UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-21991
Fidelity Rutland Square Trust II
(Exact name of registrant as specified in charter)
245 Summer St., Boston, MA 02210
(Address of principal executive offices) (Zip code)
Christina H. Lee, Secretary
245 Summer St.
Boston, Massachusetts 02210
(Name and address of agent for service)
Registrant's telephone number, including area code:
617-563-7000
Date of fiscal year end: | February 28 |
Date of reporting period: | August 31, 2020 |
Item 1.
Reports to Stockholders
Strategic Advisers® Core Income Fund
Offered exclusively to certain clients of Strategic Advisers LLC - not available for sale to the general public
Semi-Annual Report
August 31, 2020
See the inside front cover for important information about access to your fund’s shareholder reports.
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Contents
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All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 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.
Investment Summary (Unaudited)
The information in the following tables is based on the direct investments of the Fund.Top Ten Holdings as of August 31, 2020
(by issuer, excluding cash equivalents) | % of fund's net assets |
PIMCO Total Return Fund Institutional Class | 16.0 |
Fidelity SAI Total Bond Fund | 15.9 |
Western Asset Core Plus Bond Fund Class I | 8.1 |
Metropolitan West Total Return Bond Fund Class M | 5.6 |
Prudential Total Return Bond Fund Class A | 5.4 |
Western Asset Core Bond Fund Class I | 5.2 |
U.S. Treasury Obligations | 4.1 |
Voya Intermediate Bond Fund | 3.0 |
PIMCO Income Fund Institutional Class | 2.6 |
PIMCO Mortgage Opportunities Fund Institutional Class | 2.6 |
Asset Allocation (% of fund's net assets)
As of August 31, 2020 | ||
Corporate Bonds | 9.2% | |
U.S. Government and U.S. Government Agency Obligations | 9.6% | |
Asset-Backed Securities | 1.2% | |
CMOs and Other Mortgage Related Securities | 1.4% | |
Municipal Securities | 0.2% | |
High Yield Fixed-Income Funds | 1.0% | |
Intermediate-Term Bond Funds | 73.7% | |
Long Government Bond Funds | 2.3% | |
Other Investments | 0.3% | |
Short-Term Investments and Net Other Assets (Liabilities) | 1.1% |
Asset allocations of funds in the pie chart reflect the categorizations of assets as defined by Morningstar as of the reporting date.
Percentages in the above tables are adjusted for the effect of TBA Sale Commitments.
Schedule of Investments August 31, 2020 (Unaudited)
Showing Percentage of Net Assets
Nonconvertible Bonds - 9.2% | |||
Principal Amount | Value | ||
COMMUNICATION SERVICES - 0.9% | |||
Diversified Telecommunication Services - 0.4% | |||
AT&T, Inc.: | |||
3.5% 6/1/41 | $4,880,000 | $5,166,781 | |
4.1% 2/15/28 | 2,042,000 | 2,383,892 | |
4.3% 2/15/30 | 3,709,000 | 4,430,993 | |
4.5% 5/15/35 | 1,980,000 | 2,366,889 | |
4.5% 3/9/48 | 23,115,000 | 27,073,666 | |
4.55% 3/9/49 | 536,000 | 631,722 | |
4.75% 5/15/46 | 41,715,000 | 49,800,701 | |
4.8% 6/15/44 | 515,000 | 618,681 | |
4.9% 6/15/42 | 7,000,000 | 8,500,628 | |
5.15% 11/15/46 | 10,160,000 | 12,686,408 | |
5.35% 9/1/40 | 59,000 | 75,668 | |
6.2% 3/15/40 | 2,433,000 | 3,323,000 | |
6.3% 1/15/38 | 2,523,000 | 3,533,210 | |
British Telecommunications PLC 9.625% 12/15/30 (a) | 575,000 | 936,046 | |
C&W Senior Financing Designated Activity Co.: | |||
6.875% 9/15/27 (b) | 450,000 | 471,195 | |
