Strategic Advisers Large Cap Fund (the Fund) is a fund of Fidelity Rutland Square Trust II (the Trust), and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust. The Fund is offered exclusively to certain managed account clients of Strategic Advisers LLC (Strategic Advisers), an affiliate of Fidelity Management & Research Company LLC (FMR). Effective November 20, 2020, Strategic Advisers Core Fund ("Predecessor Fund") and two other funds were reorganized into the Fund. The Predecessor Fund was the accounting survivor in the reorganization, and, as such, the financial statements and financial highlights for the fiscal year ended May 31, 2021 and prior reflect the financial information of the Predecessor Fund through November 20, 2020 (see Note 12).

2. Significant Accounting Policies.

The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:

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

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

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

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

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

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

Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Exchange-traded options are valued using the last sale price or, in the absence of a sale, the last offering price and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the 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, 2021 is included at the end of the Fund's Schedule of Investments.

Foreign Currency. Certain Funds may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.

Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received, and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.

The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and include proceeds received from litigation. Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of a fund include an amount in addition to trade execution, which may be rebated back to a fund. Any such rebates are included in net realized gain (loss) on investments in the Statement of Operations. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Income and capital gain distributions from any underlying mutual funds or exchange-traded funds (ETFs) are recorded on the ex-dividend date. Certain distributions received by the Fund represent a return of capital or capital gain. The Fund determines the components of these distributions subsequent to the ex-dividend date, based upon receipt of tax filings or other correspondence relating to the underlying investment. These distributions are recorded as a reduction of cost of investments and/or as a realized gain. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain. Funds may file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. Any withholding tax reclaims income is included in the Statement of Operations in dividends. Any receivables for withholding tax reclaims are included in the Statement of Assets and Liabilities in reclaims receivable.

Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan) for certain Funds, certain independent Trustees have elected to defer receipt of a portion of their annual compensation. Deferred amounts are invested in affiliated mutual funds, are marked-to-market and remain in a fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees presented below are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, as applicable.

Strategic Advisers Large Cap Fund $823,948 

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 mutual funds, futures contracts, foreign currency transactions, certain foreign taxes, passive foreign investment companies (PFIC), partnerships, deferred Trustees compensation and losses deferred due to wash sales.

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

Gross unrealized appreciation $29,238,714,058 
Gross unrealized depreciation (647,100,651) 
Net unrealized appreciation (depreciation) $28,591,613,407 
Tax cost $33,342,024,995 

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

Special Purpose Acquisition Companies. Funds may invest in stock, warrants, and other securities of special purpose acquisition companies (SPACs) or similar special purpose entities. A SPAC is a publicly traded company that raises investment capital via an initial public offering (IPO) for the purpose of acquiring the equity securities of one or more existing companies via merger, business combination, acquisition or other similar transactions within a designated time frame.

Private Investment in Public Equity. Funds may acquire equity securities of an issuer through a private investment in a public equity (PIPE) transaction, including through commitments to purchase securities on a when-issued basis. A PIPE typically involves the purchase of securities directly from a publicly traded company in a private placement transaction. Securities purchased through PIPE transactions will be restricted from trading and considered illiquid until a resale registration statement for the shares is filed and declared effective.

At period end, the Fund had commitments to purchase when-issued securities through PIPE transactions with SPACs. The commitments are contingent upon the SPACs acquiring the securities of target companies. Unrealized appreciation (depreciation) on these commitments is separately presented in the Statements of Assets and Liabilities as Unrealized appreciation (depreciation) on unfunded commitments, and in the Statement of Operations as Change in unrealized appreciation (depreciation) on unfunded commitments.

3. Derivative Instruments.

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

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

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

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

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

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

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

Primary Risk Exposure / Derivative Type Net Realized Gain (Loss) Change in Net Unrealized Appreciation (Depreciation) 
Equity Risk   
Futures Contracts $7,401,665 $(3,031,800) 
Written Options – 17,174 
Total Equity Risk $7,401,665 $(3,014,626) 

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

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

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

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

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

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

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

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

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

4. Purchases and Sales of Investments.

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

 Purchases ($) Sales ($) 
Strategic Advisers Large Cap Fund 14,591,096,191 16,626,949,404 

Prior Fiscal Year Unaffiliated Exchanges In-Kind. During the prior period, the Fund redeemed 19,946,276 shares of JPMorgan U.S. Large Cap Core Plus Fund Select Class in exchange for investments and cash with a value of $487,287,521. The Fund had a net realized gain of $132,702,495 on the Fund's redemptions of JPMorgan U.S. Large Cap Core Plus Fund Select Class which is included in the accompanying Statement of Changes in Net Assets. The Fund recognized a net gain for federal income tax purposes.

5. Fees and Other Transactions with Affiliates.

Management Fee. Strategic Advisers (the investment adviser) provides the Fund with investment management related services. For these services, the Fund pays a monthly management fee to the investment adviser. The management fee is calculated by adding the annual management fee rate of .25% of the Fund's average net assets throughout the month to the aggregate of the fee rates, payable monthly by the investment adviser, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed .65% of the Fund's average net assets. For the reporting period, the total 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), Invesco Advisers, Inc. (through October 7, 2021), J.P. Morgan Investment Management, Inc., Loomis Sayles & Company, L.P., LSV Asset Management, PineBridge Investments LLC, Principal Global Investors, LLC and T. Rowe Price Associates, Inc. each served as a sub-adviser for the Fund during the period. Sub-advisers provide discretionary investment advisory services for their allocated portion of the Fund's assets and are paid as described in the Management Fee note.

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

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 $26,978 

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

 Purchases ($) Sales ($) Realized Gain (Loss) ($) 
Strategic Advisers Large Cap Fund 38,084,368 67,510,628 13,110,889 

Other. During the period, the investment adviser reimbursed the Fund for certain losses as follows:

 Amount ($) 
Strategic Advisers Large Cap Fund 1,475 

6. Investments in Fidelity Central Funds.

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

Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.

Fidelity Central Fund Investment Manager Investment Objective Investment Practices Expense Ratio(a) 
Fidelity Money Market Central Funds Fidelity Management & Research Company LLC (FMR) Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. Short-term Investments Less than .005% 

 (a) Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.

A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.

7. Committed Line of Credit.

Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below. During the period, there were no borrowings on this line of credit.

 Amount 
Strategic Advisers Large Cap Fund $49,775 

8. Security Lending.

Funds lend portfolio securities from time to time in order to earn additional income. Lending agents are used, including National Financial Services (NFS), an affiliate of the investment adviser. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of a fund's daily lending revenue, for its services as lending agent. A fund may lend securities to certain qualified borrowers, including NFS. On the settlement date of the loan, a fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of a fund and any additional required collateral is delivered to a fund on the next business day. A fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund may apply collateral received from the borrower against the obligation. A fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Affiliated security lending activity, if any, was as follows:

 Total Security Lending Fees Paid to NFS Security Lending Income From Securities Loaned to NFS Value of Securities Loaned to NFS at Period End 
Strategic Advisers Large Cap Fund $28,715 $– $– 

9. Bank Borrowings.

The Fund is permitted to have bank borrowings for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity requirements. The Fund has established borrowing arrangements with certain banks. The interest rate on the borrowings is the bank's base rate, as revised from time to time. Any open loans, including accrued interest, at period end are presented under the caption "Notes payable" in the Statement of Assets and Liabilities, if applicable. Activity in this program during the period for which loans were outstanding was as follows:

 Average Loan Balance Weighted Average Interest Rate Interest Expense 
Strategic Advisers Large Cap Fund $75,332,143 .58% $8,437 

10. Expense Reductions.

The investment adviser has contractually agreed to waive the Fund's management fee in an amount equal to .25% of the Fund's average net assets until September 30, 2024. During the period, this waiver reduced the Fund's management fee by $ 77,158,562.

In addition, during the period the investment adviser or an affiliate reimbursed and/or waived a portion of operating expenses in the amount of $153,258.

11. Other.

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

Funds do not invest in underlying mutual funds for the purpose of exercising management or control; however, investments by funds within their principal investment strategies may represent a significant portion of the underlying mutual fund's net assets. At the end of the period, certain Funds were the owners of record of 10% or more of the total outstanding shares of the following underlying mutual funds as shown below.

Fund Strategic Advisers Large Cap Fund 
Fidelity SAI Inflation-Focused Fund 24% 
Fidelity SAI U.S. Large Cap Index Fund 13% 
Fidelity SAI U.S. Low Volatility Index Fund 12% 
Fidelity SAI U.S. Quality Index Fund 13% 

12. Prior Fiscal Year Merger Information.

On November 20, 2020, the Fund acquired all of the assets and assumed all of the liabilities of Strategic Advisers Growth Fund, Strategic Advisers Value Fund (Target Funds) and Strategic Advisers Core Fund (Predecessor Fund) pursuant to an Agreement and Plan of Reorganization approved by the Board of Trustees ("The Board"). The securities held by the Target Funds and Predecessor Fund were the primary assets acquired by the Fund. Each acquisition was accomplished by an exchange of shares of the Fund for shares then outstanding of each Target Fund and the Predecessor Fund at their respective net asset value on the acquisition date. The reorganization provides shareholders of each Target Fund and the Predecessor Fund access to a larger portfolio with a similar investment objective and lower projected expenses. As a result of this transaction the Predecessor Fund was determined to be the accounting survivor. As such, performance and financial history prior to the merger is that of Predecessor Fund. Historical share transactions and per share information for the Predecessor Fund has been retroactively adjusted to reflect the change in capital structure due to the merger. The reorganization qualified as a tax-free reorganization for federal income tax purposes with no gain or loss recognized to the funds or their shareholders. For financial reporting purposes, the assets and liabilities of the Predecessor Fund and Target Funds and shares issued by the Fund were recorded at fair value; however, the cost basis of the investments received from the Predecessor Fund and Target Funds were carried forward to align ongoing reporting of realized and unrealized gains and losses with amounts distributable to shareholders for tax purposes. Costs incurred in connection with the reorganization were paid by the respective fund.

Predecessor and Target Funds Securities $ Unrealized appreciation (depreciation) $ Net Assets $ Shares Exchanged Shares Exchanged Ratio 
Strategic Advisers Core Fund * 31,619,450,950 12,056,868,793 31,632,208,284 3,150,617,669 2.0769521912 
Strategic Advisers Growth Fund 9,684,515,165 5,505,004,332 9,686,104,070 964,750,799 2.1295816733 
Strategic Advisers Value Fund 8,821,520,451 2,357,297,576 8,833,529,481 879,834,633 1.7264342629 

*Predecessor Fund/Accounting survivor

Legal Acquiring Fund Net Assets $ Total Net Assets after the acquisition $ 
Strategic Advisers Large Cap Fund 1,004,000 50,152,845,835 

Pro forma results of operations of the combined entity for the entire period ended May 31, 2021 as though the acquisition had occurred as of the beginning of the year (rather than on the actual acquisition date) are as follows:

Net investment income (loss) $568,896,394 
Total net realized gain (loss) 5,389,603,115 
Total change in net unrealized appreciation (depreciation) 13,348,109,861 
Net increase (decrease) in net assets resulting from operations $19,306,609,370 

Because the combined investment portfolios have been managed as a single portfolio since each acquisition was completed, it is not practicable to separate the amounts of revenue and earnings of each Target Fund that has been included in the Fund's Statement of Operations since November 20, 2020.

13. Coronavirus (COVID-19) Pandemic.

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

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, 2021 to November 30, 2021).

Actual Expenses

The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.

Hypothetical Example for Comparison Purposes

The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

 Annualized Expense Ratio-A Beginning
Account Value
June 1, 2021 		Ending
Account Value
November 30, 2021 		Expenses Paid
During Period-B
June 1, 2021
to November 30, 2021 
Strategic Advisers Large Cap Fund .19%    
Actual  $1,000.00 $1,074.00 $.99 
Hypothetical-C  $1,000.00 $1,024.12 $.96 

 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 Large Cap 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), the sub-advisory agreements with AllianceBernstein L.P., Aristotle Capital Management LLC, Brandywine Global Investment Management, LLC, ClariVest Asset Management LLC, ClearBridge Investments, LLC, 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 and T. Rowe Price Associates, Inc. (each a Sub-Adviser and collectively, the Sub-Advisers) (collectively, the Sub-Advisory Agreements) and the sub-sub-advisory agreements with FMR Investment Management (UK) Limited, Fidelity Management & Research (Japan) Limited, and Fidelity Management & Research (Hong Kong) Limited (collectively, the Sub-Sub-Advisory Agreements and, together with the management contract and the Sub-Advisory Agreements, the Advisory Contracts) for the fund. Strategic Advisers and the Sub-Advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.

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

At its September 2021 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 that was previously defunded (Amendment). 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 relative to peer funds of the fund's management fee and total expenses; (iii) the total costs of the services provided by and the profits, if any, realized by Strategic Advisers from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and are realized as the fund grows and whether any economies of scale are appropriately shared with fund shareholders.

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, the Board concluded that the renewal of each Sub-Advisory Agreement and the approval of the Amendment do not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees charged under the Advisory Contracts bear a reasonable relationship to the services rendered 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 Board also considered steps taken by the Investment Advisers to continue to provide the same nature, extent, and quality of services to the funds during the COVID-19 pandemic.

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

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

Resources Dedicated to Investment Management and Support Services.  The Board reviewed the general qualifications and capabilities of the Investment Advisers' investment staffs, their use of technology, and the Investment Advisers' approach to managing and compensating investment personnel. The Board noted that the Investment Advisers' analysts have extensive resources, tools, and capabilities that allow them to conduct sophisticated quantitative and/or fundamental analysis. Additionally, in its deliberations, the Board considered the Investment Advisers' trading capabilities and resources and global compliance infrastructure, which are integral parts of the investment management process.

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

Investment Performance.  The Board noted that effective November 20, 2020, three predecessor funds reorganized into the fund and the fund assumed the historical performance of Strategic Advisers Core Fund, the predecessor fund designated as the accounting survivor in the reorganization.

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, 2020, 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.


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 five-year period and in the second quartile for the one- and three-year periods ended December 31, 2020. The Board also noted that the fund had out performed 72%, 72%, and 75% of its peers for the one-, three-, and five-year periods, respectively, ended December 31, 2020. The Board also noted that the investment performance of the fund was higher than its benchmark for the one-year period and lower than its benchmark for the 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 % 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.


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, 2020.

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 those funds and classes in the Total Mapped Group (used by the Board for management fee comparisons) that have similar sales load structures. This comparison, which is a proxy for comparing funds by distribution channel, showed the fund's position relative to competitive funds with similar sales load structures. The Board noted that the fund's total expense ratio ranked below the fund's similar sales load structure group competitive median for the 12-month period ended December 31, 2020.

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 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, the Board concluded that the renewal of each Sub-Advisory Agreement and the approval of the Amendment do not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.

Board Approval of Amended Sub-Advisory Agreement

Strategic Advisers Large Cap Fund

In June 2021, the Board of Trustees, including the Independent Trustees (together, the Board) voted to approve amendments to the fee schedules for the investment mandates in the existing sub-advisory agreements among Strategic Advisers LLC (Strategic Advisers), each of AllianceBernstein L.P. (AllianceBernstein) and Aristotle Capital Management, LLC (Aristotle) (each, a Sub-Adviser), and Fidelity Rutland Square Trust II (Trust) on behalf of the fund. The Board noted that the updated fee schedule in the Amended Sub-Advisory Agreement with AllianceBernstein will result in the same or lower fees at all asset levels. With respect to the Amended Sub-Advisory Agreement with Aristotle, the Board noted that the updated fee schedule will result in lower fees at current and anticipated asset levels, and that Strategic Advisers does not currently expect asset levels to decrease such that the updated fee schedule would result in higher fees than the existing fee schedule. The Board also noted that no other material contract terms are impacted by the Amended Sub-Advisory Agreements. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, considered a broad range of information.

In considering whether to approve each Amended Sub-Advisory Agreement, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the approval of each Amended Sub-Advisory Agreement is in the best interests of the fund and its shareholders and that the approval of such agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the fees to be charged under each Amended Sub-Advisory Agreement bear a reasonable relationship to the services to be rendered and will be based on services provided that will be in addition to, rather than duplicative of services provided under the advisory contract of any underlying fund in which the fund may invest. The Board's decision to approve each Amended Sub-Advisory Agreement was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board. In addition, individual Trustees did not necessarily attribute the same weight or importance to each factor.

Nature, Extent, and Quality of Services Provided.  The Board considered the backgrounds of the investment personnel that will provide services to the fund, and also considered the fund's investment objective, strategies and related investment philosophy and current sub-adviser line-up, as well as the structures of the investment personnel compensation programs and whether such structures provide appropriate incentives to act in the best interests of the fund, at its June 2020 meeting. The Board considered the detailed information provided by Strategic Advisers and each Sub-Adviser in the June 2021 annual contract renewal materials.

The Board noted that it had approved the existing sub-advisory agreement with each Sub-Adviser at its June 2020 meeting and that each Amended Sub-Advisory Agreement will not result in any changes to: (i) the nature, extent and quality of the sub-advisory services provided; (ii) the investment process or strategies employed in the management of the fund's assets; or (iii) the day-to-day management of the fund or the persons primarily responsible for such management.

Investment Performance.  The Board did not consider performance to be a material factor in its decision to approve each Amended Sub-Advisory Agreement because the approval of each Amended Sub-Advisory Agreement will not result in any changes (i) to the fund's investment processes or strategies; or (ii) in the persons primarily responsible for the day-to-day management of the fund.

Based on its review, the Board concluded that the nature, extent, and quality of services that will be provided to the fund under each Amended Sub-Advisory Agreement will continue to benefit the fund's shareholders.

Competitiveness of Management Fee and Total Fund Expenses.

The Board noted that each Amended Sub-Advisory Agreement will not result in changes to the maximum aggregate annual management fee payable by the fund or Strategic Advisers' portion of the management fee. The Board considered Strategic Advisers' contractual agreement to waive its portion of the fund's management fee. The Board considered that the Amended Sub-Advisory Agreement with AllianceBernstein, and the Amended Sub-Advisory Agreement with Aristotle at current and anticipated asset levels, are each expected to result in a decrease in the total management fees of the fund. The Board also considered that at certain lower asset levels the updated fee schedule for Aristotle would result in an increase in the total management fees of the fund, but that Strategic Advisers does not currently expect Aristotle's assets to decrease to these levels. 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 each Amended Sub-Advisory Agreement was negotiated at arm's length and will have no impact on the maximum management fees payable by the fund, the Board did not consider the costs of services and profitability of the relationship with the fund to Strategic Advisers to be significant factors in its decision to approve each Amended Sub-Advisory Agreement.

Potential Fall-Out Benefits.  The Board considered that it reviews information regarding the potential of direct and indirect benefits to Strategic Advisers and its affiliates from their relationships with the fund, including non-advisory fee compensation paid to affiliates of Strategic Advisers, if any, as well as information regarding potential fall-out benefits accruing to each Sub-Adviser, if any, as a result of its relationship with the fund, during its annual renewal of the fund's management contract, sub-advisory agreements, and sub-subadvisory agreements. The Board considered Strategic Advisers' representation that it does not anticipate that the approval of each Amended Sub-Advisory Agreement will have a significant impact on the profitability of, or potential fall-out benefits to, Strategic Advisers or its affiliates.

Possible Economies of Scale.  The Board considered that it reviews whether there have been economies of scale in connection with the management of the fund during its annual renewal of the fund's management contract, sub-advisory agreements, and sub-subadvisory agreements. The Board noted that each Amended Sub-Advisory Agreement will continue to provide for breakpoints that have the potential to reduce sub-advisory fees paid to the Sub-Adviser as assets allocated to the Sub-Adviser grow. The Board also noted that it did not consider the possible realization of economies of scale to be a significant factor in its decision to approve each Amended Sub-Advisory Agreement because the fund will not bear any additional management fees or expenses under each Amended Sub-Advisory Agreement.

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





Fidelity Investments

LGC-SANN-0122
1.9899747.101

Strategic Advisers® Municipal Bond Fund

Offered exclusively to certain managed account clients of Strategic Advisers LLC or its affiliates - not available for sale to the general public



Semi-Annual Report

November 30, 2021

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. © 2022 FMR LLC. All rights reserved.



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

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

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

NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE

Neither the Fund nor Fidelity Distributors Corporation is a bank.



Note to Shareholders:

Early in 2020, the outbreak and spread of COVID-19 emerged as a public health emergency that had a major influence on financial markets, primarily based on its impact on the global economy and corporate earnings. On March 11, 2020, the World Health Organization declared the COVID-19 outbreak a pandemic, citing sustained risk of further global spread. The pandemic prompted a number of measures to limit the spread of COVID-19, including travel and border restrictions, quarantines, and restrictions on large gatherings. In turn, these resulted in lower consumer activity, diminished demand for a wide range of products and services, disruption in manufacturing and supply chains, and – given the wide variability in outcomes regarding the outbreak – significant market uncertainty and volatility. To help stem the turmoil, the U.S. government took unprecedented action – in concert with the U.S. Federal Reserve and central banks around the world – to help support consumers, businesses, and the broader economy, and to limit disruption to the financial system.

In general, the overall impact of the pandemic lessened in 2021, amid a resilient economy and widespread distribution of three COVID-19 vaccines granted emergency use authorization from the U.S. Food and Drug Administration (FDA) early in the year. Still, the situation remains dynamic, and the extent and duration of its influence on financial markets and the economy is highly uncertain, due in part to a recent spike in cases based on highly contagious variants of the coronavirus.

Extreme events such as the COVID-19 crisis are exogenous shocks that can have significant adverse effects on mutual funds and their investments. Although multiple asset classes may be affected by market disruption, the duration and impact may not be the same for all types of assets. Fidelity is committed to helping you stay informed amid news about COVID-19 and during increased market volatility, and we continue to take extra steps to be responsive to customer needs. We encourage you to visit us online, where we offer ongoing updates, commentary, and analysis on the markets and our funds.

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, 2021

(excluding cash equivalents) % of fund's net assets 
Fidelity SAI Municipal Income Fund 12.1 
Vanguard Long-Term Tax-Exempt Fund Admiral Shares 11.9 
MFS Municipal Income Fund Class A 9.9 
MainStay MacKay Tax Free Bond Fund Class A 7.6 
Western Asset Managed Municipals Fund Class A 7.2 
Fidelity SAI Tax-Free Bond Fund 5.6 
Wells Fargo Municipal Bond Fund - Class Admin 4.0 
BlackRock National Municipal Fund Investor A Shares 3.5 
MainStay MacKay High Yield Municipal Bond Fund Class A 2.3 
iShares S&P National Municipal Bond ETF 2.1 

Top Five Sectors as of November 30, 2021

 % of fund's net assets 
Transportation 6.4 
Health Care 4.4 
Special Tax 4.0 
General Obligations 3.3 
Education 1.8 

Asset Allocation (% of fund's net assets)

As of November 30, 2021 
   Municipal Bond Funds 69.6% 
   Municipal Bonds 26.1% 
   Investment Companies 2.1% 
   Short-Term Investments and Net Other Assets (Liabilities) 2.2% 


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, 2021 (Unaudited)

