UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-21991
Fidelity Rutland Square Trust II
(Exact name of registrant as specified in charter)
245 Summer St., Boston, Massachusetts 02210
(Address of principal executive offices) (Zip code)
Christina H. Lee, Secretary
245 Summer St.
Boston, Massachusetts 02210
(Name and address of agent for service)
Registrant's telephone number, including area code:
617-563-7000
Date of fiscal year end: | May 31 |
Date of reporting period: | May 31, 2020 |
Item 1.
Reports to Stockholders
Strategic Advisers® Short Duration Fund
Offered exclusively to certain clients of Strategic Advisers LLC - not available for sale to the general public
May 31, 2020
See the inside front cover for important information about access to your fund’s shareholder reports.
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of a fund’s shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the fund or from your financial intermediary, such as a financial advisor, broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
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Contents
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. © 2020 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
Note to Shareholders:
Early in 2020, the outbreak and spread of a new coronavirus emerged as a public health emergency that had a major influence on financial markets, primarily based on its impact on the global economy and the outlook for corporate earnings. The virus causes a respiratory disease known as COVID-19. On March 11, the World Health Organization declared the COVID-19 outbreak a pandemic, citing sustained risk of further global spread.
In the weeks following, as the crisis worsened, we witnessed an escalating human tragedy with wide-scale social and economic consequences from coronavirus-containment measures. The outbreak of COVID-19 prompted a number of measures to limit the spread, including travel and border restrictions, quarantines, and restrictions on large gatherings. In turn, these resulted in lower consumer activity, diminished demand for a wide range of products and services, disruption in manufacturing and supply chains, and – given the wide variability in outcomes regarding the outbreak – significant market uncertainty and volatility. Amid the turmoil, 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.
The situation continues to unfold, and the extent and duration of its impact on financial markets and the economy remain highly uncertain. Extreme events such as the coronavirus crisis are “exogenous shocks” that can have significant adverse effects on mutual funds and their investments. Although multiple asset classes may be affected by market disruption, the duration and impact may not be the same for all types of assets.
Fidelity is committed to helping you stay informed amid news about COVID-19 and during increased market volatility, and we’re taking extra steps to be responsive to customer needs. We encourage you to visit our websites, where we offer ongoing updates, commentary, and analysis on the markets and our funds.
Performance: The Bottom Line
Average annual total return reflects the change in the value of an investment, assuming reinvestment of distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year. The hypothetical investment and the average annual total returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund’s total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.
Average Annual Total Returns
For the periods ended May 31, 2020 | Past 1 year | Past 5 years | Life of fundA |
Strategic Advisers® Short Duration Fund | 2.51% | 1.80% | 1.51% |
A From December 20, 2011
$10,000 Over Life of Fund
Let's say hypothetically that $10,000 was invested in Strategic Advisers® Short Duration Fund on December 20, 2011, when the fund started.
The chart shows how the value of your investment would have changed, and also shows how the FTSE 6-Month U.S. Treasury Bill Index performed over the same period.
Period Ending Values | ||
$11,347 | Strategic Advisers® Short Duration Fund | |
$10,672 | FTSE 6-Month U.S. Treasury Bill Index |
Management's Discussion of Fund Performance
Market Recap: U.S. taxable investment-grade bonds posted robust gains for the year ending May 31, 2020, with the Bloomberg Barclays U.S. Aggregate Bond Index advancing 9.42%. From June through October, bonds broadly rode a wave of easing monetary policy, with the Federal Reserve lowering short-term interest rates 75 basis points (0.75%) by year-end. Most bonds came under some pressure in the fourth quarter of 2019, given comments from the Fed that seemingly set a high bar for additional rate cuts. U.S. bonds rebounded strongly in January on renewed demand for safe-haven assets, as the spread of coronavirus threatened to hamper global economic growth. In February and March, U.S. Treasuries continued to surge, while riskier segments—led by corporate debt—largely retreated as a recession took hold. A historically rapid and expansive monetary/fiscal-policy response provided a partial offset to the economic disruption. This was evident in April and May, when credit-sensitive segments of the market rebounded strongly on improving infection data, plans for reopening the economy and progress on potential treatments. Within the bellwether index, U.S. Treasuries (+11.36%) led the way for the period, while corporate bonds produced a similarly hearty 10.03% return. Meanwhile, securitized sectors lagged the market despite gaining ground: agency mortgage-backed securities (+6.53%); commercial mortgage-backed securities (+6.18%); and asset-backed securities (+4.01%). Outside the index, U.S. corporate high-yield bonds gained 1.32%, while Treasury Inflation-Protected Securities (TIPS) rose 8.00%, according to Bloomberg Barclays.Comments from Lead Portfolio Manager Jonathan Duggan: For the fiscal year, the Fund gained 2.51%, outpacing the 1.95% advance of the benchmark FTSE® 6-Month U.S. Treasury Bill Index. During the second half of 2019 and into 2020, we reduced risk in the portfolio by adding funds that invest in U.S. Treasuries, government-agency mortgage-backed securities and cash, while reducing the Fund's allocation to those with investment-grade corporate credit exposure. These moves dampened the portfolio's interest rate sensitivity and also provided dry powder to increase risk following the March downturn. During this time, we boosted the Fund's positions in short-term managers (those with an average duration of 1 to 3 years). As a result, the Fund rallied strongly in April and May. For the period, both sub-advisers within the portfolio – FIAM℠ (+2.5%) and T. Rowe Price (+3.6%) – outperformed the Fund's benchmark and added considerable value. Allocations to asset-backed securities and higher-quality, floating-rate corporate bonds fueled FIAM's performance. T. Rowe Price on the other hand, benefited from having a longer portfolio duration than the benchmark and from its corporate credit holdings. On the downside, PIMCO Short-Term Fund (+1.5%) was the biggest relative detractor. The manager of this fund expected the U.S. Federal Reserve to raise interest rates in 2019 and, as a result, did not have enough exposure to the parts of the short-term yield curve that declined the most during the period. Its performance was also hurt by an overweighting in corporate credit during the first quarter of 2020. Looking ahead, we are optimistic about a recovery in the U.S. economy during the second half of this year and into 2021. At the same time, we remain cognizant of key risk factors, including U.S. elections later this year.The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
Investment Summary (Unaudited)
The information in the following tables is based on the direct investments of the Fund.Top Ten Holdings as of May 31, 2020
(excluding cash equivalents) | % of fund's net assets |
PIMCO Short-Term Fund - Administrator Class | 18.6 |
Baird Ultra Short Bond Fund Institutional Class | 7.6 |
iShares Lehman 1-3 Year Treasury Bond ETF | 6.8 |
Fidelity Short-Term Bond Fund | 5.7 |
PIMCO Enhanced Short Maturity Active ETF | 4.4 |
Blackrock Low Duration Bond Portfolio Investor A Shares | 4.3 |
U.S. Treasury Obligations | 3.6 |
JPMorgan Ultra-Short Income ETF | 3.2 |
iShares Short-Maturity Bond ETF | 3.2 |
Metropolitan West Low Duration Bond Fund - Class M | 2.8 |
60.2 |
Asset Allocation (% of fund's net assets)
As of May 31, 2020 | ||
Corporate Bonds | 23.7% | |
U.S. Government and U.S. Government Agency Obligations | 4.2% | |
Asset-Backed Securities | 6.5% | |
CMOs and Other Mortgage Related Securities | 1.8% | |
Bank Loan Funds | 0.7% | |
Other Investments | 0.7% | |
Short-Term Funds | 58.8% | |
Short-Term Investments and Net Other Assets (Liabilities) | 3.6% |
Asset allocations of funds in the pie chart reflect the categorizations of assets as defined by Morningstar as of the reporting date.
Schedule of Investments May 31, 2020
Showing Percentage of Net Assets
Nonconvertible Bonds - 23.7% | |||
Principal Amount | Value | ||
COMMUNICATION SERVICES - 1.3% | |||
Diversified Telecommunication Services - 0.3% | |||
AT&T, Inc.: | |||
3 month U.S. LIBOR + 0.930% 2.3046% 6/30/20 (a)(b) | $7,845,000 | $7,849,534 | |
3.8% 3/15/22 | 980,000 | 1,029,592 | |
SBA Tower Trust: | |||
3.156% 10/8/20 (c) | 265,000 | 265,445 | |
3.448% 3/15/48 (c) | 880,000 | 915,490 | |
Verizon Communications, Inc.: | |||
3 month U.S. LIBOR + 1.000% 1.7405% 3/16/22 (a)(b) | 15,233,000 | 15,262,247 | |
5.15% 9/15/23 | 775,000 | 885,581 | |
26,207,889 | |||
Entertainment - 0.4% | |||
NBCUniversal Enterprise, Inc. 3 month U.S. LIBOR + 0.400% 1.8334% 4/1/21 (a)(b)(c) | 23,029,000 | 23,078,736 | |
The Walt Disney Co.: | |||
3 month U.S. LIBOR + 0.250% 1.8304% 9/1/21 (a)(b) | 2,211,000 | 2,205,543 | |
1.65% 9/1/22 | 1,435,000 | 1,465,234 | |
3.35% 3/24/25 | 470,000 | 517,127 | |
27,266,640 | |||
Interactive Media & Services - 0.0% | |||
Baidu.com, Inc. 3.5% 11/28/22 | 780,000 | 811,444 | |
Media - 0.6% | |||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.: | |||
3.579% 7/23/20 | 5,662,000 | 5,662,289 | |
4.464% 7/23/22 | 3,590,000 | 3,823,197 | |
4.908% 7/23/25 | 2,145,000 | 2,455,344 | |
Comcast Corp.: | |||
3 month U.S. LIBOR + 0.330% 1.7634% 10/1/20 (a)(b) | 7,282,000 | 7,287,175 | |
3 month U.S. LIBOR + 0.440% 1.8734% 10/1/21 (a)(b) | 8,940,000 | 8,966,230 | |
3.1% 4/1/25 | 355,000 | 387,984 | |
3.7% 4/15/24 | 1,075,000 | 1,188,742 | |
COX Communications, Inc.: | |||
2.95% 6/30/23 (c) | 590,000 | 617,900 | |
3.15% 8/15/24 (c) | 585,000 | 620,695 | |
Fox Corp.: | |||
3.05% 4/7/25 | 185,000 | 196,724 | |
3.666% 1/25/22 | 260,000 | 271,103 | |
4.03% 1/25/24 | 305,000 | 335,298 | |
Interpublic Group of Companies, Inc. 3.5% 10/1/20 | 295,000 | 297,700 | |
RELX Capital, Inc. 3.5% 3/16/23 | 575,000 | 608,594 | |
Time Warner Cable, Inc. 4.125% 2/15/21 | 6,234,000 | 6,302,254 | |
TWDC Enterprises 18 Corp.: | |||
3 month U.S. LIBOR + 0.190% 1.5043% 6/5/20 (a)(b) | 6,332,000 | 6,332,295 | |
3 month U.S. LIBOR + 0.390% 1.6438% 3/4/22 (a)(b) | 5,000,000 | 4,964,504 | |
WPP Finance 2010 3.625% 9/7/22 | 310,000 | 323,213 | |
50,641,241 | |||
Wireless Telecommunication Services - 0.0% | |||
Axiata SPV2 Bhd 3.466% 11/19/20 (Reg. S) | 660,000 | 663,967 | |
T-Mobile U.S.A., Inc. 3.5% 4/15/25 (c) | 1,005,000 | 1,076,224 | |
Vodafone Group PLC 3.75% 1/16/24 | 650,000 | 706,833 | |
2,447,024 | |||
TOTAL COMMUNICATION SERVICES | 107,374,238 | ||
CONSUMER DISCRETIONARY - 1.2% | |||
Automobiles - 0.8% | |||
American Honda Finance Corp.: | |||
3 month U.S. LIBOR + 0.260% 1.0005% 6/16/20 (a)(b) | 5,000,000 | 4,999,930 | |
3 month U.S. LIBOR + 0.290% 1.186% 12/10/21 (a)(b) | 5,000,000 | 4,929,432 | |
BMW U.S. Capital LLC: | |||
3 month U.S. LIBOR + 0.410% 1.7214% 4/12/21 (a)(b)(c) | 11,110,000 | 11,017,748 | |
3 month U.S. LIBOR + 0.500% 0.9335% 8/13/21 (a)(b)(c) | 830,000 | 819,883 | |
2% 4/11/21 (c) | 1,500,000 | 1,506,293 | |
Daimler Finance North America LLC: | |||
3 month U.S. LIBOR + 0.900% 1.2924% 2/15/22 (a)(b)(c) | 5,000,000 | 4,825,100 | |
1.75% 3/10/23 (c) | 1,800,000 | 1,772,900 | |
2.3% 2/12/21 (c) | 1,745,000 | 1,744,022 | |
3.75% 11/5/21 (c) | 325,000 | 332,171 | |
General Motors Co.: | |||
4.875% 10/2/23 | 730,000 | 755,228 | |
5.4% 10/2/23 | 1,130,000 | 1,193,607 | |
General Motors Financial Co., Inc.: | |||
3 month U.S. LIBOR + 0.850% 2.1699% 4/9/21 (a)(b) | 5,628,000 | 5,481,045 | |
2.9% 2/26/25 | 1,880,000 | 1,825,926 | |
3.2% 7/13/20 | 1,570,000 | 1,571,845 | |
3.2% 7/6/21 | 510,000 | 510,161 | |
4.2% 3/1/21 | 6,059,000 | 6,087,817 | |
4.2% 11/6/21 | 370,000 | 375,356 | |
Harley-Davidson Financial Services, Inc.: | |||
3 month U.S. LIBOR + 0.940% 2.5204% 3/2/21 (a)(b)(c) | 995,000 | 980,421 | |
2.55% 6/9/22 (c) | 375,000 | 372,067 | |
4.05% 2/4/22 (c) | 1,210,000 | 1,227,929 | |
Nissan Motor Acceptance Corp.: | |||
2.15% 9/28/20 (c) | 1,535,000 | 1,516,118 | |
3.65% 9/21/21 (c) | 580,000 | 564,156 | |
Volkswagen Group of America Finance LLC: | |||
2.5% 9/24/21 (c) | 1,805,000 | 1,814,409 | |
2.7% 9/26/22 (c) | 650,000 | 661,141 | |
2.9% 5/13/22 (c) | 2,663,000 | 2,709,757 | |
3.125% 5/12/23 (c) | 355,000 | 364,547 | |
3.875% 11/13/20 (c) | 980,000 | 992,060 | |
60,951,069 | |||
Hotels, Restaurants & Leisure - 0.0% | |||
McDonald's Corp.: | |||
1.45% 9/1/25 | 600,000 | 611,692 | |
3.35% 4/1/23 | 645,000 | 693,813 | |
Starbucks Corp.: | |||
1.3% 5/7/22 | 1,615,000 | 1,636,264 | |
2.7% 6/15/22 | 435,000 | 452,255 | |
3,394,024 | |||
Household Durables - 0.0% | |||
D.R. Horton, Inc. 2.55% 12/1/20 | 495,000 | 497,182 | |
Panasonic Corp. 2.536% 7/19/22 (c) | 785,000 | 798,840 | |
1,296,022 | |||
Internet & Direct Marketing Retail - 0.1% | |||
eBay, Inc. 2.15% 6/5/20 | 805,000 | 805,104 | |
Expedia, Inc. 5.95% 8/15/20 | 335,000 | 336,860 | |
JD.com, Inc. 3.125% 4/29/21 | 2,645,000 | 2,666,491 | |
QVC, Inc.: | |||
4.375% 3/15/23 | 660,000 | 643,500 | |
5.125% 7/2/22 | 1,330,000 | 1,328,338 | |
The Booking Holdings, Inc. 4.1% 4/13/25 | 830,000 | 903,087 | |
6,683,380 | |||
Leisure Products - 0.0% | |||
Hasbro, Inc.: | |||
2.6% 11/19/22 | 885,000 | 906,670 | |
3% 11/19/24 | 1,190,000 | 1,213,071 | |
2,119,741 | |||
Specialty Retail - 0.2% | |||
AutoZone, Inc. 3.625% 4/15/25 | 485,000 | 532,638 | |
O'Reilly Automotive, Inc. 3.8% 9/1/22 | 385,000 | 396,440 | |
Ross Stores, Inc. 4.6% 4/15/25 | 2,310,000 | 2,576,991 | |
The Home Depot, Inc. 3 month U.S. LIBOR + 0.310% 1.8904% 3/1/22 (a)(b) | 14,500,000 | 14,469,276 | |
TJX Companies, Inc. 3.5% 4/15/25 | 770,000 | 860,280 | |
18,835,625 | |||
Textiles, Apparel & Luxury Goods - 0.1% | |||
VF Corp. 2.05% 4/23/22 | 6,772,000 | 6,917,758 | |
TOTAL CONSUMER DISCRETIONARY | 100,197,619 | ||
CONSUMER STAPLES - 1.0% | |||
Beverages - 0.2% | |||
Constellation Brands, Inc. 3 month U.S. LIBOR + 0.700% 1.0924% 11/15/21 (a)(b) | 5,000,000 | 4,967,809 | |
Diageo Capital PLC 1.375% 9/29/25 | 680,000 | 687,169 | |
Dr. Pepper Snapple Group, Inc. 3.551% 5/25/21 | 940,000 | 966,471 | |
Molson Coors Beverage Co. 3.5% 5/1/22 | 3,209,000 | 3,322,781 | |
Pernod Ricard SA 4.45% 1/15/22 (c) | 1,155,000 | 1,220,237 | |
11,164,467 | |||
Food & Staples Retailing - 0.0% | |||
Walgreen Co. 3.1% 9/15/22 | 435,000 | 454,408 | |
Food Products - 0.2% | |||
Archer Daniels Midland Co. 2.75% 3/27/25 | 285,000 | 307,194 | |
Bunge Ltd. Finance Corp.: | |||
3% 9/25/22 | 2,775,000 | 2,836,950 | |
3.5% 11/24/20 | 4,365,000 | 4,415,036 | |
4.35% 3/15/24 | 130,000 | 139,917 | |
Cargill, Inc. 1.375% 7/23/23 (c) | 630,000 | 640,711 | |
General Mills, Inc. 3 month U.S. LIBOR + 0.540% 1.7161% 4/16/21 (a)(b) | 7,164,000 | 7,172,136 | |
Mondelez International, Inc. 2.125% 4/13/23 | 2,351,000 | 2,428,420 | |
Tyson Foods, Inc. 2.25% 8/23/21 | 600,000 | 609,701 | |
18,550,065 | |||
Tobacco - 0.6% | |||
Altria Group, Inc.: | |||
3.49% 2/14/22 | 2,867,000 | 2,989,521 | |
3.8% 2/14/24 | 1,300,000 | 1,413,094 | |
4.75% 5/5/21 | 4,386,000 | 4,552,445 | |
BAT Capital Corp.: | |||
3 month U.S. LIBOR + 0.590% 1.014% 8/14/20 (a)(b) | 6,600,000 | 6,598,495 | |
2.764% 8/15/22 | 3,525,000 | 3,632,622 | |
Imperial Tobacco Finance PLC: | |||
2.95% 7/21/20 (c) | 15,940,000 | 15,960,821 | |
3.75% 7/21/22 (c) | 1,800,000 | 1,843,964 | |
Philip Morris International, Inc. 1.125% 5/1/23 | 9,481,000 | 9,592,876 | |
Reynolds American, Inc. 3.25% 6/12/20 | 4,310,000 | 4,312,792 | |
50,896,630 | |||
TOTAL CONSUMER STAPLES | 81,065,570 | ||
ENERGY - 1.3% | |||
Energy Equipment & Services - 0.1% | |||
Schlumberger Finance Canada Ltd. 2.2% 11/20/20 (c) | 5,000,000 | 4,994,166 | |
Schlumberger Holdings Corp. 3.75% 5/1/24 (c) | 620,000 | 650,799 | |
5,644,965 | |||
Oil, Gas & Consumable Fuels - 1.2% | |||
Aker Bp ASA 3% 1/15/25 (c) | 995,000 | 960,927 | |
BP Capital Markets PLC 3 month U.S. LIBOR + 0.250% 0.6095% 11/24/20 (a)(b) | 10,000,000 | 9,996,673 | |
Cenovus Energy, Inc. 3% 8/15/22 | 1,100,000 | 1,045,134 | |
Chevron Corp.: | |||
3 month U.S. LIBOR + 0.480% 1.9428% 3/3/22 (a)(b) | 4,700,000 | 4,695,329 | |
1.141% 5/11/23 | 5,109,000 | 5,204,240 | |
Columbia Pipeline Group, Inc. 3.3% 6/1/20 | 1,135,000 | 1,135,000 | |
Diamondback Energy, Inc.: | |||
2.875% 12/1/24 | 2,720,000 | 2,644,132 | |
4.75% 5/31/25 | 1,080,000 | 1,130,529 | |
Energy Transfer Partners LP: | |||
2.9% 5/15/25 | 255,000 | 252,311 | |
4.2% 9/15/23 | 280,000 | 291,092 | |
4.25% 3/15/23 | 615,000 | 637,752 | |
5.875% 1/15/24 | 2,375,000 | 2,592,973 | |
Eni SpA 4% 9/12/23 (c) | 390,000 | 412,798 | |
Enterprise Products Operating LP: | |||
2.8% 2/15/21 | 1,020,000 | 1,033,470 | |
2.85% 4/15/21 | 3,000,000 | 3,045,726 | |
3.5% 2/1/22 | 1,050,000 | 1,096,127 | |
5.2% 9/1/20 | 4,000,000 | 4,046,004 | |
EOG Resources, Inc. 2.625% 3/15/23 | 291,000 | 303,042 | |
EQT Corp.: | |||
3% 10/1/22 | 2,275,000 | 2,198,219 | |
4.875% 11/15/21 | 284,000 | 278,320 | |
Exxon Mobil Corp.: | |||
3 month U.S. LIBOR + 0.330% 0.7156% 8/16/22 (a)(b) | 7,000,000 | 6,976,520 | |
1.571% 4/15/23 | 1,835,000 | 1,884,264 | |
2.992% 3/19/25 | 1,895,000 | 2,074,497 | |
Kinder Morgan Energy Partners LP: | |||
3.5% 3/1/21 | 435,000 | 440,040 | |
3.95% 9/1/22 | 135,000 | 141,996 | |
Kinder Morgan, Inc. 5% 2/15/21 (c) | 675,000 | 686,816 | |
Marathon Oil Corp. 2.8% 11/1/22 | 1,925,000 | 1,865,694 | |
MPLX LP: | |||
3 month U.S. LIBOR + 0.900% 1.8989% 9/9/21 (a)(b) | 275,000 | 266,137 | |
3 month U.S. LIBOR + 1.100% 2.0989% 9/9/22 (a)(b) | 1,683,000 | 1,589,098 | |
Occidental Petroleum Corp.: | |||
3 month U.S. LIBOR + 0.950% 1.3976% 2/8/21 (a)(b) | 6,819,000 | 6,561,908 | |
3 month U.S. LIBOR + 1.250% 1.6835% 8/13/21 (a)(b) | 5,104,000 | 4,868,456 | |
3 month U.S. LIBOR + 1.450% 1.8424% 8/15/22 (a)(b) | 2,050,000 | 1,793,750 | |
2.6% 8/13/21 | 990,000 | 953,370 | |
Phillips 66 Co. 3 month U.S. LIBOR + 0.600% 0.9595% 2/26/21 (a)(b) | 5,033,000 | 5,015,510 | |
Plains All American Pipeline LP/PAA Finance Corp. 5% 2/1/21 | 455,000 | 457,454 | |
Reliance Holding U.S.A., Inc. 5.4% 2/14/22 (Reg. S) | 1,700,000 | 1,782,344 | |
Sabine Pass Liquefaction LLC: | |||
5.625% 2/1/21 (a) | 3,725,000 | 3,799,093 | |
5.625% 4/15/23 (a) | 845,000 | 913,962 | |
6.25% 3/15/22 | 2,495,000 | 2,654,088 | |
Saudi Arabian Oil Co. 2.75% 4/16/22 (c) | 1,815,000 | 1,854,703 | |
Suncor Energy, Inc. 2.8% 5/15/23 | 505,000 | 517,375 | |
Sunoco Logistics Partner Operations LP: | |||
3.45% 1/15/23 | 110,000 | 111,785 | |
4.4% 4/1/21 | 765,000 | 775,414 | |
The Williams Companies, Inc. 3.7% 1/15/23 | 2,205,000 | 2,298,851 | |
Valero Energy Corp. 2.7% 4/15/23 | 895,000 | 926,010 | |
Western Gas Partners LP 4% 7/1/22 | 1,800,000 | 1,769,616 | |
Williams Partners LP: | |||
3.35% 8/15/22 | 200,000 | 206,543 | |
4.3% 3/4/24 | 305,000 | 327,962 | |
96,513,054 | |||
TOTAL ENERGY | 102,158,019 | ||
FINANCIALS - 13.9% | |||
Banks - 8.9% | |||
Abbey National PLC: | |||
2.1% 1/13/23 | 1,255,000 | 1,289,663 | |
2.125% 11/3/20 | 570,000 | 573,831 | |
ABN AMRO Bank NV: | |||
3 month U.S. LIBOR + 0.410% 1.5453% 1/19/21 (a)(b)(c) | 10,000,000 | 10,013,800 | |
3 month U.S. LIBOR + 0.570% 0.9393% 8/27/21 (a)(b)(c) | 12,413,000 | 12,418,636 | |
Australia & New Zealand Banking Group Ltd. 3 month U.S. LIBOR + 0.500% 0.8805% 8/19/20 (a)(b)(c) | 7,000,000 | 7,006,396 | |
Banco del Estado de Chile 2.704% 1/9/25 (c) | 665,000 | 668,533 | |
Banco Santander Chile 2.5% 12/15/20 (c) | 1,745,000 | 1,751,544 | |
Banco Santander Mexico SA 4.125% 11/9/22 (Reg. S) | 1,750,000 | 1,799,984 | |
Banco Santander SA 3 month U.S. LIBOR + 1.120% 2.4314% 4/12/23 (a)(b) | 800,000 | 780,452 | |
Bank of America Corp.: | |||
3 month U.S. LIBOR + 0.380% 1.423% 1/23/22 (a)(b) | 15,000,000 | 14,930,599 | |
3 month U.S. LIBOR + 0.650% 1.8656% 6/25/22 (a)(b) | 20,000,000 | 19,908,955 | |
3 month U.S. LIBOR + 0.650% 2.0834% 10/1/21 (a)(b) | 10,000,000 | 10,013,867 | |
2.328% 10/1/21 (a) | 3,000,000 | 3,008,891 | |
2.503% 10/21/22 | 1,475,000 | 1,509,191 | |
2.738% 1/23/22 (a) | 830,000 | 838,814 | |
3.124% 1/20/23 (a) | 5,000,000 | 5,166,683 | |
3.3% 1/11/23 | 1,445,000 | 1,529,324 | |
Bank of Montreal: | |||
3 month U.S. LIBOR + 0.400% 1.296% 9/10/21 (a)(b) | 5,000,000 | 5,001,881 | |
3 month U.S. LIBOR + 0.440% 1.1805% 6/15/20 (a)(b) | 11,600,000 | 11,601,125 | |
3 month U.S. LIBOR + 0.460% 1.7714% 4/13/21 (a)(b) | 960,000 | 962,315 | |
3 month U.S. LIBOR + 0.570% 1.8024% 3/26/22 (a)(b) | 5,000,000 | 5,006,060 | |
Bank of Nova Scotia 3 month U.S. LIBOR + 0.290% 1.6424% 1/8/21 (a)(b) | 10,000,000 | 10,004,187 | |
Banque Federative du Credit Mutuel SA: | |||
3 month U.S. LIBOR + 0.490% 1.6253% 7/20/20 (a)(b)(c) | 15,000,000 | 15,026,805 | |
1.96% 7/21/21 (c) | 5,000,000 | 5,064,076 | |
2.125% 11/21/22 (c) | 1,415,000 | 1,437,541 | |
2.2% 7/20/20 (c) | 940,000 | 942,438 | |
2.5% 4/13/21 (c) | 5,000,000 | 5,085,932 | |
Barclays Bank PLC: | |||
3 month U.S. LIBOR + 0.460% 1.7714% 1/11/21 (a)(b) | 11,000,000 | 11,000,932 | |
3 month U.S. LIBOR + 0.650% 1.124% 8/7/20 (a)(b) | 15,000,000 | 15,009,927 | |
1.7% 5/12/22 | 1,790,000 | 1,814,446 | |
2.65% 1/11/21 | 10,905,000 | 11,005,016 | |
Barclays PLC: | |||
3 month U.S. LIBOR + 1.620% 2.9364% 1/10/23 (a)(b) | 645,000 | 638,760 | |
3 month U.S. LIBOR + 2.110% 2.5576% 8/10/21 (a)(b) | 14,003,000 | 14,141,042 | |
BB&T Corp. 2.15% 2/1/21 | 1,160,000 | 1,171,348 | |
BBVA U.S.A. 3 month U.S. LIBOR + 0.730% 1.4981% 6/11/21 (a)(b) | 11,700,000 | 11,596,543 | |
BNP Paribas SA 3 month U.S. LIBOR + 0.390% 0.864% 8/7/21 (a)(b)(c) | 5,000,000 | 5,005,274 | |
BPCE SA: | |||
3 month U.S. LIBOR + 0.300% 1.6114% 1/14/22 (a)(b)(c) | 5,000,000 | 4,956,091 | |
3 month U.S. LIBOR + 1.220% 1.578% 5/22/22 (a)(b)(c) | 1,605,000 | 1,601,630 | |
3.145% 7/31/20 (c) | 9,500,000 | 9,538,257 | |
Capital One Bank NA 2.014% 1/27/23 (a) | 7,000,000 | 7,013,347 | |
Capital One NA: | |||
2.15% 9/6/22 | 2,575,000 | 2,607,457 | |
2.25% 9/13/21 | 250,000 | 253,015 | |
Citibank NA: | |||
3 month U.S. LIBOR + 0.300% 1.4353% 10/20/20 (a)(b) | 4,500,000 | 4,503,431 | |
3 month U.S. LIBOR + 0.600% 0.9766% 5/20/22 (a)(b) | 8,000,000 | 7,961,088 | |
Citigroup, Inc.: | |||
3 month U.S. LIBOR + 1.190% 1.7461% 8/2/21 (a)(b) | 9,500,000 | 9,548,842 | |
3 month U.S. LIBOR + 1.380% 2.7546% 3/30/21 (a)(b) | 10,000,000 | 10,053,949 | |
2.312% 11/4/22 (a) | 16,290,000 | 16,510,080 | |
2.35% 8/2/21 | 5,000,000 | 5,088,581 | |
2.9% 12/8/21 | 1,495,000 | 1,535,821 | |
Credit Agricole SA: | |||
3 month U.S. LIBOR + 0.970% 1.866% 6/10/20 (a)(b)(c) | 13,280,000 | 13,283,373 | |
3 month U.S. LIBOR + 1.020% 2.0403% 4/24/23 (a)(b)(c) | 675,000 | 662,714 | |
Credit Suisse Group Funding Guernsey Ltd.: | |||
3 month U.S. LIBOR + 2.290% 3.4253% 4/16/21 (a)(b) | 4,250,000 | 4,308,125 | |
3.125% 12/10/20 | 5,000,000 | 5,055,122 | |
3.45% 4/16/21 | 5,000,000 | 5,115,949 | |
Danske Bank A/S: | |||
3.001% 9/20/22 (a)(c) | 1,475,000 | 1,489,962 | |
5% 1/12/22 (c) | 1,050,000 | 1,100,113 | |
Fifth Third Bancorp 1.625% 5/5/23 | 10,625,000 | 10,818,644 | |
First Niagara Financial Group, Inc. 7.25% 12/15/21 | 515,000 | 552,394 | |
HSBC Holdings PLC: | |||
3 month U.S. LIBOR + 0.650% 1.4341% 9/11/21 (a)(b) | 15,675,000 | 15,678,114 | |
U.S. SOFR SEC OVRN FIN RATE INDX + 0.000% 2.099% 6/4/26 (a)(b) | 1,840,000 | 1,836,892 | |
ING Groep NV 3 month U.S. LIBOR + 1.150% 2.5246% 3/29/22 (a)(b) | 735,000 | 734,817 | |
JPMorgan Chase & Co.: | |||
3 month U.S. LIBOR + 0.680% 2.2604% 6/1/21 (a)(b) | 10,024,000 | 10,028,908 | |
3 month U.S. LIBOR + 1.100% 2.0989% 6/7/21 (a)(b) | 11,083,000 | 11,146,734 | |
2.083% 4/22/26 (a) | 1,870,000 | 1,913,662 | |
2.4% 6/7/21 | 5,993,000 | 6,099,595 | |
2.55% 10/29/20 | 10,000,000 | 10,069,943 | |
2.55% 3/1/21 | 18,053,000 | 18,304,479 | |
KeyBank NA 3 month U.S. LIBOR + 0.660% 1.3466% 2/1/22 (a)(b) | 8,128,000 | 8,087,144 | |
Lloyds Bank PLC: | |||
3 month U.S. LIBOR + 0.490% 0.964% 5/7/21 (a)(b) | 9,000,000 | 9,015,248 | |
3.3% 5/7/21 | 2,649,000 | 2,713,211 | |
Manufacturers & Traders Trust Co. 3 month U.S. LIBOR + 0.270% 1.2614% 1/25/21 (a)(b) | 10,000,000 | 10,007,067 | |
Mitsubishi UFJ Financial Group, Inc.: | |||
3 month U.S. LIBOR + 0.650% 1.6414% 7/26/21 (a)(b) | 6,926,000 | 6,913,703 | |
3 month U.S. LIBOR + 0.700% 1.6989% 3/7/22 (a)(b) | 10,000,000 | 9,928,603 | |
3 month U.S. LIBOR + 0.860% 1.8514% 7/26/23 (a)(b) | 665,000 | 656,187 | |
3 month U.S. LIBOR + 0.920% 1.278% 2/22/22 (a)(b) | 840,000 | 833,877 | |
2.998% 2/22/22 | 5,000,000 | 5,161,171 | |
3.218% 3/7/22 | 1,090,000 | 1,128,930 | |
Mizuho Financial Group, Inc.: | |||
3 month U.S. LIBOR + 0.940% 1.3113% 2/28/22 (a)(b) | 5,000,000 | 4,982,271 | |
3 month U.S. LIBOR + 1.140% 1.9125% 9/13/21 (a)(b) | 17,000,000 | 17,033,369 | |
Nordea Bank AB 4.875% 5/13/21 (c) | 710,000 | 733,172 | |
PNC Bank NA: | |||
1.743% 2/24/23 (a) | 4,078,000 | 4,129,935 | |
2.028% 12/9/22 (a) | 7,000,000 | 7,116,277 | |
Rabobank Nederland 3.95% 11/9/22 | 1,370,000 | 1,441,206 | |
Rabobank Nederland New York Branch: | |||
3 month U.S. LIBOR + 0.430% 1.4214% 4/26/21 (a)(b) | 12,500,000 | 12,517,853 | |
3 month U.S. LIBOR + 0.830% 2.1414% 1/10/22 (a)(b) | 5,000,000 | 5,035,224 | |
Regions Bank 3 month U.S. LIBOR + 0.500% 0.9335% 8/13/21 (a)(b) | 8,350,000 | 8,290,498 | |
Royal Bank of Canada: | |||
3 month U.S. LIBOR + 0.300% 1.3976% 7/22/20 (a)(b) | 5,000,000 | 5,006,455 | |
3 month U.S. LIBOR + 0.390% 1.1501% 4/30/21 (a)(b) | 10,000,000 | 10,030,008 | |
3 month U.S. LIBOR + 0.400% 1.3914% 1/25/21 (a)(b) | 5,000,000 | 5,009,021 | |
Royal Bank of Scotland Group PLC 3.875% 9/12/23 | 1,085,000 | 1,148,901 | |
Royal Bank of Scotland PLC 2.375% 5/21/23 (c) | 1,525,000 | 1,538,080 | |
Santander Holdings U.S.A., Inc. 4.45% 12/3/21 | 7,000,000 | 7,304,749 | |
Santander UK Group Holdings PLC 2.875% 10/16/20 | 820,000 | 826,274 | |
Standard Chartered PLC: | |||
3 month U.S. LIBOR + 1.150% 2.2853% 1/20/23 (a)(b)(c) | 910,000 | 896,932 | |
2.744% 9/10/22 (a)(c) | 860,000 | 864,774 | |
Sumitomo Mitsui Banking Corp. 3 month U.S. LIBOR + 0.370% 1.5461% 10/16/20 (a)(b) | 5,000,000 | 5,007,100 | |
Sumitomo Mitsui Financial Group, Inc.: | |||
3 month U.S. LIBOR + 1.140% 2.2753% 10/19/21 (a)(b) | 6,500,000 | 6,532,675 | |
3 month U.S. LIBOR + 1.680% 2.6789% 3/9/21 (a)(b) | 3,000,000 | 3,021,297 | |
SunTrust Banks, Inc. 3 month U.S. LIBOR + 0.500% 1.4914% 10/26/21 (a)(b) | 5,000,000 | 4,988,845 | |
Svenska Handelsbanken AB 3 month U.S. LIBOR + 0.470% 0.8295% 5/24/21 (a)(b) | 8,500,000 | 8,524,965 | |
Swedbank AB 2.65% 3/10/21 (c) | 2,210,000 | 2,241,669 | |
Synchrony Bank 3% 6/15/22 | 10,395,000 | 10,432,457 | |
Synovus Bank 2.289% 2/10/23 (a) | 1,237,000 | 1,222,048 | |
The Toronto-Dominion Bank: | |||
3 month U.S. LIBOR + 0.240% 1.2314% 1/25/21 (a)(b) | 11,565,000 | 11,569,831 | |
3 month U.S. LIBOR + 0.260% 1.1031% 9/17/20 (a)(b) | 5,000,000 | 5,005,041 | |
3 month U.S. LIBOR + 0.270% 1.1131% 3/17/21 (a)(b) | 10,000,000 | 10,011,645 | |
U.S. SOFR SEC OVRN FIN RATE INDX + 0.480% 0.5321% 1/27/23 (a)(b) | 5,000,000 | 4,889,312 | |
U.S. Bancorp 3% 3/15/22 | 1,530,000 | 1,596,351 | |
U.S. Bank NA, Cincinnati: | |||
3 month U.S. LIBOR + 0.140% 1.183% 10/23/20 (a)(b) | 3,535,000 | 3,531,268 | |
3 month U.S. LIBOR + 0.250% 1.2703% 7/24/20 (a)(b) | 5,000,000 | 5,002,368 | |
Wells Fargo & Co.: | |||
3 month U.S. LIBOR + 0.880% 1.9776% 7/22/20 (a)(b) | 14,900,000 | 14,931,660 | |
1.654% 6/2/24 (a) | 5,935,000 | 5,951,953 | |
2.188% 4/30/26 (a) | 840,000 | 851,121 | |
2.5% 3/4/21 | 7,010,000 | 7,113,127 | |
2.6% 7/22/20 | 5,000,000 | 5,014,400 | |
3.5% 3/8/22 | 735,000 | 769,918 | |
4.6% 4/1/21 | 10,000,000 | 10,329,131 | |
Wells Fargo Bank NA: | |||
3 month U.S. LIBOR + 0.500% 1.543% 7/23/21 (a)(b) | 5,000,000 | 4,998,665 | |
2.082% 9/9/22 (a) | 1,105,000 | 1,118,161 | |
3.325% 7/23/21 (a) | 1,935,000 | 1,941,670 | |
Zions Bancorp NA 3.5% 8/27/21 | 5,000,000 | 5,078,922 | |
714,121,680 | |||
Capital Markets - 1.9% | |||
Bank of New York, New York 3 month U.S. LIBOR + 0.280% 1.5338% 6/4/21 (a)(b) | 5,000,000 | 5,000,000 | |
Charles Schwab Corp. 3 month U.S. LIBOR + 0.320% 0.6941% 5/21/21 (a)(b) | 990,000 | 990,317 | |
Credit Suisse AG: | |||
U.S. SOFR SEC OVRN FIN RATE INDX + 0.450% 0.5051% 2/4/22 (a)(b) | 5,310,000 | 5,245,003 | |
2.1% 11/12/21 | 4,591,000 | 4,683,596 | |
2.8% 4/8/22 | 3,625,000 | 3,756,050 | |
Deutsche Bank AG New York Branch: | |||
3 month U.S. LIBOR + 0.810% 1.9126% 1/22/21 (a)(b) | 10,000,000 | 9,826,298 | |
3 month U.S. LIBOR + 1.290% 1.8461% 2/4/21 (a)(b) | 860,000 | 846,827 | |
2.7% 7/13/20 | 5,000,000 | 5,000,000 | |
2.95% 8/20/20 | 3,940,000 | 3,943,635 | |
3.15% 1/22/21 | 11,435,000 | 11,444,803 | |
3.375% 5/12/21 | 125,000 | 125,239 | |
Goldman Sachs Group, Inc.: | |||
3 month U.S. LIBOR + 1.200% 1.9405% 9/15/20 (a)(b) | 4,670,000 | 4,678,640 | |
3 month U.S. LIBOR + 1.360% 2.3514% 4/23/21 (a)(b) | 10,000,000 | 10,060,682 | |
2.6% 12/27/20 | 1,752,000 | 1,754,262 | |
2.625% 4/25/21 | 5,000,000 | 5,081,598 | |
2.876% 10/31/22 (a) | 520,000 | 531,296 | |
2.905% 7/24/23 (a) | 10,000,000 | 10,275,261 | |
3% 4/26/22 | 1,505,000 | 1,531,206 | |
5.75% 1/24/22 | 1,800,000 | 1,937,977 | |
Morgan Stanley: | |||
3 month U.S. LIBOR + 0.930% 2.0276% 7/22/22 (a)(b) | 4,040,000 | 4,031,435 | |
U.S. SOFR SEC OVRN FIN RATE INDX + 0.700% 0.7506% 1/20/23 (a)(b) | 5,000,000 | 4,896,452 | |
U.S. SOFR SEC OVRN FIN RATE INDX + 0.830% 0.944% 6/10/22 (a)(b) | 5,000,000 | 4,938,535 | |
2.5% 4/21/21 | 5,000,000 | 5,082,067 | |
2.625% 11/17/21 | 17,214,000 | 17,683,610 | |
2.75% 5/19/22 | 1,095,000 | 1,136,922 | |
5.5% 7/24/20 | 670,000 | 674,777 | |
5.75% 1/25/21 | 10,000,000 | 10,330,560 | |
State Street Corp. 2.825% 3/30/23 (a)(c) | 603,000 | 623,535 | |
TD Ameritrade Holding Corp. 3 month U.S. LIBOR + 0.430% 1.1166% 11/1/21 (a)(b) | 7,500,000 | 7,454,586 | |
UBS AG London Branch 1.75% 4/21/22 (c) | 7,525,000 | 7,648,109 | |
UBS Group AG 3% 4/15/21 (c) | 1,495,000 | 1,524,855 | |
UBS Group Funding AG 3 month U.S. LIBOR + 1.220% 1.578% 5/23/23 (a)(b)(c) | 880,000 | 882,724 | |
153,620,857 | |||
Consumer Finance - 1.7% | |||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust: | |||
3.95% 2/1/22 | 1,070,000 | 1,008,303 | |
4.45% 12/16/21 | 1,395,000 | 1,324,046 | |
4.625% 10/30/20 | 635,000 | 632,461 | |
American Express Co.: | |||
3 month U.S. LIBOR + 0.600% 1.1409% 11/5/21 (a)(b) | 6,750,000 | 6,744,058 | |
2.2% 10/30/20 | 3,000,000 | 3,017,461 | |
2.65% 12/2/22 | 9,500,000 | 9,927,223 | |
2.75% 5/20/22 | 5,000,000 | 5,190,925 | |
3% 2/22/21 | 5,000,000 | 5,078,589 | |
3.375% 5/17/21 | 1,500,000 | 1,536,837 | |
Aviation Capital Group LLC: | |||
3 month U.S. LIBOR + 0.670% 1.4301% 7/30/21 (a)(b)(c) | 1,427,000 | 1,322,723 | |
3 month U.S. LIBOR + 0.950% 2.5304% 6/1/21 (a)(b)(c) | 4,307,000 | 3,963,332 | |
Capital One Financial Corp.: | |||
2.4% 10/30/20 | 615,000 | 618,219 | |
3.2% 1/30/23 | 765,000 | 792,927 | |
3.5% 6/15/23 | 555,000 | 585,155 | |
3.9% 1/29/24 | 505,000 | 536,235 | |
Ford Motor Credit Co. LLC: | |||
3 month U.S. LIBOR + 0.930% 2.1341% 9/24/20 (a)(b) | 1,855,000 | 1,836,450 | |
3.157% 8/4/20 | 8,910,000 | 8,902,872 | |
3.47% 4/5/21 | 415,000 | 404,625 | |
3.813% 10/12/21 | 495,000 | 481,388 | |
5.875% 8/2/21 | 290,000 | 290,725 | |
GE Capital International Funding Co. 2.342% 11/15/20 | 19,564,000 | 19,693,405 | |
Hyundai Capital America: | |||
2.375% 2/10/23 (c) | 1,925,000 | 1,900,366 | |
2.45% 6/15/21 (c) | 755,000 | 754,636 | |
2.85% 11/1/22 (c) | 511,000 | 510,808 | |
3% 6/20/22 (c) | 1,060,000 | 1,066,100 | |
3.95% 2/1/22 (c) | 1,315,000 | 1,336,553 | |
John Deere Capital Corp.: | |||
3 month U.S. LIBOR + 0.160% 1.5124% 1/8/21 (a)(b) | 8,720,000 | 8,715,747 | |
3 month U.S. LIBOR + 0.170% 1.4899% 10/9/20 (a)(b) | 5,000,000 | 5,002,183 | |
3 month U.S. LIBOR + 0.240% 1.0241% 3/12/21 (a)(b) | 5,000,000 | 4,998,521 | |
3 month U.S. LIBOR + 0.260% 1.156% 9/10/21 (a)(b) | 5,000,000 | 4,986,962 | |
3 month U.S. LIBOR + 0.420% 1.7314% 7/10/20 (a)(b) | 5,000,000 | 5,006,700 | |
Paccar Financial Corp. 3.1% 5/10/21 | 1,260,000 | 1,290,920 | |
Synchrony Financial 2.85% 7/25/22 | 3,473,000 | 3,408,738 | |
Toyota Motor Credit Corp.: | |||
3 month U.S. LIBOR + 0.120% 0.5585% 8/13/21 (a)(b) | 6,904,000 | 6,866,052 | |
3 month U.S. LIBOR + 0.170% 1.0594% 9/18/20 (a)(b) | 10,000,000 | 9,998,855 | |
1.15% 5/26/22 | 5,000,000 | 5,023,860 | |
134,754,960 | |||
Diversified Financial Services - 0.2% | |||
AIG Global Funding: | |||
3 month U.S. LIBOR + 0.460% 1.6756% 6/25/21 (a)(b)(c) | 4,293,000 | 4,282,480 | |
2.3% 7/1/22 (c) | 1,528,000 | 1,574,586 | |
3.35% 6/25/21 (c) | 770,000 | 791,881 | |
BP Capital Markets America, Inc.: | |||
2.937% 4/6/23 | 700,000 | 739,362 | |
4.742% 3/11/21 | 5,000,000 | 5,152,143 | |
Brixmor Operating Partnership LP 3.875% 8/15/22 | 170,000 | 173,194 | |
CNH Industrial Capital LLC: | |||
3.875% 10/15/21 | 1,325,000 | 1,344,917 | |
4.375% 11/6/20 | 1,725,000 | 1,730,366 | |
General Electric Capital Corp.: | |||
3.15% 9/7/22 | 555,000 | 568,394 | |
3.45% 5/15/24 | 530,000 | 543,362 | |
Park Aerospace Holdings Ltd.: | |||
4.5% 3/15/23 (c) | 435,000 | 368,494 | |
5.25% 8/15/22 (c) | 880,000 | 776,505 | |
18,045,684 | |||
Insurance - 1.2% | |||
ACE INA Holdings, Inc. 2.3% 11/3/20 | 970,000 | 975,889 | |
AIA Group Ltd. 3 month U.S. LIBOR + 0.520% 1.6358% 9/20/21 (a)(b)(c) | 6,046,000 | 5,964,263 | |
American International Group, Inc.: | |||
2.5% 6/30/25 | 1,460,000 | 1,510,202 | |
4.875% 6/1/22 | 675,000 | 726,173 | |
6.4% 12/15/20 | 2,010,000 | 2,069,423 | |
Aon Corp.: | |||
2.2% 11/15/22 | 1,592,000 | 1,638,141 | |
5% 9/30/20 | 4,135,000 | 4,194,025 | |
Aon PLC 2.8% 3/15/21 | 1,320,000 | 1,335,874 | |
Lincoln National Corp. 4% 9/1/23 | 270,000 | 292,202 | |
Marsh & McLennan Companies, Inc.: | |||
3 month U.S. LIBOR + 1.200% 2.5746% 12/29/21 (a)(b) | 4,546,000 | 4,530,113 | |
3.5% 12/29/20 | 5,296,000 | 5,384,289 | |
3.875% 3/15/24 | 725,000 | 795,513 | |
MassMutual Global Funding II: | |||
2.25% 7/1/22 (c) | 1,150,000 | 1,183,899 | |
2.5% 4/13/22 (c) | 3,780,000 | 3,892,486 | |
Metropolitan Life Global Funding I: | |||
3 month U.S. LIBOR + 0.400% 1.1841% 6/12/20 (a)(b)(c) | 10,000,000 | 10,002,295 | |
U.S. SOFR SEC OVRN FIN RATE INDX + 0.570% 0.6159% 1/13/23 (a)(b)(c) | 6,940,000 | 6,782,208 | |
U.S. SOFR SEC OVRN FIN RATE INDX + 0.570% 0.63% 9/7/20 (a)(b)(c) | 5,000,000 | 4,997,500 | |
2.5% 12/3/20 (Reg. S) (c) | 3,000,000 | 3,031,661 | |
Metropolitan Tower Global Funding U.S. SOFR SEC OVRN FIN RATE INDX + 0.550% 0.5989% 1/17/23 (a)(b)(c) | 5,000,000 | 4,863,460 | |
New York Life Global Funding: | |||
3 month U.S. LIBOR + 0.280% 2.0141% 1/10/23 (a)(b)(c) | 6,945,000 | 6,808,382 | |
3 month U.S. LIBOR + 0.320% 0.8209% 8/6/21 (a)(b)(c) | 6,177,000 | 6,182,835 | |
1.1% 5/5/23 (c) | 725,000 | 733,530 | |
2.95% 1/28/21 (c) | 3,775,000 | 3,837,743 | |
Pricoa Global Funding I 2.55% 11/24/20 (c) | 2,614,000 | 2,638,436 | |
Protective Life Global Funding: | |||
3 month U.S. LIBOR + 0.370% 1.6814% 7/13/20 (a)(b)(c) | 7,000,000 | 7,005,855 | |
3 month U.S. LIBOR + 0.520% 1.8946% 6/28/21 (a)(b)(c) | 2,000,000 | 2,000,524 | |
Reinsurance Group of America, Inc. 5% 6/1/21 | 125,000 | 129,473 | |
Trinity Acquisition PLC 3.5% 9/15/21 | 650,000 | 662,023 | |
94,168,417 | |||
Thrifts & Mortgage Finance - 0.0% | |||
Crown Castle Towers LLC/Crown Atlantic Holdings Sub LLC/Crown Communication, Inc. 3.72% 7/15/43 (c) | 370,000 | 385,302 | |
TOTAL FINANCIALS | 1,115,096,900 | ||
HEALTH CARE - 2.0% | |||
Biotechnology - 0.3% | |||
AbbVie, Inc.: | |||
3 month U.S. LIBOR + 0.650% 1.0241% 11/21/22 (a)(b)(c) | 7,100,000 | 7,043,342 | |
2.15% 11/19/21 (c) | 11,244,000 | 11,454,074 | |
2.3% 5/14/21 | 850,000 | 862,335 | |
2.6% 11/21/24 (c) | 2,745,000 | 2,883,181 | |
2.9% 11/6/22 | 1,740,000 | 1,822,323 | |
3.2% 11/6/22 | 170,000 | 178,756 | |
3.25% 10/1/22 (c) | 185,000 | 193,493 | |
3.45% 3/15/22 (c) | 615,000 | 639,878 | |
Baxalta, Inc. 3.6% 6/23/22 | 265,000 | 278,671 | |
25,356,053 | |||
Health Care Equipment & Supplies - 0.2% | |||
Baxter International, Inc. 3.75% 10/1/25 (c) | 910,000 | 1,027,017 | |
Becton, Dickinson & Co.: | |||
3 month U.S. LIBOR + 0.870% 2.2496% 12/29/20 (a)(b) | 8,326,000 | 8,323,502 | |
2.404% 6/5/20 | 1,195,000 | 1,194,883 | |
2.894% 6/6/22 | 2,230,000 | 2,316,591 | |
3.125% 11/8/21 | 350,000 | 361,050 | |
3.363% 6/6/24 | 1,215,000 | 1,310,244 | |
3.734% 12/15/24 | 285,000 | 313,152 | |
Zimmer Biomet Holdings, Inc. 3 month U.S. LIBOR + 0.750% 1.8019% 3/19/21 (a)(b) | 3,220,000 | 3,193,342 | |
18,039,781 | |||
Health Care Providers & Services - 0.8% | |||
AmerisourceBergen Corp. 3.5% 11/15/21 | 610,000 | 632,637 | |
Anthem, Inc.: | |||
2.375% 1/15/25 | 410,000 | 430,915 | |
2.5% 11/21/20 | 1,095,000 | 1,105,051 | |
Cardinal Health, Inc.: | |||
2.616% 6/15/22 | 115,000 | 118,036 | |
3.079% 6/15/24 | 695,000 | 733,491 | |
3.2% 3/15/23 | 875,000 | 917,911 | |
3.5% 11/15/24 | 1,180,000 | 1,264,789 | |
Cigna Corp.: | |||
3 month U.S. LIBOR + 0.650% 1.4931% 9/17/21 (a)(b) | 5,165,000 | 5,137,434 | |
3% 7/15/23 (c) | 715,000 | 754,600 | |
3.4% 9/17/21 | 370,000 | 382,852 | |
3.75% 7/15/23 | 738,000 | 802,965 | |
3.9% 2/15/22 (c) | 585,000 | 614,268 | |
4.125% 9/15/20 (c) | 710,000 | 715,706 | |
CVS Health Corp.: | |||
3 month U.S. LIBOR + 0.720% 1.7189% 3/9/21 (a)(b) | 8,025,000 | 8,037,468 | |
2.625% 8/15/24 | 335,000 | 353,767 | |
2.8% 7/20/20 | 11,000,000 | 11,011,330 | |
3.35% 3/9/21 | 6,556,000 | 6,689,032 | |
3.7% 3/9/23 | 2,710,000 | 2,903,079 | |
Express Scripts Holding Co. 3 month U.S. LIBOR + 0.750% 1.1125% 11/30/20 (a)(b) | 14,665,000 | 14,610,079 | |
Humana, Inc.: | |||
2.9% 12/15/22 | 160,000 | 167,639 | |
3.15% 12/1/22 | 315,000 | 330,089 | |
3.85% 10/1/24 | 490,000 | 535,511 | |
4.5% 4/1/25 | 1,205,000 | 1,364,334 | |
McKesson Corp. 3.65% 11/30/20 | 1,380,000 | 1,398,443 | |
61,011,426 | |||
Life Sciences Tools & Services - 0.0% | |||
Thermo Fisher Scientific, Inc. 4.133% 3/25/25 | 385,000 | 437,646 | |
Pharmaceuticals - 0.7% | |||
AstraZeneca PLC 2.375% 11/16/20 | 5,000,000 | 5,042,159 | |
Bayer U.S. Finance II LLC: | |||
3 month U.S. LIBOR + 0.630% 1.8456% 6/25/21 (a)(b)(c) | 17,180,000 | 17,087,695 | |
3.5% 6/25/21 (c) | 855,000 | 873,711 | |
Bristol-Myers Squibb Co.: | |||
2.55% 5/14/21 (c) | 9,104,000 | 9,294,394 | |
2.6% 5/16/22 (c) | 635,000 | 661,375 | |
2.75% 2/15/23 (c) | 605,000 | 635,510 | |
2.875% 8/15/20 (c) | 1,203,000 | 1,209,159 | |
2.875% 2/19/21 (c) | 1,110,000 | 1,130,183 | |
2.9% 7/26/24 (c) | 840,000 | 906,824 | |
3.25% 2/20/23 (c) | 185,000 | 197,496 | |
3.55% 8/15/22 (c) | 600,000 | 636,811 | |
3.625% 5/15/24 (c) | 160,000 | 175,911 | |
EMD Finance LLC 2.95% 3/19/22 (c) | 430,000 | 443,362 | |
Perrigo Finance PLC: | |||
3.5% 3/15/21 | 605,000 | 605,729 | |
3.5% 12/15/21 | 631,000 | 629,185 | |
3.9% 12/15/24 | 1,780,000 | 1,853,898 | |
Shire Acquisitions Investments Ireland DAC: | |||
2.4% 9/23/21 | 1,000,000 | 1,020,021 | |
2.875% 9/23/23 | 115,000 | 121,275 | |
Takeda Pharmaceutical Co. Ltd. 4% 11/26/21 | 1,550,000 | 1,621,831 | |
Zoetis, Inc. 3 month U.S. LIBOR + 0.440% 0.8166% 8/20/21 (a)(b) | 10,000,000 | 9,987,793 | |
54,134,322 | |||
TOTAL HEALTH CARE | 158,979,228 | ||
INDUSTRIALS - 1.1% | |||
Aerospace & Defense - 0.1% | |||
General Dynamics Corp. 3% 5/11/21 | 10,000,000 | 10,242,547 | |
Northrop Grumman Corp. 2.55% 10/15/22 | 785,000 | 821,780 | |
11,064,327 | |||
Air Freight & Logistics - 0.0% | |||
FedEx Corp. 3.8% 5/15/25 | 570,000 | 626,265 | |
Airlines - 0.0% | |||
American Airlines 2017-2 Class B Pass Through Trust equipment trust certificate 3.7% 4/15/27 | 622,274 | 385,006 | |
Delta Air Lines, Inc. 2.6% 12/4/20 | 290,000 | 282,847 | |
United Airlines 2019-2 Class B Pass Through Trust equipment trust certificate 3.5% 11/1/29 | 410,000 | 254,172 | |
922,025 | |||
Building Products - 0.0% | |||
Carrier Global Corp. 2.242% 2/15/25 (c) | 1,860,000 | 1,862,855 | |
Commercial Services & Supplies - 0.0% | |||
Republic Services, Inc. 2.5% 8/15/24 | 880,000 | 931,308 | |
Electrical Equipment - 0.0% | |||
Shanghai Electric Group Global Investment Ltd. 2.65% 11/21/24 | 2,220,000 | 2,271,564 | |
Industrial Conglomerates - 0.2% | |||
Honeywell International, Inc.: | |||
3 month U.S. LIBOR + 0.370% 0.8176% 8/8/22 (a)(b) | 9,078,000 | 9,064,643 | |
1.35% 6/1/25 | 970,000 | 989,836 | |
2.3% 8/15/24 | 740,000 | 786,475 | |
Roper Technologies, Inc.: | |||
2.35% 9/15/24 | 365,000 | 379,023 | |
3% 12/15/20 | 475,000 | 478,890 | |
3.125% 11/15/22 | 1,505,000 | 1,577,217 | |
3.65% 9/15/23 | 270,000 | 291,477 | |
13,567,561 | |||
Machinery - 0.5% | |||
Caterpillar Financial Services Corp.: | |||
3 month U.S. LIBOR + 0.200% 0.6346% 11/12/21 (a)(b) | 5,000,000 | 4,970,717 | |
3 month U.S. LIBOR + 0.230% 0.9705% 3/15/21 (a)(b) | 5,000,000 | 5,001,580 | |
3 month U.S. LIBOR + 0.250% 0.6095% 8/26/20 (a)(b) | 5,000,000 | 4,998,005 | |
3 month U.S. LIBOR + 0.280% 1.2789% 9/7/21 (a)(b) | 6,790,000 | 6,777,459 | |
3 month U.S. LIBOR + 0.300% 1.2989% 3/8/21 (a)(b) | 5,000,000 | 4,990,906 | |
2.95% 2/26/22 | 1,040,000 | 1,080,868 | |
Otis Worldwide Corp.: | |||
3 month U.S. LIBOR + 0.450% 2.0876% 4/5/23 (a)(b)(c) | 3,299,000 | 3,254,941 | |
2.056% 4/5/25 (c) | 1,080,000 | 1,114,343 | |
Westinghouse Air Brake Co. 3 month U.S. LIBOR + 1.300% 2.0405% 9/15/21 (a)(b) | 5,428,000 | 5,160,699 | |
37,349,518 | |||
Professional Services - 0.1% | |||
Equifax, Inc.: | |||
3 month U.S. LIBOR + 0.870% 1.2624% 8/15/21 (a)(b) | 610,000 | 602,513 | |
2.3% 6/1/21 | 975,000 | 984,174 | |
3.6% 8/15/21 | 570,000 | 585,362 | |
3.95% 6/15/23 | 1,090,000 | 1,159,353 | |
3,331,402 | |||
Road & Rail - 0.1% | |||
Avolon Holdings Funding Ltd.: | |||
2.875% 2/15/25 (c) | 980,000 | 750,279 | |
3.625% 5/1/22 (c) | 1,560,000 | 1,388,086 | |
3.95% 7/1/24 (c) | 265,000 | 218,670 | |
Eastern Creation II Investment Holdings Ltd. 2.75% 9/26/20 | 1,380,000 | 1,383,105 | |
Penske Truck Leasing Co. LP: | |||
3.2% 7/15/20 (c) | 1,710,000 | 1,710,426 | |
3.3% 4/1/21 (c) | 1,160,000 | 1,175,390 | |
3.65% 7/29/21 (c) | 385,000 | 391,407 | |
SMBC Aviation Capital Finance: | |||
3.55% 4/15/24 (c) | 325,000 | 325,354 | |
4.125% 7/15/23 (c) | 200,000 | 202,381 | |
Union Pacific Corp. 3.2% 6/8/21 | 1,205,000 | 1,236,335 | |
8,781,433 | |||
Trading Companies & Distributors - 0.1% | |||
Air Lease Corp.: | |||
2.25% 1/15/23 | 810,000 | 755,487 | |
2.5% 3/1/21 | 275,000 | 265,426 | |
3.5% 1/15/22 | 5,560,000 | 5,321,482 | |
GATX Corp. 3.9% 3/30/23 | 545,000 | 569,455 | |
6,911,850 | |||
Transportation Infrastructure - 0.0% | |||
HPHT Finance 17 Ltd. 2.75% 9/11/22 (Reg. S) | 1,235,000 | 1,245,484 | |
TOTAL INDUSTRIALS | 88,865,592 | ||
INFORMATION TECHNOLOGY - 0.5% | |||
Electronic Equipment & Components - 0.1% | |||
Amphenol Corp. 2.05% 3/1/25 | 910,000 | 928,157 | |
Avnet, Inc. 3.75% 12/1/21 | 905,000 | 929,803 | |
Jabil, Inc. 5.625% 12/15/20 | 485,000 | 495,965 | |
Tyco Electronics Group SA 3 month U.S. LIBOR + 0.450% 1.7643% 6/5/20 (a)(b) | 5,261,000 | 5,260,692 | |
7,614,617 | |||
IT Services - 0.1% | |||
Fiserv, Inc. 2.75% 7/1/24 | 1,820,000 | 1,930,383 | |
Global Payments, Inc. 2.65% 2/15/25 | 800,000 | 840,306 | |
IBM Corp.: | |||
2.5% 1/27/22 | 460,000 | 476,161 | |
2.85% 5/13/22 | 725,000 | 757,707 | |
2.875% 11/9/22 | 125,000 | 132,273 | |
PayPal Holdings, Inc. 1.35% 6/1/23 | 3,824,000 | 3,884,613 | |
The Western Union Co.: | |||
2.85% 1/10/25 | 905,000 | 933,914 | |
3.6% 3/15/22 | 735,000 | 765,192 | |
9,720,549 | |||
Semiconductors & Semiconductor Equipment - 0.2% | |||
Analog Devices, Inc. 2.95% 4/1/25 | 295,000 | 314,288 | |
Broadcom Corp./Broadcom Cayman LP 2.2% 1/15/21 | 225,000 | 226,145 | |
Microchip Technology, Inc.: | |||
2.67% 9/1/23 (c) | 1,110,000 | 1,115,308 | |
3.922% 6/1/21 | 2,185,000 | 2,221,100 | |
Micron Technology, Inc.: | |||
2.497% 4/24/23 | 2,585,000 | 2,646,596 | |
4.64% 2/6/24 | 340,000 | 373,621 | |
NXP BV/NXP Funding LLC: | |||
2.7% 5/1/25 (c) | 205,000 | 211,418 | |
3.875% 9/1/22 (c) | 690,000 | 723,229 | |
4.125% 6/1/21 (c) | 795,000 | 818,035 | |
4.625% 6/1/23 (c) | 1,175,000 | 1,266,663 | |
Texas Instruments, Inc.: | |||
1.375% 3/12/25 | 545,000 | 560,313 | |
1.85% 5/15/22 | 1,035,000 | 1,062,002 | |
11,538,718 | |||
Software - 0.0% | |||
Oracle Corp. 2.5% 4/1/25 | 1,300,000 | 1,381,766 | |
Technology Hardware, Storage & Peripherals - 0.1% | |||
Apple, Inc.: | |||
0.75% 5/11/23 | 6,265,000 | 6,331,558 | |
2.4% 5/3/23 | 1,025,000 | 1,083,395 | |
7,414,953 | |||
TOTAL INFORMATION TECHNOLOGY | 37,670,603 | ||
MATERIALS - 0.2% | |||
Chemicals - 0.2% | |||
CNAC HK Finbridge Co. Ltd.: | |||
3% 7/19/20 (Reg. S) | 825,000 | 826,031 | |
4.125% 3/14/21 (Reg. S) | 765,000 | 775,649 | |
DuPont de Nemours, Inc. 3.766% 11/15/20 | 1,105,000 | 1,120,704 | |
International Flavors & Fragrances, Inc. 3.4% 9/25/20 | 6,415,000 | 6,438,481 | |
LyondellBasell Industries NV 6% 11/15/21 | 1,755,000 | 1,851,108 | |
Syngenta Finance NV 3.933% 4/23/21 (c) | 735,000 | 736,626 | |
11,748,599 | |||
Construction Materials - 0.0% | |||
Boral Finance Pty Ltd. 3% 11/1/22 (c) | 135,000 | 134,512 | |
Vulcan Materials Co.: | |||
3 month U.S. LIBOR + 0.600% 1.3405% 6/15/20 (a)(b) | 790,000 | 789,564 | |
3 month U.S. LIBOR + 0.650% 2.2304% 3/1/21 (a)(b) | 1,620,000 | 1,603,728 | |
2,527,804 | |||
Metals & Mining - 0.0% | |||
Anglo American Capital PLC: | |||
3.75% 4/10/22 (c) | 400,000 | 408,196 | |
4.125% 9/27/22 (c) | 624,000 | 636,080 | |
Nucor Corp. 2% 6/1/25 | 350,000 | 356,276 | |
POSCO 2.375% 1/17/23 (c) | 1,870,000 | 1,885,464 | |
3,286,016 | |||
TOTAL MATERIALS | 17,562,419 | ||
REAL ESTATE - 0.1% | |||
Equity Real Estate Investment Trusts (REITs) - 0.1% | |||
American Campus Communities Operating Partnership LP 3.75% 4/15/23 | 910,000 | 913,486 | |
Crown Castle International Corp.: | |||
2.25% 9/1/21 | 1,195,000 | 1,212,286 | |
3.4% 2/15/21 | 860,000 | 873,501 | |
Highwoods/Forsyth LP 3.625% 1/15/23 | 1,620,000 | 1,667,469 | |
Simon Property Group LP: | |||
2.625% 6/15/22 | 1,150,000 | 1,146,964 | |
3.375% 10/1/24 | 1,175,000 | 1,199,407 | |
Ventas Realty LP 3.1% 1/15/23 | 180,000 | 178,526 | |
7,191,639 | |||
Real Estate Management & Development - 0.0% | |||
Essex Portfolio LP 3.625% 8/15/22 | 55,000 | 56,553 | |
Ventas Realty LP/Ventas Capital Corp. 3.25% 8/15/22 | 345,000 | 348,021 | |
WEA Finance LLC/Westfield UK & Europe Finance PLC 3.25% 10/5/20 (c) | 235,000 | 235,338 | |
639,912 | |||
TOTAL REAL ESTATE | 7,831,551 | ||
UTILITIES - 1.1% | |||
Electric Utilities - 0.5% | |||
American Electric Power Co., Inc. 3.65% 12/1/21 | 180,000 | 186,622 | |
Duke Energy Corp.: | |||
3 month U.S. LIBOR + 0.500% 0.924% 5/14/21 (a)(b)(c) | 7,000,000 | 6,992,305 | |
3.55% 9/15/21 | 330,000 | 339,340 | |
Edison International 3.125% 11/15/22 | 650,000 | 669,145 | |
ENEL Finance International NV: | |||
2.875% 5/25/22 (c) | 1,660,000 | 1,703,797 | |
4.25% 9/14/23 (c) | 780,000 | 841,452 | |
Exelon Corp. 2.85% 6/15/20 | 5,000,000 | 5,002,788 | |
FirstEnergy Corp. 2.85% 7/15/22 | 885,000 | 913,107 | |
Israel Electric Corp. Ltd. 5% 11/12/24 (Reg. S) (c) | 1,365,000 | 1,508,707 | |
NextEra Energy Capital Holdings, Inc.: | |||
3 month U.S. LIBOR + 0.550% 0.9213% 8/28/21 (a)(b) | 1,285,000 | 1,285,079 | |
2.403% 9/1/21 | 11,475,000 | 11,740,493 | |
NRG Energy, Inc. 3.75% 6/15/24 (c) | 535,000 | 554,750 | |
PNM Resources, Inc. 3.25% 3/9/21 | 995,000 | 1,004,963 | |
Sinosing Services Pte Ltd. 2.25% 2/20/25 (Reg. S) | 2,200,000 | 2,200,000 | |
Southern Co. 2.35% 7/1/21 | 280,000 | 284,802 | |
Vistra Operations Co. LLC 3.55% 7/15/24 (c) | 3,025,000 | 3,092,816 | |
38,320,166 | |||
Gas Utilities - 0.0% | |||
CenterPoint Energy Resources Corp. 4.5% 1/15/21 | 590,000 | 597,876 | |
Independent Power and Renewable Electricity Producers - 0.0% | |||
The AES Corp. 3.3% 7/15/25 (c) | 820,000 | 832,530 | |
Multi-Utilities - 0.6% | |||
CenterPoint Energy, Inc. 3.6% 11/1/21 | 455,000 | 471,825 | |
Consolidated Edison Co. of New York, Inc. 3 month U.S. LIBOR + 0.400% 1.6156% 6/25/21 (a)(b) | 11,500,000 | 11,488,040 | |
Dominion Energy, Inc.: | |||
3 month U.S. LIBOR + 0.400% 1.9804% 12/1/20 (a)(b)(c) | 10,000,000 | 9,972,740 | |
2.579% 7/1/20 (a) | 2,335,000 | 2,337,471 | |
2.715% 8/15/21 | 3,153,000 | 3,205,825 | |
San Diego Gas & Electric Co. 1.914% 2/1/22 | 137,146 | 137,406 | |
Sempra Energy: | |||
3 month U.S. LIBOR + 0.500% 1.7189% 1/15/21 (a)(b) | 17,575,000 | 17,493,893 | |
2.85% 11/15/20 | 1,830,000 | 1,839,918 | |
2.875% 10/1/22 | 535,000 | 552,198 | |
47,499,316 | |||
TOTAL UTILITIES | 87,249,888 | ||
TOTAL NONCONVERTIBLE BONDS | |||
(Cost $1,899,324,954) | 1,904,051,627 | ||
U.S. Treasury Obligations - 3.6% | |||
U.S. Treasury Notes: | |||
0.125% 4/30/22 | $9,120,000 | $9,115,012 | |
0.125% 5/15/23 | 113,726,000 | 113,490,552 | |
0.375% 3/31/22 (d) | 109,000,000 | 109,408,750 | |
1.75% 6/15/22 | 810,000 | 836,135 | |
2.125% 5/15/22 | 14,690,000 | 15,248,909 | |
2.25% 4/15/22 (d) | 23,070,000 | 23,961,259 | |
2.375% 3/15/22 | 4,290,000 | 4,458,584 | |
2.375% 8/15/24 | 10,000,000 | 10,882,422 | |
TOTAL U.S. TREASURY OBLIGATIONS | |||
(Cost $285,541,234) | 287,401,623 | ||
U.S. Government Agency - Mortgage Securities - 0.4% | |||
Fannie Mae - 0.3% | |||
12 month U.S. LIBOR + 1.550% 3.692% 12/1/35 (a)(b) | 6,228 | 6,481 | |
12 month U.S. LIBOR + 1.620% 4.27% 7/1/35 (a)(b) | 5,659 | 5,870 | |
12 month U.S. LIBOR + 1.650% 4.319% 8/1/37 (a)(b) | 2,279 | 2,362 | |
12 month U.S. LIBOR + 1.690% 4.295% 5/1/38 (a)(b) | 22,993 | 23,962 | |
12 month U.S. LIBOR + 1.780% 3.698% 5/1/38 (a)(b) | 12,613 | 13,146 | |
12 month U.S. LIBOR + 1.830% 3.609% 4/1/38 (a)(b) | 18,150 | 18,993 | |
12 month U.S. LIBOR + 1.850% 4.522% 8/1/38 (a)(b) | 9,155 | 9,504 | |
12 month U.S. LIBOR + 1.860% 3.661% 5/1/38 (a)(b) | 17,513 | 18,302 | |
12 month U.S. LIBOR + 2.040% 4.119% 12/1/36 (a)(b) | 3,797 | 3,979 | |
6 month U.S. LIBOR + 1.360% 3.069% 10/1/33 (a)(b) | 35,198 | 36,261 | |
3% 9/1/28 to 2/1/35 | 2,749,041 | 2,938,411 | |
3.5% 11/1/26 to 2/1/48 | 548,251 | 580,593 | |
4% 1/1/47 to 1/1/50 | 2,389,797 | 2,555,569 | |
4.5% 11/1/20 to 1/1/50 | 6,383,221 | 6,938,765 | |
5% 12/1/20 to 7/1/45 | 1,687,499 | 1,916,175 | |
5.5% 3/1/21 to 5/1/40 | 2,138,442 | 2,466,905 | |
6% to 6% 1/1/22 to 2/1/49 | 1,989,711 | 2,350,149 | |
6.5% 7/1/32 to 12/1/32 | 91,191 | 105,190 | |
TOTAL FANNIE MAE | 19,990,617 | ||
Freddie Mac - 0.0% | |||
12 month U.S. LIBOR + 1.590% 3.841% 9/1/35 (a)(b) | 3,601 | 3,735 | |
12 month U.S. LIBOR + 1.620% 4.314% 7/1/38 (a)(b) | 23,619 | 24,378 | |
12 month U.S. LIBOR + 1.620% 4.5% 6/1/38 (a)(b) | 28,875 | 30,012 | |
12 month U.S. LIBOR + 1.720% 4.102% 5/1/38 (a)(b) | 9,131 | 9,507 | |
12 month U.S. LIBOR + 1.720% 4.48% 7/1/35 (a)(b) | 10,466 | 10,854 | |
12 month U.S. LIBOR + 1.730% 3.733% 2/1/37 (a)(b) | 4,894 | 5,136 | |
12 month U.S. LIBOR + 1.730% 4.411% 10/1/36 (a)(b) | 23,988 | 24,926 | |
12 month U.S. LIBOR + 1.740% 3.743% 2/1/37 (a)(b) | 6,184 | 6,494 | |
12 month U.S. LIBOR + 1.770% 4.65% 5/1/37 (a)(b) | 7,334 | 7,697 | |
12 month U.S. LIBOR + 2.020% 4.048% 11/1/36 (a)(b) | 2,994 | 3,135 | |
12 month U.S. LIBOR + 2.050% 4.118% 12/1/36 (a)(b) | 6,214 | 6,516 | |
12 month U.S. LIBOR + 2.080% 4.082% 2/1/38 (a)(b) | 18,071 | 19,022 | |
12 month U.S. LIBOR + 2.190% 4.19% 2/1/37 (a)(b) | 8,474 | 8,904 | |
U.S. TREASURY 1 YEAR INDEX + 2.340% 4.097% 11/1/34 (a)(b) | 14,252 | 14,862 | |
3% 11/1/34 | 452,674 | 486,635 | |
3.5% 11/1/49 to 1/1/50 | 764,524 | 806,307 | |
4% 12/1/49 | 327,564 | 354,733 | |
4.5% 5/1/50 | 484,560 | 527,995 | |
5% 10/1/22 to 12/1/41 | 728,290 | 818,653 | |
5.5% 11/1/21 to 10/1/38 | 23,583 | 24,951 | |
6% 7/1/21 to 1/1/38 | 128,441 | 150,174 | |
7% 3/1/39 | 180,972 | 212,420 | |
7.5% 6/1/38 | 188,075 | 219,906 | |
TOTAL FREDDIE MAC | 3,776,952 | ||
Ginnie Mae - 0.1% | |||
6% 7/15/36 | 233,835 | 271,906 | |
4% 2/20/48 to 4/20/50 (e) | 1,152,238 | 1,252,836 | |
4.5% 9/20/40 to 3/20/50 | 1,829,382 | 1,975,470 | |
5% 12/20/34 to 5/20/48 | 2,299,863 | 2,549,789 | |
5.5% 9/15/45 to 2/20/49 | 2,196,206 | 2,434,165 | |
TOTAL GINNIE MAE | 8,484,166 | ||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES | |||
(Cost $31,308,388) | 32,251,735 | ||
Asset-Backed Securities - 6.5% | |||
Allegro CLO Ltd. Series 2015-1A Class AR, 3 month U.S. LIBOR + 0.840% 1.8314% 7/25/27 (a)(b)(c) | $547,421 | $539,972 | |
Ally Auto Receivables Trust: | |||
Series 2017-2: | |||
Class C, 2.46% 9/15/22 | 745,000 | 747,150 | |
Class D, 2.93% 11/15/23 | 200,000 | 200,707 | |
Series 2019-1 Class A2, 2.85% 3/15/22 | 2,260,316 | 2,268,250 | |
Series 2019-2 Class A2, 2.34% 6/15/22 | 2,937,146 | 2,953,901 | |
Series 2019-3 Class A4, 1.96% 12/16/24 | 600,000 | 610,773 | |
Series 2019-4 Class A2, 1.93% 10/17/22 | 3,150,000 | 3,166,556 | |
Ally Master Owner Trust: | |||
Series 2018-1 Class A1: | |||
1 month U.S. LIBOR + 0.280% 0.4636% 1/17/23 (a)(b) | 8,383,000 | 8,363,952 | |
2.7% 1/17/23 | 1,905,000 | 1,920,902 | |
Series 2018-2 Class A, 3.29% 5/15/23 | 2,060,000 | 2,099,932 | |
Series 2018-3 Class A, 1 month U.S. LIBOR + 0.320% 0.5036% 7/15/22 (a)(b) | 5,000,000 | 4,992,810 | |
American Credit Acceptance Receivables Trust Series 2019-3 Class A, 2.44% 12/12/22 (c) | 1,118,081 | 1,120,975 | |
American Express Credit Account Master Trust: | |||
Series 2019-1 Class A, 2.87% 10/15/24 | 1,749,000 | 1,825,202 | |
Series 2019-3 Class B, 2.2% 4/15/25 | 740,000 | 762,740 | |
AmeriCredit Automobile Receivables Trust: | |||
Series 2016-1 Class C, 2.89% 1/10/22 | 110,702 | 110,713 | |
Series 2016-3 Class D, 2.71% 9/8/22 | 810,000 | 818,622 | |
Series 2016-4 Class D, 2.74% 12/8/22 | 2,320,000 | 2,351,080 | |
Series 2017-1: | |||
Class C, 2.71% 8/18/22 | 240,000 | 242,391 | |
Class D, 3.13% 1/18/23 | 1,330,000 | 1,347,868 | |
Series 2017-3: | |||
Class B, 2.24% 6/19/23 | 395,000 | 396,818 | |
Class C, 2.69% 6/19/23 | 420,000 | 426,539 | |
Class D, 3.18% 7/18/23 | 1,355,000 | 1,370,744 | |
Series 2018-1 Class D, 3.82% 3/18/24 | 1,645,000 | 1,688,848 | |
Series 2018-3 Class A3, 3.38% 7/18/23 | 3,532,000 | 3,591,634 | |
Series 2019-3: | |||
Class A2A, 2.17% 1/18/23 | 2,655,990 | 2,667,781 | |
Class B, 2.13% 7/18/25 | 985,000 | 989,537 | |
Series 2020-1: | |||
Class C, 1.59% 10/20/25 | 705,000 | 676,626 | |
Class D, 1.8% 12/18/25 | 690,000 | 645,546 | |
Applebee's/IHOP Funding LLC Series 2019-1A Class A2I, 4.194% 6/7/49 (c) | 1,360,000 | 1,109,529 | |
ARI Fleet Lease Trust: | |||
Series 2017-A Class A2, 1.91% 4/15/26 (c) | 10,098 | 10,099 | |
Series 2018-A Class A2, 2.55% 10/15/26 (c) | 244,931 | 245,414 | |
Series 2020-A Class B, 2.06% 11/15/28 (c) | 770,000 | 735,017 | |
Ascentium Equipment Receivables LLC Series 2017-1A Class A3, 2.29% 6/10/21 (c) | 84,602 | 84,749 | |
Avis Budget Rental Car Funding (AESOP) LLC: | |||
Series 2015-2A Class A, 2.63% 12/20/21 (c) | 890,000 | 874,143 | |
Series 2016-1A Class A, 2.99% 6/20/22 (c) | 610,000 | 603,180 | |
Series 2017-1A Class B, 3.41% 9/20/23 (c) | 540,000 | 456,553 | |
Series 2017-2A Class A, 2.97% 3/20/24 (c) | 905,000 | 899,356 | |
Series 2018-2A Class C, 4.95% 3/20/25 (c) | 430,000 | 337,723 | |
Series 2019-1A Class B, 3.7% 3/20/23 (c) | 245,000 | 209,352 | |
Series 2019-2A Class A, 3.35% 9/22/25 (c) | 650,000 | 639,741 | |
Series 2020-1A Class A, 2.33% 8/20/26 (c) | 540,000 | 504,082 | |
Babson CLO Ltd. Series 2013-IA Class AR, 3 month U.S. LIBOR + 0.800% 1.9353% 1/20/28 (a)(b)(c) | 1,441,923 | 1,422,304 | |
Bank of The West Auto Trust Series 2019-1 Class A2, 2.4% 10/17/22 (c) | 851,699 | 856,673 | |
Bayview Opportunity Master Fund Trust: | |||
Series 2017-RT3 Class A, 3.5% 1/28/58 (a)(c) | 1,059,106 | 1,067,626 | |
Series 2017-SPL4 Class A, 3.5% 1/28/55 (c) | 314,613 | 318,645 | |
Bayview Opportunity Master Funding Trust Series 2017-SPL5 Class A, 3.5% 6/28/57 (c) | 907,213 | 910,045 | |
BlueMountain CLO Ltd. Series 2015-2A Class A1R, 3 month U.S. LIBOR + 0.930% 2.0653% 7/18/27 (a)(b)(c) | 1,584,694 | 1,549,621 | |
BMW Floorplan Master Owner Trust Series 2018-1 Class A2, 1 month U.S. LIBOR + 0.320% 0.5036% 5/15/23 (a)(b)(c) | 6,174,000 | 6,111,552 | |
BMW Vehicle Lease Trust Series 2019-1 Class A2, 2.79% 3/22/21 | 1,795,090 | 1,800,618 | |
BRE Grand Islander Timeshare Issuer Series 2019-A Class A, 3.28% 9/26/33 (c) | 302,768 | 292,585 | |
Canadian Pacer Auto Receivables Trust: | |||
Series 2018-2A Class A2B, 1 month U.S. LIBOR + 0.180% 0.3524% 6/21/21 (a)(b)(c) | 543,214 | 543,032 | |
Series 2019-1A Class A2, 2.78% 3/21/22 (c) | 2,100,299 | 2,111,442 | |
Capital Auto Receivables Asset Trust: | |||
Series 2017-1: | |||
Class B, 2.43% 5/20/22 (c) | 145,000 | 145,594 | |
Class C, 2.7% 9/20/22 (c) | 235,000 | 233,568 | |
Series 2018-1 Class B, 3.09% 8/22/22 (c) | 760,000 | 776,156 | |
Series 2018-2: | |||
Class B, 3.48% 10/20/23 (c) | 370,000 | 375,740 | |
Class C, 3.69% 12/20/23 (c) | 460,000 | 468,292 | |
Capital One Multi-Asset Execution Trust Series 2016-16 Class A2, 1 month U.S. LIBOR + 0.630% 0.8136% 2/15/24 (a)(b) | 13,275,000 | 13,322,773 | |
Capital One Prime Auto Receivables Trust Series 2019-1 Class A2, 2.58% 4/15/22 | 5,016,937 | 5,051,108 | |
Carlyle Global Market Strategies Series 2015-3A Class A1R, 3 month U.S. LIBOR + 1.000% 1.8871% 7/28/28 (a)(b)(c) | 1,615,000 | 1,575,484 | |
CarMax Auto Owner Trust: | |||
Series 2017-4 Class C, 2.7% 10/16/23 | 205,000 | 206,217 | |
Series 2018-3 Class A2A, 2.88% 10/15/21 | 221,043 | 221,239 | |
Series 2018-4 Class A2B, 1 month U.S. LIBOR + 0.200% 0.3836% 2/15/22 (a)(b) | 1,253,990 | 1,253,990 | |
Series 2019-1 Class A2A, 3.02% 7/15/22 | 1,810,028 | 1,821,381 | |
Series 2019-2: | |||
Class A2A, 2.69% 7/15/22 | 1,724,824 | 1,736,943 | |
Class B, 3.01% 12/16/24 | 1,935,000 | 1,970,846 | |
Series 2019-4 Class A2A, 2.01% 3/15/23 | 1,291,000 | 1,300,303 | |
Series 2020-1 Class A2, 1.87% 4/17/23 | 3,542,000 | 3,577,540 | |
Carvana Auto Receivables Trust Series 2019-4A Class A2, 2.2% 7/15/22 (c) | 449,000 | 450,156 | |
Chesapeake Funding II LLC: | |||
Series 2017-2A Class A2, 1 month U.S. LIBOR + 0.450% 0.6336% 5/15/29 (a)(b)(c) | 2,037,885 | 2,029,136 | |
Series 2017-4A Class A2, 1 month U.S. LIBOR + 0.340% 0.5236% 11/15/29 (a)(b)(c) | 1,220,776 | 1,215,900 | |
Series 2018-3A Class A2, 1 month U.S. LIBOR + 0.480% 0.6636% 1/15/31 (a)(b)(c) | 1,883,954 | 1,845,908 | |
Series 2019-1A Class A1, 2.94% 4/15/31 (c) | 2,763,682 | 2,785,796 | |
CNH Equipment Trust: | |||
Series 2018-A Class B, 3.47% 10/15/25 | 380,000 | 388,264 | |
Series 2019-A Class A2, 2.96% 5/16/22 | 1,613,404 | 1,621,928 | |
Series 2019-B Class A2, 2.55% 9/15/22 | 2,897,847 | 2,916,553 | |
Series 2019-C Class A2, 1.99% 3/15/23 | 1,322,000 | 1,329,243 | |
Series 2020-A Class A4, 1.51% 4/15/27 | 590,000 | 591,215 | |
Cole Park CLO Ltd. Series 2015-1A Class AR, 3 month U.S. LIBOR + 1.050% 2.1853% 10/20/28 (a)(b)(c) | 1,610,000 | 1,581,593 | |
Daimler Trucks Retail Trust: | |||
Series 2018-1 Class A4, 3.03% 11/15/24 (c) | 420,000 | 422,562 | |
Series 2020-1 Class A4, 1.37% 6/15/27 | 1,820,000 | 1,802,473 | |
Dell Equipment Finance Trust: | |||
Series 2018-2 Class A2 3.16% 2/22/21 (c) | 912,969 | 915,301 | |
Series 2019-1 Class A2, 2.78% 8/23/21 (c) | 2,476,304 | 2,489,175 | |
Series 2019-2: | |||
Class A2, 1.95% 12/22/21 (c) | 4,210,000 | 4,224,755 | |
Class A3, 1.91% 10/22/24 (c) | 1,714,000 | 1,729,652 | |
Discover Card Master Trust: | |||
Series 2018-A5 Class A5, 3.32% 3/15/24 | 5,000,000 | 5,183,439 | |
Series 2019-A2 Class A, 1 month U.S. LIBOR + 0.270% 0.4536% 12/15/23 (a)(b) | 10,000,000 | 10,011,702 | |
DLL Securitization Trust: | |||
Series 2019-MA2 Class A2, 2.27% 5/20/22 (c) | 2,683,194 | 2,687,801 | |
Series 2019-MT3: | |||
Class A2, 2.13% 1/20/22 (c) | 4,210,000 | 4,231,378 | |
Class A3, 2.08% 2/21/23 (c) | 1,639,000 | 1,645,392 | |
Drive Auto Receivables Trust Series 2019-4 Class A2A, 2.32% 6/15/22 | 1,220,623 | 1,223,448 | |
DT Auto Owner Trust: | |||
Series 2019-3A Class A, 2.55% 8/15/22 (c) | 1,544,133 | 1,549,779 | |
Series 2019-4A Class A, 2.17% 5/15/23 (c) | 2,518,112 | 2,529,440 | |
Elara HGV Timeshare Issuer LLC: | |||
Series 2014-A Class A, 2.53% 2/25/27 (c) | 47,022 | 46,414 | |
Series 2017-A Class A, 2.69% 3/25/30 (c) | 183,136 | 175,650 | |
Ellington Financial Mortgage Trust Series 2019-2 Class A1, 2.739% 11/25/59 (c) | 603,637 | 594,699 | |
Enterprise Fleet Financing LLC: | |||
Series 2017-3 Class A2, 2.13% 5/22/23 (c) | 247,333 | 247,804 | |
Series 2018-1 Class A2, 2.87% 10/20/23 (c) | 209,481 | 210,825 | |
Series 2018-2 Class A2, 3.14% 2/20/24 (c) | 458,228 | 462,676 | |
Series 2019-1 Class A2, 2.98% 10/20/24 (c) | 2,684,233 | 2,721,012 | |
Series 2019-3 Class A2, 2.06% 5/20/25 (c) | 855,000 | 850,095 | |
Series 2020-1 Class A2, 1.78% 12/22/25 (c) | 7,440,000 | 7,354,966 | |
Fifth Third Auto Trust Series 2019-1 Class A2A, 2.66% 5/16/22 | 2,346,613 | 2,359,599 | |
Ford Credit Auto Lease Trust: | |||
Series 2019-B Class A2A, 2.28% 2/15/22 | 2,853,118 | 2,869,359 | |
Series 2020-A Class A2, 1.8% 7/15/22 | 7,000,000 | 7,050,572 | |
Ford Credit Floorplan Master Owner Trust Series 2017-2: | |||
Class A2, 1 month U.S. LIBOR + 0.350% 0.5336% 9/15/22 (a)(b) | 10,000,000 | 9,971,919 | |
Class B, 2.34% 9/15/22 | 1,345,000 | 1,329,090 | |
GM Financial Automobile Leasing Trust: | |||
Series 2017-3 Class C, 2.73% 9/20/21 | 32,105 | 32,137 | |
Series 2018-2 Class C, 3.5% 4/20/22 | 470,000 | 473,576 | |
Series 2019-1: | |||
Class A2A, 2.91% 4/20/21 | 1,587,624 | 1,591,533 | |
Class C, 3.56% 12/20/22 | 835,000 | 849,549 | |
Series 2020-1 Class A2A, 1.67% 4/20/22 | 11,633,000 | 11,682,828 | |
3.11% 12/20/21 | 435,000 | 437,357 | |
GM Financial Consumer Automobile Receivables Trust: | |||
Series 2020-1 Class A2, 1.83% 1/17/23 | 4,419,000 | 4,454,562 | |
Series 2020-2 Class A3, 1.49% 12/16/24 | 335,000 | 341,752 | |
GM Financial Securitized Auto Receivables Trust Series 2017-3A Class C, 2.52% 3/16/23 (c) | 245,000 | 246,873 | |
GM Financial Securitized Term Auto Receivables Trust: | |||
Series 2018-4 Class A2, 2.93% 11/16/21 | 90,507 | 90,611 | |
Series 2019-1 Class A2, 2.99% 3/16/22 | 469,044 | 469,940 | |
GMF Floorplan Owner Revolving Trust: | |||
Series 2017-2 Class A2, 1 month U.S. LIBOR + 0.430% 0.6136% 7/15/22 (a)(b)(c) | 10,000,000 | 9,994,465 | |
Series 2019-1 Class A, 2.7% 4/15/24 (c) | 710,000 | 718,988 | |
Golub Capital Partners CLO 39B LLC Series 2018-39A Class A1, 3 month U.S. LIBOR + 1.150% 2.2853% 10/20/28 (a)(b)(c) | 930,000 | 914,038 | |
GreatAmerica Leasing Receivables Funding LLC 2.6% 6/15/21 (c) | 175,333 | 176,098 | |
Halcyon Loan Advisors Funding LLC Series 2017-3A Class B1R, 3 month U.S. LIBOR + 1.700% 2.7976% 10/22/25 (a)(b)(c) | 745,000 | 731,293 | |
Hardee's Funding LLC / Carl's Jr. Funding LLC Series 2018-1A Class AI, 4.25% 6/20/48 (c) | 928,994 | 910,888 | |
Hilton Grand Vacations Trust: | |||
Series 2014-AA Class A, 1.77% 11/25/26 (c) | 74,576 | 74,019 | |
Series 2017-AA: | |||
Class A, 2.66% 12/26/28 (c) | 94,394 | 91,130 | |
Class B, 2.96% 12/26/28 (a)(c) | 64,780 | 59,489 | |
Honda Auto Receivables Owner Trust Series 2019-2 Class A2, 2.57% 12/21/21 | 3,285,898 | 3,315,241 | |
Honda Automobile Receivables Series 2020-1 Class A2, 1.63% 10/21/22 | 11,000,000 | 11,104,663 | |
HPEFS Equipment Trust Series 2020-1A Class A2, 1.73% 2/20/30 (c) | 4,012,000 | 4,008,258 | |
Hyundai Auto Lease Securitization Trust: | |||
Series 2019-A Class A2, 2.92% 7/15/21 (c) | 3,482,674 | 3,500,742 | |
Series 2020-A: | |||
Class A2, 1.9% 5/16/22 (c) | 5,500,000 | 5,552,126 | |
Class A3, 1.95% 7/17/23 (c) | 2,698,000 | 2,722,813 | |
Hyundai Auto Receivables Trust: | |||
Series 2017-A Class B, 2.38% 4/17/23 | 340,000 | 342,980 | |
Series 2019-A: | |||
Class A2, 2.67% 12/15/21 | 2,522,501 | 2,535,152 | |
Class B, 2.94% 5/15/25 | 635,000 | 657,164 | |
Series 2019-B: | |||
Class A2, 1.93% 7/15/22 | 4,998,313 | 5,032,714 | |
Class A3, 1.94% 2/15/24 | 3,090,000 | 3,155,307 | |
Series 2020-A Class A3, 1.41% 11/15/24 | 735,000 | 749,384 | |
John Deere Owner Trust: | |||
Series 2019-A Class A2, 2.85% 12/15/21 | 1,886,119 | 1,894,278 | |
Series 2019-B Class A2, 2.28% 5/16/22 | 2,942,885 | 2,956,746 | |
Series 2020-A Class A2, 1.01% 1/17/23 | 2,740,000 | 2,747,066 | |
KKR Finanical CLO Ltd. Series 13 Class A1R, 3 month U.S. LIBOR + 0.800% 1.9761% 1/16/28 (a)(b)(c) | 1,588,620 | 1,558,311 | |
Kubota Credit Owner Trust: | |||
Series 2019-1A Class A3, 2.46% 10/16/23 (c) | 2,870,000 | 2,916,797 | |
Series 2020-1A Class A3, 1.96% 3/15/24 (c) | 380,000 | 384,250 | |
Lanark Master Issuer PLC Series 2020-1A Class 1A, 2.277% 12/22/69 (a)(c) | 1,768,000 | 1,779,041 | |
Madison Park Funding Ltd. Series 2015-18A Class A1R, 3 month U.S. LIBOR + 1.190% 2.299% 10/21/30 (a)(b)(c) | 1,165,000 | 1,140,653 | |
Magnetite CLO Ltd. Series 2015-16A Class AR, 3 month U.S. LIBOR + 0.800% 1.9353% 1/18/28 (a)(b)(c) | 2,032,004 | 1,998,841 | |
Mercedes-Benz Auto Lease Trust: | |||
Series 2019-A: | |||
Class A2, 3.01% 2/16/21 | 758,922 | 759,534 | |
Class A3, 3.1% 11/15/21 | 2,592,000 | 2,619,065 | |
Series 2019-B Class A3, 2% 10/17/22 | 2,416,000 | 2,435,583 | |
Series 2020-A Class A2, 1.82% 3/15/22 | 7,000,000 | 7,035,022 | |
Mercedes-Benz Auto Receivables Trust Series 2019-1 Class A2A, 2.04% 6/15/22 | 8,913,621 | 8,972,622 | |
MMAF Equipment Finance LLC: | |||
Series 2017-AA Class A3, 2.04% 2/16/22 (c) | 89,771 | 89,877 | |
Series 2019-B Class A2, 2.07% 10/12/22 (c) | 2,712,000 | 2,728,905 | |
MVW Owner Trust: | |||
Series 2013-1A Class A, 2.15% 4/22/30 (c) | 23,048 | 23,015 | |
Series 2014-1A Class A, 2.25% 9/22/31 (c) | 91,187 | 89,663 | |
Series 2015-1A Class A, 2.52% 12/20/32 (c) | 219,121 | 214,327 | |
Series 2017-1A: | |||
Class A, 2.42% 12/20/34 (c) | 645,261 | 638,318 | |
Class B, 2.75% 12/20/34 (c) | 37,956 | 36,611 | |
Class C, 2.99% 12/20/34 (c) | 91,096 | 85,932 | |
Navient Private Education Loan Trust: | |||
Series 2020-A Class A2A, 2.46% 11/15/68 (c) | 840,000 | 835,482 | |
Series 2020-CA Class A2A, 2.15% 11/15/68 (c) | 2,610,000 | 2,614,196 | |
Navient Private Education Refi Loan Trust: | |||
Series 2018-A Class A1, 2.53% 2/18/42 (c) | 18,437 | 18,444 | |
Series 2019-A Class A2A, 3.42% 1/15/43 (c) | 3,110,000 | 3,194,470 | |
Series 2019-GA Class A, 2.4% 10/15/68 (c) | 2,035,824 | 2,063,286 | |
Navient Student Loan Trust: | |||
Series 2017-3A Class A2, 1 month U.S. LIBOR + 0.600% 0.7683% 7/26/66 (a)(b)(c) | 6,247,933 | 6,194,180 | |
Series 2017-A Class A2A, 2.88% 12/16/58 (c) | 1,734,364 | 1,773,988 | |
Series 2018-4A Class A1, 1 month U.S. LIBOR + 0.250% 0.4183% 6/27/67 (a)(b)(c) | 1,328,680 | 1,326,654 | |
Series 2019-2A Class A1, 1 month U.S. LIBOR + 0.270% 0.4383% 2/27/68 (a)(b)(c) | 396,806 | 394,666 | |
Series 2019-CA Class A1, 2.82% 2/15/68 (c) | 598,285 | 601,296 | |
Series 2019-EA: | |||
Class A1, 2.39% 5/15/68 (c) | 1,004,264 | 1,007,169 | |
Class A2A, 2.64% 5/15/68 (c) | 1,560,000 | 1,571,028 | |
Navistar Financial Dealer Note Master Trust Series 2018-1 Class A, 1 month U.S. LIBOR + 0.630% 0.7983% 9/25/23 (a)(b)(c) | 4,181,000 | 4,112,318 | |
Nelnet Student Loan Trust: | |||
Series 2005-4 Class A4, 3 month U.S. LIBOR + 0.180% 1.3751% 3/22/32 (a)(b) | 741,158 | 684,699 | |
Series 2020-1A Class A, 1 month U.S. LIBOR + 0.740% 0.9083% 3/26/68 (a)(b)(c) | 392,707 | 384,989 | |
Neuberger Berman CLO Ltd. Series 2017-16SA Class A, 3 month U.S. LIBOR + 0.850% 2.0689% 1/15/28 (a)(b)(c) | 897,469 | 884,442 | |
Neuberger Berman CLO XIX Ltd. Series 2015-19A Class A1R2, 3 month U.S. LIBOR + 0.800% 2.0189% 7/15/27 (a)(b)(c) | 1,560,938 | 1,520,093 | |
New Residential Mortgage Loan Trust Series 2019-NQM3: | |||
Class A1, 2.8018% 7/25/49 (c) | 1,054,014 | 1,059,563 | |
Class A3, 3.0864% 7/25/49 (c) | 418,020 | 419,998 | |
Nissan Auto Receivables Trust Series 2020-A Class A3, 1.38% 12/16/24 | 425,000 | 432,854 | |
Nissan Master Owner Trust Receivables: | |||
Series 2017-C Class A, 1 month U.S. LIBOR + 0.320% 0.5036% 10/17/22 (a)(b) | 5,000,000 | 4,979,950 | |
Series 2019-A Class A, 1 month U.S. LIBOR + 0.560% 0.7436% 2/15/24 (a)(b) | 1,350,000 | 1,330,532 | |
Series 2019-B Class A, 1 month U.S. LIBOR + 0.430% 0.6136% 11/15/23 (a)(b) | 1,835,000 | 1,810,210 | |
OCP CLO Ltd.: | |||
Series 2014-7A Class A1RR, 3 month U.S. LIBOR + 1.120% 2.2553% 7/20/29 (a)(b)(c) | 2,530,000 | 2,487,445 | |
Series 2015-10A Class A1R, 3 month U.S. LIBOR + 0.820% 1.8114% 10/26/27 (a)(b)(c) | 1,049,416 | 1,034,598 | |
OZLM Ltd. Series 2014-8A Class RR, 3 month U.S. LIBOR + 1.170% 2.3049% 10/17/29 (a)(b)(c) | 1,010,021 | 989,173 | |
Santander Drive Auto Receivables Trust: | |||
Series 2016-1 Class D, 4.02% 4/15/22 | 398,034 | 399,281 | |
Series 2017-1 Class C, 2.58% 5/16/22 | 11,207 | 11,215 | |
Series 2018-1 Class C, 2.96% 3/15/24 | 229,501 | 231,001 | |
Series 2018-2 Class C, 3.35% 7/17/23 | 400,000 | 402,909 | |
Series 2018-4 Class B, 3.27% 1/17/23 | 336,371 | 337,492 | |
Series 2019-1: | |||
Class B, 3.21% 9/15/23 | 375,000 | 378,659 | |
Class C, 3.42% 4/15/25 | 2,620,000 | 2,644,282 | |
Series 2019-2 Class B, 2.79% 1/16/24 | 535,000 | 541,204 | |
Santander Retail Auto Lease Trust: | |||
Series 2017-A Class C, 2.96% 11/21/22 (c) | 325,000 | 325,744 | |
Series 2019-A: | |||
Class A2, 2.72% 1/20/22 (c) | 2,150,100 | 2,165,732 | |
Class B, 3.01% 5/22/23 (c) | 700,000 | 705,100 | |
Series 2019-B: | |||
Class A2A, 2.29% 4/20/22 (c) | 4,198,075 | 4,228,393 | |
Class C, 2.77% 8/21/23 (c) | 690,000 | 670,511 | |
Series 2019-C: | |||
Class A2A, 1.89% 9/20/22 (c) | 4,794,609 | 4,822,335 | |
Class A3, 1.86% 2/21/23 (c) | 2,610,000 | 2,631,567 | |
Class B, 2.17% 11/20/23 (c) | 495,000 | 486,787 | |
Class C, 2.39% 11/20/23 (c) | 830,000 | 812,515 | |
Class D, 2.88% 6/20/24 (c) | 870,000 | 842,258 | |
Series 2020-A: | |||
Class A2, 1.69% 1/20/23 (c) | 10,352,000 | 10,337,872 | |
Class D, 2.52% 11/20/24 (c) | 720,000 | 711,412 | |
SBA Tower Trust: | |||
Series 2019, 2.836% 1/15/50 (c) | 990,000 | 1,018,281 | |
2.877% 7/15/46 (c) | 370,000 | 371,666 | |
3.168% 4/9/47 (c) | 1,255,000 | 1,266,986 | |
Securitized Term Auto Receivables Trust Series 2019-1A Class A2, 2.862% 5/25/21 (c) | 590,420 | 591,816 | |
SG Residential Mortgage Trust Series 2019-3 Class A2, 2.877% 9/25/59 (c) | 918,904 | 899,525 | |
Sierra Receivables Funding Co. LLC: | |||
Series 2016-2A Class A, 2.33% 7/20/33 (c) | 71,508 | 70,099 | |
Series 2019-1A Class A, 3.2% 1/20/36 (c) | 307,485 | 302,107 | |
Series 2019-2A Class A, 2.59% 5/20/36 (c) | 1,962,426 | 1,899,166 | |
Sierra Timeshare Receivables Funding Co. LLC: | |||
Series 2015-3A Class A, 2.58% 9/20/32 (c) | 103,676 | 102,833 | |
Series 2017-1A Class A, 2.91% 3/20/34 (c) | 69,048 | 67,315 | |
Sierra Timeshare Receivables Funding LLC Series 2019-3A Class A, 2.34% 8/20/36 (c) | 478,604 | 461,996 | |
SLM Student Loan Trust: | |||
Series 2003-10A Class A3, 3 month U.S. LIBOR + 0.470% 1.2105% 12/15/27 (a)(b)(c) | 2,818,068 | 2,795,212 | |
Series 2003-11 Class A6, 3 month U.S. LIBOR + 0.550% 1.2905% 12/15/25 (a)(b)(c) | 1,516,678 | 1,502,721 | |
Series 2007-7 Class A4, 3 month U.S. LIBOR + 0.330% 1.3214% 1/25/22 (a)(b) | 597,895 | 561,649 | |
Series 2008-1 Class A4, 3 month U.S. LIBOR + 0.650% 1.6414% 1/25/22 (a)(b) | 1,385,514 | 1,271,681 | |
Series 2008-5 Class A4, 3 month U.S. LIBOR + 1.700% 2.6914% 7/25/23 (a)(b) | 177,836 | 173,180 | |
Series 2008-9 Class A, 3 month U.S. LIBOR + 1.500% 2.4914% 4/25/23 (a)(b) | 129,130 | 126,200 | |
Series 2010-1 Class A, 1 month U.S. LIBOR + 0.400% 0.5683% 3/25/25 (a)(b) | 850,732 | 781,551 | |
SMB Private Education Loan Trust: | |||
Series 2014-A Class A3, 1 month U.S. LIBOR + 1.500% 1.6836% 4/15/32 (a)(b)(c) | 1,400,000 | 1,407,794 | |
Series 2015-A Class A2B, 1 month U.S. LIBOR + 1.000% 1.1836% 6/15/27 (a)(b)(c) | 209,086 | 207,510 | |
Series 2016-C Class A2B, 1 month U.S. LIBOR + 1.100% 1.2836% 9/15/34 (a)(b)(c) | 993,391 | 978,396 | |
Series 2018-B Class A2B, 1 month U.S. LIBOR + 0.720% 0.9036% 1/15/37 (a)(b)(c) | 1,769,100 | 1,715,808 | |
SoFi Consumer Loan Program Trust Series 2019-4 Class A, 2.45% 8/25/28 (c) | 2,648,176 | 2,644,151 | |
Synchrony Card Issuance Trust: | |||
Series 2018-A1 Class A, 3.38% 9/15/24 | 1,730,000 | 1,773,405 | |
Series 2019-A2 Class A, 2.34% 6/15/25 | 1,890,000 | 1,909,369 | |
Synchrony Credit Card Master Note Trust: | |||
Series 2015-4 Class B, 2.62% 9/15/23 | 435,000 | 434,965 | |
Series 2018-1 Class C, 3.36% 3/15/24 | 955,000 | 958,310 | |
Tesla Auto Lease Trust Series 2019-A Class A2, 2.13% 4/20/22 (c) | 7,000,000 | 7,046,857 | |
Towd Point Mortgage Trust: | |||
Series 2017-1 Class A1, 2.75% 10/25/56 (a)(c) | 570,190 | 578,402 | |
Series 2017-4 Class A1, 2.75% 6/25/57 (c) | 284,308 | 290,114 | |
Series 2017-6 Class A1, 2.75% 10/25/57 (c) | 1,564,830 | 1,605,130 | |
Series 2018-1 Class A1, 3% 1/25/58 (c) | 315,801 | 324,699 | |
Series 2018-2 Class A1, 3.25% 3/25/58 (c) | 1,557,368 | 1,607,457 | |
Series 2018-5 Class A1A, 3.25% 7/25/58 (a)(c) | 1,462,459 | 1,508,928 | |
Series 2019-1 Class A1, 3.75% 3/25/58 (c) | 1,019,315 | 1,081,110 | |
Toyota Auto Receivables Series 2018-D Class A3, 3.18% 3/15/23 | 7,000,000 | 7,188,148 | |
Toyota Auto Receivables Owner Trust Series 2018-C Class A2B, 1 month U.S. LIBOR + 0.120% 0.3036% 8/16/21 (a)(b) | 1,186,861 | 1,187,103 | |
Verizon Owner Trust: | |||
Series 2017-1A Class C, 2.65% 9/20/21 (c) | 315,000 | 315,071 | |
Series 2017-3A: | |||
Class A1A, 2.06% 4/20/22 (c) | 1,517,025 | 1,522,638 | |
Class C, 2.53% 4/20/22 (c) | 700,000 | 702,955 | |
Series 2018-1A: | |||
Class A1B, 1 month U.S. LIBOR + 0.260% 0.4308% 9/20/22 (a)(b)(c) | 4,937,636 | 4,938,965 | |
Class C, 3.2% 9/20/22 (c) | 970,000 | 984,813 | |
Series 2018-A: | |||
Class A1A, 3.23% 4/20/23 | 5,132,000 | 5,253,915 | |
Class A1B, 1 month U.S. LIBOR + 0.240% 0.4108% 4/20/23 (a)(b) | 4,000,000 | 3,998,894 | |
Series 2019-B Class A1A, 2.33% 12/20/23 | 955,000 | 980,220 | |
Series 2020-A Class A1A, 1.85% 7/22/24 | 4,951,000 | 5,080,935 | |
Volkswagen Auto Lease Trust Series 2019-A Class A2A, 2% 3/21/22 | 8,140,000 | 8,178,375 | |
Volkswagen Auto Loan Enhanced Trust: | |||
Series 2018-1 Class A2B, 1 month U.S. LIBOR + 0.180% 0.3508% 7/20/21 (a)(b) | 320,430 | 320,394 | |
Series 2020-1 Class A4, 1.26% 8/20/26 | 545,000 | 548,440 | |
Volvo Financial Equipment LLC: | |||
Series 2019-1A Class A2, 2.9% 11/15/21 (c) | 1,834,220 | 1,842,876 | |
Series 2019-2A Class A3, 2.04% 11/15/23 (c) | 2,435,000 | 2,447,700 | |
Volvo Financial Equipment Master Owner Trust: | |||
Series 2017-A Class A, 1 month U.S. LIBOR + 0.500% 0.6836% 11/15/22 (a)(b)(c) | 7,547,000 | 7,524,607 | |
Series 2018-A Class A, 1 month U.S. LIBOR + 0.520% 0.7036% 7/17/23 (a)(b)(c) | 5,080,000 | 5,031,822 | |
World Omni Auto Receivables Trust: | |||
Series 2018-D Class A2B, 1 month U.S. LIBOR + 0.140% 0.3236% 4/15/22 (a)(b) | 1,099,098 | 1,098,806 | |
Series 2019-B Class A2, 2.63% 6/15/22 | 3,994,167 | 4,019,144 | |
Series 2019-C Class C, 2.4% 6/15/26 | 895,000 | 904,701 | |
Series 2020-A: | |||
Class A2A, 1.02% 6/15/23 | 4,162,000 | 4,175,232 | |
Class C, 1.64% 8/17/26 | 480,000 | 469,103 | |
World Omni Automobile Lease Securitization Trust: | |||
Series 2018-A Class B, 3.06% 5/15/23 | 280,000 | 279,953 | |
Series 2018-B Class A2B, 1 month U.S. LIBOR + 0.180% 0.3636% 6/15/21 (a)(b) | 1,327,323 | 1,326,304 | |
Series 2019-A Class A3, 2.94% 5/16/22 | 2,284,000 | 2,320,354 | |
Series 2020-A Class A2, 1.71% 11/15/22 | 10,565,000 | 10,613,298 | |
World Omni Select Auto Trust Series 2019-A Class A2A, 2.06% 8/15/23 | 4,342,714 | 4,366,152 | |
TOTAL ASSET-BACKED SECURITIES | |||
(Cost $525,562,765) | 525,766,919 | ||
Collateralized Mortgage Obligations - 1.0% | |||
Private Sponsor - 0.8% | |||
Angel Oak Mortgage Trust: | |||
sequential payer Series 2019-2 Class A1, 3.628% 3/25/49 (c) | 662,633 | 669,403 | |
Series 2019-2 Class M1, 4.065% 3/25/49 (c) | 545,000 | 530,529 | |
COLT Funding LLC sequential payer: | |||
Series 2018-2: | |||
Class A1, 3.47% 7/27/48 (c) | 482,425 | 483,707 | |
Class A2, 3.542% 7/27/48 (c) | 233,884 | 232,661 | |
Series 2018-3 Class A2, 3.763% 10/26/48 (c) | 180,678 | 180,214 | |
Series 2018-4 Class A1, 4.006% 12/28/48 (c) | 478,185 | 482,731 | |
Series 2019-2 Class A1, 3.337% 5/25/49 (c) | 376,863 | 377,912 | |
Series 2019-3 Class A1, 2.764% 8/25/49 (c) | 1,505,399 | 1,501,702 | |
COMM Mortgage Trust Series 2016-CR28 Class A1, 1.77% 2/10/49 | 28,881 | 28,878 | |
Connecticut Avenue Securities Trust floater Series 2019-R06 Class 2M1, 1 month U.S. LIBOR + 0.750% 0.9183% 9/25/39 (a)(b)(c) | 324,965 | 322,782 | |
Deephaven Residential Mortgage Trust: | |||
Series 2017-1A Class A3, 3.485% 12/26/46 (a)(c) | 50,120 | 49,864 | |
Series 2017-3A: | |||
Class A1, 2.577% 10/25/47 (a)(c) | 217,337 | 218,547 | |
Class A2, 2.711% 10/25/47 (a)(c) | 18,111 | 17,877 | |
Class A3, 2.813% 10/25/47 (a)(c) | 17,249 | 16,868 | |
Series 2018-1A Class A1, 2.976% 12/25/57 (a)(c) | 230,806 | 232,293 | |
Series 2018-2A Class A1, 3.479% 4/25/58 (c) | 467,506 | 469,905 | |
Series 2018-3A Class A3, 3.963% 8/25/58 (c) | 47,809 | 47,107 | |
Series 2019-1A Class A1, 3.743% 1/25/59 (c) | 649,702 | 653,712 | |
Series 2019-2A: | |||
Class A3, 3.763% 4/25/59 (c) | 432,891 | 424,900 | |
Class M1, 3.921% 4/25/59 (c) | 380,000 | 361,058 | |
Flagstar Mortgage Trust floater sequential payer Series 2020-1INV Class A11, 1 month U.S. LIBOR + 0.850% 1.0183% 3/25/50 (a)(b)(c) | 745,139 | 727,216 | |
Freddie Mac STACR REMIC Trust floater: | |||
Series 2019-HQA4 Class M1, 1 month U.S. LIBOR + 0.770% 0.9383% 11/25/49 (a)(b)(c) | 166,387 | 163,434 | |
Series 2020-DNA2 Class M1, 1 month U.S. LIBOR + 0.750% 0.9183% 2/25/50 (a)(b)(c) | 585,472 | 566,924 | |
Series 2020-HQA1 Class M1, 1 month U.S. LIBOR + 0.750% 0.9183% 1/25/50 (a)(b)(c) | 435,619 | 426,864 | |
Series 2020-HQA2 Class M1, 1 month U.S. LIBOR + 1.100% 1.2683% 3/25/50 (a)(b)(c) | 725,000 | 706,385 | |
Freddie Mac STACR Trust floater: | |||
Series 2018-DNA2: | |||
Class M1, 1 month U.S. LIBOR + 0.800% 0.9683% 12/25/30 (a)(b)(c) | 450,377 | 443,468 | |
Class M2A/S, 1 month U.S. LIBOR + 0.950% 1.1183% 12/25/30 (a)(b)(c) | 450,000 | 435,924 | |
Series 2018-HRP2 Class M2, 1 month U.S. LIBOR + 1.250% 1.4183% 2/25/47 (a)(b)(c) | 594,846 | 578,363 | |
Series 2019-HRP1 Class M2, 1 month U.S. LIBOR + 1.400% 1.5683% 2/25/49 (a)(b)(c) | 630,000 | 576,388 | |
FWD Securitization Trust sequential payer Series 2020-INV1 Class A1, 2.24% 1/25/50 (c) | 1,668,470 | 1,653,532 | |
Galton Funding Mortgage Trust: | |||
sequential payer: | |||
Series 2019-H1 Class M1, 3.339% 10/25/59 (c) | 600,000 | 519,268 | |
Series 2020-H1 Class M1, 2.832% 1/25/60 (c) | 625,000 | 507,219 | |
Series 2020-H1 Class A1, 2.31% 1/25/60 (c) | 687,058 | 677,959 | |
GMRF Mortgage Acquisition Co., LLC: | |||
Series 2018-1 Class A33, 3.5% 11/25/57 (c) | 439,212 | 442,053 | |
Series 2019-1 Class A32, 4% 2/25/59 (c) | 344,315 | 337,587 | |
Series 2019-2 Class A42, 3.5% 6/25/59 (c) | 815,869 | 798,420 | |
Gosforth Funding PLC floater Series 2018-1A Class A1, 3 month U.S. LIBOR + 0.450% 0.8095% 8/25/60 (a)(b)(c) | 1,330,637 | 1,324,184 | |
GS Mortgage-Backed Securites Trust Series 2014-EB1A Class 2A1, 2.4545% 7/25/44 (a)(c) | 44,465 | 43,677 | |
Holmes Master Issuer PLC floater Series 2018-2A Class A2, 3 month U.S. LIBOR + 0.420% 1.6389% 10/15/54 (a)(b)(c) | 1,551,381 | 1,549,522 | |
Homeward Opportunities Fund I Trust sequential payer: | |||
Series 2019-1: | |||
Class A1, 3.454% 1/25/59 (c) | 897,303 | 898,387 | |
Class A3, 3.606% 1/25/59 (c) | 564,630 | 548,733 | |
Series 2019-3 Class A1, 2.675% 11/25/59 (c) | 1,000,957 | 982,991 | |
Homeward Opportunities Fund Trust sequential payer Series 2018-1: | |||
Class A1, 3.766% 6/25/48 (c) | 494,772 | 498,793 | |
Class A2, 3.897% 6/25/48 (c) | 396,310 | 396,186 | |
J.P. Morgan Mortgage Trust: | |||
sequential payer Series 2020-LTV1 Class A4, 3.5% 6/25/50 (c) | 1,700,881 | 1,727,457 | |
Series 2020-INV1 Class A15, 3.5% 8/25/50 (c) | 742,905 | 741,659 | |
Lanark Master Issuer PLC floater Series 2019-1A Class 1A1, 3 month U.S. LIBOR + 0.770% 2.4528% 12/22/69 (a)(b)(c) | 1,134,680 | 1,132,596 | |
Metlife Securitization Trust Series 2017-1A Class A, 3% 4/25/55 (c) | 411,546 | 423,742 | |
Mill City Mortgage Loan Trust: | |||
Series 2016-1 Class A1, 2.5% 4/25/57 (c) | 89,748 | 90,466 | |
Series 2017-2 Class A1, 2.75% 7/25/59 (c) | 486,029 | 493,177 | |
New Residential Mortgage Loan Trust: | |||
sequential payer: | |||
Series 2019-NQM5 Class A1, 2.7099% 11/25/59 (c) | 1,212,364 | 1,191,056 | |
Series 2020-NQM1 Class A1, 2.4641% 1/26/60 (c) | 723,512 | 705,456 | |
Series 2018-NQM1 Class A1, 3.986% 11/25/48 (c) | 926,028 | 938,811 | |
OBX Trust: | |||
floater: | |||
Series 2019-EXP3 Class 2A1, 1 month U.S. LIBOR + 0.900% 1.0683% 10/25/59 (a)(b)(c) | 1,300,782 | 1,238,820 | |
Series 2020-EXP1 Class 2A2, 1 month U.S. LIBOR + 0.950% 1.1183% 2/25/60 (a)(b)(c) | 978,186 | 945,900 | |
Series 2020-EXP1 Class 1A8, 3.5% 2/25/60 (a)(c) | 1,050,039 | 1,063,584 | |
Series 2020-INV1 Class A5, 3.5% 12/25/49 (c) | 472,236 | 481,038 | |
Onslow Bay Financial LLC: | |||
floater Series 2019-EXP2 Class 2A2, 1 month U.S. LIBOR + 1.200% 1.3683% 6/25/59 (a)(b)(c) | 1,017,947 | 1,004,264 | |
floater sequential payer Series 2019-EXP2 Class 2A1A, 1 month U.S. LIBOR + 0.900% 1.0683% 6/25/59 (a)(b)(c) | 560,469 | 551,105 | |
Permanent Master Issuer PLC floater: | |||
Series 2018-1A Class 1A1, 3 month U.S. LIBOR + 0.380% 1.5989% 7/15/58 (a)(b)(c) | 3,949,000 | 3,945,537 | |
Series-1A Class 1A1, 3 month U.S. LIBOR + 0.550% 1.7689% 7/15/58 (a)(b)(c) | 896,000 | 891,870 | |
Sequoia Mortgage Trust: | |||
sequential payer: | |||
Series 2018-CH1 Class A11, 3.5% 2/25/48 (c) | 579,622 | 580,725 | |
Series 2018-CH2 Class A3, 4% 6/25/48 (c) | 976,904 | 994,465 | |
Series 2018-CH2 Class A21, 4% 6/25/48 (c) | 435,930 | 443,766 | |
Series 2018-CH3 Class A19, 4.5% 8/25/48 (c) | 214,285 | 219,662 | |
Series 2018-CH4 Class A2, 4% 10/25/48 (c) | 333,655 | 339,286 | |
Silverstone Master Issuer PLC floater Series 2019-1A Class 1A, 3 month U.S. LIBOR + 0.570% 1.679% 1/21/70 (a)(b)(c) | 4,037,075 | 4,026,252 | |
Starvest Emerging Markets Cbo sequential payer Series 2019-IMC1 Class A1, 3.468% 2/25/49 (c) | 460,036 | 463,003 | |
Starwood Mortgage Residential Trust: | |||
sequential payer Series 2019-INV1: | |||
Class A1, 2.61% 9/27/49 (c) | 161,135 | 161,213 | |
Class A3, 2.916% 9/27/49 (c) | 388,376 | 374,719 | |
Series 2019-1: | |||
Class A1, 2.941% 6/25/49 (c) | 810,109 | 818,071 | |
Class A3, 3.299% 6/25/49 (c) | 555,402 | 536,059 | |
Series 2020-1 Class A2, 2.408% 2/25/50 (c) | 467,069 | 451,256 | |
Towd Point Mortgage Trust: | |||
Series 2015-4 Class A1B, 2.75% 4/25/55 (c) | 203,955 | 205,287 | |
Series 2015-5 Class A1B, 2.75% 5/25/55 (c) | 213,721 | 215,526 | |
Series 2016-1: | |||
Class A1B, 2.75% 2/25/55 (c) | 134,157 | 135,634 | |
Class A3B, 3% 2/25/55 (c) | 205,798 | 209,254 | |
Series 2016-2 Class A1A, 2.75% 8/25/55 (c) | 187,479 | 190,665 | |
Series 2016-3 Class A1, 2.25% 4/25/56 (c) | 43,111 | 43,304 | |
Series 2017-2 Class A1, 2.75% 4/25/57 (a)(c) | 356,502 | 361,286 | |
Series 2017-3 Class A1, 2.75% 7/25/57 (a)(c) | 798,021 | 810,893 | |
Verus Securitization Trust: | |||
sequential payer: | |||
Series 2018-3 Class A1, 4.108% 10/25/58 (c) | 810,843 | 820,726 | |
Series 2019-1 Class A1, 3.836% 2/25/59 (c) | 848,487 | 857,043 | |
Series 2019-2 Class A1, 3.211% 5/25/59 (c) | 664,304 | 671,063 | |
Series 2019-INV3 Class A3, 3.1% 11/25/59 (c) | 706,301 | 686,670 | |
Series 2020-1 Class A3, 2.724% 1/25/60 (c) | 669,609 | 658,662 | |
Series 2020-2 Class A1, 2.226% 5/25/60 (c) | 2,510,000 | 2,507,662 | |
Series 2018-2: | |||
Class A1, 3.677% 6/1/58 (c) | 621,076 | 626,259 | |
Class A2, 3.779% 6/1/58 (c) | 167,301 | 166,897 | |
Class A3, 3.83% 6/1/58 (c) | 105,423 | 104,333 | |
Series 2019-3 Class A3, 3.04% 7/25/59 (c) | 1,132,737 | 1,121,813 | |
Series 2019-4 Class A3, 3% 11/25/59 (c) | 1,641,382 | 1,623,269 | |
Series 2019-INV1: | |||
Class A1, 3.402% 12/25/59 (a)(c) | 545,961 | 552,714 | |
Class M1, 4.034% 12/25/59 (c) | 195,000 | 177,604 | |
Series 2019-INV2: | |||
Class A1, 2.913% 7/25/59 (c) | 1,475,508 | 1,491,886 | |
Class A2, 3.117% 7/25/59 (c) | 885,305 | 874,820 | |
Series 2020-1 Class A1, 2.417% 1/25/60 (c) | 1,657,401 | 1,657,011 | |
TOTAL PRIVATE SPONSOR | 66,851,423 | ||
U.S. Government Agency - 0.2% | |||
Fannie Mae: | |||
Series 2017-90 Class KA, 3% 11/25/47 | 883,205 | 943,166 | |
Series 2018-44 Class PC, 4% 6/25/44 | 1,087,111 | 1,110,823 | |
Fannie Mae Connecticut Avenue Securities floater: | |||
Series 2017-C02 Class 2ED3, 1 month U.S. LIBOR + 1.350% 1.5183% 9/25/29 (a)(b) | 1,383,042 | 1,337,272 | |
Series 2017-C03 Class 1M1, 1 month U.S. LIBOR + 0.950% 1.1183% 10/25/29 (a)(b) | 237,493 | 236,989 | |
Series 2017-C04 Class 2ED2, 1 month U.S. LIBOR + 1.100% 1.2683% 11/25/29 (a)(b) | 1,705,706 | 1,646,567 | |
Series 2017-C05 Class 1ED3, 1 month U.S. LIBOR + 1.200% 1.3683% 1/25/30 (a)(b) | 851,210 | 844,087 | |
Series 2018-C01 Class 1ED2, 1 month U.S. LIBOR + 0.850% 1.0183% 7/25/30 (a)(b) | 1,555,000 | 1,503,434 | |
Series 2018-C03 Class 1M1, 1 month U.S. LIBOR + 0.680% 0.8483% 10/25/30 (a)(b) | 6,723 | 6,705 | |
FHLMC Structured Agency Credit Risk Debt Notes floater: | |||
Series 2014-DN3 Class M3, 1 month U.S. LIBOR + 4.000% 4.1683% 8/25/24 (a)(b) | 503,268 | 508,165 | |
Series 2017-DNA1 Class M1, 1 month U.S. LIBOR + 1.200% 1.3683% 7/25/29 (a)(b) | 93,947 | 93,672 | |
Series 2017-DNA2 Class M1, 1 month U.S. LIBOR + 1.200% 1.3683% 10/25/29 (a)(b) | 477,907 | 476,023 | |
Series 2017-DNA3 Class M1, 1 month U.S. LIBOR + 0.750% 0.9183% 3/25/30 (a)(b) | 217,357 | 215,534 | |
Freddie Mac: | |||
planned amortization class Series 3713 Class PA, 2% 2/15/40 | 560,844 | 566,362 | |
Series 4448 Class JA, 4% 11/15/36 | 74,251 | 75,395 | |
Freddie Mac STACR Trust floater: | |||
Series 18-HQA2 Class M1, 1 month U.S. LIBOR + 0.750% 0.9183% 10/25/48 (a)(b)(c) | 190,346 | 189,470 | |
Series 2018-DNA3: | |||
Class M1, 1 month U.S. LIBOR + 0.750% 0.9183% 9/25/48 (a)(b)(c) | 96,761 | 95,965 | |
Class M2A/S, 1 month U.S. LIBOR + 0.900% 1.0683% 9/25/48 (a)(b)(c) | 600,000 | 576,797 | |
Freddie Mac Whole Loan Securities Trust: | |||
Series 2016-SC02 Class M1, 3.5905% 10/25/46 (a) | 950,377 | 930,997 | |
Series 2017-SC02 Class M1, 3.8007% 5/25/47 (a)(c) | 88,567 | 87,433 | |
Series 2017-SPI1 Class M1, 3.9776% 9/25/47 (a)(c) | 11,412 | 11,316 | |
Series 2018-SPI2 Class M1, 3.8096% 5/25/48 (a)(c) | 102,329 | 100,593 | |
Ginnie Mae guaranteed Multi-family REMIC pass-thru securities floater Series 2018-122 Class FE, 1 month U.S. LIBOR + 0.300% 0.4708% 9/20/48 (a)(b) | 168,161 | 167,646 | |
TOTAL U.S. GOVERNMENT AGENCY | 11,724,411 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | |||
(Cost $79,306,022) | 78,575,834 | ||
Commercial Mortgage Securities - 1.0% | |||
Atrium Hotel Portfolio Trust floater Series 2017-ATRM Class A 1 month U.S. LIBOR + 0.930% 1.1136% 12/15/36 (a)(b)(c) | 1,395,000 | 1,306,215 | |
Banc of America Merrill Lynch Large Loan, Inc. floater Series 2018-DSNY Class A, 1 month U.S. LIBOR + 0.850% 1.0336% 9/15/34 (a)(b)(c) | 970,000 | 901,982 | |
BANK Series 2019-BN19 Class A1, 2.263% 8/15/61 | 479,111 | 485,306 | |
BX Commercial Mortgage Trust: | |||
floater Series 2020-BXLP: | |||
Class C, 1 month U.S. LIBOR + 1.120% 1.3036% 12/15/36 (a)(b)(c) | 795,000 | 753,171 | |
Class D, 1 month U.S. LIBOR + 1.250% 1.4336% 12/15/36 (a)(b)(c) | 760,000 | 714,304 | |
floater sequential payer Series 2020-BXLP Class A, 1 month U.S. LIBOR + 0.800% 0.9836% 12/15/36 (a)(b)(c) | 2,333,000 | 2,257,012 | |
BX Trust: | |||
floater Series 2019-XL Class B, 1 month U.S. LIBOR + 1.080% 1.2636% 10/15/36 (a)(b)(c) | 429,930 | 415,388 | |
floater, sequential payer: | |||
Series 2019-IMC Class A, 1 month U.S. LIBOR + 1.000% 1.1836% 4/15/34 (a)(b)(c) | 2,135,000 | 1,963,636 | |
Series 2019-XL Class A, 1 month U.S. LIBOR + 0.920% 1.1036% 10/15/36 (a)(b)(c) | 5,245,149 | 5,140,005 | |
CGDB Commercial Mortgage Trust floater Series 2019-MOB: | |||
Class A, 1 month U.S. LIBOR + 0.950% 1.1336% 11/15/36 (a)(b)(c) | 1,033,000 | 981,201 | |
Class D, 1 month U.S. LIBOR + 1.650% 1.8336% 11/15/36 (a)(b)(c) | 1,545,000 | 1,421,051 | |
CGDBB Commercial Mortgage Trust floater Series 2017-BIOC Class A, 1 month U.S. LIBOR + 0.790% 0.9736% 7/15/32 (a)(b)(c) | 3,713,554 | 3,639,858 | |
CHC Commercial Mortgage Trust floater Series 2019-CHC Class A, 1 month U.S. LIBOR + 1.120% 1.3036% 6/15/34 (a)(b)(c) | 3,726,918 | 3,588,098 | |
Citigroup Commercial Mortgage Trust sequential payer Series 2012-GC8 Class A/S, 3.683% 9/10/45 (c) | 2,157,000 | 2,179,985 | |
COMM Mortgage Trust: | |||
Series 2014-CR15 Class B, 4.6949% 2/10/47 (a) | 920,000 | 961,435 | |
Series 2014-UBS2 Class B, 4.701% 3/10/47 | 520,000 | 529,711 | |
Series 2015-LC23 Class A2, 3.221% 10/10/48 | 1,400,000 | 1,405,599 | |
Series 2020-CMB Class D, 3.6327% 2/10/37 (a)(c) | 560,000 | 485,274 | |
Credit Suisse Mortgage Trust floater Series 2019-ICE4: | |||
Class A, 1 month U.S. LIBOR + 0.980% 1.1636% 5/15/36 (a)(b)(c) | 5,485,000 | 5,357,841 | |
Class C, 1 month U.S. LIBOR + 1.430% 1.6136% 5/15/36 (a)(b)(c) | 1,015,000 | 971,754 | |
Class D, 1 month U.S. LIBOR + 1.600% 1.7836% 5/15/36 (a)(b)(c) | 780,000 | 740,348 | |
CSAIL Commercial Mortgage Trust: | |||
sequential payer Series 2015-C3 Class A4, 3.7182% 8/15/48 | 670,000 | 721,962 | |
Series 2019-C16 Class A1, 2.3595% 6/15/52 | 584,439 | 594,805 | |
CSMC Trust Series 2017-CHOP Class A, 1 month U.S. LIBOR + 0.750% 0.9336% 7/15/32 (a)(b)(c) | 4,189,000 | 3,905,820 | |
Great Wolf Trust floater Series 2019-WOLF: | |||
Class A, 1 month U.S. LIBOR + 1.030% 1.2176% 12/15/36 (a)(b)(c) | 575,000 | 537,904 | |
Class C, 1 month U.S. LIBOR + 1.630% 1.8166% 12/15/36 (a)(b)(c) | 600,000 | 524,845 | |
GS Mortgage Securities Corp. Trust floater Series 2019-SOHO Class A, 1 month U.S. LIBOR + 0.900% 1.0836% 6/15/36 (a)(b)(c) | 1,165,000 | 1,117,942 | |
GS Mortgage Securities Trust: | |||
Series 2016-GS3 Class A1, 1.429% 10/10/49 | 39,244 | 39,226 | |
Series 2019-GC40 Class A1, 2.236% 7/10/52 | 1,596,229 | 1,620,558 | |
Intown Hotel Portfolio Trust Series 2018-STAY: | |||
Class A, 1 month U.S. LIBOR + 0.700% 0.8836% 1/15/33 (a)(b)(c) | 245,000 | 231,521 | |
Class C, 1 month U.S. LIBOR + 1.250% 1.4336% 1/15/33 (a)(b)(c) | 205,000 | 183,695 | |
JPMorgan Chase Commercial Mortgage Securities Trust: | |||
floater: | |||
Series 2018-GW Class A, 1 month U.S. LIBOR + 0.800% 0.9836% 5/15/35 (a)(b)(c) | 2,440,000 | 2,262,791 | |
Series 2019-BKWD: | |||
Class A, 1 month U.S. LIBOR + 1.000% 1.1836% 9/15/29 (a)(b)(c) | 1,911,000 | 1,839,387 | |
Class B, 1 month U.S. LIBOR + 1.350% 1.5336% 9/15/29 (a)(b)(c) | 1,830,000 | 1,705,503 | |
Class C, 1 month U.S. LIBOR + 1.600% 1.7836% 9/15/29 (a)(b)(c) | 575,000 | 515,367 | |
sequential payer Series 2014-C20 Class A3A1, 3.4718% 7/15/47 | 1,713,932 | 1,738,134 | |
Series 2013-C13 Class A4, 3.9936% 1/15/46 (a) | 2,583,966 | 2,741,666 | |
Morgan Stanley BAML Trust: | |||
Series 2014-C18 Class A/S, 4.11% 10/15/47 | 370,000 | 384,590 | |
Series 2016-C30 Class A1, 1.389% 9/15/49 | 114,658 | 114,532 | |
Morgan Stanley Capital I Trust: | |||
floater: | |||
Series 2018-BOP Class A, 1 month U.S. LIBOR + 0.850% 1.0336% 8/15/33 (a)(b)(c) | 5,790,000 | 5,541,859 | |
Series 2019-AGLN Class A, 1 month U.S. LIBOR + 0.950% 1.1336% 3/15/34 (a)(b)(c) | 3,558,000 | 3,406,177 | |
Series 2011-C3 Class AJ, 5.2444% 7/15/49 (a)(c) | 2,264,000 | 2,329,751 | |
Series 2015-MS1 Class A1, 1.638% 5/15/48 | 33,116 | 33,092 | |
Series 2019-H7 Class A1, 2.327% 7/15/52 | 1,581,749 | 1,592,215 | |
Series 2019-MEAD Class D, 3.1771% 11/10/36 (c) | 1,150,000 | 992,500 | |
New Orleans Hotel Trust floater Series 2019-HNLA Class B, 1 month U.S. LIBOR + 1.289% 1.4723% 4/15/32 (a)(b)(c) | 1,585,000 | 1,425,985 | |
RETL floater Series 2019-RVP Class A, 1 month U.S. LIBOR + 1.150% 1.3336% 3/15/36 (a)(b)(c) | 445,149 | 420,932 | |
Slide floater Series 2018-FUN Class D, 1 month U.S. LIBOR + 1.850% 2.0336% 6/15/31 (a)(b)(c) | 788,087 | 641,817 | |
UBS-Barclays Commercial Mortgage Trust floater Series 2013-C6 Class A3, 1 month U.S. LIBOR + 0.790% 0.988% 4/10/46 (a)(b)(c) | 3,109,986 | 3,171,388 | |
Wells Fargo Commercial Mortgage Trust Series 2015-NXS2 Class A2, 3.02% 7/15/58 | 332,927 | 336,612 | |
WF-RBS Commercial Mortgage Trust: | |||
floater Series 2013-C14 Class A3, 1 month U.S. LIBOR + 0.720% 0.9036% 6/15/46 (a)(b)(c) | 2,846,183 | 2,858,992 | |
Series 2012-C6 Class B, 4.697% 4/15/45 | 760,000 | 771,333 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES | |||
(Cost $83,537,197) | 80,502,075 | ||
Municipal Securities - 0.0% | |||
Connecticut Gen. Oblig. Series A: | |||
1.998% 7/1/24 (e) | $285,000 | $285,000 | |
2% 7/1/23 (e) | 115,000 | 115,687 | |
2.098% 7/1/25 (e) | 190,000 | 190,000 | |
TOTAL MUNICIPAL SECURITIES | |||
(Cost $590,687) | 590,687 | ||
Foreign Government and Government Agency Obligations - 0.0% | |||
Sweden Kingdom 1.3% 6/2/23 (Cost $1,148,655)(c) | $1,150,000 | $1,154,645 | |
Bank Notes - 0.7% | |||
Citibank NA 2.844% 5/20/22 (a) | 1,485,000 | 1,511,027 | |
Discover Bank: | |||
3.1% 6/4/20 | $965,000 | $965,074 | |
3.2% 8/9/21 | 1,050,000 | 1,060,667 | |
First Republic Bank 1.912% 2/12/24 (a) | 2,031,000 | 2,057,150 | |
KeyBank NA 2.3% 9/14/22 | 355,000 | 366,026 | |
PNC Bank NA: | |||
2.15% 4/29/21 | 3,042,000 | 3,084,807 | |
2.45% 11/5/20 | 870,000 | 875,336 | |
2.95% 1/30/23 | 695,000 | 729,719 | |
RBS Citizens NA: | |||
2.55% 5/13/21 | 1,320,000 | 1,341,619 | |
3.25% 2/14/22 | 1,015,000 | 1,046,275 | |
Regions Bank 3.374% 8/13/21 (a) | 1,700,000 | 1,704,677 | |
SunTrust Banks, Inc. 2.8% 5/17/22 | 10,965,000 | 11,407,812 | |
Svenska Handelsbanken AB 3.35% 5/24/21 | 1,105,000 | 1,136,824 | |
Synchrony Bank 3.65% 5/24/21 | 3,082,000 | 3,124,615 | |
Truist Bank 1.25% 3/9/23 | 9,650,000 | 9,721,526 | |
U.S. Bank NA, Cincinnati: | |||
1.8% 1/21/22 | 5,000,000 | 5,098,644 | |
3% 2/4/21 | 5,000,000 | 5,080,150 | |
Wells Fargo Bank NA 3.625% 10/22/21 | 5,000,000 | 5,189,691 | |
TOTAL BANK NOTES | |||
(Cost $54,948,031) | 55,501,639 | ||
Commercial Paper - 0.1% | |||
Ford Motor Credit Co. LLC: | |||
0% 7/27/20 | 810,000 | 805,172 | |
0% 8/4/20 | 705,000 | 700,206 | |
Syngenta Wilmington, Inc. 0% 6/25/20 | 1,880,000 | 1,877,800 | |
The Boeing Co.: | |||
0% 11/4/20 | 1,555,000 | 1,540,619 | |
0% 11/16/20 | 1,510,000 | 1,494,464 | |
UBS AG London Branch 1 month U.S. LIBOR + 0.340% 0.6028% 8/6/20 (a)(b) | 5,000,000 | 5,000,506 | |
TOTAL COMMERCIAL PAPER | |||
(Cost $11,418,866) | 11,418,767 | ||
Shares | Value | ||
Fixed-Income Funds - 0.7% | |||
Bank Loan Funds - 0.7% | |||
Fidelity Floating Rate High Income Fund (f) | |||
(Cost $62,452,380) | 6,647,858 | 58,035,797 | |
Short-Term Funds - 58.8% | |||
Short-Term Funds - 58.8% | |||
Baird Short-Term Bond Fund - Institutional Class | 27,303,990 | 270,036,461 | |
Baird Ultra Short Bond Fund Institutional Class | 33,408,936 | 336,427,989 | |
BlackRock Low Duration Bond Portfolio Investor A Shares | 36,543,553 | 349,721,804 | |
Fidelity Conservative Income Bond Fund Institutional Class (f) | 3,849,472 | 38,648,696 | |
Fidelity Short-Term Bond Fund (f) | 47,602,813 | 419,380,785 | |
iShares Lehman 1-3 Year Treasury Bond ETF | 4,720,015 | 409,036,500 | |
iShares Short Maturity Bond ETF | 5,126,077 | 254,868,548 | |
iShares Ultra Short-Term Bond ETF | 2,734,055 | 138,124,459 | |
JPMorgan Ultra-Short Income ETF | 5,093,335 | 257,671,818 | |
JPMorgan Ultra-Short Municipal Fund Class I | 4,998,100 | 50,180,919 | |
Metropolitan West Low Duration Bond Fund - Class M | 25,717,591 | 226,057,626 | |
PIMCO Enhanced Low Duration Active ETF | 502,985 | 50,680,769 | |
PIMCO Enhanced Short Maturity Active ETF (g) | 3,017,435 | 305,092,853 | |
PIMCO Short-Term Fund - Administrator Class | 154,344,371 | 1,498,683,833 | |
Prudential Short-Term Corporate Bond Fund, Inc. Class A | 11,562,131 | 128,686,517 | |
TOTAL SHORT-TERM FUNDS | |||
(Cost $4,706,683,766) | 4,733,299,577 | ||
Money Market Funds - 3.9% | |||
Fidelity Cash Central Fund 0.11% (h) | 216,148,072 | 216,191,302 | |
Fidelity Investments Money Market Government Portfolio Institutional Class 0.12% (f)(i) | 82,618,947 | 82,618,947 | |
Fidelity Securities Lending Cash Central Fund 0.10% (h)(j) | 8,880,501 | 8,881,389 | |
State Street Institutional U.S. Government Money Market Fund Premier Class .12% (i) | 2,114,987 | 2,114,987 | |
TOTAL MONEY MARKET FUNDS | |||
(Cost $309,801,651) | 309,806,625 | ||
TOTAL INVESTMENT IN SECURITIES - 100.4% | |||
(Cost $8,051,624,596) | 8,078,357,550 | ||
NET OTHER ASSETS (LIABILITIES) - (0.4)% | (29,317,374) | ||
NET ASSETS - 100% | $8,049,040,176 |
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) | 909 | Sept. 2020 | $200,746,969 | $34,071 | $34,071 |
Sold | |||||
Treasury Contracts | |||||
CBOT 10-Year U.S. Treasury Note Contracts (United States) | 175 | Sept. 2020 | 24,335,938 | (31,694) | (31,694) |
CBOT 5-Year U.S. Treasury Note Contracts (United States) | 136 | Sept. 2020 | 17,085,000 | (25,886) | (25,886) |
TOTAL FUTURES CONTRACTS | $(23,509) |
The notional amount of futures purchased as a percentage of Net Assets is 2.5%
The notional amount of futures sold as a percentage of Net Assets is 0.5%
Security Type Abbreviations
ETF – Exchange-Traded Fund
Legend
(a) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(b) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
(c) 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 $769,295,053 or 9.6% of net assets.