7.5% 10/15/26 (b) | 1,170,000 | 1,248,975 | |
Century Telephone Enterprises, Inc. 6.875% 1/15/28 | 15,000 | 16,500 | |
CenturyLink, Inc.: | |||
5.125% 12/15/26 (b) | 495,000 | 513,327 | |
5.625% 4/1/25 | 175,000 | 188,781 | |
Level 3 Financing, Inc.: | |||
3.625% 1/15/29 (b) | 25,000 | 25,065 | |
4.25% 7/1/28 (b) | 295,000 | 303,629 | |
5.375% 1/15/24 | 900,000 | 910,125 | |
Sable International Finance Ltd. 5.75% 9/7/27 (b) | 585,000 | 616,356 | |
SFR Group SA: | |||
7.375% 5/1/26 (b) | 510,000 | 541,442 | |
8.125% 2/1/27 (b) | 135,000 | 150,525 | |
Telecom Italia SpA 5.303% 5/30/24 (b) | 1,100,000 | 1,214,356 | |
Telenet Finance Luxembourg Notes SARL 5.5% 3/1/28 (b) | 400,000 | 425,200 | |
Verizon Communications, Inc.: | |||
3.15% 3/22/30 | 2,673,000 | 3,020,862 | |
4.016% 12/3/29 | 996,000 | 1,195,186 | |
4.5% 8/10/33 | 1,310,000 | 1,661,005 | |
4.522% 9/15/48 | 2,636,000 | 3,448,578 | |
4.862% 8/21/46 | 10,093,000 | 13,549,120 | |
5.012% 4/15/49 | 1,594,000 | 2,211,930 | |
Virgin Media Finance PLC 5% 7/15/30 (b) | 75,000 | 77,250 | |
153,317,692 | |||
Entertainment - 0.0% | |||
NBCUniversal, Inc. 5.95% 4/1/41 | 1,495,000 | 2,225,751 | |
Netflix, Inc.: | |||
4.375% 11/15/26 | 165,000 | 183,597 | |
4.875% 4/15/28 | 145,000 | 167,838 | |
4.875% 6/15/30 (b) | 70,000 | 81,113 | |
5.375% 11/15/29 (b) | 120,000 | 144,300 | |
5.875% 11/15/28 | 190,000 | 232,750 | |
6.375% 5/15/29 | 55,000 | 69,438 | |
The Walt Disney Co.: | |||
4.75% 9/15/44 | 1,730,000 | 2,195,434 | |
4.95% 10/15/45 | 50,000 | 65,759 | |
Viacom, Inc.: | |||
3.875% 4/1/24 | 1,380,000 | 1,506,231 | |
5.85% 9/1/43 | 220,000 | 273,983 | |
7,146,194 | |||
Media - 0.4% | |||
Altice Financing SA: | |||
5% 1/15/28 (b) | 200,000 | 205,500 | |
7.5% 5/15/26 (b) | 300,000 | 320,156 | |
Altice France Holding SA 6% 2/15/28 (b) | 105,000 | 105,000 | |
Cablevision Systems Corp. 5.875% 9/15/22 | 1,350,000 | 1,431,000 | |
CCO Holdings LLC/CCO Holdings Capital Corp.: | |||
4% 3/1/23 (b) | 950,000 | 963,063 | |
4.5% 8/15/30 (b) | 180,000 | 190,350 | |
5.75% 2/15/26 (b) | 2,400,000 | 2,515,344 | |
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.: | |||
3.7% 4/1/51 | 535,000 | 530,240 | |
4.464% 7/23/22 | 11,002,000 | 11,723,622 | |
4.908% 7/23/25 | 7,565,000 | 8,801,666 | |
5.375% 4/1/38 | 450,000 | 547,193 | |
5.375% 5/1/47 | 31,249,000 | 37,606,593 | |
5.75% 4/1/48 | 14,203,000 | 17,740,988 | |
6.384% 10/23/35 | 2,985,000 | 4,126,301 | |
6.484% 10/23/45 | 1,295,000 | 1,729,885 | |
Comcast Corp.: | |||
3.4% 4/1/30 | 2,121,000 | 2,451,824 | |
3.75% 4/1/40 | 1,115,000 | 1,315,031 | |
3.9% 3/1/38 | 1,317,000 | 1,574,233 | |
4.15% 10/15/28 | 700,000 | 847,953 | |
4.6% 8/15/45 | 2,420,000 | 3,142,260 | |
4.65% 7/15/42 | 4,121,000 | 5,310,950 | |
4.7% 10/15/48 | 505,000 | 675,784 | |
CSC Holdings LLC: | |||
4.125% 12/1/30 (b) | 215,000 | 223,170 | |
5.25% 6/1/24 | 1,600,000 | 1,732,000 | |
Discovery Communications LLC: | |||
3.625% 5/15/30 | 4,338,000 | 4,800,381 | |
4.65% 5/15/50 | 11,727,000 | 13,394,649 | |
5% 9/20/37 | 1,130,000 | 1,331,542 | |
5.3% 5/15/49 | 1,310,000 | 1,602,807 | |
DISH DBS Corp. 5.875% 11/15/24 | 200,000 | 211,395 | |
Fox Corp.: | |||
4.709% 1/25/29 | 2,509,000 | 3,010,940 | |
5.476% 1/25/39 | 2,474,000 | 3,268,960 | |
5.576% 1/25/49 | 1,641,000 | 2,251,240 | |
Radiate Holdco LLC/Radiate Financial Service Ltd. 6.625% 2/15/25 (b) | 150,000 | 151,875 | |
Sirius XM Radio, Inc.: | �� | ||
3.875% 8/1/22 (b) | 500,000 | 504,375 | |