Showing Percentage of Net Assets

Municipal Bonds - 27.1%   
 Principal Amount Value 
Alabama - 0.3%   
Auburn Univ. Gen. Fee Rev. Series 2018 A, 5% 6/1/33 195,000 244,441 
Birmingham Wtrwks. Board Series 2016 B, 5% 1/1/32 (Pre-Refunded to 1/1/27 @ 100) 250,000 303,872 
Decatur Wtr. & Swr. Rev. Series 2021 A, 4% 8/15/50 610,000 719,368 
Hoover Indl. Dev. Board Envir. Impt. Rev. (United States Steel Corp. Proj.) Series 2019, 5.75% 10/1/49 (a) 570,000 677,331 
Huntsville Health Care Auth. Series 2020 B, 4% 6/1/45 450,000 523,490 
Huntsville Redstone Village Spl. Care Facilities Finanacing Auth.:   
Series 2007: $ $ 
5.5% 1/1/28 225,000 152,407 
5.5% 1/1/43 175,000 116,000 
Series 2008 A, 6.875% 1/1/43 120,000 79,644 
Series 2011 A, 7.5% 1/1/47 215,000 142,615 
Jefferson County Swr. Rev.:   
Series 2013 A:   
5.25% 10/1/48 (FSA Insured) 880,000 970,533 
5.5% 10/1/53 (FSA Insured) 1,395,000 1,544,030 
Series 2013 D, 6% 10/1/42 250,000 285,584 
Lower Alabama Gas District:   
(Gas Proj.) Series 2016 A, 5% 9/1/34 515,000 689,607 
Series 2016 A, 5% 9/1/46 595,000 877,191 
Southeast Energy Auth. Rev. Bonds Bonds:   
(Proj. No. 1) Series 2021 A, 4%, tender 10/1/28 (b) 800,000 937,707 
(Proj. No. 2) Series 2021 B1, 4%, tender 12/1/31 (b) 630,000 758,019 
Tuscaloosa County Indl. Dev. Gulf Opportunity (Hunt Refining Proj.) Series 2019 A:   
4.5% 5/1/32 (c) 199,735 215,274 
5.25% 5/1/44 (c) 1,875,000 2,165,593 
TOTAL ALABAMA  11,402,706 
Arizona - 0.4%   
Arizona Health Facilities Auth. Rev. (Banner Health Sys. Proj.) Series 2007 B, 3 month U.S. LIBOR + 0.810% 0.898%, tender 1/1/37 (b)(d) 255,000 253,687 
Arizona Indl. Dev. Auth. Econ. Dev. Rev. (Legacy Cares, Inc. Proj.) Series 2020 A, 7.75% 7/1/50 (c) 960,000 1,150,767 
Arizona Indl. Dev. Auth. Ed. Rev.:   
(Cadence Campus Proj.) Series 2020 A:   
4% 7/15/40 (c) 55,000 59,480 
4% 7/15/50 (c) 95,000 101,487 
(Doral Academy of Nevada, Fire Mesa and Red Rock Campus Projs.) Series 2019 A:   
5% 7/15/39 (c) 80,000 92,741 
5% 7/15/49 (c) 70,000 80,186 
(Odyssey Preparatory Academy Proj.):   
Series 2017 A:   
5.25% 7/1/37 (c) 180,000 194,840 
5.5% 7/1/52 (c) 205,000 221,442 
Series 2019, 5% 7/1/49 (c) 265,000 295,791 
Arizona Indl. Dev. Auth. Hosp. Rev. Series 2020 A, 4% 2/1/50 955,000 1,102,077 
Arizona Indl. Dev. Auth. Rev. (Lincoln South Beltway Proj.) Series 2020, 5% 2/1/30 20,000 25,901 
Arizona Indl. Dev. Auth. Sr. Living:   
(Great Lakes Sr. Living Cmntys. LLC Proj.) Series 2021, 7.75% 1/1/54 (c) 100,000 79,406 
Series 2019 A, 5% 1/1/54 125,000 130,031 
Series 2019 B:   
5% 1/1/49 50,000 46,607 
5.125% 1/1/54 55,000 51,842 
Arizona State Univ. Revs. Series 2020 A, 5% 7/1/43 250,000 320,281 
Glendale Indl. dev auth Sr Living Facilities Rev. (Royal Oaks Inspirata Pointe Proj.) Series 2020 A, 5% 5/15/56 290,000 325,918 
Maricopa County Indl. Dev. Auth. Sr. Living Facilities Series 2016, 6% 1/1/48 (c) 135,000 133,588 
Maricopa County Poll. Cont. Rev. Series 2012 A, 4.5% 8/1/42 195,000 198,649 
Maricopa County Rev.:   
Series 2017 A, 4% 1/1/41 300,000 342,534 
Series 2019 E, 4% 1/1/45 250,000 292,920 
Peoria Indl. Dev. Auth. Rev. (Sierra Winds Life Care Cmnty. Proj.) Series 2014 A:   
5.5% 11/15/34 225,000 229,406 
5.75% 11/15/40 365,000 372,318 
Phoenix Civic Impt. Board Arpt. Rev.:   
Series 2017 A, 5% 7/1/47 (a) 365,000 436,346 
Series 2018:   
5% 7/1/37 (a) 305,000 371,808 
5% 7/1/38 (a) 305,000 371,290 
Series 2019 B, 5% 7/1/49 (a) 570,000 694,785 
Phoenix Civic Impt. Corp. District Rev. Series 2005 B:   
5.5% 7/1/29 485,000 631,913 
5.5% 7/1/30 445,000 590,687 
5.5% 7/1/33 75,000 105,357 
Phoenix Civic Impt. Corp. Wtr. Sys. Rev. Series 2021 A:   
4% 7/1/40 165,000 201,240 
4% 7/1/41 320,000 389,303 
4% 7/1/42 185,000 224,450 
5% 7/1/45 1,025,000 1,343,080 
Phoenix IDA Student Hsg. Rev.:   
(Downtown Phoenix Student Hsg. II LLC Arizona State Univ. Proj.) Series 2019 A:   
5% 7/1/44 60,000 71,393 
5% 7/1/49 35,000 41,459 
5% 7/1/54 160,000 188,916 
5% 7/1/59 130,000 153,001 
Series 2018 A, (Downtown Phoenix Student Hsg., LLC AZ State Univ. Proj.) 5% 7/1/42 395,000 465,054 
Pima County Indl. Dev. Auth. Ed. Rev.:   
(American Leadership Academy Proj.) Series 2022, 4% 6/15/57 (e) 600,000 612,663 
Series 2017, 4.75% 6/15/37 (c) 320,000 327,609 
Saddle Mountain Unified School District No. 90 Series 2020, 4% 7/1/35 (FSA Insured) 250,000 297,683 
Salt River Proj. Agricultural Impt. & Pwr. District Elec. Sys. Rev. Series 2017 A, 5% 1/1/30 685,000 851,079 
Salt Verde Finl. Corp. Sr. Gas Rev.:   
Series 2007 1, 5% 12/1/32 215,000 284,029 
Series 2007, 5% 12/1/37 200,000 280,369 
Tempe Indl. Dev. Auth. Rev.:   
(Friendship Village of Tempe Proj.):   
Series 2019:   
5% 12/1/50 135,000 151,135 
5% 12/1/54 150,000 167,629 
Series 2021 A, 4% 12/1/46 150,000 163,144 
(Friendship Village of Temple Proj.) Series 2021 A, 4% 12/1/38 90,000 99,818 
(Mirabella At ASU, Inc. Proj.) Series 2017 A, 6.125% 10/1/52 (c) 210,000 230,018 
Series 2012 A, 6.25% 12/1/46 120,000 120,000 
Town of Carefree Utils. Cmnty. Facilities District Wtr. Sys. Rev. Series 2021:   
4% 7/1/41 155,000 185,521 
4% 7/1/46 155,000 183,438 
TOTAL ARIZONA  16,336,116 
Arkansas - 0.1%   
Arkansas Dev. Auth. Indl. Dev. Rev. (Big River Steel Proj.):   
Series 2019, 4.5% 9/1/49 (a)(c) 885,000 976,773 
Series 2020 A, 4.75% 9/1/49 (a)(c) 305,000 345,032 
Arkansas Dev. Fin. Auth. Health Care Rev. Series 2019, 5% 12/1/47 610,000 747,073 
Arkansas Dev. Fin. Auth. Hosp. Rev.:   
Series 2015 A, 5% 2/1/35 55,000 60,948 
Series 2015 B:   
5% 2/1/22 50,000 50,369 
5% 2/1/23 75,000 78,873 
5% 2/1/24 95,000 103,825 
Series 2015 C, 5% 2/1/35 75,000 83,110 
Pulaski County Spl. School District Series 2017, 4% 2/1/48 (Pre-Refunded to 8/1/22 @ 100) 325,000 333,219 
Springdale School District No. 050 Series 2017, 4% 6/1/40 300,000 304,865 
TOTAL ARKANSAS  3,084,087 
California - 3.0%   
ABAG Fin. Auth. for Nonprofit Corps. Rev. Series 2014 A, 5% 8/1/43 790,000 848,256 
Antelope Valley Cmnty. College District:   
Series 2017 A, 4.5% 8/1/38 (Pre-Refunded to 2/15/27 @ 100) 275,000 329,878 
Series 2020 B, 4% 8/1/45 700,000 831,733 
Series B, 3% 8/1/50 250,000 266,305 
Bay Area Toll Auth. San Francisco Bay Toll Bridge Rev. Bonds Series 2021 B, 0.280% x SIFMA Municipal Swap Index 0.33%, tender 4/1/24 (b)(d) 365,000 365,618 
California Cmnty. Choice Fing. Auth. Clean Energy Proj. Rev. Bonds Series 2021 B1, 4%, tender 8/1/31 (b) 4,275,000 5,176,642 
California Cmnty. Hsg. Agcy. Essential Hsg. Rev.:   
Series 2020 A, 5% 2/1/50 (c) 605,000 671,199 
Series 2021 A:   
4% 2/1/56 (c) 120,000 125,047 
4% 2/1/56 (c) 1,820,000 1,884,926 
Series 2021 A2:   
4% 8/1/46 (c) 315,000 318,262 
4% 2/1/50 (c) 1,125,000 1,137,632 
California Edl. Facilities Auth. Rev.:   
Series 2017 A, 5% 4/1/47 120,000 140,220 
Series T1, 5% 3/15/39 915,000 1,340,765 
Series V1, 5% 5/1/49 950,000 1,504,138 
California Gen. Oblig.:   
Series 2013:   
5% 9/1/31 610,000 658,694 
5% 4/1/37 570,000 604,214 
Series 2014, 5% 10/1/39 430,000 481,933 
Series 2015, 5% 3/1/30 570,000 650,732 
Series 2016, 5% 8/1/27 290,000 348,014 
Series 2018:   
5% 8/1/30 535,000 673,490 
5% 10/1/47 245,000 285,956 
5.25% 10/1/39 250,000 297,472 
Series 2019:   
4% 10/1/34 425,000 512,270 
4% 10/1/36 345,000 414,639 
5% 4/1/32 165,000 225,832 
5% 10/1/39 250,000 320,067 
Series 2020:   
4% 3/1/36 870,000 1,049,936 
4% 3/1/37 425,000 511,048 
4% 11/1/37 1,395,000 1,698,903 
4% 3/1/38 250,000 299,663 
4% 3/1/40 250,000 298,591 
4% 3/1/46 425,000 501,473 
Series 2021:   
4% 10/1/37 250,000 306,601 
4% 10/1/41 1,715,000 2,082,382 
5% 9/1/32 275,000 371,849 
5% 12/1/35 365,000 484,341 
5% 12/1/36 545,000 722,095 
5% 9/1/41 1,550,000 2,060,438 
5% 10/1/41 385,000 506,707 
California Health Facilities Fing. Auth. Rev.:   
Bonds Series 2017 A, 5%, tender 11/1/22 (b) 230,000 240,116 
Series 2012 A, 5% 10/1/33 335,000 347,860 
Series 2015:   
5% 11/15/28 105,000 123,116 
5% 11/15/32 20,000 23,365 
5% 11/15/33 200,000 233,651 
Series 2016 A, 5% 11/15/41 (Pre-Refunded to 11/15/25 @ 100) 840,000 989,806 
Series 2017 A2, 5% 11/1/47 900,000 1,376,646 
Series 2018 A:   
5% 11/15/35 180,000 221,960 
5% 11/15/38 120,000 147,540 
Series 2019, 5% 11/15/49 940,000 1,112,625 
Series 2020 A:   
4% 4/1/37 365,000 436,120 
4% 4/1/38 145,000 172,949 
4% 4/1/40 255,000 301,962 
4% 4/1/45 250,000 290,083 
Series 2021 A, 4% 8/15/48 (e) 2,625,000 3,113,101 
Series 2022 A, 4% 5/15/46 1,215,000 1,407,124 
California Hsg. Fin. Agcy. Series 2019 A, 4.25% 1/15/35 309,507 372,095 
California Infrastructure & Econ. Dev. Series 2019:   
5% 8/1/44 840,000 1,046,901 
5% 8/1/49 695,000 860,440 
California Muni. Fin. Auth. Mobile Home Park Sr. Rev.:   
(Caritas Affordable Hsg., Inc. Proj.) Series 2014 A, 5.25% 8/15/39 85,000 92,128 
(Caritas Affordable Hsg., Inc. Projs.) Series 2014 A, 5.25% 8/15/49 235,000 253,463 
California Muni. Fin. Auth. Rev.:   
(LINXS APM Proj.) Series 2018 A:   
5% 12/31/36 (a) 395,000 472,201 
5% 12/31/43 (a) 2,510,000 2,994,689 
5% 12/31/47 (a) 1,185,000 1,410,996 
Series 2017 A, 5% 2/1/42 300,000 358,885 
California Muni. Fin. Auth. Solid Waste Disp. Rev. Bonds:   
(Republic Svcs., Inc. Proj.) Series 2021 B, 0.3%, tender 1/18/22 (a)(b) 970,000 970,150 
(Waste Mgmt., Inc. Proj.) Series 2020, 0.15%, tender 12/1/21 (a)(b) 245,000 245,000 
California Muni. Fin. Auth. Student Hsg.:   
(CHF-Riverside II, LLC-UCR North District Phase I Student Hsg. Proj.) Series 2019:   
5% 5/15/49 180,000 215,859 
5% 5/15/52 150,000 179,521 
Series 2018:   
5% 5/15/36 250,000 311,258 
5% 5/15/39 300,000 371,897 
5% 5/15/43 300,000 369,156 
California Pub. Fin. Auth.:   
(Enso Village Proj.) Series 2021 B1, 3.125% 5/15/29 (c) 100,000 101,336 
(Enso Villiage Proj.) Series 2021 B2, 2.375% 11/15/28 (c) 90,000 90,958 
Series 2021 A, 5% 11/15/46 (c) 45,000 51,655 
Series 2021 B3, 2.125% 11/15/27 (c) 160,000 161,408 
California Pub. Works Board Lease Rev.:   
(Various Cap. Projs.) Series 2021 B:   
4% 5/1/38 120,000 145,461 
4% 5/1/46 310,000 368,914 
(Various Univ. of California Projs.) Series 2011 G, 5% 12/1/28 (Pre-Refunded to 12/1/21 @ 100) 485,000 485,000 
Series 2013 A, 5% 3/1/38 275,000 289,936 
Series 2014 B, 5% 10/1/34 620,000 695,624 
California School Fin. Auth. Charter School Rev.:   
Series 2016:   
5% 8/1/41 (c) 195,000 219,628 
5% 8/1/41 (Pre-Refunded to 8/1/25 @ 100) (c) 25,000 29,091 
Series 2021 A, 4% 6/1/61(e) 250,000 260,643 
California State Univ. Rev. Series 2019 A, 5% 11/1/44 600,000 768,236 
California Statewide Cmntys. Dev. Auth. Series 2017, 5% 5/15/47 485,000 571,606 
California Statewide Cmntys. Dev. Auth. Rev.:   
(899 Charleston Proj.) Series 2014 A, 5.375% 11/1/49 (c) 210,000 223,448 
(The Terraces at San Joaquin Gardens Proj.) Series 2012 A:   
6% 10/1/42 (Pre-Refunded to 10/1/22 @ 100) 320,000 335,230 
6% 10/1/47 (Pre-Refunded to 10/1/22 @ 100) 50,000 52,380 
Series 2014 A, 5.5% 12/1/54 1,240,000 1,405,818 
Series 2014 B, 5% 7/1/28 (Pre-Refunded to 7/1/24 @ 100) 355,000 397,924 
Series 2016 A:   
5% 12/1/27 (c) 180,000 211,628 
5% 12/1/46 (c) 245,000 280,588 
5.25% 12/1/56 (c) 740,000 851,441 
Series 2018 A:   
5.25% 12/1/48 (c) 105,000 127,528 
5.5% 12/1/58 (c) 1,410,000 1,728,253 
Series 2019 B:   
4% 9/2/29 190,000 212,676 
5% 9/2/34 65,000 78,737 
5% 9/2/39 60,000 72,127 
5% 9/2/44 60,000 71,554 
5% 9/2/49 30,000 35,562 
Series 2021 A:   
3% 4/1/37 350,000 375,557 
4% 9/2/28 15,000 17,055 
4% 9/2/29 15,000 17,189 
4% 9/2/30 20,000 23,136 
4% 9/2/31 15,000 17,464 
4% 9/2/41 100,000 115,263 
4% 9/2/51 60,000 68,004 
Series 2021 B:   
4% 9/2/41 265,000 302,209 
4% 9/2/51 320,000 358,560 
California Statewide Fing. Auth. Series 2002 A, 6% 5/1/43 90,000 90,890 
Chino Valley Unified School District Series 2020 B:   
3.375% 8/1/50 300,000 326,181 
4% 8/1/45 500,000 592,323 
CMFA Spl. Fin. Agcy. Essential Hsg. Rev. Series 2021, 4% 8/1/45 (c) 1,075,000 1,058,768 
Coachella Valley Unified School District Series 2016 F, 5% 8/1/46 300,000 350,670 
Coast Cmnty. College District Series 2017 D, 4.5% 8/1/39 500,000 593,882 
Corona-Norco Unified School District Series 2019 C, 4% 8/1/49 250,000 288,003 
CSCDA Cmnty. Impt. Auth. Essential Hsg. Rev.:   
Series 2021 A, 4% 8/1/56 (c) 285,000 294,931 
Series 2021 A2:   
4% 7/1/56 (c) 525,000 547,068 
4% 9/1/56 (c) 195,000 204,630 
4% 10/1/56 (c) 1,715,000 1,782,842 
Series 2021 B, 4% 3/1/57 (c) 585,000 591,756 
El Monte Union High School District Series 2019, 5% 6/1/49 500,000 603,540 
Escondido Gen. Oblig. Series 2015, 5% 9/1/36 250,000 289,562 
Fontana Unified School District Gen. Oblig. Series 2012 C:   
0% 8/1/35 (Pre-Refunded to 8/1/22 @ 50.022) 250,000 124,895 
0% 8/1/36 (Pre-Refunded to 8/1/22 @ 46.467) 250,000 116,018 
Glendale Cmnty. College District Series 2020 B, 4% 8/1/50 250,000 291,540 
Golden State Tobacco Securitization Corp. Tobacco Settlement Rev.:   
Series 2007 A2, 5.3% 6/1/37 2,005,000 2,049,267 
Series 2015 A:   
5% 6/1/34 (Pre-Refunded to 6/1/25 @ 100) 610,000 706,404 
5% 6/1/35 (Pre-Refunded to 6/1/25 @ 100) 360,000 416,894 
5% 6/1/40 (Pre-Refunded to 6/1/25 @ 100) 250,000 289,510 
Series 2018 A1:   
5% 6/1/33 250,000 304,735 
5% 6/1/47 375,000 383,115 
Inland Empire Tobacco Securitization Auth. Series 2007:   
0% 6/1/57 (c) 17,305,000 1,214,868 
0% 6/1/57 (c) 11,325,000 657,645 
Irvine Reassessment District 12-1 Ltd. Oblig.:   
Series 2012, 4% 9/2/27 20,000 20,486 
Series 2012, 4% 9/2/28 25,000 25,579 
Irvine Unified School District Cmnty. Facilities District Series 2017 D, 5% 3/1/57 320,000 375,034 
Jurupa Unified School District Series 2019 C, 5.25% 8/1/43 250,000 316,427 
Los Angeles Cmnty. College District Series 2015 C, 5% 8/1/25 290,000 338,793 
Los Angeles County Pub. Works Fing. Auth. Lease Rev.:   
(Lacma Bldg. for the Permanent Collection Proj.) Series 2020 A:   
4% 12/1/37 695,000 841,858 
4% 12/1/38 255,000 308,303 
4% 12/1/39 415,000 500,702 
4% 12/1/40 450,000 540,713 
4% 12/1/43 275,000 328,157 
(Multiple Cap. Projs. II) Series 2012:   
5% 8/1/29 245,000 252,888 
5% 8/1/37 245,000 252,888 
(Multiple Cap. Projs.) Series 2015 A, 5% 12/1/33 340,000 384,717 
Series 2019 E1, 5% 12/1/49 275,000 348,778 
Los Angeles Dept. Arpt. Rev.:   
Series 2019 E, 5% 5/15/44 300,000 374,798 
Series 2020 A, 5% 5/15/40 250,000 321,920 
Series 2020 C:   
4% 5/15/50 (a) 450,000 520,049 
5% 5/15/34 (a) 300,000 383,089 
Series A, 5% 5/15/51 (a) 300,000 377,371 
Series F, 5% 5/15/44 (a) 790,000 972,053 
Los Angeles Muni. Impt. Corp. Lease Rev. Series 2012 C:   
5% 3/1/30 (Pre-Refunded to 3/1/22 @ 100) 180,000 182,168 
5% 3/1/31 (Pre-Refunded to 3/1/22 @ 100) 190,000 192,289 
5% 3/1/32 (Pre-Refunded to 3/1/22 @ 100) 85,000 86,024 
Los Angeles Unified School District:   
Series 2018 B1, 5.25% 7/1/42 1,400,000 1,730,475 
Series 2020 C:   
4% 7/1/36 250,000 302,329 
4% 7/1/37 250,000 300,753 
Los Angeles Wastewtr. Sys. Rev. Series 2018 A, 5% 6/1/43 250,000 308,566 
Metropolitan Wtr. District of Southern California Wtr. Rev. Bonds:   
Series 2017 C, SIFMA Municipal Swap Index + 0.140% 0.19%, tender 5/21/24 (b)(d) 370,000 370,050 
Series 2017 D, SIFMA Municipal Swap Index + 0.140% 0.19%, tender 5/21/24 (b)(d) 610,000 610,083 
Series 2017 E, SIFMA Municipal Swap Index + 0.140% 0.19%, tender 7/1/37 (b)(d) 415,000 415,058 
MSR Energy Auth. Gas Rev.:   
Series 2009 A, 6.125% 11/1/29 215,000 267,905 
Series 2009 B, 6.5% 11/1/39 595,000 952,692 
Series 2009 C, 6.5% 11/1/39 290,000 464,337 
Napa Valley Unified School District Series 2019 C, 4% 8/1/44 (FSA Insured) 300,000 340,391 
Northern California Gas Auth. #1 Gas Proj. Rev. Series 2007 B, 3 month U.S. LIBOR + 0.720% 0.808% 7/1/27 (b)(d) 400,000 402,977 
Paramount Unified School District Series 2013, 0% 8/1/43 (Pre-Refunded to 8/1/23 @ 26) 250,000 64,669 
Rancho Cucamonga Redev. Agcy. Series 2014:   
5% 9/1/30 (FSA Insured) 120,000 133,896 
5% 9/1/31 (FSA Insured) 340,000 379,259 
5% 9/1/32 (FSA Insured) 320,000 356,937 
Riverside County Redev. Agcy. Tax Allocation Series 2011 E:   
7% 12/1/31 (Pre-Refunded to 12/1/21 @ 100) 95,000 95,000 
7% 12/1/31 (Pre-Refunded to 12/1/21 @ 100) 20,000 20,000 
7.25% 12/1/40 (Pre-Refunded to 12/1/21 @ 100) 175,000 175,000 
Riverside County Trans. Commission Sales Tax Rev. Series 2017 B, 4% 6/1/36 450,000 520,661 
Riverside County Trans. Commission Toll Rev. Series 2021 B1:   
3% 6/1/49 275,000 290,693 
4% 6/1/37 230,000 276,826 
4% 6/1/39 225,000 269,034 
4% 6/1/40 835,000 996,567 
4% 6/1/41 215,000 255,964 
4% 6/1/46 480,000 565,091 
Riverside Unified School District Gen. Oblig. Series 2019 B, 4% 8/1/42 250,000 287,310 
Sacramento County Arpt. Sys. Rev. Series 2018 C, 5% 7/1/37 (a) 245,000 299,697 
Sacramento Spl. Tax Greenbriar Cmnty. Facilities District No. 2018-03 Area No. 1 Series 2021:   
4% 9/1/41 120,000 136,335 
4% 9/1/46 145,000 163,387 
Sacramento TOT Rev. Series 2018 A, 5% 6/1/30 250,000 304,574 
San Bernardino Cmnty. College District Series 2019 A, 3% 8/1/41 (Pre-Refunded to 8/16/27 @ 100) 250,000 284,221 
San Diego County Reg'l. Arpt. Auth. Arpt. Rev.:   
Series 2013 B, 5% 7/1/43 (Pre-Refunded to 7/1/23 @ 100) (a) 850,000 912,053 
Series 2021 B, 4% 7/1/56 (a)(e) 1,000,000 1,149,544 
San Francisco Bay Area Rapid Transit Fing. Auth. Series 2020, 3% 8/1/50 1,000,000 1,069,244 
San Francisco City & County Arpts. Commission Int'l. Arpt. Rev.:   
Second Series 2019 A, 5% 5/1/44 (a) 1,785,000 2,194,322 
Series 2017 A, 5% 5/1/47 (a) 250,000 298,614 
Series 2018 D, 5% 5/1/48 (a) 250,000 302,243 
Series 2019 A:   
5% 5/1/38 (a) 250,000 309,653 
5% 5/1/49 (a) 300,000 367,352 
Series 2019 E:   
5% 5/1/35 (a) 250,000 311,332 
5% 5/1/37 (a) 250,000 310,133 
5% 5/1/50 (a) 450,000 550,918 
Series 2019 F, 5% 5/1/50 800,000 986,288 
Series 2020 A, 5% 5/1/38 (a) 760,000 960,811 
San Marcos Redev. Agcy. Successor Series 2015 A:   
5% 10/1/30 190,000 220,041 
5% 10/1/33 135,000 156,224 
San Mateo Cmnty. Facilities District No. 2008 1 Spl. Tax Series 2012:   
5.875% 9/1/32 165,000 170,230 
6% 9/1/42 90,000 92,714 
Santa Margarita Wtr. District Spl. Tax Series 2013, 5.625% 9/1/43 145,000 154,944 
Santa Monica Cmnty. College District Gen. Oblig. Series 2018 A, 4% 8/1/47 300,000 348,183 
Solano Cmnty. College District Series 2017, 5.25% 8/1/42 (Pre-Refunded to 8/15/27 @ 100) 350,000 439,707 
Successor Agcy. to the Inland Valley Dev. Agcy. Tax Allocation Series 2014 A:   
5% 9/1/44 (FSA Insured) 235,000 256,906 
5.25% 9/1/37 500,000 546,128 
Tobacco Securitization Auth. Northern California Tobacco Settlement Rev. Series 2021 B2, 0% 6/1/60 1,275,000 313,785 
Tobacco Securitization Auth. Southern California Tobacco Settlement:   
Series 2006 2C, 0% 6/1/46 1,945,000 378,080 
Series 2006 3D, 0% 6/1/46 320,000 57,925 
Tulare County Trans. Auth. Sales Tax Rev. Series 2020, 4% 2/1/37 250,000 297,585 
Univ. of California Revs.:   
Series 2017 M, 5% 5/15/47 610,000 736,443 
Series 2018 AZ:   
5% 5/15/43 250,000 309,053 
5.25% 5/15/58 250,000 312,106 
Series 2018 O, 5.5% 5/15/58 1,825,000 2,307,886 
Series 2020 BE, 4% 5/15/47 210,000 246,586 
West Sacramento Fing. Auth. Spl. Tax Rev. Series 2006 A, 5% 9/1/34 120,000 160,846 
TOTAL CALIFORNIA  115,973,088 
Colorado - 0.7%   
Aerotropolis Reg'l. Trans. Auth. Spl. Rev. Series 2021, 4.375% 12/1/52 1,105,000 1,123,896 
Arista Metropolitan District Broomfield Gen. Oblig. and Spl. Rev. Series 2018 A, 5.125% 12/1/48 500,000 534,600 
Berthoud-Heritage Metropolitan District No. 1 Ltd. Tax Supported Rev. Series 2019, 5.625% 12/1/48 525,000 569,606 
Colorado Ctfs. of Prtn. Series 2021 A:   
4% 12/15/35 280,000 344,907 
4% 12/15/36 280,000 344,342 
4% 12/15/38 280,000 342,747 
Colorado Health Facilities Auth.:   
(Adventist Health Sys. / Sunbelt Obligated Group) Series 2016 A, 5% 11/15/41 610,000 714,965 
(Christian Living Neighborhoods Proj.) Series 2016:   
5% 1/1/31 80,000 86,093 
5% 1/1/37 100,000 107,020 
(Frasier Meadows Retirement Cmnty. Proj.) Series 2017 B:   
5% 5/15/33 100,000 106,540 
5% 5/15/39 135,000 143,829 
Series 2019 A:   
4% 11/15/43 345,000 404,728 
5% 11/1/44 1,215,000 1,509,147 
Series 2019 A2:   
4% 8/1/49 720,000 820,360 
5% 8/1/44 345,000 423,826 
Series 2021 A, 4% 11/15/46 400,000 477,985 
Colorado Health Facilities Auth. Rev.:   
(Mental Health Ctr. of Denver Proj.) Series 2014, 5.75% 2/1/44 215,000 231,178 
(Sunny Vista Living Ctr. Proj.) Series 2015 A:   
5.75% 12/1/35 (c) 100,000 96,229 
6.125% 12/1/45 (c) 400,000 387,297 
6.25% 12/1/50 (c) 350,000 340,781 
Series 2013 A, 5.25% 1/1/40 (Pre-Refunded to 1/1/23 @ 100) 875,000 921,822 
Series 2013, 8% 8/1/43 245,000 259,254 
Colorado High Performance Trans. Enterprise C-470 Express Lanes Sr. Rev. Series 2017:   
5% 12/31/47 425,000 479,998 
5% 12/31/51 945,000 1,065,745 
5% 12/31/56 1,385,000 1,559,705 
Colorado Int'l. Ctr. Metropolitan District No. 14 Ltd. Tax Gen. Oblig. Series 2018, 5.875% 12/1/46 500,000 537,975 
Colorado Reg'l. Trans. District (Denver Transit Partners Eagle P3 Proj.) Series 2020, 4% 7/15/40 300,000 393,057 
Colorado Reg'l. Trans. District Ctfs. of Prtn. Series 2014 A, 4.5% 6/1/44 275,000 288,026 
Colorado Reg'l. Trans. District Sales Tax Rev. (Fastracks Proj.) Series 2016 A, 5% 11/1/46 610,000 712,731 
Denver City & County Arpt. Rev.:   
Series 2013 B, 5% 11/15/43 150,000 162,670 
Series 2018 A:   
5% 12/1/25 (a) 250,000 291,398 
5% 12/1/35 (a) 350,000 428,423 
5% 12/1/43 (a) 685,000 832,701 
5% 12/1/48 (a) 305,000 368,386 
5.25% 12/1/48 (a) 1,950,000 2,387,146 
Denver City & County Spl. Facilities Arpt. Rev. (United Airlines, Inc. Proj.) Series 2017, 5% 10/1/32 (a) 1,955,000 2,066,556 
E-470 Pub. Hwy. Auth. Rev. Bonds Series 2021 B, U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.350% 0.384%, tender 9/1/24 (b)(d) 250,000 250,516 
Park Creek Metropolitan District Sr. Ltd. Property Tax Supported Rev. Series 2015 A, 5% 12/1/45 1,185,000 1,334,819 
Pub. Auth. For Colorado Energy Rev. Series 2008:   
6.25% 11/15/28 365,000 456,627 
6.5% 11/15/38 1,725,000 2,677,791 
Pueblo Urban Renewal Auth. Tax Increment Rev. (Evraz Proj.) Series 2021 A, 4.75% 12/1/45 (c) 245,000 277,350 
Rampart Range Metropolitan District No. 5 Ltd. Tax Supported & Spl. Rev. Series 2021, 4% 12/1/51 540,000 552,298 
Vauxmont Metropolitan District Series 2020:   
5% 12/1/32 (FSA Insured) 45,000 57,476 
5% 12/1/35 (FSA Insured) 20,000 25,426 
5% 12/1/50 (FSA Insured) 90,000 111,740 
TOTAL COLORADO  27,609,712 
Connecticut - 0.3%   
Connecticut Gen. Oblig.:   
Series 2015 B, 5% 6/15/35 285,000 327,252 
Series 2017 A, 5% 4/15/35 250,000 301,548 
Series 2018 E:   
5% 9/15/35 290,000 363,788 
5% 9/15/37 250,000 312,607 
Series 2018 F, 5% 9/15/28 300,000 380,195 
Series 2021 A:   
3% 1/15/32 275,000 308,543 
3% 1/15/35 250,000 278,530 
Connecticut Health & Edl. Facilities Auth. Rev.:   
(Church Home of Hartford, Inc. Proj.) Series 2016 A:   
5% 9/1/46 (c) 100,000 110,461 
5% 9/1/53 (c) 100,000 110,132 
Series 2012 J, 5% 7/1/42 935,000 960,543 
Series 2016 F:   
5% 7/1/31 240,000 273,619 
5% 7/1/32 250,000 284,312 
5% 7/1/33 160,000 181,733 
5% 7/1/34 110,000 124,787 
5% 7/1/43 620,000 695,526 
Series 2019, 4% 7/1/44 405,000 448,322 
Series L1:   
4% 7/1/22 25,000 25,528 
4% 7/1/23 40,000 42,245 
Series N:   
4% 7/1/39 300,000 336,088 
4% 7/1/49 440,000 484,775 
Connecticut Hsg. Fin. Auth. Series 2018 C1, 4% 11/15/45 250,000 272,732 
Connecticut Spl. Tax Oblig. Trans. Infrastructure Rev.:   
Series 2014 A, 5% 9/1/30 250,000 280,456 
Series 2016 A:   
5% 9/1/31 400,000 478,330 
5% 9/1/33 300,000 357,666 