(d) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $552,300.
(e) Security or a portion of the security purchased on a delayed delivery or when-issued basis.
(f) Affiliated Fund
(g) Security or a portion of the security is on loan at period end.
(h) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.
(i) The rate quoted is the annualized seven-day yield of the fund at period end.
(j) Investment made with cash collateral received from securities on loan.
Affiliated Central Funds
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:
Fund | Income earned |
Fidelity Cash Central Fund | $962,051 |
Fidelity Securities Lending Cash Central Fund | 294,082 |
Total | $1,256,133 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations, if applicable. Amount for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.
Affiliated Underlying Funds
Fiscal year to date information regarding the Fund's investments in affiliated Underlying Funds, excluding any Money Market Central Funds, is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur.
Affiliate | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income | Realized Gain (loss) | Change in Unrealized appreciation (depreciation) | Value, end of period |
Fidelity Conservative Income Bond Fund Institutional Class | $63,454,234 | $224,393,263 | $249,327,584 | $2,248,298 | $493,416 | $(364,633) | $38,648,696 |
Fidelity Floating Rate High Income Fund | 112,629,093 | 3,951,659 | 53,033,308 | 3,951,678 | (888,716) | (4,622,931) | 58,035,797 |
Fidelity Investments Money Market Government Portfolio Institutional Class 0.12% | 3,013,983 | 772,781,453 | 693,176,489 | 146,479 | -- | -- | 82,618,947 |
Fidelity Short-Term Bond Fund | 624,495,388 | 11,041,879 | 225,776,164 | 11,041,896 | 3,562,158 | 6,057,524 | 419,380,785 |
Total | $803,592,698 | $1,012,168,254 | $1,221,313,545 | $17,388,351 | $3,166,858 | $1,069,960 | $598,684,225 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations, if applicable.
Investment Valuation
The following is a summary of the inputs used, as of May 31, 2020, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Corporate Bonds | $1,904,051,627 | $-- | $1,904,051,627 | $-- |
U.S. Government and Government Agency Obligations | 287,401,623 | -- | 287,401,623 | -- |
U.S. Government Agency - Mortgage Securities | 32,251,735 | -- | 32,251,735 | -- |
Asset-Backed Securities | 525,766,919 | -- | 525,766,919 | -- |
Collateralized Mortgage Obligations | 78,575,834 | -- | 78,575,834 | -- |
Commercial Mortgage Securities | 80,502,075 | -- | 80,502,075 | -- |
Municipal Securities | 590,687 | -- | 590,687 | -- |
Foreign Government and Government Agency Obligations | 1,154,645 | -- | 1,154,645 | -- |
Bank Notes | 55,501,639 | -- | 55,501,639 | -- |
Commercial Paper | 11,418,767 | -- | 11,418,767 | -- |
Fixed-Income Funds | 58,035,797 | 58,035,797 | -- | -- |
Short-Term Funds | 4,733,299,577 | 4,733,299,577 | -- | -- |
Money Market Funds | 309,806,625 | 309,806,625 | -- | -- |
Total Investments in Securities: | $8,078,357,550 | $5,101,141,999 | $2,977,215,551 | $-- |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $34,071 | $34,071 | $-- | $-- |
Total Assets | $34,071 | $34,071 | $-- | $-- |
Liabilities | ||||
Futures Contracts | $(57,580) | $(57,580) | $-- | $-- |
Total Liabilities | $(57,580) | $(57,580) | $-- | $-- |
Total Derivative Instruments: | $(23,509) | $(23,509) | $-- | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of May 31, 2020. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
Primary Risk Exposure / Derivative Type | Value | |
Asset | Liability | |
Interest Rate Risk | ||
Futures Contracts(a) | $34,071 | $(57,580) |
Total Interest Rate Risk | 34,071 | (57,580) |
Total Value of Derivatives | $34,071 | $(57,580) |
(a) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
May 31, 2020 | ||
Assets | ||
Investment in securities, at value (including securities loaned of $8,675,238) — See accompanying schedule: Unaffiliated issuers (cost $7,237,230,784) | $7,254,600,634 | |
Fidelity Central Funds (cost $225,067,717) | 225,072,691 | |
Other affiliated issuers (cost $589,326,095) | 598,684,225 | |
Total Investment in Securities (cost $8,051,624,596) | $8,078,357,550 | |
Cash | 2,281,799 | |
Receivable for investments sold | ||
Regular delivery | 3,635,989 | |
Delayed delivery | 775,760 | |
Receivable for fund shares sold | 4,710,188 | |
Dividends receivable | 190 | |
Interest receivable | 10,226,290 | |
Distributions receivable from Fidelity Central Funds | 47,874 | |
Receivable for daily variation margin on futures contracts | 15,210 | |
Prepaid expenses | 25,562 | |
Other receivables | 96,322 | |
Total assets | 8,100,172,734 | |
Liabilities | ||
Payable for investments purchased | ||
Regular delivery | $35,148,322 | |
Delayed delivery | 1,384,184 | |
Payable for fund shares redeemed | 4,227,787 | |
Distributions payable | 1,076,550 | |
Accrued management fee | 277,274 | |
Other payables and accrued expenses | 159,591 | |
Collateral on securities loaned | 8,858,850 | |
Total liabilities | 51,132,558 | |
Net Assets | $8,049,040,176 | |
Net Assets consist of: | ||
Paid in capital | $8,058,103,301 | |
Total accumulated earnings (loss) | (9,063,125) | |
Net Assets | $8,049,040,176 | |
Net Asset Value, offering price and redemption price per share ($8,049,040,176 ÷ 799,890,330 shares) | $10.06 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Year ended May 31, 2020 | ||
Investment Income | ||
Dividends: | ||
Unaffiliated issuers | $83,230,634 | |
Affiliated issuers | 17,388,351 | |
Interest | 70,991,714 | |
Income from Fidelity Central Funds (including $294,082 from security lending) | 1,256,133 | |
Total income | 172,866,832 | |
Expenses | ||
Management fee | $21,724,492 | |
Accounting fees | 105,016 | |
Custodian fees and expenses | 46,377 | |
Independent trustees' fees and expenses | 82,602 | |
Registration fees | 82,652 | |
Audit | 70,964 | |
Legal | 21,856 | |
Miscellaneous | 62,480 | |
Total expenses before reductions | 22,196,439 | |
Expense reductions | (18,637,479) | |
Total expenses after reductions | 3,558,960 | |
Net investment income (loss) | 169,307,872 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 6,304,609 | |
Fidelity Central Funds | 20,021 | |
Other affiliated issuers | 3,166,858 | |
Foreign currency transactions | (1) | |
Futures contracts | 3,515,891 | |
Total net realized gain (loss) | 13,007,378 | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers | 9,159,211 | |
Fidelity Central Funds | (1) | |
Other affiliated issuers | 1,069,960 | |
Futures contracts | (381,749) | |
Total change in net unrealized appreciation (depreciation) | 9,847,421 | |
Net gain (loss) | 22,854,799 | |
Net increase (decrease) in net assets resulting from operations | $192,162,671 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Year ended May 31, 2020 | Year ended May 31, 2019 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $169,307,872 | $191,790,400 |
Net realized gain (loss) | 13,007,378 | (22,963,814) |
Change in net unrealized appreciation (depreciation) | 9,847,421 | 32,978,756 |
Net increase (decrease) in net assets resulting from operations | 192,162,671 | 201,805,342 |
Distributions to shareholders | (168,201,353) | (196,218,113) |
Share transactions | ||
Proceeds from sales of shares | 2,771,783,132 | 2,337,683,827 |
Reinvestment of distributions | 153,886,892 | 184,555,853 |
Cost of shares redeemed | (2,045,344,183) | (4,224,267,039) |
Net increase (decrease) in net assets resulting from share transactions | 880,325,841 | (1,702,027,359) |
Total increase (decrease) in net assets | 904,287,159 | (1,696,440,130) |
Net Assets | ||
Beginning of period | 7,144,753,017 | 8,841,193,147 |
End of period | $8,049,040,176 | $7,144,753,017 |
Other Information | ||
Shares | ||
Sold | 277,408,378 | 233,616,566 |
Issued in reinvestment of distributions | 15,320,138 | 18,458,739 |
Redeemed | (204,536,004) | (422,246,045) |
Net increase (decrease) | 88,192,512 | (170,170,740) |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Strategic Advisers Short Duration Fund
Years ended May 31, | 2020 | 2019 | 2018 | 2017 | 2016 |
Selected Per–Share Data | |||||
Net asset value, beginning of period | $10.04 | $10.03 | $10.05 | $10.01 | $10.07 |
Income from Investment Operations | |||||
Net investment income (loss)A | .229 | .254 | .168 | .136 | .115 |
Net realized and unrealized gain (loss) | .020 | .018 | (.028) | .033 | (.051) |
Total from investment operations | .249 | .272 | .140 | .169 | .064 |
Distributions from net investment income | (.229) | (.259) | (.160) | (.129) | (.118) |
Distributions from net realized gain | – | (.003) | – | – | (.006) |
Total distributions | (.229) | (.262) | (.160) | (.129) | (.124) |
Net asset value, end of period | $10.06 | $10.04 | $10.03 | $10.05 | $10.01 |
Total ReturnB | 2.51% | 2.75% | 1.40% | 1.69% | .64% |
Ratios to Average Net AssetsC,D,E | |||||
Expenses before reductions | .30% | .32% | .35% | .36% | .36% |
Expenses net of fee waivers, if any | .05% | .07% | .10% | .10% | .11% |
Expenses net of all reductions | .05% | .07% | .10% | .10% | .11% |
Net investment income (loss) | 2.28% | 2.54% | 1.67% | 1.36% | 1.15% |
Supplemental Data | |||||
Net assets, end of period (000 omitted) | $8,049,040 | $7,144,753 | $8,841,193 | $9,920,937 | $6,593,754 |
Portfolio turnover rateE | 58% | 33% | 25% | 26% | 33% |
A Calculated based on average shares outstanding during the period.
B Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
C Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
D Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund. Fees and expenses of the Underlying Funds are not included in the Fund's annualized ratios. The Fund indirectly bears its proportionate share of the expenses of the Underlying Funds.
E Amounts do not include the activity of Underlying Funds.
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements
For the period ended May 31, 2020
1. Organization.
Strategic Advisers Short Duration Fund (the Fund) is a fund of Fidelity Rutland Square Trust II (the Trust), and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust. The Fund is offered exclusively to certain clients of Strategic Advisers LLC (Strategic Advisers), an affiliate of Fidelity Management & Research Company LLC (FMR).
2. Significant Accounting Policies.
The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services – Investments Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the Fund:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
- Level 1 – quoted prices in active markets for identical investments
- Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
- Level 3 – unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value the Fund's investments by major category are as follows:
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Corporate bonds, bank notes, foreign government and government agency obligations, municipal securities, U.S. government and government agency obligations, 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. 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 are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Exchange-Traded Funds (ETFs) are valued at their last sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day but the exchange reports a closing bid level, ETFs are valued at the closing bid and would be categorized as Level 1 in the hierarchy. In the event there was no closing bid, ETFs may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and may be categorized as Level 2 in the hierarchy.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. If an unaffiliated open-end mutual fund's NAV is unavailable, shares of that fund may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and is categorized as Level 2 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of May 31, 2020 is included at the end of the Fund's Schedule of Investments.
Foreign Currency. The Fund 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. 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 Underlying Funds and distributions from ETFs, if any, 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. 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), certain independent Trustees have elected to defer receipt of a portion of their annual compensation. Deferred amounts are invested in a cross-section of Strategic Advisers funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees of $96,317 are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, respectively.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of May 31, 2020, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.
Distributions are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to market discount, capital loss carryforwards, futures contracts, foreign currency transactions, deferred trustees compensation and losses deferred due to wash sales.
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
Gross unrealized appreciation | $63,438,225 |
Gross unrealized depreciation | (36,295,759) |
Net unrealized appreciation (depreciation) | $27,142,466 |
Tax Cost | $8,051,215,084 |
The tax-based components of distributable earnings as of period end were as follows:
Undistributed ordinary income | $8,003,746 |
Capital loss carryforward | $(44,113,019) |
Net unrealized appreciation (depreciation) on securities and other investments | $27,142,466 |
Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of fiscal period end and is subject to adjustment.
No expiration | |
Long-term | $(44,113,019) |
The tax character of distributions paid was as follows:
May 31, 2020 | May 31, 2019 | |
Ordinary Income | $168,021,353 | $196,218,113 |
Delayed Delivery Transactions and When-Issued Securities. During the period, the Fund 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. The securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
Restricted Securities (including Private Placements). The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.
3. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund's investment objective allows the Fund to enter into various types of derivative contracts, including futures contracts. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.
The Fund used derivatives to increase returns and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.
The Fund's use of derivatives increased or decreased its exposure to the following risk:
Interest Rate Risk | Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates. |
The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Counterparty credit risk related to exchange-traded futures contracts may be mitigated by the protection provided by the exchange on which they trade.
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.
Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. The Fund used futures contracts to manage its exposure to the bond market and fluctuations in interest rates.
Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments (variation margin) are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is presented in the Statement of Operations.
Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The notional amount at value reflects each contract's exposure to the underlying instrument or index at period end and is representative of volume of activity during the period. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.
4. Purchases and Sales of Investments.
Purchases and sales of securities (including the Underlying Fund shares), other than short-term securities and U.S. government securities, are noted in the table below.
Purchases ($) | Sales ($) | |
Strategic Advisers Short Duration Fund | 4,231,823,544 | 3,738,397,715 |
5. Fees and Other Transactions with Affiliates.
Management Fee. Strategic Advisers (the investment adviser) provides the Fund with investment management related services. For these services, the Fund pays a monthly management fee to the investment adviser. The management fee is calculated by adding the annual management fee rate of .25% of the Fund's average net assets throughout the month payable to the investment adviser to the aggregate of the fee rates, payable monthly, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed .55% of the Fund's average net assets. For the reporting period, the total annual management fee rate was .29% of the Fund's average net assets.
During the period, the investment adviser waived a portion of its management fee as described in the Expense Reductions note.
Sub-Advisers. FIAM LLC (an affiliate of the investment adviser) and T. Rowe Price Associates, Inc. each served as a sub-adviser for the Fund during the period. Sub-advisers provide discretionary investment advisory services for their allocated portion of the Fund's assets and are paid by the investment adviser and not the Fund for providing these services.
Accounting Fees. Fidelity Service Company, Inc. (FSC), an affiliate of the investment adviser, maintains the Fund's accounting records. The accounting fee is based on the level of average net assets for each month. Effective July 1, 2019 accounting fees are not paid by the Fund and are instead paid by the investment adviser or an affiliate. For the period, the fees were equivalent to less than .005%.
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 | $1,525 |
Interfund Trades. Funds may purchase from or sell securities to other funds affiliated with each sub-adviser under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.
6. Investments in Fidelity Central Funds.
The Fund invests in Fidelity Central Funds, which are open-end investment companies available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
The Fidelity Money Market Central Funds are managed by FMR. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date ranged from less than .005% to .01%.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC website or upon request.
7. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are as follows:
Amount | |
Strategic Advisers Short Duration Fund | $17,814 |
During the period, there were no borrowings on this line of credit.
8. Security Lending.
The Fund lends portfolio securities through a lending agent from time to time in order to earn additional income. On the settlement date of the loan, the 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 the Fund and any additional required collateral is delivered to the Fund on the next business day. The 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, the Fund may apply collateral received from the borrower against the obligation. The 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. The value of loaned securities and cash collateral at period end are disclosed on the Fund's Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds.
9. Expense Reductions.
The investment adviser has contractually agreed to waive the Fund's management fee in an amount equal to .25% of the Fund's average net assets until September 30, 2022. During the period, this waiver reduced the Fund's management fee by $ 18,549,563.
In addition, the investment adviser has voluntarily agreed to waive a portion of the Fund's management fee. During the period, this waiver reduced the Fund's management fee by $61,528.
In addition, through arrangements with the Fund's custodian and transfer agent, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses by $26,164 and $224, respectively.
10. Other.
The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
11. Coronavirus (COVID-19) Pandemic.
An outbreak of COVID-19 first detected in China during December 2019 has since spread globally and was declared a pandemic by the World Health Organization during March 2020. Developments that disrupt global economies and financial markets, such as the COVID-19 pandemic, may magnify factors that affect the Fund's performance.
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Fidelity Rutland Square Trust II and Shareholders of Strategic Advisers Short Duration Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Strategic Advisers Short Duration Fund (one of the funds constituting Fidelity Rutland Square Trust II, referred to hereafter as the “Fund”) as of May 31, 2020, the related statement of operations for the year ended May 31, 2020, the statement of changes in net assets for each of the two years in the period ended May 31, 2020, including the related notes, and the financial highlights for each of the five years in the period ended May 31, 2020 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of May 31, 2020, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended May 31, 2020 and the financial highlights for each of the five years in the period ended May 31, 2020 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of May 31, 2020 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
Boston, Massachusetts
July 16, 2020
We have served as the auditor of one or more investment companies in the Fidelity group of funds since 1932.
Trustees and Officers
The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance. If the interests of the fund and an underlying Fidelity® fund were to diverge, a conflict of interest could arise and affect how the Trustees and Members of the Advisory Board fulfill their fiduciary duties to the affected funds. Strategic Advisers has structured the fund to avoid these potential conflicts, although there may be situations where a conflict of interest is unavoidable. In such instances, Strategic Advisers, the Trustees, and Members of the Advisory Board would take reasonable steps to minimize and, if possible, eliminate the conflict. Each of the Trustees oversees 14 funds.
The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. Officers and Advisory Board Members hold office without limit in time, except that any officer or Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.
Each Trustee who is not an interested person (as defined in the 1940 Act) of the trust and the fund is referred to herein as an Independent Trustee.
The fund’s Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-3455.
Experience, Skills, Attributes, and Qualifications of the Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee may also engage professional search firms to help identify potential Independent Trustee candidates with experience, qualifications, attributes, and skills consistent with the Statement of Policy. Additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, may be considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.
In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.
Board Structure and Oversight Function. Robert A. Lawrence is an interested person and currently serves as Chairman. The Trustees have determined that an interested Chairman is appropriate and benefits shareholders because an interested Chairman has a personal and professional stake in the quality and continuity of services provided to the fund. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chairman, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chairman and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session. Mary C. Farrell serves as the lead Independent Trustee and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.
Fidelity® funds are overseen by different Boards of Trustees. The fund's Board oversees asset allocation funds. Other Boards oversee Fidelity's investment-grade bond, money market, and asset allocation funds, and Fidelity's equity and high income funds. The fund may invest in Fidelity® funds overseen by such other Boards. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity® funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues.
The Trustees primarily operate as a full Board, but also operate in committees, to facilitate the timely and efficient consideration of all matters of importance to the Trustees, the fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the fund's activities and associated risks. The Board has charged Strategic Advisers and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the fund's business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above. Because the day-to-day operations and activities of the fund are carried out by or through Strategic Advisers, its affiliates and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees. Board oversight of different aspects of the fund's activities is exercised primarily through the full Board, but also through the Audit and Compliance Committee. Appropriate personnel, including but not limited to the fund's Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the fund's Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate. The responsibilities of each standing committee, including their oversight responsibilities, are described further under "Standing Committees of the Trustees."
Interested Trustees*:
Correspondence intended for a Trustee who is an interested person may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Robert A. Lawrence (1952)
Year of Election or Appointment: 2016
Trustee
Chairman of the Board of Trustees
Mr. Lawrence also serves as Trustee of other funds. Previously, Mr. Lawrence served as a Member of the Advisory Board of certain funds. Prior to his retirement in 2008, Mr. Lawrence served as Vice President of certain Fidelity® funds (2006-2008), Senior Vice President, Head of High Income Division of Fidelity Management & Research Company (investment adviser firm, 2006-2008), and President of Fidelity Strategic Investments (investment adviser firm, 2002-2005).
Charles S. Morrison (1960)
Year of Election or Appointment: 2020
Trustee
Mr. Morrison also serves as Trustee of other funds. Previously, Mr. Morrison served as President (2017-2018) and Director (2014-2018) of Fidelity SelectCo, LLC (investment adviser firm), President of Fidelity Management & Research Company (FMR) (investment adviser firm, 2016-2018), a Director of Fidelity Investments Money Management, Inc. (investment adviser firm, 2014-2018), President, Asset Management (2014-2018), Trustee of the Fidelity Equity and High Income Funds (283 funds as of December 2018) (2014-2018), and was an employee of Fidelity Investments. Mr. Morrison also previously served as Vice President of Fidelity's Fixed Income and Asset Allocation Funds (2012-2014), President, Fixed Income (2011-2014), Vice President of Fidelity's Money Market Funds (2005-2009), President, Money Market Group Leader of FMR (2009), and Senior Vice President, Money Market Group of FMR (2004-2009). Mr. Morrison also served as Vice President of Fidelity's Bond Funds (2002-2005), certain Balanced Funds (2002-2005), and certain Asset Allocation Funds (2002-2007), and as Senior Vice President (2002-2005) of Fidelity's Bond Division.
* Determined to be an "Interested Trustee" by virtue of, among other things, his or her affiliation with the trust or various entities under common control with Strategic Advisers.
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Independent Trustees:
Correspondence intended for an Independent Trustee may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Peter C. Aldrich (1944)
Year of Election or Appointment: 2006
Trustee
Mr. Aldrich also serves as Trustee of other funds. Mr. Aldrich is a Director of the U.S. Core Property Fund (and, previously, other funds) of BlackRock Realty Group (2006-present). Previously, Mr. Aldrich served as a Managing Member of Poseidon, LLC (foreign private investment, 1998-2004), and Chairman and Managing Member of AEGIS, LLC (foreign private investment, 1997-2004). Mr. Aldrich previously was a founder, Chief Executive Officer, and Chairman of AEW Capital Management, L.P. (then “Aldrich, Eastman and Waltch, L.P.”). Mr. Aldrich also served as a Director of LivelyHood, Inc. (private corporation, 2013-2020), a Trustee for the Fidelity Rutland Square Trust (2005-2010), a Director of Zipcar, Inc. (car sharing services, 2001-2009) and as Faculty Chairman of The Research Council on Global Investment of The Conference Board (business and professional education non-profit, 1999-2004). Mr. Aldrich is a Member Emeritus of the Board of Directors of the National Bureau of Economic Research, the Board of Trustees of the Museum of Fine Arts Boston and the Board of Overseers of the Massachusetts Eye and Ear Infirmary.
Mary C. Farrell (1949)
Year of Election or Appointment: 2013
Trustee
Ms. Farrell also serves as Trustee of other funds. Ms. Farrell is a Director of the W.R. Berkley Corporation (insurance provider) and President (2009-present) and Director (2006-present) of the Howard Gilman Foundation (charitable organization). Previously, Ms. Farrell was Managing Director and Chief Investment Strategist at UBS Wealth Management USA and Co-Head of UBS Wealth Management Investment Strategy & Research Group (2003-2005). Ms. Farrell also served as Investment Strategist at PaineWebber (1982-2000) and UBS PaineWebber (2000-2002). Ms. Farrell serves as Chairman of the Board of Trustees of Yale-New Haven Hospital and Vice Chairman of the Yale New Haven Health System Board and previously served as Trustee on the Board of Overseers of the New York University Stern School of Business.
Karen Kaplan (1960)
Year of Election or Appointment: 2006
Trustee
Ms. Kaplan also serves as Trustee of other funds. Ms. Kaplan is Chairman (2014-present) and Chief Executive Officer (2013-present) of Hill Holliday (advertising and specialized marketing). Ms. Kaplan is a Director of The Michaels Companies, Inc. (specialty retailer, 2015-present), Member of the Board of Governors of the Chief Executives’ Club of Boston (2010-present), Member of the Executive Committee of the Greater Boston Chamber of Commerce (2006-present), Advisory Board Member of the National Association of Corporate Directors Chapter (2012-present), Member of the Board of Trustees of the Post Office Square Trust (2012-present), Trustee of the Brigham and Women’s Hospital (2016-present), Overseer of the Boston Symphony Orchestra (2014-present), Member of the Board of Directors of The Advertising Council, Inc. (2016-present), Member of the Ron Burton Training Village Executive Board of Advisors (2018-present), Member of the Executive Committee of The Ad Council, Inc. (2019-present), and Member of the Board of Directors of The Ad Club of Boston (2020-present). Previously, Ms. Kaplan served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010), a member of the Clinton Global Initiative (2010-2015), Director of DSM (dba Delta Dental and DentaQuest) (2004-2014), Formal Appointee of the 2015 Baker-Polito Economic Development Council, Director of Vera Bradley Inc. (designer of women’s accessories, 2012-2015), Member of the Board of Directors of the Massachusetts Conference for Women (2008-2015), Member of the Board of Directors of Jobs for Massachusetts (2012-2015), President of the Massachusetts Women’s Forum (2008-2010), Treasurer of the Massachusetts Women’s Forum (2002-2006), and Vice Chair of the Board of the Massachusetts Society for the Prevention of Cruelty to Children (2003-2010).
Heidi L. Steiger (1953)
Year of Election or Appointment: 2017
Trustee
Ms. Steiger also serves as Trustee of other funds. Ms. Steiger serves as Managing Partner of Topridge Associates, LLC (consulting, 2005-present), a member of the Advisory Board of the joint degree program in Global Luxury Management at North Carolina State University (Raleigh, NC) and Skema (Paris) (2018-present), a Non-Executive Director of CrowdBureau Corporation (financial technology company and index provider, 2018-present), a member of the Board of Directors (2013-present) and Chair of the Audit Committee and member of the Membership and Executive Committees (2017-present) of Business Executives for National Security (nonprofit), and member of the Board of Directors Chair of the Remuneration Committee of Imagine Intelligent Materials Limited (2019-present) (technology company). Previously, Ms. Steiger served as a member of the Global Advisory Board and Of Counsel to Signum Global Advisors (international policy and strategy, 2018-2020), Eastern Region President of The Private Client Reserve of U.S. Bancorp (banking and financial services, 2010-2015), Advisory Director of Berkshire Capital Securities, LLC (financial services, 2009-2010), President and Senior Advisor of Lowenhaupt Global Advisors, LLC (financial services, 2005-2007), and President and Contributing Editor of Worth Magazine (2004-2005) and held a variety of positions at Neuberger Berman Group, LLC (financial services, 1986-2004), including Partner and Executive Vice President and Global Head of Private Asset Management at Neuberger Berman (1999-2004). Ms. Steiger also served as a member of the Board of Directors of Nuclear Electric Insurance Ltd (insurer of nuclear utilities, 2006-2017), a member of the Board of Trustees and Audit Committee of the Eaton Vance Funds (2007-2010), a member of the Board of Directors of Aviva USA (formerly AmerUs) (insurance, 2004-2014), and a member of the Board of Trustees and Audit Committee and Chair of the Investment Committee of CIFG (financial guaranty insurance, 2009-2012), and a member of the Board of Directors of Kin Group Plc (formerly, Fitbug Holdings) (health and technology, 2016-2017).
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Advisory Board Members and Officers:
Correspondence intended for a Member of the Advisory Board (if any) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235. Correspondence intended for an officer or Howard E. Cox, Jr. may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210. Officers appear below in alphabetical order.
Name, Year of Birth; Principal Occupation
Howard E. Cox, Jr. (1944)
Year of Election or Appointment: 2009
Member of the Advisory Board
Mr. Cox also serves as a Member of the Advisory Board of other funds. Mr. Cox is a Partner of Greylock (venture capital, 1971-present) and a Director of Stryker Corporation (medical products and services, 1974-present). Previously, Mr. Cox served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010). Mr. Cox also serves as a Member of the Secretary of Defense's Business Board of Directors (2008-present), a Director of Business Executives for National Security (1997-present), a Director of the Brookings Institution (2010-present), a Director of the World Economic Forum’s Young Global Leaders Foundation (2009-present), and is a Member of the Harvard Medical School Board of Fellows (2002-present). Mr. Howard E. Cox, Jr. and Mr. Ralph F. Cox are not related.
Christine Marcks (1955)
Year of Election or Appointment: 2019
Member of the Advisory Board
Ms. Marcks also serves as a Member of the Advisory Board of other Funds. Prior to her retirement, Ms. Marcks served as Chief Executive Officer and President – Prudential Retirement (2007-2017) and Vice President for Rollover and Retirement Income Strategies (2005-2007), Prudential Financial, Inc. (financial services). Previously, Ms. Marcks was Senior Vice President and Head of Financial Horizons (2002-2004) and Vice President, Strategic Marketing (2000-2002) of Voya Financial (formerly ING U.S.) (financial services), held numerous positions at Aetna Financial Services (financial services, 1987-2000) and served as an International Economist for the United States Department of the Treasury (1980-1987). Ms. Marcks also serves as a member of the Board of Trustees, Audit Committee and Benefits & Operations Committee of the YMCA Retirement Fund (2018-present), a non-profit organization providing retirement plan benefits to YMCA staff members, and as a member of the Board of Trustees of Assumption College (2019-present).
Elizabeth Paige Baumann (1968)
Year of Election or Appointment: 2017
Anti-Money Laundering (AML) Officer
Ms. Baumann also serves as AML Officer of other funds. She is Chief AML Officer (2012-present) and Senior Vice President (2014-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments. Previously, Ms. Baumann served as AML Officer of certain funds (2017-2019), as AML Officer of the funds (2012-2016), and Vice President (2007-2014) and Deputy Anti-Money Laundering Officer (2007-2012) of FMR LLC.
Craig S. Brown (1977)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Brown also serves as Assistant Treasurer of other funds. Mr. Brown is an employee of Fidelity Investments (2013-present).
John J. Burke III (1964)
Year of Election or Appointment: 2018
Chief Financial Officer
Mr. Burke also serves as Chief Financial Officer of other funds. Mr. Burke serves as Head of Investment Operations for Fidelity Fund and Investment Operations (2018-present) and is an employee of Fidelity Investments (1998-present). Previously Mr. Burke served as head of Asset Management Investment Operations (2012-2018).
Jonathan Davis (1968)
Year of Election or Appointment: 2010
Assistant Treasurer
Mr. Davis also serves as Assistant Treasurer of other funds. Mr. Davis serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments. Previously, Mr. Davis served as Vice President and Associate General Counsel of FMR LLC (diversified financial services company, 2003-2010).
Laura M. Del Prato (1964)
Year of Election or Appointment: 2018
Assistant Treasurer
Ms. Del Prato also serves as an officer of other funds. Ms. Del Prato is an employee of Fidelity Investments (2017-present). Prior to joining Fidelity Investments, Ms. Del Prato served as a Managing Director and Treasurer of the JPMorgan Mutual Funds (2014-2017). Prior to JPMorgan, Ms. Del Prato served as a partner at Cohen Fund Audit Services (accounting firm, 2012-2013) and KPMG LLP (accounting firm, 2004-2012).
James D. Gryglewicz (1972)
Year of Election or Appointment: 2015
Chief Compliance Officer
Mr. Gryglewicz also serves as Chief Compliance Officer of other funds. Mr. Gryglewicz serves as Compliance Officer of Strategic Advisers LLC (investment adviser firm, 2015-present), Senior Vice President of Asset Management Compliance (2009-present), and is an employee of Fidelity Investments (2004-present). Previously, Mr. Gryglewicz served as Compliance Officer of Fidelity SelectCo, LLC (investment adviser firm, 2014-2019), and as Chief Compliance Officer of certain Fidelity® funds (2014-2018).
Colm A. Hogan (1973)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Hogan also serves as an officer of other funds. Mr. Hogan serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2005-present). Previously, Mr. Hogan served as Deputy Treasurer of certain Fidelity® funds (2016-2020) and Assistant Treasurer of certain Fidelity® funds (2016-2018). Mr. Colm A. Hogan is not related to Mr. Brian B. Hogan.
Christina H. Lee (1975)
Year of Election or Appointment: 2020
Secretary and Chief Legal Officer
Ms. Lee also serves as Secretary and CLO of other funds. Ms. Lee serves as Vice President, Associate General Counsel (2014-present) and is an employee of Fidelity Investments (2007-present). Previously, Ms. Lee served as Assistant Secretary of certain funds (2018-2019).
Cynthia Lo Bessette (1969)
Year of Election or Appointment: 2020
Assistant Secretary
Ms. Lo Bessette also serves as an officer of other funds. Ms. Lo Bessette serves as CLO, Secretary, and Senior Vice President of Fidelity Management & Research Company LLC (investment adviser firm, 2019-present); and CLO of Fidelity Management & Research (Hong Kong) Limited, FMR Investment Management (UK) Limited, and Fidelity Management & Research (Japan) Limited (investment adviser firms, 2019-present). She is a Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company, 2019-present), and is an employee of Fidelity Investments. Previously, Ms. Lo Bessette served as CLO, Secretary, and Senior Vice President of FMR Co., Inc. (investment adviser firm, 2019); Secretary of Fidelity SelectCo, LLC and Fidelity Investments Money Management, Inc. (investment adviser firms, 2019). Prior to joining Fidelity Investments, Ms. Lo Bessette was Executive Vice President, General Counsel (2016-2019) and Senior Vice President, Deputy General Counsel (2015-2016) of OppenheimerFunds (investment management company) and Deputy Chief Legal Officer (2013-2015) of Jennison Associates LLC (investment adviser firm).
Chris Maher (1972)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Maher also serves as an officer of other funds. Mr. Maher serves as Assistant Treasurer of FMR Capital, Inc. (2017-present), and is an employee of Fidelity Investments (2008-present). Previously, Mr. Maher served as Assistant Treasurer of certain funds (2013-2020); Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010).
Stacie M. Smith (1974)
Year of Election or Appointment: 2020
President and Treasurer
Ms. Smith also serves as an officer of other funds. Ms. Smith serves as Assistant Treasurer of FMR Capital, Inc. (2017-present), is an employee of Fidelity Investments (2009-present), and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (accounting firm, 1996-2009). Previously, Ms. Smith served as Assistant Treasurer (2013-2019) and Deputy Treasurer (2013-2016) of certain Fidelity® funds.
Marc L. Spector (1972)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Spector also serves as an officer of other funds. Mr. Spector serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2016-present). Prior to joining Fidelity Investments, Mr. Spector served as Director at the Siegfried Group (accounting firm, 2013-2016), and prior to Siegfried Group as audit senior manager at Deloitte & Touche LLP (accounting firm, 2005-2013).
Jim Wegmann (1979)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Wegmann also serves as Assistant Treasurer of other funds. Mr. Wegmann is an employee of Fidelity Investments (2011-present).
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (December 1, 2019 to May 31, 2020).
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the underlying mutual funds and exchange-traded funds (ETFs) (the Underlying Funds), the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's 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. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the Underlying Funds, the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
Annualized Expense Ratio-A | Beginning Account Value December 1, 2019 | Ending Account Value May 31, 2020 | Expenses Paid During Period-B December 1, 2019 to May 31, 2020 | |
Actual | .05% | $1,000.00 | $1,010.90 | $.25 |
Hypothetical-C | $1,000.00 | $1,024.75 | $.25 |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period). The fees and expenses of the Underlying Funds in which the Fund invests are not included in the Fund's annualized expense ratio.
C 5% return per year before expenses
Distributions (Unaudited)
A total of 5.88% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.
The fund will notify shareholders in January 2021 of amounts for use in preparing 2020 income tax returns.
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 an in-person meeting on the renewal of the management contract with Strategic Advisers LLC (Strategic Advisers) and the sub-advisory agreements with FIAM LLC and T. Rowe Price Associates, Inc. (each a Sub-Adviser and collectively, the Sub-Advisers) (collectively, the Sub-Advisory Agreements and, together with the management contract, the Advisory Contracts) for the fund. Strategic Advisers and the Sub-Advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.The Board meets at least four times per year and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The full Board or the Independent Trustees, as appropriate, act on all major matters; however, a portion of the activities of the Board (including certain of those described herein) may be conducted through standing committees that have been established by the Board. The Board, acting directly and through its committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts.At its September 2019 meeting, the Board, including the Independent Trustees, unanimously determined to renew the fund's Advisory Contracts. In reaching its determination to renew the fund's Advisory Contracts, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness of the fund's management fee and total expenses relative to peer funds; (iii) the total costs of the services provided by and the profits, if any, realized by Strategic Advisers from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and are realized as the fund grows and whether any economies of scale are appropriately shared with fund shareholders.In considering whether to renew the Advisory Contracts for the fund, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts is in the best interests of the fund and its shareholders. In addition, with respect to the Sub-Advisory Agreements, the Board also concluded that the renewal of such agreements does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees charged under the Advisory Contracts bear a reasonable relationship to the services rendered and are based on services provided that are in addition to, rather than duplicative of, services provided under the advisory contract of any underlying fund in which the fund may invest. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board throughout the year.Nature, Extent, and Quality of Services Provided. The Board considered the staffing within the Investment Advisers, including the backgrounds of the fund's investment personnel and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Strategic Advisers' investment operations and investment groups. The Board considered the structure of each Investment Adviser's investment personnel compensation program and whether such structures provide appropriate incentives to act in the best interests of the fund.The Trustees also discussed with representatives of Strategic Advisers, at meetings throughout the year, Strategic Advisers' role in, among other things, (i) setting, implementing and monitoring the investment strategies for the funds; (ii) identifying and recommending sub-advisers for the funds; (iii) overseeing compliance with federal securities laws by each sub-adviser with respect to the portion of fund assets allocated to the sub-adviser; (iv) monitoring and overseeing the performance and investment capabilities of each sub-adviser; and (v) recommending the replacement of a sub-adviser as appropriate. The Trustees considered that the Board had received from Strategic Advisers substantial information and periodic reports about Strategic Advisers' sub-adviser oversight and due diligence processes, as well as periodic reports regarding the performance of each sub-adviser.The Board also considered the nature, extent and quality of services provided by each Sub-Adviser. The Trustees noted that under the Sub-Advisory Agreements subject to oversight by Strategic Advisers, each Sub-Adviser is responsible for, among other things, identifying investments for the portion of fund assets allocated to the Sub-Adviser, if any, and executing portfolio transactions to implement its investment strategy. In addition, the Trustees noted that each Sub-Adviser is responsible for providing such reporting as may be requested from Strategic Advisers to fulfill its oversight responsibilities discussed above.Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of the Investment Advisers' investment staffs, their use of technology, and the Investment Advisers' approach to managing and compensating investment personnel. The Board noted that the Investment Advisers' analysts have extensive resources, tools, and capabilities that allow them to conduct sophisticated quantitative and/or fundamental analysis. Additionally, in its deliberations, the Board considered the Investment Advisers' trading capabilities and resources and global compliance infrastructure, which are integral parts of the investment management process.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, 2018, the cumulative total returns of the fund and the cumulative total returns of an appropriate benchmark index and peer group. The box within each chart shows the 25th percentile return (75% beaten, top of box) and the 75th percentile return (25% beaten, bottom of box) of the peer group. Returns shown above the box are in the first quartile and returns shown below the box are in the fourth quartile. The percentage beaten number noted below each chart corresponds to the percentile box and represents the percentage of funds in the peer group whose performance was equal to or lower than that of the fund.Strategic Advisers Short Duration Fund
Strategic Advisers Short Duration Fund
Liquidity Risk Management Program
The Securities and Exchange Commission adopted Rule 22e-4 under the Investment Company Act of 1940 (the Liquidity Rule) to promote effective liquidity risk management throughout the open-end investment company industry, thereby reducing the risk that funds will be unable to meet their redemption obligations and mitigating dilution of the interests of fund shareholders.
The Fund has adopted and implemented a liquidity risk management program (the Program) reasonably designed to assess and manage the Fund’s liquidity risk and to comply with the requirements of the Liquidity Rule. The Fund’s Board of Trustees (the Board) has designated the Fund’s investment adviser as administrator of the Program. Strategic Advisers has established a Liquidity Risk Management Committee (the LRM Committee) to manage the Program for each of the Funds. The LRM Committee monitors the adequacy and effectiveness of implementation of the Program and on a periodic basis assesses each Fund’s liquidity risk based on a variety of factors including (1) the Fund’s investment strategy, (2) portfolio liquidity and cash flow projections during normal and reasonably foreseeable stressed conditions, (3) shareholder redemptions and (4) borrowings and other funding sources, as applicable.
In accordance with the Program, each of the Fund’s portfolio investments is classified into one of four liquidity categories described below based on a determination of a reasonable expectation for how long it would take to convert the investment to cash (or sell or dispose of the investment) without significantly changing its market value.
- Highly liquid investments – cash or convertible to cash within three business days or less
- Moderately liquid investments – convertible to cash in three to seven calendar days
- Less liquid investments – can be sold or disposed of, but not settled, within seven calendar days
- Illiquid investments – cannot be sold or disposed of within seven calendar days
Liquidity classification determinations take into account a variety of factors including various market, trading and investment-specific considerations, as well as market depth, and generally utilize analysis from a third-party liquidity metrics service.
The Liquidity Rule places a 15% limit on a fund’s illiquid investments and requires funds that do not primarily hold assets that are highly liquid investments to determine and maintain a minimum percentage of the fund’s net assets to be invested in highly liquid investments (highly liquid investment minimum or HLIM). The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments and for determining, periodically reviewing and complying with the HLIM requirement as applicable.
At a recent meeting of the Fund’s Board of Trustees, the LRM Committee provided a written report to the Board pertaining to the operation, adequacy, and effectiveness of implementation of the Program for the annual period from December 1, 2018 through November 30, 2019. The report concluded that the Program has been implemented and is operating effectively and is reasonably designed to assess and manage the Fund’s liquidity risk.
ASD-ANN-0720
1.934458.108
Strategic Advisers® Fidelity® Core Income Fund
Offered exclusively to certain clients of Strategic Advisers LLC - not available for sale to the general public
May 31, 2020
See the inside front cover for important information about access to your fund’s shareholder reports.
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of a fund’s shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the fund or from your financial intermediary, such as a financial advisor, broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from a fund electronically, by contacting your financial intermediary. For Fidelity customers, visit Fidelity's web site or call Fidelity using the contact information listed below.
You may elect to receive all future reports in paper free of charge. If you wish to continue receiving paper copies of your shareholder reports, you may contact your financial intermediary or, if you are a Fidelity customer, visit Fidelity’s website, or call Fidelity at the applicable toll-free number listed below. Your election to receive reports in paper will apply to all funds held with the fund complex/your financial intermediary.
Account Type | Website | Phone Number |
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Contents
To view a fund's proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
You may also call 1-800-544-3455 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2020 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
Note to Shareholders:
Early in 2020, the outbreak and spread of a new coronavirus emerged as a public health emergency that had a major influence on financial markets, primarily based on its impact on the global economy and the outlook for corporate earnings. The virus causes a respiratory disease known as COVID-19. On March 11, the World Health Organization declared the COVID-19 outbreak a pandemic, citing sustained risk of further global spread.
In the weeks following, as the crisis worsened, we witnessed an escalating human tragedy with wide-scale social and economic consequences from coronavirus-containment measures. The outbreak of COVID-19 prompted a number of measures to limit the spread, including travel and border restrictions, quarantines, and restrictions on large gatherings. In turn, these resulted in lower consumer activity, diminished demand for a wide range of products and services, disruption in manufacturing and supply chains, and – given the wide variability in outcomes regarding the outbreak – significant market uncertainty and volatility. Amid the turmoil, 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.
The situation continues to unfold, and the extent and duration of its impact on financial markets and the economy remain highly uncertain. Extreme events such as the coronavirus crisis are “exogenous shocks” that can have significant adverse effects on mutual funds and their investments. Although multiple asset classes may be affected by market disruption, the duration and impact may not be the same for all types of assets.
Fidelity is committed to helping you stay informed amid news about COVID-19 and during increased market volatility, and we’re taking extra steps to be responsive to customer needs. We encourage you to visit our websites, where we offer ongoing updates, commentary, and analysis on the markets and our funds.
Performance: The Bottom Line
Average annual total return reflects the change in the value of an investment, assuming reinvestment of distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year. The hypothetical investment and the average annual total returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund’s total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.
Average Annual Total Returns
For the periods ended May 31, 2020 | Past 1 year | Life of fundA |
Strategic Advisers® Fidelity® Core Income Fund | 8.94% | 9.64% |
A From October 16, 2018
The chart shows how the value of your investment would have changed, and also shows how the Bloomberg Barclays U.S. Aggregate Bond Index performed over the same period.
Period Ending Values | ||
$11,613 | Strategic Advisers® Fidelity® Core Income Fund | |
$11,721 | Bloomberg Barclays U.S. Aggregate Bond Index |
Management's Discussion of Fund Performance
Market Recap: U.S. taxable investment-grade bonds posted robust gains for the year ending May 31, 2020, with the Bloomberg Barclays U.S. Aggregate Bond Index advancing 9.42%. From June through October, bonds broadly rode a wave of easing monetary policy, with the Federal Reserve lowering short-term interest rates 75 basis points (0.75%) by year-end. Most bonds came under some pressure in the fourth quarter of 2019, given comments from the Fed that seemingly set a high bar for additional rate cuts. U.S. bonds rebounded strongly in January on renewed demand for safe-haven assets, as the spread of coronavirus threatened to hamper global economic growth. In February and March, U.S. Treasuries continued to surge, while riskier segments—led by corporate debt—largely retreated as a recession took hold. A historically rapid and expansive monetary/fiscal-policy response provided a partial offset to the economic disruption. This was evident in April and May, when credit-sensitive segments of the market rebounded strongly on improving infection data, plans for reopening the economy and progress on potential treatments. Within the bellwether index, U.S. Treasuries (+11.36%) led the way for the period, while corporate bonds produced a similarly hearty 10.03% return. Meanwhile, securitized sectors lagged the market despite gaining ground: agency mortgage-backed securities (+6.53%); commercial mortgage-backed securities (+6.18%); and asset-backed securities (+4.01%). Outside the index, U.S. corporate high-yield bonds gained 1.32%, while Treasury Inflation-Protected Securities (TIPS) rose 8.00%, according to Bloomberg Barclays.Comments from Portfolio Manager Jonathan Duggan: For the fiscal year, the Fund gained 8.94%, trailing the 9.42% advance of the benchmark Bloomberg Barclays U.S. Aggregate Bond Index. For the period as a whole, the portfolio had an underweighted allocation in corporate credit and its interest rate sensitivity was below that of the benchmark, all of which dampened relative performance. During the second half of 2019 and into 2020, I added funds investing in U.S. Treasuries and government-agency mortgage-backed securities (MBS), while cutting exposure to investment-grade credit. These moves reduced the Fund's credit risk, but not enough to fully offset the impact of the coronavirus-fueled downturn that occurred in March. Following the market selloff, I decreased the Fund's U.S. Treasuries allocation and used the proceeds to substantially boost our exposure to strategies emphasizing corporate bonds, which helped the Fund rally strongly in April and May. Fidelity® SAI® Total Bond Fund (+7%) – which pursues a multisector strategy and was the largest investment – also was the biggest detractor versus the benchmark. The fund's lower-than-benchmark duration and high-yield holdings worked against the broader portfolio's relative result. A small position in Fidelity® Floating Rate High Income Fund (-3%) also hampered relative performance, as high-yield bank loans significantly underperformed the investment-grade fixed-income market as a whole. On the plus side, two Fidelity SAI funds that concentrate on intermediate- and long-term U.S. Treasuries added considerable value the past 12 months. Also, the Core Investment Grade strategy managed by FIAM® (+10%) contributed due to an overweighting in corporate credit, an underweighting in MBS and solid bond selection. Looking ahead, we are optimistic about a recovery in the U.S. economy during the second half of this year and into 2021. At the same time, we remain cognizant of key risk factors, including U.S. elections later this year.The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
Investment Summary (Unaudited)
The information in the following tables is based on the direct investments of the Fund.Top Ten Holdings as of May 31, 2020
(by issuer, excluding cash equivalents) | % of fund's net assets |
Fidelity SAI Total Bond Fund | 37.2 |
Uniform Mortgage Backed Securities | 7.1 |
U.S. Treasury Obligations | 6.5 |
Fannie Mae | 5.3 |
Fidelity SAI Long-Term Treasury Bond Index Fund | 4.5 |
Ginnie Mae | 2.9 |
Freddie Mac | 2.6 |
Fidelity Floating Rate High Income Fund | 2.3 |
Fidelity Corporate Bond Fund | 2.0 |
Fidelity New Markets Income Fund | 1.8 |
Asset Allocation (% of fund's net assets)
As of May 31, 2020 | ||
Corporate Bonds | 18.7% | |
U.S. Government and U.S. Government Agency Obligations | 26.6% | |
Asset-Backed Securities | 2.4% | |
CMOs and Other Mortgage Related Securities | 2.8% | |
Municipal Securities | 0.2% | |
Bank Loan Funds | 2.3% | |
High Yield Fixed-Income Funds | 2.5% | |
Intermediate-Term Bond Funds | 37.8% | |
Investment Grade Fixed-Income Funds | 2.0% | |
Long Government Bond Funds | 4.5% | |
Sector Funds | 0.5% | |
Other Investments | 0.3% | |
Short-Term Investments and Net Other Assets (Liabilities)* | (0.6)% |
* 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 May 31, 2020
Showing Percentage of Net Assets
Nonconvertible Bonds - 18.7% | |||
Principal Amount | Value | ||
COMMUNICATION SERVICES - 2.2% | |||
Diversified Telecommunication Services - 0.8% | |||
AT&T, Inc.: | |||
3.6% 2/17/23 | $4,947,000 | $5,257,132 | |
4.1% 2/15/28 | 2,406,000 | 2,686,025 | |
4.3% 2/15/30 | 3,992,000 | 4,535,953 | |
4.45% 4/1/24 | 479,000 | 529,672 | |
4.5% 3/9/48 | 33,904,000 | 38,591,459 | |
4.75% 5/15/46 | 41,310,000 | 48,161,394 | |
4.9% 6/15/42 | 6,909,000 | 7,896,685 | |
5.55% 8/15/41 | 12,537,000 | 15,695,932 | |
6.2% 3/15/40 | 2,303,000 | 3,060,481 | |
C&W Senior Financing Designated Activity Co.: | |||
6.875% 9/15/27 (a) | 1,246,000 | 1,229,416 | |
7.5% 10/15/26 (a) | 1,565,000 | 1,596,300 | |
Century Telephone Enterprises, Inc. 6.875% 1/15/28 | 40,000 | 41,800 | |
CenturyLink, Inc.: | |||
5.125% 12/15/26 (a) | 1,185,000 | 1,196,850 | |
5.625% 4/1/25 | 415,000 | 427,450 | |
Level 3 Financing, Inc.: | |||
5.25% 3/15/26 | 1,028,000 | 1,063,980 | |
5.375% 1/15/24 | 2,779,000 | 2,813,738 | |
5.375% 5/1/25 | 613,000 | 629,741 | |
Sable International Finance Ltd. 5.75% 9/7/27 (a) | 2,595,000 | 2,614,463 | |
SFR Group SA: | |||
7.375% 5/1/26 (a) | 1,245,000 | 1,310,363 | |
8.125% 2/1/27 (a) | 325,000 | 357,500 | |
Telecom Italia Capital SA: | |||
6% 9/30/34 | 286,000 | 308,165 | |
6.375% 11/15/33 | 162,000 | 181,035 | |
Telecom Italia SpA 5.303% 5/30/24 (a) | 2,014,000 | 2,109,323 | |
Telenet Finance Luxembourg Notes SARL 5.5% 3/1/28 (a) | 800,000 | 832,000 | |
Verizon Communications, Inc.: | |||
3% 3/22/27 | 2,190,000 | 2,385,170 | |
3.15% 3/22/30 | 3,550,000 | 3,935,087 | |
4% 3/22/50 | 3,635,000 | 4,464,333 | |
4.329% 9/21/28 | 10,293,000 | 12,292,331 | |
4.862% 8/21/46 | 22,754,000 | 30,527,742 | |
5.012% 4/15/49 | 1,323,000 | 1,834,576 | |
198,566,096 | |||
Entertainment - 0.1% | |||
NBCUniversal, Inc.: | |||
4.45% 1/15/43 | 2,043,000 | 2,516,734 | |
5.95% 4/1/41 | 1,429,000 | 2,061,406 | |
Netflix, Inc.: | |||
4.375% 11/15/26 | 395,000 | 419,344 | |
4.875% 4/15/28 | 345,000 | 368,288 | |
4.875% 6/15/30 (a) | 175,000 | 188,930 | |
5.375% 11/15/29 (a) | 285,000 | 316,379 | |
5.875% 11/15/28 | 450,000 | 512,042 | |
6.375% 5/15/29 | 135,000 | 158,288 | |
The Walt Disney Co.: | |||
2.2% 1/13/28 | 10,316,000 | 10,762,598 | |
2.65% 1/13/31 | 13,000,000 | 13,863,668 | |
31,167,677 | |||
Interactive Media & Services - 0.0% | |||
Match Group, Inc. 4.125% 8/1/30 (a) | 170,000 | 166,600 | |
Media - 1.0% | |||
Altice Financing SA: | |||
5% 1/15/28 (a) | 225,000 | 226,898 | |
7.5% 5/15/26 (a) | 819,000 | 862,301 | |
CCO Holdings LLC/CCO Holdings Capital Corp.: | |||
4.5% 8/15/30 (a) | 435,000 | 451,313 | |
5% 2/1/28 (a) | 2,401,000 | 2,514,735 | |
5.125% 5/1/27 (a) | 1,159,000 | 1,216,973 | |
5.375% 5/1/25 (a) | 1,393,000 | 1,431,308 | |
5.5% 5/1/26 (a) | 528,000 | 558,360 | |
5.75% 2/15/26 (a) | 438,000 | 456,694 | |
5.875% 5/1/27 (a) | 697,000 | 730,108 | |
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.: | |||
2.8% 4/1/31 | 25,100,000 | 25,092,752 | |
3.7% 4/1/51 | 20,100,000 | 19,376,786 | |
4.464% 7/23/22 | 5,986,000 | 6,374,835 | |
4.8% 3/1/50 | 10,000,000 | 11,135,309 | |
4.908% 7/23/25 | 4,642,000 | 5,313,616 | |
5.375% 5/1/47 | 41,310,000 | 48,898,696 | |
5.75% 4/1/48 | 18,275,000 | 22,503,886 | |
Comcast Corp.: | |||
3.1% 4/1/25 | 1,028,000 | 1,123,514 | |
3.3% 4/1/27 | 2,776,000 | 3,080,422 | |
3.4% 4/1/30 | 2,848,000 | 3,210,977 | |
3.75% 4/1/40 | 1,000,000 | 1,146,029 | |
3.9% 3/1/38 | 1,096,000 | 1,277,418 | |
4.6% 8/15/45 | 2,885,000 | 3,649,124 | |
4.65% 7/15/42 | 2,578,000 | 3,266,619 | |
CSC Holdings LLC: | |||
5.375% 7/15/23 (a) | 1,258,000 | 1,276,518 | |
5.5% 5/15/26 (a) | 503,000 | 525,484 | |
5.5% 4/15/27 (a) | 564,000 | 596,430 | |
Discovery Communications LLC: | |||
3.625% 5/15/30 | 6,407,000 | 6,768,936 | |
4.65% 5/15/50 | 17,335,000 | 18,427,985 | |
DISH DBS Corp. 5.875% 11/15/24 | 638,000 | 629,891 | |
Fox Corp.: | |||
3.666% 1/25/22 | 902,000 | 940,519 | |
4.03% 1/25/24 | 1,586,000 | 1,743,549 | |
4.709% 1/25/29 | 2,296,000 | 2,683,899 | |
5.476% 1/25/39 | 2,264,000 | 2,903,578 | |
5.576% 1/25/49 | 1,502,000 | 1,989,225 | |
Radiate Holdco LLC/Radiate Financial Service Ltd. 6.625% 2/15/25 (a) | 365,000 | 373,939 | |
Sirius XM Radio, Inc.: | |||
4.625% 7/15/24 (a) | 337,000 | 345,054 | |
5% 8/1/27 (a) | 375,000 | 391,875 | |
5.375% 4/15/25 (a) | 1,110,000 | 1,139,004 | |
5.375% 7/15/26 (a) | 2,275,000 | 2,358,891 | |
Time Warner Cable, Inc.: | |||
4% 9/1/21 | 12,819,000 | 13,138,707 | |
4.5% 9/15/42 | 886,000 | 948,738 | |
5.5% 9/1/41 | 1,530,000 | 1,804,920 | |
5.875% 11/15/40 | 3,289,000 | 4,037,736 | |
6.55% 5/1/37 | 5,846,000 | 7,457,586 | |
6.75% 6/15/39 | 4,614,000 | 6,050,444 | |
7.3% 7/1/38 | 3,785,000 | 5,046,947 | |
Virgin Media Secured Finance PLC 5.5% 8/15/26 (a) | 709,000 | 739,133 | |
Ziggo Bond Co. BV 5.125% 2/28/30 (a) | 540,000 | 553,500 | |
Ziggo BV 5.5% 1/15/27 (a) | 3,220,000 | 3,386,893 | |
250,158,054 | |||
Wireless Telecommunication Services - 0.3% | |||
Intelsat Jackson Holdings SA 8% 2/15/24 (a) | 1,445,000 | 1,459,450 | |
Millicom International Cellular SA: | |||
5.125% 1/15/28 (a) | 1,200,000 | 1,194,060 | |
6% 3/15/25 (a) | 240,000 | 242,700 | |
6.625% 10/15/26 (a) | 1,253,000 | 1,313,301 | |
Neptune Finco Corp.: | |||
6.625% 10/15/25 (a) | 4,701,000 | 4,914,190 | |
10.875% 10/15/25 (a) | 55,000 | 59,549 | |
SoftBank Group Corp. 5.375% 7/30/22 (Reg. S) | 543,000 | 560,648 | |
Sprint Communications, Inc. 6% 11/15/22 | 2,100,000 | 2,231,250 | |
Sprint Corp. 7.875% 9/15/23 | 600,000 | 681,000 | |
T-Mobile U.S.A., Inc.: | |||
3.75% 4/15/27 (a) | 12,750,000 | 13,785,173 | |
3.875% 4/15/30 (a) | 23,877,000 | 25,884,578 | |
4.375% 4/15/40 (a) | 2,340,000 | 2,579,990 | |
4.5% 2/1/26 | 376,000 | 386,479 | |
4.5% 4/15/50 (a) | 4,597,000 | 5,168,545 | |
6.375% 3/1/25 | 2,175,000 | 2,243,099 | |
Ypso Finance BIS SA 6% 2/15/28 (a) | 250,000 | 243,125 | |
62,947,137 | |||
TOTAL COMMUNICATION SERVICES | 543,005,564 | ||
CONSUMER DISCRETIONARY - 1.4% | |||
Automobiles - 0.3% | |||
General Motors Co. 5.4% 10/2/23 | 18,263,000 | 19,291,012 | |
General Motors Financial Co., Inc.: | |||
3.7% 5/9/23 | 8,751,000 | 8,752,867 | |
4.25% 5/15/23 | 1,359,000 | 1,366,491 | |
4.375% 9/25/21 | 5,310,000 | 5,340,655 | |
5.2% 3/20/23 | 11,203,000 | 11,662,627 | |
Volkswagen Group of America Finance LLC: | |||
2.9% 5/13/22 (a) | 10,524,000 | 10,708,781 | |
3.125% 5/12/23 (a) | 9,168,000 | 9,414,557 | |
3.35% 5/13/25 (a) | 14,765,000 | 15,382,635 | |
81,919,625 | |||
Diversified Consumer Services - 0.0% | |||
GEMS MENASA Cayman Ltd. 7.125% 7/31/26 (a) | 765,000 | 682,763 | |
Service Corp. International 5.125% 6/1/29 | 970,000 | 1,045,175 | |
1,727,938 | |||
Hotels, Restaurants & Leisure - 0.1% | |||
1011778 BC Unlimited Liability Co./New Red Finance, Inc.: | |||
4.25% 5/15/24 (a) | 743,000 | 751,610 | |
4.375% 1/15/28 (a) | 670,000 | 658,275 | |
5.75% 4/15/25 (a) | 210,000 | 223,062 | |
Aramark Services, Inc.: | |||
4.75% 6/1/26 | 843,000 | 830,355 | |
5% 2/1/28 (a) | 2,230,000 | 2,196,550 | |
6.375% 5/1/25 (a) | 705,000 | 737,987 | |
Caesars Resort Collection LLC 5.25% 10/15/25 (a) | 836,000 | 743,518 | |
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp.: | |||
4.625% 4/1/25 | 836,000 | 829,730 | |
4.875% 4/1/27 | 164,000 | 162,770 | |
KFC Holding Co./Pizza Hut Holding LLC 5% 6/1/24 (a) | 836,000 | 855,721 | |
McDonald's Corp.: | |||
3.3% 7/1/25 | 1,059,000 | 1,169,825 | |
3.5% 7/1/27 | 3,014,000 | 3,369,555 | |
3.6% 7/1/30 | 3,587,000 | 4,059,126 | |
4.2% 4/1/50 | 1,814,000 | 2,145,964 | |
MCE Finance Ltd. 4.875% 6/6/25 (a) | 750,000 | 740,577 | |
MGM Mirage, Inc.: | |||
5.75% 6/15/25 | 820,000 | 817,950 | |
6% 3/15/23 | 606,000 | 607,388 | |
Starbucks Corp. 1.3% 5/7/22 | 5,502,000 | 5,574,444 | |
Twin River Worldwide Holdings, Inc. 6.75% 6/1/27 (a) | 360,000 | 335,700 | |
Wyndham Hotels & Resorts, Inc. 5.375% 4/15/26 (a) | 478,000 | 454,162 | |
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.: | |||
5.25% 5/15/27 (a) | 1,117,000 | 1,036,018 | |
5.5% 3/1/25 (a) | 700,000 | 678,563 | |
Wynn Macau Ltd.: | |||
4.875% 10/1/24 (a) | 762,000 | 753,666 | |
5.5% 10/1/27 (a) | 425,000 | 423,805 | |
Yum! Brands, Inc. 7.75% 4/1/25 (a) | 805,000 | 889,525 | |
31,045,846 | |||
Household Durables - 0.2% | |||
Lennar Corp.: | |||
4.75% 11/29/27 | 9,429,000 | 10,277,610 | |
5% 6/15/27 | 12,243,000 | 13,191,833 | |
5.25% 6/1/26 | 2,965,000 | 3,187,375 | |
Toll Brothers Finance Corp.: | |||
4.35% 2/15/28 | 14,431,000 | 14,719,620 | |
4.875% 11/15/25 | 45,000 | 47,372 | |
4.875% 3/15/27 | 15,464,000 | 16,275,860 | |
5.625% 1/15/24 | 950,000 | 1,007,000 | |
58,706,670 | |||
Leisure Products - 0.1% | |||
Hasbro, Inc.: | |||
2.6% 11/19/22 | 2,845,000 | 2,914,662 | |
3% 11/19/24 | 6,474,000 | 6,599,516 | |
Mattel, Inc. 6.75% 12/31/25 (a) | 355,000 | 370,088 | |
9,884,266 | |||
Multiline Retail - 0.0% | |||
Target Corp.: | |||
2.25% 4/15/25 | 2,938,000 | 3,131,441 | |
2.65% 9/15/30 | 2,547,000 | 2,769,756 | |
5,901,197 | |||
Specialty Retail - 0.6% | |||
AutoNation, Inc. 4.75% 6/1/30 | 1,430,000 | 1,488,793 | |
AutoZone, Inc.: | |||
3.625% 4/15/25 | 2,041,000 | 2,241,474 | |
4% 4/15/30 | 19,121,000 | 21,523,051 | |
Lowe's Companies, Inc.: | |||
4% 4/15/25 | 2,745,000 | 3,103,082 | |
4.5% 4/15/30 | 6,744,000 | 8,112,932 | |
5% 4/15/40 | 13,952,000 | 17,809,371 | |
5.125% 4/15/50 | 22,864,000 | 30,778,225 | |
O'Reilly Automotive, Inc. 4.2% 4/1/30 | 2,105,000 | 2,375,432 | |
The Home Depot, Inc.: | |||
2.5% 4/15/27 | 1,347,000 | 1,466,897 | |
2.7% 4/15/30 | 2,506,000 | 2,735,200 | |
3.3% 4/15/40 | 3,065,000 | 3,423,139 | |
3.35% 4/15/50 | 1,723,000 | 1,947,344 | |
TJX Companies, Inc.: | |||
3.5% 4/15/25 | 3,342,000 | 3,733,839 | |
3.75% 4/15/27 | 7,767,000 | 8,812,996 | |
3.875% 4/15/30 | 14,400,000 | 16,911,896 | |
4.5% 4/15/50 | 9,275,000 | 11,755,956 | |
138,219,627 | |||
Textiles, Apparel & Luxury Goods - 0.1% | |||
NIKE, Inc.: | |||
2.4% 3/27/25 | 1,249,000 | 1,339,833 | |
2.75% 3/27/27 | 2,810,000 | 3,072,454 | |
2.85% 3/27/30 | 5,133,000 | 5,703,592 | |
3.25% 3/27/40 | 4,305,000 | 4,801,251 | |
3.375% 3/27/50 | 3,380,000 | 3,907,793 | |
The William Carter Co. 5.625% 3/15/27 (a) | 446,000 | 455,585 | |
Wolverine World Wide, Inc. 6.375% 5/15/25 (a) | 645,000 | 667,575 | |
19,948,083 | |||
TOTAL CONSUMER DISCRETIONARY | 347,353,252 | ||
CONSUMER STAPLES - 1.6% | |||
Beverages - 0.8% | |||
Anheuser-Busch InBev Finance, Inc.: | |||
3.65% 2/1/26 | 8,244,000 | 9,067,881 | |
4.7% 2/1/36 | 6,600,000 | 7,535,540 | |
4.9% 2/1/46 | 14,391,000 | 16,651,123 | |
Anheuser-Busch InBev Worldwide, Inc.: | |||
3.5% 6/1/30 | 10,375,000 | 11,385,600 | |
4.35% 6/1/40 | 6,274,000 | 7,004,026 | |
4.5% 6/1/50 | 11,500,000 | 12,851,657 | |
4.6% 6/1/60 | 18,803,000 | 21,244,556 | |
4.75% 1/23/29 | 11,220,000 | 13,256,352 | |
4.75% 4/15/58 | 5,641,000 | 6,424,588 | |
5.45% 1/23/39 | 5,480,000 | 6,734,750 | |
5.55% 1/23/49 | 13,389,000 | 16,787,266 | |
5.8% 1/23/59 (Reg. S) | 14,304,000 | 18,829,026 | |
Constellation Brands, Inc. 4.75% 11/15/24 | 3,799,000 | 4,347,111 | |
PepsiCo, Inc.: | |||
2.625% 3/19/27 | 1,114,000 | 1,218,322 | |
2.75% 3/19/30 | 5,700,000 | 6,298,167 | |
3.5% 3/19/40 | 3,746,000 | 4,481,716 | |
3.625% 3/19/50 | 5,700,000 | 6,829,680 | |
3.875% 3/19/60 | 2,970,000 | 3,724,630 | |
The Coca-Cola Co.: | |||
3.375% 3/25/27 | 7,649,000 | 8,738,405 | |
3.45% 3/25/30 | 5,990,000 | 6,950,326 | |
4.125% 3/25/40 | 3,394,000 | 4,216,227 | |
4.2% 3/25/50 | 6,338,000 | 8,190,426 | |
202,767,375 | |||
Food & Staples Retailing - 0.5% | |||
ESAL GmbH 6.25% 2/5/23 (a) | 280,000 | 282,660 | |
Sysco Corp.: | |||
5.65% 4/1/25 | 18,573,000 | 21,153,750 | |
5.95% 4/1/30 | 5,150,000 | 6,192,932 | |
6.6% 4/1/40 | 13,806,000 | 17,303,441 | |
6.6% 4/1/50 | 53,060,000 | 68,513,388 | |
U.S. Foods, Inc. 6.25% 4/15/25 (a) | 445,000 | 461,131 | |
Walgreens Boots Alliance, Inc. 3.3% 11/18/21 | 1,926,000 | 1,981,625 | |
115,888,927 | |||
Food Products - 0.2% | |||
Archer Daniels Midland Co.: | |||
2.75% 3/27/25 | 1,766,000 | 1,903,526 | |
3.25% 3/27/30 | 2,937,000 | 3,319,685 | |
Conagra Brands, Inc. 3.8% 10/22/21 | 1,548,000 | 1,608,675 | |
Darling Ingredients, Inc. 5.25% 4/15/27 (a) | 285,000 | 296,400 | |
General Mills, Inc. 2.875% 4/15/30 | 1,277,000 | 1,372,757 | |
H.J. Heinz Co.: | |||
3.875% 5/15/27 (a) | 560,000 | 585,061 | |
4.25% 3/1/31 (a) | 525,000 | 558,638 | |
4.375% 6/1/46 | 11,995,000 | 11,208,889 | |
4.875% 10/1/49 (a) | 10,000,000 | 9,821,072 | |
5.2% 7/15/45 | 6,203,000 | 6,360,902 | |
H.J. Heinz Finance Co. 7.125% 8/1/39 (a) | 9,489,000 | 11,632,116 | |
JBS U.S.A. LLC/JBS U.S.A. Finance, Inc.: | |||
5.75% 6/15/25 (a) | 2,236,000 | 2,291,900 | |
5.875% 7/15/24 (a) | 2,434,000 | 2,473,553 | |
6.75% 2/15/28 (a) | 269,000 | 291,144 | |
JBS U.S.A. Lux SA / JBS Food Co.: | |||
5.5% 1/15/30 (a) | 710,000 | 736,625 | |
6.5% 4/15/29 (a) | 1,956,000 | 2,127,150 | |
Lamb Weston Holdings, Inc. 4.875% 5/15/28 (a) | 825,000 | 863,940 | |
57,452,033 | |||
Household Products - 0.0% | |||
Kimberly-Clark Corp. 3.1% 3/26/30 | 720,000 | 822,275 | |
Procter & Gamble Co.: | |||
2.8% 3/25/27 | 1,441,000 | 1,598,530 | |
3% 3/25/30 | 3,454,000 | 3,957,868 | |
3.55% 3/25/40 | 2,491,000 | 3,005,433 | |
3.6% 3/25/50 | 2,416,000 | 3,033,340 | |
12,417,446 | |||
Personal Products - 0.1% | |||
Estee Lauder Companies, Inc.: | |||
2.6% 4/15/30 | 7,880,000 | 8,518,671 | |
3.125% 12/1/49 | 5,608,000 | 5,944,256 | |
14,462,927 | |||
TOTAL CONSUMER STAPLES | 402,988,708 | ||
ENERGY - 1.6% | |||
Energy Equipment & Services - 0.0% | |||
El Paso Pipeline Partners Operating Co. LLC 5% 10/1/21 | 1,456,000 | 1,510,509 | |
Jonah Energy LLC 7.25% 10/15/25 (a) | 301,000 | 15,050 | |
Summit Midstream Holdings LLC 5.5% 8/15/22 | 600,000 | 288,000 | |
1,813,559 | |||
Oil, Gas & Consumable Fuels - 1.6% | |||
Alberta Energy Co. Ltd. 8.125% 9/15/30 | 5,649,000 | 5,143,106 | |
Amerada Hess Corp.: | |||
7.125% 3/15/33 | 1,403,000 | 1,525,268 | |
7.3% 8/15/31 | 1,709,000 | 1,834,978 | |
7.875% 10/1/29 | 4,789,000 | 5,298,577 | |
Canadian Natural Resources Ltd.: | |||
3.45% 11/15/21 | 2,648,000 | 2,690,874 | |
5.85% 2/1/35 | 2,024,000 | 2,179,913 | |
Cenovus Energy, Inc. 4.25% 4/15/27 | 6,131,000 | 5,564,408 | |
Cheniere Energy Partners LP: | |||
5.25% 10/1/25 | 4,295,000 | 4,337,950 | |
5.625% 10/1/26 | 730,000 | 742,994 | |
Chesapeake Energy Corp.: | |||
7% 10/1/24 | 210,000 | 7,875 | |
8% 6/15/27 | 1,005,000 | 15,075 | |
Columbia Pipeline Group, Inc.: | |||
3.3% 6/1/20 | 2,797,000 | 2,797,000 | |
4.5% 6/1/25 | 852,000 | 956,023 | |
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.: | |||
5.625% 5/1/27 (a) | 600,000 | 522,000 | |
5.75% 4/1/25 | 1,671,000 | 1,554,030 | |
6.25% 4/1/23 | 750,000 | 714,375 | |
CVR Energy, Inc.: | |||
5.25% 2/15/25 (a) | 790,000 | 711,000 | |
5.75% 2/15/28 (a) | 105,000 | 93,319 | |
DCP Midstream LLC: | |||
4.75% 9/30/21 (a) | 2,233,000 | 2,188,340 | |
5.85% 5/21/43 (a)(b) | 4,466,000 | 2,802,415 | |
DCP Midstream Operating LP: | |||
3.875% 3/15/23 | 3,116,000 | 2,944,620 | |
5.125% 5/15/29 | 850,000 | 773,500 | |
5.375% 7/15/25 | 1,605,000 | 1,552,147 | |
5.6% 4/1/44 | 2,703,000 | 1,973,190 | |
Denbury Resources, Inc.: | |||
7.75% 2/15/24 (a) | 770,000 | 315,700 | |
9.25% 3/31/22 (a) | 70,000 | 28,000 | |
EG Global Finance PLC: | |||
6.75% 2/7/25 (a) | 530,000 | 536,514 | |
8.5% 10/30/25 (a) | 910,000 | 948,675 | |
El Paso Corp. 6.5% 9/15/20 | 7,470,000 | 7,539,409 | |
Enable Midstream Partners LP 3.9% 5/15/24 (b) | 869,000 | 788,634 | |
Enbridge Energy Partners LP 4.2% 9/15/21 | 2,622,000 | 2,702,927 | |
Enbridge, Inc.: | |||
4% 10/1/23 | 3,854,000 | 4,152,134 | |
4.25% 12/1/26 | 1,461,000 | 1,616,659 | |
Encana Corp. 5.15% 11/15/41 | 3,000,000 | 1,821,843 | |
Energy Transfer Partners LP: | |||
3.75% 5/15/30 | 3,643,000 | 3,591,417 | |
4.2% 9/15/23 | 1,203,000 | 1,250,658 | |
4.25% 3/15/23 | 1,393,000 | 1,444,535 | |
4.5% 4/15/24 | 1,576,000 | 1,660,592 | |
4.95% 6/15/28 | 4,103,000 | 4,322,296 | |
5% 5/15/50 | 7,800,000 | 7,473,295 | |
5.25% 4/15/29 | 2,564,000 | 2,746,516 | |
5.8% 6/15/38 | 2,288,000 | 2,359,716 | |
6% 6/15/48 | 1,490,000 | 1,574,205 | |
6.25% 4/15/49 | 1,761,000 | 1,911,412 | |
Global Partners LP/GLP Finance Corp. 7% 8/1/27 | 1,200,000 | 1,043,640 | |
Hess Corp.: | |||
4.3% 4/1/27 | 1,341,000 | 1,349,203 | |
5.6% 2/15/41 | 2,100,000 | 2,083,667 | |
5.8% 4/1/47 | 5,019,000 | 5,040,338 | |
Hess Midstream Partners LP: | |||
5.125% 6/15/28 (a) | 780,000 | 737,100 | |
5.625% 2/15/26 (a) | 1,503,000 | 1,450,395 | |
Hilcorp Energy I LP/Hilcorp Finance Co. 5% 12/1/24 (a) | 542,000 | 476,960 | |
Holly Energy Partners LP/Holly Energy Finance Corp. 5% 2/1/28 (a) | 910,000 | 896,350 | |
Kinder Morgan Energy Partners LP 3.45% 2/15/23 | 2,000,000 | 2,091,969 | |
Kinder Morgan, Inc. 5.55% 6/1/45 | 3,046,000 | 3,730,466 | |
Marathon Petroleum Corp. 5.125% 3/1/21 | 1,583,000 | 1,619,299 | |
MPLX LP: | |||
3 month U.S. LIBOR + 0.900% 1.8989% 9/9/21 (b)(c) | 2,253,000 | 2,180,386 | |
3 month U.S. LIBOR + 1.100% 2.0989% 9/9/22 (b)(c) | 3,392,000 | 3,202,745 | |
4.8% 2/15/29 | 1,376,000 | 1,500,189 | |
4.875% 12/1/24 | 1,974,000 | 2,117,751 | |
5.5% 2/15/49 | 4,129,000 | 4,674,524 | |
Occidental Petroleum Corp.: | |||
2.6% 8/13/21 | 2,203,000 | 2,121,489 | |
2.7% 8/15/22 | 1,947,000 | 1,780,921 | |
2.9% 8/15/24 | 6,978,000 | 5,547,510 | |
3.125% 2/15/22 | 4,013,000 | 3,757,532 | |
3.2% 8/15/26 | 865,000 | 631,191 | |
3.4% 4/15/26 | 115,000 | 84,813 | |
3.5% 8/15/29 | 2,726,000 | 1,833,235 | |
4.3% 8/15/39 | 562,000 | 332,985 | |
4.4% 4/15/46 | 235,000 | 141,294 | |
4.4% 8/15/49 | 3,717,000 | 2,202,323 | |
4.85% 3/15/21 | 1,251,000 | 1,225,980 | |
5.55% 3/15/26 | 5,689,000 | 4,835,650 | |
6.2% 3/15/40 | 160,000 | 109,200 | |
6.45% 9/15/36 | 4,975,000 | 3,569,563 | |
6.6% 3/15/46 | 4,886,000 | 3,395,770 | |
7.5% 5/1/31 | 7,400,000 | 6,068,000 | |
PBF Holding Co. LLC/PBF Finance Corp. 9.25% 5/15/25 (a) | 665,000 | 720,009 | |
Petrobras Global Finance BV 7.25% 3/17/44 | 27,432,000 | 28,416,809 | |
Petroleos Mexicanos: | |||
6.35% 2/12/48 | 1,560,000 | 1,137,581 | |
6.49% 1/23/27 (a) | 3,630,000 | 3,189,863 | |
6.5% 3/13/27 | 4,256,000 | 3,758,580 | |
6.75% 9/21/47 | 22,490,000 | 17,457,863 | |
6.84% 1/23/30 (a) | 15,264,000 | 13,050,625 | |
6.95% 1/28/60 (a) | 7,166,000 | 5,474,824 | |
7.69% 1/23/50 (a) | 52,206,000 | 43,461,495 | |
Phillips 66 Co.: | |||
3.7% 4/6/23 | 860,000 | 918,919 | |
3.85% 4/9/25 | 1,108,000 | 1,219,224 | |
Plains All American Pipeline LP/PAA Finance Corp.: | |||
3.55% 12/15/29 | 1,968,000 | 1,858,743 | |
3.6% 11/1/24 | 1,903,000 | 1,901,638 | |
3.65% 6/1/22 | 3,779,000 | 3,786,675 | |
QEP Resources, Inc. 5.25% 5/1/23 | 836,000 | 445,170 | |
Regency Energy Partners LP/Regency Energy Finance Corp. 5.875% 3/1/22 | 2,000,000 | 2,106,743 | |
Sabine Pass Liquefaction LLC 4.5% 5/15/30 (a) | 14,626,000 | 16,009,697 | |
Sunoco Logistics Partner Operations LP 5.4% 10/1/47 | 1,732,000 | 1,720,446 | |
Sunoco LP/Sunoco Finance Corp.: | |||
4.875% 1/15/23 | 35,000 | 35,514 | |
5.5% 2/15/26 | 1,315,000 | 1,321,575 | |
5.875% 3/15/28 | 135,000 | 136,688 | |
6% 4/15/27 | 15,000 | 15,397 | |
Targa Resources Partners LP/Targa Resources Partners Finance Corp.: | |||
4.25% 11/15/23 | 516,000 | 504,488 | |
5.125% 2/1/25 | 953,000 | 949,140 | |
5.375% 2/1/27 | 128,000 | 127,200 | |
5.875% 4/15/26 | 881,000 | 896,418 | |
The Williams Companies, Inc.: | |||
3.5% 11/15/30 | 15,742,000 | 16,486,650 | |
3.7% 1/15/23 | 808,000 | 842,391 | |
4.55% 6/24/24 | 8,829,000 | 9,571,390 | |
Transcontinental Gas Pipe Line Co. LLC: | |||
3.25% 5/15/30 (a) | 1,873,000 | 1,993,154 | |
3.95% 5/15/50 (a) | 6,066,000 | 6,437,837 | |
Valero Energy Corp.: | |||
2.7% 4/15/23 | 3,084,000 | 3,190,855 | |
2.85% 4/15/25 | 1,774,000 | 1,864,994 | |
Viper Energy Partners LP 5.375% 11/1/27 (a) | 600,000 | 595,500 | |
Western Gas Partners LP: | |||
3.1% 2/1/25 | 245,000 | 228,002 | |
3.95% 6/1/25 | 1,280,000 | 1,190,016 | |
4% 7/1/22 | 125,000 | 122,890 | |
4.05% 2/1/30 | 410,000 | 367,852 | |
4.65% 7/1/26 | 2,775,000 | 2,588,298 | |
4.75% 8/15/28 | 1,236,000 | 1,118,580 | |
5.25% 2/1/50 | 90,000 | 72,873 | |
5.3% 3/1/48 | 240,000 | 187,200 | |
5.375% 6/1/21 | 4,807,000 | 4,746,913 | |
Williams Partners LP: | |||
4% 11/15/21 | 1,425,000 | 1,467,344 | |
4.125% 11/15/20 | 474,000 | 475,293 | |
4.3% 3/4/24 | 1,992,000 | 2,141,968 | |
5.1% 9/15/45 | 9,765,000 | 10,952,180 | |
386,804,056 | |||
TOTAL ENERGY | 388,617,615 | ||
FINANCIALS - 7.8% | |||
Banks - 3.8% | |||
Bank of America Corp.: | |||
3.004% 12/20/23 (b) | 10,687,000 | 11,166,959 | |
3.3% 1/11/23 | 2,658,000 | 2,813,110 | |
3.419% 12/20/28 (b) | 5,193,000 | 5,650,147 | |
3.5% 4/19/26 | 6,078,000 | 6,735,192 | |
3.95% 4/21/25 | 37,660,000 | 41,147,266 | |
4% 1/22/25 | 26,856,000 | 29,311,278 | |
4.1% 7/24/23 | 1,426,000 | 1,559,260 | |
4.183% 11/25/27 | 6,909,000 | 7,750,251 | |
4.2% 8/26/24 | 8,311,000 | 9,165,582 | |
4.25% 10/22/26 | 38,178,000 | 42,863,203 | |
4.45% 3/3/26 | 6,522,000 | 7,344,957 | |
Banque Federative du Credit Mutuel SA 3 month U.S. LIBOR + 0.730% 1.8653% 7/20/22 (a)(b)(c) | 8,158,000 | 8,164,130 | |
Barclays Bank PLC: | |||
1.7% 5/12/22 | 5,246,000 | 5,317,645 | |
10.179% 6/12/21 (a) | 1,750,000 | 1,893,483 | |
Barclays PLC: | |||
2.852% 5/7/26 (b) | 14,944,000 | 15,309,807 | |
4.375% 1/12/26 | 4,468,000 | 4,914,085 | |
4.836% 5/9/28 | 6,102,000 | 6,565,637 | |
5.088% 6/20/30 (b) | 29,218,000 | 32,560,860 | |
5.2% 5/12/26 | 1,556,000 | 1,708,021 | |
BPCE SA 4.875% 4/1/26 (a) | 7,383,000 | 8,187,938 | |
Capital One NA 2.15% 9/6/22 | 5,537,000 | 5,606,791 | |
CIT Group, Inc.: | |||
4.75% 2/16/24 | 2,520,000 | 2,524,712 | |
6.125% 3/9/28 | 4,920,000 | 5,092,200 | |
Citigroup, Inc.: | |||
2.7% 10/27/22 | 32,935,000 | 34,110,863 | |
3.352% 4/24/25 (b) | 6,844,000 | 7,280,820 | |
4.05% 7/30/22 | 1,320,000 | 1,395,254 | |
4.075% 4/23/29 (b) | 4,606,000 | 5,143,699 | |
4.125% 7/25/28 | 6,909,000 | 7,583,434 | |
4.3% 11/20/26 | 1,766,000 | 1,965,466 | |
4.4% 6/10/25 | 19,341,000 | 21,393,990 | |
4.412% 3/31/31 (b) | 34,201,000 | 39,390,508 | |
4.45% 9/29/27 | 21,445,000 | 23,840,805 | |
4.5% 1/14/22 | 3,193,000 | 3,374,043 | |
4.6% 3/9/26 | 17,445,000 | 19,536,127 | |
5.3% 5/6/44 | 9,501,000 | 12,052,816 | |
5.5% 9/13/25 | 7,738,000 | 9,051,060 | |
Citizens Financial Group, Inc.: | |||
4.15% 9/28/22 (a) | 3,130,000 | 3,265,720 | |
4.3% 12/3/25 | 6,411,000 | 7,001,181 | |
Comerica, Inc. 3.7% 7/31/23 | 14,084,000 | 15,056,226 | |
Commonwealth Bank of Australia 3.61% 9/12/34 (a)(b) | 3,723,000 | 3,851,419 | |
Credit Suisse Group Funding Guernsey Ltd.: | |||
3.75% 3/26/25 | 9,717,000 | 10,551,708 | |
3.8% 9/15/22 | 4,767,000 | 5,032,339 | |
3.8% 6/9/23 | 6,892,000 | 7,316,395 | |
4.55% 4/17/26 | 3,126,000 | 3,545,957 | |
Fifth Third Bancorp 8.25% 3/1/38 | 1,098,000 | 1,648,793 | |
HSBC Holdings PLC: | |||
4.25% 3/14/24 | 1,433,000 | 1,526,582 | |
4.95% 3/31/30 | 2,548,000 | 2,991,382 | |
5.25% 3/14/44 | 1,039,000 | 1,272,192 | |
Huntington Bancshares, Inc. 7% 12/15/20 | 736,000 | 757,880 | |
Intesa Sanpaolo SpA: | |||
5.017% 6/26/24 (a) | 10,324,000 | 10,351,996 | |
5.71% 1/15/26 (a) | 29,145,000 | 29,974,183 | |
JPMorgan Chase & Co.: | |||
2.95% 10/1/26 | 3,081,000 | 3,321,568 | |
2.956% 5/13/31 (b) | 7,934,000 | 8,168,022 | |
3.797% 7/23/24 (b) | 9,901,000 | 10,639,499 | |
3.875% 9/10/24 | 6,291,000 | 6,913,163 | |
4.125% 12/15/26 | 25,341,000 | 28,598,018 | |
4.35% 8/15/21 | 8,482,000 | 8,875,533 | |
4.625% 5/10/21 | 1,251,000 | 1,298,903 | |
Rabobank Nederland 4.375% 8/4/25 | 4,789,000 | 5,305,184 | |
Regions Financial Corp. 2.25% 5/18/25 | 12,128,000 | 12,355,534 | |
Royal Bank of Scotland Group PLC: | |||
3.073% 5/22/28 (b) | 8,707,000 | 8,911,998 | |
4.8% 4/5/26 | 19,815,000 | 22,198,084 | |
5.125% 5/28/24 | 35,958,000 | 38,686,611 | |
6% 12/19/23 | 43,478,000 | 47,903,079 | |
6.1% 6/10/23 | 19,857,000 | 21,683,067 | |
6.125% 12/15/22 | 21,905,000 | 23,646,496 | |
Royal Bank of Scotland PLC 2.375% 5/21/23 (a) | 15,700,000 | 15,834,659 | |
Societe Generale 4.25% 4/14/25 (a) | 7,110,000 | 7,359,719 | |
Synchrony Bank 3% 6/15/22 | 3,984,000 | 3,998,356 | |
UniCredit SpA 6.572% 1/14/22 (a) | 6,953,000 | 7,246,663 | |
Wells Fargo & Co.: | |||
2.406% 10/30/25 (b) | 7,739,000 | 7,943,057 | |
4.3% 7/22/27 | 25,328,000 | 28,505,622 | |
4.478% 4/4/31 (b) | 19,300,000 | 22,547,302 | |
5.013% 4/4/51 (b) | 32,990,000 | 43,404,988 | |
Westpac Banking Corp. 4.11% 7/24/34 (b) | 5,171,000 | 5,560,876 | |
944,521,353 | |||
Capital Markets - 1.8% | |||
Affiliated Managers Group, Inc. 4.25% 2/15/24 | 1,396,000 | 1,502,079 | |
Ares Capital Corp. 4.2% 6/10/24 | 15,463,000 | 14,794,244 | |
Credit Suisse Group AG: | |||
2.593% 9/11/25 (a)(b) | 14,306,000 | 14,628,724 | |
4.194% 4/1/31 (a)(b) | 37,158,000 | 41,212,168 | |
Deutsche Bank AG 4.5% 4/1/25 | 15,769,000 | 15,542,753 | |
Deutsche Bank AG New York Branch: | |||
3.3% 11/16/22 | 7,369,000 | 7,437,673 | |
4.1% 1/13/26 | 8,332,000 | 8,475,642 | |
5% 2/14/22 | 11,778,000 | 12,144,547 | |
Goldman Sachs Group, Inc.: | |||
2.876% 10/31/22 (b) | 10,640,000 | 10,871,136 | |
3.2% 2/23/23 | 5,987,000 | 6,295,790 | |
3.272% 9/29/25 (b) | 35,921,000 | 38,018,850 | |
3.8% 3/15/30 | 20,550,000 | 22,718,486 | |
4.25% 10/21/25 | 12,215,000 | 13,574,393 | |
6.75% 10/1/37 | 59,592,000 | 82,410,273 | |
Intercontinental Exchange, Inc.: | |||
2.75% 12/1/20 | 1,140,000 | 1,153,251 | |
3.75% 12/1/25 | 2,038,000 | 2,306,103 | |
Moody's Corp.: | |||
3.25% 1/15/28 | 2,085,000 | 2,300,326 | |
3.75% 3/24/25 | 8,761,000 | 9,770,131 | |
4.875% 2/15/24 | 1,958,000 | 2,198,207 | |
Morgan Stanley: | |||
3 month U.S. LIBOR + 0.930% 2.0276% 7/22/22 (b)(c) | 3,745,000 | 3,737,061 | |
3.125% 1/23/23 | 5,527,000 | 5,834,759 | |
3.125% 7/27/26 | 14,775,000 | 16,006,862 | |
3.622% 4/1/31 (b) | 17,370,000 | 19,286,494 | |
3.625% 1/20/27 | 16,594,000 | 18,400,943 | |
3.7% 10/23/24 | 4,754,000 | 5,216,433 | |
3.75% 2/25/23 | 3,789,000 | 4,052,719 | |
3.875% 4/29/24 | 4,377,000 | 4,792,106 | |
4.1% 5/22/23 | 7,911,000 | 8,474,077 | |
4.431% 1/23/30 (b) | 5,526,000 | 6,465,191 | |
4.875% 11/1/22 | 9,955,000 | 10,800,008 | |
5% 11/24/25 | 21,351,000 | 24,570,367 | |
5.75% 1/25/21 | 4,669,000 | 4,823,339 | |
MSCI, Inc.: | |||
4.75% 8/1/26 (a) | 900,000 | 938,250 | |
5.375% 5/15/27 (a) | 1,242,000 | 1,335,150 | |
State Street Corp.: | |||
2.825% 3/30/23 (a)(b) | 1,216,000 | 1,257,410 | |
2.901% 3/30/26 (a)(b) | 1,141,000 | 1,226,486 | |
3.152% 3/30/31 (a)(b) | 777,000 | 860,426 | |
445,432,857 | |||
Consumer Finance - 1.1% | |||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust: | |||
2.875% 8/14/24 | 8,576,000 | 7,111,236 | |
3.5% 5/26/22 | 1,452,000 | 1,346,239 | |
4.125% 7/3/23 | 4,250,000 | 3,783,720 | |
4.45% 12/16/21 | 3,670,000 | 3,483,333 | |
4.45% 4/3/26 | 4,254,000 | 3,533,253 | |
4.5% 5/15/21 | 1,333,000 | 1,299,220 | |
4.875% 1/16/24 | 6,629,000 | 5,927,095 | |
5% 10/1/21 | 1,999,000 | 1,924,101 | |
Ally Financial, Inc.: | |||
3.875% 5/21/24 | 9,264,000 | 9,357,474 | |
4.625% 3/30/25 | 3,595,000 | 3,702,850 | |
5.125% 9/30/24 | 4,859,000 | 5,056,421 | |
5.75% 11/20/25 | 1,188,000 | 1,235,520 | |
5.8% 5/1/25 | 9,417,000 | 10,294,853 | |
8% 11/1/31 | 5,369,000 | 6,774,926 | |
Capital One Financial Corp.: | |||
2.6% 5/11/23 | 13,728,000 | 14,096,546 | |
3.65% 5/11/27 | 21,700,000 | 22,642,609 | |
3.8% 1/31/28 | 6,880,000 | 7,227,566 | |
Discover Financial Services: | |||
3.85% 11/21/22 | 2,241,000 | 2,320,977 | |
3.95% 11/6/24 | 1,874,000 | 1,985,074 | |
4.1% 2/9/27 | 17,218,000 | 17,854,894 | |
4.5% 1/30/26 | 5,913,000 | 6,332,791 | |
5.2% 4/27/22 | 1,887,000 | 1,987,608 | |
Ford Motor Credit Co. LLC: | |||
4.063% 11/1/24 | 46,639,000 | 43,840,660 | |
5.085% 1/7/21 | 3,662,000 | 3,620,803 | |
5.584% 3/18/24 | 8,520,000 | 8,474,844 | |
5.596% 1/7/22 | 7,576,000 | 7,557,060 | |
Navient Corp.: | |||
6.5% 6/15/22 | 1,506,000 | 1,478,214 | |
7.25% 1/25/22 | 376,000 | 374,120 | |
7.25% 9/25/23 | 1,246,000 | 1,196,160 | |
Springleaf Finance Corp.: | |||
6.875% 3/15/25 | 935,000 | 923,032 | |
7.125% 3/15/26 | 241,000 | 237,385 | |
Synchrony Financial: | |||
2.85% 7/25/22 | 2,154,000 | 2,114,144 | |
3.75% 8/15/21 | 1,457,000 | 1,479,069 | |
3.95% 12/1/27 | 8,239,000 | 7,880,361 | |
4.25% 8/15/24 | 1,467,000 | 1,466,098 | |
4.375% 3/19/24 | 8,694,000 | 8,774,294 | |
5.15% 3/19/29 | 18,424,000 | 18,851,488 | |
Toyota Motor Credit Corp.: | |||
2.9% 3/30/23 | 13,822,000 | 14,542,387 | |
3% 4/1/25 | 12,643,000 | 13,748,762 | |
3.375% 4/1/30 | 4,103,000 | 4,604,869 | |
280,442,056 | |||
Diversified Financial Services - 0.2% | |||
AXA Equitable Holdings, Inc. 3.9% 4/20/23 | 1,038,000 | 1,095,872 | |
Brixmor Operating Partnership LP: | |||
4.125% 6/15/26 | 5,362,000 | 5,471,444 | |
4.125% 5/15/29 | 19,691,000 | 19,017,538 | |
Icahn Enterprises LP/Icahn Enterprises Finance Corp.: | |||
4.75% 9/15/24 | 740,000 | 714,100 | |
5.25% 5/15/27 | 2,275,000 | 2,166,938 | |
6.25% 5/15/26 | 1,136,000 | 1,141,907 | |
6.375% 12/15/25 | 387,000 | 390,905 | |
MPH Acquisition Holdings LLC 7.125% 6/1/24 (a) | 930,000 | 878,850 | |
Park Aerospace Holdings Ltd. 5.5% 2/15/24 (a) | 7,300,000 | 6,270,486 | |
Pine Str Trust Ii 5.568% 2/15/49 (a) | 7,700,000 | 8,166,889 | |
Pine Street Trust I 4.572% 2/15/29 (a) | 7,749,000 | 8,283,707 | |
Voya Financial, Inc. 3.125% 7/15/24 | 2,503,000 | 2,591,373 | |
56,190,009 | |||
Insurance - 0.9% | |||
AFLAC, Inc. 3.6% 4/1/30 | 4,255,000 | 4,912,651 | |
AIA Group Ltd. 3.375% 4/7/30 (a) | 13,088,000 | 14,094,820 | |
American International Group, Inc.: | |||
2.5% 6/30/25 | 21,700,000 | 22,446,149 | |
3.4% 6/30/30 | 21,700,000 | 22,770,779 | |
4.875% 6/1/22 | 2,648,000 | 2,848,749 | |
Aon Corp. 5% 9/30/20 | 983,000 | 997,032 | |
Five Corners Funding Trust II 2.85% 5/15/30 (a) | 15,870,000 | 16,208,316 | |
Liberty Mutual Group, Inc.: | |||
3.95% 5/15/60 (a) | 12,820,000 | 12,939,609 | |
4.569% 2/1/29 (a) | 2,429,000 | 2,737,817 | |
Lincoln National Corp. 3.4% 1/15/31 | 14,811,000 | 15,451,485 | |
Marsh & McLennan Companies, Inc.: | |||
2.25% 11/15/30 | 4,420,000 | 4,477,237 | |
4.375% 3/15/29 | 4,970,000 | 5,866,946 | |
4.75% 3/15/39 | 2,280,000 | 2,862,802 | |
4.8% 7/15/21 | 1,355,000 | 1,403,290 | |
4.9% 3/15/49 | 4,538,000 | 6,047,083 | |
Metropolitan Life Global Funding I U.S. SOFR SEC OVRN FIN RATE INDX + 0.500% 0.56% 5/28/21 (a)(b)(c) | 33,100,000 | 32,935,584 | |
New York Life Insurance Co. 3.75% 5/15/50 (a) | 3,182,000 | 3,573,082 | |
Pacific LifeCorp 5.125% 1/30/43 (a) | 2,623,000 | 2,793,727 | |
Pricoa Global Funding I 5.375% 5/15/45 (b) | 3,148,000 | 3,242,440 | |
Progressive Corp. 3.2% 3/26/30 | 1,484,000 | 1,666,031 | |
Prudential Financial, Inc. 4.5% 11/16/21 | 1,288,000 | 1,356,488 | |
Swiss Re Finance Luxembourg SA 5% 4/2/49 (a)(b) | 3,000,000 | 3,303,240 | |
Teachers Insurance & Annuity Association of America 3.3% 5/15/50 (a) | 7,316,000 | 7,480,309 | |
TIAA Asset Management Finance LLC 4.125% 11/1/24 (a) | 1,159,000 | 1,274,716 | |
Unum Group: | |||
4% 6/15/29 | 6,130,000 | 6,059,549 | |
4.5% 3/15/25 | 12,980,000 | 13,481,441 | |
5.625% 9/15/20 | 1,914,000 | 1,937,659 | |
5.75% 8/15/42 | 1,622,000 | 1,591,682 | |
216,760,713 | |||
Mortgage Real Estate Investment Trusts - 0.0% | |||
Starwood Property Trust, Inc. 4.75% 3/15/25 | 184,000 | 158,240 | |
Thrifts & Mortgage Finance - 0.0% | |||
Quicken Loans, Inc. 5.25% 1/15/28 (a) | 722,000 | 728,635 | |
TOTAL FINANCIALS | 1,944,233,863 | ||
HEALTH CARE - 1.3% | |||
Biotechnology - 0.0% | |||
AbbVie, Inc. 3.2% 11/21/29 (a) | 4,900,000 | 5,250,142 | |
Health Care Equipment & Supplies - 0.0% | |||
Becton, Dickinson & Co. 2.404% 6/5/20 | 4,308,000 | 4,307,578 | |
Hologic, Inc.: | |||
4.375% 10/15/25 (a) | 350,000 | 357,802 | |
4.625% 2/1/28 (a) | 65,000 | 67,275 | |
Teleflex, Inc.: | |||
4.25% 6/1/28 (a) | 145,000 | 149,350 | |
4.875% 6/1/26 | 2,062,000 | 2,123,860 | |
7,005,865 | |||
Health Care Providers & Services - 0.9% | |||
Anthem, Inc. 3.3% 1/15/23 | 4,322,000 | 4,586,785 | |
Centene Corp.: | |||
3.375% 2/15/30 | 5,275,000 | 5,311,925 | |
4.25% 12/15/27 | 6,480,000 | 6,769,138 | |
4.625% 12/15/29 | 8,795,000 | 9,467,818 | |
4.75% 1/15/25 | 4,500,000 | 4,646,250 | |
5.25% 4/1/25 (a) | 2,168,000 | 2,231,674 | |
5.375% 6/1/26 (a) | 805,000 | 851,288 | |
5.375% 8/15/26 (a) | 2,486,000 | 2,626,235 | |
Cigna Corp.: | |||
3.75% 7/15/23 | 3,531,000 | 3,841,830 | |
4.125% 11/15/25 | 4,327,000 | 4,930,147 | |
4.375% 10/15/28 | 6,630,000 | 7,780,911 | |
4.8% 8/15/38 | 4,128,000 | 5,148,772 | |
4.9% 12/15/48 | 4,124,000 | 5,438,385 | |
CVS Health Corp.: | |||
3% 8/15/26 | 891,000 | 973,196 | |
3.25% 8/15/29 | 2,048,000 | 2,214,338 | |
3.625% 4/1/27 | 3,208,000 | 3,521,013 | |
3.75% 4/1/30 | 9,331,000 | 10,443,114 | |
4.1% 3/25/25 | 27,942,000 | 31,227,844 | |
4.125% 4/1/40 | 4,256,000 | 4,909,772 | |
4.25% 4/1/50 | 14,407,000 | 16,890,803 | |
4.3% 3/25/28 | 12,941,000 | 14,755,770 | |
4.78% 3/25/38 | 5,761,000 | 7,014,605 | |
5.05% 3/25/48 | 25,570,000 | 32,828,107 | |
5.125% 7/20/45 | 4,040,000 | 5,109,115 | |
HCA Holdings, Inc.: | |||
4.75% 5/1/23 | 138,000 | 149,319 | |
5% 3/15/24 | 651,000 | 717,220 | |
5.25% 6/15/26 | 1,599,000 | 1,820,169 | |
Tenet Healthcare Corp.: | |||
4.625% 7/15/24 | 3,152,000 | 3,191,400 | |
4.875% 1/1/26 (a) | 385,000 | 395,668 | |
5.125% 5/1/25 | 669,000 | 678,901 | |
6.25% 2/1/27 (a) | 740,000 | 765,900 | |
7.5% 4/1/25 (a) | 1,195,000 | 1,302,550 | |
Toledo Hospital: | |||
5.325% 11/15/28 | 2,395,000 | 2,498,920 | |
6.015% 11/15/48 | 4,674,000 | 4,988,686 | |
UnitedHealth Group, Inc.: | |||
2.75% 5/15/40 | 3,730,000 | 3,876,325 | |
2.9% 5/15/50 | 3,402,000 | 3,533,658 | |
3.125% 5/15/60 | 4,400,000 | 4,631,158 | |
222,068,709 | |||
Health Care Technology - 0.0% | |||
IMS Health, Inc.: | |||
5% 10/15/26 (a) | 1,449,000 | 1,534,129 | |
5% 5/15/27 (a) | 630,000 | 656,775 | |
2,190,904 | |||
Life Sciences Tools & Services - 0.1% | |||
Charles River Laboratories International, Inc.: | |||
4.25% 5/1/28 (a) | 70,000 | 70,591 | |
5.5% 4/1/26 (a) | 575,000 | 600,409 | |
Thermo Fisher Scientific, Inc.: | |||
4.133% 3/25/25 | 5,366,000 | 6,099,760 | |
4.497% 3/25/30 | 2,758,000 | 3,369,864 | |
10,140,624 | |||
Pharmaceuticals - 0.3% | |||
Bayer U.S. Finance II LLC 4.25% 12/15/25 (a) | 50,548,000 | 56,590,453 | |
Elanco Animal Health, Inc.: | |||
4.662% 8/27/21 (b) | 1,077,000 | 1,095,848 | |
5.022% 8/28/23 (b) | 3,402,000 | 3,592,572 | |
5.65% 8/28/28 (b) | 1,432,000 | 1,582,360 | |
Mylan NV: | |||
3.15% 6/15/21 | 4,013,000 | 4,086,862 | |
3.95% 6/15/26 | 2,065,000 | 2,246,858 | |
Perrigo Finance PLC 3.5% 12/15/21 | 292,000 | 291,160 | |
Teva Pharmaceutical Finance Netherlands III BV 2.2% 7/21/21 | 748,000 | 733,377 | |
Valeant Pharmaceuticals International, Inc. 7% 3/15/24 (a) | 1,874,000 | 1,939,196 | |
Zoetis, Inc. 3.25% 2/1/23 | 1,210,000 | 1,263,209 | |
73,421,895 | |||
TOTAL HEALTH CARE | 320,078,139 | ||
INDUSTRIALS - 0.6% | |||
Aerospace & Defense - 0.2% | |||
BAE Systems PLC 3.4% 4/15/30 (a) | 4,094,000 | 4,435,478 | |
BBA U.S. Holdings, Inc. 5.375% 5/1/26 (a) | 1,556,000 | 1,476,940 | |
BWX Technologies, Inc. 5.375% 7/15/26 (a) | 1,748,000 | 1,796,734 | |
Moog, Inc. 4.25% 12/15/27 (a) | 980,000 | 934,959 | |
The Boeing Co.: | |||
5.04% 5/1/27 | 6,070,000 | 6,444,299 | |
5.15% 5/1/30 | 6,070,000 | 6,481,750 | |
5.705% 5/1/40 | 6,070,000 | 6,643,948 | |
5.805% 5/1/50 | 6,070,000 | 6,870,752 | |
5.93% 5/1/60 | 6,070,000 | 7,026,746 | |
TransDigm, Inc.: | |||
6.25% 3/15/26 (a) | 2,552,000 | 2,609,420 | |
7.5% 3/15/27 | 95,000 | 93,491 | |
8% 12/15/25 (a) | 1,120,000 | 1,209,600 | |
46,024,117 | |||
Air Freight & Logistics - 0.0% | |||
Aercap Global Aviation Trust 6.5% 6/15/45 (a)(b) | 1,446,000 | 1,075,101 | |
XPO Logistics, Inc. 6.25% 5/1/25 (a) | 815,000 | 850,534 | |
1,925,635 | |||
Building Products - 0.0% | |||
Advanced Drain Systems, Inc. 5% 9/30/27 (a) | 965,000 | 965,000 | |
Masco Corp. 4.45% 4/1/25 | 1,041,000 | 1,136,108 | |
2,101,108 | |||
Commercial Services & Supplies - 0.0% | |||
LBC Tank Terminals Holding Netherlands BV 6.875% 5/15/23 (a) | 915,000 | 894,605 | |
Nielsen Co. SARL (Luxembourg) 5% 2/1/25 (a) | 595,000 | 597,231 | |
Nielsen Finance LLC/Nielsen Finance Co. 5% 4/15/22 (a) | 1,100,000 | 1,098,295 | |
2,590,131 | |||
Construction & Engineering - 0.0% | |||
AECOM: | |||
5.125% 3/15/27 | 577,000 | 612,232 | |
5.875% 10/15/24 | 360,000 | 385,812 | |
998,044 | |||
Electrical Equipment - 0.0% | |||
Sensata Technologies BV: | |||
4.875% 10/15/23 (a) | 791,000 | 812,753 | |
5% 10/1/25 (a) | 520,000 | 539,500 | |
1,352,253 | |||
Industrial Conglomerates - 0.2% | |||
3M Co.: | |||
2.65% 4/15/25 | 799,000 | 862,467 | |
3.05% 4/15/30 | 644,000 | 718,626 | |
3.7% 4/15/50 | 795,000 | 958,634 | |
General Electric Co.: | |||
3.45% 5/1/27 | 2,582,000 | 2,556,380 | |
3.625% 5/1/30 | 6,002,000 | 5,935,796 | |
4.25% 5/1/40 | 18,800,000 | 18,307,967 | |
4.35% 5/1/50 | 21,476,000 | 20,864,011 | |
50,203,881 | |||
Machinery - 0.0% | |||
Deere & Co.: | |||
2.75% 4/15/25 | 1,587,000 | 1,720,750 | |
3.1% 4/15/30 | 4,222,000 | 4,741,114 | |
3.75% 4/15/50 | 1,290,000 | 1,556,358 | |
8,018,222 | |||
Professional Services - 0.0% | |||
ASGN, Inc. 4.625% 5/15/28 (a) | 270,000 | 257,275 | |
Road & Rail - 0.1% | |||
Avolon Holdings Funding Ltd.: | |||
3.625% 5/1/22 (a) | 2,141,000 | 1,905,060 | |
3.95% 7/1/24 (a) | 2,844,000 | 2,346,779 | |
4.375% 5/1/26 (a) | 3,481,000 | 2,720,349 | |
5.25% 5/15/24 (a) | 4,186,000 | 3,532,959 | |
CSX Corp. 3.8% 4/15/50 | 2,517,000 | 2,924,666 | |
13,429,813 | |||
Trading Companies & Distributors - 0.1% | |||
Air Lease Corp.: | |||
2.25% 1/15/23 | 1,863,000 | 1,737,619 | |
3% 9/15/23 | 583,000 | 536,225 | |
3.375% 6/1/21 | 1,957,000 | 1,884,567 | |
3.75% 2/1/22 | 2,924,000 | 2,788,980 | |
3.875% 4/1/21 | 2,112,000 | 2,065,438 | |
4.25% 2/1/24 | 7,180,000 | 6,735,536 | |
4.25% 9/15/24 | 2,331,000 | 2,162,748 | |
FLY Leasing Ltd.: | |||
5.25% 10/15/24 | 1,159,000 | 904,020 | |
6.375% 10/15/21 | 464,000 | 406,580 | |
19,221,713 | |||
Transportation Infrastructure - 0.0% | |||
BNSF Funding Trust I 6.613% 12/15/55 (b) | 1,374,000 | 1,415,220 | |
TOTAL INDUSTRIALS | 147,537,412 | ||
INFORMATION TECHNOLOGY - 0.5% | |||
Electronic Equipment & Components - 0.1% | |||
Diamond 1 Finance Corp./Diamond 2 Finance Corp.: | |||
5.45% 6/15/23 (a) | 5,600,000 | 6,012,731 | |
6.02% 6/15/26 (a) | 1,948,000 | 2,200,257 | |
TTM Technologies, Inc. 5.625% 10/1/25 (a) | 1,170,000 | 1,179,372 | |
9,392,360 | |||
IT Services - 0.0% | |||
Gartner, Inc. 5.125% 4/1/25 (a) | 149,000 | 152,041 | |
MasterCard, Inc.: | |||
3.3% 3/26/27 | 1,237,000 | 1,402,695 | |
3.35% 3/26/30 | 1,721,000 | 1,992,085 | |
3.85% 3/26/50 | 1,476,000 | 1,871,150 | |
5,417,971 | |||
Semiconductors & Semiconductor Equipment - 0.1% | |||
Entegris, Inc.: | |||
4.375% 4/15/28 (a) | 490,000 | 500,790 | |
4.625% 2/10/26 (a) | 836,000 | 852,511 | |
Micron Technology, Inc. 2.497% 4/24/23 | 13,249,000 | 13,564,701 | |
NVIDIA Corp.: | |||
2.85% 4/1/30 | 3,561,000 | 3,912,559 | |
3.5% 4/1/40 | 3,849,000 | 4,407,697 | |
3.5% 4/1/50 | 7,709,000 | 8,752,708 | |
3.7% 4/1/60 | 1,517,000 | 1,789,678 | |
33,780,644 | |||
Software - 0.3% | |||
CDK Global, Inc.: | |||
4.875% 6/1/27 | 1,199,000 | 1,243,974 | |
5.25% 5/15/29 (a) | 107,000 | 109,140 | |
5.875% 6/15/26 | 842,000 | 886,205 | |
Fair Isaac Corp. 5.25% 5/15/26 (a) | 793,000 | 854,997 | |
Nuance Communications, Inc. 5.625% 12/15/26 | 1,382,000 | 1,465,307 | |
Open Text Corp. 3.875% 2/15/28 (a) | 420,000 | 414,511 | |
Oracle Corp.: | |||
2.5% 4/1/25 | 8,253,000 | 8,772,091 | |
2.8% 4/1/27 | 8,253,000 | 8,948,834 | |
2.95% 4/1/30 | 8,300,000 | 9,107,004 | |
3.6% 4/1/40 | 8,250,000 | 9,122,527 | |
3.6% 4/1/50 | 8,250,000 | 9,190,964 | |
3.85% 4/1/60 | 8,300,000 | 9,481,718 | |
SS&C Technologies, Inc. 5.5% 9/30/27 (a) | 1,000,000 | 1,050,310 | |
60,647,582 | |||
Technology Hardware, Storage & Peripherals - 0.0% | |||
Hewlett Packard Enterprise Co. 4.4% 10/15/22 (b) | 3,173,000 | 3,396,917 | |
TOTAL INFORMATION TECHNOLOGY | 112,635,474 | ||
MATERIALS - 0.2% | |||
Chemicals - 0.1% | |||
CF Industries Holdings, Inc. 5.15% 3/15/34 | 867,000 | 914,685 | |
Consolidated Energy Finance SA 3 month U.S. LIBOR + 3.750% 4.4905% 6/15/22 (a)(b)(c) | 1,221,000 | 1,053,039 | |
DuPont de Nemours, Inc. 2.169% 5/1/23 | 22,658,000 | 23,114,494 | |
Nufarm Australia Ltd. 5.75% 4/30/26 (a) | 1,087,000 | 1,058,118 | |
Olin Corp.: | |||
5% 2/1/30 | 716,000 | 615,760 | |
5.125% 9/15/27 | 975,000 | 867,750 | |
The Chemours Co. LLC: | |||
5.375% 5/15/27 | 1,115,000 | 1,002,039 | |
7% 5/15/25 | 849,000 | 825,653 | |
Valvoline, Inc.: | |||
4.25% 2/15/30 (a) | 165,000 | 164,588 | |
4.375% 8/15/25 | 978,000 | 992,670 | |
W. R. Grace & Co.-Conn. 5.625% 10/1/24 (a) | 1,254,000 | 1,275,945 | |
31,884,741 | |||
Containers & Packaging - 0.0% | |||
Ardagh Packaging Finance PLC/Ardagh MP Holdings U.S.A., Inc. 6% 2/15/25 (a) | 265,000 | 273,202 | |
Berry Global, Inc. 4.875% 7/15/26 (a) | 489,000 | 511,161 | |
Crown Americas LLC/Crown Americas Capital Corp. IV 4.75% 2/1/26 | 238,000 | 247,313 | |
OI European Group BV 4% 3/15/23 (a) | 1,076,000 | 1,062,550 | |
Owens-Brockway Glass Container, Inc. 5.375% 1/15/25 (a) | 251,000 | 251,628 | |
Silgan Holdings, Inc. 4.75% 3/15/25 | 295,000 | 301,638 | |
Trivium Packaging Finance BV: | |||
5.5% 8/15/26 (a) | 485,000 | 508,799 | |
8.5% 8/15/27 (a) | 140,000 | 147,700 | |
3,303,991 | |||
Metals & Mining - 0.1% | |||
Anglo American Capital PLC 4.125% 4/15/21 (a) | 2,910,000 | 2,959,043 | |
BHP Billiton Financial (U.S.A.) Ltd. 6.25% 10/19/75 (a)(b) | 1,321,000 | 1,337,116 | |
Corporacion Nacional del Cobre de Chile (Codelco): | |||
3.625% 8/1/27 (a) | 1,499,000 | 1,594,093 | |
4.5% 8/1/47 (a) | 1,522,000 | 1,701,311 | |
FMG Resources (August 2006) Pty Ltd. 4.5% 9/15/27 (a) | 10,000 | 10,087 | |
Freeport-McMoRan, Inc.: | |||
3.55% 3/1/22 | 236,000 | 238,360 | |
3.875% 3/15/23 | 389,000 | 392,081 | |
4.55% 11/14/24 | 173,000 | 175,595 | |
8,407,686 | |||
TOTAL MATERIALS | 43,596,418 | ||
REAL ESTATE - 0.9% | |||
Equity Real Estate Investment Trusts (REITs) - 0.7% | |||
Alexandria Real Estate Equities, Inc. 4.9% 12/15/30 | 7,224,000 | 8,767,398 | |
American Campus Communities Operating Partnership LP 3.75% 4/15/23 | 857,000 | 860,283 | |
Boston Properties, Inc. 4.5% 12/1/28 | 4,766,000 | 5,482,500 | |
Camden Property Trust: | |||
2.8% 5/15/30 | 4,874,000 | 5,074,486 | |
2.95% 12/15/22 | 1,200,000 | 1,231,968 | |
4.25% 1/15/24 | 2,252,000 | 2,387,497 | |
CoreCivic, Inc.: | |||
4.625% 5/1/23 | 1,421,000 | 1,378,370 | |
5% 10/15/22 | 443,000 | 434,140 | |
Corporate Office Properties LP 5% 7/1/25 | 2,273,000 | 2,387,750 | |
CTR Partnership LP/CareTrust Capital Corp. 5.25% 6/1/25 | 720,000 | 738,000 | |
Duke Realty LP: | |||
3.25% 6/30/26 | 589,000 | 626,468 | |
3.625% 4/15/23 | 1,544,000 | 1,603,901 | |
3.875% 10/15/22 | 4,345,000 | 4,509,250 | |
Equinix, Inc. 5.875% 1/15/26 | 1,912,000 | 2,002,820 | |
Equity One, Inc. 3.75% 11/15/22 | 5,527,000 | 5,632,397 | |
GLP Capital LP/GLP Financing II, Inc. 5.25% 6/1/25 | 486,000 | 488,129 | |
Healthcare Trust of America Holdings LP: | |||
3.1% 2/15/30 | 1,868,000 | 1,775,374 | |
3.5% 8/1/26 | 1,945,000 | 2,002,293 | |
Highwoods/Forsyth LP 3.2% 6/15/21 | 1,625,000 | 1,639,778 | |
Hudson Pacific Properties LP 4.65% 4/1/29 | 10,668,000 | 10,935,948 | |
Lexington Corporate Properties Trust 4.4% 6/15/24 | 948,000 | 935,747 | |
MGM Growth Properties Operating Partnership LP: | |||
4.5% 9/1/26 | 2,508,000 | 2,464,110 | |
4.5% 1/15/28 | 637,000 | 617,890 | |
5.75% 2/1/27 | 256,000 | 268,518 | |
MPT Operating Partnership LP/MPT Finance Corp.: | |||
5.25% 8/1/26 | 2,161,000 | 2,215,025 | |
6.375% 3/1/24 | 268,000 | 275,292 | |
Omega Healthcare Investors, Inc.: | |||
3.625% 10/1/29 | 8,376,000 | 7,660,140 | |
4.375% 8/1/23 | 4,882,000 | 4,915,578 | |
4.5% 1/15/25 | 2,013,000 | 2,032,849 | |
4.5% 4/1/27 | 716,000 | 689,798 | |
4.75% 1/15/28 | 11,294,000 | 11,114,508 | |
4.95% 4/1/24 | 882,000 | 909,486 | |
5.25% 1/15/26 | 3,755,000 | 3,797,657 | |
Prologis LP 3.25% 10/1/26 | 1,586,000 | 1,749,687 | |
Retail Opportunity Investments Partnership LP: | |||
4% 12/15/24 | 641,000 | 601,614 | |
5% 12/15/23 | 494,000 | 494,835 | |
SBA Communications Corp. 4.875% 9/1/24 | 557,000 | 571,788 | |
Simon Property Group LP: | |||
2.45% 9/13/29 | 3,008,000 | 2,762,511 | |
3.375% 12/1/27 | 8,103,000 | 7,962,560 | |
SITE Centers Corp.: | |||
3.625% 2/1/25 | 1,532,000 | 1,510,584 | |
4.25% 2/1/26 | 2,753,000 | 2,758,897 | |
Store Capital Corp. 4.625% 3/15/29 | 2,374,000 | 2,208,021 | |
The GEO Group, Inc.: | |||
5.875% 10/15/24 | 170,000 | 140,675 | |
6% 4/15/26 | 610,000 | 475,800 | |
Ventas Realty LP: | |||
3% 1/15/30 | 11,060,000 | 10,222,037 | |
3.125% 6/15/23 | 1,033,000 | 1,026,376 | |
4% 3/1/28 | 2,150,000 | 2,124,215 | |
4.125% 1/15/26 | 999,000 | 1,004,857 | |
4.75% 11/15/30 | 16,500,000 | 17,169,901 | |
VICI Properties, Inc.: | |||
3.5% 2/15/25 (a) | 305,000 | 293,563 | |
4.25% 12/1/26 (a) | 1,640,000 | 1,624,748 | |
4.625% 12/1/29 (a) | 595,000 | 593,608 | |
Weingarten Realty Investors 3.375% 10/15/22 | 456,000 | 462,169 | |
WP Carey, Inc.: | |||
3.85% 7/15/29 | 1,773,000 | 1,721,840 | |
4% 2/1/25 | 3,423,000 | 3,498,729 | |
4.6% 4/1/24 | 5,327,000 | 5,637,431 | |
164,471,794 | |||
Real Estate Management & Development - 0.2% | |||
Brandywine Operating Partnership LP: | |||
3.95% 2/15/23 | 7,832,000 | 7,945,405 | |
3.95% 11/15/27 | 4,382,000 | 4,354,513 | |
4.1% 10/1/24 | 3,961,000 | 4,049,292 | |
4.55% 10/1/29 | 1,896,000 | 1,910,285 | |
CBRE Group, Inc. 4.875% 3/1/26 | 7,844,000 | 8,468,900 | |
Digital Realty Trust LP 3.95% 7/1/22 | 2,137,000 | 2,234,883 | |
Essex Portfolio LP 3.875% 5/1/24 | 1,923,000 | 2,038,715 | |
Howard Hughes Corp. 5.375% 3/15/25 (a) | 927,000 | 880,650 | |
Mack-Cali Realty LP: | |||
3.15% 5/15/23 | 3,573,000 | 3,072,780 | |
4.5% 4/18/22 | 678,000 | 610,351 | |
Mid-America Apartments LP 4% 11/15/25 | 828,000 | 860,530 | |
Post Apartment Homes LP 3.375% 12/1/22 | 502,000 | 506,942 | |
Tanger Properties LP: | |||
3.125% 9/1/26 | 2,628,000 | 2,274,978 | |
3.75% 12/1/24 | 2,635,000 | 2,407,019 | |
3.875% 12/1/23 | 1,186,000 | 1,103,315 | |
3.875% 7/15/27 | 11,191,000 | 9,612,646 | |
52,331,204 | |||
TOTAL REAL ESTATE | 216,802,998 | ||
UTILITIES - 0.6% | |||
Electric Utilities - 0.2% | |||
Clearway Energy Operating LLC: | |||
4.75% 3/15/28 (a) | 140,000 | 144,550 | |
5.75% 10/15/25 | 333,000 | 354,472 | |
Cleco Corporate Holdings LLC 3.375% 9/15/29 (a) | 4,843,000 | 4,792,847 | |
DPL, Inc. 4.35% 4/15/29 | 2,785,000 | 2,802,068 | |
Duquesne Light Holdings, Inc.: | |||
5.9% 12/1/21 (a) | 3,889,000 | 4,079,893 | |
6.4% 9/15/20 (a) | 5,173,000 | 5,256,530 | |
Exelon Corp.: | |||
4.05% 4/15/30 | 3,122,000 | 3,590,889 | |
4.7% 4/15/50 | 1,390,000 | 1,733,562 | |
FirstEnergy Corp.: | |||
4.25% 3/15/23 | 4,502,000 | 4,861,523 | |
7.375% 11/15/31 | 5,738,000 | 8,412,447 | |
InterGen NV 7% 6/30/23 (a) | 964,000 | 939,900 | |
IPALCO Enterprises, Inc. 3.7% 9/1/24 | 1,963,000 | 2,071,728 | |
NextEra Energy Partners LP 4.25% 9/15/24 (a) | 616,000 | 636,020 | |
NRG Energy, Inc.: | |||
5.25% 6/15/29 (a) | 484,000 | 527,560 | |
5.75% 1/15/28 | 581,000 | 632,052 | |
6.625% 1/15/27 | 185,000 | 197,025 | |
NRG Yield Operating LLC 5% 9/15/26 | 925,000 | 945,813 | |
NSG Holdings II LLC/NSG Holdings, Inc. 7.75% 12/15/25 (a) | 1,627,651 | 1,643,928 | |
Vistra Operations Co. LLC: | |||
5% 7/31/27 (a) | 933,000 | 976,151 | |
5.5% 9/1/26 (a) | 3,498,000 | 3,672,900 | |
5.625% 2/15/27 (a) | 545,000 | 579,177 | |
48,851,035 | |||
Gas Utilities - 0.0% | |||
Nakilat, Inc. 6.067% 12/31/33 (a) | 1,213,000 | 1,422,243 | |
Southern Natural Gas Co./Southern Natural Issuing Corp. 4.4% 6/15/21 | 701,000 | 707,691 | |
2,129,934 | |||
Independent Power and Renewable Electricity Producers - 0.1% | |||
Dolphin Subsidiary II, Inc. 7.25% 10/15/21 | 5,898,000 | 6,060,195 | |
Emera U.S. Finance LP 2.7% 6/15/21 | 951,000 | 963,537 | |
TerraForm Power Operating LLC: | |||
4.25% 1/31/23 (a) | 213,000 | 216,728 | |
5% 1/31/28 (a) | 241,000 | 256,665 | |
The AES Corp.: | |||
3.3% 7/15/25 (a) | 15,965,000 | 16,208,945 | |
3.95% 7/15/30 (a) | 13,922,000 | 13,976,992 | |
4.875% 5/15/23 | 882,000 | 888,174 | |
5.5% 4/15/25 | 575,000 | 589,375 | |
39,160,611 | |||
Multi-Utilities - 0.3% | |||
Berkshire Hathaway Energy Co.: | |||
3.7% 7/15/30 (a) | 1,758,000 | 2,021,166 | |
4.05% 4/15/25 (a) | 21,459,000 | 24,206,428 | |
4.25% 10/15/50 (a) | 1,001,000 | 1,255,759 | |
Consolidated Edison Co. of New York, Inc.: | |||
3.35% 4/1/30 | 1,411,000 | 1,575,894 | |
3.95% 4/1/50 | 2,477,000 | 2,894,496 | |
NiSource Finance Corp. 5.95% 6/15/41 | 2,273,000 | 3,009,755 | |
NiSource, Inc. 2.95% 9/1/29 | 12,206,000 | 13,103,452 | |
Puget Energy, Inc.: | |||
4.1% 6/15/30 (a) | 6,250,000 | 6,621,352 | |
5.625% 7/15/22 | 3,305,000 | 3,518,274 | |
6% 9/1/21 | 3,185,000 | 3,349,644 | |
6.5% 12/15/20 | 1,021,000 | 1,045,557 | |
Sempra Energy 6% 10/15/39 | 2,744,000 | 3,659,065 | |
WEC Energy Group, Inc. 3 month U.S. LIBOR + 2.110% 2.5049% 5/15/67 (b)(c) | 1,843,000 | 1,485,940 | |
67,746,782 | |||
TOTAL UTILITIES | 157,888,362 | ||
TOTAL NONCONVERTIBLE BONDS | |||
(Cost $4,354,994,371) | 4,624,737,805 | ||
U.S. Government and Government Agency Obligations - 6.5% | |||
U.S. Treasury Inflation-Protected Obligations - 1.1% | |||
U.S. Treasury Inflation-Indexed Notes 0.125% 1/15/30 | 251,409,438 | 267,009,295 | |
U.S. Treasury Obligations - 5.4% | |||
U.S. Treasury Bonds 2% 2/15/50 | 23,716,000 | 27,111,279 | |
U.S. Treasury Notes: | |||
1.125% 2/28/22 | $399,000,000 | $405,624,022 | |
1.5% 2/15/30 | 794,746,000 | 859,070,754 | |
3.125% 11/15/28 | 51,642,000 | 62,506,992 | |
TOTAL U.S. TREASURY OBLIGATIONS | 1,354,313,047 | ||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | |||
(Cost $1,601,085,613) | 1,621,322,342 | ||
U.S. Government Agency - Mortgage Securities - 20.9% | |||
Fannie Mae - 5.1% | |||
12 month U.S. LIBOR + 1.440% 3.384% 4/1/37 (b)(c) | 15,458 | 16,069 | |
12 month U.S. LIBOR + 1.480% 4.221% 7/1/34 (b)(c) | 4,468 | 4,603 | |
12 month U.S. LIBOR + 1.490% 3.548% 1/1/35 (b)(c) | 20,312 | 21,071 | |
12 month U.S. LIBOR + 1.520% 3.535% 3/1/36 (b)(c) | 1,893 | 1,973 | |
12 month U.S. LIBOR + 1.550% 4.303% 6/1/36 (b)(c) | 11,099 | 11,494 | |
12 month U.S. LIBOR + 1.560% 3.565% 3/1/37 (b)(c) | 6,794 | 7,083 | |
12 month U.S. LIBOR + 1.600% 4.147% 5/1/36 (b)(c) | 41,224 | 42,988 | |
12 month U.S. LIBOR + 1.630% 3.762% 3/1/33 (b)(c) | 11,365 | 11,764 | |
12 month U.S. LIBOR + 1.640% 3.722% 6/1/47 (b)(c) | 14,230 | 14,989 | |
12 month U.S. LIBOR + 1.640% 3.879% 9/1/36 (b)(c) | 8,665 | 9,009 | |
12 month U.S. LIBOR + 1.660% 4.019% 5/1/35 (b)(c) | 21,452 | 22,240 | |
12 month U.S. LIBOR + 1.670% 3.933% 11/1/36 (b)(c) | 6,786 | 7,076 | |
12 month U.S. LIBOR + 1.680% 3.435% 4/1/36 (b)(c) | 4,198 | 4,397 | |
12 month U.S. LIBOR + 1.690% 3.629% 7/1/43 (b)(c) | 291,770 | 301,724 | |
12 month U.S. LIBOR + 1.700% 4.024% 6/1/42 (b)(c) | 17,942 | 18,641 | |
12 month U.S. LIBOR + 1.710% 4.164% 8/1/35 (b)(c) | 7,011 | 7,286 | |
12 month U.S. LIBOR + 1.730% 3.951% 5/1/36 (b)(c) | 11,128 | 11,649 | |
12 month U.S. LIBOR + 1.740% 3.761% 3/1/40 (b)(c) | 30,218 | 31,517 | |
12 month U.S. LIBOR + 1.750% 3.873% 7/1/35 (b)(c) | 8,593 | 8,971 | |
12 month U.S. LIBOR + 1.750% 4.115% 8/1/41 (b)(c) | 20,090 | 20,766 | |
12 month U.S. LIBOR + 1.800% 3.813% 1/1/42 (b)(c) | 42,770 | 44,360 | |
12 month U.S. LIBOR + 1.800% 4.043% 12/1/40 (b)(c) | 716,025 | 743,315 | |
12 month U.S. LIBOR + 1.800% 4.499% 7/1/41 (b)(c) | 21,303 | 22,164 | |
12 month U.S. LIBOR + 1.810% 3.81% 12/1/39 (b)(c) | 13,617 | 14,172 | |
12 month U.S. LIBOR + 1.810% 3.825% 2/1/42 (b)(c) | 47,423 | 49,379 | |
12 month U.S. LIBOR + 1.810% 4.068% 9/1/41 (b)(c) | 7,771 | 8,115 | |
12 month U.S. LIBOR + 1.810% 4.534% 7/1/41 (b)(c) | 14,882 | 15,389 | |
12 month U.S. LIBOR + 1.820% 3.825% 2/1/35 (b)(c) | 90,442 | 94,828 | |
12 month U.S. LIBOR + 1.830% 3.888% 10/1/41 (b)(c) | 7,749 | 8,117 | |
12 month U.S. LIBOR + 1.950% 4.783% 7/1/37 (b)(c) | 20,275 | 21,299 | |
6 month U.S. LIBOR + 1.500% 3.398% 1/1/35 (b)(c) | 21,909 | 22,585 | |
6 month U.S. LIBOR + 1.530% 3.41% 12/1/34 (b)(c) | 4,835 | 4,997 | |
6 month U.S. LIBOR + 1.530% 3.41% 3/1/35 (b)(c) | 3,986 | 4,120 | |
6 month U.S. LIBOR + 1.550% 3.319% 10/1/33 (b)(c) | 1,590 | 1,640 | |
6 month U.S. LIBOR + 1.560% 3.44% 7/1/35 (b)(c) | 2,552 | 2,634 | |
6 month U.S. LIBOR + 1.740% 3.74% 12/1/34 (b)(c) | 385 | 400 | |
6 month U.S. LIBOR + 1.960% 3.725% 9/1/35 (b)(c) | 4,641 | 4,853 | |
U.S. TREASURY 1 YEAR INDEX + 2.200% 3.708% 3/1/35 (b)(c) | 4,398 | 4,619 | |
U.S. TREASURY 1 YEAR INDEX + 2.270% 4.182% 6/1/36 (b)(c) | 35,053 | 36,382 | |
U.S. TREASURY 1 YEAR INDEX + 2.290% 4.261% 10/1/33 (b)(c) | 13,326 | 13,834 | |
U.S. TREASURY 1 YEAR INDEX + 2.460% 4.362% 7/1/34 (b)(c) | 31,588 | 32,946 | |
2.5% 11/1/26 to 6/1/50 (d) | 131,740,133 | 137,838,300 | |
3% 7/1/27 to 2/1/50 (e)(f) | 426,171,634 | 451,993,622 | |
3.25% 12/1/41 | 6,932 | 7,528 | |
3.4% 7/1/42 to 9/1/42 | 137,771 | 148,870 | |
3.5% 7/1/32 to 4/1/50 | 336,378,608 | 361,274,396 | |
3.525% 5/1/42 | 4,007 | 4,425 | |
3.65% 5/1/42 to 8/1/42 | 87,047 | 95,019 | |
3.9% 4/1/42 | 10,655 | 11,839 | |
4% 11/1/31 to 11/1/49 | 170,117,203 | 184,533,477 | |
4.25% 11/1/41 | 33,994 | 37,817 | |
4.5% to 4.5% 6/1/20 to 9/1/49 (g) | 107,386,466 | 117,748,157 | |
5% 7/1/20 to 2/1/49 | 16,344,778 | 18,524,015 | |
5.242% 8/1/41 (b) | 447,230 | 502,880 | |
5.5% 10/1/21 to 9/1/24 | 49,794 | 51,157 | |
6% to 6% 6/1/20 to 1/1/42 | 2,162,214 | 2,555,539 | |
6.5% 3/1/22 to 5/1/38 | 323,453 | 366,234 | |
6.552% 2/1/39 (b) | 411,936 | 453,108 | |
7% to 7% 9/1/21 to 7/1/37 | 229,803 | 263,027 | |
7.5% to 7.5% 9/1/22 to 9/1/32 | 110,885 | 127,373 | |
8% 3/1/37 | 3,202 | 3,871 | |
8.5% 2/1/22 to 9/1/22 | 834 | 882 | |
9% 10/1/30 | 7,719 | 9,117 | |
TOTAL FANNIE MAE | 1,278,276,111 | ||
Freddie Mac - 2.6% | |||
12 month U.S. LIBOR + 1.320% 3.412% 1/1/36 (b)(c) | 8,314 | 8,599 | |
12 month U.S. LIBOR + 1.370% 3.421% 3/1/36 (b)(c) | 27,799 | 28,833 | |
12 month U.S. LIBOR + 1.500% 3.464% 3/1/36 (b)(c) | 28,146 | 29,305 | |
12 month U.S. LIBOR + 1.510% 3.39% 11/1/35 (b)(c) | 9,615 | 9,980 | |
12 month U.S. LIBOR + 1.750% 3.75% 12/1/40 (b)(c) | 309,966 | 321,497 | |
12 month U.S. LIBOR + 1.750% 4.007% 9/1/41 (b)(c) | 131,295 | 135,703 | |
12 month U.S. LIBOR + 1.750% 4.412% 7/1/41 (b)(c) | 74,363 | 76,781 | |
12 month U.S. LIBOR + 1.790% 3.89% 4/1/37 (b)(c) | 2,672 | 2,793 | |
12 month U.S. LIBOR + 1.860% 4.739% 4/1/36 (b)(c) | 9,610 | 10,130 | |
12 month U.S. LIBOR + 1.870% 4.282% 10/1/42 (b)(c) | 57,574 | 59,798 | |
12 month U.S. LIBOR + 1.880% 4.13% 9/1/41 (b)(c) | 11,159 | 11,551 | |
12 month U.S. LIBOR + 1.880% 4.316% 4/1/41 (b)(c) | 5,357 | 5,601 | |
12 month U.S. LIBOR + 1.910% 4.587% 5/1/41 (b)(c) | 21,319 | 22,158 | |
12 month U.S. LIBOR + 1.910% 4.66% 6/1/41 (b)(c) | 12,142 | 12,561 | |
12 month U.S. LIBOR + 1.910% 4.734% 6/1/41 (b)(c) | 23,814 | 24,654 | |
12 month U.S. LIBOR + 1.910% 4.785% 5/1/41 (b)(c) | 16,349 | 17,193 | |
12 month U.S. LIBOR + 1.920% 4.67% 6/1/36 (b)(c) | 5,467 | 5,690 | |
12 month U.S. LIBOR + 1.960% 4.821% 6/1/33 (b)(c) | 13,860 | 14,404 | |
12 month U.S. LIBOR + 2.010% 4.643% 4/1/38 (b)(c) | 20,734 | 21,727 | |
12 month U.S. LIBOR + 2.040% 4.784% 7/1/36 (b)(c) | 17,358 | 18,074 | |
12 month U.S. LIBOR + 2.060% 4.2% 3/1/33 (b)(c) | 399 | 416 | |
12 month U.S. LIBOR + 2.200% 4.325% 12/1/36 (b)(c) | 31,073 | 32,563 | |
6 month U.S. LIBOR + 1.120% 3% 8/1/37 (b)(c) | 9,035 | 9,206 | |
6 month U.S. LIBOR + 1.600% 3.58% 12/1/35 (b)(c) | 1,366 | 1,408 | |
6 month U.S. LIBOR + 1.720% 3.595% 8/1/37 (b)(c) | 17,548 | 18,219 | |
6 month U.S. LIBOR + 1.720% 3.597% 2/1/37 (b)(c) | 10,470 | 10,887 | |
6 month U.S. LIBOR + 1.740% 3.83% 5/1/37 (b)(c) | 4,527 | 4,725 | |
6 month U.S. LIBOR + 1.840% 3.705% 10/1/36 (b)(c) | 40,323 | 42,003 | |
6 month U.S. LIBOR + 1.860% 3.785% 10/1/35 (b)(c) | 20,352 | 21,199 | |
6 month U.S. LIBOR + 2.020% 3.995% 6/1/37 (b)(c) | 23,387 | 24,269 | |
6 month U.S. LIBOR + 2.040% 3.978% 6/1/37 (b)(c) | 13,514 | 14,037 | |
6 month U.S. LIBOR + 2.680% 4.571% 10/1/35 (b)(c) | 12,229 | 12,776 | |
U.S. TREASURY 1 YEAR INDEX + 2.030% 4.267% 6/1/33 (b)(c) | 29,958 | 31,233 | |
U.S. TREASURY 1 YEAR INDEX + 2.260% 4.493% 6/1/33 (b)(c) | 53,362 | 55,342 | |
U.S. TREASURY 1 YEAR INDEX + 2.410% 4.336% 3/1/35 (b)(c) | 113,960 | 118,642 | |
2.5% 6/1/31 to 2/1/50 | 47,466,878 | 49,818,495 | |
3% 6/1/31 to 4/1/50 | 91,727,619 | 97,336,169 | |
3.5% 6/1/27 to 4/1/50 (f) | 203,197,026 | 218,484,053 | |
3.5% 8/1/47 | 5,599,189 | 6,034,273 | |
4% 6/1/33 to 10/1/48 (d)(e) | 216,496,188 | 234,045,175 | |
4% 4/1/48 | 131,063 | 140,165 | |
4.5% 6/1/25 to 12/1/48 | 25,586,490 | 28,153,400 | |
5% 6/1/20 to 7/1/41 | 4,629,008 | 5,300,374 | |
5.5% 6/1/20 to 6/1/22 | 26,526 | 27,196 | |
6% 6/1/20 to 6/1/39 | 459,472 | 534,463 | |
6.5% 4/1/21 to 9/1/39 | 764,312 | 888,522 | |
7% 8/1/21 to 9/1/36 | 217,596 | 252,063 | |
7.5% 1/1/27 to 7/1/34 | 61,500 | 71,785 | |
8% 7/1/24 to 4/1/32 | 4,948 | 5,698 | |
8.5% 12/1/22 to 1/1/28 | 3,260 | 3,641 | |
TOTAL FREDDIE MAC | 642,329,429 | ||
Ginnie Mae - 2.9% | |||
3.5% 9/20/40 to 12/20/49 | 218,821,487 | 236,674,413 | |
4% 7/20/33 to 6/20/49 | 342,943,630 | 370,425,896 | |
4.5% 6/20/33 to 11/20/47 | 50,861,619 | 56,000,307 | |
5.5% 8/15/33 to 9/15/39 | 424,326 | 491,374 | |
6% to 6% 10/15/30 to 5/15/40 | 572,914 | 673,490 | |
7% to 7% 11/15/22 to 11/15/32 | 216,859 | 249,416 | |
7.5% to 7.5% 2/15/22 to 9/15/31 | 63,937 | 71,119 | |
8% 11/15/21 to 11/15/29 | 19,373 | 21,102 | |
8.5% to 8.5% 10/15/21 to 1/15/31 | 7,513 | 8,568 | |
9% 1/15/23 | 33 | 35 | |
9.5% 3/15/23 | 3 | 4 | |
2.5% 11/20/47 | 94,474 | 99,884 | |
3% 5/15/42 to 2/20/50 | 16,798,827 | 18,067,764 | |
5% 4/15/33 to 6/20/48 | 31,250,433 | 34,523,670 | |
6.5% 3/20/31 to 6/15/37 | 73,468 | 85,769 | |
TOTAL GINNIE MAE | 717,392,811 | ||
Uniform Mortgage Backed Securities - 10.3% | |||
2.5% 6/1/35 (h) | 19,500,000 | 20,403,398 | |
2.5% 6/1/35 (h) | 20,000,000 | 20,926,562 | |
2.5% 6/1/35 (h) | 7,600,000 | 7,952,094 | |
2.5% 6/1/35 (h) | 19,750,000 | 20,664,980 | |
2.5% 6/1/35 (h) | 8,850,000 | 9,260,004 | |
2.5% 6/1/35 (h) | 22,950,000 | 24,013,230 | |
2.5% 6/1/35 (h) | 12,150,000 | 12,712,886 | |
2.5% 6/1/35 (h) | 31,550,000 | 33,011,652 | |
2.5% 6/1/35 (h) | 37,450,000 | 39,184,987 | |
2.5% 6/1/35 (h) | 46,300,000 | 48,444,991 | |
2.5% 6/1/35 (h) | 2,750,000 | 2,877,402 | |
2.5% 6/1/35 (h) | 2,700,000 | 2,825,086 | |
2.5% 6/1/35 (h) | 10,600,000 | 11,091,078 | |
2.5% 6/1/35 (h) | 17,050,000 | 17,839,894 | |
2.5% 6/1/35 (h) | 600,000 | 627,797 | |
2.5% 7/1/35 (h) | 38,450,000 | 40,169,734 | |
2.5% 7/1/35 (h) | 37,450,000 | 39,125,007 | |