4.125% 7/1/30 (b) | 65,000 | 68,413 | |
Time Warner Cable, Inc.: | |||
4% 9/1/21 | 16,424,000 | 16,804,918 | |
5.5% 9/1/41 | 2,591,000 | 3,170,344 | |
5.875% 11/15/40 | 5,543,000 | 7,025,038 | |
6.55% 5/1/37 | 8,522,000 | 11,370,658 | |
7.3% 7/1/38 | 6,393,000 | 9,079,290 | |
TWDC Enterprises 18 Corp. 1.85% 7/30/26 | 305,000 | 320,868 | |
Virgin Media Secured Finance PLC: | |||
4.5% 8/15/30 (b) | 25,000 | 26,250 | |
5.5% 8/15/26 (b) | 300,000 | 316,125 | |
5.5% 5/15/29 (b) | 175,000 | 189,219 | |
Ziggo Bond Co. BV 5.125% 2/28/30 (b) | 215,000 | 227,900 | |
Ziggo BV 5.5% 1/15/27 (b) | 1,379,000 | 1,449,343 | |
186,386,636 | |||
Wireless Telecommunication Services - 0.1% | |||
Intelsat Jackson Holdings SA 8% 2/15/24 (b) | 595,000 | 606,900 | |
Millicom International Cellular SA: | |||
5.125% 1/15/28 (b) | 995,000 | 1,038,842 | |
6% 3/15/25 (b) | 100,000 | 102,625 | |
6.625% 10/15/26 (b) | 600,000 | 652,125 | |
Rogers Communications, Inc. 3% 3/15/23 | 150,000 | 158,638 | |
SoftBank Group Corp. 5.375% 7/30/22 (Reg. S) | 200,000 | 208,000 | |
Sprint Communications, Inc. 6% 11/15/22 | 240,000 | 260,400 | |
Sprint Corp. 7.875% 9/15/23 | 1,000,000 | 1,163,125 | |
T-Mobile U.S.A., Inc.: | |||
3.75% 4/15/27 (b) | 8,765,000 | 9,912,426 | |
3.875% 4/15/30 (b) | 10,394,000 | 11,879,407 | |
4.375% 4/15/40 (b) | 1,721,000 | 2,069,778 | |
4.5% 4/15/50 (b) | 3,381,000 | 4,129,824 | |
6.375% 3/1/25 | 515,000 | 525,944 | |
32,708,034 | |||
TOTAL COMMUNICATION SERVICES | 379,558,556 | ||
CONSUMER DISCRETIONARY - 0.5% | |||
Automobiles - 0.1% | |||
Ford Motor Co. 6.375% 2/1/29 | 1,255,000 | 1,311,475 | |
General Motors Co. 6.25% 10/2/43 | 465,000 | 540,435 | |
General Motors Financial Co., Inc.: | |||
3.7% 5/9/23 | 11,800,000 | 12,364,266 | |
4% 1/15/25 | 830,000 | 895,792 | |
4.25% 5/15/23 | 1,875,000 | 1,999,926 | |
4.375% 9/25/21 | 7,321,000 | 7,571,749 | |
24,683,643 | |||
Diversified Consumer Services - 0.0% | |||
California Institute of Technology 3.65% 9/1/19 | 535,000 | 590,080 | |
GEMS MENASA Cayman Ltd. 7.125% 7/31/26 (b) | 320,000 | 308,800 | |
Ingersoll-Rand Global Holding Co. Ltd. 4.25% 6/15/23 | 425,000 | 469,829 | |
President and Fellows of Harvard College: | |||
3.15% 7/15/46 | 190,000 | 214,723 | |
3.3% 7/15/56 | 190,000 | 232,200 | |
Service Corp. International 5.125% 6/1/29 | 270,000 | 299,125 | |
Trustees of Boston University 4.061% 10/1/48 | 450,000 | 589,907 | |
University of Pennsylvania Trustees: | |||
2.396% 10/1/50 | 495,000 | 494,135 | |
3.61% 2/15/2119 | 285,000 | 324,734 | |
University of Southern California 3.841% 10/1/47 | 705,000 | 883,456 | |
Yale University 2.402% 4/15/50 | 1,615,000 | 1,666,331 | |
6,073,320 | |||
Hotels, Restaurants & Leisure - 0.1% | |||
1011778 BC Unlimited Liability Co./New Red Finance, Inc.: | |||
4.25% 5/15/24 (b) | 300,000 | 305,625 | |
4.375% 1/15/28 (b) | 280,000 | 287,700 | |
5.75% 4/15/25 (b) | 90,000 | 96,075 | |
Aramark Services, Inc.: | |||
4.75% 6/1/26 | 100,000 | 99,419 | |
5% 4/1/25 (b) | 200,000 | 202,000 | |
5% 2/1/28 (b) | 1,490,000 | 1,491,863 | |
6.375% 5/1/25 (b) | 790,000 | 827,525 | |
Caesars Resort Collection LLC 5.25% 10/15/25 (b) | 300,000 | 287,211 | |
Colt Merger Sub, Inc. 6.25% 7/1/25 (b) | 380,000 | 402,211 | |
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp. 4.625% 4/1/25 | 400,000 | 404,000 | |
KFC Holding Co./Pizza Hut Holding LLC 5% 6/1/24 (b) | 300,000 | 309,534 | |