Series 2018 A:   
5% 1/1/31 250,000 310,578 
5% 1/1/33 765,000 944,801 
Series 2020 A:   
4% 5/1/39 250,000 297,620 
5% 5/1/32 275,000 357,682 
Hamden Gen. Oblig. (Whitney Ctr. Proj.) Series 2019:   
5% 1/1/40 545,000 589,793 
5% 1/1/50 565,000 606,488 
Hartford Gen. Oblig. Series 2015 C, 5% 7/15/32 (FSA Insured) 250,000 286,675 
Steelpointe Hbr. Infrastructure Impt. District (Steelpointe Hbr. Proj.) Series 2021, 4% 4/1/51 (c) 100,000 104,096 
Waterbury Gen. Oblig. Series 2013, 5% 12/1/32 (Pre-Refunded to 12/1/23 @ 100) 120,000 131,262 
TOTAL CONNECTICUT  11,368,713 
Delaware - 0.3%   
Delaware Econ. Dev. Auth. Retirement Communitites Rev. Series 2018 B, 5% 11/15/48 730,000 836,402 
Delaware Health Facilities Auth. Rev.:   
(Beebe Med. Ctr. Proj.) Series 2018:   
5% 6/1/37 60,000 72,910 
5% 6/1/43 775,000 932,477 
5% 6/1/48 740,000 884,663 
5% 6/1/50 205,000 244,677 
(Nanticoke Memorial Hosp. Proj.) Series 2013:   
5% 7/1/28 (Pre-Refunded to 7/1/23 @ 100) 245,000 262,603 
5% 7/1/32 (Pre-Refunded to 7/1/23 @ 100) 195,000 209,010 
Series 2020 A:   
4% 10/1/49 1,010,000 1,176,660 
5% 10/1/34 250,000 320,150 
5% 10/1/35 250,000 319,738 
5% 10/1/37 300,000 382,315 
5% 10/1/38 250,000 318,078 
5% 10/1/45 1,220,000 1,531,383 
Delaware Trans. Auth. Grant Series 2020:   
5% 9/1/33 150,000 195,454 
5% 9/1/34 245,000 318,598 
5% 9/1/35 120,000 155,701 
Kent County Student Hsg. & Dining Facility Rev. (CHF Dover, L.L.C. Delaware State Univ. Proj.) Series 2018 A:   
5% 7/1/32 15,000 17,176 
5% 7/1/40 70,000 79,055 
5% 7/1/48 180,000 201,142 
5% 7/1/53 265,000 295,343 
5% 7/1/58 225,000 250,101 
Sussex County Rev. (Cadbury at Lewes Proj.) Series 2016, 5% 1/1/36 645,000 699,453 
The Delaware Econ. Dev. Auth. Charter School Rev. (Newark Charter School, Inc. Proj.) Series 2020:   
4% 9/1/30 15,000 17,221 
5% 9/1/40 80,000 99,265 
5% 9/1/50 105,000 128,275 
TOTAL DELAWARE  9,947,850 
District Of Columbia - 0.5%   
District of Columbia Rev.:   
(Ingleside at Rock Creek Proj.) Series 2017 A:   
5% 7/1/32 220,000 237,587 
5% 7/1/37 235,000 252,681 
5% 7/1/42 395,000 422,667 
5% 7/1/52 905,000 964,648 
Series 2009 A:   
5.125% 1/1/35 95,000 99,271 
5.25% 1/1/39 60,000 62,718 
Series 2009, 5% 7/1/42 (Pre-Refunded to 7/1/22 @ 100) 535,000 549,934 
Series 2012 A:   
5% 6/1/32 (Pre-Refunded to 12/1/22 @ 100) 130,000 136,130 
5% 6/1/42 (Pre-Refunded to 12/1/22 @ 100) 250,000 261,788 
Series 2016 A:   
5% 6/1/36 180,000 204,174 
5% 6/1/41 120,000 135,257 
5% 6/1/46 175,000 196,299 
Series 2019:   
4% 7/1/39 420,000 478,683 
4% 7/1/44 60,000 67,612 
4% 7/1/49 670,000 749,462 
Series 2020, 5% 6/1/50 120,000 141,330 
District of Columbia Tax Increment Rev. (Union Market Infastructure Proj.) Series 2021 A, 0% 6/1/46 (c)(f) 215,000 179,208 
District of Columbia Tobacco Settlement Fing. Corp.:   
Series 2006 A, 0% 6/15/46 3,895,000 860,533 
Series 2006 B, 0% 6/15/46 1,395,000 254,951 
District of Columbia Wtr. & Swr. Auth. Pub. Util. Rev.:   
Series 2013 A, 5% 10/1/48 (Pre-Refunded to 10/1/23 @ 100) 690,000 749,873 
Series 2015 B, 5% 10/1/37 410,000 475,790 
Metropolitan Washington Arpts. Auth. Dulles Toll Road Rev.:   
(Dulles Metrorail And Cap. Impt. Proj.) Series 2019 B, 4% 10/1/53 (FSA Insured) 130,000 148,119 
(Dulles Metrorail and Cap. Impt. Projs.) Series 2019 A, 5% 10/1/44 1,250,000 1,545,326 
(Dulles Metrorail And Cap. Impt. Projs.) Series 2019 B, 4% 10/1/49 490,000 553,987 
(Dulles Metrorail and Cap. Impt. Projs.) Series 2019 B, 5% 10/1/34 85,000 106,259 
Series 2009 B:   
0% 10/1/37 775,000 543,623 
0% 10/1/38 605,000 409,196 
0% 10/1/39 120,000 78,783 
0% 10/1/40 305,000 194,737 
Series 2009 C, 6.5% 10/1/41 (Assured Guaranty Corp. Insured) 310,000 393,589 
Series 2010 B, 6.5% 10/1/44 1,360,000 1,805,564 
Metropolitan Washington DC Arpts. Auth. Sys. Rev.:   
Series 2018 A:   
5% 10/1/43 (a) 1,645,000 2,003,536 
5% 10/1/48 (a) 1,180,000 1,428,148 
Series 2021 A:   
5% 10/1/29 (a) 300,000 382,133 
5% 10/1/46 (a) 485,000 615,914 
Washington D.C. Metropolitan Transit Auth. Rev. Series 2018, 5% 7/1/43 610,000 732,326 
TOTAL DISTRICT OF COLUMBIA  18,421,836 
Florida - 1.5%   
Alachua County Health Facilities Auth. Continuing Care Retirement Cmnty. Rev. (Oak Hammock at the Univ. of Florida, Inc. Proj.) Series 2012 A, 8% 10/1/42 120,000 129,854 
Alachua County Health Facilities Auth. Health Facilities Rev.:   
(East Ridge Retirement Villiage, Inc. Proj.) Series 2014:   
6% 11/15/34 330,000 317,520 
6.375% 11/15/49 575,000 555,723 
Series 2014 A, 5% 12/1/44 1,625,000 1,816,036 
Series 2019 A, 4% 12/1/49 610,000 696,998 
Boggy Creek Impt. District Spl. Assessment Rev. Series 2013, 5.125% 5/1/43 580,000 606,212 
Brevard County Health Facilities Auth. Health Care Facilities Rev. (Health First, Inc. Proj.) Series 2014, 5% 4/1/39 365,000 400,927 
Broward County Arpt. Sys. Rev.:   
Series 2013 C, 5.25% 10/1/30 (Pre-Refunded to 10/1/23 @ 100) 570,000 621,511 
Series 2019 A:   
4% 10/1/49 (a) 935,000 1,070,130 
5% 10/1/33 (a) 15,000 18,887 
Cap. Projs. Fin. Auth. Student Hsg. Rev. (Cap. Projs. Ln. Prog. - Florida Univs.) Series 2020 A:   
5% 10/1/30 100,000 124,537 
5% 10/1/34 100,000 122,624 
Cap. Trust Agcy. Student Hsg. Rev. Series 2018 A, 5.25% 12/1/58 (c) 555,000 633,289 
Celebration Pointe Cmnty. Dev. District No. 1 Spl. Assessment Rev.:   
Series 2014:   
4.75% 5/1/24 35,000 37,513 
5.125% 5/1/45 60,000 63,564 
Series 2017:   
5% 5/1/32 (c) 70,000 78,294 
5% 5/1/48 (c) 190,000 209,050 
Series 2021:   
3.375% 5/1/41 100,000 101,615 
4% 5/1/53 250,000 260,854 
Central Florida Expressway Auth. Sr. Lien Rev.:   
Series 2016 B, 5% 7/1/34 220,000 259,952 
Series 2017, 5% 7/1/42 635,000 767,106 
Series 2019 A, 5% 7/1/33 15,000 19,148 
Series 2021, 4% 7/1/34 (FSA Insured) 475,000 585,710 
County Wtr.-Swr. District Collier County Wtr. Rev. Series 2021:   
4% 7/1/40 1,015,000 1,238,941 
4% 7/1/44 610,000 735,629 
Davie Edl. Facilities Rev. (Nova Southeastern Univ. Proj.):   
Series 2013 A, 6% 4/1/42 (Pre-Refunded to 4/1/23 @ 100) 1,190,000 1,280,016 
Series 2018, 5% 4/1/38 345,000 418,426 
Double Branch Cmnty. Dev. District Spl. Assessment Series 2013 A1, 4% 5/1/25 15,000 15,702 
Fishhawk Cmnty. Dev. District IV Spl. Assessment Rev. Series 2013 A, 7.25% 5/1/43 130,000 139,351 
Florida Dept. of Trans. Tpk. Rev. Series 2021 C, 3% 7/1/35 250,000 281,092 
Florida Dev. Fin. Corp. Solid Waste Disp. Rev. Series 2021, 3% 6/1/32 (a) 245,000 256,512 
Florida Dev. Fin. Corp. Surface T:   
Bonds (Virgin Trains U.S.A. Passenger Rail Proj.) Series 2019 A, 6.5%, tender 1/1/29 (a)(b)(c) 385,000 392,911 
Series 2019 B, 7.375% 1/1/49 (a)(c) 1,065,000 1,161,031 
Florida Gen. Oblig. Series 2019 A:   
4% 7/1/33 290,000 345,343 
4% 7/1/34 420,000 499,379 
Florida Higher Edl. Facilities Fing. Auth.:   
(Jacksonville Univ. Proj.) Series 2018 A1:   
4.5% 6/1/33 (c) 245,000 283,648 
4.75% 6/1/38 (c) 450,000 521,481 
5% 6/1/48 (c) 1,270,000 1,465,902 
(Nova Southeastern Univ. Proj.) Series 2016:   
5% 4/1/30 70,000 81,827 
5% 4/1/31 160,000 187,002 
5% 4/1/32 105,000 122,534 
5% 4/1/36 60,000 69,752 
Florida Keys Aqueduct Auth. Wtr. Rev. Series 2019 A, 5% 9/1/49 250,000 283,596 
Florida State Dept. Trans. Fing. Corp. Series 2020:   
3% 7/1/32 250,000 280,893 
3% 7/1/33 250,000 279,945 
Gainesville Utils. Sys. Rev. Series 2019 A, 5% 10/1/44 275,000 345,734 
Greater Orlando Aviation Auth. Arpt. Facilities Rev.:   
Series 2017 A:   
5% 10/1/32 (a) 120,000 145,383 
5% 10/1/47 (a) 1,825,000 2,192,544 
5% 10/1/52 (a) 180,000 215,788 
Series 2019 A:   
5% 10/1/32 (a) 250,000 315,275 
5% 10/1/44 (a) 670,000 827,286 
Hillsborough County Port District (Tampa Port Auth. Proj.) Series 2018 B:   
5% 6/1/30 (a) 100,000 121,622 
5% 6/1/31 (a) 105,000 127,275 
5% 6/1/46 (a) 610,000 722,345 
Jacksonville Edl. Facilities Rev. (Jacksonville Univ. Proj.) Series 2018 B, 5% 6/1/53 (c) 1,030,000 1,185,539 
Jacksonville Elec. Auth. Elec. Sys. Rev.:   
Series 2017 B, 4% 10/1/36 250,000 289,420 
Series 2020 A, 4% 10/1/37 610,000 726,228 
Jacksonville Sales Tax Rev. Series 2012 A, 5% 10/1/30 365,000 379,292 
Jacksonville Trans. Rev. Series 2012 A:   
5% 10/1/30 (Pre-Refunded to 10/1/22 @ 100) 300,000 311,945 
5% 10/1/31 (Pre-Refunded to 10/1/22 @ 100) 230,000 239,158 
Lake County Retirement Facilities Rev. (Lakeside At Waterman Village Proj.) Series 2020 A, 5.75% 8/15/50 100,000 113,158 
Lakewood Ranch Stewardship District Spl. Assessment Rev.:   
(Lakewood Centre & NW Sector Projs.) Series 2018:   
5.5% 5/1/39 (c) 75,000 87,108 
5.65% 5/1/48 (c) 90,000 104,584 
(Lakewood Nat'l. and Polo Run Projs.) Series 2017:   
4% 5/1/22 5,000 5,048 
5.25% 5/1/37 220,000 246,897 
5.375% 5/1/47 450,000 503,076 
(Northeast Sector Proj. - Phase 1B) Series 2018:   
5.3% 5/1/39 60,000 69,370 
5.45% 5/1/48 105,000 120,411 
(Villages of Lakewood Ranch South Proj.) Series 2016:   
5% 5/1/36 110,000 120,231 
5.125% 5/1/46 215,000 234,566 
Lee County Arpt. Rev. Series 2021 B:   
5% 10/1/34 (a) 250,000 325,443 
5% 10/1/35 (a) 250,000 324,937 
5% 10/1/39 (a) 250,000 322,197 
Lee County Indl. Dev. Auth. Health Care Facilities Rev. (The Preserve Proj.) Series 2017 A:   
5.625% 12/1/37 (c) 100,000 104,573 
5.75% 12/1/52 (c) 500,000 516,622 
Lee Memorial Health Sys. Hosp. Rev. Series 2019 A1:   
5% 4/1/39 165,000 204,506 
5% 4/1/44 885,000 1,087,160 
Martin County Health Facilities Series 2015, 5% 11/15/45 (Pre-Refunded to 11/15/24 @ 100) 455,000 516,216 
Miami-Dade County Series 2021 A1, 4% 10/1/45 (FSA Insured) (a) 1,240,000 1,461,656 
Miami-Dade County Aviation Rev.:   
Series 2012 A:   
5% 10/1/28 (Pre-Refunded to 10/1/22 @ 100) (a) 435,000 452,033 
5% 10/1/31 (Pre-Refunded to 10/1/22 @ 100) (a) 730,000 758,585 
Series 2016 A, 5% 10/1/41 700,000 832,158 
Miami-Dade County Edl. Facilities Rev.:   
Series 2015 A:   
5% 4/1/40 1,380,000 1,559,538 
5% 4/1/45 610,000 686,112 
Series 2018 A, 5% 4/1/53 1,215,000 1,453,606 
Miami-Dade County Health Facilities Auth. Hosp. Rev. (Nicklaus Children's Hosp. Proj.):   
Series 2017, 5% 8/1/42 170,000 203,299 
Series 2021 A, 4% 8/1/51 500,000 583,499 
Miami-Dade County Transit Sales Surtax Rev. Series 2020 A, 4% 7/1/48 500,000 582,640 
Miami-Dade County Wtr. & Swr. Rev.:   
Series 2017 B, 5% 10/1/31 250,000 290,631 
Series 2017 C, 4% 10/1/44 250,000 284,087 
Series 2019 B, 5% 10/1/44 325,000 408,321 
Series 2021, 4% 10/1/48 835,000 990,308 
North Sumter County Util. Dependent District (Sumter Wtr. Conservation Auth. Proj.) Series 2021:   
5% 10/1/46 (FSA Insured) 250,000 322,389 
5% 10/1/52 (FSA Insured) 300,000 384,485 
Orange County Health Facilities Auth.:   
Series 2016 A, 5% 10/1/39 770,000 908,171 
Series 2019 A, 5% 10/1/47 425,000 522,205 
Orlando & Orange County Expressway Auth. Rev. Series 2013 A, 5% 7/1/32 (Pre-Refunded to 7/1/23 @ 100) 185,000 198,567 
OTC Cmnty. Dev. District Jacksonville Spl. Assessment Series 2007 A, 5.3% 5/1/38 160,000 160,219 
Palm Beach County Health Facilities Series 2018 A, 5% 11/15/45 315,000 361,569 
Palm Beach County Health Facilities Auth. Hosp. Rev. Series 2019, 4% 8/15/49 900,000 1,032,259 
Palm Beach County Health Facilities Auth. Rev.:   
(Sinai Residences of Boca Raton Proj.) Series 2014 A:   
7.25% 6/1/34 85,000 88,893 
7.5% 6/1/49 390,000 407,761 
Series 2022, 4.25% 6/1/56 (e) 830,000 862,742 
Putnam County Dev. Auth. Poll. Cont. Rev. (Seminole Elec. Coop., Inc. Proj.) Series 2018 A, 5% 3/15/42 250,000 299,402 
Reedy Creek Impt. District Series 2013 A, 5% 6/1/26 (Pre-Refunded to 6/1/23 @ 100) 365,000 390,977 
Sarasota County Health Facilities Auth. Retirement Facility Rev. (Village On The Isle Proj.) Series 2017 A:   
5% 1/1/37 85,000 91,666 
5% 1/1/42 95,000 102,146 
5% 1/1/47 195,000 209,212 
5% 1/1/52 410,000 439,446 
Sarasota County Pub. Hosp. District Hosp. Rev. (Sarasota Memorial Hosp. Proj.) Series 2018, 5% 7/1/41 1,215,000 1,487,530 
Sarasota County Util. Sys. Rev. Series 2019 A, 5% 10/1/40 250,000 312,750 
Sawyers Landing Cmnty. Dev. District Spl. Assessment Rev. Series 2021:   
4.125% 5/1/41 185,000 200,376 
4.25% 5/1/53 245,000 263,691 
Seminole County Indl. Dev. Auth. Retirement Facility Rev. (Legacy Pointe At UCF Proj.) Series 2019 A, 5.5% 11/15/49 460,000 509,990 
South Miami Health Facilities Auth. Hosp. Rev. (Baptist Med. Ctr., FL. Proj.) Series 2017:   
5% 8/15/42 450,000 546,154 
5% 8/15/47 1,000,000 1,209,968 
Sumter County Indl. Dev. Auth. Hosp. Rev. (Central Florida Health Alliance Projs.) Series 2014 A, 5.25% 7/1/44 375,000 407,072 
Tampa Rev. (The Univ. of Tampa Proj.) Series 2015:   
5% 4/1/40 150,000 169,094 
5% 4/1/45 370,000 415,133 
Tampa-Hillsborough County Expressway Auth. Rev. Series 2017, 5% 7/1/47 1,825,000 2,187,162 
The Crossings at Fleming Island Cmnty. Dev. District Spl. Assessment Series 2014 A1, 4.5% 5/1/30 25,000 25,985 
Viera Stewardship District Spl. Assessment Rev. (Village 2 - Series 2021 Proj.) Series 2021, 4% 5/1/53 160,000 168,731 
Village Cmnty. Dev. District Series 2020, 3.5% 5/1/40 (FSA Insured) 250,000 278,354 
Village Cmnty. Dev. District # 10. Spl. Assessment Rev.:   
Series 2012:   
5% 5/1/32 130,000 132,037 
5.125% 5/1/43 250,000 254,109 
Series 2014:   
5.125% 5/1/24 100,000 105,543 
5.75% 5/1/31 195,000 207,059 
6% 5/1/44 255,000 271,733 
Village Cmnty. Dev. District # 9 Series 2012:   
5.25% 5/1/31 70,000 70,930 
5.5% 5/1/42 90,000 91,218 
West Palm Beach Cmnty. Redev. Agcy. Tax Increment Rev. Series 2019:   
5% 3/1/34 350,000 437,277 
5% 3/1/35 300,000 373,963 
TOTAL FLORIDA  60,443,345 
Georgia - 1.0%   
Atlanta Arpt. Rev.:   
Series 2014 B, 5% 1/1/33 305,000 333,096 
Series 2019 B, 4% 7/1/49 (a) 305,000 347,779 
Atlanta Dev. Auth. Rev. (New Downtown Atlanta Stadium Proj.) Series 2015 A1:   
5.25% 7/1/40 275,000 315,723 
5.25% 7/1/44 1,335,000 1,531,757 
Atlanta Dev. Auth. Sr. Health Care Facilities Current Interest Rev. (Georgia Proton Treatment Ctr. Proj.) Series 2017 A1:   
6.5% 1/1/29 180,000 136,573 
6.75% 1/1/35 1,110,000 832,373 
7% 1/1/40 1,210,000 893,495 
Bibb County Dev. Auth. Rev. Series 2011 A, 5.75% 7/1/40 (FSA Insured) 290,000 291,262 
Brookhaven Dev. Auth. Rev. Series 2019 A, 4% 7/1/44 250,000 291,403 
Burke County Indl. Dev. Auth. Poll. Cont. Rev. Bonds (Oglethorpe Pwr. Corp. Vogtle Proj.) Series 2013 A, 1.5%, tender 2/3/25 (b) 250,000 256,441 
Coweta County Dev. Auth. Rev. (Piedmont Healthcare, Inc. Proj.) Series 2019 A, 5% 7/1/44 250,000 311,151 
Dalton Gen. Oblig. Series 2018, 5% 2/1/42 1,035,000 1,281,779 
Fulton County Dev. Auth. (Robert W. Woodruff Arts Ctr., Inc. Proj.) Series 2015 A, 5% 3/15/36 320,000 366,717 
Fulton County Dev. Auth. Hosp. Rev. (Wellstar Health Sys., Inc. Proj.) Series 2017 A:   
5% 4/1/37 160,000 191,369 
5% 4/1/42 600,000 716,995 
5% 4/1/47 250,000 297,321 
Fulton County Dev. Auth. Rev.:   
(Piedmont Healthcare, Inc. Proj.) Series 2019 A, 4% 7/1/49 1,335,000 1,536,432 
(Robert W. Woodruff Arts Ctr., Inc. Proj.) Series 2019 A, 5% 3/15/44 445,000 532,574 
Fulton County Residential Care Facilities (Canterbury Court Proj.):   
Series 2019 A:   
5% 4/1/47 (c) 210,000 233,288 
5% 4/1/54 (c) 165,000 182,796 
Series 2021 A:   
4% 4/1/41 (c) 180,000 193,335 
4% 4/1/51 (c) 515,000 545,855 
Gainesville & Hall County Dev. Auth. Retirement Cmnty. Rev. Series 2016, 5% 11/15/33 245,000 288,473 
Gainesville & Hall County Hosp. Auth. Rev. (Northeast Georgia Health Sys., Inc. Proj.):   
Series 2014 A, 5.25% 8/15/49 (Pre-Refunded to 2/15/25 @ 100) 1,585,000 1,823,945 
Series 2017 A:   
5% 2/15/42 330,000 393,403 
5% 2/15/45 335,000 398,291 
Series 2017 B, 5.5% 2/15/42 605,000 728,655 
Georgia Gen. Oblig.:   
Series 2020 A, 5% 8/1/32 250,000 330,975 
Series 2021 A, 5% 7/1/33 1,115,000 1,508,585 
Georgia Muni. Elec. Auth. Pwr. Rev.:   
Series 2015 A, 5% 1/1/35 250,000 281,020 
Series 2018 A:   
5% 1/1/26 85,000 99,628 
5% 1/1/27 155,000 186,594 
5% 1/1/28 45,000 55,492 
Series 2018 HH:   
5% 1/1/26 440,000 515,719 
5% 1/1/27 250,000 300,957 
5% 1/1/28 260,000 320,622 
Series 2019 A:   
5% 1/1/49 2,470,000 3,001,676 
5% 1/1/56 250,000 303,009 
5% 1/1/59 300,000 363,820 
Series 2019 B, 5% 1/1/59 250,000 303,183 
Series 2021 A:   
4% 1/1/51 275,000 311,611 
5% 1/1/62 (FSA Insured) 300,000 367,518 
Georgia Road & Thruway Auth. Rev. Series 2021 A, 4% 7/15/46 570,000 693,407 
Glynn-Brunswick Memorial Hosp. Auth. Rev. (Southeast Georgia Health Sys. Proj.) Series 2017, 5% 8/1/47 300,000 354,097 
Griffin-Spalding County Hosp. (Wellstar Health Sys., Inc. Proj.) Series 2017 A, 5% 4/1/37 180,000 215,290 
Hosp. Auth. of Savannah Auth. Rev. Series 2013 A, 5.5% 7/1/31 225,000 242,936 
Macon-Bibb County Urban Dev. Auh. Series 2017 A:   
5% 6/15/27 (c) 20,000 21,780 
5.75% 6/15/37 (c) 95,000 109,965 
5.875% 6/15/47 (c) 150,000 172,257 
6% 6/15/52 (c) 95,000 109,437 
Main Street Natural Gas, Inc.:   
Bonds:   
Series 2018 C, 4%, tender 12/1/23 (b) 780,000 831,288 
Series 2019 B, 4%, tender 12/2/24 (b) 340,000 373,798 
Series 2019 C, 4%, tender 9/1/26 (b) 860,000 978,084 
Series 2021 A, 4%, tender 9/1/27 (b) 1,000,000 1,155,586 
Series 2021 C, 4%, tender 12/1/28 (b) 805,000 949,748 
Series 2019 A:   
5% 5/15/31 485,000 603,393 
5% 5/15/32 305,000 377,849 
5% 5/15/49 180,000 268,855 
Marietta Dev. Auth. Rev.:   
(Life Univ., Inc. Proj.) Series 2017 A:   
5% 11/1/27 (c) 210,000 233,373 
5% 11/1/37 (c) 170,000 190,053 
(Life Univ., Inc. Proj.) Series 2017 A, 5% 11/1/47 (c) 670,000 737,526 
Private Colleges & Univs. Auth. Rev.:   
(The Savannah College of Art & Design Projs.) Series 2021, 4% 4/1/44 250,000 292,703 
Series 2016 A, 4% 10/1/46 1,145,000 1,291,765 
Series 2016 B, 5% 10/1/38 355,000 421,643 
Series 2020 B, 4% 9/1/40 925,000 1,104,116 
Savannah Econ. Dev. Auth. Rev. (The Marshes of Skidaway Island Proj.) Series 2013, 7.25% 1/1/44 (Pre-Refunded to 1/1/24 @ 100) 580,000 660,558 
World Congress Ctr. Auth. Convention Ctr. Hotel Second Tier Rev.:   
Series 2021 A:   
2.375% 1/1/31 170,000 177,191 
4% 1/1/36 285,000 329,239 
4% 1/1/54 1,845,000 2,090,508 
Series 2021 B:   
3.625% 1/1/31 (c) 100,000 108,779 
5% 1/1/36 (c) 200,000 238,557 
5% 1/1/54 (c) 1,465,000 1,703,570 
TOTAL GEORGIA  40,540,041 
Guam - 0.0%   
Guam Govt. Bus. Privilege Tax Rev.:   
Series 2021 F:   
4% 1/1/42 295,000 333,012 
5% 1/1/30 60,000 74,919 
5% 1/1/31 60,000 76,558 
Series 2021, 4% 1/1/36 275,000 317,441 
Guam Pwr. Auth. Rev. Series 2012 A, 5% 10/1/30 (FSA Insured) 250,000 258,735 
Guam Wtrwks. Auth. Wtr. and Wastewtr. Sys. Rev. Series 2020 A, 5% 1/1/50 225,000 275,195 
TOTAL GUAM  1,335,860 
Hawaii - 0.0%   
Hawaii Arpts. Sys. Rev. Series 2018 A, 5% 7/1/43 (a) 730,000 881,567 
Hawaii Dept. Budget & Fin. Spl. Purp. Sr. Living Rev. Series 2012:   
5.125% 11/15/32 80,000 82,878 
5.25% 11/15/37 125,000 129,462 
Hawaii Dept. of Budget & Fin. Spl. Purp. Rev. Series 2019, 3.5% 10/1/49 (a) 250,000 260,287 
TOTAL HAWAII  1,354,194 
Idaho - 0.1%   
Idaho Health Facilities Auth. Rev.:   
(St. Luke's Health Sys. Proj.) Series 2014 A, 5% 3/1/39 1,075,000 1,174,200 
Series 2021 A, 4% 3/1/51 (e) 345,000 402,272 
Idaho Hsg. & Fin. Assoc. Single Family Mtg. Series 2019 A:   
5% 7/15/36 400,000 504,636 
5% 7/15/37 350,000 440,680 
Idaho Hsg. and Fin. Assoc. (Sage Int'l. School of Boise Proj.) Series 2020 A, 4% 5/1/50 60,000 68,551 
Pwr. County Idaho Indl. Dev. Corp. Solid Waste Disp. Rev. Series 1999, 6.45% 8/1/32 (a) 275,000 276,423 
Spring Valley Cmnty. Infrastructure District No. 1 Eagle Spl. Assessment Series 2021, 3.75% 9/1/51 (c) 1,287,000 1,294,079 
TOTAL IDAHO  4,160,841 
Illinois - 1.6%   
Chicago Board of Ed.:   
Series 1998 B1:   
0% 12/1/27 (FGIC Insured) 940,000 851,018 
0% 12/1/29 (FSA Insured) 860,000 742,938 
Series 1999 A:   
0% 12/1/23 (FGIC Insured) 120,000 117,740 
0% 12/1/26 (Nat'l. Pub. Fin. Guarantee Corp. Insured) 500,000 464,316 
Series 2011 A, 5.5% 12/1/39 300,000 300,832 
Series 2016, 6% 4/1/46 425,000 514,329 
Series 2017:   
5% 4/1/42 135,000 157,064 
5% 4/1/46 135,000 156,330 
Series 2018 A:   
5% 12/1/24 (FSA Insured) 120,000 135,323 
5% 12/1/27 (FSA Insured) 300,000 367,038 
Chicago Gen. Oblig.:   
(Cap. Impt. Proj.) Series 1999, 0% 1/1/27 (Nat'l. Pub. Fin. Guarantee Corp. Insured) 605,000 562,811 
Series 2005 D, 5.5% 1/1/40 730,000 836,003 
Series 2007 E, 5.5% 1/1/35 90,000 103,428 
Series 2014 A, 5.25% 1/1/29 225,000 249,729 
Series 2017 A:   
6% 1/1/38 1,260,000 1,561,409 
6% 1/1/38 250,000 305,758 
Series 2019 A:   
5% 1/1/39 80,000 98,264 
5% 1/1/40 180,000 220,018 
5.5% 1/1/35 245,000 311,180 
5.5% 1/1/49 740,000 920,440 
Chicago Midway Arpt. Rev.:   
Series 2014 A:   
5% 1/1/28 (a) 225,000 245,431 
5% 1/1/33 (a) 435,000 472,796 
5% 1/1/34 (a) 290,000 314,883 
Series 2016 B, 5% 1/1/46 285,000 332,128 
Chicago Motor Fuel Tax Rev. Series 2013, 5% 1/1/33 (FSA Insured) 250,000 276,539 
Chicago O'Hare Int'l. Arpt. Rev.:   
Series 2013, 5.75% 1/1/38 730,000 768,107 
Series 2015 A:   
5% 1/1/27 (a) 610,000 689,423 
5% 1/1/32 (a) 250,000 280,027 
Series 2015 B:   
5% 1/1/28 260,000 294,364 
5% 1/1/33 270,000 305,331 
Series 2016 C, 5% 1/1/35 250,000 291,781 
Series 2016 D:   
5% 1/1/47 455,000 539,682 
5.25% 1/1/42 225,000 270,381 
Series 2018 A:   
5% 1/1/37 (a) 195,000 238,444 
5% 1/1/38 (a) 70,000 85,468 
5% 1/1/48 (a) 365,000 437,940 
Series 2018 B, 4% 1/1/53 (FSA Insured) 300,000 341,273 
Series 2020 A:   
4% 1/1/37 300,000 354,554 
4% 1/1/37 (FSA Insured) 300,000 354,554 
Chicago Park District Gen. Oblig. Series 2020 D, 4% 1/1/34 250,000 293,070 
Chicago Transit Auth. Series 2020 A:   
4% 12/1/50 1,275,000 1,467,679 
5% 12/1/45 225,000 278,804 
Chicago Wastewtr. Transmission Rev.:   
Series 2008 C:   
5% 1/1/31 170,000 192,301 
5% 1/1/33 60,000 67,773 
5% 1/1/34 60,000 67,694 
5% 1/1/35 60,000 67,655 
5% 1/1/39 90,000 101,102 
Series 2014:   
5% 1/1/39 250,000 271,451 
5% 1/1/44 250,000 271,342 
Series 2017 B, 5% 1/1/30 250,000 300,180 
Chicago Wtr. Rev.:   
Series 2004, 5% 11/1/25 120,000 139,616 
Series 2014, 5% 11/1/44 160,000 178,112 
Series 2016 A1, 5% 11/1/27 80,000 96,353 
Series 2017 2:   
5% 11/1/32 (FSA Insured) 250,000 305,974 
5% 11/1/33 (FSA Insured) 250,000 306,093 
Series 2017, 5.25% 11/1/33 (FSA Insured) 250,000 310,475 
Cook County Cmnty. College District Series 2016, 5.5% 12/1/38 250,000 272,989 
Cook County Gen. Oblig. Series 2012 C:   
5% 11/15/29 215,000 224,472 
5% 11/15/33 335,000 349,722 
Illinois Dev. Fin. Auth. Envir. Facilities Rev. Series 2002, 8% 6/1/32 (a) 105,000 105,144 
Illinois Fin. Auth.:   
Series 2020 A, 4% 4/1/50 300,000 346,572 
Series 2021 A:   
5% 8/15/35 250,000 330,662 
5% 8/15/36 300,000 395,993 
Illinois Fin. Auth. Rev.:   
(Franciscan Cmntys. Proj.) Series 2017 A, 5% 5/15/37 235,000 267,727 
(Franciscan Communitites Proj.) Series 2017 A, 5% 5/15/47 95,000 106,880 
(Presence Health Proj.) Series 2016 C, 5% 2/15/36 80,000 95,903 
(The Admiral at the Lake Proj.) Series 2017:   
5% 5/15/33 825,000 867,105 
5.125% 5/15/38 670,000 703,238 
5.25% 5/15/42 120,000 125,962 
5.25% 5/15/54 730,000 759,775 
5.5% 5/15/54 45,000 47,351 
Series 2013 A:   
5.125% 5/15/43 80,000 83,035 
5.125% 5/15/43 (Pre-Refunded to 5/15/23 @ 100) 10,000 10,687 
5.25% 5/15/47 370,000 384,262 
Series 2013 A, 5.25% 5/15/47 (Pre-Refunded to 5/15/23 @ 100) 55,000 58,879 
Series 2013 A, 6% 7/1/43 250,000 266,583 
Series 2015 C:   
5% 8/15/35 305,000 349,149 
5% 8/15/44 305,000 348,073 
Series 2015:   
5.25% 5/15/45 (Pre-Refunded to 5/15/25 @ 100) 75,000 86,814 
5.25% 5/15/50 (Pre-Refunded to 5/15/25 @ 100) 195,000 225,717 