2.5% 6/1/50 (h) | 5,900,000 | 6,120,098 | |
2.5% 6/1/50 (h) | 6,050,000 | 6,275,693 | |
2.5% 6/1/50 (h) | 9,600,000 | 9,958,125 | |
2.5% 6/1/50 (h) | 9,600,000 | 9,958,125 | |
2.5% 6/1/50 (h) | 6,000,000 | 6,223,828 | |
2.5% 6/1/50 (h) | 1,600,000 | 1,659,688 | |
2.5% 6/1/50 (h) | 1,100,000 | 1,141,035 | |
2.5% 6/1/50 (h) | 42,200,000 | 43,774,258 | |
2.5% 6/1/50 (h) | 28,700,000 | 29,770,645 | |
2.5% 6/1/50 (h) | 13,250,000 | 13,744,287 | |
2.5% 6/1/50 (h) | 13,250,000 | 13,744,287 | |
2.5% 6/1/50 (h) | 59,300,000 | 61,512,169 | |
2.5% 6/1/50 (h) | 1,350,000 | 1,400,361 | |
2.5% 6/1/50 (h) | 14,100,000 | 14,625,996 | |
2.5% 6/1/50 (h) | 12,750,000 | 13,225,635 | |
2.5% 6/1/50 (h) | 3,100,000 | 3,215,645 | |
2.5% 6/1/50 (h) | 3,500,000 | 3,630,566 | |
2.5% 6/1/50 (h) | 10,700,000 | 11,099,160 | |
2.5% 6/1/50 (h) | 23,500,000 | 24,376,660 | |
2.5% 6/1/50 (h) | 3,600,000 | 3,734,297 | |
2.5% 6/1/50 (h) | 11,800,000 | 12,240,195 | |
2.5% 6/1/50 (h) | 3,600,000 | 3,734,297 | |
2.5% 6/1/50 (h) | 34,800,000 | 36,098,204 | |
2.5% 6/1/50 (h) | 2,200,000 | 2,282,070 | |
2.5% 6/1/50 (h) | 3,500,000 | 3,630,566 | |
2.5% 7/1/50 (h) | 65,000,000 | 67,117,583 | |
2.5% 7/1/50 (h) | 32,000,000 | 33,042,502 | |
3% 6/1/50 (h) | 69,400,000 | 73,000,125 | |
3% 6/1/50 (h) | 53,600,000 | 56,380,500 | |
3% 6/1/50 (h) | 17,250,000 | 18,144,844 | |
3% 6/1/50 (h) | 13,350,000 | 14,042,531 | |
3% 6/1/50 (h) | 26,650,000 | 28,032,469 | |
3% 6/1/50 (h) | 34,550,000 | 36,342,281 | |
3% 6/1/50 (h) | 16,650,000 | 17,513,719 | |
3% 6/1/50 (h) | 14,050,000 | 14,778,844 | |
3% 6/1/50 (h) | 3,800,000 | 3,997,125 | |
3% 6/1/50 (h) | 33,600,000 | 35,343,000 | |
3% 6/1/50 (h) | 34,750,000 | 36,552,656 | |
3% 6/1/50 (h) | 36,500,000 | 38,393,438 | |
3% 6/1/50 (h) | 37,800,000 | 39,760,875 | |
3% 6/1/50 (h) | 5,650,000 | 5,943,094 | |
3% 6/1/50 (h) | 6,800,000 | 7,152,750 | |
3% 6/1/50 (h) | 7,050,000 | 7,415,719 | |
3% 6/1/50 (h) | 30,800,000 | 32,397,750 | |
3% 6/1/50 (h) | 7,100,000 | 7,468,313 | |
3% 6/1/50 (h) | 8,000,000 | 8,415,000 | |
3% 6/1/50 (h) | 10,150,000 | 10,676,531 | |
3% 6/1/50 (h) | 27,650,000 | 29,084,344 | |
3% 6/1/50 (h) | 15,550,000 | 16,356,656 | |
3% 6/1/50 (h) | 20,000,000 | 21,037,500 | |
3% 6/1/50 (h) | 22,500,000 | 23,667,188 | |
3% 7/1/50 (h) | 17,300,000 | 18,156,215 | |
3% 7/1/50 (h) | 23,400,000 | 24,558,117 | |
3% 7/1/50 (h) | 28,250,000 | 29,648,155 | |
3% 7/1/50 (h) | 38,200,000 | 40,090,602 | |
3.5% 6/1/50 (h) | 38,600,000 | 40,724,509 | |
3.5% 6/1/50 (h) | 48,650,000 | 51,327,652 | |
3.5% 6/1/50 (h) | 37,750,000 | 39,827,726 | |
3.5% 6/1/50 (h) | 29,950,000 | 31,598,421 | |
3.5% 6/1/50 (h) | 26,350,000 | 27,800,280 | |
3.5% 6/1/50 (h) | 20,900,000 | 22,050,317 | |
3.5% 6/1/50 (h) | 200,800,000 | 211,851,851 | |
3.5% 6/1/50 (h) | 34,400,000 | 36,293,345 | |
3.5% 6/1/50 (h) | 8,850,000 | 9,337,096 | |
3.5% 6/1/50 (h) | 18,350,000 | 19,359,967 | |
3.5% 6/1/50 (h) | 10,250,000 | 10,814,151 | |
3.5% 6/1/50 (h) | 21,350,000 | 22,525,085 | |
3.5% 6/1/50 (h) | 24,100,000 | 25,426,442 | |
3.5% 6/1/50 (h) | 16,100,000 | 16,986,130 | |
3.5% 6/1/50 (h) | 32,000,000 | 33,761,251 | |
3.5% 6/1/50 (h) | 4,750,000 | 5,011,436 | |
3.5% 6/1/50 (h) | 6,300,000 | 6,646,746 | |
3.5% 6/1/50 (h) | 4,850,000 | 5,116,940 | |
3.5% 6/1/50 (h) | 26,150,000 | 27,589,272 | |
3.5% 6/1/50 (h) | 6,050,000 | 6,382,987 | |
3.5% 6/1/50 (h) | 21,450,000 | 22,630,589 | |
3.5% 6/1/50 (h) | 23,550,000 | 24,846,171 | |
3.5% 6/1/50 (h) | 38,800,000 | 40,935,517 | |
3.5% 6/1/50 (h) | 24,850,000 | 26,217,722 | |
3.5% 6/1/50 (h) | 29,550,000 | 31,176,405 | |
3.5% 6/1/50 (h) | 16,750,000 | 17,671,905 | |
3.5% 6/1/50 (h) | 12,350,000 | 13,029,733 | |
3.5% 6/1/50 (h) | 31,800,000 | 33,550,243 | |
3.5% 6/1/50 (h) | 4,650,000 | 4,905,932 | |
3.5% 6/1/50 (h) | 16,000,000 | 16,880,626 | |
3.5% 6/1/50 (h) | 5,150,000 | 5,433,451 | |
3.5% 6/1/50 (h) | 43,100,000 | 45,472,185 | |
3.5% 6/1/50 (h) | 2,700,000 | 2,848,606 | |
3.5% 6/1/50 (h) | 2,100,000 | 2,215,582 | |
4% 6/1/50 (h) | 94,250,000 | 100,309,983 | |
4% 6/1/50 (h) | 23,250,000 | 24,744,903 | |
TOTAL UNIFORM MORTGAGE BACKED SECURITIES | 2,546,118,255 | ||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES | |||
(Cost $5,086,025,396) | 5,184,116,606 | ||
Asset-Backed Securities - 2.4% | |||
AASET Trust: | |||
Series 2018-1A Class A, 3.844% 1/16/38 (a) | $2,404,345 | $2,100,188 | |
Series 2019-1 Class A, 3.844% 5/15/39 (a) | 5,292,554 | 4,382,191 | |
Series 2019-2: | |||
Class A, 3.376% 10/16/39 (a) | 9,176,193 | 7,163,865 | |
Class B, 4.458% 10/16/39 (a) | 1,629,753 | 854,877 | |
Aimco Series 2019-10A Class A, 3 month U.S. LIBOR + 1.320% 2.4176% 7/22/32 (a)(b)(c) | 11,898,000 | 11,570,186 | |
Allegany Park CLO, Ltd. / Allegany Series 2020-1A Class A, 3 month U.S. LIBOR + 1.330% 3.1635% 1/20/33 (a)(b)(c) | 4,684,000 | 4,574,657 | |
Apollo Aviation Securitization Equity Trust Series 2020-1A: | |||
Class A, 3.351% 1/16/40 (a) | 4,769,057 | 3,859,071 | |
Class B, 4.335% 1/16/40 (a) | 766,953 | 398,821 | |
Ares CLO Series 2019-54A Class A, 3 month U.S. LIBOR + 1.320% 2.5389% 10/15/32 (a)(b)(c) | 8,066,000 | 7,914,303 | |
Ares LV CLO Ltd. Series 2020-55A Class A1, 3 month U.S. LIBOR + 1.700% 0% 4/15/31 (a)(b)(c) | 8,740,000 | 8,740,000 | |
Ares Xli Clo Ltd. / Ares Xli Cl Series 2016-41A Class AR, 3 month U.S. LIBOR + 1.200% 2.4189% 1/15/29 (a)(b)(c) | 9,695,000 | 9,477,473 | |
Ares XXXIV CLO Ltd. Series 2020-2A Class AR2, 3 month U.S. LIBOR + 1.250% 2.0255% 4/17/33 (a)(b)(c) | 20,753,000 | 20,306,811 | |
Argent Securities, Inc. pass-thru certificates Series 2005-W2 Class A2C, 1 month U.S. LIBOR + 0.360% 0.5283% 10/25/35 (b)(c) | 102,263 | 98,092 | |
Beechwood Park CLO Ltd. Series 2019-1A Class A1, 3 month U.S. LIBOR + 1.330% 3.2332% 1/17/33 (a)(b)(c) | 3,961,000 | 3,881,685 | |
Blackbird Capital Aircraft Series 2016-1A: | |||
Class A, 4.213% 12/16/41 (a) | 6,520,778 | 4,997,784 | |
Class AA, 2.487% 12/16/41 (a) | 1,209,250 | 999,187 | |
Brazos Higher Education Authority, Inc.: | |||
Series 2010-1 Class A1, 3 month U.S. LIBOR + 0.900% 1.2595% 5/25/29 (b)(c) | 516,218 | 513,384 | |
Series 2011-2 Class A2, 3 month U.S. LIBOR + 0.850% 1.8414% 7/25/29 (b)(c) | 763,839 | 761,646 | |
Bristol Park CLO, Ltd. Series 2020-1A Class AR, 3 month U.S. LIBOR + 0.990% 2.2089% 4/15/29 (a)(b)(c) | 10,597,000 | 10,431,613 | |
Capital One Prime Auto Receivables Trust Series 2019-2 Class A3, 1.92% 5/15/24 | 4,320,000 | 4,411,443 | |
Carvana Auto Receivables Trust Series 2019-4A: | |||
Class A2, 2.2% 7/15/22 (a) | 1,944,000 | 1,949,007 | |
Class A3, 2.3% 9/15/23 (a) | 2,759,000 | 2,773,652 | |
Cascade Funding Mortgage Trust: | |||
Series 2020-HB2 Class A, 3.4047% 4/25/30 (a) | 15,634,254 | 15,575,266 | |
Series 2020-HB3 Class A, 2.8115% 5/25/30 (a)(b) | 1,800,000 | 1,804,556 | |
Castlelake Aircraft Securitization Trust Series 2019-1A: | |||
Class A, 3.967% 4/15/39 (a) | 7,590,661 | 6,043,274 | |
Class B, 5.095% 4/15/39 (a) | 3,608,108 | 1,975,159 | |
Castlelake Aircraft Structured Trust Series 2018-1 Class A, 4.125% 6/15/43 (a) | 6,103,437 | 4,907,657 | |
Cedar Funding Ltd.: | |||
Series 2019-10A Class A, 3 month U.S. LIBOR + 1.340% 2.4753% 10/20/32 (a)(b)(c) | 6,412,000 | 6,236,266 | |
Series 2019-11A Class A1A, 3 month U.S. LIBOR + 1.350% 1.7125% 5/29/32 (a)(b)(c) | 4,342,000 | 4,234,001 | |
Citi Mortgage Loan Trust Series 2007-1 Class 1A, 1 month U.S. LIBOR + 1.350% 1.5183% 10/25/37 (a)(b)(c) | 201,429 | 199,274 | |
CNH Equipment Trust Series 2019-C Class A2, 1.99% 3/15/23 | 4,400,000 | 4,424,108 | |
Collegiate Funding Services Education Loan Trust Series 2004-A Class A4, 3 month U.S. LIBOR + 0.340% 1.7146% 9/28/30 (b)(c) | 1,153,360 | 1,142,870 | |
Consumer Lending Receivables Trust Series 2019-A Class A, 3.52% 4/15/26 (a) | 5,447,538 | 5,417,209 | |
Consumer Loan Underlying Bond Credit Trust: | |||
Series 2018-P3 Class A, 3.82% 1/15/26 (a) | 2,369,218 | 2,361,661 | |
Series 2019-HP1 Class A, 2.59% 12/15/26 (a) | 13,762,921 | 13,491,318 | |
Series 2019-P1 Class A, 2.94% 7/15/26 (a) | 4,845,937 | 4,836,206 | |
CPS Auto Receivables Trust Series 2019-D Class A, 2.17% 12/15/22 (a) | 1,181,701 | 1,186,639 | |
DB Master Finance LLC: | |||
Series 2017-1A: | |||
Class A2I, 3.629% 11/20/47 (a) | 3,161,235 | 3,182,289 | |
Class A2II, 4.03% 11/20/47 (a) | 5,377,228 | 5,357,386 | |
Series 2019-1A: | |||
Class A23, 4.352% 5/20/49 (a) | 997,463 | 1,014,290 | |
Class A2II, 4.021% 5/20/49 (a) | 750,330 | 756,910 | |
Dell Equipment Finance Trust Series 2019-2 Class A3, 1.91% 10/22/24 (a) | 6,600,000 | 6,660,269 | |
DLL Securitization Trust Series 2019-MT3 Class A3, 2.08% 2/21/23 (a) | 2,700,000 | 2,710,529 | |
Dryden CLO, Ltd. Series 2019-76A Class A1, 3 month U.S. LIBOR + 1.330% 2.4653% 10/20/32 (a)(b)(c) | 10,321,000 | 10,129,659 | |
Dryden Senior Loan Fund: | |||
Series 2014-36A Class AR2, 3 month U.S. LIBOR + 1.280% 2.4989% 4/15/29 (a)(b)(c) | 10,233,000 | 10,125,830 | |
Series 2018-70A Class A1, 3 month U.S. LIBOR + 1.170% 2.3461% 1/16/32 (a)(b)(c) | 2,909,000 | 2,823,458 | |
Series 2019-72A Class A, 3 month U.S. LIBOR + 1.330% 1.7224% 5/15/32 (a)(b)(c) | 7,468,000 | 7,321,605 | |
Series 2020-78A Class A, 3 month U.S. LIBOR + 1.180% 2.447% 4/17/33 (a)(b)(c) | 7,000,000 | 6,839,105 | |
Enterprise Fleet Financing LLC Series 2019-3 Class A2, 2.06% 5/20/25 (a) | 10,602,000 | 10,541,172 | |
Exeter Automobile Receivables Trust Series 2019-4A Class A, 2.18% 1/17/23 (a) | 3,599,112 | 3,610,410 | |
First Franklin Mortgage Loan Trust Series 2004-FF2 Class M3, 1 month U.S. LIBOR + 0.820% 0.9933% 3/25/34 (b)(c) | 6 | 6 | |
Flagship Credit Auto Trust Series 2019-4 Class A, 2.17% 6/17/24 (a) | 1,910,268 | 1,921,008 | |
Flatiron CLO Ltd. Series 2019-1A Class A, 3 month U.S. LIBOR + 1.320% 1.7056% 11/16/32 (a)(b)(c) | 8,949,000 | 8,779,139 | |
Ford Credit Auto Owner Trust Series 2019-1 Class A, 3.52% 7/15/30 (a) | 2,000,000 | 2,100,926 | |
Ford Credit Floorplan Master Owner Trust: | |||
Series 2018-1 Class B, 3.1% 5/15/23 | 6,690,000 | 6,570,883 | |
Series 2018-4 Class A, 4.06% 11/15/30 | 1,820,000 | 1,826,116 | |
Series 2019-1 Class B, 3.04% 3/15/24 | 1,170,000 | 1,128,406 | |
Series 2019-2 Class A, 3.06% 4/15/26 | 8,253,000 | 8,275,343 | |
Series 2019-3 Class A1, 2.23% 9/15/24 | 4,320,000 | 4,295,419 | |
Series 2019-4 Class A, 2.44% 9/15/26 | 1,300,000 | 1,296,662 | |
GM Financial Automobile Leasing Trust Series 2020-1 Class A2A, 1.67% 4/20/22 | 7,282,000 | 7,313,191 | |
GMF Floorplan Owner Revolving Trust: | |||
Series 2018-2 Class A2, 3.13% 3/15/23 (a) | 6,010,000 | 6,087,280 | |
Series 2018-4 Class A2, 1 month U.S. LIBOR + 0.410% 0.5936% 9/15/23 (a)(b)(c) | 4,186,000 | 4,158,067 | |
Hertz Fleet Lease Funding LP Series 2017-1 Class A1, 1 month U.S. LIBOR + 0.650% 0.8716% 4/10/31 (a)(b)(c) | 55,027 | 54,061 | |
Horizon Aircraft Finance I Ltd. Series 2018-1 Class A, 4.458% 12/15/38 (a) | 3,329,035 | 2,838,847 | |
Horizon Aircraft Finance Ltd. Series 2019-1 Class A, 3.721% 7/15/39 (a) | 4,749,077 | 3,933,860 | |
Lanark Master Issuer PLC Series 2020-1A Class 1A, 2.277% 12/22/69 (a)(b) | 7,887,000 | 7,936,254 | |
Madison Park Funding Series 2020-19A Class A1R2, 3 month U.S. LIBOR + 0.920% 2.0176% 1/22/28 (a)(b)(c) | 2,750,000 | 2,701,795 | |
Madison Park Funding Ltd.: | |||
Series 2012-10A Class AR2, 3 month U.S. LIBOR + 1.220% 2.3553% 1/20/29 (a)(b)(c) | 3,495,000 | 3,443,596 | |
Series 2019-37A Class A1, 3 month U.S. LIBOR + 1.300% 2.5189% 7/15/32 (a)(b)(c) | 8,593,000 | 8,438,549 | |
Madison Park Funding XXXIII Ltd. Series 2019-33A Class A, 3 month U.S. LIBOR + 1.330% 2.5489% 10/15/32 (a)(b)(c) | 4,271,000 | 4,190,680 | |
Magnetite CLO Ltd.: | |||
Series 2015-16A Class AR, 3 month U.S. LIBOR + 0.800% 1.9353% 1/18/28 (a)(b)(c) | 8,644,711 | 8,503,629 | |
Series 2019-21A Class A, 3 month U.S. LIBOR + 1.280% 2.4153% 4/20/30 (a)(b)(c) | 7,329,000 | 7,196,492 | |
Series 2019-24A Class A, 3 month U.S. LIBOR + 1.330% 3.2371% 1/15/33 (a)(b)(c) | 23,148,000 | 22,789,206 | |
Marlette Funding Trust: | |||
Series 2019-4A Class A, 2.39% 12/17/29 (a) | 3,995,954 | 3,974,027 | |
Series 2020-1A Class A, 2.24% 3/15/30 (a) | 3,096,085 | 3,084,354 | |
Mercedes-Benz Master Owner Trust Series 2019-BA Class A, 2.61% 5/15/24 (a) | 10,340,000 | 10,421,000 | |
Metlife Securitization Trust Series 2019-1A Class A1A, 3.75% 4/25/58 (a) | 3,458,143 | 3,624,758 | |
Milos CLO, Ltd. Series 2020-1A Class AR, 3 month U.S. LIBOR + 1.070% 2.2053% 10/20/30 (a)(b)(c) | 10,553,000 | 10,333,244 | |
Mortgage Repurchase Agreement Funding Trust Series 2020-2 Class A1, 1 month U.S. LIBOR + 0.000% 0% 5/29/22 (a)(b)(c) | 21,800,000 | 21,800,000 | |
Nationstar HECM Loan Trust: | |||
Series 2018-2A Class A, 3.1877% 7/25/28 (a) | 38,663 | 38,657 | |
Series 2018-3A Class A 3.5545% 11/25/28 (a) | 1,602,335 | 1,604,285 | |
Series 2019-1A Class A, 2.6513% 6/25/29 (a) | 2,091,834 | 2,089,498 | |
Navient Student Loan Trust Series 2017-3A Class A2, 1 month U.S. LIBOR + 0.600% 0.7683% 7/26/66 (a)(b)(c) | 677,928 | 672,096 | |
New Century Home Equity Loan Trust Series 2005-4 Class M2, 1 month U.S. LIBOR + 0.510% 0.6783% 9/25/35 (b)(c) | 104,595 | 103,930 | |
Niagara Park CLO, Ltd. Series 2019-1A Class A, 3 month U.S. LIBOR + 1.300% 2.4349% 7/17/32 (a)(b)(c) | 8,594,000 | 8,439,463 | |
Planet Fitness Master Issuer LLC Series 2019-1A Class A2, 3.858% 12/5/49 (a) | 7,081,253 | 5,501,071 | |
Prosper Marketplace Issuance Trust: | |||
Series 2019-1A Class A, 3.54% 4/15/25 (a) | 998,870 | 995,695 | |
Series 2019-2A Class A, 3.2% 9/15/25 (a) | 393,571 | 392,633 | |
Series 2019-3A Class A, 3.19% 7/15/25 (a) | 6,851,135 | 6,796,598 | |
Series 2019-4A Class A, 2.48% 2/17/26 (a) | 3,116,238 | 3,102,202 | |
Provident Funding Mortgage Trust Series 2020-1 Class A3, 3% 2/25/50 (a) | 15,448,771 | 15,489,722 | |
RMF Buyout Issuance Trust Series 2020-1 Class A, 2.1582% 2/25/30 (a) | 4,682,909 | 4,692,143 | |
Santander Retail Auto Lease Trust Series 2019-C Class A2A, 1.89% 9/20/22 (a) | 4,152,131 | 4,176,142 | |
Sapphire Aviation Finance Series 2020-1A: | |||
Class A, 3.228% 3/15/40 (a) | 10,973,881 | 9,021,188 | |
Class B, 4.335% 3/15/40 (a) | 913,000 | 429,678 | |
SBA Tower Trust Series 2019, 2.836% 1/15/50 (a) | 8,715,000 | 8,963,954 | |
SLM Student Loan Trust Series 2003-10A Class A3, 3 month U.S. LIBOR + 0.470% 1.2105% 12/15/27 (a)(b)(c) | 1,554,308 | 1,541,702 | |
SoFi Consumer Loan Program Trust Series 2019-4 Class A, 2.45% 8/25/28 (a) | 6,941,568 | 6,931,019 | |
Stratus CLO Ltd. Series 2020-1A Class A, 3 month U.S. LIBOR + 1.980% 3.286% 5/1/28 (a)(b)(c) | 15,261,000 | 15,329,034 | |
Taconic Park CLO, Ltd. Series 2020-1A Class A1R, 3 month U.S. LIBOR + 1.000% 2.1353% 1/20/29 (a)(b)(c) | 7,106,000 | 7,005,365 | |
Terwin Mortgage Trust Series 2003-4HE Class A1, 1 month U.S. LIBOR + 0.860% 1.0283% 9/25/34 (b)(c) | 7,249 | 6,679 | |
Thunderbolt Aircraft Lease Ltd. Series 2018-A Class A, 4.147% 9/15/38 (a)(b) | 9,700,047 | 8,322,034 | |
Thunderbolt III Aircraft Lease Ltd. Series 2019-1 Class A, 3.671% 11/15/39 (a) | 13,238,119 | 11,406,145 | |
Towd Point Mortgage Trust: | |||
Series 2018-3 Class A1, 3.75% 5/25/58 (a) | 2,303,442 | 2,420,965 | |
Series 2018-6 Class A1A, 3.75% 3/25/58 (a) | 359,111 | 374,800 | |
Series 2019-1 Class A1, 3.75% 3/25/58 (a) | 1,299,526 | 1,378,307 | |
Series 2019-MH1 Class A1, 3% 11/25/58 (a) | 2,209,249 | 2,260,967 | |
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 3 month U.S. LIBOR + 0.560% 2.4603% 4/6/42 (a)(b)(c) | 778,000 | 501,810 | |
Upgrade Receivables Trust: | |||
Series 2018-1A Class A, 3.76% 11/15/24 (a) | 7,364 | 7,353 | |
Series 2019-1A Class A, 3.48% 3/15/25 (a) | 458,630 | 457,495 | |
Series 2019-2A Class A, 2.77% 10/15/25 (a) | 4,100,061 | 4,039,771 | |
Verde CLO Ltd. Series 2019-1A Class A, 3 month U.S. LIBOR + 1.350% 2.5689% 4/15/32 (a)(b)(c) | 8,606,000 | 8,451,591 | |
World Omni Automobile Lease Securitization Trust Series 2020-A Class A2, 1.71% 11/15/22 | 1,861,000 | 1,869,508 | |
TOTAL ASSET-BACKED SECURITIES | |||
(Cost $601,466,883) | 580,898,610 | ||
Collateralized Mortgage Obligations - 0.9% | |||
Private Sponsor - 0.2% | |||
Banc of America Funding Corp. Series 2015-R3 Class 10A1, 1 month U.S. LIBOR + 0.140% 0.6273% 6/27/36 (a)(b)(c) | 81,118 | 80,358 | |
BCAP LLC Trust sequential payer Series 2010-RR2 Class 5A2, 5% 12/26/36 (a) | 5,970 | 5,851 | |
Citigroup Mortgage Loan Trust sequential payer: | |||
Series 2009-5 Class 5A1, 4.2042% 1/25/37 (a)(b) | 4,103 | 4,083 | |
Series 2014-8 Class 2A1, 3.45% 6/27/37 (a)(b) | 141,614 | 141,684 | |
CSMC: | |||
floater Series 2015-1R Class 6A1, 1 month U.S. LIBOR + 0.280% 0.7937% 5/27/37 (a)(b)(c) | 115,016 | 108,278 | |
Series 2014-3R: | |||
Class 2A1, 1 month U.S. LIBOR + 0.700% 0% 5/27/37 (a)(b)(c)(i) | 543,242 | 0 | |
Class AA1, 1 month U.S. LIBOR + 0.280% 0.7937% 5/27/37 (a)(b)(c) | 1,180,888 | 1,074,257 | |
FirstKey Mortgage Trust sequential payer Series 2015-1 Class A9, 3% 3/25/45 (a)(b) | 54,113 | 53,948 | |
Holmes Master Issuer PLC floater Series 2018-2A Class A2, 3 month U.S. LIBOR + 0.420% 1.6389% 10/15/54 (a)(b)(c) | 3,799,046 | 3,794,495 | |
JPMorgan Resecuritization Trust floater Series 2012-2 Class 6A1, 1 month U.S. LIBOR + 0.210% 0.8828% 6/21/36 (a)(b)(c) | 9,633 | 9,586 | |
Lanark Master Issuer PLC: | |||
floater Series 2019-1A Class 1A1, 3 month U.S. LIBOR + 0.770% 2.4528% 12/22/69 (a)(b)(c) | 3,268,000 | 3,261,997 | |
Series 2019-2A Class 1A, 2.71% 12/22/69 (a) | 9,300,000 | 9,424,890 | |
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 1 month U.S. LIBOR + 0.170% 0.6573% 2/25/37 (b)(c) | 2,079 | 2,068 | |
Nationstar HECM Loan Trust sequential payer Series 2019-2A Class A, 2.2722% 11/26/29 (a) | 3,475,781 | 3,468,218 | |
New Residential Mortgage Loan Trust Series 2019-5A Class A1B, 3.5% 8/25/59 (a) | 5,814,709 | 5,993,957 | |
New Residential Mtg Ln Trust 2020 3.5% 10/25/59 (a) | 7,549,523 | 7,830,109 | |
Permanent Master Issuer PLC floater: | |||
Series 2018-1A Class 1A1, 3 month U.S. LIBOR + 0.380% 1.5989% 7/15/58 (a)(b)(c) | 2,118,000 | 2,116,143 | |
Series-1A Class 1A1, 3 month U.S. LIBOR + 0.550% 1.7689% 7/15/58 (a)(b)(c) | 5,615,000 | 5,589,120 | |
Provident Funding Mortgage Trust sequential payer Series 2019-1 Class A3, 3% 12/25/49 (a) | 4,087,593 | 4,098,505 | |
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 6 month U.S. LIBOR + 0.880% 2.7849% 7/20/34 (b)(c) | 2,606 | 2,457 | |
Silverstone Master Issuer PLC floater: | |||
Series 2015-1A Class 2A2, 3 month U.S. LIBOR + 0.550% 1.659% 1/21/70 (a)(b)(c) | 1,282,500 | 1,282,177 | |
Series 2019-1A Class 1A, 3 month U.S. LIBOR + 0.570% 1.679% 1/21/70 (a)(b)(c) | 11,270,000 | 11,239,785 | |
Thornburg Mortgage Securities Trust floater Series 2003-4 Class A1, 1 month U.S. LIBOR + 0.640% 0.8083% 9/25/43 (b)(c) | 105,760 | 98,376 | |
Wells Fargo Mortgage Backed Securities Trust Series 2003-I Class A1, 4.6197% 9/25/33 (b) | 15,250 | 14,989 | |
TOTAL PRIVATE SPONSOR | 59,695,331 | ||
U.S. Government Agency - 0.7% | |||
Fannie Mae: | |||
floater: | |||
Series 2002-18 Class FD, 1 month U.S. LIBOR + 0.800% 0.9683% 2/25/32 (b)(c) | 3,935 | 3,977 | |
Series 2002-39 Class FD, 1 month U.S. LIBOR + 1.000% 1.1821% 3/18/32 (b)(c) | 7,147 | 7,289 | |
Series 2002-60 Class FV, 1 month U.S. LIBOR + 1.000% 1.1683% 4/25/32 (b)(c) | 8,076 | 8,225 | |
Series 2002-63 Class FN, 1 month U.S. LIBOR + 1.000% 1.1683% 10/25/32 (b)(c) | 10,637 | 10,827 | |
Series 2002-7 Class FC, 1 month U.S. LIBOR + 0.750% 0.9183% 1/25/32 (b)(c) | 3,974 | 4,011 | |
Series 2003-118 Class S, 8.100% - 1 month U.S. LIBOR 7.9318% 12/25/33 (b)(j)(k) | 144,313 | 41,865 | |
Series 2006-104 Class GI, 6.680% - 1 month U.S. LIBOR 6.5118% 11/25/36 (b)(j)(k) | 97,599 | 22,956 | |
Series 2012-154 Class F, 1 month U.S. LIBOR + 0.300% 0.4683% 1/25/43 (b)(c) | 1,088,753 | 1,079,880 | |
Series 2017-36 Class FB, 1 month U.S. LIBOR + 0.350% 0.5183% 5/25/47 (b)(c) | 2,458,751 | 2,443,073 | |
Series 2018-32 Class FB, 1 month U.S. LIBOR + 0.300% 0.4683% 5/25/48 (b)(c) | 1,500,163 | 1,487,242 | |
Series 2018-38 Class FG, 1 month U.S. LIBOR + 0.300% 0.4683% 6/25/48 (b)(c) | 5,783,648 | 5,742,635 | |
planned amortization class: | |||
Series 1992-168 Class KB, 7% 10/25/22 | 2,258 | 2,373 | |
Series 1993-207 Class H, 6.5% 11/25/23 | 39,188 | 42,264 | |
Series 1996-28 Class PK, 6.5% 7/25/25 | 13,414 | 14,509 | |
Series 1999-17 Class PG, 6% 4/25/29 | 75,530 | 83,567 | |
Series 1999-32 Class PL, 6% 7/25/29 | 71,463 | 80,275 | |
Series 1999-33 Class PK, 6% 7/25/29 | 53,220 | 59,073 | |
Series 2001-52 Class YZ, 6.5% 10/25/31 | 6,862 | 8,140 | |
Series 2003-28 Class KG, 5.5% 4/25/23 | 20,943 | 21,981 | |
Series 2005-102 Class CO 11/25/35 (l) | 27,621 | 26,039 | |
Series 2005-39 Class TE, 5% 5/25/35 | 28,177 | 31,324 | |
Series 2005-73 Class SA, 17.500% - 1 month U.S. LIBOR 17.1126% 8/25/35 (b)(k) | 9,050 | 12,570 | |
Series 2005-81 Class PC, 5.5% 9/25/35 | 76,555 | 86,305 | |
Series 2006-12 Class BO 10/25/35 (l) | 125,661 | 118,024 | |
Series 2006-37 Class OW 5/25/36 (l) | 13,175 | 12,374 | |
Series 2006-45 Class OP 6/25/36 (l) | 43,896 | 41,282 | |
Series 2006-62 Class KP 4/25/36 (l) | 69,825 | 66,141 | |
Series 2012-149: | |||
Class DA, 1.75% 1/25/43 | 211,681 | 216,580 | |
Class GA, 1.75% 6/25/42 | 225,750 | 230,866 | |
sequential payer: | |||
Series 1997-41 Class J, 7.5% 6/18/27 | 11,860 | 13,688 | |
Series 1999-25 Class Z, 6% 6/25/29 | 45,144 | 51,779 | |
Series 2001-20 Class Z, 6% 5/25/31 | 75,080 | 83,606 | |
Series 2001-31 Class ZC, 6.5% 7/25/31 | 40,843 | 47,598 | |
Series 2002-16 Class ZD, 6.5% 4/25/32 | 22,286 | 26,518 | |
Series 2002-74 Class SV, 7.550% - 1 month U.S. LIBOR 7.3818% 11/25/32 (b)(j)(k) | 77,285 | 12,301 | |
Series 2012-67 Class AI, 4.5% 7/25/27 (j) | 163,052 | 11,331 | |
Series 06-116 Class SG, 6.640% - 1 month U.S. LIBOR 6.1528% 12/25/36 (b)(j)(k) | 74,292 | 20,674 | |
Series 07-40 Class SE, 6.440% - 1 month U.S. LIBOR 6.2718% 5/25/37 (b)(j)(k) | 41,426 | 9,907 | |
Series 1993-165 Class SH, 19.800% - 1 month U.S. LIBOR 19.3239% 9/25/23 (b)(k) | 2,398 | 2,903 | |
Series 2003-21 Class SK, 8.100% - 1 month U.S. LIBOR 7.9318% 3/25/33 (b)(j)(k) | 12,478 | 3,323 | |
Series 2005-72 Class ZC, 5.5% 8/25/35 | 527,573 | 592,916 | |
Series 2005-79 Class ZC, 5.9% 9/25/35 | 310,561 | 359,063 | |
Series 2007-57 Class SA, 40.600% - 1 month U.S. LIBOR 39.6105% 6/25/37 (b)(k) | 45,667 | 100,470 | |
Series 2007-66: | |||
Class SA, 39.600% - 1 month U.S. LIBOR 38.5905% 7/25/37 (b)(k) | 48,522 | 106,621 | |
Class SB, 39.600% - 1 month U.S. LIBOR 38.5905% 7/25/37 (b)(k) | 17,047 | 33,361 | |
Series 2008-12 Class SG, 6.350% - 1 month U.S. LIBOR 6.1818% 3/25/38 (b)(j)(k) | 271,626 | 60,308 | |
Series 2010-112 Class SG, 6.360% - 1 month U.S. LIBOR 6.1918% 6/25/21 (b)(j)(k) | 7 | 0 | |
Series 2010-135: | |||
Class LS, 6.050% - 1 month U.S. LIBOR 5.8818% 12/25/40 (b)(j)(k) | 256,691 | 54,799 | |
Class ZA, 4.5% 12/25/40 | 168,527 | 187,389 | |
Series 2010-139 Class NI, 4.5% 2/25/40 (j) | 165,124 | 11,347 | |
Series 2010-150 Class ZC, 4.75% 1/25/41 | 1,108,209 | 1,258,161 | |
Series 2010-17 Class DI, 4.5% 6/25/21 (j) | 15 | 0 | |
Series 2010-95 Class ZC, 5% 9/25/40 | 2,388,613 | 2,733,908 | |
Series 2010-97 Class CI, 4.5% 8/25/25 (j) | 2,735 | 2 | |
Series 2011-39 Class ZA, 6% 11/25/32 | 169,257 | 198,132 | |
Series 2011-4 Class PZ, 5% 2/25/41 | 478,645 | 549,598 | |
Series 2011-67 Class AI, 4% 7/25/26 (j) | 49,317 | 3,057 | |
Series 2011-83 Class DI, 6% 9/25/26 (j) | 38,693 | 1,708 | |
Series 2012-100 Class WI, 3% 9/25/27 (j) | 790,181 | 50,847 | |
Series 2012-14 Class JS, 6.650% - 1 month U.S. LIBOR 6.4818% 12/25/30 (b)(j)(k) | 276,935 | 18,413 | |
Series 2012-9 Class SH, 6.550% - 1 month U.S. LIBOR 6.3818% 6/25/41 (b)(j)(k) | 363,687 | 36,351 | |
Series 2013-133 Class IB, 3% 4/25/32 (j) | 553,740 | 20,363 | |
Series 2013-134 Class SA, 6.050% - 1 month U.S. LIBOR 5.8818% 1/25/44 (b)(j)(k) | 247,609 | 41,433 | |
Series 2013-44 Class DJ, 1.85% 5/25/33 | 15,514,102 | 15,773,085 | |
Series 2013-51 Class GI, 3% 10/25/32 (j) | 175,907 | 13,256 | |
Series 2013-N1 Class A, 6.720% - 1 month U.S. LIBOR 6.5518% 6/25/35 (b)(j)(k) | 208,825 | 49,438 | |
Series 2015-42 Class IL, 6% 6/25/45 (j) | 1,169,070 | 242,933 | |
Series 2015-70 Class JC, 3% 10/25/45 | 1,269,215 | 1,352,558 | |
Series 2017-30 Class AI, 5.5% 5/25/47 (j) | 552,881 | 109,554 | |
Fannie Mae Stripped Mortgage-Backed Securities: | |||
Series 339 Class 5, 5.5% 7/25/33 (j) | 37,190 | 6,879 | |
Series 343 Class 16, 5.5% 5/25/34 (j) | 32,191 | 5,390 | |
Series 348 Class 14, 6.5% 8/25/34 (b)(j) | 27,927 | 6,391 | |
Series 351: | |||
Class 12, 5.5% 4/25/34 (b)(j) | 18,115 | 3,364 | |
Class 13, 6% 3/25/34 (j) | 24,947 | 4,676 | |
Series 359 Class 19, 6% 7/25/35 (b)(j) | 15,422 | 3,167 | |
Series 384 Class 6, 5% 7/25/37 (j) | 164,786 | 28,450 | |
Freddie Mac: | |||
floater: | |||
Series 2412 Class FK, 1 month U.S. LIBOR + 0.800% 0.9836% 1/15/32 (b)(c) | 3,283 | 3,317 | |
Series 2423 Class FA, 1 month U.S. LIBOR + 0.900% 1.0836% 3/15/32 (b)(c) | 4,483 | 4,548 | |
Series 2424 Class FM, 1 month U.S. LIBOR + 1.000% 1.1836% 3/15/32 (b)(c) | 4,585 | 4,667 | |
Series 2432: | |||
Class FE, 1 month U.S. LIBOR + 0.900% 1.0836% 6/15/31 (b)(c) | 8,155 | 8,265 | |
Class FG, 1 month U.S. LIBOR + 0.900% 1.0836% 3/15/32 (b)(c) | 2,562 | 2,598 | |
Series 4709 Class FE, 1 month U.S. LIBOR + 0.350% 0.5336% 8/15/47 (b)(c) | 1,264,778 | 1,256,607 | |
floater target amortization class Series 3366 Class FD, 1 month U.S. LIBOR + 0.250% 0.4336% 5/15/37 (b)(c) | 182,231 | 181,292 | |
planned amortization class: | |||
Series 2006-15 Class OP 3/25/36 (l) | 135,814 | 128,278 | |
Series 2095 Class PE, 6% 11/15/28 | 83,713 | 93,010 | |
Series 2101 Class PD, 6% 11/15/28 | 5,363 | 5,939 | |
Series 2104 Class PG, 6% 12/15/28 | 5,654 | 6,296 | |
Series 2121 Class MG, 6% 2/15/29 | 33,766 | 37,505 | |
Series 2131 Class BG, 6% 3/15/29 | 179,599 | 200,006 | |
Series 2137 Class PG, 6% 3/15/29 | 26,613 | 29,667 | |
Series 2154 Class PT, 6% 5/15/29 | 61,628 | 68,696 | |
Series 2162 Class PH, 6% 6/15/29 | 11,303 | 12,509 | |
Series 2520 Class BE, 6% 11/15/32 | 76,718 | 87,760 | |
Series 2585 Class KS, 7.600% - 1 month U.S. LIBOR 7.4164% 3/15/23 (b)(j)(k) | 543 | 8 | |
Series 2693 Class MD, 5.5% 10/15/33 | 348,983 | 405,312 | |
Series 2802 Class OB, 6% 5/15/34 | 108,394 | 121,001 | |
Series 3002 Class NE, 5% 7/15/35 | 198,099 | 219,845 | |
Series 3110 Class OP 9/15/35 (l) | 74,266 | 72,192 | |
Series 3119 Class PO 2/15/36 (l) | 160,765 | 151,905 | |
Series 3121 Class KO 3/15/36 (l) | 25,993 | 24,798 | |
Series 3123 Class LO 3/15/36 (l) | 91,729 | 86,718 | |
Series 3145 Class GO 4/15/36 (l) | 89,839 | 85,346 | |
Series 3189 Class PD, 6% 7/15/36 | 168,877 | 201,891 | |
Series 3225 Class EO 10/15/36 (l) | 48,360 | 45,582 | |
Series 3258 Class PM, 5.5% 12/15/36 | 72,926 | 81,657 | |
Series 3415 Class PC, 5% 12/15/37 | 65,854 | 74,013 | |
Series 3786 Class HI, 4% 3/15/38 (j) | 112,978 | 3,557 | |
Series 3806 Class UP, 4.5% 2/15/41 | 531,001 | 580,901 | |
Series 3832 Class PE, 5% 3/15/41 | 772,000 | 869,121 | |
Series 4135 Class AB, 1.75% 6/15/42 | 169,978 | 173,868 | |
Series 4765 Class PE, 3% 12/15/41 | 854,071 | 879,949 | |
sequential payer: | |||
Series 2114 Class ZM, 6% 1/15/29 | 2,724 | 3,030 | |
Series 2135 Class JE, 6% 3/15/29 | 22,222 | 25,062 | |
Series 2274 Class ZM, 6.5% 1/15/31 | 21,810 | 25,275 | |
Series 2281 Class ZB, 6% 3/15/30 | 37,160 | 41,008 | |
Series 2303 Class ZV, 6% 4/15/31 | 16,593 | 18,563 | |
Series 2357 Class ZB, 6.5% 9/15/31 | 133,636 | 158,420 | |
Series 2502 Class ZC, 6% 9/15/32 | 40,971 | 46,765 | |
Series 2519 Class ZD, 5.5% 11/15/32 | 46,350 | 52,043 | |
Series 2546 Class MJ, 5.5% 3/15/23 | 12,973 | 13,621 | |
Series 2601 Class TB, 5.5% 4/15/23 | 6,137 | 6,435 | |
Series 2998 Class LY, 5.5% 7/15/25 | 24,261 | 25,944 | |
Series 3871 Class KB, 5.5% 6/15/41 | 880,411 | 1,053,489 | |
Series 06-3115 Class SM, 6.600% - 1 month U.S. LIBOR 6.4164% 2/15/36 (b)(j)(k) | 54,918 | 14,490 | |
Series 1658 Class GZ, 7% 1/15/24 | 7,659 | 8,243 | |
Series 2013-4281 Class AI, 4% 12/15/28 (j) | 482,083 | 26,527 | |
Series 2017-4683 Class LM, 3% 5/15/47 | 1,501,874 | 1,578,861 | |
Series 2380 Class SY, 8.200% - 1 month U.S. LIBOR 8.0164% 11/15/31 (b)(j)(k) | 34,680 | 5,628 | |
Series 2587 Class IM, 6.5% 3/15/33 (j) | 5,342 | 1,175 | |
Series 2844: | |||
Class SC, 46.800% - 1 month U.S. LIBOR 45.6064% 8/15/24 (b)(k) | 385 | 483 | |
Class SD, 86.400% - 1 month U.S. LIBOR 84.0628% 8/15/24 (b)(k) | 705 | 1,043 | |
Series 2933 Class ZM, 5.75% 2/15/35 | 638,395 | 760,156 | |
Series 2935 Class ZK, 5.5% 2/15/35 | 623,268 | 706,273 | |
Series 2947 Class XZ, 6% 3/15/35 | 268,936 | 310,092 | |
Series 2996 Class ZD, 5.5% 6/15/35 | 462,932 | 551,273 | |
Series 3237 Class C, 5.5% 11/15/36 | 700,353 | 816,080 | |
Series 3244 Class SG, 6.660% - 1 month U.S. LIBOR 6.4764% 11/15/36 (b)(j)(k) | 217,719 | 55,086 | |
Series 3287 Class SD, 6.750% - 1 month U.S. LIBOR 6.5664% 3/15/37 (b)(j)(k) | 327,883 | 88,380 | |
Series 3297 Class BI, 6.760% - 1 month U.S. LIBOR 6.5764% 4/15/37 (b)(j)(k) | 459,160 | 125,816 | |
Series 3336 Class LI, 6.580% - 1 month U.S. LIBOR 6.3964% 6/15/37 (b)(j)(k) | 165,310 | 38,880 | |
Series 3949 Class MK, 4.5% 10/15/34 | 141,060 | 154,293 | |
Series 3955 Class YI, 3% 11/15/21 (j) | 8,516 | 135 | |
Series 4055 Class BI, 3.5% 5/15/31 (j) | 509,595 | 21,559 | |
Series 4149 Class IO, 3% 1/15/33 (j) | 86,488 | 8,560 | |
Series 4314 Class AI, 5% 3/15/34 (j) | 145,989 | 10,969 | |
Series 4427 Class LI, 3.5% 2/15/34 (j) | 924,481 | 52,447 | |
Series 4471 Class PA 4% 12/15/40 | 930,191 | 989,633 | |
target amortization class Series 2156 Class TC, 6.25% 5/15/29 | 31,124 | 33,683 | |
Freddie Mac Manufactured Housing participation certificates guaranteed: | |||
floater Series 1686 Class FA, 1 month U.S. LIBOR + 0.900% 1.714% 2/15/24 (b)(c) | 9,620 | 9,647 | |
planned amortization class Series 2043 Class CJ, 6.5% 4/15/28 | 7,699 | 8,871 | |
sequential payer: | |||
Series 2043 Class ZH, 6% 4/15/28 | 23,732 | 26,322 | |
Series 2056 Class Z, 6% 5/15/28 | 47,126 | 52,344 | |
Freddie Mac Multi-family Structured pass-thru certificates: | |||
floater Series 4795 Class FA, 1 month U.S. LIBOR + 0.300% 0.4836% 5/15/48 (b)(c) | 4,071,257 | 4,039,466 | |
Series 4386 Class AZ, 4.5% 11/15/40 | 1,659,233 | 1,833,715 | |
Freddie Mac Seasoned Credit Risk Transfer Trust: | |||
sequential payer: | |||
Series 2018-3 Class MA, 3.5% 8/25/57 | 13,481,627 | 14,409,542 | |
Series 2018-4 Class MA, 3.5% 3/25/58 | 5,015,095 | 5,360,275 | |
Series 2019-1 Class MA, 3.5% 7/25/58 | 8,628,351 | 9,222,224 | |
Series 2018-3 Class M55D, 4% 8/25/57 | 616,481 | 647,028 | |
Ginnie Mae guaranteed REMIC pass-thru certificates: | |||
floater: | |||
Series 2007-37 Class TS, 6.690% - 1 month U.S. LIBOR 6.5079% 6/16/37 (b)(j)(k) | 97,491 | 24,491 | |
Series 2010-H03 Class FA, 1 month U.S. LIBOR + 0.550% 0.9909% 3/20/60 (b)(c)(m) | 1,094,873 | 1,094,868 | |
Series 2010-H17 Class FA, 1 month U.S. LIBOR + 0.330% 0.7709% 7/20/60 (b)(c)(m) | 140,810 | 139,925 | |
Series 2010-H18 Class AF, 1 month U.S. LIBOR + 0.300% 1.3163% 9/20/60 (b)(c)(m) | 170,948 | 169,875 | |
Series 2010-H19 Class FG, 1 month U.S. LIBOR + 0.300% 1.3163% 8/20/60 (b)(c)(m) | 176,994 | 175,907 | |
Series 2010-H27 Series FA, 1 month U.S. LIBOR + 0.380% 1.3963% 12/20/60 (b)(c)(m) | 361,869 | 360,270 | |
Series 2011-H05 Class FA, 1 month U.S. LIBOR + 0.500% 1.5163% 12/20/60 (b)(c)(m) | 479,230 | 478,861 | |
Series 2011-H07 Class FA, 1 month U.S. LIBOR + 0.500% 1.5163% 2/20/61 (b)(c)(m) | 846,225 | 845,848 | |
Series 2011-H12 Class FA, 1 month U.S. LIBOR + 0.490% 1.5063% 2/20/61 (b)(c)(m) | 1,161,664 | 1,160,908 | |
Series 2011-H13 Class FA, 1 month U.S. LIBOR + 0.500% 1.5163% 4/20/61 (b)(c)(m) | 420,182 | 419,822 | |
Series 2011-H14: | |||
Class FB, 1 month U.S. LIBOR + 0.500% 1.5163% 5/20/61 (b)(c)(m) | 561,238 | 560,725 | |
Class FC, 1 month U.S. LIBOR + 0.500% 1.5163% 5/20/61 (b)(c)(m) | 476,611 | 476,195 | |
Series 2011-H17 Class FA, 1 month U.S. LIBOR + 0.530% 1.5463% 6/20/61 (b)(c)(m) | 563,161 | 563,099 | |
Series 2011-H20 Class FA, 1 month U.S. LIBOR + 0.550% 1.5663% 9/20/61 (b)(c)(m) | 1,393,142 | 1,393,601 | |
Series 2011-H21 Class FA, 1 month U.S. LIBOR + 0.600% 1.6163% 10/20/61 (b)(c)(m) | 654,249 | 655,243 | |
Series 2012-H01 Class FA, 1 month U.S. LIBOR + 0.700% 1.7163% 11/20/61 (b)(c)(m) | 603,701 | 606,057 | |
Series 2012-H03 Class FA, 1 month U.S. LIBOR + 0.700% 1.7163% 1/20/62 (b)(c)(m) | 393,958 | 395,451 | |
Series 2012-H06 Class FA, 1 month U.S. LIBOR + 0.630% 1.6463% 1/20/62 (b)(c)(m) | 570,192 | 571,450 | |
Series 2012-H07 Class FA, 1 month U.S. LIBOR + 0.630% 1.6463% 3/20/62 (b)(c)(m) | 363,822 | 364,139 | |
Series 2012-H21 Class DF, 1 month U.S. LIBOR + 0.650% 1.6663% 5/20/61 (b)(c)(m) | 21,388 | 21,436 | |
Series 2012-H26, Class CA, 1 month U.S. LIBOR + 0.530% 1.5463% 7/20/60 (b)(c)(m) | 12,649 | 12,653 | |
Series 2014-H03 Class FA, 1 month U.S. LIBOR + 0.600% 1.6163% 1/20/64 (b)(c)(m) | 541,881 | 542,635 | |
Series 2014-H05 Class FB, 1 month U.S. LIBOR + 0.600% 1.6163% 12/20/63 (b)(c)(m) | 1,879,050 | 1,881,939 | |
Series 2014-H11 Class BA, 1 month U.S. LIBOR + 0.500% 1.5163% 6/20/64 (b)(c)(m) | 489,744 | 489,326 | |
Series 2015-H07 Class FA, 1 month U.S. LIBOR + 0.300% 1.3163% 3/20/65 (b)(c)(m) | 22,075 | 22,015 | |
Series 2015-H13 Class FL, 1 month U.S. LIBOR + 0.280% 1.2963% 5/20/63 (b)(c)(m) | 23,990 | 23,910 | |
Series 2015-H19 Class FA, 1 month U.S. LIBOR + 0.200% 1.2163% 4/20/63 (b)(c)(m) | 41,071 | 40,821 | |
Series 2016-H20 Class FM, 1 month U.S. LIBOR + 0.400% 1.4163% 12/20/62 (b)(c)(m) | 37,576 | 37,463 | |
Series 2017-161 Class DF, 1 month U.S. LIBOR + 0.250% 0.4208% 10/20/47 (b)(c) | 1,324,989 | 1,314,398 | |
Series 2018-159 Class F, 1 month U.S. LIBOR + 0.350% 0.5208% 11/20/48 (b)(c) | 3,462,714 | 3,457,378 | |
Series 2018-65 Class DF, 1 month U.S. LIBOR + 0.300% 0.4708% 5/20/48 (b)(c) | 1,589,516 | 1,580,068 | |
Series 2018-77 Class FA, 1 month U.S. LIBOR + 0.300% 0.4708% 6/20/48 (b)(c) | 1,866,586 | 1,855,388 | |
Series 2018-78 Class AF, 1 month U.S. LIBOR + 0.300% 0.4708% 6/20/48 (b)(c) | 2,009,001 | 2,002,788 | |
planned amortization class: | |||
Series 2010-158 Class MS, 10.000% - 1 month U.S. LIBOR 9.6585% 12/20/40 (b)(k) | 1,158,415 | 1,397,306 | |
Series 2011-136 Class WI, 4.5% 5/20/40 (j) | 111,589 | 7,262 | |
Series 2016-69 Class WA, 3% 2/20/46 | 829,066 | 874,905 | |
Series 2017-134 Class BA, 2.5% 11/20/46 | 233,436 | 243,628 | |
Series 2017-153 Class GA, 3% 9/20/47 | 2,299,572 | 2,420,694 | |
Series 2017-182 Class KA, 3% 10/20/47 | 2,155,269 | 2,266,714 | |
Series 2018-13 Class Q, 3% 4/20/47 | 2,837,656 | 2,967,952 | |
sequential payer: | |||
Series 2002-42 Class ZA, 6% 6/20/32 | 12,796 | 14,826 | |
Series 2004-24 Class ZM, 5% 4/20/34 | 293,743 | 334,918 | |
Series 2010-160 Class DY, 4% 12/20/40 | 2,552,752 | 2,816,707 | |
Series 2010-170 Class B, 4% 12/20/40 | 566,281 | 624,946 | |
Series 2016-H02 Class FM, 1 month U.S. LIBOR + 0.500% 1.5163% 9/20/62 (b)(c)(m) | 353,810 | 353,840 | |
Series 2016-H04 Class FE, 1 month U.S. LIBOR + 0.650% 1.6663% 11/20/65 (b)(c)(m) | 53,765 | 53,794 | |
Series 2017-139 Class BA, 3% 9/20/47 | 7,901,876 | 8,468,479 | |
Series 2004-32 Class GS, 6.500% - 1 month U.S. LIBOR 6.3179% 5/16/34 (b)(j)(k) | 64,930 | 14,134 | |
Series 2004-73 Class AL, 7.200% - 1 month U.S. LIBOR 7.0179% 8/17/34 (b)(j)(k) | 53,907 | 13,930 | |
Series 2010-116 Class QB, 4% 9/16/40 | 170,756 | 183,749 | |
Series 2010-14 Class SN, 5.950% - 1 month U.S. LIBOR 5.7679% 2/16/40 (b)(j)(k) | 354,342 | 67,669 | |
Series 2010-H10 Class FA, 1 month U.S. LIBOR + 0.330% 0.7709% 5/20/60 (b)(c)(m) | 418,470 | 415,870 | |
Series 2011-52 Class HI, 7% 4/16/41 (j) | 59,746 | 12,441 | |
Series 2011-94 Class SA, 6.100% - 1 month U.S. LIBOR 5.9293% 7/20/41 (b)(j)(k) | 215,972 | 42,254 | |
Series 2012-76 Class GS, 6.700% - 1 month U.S. LIBOR 6.5179% 6/16/42 (b)(j)(k) | 216,409 | 51,557 | |
Series 2013-124: | |||
Class ES, 8.667% - 1 month U.S. LIBOR 8.439% 4/20/39 (b)(k) | 133,994 | 139,414 | |
Class ST, 8.800% - 1 month U.S. LIBOR 8.5723% 8/20/39 (b)(k) | 518,549 | 538,489 | |
Series 2013-149 Class MA, 2.5% 5/20/40 | 2,927,984 | 3,062,490 | |
Series 2014-2 Class BA, 3% 1/20/44 | 3,865,716 | 4,167,788 | |
Series 2014-21 Class HA, 3% 2/20/44 | 1,715,327 | 1,807,180 | |
Series 2014-25 Class HC, 3% 2/20/44 | 2,647,939 | 2,884,921 | |
Series 2014-5 Class A, 3% 1/20/44 | 2,367,826 | 2,539,670 | |
Series 2015-H13 Class HA, 2.5% 8/20/64 (m) | 444,374 | 447,306 | |
Series 2015-H17 Class HA, 2.5% 5/20/65 (m) | 338,772 | 339,525 | |
Series 2015-H21 Class HA, 2.5% 6/20/63 (m) | 2,461 | 2,461 | |
Series 2016-H13 Class FB, U.S. TREASURY 1 YEAR INDEX + 0.500% 0.67% 5/20/66 (b)(c)(m) | 3,635,318 | 3,610,704 | |
Series 2017-186 Class HK, 3% 11/16/45 | 2,211,859 | 2,346,509 | |
Series 2017-H06 Class FA, U.S. TREASURY 1 YEAR INDEX + 0.350% 0.52% 8/20/66 (b)(c)(m) | 4,039,552 | 3,999,219 | |
Ginnie Mae REMIC Trust Series 2015-H17 Class GZ, 4.1538% 5/20/65 (b)(m) | 143,313 | 150,392 | |
TOTAL U.S. GOVERNMENT AGENCY | 159,376,757 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | |||
(Cost $214,346,544) | 219,072,088 | ||
Commercial Mortgage Securities - 2.6% | |||
BAMLL Commercial Mortgage Securities Trust: | |||
sequential payer Series 2019-BPR: | |||
Class AMP, 3.287% 11/5/32 (a) | 10,500,000 | 10,324,773 | |
Class ANM, 3.112% 11/5/32 (a) | 5,768,000 | 5,265,912 | |
Series 2019-BPR: | |||
Class BNM, 3.465% 11/5/32 (a) | 1,295,000 | 1,046,333 | |
Class CNM, 3.8425% 11/5/32 (a)(b) | 536,000 | 424,019 | |
BANK sequential payer: | |||
Series 2018-BN10: | |||
Class A4, 3.428% 2/15/61 | 10,050,000 | 11,013,542 | |
Class A5, 3.688% 2/15/61 | 6,167,000 | 6,867,725 | |
Series 2019-BN21 Class A5, 2.851% 10/17/52 | 1,112,000 | 1,188,762 | |
Series 2019-BN23 Class A3, 2.92% 12/15/52 | 9,000,000 | 9,694,740 | |
Series 2019-BN24 Class A3, 2.96% 11/15/62 | 4,100,000 | 4,431,361 | |
Barclays Commercial Mortgage Securities LLC Series 2015-STP Class A, 3.3228% 9/10/28 (a) | 67,498 | 67,470 | |
Bayview Commercial Asset Trust floater: | |||
Series 2005-3A: | |||
Class A2, 1 month U.S. LIBOR + 0.400% 0.5683% 11/25/35 (a)(b)(c) | 42,298 | 36,204 | |
Class M1, 1 month U.S. LIBOR + 0.440% 0.6083% 11/25/35 (a)(b)(c) | 11,315 | 9,642 | |
Series 2005-4A: | |||
Class A2, 1 month U.S. LIBOR + 0.390% 0.5583% 1/25/36 (a)(b)(c) | 107,205 | 96,416 | |
Class M1, 1 month U.S. LIBOR + 0.450% 0.6183% 1/25/36 (a)(b)(c) | 34,609 | 31,059 | |
Class M2, 1 month U.S. LIBOR + 0.470% 0.6383% 1/25/36 (a)(b)(c) | 13,051 | 11,614 | |
Class M3, 1 month U.S. LIBOR + 0.500% 0.6683% 1/25/36 (a)(b)(c) | 18,994 | 16,770 | |
Series 2006-1: | |||
Class A2, 1 month U.S. LIBOR + 0.360% 0.5283% 4/25/36 (a)(b)(c) | 17,998 | 15,497 | |
Class M1, 1 month U.S. LIBOR + 0.380% 0.5483% 4/25/36 (a)(b)(c) | 10,883 | 9,301 | |
Class M2, 1 month U.S. LIBOR + 0.400% 0.5683% 4/25/36 (a)(b)(c) | 11,511 | 8,762 | |
Class M6, 1 month U.S. LIBOR + 0.640% 0.8083% 4/25/36 (a)(b)(c) | 10,883 | 8,089 | |
Series 2006-2A: | |||
Class M1, 1 month U.S. LIBOR + 0.310% 0.4783% 7/25/36 (a)(b)(c) | 16,902 | 12,811 | |
Class M2, 1 month U.S. LIBOR + 0.330% 0.4983% 7/25/36 (a)(b)(c) | 12,009 | 9,621 | |
Class M4, 1 month U.S. LIBOR + 0.420% 0.5883% 7/25/36 (a)(b)(c) | 11,342 | 8,192 | |
Series 2006-4A: | |||
Class A2, 1 month U.S. LIBOR + 0.270% 0.4383% 12/25/36 (a)(b)(c) | 266,502 | 233,473 | |
Class M1, 1 month U.S. LIBOR + 0.290% 0.4583% 12/25/36 (a)(b)(c) | 21,418 | 15,892 | |
Class M3, 1 month U.S. LIBOR + 0.340% 0.5083% 12/25/36 (a)(b)(c) | 14,518 | 9,981 | |
Series 2007-1 Class A2, 1 month U.S. LIBOR + 0.270% 0.4383% 3/25/37 (a)(b)(c) | 64,384 | 58,712 | |
Series 2007-2A: | |||
Class A1, 1 month U.S. LIBOR + 0.270% 0.4383% 7/25/37 (a)(b)(c) | 192,018 | 167,265 | |
Class A2, 1 month U.S. LIBOR + 0.320% 0.4883% 7/25/37 (a)(b)(c) | 179,727 | 153,897 | |
Class M1, 1 month U.S. LIBOR + 0.370% 0.5383% 7/25/37 (a)(b)(c) | 61,223 | 45,917 | |
Class M2, 1 month U.S. LIBOR + 0.410% 0.5783% 7/25/37 (a)(b)(c) | 39,888 | 29,397 | |
Class M3, 1 month U.S. LIBOR + 0.490% 0.6583% 7/25/37 (a)(b)(c) | 35,064 | 30,396 | |
Series 2007-3: | |||
Class A2, 1 month U.S. LIBOR + 0.290% 0.4583% 7/25/37 (a)(b)(c) | 67,651 | 55,511 | |
Class M1, 1 month U.S. LIBOR + 0.310% 0.4783% 7/25/37 (a)(b)(c) | 35,886 | 29,082 | |
Class M2, 1 month U.S. LIBOR + 0.340% 0.5083% 7/25/37 (a)(b)(c) | 38,290 | 30,432 | |
Class M3, 1 month U.S. LIBOR + 0.370% 0.5383% 7/25/37 (a)(b)(c) | 61,813 | 49,765 | |
Class M4, 1 month U.S. LIBOR + 0.500% 0.6683% 7/25/37 (a)(b)(c) | 97,185 | 77,291 | |
Class M5, 1 month U.S. LIBOR + 0.600% 0.7683% 7/25/37 (a)(b)(c) | 40,328 | 29,602 | |
Benchmark Mortgage Trust: | |||
sequential payer: | |||
Series 2018-B4 Class A5, 4.121% 7/15/51 | 1,260,000 | 1,449,330 | |
Series 2019-B10 Class A4, 3.717% 3/15/62 | 2,283,000 | 2,579,544 | |
Series 2019-B11 Class A5, 3.5421% 5/15/52 | 8,500,000 | 9,502,242 | |
Series 2019-B13 Class A4, 2.952% 8/15/57 | 30,611,000 | 33,038,694 | |
Series 2019-B14 Class A5, 3.0486% 12/15/62 | 5,422,000 | 5,898,890 | |
Series 2020-B17 Class A5, 2.289% 3/15/53 | 13,300,000 | 13,602,280 | |
Series 2018-B8 Class A5, 4.2317% 1/15/52 | 15,369,000 | 17,903,579 | |
Series 2019-B12 Class XA, 1.0675% 8/15/52 (b)(j) | 75,791,470 | 4,906,520 | |
Series 2019-B14 Class XA, 0.7902% 12/15/62 (b)(j) | 50,926,062 | 2,490,987 | |
Series 2020-B17 Class XA, 1.5424% 3/15/53 (b)(j) | 11,998,866 | 1,081,218 | |
BX Commercial Mortgage Trust: | |||
floater Series 2020-BXLP: | |||
Class B, 1 month U.S. LIBOR + 1.000% 1.1836% 12/15/36 (a)(b)(c) | 6,574,000 | 6,293,994 | |
Class C, 1 month U.S. LIBOR + 1.120% 1.3036% 12/15/36 (a)(b)(c) | 5,396,000 | 5,112,091 | |
Class D, 1 month U.S. LIBOR + 1.250% 1.4336% 12/15/36 (a)(b)(c) | 6,058,000 | 5,693,753 | |
floater sequential payer: | |||
Series 2019-CALM Class A, 1 month U.S. LIBOR + 0.870% 1.0596% 11/15/32 (a)(b)(c) | 2,254,000 | 2,147,895 | |
Series 2020-BXLP Class A, 1 month U.S. LIBOR + 0.800% 0.9836% 12/15/36 (a)(b)(c) | 13,587,000 | 13,144,459 | |
BX Trust: | |||
floater: | |||
Series 2018-EXCL: | |||
Class A, 1 month U.S. LIBOR + 1.088% 1.2713% 9/15/37 (a)(b)(c) | 11,493,874 | 10,091,661 | |
Class B, 1 month U.S. LIBOR + 1.320% 1.5086% 9/15/37 (a)(b)(c) | 4,536,936 | 3,877,954 | |
Class D, 1 month U.S. LIBOR + 2.620% 2.8086% 9/15/37 (a)(b)(c) | 2,186,803 | 1,568,374 | |
Series 2018-IND: | |||
Class B, 1 month U.S. LIBOR + 0.900% 1.0836% 11/15/35 (a)(b)(c) | 3,999,800 | 3,889,464 | |
Class C, 1 month U.S. LIBOR + 1.100% 1.2836% 11/15/35 (a)(b)(c) | 893,200 | 867,441 | |
Class F, 1 month U.S. LIBOR + 1.800% 1.9836% 11/15/35 (a)(b)(c) | 2,356,900 | 2,238,706 | |
Series 2019-IMC: | |||
Class B, 1 month U.S. LIBOR + 1.300% 1.4836% 4/15/34 (a)(b)(c) | 4,437,000 | 3,947,356 | |
Class C, 1 month U.S. LIBOR + 1.600% 1.7836% 4/15/34 (a)(b)(c) | 2,933,000 | 2,550,502 | |
Class D, 1 month U.S. LIBOR + 1.900% 2.0836% 4/15/34 (a)(b)(c) | 3,079,000 | 2,566,686 | |
Series 2019-XL: | |||
Class B, 1 month U.S. LIBOR + 1.080% 1.2636% 10/15/36 (a)(b)(c) | 4,281,150 | 4,136,337 | |
Class C, 1 month U.S. LIBOR + 1.250% 1.4336% 10/15/36 (a)(b)(c) | 5,381,771 | 5,172,754 | |
Class D, 1 month U.S. LIBOR + 1.450% 1.6336% 10/15/36 (a)(b)(c) | 7,623,141 | 7,298,426 | |
Class E, 1 month U.S. LIBOR + 1.800% 1.9836% 10/15/36 (a)(b)(c) | 10,710,995 | 10,134,019 | |
Series 2020-BXLP Class E, 1 month U.S. LIBOR + 1.600% 1.7836% 12/15/36 (a)(b)(c) | 5,747,000 | 5,343,867 | |
floater, sequential payer: | |||
Series 2019-IMC Class A, 1 month U.S. LIBOR + 1.000% 1.1836% 4/15/34 (a)(b)(c) | 11,557,000 | 10,629,385 | |
Series 2019-XL Class A, 1 month U.S. LIBOR + 0.920% 1.1036% 10/15/36 (a)(b)(c) | 30,552,754 | 29,940,296 | |
CGDB Commercial Mortgage Trust floater Series 2019-MOB: | |||
Class A, 1 month U.S. LIBOR + 0.950% 1.1336% 11/15/36 (a)(b)(c) | 4,222,000 | 4,010,289 | |
Class B, 1 month U.S. LIBOR + 1.250% 1.4336% 11/15/36 (a)(b)(c) | 1,600,000 | 1,511,749 | |
CHC Commercial Mortgage Trust floater Series 2019-CHC: | |||
Class A, 1 month U.S. LIBOR + 1.120% 1.3036% 6/15/34 (a)(b)(c) | 21,133,804 | 20,346,614 | |
Class B, 1 month U.S. LIBOR + 1.500% 1.6836% 6/15/34 (a)(b)(c) | 2,169,638 | 1,935,853 | |
Class C, 1 month U.S. LIBOR + 1.750% 1.9336% 6/15/34 (a)(b)(c) | 2,451,422 | 2,107,433 | |
Citigroup Commercial Mortgage Trust: | |||
sequential payer: | |||
Series 2017-P7 Class AAB, 3.509% 4/14/50 | 740,000 | 791,658 | |
Series 2020-GC46 Class A5, 2.717% 2/15/53 | 20,180,000 | 21,463,339 | |
Series 2015-GC33 Class XA, 0.8915% 9/10/58 (b)(j) | 1,620,162 | 61,041 | |
Series 2016-P6 Class XA, 0.7875% 12/10/49 (b)(j) | 1,641,825 | 47,866 | |
COMM Mortgage Trust: | |||
sequential payer: | |||
Series 2014-CR18 Class A5, 3.828% 7/15/47 | 2,137,000 | 2,297,490 | |
Series 2017-CD4 Class ASB, 3.317% 5/10/50 | 2,000,000 | 2,132,423 | |
Series 2019-GC44 Class A5, 2.95% 8/15/57 | 11,300,000 | 12,201,715 | |
Series 2014-CR20 Class XA, 1.0257% 11/10/47 (b)(j) | 390,605 | 14,198 | |
Series 2014-LC17 Class XA, 0.7666% 10/10/47 (b)(j) | 1,367,196 | 34,215 | |
Series 2014-UBS6 Class XA, 0.8907% 12/10/47 (b)(j) | 982,994 | 29,946 | |
Core Industrial Trust floater Series 2019-CORE Class A, 1 month U.S. LIBOR + 0.880% 1.0636% 12/15/31 (a)(b)(c) | 1,667,000 | 1,604,202 | |
Credit Suisse Mortgage Trust: | |||
floater Series 2019-ICE4: | |||
Class A, 1 month U.S. LIBOR + 0.980% 1.1636% 5/15/36 (a)(b)(c) | 36,210,000 | 35,370,544 | |
Class B, 1 month U.S. LIBOR + 1.230% 1.4136% 5/15/36 (a)(b)(c) | 6,081,000 | 5,882,863 | |
Class C, 1 month U.S. LIBOR + 1.430% 1.6136% 5/15/36 (a)(b)(c) | 7,314,000 | 7,002,373 | |
Series 2018-SITE: | |||
Class A, 4.284% 4/15/36 (a) | 4,971,000 | 4,847,256 | |
Class B, 4.5349% 4/15/36 (a) | 1,471,000 | 1,400,326 | |
Class C, 4.782% 4/15/36 (a)(b) | 955,000 | 886,955 | |
Class D, 4.782% 4/15/36 (a)(b) | 1,909,000 | 1,710,760 | |
Freddie Mac: | |||
sequential payer: | |||
Series 2020-K104 Class A2, 2.253% 1/25/30 | 8,100,000 | 8,810,361 | |
Series K069 Class A2, 3.187% 9/25/27 | 3,630,000 | 4,109,978 | |
Series K073 Class A2, 3.35% 1/25/28 | 6,811,000 | 7,804,347 | |
Series K734 Class A2, 3.208% 2/25/26 | 2,438,000 | 2,696,129 | |
GS Mortgage Securities Trust: | |||
floater Series 2018-3PCK Class A, 1 month U.S. LIBOR + 1.450% 1.6336% 9/15/31 (a)(b)(c) | 20,025,000 | 18,487,911 | |
sequential payer: | |||
Series 2014-GC18 Class AAB, 3.648% 1/10/47 | 900,157 | 928,427 | |
Series 2019-GC39 Class A4, 3.567% 5/10/52 | 1,800,000 | 2,014,432 | |
Series 2020-GC45 Class A5, 2.9106% 2/13/53 | 17,280,000 | 18,606,974 | |
Series 2011-GC5 Class A/S, 5.209% 8/10/44 (a) | 3,500,000 | 3,577,050 | |
JPMBB Commercial Mortgage Securities Trust Series 2013-C14 Class A/S, 4.4093% 8/15/46 | 3,700,000 | 3,862,176 | |
JPMDB Commercial Mortgage Securities Trust sequential payer Series 2019-COR6 Class A4, 3.0565% 11/13/52 | 2,872,000 | 3,113,322 | |
JPMorgan Chase Commercial Mortgage Securities Corp. Series 2012-C6 Class A/S, 4.1166% 5/15/45 | 500,000 | 511,928 | |
JPMorgan Chase Commercial Mortgage Securities Trust: | |||
floater Series 2019-BKWD Class A, 1 month U.S. LIBOR + 1.000% 1.1836% 9/15/29 (a)(b)(c) | 6,400,000 | 6,160,167 | |
Series 2018-WPT: | |||
Class AFX, 4.2475% 7/5/33 (a) | 84,000 | 86,431 | |
Class CFX, 4.9498% 7/5/33 (a) | 767,000 | 775,045 | |
Class DFX, 5.3503% 7/5/33 (a) | 1,180,000 | 1,172,721 | |
Class EFX, 5.5422% 7/5/33 (a) | 1,614,000 | 1,557,512 | |
Ladder Capital Commercial Mortgage Securities Trust: | |||
sequential payer Series 2014-909 Class A, 3.388% 5/15/31 (a) | 12,000,000 | 12,039,988 | |
Series 2014-909 Class B, 3.59% 5/15/31 (a) | 7,769,000 | 7,733,847 | |
Morgan Stanley BAML Trust: | |||
sequential payer Series 2017-C33 Class A4, 3.337% 5/15/50 | 13,400,000 | 14,372,214 | |
Series 2015-C25 Class XA, 1.0859% 10/15/48 (b)(j) | 994,621 | 40,638 | |
Morgan Stanley Capital I Trust: | |||
floater: | |||
Series 2018-BOP Class A, 1 month U.S. LIBOR + 0.850% 1.0336% 8/15/33 (a)(b)(c) | 213,000 | 203,871 | |
Series 2019-AGLN Class A, 1 month U.S. LIBOR + 0.950% 1.1336% 3/15/34 (a)(b)(c) | 8,620,000 | 8,252,177 | |
floater sequential payer Series 2019-NUGS Class A, 1 month U.S. LIBOR + 0.950% 2.45% 12/15/36 (a)(b)(c) | 9,700,000 | 9,250,036 | |
sequential payer Series 2019-MEAD Class A, 3.17% 11/10/36 (a) | 16,247,000 | 15,449,973 | |
Series 2011-C3 Class AJ, 5.2444% 7/15/49 (a)(b) | 5,300,000 | 5,453,922 | |
Series 2018-H4 Class A4, 4.31% 12/15/51 | 2,991,000 | 3,450,963 | |
Series 2019-MEAD: | |||
Class B, 3.1771% 11/10/36 (a) | 1,783,000 | 1,677,573 | |
Class C, 3.1771% 11/10/36 (a) | 1,712,000 | 1,537,831 | |
MSCG Trust Series 2016-SNR: | |||
Class B, 4.181% 11/15/34 (a) | 30,056 | 29,081 | |
Class C, 5.205% 11/15/34 (a) | 948,600 | 924,694 | |
NYT Mortgage Trust floater Series 2019-NYT Class A, 1 month U.S. LIBOR + 1.200% 1.3836% 12/15/35 (a)(b)(c) | 20,822,000 | 19,866,997 | |
RETL floater Series 2019-RVP: | |||
Class A, 1 month U.S. LIBOR + 1.150% 1.3336% 3/15/36 (a)(b)(c) | 1,165,311 | 1,101,916 | |
Class B, 1 month U.S. LIBOR + 1.550% 1.7336% 3/15/36 (a)(b)(c)�� | 2,800,000 | 2,508,593 | |
Class C, 1 month U.S. LIBOR + 2.100% 2.2836% 3/15/36 (a)(b)(c) | 10,537,000 | 9,183,209 | |
UBS Commercial Mortgage Trust: | |||
sequential payer Series 2017-C7 Class ASB, 3.586% 12/15/50 | 1,000,000 | 1,083,907 | |
Series 2017-C7 Class XA, 1.052% 12/15/50 (b)(j) | 1,241,140 | 69,364 | |
UBS-Barclays Commercial Mortgage Trust floater Series 2013-C6 Class A3, 1 month U.S. LIBOR + 0.790% 0.988% 4/10/46 (a)(b)(c) | 113,853 | 116,101 | |
Wells Fargo Commercial Mortgage Trust: | |||
sequential payer: | |||
Series 2015-C26 Class A4, 3.166% 2/15/48 | 11,250,000 | 11,897,785 | |
Series 2015-C29 Class ASB, 3.4% 6/15/48 | 6,165,972 | 6,415,488 | |
Series 2016-LC24 Class A3, 2.684% 10/15/49 | 4,700,000 | 4,888,402 | |
Series 2017-C40 Class ASB, 3.395% 10/15/50 | 1,000,000 | 1,073,467 | |
Series 2018-C44 Class ASB, 4.167% 5/15/51 | 1,000,000 | 1,119,928 | |
Series 2019-C52 Class A5, 2.892% 8/15/52 | 3,829,000 | 4,091,779 | |
Series 2019-C54 Class ASB, 3.063% 12/15/52 | 1,000,000 | 1,072,432 | |
Series 2015-SG1 Class ASB, 3.556% 9/15/48 | 5,200,000 | 5,429,991 | |
Series 2017-C42 Class XA, 0.8881% 12/15/50 (b)(j) | 1,456,703 | 76,841 | |
Series 2018-C48 Class A5, 4.302% 1/15/52 | 3,836,000 | 4,449,204 | |
WF-RBS Commercial Mortgage Trust floater Series 2013-C14 Class A3, 1 month U.S. LIBOR + 0.720% 0.9036% 6/15/46 (a)(b)(c) | 104,171 | 104,639 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES | |||
(Cost $657,769,794) | 647,646,802 | ||
Municipal Securities - 0.2% | |||
Illinois Gen. Oblig.: | |||
Series 2003: | $ | $ | |
4.95% 6/1/23 | 4,114,909 | 4,099,725 | |
5.1% 6/1/33 | 22,095,000 | 21,306,209 | |
Series 2010-1, 6.63% 2/1/35 | 2,035,000 | 2,124,418 | |
Series 2010-3: | |||
6.725% 4/1/35 | 2,710,000 | 2,822,004 | |
7.35% 7/1/35 | 1,385,000 | 1,492,975 | |
Series 2010-5, 6.2% 7/1/21 | 590,000 | 593,322 | |
New Jersey Econ. Dev. Auth. State Pension Fdg. Rev. Series 1997, 7.425% 2/15/29 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 11,609,000 | 13,598,434 | |
TOTAL MUNICIPAL SECURITIES | |||
(Cost $47,115,159) | 46,037,087 | ||
Foreign Government and Government Agency Obligations - 0.1% | |||
State of Qatar: | |||
3.4% 4/16/25 (a) | 4,110,000 | 4,395,131 | |
3.75% 4/16/30 (a) | 5,210,000 | 5,792,869 | |
4.4% 4/16/50 (a) | 4,845,000 | 5,753,438 | |
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | |||
(Cost $14,142,757) | 15,941,438 | ||
Bank Notes - 0.1% | |||
Capital One NA 2.95% 7/23/21 | 3,754,000 | 3,817,700 | |
Discover Bank: | |||
3.1% 6/4/20 | $4,072,000 | $4,072,312 | |
3.2% 8/9/21 | 4,613,000 | 4,659,865 | |
4.682% 8/9/28 (b) | 2,954,000 | 2,956,363 | |
KeyBank NA 6.95% 2/1/28 | 619,000 | 780,417 | |
PNC Bank NA 2.45% 11/5/20 | 4,575,000 | 4,603,060 | |
RBS Citizens NA 2.55% 5/13/21 | 1,236,000 | 1,256,243 | |
Regions Bank 6.45% 6/26/37 | 4,251,000 | 5,637,831 | |
Synchrony Bank 3.65% 5/24/21 | 4,817,000 | 4,883,605 | |
TOTAL BANK NOTES | |||
(Cost $31,501,442) | 32,667,396 | ||
Shares | Value | ||
Fixed-Income Funds - 51.3% | |||
Bank Loan Funds - 2.3% | |||
Fidelity Floating Rate High Income Fund (n) | 63,553,686 | $554,823,681 | |
High Yield Fixed-Income Funds - 2.5% | |||
Fidelity High Income Fund (n) | 23,106,975 | 189,708,266 | |
Fidelity New Markets Income Fund (n) | 31,628,922 | 437,744,286 | |
TOTAL HIGH YIELD FIXED-INCOME FUNDS | 627,452,552 | ||
Inflation-Protected Bond Funds - 1.7% | |||
Fidelity Inflation-Protected Bond Index Fund (n) | 39,534,157 | 417,876,035 | |
Intermediate-Term Bond Funds - 37.8% | |||
Fidelity Global Credit Fund (n) | 2,727,864 | 26,242,053 | |
Fidelity SAI Total Bond Fund (n) | 860,170,253 | 9,212,423,374 | |
Fidelity Sustainability Bond Index Fund (n) | 2,318,779 | 25,576,136 | |
Fidelity U.S. Bond Index Fund (n) | 8,101,740 | 101,109,716 | |
TOTAL INTERMEDIATE-TERM BOND FUNDS | 9,365,351,279 | ||
Investment Grade Fixed-Income Funds - 2.0% | |||
Fidelity Corporate Bond Fund (n) | 40,452,566 | 502,825,401 | |
Long Government Bond Funds - 4.5% | |||
Fidelity SAI Long-Term Treasury Bond Index Fund (n) | 83,495,506 | 1,107,985,358 | |
Sector Funds - 0.5% | |||
Fidelity Advisor Real Estate Income Fund Class Z (n) | 12,616,986 | 130,711,979 | |
TOTAL FIXED-INCOME FUNDS | |||
(Cost $12,106,616,637) | 12,707,026,285 | ||
Principal Amount | Value | ||
Preferred Securities - 0.1% | |||
ENERGY - 0.0% | |||
Oil, Gas & Consumable Fuels - 0.0% | |||
MPLX LP 6.875% (b)(o) | 734,000 | 641,686 | |
FINANCIALS - 0.1% | |||
Banks - 0.1% | |||
Bank of America Corp. 6.25% (b)(o) | 4,113,000 | 4,344,155 | |
Bank of Nova Scotia 4.65% (b)(o) | 13,095,000 | 12,545,466 | |
Barclays Bank PLC 7.625% 11/21/22 | 4,883,000 | 5,260,354 | |
Barclays PLC 7.875% (Reg. S) (b)(o) | 695,000 | 715,137 | |
Citigroup, Inc. 4.7% (b)(o) | 520,000 | 461,132 | |
JPMorgan Chase & Co. 4.6% (b)(o) | 1,175,000 | 1,061,201 | |
Royal Bank of Scotland Group PLC 7.5% (b)(o) | 476,000 | 472,297 | |
Wells Fargo & Co. 5.9% (b)(o) | 671,000 | 685,327 | |
25,545,069 | |||
INDUSTRIALS - 0.0% | |||
Trading Companies & Distributors - 0.0% | |||
AerCap Holdings NV 5.875% 10/10/79 (b) | 1,785,000 | 1,240,983 | |
TOTAL PREFERRED SECURITIES | |||
(Cost $28,422,599) | 27,427,738 | ||
Shares | Value | ||
Money Market Funds - 6.2% | |||
Fidelity Cash Central Fund 0.11% (p) | 1,034,267,295 | 1,034,474,149 | |
Fidelity Investments Money Market Government Portfolio Institutional Class 0.12% (n)(q) | 502,472,950 | 502,472,950 | |
TOTAL MONEY MARKET FUNDS | |||
(Cost $1,536,947,060) | 1,536,947,099 |
Purchased Swaptions - 0.0% | ||||
Expiration Date | Notional Amount | Value | ||
Put Options - 0.0% | ||||
Option on an interest rate swap with Bank of America N.A. to pay semi-annually a fixed rate of 1.0375% and receive quarterly a floating rate based on 3-month LIBOR, expiring March 2032 | 3/7/22 | 8,800,000 | $205,959 | |
Option on an interest rate swap with Bank of America N.A. to pay semi-annually a fixed rate of 1.78% and receive quarterly a floating rate based on 3-month LIBOR, expiring October 2029 | 10/15/24 | 4,600,000 | 45,463 | |
Option on an interest rate swap with Bank of America N.A. to pay semi-annually a fixed rate of 1.785% and receive quarterly a floating rate based on 3-month LIBOR, expiring October 2029 | 10/24/24 | 27,200,000 | 270,246 | |
Option on an interest rate swap with Bank of America N.A. to pay semi-annually a fixed rate of 1.82% and receive quarterly a floating rate based on 3-month LIBOR, expiring October 2029 | 10/18/24 | 33,500,000 | 318,582 | |
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 1.4% and receive quarterly a floating rate based on 3-month LIBOR, expiring February 2030 | 2/26/25 | 2,800,000 | 46,012 | |
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 2.2% and receive quarterly a floating rate based on 3-month LIBOR, expiring July 2029 | 7/18/24 | 43,600,000 | 244,919 | |
Option on an interest rate swap with JPMorgan Chase Bank N.A. to pay semi-annually a fixed rate of 1.741% and receive quarterly a floating rate based on 3-month LIBOR, expiring September 2029 | 9/12/24 | 16,000,000 | 159,140 | |
Option on an interest rate swap with JPMorgan Chase Bank, N.A. to pay semi-annually a fixed rate of 2.313% and receive quarterly a floating rate based on 3-month LIBOR, expiring June 2029 | 6/6/24 | 12,300,000 | 57,311 | |
TOTAL PUT OPTIONS | 1,347,632 | |||
Call Options - 0.0% | ||||
Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 1.0375% and pay quarterly a floating rate based on 3-month LIBOR, expiring March 2032 | 3/7/22 | 8,800,000 | 402,150 | |
Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 1.78% and pay quarterly a floating rate based on 3-month LIBOR, expiring October 2029 | 10/15/24 | 4,600,000 | 245,198 | |
Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 1.785% and pay quarterly a floating rate based on 3-month LIBOR, expiring October 2029 | 10/24/24 | 27,200,000 | 1,454,021 | |
Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 1.82% and pay quarterly a floating rate based on 3-month LIBOR, expiring October 2029 | 10/18/24 | 33,500,000 | 1,836,475 | |
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 1.4% and pay quarterly a floating rate based on 3-month LIBOR, expiring February 2030 | 2/26/25 | 2,800,000 | 110,076 | |
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 2.2% and pay quarterly a floating rate based on 3-month LIBOR, expiring July 2029 | 7/18/24 | 43,600,000 | 3,099,171 | |
Option on an interest rate swap with JPMorgan Chase Bank N.A. to receive semi-annually a fixed rate of 1.741% and pay quarterly a floating rate based on 3-month LIBOR, expiring September 2029 | 9/12/24 | 16,000,000 | 831,185 | |
Option on an interest rate swap with JPMorgan Chase Bank, N.A. to receive semi-annually a fixed rate of 2.313% and pay quarterly a floating rate based on 3-month LIBOR, expiring June 2029 | 6/6/24 | 12,300,000 | 939,614 | |
TOTAL CALL OPTIONS | 8,917,890 | |||
TOTAL PURCHASED SWAPTIONS | ||||
(Cost $8,431,114) | 10,265,522 | |||
TOTAL INVESTMENT IN SECURITIES - 110.0% | ||||
(Cost $26,288,865,369) | 27,254,106,818 | |||
NET OTHER ASSETS (LIABILITIES) - (10.0)% | (2,479,792,116) | |||
NET ASSETS - 100% | $24,774,314,702 |
TBA Sale Commitments | ||
Principal Amount | Value | |
Uniform Mortgage Backed Securities | ||
2.5% 6/1/35 | $(17,100,000) | $(17,892,211) |
2.5% 6/1/35 | (6,600,000) | (6,905,765) |
2.5% 6/1/35 | (10,450,000) | (10,934,129) |
2.5% 6/1/35 | (76,400,000) | (79,939,467) |
2.5% 6/1/35 | (19,900,000) | (20,821,929) |
2.5% 6/1/35 | (16,450,000) | (17,212,097) |
2.5% 6/1/35 | (46,300,000) | (48,444,991) |
2.5% 6/1/35 | (2,750,000) | (2,877,402) |
2.5% 6/1/35 | (2,700,000) | (2,825,086) |
2.5% 6/1/35 | (10,600,000) | (11,091,078) |
2.5% 6/1/35 | (17,050,000) | (17,839,894) |
2.5% 7/1/35 | (37,450,000) | (39,125,007) |
2.5% 6/1/50 | (65,000,000) | (67,424,806) |
2.5% 6/1/50 | (32,000,000) | (33,193,750) |
3% 6/1/50 | (54,600,000) | (57,432,375) |
3% 6/1/50 | (23,100,000) | (24,298,313) |
3% 6/1/50 | (6,400,000) | (6,732,000) |
3% 6/1/50 | (48,000,000) | (50,490,000) |
3% 6/1/50 | (58,900,000) | (61,955,438) |
3% 6/1/50 | (10,400,000) | (10,939,500) |
3% 6/1/50 | (6,550,000) | (6,889,781) |
3% 6/1/50 | (10,400,000) | (10,939,500) |
3% 6/1/50 | (6,500,000) | (6,837,188) |
3% 6/1/50 | (40,400,000) | (42,495,750) |
3% 6/1/50 | (7,100,000) | (7,468,313) |
3% 6/1/50 | (8,000,000) | (8,415,000) |
3% 6/1/50 | (10,150,000) | (10,676,531) |
3% 6/1/50 | (27,650,000) | (29,084,344) |
3% 6/1/50 | (15,550,000) | (16,356,656) |
3% 6/1/50 | (2,700,000) | (2,840,063) |
3% 6/1/50 | (10,800,000) | (11,360,250) |
3% 6/1/50 | (23,400,000) | (24,613,875) |
3% 6/1/50 | (17,300,000) | (18,197,438) |
3% 6/1/50 | (28,250,000) | (29,715,469) |
3% 6/1/50 | (38,200,000) | (40,181,622) |
TOTAL TBA SALE COMMITMENTS | ||
(Proceeds $854,284,541) | $(854,447,018) |
Written Swaptions | |||
Expiration Date | Notional Amount | Value | |
Put Swaptions | |||
Option on an interest rate swap with Bank of America N.A. to pay semi-annually a fixed rate of 1.775% and receive quarterly a floating rate based on 3-month LIBOR, expiring December 2029 | 12/3/24 | 9,700,000 | $(101,459) |
Option on an interest rate swap with Bank of America N.A. to pay semi-annually a fixed rate of 1.97% and receive quarterly a floating rate based on 3-month LIBOR, expiring August 2029 | 8/1/24 | 19,000,000 | (140,274) |
TOTAL PUT SWAPTIONS | (241,733) | ||
Call Swaptions | |||
Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 1.775% and pay quarterly a floating rate based on 3-month LIBOR, expiring December 2029 | 12/3/24 | 9,700,000 | (513,183) |
Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 1.97% and pay quarterly a floating rate based on 3-month LIBOR, expiring August 2029 | 8/1/24 | 19,000,000 | (1,164,748) |
TOTAL CALL SWAPTIONS | (1,677,931) | ||
TOTAL WRITTEN SWAPTIONS | $(1,919,664) |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/(Depreciation) | |
Purchased | |||||
Treasury Contracts | |||||
CBOT Long Term U.S. Treasury Bond Contracts (United States) | 499 | Sept. 2020 | $89,009,125 | $(152,814) | $(152,814) |
Sold | |||||
Treasury Contracts | |||||
CBOT 10-Year U.S. Treasury Note Contracts (United States) | 2,435 | Sept. 2020 | 338,617,188 | (463,703) | (463,703) |
CBOT 2-Year U.S. Treasury Note Contracts (United States) | 1,781 | Sept. 2020 | 393,322,719 | (59,147) | (59,147) |
CBOT 5-Year U.S. Treasury Note Contracts (United States) | 269 | Sept. 2020 | 33,793,125 | (44,673) | (44,673) |
TOTAL SOLD | (567,523) | ||||
TOTAL FUTURES CONTRACTS | $(720,337) |
The notional amount of futures purchased as a percentage of Net Assets is 0.4%
The notional amount of futures sold as a percentage of Net Assets is 3.1%
Swaps
Underlying Reference | Maturity Date | Clearinghouse / Counterparty | Fixed Payment Received/(Paid) | Payment Frequency | Notional Amount | Value | Upfront Premium Received/(Paid) | Unrealized Appreciation/(Depreciation) |
Credit Default Swaps | ||||||||
Buy Protection | ||||||||
CMBX N.A. AAA Index Series 12 | Aug. 2061 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | $1,830,000 | $17,534 | $(60,355) | $(42,821) |
CMBX N.A. AAA Index Series 12 | Aug. 2061 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 2,200,000 | 21,079 | (28,895) | (7,816) |
CMBX N.A. AAA Index Series 12 | Aug. 2061 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 8,150,000 | 78,088 | (114,090) | (36,002) |
CMBX N.A. AAA Index Series 12 | Aug. 2061 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 3,100,000 | 29,702 | (39,429) | (9,727) |
CMBX N.A. AAA Index Series 12 | Aug. 2061 | JPMorgan Securities LLC | (0.5%) | Monthly | 2,510,000 | 24,049 | (31,083) | (7,034) |
CMBX N.A. AAA Index Series 12 | Aug. 2061 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 1,630,000 | 15,618 | (77,105) | (61,487) |
CMBX N.A. AAA Index Series 12 | Aug. 2061 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 14,170,000 | 135,768 | (505,013) | (369,245) |
CMBX N.A. AAA Index Series 12 | Aug. 2061 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 6,800,000 | 65,154 | (189,949) | (124,795) |
CMBX N.A. AAA Index Series 12 | Aug. 2061 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 630,000 | 6,036 | (14,976) | (8,940) |
CMBX N.A. AAA Index Series 12 | Aug. 2061 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 3,180,000 | 30,469 | (15,311) | 15,158 |
CMBX N.A. AAA Index Series 12 | Aug. 2061 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 8,460,000 | 81,059 | (71,097) | 9,962 |
CMBX N.A. AAA Index Series 12 | Aug. 2061 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 9,300,000 | 89,107 | (104,201) | (15,094) |
CMBX N.A. AAA Index Series 12 | Aug. 2061 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 20,000,000 | 191,628 | (141,836) | 49,792 |
TOTAL CREDIT DEFAULT SWAPS | $785,291 | $(1,393,340) | $(608,049) | |||||
Swaps
Payment Received | Payment Frequency | Payment Paid | Payment Frequency | Clearinghouse / Counterparty(1) | Maturity Date | Notional Amount | Value | Upfront Premium Received/(Paid)(2) | Unrealized Appreciation/(Depreciation) |
Interest Rate Swaps | |||||||||
1% | Semi - annual | 3-month LIBOR(3) | Quarterly | LCH | Jun. 2022 | $70,710,000 | $132,357 | $0 | $132,357 |
1.25% | Semi - annual | 3-month LIBOR(3) | Quarterly | LCH | Jun. 2025 | 59,850,000 | 288,746 | 0 | 288,746 |
3-month LIBOR(3) | Quarterly | 1.25% | Semi - annual | LCH | Jun. 2030 | 43,115,000 | (331,688) | 0 | (331,688) |
TOTAL INTEREST RATE SWAPS | $89,415 | $0 | $89,415 | ||||||
(1) Swaps with LCH Clearnet Group (LCH) are centrally cleared over-the-counter (OTC) swaps.
(2) Any premiums for centrally cleared over-the-counter (OTC) swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation).
(3) Represents floating rate.
Legend
(a) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $1,761,217,617 or 7.1% 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 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 $896,498.
(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 $4,416,086.
(f) Security or a portion of the security was pledged to cover margin requirements for centrally cleared OTC swaps. At period end, the value of securities pledged amounted to $1,483,093.
(g) Security or a portion of the security has been segregated as collateral for open options. At period end, the value of securities pledged amounted to $341,159.
(h) Security or a portion of the security purchased on a delayed delivery or when-issued basis.
(i) Level 3 security
(j) 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.
(k) 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.
(l) Principal Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans.
(m) 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.
(n) Affiliated Fund
(o) Security is perpetual in nature with no stated maturity date.
(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, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.
(q) The rate quoted is the annualized seven-day yield of the fund at period end.
Affiliated Central Funds
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:
Fund | Income earned |
Fidelity Cash Central Fund | $6,535,297 |
Fidelity Specialized High Income Central Fund | 898,845 |
Total | $7,434,142 |
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.
Fiscal year to date information regarding the Fund’s investments in non-Money Market Central Funds, including the ownership percentage, is presented below.
Fund | Value, beginning of period | Purchases | Sales Proceeds(a) | Realized Gain/Loss | Change in Unrealized appreciation (depreciation) | Value, end of period | % ownership, end of period |
Fidelity Specialized High Income Central Fund | $233,291,657 | $-- | $238,156,796 | $9,525,452 | $(4,660,313) | $-- | 0.0% |
Total | $233,291,657 | $-- | $238,156,796 | $9,525,452 | $(4,660,313) | $-- |
(a) Includes the value of securities delivered through in-kind transactions, if applicable.
Affiliated Underlying Funds
Fiscal year to date information regarding the Fund's investments in affiliated Underlying Funds, excluding any Money Market Central Funds, is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur.
Affi- liate | Value, beginning of period | Purchases | Sales Proceeds(a) | Dividend Income | Realized Gain (loss) | Change in Unrealized appreciation (depreciation) | Value, end of period |
Fidelity Advisor Re- al Est- ate Inc- ome Fund Cla- ss Z | $-- | $125,000,000 | $-- | $-- | $-- | $5,711,979 | $130,711,979 |
Fidelity Cap- ital & Inc- ome Fund | -- | 50,000,000 | 50,000,000 | 66,303 | -- | -- | -- |
Fidelity Cor- por- ate Bo- nd Fu- nd | -- | 476,740,651 | -- | 1,744,617 | -- | 26,084,750 | 502,825,401 |
Fidelity Floa- ting Rate High Inc- ome Fund | 346,073,841 | 250,003,468 | -- | 20,003,892 | -- | (41,253,628) | 554,823,681 |
Fidelity Glo- bal Cre- dit Fund | -- | 25,590,962 | -- | 590,962 | -- | 651,091 | 26,242,053 |
Fidelity High Inc- ome Fund | -- | 201,103,316 | 20,000,000 | 1,110,657 | 25,284 | 8,579,666 | 189,708,266 |
Fidelity Inf- lat- ion- Pro- tec- ted Bo- nd In- dex Fu- nd | 81,897,580 | 576,053,528 | 260,000,000 | 9,380,280 | 3,695,136 | 16,229,791 | 417,876,035 |
Fidelity Inv- est- me- nts Mon- ey Mar- ket Gov- ern- me- nt Por- tfo- lio Ins- tit- uti- on- al Cla- ss 0 .12 % | 122,960,870 | 7,115,846,669 | 6,736,334,589 | 1,982,470 | -- | -- | 502,472,950 |
Fidelity New Mar- kets Inc- ome Fund | 153,694,426 | 312,610,815 | -- | 12,611,115 | -- | (28,560,955) | 437,744,286 |
Fidelity SAI Lo- ng- Te- rm Tre- as- ury Bo- nd Ind- ex Fu- nd | -- | 1,059,145,793 | 75,000,000 | 10,234,773 | (457,203) | 124,296,768 | 1,107,985,358 |
Fidelity SAI Tot- al Bo- nd Fu- nd | 6,623,960,852 | 2,436,172,894 | 49,536,068 | 366,041,516 | (3,913,856) | 205,739,552 | 9,212,423,374 |
Fidelity SAI U.S. Tre- asu- ry Bo- nd Ind- ex Fu- nd | 1,746,084,906 | 865,417,474 | 2,815,703,176 | 38,750,435 | 257,408,890 | (53,208,094) | -- |
Fidelity Sus- tai- nab- ili- ty Bo- nd In- dex Fu- nd | -- | 25,090,753 | -- | 90,758 | -- | 485,383 | 25,576,136 |
Fidelity U.S. Bo- nd Ind- ex Fu- nd | 354,222,366 | 672,503,890 | 954,246,428 | 12,702,256 | 37,636,928 | (9,007,040) | 101,109,716 |
Total | $9,428,894,841 | $14,191,280,213 | 10,960,820,261 | $475,310,034 | $294,395,179 | $255,749,263 | $13,209,499,235 |
(a) Includes the value of securities delivered through in-kind transactions, if applicable.
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations, if applicable.
Investment Valuation
The following is a summary of the inputs used, as of May 31, 2020, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Corporate Bonds | $4,624,737,805 | $-- | $4,624,737,805 | $-- |
U.S. Government and Government Agency Obligations | 1,621,322,342 | -- | 1,621,322,342 | -- |
U.S. Government Agency - Mortgage Securities | 5,184,116,606 | -- | 5,184,116,606 | -- |
Asset-Backed Securities | 580,898,610 | -- | 580,898,610 | -- |
Collateralized Mortgage Obligations | 219,072,088 | -- | 219,072,088 | -- |
Commercial Mortgage Securities | 647,646,802 | -- | 647,646,802 | -- |
Municipal Securities | 46,037,087 | -- | 46,037,087 | -- |
Foreign Government and Government Agency Obligations | 15,941,438 | -- | 15,941,438 | -- |
Bank Notes | 32,667,396 | -- | 32,667,396 | -- |
Fixed-Income Funds | 12,707,026,285 | 12,707,026,285 | -- | -- |
Preferred Securities | 27,427,738 | -- | 27,427,738 | -- |
Money Market Funds | 1,536,947,099 | 1,536,947,099 | -- | -- |
Purchased Swaptions | 10,265,522 | -- | 10,265,522 | -- |
Total Investments in Securities: | $27,254,106,818 | $14,243,973,384 | $13,010,133,434 | $-- |
Derivative Instruments: | ||||
Assets | ||||
Swaps | $496,015 | $-- | $496,015 | $-- |
Total Assets | $496,015 | $-- | $496,015 | $-- |
Liabilities | ||||
Futures Contracts | $(720,337) | $(720,337) | $-- | $-- |
Swaps | (1,014,649) | -- | (1,014,649) | -- |
Written Swaptions | (1,919,664) | -- | (1,919,664) | -- |
Total Liabilities | $(3,654,650) | $(720,337) | $(2,934,313) | $-- |
Total Derivative Instruments: | $(3,158,635) | $(720,337) | $(2,438,298) | $-- |
Total Liabilities | ||||
TBA Sale Commitments | $(854,447,018) | $-- | $(854,447,018) | $-- |
Total Other Financial Instruments: | $(854,447,018) | $-- | $(854,447,018) | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of May 31, 2020. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
Primary Risk Exposure / Derivative Type | Value | |
Asset | Liability | |
Credit Risk | ||
Swaps(a) | $74,912 | $(682,961) |
Total Credit Risk | 74,912 | (682,961) |
Interest Rate Risk | ||
Futures Contracts(b) | 0 | (720,337) |
Purchased Swaptions(c) | 10,265,522 | 0 |
Swaps(d) | 421,103 | (331,688) |
Written Swaptions(e) | 0 | (1,919,664) |
Total Interest Rate Risk | 10,686,625 | (2,971,689) |
Total Value of Derivatives | $10,761,537 | $(3,654,650) |
(a) For bi-lateral over-the-counter (OTC) swaps, reflects gross value which is presented in the Statement of Assets and Liabilities in the bi-lateral OTC swaps, at value line-items.
(b) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).
(c) Gross value is included in the Statement of Assets and Liabilities in the investments, at value line-item.
(d) For centrally cleared over-the-counter (OTC) swaps, reflects gross cumulative appreciation (depreciation) as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin for centrally cleared OTC swaps is included in receivable or payable for daily variation margin on centrally cleared OTC swaps, and the net cumulative appreciation (depreciation) for centrally cleared OTC swaps is included in Total accumulated earnings (loss).
(e) Gross value is presented in the Statement of Assets and Liabilities in the written options, at value line-item.
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
May 31, 2020 | ||
Assets | ||
Investment in securities, at value — See accompanying schedule: Unaffiliated issuers (cost $12,645,301,672) | $13,010,133,434 | |
Fidelity Central Funds (cost $1,034,474,110) | 1,034,474,149 | |
Other affiliated issuers (cost $12,609,089,587) | 13,209,499,235 | |
Total Investment in Securities (cost $26,288,865,369) | $27,254,106,818 | |
Cash | 1,002,858 | |
Receivable for investments sold | 58,780,392 | |
Receivable for premium on written options | 1,612,210 | |
Receivable for TBA sale commitments | 854,284,541 | |
Receivable for fund shares sold | 34,707,645 | |
Dividends receivable | 29,227,220 | |
Interest receivable | 59,185,097 | |
Distributions receivable from Fidelity Central Funds | 106,156 | |
Bi-lateral OTC swaps, at value | 785,291 | |
Prepaid expenses | 80,479 | |
Total assets | 28,293,878,707 | |
Liabilities | ||
Payable for investments purchased | ||
Regular delivery | $106,095,091 | |
Delayed delivery | 2,544,620,035 | |
TBA sale commitments, at value | 854,447,018 | |
Payable for swaps | 141,836 | |
Payable for fund shares redeemed | 8,414,503 | |
Distributions payable | 883,571 | |
Accrued management fee | 1,183,984 | |
Payable for daily variation margin on futures contracts | 680,363 | |
Payable for daily variation margin on centrally cleared OTC swaps | 4,055 | |
Written options, at value (premium receivable $1,612,210) | 1,919,664 | |
Other payables and accrued expenses | 1,173,885 | |
Total liabilities | 3,519,564,005 | |
Net Assets | $24,774,314,702 | |
Net Assets consist of: | ||
Paid in capital | $23,121,434,792 | |
Total accumulated earnings (loss) | 1,652,879,910 | |
Net Assets | $24,774,314,702 | |
Net Asset Value, offering price and redemption price per share ($24,774,314,702 ÷ 2,263,322,999 shares) | $10.95 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Year ended May 31, 2020 | ||
Investment Income | ||
Dividends: | ||
Unaffiliated issuers | $1,457,303 | |
Affiliated issuers | 343,716,490 | |
Interest | 274,698,135 | |
Income from Fidelity Central Funds | 7,434,142 | |
Total income | 627,306,070 | |
Expenses | ||
Management fee | $65,978,610 | |
Accounting fees and expenses | 139,639 | |
Custodian fees and expenses | 254,381 | |
Independent trustees' fees and expenses | 236,035 | |
Registration fees | 1,940,818 | |
Audit | 84,637 | |
Legal | 53,577 | |
Miscellaneous | 217,152 | |
Total expenses before reductions | 68,904,849 | |
Expense reductions | (54,085,140) | |
Total expenses after reductions | 14,819,709 | |
Net investment income (loss) | 612,486,361 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 489,830,186 | |
Fidelity Central Funds | 9,455,784 | |
Other affiliated issuers | 294,395,179 | |
Futures contracts | (19,874,141) | |
Swaps | (487,769) | |
Written options | (598,064) | |
Capital gain distributions from underlying funds: | ||
Affiliated issuers | 131,593,544 | |
Total net realized gain (loss) | 904,314,719 | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers | 114,894,414 | |
Fidelity Central Funds | (4,660,313) | |
Other affiliated issuers | 255,749,263 | |
Futures contracts | (41,888) | |
Swaps | (291,625) | |
Written options | (294,994) | |
Delayed delivery commitments | 3,948,733 | |
Total change in net unrealized appreciation (depreciation) | 369,303,590 | |
Net gain (loss) | 1,273,618,309 | |
Net increase (decrease) in net assets resulting from operations | $1,886,104,670 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Year ended May 31, 2020 | For the period October 16, 2018 (commencement of operations) to May 31, 2019 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $612,486,361 | $276,260,785 |
Net realized gain (loss) | 904,314,719 | 89,710,064 |
Change in net unrealized appreciation (depreciation) | 369,303,590 | 594,228,957 |
Net increase (decrease) in net assets resulting from operations | 1,886,104,670 | 960,199,806 |
Distributions to shareholders | (870,231,562) | (256,473,495) |
Share transactions | ||
Proceeds from sales of shares | 13,153,308,317 | 17,598,568,820 |
Reinvestment of distributions | 789,311,102 | 246,045,283 |
Cost of shares redeemed | (7,137,434,535) | (1,595,083,704) |
Net increase (decrease) in net assets resulting from share transactions | 6,805,184,884 | 16,249,530,399 |
Total increase (decrease) in net assets | 7,821,057,992 | 16,953,256,710 |
Net Assets | ||
Beginning of period | 16,953,256,710 | – |
End of period | $24,774,314,702 | $16,953,256,710 |
Other Information | ||
Shares | ||
Sold | 1,238,104,414 | 1,753,157,417 |
Issued in reinvestment of distributions | 74,193,651 | 24,075,678 |
Redeemed | (668,720,512) | (157,487,649) |
Net increase (decrease) | 643,577,553 | 1,619,745,446 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Strategic Advisers Fidelity Core Income Fund
Years ended May 31, | 2020 | 2019 A |
Selected Per–Share Data | ||
Net asset value, beginning of period | $10.47 | $10.00 |
Income from Investment Operations | ||
Net investment income (loss)B | .302 | .209 |
Net realized and unrealized gain (loss) | .613 | .445 |
Total from investment operations | .915 | .654 |
Distributions from net investment income | (.299) | (.182) |
Distributions from net realized gain | (.136) | (.002) |
Total distributions | (.435) | (.184) |
Net asset value, end of period | $10.95 | $10.47 |
Total ReturnC,D | 8.94% | 6.60% |
Ratios to Average Net AssetsE,F,G | ||
Expenses before reductions | .32% | .37%H |
Expenses net of fee waivers, if any | .07% | .12%H |
Expenses net of all reductions | .07% | .12%H |
Net investment income (loss) | 2.83% | 3.30%H |
Supplemental Data | ||
Net assets, end of period (000 omitted) | $24,774,315 | $16,953,257 |
Portfolio turnover rateG | 247% | 124%H,I |
A For the period October 16, 2018 (commencement of operations) to May 31, 2019.
B Calculated based on average shares outstanding during the period.
C Total returns for periods of less than one year are not annualized.
D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
F Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund. Fees and expenses of the Underlying Funds are not included in the Fund's annualized ratios. The Fund indirectly bears its proportionate share of the expenses of the Underlying Funds.
G Amounts do not include the activity of Underlying Funds.
H Annualized
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
For the period ended May 31, 2020
1. Organization.
Strategic Advisers Fidelity Core Income Fund (the Fund) is a fund of Fidelity Rutland Square Trust II (the Trust), and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust. The Fund is offered exclusively to certain clients of Strategic Advisers LLC (Strategic Advisers), an affiliate of Fidelity Management & Research Company LLC (FMR).
2. Significant Accounting Policies.
The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services – Investments Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the Fund:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
- Level 1 – quoted prices in active markets for identical investments
- Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
- Level 3 – unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value the Fund's investments by major category are as follows:
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Corporate bonds, bank notes, foreign government and government agency obligations, municipal securities, preferred securities and U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities are valued by pricing vendors who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Swaps are marked-to-market daily based on valuations from third party pricing vendors, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Options traded over-the-counter are valued using vendor or broker-supplied valuations and are categorized as Level 2 in the hierarchy.
Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of May 31, 2020 is included at the end of the Fund's Schedule of Investments.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Income and capital gain distributions from Underlying Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. 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. 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), certain independent Trustees have elected to defer receipt of a portion of their annual compensation. Deferred amounts are invested in a cross-section of Strategic Advisers funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees of $1,760 are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, respectively.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of May 31, 2020, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.
Distributions are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to short-term gain distributions from the Underlying funds, swaps, futures and options transactions, market discount, partnerships, deferred trustees compensation and losses deferred due to wash sales and futures transactions.
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
Gross unrealized appreciation | $1,171,513,765 |
Gross unrealized depreciation | (203,426,561) |
Net unrealized appreciation (depreciation) | $968,087,204 |
Tax Cost | $26,284,828,258 |
The tax-based components of distributable earnings as of period end were as follows:
Undistributed ordinary income | $303,041,749 |
Undistributed long-term capital gain | $391,001,125 |
Net unrealized appreciation (depreciation) on securities and other investments | $958,838,795 |
The tax character of distributions paid was as follows:
May 31, 2020 | May 31, 2019(a) | |
Ordinary Income | $870,231,562 | $ 256,473,495 |
(a) For the period October 16, 2018 (commencement of operations) to May 31, 2019.
Delayed Delivery Transactions and When-Issued Securities. During the period, the Fund 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. The securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
To-Be-Announced (TBA) Securities and Mortgage Dollar Rolls. During the period, the Fund transacted in TBA securities that involved buying or selling mortgage-backed securities (MBS) on a forward commitment basis. A TBA transaction typically does not designate the actual security to be delivered and only includes an approximate principal amount; however delivered securities must meet specified terms defined by industry guidelines, including issuer, rate and current principal amount outstanding on underlying mortgage pools. The Fund may enter into a TBA transaction with the intent to take possession of or deliver the underlying MBS, or the Fund may elect to extend the settlement by entering into either a mortgage or reverse mortgage dollar roll. Mortgage dollar rolls are transactions where a fund sells TBA securities and simultaneously agrees to repurchase MBS on a later date at a lower price and with the same counterparty. Reverse mortgage dollar rolls involve the purchase and simultaneous agreement to sell TBA securities on a later date at a lower price. Transactions in mortgage dollar rolls and reverse mortgage dollar rolls are accounted for as purchases and sales and may result in an increase to the Fund's portfolio turnover rate.
Purchases and sales of TBA securities involve risks similar to those discussed above for delayed delivery and when-issued securities. Also, if the counterparty in a mortgage dollar roll or a reverse mortgage dollar roll transaction files for bankruptcy or becomes insolvent, the Fund's right to repurchase or sell securities may be limited. Additionally, when a fund sells TBA securities without already owning or having the right to obtain the deliverable securities (an uncovered forward commitment to sell), it incurs a risk of loss because it could have to purchase the securities at a price that is higher than the price at which it sold them. A fund may be unable to purchase the deliverable securities if the corresponding market is illiquid.
TBA securities subject to a forward commitment to sell at period end are included at the end of the Fund's Schedule of Investments under the caption "TBA Sale Commitments." The proceeds and value of these commitments are reflected in the Fund's Statement of Assets and Liabilities as Receivable for TBA sale commitments and TBA sale commitments, at value, respectively.
Restricted Securities (including Private Placements). The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.
3. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund's investment objective allows the Fund to enter into various types of derivative contracts, including futures contracts, options and swaps. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.
The Fund used derivatives to increase returns, to gain exposure to certain types of assets and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.
The Fund's use of derivatives increased or decreased its exposure to the following risks:
Credit Risk | Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to the Fund. |
Interest Rate Risk | Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates. |
The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives such as options and bi-lateral swaps, the Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives the Fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, the Fund receives collateral in the form of cash or securities once the Fund's net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the counterparty and the Fund's custodian bank. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund. For OTC written options with upfront premiums received, the Fund is obligated to perform and therefore does not have counterparty risk. For OTC written options with premiums to be received at a future date, the maximum risk of loss from counterparty credit risk is the amount of the premium in excess of any collateral pledged by the counterparty. The Fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments. Exchange-traded futures contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to exchange-traded futures contracts may be mitigated by the protection provided by the exchange on which they trade. Counterparty credit risk related to centrally cleared OTC swaps may be mitigated by the protection provided by the clearinghouse.
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.
Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives. The table below, which reflects the impacts of derivatives on the financial performance of the Fund, summarizes the net realized gain (loss) and change in net unrealized appreciation (depreciation) for derivatives during the period as presented in the Statement of Operations.
Primary Risk Exposure / Derivative Type | Net Realized Gain (Loss) | Change in Net Unrealized Appreciation (Depreciation) |
Credit Risk | ||
Swaps | $4,379,166 | $(602,201) |
Total Credit Risk | $4,379,166 | $(602,201) |
Interest Rate Risk | ||
Futures Contracts | $(19,874,141) | $(41,888) |
Purchased Options | 9,518,035 | 981,336 |
Written Options | (598,064) | (294,994) |
Swaps | (4,866,935) | 310,576 |
Total Interest Rate Risk | (15,821,105) | 955,030 |
Totals | $(11,441,939) | $352,829 |
A summary of the value of derivatives by primary risk exposure as of period end is included at the end of the Schedule of Investments.
Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. The Fund used futures contracts to manage its exposure to the bond market and fluctuations in interest rates.
Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments (variation margin) are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is presented in the Statement of Operations.
Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The notional amount at value reflects each contract's exposure to the underlying instrument or index at period end and is representative of volume of activity during the period. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.
Options. Options give the purchaser the right, but not the obligation, to buy (call) or sell (put) an underlying security or financial instrument at an agreed exercise or strike price between or on certain dates. Options obligate the seller (writer) to buy (put) or sell (call) an underlying instrument at the exercise or strike price or cash settle an underlying derivative instrument if the holder exercises the option on or before the expiration date. The Fund uses OTC options, such as swaptions, which are options where the underlying instrument is a swap, to manage its exposure to fluctuations in interest rates.
Upon entering into an options contract, a fund will pay or receive a premium. Premiums paid on purchased options are reflected as cost of investments and premiums received on written options are reflected as a liability on the Statement of Assets and Liabilities. Certain options may be purchased or written with premiums to be paid or received on a future date. Options are valued daily and any unrealized appreciation (depreciation) is reflected on the Statement of Assets and Liabilities. When an option is exercised, the cost or proceeds of the underlying instrument purchased or sold is adjusted by the amount of the premium. When an option is closed the Fund will realize a gain or loss depending on whether the proceeds or amount paid for the closing sale transaction is greater or less than the premium received or paid. When an option expires, gains and losses are realized to the extent of premiums received and paid, respectively. The net realized and unrealized gains (losses) on purchased options are included in the Statement of Operations in net realized gain (loss) and change in net unrealized appreciation (depreciation) on investment securities. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on written options are presented in the Statement of Operations.
Any open options at period end are presented in the Schedule of Investments under the captions "Purchased Options," "Purchased Swaptions," "Written Options" and "Written Swaptions," as applicable, and are representative of volume of activity during the period.
Writing puts and buying calls tend to increase exposure to the underlying instrument while buying puts and writing calls tend to decrease exposure to the underlying instrument. For purchased options, risk of loss is limited to the premium paid, and for written options, risk of loss is the change in value in excess of the premium received.
Swaps. A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. A bi-lateral OTC swap is a transaction between a fund and a dealer counterparty where cash flows are exchanged between the two parties for the life of the swap. A centrally cleared OTC swap is a transaction executed between a fund and a dealer counterparty, then cleared by a futures commission merchant (FCM) through a clearinghouse. Once cleared, the clearinghouse serves as a central counterparty, with whom a fund exchanges cash flows for the life of the transaction, similar to transactions in futures contracts.
Bi-lateral OTC swaps are marked-to-market daily and changes in value are reflected in the Statement of Assets and Liabilities in the bi-lateral OTC swaps at value line items. Any upfront premiums paid or received upon entering a bi-lateral OTC swap to compensate for differences between stated terms of the swap and prevailing market conditions (e.g. credit spreads, interest rates or other factors) are recorded in net unrealized appreciation (depreciation) in the Statement of Assets and Liabilities and amortized to realized gain or (loss) ratably over the term of the swap. Any unamortized upfront premiums are presented in the Schedule of Investments.
Centrally cleared OTC swaps require a fund to deposit either cash or securities (initial margin) with the FCM, at the instruction of and for the benefit of the clearinghouse. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Centrally cleared OTC swaps are marked-to-market daily and subsequent payments (variation margin) are made or received depending on the daily fluctuations in the value of the swaps and are recorded as unrealized appreciation or (depreciation). These daily payments, if any, are included in receivable or payable for daily variation margin on centrally cleared OTC swaps in the Statement of Assets and Liabilities. Any premiums for centrally cleared OTC swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation) in the Statement of Assets and Liabilities. Any premiums are recognized as realized gain (loss) upon termination or maturity of the swap.
For both bi-lateral and centrally cleared OTC swaps, payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gain or (loss). Some swaps may be terminated prior to the effective date and realize a gain or loss upon termination. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on swaps during the period is presented in the Statement of Operations.
Any open swaps at period end are included in the Schedule of Investments under the caption "Swaps" and are representative of volume of activity during the period.
Credit Default Swaps. Credit default swaps enable the Fund to buy or sell protection against specified credit events on a single-name issuer or a traded credit index. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller will be required to make a payment upon the occurrence of one or more specified credit events. The Fund enters into credit default swaps as a seller to gain credit exposure to an issuer and/or as a buyer to obtain a measure of protection against defaults of an issuer. Periodic payments are made over the life of the contract by the buyer provided that no credit event occurs.
For credit default swaps on most corporate and sovereign issuers, credit events include bankruptcy, failure to pay or repudiation/moratorium. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller is not limited to the specific reference obligation described in the Schedule of Investments. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller. For credit default swaps on a traded credit index, a specified credit event may affect all or individual underlying securities included in the index.
As a seller, if an underlying credit event occurs, the Fund will pay a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will the Fund be required to take delivery of the reference obligation or underlying securities comprising an index and pay an amount equal to the notional amount of the swap.
As a buyer, if an underlying credit event occurs, the Fund will receive a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will the Fund be required to deliver the reference obligation or underlying securities comprising an index in exchange for payment of an amount equal to the notional amount of the swap.
Typically, the value of each credit default swap and credit rating disclosed for each reference obligation in the Schedule of Investments, where the Fund is the seller, can be used as measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. In addition to these measures, the investment adviser monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/performance risk.
Interest Rate Swaps. Interest rate swaps are agreements between counterparties to exchange cash flows, one based on a fixed rate, and the other on a floating rate. The Fund entered into interest rate swaps to manage its exposure to interest rate changes. Changes in interest rates can have an effect on both the value of bond holdings as well as the amount of interest income earned. In general, the value of bonds can fall when interest rates rise and can rise when interest rates fall.
4. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities and U.S. government securities, are noted in the table below.
Purchases ($) | Sales ($) | |
Strategic Advisers Fidelity Core Income Fund | 33,400,026,248 | 25,308,904,303 |
Prior Fiscal Year Unaffiliated Exchanges In-Kind. During the prior period, the Fund received investments, including accrued interest, and cash valued at $11,732,065,150 in exchange for 1,175,557,630 shares of the Fund. The amount of in-kind exchanges is included in share transactions in the accompanying Statement of Changes in Net Assets.
5. Fees and Other Transactions with Affiliates.
Management Fee. Strategic Advisers (the investment adviser) provides the Fund with investment management related services. For these services, the Fund pays a monthly management fee to the investment adviser. The management fee is calculated by adding the annual management fee rate of .25% of the Fund's average net assets throughout the month payable to the investment adviser to the aggregate of the fee rates, payable monthly, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed .60% of the Fund's average net assets. For the reporting period, the total annual management fee rate was .31% of the Fund's average net assets.
During the period, the investment adviser waived a portion of its management fee as described in the Expense Reductions note.
Sub-Adviser. FIAM LLC (an affiliate of the investment adviser) served as a sub-adviser for the Fund during the period. Sub-advisers provide discretionary investment advisory services for their allocated portion of the Fund's assets and are paid by the investment adviser and not the Fund for providing these services.
Accounting Fees. Fidelity Service Company, Inc. (FSC), an affiliate of the investment adviser, maintains the Fund's accounting records. The accounting fee is based on the level of average net assets for each month. Effective July 1, 2019 accounting fees are not paid by the Fund and are instead paid by the investment adviser or an affiliate. For the period, the fees were equivalent to less than .005%.
Interfund Trades. Funds may purchase from or sell securities to other funds affiliated with each sub-adviser under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.
Reallocation of Underlying Fund Investments. During the period, the investment adviser reallocated investments of the Fund. This involved a taxable redemption of the Fund's interest in Fidelity Specialized High Income Central Fund. The Fund redeemed 2,350,309 shares of Fidelity Specialized High Income Central Fund in exchange for investments, including accrued interest, and cash with a value of $238,156,796. The net realized gains of $9,525,452 on the Fund's redemptions of Fidelity Specialized High Income Central Fund shares is included in "Net realized gain (loss) on Investment securities: Fidelity Central Funds" in the accompanying Statement of Operations. The Fund recognized net gains on the exchanges for federal income tax purposes.
Prior Fiscal Year Affiliated Exchanges In-Kind. During the prior period, the Fund completed an exchange in-kind with Fidelity SAI Total Bond Fund. The Fund delivered investments, including accrued interest, and cash valued at $5,539,897,218 in exchange for 553,989,722 shares of Fidelity SAI Total Bond Fund. The Fund generally did not recognize gain or loss for federal income tax purposes.
Prior Fiscal Year Reallocation of Underlying Fund Investments. During the prior period, the investment adviser reallocated investments of the Fund. This involved a taxable redemption of the Fund's interest in Fidelity Mortgage Backed Securities Central Fund. The Fund redeemed 13,696,583 shares of Fidelity Mortgage Backed Securities Central Fund in exchange for investments and cash with a value of $1,470,054,216. The Fund realized gains of $44,157,751 on the Fund's redemptions of Fidelity Mortgage Backed Securities Central Fund shares. The Fund recognized net gains on the exchanges for federal income tax purposes.
Other. During the period, the investment adviser reimbursed the Fund for certain losses in the amount of $1,183.
6. Investments in Fidelity Central Funds.
The Fund invests in Fidelity Central Funds, which are open-end investment companies available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on their investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the Fund. These strategies are consistent with the investment objectives of the 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 each Fund.
The Fidelity Money Market Central Funds are managed by FMR. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date ranged from less than .005% to .01%.
Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense RatioA |
Fidelity Specialized High Income Central Fund | FMR | Seeks a high level of current income by normally investing in income-producing debt securities, with an emphasis on lower-quality debt securities. | Loans & Direct Debt Instruments Restricted Securities | Less than .005% |
An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com. A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC website or upon request.
7. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are as follows:
Amount | |
Strategic Advisers Fidelity Core Income Fund | $49,683 |
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, 2022. During the period, this waiver reduced the Fund's management fee by $54,077,959.
In addition, through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses by $7,181.
9. Other.
The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
The Fund does not invest in the Underlying Funds for the purpose of exercising management or control; however, investments by the Fund within its principal investment strategies may represent a significant portion of an Underlying Fund's net assets. At the end of the period, the Fund was the owner of record of 10% or more of the total outstanding shares of the following Underlying Funds.
Fund | % of shares held |
Fidelity Corporate Bond Fund | 18% |
Fidelity Global Credit Fund | 30% |
Fidelity SAI Long-Term Treasury Bond Index Fund | 100% |
Fidelity SAI Total Bond Fund | 59% |
Fidelity Sustainability Bond Index Fund | 21% |
10. Coronavirus (COVID-19) Pandemic.
An outbreak of COVID-19 first detected in China during December 2019 has since spread globally and was declared a pandemic by the World Health Organization during March 2020. Developments that disrupt global economies and financial markets, such as the COVID-19 pandemic, may magnify factors that affect the Fund's performance.
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Fidelity Rutland Square Trust II and Shareholders of Strategic Advisers Fidelity Core Income Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Strategic Advisers Fidelity Core Income Fund (one of the funds constituting Fidelity Rutland Square Trust II, referred to hereafter as the “Fund”) as of May 31, 2020, the related statement of operations for the year ended May 31, 2020 and the statement of changes in net assets and the financial highlights for the year ended May 31, 2020 and for the period October 16, 2018 (commencement of operations) through May 31, 2019, including the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of May 31, 2020, the results of its operations for the year ended May 31, 2020, and the changes in its net assets and the financial highlights for the year ended May 31, 2020 and for the period October 16, 2018 (commencement of operations) through May 31, 2019 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of May 31, 2020 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
Boston, Massachusetts
July 17, 2020
We have served as the auditor of one or more investment companies in the Fidelity group of funds since 1932.
Trustees and Officers
The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance. If the interests of the fund and an underlying Fidelity® fund were to diverge, a conflict of interest could arise and affect how the Trustees and Members of the Advisory Board fulfill their fiduciary duties to the affected funds. Strategic Advisers has structured the fund to avoid these potential conflicts, although there may be situations where a conflict of interest is unavoidable. In such instances, Strategic Advisers, the Trustees, and Members of the Advisory Board would take reasonable steps to minimize and, if possible, eliminate the conflict. Each of the Trustees oversees 14 funds.
The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. Officers and Advisory Board Members hold office without limit in time, except that any officer or Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.
Each Trustee who is not an interested person (as defined in the 1940 Act) of the trust and the fund is referred to herein as an Independent Trustee.
The fund’s Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-3455.
Experience, Skills, Attributes, and Qualifications of the Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee may also engage professional search firms to help identify potential Independent Trustee candidates with experience, qualifications, attributes, and skills consistent with the Statement of Policy. Additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, may be considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.
In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.
Board Structure and Oversight Function. Robert A. Lawrence is an interested person and currently serves as Chairman. The Trustees have determined that an interested Chairman is appropriate and benefits shareholders because an interested Chairman has a personal and professional stake in the quality and continuity of services provided to the fund. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chairman, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chairman and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session. Mary C. Farrell serves as the lead Independent Trustee and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.
Fidelity® funds are overseen by different Boards of Trustees. The fund's Board oversees asset allocation funds. Other Boards oversee Fidelity's investment-grade bond, money market, and asset allocation funds, and Fidelity's equity and high income funds. The fund may invest in Fidelity® funds overseen by such other Boards. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity® funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues.
The Trustees primarily operate as a full Board, but also operate in committees, to facilitate the timely and efficient consideration of all matters of importance to the Trustees, the fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the fund's activities and associated risks. The Board has charged Strategic Advisers and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the fund's business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above. Because the day-to-day operations and activities of the fund are carried out by or through Strategic Advisers, its affiliates and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees. Board oversight of different aspects of the fund's activities is exercised primarily through the full Board, but also through the Audit and Compliance Committee. Appropriate personnel, including but not limited to the fund's Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the fund's Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate. The responsibilities of each standing committee, including their oversight responsibilities, are described further under "Standing Committees of the Trustees."
Interested Trustees*:
Correspondence intended for a Trustee who is an interested person may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Robert A. Lawrence (1952)
Year of Election or Appointment: 2016
Trustee
Chairman of the Board of Trustees
Mr. Lawrence also serves as Trustee of other funds. Previously, Mr. Lawrence served as a Member of the Advisory Board of certain funds. Prior to his retirement in 2008, Mr. Lawrence served as Vice President of certain Fidelity® funds (2006-2008), Senior Vice President, Head of High Income Division of Fidelity Management & Research Company (investment adviser firm, 2006-2008), and President of Fidelity Strategic Investments (investment adviser firm, 2002-2005).
Charles S. Morrison (1960)
Year of Election or Appointment: 2020
Trustee
Mr. Morrison also serves as Trustee of other funds. Previously, Mr. Morrison served as President (2017-2018) and Director (2014-2018) of Fidelity SelectCo, LLC (investment adviser firm), President of Fidelity Management & Research Company (FMR) (investment adviser firm, 2016-2018), a Director of Fidelity Investments Money Management, Inc. (investment adviser firm, 2014-2018), President, Asset Management (2014-2018), Trustee of the Fidelity Equity and High Income Funds (283 funds as of December 2018) (2014-2018), and was an employee of Fidelity Investments. Mr. Morrison also previously served as Vice President of Fidelity's Fixed Income and Asset Allocation Funds (2012-2014), President, Fixed Income (2011-2014), Vice President of Fidelity's Money Market Funds (2005-2009), President, Money Market Group Leader of FMR (2009), and Senior Vice President, Money Market Group of FMR (2004-2009). Mr. Morrison also served as Vice President of Fidelity's Bond Funds (2002-2005), certain Balanced Funds (2002-2005), and certain Asset Allocation Funds (2002-2007), and as Senior Vice President (2002-2005) of Fidelity's Bond Division.
* Determined to be an "Interested Trustee" by virtue of, among other things, his or her affiliation with the trust or various entities under common control with Strategic Advisers.
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Independent Trustees:
Correspondence intended for an Independent Trustee may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Peter C. Aldrich (1944)
Year of Election or Appointment: 2006
Trustee
Mr. Aldrich also serves as Trustee of other funds. Mr. Aldrich is a Director of the U.S. Core Property Fund (and, previously, other funds) of BlackRock Realty Group (2006-present). Previously, Mr. Aldrich served as a Managing Member of Poseidon, LLC (foreign private investment, 1998-2004), and Chairman and Managing Member of AEGIS, LLC (foreign private investment, 1997-2004). Mr. Aldrich previously was a founder, Chief Executive Officer, and Chairman of AEW Capital Management, L.P. (then “Aldrich, Eastman and Waltch, L.P.”). Mr. Aldrich also served as a Director of LivelyHood, Inc. (private corporation, 2013-2020), a Trustee for the Fidelity Rutland Square Trust (2005-2010), a Director of Zipcar, Inc. (car sharing services, 2001-2009) and as Faculty Chairman of The Research Council on Global Investment of The Conference Board (business and professional education non-profit, 1999-2004). Mr. Aldrich is a Member Emeritus of the Board of Directors of the National Bureau of Economic Research, the Board of Trustees of the Museum of Fine Arts Boston and the Board of Overseers of the Massachusetts Eye and Ear Infirmary.
Mary C. Farrell (1949)
Year of Election or Appointment: 2013
Trustee
Ms. Farrell also serves as Trustee of other funds. Ms. Farrell is a Director of the W.R. Berkley Corporation (insurance provider) and President (2009-present) and Director (2006-present) of the Howard Gilman Foundation (charitable organization). Previously, Ms. Farrell was Managing Director and Chief Investment Strategist at UBS Wealth Management USA and Co-Head of UBS Wealth Management Investment Strategy & Research Group (2003-2005). Ms. Farrell also served as Investment Strategist at PaineWebber (1982-2000) and UBS PaineWebber (2000-2002). Ms. Farrell serves as Chairman of the Board of Trustees of Yale-New Haven Hospital and Vice Chairman of the Yale New Haven Health System Board and previously served as Trustee on the Board of Overseers of the New York University Stern School of Business.
Karen Kaplan (1960)
Year of Election or Appointment: 2006
Trustee
Ms. Kaplan also serves as Trustee of other funds. Ms. Kaplan is Chairman (2014-present) and Chief Executive Officer (2013-present) of Hill Holliday (advertising and specialized marketing). Ms. Kaplan is a Director of The Michaels Companies, Inc. (specialty retailer, 2015-present), Member of the Board of Governors of the Chief Executives’ Club of Boston (2010-present), Member of the Executive Committee of the Greater Boston Chamber of Commerce (2006-present), Advisory Board Member of the National Association of Corporate Directors Chapter (2012-present), Member of the Board of Trustees of the Post Office Square Trust (2012-present), Trustee of the Brigham and Women’s Hospital (2016-present), Overseer of the Boston Symphony Orchestra (2014-present), Member of the Board of Directors of The Advertising Council, Inc. (2016-present), Member of the Ron Burton Training Village Executive Board of Advisors (2018-present), Member of the Executive Committee of The Ad Council, Inc. (2019-present), and Member of the Board of Directors of The Ad Club of Boston (2020-present). Previously, Ms. Kaplan served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010), a member of the Clinton Global Initiative (2010-2015), Director of DSM (dba Delta Dental and DentaQuest) (2004-2014), Formal Appointee of the 2015 Baker-Polito Economic Development Council, Director of Vera Bradley Inc. (designer of women’s accessories, 2012-2015), Member of the Board of Directors of the Massachusetts Conference for Women (2008-2015), Member of the Board of Directors of Jobs for Massachusetts (2012-2015), President of the Massachusetts Women’s Forum (2008-2010), Treasurer of the Massachusetts Women’s Forum (2002-2006), and Vice Chair of the Board of the Massachusetts Society for the Prevention of Cruelty to Children (2003-2010).
Heidi L. Steiger (1953)
Year of Election or Appointment: 2017
Trustee
Ms. Steiger also serves as Trustee of other funds. Ms. Steiger serves as Managing Partner of Topridge Associates, LLC (consulting, 2005-present), a member of the Advisory Board of the joint degree program in Global Luxury Management at North Carolina State University (Raleigh, NC) and Skema (Paris) (2018-present), a Non-Executive Director of CrowdBureau Corporation (financial technology company and index provider, 2018-present), a member of the Board of Directors (2013-present) and Chair of the Audit Committee and member of the Membership and Executive Committees (2017-present) of Business Executives for National Security (nonprofit), and member of the Board of Directors Chair of the Remuneration Committee of Imagine Intelligent Materials Limited (2019-present) (technology company). Previously, Ms. Steiger served as a member of the Global Advisory Board and Of Counsel to Signum Global Advisors (international policy and strategy, 2018-2020), Eastern Region President of The Private Client Reserve of U.S. Bancorp (banking and financial services, 2010-2015), Advisory Director of Berkshire Capital Securities, LLC (financial services, 2009-2010), President and Senior Advisor of Lowenhaupt Global Advisors, LLC (financial services, 2005-2007), and President and Contributing Editor of Worth Magazine (2004-2005) and held a variety of positions at Neuberger Berman Group, LLC (financial services, 1986-2004), including Partner and Executive Vice President and Global Head of Private Asset Management at Neuberger Berman (1999-2004). Ms. Steiger also served as a member of the Board of Directors of Nuclear Electric Insurance Ltd (insurer of nuclear utilities, 2006-2017), a member of the Board of Trustees and Audit Committee of the Eaton Vance Funds (2007-2010), a member of the Board of Directors of Aviva USA (formerly AmerUs) (insurance, 2004-2014), and a member of the Board of Trustees and Audit Committee and Chair of the Investment Committee of CIFG (financial guaranty insurance, 2009-2012), and a member of the Board of Directors of Kin Group Plc (formerly, Fitbug Holdings) (health and technology, 2016-2017).
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Advisory Board Members and Officers:
Correspondence intended for a Member of the Advisory Board (if any) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235. Correspondence intended for an officer or Howard E. Cox, Jr. may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210. Officers appear below in alphabetical order.
Name, Year of Birth; Principal Occupation
Ralph F. Cox (1932)
Year of Election or Appointment: 2020
Member of the Advisory Board
Mr. Cox also serves as a Member of the Advisory Board of other funds. Mr. Cox is President of RABAR Enterprises (management consulting for the petroleum industry). Mr. Cox is a Director of Abraxas Petroleum (exploration and production, 1999-present). Mr. Cox is a member of the Advisory Boards of the Business and Engineering Schools of Texas A&M University and the Engineering School of University of Texas at Austin. Previously, Mr. Cox served as Trustee of other funds (2006-2020), a Trustee for the Fidelity Rutland Square Trust (2005-2010) and as an Advisory Director of CH2M Hill Companies (engineering, 1981-2011). Mr. Ralph F. Cox and Mr. Howard E. Cox, Jr. are not related.
Howard E. Cox, Jr. (1944)
Year of Election or Appointment: 2009
Member of the Advisory Board
Mr. Cox also serves as a Member of the Advisory Board of other funds. Mr. Cox is a Partner of Greylock (venture capital, 1971-present) and a Director of Stryker Corporation (medical products and services, 1974-present). Previously, Mr. Cox served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010). Mr. Cox also serves as a Member of the Secretary of Defense's Business Board of Directors (2008-present), a Director of Business Executives for National Security (1997-present), a Director of the Brookings Institution (2010-present), a Director of the World Economic Forum’s Young Global Leaders Foundation (2009-present), and is a Member of the Harvard Medical School Board of Fellows (2002-present). Mr. Howard E. Cox, Jr. and Mr. Ralph F. Cox are not related.
Christine Marcks (1955)
Year of Election or Appointment: 2019
Member of the Advisory Board
Ms. Marcks also serves as a Member of the Advisory Board of other Funds. Prior to her retirement, Ms. Marcks served as Chief Executive Officer and President – Prudential Retirement (2007-2017) and Vice President for Rollover and Retirement Income Strategies (2005-2007), Prudential Financial, Inc. (financial services). Previously, Ms. Marcks was Senior Vice President and Head of Financial Horizons (2002-2004) and Vice President, Strategic Marketing (2000-2002) of Voya Financial (formerly ING U.S.) (financial services), held numerous positions at Aetna Financial Services (financial services, 1987-2000) and served as an International Economist for the United States Department of the Treasury (1980-1987). Ms. Marcks also serves as a member of the Board of Trustees, Audit Committee and Benefits & Operations Committee of the YMCA Retirement Fund (2018-present), a non-profit organization providing retirement plan benefits to YMCA staff members, and as a member of the Board of Trustees of Assumption College (2019-present).