Marriott International, Inc.: | |||
3.125% 6/15/26 | 1,090,000 | 1,093,827 | |
3.6% 4/15/24 | 660,000 | 683,053 | |
McDonald's Corp. 4.7% 12/9/35 | 1,535,000 | 1,944,327 | |
MCE Finance Ltd. 4.875% 6/6/25 (b) | 300,000 | 309,780 | |
Starbucks Corp. 1.3% 5/7/22 | 3,742,000 | 3,800,777 | |
Twin River Worldwide Holdings, Inc. 6.75% 6/1/27 (b) | 65,000 | 64,350 | |
Wyndham Hotels & Resorts, Inc. 5.375% 4/15/26 (b) | 200,000 | 207,500 | |
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.: | |||
5.25% 5/15/27 (b) | 215,000 | 209,410 | |
5.5% 3/1/25 (b) | 270,000 | 267,300 | |
Wynn Macau Ltd.: | |||
4.875% 10/1/24 (b) | 205,000 | 205,705 | |
5.5% 10/1/27 (b) | 190,000 | 191,366 | |
Yum! Brands, Inc. 7.75% 4/1/25 (b) | 330,000 | 368,363 | |
14,058,921 | |||
Household Durables - 0.2% | |||
Lennar Corp.: | |||
4.75% 11/29/27 | 9,350,000 | 10,659,000 | |
5% 6/15/27 | 12,100,000 | 13,763,750 | |
5.25% 6/1/26 | 2,920,000 | 3,295,308 | |
Toll Brothers Finance Corp.: | |||
4.35% 2/15/28 | 29,675,000 | 32,123,188 | |
4.375% 4/15/23 | 5,000,000 | 5,237,500 | |
4.875% 11/15/25 | 35,000 | 39,039 | |
4.875% 3/15/27 | 7,917,000 | 8,906,625 | |
5.625% 1/15/24 | 885,000 | 971,288 | |
5.875% 2/15/22 | 12,000,000 | 12,510,000 | |
87,505,698 | |||
Internet & Direct Marketing Retail - 0.0% | |||
Amazon.com, Inc. 2.8% 8/22/24 | 1,045,000 | 1,137,792 | |
Match Group Holdings II LLC 4.125% 8/1/30 (b) | 70,000 | 73,325 | |
1,211,117 | |||
Leisure Products - 0.0% | |||
Hasbro, Inc.: | |||
2.6% 11/19/22 | 2,485,000 | 2,566,440 | |
3% 11/19/24 | 5,655,000 | 5,988,542 | |
Mattel, Inc. 6.75% 12/31/25 (b) | 145,000 | 153,881 | |
8,708,863 | |||
Multiline Retail - 0.0% | |||
Dollar Tree, Inc. 4.2% 5/15/28 | 1,395,000 | 1,644,383 | |
Target Corp. 2.25% 4/15/25 | 2,144,000 | 2,298,036 | |
3,942,419 | |||
Specialty Retail - 0.1% | |||
AutoNation, Inc. 4.75% 6/1/30 | 953,000 | 1,116,443 | |
AutoZone, Inc.: | |||
1.65% 1/15/31 | 155,000 | 152,993 | |
3.75% 4/18/29 | 1,200,000 | 1,389,807 | |
4% 4/15/30 | 6,924,000 | 8,238,529 | |
Lowe's Companies, Inc. 4.25% 9/15/44 | 305,000 | 361,702 | |
O'Reilly Automotive, Inc. 4.2% 4/1/30 | 1,533,000 | 1,843,478 | |
The Home Depot, Inc.: | |||
3.75% 2/15/24 | 1,026,000 | 1,134,894 | |
4.875% 2/15/44 | 975,000 | 1,320,082 | |
5.875% 12/16/36 | 300,000 | 447,650 | |
TJX Companies, Inc.: | |||
3.75% 4/15/27 | 5,669,000 | 6,521,954 | |
3.875% 4/15/30 | 10,536,000 | 12,500,873 | |
4.5% 4/15/50 | 4,260,000 | 5,391,284 | |
40,419,689 | |||
Textiles, Apparel & Luxury Goods - 0.0% | |||
NIKE, Inc.: | |||
2.4% 3/27/25 | 909,000 | 979,223 | |
3.25% 3/27/40 | 3,137,000 | 3,520,123 | |
Wolverine World Wide, Inc. 6.375% 5/15/25 (b) | 270,000 | 286,200 | |
4,785,546 | |||
TOTAL CONSUMER DISCRETIONARY | 191,389,216 | ||
CONSUMER STAPLES - 0.5% | |||
Beverages - 0.3% | |||
Anheuser-Busch Companies LLC / Anheuser-Busch InBev Worldwide, Inc.: | |||
3.65% 2/1/26 | 575,000 | 649,473 | |
4.7% 2/1/36 | 2,765,000 | 3,297,717 | |
4.9% 2/1/46 | 1,175,000 | 1,445,008 | |
Anheuser-Busch InBev Finance, Inc.: | |||
4.7% 2/1/36 | 9,871,000 | 11,714,930 | |
4.9% 2/1/46 | 12,306,000 | 14,932,932 | |
Anheuser-Busch InBev Worldwide, Inc.: | |||
3.5% 6/1/30 | 8,175,000 | 9,359,246 | |
4.35% 6/1/40 | 4,618,000 | 5,364,695 | |
4.5% 6/1/50 | 8,175,000 | 9,893,793 | |
4.6% 6/1/60 | 5,007,000 | 6,116,384 | |
4.75% 4/15/58 | 6,987,000 | 8,642,998 | |
5.45% 1/23/39 | 5,390,000 | 6,856,327 | |
5.55% 1/23/49 | 14,627,000 | 19,739,875 | |