6.125% 11/15/35 205,000 231,482 
6.375% 11/15/43 245,000 276,282 
Series 2016 C:   
5% 2/15/34 55,000 66,120 
5% 2/15/41 225,000 268,902 
Series 2016:   
5% 5/15/36 85,000 95,889 
5% 5/15/40 75,000 84,063 
Series 2017:   
5% 2/15/32 70,000 75,920 
5.25% 2/15/37 50,000 54,325 
5.25% 2/15/47 250,000 270,152 
Illinois Fin. Auth. Student Hsg. and Academic Facility Rev. (CHF - Chicago, LLC - Univ. of Illinois At Chicago Proj.) Series 2017 A:   
5% 2/15/47 215,000 244,989 
5% 2/15/50 60,000 68,266 
Illinois Gen. Oblig.:   
Series 2013 A, 5% 4/1/38 100,000 105,492 
Series 2013, 5.5% 7/1/38 1,060,000 1,140,004 
Series 2014 February:   
5.25% 2/1/33 335,000 367,218 
5.25% 2/1/34 190,000 208,186 
Series 2014 May, 5% 5/1/34 120,000 131,903 
Series 2014:   
5% 5/1/36 55,000 60,372 
5% 2/1/39 235,000 255,281 
5.25% 2/1/30 395,000 433,347 
5.25% 2/1/32 385,000 421,939 
Series 2016:   
4% 6/1/41 250,000 278,572 
5% 1/1/28 250,000 290,508 
5% 2/1/28 535,000 638,132 
5% 11/1/36 200,000 233,814 
Series 2017 A, 4% 12/1/33 120,000 134,734 
Series 2017 B, 5% 12/1/23 575,000 626,116 
Series 2017 C, 5% 11/1/29 1,805,000 2,168,023 
Series 2017 D:   
5% 11/1/24 340,000 382,063 
5% 11/1/25 60,000 69,515 
5% 11/1/26 250,000 296,644 
5% 11/1/27 405,000 489,849 
5% 11/1/28 685,000 827,722 
Series 2018 A:   
5% 10/1/25 95,000 109,827 
5% 10/1/31 270,000 328,855 
6% 5/1/27 275,000 344,126 
Series 2018 B:   
5% 10/1/31 320,000 389,754 
5% 10/1/32 335,000 407,234 
Series 2019 B:   
4% 11/1/33 610,000 705,816 
4% 11/1/39 1,225,000 1,401,489 
Series 2020 May, 5.125% 5/1/22 30,000 30,607 
Series 2020:   
5.375% 5/1/23 65,000 69,516 
5.5% 5/1/24 60,000 67,031 
5.5% 5/1/25 275,000 318,749 
5.5% 5/1/26 195,000 232,990 
5.5% 5/1/39 895,000 1,142,812 
Series 2021 A:   
5% 3/1/24 55,000 60,437 
5% 3/1/25 150,000 170,463 
5% 3/1/35 330,000 419,704 
Series 2021 B, 5% 3/1/24 75,000 82,414 
Illinois Reg'l. Trans. Auth.:   
Series 2003 A, 6% 7/1/33 (FGIC Insured) 700,000 980,504 
Series 2003 B, 5.5% 6/1/27 560,000 656,414 
Illinois Sales Tax Rev. Series 2002, 6% 6/15/26 (Nat'l. Pub. Fin. Guarantee Corp. Insured) 120,000 147,017 
Illinois Sports Facilities Auth. Series 2014, 5.25% 6/15/31 (FSA Insured) 250,000 273,244 
Illinois Toll Hwy. Auth. Toll Hwy. Rev.:   
Series 2014 C, 5% 1/1/37 610,000 686,634 
Series 2016 B, 5% 1/1/41 250,000 292,947 
Metropolitan Pier & Exposition:   
(McCormick Place Expansion Proj.):   
Series 2002 A:   
0% 12/15/30 (Nat'l. Pub. Fin. Guarantee Corp. Insured) 235,000 196,421 
0% 6/15/36 (Nat'l. Pub. Fin. Guarantee Corp. Insured) 1,200,000 857,875 
Series 2010 B1, 0% 6/15/44 (FSA Insured) 250,000 137,966 
Series 2002 A, 0% 12/15/33 (Nat'l. Pub. Fin. Guarantee Corp. Insured) 3,675,000 2,831,905 
Series 2017 A, 5% 6/15/57 865,000 1,008,703 
Series 2020 A:   
4% 6/15/50 225,000 254,031 
5% 12/15/45 45,000 54,341 
5% 6/15/50 1,920,000 2,307,985 
5% 6/15/50 325,000 395,434 
Series 2022 A:   
0% 12/15/35 (e) 65,000 46,207 
0% 6/15/36 260,000 181,482 
0% 6/15/37 85,000 57,248 
0% 12/15/38 180,000 115,436 
0% 6/15/39 195,000 122,685 
0% 6/15/40 (e) 200,000 121,462 
0% 6/15/41 70,000 41,042 
4% 12/15/42 330,000 377,436 
4% 12/15/47 975,000 1,104,227 
4% 6/15/52 475,000 536,137 
Rosemont Gen. Oblig. Series 2016 A, 5% 12/1/40 (FSA Insured) 250,000 295,982 
Sales Tax Securitization Corp.:   
Series 2018 A:   
4% 1/1/48 500,000 562,377 
5% 1/1/40 20,000 24,213 
Series 2018 C:   
5% 1/1/43 250,000 307,690 
5.25% 1/1/35 250,000 316,275 
5.25% 1/1/43 500,000 623,732 
Schaumburg Village Gen. Oblig. Series 2013 A, 4% 12/1/41 850,000 889,390 
Southwestern Dev. Auth. Heath Facility Rev. Series 2013, 7.125% 11/1/43 (Pre-Refunded to 11/1/23 @ 100) 225,000 253,651 
Upper Illinois River Valley Dev. Auth. Edl. Facility Rev. (Cambridge Lakes Learning Ctr. Proj.) Series 2017 A:   
5% 12/1/32 (c) 255,000 274,975 
5.25% 12/1/47 (c) 490,000 524,095 
Village of Oswego Gen. Oblig. Series 2016, 5% 12/15/33 275,000 322,355 
Will County Illinois Series 2016, 5% 11/15/45 (Pre-Refunded to 11/15/25 @ 100) 500,000 587,020 
TOTAL ILLINOIS  63,741,628 
Indiana - 0.3%   
East Chicago Solid Waste Disp. Rev. Series 1998, 5.5% 9/1/28 (a) 105,000 112,877 
Indiana Dev. Fin. Auth. Envir. Rev. (United States Steel Corp. Proj.) Series 2021 A, 4.125% 12/1/26 840,000 924,066 
Indiana Fin. Auth. Econ. Dev. Rev. Bonds (Republic Svcs., Inc. Proj.) Series 2012, 0.15%, tender 12/1/21 (a)(b) 1,215,000 1,215,000 
Indiana Fin. Auth. Exempt Facilities Rev. (Resources Polyflow Indiana Proj.) Series 2019, 7% 3/1/39 (a)(c) 350,000 331,227 
Indiana Fin. Auth. Midwestern Disaster Relief Rev. (Ohio Valley Elec. Corp. Proj.) Series 2012 A:   
5% 6/1/32 180,000 183,100 
5% 6/1/39 755,000 767,193 
Indiana Fin. Auth. Poll. Cont. Rev. Series 2010 B, 2.5% 11/1/30 165,000 168,360 
Indiana Fin. Auth. Rev.:   
(Butler Univ. Proj.) Series 2012 B, 5% 2/1/26 250,000 251,901 
(Greencroft Obligated Group) Series 2013 A, 7% 11/15/43 485,000 545,309 
(Ohio River Bridges East End Crossing Proj.) Series 2013 A:   
5% 7/1/48 (Pre-Refunded to 7/1/23 @ 100) (a) 1,425,000 1,525,975 
5.25% 1/1/51 (Pre-Refunded to 7/1/23 @ 100) (a) 1,570,000 1,687,422 
Series 2012, 5% 3/1/41 (Pre-Refunded to 3/1/22 @ 100) 260,000 263,086 
Series 2015, 5% 3/1/36 545,000 619,357 
Series 2021 A, 4% 11/15/43 235,000 268,558 
Indianapolis Local Pub. Impt. Series 2021 A:   
4% 6/1/37 (FSA Insured) 500,000 599,368 
4% 6/1/38 (FSA Insured) 250,000 298,373 
Shoals Exempt Facilities Rev. (Nat'l. Gypsum Co. Proj.) Series 2013, 7.25% 11/1/43 (a) 235,000 251,482 
Valparaiso Exempt Facilities Rev. (Pratt Paper (IN), LLC Proj.) Series 2013:   
6.75% 1/1/34 (a) 695,000 770,365 
7% 1/1/44 (a) 805,000 899,051 
Whiting Envir. Facilities Rev. Bonds (BP Products North America, Inc. Proj.) Series 2019 A, 5%, tender 6/5/26 (a)(b) 660,000 786,379 
TOTAL INDIANA  12,468,449 
Iowa - 0.1%   
Iowa Fin. Auth. Midwestern Disaster Area Rev.:   
(Iowa Fertilizer Co. Proj.):   
Series 2013, 5.25% 12/1/25 260,000 280,022 
Series 2019, 3.125% 12/1/22 135,000 136,867 
Bonds Series 2018 B, 5.25%, tender 12/1/37 (b) 285,000 309,639 
Pefa, Inc. Iowa Gas Proj. Rev. Bonds Series 2019, 5%, tender 9/1/26 (b) 3,025,000 3,569,729 
TOTAL IOWA  4,296,257 
Kansas - 0.0%   
Lenexa Health Care Facilities Rev. Series 2018 A:   
5% 5/15/30 75,000 84,706 
5% 5/15/32 70,000 78,705 
5% 5/15/39 70,000 77,929 
Univ. of Kansas Hosp. Auth. Health Facilities Rev. Series 2019 A, 5% 9/1/48 730,000 893,981 
Wyandotte County-Kansas City Unified Govt. Sales Tax Spl. Oblig. Rev. Series 2015 A, 5.75% 9/1/32 375,000 380,403 
TOTAL KANSAS  1,515,724 
Kentucky - 0.3%   
Ashland Med. Ctr. Rev. Series 2019:   
4% 2/1/33 70,000 80,739 
4% 2/1/35 55,000 63,212 
4% 2/1/38 80,000 91,367 
5% 2/1/32 40,000 49,742 
Econ. Dev. Fin. Auth. Lousiville Arena Proj. Rev.:   
Louisville Arena Auth., Inc. Series 2017 A, 5% 12/1/47 (FSA Insured) 265,000 276,517 
Series 2017 A, 5% 12/1/45 (FSA Insured) 195,000 238,781 
Kentucky Econ. Dev. Fin. Auth. (Masonic Home Independent Living II, Inc. - The Meadow Proj. and Grove Pointe Proj.) Series 2016 A:   
5% 5/15/46 430,000 452,206 
5% 5/15/51 225,000 236,149 
Kentucky Econ. Dev. Fin. Auth. Healthcare Facilities Rev.:   
(Baptist Life Cmntys. Proj.) Series 2016 A:   
6.25% 11/15/46 310,000 323,219 
6.375% 11/15/51 355,000 372,051 
Series 2012:   
5.375% 11/15/42 275,000 277,494 
5.5% 11/15/45 145,000 146,361 
Kentucky Econ. Dev. Fin. Auth. Hosp. Rev.:   
Series 2015 A, 5.25% 6/1/50 1,440,000 1,611,294 
Series 2017 A:   
5% 6/1/37 380,000 446,362 
5% 6/1/41 410,000 480,541 
5% 6/1/45 900,000 1,051,183 
5.25% 6/1/41 735,000 868,520 
Kentucky Pub. Trans. Infrastructure Auth. First Tier Toll Rev. (Downtown Crossing Proj.) Series 2013 A:   
5.75% 7/1/49 (Pre-Refunded to 7/1/23 @ 100) 175,000 190,192 
6% 7/1/53 (Pre-Refunded to 7/1/23 @ 100) 605,000 659,602 
Kentucky, Inc. Pub. Energy Bonds:   
Series 2018 A, 4%, tender 4/1/24 (b) 300,000 321,914 
Series 2018 B, 4%, tender 1/1/25 (b) 1,520,000 1,669,049 
Series 2019 C, 4%, tender 2/1/28 (b) 885,000 1,025,003 
TOTAL KENTUCKY  10,931,498 
Louisiana - 0.3%   
Jefferson Parish Econ. Dev. & Port District Rev. Series 2018 A:   
5.5% 6/15/38 (c) 145,000 166,091 
5.625% 6/15/48 (c) 170,000 192,745 
Louisiana Gen. Oblig. Series 2014 A, 4% 2/1/34 250,000 268,916 
Louisiana Local Govt. Envir. Facilities and Cmnty. Dev. Auth. (Westlake Chemical Corp. Projs.) Series 2017, 3.5% 11/1/32 1,395,000 1,529,088 
Louisiana Local Govt. Envir. Facilities And Cmnty. Dev. Auth. Facilities Rev. (The Glen Retirement Sys. Proj.) Series 2019 A, 5% 1/1/49 290,000 282,433 
Louisiana Stadium and Exposition District Series 2020, 5% 7/3/23 275,000 288,274 
New Orleans Aviation Board Rev.:   
(North Term. Proj.):   
Series 2015 A, 5% 1/1/40 295,000 332,445 
Series 2015 B:   
5% 1/1/34 (a) 485,000 543,095 
5% 1/1/40 (a) 60,000 67,129 
Series 2017 A:   
5% 1/1/43 225,000 267,304 
5% 1/1/48 515,000 610,530 
Series 2017 B:   
5% 1/1/43 (a) 120,000 141,912 
5% 1/1/48 (a) 745,000 878,764 
Series 2017 D2:   
5% 1/1/28 (a) 35,000 41,758 
5% 1/1/29 (a) 30,000 35,705 
5% 1/1/30 (a) 20,000 23,687 
5% 1/1/31 (a) 40,000 47,326 
5% 1/1/32 (a) 45,000 53,382 
5% 1/1/34 (a) 50,000 59,315 
5% 1/1/35 (a) 40,000 47,391 
5% 1/1/38 (a) 150,000 177,467 
New Orleans Swr. Svc. Rev. Series 2015:   
5% 6/1/33 (Pre-Refunded to 6/1/25 @ 100) 90,000 103,914 
5% 6/1/40 (Pre-Refunded to 6/1/25 @ 100) 345,000 398,338 
5% 6/1/45 (Pre-Refunded to 6/1/25 @ 100) 270,000 311,743 
New Orleans Wtr. Series 2015:   
5% 12/1/40 (Pre-Refunded to 12/1/25 @ 100) 410,000 481,841 
5% 12/1/45 (Pre-Refunded to 12/1/25 @ 100) 1,005,000 1,181,098 
Port of New Orleans Port Facility Rev. Series 2020 D, 5% 4/1/50 250,000 308,362 
Saint James Parish Gen. Oblig.:   
(Nustar Logistics, L.P. Proj.) Series 2010, 6.35% 7/1/40 (c) 325,000 429,012 
Bonds (Nustar Logistics, L.P. Proj.):   
Series 2008, 6.1%, tender 6/1/30 (b)(c) 320,000 422,057 
Series 2010 B, 6.1%, tender 6/1/30 (b)(c) 420,000 553,950 
Series 2011, 5.85%, tender 6/1/25 (b)(c) 585,000 667,091 
Shreveport Gen. Oblig. Series 2017, 5% 8/1/30 250,000 304,346 
St. Charles Parish Gulf Opportunity Zone Rev. Bonds (Valero Proj.) Series 2010, 4%, tender 6/1/22 (b) 60,000 61,070 
St. John Baptist Parish Rev.:   
(Marathon Oil Corp.) Series 2017, 2.2% 6/1/37 (b) 180,000 188,327 
Bonds:   
(Marathon Oil Corp. Proj.) Series 2017 B1, 2.125%, tender 7/1/24 (b) 120,000 123,990 
(Marathon Oil Corp.) Series 2017, 2.1%, tender 7/1/24 (b) 75,000 77,446 
Series 2017 B2, 2.375%, tender 7/1/26 (b) 120,000 126,485 
TOTAL LOUISIANA  11,793,827 
Maryland - 1.0%   
Baltimore Convention Ctr. Hotel Rev. Series 2017:   
5% 9/1/36 360,000 384,544 
5% 9/1/42 175,000 186,101 
5% 9/1/46 1,575,000 1,669,453 
Baltimore County Gen. Oblig. Series 2019, 4% 3/1/37 250,000 299,738 
Baltimore Proj. Rev.:   
(Wastewtr. Projs.) Series 2014 C, 5% 7/1/33 390,000 441,573 
(Wtr. Projs.):   
Series 2013 B:   
5% 7/1/28 (Pre-Refunded to 1/1/24 @ 100) 180,000 197,370 
5% 7/1/30 (Pre-Refunded to 1/1/24 @ 100) 275,000 301,537 
Series 2014 C, 5% 7/1/31 260,000 294,368 
Frederick County Spl. Oblig. Series 2020 C, 4% 7/1/50 100,000 112,587 
Gaithersburg Eco Dev. Rev. Bd Series 2018 A:   
5% 1/1/27 90,000 100,758 
5% 1/1/28 120,000 133,970 
5% 1/1/33 755,000 836,361 
5% 1/1/36 150,000 165,867 
Maryland Cmnty. Dev. Admin Dept. Hsg. & Cmnty. Dev. Series 2018 A, 4.5% 9/1/48 425,000 472,413 
Maryland Dept. of Trans. Series 2021 B:   
4% 8/1/37 (a) 140,000 167,169 
4% 8/1/38 (a) 170,000 202,588 
5% 8/1/36 (a) 120,000 155,868 
5% 8/1/46 (a) 420,000 531,623 
Maryland Dept. of Trans. Consolidated Trans. Rev. Series 2021 A:   
3% 10/1/32 400,000 446,076 
3% 10/1/33 300,000 331,675 
Maryland Econ. Dev. Auth. Rev.:   
(Ports America Chesapeake LLC. Proj.) Series 2017 A:   
5% 6/1/23 60,000 63,766 
5% 6/1/24 35,000 38,769 
5% 6/1/25 65,000 74,442 
5% 6/1/27 60,000 72,552 
5% 6/1/30 60,000 73,223 
5% 6/1/32 65,000 78,765 
5% 6/1/35 155,000 187,042 
(Trans. Facilities Proj.) Series 2017 A, 5% 6/1/28 90,000 111,274 
Maryland Econ. Dev. Corp. (Port Covington Proj.) Series 2020:   
4% 9/1/40 135,000 154,121 
4% 9/1/50 140,000 158,165 
Maryland Econ. Dev. Corp. Sr. Parking Facilities Rev. (Baltimore City Proj.) Series 2018 A, 5% 6/1/58 310,000 333,086 
Maryland Econ. Dev. Corp. Student Hsg. Rev. (Bowie State Univ. Proj.) Series 2015:   
5% 6/1/25 (c) 105,000 113,714 
5% 6/1/29 (c) 145,000 163,922 
5% 6/1/33 (c) 155,000 173,810 
Maryland Gen. Oblig. Series 2018 A:   
5% 3/15/26 570,000 677,648 
5% 3/15/28 345,000 434,261 
Maryland Health & Higher Edl. Series 2021 A:   
4% 6/1/46 445,000 509,762 
4% 6/1/51 690,000 786,218 
4% 6/1/55 430,000 488,394 
Maryland Health & Higher Edl. Facilities Auth. Rev.:   
(Medstar Health, Inc. Proj.) Series 2017 A, 5% 5/15/45 795,000 960,579 
Series 2011 A, 6.25% 1/1/31 60,000 60,303 
Series 2013 A:   
5% 7/1/43 (Pre-Refunded to 7/1/22 @ 100) 1,035,000 1,064,200 
6.75% 7/1/44 165,000 174,871 
Series 2014:   
5% 7/1/39 915,000 1,010,643 
5.25% 7/1/34 (Pre-Refunded to 7/1/24 @ 100) 1,030,000 1,157,176 
Series 2015:   
5% 7/1/27 370,000 424,999 
5% 7/1/29 160,000 182,441 
5% 8/15/33 545,000 617,513 
5% 8/15/38 485,000 548,706 
5% 7/1/45 815,000 912,893 
Series 2016 A:   
5% 7/1/32 35,000 41,077 
5% 7/1/33 95,000 111,382 
5% 7/1/34 110,000 128,774 
5% 7/1/35 95,000 111,019 
5% 7/1/36 90,000 105,013 
5% 1/1/45 60,000 68,978 
5.5% 1/1/36 590,000 714,926 
5.5% 1/1/46 2,090,000 2,520,583 
Maryland Stadium Auth. Built to Learn Rev. Series 2021, 4% 6/1/46 1,150,000 1,348,423 
Maryland Stadium Auth. Rev.:   
Series 2018 A, 5% 5/1/42 1,230,000 1,503,982 
Series 2018 B, 5% 5/1/35 485,000 596,354 
Series 2020 A, 5% 5/1/50 610,000 910,786 
Series 2020 B, 5% 5/1/47 305,000 449,142 
Maryland Trans. Auth. Series 2012 B, 5% 3/1/27 (Pre-Refunded to 3/1/22 @ 100) (a) 970,000 981,145 
Maryland Trans. Auth. Passenger Facility Charge Rev. Series 2019, 4% 6/1/33 (a) 395,000 461,583 
Maryland Trans. Auth. Trans. Facility Projs. Rev. Series 2021 A:   
4% 7/1/38 120,000 146,476 
4% 7/1/40 150,000 182,349 
Montgomery County Econ. Dev. Rev. Series 2018 A, 5.375% 7/1/48 395,000 418,192 
Prince Georges County Rev. Auth. Spl. Oblig. (Suitland-Naylor Road Proj.) Series 2016:   
4.75% 7/1/36 (c) 105,000 116,042 
5% 7/1/46 (c) 150,000 166,427 
Prince Georges County Spl. Oblig. Series 2004, 5.2% 7/1/34 155,000 156,337 
Rockville Mayor & Council Econ. Dev.:   
(Ingleside at King Farm Proj.):   
Series 2017 A1, 5% 11/1/31 90,000 98,258 
Series 2017 A2:   
5% 11/1/29 30,000 32,923 
5% 11/1/31 35,000 38,212 
5% 11/1/32 30,000 32,708 
Series 2017 B:   
4.25% 11/1/37 25,000 26,362 
4.5% 11/1/43 120,000 127,656 
5% 11/1/47 405,000 436,075 
(Rfdg.-Ingleside King Farm Proj.) Series 2017:   
5% 11/1/35 60,000 65,203 
5% 11/1/37 120,000 130,194 
5% 11/1/42 510,000 550,774 
Washington County Econ. Dev. Rev. (Homewood Maryland Obligated Group Proj.) Series 2021:   
4% 5/1/26 105,000 112,770 
4% 5/1/27 110,000 118,942 
4% 5/1/30 125,000 136,467 
4% 5/1/31 65,000 71,019 
4% 5/1/36 415,000 447,395 
4% 5/1/42 850,000 902,035 
Washington Metropolitan Area Transit Auth.:   
Series 2020 A:   
4% 7/15/40 180,000 215,020 
4% 7/15/45 245,000 288,948 
5% 7/15/38 305,000 394,232 
5% 7/15/39 670,000 864,319 
Series 2021 A:   
3% 7/15/36 275,000 305,766 
3% 7/15/43 400,000 434,602 
4% 7/15/38 425,000 516,998 
4% 7/15/46 1,485,000 1,772,860 
5% 7/15/41 305,000 400,041 
Westminster Proj. Rev.:   
Series 2014 A:   
5% 7/1/24 80,000 84,724 
6.25% 7/1/44 220,000 240,372 
Series 2014:   
5.125% 7/1/34 275,000 292,926 
5.5% 7/1/44 275,000 293,850 
TOTAL MARYLAND  39,909,538 
Massachusetts - 0.3%   
Massachusetts Bay Trans. Auth. Sales Tax Rev.:   
Series 2021 A1, 4% 7/1/51 1,635,000 1,954,512 
Series 2021, 4% 5/1/25 1,830,000 2,049,134 
Massachusetts Dept. of Trans. Metropolitan Hwy. Sys. Rev. Series 2019 A, 5% 1/1/32 955,000 1,195,570 
Massachusetts Dev. Fin. Agcy. Rev.:   
(Newbridge On The Charles Proj.) Series 2017:   
5% 10/1/37 (c) 275,000 297,513 
5% 10/1/47 (c) 400,000 432,001 
5% 10/1/57 (c) 985,000 1,062,930 
Series 1999 P, 5.45% 5/15/59 (Assured Guaranty Corp. Insured) 155,000 204,000 
Series 2014 F:   
5.625% 7/15/36 35,000 37,062 
5.75% 7/15/43 200,000 211,537 
Series 2018:   
5% 11/15/38 (c) 165,000 182,926 
5.125% 11/15/46 (c) 225,000 248,515 
Massachusetts Gen. Oblig.:   
Series 2004 A, 5.5% 8/1/30 120,000 160,844 
Series 2021 B, 3% 4/1/49 300,000 321,008 
Massachusetts Hsg. Fin. Agcy. Series 2010 A, 5.25% 12/1/35 80,000 80,669 
Massachusetts Port Auth. Rev. Series 2019 A:   
5% 7/1/37 (a) 460,000 570,760 
5% 7/1/39 (a) 340,000 420,464 
5% 7/1/40 (a) 210,000 259,312 
Massachusetts School Bldg. Auth. Dedicated Sales Tax Rev. Series 2015 C:   
5% 8/15/31 120,000 139,384 
5% 8/15/31 (Pre-Refunded to 8/15/25 @ 100) 165,000 192,126 
Univ. of Massachusetts Bldg. Auth. Facilities Rev. Series 2013, 5% 11/1/39 (Pre-Refunded to 11/1/22 @ 100) 120,000 125,289 
TOTAL MASSACHUSETTS  10,145,556 
Michigan - 0.6%   
Calhoun County Hosp. Fin. Auth. Rev. Series 2016:   
5% 2/15/37 60,000 69,099 
5% 2/15/41 345,000 395,382 
5% 2/15/47 965,000 1,098,056 
Detroit Downtown Dev. Auth. Tax Series 2018 A:   
5% 7/1/43 255,000 281,172 
5% 7/1/48 (FSA Insured) 280,000 307,757 
Detroit Gen. Oblig.:   
Series 2018:   
5% 4/1/27 95,000 111,652 
5% 4/1/29 45,000 53,565 
5% 4/1/30 40,000 47,355 
5% 4/1/31 45,000 53,085 
5% 4/1/32 50,000 58,858 
5% 4/1/33 75,000 88,261 
5% 4/1/37 125,000 146,197 
5% 4/1/38 85,000 99,281 
Series 2020:   
5.5% 4/1/32 70,000 88,679 
5.5% 4/1/34 40,000 50,498 
5.5% 4/1/36 55,000 69,163 
5.5% 4/1/38 120,000 150,332 
5.5% 4/1/40 85,000 106,118 
5.5% 4/1/45 60,000 74,587 
5.5% 4/1/50 120,000 148,444 
Detroit School District School Bldg. and Site Impt. Series 2005 A, 5.25% 5/1/30 (FSA Insured) 250,000 331,523 
Detroit Swr. Disp. Rev. Series 2012 A, 5.25% 7/1/39 (Pre-Refunded to 7/1/22 @ 100) 275,000 283,157 
Gerald R. Ford Int'l. Arpt. Auth. Rev. Series 2021, 5% 1/1/51 (a) 630,000 811,531 
Grand Rapids Econ. Dev. Corp. Econ. Dev. Rev. (Beacon Hill at Eastgate Proj.) Series 2017 A:   
5% 11/1/32 130,000 143,054 
5% 11/1/37 70,000 76,715 
5% 11/1/47 170,000 184,793 
5% 11/1/52 70,000 75,988 
Great Lakes Wtr. Auth. Sew Disp. Sys. Series 2016 C:   
5% 7/1/30 60,000 71,371 
5% 7/1/36 1,855,000 2,191,868 
Great Lakes Wtr. Auth. Wtr. Supply Sys. Rev.:   
Series 2016 B, 5% 7/1/46 1,320,000 1,537,129 
Series 2016 C, 5.25% 7/1/35 300,000 360,374 
Karegnondi Wtr. Auth. Genesee, Lapeer and Sanilac Wtr. Supply Sys. Series 2014 A, 5.25% 11/1/40 1,215,000 1,322,926 
Kentwood Econ. Dev. Corp. Series 2022:   
4% 11/15/31 110,000 120,940 
4% 11/15/43 150,000 160,234 
Michigan Fin. Auth. Rev.:   
Series 2014 C1, 5% 7/1/44 (Pre-Refunded to 7/1/22 @ 100) 120,000 123,367 
Series 2014 C2, 5% 7/1/44 (Pre-Refunded to 7/1/22 @ 100) (a) 75,000 77,060 
Series 2014 D6, 5% 7/1/36 250,000 276,945 
Series 2015 B, 5% 5/15/35 610,000 694,485 
Series 2015 C:   
5% 7/1/34 250,000 286,305 
5% 7/1/35 1,155,000 1,322,288 
Series 2015 D2, 5% 7/1/34 275,000 314,935 
Series 2015:   
5% 12/1/31 (Pre-Refunded to 6/1/22 @ 100) 330,000 337,939 
5% 12/1/35 (Pre-Refunded to 6/1/22 @ 100) 610,000 624,676 
Series 2016:   
5% 11/15/34 390,000 464,313 
5% 11/15/37 425,000 504,174 
Series 2017 A, 5% 12/1/47 (Pre-Refunded to 12/1/22 @ 100) 365,000 382,309 
Series 2019 A:   
5% 2/15/37 170,000 215,067 
5% 2/15/38 245,000 309,453 
5% 2/15/39 720,000 907,794 
Series 2020 B1, 5% 6/1/49 670,000 808,105 
Michigan Tobacco Settlement Fin. Auth. Tobacco Settlement Asset Rev. Series 2007 B, 0% 6/1/52 1,545,000 176,121 
Monroe County Econ. Dev. Corp. Ltd. Oblig. Series 1992 AA, 6.95% 9/1/22 (Nat'l. Pub. Fin. Guarantee Corp. Insured) 60,000 62,956 
South Huron Valley Util. Auth. Series 2020, 4% 5/1/34 250,000 298,620 
Wayne County Arpt. Auth. Rev.:   
Series 2012 A, 5% 12/1/42 605,000 632,196 
Series 2014 B, 5% 12/1/44 135,000 151,938 
Series 2015 D, 5% 12/1/45 (FSA Insured) 90,000 104,325 
Wayne County Arpt. Rev. Series 2017 C, 5% 12/1/37 (FSA Insured) (a)(c) 1,215,000 1,461,689 
TOTAL MICHIGAN  21,706,204 
Minnesota - 0.0%   
Apple Valley Sr. Living (Minnesota Sr. Living LLC Proj.):   
Series 2016 B, 5% 1/1/47 275,000 212,268 
Series 2016 D, 7.25% 1/1/52 295,000 227,054 
Deephaven Charter School Lease Rev. Series 2017 A:   
5% 10/1/37 30,000 31,209 
5% 10/1/49 60,000 62,010 
Minneapolis Dev. Rev. Series 2010, 6.25% 12/1/30 30,000 30,000 
Minnesota Hsg. Fin. Agcy. Series 2011, 5% 8/1/31 25,000 25,096 
Minnesota Office of Higher Ed. Series 2020, 2.65% 11/1/38 (a) 250,000 255,443 
Rochester Health Cr.&Hsg. Rev. Series 2013 A, 6.875% 12/1/48 270,000 286,947 
White Bear Lake Independent School District #624 Gen. Oblig. Series 2020 A, 3% 2/1/44 300,000 320,634 
Woodbury Charter School Lease Rev. (Woodbury Leadership Academy Proj.) Series 2021 A:   
4% 7/1/41 50,000 54,927 
4% 7/1/51 40,000 43,510 
4% 7/1/56 35,000 37,925 
TOTAL MINNESOTA  1,587,023 
Mississippi - 0.0%   
Mississippi Dev. Bank Spl. Oblig. (City of Jackson, Mississippi Wtr. And Swr. Sys. Rev. Bond Proj.) Series 2013, 6.75% 12/1/30 (FSA Insured) 120,000 133,422 
Missouri - 0.4%   
Conley Road Trans. Dev. District Series 2017, 5.375% 5/1/47 245,000 253,585 
Kansas City Indl. Dev. Auth.:   
(Kansas City Int'l. Arpt. Term. Modernization Proj.):   
Series 2019 B:   
5% 3/1/46 (a) 250,000 303,051 
5% 3/1/54 (a) 305,000 366,368 
5% 3/1/55 (FSA Insured) (a) 2,005,000 2,415,924 
Series 2020 A, 4% 3/1/50 (a) 685,000 784,186 
(Kansas City Int'l. Arpt. Term. modernization Proj.) Series 2020 A, 4% 3/1/50 (FSA Insured) (a) 650,000 744,118 
(Kansas City Int'l. Arpt. Term. Modernization Proj.) Series 2020 A:   
4% 3/1/57 (FSA Insured) (a) 1,140,000 1,297,380 
5% 3/1/57 (FSA Insured) (a) 1,015,000 1,239,124 
Kansas City Spl. Oblig.:   
(Downtown Arena Proj.) Series 2016 E, 5% 4/1/40 300,000 339,980 
(Downtown Streetcar Proj.) Series 2014 A, 5% 9/1/34 460,000 461,774 
Kirkwood Indl. Dev. Retirement Commission Series 2017 A:   
5.25% 5/15/37 120,000 134,319 
5.25% 5/15/42 105,000 116,578 
5.25% 5/15/50 245,000 269,944 
Missouri Health & Edl. Facilities Auth. Rev.:   
(Lutheran Sr. Svcs. Proj.) Series 2016 B, 5% 2/1/46 395,000 439,598 
(Lutheran Sr. Svcs. Projs.) Series 2016 B:   
5% 2/1/34 85,000 96,411 
5% 2/1/35 65,000 73,502 
Missouri Hsg. Dev. Commission Single Family Mtg. Rev. (First Place Homeownership Ln. Prog.) Series 2019 A, 4.25% 5/1/47 250,000 275,648 
Missouri Joint Muni. Elec. Util. Commission Pwr. Proj. Rev.:   
(Iatan 2 Proj.) Series 2014 A, 5% 1/1/33 245,000 267,868 
(Plum Point Proj.) Series 2014 A, 5% 1/1/33 610,000 687,693 
Saint Louis County Indl. Dev. Auth. Sr. Living Facilities Rev.:   
Series 2015 A:   
5% 12/1/35 120,000 131,536 
5.125% 12/1/45 230,000 250,453 
Series 2017, 5% 9/1/48 810,000 908,071 
Series 2018 A:   
5% 9/1/38 380,000 426,791 
5.125% 9/1/48 1,175,000 1,314,035 
Saint Louis Muni. Fin. Corp. Leasehold Rev. (Convention Ctr. Expansion And Impt. Projs.) Series 2020, 5% 10/1/49 (FSA Insured) 250,000 308,450 
St Louis Indl. Dev. Auth. Dev. Fing. Rev. (Ballpark Village Dev. Proj.) Series 2017 A:   
3.875% 11/15/29 65,000 64,494 
4.375% 11/15/35 235,000 235,466 
4.75% 11/15/47 240,000 242,167 
St Louis Land Clearance Redev. Auth. Annual Appropriation Redev. Rev. (Nat'l. Geospatial-Intelligence Agcy. Site Impt. Proj.) Series 2017 A:   
5.125% 6/1/46 320,000 361,211 
5.375% 6/1/43 890,000 1,020,921 