Elizabeth Paige Baumann (1968)
Year of Election or Appointment: 2017
Anti-Money Laundering (AML) Officer
Ms. Baumann also serves as AML Officer of other funds. She is Chief AML Officer (2012-present) and Senior Vice President (2014-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments. Previously, Ms. Baumann served as AML Officer of certain funds (2017-2019), as AML Officer of the funds (2012-2016), and Vice President (2007-2014) and Deputy Anti-Money Laundering Officer (2007-2012) of FMR LLC.
Craig S. Brown (1977)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Brown also serves as Assistant Treasurer of other funds. Mr. Brown is an employee of Fidelity Investments (2013-present).
John J. Burke III (1964)
Year of Election or Appointment: 2018
Chief Financial Officer
Mr. Burke also serves as Chief Financial Officer of other funds. Mr. Burke serves as Head of Investment Operations for Fidelity Fund and Investment Operations (2018-present) and is an employee of Fidelity Investments (1998-present). Previously Mr. Burke served as head of Asset Management Investment Operations (2012-2018).
Jonathan Davis (1968)
Year of Election or Appointment: 2010
Assistant Treasurer
Mr. Davis also serves as Assistant Treasurer of other funds. Mr. Davis serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments. Previously, Mr. Davis served as Vice President and Associate General Counsel of FMR LLC (diversified financial services company, 2003-2010).
Laura M. Del Prato (1964)
Year of Election or Appointment: 2018
Assistant Treasurer
Ms. Del Prato also serves as an officer of other funds. Ms. Del Prato is an employee of Fidelity Investments (2017-present). Prior to joining Fidelity Investments, Ms. Del Prato served as a Managing Director and Treasurer of the JPMorgan Mutual Funds (2014-2017). Prior to JPMorgan, Ms. Del Prato served as a partner at Cohen Fund Audit Services (accounting firm, 2012-2013) and KPMG LLP (accounting firm, 2004-2012).
James D. Gryglewicz (1972)
Year of Election or Appointment: 2015
Chief Compliance Officer
Mr. Gryglewicz also serves as Chief Compliance Officer of other funds. Mr. Gryglewicz serves as Compliance Officer of Strategic Advisers LLC (investment adviser firm, 2015-present), Senior Vice President of Asset Management Compliance (2009-present), and is an employee of Fidelity Investments (2004-present). Previously, Mr. Gryglewicz served as Compliance Officer of Fidelity SelectCo, LLC (investment adviser firm, 2014-2019), and as Chief Compliance Officer of certain Fidelity® funds (2014-2018).
Colm A. Hogan (1973)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Hogan also serves as an officer of other funds. Mr. Hogan serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2005-present). Previously, Mr. Hogan served as Deputy Treasurer of certain Fidelity® funds (2016-2020) and Assistant Treasurer of certain Fidelity® funds (2016-2018). Mr. Colm A. Hogan is not related to Mr. Brian B. Hogan.
Christina H. Lee (1975)
Year of Election or Appointment: 2020
Secretary and Chief Legal Officer
Ms. Lee also serves as Secretary and CLO of other funds. Ms. Lee serves as Vice President, Associate General Counsel (2014-present) and is an employee of Fidelity Investments (2007-present). Previously, Ms. Lee served as Assistant Secretary of certain funds (2018-2019).
Cynthia Lo Bessette (1969)
Year of Election or Appointment: 2020
Assistant Secretary
Ms. Lo Bessette also serves as an officer of other funds. Ms. Lo Bessette serves as CLO, Secretary, and Senior Vice President of Fidelity Management & Research Company LLC (investment adviser firm, 2019-present); and CLO of Fidelity Management & Research (Hong Kong) Limited, FMR Investment Management (UK) Limited, and Fidelity Management & Research (Japan) Limited (investment adviser firms, 2019-present). She is a Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company, 2019-present), and is an employee of Fidelity Investments. Previously, Ms. Lo Bessette served as CLO, Secretary, and Senior Vice President of FMR Co., Inc. (investment adviser firm, 2019); Secretary of Fidelity SelectCo, LLC and Fidelity Investments Money Management, Inc. (investment adviser firms, 2019). Prior to joining Fidelity Investments, Ms. Lo Bessette was Executive Vice President, General Counsel (2016-2019) and Senior Vice President, Deputy General Counsel (2015-2016) of OppenheimerFunds (investment management company) and Deputy Chief Legal Officer (2013-2015) of Jennison Associates LLC (investment adviser firm).
Chris Maher (1972)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Maher also serves as an officer of other funds. Mr. Maher serves as Assistant Treasurer of FMR Capital, Inc. (2017-present), and is an employee of Fidelity Investments (2008-present). Previously, Mr. Maher served as Assistant Treasurer of certain funds (2013-2020); Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010).
Stacie M. Smith (1974)
Year of Election or Appointment: 2020
President and Treasurer
Ms. Smith also serves as an officer of other funds. Ms. Smith serves as Assistant Treasurer of FMR Capital, Inc. (2017-present), is an employee of Fidelity Investments (2009-present), and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (accounting firm, 1996-2009). Previously, Ms. Smith served as Assistant Treasurer (2013-2019) and Deputy Treasurer (2013-2016) of certain Fidelity® funds.
Marc L. Spector (1972)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Spector also serves as an officer of other funds. Mr. Spector serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2016-present). Prior to joining Fidelity Investments, Mr. Spector served as Director at the Siegfried Group (accounting firm, 2013-2016), and prior to Siegfried Group as audit senior manager at Deloitte & Touche LLP (accounting firm, 2005-2013).
Jim Wegmann (1979)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Wegmann also serves as Assistant Treasurer of other funds. Mr. Wegmann is an employee of Fidelity Investments (2011-present).
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (December 1, 2019 to May 31, 2020).
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the underlying mutual funds (the Underlying Funds), the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's 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 Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's 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. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the Underlying Funds, the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
Annualized Expense Ratio-A | Beginning Account Value December 1, 2019 | Ending Account Value May 31, 2020 | Expenses Paid During Period-B December 1, 2019 to May 31, 2020 | |
Actual | .07% | $1,000.00 | $1,051.10 | $.36 |
Hypothetical-C | $1,000.00 | $1,024.65 | $.35 |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period). The fees and expenses of the underlying Fidelity Central Funds in which the Fund invests are not included in the Fund's annualized expense ratio.
C 5% return per year before expenses
Distributions (Unaudited)
The fund hereby designates as a capital gain dividend with respect to the taxable year ended May 31, 2020, $391,001,125, or, if subsequently determined to be different, the net capital gain of such year.
A total of 19.95% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.
The fund will notify shareholders in January 2021 of amounts for use in preparing 2020 income tax returns.
Liquidity Risk Management Program
The Securities and Exchange Commission adopted Rule 22e-4 under the Investment Company Act of 1940 (the Liquidity Rule) to promote effective liquidity risk management throughout the open-end investment company industry, thereby reducing the risk that funds will be unable to meet their redemption obligations and mitigating dilution of the interests of fund shareholders.
The Fund has adopted and implemented a liquidity risk management program (the Program) reasonably designed to assess and manage the Fund’s liquidity risk and to comply with the requirements of the Liquidity Rule. The Fund’s Board of Trustees (the Board) has designated the Fund’s investment adviser as administrator of the Program. Strategic Advisers has established a Liquidity Risk Management Committee (the LRM Committee) to manage the Program for each of the Funds. The LRM Committee monitors the adequacy and effectiveness of implementation of the Program and on a periodic basis assesses each Fund’s liquidity risk based on a variety of factors including (1) the Fund’s investment strategy, (2) portfolio liquidity and cash flow projections during normal and reasonably foreseeable stressed conditions, (3) shareholder redemptions and (4) borrowings and other funding sources, as applicable.
In accordance with the Program, each of the Fund’s portfolio investments is classified into one of four liquidity categories described below based on a determination of a reasonable expectation for how long it would take to convert the investment to cash (or sell or dispose of the investment) without significantly changing its market value.
- Highly liquid investments – cash or convertible to cash within three business days or less
- Moderately liquid investments – convertible to cash in three to seven calendar days
- Less liquid investments – can be sold or disposed of, but not settled, within seven calendar days
- Illiquid investments – cannot be sold or disposed of within seven calendar days
Liquidity classification determinations take into account a variety of factors including various market, trading and investment-specific considerations, as well as market depth, and generally utilize analysis from a third-party liquidity metrics service.
The Liquidity Rule places a 15% limit on a fund’s illiquid investments and requires funds that do not primarily hold assets that are highly liquid investments to determine and maintain a minimum percentage of the fund’s net assets to be invested in highly liquid investments (highly liquid investment minimum or HLIM). The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments and for determining, periodically reviewing and complying with the HLIM requirement as applicable.
At a recent meeting of the Fund’s Board of Trustees, the LRM Committee provided a written report to the Board pertaining to the operation, adequacy, and effectiveness of implementation of the Program for the annual period from December 1, 2018 through November 30, 2019. The report concluded that the Program has been implemented and is operating effectively and is reasonably designed to assess and manage the Fund’s liquidity risk.
COI-ANN-0720
1.9887939.101
Strategic Advisers® Core Fund
Offered exclusively to certain clients of Strategic Advisers LLC - not available for sale to the general public
May 31, 2020
See the inside front cover for important information about access to your fund’s shareholder reports.
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of a fund’s shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the fund or from your financial intermediary, such as a financial advisor, broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
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Contents
Board Approval of Investment Advisory Contract 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. © 2020 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
Note to Shareholders:
Early in 2020, the outbreak and spread of a new coronavirus emerged as a public health emergency that had a major influence on financial markets, primarily based on its impact on the global economy and the outlook for corporate earnings. The virus causes a respiratory disease known as COVID-19. On March 11, the World Health Organization declared the COVID-19 outbreak a pandemic, citing sustained risk of further global spread.
In the weeks following, as the crisis worsened, we witnessed an escalating human tragedy with wide-scale social and economic consequences from coronavirus-containment measures. The outbreak of COVID-19 prompted a number of measures to limit the spread, including travel and border restrictions, quarantines, and restrictions on large gatherings. In turn, these resulted in lower consumer activity, diminished demand for a wide range of products and services, disruption in manufacturing and supply chains, and – given the wide variability in outcomes regarding the outbreak – significant market uncertainty and volatility. Amid the turmoil, 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.
The situation continues to unfold, and the extent and duration of its impact on financial markets and the economy remain highly uncertain. Extreme events such as the coronavirus crisis are “exogenous shocks” that can have significant adverse effects on mutual funds and their investments. Although multiple asset classes may be affected by market disruption, the duration and impact may not be the same for all types of assets.
Fidelity is committed to helping you stay informed amid news about COVID-19 and during increased market volatility, and we’re taking extra steps to be responsive to customer needs. We encourage you to visit our websites, where we offer ongoing updates, commentary, and analysis on the markets and our funds.
Performance: The Bottom Line
Average annual total return reflects the change in the value of an investment, assuming reinvestment of distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year. The hypothetical investment and the average annual total returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund’s total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.
Average Annual Total Returns
For the periods ended May 31, 2020 | Past 1 year | Past 5 years | Past 10 years |
Strategic Advisers® Core Fund | 12.17% | 9.01% | 12.22% |
$10,000 Over Life of Fund
Let's say hypothetically that $10,000 was invested in Strategic Advisers® Core Fund on May 31, 2010.
The chart shows how the value of your investment would have changed, and also shows how the S&P 500® Index performed over the same period.
Period Ending Values | ||
$31,686 | Strategic Advisers® Core Fund | |
$34,408 | S&P 500® Index |
Management's Discussion of Fund Performance
Market Recap: The S&P 500® index gained 12.84% for the year ending May 31, 2020, in what was a bumpy ride for U.S. equity investors, marked by a steep but brief decline due to the early-2020 outbreak and spread of the coronavirus, followed by a sharp upturn. Declared a pandemic on March 11, the COVID-19 crisis and containment efforts caused broad contraction in economic activity, along with extreme uncertainty, volatility and dislocation in financial markets. By mid-March, U.S. stocks had entered bear-market territory less than a month after hitting an all-time high and extending the longest-running bull market in American history. Stocks slid in late February, after a surge in COVID-19 cases emerged outside China. The downtrend continued in March (-12.35%), capping the index’s worst quarter since 2008. A historically rapid and expansive U.S. monetary/fiscal-policy response helped provide a partial offset to the economic disruption. This was evident in April, when the index achieved its highest monthly gain (+12.82%) since 1991, boosted by improving infection data, plans for reopening the economy and progress on potential treatments. The stark turnaround continued in May, driven by stocks that do well in an economic recovery, even as high unemployment persisted. By sector, energy shares (-29%) fell hard along with the price of crude oil. Financials (-8%) and industrials (-4%) also notably lagged. In contrast, information technology (+38%) led by a wide margin, followed by health care (+21%), communication services and consumer discretionary (each +16%).Comments from Lead Portfolio Manager John Stone: For the fiscal year, the Fund gained 12.17%, trailing the benchmark S&P 500®. During a period when value stocks lagged growth stocks by an outsized margin, underlying managers pursuing value-oriented strategies underperformed. The Fund's managers using fundamentally driven strategies emphasizing bottom-up stock selection did the best. Sub-advisers LSV Asset Management (-5.4%) and Brandywine Global Investment Management (-0.1%) were the biggest detractors versus the benchmark. Both managers' value-focused investment styles were out of favor. Also, LSV's quantitative approach struggled as market fluctuations made it difficult to identify investable trends. The U.S. Equity strategy from sub-adviser FIAM℠ (+6.5%) also dampened the Fund's relative performance. This manager's relative-value strategy resulted in unfavorable positioning in the energy and information technology sectors, as well as weak security selection across several categories. On the plus side, Fidelity® SAI U.S. Quality Index Fund (+20.3%), which tracks a custom index comprised of companies with stable earnings that are typically less volatile than the broader market, was the top relative contributor. Sub-adviser JPMorgan Investment Management (+15.7% also added value, led by strong picks among technology, communication services and consumer discretionary stocks. In June, we hired sub-adviser PineBridge Investments' (+5.1%) enhanced-index strategy to the Fund. As of May 31, the broader Fund is tilted toward underlying strategies that focus on sectors which have historically performed well during the early stages of an economic recovery, such as industrials, financials, energy and consumer discretionary.The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
Note to shareholders: On June 3, 2020, the Board of Trustees approved a proposal to merge Strategic Advisers® Core Fund, Strategic Advisers® Growth Fund and Strategic Advisers® Value Fund into a new fund, Strategic Advisers® Large Cap Fund, subject to shareholder approval. A special meeting of the shareholders of each acquired fund (SA Core, Growth and Value) is expected to be held in the fourth quarter of 2020. This reorganization would occur on a tax-free basis, and if approved by shareholders of each acquired fund, is expected to take place on or about November 13, 2020. A combined proxy statement and prospectus containing more information with respect to the reorganization will be provided to shareholders of record of each acquired fund in advance of the meeting.Investment Summary (Unaudited)
The information in the following tables is based on the direct investments of the Fund.Top Ten Holdings as of May 31, 2020
(excluding cash equivalents) | % of fund's net assets |
Fidelity SAI U.S. Quality Index Fund | 7.8 |
Microsoft Corp. | 4.8 |
Fidelity SAI U.S. Large Cap Index Fund | 3.9 |
Apple, Inc. | 3.8 |
Amazon.com, Inc. | 3.3 |
JPMorgan U.S. Large Cap Core Plus Fund Select Class(a) | 2.6 |
Alphabet, Inc. Class C | 2.0 |
PIMCO StocksPLUS Absolute Return Fund Institutional Class | 1.9 |
Facebook, Inc. Class A | 1.7 |
Procter & Gamble Co. | 1.7 |
33.5 |
(a) The JPMorgan U.S. Large Cap Core Plus Fund seeks to provide a high total return from a portfolio of selected equity securities which includes both long and short positions.
Top Five Market Sectors as of May 31, 2020
(stocks only) | % of fund's net assets |
Information Technology | 20.3 |
Health Care | 13.2 |
Financials | 9.6 |
Communication Services | 9.0 |
Consumer Discretionary | 8.7 |
Asset Allocation (% of fund's net assets)
As of May 31, 2020 | ||
Common Stocks | 81.6% | |
Large Blend Funds | 8.4% | |
Large Growth Funds | 8.1% | |
Mid-Cap Blend Funds | 0.7% | |
Short-Term Investments and Net Other Assets (Liabilities) | 1.2% |
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 May 31, 2020
Showing Percentage of Net Assets
Common Stocks - 81.6% | |||
Shares | Value | ||
COMMUNICATION SERVICES - 9.0% | |||
Diversified Telecommunication Services - 0.7% | |||
AT&T, Inc. | 1,720,866 | $53,105,925 | |
CenturyLink, Inc. | 146,756 | 1,442,611 | |
Verizon Communications, Inc. | 2,187,037 | 125,492,183 | |
Vonage Holdings Corp. (a) | 207,800 | 2,001,114 | |
182,041,833 | |||
Entertainment - 1.6% | |||
Activision Blizzard, Inc. | 1,648,801 | 118,680,696 | |
DouYu International Holdings Ltd. ADR (b) | 340,700 | 3,066,300 | |
Electronic Arts, Inc. (a) | 319,078 | 39,208,305 | |
Live Nation Entertainment, Inc. (a) | 40,772 | 2,004,352 | |
Netflix, Inc. (a) | 388,785 | 163,184,728 | |
Spotify Technology SA (a) | 9,600 | 1,736,928 | |
Take-Two Interactive Software, Inc. (a) | 43,610 | 5,938,374 | |
The Walt Disney Co. | 524,569 | 61,531,944 | |
Vivendi SA | 1,788,416 | 40,892,745 | |
436,244,372 | |||
Interactive Media & Services - 4.5% | |||
Alphabet, Inc.: | |||
Class A (a) | 154,176 | 221,014,380 | |
Class C (a) | 383,018 | 547,302,081 | |
ANGI Homeservices, Inc. Class A (a)(b) | 39,600 | 429,660 | |
Facebook, Inc. Class A (a) | 2,040,762 | 459,355,119 | |
Match Group, Inc. (a)(b) | 32,600 | 2,902,704 | |
Twitter, Inc. (a) | 15,628 | 483,999 | |
Wise Talent Information Technology Co. Ltd. (a) | 446,200 | 1,057,193 | |
1,232,545,136 | |||
Media - 2.0% | |||
Charter Communications, Inc. Class A (a) | 291,745 | 158,709,280 | |
Comcast Corp. Class A | 7,148,021 | 283,061,632 | |
Discovery Communications, Inc.: | |||
Class A (a)(b) | 129,011 | 2,805,989 | |
Class C (non-vtg.) (a) | 748,950 | 14,671,931 | |
DISH Network Corp. Class A (a) | 52,322 | 1,655,991 | |
Fox Corp.: | |||
Class A | 36,200 | 1,055,954 | |
Class B | 26,551 | 764,138 | |
Interpublic Group of Companies, Inc. | 246,900 | 4,224,459 | |
Liberty Broadband Corp. Class C (a) | 343,573 | 46,938,943 | |
Liberty Global PLC Class C (a) | 146,100 | 3,014,043 | |
Liberty Media Corp. Liberty Formula One Group Series C (a) | 126,900 | 4,397,085 | |
Omnicom Group, Inc. | 116,119 | 6,362,160 | |
Tegna, Inc. | 64,900 | 760,628 | |
ViacomCBS, Inc. Class B | 137,252 | 2,846,606 | |
531,268,839 | |||
Wireless Telecommunication Services - 0.2% | |||
T-Mobile U.S., Inc. (a) | 491,272 | 49,146,851 | |
TOTAL COMMUNICATION SERVICES | 2,431,247,031 | ||
CONSUMER DISCRETIONARY - 8.7% | |||
Auto Components - 0.2% | |||
Aptiv PLC | 309,730 | 23,338,156 | |
BorgWarner, Inc. | 326,996 | 10,512,921 | |
Cooper Tire & Rubber Co. | 55,800 | 1,435,734 | |
Gentex Corp. | 28,600 | 756,184 | |
Lear Corp. | 49,700 | 5,270,685 | |
Magna International, Inc. Class A (sub. vtg.) | 332,600 | 14,025,316 | |
The Goodyear Tire & Rubber Co. | 186,300 | 1,417,743 | |
56,756,739 | |||
Automobiles - 0.2% | |||
Ferrari NV (b) | 117,000 | 19,739,070 | |
Ford Motor Co. | 553,700 | 3,161,627 | |
General Motors Co. | 805,442 | 20,844,839 | |
Harley-Davidson, Inc. | 100,900 | 2,153,206 | |
Tesla, Inc.(a) | 21,605 | 18,040,175 | |
Thor Industries, Inc. | 1,210 | 104,302 | |
64,043,219 | |||
Distributors - 0.0% | |||
Genuine Parts Co. | 17,400 | 1,451,334 | |
LKQ Corp. (a) | 193,135 | 5,303,487 | |
6,754,821 | |||
Diversified Consumer Services - 0.0% | |||
Afya Ltd. | 105,134 | 2,065,883 | |
Hotels, Restaurants & Leisure - 1.2% | |||
Brinker International, Inc. | 44,600 | 1,175,210 | |
Chipotle Mexican Grill, Inc. (a) | 583 | 585,280 | |
Darden Restaurants, Inc. | 56,900 | 4,373,334 | |
Domino's Pizza, Inc. | 4,750 | 1,832,740 | |
Hilton Worldwide Holdings, Inc. | 257,904 | 20,454,366 | |
Hyatt Hotels Corp. Class A | 4,100 | 225,869 | |
Las Vegas Sands Corp. | 161,919 | 7,762,397 | |
Marriott International, Inc. Class A | 204,600 | 18,107,100 | |
McDonald's Corp. | 715,317 | 133,277,863 | |
MGM Mirage, Inc. | 217,700 | 3,740,086 | |
Royal Caribbean Cruises Ltd. (b) | 24,500 | 1,270,815 | |
Starbucks Corp. | 293,791 | 22,912,760 | |
Wyndham Destinations, Inc. | 61,680 | 1,961,424 | |
Wynn Resorts Ltd. | 135,200 | 11,259,456 | |
Yum! Brands, Inc. | 1,083,186 | 97,194,280 | |
326,132,980 | |||
Household Durables - 0.2% | |||
D.R. Horton, Inc. | 221,846 | 12,268,084 | |
Garmin Ltd. | 26,842 | 2,420,343 | |
Lennar Corp. Class A | 215,473 | 13,027,498 | |
Mohawk Industries, Inc. (a) | 70,700 | 6,589,240 | |
PulteGroup, Inc. | 312,824 | 10,626,631 | |
Whirlpool Corp. | 105,723 | 12,879,176 | |
57,810,972 | |||
Internet & Direct Marketing Retail - 3.9% | |||
Alibaba Group Holding Ltd. sponsored ADR (a) | 96,408 | 19,994,055 | |
Amazon.com, Inc. (a) | 362,125 | 884,443,236 | |
eBay, Inc. | 323,594 | 14,736,471 | |
Expedia, Inc. | 11,600 | 921,968 | |
Ocado Group PLC (a) | 28,900 | 782,001 | |
The Booking Holdings, Inc. (a) | 76,280 | 125,054,958 | |
1,045,932,689 | |||
Leisure Products - 0.0% | |||
Hasbro, Inc. | 57,035 | 4,192,643 | |
Multiline Retail - 0.3% | |||
Big Lots, Inc. | 13,500 | 523,125 | |
Dillard's, Inc. Class A (b) | 19,700 | 591,197 | |
Dollar General Corp. | 150,731 | 28,866,494 | |
Dollar Tree, Inc. (a) | 272,142 | 26,634,538 | |
Kohl's Corp. | 121,838 | 2,341,726 | |
Macy's, Inc. (b) | 103,200 | 656,352 | |
Target Corp. | 253,246 | 30,979,583 | |
90,593,015 | |||
Specialty Retail - 2.3% | |||
Advance Auto Parts, Inc. | 20,227 | 2,818,026 | |
American Eagle Outfitters, Inc. | 110,600 | 1,013,096 | |
AutoZone, Inc. (a) | 21,052 | 24,164,749 | |
Best Buy Co., Inc. | 325,725 | 25,435,865 | |
Burlington Stores, Inc. (a) | 91,500 | 19,184,805 | |
CarMax, Inc. (a) | 177,900 | 15,664,095 | |
Gap, Inc. | 101,600 | 904,240 | |
Lowe's Companies, Inc. | 807,647 | 105,276,786 | |
O'Reilly Automotive, Inc. (a) | 212,364 | 88,606,755 | |
Office Depot, Inc. | 40,900 | 101,023 | |
Penske Automotive Group, Inc. | 60,300 | 2,156,328 | |
Ross Stores, Inc. | 341,829 | 33,143,740 | |
Sleep Number Corp. (a) | 40,400 | 1,259,268 | |
The Home Depot, Inc. | 746,813 | 185,568,094 | |
TJX Companies, Inc. | 1,080,454 | 57,004,753 | |
Ulta Beauty, Inc. (a) | 172,471 | 42,084,649 | |
Williams-Sonoma, Inc. | 9,300 | 773,853 | |
605,160,125 | |||
Textiles, Apparel & Luxury Goods - 0.4% | |||
Columbia Sportswear Co. | 69,400 | 5,070,364 | |
Hanesbrands, Inc. | 45,523 | 448,857 | |
NIKE, Inc. Class B | 721,675 | 71,142,722 | |
Ralph Lauren Corp. | 33,008 | 2,492,434 | |
Skechers U.S.A., Inc. Class A (sub. vtg.) (a) | 16,000 | 501,120 | |
Tapestry, Inc. | 339,000 | 4,610,400 | |
VF Corp. | 178,600 | 10,019,460 | |
94,285,357 | |||
TOTAL CONSUMER DISCRETIONARY | 2,353,728,443 | ||
CONSUMER STAPLES - 5.3% | |||
Beverages - 1.2% | |||
Anheuser-Busch InBev SA NV ADR (b) | 33,800 | 1,584,544 | |
Constellation Brands, Inc. Class A (sub. vtg.) | 314,062 | 54,238,507 | |
Diageo PLC sponsored ADR | 22,400 | 3,149,664 | |
Keurig Dr. Pepper, Inc. | 868,030 | 24,235,398 | |
Molson Coors Beverage Co. Class B | 94,200 | 3,575,832 | |
Monster Beverage Corp. (a) | 661,840 | 47,592,914 | |
PepsiCo, Inc. | 598,296 | 78,705,839 | |
The Coca-Cola Co. | 2,129,902 | 99,423,825 | |
312,506,523 | |||
Food & Staples Retailing - 0.7% | |||
Costco Wholesale Corp. | 247,519 | 76,352,186 | |
Kroger Co. | 259,450 | 8,463,259 | |
Performance Food Group Co. (a) | 51,400 | 1,369,810 | |
Sprouts Farmers Market LLC (a) | 54,280 | 1,364,056 | |
Sysco Corp. | 424,273 | 23,402,899 | |
Walgreens Boots Alliance, Inc. | 287,000 | 12,323,780 | |
Walmart, Inc. (c) | 628,360 | 77,954,342 | |
201,230,332 | |||
Food Products - 0.7% | |||
Archer Daniels Midland Co. | 66,700 | 2,621,977 | |
Campbell Soup Co. | 45,855 | 2,337,688 | |
Conagra Brands, Inc. | 1,652,317 | 57,484,108 | |
General Mills, Inc. | 30,927 | 1,949,638 | |
Ingredion, Inc. | 43,100 | 3,630,313 | |
Kellogg Co. | 40,800 | 2,664,648 | |
Mondelez International, Inc. | 1,297,883 | 67,645,662 | |
Pilgrim's Pride Corp. (a) | 119,600 | 2,472,132 | |
Post Holdings, Inc. (a) | 91,900 | 8,000,814 | |
The a2 Milk Co. Ltd. (a) | 187,816 | 2,217,093 | |
The Hershey Co. | 25,867 | 3,509,635 | |
The J.M. Smucker Co. | 63,570 | 7,242,530 | |
The Kraft Heinz Co. | 141,300 | 4,305,411 | |
Tyson Foods, Inc. Class A | 508,330 | 31,231,795 | |
197,313,444 | |||
Household Products - 1.9% | |||
Church & Dwight Co., Inc. | 197,448 | 14,822,421 | |
Colgate-Palmolive Co. | 110,872 | 8,019,372 | |
Energizer Holdings, Inc. | 3,100 | 136,028 | |
Kimberly-Clark Corp. | 233,025 | 32,959,056 | |
Procter & Gamble Co. | 3,832,003 | 444,205,788 | |
Reckitt Benckiser Group PLC | 53,326 | 4,776,226 | |
Spectrum Brands Holdings, Inc. | 13,800 | 653,016 | |
505,571,907 | |||
Personal Products - 0.1% | |||
Estee Lauder Companies, Inc. Class A | 90,092 | 17,790,467 | |
Unilever NV | 25,800 | 1,333,290 | |
19,123,757 | |||
Tobacco - 0.7% | |||
Altria Group, Inc. | 3,185,200 | 124,382,060 | |
British American Tobacco PLC sponsored ADR | 241,800 | 9,691,344 | |
Philip Morris International, Inc. | 869,405 | 63,779,551 | |
197,852,955 | |||
TOTAL CONSUMER STAPLES | 1,433,598,918 | ||
ENERGY - 2.6% | |||
Energy Equipment & Services - 0.1% | |||
Baker Hughes Co. Class A | 221,797 | 3,661,868 | |
Halliburton Co. | 1,445,700 | 16,986,975 | |
Helmerich & Payne, Inc. | 39,991 | 805,019 | |
Oceaneering International, Inc. (a) | 219,767 | 1,410,904 | |
SBM Offshore NV | 75,400 | 1,028,646 | |
Schlumberger Ltd. | 298,588 | 5,514,920 | |
Subsea 7 SA | 343,200 | 1,970,070 | |
TechnipFMC PLC | 231,067 | 1,709,896 | |
33,088,298 | |||
Oil, Gas & Consumable Fuels - 2.5% | |||
Africa Oil Corp. (a)(b) | 527,000 | 405,723 | |
Aker Bp ASA | 34,300 | 550,981 | |
Apache Corp. | 257,200 | 2,775,188 | |
Cabot Oil & Gas Corp. | 77,602 | 1,539,624 | |
Canadian Natural Resources Ltd. | 199,000 | 3,635,000 | |
Cenovus Energy, Inc. (Canada) | 2,292,800 | 9,991,502 | |
Cheniere Energy, Inc. (a) | 22,700 | 1,006,745 | |
Chevron Corp. | 1,570,423 | 144,007,789 | |
Concho Resources, Inc. | 183,800 | 10,020,776 | |
ConocoPhillips Co. | 2,165,829 | 91,354,667 | |
Diamondback Energy, Inc. | 398,396 | 16,963,702 | |
Enbridge, Inc. | 605,204 | 19,638,870 | |
EOG Resources, Inc. | 1,361,834 | 69,412,679 | |
Equinor ASA sponsored ADR | 1,094,700 | 15,971,673 | |
Exxon Mobil Corp. | 1,716,208 | 78,035,978 | |
Galp Energia SGPS SA Class B | 160,000 | 1,903,711 | |
Gibson Energy, Inc. | 26,100 | 403,769 | |
Hess Corp. | 737,600 | 35,013,872 | |
HollyFrontier Corp. | 96,612 | 3,038,447 | |
Kinder Morgan, Inc. | 261,500 | 4,131,700 | |
Kosmos Energy Ltd. | 701,900 | 1,277,458 | |
Magellan Midstream Partners LP | 332,108 | 15,057,777 | |
Marathon Petroleum Corp. | 398,866 | 14,016,151 | |
MEG Energy Corp. (a) | 512,500 | 1,191,125 | |
Noble Energy, Inc. | 33,804 | 295,109 | |
Occidental Petroleum Corp. | 28,319 | 366,731 | |
PBF Energy, Inc. Class A | 124,900 | 1,326,438 | |
Phillips 66 Co. | 276,353 | 21,627,386 | |
Pioneer Natural Resources Co. | 315,529 | 28,902,456 | |
Shell Midstream Partners LP (b) | 45,900 | 619,191 | |
Suncor Energy, Inc. | 710,975 | 12,171,892 | |
Targa Resources Corp. | 214,300 | 3,833,827 | |
TC Energy Corp. | 70,250 | 3,161,953 | |
The Williams Companies, Inc. | 88,764 | 1,813,449 | |
Total SA sponsored ADR | 1,131,644 | 42,527,182 | |
Tourmaline Oil Corp. | 33,400 | 331,853 | |
Valero Energy Corp. | 333,813 | 22,245,298 | |
680,567,672 | |||
TOTAL ENERGY | 713,655,970 | ||
FINANCIALS - 9.6% | |||
Banks - 3.9% | |||
Bank of America Corp. | 6,534,874 | 157,621,161 | |
CIT Group, Inc. | 74,500 | 1,351,430 | |
Citigroup, Inc. | 2,574,303 | 123,334,857 | |
Citizens Financial Group, Inc. | 232,100 | 5,593,610 | |
Comerica, Inc. | 91,400 | 3,322,390 | |
Commerce Bancshares, Inc. | 13,400 | 853,982 | |
Cullen/Frost Bankers, Inc. | 6,700 | 508,999 | |
East West Bancorp, Inc. | 15,000 | 524,250 | |
EFG Eurobank Ergasias SA (a) | 2,844,900 | 1,200,033 | |
Fifth Third Bancorp | 2,914,663 | 56,515,316 | |
First Horizon National Corp. | 421,100 | 3,937,285 | |
First Republic Bank | 155,355 | 16,804,750 | |
Huntington Bancshares, Inc. | 390,200 | 3,468,878 | |
JPMorgan Chase & Co. | 2,863,390 | 278,636,481 | |
KeyCorp | 2,187,568 | 25,922,681 | |
M&T Bank Corp. | 81,477 | 8,608,860 | |
PNC Financial Services Group, Inc. | 1,346,516 | 153,556,685 | |
Regions Financial Corp. | 764,600 | 8,647,626 | |
Signature Bank | 25,600 | 2,634,496 | |
Societe Generale Series A | 44,700 | 661,240 | |
SVB Financial Group (a) | 132,037 | 28,354,946 | |
Synovus Financial Corp. | 57,300 | 1,099,587 | |
Truist Financial Corp. | 513,399 | 18,882,815 | |
U.S. Bancorp | 638,310 | 22,698,304 | |
Wells Fargo & Co. | 4,460,844 | 118,078,541 | |
Zions Bancorp NA | 20,400 | 671,262 | |
1,043,490,465 | |||
Capital Markets - 2.4% | |||
Ameriprise Financial, Inc. | 104,240 | 14,600,897 | |
Bank of New York Mellon Corp. | 550,230 | 20,452,049 | |
BlackRock, Inc. Class A | 110,897 | 58,624,590 | |
Cboe Global Markets, Inc. | 96,953 | 10,321,616 | |
Charles Schwab Corp. | 1,898,340 | 68,169,389 | |
CME Group, Inc. | 161,700 | 29,526,420 | |
E*TRADE Financial Corp. | 451,104 | 20,543,276 | |
Eaton Vance Corp. (non-vtg.) | 13,300 | 479,465 | |
Goldman Sachs Group, Inc. | 621,159 | 122,051,532 | |
Intercontinental Exchange, Inc. | 677,062 | 65,844,280 | |
KKR & Co. LP | 427,500 | 11,863,125 | |
Legg Mason, Inc. | 4,600 | 229,218 | |
LPL Financial | 9,700 | 692,483 | |
MarketAxess Holdings, Inc. | 13,523 | 6,877,663 | |
Moody's Corp. | 11,008 | 2,943,649 | |
Morgan Stanley | 1,906,104 | 84,249,797 | |
MSCI, Inc. | 3,187 | 1,048,045 | |
Northern Trust Corp. | 199,700 | 15,778,297 | |
Raymond James Financial, Inc. | 167,400 | 11,597,472 | |
S&P Global, Inc. | 42,336 | 13,760,047 | |
SEI Investments Co. | 17,300 | 938,006 | |
State Street Corp. | 474,547 | 28,928,385 | |
T. Rowe Price Group, Inc. | 100,407 | 12,139,206 | |
TD Ameritrade Holding Corp. | 511,600 | 19,067,332 | |
Tradeweb Markets, Inc. Class A | 180,762 | 11,923,062 | |
Virtu Financial, Inc. Class A | 251,570 | 5,999,945 | |
638,649,246 | |||
Consumer Finance - 0.6% | |||
360 Finance, Inc. ADR (a) | 74,100 | 744,705 | |
Ally Financial, Inc. | 932,600 | 16,264,544 | |
American Express Co. | 349,021 | 33,181,426 | |
Capital One Financial Corp. | 1,357,345 | 92,353,754 | |
Credit Acceptance Corp. (a)(b) | 2,300 | 850,586 | |
Discover Financial Services | 371,399 | 17,645,166 | |
Encore Capital Group, Inc. (a) | 2,500 | 79,425 | |
Navient Corp. | 115,400 | 858,576 | |
OneMain Holdings, Inc. | 344,100 | 8,027,853 | |
Shriram Transport Finance Co. Ltd. | 167,300 | 1,266,395 | |
SLM Corp. | 434,992 | 3,297,239 | |
Synchrony Financial | 50,467 | 1,028,013 | |
175,597,682 | |||
Diversified Financial Services - 1.0% | |||
AXA Equitable Holdings, Inc. | 2,586,699 | 49,431,818 | |
Berkshire Hathaway, Inc.: | |||
Class A (a) | 1 | 278,640 | |
Class B (a) | 1,063,646 | 197,391,425 | |
Jefferies Financial Group, Inc. | 36,000 | 527,400 | |
Voya Financial, Inc. | 263,900 | 11,888,695 | |
259,517,978 | |||
Insurance - 1.7% | |||
AFLAC, Inc. | 310,901 | 11,338,559 | |
Alleghany Corp. | 1,700 | 872,270 | |
Allstate Corp. | 169,359 | 16,565,004 | |
American Financial Group, Inc. | 32,900 | 1,981,896 | |
American International Group, Inc. | 2,104,007 | 63,246,450 | |
Aon PLC | 20,336 | 4,005,175 | |
Arch Capital Group Ltd. (a) | 48,500 | 1,368,670 | |
Arthur J. Gallagher & Co. | 26,138 | 2,464,291 | |
Assurant, Inc. | 24,169 | 2,479,256 | |
Assured Guaranty Ltd. | 46,100 | 1,195,373 | |
Axis Capital Holdings Ltd. | 35,700 | 1,340,178 | |
Chubb Ltd. | 743,062 | 90,608,980 | |
Everest Re Group Ltd. | 18,600 | 3,690,426 | |
Fairfax Financial Holdings Ltd. (sub. vtg.) | 4,900 | 1,361,153 | |
First American Financial Corp. | 11,800 | 595,782 | |
FNF Group | 32,900 | 1,049,510 | |
Globe Life, Inc. | 28,300 | 2,179,666 | |
Hanover Insurance Group, Inc. | 4,100 | 411,435 | |
Hartford Financial Services Group, Inc. | 348,270 | 13,335,258 | |
Lincoln National Corp. | 133,900 | 5,078,827 | |
Loews Corp. | 35,600 | 1,183,344 | |
Markel Corp. (a) | 1,680 | 1,507,666 | |
Marsh & McLennan Companies, Inc. | 264,954 | 28,063,928 | |
MetLife, Inc. | 1,234,342 | 44,448,655 | |
Old Republic International Corp. | 25,900 | 403,781 | |
Progressive Corp. | 961,832 | 74,715,110 | |
Prudential Financial, Inc. | 124,100 | 7,565,136 | |
Reinsurance Group of America, Inc. | 18,700 | 1,697,025 | |
RenaissanceRe Holdings Ltd. | 4,600 | 772,156 | |
The Travelers Companies, Inc. | 247,526 | 26,480,331 | |
Unum Group | 96,100 | 1,455,915 | |
W.R. Berkley Corp. | 18,400 | 1,066,280 | |
Willis Group Holdings PLC | 201,371 | 40,858,176 | |
455,385,662 | |||
Mortgage Real Estate Investment Trusts - 0.0% | |||
Annaly Capital Management, Inc. | 427,600 | 2,634,016 | |
Thrifts & Mortgage Finance - 0.0% | |||
MGIC Investment Corp. | 1,267,200 | 10,403,712 | |
New York Community Bancorp, Inc. | 55,900 | 561,795 | |
Radian Group, Inc. | 133,900 | 2,126,332 | |
13,091,839 | |||
TOTAL FINANCIALS | 2,588,366,888 | ||
HEALTH CARE - 13.2% | |||
Biotechnology - 2.4% | |||
AbbVie, Inc. | 2,074,408 | 192,235,389 | |
Acceleron Pharma, Inc. (a) | 40,000 | 3,953,200 | |
ADC Therapeutics SA (a)(b) | 68,500 | 2,531,075 | |
Alexion Pharmaceuticals, Inc. (a) | 427,142 | 51,214,326 | |
Alnylam Pharmaceuticals, Inc. (a) | 40,400 | 5,464,908 | |
Amgen, Inc. | 443,037 | 101,765,599 | |
Arcutis Biotherapeutics, Inc. (a)(b) | 50,000 | 1,677,500 | |
Argenx SE ADR (a) | 28,000 | 6,140,400 | |
Ascendis Pharma A/S sponsored ADR (a) | 44,000 | 6,401,560 | |
BELLUS Health, Inc. (a) | 140,000 | 1,468,600 | |
Biogen, Inc. (a) | 190,011 | 58,350,478 | |
Crinetics Pharmaceuticals, Inc. (a)(b) | 31,000 | 506,540 | |
Gilead Sciences, Inc. | 384,604 | 29,933,729 | |
Gritstone Oncology, Inc. (a)(b) | 93,400 | 603,364 | |
Heron Therapeutics, Inc. (a) | 13,800 | 251,436 | |
Incyte Corp. (a) | 168,949 | 17,217,593 | |
Innovent Biologics, Inc. (a)(d) | 340,000 | 1,867,103 | |
Insmed, Inc. (a) | 36,200 | 879,298 | |
Intercept Pharmaceuticals, Inc. (a) | 75,400 | 5,448,404 | |
Neurocrine Biosciences, Inc. (a) | 34,000 | 4,241,840 | |
ORIC Pharmaceuticals, Inc. (a)(b) | 60,000 | 1,741,200 | |
Passage Bio, Inc. (b) | 28,000 | 616,840 | |
Principia Biopharma, Inc. (a) | 45,000 | 2,875,050 | |
Regeneron Pharmaceuticals, Inc. (a) | 33,636 | 20,612,477 | |
Revolution Medicines, Inc. (b) | 60,000 | 1,843,200 | |
Sarepta Therapeutics, Inc. (a) | 40,000 | 6,090,800 | |
TG Therapeutics, Inc. (a) | 70,000 | 1,305,500 | |
Turning Point Therapeutics, Inc. (a)(b) | 28,000 | 1,939,000 | |
Twist Bioscience Corp. (a) | 50,000 | 1,897,500 | |
United Therapeutics Corp. (a) | 4,700 | 554,365 | |
Vertex Pharmaceuticals, Inc. (a) | 392,395 | 112,994,064 | |
Xencor, Inc. (a) | 50,000 | 1,512,500 | |
Zymeworks, Inc. (a) | 55,000 | 2,096,600 | |
648,231,438 | |||
Health Care Equipment & Supplies - 2.4% | |||
Abbott Laboratories | 523,860 | 49,724,791 | |
Alcon, Inc. (Switzerland) (a) | 105,393 | 6,780,743 | |
Align Technology, Inc. (a) | 10,375 | 2,548,308 | |
Baxter International, Inc. | 691,482 | 62,240,295 | |
Becton, Dickinson & Co. | 379,088 | 93,608,200 | |
Boston Scientific Corp. (a) | 3,098,565 | 117,714,484 | |
Danaher Corp. | 260,967 | 43,479,712 | |
DexCom, Inc. (a) | 1,307 | 494,451 | |
Edwards Lifesciences Corp. (a) | 32,333 | 7,265,872 | |
Genmark Diagnostics, Inc. (a) | 360,000 | 3,416,400 | |
Hologic, Inc. (a) | 313,895 | 16,636,435 | |
Insulet Corp. (a) | 41,500 | 7,825,655 | |
Intuitive Surgical, Inc. (a) | 129,900 | 75,345,897 | |
Masimo Corp. (a) | 26,000 | 6,244,940 | |
Medtronic PLC | 112,532 | 11,093,405 | |
Nanosonics Ltd. (a) | 300,000 | 1,445,747 | |
Nevro Corp. (a) | 14,000 | 1,758,400 | |
OraSure Technologies, Inc. (a) | 180,000 | 2,617,200 | |
Penumbra, Inc. (a) | 42,800 | 7,379,576 | |
Quidel Corp. (a) | 28,000 | 4,900,000 | |
ResMed, Inc. | 19,984 | 3,213,827 | |
Stryker Corp. | 187,587 | 36,716,404 | |
Tandem Diabetes Care, Inc. (a) | 22,000 | 1,829,300 | |
The Cooper Companies, Inc. | 16,692 | 5,291,030 | |
Zimmer Biomet Holdings, Inc. | 650,587 | 82,195,162 | |
651,766,234 | |||
Health Care Providers & Services - 3.5% | |||
1Life Healthcare, Inc. (a)(b) | 65,000 | 2,099,500 | |
AmerisourceBergen Corp. | 41,700 | 3,975,678 | |
Anthem, Inc. | 199,435 | 58,655,828 | |
Cardinal Health, Inc. | 275,397 | 15,061,462 | |
Centene Corp. (a) | 1,200,598 | 79,539,618 | |
Cigna Corp. | 1,114,524 | 219,917,876 | |
Covetrus, Inc. (a) | 57,700 | 881,656 | |
CVS Health Corp. | 609,344 | 39,954,686 | |
DaVita HealthCare Partners, Inc. (a) | 43,217 | 3,498,848 | |
HCA Holdings, Inc. | 437,611 | 46,780,616 | |
Henry Schein, Inc. (a) | 83,363 | 5,061,801 | |
Humana, Inc. | 209,785 | 86,148,210 | |
Laboratory Corp. of America Holdings (a) | 51,956 | 9,108,926 | |
McKesson Corp. | 333,570 | 52,927,552 | |
Molina Healthcare, Inc. (a) | 6,800 | 1,263,576 | |
Quest Diagnostics, Inc. | 50,400 | 5,961,312 | |
UnitedHealth Group, Inc. | 1,043,569 | 318,132,010 | |
Universal Health Services, Inc. Class B | 54,114 | 5,706,321 | |
954,675,476 | |||
Health Care Technology - 0.1% | |||
Cerner Corp. | 69,392 | 5,058,677 | |
Inspire Medical Systems, Inc. (a) | 35,000 | 2,853,900 | |
Veeva Systems, Inc. Class A (a) | 20,678 | 4,525,794 | |
12,438,371 | |||
Life Sciences Tools & Services - 0.6% | |||
10X Genomics, Inc. (a) | 36,000 | 2,806,920 | |
Agilent Technologies, Inc. | 307,300 | 27,085,422 | |
Avantor, Inc. | 213,660 | 4,053,130 | |
Bio-Rad Laboratories, Inc. Class A (a) | 2,800 | 1,375,696 | |
Bruker Corp. | 90,000 | 3,895,200 | |
Illumina, Inc. (a) | 12,565 | 4,561,723 | |
Lonza Group AG | 10,000 | 4,938,207 | |
Mettler-Toledo International, Inc. (a) | 3,554 | 2,825,430 | |
Thermo Fisher Scientific, Inc. | 338,767 | 118,294,049 | |
169,835,777 | |||
Pharmaceuticals - 4.2% | |||
AstraZeneca PLC: | |||
(United Kingdom) | 175,000 | 18,847,464 | |
sponsored ADR | 584,780 | 31,928,988 | |
Bayer AG | 292,890 | 20,021,842 | |
Bristol-Myers Squibb Co. | 1,480,032 | 88,387,511 | |
Elanco Animal Health, Inc. (a) | 1,892,433 | 40,516,991 | |
Eli Lilly & Co. | 724,850 | 110,865,808 | |
GlaxoSmithKline PLC sponsored ADR | 490,112 | 20,545,495 | |
Jazz Pharmaceuticals PLC (a) | 27,790 | 3,315,903 | |
Johnson & Johnson | 1,545,841 | 229,943,849 | |
Mallinckrodt PLC (a)(b) | 101,900 | 287,358 | |
Merck & Co., Inc. | 3,705,889 | 299,139,360 | |
MyoKardia, Inc. (a) | 34,000 | 3,477,860 | |
Nektar Therapeutics (a) | 80,000 | 1,736,000 | |
Novartis AG sponsored ADR | 150,700 | 13,175,701 | |
Novo Nordisk A/S Series B sponsored ADR | 134,500 | 8,868,930 | |
Perrigo Co. PLC | 16,300 | 892,751 | |
Pfizer, Inc. | 3,118,956 | 119,112,930 | |
Roche Holding AG (participation certificate) | 74,000 | 25,687,011 | |
Sanofi SA | 124,000 | 12,129,036 | |
Sanofi SA sponsored ADR | 555,000 | 27,256,050 | |
Theravance Biopharma, Inc. (a) | 80,000 | 2,020,000 | |
Zoetis, Inc. Class A | 416,834 | 58,102,491 | |
1,136,259,329 | |||
TOTAL HEALTH CARE | 3,573,206,625 | ||
INDUSTRIALS - 7.3% | |||
Aerospace & Defense - 1.4% | |||
Airbus Group NV | 12,700 | 811,619 | |
Curtiss-Wright Corp. | 4,900 | 491,470 | |
General Dynamics Corp. | 256,947 | 37,727,528 | |
Harris Corp. | 124,230 | 24,777,674 | |
Howmet Aerospace, Inc. | 100,357 | 1,312,670 | |
Huntington Ingalls Industries, Inc. | 45,588 | 9,112,585 | |
Lockheed Martin Corp. | 248,257 | 96,432,949 | |
Moog, Inc. Class A | 27,100 | 1,471,259 | |
Northrop Grumman Corp. | 348,192 | 116,713,958 | |
Raytheon Technologies Corp. | 601,903 | 38,834,782 | |
Safran SA | 8,600 | 828,686 | |
Spirit AeroSystems Holdings, Inc. Class A | 57,800 | 1,252,526 | |
Textron, Inc. | 589,100 | 18,244,427 | |
The Boeing Co. | 298,524 | 43,539,725 | |
391,551,858 | |||
Air Freight & Logistics - 0.5% | |||
C.H. Robinson Worldwide, Inc. | 158,207 | 12,835,334 | |
FedEx Corp. | 146,700 | 19,153,152 | |
United Parcel Service, Inc. Class B | 963,933 | 96,113,759 | |
XPO Logistics, Inc. (a) | 25,700 | 2,025,417 | |
130,127,662 | |||
Airlines - 0.1% | |||
Alaska Air Group, Inc. | 190,486 | 6,512,716 | |
American Airlines Group, Inc. (b) | 66,000 | 693,000 | |
Delta Air Lines, Inc. | 185,860 | 4,685,531 | |
JetBlue Airways Corp. (a) | 149,800 | 1,508,486 | |
Ryanair Holdings PLC sponsored ADR (a) | 11,900 | 854,063 | |
United Airlines Holdings, Inc. (a)(b) | 349,841 | 9,809,542 | |
24,063,338 | |||
Building Products - 0.3% | |||
Allegion PLC | 20,745 | 2,068,277 | |
Carrier Global Corp. (a) | 117,688 | 2,409,073 | |
Fortune Brands Home & Security, Inc. | 221,700 | 13,514,832 | |
Johnson Controls International PLC | 582,238 | 18,288,096 | |
Masco Corp. | 65,219 | 3,042,466 | |
Owens Corning | 13,000 | 682,500 | |
Trane Technologies PLC | 497,032 | 44,837,257 | |
84,842,501 | |||
Commercial Services & Supplies - 0.2% | |||
Cintas Corp. | 19,149 | 4,748,186 | |
Copart, Inc. (a) | 26,279 | 2,349,080 | |
Deluxe Corp. | 49,200 | 1,147,836 | |
Herman Miller, Inc. | 68,300 | 1,572,266 | |
IAA Spinco, Inc. (a) | 17,000 | 697,000 | |
Waste Connection, Inc. (United States) | 361,496 | 33,995,084 | |
44,509,452 | |||
Construction & Engineering - 0.3% | |||
Jacobs Engineering Group, Inc. | 1,022,534 | 85,913,307 | |
Quanta Services, Inc. | 17,100 | 631,503 | |
86,544,810 | |||
Electrical Equipment - 0.4% | |||
Acuity Brands, Inc. | 25,500 | 2,196,825 | |
AMETEK, Inc. | 273,000 | 25,036,830 | |
Eaton Corp. PLC | 513,695 | 43,612,706 | |
Emerson Electric Co. | 266,700 | 16,274,034 | |
Hubbell, Inc. Class B | 28,400 | 3,476,728 | |
Sensata Technologies, Inc. PLC (a) | 19,000 | 677,350 | |
Sunrun, Inc. (a) | 62,400 | 1,042,080 | |
Vertiv Holdings Co. (a) | 67,021 | 853,177 | |
Vertiv Holdings LLC (e) | 450,000 | 5,728,500 | |
Vivint Solar, Inc. (a)(b) | 1,094,128 | 8,227,843 | |
107,126,073 | |||
Industrial Conglomerates - 1.7% | |||
3M Co. | 101,108 | 15,817,336 | |
Carlisle Companies, Inc. | 6,500 | 779,090 | |
General Electric Co. | 13,747,572 | 90,321,548 | |
Honeywell International, Inc. | 1,943,633 | 283,478,873 | |
Roper Technologies, Inc. | 146,528 | 57,702,726 | |
448,099,573 | |||
Machinery - 1.1% | |||
AGCO Corp. | 72,900 | 4,026,267 | |
Allison Transmission Holdings, Inc. | 102,200 | 3,854,984 | |
Caterpillar, Inc. | 134,322 | 16,136,102 | |
Cummins, Inc. | 272,361 | 46,192,426 | |
Deere & Co. | 166,655 | 25,351,559 | |
Dover Corp. | 34,689 | 3,373,505 | |
Flowserve Corp. | 413,500 | 10,792,350 | |
Fortive Corp. | 713,037 | 43,480,996 | |
Gardner Denver Holdings, Inc. (a) | 540,936 | 15,254,395 | |
ITT, Inc. | 9,800 | 565,460 | |
Lincoln Electric Holdings, Inc. | 6,400 | 525,888 | |
Meritor, Inc. (a) | 117,300 | 2,390,574 | |
Oshkosh Corp. | 64,300 | 4,618,026 | |
Otis Worldwide Corp. | 324,353 | 17,077,185 | |
PACCAR, Inc. | 435,820 | 32,189,665 | |
Parker Hannifin Corp. | 114,500 | 20,606,565 | |
Pentair PLC | 19,400 | 759,316 | |
Snap-On, Inc. | 69,251 | 8,981,162 | |
Stanley Black & Decker, Inc. | 239,010 | 29,983,805 | |
Timken Co. | 62,900 | 2,675,766 | |
Trinity Industries, Inc. | 89,300 | 1,783,321 | |
Westinghouse Air Brake Co. | 266,456 | 16,272,468 | |
306,891,785 | |||
Professional Services - 0.2% | |||
CoStar Group, Inc. (a) | 12,400 | 8,144,320 | |
Equifax, Inc. | 137,200 | 21,068,432 | |
IHS Markit Ltd. | 68,811 | 4,779,612 | |
Manpower, Inc. | 42,800 | 2,959,192 | |
RELX PLC (London Stock Exchange) | 131,020 | 3,031,505 | |
Robert Half International, Inc. | 65,247 | 3,310,633 | |
TransUnion Holding Co., Inc. | 56,724 | 4,894,714 | |
Verisk Analytics, Inc. | 2,626 | 453,458 | |
48,641,866 | |||
Road & Rail - 1.1% | |||
AMERCO | 2,400 | 774,000 | |
CSX Corp. | 525,042 | 37,582,506 | |
J.B. Hunt Transport Services, Inc. | 210,100 | 25,142,667 | |
Kansas City Southern | 5,042 | 758,922 | |
Knight-Swift Transportation Holdings, Inc. Class A | 221,700 | 9,224,937 | |
Lyft, Inc. (a) | 445,254 | 13,918,640 | |
Norfolk Southern Corp. | 511,214 | 91,144,344 | |
Ryder System, Inc. | 59,100 | 2,024,766 | |
Uber Technologies, Inc. | 74,200 | 2,694,944 | |
Union Pacific Corp. | 679,537 | 115,426,155 | |
298,691,881 | |||
Trading Companies & Distributors - 0.0% | |||
Beijer Ref AB (B Shares) | 8,800 | 260,566 | |
HD Supply Holdings, Inc. (a) | 77,900 | 2,470,209 | |
United Rentals, Inc. (a) | 23,357 | 3,244,054 | |
W.W. Grainger, Inc. | 16,491 | 5,105,943 | |
11,080,772 | |||
TOTAL INDUSTRIALS | 1,982,171,571 | ||
INFORMATION TECHNOLOGY - 20.3% | |||
Communications Equipment - 0.8% | |||
Arista Networks, Inc. (a) | 2,001 | 467,153 | |
Cisco Systems, Inc. | 3,445,789 | 164,777,630 | |
Ericsson (B Shares) sponsored ADR | 175,700 | 1,605,898 | |
Juniper Networks, Inc. | 122,000 | 2,959,720 | |
Lumentum Holdings, Inc. (a) | 2,400 | 175,968 | |
Motorola Solutions, Inc. | 300,776 | 40,704,016 | |
210,690,385 | |||
Electronic Equipment & Components - 0.4% | |||
Amphenol Corp. Class A | 272,900 | 26,351,224 | |
Arrow Electronics, Inc. (a) | 39,800 | 2,749,384 | |
CDW Corp. | 100,340 | 11,128,709 | |
Corning, Inc. | 133,400 | 3,040,186 | |
Flextronics International Ltd. (a) | 843,200 | 8,187,472 | |
II-VI, Inc. (a) | 198,300 | 9,425,199 | |
Insight Enterprises, Inc. (a) | 37,700 | 1,932,502 | |
Jabil, Inc. | 796,200 | 23,822,304 | |
Keysight Technologies, Inc. (a) | 91,001 | 9,839,938 | |
Vishay Intertechnology, Inc. | 110,800 | 1,801,608 | |
98,278,526 | |||
IT Services - 4.1% | |||
Accenture PLC Class A | 331,361 | 66,809,005 | |
Akamai Technologies, Inc. (a) | 40,102 | 4,242,792 | |
Amdocs Ltd. | 169,403 | 10,547,031 | |
Automatic Data Processing, Inc. | 237,587 | 34,804,120 | |
Booz Allen Hamilton Holding Corp. Class A | 17,812 | 1,420,685 | |
Cognizant Technology Solutions Corp. Class A | 471,492 | 24,989,076 | |
DXC Technology Co. | 101,232 | 1,438,507 | |
Fidelity National Information Services, Inc. | 604,239 | 83,886,500 | |
Fiserv, Inc. (a) | 555,201 | 59,278,811 | |
FleetCor Technologies, Inc. (a) | 255,593 | 62,311,017 | |
Gartner, Inc. (a) | 14,700 | 1,788,990 | |
Genpact Ltd. | 379,300 | 13,635,835 | |
Global Payments, Inc. | 329,373 | 59,119,160 | |
GoDaddy, Inc. (a) | 131,000 | 10,119,750 | |
IBM Corp. | 231,644 | 28,932,336 | |
Leidos Holdings, Inc. | 180,140 | 18,966,941 | |
MasterCard, Inc. Class A | 712,125 | 214,271,291 | |
PayPal Holdings, Inc. (a) | 794,214 | 123,111,112 | |
Sabre Corp. | 247,100 | 1,722,287 | |
The Western Union Co. | 156,000 | 3,123,120 | |
Twilio, Inc. Class A (a) | 69,500 | 13,733,200 | |
Unisys Corp. (a) | 184,600 | 2,097,056 | |
VeriSign, Inc. (a) | 55,019 | 12,049,711 | |
Visa, Inc. Class A | 1,345,583 | 262,711,625 | |
Worldline SA (a)(d) | 28,300 | 2,108,536 | |
1,117,218,494 | |||
Semiconductors & Semiconductor Equipment - 4.2% | |||
Advanced Micro Devices, Inc. (a) | 920,219 | 49,507,782 | |
Analog Devices, Inc. | 277,704 | 31,366,667 | |
Applied Materials, Inc. | 1,887,457 | 106,037,334 | |
ASML Holding NV | 141,764 | 46,712,656 | |
Broadcom, Inc. | 62,365 | 18,165,054 | |
Cirrus Logic, Inc. (a) | 57,700 | 4,182,096 | |
Intel Corp. | 2,660,385 | 167,418,028 | |
KLA-Tencor Corp. | 13,435 | 2,364,023 | |
Lam Research Corp. | 244,228 | 66,837,877 | |
Marvell Technology Group Ltd. | 558,515 | 18,218,759 | |
Maxim Integrated Products, Inc. | 10,571 | 609,735 | |
MediaTek, Inc. | 123,000 | 1,900,264 | |
Microchip Technology, Inc. | 14,017 | 1,345,912 | |
Micron Technology, Inc. (a) | 1,749,692 | 83,827,744 | |
NVIDIA Corp. | 529,612 | 188,022,852 | |
NXP Semiconductors NV | 543,462 | 52,226,698 | |
ON Semiconductor Corp. (a) | 318,200 | 5,247,118 | |
Qorvo, Inc. (a) | 32,308 | 3,383,940 | |
Qualcomm, Inc. | 1,439,131 | 116,396,915 | |
Sanken Electric Co. Ltd. | 33,593 | 776,241 | |
Skyworks Solutions, Inc. | 48,500 | 5,749,190 | |
STMicroelectronics NV (France) | 33,000 | 819,553 | |
Taiwan Semiconductor Manufacturing Co. Ltd. sponsored ADR | 627,426 | 31,578,351 | |
Teradyne, Inc. | 39,927 | 2,675,908 | |
Texas Instruments, Inc. | 825,219 | 97,986,504 | |
Xilinx, Inc. | 175,800 | 16,164,810 | |
1,119,522,011 | |||
Software - 6.9% | |||
Adobe, Inc. (a) | 177,885 | 68,770,341 | |
Autodesk, Inc. (a) | 68,249 | 14,358,225 | |
CDK Global, Inc. | 14,000 | 550,340 | |
Ceridian HCM Holding, Inc. (a) | 86,800 | 5,977,916 | |
Citrix Systems, Inc. | 94,000 | 13,923,280 | |
Cloudflare, Inc. (a) | 133,141 | 3,870,409 | |
Dynatrace, Inc. | 30,600 | 1,177,182 | |
Elastic NV (a) | 103,500 | 8,892,720 | |
Envestnet, Inc. (a) | 100 | 7,261 | |
Fortinet, Inc. (a) | 11,963 | 1,665,250 | |
Intuit, Inc. | 148,140 | 43,008,005 | |
LivePerson, Inc. (a) | 246,444 | 9,229,328 | |
Microsoft Corp. | 7,117,302 | 1,304,245,592 | |
Nortonlifelock, Inc. | 1,978,157 | 45,062,416 | |
Nuance Communications, Inc. (a) | 149,200 | 3,413,696 | |
Nutanix, Inc. Class A (a) | 14,300 | 344,058 | |
Oracle Corp. | 762,098 | 40,978,009 | |
Parametric Technology Corp. (a) | 33,300 | 2,543,454 | |
Paylocity Holding Corp. (a) | 29,900 | 3,887,150 | |
RingCentral, Inc. (a) | 3,200 | 877,600 | |
Salesforce.com, Inc. (a) | 1,116,787 | 195,203,200 | |
SAP SE sponsored ADR | 115,800 | 14,833,980 | |
ServiceNow, Inc. (a) | 8,250 | 3,200,423 | |
SS&C Technologies Holdings, Inc. | 52,137 | 3,018,472 | |
SurveyMonkey (a) | 75,800 | 1,527,370 | |
Synopsys, Inc. (a) | 163,749 | 29,623,832 | |
VMware, Inc. Class A (a) | 65,119 | 10,176,146 | |
Workday, Inc. Class A (a) | 136,953 | 25,121,289 | |
Workiva, Inc. (a) | 17,500 | 779,450 | |
Yext, Inc. (a) | 156,600 | 2,472,714 | |
Zendesk, Inc. (a) | 132,000 | 11,319,000 | |
1,870,058,108 | |||
Technology Hardware, Storage & Peripherals - 3.9% | |||
Apple, Inc. | 3,229,093 | 1,026,657,828 | |
Hewlett Packard Enterprise Co. | 387,900 | 3,766,509 | |
HP, Inc. | 652,149 | 9,873,536 | |
NCR Corp. (a) | 76,100 | 1,373,605 | |
NetApp, Inc. | 25,600 | 1,140,224 | |
Seagate Technology LLC | 89,700 | 4,757,688 | |
Western Digital Corp. | 212,638 | 9,434,748 | |
Xerox Holdings Corp. | 120,850 | 1,919,098 | |
1,058,923,236 | |||
TOTAL INFORMATION TECHNOLOGY | 5,474,690,760 | ||
MATERIALS - 1.7% | |||
Chemicals - 1.0% | |||
Albemarle Corp. U.S. (b) | 12,700 | 971,804 | |
Amyris, Inc. (a)(b) | 1,018,200 | 3,797,886 | |
Celanese Corp. Class A | 174,509 | 15,690,104 | |
CF Industries Holdings, Inc. | 271,648 | 7,978,302 | |
Corteva, Inc. | 98,399 | 2,687,277 | |
Dow, Inc. | 121,745 | 4,699,357 | |
DuPont de Nemours, Inc. | 524,562 | 26,611,030 | |
Eastman Chemical Co. | 447,223 | 30,446,942 | |
Ecolab, Inc. | 44,092 | 9,373,077 | |
FMC Corp. | 15,500 | 1,525,355 | |
Huntsman Corp. | 205,800 | 3,735,270 | |
Linde PLC | 447,786 | 90,605,019 | |
Livent Corp. (a)(b) | 505,600 | 3,407,744 | |
LyondellBasell Industries NV Class A | 181,872 | 11,596,159 | |
Nutrien Ltd. | 59,600 | 2,034,499 | |
PPG Industries, Inc. | 309,444 | 31,461,171 | |
RPM International, Inc. | 90,100 | 6,737,678 | |
Sherwin-Williams Co. | 23,682 | 14,063,556 | |
The Chemours Co. LLC | 73,300 | 960,963 | |
Trinseo SA | 47,700 | 981,666 | |
Valvoline, Inc. | 306,107 | 5,617,063 | |
Westlake Chemical Corp. | 217,400 | 10,369,980 | |
285,351,902 | |||
Construction Materials - 0.1% | |||
Martin Marietta Materials, Inc. | 21,066 | 4,046,568 | |
Summit Materials, Inc. (a) | 496,800 | 7,546,392 | |
Vulcan Materials Co. | 81,927 | 8,874,333 | |
20,467,293 | |||
Containers & Packaging - 0.4% | |||
Avery Dennison Corp. | 102,200 | 11,310,474 | |
Berry Global Group, Inc. (a) | 848,826 | 38,120,776 | |
Crown Holdings, Inc. (a) | 353,289 | 23,115,699 | |
International Paper Co. | 257,300 | 8,761,065 | |
O-I Glass, Inc. | 154,700 | 1,185,002 | |
Packaging Corp. of America | 73,663 | 7,470,165 | |
Sealed Air Corp. | 156,054 | 5,009,333 | |
Sonoco Products Co. | 9,500 | 492,195 | |
WestRock Co. | 49,500 | 1,388,970 | |
96,853,679 | |||
Metals & Mining - 0.2% | |||
BHP Billiton Ltd. sponsored ADR (b) | 101,700 | 4,790,070 | |
First Quantum Minerals Ltd. | 689,500 | 4,041,301 | |
Freeport-McMoRan, Inc. | 167,900 | 1,522,853 | |
Lundin Mining Corp. | 1,122,000 | 5,166,489 | |
Newmont Corp. | 364,815 | 21,330,733 | |
Nucor Corp. | 50,394 | 2,129,650 | |
Reliance Steel & Aluminum Co. | 8,000 | 776,000 | |
Steel Dynamics, Inc. | 25,800 | 685,248 | |
Wheaton Precious Metals Corp. | 69,400 | 2,990,019 | |
43,432,363 | |||
Paper & Forest Products - 0.0% | |||
Domtar Corp. | 62,600 | 1,277,040 | |
Schweitzer-Mauduit International, Inc. | 75,400 | 2,291,406 | |
3,568,446 | |||
TOTAL MATERIALS | 449,673,683 | ||
REAL ESTATE - 1.4% | |||
Equity Real Estate Investment Trusts (REITs) - 1.4% | |||
Alexandria Real Estate Equities, Inc. | 59,900 | 9,207,828 | |
American Homes 4 Rent Class A | 61,600 | 1,554,784 | |
American Tower Corp. | 248,281 | 64,098,706 | |
Apartment Investment & Management Co. Class A | 19,840 | 731,501 | |
AvalonBay Communities, Inc. | 114,226 | 17,820,398 | |
Boston Properties, Inc. | 42,305 | 3,637,384 | |
Corporate Office Properties Trust (SBI) | 153,600 | 3,835,392 | |
Crown Castle International Corp. | 9,372 | 1,613,484 | |
CubeSmart | 72,700 | 2,069,042 | |
Digital Realty Trust, Inc. | 44,718 | 6,419,716 | |
Equinix, Inc. (c) | 29,450 | 20,545,204 | |
Equity Lifestyle Properties, Inc. | 156,388 | 9,742,972 | |
Equity Residential (SBI) | 246,439 | 14,924,346 | |
Essex Property Trust, Inc. | 47,790 | 11,601,978 | |
Extra Space Storage, Inc. | 31,801 | 3,076,747 | |
Hospitality Properties Trust (SBI) | 122,200 | 824,850 | |
Host Hotels & Resorts, Inc. | 133,600 | 1,595,184 | |
JBG SMITH Properties | 68,650 | 2,040,965 | |
Kimco Realty Corp. | 132,311 | 1,469,975 | |
Lexington Corporate Properties Trust | 31,200 | 303,264 | |
Medical Properties Trust, Inc. | 63,532 | 1,148,659 | |
Omega Healthcare Investors, Inc. | 83,300 | 2,593,962 | |
Outfront Media, Inc. | 137,000 | 1,923,480 | |
Park Hotels & Resorts, Inc. | 86,500 | 850,295 | |
Piedmont Office Realty Trust, Inc. Class A | 128,500 | 2,143,380 | |
Potlatch Corp. | 56,795 | 1,930,462 | |
Prologis, Inc. | 1,232,725 | 112,794,338 | |
Public Storage | 14,700 | 2,980,278 | |
Realty Income Corp. | 29,538 | 1,633,747 | |
SBA Communications Corp. Class A | 27,444 | 8,620,984 | |
Simon Property Group, Inc. | 174,085 | 10,044,705 | |
SITE Centers Corp. | 166,350 | 943,205 | |
SL Green Realty Corp. | 137,937 | 5,809,906 | |
Ventas, Inc. | 518,053 | 18,105,952 | |
VEREIT, Inc. | 453,100 | 2,482,988 | |
VICI Properties, Inc. | 48,600 | 953,532 | |
Weyerhaeuser Co. | 616,421 | 12,445,540 | |
364,519,133 | |||
Real Estate Management & Development - 0.0% | |||
CBRE Group, Inc. (a) | 88,676 | 3,899,970 | |
Cushman & Wakefield PLC (a) | 252,300 | 2,586,075 | |
6,486,045 | |||
TOTAL REAL ESTATE | 371,005,178 | ||
UTILITIES - 2.5% | |||
Electric Utilities - 1.9% | |||
American Electric Power Co., Inc. | 290,200 | 24,739,550 | |
Duke Energy Corp. | 264,388 | 22,639,544 | |
Edison International | 109,500 | 6,363,045 | |
Entergy Corp. | 278,528 | 28,359,721 | |
Evergy, Inc. | 255,331 | 15,751,369 | |
Exelon Corp. | 527,165 | 20,195,691 | |
FirstEnergy Corp. | 54,200 | 2,290,492 | |
NextEra Energy, Inc. | 986,278 | 252,053,206 | |
NRG Energy, Inc. | 1,747,808 | 63,008,478 | |
OGE Energy Corp. | 23,100 | 723,492 | |
Pinnacle West Capital Corp. | 51,701 | 4,027,508 | |
Southern Co. | 846,288 | 48,297,656 | |
Xcel Energy, Inc. | 498,290 | 32,403,799 | |
520,853,551 | |||
Gas Utilities - 0.1% | |||
Atmos Energy Corp. | 127,400 | 13,094,172 | |
UGI Corp. | 166,897 | 5,314,000 | |
18,408,172 | |||
Independent Power and Renewable Electricity Producers - 0.0% | |||
NextEra Energy Partners LP | 39,300 | 2,008,623 | |
The AES Corp. | 502,119 | 6,271,466 | |
Vistra Energy Corp. | 321,360 | 6,568,598 | |
14,848,687 | |||
Multi-Utilities - 0.5% | |||
Ameren Corp. | 399,600 | 29,862,108 | |
CenterPoint Energy, Inc. | 124,600 | 2,215,388 | |
CenterPoint Energy, Inc. (e) | 108,819 | 1,741,322 | |
Dominion Energy, Inc. | 155,085 | 13,183,776 | |
DTE Energy Co. | 3,209 | 345,192 | |
NiSource, Inc. | 815,055 | 19,422,761 | |
Public Service Enterprise Group, Inc. | 251,215 | 12,822,014 | |
Sempra Energy | 451,752 | 57,060,795 | |
136,653,356 | |||
TOTAL UTILITIES | 690,763,766 | ||
TOTAL COMMON STOCKS | |||
(Cost $14,900,588,560) | 22,062,108,833 | ||
Convertible Preferred Stocks - 0.0% | |||
CONSUMER DISCRETIONARY - 0.0% | |||
Internet & Direct Marketing Retail - 0.0% | |||
The Honest Co., Inc. Series D (a)(e)(f) | |||
(Cost $1,468,003) | 32,084 | 1,468,164 | |
Equity Funds - 17.2% | |||
Large Blend Funds - 8.4% | |||
Fidelity SAI U.S. Large Cap Index Fund (g) | 64,400,039 | 1,056,804,634 | |
JPMorgan U.S. Large Cap Core Plus Fund Select Class (h) | 28,680,102 | 698,647,292 | |
PIMCO StocksPLUS Absolute Return Fund Institutional Class | 49,982,553 | 507,322,916 | |
TOTAL LARGE BLEND FUNDS | 2,262,774,842 | ||
Large Growth Funds - 8.1% | |||
Fidelity Growth Company Fund (g) | 3,266,803 | 80,232,680 | |
Fidelity SAI U.S. Momentum Index Fund (g) | 1,193,650 | 16,973,699 | |
Fidelity SAI U.S. Quality Index Fund (g) | 141,991,912 | 2,101,480,276 | |
TOTAL LARGE GROWTH FUNDS | 2,198,686,655 | ||
Mid-Cap Blend Funds - 0.7% | |||
Fidelity Mid Cap Index Fund (g) | 8,730,205 | 184,207,331 | |
TOTAL EQUITY FUNDS | |||
(Cost $3,722,389,322) | 4,645,668,828 | ||
Other - 0.0% | |||
Commodity Funds - Broad Basket - 0.0% | |||
Fidelity SAI Inflation-Focused Fund (g) | |||
(Cost $6,500,000) | 831,202 | 7,015,345 | |
U.S. Treasury Obligations - 0.0% | |||
U.S. Treasury Bills, yield at date of purchase 0% to 0.26% 8/20/20 to 2/25/21 (i) | |||
(Cost $5,233,210) | 5,235,000 | 5,232,492 | |
Money Market Funds - 1.2% | |||
Fidelity Cash Central Fund 0.11% (j) | 39,111,541 | 39,119,363 | |
Fidelity Securities Lending Cash Central Fund 0.10% (j)(k) | 51,687,030 | 51,692,199 | |
Invesco Government & Agency Portfolio Institutional Class .12% (l) | 221,716,147 | 221,716,147 | |
TOTAL MONEY MARKET FUNDS | |||
(Cost $312,524,259) | 312,527,709 | ||
TOTAL INVESTMENT IN SECURITIES - 100.0% | |||
(Cost $18,948,703,354) | 27,034,021,371 | ||
NET OTHER ASSETS (LIABILITIES) - 0.0% | (7,940,102) | ||
NET ASSETS - 100% | $27,026,081,269 |
Written Options | ||||||
Counterparty | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | |
Call Options | ||||||
Equinix, Inc. | Chicago Board Options Exchange | 34 | $2,371,942 | $700.00 | 6/19/20 | $(60,180) |
Walmart, Inc. | Chicago Board Options Exchange | 526 | 6,525,556 | 120.00 | 6/19/20 | (281,410) |
TOTAL WRITTEN OPTIONS | $(341,590) |
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) | 295 | June 2020 | $44,869,500 | $5,979,719 | $5,979,719 |
The notional amount of futures purchased as a percentage of Net Assets is 0.2%
Legend
(a) Non-income producing
(b) Security or a portion of the security is on loan at period end.
(c) 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 $8,897,498.
(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 $3,975,639 or 0.0% of net assets.
(e) Restricted securities (including private placements) - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $8,937,986 or 0.0% of net assets.
(f) Level 3 security
(g) Affiliated Fund
(h) The JPMorgan U.S. Large Cap Core Plus Fund seeks to provide a high total return from a portfolio of selected equity securities which includes both long and short positions.
(i) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $3,747,719.
(j) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.
(k) Investment made with cash collateral received from securities on loan.
(l) 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 |
CenterPoint Energy, Inc. | 5/7/20 | $1,749,810 |
The Honest Co., Inc. Series D | 8/12/15 | $1,468,003 |
Vertiv Holdings LLC | 2/6/20 | $4,500,000 |
Affiliated Central Funds
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:
Fund | Income earned |
Fidelity Cash Central Fund | $1,384,260 |
Fidelity Securities Lending Cash Central Fund | 768,858 |
Total | $2,153,118 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations, if applicable. Amount for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.
Affiliated Underlying Funds
Fiscal year to date information regarding the Fund's investments in affiliated Underlying Funds, excluding any Money Market Central Funds, is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur.
Affiliate | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income | Realized Gain (loss) | Change in Unrealized appreciation (depreciation) | Value, end of period |
Fidelity Growth Company Fund | $57,616,055 | $2,583,440 | $-- | $2,583,440 | $-- | $20,033,185 | $80,232,680 |
Fidelity Mid Cap Index Fund | -- | 165,000,000 | -- | -- | -- | 19,207,331 | 184,207,331 |
Fidelity SAI Inflation-Focused Fund | -- | 6,500,000 | -- | -- | -- | 515,345 | 7,015,345 |
Fidelity SAI U.S. Large Cap Index Fund | 1,207,289,362 | 4,056,342,539 | 4,203,964,199 | 3,800,629 | (84,591,215) | 81,728,147 | 1,056,804,634 |
Fidelity SAI U.S. Momentum Index Fund | 318,762,606 | 5,598,578 | 325,000,000 | 5,598,578 | 57,264,409 | (39,651,894) | 16,973,699 |
Fidelity SAI U.S. Quality Index Fund | 2,148,868,718 | 294,790,234 | 440,000,000 | 294,790,254 | (4,746,381) | 102,567,705 | 2,101,480,276 |
Total | $3,732,536,741 | $4,530,814,791 | $4,968,964,199 | $306,772,901 | $(32,073,187) | $184,399,819 | $3,446,713,965 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations, if applicable.
Investment Valuation
The following is a summary of the inputs used, as of May 31, 2020, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Equities: | ||||
Communication Services | $2,431,247,031 | $2,389,297,093 | $41,949,938 | $-- |
Consumer Discretionary | 2,355,196,607 | 2,353,728,443 | -- | 1,468,164 |
Consumer Staples | 1,433,598,918 | 1,427,489,402 | 6,109,516 | -- |
Energy | 713,655,970 | 711,752,259 | 1,903,711 | -- |
Financials | 2,588,366,888 | 2,587,705,648 | 661,240 | -- |
Health Care | 3,573,206,625 | 3,489,715,962 | 83,490,663 | -- |
Industrials | 1,982,171,571 | 1,980,531,266 | 1,640,305 | -- |
Information Technology | 5,474,690,760 | 5,473,871,207 | 819,553 | -- |
Materials | 449,673,683 | 449,673,683 | -- | -- |
Real Estate | 371,005,178 | 371,005,178 | -- | -- |
Utilities | 690,763,766 | 689,022,444 | 1,741,322 | -- |
Equity Funds | 4,645,668,828 | 4,645,668,828 | -- | -- |
Other | 7,015,345 | 7,015,345 | -- | -- |
Other Short-Term Investments | 5,232,492 | -- | 5,232,492 | -- |
Money Market Funds | 312,527,709 | 312,527,709 | -- | -- |
Total Investments in Securities: | $27,034,021,371 | $26,889,004,467 | $143,548,740 | $1,468,164 |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $5,979,719 | $5,979,719 | $-- | $-- |
Total Assets | $5,979,719 | $5,979,719 | $-- | $-- |
Liabilities | ||||
Written Options | $(341,590) | $(341,590) | $-- | $-- |
Total Liabilities | $(341,590) | $(341,590) | $-- | $-- |
Total Derivative Instruments: | $5,638,129 | $5,638,129 | $-- | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of May 31, 2020. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
Primary Risk Exposure / Derivative Type | Value | |
Asset | Liability | |
Equity Risk | ||
Futures Contracts(a) | $5,979,719 | $0 |
Written Options(b) | 0 | (341,590) |
Total Equity Risk | 5,979,719 | (341,590) |
Total Value of Derivatives | $5,979,719 | $(341,590) |
(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
May 31, 2020 | ||
Assets | ||
Investment in securities, at value (including securities loaned of $50,891,583) — See accompanying schedule: Unaffiliated issuers (cost $16,131,454,830) | $23,496,495,844 | |
Fidelity Central Funds (cost $90,808,112) | 90,811,562 | |
Other affiliated issuers (cost $2,726,440,412) | 3,446,713,965 | |
Total Investment in Securities (cost $18,948,703,354) | $27,034,021,371 | |
Foreign currency held at value (cost $2,019,816) | 2,031,709 | |
Receivable for investments sold | 102,452,628 | |
Receivable for fund shares sold | 8,793,026 | |
Dividends receivable | 35,758,074 | |
Interest receivable | 24,221 | |
Distributions receivable from Fidelity Central Funds | 78,821 | |
Receivable for daily variation margin on futures contracts | 57,525 | |
Other receivables | 290,653 | |
Total assets | 27,183,508,028 | |
Liabilities | ||
Payable to custodian bank | $619,101 | |
Payable for investments purchased | 89,290,434 | |
Payable for fund shares redeemed | 11,073,506 | |
Accrued management fee | 4,111,904 | |
Written options, at value (premium received $234,365) | 341,590 | |
Other payables and accrued expenses | 290,506 | |
Collateral on securities loaned | 51,699,718 | |
Total liabilities | 157,426,759 | |
Net Assets | $27,026,081,269 | |
Net Assets consist of: | ||
Paid in capital | $19,007,589,924 | |
Total accumulated earnings (loss) | 8,018,491,345 | |
Net Assets | $27,026,081,269 | |
Net Asset Value, offering price and redemption price per share ($27,026,081,269 ÷ 1,477,889,462 shares) | $18.29 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Year ended May 31, 2020 | ||
Investment Income | ||
Dividends: | ||
Unaffiliated issuers | $453,231,722 | |
Affiliated issuers | 46,370,495 | |
Interest | 3,599,771 | |
Income from Fidelity Central Funds (including $768,858 from security lending) | 2,153,118 | |
Total income | 505,355,106 | |
Expenses | ||
Management fee | $117,699,434 | |
Independent trustees' fees and expenses | 292,533 | |
Commitment fees | 64,061 | |
Total expenses before reductions | 118,056,028 | |
Expense reductions | (66,625,576) | |
Total expenses after reductions | 51,430,452 | |
Net investment income (loss) | 453,924,654 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers (net of foreign taxes of $34) | 215,756,405 | |
Fidelity Central Funds | 4,179 | |
Other affiliated issuers | (32,073,187) | |
Foreign currency transactions | (145,815) | |
Futures contracts | 613,157 | |
Written options | 505,497 | |
Capital gain distributions from underlying funds: | ||
Unaffiliated issuers | 310,077,352 | |
Affiliated issuers | 260,402,406 | |
Total net realized gain (loss) | 755,139,994 | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers (net of decrease in deferred foreign taxes of $17,806) | 1,631,135,086 | |
Affiliated issuers | 184,399,819 | |
Assets and liabilities in foreign currencies | 41,769 | |
Futures contracts | 6,433,550 | |
Written options | 868,541 | |
Total change in net unrealized appreciation (depreciation) | 1,822,878,765 | |
Net gain (loss) | 2,578,018,759 | |
Net increase (decrease) in net assets resulting from operations | $3,031,943,413 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Year ended May 31, 2020 | Year ended May 31, 2019 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $453,924,654 | $401,940,208 |
Net realized gain (loss) | 755,139,994 | 1,119,683,471 |
Change in net unrealized appreciation (depreciation) | 1,822,878,765 | (833,935,766) |
Net increase (decrease) in net assets resulting from operations | 3,031,943,413 | 687,687,913 |
Distributions to shareholders | (1,621,230,881) | (1,958,616,581) |
Share transactions | ||
Proceeds from sales of shares | 5,134,133,462 | 4,801,967,086 |
Reinvestment of distributions | 1,597,215,641 | 1,950,874,827 |
Cost of shares redeemed | (5,836,940,101) | (5,745,550,235) |
Net increase (decrease) in net assets resulting from share transactions | 894,409,002 | 1,007,291,678 |
Total increase (decrease) in net assets | 2,305,121,534 | (263,636,990) |
Net Assets | ||
Beginning of period | 24,720,959,735 | 24,984,596,725 |
End of period | $27,026,081,269 | $24,720,959,735 |
Other Information | ||
Shares | ||
Sold | 291,290,156 | 274,509,591 |
Issued in reinvestment of distributions | 84,035,568 | 116,221,097 |
Redeemed | (325,208,146) | (321,143,205) |
Net increase (decrease) | 50,117,578 | 69,587,483 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Strategic Advisers Core Fund
Years ended May 31, | 2020 | 2019 | 2018 | 2017 | 2016 |
Selected Per–Share Data | |||||
Net asset value, beginning of period | $17.31 | $18.40 | $17.32 | $15.07 | $16.12 |
Income from Investment Operations | |||||
Net investment income (loss)A | .32 | .29 | .25 | .22 | .19 |
Net realized and unrealized gain (loss) | 1.81 | .08 | 2.18 | 2.48 | (.37) |
Total from investment operations | 2.13 | .37 | 2.43 | 2.70 | (.18) |
Distributions from net investment income | (.29) | (.29) | (.24) | (.19) | (.19) |
Distributions from net realized gain | (.87) | (1.17) | (1.11) | (.26) | (.68) |
Total distributions | (1.15)B | (1.46) | (1.35) | (.45) | (.87) |
Net asset value, end of period | $18.29 | $17.31 | $18.40 | $17.32 | $15.07 |
Total ReturnC | 12.17% | 2.41% | 14.59% | 18.22% | (1.10)% |
Ratios to Average Net AssetsD,E | |||||
Expenses before reductions | .45% | .45% | .47% | .46% | .43% |
Expenses net of fee waivers, if any | .20% | .20% | .21% | .21% | .18% |
Expenses net of all reductions | .20% | .20% | .21% | .21% | .18% |
Net investment income (loss) | 1.74% | 1.65% | 1.41% | 1.40% | 1.32% |
Supplemental Data | |||||
Net assets, end of period (000 omitted) | $27,026,081 | $24,720,960 | $24,984,597 | $23,157,908 | $23,636,860 |
Portfolio turnover rateF | 90% | 84% | 98% | 100% | 85% |
A Calculated based on average shares outstanding during the period.
B Total distributions of $1.15 per share is comprised of distributions from net investment income of $.286 and distributions from net realized gain of $.868 per share.
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 Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
E Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund. Fees and expenses of the Underlying Funds are not included in the Fund's annualized ratios. The Fund indirectly bears its proportionate share of the expenses of the Underlying Funds.
F Amounts do not include the activity of Underlying Funds.
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements
For the period ended May 31, 2020
1. Organization.
Strategic Advisers Core Fund (the Fund) is a fund of Fidelity Rutland Square Trust II (the Trust), and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust. The Fund is offered exclusively to certain clients of Strategic Advisers LLC (Strategic Advisers), an affiliate of Fidelity Management & Research Company LLC (FMR).
2. Significant Accounting Policies.
The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services – Investments Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the Fund:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
- Level 1 – quoted prices in active markets for identical investments
- Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
- Level 3 – unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value the Fund's investments by major category are as follows:
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Exchange-traded options are valued using the last sale price or, in the absence of a sale, the last offering price and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. If an unaffiliated open-end mutual fund's NAV is unavailable, shares of that fund may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and is categorized as Level 2 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of May 31, 2020 is included at the end of the Fund's Schedule of Investments.
Foreign Currency. The Fund 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. 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 Underlying Funds, if any, are recorded on the ex-dividend date. Certain distributions received by the Fund represent a return of capital or capital gain. The Fund determines the components of these distributions subsequent to the ex-dividend date, based upon receipt of tax filings or other correspondence relating to the underlying investment. These distributions are recorded as a reduction of cost of investments and/or as a realized gain. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain.
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), certain independent Trustees have elected to defer receipt of a portion of their annual compensation. Deferred amounts are invested in a cross-section of Strategic Advisers funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees of $289,511 are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, respectively.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of May 31, 2020, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests. The Fund is subject to a tax imposed on capital gains by certain countries in which it invests.
Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to the short-term gain distributions from the Underlying Funds, futures contracts, foreign currency transactions, certain foreign taxes, certain conversion ratio adjustments, passive foreign investment companies (PFIC), market discount, partnerships, deferred trustees compensation, 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 | $8,641,020,470 |
Gross unrealized depreciation | (1,076,176,793) |
Net unrealized appreciation (depreciation) | $7,564,843,677 |
Tax Cost | $19,468,836,104 |
The tax-based components of distributable earnings as of period end were as follows:
Undistributed ordinary income | $176,700,948 |
Undistributed long-term capital gain | $354,832,247 |
Net unrealized appreciation (depreciation) on securities and other investments | $7,564,872,766 |
The Fund intends to elect to defer to its next fiscal year $77,625,106 of capital losses recognized during the period November 1, 2019 to May 31, 2020.
The tax character of distributions paid was as follows:
May 31, 2020 | May 31, 2019 | |
Ordinary Income | $517,260,745 | $ 593,572,387 |
Long-term Capital Gains | 1,103,970,136 | 1,365,044,194 |
Total | $1,621,230,881 | $ 1,958,616,581 |
Restricted Securities (including Private Placements). The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.
3. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund's investment objective allows the Fund to enter into various types of derivative contracts, including futures contracts 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 | 613,157 | 6,433,550 |
Written Options | 505,497 | 868,541 |
Total Equity Risk | 1,118,654 | 7,302,091 |
A summary of the value of derivatives by primary risk exposure as of period end is included at the end of the Schedule of Investments.
Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. The Fund used futures contracts to manage its exposure to the stock market.
Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments (variation margin) are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is presented in the Statement of Operations.
Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The notional amount at value reflects each contract's exposure to the underlying instrument or index at period end and is representative of volume of activity during the period. 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 (including the Underlying Fund shares), other than short-term securities, are noted in the table below.
Purchases ($) | Sales ($) | |
Strategic Advisers Core Fund | 23,401,665,317 | 23,030,694,472 |
5. Fees and Other Transactions with Affiliates.
Management Fee. Strategic Advisers (the investment adviser) provides the Fund with investment management related services. For these services, the Fund pays a monthly management fee to the investment adviser. The management fee is calculated by adding the annual management fee rate of .25% of the Fund's average net assets throughout the month payable to the investment adviser to the aggregate of the fee rates, payable monthly, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed 1.00% of the Fund's average net assets. For the reporting period, the total annual management fee rate was .45% of the Fund's average net assets. The investment adviser pays all other expenses, except the compensation of the independent Trustees and certain miscellaneous expenses such as proxy and shareholder meeting expenses. The management fee is reduced by an amount equal to the fees and expenses paid by the Fund to the independent Trustees.
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), Brandywine Global Investment Management, LLC, ClariVest Asset Management LLC, J.P. Morgan Investment Management, Inc., LSV Asset Management, Invesco Advisers, Inc., FIAM LLC (an affiliate of the investment adviser), PineBridge Investments, LLC and T. Rowe Price Associates, Inc. each served as a sub-adviser for the Fund during the period. Sub-advisers provide discretionary investment advisory services for their allocated portion of the Fund's assets and are paid by the investment adviser and not the Fund for providing these services.
Aristotle Capital Management, LLC, ClearBridge Investments, LLC, Geode Capital Management, LLC, Loomis Sayles & Company, L.P. and Boston Partners Global Investors, Inc. have been retained to serve as a sub-adviser for the Fund. As of the date of the 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.
In June 2020, the Board approved the appointment of Principal Global Investors, LLC as an additional sub-adviser for the Fund.
Brokerage Commissions. A portion of portfolio transactions were placed with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Statement of Operations. The commissions paid to these affiliated firms were as follows:
Amount | |
Strategic Advisers Core Fund | $295,425 |
Interfund Trades. Funds may purchase from or sell securities to other funds affiliated with each sub-adviser under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.
Other. During the period, the investment adviser reimbursed the Fund for certain losses in the amount of $83,696.
6. Investments in Fidelity Central Funds.
The Fund invests in Fidelity Central Funds, which are open-end investment companies available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
The Fidelity Money Market Central Funds are managed by FMR. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date ranged from less than .005% to .01%.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC website or upon request.
7. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Commitment fees on the Statement of Operations, and are as follows:
Amount | |
Strategic Advisers Core Fund | $ 64,061 |
During the period, there were no borrowings on this line of credit.
8. Security Lending.
The Fund lends portfolio securities through a lending agent from time to time in order to earn additional income. On the settlement date of the loan, the 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 the Fund and any additional required collateral is delivered to the Fund on the next business day. The 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, the Fund may apply collateral received from the borrower against the obligation. The 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. The value of loaned securities and cash collateral at period end are disclosed on the Fund's Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds.
9. Expense Reductions.
The investment adviser has contractually agreed to waive the Fund's management fee in an amount equal to .25% of the Fund's average net assets until September 30, 2022. During the period, this waiver reduced the Fund's management fee by $ 65,328,020.
In addition, the investment adviser has voluntarily agreed to waive a portion of the Fund's management fee. During the period, this waiver reduced the Fund's management fee by $1,117,992.
In addition, through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses by $63,343.
In addition, during the period the investment adviser or an affiliate reimbursed and/or waived a portion of operating expenses in the amount of $116,221.
10. Other.
The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
The Fund does not invest in the Underlying Funds for the purpose of exercising management or control; however, investments by the Fund within its principal investment strategies may represent a significant portion of an Underlying Fund's net assets. At the end of the period, the Fund was the owner of record of 10% or more of the total outstanding shares of the following Underlying Funds.
Fund | % of shares held |
Fidelity SAI U.S. Quality Index Fund | 25% |
Fidelity SAI Inflation-Focused Fund | 24% |
11. Proposed Reorganization.
The Board of Trustees of Fidelity Rutland Square Trust II has approved an Agreement and Plan of Reorganization (the Agreement) between each of Strategic Advisers Core Fund, Strategic Advisers Growth Fund and Strategic Advisers Value Fund (each an "Acquired Fund" and, together, the "Acquired Funds") and Strategic Advisers Large Cap Fund, a new series of Fidelity Rutland Square Trust II. The Agreement provides for the transfer of all the assets and the assumption of all the liabilities of each Acquired Fund in exchange for shares of Strategic Advisers Large Cap Fund equal in value to the net assets of each respective Acquired Fund on the day the reorganization is effective.
A meeting of the shareholders of each Acquired Fund is expected to be held during the fourth quarter of 2020 to vote on the reorganization. If approved by shareholders, the reorganization is expected to become effective on or about November 13, 2020. The reorganization is expected to qualify as a tax-free transaction for federal income tax purposes with no gain or loss recognized by the funds or their shareholders.
12. Coronavirus (COVID-19) Pandemic.
An outbreak of COVID-19 first detected in China during December 2019 has since spread globally and was declared a pandemic by the World Health Organization during March 2020. Developments that disrupt global economies and financial markets, such as the COVID-19 pandemic, may magnify factors that affect the Fund's performance.
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Fidelity Rutland Square Trust II and Shareholders of Strategic Advisers Core Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Strategic Advisers Core Fund (one of the funds constituting Fidelity Rutland Square Trust II, referred to hereafter as the “Fund”) as of May 31, 2020, the related statement of operations for the year ended May 31, 2020, the statement of changes in net assets for each of the two years in the period ended May 31, 2020, including the related notes, and the financial highlights for each of the five years in the period ended May 31, 2020 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of May 31, 2020, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended May 31, 2020 and the financial highlights for each of the five years in the period ended May 31, 2020 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of May 31, 2020 by correspondence with the custodian, issuers of privately offered securities and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
Boston, Massachusetts
July 10, 2020
We have served as the auditor of one or more investment companies in the Fidelity group of funds since 1932.
Trustees and Officers
The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance. If the interests of the fund and an underlying Fidelity® fund were to diverge, a conflict of interest could arise and affect how the Trustees and Members of the Advisory Board fulfill their fiduciary duties to the affected funds. Strategic Advisers has structured the fund to avoid these potential conflicts, although there may be situations where a conflict of interest is unavoidable. In such instances, Strategic Advisers, the Trustees, and Members of the Advisory Board would take reasonable steps to minimize and, if possible, eliminate the conflict. Each of the Trustees oversees 14 funds.
The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. Officers and Advisory Board Members hold office without limit in time, except that any officer or Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.
Each Trustee who is not an interested person (as defined in the 1940 Act) of the trust and the fund is referred to herein as an Independent Trustee.
The fund’s Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-3455.
Experience, Skills, Attributes, and Qualifications of the Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee may also engage professional search firms to help identify potential Independent Trustee candidates with experience, qualifications, attributes, and skills consistent with the Statement of Policy. Additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, may be considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.
In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.
Board Structure and Oversight Function. Robert A. Lawrence is an interested person and currently serves as Chairman. The Trustees have determined that an interested Chairman is appropriate and benefits shareholders because an interested Chairman has a personal and professional stake in the quality and continuity of services provided to the fund. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chairman, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chairman and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session. Mary C. Farrell serves as the lead Independent Trustee and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.
Fidelity® funds are overseen by different Boards of Trustees. The fund's Board oversees asset allocation funds. Other Boards oversee Fidelity's investment-grade bond, money market, and asset allocation funds, and Fidelity's equity and high income funds. The fund may invest in Fidelity® funds overseen by such other Boards. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity® funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues.
The Trustees primarily operate as a full Board, but also operate in committees, to facilitate the timely and efficient consideration of all matters of importance to the Trustees, the fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the fund's activities and associated risks. The Board has charged Strategic Advisers and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the fund's business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above. Because the day-to-day operations and activities of the fund are carried out by or through Strategic Advisers, its affiliates and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees. Board oversight of different aspects of the fund's activities is exercised primarily through the full Board, but also through the Audit and Compliance Committee. Appropriate personnel, including but not limited to the fund's Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the fund's Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate. The responsibilities of each standing committee, including their oversight responsibilities, are described further under "Standing Committees of the Trustees."
Interested Trustees*:
Correspondence intended for a Trustee who is an interested person may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Robert A. Lawrence (1952)
Year of Election or Appointment: 2016
Trustee
Chairman of the Board of Trustees
Mr. Lawrence also serves as Trustee of other funds. Previously, Mr. Lawrence served as a Member of the Advisory Board of certain funds. Prior to his retirement in 2008, Mr. Lawrence served as Vice President of certain Fidelity® funds (2006-2008), Senior Vice President, Head of High Income Division of Fidelity Management & Research Company (investment adviser firm, 2006-2008), and President of Fidelity Strategic Investments (investment adviser firm, 2002-2005).
Charles S. Morrison (1960)
Year of Election or Appointment: 2020
Trustee
Mr. Morrison also serves as Trustee of other Fidelity® funds. Previously, Mr. Morrison served as President (2017-2018) and Director (2014-2018) of Fidelity SelectCo, LLC (investment adviser firm), President of Fidelity Management & Research Company (FMR) (investment adviser firm, 2016-2018), a Director of Fidelity Investments Money Management, Inc. (investment adviser firm, 2014-2018), President, Asset Management (2014-2018), Trustee of the Fidelity Equity and High Income Funds (283 funds as of December 2018) (2014-2018), and was an employee of Fidelity Investments. Mr. Morrison also previously served as Vice President of Fidelity's Fixed Income and Asset Allocation Funds (2012-2014), President, Fixed Income (2011-2014), Vice President of Fidelity's Money Market Funds (2005-2009), President, Money Market Group Leader of FMR (2009), and Senior Vice President, Money Market Group of FMR (2004-2009). Mr. Morrison also served as Vice President of Fidelity's Bond Funds (2002-2005), certain Balanced Funds (2002-2005), and certain Asset Allocation Funds (2002-2007), and as Senior Vice President (2002-2005) of Fidelity's Bond Division.
* Determined to be an "Interested Trustee" by virtue of, among other things, his or her affiliation with the trust or various entities under common control with Strategic Advisers.
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Independent Trustees:
Correspondence intended for an Independent Trustee may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Peter C. Aldrich (1944)
Year of Election or Appointment: 2006
Trustee
Mr. Aldrich also serves as Trustee of other funds. Mr. Aldrich is a Director of the U.S. Core Property Fund (and, previously, other funds) of BlackRock Realty Group (2006-present). Previously, Mr. Aldrich served as a Managing Member of Poseidon, LLC (foreign private investment, 1998-2004), and Chairman and Managing Member of AEGIS, LLC (foreign private investment, 1997-2004). Mr. Aldrich previously was a founder, Chief Executive Officer, and Chairman of AEW Capital Management, L.P. (then “Aldrich, Eastman and Waltch, L.P.”). Mr. Aldrich also served as a Director of LivelyHood, Inc. (private corporation, 2013-2020), a Trustee for the Fidelity Rutland Square Trust (2005-2010), a Director of Zipcar, Inc. (car sharing services, 2001-2009) and as Faculty Chairman of The Research Council on Global Investment of The Conference Board (business and professional education non-profit, 1999-2004). Mr. Aldrich is a Member Emeritus of the Board of Directors of the National Bureau of Economic Research, the Board of Trustees of the Museum of Fine Arts Boston and the Board of Overseers of the Massachusetts Eye and Ear Infirmary.
Mary C. Farrell (1949)
Year of Election or Appointment: 2013
Trustee
Ms. Farrell also serves as Trustee of other funds. Ms. Farrell is a Director of the W.R. Berkley Corporation (insurance provider) and President (2009-present) and Director (2006-present) of the Howard Gilman Foundation (charitable organization). Previously, Ms. Farrell was Managing Director and Chief Investment Strategist at UBS Wealth Management USA and Co-Head of UBS Wealth Management Investment Strategy & Research Group (2003-2005). Ms. Farrell also served as Investment Strategist at PaineWebber (1982-2000) and UBS PaineWebber (2000-2002). Ms. Farrell serves as Chairman of the Board of Trustees of Yale-New Haven Hospital and Vice Chairman of the Yale New Haven Health System Board and previously served as Trustee on the Board of Overseers of the New York University Stern School of Business.
Karen Kaplan (1960)
Year of Election or Appointment: 2006
Trustee
Ms. Kaplan also serves as Trustee of other funds. Ms. Kaplan is Chairman (2014-present) and Chief Executive Officer (2013-present) of Hill Holliday (advertising and specialized marketing). Ms. Kaplan is a Director of The Michaels Companies, Inc. (specialty retailer, 2015-present), Member of the Board of Governors of the Chief Executives’ Club of Boston (2010-present), Member of the Executive Committee of the Greater Boston Chamber of Commerce (2006-present), Advisory Board Member of the National Association of Corporate Directors Chapter (2012-present), Member of the Board of Trustees of the Post Office Square Trust (2012-present), Trustee of the Brigham and Women’s Hospital (2016-present), Overseer of the Boston Symphony Orchestra (2014-present), Member of the Board of Directors of The Advertising Council, Inc. (2016-present), Member of the Ron Burton Training Village Executive Board of Advisors (2018-present), Member of the Executive Committee of The Ad Council, Inc. (2019-present), and Member of the Board of Directors of The Ad Club of Boston (2020-present). Previously, Ms. Kaplan served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010), a member of the Clinton Global Initiative (2010-2015), Director of DSM (dba Delta Dental and DentaQuest) (2004-2014), Formal Appointee of the 2015 Baker-Polito Economic Development Council, Director of Vera Bradley Inc. (designer of women’s accessories, 2012-2015), Member of the Board of Directors of the Massachusetts Conference for Women (2008-2015), Member of the Board of Directors of Jobs for Massachusetts (2012-2015), President of the Massachusetts Women’s Forum (2008-2010), Treasurer of the Massachusetts Women’s Forum (2002-2006), and Vice Chair of the Board of the Massachusetts Society for the Prevention of Cruelty to Children (2003-2010).
Heidi L. Steiger (1953)
Year of Election or Appointment: 2017
Trustee
Ms. Steiger also serves as Trustee of other funds. Ms. Steiger serves as Managing Partner of Topridge Associates, LLC (consulting, 2005-present), a member of the Advisory Board of the joint degree program in Global Luxury Management at North Carolina State University (Raleigh, NC) and Skema (Paris) (2018-present), a Non-Executive Director of CrowdBureau Corporation (financial technology company and index provider, 2018-present), a member of the Board of Directors (2013-present) and Chair of the Audit Committee and member of the Membership and Executive Committees (2017-present) of Business Executives for National Security (nonprofit), and member of the Board of Directors Chair of the Remuneration Committee of Imagine Intelligent Materials Limited (2019-present) (technology company). Previously, Ms. Steiger served as a member of the Global Advisory Board and Of Counsel to Signum Global Advisors (international policy and strategy, 2018-2020), Eastern Region President of The Private Client Reserve of U.S. Bancorp (banking and financial services, 2010-2015), Advisory Director of Berkshire Capital Securities, LLC (financial services, 2009-2010), President and Senior Advisor of Lowenhaupt Global Advisors, LLC (financial services, 2005-2007), and President and Contributing Editor of Worth Magazine (2004-2005) and held a variety of positions at Neuberger Berman Group, LLC (financial services, 1986-2004), including Partner and Executive Vice President and Global Head of Private Asset Management at Neuberger Berman (1999-2004). Ms. Steiger also served as a member of the Board of Directors of Nuclear Electric Insurance Ltd (insurer of nuclear utilities, 2006-2017), a member of the Board of Trustees and Audit Committee of the Eaton Vance Funds (2007-2010), a member of the Board of Directors of Aviva USA (formerly AmerUs) (insurance, 2004-2014), and a member of the Board of Trustees and Audit Committee and Chair of the Investment Committee of CIFG (financial guaranty insurance, 2009-2012), and a member of the Board of Directors of Kin Group Plc (formerly, Fitbug Holdings) (health and technology, 2016-2017).
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Advisory Board Members and Officers:
Correspondence intended for a Member of the Advisory Board (if any) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235. Correspondence intended for an officer or Howard E. Cox, Jr. may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210. Officers appear below in alphabetical order.
Name, Year of Birth; Principal Occupation
Howard E. Cox, Jr. (1944)
Year of Election or Appointment: 2009
Member of the Advisory Board
Mr. Cox also serves as a Member of the Advisory Board of other funds. Mr. Cox is a Partner of Greylock (venture capital, 1971-present) and a Director of Stryker Corporation (medical products and services, 1974-present). Previously, Mr. Cox served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010). Mr. Cox also serves as a Member of the Secretary of Defense's Business Board of Directors (2008-present), a Director of Business Executives for National Security (1997-present), a Director of the Brookings Institution (2010-present), a Director of the World Economic Forum’s Young Global Leaders Foundation (2009-present), and is a Member of the Harvard Medical School Board of Fellows (2002-present). Mr. Howard E. Cox, Jr. and Mr. Ralph F. Cox are not related.
Christine Marcks (1955)
Year of Election or Appointment: 2019
Member of the Advisory Board
Ms. Marcks also serves as a Member of the Advisory Board of other Funds. Prior to her retirement, Ms. Marcks served as Chief Executive Officer and President – Prudential Retirement (2007-2017) and Vice President for Rollover and Retirement Income Strategies (2005-2007), Prudential Financial, Inc. (financial services). Previously, Ms. Marcks was Senior Vice President and Head of Financial Horizons (2002-2004) and Vice President, Strategic Marketing (2000-2002) of Voya Financial (formerly ING U.S.) (financial services), held numerous positions at Aetna Financial Services (financial services, 1987-2000) and served as an International Economist for the United States Department of the Treasury (1980-1987). Ms. Marcks also serves as a member of the Board of Trustees, Audit Committee and Benefits & Operations Committee of the YMCA Retirement Fund (2018-present), a non-profit organization providing retirement plan benefits to YMCA staff members, and as a member of the Board of Trustees of Assumption College (2019-present).
Elizabeth Paige Baumann (1968)
Year of Election or Appointment: 2017
Anti-Money Laundering (AML) Officer
Ms. Baumann also serves as AML Officer of other funds. She is Chief AML Officer (2012-present) and Senior Vice President (2014-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments. Previously, Ms. Baumann served as AML Officer of certain funds (2017-2019), as AML Officer of the funds (2012-2016), and Vice President (2007-2014) and Deputy Anti-Money Laundering Officer (2007-2012) of FMR LLC.
Craig S. Brown (1977)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Brown also serves as Assistant Treasurer of other funds. Mr. Brown is an employee of Fidelity Investments (2013-present).
John J. Burke III (1964)
Year of Election or Appointment: 2018
Chief Financial Officer
Mr. Burke also serves as Chief Financial Officer of other funds. Mr. Burke serves as Head of Investment Operations for Fidelity Fund and Investment Operations (2018-present) and is an employee of Fidelity Investments (1998-present). Previously Mr. Burke served as head of Asset Management Investment Operations (2012-2018).
Jonathan Davis (1968)
Year of Election or Appointment: 2010
Assistant Treasurer
Mr. Davis also serves as Assistant Treasurer of other funds. Mr. Davis serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments. Previously, Mr. Davis served as Vice President and Associate General Counsel of FMR LLC (diversified financial services company, 2003-2010).
Laura M. Del Prato (1964)
Year of Election or Appointment: 2018
Assistant Treasurer
Ms. Del Prato also serves as an officer of other funds. Ms. Del Prato is an employee of Fidelity Investments (2017-present). Prior to joining Fidelity Investments, Ms. Del Prato served as a Managing Director and Treasurer of the JPMorgan Mutual Funds (2014-2017). Prior to JPMorgan, Ms. Del Prato served as a partner at Cohen Fund Audit Services (accounting firm, 2012-2013) and KPMG LLP (accounting firm, 2004-2012).
James D. Gryglewicz (1972)
Year of Election or Appointment: 2015
Chief Compliance Officer
Mr. Gryglewicz also serves as Chief Compliance Officer of other funds. Mr. Gryglewicz serves as Compliance Officer of Strategic Advisers LLC (investment adviser firm, 2015-present), Senior Vice President of Asset Management Compliance (2009-present), and is an employee of Fidelity Investments (2004-present). Previously, Mr. Gryglewicz served as Compliance Officer of Fidelity SelectCo, LLC (investment adviser firm, 2014-2019), and as Chief Compliance Officer of certain Fidelity® funds (2014-2018).
Colm A. Hogan (1973)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Hogan also serves as an officer of other funds. Mr. Hogan serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2005-present). Previously, Mr. Hogan served as Deputy Treasurer of certain Fidelity® funds (2016-2020) and Assistant Treasurer of certain Fidelity® funds (2016-2018). Mr. Colm A. Hogan is not related to Mr. Brian B. Hogan.
Christina H. Lee (1975)
Year of Election or Appointment: 2020
Secretary and Chief Legal Officer
Ms. Lee also serves as Secretary and CLO of other funds. Ms. Lee serves as Vice President, Associate General Counsel (2014-present) and is an employee of Fidelity Investments (2007-present). Previously, Ms. Lee served as Assistant Secretary of certain funds (2018-2019).
Cynthia Lo Bessette (1969)
Year of Election or Appointment: 2020
Assistant Secretary
Ms. Lo Bessette also serves as an officer of other funds. Ms. Lo Bessette serves as CLO, Secretary, and Senior Vice President of Fidelity Management & Research Company LLC (investment adviser firm, 2019-present); and CLO of Fidelity Management & Research (Hong Kong) Limited, FMR Investment Management (UK) Limited, and Fidelity Management & Research (Japan) Limited (investment adviser firms, 2019-present). She is a Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company, 2019-present), and is an employee of Fidelity Investments. Previously, Ms. Lo Bessette served as CLO, Secretary, and Senior Vice President of FMR Co., Inc. (investment adviser firm, 2019); Secretary of Fidelity SelectCo, LLC and Fidelity Investments Money Management, Inc. (investment adviser firms, 2019). Prior to joining Fidelity Investments, Ms. Lo Bessette was Executive Vice President, General Counsel (2016-2019) and Senior Vice President, Deputy General Counsel (2015-2016) of OppenheimerFunds (investment management company) and Deputy Chief Legal Officer (2013-2015) of Jennison Associates LLC (investment adviser firm).
Chris Maher (1972)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Maher also serves as an officer of other funds. Mr. Maher serves as Assistant Treasurer of FMR Capital, Inc. (2017-present), and is an employee of Fidelity Investments (2008-present). Previously, Mr. Maher served as Assistant Treasurer of certain funds (2013-2020); Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010).
Stacie M. Smith (1974)
Year of Election or Appointment: 2020
President and Treasurer
Ms. Smith also serves as an officer of other funds. Ms. Smith serves as Assistant Treasurer of FMR Capital, Inc. (2017-present), is an employee of Fidelity Investments (2009-present), and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (accounting firm, 1996-2009). Previously, Ms. Smith served as Assistant Treasurer (2013-2019) and Deputy Treasurer (2013-2016) of certain Fidelity® funds.
Marc L. Spector (1972)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Spector also serves as an officer of other funds. Mr. Spector serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2016-present). Prior to joining Fidelity Investments, Mr. Spector served as Director at the Siegfried Group (accounting firm, 2013-2016), and prior to Siegfried Group as audit senior manager at Deloitte & Touche LLP (accounting firm, 2005-2013).
Jim Wegmann (1979)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Wegmann also serves as Assistant Treasurer of other funds. Mr. Wegmann is an employee of Fidelity Investments (2011-present).
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (December 1, 2019 to May 31, 2020).
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the underlying mutual funds (the Underlying Funds), the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's 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. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the Underlying Funds, the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
Annualized Expense Ratio-A | Beginning Account Value December 1, 2019 | Ending Account Value May 31, 2020 | Expenses Paid During Period-B December 1, 2019 to May 31, 2020 | |
Actual | .20% | $1,000.00 | $974.70 | $.99 |
Hypothetical-C | $1,000.00 | $1,024.00 | $1.01 |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period). The fees and expenses of the Underlying Funds in which the Fund invests are not included in the Fund's annualized expense ratio.
C 5% return per year before expenses
Distributions (Unaudited)
The fund hereby designates as a capital gain dividend with respect to the taxable year ended May 31, 2020, $1,050,052,165, or, if subsequently determined to be different, the net capital gain of such year.
The fund designates 100% and 65% of the dividends distributed in July and December, respectively during the fiscal year as qualifying for the dividends–received deduction for corporate shareholders.
The fund designates 100% and 68% of the dividends distributed in July and December, respectively during the fiscal year as amounts which may be taken into account as a dividend for the purposes of the maximum rate under section 1(h)(11) of the Internal Revenue Code.
The fund designates 1% and 3% of the dividends distributed in July and December, respectively during the fiscal year as a section 199A dividend.
The fund will notify shareholders in January 2021 of amounts for use in preparing 2020 income tax returns.
Board Approval of Investment Advisory Contract and Management Fees
Strategic Advisers Core Fund
At its March 2020 meeting, the Board of Trustees, including the Independent Trustees (together, the Board) voted at an in-person meeting to approve an investment sub-advisory agreement (the Sub-Advisory Agreement) among Strategic Advisers LLC (Strategic Advisers), ClearBridge Investments, LLC (ClearBridge), and Fidelity Rutland Square Trust II, on behalf of the fund.The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, considered a broad range of information it believed relevant to the approval of the Sub-Advisory Agreement.In considering whether to approve the Sub-Advisory Agreement, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the approval of the 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 the 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 the 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 current sub-adviser lineup. The Board also considered the structure of ClearBridge's portfolio manager compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund.Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of ClearBridge's investment staff, their use of technology, and ClearBridge's approach to managing and compensating its investment personnel. The Board noted that ClearBridge'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 ClearBridge's 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 advisory services to be performed by ClearBridge under the Sub-Advisory Agreement and (ii) the resources to be devoted to the fund's compliance policies and procedures.Investment Performance. The Board also considered the historical investment performance of ClearBridge and the portfolio managers in managing accounts under a similar investment mandate.Based on its review, the Board concluded that the nature, extent, and quality of services that will be provided to the fund under the Sub-Advisory Agreement should benefit the fund's shareholders.Competitiveness of Management Fee and Total Fund Expenses. In reviewing the Sub-Advisory Agreement, 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 ClearBridge and the projected change in the fund's management fee and total operating expenses, if any, as a result of hiring ClearBridge.The Board considered that the approval of the Sub-Advisory Agreement will not initially result in any changes to the fund’s management fee or total net expenses because Strategic Advisers does not expect to allocate assets to ClearBridge at this time. As a result, the fund’s management fee and total net expenses are expected to continue to rank below the competitive peer group medians presented to the Board in the June 2019 management contract renewal materials. The Board considered that to the extent Strategic Advisers allocates assets to ClearBridge in the future, the fund’s maximum aggregate annual management fee rate may not exceed 1.00% of the fund’s average daily net assets and the Sub-Advisory Agreement will not result in a change 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 0.25% portion of the fund’s management fee through September 30, 2022. In addition, the Board considered that Strategic Advisers’ portion of the management fee will continue to be all-inclusive and that Strategic Advisers will continue to pay the fund’s other operating expenses, with certain limited exceptions, out of its portion of the management fee.Based on its review, the Board concluded that the fund's management fee structure and any changes to projected total expenses bear a reasonable relationship to the services that the fund and its shareholders will receive and the other factors considered.Because the 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 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 the fund's sub-advisers, if any, as a result of their respective relationships with the fund, during its annual renewal of the fund's advisory agreement with Strategic Advisers and the fund's sub-advisory agreements. With respect to ClearBridge, the Board considered management's representation that it does not anticipate that the hiring of ClearBridge will have a significant impact on the potential for 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 advisory agreement with Strategic Advisers and the fund's sub-advisory agreements. The Board noted that the Sub-Advisory Agreement provides for breakpoints that reduce sub-advisory fees paid to ClearBridge as assets allocated to ClearBridge achieve certain levels.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 Sub-Advisory Agreement's fee structure bears a reasonable relationship to the services to be rendered and that the Sub-Advisory Agreement should be approved because the Sub-Advisory Agreement is in the best interests of the fund and its shareholders. The Board also concluded that the sub-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 the Sub-Advisory Agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.Liquidity Risk Management Program
The Securities and Exchange Commission adopted Rule 22e-4 under the Investment Company Act of 1940 (the Liquidity Rule) to promote effective liquidity risk management throughout the open-end investment company industry, thereby reducing the risk that funds will be unable to meet their redemption obligations and mitigating dilution of the interests of fund shareholders.
The Fund has adopted and implemented a liquidity risk management program (the Program) reasonably designed to assess and manage the Fund’s liquidity risk and to comply with the requirements of the Liquidity Rule. The Fund’s Board of Trustees (the Board) has designated the Fund’s investment adviser as administrator of the Program. Strategic Advisers has established a Liquidity Risk Management Committee (the LRM Committee) to manage the Program for each of the Funds. The LRM Committee monitors the adequacy and effectiveness of implementation of the Program and on a periodic basis assesses each Fund’s liquidity risk based on a variety of factors including (1) the Fund’s investment strategy, (2) portfolio liquidity and cash flow projections during normal and reasonably foreseeable stressed conditions, (3) shareholder redemptions and (4) borrowings and other funding sources, as applicable.
In accordance with the Program, each of the Fund’s portfolio investments is classified into one of four liquidity categories described below based on a determination of a reasonable expectation for how long it would take to convert the investment to cash (or sell or dispose of the investment) without significantly changing its market value.
- Highly liquid investments – cash or convertible to cash within three business days or less
- Moderately liquid investments – convertible to cash in three to seven calendar days
- Less liquid investments – can be sold or disposed of, but not settled, within seven calendar days
- Illiquid investments – cannot be sold or disposed of within seven calendar days
Liquidity classification determinations take into account a variety of factors including various market, trading and investment-specific considerations, as well as market depth, and generally utilize analysis from a third-party liquidity metrics service.
The Liquidity Rule places a 15% limit on a fund’s illiquid investments and requires funds that do not primarily hold assets that are highly liquid investments to determine and maintain a minimum percentage of the fund’s net assets to be invested in highly liquid investments (highly liquid investment minimum or HLIM). The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments and for determining, periodically reviewing and complying with the HLIM requirement as applicable.
At a recent meeting of the Fund’s Board of Trustees, the LRM Committee provided a written report to the Board pertaining to the operation, adequacy, and effectiveness of implementation of the Program for the annual period from December 1, 2018 through November 30, 2019. The report concluded that the Program has been implemented and is operating effectively and is reasonably designed to assess and manage the Fund’s liquidity risk.
SAI-COR-ANN-0720
1.902940.111
Strategic Advisers® Growth Fund
Offered exclusively to certain clients of Strategic Advisers LLC - not available for sale to the general public
May 31, 2020
See the inside front cover for important information about access to your fund’s shareholder reports.
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of a fund’s shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the fund or from your financial intermediary, such as a financial advisor, broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from a fund electronically, by contacting your financial intermediary. For Fidelity customers, visit Fidelity's web site or call Fidelity using the contact information listed below.
You may elect to receive all future reports in paper free of charge. If you wish to continue receiving paper copies of your shareholder reports, you may contact your financial intermediary or, if you are a Fidelity customer, visit Fidelity’s website, or call Fidelity at the applicable toll-free number listed below. Your election to receive reports in paper will apply to all funds held with the fund complex/your financial intermediary.
Account Type | Website | Phone Number |
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Contents
Board Approval of Investment Advisory Contract 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. © 2020 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
Note to Shareholders:
Early in 2020, the outbreak and spread of a new coronavirus emerged as a public health emergency that had a major influence on financial markets, primarily based on its impact on the global economy and the outlook for corporate earnings. The virus causes a respiratory disease known as COVID-19. On March 11, the World Health Organization declared the COVID-19 outbreak a pandemic, citing sustained risk of further global spread.
In the weeks following, as the crisis worsened, we witnessed an escalating human tragedy with wide-scale social and economic consequences from coronavirus-containment measures. The outbreak of COVID-19 prompted a number of measures to limit the spread, including travel and border restrictions, quarantines, and restrictions on large gatherings. In turn, these resulted in lower consumer activity, diminished demand for a wide range of products and services, disruption in manufacturing and supply chains, and – given the wide variability in outcomes regarding the outbreak – significant market uncertainty and volatility. Amid the turmoil, 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.
The situation continues to unfold, and the extent and duration of its impact on financial markets and the economy remain highly uncertain. Extreme events such as the coronavirus crisis are “exogenous shocks” that can have significant adverse effects on mutual funds and their investments. Although multiple asset classes may be affected by market disruption, the duration and impact may not be the same for all types of assets.
Fidelity is committed to helping you stay informed amid news about COVID-19 and during increased market volatility, and we’re taking extra steps to be responsive to customer needs. We encourage you to visit our websites, where we offer ongoing updates, commentary, and analysis on the markets and our funds.
Performance: The Bottom Line
Average annual total return reflects the change in the value of an investment, assuming reinvestment of distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year. The hypothetical investment and the average annual total returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund’s total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.
Average Annual Total Returns
For the periods ended May 31, 2020 | Past 1 year | Past 5 years | Life of fundA |
Strategic Advisers® Growth Fund | 26.60% | 12.94% | 14.51% |
A From June 2, 2010
$10,000 Over Life of Fund
Let's say hypothetically that $10,000 was invested in Strategic Advisers® Growth Fund on June 2, 2010, when the fund started.
The chart shows how the value of your investment would have changed, and also shows how the Russell 1000® Growth Index performed over the same period.
Period Ending Values | ||
$38,780 | Strategic Advisers® Growth Fund | |
$43,932 | Russell 1000® Growth Index |
Management's Discussion of Fund Performance
Market Recap: The S&P 500® index gained 12.84% for the year ending May 31, 2020, in what was a bumpy ride for U.S. equity investors, marked by a steep but brief decline due to the early-2020 outbreak and spread of the coronavirus, followed by a sharp upturn. Declared a pandemic on March 11, the COVID-19 crisis and containment efforts caused broad contraction in economic activity, along with extreme uncertainty, volatility and dislocation in financial markets. By mid-March, U.S. stocks had entered bear-market territory less than a month after hitting an all-time high and extending the longest-running bull market in American history. Stocks slid in late February, after a surge in COVID-19 cases emerged outside China. The downtrend continued in March (-12.35%), capping the index’s worst quarter since 2008. A historically rapid and expansive U.S. monetary/fiscal-policy response helped provide a partial offset to the economic disruption. This was evident in April, when the index achieved its highest monthly gain (+12.82%) since 1991, boosted by improving infection data, plans for reopening the economy and progress on potential treatments. The stark turnaround continued in May, driven by stocks that do well in an economic recovery, even as high unemployment persisted. By sector, energy shares (-29%) fell hard along with the price of crude oil. Financials (-8%) and industrials (-4%) also notably lagged. In contrast, information technology (+38%) led by a wide margin, followed by health care (+21%), communication services and consumer discretionary (each +16%).Comments from Lead Portfolio Manager John Stone: For the fiscal year, the Fund advanced 26.60%, outpacing the 26.25% gain of the benchmark Russell 1000® Growth Index. This period, Fidelity® Growth Company Fund, which follows an aggressive-growth approach, was the principal driver behind our strong relative performance. Fidelity Growth Company Fund (+39.3%) was the portfolio's largest holding on May 31 and it outpaced the Russell benchmark by 11 percentage points. Security selection in the information technology, health care and consumer discretionary sectors fueled this manager's outsized contribution. Elsewhere, the Large Cap Growth strategy from sub-adviser ClearBridge Investments – which was added to the portfolio in April – also aided performance versus the benchmark. On the downside, sub-adviser ClariVest Asset Management (+22.2%) was the biggest relative detractor. The dual emphasis on valuation and momentum inherent in ClariVest’s quantitative strategy weighed on its performance this period, resulting in negative stock picks across several sectors. Janus Henderson Enterprise Fund (+6.4%), a mid-cap growth strategy, struggled due to overweighted exposure to lagging cyclical sectors, including industrials and financials. Investment choices in technology also worked against this fund's relative result. In addition to hiring ClearBridge during the period, we added Principal Blue Chip Fund, an opportunistic growth approach that gravitates toward companies where members of management are also major shareholders. Conversely, we ended the Fund's sub-advisory relationship with MFS Investment Management during the period. As of May 31, the broader Fund is tilted toward underlying strategies that focus on companies exhibiting high rates of sales and earnings growth.The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
Note to shareholders: On June 3, 2020, the Board of Trustees approved a proposal to merge Strategic Advisers® Core Fund, Strategic Advisers® Growth Fund and Strategic Advisers® Value Fund into a new fund, Strategic Advisers® Large Cap Fund, subject to shareholder approval. A special meeting of the shareholders of each acquired fund (SA Core, Growth and Value) is expected to be held in the fourth quarter of 2020. This reorganization would occur on a tax-free basis, and if approved by shareholders of each acquired fund, is expected to take place on or about November 13, 2020. A combined proxy statement and prospectus containing more information with respect to the reorganization will be provided to shareholders of record of each acquired fund in advance of the meeting.Investment Summary (Unaudited)
The information in the following tables is based on the direct investments of the Fund.Top Ten Holdings as of May 31, 2020
(excluding cash equivalents)
% of fund's net assets | |
Fidelity Growth Company Fund | 33.3 |
Janus Henderson Enterprise Fund | 6.8 |
Amazon.com, Inc. | 3.8 |
Microsoft Corp. | 3.6 |
Apple, Inc. | 2.6 |
Fidelity SAI U.S. Quality Index Fund | 2.4 |
Visa, Inc. Class A | 2.4 |
Facebook, Inc. Class A | 2.3 |
Principal Blue Chip Fund Institutional Class | 1.8 |
Fidelity Contrafund | 1.6 |
60.6 |
Top Five Market Sectors as of May 31, 2020
(stocks only)
% of fund's net assets | |
Information Technology | 20.8 |
Health Care | 8.6 |
Consumer Discretionary | 8.1 |
Communication Services | 6.3 |
Industrials | 3.7 |
Asset Allocation (% of fund's net assets)
As of May 31, 2020 | ||
Common Stocks | 52.7% | |
Preferred Stocks | 0.1% | |
Large Blend Funds | 0.9% | |
Large Growth Funds | 39.1% | |
Mid-Cap Growth Funds | 6.8% | |
Short-Term Investments and Net Other Assets (Liabilities) | 0.4% |
Asset allocations of funds in the pie chart reflect the categorizations of assets as defined by Morningstar as of the reporting date.
Schedule of Investments May 31, 2020
Showing Percentage of Net Assets
Common Stocks - 52.7% | |||
Shares | Value | ||
COMMUNICATION SERVICES - 6.3% | |||
Entertainment - 0.8% | |||
Activision Blizzard, Inc. | 280,100 | $20,161,598 | |
The Walt Disney Co. | 429,585 | 50,390,321 | |
70,551,919 | |||
Interactive Media & Services - 5.3% | |||
Alphabet, Inc.: | |||
Class A (a) | 91,041 | 130,509,094 | |
Class C (a) | 92,124 | 131,637,826 | |
Facebook, Inc. Class A (a) | 926,055 | 208,445,720 | |
470,592,640 | |||
Media - 0.2% | |||
Comcast Corp. Class A | 514,906 | 20,390,278 | |
TOTAL COMMUNICATION SERVICES | 561,534,837 | ||
CONSUMER DISCRETIONARY - 8.0% | |||
Auto Components - 0.1% | |||
Aptiv PLC | 115,137 | 8,675,573 | |
Hotels, Restaurants & Leisure - 0.9% | |||
Domino's Pizza, Inc. | 35,600 | 13,735,904 | |
Starbucks Corp. | 371,575 | 28,979,134 | |
Yum China Holdings, Inc. | 327,589 | 15,180,474 | |
Yum! Brands, Inc. | 240,308 | 21,562,837 | |
79,458,349 | |||
Household Durables - 0.3% | |||
Lennar Corp. Class A | 241,600 | 14,607,136 | |
PulteGroup, Inc. | 388,000 | 13,180,360 | |
27,787,496 | |||
Internet & Direct Marketing Retail - 5.1% | |||
Alibaba Group Holding Ltd. sponsored ADR (a) | 486,370 | 100,868,274 | |
Amazon.com, Inc. (a) | 139,979 | 341,880,510 | |
The Booking Holdings, Inc. (a) | 8,413 | 13,792,440 | |
456,541,224 | |||
Multiline Retail - 0.3% | |||
Target Corp. | 188,080 | 23,007,826 | |
Specialty Retail - 1.3% | |||
Advance Auto Parts, Inc. | 182,231 | 25,388,423 | |
AutoZone, Inc. (a) | 15,200 | 17,447,472 | |
The Home Depot, Inc. | 280,470 | 69,691,186 | |
Ulta Beauty, Inc. (a) | 32,126 | 7,839,065 | |
120,366,146 | |||
TOTAL CONSUMER DISCRETIONARY | 715,836,614 | ||
CONSUMER STAPLES - 2.9% | |||
Beverages - 1.2% | |||
Anheuser-Busch InBev SA NV ADR | 193,048 | 9,050,090 | |
Keurig Dr. Pepper, Inc. | 347,694 | 9,707,616 | |
Monster Beverage Corp. (a) | 999,566 | 71,878,791 | |
The Coca-Cola Co. | 251,746 | 11,751,503 | |
102,388,000 | |||
Food & Staples Retailing - 1.0% | |||
Costco Wholesale Corp. | 185,181 | 57,122,783 | |
Sprouts Farmers Market LLC (a) | 407,600 | 10,242,988 | |
Walmart, Inc. | 208,574 | 25,875,690 | |
93,241,461 | |||
Food Products - 0.2% | |||
Campbell Soup Co. | 343,600 | 17,516,728 | |
Household Products - 0.5% | |||
Colgate-Palmolive Co. | 357,712 | 25,873,309 | |
Procter & Gamble Co. | 150,160 | 17,406,547 | |
43,279,856 | |||
TOTAL CONSUMER STAPLES | 256,426,045 | ||
ENERGY - 0.1% | |||
Energy Equipment & Services - 0.1% | |||
Schlumberger Ltd. | 642,014 | 11,857,999 | |
FINANCIALS - 1.2% | |||
Capital Markets - 0.9% | |||
Bank of New York Mellon Corp. | 168,100 | 6,248,277 | |
Charles Schwab Corp. | 288,291 | 10,352,530 | |
FactSet Research Systems, Inc. | 91,298 | 28,075,048 | |
Goldman Sachs Group, Inc. | 41,900 | 8,232,931 | |
SEI Investments Co. | 511,053 | 27,709,294 | |
80,618,080 | |||
Consumer Finance - 0.2% | |||
American Express Co. | 164,812 | 15,668,677 | |
Insurance - 0.1% | |||
MetLife, Inc. | 221,700 | 7,983,417 | |
TOTAL FINANCIALS | 104,270,174 | ||
HEALTH CARE - 8.6% | |||
Biotechnology - 2.1% | |||
AbbVie, Inc. | 302,666 | 28,048,058 | |
Alexion Pharmaceuticals, Inc. (a) | 142,669 | 17,106,013 | |
Amgen, Inc. | 236,349 | 54,289,365 | |
BioMarin Pharmaceutical, Inc. (a) | 128,010 | 13,639,466 | |
Regeneron Pharmaceuticals, Inc. (a) | 107,502 | 65,878,301 | |
Vertex Pharmaceuticals, Inc. (a) | 36,400 | 10,481,744 | |
189,442,947 | |||
Health Care Equipment & Supplies - 0.8% | |||
Alcon, Inc. (a) | 154,006 | 9,785,541 | |
Intuitive Surgical, Inc. (a) | 32,717 | 18,976,842 | |
Stryker Corp. | 42,000 | 8,220,660 | |
The Cooper Companies, Inc. | 25,298 | 8,018,960 | |
Varian Medical Systems, Inc. (a) | 91,389 | 11,093,711 | |
Zimmer Biomet Holdings, Inc. | 96,800 | 12,229,712 | |
68,325,426 | |||
Health Care Providers & Services - 1.9% | |||
Centene Corp. (a) | 257,674 | 17,070,903 | |
CVS Health Corp. | 271,900 | 17,828,483 | |
Laboratory Corp. of America Holdings (a) | 54,000 | 9,467,280 | |
McKesson Corp. | 101,800 | 16,152,606 | |
UnitedHealth Group, Inc. | 351,667 | 107,205,685 | |
167,724,957 | |||
Health Care Technology - 0.5% | |||
Cerner Corp. | 415,725 | 30,306,353 | |
Veeva Systems, Inc. Class A (a) | 74,800 | 16,371,476 | |
46,677,829 | |||
Life Sciences Tools & Services - 1.0% | |||
Illumina, Inc. (a) | 70,766 | 25,691,596 | |
Thermo Fisher Scientific, Inc. | 182,779 | 63,824,599 | |
89,516,195 | |||
Pharmaceuticals - 2.3% | |||
Bristol-Myers Squibb Co. | 499,435 | 29,826,258 | |
Eli Lilly & Co. | 70,139 | 10,727,760 | |
Merck & Co., Inc. | 362,602 | 29,269,233 | |
Novartis AG sponsored ADR | 365,200 | 31,929,436 | |
Novo Nordisk A/S Series B sponsored ADR | 244,238 | 16,105,054 | |
Roche Holding AG sponsored ADR | 1,236,646 | 53,608,604 | |
Zoetis, Inc. Class A | 208,952 | 29,125,819 | |
200,592,164 | |||
TOTAL HEALTH CARE | 762,279,518 | ||
INDUSTRIALS - 3.7% | |||
Aerospace & Defense - 0.9% | |||
Northrop Grumman Corp. | 34,800 | 11,664,960 | |
Raytheon Technologies Corp. | 367,222 | 23,693,163 | |
The Boeing Co. | 301,224 | 43,933,520 | |
79,291,643 | |||
Air Freight & Logistics - 0.8% | |||
C.H. Robinson Worldwide, Inc. | 135,035 | 10,955,390 | |
Expeditors International of Washington, Inc. | 492,749 | 37,631,241 | |
United Parcel Service, Inc. Class B | 197,437 | 19,686,443 | |
68,273,074 | |||
Building Products - 0.2% | |||
Carrier Global Corp. (a) | 526,579 | 10,779,072 | |
Trane Technologies PLC | 136,432 | 12,307,531 | |
23,086,603 | |||
Commercial Services & Supplies - 0.2% | |||
Copart, Inc. (a) | 198,200 | 17,717,098 | |
Industrial Conglomerates - 0.1% | |||
Honeywell International, Inc. | 83,102 | 12,120,427 | |
Machinery - 0.7% | |||
Cummins, Inc. | 61,500 | 10,430,400 | |
Deere & Co. | 286,922 | 43,646,575 | |
Gardner Denver Holdings, Inc. (a) | 120,386 | 3,394,885 | |
Otis Worldwide Corp. | 49,179 | 2,589,274 | |
60,061,134 | |||
Professional Services - 0.2% | |||
IHS Markit Ltd. | 254,589 | 17,683,752 | |
Road & Rail - 0.2% | |||
Uber Technologies, Inc. | 468,217 | 17,005,641 | |
Trading Companies & Distributors - 0.4% | |||
United Rentals, Inc. (a) | 108,283 | 15,039,426 | |
W.W. Grainger, Inc. | 57,340 | 17,753,611 | |
32,793,037 | |||
TOTAL INDUSTRIALS | 328,032,409 | ||
INFORMATION TECHNOLOGY - 20.8% | |||
Communications Equipment - 0.6% | |||
Cisco Systems, Inc. | 1,032,696 | 49,383,523 | |
Electronic Equipment & Components - 0.2% | |||
Keysight Technologies, Inc. (a) | 124,834 | 13,498,300 | |
IT Services - 5.2% | |||
Akamai Technologies, Inc. (a) | 216,409 | 22,896,072 | |
Automatic Data Processing, Inc. | 82,025 | 12,015,842 | |
Booz Allen Hamilton Holding Corp. Class A | 134,200 | 10,703,792 | |
Fidelity National Information Services, Inc. | 316,893 | 43,994,283 | |
Fiserv, Inc. (a) | 265,114 | 28,306,222 | |
FleetCor Technologies, Inc. (a) | 39,500 | 9,629,705 | |
Global Payments, Inc. | 98,650 | 17,706,689 | |
MasterCard, Inc. Class A | 190,765 | 57,399,281 | |
PayPal Holdings, Inc. (a) | 306,411 | 47,496,769 | |
Visa, Inc. Class A | 1,103,499 | 215,447,145 | |
465,595,800 | |||
Semiconductors & Semiconductor Equipment - 3.5% | |||
Broadcom, Inc. | 34,435 | 10,029,882 | |
Intel Corp. | 250,895 | 15,788,822 | |
KLA-Tencor Corp. | 101,710 | 17,896,892 | |
Lam Research Corp. | 47,800 | 13,081,426 | |
Micron Technology, Inc. (a) | 208,417 | 9,985,258 | |
NVIDIA Corp. | 359,082 | 127,481,292 | |
Qualcomm, Inc. | 792,288 | 64,080,253 | |
Teradyne, Inc. | 301,200 | 20,186,424 | |
Texas Instruments, Inc. | 275,134 | 32,669,411 | |
311,199,660 | |||
Software - 8.7% | |||
Adobe, Inc. (a) | 187,586 | 72,520,748 | |
Autodesk, Inc. (a) | 351,391 | 73,925,639 | |
Microsoft Corp. | 1,759,907 | 322,502,958 | |
Nutanix, Inc. Class A (a) | 279,050 | 6,713,943 | |
Oracle Corp. | 1,209,538 | 65,036,858 | |
Palo Alto Networks, Inc. (a) | 63,533 | 14,947,409 | |
Salesforce.com, Inc. (a) | 635,397 | 111,061,042 | |
Splunk, Inc. (a) | 120,760 | 22,442,038 | |
SS&C Technologies Holdings, Inc. | 180,301 | 10,438,526 | |
Synopsys, Inc. (a) | 226,444 | 40,965,984 | |
VMware, Inc. Class A (a) | 99,899 | 15,611,217 | |
Workday, Inc. Class A (a) | 122,453 | 22,461,554 | |
778,627,916 | |||
Technology Hardware, Storage & Peripherals - 2.6% | |||
Apple, Inc. | 725,377 | 230,626,363 | |
TOTAL INFORMATION TECHNOLOGY | 1,848,931,562 | ||
MATERIALS - 0.2% | |||
Chemicals - 0.2%�� | |||
Ecolab, Inc. | 88,737 | 18,863,711 | |
REAL ESTATE - 0.9% | |||
Equity Real Estate Investment Trusts (REITs) - 0.7% | |||
American Tower Corp. | 145,400 | 37,537,918 | |
Equinix, Inc. | 31,222 | 21,781,404 | |
Medical Properties Trust, Inc. | 480,416 | 8,685,921 | |
68,005,243 | |||
Real Estate Management & Development - 0.2% | |||
CBRE Group, Inc. (a) | 367,037 | 16,142,287 | |
TOTAL REAL ESTATE | 84,147,530 | ||
TOTAL COMMON STOCKS | |||
(Cost $2,340,929,824) | 4,692,180,399 | ||
Convertible Preferred Stocks - 0.1% | |||
CONSUMER DISCRETIONARY - 0.1% | |||
Diversified Consumer Services - 0.1% | |||
Airbnb, Inc. Series D (a)(b)(c) | |||
(Cost $4,024,850) | 98,859 | 6,355,645 | |
Equity Funds - 46.8% | |||
Large Blend Funds - 0.9% | |||
Fidelity SAI U.S. Large Cap Index Fund (d) | 4,953,880 | 81,293,175 | |
Large Growth Funds - 39.1% | |||
Fidelity Contrafund (d) | 10,108,354 | 144,953,803 | |
Fidelity Growth Company Fund (d) | 120,728,015 | 2,965,080,055 | |
Fidelity SAI U.S. Momentum Index Fund (d) | 231,701 | 3,294,795 | |
Fidelity SAI U.S. Quality Index Fund (d) | 14,559,510 | 215,480,751 | |
Principal Blue Chip Fund Institutional Class | 5,468,630 | 156,293,451 | |
TOTAL LARGE GROWTH FUNDS | 3,485,102,855 | ||
Mid-Cap Growth Funds - 6.8% | |||
Janus Henderson Enterprise Fund | 4,588,861 | 603,572,898 | |
TOTAL EQUITY FUNDS | |||
(Cost $2,364,475,500) | 4,169,968,928 | ||
Money Market Funds - 0.4% | |||
Invesco Government & Agency Portfolio Institutional Class .12% (e) | |||
(Cost $39,109,592) | 39,109,592 | 39,109,592 | |
TOTAL INVESTMENT IN SECURITIES - 100.0% | |||
(Cost $4,748,539,766) | 8,907,614,564 | ||
NET OTHER ASSETS (LIABILITIES) - 0.0% | (2,104,705) | ||
NET ASSETS - 100% | $8,905,509,859 |
Legend
(a) Non-income producing
(b) 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 $6,355,645 or 0.1% of net assets.