5.8% 1/23/59 (Reg. S) | 15,062,000 | 21,402,718 | |
Constellation Brands, Inc.: | |||
3.7% 12/6/26 | 925,000 | 1,064,967 | |
4.4% 11/15/25 | 480,000 | 559,929 | |
4.75% 11/15/24 | 5,595,000 | 6,483,152 | |
Diageo Capital PLC 2.125% 4/29/32 | 390,000 | 404,486 | |
PepsiCo, Inc.: | |||
2.625% 3/19/27 | 839,000 | 928,308 | |
2.75% 3/5/22 | 900,000 | 933,551 | |
2.75% 3/19/30 | 4,600,000 | 5,153,525 | |
3.1% 7/17/22 | 260,000 | 272,256 | |
3.6% 3/1/24 | 1,952,000 | 2,146,462 | |
3.625% 3/19/50 | 3,367,000 | 4,076,627 | |
141,439,359 | |||
Food & Staples Retailing - 0.0% | |||
Costco Wholesale Corp. 1.6% 4/20/30 | 540,000 | 552,776 | |
Kroger Co. 2.65% 10/15/26 | 530,000 | 578,673 | |
U.S. Foods, Inc. 6.25% 4/15/25 (b) | 185,000 | 196,100 | |
Walgreens Boots Alliance, Inc. 3.3% 11/18/21 | 2,632,000 | 2,709,172 | |
4,036,721 | |||
Food Products - 0.2% | |||
General Mills, Inc. 2.875% 4/15/30 | 410,000 | 450,816 | |
H.J. Heinz Co.: | |||
3.875% 5/15/27 (b) | 235,000 | 251,280 | |
4.25% 3/1/31 (b) | 220,000 | 243,075 | |
4.375% 6/1/46 | 7,290,000 | 7,444,468 | |
5% 7/15/35 | 125,000 | 144,565 | |
5.2% 7/15/45 | 4,602,000 | 5,214,898 | |
H.J. Heinz Finance Co. 7.125% 8/1/39 (b) | 9,093,000 | 12,486,805 | |
Hormel Foods Corp. 1.8% 6/11/30 | 2,425,000 | 2,512,462 | |
JBS U.S.A. LLC/JBS U.S.A. Finance, Inc.: | |||
5.75% 6/15/25 (b) | 1,300,000 | 1,342,250 | |
5.875% 7/15/24 (b) | 650,000 | 663,000 | |
JBS U.S.A. Lux SA / JBS Food Co.: | |||
5.5% 1/15/30 (b) | 14,490,000 | 16,097,233 | |
6.5% 4/15/29 (b) | 14,275,000 | 16,202,125 | |
Lamb Weston Holdings, Inc. 4.875% 5/15/28 (b) | 345,000 | 379,643 | |
Post Holdings, Inc.: | |||
4.625% 4/15/30 (b) | 40,000 | 41,750 | |
5.5% 12/15/29 (b) | 140,000 | 153,468 | |
The J.M. Smucker Co. 3.5% 3/15/25 | 310,000 | 350,006 | |
TreeHouse Foods, Inc. 4% 9/1/28 (c) | 145,000 | 147,565 | |
Tyson Foods, Inc. 4% 3/1/26 | 2,520,000 | 2,899,441 | |
67,024,850 | |||
Household Products - 0.0% | |||
Procter & Gamble Co. 2.8% 3/25/27 | 1,076,000 | 1,204,894 | |
Tobacco - 0.0% | |||
Altria Group, Inc.: | |||
2.85% 8/9/22 | 1,570,000 | 1,638,867 | |
4% 1/31/24 | 1,380,000 | 1,525,815 | |
4.25% 8/9/42 | 365,000 | 385,891 | |
BAT Capital Corp.: | |||
3.215% 9/6/26 | 855,000 | 927,710 | |
3.222% 8/15/24 | 1,095,000 | 1,180,875 | |
3.557% 8/15/27 | 1,370,000 | 1,497,517 | |
Philip Morris International, Inc.: | |||
1.125% 5/1/23 | 1,430,000 | 1,455,676 | |
3.875% 8/21/42 | 530,000 | 608,069 | |
9,220,420 | |||
TOTAL CONSUMER STAPLES | 222,926,244 | ||
ENERGY - 1.1% | |||
Energy Equipment & Services - 0.0% | |||
Baker Hughes Co. 4.08% 12/15/47 | 145,000 | 152,744 | |
El Paso Pipeline Partners Operating Co. LLC 5% 10/1/21 | 1,212,000 | 1,256,156 | |
Halliburton Co.: | |||
4.75% 8/1/43 | 445,000 | 462,157 | |
6.7% 9/15/38 | 170,000 | 217,137 | |
2,088,194 | |||
Oil, Gas & Consumable Fuels - 1.1% | |||
Alberta Energy Co. Ltd. 8.125% 9/15/30 | 6,179,000 | 6,622,674 | |
Amerada Hess Corp.: | |||
7.125% 3/15/33 | 1,335,000 | 1,648,428 | |
7.3% 8/15/31 | 1,849,000 | 2,276,282 | |
7.875% 10/1/29 | 5,583,000 | 7,066,545 | |
Cheniere Energy Partners LP: | |||
5.25% 10/1/25 | 1,405,000 | 1,437,652 | |
5.625% 10/1/26 | 760,000 | 796,624 | |
Chesapeake Energy Corp.: | |||
7% 10/1/24 (d) | 85,000 | 3,613 | |
8% 6/15/27 (d) | 415,000 | 17,638 | |
Chevron Corp.: | |||
2.355% 12/5/22 | 840,000 | 873,952 | |
2.566% 5/16/23 | 4,322,000 | 4,572,251 | |