St. Louis County Indl. Dev. Auth. Health Facilities Rev. Series 2015 A:   
5% 8/15/30 60,000 64,785 
5% 8/15/35 40,000 42,840 
5.125% 8/15/45 105,000 111,022 
TOTAL MISSOURI  16,049,293 
Montana - 0.0%   
Kalispell Hsg. and Healthcare Facilities Rev. (Immanuel Lutheran Corp. Proj.) Series 2017 A:   
5.25% 5/15/37 40,000 43,694 
5.25% 5/15/47 440,000 475,936 
5.25% 5/15/52 460,000 495,998 
TOTAL MONTANA  1,015,628 
Nebraska - 0.2%   
Central Plains Energy Proj. Rev.:   
(Proj. No. 3):   
Series 2012, 5% 9/1/42 (Pre-Refunded to 9/1/22 @ 100) 275,000 284,551 
Series 2017 A:   
5% 9/1/30 210,000 267,391 
5% 9/1/35 885,000 1,214,517 
Series 2012, 5.25% 9/1/37 (Pre-Refunded to 9/1/22 @ 100) 120,000 124,391 
Series 2017 A:   
5% 9/1/31 320,000 413,961 
5% 9/1/42 300,000 442,409 
Omaha Pub. Pwr. District Elec. Rev. Series 2021 A:   
4% 2/1/51 1,800,000 2,114,282 
5% 2/1/46 600,000 762,939 
TOTAL NEBRASKA  5,624,441 
Nevada - 0.2%   
Clark County Fuel Tax:   
Series 2018:   
4% 12/1/35 300,000 352,864 
4% 12/1/36 250,000 293,687 
Series 2021, 3% 11/1/33 250,000 283,342 
Clark County School District:   
Series 2015 C, 4% 6/15/32 250,000 280,955 
Series 2017 C, 4% 6/15/37 250,000 287,455 
Series 2018 B, 5% 6/15/34 250,000 313,384 
Series 2019 B, 4% 6/15/35 (FSA Insured) 250,000 296,448 
Series 2020 B:   
3% 6/15/37 250,000 272,550 
3% 6/15/39 250,000 270,468 
Series 2021 B:   
3% 6/15/35 300,000 331,575 
3% 6/15/36 300,000 330,799 
Henderson Pub. Impt. Trust Touro College & Univ. Sys. Obligated Group Rev. Series 2014 A:   
5.5% 1/1/34 105,000 114,975 
5.5% 1/1/39 160,000 174,351 
5.5% 1/1/44 225,000 244,114 
Las Vegas Convention & Visitors Auth.:   
Series 2018 B:   
4% 7/1/49 250,000 280,899 
5% 7/1/43 1,760,000 2,124,204 
Series 2019 B, 5% 7/1/33 255,000 318,795 
Las Vegas Redev. Agcy., Tax Increment Rev. Series 2016:   
5% 6/15/30 25,000 28,920 
5% 6/15/40 665,000 759,257 
5% 6/15/45 795,000 902,033 
Reno Sales Tax Rev. (Retrac-Reno Trans. Rail Access Corridor Proj.):   
Series 2018 A:   
5% 6/1/36 15,000 17,740 
5% 6/1/37 30,000 35,415 
5% 6/1/48 30,000 34,844 
Series 2018 B:   
5% 6/1/33 (FSA Insured) 10,000 12,062 
5% 6/1/38 (FSA Insured) 5,000 5,983 
Series 2018 C, 0% 7/1/58 (c) 1,000,000 175,876 
Sparks Tourism Impt. District No. 1 Sr. Sales Tax Anticipation Rev. Series 2019 A, 2.5% 6/15/24 (c) 70,000 71,094 
Washoe County School District Series 2020 A, 4% 10/1/49 500,000 583,184 
TOTAL NEVADA  9,197,273 
New Hampshire - 0.1%   
Nat'l. Fin. Auth. Rev.:   
(The Lawrenceville School Proj.) Series 2021 A, 4% 7/1/51 575,000 675,738 
(The Vista Proj.) Series 2019 A:   
5.25% 7/1/39 (c) 95,000 101,065 
5.625% 7/1/46 (c) 55,000 58,866 
5.75% 7/1/54 (c) 135,000 144,670 
Bonds Series 2020 B, 3.75%, tender 7/2/40 (a)(b)(c) 250,000 263,357 
Nat'l. Finnance Auth. Series 2020 1, 4.125% 1/20/34 272,949 325,222 
New Hampshire Bus. Fin. Auth. Wtr. Facility (Pennichuck Wtr. Works, Inc. Proj.) Series 2020 A, 4% 4/1/50 (a) 250,000 279,833 
New Hampshire Health & Ed. Facilities Auth. Series 2017 A:   
6.125% 7/1/37 (c) 105,000 55,650 
6.125% 7/1/52 (c) 255,000 135,150 
6.25% 7/1/42 (c) 155,000 82,150 
New Hampshire Health & Ed. Facilities Auth. Rev. Series 2016:   
5% 10/1/36 50,000 57,519 
5% 10/1/40 45,000 51,498 
5% 10/1/46 370,000 420,493 
TOTAL NEW HAMPSHIRE  2,651,211 
New Jersey - 1.4%   
Atlantic County Impt. Auth. (Atlantic City Campus Phase II Proj.) Series 2021 A, 4% 7/1/53 (FSA Insured) 320,000 375,758 
Essex County Impt. Auth. (CHF-Newark, L.L.C. - NJIT Student Hsg. Proj.) Series 2021 A, 4% 8/1/46 145,000 172,518 
Essex County Impt. Auth. Charter School Rev.:   
(The Friends o Team Charter Schools, Inc. - 2021 Proj.) Series 2021, 4% 6/15/46 120,000 136,097 
(The Friends of Team Charter Schools, Inc. - 2021 Proj.) Series 2021, 4% 6/15/56 185,000 207,863 
Hudson County Impt. Auth. (Hudson County Courthouse Proj.) Series 2020, 4% 10/1/33 245,000 299,509 
New Brunswick Parking Auth. Rev. Series 2016 A:   
5% 9/1/30 250,000 297,156 
5% 9/1/31 250,000 296,900 
New Jersey Econ. Dev. Auth. Series 2020 A:   
4% 11/1/38 120,000 137,455 
4% 11/1/44 580,000 655,430 
New Jersey Econ. Dev. Auth. Energy Facility Rev. (Umm Energy Partners, LLC Proj.) Series 2012 A:   
5% 6/15/37 (a) 75,000 76,403 
5.125% 6/15/43 (a) 105,000 106,992 
New Jersey Econ. Dev. Auth. Rev.:   
(Goethals Bridge Replacement Proj.) Series 2013:   
5.125% 1/1/34 (a) 680,000 745,458 
5.375% 1/1/43 (a) 455,000 500,448 
(Lions Gate Proj.) Series 2014:   
4.375% 1/1/24 45,000 45,681 
4.875% 1/1/29 65,000 66,714 
5% 1/1/34 120,000 122,658 
5.25% 1/1/44 295,000 300,962 
(Provident Group - Rowan Properties L.L.C. - Rowan Univ. Student Hsg. Proejct) Series 2015 A, 5% 1/1/48 475,000 490,711 
(Provident Group - Rowan Properties L.L.C. - Rowan Univ. Student Hsg. Proj.) Series 2015 A, 5% 1/1/30 120,000 126,214 
(Provident Group-Montclair Properties L.L.C. - Montclair State Univ. Student Hsg. Proj.) Series 2017, 5% 6/1/42 (FSA Insured) 145,000 172,347 
(The Goethals Bridge Replacement Proj.) Series 2013:   
5% 1/1/31 (FSA Insured) (a) 300,000 329,882 
5.125% 7/1/42 (FSA Insured) (a) 135,000 148,143 
5.625% 1/1/52 (a) 1,280,000 1,412,503 
Series 1997 A, 0% 7/1/26 (Escrowed to Maturity) 150,000 143,726 
Series 2012:   
5% 6/15/24 120,000 122,920 
5% 6/15/25 610,000 624,689 
5% 6/15/28 370,000 378,678 
Series 2018, 5% 1/1/39 205,000 232,819 
New Jersey Econ. Dev. Auth. Spl. Facilities Rev.:   
(Continental Airlines, Inc. Proj.) Series 2000 B, 5.625% 11/15/30 (a) 850,000 935,062 
(Port Newark Container Term. LLC. Proj.) Series 2017:   
5% 10/1/37 (a) 1,520,000 1,772,452 
5% 10/1/47 (a) 1,640,000 1,887,035 
Series 1999:   
5.125% 9/15/23 (a) 30,000 31,153 
5.25% 9/15/29 (a) 305,000 316,380 
New Jersey Econ. Dev. Auth. Wtr. Facilities Rev. (Middlesex Wtr. Co. Proj.):   
Series 2012 A, 5% 10/1/23 300,000 324,521 
Series 2019, 5% 8/1/59 (a) 245,000 292,884 
New Jersey Edl. Facility Series 2016 A:   
5% 7/1/29 250,000 295,990 
5% 7/1/30 250,000 295,257 
New Jersey Gen. Oblig.:   
Series 2020 A:   
4% 6/1/30 750,000 911,372 
4% 6/1/31 1,030,000 1,266,907 
4% 6/1/32 170,000 211,322 
5% 6/1/25 1,030,000 1,186,568 
5% 6/1/26 845,000 1,001,851 
5% 6/1/28 275,000 341,558 
5% 6/1/29 300,000 380,692 
Series 2020:   
5% 6/1/41 300,000 362,730 
5% 6/1/42 250,000 301,738 
New Jersey Health Care Facilities Fing. Auth. Rev.:   
Series 2011:   
5% 7/1/25 485,000 498,521 
5% 7/1/26 120,000 123,324 
Series 2012 A:   
5% 7/1/23 (Pre-Refunded to 7/1/22 @ 100) 150,000 154,164 
5% 7/1/24 (Pre-Refunded to 7/1/22 @ 100) 545,000 560,129 
5% 7/1/25 (Pre-Refunded to 7/1/22 @ 100) 120,000 123,331 
Series 2013 A, 5.5% 7/1/43 245,000 263,841 
Series 2014 A, 5% 7/1/44 405,000 449,532 
Series 2015 A, 5% 7/1/46 (FSA Insured) 430,000 489,045 
Series 2016 A, 5% 7/1/43 715,000 842,381 
Series 2017 A:   
5% 7/1/38 300,000 362,852 
5.25% 7/1/57 245,000 297,326 
Series 2019:   
4% 7/1/35 60,000 70,734 
5% 7/1/31 60,000 76,582 
Series 2021 A:   
4% 7/1/45 610,000 725,310 
4% 7/1/51 1,075,000 1,269,503 
Series 2021, 3% 7/1/46 250,000 266,598 
New Jersey Higher Ed. Student Assistance Auth. Student Ln. Rev. Series 2014 A1 1, 5% 12/1/22 (a) 245,000 256,164 
New Jersey Hsg. & Mtg. Fin. Agcy. Rev.:   
Series 2019 C, 4.75% 10/1/50 250,000 279,052 
Series 2020 E, 3.5% 4/1/51 500,000 546,246 
New Jersey Institute of Technology:   
Series 2012 A, 5% 7/1/42 (Pre-Refunded to 7/1/22 @ 100) 340,000 349,491 
Series 2015 A, 5% 7/1/40 425,000 484,210 
New Jersey Tobacco Settlement Fing. Corp. Series 2018 A:   
5% 6/1/33 250,000 303,952 
5% 6/1/36 250,000 301,875 
5.25% 6/1/46 970,000 1,161,181 
New Jersey Tpk. Auth. Tpk. Rev.:   
Series 2012 B, 5% 1/1/30 (Pre-Refunded to 1/1/23 @ 100) 485,000 510,145 
Series 2014 A, 5% 1/1/28 570,000 633,763 
Series 2015 E, 5% 1/1/45 685,000 772,620 
Series 2017 D1, 1 month U.S. LIBOR + 0.700% 0.76% 1/1/24 (b)(d) 550,000 553,446 
Series 2021 A:   
4% 1/1/42 235,000 280,054 
4% 1/1/51 2,850,000 3,351,403 
New Jersey Trans. Trust Fund Auth.:   
(Trans. Prog.) Series 2019 AA:   
5% 6/15/46 275,000 330,875 
5.25% 6/15/43 2,145,000 2,626,814 
Series 2006 C:   
0% 12/15/30 (FGIC Insured) 700,000 594,586 
0% 12/15/31 (FGIC Insured) 585,000 483,514 
0% 12/15/34 500,000 385,968 
Series 2008 A, 0% 12/15/28 910,000 811,081 
Series 2012 AA, 5% 6/15/24 570,000 584,385 
Series 2018 A:   
5% 6/15/29 250,000 293,904 
5% 6/15/31 1,070,000 1,252,265 
Series 2019 BB, 5% 6/15/44 300,000 361,833 
Series 2020 AA, 4% 6/15/50 1,380,000 1,596,234 
Series 2021 A:   
4% 6/15/34 295,000 348,217 
4% 6/15/35 150,000 176,537 
4% 6/15/36 810,000 950,752 
4% 6/15/38 325,000 377,414 
Series 2022 A:   
4% 6/15/39 410,000 474,719 
4% 6/15/40 415,000 479,299 
4% 6/15/41 300,000 345,409 
4% 6/15/42 205,000 235,266 
Series 2022 AA:   
5% 6/15/35 190,000 243,164 
5% 6/15/36 275,000 350,086 
5% 6/15/37 220,000 278,794 
5% 6/15/38 110,000 138,715 
Series A:   
5% 12/15/25 350,000 408,230 
5% 12/15/26 250,000 300,234 
Series AA:   
4% 6/15/45 285,000 325,035 
4% 6/15/50 1,500,000 1,701,824 
5% 6/15/44 300,000 318,246 
Series BB, 4% 6/15/44 710,000 795,822 
South Jersey Port Corp. Rev.:   
(New Jersey Gen. Oblig. Proj.) Series 2017 B:   
5% 1/1/42 (a) 165,000 192,304 
5% 1/1/48 (a) 690,000 800,943 
Series 2017 A, 5% 1/1/49 55,000 64,604 
The Poll. Cont. Fin. Auth. of Gloucester County Poll. Cont. Rev. (Logan Proj.) Series 2014 A, 5% 12/1/24 (a) 205,000 217,779 
Union County Impt. Auth. Solid Waste Disp. Rev. (Aries Linden, LLC Proj.) Series 2019, 6.75% 12/1/41 (a)(c) 220,000 230,338 
TOTAL NEW JERSEY  56,274,071 
New Mexico - 0.0%   
Farmington Poll. Cont. Rev. Bonds (Pub. Svc. Co. of New Mexico San Juan Proj.) Series 2010 C, 1.15%, tender 6/1/24 (b) 245,000 248,476 
New Mexico Hosp. Equip. Ln. Council Rev. Series 2019 A, 4% 8/1/48 545,000 627,392 
TOTAL NEW MEXICO  875,868 
New York - 2.7%   
Brookhaven Loc Dev. Corp. (Active Retirement Cmnty., Inc. D/B/A Jeffersons Ferry Proj.) Series 2016, 5.25% 11/1/36 90,000 106,692 
Brooklyn Arena Local Dev. Corp. Series 2016 A, 5% 7/15/42 585,000 675,530 
Build NYC Resource Corp. Rev.:   
(Richmond Preparatory Charter School Proj.) Series 2021 A, 5% 6/1/51 (c) 150,000 168,551 
(Shefa School Proj.) Series 2021 A, 5% 6/15/51 (c) 585,000 700,163 
Build NYC Resource Corp. Solid Waste Disp. Rev. (Pratt Paper NY, Inc. Proj.) Series 2014, 5% 1/1/35 (a)(c) 940,000 1,043,175 
Dorm. Auth. New York Univ. Rev.:   
Series 2011 A, 5% 10/1/25 5,000 5,020 
Series 2016 A, 5% 7/1/37 315,000 377,044 
Series 2017:   
5% 12/1/30 (c) 100,000 119,847 
5% 12/1/31 (c) 100,000 119,590 
5% 12/1/34 (c) 100,000 119,072 
5% 12/1/35 (c) 105,000 124,797 
5% 12/1/36 (c) 100,000 118,738 
5% 12/1/37 (c) 105,000 124,489 
Erie County Tobacco Asset Securitization Corp. Series 2006 A, 0% 6/1/60 (c) 9,465,000 525,829 
Glen Cove Local Econ. Assistance Corp. Rev. (Garvies Point Pub. Impt. Proj.):   
Series 2016 A, 5% 1/1/56 480,000 528,014 
Series 2016 B, 0% 1/1/45 2,955,000 1,187,263 
Series 2016 C, 0% 1/1/55 (f) 705,000 754,552 
Hudson Yards Infrastructure Corp. New York Rev. Series 2017 A, 4% 2/15/47 300,000 338,014 
Liberty Dev. Corp. Rev. Series 2005, 5.25% 10/1/35 2,200,000 3,109,281 
Long Island Pwr. Auth. Elec. Sys. Rev.:   
Series 2012 A:   
5% 9/1/37 260,000 268,930 
5% 9/1/37 (Pre-Refunded to 9/1/22 @ 100) 160,000 165,754 
Series 2012, 5% 9/1/37 (Pre-Refunded to 9/1/22 @ 100) 210,000 217,603 
Series 2014 A:   
5% 9/1/34 160,000 179,119 
5% 9/1/39 250,000 278,782 
5% 9/1/44 250,000 277,697 
Series 2015 B, 5% 9/1/45 250,000 286,163 
Series 2016 B, 5% 9/1/41 345,000 406,733 
Series 2017, 5% 9/1/47 175,000 212,890 
Series 2019 A, 4% 9/1/34 300,000 352,632 
Series 2021 A, 4% 9/1/32 250,000 310,137 
Monroe County Indl. Dev. Corp. (Univ. of Rochester Proj.) Series 2020 A, 4% 7/1/50 1,060,000 1,229,100 
Nassau County Gen. Oblig. Series 2019 B, 5% 4/1/44 (FSA Insured) 250,000 314,150 
Nassau County Indl. Dev. Agcy.:   
Series 2021 A, 9% 1/1/41 (c) 675,000 675,267 
Series 2021 B, 5% 1/1/58 (g) 1,390,000 1,351,637 
New York City Gen. Oblig.:   
Series 2014 J:   
5% 8/1/30 525,000 586,542 
5% 8/1/33 180,000 200,846 
Series 2017 B:   
5% 12/1/37 515,000 615,247 
5% 12/1/41 570,000 679,725 
Series 2018 B1:   
5% 10/1/38 310,000 377,175 
5.25% 10/1/32 500,000 621,690 
Series 2018 E1:   
5% 3/1/41 15,000 18,342 
5% 3/1/44 570,000 695,175 
Series 2018 F, 5% 4/1/45 610,000 744,282 
Series 2018 F1, 5% 4/1/43 300,000 367,312 
Series 2019 D1:   
4% 12/1/42 195,000 226,547 
5% 12/1/42 610,000 760,894 
Series 2019:   
3% 8/1/36 300,000 328,536 
4% 8/1/38 300,000 352,751 
Series 2020 C, 5% 8/1/43 170,000 216,797 
Series 2020 D:   
4% 3/1/41 300,000 352,940 
4% 3/1/50 500,000 578,965 
Series 2021 F1, 4% 3/1/40 245,000 292,404 
Series 2021, 4% 8/1/40 655,000 786,985 
Series B, 5% 10/1/42 850,000 1,063,217 
New York City Hsg. Dev. Corp. Series 2013 E1C, 4.95% 11/1/46 250,000 289,479 
New York City Hsg. Dev. Corp. Multifamily Hsg.:   
Series 2019 G1B, 3.05% 5/1/50 500,000 513,582 
Series 2019 J:   
3.05% 11/1/49 300,000 311,438 
3.15% 11/1/54 500,000 519,654 
New York City Muni. Wtr. Fin. Auth. Wtr. & Swr. Sys. Rev.:   
Series 2013 EE, 5% 6/15/47 250,000 266,517 
Series 2014 CC, 5% 6/15/47 250,000 276,443 
Series 2018 EE, 5% 6/15/40 300,000 368,799 
Series 2020:   
4% 6/15/42 250,000 296,133 
4% 6/15/43 250,000 298,055 
Series 2021 AA1, 4% 6/15/50 1,885,000 2,222,523 
Series 2021, 3.5% 6/15/48 600,000 671,534 
New York City Transitional Fin. Auth. Bldg. Aid Rev.:   
Series 2013 S1, 5% 7/15/37 570,000 586,441 
Series 2015 S1:   
5% 7/15/33 250,000 284,578 
5% 7/15/36 300,000 340,893 
Series 2016 S1, 5% 7/15/43 275,000 319,307 
Series 2018 S3, 5% 7/15/43 610,000 752,417 
Series 2019 S1, 5% 7/15/45 610,000 750,576 
Series 2019 S3, 5% 7/15/37 290,000 360,909 
New York City Transitional Fin. Auth. Rev.:   
Series 2014 A1, 5% 11/1/42 1,145,000 1,239,893 
Series 2017 A, 5% 8/1/34 250,000 306,238 
Series 2017 A1, 5% 5/1/33 275,000 325,108 
Series 2017 F1, 5% 5/1/42 300,000 362,182 
Series 2019 B1:   
5% 8/1/36 845,000 1,058,510 
5% 8/1/38 610,000 760,367 
Series 2019 C1, 4% 11/1/38 275,000 324,187 
Series 2020 B1:   
4% 11/1/37 800,000 954,463 
4% 11/1/38 250,000 297,563 
4% 11/1/39 610,000 724,197 
4% 11/1/41 275,000 324,822 
4% 11/1/42 300,000 353,530 
Series 2021 A, 3% 11/1/37 250,000 272,394 
Series 2021 C, 4% 5/1/40 250,000 298,354 
Series 2021 C1, 4% 5/1/38 300,000 359,674 
Series 2021 E1, 4% 2/1/42 250,000 296,703 
Series 2021 F1:   
4% 11/1/36 60,000 72,699 
4% 11/1/37 180,000 217,217 
Series 2021, 4% 11/1/38 250,000 303,348 
Series 2022 B1, 5% 8/1/45 1,330,000 1,722,492 
Series C1, 4% 5/1/42 250,000 296,888 
New York Dorm. Auth. Personal Income Tax Rev. Series 2012 B:   
5% 3/15/32 760,000 770,392 
5% 3/15/34 570,000 577,760 
New York Dorm. Auth. Rev.:   
Series 2013 A, 5% 7/1/44 170,000 179,600 
Series 2020 A, 4% 7/1/50 570,000 662,885 
Series 2021 A, 4% 7/1/46 330,000 393,733 
New York Dorm. Auth. Sales Tax Rev.:   
Series 2016 A, 5% 3/15/35 735,000 874,572 
Series 2017 A:   
5% 3/15/39 460,000 554,662 
5% 3/15/40 250,000 301,261 
5% 3/15/42 225,000 270,564 
Series 2018 A:   
5% 3/15/40 600,000 743,101 
5% 3/15/43 250,000 307,581 
Series 2018 C, 4% 3/15/44 275,000 315,997 
Series 2018 E, 5% 3/15/40 250,000 314,199 
New York Liberty Dev. Corp.:   
(3 World Trade Ctr. Proj.) Series 2014:   
5.15% 11/15/34 (c) 335,000 372,344 
5.375% 11/15/40 (c) 2,305,000 2,559,195 
(Bank of America Tower at One Bryant Park Proj.) Series 2019 1, 2.45% 9/15/69 400,000 419,312 
(Bank of America Tower At One Bryant Park Proj.) Series 2019 3, 2.8% 9/15/69 345,000 357,152 
(World Trade Ctr. Proj.) Series 2021 A, 3% 11/15/51 275,000 285,742 
New York Metropolitan Trans. Auth. Dedicated Tax Fund Rev.:   
Series 2016 A:   
5% 11/15/22 300,000 313,752 
5.25% 11/15/31 610,000 737,525 
5.25% 11/15/33 250,000 301,937 
5.25% 11/15/34 275,000 332,971 
5.25% 11/15/36 275,000 332,404 
Series 2016 B1, 5% 11/15/36 300,000 358,002 
Series 2016 B2, 5% 11/15/36 225,000 268,528 
New York Metropolitan Trans. Auth. Rev.:   
Bonds Series 2002 D2:   
0.550% x U.S. Secured Overnight Fin. Rate (SOFR) Indx 0.584%, tender 4/1/24 (FSA Insured) (b)(d) 1,245,000 1,246,035 
0.550% x U.S. Secured Overnight Fin. Rate (SOFR) Indx 0.584%, tender 4/1/24 (FSA Insured) (b)(d) 205,000 205,170 
Series 2006 B, 5.25% 11/15/26 (FSA Insured) 485,000 588,923 
Series 2013 C:   
5% 11/15/38 250,000 263,779 
5% 11/15/42 275,000 289,675 
Series 2017 D, 5% 11/15/33 165,000 198,943 
Series 2019 C:   
4% 11/15/48 (FSA Insured) 275,000 319,166 
5% 11/15/40 250,000 311,786 
5% 11/15/44 400,000 495,135 
Series 2019 F, 5% 11/15/22 510,000 532,547 
Series 2020 A:   
4% 2/1/22 350,000 352,129 
5% 2/1/23 270,000 284,406 
5% 11/15/47 670,000 812,779 
Series 2020 A1:   
4% 11/15/42 (FSA Insured) 250,000 293,164 
5% 11/15/49 1,275,000 1,544,605 
Series 2020 C1, 5.25% 11/15/55 670,000 824,508 
Series 2020 D, 5% 11/15/45 350,000 429,591 
New York State Dorm. Auth.:   
Series 2017 A, 5% 2/15/31 15,000 18,092 
Series 2017 B, 5% 2/15/38 300,000 366,597 
Series 2019 A, 5% 3/15/46 610,000 756,990 
Series 2019 D:   
4% 2/15/39 275,000 324,294 
4% 2/15/47 700,000 812,216 
5% 2/15/48 275,000 342,702 
Series 2020 A, 3% 3/15/38 300,000 324,890 
Series 2021 A:   
4% 3/15/39 1,215,000 1,458,260 
4% 3/15/40 800,000 957,664 
New York State Hsg. Fin. Agcy. Rev.:   
Series 2020 L2, 0.75% 11/1/25 545,000 545,107 
Series 2020 M2, 0.75% 11/1/25 305,000 305,065 
New York State Urban Dev. Corp.:   
Series 2020 C:   
3% 3/15/40 400,000 430,174 
5% 3/15/47 250,000 317,259 
Series 2020 E:   
4% 3/15/34 300,000 359,411 
4% 3/15/37 2,655,000 3,149,269 
4% 3/15/38 315,000 372,990 
4% 3/15/39 1,215,000 1,435,885 
4% 3/15/43 340,000 397,718 
New York State Urban Eev Corp.:   
Series 2019 A, 5% 3/15/41 300,000 379,964 
Series 2021 A:   
3% 3/15/40 550,000 594,236 
4% 3/15/43 425,000 511,225 
New York Thruway Auth. Gen. Rev.:   
Series 2019 B:   
4% 1/1/39 375,000 438,504 
4% 1/1/45 250,000 288,568 
4% 1/1/50 300,000 344,319 
4% 1/1/50 (FSA Insured) 300,000 346,740 
Series 2020 N:   
4% 1/1/45 250,000 290,395 
5% 1/1/34 275,000 353,580 
5% 1/1/35 250,000 320,153 
5% 1/1/36 350,000 446,799 
5% 1/1/38 250,000 317,507 
Series 2021 O, 4% 1/1/39 250,000 301,766 
New York Thruway Auth. Personal Income Tax Rev. Series 2021 A1, 4% 3/15/52 225,000 263,521 
New York Trans. Dev. Corp.:   
(American Airlines, Inc. John F. Kennedy Int'l. Arpt. Proj.):   
Series 2016:   
5% 8/1/26 (a) 900,000 902,094 
5% 8/1/31 (a) 1,130,000 1,132,586 
Series 2020:   
5.25% 8/1/31 (a) 165,000 197,023 
5.375% 8/1/36 (a) 195,000 245,518 
(Delta Air Lines, Inc. - Laguardia Arpt. Terminals C&D Redev. Proj.) Series 2020:   
4.375% 10/1/45 (a) 1,465,000 1,692,349 
5% 10/1/40 (a) 230,000 282,573 
(Delta Air Lines, Inc. Laguardia Arpt. Terminals C&D Redev. Proj.) Series 2018, 5% 1/1/34 (a) 710,000 850,329 
(Delta Airlines, Inc. LaGuardia Arpt. Terminals C&D Redev. Proj.) Series 2020, 5% 10/1/35 (a) 685,000 849,320 
Series 2016 A:   
4% 7/1/31 (a) 300,000 325,046 
4% 7/1/36 (FSA Insured) (a) 500,000 539,951 
Series 2021:   
2.25% 8/1/26 (a) 80,000 82,841 
3% 8/1/31 (a) 180,000 195,578 
New York Urban Dev. Corp. Rev.:   
Series 2016 A, 5% 3/15/30 300,000 352,333 
Series 2019 A:   
5% 3/15/37 345,000 430,122 
5% 3/15/43 275,000 339,543 
Onondaga Civic Dev. Corp.:   
(St. Joseph's Hosp. Health Ctr. Proj.) Series 2012, 5% 7/1/42 (Pre-Refunded to 7/1/22 @ 100) 955,000 981,567 
Series 2011:   
5.25% 12/1/41 (Pre-Refunded to 12/1/21 @ 100) 245,000 245,000 
5.5% 12/1/31 (Pre-Refunded to 12/1/21 @ 100) 245,000 245,000 
Onondaga County Trust for Cultural Resources Rev. Series 2019, 5% 12/1/43 500,000 638,494 
Orange County N Y Fdg Corp. Assistance (The Hamlet at Wallkill Assisted Living Proj.) Series 2012, 6.5% 1/1/46 325,000 327,262 
Port Auth. of New York & New Jersey Series 2020 222, 4% 7/15/39 250,000 298,483 
Suffolk County Econ. Dev. Corp. Rev. Series 2021:   
5.125% 11/1/41 (c) 125,000 129,195 
5.375% 11/1/54 (c) 105,000 108,486 
Tobacco Settlement Asset Securitization Corp. Series 2017 A, 5% 6/1/34 250,000 297,711 
Tompkins County Dev. Corp. Continuing Care Retirement Cmnty. Rev.:   
(Kendal at Itchaca, Inc. Proj.) Series 2014 A, 5% 7/1/29 55,000 60,620 
(Kendal at Ithaca, Inc. Proj.) Series 2014 A, 5% 7/1/34 100,000 109,466 
(Kendal at Ithaca, Inc. Proj.) Series 2014 A, 5% 7/1/44 110,000 119,504 
Triborough Bridge & Tunnel Auth.:   
Series 2021 A1, 5% 5/15/51 910,000 1,166,357 
Series 2021 C2, 3% 5/15/32 250,000 283,835 
Triborough Bridge & Tunnel Auth. Revs.:   
Series 2011 A, 5% 1/1/28 (Pre-Refunded to 1/1/22 @ 100) 365,000 366,432 
Series 2012 B, 5% 11/15/25 245,000 255,986 
Series 2017 B, 5% 11/15/35 250,000 304,103 
Series 2018 A:   
5% 11/15/45 300,000 366,435 
5% 11/15/46 250,000 305,057 
Series 2019 A:   
5% 11/15/43 250,000 312,749 
5% 11/15/49 350,000 434,487 
Series 2020 A, 5% 11/15/49 755,000 962,045 
Westchester County Indl. Dev. Agcy. Spl. Facility Rev. (Million Air Two LLC Gen. Aviation Facilities Proj.) Series 2017 A, 7% 6/1/46 (a)(c) 100,000 106,796 
Westchester County Local Dev. Co. Series 2014 A, 5.5% 5/1/42 1,370,000 1,508,655 
TOTAL NEW YORK  105,059,037 
New York And New Jersey - 0.1%   
New York Liberty Dev. Corp. Series 2011 1WTC, 5% 12/15/41 300,000 300,698 
Port Auth. of New York & New Jersey:   
Series 2012 172:   
4.25% 10/1/32 (a) 250,000 253,083 
5% 10/1/34 (a) 245,000 248,761 
Series 2016 197:   
5% 11/15/34 (a) 300,000 356,206 
5% 11/15/35 (a) 250,000 296,441 
Series 2019 218, 4% 11/1/41 (a) 250,000 291,848 
Series 214, 4% 9/1/43 (a) 535,000 620,312 
TOTAL NEW YORK AND NEW JERSEY  2,367,349 
North Carolina - 0.5%   
Mecklenburg County Gen. Oblig.:   
Series 2016 A, 5% 9/1/25 915,000 1,069,798 
Series 2017 A, 5% 4/1/25 290,000 334,192 
Nash Health Care Sys. Health Care Facilities Rev. Series 2003, 5.5% 11/1/26 (FSA Insured) 120,000 120,535 
North Carolina Med. Care Commission Health Care Facilities Rev.:   
(Lutheran Svcs. for the Aging) Series 2012 A:   
4.75% 3/1/32 (Pre-Refunded to 3/1/22 @ 100) 60,000 60,660 
5% 3/1/37 (Pre-Refunded to 3/1/22 @ 100) 120,000 121,394 
5% 3/1/42 (Pre-Refunded to 3/1/22 @ 100) 120,000 121,394 
Series 2015:   
5% 10/1/25 215,000 230,645 
5% 10/1/30 115,000 122,741 
5% 10/1/35 350,000 371,586 
5% 6/1/40 1,575,000 1,793,839 
5% 6/1/45 1,600,000 1,816,393 
Series 2021 A, 4% 3/1/51 150,000 162,408 
Series 2021 C:   
4% 3/1/36 140,000 151,580 
4% 3/1/42 295,000 313,500 
North Carolina Med. Care Commission Retirement Facilities Rev.:   
(Salemtowne Proj.) Series 2015:   
5.25% 10/1/35 120,000 120,250 
5.25% 10/1/37 55,000 60,048 
5.375% 10/1/45 715,000 777,878 
Series 2013, 6.25% 7/1/35 (Pre-Refunded to 7/1/23 @ 100) 275,000 300,213 
Series 2015 A, 5% 9/1/37 (Pre-Refunded to 9/1/24 @ 100) 125,000 140,338 
Series 2015:   
4.7% 7/1/37 165,000 175,955 
4.875% 7/1/40 325,000 347,244 
5% 7/1/45 270,000 288,671 
Series 2016:   
5% 10/1/31 105,000 114,145 
5% 10/1/37 95,000 102,483 
Series 2017 A, 5% 7/1/47 70,000 76,879 
Series 2017 C, 5% 9/1/41 (Pre-Refunded to 9/1/23 @ 103) 100,000 110,867 
Series 2019 A:   
5% 7/1/39 105,000 118,123 
5% 7/1/44 135,000 150,936 
5% 7/1/49 120,000 133,668 
Series 2021 A:   
4% 9/1/41 65,000 73,320 
4% 9/1/47 60,000 66,797 
4% 9/1/51 60,000 66,361 
North Carolina Muni. Pwr. Agcy. #1 Catawba Elec. Rev. Series 2015 A, 5% 1/1/28 930,000 1,081,059 
North Carolina Tpk. Auth. Monroe Expressway Toll Rev. Series 2016 A:   
5% 7/1/42 70,000 79,669 