(c) Level 3 security
(d) Affiliated Fund
(e) The rate quoted is the annualized seven-day yield of the fund at period end.
Additional information on each restricted holding is as follows:
Security | Acquisition Date | Acquisition Cost |
Airbnb, Inc. Series D | 4/16/14 | $4,024,850 |
Affiliated Central Funds
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:
Fund | Income earned |
Fidelity Securities Lending Cash Central Fund | $25,868 |
Total | $25,868 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations, if applicable. Amount for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.
Affiliated Underlying Funds
Fiscal year to date information regarding the Fund's investments in affiliated Underlying Funds, excluding any Money Market Central Funds, is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur.
Affiliate | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income | Realized Gain (loss) | Change in Unrealized appreciation (depreciation) | Value, end of period |
Fidelity Contrafund | $523,366,843 | $20,630,825 | $432,363,022 | $18,950,883 | $(12,384,105) | $45,703,262 | $144,953,803 |
Fidelity Growth Company Fund | 2,301,681,826 | 143,204,848 | 250,183,216 | 103,204,849 | 7,780,199 | 762,596,398 | 2,965,080,055 |
Fidelity SAI U.S. Large Cap Index Fund | 25,922,833 | 2,212,341,424 | 2,168,644,669 | 2,574,345 | 7,344,796 | 4,328,791 | 81,293,175 |
Fidelity SAI U.S. Momentum Index Fund | 466,705,072 | 7,992,273 | 470,000,000 | 7,992,273 | 16,791,573 | (18,194,123) | 3,294,795 |
Fidelity SAI U.S. Quality Index Fund | 979,028,121 | 124,012,826 | 887,611,107 | 123,034,639 | 190,686,954 | (190,636,043) | 215,480,751 |
Total | $4,296,704,695 | $2,508,182,196 | $4,208,802,014 | $255,756,989 | $210,219,417 | $603,798,285 | $3,410,102,579 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations, if applicable.
Investment Valuation
The following is a summary of the inputs used, as of May 31, 2020, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Equities: | ||||
Communication Services | $561,534,837 | $561,534,837 | $-- | $-- |
Consumer Discretionary | 722,192,259 | 715,836,614 | -- | 6,355,645 |
Consumer Staples | 256,426,045 | 256,426,045 | -- | -- |
Energy | 11,857,999 | 11,857,999 | -- | -- |
Financials | 104,270,174 | 104,270,174 | -- | -- |
Health Care | 762,279,518 | 762,279,518 | -- | -- |
Industrials | 328,032,409 | 328,032,409 | -- | -- |
Information Technology | 1,848,931,562 | 1,848,931,562 | -- | -- |
Materials | 18,863,711 | 18,863,711 | -- | -- |
Real Estate | 84,147,530 | 84,147,530 | -- | -- |
Equity Funds | 4,169,968,928 | 4,169,968,928 | -- | -- |
Money Market Funds | 39,109,592 | 39,109,592 | -- | -- |
Total Investments in Securities: | $8,907,614,564 | $8,901,258,919 | $-- | $6,355,645 |
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
May 31, 2020 | ||
Assets | ||
Investment in securities, at value — See accompanying schedule: Unaffiliated issuers (cost $3,043,720,079) | $5,497,511,985 | |
Affiliated issuers (cost $1,704,819,687) | 3,410,102,579 | |
Total Investment in Securities (cost $4,748,539,766) | $8,907,614,564 | |
Cash | 223 | |
Receivable for investments sold | 923,242 | |
Receivable for fund shares sold | 2,742,204 | |
Dividends receivable | 4,699,596 | |
Interest receivable | 2,808 | |
Distributions receivable from Fidelity Central Funds | 716 | |
Prepaid expenses | 33,645 | |
Other receivables | 145,791 | |
Total assets | 8,916,162,789 | |
Liabilities | ||
Payable for investments purchased | $5,894,994 | |
Payable for fund shares redeemed | 3,665,446 | |
Accrued management fee | 847,390 | |
Other payables and accrued expenses | 245,100 | |
Total liabilities | 10,652,930 | |
Net Assets | $8,905,509,859 | |
Net Assets consist of: | ||
Paid in capital | $4,116,614,302 | |
Total accumulated earnings (loss) | 4,788,895,557 | |
Net Assets | $8,905,509,859 | |
Net Asset Value, offering price and redemption price per share ($8,905,509,859 ÷ 452,953,854 shares) | $19.66 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Year ended May 31, 2020 | ||
Investment Income | ||
Dividends: | ||
Unaffiliated issuers | $54,555,552 | |
Affiliated issuers | 142,109,759 | |
Interest | 776,447 | |
Income from Fidelity Central Funds (including $25,868 from security lending) | 25,868 | |
Total income | 197,467,626 | |
Expenses | ||
Management fee | $33,269,453 | |
Accounting fees | 106,560 | |
Custodian fees and expenses | 54,400 | |
Independent trustees' fees and expenses | 107,543 | |
Registration fees | 81,113 | |
Audit | 76,618 | |
Legal | 35,856 | |
Miscellaneous | 85,248 | |
Total expenses before reductions | 33,816,791 | |
Expense reductions | (23,513,811) | |
Total expenses after reductions | 10,302,980 | |
Net investment income (loss) | 187,164,646 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 691,141,132 | |
Fidelity Central Funds | (24) | |
Other affiliated issuers | 210,219,417 | |
Capital gain distributions from underlying funds: | ||
Unaffiliated issuers | 14,059,313 | |
Affiliated issuers | 113,647,230 | |
Total net realized gain (loss) | 1,029,067,068 | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers | 366,839,946 | |
Fidelity Central Funds | 1 | |
Other affiliated issuers | 603,798,285 | |
Total change in net unrealized appreciation (depreciation) | 970,638,232 | |
Net gain (loss) | 1,999,705,300 | |
Net increase (decrease) in net assets resulting from operations | $2,186,869,946 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Year ended May 31, 2020 | Year ended May 31, 2019 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $187,164,646 | $105,994,035 |
Net realized gain (loss) | 1,029,067,068 | 1,379,589,003 |
Change in net unrealized appreciation (depreciation) | 970,638,232 | (1,315,652,665) |
Net increase (decrease) in net assets resulting from operations | 2,186,869,946 | 169,930,373 |
Distributions to shareholders | (1,100,482,013) | (1,480,968,534) |
Share transactions | ||
Proceeds from sales of shares | 877,543,694 | 1,698,381,942 |
Reinvestment of distributions | 1,079,040,445 | 1,473,929,838 |
Cost of shares redeemed | (3,571,407,776) | (4,028,460,404) |
Net increase (decrease) in net assets resulting from share transactions | (1,614,823,637) | (856,148,624) |
Total increase (decrease) in net assets | (528,435,704) | (2,167,186,785) |
Net Assets | ||
Beginning of period | 9,433,945,563 | 11,601,132,348 |
End of period | $8,905,509,859 | $9,433,945,563 |
Other Information | ||
Shares | ||
Sold | 49,858,065 | 93,996,420 |
Issued in reinvestment of distributions | 59,906,152 | 86,200,709 |
Redeemed | (199,218,907) | (222,537,369) |
Net increase (decrease) | (89,454,690) | (42,340,240) |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Strategic Advisers Growth Fund
Years ended May 31, | 2020 | 2019 | 2018 | 2017 | 2016 |
Selected Per–Share Data | |||||
Net asset value, beginning of period | $17.39 | $19.84 | $17.93 | $16.51 | $17.60 |
Income from Investment Operations | |||||
Net investment income (loss)A | .36 | .18 | .13 | .15 | .13 |
Net realized and unrealized gain (loss) | 4.01 | (.05)B | 3.31 | 2.89 | (.23) |
Total from investment operations | 4.37 | .13 | 3.44 | 3.04 | (.10) |
Distributions from net investment income | (.18) | (.13) | (.14) | (.15) | (.12) |
Distributions from net realized gain | (1.92) | (2.45) | (1.39) | (1.47) | (.88) |
Total distributions | (2.10) | (2.58) | (1.53) | (1.62) | (.99)C |
Net asset value, end of period | $19.66 | $17.39 | $19.84 | $17.93 | $16.51 |
Total ReturnD | 26.60% | 1.30% | 20.30% | 19.87% | (.62)% |
Ratios to Average Net AssetsE,F | |||||
Expenses before reductions | .36% | .38% | .49% | .54% | .57% |
Expenses net of fee waivers, if any | .11% | .13% | .24% | .28% | .32% |
Expenses net of all reductions | .11% | .13% | .24% | .28% | .32% |
Net investment income (loss) | 1.99% | .98% | .72% | .89% | .79% |
Supplemental Data | |||||
Net assets, end of period (000 omitted) | $8,905,510 | $9,433,946 | $11,601,132 | $10,964,954 | $10,962,597 |
Portfolio turnover rateG | 57% | 48% | 38% | 38% | 30% |
A Calculated based on average shares outstanding during the period.
B The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the Fund.
C Total distributions of $.99 per share is comprised of distributions from net investment income of $.115 and distributions from net realized gain of $.876 per share.
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 Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
F Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund. Fees and expenses of the Underlying Funds are not included in the Fund's annualized ratios. The Fund indirectly bears its proportionate share of the expenses of the Underlying Funds.
G Amounts do not include the activity of Underlying Funds.
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements
For the period ended May 31, 2020
1. Organization.
Strategic Advisers Growth Fund (the Fund) is a fund of Fidelity Rutland Square Trust II (the Trust), and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust. The Fund is offered exclusively to certain clients of Strategic Advisers LLC (Strategic Advisers), an affiliate of Fidelity Management & Research Company LLC (FMR).
2. Significant Accounting Policies.
The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services – Investments Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the Fund:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
- Level 1 – quoted prices in active markets for identical investments
- Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
- Level 3 – unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value the Fund's investments by major category are as follows:
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. If an unaffiliated open-end mutual fund’s NAV is unavailable, shares of that fund may be valued by another method that the Board believes reflects fair value in accordance with the Board’s fair value pricing policies and is categorized as Level 2 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of May 31, 2020 is included at the end of the Fund's Schedule of Investments.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and include proceeds received from litigation. 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 Underlying Funds, if any, 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.
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), certain independent Trustees have elected to defer receipt of a portion of their annual compensation. Deferred amounts are invested in a cross-section of Strategic Advisers funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees of $145,791 are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, respectively.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of May 31, 2020, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.
Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to short-term gain distributions from the Underlying 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 | $4,197,325,186 |
Gross unrealized depreciation | (58,592,876) |
Net unrealized appreciation (depreciation) | $4,138,732,310 |
Tax Cost | $4,768,882,254 |
The tax-based components of distributable earnings as of period end were as follows:
Undistributed ordinary income | $136,538,663 |
Undistributed long-term capital gain | $513,770,376 |
Net unrealized appreciation (depreciation) on securities and other investments | $4,138,732,310 |
The tax character of distributions paid was as follows:
May 31, 2020 | May 31, 2019 | |
Ordinary Income | $94,870,910 | $ 76,054,930 |
Long-term Capital Gains | 1,005,611,103 | 1,404,913,604 |
Total | $1,100,482,013 | $ 1,480,968,534 |
Restricted Securities (including Private Placements). The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.
3. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities, are noted in the table below.
Purchases ($) | Sales ($) | |
Strategic Advisers Growth Fund | 5,260,963,923 | 7,640,422,731 |
4. Fees and Other Transactions with Affiliates.
Management Fee. Strategic Advisers (the investment adviser) provides the Fund with investment management related services. For these services, the Fund pays a monthly management fee to the investment adviser. The management fee is calculated by adding the annual management fee rate of .25% of the Fund's average net assets throughout the month payable to the investment adviser to the aggregate of the fee rates, payable monthly, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed .95% of the Fund's average net assets. For the reporting period, the total annual management fee rate was .35% 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. ClariVest Asset Management LLC, ClearBridge Investments, LLC, FIAM LLC (an affiliate of the investment adviser), Loomis Sayles & Company, L.P. and Massachusetts Financial Services Company (MFS) (through April 9, 2020) each served as a sub-adviser for the Fund during the period. Sub-advisers provide discretionary investment advisory services for their allocated portion of the Fund's assets and are paid by the investment adviser and not the Fund for providing these services.
Geode Capital Management, LLC (Geode) has been retained to serve as a sub-adviser for the Fund. As of the date of this report, however, Geode has not been allocated any portion of the Fund's assets. Geode in the future may provide discretionary investment advisory services for an allocated portion of the Fund's assets and will be paid by the investment adviser for providing these services.
In June 2020, the Board approved the appointment of Principal Global Investors, LLC as an additional sub-adviser for the Fund.
Accounting Fees. Fidelity Service Company, Inc. (FSC), an affiliate of the investment adviser, maintains the Fund's accounting records. The accounting fee is based on the level of average net assets for each month. Effective July 1, 2019 accounting fees are not paid by the Fund and are instead paid by the investment adviser or an affiliate. For the period, the fees were equivalent to less than .005%.
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 Growth Fund | $15,600 |
Interfund Trades. Funds may purchase from or sell securities to other funds affiliated with each sub-adviser under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.
5. Investments in Fidelity Central Funds.
The Fund invests in Fidelity Central Funds, which are open-end investment companies available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
The Fidelity Money Market Central Funds are managed by FMR. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date ranged from less than .005% to .01%.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC website or upon request.
6. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are as follows:
Amount | |
Strategic Advisers Growth Fund | $23,877 |
During the period, there were no borrowings on this line of credit.
7. Security Lending.
The Fund lends portfolio securities through a lending agent from time to time in order to earn additional income. On the settlement date of the loan, the 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 the Fund and any additional required collateral is delivered to the Fund on the next business day. The 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, the Fund may apply collateral received from the borrower against the obligation. The 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. At period end, there were no security loans outstanding. 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.
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, 2022. During the period, this waiver reduced the Fund's management fee by $23,462,556.
In addition, through arrangements with the Fund's custodian and transfer agent, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses by $1,231 and $1,159, respectively.
In addition, during the period the investment adviser or an affiliate reimbursed and/or waived a portion of operating expenses in the amount of $48,865.
9. Other.
The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
10. Proposed Reorganization.
The Board of Trustees of Fidelity Rutland Square Trust II has approved an Agreement and Plan of Reorganization (the Agreement) between each of Strategic Advisers Core Fund, Strategic Advisers Growth Fund and Strategic Advisers Value Fund (each an "Acquired Fund" and, together, the "Acquired Funds") and Strategic Advisers Large Cap Fund, a new series of Fidelity Rutland Square Trust II. The Agreement provides for the transfer of all the assets and the assumption of all the liabilities of each Acquired Fund in exchange for shares of Strategic Advisers Large Cap Fund equal in value to the net assets of each respective Acquired Fund on the day the reorganization is effective.
A meeting of the shareholders of each Acquired Fund is expected to be held during the fourth quarter of 2020 to vote on the reorganization. If approved by shareholders, the reorganization is expected to become effective on or about November 13, 2020. The reorganization is expected to qualify as a tax-free transaction for federal income tax purposes with no gain or loss recognized by the funds or their shareholders.
11. Coronavirus (COVID-19) Pandemic.
An outbreak of COVID-19 first detected in China during December 2019 has since spread globally and was declared a pandemic by the World Health Organization during March 2020. Developments that disrupt global economies and financial markets, such as the COVID-19 pandemic, may magnify factors that affect the Fund's performance.
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Fidelity Rutland Square Trust II and Shareholders of Strategic Advisers Growth Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Strategic Advisers Growth Fund (one of the funds constituting Fidelity Rutland Square Trust II, referred to hereafter as the “Fund”) as of May 31, 2020, the related statement of operations for the year ended May 31, 2020, the statement of changes in net assets for each of the two years in the period ended May 31, 2020, including the related notes, and the financial highlights for each of the five years in the period ended May 31, 2020 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of May 31, 2020, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended May 31, 2020 and the financial highlights for each of the five years in the period ended May 31, 2020 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of May 31, 2020 by correspondence with the custodian, issuers of privately offered securities and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
Boston, Massachusetts
July 16, 2020
We have served as the auditor of one or more investment companies in the Fidelity group of funds since 1932.
Trustees and Officers
The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance. If the interests of the fund and an underlying Fidelity® fund were to diverge, a conflict of interest could arise and affect how the Trustees and Members of the Advisory Board fulfill their fiduciary duties to the affected funds. Strategic Advisers has structured the fund to avoid these potential conflicts, although there may be situations where a conflict of interest is unavoidable. In such instances, Strategic Advisers, the Trustees, and Members of the Advisory Board would take reasonable steps to minimize and, if possible, eliminate the conflict. Each of the Trustees oversees 14 funds.
The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. Officers and Advisory Board Members hold office without limit in time, except that any officer or Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.
Each Trustee who is not an interested person (as defined in the 1940 Act) of the trust and the fund is referred to herein as an Independent Trustee.
The fund’s Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-3455.
Experience, Skills, Attributes, and Qualifications of the Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee may also engage professional search firms to help identify potential Independent Trustee candidates with experience, qualifications, attributes, and skills consistent with the Statement of Policy. Additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, may be considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.
In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.
Board Structure and Oversight Function. Robert A. Lawrence is an interested person and currently serves as Chairman. The Trustees have determined that an interested Chairman is appropriate and benefits shareholders because an interested Chairman has a personal and professional stake in the quality and continuity of services provided to the fund. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chairman, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chairman and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session. Mary C. Farrell serves as the lead Independent Trustee and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.
Fidelity® funds are overseen by different Boards of Trustees. The fund's Board oversees asset allocation funds. Other Boards oversee Fidelity's investment-grade bond, money market, and asset allocation funds, and Fidelity's equity and high income funds. The fund may invest in Fidelity® funds overseen by such other Boards. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity® funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues.
The Trustees primarily operate as a full Board, but also operate in committees, to facilitate the timely and efficient consideration of all matters of importance to the Trustees, the fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the fund's activities and associated risks. The Board has charged Strategic Advisers and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the fund's business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above. Because the day-to-day operations and activities of the fund are carried out by or through Strategic Advisers, its affiliates and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees. Board oversight of different aspects of the fund's activities is exercised primarily through the full Board, but also through the Audit and Compliance Committee. Appropriate personnel, including but not limited to the fund's Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the fund's Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate. The responsibilities of each standing committee, including their oversight responsibilities, are described further under "Standing Committees of the Trustees."
Interested Trustees*:
Correspondence intended for a Trustee who is an interested person may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Robert A. Lawrence (1952)
Year of Election or Appointment: 2016
Trustee
Chairman of the Board of Trustees
Mr. Lawrence also serves as Trustee of other funds. Previously, Mr. Lawrence served as a Member of the Advisory Board of certain funds. Prior to his retirement in 2008, Mr. Lawrence served as Vice President of certain Fidelity® funds (2006-2008), Senior Vice President, Head of High Income Division of Fidelity Management & Research Company (investment adviser firm, 2006-2008), and President of Fidelity Strategic Investments (investment adviser firm, 2002-2005).
Charles S. Morrison (1960)
Year of Election or Appointment: 2020
Trustee
Mr. Morrison also serves as Trustee of other funds. Previously, Mr. Morrison served as President (2017-2018) and Director (2014-2018) of Fidelity SelectCo, LLC (investment adviser firm), President of Fidelity Management & Research Company (FMR) (investment adviser firm, 2016-2018), a Director of Fidelity Investments Money Management, Inc. (investment adviser firm, 2014-2018), President, Asset Management (2014-2018), Trustee of the Fidelity Equity and High Income Funds (283 funds as of December 2018) (2014-2018), and was an employee of Fidelity Investments. Mr. Morrison also previously served as Vice President of Fidelity's Fixed Income and Asset Allocation Funds (2012-2014), President, Fixed Income (2011-2014), Vice President of Fidelity's Money Market Funds (2005-2009), President, Money Market Group Leader of FMR (2009), and Senior Vice President, Money Market Group of FMR (2004-2009). Mr. Morrison also served as Vice President of Fidelity's Bond Funds (2002-2005), certain Balanced Funds (2002-2005), and certain Asset Allocation Funds (2002-2007), and as Senior Vice President (2002-2005) of Fidelity's Bond Division.
* Determined to be an "Interested Trustee" by virtue of, among other things, his or her affiliation with the trust or various entities under common control with Strategic Advisers.
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Independent Trustees:
Correspondence intended for an Independent Trustee may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Peter C. Aldrich (1944)
Year of Election or Appointment: 2006
Trustee
Mr. Aldrich also serves as Trustee of other funds. Mr. Aldrich is a Director of the U.S. Core Property Fund (and, previously, other funds) of BlackRock Realty Group (2006-present). Previously, Mr. Aldrich served as a Managing Member of Poseidon, LLC (foreign private investment, 1998-2004), and Chairman and Managing Member of AEGIS, LLC (foreign private investment, 1997-2004). Mr. Aldrich previously was a founder, Chief Executive Officer, and Chairman of AEW Capital Management, L.P. (then “Aldrich, Eastman and Waltch, L.P.”). Mr. Aldrich also served as a Director of LivelyHood, Inc. (private corporation, 2013-2020), a Trustee for the Fidelity Rutland Square Trust (2005-2010), a Director of Zipcar, Inc. (car sharing services, 2001-2009) and as Faculty Chairman of The Research Council on Global Investment of The Conference Board (business and professional education non-profit, 1999-2004). Mr. Aldrich is a Member Emeritus of the Board of Directors of the National Bureau of Economic Research, the Board of Trustees of the Museum of Fine Arts Boston and the Board of Overseers of the Massachusetts Eye and Ear Infirmary.
Mary C. Farrell (1949)
Year of Election or Appointment: 2013
Trustee
Ms. Farrell also serves as Trustee of other funds. Ms. Farrell is a Director of the W.R. Berkley Corporation (insurance provider) and President (2009-present) and Director (2006-present) of the Howard Gilman Foundation (charitable organization). Previously, Ms. Farrell was Managing Director and Chief Investment Strategist at UBS Wealth Management USA and Co-Head of UBS Wealth Management Investment Strategy & Research Group (2003-2005). Ms. Farrell also served as Investment Strategist at PaineWebber (1982-2000) and UBS PaineWebber (2000-2002). Ms. Farrell serves as Chairman of the Board of Trustees of Yale-New Haven Hospital and Vice Chairman of the Yale New Haven Health System Board and previously served as Trustee on the Board of Overseers of the New York University Stern School of Business.
Karen Kaplan (1960)
Year of Election or Appointment: 2006
Trustee
Ms. Kaplan also serves as Trustee of other funds. Ms. Kaplan is Chairman (2014-present) and Chief Executive Officer (2013-present) of Hill Holliday (advertising and specialized marketing). Ms. Kaplan is a Director of The Michaels Companies, Inc. (specialty retailer, 2015-present), Member of the Board of Governors of the Chief Executives’ Club of Boston (2010-present), Member of the Executive Committee of the Greater Boston Chamber of Commerce (2006-present), Advisory Board Member of the National Association of Corporate Directors Chapter (2012-present), Member of the Board of Trustees of the Post Office Square Trust (2012-present), Trustee of the Brigham and Women’s Hospital (2016-present), Overseer of the Boston Symphony Orchestra (2014-present), Member of the Board of Directors of The Advertising Council, Inc. (2016-present), Member of the Ron Burton Training Village Executive Board of Advisors (2018-present), Member of the Executive Committee of The Ad Council, Inc. (2019-present), and Member of the Board of Directors of The Ad Club of Boston (2020-present). Previously, Ms. Kaplan served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010), a member of the Clinton Global Initiative (2010-2015), Director of DSM (dba Delta Dental and DentaQuest) (2004-2014), Formal Appointee of the 2015 Baker-Polito Economic Development Council, Director of Vera Bradley Inc. (designer of women’s accessories, 2012-2015), Member of the Board of Directors of the Massachusetts Conference for Women (2008-2015), Member of the Board of Directors of Jobs for Massachusetts (2012-2015), President of the Massachusetts Women’s Forum (2008-2010), Treasurer of the Massachusetts Women’s Forum (2002-2006), and Vice Chair of the Board of the Massachusetts Society for the Prevention of Cruelty to Children (2003-2010).
Heidi L. Steiger (1953)
Year of Election or Appointment: 2017
Trustee
Ms. Steiger also serves as Trustee of other funds. Ms. Steiger serves as Managing Partner of Topridge Associates, LLC (consulting, 2005-present), a member of the Advisory Board of the joint degree program in Global Luxury Management at North Carolina State University (Raleigh, NC) and Skema (Paris) (2018-present), a Non-Executive Director of CrowdBureau Corporation (financial technology company and index provider, 2018-present), a member of the Board of Directors (2013-present) and Chair of the Audit Committee and member of the Membership and Executive Committees (2017-present) of Business Executives for National Security (nonprofit), and member of the Board of Directors Chair of the Remuneration Committee of Imagine Intelligent Materials Limited (2019-present) (technology company). Previously, Ms. Steiger served as a member of the Global Advisory Board and Of Counsel to Signum Global Advisors (international policy and strategy, 2018-2020), Eastern Region President of The Private Client Reserve of U.S. Bancorp (banking and financial services, 2010-2015), Advisory Director of Berkshire Capital Securities, LLC (financial services, 2009-2010), President and Senior Advisor of Lowenhaupt Global Advisors, LLC (financial services, 2005-2007), and President and Contributing Editor of Worth Magazine (2004-2005) and held a variety of positions at Neuberger Berman Group, LLC (financial services, 1986-2004), including Partner and Executive Vice President and Global Head of Private Asset Management at Neuberger Berman (1999-2004). Ms. Steiger also served as a member of the Board of Directors of Nuclear Electric Insurance Ltd (insurer of nuclear utilities, 2006-2017), a member of the Board of Trustees and Audit Committee of the Eaton Vance Funds (2007-2010), a member of the Board of Directors of Aviva USA (formerly AmerUs) (insurance, 2004-2014), and a member of the Board of Trustees and Audit Committee and Chair of the Investment Committee of CIFG (financial guaranty insurance, 2009-2012), and a member of the Board of Directors of Kin Group Plc (formerly, Fitbug Holdings) (health and technology, 2016-2017).
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Advisory Board Members and Officers:
Correspondence intended for a Member of the Advisory Board (if any) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235. Correspondence intended for an officer or Howard E. Cox, Jr. may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210. Officers appear below in alphabetical order.
Name, Year of Birth; Principal Occupation
Ralph F. Cox (1932)
Year of Election or Appointment: 2020
Member of the Advisory Board
Mr. Cox also serves as a Member of the Advisory Board of other funds. Mr. Cox is President of RABAR Enterprises (management consulting for the petroleum industry). Mr. Cox is a Director of Abraxas Petroleum (exploration and production, 1999-present). Mr. Cox is a member of the Advisory Boards of the Business and Engineering Schools of Texas A&M University and the Engineering School of University of Texas at Austin. Previously, Mr. Cox served as Trustee of other funds (2006-2020), a Trustee for the Fidelity Rutland Square Trust (2005-2010) and as an Advisory Director of CH2M Hill Companies (engineering, 1981-2011). Mr. Ralph F. Cox and Mr. Howard E. Cox, Jr. are not related.
Howard E. Cox, Jr. (1944)
Year of Election or Appointment: 2009
Member of the Advisory Board
Mr. Cox also serves as a Member of the Advisory Board of other funds. Mr. Cox is a Partner of Greylock (venture capital, 1971-present) and a Director of Stryker Corporation (medical products and services, 1974-present). Previously, Mr. Cox served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010). Mr. Cox also serves as a Member of the Secretary of Defense's Business Board of Directors (2008-present), a Director of Business Executives for National Security (1997-present), a Director of the Brookings Institution (2010-present), a Director of the World Economic Forum’s Young Global Leaders Foundation (2009-present), and is a Member of the Harvard Medical School Board of Fellows (2002-present). Mr. Howard E. Cox, Jr. and Mr. Ralph F. Cox are not related.
Christine Marcks (1955)
Year of Election or Appointment: 2019
Member of the Advisory Board
Ms. Marcks also serves as a Member of the Advisory Board of other Funds. Prior to her retirement, Ms. Marcks served as Chief Executive Officer and President – Prudential Retirement (2007-2017) and Vice President for Rollover and Retirement Income Strategies (2005-2007), Prudential Financial, Inc. (financial services). Previously, Ms. Marcks was Senior Vice President and Head of Financial Horizons (2002-2004) and Vice President, Strategic Marketing (2000-2002) of Voya Financial (formerly ING U.S.) (financial services), held numerous positions at Aetna Financial Services (financial services, 1987-2000) and served as an International Economist for the United States Department of the Treasury (1980-1987). Ms. Marcks also serves as a member of the Board of Trustees, Audit Committee and Benefits & Operations Committee of the YMCA Retirement Fund (2018-present), a non-profit organization providing retirement plan benefits to YMCA staff members, and as a member of the Board of Trustees of Assumption College (2019-present).
Elizabeth Paige Baumann (1968)
Year of Election or Appointment: 2017
Anti-Money Laundering (AML) Officer
Ms. Baumann also serves as AML Officer of other funds. She is Chief AML Officer (2012-present) and Senior Vice President (2014-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments. Previously, Ms. Baumann served as AML Officer of certain funds (2017-2019), as AML Officer of the funds (2012-2016), and Vice President (2007-2014) and Deputy Anti-Money Laundering Officer (2007-2012) of FMR LLC.
Craig S. Brown (1977)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Brown also serves as Assistant Treasurer of other funds. Mr. Brown is an employee of Fidelity Investments (2013-present).
John J. Burke III (1964)
Year of Election or Appointment: 2018
Chief Financial Officer
Mr. Burke also serves as Chief Financial Officer of other funds. Mr. Burke serves as Head of Investment Operations for Fidelity Fund and Investment Operations (2018-present) and is an employee of Fidelity Investments (1998-present). Previously Mr. Burke served as head of Asset Management Investment Operations (2012-2018).
Jonathan Davis (1968)
Year of Election or Appointment: 2010
Assistant Treasurer
Mr. Davis also serves as Assistant Treasurer of other funds. Mr. Davis serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments. Previously, Mr. Davis served as Vice President and Associate General Counsel of FMR LLC (diversified financial services company, 2003-2010).
Laura M. Del Prato (1964)
Year of Election or Appointment: 2018
Assistant Treasurer
Ms. Del Prato also serves as an officer of other funds. Ms. Del Prato is an employee of Fidelity Investments (2017-present). Prior to joining Fidelity Investments, Ms. Del Prato served as a Managing Director and Treasurer of the JPMorgan Mutual Funds (2014-2017). Prior to JPMorgan, Ms. Del Prato served as a partner at Cohen Fund Audit Services (accounting firm, 2012-2013) and KPMG LLP (accounting firm, 2004-2012).
James D. Gryglewicz (1972)
Year of Election or Appointment: 2015
Chief Compliance Officer
Mr. Gryglewicz also serves as Chief Compliance Officer of other funds. Mr. Gryglewicz serves as Compliance Officer of Strategic Advisers LLC (investment adviser firm, 2015-present), Senior Vice President of Asset Management Compliance (2009-present), and is an employee of Fidelity Investments (2004-present). Previously, Mr. Gryglewicz served as Compliance Officer of Fidelity SelectCo, LLC (investment adviser firm, 2014-2019), and as Chief Compliance Officer of certain Fidelity® funds (2014-2018).
Colm A. Hogan (1973)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Hogan also serves as an officer of other funds. Mr. Hogan serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2005-present). Previously, Mr. Hogan served as Deputy Treasurer of certain Fidelity® funds (2016-2020) and Assistant Treasurer of certain Fidelity® funds (2016-2018). Mr. Colm A. Hogan is not related to Mr. Brian B. Hogan.
Christina H. Lee (1975)
Year of Election or Appointment: 2020
Secretary and Chief Legal Officer
Ms. Lee also serves as Secretary and CLO of other funds. Ms. Lee serves as Vice President, Associate General Counsel (2014-present) and is an employee of Fidelity Investments (2007-present). Previously, Ms. Lee served as Assistant Secretary of certain funds (2018-2019).
Cynthia Lo Bessette (1969)
Year of Election or Appointment: 2020
Assistant Secretary
Ms. Lo Bessette also serves as an officer of other funds. Ms. Lo Bessette serves as CLO, Secretary, and Senior Vice President of Fidelity Management & Research Company LLC (investment adviser firm, 2019-present); and CLO of Fidelity Management & Research (Hong Kong) Limited, FMR Investment Management (UK) Limited, and Fidelity Management & Research (Japan) Limited (investment adviser firms, 2019-present). She is a Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company, 2019-present), and is an employee of Fidelity Investments. Previously, Ms. Lo Bessette served as CLO, Secretary, and Senior Vice President of FMR Co., Inc. (investment adviser firm, 2019); Secretary of Fidelity SelectCo, LLC and Fidelity Investments Money Management, Inc. (investment adviser firms, 2019). Prior to joining Fidelity Investments, Ms. Lo Bessette was Executive Vice President, General Counsel (2016-2019) and Senior Vice President, Deputy General Counsel (2015-2016) of OppenheimerFunds (investment management company) and Deputy Chief Legal Officer (2013-2015) of Jennison Associates LLC (investment adviser firm).
Chris Maher (1972)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Maher also serves as an officer of other funds. Mr. Maher serves as Assistant Treasurer of FMR Capital, Inc. (2017-present), and is an employee of Fidelity Investments (2008-present). Previously, Mr. Maher served as Assistant Treasurer of certain funds (2013-2020); Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010).
Stacie M. Smith (1974)
Year of Election or Appointment: 2020
President and Treasurer
Ms. Smith also serves as an officer of other funds. Ms. Smith serves as Assistant Treasurer of FMR Capital, Inc. (2017-present), is an employee of Fidelity Investments (2009-present), and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (accounting firm, 1996-2009). Previously, Ms. Smith served as Assistant Treasurer (2013-2019) and Deputy Treasurer (2013-2016) of certain Fidelity® funds.
Marc L. Spector (1972)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Spector also serves as an officer of other funds. Mr. Spector serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2016-present). Prior to joining Fidelity Investments, Mr. Spector served as Director at the Siegfried Group (accounting firm, 2013-2016), and prior to Siegfried Group as audit senior manager at Deloitte & Touche LLP (accounting firm, 2005-2013).
Jim Wegmann (1979)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Wegmann also serves as Assistant Treasurer of other funds. Mr. Wegmann is an employee of Fidelity Investments (2011-present).
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (December 1, 2019 to May 31, 2020).
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the underlying mutual funds (the Underlying Funds), the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's 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 Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's 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. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the Underlying Funds, the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
Annualized Expense Ratio-A | Beginning Account Value December 1, 2019 | Ending Account Value May 31, 2020 | Expenses Paid During Period-B December 1, 2019 to May 31, 2020 | |
Actual | .11% | $1,000.00 | $1,099.40 | $.58 |
Hypothetical-C | $1,000.00 | $1,024.45 | $.56 |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period). The fees and expenses of the Underlying Funds in which the Fund invests are not included in the Fund's annualized expense ratio.
C 5% return per year before expenses
Distributions (Unaudited)
The fund hereby designates as a capital gain dividend with respect to the taxable year ended May 31, 2020, $1,012,798,471, or, if subsequently determined to be different, the net capital gain of such year.
The fund designates 90% and 100% of the dividends distributed in July and December, respectively during the fiscal year as qualifying for the dividends–received deduction for corporate shareholders.
The fund designates 100% of the dividends distributed during the fiscal year as amounts which may be taken into account as a dividend for the purposes of the maximum rate under section 1(h)(11) of the Internal Revenue Code.
The fund will notify shareholders in January 2021 of amounts for use in preparing 2020 income tax returns.
Board Approval of Investment Advisory Contracts and Management Fees
Strategic Advisers Growth Fund
At its March 2020 meeting, the Board of Trustees, including the Independent Trustees (together, the Board) voted at an in-person meeting to approve an investment sub-advisory agreement (the Sub-Advisory Agreement) among Strategic Advisers LLC (Strategic Advisers), ClearBridge Investments, LLC (ClearBridge), and Fidelity Rutland Square Trust II, on behalf of the fund.The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, considered a broad range of information it believed relevant to the approval of the Sub-Advisory Agreement.In considering whether to approve the Sub-Advisory Agreement, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the approval of the 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 the 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 the 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 current sub-adviser lineup. The Board also considered the structure of ClearBridge's portfolio manager compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund.Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of ClearBridge's investment staff, their use of technology, and ClearBridge's approach to managing and compensating its investment personnel. The Board noted that ClearBridge'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 ClearBridge's 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 advisory services to be performed by ClearBridge under the Sub-Advisory Agreement and (ii) the resources to be devoted to the fund's compliance policies and procedures.Investment Performance. The Board also considered the historical investment performance of ClearBridge and the portfolio managers in managing accounts under a similar investment mandate.Based on its review, the Board concluded that the nature, extent, and quality of services that will be provided to the fund under the Sub-Advisory Agreement should benefit the fund's shareholders.Competitiveness of Management Fee and Total Fund Expenses. In reviewing the Sub-Advisory Agreement, 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 ClearBridge and the projected change in the fund's management fee and total operating expenses, if any, as a result of hiring ClearBridge.The Board noted that the fund's maximum aggregate annual management fee rate may not exceed 0.95% of the fund's average daily net assets and that the Sub-Advisory Agreement will not result in a change 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 0.25% portion of the fund's management fee through September 30, 2022. The Board also considered that after allocating assets to ClearBridge, the fund's management fee and total net expenses are expected to increase, but will continue to rank below the competitive peer group medians presented to the Board in the June 2019 management contract renewal materials.Based on its review, the Board concluded that the fund's management fee structure and any changes to projected total expenses bear a reasonable relationship to the services that the fund and its shareholders will receive and the other factors considered.Because the 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 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 the fund's sub-advisers, if any, as a result of their respective relationships with the fund, during its annual renewal of the fund's advisory agreement with Strategic Advisers and the fund's sub-advisory agreements. With respect to ClearBridge, the Board considered management's representation that it does not anticipate that the hiring of ClearBridge will have a significant impact on the potential for 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 advisory agreement with Strategic Advisers and the fund's sub-advisory agreements. The Board noted that the Sub-Advisory Agreement provides for breakpoints that reduce sub-advisory fees paid to ClearBridge as assets allocated to ClearBridge achieve certain levels.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 Sub-Advisory Agreement's fee structure bears a reasonable relationship to the services to be rendered and that the Sub-Advisory Agreement should be approved because the Sub-Advisory Agreement is in the best interests of the fund and its shareholders. The Board also concluded that the sub-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 the Sub-Advisory Agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.Liquidity Risk Management Program
The Securities and Exchange Commission adopted Rule 22e-4 under the Investment Company Act of 1940 (the Liquidity Rule) to promote effective liquidity risk management throughout the open-end investment company industry, thereby reducing the risk that funds will be unable to meet their redemption obligations and mitigating dilution of the interests of fund shareholders.
The Fund has adopted and implemented a liquidity risk management program (the Program) reasonably designed to assess and manage the Fund’s liquidity risk and to comply with the requirements of the Liquidity Rule. The Fund’s Board of Trustees (the Board) has designated the Fund’s investment adviser as administrator of the Program. Strategic Advisers has established a Liquidity Risk Management Committee (the LRM Committee) to manage the Program for each of the Funds. The LRM Committee monitors the adequacy and effectiveness of implementation of the Program and on a periodic basis assesses each Fund’s liquidity risk based on a variety of factors including (1) the Fund’s investment strategy, (2) portfolio liquidity and cash flow projections during normal and reasonably foreseeable stressed conditions, (3) shareholder redemptions and (4) borrowings and other funding sources, as applicable.
In accordance with the Program, each of the Fund’s portfolio investments is classified into one of four liquidity categories described below based on a determination of a reasonable expectation for how long it would take to convert the investment to cash (or sell or dispose of the investment) without significantly changing its market value.
- Highly liquid investments – cash or convertible to cash within three business days or less
- Moderately liquid investments – convertible to cash in three to seven calendar days
- Less liquid investments – can be sold or disposed of, but not settled, within seven calendar days
- Illiquid investments – cannot be sold or disposed of within seven calendar days
Liquidity classification determinations take into account a variety of factors including various market, trading and investment-specific considerations, as well as market depth, and generally utilize analysis from a third-party liquidity metrics service.
The Liquidity Rule places a 15% limit on a fund’s illiquid investments and requires funds that do not primarily hold assets that are highly liquid investments to determine and maintain a minimum percentage of the fund’s net assets to be invested in highly liquid investments (highly liquid investment minimum or HLIM). The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments and for determining, periodically reviewing and complying with the HLIM requirement as applicable.
At a recent meeting of the Fund’s Board of Trustees, the LRM Committee provided a written report to the Board pertaining to the operation, adequacy, and effectiveness of implementation of the Program for the annual period from December 1, 2018 through November 30, 2019. The report concluded that the Program has been implemented and is operating effectively and is reasonably designed to assess and manage the Fund’s liquidity risk.
SGF-ANN-0720
1.907404.111
Strategic Advisers® Fidelity® Emerging Markets Fund
Offered exclusively to certain clients of Strategic Advisers LLC - not available for sale to the general public
May 31, 2020
See the inside front cover for important information about access to your fund’s shareholder reports.
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of a fund’s shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the fund or from your financial intermediary, such as a financial advisor, broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from a fund electronically, by contacting your financial intermediary. For Fidelity customers, visit Fidelity's web site or call Fidelity using the contact information listed below.
You may elect to receive all future reports in paper free of charge. If you wish to continue receiving paper copies of your shareholder reports, you may contact your financial intermediary or, if you are a Fidelity customer, visit Fidelity’s website, or call Fidelity at the applicable toll-free number listed below. Your election to receive reports in paper will apply to all funds held with the fund complex/your financial intermediary.
Account Type | Website | Phone Number |
Brokerage, Mutual Fund, or Annuity Contracts: | fidelity.com/mailpreferences | 1-800-343-3548 |
Employer Provided Retirement Accounts: | netbenefits.fidelity.com/preferences (choose 'no' under Required Disclosures to continue to print) | 1-800-343-0860 |
Advisor Sold Accounts Serviced Through Your Financial Intermediary: | Contact Your Financial Intermediary | Your Financial Intermediary's phone number |
Advisor Sold Accounts Serviced by Fidelity: | institutional.fidelity.com | 1-877-208-0098 |
Contents
To view a fund's proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
You may also call 1-800-544-3455 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2020 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
Note to Shareholders:
Early in 2020, the outbreak and spread of a new coronavirus emerged as a public health emergency that had a major influence on financial markets, primarily based on its impact on the global economy and the outlook for corporate earnings. The virus causes a respiratory disease known as COVID-19. On March 11, the World Health Organization declared the COVID-19 outbreak a pandemic, citing sustained risk of further global spread.
In the weeks following, as the crisis worsened, we witnessed an escalating human tragedy with wide-scale social and economic consequences from coronavirus-containment measures. The outbreak of COVID-19 prompted a number of measures to limit the spread, including travel and border restrictions, quarantines, and restrictions on large gatherings. In turn, these resulted in lower consumer activity, diminished demand for a wide range of products and services, disruption in manufacturing and supply chains, and – given the wide variability in outcomes regarding the outbreak – significant market uncertainty and volatility. Amid the turmoil, 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.
The situation continues to unfold, and the extent and duration of its impact on financial markets and the economy remain highly uncertain. Extreme events such as the coronavirus crisis are “exogenous shocks” that can have significant adverse effects on mutual funds and their investments. Although multiple asset classes may be affected by market disruption, the duration and impact may not be the same for all types of assets.
Fidelity is committed to helping you stay informed amid news about COVID-19 and during increased market volatility, and we’re taking extra steps to be responsive to customer needs. We encourage you to visit our websites, where we offer ongoing updates, commentary, and analysis on the markets and our funds.
Performance: The Bottom Line
Average annual total return reflects the change in the value of an investment, assuming reinvestment of distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year. The hypothetical investment and the average annual total returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund’s total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.
Average Annual Total Returns
For the periods ended May 31, 2020 | Past 1 year | Life of fundA |
Strategic Advisers® Fidelity® Emerging Markets Fund | (1.58)% | 4.30% |
A From October 30, 2018
$10,000 Over Life of Fund
Let's say hypothetically that $10,000 was invested in Strategic Advisers® Fidelity® Emerging Markets Fund on October 30, 2018, when the fund started.
The chart shows how the value of your investment would have changed, and also shows how the MSCI Emerging Markets Index performed over the same period.
Period Ending Values | ||
$10,691 | Strategic Advisers® Fidelity® Emerging Markets Fund | |
$10,305 | MSCI Emerging Markets Index |
Management's Discussion of Fund Performance
Market Recap: Emerging-markets stocks returned -4.37% for the 12 months ending May 31, 2020, as measured by the MSCI Emerging Markets Index, lagging international developed-market equities, in U.S.-dollar terms. Emerging-markets equities gained 7.11% in the second half of 2019, ending the year with a particularly strong December (+7.48%). However, the early-2020 outbreak and spread of a novel coronavirus sent emerging-markets stocks tumbling, along with other equity markets around the world, in late February. Declared a pandemic on March 11, the COVID-19 crisis and containment efforts caused broad contraction in economic activity, along with extreme uncertainty, volatility and dislocation in financial markets. The index returned -23.59% for the first quarter of 2020, before rebounding in April with a 9.16% gain, due in part to expansive fiscal- and monetary-policy efforts around the world to partially offset the economic disruption. Currency fluctuation had a meaningful drag on emerging-markets stocks, as the U.S. dollar strengthened versus most emerging-markets currencies. Among notable country components within the index, Brazil (-34%), South Africa (-27%) and Indonesia (-25%) were hit hard. Conversely, China (+12%), where the coronavirus outbreak originated, rebounded before period end, due largely to the country’s significant containment efforts. Taiwan (+19%) and Russia (-2%) also held up relatively well. By sector, financials (-24%) and energy (-21%) fared worst, whereas information technology (+22%), health care (+18%) and consumer discretionary (+15%) led the way.Comments from Co-Portfolio Managers Wilfred Chilangwa and Antonio Martinez: For the fiscal year, the Fund returned -1.58%, outpacing the -4.37% result of the benchmark MSCI Emerging Markets (EM) Index. The portfolio benefited from an emphasis on growth strategies, as growth stocks outpaced their value counterparts during the period. Stylistic tilts toward company quality and momentum also helped. Fidelity® Emerging Markets Fund (+9%) outpaced the benchmark by an outsized margin and was the top relative contributor. This fund’s strategy incorporates elements of both GARP (growth at a reasonable price) and earnings momentum. It had broadly positive security selection the past 12 months, led by picks in the information technology and consumer-related sectors. A substantial amount of this fund’s top stock picks occurred in China. Three additional strategies contributed roughly equally versus the benchmark: Select Emerging Markets Equity (+0.2%) and Concentrated Emerging Markets (+1%) from sub-adviser FIAM®, and Global Emerging Markets (+1%) from sub-adviser FIL®. All three benefited from strong investment choices within China, South Africa and Taiwan. On the downside, Fidelity® SAI® Emerging Markets Low Volatility Index Fund (-10%) was the primary relative detractor, due to underweighted exposure to China, along with adverse selection effects among consumer discretionary, technology and communication services stocks. The Emerging Markets All Cap mandate from FIAM also dampened the Fund's relative performance. We eliminated this strategy in February 2020 due to a portfolio manager change. Other positioning shifts in the Fund included the introduction of two value-oriented exchange-traded funds: Invesco FTSE RAFI Emerging Markets and Schwab Fundamental Emerging Markets Large Company Index. These were added to provide a measure of balance to the Fund's growth emphasis. We also added Fidelity SAI Emerging Markets Value Index Fund for the same purpose.The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
Investment Summary (Unaudited)
The information in the following tables is based on the direct investments of the Fund.Top Ten Holdings as of May 31, 2020
% of fund's net assets | |
Fidelity SAI Emerging Markets Index Fund | 28.3 |
Fidelity Emerging Markets Fund | 11.3 |
Fidelity SAI Emerging Markets Low Volatility Index Fund | 5.6 |
Tencent Holdings Ltd. | 2.9 |
Alibaba Group Holding Ltd. sponsored ADR | 2.9 |
Schwab Fundamental Emerging Markets Large Co. Index ETF | 2.3 |
Taiwan Semiconductor Manufacturing Co. Ltd. | 1.9 |
Samsung Electronics Co. Ltd. | 1.8 |
Invesco FTSE RAFI Emerging Markets ETF | 1.1 |
Naspers Ltd. Class N | 0.9 |
59.0 |
Asset Allocation (% of fund's net assets)
As of May 31, 2020 | ||
Common Stocks | 39.6% | |
Preferred Stocks | 0.9% | |
Diversifed Emerging Markets Funds | 45.2% | |
Emerging Markets Equity Funds | 0.7% | |
Investment Companies | 3.4% | |
Short-Term Investments and Net Other Assets (Liabilities) | 10.2% |
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 May 31, 2020
Showing Percentage of Net Assets
Common Stocks - 39.6% | |||
Shares | Value | ||
COMMUNICATION SERVICES - 4.3% | |||
Diversified Telecommunication Services - 0.1% | |||
China Tower Corp. Ltd. (H Shares) (a) | 4,802,000 | $975,284 | |
HKBN Ltd. | 359,000 | 616,522 | |
PT Telekomunikasi Indonesia Tbk Series B | 9,382,000 | 2,024,596 | |
3,616,402 | |||
Entertainment - 0.7% | |||
Bilibili, Inc. ADR (b) | 134,105 | 4,349,025 | |
CD Projekt RED SA | 49,755 | 5,008,930 | |
HUYA, Inc. ADR (b)(c) | 57,119 | 886,487 | |
International Games Systems Co. Ltd. | 108,000 | 2,018,085 | |
NetEase, Inc. ADR | 10,858 | 4,157,528 | |
Nexon Co. Ltd. | 195,100 | 4,063,189 | |
20,483,244 | |||
Interactive Media & Services - 3.2% | |||
Baidu.com, Inc. sponsored ADR (b) | 11,511 | 1,226,497 | |
Tencent Holdings Ltd. | 1,575,700 | 85,333,402 | |
Yandex NV Series A (b) | 230,140 | 9,258,532 | |
95,818,431 | |||
Wireless Telecommunication Services - 0.3% | |||
America Movil S.A.B. de CV: | |||
Series L | 373,500 | 249,455 | |
Series L sponsored ADR | 75,275 | 998,147 | |
Bharti Airtel Ltd. (b) | 703,081 | 5,138,847 | |
China Mobile Ltd. | 466,000 | 3,294,966 | |
9,681,415 | |||
TOTAL COMMUNICATION SERVICES | 129,599,492 | ||
CONSUMER DISCRETIONARY - 7.8% | |||
Automobiles - 0.1% | |||
Great Wall Motor Co. Ltd. (H Shares) | 373,500 | 237,871 | |
Hyundai Motor Co. | 15,188 | 1,207,989 | |
1,445,860 | |||
Diversified Consumer Services - 0.3% | |||
New Oriental Education & Technology Group, Inc. sponsored ADR (b) | 54,393 | 6,524,984 | |
TAL Education Group ADR (b) | 30,147 | 1,702,100 | |
8,227,084 | |||
Hotels, Restaurants & Leisure - 0.2% | |||
Haidilao International Holding Ltd. (a) | 29,000 | 141,071 | |
Sands China Ltd. | 56,400 | 221,544 | |
Shangri-La Asia Ltd. | 3,946,000 | 3,395,808 | |
Yum China Holdings, Inc. | 42,902 | 1,988,079 | |
5,746,502 | |||
Household Durables - 0.9% | |||
Haier Electronics Group Co. Ltd. | 1,645,000 | 4,605,804 | |
Haier Smart Home Co. Ltd. (A Shares) | 4,395,666 | 10,192,759 | |
Midea Group Co. Ltd. (A Shares) | 1,401,600 | 11,590,239 | |
26,388,802 | |||
Internet & Direct Marketing Retail - 4.8% | |||
Alibaba Group Holding Ltd. | 7,100 | 183,584 | |
Alibaba Group Holding Ltd. sponsored ADR (b) | 408,957 | 84,813,592 | |
Baozun, Inc. sponsored ADR (b)(c) | 17,567 | 465,350 | |
Ctrip.com International Ltd. ADR (b) | 2,280 | 60,580 | |
JD.com, Inc. sponsored ADR (b) | 269,988 | 14,668,448 | |
MakeMyTrip Ltd. (b) | 66,059 | 1,023,254 | |
Meituan Dianping Class B (b) | 514,000 | 9,789,668 | |
Naspers Ltd. Class N | 160,554 | 26,137,066 | |
Pinduoduo, Inc. ADR (b) | 90,600 | 6,058,422 | |
143,199,964 | |||
Leisure Products - 0.0% | |||
Goodbaby International Holdings Ltd. (b) | 794,000 | 64,886 | |
Specialty Retail - 0.4% | |||
Zhongsheng Group Holdings Ltd. Class H | 2,342,000 | 12,117,102 | |
Textiles, Apparel & Luxury Goods - 1.1% | |||
adidas AG | 26,000 | 6,895,395 | |
Anta Sports Products Ltd. | 1,714,000 | 15,360,910 | |
Best Pacific International Holdings Ltd. | 2,643,000 | 408,979 | |
Li Ning Co. Ltd. | 2,726,500 | 9,236,677 | |
Regina Miracle International Holdings Ltd. (a) | 227,000 | 71,669 | |
Shenzhou International Group Holdings Ltd. | 157,200 | 1,891,653 | |
33,865,283 | |||
TOTAL CONSUMER DISCRETIONARY | 231,055,483 | ||
CONSUMER STAPLES - 3.5% | |||
Beverages - 1.4% | |||
China Resources Beer Holdings Co. Ltd. | 2,186,000 | 11,657,114 | |
Fomento Economico Mexicano S.A.B. de CV unit | 181,000 | 1,224,053 | |
Kweichow Moutai Co. Ltd. (A Shares) | 103,362 | 19,791,167 | |
Shanghai Bairun Investment Holding Group Co. Ltd. (A Shares) | 713,600 | 4,737,170 | |
Thai Beverage PCL | 8,191,300 | 3,652,689 | |
Tsingtao Brewery Co. Ltd. (H Shares) | 302,000 | 2,101,773 | |
43,163,966 | |||
Food & Staples Retailing - 0.9% | |||
C.P. ALL PCL (For. Reg.) | 2,616,500 | 5,798,908 | |
Dairy Farm International Holdings Ltd. | 29,700 | 125,334 | |
President Chain Store Corp. | 72,000 | 709,934 | |
Sun Art Retail Group Ltd. | 4,191,000 | 6,451,133 | |
Wal-Mart de Mexico SA de CV Series V | 4,764,900 | 11,893,716 | |
X5 Retail Group NV GDR (Reg. S) | 39,453 | 1,158,340 | |
26,137,365 | |||
Food Products - 0.9% | |||
Angel Yeast Co. Ltd. (A Shares) | 91,900 | 544,402 | |
China Mengniu Dairy Co. Ltd. | 3,901,000 | 14,070,014 | |
Delfi Ltd. | 603,300 | 341,619 | |
Gruma S.A.B. de CV Series B | 314,600 | 3,122,378 | |
Inner Mongoli Yili Industries Co. Ltd. (A Shares) | 734,767 | 2,928,876 | |
Unified-President Enterprises Corp. | 1,766,201 | 4,290,415 | |
WH Group Ltd. (a) | 134,000 | 116,573 | |
25,414,277 | |||
Household Products - 0.2% | |||
C&S Paper Co. Ltd. (A Shares) | 1,617,500 | 4,586,949 | |
Personal Products - 0.1% | |||
Hengan International Group Co. Ltd. | 89,500 | 737,039 | |
Natura & Co. Holding SA | 484,300 | 3,374,299 | |
4,111,338 | |||
TOTAL CONSUMER STAPLES | 103,413,895 | ||
ENERGY - 1.6% | |||
Energy Equipment & Services - 0.2% | |||
China Oilfield Services Ltd. (H Shares) | 3,186,000 | 2,789,376 | |
SPT Energy Group, Inc. (b) | 166,000 | 6,808 | |
Yantai Jereh Oilfield Services (A Shares) | 504,800 | 1,802,137 | |
4,598,321 | |||
Oil, Gas & Consumable Fuels - 1.4% | |||
China Shenhua Energy Co. Ltd. (H Shares) | 126,000 | 230,795 | |
CNOOC Ltd. | 2,056,000 | 2,348,901 | |
CNOOC Ltd. sponsored ADR | 38,982 | 4,448,626 | |
Lukoil PJSC | 81,430 | 6,124,970 | |
Lukoil PJSC | 1,483 | 110,525 | |
Lukoil PJSC sponsored ADR | 87,613 | 6,504,389 | |
NOVATEK OAO GDR (Reg. S) | 10,885 | 1,575,060 | |
PetroChina Co. Ltd. (H Shares) | 1,068,000 | 368,452 | |
Petroleo Brasileiro SA - Petrobras (ON) | 1,371,600 | 5,356,547 | |
Pilipinas Shell Petroleum Corp. | 3,083,800 | 1,046,060 | |
Reliance Industries Ltd. | 711,471 | 13,780,545 | |
Reliance Industries Ltd. rights (b) | 50,414 | 148,031 | |
42,042,901 | |||
TOTAL ENERGY | 46,641,222 | ||
FINANCIALS - 7.6% | |||
Banks - 5.2% | |||
Absa Group Ltd. | 467,283 | 2,172,914 | |
Axis Bank Ltd. | 627,573 | 3,195,347 | |
Banco do Brasil SA | 550,500 | 3,181,497 | |
Bancolombia SA sponsored ADR | 54,090 | 1,398,767 | |
Bank of China Ltd. (H Shares) | 6,800,000 | 2,499,557 | |
Capitec Bank Holdings Ltd. | 15,918 | 772,100 | |
China Construction Bank Corp. (H Shares) | 11,483,000 | 9,056,566 | |
China Merchants Bank Co. Ltd. (H Shares) | 3,068,500 | 14,458,960 | |
Credicorp Ltd. | 5,050 | 691,850 | |
Credicorp Ltd. (United States) | 15,070 | 2,076,947 | |
E.SUN Financial Holdings Co. Ltd. | 4,091,779 | 3,638,624 | |
Emirates NBD Bank PJSC | 976,161 | 2,296,130 | |
Grupo Financiero Banorte S.A.B. de CV Series O | 3,996,845 | 12,121,483 | |
Guaranty Trust Bank PLC | 5,116,748 | 317,662 | |
Guaranty Trust Bank PLC GDR (Reg. S) | 104,407 | 292,340 | |
Hana Financial Group, Inc. | 79,798 | 1,926,706 | |
HDFC Bank Ltd. | 335,312 | 4,246,405 | |
HDFC Bank Ltd. sponsored ADR | 357,919 | 14,971,752 | |
ICICI Bank Ltd. | 730,439 | 3,196,974 | |
Industrial & Commercial Bank of China Ltd. (H Shares) | 29,167,000 | 18,891,987 | |
Kasikornbank PCL (For. Reg.) | 328,200 | 1,008,713 | |
KB Financial Group, Inc. | 164,535 | 4,513,301 | |
Kotak Mahindra Bank Ltd. | 116,914 | 1,892,768 | |
Mega Financial Holding Co. Ltd. | 380,000 | 389,903 | |
National Bank of Abu Dhabi PJSC (b) | 848,214 | 2,558,624 | |
OTP Bank PLC | 123,091 | 4,082,187 | |
PT Bank Central Asia Tbk | 5,976,886 | 10,616,030 | |
PT Bank Mandiri (Persero) Tbk | 12,664,700 | 3,891,908 | |
PT Bank Rakyat Indonesia Tbk | 10,359,700 | 2,097,681 | |
Qatar National Bank SAQ (b) | 357,368 | 1,735,311 | |
Sberbank of Russia | 2,213,986 | 6,362,706 | |
Sberbank of Russia sponsored ADR | 429,549 | 4,853,904 | |
Shinhan Financial Group Co. Ltd. | 330,620 | 8,122,287 | |
TCS Group Holding PLC GDR | 65,745 | 1,141,333 | |
154,671,224 | |||
Capital Markets - 0.3% | |||
BM&F BOVESPA SA | 683,500 | 5,834,272 | |
CITIC Securities Co. Ltd. (H Shares) | 316,500 | 574,815 | |
Hong Kong Exchanges and Clearing Ltd. | 9,700 | 341,376 | |
Huatai Securities Co. Ltd. (H Shares) (a) | 417,200 | 658,517 | |
Noah Holdings Ltd. sponsored ADR (b) | 51,054 | 1,354,463 | |
8,763,443 | |||
Consumer Finance - 0.1% | |||
Shriram Transport Finance Co. Ltd. | 386,766 | 2,927,666 | |
Diversified Financial Services - 0.1% | |||
Chailease Holding Co. Ltd. | 1,005,910 | 3,910,325 | |
Insurance - 1.5% | |||
AIA Group Ltd. | 1,844,800 | 15,138,027 | |
China Life Insurance Co. Ltd. (H Shares) | 4,444,000 | 8,421,036 | |
China Pacific Insurance (Group) Co. Ltd. (H Shares) | 576,000 | 1,600,996 | |
HDFC Standard Life Insurance Co. Ltd. (a)(b) | 272,535 | 1,885,991 | |
Hyundai Fire & Marine Insurance Co. Ltd. | 188,563 | 3,711,117 | |
ICICI Lombard General Insurance Co. Ltd. (a) | 151,440 | 2,605,357 | |
Ping An Insurance Group Co. of China Ltd. (H Shares) | 1,001,500 | 9,910,972 | |
43,273,496 | |||
Thrifts & Mortgage Finance - 0.4% | |||
Housing Development Finance Corp. Ltd. | 538,719 | 11,820,395 | |
TOTAL FINANCIALS | 225,366,549 | ||
HEALTH CARE - 1.3% | �� | ||
Biotechnology - 0.4% | |||
Hualan Biological Engineer, Inc. (A Shares) | 1,005,708 | 5,802,663 | |
Innovent Biologics, Inc. (a)(b) | 984,500 | 5,406,360 | |
11,209,023 | |||
Health Care Equipment & Supplies - 0.1% | |||
Peijia Medical Ltd. (a)(b) | 67,000 | 220,427 | |
Shenzhen Mindray Bio-Medical Electronics Co. Ltd. (A Shares) | 105,200 | 4,109,392 | |
4,329,819 | |||
Health Care Providers & Services - 0.0% | |||
Aier Eye Hospital Group Co. Ltd. (A Shares) | 32,409 | 177,819 | |
Aster DM Healthcare Ltd. (a)(b) | 1,192 | 1,415 | |
179,234 | |||
Life Sciences Tools & Services - 0.0% | |||
Pharmaron Beijing Co. Ltd. (H Shares) (a) | 56,900 | 465,231 | |
WuXi AppTec Co. Ltd. (H Shares) (a) | 38,080 | 405,031 | |
Wuxi Biologics (Cayman), Inc. (a)(b) | 41,000 | 647,462 | |
1,517,724 | |||
Pharmaceuticals - 0.8% | |||
CSPC Pharmaceutical Group Ltd. | 750,000 | 1,478,470 | |
Hansoh Pharmaceutical Group Co. Ltd. (a) | 992,000 | 4,334,759 | |
Jiangsu Hengrui Medicine Co. Ltd. (A Shares) | 47,616 | 525,045 | |
Lijun International Pharmaceutical Holding Ltd. | 278,000 | 171,385 | |
Richter Gedeon PLC | 575,700 | 12,538,085 | |
Sino Biopharmaceutical Ltd. | 1,347,000 | 2,128,438 | |
Yunnan Baiyao Group Co. Ltd. (A Shares) | 126,400 | 1,561,659 | |
22,737,841 | |||
TOTAL HEALTH CARE | 39,973,641 | ||
INDUSTRIALS - 2.4% | |||
Aerospace & Defense - 0.3% | |||
Elbit Systems Ltd. (Israel) | 57,565 | 7,999,920 | |
Airlines - 0.0% | |||
Azul SA sponsored ADR (b) | 27,367 | 218,389 | |
Wizz Air Holdings PLC (a)(b) | 1,688 | 68,378 | |
286,767 | |||
Construction & Engineering - 0.2% | |||
China Railway Construction Corp. Ltd. (H Shares) | 1,077,500 | 967,472 | |
Larsen & Toubro Ltd. | 489,602 | 6,037,054 | |
Sinopec Engineering Group Co. Ltd. (H Shares) | 301,000 | 126,569 | |
7,131,095 | |||
Electrical Equipment - 0.1% | |||
Voltronic Power Technology Corp. | 68,062 | 1,739,647 | |
Zhuzhou CRRC Times Electric Co. Ltd. (H Shares) | 119,900 | 311,983 | |
2,051,630 | |||
Machinery - 1.2% | |||
Airtac International Group | 394,000 | 6,770,663 | |
Estun Automation Co. Ltd. (A Shares) | 271,190 | 377,684 | |
HIWIN Technologies Corp. | 319,180 | 3,264,329 | |
Sany Heavy Industry Co. Ltd. (A Shares) | 2,699,306 | 6,932,401 | |
Shenzhen Inovance Technology Co. Ltd. (A Shares) | 1,993,600 | 9,589,168 | |
Techtronic Industries Co. Ltd. | 461,000 | 4,021,712 | |
TK Group Holdings Ltd. | 2,552,000 | 764,416 | |
Weichai Power Co. Ltd.: | |||
(A Shares) | 1,490,200 | 2,722,646 | |
(H Shares) | 299,000 | 517,968 | |
Zoomlion Heavy Industry Science and Technology Co. Ltd. (H Shares) | 212,000 | 174,442 | |
35,135,429 | |||
Marine - 0.0% | |||
SITC International Holdings Co. Ltd. | 466,773 | 442,702 | |
Professional Services - 0.2% | |||
Sporton International, Inc. | 656,000 | 4,268,411 | |
Road & Rail - 0.3% | |||
Localiza Rent A Car SA | 623,755 | 4,497,890 | |
Rumo SA (b) | 1,260,300 | 5,321,020 | |
9,818,910 | |||
Transportation Infrastructure - 0.1% | |||
Grupo Aeroportuario Norte S.A.B. de CV | 521,400 | 2,294,917 | |
Shanghai International Airport Co. Ltd. (A Shares) | 139,100 | 1,410,830 | |
3,705,747 | |||
TOTAL INDUSTRIALS | 70,840,611 | ||
INFORMATION TECHNOLOGY - 7.4% | |||
Electronic Equipment & Components - 1.0% | |||
AVIC Jonhon OptronicTechnology Co. Ltd. | 732,450 | 3,588,746 | |
Chaozhou Three-Circle Group Co. (A Shares) | 97,500 | 271,712 | |
China Railway Signal & Communications Corp. (H Shares) (a) | 399,000 | 176,940 | |
Hangzhou Hikvision Digital Technology Co. Ltd. (A Shares) | 43,400 | 167,039 | |
Hollysys Automation Technologies Ltd. | 9,494 | 118,580 | |
Hon Hai Precision Industry Co. Ltd. (Foxconn) | 1,491,000 | 3,771,157 | |
Largan Precision Co. Ltd. | 55,000 | 7,038,106 | |
LG Innotek Co. Ltd. | 35,627 | 4,264,889 | |
Samsung SDI Co. Ltd. | 5,394 | 1,571,599 | |
Sunny Optical Technology Group Co. Ltd. | 213,800 | 2,873,236 | |
Unimicron Technology Corp. | 2,808,000 | 3,757,242 | |
Yageo Corp. | 253,000 | 3,127,782 | |
Zhejiang Dahua Technology Co. Ltd.: | |||
(A Shares) | 6,200 | 12,926 | |
Class A | 49,100 | 102,365 | |
30,842,319 | |||
IT Services - 0.2% | |||
Infosys Ltd. | 145,105 | 1,326,203 | |
Infosys Ltd. sponsored ADR | 681,773 | 6,204,134 | |
7,530,337 | |||
Semiconductors & Semiconductor Equipment - 3.8% | |||
MediaTek, Inc. | 1,313,000 | 20,284,928 | |
Realtek Semiconductor Corp. | 311,000 | 2,682,555 | |
Semiconductor Manufacturing International Corp. (b) | 92,500 | 202,796 | |
SK Hynix, Inc. | 284,837 | 18,840,414 | |
Taiwan Semiconductor Manufacturing Co. Ltd. | 5,819,000 | 56,673,800 | |
Taiwan Semiconductor Manufacturing Co. Ltd. sponsored ADR | 279,346 | 14,059,484 | |
112,743,977 | |||
Software - 0.2% | |||
Globant SA (b) | 31,800 | 4,458,678 | |
Kingsoft Corp. Ltd. | 102,000 | 332,895 | |
4,791,573 | |||
Technology Hardware, Storage & Peripherals - 2.2% | |||
Samsung Electronics Co. Ltd. | 1,302,972 | 53,614,154 | |
Samsung Electronics Co. Ltd. unit | 10,959 | 11,232,975 | |
64,847,129 | |||
TOTAL INFORMATION TECHNOLOGY | 220,755,335 | ||
MATERIALS - 3.0% | |||
Chemicals - 0.5% | |||
LG Chemical Ltd. | 19,987 | 6,334,394 | |
PhosAgro OJSC GDR (Reg. S) | 122,515 | 1,690,707 | |
Sinofert Holdings Ltd. | 1,322,000 | 109,759 | |
Sociedad Quimica y Minera de Chile SA (PN-B) sponsored ADR | 141,579 | 3,450,280 | |
Solar Industries India Ltd. (b) | 262,600 | 3,099,239 | |
14,684,379 | |||
Construction Materials - 0.3% | |||
Anhui Conch Cement Co. Ltd.: | |||
(A Shares) | 61,400 | 488,636 | |
(H Shares) | 50,000 | 377,025 | |
CEMEX S.A.B. de CV sponsored ADR | 2,232,600 | 5,358,240 | |
JK Cement Ltd. | 318,900 | 4,927,860 | |
11,151,761 | |||
Containers & Packaging - 0.0% | |||
Greatview Aseptic Pack Co. Ltd. | 502,148 | 186,065 | |
Metals & Mining - 1.8% | |||
Alrosa Co. Ltd. | 2,394,030 | 2,246,238 | |
AngloGold Ashanti Ltd. | 397,154 | 9,677,772 | |
Grupo Mexico SA de CV Series B | 2,095,791 | 4,487,504 | |
Impala Platinum Holdings Ltd. | 1,484,256 | 9,904,960 | |
MMC Norilsk Nickel PJSC | 11,356 | 3,590,258 | |
MMC Norilsk Nickel PJSC sponsored ADR | 370,663 | 11,612,872 | |
Novolipetsk Steel OJSC GDR (Reg. S) | 35,584 | 683,924 | |
POSCO | 29,815 | 4,408,865 | |
Sibanye Stillwater Ltd. (b) | 900,593 | 1,653,842 | |
Vale SA (b) | 436,500 | 4,335,307 | |
Vale SA sponsored ADR (b) | 74,600 | 728,096 | |
Zijin Mining Group Co. Ltd. (H Shares) | 98,000 | 39,137 | |
53,368,775 | |||
Paper & Forest Products - 0.4% | |||
Suzano Papel e Celulose SA | 1,595,100 | 11,316,921 | |
TOTAL MATERIALS | 90,707,901 | ||
REAL ESTATE - 0.5% | |||
Equity Real Estate Investment Trusts (REITs) - 0.0% | |||
Link (REIT) | 70,000 | 528,618 | |
Real Estate Management & Development - 0.5% | |||
Ayala Land, Inc. | 7,545,700 | 4,784,276 | |
China Overseas Land and Investment Ltd. | 1,574,000 | 4,827,112 | |
China Resources Land Ltd. | 186,000 | 741,733 | |
China Vanke Co. Ltd. (H Shares) | 117,800 | 384,557 | |
Hemisphere Properties India Ltd. (b)(d) | 372,400 | 796,962 | |
Longfor Properties Co. Ltd. (a) | 414,500 | 1,895,565 | |
Sun Hung Kai Properties Ltd. | 60,000 | 702,760 | |
14,132,965 | |||
TOTAL REAL ESTATE | 14,661,583 | ||
UTILITIES - 0.2% | |||
Electric Utilities - 0.0% | |||
Cheung Kong Infrastructure Holdings Ltd. | 72,500 | 364,307 | |
Gas Utilities - 0.2% | |||
China Gas Holdings Ltd. | 1,471,200 | 5,201,208 | |
China Resource Gas Group Ltd. | 98,000 | 536,868 | |
5,738,076 | |||
Independent Power and Renewable Electricity Producers - 0.0% | |||
Huadian Power International Corp. Ltd. (H Shares) | 484,000 | 149,054 | |
Water Utilities - 0.0% | |||
SIIC Environment Holdings Ltd. | 520,000 | 85,698 | |
TOTAL UTILITIES | 6,337,135 | ||
TOTAL COMMON STOCKS | |||
(Cost $1,112,428,632) | 1,179,352,847 | ||
Nonconvertible Preferred Stocks - 0.9% | |||
COMMUNICATION SERVICES - 0.1% | |||
Diversified Telecommunication Services - 0.1% | |||
Telefonica Brasil SA sponsored ADR | 185,100 | 1,623,327 | |
ENERGY - 0.2% | |||
Oil, Gas & Consumable Fuels - 0.2% | |||
Petroleo Brasileiro SA - Petrobras sponsored ADR | 856,866 | 6,537,888 | |
FINANCIALS - 0.6% | |||
Banks - 0.6% | |||
Banco Bradesco SA (PN) | 338,272 | 1,201,255 | |
Itau Unibanco Holding SA | 2,019,409 | 8,718,997 | |
Sberbank of Russia | 47,774 | 123,336 | |
Sberbank of Russia | 2,607,999 | 6,732,951 | |
16,776,539 | |||
INDUSTRIALS - 0.0% | |||
Airlines - 0.0% | |||
Azul SA (b) | 549,600 | 1,470,736 | |
TOTAL NONCONVERTIBLE PREFERRED STOCKS | |||
(Cost $37,607,408) | 26,408,490 | ||
Equity Funds - 45.9% | |||
Diversified Emerging Markets Funds - 45.2% | |||
Fidelity Emerging Markets Fund (e) | 10,409,345 | 335,597,285 | |
Fidelity SAI Emerging Markets Index Fund (e) | 69,595,052 | 842,100,133 | |
Fidelity SAI Emerging Markets Low Volatility Index Fund (e) | 19,210,902 | 166,174,301 | |
TOTAL DIVERSIFIED EMERGING MARKETS FUNDS | 1,343,871,719 | ||
Emerging Markets Equity Funds - 0.7% | |||
Fidelity SAI Emerging Markets Value Index Fund (e) | 2,100,000 | 21,609,000 | |
TOTAL EQUITY FUNDS | |||
(Cost $1,419,021,934) | 1,365,480,719 | ||
Investment Companies - 3.4% | |||
Investment Companies - 3.4% | |||
Invesco FTSE RAFI Emerging Markets ETF | 1,970,580 | 33,223,979 | |
Schwab Fundamental Emerging Markets Large Co. Index ETF (c) | 3,017,652 | 68,198,935 | |
TOTAL INVESTMENT COMPANIES | |||
(Cost $125,576,921) | 101,422,914 | ||
U.S. Treasury Obligations - 1.0% | |||
U.S. Treasury Bills, yield at date of purchase 0.12% to 0.63% 6/4/20 to 8/13/20 (f) | |||
(Cost $29,363,719) | 29,370,000 | 29,362,914 | |
Money Market Funds - 8.8% | |||
Fidelity Cash Central Fund 0.11% (g) | 2,759,106 | 2,759,657 | |
Fidelity Securities Lending Cash Central Fund 0.10% (g)(h) | 1,360,696 | 1,360,832 | |
Invesco Government & Agency Portfolio Institutional Class .12% (i) | 257,714,674 | 257,714,674 | |
TOTAL MONEY MARKET FUNDS | |||
(Cost $261,815,020) | 261,835,163 | ||
TOTAL INVESTMENT IN SECURITIES - 99.6% | |||
(Cost $2,985,813,634) | 2,963,863,047 | ||
NET OTHER ASSETS (LIABILITIES) - 0.4% | 12,524,453 | ||
NET ASSETS - 100% | $2,976,387,500 |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/(Depreciation) | |
Purchased | |||||
Equity Index Contracts | |||||
ICE E-mini MSCI Emerging Markets Index Contracts (United States) | 5,427 | June 2020 | $253,142,415 | $33,142,063 | $33,142,063 |
The notional amount of futures purchased as a percentage of Net Assets is 8.5%
For the period, the average monthly notional amount at value for futures contracts in the aggregate was $210,107,805.
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 $20,076,030 or 0.7% 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) 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 $29,068,918.
(g) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.
(h) Investment made with cash collateral received from securities on loan.
(i) The rate quoted is the annualized seven-day yield of the fund at period end.
Affiliated Central Funds
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:
Fund | Income earned |
Fidelity Cash Central Fund | $377,941 |
Fidelity Securities Lending Cash Central Fund | 83,126 |
Total | $461,067 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations, if applicable. Amount for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.
Affiliated Underlying Funds
Fiscal year to date information regarding the Fund's investments in affiliated Underlying Funds, excluding any Money Market Central Funds, is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur.
Affiliate | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income | Realized Gain (loss) | Change in Unrealized appreciation (depreciation) | Value, end of period |
Fidelity Emerging Markets Fund | $282,308,645 | $35,612,442 | $-- | $5,612,442 | $-- | $17,676,198 | $335,597,285 |
Fidelity SAI Emerging Markets Index Fund | 539,214,411 | 467,339,855 | 109,250,000 | 15,613,590 | 1,370,077 | (56,574,210) | 842,100,133 |
Fidelity SAI Emerging Markets Low Volatility Index Fund | 84,223,808 | 105,413,469 | -- | 2,413,469 | -- | (23,462,976) | 166,174,301 |
Fidelity SAI Emerging Markets Value Index Fund | -- | 21,000,000 | -- | -- | -- | 609,000 | 21,609,000 |
Total | $905,746,864 | $629,365,766 | $109,250,000 | $23,639,501 | $1,370,077 | $(61,751,988) | $1,365,480,719 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations, if applicable.
Investment Valuation
The following is a summary of the inputs used, as of May 31, 2020, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Equities: | ||||
Communication Services | $131,222,819 | $38,978,049 | $92,244,770 | $-- |
Consumer Discretionary | 231,055,483 | 140,295,796 | 90,759,687 | -- |
Consumer Staples | 103,413,895 | 68,280,249 | 35,133,646 | -- |
Energy | 53,179,110 | 41,309,808 | 11,869,302 | -- |
Financials | 242,143,088 | 124,205,290 | 117,937,798 | -- |
Health Care | 39,973,641 | 24,716,078 | 15,257,563 | -- |
Industrials | 72,311,347 | 64,984,083 | 7,327,264 | -- |
Information Technology | 220,755,335 | 160,495,668 | 60,259,667 | -- |
Materials | 90,707,901 | 60,760,218 | 29,947,683 | -- |
Real Estate | 14,661,583 | 4,784,276 | 9,080,345 | 796,962 |
Utilities | 6,337,135 | -- | 6,337,135 | -- |
Equity Funds | 1,365,480,719 | 1,365,480,719 | -- | -- |
Investment Companies | 101,422,914 | 101,422,914 | -- | -- |
Other Short-Term Investments | 29,362,914 | -- | 29,362,914 | -- |
Money Market Funds | 261,835,163 | 261,835,163 | -- | -- |
Total Investments in Securities: | $2,963,863,047 | $2,457,548,311 | $505,517,774 | $796,962 |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $33,142,063 | $33,142,063 | $-- | $-- |
Total Assets | $33,142,063 | $33,142,063 | $-- | $-- |
Total Derivative Instruments: | $33,142,063 | $33,142,063 | $-- | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of May 31, 2020. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
Primary Risk Exposure / Derivative Type | Value | |
Asset | Liability | |
Equity Risk | ||
Futures Contracts(a) | $33,142,063 | $0 |
Total Equity Risk | 33,142,063 | 0 |
Total Value of Derivatives | $33,142,063 | $0 |
(a) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
May 31, 2020 | ||
Assets | ||
Investment in securities, at value (including securities loaned of $1,327,981) — See accompanying schedule: Unaffiliated issuers (cost $1,562,691,359) | $1,594,261,839 | |
Fidelity Central Funds (cost $4,100,346) | 4,120,489 | |
Other affiliated issuers (cost $1,419,021,929) | 1,365,480,719 | |
Total Investment in Securities (cost $2,985,813,634) | $2,963,863,047 | |
Foreign currency held at value (cost $2,033,355) | 1,967,885 | |
Receivable for investments sold | 9,827,641 | |
Receivable for fund shares sold | 4,398,362 | |
Dividends receivable | 1,544,782 | |
Interest receivable | 28,540 | |
Distributions receivable from Fidelity Central Funds | 8,073 | |
Receivable for daily variation margin on futures contracts | 4,233,060 | |
Prepaid expenses | 10,006 | |
Other receivables | 306,100 | |
Total assets | 2,986,187,496 | |
Liabilities | ||
Payable to custodian bank | $919,148 | |
Payable for investments purchased | 5,825,674 | |
Payable for fund shares redeemed | 908,017 | |
Accrued management fee | 457,545 | |
Other payables and accrued expenses | 329,837 | |
Collateral on securities loaned | 1,359,775 | |
Total liabilities | 9,799,996 | |
Net Assets | $2,976,387,500 | |
Net Assets consist of: | ||
Paid in capital | $3,098,173,546 | |
Total accumulated earnings (loss) | (121,786,046) | |
Net Assets | $2,976,387,500 | |
Net Asset Value, offering price and redemption price per share ($2,976,387,500 ÷ 288,437,924 shares) | $10.32 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Year ended May 31, 2020 | ||
Investment Income | ||
Dividends: | ||
Unaffiliated issuers | $27,852,057 | |
Affiliated issuers | 23,639,501 | |
Non-Cash dividends | 13,895,957 | |
Interest | 3,063,381 | |
Income from Fidelity Central Funds (including $83,126 from security lending) | 461,067 | |
Income before foreign taxes withheld | 68,911,963 | |
Less foreign taxes withheld | (3,088,375) | |
Total income | 65,823,588 | |
Expenses | ||
Management fee | $11,750,999 | |
Accounting fees | 74,802 | |
Custodian fees and expenses | 345,662 | |
Independent trustees' fees and expenses | 27,809 | |
Registration fees | 319,535 | |
Audit | 63,948 | |
Legal | 6,465 | |
Miscellaneous | 17,942 | |
Total expenses before reductions | 12,607,162 | |
Expense reductions | (6,649,423) | |
Total expenses after reductions | 5,957,739 | |
Net investment income (loss) | 59,865,849 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers (net of foreign taxes of $133,447) | (72,130,827) | |
Fidelity Central Funds | 4,731 | |
Other affiliated issuers | 1,370,077 | |
Foreign currency transactions | (2,393,634) | |
Futures contracts | (45,344,880) | |
Total net realized gain (loss) | (118,494,533) | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers (net of decrease in deferred foreign taxes of $16,272) | 2,853,808 | |
Fidelity Central Funds | 95 | |
Other affiliated issuers | (61,751,988) | |
Assets and liabilities in foreign currencies | (61,255) | |
Futures contracts | 37,879,730 | |
Total change in net unrealized appreciation (depreciation) | (21,079,610) | |
Net gain (loss) | (139,574,143) | |
Net increase (decrease) in net assets resulting from operations | $(79,708,294) |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Year ended May 31, 2020 | For the period October 30, 2018 (commencement of operations) to May 31, 2019 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $59,865,849 | $25,053,053 |
Net realized gain (loss) | (118,494,533) | (17,638,458) |
Change in net unrealized appreciation (depreciation) | (21,079,610) | 32,205,353 |
Net increase (decrease) in net assets resulting from operations | (79,708,294) | 39,619,948 |
Distributions to shareholders | (58,777,125) | (21,398,596) |
Share transactions | ||
Proceeds from sales of shares | 1,609,511,839 | 2,070,722,339 |
Reinvestment of distributions | 56,678,011 | 21,366,662 |
Cost of shares redeemed | (495,169,459) | (166,457,825) |
Net increase (decrease) in net assets resulting from share transactions | 1,171,020,391 | 1,925,631,176 |
Total increase (decrease) in net assets | 1,032,534,972 | 1,943,852,528 |
Net Assets | ||
Beginning of period | 1,943,852,528 | – |
End of period | $2,976,387,500 | $1,943,852,528 |
Other Information | ||
Shares | ||
Sold | 149,103,119 | 194,955,636 |
Issued in reinvestment of distributions | 4,725,743 | 2,130,275 |
Redeemed | (46,868,850) | (15,607,999) |
Net increase (decrease) | 106,960,012 | 181,477,912 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Strategic Advisers Fidelity Emerging Markets Fund
Years ended May 31, | 2020 | 2019 A |
Selected Per–Share Data | ||
Net asset value, beginning of period | $10.71 | $10.00 |
Income from Investment Operations | ||
Net investment income (loss)B | .26C | .18 |
Net realized and unrealized gain (loss) | (.39) | .67 |
Total from investment operations | (.13) | .85 |
Distributions from net investment income | (.26) | (.14) |
Total distributions | (.26) | (.14) |
Net asset value, end of period | $10.32 | $10.71 |
Total ReturnD,E | (1.58)% | 8.63% |
Ratios to Average Net AssetsF,G,H | ||
Expenses before reductions | .49% | .57%I |
Expenses net of fee waivers, if any | .24% | .32%I |
Expenses net of all reductions | .23% | .31%I |
Net investment income (loss) | 2.35%C | 2.82%I |
Supplemental Data | ||
Net assets, end of period (000 omitted) | $2,976,388 | $1,943,853 |
Portfolio turnover rateH | 49% | 125%I |
A For the period October 30, 2018 (commencement of operations) to May 31, 2019.
B Calculated based on average shares outstanding during the period.
C Net investment income per share reflects a large, non-recurring dividend which amounted to $.06 per share. Excluding this non-recurring dividend, 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 Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
G Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund. Fees and expenses of the Underlying Funds are not included in the Fund's annualized ratios. The Fund indirectly bears its proportionate share of the expenses of the Underlying Funds.
H Amounts do not include the activity of Underlying Funds.
I Annualized
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements
For the period ended May 31, 2020
1. Organization.
Strategic Advisers Fidelity Emerging Markets Fund (the Fund) is a fund of Fidelity Rutland Square Trust II (the Trust), and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust. The Fund is offered exclusively to certain clients of Strategic Advisers LLC (Strategic Advisers), an affiliate of Fidelity Management & Research Company LLC (FMR).
2. Significant Accounting Policies.
The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services – Investments Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the Fund:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
- Level 1 – quoted prices in active markets for identical investments
- Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
- Level 3 – unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value the Fund's investments by major category are as follows:
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances. ETFs are valued at their last sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day but the exchange reports a closing bid level, ETFs are valued at the closing bid and would be categorized as Level 1 in the hierarchy. In the event there was no closing bid, ETFs may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and may be categorized as Level 2 in the hierarchy.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. If an unaffiliated open-end mutual fund's NAV is unavailable, shares of that fund may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and is categorized as Level 2 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of May 31, 2020 is included at the end of the Fund's Schedule of Investments.
Foreign Currency. The Fund may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.
Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Income and capital gain distributions from Underlying Funds and distributions from ETFs, if any, 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. Large, non-recurring dividends recognized by the Fund are presented separately on the Statement of Operations in "Non-cash Dividends" and the impact of these dividends is presented in the Financial Highlights. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain.
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), certain independent Trustees have elected to defer receipt of a portion of their annual compensation. Deferred amounts are invested in a cross-section of Strategic Advisers funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees of $8 are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, respectively.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of May 31, 2020, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests. The Fund is subject to a tax imposed on capital gains by certain countries in which it invests. An estimated deferred tax liability for net unrealized appreciation on the applicable securities is included in Other payables and accrued expenses on the Statement of Assets & Liabilities.
Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to futures contracts, foreign currency transactions, certain foreign taxes, passive foreign investment companies (PFIC), market discount, deferred trustees compensation, capital loss carryforwards and losses deferred due to wash sales.
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
Gross unrealized appreciation | $195,899,316 |
Gross unrealized depreciation | (235,463,450) |
Net unrealized appreciation (depreciation) | $(39,564,134) |
Tax Cost | $3,003,427,181 |
The tax-based components of distributable earnings as of period end were as follows:
Capital loss carryforward | $(82,127,579) |
Net unrealized appreciation (depreciation) on securities and other investments | $(39,620,703) |
Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of fiscal period end and is subject to adjustment.
No expiration | |
Short-term | $(75,892,074) |
Long-term | (6,235,505) |
Total capital loss carryforward | $(82,127,579) |
The tax character of distributions paid was as follows:
May 31, 2020 | May 31, 2019(a) | |
Ordinary Income | $58,777,125 | $ 21,398,596 |
(a) For the period October 30, 2018 (commencement of operations) to May 31, 2019.
Restricted Securities (including Private Placements). The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.
3. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund's investment objective allows the Fund to enter into various types of derivative contracts, including futures contracts. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.
The Fund used derivatives to increase returns and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.
The Fund's use of derivatives increased or decreased its exposure to the following risk:
Equity Risk | Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment. |
The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Counterparty credit risk related to exchange-traded futures contracts may be mitigated by the protection provided by the exchange on which they trade.
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.
Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. The Fund used futures contracts to manage its exposure to the stock market.
Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments (variation margin) are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is presented in the Statement of Operations.
Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The notional amount at value reflects each contract's exposure to the underlying instrument or index at period end. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.
4. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities, are noted in the table below.
Purchases ($) | Sales ($) | |
Strategic Advisers Fidelity Emerging Markets Fund | 2,129,030,736 | 1,114,740,994 |
5. Fees and Other Transactions with Affiliates.
Management Fee. Strategic Advisers (the investment adviser) provides the Fund with investment management related services. For these services, the Fund pays a monthly management fee to the investment adviser. The management fee is calculated by adding the annual management fee rate of .25% of the Fund's average net assets throughout the month payable to the investment adviser to the aggregate of the fee rates, payable monthly, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed 1.20% of the Fund's average net assets. For the reporting period, the total annual management fee rate was .46% of the Fund's average net assets.
During the period, the investment adviser waived a portion of its management fee as described in the Expense Reductions note.
Sub-Advisers. FIAM LLC (an affiliate of the investment adviser) and FIL Investment Advisors each served as a sub-adviser for the Fund during the period. Sub-advisers provide discretionary investment advisory services for their allocated portion of the Fund's assets and are paid by the investment adviser and not the Fund for providing these services.
Geode Capital Management, LLC (Geode) has been retained to serve as a sub-adviser for the Fund. As of the date of this report, however, Geode has not been allocated any portion of the Fund's assets. Geode in the future may provide discretionary investment advisory services for an allocated portion of the Fund's assets and will be paid by the investment adviser for providing these services.
Accounting Fees. Fidelity Service Company, Inc. (FSC), an affiliate of the investment adviser, maintains the Fund's accounting records. The accounting fee is based on the level of average net assets for each month. Effective July 1, 2019 accounting fees are not paid by the Fund and are instead paid by the investment adviser or an affiliate. For the period, the fees were equivalent to less than .005%.
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 | $2,130 |
Interfund Trades. Funds may purchase from or sell securities to other funds affiliated with each sub-adviser under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.
Other. During the period, the investment adviser reimbursed the Fund for certain losses in the amount of $2,022.
6. Investments in Fidelity Central Funds.
The Fund invests in Fidelity Central Funds, which are open-end investment companies available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
The Fidelity Money Market Central Funds are managed by FMR. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date ranged from less than .005% to .01%.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC website or upon request.
7. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are as follows:
Amount | |
Strategic Advisers Fidelity Emerging Markets Fund | $5,933 |
During the period, there were no borrowings on this line of credit.
8. Security Lending.
The Fund lends portfolio securities through a lending agent from time to time in order to earn additional income. On the settlement date of the loan, the 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 the Fund and any additional required collateral is delivered to the Fund on the next business day. The 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, the Fund may apply collateral received from the borrower against the obligation. The 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. The value of loaned securities and cash collateral at period end are disclosed on the Fund's Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds.
9. Expense Reductions.
The investment adviser has contractually agreed to waive the Fund's management fee in an amount equal to .25% of the Fund's average net assets until September 30, 2022. During the period, this waiver reduced the Fund's management fee by $6,381,550.
Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of the Fund include an amount in addition to trade execution, which may be rebated back to the Fund to offset certain expenses. This amount totaled $132,111 for the period.
In addition, through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses by $135,762.
10. Other.
The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
The Fund does not invest in the Underlying Funds for the purpose of exercising management or control; however, investments by the Fund within its principal investment strategies may represent a significant portion of an Underlying Fund's net assets. At the end of the period, the Fund was the owner of record of 10% or more of the total outstanding shares of the following Underlying Funds.
Fund | % of shares held |
Fidelity SAI Emerging Markets Index Fund | 22% |
Fidelity SAI Emerging Markets Low Volatility Index Fund | 20% |
Fidelity SAI Emerging Markets Value Index Fund | 84% |
11. Coronavirus (COVID-19) Pandemic.
An outbreak of COVID-19 first detected in China during December 2019 has since spread globally and was declared a pandemic by the World Health Organization during March 2020. Developments that disrupt global economies and financial markets, such as the COVID-19 pandemic, may magnify factors that affect the Fund's performance.
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Fidelity Rutland Square Trust II and Shareholders of Strategic Advisers Fidelity Emerging Markets Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Strategic Advisers Fidelity Emerging Markets Fund (one of the funds constituting Fidelity Rutland Square Trust II, referred to hereafter as the “Fund”) as of May 31, 2020, the related statement of operations for the year ended May 31, 2020 and the statement of changes in net assets and the financial highlights for the year ended May 31, 2020 and for the period October 30, 2018 (commencement of operations) through May 31, 2019, including the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of May 31, 2020, the results of its operations for the year ended May 31, 2020, and the changes in its net assets and the financial highlights for the year ended May 31, 2020 and for the period October 30, 2018 (commencement of operations) through May 31, 2019 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of May 31, 2020 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
Boston, Massachusetts
July 16, 2020
We have served as the auditor of one or more investment companies in the Fidelity group of funds since 1932.
Trustees and Officers
The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance. If the interests of the fund and an underlying Fidelity® fund were to diverge, a conflict of interest could arise and affect how the Trustees and Members of the Advisory Board fulfill their fiduciary duties to the affected funds. Strategic Advisers has structured the fund to avoid these potential conflicts, although there may be situations where a conflict of interest is unavoidable. In such instances, Strategic Advisers, the Trustees, and Members of the Advisory Board would take reasonable steps to minimize and, if possible, eliminate the conflict. Each of the Trustees oversees 14 funds.
The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. Officers and Advisory Board Members hold office without limit in time, except that any officer or Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.
Each Trustee who is not an interested person (as defined in the 1940 Act) of the trust and the fund is referred to herein as an Independent Trustee.
The fund’s Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-3455.
Experience, Skills, Attributes, and Qualifications of the Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee may also engage professional search firms to help identify potential Independent Trustee candidates with experience, qualifications, attributes, and skills consistent with the Statement of Policy. Additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, may be considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.
In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.
Board Structure and Oversight Function. Robert A. Lawrence is an interested person and currently serves as Chairman. The Trustees have determined that an interested Chairman is appropriate and benefits shareholders because an interested Chairman has a personal and professional stake in the quality and continuity of services provided to the fund. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chairman, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chairman and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session. Mary C. Farrell serves as the lead Independent Trustee and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.
Fidelity® funds are overseen by different Boards of Trustees. The fund's Board oversees asset allocation funds. Other Boards oversee Fidelity's investment-grade bond, money market, and asset allocation funds, and Fidelity's equity and high income funds. The fund may invest in Fidelity® funds overseen by such other Boards. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity® funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues.
The Trustees primarily operate as a full Board, but also operate in committees, to facilitate the timely and efficient consideration of all matters of importance to the Trustees, the fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the fund's activities and associated risks. The Board has charged Strategic Advisers and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the fund's business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above. Because the day-to-day operations and activities of the fund are carried out by or through Strategic Advisers, its affiliates and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees. Board oversight of different aspects of the fund's activities is exercised primarily through the full Board, but also through the Audit and Compliance Committee. Appropriate personnel, including but not limited to the fund's Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the fund's Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate. The responsibilities of each standing committee, including their oversight responsibilities, are described further under "Standing Committees of the Trustees."
Interested Trustees*:
Correspondence intended for a Trustee who is an interested person may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Robert A. Lawrence (1952)
Year of Election or Appointment: 2016
Trustee
Chairman of the Board of Trustees
Mr. Lawrence also serves as Trustee of other funds. Previously, Mr. Lawrence served as a Member of the Advisory Board of certain funds. Prior to his retirement in 2008, Mr. Lawrence served as Vice President of certain Fidelity® funds (2006-2008), Senior Vice President, Head of High Income Division of Fidelity Management & Research Company (investment adviser firm, 2006-2008), and President of Fidelity Strategic Investments (investment adviser firm, 2002-2005).
Charles S. Morrison (1960)
Year of Election or Appointment: 2020
Trustee
Mr. Morrison also serves as Trustee of other funds. Previously, Mr. Morrison served as President (2017-2018) and Director (2014-2018) of Fidelity SelectCo, LLC (investment adviser firm), President of Fidelity Management & Research Company (FMR) (investment adviser firm, 2016-2018), a Director of Fidelity Investments Money Management, Inc. (investment adviser firm, 2014-2018), President, Asset Management (2014-2018), Trustee of the Fidelity Equity and High Income Funds (283 funds as of December 2018) (2014-2018), and was an employee of Fidelity Investments. Mr. Morrison also previously served as Vice President of Fidelity's Fixed Income and Asset Allocation Funds (2012-2014), President, Fixed Income (2011-2014), Vice President of Fidelity's Money Market Funds (2005-2009), President, Money Market Group Leader of FMR (2009), and Senior Vice President, Money Market Group of FMR (2004-2009). Mr. Morrison also served as Vice President of Fidelity's Bond Funds (2002-2005), certain Balanced Funds (2002-2005), and certain Asset Allocation Funds (2002-2007), and as Senior Vice President (2002-2005) of Fidelity's Bond Division.
* Determined to be an "Interested Trustee" by virtue of, among other things, his or her affiliation with the trust or various entities under common control with Strategic Advisers.
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Independent Trustees:
Correspondence intended for an Independent Trustee may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Peter C. Aldrich (1944)
Year of Election or Appointment: 2006
Trustee
Mr. Aldrich also serves as Trustee of other funds. Mr. Aldrich is a Director of the U.S. Core Property Fund (and, previously, other funds) of BlackRock Realty Group (2006-present). Previously, Mr. Aldrich served as a Managing Member of Poseidon, LLC (foreign private investment, 1998-2004), and Chairman and Managing Member of AEGIS, LLC (foreign private investment, 1997-2004). Mr. Aldrich previously was a founder, Chief Executive Officer, and Chairman of AEW Capital Management, L.P. (then “Aldrich, Eastman and Waltch, L.P.”). Mr. Aldrich also served as a Director of LivelyHood, Inc. (private corporation, 2013-2020), a Trustee for the Fidelity Rutland Square Trust (2005-2010), a Director of Zipcar, Inc. (car sharing services, 2001-2009) and as Faculty Chairman of The Research Council on Global Investment of The Conference Board (business and professional education non-profit, 1999-2004). Mr. Aldrich is a Member Emeritus of the Board of Directors of the National Bureau of Economic Research, the Board of Trustees of the Museum of Fine Arts Boston and the Board of Overseers of the Massachusetts Eye and Ear Infirmary.
Mary C. Farrell (1949)
Year of Election or Appointment: 2013
Trustee
Ms. Farrell also serves as Trustee of other funds. Ms. Farrell is a Director of the W.R. Berkley Corporation (insurance provider) and President (2009-present) and Director (2006-present) of the Howard Gilman Foundation (charitable organization). Previously, Ms. Farrell was Managing Director and Chief Investment Strategist at UBS Wealth Management USA and Co-Head of UBS Wealth Management Investment Strategy & Research Group (2003-2005). Ms. Farrell also served as Investment Strategist at PaineWebber (1982-2000) and UBS PaineWebber (2000-2002). Ms. Farrell serves as Chairman of the Board of Trustees of Yale-New Haven Hospital and Vice Chairman of the Yale New Haven Health System Board and previously served as Trustee on the Board of Overseers of the New York University Stern School of Business.
Karen Kaplan (1960)
Year of Election or Appointment: 2006
Trustee
Ms. Kaplan also serves as Trustee of other funds. Ms. Kaplan is Chairman (2014-present) and Chief Executive Officer (2013-present) of Hill Holliday (advertising and specialized marketing). Ms. Kaplan is a Director of The Michaels Companies, Inc. (specialty retailer, 2015-present), Member of the Board of Governors of the Chief Executives’ Club of Boston (2010-present), Member of the Executive Committee of the Greater Boston Chamber of Commerce (2006-present), Advisory Board Member of the National Association of Corporate Directors Chapter (2012-present), Member of the Board of Trustees of the Post Office Square Trust (2012-present), Trustee of the Brigham and Women’s Hospital (2016-present), Overseer of the Boston Symphony Orchestra (2014-present), Member of the Board of Directors of The Advertising Council, Inc. (2016-present), Member of the Ron Burton Training Village Executive Board of Advisors (2018-present), Member of the Executive Committee of The Ad Council, Inc. (2019-present), and Member of the Board of Directors of The Ad Club of Boston (2020-present). Previously, Ms. Kaplan served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010), a member of the Clinton Global Initiative (2010-2015), Director of DSM (dba Delta Dental and DentaQuest) (2004-2014), Formal Appointee of the 2015 Baker-Polito Economic Development Council, Director of Vera Bradley Inc. (designer of women’s accessories, 2012-2015), Member of the Board of Directors of the Massachusetts Conference for Women (2008-2015), Member of the Board of Directors of Jobs for Massachusetts (2012-2015), President of the Massachusetts Women’s Forum (2008-2010), Treasurer of the Massachusetts Women’s Forum (2002-2006), and Vice Chair of the Board of the Massachusetts Society for the Prevention of Cruelty to Children (2003-2010).
Heidi L. Steiger (1953)
Year of Election or Appointment: 2017
Trustee
Ms. Steiger also serves as Trustee of other funds. Ms. Steiger serves as Managing Partner of Topridge Associates, LLC (consulting, 2005-present), a member of the Advisory Board of the joint degree program in Global Luxury Management at North Carolina State University (Raleigh, NC) and Skema (Paris) (2018-present), a Non-Executive Director of CrowdBureau Corporation (financial technology company and index provider, 2018-present), a member of the Board of Directors (2013-present) and Chair of the Audit Committee and member of the Membership and Executive Committees (2017-present) of Business Executives for National Security (nonprofit), and member of the Board of Directors Chair of the Remuneration Committee of Imagine Intelligent Materials Limited (2019-present) (technology company). Previously, Ms. Steiger served as a member of the Global Advisory Board and Of Counsel to Signum Global Advisors (international policy and strategy, 2018-2020), Eastern Region President of The Private Client Reserve of U.S. Bancorp (banking and financial services, 2010-2015), Advisory Director of Berkshire Capital Securities, LLC (financial services, 2009-2010), President and Senior Advisor of Lowenhaupt Global Advisors, LLC (financial services, 2005-2007), and President and Contributing Editor of Worth Magazine (2004-2005) and held a variety of positions at Neuberger Berman Group, LLC (financial services, 1986-2004), including Partner and Executive Vice President and Global Head of Private Asset Management at Neuberger Berman (1999-2004). Ms. Steiger also served as a member of the Board of Directors of Nuclear Electric Insurance Ltd (insurer of nuclear utilities, 2006-2017), a member of the Board of Trustees and Audit Committee of the Eaton Vance Funds (2007-2010), a member of the Board of Directors of Aviva USA (formerly AmerUs) (insurance, 2004-2014), and a member of the Board of Trustees and Audit Committee and Chair of the Investment Committee of CIFG (financial guaranty insurance, 2009-2012), and a member of the Board of Directors of Kin Group Plc (formerly, Fitbug Holdings) (health and technology, 2016-2017).
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Advisory Board Members and Officers:
Correspondence intended for a Member of the Advisory Board (if any) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235. Correspondence intended for an officer or Howard E. Cox, Jr. may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210. Officers appear below in alphabetical order.
Name, Year of Birth; Principal Occupation
Ralph F. Cox (1932)
Year of Election or Appointment: 2020
Member of the Advisory Board
Mr. Cox also serves as a Member of the Advisory Board of other funds. Mr. Cox is President of RABAR Enterprises (management consulting for the petroleum industry). Mr. Cox is a Director of Abraxas Petroleum (exploration and production, 1999-present). Mr. Cox is a member of the Advisory Boards of the Business and Engineering Schools of Texas A&M University and the Engineering School of University of Texas at Austin. Previously, Mr. Cox served as Trustee of other funds (2006-2020), a Trustee for the Fidelity Rutland Square Trust (2005-2010) and as an Advisory Director of CH2M Hill Companies (engineering, 1981-2011). Mr. Ralph F. Cox and Mr. Howard E. Cox, Jr. are not related.
Howard E. Cox, Jr. (1944)
Year of Election or Appointment: 2009
Member of the Advisory Board
Mr. Cox also serves as a Member of the Advisory Board of other funds. Mr. Cox is a Partner of Greylock (venture capital, 1971-present) and a Director of Stryker Corporation (medical products and services, 1974-present). Previously, Mr. Cox served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010). Mr. Cox also serves as a Member of the Secretary of Defense's Business Board of Directors (2008-present), a Director of Business Executives for National Security (1997-present), a Director of the Brookings Institution (2010-present), a Director of the World Economic Forum’s Young Global Leaders Foundation (2009-present), and is a Member of the Harvard Medical School Board of Fellows (2002-present). Mr. Howard E. Cox, Jr. and Mr. Ralph F. Cox are not related.
Christine Marcks (1955)
Year of Election or Appointment: 2019
Member of the Advisory Board
Ms. Marcks also serves as a Member of the Advisory Board of other Funds. Prior to her retirement, Ms. Marcks served as Chief Executive Officer and President – Prudential Retirement (2007-2017) and Vice President for Rollover and Retirement Income Strategies (2005-2007), Prudential Financial, Inc. (financial services). Previously, Ms. Marcks was Senior Vice President and Head of Financial Horizons (2002-2004) and Vice President, Strategic Marketing (2000-2002) of Voya Financial (formerly ING U.S.) (financial services), held numerous positions at Aetna Financial Services (financial services, 1987-2000) and served as an International Economist for the United States Department of the Treasury (1980-1987). Ms. Marcks also serves as a member of the Board of Trustees, Audit Committee and Benefits & Operations Committee of the YMCA Retirement Fund (2018-present), a non-profit organization providing retirement plan benefits to YMCA staff members, and as a member of the Board of Trustees of Assumption College (2019-present).
Elizabeth Paige Baumann (1968)
Year of Election or Appointment: 2017
Anti-Money Laundering (AML) Officer
Ms. Baumann also serves as AML Officer of other funds. She is Chief AML Officer (2012-present) and Senior Vice President (2014-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments. Previously, Ms. Baumann served as AML Officer of certain funds (2017-2019), as AML Officer of the funds (2012-2016), and Vice President (2007-2014) and Deputy Anti-Money Laundering Officer (2007-2012) of FMR LLC.
Craig S. Brown (1977)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Brown also serves as Assistant Treasurer of other funds. Mr. Brown is an employee of Fidelity Investments (2013-present).
John J. Burke III (1964)
Year of Election or Appointment: 2018
Chief Financial Officer
Mr. Burke also serves as Chief Financial Officer of other funds. Mr. Burke serves as Head of Investment Operations for Fidelity Fund and Investment Operations (2018-present) and is an employee of Fidelity Investments (1998-present). Previously Mr. Burke served as head of Asset Management Investment Operations (2012-2018).
Jonathan Davis (1968)
Year of Election or Appointment: 2010
Assistant Treasurer
Mr. Davis also serves as Assistant Treasurer of other funds. Mr. Davis serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments. Previously, Mr. Davis served as Vice President and Associate General Counsel of FMR LLC (diversified financial services company, 2003-2010).
Laura M. Del Prato (1964)
Year of Election or Appointment: 2018
Assistant Treasurer
Ms. Del Prato also serves as an officer of other funds. Ms. Del Prato is an employee of Fidelity Investments (2017-present). Prior to joining Fidelity Investments, Ms. Del Prato served as a Managing Director and Treasurer of the JPMorgan Mutual Funds (2014-2017). Prior to JPMorgan, Ms. Del Prato served as a partner at Cohen Fund Audit Services (accounting firm, 2012-2013) and KPMG LLP (accounting firm, 2004-2012).
James D. Gryglewicz (1972)
Year of Election or Appointment: 2015
Chief Compliance Officer
Mr. Gryglewicz also serves as Chief Compliance Officer of other funds. Mr. Gryglewicz serves as Compliance Officer of Strategic Advisers LLC (investment adviser firm, 2015-present), Senior Vice President of Asset Management Compliance (2009-present), and is an employee of Fidelity Investments (2004-present). Previously, Mr. Gryglewicz served as Compliance Officer of Fidelity SelectCo, LLC (investment adviser firm, 2014-2019), and as Chief Compliance Officer of certain Fidelity® funds (2014-2018).
Colm A. Hogan (1973)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Hogan also serves as an officer of other funds. Mr. Hogan serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2005-present). Previously, Mr. Hogan served as Deputy Treasurer of certain Fidelity® funds (2016-2020) and Assistant Treasurer of certain Fidelity® funds (2016-2018). Mr. Colm A. Hogan is not related to Mr. Brian B. Hogan.
Christina H. Lee (1975)
Year of Election or Appointment: 2020
Secretary and Chief Legal Officer
Ms. Lee also serves as Secretary and CLO of other funds. Ms. Lee serves as Vice President, Associate General Counsel (2014-present) and is an employee of Fidelity Investments (2007-present). Previously, Ms. Lee served as Assistant Secretary of certain funds (2018-2019).
Cynthia Lo Bessette (1969)
Year of Election or Appointment: 2020
Assistant Secretary
Ms. Lo Bessette also serves as an officer of other funds. Ms. Lo Bessette serves as CLO, Secretary, and Senior Vice President of Fidelity Management & Research Company LLC (investment adviser firm, 2019-present); and CLO of Fidelity Management & Research (Hong Kong) Limited, FMR Investment Management (UK) Limited, and Fidelity Management & Research (Japan) Limited (investment adviser firms, 2019-present). She is a Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company, 2019-present), and is an employee of Fidelity Investments. Previously, Ms. Lo Bessette served as CLO, Secretary, and Senior Vice President of FMR Co., Inc. (investment adviser firm, 2019); Secretary of Fidelity SelectCo, LLC and Fidelity Investments Money Management, Inc. (investment adviser firms, 2019). Prior to joining Fidelity Investments, Ms. Lo Bessette was Executive Vice President, General Counsel (2016-2019) and Senior Vice President, Deputy General Counsel (2015-2016) of OppenheimerFunds (investment management company) and Deputy Chief Legal Officer (2013-2015) of Jennison Associates LLC (investment adviser firm).
Chris Maher (1972)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Maher also serves as an officer of other funds. Mr. Maher serves as Assistant Treasurer of FMR Capital, Inc. (2017-present), and is an employee of Fidelity Investments (2008-present). Previously, Mr. Maher served as Assistant Treasurer of certain funds (2013-2020); Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010).
Stacie M. Smith (1974)
Year of Election or Appointment: 2020
President and Treasurer
Ms. Smith also serves as an officer of other funds. Ms. Smith serves as Assistant Treasurer of FMR Capital, Inc. (2017-present), is an employee of Fidelity Investments (2009-present), and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (accounting firm, 1996-2009). Previously, Ms. Smith served as Assistant Treasurer (2013-2019) and Deputy Treasurer (2013-2016) of certain Fidelity® funds.
Marc L. Spector (1972)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Spector also serves as an officer of other funds. Mr. Spector serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2016-present). Prior to joining Fidelity Investments, Mr. Spector served as Director at the Siegfried Group (accounting firm, 2013-2016), and prior to Siegfried Group as audit senior manager at Deloitte & Touche LLP (accounting firm, 2005-2013).
Jim Wegmann (1979)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Wegmann also serves as Assistant Treasurer of other funds. Mr. Wegmann is an employee of Fidelity Investments (2011-present).
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (December 1, 2019 to May 31, 2020).
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's 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. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
Annualized Expense Ratio-A | Beginning Account Value December 1, 2019 | Ending Account Value May 31, 2020 | Expenses Paid During Period-B December 1, 2019 to May 31, 2020 | |
Actual | .23% | $1,000.00 | $920.20 | $1.10 |
Hypothetical-C | $1,000.00 | $1,023.85 | $1.16 |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period). The fees and expenses of the Underlying Funds in which the Fund invests are not included in the Fund's annualized expense ratio.
C 5% return per year before expenses
Distributions (Unaudited)
The fund designates 4% and 1% of the dividends distributed in July and December, respectively during the fiscal year as qualifying for the dividends–received deduction for corporate shareholders.
The fund designates 95% and 49% of the dividends distributed in July and December, respectively during the fiscal year as amounts which may be taken into account as a dividend for the purposes of the maximum rate under section 1(h)(11) of the Internal Revenue Code.
The amounts per share which represent income derived from sources within, and taxes paid to, foreign countries or possessions of the United States are $0.0181 and $0.0031 for the dividend paid July 15, 2019 and $0.2669 and $0.0259 for the dividend paid December 31, 2019.
The fund will notify shareholders in January 2021 of amounts for use in preparing 2020 income tax returns.
Liquidity Risk Management Program
The Securities and Exchange Commission adopted Rule 22e-4 under the Investment Company Act of 1940 (the Liquidity Rule) to promote effective liquidity risk management throughout the open-end investment company industry, thereby reducing the risk that funds will be unable to meet their redemption obligations and mitigating dilution of the interests of fund shareholders.
The Fund has adopted and implemented a liquidity risk management program (the Program) reasonably designed to assess and manage the Fund's liquidity risk and to comply with the requirements of the Liquidity Rule. The Fund's Board of Trustees (the Board) has designated the Fund's investment adviser as administrator of the Program. Strategic Advisers has established a Liquidity Risk Management Committee (the LRM Committee) to manage the Program for each of the Funds. The LRM Committee monitors the adequacy and effectiveness of implementation of the Program and on a periodic basis assesses each Fund's liquidity risk based on a variety of factors including (1) the Fund's investment strategy, (2) portfolio liquidity and cash flow projections during normal and reasonably foreseeable stressed conditions, (3) shareholder redemptions and (4) borrowings and other funding sources, as applicable.
In accordance with the Program, each of the Fund’s portfolio investments is classified into one of four liquidity categories described below based on a determination of a reasonable expectation for how long it would take to convert the investment to cash (or sell or dispose of the investment) without significantly changing its market value.
- Highly liquid investments – cash or convertible to cash within three business days or less
- Moderately liquid investments – convertible to cash in three to seven calendar days
- Less liquid investments – can be sold or disposed of, but not settled, within seven calendar days
- Illiquid investments – cannot be sold or disposed of within seven calendar days
Liquidity classification determinations take into account a variety of factors including various market, trading and investment-specific considerations, as well as market depth, and generally utilize analysis from a third-party liquidity metrics service.
The Liquidity Rule places a 15% limit on a fund’s illiquid investments and requires funds that do not primarily hold assets that are highly liquid investments to determine and maintain a minimum percentage of the fund’s net assets to be invested in highly liquid investments (highly liquid investment minimum or HLIM). The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments and for determining, periodically reviewing and complying with the HLIM requirement as applicable.
At a recent meeting of the Fund’s Board of Trustees, the LRM Committee provided a written report to the Board pertaining to the operation, adequacy, and effectiveness of implementation of the Program for the annual period from December 1, 2018 through November 30, 2019. The report concluded that the Program has been implemented and is operating effectively and is reasonably designed to assess and manage the Fund’s liquidity risk.
STE-ANN-0720
1.9890707.101
Strategic Advisers® Value Fund
Offered exclusively to certain clients of Strategic Advisers LLC - not available for sale to the general public
May 31, 2020
See the inside front cover for important information about access to your fund’s shareholder reports.
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of a fund’s shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the fund or from your financial intermediary, such as a financial advisor, broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from a fund electronically, by contacting your financial intermediary. For Fidelity customers, visit Fidelity's web site or call Fidelity using the contact information listed below.
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Contents
To view a fund's proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
You may also call 1-800-544-3455 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2020 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
Note to Shareholders:
Early in 2020, the outbreak and spread of a new coronavirus emerged as a public health emergency that had a major influence on financial markets, primarily based on its impact on the global economy and the outlook for corporate earnings. The virus causes a respiratory disease known as COVID-19. On March 11, the World Health Organization declared the COVID-19 outbreak a pandemic, citing sustained risk of further global spread.
In the weeks following, as the crisis worsened, we witnessed an escalating human tragedy with wide-scale social and economic consequences from coronavirus-containment measures. The outbreak of COVID-19 prompted a number of measures to limit the spread, including travel and border restrictions, quarantines, and restrictions on large gatherings. In turn, these resulted in lower consumer activity, diminished demand for a wide range of products and services, disruption in manufacturing and supply chains, and – given the wide variability in outcomes regarding the outbreak – significant market uncertainty and volatility. Amid the turmoil, 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.
The situation continues to unfold, and the extent and duration of its impact on financial markets and the economy remain highly uncertain. Extreme events such as the coronavirus crisis are “exogenous shocks” that can have significant adverse effects on mutual funds and their investments. Although multiple asset classes may be affected by market disruption, the duration and impact may not be the same for all types of assets.
Fidelity is committed to helping you stay informed amid news about COVID-19 and during increased market volatility, and we’re taking extra steps to be responsive to customer needs. We encourage you to visit our websites, where we offer ongoing updates, commentary, and analysis on the markets and our funds.
Performance: The Bottom Line
Average annual total return reflects the change in the value of an investment, assuming reinvestment of distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year. The hypothetical investment and the average annual total returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund’s total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.
Average Annual Total Returns
For the periods ended May 31, 2020 | Past 1 year | Past 5 years | Past 10 years |
Strategic Advisers® Value Fund | (1.32)% | 4.32% | 9.63% |
$10,000 Over Life of Fund
Let's say hypothetically that $10,000 was invested in Strategic Advisers® Value Fund on December 30, 2008, when the fund started.
The chart shows how the value of your investment would have changed, and also shows how the Russell 1000® Value Index performed over the same period.
Period Ending Values | ||
$25,069 | Strategic Advisers® Value Fund | |
$25,577 | Russell 1000® Value Index |
Management's Discussion of Fund Performance
Market Recap: The S&P 500® index gained 12.84% for the year ending May 31, 2020, in what was a bumpy ride for U.S. equity investors, marked by a steep but brief decline due to the early-2020 outbreak and spread of the coronavirus, followed by a sharp upturn. Declared a pandemic on March 11, the COVID-19 crisis and containment efforts caused broad contraction in economic activity, along with extreme uncertainty, volatility and dislocation in financial markets. By mid-March, U.S. stocks had entered bear-market territory less than a month after hitting an all-time high and extending the longest-running bull market in American history. Stocks slid in late February, after a surge in COVID-19 cases emerged outside China. The downtrend continued in March (-12.35%), capping the index’s worst quarter since 2008. A historically rapid and expansive U.S. monetary/fiscal-policy response helped provide a partial offset to the economic disruption. This was evident in April, when the index achieved its highest monthly gain (+12.82%) since 1991, boosted by improving infection data, plans for reopening the economy and progress on potential treatments. The stark turnaround continued in May, driven by stocks that do well in an economic recovery, even as high unemployment persisted. By sector, energy shares (-29%) fell hard along with the price of crude oil. Financials (-8%) and industrials (-4%) also notably lagged. In contrast, information technology (+38%) led by a wide margin, followed by health care (+21%), communication services and consumer discretionary (each +16%).Comments from Lead Portfolio Manager John Stone: For the fiscal year, the Fund returned -1.32%, outpacing the -1.64% result of the benchmark Russell 1000® Value Index. The broader portfolio was substantially overweighted in the information technology sector – the best-performing index category – and underweighted in energy, the poorest-performing group. This positioning helped the Fund stay ahead of the benchmark, despite posting a negative return. Sub-adviser Brandywine Global Investment Management (-0.5%) was the top contributor versus the benchmark. This manager's emphasis on higher-quality, large-cap value stocks – particularly in technology and health care – boosted its performance. Fidelity® SAI® U.S. Low Volatility Index Fund (+8.9%) also added considerable value this period. This fund seeks to replicate the performance of a custom index of large-cap U.S. stocks that, in aggregate, have exhibited lower volatility than the broad equity market. On the downside, sub-adviser LSV Asset Management (-5.1%) was the biggest relative detractor. LSV employs a quantitative, deep-value approach and this period, this process struggled as market fluctuations made it difficult to identify investable trends. Additionally, holdings in industry groups that declined sharply amid the coronavirus pandemic, such as airlines and retailers, also hampered LSV's performance. Sub-adviser JPMorgan Investment Management (-6.8%) underperformed due to adverse positioning in financials and poor picks among industrials stocks. As of May 31, the broader Fund is tilted toward underlying strategies that focus on sectors which have historically performed well during the early stages of an economic recovery, such as industrials, financials, energy and consumer discretionary.The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
Note to shareholders: On June 3, 2020, the Board of Trustees approved a proposal to merge Strategic Advisers® Core Fund, Strategic Advisers® Growth Fund and Strategic Advisers® Value Fund into a new fund, Strategic Advisers® Large Cap Fund, subject to shareholder approval. A special meeting of the shareholders of each acquired fund (SA Core, Growth and Value) is expected to be held in the fourth quarter of 2020. This reorganization would occur on a tax-free basis, and if approved by shareholders of each acquired fund, is expected to take place on or about November 13, 2020. A combined proxy statement and prospectus containing more information with respect to the reorganization will be provided to shareholders of record of each acquired fund in advance of the meeting.Investment Summary (Unaudited)
The information in the following tables is based on the direct investments of the Fund.Top Ten Holdings as of May 31, 2020
(excluding cash equivalents) | % of fund's net assets |
Fidelity SAI U.S. Large Cap Index Fund | 6.1 |
Fidelity SAI U.S. Low Volatility Index Fund | 5.7 |
JPMorgan Chase & Co. | 2.5 |
Bank of America Corp. | 2.4 |
Intel Corp. | 2.2 |
Verizon Communications, Inc. | 2.2 |
Pfizer, Inc. | 2.0 |
Invesco Diversified Dividend Fund Class R6 | 1.7 |
AT&T, Inc. | 1.6 |
Merck & Co., Inc. | 1.6 |
28.0 |
Top Five Market Sectors as of May 31, 2020
(stocks only) | % of fund's net assets |
Financials | 21.0 |
Health Care | 13.8 |
Information Technology | 11.3 |
Industrials | 9.5 |
Communication Services | 6.0 |
Asset Allocation (% of fund's net assets)
As of May 31, 2020* | ||
Common Stocks | 84.3% | |
Large Blend Funds | 11.8% | |
Large Value Funds | 2.3% | |
Short-Term Investments and Net Other Assets (Liabilities) | 1.6% |
* Assets allocations of funds in the pie chart reflect the categorizations of assets as defined by Morningstar as of the reporting date indicated above.
Schedule of Investments May 31, 2020
Showing Percentage of Net Assets
Common Stocks - 84.3% | |||
Shares | Value | ||
COMMUNICATION SERVICES - 6.0% | |||
Diversified Telecommunication Services - 3.8% | |||
AT&T, Inc. | 4,629,400 | $142,863,284 | |
Verizon Communications, Inc. | 3,295,323 | 189,085,634 | |
331,948,918 | |||
Entertainment - 0.2% | |||
Electronic Arts, Inc. (a) | 120,400 | 14,794,752 | |
Interactive Media & Services - 0.2% | |||
Alphabet, Inc. Class A (a) | 7,196 | 10,315,610 | |
Twitter, Inc. (a) | 247,000 | 7,649,590 | |
17,965,200 | |||
Media - 1.8% | |||
Charter Communications, Inc. Class A (a) | 22,570 | 12,278,080 | |
Comcast Corp. Class A | 2,433,477 | 96,365,689 | |
Discovery Communications, Inc.: | |||
Class A (a)(b) | 63,100 | 1,372,425 | |
Class C (non-vtg.) (a) | 254,978 | 4,995,019 | |
DISH Network Corp. Class A (a) | 256,410 | 8,115,377 | |
Entercom Communications Corp. Class A | 625,195 | 1,044,076 | |
Fox Corp. Class A | 124,600 | 3,634,582 | |
Interpublic Group of Companies, Inc. | 133,770 | 2,288,805 | |
Nexstar Broadcasting Group, Inc. Class A | 91,251 | 7,602,121 | |
Omnicom Group, Inc. | 89,719 | 4,915,704 | |
Tegna, Inc. | 471,200 | 5,522,464 | |
ViacomCBS, Inc. Class B | 458,687 | 9,513,168 | |
157,647,510 | |||
TOTAL COMMUNICATION SERVICES | 522,356,380 | ||
CONSUMER DISCRETIONARY - 6.0% | |||
Auto Components - 0.6% | |||
Aptiv PLC | 105,229 | 7,929,005 | |
BorgWarner, Inc. | 391,316 | 12,580,809 | |
Cooper Tire & Rubber Co. | 265,127 | 6,821,718 | |
Gentex Corp. | 98,267 | 2,598,179 | |
Lear Corp. | 176,456 | 18,713,159 | |
Magna International, Inc. Class A | 18,395 | 775,901 | |
The Goodyear Tire & Rubber Co. | 685,300 | 5,215,133 | |
54,633,904 | |||
Automobiles - 0.7% | |||
Ford Motor Co. | 2,037,000 | 11,631,270 | |
General Motors Co. | 1,186,424 | 30,704,653 | |
Harley-Davidson, Inc. (b) | 401,872 | 8,575,948 | |
Thor Industries, Inc. | 124,030 | 10,691,386 | |
61,603,257 | |||
Distributors - 0.1% | |||
Genuine Parts Co. | 59,853 | 4,992,339 | |
LKQ Corp. (a) | 126,300 | 3,468,198 | |
8,460,537 | |||
Hotels, Restaurants & Leisure - 0.3% | |||
Brinker International, Inc. | 342,271 | 9,018,841 | |
Hyatt Hotels Corp. Class A | 14,179 | 781,121 | |
Royal Caribbean Cruises Ltd. (b) | 94,500 | 4,901,715 | |
Wyndham Destinations, Inc. | 228,000 | 7,250,400 | |
Wyndham Hotels & Resorts, Inc. | 41,208 | 1,892,683 | |
23,844,760 | |||
Household Durables - 1.1% | |||
D.R. Horton, Inc. | 151,979 | 8,404,439 | |
Lennar Corp.: | |||
Class A | 361,103 | 21,832,287 | |
Class B | 6,200 | 278,256 | |
Mohawk Industries, Inc. (a) | 79,003 | 7,363,080 | |
Newell Brands, Inc. | 358,406 | 4,713,039 | |
PulteGroup, Inc. | 615,307 | 20,901,979 | |
Sony Corp. sponsored ADR (b) | 179,000 | 11,592,040 | |
Whirlpool Corp. | 174,522 | 21,260,270 | |
96,345,390 | |||
Internet & Direct Marketing Retail - 0.6% | |||
eBay, Inc. | 841,000 | 38,299,140 | |
The Booking Holdings, Inc. (a) | 5,618 | 9,210,262 | |
47,509,402 | |||
Multiline Retail - 0.6% | |||
Big Lots, Inc. | 160,800 | 6,231,000 | |
Dillard's, Inc. Class A (b) | 109,300 | 3,280,093 | |
Kohl's Corp. | 524,755 | 10,085,791 | |
Macy's, Inc. (b) | 348,100 | 2,213,916 | |
Nordstrom, Inc. (b) | 232,156 | 3,744,676 | |
Target Corp. | 230,200 | 28,160,366 | |
53,715,842 | |||
Specialty Retail - 1.7% | |||
Advance Auto Parts, Inc. | 27,500 | 3,831,300 | |
American Eagle Outfitters, Inc. | 464,400 | 4,253,904 | |
AutoZone, Inc. (a) | 32,895 | 37,758,855 | |
Best Buy Co., Inc. | 502,105 | 39,209,379 | |
CarMax, Inc. (a) | 67,311 | 5,926,734 | |
Dick's Sporting Goods, Inc. | 233,200 | 8,409,192 | |
Foot Locker, Inc. | 71,661 | 1,985,010 | |
Lowe's Companies, Inc. | 40,818 | 5,320,626 | |
Murphy U.S.A., Inc. (a) | 52,406 | 6,084,337 | |
Office Depot, Inc. | 579,800 | 1,432,106 | |
Penske Automotive Group, Inc. | 177,500 | 6,347,400 | |
Sleep Number Corp. (a) | 162,100 | 5,052,657 | |
The Home Depot, Inc. | 33,557 | 8,338,243 | |
TJX Companies, Inc. | 99,969 | 5,274,364 | |
Williams-Sonoma, Inc. | 71,848 | 5,978,472 | |
145,202,579 | |||
Textiles, Apparel & Luxury Goods - 0.3% | |||
Carter's, Inc. | 111,600 | 9,587,556 | |
Columbia Sportswear Co. | 102,847 | 7,514,002 | |
Ralph Lauren Corp. | 98,129 | 7,409,721 | |
Skechers U.S.A., Inc. Class A (sub. vtg.) (a) | 55,200 | 1,728,864 | |
Tapestry, Inc. | 137,087 | 1,864,383 | |
28,104,526 | |||
TOTAL CONSUMER DISCRETIONARY | 519,420,197 | ||
CONSUMER STAPLES - 4.6% | |||
Beverages - 0.4% | |||
Coca-Cola European Partners PLC | 73,126 | 2,756,850 | |
Keurig Dr. Pepper, Inc. | 180,734 | 5,046,093 | |
Molson Coors Beverage Co. Class B | 443,782 | 16,845,965 | |
The Coca-Cola Co. | 226,000 | 10,549,680 | |
35,198,588 | |||
Food & Staples Retailing - 1.3% | |||
Kroger Co. | 1,361,702 | 44,418,719 | |
Sysco Corp. | 139,475 | 7,693,441 | |
Walgreens Boots Alliance, Inc. | 1,446,467 | 62,111,293 | |
114,223,453 | |||
Food Products - 2.0% | |||
Archer Daniels Midland Co. | 229,500 | 9,021,645 | |
Conagra Brands, Inc. | 719,100 | 25,017,489 | |
Ingredion, Inc. | 201,900 | 17,006,037 | |
Kellogg Co. | 140,559 | 9,179,908 | |
Pilgrim's Pride Corp. (a) | 270,400 | 5,589,168 | |
Post Holdings, Inc. (a) | 101,652 | 8,849,823 | |
The J.M. Smucker Co. | 286,945 | 32,691,644 | |
The Kraft Heinz Co. | 1,029,600 | 31,371,912 | |
Tyson Foods, Inc. Class A | 519,012 | 31,888,097 | |
170,615,723 | |||
Household Products - 0.4% | |||
Energizer Holdings, Inc. (b) | 199,467 | 8,752,612 | |
Kimberly-Clark Corp. | 45,303 | 6,407,656 | |
Procter & Gamble Co. | 140,058 | 16,235,523 | |
31,395,791 | |||
Personal Products - 0.0% | |||
Coty, Inc. Class A | 617,960 | 2,243,195 | |
Tobacco - 0.5% | |||
Philip Morris International, Inc. | 641,349 | 47,049,363 | |
TOTAL CONSUMER STAPLES | 400,726,113 | ||
ENERGY - 4.3% | |||
Oil, Gas & Consumable Fuels - 4.3% | |||
Cabot Oil & Gas Corp. | 967,479 | 19,194,783 | |
Chevron Corp. | 970,346 | 88,980,728 | |
Concho Resources, Inc. | 71,600 | 3,903,632 | |
ConocoPhillips Co. | 1,253,168 | 52,858,626 | |
Diamondback Energy, Inc. | 80,461 | 3,426,029 | |
EQT Corp. | 369,163 | 4,924,634 | |
Equitrans Midstream Corp. (b) | 621,671 | 5,029,318 | |
Gulfport Energy Corp. (a) | 1,106,553 | 1,670,895 | |
Kinder Morgan, Inc. | 1,456,406 | 23,011,215 | |
Marathon Petroleum Corp. | 726,489 | 25,528,823 | |
PBF Energy, Inc. Class A | 522,862 | 5,552,794 | |
Phillips 66 Co. | 789,048 | 61,750,896 | |
Pioneer Natural Resources Co. | 106,000 | 9,709,600 | |
Royal Dutch Shell PLC Class A sponsored ADR (b) | 85,724 | 2,738,882 | |
The Williams Companies, Inc. | 547,161 | 11,178,499 | |
Total SA sponsored ADR | 79,439 | 2,985,318 | |
Valero Energy Corp. | 725,670 | 48,358,649 | |
370,803,321 | |||
FINANCIALS - 21.0% | |||
Banks - 9.8% | |||
Bank of America Corp. | 8,757,069 | 211,220,504 | |
BOK Financial Corp. | 69,000 | 3,514,860 | |
CIT Group, Inc. | 251,200 | 4,556,768 | |
Citigroup, Inc. | 2,294,173 | 109,913,828 | |
Citizens Financial Group, Inc. | 1,075,564 | 25,921,092 | |
Commerce Bancshares, Inc. | 150,161 | 9,569,761 | |
Cullen/Frost Bankers, Inc. | 83,768 | 6,363,855 | |
East West Bancorp, Inc. | 187,500 | 6,553,125 | |
Fifth Third Bancorp | 1,168,258 | 22,652,523 | |
First Republic Bank | 44,589 | 4,823,192 | |
Huntington Bancshares, Inc. | 878,237 | 7,807,527 | |
JPMorgan Chase & Co. | 2,267,594 | 220,659,572 | |
KeyCorp | 1,651,496 | 19,570,228 | |
M&T Bank Corp. | 164,300 | 17,359,938 | |
Mitsubishi UFJ Financial Group, Inc. sponsored ADR | 990,000 | 4,128,300 | |
PNC Financial Services Group, Inc. | 477,423 | 54,445,319 | |
Regions Financial Corp. | 2,571,460 | 29,083,213 | |
Signature Bank | 21,465 | 2,208,963 | |
SVB Financial Group (a) | 21,300 | 4,574,175 | |
Truist Financial Corp. | 801,355 | 29,473,837 | |
U.S. Bancorp | 899,631 | 31,990,878 | |
Wells Fargo & Co. | 889,020 | 23,532,359 | |
Zions Bancorp NA | 70,161 | 2,308,648 | |
852,232,465 | |||
Capital Markets - 3.9% | |||
Ameriprise Financial, Inc. | 422,573 | 59,189,800 | |
Bank of New York Mellon Corp. | 379,625 | 14,110,661 | |
BlackRock, Inc. Class A | 63,977 | 33,820,801 | |
Charles Schwab Corp. | 867,520 | 31,152,643 | |
Eaton Vance Corp. (non-vtg.) | 45,900 | 1,654,695 | |
Goldman Sachs Group, Inc. | 240,734 | 47,301,824 | |
Invesco Ltd. | 251,820 | 2,007,005 | |
LPL Financial | 33,335 | 2,379,786 | |
Morgan Stanley | 1,546,056 | 68,335,675 | |
Northern Trust Corp. | 173,848 | 13,735,730 | |
Raymond James Financial, Inc. | 57,222 | 3,964,340 | |
SEI Investments Co. | 59,652 | 3,234,331 | |
State Street Corp. | 536,900 | 32,729,424 | |
T. Rowe Price Group, Inc. | 206,875 | 25,011,188 | |
338,627,903 | |||
Consumer Finance - 1.4% | |||
American Express Co. | 447,325 | 42,527,188 | |
Capital One Financial Corp. | 841,856 | 57,279,882 | |
Credit Acceptance Corp. (a)(b) | 7,787 | 2,879,788 | |
Discover Financial Services | 340,900 | 16,196,159 | |
Navient Corp. | 619,200 | 4,606,848 | |
123,489,865 | |||
Diversified Financial Services - 0.7% | |||
AXA Equitable Holdings, Inc. | 191,800 | 3,665,298 | |
Berkshire Hathaway, Inc. Class B (a) | 257,510 | 47,788,706 | |
Jefferies Financial Group, Inc. | 123,918 | 1,815,399 | |
Voya Financial, Inc. | 61,007 | 2,748,365 | |
56,017,768 | |||
Insurance - 5.0% | |||
AFLAC, Inc. | 689,732 | 25,154,526 | |
Alleghany Corp. | 13,855 | 7,109,001 | |
Allstate Corp. | 487,215 | 47,654,499 | |
American Financial Group, Inc. | 97,800 | 5,891,472 | |
American International Group, Inc. | 488,609 | 14,687,587 | |
Arch Capital Group Ltd. (a) | 166,800 | 4,707,096 | |
Assurant, Inc. | 24,700 | 2,533,726 | |
Assured Guaranty Ltd. | 196,950 | 5,106,914 | |
Axis Capital Holdings Ltd. | 161,900 | 6,077,726 | |
Chubb Ltd. | 421,864 | 51,442,096 | |
CNA Financial Corp. | 37,800 | 1,142,694 | |
Everest Re Group Ltd. | 106,295 | 21,089,991 | |
Fairfax Financial Holdings Ltd. | 17,863 | 4,970,558 | |
First American Financial Corp. | 40,500 | 2,044,845 | |
FNF Group | 113,337 | 3,615,450 | |
Globe Life, Inc. | 97,482 | 7,508,064 | |
Hanover Insurance Group, Inc. | 14,200 | 1,424,970 | |
Hartford Financial Services Group, Inc. | 455,977 | 17,459,359 | |
Lincoln National Corp. | 531,900 | 20,174,967 | |
Loews Corp. | 677,640 | 22,524,754 | |
Markel Corp. (a) | 5,762 | 5,170,934 | |
Marsh & McLennan Companies, Inc. | 122,411 | 12,965,773 | |
MetLife, Inc. | 897,616 | 32,323,152 | |
Old Republic International Corp. | 89,000 | 1,387,510 | |
Progressive Corp. | 369,961 | 28,738,570 | |
Prudential Financial, Inc. | 420,508 | 25,634,168 | |
Reinsurance Group of America, Inc. | 44,273 | 4,017,775 | |
RenaissanceRe Holdings Ltd. | 16,000 | 2,685,760 | |
The Travelers Companies, Inc. | 380,861 | 40,744,510 | |
Unum Group | 383,000 | 5,802,450 | |
W.R. Berkley Corp. | 63,415 | 3,674,899 | |
435,465,796 | |||
Mortgage Real Estate Investment Trusts - 0.1% | |||
Annaly Capital Management, Inc. | 1,012,900 | 6,239,464 | |
Thrifts & Mortgage Finance - 0.1% | |||
New York Community Bancorp, Inc. | 192,398 | 1,933,600 | |
Radian Group, Inc. | 448,300 | 7,119,004 | |
9,052,604 | |||
TOTAL FINANCIALS | 1,821,125,865 | ||
HEALTH CARE - 13.8% | |||
Biotechnology - 3.3% | |||
AbbVie, Inc. | 407,348 | 37,748,939 | |
Alexion Pharmaceuticals, Inc. (a) | 293,400 | 35,178,660 | |
Amgen, Inc. | 465,456 | 106,915,243 | |
Biogen, Inc. (a) | 147,600 | 45,326,484 | |
Gilead Sciences, Inc. | 824,868 | 64,199,476 | |
289,368,802 | |||
Health Care Equipment & Supplies - 0.7% | |||
Alcon, Inc. (a)(b) | 164,000 | 10,420,560 | |
Danaher Corp. | 107,000 | 17,827,270 | |
Medtronic PLC | 314,406 | 30,994,143 | |
Zimmer Biomet Holdings, Inc. | 26,923 | 3,401,452 | |
62,643,425 | |||
Health Care Providers & Services - 3.9% | |||
AmerisourceBergen Corp. | 246,997 | 23,548,694 | |
Anthem, Inc. | 153,237 | 45,068,534 | |
Cardinal Health, Inc. | 381,300 | 20,853,297 | |
Cigna Corp. | 227,086 | 44,808,610 | |
CVS Health Corp. | 529,000 | 34,686,530 | |
DaVita HealthCare Partners, Inc. (a) | 57,300 | 4,639,008 | |
HCA Holdings, Inc. | 405,504 | 43,348,378 | |
Henry Schein, Inc. (a) | 60,364 | 3,665,302 | |
Laboratory Corp. of America Holdings (a) | 39,976 | 7,008,592 | |
McKesson Corp. | 275,339 | 43,688,039 | |
Molina Healthcare, Inc. (a) | 23,500 | 4,366,770 | |
Quest Diagnostics, Inc. | 199,467 | 23,592,957 | |
UnitedHealth Group, Inc. | 73,433 | 22,386,050 | |
Universal Health Services, Inc. Class B | 159,200 | 16,787,640 | |
338,448,401 | |||
Life Sciences Tools & Services - 0.1% | |||
Avantor, Inc. | 177,418 | 3,365,619 | |
Bio-Rad Laboratories, Inc. Class A (a) | 9,700 | 4,765,804 | |
8,131,423 | |||
Pharmaceuticals - 5.8% | |||
Bristol-Myers Squibb Co. | 839,072 | 50,109,380 | |
Elanco Animal Health, Inc. (a) | 344,000 | 7,365,040 | |
GlaxoSmithKline PLC sponsored ADR | 143,111 | 5,999,213 | |
Jazz Pharmaceuticals PLC (a) | 123,900 | 14,783,748 | |
Johnson & Johnson | 593,521 | 88,286,249 | |
Merck & Co., Inc. | 1,717,493 | 138,636,035 | |
Novartis AG sponsored ADR | 204,933 | 17,917,292 | |
Perrigo Co. PLC | 56,000 | 3,067,120 | |
Pfizer, Inc. | 4,534,473 | 173,171,524 | |
499,335,601 | |||
TOTAL HEALTH CARE | 1,197,927,652 | ||
INDUSTRIALS - 9.5% | |||
Aerospace & Defense - 2.0% | |||
Curtiss-Wright Corp. | 16,900 | 1,695,070 | |
General Dynamics Corp. | 211,454 | 31,047,791 | |
Huntington Ingalls Industries, Inc. | 108,330 | 21,654,084 | |
Lockheed Martin Corp. | 116,066 | 45,084,677 | |
Moog, Inc. Class A | 100,300 | 5,445,287 | |
Northrop Grumman Corp. | 85,703 | 28,727,646 | |
Raytheon Technologies Corp. | 304,703 | 19,659,438 | |
Spirit AeroSystems Holdings, Inc. Class A | 166,500 | 3,608,055 | |
Textron, Inc. | 408,600 | 12,654,342 | |
Vectrus, Inc. (a) | 37,733 | 2,072,296 | |
171,648,686 | |||
Air Freight & Logistics - 0.6% | |||
FedEx Corp. | 59,700 | 7,794,432 | |
United Parcel Service, Inc. Class B | 288,855 | 28,801,732 | |
XPO Logistics, Inc. (a) | 200,000 | 15,762,000 | |
52,358,164 | |||
Airlines - 0.3% | |||
Delta Air Lines, Inc. | 430,000 | 10,840,300 | |
Southwest Airlines Co. | 172,372 | 5,533,141 | |
United Airlines Holdings, Inc. (a)(b) | 319,300 | 8,953,172 | |
25,326,613 | |||
Building Products - 0.5% | |||
Allegion PLC | 96,000 | 9,571,200 | |
Carrier Global Corp. (a) | 117,001 | 2,395,010 | |
Fortune Brands Home & Security, Inc. | 56,560 | 3,447,898 | |
Johnson Controls International PLC | 540,900 | 16,989,669 | |
Masco Corp. | 117,136 | 5,464,394 | |
Owens Corning | 160,989 | 8,451,923 | |
46,320,094 | |||
Commercial Services & Supplies - 0.0% | |||
Deluxe Corp. | 166,100 | 3,875,113 | |
Construction & Engineering - 0.0% | |||
Quanta Services, Inc. | 58,702 | 2,167,865 | |
Electrical Equipment - 0.7% | |||
AMETEK, Inc. | 29,635 | 2,717,826 | |
Eaton Corp. PLC | 402,067 | 34,135,488 | |
Emerson Electric Co. | 243,400 | 14,852,268 | |
Hubbell, Inc. Class B | 22,392 | 2,741,229 | |
Sensata Technologies, Inc. PLC (a) | 65,493 | 2,334,825 | |
56,781,636 | |||
Industrial Conglomerates - 1.0% | |||
3M Co. | 209,242 | 32,733,818 | |
Carlisle Companies, Inc. | 66,366 | 7,954,629 | |
Honeywell International, Inc. | 331,023 | 48,279,705 | |
88,968,152 | |||
Machinery - 3.3% | |||
AGCO Corp. | 245,838 | 13,577,633 | |
Allison Transmission Holdings, Inc. | 270,991 | 10,221,781 | |
Caterpillar, Inc. | 401,902 | 48,280,487 | |
Cummins, Inc. | 323,086 | 54,795,386 | |
Deere & Co. | 169,260 | 25,747,831 | |
Dover Corp. | 234,063 | 22,762,627 | |
Illinois Tool Works, Inc. | 42,116 | 7,263,325 | |
ITT, Inc. | 104,473 | 6,028,092 | |
Lincoln Electric Holdings, Inc. | 22,000 | 1,807,740 | |
Middleby Corp. (a) | 67,787 | 4,616,295 | |
Oshkosh Corp. | 389,223 | 27,953,996 | |
Otis Worldwide Corp. | 111,026 | 5,845,519 | |
PACCAR, Inc. | 142,549 | 10,528,669 | |
Parker Hannifin Corp. | 107,970 | 19,431,361 | |
Pentair PLC | 66,719 | 2,611,382 | |
Snap-On, Inc. | 22,594 | 2,930,216 | |
Timken Co. | 197,300 | 8,393,142 | |
Trinity Industries, Inc. (b) | 447,800 | 8,942,566 | |
Xylem, Inc. | 129,000 | 8,557,860 | |
290,295,908 | |||
Professional Services - 0.1% | |||
Manpower, Inc. | 24,300 | 1,680,102 | |
Robert Half International, Inc. | 75,155 | 3,813,365 | |
5,493,467 | |||
Road & Rail - 0.7% | |||
AMERCO | 8,039 | 2,592,578 | |
CSX Corp. | 320,500 | 22,941,390 | |
Kansas City Southern | 38,091 | 5,733,457 | |
Knight-Swift Transportation Holdings, Inc. Class A | 70,320 | 2,926,015 | |
Norfolk Southern Corp. | 93,141 | 16,606,109 | |
Union Pacific Corp. | 36,689 | 6,231,994 | |
57,031,543 | |||
Trading Companies & Distributors - 0.3% | |||
HD Supply Holdings, Inc. (a) | 275,700 | 8,742,447 | |
United Rentals, Inc. (a) | 58,192 | 8,082,287 | |
W.W. Grainger, Inc. | 22,179 | 6,867,062 | |
23,691,796 | |||
TOTAL INDUSTRIALS | 823,959,037 | ||
INFORMATION TECHNOLOGY - 11.3% | |||
Communications Equipment - 1.6% | |||
Cisco Systems, Inc. | 2,671,605 | 127,756,151 | |
CommScope Holding Co., Inc. (a) | 571,506 | 5,892,227 | |
Juniper Networks, Inc. | 136,219 | 3,304,673 | |
136,953,051 | |||
Electronic Equipment & Components - 0.4% | |||
Arrow Electronics, Inc. (a) | 215,478 | 14,885,220 | |
Corning, Inc. | 276,100 | 6,292,319 | |
Jabil, Inc. | 58,700 | 1,756,304 | |
Vishay Intertechnology, Inc. | 507,400 | 8,250,324 | |
31,184,167 | |||
IT Services - 1.3% | |||
Cognizant Technology Solutions Corp. Class A | 215,300 | 11,410,900 | |
CSG Systems International, Inc. | 185,800 | 8,797,630 | |
DXC Technology Co. | 162,100 | 2,303,441 | |
IBM Corp. | 539,260 | 67,353,574 | |
PayPal Holdings, Inc. (a) | 98,419 | 15,255,929 | |
The Western Union Co. | 163,446 | 3,272,189 | |
108,393,663 | |||
Semiconductors & Semiconductor Equipment - 5.3% | |||
Analog Devices, Inc. | 94,749 | 10,701,900 | |
Applied Materials, Inc. | 823,602 | 46,269,960 | |
Broadcom, Inc. | 164,000 | 47,768,280 | |
Cirrus Logic, Inc. (a) | 85,700 | 6,211,536 | |
Intel Corp. | 3,074,911 | 193,504,149 | |
KLA-Tencor Corp. | 39,655 | 6,977,694 | |
Lam Research Corp. | 140,141 | 38,352,387 | |
Microchip Technology, Inc. (b) | 133,000 | 12,770,660 | |
Micron Technology, Inc. (a) | 643,119 | 30,811,831 | |
NXP Semiconductors NV | 77,757 | 7,472,448 | |
ON Semiconductor Corp. (a) | 215,547 | 3,554,370 | |
Qorvo, Inc. (a) | 94,024 | 9,848,074 | |
Qualcomm, Inc. | 147,097 | 11,897,205 | |
Skyworks Solutions, Inc. | 175,400 | 20,791,916 | |
Texas Instruments, Inc. | 101,065 | 12,000,458 | |
458,932,868 | |||
Software - 1.8% | |||
Adobe, Inc. (a) | 54,500 | 21,069,700 | |
ANSYS, Inc. (a) | 57,000 | 16,131,000 | |
CDK Global, Inc. | 48,311 | 1,899,105 | |
Microsoft Corp. | 198,590 | 36,391,618 | |
Oracle Corp. | 1,446,449 | 77,775,563 | |
SS&C Technologies Holdings, Inc. | 66,942 | 3,875,607 | |
157,142,593 | |||
Technology Hardware, Storage & Peripherals - 0.9% | |||
Hewlett Packard Enterprise Co. | 1,762,380 | 17,112,710 | |
HP, Inc. | 1,909,200 | 28,905,288 | |
NCR Corp. (a) | 236,200 | 4,263,410 | |
NetApp, Inc. | 88,000 | 3,919,520 | |
Seagate Technology LLC | 343,000 | 18,192,720 | |
Western Digital Corp. | 104,634 | 4,642,611 | |
Xerox Holdings Corp. | 282,500 | 4,486,100 | |
81,522,359 | |||
TOTAL INFORMATION TECHNOLOGY | 974,128,701 | ||
MATERIALS - 3.7% | |||
Chemicals - 2.0% | |||
AdvanSix, Inc. (a) | 59,849 | 708,612 | |
Albemarle Corp. U.S. | 43,700 | 3,343,924 | |
Cabot Corp. | 215,400 | 7,694,088 | |
Celanese Corp. Class A | 278,605 | 25,049,376 | |
Corteva, Inc. | 583,165 | 15,926,236 | |
DuPont de Nemours, Inc. | 171,726 | 8,711,660 | |
Eastman Chemical Co. | 399,867 | 27,222,945 | |
FMC Corp. | 82,922 | 8,160,354 | |
Huntsman Corp. | 826,700 | 15,004,605 | |
LyondellBasell Industries NV Class A | 539,031 | 34,368,617 | |
PPG Industries, Inc. | 120,613 | 12,262,724 | |
RPM International, Inc. | 136,000 | 10,170,080 | |
The Chemours Co. LLC | 279,700 | 3,666,867 | |
172,290,088 | |||
Construction Materials - 0.3% | |||
CRH PLC sponsored ADR | 159,505 | 5,129,681 | |
Martin Marietta Materials, Inc. | 102,764 | 19,739,937 | |
24,869,618 | |||
Containers & Packaging - 0.8% | |||
Avery Dennison Corp. | 30,256 | 3,348,432 | |
Ball Corp. | 109,418 | 7,797,127 | |
Crown Holdings, Inc. (a) | 55,800 | 3,650,994 | |
Graphic Packaging Holding Co. | 532,730 | 7,708,603 | |
International Paper Co. | 396,735 | 13,508,827 | |
Packaging Corp. of America | 131,413 | 13,326,592 | |
Sealed Air Corp. | 61,900 | 1,986,990 | |
Sonoco Products Co. | 32,556 | 1,686,726 | |
WestRock Co. | 604,402 | 16,959,520 | |
69,973,811 | |||
Metals & Mining - 0.5% | |||
Barrick Gold Corp. | 643,422 | 15,442,128 | |
Freeport-McMoRan, Inc. | 577,700 | 5,239,739 | |
Newmont Corp. | 73,907 | 4,321,342 | |
Nucor Corp. | 124,803 | 5,274,175 | |
Reliance Steel & Aluminum Co. | 86,764 | 8,416,108 | |
Steel Dynamics, Inc. | 88,800 | 2,358,528 | |
Yamana Gold, Inc. | 868,534 | 4,699,552 | |
45,751,572 | |||
Paper & Forest Products - 0.1% | |||
Domtar Corp. | 211,100 | 4,306,440 | |
Schweitzer-Mauduit International, Inc. | 165,200 | 5,020,428 | |
9,326,868 | |||
TOTAL MATERIALS | 322,211,957 | ||
REAL ESTATE - 1.7% | |||
Equity Real Estate Investment Trusts (REITs) - 1.5% | |||
American Homes 4 Rent Class A | 262,545 | 6,626,636 | |
Boston Properties, Inc. | 30,780 | 2,646,464 | |
Brandywine Realty Trust (SBI) | 614,800 | 5,932,820 | |
Brixmor Property Group, Inc. | 434,789 | 4,852,245 | |
EastGroup Properties, Inc. | 33,566 | 3,902,048 | |
Equity Lifestyle Properties, Inc. | 100,000 | 6,230,000 | |
Federal Realty Investment Trust (SBI) | 64,878 | 5,184,401 | |
Hospitality Properties Trust (SBI) | 461,800 | 3,117,150 | |
Kimco Realty Corp. | 318,986 | 3,543,934 | |
Lexington Corporate Properties Trust | 666,800 | 6,481,296 | |
Mid-America Apartment Communities, Inc. | 77,919 | 9,066,655 | |
Omega Healthcare Investors, Inc. | 356,200 | 11,092,068 | |
Outfront Media, Inc. | 244,260 | 3,429,410 | |
Paramount Group, Inc. | 715,000 | 5,512,650 | |
Park Hotels & Resorts, Inc. | 332,200 | 3,265,526 | |
Piedmont Office Realty Trust, Inc. Class A | 655,900 | 10,940,412 | |
Public Storage | 53,978 | 10,943,500 | |
Rayonier, Inc. | 292,715 | 6,951,981 | |
Sun Communities, Inc. | 47,000 | 6,447,930 | |
VEREIT, Inc. | 2,035,200 | 11,152,896 | |
Weyerhaeuser Co. | 244,921 | 4,944,955 | |
132,264,977 | |||
Real Estate Management & Development - 0.2% | |||
CBRE Group, Inc. (a) | 324,057 | 14,252,027 | |
TOTAL REAL ESTATE | 146,517,004 | ||
UTILITIES - 2.4% | |||
Electric Utilities - 1.8% | |||
American Electric Power Co., Inc. | 435,524 | 37,128,421 | |
Duke Energy Corp. | 81,863 | 7,009,929 | |
Edison International | 228,857 | 13,298,880 | |
Entergy Corp. | 56,844 | 5,787,856 | |
Evergy, Inc. | 93,800 | 5,786,522 | |
Exelon Corp. | 657,000 | 25,169,670 | |
FirstEnergy Corp. | 176,700 | 7,467,342 | |
NextEra Energy, Inc. | 64,612 | 16,512,243 | |
NRG Energy, Inc. | 385,500 | 13,897,275 | |
OGE Energy Corp. | 79,636 | 2,494,200 | |
Pinnacle West Capital Corp. | 68,575 | 5,341,993 | |
Xcel Energy, Inc. | 233,601 | 15,191,073 | |
155,085,404 | |||
Independent Power and Renewable Electricity Producers - 0.3% | |||
The AES Corp. | 256,269 | 3,200,800 | |
Vistra Energy Corp. | 1,014,305 | 20,732,394 | |
23,933,194 | |||
Multi-Utilities - 0.3% | |||
CenterPoint Energy, Inc. | 100,952 | 1,794,927 | |
Public Service Enterprise Group, Inc. | 560,128 | 28,588,933 | |
30,383,860 | |||
TOTAL UTILITIES | 209,402,458 | ||
TOTAL COMMON STOCKS | |||
(Cost $5,984,670,882) | 7,308,578,685 | ||
Equity Funds - 14.1% | |||
Large Blend Funds - 11.8% | |||
Fidelity SAI U.S. Large Cap Index Fund (c) | 32,407,040 | 531,799,524 | |
Fidelity SAI U.S. Low Volatility Index Fund (c) | 33,865,138 | 489,689,898 | |
TOTAL LARGE BLEND FUNDS | 1,021,489,422 | ||
Large Value Funds - 2.3% | |||
Fidelity SAI U.S. Value Index Fund (c) | 5,950,647 | 51,830,133 | |
Invesco Diversified Dividend Fund Class R6 | 8,586,887 | 149,755,308 | |
TOTAL LARGE VALUE FUNDS | 201,585,441 | ||
TOTAL EQUITY FUNDS | |||
(Cost $1,044,429,159) | 1,223,074,863 | ||
Money Market Funds - 1.9% | |||
Fidelity Securities Lending Cash Central Fund 0.10% (d)(e) | 52,520,993 | 52,526,246 | |
State Street Institutional U.S. Government Money Market Fund Premier Class .12% (f) | 109,266,433 | 109,266,433 | |
TOTAL MONEY MARKET FUNDS | |||
(Cost $161,792,679) | 161,792,679 | ||
TOTAL INVESTMENT IN SECURITIES - 100.3% | |||
(Cost $7,190,892,720) | 8,693,446,227 | ||
NET OTHER ASSETS (LIABILITIES) - (0.3)% | (27,283,724) | ||
NET ASSETS - 100% | $8,666,162,503 |
Legend
(a) Non-income producing
(b) Security or a portion of the security is on loan at period end.