CNOOC Finance (2013) Ltd. 2.875% 9/30/29 | 1,825,000 | 1,970,430 | |
Columbia Pipeline Group, Inc. 4.5% 6/1/25 | 1,418,000 | 1,650,414 | |
Concho Resources, Inc.: | |||
2.4% 2/15/31 | 410,000 | 401,232 | |
3.75% 10/1/27 | 915,000 | 1,003,593 | |
4.3% 8/15/28 | 2,540,000 | 2,866,123 | |
4.875% 10/1/47 | 185,000 | 213,668 | |
Conoco, Inc. 6.95% 4/15/29 | 425,000 | 593,636 | |
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.: | |||
5.625% 5/1/27 (b) | 310,000 | 284,425 | |
5.75% 4/1/25 | 1,500,000 | 1,435,013 | |
CVR Energy, Inc.: | |||
5.25% 2/15/25 (b) | 330,000 | 312,131 | |
5.75% 2/15/28 (b) | 40,000 | 36,300 | |
DCP Midstream LLC: | |||
4.75% 9/30/21 (b) | 2,017,000 | 2,057,340 | |
5.85% 5/21/43 (a)(b) | 7,892,000 | 6,106,435 | |
DCP Midstream Operating LP: | |||
3.875% 3/15/23 | 17,626,000 | 17,846,325 | |
5.125% 5/15/29 | 355,000 | 376,304 | |
5.375% 7/15/25 | 800,000 | 859,440 | |
5.6% 4/1/44 | 3,773,000 | 3,584,350 | |
5.625% 7/15/27 | 260,000 | 280,800 | |
Denbury Resources, Inc.: | |||
7.75% 2/15/24 (b)(d) | 320,000 | 160,000 | |
9.25% 3/31/22 (b)(d) | 30,000 | 15,000 | |
Devon Energy Corp.: | |||
5% 6/15/45 | 915,000 | 910,393 | |
5.6% 7/15/41 | 175,000 | 182,940 | |
Ecopetrol SA: | |||
4.125% 1/16/25 | 300,000 | 316,875 | |
5.375% 6/26/26 | 1,240,000 | 1,368,340 | |
5.875% 9/18/23 | 360,000 | 397,508 | |
6.875% 4/29/30 | 200,000 | 241,038 | |
EG Global Finance PLC: | |||
6.75% 2/7/25 (b) | 220,000 | 227,425 | |
8.5% 10/30/25 (b) | 380,000 | 406,600 | |
El Paso Corp. 6.5% 9/15/20 | 12,030,000 | 12,055,415 | |
Enable Midstream Partners LP 3.9% 5/15/24 (a) | 1,210,000 | 1,202,037 | |
Enbridge Energy Partners LP 4.2% 9/15/21 | 2,044,000 | 2,104,302 | |
Enbridge, Inc.: | |||
4% 10/1/23 | 3,799,000 | 4,128,678 | |
4.25% 12/1/26 | 1,943,000 | 2,245,582 | |
Encana Corp.: | |||
5.15% 11/15/41 | 3,000,000 | 2,112,828 | |
6.5% 8/15/34 | 1,165,000 | 1,132,612 | |
Endeavor Energy Resources LP/EER Finance, Inc.: | |||
5.5% 1/30/26 (b) | 20,000 | 19,984 | |
5.75% 1/30/28 (b) | 180,000 | 184,050 | |
6.625% 7/15/25 (b) | 45,000 | 46,941 | |
Energy Transfer Partners LP: | |||
3.75% 5/15/30 | 2,964,000 | 2,939,125 | |
4.2% 9/15/23 | 1,452,000 | 1,540,091 | |
4.25% 3/15/23 | 1,373,000 | 1,446,658 | |
4.5% 4/15/24 | 1,723,000 | 1,854,045 | |
4.75% 1/15/26 | 1,335,000 | 1,456,153 | |
4.95% 6/15/28 | 4,954,000 | 5,306,033 | |
5% 5/15/50 | 6,600,000 | 6,311,030 | |
5.25% 4/15/29 | 2,803,000 | 3,068,022 | |
5.3% 4/15/47 | 560,000 | 537,899 | |
5.8% 6/15/38 | 2,762,000 | 2,789,145 | |
6% 6/15/48 | 1,799,000 | 1,843,623 | |
6.25% 4/15/49 | 2,080,000 | 2,176,246 | |
6.625% 10/15/36 | 900,000 | 975,349 | |
Enterprise Products Operating LP: | |||
3.125% 7/31/29 | 100,000 | 109,114 | |
3.2% 2/15/52 | 840,000 | 795,648 | |
3.7% 1/31/51 | 65,000 | 65,872 | |
4.85% 3/15/44 | 2,725,000 | 3,138,363 | |
EOG Resources, Inc. 3.9% 4/1/35 | 205,000 | 240,714 | |
EQM Midstream Partners LP 6.5% 7/1/27 (b) | 125,000 | 136,875 | |
Equinor ASA 3.7% 4/6/50 | 920,000 | 1,070,339 | |
Exxon Mobil Corp.: | |||
2.397% 3/6/22 | 1,575,000 | 1,620,992 | |
4.114% 3/1/46 | 705,000 | 851,988 | |
Global Partners LP/GLP Finance Corp. 7% 8/1/27 | 500,000 | 502,500 | |
Hess Corp.: | |||
4.3% 4/1/27 | 1,117,000 | 1,188,724 | |
5.6% 2/15/41 | 1,896,000 | 2,162,565 | |
5.8% 4/1/47 | 4,517,000 | 5,145,691 | |
Hess Midstream Partners LP: | |||
5.125% 6/15/28 (b) | 325,000 | 334,139 | |
5.625% 2/15/26 (b) | 669,000 | 696,054 | |