5% 7/1/47 325,000 368,054 
5% 7/1/51 315,000 355,970 
5% 7/1/54 1,230,000 1,388,253 
North Carolina Tpk. Auth. Triangle Expressway Sys.:   
Series 2017:   
5% 1/1/30 90,000 106,250 
5% 1/1/32 135,000 158,400 
Series 2018:   
5% 1/1/36 (FSA Insured) 345,000 431,813 
5% 1/1/40 1,025,000 1,240,842 
Raleigh Durham Arpt. Auth. Arpt. Rev. Series 2020 A:   
5% 5/1/34 (a) 260,000 329,610 
5% 5/1/35 (a) 120,000 151,867 
5% 5/1/36 (a) 60,000 75,771 
Univ. of North Carolina at Chapel Hill Rev. Series 2021 B:   
5% 12/1/36 495,000 671,028 
5% 12/1/37 775,000 1,047,965 
5% 12/1/38 875,000 1,180,813 
Univ. of North Carolina Hosp. at Chapel Hill Rev. Series 2016, 5% 2/1/46 60,000 70,380 
TOTAL NORTH CAROLINA  18,752,585 
North Dakota - 0.0%   
Univ. of North Dakota Series 2021 A, 3% 6/1/61 (FSA Insured) 300,000 310,186 
Univ. of North Dakota Hsg. and Auxiliary Facilities Rev. Series 2019 A, 4% 4/1/44 (FSA Insured) 250,000 289,370 
TOTAL NORTH DAKOTA  599,556 
Ohio - 1.0%   
Akron Bath Copley Hosp. District Rev. Series 2012, 5% 11/15/42 250,000 255,017 
American Muni. Pwr., Inc. Rev. Series 2021 A:   
4% 2/15/34 475,000 561,822 
5% 2/15/33 300,000 383,724 
Buckeye Tobacco Settlement Fing. Auth.:   
Series 2020 A2:   
3% 6/1/48 915,000 942,743 
4% 6/1/37 315,000 368,807 
4% 6/1/38 215,000 250,934 
4% 6/1/39 425,000 494,365 
4% 6/1/48 1,345,000 1,520,536 
Series 2020 B2, 5% 6/1/55 12,385,000 14,210,657 
Cleveland-Cuyahoga County Port Auth.:   
(Playhouse Square Foundation Proj.) Series 2018:   
5.5% 12/1/43 105,000 123,047 
5.5% 12/1/53 590,000 685,301 
(The Cleveland Museum of Natural History Proj.) Series 2021:   
4% 7/1/40 35,000 41,555 
4% 7/1/41 45,000 53,294 
4% 7/1/46 90,000 105,395 
4% 7/1/51 120,000 139,771 
Cuyahoga County Hosp. Rev. Series 2017:   
5% 2/15/42 275,000 322,674 
5% 2/15/57 180,000 209,717 
5.25% 2/15/47 250,000 296,726 
5.5% 2/15/52 1,795,000 2,148,749 
5.5% 2/15/57 1,535,000 1,829,038 
Franklin County Convention Facilities Auth. (Greater Columbus Convention Ctr. Hotel Expansion Proj.) Series 2019:   
5% 12/1/44 845,000 975,066 
5% 12/1/51 1,135,000 1,298,553 
Franklin County Health Care Facilities Rev. Series 2013 A:   
6.125% 7/1/40 (Pre-Refunded to 7/1/22 @ 100) 25,000 25,838 
6.125% 7/1/40 (Pre-Refunded to 7/1/22 @ 100) 415,000 428,904 
Hamilton County Healthcare Rev.:   
(Life Enriching Cmntys. Proj.):   
Series 2016, 5% 1/1/36 180,000 198,527 
Series 2017 A, 5% 1/1/52 120,000 132,538 
(Life Enriching Communitites Proj.) Series 2016, 5% 1/1/46 510,000 555,642 
Marion County Health Care Rev. Series 2019:   
5% 12/1/39 100,000 109,490 
5.125% 12/1/49 110,000 119,734 
Muskingum County Hosp. Facilities (Genesis Healthcare Sys. Obligated Group Proj.) Series 2013, 5% 2/15/44 305,000 316,682 
Ohio Air Quality Dev. Auth. Exempt Facilities Rev.:   
(AMG Vanadium Proj.) Series 2019, 5% 7/1/49 (a)(c) 1,045,000 1,222,796 
(Pratt Paper (OH), LLC Proj.) Series 2017, 4.5% 1/15/48 (a)(c) 310,000 358,483 
Ohio Air Quality Dev. Auth. Rev.:   
(Ohio Valley Elec. Corp. Proj.) Series 2019 A, 3.25% 9/1/29 765,000 828,692 
Series 2012 A, 6.75% 6/1/24 (a) 365,000 367,867 
Ohio Hosp. Facilities Rev. Series 2019 B, 4% 1/1/46 300,000 345,702 
Ohio Hosp. Rev. Series 2020 A:   
4% 1/15/38 65,000 75,506 
4% 1/15/39 120,000 139,131 
4% 1/15/50 610,000 693,655 
5% 1/15/50 515,000 629,817 
Ohio Hsg. Fin. Agcy. Residential Mtg. Rev. (Mtg.-Backed Securities Prog.) Series 2018 A, 4.5% 9/1/48 250,000 275,102 
Ohio State Univ. Gen. Receipts Series 2021 A, 4% 12/1/48 1,190,000 1,426,992 
Ohio Tpk. Commission Tpk. Rev. (Infrastructure Projs.) Series 2013 A1, 5% 2/15/28 30,000 31,674 
Southeastern Ohio Port Auth. Hosp. Facilities Rev. (Memorial Health Sys. Obligated Group Proj.) Series 2012, 6% 12/1/42 865,000 894,971 
Southern Ohio Port Auth. Exempt Facility Rev. (Purecycle Proj.) Series 2020 A, 7% 12/1/42 (a)(c) 120,000 137,891 
Toledo Wtrwks. Rev. Series 2013, 5% 11/15/38 120,000 127,371 
Univ. of Cincinnati Gen. Receipts Series 2017 A, 5% 6/1/45 350,000 424,935 
TOTAL OHIO  37,085,431 
Oklahoma - 0.2%   
Garfield County Edl. Facilities Auth. (Enid Pub. Schools Proj.) Series 2016 A:   
5% 9/1/28 250,000 296,603 
5% 9/1/29 250,000 295,857 
Norman Reg'l. Hosp. Auth. Hosp. Rev. Series 2019, 4% 9/1/45 505,000 577,966 
Oklahoma County Fin. Auth. Rev.:   
(Epworth Villa Proj.):   
Series 2004 B, 5.75% 4/1/27 (b) 40,000 34,000 
Series 2005 B, 6% 4/1/30 (b) 50,000 42,500 
Series 2012 A:   
5% 4/1/33 180,000 153,000 
5.125% 4/1/42 180,000 153,000 
Series 2005 A, 5.875% 4/1/30 235,000 199,750 
Oklahoma Dev. Fin. Auth. Health Sys. Rev. (OU Medicine Proj.) Series 2018 B:   
5.5% 8/15/52 530,000 655,437 
5.5% 8/15/57 550,000 678,994 
Oklahoma Pwr. Auth. Pwr. Supply Sys. Rev. Series 2021 A, 4% 1/1/47 (FSA Insured) 250,000 293,787 
Oklahoma Tpk. Auth. Tpk. Rev.:   
Series 1989, 6% 1/1/22 (Escrowed to Maturity) 1,545,000 1,552,190 
Series 2017 C, 5% 1/1/47 160,000 191,524 
Tulsa Indl. Auth. Rev. (Montereau, Inc. Proj.) Series 2017:   
5% 11/15/31 115,000 130,127 
5.25% 11/15/37 75,000 85,266 
5.25% 11/15/45 160,000 180,203 
Tulsa Muni. Arpt. Trust Rev. Series 2001 B, 5.5% 12/1/35 (a) 670,000 711,536 
TOTAL OKLAHOMA  6,231,740 
Oregon - 0.1%   
Clackamas County Hosp. Facility Auth.:   
(Willamette View, Inc.) Series 2017 A, 5% 11/15/47 85,000 93,003 
(Williamette View Proj.) Series 2017 A, 5% 11/15/32 30,000 33,386 
(Williamette View, Inc.) Series 2017 A:   
5% 11/15/37 30,000 33,146 
5% 11/15/52 90,000 98,296 
Oregon Facilities Auth. Rev. (Legacy Health Proj.) Series 2016 A, 5% 6/1/46 505,000 587,793 
Oregon State Hsg. & Cmnty. Svcs. Dept. (Single-Family Mtg. Prog.) Series 2018 C, 4.5% 7/1/49 250,000 270,808 
Port of Portland Arpt. Rev.:   
Series 2017 24B, 5% 7/1/42 (a) 365,000 429,783 
Series 2020 27A, 4% 7/1/39 (a) 610,000 713,401 
Series 2020, 5% 7/1/37 (a) 300,000 377,566 
Univ. of Oregon Gen. Rev. Series 2021 A, 3.5% 4/1/52 1,000,000 1,120,480 
Yamhill County Hosp. Auth. Rev. Series 2016 A:   
4% 11/15/26 20,000 21,510 
5% 11/15/31 20,000 21,975 
5% 11/15/36 30,000 32,844 
5% 11/15/46 80,000 86,779 
TOTAL OREGON  3,920,770 
Pennsylvania - 0.8%   
Allegheny County Hosp. Dev. Auth. Rev. Series 2018 A:   
4% 4/1/44 5,000 5,577 
5% 4/1/47 210,000 251,400 
Allegheny County Indl. Dev. Auth. Enviromental Impt. Rev. (United States Steel Corp. Proj.) Series 2019, 4.875% 11/1/24 75,000 81,785 
Allentown Neighborhood Impt. Zone Dev. Auth. Tax Rev.:   
(City Ctr. Rfdg. Proj.):   
Series 2017:   
5% 5/1/27 (c) 465,000 546,145 
5% 5/1/32 (c) 210,000 243,104 
5% 5/1/42 (c) 545,000 622,474 
Series 2018:   
5% 5/1/33 (c) 210,000 247,466 
5% 5/1/42 (c) 350,000 409,688 
5.375% 5/1/42 (c) 580,000 676,369 
Series 2012 A, 5% 5/1/42 90,000 91,633 
Series 2022:   
5% 5/1/31 40,000 50,083 
5% 5/1/32 45,000 56,893 
5% 5/1/33 50,000 63,082 
5% 5/1/34 45,000 56,656 
5% 5/1/35 50,000 62,824 
5% 5/1/42 180,000 222,456 
Butler County Hosp. Auth. Hosp. Rev. (Butler Health Sys. Proj.) Series 2015 A:   
5% 7/1/35 510,000 574,372 
5% 7/1/39 290,000 325,317 
Chester County Indl. Dev. Auth. Rev. (Longwood Gardens, Inc. Proj.) Series 2021:   
4% 12/1/46 445,000 526,851 
4% 12/1/51 605,000 710,163 
Commonwealth Fing. Auth. Tobacco:   
Series 2018 A, 5% 6/1/31 300,000 369,477 
Series 2018:   
4% 6/1/39 (FSA Insured) 250,000 285,825 
5% 6/1/34 15,000 18,280 
Cumberland County Muni. Auth. Rev.:   
(Asbury Pennsylvania Obligated Group) Series 2012, 5.25% 1/1/32 180,000 180,726 
Series 2021 A:   
4.5% 1/1/36 (c) 240,000 255,022 
4.5% 1/1/40 (c) 815,000 859,576 
4.5% 1/1/41 (c) 255,000 268,401 
Delaware Valley Reg'l. Fin. Auth. Local Govt. Rev. Series 1998 A, 5.5% 8/1/28 (AMBAC Insured) 305,000 390,241 
Doylestown Hosp. Auth. Hosp. Rev. Series 2019, 5% 7/1/49 450,000 525,656 
East Hempfield Township Indl. Dev. Auth. Rev.:   
Series 2014:   
5% 7/1/34 (Pre-Refunded to 7/1/24 @ 100) 60,000 67,024 
5% 7/1/39 (Pre-Refunded to 7/1/24 @ 100) 60,000 67,024 
5% 7/1/46 (Pre-Refunded to 7/1/24 @ 100) 95,000 106,121 
Series 2015:   
5% 7/1/30 (Pre-Refunded to 7/1/25 @ 100) 50,000 57,875 
5% 7/1/35 (Pre-Refunded to 7/1/25 @ 100) 65,000 75,237 
5% 7/1/47 (Pre-Refunded to 7/1/25 @ 100) 455,000 526,661 
Franklin County Indl. Dev. Auth. (Menno-Haven, Inc. Proj.) Series 2018:   
5% 12/1/38 120,000 132,125 
5% 12/1/43 75,000 82,069 
5% 12/1/48 80,000 87,191 
5% 12/1/53 85,000 92,473 
Geisinger Auth. Health Sys. Rev. Series 2020 A, 4% 4/1/39 250,000 292,284 
Lancaster County Hosp. Auth. Health Ctr. Rev.:   
Series 2015:   
5.25% 7/1/35 15,000 16,212 
5.5% 7/1/45 60,000 64,653 
Series 2021:   
5% 11/1/46 300,000 370,597 
5% 11/1/51 300,000 369,690 
Lehigh County Gen. Purp. Hosp. Rev. Series 2019 A, 5% 7/1/44 250,000 309,338 
Monroeville Fin. Auth. UPMC Rev. Series 2012, 4.25% 2/15/42 300,000 307,878 
Montgomery County Higher Ed. & Health Auth. Rev. Series 2018 A:   
5% 9/1/34 335,000 411,713 
5% 9/1/37 305,000 373,194 
5% 9/1/43 305,000 369,622 
Montgomery County Indl. Dev. Auth. Series 2015 A, 5.25% 1/15/45 1,385,000 1,566,291 
Montgomery County Indl. Dev. Auth. Rev.:   
(Foulkeways At Gwynedd Proj.) Series 2016, 5% 12/1/46 670,000 734,551 
Series 2015:   
5.25% 1/1/40 210,000 225,658 
5.375% 1/1/50 725,000 776,834 
Montgomery Gen. Oblig. Series 2021 A, 5% 1/1/37 285,000 374,111 
Moon Indl. Dev. Auth. Rev. Series 2015, 6.125% 7/1/50 250,000 266,947 
Pennsylvania Econ. Dev. Fing. Auth. Series 2017 A, 4% 11/15/42 250,000 284,071 
Pennsylvania Econ. Dev. Fing. Auth. Solid Waste Disp. Rev.:   
(Covanta Proj.) Series 2019 A, 3.25% 8/1/39 (a)(c) 250,000 256,359 
Bonds (Consol Energy, Inc. Proj.) Series 2021 A, 9%, tender 4/13/28 (a)(b)(c) 700,000 863,409 
Pennsylvania Higher Edl. Facilities Auth. Rev.:   
Series 2007 A, 3 month U.S. LIBOR + 0.650% 0.738% 7/1/39 (XL Cap. Assurance, Inc. Insured) (b)(d) 510,000 470,683 
Series 2012 A:   
5% 7/1/32 (Pre-Refunded to 7/1/22 @ 100) 100,000 102,791 
5% 7/1/41 (Pre-Refunded to 7/1/22 @ 100) 395,000 406,026 
Series 2013 A, 5.5% 7/15/38 (Pre-Refunded to 7/15/23 @ 100) 170,000 184,173 
Series 2014, 5% 7/15/38 145,000 157,334 
Series 2015 A:   
5% 9/1/39 180,000 202,921 
5% 9/1/45 225,000 253,229 
Series 2019:   
4% 8/15/44 350,000 408,838 
4% 8/15/49 570,000 659,949 
Series 2021 A, 4% 8/15/43 640,000 766,933 
Pennsylvania Tpk. Commission Oil Franchise Tax Rev. Series 2021 A, 4% 12/1/51 1,335,000 1,578,107 
Pennsylvania Tpk. Commission Tpk. Rev.:   
Series 2014 C, 5% 12/1/44 120,000 135,182 
Series 2016 A1, 5% 12/1/46 250,000 292,588 
Series 2018 A2, 5% 12/1/43 225,000 278,532 
Series 2019 A, 5% 12/1/44 275,000 347,393 
Philadelphia Arpt. Rev. Series 2021, 4% 7/1/46 (a) 465,000 539,706 
Philadelphia Auth. for Indl. Dev. Series 2016 2, 5% 4/1/34 935,000 1,061,633 
Philadelphia Auth. for Indl. Dev. Sr. Living Facilities Rev. Series 2017 A:   
5% 7/1/37 190,000 212,808 
5% 7/1/42 130,000 144,394 
5% 7/1/49 220,000 242,568 
Philadelphia Gen. Oblig. Series 2019 B, 5% 2/1/38 250,000 311,748 
Philadelphia Hospitals & Higher Ed. Facilities Auth. Hosp. Rev. Series 2017:   
5% 7/1/28 305,000 365,281 
5% 7/1/30 60,000 71,266 
Philadelphia School District:   
Series 2019 A, 5% 9/1/44 755,000 940,994 
Series 2021 A, 4% 9/1/46 610,000 713,037 
Philadelphia Wtr. & Wastewtr. Rev.:   
Series 2012, 5% 11/1/28 (Pre-Refunded to 11/1/22 @ 100) 120,000 125,221 
Series 2017 A, 5% 10/1/47 250,000 302,687 
Pittsburgh Wtr. & Swr. Auth. Wtr. & Swr. Sys. Rev. Series 2019 A, 5% 9/1/44 (FSA Insured) 250,000 312,827 
State Pub. School Bldg. Auth. College Rev. (Cmnty. College of Philadelphia Proj.) Series 2015, 5% 6/15/28 250,000 284,557 
State Pub. School Bldg. Auth. Lease Rev. (The School District of Philadelphia Proj.) Series 2016 A:   
5% 6/1/31 625,000 747,671 
5% 6/1/32 (FSA Insured) 610,000 728,739 
TOTAL PENNSYLVANIA  31,854,570 
Puerto Rico - 2.0%   
GDB Debt Recovery Auth. Series 2018, 7.5% 8/20/40 1,320,000 1,240,800 
Puerto Rico Commonwealth Aqueduct & Swr. Auth.:   
Series 2008 A, 6.125% 7/1/24 105,000 113,876 
Series 2020 A:   
5% 7/1/30 (c) 1,215,000 1,515,579 
5% 7/1/35 (c) 1,235,000 1,508,218 
5% 7/1/47 (c) 2,080,000 2,470,449 
Series 2021 A:   
4% 7/1/42 (c) 715,000 809,766 
5% 7/1/33 (c) 250,000 313,543 
Series 2021 B:   
4% 7/1/42 (c) 755,000 855,068 
4% 7/1/47 (c) 670,000 750,125 
5% 7/1/25 (c) 250,000 284,232 
5% 7/1/29 (c) 655,000 805,895 
5% 7/1/33 (c) 625,000 783,858 
5% 7/1/37 (c) 750,000 926,485 
Series 2022 A:   
4% 7/1/42 1,070,000 1,183,314 
5% 7/1/25 250,000 277,284 
5% 7/1/28 250,000 293,743 
5% 7/1/29 250,000 297,783 
5% 7/1/33 1,275,000 1,570,675 
5% 7/1/37 1,425,000 1,742,532 
Puerto Rico Commonwealth Infrastructure Fing. Auth. Series 2005 B, 5% 7/1/41 830,000 396,325 
Puerto Rico Commonwealth Pub. Impt. Gen. Oblig.:   
Series 2007 A, 5% 7/1/19 120,000 118,500 
Series 2007 A4, 5.25% 7/1/30 (FSA Insured) 90,000 90,898 
Series 2008 A:   
5.125% 7/1/28 510,000 497,250 
5.25% 7/1/25 335,000 327,881 
5.5% 7/1/32 400,000 392,500 
Series 2008 C, 5.9% 7/1/28 150,000 145,688 
Series 2009 B:   
5.75% 7/1/38 1,110,000 1,076,700 
6.5% 7/1/37 200,000 201,250 
Series 2009 C, 6% 7/1/39 1,630,000 1,593,325 
Series 2011 C:   
6% 7/1/32 155,000 149,188 
6% 7/1/35 135,000 127,575 
Series 2012 A:   
5% 7/1/35 (FSA Insured) 750,000 755,661 
5% 7/1/41 5,000 4,425 
Series 2012 B, 3.65% 7/1/16 195,000 177,694 
Series 2021 A:   
5% 7/1/24 215,000 212,044 
5% 7/1/41 3,410,000 3,060,475 
5.125% 7/1/37 2,705,000 2,495,363 
5.25% 7/1/22 485,000 479,544 
5.25% 7/1/31 150,000 150,000 
5.25% 7/1/34 175,000 173,469 
5.375% 7/1/33 100,000 98,250 
5.5% 7/1/39 560,000 526,400 
5.75% 7/1/28 1,085,000 1,023,969 
5.75% 7/1/41 870,000 850,425 
6% 7/1/38 60,000 60,000 
8% 7/1/35 5,085,000 4,449,375 
Series 2021 B, 6% 7/1/39 830,000 830,000 
Series 2021 C, 5.75% 7/1/36 1,225,000 1,119,344 
Series 2021:   
5% 7/1/35 150,000 148,125 
5.25% 7/1/27 5,000 4,944 
5.25% 7/1/30 685,000 678,150 
Puerto Rico Elec. Pwr. Auth. Pwr. Rev.:   
Series 2005 SS, 5% 7/1/24 (Nat'l. Pub. Fin. Guarantee Corp. Insured) 305,000 309,532 
Series 2007 TT:   
5% 7/1/20 65,000 62,563 
5% 7/1/24 255,000 250,538 
5% 7/1/25 80,000 78,600 
5% 7/1/26 100,000 98,250 
5% 7/1/27 275,000 270,188 
5% 7/1/32 365,000 358,613 
5% 7/1/37 1,145,000 1,124,963 
Series 2008 WW:   
5% 7/1/28 260,000 255,450 
5.25% 7/1/33 435,000 428,475 
5.5% 7/1/18 55,000 53,281 
5.5% 7/1/38 550,000 543,125 
Series 2010 AAA:   
5.25% 7/1/25 5,000 4,925 
5.25% 7/1/27 90,000 88,650 
5.25% 7/1/29 305,000 300,425 
Series 2010 CCC:   
5% 7/1/27 20,000 19,650 
5% 12/31/49 115,000 110,688 
5.25% 7/1/26 120,000 118,200 
5.25% 7/1/27 560,000 551,600 
5.25% 7/1/28 235,000 231,475 
Series 2010 XX:   
4.75% 7/1/26 30,000 29,363 
5.25% 7/1/27 25,000 24,625 
5.25% 7/1/35 265,000 261,025 
5.25% 7/1/40 520,000 512,200 
5.75% 7/1/36 210,000 208,163 
Series 2010 ZZ:   
3.7% 7/1/17 15,000 13,931 
4.75% 7/1/27 25,000 24,469 
5% 7/1/17 25,000 24,063 
5% 7/1/19 150,000 144,375 
5% 7/1/28 20,000 19,650 
5.25% 7/1/19 200,000 193,250 
5.25% 7/1/23 50,000 49,250 
5.25% 7/1/24 40,000 39,400 
5.25% 7/1/26 295,000 290,575 
Series 2012 A:   
5% 7/1/29 675,000 663,188 
5% 7/1/42 550,000 540,375 
5.05% 7/1/42 25,000 24,563 
Series 2013 A, 6.75% 7/1/36 895,000 899,475 
Puerto Rico Sales Tax Fing. Corp. Sales Tax Rev.:   
Series 2018 A1:   
0% 7/1/27 1,100,000 1,005,277 
0% 7/1/29 740,000 639,250 
0% 7/1/31 2,060,000 1,652,798 
0% 7/1/33 1,545,000 1,154,997 
0% 7/1/46 13,560,000 4,517,560 
0% 7/1/51 4,670,000 1,124,502 
4.55% 7/1/40 270,000 306,028 
4.75% 7/1/53 3,175,000 3,590,351 
5% 7/1/58 7,310,000 8,374,024 
Series 2019 A1, 4.5% 7/1/34 1,320,000 1,440,802 
Series 2019 A2:   
4.329% 7/1/40 965,000 1,080,807 
4.329% 7/1/40 655,000 733,605 
4.536% 7/1/53 180,000 201,227 
4.784% 7/1/58 1,270,000 1,438,742 
TOTAL PUERTO RICO  76,639,063 
Rhode Island - 0.0%   
Rhode Island Health & Edl. Bldg. Corp. Higher Ed. Facilities Rev.:   
Series 2013 A:   
5.5% 9/1/28 (Pre-Refunded to 9/1/23 @ 100) 180,000 196,491 
6% 9/1/33 (Pre-Refunded to 9/1/23 @ 100) 245,000 269,445 
Series 2016 B, 5% 9/1/36 305,000 344,870 
Rhode Island Health and Edl. Bldg. Corp. Higher Ed. Facility Rev. Series 2009 B, 5.25% 9/15/29 160,000 160,651 
Rhode Island Hsg. & Mtg. Fin. Corp. Series 2018 69B, 4% 10/1/48 250,000 272,820 
TOTAL RHODE ISLAND  1,244,277 
South Carolina - 0.3%   
Connector 2000 Assoc., Inc. Toll Road Rev.:   
Series 2011 A1:   
0% 1/1/32 861,263 452,001 
0% 1/1/42 2,402,723 633,425 
0% 7/22/51 3,706,348 463,680 
Series 2016 A, 0% 1/1/22 15,000 14,963 
Patriots Energy Group Fing. Agcy. Bonds Series 2018 A, 4%, tender 2/1/24 (b) 860,000 920,774 
Piedmont Muni. Pwr. Agcy. Elec. Rev. Series 2008 C, 5.75% 1/1/34 275,000 275,000 
South Carolina Jobs-Econ. Dev. Auth. Series 2018 A:   
5% 5/1/35 265,000 322,198 
5% 5/1/36 610,000 740,406 
South Carolina Jobs-Econ. Dev. Auth. Econ. Dev. Rev.:   
(South Carolina Saves Green Cmnty. Prog. AAA East LLC Proj.) Series 2019 A, 7% 5/1/39 (a)(c) 100,000 96,394 
Series 2013, 5% 11/1/29 (Pre-Refunded to 11/1/22 @ 100) 245,000 255,731 
South Carolina Jobs-Econ. Dev. Auth. Solid Waste Disp. Rev.:   
(Repower South Berkeley, LLC Proj.) Series 2017:   
6% 2/1/35 (a)(c)(h) 385,000 154,000 
6.25% 2/1/45 (a)(c)(h) 775,000 310,000 
Series 2019, 8% 12/6/29 (h) 120,000 108,915 
South Carolina Jobs-Economoc Dev. Auth. Retirement Cmnty. Rev. Series 2018 C, 5% 11/15/47 235,000 269,350 
South Carolina Pub. Svc. Auth. Rev.:   
Series 2011 C, 5% 12/1/36 200,000 200,000 
Series 2012 A, 5% 12/1/25 250,000 250,000 
Series 2012 D, 5% 12/1/43 (Pre-Refunded to 6/1/22 @ 100) 250,000 256,002 
Series 2014 A, 5.5% 12/1/54 605,000 675,597 
Series 2014 C, 5% 12/1/29 250,000 281,368 
Series 2015 E, 5.25% 12/1/55 1,345,000 1,571,724 
Series 2016 A, 5% 12/1/32 250,000 294,670 
Series 2020 A:   
4% 12/1/40 250,000 294,886 
4% 12/1/42 300,000 352,113 
5% 12/1/43 300,000 382,085 
Series 2021 B, 5% 12/1/51 610,000 776,155 
Series A, 3% 12/1/41 250,000 270,327 
South Carolina Trans. Infrastructure Bank Rev. Series 2017 A:   
5% 10/1/35 (FSA Insured) 250,000 306,510 
5% 10/1/36 400,000 489,831 
TOTAL SOUTH CAROLINA  11,418,105 
South Dakota - 0.0%   
Sioux Falls Health Facilities Rev. (Dow Rummel Village Proj.) Series 2017:   
5% 11/1/28 85,000 96,578 
5% 11/1/30 95,000 107,087 
5% 11/1/32 85,000 94,934 
5% 11/1/42 120,000 131,231 
South Dakota Health & Edl. Facilities Auth. Rev.:   
Series 2012 E, 5% 11/1/37 125,000 129,898 
Series 2014 B, 5% 11/1/44 285,000 318,170 
TOTAL SOUTH DAKOTA  877,898 
Tennessee - 0.3%   
Blount County Health & Edl. Facilities Board Rev. Series 2016 A, 5% 1/1/47 475,000 389,413 
Chattanooga Health Ed. & Hsg. Facility Board Rev. (CDFI Phase I, LLC - Univ. of Tennessee at Chattanooga Proj.) Series 2015, 5% 10/1/35 165,000 182,968 
Greeneville Health & Edl. Facilities Board Series 2018 A, 5% 7/1/36 395,000 480,151 
Knox County Health Edl. & Hsg. Facilities Series 2012 A, 5% 1/1/26 165,000 172,652 
Metropolitan Nashville Arpt. Auth. Rev.:   
Series 2015 A, 5% 7/1/45 570,000 652,558 
Series 2019 B:   
4% 7/1/49 (a) 850,000 973,548 
4% 7/1/54 (a) 975,000 1,108,840 
5% 7/1/33 (a) 250,000 318,203 
5% 7/1/44 (a) 365,000 454,348 
5% 7/1/49 (a) 860,000 1,063,491 
5% 7/1/54 (a) 595,000 731,773 
Nashville and Davidson County Metropolitan Govt. Health & Edl. Facilities Board Rev. Series 2016 A:   
5% 7/1/35 340,000 402,836 
5% 7/1/40 190,000 224,439 
5% 7/1/46 1,610,000 1,889,997 
Shelby County Health Edl. & Hsg. Facility Board Residential Care Facilitiy Mtg. Rev.:   
Series 2012:   
5.25% 12/1/42 (Pre-Refunded to 12/1/22 @ 100) 120,000 125,957 
5.375% 12/1/47 (Pre-Refunded to 12/1/22 @ 100) 210,000 220,686 
Series 2014:   
5% 12/1/34 30,000 32,460 
5.25% 12/1/44 70,000 75,568 
5.25% 12/1/49 205,000 220,874 
Tennessee Energy Acquisition Corp.:   
Bonds:   
Series 2018, 4%, tender 11/1/25 (b) 505,000 562,638 
Series 2021 A, 5%, tender 11/1/31 (b) 1,070,000 1,383,767 
Series 2006 A:   
5.25% 9/1/24 320,000 359,199 
5.25% 9/1/26 725,000 852,794 
Tennessee Hsg. Dev. Agcy. Residential Series 2018, 4.5% 7/1/49 250,000 275,013 
TOTAL TENNESSEE  13,154,173 
Texas - 1.8%   
Austin Arpt. Sys. Rev.:   
Series 2017 B, 5% 11/15/41 (a) 200,000 237,521 
Series 2019 B, 5% 11/15/44 (a) 1,410,000 1,745,839 
Austin Convention Enterprises, Inc.:   
Series 2017 A:   
5% 1/1/28 55,000 62,751 
5% 1/1/30 125,000 141,258 
5% 1/1/31 175,000 197,295 
5% 1/1/32 205,000 230,988 
5% 1/1/33 190,000 213,149 
5% 1/1/34 375,000 419,496 
Series 2017 B:   
5% 1/1/23 30,000 30,854 
5% 1/1/26 130,000 141,879 
5% 1/1/28 30,000 33,010 
5% 1/1/29 70,000 76,664 
5% 1/1/32 135,000 146,382 
5% 1/1/34 195,000 210,780 
Board of Managers, Joint Guadalupe County, City of Seguin Hosp. Series 2015:   
5% 12/1/28 85,000 93,896 
5% 12/1/29 205,000 225,380 
5% 12/1/30 105,000 115,041 
5% 12/1/40 405,000 436,456 
5% 12/1/45 405,000 434,053 
5.25% 12/1/35 125,000 137,688 
Central Reg'l. Mobility Auth.:   
Series 2013, 5% 1/1/33 (Pre-Refunded to 1/1/23 @ 100) 245,000 257,291 
Series 2015 A, 5% 1/1/28 70,000 79,973 
Series 2021 B:   
4% 1/1/40 45,000 53,189 
4% 1/1/41 35,000 41,238 
4% 1/1/51 650,000 752,600 
5% 1/1/34 30,000 38,740 
5% 1/1/39 10,000 12,752 
5% 1/1/46 1,715,000 2,152,157 
Clifton Higher Ed. Fin. Corp. Ed. Rev. Series 2018 D, 6.125% 8/15/48 970,000 1,114,707 
Conroe Local Govt. Hotel Rev.:   
Series 2021 A, 4% 10/1/50 100,000 110,247 
Series 2021 B:   
3.5% 10/1/31 20,000 19,968 
5% 10/1/50 105,000 115,251 
Dallas Area Rapid Transit Sales Tax Rev.:   
Series 2016 B, 4% 12/1/36 250,000 283,371 
Series 2021 B:   
4% 12/1/51 (e) 500,000 587,230 
5% 12/1/47 (e) 1,350,000 1,733,001 
Dallas County Hosp. District Series 2019, 5% 8/15/30 300,000 374,938 
Dallas Fort Worth Int'l. Arpt. Rev.:   
Series 2013 C, 5.125% 11/1/43 (Pre-Refunded to 11/1/22 @ 100) (a) 565,000 589,694 
Series 2013 F, 5.25% 11/1/30 570,000 622,122 
Series 2014 A:   
5% 11/1/32 (a) 500,000 540,240 
5.25% 11/1/30 (a) 735,000 799,109 
Series 2020 B, 4% 11/1/35 400,000 483,487 
Decatur Hosp. Auth. Hosp. Rev.:   
Series 2014 A, 5.25% 9/1/44 425,000 468,147 
Series 2014, 5% 9/1/34 105,000 115,396 
Fort Bend County Indl. Dev. Corp. (NRG Energy, Inc. Proj.) Series 2012 B, 4.75% 11/1/42 305,000 315,544 
Grand Parkway Trans. Corp.:   
Series 2018 A, 5% 10/1/43 250,000 309,177 
Series 2020 C, 4% 10/1/49 800,000 927,067 
Gulf Coast Indl. Dev. Auth. Solid Waste Disp. Rev. (Citgo Petroleum Corp. Proj.) Series 1995, 4.875% 5/1/25 (a) 720,000 730,904 
Harris County Cultural Ed. Facilities Fin. Corp. Rev.:   
(Brazos Presbyterian Homes, Inc. Proj.) Series 2013 A:   
5% 1/1/38 30,000 30,953 
5% 1/1/43 30,000 30,901 
Series 2013 B:   
6.375% 1/1/33 200,000 210,032 
7% 1/1/48 (Pre-Refunded to 1/1/23 @ 100) 320,000 342,732 
Series 2021 A, 4% 10/1/42 745,000 893,445 
Harris County Cultural Ed. Facilities Fin. Corp. Thermal Util. Rev. (Teco Proj.) Series 2017:   
5% 11/15/31 80,000 97,957 
5% 11/15/33 800,000 979,045 
Harris County Toll Road Rev. Series 2018 A, 5% 8/15/27 435,000 537,256 
Houston Arpt. Sys. Rev.:   
(United Airlines, Inc. Term. E Proj.) Series 2021 A, 4% 7/1/41 (a) 125,000 133,580 
(United Airlines, Inc. Term. Impt. Projs.):   
Series 2015 B1:   
5% 7/15/30 (a) 430,000 477,181 
5% 7/15/35 (a) 885,000 976,236 
Series 2021 B1, 4% 7/15/41 (a) 305,000 324,957 
Series 2018 A:   
5% 7/1/36 (a) 135,000 164,480 
5% 7/1/37 (a) 260,000 315,861 
5% 7/1/41 (a) 395,000 478,350 
Series 2018 C:   
5% 7/1/31 (a) 365,000 450,213 
5% 7/1/32 (a) 455,000 561,739 