(c) Affiliated Fund
(d) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.
(e) Investment made with cash collateral received from securities on loan.
(f) The rate quoted is the annualized seven-day yield of the fund at period end.
Affiliated Central Funds
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:
Fund | Income earned |
Fidelity Securities Lending Cash Central Fund | $796,564 |
Total | $796,564 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations, if applicable. Amount for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.
Affiliated Underlying Funds
Fiscal year to date information regarding the Fund's investments in affiliated Underlying Funds, excluding any Money Market Central Funds, is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur.
Affiliate | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income | Realized Gain (loss) | Change in Unrealized appreciation (depreciation) | Value, end of period |
Fidelity SAI U.S. Large Cap Index Fund | $169,787,209 | $2,387,190,365 | $2,014,017,732 | $2,175,464 | $(53,613,653) | $42,453,335 | $531,799,524 |
Fidelity SAI U.S. Low Volatility Index Fund | 362,888,020 | 223,673,377 | 145,363,078 | 16,681,544 | 314,467 | 48,177,112 | 489,689,898 |
Fidelity SAI U.S. Value Index Fund | 35,586,584 | 50,000,000 | 36,402,643 | -- | (2,048,135) | 4,694,327 | 51,830,133 |
Total | $568,261,813 | $2,660,863,742 | $2,195,783,453 | $18,857,008 | $(55,347,321) | $95,324,774 | $1,073,319,555 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations, if applicable.
Investment Valuation
The following is a summary of the inputs used, as of May 31, 2020, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Equities: | ||||
Communication Services | $522,356,380 | $522,356,380 | $-- | $-- |
Consumer Discretionary | 519,420,197 | 519,420,197 | -- | -- |
Consumer Staples | 400,726,113 | 400,726,113 | -- | -- |
Energy | 370,803,321 | 370,803,321 | -- | -- |
Financials | 1,821,125,865 | 1,821,125,865 | -- | -- |
Health Care | 1,197,927,652 | 1,197,927,652 | -- | -- |
Industrials | 823,959,037 | 823,959,037 | -- | -- |
Information Technology | 974,128,701 | 974,128,701 | -- | -- |
Materials | 322,211,957 | 322,211,957 | -- | -- |
Real Estate | 146,517,004 | 146,517,004 | -- | -- |
Utilities | 209,402,458 | 209,402,458 | -- | -- |
Equity Funds | 1,223,074,863 | 1,223,074,863 | -- | -- |
Money Market Funds | 161,792,679 | 161,792,679 | -- | -- |
Total Investments in Securities: | $8,693,446,227 | $8,693,446,227 | $-- | $-- |
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
May 31, 2020 | ||
Assets | ||
Investment in securities, at value (including securities loaned of $49,664,004) — See accompanying schedule: Unaffiliated issuers (cost $6,188,365,693) | $7,567,600,426 | |
Fidelity Central Funds (cost $52,526,246) | 52,526,246 | |
Other affiliated issuers (cost $950,000,781) | 1,073,319,555 | |
Total Investment in Securities (cost $7,190,892,720) | $8,693,446,227 | |
Cash | 44 | |
Receivable for investments sold | 7,413,389 | |
Receivable for fund shares sold | 2,736,120 | |
Dividends receivable | 21,345,538 | |
Interest receivable | 14,549 | |
Distributions receivable from Fidelity Central Funds | 19,526 | |
Prepaid expenses | 32,777 | |
Other receivables | 146,873 | |
Total assets | 8,725,155,043 | |
Liabilities | ||
Payable for investments purchased | $1,333,785 | |
Payable for fund shares redeemed | 3,596,909 | |
Accrued management fee | 1,308,763 | |
Other payables and accrued expenses | 224,188 | |
Collateral on securities loaned | 52,528,895 | |
Total liabilities | 58,992,540 | |
Net Assets | $8,666,162,503 | |
Net Assets consist of: | ||
Paid in capital | $6,871,965,970 | |
Total accumulated earnings (loss) | 1,794,196,533 | |
Net Assets | $8,666,162,503 | |
Net Asset Value, offering price and redemption price per share ($8,666,162,503 ÷ 532,532,088 shares) | $16.27 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Year ended May 31, 2020 | ||
Investment Income | ||
Dividends: | ||
Unaffiliated issuers | $236,031,766 | |
Affiliated issuers | 9,188,640 | |
Interest | 1,627,206 | |
Income from Fidelity Central Funds (including $796,564 from security lending) | 796,564 | |
Total income | 247,644,176 | |
Expenses | ||
Management fee | $40,803,189 | |
Accounting fees | 106,648 | |
Custodian fees and expenses | 87,602 | |
Independent trustees' fees and expenses | 106,120 | |
Registration fees | 77,522 | |
Audit | 77,210 | |
Legal | 36,549 | |
Miscellaneous | 84,050 | |
Total expenses before reductions | 41,378,890 | |
Expense reductions | (23,135,670) | |
Total expenses after reductions | 18,243,220 | |
Net investment income (loss) | 229,400,956 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 511,887,318 | |
Fidelity Central Funds | 2,332 | |
Other affiliated issuers | (55,347,321) | |
Foreign currency transactions | 840 | |
Capital gain distributions from underlying funds: | ||
Unaffiliated issuers | 13,976,292 | |
Affiliated issuers | 9,668,368 | |
Total net realized gain (loss) | 480,187,829 | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers | (738,591,037) | |
Affiliated issuers | 95,324,774 | |
Total change in net unrealized appreciation (depreciation) | (643,266,263) | |
Net gain (loss) | (163,078,434) | |
Net increase (decrease) in net assets resulting from operations | $66,322,522 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Year ended May 31, 2020 | Year ended May 31, 2019 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $229,400,956 | $252,223,912 |
Net realized gain (loss) | 480,187,829 | 918,081,275 |
Change in net unrealized appreciation (depreciation) | (643,266,263) | (1,390,415,836) |
Net increase (decrease) in net assets resulting from operations | 66,322,522 | (220,110,649) |
Distributions to shareholders | (902,361,371) | (881,905,021) |
Share transactions | ||
Proceeds from sales of shares | 1,961,466,140 | 1,225,576,742 |
Reinvestment of distributions | 884,710,851 | 878,317,765 |
Cost of shares redeemed | (2,758,964,426) | (2,832,648,067) |
Net increase (decrease) in net assets resulting from share transactions | 87,212,565 | (728,753,560) |
Total increase (decrease) in net assets | (748,826,284) | (1,830,769,230) |
Net Assets | ||
Beginning of period | 9,414,988,787 | 11,245,758,017 |
End of period | $8,666,162,503 | $9,414,988,787 |
Other Information | ||
Shares | ||
Sold | 120,359,142 | 63,933,831 |
Issued in reinvestment of distributions | 47,041,136 | 48,812,720 |
Redeemed | (155,156,790) | (147,882,523) |
Net increase (decrease) | 12,243,488 | (35,135,972) |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Strategic Advisers Value Fund
Years ended May 31, | 2020 | 2019 | 2018 | 2017 | 2016 |
Selected Per–Share Data | |||||
Net asset value, beginning of period | $18.10 | $20.25 | $19.26 | $17.66 | $19.26 |
Income from Investment Operations | |||||
Net investment income (loss)A | .44 | .45 | .38 | .37 | .34 |
Net realized and unrealized gain (loss) | (.47) | (1.01) | 2.11 | 2.29 | (.73) |
Total from investment operations | (.03) | (.56) | 2.49 | 2.66 | (.39) |
Distributions from net investment income | (.48) | (.42) | (.36) | (.34) | (.31) |
Distributions from net realized gain | (1.33) | (1.18) | (1.14) | (.72) | (.90) |
Total distributions | (1.80)B | (1.59)C | (1.50) | (1.06) | (1.21) |
Net asset value, end of period | $16.27 | $18.10 | $20.25 | $19.26 | $17.66 |
Total ReturnD | (1.32)% | (2.53)% | 13.38% | 15.56% | (1.97)% |
Ratios to Average Net AssetsE,F,G | |||||
Expenses before reductions | .45% | .47% | .60% | .60% | .58% |
Expenses net of fee waivers, if any | .20% | .22% | .35% | .35% | .33% |
Expenses net of all reductions | .20% | .22% | .35% | .35% | .33% |
Net investment income (loss) | 2.48% | 2.34% | 1.88% | 1.99% | 1.94% |
Supplemental Data | |||||
Net assets, end of period (000 omitted) | $8,666,163 | $9,414,989 | $11,245,758 | $10,753,496 | $11,060,619 |
Portfolio turnover rateG | 63% | 38% | 23% | 32% | 39% |
A Calculated based on average shares outstanding during the period.
B Total distributions of $1.80 per share is comprised of distributions from net investment income of $.476 and distributions from net realized gain of $1.326 per share.
C Total distributions of $1.59 per share is comprised of distributions from net investment income of $.415 and distributions from net realized gain of $1.179 per share.
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 Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
F Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund. Fees and expenses of the Underlying Funds are not included in the Fund's annualized ratios. The Fund indirectly bears its proportionate share of the expenses of the Underlying Funds.
G Amounts do not include the activity of Underlying Funds.
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements
For the period ended May 31, 2020
1. Organization.
Strategic Advisers Value Fund (the Fund) is a fund of Fidelity Rutland Square Trust II (the Trust), and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust. The Fund is offered exclusively to certain clients of Strategic Advisers LLC (Strategic Advisers), an affiliate of Fidelity Management & Research Company LLC (FMR).
2. Significant Accounting Policies.
The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services – Investments Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the Fund:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
- Level 1 – quoted prices in active markets for identical investments
- Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
- Level 3 – unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value the Fund's investments by major category are as follows:
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. If an unaffiliated open-end mutual fund's NAV is unavailable, shares of that fund may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and is categorized as Level 2 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of May 31, 2020 is included at the end of the Fund's Schedule of Investments.
Foreign Currency. The Fund 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. 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 Underlying Funds, if any, are recorded on the ex-dividend date. Certain distributions received by the Fund represent a return of capital or capital gain. The Fund determines the components of these distributions subsequent to the ex-dividend date, based upon receipt of tax filings or other correspondence relating to the underlying investment. These distributions are recorded as a reduction of cost of investments and/or as a realized gain. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain.
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), certain independent Trustees have elected to defer receipt of a portion of their annual compensation. Deferred amounts are invested in a cross-section of Strategic Advisers funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees of $146,873 are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, respectively.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of May 31, 2020, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.
Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to the short-term gain distributions from the Underlying Funds, foreign currency transactions, passive foreign investment companies (PFIC), 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 | $1,993,220,500 |
Gross unrealized depreciation | (600,813,859) |
Net unrealized appreciation (depreciation) | $1,392,406,641 |
Tax Cost | $7,301,039,586 |
The tax-based components of distributable earnings as of period end were as follows:
Undistributed ordinary income | $94,936,061 |
Undistributed long-term capital gain | $307,000,705 |
Net unrealized appreciation (depreciation) on securities and other investments | $1,392,406,641 |
The tax character of distributions paid was as follows:
May 31, 2020 | May 31, 2019 | |
Ordinary Income | $233,781,153 | $ 229,552,987 |
Long-term Capital Gains | 668,580,218 | 652,352,034 |
Total | $902,361,371 | $ 881,905,021 |
3. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities, are noted in the table below.
Purchases ($) | Sales ($) | |
Strategic Advisers Value Fund | 5,727,507,684 | 6,292,975,846 |
4. Fees and Other Transactions with Affiliates.
Management Fee. Strategic Advisers (the investment adviser) provides the Fund with investment management related services. For these services, the Fund pays a monthly management fee to the investment adviser. The management fee is calculated by adding the annual management fee rate of .25% of the Fund's average net assets throughout the month payable to the investment adviser to the aggregate of the fee rates, payable monthly, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed .70% of the Fund's average net assets. For the reporting period, the total annual management fee rate was .44% 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. Aristotle Capital Management, LLC, Brandywine Global Investment Management, LLC, J.P. Morgan Investment Management, Inc., LSV Asset Management and Boston Partners Global Investors, Inc. each served as a sub-adviser for the Fund during the period. Sub-advisers provide discretionary investment advisory services for their allocated portion of the Fund's assets and are paid by the investment adviser and not the Fund for providing these services.
FIAM LLC (an affiliate of the investment adviser) and Geode Capital Management, LLC have been retained to serve as a sub-adviser for the Fund. As of the date of the 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.
Accounting Fees. Fidelity Service Company, Inc. (FSC), an affiliate of the investment adviser, maintains the Fund's accounting records. The accounting fee is based on the level of average net assets for each month. Effective July 1, 2019 accounting fees are not paid by the Fund and are instead paid by the investment adviser or an affiliate. For the period, the fees were equivalent to less than .005%.
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 Value Fund | $3,545 |
Interfund Trades. Funds may purchase from or sell securities to other funds affiliated with each sub-adviser under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.
5. Investments in Fidelity Central Funds.
The Fund invests in Fidelity Central Funds, which are open-end investment companies available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
The Fidelity Money Market Central Funds are managed by FMR. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date ranged from less than .005% to .01%.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC website or upon request.
6. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are as follows:
Amount | |
Strategic Advisers Value Fund | $23,580 |
During the period, there were no borrowings on this line of credit.
7. Security Lending.
The Fund lends portfolio securities through a lending agent from time to time in order to earn additional income. On the settlement date of the loan, the 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 the Fund and any additional required collateral is delivered to the Fund on the next business day. The 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, the Fund may apply collateral received from the borrower against the obligation. The 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. The value of loaned securities and cash collateral at period end are disclosed on the Fund's 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.
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, 2022. During the period, this waiver reduced the Fund's management fee by $23,135,411.
In addition, through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses by $259.
9. Other.
The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
The Fund does not invest in the Underlying Funds for the purpose of exercising management or control; however, investments by the Fund within its principal investment strategies may represent a significant portion of an Underlying Fund's net assets. At the end of the period, the Fund was the owner of record of approximately 12% of the total outstanding shares of Fidelity SAI U.S. Low Volatility Index Fund.
10. Proposed Reorganization.
The Board of Trustees of Fidelity Rutland Square Trust II has approved an Agreement and Plan of Reorganization (the Agreement) between each of Strategic Advisers Core Fund, Strategic Advisers Growth Fund and Strategic Advisers Value Fund (each an "Acquired Fund" and, together, the "Acquired Funds") and Strategic Advisers Large Cap Fund, a new series of Fidelity Rutland Square Trust II. The Agreement provides for the transfer of all the assets and the assumption of all the liabilities of each Acquired Fund in exchange for shares of Strategic Advisers Large Cap Fund equal in value to the net assets of each respective Acquired Fund on the day the reorganization is effective.
A meeting of the shareholders of each Acquired Fund is expected to be held during the fourth quarter of 2020 to vote on the reorganization. If approved by shareholders, the reorganization is expected to become effective on or about November 13, 2020. The reorganization is expected to qualify as a tax-free transaction for federal income tax purposes with no gain or loss recognized by the funds or their shareholders.
11. Coronavirus (COVID-19) Pandemic.
An outbreak of COVID-19 first detected in China during December 2019 has since spread globally and was declared a pandemic by the World Health Organization during March 2020. Developments that disrupt global economies and financial markets, such as the COVID-19 pandemic, may magnify factors that affect the Fund's performance.
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Fidelity Rutland Square Trust II and Shareholders of Strategic Advisers Value Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Strategic Advisers Value Fund (one of the funds constituting Fidelity Rutland Square Trust II, referred to hereafter as the “Fund”) as of May 31, 2020, the related statement of operations for the year ended May 31, 2020, the statement of changes in net assets for each of the two years in the period ended May 31, 2020, including the related notes, and the financial highlights for each of the five years in the period ended May 31, 2020 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of May 31, 2020, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended May 31, 2020 and the financial highlights for each of the five years in the period ended May 31, 2020 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of May 31, 2020 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
Boston, Massachusetts
July 10, 2020
We have served as the auditor of one or more investment companies in the Fidelity group of funds since 1932.
Trustees and Officers
The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance. If the interests of the fund and an underlying Fidelity® fund were to diverge, a conflict of interest could arise and affect how the Trustees and Members of the Advisory Board fulfill their fiduciary duties to the affected funds. Strategic Advisers has structured the fund to avoid these potential conflicts, although there may be situations where a conflict of interest is unavoidable. In such instances, Strategic Advisers, the Trustees, and Members of the Advisory Board would take reasonable steps to minimize and, if possible, eliminate the conflict. Each of the Trustees oversees 14 funds.
The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. Officers and Advisory Board Members hold office without limit in time, except that any officer or Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.
Each Trustee who is not an interested person (as defined in the 1940 Act) of the trust and the fund is referred to herein as an Independent Trustee.
The fund’s Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-3455.
Experience, Skills, Attributes, and Qualifications of the Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee may also engage professional search firms to help identify potential Independent Trustee candidates with experience, qualifications, attributes, and skills consistent with the Statement of Policy. Additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, may be considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.
In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.
Board Structure and Oversight Function. Robert A. Lawrence is an interested person and currently serves as Chairman. The Trustees have determined that an interested Chairman is appropriate and benefits shareholders because an interested Chairman has a personal and professional stake in the quality and continuity of services provided to the fund. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chairman, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chairman and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session. Mary C. Farrell serves as the lead Independent Trustee and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.
Fidelity® funds are overseen by different Boards of Trustees. The fund's Board oversees asset allocation funds. Other Boards oversee Fidelity's investment-grade bond, money market, and asset allocation funds, and Fidelity's equity and high income funds. The fund may invest in Fidelity® funds overseen by such other Boards. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity® funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues.
The Trustees primarily operate as a full Board, but also operate in committees, to facilitate the timely and efficient consideration of all matters of importance to the Trustees, the fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the fund's activities and associated risks. The Board has charged Strategic Advisers and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the fund's business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above. Because the day-to-day operations and activities of the fund are carried out by or through Strategic Advisers, its affiliates and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees. Board oversight of different aspects of the fund's activities is exercised primarily through the full Board, but also through the Audit and Compliance Committee. Appropriate personnel, including but not limited to the fund's Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the fund's Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate. The responsibilities of each standing committee, including their oversight responsibilities, are described further under "Standing Committees of the Trustees."
Interested Trustees*:
Correspondence intended for a Trustee who is an interested person may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Robert A. Lawrence (1952)
Year of Election or Appointment: 2016
Trustee
Chairman of the Board of Trustees
Mr. Lawrence also serves as Trustee of other funds. Previously, Mr. Lawrence served as a Member of the Advisory Board of certain funds. Prior to his retirement in 2008, Mr. Lawrence served as Vice President of certain Fidelity® funds (2006-2008), Senior Vice President, Head of High Income Division of Fidelity Management & Research Company (investment adviser firm, 2006-2008), and President of Fidelity Strategic Investments (investment adviser firm, 2002-2005).
Charles S. Morrison (1960)
Year of Election or Appointment: 2020
Trustee
Mr. Morrison also serves as Trustee of other Fidelity® funds. Previously, Mr. Morrison served as President (2017-2018) and Director (2014-2018) of Fidelity SelectCo, LLC (investment adviser firm), President of Fidelity Management & Research Company (FMR) (investment adviser firm, 2016-2018), a Director of Fidelity Investments Money Management, Inc. (investment adviser firm, 2014-2018), President, Asset Management (2014-2018), Trustee of the Fidelity Equity and High Income Funds (283 funds as of December 2018) (2014-2018), and was an employee of Fidelity Investments. Mr. Morrison also previously served as Vice President of Fidelity's Fixed Income and Asset Allocation Funds (2012-2014), President, Fixed Income (2011-2014), Vice President of Fidelity's Money Market Funds (2005-2009), President, Money Market Group Leader of FMR (2009), and Senior Vice President, Money Market Group of FMR (2004-2009). Mr. Morrison also served as Vice President of Fidelity's Bond Funds (2002-2005), certain Balanced Funds (2002-2005), and certain Asset Allocation Funds (2002-2007), and as Senior Vice President (2002-2005) of Fidelity's Bond Division.
* Determined to be an "Interested Trustee" by virtue of, among other things, his or her affiliation with the trust or various entities under common control with Strategic Advisers.
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Independent Trustees:
Correspondence intended for an Independent Trustee may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Peter C. Aldrich (1944)
Year of Election or Appointment: 2006
Trustee
Mr. Aldrich also serves as Trustee of other funds. Mr. Aldrich is a Director of the U.S. Core Property Fund (and, previously, other funds) of BlackRock Realty Group (2006-present). Previously, Mr. Aldrich served as a Managing Member of Poseidon, LLC (foreign private investment, 1998-2004), and Chairman and Managing Member of AEGIS, LLC (foreign private investment, 1997-2004). Mr. Aldrich previously was a founder, Chief Executive Officer, and Chairman of AEW Capital Management, L.P. (then “Aldrich, Eastman and Waltch, L.P.”). Mr. Aldrich also served as a Director of LivelyHood, Inc. (private corporation, 2013-2020), a Trustee for the Fidelity Rutland Square Trust (2005-2010), a Director of Zipcar, Inc. (car sharing services, 2001-2009) and as Faculty Chairman of The Research Council on Global Investment of The Conference Board (business and professional education non-profit, 1999-2004). Mr. Aldrich is a Member Emeritus of the Board of Directors of the National Bureau of Economic Research, the Board of Trustees of the Museum of Fine Arts Boston and the Board of Overseers of the Massachusetts Eye and Ear Infirmary.
Mary C. Farrell (1949)
Year of Election or Appointment: 2013
Trustee
Ms. Farrell also serves as Trustee of other funds. Ms. Farrell is a Director of the W.R. Berkley Corporation (insurance provider) and President (2009-present) and Director (2006-present) of the Howard Gilman Foundation (charitable organization). Previously, Ms. Farrell was Managing Director and Chief Investment Strategist at UBS Wealth Management USA and Co-Head of UBS Wealth Management Investment Strategy & Research Group (2003-2005). Ms. Farrell also served as Investment Strategist at PaineWebber (1982-2000) and UBS PaineWebber (2000-2002). Ms. Farrell serves as Chairman of the Board of Trustees of Yale-New Haven Hospital and Vice Chairman of the Yale New Haven Health System Board and previously served as Trustee on the Board of Overseers of the New York University Stern School of Business.
Karen Kaplan (1960)
Year of Election or Appointment: 2006
Trustee
Ms. Kaplan also serves as Trustee of other funds. Ms. Kaplan is Chairman (2014-present) and Chief Executive Officer (2013-present) of Hill Holliday (advertising and specialized marketing). Ms. Kaplan is a Director of The Michaels Companies, Inc. (specialty retailer, 2015-present), Member of the Board of Governors of the Chief Executives’ Club of Boston (2010-present), Member of the Executive Committee of the Greater Boston Chamber of Commerce (2006-present), Advisory Board Member of the National Association of Corporate Directors Chapter (2012-present), Member of the Board of Trustees of the Post Office Square Trust (2012-present), Trustee of the Brigham and Women’s Hospital (2016-present), Overseer of the Boston Symphony Orchestra (2014-present), Member of the Board of Directors of The Advertising Council, Inc. (2016-present), Member of the Ron Burton Training Village Executive Board of Advisors (2018-present), Member of the Executive Committee of The Ad Council, Inc. (2019-present), and Member of the Board of Directors of The Ad Club of Boston (2020-present). Previously, Ms. Kaplan served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010), a member of the Clinton Global Initiative (2010-2015), Director of DSM (dba Delta Dental and DentaQuest) (2004-2014), Formal Appointee of the 2015 Baker-Polito Economic Development Council, Director of Vera Bradley Inc. (designer of women’s accessories, 2012-2015), Member of the Board of Directors of the Massachusetts Conference for Women (2008-2015), Member of the Board of Directors of Jobs for Massachusetts (2012-2015), President of the Massachusetts Women’s Forum (2008-2010), Treasurer of the Massachusetts Women’s Forum (2002-2006), and Vice Chair of the Board of the Massachusetts Society for the Prevention of Cruelty to Children (2003-2010).
Heidi L. Steiger (1953)
Year of Election or Appointment: 2017
Trustee
Ms. Steiger also serves as Trustee of other funds. Ms. Steiger serves as Managing Partner of Topridge Associates, LLC (consulting, 2005-present), a member of the Advisory Board of the joint degree program in Global Luxury Management at North Carolina State University (Raleigh, NC) and Skema (Paris) (2018-present), a Non-Executive Director of CrowdBureau Corporation (financial technology company and index provider, 2018-present), a member of the Board of Directors (2013-present) and Chair of the Audit Committee and member of the Membership and Executive Committees (2017-present) of Business Executives for National Security (nonprofit), and member of the Board of Directors Chair of the Remuneration Committee of Imagine Intelligent Materials Limited (2019-present) (technology company). Previously, Ms. Steiger served as a member of the Global Advisory Board and Of Counsel to Signum Global Advisors (international policy and strategy, 2018-2020), Eastern Region President of The Private Client Reserve of U.S. Bancorp (banking and financial services, 2010-2015), Advisory Director of Berkshire Capital Securities, LLC (financial services, 2009-2010), President and Senior Advisor of Lowenhaupt Global Advisors, LLC (financial services, 2005-2007), and President and Contributing Editor of Worth Magazine (2004-2005) and held a variety of positions at Neuberger Berman Group, LLC (financial services, 1986-2004), including Partner and Executive Vice President and Global Head of Private Asset Management at Neuberger Berman (1999-2004). Ms. Steiger also served as a member of the Board of Directors of Nuclear Electric Insurance Ltd (insurer of nuclear utilities, 2006-2017), a member of the Board of Trustees and Audit Committee of the Eaton Vance Funds (2007-2010), a member of the Board of Directors of Aviva USA (formerly AmerUs) (insurance, 2004-2014), and a member of the Board of Trustees and Audit Committee and Chair of the Investment Committee of CIFG (financial guaranty insurance, 2009-2012), and a member of the Board of Directors of Kin Group Plc (formerly, Fitbug Holdings) (health and technology, 2016-2017).
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Advisory Board Members and Officers:
Correspondence intended for a Member of the Advisory Board (if any) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235. Correspondence intended for an officer or Howard E. Cox, Jr. may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210. Officers appear below in alphabetical order.
Name, Year of Birth; Principal Occupation
Ralph F. Cox (1932)
Year of Election or Appointment: 2020
Member of the Advisory Board
Mr. Cox also serves as a Member of the Advisory Board of other funds. Mr. Cox is President of RABAR Enterprises (management consulting for the petroleum industry). Mr. Cox is a Director of Abraxas Petroleum (exploration and production, 1999-present). Mr. Cox is a member of the Advisory Boards of the Business and Engineering Schools of Texas A&M University and the Engineering School of University of Texas at Austin. Previously, Mr. Cox served as Trustee of other funds (2006-2020), a Trustee for the Fidelity Rutland Square Trust (2005-2010) and as an Advisory Director of CH2M Hill Companies (engineering, 1981-2011). Mr. Ralph F. Cox and Mr. Howard E. Cox, Jr. are not related.
Howard E. Cox, Jr. (1944)
Year of Election or Appointment: 2009
Member of the Advisory Board
Mr. Cox also serves as a Member of the Advisory Board of other funds. Mr. Cox is a Partner of Greylock (venture capital, 1971-present) and a Director of Stryker Corporation (medical products and services, 1974-present). Previously, Mr. Cox served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010). Mr. Cox also serves as a Member of the Secretary of Defense's Business Board of Directors (2008-present), a Director of Business Executives for National Security (1997-present), a Director of the Brookings Institution (2010-present), a Director of the World Economic Forum’s Young Global Leaders Foundation (2009-present), and is a Member of the Harvard Medical School Board of Fellows (2002-present). Mr. Howard E. Cox, Jr. and Mr. Ralph F. Cox are not related.
Christine Marcks (1955)
Year of Election or Appointment: 2019
Member of the Advisory Board
Ms. Marcks also serves as a Member of the Advisory Board of other Funds. Prior to her retirement, Ms. Marcks served as Chief Executive Officer and President – Prudential Retirement (2007-2017) and Vice President for Rollover and Retirement Income Strategies (2005-2007), Prudential Financial, Inc. (financial services). Previously, Ms. Marcks was Senior Vice President and Head of Financial Horizons (2002-2004) and Vice President, Strategic Marketing (2000-2002) of Voya Financial (formerly ING U.S.) (financial services), held numerous positions at Aetna Financial Services (financial services, 1987-2000) and served as an International Economist for the United States Department of the Treasury (1980-1987). Ms. Marcks also serves as a member of the Board of Trustees, Audit Committee and Benefits & Operations Committee of the YMCA Retirement Fund (2018-present), a non-profit organization providing retirement plan benefits to YMCA staff members, and as a member of the Board of Trustees of Assumption College (2019-present).
Elizabeth Paige Baumann (1968)
Year of Election or Appointment: 2017
Anti-Money Laundering (AML) Officer
Ms. Baumann also serves as AML Officer of other funds. She is Chief AML Officer (2012-present) and Senior Vice President (2014-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments. Previously, Ms. Baumann served as AML Officer of certain funds (2017-2019), as AML Officer of the funds (2012-2016), and Vice President (2007-2014) and Deputy Anti-Money Laundering Officer (2007-2012) of FMR LLC.
Craig S. Brown (1977)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Brown also serves as Assistant Treasurer of other funds. Mr. Brown is an employee of Fidelity Investments (2013-present).
John J. Burke III (1964)
Year of Election or Appointment: 2018
Chief Financial Officer
Mr. Burke also serves as Chief Financial Officer of other funds. Mr. Burke serves as Head of Investment Operations for Fidelity Fund and Investment Operations (2018-present) and is an employee of Fidelity Investments (1998-present). Previously Mr. Burke served as head of Asset Management Investment Operations (2012-2018).
Jonathan Davis (1968)
Year of Election or Appointment: 2010
Assistant Treasurer
Mr. Davis also serves as Assistant Treasurer of other funds. Mr. Davis serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments. Previously, Mr. Davis served as Vice President and Associate General Counsel of FMR LLC (diversified financial services company, 2003-2010).
Laura M. Del Prato (1964)
Year of Election or Appointment: 2018
Assistant Treasurer
Ms. Del Prato also serves as an officer of other funds. Ms. Del Prato is an employee of Fidelity Investments (2017-present). Prior to joining Fidelity Investments, Ms. Del Prato served as a Managing Director and Treasurer of the JPMorgan Mutual Funds (2014-2017). Prior to JPMorgan, Ms. Del Prato served as a partner at Cohen Fund Audit Services (accounting firm, 2012-2013) and KPMG LLP (accounting firm, 2004-2012).
James D. Gryglewicz (1972)
Year of Election or Appointment: 2015
Chief Compliance Officer
Mr. Gryglewicz also serves as Chief Compliance Officer of other funds. Mr. Gryglewicz serves as Compliance Officer of Strategic Advisers LLC (investment adviser firm, 2015-present), Senior Vice President of Asset Management Compliance (2009-present), and is an employee of Fidelity Investments (2004-present). Previously, Mr. Gryglewicz served as Compliance Officer of Fidelity SelectCo, LLC (investment adviser firm, 2014-2019), and as Chief Compliance Officer of certain Fidelity® funds (2014-2018).
Colm A. Hogan (1973)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Hogan also serves as an officer of other funds. Mr. Hogan serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2005-present). Previously, Mr. Hogan served as Deputy Treasurer of certain Fidelity® funds (2016-2020) and Assistant Treasurer of certain Fidelity® funds (2016-2018). Mr. Colm A. Hogan is not related to Mr. Brian B. Hogan.
Christina H. Lee (1975)
Year of Election or Appointment: 2020
Secretary and Chief Legal Officer
Ms. Lee also serves as Secretary and CLO of other funds. Ms. Lee serves as Vice President, Associate General Counsel (2014-present) and is an employee of Fidelity Investments (2007-present). Previously, Ms. Lee served as Assistant Secretary of certain funds (2018-2019).
Cynthia Lo Bessette (1969)
Year of Election or Appointment: 2020
Assistant Secretary
Ms. Lo Bessette also serves as an officer of other funds. Ms. Lo Bessette serves as CLO, Secretary, and Senior Vice President of Fidelity Management & Research Company LLC (investment adviser firm, 2019-present); and CLO of Fidelity Management & Research (Hong Kong) Limited, FMR Investment Management (UK) Limited, and Fidelity Management & Research (Japan) Limited (investment adviser firms, 2019-present). She is a Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company, 2019-present), and is an employee of Fidelity Investments. Previously, Ms. Lo Bessette served as CLO, Secretary, and Senior Vice President of FMR Co., Inc. (investment adviser firm, 2019); Secretary of Fidelity SelectCo, LLC and Fidelity Investments Money Management, Inc. (investment adviser firms, 2019). Prior to joining Fidelity Investments, Ms. Lo Bessette was Executive Vice President, General Counsel (2016-2019) and Senior Vice President, Deputy General Counsel (2015-2016) of OppenheimerFunds (investment management company) and Deputy Chief Legal Officer (2013-2015) of Jennison Associates LLC (investment adviser firm).
Chris Maher (1972)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Maher also serves as an officer of other funds. Mr. Maher serves as Assistant Treasurer of FMR Capital, Inc. (2017-present), and is an employee of Fidelity Investments (2008-present). Previously, Mr. Maher served as Assistant Treasurer of certain funds (2013-2020); Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010).
Stacie M. Smith (1974)
Year of Election or Appointment: 2020
President and Treasurer
Ms. Smith also serves as an officer of other funds. Ms. Smith serves as Assistant Treasurer of FMR Capital, Inc. (2017-present), is an employee of Fidelity Investments (2009-present), and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (accounting firm, 1996-2009). Previously, Ms. Smith served as Assistant Treasurer (2013-2019) and Deputy Treasurer (2013-2016) of certain Fidelity® funds.
Marc L. Spector (1972)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Spector also serves as an officer of other funds. Mr. Spector serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2016-present). Prior to joining Fidelity Investments, Mr. Spector served as Director at the Siegfried Group (accounting firm, 2013-2016), and prior to Siegfried Group as audit senior manager at Deloitte & Touche LLP (accounting firm, 2005-2013).
Jim Wegmann (1979)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Wegmann also serves as Assistant Treasurer of other funds. Mr. Wegmann is an employee of Fidelity Investments (2011-present).
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (December 1, 2019 to May 31, 2020).
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the underlying mutual funds (the Underlying Funds), the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's 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. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the Underlying Funds, the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
Annualized Expense Ratio-A | Beginning Account Value December 1, 2019 | Ending Account Value May 31, 2020 | Expenses Paid During Period-B December 1, 2019 to May 31, 2020 | |
Actual | .19% | $1,000.00 | $855.20 | $.88 |
Hypothetical-C | $1,000.00 | $1,024.05 | $.96 |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period). The fees and expenses of the Underlying Funds in which the Fund invests are not included in the Fund's annualized expense ratio.
C 5% return per year before expenses
Distributions (Unaudited)
The fund hereby designates as a capital gain dividend with respect to the taxable year ended May 31, 2020, $539,599,627, or, if subsequently determined to be different, the net capital gain of such year.
The fund designates 100% and 97% of the dividends distributed in July and December, respectively, during the fiscal year as qualifying for the dividends–received deduction for corporate shareholders.
The fund designates 100% of the dividends distributed in July and December, during the fiscal year as amounts which may be taken into account as a dividend for the purposes of the maximum rate under section 1(h)(11) of the Internal Revenue Code.
The fund will notify shareholders in January 2021 of amounts for use in preparing 2020 income tax returns.
Liquidity Risk Management Program
The Securities and Exchange Commission adopted Rule 22e-4 under the Investment Company Act of 1940 (the Liquidity Rule) to promote effective liquidity risk management throughout the open-end investment company industry, thereby reducing the risk that funds will be unable to meet their redemption obligations and mitigating dilution of the interests of fund shareholders.
The Fund has adopted and implemented a liquidity risk management program (the Program) reasonably designed to assess and manage the Fund's liquidity risk and to comply with the requirements of the Liquidity Rule. The Fund's Board of Trustees (the Board) has designated the Fund's investment adviser as administrator of the Program. Strategic Advisers has established a Liquidity Risk Management Committee (the LRM Committee) to manage the Program for each of the Funds. The LRM Committee monitors the adequacy and effectiveness of implementation of the Program and on a periodic basis assesses each Fund's liquidity risk based on a variety of factors including (1) the Fund's investment strategy, (2) portfolio liquidity and cash flow projections during normal and reasonably foreseeable stressed conditions, (3) shareholder redemptions and (4) borrowings and other funding sources, as applicable.
In accordance with the Program, each of the Fund’s portfolio investments is classified into one of four liquidity categories described below based on a determination of a reasonable expectation for how long it would take to convert the investment to cash (or sell or dispose of the investment) without significantly changing its market value.
- Highly liquid investments – cash or convertible to cash within three business days or less
- Moderately liquid investments – convertible to cash in three to seven calendar days
- Less liquid investments – can be sold or disposed of, but not settled, within seven calendar days
- Illiquid investments – cannot be sold or disposed of within seven calendar days
Liquidity classification determinations take into account a variety of factors including various market, trading and investment-specific considerations, as well as market depth, and generally utilize analysis from a third-party liquidity metrics service.
The Liquidity Rule places a 15% limit on a fund’s illiquid investments and requires funds that do not primarily hold assets that are highly liquid investments to determine and maintain a minimum percentage of the fund’s net assets to be invested in highly liquid investments (highly liquid investment minimum or HLIM). The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments and for determining, periodically reviewing and complying with the HLIM requirement as applicable.
At a recent meeting of the Fund’s Board of Trustees, the LRM Committee provided a written report to the Board pertaining to the operation, adequacy, and effectiveness of implementation of the Program for the annual period from December 1, 2018 through November 30, 2019. The report concluded that the Program has been implemented and is operating effectively and is reasonably designed to assess and manage the Fund’s liquidity risk.
SUF-ANN-0720
1.912897.111
Strategic Advisers® Fidelity® U.S. Total Stock Fund
Offered exclusively to certain clients of Strategic Advisers LLC - not available for sale to the general public
May 31, 2020
See the inside front cover for important information about access to your fund’s shareholder reports.
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of a fund’s shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the fund or from your financial intermediary, such as a financial advisor, broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from a fund electronically, by contacting your financial intermediary. For Fidelity customers, visit Fidelity's web site or call Fidelity using the contact information listed below.
You may elect to receive all future reports in paper free of charge. If you wish to continue receiving paper copies of your shareholder reports, you may contact your financial intermediary or, if you are a Fidelity customer, visit Fidelity’s website, or call Fidelity at the applicable toll-free number listed below. Your election to receive reports in paper will apply to all funds held with the fund complex/your financial intermediary.
Account Type | Website | Phone Number |
Brokerage, Mutual Fund, or Annuity Contracts: | fidelity.com/mailpreferences | 1-800-343-3548 |
Employer Provided Retirement Accounts: | netbenefits.fidelity.com/preferences (choose 'no' under Required Disclosures to continue to print) | 1-800-343-0860 |
Advisor Sold Accounts Serviced Through Your Financial Intermediary: | Contact Your Financial Intermediary | Your Financial Intermediary's phone number |
Advisor Sold Accounts Serviced by Fidelity: | institutional.fidelity.com | 1-877-208-0098 |
Contents
To view a fund's proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
You may also call 1-800-544-3455 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2020 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
Note to Shareholders:
Early in 2020, the outbreak and spread of a new coronavirus emerged as a public health emergency that had a major influence on financial markets, primarily based on its impact on the global economy and the outlook for corporate earnings. The virus causes a respiratory disease known as COVID-19. On March 11, the World Health Organization declared the COVID-19 outbreak a pandemic, citing sustained risk of further global spread.
In the weeks following, as the crisis worsened, we witnessed an escalating human tragedy with wide-scale social and economic consequences from coronavirus-containment measures. The outbreak of COVID-19 prompted a number of measures to limit the spread, including travel and border restrictions, quarantines, and restrictions on large gatherings. In turn, these resulted in lower consumer activity, diminished demand for a wide range of products and services, disruption in manufacturing and supply chains, and – given the wide variability in outcomes regarding the outbreak – significant market uncertainty and volatility. Amid the turmoil, 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.
The situation continues to unfold, and the extent and duration of its impact on financial markets and the economy remain highly uncertain. Extreme events such as the coronavirus crisis are “exogenous shocks” that can have significant adverse effects on mutual funds and their investments. Although multiple asset classes may be affected by market disruption, the duration and impact may not be the same for all types of assets.
Fidelity is committed to helping you stay informed amid news about COVID-19 and during increased market volatility, and we’re taking extra steps to be responsive to customer needs. We encourage you to visit our websites, where we offer ongoing updates, commentary, and analysis on the markets and our funds.
Performance: The Bottom Line
Average annual total return reflects the change in the value of an investment, assuming reinvestment of distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year. The hypothetical investment and the average annual total returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund’s total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.
Average Annual Total Returns
For the periods ended May 31, 2020 | Past 1 year | Life of fundA |
Strategic Advisers® Fidelity® U.S. Total Stock Fund | 11.84% | 5.01% |
A From March 20, 2018
$10,000 Over Life of Fund
Let's say hypothetically that $10,000 was invested in Strategic Advisers® Fidelity® U.S. Total Stock Fund on March 20, 2018, when the fund started.
The chart shows how the value of your investment would have changed, and also shows how the Dow Jones U.S. Total Stock Market Index℠ performed over the same period.
Period Ending Values | ||
$11,136 | Strategic Advisers® Fidelity® U.S. Total Stock Fund | |
$11,445 | Dow Jones U.S. Total Stock Market Index℠ |
Management's Discussion of Fund Performance
Market Recap: The S&P 500® index gained 12.84% for the year ending May 31, 2020, in what was a bumpy ride for U.S. equity investors, marked by a steep but brief decline due to the early-2020 outbreak and spread of the coronavirus, followed by a sharp upturn. Declared a pandemic on March 11, the COVID-19 crisis and containment efforts caused broad contraction in economic activity, along with extreme uncertainty, volatility and dislocation in financial markets. By mid-March, U.S. stocks had entered bear-market territory less than a month after hitting an all-time high and extending the longest-running bull market in American history. Stocks slid in late February, after a surge in COVID-19 cases emerged outside China. The downtrend continued in March (-12.35%), capping the index’s worst quarter since 2008. A historically rapid and expansive U.S. monetary/fiscal-policy response helped provide a partial offset to the economic disruption. This was evident in April, when the index achieved its highest monthly gain (+12.82%) since 1991, boosted by improving infection data, plans for reopening the economy and progress on potential treatments. The stark turnaround continued in May, driven by stocks that do well in an economic recovery, even as high unemployment persisted. By sector, energy shares (-29%) fell hard along with the price of crude oil. Financials (-8%) and industrials (-4%) also notably lagged. In contrast, information technology (+38%) led by a wide margin, followed by health care (+21%), communication services and consumer discretionary (each +16%).Comments from Portfolio Manager Barry Golden: For the fiscal year, the Fund gained 11.84%, outpacing the 11.31% advance of the benchmark Dow Jones U.S. Total Stock Market Index. This period, managers pursuing growth strategies, as well as those with an emphasis on quality characteristics, delivered the best results. Fidelity® Growth Company Fund (+39%), which follows an aggressive-growth approach, was overwhelmingly the top contributor versus the benchmark. The fund surpassed the benchmark by 28 percentage points, led by strong security selection within the information technology, health care and consumer discretionary sectors. Fidelity® SAI® U.S. Quality Index Fund (+20%) also notably contributed. In addition to its quality focus, this fund benefited from a tilt toward growth stocks. Sector-wise, positioning in financials, along with underweighted exposure to the poor-performing energy group, added the most value. On the downside, the Value Discovery (+0.2%) strategy from sub-adviser FIAM℠ was the biggest relative detractor. Its value-driven approach faced a stylistic headwind this period. Additionally, adverse positioning among technology and financials stocks worked against its performance. The Small-Mid Cap Core mandate (-1%), also managed by FIAM, swam against the tide of large-cap stocks substantially outperforming small- and mid-cap equities, and it likewise detracted. During the period, I added a position in Fidelity Magellan Fund (+5%), which follows a high-quality, large-cap growth strategy and further contributed versus the Fund's benchmark. Prior to the coronavirus crisis, I was reducing risk and positioning the portfolio to more closely track the index. After the March selloff, however, I marginally added to the Fund's value and small/mid-cap strategies, but did not substantially increase portfolio's overall level of risk.The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
Investment Summary (Unaudited)
The information in the following tables is based on the direct investments of the Fund.Top Ten Holdings as of May 31, 2020
(excluding cash equivalents) | % of fund's net assets |
Fidelity SAI U.S. Quality Index Fund | 11.1 |
Fidelity Growth Company Fund | 9.5 |
Fidelity Contrafund | 7.0 |
Fidelity SAI U.S. Large Cap Index Fund | 6.2 |
Fidelity Large Cap Value Enhanced Index Fund | 5.9 |
Fidelity Magellan Fund | 5.2 |
Fidelity SAI U.S. Value Index Fund | 3.6 |
Fidelity Small Cap Index Fund | 2.9 |
Fidelity SAI U.S. Momentum Index Fund | 2.0 |
Fidelity SAI U.S. Low Volatility Index Fund | 1.9 |
55.3 |
Asset Allocation (% of fund's net assets)
As of May 31, 2020 | ||
Common Stocks | 42.8% | |
Preferred Stocks | 0.1% | |
Large Blend Funds | 8.1% | |
Large Growth Funds | 34.8% | |
Large Value Funds | 9.5% | |
Small Blend Funds | 3.4% | |
Small Growth Funds | 0.5% | |
Short-Term Investments and Net Other Assets (Liabilities) | 0.8% |
Asset allocations of funds in the pie chart reflect the categorizations of assets as defined by Morningstar as of the reporting date.
Schedule of Investments May 31, 2020
Showing Percentage of Net Assets
Common Stocks - 42.8% | |||
Shares | Value | ||
COMMUNICATION SERVICES - 3.6% | |||
Diversified Telecommunication Services - 0.2% | |||
GCI Liberty, Inc. (a) | 184,300 | $12,751,717 | |
Verizon Communications, Inc. | 920,687 | 52,829,020 | |
Vonage Holdings Corp. (a) | 520,297 | 5,010,460 | |
70,591,197 | |||
Entertainment - 0.7% | |||
Activision Blizzard, Inc. | 725,800 | 52,243,084 | |
DouYu International Holdings Ltd. ADR (b) | 762,650 | 6,863,850 | |
Electronic Arts, Inc. (a) | 208,000 | 25,559,040 | |
Lions Gate Entertainment Corp. Class B (a) | 1,061,500 | 7,993,095 | |
Netflix, Inc. (a) | 77,700 | 32,613,021 | |
Nihon Falcom Corp. | 5,000 | 61,431 | |
Spotify Technology SA (a) | 21,200 | 3,835,716 | |
Take-Two Interactive Software, Inc. (a) | 34,698 | 4,724,827 | |
The Walt Disney Co. | 542,063 | 63,583,990 | |
Vivendi SA | 870,000 | 19,892,848 | |
217,370,902 | |||
Interactive Media & Services - 1.3% | |||
Alphabet, Inc.: | |||
Class A (a) | 122,500 | 175,606,200 | |
Class C (a) | 46,400 | 66,301,888 | |
ANGI Homeservices, Inc. Class A (a)(b) | 98,900 | 1,073,065 | |
Dip Corp. | 1,000 | 23,599 | |
Eventbrite, Inc. (a) | 10,900 | 93,958 | |
Facebook, Inc. Class A (a) | 763,200 | 171,788,688 | |
Match Group, Inc. (a)(b) | 84,500 | 7,523,880 | |
Wise Talent Information Technology Co. Ltd. (a)(b) | 1,100,103 | 2,606,502 | |
Yahoo! Japan Corp. | 4,927,400 | 20,103,445 | |
YY, Inc. ADR (a) | 21,300 | 1,300,365 | |
446,421,590 | |||
Media - 1.3% | |||
AMC Networks, Inc. Class A (a) | 9,100 | 257,257 | |
Cable One, Inc. | 6,900 | 13,019,541 | |
Comcast Corp. Class A | 5,601,410 | 221,815,836 | |
Corus Entertainment, Inc. Class B (non-vtg.) | 95,400 | 223,802 | |
Discovery Communications, Inc. Class A (a)(b) | 823,900 | 17,919,825 | |
DISH Network Corp. Class A (a) | 74,700 | 2,364,255 | |
F@N Communications, Inc. | 26,900 | 118,730 | |
Fox Corp. Class A | 411,733 | 12,010,252 | |
Hyundai HCN | 486,513 | 1,757,077 | |
Interpublic Group of Companies, Inc. | 2,423,000 | 41,457,530 | |
Liberty Broadband Corp. Class C (a) | 180,200 | 24,618,924 | |
Liberty Global PLC Class C (a) | 326,700 | 6,739,821 | |
Liberty Media Corp. Liberty Formula One Group Series C (a) | 704,200 | 24,400,530 | |
Nexstar Broadcasting Group, Inc. Class A | 110,300 | 9,189,093 | |
Nippon Television Network Corp. | 70,700 | 815,530 | |
Pico Far East Holdings Ltd. | 1,000,000 | 129,283 | |
The New York Times Co. Class A | 399,500 | 15,672,385 | |
ViacomCBS, Inc.: | |||
Class A (b) | 224,000 | 5,494,720 | |
Class B | 655,200 | 13,588,848 | |
WOWOW INC. | 87,000 | 2,065,186 | |
WPP PLC | 1,817,500 | 13,832,030 | |
427,490,455 | |||
Wireless Telecommunication Services - 0.1% | |||
Okinawa Cellular Telephone Co. | 33,400 | 1,285,271 | |
T-Mobile U.S., Inc. (a) | 394,100 | 39,425,764 | |
40,711,035 | |||
TOTAL COMMUNICATION SERVICES | 1,202,585,179 | ||
CONSUMER DISCRETIONARY - 3.9% | |||
Auto Components - 0.4% | |||
Adient PLC (a) | 139,900 | 2,379,699 | |
Aptiv PLC | 190,500 | 14,354,175 | |
BorgWarner, Inc. | 1,135,800 | 36,515,970 | |
Cooper Tire & Rubber Co. | 207,200 | 5,331,256 | |
Cooper-Standard Holding, Inc. (a) | 5,000 | 52,450 | |
DaikyoNishikawa Corp. | 50,000 | 281,886 | |
DTR Automotive Corp. | 11,829 | 235,687 | |
Eagle Industry Co. Ltd. | 71,400 | 501,842 | |
G-Tekt Corp. | 537,300 | 5,649,758 | |
Gentex Corp. | 55,700 | 1,472,708 | |
Hi-Lex Corp. | 100,300 | 1,233,231 | |
Hyundai Mobis | 97,500 | 15,667,735 | |
IJT Technology Holdings Co. Ltd. | 325,900 | 1,420,307 | |
Lear Corp. | 328,700 | 34,858,635 | |
Linamar Corp. | 168,000 | 4,665,955 | |
Strattec Security Corp. | 11,700 | 150,930 | |
TPR Co. Ltd. | 204,200 | 2,781,490 | |
127,553,714 | |||
Automobiles - 0.1% | |||
Audi AG | 6,017 | 6,946,338 | |
General Motors Co. | 763,800 | 19,767,144 | |
Renault SA | 34,000 | 762,571 | |
Tesla, Inc. (a) | 17,300 | 14,445,500 | |
41,921,553 | |||
Distributors - 0.0% | |||
Arata Corp. | 5,000 | 211,183 | |
Harima-Kyowa Co. Ltd. (b) | 24,100 | 342,801 | |
LKQ Corp. (a) | 194,200 | 5,332,732 | |
Yagi & Co. Ltd. | 60,045 | 881,369 | |
6,768,085 | |||
Diversified Consumer Services - 0.1% | |||
Afya Ltd. | 234,784 | 4,613,506 | |
Heian Ceremony Service Co. Ltd. | 150,800 | 1,171,778 | |
MegaStudy Co. Ltd. | 79,794 | 692,932 | |
Multicampus Co. Ltd. | 33,128 | 860,363 | |
Service Corp. International | 552,442 | 21,782,788 | |
ServiceMaster Global Holdings, Inc. (a) | 532,200 | 17,509,380 | |
46,630,747 | |||
Hotels, Restaurants & Leisure - 0.3% | |||
Eldorado Resorts, Inc. (a)(b) | 186,961 | 6,629,637 | |
Las Vegas Sands Corp. | 308,500 | 14,789,490 | |
McDonald's Corp. | 309,700 | 57,703,304 | |
Starbucks Corp. | 85,700 | 6,683,743 | |
The Restaurant Group PLC | 1,119,900 | 843,677 | |
Vail Resorts, Inc. | 28,500 | 5,652,405 | |
Wendy's Co. | 580,950 | 12,350,997 | |
104,653,253 | |||
Household Durables - 0.3% | |||
Cuckoo Holdings Co. Ltd. | 22,347 | 1,568,815 | |
FJ Next Co. Ltd. | 365,500 | 2,992,596 | |
Gree Electric Appliances, Inc. of Zhuhai (A Shares) | 470,713 | 3,755,284 | |
Iida Group Holdings Co. Ltd. | 68,900 | 1,022,208 | |
Lennar Corp. Class A | 241,700 | 14,613,182 | |
Mohawk Industries, Inc. (a) | 330,400 | 30,793,280 | |
Newell Brands, Inc. | 449,400 | 5,909,610 | |
Toll Brothers, Inc. | 533,485 | 17,236,900 | |
Whirlpool Corp. | 286,700 | 34,925,794 | |
112,817,669 | |||
Internet & Direct Marketing Retail - 0.8% | |||
Alibaba Group Holding Ltd. sponsored ADR (a) | 52,300 | 10,846,497 | |
Amazon.com, Inc. (a) | 82,500 | 201,495,525 | |
Expedia, Inc. | 177,700 | 14,123,596 | |
Hyundai Home Shopping Network Corp. | 4,861 | 264,324 | |
Mercari, Inc. (a) | 10,000 | 297,649 | |
NS Shopping Co. Ltd. | 21,105 | 163,578 | |
Ocado Group PLC (a) | 74,800 | 2,024,002 | |
The Booking Holdings, Inc. (a) | 31,170 | 51,100,721 | |
280,315,892 | |||
Leisure Products - 0.2% | |||
Brunswick Corp. | 331,492 | 18,235,375 | |
Hasbro, Inc. | 322,400 | 23,699,624 | |
YETI Holdings, Inc. (a)(b) | 282,900 | 9,081,090 | |
51,016,089 | |||
Multiline Retail - 0.2% | |||
Big Lots, Inc. | 1,000 | 38,750 | |
Dollar General Corp. | 138,000 | 26,428,380 | |
Dollar Tree, Inc. (a) | 247,900 | 24,261,973 | |
Macy's, Inc. (b) | 40,000 | 254,400 | |
Ryohin Keikaku Co. Ltd. | 1,000 | 15,165 | |
50,998,668 | |||
Specialty Retail - 1.1% | |||
Arc Land Sakamoto Co. Ltd. | 30,000 | 331,031 | |
AT-Group Co. Ltd. | 152,100 | 1,867,313 | |
AutoNation, Inc. (a) | 168,000 | 6,632,640 | |
Bed Bath & Beyond, Inc. (b) | 361,700 | 2,629,559 | |
Best Buy Co., Inc. | 371,000 | 28,971,390 | |
Burlington Stores, Inc. (a) | 196,945 | 41,293,458 | |
Dick's Sporting Goods, Inc. | 305,200 | 11,005,512 | |
Dunelm Group PLC | 259,200 | 3,412,394 | |
Five Below, Inc. (a) | 134,700 | 14,096,355 | |
Foot Locker, Inc. | 29,600 | 819,920 | |
Gap, Inc. | 5,000 | 44,500 | |
GNC Holdings, Inc. Class A (a)(b) | 717,400 | 541,207 | |
Hibbett Sports, Inc. (a)(b) | 82,800 | 1,599,696 | |
Hour Glass Ltd. | 1,871,200 | 847,656 | |
JB Hi-Fi Ltd. (b) | 74,775 | 1,850,108 | |
John David Group PLC | 982,400 | 7,988,130 | |
Ku Holdings Co. Ltd. | 47,500 | 369,535 | |
Lookers PLC | 828,728 | 256,893 | |
Lowe's Companies, Inc. | 603,680 | 78,689,688 | |
Mandarake, Inc. (b) | 15,700 | 72,207 | |
Sally Beauty Holdings, Inc. (a) | 1,075,000 | 14,018,000 | |
Samse SA | 2,200 | 300,380 | |
The Home Depot, Inc. | 276,500 | 68,704,720 | |
TJX Companies, Inc. | 530,500 | 27,989,180 | |
Tokatsu Holdings Co. Ltd. | 18,700 | 68,665 | |
Ulta Beauty, Inc. (a) | 84,100 | 20,521,241 | |
Urban Outfitters, Inc. (a) | 296,400 | 5,021,016 | |
Williams-Sonoma, Inc. | 257,200 | 21,401,612 | |
361,344,006 | |||
Textiles, Apparel & Luxury Goods - 0.4% | |||
Capri Holdings Ltd. (a) | 70,200 | 1,055,808 | |
Carter's, Inc. | 21,300 | 1,829,883 | |
Columbia Sportswear Co. | 417,000 | 30,466,020 | |
Embry Holdings Ltd. | 280,000 | 40,514 | |
Ff Group (a)(c) | 2,700 | 3,597 | |
Fossil Group, Inc. (a) | 20,800 | 63,440 | |
G-III Apparel Group Ltd. (a) | 5,000 | 51,650 | |
Levi Strauss & Co. Class A (b) | 1,294,900 | 17,468,201 | |
NIKE, Inc. Class B | 484,600 | 47,771,868 | |
PVH Corp. | 491,800 | 22,362,146 | |
Sitoy Group Holdings Ltd. | 2,613,000 | 156,615 | |
Tapestry, Inc. | 943,300 | 12,828,880 | |
Ted Baker PLC (b) | 59,126 | 111,941 | |
Wolverine World Wide, Inc. | 1,000 | 20,940 | |
134,231,503 | |||
TOTAL CONSUMER DISCRETIONARY | 1,318,251,179 | ||
CONSUMER STAPLES - 2.6% | |||
Beverages - 0.4% | |||
Anheuser-Busch InBev SA NV ADR (b) | 87,500 | 4,102,000 | |
Boston Beer Co., Inc. Class A (a) | 23,300 | 13,158,209 | |
Britvic PLC | 588,000 | 5,217,603 | |
C&C Group PLC (United Kingdom) | 4,373,700 | 10,392,524 | |
Constellation Brands, Inc. Class A (sub. vtg.) | 163,100 | 28,167,370 | |
Diageo PLC sponsored ADR (b) | 58,000 | 8,155,380 | |
Monster Beverage Corp. (a) | 358,700 | 25,794,117 | |
The Coca-Cola Co. | 609,960 | 28,472,933 | |
Yantai Changyu Pioneer Wine Co. Ltd. (B Shares) | 690,621 | 1,326,627 | |
124,786,763 | |||
Food & Staples Retailing - 0.8% | |||
Amsterdam Commodities NV | 40,700 | 855,691 | |
BJ's Wholesale Club Holdings, Inc. (a) | 314,600 | 11,325,600 | |
Halows Co. Ltd. | 24,400 | 701,377 | |
Kroger Co. | 177,100 | 5,777,002 | |
Nihon Chouzai Co. Ltd. | 13,400 | 214,832 | |
OM2 Network Co. Ltd. | 70,900 | 887,524 | |
Performance Food Group Co. (a) | 798,000 | 21,266,700 | |
Qol Holdings Co. Ltd. | 60,100 | 718,336 | |
Retail Partners Co. Ltd. (b) | 154,400 | 2,273,515 | |
Sapporo Clinical Laboratory | 8,200 | 125,610 | |
Satoh & Co. Ltd. (b) | 12,300 | 171,307 | |
Sysco Corp. | 1,316,900 | 72,640,204 | |
U.S. Foods Holding Corp. (a) | 1,812,400 | 34,689,336 | |
Walgreens Boots Alliance, Inc. | 672,000 | 28,855,680 | |
Walmart, Inc. (d) | 662,700 | 82,214,562 | |
262,717,276 | |||
Food Products - 0.5% | |||
Axyz Co. Ltd. | 10,000 | 247,207 | |
Changshouhua Food Co. Ltd. | 2,467,000 | 781,566 | |
Conagra Brands, Inc. | 935,269 | 32,538,009 | |
Ingredion, Inc. | 29,600 | 2,493,208 | |
JC Comsa Corp. | 26,800 | 115,306 | |
Kaneko Seeds Co. Ltd. | 88,900 | 1,175,496 | |
Lotte Samkang Co. Ltd. | 1,057 | 309,684 | |
Mondelez International, Inc. | 738,500 | 38,490,620 | |
Origin Enterprises PLC | 55,420 | 171,023 | |
Pickles Corp. | 32,500 | 692,823 | |
Post Holdings, Inc. (a) | 359,177 | 31,269,950 | |
Prima Meat Packers Ltd. | 14,600 | 357,266 | |
S Foods, Inc. | 27,400 | 648,636 | |
Toyo Sugar Refining Co. Ltd. | 39,400 | 457,039 | |
TreeHouse Foods, Inc. (a) | 335,800 | 17,700,018 | |
Tyson Foods, Inc. Class A | 560,600 | 34,443,264 | |
161,891,115 | |||
Household Products - 0.4% | |||
Colgate-Palmolive Co. | 40,700 | 2,943,831 | |
Energizer Holdings, Inc. | 217,800 | 9,557,064 | |
Procter & Gamble Co. | 919,898 | 106,634,576 | |
Spectrum Brands Holdings, Inc. | 133,213 | 6,303,639 | |
125,439,110 | |||
Personal Products - 0.0% | |||
Hengan International Group Co. Ltd. | 280,000 | 2,305,820 | |
Unilever NV | 62,000 | 3,204,030 | |
5,509,850 | |||
Tobacco - 0.5% | |||
Altria Group, Inc. | 4,192,740 | 163,726,497 | |
British American Tobacco PLC sponsored ADR (b) | 627,314 | 25,142,745 | |
KT&G Corp. | 23,699 | 1,613,721 | |
Scandinavian Tobacco Group A/S (e) | 32,565 | 488,343 | |
190,971,306 | |||
TOTAL CONSUMER STAPLES | 871,315,420 | ||
ENERGY - 1.9% | |||
Energy Equipment & Services - 0.1% | |||
Baker Hughes Co. Class A | 196,900 | 3,250,819 | |
Carbo Ceramics, Inc. (a)(b) | 159,200 | 1,910 | |
Geospace Technologies Corp. (a) | 39,300 | 309,684 | |
High Arctic Energy Services, Inc. | 362,600 | 171,181 | |
Hoegh LNG Partners LP (b) | 279,700 | 2,900,489 | |
Liberty Oilfield Services, Inc. Class A | 131,300 | 676,195 | |
National Oilwell Varco, Inc. | 78,500 | 978,895 | |
Oceaneering International, Inc. (a) | 483,908 | 3,106,689 | |
SBM Offshore NV | 177,300 | 2,418,818 | |
Subsea 7 SA | 823,100 | 4,724,839 | |
TechnipFMC PLC | 54,100 | 400,340 | |
Valaris PLC Class A (a)(b) | 319,125 | 106,875 | |
19,046,734 | |||
Oil, Gas & Consumable Fuels - 1.8% | |||
Africa Oil Corp. (a)(b) | 1,159,800 | 892,899 | |
Aker Bp ASA | 76,500 | 1,228,864 | |
Apache Corp. | 594,200 | 6,411,418 | |
Baytex Energy Corp. (a) | 2,463,500 | 751,476 | |
Bonavista Energy Corp. (a)(b) | 877,200 | 98,752 | |
Bonterra Energy Corp. (b) | 218,300 | 218,799 | |
BP PLC sponsored ADR | 650,400 | 15,050,256 | |
Cabot Oil & Gas Corp. | 1,554,200 | 30,835,328 | |
Canadian Natural Resources Ltd. | 442,100 | 8,075,546 | |
Cenovus Energy, Inc. (Canada) | 4,262,763 | 18,576,154 | |
Cheniere Energy, Inc. (a) | 51,100 | 2,266,285 | |
Chevron Corp. | 183,500 | 16,826,950 | |
China Petroleum & Chemical Corp.: | |||
(H Shares) | 27,436,000 | 12,800,826 | |
sponsored ADR (H Shares) | 9,600 | 456,288 | |
CNOOC Ltd. sponsored ADR | 19,400 | 2,213,928 | |
CNX Resources Corp. (a) | 146,900 | 1,496,911 | |
ConocoPhillips Co. | 100,700 | 4,247,526 | |
Delek U.S. Holdings, Inc. | 655,728 | 12,898,170 | |
Enbridge, Inc. | 51,500 | 1,671,175 | |
Enterprise Products Partners LP | 118,000 | 2,253,800 | |
EQT Corp. | 1,119,900 | 14,939,466 | |
Equinor ASA sponsored ADR (b) | 2,748,991 | 40,107,779 | |
Exxon Mobil Corp. | 3,740,445 | 170,078,034 | |
Frontline Ltd. (NY Shares) | 10,000 | 91,300 | |
Galp Energia SGPS SA Class B | 356,000 | 4,235,756 | |
GasLog Partners LP (b) | 152,822 | 670,889 | |
Gibson Energy, Inc. | 57,200 | 884,889 | |
Golar LNG Partners LP | 778,067 | 1,890,703 | |
Hess Corp. | 1,119,000 | 53,118,930 | |
Husky Energy, Inc. | 1,175,800 | 3,313,436 | |
Imperial Oil Ltd. | 140,100 | 2,188,729 | |
Kosmos Energy Ltd. | 1,671,800 | 3,042,676 | |
Magnolia Oil & Gas Corp. Class A (a) | 1,811,900 | 10,056,045 | |
Marathon Oil Corp. | 122,000 | 651,480 | |
Marathon Petroleum Corp. | 12,800 | 449,792 | |
MEG Energy Corp. (a) | 1,039,825 | 2,416,705 | |
Motor Oil (HELLAS) Corinth Refineries SA | 111,300 | 1,853,228 | |
Murphy Oil Corp. (b) | 280,000 | 3,346,000 | |
NuVista Energy Ltd. (a) | 5,000 | 2,760 | |
Oil & Natural Gas Corp. Ltd. | 3,359,500 | 3,696,983 | |
Parex Resources, Inc. (a) | 2,053,026 | 23,082,284 | |
Phillips 66 Co. | 144,600 | 11,316,396 | |
Pioneer Natural Resources Co. | 1,000 | 91,600 | |
QEP Resources, Inc. | 35,700 | 30,474 | |
Seven Generations Energy Ltd. (a) | 5,000 | 10,531 | |
Shell Midstream Partners LP (b) | 100,413 | 1,354,571 | |
Sinopec Kantons Holdings Ltd. | 5,064,000 | 1,807,787 | |
Southwestern Energy Co. (a)(b) | 5,028,284 | 15,135,135 | |
Star Petroleum Refining PCL | 2,366,800 | 502,229 | |
Teekay LNG Partners LP | 1,185,500 | 13,230,180 | |
Thai Oil PCL (For. Reg.) | 468,100 | 632,766 | |
Total SA sponsored ADR | 1,387,900 | 52,157,282 | |
Tourmaline Oil Corp. | 74,500 | 740,211 | |
Tsakos Energy Navigation Ltd. | 50,000 | 133,500 | |
Unit Corp. (a)(b) | 1,616,500 | 70,318 | |
Valero Energy Corp. | 434,300 | 28,941,752 | |
Whiting Petroleum Corp. (a)(b) | 23,300 | 16,308 | |
World Fuel Services Corp. | 112,000 | 2,853,760 | |
608,414,015 | |||
TOTAL ENERGY | 627,460,749 | ||
FINANCIALS - 6.4% | |||
Banks - 2.6% | |||
Bank of America Corp. | 8,362,909 | 201,713,365 | |
BankUnited, Inc. | 649,481 | 12,002,409 | |
Boston Private Financial Holdings, Inc. | 974,719 | 6,696,320 | |
CIT Group, Inc. | 317,900 | 5,766,706 | |
Citigroup, Inc. | 933,600 | 44,728,776 | |
Comerica, Inc. | 195,800 | 7,117,330 | |
Credit Agricole Atlantique Vendee | 7,800 | 1,175,117 | |
Cullen/Frost Bankers, Inc. | 95,200 | 7,232,344 | |
East West Bancorp, Inc. | 5,000 | 174,750 | |
EFG Eurobank Ergasias SA (a) | 5,539,200 | 2,336,540 | |
First Citizens Bancshares, Inc. | 11,593 | 4,463,305 | |
First Foundation, Inc. | 700,773 | 10,441,518 | |
First Horizon National Corp. | 1,890,570 | 17,676,830 | |
FNB Corp., Pennsylvania | 2,381,255 | 17,645,100 | |
Gunma Bank Ltd. | 468,400 | 1,463,682 | |
Hiroshima Bank Ltd. | 65,700 | 307,650 | |
Huntington Bancshares, Inc. | 1,053,700 | 9,367,393 | |
JPMorgan Chase & Co. | 864,671 | 84,141,135 | |
KeyCorp | 588,695 | 6,976,036 | |
M&T Bank Corp. | 237,400 | 25,083,684 | |
NIBC Holding NV (e) | 660,726 | 5,258,757 | |
Northrim Bancorp, Inc. | 5,000 | 115,350 | |
Ogaki Kyoritsu Bank Ltd. | 51,400 | 1,083,811 | |
PNC Financial Services Group, Inc. | 578,034 | 65,918,997 | |
Shinsei Bank Ltd. | 82,500 | 1,055,207 | |
Signature Bank | 36,100 | 3,715,051 | |
Skandiabanken ASA (e) | 110,600 | 735,001 | |
Societe Generale Series A | 83,700 | 1,238,161 | |
Sumitomo Mitsui Financial Group, Inc. | 615,900 | 17,874,852 | |
Synovus Financial Corp. | 108,500 | 2,082,115 | |
TCF Financial Corp. | 667,200 | 19,295,424 | |
The Keiyo Bank Ltd. | 148,400 | 712,793 | |
The San-In Godo Bank Ltd. | 142,300 | 700,647 | |
Truist Financial Corp. | 1,928,345 | 70,924,529 | |
U.S. Bancorp | 587,327 | 20,885,348 | |
Unicaja Banco SA (e) | 1,829,300 | 995,407 | |
United Community Bank, Inc. | 842,499 | 16,470,855 | |
Van Lanschot NV (Bearer) | 5,800 | 89,235 | |
Wells Fargo & Co. | 6,321,513 | 167,330,449 | |
Western Alliance Bancorp. | 243,600 | 9,293,340 | |
Yamaguchi Financial Group, Inc. | 127,800 | 763,162 | |
873,048,481 | |||
Capital Markets - 1.1% | |||
Affiliated Managers Group, Inc. | 221,800 | 14,776,316 | |
Ares Capital Corp. | 38,829 | 572,728 | |
Bank of New York Mellon Corp. | 1,353,000 | 50,291,010 | |
BlackRock, Inc. Class A | 95,600 | 50,537,984 | |
Cboe Global Markets, Inc. | 160,700 | 17,108,122 | |
Cowen Group, Inc. Class A | 345,900 | 4,520,913 | |
Daou Data Corp. | 1,000 | 11,159 | |
Goldman Sachs Group, Inc. | 134,300 | 26,388,607 | |
Intercontinental Exchange, Inc. | 248,200 | 24,137,450 | |
Invesco Ltd. | 593,700 | 4,731,789 | |
KKR & Co. LP | 376,200 | 10,439,550 | |
Lazard Ltd. Class A | 387,408 | 10,405,779 | |
Morgan Stanley | 688,530 | 30,433,026 | |
Morningstar, Inc. | 77,900 | 11,943,628 | |
Northern Trust Corp. | 452,200 | 35,728,322 | |
Raymond James Financial, Inc. | 71,963 | 4,985,597 | |
State Street Corp. | 1,112,546 | 67,820,804 | |
Virtu Financial, Inc. Class A | 659,500 | 15,729,075 | |
380,561,859 | |||
Consumer Finance - 0.9% | |||
360 Finance, Inc. ADR (a) | 138,300 | 1,389,915 | |
Aeon Credit Service (Asia) Co. Ltd. | 3,946,000 | 2,677,823 | |
Ally Financial, Inc. | 806,400 | 14,063,616 | |
American Express Co. | 101,500 | 9,649,605 | |
Capital One Financial Corp. | 1,455,000 | 98,998,200 | |
Discover Financial Services | 2,067,500 | 98,226,925 | |
Encore Capital Group, Inc. (a)(b) | 8,826 | 280,402 | |
First Cash Financial Services, Inc. | 213,110 | 14,868,685 | |
Navient Corp. | 92,600 | 688,944 | |
OneMain Holdings, Inc. | 592,159 | 13,815,069 | |
Santander Consumer U.S.A. Holdings, Inc. (b) | 185,300 | 3,063,009 | |
Shriram Transport Finance Co. Ltd. | 331,600 | 2,510,081 | |
SLM Corp. | 1,741,200 | 13,198,296 | |
Synchrony Financial | 1,119,900 | 22,812,363 | |
296,242,933 | |||
Diversified Financial Services - 0.3% | |||
Berkshire Hathaway, Inc.: | |||
Class A (a) | 2 | 557,280 | |
Class B (a) | 299,400 | 55,562,652 | |
Fuyo General Lease Co. Ltd. | 92,300 | 5,289,202 | |
Ricoh Leasing Co. Ltd. | 114,000 | 3,313,923 | |
Voya Financial, Inc. | 530,910 | 23,917,496 | |
88,640,553 | |||
Insurance - 1.2% | |||
AFLAC, Inc. | 273,400 | 9,970,898 | |
Allstate Corp. | 212,000 | 20,735,720 | |
American International Group, Inc. | 730,271 | 21,951,946 | |
ASR Nederland NV | 92,500 | 2,536,187 | |
Assurant, Inc. | 211,530 | 21,698,747 | |
Axis Capital Holdings Ltd. | 443,800 | 16,660,252 | |
Brown & Brown, Inc. | 469,782 | 18,885,236 | |
Chubb Ltd. | 385,800 | 47,044,452 | |
Db Insurance Co. Ltd. | 280,000 | 9,862,436 | |
Fairfax Financial Holdings Ltd. (sub. vtg.) | 10,000 | 2,777,863 | |
First American Financial Corp. | 223,400 | 11,279,466 | |
Genworth Financial, Inc. Class A | 324,100 | 988,505 | |
Globe Life, Inc. | 131,800 | 10,151,236 | |
Hartford Financial Services Group, Inc. | 517,600 | 19,818,904 | |
Hyundai Fire & Marine Insurance Co. Ltd. | 212,600 | 4,184,190 | |
Lincoln National Corp. | 174,200 | 6,607,406 | |
Marsh & McLennan Companies, Inc. | 135,100 | 14,309,792 | |
MetLife, Inc. | 1,869,300 | 67,313,493 | |
NN Group NV | 150,203 | 4,610,490 | |
Prudential Financial, Inc. | 69,200 | 4,218,432 | |
Selectquote, Inc. | 149,800 | 4,122,496 | |
Sul America SA unit | 10,000 | 84,047 | |
The Travelers Companies, Inc. | 687,800 | 73,580,844 | |
Willis Group Holdings PLC | 80,600 | 16,353,740 | |
409,746,778 | |||
Mortgage Real Estate Investment Trusts - 0.1% | |||
AGNC Investment Corp. | 427,400 | 5,530,556 | |
Annaly Capital Management, Inc. | 759,400 | 4,677,904 | |
MFA Financial, Inc. (b) | 1,547,900 | 2,615,951 | |
Redwood Trust, Inc. | 67,500 | 361,125 | |
13,185,536 | |||
Thrifts & Mortgage Finance - 0.2% | |||
ASAX Co. Ltd. | 188,500 | 1,115,147 | |
Essent Group Ltd. | 957,930 | 31,659,587 | |
Genworth Mortgage Insurance Ltd. | 232,786 | 325,843 | |
MGIC Investment Corp. | 4,633,500 | 38,041,035 | |
Radian Group, Inc. | 374 | 5,939 | |
71,147,551 | |||
TOTAL FINANCIALS | 2,132,573,691 | ||
HEALTH CARE - 7.9% | |||
Biotechnology - 1.7% | |||
AbbVie, Inc. | 108,900 | 10,091,763 | |
Acceleron Pharma, Inc. (a) | 88,000 | 8,697,040 | |
ADC Therapeutics SA (a)(b) | 168,600 | 6,229,770 | |
Alexion Pharmaceuticals, Inc. (a) | 571,100 | 68,474,890 | |
Alnylam Pharmaceuticals, Inc. (a) | 88,000 | 11,903,760 | |
Amgen, Inc. | 342,900 | 78,764,130 | |
Arcutis Biotherapeutics, Inc. (a)(b) | 100,000 | 3,355,000 | |
Argenx SE ADR (a) | 60,000 | 13,158,000 | |
Ascendis Pharma A/S sponsored ADR (a) | 96,000 | 13,967,040 | |
Aurinia Pharmaceuticals, Inc. (a) | 468,700 | 7,438,269 | |
BELLUS Health, Inc. (a) | 260,000 | 2,727,400 | |
Biogen, Inc. (a) | 59,000 | 18,118,310 | |
Blueprint Medicines Corp. (a) | 318,398 | 20,740,446 | |
Cell Biotech Co. Ltd. | 55,372 | 714,535 | |
Crinetics Pharmaceuticals, Inc. (a)(b) | 69,800 | 1,140,532 | |
Gilead Sciences, Inc. | 200,100 | 15,573,783 | |
Global Blood Therapeutics, Inc. (a) | 345,330 | 24,145,474 | |
Gritstone Oncology, Inc. (a)(b) | 205,600 | 1,328,176 | |
Heron Therapeutics, Inc. (a) | 29,900 | 544,778 | |
Innovent Biologics, Inc. (a)(e) | 700,000 | 3,844,035 | |
Insmed, Inc. (a) | 144,138 | 3,501,112 | |
Intercept Pharmaceuticals, Inc. (a)(b) | 87,175 | 6,299,266 | |
Neurocrine Biosciences, Inc. (a) | 75,000 | 9,357,000 | |
ORIC Pharmaceuticals, Inc. (a)(b) | 135,000 | 3,917,700 | |
Passage Bio, Inc. | 85,000 | 1,872,550 | |
Principia Biopharma, Inc. (a) | 86,700 | 5,539,263 | |
PTC Therapeutics, Inc. (a) | 218,200 | 11,064,922 | |
Regeneron Pharmaceuticals, Inc. (a) | 120,900 | 74,088,729 | |
Revolution Medicines, Inc. (b) | 130,000 | 3,993,600 | |
Sarepta Therapeutics, Inc. (a) | 285,892 | 43,532,775 | |
Seattle Genetics, Inc. (a) | 178,500 | 28,061,985 | |
TG Therapeutics, Inc. (a) | 148,000 | 2,760,200 | |
Turning Point Therapeutics, Inc. (a)(b) | 60,000 | 4,155,000 | |
Twist Bioscience Corp. (a) | 110,000 | 4,174,500 | |
United Therapeutics Corp. (a) | 70,900 | 8,362,655 | |
Vertex Pharmaceuticals, Inc. (a) | 92,000 | 26,492,320 | |
Xencor, Inc. (a) | 100,000 | 3,025,000 | |
Zymeworks, Inc. (a) | 110,311 | 4,205,055 | |
555,360,763 | |||
Health Care Equipment & Supplies - 1.0% | |||
A&T Corp. (b) | 21,000 | 317,400 | |
Atricure, Inc. (a) | 506,300 | 24,206,203 | |
Becton, Dickinson & Co. | 226,100 | 55,830,873 | |
Boston Scientific Corp. (a) | 1,671,921 | 63,516,279 | |
Danaher Corp. | 114,000 | 18,993,540 | |
Fukuda Denshi Co. Ltd. | 78,400 | 5,372,303 | |
Genmark Diagnostics, Inc. (a) | 800,000 | 7,592,000 | |
Hologic, Inc. (a) | 392,900 | 20,823,700 | |
Insulet Corp. (a) | 90,000 | 16,971,300 | |
Intuitive Surgical, Inc. (a) | 39,000 | 22,621,170 | |
Masimo Corp. (a) | 56,000 | 13,450,640 | |
Meridian Bioscience, Inc. (a) | 1,000 | 15,460 | |
Nanosonics Ltd. (a) | 600,000 | 2,891,494 | |
Nevro Corp. (a) | 30,000 | 3,768,000 | |
OraSure Technologies, Inc. (a) | 400,000 | 5,816,000 | |
Penumbra, Inc. (a) | 92,000 | 15,862,640 | |
Quidel Corp. (a) | 62,000 | 10,850,000 | |
STERIS PLC | 139,449 | 23,133,195 | |
Tandem Diabetes Care, Inc. (a) | 318,300 | 26,466,645 | |
338,498,842 | |||
Health Care Providers & Services - 2.9% | |||
1Life Healthcare, Inc. (a)(b) | 140,000 | 4,522,000 | |
AmerisourceBergen Corp. | 41,100 | 3,918,474 | |
Anthem, Inc. | 358,000 | 105,291,380 | |
Cardinal Health, Inc. | 417,700 | 22,844,013 | |
Centene Corp. (a) | 1,562,300 | 103,502,375 | |
Cigna Corp. | 875,677 | 172,788,586 | |
Covetrus, Inc. (a) | 147,500 | 2,253,800 | |
CVS Health Corp. | 1,723,212 | 112,991,011 | |
Humana, Inc. | 145,000 | 59,544,250 | |
Laboratory Corp. of America Holdings (a) | 64,900 | 11,378,268 | |
LHC Group, Inc. (a) | 157,400 | 25,579,074 | |
McKesson Corp. | 266,290 | 42,252,234 | |
MEDNAX, Inc. (a) | 82,600 | 1,282,778 | |
Molina Healthcare, Inc. (a) | 136,300 | 25,327,266 | |
Patterson Companies, Inc. | 58,100 | 1,143,989 | |
Quest Diagnostics, Inc. | 3,700 | 437,636 | |
R1 RCM, Inc. (a) | 1,257,700 | 13,344,197 | |
Tokai Corp. | 126,800 | 3,234,520 | |
UnitedHealth Group, Inc. | 781,800 | 238,331,730 | |
Universal Health Services, Inc. Class B | 112,000 | 11,810,400 | |
961,777,981 | |||
Health Care Technology - 0.1% | |||
Inspire Medical Systems, Inc. (a) | 75,000 | 6,115,500 | |
Livongo Health, Inc. (b) | 343,700 | 20,597,941 | |
Phreesia, Inc. | 348,100 | 10,206,292 | |
Veeva Systems, Inc. Class A (a) | 24,000 | 5,252,880 | |
42,172,613 | |||
Life Sciences Tools & Services - 0.2% | |||
10X Genomics, Inc. (a) | 80,000 | 6,237,600 | |
Bio-Rad Laboratories, Inc. Class A (a) | 64,016 | 31,452,341 | |
Bruker Corp. | 670,400 | 29,014,912 | |
ICON PLC (a) | 5,200 | 875,940 | |
Lonza Group AG | 21,000 | 10,370,235 | |
77,951,028 | |||
Pharmaceuticals - 2.0% | |||
AstraZeneca PLC (United Kingdom) | 380,000 | 40,925,923 | |
Bayer AG | 758,882 | 51,876,868 | |
Bristol-Myers Squibb Co. | 2,789,000 | 166,559,080 | |
Bristol-Myers Squibb Co. rights (a) | 727,000 | 2,391,830 | |
Dawnrays Pharmaceutical Holdings Ltd. | 8,086,000 | 972,570 | |
Elanco Animal Health, Inc. (a) | 79,000 | 1,691,390 | |
Eli Lilly & Co. | 314,000 | 48,026,300 | |
Genomma Lab Internacional SA de CV (a) | 1,500,000 | 1,367,111 | |
GlaxoSmithKline PLC sponsored ADR | 1,269,358 | 53,211,487 | |
Jazz Pharmaceuticals PLC (a) | 56,000 | 6,681,920 | |
Johnson & Johnson | 507,185 | 75,443,769 | |
Korea United Pharm, Inc. | 41,212 | 655,566 | |
Mylan NV (a) | 25,000 | 426,750 | |
MyoKardia, Inc. (a) | 76,000 | 7,774,040 | |
Nektar Therapeutics (a)(b) | 180,000 | 3,906,000 | |
Nippon Chemiphar Co. Ltd. | 10,400 | 264,617 | |
Reata Pharmaceuticals, Inc. (a) | 106,700 | 15,505,644 | |
Roche Holding AG (participation certificate) | 297,926 | 103,416,602 | |
Sanofi SA | 270,000 | 26,409,997 | |
Sanofi SA sponsored ADR | 900,000 | 44,199,000 | |
Taro Pharmaceutical Industries Ltd. (a) | 11,200 | 763,168 | |
Theravance Biopharma, Inc. (a) | 180,000 | 4,545,000 | |
657,014,632 | |||
TOTAL HEALTH CARE | 2,632,775,859 | ||
INDUSTRIALS - 4.7% | |||
Aerospace & Defense - 0.8% | |||
Airbus Group NV | 268,200 | 17,139,861 | |
General Dynamics Corp. | 293,923 | 43,156,714 | |
HEICO Corp. Class A | 212,246 | 17,818,052 | |
Huntington Ingalls Industries, Inc. | 151,800 | 30,343,302 | |
Lockheed Martin Corp. | 196,600 | 76,367,304 | |
Raytheon Technologies Corp. | 812,669 | 52,433,404 | |
Safran SA | 22,400 | 2,158,438 | |
Teledyne Technologies, Inc. (a) | 70,000 | 26,188,400 | |
The Boeing Co. | 18,400 | 2,683,640 | |
Vectrus, Inc. (a) | 5,000 | 274,600 | |
268,563,715 | |||
Air Freight & Logistics - 0.3% | |||
Deutsche Post AG | 229,400 | 7,184,399 | |
Expeditors International of Washington, Inc. | 44,700 | 3,413,739 | |
FedEx Corp. | 135,330 | 17,668,685 | |
Onelogix Group Ltd. | 488,862 | 69,712 | |
United Parcel Service, Inc. Class B | 504,406 | 50,294,322 | |
XPO Logistics, Inc. (a) | 93,700 | 7,384,497 | |
86,015,354 | |||
Airlines - 0.1% | |||
Alaska Air Group, Inc. | 481,600 | 16,465,904 | |
Copa Holdings SA Class A (b) | 318,300 | 13,960,638 | |
Hawaiian Holdings, Inc. | 2,000 | 28,860 | |
Ryanair Holdings PLC sponsored ADR (a) | 30,900 | 2,217,693 | |
32,673,095 | |||
Building Products - 0.5% | |||
Apogee Enterprises, Inc. | 5,000 | 103,250 | |
Carrier Global Corp. (a) | 291,620 | 5,969,461 | |
Fortune Brands Home & Security, Inc. | 1,076,529 | 65,625,208 | |
Jeld-Wen Holding, Inc. (a) | 261,200 | 3,560,156 | |
Johnson Controls International PLC | 50,700 | 1,592,487 | |
KVK Corp. | 5,500 | 70,940 | |
Nihon Dengi Co. Ltd. | 103,900 | 3,078,126 | |
Owens Corning | 444,000 | 23,310,000 | |
Trane Technologies PLC | 660,600 | 59,592,726 | |
162,902,354 | |||
Commercial Services & Supplies - 0.0% | |||
IAA Spinco, Inc. (a) | 42,400 | 1,738,400 | |
Nippon Kanzai Co. Ltd. | 28,300 | 486,777 | |
Steelcase, Inc. Class A | 130,800 | 1,514,664 | |
VSE Corp. | 1,000 | 26,000 | |
3,765,841 | |||
Construction & Engineering - 0.0% | |||
Arcadis NV | 44,800 | 765,846 | |
Boustead Projs. Pte Ltd. | 2,180,500 | 1,142,108 | |
Joban Kaihatsu Co. Ltd. | 1,400 | 63,026 | |
Kawasaki Setsubi Kogyo Co. Ltd. | 23,200 | 111,219 | |
Meisei Industrial Co. Ltd. | 425,200 | 2,980,678 | |
Raiznext Corp. | 450,800 | 5,358,854 | |
Seikitokyu Kogyo Co. Ltd. | 72,400 | 538,410 | |
Watanabe Sato Co. Ltd. | 4,100 | 80,217 | |
11,040,358 | |||
Electrical Equipment - 0.6% | |||
Acuity Brands, Inc. | 285,100 | 24,561,365 | |
Aichi Electric Co. Ltd. (b) | 58,100 | 1,158,283 | |
AMETEK, Inc. | 632,700 | 58,024,917 | |
Eaton Corp. PLC | 16,800 | 1,426,320 | |
Emerson Electric Co. | 454,300 | 27,721,386 | |
Gerard Perrier Industrie SA | 5,000 | 350,776 | |
Hubbell, Inc. Class B | 55,900 | 6,843,278 | |
Iwabuchi Corp. | 1,600 | 91,390 | |
Regal Beloit Corp. | 215,600 | 17,148,824 | |
Sensata Technologies, Inc. PLC (a) | 28,000 | 998,200 | |
Sunrun, Inc. (a) | 156,800 | 2,618,560 | |
Terasaki Electric Co. Ltd. | 33,600 | 332,744 | |
Vertiv Holdings Co. (a) | 496,900 | 6,325,537 | |
Vertiv Holdings LLC (f) | 600,000 | 7,638,000 | |
Vestas Wind Systems A/S | 227,400 | 23,225,667 | |
Vivint Solar, Inc. (a)(b) | 2,243,782 | 16,873,241 | |
195,338,488 | |||
Industrial Conglomerates - 0.7% | |||
3M Co. | 51,400 | 8,041,016 | |
Carlisle Companies, Inc. | 206,520 | 24,753,487 | |
General Electric Co. | 20,776,208 | 136,499,687 | |
Mytilineos SA | 239,500 | 1,892,902 | |
Reunert Ltd. | 56,900 | 140,786 | |
Roper Technologies, Inc. | 87,900 | 34,615,020 | |
Siemens AG | 253,500 | 27,949,574 | |
233,892,472 | |||
Machinery - 0.8% | |||
Conrad Industries, Inc. (a) | 5,400 | 50,490 | |
Crane Co. | 1,000 | 55,720 | |
Cummins, Inc. | 24,800 | 4,206,080 | |
Flowserve Corp. | 496,527 | 12,959,355 | |
Fortive Corp. | 870,200 | 53,064,796 | |
Fukushima Industries Corp. | 4,100 | 126,028 | |
Gardner Denver Holdings, Inc. (a) | 1,751,253 | 49,385,335 | |
Haitian International Holdings Ltd. | 1,290,000 | 2,745,067 | |
Hy-Lok Corp. | 14,316 | 153,948 | |
IDEX Corp. | 228,727 | 36,452,222 | |
ITT, Inc. | 94,600 | 5,458,420 | |
Koike Sanso Kogyo Co. Ltd. | 2,200 | 43,778 | |
Nakanishi Manufacturing Co. Ltd. | 20,000 | 175,252 | |
Nansin Co. Ltd. | 32,900 | 150,093 | |
Oshkosh Corp. | 337,200 | 24,217,704 | |
Otis Worldwide Corp. | 717,384 | 37,770,268 | |
Sakura Rubber Co. Ltd. | 20,000 | 915,202 | |
Stanley Black & Decker, Inc. | 236,000 | 29,606,200 | |
The Hanshin Diesel Works Ltd. | 4,500 | 78,696 | |
Westinghouse Air Brake Co. | 113,162 | 6,910,803 | |
Yamada Corp. | 19,700 | 391,826 | |
264,917,283 | |||
Marine - 0.0% | |||
Japan Transcity Corp. | 280,300 | 1,346,334 | |
Professional Services - 0.0% | |||
ABIST Co. Ltd. | 26,000 | 590,421 | |
Bertrandt AG | 18,100 | 718,286 | |
Career Design Center Co. Ltd. | 22,100 | 201,440 | |
McMillan Shakespeare Ltd. | 46,017 | 265,012 | |
RELX PLC (London Stock Exchange) | 338,764 | 7,838,228 | |
Robert Half International, Inc. | 5,000 | 253,700 | |
SHL-JAPAN Ltd. | 34,200 | 653,271 | |
10,520,358 | |||
Road & Rail - 0.6% | |||
Autohellas SA | 51,600 | 222,241 | |
CSX Corp. | 709,900 | 50,814,642 | |
Daqin Railway Co. Ltd. (A Shares) | 2,952,141 | 2,820,919 | |
J.B. Hunt Transport Services, Inc. | 90,400 | 10,818,168 | |
Knight-Swift Transportation Holdings, Inc. Class A | 528,100 | 21,974,241 | |
Landstar System, Inc. | 244,920 | 28,474,399 | |
Lyft, Inc. (a) | 614,183 | 19,199,361 | |
Meitetsu Transport Co. Ltd. | 5,000 | 99,680 | |
NANSO Transport Co. Ltd. | 46,700 | 484,559 | |
Nikkon Holdings Co. Ltd. | 47,600 | 963,078 | |
Old Dominion Freight Lines, Inc. | 223,709 | 38,274,373 | |
Ryder System, Inc. | 153,000 | 5,241,780 | |
Schneider National, Inc. Class B | 840,600 | 20,317,302 | |
STEF-TFE Group | 3,667 | 299,186 | |
Tohbu Network Co. Ltd. | 42,500 | 339,306 | |
Uber Technologies, Inc. | 65,772 | 2,388,839 | |
Utoc Corp. | 136,300 | 580,108 | |
203,312,182 | |||
Trading Companies & Distributors - 0.3% | |||
AerCap Holdings NV (a) | 88,600 | 2,856,464 | |
Beacon Roofing Supply, Inc. (a) | 97,600 | 2,402,912 | |
Beijer Ref AB (B Shares) | 20,000 | 592,196 | |
Canox Corp. | 78,839 | 547,549 | |
Daiichi Jitsugyo Co. Ltd. | 5,900 | 206,523 | |
Green Cross Co. Ltd. | 81,100 | 585,060 | |
HD Supply Holdings, Inc. (a) | 1,212,180 | 38,438,228 | |
Howden Joinery Group PLC | 26,900 | 195,874 | |
Itochu Corp. | 1,926,200 | 41,258,491 | |
Kamei Corp. | 229,200 | 2,286,793 | |
Mitani Shoji Co. Ltd. | 56,600 | 3,406,129 | |
Mitsubishi Corp. | 447,900 | 10,445,255 | |
MSC Industrial Direct Co., Inc. Class A | 5,000 | 346,700 | |
Narasaki Sangyo Co. Ltd. | 9,600 | 157,114 | |
Nishikawa Keisoku Co. Ltd. | 5,800 | 220,502 | |
Pla Matels Corp. | 49,800 | 271,061 | |
Sam Yung Trading Co. Ltd. | 2,000 | 23,049 | |
Shinsho Corp. | 90,900 | 1,643,609 | |
United Rentals, Inc. (a) | 39,800 | 5,527,822 | |
111,411,331 | |||
Transportation Infrastructure - 0.0% | |||
Isewan Terminal Service Co. Ltd. | 191,300 | 1,404,883 | |
Qingdao Port International Co. Ltd. (H Shares) (e) | 4,884,814 | 2,665,846 | |
4,070,729 | |||
TOTAL INDUSTRIALS | 1,589,769,894 | ||
INFORMATION TECHNOLOGY - 8.1% | |||
Communications Equipment - 0.3% | |||
Cisco Systems, Inc. | 1,376,400 | 65,819,448 | |
CommScope Holding Co., Inc. (a) | 317,700 | 3,275,487 | |
Ericsson (B Shares) sponsored ADR | 461,948 | 4,222,205 | |
F5 Networks, Inc. (a) | 112,000 | 16,231,040 | |
Juniper Networks, Inc. | 48,500 | 1,176,610 | |
Lumentum Holdings, Inc. (a) | 2,400 | 175,968 | |
90,900,758 | |||
Electronic Equipment & Components - 0.6% | |||
Arrow Electronics, Inc. (a) | 20,100 | 1,388,508 | |
Avnet, Inc. | 552,300 | 15,044,652 | |
Cognex Corp. | 259,100 | 14,701,334 | |
Daido Signal Co. Ltd. | 104,500 | 535,848 | |
Elematec Corp. | 116,200 | 958,950 | |
Flextronics International Ltd. (a) | 1,752,503 | 17,016,804 | |
HAGIAWARA ELECTRIC Co. Ltd. | 15,000 | 309,055 | |
II-VI, Inc. (a) | 502,514 | 23,884,490 | |
Insight Enterprises, Inc. (a) | 96,031 | 4,922,549 | |
Jabil, Inc. | 1,828,997 | 54,723,590 | |
Kingboard Chemical Holdings Ltd. | 1,500,000 | 3,652,647 | |
Makus, Inc. | 658,447 | 1,881,048 | |
New Cosmos Electric Co. Ltd. | 6,200 | 100,952 | |
PAX Global Technology Ltd. | 5,140,000 | 1,997,048 | |
Redington India Ltd. | 507,144 | 581,567 | |
Riken Kieki Co. Ltd. | 55,200 | 1,241,738 | |
ScanSource, Inc. (a) | 33,200 | 818,380 | |
TE Connectivity Ltd. | 434,200 | 35,278,750 | |
Trimble, Inc. (a) | 744,000 | 29,105,280 | |
208,143,190 | |||
IT Services - 1.3% | |||
Amdocs Ltd. | 319,500 | 19,892,070 | |
Avant Corp. | 297,400 | 3,107,884 | |
Capgemini SA | 103,900 | 10,622,279 | |
Cielo SA | 365,700 | 280,290 | |
Cognizant Technology Solutions Corp. Class A | 425,100 | 22,530,300 | |
Data Applications Co. Ltd. | 5,000 | 66,484 | |
DXC Technology Co. | 182,012 | 2,586,391 | |
E-Credible Co. Ltd. | 97,188 | 1,684,019 | |
Enea Data AB (a) | 67,600 | 1,034,531 | |
FDM Group Holdings PLC | 5,000 | 55,575 | |
Fidelity National Information Services, Inc. | 365,267 | 50,710,018 | |
Gartner, Inc. (a) | 201,100 | 24,473,870 | |
Genpact Ltd. | 910,340 | 32,726,723 | |
Global Payments, Inc. | 70,962 | 12,736,969 | |
GoDaddy, Inc. (a) | 643,104 | 49,679,784 | |
IBM Corp. | 42,300 | 5,283,270 | |
Korea Information & Communication Co. Ltd. (a) | 18,423 | 149,519 | |
MasterCard, Inc. Class A | 42,000 | 12,637,380 | |
PayPal Holdings, Inc. (a) | 278,062 | 43,102,391 | |
Sabre Corp. | 579,200 | 4,037,024 | |
Twilio, Inc. Class A (a) | 256,099 | 50,605,162 | |
Unisys Corp. (a) | 422,500 | 4,799,600 | |
Visa, Inc. Class A | 309,057 | 60,340,289 | |
WEX, Inc. (a) | 134,600 | 19,931,568 | |
Worldline SA (a)(e) | 66,200 | 4,932,334 | |
438,005,724 | |||
Semiconductors & Semiconductor Equipment - 1.3% | |||
Advanced Micro Devices, Inc. (a) | 205,561 | 11,059,182 | |
Analog Devices, Inc. | 32,600 | 3,682,170 | |
Applied Materials, Inc. | 325,923 | 18,310,354 | |
Broadcom, Inc. | 9,300 | 2,708,811 | |
Cirrus Logic, Inc. (a) | 71,400 | 5,175,072 | |
Intel Corp. | 1,172,500 | 73,785,425 | |
Lam Research Corp. | 22,942 | 6,278,537 | |
Marvell Technology Group Ltd. | 1,348,360 | 43,983,503 | |
MediaTek, Inc. | 288,000 | 4,449,398 | |
Microchip Technology, Inc. | 500 | 48,010 | |
Micron Technology, Inc. (a) | 805,566 | 38,594,667 | |
Miraial Co. Ltd. | 30,400 | 363,915 | |
NVIDIA Corp. | 160,965 | 57,145,794 | |
NXP Semiconductors NV | 540,242 | 51,917,256 | |
ON Semiconductor Corp. (a) | 604,450 | 9,967,381 | |
Phison Electronics Corp. | 44,000 | 403,751 | |
Qualcomm, Inc. | 960,901 | 77,717,673 | |
Sanken Electric Co. Ltd. | 94,689 | 2,188,001 | |
Skyworks Solutions, Inc. | 177,611 | 21,054,008 | |
STMicroelectronics NV (France) | 162,900 | 4,045,611 | |
Xilinx, Inc. | 10,771 | 990,393 | |
433,868,912 | |||
Software - 3.3% | |||
Adobe, Inc. (a) | 105,448 | 40,766,197 | |
Autodesk, Inc. (a) | 156,664 | 32,958,972 | |
Blackbaud, Inc. | 337,800 | 19,798,458 | |
Box, Inc. Class A (a) | 1,020,600 | 20,391,588 | |
Citrix Systems, Inc. | 26,654 | 3,947,990 | |
Cloudflare, Inc. (a) | 356,529 | 10,364,298 | |
Cyient Ltd. | 478,727 | 1,260,374 | |
Dynatrace, Inc. | 74,700 | 2,873,709 | |
eBase Co. Ltd. | 178,300 | 2,149,288 | |
Elastic NV (a) | 391,219 | 33,613,536 | |
Encourage Technologies Co. Ltd. | 5,000 | 39,455 | |
Envestnet, Inc. (a) | 100 | 7,261 | |
HubSpot, Inc. (a) | 130,300 | 26,052,182 | |
LivePerson, Inc. (a)(b) | 537,316 | 20,122,484 | |
Micro Focus International PLC sponsored ADR | 12,029 | 58,942 | |
Microsoft Corp. | 2,918,950 | 534,897,588 | |
Nortonlifelock, Inc. | 1,585,553 | 36,118,897 | |
Nuance Communications, Inc. (a) | 349,300 | 7,991,984 | |
Nutanix, Inc. Class A (a) | 35,800 | 861,348 | |
Oracle Corp. | 680,405 | 36,585,377 | |
Parametric Technology Corp. (a) | 426,200 | 32,553,156 | |
Pluralsight, Inc. (a) | 977,000 | 20,350,910 | |
Proofpoint, Inc. (a) | 179,520 | 20,872,790 | |
RealPage, Inc. (a) | 393,800 | 26,707,516 | |
RingCentral, Inc. (a) | 7,995 | 2,192,629 | |
Salesforce.com, Inc. (a) | 262,770 | 45,929,568 | |
SAP SE sponsored ADR (b) | 299,756 | 38,398,744 | |
Sinosoft Tech Group Ltd. | 5,632,000 | 653,555 | |
SS&C Technologies Holdings, Inc. | 74,995 | 4,341,836 | |
SurveyMonkey (a) | 177,800 | 3,582,670 | |
System Research Co. Ltd. | 14,200 | 249,252 | |
Tenable Holdings, Inc. (a) | 330,900 | 10,347,243 | |
Toho System Science Co. Ltd. (b) | 11,200 | 93,052 | |
Workday, Inc. Class A (a) | 58,414 | 10,714,880 | |
Workiva, Inc. (a) | 338,893 | 15,094,294 | |
Yext, Inc. (a)(b) | 393,658 | 6,215,860 | |
Zendesk, Inc. (a) | 336,767 | 28,877,770 | |
Zensar Technologies Ltd. | 25,000 | 28,718 | |
1,098,064,371 | |||
Technology Hardware, Storage & Peripherals - 1.3% | |||
Apple, Inc. | 1,232,627 | 391,901,428 | |
Dell Technologies, Inc. (a) | 30 | 1,489 | |
Elecom Co. Ltd. | 52,100 | 2,468,645 | |
HP, Inc. | 1,302,717 | 19,723,135 | |
NetApp, Inc. | 1,000 | 44,540 | |
Western Digital Corp. | 759,864 | 33,715,166 | |
Xerox Holdings Corp. | 56,056 | 890,169 | |
448,744,572 | |||
TOTAL INFORMATION TECHNOLOGY | 2,717,727,527 | ||
MATERIALS - 1.4% | |||
Chemicals - 0.6% | |||
Albemarle Corp. U.S. (b) | 177,400 | 13,574,648 | |
Amyris, Inc. (a)(b) | 2,376,133 | 8,862,976 | |
Balchem Corp. | 95,400 | 9,602,010 | |
C. Uyemura & Co. Ltd. | 74,000 | 4,453,243 | |
Cabot Corp. | 7,400 | 264,328 | |
CF Industries Holdings, Inc. | 430,810 | 12,652,890 | |
DuPont de Nemours, Inc. | 1,523,800 | 77,302,374 | |
Ecolab, Inc. | 20,700 | 4,400,406 | |
Innospec, Inc. | 185,111 | 14,270,207 | |
Isamu Paint Co. Ltd. | 2,600 | 71,603 | |
KPC Holdings Corp. | 7,154 | 254,888 | |
Linde PLC | 55,500 | 11,229,870 | |
Livent Corp. (a)(b) | 1,223,914 | 8,249,180 | |
LyondellBasell Industries NV Class A | 71,800 | 4,577,968 | |
NOF Corp. | 21,600 | 767,101 | |
Nutrien Ltd. | 151,300 | 5,164,760 | |
PPG Industries, Inc. | 45,500 | 4,625,985 | |
Scientex Bhd | 590,400 | 1,124,442 | |
Toho Acetylene Co. Ltd. | 92,650 | 1,101,370 | |
Yara International ASA | 50,300 | 1,721,038 | |
Yip's Chemical Holdings Ltd. | 450,000 | 136,800 | |
184,408,087 | |||
Construction Materials - 0.1% | |||
Kunimine Industries Co. Ltd. | 5,000 | 46,270 | |
Mitani Sekisan Co. Ltd. | 16,400 | 784,682 | |
Summit Materials, Inc. (a) | 1,850,000 | 28,101,500 | |
Vulcan Materials Co. | 142,700 | 15,457,264 | |
44,389,716 | |||
Containers & Packaging - 0.1% | |||
Crown Holdings, Inc. (a) | 507,230 | 33,188,059 | |
Mayr-Melnhof Karton AG | 11,200 | 1,678,396 | |
Packaging Corp. of America | 5,300 | 537,473 | |
Silgan Holdings, Inc. | 18,100 | 605,264 | |
36,009,192 | |||
Metals & Mining - 0.6% | |||
ArcelorMittal SA Class A unit | 101,800 | 979,316 | |
BHP Billiton Ltd. sponsored ADR (b) | 317,910 | 14,973,561 | |
Chubu Steel Plate Co. Ltd. | 169,800 | 1,002,945 | |
CI Resources Ltd. | 136,202 | 68,089 | |
CK-SAN-ETSU Co. Ltd. | 38,800 | 1,160,276 | |
Compania de Minas Buenaventura SA sponsored ADR | 168,400 | 1,321,940 | |
First Quantum Minerals Ltd. | 1,555,500 | 9,117,104 | |
Kaiser Aluminum Corp. | 120,400 | 8,638,700 | |
Labrador Iron Ore Royalty Corp. | 4,700 | 76,499 | |
Lundin Mining Corp. | 5,400,700 | 24,868,677 | |
Mount Gibson Iron Ltd. | 4,478,894 | 2,030,077 | |
Newmont Corp. | 1,569,800 | 91,786,206 | |
Pacific Metals Co. Ltd. (b) | 58,300 | 913,598 | |
Perenti Global Ltd. | 2,508,411 | 1,989,658 | |
Rio Tinto PLC sponsored ADR | 57,800 | 3,116,576 | |
Royal Gold, Inc. | 167,300 | 22,284,360 | |
Teck Resources Ltd. Class B (sub. vtg.) | 97,400 | 925,295 | |
Wheaton Precious Metals Corp. | 156,600 | 6,746,931 | |
191,999,808 | |||
TOTAL MATERIALS | 456,806,803 | ||
REAL ESTATE - 1.2% | |||
Equity Real Estate Investment Trusts (REITs) - 1.0% | |||
Alexandria Real Estate Equities, Inc. | 53,600 | 8,239,392 | |
American Homes 4 Rent Class A | 174,100 | 4,394,284 | |
American Tower Corp. | 160,817 | 41,518,125 | |
Apartment Investment & Management Co. Class A | 551,300 | 20,326,431 | |
CoreSite Realty Corp. | 204,142 | 25,481,004 | |
Corporate Office Properties Trust (SBI) | 410,000 | 10,237,700 | |
CubeSmart | 134,900 | 3,839,254 | |
CyrusOne, Inc. | 213,100 | 15,841,854 | |
Digital Realty Trust, Inc. | 81,700 | 11,728,852 | |
Empire State Realty Trust, Inc. | 1,357,126 | 8,997,745 | |
Equinix, Inc. (d) | 33,500 | 23,370,605 | |
Equity Lifestyle Properties, Inc. | 53,800 | 3,351,740 | |
Healthcare Trust of America, Inc. | 793,560 | 21,005,533 | |
Lexington Corporate Properties Trust | 211,500 | 2,055,780 | |
Medical Properties Trust, Inc. | 1,541,530 | 27,870,862 | |
Omega Healthcare Investors, Inc. | 255,300 | 7,950,042 | |
Outfront Media, Inc. | 1,004,440 | 14,102,338 | |
Potlatch Corp. | 109,493 | 3,721,667 | |
Prologis, Inc. | 232,300 | 21,255,450 | |
Public Storage | 5,500 | 1,115,070 | |
SBA Communications Corp. Class A | 50,800 | 15,957,804 | |
Simon Property Group, Inc. | 219,600 | 12,670,920 | |
VICI Properties, Inc. | 150,500 | 2,952,810 | |
Vornado Realty Trust | 256,300 | 9,280,623 | |
Weingarten Realty Investors (SBI) | 846,200 | 15,130,056 | |
Weyerhaeuser Co. | 732,300 | 14,785,137 | |
347,181,078 | |||
Real Estate Management & Development - 0.2% | |||
Arealink Co. Ltd. | 25,000 | 224,164 | |
CBRE Group, Inc. (a) | 917,000 | 40,329,660 | |
Cushman & Wakefield PLC (a) | 613,900 | 6,292,475 | |
Howard Hughes Corp. (a) | 187,400 | 9,491,810 | |
Nisshin Group Holdings Co. | 64,700 | 246,573 | |
56,584,682 | |||
TOTAL REAL ESTATE | 403,765,760 | ||
UTILITIES - 1.1% | |||
Electric Utilities - 0.8% | |||
Duke Energy Corp. | 150,300 | 12,870,189 | |
Edison International | 207,100 | 12,034,581 | |
Entergy Corp. | 129,500 | 13,185,690 | |
Evergy, Inc. | 246,184 | 15,187,091 | |
Exelon Corp. | 1,267,866 | 48,571,946 | |
FirstEnergy Corp. | 81,900 | 3,461,094 | |
NextEra Energy, Inc. | 124,300 | 31,766,108 | |
NRG Energy, Inc. | 482,300 | 17,386,915 | |
PNM Resources, Inc. | 544,000 | 22,206,080 | |
PPL Corp. | 979,800 | 27,375,612 | |
Southern Co. | 979,900 | 55,922,893 | |
259,968,199 | |||
Gas Utilities - 0.1% | |||
Atmos Energy Corp. | 17,500 | 1,798,650 | |
Busan City Gas Co. Ltd. | 60,816 | 1,794,150 | |
China Resource Gas Group Ltd. | 764,000 | 4,185,377 | |
Enagas SA | 56,000 | 1,256,310 | |
Hokuriku Gas Co. | 6,200 | 179,081 | |
Keiyo Gas Co. Ltd. | 3,000 | 92,911 | |
Seoul City Gas Co. Ltd. | 13,199 | 796,985 | |
South Jersey Industries, Inc. | 575,730 | 16,327,703 | |
YESCO Co. Ltd. | 25,028 | 701,796 | |
27,132,963 | |||
Independent Power and Renewable Electricity Producers - 0.0% | |||
NextEra Energy Partners LP | 79,900 | 4,083,689 | |
The AES Corp. | 377,200 | 4,711,228 | |
Vistra Energy Corp. | 179,700 | 3,673,068 | |
12,467,985 | |||
Multi-Utilities - 0.2% | |||
CenterPoint Energy, Inc. (f) | 264,644 | 4,234,833 | |
CenterPoint Energy, Inc. | 172,900 | 3,074,162 | |
Dominion Energy, Inc. | 309,557 | 26,315,441 | |
MDU Resources Group, Inc. | 894,600 | 19,466,496 | |
Sempra Energy | 97,700 | 12,340,487 | |
65,431,419 | |||
TOTAL UTILITIES | 365,000,566 | ||
TOTAL COMMON STOCKS | |||
(Cost $13,464,165,447) | 14,318,032,627 | ||
Nonconvertible Preferred Stocks - 0.1% | |||
FINANCIALS - 0.0% | |||
Mortgage Real Estate Investment Trusts - 0.0% | |||
MFA Financial, Inc. 6.50% (a)(g) | 194,400 | 2,744,928 | |
INFORMATION TECHNOLOGY - 0.1% | |||
Technology Hardware, Storage & Peripherals - 0.1% | |||
Samsung Electronics Co. Ltd. | 973,850 | 33,867,202 | |
UTILITIES - 0.0% | |||
Electric Utilities - 0.0% | |||
Companhia Paranaense de Energia-Copel (PN-B) | 40,600 | 481,603 | |
TOTAL NONCONVERTIBLE PREFERRED STOCKS | |||
(Cost $41,392,915) | 37,093,733 | ||
Equity Funds - 56.3% | |||
Large Blend Funds - 8.1% | |||
Fidelity SAI U.S. Large Cap Index Fund (h) | 127,080,098 | 2,085,384,411 | |
Fidelity SAI U.S. Low Volatility Index Fund (h) | 42,548,983 | 615,258,296 | |
TOTAL LARGE BLEND FUNDS | 2,700,642,707 | ||
Large Growth Funds - 34.8% | |||
Fidelity Contrafund (h) | 163,526,096 | 2,344,964,212 | |
Fidelity Growth Company Fund (h) | 129,821,441 | 3,188,414,591 | |
Fidelity Magellan Fund (h) | 162,858,223 | 1,734,440,075 | |
Fidelity SAI U.S. Momentum Index Fund (h) | 45,997,274 | 654,081,230 | |
Fidelity SAI U.S. Quality Index Fund (h) | 250,108,647 | 3,701,607,976 | |
TOTAL LARGE GROWTH FUNDS | 11,623,508,084 | ||
Large Value Funds - 9.5% | |||
Fidelity Large Cap Value Enhanced Index Fund (h) | 168,600,101 | 1,962,505,180 | |
Fidelity SAI U.S. Value Index Fund (h) | 137,993,818 | 1,201,926,152 | |
TOTAL LARGE VALUE FUNDS | 3,164,431,332 | ||
Small Blend Funds - 3.4% | |||
Fidelity Small Cap Discovery Fund (h) | 10,018,019 | 183,429,936 | |
Fidelity Small Cap Index Fund (h) | 54,436,727 | 962,441,329 | |
TOTAL SMALL BLEND FUNDS | 1,145,871,265 | ||
Small Growth Funds - 0.5% | |||
Fidelity Small Cap Growth Fund (h) | 6,642,688 | 173,905,565 | |
TOTAL EQUITY FUNDS | |||
(Cost $17,492,587,650) | 18,808,358,953 | ||
Other - 0.0% | |||
Commodity Funds - Broad Basket - 0.0% | |||
Fidelity SAI Inflation-Focused Fund (h) | |||
(Cost $6,500,000) | 831,202 | 7,015,345 | |
Money Market Funds - 1.3% | |||
Fidelity Cash Central Fund 0.11% (i) | 200,020,599 | 200,060,603 | |
Fidelity Securities Lending Cash Central Fund 0.10% (i)(j) | 218,066,988 | 218,088,795 | |
TOTAL MONEY MARKET FUNDS | |||
(Cost $418,145,636) | 418,149,398 | ||
TOTAL INVESTMENT IN SECURITIES - 100.5% | |||
(Cost $31,422,791,648) | 33,588,650,056 | ||
NET OTHER ASSETS (LIABILITIES) - (0.5)% | (158,656,308) | ||
NET ASSETS - 100% | $33,429,993,748 |
Written Options | ||||||
Counterparty | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | |
Call Options | ||||||
Equinix, Inc. | Chicago Board Options Exchange | 58 | $4,046,254 | $700.00 | 6/19/20 | $(102,660) |
Walmart, Inc. | Chicago Board Options Exchange | 874 | 10,842,844 | 120.00 | 6/19/20 | (467,590) |
TOTAL WRITTEN OPTIONS | $(570,250) |
Legend
(a) Non-income producing
(b) Security or a portion of the security is on loan at period end.
(c) Level 3 security
(d) Security or a portion of the security is pledged as collateral for call options written. At period end, the value of securities pledged amounted to $14,889,098.
(e) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $18,919,723 or 0.1% of net assets.
(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 $11,872,833 or 0.0% of net assets.
(g) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(h) Affiliated Fund
(i) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.
(j) Investment made with cash collateral received from securities on loan.
Additional information on each restricted holding is as follows:
Security | Acquisition Date | Acquisition Cost |
CenterPoint Energy, Inc. | 5/7/20 | $4,255,476 |
Vertiv Holdings LLC | 2/6/20 | $6,000,000 |
Affiliated Central Funds
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:
Fund | Income earned |
Fidelity Cash Central Fund | $5,297,081 |
Fidelity Securities Lending Cash Central Fund | 2,295,987 |
Total | $7,593,068 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations, if applicable. Amount for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.
Affiliated Underlying Funds
Fiscal year to date information regarding the Fund's investments in affiliated Underlying Funds, excluding any Money Market Central Funds, is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur.
Affiliate | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income | Realized Gain (loss) | Change in Unrealized appreciation (depreciation) | Value, end of period |
Fidelity Contrafund | $1,541,982,376 | $500,796,754 | $-- | $83,510,669 | $-- | $302,185,082 | $2,344,964,212 |
Fidelity Growth Company Fund | 1,975,431,920 | 440,730,638 | -- | 95,730,638 | -- | 772,252,033 | 3,188,414,591 |
Fidelity Large Cap Value Enhanced Index Fund | 1,533,078,826 | 540,175,369 | -- | 65,175,369 | -- | (110,749,015) | 1,962,505,180 |
Fidelity Magellan Fund | -- | 1,685,338,783 | -- | -- | -- | 49,101,292 | 1,734,440,075 |
Fidelity SAI Inflation-Focused Fund | -- | 6,500,000 | -- | -- | -- | 515,345 | 7,015,345 |
Fidelity SAI U.S. Large Cap Index Fund | -- | 5,799,493,454 | 3,820,531,297 | 35,957,965 | (22,195,087) | 128,617,341 | 2,085,384,411 |
Fidelity SAI U.S. Low Volatility Index Fund | 563,638,676 | 23,676,101 | -- | 23,676,101 | -- | 27,943,519 | 615,258,296 |
Fidelity SAI U.S. Momentum Index Fund | 1,466,830,954 | 184,847,630 | 1,059,753,332 | 34,847,630 | (24,959,112) | 87,115,090 | 654,081,230 |
Fidelity SAI U.S. Quality Index Fund | 2,429,472,096 | 1,170,511,685 | 52,818,478 | 395,511,681 | (10,627,043) | 165,069,716 | 3,701,607,976 |
Fidelity SAI U.S. Value Index Fund | 550,613,983 | 663,070,236 | -- | 18,177,712 | -- | (11,758,067) | 1,201,926,152 |
Fidelity Small Cap Discovery Fund | -- | 160,000,000 | -- | -- | -- | 23,429,936 | 183,429,936 |
Fidelity Small Cap Growth Fund | -- | 155,000,000 | -- | -- | -- | 18,905,565 | 173,905,565 |
Fidelity Small Cap Index Fund | 503,719,722 | 492,816,160 | -- | 20,926,341 | -- | (34,094,553) | 962,441,329 |
Fidelity Total Market Index Fund | 1,297,238,579 | 621,564,840 | 2,016,357,078 | -- | 85,174,780 | 12,378,879 | -- |
11,862,007,132 | 12,444,521,650 | 6,949,460,185 | 773,514,106 | 27,393,538 | 1,430,912,163 | 18,815,374,298 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations, if applicable.
Investment Valuation
The following is a summary of the inputs used, as of May 31, 2020, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Equities: | ||||
Communication Services | $1,202,585,179 | $1,166,124,516 | $36,460,663 | $-- |
Consumer Discretionary | 1,318,251,179 | 1,318,035,288 | 212,294 | 3,597 |
Consumer Staples | 871,315,420 | 865,024,004 | 6,291,416 | -- |
Energy | 627,460,749 | 608,616,380 | 18,844,369 | -- |
Financials | 2,135,318,619 | 2,107,862,086 | 27,456,533 | -- |
Health Care | 2,632,775,859 | 2,394,959,629 | 237,816,230 | -- |
Industrials | 1,589,769,894 | 1,506,490,544 | 83,279,350 | -- |
Information Technology | 2,751,594,729 | 2,741,245,868 | 10,348,861 | -- |
Materials | 456,806,803 | 456,670,003 | 136,800 | -- |
Real Estate | 403,765,760 | 403,765,760 | -- | -- |
Utilities | 365,482,169 | 357,061,959 | 8,420,210 | -- |
Equity Funds | 18,808,358,953 | 18,808,358,953 | -- | -- |
Other | 7,015,345 | 7,015,345 | -- | -- |
Money Market Funds | 418,149,398 | 418,149,398 | -- | -- |
Total Investments in Securities: | $33,588,650,056 | $33,159,379,733 | $429,266,726 | $3,597 |
Derivative Instruments: | ||||
Liabilities | ||||
Written Options | $(570,250) | $(570,250) | $-- | $-- |
Total Liabilities | $(570,250) | $(570,250) | $-- | $-- |
Total Derivative Instruments: | $(570,250) | $(570,250) | $-- | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of May 31, 2020. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
Primary Risk Exposure / Derivative Type | Value | |
Asset | Liability | |
Equity Risk | ||
Written Options(a) | $0 | $(570,250) |
Total Equity Risk | 0 | (570,250) |
Total Value of Derivatives | $0 | $(570,250) |
(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
May 31, 2020 | ||
Assets | ||
Investment in securities, at value (including securities loaned of $213,291,271) — See accompanying schedule: Unaffiliated issuers (cost $13,505,558,363) | $14,355,126,360 | |
Fidelity Central Funds (cost $418,145,636) | 418,149,398 | |
Other affiliated issuers (cost $17,499,087,649) | 18,815,374,298 | |
Total Investment in Securities (cost $31,422,791,648) | $33,588,650,056 | |
Foreign currency held at value (cost $23,793) | 23,793 | |
Receivable for investments sold | 90,429,432 | |
Receivable for fund shares sold | 49,271,688 | |
Dividends receivable | 32,124,362 | |
Distributions receivable from Fidelity Central Funds | 285,720 | |
Prepaid expenses | 105,971 | |
Other receivables | 14,020 | |
Total assets | 33,760,905,042 | |
Liabilities | ||
Payable to custodian bank | $1,022,187 | |
Payable for investments purchased | 96,352,972 | |
Payable for fund shares redeemed | 10,334,800 | |
Accrued management fee | 3,250,973 | |
Written options, at value (premium received $391,794) | 570,250 | |
Other payables and accrued expenses | 1,294,946 | |
Collateral on securities loaned | 218,085,166 | |
Total liabilities | 330,911,294 | |
Net Assets | $33,429,993,748 | |
Net Assets consist of: | ||
Paid in capital | $31,466,079,128 | |
Total accumulated earnings (loss) | 1,963,914,620 | |
Net Assets | $33,429,993,748 | |
Net Asset Value, offering price and redemption price per share ($33,429,993,748 ÷ 3,165,995,508 shares) | $10.56 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Year ended May 31, 2020 | ||
Investment Income | ||
Dividends: | ||
Unaffiliated issuers | $266,847,624 | |
Affiliated issuers | 356,298,027 | |
Income from Fidelity Central Funds (including $2,295,987 from security lending) | 7,593,068 | |
Total income | 630,738,719 | |
Expenses | ||
Management fee | $105,162,278 | |
Accounting fees | 153,828 | |
Custodian fees and expenses | 270,909 | |
Independent trustees' fees and expenses | 303,999 | |
Registration fees | 2,322,706 | |
Audit | 79,656 | |
Legal | 74,483 | |
Miscellaneous | 197,634 | |
Total expenses before reductions | 108,565,493 | |
Expense reductions | (69,908,910) | |
Total expenses after reductions | 38,656,583 | |
Net investment income (loss) | 592,082,136 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers (net of foreign taxes of $2) | (399,499,982) | |
Fidelity Central Funds | 41,015 | |
Other affiliated issuers | 27,393,538 | |
Foreign currency transactions | (99,912) | |
Written options | 958,946 | |
Capital gain distributions from underlying funds: | ||
Affiliated issuers | 417,216,079 | |
Total net realized gain (loss) | 46,009,684 | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers (net of decrease in deferred foreign taxes of $118,765) | 885,887,193 | |
Fidelity Central Funds | 1,435 | |
Other affiliated issuers | 1,430,912,163 | |
Assets and liabilities in foreign currencies | (30,358) | |
Written options | 843,096 | |
Total change in net unrealized appreciation (depreciation) | 2,317,613,529 | |
Net gain (loss) | 2,363,623,213 | |
Net increase (decrease) in net assets resulting from operations | $2,955,705,349 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Year ended May 31, 2020 | Year ended May 31, 2019 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $592,082,136 | $348,806,724 |
Net realized gain (loss) | 46,009,684 | 15,522,252 |
Change in net unrealized appreciation (depreciation) | 2,317,613,529 | (397,686,143) |
Net increase (decrease) in net assets resulting from operations | 2,955,705,349 | (33,357,167) |
Distributions to shareholders | (835,651,420) | (408,509,406) |
Share transactions | ||
Proceeds from sales of shares | 15,476,810,855 | 10,552,036,542 |
Reinvestment of distributions | 788,436,934 | 407,855,035 |
Cost of shares redeemed | (7,367,011,490) | (4,743,732,730) |
Net increase (decrease) in net assets resulting from share transactions | 8,898,236,299 | 6,216,158,847 |
Total increase (decrease) in net assets | 11,018,290,228 | 5,774,292,274 |
Net Assets | ||
Beginning of period | 22,411,703,520 | 16,637,411,246 |
End of period | $33,429,993,748 | $22,411,703,520 |
Other Information | ||
Shares | ||
Sold | 1,518,664,437 | 1,069,485,869 |
Issued in reinvestment of distributions | 71,866,316 | 45,736,139 |
Redeemed | (730,138,079) | (480,126,871) |
Net increase (decrease) | 860,392,674 | 635,095,137 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Strategic Advisers Fidelity U.S. Total Stock Fund
Years ended May 31, | 2020 | 2019 | 2018 A |
Selected Per–Share Data | |||
Net asset value, beginning of period | $9.72 | $9.96 | $10.00 |
Income from Investment Operations | |||
Net investment income (loss)B | .22 | .18 | .01 |
Net realized and unrealized gain (loss) | .94 | (.20) | (.05) |
Total from investment operations | 1.16 | (.02) | (.04) |
Distributions from net investment income | (.17) | (.09)C | – |
Distributions from net realized gain | (.16) | (.13)C | – |
Total distributions | (.32)D | (.22) | – |
Net asset value, end of period | $10.56 | $9.72 | $9.96 |
Total ReturnE,F | 11.84% | (.04)% | (.40)% |
Ratios to Average Net AssetsG,H,I | |||
Expenses before reductions | .39% | .42% | .54%J |
Expenses net of fee waivers, if any | .14% | .17% | .29%J,K |
Expenses net of all reductions | .14% | .17% | .29%J,K |
Net investment income (loss) | 2.14% | 1.81% | .55%J |
Supplemental Data | |||
Net assets, end of period (000 omitted) | $33,429,994 | $22,411,704 | $16,637,411 |
Portfolio turnover rateI | 52% | 61% | 126%L,M |
A For the period March 20, 2018 (commencement of operations) to May 31, 2018.
B Calculated based on average shares outstanding during the period.
C The amounts shown reflect certain reclassifications related to book to tax differences that were made in the year shown.
D Total distributions of $.32 per share is comprised of distributions from net investment income of $.166 and distributions from net realized gain of $.155 per share.
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 Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
H Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund. Fees and expenses of the Underlying Funds are not included in the Fund's annualized ratios. The Fund indirectly bears its proportionate share of the expenses of the Underlying Funds.
I Amounts do not include the activity of Underlying Funds.
J Annualized
K Audit fees are not annualized.
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
For the period ended May 31, 2020
1. Organization.
Strategic Advisers Fidelity U.S. Total Stock Fund (the Fund) is a fund of Fidelity Rutland Square Trust II (the Trust), and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust. The Fund is offered exclusively to certain clients of Strategic Advisers LLC (Strategic Advisers), an affiliate of Fidelity Management & Research Company LLC (FMR).
2. Significant Accounting Policies.
The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services – Investments Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the Fund:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
- Level 1 – quoted prices in active markets for identical investments
- Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
- Level 3 – unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value the Fund's investments by major category are as follows:
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
Exchange-traded options are valued using the last sale price or, in the absence of a sale, the last offering price and are categorized as Level 1 in the hierarchy.
Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of May 31, 2020 is included at the end of the Fund's Schedule of Investments.
Foreign Currency. The Fund may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.
Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Income and capital gain distributions from Underlying Funds, if any, 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.
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), certain independent Trustees have elected to defer receipt of a portion of their annual compensation. Deferred amounts are invested in a cross-section of Strategic Advisers funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees of $13,988 are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, respectively.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of May 31, 2020, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests. The Fund is subject to a tax imposed on capital gains by certain countries in which it invests.
Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to the short-term gain distributions from the Underlying Funds, options, foreign currency transactions, passive foreign investment companies (PFIC), certain conversion ratio adjustments, partnerships, deferred trustees compensation and losses deferred due to wash sales and excise tax regulations.
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
Gross unrealized appreciation | $3,881,771,848 |
Gross unrealized depreciation | (2,045,770,662) |
Net unrealized appreciation (depreciation) | $1,836,001,186 |
Tax Cost | $31,752,078,620 |
The tax-based components of distributable earnings as of period end were as follows:
Undistributed ordinary income | $230,608,332 |
Net unrealized appreciation (depreciation) on securities and other investments | $1,836,020,576 |
The Fund intends to elect to defer to its next fiscal year $102,700,301 of capital losses recognized during the period November 1, 2019 to May 31, 2020.
The tax character of distributions paid was as follows:
May 31, 2020 | May 31, 2019 | |
Ordinary Income | $518,460,093 | $ 388,841,180 |
Long-term Capital Gains | 317,191,327 | 19,668,226 |
Total | $835,651,420 | $ 408,509,406 |
Restricted Securities (including Private Placements). The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.
3. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund's investment objective allows the Fund to enter into various types of derivative contracts, including options. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.
The Fund used derivatives to increase returns and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.
The Fund's use of derivatives increased or decreased its exposure to the following risk:
Equity Risk | Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment. |
The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. 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, are noted in the table below.
Purchases ($) | Sales ($) | |
Strategic Advisers Fidelity U.S. Total Stock Fund | 23,557,792,613 | 14,346,628,908 |
5. Fees and Other Transactions with Affiliates.
Management Fee. Strategic Advisers (the investment adviser) provides the Fund with investment management related services. For these services, the Fund pays a monthly management fee to the investment adviser. The management fee is calculated by adding the annual management fee rate of .25% of the Fund's average net assets throughout the month payable to the investment adviser to the aggregate of the fee rates, payable monthly, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed 1.00% of the Fund's average net assets. For the reporting period, the total annual management fee rate was .38% of the Fund's average net assets.
During the period, the investment adviser waived a portion of its management fee as described in the Expense Reductions note.
Sub-Advisers. FIAM LLC (an affiliate of the investment adviser) served as a sub-adviser for the Fund during the period. Sub-advisers provide discretionary investment advisory services for their allocated portion of the Fund's assets and are paid by the investment adviser and not the Fund for providing these services.
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.
Accounting Fees. Fidelity Service Company, Inc. (FSC), an affiliate of the investment adviser, maintains the Fund's accounting records. The accounting fee is based on the level of average net assets for each month. Effective July 1, 2019 accounting fees are not paid by the Fund and are instead paid by the investment adviser or an affiliate. For the period, the fees were equivalent to less than .005%.
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 | $287,765 |
Prior Fiscal Year Affiliated Exchanges In-Kind. During the prior period, the Fund redeemed 7,586,207 shares of Fidelity Large Cap Stock Fund in exchange for investments with a value of $257,324,134. The Fund had a net realized gain of $8,193,103 on the Fund's redemptions of Fidelity Large Cap Stock Fund shares. The Fund recognized net gains on the exchanges for federal income tax purposes.
Interfund Trades. Funds may purchase from or sell securities to other funds affiliated with each sub-adviser under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.
Other. During the period, the investment adviser reimbursed the Fund for certain losses in the amount of $49,190.
6. Investments in Fidelity Central Funds.
The Fund invests in Fidelity Central Funds, which are open-end investment companies available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
The Fidelity Money Market Central Funds are managed by FMR. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date ranged from less than .005% to .01%.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC website or upon request.
7. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are as follows:
Amount | |
Strategic Advisers Fidelity U.S. Total Stock Fund | $65,077 |
During the period, there were no borrowings on this line of credit.
8. Security Lending.
The Fund lends portfolio securities through a lending agent from time to time in order to earn additional income. On the settlement date of the loan, the 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 the Fund and any additional required collateral is delivered to the Fund on the next business day. The 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, the Fund may apply collateral received from the borrower against the obligation. The 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. The value of loaned securities and cash collateral at period end are disclosed on the Fund's Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds.
9. Expense Reductions.
The investment adviser has contractually agreed to waive the Fund's management fee in an amount equal to .25% of the Fund's average net assets until September 30, 2022. During the period, this waiver reduced the Fund's management fee by $69,399,387.
Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of the Fund include an amount in addition to trade execution, which may be rebated back to the Fund to offset certain expenses. This amount totaled $477,273 for the period.
In addition, through arrangements with the Fund's custodian and transfer agent, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses by $32,123 and $127.
10. Other.
The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
The Fund does not invest in the Underlying Funds for the purpose of exercising management or control; however, investments by the Fund within its principal investment strategies may represent a significant portion of an Underlying Fund's net assets. At the end of the period, the Fund was the owner of record of 10% or more of the total outstanding shares of the following Underlying Funds.
Fund | % of shares held |
Fidelity Large Cap Value Enhanced Index Fund | 56% |
Fidelity SAI Inflation-Focused Fund | 24% |
Fidelity SAI U.S. Large Cap Index Fund | 15% |
Fidelity SAI U.S. Low Volatility Index Fund | 16% |
Fidelity SAI U.S. Momentum Index Fund | 39% |
Fidelity SAI U.S. Quality Index Fund | 45% |
Fidelity SAI U.S. Value Index Fund | 58% |
11. Coronavirus (COVID-19) Pandemic.
An outbreak of COVID-19 first detected in China during December 2019 has since spread globally and was declared a pandemic by the World Health Organization during March 2020. Developments that disrupt global economies and financial markets, such as the COVID-19 pandemic, may magnify factors that affect the Fund's performance.
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Fidelity Rutland Square Trust II and Shareholders of Strategic Advisers Fidelity U.S. Total Stock Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Strategic Advisers Fidelity U.S. Total Stock Fund (one of the funds constituting Fidelity Rutland Square Trust II, referred to hereafter as the “Fund”) as of May 31, 2020, the related statement of operations for the year ended May 31, 2020, the statement of changes in net assets for each of the two years in the period ended May 31, 2020, including the related notes, and the financial highlights for each of the two years in the period ended May 31, 2020 and for the period March 20, 2018 (commencement of operations) through May 31, 2018 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of May 31, 2020, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended May 31, 2020 and the financial highlights for each of the two years in the period ended May 31, 2020 and for the period March 20, 2018 (commencement of operations) through May 31, 2018 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of May 31, 2020 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
Boston, Massachusetts
July 16, 2020
We have served as the auditor of one or more investment companies in the Fidelity group of funds since 1932.
Trustees and Officers
The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance. If the interests of the fund and an underlying Fidelity® fund were to diverge, a conflict of interest could arise and affect how the Trustees and Members of the Advisory Board fulfill their fiduciary duties to the affected funds. Strategic Advisers has structured the fund to avoid these potential conflicts, although there may be situations where a conflict of interest is unavoidable. In such instances, Strategic Advisers, the Trustees, and Members of the Advisory Board would take reasonable steps to minimize and, if possible, eliminate the conflict. Each of the Trustees oversees 14 funds.
The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. Officers and Advisory Board Members hold office without limit in time, except that any officer or Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.
Each Trustee who is not an interested person (as defined in the 1940 Act) of the trust and the fund is referred to herein as an Independent Trustee.
The fund’s Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-3455.
Experience, Skills, Attributes, and Qualifications of the Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee may also engage professional search firms to help identify potential Independent Trustee candidates with experience, qualifications, attributes, and skills consistent with the Statement of Policy. Additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, may be considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.
In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.
Board Structure and Oversight Function. Robert A. Lawrence is an interested person and currently serves as Chairman. The Trustees have determined that an interested Chairman is appropriate and benefits shareholders because an interested Chairman has a personal and professional stake in the quality and continuity of services provided to the fund. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chairman, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chairman and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session. Mary C. Farrell serves as the lead Independent Trustee and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.
Fidelity® funds are overseen by different Boards of Trustees. The fund's Board oversees asset allocation funds. Other Boards oversee Fidelity's investment-grade bond, money market, and asset allocation funds, and Fidelity's equity and high income funds. The fund may invest in Fidelity® funds overseen by such other Boards. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity® funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues.
The Trustees primarily operate as a full Board, but also operate in committees, to facilitate the timely and efficient consideration of all matters of importance to the Trustees, the fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the fund's activities and associated risks. The Board has charged Strategic Advisers and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the fund's business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above. Because the day-to-day operations and activities of the fund are carried out by or through Strategic Advisers, its affiliates and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees. Board oversight of different aspects of the fund's activities is exercised primarily through the full Board, but also through the Audit and Compliance Committee. Appropriate personnel, including but not limited to the fund's Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the fund's Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate. The responsibilities of each standing committee, including their oversight responsibilities, are described further under "Standing Committees of the Trustees."
Interested Trustees*:
Correspondence intended for a Trustee who is an interested person may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Robert A. Lawrence (1952)
Year of Election or Appointment: 2016
Trustee
Chairman of the Board of Trustees
Mr. Lawrence also serves as Trustee of other funds. Previously, Mr. Lawrence served as a Member of the Advisory Board of certain funds. Prior to his retirement in 2008, Mr. Lawrence served as Vice President of certain Fidelity® funds (2006-2008), Senior Vice President, Head of High Income Division of Fidelity Management & Research Company (investment adviser firm, 2006-2008), and President of Fidelity Strategic Investments (investment adviser firm, 2002-2005).
Charles S. Morrison (1960)
Year of Election or Appointment: 2020
Trustee
Mr. Morrison also serves as Trustee of other funds. Previously, Mr. Morrison served as President (2017-2018) and Director (2014-2018) of Fidelity SelectCo, LLC (investment adviser firm), President of Fidelity Management & Research Company (FMR) (investment adviser firm, 2016-2018), a Director of Fidelity Investments Money Management, Inc. (investment adviser firm, 2014-2018), President, Asset Management (2014-2018), Trustee of the Fidelity Equity and High Income Funds (283 funds as of December 2018) (2014-2018), and was an employee of Fidelity Investments. Mr. Morrison also previously served as Vice President of Fidelity's Fixed Income and Asset Allocation Funds (2012-2014), President, Fixed Income (2011-2014), Vice President of Fidelity's Money Market Funds (2005-2009), President, Money Market Group Leader of FMR (2009), and Senior Vice President, Money Market Group of FMR (2004-2009). Mr. Morrison also served as Vice President of Fidelity's Bond Funds (2002-2005), certain Balanced Funds (2002-2005), and certain Asset Allocation Funds (2002-2007), and as Senior Vice President (2002-2005) of Fidelity's Bond Division.
* Determined to be an "Interested Trustee" by virtue of, among other things, his or her affiliation with the trust or various entities under common control with Strategic Advisers.
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Independent Trustees:
Correspondence intended for an Independent Trustee may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Peter C. Aldrich (1944)
Year of Election or Appointment: 2006
Trustee
Mr. Aldrich also serves as Trustee of other funds. Mr. Aldrich is a Director of the U.S. Core Property Fund (and, previously, other funds) of BlackRock Realty Group (2006-present). Previously, Mr. Aldrich served as a Managing Member of Poseidon, LLC (foreign private investment, 1998-2004), and Chairman and Managing Member of AEGIS, LLC (foreign private investment, 1997-2004). Mr. Aldrich previously was a founder, Chief Executive Officer, and Chairman of AEW Capital Management, L.P. (then “Aldrich, Eastman and Waltch, L.P.”). Mr. Aldrich also served as a Director of LivelyHood, Inc. (private corporation, 2013-2020), a Trustee for the Fidelity Rutland Square Trust (2005-2010), a Director of Zipcar, Inc. (car sharing services, 2001-2009) and as Faculty Chairman of The Research Council on Global Investment of The Conference Board (business and professional education non-profit, 1999-2004). Mr. Aldrich is a Member Emeritus of the Board of Directors of the National Bureau of Economic Research, the Board of Trustees of the Museum of Fine Arts Boston and the Board of Overseers of the Massachusetts Eye and Ear Infirmary.
Mary C. Farrell (1949)
Year of Election or Appointment: 2013
Trustee
Ms. Farrell also serves as Trustee of other funds. Ms. Farrell is a Director of the W.R. Berkley Corporation (insurance provider) and President (2009-present) and Director (2006-present) of the Howard Gilman Foundation (charitable organization). Previously, Ms. Farrell was Managing Director and Chief Investment Strategist at UBS Wealth Management USA and Co-Head of UBS Wealth Management Investment Strategy & Research Group (2003-2005). Ms. Farrell also served as Investment Strategist at PaineWebber (1982-2000) and UBS PaineWebber (2000-2002). Ms. Farrell serves as Chairman of the Board of Trustees of Yale-New Haven Hospital and Vice Chairman of the Yale New Haven Health System Board and previously served as Trustee on the Board of Overseers of the New York University Stern School of Business.
Karen Kaplan (1960)
Year of Election or Appointment: 2006
Trustee
Ms. Kaplan also serves as Trustee of other funds. Ms. Kaplan is Chairman (2014-present) and Chief Executive Officer (2013-present) of Hill Holliday (advertising and specialized marketing). Ms. Kaplan is a Director of The Michaels Companies, Inc. (specialty retailer, 2015-present), Member of the Board of Governors of the Chief Executives’ Club of Boston (2010-present), Member of the Executive Committee of the Greater Boston Chamber of Commerce (2006-present), Advisory Board Member of the National Association of Corporate Directors Chapter (2012-present), Member of the Board of Trustees of the Post Office Square Trust (2012-present), Trustee of the Brigham and Women’s Hospital (2016-present), Overseer of the Boston Symphony Orchestra (2014-present), Member of the Board of Directors of The Advertising Council, Inc. (2016-present), Member of the Ron Burton Training Village Executive Board of Advisors (2018-present), Member of the Executive Committee of The Ad Council, Inc. (2019-present), and Member of the Board of Directors of The Ad Club of Boston (2020-present). Previously, Ms. Kaplan served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010), a member of the Clinton Global Initiative (2010-2015), Director of DSM (dba Delta Dental and DentaQuest) (2004-2014), Formal Appointee of the 2015 Baker-Polito Economic Development Council, Director of Vera Bradley Inc. (designer of women’s accessories, 2012-2015), Member of the Board of Directors of the Massachusetts Conference for Women (2008-2015), Member of the Board of Directors of Jobs for Massachusetts (2012-2015), President of the Massachusetts Women’s Forum (2008-2010), Treasurer of the Massachusetts Women’s Forum (2002-2006), and Vice Chair of the Board of the Massachusetts Society for the Prevention of Cruelty to Children (2003-2010).
Heidi L. Steiger (1953)
Year of Election or Appointment: 2017
Trustee
Ms. Steiger also serves as Trustee of other funds. Ms. Steiger serves as Managing Partner of Topridge Associates, LLC (consulting, 2005-present), a member of the Advisory Board of the joint degree program in Global Luxury Management at North Carolina State University (Raleigh, NC) and Skema (Paris) (2018-present), a Non-Executive Director of CrowdBureau Corporation (financial technology company and index provider, 2018-present), a member of the Board of Directors (2013-present) and Chair of the Audit Committee and member of the Membership and Executive Committees (2017-present) of Business Executives for National Security (nonprofit), and member of the Board of Directors Chair of the Remuneration Committee of Imagine Intelligent Materials Limited (2019-present) (technology company). Previously, Ms. Steiger served as a member of the Global Advisory Board and Of Counsel to Signum Global Advisors (international policy and strategy, 2018-2020), Eastern Region President of The Private Client Reserve of U.S. Bancorp (banking and financial services, 2010-2015), Advisory Director of Berkshire Capital Securities, LLC (financial services, 2009-2010), President and Senior Advisor of Lowenhaupt Global Advisors, LLC (financial services, 2005-2007), and President and Contributing Editor of Worth Magazine (2004-2005) and held a variety of positions at Neuberger Berman Group, LLC (financial services, 1986-2004), including Partner and Executive Vice President and Global Head of Private Asset Management at Neuberger Berman (1999-2004). Ms. Steiger also served as a member of the Board of Directors of Nuclear Electric Insurance Ltd (insurer of nuclear utilities, 2006-2017), a member of the Board of Trustees and Audit Committee of the Eaton Vance Funds (2007-2010), a member of the Board of Directors of Aviva USA (formerly AmerUs) (insurance, 2004-2014), and a member of the Board of Trustees and Audit Committee and Chair of the Investment Committee of CIFG (financial guaranty insurance, 2009-2012), and a member of the Board of Directors of Kin Group Plc (formerly, Fitbug Holdings) (health and technology, 2016-2017).
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Advisory Board Members and Officers:
Correspondence intended for a Member of the Advisory Board (if any) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235. Correspondence intended for an officer or Howard E. Cox, Jr. may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210. Officers appear below in alphabetical order.
Name, Year of Birth; Principal Occupation
Ralph F. Cox (1932)
Year of Election or Appointment: 2020
Member of the Advisory Board
Mr. Cox also serves as a Member of the Advisory Board of other funds. Mr. Cox is President of RABAR Enterprises (management consulting for the petroleum industry). Mr. Cox is a Director of Abraxas Petroleum (exploration and production, 1999-present). Mr. Cox is a member of the Advisory Boards of the Business and Engineering Schools of Texas A&M University and the Engineering School of University of Texas at Austin. Previously, Mr. Cox served as Trustee of other funds (2006-2020), a Trustee for the Fidelity Rutland Square Trust (2005-2010) and as an Advisory Director of CH2M Hill Companies (engineering, 1981-2011). Mr. Ralph F. Cox and Mr. Howard E. Cox, Jr. are not related.
Howard E. Cox, Jr. (1944)
Year of Election or Appointment: 2009
Member of the Advisory Board
Mr. Cox also serves as a Member of the Advisory Board of other funds. Mr. Cox is a Partner of Greylock (venture capital, 1971-present) and a Director of Stryker Corporation (medical products and services, 1974-present). Previously, Mr. Cox served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010). Mr. Cox also serves as a Member of the Secretary of Defense's Business Board of Directors (2008-present), a Director of Business Executives for National Security (1997-present), a Director of the Brookings Institution (2010-present), a Director of the World Economic Forum’s Young Global Leaders Foundation (2009-present), and is a Member of the Harvard Medical School Board of Fellows (2002-present). Mr. Howard E. Cox, Jr. and Mr. Ralph F. Cox are not related.
Christine Marcks (1955)
Year of Election or Appointment: 2019
Member of the Advisory Board
Ms. Marcks also serves as a Member of the Advisory Board of other Funds. Prior to her retirement, Ms. Marcks served as Chief Executive Officer and President – Prudential Retirement (2007-2017) and Vice President for Rollover and Retirement Income Strategies (2005-2007), Prudential Financial, Inc. (financial services). Previously, Ms. Marcks was Senior Vice President and Head of Financial Horizons (2002-2004) and Vice President, Strategic Marketing (2000-2002) of Voya Financial (formerly ING U.S.) (financial services), held numerous positions at Aetna Financial Services (financial services, 1987-2000) and served as an International Economist for the United States Department of the Treasury (1980-1987). Ms. Marcks also serves as a member of the Board of Trustees, Audit Committee and Benefits & Operations Committee of the YMCA Retirement Fund (2018-present), a non-profit organization providing retirement plan benefits to YMCA staff members, and as a member of the Board of Trustees of Assumption College (2019-present).
Elizabeth Paige Baumann (1968)
Year of Election or Appointment: 2017
Anti-Money Laundering (AML) Officer
Ms. Baumann also serves as AML Officer of other funds. She is Chief AML Officer (2012-present) and Senior Vice President (2014-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments. Previously, Ms. Baumann served as AML Officer of certain funds (2017-2019), as AML Officer of the funds (2012-2016), and Vice President (2007-2014) and Deputy Anti-Money Laundering Officer (2007-2012) of FMR LLC.
Craig S. Brown (1977)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Brown also serves as Assistant Treasurer of other funds. Mr. Brown is an employee of Fidelity Investments (2013-present).
John J. Burke III (1964)
Year of Election or Appointment: 2018
Chief Financial Officer
Mr. Burke also serves as Chief Financial Officer of other funds. Mr. Burke serves as Head of Investment Operations for Fidelity Fund and Investment Operations (2018-present) and is an employee of Fidelity Investments (1998-present). Previously Mr. Burke served as head of Asset Management Investment Operations (2012-2018).
Jonathan Davis (1968)
Year of Election or Appointment: 2010
Assistant Treasurer
Mr. Davis also serves as Assistant Treasurer of other funds. Mr. Davis serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments. Previously, Mr. Davis served as Vice President and Associate General Counsel of FMR LLC (diversified financial services company, 2003-2010).
Laura M. Del Prato (1964)
Year of Election or Appointment: 2018
Assistant Treasurer
Ms. Del Prato also serves as an officer of other funds. Ms. Del Prato is an employee of Fidelity Investments (2017-present). Prior to joining Fidelity Investments, Ms. Del Prato served as a Managing Director and Treasurer of the JPMorgan Mutual Funds (2014-2017). Prior to JPMorgan, Ms. Del Prato served as a partner at Cohen Fund Audit Services (accounting firm, 2012-2013) and KPMG LLP (accounting firm, 2004-2012).
James D. Gryglewicz (1972)
Year of Election or Appointment: 2015
Chief Compliance Officer
Mr. Gryglewicz also serves as Chief Compliance Officer of other funds. Mr. Gryglewicz serves as Compliance Officer of Strategic Advisers LLC (investment adviser firm, 2015-present), Senior Vice President of Asset Management Compliance (2009-present), and is an employee of Fidelity Investments (2004-present). Previously, Mr. Gryglewicz served as Compliance Officer of Fidelity SelectCo, LLC (investment adviser firm, 2014-2019), and as Chief Compliance Officer of certain Fidelity® funds (2014-2018).
Colm A. Hogan (1973)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Hogan also serves as an officer of other funds. Mr. Hogan serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2005-present). Previously, Mr. Hogan served as Deputy Treasurer of certain Fidelity® funds (2016-2020) and Assistant Treasurer of certain Fidelity® funds (2016-2018). Mr. Colm A. Hogan is not related to Mr. Brian B. Hogan.
Christina H. Lee (1975)
Year of Election or Appointment: 2020
Secretary and Chief Legal Officer
Ms. Lee also serves as Secretary and CLO of other funds. Ms. Lee serves as Vice President, Associate General Counsel (2014-present) and is an employee of Fidelity Investments (2007-present). Previously, Ms. Lee served as Assistant Secretary of certain funds (2018-2019).
Cynthia Lo Bessette (1969)
Year of Election or Appointment: 2020
Assistant Secretary
Ms. Lo Bessette also serves as an officer of other funds. Ms. Lo Bessette serves as CLO, Secretary, and Senior Vice President of Fidelity Management & Research Company LLC (investment adviser firm, 2019-present); and CLO of Fidelity Management & Research (Hong Kong) Limited, FMR Investment Management (UK) Limited, and Fidelity Management & Research (Japan) Limited (investment adviser firms, 2019-present). She is a Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company, 2019-present), and is an employee of Fidelity Investments. Previously, Ms. Lo Bessette served as CLO, Secretary, and Senior Vice President of FMR Co., Inc. (investment adviser firm, 2019); Secretary of Fidelity SelectCo, LLC and Fidelity Investments Money Management, Inc. (investment adviser firms, 2019). Prior to joining Fidelity Investments, Ms. Lo Bessette was Executive Vice President, General Counsel (2016-2019) and Senior Vice President, Deputy General Counsel (2015-2016) of OppenheimerFunds (investment management company) and Deputy Chief Legal Officer (2013-2015) of Jennison Associates LLC (investment adviser firm).
Chris Maher (1972)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Maher also serves as an officer of other funds. Mr. Maher serves as Assistant Treasurer of FMR Capital, Inc. (2017-present), and is an employee of Fidelity Investments (2008-present). Previously, Mr. Maher served as Assistant Treasurer of certain funds (2013-2020); Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010).
Stacie M. Smith (1974)
Year of Election or Appointment: 2020
President and Treasurer
Ms. Smith also serves as an officer of other funds. Ms. Smith serves as Assistant Treasurer of FMR Capital, Inc. (2017-present), is an employee of Fidelity Investments (2009-present), and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (accounting firm, 1996-2009). Previously, Ms. Smith served as Assistant Treasurer (2013-2019) and Deputy Treasurer (2013-2016) of certain Fidelity® funds.
Marc L. Spector (1972)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Spector also serves as an officer of other funds. Mr. Spector serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2016-present). Prior to joining Fidelity Investments, Mr. Spector served as Director at the Siegfried Group (accounting firm, 2013-2016), and prior to Siegfried Group as audit senior manager at Deloitte & Touche LLP (accounting firm, 2005-2013).
Jim Wegmann (1979)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Wegmann also serves as Assistant Treasurer of other funds. Mr. Wegmann is an employee of Fidelity Investments (2011-present).
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (December 1, 2019 to May 31, 2020).
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the underlying mutual funds (the Underlying Funds), the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's 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. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the Underlying Funds, the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
Annualized Expense Ratio-A | Beginning Account Value December 1, 2019 | Ending Account Value May 31, 2020 | Expenses Paid During Period-B December 1, 2019 to May 31, 2020 | |
Actual | .14% | $1,000.00 | $979.30 | $.69 |
Hypothetical-C | $1,000.00 | $1,024.30 | $.71 |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period). The fees and expenses of the Underlying Funds in which the Fund invests are not included in the Fund's annualized expense ratio.
C 5% return per year before expenses
Distributions (Unaudited)
The fund hereby designates as a capital gain dividend with respect to the taxable year ended May 31, 2020, $275,346,977, or, if subsequently determined to be different, the net capital gain of such year.
The fund designates 59% and 70% of the dividends distributed in July and December, respectively during the fiscal year as qualifying for the dividends–received deduction for corporate shareholders.
The fund designates 67% and 75% of the dividends distributed in July and December, respectively during the fiscal year as amounts which may be taken into account as a dividend for the purposes of the maximum rate under section 1(h)(11) of the Internal Revenue Code.
The fund designates 11% and 6% of the dividends distributed in July and December, respectively during the fiscal year as a section 199A dividend.
The fund will notify shareholders in January 2021 of amounts for use in preparing 2020 income tax returns.
Liquidity Risk Management Program
The Securities and Exchange Commission adopted Rule 22e-4 under the Investment Company Act of 1940 (the Liquidity Rule) to promote effective liquidity risk management throughout the open-end investment company industry, thereby reducing the risk that funds will be unable to meet their redemption obligations and mitigating dilution of the interests of fund shareholders.
The Fund has adopted and implemented a liquidity risk management program (the Program) reasonably designed to assess and manage the Fund's liquidity risk and to comply with the requirements of the Liquidity Rule. The Fund's Board of Trustees (the Board) has designated the Fund's investment adviser as administrator of the Program. Strategic Advisers has established a Liquidity Risk Management Committee (the LRM Committee) to manage the Program for each of the Funds. The LRM Committee monitors the adequacy and effectiveness of implementation of the Program and on a periodic basis assesses each Fund's liquidity risk based on a variety of factors including (1) the Fund's investment strategy, (2) portfolio liquidity and cash flow projections during normal and reasonably foreseeable stressed conditions, (3) shareholder redemptions and (4) borrowings and other funding sources, as applicable.
In accordance with the Program, each of the Fund’s portfolio investments is classified into one of four liquidity categories described below based on a determination of a reasonable expectation for how long it would take to convert the investment to cash (or sell or dispose of the investment) without significantly changing its market value.
- Highly liquid investments – cash or convertible to cash within three business days or less
- Moderately liquid investments – convertible to cash in three to seven calendar days
- Less liquid investments – can be sold or disposed of, but not settled, within seven calendar days
- Illiquid investments – cannot be sold or disposed of within seven calendar days
Liquidity classification determinations take into account a variety of factors including various market, trading and investment-specific considerations, as well as market depth, and generally utilize analysis from a third-party liquidity metrics service.
The Liquidity Rule places a 15% limit on a fund’s illiquid investments and requires funds that do not primarily hold assets that are highly liquid investments to determine and maintain a minimum percentage of the fund’s net assets to be invested in highly liquid investments (highly liquid investment minimum or HLIM). The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments and for determining, periodically reviewing and complying with the HLIM requirement as applicable.
At a recent meeting of the Fund’s Board of Trustees, the LRM Committee provided a written report to the Board pertaining to the operation, adequacy, and effectiveness of implementation of the Program for the annual period from December 1, 2018 through November 30, 2019. The report concluded that the Program has been implemented and is operating effectively and is reasonably designed to assess and manage the Fund’s liquidity risk.
TSF-ANN-0720
1.9887487.102
Strategic Advisers® Tax-Sensitive Short Duration Fund
Offered exclusively to certain clients of Strategic Advisers LLC - not available for sale to the general public
May 31, 2020
See the inside front cover for important information about access to your fund’s shareholder reports.
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of a fund’s shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the fund or from your financial intermediary, such as a financial advisor, broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from a fund electronically, by contacting your financial intermediary. For Fidelity customers, visit Fidelity's web site or call Fidelity using the contact information listed below.
You may elect to receive all future reports in paper free of charge. If you wish to continue receiving paper copies of your shareholder reports, you may contact your financial intermediary or, if you are a Fidelity customer, visit Fidelity’s website, or call Fidelity at the applicable toll-free number listed below. Your election to receive reports in paper will apply to all funds held with the fund complex/your financial intermediary.
Account Type | Website | Phone Number |
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Contents
To view a fund's proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
You may also call 1-800-544-3455 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2020 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
Note to Shareholders:
Early in 2020, the outbreak and spread of a new coronavirus emerged as a public health emergency that had a major influence on financial markets, primarily based on its impact on the global economy and the outlook for corporate earnings. The virus causes a respiratory disease known as COVID-19. On March 11, the World Health Organization declared the COVID-19 outbreak a pandemic, citing sustained risk of further global spread.
In the weeks following, as the crisis worsened, we witnessed an escalating human tragedy with wide-scale social and economic consequences from coronavirus-containment measures. The outbreak of COVID-19 prompted a number of measures to limit the spread, including travel and border restrictions, quarantines, and restrictions on large gatherings. In turn, these resulted in lower consumer activity, diminished demand for a wide range of products and services, disruption in manufacturing and supply chains, and – given the wide variability in outcomes regarding the outbreak – significant market uncertainty and volatility. Amid the turmoil, 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.
The situation continues to unfold, and the extent and duration of its impact on financial markets and the economy remain highly uncertain. Extreme events such as the coronavirus crisis are “exogenous shocks” that can have significant adverse effects on mutual funds and their investments. Although multiple asset classes may be affected by market disruption, the duration and impact may not be the same for all types of assets.
Fidelity is committed to helping you stay informed amid news about COVID-19 and during increased market volatility, and we’re taking extra steps to be responsive to customer needs. We encourage you to visit our websites, where we offer ongoing updates, commentary, and analysis on the markets and our funds.
Performance: The Bottom Line
Average annual total return reflects the change in the value of an investment, assuming reinvestment of distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year. The hypothetical investment and the average annual total returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund’s total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.
Average Annual Total Returns
For the periods ended May 31, 2020 | Past 1 year | Life of fundA |
Strategic Advisers® Tax-Sensitive Short Duration Fund | 1.53% | 1.69% |
A From December 28, 2017
$10,000 Over Life of Fund
Let's say hypothetically that $10,000 was invested in Strategic Advisers® Tax-Sensitive Short Duration Fund on December 28, 2017, when the fund started.
The chart shows how the value of your investment would have changed, and also shows how the Bloomberg Barclays Municipal Bond 1 Year (1-2 Y) Index performed over the same period.
Period Ending Values | ||
$10,416 | Strategic Advisers® Tax-Sensitive Short Duration Fund | |
$10,560 | Bloomberg Barclays Municipal Bond 1 Year (1-2 Y) Index |
Management's Discussion of Fund Performance
Market Recap: Tax-exempt municipal bonds posted a gain for the 12 months ending May 31, 2020, an unprecedented period of economic uncertainty and heightened market volatility. The Bloomberg Barclays Municipal Bond Index rose 3.98% for the year, led by higher-quality, longer-term issues. The municipal market rose strongly in summer 2019, bolstered by a series of interest rate cuts by the U.S. Federal Reserve and below-average gross municipal bond issuance. After posting a -0.81% return in September amid concerns about potential interest rate hikes, the municipal market rose just 0.74% in the fourth quarter of 2019, constrained by a meaningful increase in the supply of new municipal bonds. Although the muni market entered 2020 with solid gains in January (+1.80%) and February (+1.29%), it suffered steep declines in March (-3.63%) and April (-1.26%) when the escalation of coronavirus infections in the United States and Europe triggered a global recession and sparked record shareholder outflows from municipal bonds. The muni market staged one of its strongest-ever rebounds in May (+3.18%), as investors returned to the asset class given growing economic optimism amid state reopenings. Sentiment was further boosted by the Fed’s strengthened support for the U.S. economy, especially expanded quantitative easing programs and new lending facilities to provide funds to banks, companies and municipalities.Comments from Lead Portfolio Manager Chris Heavey: For the fiscal year, the Fund gained 1.53%, performing about in line with the 1.63% return of the benchmark Strategic Advisers® Tax-Sensitive Short-Duration Composite Index. During the first half of the period, we rebalanced the portfolio by reducing the Fund's allocation to the Ultra Short Fixed Income strategy from sub-adviser Wells Capital Management. This shift increased the Fund's interest rate sensitivity and also positioned the portfolio more conservatively by cutting exposure to lower-rated bonds. The Fund's somewhat longer duration, relative to the benchmark, hurt performance during March's market turmoil, as short-term interest rates rose sharply. The municipal bond market took longer to rebound than the taxable market, mostly due to risk aversion by retail investors, along with a lag in the implementation of the U.S. Federal Reserve's program to bolster liquidity in the tax-exempt market. The market then rebounded strongly in May. Within this environment, the sub-advised strategy from Wells Capital (+1.8%) referenced above and the Limited Term Municipal Income mandate (+2.4%) from sub-adviser FIAM℠ added the most value versus the benchmark. The longer-than-benchmark durations of both of these managers helped the Fund's performance for the period as a whole. Exposure to municipal credit via the Wells Capital strategy provided a further relative boost. On the downside, cash was the portfolio's primary relative detractor the past 12 months. As it relates to positioning shifts, we added JPMorgan Ultra-Short Municipal Fund during the period. As of May 31, we think retail investors have regained a level of comfort in the tax-free market. Also, a large amount of bond maturities are on the near-term horizon, which we believe will support the market's supply-and-demand backdrop.The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
Investment Summary (Unaudited)
The information in the following tables is based on the direct investments of the Fund.Top Ten Holdings as of May 31, 2020
(excluding cash equivalents) | % of fund's net assets |
JPMorgan Ultra-Short Municipal Fund Class I | 3.7 |
New York Metropolitan Transportation Authority Rev. | 2.8 |
Illinois Gen. Oblig. | 2.0 |
Michigan Fin Auth Rev | 1.3 |
Denver City & County Airport Rev. | 1.2 |
Port Arthur Navigation Dist. Environmental Facilities Rev. | 1.1 |
Clark County Airport Rev. | 1.1 |
Palm Beach County Health Facs. Auth. Rev. | 1.0 |
Texas General Obligation | 1.0 |
New Jersey Transportation Trust Fund Auth. | 0.9 |
Top Five Sectors as of May 31, 2020
% of fund's net assets | |
General Obligations | 18.9 |
Transportation | 13.6 |
Health Care | 9.3 |
Synthetics | 6.7 |
Other | 6.2 |
Quality Diversification (% of fund's net assets)
As of May 31, 2020 | ||
AAA,AA,A | 46.4% | |
BBB | 7.4% | |
Not Rated | 5.2% | |
Equities | 3.9% | |
Short-Term Investments and Net Other Assets | 37.1% |
We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes.
Asset Allocation (% of fund's net assets)
As of May 31, 2020 | ||
Municipal Bonds | 28.7% | |
Short-Term Funds | 3.7% | |
Investment Companies | 0.2% | |
Short-Term Investments and Net Other Assets (Liabilities) | 67.4% |
Schedule of Investments May 31, 2020
Showing Percentage of Net Assets
Municipal Bonds - 56.5% | |||
Principal Amount | Value | ||
Alabama - 0.7% | |||
Alabama Spl. Care Facilities Fing. Auth. Birmingham Rev. Bonds Series 2006 C1, 1.85%, tender 11/1/22 (a) | 1,025,000 | 1,050,963 | |
Black Belt Energy Gas District: | |||
(Proj. No. 4) Series 2019 A: | $ | $ | |
4% 6/1/20 | 1,500,000 | 1,500,000 | |
4% 6/1/21 | 1,250,000 | 1,282,448 | |
4% 6/1/23 | 1,750,000 | 1,872,710 | |
Bonds: | |||
Series 2016 A, 4%, tender 6/1/21 (a) | 7,435,000 | 7,644,528 | |
Series 2017 A, 4%, tender 7/1/22 (a) | 4,040,000 | 4,263,897 | |
Health Care Auth. for Baptist Health Series 2006 B, 1.09%, tender 11/15/37 (a) | 1,300,000 | 1,300,000 | |
Jefferson County Gen. Oblig. Series 2018 B, 5% 4/1/21 | 270,000 | 280,240 | |
Lower Alabama Gas District (No. 2 Proj.) Series 2020, 4% 12/1/21 | 100,000 | 103,587 | |
Mobile County Board of School Commissioners: | |||
Series 2016 A: | |||
5% 3/1/22 | 15,000 | 16,178 | |
5% 3/1/23 | 20,000 | 22,336 | |
5% 3/1/24 | 25,000 | 28,849 | |
5% 3/1/25 | 25,000 | 29,704 | |
Series 2016 B: | |||
5% 3/1/22 | 80,000 | 86,283 | |
5% 3/1/23 | 405,000 | 452,308 | |
5% 3/1/24 | 45,000 | 51,927 | |
Montgomery Med. Clinic Facilities Series 2015: | |||
5% 3/1/21 | 10,000 | 10,241 | |
5% 3/1/22 | 70,000 | 73,891 | |
Southeast Alabama Gas Supply District Bonds Series 2018 A, 4%, tender 4/1/24(a) | 4,000,000 | 4,331,760 | |
TOTAL ALABAMA | 24,401,850 | ||
Alaska - 0.1% | |||
Anchorage Gen. Oblig.: | |||
Series B, 5% 9/1/22 | 30,000 | 33,193 | |
Series C, 5% 9/1/22 | 20,000 | 22,128 | |
Valdez Marine Term. Rev. (BP Pipelines (Alaska), Inc. Proj.): | |||
Series 2003 B, 5% 1/1/21 | 3,870,000 | 3,942,278 | |
Series 2003 C, 5% 1/1/21 | 670,000 | 682,513 | |
TOTAL ALASKA | 4,680,112 | ||
Arizona - 2.2% | |||
Arizona Ctfs. of Prtn. Series 2019 A: | |||
5% 10/1/21 | 140,000 | 149,061 | |
5% 10/1/22 | 150,000 | 166,349 | |
5% 10/1/24 | 195,000 | 231,629 | |
Arizona Health Facilities Auth. Hosp. Sys. Rev. Series 2012 A, 5% 2/1/21 | 500,000 | 513,363 | |
Arizona Health Facilities Auth. Rev.: | |||
(Scottsdale Lincoln Hospitals Proj.) Series 2014 A: | |||
5% 12/1/21 | 25,000 | 26,417 | |
5% 12/1/22 | 15,000 | 16,401 | |
5% 12/1/23 | 20,000 | 22,550 | |
5% 12/1/24 | 35,000 | 40,565 | |
Bonds Series 2013 A3, SIFMA Municipal Swap Index + 1.850% 1.99%, tender 2/1/23 (a)(b) | 2,000,000 | 2,031,240 | |
Arizona State Lottery Rev. Series 2019, 5% 7/1/20 | 145,000 | 145,568 | |
Chandler Indl. Dev. Auth. Indl. Dev. Rev. Bonds (Intel Corp. Proj.): | |||
Series 2005, 2.4%, tender 8/14/23 (a) | 5,100,000 | 5,304,612 | |
Series 2007, 2.7%, tender 8/14/23 (a)(c) | 6,500,000 | 6,800,950 | |
Series 2019, 5%, tender 6/3/24 (a)(c) | 1,570,000 | 1,801,889 | |
Coconino County Poll. Cont. Corp. Rev. Bonds: | |||
Series 2017 A, 1.875%, tender 3/31/23 (a)(c) | 415,000 | 418,324 | |
Series 2017 B, 1.65%, tender 3/31/23 (a) | 865,000 | 871,574 | |
Glendale Gen. Oblig.: | |||
Series 2015, 5% 7/1/22 (FSA Insured) | 20,000 | 21,976 | |
Series 2017, 5% 7/1/22 | 75,000 | 81,344 | |
Glendale Trans. Excise Tax Rev.: | |||
5% 7/1/21 (FSA Insured) | 15,000 | 15,775 | |
5% 7/1/22 (FSA Insured) | 25,000 | 27,470 | |
5% 7/1/23 (FSA Insured) | 30,000 | 34,319 | |
Maricopa County Rev.: | |||
Bonds: | |||
Series 2019 B, SIFMA Municipal Swap Index + 0.380% 0.52%, tender 10/18/22 (a)(b) | 4,185,000 | 4,122,183 | |
Series B, 5%, tender 10/18/22 (a) | 2,980,000 | 3,251,508 | |
Series 2016 A, 5% 1/1/25 | 105,000 | 122,666 | |
Phoenix Ariz Ind. Dev. Auth. Rev. Series 2015A, 3% 7/1/20 (d) | 220,000 | 219,904 | |
Phoenix Civic Impt. Board Arpt. Rev.: | |||
Series 2013, 5% 7/1/21 (c) | 2,750,000 | 2,860,000 | |
Series 2018: | |||
5% 7/1/20 (c) | 620,000 | 621,868 | |
5% 7/1/23 (c) | 1,100,000 | 1,217,535 | |
Series 2019 B, 5% 7/1/23 (c) | 1,000,000 | 1,105,260 | |
Phoenix Indl. Solid Waste Disp. Rev. Bonds (Republic Svc., Inc. Proj.) Series 2013, 2.1%, tender 12/1/35 (a)(c) | 23,380,000 | 23,403,597 | |
Pima County Ctfs. of Prtn. Series 2014: | |||
5% 12/1/21 | 50,000 | 53,493 | |
5% 12/1/22 | 55,000 | 61,333 | |
5% 12/1/23 | 75,000 | 86,880 | |
Pima County Swr. Sys. Rev. Series 2020 A: | |||
5% 7/1/22 | 285,000 | 312,839 | |
5% 7/1/23 | 260,000 | 297,003 | |
Scottsdale Indl. Dev. Auth. Hosp. Rev. Series 2006 F, 1.1%, tender 9/1/45 (FSA Insured) (a) | 14,725,000 | 14,725,000 | |
Western Maricopa Ed. Ctr. District Series 2019 B, 4% 7/1/21 | 1,365,000 | 1,419,286 | |
Yavapai County Indl. Dev. Auth. Series 2019: | |||
5% 8/1/21 | 225,000 | 234,956 | |
5% 8/1/22 | 425,000 | 459,646 | |
5% 8/1/23 | 355,000 | 396,315 | |
TOTAL ARIZONA | 73,692,648 | ||
Arkansas - 0.5% | |||
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 | 5,060,300 | |
Bonds: | |||
(Hsg. Alliance 2 Proj.) Series 2018 B, 2.1%, tender 12/1/20 (a) | 2,900,000 | 2,923,121 | |
Series 2018 A, 2.1%, tender 12/1/20 (a) | 8,000,000 | 8,063,382 | |
Little Rock School District Series 2017, 3% 2/1/21 | 1,470,000 | 1,496,003 | |
TOTAL ARKANSAS | 17,542,806 | ||
California - 1.8% | |||
Bay Area Toll Auth. San Francisco Bay Toll Bridge Rev. Bonds: | |||
Series 2017 G, 2%, tender 4/1/24 (a) | 1,120,000 | 1,145,861 | |
Series A, 2.95%, tender 4/1/26 (a) | 115,000 | 123,608 | |
Series B, 2.85%, tender 4/1/25 (a) | 95,000 | 100,853 | |
Burbank Glendale Pasadena Arpt. Auth. Rev. Series B, 5% 7/1/23 (c) | 1,290,000 | 1,422,909 | |
California Gen. Oblig.: | |||
Bonds: | |||
Series 2012 A, SIFMA Municipal Swap Index + 0.250% 0.39%, tender 6/4/20 (a)(b) | 5,995,000 | 5,965,624 | |
Series 2013, SIFMA Municipal Swap Index + 0.380% 0.52%, tender 12/1/22 (a)(b) | 3,270,000 | 3,233,605 | |
Series 2020, 5% 3/1/22 | 3,180,000 | 3,440,251 | |
5.25% 9/1/22 | 35,000 | 38,862 | |
California Infrastructure and Econ. Dev. Bank Rev. Bonds: | |||
Series 2012 B, 1 month U.S. LIBOR + 0.200% 0.46%, tender 6/1/20 (a)(b) | 5,000,000 | 4,964,597 | |
Series 2018 A, 1 month U.S. LIBOR + 0.380% 0.502%, tender 8/1/21 (a)(b) | 400,000 | 392,392 | |
Series 2018 C, 1 month U.S. LIBOR + 0.380% 0.502%, tender 8/1/21 (a)(b) | 1,555,000 | 1,525,424 | |
Series 2018 D, 1 month U.S. LIBOR + 0.380% 0.502%, tender 8/1/21 (a)(b) | 5,500,000 | 5,395,390 | |
California Poll. Cont. Fing. Auth. Solid Waste Disp. Rev. Bonds (Republic Svcs., Inc. Proj.) Series 2017 A2, 1.95%, tender 11/1/42 (a)(c)(d) | 3,500,000 | 3,502,406 | |
California Statewide Cmntys. Dev. Auth. Rev. Series 2007: | |||
1.09%, tender 7/1/40 (FSA Insured) (a) | 4,075,000 | 4,075,000 | |
1.09%, tender 7/1/41 (FSA Insured) (a) | 2,225,000 | 2,225,000 | |
Compton Unified School District Series 2006 D, 0% 6/1/20 (AMBAC Insured) | 2,280,000 | 2,280,000 | |
Golden State Tobacco Securitization Corp. Tobacco Settlement Rev.: | |||
Series 2017 A1: | |||
5% 6/1/21 | 25,000 | 25,969 | |
5% 6/1/22 | 40,000 | 42,966 | |
5% 6/1/23 | 45,000 | 49,837 | |
5% 6/1/24 | 25,000 | 28,497 | |
Series A, 0% 6/1/24 (AMBAC Insured) | 75,000 | 71,988 | |
Long Beach Hbr. Rev. Series 2020 C, 4% 7/15/21 | 2,500,000 | 2,595,825 | |
Los Angeles Dept. Arpt. Rev.: | |||
Series 2017 B, 5% 5/15/23 (c) | 800,000 | 885,168 | |
Series F, 5% 5/15/22 (c) | 1,400,000 | 1,506,890 | |
Oakland Unified School District Alameda County Series 2013, 5.5% 8/1/23 | 20,000 | 22,414 | |
Palomar Pomerado Health Care Dis: | |||
Series 2006 A, 1.75%, tender 11/1/36 (FSA Insured) (a) | 5,125,000 | 5,125,000 | |
Series 2006 B, 1.9%, tender 11/1/36 (FSA Insured) (a) | 4,925,000 | 4,925,000 | |
Series 2006 C, 1.74%, tender 11/1/36 (FSA Insured) (a) | 2,400,000 | 2,400,000 | |
Port of Oakland Rev. Series 2012 P, 5% 5/1/21 (c) | 55,000 | 56,791 | |
San Diego Pub. Facilities Fing. Auth. Wtr. Rev. Series 2020 A: | |||
5% 8/1/20 | 500,000 | 503,996 | |
5% 8/1/21 | 250,000 | 264,095 | |
5% 8/1/22 | 250,000 | 275,995 | |
San Jose Int. Arpt. Rev. Series 2017 A, 5% 3/1/21 (c) | 2,550,000 | 2,622,790 | |
San Pablo Redev. Agcy. Series 2014 A, 5% 6/15/24 (FSA Insured) | 30,000 | 34,992 | |
Washington Township Health Care District Rev. Series 2019 A, 5% 7/1/20 | 400,000 | 401,238 | |
TOTAL CALIFORNIA | 61,671,233 | ||
Colorado - 1.1% | |||
Colorado Ctfs. of Prtn. Series 2020 A, 5% 12/15/21 | 2,000,000 | 2,144,280 | |
Colorado Health Facilities Auth.: | |||
Bonds: | |||
(Valley View Hosp. Assoc. Proj.) Series 2018, 2.8%, tender 5/15/23 (a) | 495,000 | 518,488 | |
Series 2019 B: | |||
5%, tender 8/1/25 (a) | 300,000 | 337,428 | |
5%, tender 8/1/26 (a) | 240,000 | 275,705 | |
5%, tender 11/19/26 (a) | 1,490,000 | 1,838,347 | |
Series 2019 A, 5% 11/1/20 | 2,000,000 | 2,039,524 | |
Series 2019, 4% 1/1/21 | 650,000 | 647,807 | |
Colorado Health Facilities Auth. Retirement Hsg. Rev. (Liberty Heights Proj.) 0% 7/15/22 (Escrowed to Maturity) | 620,000 | 614,383 | |
Colorado Health Facilities Auth. Rev. Bonds Series 2008 D3, 5%, tender 11/12/21 (a) | 115,000 | 121,751 | |
Colorado Hsg. & Fin. Auth.: | |||
Series 2019 F, 4.25% 11/1/49 | 200,000 | 223,018 | |
Series 2019 H, 4.25% 11/1/49 | 110,000 | 122,682 | |
Colorado Reg'l. Trans. District Ctfs. of Prtn.: | |||
Series 2013 A: | |||
5% 6/1/20 | 115,000 | 115,000 | |
5% 6/1/23 | 250,000 | 282,268 | |
Series 2014 A, 5% 6/1/23 | 85,000 | 95,971 | |
Colorado Univ. Co. Hosp. Auth. Rev. Bonds Series 2017C-2, 5%, tender 3/1/22 (a) | 1,120,000 | 1,177,669 | |
Denver City & County Arpt. Rev.: | |||
(Sub Lien Proj.) Series 2013 A, 5% 11/15/21 (c) | 900,000 | 950,445 | |
Series 2007, 1%, tender 11/15/25 (a) | 1,050,000 | 1,050,000 | |
Series 2011 A, 5.25% 11/15/22 (c) | 1,750,000 | 1,861,073 | |
Series 2012 A: | |||
5% 11/15/22 (c) | 520,000 | 567,206 | |
5% 11/15/23 (c) | 250,000 | 273,395 | |
Series 2013 A, 5% 11/15/22 (c) | 500,000 | 544,755 | |
Series 2017 A: | |||
5% 11/15/21 (c) | 565,000 | 596,668 | |
5% 11/15/22 (c) | 3,455,000 | 3,768,645 | |
Series 2018 A: | |||
5% 12/1/20 (c) | 8,375,000 | 8,542,430 | |
5% 12/1/21 (c) | 1,000,000 | 1,057,760 | |
5% 12/1/23 (c) | 250,000 | 280,783 | |
Denver Health & Hosp. Auth. Healthcare Rev. Series 2017 A, 5% 12/1/20 (d) | 325,000 | 330,483 | |
E-470 Pub. Hwy. Auth. Rev.: | |||
Bonds Series 2019 A, 1 month U.S. LIBOR + 0.420% 0.536%, tender 9/1/21 (a)(b) | 2,250,000 | 2,225,295 | |
Series 2000 B, 0% 9/1/20 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 805,000 | 804,066 | |
Series 2015 A: | |||
2.35% 9/1/20 | 100,000 | 100,464 | |
5% 9/1/20 | 275,000 | 278,072 | |
Series B: | |||
0% 9/1/20 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 1,000,000 | 998,839 | |
0% 9/1/21 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 525,000 | 521,740 | |
Pueblo Colo Urban Renewal Auth. Series 2017, 2.75% 6/1/20 | 155,000 | 155,000 | |
Vauxmont Metropolitan District Series 2019: | |||
5% 12/15/22 | 100,000 | 110,186 | |
5% 12/15/23 | 120,000 | 136,433 | |
TOTAL COLORADO | 35,708,059 | ||
Connecticut - 1.8% | |||
City of New Haven Series A, 5% 8/1/22 | 1,000,000 | 1,069,950 | |
Connecticut Gen. Oblig.: | |||
Series 2011 B, 5% 5/15/21 | 830,000 | 864,235 | |
Series 2011 D, 5% 11/1/22 | 185,000 | 195,595 | |
Series 2012 C, 5% 6/1/21 | 510,000 | 532,016 | |
Series 2013 D, 5% 8/15/20 | 190,000 | 191,678 | |
Series 2014 A: | |||
4% 3/1/21 | 500,000 | 512,461 | |
4% 3/1/22 | 450,000 | 475,092 | |
Series 2014 H, 5% 11/15/21 | 680,000 | 721,473 | |
Series 2015 A, 5% 3/15/22 | 1,035,000 | 1,112,304 | |
Series 2015 C, SIFMA Municipal Swap Index + 0.900% 1.04% 6/15/21 (a)(b) | 2,500,000 | 2,509,777 | |
Series 2015 F, 5% 11/15/20 | 275,000 | 280,424 | |
Series 2016 A, 5% 3/15/26 | 45,000 | 53,856 | |
Series 2016 B: | |||
5% 5/15/21 | 1,875,000 | 1,952,339 | |
5% 5/15/22 | 350,000 | 377,787 | |
Series 2016 E, 5% 10/15/20 | 1,080,000 | 1,097,379 | |
Series 2016 G: | |||
3% 11/1/20 | 335,000 | 338,275 | |
5% 11/1/21 | 1,200,000 | 1,271,232 | |
Series 2017 B, 3% 4/15/22 | 425,000 | 442,476 | |
Series 2018 B, 5% 4/15/22 | 810,000 | 873,310 | |
Series 2018 E, 5% 9/15/20 | 415,000 | 420,171 | |
Series 2018 F: | |||
5% 9/15/20 | 750,000 | 759,346 | |
5% 9/15/21 | 665,000 | 701,010 | |
5% 9/15/22 | 225,000 | 245,822 | |
Series 2019 A, 5% 4/15/23 | 1,000,000 | 1,113,250 | |
Series 2019 B, 5% 2/15/22 | 6,000,000 | 6,428,460 | |
Series B, 4% 6/15/21 | 250,000 | 258,635 | |
Series C, 5% 6/15/21 | 1,000,000 | 1,044,844 | |
Series D, SIFMA Municipal Swap Index + 1.020% 1.16% 8/15/20 (a)(b) | 890,000 | 890,971 | |
Connecticut Health & Edl. Facilities Auth. Rev.: | |||
(Connecticut St Univ. Sys. Proj.) Series 2013 N, 5% 11/1/20 | 2,035,000 | 2,069,115 | |
(Stamford Hosp. Proj.) Series 2010 I, 5% 7/1/20 | 900,000 | 902,823 | |
Bonds: | |||
Series 2014 A, 1.1%, tender 2/7/23 (a) | 5,000,000 | 5,097,900 | |
Series 2014 B, 1.8%, tender 7/1/24 (a) | 345,000 | 357,803 | |
Series 2015 A, 2.05%, tender 7/21/21 (a) | 9,975,000 | 10,173,004 | |
Series 2018 S, 5% 7/1/20 | 1,200,000 | 1,203,319 | |
Series A, 5% 7/1/21 (Escrowed to Maturity) | 800,000 | 840,352 | |
Series N: | |||
5% 7/1/21 | 610,000 | 640,226 | |
5% 7/1/22 | 400,000 | 417,264 | |
5% 7/1/23 | 415,000 | 439,352 | |
Connecticut Higher Ed. Supplemental Ln. Auth. Rev.: | |||
(Chesla Ln. Prog.) Series 2017 A, 5% 11/15/22 (c) | 300,000 | 326,091 | |
Series 2017 B: | |||
5% 11/15/21 (c) | 655,000 | 689,813 | |
5% 11/15/23 (c) | 125,000 | 139,674 | |
Connecticut Hsg. Fin. Auth.: | |||
(Ct Gen. Hsg. 9/27/72 Proj.) Series 2012 A, 2.4% 11/15/20 | 270,000 | 272,317 | |
Bonds: | |||
Series 2017 E-3, 1.5%, tender 10/1/20 (a) | 505,000 | 505,385 | |
Series 2019 E, 1.625%, tender 11/15/22 (a) | 3,000,000 | 3,011,970 | |
Series 2013 B2, 4% 11/15/32 | 50,000 | 51,571 | |
Series 2016 F, 1.6% 11/15/20 (c) | 565,000 | 567,678 | |
Connecticut Spl. Tax Oblig. Trans. Infrastructure Rev.: | |||
Series 2012 A, 5% 1/1/23 | 480,000 | 528,802 | |
Series 2012 B, 5% 1/1/21 | 325,000 | 332,946 | |
Series 2016 A, 5% 9/1/21 | 700,000 | 736,582 | |
Series A: | |||
4% 5/1/21 | 250,000 | 257,338 | |
5% 1/1/22 | 200,000 | 212,904 | |
5% 5/1/22 | 680,000 | 732,782 | |
Series B, 5% 10/1/21 | 970,000 | 1,023,932 | |
Hartford Gen. Oblig. Series 2012 A, 5% 4/1/21 (FSA Insured) | 2,000,000 | 2,077,908 | |
Naugatuck Ctfs. of Prtn. (Naugatuck Incineration Facilities Proj.) Series 2014 A, 5% 6/15/20 (c) | 315,000 | 315,499 | |
New Britain Gen. Oblig. Series 2017 A, 5% 3/1/21 (FSA Insured) | 90,000 | 93,092 | |
New Haven Gen. Oblig.: | |||
Series 2016 A, 5% 8/15/25 (FSA Insured) | 20,000 | 22,963 | |
Series B, 5% 2/1/22 | 350,000 | 374,609 | |
Univ. of Connecticut Gen. Oblig.: | |||
Series 2016 A, 5% 3/15/22 | 190,000 | 203,243 | |
Series 2019 A, 5% 11/1/25 | 225,000 | 266,254 | |
TOTAL CONNECTICUT | 61,618,679 | ||
Delaware, New Jersey - 0.0% | |||
Delaware River & Bay Auth. Rev. Series 2014 C, 5% 1/1/21 | 45,000 | 46,236 | |
District Of Columbia - 0.6% | |||
District of Columbia Gen. Oblig. Series 2007 B, 5.25% 6/1/20 (FSA Insured) | 600,000 | 600,000 | |
District of Columbia Hsg. Fin. Agcy. Multi-family Hsg. Rev. Bonds (Liberty Place Apts. Proj.) Series 2018, 2.13%, tender 12/1/20 (a) | 5,000,000 | 5,038,169 | |
District of Columbia Income Tax Rev. Series 2020 B, 5% 10/1/22 | 600,000 | 667,026 | |
Metropolitan Washington DC Arpts. Auth. Sys. Rev.: | |||
Series 2011 C: | |||
5% 10/1/21 (c) | 250,000 | 263,455 | |
5% 10/1/22 (c) | 430,000 | 451,552 | |
5% 10/1/23 (c) | 140,000 | 146,997 | |
5% 10/1/24 (c) | 115,000 | 120,701 | |
Series 2012 A: | |||
5% 10/1/22 (c) | 140,000 | 152,414 | |
5% 10/1/23 (c) | 500,000 | 543,610 | |
Series 2013 A, 5% 10/1/20 (c) | 2,415,000 | 2,447,735 | |
Series 2014 A: | |||
5% 10/1/20 (c) | 540,000 | 547,320 | |
5% 10/1/21 (c) | 400,000 | 421,528 | |
5% 10/1/23 (c) | 10,000 | 11,230 | |
Series 2017 A, 5% 10/1/26 (c) | 145,000 | 174,899 | |
Series 2019 A: | |||
5% 10/1/20 (c) | 800,000 | 810,844 | |
5% 10/1/21 (c) | 130,000 | 136,997 | |
5% 10/1/22 (c) | 290,000 | 315,714 | |
5% 10/1/23 (c) | 50,000 | 56,151 | |
5% 10/1/25 (c) | 155,000 | 183,177 | |
Series 2020 A: | |||
5% 10/1/21 (c)(e) | 1,200,000 | 1,259,760 | |
5% 10/1/22 (c)(e) | 1,750,000 | 1,898,593 | |
5% 10/1/23 (c)(e) | 925,000 | 1,035,436 | |
5% 10/1/24 (c)(e) | 530,000 | 610,004 | |
5% 10/1/25 (c)(e) | 530,000 | 624,605 | |
Washington D.C. Metropolitan Transit Auth. Rev. Series 2018, 5% 7/1/20 | 1,000,000 | 1,003,590 | |
TOTAL DISTRICT OF COLUMBIA | 19,521,507 | ||
Florida - 2.7% | |||
Alachua County Health Facilities Auth. Health Facilities Rev. Series 2019 B1, 5% 12/1/20 | 550,000 | 562,778 | |
Brevard County School Board Ctfs. of Prtn.: | |||
Series 2014, 5% 7/1/21 | 20,000 | 20,957 | |
Series 2015 C: | |||
5% 7/1/21 | 15,000 | 15,718 | |
5% 7/1/22 | 80,000 | 87,323 | |
5% 7/1/23 | 65,000 | 73,650 | |
Broward County Arpt. Sys. Rev.: | |||
Series 2012 P1: | |||
5% 10/1/20 (c) | 2,000,000 | 2,026,100 | |
5% 10/1/25 (c) | 1,000,000 | 1,074,040 | |
Series 2012 P2, 5% 10/1/22 | 230,000 | 250,116 | |
Series 2012 Q, 5% 10/1/21 (c) | 320,000 | 336,566 | |
Series 2013 A, 5% 10/1/20 (c) | 300,000 | 303,915 | |
Series 2015 A, 5% 10/1/20 (c) | 1,750,000 | 1,772,837 | |
Series 2015 C: | |||
5% 10/1/20 (c) | 1,000,000 | 1,013,050 | |
5% 10/1/24 (c) | 110,000 | 125,937 | |
Series 2017, 5% 10/1/20 (c) | 1,030,000 | 1,043,441 | |
Series 2019 A, 5% 10/1/21 (c) | 2,185,000 | 2,298,117 | |
Series 2019 B: | |||
5% 10/1/20 (c) | 925,000 | 937,071 | |
5% 10/1/21 (c) | 1,665,000 | 1,751,197 | |
5% 10/1/23 (c) | 700,000 | 780,514 | |
Series 2019, 5% 10/1/20 (c) | 2,770,000 | 2,806,148 | |
Series A: | |||
5% 10/1/22 (c) | 65,000 | 70,372 | |
5% 10/1/23 (c) | 90,000 | 100,352 | |
Broward County Fin. Auth. Multi-family Hsg. Rev. Bonds Series 2019 B, 1.2%, tender 8/1/21 (a) | 4,000,000 | 4,042,480 | |
Broward County Port Facilities Rev. Series 2011 B: | |||
4.625% 9/1/27 (Pre-Refunded to 9/1/21 @ 100) (c) | 475,000 | 498,593 | |
5% 9/1/20 (c) | 165,000 | 166,265 | |
5% 9/1/20 (Escrowed to Maturity) (c) | 335,000 | 338,632 | |
5% 9/1/21 (c) | 115,000 | 119,385 | |
5% 9/1/21 (Escrowed to Maturity) (c) | 240,000 | 253,037 | |
Broward County School Board Ctfs. of Prtn.: | |||
(Broward County School District Proj.) Series 2017 C, 5% 7/1/22 | 70,000 | 75,996 | |
Series 2015 A: | |||
5% 7/1/21 | 100,000 | 104,888 | |
5% 7/1/22 | 345,000 | 374,553 | |
5% 7/1/23 | 60,000 | 67,455 | |
5% 7/1/24 | 30,000 | 34,818 | |
Series 2015 B: | |||
5% 7/1/22 | 100,000 | 108,566 | |
5% 7/1/23 | 60,000 | 67,455 | |
5% 7/1/24 | 25,000 | 29,015 | |
Central Florida Expressway Auth. Sr. Lien Rev.: | |||
Series 2019 A: | |||
5% 7/1/20 | 360,000 | 361,171 | |
5% 7/1/21 | 625,000 | 652,006 | |
Series 2019 B: | |||
5% 7/1/20 | 500,000 | 501,626 | |
5% 7/1/21 | 1,000,000 | 1,043,210 | |
Citizens Property Ins. Corp. Series 2012 A1: | |||
5% 6/1/21 | 2,715,000 | 2,833,595 | |
5% 6/1/22 | 365,000 | 395,445 | |
Escambia County Poll. Cont. Rev. (Gulf Pwr. Co. Proj.) Series 2003, 2.6% 6/1/23 | 700,000 | 742,707 | |
Escambia County Solid Waste Disp. Rev. Bonds (Gulf Pwr. Co. Proj.) Series 2009 1, 1.8%, tender 11/19/20 (a) | 400,000 | 402,350 | |
Florida Higher Edl. Facilities Fing. Auth. Series 2019: | |||
5% 10/1/20 | 225,000 | 226,754 | |
5% 10/1/21 | 450,000 | 463,779 | |
Florida Hsg. Fin. Corp. Multi-family Mtg. Rev. Series 2019 A, 2% 8/1/21 | 2,500,000 | 2,538,900 | |
Florida Hsg. Fin. Corp. Rev. Series 2017: | |||
1.95% 1/1/21 | 410,000 | 413,441 | |
2% 7/1/21 | 355,000 | 360,527 | |
2.05% 1/1/22 | 275,000 | 281,399 | |
Florida Mid-Bay Bridge Auth. Rev. Series 2015 A: | |||
5% 10/1/21 | 20,000 | 20,636 | |
5% 10/1/22 | 45,000 | 47,300 | |
5% 10/1/23 | 55,000 | 58,746 | |
5% 10/1/24 | 45,000 | 48,674 | |
5% 10/1/25 | 40,000 | 43,768 | |
5% 10/1/26 | 45,000 | 49,008 | |
Greater Orlando Aviation Auth. Arpt. Facilities Rev.: | |||
Series 2011 B, 4% 10/1/22 (c) | 500,000 | 520,035 | |
Series 2015 A, 4% 10/1/22 (c) | 430,000 | 457,959 | |
Series 2016, 5% 10/1/20 (c) | 100,000 | 101,288 | |
Series 2017 A: | |||
5% 10/1/25 (c) | 20,000 | 23,670 | |
5% 10/1/26 (c) | 45,000 | 54,339 | |
Series 2019 A: | |||
5% 10/1/20 (c) | 1,380,000 | 1,397,776 | |
5% 10/1/22 (c) | 2,415,000 | 2,630,321 | |
5% 10/1/23 (c) | 700,000 | 787,087 | |
Halifax Hosp. Med. Ctr. Rev. Series 2015, 5% 6/1/23 | 30,000 | 33,323 | |
Hillsborough County Aviation Auth. Rev. Series A, 5% 10/1/25 (c) | 520,000 | 572,494 | |
Hillsborough County School District Sales Tax Rev. Series 2015 B, 5% 10/1/22 (FSA Insured) | 45,000 | 49,905 | |
Indian River County School Board Ctfs. of Prtn. Series 2014: | |||
5% 7/1/20 | 20,000 | 20,072 | |
5% 7/1/22 | 45,000 | 48,923 | |
5% 7/1/23 | 175,000 | 197,143 | |
Jacksonville Elec. Auth. Elec. Sys. Rev.: | |||
Series 2013 B, 5% 10/1/21 | 820,000 | 868,642 | |
Series 2013 C, 5% 10/1/22 (Escrowed to Maturity) | 430,000 | 477,541 | |
Series 2013 D, 5% 10/1/20 | 670,000 | 679,986 | |
Series 2014 A: | |||
5% 10/1/20 | 770,000 | 781,476 | |
5% 10/1/21 | 1,380,000 | 1,461,862 | |
JEA Saint Johns River Pwr. Park Sys. Rev. Series 6, 5% 10/1/20 | 250,000 | 250,845 | |
Lee County Solid Waste Sys. Rev. Series 2016, 5% 10/1/20 (c) | 1,425,000 | 1,444,844 | |
Manatee County Rev. Series 2013, 5% 10/1/22 | 20,000 | 22,175 | |
Manatee County School District Series 2017, 5% 10/1/24 (FSA Insured) | 30,000 | 35,088 | |
Miami Dade County Hsg. Multifamily Hsg. Rev. Bonds Series 2020, 1.4%, tender 4/1/22 (a) | 4,000,000 | 4,038,760 | |
Miami Health Facilities Auth. Rev. Series 2017, 5% 7/1/20 | 110,000 | 109,891 | |
Miami-Dade County Aviation Rev.: | |||
Series 2012 A: | |||
5% 10/1/20 (c) | 4,150,000 | 4,203,877 | |
5% 10/1/21 (c) | 335,000 | 352,249 | |
5% 10/1/24 (c) | 200,000 | 215,906 | |
Series 2014: | |||
5% 10/1/20(c) | 1,160,000 | 1,175,060 | |
5% 10/1/22 (c) | 235,000 | 254,026 | |
Series 2015 A, 5% 10/1/21 (c) | 255,000 | 268,130 | |
Series 2017 B: | |||
2.75% 10/1/20 (c) | 1,150,000 | 1,156,421 | |
5% 10/1/20 (c) | 2,800,000 | 2,836,351 | |
Miami-Dade County Expressway Auth.: | |||
(Waste Mgmt., Inc. of Florida Proj.): | |||
5% 7/1/20 | 20,000 | 20,065 | |
5% 7/1/21 | 345,000 | 359,907 | |
5% 7/1/22 | 45,000 | 48,699 | |
5% 7/1/23 | 45,000 | 48,825 | |
Series 2014 A, 5% 7/1/21 | 250,000 | 260,803 | |
Series 2014 B: | |||
5% 7/1/20 | 250,000 | 250,813 | |
5% 7/1/22 | 35,000 | 37,877 | |
5% 7/1/23 | 70,000 | 78,108 | |
Miami-Dade County Health Facilities Auth. Hosp. Rev. Series 2010, 5.25% 8/1/21 | 85,000 | 85,580 | |
Miami-Dade County Indl. Dev. Auth. Solid Waste Disp. Rev. Bonds (Waste Mgmt. of Florida Proj.) Series 2018, 2.85%, tender 8/2/21 (a)(c) | 3,960,000 | 4,012,351 | |
Miami-Dade County School Board Ctfs. of Prtn.: | |||
Series 2014 D: | |||
5% 11/1/20 | 215,000 | 218,985 | |
5% 11/1/21 | 135,000 | 143,448 | |
5% 11/1/22 | 65,000 | 71,945 | |
5% 11/1/23 | 165,000 | 189,463 | |
Series 2015 A: | |||
5% 5/1/21 | 415,000 | 431,888 | |
5% 5/1/22 | 605,000 | 655,941 | |
5% 5/1/23 | 1,040,000 | 1,172,954 | |
Series 2015 D, 5% 2/1/22 | 410,000 | 440,176 | |
North Broward Hosp. District Rev. Series 2017 B, 5% 1/1/21 | 380,000 | 388,482 | |
Orange County Health Facilities Auth. Series B: | |||
5% 10/1/20 | 1,660,000 | 1,686,200 | |
5% 10/1/21 | 1,330,000 | 1,413,670 | |
5% 10/1/22 | 1,295,000 | 1,409,828 | |
Orlando & Orange County Expressway Auth. Rev. Series 2012, 5% 7/1/22 | 305,000 | 334,725 | |
Palm Beach County Health Facilities Auth. Hosp. Rev.: | |||
Series 2014: | |||
5% 12/1/20 (Escrowed to Maturity) | 30,000 | 30,715 | |
5% 12/1/21 (Escrowed to Maturity) | 35,000 | 37,445 | |
5% 12/1/23 (Escrowed to Maturity) | 5,000 | 5,800 | |
5% 12/1/24 (Escrowed to Maturity) | 10,000 | 12,028 | |
Series 2019: | |||
5% 8/15/20 | 1,700,000 | 1,713,077 | |
5% 8/15/21 | 425,000 | 444,168 | |
Palm Beach County School Board Ctfs. of Prtn.: | |||
(Palm Beach County School District Proj.): | |||
Series 2018 A, 5% 8/1/21 | 2,000,000 | 2,105,260 | |
Series 2018 B, 5% 8/1/21 | 1,100,000 | 1,157,893 | |
Series 2014 B: | |||
4% 8/1/21 | 90,000 | 93,694 | |
5% 8/1/21 | 115,000 | 121,052 | |
5% 8/1/22 | 20,000 | 22,043 | |
Pasco County School District Sales Tax Rev. Series 2013: | |||
5% 10/1/20 | 20,000 | 20,262 | |
5% 10/1/21 | 120,000 | 126,245 | |
5% 10/1/22 | 20,000 | 21,749 | |
Pinellas County Hsg. Fin. Auth. Bonds (Lutheran Apts. Proj.) Series 2019 B, 1.25%, tender 8/1/21 (a) | 1,625,000 | 1,639,024 | |
Seminole County School Board Ctfs. of Prtn. Series 2016 C: | |||
5% 7/1/25 | 20,000 | 24,361 | |
5% 7/1/26 | 25,000 | 31,311 | |
Tallahassee Health Facilities Rev. (Tallahassee Memorial Healthcare, Inc. Proj.) Series 2016 A, 5% 12/1/21 | 65,000 | 68,310 | |
Tampa Bay Wtr. Reg'l. Wtr. Supply Auth. Util. Sys. Rev. Series 2005, 5.5% 10/1/22 (FGIC Insured) | 30,000 | 33,655 | |
Tampa Solid Waste Sys. Rev. Series 2013, 5% 10/1/20 (Escrowed to Maturity) (c) | 585,000 | 593,976 | |
Tampa Tax Allocation (H. Lee Moffitt Cancer Ctr. Proj.): | |||
Series 2012 A, 5% 9/1/20 | 40,000 | 40,464 | |
Series 2016 A, 5% 9/1/20 | 150,000 | 151,740 | |
Volusia County Edl. Facilities Auth. Rev. (Embry-Riddle Aeronautical Univ., Inc. Proj.) Series 2020 A: | |||
4% 10/15/21 | 390,000 | 402,246 | |
4% 10/15/22 | 300,000 | 315,480 | |
5% 10/15/23 | 590,000 | 650,788 | |
5% 10/15/24 | 1,000,000 | 1,124,320 | |
5% 10/15/25 | 1,000,000 | 1,145,460 | |
5% 10/15/26 | 750,000 | 875,663 | |
5% 10/15/27 | 165,000 | 194,542 | |
TOTAL FLORIDA | 89,707,348 | ||
Georgia - 2.8% | |||
Atlanta Arpt. Rev.: | |||
Series 2019 B, 5% 7/1/22 (c) | 445,000 | 480,524 | |
5% 1/1/22 | 20,000 | 21,326 | |
Atlanta Urban Residential Fin. Auth. Bonds: | |||
(Bethel Towers Apt. Proj.) Series 2018, 2.07%, tender 11/1/20 (a) | 10,000,000 | 10,012,015 | |
(Creekside at Adamsville Place Proj.) Series 2019, 1.95%, tender 5/1/21 (a) | 7,000,000 | 7,082,125 | |
(Herndon Square Sr. Apts. Proj.) Series 2019, 1.36%, tender 12/1/21 (a) | 3,195,000 | 3,230,848 | |
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 | 4,738,784 | |
Bartow County Dev. Auth. Poll. Cont. Rev. Bonds (Georgia Pwr. Co. Plant Bowen Proj.): | |||
Series 2009 1st, 2.75%, tender 3/15/23 (a) | 1,500,000 | 1,552,545 | |
Series 2013, 1.55%, tender 8/19/22 (a) | 2,370,000 | 2,376,352 | |
Brookhaven Dev. Auth. Rev. Series 2019 A, 5% 7/1/22 | 1,000,000 | 1,089,360 | |
Burke County Indl. Dev. Auth. Poll. Cont. Rev. Bonds: | |||
(Georgia Pwr. Co. Plant Vogtle Proj.): | |||
Series 1994, 2.25%, tender 5/25/23 (a) | 1,700,000 | 1,738,828 | |
Series 1995 5, 2.05%, tender 11/19/21 (a) | 375,000 | 378,248 | |
Series 2008, 1.65%, tender 6/18/21 (a) | 940,000 | 942,231 | |
Series 2012 1st, 1.55%, tender 8/22/22 (a) | 2,000,000 | 2,005,360 | |
Series 2013 1st, 2.925%, tender 3/12/24 (a) | 990,000 | 1,040,421 | |
(Oglethorpe Pwr. Corp. Vogtle Proj.) Series 2017 E, 3.25%, tender 2/3/25 (a) | 100,000 | 107,202 | |
Series 1996, 2.35%, tender 12/11/20 (a) | 1,485,000 | 1,492,058 | |
Clarke County Hosp. Auth. Series 2016, 5% 7/1/20 | 190,000 | 190,724 | |
Cobb County Kennestone Hosp. Auth. Rev. (Wellstar Health Sys., Inc. Proj.) Series 2017 A, 5% 4/1/21 | 100,000 | 103,172 | |
DeKalb County Hsg. Auth. Multi-family Hsg. Rev. Bonds Series 2019 A, 2%, tender 2/1/21 (a) | 9,000,000 | 9,076,725 | |
Fayette County Hosp. Auth. Rev. Bonds (Piedmont Healthcare, Inc. Proj.) Series 2019 A, 5%, tender 7/1/24 (a) | 750,000 | 861,323 | |
Fulton County Dev. Auth. Hosp. R (Wellstar Health Sys., Inc. Proj.) Series 2017 A, 5% 4/1/21 | 85,000 | 87,696 | |
Fulton County Dev. Auth. (Piedmont Healthcare, Inc. Proj.) Series 2016, 5% 7/1/20 | 130,000 | 130,496 | |
Fulton County Dev. Auth. Rev. Series 2019 C: | |||
5% 7/1/21 | 1,000,000 | 1,051,560 | |
5% 7/1/22 | 1,000,000 | 1,089,360 | |
5% 7/1/23 | 1,300,000 | 1,468,740 | |
Georgia Hsg. & Fin. Auth. Rev. Series 2016 B-2, 1.45% 6/1/20 (c) | 1,000,000 | 1,000,000 | |
Georgia Muni. Elec. Auth. Pwr. Rev.: | |||
(Combined Cycle Proj.) Series 2012 A, 5% 11/1/20 | 300,000 | 303,959 | |
Series 2008 A, 5.25% 1/1/21 | 140,000 | 142,734 | |
Series 2011 A, 5% 1/1/21 | 4,160,000 | 4,235,258 | |
Series 2011 B, 5% 1/1/21 | 450,000 | 458,141 | |
Series 2015 A, 5% 1/1/21 | 255,000 | 259,613 | |
Series 2016 A: | |||
4% 1/1/21 | 280,000 | 283,213 | |
5% 1/1/22 | 350,000 | 366,979 | |
Series 2019 A: | |||
5% 1/1/21 | 600,000 | 610,855 | |
5% 1/1/22 | 1,495,000 | 1,567,522 | |
Series C, 5% 1/1/22 | 1,200,000 | 1,258,212 | |
Series GG, 5% 1/1/21 | 255,000 | 259,688 | |
Georgia Muni. Gas Auth. Rev. (Gas Portfolio III Proj.): | |||
Series 2014 U: | |||
5% 10/1/22 | 20,000 | 22,155 | |
5% 10/1/23 | 55,000 | 63,324 | |
Series R, 5% 10/1/21 | 110,000 | 116,768 | |
Griffin-Spalding County Hosp. (Wellstar Health Sys., Inc. Proj.) Series 2017 A, 3% 4/1/21 | 35,000 | 35,533 | |
Lagrange-Troup County Hosp. Rev. (Wellstar Health Sys., Inc. Proj.) Series 2017 A, 5% 4/1/21 | 85,000 | 87,696 | |
Main Street Natural Gas, Inc.: | |||
Bonds: | |||
Series 2018 A, 4%, tender 9/1/23 (a) | 375,000 | 405,983 | |
Series 2018 E, SIFMA Municipal Swap Index + 0.570% 0.71%, tender 12/1/23 (a)(b) | 11,000,000 | 10,670,990 | |
Seroes 2018 B, 1 month U.S. LIBOR + 0.750% 0.998%, tender 9/1/23 (a)(b) | 11,500,000 | 11,151,435 | |
Series 2019 A, 5% 5/15/22 | 1,000,000 | 1,054,970 | |
Series 2019 C: | |||
5% 9/1/20 | 440,000 | 443,972 | |
5% 9/1/21 | 285,000 | 297,714 | |
Monroe County Dev. Auth. Poll. Cont. Rev.: | |||
(Georgia Pwr. Co. Plant Scherer Proj.) Series 1995, 2.25% 7/1/25 | 435,000 | 443,561 | |
Bonds: | |||
(Georgia Pwr. Co. Plant Scherer Proj.): | |||
Series 2009 1, 2.05%, tender 11/19/21 (a) | 705,000 | 711,105 | |
Series 2009, 2.35%, tender 12/11/20 (a) | 2,175,000 | 2,196,184 | |
(Gulf Pwr. Co. Plant Scherer Proj.) Series 2002 1, 2%, tender 6/25/20 (a) | 975,000 | 975,938 | |
Northwest Georgia Hsg. Auth. Multifamily Hsg. Bonds (Meadow Lane Apts. Proj.) Series 2017, 1.7%, tender 9/1/20 (a) | 1,500,000 | 1,503,132 | |
Private Colleges & Univs. Auth. Rev. (The Savannah College of Arts and Design Projs.) Series 2014, 5% 4/1/21 | 75,000 | 77,315 | |
TOTAL GEORGIA | 93,351,972 | ||
Hawaii - 0.0% | |||
Hawaii Dept. of Budget & Fin. Spl. Purp. Rev. (Queens Health Sys. Proj.) Series 2015 B, SIFMA Municipal Swap Index + 0.140% 0.59%, tender 7/1/39 (a)(b) | 575,000 | 575,000 | |
State of Hawaii Dept. of Trans. Series 2013: | |||
5% 8/1/20 (c) | 65,000 | 65,453 | |
5% 8/1/21 (c) | 10,000 | 10,490 | |
5% 8/1/21 (FSA Insured) (c) | 300,000 | 314,709 | |
5% 8/1/22 (c) | 45,000 | 48,138 | |
5% 8/1/23 (c) | 30,000 | 32,971 | |
TOTAL HAWAII | 1,046,761 | ||
Idaho - 0.2% | |||
Idaho Health Facilities Auth. Hosp. Rev. Bonds Series 2013 ID, 0.7%, tender 8/3/20 (a) | 5,500,000 | 5,499,996 | |
Idaho Health Facilities Auth. Rev. Series 2015 D, 5% 12/1/20 | 500,000 | 510,881 | |
Idaho Hsg. & Fin. Assoc. Single Family Mtg.: | |||
(Idaho St Garvee Proj.) Series 2017 A, 5% 7/15/21 | 230,000 | 241,751 | |
Series 2019 A, 4% 1/1/50 | 55,000 | 60,561 | |
TOTAL IDAHO | 6,313,189 | ||
Illinois - 4.1% | |||
Champaign County Cmnty. Unit Series 2017, 5% 1/1/21 | 355,000 | 364,374 | |
Chicago Board of Ed.: | |||
Series 1999, 0% 12/1/22 (Berkshire Hathaway Assurance Corp. Insured) (FGIC Insured) | 560,000 | 540,103 | |
Series 2019 A, 5% 12/1/23 | 1,000,000 | 1,022,410 | |
Chicago Gen. Oblig.: | |||
Series 2015 C, 5% 1/1/21 (Escrowed to Maturity) | 435,000 | 446,797 | |
Series 2020 A: | |||
3% 1/1/21 | 500,000 | 497,857 | |
5% 1/1/21 | 400,000 | 402,833 | |
5% 1/1/25 | 1,500,000 | 1,560,990 | |
Chicago Midway Arpt. Rev.: | |||
Series 2013 B: | |||
5% 1/1/22 | 110,000 | 116,008 | |
5% 1/1/23 | 130,000 | 141,374 | |
Series 2014 A: | |||
5% 1/1/22 (c) | 310,000 | 323,897 | |
5% 1/1/24 (c) | 300,000 | 332,286 | |
Series 2014 B: | |||
5% 1/1/21 | 10,000 | 10,203 | |
5% 1/1/23 | 225,000 | 244,685 | |
Chicago Motor Fuel Tax Rev. Series 2013: | |||
5% 1/1/21 | 10,000 | 10,048 | |
5% 1/1/22 | 5,000 | 5,063 | |
5% 1/1/23 | 10,000 | 10,043 | |
Chicago O'Hare Int'l. Arpt. Rev.: | |||
Series 2012 A: | |||
5% 1/1/21 | 30,000 | 30,684 | |
5% 1/1/25 (c) | 500,000 | 524,985 | |
Series 2012 B: | |||
5% 1/1/21 (c) | 100,000 | 101,967 | |
5% 1/1/22 (c) | 1,875,000 | 1,974,075 | |
Series 2013 A: | |||
5% 1/1/21 (c) | 1,800,000 | 1,835,412 | |
5% 1/1/22 (c) | 1,400,000 | 1,473,976 | |
5% 1/1/23 (c) | 1,440,000 | 1,564,070 | |
Series 2013 B, 5% 1/1/22 | 135,000 | 143,292 | |
Series 2013 C, 5% 1/1/22 (c) | 700,000 | 736,988 | |
Series 2013 D, 5% 1/1/22 | 70,000 | 74,299 | |
Series 2015 B, 5% 1/1/21 | 1,190,000 | 1,217,125 | |
Series 2017 D, 5% 1/1/27 (c) | 35,000 | 41,406 | |
Series 2018 A, 5% 1/1/21 (c) | 250,000 | 254,918 | |
Chicago Park District Gen. Oblig.: | |||
Series 2010 A, 4.5% 1/1/23 | 400,000 | 401,432 | |
Series 2015 B, 5% 1/1/21 | 425,000 | 433,961 | |
Series 2018 E, 5% 11/15/20 | 290,000 | 294,799 | |
Chicago Transit Auth. Cap. Grant Receipts Rev. Series 2017: | |||
5% 6/1/20 | 860,000 | 860,000 | |
5% 6/1/21 | 635,000 | 658,268 | |
5% 6/1/25 | 25,000 | 29,130 | |
Chicago Wastewtr. Transmission Rev. Series 2012, 5% 1/1/23 | 25,000 | 26,471 | |
Cook County Cmnty. Consolidated School District No. 59 Series 2020, 4% 3/1/22 | 480,000 | 509,794 | |
Cook County Gen. Oblig.: | |||
Series 2010 A, 5.25% 11/15/22 | 545,000 | 550,455 | |
Series 2011 A, 5.25% 11/15/22 | 20,000 | 20,634 | |
Series 2012 C: | |||
5% 11/15/20 | 155,000 | 156,731 | |
5% 11/15/21 | 120,000 | 123,610 | |
5% 11/15/22 | 590,000 | 614,692 | |
Series 2014 A: | |||
5% 11/15/20 | 20,000 | 20,223 | |
5% 11/15/21 | 35,000 | 36,053 | |
5% 11/15/22 | 30,000 | 31,256 | |
Series 2016 A, 5% 11/15/21 | 2,250,000 | 2,317,680 | |
Series 2018, 5% 11/15/20 | 615,000 | 621,867 | |
DeKalb County Cmnty. Unit Scd Series 2001, 0% 1/1/21 (AMBAC Insured) | 1,175,000 | 1,169,972 | |
Illinois Fin. Auth.: | |||
Series 2013 A: | |||
5% 6/1/23 | 345,000 | 385,051 | |
5% 6/1/23 (Escrowed to Maturity) | 55,000 | 62,548 | |
Series 2020 A: | |||
5% 8/15/21 | 1,000,000 | 1,049,050 | |
5% 8/15/22 | 750,000 | 816,128 | |
Illinois Fin. Auth. Rev.: | |||
(Bradley Univ. Proj.) Series 2017 C, 5% 8/1/26 | 35,000 | 40,878 | |
(Hosp. Sisters Svcs., Inc. Proj.) Series 2012 C, 5% 8/15/20 | 690,000 | 696,594 | |
Bonds: | |||
(Ascension Health Cr. Group Proj.) Series 2012 E2, 1.75%, tender 4/1/21 (a) | 3,030,000 | 3,053,013 | |
Series 2016 B, 1 month U.S. LIBOR + 1.350% 1.609%, tender 6/1/20 (a)(b) | 1,090,000 | 1,090,068 | |
Series 2017 B, 5%, tender 12/15/22 (a) | 265,000 | 291,786 | |
Series E, 2.25%, tender 4/29/22 (a) | 770,000 | 790,805 | |
Series 2011 IL, 5% 12/1/22 (Pre-Refunded to 12/1/21 @ 100) | 25,000 | 26,746 | |
Series 2012 A: | |||
5% 10/1/20 | 400,000 | 406,273 | |
5% 5/15/22 | 250,000 | 266,275 | |
5% 5/15/23 | 30,000 | 31,922 | |
Series 2012: | |||
5% 9/1/20 | 30,000 | 30,350 | |
5% 9/1/21 | 45,000 | 47,648 | |
5% 9/1/22 | 75,000 | 82,749 | |
Series 2015 A: | |||
5% 11/15/22 | 1,000,000 | 1,080,670 | |
5% 11/15/22 | 10,000 | 10,946 | |
5% 11/15/24 | 35,000 | 39,851 | |
5% 11/15/25 | 45,000 | 52,345 | |
5% 11/15/26 | 45,000 | 52,103 | |
Series 2015 B, 5% 11/15/24 | 45,000 | 52,327 | |
Series 2016 A: | |||
5% 8/15/20 (Escrowed to Maturity) | 10,000 | 10,096 | |
5% 2/15/21 | 15,000 | 15,422 | |
5% 8/15/21 (Escrowed to Maturity) | 15,000 | 15,861 | |
5% 2/15/23 | 20,000 | 22,113 | |
5% 8/15/23 (Escrowed to Maturity) | 35,000 | 40,130 | |
5% 8/15/24 (Escrowed to Maturity) | 50,000 | 59,484 | |
Series 2016 C: | |||
5% 2/15/22 | 225,000 | 241,625 | |
5% 2/15/23 | 700,000 | 773,143 | |
5% 2/15/24 | 115,000 | 130,928 | |
Series 2016: | |||
5% 5/15/21 | 740,000 | 763,976 | |
5% 7/1/22 | 65,000 | 71,392 | |
5% 5/15/25 | 10,000 | 11,521 | |
5% 5/15/26 | 20,000 | 23,470 | |
5% 5/15/27 | 25,000 | 29,196 | |
Series 2017 A, 5% 7/15/21 | 500,000 | 526,300 | |
Series 2017: | |||
5% 1/1/23 | 35,000 | 39,236 | |
5% 1/1/25 | 50,000 | 60,322 | |
Series 2019: | |||
5% 9/1/22 | 225,000 | 235,177 | |
5% 4/1/26 | 1,000,000 | 1,185,610 | |
Illinois Gen. Oblig.: | |||
Series 2006, 5% 6/1/21 | 405,000 | 408,802 | |
Series 2010: | |||
5% 1/1/21 (FSA Insured) | 35,000 | 35,064 | |
5% 1/1/23 (FSA Insured) | 250,000 | 250,443 | |
Series 2012 A, 4% 1/1/23 | 30,000 | 29,606 | |
Series 2012: | |||
5% 8/1/20 (FSA Insured) | 1,270,000 | 1,275,116 | |
5% 8/1/21 | 55,000 | 55,598 | |
5% 8/1/22 | 760,000 | 771,468 | |
5% 8/1/22 (FSA Insured) | 2,800,000 | 2,943,696 | |
Series 2013: | |||
5% 7/1/21 | 140,000 | 141,417 | |
5% 7/1/22 | 375,000 | 380,456 | |
Series 2014: | |||
5% 2/1/21 | 865,000 | 870,395 | |
5% 2/1/22 | 65,000 | 65,939 | |
5% 4/1/23 | 50,000 | 50,854 | |
5% 2/1/25 | 50,000 | 50,715 | |
Series 2016: | |||
5% 11/1/20 | 900,000 | 905,341 | |
5% 1/1/21 | 3,325,000 | 3,343,593 | |
5% 2/1/21 | 4,000,000 | 4,024,948 | |
5% 11/1/21 | 1,505,000 | 1,524,821 | |
5% 1/1/22 | 1,650,000 | 1,672,704 | |
5% 1/1/26 | 300,000 | 304,803 | |
5% 2/1/26 | 1,235,000 | 1,254,995 | |
Series 2017 A, 5% 12/1/23 | 750,000 | 765,660 | |
Series 2017 D: | |||
5% 11/1/20 | 9,000,000 | 9,053,411 | |
5% 11/1/21 | 2,180,000 | 2,208,711 | |
5% 11/1/23 | 420,000 | 428,560 | |
Series 2018 A: | |||
5% 10/1/20 | 4,200,000 | 4,220,597 | |
5% 5/1/21 | 1,650,000 | 1,664,162 | |
5% 10/1/21 | 1,500,000 | 1,518,585 | |
5% 10/1/26 | 1,340,000 | 1,363,906 | |
5.25% 5/1/22 | 1,500,000 | 1,531,110 | |
Series 2018 B, 5% 10/1/20 | 1,600,000 | 1,607,847 | |
Series 2019 A, 5% 11/1/20 | 4,000,000 | 4,023,738 | |
Series 2019 B, 5% 9/1/20 | 1,260,000 | 1,264,590 | |
Series 2020 May: | |||
4.875% 5/1/21 | 1,350,000 | 1,359,727 | |
5.125% 5/1/22 | 275,000 | 280,077 | |
Illinois Health Facilities Auth. Rev. Series 2003, 1.6% 11/15/22 | 185,000 | 187,155 | |
Illinois Muni. Elec. Agcy. Pwr. Supply Series 2015 A: | |||
5% 2/1/21 | 470,000 | 484,253 | |
5% 2/1/22 | 640,000 | 688,326 | |
5% 2/1/23 | 25,000 | 27,992 | |
Illinois Reg'l. Trans. Auth.: | |||
Series 1994 C, 7.75% 6/1/20 (FGIC Insured) | 1,000,000 | 1,000,000 | |
Series 2000, 6.25% 7/1/20 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 650,000 | 652,685 | |
Series 2002 A, 6% 7/1/21 | 460,000 | 484,040 | |
Series 2010A, 5% 7/1/20 | 465,000 | 466,162 | |
Series 2017 A: | |||
5% 7/1/20 | 210,000 | 210,794 | |
5% 7/1/21 | 210,000 | 220,521 | |
Illinois Sales Tax Rev.: | |||
Series 2011, 4% 6/15/20 | 1,635,000 | 1,635,419 | |
Series 2013, 5% 6/15/20 | 2,380,000 | 2,381,455 | |
Series 2016 D, 5% 6/15/23 | 1,500,000 | 1,533,870 | |
Illinois State Univ. Revs. Series 2018 A, 5% 4/1/23 (FSA Insured) | 290,000 | 321,480 | |
Illinois Toll Hwy. Auth. Toll Hwy. Rev. Series 2014 A: | |||
5% 12/1/20 | 2,600,000 | 2,655,264 | |
5% 12/1/21 | 690,000 | 733,580 | |
5% 12/1/22 | 1,090,000 | 1,201,998 | |
Kane County School District #129, Aurora West Side Series 2014 A, 2.75% 2/1/22 | 1,000,000 | 1,030,980 | |
Kane County School District No. 131: | |||
Series 2020 A: | |||
3% 12/1/21 (FSA Insured) | 355,000 | 369,143 | |
4% 12/1/22 (FSA Insured) | 235,000 | 256,040 | |
5% 12/1/23 (FSA Insured) | 290,000 | 335,170 | |
Series 2020 B: | |||
3% 12/1/21 (FSA Insured) | 510,000 | 530,318 | |
4% 12/1/22 (FSA Insured) | 435,000 | 473,946 | |
Kendall, Kane & Will Counties Cmnty. Unit School District #308 Series 2011, 5.5% 2/1/23 | 550,000 | 617,309 | |
McHenry County Cmnty. School District #200 Series 2006 B: | |||
0% 1/15/24 | 105,000 | 101,348 | |
0% 1/15/25 | 110,000 | 104,487 | |
0% 1/15/26 | 80,000 | 74,419 | |
McHenry County Conservation District Gen. Oblig. Series 2014, 5% 2/1/23 | 50,000 | 55,997 | |
Metropolitan Pier & Exposition: | |||
Series 1994, 0% 6/15/21 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 470,000 | 457,299 | |
Series 2012 B, 5% 12/15/22 | 1,655,000 | 1,688,083 | |
Northern Illinois Univ. Revs. Series 2020 B, 5% 4/1/22 (Build America Mutual Assurance Insured) | 250,000 | 264,895 | |
Railsplitter Tobacco Settlement Auth. Rev.: | |||
Series 2010: | |||
5.25% 6/1/20 | 4,695,000 | 4,695,000 | |
5.25% 6/1/21 | 500,000 | 520,165 | |
Series 2017: | |||
5% 6/1/22 | 1,920,000 | 2,063,059 | |
5% 6/1/23 | 1,900,000 | 2,106,302 | |
Rockford Park District Series 2019 B, 3% 12/15/20 | 1,165,000 | 1,178,996 | |
Skokie Pk District Series 2003, 0% 12/1/22 | 1,830,000 | 1,784,817 | |
Univ. of Illinois Board of Trustees Ctfs. of Prtn.: | |||
Series 2014 A, 5% 10/1/20 | 325,000 | 328,488 | |
Series 2014 C, 5% 3/15/23 | 265,000 | 290,350 | |
Univ. of Illinois Rev.: | |||
Series 2005 A, 5.5% 4/1/21 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 700,000 | 721,591 | |
Series 2011 A, 5% 4/1/21 | 250,000 | 256,685 | |
Series 2011, 5% 4/1/22 | 350,000 | 359,272 | |
Series 2018 A, 5% 4/1/22 | 1,000,000 | 1,057,900 | |
Series 2019 A, 5% 4/1/22 | 485,000 | 513,082 | |
Waukegan Gen. Oblig.: | |||
Series 2018 A: | |||
3% 12/30/20 (FSA Insured) | 1,000,000 | 1,014,228 | |
4% 12/30/21 (FSA Insured) | 410,000 | 432,058 | |
4% 12/30/22 (FSA Insured) | 425,000 | 460,551 | |
Series 2018 B, 4% 12/30/22 (FSA Insured) | 400,000 | 434,212 | |
Western Illinois Univ. Board Rev. Series 2020, 4% 4/1/22 | 1,200,000 | 1,267,596 | |
Whiteside & Lee Counties Cmnty. Unit School District Series 2018 A, 4% 12/1/21 | 1,325,000 | 1,391,634 | |
Will County Cmnty. Consolidated School District Series 2013, 2.3% 1/1/21 | 2,950,000 | 2,982,465 | |
Will County Cmnty. Unit School District No. 200-U Series 2012, 4% 11/1/20 | 1,910,000 | 1,937,758 | |
TOTAL ILLINOIS | 138,282,416 | ||
Indiana - 1.3% | |||
Indiana Bond Bank Series 2020 A, 3% 1/11/21 | 5,000,000 | 5,078,905 | |
Indiana Dev. Fin. Auth. Solid Waste Disp. Rev. Bonds (Waste Mgmt., Inc. Proj.) Series 2001, 2.95%, tender 10/1/21 (a)(c) | 500,000 | 508,180 | |
Indiana Fin. Auth. Econ. Dev. Rev. Bonds (Republic Svcs., Inc. Proj.) Series A, 1.15%, tender 6/1/20 (a)(c) | 3,000,000 | 3,000,000 | |
Indiana Fin. Auth. Health Sys. Rev. Bonds Series 2019 B, 2.25%, tender 7/1/25 (a) | 710,000 | 736,185 | |
Indiana Fin. Auth. Hosp. Rev.: | |||
Bonds: | |||
Series 2011 H, 1.65%, tender 7/1/22 (a) | 3,300,000 | 3,360,258 | |
Series 2011 L: | |||
SIFMA Municipal Swap Index + 0.280% 0.42%, tender 7/2/21 (a)(b) | 3,300,000 | 3,277,263 | |
SIFMA Municipal Swap Index + 0.280% 0.42%, tender 7/2/21 (a)(b) | 3,500,000 | 3,475,885 | |
Series 2015 B, 1.65%, tender 7/2/22 (a) | 1,190,000 | 1,207,755 | |
Series 2013: | |||
5% 8/15/22 | 15,000 | 16,433 | |
5% 8/15/23 | 20,000 | 22,692 | |
Indiana Fin. Auth. Rev.: | |||
(Butler Univ. Proj.) Series 2019: | |||
3% 2/1/22 | 210,000 | 214,561 | |
3% 2/1/23 | 225,000 | 231,489 | |
4% 2/1/24 | 200,000 | 213,668 | |
4% 2/1/25 | 275,000 | 296,945 | |
(DePauw Univ. Proj.) Series 2019: | |||
5% 7/1/20 | 450,000 | 451,208 | |
5% 7/1/21 | 565,000 | 585,120 | |
5% 7/1/22 | 600,000 | 639,690 | |
Series 2012, 5% 3/1/21 (Escrowed to Maturity) | 25,000 | 25,892 | |
Series 2016, 4% 9/1/20 | 130,000 | 131,132 | |
Indiana Fin. Auth. Wastewtr. Util. Rev. (CWA Auth. Proj.): | |||
Series 2012 A: | |||
5% 10/1/20 | 20,000 | 20,312 | |
5% 10/1/22 | 35,000 | 38,728 | |
Series 2014 A: | |||
5% 10/1/20 | 10,000 | 10,156 | |
5% 10/1/21 | 10,000 | 10,621 | |
5% 10/1/22 | 15,000 | 16,616 | |
Series 2015 A: | |||
5% 10/1/24 | 35,000 | 41,724 | |
5% 10/1/25 | 35,000 | 41,732 | |
Indiana Health Facility Fing. Auth. Rev. Bonds: | |||
Series 2001 A2, 2%, tender 2/1/23 (a) | 155,000 | 160,416 | |
Series 2005 A-5, 1.35%, tender 8/4/20 (a) | 2,430,000 | 2,432,116 | |
Series 2017, 1.35%, tender 8/4/20 (a) | 155,000 | 155,135 | |
Indianapolis Local Pub. Impt.: | |||
(Indianapolis Arpt. Auth. Proj.) Series 2016 A1: | |||
5% 1/1/21 (c) | 960,000 | 981,316 | |
5% 1/1/23 (c) | 45,000 | 48,699 | |
5% 1/1/24 (c) | 60,000 | 66,634 | |
5% 1/1/25 (c) | 65,000 | 73,852 | |
Series 2019, 1.45% 6/1/21 | 3,000,000 | 3,002,062 | |
Indianapolis Multifamily Hsg. Rev. Bonds Series A, 1.4%, tender 9/1/21 (a) | 4,000,000 | 4,038,800 | |
Lafayette School Corp. Series 2019: | |||
4% 7/15/20 | 415,000 | 416,664 | |
4% 1/15/21 | 425,000 | 433,651 | |
Lake Central Multi-District School Bldg. Corp. Series 2012 B: | |||
4% 1/15/21 | 25,000 | 25,533 | |
5% 7/15/20 | 25,000 | 25,133 | |
5% 7/15/21 | 20,000 | 20,989 | |
Michigan City School Bldg. Corp. (Michigan Gen. Oblig. Proj.) Series 2016 A, 5% 7/15/20 | 530,000 | 532,886 | |
Mount Vernon Ind. Envir. Bonds (Southern Indiana Gas & Elec. Co. Proj.) Series 2015, 2.375%, tender 9/1/20 (a)(c) | 1,000,000 | 999,804 | |
Purdue Univ. Rev. Series 2012 AA, 5% 7/1/27 | 255,000 | 280,301 | |
Whiting Envir. Facilities Rev.: | |||
(BP Products North America, Inc. Proj.) Series 2009, 5.25% 1/1/21 | 1,825,000 | 1,861,707 | |
Bonds (BP Products North America, Inc. Proj.): | |||
Series 2015, 5%, tender 11/1/22 (a)(c) | 980,000 | 1,044,386 | |
Series 2016 A, 5%, tender 3/1/23 (a)(c) | 500,000 | 536,275 | |
Series 2019 A, 5%, tender 6/5/26 (a)(c) | 1,640,000 | 1,875,274 | |
TOTAL INDIANA | 42,664,783 | ||
Iowa - 0.2% | |||
Iowa Fin. Auth. Rev. Series 2018 B, 5% 2/15/22 | 540,000 | 582,590 | |
Iowa Fin. Auth. Single Family Mtg. Bonds Series 2018 B, SIFMA Municipal Swap Index + 0.300% 0.44%, tender 6/4/20 (a)(b) | 3,500,000 | 3,486,714 | |
Iowa Student Ln. Liquidity Corp. Student Ln. Rev.: | |||
Series 2015 A, 5% 12/1/21 (c) | 1,000,000 | 1,044,390 | |
Series 2018 A: | |||
5% 12/1/20 (c) | 500,000 | 507,484 | |
5% 12/1/21 (c) | 500,000 | 522,195 | |
5% 12/1/22 (c) | 725,000 | 777,287 | |
Series 2019 B, 5% 12/1/23 (c) | 600,000 | 658,560 | |
TOTAL IOWA | 7,579,220 | ||
Kansas - 0.2% | |||
Desoto Usd # 232 Series 2015 A, 5% 9/1/22 | 35,000 | 38,700 | |
Kansas Dept. of Trans. Hwy. Rev.: | |||
Series 2004 C1, 1 month U.S. LIBOR + 0.300% 0.559% 9/1/21 (a)(b) | 5,000,000 | 4,971,928 | |
Series 2018 A, 5% 9/1/20 | 1,020,000 | 1,032,272 | |
Univ. of Kansas Hosp. Auth. Health Facilities Rev. Series 2019 B, 5% 3/1/21 | 500,000 | 517,179 | |
Wichita Health Care Facilities Series III, 4% 5/15/21 | 455,000 | 450,268 | |
Wyandotte County/Kansas City Unified Govt. Util. Sys. Rev. Series 2016 A: | |||
5% 9/1/22 | 10,000 | 11,033 | |
5% 9/1/23 | 15,000 | 17,185 | |
5% 9/1/25 | 15,000 | 18,245 | |
TOTAL KANSAS | 7,056,810 | ||
Kentucky - 1.9% | |||
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 | 33,305 | |
(Ashland Hosp. Corp. D/B/A Kings Daughters Med. Ctr. Proj.) Series 2016 A, 5% 2/1/25 | 20,000 | 22,697 | |
Series 2019: | |||
5% 2/1/21 | 385,000 | 393,266 | |
5% 2/1/22 | 500,000 | 526,510 | |
Carroll County Envir. Facilities Rev. Bonds (Kentucky Utils. Co. Proj.) Series 2008 A, 1.2%, tender 6/1/21 (a)(c) | 930,000 | 923,963 | |
Kenton County Arpt. Board Arpt. Rev. Series 2016, 5% 1/1/22 | 285,000 | 304,369 | |
Kentucky Bond Dev. Corp. (Lexington Ctr. Corp. Proj.) Series 2018 A, 5% 9/1/21 | 435,000 | 459,586 | |
Kentucky Econ. Dev. Fin. Auth. Bonds Series 2009 B, 2.7%, tender 11/10/21 (a) | 345,000 | 353,856 | |
Kentucky Econ. Dev. Fin. Auth. Hosp. Rev. Series 2017 A: | |||
5% 6/1/20 | 110,000 | 110,000 | |
5% 6/1/21 | 230,000 | 235,467 | |
Kentucky Higher Ed. Student Ln. Corp. Rev.: | |||
Series 2019 A1 5% 6/1/23 (c) | 250,000 | 275,900 | |
Series 2019 A1, 5% 6/1/22 (c) | 200,000 | 214,080 | |
Kentucky Hsg. Corp. Hsg. Rev. Bonds (Westminster Village Proj.) Series 2019, 2%, tender 4/1/21 (a) | 2,000,000 | 2,027,508 | |
Kentucky Hsg. Corp. Multi-family Rev. Bonds (City View Park Proj.) Series 2020, 1.16%, tender 8/1/22 (a) | 4,000,000 | 4,035,600 | |
Kentucky State Property & Buildings Commission Rev.: | |||
(Kentucky St Proj.) Series D, 5% 5/1/21 | 530,000 | 549,234 | |
(Kentucky St Proj.): | |||
Series 2005 5% 8/1/21 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 3,050,000 | 3,190,422 | |
Series 2005, 5% 8/1/20 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 460,000 | 463,013 | |
(Proj. No. 100) Series 2011 A, 5% 8/1/20 | 1,155,000 | 1,162,566 | |
(Proj. No. 98) Series 2010: | |||
4% 8/1/20 | 775,000 | 778,813 | |
5% 8/1/21 | 2,055,000 | 2,068,727 | |
Series 2002, 5.5% 8/1/21 (AMBAC Insured) | 515,000 | 541,682 | |
Series 2005, 5% 8/1/22 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 250,000 | 270,885 | |
Series 2015 B, 5% 8/1/20 | 915,000 | 920,994 | |
Series 2015, 4% 8/1/20 | 300,000 | 301,476 | |
Series 2017: | |||
5% 4/1/21 | 600,000 | 619,793 | |
5% 4/1/22 | 400,000 | 428,716 | |
Series 2018: | |||
5% 5/1/21 | 1,145,000 | 1,186,552 | |
5% 5/1/23 | 1,415,000 | 1,565,938 | |
Series A: | |||
5% 10/1/21 | 255,000 | 268,375 | |
5% 11/1/21 | 350,000 | 369,502 | |
5% 8/1/22 | 590,000 | 616,633 | |
5% 11/1/25 | 350,000 | 406,844 | |
Series B: | |||
5% 11/1/20 | 3,200,000 | 3,252,972 | |
5% 11/1/21 | 975,000 | 1,029,327 | |
5% 8/1/22 | 910,000 | 987,450 | |
5% 8/1/23 | 2,120,000 | 2,363,927 | |
Series C, 5% 11/1/21 | 975,000 | 1,029,327 | |
Kentucky, Inc. Pub. Energy: | |||
Bonds Series 2019 A1, 4%, tender 6/1/25 (a) | 1,000,000 | 1,089,990 | |
Series 2018 B: | |||
4% 7/1/20 | 1,000,000 | 1,002,114 | |
4% 7/1/21 | 1,350,000 | 1,386,720 | |
Series A: | |||
4% 6/1/21 | 270,000 | 276,927 | |
4% 12/1/22 | 350,000 | 369,919 | |
Louisville & Jefferson County: | |||
Bonds: | |||
Series 2020 B, 5%, tender 10/1/23 (a) | 840,000 | 925,084 | |
Series 2020 C, 5%, tender 10/1/26 (a) | 2,015,000 | 2,342,035 | |
Series 2016 A, 5% 10/1/22 | 200,000 | 217,492 | |
Louisville Reg'l. Arpt. Auth. Sys. Rev. Series 2014 A: | |||
5% 7/1/21 (c) | 1,250,000 | 1,305,538 | |
5% 7/1/23 (c) | 1,750,000 | 1,951,583 | |
5% 7/1/24 (c) | 155,000 | 177,613 | |
Louisville/Jefferson County Metropolitan Gov. Series 2012 A: | |||
5% 12/1/28 (Pre-Refunded to 6/1/22 @ 100) | 55,000 | 59,982 | |
5% 12/1/29 (Pre-Refunded to 6/1/22 @ 100) | 230,000 | 250,833 | |
Louisville/Jefferson County Metropolitan Govt. Poll. Cont. Rev. Bonds (Louisville Gas and Elec. Co. Proj.): | |||
Series 2001 B, 2.55%, tender 5/3/21 (a) | 2,000,000 | 2,031,992 | |
Series 2007 A, 1.65%, tender 6/1/21 (a) | 7,250,000 | 7,313,981 | |
Series 2007 B, 1.65%, tender 6/1/21 (a) | 2,000,000 | 2,017,650 | |
Paducah Elec. Plant Board Rev. Series 2019, 5% 10/1/22 | 2,005,000 | 2,208,688 | |
Trimble County Poll. Cont. Rev. Bonds (Louisville Gas and Elec. Co. Proj.): | |||
Series 2001 A, 2.3%, tender 9/1/21 (a) | 600,000 | 611,448 | |
Series 2001 B, 2.55%, tender 5/3/21 (a) | 2,590,000 | 2,631,429 | |
Univ. Louisville Revs. Series 2016 C, 3% 9/1/21 | 780,000 | 805,007 | |
TOTAL KENTUCKY | 63,265,300 | ||
Louisiana - 0.5% | |||
Louisiana Citizens Property Ins. Corp. Assessment Rev. Series 2015, 5% 6/1/21 (FSA Insured) | 1,770,000 | 1,847,316 | |
Louisiana Gen. Oblig.: | |||
Series 2012 A, 5% 8/1/22 | 35,000 | 38,431 | |
Series 2014 D1, 5% 12/1/22 | 30,000 | 33,375 | |
Series 2016 B: | |||
5% 8/1/22 | 310,000 | 341,096 | |
5% 8/1/23 | 135,000 | 153,556 | |
Series 2016 D: | |||
5% 9/1/22 | 140,000 | 154,232 | |
5% 9/1/24 | 155,000 | 183,260 | |
Louisiana Hsg. Corp. Multifamily Hsg. Rev. Bonds Series 2018, 2.4%, tender 6/1/20 (a) | 7,000,000 | 7,000,000 | |
Louisiana Offshore Term. Auth. Deepwater Port Rev. Bonds Series 2010 B-1A, 2%, tender 10/1/22 (a) | 815,000 | 807,037 | |
Louisiana Pub. Facilities Auth. Rev. Series 2009 A, 5.25% 7/1/20 (Escrowed to Maturity) | 870,000 | 873,356 | |
Louisiana Stadium and Exposition District Series 2013 A: | |||
5% 7/1/21 | 35,000 | 35,678 | |
5% 7/1/22 | 20,000 | 20,609 | |
New Orleans Aviation Board Rev.: | |||
(North Term. Proj.) Series 2017 B: | |||
5% 1/1/22 (c) | 280,000 | 297,654 | |
5% 1/1/23 (c) | 1,055,000 | 1,153,484 | |
5% 1/1/24 (c) | 5,000 | 5,631 | |
5% 1/1/25 (c) | 5,000 | 5,781 | |
5% 1/1/26 (c) | 10,000 | 11,811 | |
Series 2017 D2: | |||
5% 1/1/21 (c) | 290,000 | 296,781 | |
5% 1/1/22 (c) | 345,000 | 366,752 | |
5% 1/1/23 (c) | 10,000 | 10,934 | |
5% 1/1/24 (c) | 15,000 | 16,892 | |
5% 1/1/25 (c) | 10,000 | 11,562 | |
St. John Baptist Parish Rev. Bonds (Marathon Oil Corp.) Series 2017, 2%, tender 4/1/23 (a) | 2,780,000 | 2,613,339 | |
St. Tammany Parish Hosp. Svc. (St. Tammany Parish Hosp. Proj.) Series 2011, 4.5% 7/1/21 (Escrowed to Maturity) | 600,000 | 627,366 | |
Tobacco Settlement Fing. Corp. Series 2013 A: | |||
5% 5/15/21 | 435,000 | 445,484 | |
5% 5/15/23 | 100,000 | 107,013 | |
TOTAL LOUISIANA | 17,458,430 | ||
Maine - 0.0% | |||
Maine Fin. Auth. Student Ln. Rev. Series 2019 A, 5% 12/1/23 (FSA Insured) (c) | 500,000 | 561,200 | |
Maine Health & Higher Edl. Facilities Auth. Rev.: | |||
(Univ. of New England Proj.) Series 2017 A, 4% 7/1/20 | 250,000 | 250,471 | |
Series 2017 B, 4% 7/1/21 | 85,000 | 87,121 | |
Maine Tpk. Auth. Tpk. Rev. Series 2015: | |||
5% 7/1/21 | 50,000 | 52,556 | |
5% 7/1/22 | 40,000 | 43,819 | |
TOTAL MAINE | 995,167 | ||
Maryland - 1.0% | |||
Baltimore County Gen. Oblig. Series 2020: | |||
4% 1/1/21 | 650,000 | 656,628 | |
4% 1/1/22 | 830,000 | 852,418 | |
Baltimore Gen. Oblig. Series 2017 B, 5% 10/15/20 | 360,000 | 366,486 | |
Baltimore Proj. Rev. Series 2017 D: | |||
5% 7/1/24 | 70,000 | 82,472 | |
5% 7/1/25 | 75,000 | 91,185 | |
County Commissioners of Charles County Consolidated Series 2018, 5% 10/1/20 | 2,990,000 | 3,038,304 | |
Howard County Gen. Oblig. Series A: | |||
5% 8/15/21 | 100,000 | 105,838 | |
5% 8/15/22 | 1,000,000 | 1,106,020 | |
Maryland Health & Higher Edl. Facilities Auth. Rev.: | |||
Series 2015: | |||
5% 7/1/22 | 20,000 | 21,571 | |
5% 7/1/23 | 20,000 | 22,272 | |
5% 7/1/24 | 45,000 | 51,584 | |
5% 7/1/25 | 40,000 | 46,819 | |
Series 2017, 5% 7/1/20 | 1,330,000 | 1,335,082 | |
Series 2019 A: | |||
5% 10/1/20 | 500,000 | 505,517 | |
5% 10/1/21 | 380,000 | 396,576 | |
Series 2020 A: | |||
3% 7/1/21 | 210,000 | 214,068 | |
4% 7/1/22 | 100,000 | 105,634 | |
Series 2020 B: | |||
5% 4/15/21 | 440,000 | 455,545 | |
5% 4/15/23 | 675,000 | 748,602 | |
Maryland St Cmnty. Dev. Admin Dept. Hsg. & Cmnty. Dev. Series 2019 B: | |||
1.55% 9/1/20 | 1,020,000 | 1,023,096 | |
1.6% 3/1/21 | 1,390,000 | 1,402,221 | |
4% 9/1/49 | 280,000 | 308,641 | |
Maryland-Nat'l. Cap. Park and Planning Commission Series 2018 A, 5% 11/1/20 | 675,000 | 688,654 | |
Montgomery County Gen. Oblig. Bonds Series 2013 MD, 1.12%, tender 6/1/20 (a) | 18,600,000 | 18,600,000 | |
TOTAL MARYLAND | 32,225,233 | ||
Massachusetts - 0.8% | |||
Massachusetts Dept. of Trans. Metropolitan Hwy. Sys. Rev. Series 2019 C, 5% 1/1/21 | 2,500,000 | 2,568,843 | |
Massachusetts Dev. Fin. Agcy. Rev.: | |||
(Lesley Univ. Proj.) Series 2016, 5% 7/1/20 | 260,000 | 260,719 | |
Bonds Series S3, SIFMA Municipal Swap Index + 0.500% 0.64%, tender 1/26/23 (a)(b) | 3,400,000 | 3,363,960 | |
Series 2011, 7.25% 1/1/32 (Pre-Refunded to 1/1/21 @ 100) | 1,700,000 | 1,768,680 | |
Series 2016 A, 5% 7/15/22 | 30,000 | 33,091 | |
Series 2016 I: | |||
5% 7/1/21 | 10,000 | 10,414 | |
5% 7/1/22 | 15,000 | 16,178 | |
5% 7/1/23 | 15,000 | 16,704 | |
5% 7/1/24 | 25,000 | 28,658 | |
5% 7/1/25 | 20,000 | 23,409 | |
5% 7/1/26 | 20,000 | 23,892 | |
Series 2019 A: | |||
5% 7/1/20 | 450,000 | 451,393 | |
5% 7/1/21 | 200,000 | 208,082 | |
5% 7/1/22 | 450,000 | 484,182 | |
5% 7/1/24 | 155,000 | 176,488 | |
Massachusetts Edl. Fing. Auth. Rev.: | |||
Series 2011 J, 5.125% 7/1/22 (c) | 2,080,000 | 2,152,800 | |
Series 2015 A, 5% 1/1/22 (c) | 600,000 | 629,790 | |
Series 2016 J: | |||
5% 7/1/21 (c) | 1,465,000 | 1,514,883 | |
5% 7/1/22 (c) | 1,475,000 | 1,569,769 | |
5% 7/1/23 (c) | 725,000 | 792,135 | |
Series 2016, 4% 7/1/20 (c) | 1,950,000 | 1,953,404 | |
Series 2017 A, 4% 7/1/20 (c) | 95,000 | 95,166 | |
Massachusetts Gen. Oblig. Bonds: | |||
Series 2014 D1, 1.05%, tender 7/1/20 (a) | 700,000 | 700,297 | |
Series D2, 1.7%, tender 8/1/22 (a) | 250,000 | 256,760 | |
Massachusetts Health & Edl. Facilities Auth. Rev. (Partners Healthcare Sys., Inc. Proj.) Series 2007 G2, 1.05%, tender 6/5/20 (FSA Insured) (a) | 3,930,000 | 3,930,000 | |
Massachusetts Hsg. Fin. Agcy. Hsg. Rev.: | |||
Bonds Series 2017, 1.5%, tender 6/1/20 (a) | 340,000 | 340,175 | |
Series 2013 163, 2.5% 6/1/20 (c) | 1,235,000 | 1,235,000 | |
Massachusetts Port Auth. Rev.: | |||
Series 2017 A: | |||
5% 7/1/24 (c) | 65,000 | 74,595 | |
5% 7/1/25 (c) | 25,000 | 29,369 | |
Series 2019 A, 5% 7/1/20 (c) | 2,250,000 | 2,258,171 | |
TOTAL MASSACHUSETTS | 26,967,007 | ||
Michigan - 1.8% | |||
Clarkston Cmnty. Schools 5% 5/1/22 | 35,000 | 38,017 | |
Detroit Downtown Dev. Auth. Tax: | |||
Series 1, 5% 7/1/22 (FSA Insured) | 500,000 | 545,005 | |
Series A, 5% 7/1/25 (FSA Insured) | 550,000 | 638,325 | |
Detroit Swr. Disp. Rev. Series 2006 D, 3 month U.S. LIBOR + 0.600% 1.56% 7/1/32 (a)(b) | 90,000 | 88,016 | |
Ferris State Univ. Rev. Series 2016, 5% 10/1/20 | 140,000 | 141,874 | |
Grand Blanc Cmnty. Schools Series 2013: | |||
5% 5/1/21 | 45,000 | 46,886 | |
5% 5/1/22 | 40,000 | 43,448 | |
Grand Rapids Pub. Schools 5% 5/1/23 (FSA Insured) | 30,000 | 33,994 | |
Huron Valley School District Series 2011: | |||
5% 5/1/21 | 685,000 | 712,746 | |
5% 5/1/22 | 450,000 | 469,202 | |
Kalamazoo Hosp. Fin. Auth. Hosp. Facilities Rev. Series 2016: | |||
5% 5/15/22 | 20,000 | 21,479 | |
5% 5/15/24 | 10,000 | 11,423 | |
5% 5/15/25 | 15,000 | 17,507 | |
5% 5/15/26 | 15,000 | 17,872 | |
Kent Hosp. Fin. Auth. Hosp. Facilities Rev. (Spectrum Health Sys. Proj.) Series 2011 A, 5% 11/15/20 | 165,000 | 168,178 | |
Michigan Bldg. Auth. Rev.: | |||
(Facilities Prog.) Series 2016 I: | |||
5% 4/15/22 | 455,000 | 495,372 | |
5% 4/15/24 | 30,000 | 35,232 | |
Series I, 5% 10/15/20 | 2,000,000 | 2,035,506 | |
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 | 1,267,058 | |
Series 2014 D1, 5% 7/1/22 (FSA Insured) | 2,845,000 | 3,121,022 | |
(Mclaren Health Care Corp. Proj.) 5% 5/15/21 | 145,000 | 150,627 | |
Bonds: | |||
Series 2013 M1, 1.12%, tender 6/1/20 (a) | 7,500,000 | 7,500,000 | |
Series 2016 MI2, SIFMA Municipal Swap Index + 0.480% 0.62%, tender 2/1/22 (a)(b) | 5,000,000 | 4,915,500 | |
Series 2019 B, 3.5%, tender 11/15/22 (a) | 5,750,000 | 6,117,483 | |
Series 2019 MI2, 5%, tender 2/1/25 (a) | 1,605,000 | 1,902,439 | |
Series 2012, 5% 11/1/22 | 350,000 | 382,613 | |
Series 2015 A: | |||
5% 8/1/22 | 1,050,000 | 1,138,190 | |
5% 8/1/23 | 260,000 | 291,208 | |
Series 2015 MI, 5% 12/1/22 | 300,000 | 329,964 | |
Michigan Gen. Oblig. Series 2016: | |||
5% 3/15/21 | 275,000 | 284,695 | |
5% 3/15/22 | 50,000 | 53,968 | |
5% 3/15/23 | 85,000 | 95,313 | |
Michigan Hosp. Fin. Auth. Rev.: | |||
Bonds: | |||
(Ascension Health Cr. Group Proj.) Series F5, 2.4%, tender 3/15/23 (a) | 80,000 | 83,380 | |
Series 2010 F1, 4%, tender 6/1/23 (a) | 200,000 | 219,636 | |
Series 2005 A4, 5% 11/1/21 | 3,805,000 | 4,051,526 | |
Series 2008 C: | |||
5% 12/1/20 | 500,000 | 510,881 | |
5% 12/1/21 | 500,000 | 532,355 | |
Michigan Strategic Fund Ltd. Oblig. Rev.: | |||
Bonds: | |||
Series 2008 ET2, 1.45%, tender 9/1/21 (a) | 2,700,000 | 2,716,362 | |
Series CC, 1.45%, tender 9/1/21 (a) | 155,000 | 155,939 | |
Series 2019, 4% 11/15/22 | 730,000 | 728,635 | |
Michigan Trunk Line Fund Rev. Series 2020 A: | |||
5% 11/15/20 | 2,000,000 | 2,041,849 | |
5% 11/15/21 | 1,500,000 | 1,599,390 | |
Novi Cmnty. School District Series I, 4% 5/1/23 | 550,000 | 608,493 | |
Oakland Univ. Rev. Series 2016, 5% 3/1/22 | 385,000 | 415,804 | |
Portage Pub. Schools Series 2016: | |||
5% 5/1/23 | 45,000 | 50,614 | |
5% 11/1/23 | 30,000 | 34,338 | |
5% 5/1/24 | 40,000 | 46,558 | |
5% 11/1/24 | 45,000 | 53,208 | |
5% 5/1/25 | 25,000 | 30,005 | |
5% 11/1/25 | 25,000 | 30,412 | |
5% 11/1/28 | 20,000 | 24,456 | |
Royal Oak City School District Series 2018: | |||
5% 5/1/21 | 250,000 | 260,856 | |
5% 5/1/22 | 440,000 | 479,345 | |
Royal Oak Hosp. Fin. Auth. Hosp. Rev. Series 2014 D: | |||
5% 9/1/21 | 35,000 | 36,748 | |
5% 9/1/23 | 10,000 | 11,229 | |
Saginaw Hosp. Fin. Auth. Hosp. Rev. Series 2020 J: | |||
5% 7/1/21 | 285,000 | 299,598 | |
5% 7/1/22 | 455,000 | 491,810 | |
5% 7/1/23 | 250,000 | 279,280 | |
Spring Lake Pub. Schools 5% 5/1/21 | 90,000 | 93,773 | |
Wayne County Arpt. Auth. Rev.: | |||
Series 2011 A: | |||
4.125% 12/1/22 (FSA Insured) (c) | 530,000 | 548,789 | |
5% 12/1/21 (c) | 8,505,000 | 8,938,925 | |
Series 2012 B: | |||
5% 12/1/20 (c) | 300,000 | 305,182 | |
5% 12/1/22 (c) | 485,000 | 525,042 | |
Series 2017 A, 5% 12/1/20 | 155,000 | 157,966 | |
Series 2017 B: | |||
5% 12/1/20 (c) | 355,000 | 361,132 | |
5% 12/1/21 (c) | 300,000 | 315,306 | |
Zeeland Pub. Schools Series 2015, 5% 5/1/21 | 445,000 | 463,863 | |
TOTAL MICHIGAN | 60,612,847 | ||
Minnesota - 0.7% | |||
Apple Valley Sr. Living Series 2016 B: | |||
4% 1/1/21 | 150,000 | 146,481 | |
4% 1/1/22 | 155,000 | 145,478 | |
Maple Grove Health Care Sys. Rev. Series 2017: | |||
4% 5/1/21 | 110,000 | 112,557 | |
4% 5/1/22 | 110,000 | 115,147 | |
5% 5/1/23 | 110,000 | 120,540 | |
Minneapolis & Saint Paul Metropolitan Arpts. Commission Arpt. Rev.: | |||
Series 2014 A: | |||
5% 1/1/22 | 20,000 | 21,245 | |
5% 1/1/23 | 20,000 | 21,974 | |
Series 2014 B: | |||
5% 1/1/21 (c) | 50,000 | 51,081 | |
5% 1/1/22 (c) | 45,000 | 47,618 | |
5% 1/1/23 (c) | 20,000 | 21,819 | |
Series 2019 B: | |||
5% 1/1/21 (c) | 8,000,000 | 8,172,914 | |
5% 1/1/22 (c) | 3,000,000 | 3,174,510 | |
Minneapolis Multi-family Rev. Bonds Series 2019, 1.55%, tender 11/1/21 (a) | 4,050,000 | 4,098,155 | |
Minnesota Hsg. Fin. Agcy. Bonds Series 2018 D, SIFMA Municipal Swap Index + 0.430% 0.57%, tender 7/3/23 (a)(b) | 3,000,000 | 2,961,720 | |
Minnesota Rural Wtr. Fin. Auth. Series 2020, 1% 8/1/21 | 2,000,000 | 2,009,280 | |
Moorhead Edl. Facilities Rev. (The Concordia College Corp. Proj.) Series 2016, 5% 12/1/25 | 65,000 | 70,546 | |
Northern Muni. Pwr. Agcy. Elec. Sys. Rev. Series 2017: | |||
5% 1/1/22 | 25,000 | 26,864 | |
5% 1/1/23 | 25,000 | 27,950 | |
5% 1/1/24 | 35,000 | 40,572 | |
Rochester Health Care Facilities Rev. Bonds (Mayo Foundation Proj.) Series C, 4.5%, tender 11/15/21 (a) | 875,000 | 917,884 | |
Roseville Independent School District #623 Series 2018A, 5% 2/1/21 | 1,715,000 | 1,768,998 | |
Western Minnesota Muni. Pwr. Agcy. Pwr. Supply Rev. Series 2014 A: | |||
5% 1/1/22 | 20,000 | 21,504 | |
5% 1/1/23 | 35,000 | 39,198 | |
5% 1/1/24 | 20,000 | 23,261 | |
TOTAL MINNESOTA | 24,157,296 | ||
Mississippi - 0.3% | |||
Mississippi Hosp. Equip. & Facilities Auth.: | |||
(Forrest County Gen. Hosp. Rfdg. Proj.) Series 2019 B, 5% 1/1/22 | 350,000 | 374,360 | |
Bonds: | |||
(Baptist Memorial Health Care Proj.) Series 2004 B2, 1.07%, tender 6/1/20 (a) | 6,000,000 | 6,000,000 | |
Series 2020 A2, 1.98%, tender 6/3/20 (a)(e) | 2,500,000 | 2,500,123 | |
Series I, 5% 10/1/22 | 420,000 | 451,794 | |
TOTAL MISSISSIPPI | 9,326,277 | ||
Missouri - 0.3% | |||
Cape Girardeau County Indl. Dev. Auth. (Southeast Hosp. Proj.) Series 2017 A: | |||
5% 3/1/21 | 10,000 | 10,208 | |
5% 3/1/22 | 15,000 | 15,701 | |
5% 3/1/23 | 20,000 | 21,369 | |
5% 3/1/24 | 15,000 | 16,372 | |
5% 3/1/25 | 15,000 | 16,620 | |
5% 3/1/26 | 20,000 | 22,391 | |
Kansas City Santn Swr. Sys. R Series 2018 A, 4% 1/1/21 | 350,000 | 357,796 | |
Missouri Health & Edl. Facilities Rev. Series 2019 A, 5% 2/15/21 | 775,000 | 797,200 | |
Missouri Hsg. Dev. Commission Single Family Mtg. Rev. Series 2019, 4% 5/1/50 | 65,000 | 71,891 | |
Missouri State Pub. Util. Commn Rev. Series 2019, 1.5% 3/1/21 | 4,000,000 | 4,010,454 | |
Saint Louis Arpt. Rev.: | |||
Series 2017 A, 5% 7/1/23 (FSA Insured) | 1,080,000 | 1,197,472 | |
Series 2019 B: | |||
5% 7/1/21 (c) | 350,000 | 364,389 | |
5% 7/1/22 (c) | 365,000 | 391,240 | |
5% 7/1/23 (c) | 385,000 | 424,420 | |
5% 7/1/24 (c) | 400,000 | 451,888 | |
5% 7/1/25 (c) | 420,000 | 484,478 | |
Series 2019 C, 5% 7/1/25 | 660,000 | 765,151 | |
Saint Louis Muni. Fin. Corp. Leasehold Rev. Series 2017 B, 4% 6/1/21 (FSA Insured) | 320,000 | 331,290 | |
TOTAL MISSOURI | 9,750,330 | ||
Montana - 0.1% | |||
Montana Board Hsg. Single Family: | |||
Series 2019 B, 4% 6/1/50 | 30,000 | 33,708 | |
Series A1, 3.5% 6/1/50 | 485,000 | 526,371 | |
Montana Board of Invt.: | |||
(Intercap Revolving Prog.) Series 2017, 1%, tender 3/1/21 (a) | 1,425,000 | 1,426,585 | |
Series 2007, 1%, tender 3/1/21 (a) | 1,520,000 | 1,521,691 | |
Montana Facility Fin. Auth. Rev. Series 2016, 5% 2/15/21 | 550,000 | 567,973 | |
TOTAL MONTANA | 4,076,328 | ||
Nebraska - 0.3% | |||
Central Plains Energy Proj. Gas Supply: | |||
Bonds Series 2019, 4%, tender 8/1/25 (a) | 1,170,000 | 1,313,021 | |
Series 2019: | |||
4% 8/1/20 | 2,000,000 | 2,010,773 | |
4% 2/1/21 | 1,150,000 | 1,175,006 | |
4% 8/1/21 | 1,500,000 | 1,556,985 | |
4% 2/1/22 | 1,465,000 | 1,542,528 | |
4% 8/1/23 | 580,000 | 634,294 | |
Douglas County Hosp. Auth. #2 Health Facilities Rev. Series 2020: | |||
5% 11/15/21 | 100,000 | 105,620 | |
5% 11/15/22 | 130,000 | 142,198 | |
Nebraska Invt. Fin. Auth. Single Family Hsg. Rev. Series 2019 B, 4% 9/1/49 (c) | 165,000 | 179,705 | |
TOTAL NEBRASKA | 8,660,130 | ||
Nevada - 1.8% | |||
Clark County Arpt. Rev.: | |||
(Sub Lien Proj.) Series 2017 A-1: | |||
5% 7/1/20 (c) | 1,355,000 | 1,359,150 | |
5% 7/1/21 (c) | 1,825,000 | 1,899,205 | |
5% 7/1/22 (c) | 85,000 | 91,384 | |
Series 2013 A, 5% 7/1/20 (c) | 500,000 | 501,387 | |
Series 2014 A, 5% 7/1/20 (c) | 1,000,000 | 1,003,063 | |
Series 2017 C, 5% 7/1/21 (c) | 11,325,000 | 11,741,873 | |
Series 2019 D: | |||
5% 7/1/21 | 5,800,000 | 6,047,370 | |
5% 7/1/22 | 10,000,000 | 10,761,700 | |
Clark County McCarran Int'l. Arpt. Passenger Facility Charge Rev.: | |||
(Clark County Arpt. Rev. Proj.) Series 2017 B, 5% 7/1/21 (c) | 800,000 | 832,528 | |
Series 2019 E, 5% 7/1/22 | 275,000 | 295,947 | |
Clark County School District: | |||
Series 2012 A, 5% 6/15/21 | 560,000 | 585,113 | |
Series 2015 B, 5% 6/15/20 | 500,000 | 500,831 | |
Series 2015 D, 5% 6/15/20 | 210,000 | 210,349 | |
Series 2016 A: | |||
5% 6/15/21 | 35,000 | 36,570 | |
5% 6/15/23 | 30,000 | 33,707 | |
Series 2017 A, 5% 6/15/22 | 2,000,000 | 2,169,940 | |
Series 2017 C: | |||
5% 6/15/20 | 925,000 | 926,537 | |
5% 6/15/22 | 300,000 | 325,491 | |
Series 2017 D, 5% 6/15/20 | 230,000 | 230,382 | |
Las Vegas New Convention & Visitors Auth. Rev. Series 2019 B, 4% 7/1/20 | 350,000 | 351,070 | |
Nevada Dept. of Bus. & Industry Bonds (Republic Svcs., Inc. Proj.) Series 2001, 1.47%, tender 6/1/20 (a)(c)(d) | 6,200,000 | 6,200,000 | |
Nevada Gen. Oblig. Series 2013 D1, 5% 3/1/24 | 60,000 | 67,570 | |
Nevada Hsg. Division Bonds Series 2020, 1.19%, tender 4/1/21 (a) | 5,000,000 | 5,023,979 | |
Washoe County Gas & Wtr. Facilities Bonds (Sierra Pacific Pwr. Co. Proj.) Series 2016 B, 3%, tender 6/1/22 (a) | 115,000 | 119,398 | |
Washoe County Gas Facilities Rev. Bonds: | |||
Series 2016 F, 2.05%, tender 4/15/22 (a)(c) | 7,900,000 | 8,031,061 | |
Series 2016, 2.05%, tender 4/15/22 (a)(c) | 1,210,000 | 1,230,074 | |
TOTAL NEVADA | 60,575,679 | ||
New Hampshire - 0.2% | |||
Nat'l. Fin. Auth. Solid Bonds (Waste Mgmt., Inc. Proj.) Series 2019 A2, 2.15%, tender 7/1/24 (a)(c) | 555,000 | 558,663 | |
New Hampshire Bus. Fin. Auth. Wtr. Facility (Pennichuck Wtr. Works, Inc. Proj.) Series 2014 A, 5% 1/1/24 (c) | 260,000 | 289,320 | |
New Hampshire Health & Ed. Facilities Auth. Rev.: | |||
(Southern NH Med. Ctr. Proj.) Series 2016, 3% 10/1/21 | 225,000 | 232,054 | |
(Wentworth-Douglas Hosp. Proj.) Series 2011 A, 6% 1/1/34 (Pre-Refunded to 1/1/21 @ 100) | 2,710,000 | 2,798,888 | |
Series 2012: | |||
4% 7/1/20 | 60,000 | 60,125 | |
4% 7/1/21 | 35,000 | 35,979 | |
Series 2016: | |||
3% 10/1/20 | 280,000 | 282,223 | |
5% 10/1/21 | 25,000 | 26,466 | |
5% 10/1/23 | 425,000 | 476,837 | |
New Hampshire Nat'l. Fin. Auth. Bonds (Emerald Renewable Diesel LLC Proj.) Series 2019, 2%, tender 8/31/20 (a)(c)(d) | 3,000,000 | 3,006,610 | |
TOTAL NEW HAMPSHIRE | 7,767,165 | ||
New Jersey - 3.4% | |||
Camden County Impt. Auth. Health Care Redev. Rev. Series 2014 A: | |||
5% 2/15/21 | 55,000 | 56,328 | |
5% 2/15/22 | 55,000 | 58,172 | |
5% 2/15/23 | 70,000 | 76,256 | |
Garden State Preservation Trust Open Space & Farmland Preservation: | |||
Series 2005 C: | |||
5.25% 11/1/20 (FSA Insured) | 1,600,000 | 1,631,782 | |
5.25% 11/1/21 (FSA Insured) | 1,000,000 | 1,067,870 | |
Series B, 0% 11/1/22 (FSA Insured) | 680,000 | 653,106 | |
New Jersey Econ. Dev. Auth. Series 2014: | |||
5% 6/15/20 | 45,000 | 45,028 | |
5% 6/15/20 (Escrowed to Maturity) | 5,000 | 5,009 | |
New Jersey Econ. Dev. Auth. Motor Vehicle Rev. Series A, 5% 7/1/23 (Build America Mutual Assurance Insured) | 250,000 | 265,730 | |
New Jersey Econ. Dev. Auth. Rev.: | |||
(New Jersey Transit Corp. Proj.) Series 2017 B, 5% 11/1/22 | 1,800,000 | 1,863,468 | |
(Provident Montclair Proj.) Series 2017: | |||
4% 6/1/22 (FSA Insured) | 20,000 | 21,117 | |
5% 6/1/23 (FSA Insured) | 25,000 | 27,769 | |
5% 6/1/24 (FSA Insured) | 20,000 | 22,875 | |
Series 2011 EE, 5% 9/1/20 | 30,000 | 30,127 | |
Series 2012 II: | |||
5% 3/1/21 (Escrowed to Maturity) | 150,000 | 155,408 | |
5% 3/1/22 | 135,000 | 138,557 | |
5% 3/1/23 | 625,000 | 640,894 | |
Series 2013, 5% 3/1/23 | 3,895,000 | 4,048,229 | |
Series 2015 XX: | |||
5% 6/15/21 | 500,000 | 508,070 | |
5% 6/15/23 | 75,000 | 78,207 | |
Series 2016 BBB, 5% 6/15/21 | 1,090,000 | 1,107,593 | |
Series 2017 B, 5% 11/1/20 | 4,180,000 | 4,209,981 | |
Series 2017 DDD, 5% 6/15/22 | 220,000 | 226,690 | |
New Jersey Edl. Facility: | |||
( William Paterson College Proj.) Series 2017 B, 5% 7/1/20 | 123,000 | 123,330 | |
Series 2014: | |||
5% 6/15/20 | 240,000 | 240,147 | |
5% 6/15/21 | 240,000 | 243,874 | |
Series 2016 A: | |||
5% 7/1/21 | 50,000 | 51,541 | |
5% 7/1/22 | 140,000 | 148,198 | |
5% 7/1/23 | 75,000 | 81,288 | |
5% 7/1/24 | 175,000 | 193,690 | |
Series 2016 E, 5% 7/1/22 | 625,000 | 672,475 | |
New Jersey Health Care Facilities Fing. Auth. Rev.: | |||
Series 2016 A: | |||
5% 7/1/21 | 5,000 | 5,207 | |
5% 7/1/22 | 5,000 | 5,393 | |
5% 7/1/23 | 15,000 | 16,704 | |
5% 7/1/24 | 25,000 | 29,091 | |
5% 7/1/24 | 20,000 | 22,926 | |
5% 7/1/24 | 10,000 | 11,463 | |
5% 7/1/25 | 10,000 | 11,705 | |
5% 7/1/26 | 5,000 | 5,973 | |
5% 7/1/27 | 5,000 | 5,948 | |
Series 2016: | |||
4% 7/1/20 | 425,000 | 425,766 | |
5% 7/1/21 | 220,000 | 227,658 | |
New Jersey Higher Ed. Student Assistance Auth. Student Ln. Rev.: | |||
Series 2011 1, 5% 12/1/20 (c) | 4,320,000 | 4,403,095 | |
Series 2012 1A, 5% 12/1/20 (c) | 2,000,000 | 2,038,470 | |
Series 2013: | |||
4% 12/1/20 (c) | 1,055,000 | 1,070,076 | |
5% 12/1/21 (c) | 1,500,000 | 1,583,730 | |
Series 2015 1A: | |||
5% 12/1/21 (c) | 4,500,000 | 4,751,190 | |
5% 12/1/22 (c) | 200,000 | 216,408 | |
Series 2015 A, 5% 12/1/20 (c) | 1,700,000 | 1,732,700 | |
Series 2017 1A: | |||
5% 12/1/22 (c) | 215,000 | 232,639 | |
5% 12/1/23 (c) | 45,000 | 49,696 | |
Series 2017 1B: | |||
5% 12/1/20 (c) | 1,665,000 | 1,697,026 | |
5% 12/1/21 (c) | 190,000 | 200,606 | |
Series 2018 B: | |||
5% 12/1/20 (c) | 4,475,000 | 4,561,077 | |
5% 12/1/21 (c) | 835,000 | 881,610 | |
Series 2019 A: | |||
5% 12/1/20 | 1,150,000 | 1,172,700 | |
5% 12/1/22 | 245,000 | 268,003 | |
5% 12/1/23 | 80,000 | 90,113 | |
5% 12/1/24 | 45,000 | 51,984 | |
Series 2020: | |||
5% 12/1/22 (c)(e) | 160,000 | 172,352 | |
5% 12/1/23 (c)(e) | 545,000 | 599,740 | |
New Jersey Hsg. & Mtg. Fin. Agcy.: | |||
(Spruce Spires Proj.) Bonds Series 2018 B, 2.02%, tender 8/1/20 (a) | 5,000,000 | 5,011,839 | |
Bonds: | |||
Series 2019 C, 1.58%, tender 6/1/20 (a) | 1,500,000 | 1,500,000 | |
Series 2020 A, 0.75%, tender 6/1/22 (a) | 2,000,000 | 2,004,260 | |
New Jersey Hsg. & Mtg. Fin. Agcy. Multi-family Rev. Series 2017 B, 1.75% 11/1/20 | 1,800,000 | 1,810,036 | |
New Jersey Hsg. & Mtg. Fin. Agcy. Rev.: | |||
Series 2018 B: | |||
2.25% 10/1/20 (c) | 4,435,000 | 4,458,370 | |
2.5% 4/1/21 (c) | 4,225,000 | 4,287,850 | |
Series 2019 D: | |||
4% 10/1/22 (c) | 1,340,000 | 1,429,365 | |
4% 4/1/23 (c) | 115,000 | 124,018 | |
4% 10/1/23 (c) | 125,000 | 136,353 | |
4% 4/1/25 (c) | 150,000 | 168,633 | |
New Jersey Sports & Exposition Auth. Contract Rev. Series 2018 A, 5% 9/1/20 | 1,000,000 | 1,010,363 | |
New Jersey Tobacco Settlement Fing. Corp. Series 2018 A: | |||
5% 6/1/20 | 3,275,000 | 3,275,000 | |
5% 6/1/21 | 1,985,000 | 2,058,111 | |
5% 6/1/22 | 2,480,000 | 2,659,329 | |
New Jersey Tpk. Auth. Tpk. Rev.: | |||
Bonds Series 2017 C5, 1 month U.S. LIBOR + 0.460% 0.719%, tender 1/1/21 (a)(b) | 5,905,000 | 5,879,954 | |
Series 2017 C1, 1 month U.S. LIBOR + 0.340% 0.599% 1/1/21 (a)(b) | 195,000 | 194,038 | |
New Jersey Trans. Trust Fund Auth.: | |||
Series 1999 A, 5.75% 6/15/20 | 35,000 | 35,031 | |
Series 2006 A: | |||