Hilcorp Energy I LP/Hilcorp Finance Co. 5% 12/1/24 (b) | 225,000 | 213,188 | |
Holly Energy Partners LP/Holly Energy Finance Corp. 5% 2/1/28 (b) | 375,000 | 375,225 | |
Kinder Morgan Energy Partners LP: | |||
4.15% 3/1/22 | 885,000 | 929,595 | |
4.15% 2/1/24 | 300,000 | 328,746 | |
Kinder Morgan, Inc. 3.25% 8/1/50 | 190,000 | 178,091 | |
Magellan Midstream Partners LP: | |||
3.95% 3/1/50 | 1,085,000 | 1,139,181 | |
4.2% 10/3/47 | 695,000 | 748,249 | |
4.25% 9/15/46 | 65,000 | 69,885 | |
Marathon Petroleum Corp. 5.125% 3/1/21 | 2,870,000 | 2,936,393 | |
MPLX LP: | |||
3 month U.S. LIBOR + 0.900% 1.2129% 9/9/21 (a)(e) | 2,069,000 | 2,068,929 | |
3 month U.S. LIBOR + 1.100% 1.4129% 9/9/22 (a)(e) | 3,115,000 | 3,115,279 | |
4.125% 3/1/27 | 505,000 | 558,584 | |
4.5% 7/15/23 | 160,000 | 173,224 | |
4.5% 4/15/38 | 900,000 | 952,803 | |
4.7% 4/15/48 | 1,670,000 | 1,777,181 | |
4.8% 2/15/29 | 2,010,000 | 2,327,147 | |
4.875% 12/1/24 | 2,489,000 | 2,808,793 | |
5.5% 2/15/49 | 4,516,000 | 5,332,217 | |
Noble Energy, Inc.: | |||
5.25% 11/15/43 | 295,000 | 391,617 | |
6% 3/1/41 | 360,000 | 496,481 | |
Occidental Petroleum Corp.: | |||
2.7% 8/15/22 | 1,655,000 | 1,627,155 | |
2.9% 8/15/24 | 6,201,000 | 5,704,920 | |
3.125% 2/15/22 | 3,955,000 | 3,895,675 | |
3.2% 8/15/26 | 805,000 | 705,856 | |
3.4% 4/15/26 | 130,000 | 115,164 | |
3.5% 8/15/29 | 2,654,000 | 2,282,440 | |
4.2% 3/15/48 | 95,000 | 71,963 | |
4.3% 8/15/39 | 439,000 | 338,030 | |
4.4% 4/15/46 | 95,000 | 75,881 | |
4.4% 8/15/49 | 1,714,000 | 1,319,780 | |
5.55% 3/15/26 | 6,488,000 | 6,455,560 | |
6.2% 3/15/40 | 65,000 | 61,750 | |
6.45% 9/15/36 | 4,545,000 | 4,457,009 | |
6.6% 3/15/46 | 6,475,000 | 6,430,258 | |
7.5% 5/1/31 | 8,596,000 | 9,111,760 | |
7.875% 9/15/31 | 40,000 | 42,800 | |
8.875% 7/15/30 | 145,000 | 163,850 | |
ONEOK Partners LP 6.65% 10/1/36 | 400,000 | 459,609 | |
ONEOK, Inc.: | |||
3.1% 3/15/30 | 1,300,000 | 1,241,069 | |
4.45% 9/1/49 | 1,085,000 | 975,892 | |
4.95% 7/13/47 | 365,000 | 352,032 | |
PBF Holding Co. LLC/PBF Finance Corp. 9.25% 5/15/25 (b) | 475,000 | 520,125 | |
Petro-Canada 6.8% 5/15/38 | 350,000 | 475,330 | |
Petrobras Global Finance BV 7.25% 3/17/44 | 34,097,000 | 40,010,698 | |
Petroleos Mexicanos: | |||
6.5% 3/13/27 | 27,690,000 | 27,288,495 | |
6.75% 9/21/47 | 26,150,000 | 21,734,573 | |
6.84% 1/23/30 (b) | 10,852,000 | 10,461,328 | |
7.69% 1/23/50 (b) | 78,965,000 | 70,414,575 | |
Phillips 66 Co. 4.875% 11/15/44 | 305,000 | 370,053 | |
Phillips 66 Partners LP: | |||
3.75% 3/1/28 | 295,000 | 309,347 | |
4.9% 10/1/46 | 525,000 | 564,790 | |
Plains All American Pipeline LP/PAA Finance Corp.: | |||
3.55% 12/15/29 | 2,689,000 | 2,676,363 | |
3.6% 11/1/24 | 1,877,000 | 1,964,421 | |
3.65% 6/1/22 | 10,550,000 | 10,844,367 | |
3.8% 9/15/30 | 260,000 | 261,496 | |
QEP Resources, Inc. 5.25% 5/1/23 | 300,000 | 246,000 | |
Rattler Midstream LP 5.625% 7/15/25 (b) | 465,000 | 491,738 | |
Regency Energy Partners LP/Regency Energy Finance Corp. 5.875% 3/1/22 | 2,310,000 | 2,433,518 | |
Sabine Pass Liquefaction LLC 4.5% 5/15/30 (b) | 9,948,000 | 11,388,523 | |
Schlumberger Investment SA 3.65% 12/1/23 | 210,000 | 227,715 | |
Shell International Finance BV 3.25% 5/11/25 | 1,465,000 | 1,636,535 | |
Spectra Energy Partners LP 4.75% 3/15/24 | 6,000,000 | 6,737,765 | |
Sunoco Logistics Partner Operations LP: | |||
5.35% 5/15/45 | 850,000 | 812,448 | |
5.4% 10/1/47 | 1,861,000 | 1,822,768 | |