Series 2021 A, 4% 7/1/46 (a) 555,000 648,880 
Houston Gen. Oblig. Series 2017 A, 5% 3/1/29 250,000 302,196 
Jefferson County Indl. Dev. Co. (TRP Crude Marketing, LLC Proj.) Series 2019, 7.75% 4/1/39 (c) 100,000 103,190 
Love Field Arpt. Modernization Rev.:   
Series 2017:   
5% 11/1/35 (a) 120,000 142,701 
5% 11/1/36 (a) 120,000 142,691 
Series 2021:   
4% 11/1/34 (FSA Insured) (a) 250,000 299,669 
4% 11/1/35 (FSA Insured) (a) 250,000 299,212 
4% 11/1/36 (FSA Insured) (a) 250,000 298,673 
5% 11/1/33 (FSA Insured) (a) 300,000 393,036 
Matagorda County Navigation District No. 1 Poll. Cont. Rev. (AEP Texas Central Co. Proj.) Series 2008 2, 4% 6/1/30 365,000 382,776 
Mission Econ. Dev. Corp. Rev. (Natgasoline Proj.) Series 2018, 4.625% 10/1/31 (a)(c) 1,310,000 1,377,956 
Mission Econ. Dev. Corp. Solid Waste Disp. Rev. Bonds (Republic Svcs., Inc. Proj.):   
Series 2008 A, 0.2%, tender 2/1/22 (a)(b) 970,000 970,032 
Series 2020 A, 0.2%, tender 2/1/22 (a)(b) 485,000 485,016 
Montgomery County Toll Road Auth. Series 2018:   
5% 9/15/32 45,000 50,867 
5% 9/15/33 45,000 50,826 
5% 9/15/34 45,000 50,777 
5% 9/15/35 115,000 129,674 
5% 9/15/36 175,000 197,167 
5% 9/15/37 200,000 225,095 
5% 9/15/38 130,000 146,188 
5% 9/15/43 385,000 430,988 
5% 9/15/48 670,000 747,514 
New Hope Cultural Ed. Facilities (Cardinal Bay, Inc. - Village on the Park/Carriage Inn Proj.) Series 2016 A1, 5% 7/1/46 15,000 14,385 
New Hope Cultural Ed. Facilities Corp. Cap. Impt. Rev. (CHF - Collegiate Hsg. Denton, L.L.C. - Texas Woman's Univ. Hsg. Proj.) Series 2018 A1, 5% 7/1/58 (FSA Insured) 180,000 215,705 
New Hope Cultural Ed. Facilities Fin. Corp.:   
(CHF - Collegiate Hsg. Stephenville III, L.L.C. - Tarleton State Univ. Proj.) Series 2015 A:   
5% 4/1/24 (Escrowed to Maturity) 50,000 55,376 
5% 4/1/30 (Pre-Refunded to 4/1/25 @ 100) 30,000 34,485 
5% 4/1/35 (Pre-Refunded to 4/1/25 @ 100) 140,000 160,932 
5% 4/1/47 (Pre-Refunded to 4/1/25 @ 100) 615,000 706,951 
(CHF Collegiate Hsg. College Station I, LLC Texas A&M Univ. Proj.):   
Series 2014 A:   
5% 4/1/29 355,000 377,451 
5% 4/1/46 950,000 994,827 
Series 2017 A, 5% 4/1/46 190,000 207,524 
(CHF Collegiate Hsg. Island Campus, LLC Texas A&M Univ. Corpus Christi Island Campus Proj.) Series 2017 A:   
5% 4/1/37 (Pre-Refunded to 4/1/27 @ 100) 105,000 128,214 
5% 4/1/42 (Pre-Refunded to 4/1/27 @ 100) 120,000 146,530 
Series 2020 A, 5% 7/1/57 605,000 683,710 
New Hope Cultural Ed. Facilities Fin. Corp. Retirement Facility Rev.:   
(MRC Crestview Proj.) Series 2016:   
5% 11/15/36 (Pre-Refunded to 11/15/24 @ 102) 35,000 40,120 
5% 11/15/46 (Pre-Refunded to 11/15/24 @ 102) 95,000 108,896 
(MRC Sr. Living - The Langford Proj.) Series 2016 A:   
5.375% 11/15/36 30,000 32,226 
5.5% 11/15/46 60,000 64,145 
5.5% 11/15/52 60,000 63,951 
(Presbyterian Village North Proj.) Series 2018:   
5% 10/1/31 60,000 65,846 
5% 10/1/32 30,000 32,866 
5% 10/1/33 95,000 103,965 
5% 10/1/34 60,000 65,593 
5% 10/1/35 120,000 131,049 
5% 10/1/39 90,000 97,739 
5.25% 10/1/49 580,000 631,737 
Series 2018 A, 5.5% 7/1/54 525,000 553,267 
North Texas Tollway Auth. Rev.:   
(Sr. Lien Proj.) Series 2017 A, 5% 1/1/37 610,000 731,488 
Series 2015 A:   
4% 1/1/38 25,000 26,891 
5% 1/1/34 570,000 643,469 
5% 1/1/38 275,000 309,458 
Series 2015 B, 5% 1/1/40 725,000 760,561 
Series 2016 A, 5% 1/1/39 330,000 384,038 
Series 2017 A, 5% 1/1/43 800,000 976,354 
Port Beaumont Navigation District Dock Facility Rev. (Jefferson Gulf Coast Energy Proj.):   
Series 2020 A:   
3.625% 1/1/35 (c) 125,000 128,805 
4% 1/1/50 (c) 235,000 242,227 
Series 2021 A, 3% 1/1/50 (a)(c) 150,000 146,647 
Rockwall Independent School District Series 2016, 5% 2/15/46 (Pre-Refunded to 2/15/25 @ 100) 225,000 257,817 
San Antonio Elec. & Gas Sys. Rev. Series 2012, 5.25% 2/1/24 290,000 320,749 
San Antonio Wtr. Sys. Rev. Bonds Series 2019 A, 2.625%, tender 5/1/24 (b) 275,000 290,303 
Tarrant County Cultural Ed. Facilities Fin. Corp. Retirement Facility Rev.:   
(Buckingham Sr. Living Cmnty., Inc. Proj.):   
Series 2014, 5.625% 11/15/41 180,000 102,600 
Series 2015 A:   
5.25% 11/15/35 55,000 31,350 
5.5% 11/15/45 310,000 176,700 
(Buckner Retirement Svcs., Inc. Proj.):   
Series 2016 A:   
5% 11/15/27 90,000 106,779 
5% 11/15/28 70,000 82,703 
5% 11/15/29 100,000 117,673 
5% 11/15/30 150,000 175,832 
5% 11/15/37 285,000 330,186 
Series 2016 B, 5% 11/15/46 590,000 675,863 
(Buckner Retirement Svcs., Inc.) Series 2016 B, 5% 11/15/40 385,000 444,371 
(Buckner Sr. Living - Ventana Proj.) Series 2017 A, 6.625% 11/15/37 130,000 147,588 
(Northwest Sr. Hsg. Corp. Edgemere Proj.):   
Series 2015 A, 5% 11/15/45 980,000 784,000 
Series 2017, 5.25% 11/15/47 125,000 100,000 
Series 2020, 5.75% 12/1/54 450,000 481,795 
Tarrant County Cultural Ed. Facilities Fin. Corp. Rev. Series 2016 A:   
5% 2/15/41 350,000 413,023 
5% 2/15/47 1,460,000 1,722,896 
Texas Gen. Oblig. Series 2017 A, 5% 10/1/33 200,000 246,319 
Texas Muni. Gas Acquisition & Supply Corp. I Gas Supply Rev. Series 2008 D, 6.25% 12/15/26 85,000 98,038 
Texas Muni. Gas Acquisition And Supply Corp. Series 2021:   
5% 12/15/27 200,000 243,094 
5% 12/15/28 730,000 902,077 
5% 12/15/29 790,000 990,365 
5% 12/15/30 590,000 752,193 
5% 12/15/31 240,000 311,313 
5% 12/15/32 445,000 586,714 
Texas Muni. Gas Acquisition and Supply Corp. II Gas Supply Rev. Series 2012 C, 0.767% 9/15/27 (b) 900,000 905,542 
Texas Private Activity Bond Surface Trans. Corp.:   
(Blueridge Trans. Group, LLC SH 288 Toll Lanes Proj.) Series 2016:   
5% 12/31/45 (a) 425,000 475,621 
5% 12/31/50 (a) 1,140,000 1,272,407 
5% 12/31/55 (a) 495,000 551,197 
(NTE Mobility Partners Segments 3 LLC Segment 3C Proj.) Series 2019, 5% 6/30/58 (a) 1,910,000 2,291,698 
Series 2013:   
6.75% 6/30/43 (a) 285,000 315,680 
7% 12/31/38 (a) 210,000 233,636 
Texas Trans. Commission Series 2019 A, 5% 8/1/57 1,360,000 1,581,410 
Texas Trans. Commission Central Texas Tpk. Sys. Rev.:   
Series 2015 C:   
5% 8/15/34 250,000 279,686 
5% 8/15/37 1,350,000 1,510,837 
Series 2020 A, 5% 8/15/39 1,020,000 1,297,451 
Univ. of Texas Board of Regents Sys. Rev.:   
Series 2019 A, 5% 8/15/33 300,000 385,176 
Series 2019 B, 5% 8/15/49 1,155,000 1,817,728 
Series 2020 C, 5% 8/15/31 300,000 409,911 
West Harris County Reg'l. Wtr. Auth. Wtr. Sys. Rev. Series 2021:   
3.5% 12/15/46 325,000 370,507 
3.5% 12/15/60 1,000,000 1,114,302 
TOTAL TEXAS  69,610,520 
Utah - 0.3%   
Military Installation Dev. Auth. Utah Tax Allocation Rev. Series 2021 A2, 4% 6/1/52 545,000 532,313 
Salt Lake City Arpt. Rev.:   
Series 2017 A:   
5% 7/1/42 (a) 855,000 1,021,632 
5% 7/1/47 (a) 1,600,000 1,909,902 
Series 2017 B, 5% 7/1/42 395,000 475,280 
Series 2018 A:   
5% 7/1/36 (a) 460,000 558,201 
5% 7/1/43 (a) 500,000 603,467 
Series 2021 A:   
4% 7/1/51 (a) 1,100,000 1,275,026 
5% 7/1/51 (a) 1,320,000 1,659,360 
Utah Associated Muni. Pwr. Sys. Rev. Series 2011 A, 5.5% 6/1/22 60,000 60,250 
Utah Charter School Fin. Auth. (Spectrum Academy Proj.) Series 2020, 4% 4/15/45 250,000 286,715 
Utah County Hosp. Rev. Series 2020 A:   
4% 5/15/43 300,000 352,911 
5% 5/15/43 500,000 634,058 
Utah Hsg. Corp.:   
Series 2021 E, 2% 4/21/51 245,900 251,107 
Series 2021 F, 2.5% 5/21/51 246,323 257,738 
Series 2021 G, 2.5% 6/21/51 294,539 308,188 
Series 2021 H, 2.5% 7/21/51 395,332 413,652 
Utah Transit Auth. Sales Tax Rev.:   
Series 2012, 4% 6/15/39 (Pre-Refunded to 6/15/22 @ 100) 700,000 714,408 
Series 2018, 4% 12/15/41 300,000 345,363 
Weber Basin Wtr. Conservancy District Series 2019 A, 5% 10/1/44 250,000 315,567 
TOTAL UTAH  11,975,138 
Virgin Islands - 0.0%   
Virgin Islands Pub. Fin. Auth.:   
(Cruzan Proj.) Series 2009 A, 6% 10/1/39 285,000 285,717 
Series 2009 A, 6.75% 10/1/37 225,000 226,982 
Series 2012 A, 5% 10/1/32 300,000 308,960 
Series 2014 C, 5% 10/1/39 250,000 272,019 
TOTAL VIRGIN ISLANDS  1,093,678 
Virginia - 1.1%   
Albemarle County Econ. Dev. Auth. Residential Care Facility Mtg. Rev. Series 2012 A, 5% 1/1/42 195,000 200,098 
Arlington County IDA Hosp. Facilities Series 2020:   
3.75% 7/1/50 250,000 282,232 
4% 7/1/45 350,000 408,575 
Chesapeake Bay Bridge and Tunnel District Gen. Resolution Rev. Series 2016:   
5% 7/1/41 (FSA Insured) 520,000 607,556 
5% 7/1/46 1,850,000 2,178,991 
5% 7/1/51 1,275,000 1,498,832 
Chesapeake Trans. Sys. Toll Road Rev. Series 2012 B, 0% 7/15/40 (f) 455,000 502,483 
Fairfax County Econ. Dev. Auth. Residential Care Facility Rev. Series 2013 A:   
5% 12/1/32 (Pre-Refunded to 12/1/23 @ 100) 100,000 109,208 
5% 12/1/42 (Pre-Refunded to 12/1/23 @ 100) 170,000 185,654 
5% 12/1/47 (Pre-Refunded to 12/1/23 @ 100) 120,000 131,050 
Fairfax County Indl. Dev. Auth. (Inova Health Sys. Proj.):   
Series 2014 A, 5% 5/15/44 610,000 675,842 
Series 2016 A, 5% 5/15/31 245,000 288,128 
Series 2018 A, 4% 5/15/48 685,000 779,865 
Fairfax County Swr. Rev. Series 2021 A, 4% 7/15/38 795,000 980,660 
Greater Richmond Convention Ctr. Auth. Hotel Tax Rev. Series 2015, 5% 6/15/31 (Pre-Refunded to 6/15/25 @ 100) 565,000 655,276 
Hampton Roads Trans. Accountability Commission:   
Series 2018 A, 5.5% 7/1/57 2,455,000 3,047,329 
Series 2020 A:   
4% 7/1/50 250,000 294,416 
4% 7/1/55 750,000 881,094 
5% 7/1/60 425,000 533,331 
Indl. Dev. Auth. Botetourt County Residential Care Facility Rev. Series 2014 A, 6% 7/1/34 445,000 494,897 
James City County Econ. Dev. Auth. Residential Care Facility Rev. Series 2013 A, 6% 6/1/43 (Pre-Refunded to 6/1/23 @ 100) 460,000 495,707 
Lynchburg Econ. Dev. Series 2021, 4% 1/1/55 685,000 796,395 
Norfolk Econ. Dev. Auth. Hosp. Facilities Rev. Bonds Series 2018 A, 5%, tender 11/1/28 (b) 60,000 75,632 
Norfolk Econ. Dev. Health Care Facilities Series 2012 B, 5% 11/1/43 120,000 124,758 
Norfolk Redev. & Hsg. Auth. Rev.:   
(Fort Norfolk Retirement Cmnty., Inc. Harbors Edge Proj.) Series 2014:   
5% 1/1/35 245,000 263,856 
5% 1/1/46 315,000 335,658 
5.375% 1/1/35 380,000 413,454 
5.375% 1/1/46 260,000 279,911 
Series 2019 A, 5% 1/1/49 195,000 211,011 
Richmond Pub. Util. Rev. Series 2013 A, 5% 1/15/38 (Pre-Refunded to 1/15/23 @ 100) 60,000 63,223 
Stafford County Econ. Dev. Auth. Hosp. Facilities Rev. Series 2016:   
5% 6/15/33 60,000 69,905 
5% 6/15/34 250,000 290,958 
5% 6/15/35 120,000 139,529 
5% 6/15/36 250,000 290,350 
Tobacco Settlement Fing. Corp.:   
Series 2007 C1, 0% 6/1/47 4,410,000 1,097,705 
Series 2007 D, 0% 6/1/47 3,330,000 748,632 
Virginia College Bldg. Auth. Edl. Facilities Rev.:   
(Marymount Univ. Proj.):   
Series 2015 A:   
5% 7/1/23 (c) 100,000 104,739 
5% 7/1/24 (c) 100,000 107,376 
5% 7/1/25 (c) 100,000 109,588 
5% 7/1/30 (c) 285,000 306,314 
5% 7/1/35 (c) 100,000 106,705 
5% 7/1/45 (c) 190,000 200,424 
Series 2015 B:   
5% 7/1/45 (c) 365,000 385,024 
5.25% 7/1/30 (c) 100,000 108,325 
5.25% 7/1/35 (c) 110,000 118,302 
Series 2001, 5.75% 1/1/34 30,000 44,052 
Virginia Small Bus. Fing. Auth.:   
(95 Express Lane LLC Proj.) Series 2012:   
5% 7/1/34 (a) 695,000 697,625 
5% 1/1/40 (a) 2,625,000 2,634,743 
(95 Express Lanes LLC Proj.):   
Series 2017:   
5% 7/1/34 (a) 640,000 642,418 
5% 1/1/40 (a) 2,500,000 2,509,285 
Series 2019:   
5% 1/1/44 (a) 100,000 100,362 
5% 7/1/49 (a) 835,000 837,954 
(Transform 66 P3 Proj.) Series 2017:   
5% 12/31/47 (a) 90,000 107,527 
5% 12/31/49 (a) 790,000 942,361 
5% 12/31/52 (a) 545,000 647,369 
5% 12/31/56 (a) 6,130,000 7,276,491 
Series 2012:   
4.75% 1/1/25 (a) 130,000 133,229 
5% 7/1/25 (a) 120,000 123,155 
5% 1/1/26 (a) 120,000 123,119 
5% 7/1/26 (a) 120,000 123,119 
5% 7/1/27 (a) 120,000 123,083 
5.5% 1/1/42 (a) 2,435,000 2,503,887 
6% 1/1/37 (a) 1,875,000 1,935,147 
TOTAL VIRGINIA  43,483,924 
Washington - 0.6%   
Adams County Pub. Hosp. District No. 2 Series 2014, 5.125% 12/1/44 160,000 172,800 
Energy Northwest Elec. Rev.:   
Series 2020 A:   
5% 7/1/33 180,000 235,670 
5% 7/1/34 220,000 287,493 
5% 7/1/36 290,000 376,243 
5% 7/1/37 300,000 388,361 
Series 2021 A:   
4% 7/1/42 1,155,000 1,392,191 
5% 7/1/22 625,000 642,573 
5% 7/1/41 2,065,000 2,716,836 
Greater Wenatchee Reg'l. Events Ctr. Pub. Facilities District Ltd. Sales Tax Series 2012 A:   
5% 9/1/27 (Pre-Refunded to 9/1/22 @ 100) 95,000 98,424 
5.25% 9/1/32 (Pre-Refunded to 9/1/22 @ 100) 60,000 62,274 
5.5% 9/1/42 (Pre-Refunded to 9/1/22 @ 100) 170,000 176,761 
Indl. Dev. Corp. of the Port of Seattle Spl. Facilities Rev. (Delta Air Lines, Inc. Proj.) Series 2012, 5% 4/1/30 (a) 180,000 189,578 
Port of Seattle Rev. Series 2021 C, 5% 8/1/37 (a) 300,000 389,347 
Washington Convention Ctr. Pub. Facilities:   
Series 2021 B, 3% 7/1/58 (FSA Insured) 500,000 527,599 
Series 2021, 4% 7/1/31 460,000 533,830 
Washington Gen. Oblig.:   
Series 2020 C:   
5% 2/1/36 690,000 889,457 
5% 2/1/39 2,430,000 3,114,712 
Series 2021 A, 5% 8/1/35 1,245,000 1,628,835 
Series 2021 F:   
5% 6/1/39 800,000 1,057,457 
5% 6/1/40 1,455,000 1,919,766 
Series 2021 R, 4% 7/1/41 1,430,000 1,746,814 
Series 2022 A:   
5% 8/1/31 250,000 338,283 
5% 8/1/32 425,000 573,111 
5% 8/1/41 275,000 363,379 
Washington Hsg. Fin. Commission Series 2021 1, 3.5% 12/20/35 1,068,736 1,238,757 
Washington Hsg. Fin. Commission Nonprofit Hsg. Rev.:   
(Judson Park Proj.) Series 2018, 5% 7/1/48 (c) 125,000 133,726 
(Presbyterian Retirement Cmntys. Northwest Projs.) Series 2016 A:   
5% 1/1/46 (c) 195,000 211,274 
5% 1/1/51 (c) 410,000 443,581 
(The Hearthstone Proj.) Series 2018 A, 5% 7/1/48 (c) 115,000 122,283 
(Transforming Age Projs.):   
Series 2019 A, 5% 1/1/55 (c) 990,000 1,103,218 
Series 2019 B, 2.375% 1/1/26 (c) 595,000 595,504 
Series 2015 A, 7% 7/1/45 (c) 585,000 642,162 
TOTAL WASHINGTON  24,312,299 
West Virginia - 0.0%   
Monongalia County West Commission Spl. District Excise Tax Rev.:   
Series 2017 A:   
5.5% 6/1/37 (c) 150,000 171,570 
5.75% 6/1/43 (c) 150,000 171,825 
Series 2021 A, 4.125% 6/1/43 (c) 135,000 150,660 
Series 2021 B, 4.875% 6/1/43 (c) 100,000 108,254 
West Virginia Econ. Dev. Auth. Solid Waste Disp. Facilities Rev. Bonds (Arch Resources Proj.) Series 2020, 5%, tender 7/1/25 (a)(b) 180,000 194,985 
TOTAL WEST VIRGINIA  797,294 
Wisconsin - 0.3%   
Pub. Fin. Auth. Sr Liv Rev. (Mary's Woods At Marylhurst, Inc. Proj.) Series 2017 A:   
5.25% 5/15/37 (c) 35,000 38,256 
5.25% 5/15/42 (c) 75,000 81,848 
5.25% 5/15/47 (c) 75,000 81,848 
5.25% 5/15/52 (c) 140,000 152,783 
Pub. Fin. Auth. Charter School Rev. Series 2020 A:   
4% 7/1/30 (c) 25,000 27,057 
5% 7/1/40 (c) 45,000 50,480 
5% 7/1/55 (c) 90,000 99,373 
Pub. Fin. Auth. Ltd. Oblig. Pilot Rev. (American Dream Meadowlands Proj.) Series 2017, 7% 12/1/50 (c) 245,000 268,925 
Pub. Fin. Auth. Pub. Fin. Auth. Ed. Rev. Mountain Island Charter School:   
Series 2017 A, 5.125% 6/15/47 (c) 160,000 166,295 
Series 2017:   
5% 7/1/37 50,000 54,158 
5% 7/1/47 120,000 129,098 
5% 7/1/52 260,000 279,430 
Series 2019 A:   
4% 6/15/29 (c) 60,000 63,099 
5% 6/15/39 (c) 60,000 64,421 
5% 6/15/49 (c) 105,000 111,507 
Pub. Fin. Auth. Rev.:   
Series 2016 A, 5% 1/1/24 (a) 215,000 233,034 
Series 2016 B, 5% 12/1/25 (a) 485,000 560,212 
Series 2016 C, 4.3% 11/1/30 (a) 305,000 339,543 
Series 2016 D, 4.05% 11/1/30 150,000 165,397 
Pub. Fin. Auth. Solid Waste Bonds (Waste Mgmt., Inc. Proj.) Series 2017 A-2, 0.18%, tender 2/1/22 (a)(b) 375,000 375,000 
Pub. Fin. Auth. Spl. Facilities Rev.:   
(Sky Harbour Cap. Llc Aviation Facilities Proj.) Series 2021, 4% 7/1/41 (a) 75,000 78,980 
Series 2021, 4.25% 7/1/54 (a) 815,000 854,016 
Pub. Fin. Auth. Student Hsg.:   
(Univ. of Hawai'i Foundation Proj.):   
Series 2021 B, 5.25% 7/1/61 100,000 103,032 
Series 2021, 4% 7/1/61 475,000 507,751 
Series 2019, 5% 5/1/55 (c) 390,000 341,053 
Pub. Fin. Auth. Wisconsin Retirement Facility Rev. Series 2018:   
5% 10/1/43 (c) 535,000 588,570 
5% 10/1/48 (c) 240,000 263,201 
5% 10/1/53 (c) 480,000 525,481 
Redev. Auth. Platteville Fixed Rate Redev. Rev. Series 2012 A, 5% 7/1/42 135,000 137,743 
Roseman Univ. of Health:   
(Church Home of Hartford, Inc. Proj.) Series 2015 A:   
5% 9/1/30 (c) 50,000 54,031 
5% 9/1/38 (c) 105,000 112,299 
(Roseman Univ. of Health Sciences Proj.) Series 2020, 5% 4/1/40 (c) 100,000 119,523 
(Searstone CCRC Proj.) Series 2017 A:   
5.2% 6/1/37 485,000 541,373 
5.3% 6/1/47 670,000 748,876 
5.375% 6/1/52 240,000 259,091 
Series 2020, 5% 4/1/50 (c) 120,000 141,443 
Series 2021 A, 3% 7/1/50 (e) 500,000 519,884 
Wisconsin Gen. Oblig. Series 2021 A, 4% 5/1/40 500,000 586,278 
Wisconsin Health & Edl. Facilities:   
(Saint John's Cmntys., Inc. Proj.) Series 2018 A:   
5% 9/15/40 (Pre-Refunded to 9/15/23 @ 100) 60,000 64,952 
5% 9/15/45 (Pre-Refunded to 9/15/23 @ 100) 80,000 86,603 
5% 9/15/50 (Pre-Refunded to 9/15/23 @ 100) 455,000 492,553 
Series 2015 B, 5% 9/15/37 40,000 41,452 
Series 2017:   
5% 6/1/37 65,000 71,364 
5% 6/1/41 100,000 109,226 
Wisconsin Health & Edl. Facilities Auth. Rev.:   
Series 2012 B, 5% 2/15/40 305,000 307,793 
Series 2021, 4% 8/15/46 300,000 349,892 
Series 2022:   
4% 9/15/36 45,000 47,752 
4% 9/15/41 45,000 47,231 
4% 9/15/45 40,000 41,669 
Wisconsin Hsg. & Econ. Dev. Auth. Series 2018 D, 4% 3/1/47 250,000 271,663 
TOTAL WISCONSIN  11,756,539 
TOTAL MUNICIPAL BONDS   
(Cost $1,055,763,784)  1,064,129,246 
Municipal Notes - 0.9%   
Arizona - 0.0%   
Phoenix Indl. Dev. Auth. Health Care Facilities Series 2014 B, 0.01% 12/1/21 (Liquidity Facility Northern Trust Co.), VRDN (b) 215,000 $215,000 
California - 0.0%   
Los Angeles Dept. of Wtr. & Pwr. Rev. Series 2001 B3, 0.01% 12/1/21 (Liquidity Facility Barclays Bank PLC), VRDN (b) 900,000 900,000 
Los Angeles Dept. of Wtr. & Pwr. Wtrwks. Rev. Series 2019 A, 0.01% 12/1/21 (Liquidity Facility Toronto-Dominion Bank), VRDN (b) 400,000 400,000 
TOTAL CALIFORNIA  1,300,000 
Georgia - 0.0%   
Athens-Clarke County Unified Govt. Dev. Auth. Rev. (Univ. of Georgia Athletic Assoc. Proj.) Series 2005 B, 0.02% 12/1/21, LOC Wells Fargo Bank NA, VRDN (b) 1,175,000 1,175,000 
Burke County Indl. Dev. Auth. Poll. Cont. Rev. (Georgia Pwr. Co. Plant Vogtle Proj.) Series 2018, 0.07% 12/1/21, VRDN (b) 450,000 450,000 
TOTAL GEORGIA  1,625,000 
Iowa - 0.0%   
Iowa Fin. Auth. Health Facilities Rev. Series 2013 B1, 0.03% 12/1/21, LOC TD Banknorth, NA, VRDN (b) 165,000 165,000 
Kentucky - 0.1%   
Louisville & Jefferson County Series 2011 B, 0.04% 12/1/21, LOC PNC Bank NA, VRDN (b) 100,000 100,000 
Louisville & Jefferson County Reg'l. Arpt. Auth. Spl. Facilities Rev. (UPS Worldwide Forwarding, Inc. Proj.) Series 1999 B, 0.07% 12/1/21, VRDN (a)(b) 2,100,000 2,100,000 
TOTAL KENTUCKY  2,200,000 
Maryland - 0.1%   
Maryland Health & Higher Edl. Facilities Auth. Rev. (Univ. of Maryland Med. Sys. Proj.):   
Series 2008 D, 0.03% 12/1/21, LOC TD Banknorth, NA, VRDN (b) 2,200,000 2,200,000 
Series 2008 E, 0.03% 12/7/21, LOC Bank of Montreal, VRDN (b) 700,000 700,000 
Montgomery County Gen. Oblig. Series 2017 E, 0.04% 12/1/21 (Liquidity Facility U.S. Bank NA, Cincinnati), VRDN (b) 210,000 210,000 
TOTAL MARYLAND  3,110,000 
Massachusetts - 0.1%   
Massachusetts Dev. Fin. Agcy. Rev. (Boston Univ. Proj.) Series U-6C, 0.04% 12/1/21, LOC TD Banknorth, NA, VRDN (b) 3,600,000 3,600,000 
Michigan - 0.1%   
Grand Traverse County Hosp. Fin. Auth. Series 2019 C, 0.05% 12/1/21, LOC PNC Bank NA, VRDN (b) 5,340,000 5,340,000 
Michigan Bldg. Auth. Rev. Series 2020 III, 0.09% 1/3/23, VRDN (b) 100,000 100,000 
TOTAL MICHIGAN  5,440,000 
Minnesota - 0.1%   
Hennepin County Gen. Oblig. Series 2018 B, 0.04% 12/7/21 (Liquidity Facility TD Banknorth, NA), VRDN (b) 500,000 500,000 
Minneapolis Health Care Sys. Rev. (Fairview Health Svcs.) Series 2018 C, 0.03% 12/1/21, LOC Wells Fargo Bank NA, VRDN (b) 1,500,000 1,500,000 
TOTAL MINNESOTA  2,000,000 
Mississippi - 0.0%   
Mississippi Bus. Fin. Corp. Series 2009 E, 0.02% 12/1/21, VRDN (b) 135,000 135,000 
New York - 0.3%   
Nassau County Gen. Oblig. RAN Series 2021 A, 2% 12/10/21 1,100,000 1,100,509 
New York City Gen. Oblig. Series 2021 3, 0.1% 12/8/21, VRDN (b) 250,000 250,000 
New York City Muni. Wtr. Fin. Auth. Wtr. & Swr. Sys. Rev.:   
Series 2008 BB, 0.02% 12/1/21 (Liquidity Facility Bank of America NA), VRDN (b) 120,000 120,000 
Series 2011 DD-3A, 0.02% 12/1/21 (Liquidity Facility U.S. Bank NA, Cincinnati), VRDN (b) 2,000,000 2,000,000 
New York City Transitional Fin. Auth. Rev. Series 2011 A4 0.05% 12/1/21 (Liquidity Facility Barclays Bank PLC), VRDN (b) 225,000 225,000 
New York Metropolitan Trans. Auth. Dedicated Tax Fund Rev. BAN Series 2019 A, 5% 3/1/22 600,000 607,003 
New York Metropolitan Trans. Auth. Rev. BAN Series 2019 D1, 5% 9/1/22 3,150,000 3,259,434 
Triborough Bridge & Tunnel Auth. Revs. Series 2005 B, 0.02% 12/1/21, LOC U.S. Bank NA, Cincinnati, VRDN (b) 2,450,000 2,450,000 
TOTAL NEW YORK  10,011,946 
North Carolina - 0.1%   
Charlotte-Mecklenburg Hosp. Auth. Health Care Sys. Rev. (Carolinas Healthcare Sys. Proj.) Series 2007 B, 0.04% 12/1/21 (Liquidity Facility JPMorgan Chase Bank), VRDN (b) 1,670,000 1,670,000 
Raleigh Durham Arpt. Auth. Arpt. Rev. Series 2008 C, 0.03% 12/7/21, LOC TD Banknorth, NA, VRDN (b) 500,000 500,000 
Univ. of North Carolina Hosp. at Chapel Hill Rev. Series 2001 A, 0.03% 12/1/21, VRDN (b) 875,000 875,000 
TOTAL NORTH CAROLINA  3,045,000 
Texas - 0.0%   
Harris County Health Facilities Dev. Corp. Rev. (Methodist Hosp. Proj.) Series A1, 0.04% 12/1/21, VRDN (b) 450,000 450,000 
Virginia - 0.0%   
Lynchburg Econ. Dev. Series 2017 B, 0.05% 12/1/21, LOC Truist Bank, VRDN (b) 2,000,000 2,000,000 
Wisconsin - 0.0%   
Wisconsin Gen. Oblig. Series 2019 A, 0.06% 12/7/21, VRDN (b) 525,000 525,000 
TOTAL MUNICIPAL NOTES   
(Cost $35,822,838)  35,821,946 
 Shares Value 
Municipal Bond Funds - 71.7%   
BlackRock National Municipal Fund Investor A Shares 12,095,550 138,131,176 
Delaware Tax-Free U.S.A. Fund Class A 161,976 1,997,167 
DWS Managed Municipal Bond Fund - Class S 5,832,384 54,532,790 
DWS Strategic High Yield Tax-Free Fund Class S 666,925 8,383,249 
Fidelity Advisor Municipal Income Fund Class Z (i) 183 2,494 
Fidelity SAI Municipal Income Fund (i) 43,711,316 476,453,342 
Fidelity SAI Tax-Free Bond Fund (i) 20,213,864 221,139,672 
Fidelity Tax-Free Bond Fund (i) 205 2,494 
Franklin Federal Tax-Free Income Fund - Class R6 4,011,461 49,381,090 
iShares S&P National Municipal Bond ETF 709,245 82,712,152 
MainStay MacKay High Yield Municipal Bond Fund Class A 6,624,981 90,298,492 
MainStay MacKay Tax Free Bond Fund Class A 27,778,690 296,954,192 
MFS Municipal Income Fund Class A 42,462,224 390,227,836 
T. Rowe Price Summit Municipal Income Fund Investor Class 6,379,027 79,929,207 
T. Rowe Price Tax-Free High Yield Fund 1,489,394 18,885,514 
T. Rowe Price Tax-Free Income Fund - I Class 239 2,500 
Vanguard High-Yield Tax-Exempt Fund Admiral Shares 207 2,499 
Vanguard Long-Term Tax-Exempt Fund Admiral Shares 38,366,134 468,066,840 
Wells Fargo Municipal Bond Fund - Class Admin 14,686,815 158,176,995 
Western Asset Managed Municipals Fund Class A 16,915,396 283,163,722 
TOTAL MUNICIPAL BOND FUNDS   
(Cost $2,816,765,034)  2,818,443,423 
Money Market Funds - 0.2%   
Fidelity Investments Money Market Government Portfolio Class I 0.01% (i)(j) 5,717,489 5,717,489 
Fidelity Investments Money Market Government Portfolio Institutional Class 0.01% (i)(j) 2,500 2,500 
Fidelity SAI Municipal Money Market Fund 0.01% (i)(j) 2,499 2,500 
TOTAL MONEY MARKET FUNDS   
(Cost $5,722,489)  5,722,489 
TOTAL INVESTMENT IN SECURITIES - 99.9%   
(Cost $3,914,074,145)  3,924,117,104 
NET OTHER ASSETS (LIABILITIES) - 0.1%  4,368,720 
NET ASSETS - 100%  $3,928,485,824 