5.25% 12/15/20 | 275,000 | 277,925 | |
5.25% 12/15/20 (FSA Insured) | 1,720,000 | 1,760,765 | |
Series 2006, 5.25% 12/15/21 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 165,000 | 169,478 | |
Series 2011 B: | |||
5% 6/15/21 | 1,250,000 | 1,270,176 | |
5.25% 6/15/22 (Pre-Refunded to 6/15/21 @ 100) | 345,000 | 362,764 | |
Series 2013 A, 5% 6/15/20 | 395,000 | 395,242 | |
Series 2013 AA, 5% 6/15/23 | 500,000 | 521,380 | |
Series 2016 A: | |||
5% 6/15/20 | 12,785,000 | 12,795,650 | |
5% 6/15/21 | 1,700,000 | 1,740,546 | |
5% 6/15/22 | 2,720,000 | 2,843,923 | |
5% 6/15/27 | 90,000 | 98,199 | |
Series 2016 A-2, 5% 6/15/23 | 630,000 | 670,673 | |
Series 2018 A: | |||
4% 6/15/20 | 1,160,000 | 1,160,553 | |
5% 6/15/21 | 3,995,000 | 4,090,284 | |
5% 6/15/22 | 4,175,000 | 4,365,213 | |
Series A: | |||
5% 12/15/24 | 210,000 | 222,466 | |
5% 12/15/25 | 200,000 | 213,598 | |
Series AA, 5% 6/15/20 | 375,000 | 375,229 | |
New Jersey Transit Corp. Ctfs. of Prtn. Series 2014 A, 5% 9/15/21 | 480,000 | 506,630 | |
Rutgers State Univ. Rev. Series Q: | |||
5% 5/1/21 | 125,000 | 130,416 | |
5% 5/1/22 | 80,000 | 86,034 | |
5% 5/1/23 | 65,000 | 72,369 | |
TOTAL NEW JERSEY | 115,405,921 | ||
New Mexico - 0.2% | |||
Farmington Poll. Cont. Rev. Bonds (Pub. Svc. Co. of New Mexico Proj.) Series 2010 A, 5.2%, tender 6/1/20 (a) | 220,000 | 220,000 | |
New Mexico Mtg. Fin. Auth. Series 2019 C, 4% 1/1/50 | 530,000 | 583,260 | |
New Mexico Muni. Energy Acquisition Auth. Gas Supply Rev.: | |||
Bonds Series 2019 A, 5%, tender 5/1/25 (a) | 1,000,000 | 1,163,660 | |
Series 2019 A: | |||
4% 5/1/22 | 140,000 | 148,492 | |
4% 5/1/23 | 580,000 | 630,373 | |
4% 11/1/23 | 245,000 | 269,559 | |
4% 11/1/24 | 250,000 | 280,498 | |
4% 5/1/25 | 960,000 | 1,077,754 | |
New Mexico Severance Tax Rev. Series 2015 B, 5% 7/1/21 | 1,495,000 | 1,572,755 | |
TOTAL NEW MEXICO | 5,946,351 | ||
New York - 1.8% | |||
Albany County Arpt. Auth. Arpt. Rev. Series 2020 B, 5% 12/15/21 (c) | 500,000 | 530,645 | |
Dorm. Auth. New York Univ. Rev.: | |||
Series 2016 A: | |||
5% 7/1/22 | 10,000 | 10,683 | |
5% 7/1/24 | 40,000 | 44,954 | |
Series 2017, 4% 12/1/20 (d) | 200,000 | 202,288 | |
Long Island Pwr. Auth. Elec. Sys. Rev. Bonds Series 2019 B, 1.65%, tender 9/1/24 (a) | 800,000 | 798,968 | |
New York City Gen. Oblig.: | |||
Series 2006, 1%, tender 6/1/36 (FSA Insured) (a) | 1,000,000 | 1,000,000 | |
Series 2007 C-4, 1.5%, tender 1/1/32 (FSA Insured) (a) | 225,000 | 225,000 | |
Series 2007, 1.15%, tender 6/5/20 (FSA Insured) (a) | 4,200,000 | 4,200,000 | |
Series 2008 A-3, 1.13%, tender 8/1/26 (FSA Insured) (a) | 3,775,000 | 3,775,000 | |
Series 2008 C-4, 1.09%, tender 10/1/27 (a) | 225,000 | 225,000 | |
Series 2013 D, 5% 8/1/23 | 1,390,000 | 1,541,441 | |
Series A, 5% 8/1/22 | 300,000 | 330,231 | |
Series C, 5% 8/1/23 | 5,000,000 | 5,704,150 | |
New York City Hsg. Dev. Corp.: | |||
Bonds Series 2017 G-2, 2%, tender 12/31/21 (a) | 2,630,000 | 2,635,918 | |
Series 2017 A2A, 1.9% 5/1/21 | 615,000 | 615,296 | |
New York City Hsg. Dev. Corp. Multifamily Hsg. Bonds: | |||
Series A3, 1.125%, tender 11/1/24 (a) | 2,000,000 | 1,998,120 | |
Series B1, 0.8%, tender 12/1/20 (a) | 3,000,000 | 3,000,459 | |
New York City Transitional Fin. Auth. Rev. Series 1, 5% 11/1/22 | 400,000 | 443,352 | |
New York Dorm. Auth. Personal Income Tax Rev. Series 2012 A, 5% 12/15/23 | 600,000 | 667,050 | |
New York Dorm. Auth. Rev. Bonds Series 2019 B1, 5%, tender 5/1/22 (a) | 675,000 | 712,415 | |
New York Metropolitan Trans. Auth. Dedicated Tax Fund Rev. Bonds Series 2008 A, SIFMA Municipal Swap Index + 0.450% 0.59%, tender 6/1/22 (a)(b) | 1,395,000 | 1,352,243 | |
New York Metropolitan Trans. Auth. Rev.: | |||
Bonds: | |||
Series 2011 B, 1 month U.S. LIBOR + 0.550% 0.798%, tender 11/1/22 (a)(b) | 1,745,000 | 1,643,284 | |
Series 2018 A, 5%, tender 11/15/20 (a) | 3,000,000 | 3,014,291 | |
Series 2005 B, 5.25% 11/15/21 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 275,000 | 282,084 | |
Series 2008 B2, 5% 11/15/21 | 110,000 | 112,448 | |
Series 2012 B, 5% 11/15/22 | 45,000 | 46,505 | |
Series 2012 E, 5% 11/15/21 | 55,000 | 56,224 | |
Series 2012 F: | |||
5% 11/15/21 | 765,000 | 782,021 | |
5% 11/15/22 | 1,000,000 | 1,033,450 | |
Series 2014 C, 5% 11/15/21 | 60,000 | 61,335 | |
Series 2016 B, 5% 11/15/21 | 50,000 | 51,113 | |
Series 2020 A: | |||
4% 2/1/22 | 3,800,000 | 3,811,362 | |
5% 2/1/23 | 4,200,000 | 4,345,740 | |
New York St Mtg. Agcy. Homeowner: | |||
Series 198, 1.65% 10/1/21 (c) | 2,245,000 | 2,275,554 | |
Series 2014 189, 2.5% 10/1/21 (c) | 1,640,000 | 1,680,770 | |
New York State Energy Research & Dev. Auth. Poll. Cont. Rev. Series 1999, 3.15%, tender 6/5/20 (AMBAC Insured) (a) | 300,000 | 300,000 | |
New York State Hsg. Fin. Agcy. Rev. Bonds Series 2019 F, 1.875%, tender 11/1/21 (a) | 2,500,000 | 2,501,200 | |
New York State Mtg. Agcy. Homeowner Mtg. Series 221, 3.5% 10/1/32 (c) | 75,000 | 80,439 | |
New York Trans. Dev. Corp. (Delta Air Lines, Inc. Laguardia Arpt. Terminals C&D Redev. Proj.) Series 2018, 5% 1/1/22 (c) | 1,500,000 | 1,518,195 | |
Niagara Frontier Trans. Auth. Arpt. Rev. Series 2019 A: | |||
5% 4/1/22 (c) | 700,000 | 753,578 | |
5% 4/1/23 (c) | 2,575,000 | 2,838,551 | |
5% 4/1/24 (c) | 1,720,000 | 1,951,787 | |
Onondaga County Ind. Dev. Agcy. Swr. Facilities Rev. (Bristol-Meyers Squibb Co. Proj.) 5.75% 3/1/24 (c) | 570,000 | 667,265 | |
Yonkers Gen. Oblig. Series 2017 C, 5% 10/1/22 (Build America Mutual Assurance Insured) | 55,000 | 60,251 | |
TOTAL NEW YORK | 59,880,660 | ||
New York And New Jersey - 0.5% | |||
Port Auth. of New York & New Jersey: | |||
Series 188, 5% 5/1/21 (c) | 11,465,000 | 11,886,419 | |
Series 2018, 5% 9/15/22 (c) | 4,000,000 | 4,360,600 | |
TOTAL NEW YORK AND NEW JERSEY | 16,247,019 | ||
North Carolina - 0.6% | |||
Durham Hsg. Auth. MultiFamily Hsg. Rev. Bonds Series 2017, 1.3%, tender 10/1/20 | 1,000,000 | 1,002,537 | |
New Hanover County Hosp. Rev. Series 2017, 5% 10/1/26 | 290,000 | 348,635 | |
North Carolina Cap. Facilities Fin. Agcy. Rev. Bonds (Republic Svcs., Inc. Proj.) Series 2010 B, 1.15%, tender 6/3/20 (a)(c) | 12,000,000 | 12,000,000 | |
North Carolina Eastern Muni. Pwr. Agcy. Pwr. Sys. Rev. Series 1993 B, 6% 1/1/22 (Escrowed to Maturity) | 1,750,000 | 1,906,293 | |
North Carolina Grant Anticipation Rev. Series 2017: | |||
5% 3/1/22 | 80,000 | 86,489 | |
5% 3/1/23 | 80,000 | 89,858 | |
North Carolina Hsg. Fin. Agcy. Home Ownership Rev. Series 43, 4% 7/1/50 | 2,800,000 | 3,114,552 | |
North Carolina Med. Care Commission Health Care Facilities Rev. Bonds Series 2019 B, 2.2%, tender 12/1/22 (a) | 1,420,000 | 1,440,249 | |
North Carolina Muni. Pwr. Agcy. #1 Catawba Elec. Rev. Series 2015 E: | |||
5% 1/1/22 | 110,000 | 118,201 | |
5% 1/1/23 | 35,000 | 38,777 | |
Raleigh Durham Arpt. Auth. Arpt. Rev.: | |||
Series 2015 B, 5% 5/1/22 (c) | 550,000 | 590,508 | |
Series 2017 A: | |||
5% 5/1/22 (c) | 400,000 | 429,460 | |
5% 5/1/23 (c) | 235,000 | 259,854 | |
TOTAL NORTH CAROLINA | 21,425,413 | ||
North Dakota - 0.1% | |||
North Dakota Hsg. Fin. Agcy. Bonds (Home Mtg. Fin. Prog.) Series 2019 B, SIFMA Municipal Swap Index + 0.400% 0.54%, tender 2/1/22 (a)(b) | 4,000,000 | 3,971,960 | |
Ohio - 1.4% | |||
Akron Bath Copley Hosp. District Rev.: | |||
Series 2012, 5% 11/15/20 | 325,000 | 330,961 | |
Series 2016, 5% 11/15/24 | 45,000 | 52,094 | |
Allen County Hosp. Facilities Rev.: | |||
Bonds (Mercy Health) Series 2017 B, 5%, tender 5/5/22 (a) | 125,000 | 135,059 | |
Series 2010 B, 4.125% 9/1/20 | 500,000 | 503,891 | |
Series 2017 A: | |||
5% 8/1/21 | 780,000 | 815,537 | |
5% 8/1/22 | 300,000 | 325,197 | |
Series 2020 A: | |||
5% 12/1/20 | 1,405,000 | 1,432,663 | |
5% 12/1/21 | 1,000,000 | 1,058,370 | |
5% 12/1/22 | 1,550,000 | 1,699,157 | |
5% 12/1/23 | 1,000,000 | 1,131,550 | |
American Muni. Pwr., Inc. Rev. Bonds: | |||
(Combined Hydroelectric Proj.) Series 2018, 2.25%, tender 8/15/21 (a) | 3,000,000 | 3,026,820 | |
Series 2019 A, 2.3%, tender 2/15/22 (a) | 1,800,000 | 1,806,300 | |
Cleveland Arpt. Sys. Rev.: | |||
Series 2016 A, 5% 1/1/26 (FSA Insured) | 10,000 | 11,519 | |
Series 2019 B, 5% 1/1/21 (c) | 1,700,000 | 1,738,147 | |
5% 1/1/24 (FSA Insured) | 25,000 | 28,135 | |
5% 1/1/25 (FSA Insured) | 370,000 | 426,540 | |
Cleveland Pub. Pwr. Sys. Rev. Series 2016: | |||
5% 11/15/21 | 220,000 | 235,244 | |
5% 11/15/21 (FSA Insured) | 1,180,000 | 1,259,084 | |
Cuyahoga Metropolitan Hsg. Auth. Bonds: | |||
(Carver Park Phase II Proj.) Series 2018, 2.2%, tender 6/1/20 (a) | 4,175,000 | 4,175,000 | |
(Riverside Park Phase II Proj.) Series 2019, 2%, tender 4/1/21 (a) | 3,000,000 | 3,029,728 | |
Fairfield County Hosp. Facilities Rev. (Fairfield Med. Ctr. Proj.) Series 2013: | |||
5% 6/15/22 | 45,000 | 48,321 | |
5% 6/15/23 | 40,000 | 44,168 | |
Franklin County Hosp. Facilities Rev.: | |||
Bonds (Ohio Health Corp.) Series 2018 B, SIFMA Municipal Swap Index + 0.430% 0.57%, tender 11/15/21 (a)(b) | 3,800,000 | 3,776,934 | |
Series 2016 C, 5% 11/1/23 | 60,000 | 68,567 | |
Franklin County Multi-family Rev. Bonds Series 2017, 1.77%, tender 6/1/20 (a) | 175,000 | 175,000 | |
Franklin County Rev. Bonds Series 2013 OH, 0.7%, tender 8/3/20 (a) | 8,000,000 | 7,999,994 | |
Hamilton County Convention Facilities Auth. Rev. Series 2014, 5% 12/1/21 | 45,000 | 47,036 | |
Hamilton County HealthCare Facilities Rev.: | |||
(Christ Hosp., OH. Proj.) Series 2012, 5% 6/1/20 | 220,000 | 220,000 | |
Series 2012: | |||
5% 6/1/21 | 400,000 | 417,063 | |
5.25% 6/1/26 | 115,000 | 122,658 | |
Lucas County Hosp. Rev. Series 2011 D, 4% 11/15/20 | 2,200,000 | 2,229,931 | |
Miami County Hosp. Facilities Rev. (Kettering Health Network Obligated Group Proj.) Series 2019: | |||
5% 8/1/24 | 620,000 | 712,306 | |
5% 8/1/25 | 310,000 | 363,497 | |
5% 8/1/26 | 535,000 | 640,235 | |
Ohio Higher Edl. Facility Commission Rev.: | |||
(Case Western Reserve Univ. Proj.) Series 2016, 5% 12/1/22 | 585,000 | 640,838 | |
(Kenyon College, Oh. Proj.) Series 2017, 4% 7/1/20 | 50,000 | 50,098 | |
Ohio Hosp. Facilities Rev. Series 2017 A: | |||
5% 1/1/21 | 60,000 | 61,574 | |
5% 1/1/22 | 35,000 | 37,482 | |
5% 1/1/23 | 45,000 | 49,941 | |
5% 1/1/24 | 40,000 | 45,968 | |
5% 1/1/25 | 45,000 | 53,366 | |
Ohio Hsg. Fin. Agcy. Multi-family Hsg. Rev. Bonds (Brandt Meadows Apts. Proj.) Series 2019, 2%, tender 9/1/20 (a) | 3,700,000 | 3,711,931 | |
Ohio Hsg. Fin. Agcy. Residential Mtg. Rev. (Mtg. Backed Securities Prog.) Series 2019 B, 4.5% 3/1/50 | 45,000 | 50,610 | |
Ohio Spl. Oblig. Series 2020 A: | |||
5% 2/1/22 | 185,000 | 199,678 | |
5% 2/1/23 | 305,000 | 342,363 | |
Ross County Hosp. Facilities Rev. (Adena Health Sys. Obligated Group Proj.) Series 2019, 5% 12/1/20 | 375,000 | 383,712 | |
Scioto County Hosp. Facilities Rev.: | |||
Series 2016: | |||
5% 2/15/21 | 15,000 | 15,466 | |
5% 2/15/22 | 25,000 | 26,878 | |
5% 2/15/23 | 45,000 | 48,402 | |
5% 2/15/24 | 35,000 | 38,365 | |
5% 2/15/25 | 35,000 | 39,082 | |
5% 2/15/26 | 405,000 | 458,897 | |
Series 2019, 5% 2/15/29 | 1,000,000 | 1,106,970 | |
Univ. of Akron Gen. Receipts Series 2019 A: | |||
5% 1/1/24 | 300,000 | 339,975 | |
5% 1/1/25 | 400,000 | 466,136 | |
TOTAL OHIO | 48,254,438 | ||
Oklahoma - 0.2% | |||
Beckham Independent School District#6 Elk City Series 2019, 2% 7/1/21 | 1,405,000 | 1,424,923 | |
Canadian Cny Edl. Facilities Auth. (Yukon Pub. Schools Proj.) Series 2019, 5% 12/1/20 | 2,050,000 | 2,092,536 | |
Oklahoma County Fin. Auth. Edl. Facilities (Midwest City- Del City School Dis Proj.) Series 2018, 5% 10/1/21 | 240,000 | 254,402 | |
Oklahoma County Independent School District No. 53 Series 2017, 1.75% 7/1/20 | 265,000 | 265,229 | |
Oklahoma County Independent School District No. 9 Series 2018, 2.5% 6/1/21 | 1,535,000 | 1,563,336 | |
Oklahoma Dev. Fin. Auth. Rev.: | |||
(Oklahoma City Univ. Proj.) Series 2019, 5% 8/1/23 | 560,000 | 608,065 | |
Series 2004 A, 2.375% 12/1/21 (a) | 30,000 | 30,738 | |
Oklahoma Hsg. Fin. Agcy. Collateralized Bonds Series 2019, 1.6%, tender 7/1/22 | 185,000 | 186,781 | |
Tulsa County Indl. Auth. Edl. Facilities Lease Rev. Series 2018, 5% 9/1/20 | 1,500,000 | 1,516,909 | |
TOTAL OKLAHOMA | 7,942,919 | ||
Oregon - 0.3% | |||
Oregon Bus. Dev. Commission Bonds Series 250, 5%, tender 3/1/22 (a)(c) | 2,970,000 | 3,161,832 | |
Oregon Bus. Dev. Commn Recovery Zone Facility Bonds (Intel Corp. Proj.) Series 232, 2.4%, tender 8/14/23 (a) | 770,000 | 799,660 | |
Oregon Facilities Auth. Rev.: | |||
(Legacy Health Proj.) Series 2011 A, 5.25% 5/1/21 | 255,000 | 266,462 | |
Series 2011 C, 5% 10/1/20 | 110,000 | 111,621 | |
Port of Portland Arpt. Rev. Series 26 C: | |||
5% 7/1/21 (c) | 1,815,000 | 1,889,016 | |
5% 7/1/22 (c) | 1,300,000 | 1,396,512 | |
5% 7/1/23 (c) | 2,000,000 | 2,213,060 | |
TOTAL OREGON | 9,838,163 | ||
Pennsylvania - 3.3% | |||
Adams County Indl. Dev. Auth. Rev. Series 2010, 5% 8/15/20 | 490,000 | 494,632 | |
Allegheny County Arpt. Auth. Rev.: | |||
Series 2001, 5% 1/1/21 (Escrowed to Maturity) (c) | 1,650,000 | 1,692,787 | |
Series 2006 B: | |||
5% 1/1/21 (Escrowed to Maturity) (c) | 690,000 | 707,893 | |
5% 1/1/22 (Escrowed to Maturity) (c) | 400,000 | 428,036 | |
Berks County Muni. Auth. Rev.: | |||
(Tower Health Proj.) Series 2020 A: | |||
5% 2/1/21 | 400,000 | 406,583 | |
5% 2/1/22 | 500,000 | 519,800 | |
Bonds (Tower Health Proj.) Series 2020 B1, 5%, tender 2/1/25 (a) | 255,000 | 281,808 | |
Bethlehem Area School District Auth. Bonds (School District Rfdg. Proj.) Series 2018 A, 1 month U.S. LIBOR + 0.480% 0.599%, tender 11/1/21 (a)(b) | 3,990,000 | 3,935,098 | |
Butler Area School District Series 2018, 5% 10/1/22 | 1,250,000 | 1,379,750 | |
Chester County Health & Ed. Auth. Rev. Series 2017: | |||
5% 11/1/20 | 155,000 | 153,635 | |
5% 11/1/21 | 160,000 | 155,317 | |
Chester County Health & Ed. Facilities Auth. Health Sys. Rev. Series C, 3% 9/1/23 | 245,000 | 261,890 | |
Coatesville Area School District Series 2017, 5% 8/1/23 (FSA Insured) | 350,000 | 395,983 | |
Commonwealth Fing. Auth. Rev.: | |||
Series 2019 B, 5% 6/1/24 | 265,000 | 309,634 | |
Series 2020 A, 5% 6/1/23 | 350,000 | 395,175 | |
Commonwealth Fing. Auth. Tobacco Series 2018, 5% 6/1/21 | 1,000,000 | 1,039,081 | |
Cumberland County Muni. Auth. Rev. Bonds Series 2014 T1, 3.75%, tender 5/1/44 (a) | 1,000,000 | 1,008,280 | |
Delaware Valley Reg'l. Fin. Auth. Local Govt. Rev. Bonds SIFMA Municipal Swap Index + 0.420% 0.56%, tender 9/1/22 (a)(b) | 5,000,000 | 4,934,100 | |
Doylestown Hosp. Auth. Hosp. Rev. Series 2016 B, 5% 7/1/20 | 150,000 | 150,390 | |
Easton Area School District Series 2013 A, 5% 4/1/23 | 705,000 | 749,641 | |
Lehigh County Gen. Purp. Hosp. Rev. Series 2019 A, 5% 7/1/21 | 1,000,000 | 1,041,110 | |
Lehigh County Indl. Dev. Auth. Poll. Cont. Rev. Bonds: | |||
(PPL Elec. Utils. Corp. Proj.) Series 2016 A, 1.8%, tender 9/1/22 (a) | 730,000 | 731,562 | |
Series B, 1.8%, tender 8/15/22 (a) | 975,000 | 976,121 | |
Montgomery County Higher Ed. & Health Auth. Rev.: | |||
Bonds Series 2017, 3%, tender 5/1/21 (a) | 1,225,000 | 1,242,503 | |
Series 2014 A: | |||
5% 10/1/20 | 30,000 | 30,321 | |
5% 10/1/23 | 5,000 | 5,506 | |
Series 2017: | |||
2% 12/1/20 | 145,000 | 143,635 | |
3% 12/1/21 | 155,000 | 152,813 | |
Series 2019: | |||
5% 9/1/23 | 500,000 | 548,025 | |
5% 9/1/26 | 1,250,000 | 1,446,963 | |
Montgomery County Indl. Dev. Auth. Poll. Cont. Rev. Bonds (Exelon Generation Co. LLC Proj.) Series 2015 A, 2.6%, tender 9/1/20 (a) | 1,090,000 | 1,094,854 | |
Montgomery County Indl. Dev. Auth. Rev. (Meadowood Sr. Living Proj.) Series 2018 A, 3% 12/1/20 | 250,000 | 248,757 | |
New Kensington-Arnold School District Series 2019 A: | |||
4% 5/15/21 | 940,000 | 972,330 | |
4% 5/15/22 | 975,000 | 1,040,247 | |
Northeastern Hosp. & Ed. Auth. Series 2016 A, 5% 3/1/21 | 110,000 | 111,282 | |
Octorara Area School District Chester and Lancaster Counties Series 2020, 4% 4/1/23 | 700,000 | 768,677 | |
Pennsylvania Ctfs. Prtn. Series 2018 A, 5% 7/1/20 | 300,000 | 301,082 | |
Pennsylvania Econ. Dev. Fing. Auth. Series 2020 A: | |||
5% 4/15/21 | 350,000 | 362,116 | |
5% 4/15/22 | 500,000 | 535,590 | |
Pennsylvania Econ. Dev. Fing. Auth. Indl. Dev. Rev. (The Pennsylvania Rapid Bridge Replacement Proj.) Series 2015, 5% 12/31/20 (c) | 980,000 | 996,526 | |
Pennsylvania Econ. Dev. Fing. Auth. Solid Waste Disp. Rev. Bonds: | |||
(Republic Svcs., Inc. Proj.) Series 2019 A, 1.95%, tender 4/1/34 (a)(c) | 4,600,000 | 4,603,163 | |
(Waste Mgmt., Inc. Proj.) Series 2013, 1.9%, tender 8/1/45 (a)(c) | 18,000,000 | 18,012,404 | |
(Waste Mgmt., Inc. Proj.): | |||
Series 2009, 2.8%, tender 12/1/21 (a) | 600,000 | 616,464 | |
Series 2017 A, 1.7%, tender 8/3/20 (a)(c) | 70,000 | 70,024 | |
3%, tender 7/1/20 (a)(c) | 3,000,000 | 3,003,918 | |
Pennsylvania Gen. Oblig. Series 2016, 5% 1/15/22 | 290,000 | 311,707 | |
Pennsylvania Higher Edl. Facilities Auth. Rev.: | |||
Bonds: | |||
Series 2014 T3 and T4, 2.875%, tender 5/1/30 (a) | 1,000,000 | 1,000,084 | |
3%, tender 5/1/33 (a) | 1,565,000 | 1,584,500 | |
Series 2014: | |||
5% 12/1/21 | 5,000 | 5,360 | |
5% 12/1/22 | 20,000 | 22,223 | |
Pennsylvania Hsg. Fin. Agcy.: | |||
Bonds: | |||
Series 2018 127C, 0.689%, tender 10/1/23 (a)(b) | 4,000,000 | 3,917,720 | |
Series 2019, 1.4%, tender 1/1/23 (a) | 4,500,000 | 4,579,380 | |
Series 2018 127A: | |||
2.15% 10/1/20 (c) | 1,710,000 | 1,717,594 | |
2.25% 4/1/21 (c) | 1,900,000 | 1,922,751 | |
Pennsylvania Hsg. Fin. Agcy. Multifamily Hsg. Dev. Rev. Bonds Series 2018, 2.45%, tender 7/1/21 (a) | 2,000,000 | 2,040,600 | |
Pennsylvania Hsg. Fin. Agcy. Single Family Mtg. Rev. Series 114A, 2.9% 10/1/21 (c) | 585,000 | 601,134 | |
Pennsylvania Indl. Dev. Auth. Rev. Series 2012, 5% 7/1/21 | 335,000 | 351,747 | |
Pennsylvania Pub. School Bldg. Auth. School Rev. (The School District of Harrisburg Proj.) Series 2016 A, 5% 12/1/21 (FSA Insured) | 110,000 | 117,580 | |
Pennsylvania Tpk. Commission Tpk. Rev.: | |||
Series 2018 A1: | |||
SIFMA Municipal Swap Index + 0.350% 0.49% 12/1/20 (a)(b) | 2,800,000 | 2,797,513 | |
SIFMA Municipal Swap Index + 0.430% 0.57% 12/1/21 (a)(b) | 3,500,000 | 3,461,325 | |
Series 2018 B, SIFMA Municipal Swap Index + 0.500% 0.64% 12/1/21 (a)(b) | 3,460,000 | 3,425,296 | |
Philadelphia Arpt. Rev.: | |||
Series 2010 D, 5% 6/15/21 (c) | 490,000 | 491,311�� | |
Series 2011 A, 5% 6/15/21 (c) | 225,000 | 233,302 | |
Series 2017 A, 5% 7/1/24 | 10,000 | 11,450 | |
Series 2017 B: | |||
5% 7/1/21 (c) | 1,300,000 | 1,349,855 | |
5% 7/1/22 (c) | 620,000 | 663,518 | |
5% 7/1/24 (c) | 345,000 | 389,464 | |
Philadelphia Auth. for Indl. Dev. Series 2020 C, 4% 11/1/24 (e) | 535,000 | 580,208 | |
Philadelphia Auth. Indl. Dev. Lease Rev. Series 2019: | |||
5% 10/1/20 | 1,300,000 | 1,312,170 | |
5% 10/1/21 | 500,000 | 518,445 | |
Philadelphia Gas Works Rev.: | |||
Series 10, 5% 7/1/20 (FSA Insured) | 305,000 | 306,045 | |
Series 15, 5% 8/1/21 | 25,000 | 26,106 | |
Series 2015 13: | |||
5% 8/1/20 | 600,000 | 603,780 | |
5% 8/1/21 | 850,000 | 887,613 | |
Series 2016 14, 5% 10/1/20 | 1,145,000 | 1,159,557 | |
Series 2017 15: | |||
4% 8/1/20 | 130,000 | 130,607 | |
5% 8/1/22 | 480,000 | 518,914 | |
Philadelphia Gen. Oblig.: | |||
Series 2019 A, 5% 8/1/20 | 1,530,000 | 1,540,894 | |
Series 2019 B, 5% 2/1/21 | 1,500,000 | 1,543,040 | |
Philadelphia Hospitals & Higher Ed. Facilities Auth. Hosp. Rev. Series 2017, 5% 7/1/20 | 220,000 | 220,572 | |
Philadelphia School District Series 2019 A: | |||
5% 9/1/20 | 600,000 | 606,248 | |
5% 9/1/21 | 115,000 | 120,981 | |
5% 9/1/23 | 185,000 | 209,198 | |
Phoenixville Area School District Gen. Oblig. Series 2016 B, 4% 8/15/21 | 500,000 | 521,635 | |
Pittsburgh Urban Redev. Auth. Rev. Bonds (Crawford Square Apts. Proj.) Series 2018, 0.6%, tender 6/1/20 (a) | 4,025,000 | 4,025,000 | |
Pittsburgh Wtr. & Swr. Auth. Wtr. & Swr. Sys. Rev.: | |||
Bonds Series 2017 C, 1 month U.S. LIBOR + 0.640% 0.953%, tender 6/1/20 (FSA Insured) (a)(b) | 3,270,000 | 3,253,821 | |
Series 2019 A: | |||
5% 9/1/23 | 270,000 | 309,620 | |
5% 9/1/26 (FSA Insured) | 625,000 | 786,419 | |
Quakertown Gen. Auth. Health Facilities Series 2017 A, 3.125% 7/1/21 | 705,000 | 687,713 | |
Reading School District Series 2017: | |||
5% 3/1/21 (FSA Insured) | 50,000 | 51,687 | |
5% 3/1/25 (FSA Insured) | 5,000 | 5,969 | |
5% 3/1/26 (FSA Insured) | 5,000 | 6,125 | |
5% 3/1/27 (FSA Insured) | 5,000 | 6,280 | |
5% 3/1/28 (FSA Insured) | 5,000 | 6,283 | |
Scranton School District: | |||
Series 2017 A, 5% 6/1/20 | 135,000 | 135,000 | |
Series 2017 B, 5% 6/1/20 | 120,000 | 120,000 | |
TOTAL PENNSYLVANIA | 109,650,850 | ||
Rhode Island - 0.1% | |||
Rhode Is Comm Corp. Spl. Facilities Rev. Series 2018, 5% 7/1/21 | 685,000 | 710,742 | |
Rhode Island Health & Edl. Bldg. Corp. Higher Ed. Facilities Rev. Series 2016: | |||
5% 5/15/22 | 45,000 | 47,589 | |
5% 5/15/23 | 25,000 | 27,108 | |
5% 5/15/24 | 50,000 | 55,442 | |
5% 5/15/25 | 120,000 | 135,338 | |
Rhode Island Health & Edl. Bldg. Corp. Pub. Schools Rev. Series 2015, 5% 5/15/25 (FSA Insured) | 130,000 | 155,988 | |
Rhode Island Health and Edl. Bldg. Corp. Higher Ed. Facility Rev. Series 2015, 5% 11/1/20 | 300,000 | 304,273 | |
Rhode Island Hsg. & Mtg. Fin. Corp. Series 2019 70, 4% 10/1/49 | 105,000 | 115,676 | |
Rhode Island Student Ln. Auth. Student Ln. Rev.: | |||
Series 2019 A, 5% 12/1/28 (c) | 490,000 | 582,311 | |
Series A, 5% 12/1/20 (c) | 250,000 | 253,805 | |
Tobacco Settlement Fing. Corp. Series 2015 A: | |||
5% 6/1/21 | 555,000 | 571,331 | |
5% 6/1/26 | 75,000 | 84,419 | |
5% 6/1/27 | 20,000 | 22,458 | |
TOTAL RHODE ISLAND | 3,066,480 | ||
South Carolina - 0.4% | |||
Charleston County Arpt. District Series 2013 A, 5.25% 7/1/22 (c) | 1,235,000 | 1,335,121 | |
Greenville County School District Series 2019 C, 4% 6/1/20 | 5,000,000 | 5,000,000 | |
Lancaster County School District ( South Carolina Gen. Oblig. Proj.) Series 2017, 5% 3/1/22 | 45,000 | 48,716 | |
Laurens County Wtr. & Swr. Cmnty. Wtrwks. Series 2020, 1.375% 2/1/22 | 3,000,000 | 3,028,560 | |
Richland County School District #2 Gen. Oblig. (South Carolina Gen. Oblig. Proj.) Series 2015 A, 5% 2/1/23 | 55,000 | 61,894 | |
Scago Edl. Facilities Corp. for Colleton School District (School District of Colleton County Proj.) Series 2015: | |||
5% 12/1/23 | 95,000 | 107,044 | |
5% 12/1/26 | 25,000 | 29,094 | |
South Carolina Hsg. Fin. & Dev. Auth. Mtg. Rev. Series 2019 A, 4% 1/1/50 | 145,000 | 161,243 | |
South Carolina Ports Auth. Ports Rev. Series 2019 B, 5% 7/1/22 (c) | 310,000 | 331,889 | |
South Carolina Pub. Svc. Auth. Rev.: | |||
Series 2012 B, 5% 12/1/20 | 20,000 | 20,438 | |
Series 2012 C, 5% 12/1/20 | 400,000 | 408,765 | |
Series 2014 C: | |||
5% 12/1/22 | 25,000 | 26,968 | |
5% 12/1/23 | 110,000 | 121,362 | |
Series 2015 A, 5% 12/1/21 | 225,000 | 239,663 | |
Series A, 5% 12/1/23 | 1,015,000 | 1,119,839 | |
TOTAL SOUTH CAROLINA | 12,040,596 | ||
South Dakota - 0.0% | |||
South Dakota Health & Edl. Facilities Auth. Rev. Series 2014 B: | |||
4% 11/1/20 | 15,000 | 15,177 | |
4% 11/1/21 | 10,000 | 10,396 | |
5% 11/1/22 | 10,000 | 10,904 | |
TOTAL SOUTH DAKOTA | 36,477 | ||
Tennessee - 0.5% | |||
Greeneville Health & Edl. Facilities Board Series 2018 A, 5% 7/1/22 | 1,000,000 | 1,063,610 | |
Memphis Health, Edl. & Hsg. Facilities Board Bonds Series 2018, 2.03%, tender 8/1/20 (a) | 7,400,000 | 7,417,208 | |
Metropolitan Nashville Arpt. Auth. Rev. Series 2019 B, 5% 7/1/25 (c) | 770,000 | 898,390 | |
Nashville and Davidson County Metropolitan Govt. Health & Edl. Facilities Board Rev. Bonds Series 2001 B, 1.55%, tender 11/3/20 (a) | 3,410,000 | 3,420,105 | |
Tennergy Corp. Gas Rev. Bonds Series 2019 A, 5%, tender 10/1/24 (a) | 2,050,000 | 2,351,084 | |
Tennessee Energy Acquisition Corp.: | |||
Series 2006 A, 5.25% 9/1/21 | 1,235,000 | 1,283,869 | |
Series 2018, 5% 11/1/22 | 1,500,000 | 1,618,095 | |
TOTAL TENNESSEE | 18,052,361 | ||
Texas - 7.1% | |||
Alamito Pub. Facilities Corp. Bonds: | |||
(Cramer Three Apts. Proj.) Series 2018, 2.5%, tender 5/1/21 (a) | 5,000,000 | 5,078,440 | |
(Sandoval Apts. and Valle Verde Apts. Proj.) Series 2018, 2.25%, tender 6/1/20 (a) | 3,000,000 | 3,000,000 | |
Series 2019, 1.51%, tender 5/1/22 (a) | 6,000,000 | 6,068,280 | |
Aledo Independent School District Series 2015, 0% 2/15/24 | 25,000 | 24,418 | |
Allen Independent School District Series 2011, 5% 2/15/41 (Pre-Refunded to 2/15/21 @ 100) | 860,000 | 888,853 | |
Austin Affordable Pfc, Inc. Multifamily Hsg. Rev. Bonds Series 2019, 1.46%, tender 6/1/22 (a) | 700,000 | 714,994 | |
Austin Arpt. Sys. Rev.: | |||
Series 2019 B, 5% 11/15/22 (c) | 600,000 | 650,214 | |
Series 2019: | |||
5% 11/15/20 (c) | 2,615,000 | 2,670,928 | |
5% 11/15/22 (c) | 385,000 | 417,221 | |
Austin-Bergstrom Landhost Ente Series 2017: | |||
5% 10/1/20 | 235,000 | 238,471 | |
5% 10/1/21 | 280,000 | 296,338 | |
Brownsville Independent School District Series 2017, 4% 8/15/22 | 1,910,000 | 2,065,665 | |
Burleson Independent School District Bonds Series 2018, 2.5%, tender 8/1/22 (a) | 5,000,000 | 5,170,700 | |
Cap. Area Hsg. Fin. Corp. Multi-family Hsg. Rev. Bonds: | |||
Series 2018, 2.05%, tender 8/1/20 (a) | 10,000,000 | 10,023,673 | |
Series 2019, 2.1%, tender 9/1/22 (a) | 2,800,000 | 2,846,732 | |
Central Reg'l. Mobility Auth.: | |||
Bonds Series 2015 B, 5%, tender 1/6/21 (a) | 1,000,000 | 1,000,853 | |
Series 2011, 6% 1/1/41 (Pre-Refunded to 1/1/21 @ 100) | 5,720,000 | 5,909,275 | |
Series 2016: | |||
5% 1/1/21 | 10,000 | 10,149 | |
5% 1/1/22 | 35,000 | 36,391 | |
5% 1/1/23 | 55,000 | 58,449 | |
5% 1/1/24 | 75,000 | 81,165 | |
5% 1/1/26 | 65,000 | 72,454 | |
Cypress-Fairbanks Independent School District Bonds: | |||
Series 2014 B2, 1.4%, tender 8/17/20 (a) | 1,700,000 | 1,702,288 | |
Series 2014 B3, 1.4%, tender 8/17/20 (a) | 2,425,000 | 2,428,263 | |
Series 2015 B2, 2.125%, tender 8/16/21 (a) | 4,000,000 | 4,069,760 | |
Series 2017 A-2, 1.25%, tender 8/15/22 (a) | 3,000,000 | 3,036,300 | |
Series 2017 A-3, 3%, tender 8/17/20 (a) | 630,000 | 632,940 | |
Series 2017 A1, 2.125%, tender 8/16/21 (a) | 8,180,000 | 8,322,659 | |
Dallas County Gen. Oblig. Series 2016 5% 8/15/22 | 75,000 | 82,864 | |
Dallas Fort Worth Int'l. Arpt. Rev.: | |||
Series 2011 D, 5% 11/1/23 | 400,000 | 406,824 | |
Series 2013 F: | |||
5% 11/1/21 | 65,000 | 68,603 | |
5% 11/1/22 | 210,000 | 228,883 | |
Series 2014 D, 5% 11/1/21 (c) | 2,515,000 | 2,642,737 | |
Dallas Independent School District Bonds: | |||
Series 2016 B5, 5%, tender 2/15/21 (a) | 175,000 | 180,302 | |
Series 2016, 5%, tender 2/15/22 (a) | 5,000 | 5,404 | |
Series B6: | |||
5%, tender 2/15/22 (a) | 100,000 | 108,083 | |
5%, tender 2/15/22 (a) | 100,000 | 107,318 | |
Denton Independent School District: | |||
Bonds Series 2013: | |||
2%, tender 8/1/20 (a) | 465,000 | 466,247 | |
2%, tender 8/1/20 (a) | 1,065,000 | 1,067,170 | |
Series 2016, 0% 8/15/25 | 35,000 | 33,894 | |
El Paso County Hosp. District Series 2013, 5% 8/15/20 | 1,160,000 | 1,168,084 | |
El Paso Independent School District Bonds Series 2020, 2.5%, tender 7/31/27 (a) | 2,500,000 | 2,552,950 | |
Fort Bend Independent School District Bonds: | |||
Series 2019 A, 1.95%, tender 8/1/22 (a) | 6,450,000 | 6,590,159 | |
Series C, 1.35%, tender 8/1/20 (a) | 40,000 | 40,027 | |
Series D, 1.5%, tender 8/1/21 (a) | 70,000 | 70,526 | |
Fort Worth Gen. Oblig. Series 2015 A, 5% 3/1/23 | 35,000 | 39,487 | |
Fort Worth Independent School District Series 2015, 5% 2/15/22 | 35,000 | 37,879 | |
Grapevine-Colleyville Independent School District Bonds: | |||
Series 2012, 2%, tender 8/1/20 (a) | 975,000 | 976,987 | |
Series B, 2%, tender 8/1/20 (a) | 880,000 | 882,433 | |
Harlandale Independent School District Bonds Series 2015, 3%, tender 8/15/21 (a) | 6,000,000 | 6,027,240 | |
Harris County Cultural Ed. Facilities Fin. Corp. Rev.: | |||
Bonds: | |||
Series 2019 B, 5%, tender 12/1/22 (a) | 5,000,000 | 5,430,750 | |
Series 2019 C, SIFMA Municipal Swap Index + 0.420% 0.56%, tender 12/1/22 (a)(b) | 3,250,000 | 3,191,045 | |
Series 2013 A, 5% 12/1/21 | 450,000 | 477,725 | |
Series 2013 B, SIFMA Municipal Swap Index + 0.900% 1.04% 6/1/22 (a)(b) | 600,000 | 597,210 | |
Series 2014 A, 5% 12/1/26 | 120,000 | 138,148 | |
Series 2015, 5% 10/1/20 | 570,000 | 578,958 | |
Series 2019 A: | |||
5% 12/1/20 | 1,000,000 | 1,020,750 | |
5% 12/1/21 | 1,860,000 | 1,974,595 | |
Series 2020, 5% 6/1/22 | 1,000,000 | 1,078,230 | |
Harris County Flood Cont. District Series 2019 A, 4% 10/1/20 | 5,000,000 | 5,063,584 | |
Harris County Gen. Oblig.: | |||
Series 2012 B, 1.45% 8/15/21 (a) | 8,000,000 | 8,027,120 | |
Series 2019 A, 4% 10/1/20 | 5,000,000 | 5,064,932 | |
Harris County Health Facilities Dev. Corp. Rev. Series 2005 A4, 1.09%, tender 7/1/31 (FSA Insured) (a) | 1,000,000 | 1,000,000 | |
Houston Arpt. Sys. Rev.: | |||
(Houston TX Arpt. Sys. Rev. Subord Proj.) Series 2011 A, 5% 7/1/21 (c) | 675,000 | 703,195 | |
Series 2011 A, 5% 7/1/22 (c) | 410,000 | 426,523 | |
Series 2012 A, 5% 7/1/23 (c) | 235,000 | 251,744 | |
Series 2018 A, 5% 7/1/21 (c) | 275,000 | 289,086 | |
Series 2018 C: | |||
5% 7/1/20 (c) | 3,760,000 | 3,771,825 | |
5% 7/1/21 (c) | 335,000 | 348,993 | |
Houston Convention and Entertainment Facilities Dept. Hotel Occupancy Tax and Spl. Rev. Series 2019, 5% 9/1/20 | 2,485,000 | 2,484,739 | |
Houston Independent School District Bonds: | |||
Series 2012: | |||
1.45%, tender 6/1/20 (a) | 4,360,000 | 4,360,000 | |
2.4%, tender 6/1/21 (a) | 2,985,000 | 3,036,240 | |
4%, tender 6/1/29 (e) | 1,000,000 | 1,100,690 | |
Series 2013 B: | |||
1.45%, tender 6/1/20 (a) | 2,385,000 | 2,385,000 | |
2.4%, tender 6/1/21 (a) | 3,100,000 | 3,153,214 | |
Series 2014 A, 2.2%, tender 6/1/20 (a) | 3,000,000 | 3,000,000 | |
Houston Util. Sys. Rev. Bonds Series 2018 C, 1 month U.S. LIBOR + 0.360% 0.479%, tender 8/1/21 (a)(b) | 8,000,000 | 7,888,160 | |
Irving Hosp. Auth. Hosp. Rev. Series 2017 A: | |||
5% 10/15/20 | 130,000 | 132,092 | |
5% 10/15/21 | 65,000 | 68,821 | |
Katy Independent School District Bonds Series 2015 C, 1 month U.S. LIBOR + 0.280% 0.403%, tender 8/16/21 (a)(b) | 5,000,000 | 4,955,500 | |
Leander Independent School District Series 2013 A: | |||
0% 8/15/21 | 550,000 | 547,910 | |
0% 8/15/23 | 1,000,000 | 983,820 | |
Love Field Arpt. Modernization Rev. Series 2015, 5% 11/1/23 (c) | 375,000 | 413,959 | |
Lower Colorado River Auth. Rev.: | |||
(LCRA Transmission Corp. Proj.) Series 2011 B, 5% 5/15/23 | 465,000 | 484,865 | |
(LCRA Transmission Svcs. Corp. Proj.): | |||
Series 2019 A, 5% 5/15/21 | 1,335,000 | 1,393,862 | |
Series 2020: | |||
5% 5/15/21 (e) | 1,265,000 | 1,320,776 | |
5% 5/15/22 (e) | 1,000,000 | 1,088,770 | |
5% 5/15/23 (e) | 215,000 | 243,240 | |
Mansfield Independent School District Series 2016, 5% 2/15/24 | 95,000 | 110,981 | |
Matagorda County Navigation District No. 1 Poll. Cont. Rev. Bonds Series 1996, 1.75%, tender 9/1/20 (a)(c) | 2,555,000 | 2,561,728 | |
Mission Econ. Dev. Corp. Solid Waste Disp. Rev. Bonds (Republic Svcs., Inc. Proj.) Series 2020 A, 1.5%, tender 8/3/20 (a)(c) | 300,000 | 300,008 | |
New Caney Independent School District Bonds Series 2018, 3%, tender 8/15/21 (a) | 1,090,000 | 1,120,367 | |
Newark Higher Ed. Fin. Corp. (Abilene Christian Univ. Proj.) Series 2016 A, 5% 4/1/26 | 55,000 | 62,614 | |
North East Texas Independent School District: | |||
Bonds Series 2013 B, 1.42%, tender 8/1/21 (a) | 295,000 | 295,322 | |
Series 2018, 5% 8/1/20 | 1,080,000 | 1,088,632 | |
North Harris County Reg'l. Wtr. Auth. Series 2013, 4% 12/15/22 | 35,000 | 38,198 | |
North Texas Tollway Auth. Rev.: | |||
Series 2011 A, 5.5% 9/1/41 (Pre-Refunded to 9/1/21 @ 100) | 1,715,000 | 1,826,595 | |
Series 2011 D, 5% 9/1/28 (Pre-Refunded to 9/1/21 @ 100) | 2,150,000 | 2,276,528 | |
Series 2019 A, 5% 1/1/21 | 1,700,000 | 1,745,700 | |
Northside Independent School District: | |||
Bonds: | |||
Series 2017, 1.45%, tender 6/1/20 (a) | 1,200,000 | 1,200,000 | |
2%, tender 6/1/21 (a) | 2,705,000 | 2,740,697 | |
Series 2011, 2.125%, tender 8/1/20 (a) | 4,745,000 | 4,755,638 | |
Prosper Independent School District Bonds Series 2019 B, 2%, tender 8/15/23 (a) | 1,000,000 | 1,028,530 | |
Sam Rayburn Muni. Pwr. Agcy. Series 2012, 5% 10/1/20 | 20,000 | 20,286 | |
San Antonio Arpt. Sys. Rev.: | |||
Series 2012, 4% 7/1/20 (c) | 1,385,000 | 1,388,178 | |
Series 2019 A: | |||
5% 7/1/20 (c) | 500,000 | 501,527 | |
5% 7/1/20 (c) | 1,000,000 | 1,003,096 | |
5% 7/1/21 (c) | 640,000 | 666,310 | |
5% 7/1/21 (c) | 1,330,000 | 1,383,932 | |
5% 7/1/22 (c) | 275,000 | 294,418 | |
5% 7/1/22 (c) | 265,000 | 283,431 | |
5% 7/1/23 (c) | 195,000 | 214,348 | |
5% 7/1/25 (c) | 400,000 | 459,104 | |
5% 7/1/26 (c) | 500,000 | 584,365 | |
San Antonio Elec. & Gas Sys. Rev. Bonds: | |||
Series 2015 B, 2%, tender 12/1/21 (a) | 3,550,000 | 3,605,416 | |
Series 2015 D, 3%, tender 12/1/20 (a) | 4,000,000 | 4,051,206 | |
San Antonio Hsg. Trust Fin. Corp. Bonds Series 2019, 1.4%, tender 1/1/22 (a) | 5,000,000 | 5,058,950 | |
San Antonio Pub. Facilities Corp. and Rfdg. Lease (Convention Ctr. Proj.) Series 2012: | |||
5% 9/15/21 | 20,000 | 21,163 | |
5% 9/15/22 | 75,000 | 82,643 | |
San Antonio Wtr. Sys. Rev. Bonds Series 2013 F, 2%, tender 11/1/21 (a) | 1,000,000 | 1,021,390 | |
Sherman Independent School District Bonds Series 2018 B: | |||
3%, tender 7/31/20 (a) | 75,000 | 75,335 | |
3%, tender 8/1/20 (a) | 205,000 | 205,916 | |
3%, tender 8/1/20 (a) | 3,720,000 | 3,733,655 | |
Tarrant County Cultural Ed. Facilities Fin. Corp. Hosp. Rev.: | |||
(Scott & White Healthcare Proj.) Series 2013 A: | |||
5% 8/15/21 | 15,000 | 15,840 | |
5% 8/15/23 | 20,000 | 22,623 | |
Series 2013, 5% 9/1/20 | 20,000 | 20,195 | |
Tarrant County Cultural Ed. Facilities Fin. Corp. Retirement Facility Rev. (MRC Crestview Proj.) Series 2010, 8.125% 11/15/44 (Pre-Refunded to 11/15/20 @ 100) | 250,000 | 258,388 | |
Tarrant County Cultural Ed. Facilities Fin. Corp. Rev.: | |||
Series 2016 A, 5% 2/15/26 | 35,000 | 42,671 | |
Series 2017 A, 5% 2/15/24 | 45,000 | 51,923 | |
Texas Dept. of Hsg. & Cmnty. Affairs Multi-family Hsg. Rev. Bonds: | |||
Series 2018, 1.17%, tender 2/1/21 (a) | 3,800,000 | 3,801,657 | |
Series 2019, 2.11%, tender 2/1/21 | 2,880,000 | 2,906,838 | |
Series 2020, 1.6%, tender 11/1/20 (a) | 2,000,000 | 2,001,055 | |
Texas Gen. Oblig.: | |||
Bonds: | |||
Series 2019 C2, 1.85%, tender 8/1/22 (a) | 265,000 | 265,488 | |
Series 2019 E2, 2.25%, tender 8/1/22 (a) | 740,000 | 742,383 | |
Series 2013 B, 5.25% 8/1/21 (c) | 940,000 | 995,037 | |
Series 2018, 4% 8/1/21 (c) | 790,000 | 824,784 | |
Texas State Univ. Sys. Fing. Rev. Series 2019 A, 4% 3/15/21 | 2,000,000 | 2,060,791 | |
Texas Wtr. Dev. Board Rev. Series 2019 A: | |||
5% 10/15/20 | 1,340,000 | 1,364,093 | |
5% 4/15/21 | 850,000 | 885,805 | |
Tomball Independent School District Bonds Series 2014 B2, 2.125%, tender 8/15/21 (a) | 1,000,000 | 1,017,440 | |
Travis County Health Facilities Dev. Corp. Rev. (Longhorn Village Proj.) Series 2012 A, 7% 1/1/32 (Pre-Refunded to 1/1/21 @ 100) | 1,740,000 | 1,807,251 | |
Trinity River Auth. Reg'l. Wastewtr. Sys. Rev. Series 2016, 5% 8/1/23 | 35,000 | 40,108 | |
Univ. of Texas Board of Regents Sys. Rev. Series 2017 C: | |||
5% 8/15/20 | 1,090,000 | 1,100,848 | |
5% 8/15/21 | 1,945,000 | 2,058,316 | |
TOTAL TEXAS | 237,865,786 | ||
Utah - 0.0% | |||
Salt Lake City Arpt. Rev. Series 2018 A, 5% 7/1/23 (c) | 250,000 | 275,915 | |
Virginia - 2.6% | |||
Arlington County IDA Hosp. Facilities Series 2020: | |||
5% 7/1/23 | 340,000 | 379,056 | |
5% 7/1/24 | 425,000 | 487,003 | |
Charles City County Solid Wt Rev. Bonds Series 2002, 3%, tender 4/1/27 (a)(c) | 5,750,000 | 5,811,307 | |
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)(c) | 1,750,000 | 1,771,665 | |
Chesapeake Bay Bridge and Tunnel District Gen. Resolution Rev. Series 2019, 5% 11/1/23 | 2,000,000 | 2,149,680 | |
Chesapeake Hosp. Auth. Hosp. Facility Rev. Series 2019, 4% 7/1/20 | 2,285,000 | 2,291,987 | |
Chesapeake Trans. Sys. Toll Road Rev. Series 2012 A: | |||
4% 7/15/20 | 15,000 | 15,061 | |
5% 7/15/21 | 10,000 | 10,489 | |
Fairfax County Indl. Dev. Auth. Bonds (Inova Health Sys. Proj.) Series 2018 B, 5%, tender 5/15/23 (a) | 250,000 | 282,443 | |
Fairfax County Redev. & Hsg. Auth. Rev. Bonds Series 2018: | |||
2.21%, tender 8/1/20 (a)(c) | 2,000,000 | 2,005,456 | |
2.26%, tender 8/1/20 (a) | 2,000,000 | 2,005,619 | |
Fredericksburg Econ. Dev. Auth. Rev. Series 2014, 5% 6/15/24 | 50,000 | 57,247 | |
Halifax County Indl. Dev. Auth. Bonds 2.15%, tender 9/1/20 (a) | 2,935,000 | 2,937,094 | |
Hampton Roads Trans. Accountability Commission Series 2019 A, 5% 7/1/22 | 14,500,000 | 15,900,410 | |
King George County Indl. Dev. Auth. Solid Waste Disp. Fac. Rev. (King George Landfill, Inc. Proj.) Series 2003 A, 2.5% 6/1/23 (a)(c) | 735,000 | 749,516 | |
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 | 2,575,175 | |
Series 2008 C, 1.8%, tender 4/1/22 (a) | 1,600,000 | 1,639,968 | |
Series 2008 B, 2.15%, tender 9/1/20 (a) | 2,110,000 | 2,111,505 | |
Newport New Redev. & Hsg. Multi-family Hsg. Bonds Series 2018, 2.05%, tender 8/1/20 (a) | 7,000,000 | 7,017,085 | |
Russell County Poll. Cont. (Appalachian Pwr. Co. Proj.) Series K 4.625% 11/1/21 | 250,000 | 250,468 | |
Spotsylvania County Econ. Dev. Bonds (Palmers Creek Apt. Proj.) Series 2019, 1.45%, tender 2/1/22 (a) | 5,000,000 | 5,065,950 | |
Stafford County Econ. Dev. Auth. Hosp. Facilities Rev. Series 2016: | |||
5% 6/15/24 | 25,000 | 28,624 | |
5% 6/15/25 | 20,000 | 23,386 | |
5% 6/15/26 | 35,000 | 41,771 | |
Staunton Redev. & Hsg. Auth. M Bonds Series 2019, 1.95%, tender 11/1/20 (a) | 5,500,000 | 5,528,803 | |
Sussex County Indl. Dev. Auth. Solid Waste Disp. Rev. Bonds Series 2003 A, 2.4%, tender 5/2/22 (a)(c) | 805,000 | 814,966 | |
Virginia Pub. Bldg. Auth. Pub. Facilities Rev.: | |||
Series 2016 C, 5% 8/1/20 (c) | 2,000,000 | 2,015,616 | |
Series 2019 B, 5% 8/1/20 (c) | 4,030,000 | 4,061,467 | |
Series 2020 A, 5% 8/1/22 | 1,940,000 | 2,141,275 | |
Series 2020 B, 5% 8/1/21 | 2,625,000 | 2,772,998 | |
Virginia Pub. School Auth. School Fing. Series 2018 B, 5% 8/1/20 | 4,670,000 | 4,707,248 | |
Virginia Resources Auth. Moral Oblig. (Virginia Pooled Fing. Prog.) Series 2018 C, 5% 11/1/20 | 1,115,000 | 1,137,224 | |
Wise County Indl. Dev. Auth. Waste & Sewage Rev. Bonds: | |||
(Virginia Elec. and Pwr. Co. Proj.) Series 2010 A, 1.875%, tender 5/31/24 (a) | 6,205,000 | 6,205,000 | |
Series 2009 A, 2.15%, tender 9/1/20 (a) | 2,605,000 | 2,606,859 | |
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 | 309,906 | |
TOTAL VIRGINIA | 87,909,327 | ||
Washington - 2.2% | |||
Central Puget Sound Reg'l. Trans. Auth. Sales & Use Tax Rev. Bonds Series 2015 S2A, SIFMA Municipal Swap Index + 0.300% 0.44%, tender 11/1/21 (a)(b) | 20,000,000 | 19,823,800 | |
Grant County Pub. Util. District #2 Series 2012 A, 5% 1/1/21 (Escrowed to Maturity) | 40,000 | 41,121 | |
King County Hsg. Auth. Rev.: | |||
Series 2018, 3.5% 5/1/21 | 500,000 | 513,891 | |
Series 2019: | |||
3% 11/1/23 | 1,175,000 | 1,271,174 | |
4% 11/1/24 | 135,000 | 154,919 | |
King County Swr. Rev. Bonds Series 2012, 2.6%, tender 12/1/21 (a) | 3,600,000 | 3,651,948 | |
Pierce County Swr. Rev. Series 2012, 5% 8/1/20 | 1,280,000 | 1,290,102 | |
Port of Seattle Gen. Oblig. Series 2011: | |||
5.25% 12/1/20 (c) | 375,000 | 384,273 | |
5.25% 12/1/21 (c) | 300,000 | 314,622 | |
Port of Seattle Rev.: | |||
Series 2012 B, 5% 8/1/23 (c) | 1,345,000 | 1,451,941 | |
Series 2015 C, 5% 4/1/21 (c) | 540,000 | 558,043 | |
Series 2016 B: | |||
5% 10/1/21 (c) | 60,000 | 63,733 | |
5% 10/1/22 (c) | 55,000 | 60,117 | |
5% 10/1/23 (c) | 65,000 | 73,109 | |
Series 2017 C, 5% 5/1/22 (c) | 5,540,000 | 5,963,422 | |
Series 2018 A, 5% 5/1/22 (c) | 11,475,000 | 12,352,034 | |
Series 2019: | |||
5% 4/1/21 (c) | 1,000,000 | 1,037,244 | |
5% 4/1/22 (c) | 215,000 | 230,843 | |
5% 4/1/23 (c) | 215,000 | 236,816 | |
Port of Seattle Spl. Facility Rev. Series 2013, 5% 6/1/22 (c) | 500,000 | 540,150 | |
Seattle Muni. Lt. & Pwr. Rev. Bonds Series 2018 B2, SIFMA Municipal Swap Index + 0.290% 0.43%, tender 11/1/21 (a)(b) | 10,000,000 | 9,933,600 | |
Tacoma Elec. Sys. Rev.: | |||
Series 2013 A: | |||
4% 1/1/21 | 5,000 | 5,110 | |
5% 1/1/21 | 40,000 | 41,113 | |
Series 2017: | |||
5% 1/1/22 | 15,000 | 16,141 | |
5% 1/1/25 | 15,000 | 18,074 | |
5% 1/1/26 | 10,000 | 12,414 | |
Tobacco Settlement Auth. Rev.: | |||
Series 2013, 5% 6/1/20 | 1,190,000 | 1,190,000 | |
Series 2018, 5% 6/1/22 | 215,000 | 225,580 | |
Washington Gen. Oblig.: | |||
Series 2003 C, 0% 6/1/20 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 345,000 | 345,000 | |
Series R 2020 C: | |||
5% 7/1/21 | 1,000,000 | 1,052,790 | |
5% 7/1/22 | 2,500,000 | 2,752,450 | |
Washington Health Care Facilities Auth. Rev.: | |||
(Providence Health Systems Proj.) Series 2012 A, 5% 10/1/24 | 250,000 | 272,860 | |
(Virginia Mason Med. Ctr. Proj.) Series 2017: | |||
5% 8/15/25 | 205,000 | 216,425 | |
5% 8/15/26 | 115,000 | 121,673 | |
5% 8/15/27 | 50,000 | 53,064 | |
Bonds: | |||
Series 2012 B, 5%, tender 10/1/21 (a) | 250,000 | 264,140 | |
Series 2019 B, 5%, tender 8/1/24 (a) | 1,095,000 | 1,204,281 | |
Series 2012 A, 5% 10/1/22 | 445,000 | 488,245 | |
Washington Hsg. Fin. Commission Multi-family Hsg. Rev. (Columbia Park Apts. Proj.) Series 2019, 1.39%, tender 7/1/21 (a) | 5,000,000 | 5,042,300 | |
TOTAL WASHINGTON | 73,268,562 | ||
West Virginia - 0.4% | |||
Harrison County Commission Solid Waste Disp. Rev. Bonds (Monongahela Pwr. Co. Proj.) Series 2018 A, 3%, tender 10/15/21 (a)(c) | 6,900,000 | 7,061,529 | |
Mason Co. Poll. Cont. Rev. (Appalachian Pwr. Co. Proj.) Series 2003 L, 2.75% 10/1/22 | 2,445,000 | 2,503,191 | |
West Virginia Econ. Dev. Auth. Solid Waste Disp. Facilities Rev. Bonds (Appalachian Pwr. Co. Amos Proj.) Series 2011 A, 1.7%, tender 9/1/20 (a)(c) | 2,125,000 | 2,126,329 | |
West Virginia Hsg. Dev. Fund Series 2017 A, 2.4% 11/1/22 (c) | 960,000 | 991,776 | |
TOTAL WEST VIRGINIA | 12,682,825 | ||
Wisconsin - 1.3% | |||
Crosse Resources Recovery Rev. Series 1996, 6% 11/1/21 (c) | 1,500,000 | 1,612,305 | |
Milwaukee County Arpt. Rev.: | |||
Series 2013 A: | |||
5% 12/1/20 (c) | 30,000 | 30,600 | |
5% 12/1/22 (c) | 30,000 | 32,677 | |
5.25% 12/1/23 (c) | 35,000 | 39,556 | |
Series 2016 A, 5% 12/1/22 (c) | 1,000,000 | 1,089,240 | |
Milwaukee Gen. Oblig. Series 2020 N4, 5% 4/1/22 | 2,000,000 | 2,162,640 | |
Pub. Fin. Auth. Solid Waste Bonds (Waste Mgmt., Inc. Proj.) Series 2017 A, 1.9%, tender 9/1/27 (a)(c) | 17,000,000 | 17,011,715 | |
Pub. Fin. Auth. Wis Edl. Facilities Series 2018, 5% 7/1/20 (d) | 545,000 | 545,209 | |
Wisconsin Health & Edl. Facilities: | |||
(Agnesian Healthcare Proj.) Series 2017, 5% 7/1/21 | 100,000 | 104,977 | |
Bonds: | |||
(Ascension Health Cr. Group Proj.) Series 2013 B: | |||
5%, tender 6/1/20 (a) | 2,020,000 | 2,020,000 | |
5%, tender 6/1/21 (a) | 1,905,000 | 1,983,728 | |
Series 2018 B, 5%, tender 1/26/22 (a) | 5,710,000 | 6,145,445 | |
Series 2018 C, SIFMA Municipal Swap Index + 0.450% 0.59%, tender 7/27/22 (a)(b) | 3,885,000 | 3,839,235 | |
Series 2018 C3, SIFMA Municipal Swap Index + 0.550% 0.69%, tender 7/26/23 (a)(b) | 4,000,000 | 3,941,840 | |
Series 2014 A, 5% 11/15/21 | 325,000 | 347,029 | |
Series 2014, 5% 5/1/21 | 15,000 | 15,526 | |
Series 2019 A: | |||
5% 12/1/23 | 30,000 | 33,825 | |
5% 12/1/24 | 100,000 | 115,900 | |
5% 12/1/25 | 125,000 | 147,603 | |
5% 12/1/26 | 200,000 | 240,994 | |
Series 2019, 5% 10/1/21 | 400,000 | 417,448 | |
Series 2020, 4% 7/1/21 | 820,000 | 850,889 | |
Wisconsin Health & Edl. Facilities Auth. Rev.: | |||
Series 2010, 5% 12/15/20 | 350,000 | 351,197 | |
Series 2012, 5% 10/1/21 | 30,000 | 31,309 | |
Wisconsin Hsg. & Econ. Dev. Auth. Series 2018 A, 2.05% 9/1/20 (c) | 1,195,000 | 1,199,119 | |
TOTAL WISCONSIN | 44,310,006 | ||
Wyoming - 0.1% | |||
Wyoming Cmnty. Dev. Auth. Hsg. Rev. Bonds Series 2018 4, SIFMA Municipal Swap Index + 0.320% 0.46%, tender 9/1/21 (a)(b) | 5,000,000 | 4,967,350 | |
TOTAL MUNICIPAL BONDS | |||
(Cost $1,895,053,322) | 1,903,762,197 | ||
Municipal Notes - 26.9% | |||
Alabama - 0.2% | |||
Health Care Auth. for Baptist Health Series 2013 B, 1.7% 6/5/20, VRDN (a) | 6,705,000 | $6,705,000 | |
Alaska - 0.1% | |||
Alaska Hsg. Fin. Corp. Series 2002 A, 0.13% 6/1/20 (Liquidity Facility JPMorgan Chase Bank), VRDN (a)(c) | 4,900,000 | 4,900,000 | |
California - 0.9% | |||
California Dept. of Wtr. Resources Series 2, 0.24% 9/6/20, CP | 4,500,000 | 4,500,851 | |
California Health Facilities Fing. Auth. Rev. Participating VRDN Series Floaters XG 01 75, 0.3% 6/5/20 (Liquidity Facility Bank of America NA) (a)(f)(g) | 5,300,000 | 5,300,000 | |
California Muni. Fin. Auth. Participating VRDN Series XF 10 88, 0.49% 6/5/20 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(f)(g) | 3,600,000 | 3,600,000 | |
California Statewide Cmntys. Dev. Auth. Hosp. Rev. Series 2020, 1.2% 8/12/20, CP | 5,000,000 | 5,008,721 | |
Los Angeles Dept. of Wtr. & Pwr. Rev. Series 2002 A2, 0.04% 6/1/20 (Liquidity Facility Bank of America NA), VRDN (a) | 3,500,000 | 3,500,000 | |
San Diego County Reg'l. Arpt. Auth. Arpt. Rev. Participating VRDN Series XF 28 50, 0.94% 6/5/20 (Liquidity Facility Cr. Suisse AG) (a)(c)(d)(f)(g) | 1,300,000 | 1,300,000 | |
San Francisco City & County Arpts. Commission Int'l. Arpt. Rev. Participating VRDN Series Floaters XM 06 75, 0.49% 6/5/20 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(c)(f)(g) | 2,775,000 | 2,775,000 | |
San Francisco City & County Multi-family Hsg. Rev. Participating VRDN Series DBE 80 49, 0.49% 6/5/20 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(f)(g) | 4,700,000 | 4,700,000 | |
Shafter Indl. Dev. Auth. Indl. Dev. Rev. 0.52% 6/5/20, LOC Deutsche Bank AG New York Branch, VRDN (a)(c) | 350,000 | 350,000 | |
TOTAL CALIFORNIA | 31,034,572 | ||
Colorado - 1.7% | |||
Colorado Ed. Ln. Prog. TRAN Series 2019 A, 3% 6/29/20 | 5,000,000 | 5,010,917 | |
Colorado Edl. & Cultural Facilities Auth. Rev. (Mesivta of Greater Los Angeles Proj.) Series 2005, 0.49% 6/5/20, LOC Deutsche Bank AG, VRDN (a) | 785,000 | 785,000 | |
Colorado Gen. Fdg. Rev. TRAN Series 2019, 3% 6/26/20 | 30,000,000 | 30,058,482 | |
Denver City & County Arpt. Rev. Participating VRDN: | |||
Series Floaters XL 00 90, 0.44% 6/5/20 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(c)(f)(g) | 20,100,000 | 20,100,000 | |
Series Floaters XM 07 15, 0.44% 6/5/20 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(c)(f)(g) | 1,240,000 | 1,240,000 | |
TOTAL COLORADO | 57,194,399 | ||
Connecticut - 0.1% | |||
Oxford Gen. Oblig. BAN Series 2020, 2.5% 1/15/21 | 2,000,000 | 2,021,928 | |
Delaware - 0.2% | |||
Delaware Econ. Dev. Auth. Rev. (Delmarva Pwr. & Lt. Co. Proj.) Series 1994, 0.17% 6/1/20, VRDN (a)(c) | 6,500,000 | 6,500,000 | |
Delaware, New Jersey - 0.1% | |||
Delaware River & Bay Auth. Rev. Participating VRDN Series XF 08 18, 0.3% 6/5/20 (Liquidity Facility JPMorgan Chase Bank) (a)(f)(g) | 2,100,000 | 2,100,000 | |
Florida - 2.8% | |||
Broward County Arpt. Sys. Rev. Participating VRDN: | |||
Series Floaters XL 00 88, 0.74% 6/5/20 (Liquidity Facility Barclays Bank PLC) (a)(c)(f)(g) | 3,780,000 | 3,780,000 | |
Series XL 01 36, 0.49% 6/5/20 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(f)(g) | 3,000,000 | 3,000,000 | |
Broward County Indl. Dev. Rev. (Florida Pwr. & Lt. Co. Proj.) Series 2015, 0.21% 6/1/20, VRDN (a)(c) | 5,040,000 | 5,040,000 | |
Broward County School District TAN Series 2019, 3% 6/30/20 | 10,000,000 | 10,022,123 | |
Hillsborough County Indl. Dev. Auth. Series 2020 D, 0.06% 6/1/20, LOC TD Banknorth, NA, VRDN (a) | 4,700,000 | 4,700,000 | |
Jacksonville Elec. Auth. Elec. Sys. Rev. Series 2008 3 A, 0.3% 6/5/20 (Liquidity Facility Barclays Bank PLC), VRDN (a) | 1,135,000 | 1,135,000 | |
Jacksonville Health Care Series 2020, 1.17% 8/10/20, CP | 2,000,000 | 2,003,594 | |
Lee Memorial Health Sys. Hosp. Rev. Series 2019 B, 1.25% 6/5/23, VRDN (a) | 1,000,000 | 1,000,000 | |
Miami-Dade County Series A1, 0.33% 8/11/20, LOC Bank of America NA, CP (c) | 10,000,000 | 10,001,013 | |
Palm Beach County Health Facilities Auth. Rev. Participating VRDN Series Floaters 017, 0.49% 7/10/20 (Liquidity Facility Barclays Bank PLC) (a)(f)(g) | 33,540,000 | 33,540,000 | |
Saint Lucie County Poll. Cont. Rev. (Florida Pwr. & Lt. Co. Proj.) Series 2000, 0.11% 6/1/20, VRDN (a) | 5,000,000 | 5,000,000 | |
Saint Lucie County Solid Waste Disp. (Florida Pwr. & Lt. Co. Proj.) Series 2003, 0.21% 6/1/20, VRDN (a)(c) | 900,000 | 900,000 | |
South Miami Health Facilities Auth. Hosp. Rev. Participating VRDN: | |||
Series XF 25 23, 0.24% 6/5/20 (Liquidity Facility Barclays Bank PLC) (a)(f)(g) | 10,000,000 | 10,000,000 | |
Series ZM 05 71, 0.24% 6/5/20 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(f)(g) | 5,230,000 | 5,230,000 | |
TOTAL FLORIDA | 95,351,730 | ||
Georgia - 0.3% | |||
Burke County Indl. Dev. Auth. Poll. Cont. Rev. (Georgia Pwr. Co. Plant Vogtle Proj.): | |||
First Series 2009, 0.21% 6/1/20, VRDN (a) | 4,590,000 | 4,590,000 | |
Series 2012, 0.24% 6/1/20, VRDN (a)(c) | 5,385,000 | 5,385,000 | |
Monroe County Dev. Auth. Poll. Cont. Rev. (Georgia Pwr. Co. Plant Scherer Proj.) Series 1997, 0.21% 6/1/20, VRDN (a) | 500,000 | 500,000 | |
TOTAL GEORGIA | 10,475,000 | ||
Idaho - 0.5% | |||
Idaho Gen. Oblig. TAN Series 2019, 3% 6/30/20 | 13,500,000 | 13,527,329 | |
Idaho Hsg. & Fin. Assoc. Single Family Mtg. Series A, 0.46% 6/5/20 (Liquidity Facility Fannie Mae) (Liquidity Facility Freddie Mac), VRDN (a) | 1,590,000 | 1,590,000 | |
TOTAL IDAHO | 15,117,329 | ||
Illinois - 0.8% | |||
Chicago O'Hare Int'l. Arpt. Rev. Participating VRDN Series Floaters XL 00 49, 0.34% 6/1/20 (Liquidity Facility Citibank NA) (a)(c)(f)(g) | 750,000 | 750,000 | |
Chicago Park District Gen. Oblig. Participating VRDN Series ROC II R 11935, 0.39% 6/5/20 (Liquidity Facility Citibank NA) (a)(f)(g) | 2,300,000 | 2,300,000 | |
Cook County Gen. Oblig. Participating VRDN Series 2015 XF0124, 0.37% 6/5/20 (Liquidity Facility JPMorgan Chase Bank) (a)(f)(g) | 1,280,000 | 1,280,000 | |
Illinois Fin. Auth. Rev. Series 2008 B, 0.15% 6/5/20, VRDN (a) | 3,825,000 | 3,825,000 | |
Reg'l. Transn Auth. Extend Series 2005 B, 0.9% 6/5/20, VRDN (a) | 2,000,000 | 2,000,000 | |
Sales Tax Securitization Corp. Participating VRDN Series YX 10 99, 0.29% 6/5/20 (Liquidity Facility Barclays Bank PLC) (a)(f)(g) | 18,000,000 | 18,000,000 | |
TOTAL ILLINOIS | 28,155,000 | ||
Indiana - 0.1% | |||
Ctr. Grove Multi-Facility School Bldg. Corp. BAN Series 2019, 2.5% 12/15/20 | 3,200,000 | 3,203,830 | |
Indiana Fin. Auth. Rev. (Ascension Health Subordinate Cr. Proj.) Series 2008 E5, 0.11% 6/5/20, VRDN (a) | 750,000 | 750,000 | |
TOTAL INDIANA | 3,953,830 | ||
Kansas - 0.4% | |||
Baldwin City BAN Series 2020 A, 4.4% 3/1/21 | 2,000,000 | 2,060,608 | |
Wichita Gen. Oblig. BAN Series 298, 4% 10/15/20 | 10,000,000 | 10,138,269 | |
TOTAL KANSAS | 12,198,877 | ||
Kentucky - 0.3% | |||
Louisville & Jefferson County Reg'l. Arpt. Auth. Spl. Facilities Rev. (UPS Worldwide Forwarding, Inc. Proj.): | |||
Series 1999 A, 0.22% 6/1/20, VRDN (a)(c) | 1,100,000 | 1,100,000 | |
Series 1999 C, 0.24% 6/1/20, VRDN (a)(c) | 8,200,000 | 8,200,000 | |
TOTAL KENTUCKY | 9,300,000 | ||
Louisiana - 0.9% | |||
Saint Charles Parish Poll. Cont. Rev. (Shell Oil Co. Proj.) Series 1992 A, 0.11% 6/1/20, VRDN (a)(c) | 300,000 | 300,000 | |
Saint James Parish Gen. Oblig. (Nucor Steel Louisiana LLC Proj.): | |||
Series 2010 A1, 0.4% 6/5/20, VRDN (a) | 12,010,000 | 12,010,000 | |
Series 2010 B1, 0.37% 6/5/20, VRDN (a) | 18,050,000 | 18,050,000 | |
TOTAL LOUISIANA | 30,360,000 | ||
Maryland - 0.8% | |||
Baltimore Proj. Rev. Bonds Series Floaters G 42, 0.34%, tender 1/4/21 (Liquidity Facility Royal Bank of Canada) (a)(f)(g)(h) | 4,500,000 | 4,500,000 | |
Maryland Cmnty. Dev. Administration Dept. of Hsg. & Cmnty. Dev. Series 2006 J, 0.15% 6/5/20 (Liquidity Facility State Street Bank & Trust Co., Boston), VRDN (a)(c) | 2,500,000 | 2,500,000 | |
Maryland Econ. Dev. Corp. Student Hsg. Rev. Participating VRDN Series XF 28 32, 0.36% 6/5/20 (a)(f)(g) | 15,000,000 | 15,000,000 | |
Maryland Health & Higher Edl. Facilities Auth. Rev. Participating VRDN Series 005, 0.49% 6/4/20 (Liquidity Facility Barclays Bank PLC) (a)(f)(g) | 2,420,000 | 2,420,000 | |
Montgomery County Gen. Oblig. Series 2010 A, 0.23% 7/22/20 (Liquidity Facility PNC Bank NA), CP | 3,000,000 | 3,000,222 | |
TOTAL MARYLAND | 27,420,222 | ||
Massachusetts - 0.6% | |||
Massachusetts Edl. Fing. Auth. Rev. Participating VRDN Series Floaters XF 23 06, 0.44% 6/5/20 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(c)(f)(g) | 2,075,000 | 2,075,000 | |
Massachusetts Gen. Oblig. RAN Series 2019, 4% 6/18/20 | 2,000,000 | 2,003,566 | |
Middleborough Gen. Oblig. BAN Series 2020, 2% 10/1/21 | 13,000,000 | 13,281,580 | |
Nahant BAN: | |||
Series 2019 A, 2.5% 6/26/20 | 500,000 | 500,703 | |
Series 2019 B, 2.5% 7/9/20 | 1,300,000 | 1,302,084 | |
Truro Massachusetts BAN Series 2019, 2.5% 6/19/20 | 1,300,000 | 1,301,500 | |
TOTAL MASSACHUSETTS | 20,464,433 | ||
Michigan - 0.9% | |||
Michigan Fin. Auth. Rev. RAN Series 2019 A: | |||
2% 8/20/20, LOC JPMorgan Chase Bank | 15,000,000 | 15,049,229 | |
4% 8/20/20 | 13,000,000 | 13,107,713 | |
Waterford School District RAN Series 2019, 2% 9/23/20 | 2,600,000 | 2,613,321 | |
TOTAL MICHIGAN | 30,770,263 | ||
Minnesota - 0.3% | |||
Shakopee Minn Sr Hsg. Rev. Participating VRDN Series Floaters 001, 0.49% 7/10/20 (Liquidity Facility Barclays Bank PLC) (a)(f)(g) | 2,000,000 | 2,000,000 | |
Univ. of Minnesota Gen. Oblig. Series G, 0.4% 6/5/20, CP | 7,400,000 | 7,400,426 | |
TOTAL MINNESOTA | 9,400,426 | ||
Mississippi - 0.4% | |||
Mississippi Bus. Fin. Corp. Solid Waste Disp. Rev. (Gulf Pwr. Co. Proj.) Series 2012, 0.2% 6/1/20, VRDN (a)(c) | 12,030,000 | 12,030,000 | |
Missouri - 0.2% | |||
Missouri Health & Edl. Facilities Auth. Rev. Participating VRDN Series Floaters C16, 0.21% 6/5/20 (Liquidity Facility Royal Bank of Canada) (a)(f)(g) | 8,000,000 | 8,000,000 | |
Montana - 0.2% | |||
Tender Opt Bd Trust Rcpts / Ctfs. Participating VRDN Series XF 10 90, 0.54% 6/5/20 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(f)(g) | 7,990,000 | 7,990,000 | |
New Jersey - 0.5% | |||
Asbury Park Gen. Oblig. BAN Series 2019, 2.5% 7/9/20 | 3,100,000 | 3,106,624 | |
Mercer County Gen. Oblig. BAN Series 2020, 2% 6/10/21 (e) | 5,000,000 | 5,087,094 | |
Millburn Township Gen. Oblig. BAN Series 2019, 2.25% 6/12/20 | 1,400,000 | 1,400,759 | |
Millstone Township Gen. Oblig. BAN Series 2019, 2.25% 8/28/20 | 2,900,000 | 2,912,795 | |
Passaic Gen. Oblig. BAN Series 2019, 2.25% 8/27/20 | 1,600,000 | 1,606,978 | |
Warren Township School District BAN Series 2019, 2.5% 7/23/20 | 2,246,000 | 2,250,929 | |
TOTAL NEW JERSEY | 16,365,179 | ||
New York - 5.1% | |||
Hempstead Union Free School District TAN Series 2019, 2.5% 6/25/20 | 2,000,000 | 2,001,796 | |
Middletown BAN Series 2019, 2% 8/27/20 | 16,419,175 | 16,481,000 | |
Nassau County Gen. Oblig.: | |||
BAN Series 2019 A, 5% 6/1/20 | 11,500,000 | 11,500,000 | |
RAN Series A, 2% 12/9/20 | 10,000,000 | 10,038,905 | |
New York City Gen. Oblig. Series 2006, 1.09% 6/5/20 (FSA Insured), VRDN (a) | 625,000 | 625,000 | |
New York Metropolitan Trans. Auth. Dedicated Tax Fund Rev. Series 2016, 0.12% 6/5/20, LOC Bank of Tokyo-Mitsubishi UFJ Ltd., VRDN (a) | 1,275,000 | 1,275,000 | |
New York Metropolitan Trans. Auth. Rev. BAN: | |||
Series 2018 B: | |||
5% 5/15/21 | 12,060,000 | 12,221,037 | |
5% 5/15/21 | 215,000 | 217,871 | |
5% 5/15/21 | 5,505,000 | 5,578,516 | |
Series 2018 C, 5% 9/1/21 | 4,030,000 | 4,099,437 | |
Series 2019 B, 5% 5/15/22 | 10,310,000 | 10,556,203 | |
Series 2019 C, 4% 7/1/20 | 7,000,000 | 7,003,511 | |
Series 2019 D1, 5% 9/1/22 | 30,600,000 | 31,421,916 | |
Series 2019 E, 4% 9/1/20 | 11,300,000 | 11,316,510 | |
New York Pwr. Auth. Series 1, 0.39% 7/8/20, CP | 5,000,000 | 5,001,096 | |
New York Thruway Auth. Gen. Rev. Participating VRDN Series XM 08 31, 0.39% 6/5/20 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(f)(g) | 2,000,000 | 2,000,000 | |
Port Chester-Rye BAN Series 2019, 2.5% 6/12/20 | 10,000,000 | 10,006,185 | |
Putnam County Indl. Dev. Agcy. Rev. Series 2006 A, 0.49% 6/5/20, LOC RBS Citizens NA, VRDN (a) | 1,300,000 | 1,300,000 | |
Smithtown Central School District TAN Series 2019, 1.75% 6/26/20 | 1,500,000 | 1,501,329 | |
South Glens Falls Central School District BAN Series 2019 B, 2.5% 7/24/20 | 600,000 | 601,654 | |
Suffolk County Gen. Oblig.: | |||
RAN Series 2020, 5% 3/19/21 | 2,000,000 | 2,034,806 | |
TAN Series I, 2.5% 7/23/20 | 12,000,000 | 12,007,986 | |
Tender Opt Bd Trust Rcpts / Ctfs. Participating VRDN Series XM 08 34, 0.89% 6/5/20 (Liquidity Facility JPMorgan Chase Bank) (a)(f)(g) | 4,700,000 | 4,700,000 | |
Town of Colonie Albany County BAN Series 2020, 1.25% 3/12/21 | 5,987,000 | 6,005,570 | |
Triborough Bridge and Tunnel Auth. Participating VRDN Series XM 03 41, 0.4% 6/5/20 (Liquidity Facility JPMorgan Chase Bank) (a)(f)(g) | 3,000,000 | 3,000,000 | |
TOTAL NEW YORK | 172,495,328 | ||
New York And New Jersey - 0.2% | |||
Port Auth. of New York & New Jersey Series A: | |||
0.55% 7/9/20, CP (c) | 5,000,000 | 5,001,684 | |
0.6% 8/6/20, CP (c) | 3,000,000 | 3,001,133 | |
TOTAL NEW YORK AND NEW JERSEY | 8,002,817 | ||
North Carolina - 0.3% | |||
Hertford County Indl. Facilities Poll. Cont. Fing. Auth. (Nucor Corp. Proj.) Series 2000 A, 0.42% 6/5/20, VRDN (a)(c) | 9,420,000 | 9,420,000 | |
North Carolina Med. Care Commission Hosp. Rev. Series 2001 B, 0.05% 6/1/20 (Liquidity Facility Bank of Montreal), VRDN (a) | 200,000 | 200,000 | |
TOTAL NORTH CAROLINA | 9,620,000 | ||
Ohio - 0.4% | |||
Coshocton City BAN Series 2020, 2.5% 2/18/21 | 1,245,000 | 1,264,245 | |
Newark Gen. Oblig. BAN Series 2020, 2.75% 9/24/20 | 965,000 | 972,226 | |
Sycamore Township BAN Series 2020, 1.55% 5/4/21 | 1,000,000 | 1,002,620 | |
Tipp City BAN Series 2020 A, 2% 2/11/21 | 1,000,000 | 1,011,572 | |
Trumbull County BAN Series 2019 2, 2% 7/23/20 | 2,375,000 | 2,380,234 | |
Union Township Clermont County Gen. Oblig. BAN Series 2019, 2.25% 9/2/20 | 5,000,000 | 5,018,234 | |
TOTAL OHIO | 11,649,131 | ||
Pennsylvania - 0.3% | |||
Philadelphia Auth. for Indl. Dev. Series 2017 B, 1.35% 6/5/23, VRDN (a) | 10,210,000 | 10,210,000 | |
Rhode Island - 0.0% | |||
Rhode Island Health & Edl. Bldg. Corp. Higher Ed. Facilities Rev. Series 2005 A, 0.25% 6/1/20, LOC RBS Citizens NA, VRDN (a) | 1,140,000 | 1,140,000 | |
South Carolina - 1.2% | |||
Charleston County School District TAN (Sales Tax Proj. Phase IV) Series 2020 B, 5% 5/12/21 | 20,000,000 | 20,923,672 | |
County Square Redev. Corp. BAN (Greenville County, SC Proj.) Series 2020, 2% 3/24/21 | 4,750,000 | 4,813,632 | |
South Carolina Pub. Svc. Auth. Rev. Participating VRDN: | |||
Series Floaters XG 02 09, 0.44% 6/5/20 (Liquidity Facility Toronto-Dominion Bank) (a)(f)(g) | 1,000,000 | 1,000,000 | |
Series Floaters XM 02 91, 0.4% 6/5/20 (Liquidity Facility Royal Bank of Canada) (a)(f)(g) | 4,090,000 | 4,090,000 | |
Series Floaters XM 03 84, 0.44% 6/5/20 (Liquidity Facility JPMorgan Chase Bank) (a)(f)(g) | 9,800,000 | 9,800,000 | |
South Carolina St. Pub. Svc. Auth. Rev. Participating VRDN Series XG 0046, 0.54% 6/5/20 (Liquidity Facility Toronto-Dominion Bank)(a)(f)(g) | 845,000 | 845,000 | |
TOTAL SOUTH CAROLINA | 41,472,304 | ||
Tennessee - 0.1% | |||
Greeneville Health & Edl. Facilities Board Series 2018 B, 0.12% 6/5/20, LOC U.S. Bank NA, Cincinnati, VRDN (a) | 800,000 | 800,000 | |
Tennessee Gen. Oblig. Series A, 1% 8/26/20 (Liquidity Facility Tennessee Consldatd Retire Sys.), CP | 4,000,000 | 4,009,264 | |
TOTAL TENNESSEE | 4,809,264 | ||
Texas - 4.9% | |||
Brazos County Health Facilities Dev. Corp. Participating VRDN Series BAML 50 21, 0.27% 6/5/20 (Liquidity Facility Bank of America NA) (a)(f)(g) | 13,875,000 | 13,875,000 | |
Calhoun County Navigation Indl. Dev. Auth. Port Rev. (B P Chemicals, Inc. Proj.) 0.64% 6/5/20, VRDN (a)(c) | 10,500,000 | 10,500,000 | |
Deutsche Spears/Lifers Trust Participating VRDN Series Floaters XG 00 58, 0.26% 6/5/20 (Liquidity Facility Deutsche Bank AG) (a)(f)(g) | 1,085,000 | 1,085,000 | |
Garland Util. Sys. Rev. Series 2018, 0.35% 6/16/20, LOC Bank of America NA, CP | 2,625,000 | 2,625,259 | |
Harris County Cultural Ed. Facilities Fin. Corp. Rev.: | |||
Series 2016 B3, 0.48% tender 8/4/20, CP mode | 4,000,000 | 4,002,936 | |
Series 2016 C, 0.13% 6/5/20, VRDN (a) | 1,260,000 | 1,260,000 | |
Series C2, 0.14% tender 6/3/20, CP mode (a) | 2,000,000 | 2,000,033 | |
Harris County Gen. Oblig. Series D, 0.4% 8/6/20 (Liquidity Facility JPMorgan Chase Bank), CP | 2,500,000 | 2,500,945 | |
Houston Arpt. Sys. Rev.: | |||
Series 2020, 1.35% 6/3/20, LOC Sumitomo Mitsui Banking Corp., CP (c) | 4,000,000 | 4,000,674 | |
Series A, 1.4% 6/1/20, LOC Sumitomo Mitsui Banking Corp., CP (c) | 10,000,000 | 10,001,109 | |
Houston Gen. Oblig. TRAN Series 2019, 3% 6/26/20 | 5,000,000 | 5,009,642 | |
Lower Colorado River Auth. Rev. Series 2020: | |||
0.32% 6/2/20, LOC JPMorgan Chase Bank, LOC State Street Bank & Trust Co., Boston, CP | 1,300,000 | 1,300,020 | |
0.45% 6/10/20, LOC JPMorgan Chase Bank, LOC State Street Bank & Trust Co., Boston, CP | 2,500,000 | 2,500,247 | |
Port Arthur Navigation District Envir. Facilities Rev. (Motiva Enterprises LLC Proj.): | |||
Series 2004, 2.46% 6/5/20, VRDN (a)(c) | 33,015,000 | 33,015,000 | |
Series 2010 C, 1.65% 6/1/20, VRDN (a) | 2,220,000 | 2,220,000 | |
Tarrant County Cultural Ed. Facilities Fin. Corp. Hosp. Rev. (Baylor Health Care Sys. Proj.) Series 2011 C, 0.06% 6/1/20, LOC TD Banknorth, NA, VRDN (a) | 22,240,000 | 22,240,000 | |
Texas A&M Univ. Rev. Series 2020, 0.4% 8/3/20, CP | 3,500,000 | 3,501,265 | |
Texas Gen. Oblig. TRAN Series 2019, 4% 8/27/20 | 32,000,000 | 32,292,528 | |
Texas Pub. Fin. Auth. Rev. Series 2008, 0.45% 8/4/20 (Liquidity Facility Texas Comptroller Pub. Accounts), CP | 5,000,000 | 5,002,293 | |
Univ. of Texas Board of Regents Sys. Rev. Series A, 1.13% 7/2/20 (Liquidity Facility Univ. of Texas Invt. Mgmt. Co.), CP | 7,500,000 | 7,505,649 | |
TOTAL TEXAS | 166,437,600 | ||
Utah - 0.4% | |||
Salt Lake City Arpt. Rev. Participating VRDN Series Floaters XM 06 99, 0.49% 6/5/20 (Liquidity Facility Cr. Suisse AG) (a)(c)(f)(g) | 11,030,000 | 11,030,000 | |
Utah County Hosp. Rev. Series 2016 E, 0.15% 6/5/20 (Liquidity Facility JPMorgan Chase Bank), VRDN (a) | 1,000,000 | 1,000,000 | |
TOTAL UTAH | 12,030,000 | ||
Virginia - 0.4% | |||
Longwood Hsg. Foundation LLC Participating VRDN Series DBE 80 39, 0.49% 6/5/20 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(f)(g) | 4,000,000 | 4,000,000 | |
Loudoun County Indl. Dev. Auth.: | |||
(Howard Hughes Med. Institute Proj.) Series 2003 A, 0.12% 6/5/20, VRDN (a) | 3,500,000 | 3,500,000 | |
Series 2013 A, 0.12% 6/5/20, VRDN (a) | 2,495,000 | 2,495,000 | |
Suffolk Hsg. Auth. Mfam Apts Participating VRDN Series XF 10 86, 0.49% 6/5/20 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(f)(g) | 1,900,000 | 1,900,000 | |
TOTAL VIRGINIA | 11,895,000 | ||
Washington - 0.2% | |||
King County Swr. Rev. Series 2001 B, 0.15% 6/5/20, LOC Landesbank Hessen-Thuringen, VRDN (a) | 500,000 | 500,000 | |
Washington Econ. Dev. Fin. Auth. Rev. Participating VRDN Series Floaters 005, 0.49% 7/10/20 (Liquidity Facility Barclays Bank PLC) (a)(c)(f)(g) | 5,100,000 | 5,100,000 | |
TOTAL WASHINGTON | 5,600,000 | ||
Wisconsin - 0.1% | |||
JPMorgan Chase Participating VRDN Series Floaters XF 01 27, 0.32% 6/5/20 (a)(f)(g) | 1,060,000 | 1,060,000 | |
Sauk Prairie School District BAN Series 2020, 2% 12/9/20 (e) | 2,000,000 | 2,006,220 | |
TOTAL WISCONSIN | 3,066,220 | ||
TOTAL MUNICIPAL NOTES | |||
(Cost $907,991,660) | 906,235,852 | ||
Shares | Value | ||
Short-Term Funds - 3.7% | |||
JPMorgan Ultra-Short Municipal Fund Class I | |||
(Cost $124,933,769) | 12,435,910 | 124,856,534 | |
Municipal Bond Funds - 0.2% | |||
Nuveen NY AMT-Free Quality Municipal Income Fund Preferred Shares 1%(a)(d)(i) | |||
(Cost $6,800,000) | 6,800,000 | 6,800,000 | |
Shares | Value | ||
Money Market Funds - 13.4% | |||
Fidelity Investments Money Market Government Portfolio Institutional Class 0.12% (j)(k) | 249,972,338 | 249,972,338 | |
Fidelity Municipal Cash Central Fund .15% (l) | 4,129,587 | 4,130,000 | |
Fidelity SAI Municipal Money Market Fund 1.19% (j)(k) | 190,406,071 | 190,501,215 | |
State Street Institutional U.S. Government Money Market Fund Premier Class .12% (j) | 6,006,978 | 6,006,978 | |
TOTAL MONEY MARKET FUNDS | |||
(Cost $450,533,032) | 450,610,531 | ||
TOTAL INVESTMENT IN SECURITIES - 100.7% | |||
(Cost $3,385,311,783) | 3,392,265,114 | ||
NET OTHER ASSETS (LIABILITIES) - (0.7)% | (23,774,488) | ||
NET ASSETS - 100% | $3,368,490,626 |
Security Type Abbreviations
BAN – BOND ANTICIPATION NOTE
CP – COMMERCIAL PAPER
RAN – REVENUE ANTICIPATION NOTE
TAN – TAX ANTICIPATION NOTE
TRAN – TAX AND REVENUE ANTICIPATION NOTE
VRDN – VARIABLE RATE DEMAND NOTE (A debt instrument that is payable upon demand, either daily, weekly or monthly)
Legend
(a) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(b) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
(c) Private activity obligations whose interest is subject to the federal alternative minimum tax for individuals.
(d) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $22,106,900 or 0.7% 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 $4,500,000 or 0.1% 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) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.
Additional information on each restricted holding is as follows:
Security | Acquisition Date | Acquisition Cost |
Baltimore Proj. Rev. Bonds Series Floaters G 42, 0.34%, tender 1/4/21 (Liquidity Facility Royal Bank of Canada) | 1/2/20 | $4,500,000 |
Affiliated Central Funds
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:
Fund | Income earned |
Fidelity Cash Central Fund | $65 |
Fidelity Municipal Cash Central Fund | 302,846 |
Total | $302,911 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations, if applicable.
Affiliated Underlying Funds
Fiscal year to date information regarding the Fund's investments in affiliated Underlying Funds, excluding any Money Market Central Funds, is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur.
Affiliate | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income | Realized Gain (loss) | Change in Unrealized appreciation (depreciation) | Value, end of period |
Fidelity Investments Money Market Government Portfolio Institutional Class 0.12% | $200,078,086 | $391,579,913 | $341,685,661 | $3,254,918 | $-- | $-- | $249,972,338 |
Fidelity SAI Municipal Money Market Fund 1.19% | 281,762,299 | 126,750,595 | 218,016,196 | 2,675,388 | (36,062) | 40,579 | 190,501,215 |
Total | $481,840,385 | $518,330,508 | $559,701,857 | $5,930,306 | $(36,062) | $40,579 | $440,473,553 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations, if applicable.
Investment Valuation
The following is a summary of the inputs used, as of May 31, 2020, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Municipal Securities | $2,809,998,049 | $-- | $2,809,998,049 | $-- |
Money Market Funds | 450,610,531 | 450,610,531 | -- | -- |
Investment Companies | 6,800,000 | -- | 6,800,000 | -- |
Short-Term Funds | 124,856,534 | 124,856,534 | -- | -- |
Total Investments in Securities: | $3,392,265,114 | $575,467,065 | $2,816,798,049 | $-- |
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
May 31, 2020 | ||
Assets | ||
Investment in securities, at value — See accompanying schedule: Unaffiliated issuers (cost $2,940,785,724) | $2,947,661,561 | |
Fidelity Central Funds (cost $4,130,000) | 4,130,000 | |
Other affiliated issuers (cost $440,396,059) | 440,473,553 | |
Total Investment in Securities (cost $3,385,311,783) | $3,392,265,114 | |
Cash | 155,743 | |
Receivable for investments sold | 25,628,467 | |
Receivable for fund shares sold | 2,330,677 | |
Dividends receivable | 78 | |
Interest receivable | 25,045,068 | |
Distributions receivable from Fidelity Central Funds | 2,324 | |
Prepaid expenses | 11,944 | |
Other receivables | 3,593 | |
Total assets | 3,445,443,008 | |
Liabilities | ||
Payable for investments purchased | ||
Regular delivery | $51,615,698 | |
Delayed delivery | 20,078,637 | |
Payable for fund shares redeemed | 1,676,432 | |
Distributions payable | 3,257,540 | |
Accrued management fee | 235,192 | |
Other payables and accrued expenses | 88,883 | |
Total liabilities | 76,952,382 | |
Net Assets | $3,368,490,626 | |
Net Assets consist of: | ||
Paid in capital | $3,362,381,045 | |
Total accumulated earnings (loss) | 6,109,581 | |
Net Assets | $3,368,490,626 | |
Net Asset Value, offering price and redemption price per share ($3,368,490,626 ÷ 336,228,035 shares) | $10.02 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Year ended May 31, 2020 | ||
Investment Income | ||
Dividends: | ||
Unaffiliated issuers | $1,170,875 | |
Affiliated issuers | 5,922,340 | |
Interest | 49,718,354 | |
Income from Fidelity Central Funds | 302,840 | |
Total income | 57,114,409 | |
Expenses | ||
Management fee | $11,409,316 | |
Accounting fees and expenses | 48,722 | |
Custodian fees and expenses | 29,442 | |
Independent trustees' fees and expenses | 38,393 | |
Registration fees | 77,355 | |
Audit | 69,814 | |
Legal | 9,734 | |
Miscellaneous | 27,844 | |
Total expenses before reductions | 11,710,620 | |
Expense reductions | (8,538,746) | |
Total expenses after reductions | 3,171,874 | |
Net investment income (loss) | 53,942,535 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 441,545 | |
Affiliated issuers | (36,062) | |
Capital gain distributions from underlying funds: | ||
Affiliated issuers | 8,037 | |
Total net realized gain (loss) | 413,520 | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers | (2,043,220) | |
Affiliated issuers | 40,579 | |
Total change in net unrealized appreciation (depreciation) | (2,002,641) | |
Net gain (loss) | (1,589,121) | |
Net increase (decrease) in net assets resulting from operations | $52,353,414 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Year ended May 31, 2020 | Year ended May 31, 2019 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $53,942,535 | $58,228,306 |
Net realized gain (loss) | 413,520 | 270,192 |
Change in net unrealized appreciation (depreciation) | (2,002,641) | 11,365,239 |
Net increase (decrease) in net assets resulting from operations | 52,353,414 | 69,863,737 |
Distributions to shareholders | (55,246,709) | (58,929,136) |
Share transactions | ||
Proceeds from sales of shares | 1,047,372,777 | 1,046,812,103 |
Reinvestment of distributions | 3,699,668 | 3,887,466 |
Cost of shares redeemed | (1,095,565,154) | (864,875,731) |
Net increase (decrease) in net assets resulting from share transactions | (44,492,709) | 185,823,838 |
Total increase (decrease) in net assets | (47,386,004) | 196,758,439 |
Net Assets | ||
Beginning of period | 3,415,876,630 | 3,219,118,191 |
End of period | $3,368,490,626 | $3,415,876,630 |
Other Information | ||
Shares | ||
Sold | 104,544,855 | 104,689,689 |
Issued in reinvestment of distributions | 368,964 | 388,671 |
Redeemed | (109,355,545) | (86,524,339) |
Net increase (decrease) | (4,441,726) | 18,554,021 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Strategic Advisers Tax-Sensitive Short Duration Fund
Years ended May 31, | 2020 | 2019 | 2018 A |
Selected Per–Share Data | |||
Net asset value, beginning of period | $10.03 | $9.99 | $10.00 |
Income from Investment Operations | |||
Net investment income (loss)B | .159 | .174 | .053 |
Net realized and unrealized gain (loss) | (.006) | .042 | (.014) |
Total from investment operations | .153 | .216 | .039 |
Distributions from net investment income | (.159) | (.173) | (.049) |
Distributions from net realized gain | (.004) | (.003) | – |
Total distributions | (.163) | (.176) | (.049) |
Net asset value, end of period | $10.02 | $10.03 | $9.99 |
Total ReturnC,D | 1.53% | 2.19% | .39% |
Ratios to Average Net AssetsE,F,G | |||
Expenses before reductions | .34% | .37% | .52%H |
Expenses net of fee waivers, if any | .09% | .12% | .26%H,I |
Expenses net of all reductions | .09% | .12% | .26%H,I |
Net investment income (loss) | 1.59% | 1.74% | 1.28%H |
Supplemental Data | |||
Net assets, end of period (000 omitted) | $3,368,491 | $3,415,877 | $3,219,118 |
Portfolio turnover rateG | 81% | 57% | 180%J |
A For the period December 28, 2017 (commencement of operations) to May 31, 2018.
B Calculated based on average shares outstanding during the period.
C Total returns for periods of less than one year are not annualized.
D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
F Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund. Fees and expenses of the Underlying Funds are not included in the Fund's annualized ratios. The Fund indirectly bears its proportionate share of the expenses of the Underlying Funds.
G Amounts do not include the activity of Underlying Funds.
H Annualized
I Audit fees are not annualized.
J Amount not annualized.
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements
For the period ended May 31, 2020
1. Organization.
Strategic Advisers Tax-Sensitive Short Duration Fund (the Fund) is a fund of Fidelity Rutland Square Trust II (the Trust), and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust. The Fund is offered exclusively to certain clients of Strategic Advisers LLC (Strategic Advisers), an affiliate of Fidelity Management & Research Company LLC (FMR).
2. Significant Accounting Policies.
The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services – Investments Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the Fund:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
- Level 1 – quoted prices in active markets for identical investments
- Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
- Level 3 – unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value the Fund's investments by major category are as follows:
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Municipal securities are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. If an unaffiliated open-end mutual fund's NAV is unavailable, shares of that fund may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and is categorized as Level 2 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of May 31, 2020 is included at the end of the Fund's Schedule of Investments.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Income and capital gain distributions from Underlying Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), certain independent Trustees have elected to defer receipt of a portion of their annual compensation. Deferred amounts are invested in a cross-section of Strategic Advisers funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees of $3,588 are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, respectively.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of May 31, 2020, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.
Distributions are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to the short-term gain distributions from the Underlying Funds, defaulted bonds, market discount, deferred trustees compensation and losses deferred due to wash sales and excise tax regulations.
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
Gross unrealized appreciation | $14,715,167 |
Gross unrealized depreciation | (8,353,315) |
Net unrealized appreciation (depreciation) | $6,361,852 |
Tax Cost | $3,385,903,262 |
The tax-based components of distributable earnings as of period end were as follows:
Net unrealized appreciation (depreciation) on securities and other investments | $6,361,852 |
The Fund intends to elect to defer to its next fiscal year $209,233 of capital losses recognized during the period November 1, 2019 to May 31, 2020.
The tax character of distributions paid was as follows:
May 31, 2020 | May 31, 2019 | |
Tax-exempt Income | $50,555,391 | $55,077,316 |
Ordinary Income | 4,008,479 | 3,851,820 |
Long-term Capital Gains | 682,839 | – |
Total | $55,246,709 | $ 58,929,136 |
Delayed Delivery Transactions and When-Issued Securities. During the period, the Fund 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. The securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
Restricted Securities (including Private Placements). The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.
3. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities, are noted in the table below.
Purchases ($) | Sales ($) | |
Strategic Advisers Tax-Sensitive Short Duration Fund | 2,240,163,954 | 2,130,640,787 |
4. Fees and Other Transactions with Affiliates.
Management Fee. Strategic Advisers (the investment adviser) provides the Fund with investment management related services. For these services, the Fund pays a monthly management fee to the investment adviser. The management fee is calculated by adding the annual management fee rate of .25% of the Fund's average net assets throughout the month payable to the investment adviser to the aggregate of the fee rates, payable monthly, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed .55% of the Fund's average net assets. For the reporting period, the total annual management fee rate was .34% of the Fund's average net assets.
During the period, the investment adviser waived a portion of its management fee as described in the Expense Reductions note.
Sub-Advisers. FIAM LLC (an affiliate of the investment adviser), T. Rowe Price Associates, Inc. and Wells Capital Management, Inc. each served as a sub-adviser for the Fund during the period. Sub-advisers provide discretionary investment advisory services for their allocated portion of the Fund's assets and are paid by the investment adviser and not the Fund for providing these services.
Accounting Fees. Fidelity Service Company, Inc. (FSC), an affiliate of the investment adviser, maintains the Fund's accounting records. The accounting fee is based on the level of average net assets for each month. Effective July 1, 2019 accounting fees are not paid by the Fund and are instead paid by the investment adviser or an affiliate. For the period, the total fees paid were equivalent to less than .005%.
Interfund Trades. Funds may purchase from or sell securities to other funds affiliated with each sub-adviser under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.
5. Investments in Fidelity Central Funds.
The Fund invests in Fidelity Central Funds, which are open-end investment companies available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
The Fidelity Money Market Central Funds are managed by FMR. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date ranged from less than .005% to .01%.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC website or upon request.
6. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are as follows:
Amount | |
Strategic Advisers Tax-Sensitive Short Duration Fund | $8,378 |
During the period, there were no borrowings on this line of credit.
7. Expense Reductions.
The investment adviser has contractually agreed to waive the Fund's management fee in an amount equal to .25% of the Fund's average net assets until September 30, 2022. During the period, this waiver reduced the Fund's management fee by $8,508,284.
In addition, through arrangements with the Fund's custodian and transfer agent, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses by $30,230 and $232, respectively.
8. Other.
The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
The Fund does not invest in the Underlying Funds for the purpose of exercising management or control; however, investments by the Fund within its principal investment strategies may represent a significant portion of an Underlying Fund's net assets. At the end of the period, the Fund was the owner of record of approximately 100% of the total outstanding shares of Fidelity SAI Municipal Money Market Fund.
9. Coronavirus (COVID-19) Pandemic.
An outbreak of COVID-19 first detected in China during December 2019 has since spread globally and was declared a pandemic by the World Health Organization during March 2020. Developments that disrupt global economies and financial markets, such as the COVID-19 pandemic, may magnify factors that affect the Fund's performance.
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Fidelity Rutland Square Trust II and Shareholders of Strategic Advisers Tax-Sensitive Short Duration Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Strategic Advisers Tax-Sensitive Short Duration Fund (one of the funds constituting Fidelity Rutland Square Trust II, referred to hereafter as the “Fund”) as of May 31, 2020, the related statement of operations for the year ended May 31, 2020, the statement of changes in net assets for each of the two years in the period ended May 31, 2020, including the related notes, and the financial highlights for each of the two years in the period ended May 31, 2020 and for the period December 28, 2017 (commencement of operations) through May 31, 2018 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of May 31, 2020, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended May 31, 2020 and the financial highlights for each of the two years in the period ended May 31, 2020 and for the period December 28, 2017 (commencement of operations) through May 31, 2018 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of May 31, 2020 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
Boston, Massachusetts
July 16, 2020
We have served as the auditor of one or more investment companies in the Fidelity group of funds since 1932.
Trustees and Officers
The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance. If the interests of the fund and an underlying Fidelity® fund were to diverge, a conflict of interest could arise and affect how the Trustees and Members of the Advisory Board fulfill their fiduciary duties to the affected funds. Strategic Advisers has structured the fund to avoid these potential conflicts, although there may be situations where a conflict of interest is unavoidable. In such instances, Strategic Advisers, the Trustees, and Members of the Advisory Board would take reasonable steps to minimize and, if possible, eliminate the conflict. Each of the Trustees oversees 14 funds.
The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. Officers and Advisory Board Members hold office without limit in time, except that any officer or Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.
Each Trustee who is not an interested person (as defined in the 1940 Act) of the trust and the fund is referred to herein as an Independent Trustee.
The fund’s Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-3455.
Experience, Skills, Attributes, and Qualifications of the Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee may also engage professional search firms to help identify potential Independent Trustee candidates with experience, qualifications, attributes, and skills consistent with the Statement of Policy. Additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, may be considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.
In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.
Board Structure and Oversight Function. Robert A. Lawrence is an interested person and currently serves as Chairman. The Trustees have determined that an interested Chairman is appropriate and benefits shareholders because an interested Chairman has a personal and professional stake in the quality and continuity of services provided to the fund. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chairman, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chairman and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session. Mary C. Farrell serves as the lead Independent Trustee and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.
Fidelity® funds are overseen by different Boards of Trustees. The fund's Board oversees asset allocation funds. Other Boards oversee Fidelity's investment-grade bond, money market, and asset allocation funds, and Fidelity's equity and high income funds. The fund may invest in Fidelity® funds overseen by such other Boards. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity® funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues.
The Trustees primarily operate as a full Board, but also operate in committees, to facilitate the timely and efficient consideration of all matters of importance to the Trustees, the fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the fund's activities and associated risks. The Board has charged Strategic Advisers and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the fund's business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above. Because the day-to-day operations and activities of the fund are carried out by or through Strategic Advisers, its affiliates and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees. Board oversight of different aspects of the fund's activities is exercised primarily through the full Board, but also through the Audit and Compliance Committee. Appropriate personnel, including but not limited to the fund's Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the fund's Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate. The responsibilities of each standing committee, including their oversight responsibilities, are described further under "Standing Committees of the Trustees."
Interested Trustees*:
Correspondence intended for a Trustee who is an interested person may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Robert A. Lawrence (1952)
Year of Election or Appointment: 2016
Trustee
Chairman of the Board of Trustees
Mr. Lawrence also serves as Trustee of other funds. Previously, Mr. Lawrence served as a Member of the Advisory Board of certain funds. Prior to his retirement in 2008, Mr. Lawrence served as Vice President of certain Fidelity® funds (2006-2008), Senior Vice President, Head of High Income Division of Fidelity Management & Research Company (investment adviser firm, 2006-2008), and President of Fidelity Strategic Investments (investment adviser firm, 2002-2005).
Charles S. Morrison (1960)
Year of Election or Appointment: 2020
Trustee
Mr. Morrison also serves as Trustee of other funds. Previously, Mr. Morrison served as President (2017-2018) and Director (2014-2018) of Fidelity SelectCo, LLC (investment adviser firm), President of Fidelity Management & Research Company (FMR) (investment adviser firm, 2016-2018), a Director of Fidelity Investments Money Management, Inc. (investment adviser firm, 2014-2018), President, Asset Management (2014-2018), Trustee of the Fidelity Equity and High Income Funds (283 funds as of December 2018) (2014-2018), and was an employee of Fidelity Investments. Mr. Morrison also previously served as Vice President of Fidelity's Fixed Income and Asset Allocation Funds (2012-2014), President, Fixed Income (2011-2014), Vice President of Fidelity's Money Market Funds (2005-2009), President, Money Market Group Leader of FMR (2009), and Senior Vice President, Money Market Group of FMR (2004-2009). Mr. Morrison also served as Vice President of Fidelity's Bond Funds (2002-2005), certain Balanced Funds (2002-2005), and certain Asset Allocation Funds (2002-2007), and as Senior Vice President (2002-2005) of Fidelity's Bond Division.
* Determined to be an "Interested Trustee" by virtue of, among other things, his or her affiliation with the trust or various entities under common control with Strategic Advisers.
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Independent Trustees:
Correspondence intended for an Independent Trustee may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Peter C. Aldrich (1944)
Year of Election or Appointment: 2006
Trustee
Mr. Aldrich also serves as Trustee of other funds. Mr. Aldrich is a Director of the U.S. Core Property Fund (and, previously, other funds) of BlackRock Realty Group (2006-present). Previously, Mr. Aldrich served as a Managing Member of Poseidon, LLC (foreign private investment, 1998-2004), and Chairman and Managing Member of AEGIS, LLC (foreign private investment, 1997-2004). Mr. Aldrich previously was a founder, Chief Executive Officer, and Chairman of AEW Capital Management, L.P. (then “Aldrich, Eastman and Waltch, L.P.”). Mr. Aldrich also served as a Director of LivelyHood, Inc. (private corporation, 2013-2020), a Trustee for the Fidelity Rutland Square Trust (2005-2010), a Director of Zipcar, Inc. (car sharing services, 2001-2009) and as Faculty Chairman of The Research Council on Global Investment of The Conference Board (business and professional education non-profit, 1999-2004). Mr. Aldrich is a Member Emeritus of the Board of Directors of the National Bureau of Economic Research, the Board of Trustees of the Museum of Fine Arts Boston and the Board of Overseers of the Massachusetts Eye and Ear Infirmary.
Mary C. Farrell (1949)
Year of Election or Appointment: 2013
Trustee
Ms. Farrell also serves as Trustee of other funds. Ms. Farrell is a Director of the W.R. Berkley Corporation (insurance provider) and President (2009-present) and Director (2006-present) of the Howard Gilman Foundation (charitable organization). Previously, Ms. Farrell was Managing Director and Chief Investment Strategist at UBS Wealth Management USA and Co-Head of UBS Wealth Management Investment Strategy & Research Group (2003-2005). Ms. Farrell also served as Investment Strategist at PaineWebber (1982-2000) and UBS PaineWebber (2000-2002). Ms. Farrell serves as Chairman of the Board of Trustees of Yale-New Haven Hospital and Vice Chairman of the Yale New Haven Health System Board and previously served as Trustee on the Board of Overseers of the New York University Stern School of Business.
Karen Kaplan (1960)
Year of Election or Appointment: 2006
Trustee
Ms. Kaplan also serves as Trustee of other funds. Ms. Kaplan is Chairman (2014-present) and Chief Executive Officer (2013-present) of Hill Holliday (advertising and specialized marketing). Ms. Kaplan is a Director of The Michaels Companies, Inc. (specialty retailer, 2015-present), Member of the Board of Governors of the Chief Executives’ Club of Boston (2010-present), Member of the Executive Committee of the Greater Boston Chamber of Commerce (2006-present), Advisory Board Member of the National Association of Corporate Directors Chapter (2012-present), Member of the Board of Trustees of the Post Office Square Trust (2012-present), Trustee of the Brigham and Women’s Hospital (2016-present), Overseer of the Boston Symphony Orchestra (2014-present), Member of the Board of Directors of The Advertising Council, Inc. (2016-present), Member of the Ron Burton Training Village Executive Board of Advisors (2018-present), Member of the Executive Committee of The Ad Council, Inc. (2019-present), and Member of the Board of Directors of The Ad Club of Boston (2020-present). Previously, Ms. Kaplan served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010), a member of the Clinton Global Initiative (2010-2015), Director of DSM (dba Delta Dental and DentaQuest) (2004-2014), Formal Appointee of the 2015 Baker-Polito Economic Development Council, Director of Vera Bradley Inc. (designer of women’s accessories, 2012-2015), Member of the Board of Directors of the Massachusetts Conference for Women (2008-2015), Member of the Board of Directors of Jobs for Massachusetts (2012-2015), President of the Massachusetts Women’s Forum (2008-2010), Treasurer of the Massachusetts Women’s Forum (2002-2006), and Vice Chair of the Board of the Massachusetts Society for the Prevention of Cruelty to Children (2003-2010).
Heidi L. Steiger (1953)
Year of Election or Appointment: 2017
Trustee
Ms. Steiger also serves as Trustee of other funds. Ms. Steiger serves as Managing Partner of Topridge Associates, LLC (consulting, 2005-present), a member of the Advisory Board of the joint degree program in Global Luxury Management at North Carolina State University (Raleigh, NC) and Skema (Paris) (2018-present), a Non-Executive Director of CrowdBureau Corporation (financial technology company and index provider, 2018-present), a member of the Board of Directors (2013-present) and Chair of the Audit Committee and member of the Membership and Executive Committees (2017-present) of Business Executives for National Security (nonprofit), and member of the Board of Directors Chair of the Remuneration Committee of Imagine Intelligent Materials Limited (2019-present) (technology company). Previously, Ms. Steiger served as a member of the Global Advisory Board and Of Counsel to Signum Global Advisors (international policy and strategy, 2018-2020), Eastern Region President of The Private Client Reserve of U.S. Bancorp (banking and financial services, 2010-2015), Advisory Director of Berkshire Capital Securities, LLC (financial services, 2009-2010), President and Senior Advisor of Lowenhaupt Global Advisors, LLC (financial services, 2005-2007), and President and Contributing Editor of Worth Magazine (2004-2005) and held a variety of positions at Neuberger Berman Group, LLC (financial services, 1986-2004), including Partner and Executive Vice President and Global Head of Private Asset Management at Neuberger Berman (1999-2004). Ms. Steiger also served as a member of the Board of Directors of Nuclear Electric Insurance Ltd (insurer of nuclear utilities, 2006-2017), a member of the Board of Trustees and Audit Committee of the Eaton Vance Funds (2007-2010), a member of the Board of Directors of Aviva USA (formerly AmerUs) (insurance, 2004-2014), and a member of the Board of Trustees and Audit Committee and Chair of the Investment Committee of CIFG (financial guaranty insurance, 2009-2012), and a member of the Board of Directors of Kin Group Plc (formerly, Fitbug Holdings) (health and technology, 2016-2017).
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Advisory Board Members and Officers:
Correspondence intended for a Member of the Advisory Board (if any) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235. Correspondence intended for an officer or Howard E. Cox, Jr. may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210. Officers appear below in alphabetical order.
Name, Year of Birth; Principal Occupation
Ralph F. Cox (1932)
Year of Election or Appointment: 2020
Member of the Advisory Board
Mr. Cox also serves as a Member of the Advisory Board of other funds. Mr. Cox is President of RABAR Enterprises (management consulting for the petroleum industry). Mr. Cox is a Director of Abraxas Petroleum (exploration and production, 1999-present). Mr. Cox is a member of the Advisory Boards of the Business and Engineering Schools of Texas A&M University and the Engineering School of University of Texas at Austin. Previously, Mr. Cox served as Trustee of other funds (2006-2020), a Trustee for the Fidelity Rutland Square Trust (2005-2010) and as an Advisory Director of CH2M Hill Companies (engineering, 1981-2011). Mr. Ralph F. Cox and Mr. Howard E. Cox, Jr. are not related.
Howard E. Cox, Jr. (1944)
Year of Election or Appointment: 2009
Member of the Advisory Board
Mr. Cox also serves as a Member of the Advisory Board of other funds. Mr. Cox is a Partner of Greylock (venture capital, 1971-present) and a Director of Stryker Corporation (medical products and services, 1974-present). Previously, Mr. Cox served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010). Mr. Cox also serves as a Member of the Secretary of Defense's Business Board of Directors (2008-present), a Director of Business Executives for National Security (1997-present), a Director of the Brookings Institution (2010-present), a Director of the World Economic Forum’s Young Global Leaders Foundation (2009-present), and is a Member of the Harvard Medical School Board of Fellows (2002-present). Mr. Howard E. Cox, Jr. and Mr. Ralph F. Cox are not related.
Christine Marcks (1955)
Year of Election or Appointment: 2019
Member of the Advisory Board
Ms. Marcks also serves as a Member of the Advisory Board of other Funds. Prior to her retirement, Ms. Marcks served as Chief Executive Officer and President – Prudential Retirement (2007-2017) and Vice President for Rollover and Retirement Income Strategies (2005-2007), Prudential Financial, Inc. (financial services). Previously, Ms. Marcks was Senior Vice President and Head of Financial Horizons (2002-2004) and Vice President, Strategic Marketing (2000-2002) of Voya Financial (formerly ING U.S.) (financial services), held numerous positions at Aetna Financial Services (financial services, 1987-2000) and served as an International Economist for the United States Department of the Treasury (1980-1987). Ms. Marcks also serves as a member of the Board of Trustees, Audit Committee and Benefits & Operations Committee of the YMCA Retirement Fund (2018-present), a non-profit organization providing retirement plan benefits to YMCA staff members, and as a member of the Board of Trustees of Assumption College (2019-present).
Elizabeth Paige Baumann (1968)
Year of Election or Appointment: 2017
Anti-Money Laundering (AML) Officer
Ms. Baumann also serves as AML Officer of other funds. She is Chief AML Officer (2012-present) and Senior Vice President (2014-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments. Previously, Ms. Baumann served as AML Officer of certain funds (2017-2019), as AML Officer of the funds (2012-2016), and Vice President (2007-2014) and Deputy Anti-Money Laundering Officer (2007-2012) of FMR LLC.
Craig S. Brown (1977)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Brown also serves as Assistant Treasurer of other funds. Mr. Brown is an employee of Fidelity Investments (2013-present).
John J. Burke III (1964)
Year of Election or Appointment: 2018
Chief Financial Officer
Mr. Burke also serves as Chief Financial Officer of other funds. Mr. Burke serves as Head of Investment Operations for Fidelity Fund and Investment Operations (2018-present) and is an employee of Fidelity Investments (1998-present). Previously Mr. Burke served as head of Asset Management Investment Operations (2012-2018).
Jonathan Davis (1968)
Year of Election or Appointment: 2010
Assistant Treasurer
Mr. Davis also serves as Assistant Treasurer of other funds. Mr. Davis serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments. Previously, Mr. Davis served as Vice President and Associate General Counsel of FMR LLC (diversified financial services company, 2003-2010).
Laura M. Del Prato (1964)
Year of Election or Appointment: 2018
Assistant Treasurer
Ms. Del Prato also serves as an officer of other funds. Ms. Del Prato is an employee of Fidelity Investments (2017-present). Prior to joining Fidelity Investments, Ms. Del Prato served as a Managing Director and Treasurer of the JPMorgan Mutual Funds (2014-2017). Prior to JPMorgan, Ms. Del Prato served as a partner at Cohen Fund Audit Services (accounting firm, 2012-2013) and KPMG LLP (accounting firm, 2004-2012).
James D. Gryglewicz (1972)
Year of Election or Appointment: 2015
Chief Compliance Officer
Mr. Gryglewicz also serves as Chief Compliance Officer of other funds. Mr. Gryglewicz serves as Compliance Officer of Strategic Advisers LLC (investment adviser firm, 2015-present), Senior Vice President of Asset Management Compliance (2009-present), and is an employee of Fidelity Investments (2004-present). Previously, Mr. Gryglewicz served as Compliance Officer of Fidelity SelectCo, LLC (investment adviser firm, 2014-2019), and as Chief Compliance Officer of certain Fidelity® funds (2014-2018).
Colm A. Hogan (1973)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Hogan also serves as an officer of other funds. Mr. Hogan serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2005-present). Previously, Mr. Hogan served as Deputy Treasurer of certain Fidelity® funds (2016-2020) and Assistant Treasurer of certain Fidelity® funds (2016-2018). Mr. Colm A. Hogan is not related to Mr. Brian B. Hogan.
Christina H. Lee (1975)
Year of Election or Appointment: 2020
Secretary and Chief Legal Officer
Ms. Lee also serves as Secretary and CLO of other funds. Ms. Lee serves as Vice President, Associate General Counsel (2014-present) and is an employee of Fidelity Investments (2007-present). Previously, Ms. Lee served as Assistant Secretary of certain funds (2018-2019).
Cynthia Lo Bessette (1969)
Year of Election or Appointment: 2020
Assistant Secretary
Ms. Lo Bessette also serves as an officer of other funds. Ms. Lo Bessette serves as CLO, Secretary, and Senior Vice President of Fidelity Management & Research Company LLC (investment adviser firm, 2019-present); and CLO of Fidelity Management & Research (Hong Kong) Limited, FMR Investment Management (UK) Limited, and Fidelity Management & Research (Japan) Limited (investment adviser firms, 2019-present). She is a Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company, 2019-present), and is an employee of Fidelity Investments. Previously, Ms. Lo Bessette served as CLO, Secretary, and Senior Vice President of FMR Co., Inc. (investment adviser firm, 2019); Secretary of Fidelity SelectCo, LLC and Fidelity Investments Money Management, Inc. (investment adviser firms, 2019). Prior to joining Fidelity Investments, Ms. Lo Bessette was Executive Vice President, General Counsel (2016-2019) and Senior Vice President, Deputy General Counsel (2015-2016) of OppenheimerFunds (investment management company) and Deputy Chief Legal Officer (2013-2015) of Jennison Associates LLC (investment adviser firm).
Chris Maher (1972)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Maher also serves as an officer of other funds. Mr. Maher serves as Assistant Treasurer of FMR Capital, Inc. (2017-present), and is an employee of Fidelity Investments (2008-present). Previously, Mr. Maher served as Assistant Treasurer of certain funds (2013-2020); Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010).
Stacie M. Smith (1974)
Year of Election or Appointment: 2020
President and Treasurer
Ms. Smith also serves as an officer of other funds. Ms. Smith serves as Assistant Treasurer of FMR Capital, Inc. (2017-present), is an employee of Fidelity Investments (2009-present), and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (accounting firm, 1996-2009). Previously, Ms. Smith served as Assistant Treasurer (2013-2019) and Deputy Treasurer (2013-2016) of certain Fidelity® funds.
Marc L. Spector (1972)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Spector also serves as an officer of other funds. Mr. Spector serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2016-present). Prior to joining Fidelity Investments, Mr. Spector served as Director at the Siegfried Group (accounting firm, 2013-2016), and prior to Siegfried Group as audit senior manager at Deloitte & Touche LLP (accounting firm, 2005-2013).
Jim Wegmann (1979)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Wegmann also serves as Assistant Treasurer of other funds. Mr. Wegmann is an employee of Fidelity Investments (2011-present).
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (December 1, 2019 to May 31, 2020).
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the underlying mutual funds (the Underlying Funds), the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's 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. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the Underlying Funds, the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
Annualized Expense Ratio-A | Beginning Account Value December 1, 2019 | Ending Account Value May 31, 2020 | Expenses Paid During Period-B December 1, 2019 to May 31, 2020 | |
Actual | .09% | $1,000.00 | $1,005.80 | $.45 |
Hypothetical-C | $1,000.00 | $1,024.55 | $.46 |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period). The fees and expenses of the Underlying Funds in which the Fund invests are not included in the Fund's annualized expense ratio.
C 5% return per year before expenses
Distributions (Unaudited)
The fund hereby designates as a capital gain dividend with respect to the taxable year ended May 31, 2020, $637,007, or, if subsequently determined to be different, the net capital gain of such year.
A total of 47.16% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.
During fiscal year ended 2020, 100% of the fund's income dividends was free from federal income tax, and 22.29% of the fund's income dividends was subject to the federal alternative minimum tax.
The fund will notify shareholders in January 2021 of amounts for use in preparing 2020 income tax returns.
Liquidity Risk Management Program
The Securities and Exchange Commission adopted Rule 22e-4 under the Investment Company Act of 1940 (the Liquidity Rule) to promote effective liquidity risk management throughout the open-end investment company industry, thereby reducing the risk that funds will be unable to meet their redemption obligations and mitigating dilution of the interests of fund shareholders.
The Fund has adopted and implemented a liquidity risk management program (the Program) reasonably designed to assess and manage the Fund’s liquidity risk and to comply with the requirements of the Liquidity Rule. The Fund’s Board of Trustees (the Board) has designated the Fund’s investment adviser as administrator of the Program. Strategic Advisers has established a Liquidity Risk Management Committee (the LRM Committee) to manage the Program for each of the Funds. The LRM Committee monitors the adequacy and effectiveness of implementation of the Program and on a periodic basis assesses each Fund’s liquidity risk based on a variety of factors including (1) the Fund’s investment strategy, (2) portfolio liquidity and cash flow projections during normal and reasonably foreseeable stressed conditions, (3) shareholder redemptions and (4) borrowings and other funding sources, as applicable.
In accordance with the Program, each of the Fund’s portfolio investments is classified into one of four liquidity categories described below based on a determination of a reasonable expectation for how long it would take to convert the investment to cash (or sell or dispose of the investment) without significantly changing its market value.
- Highly liquid investments – cash or convertible to cash within three business days or less
- Moderately liquid investments – convertible to cash in three to seven calendar days
- Less liquid investments – can be sold or disposed of, but not settled, within seven calendar days
- Illiquid investments – cannot be sold or disposed of within seven calendar days
Liquidity classification determinations take into account a variety of factors including various market, trading and investment-specific considerations, as well as market depth, and generally utilize analysis from a third-party liquidity metrics service.
The Liquidity Rule places a 15% limit on a fund’s illiquid investments and requires funds that do not primarily hold assets that are highly liquid investments to determine and maintain a minimum percentage of the fund’s net assets to be invested in highly liquid investments (highly liquid investment minimum or HLIM). The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments and for determining, periodically reviewing and complying with the HLIM requirement as applicable.
At a recent meeting of the Fund’s Board of Trustees, the LRM Committee provided a written report to the Board pertaining to the operation, adequacy, and effectiveness of implementation of the Program for the annual period from December 1, 2018 through November 30, 2019. The report concluded that the Program has been implemented and is operating effectively and is reasonably designed to assess and manage the Fund’s liquidity risk.
TSS-ANN-0720
1.9885904.102
Item 2.
Code of Ethics
As of the end of the period, May 31, 2020, Fidelity Rutland Square Trust II (the trust) has adopted a code of ethics, as defined in Item 2 of Form N-CSR, that applies to its President and Treasurer and its Chief Financial Officer. A copy of the code of ethics is filed as an exhibit to this Form N-CSR.
Item 3.
Audit Committee Financial Expert
The Board of Trustees of the trust has determined that Heidi L. Steiger is an audit committee financial expert, as defined in Item 3 of Form N-CSR. Ms. Steiger is independent for purposes of Item 3 of Form N-CSR.
Item 4.
Principal Accountant Fees and Services
Fees and Services
The following table presents fees billed by PricewaterhouseCoopers LLP (“PwC”) in each of the last two fiscal years for services rendered to Strategic Advisers Core Fund, Strategic Advisers Fidelity Core Income Fund, Strategic Advisers Fidelity Emerging Markets Fund, Strategic Advisers Fidelity U.S. Total Stock Fund, Strategic Advisers Growth Fund, Strategic Advisers Short Duration Fund, Strategic Advisers Tax-Sensitive Short Duration Fund and Strategic Advisers Value Fund (the “Funds”):
Services Billed by PwC
May 31, 2020 FeesA
Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees | |
Strategic Advisers Core Fund | $39,300 | $3,800 | $12,400 | $8,900 |
Strategic Advisers Fidelity Core Income Fund | $48,300 | $3,700 | $8,900 | $8,800 |
Strategic Advisers Fidelity Emerging Markets Fund | $27,300 | $2,200 | $7,600 | $5,100 |
Strategic Advisers Fidelity U.S. Total Stock Fund | $39,700 | $3,500 | $11,000 | $8,400 |
Strategic Advisers Growth Fund | $39,300 | $3,800 | $8,900 | $8,900 |
Strategic Advisers Short Duration Fund | $37,200 | $3,500 | $7,300 | $8,300 |
Strategic Advisers Tax-Sensitive Short Duration Fund | $37,600 | $3,400 | $6,200 | $8,100 |
Strategic Advisers Value Fund | $39,300 | $3,800 | $9,500 | $8,900 |
May 31, 2019 FeesA,B
Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees | |
Strategic Advisers Core Fund | $47,000 | $3,700 | $4,200 | $7,800 |
Strategic Advisers Fidelity Core Income Fund | $43,000 | $2,100 | $4,000 | $4,800 |
Strategic Advisers Fidelity Emerging Markets Fund | $23,000 | $1,200 | $3,000 | $2,700 |
Strategic Advisers Fidelity U.S. Total Stock Fund | $46,000 | $3,500 | $3,700 | $7,300 |
Strategic Advisers Growth Fund | $47,000 | $3,700 | $4,000 | $7,800 |
Strategic Advisers Short Duration Fund | $44,000 | $3,500 | $3,300 | $7,200 |
Strategic Advisers Tax-Sensitive Short Duration Fund | $44,000 | $3,400 | $2,700 | $7,000 |
Strategic Advisers Value Fund | $47,000 | $3,700 | $4,000 | $7,800 |
A Amounts may reflect rounding.
B Strategic Advisers Fidelity Core Income Fund commenced operations on October 16, 2018 and Strategic Advisers Fidelity Emerging Markets Fund commenced operations on October 30, 2018.
The following table(s) present(s) fees billed by PwC that were required to be approved by the Audit Committee for services that relate directly to the operations and financial reporting of the Fund(s) and that are rendered on behalf of Strategic Advisers, LLC (“Strategic Advisers”) and entities controlling, controlled by, or under common control with Strategic Advisers (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to the Fund(s) (“Fund Service Providers”):
Services Billed by PwC
May 31, 2020A | May 31, 2019A,B | |
Audit-Related Fees | $8,596,700 | $7,890,000 |
Tax Fees | $17,700 | $10,000 |
All Other Fees | $- | $- |
A Amounts may reflect rounding.
B May include amounts billed prior to the Strategic Advisers Fidelity Core Income Fund and Strategic Advisers Fidelity Emerging Markets Fund’s commencement of operations.
“Audit-Related Fees” represent fees billed for assurance and related services that are reasonably related to the performance of the fund audit or the review of the fund's financial statements and that are not reported under Audit Fees.
“Tax Fees” represent fees billed for tax compliance, tax advice or tax planning that relate directly to the operations and financial reporting of the fund.
“All Other Fees” represent fees billed for services provided to the fund or Fund Service Provider, a significant portion of which are assurance related, that relate directly to the operations and financial reporting of the fund, excluding those services that are reported under Audit Fees, Audit-Related Fees or Tax Fees.
Assurance services must be performed by an independent public accountant.
* * *
The aggregate non-audit fees billed by PwC for services rendered to the Fund(s), Strategic Advisers (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any Fund Service Provider for each of the last two fiscal years of the Fund(s) are as follows:
Billed By | May 31, 2020A | May 31, 2019A,B |
PwC | $13,614,400 | $12,475,000 |
A Amounts may reflect rounding.
B May include amounts billed prior to the Strategic Advisers Fidelity Core Income Fund and Strategic Advisers Fidelity Emerging Markets Fund’s commencement of operations.
The trust's Audit Committee has considered non-audit services that were not pre-approved that were provided by PwC to Fund Service Providers to be compatible with maintaining the independence of PwC in its(their) audit of the Fund(s), taking into account representations from PwC, in accordance with Public Company Accounting Oversight Board rules, regarding its independence from the Fund(s) and its(their) related entities and Strategic Adviser’s review of the appropriateness and permissibility under applicable law of such non-audit services prior to their provision to the Fund(s) Service Providers.
Audit Committee Pre-Approval Policies and Procedures
The trust’s Audit Committee must pre-approve all audit and non-audit services provided by a fund’s independent registered public accounting firm relating to the operations or financial reporting of the fund. Prior to the commencement of any audit or non-audit services to a fund, the Audit Committee reviews the services to determine whether they are appropriate and permissible under applicable law.
The Audit Committee has adopted policies and procedures to, among other purposes, provide a framework for the Committee’s consideration of non-audit services by the audit firms that audit the Fidelity funds. The policies and procedures require that any non-audit service provided by a fund audit firm to a Fidelity fund and any non-audit service provided by a fund auditor to a Fund Service Provider that relates directly to the operations and financial reporting of a Fidelity fund (“Covered Service”) are subject to approval by the Audit Committee before such service is provided.
All Covered Services must be approved in advance of provision of the service either: (i) by formal resolution of the Audit Committee, or (ii) by oral or written approval of the service by the Chair of the Audit Committee (or if the Chair is unavailable, such other member of the Audit Committee as may be designated by the Chair to act in the Chair’s absence). The approval contemplated by (ii) above is permitted where the Treasurer determines that action on such an engagement is necessary before the next meeting of the Audit Committee.
Non-audit services provided by a fund audit firm to a Fund Service Provider that do not relate directly to the operations and financial reporting of a Fidelity fund are reported to the Audit Committee periodically.
Non-Audit Services Approved Pursuant to Rule 2-01(c)(7)(i)(C) and (ii) of Regulation S-X (“De Minimis Exception”)
There were no non-audit services approved or required to be approved by the Audit Committee pursuant to the De Minimis Exception during the Fund’s(s’) last two fiscal years relating to services provided to (i) the Fund(s) or (ii) any Fund Service Provider that relate directly to the operations and financial reporting of the Fund(s).
Item 5.
Audit Committee of Listed Registrants
Not applicable.
Item 6.
Investments
(a)
Not applicable.
(b)
Not applicable.
Item 7.
Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8.
Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9.
Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable.
Item 10.
Submission of Matters to a Vote of Security Holders
There were no material changes to the procedures by which shareholders may recommend nominees to the trust’s Board of Trustees.
Item 11.
Controls and Procedures
(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the trust’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.
(a)(ii) There was no change in the trust’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the trust’s internal control over financial reporting.
Item 12.
Disclosure of Securities Lending Activities for Closed-End Management
Investment Companies
Not applicable.
Item 13.
Exhibits
(a) | (1) | Code of Ethics pursuant to Item 2 of Form N-CSR is filed and attached hereto as EX-99.CODE ETH. |
(a) | (2) | |
(a) | (3) | Not applicable. |
(b) |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Fidelity Rutland Square Trust II
By: | /s/Stacie M. Smith |
Stacie M. Smith | |
President and Treasurer | |
Date: | July 23, 2020 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/Stacie M. Smith |
Stacie M. Smith | |
President and Treasurer | |
Date: | July 23, 2020 |
By: | /s/John J. Burke III |
John J. Burke III | |
Chief Financial Officer | |
Date: | July 23, 2020 |