Futures Contracts      
 Number of contracts Expiration Date Notional Amount Value Unrealized Appreciation/(Depreciation) 
Sold      
Treasury Contracts      
CBOT 10-Year U.S. Treasury Note Contracts (United States) 100 March 2022 $13,081,250 $(181,480) $(181,480) 
CBOT Long Term U.S. Treasury Bond Contracts (United States) 50 March 2022 8,106,250 (234,493) (234,493) 
TOTAL FUTURES CONTRACTS     $(415,973) 

The notional amount of futures sold as a percentage of Net Assets is 0.6%

Security Type Abbreviations

BAN – BOND ANTICIPATION NOTE

RAN – REVENUE ANTICIPATION NOTE

VRDN – VARIABLE RATE DEMAND NOTE (A debt instrument that is payable upon demand, either daily, weekly or monthly)

ETF – Exchange-Traded Fund

Legend

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

 (b) Coupon rates for floating and adjustable rate securities reflect the rates in effect 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 $81,377,248 or 2.1% of net assets.

 (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 initially issued in zero coupon form which converts to coupon form at a specified rate and date. The rate shown is the rate at period end.

 (g) Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end.

 (h) Level 3 security

 (i) Affiliated Fund

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

Affiliated Underlying Funds

Fiscal year to date information regarding the Fund's investments in affiliated Underlying Funds is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur. If an underlying Fund changes its name, the name presented below is the name in effect at period end.

Affiliate Value, beginning of period Purchases Sales Proceeds Dividend Income Realized Gain (loss) Change in Unrealized appreciation (depreciation) Value, end of period 
Fidelity Investments Money Market Government Portfolio Class I 0.01% $ -- $9,573,565 $3,856,076  $35 $ -- $ -- $5,717,489 
Fidelity Advisor Municipal Income Fund Class Z -- 2,516 -- 10 -- (22) 2,494 
Fidelity Investments Money Market Government Portfolio Institutional Class 0.01% -- 2,500 -- -- -- -- 2,500 
Fidelity SAI Municipal Income Fund -- 474,668,746 5,036 1,238,821 (5) 1,789,637 476,453,342 
Fidelity SAI Municipal Money Market Fund 0.01% -- 2,500 -- -- -- -- 2,500 
Fidelity SAI Tax-Free Bond Fund -- 379,957,221 156,049,599 1,454,223 (1,382,959) (1,384,991) 221,139,672 
Fidelity Tax-Free Bond Fund -- 2,516 -- 13 -- (22) 2,494 
Total $-- $864,209,564 $159,910,711 $2,693,101 $(1,382,964) $404,602 $703,320,491 

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, 2021, 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 $1,099,951,192 $-- $1,099,378,277 $572,915 
Municipal Bond Funds 2,735,731,271 2,735,731,271 -- -- 
Money Market Funds 5,722,489 5,722,489 -- -- 
Investment Companies 82,712,152 82,712,152 -- -- 
Total Investments in Securities: $3,924,117,104 $2,824,165,912 $1,099,378,277 $572,915 
Derivative Instruments:     
Liabilities     
Futures Contracts $(415,973) $(415,973) $-- $-- 
Total Liabilities $(415,973) $(415,973) $-- $-- 
Total Derivative Instruments: $(415,973) $(415,973) $-- $-- 

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, 2021. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.

Primary Risk Exposure / Derivative Type Value 
 Asset Liability 
Interest Rate Risk   
Futures Contracts(a) $0 $(415,973) 
Total Interest Rate Risk 0 (415,973) 
Total Value of Derivatives $0 $(415,973) 

 (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, 2021 (Unaudited) 
Assets   
Investment in securities, at value — See accompanying schedule:
Unaffiliated issuers (cost $3,211,158,248) 		$3,220,796,613  
Affiliated issuers (cost $702,915,897) 703,320,491  
Total Investment in Securities (cost $3,914,074,145)  $3,924,117,104 
Segregated cash with brokers for derivative instruments  325,000 
Receivable for investments sold   
Regular delivery  1,787,339 
Delayed delivery  628,490 
Receivable for fund shares sold  10,185,737 
Dividends receivable  570,448 
Interest receivable  12,708,618 
Prepaid expenses  16,870 
Other receivables  23 
Total assets  3,950,339,629 
Liabilities   
Payable to custodian bank $289,816  
Payable for investments purchased   
Regular delivery 2,603,833  
Delayed delivery 9,291,334  
Payable for fund shares redeemed 3,115,383  
Distributions payable 6,079,022  
Accrued management fee 140,738  
Payable for daily variation margin on futures contracts 137,500  
Other payables and accrued expenses 196,179  
Total liabilities  21,853,805 
Net Assets  $3,928,485,824 
Net Assets consist of:   
Paid in capital  $3,929,779,511 
Total accumulated earnings (loss)  (1,293,687) 
Net Assets  $3,928,485,824 
Net Asset Value, offering price and redemption price per share ($3,928,485,824 ÷ 395,250,734 shares)  $9.94 

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


Statement of Operations

  For the period
June 17, 2021 (commencement of operations) through
November 30, 2021 (Unaudited) 
Investment Income   
Dividends:   
Unaffiliated issuers  $11,069,854 
Affiliated issuers  2,693,101 
Interest  1,965,025 
Total income  15,727,980 
Expenses   
Management fee $2,116,590  
Custodian fees and expenses 8,864  
Independent trustees' fees and expenses 2,677  
Registration fees 393,005  
Audit 34,281  
Legal 151  
Miscellaneous 284  
Total expenses before reductions 2,555,852  
Expense reductions (1,925,465)  
Total expenses after reductions  630,387 
Net investment income (loss)  15,097,593 
Realized and Unrealized Gain (Loss)   
Net realized gain (loss) on:   
Investment securities:   
Unaffiliated issuers (10,185,102)  
Affiliated issuers (1,382,964)  
Futures contracts 442,664  
Capital gain distributions from underlying funds:   
Unaffiliated issuers 2,058  
Total net realized gain (loss)  (11,123,344) 
Change in net unrealized appreciation (depreciation) on:   
Investment securities:   
Unaffiliated issuers 9,638,357  
Affiliated issuers 404,602  
Futures contracts (415,973)  
Total change in net unrealized appreciation (depreciation)  9,626,986 
Net gain (loss)  (1,496,358) 
Net increase (decrease) in net assets resulting from operations  $13,601,235 

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


Statement of Changes in Net Assets

 For the period
June 17, 2021 (commencement of operations) through
November 30, 2021 (Unaudited) 
Increase (Decrease) in Net Assets  
Operations  
Net investment income (loss) $15,097,593 
Net realized gain (loss) (11,123,344) 
Change in net unrealized appreciation (depreciation) 9,626,986 
Net increase (decrease) in net assets resulting from operations 13,601,235 
Distributions to shareholders (14,894,922) 
Share transactions  
Proceeds from sales of shares 4,036,951,669 
Reinvestment of distributions 82,754 
Cost of shares redeemed (107,254,912) 
Net increase (decrease) in net assets resulting from share transactions 3,929,779,511 
Total increase (decrease) in net assets 3,928,485,824 
Net Assets  
Beginning of period – 
End of period $3,928,485,824 
Other Information  
Shares  
Sold 406,071,344 
Issued in reinvestment of distributions 8,321 
Redeemed (10,828,931) 
Net increase (decrease) 395,250,734 

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


Financial Highlights

Strategic Advisers Municipal Bond Fund

 Six months ended (Unaudited) November 30, 
 2021 A 
Selected Per–Share Data  
Net asset value, beginning of period $10.00 
Income from Investment Operations  
Net investment income (loss)B .088 
Net realized and unrealized gain (loss) (.066) 
Total from investment operations .022 
Distributions from net investment income (.082) 
Total distributions (.082) 
Net asset value, end of period $9.94 
Total ReturnC,D .23% 
Ratios to Average Net AssetsE,F  
Expenses before reductions .33%G 
Expenses net of fee waivers, if any .08%G 
Expenses net of all reductions .08%G 
Net investment income (loss) 1.96%G 
Supplemental Data  
Net assets, end of period (000 omitted) $3,928,486 
Portfolio turnover rateH 67%I 

 A For the period June 17, 2021 (commencement of operations) through November 30, 2021.

 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.

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

 G Annualized

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

 I 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, 2021

1. Organization.

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

2. Significant Accounting Policies.

The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:

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

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

  • Level 1 – 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.

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 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, 2021 is included at the end of the Fund's Schedule of Investments.

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

Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. 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.

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 $16,444,364 
Gross unrealized depreciation (10,219,654) 
Net unrealized appreciation (depreciation) $6,224,710 
Tax cost $3,917,476,421 

Delayed Delivery Transactions and When-Issued Securities. During the period, certain Funds transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. Securities purchased on a delayed delivery or when-issued basis are identified as such in the Schedule of Investments. Compensation for interest forgone in the purchase of a delayed delivery or when-issued debt security may be received. With respect to purchase commitments, each applicable Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Payables and receivables associated with the purchases and sales of delayed delivery securities having the same coupon, settlement date and broker are offset. Delayed delivery or when-issued securities that have been purchased from and sold to different brokers are reflected as both payables and receivables in the Statement of Assets and Liabilities under the caption "Delayed delivery", as applicable. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.

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

3. Derivative Instruments.

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

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

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

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

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

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

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

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

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

4. Purchases and Sales of Investments.

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

 Purchases ($) Sales ($) 
Strategic Advisers Municipal Bond Fund 5,193,309,661 1,305,732,489 

Unaffiliated Exchanges In-Kind. During the period, the Fund redeemed shares of Delaware Tax-Free U.S.A. Fund Class A, MainStay MacKay Tax Free Bond Fund Class A, T. Rowe Price Summit Municipal Income Fund Investor Class, and T. Rowe Price Tax-Free High Yield Fund in exchange for investments as noted in the following table. The net realized gain (loss) on the Fund's redemptions of Delaware Tax-Free U.S.A. Fund Class A, MainStay MacKay Tax Free Bond Fund Class A, T. Rowe Price Summit Municipal Income Fund Investor Class, and T. Rowe Price Tax-Free High Yield Fund is included in "Net Realized gain (loss) on Investment Securities: Unaffiliated issuers" in the accompanying Statement of Operations. The Fund recognized a net loss on the exchanges for federal income tax purposes.

Fund Name Value of Investments ($) Net realized gain (loss)
($) 		Shares redeemed 
Delaware Tax-Free U.S.A. Fund Class A 133,316,728 (652,576) 10,716,779 
MainStay MacKay Tax Free Bond Fund Class A 200,223,895 (1,925,084) 18,814,675 
T. Rowe Price Summit Municipal Income Fund Investor Class 413,883,024 (4,072,871) 33,297,106 
T. Rowe Price Tax-Free High Yield Fund 352,121,702 (3,324,298) 27,968,364 
Total 1,099,545,349 (9,974,829) 90,796,924 

5. Fees and Other Transactions with Affiliates.

Management Fee. Strategic Advisers (the investment adviser) provides the Fund with investment management related services. For these services, the Fund pays a monthly management fee to the investment adviser. The management fee is calculated by adding the annual management fee rate of .25% of the Fund's average net assets throughout the month to the aggregate of the fee rates, payable monthly by the investment adviser, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed .60% of the Fund's average net assets. For the reporting period, the total annualized management fee rate was .27% of the Fund's average net assets.

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

Sub-Advisers. Delaware Investments Fund Advisers, Mackay Shields LLC and T. Rowe Price Associates, Inc. each served as a sub-adviser for the Fund during the period. Sub-advisers provide discretionary investment advisory services for their allocated portion of the Fund's assets and are paid as described in the Management Fee note.

FIAM LLC (an affiliate of the investment adviser) and Massachusetts Financial Services Company 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.

Interfund Trades. Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. During the period there were no interfund trades.

6. Expense Reductions.

The investment adviser has contractually agreed to waive the Fund's management fee in an amount equal to .25% of the Fund's average net assets until September 30, 2024. During the period, this waiver reduced the Fund's management fee by $1,925,465.

7. Other.

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

Funds do not invest in underlying mutual funds for the purpose of exercising management or control; however, investments by funds within their principal investment strategies may represent a significant portion of the underlying mutual fund's net assets. At the end of the period, certain Funds were the owners of record of 10% or more of the total outstanding shares of the following underlying mutual funds as shown below.

Fund Strategic Advisers Municipal Bond Fund 
Fidelity SAI Municipal Income Fund 19% 
Fidelity SAI Tax-Free Bond Fund 10% 

8. 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 (June 17, 2021 to November 30, 2021). The hypothetical expense Example is based on an investment of $1,000 invested for the one-half year period (June 1, 2021 to November 30, 2021).

Actual Expenses

The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.

Hypothetical Example for Comparison Purposes

The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

 Annualized Expense Ratio-A Beginning
Account Value
 		Ending
Account Value
November 30, 2021 		Expenses Paid
During Period
 
Strategic Advisers Municipal Bond Fund .08%    
Actual  $1,000.00 $1,002.30 $.37-B 
Hypothetical-C  $1,000.00 $1,024.67 $.41-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 167/365 (to reflect the period June 17, 2021 to November 30, 2021).

 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 Municipal Bond Fund

In June 2021, 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 FIAM LLC (FIAM), MacKay Shields LLC (MacKay Shields), and T. Rowe Price Associates, Inc. (T. Rowe Price), 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 and each of FMR Investment Management (UK) Limited, Fidelity Management & Research (Japan) Limited and Fidelity Management & Research (Hong Kong) Limited, with respect to 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.

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 MacKay Shields, 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. Instead, the Board considered the historical investment performance of the portfolio managers in managing accounts under a similar investment mandate. 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 0.60% 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, 2024. The Board considered that although the proposed maximum aggregate annual management fee rate is higher than the median fee rate of funds with similar Lipper investment objective categories and comparable management fee characteristics, the fund's estimated effective and total management fee rates are expected to be below the median based upon the expected average allocations to the sub-advisers and the effective sub-advisory fee rates applicable under the proposed sub-advisory agreements, before taking into account the management fee waiver. 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. The Board noted that any breakpoints included in the Sub-Advisory Agreements have the potential to reduce sub-advisory fees paid to the sub-adviser as assets allocated to the sub-adviser grow.

Conclusion.  Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board 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.

Board Approval of New Sub-Advisory Agreement

Strategic Advisers Municipal Bond Fund

In September 2021, the Board of Trustees, including the Independent Trustees (together, the Board) voted to approve new sub-advisory agreements among Strategic Advisers, each of Delaware Investments Fund Advisers, a series of Macquarie Investment Management Business Trust (Delaware), and Massachusetts Financial Services Company (MFS), and Fidelity Rutland Square Trust II (Trust) on behalf of the fund (each, a Sub-Advisory Agreement and collectively, the Sub-Advisory Agreements). MFS and Delaware are each referred to herein as a Sub-Adviser and collectively, as the Sub-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 Sub-Advisory Agreements.

In considering whether to approve each Sub-Advisory Agreement, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the approval of each Sub-Advisory Agreement is in the best interests of the fund and its shareholders and that the approval of such agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the sub-advisory fees to be charged under each Sub-Advisory Agreement bear a reasonable relationship to the services to be rendered and will be based upon services provided that will be in addition to, rather than duplicative of services provided under the advisory contract of any underlying fund in which the fund may invest. The Board's decision to approve each Sub-Advisory Agreement was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board. In addition, individual Trustees did not necessarily attribute the same weight or importance to each factor.

Nature, Extent, and Quality of Services Provided.  The Board considered the backgrounds of the investment personnel that will provide services to the fund, and also took into consideration the fund's investment objective, strategies and related investment philosophy and the proposed sub-adviser line-up. The Board considered the structure of each Sub-Adviser's investment personnel compensation program and whether such structure provides 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 MFS from its oversight of the MFS on behalf of another fund overseen by the Board and that MFS will utilize the same organizational, compliance, legal, operational and control structures for both funds.

Resources Dedicated to Investment Management and Support Services.  The Board reviewed the general qualifications and capabilities of each Sub-Adviser's investment staff that will provide services to the fund, its use of technology, and each Sub-Adviser's approach to managing and compensating its investment personnel. The Board noted that each Sub-Adviser's analysts have extensive resources, tools and capabilities which allow them to conduct sophisticated fundamental and/or quantitative analysis. Additionally, in its deliberations, the Board considered the Sub-Advisers' trading capabilities and resources and compliance infrastructure, which are integral parts of the investment management process. The Board also considered the Sub-Advisers' investments in business continuity planning in connection with the COVID-19 pandemic.

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

Investment Performance.  The Board considered the historical investment performance of the Sub-Advisers in managing accounts under similar investment mandates.

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

Competitiveness of Management Fee and Total Fund Expenses.  The Board considered the amount and nature of fees to be paid by the fund to Strategic Advisers and by Strategic Advisers to each Sub-Adviser. The Board also considered the projected change in the fund's management fee and total operating expenses, if any, as a result of hiring the Sub-Advisers.

The Board noted that neither Sub-Advisory Agreement will result in changes to the maximum aggregate annual management fee payable by the fund or Strategic Advisers' portion of the management fee. The Board considered Strategic Advisers' contractual agreement to waive its portion of the fund's management fee. The Board further considered that because the fund recently launched and none of its existing sub-advised mandates (Existing Mandates) have been funded yet, the fund's projected management fee and total expenses are based on the expected initial allocations to its Existing Mandates, as well as the initial funding estimates for the Sub-Advisers. The Board considered that after allocating expected assets to the Sub-Advisers, the fund's projected management fee is expected to increase and the fund's total net expenses are expected to decrease; however, each are expected to continue to rank below the competitive peer group medians reported in the June 2021 contract approval materials for the fund.

Based on its review, the Board concluded that the fund's management fee structure and projected total expenses bear a reasonable relationship to the services that the fund and its shareholders will receive and the other factors considered.

Costs of the Services and Profitability.  Because each Sub-Advisory Agreement was negotiated at arm's length and will have no impact on the maximum management fees payable by the fund or Strategic Advisers' portion of the management fee, the Board did not consider the costs of services and profitability to be significant factors in its decision to approve the Sub-Advisory Agreements.

Potential Fall-Out Benefits.  The Board noted that the fund recently launched, and so the Board will review information regarding the potential of direct and indirect benefits accruing to Strategic Advisers and its affiliates from their relationships with the fund, including non-advisory fee compensation paid to affiliates of Strategic Advisers, if any, as well as information regarding potential fall-out benefits accruing to each sub-adviser, if any, as a result of its relationship with the fund, in connection with future renewals of the of the fund's management contract, sub-advisory agreements, and sub-subadvisory agreements. The Board considered Strategic Advisers' representation that it does not anticipate that the approval of the Sub-Advisory Agreements will have a significant impact on the profitability of, or potential fall-out benefits to, Strategic Advisers or its affiliates.

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

Possible Economies of Scale.  The Board noted that the fund recently launched, and so the Board will review 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 future renewals of the fund's management contract, sub-advisory agreements, and sub-subadvisory agreements. The Board noted that each Sub-Advisory Agreement provides for breakpoints that have the potential to reduce sub-advisory fees paid to the Sub-Adviser as assets allocated to the Sub-Adviser grow.





Fidelity Investments

SAM-SANN-0122
1.9903615.100


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 20, 2022


Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.



By:

/s/Stacie M. Smith

Stacie M. Smith

President and Treasurer


Date:

January 20, 2022



By:

/s/John J. Burke III

John J. Burke III

Chief Financial Officer


Date:

January 20, 2022