Sunoco LP/Sunoco Finance Corp.: | |||
4.875% 1/15/23 | 15,000 | 15,245 | |
5.5% 2/15/26 | 560,000 | 577,013 | |
5.875% 3/15/28 | 55,000 | 57,613 | |
6% 4/15/27 | 5,000 | 5,322 | |
Targa Resources Partners LP/Targa Resources Partners Finance Corp.: | |||
4.25% 11/15/23 | 200,000 | 201,256 | |
4.875% 2/1/31 (b) | 95,000 | 95,717 | |
5.125% 2/1/25 | 900,000 | 919,143 | |
5.875% 4/15/26 | 400,000 | 421,000 | |
The Williams Companies, Inc.: | |||
3.5% 11/15/30 | 10,592,000 | 11,638,356 | |
3.7% 1/15/23 | 2,512,000 | 2,666,180 | |
3.75% 6/15/27 | 1,635,000 | 1,804,705 | |
4.85% 3/1/48 | 100,000 | 115,854 | |
Total Capital International SA: | |||
2.7% 1/25/23 | 1,375,000 | 1,449,844 | |
2.829% 1/10/30 | 800,000 | 888,492 | |
Transcontinental Gas Pipe Line Co. LLC 3.25% 5/15/30 (b) | 535,000 | 583,738 | |
Valero Energy Corp. 4% 4/1/29 | 820,000 | 922,310 | |
Viper Energy Partners LP 5.375% 11/1/27 (b) | 300,000 | 309,000 | |
Western Gas Partners LP: | |||
3.95% 6/1/25 | 1,176,000 | 1,172,695 | |
4% 7/1/22 | 50,000 | 50,875 | |
4.1% 2/1/25 | 195,000 | 194,536 | |
4.65% 7/1/26 | 2,406,000 | 2,460,135 | |
4.75% 8/15/28 | 1,465,000 | 1,489,583 | |
5.05% 2/1/30 | 335,000 | 343,442 | |
5.3% 3/1/48 | 105,000 | 93,747 | |
5.375% 6/1/21 | 4,846,000 | 4,894,460 | |
6.25% 2/1/50 | 35,000 | 35,050 | |
Williams Partners LP: | |||
3.6% 3/15/22 | 660,000 | 685,394 | |
4.9% 1/15/45 | 470,000 | 527,988 | |
468,076,088 | |||
TOTAL ENERGY | 470,164,282 | ||
FINANCIALS - 3.7% | |||
Banks - 1.8% | |||
Banco Santander SA: | |||
3.49% 5/28/30 | 800,000 | 876,645 | |
3.848% 4/12/23 | 800,000 | 860,699 | |
Bank of America Corp.: | |||
2.496% 2/13/31 (a) | 650,000 | 684,926 | |
3.004% 12/20/23 (a) | 10,921,000 | 11,509,477 | |
3.3% 1/11/23 | 3,572,000 | 3,810,447 | |
3.419% 12/20/28 (a) | 13,388,000 | 14,961,070 | |
3.5% 4/19/26 | 5,358,000 | 6,069,812 | |
3.95% 4/21/25 | 12,493,000 | 14,053,163 | |
3.97% 3/5/29 (a) | 9,640,000 | 11,116,386 | |
4% 1/22/25 | 43,905,000 | 49,190,751 | |
4.1% 7/24/23 | 13,989,000 | 15,426,489 | |
4.2% 8/26/24 | 2,028,000 | 2,272,721 | |
4.25% 10/22/26 | 10,727,000 | 12,409,833 | |
4.45% 3/3/26 | 2,065,000 | 2,394,664 | |
Banque Federative du Credit Mutuel SA 3 month U.S. LIBOR + 0.730% 1.0018% 7/20/22 (a)(b)(e) | 8,041,000 | 8,093,634 | |
Barclays PLC: | |||
2.645% 6/24/31 (a) | 690,000 | 700,575 | |
2.852% 5/7/26 (a) | 10,143,000 | 10,709,927 | |
3.65% 3/16/25 | 200,000 | 218,508 | |
4.375% 1/12/26 | 240,000 | 272,902 | |
4.836% 5/9/28 | 6,667,000 | 7,434,044 | |
4.95% 1/10/47 | 1,655,000 | 2,220,711 | |
4.972% 5/16/29 (a) | 15,000,000 | 17,839,096 | |
5.088% 6/20/30 (a) | 13,438,000 | 15,601,688 | |
5.2% 5/12/26 | 1,701,000 | 1,933,714 | |
BNP Paribas SA 2.219% 6/9/26 (a)(b) | 9,163,000 | 9,555,247 | |
CIT Group, Inc.: | |||
3.929% 6/19/24 (a) | 1,375,000 | 1,419,413 | |
4.75% 2/16/24 | 2,480,000 | 2,610,200 | |
5% 8/1/23 | 7,000,000 | 7,411,600 | |
6.125% 3/9/28 | 4,840,000 | 5,705,150 | |
Citigroup, Inc.: | |||
2.572% 6/3/31 (a) | 2,345,000 | 2,477,981 | |
2.666% 1/29/31 (a) | 7,490,000 | 7,975,159 | |
4.3% 11/20/26 | 2,129,000 | 2,453,564 | |
4.4% 6/10/25 | 17,376,000 | 19,801,399 | |
4.412% 3/31/31 (a) | 13,726,000 | 16,670,056 | |
4.45% 9/29/27 | 6,030,000 | 6,999,423 | |
4.6% 3/9/26 | 3,500,000 | 4,064,276 | |
4.65% 7/30/45 | 900,000 | 1,158,978 | |
4.75% 5/18/46 | 10,000,000 | 12,774,822 | |
5.5% 9/13/25 | 8,267,000 | 9,846,127 | |
Citizens Financial Group, Inc.: | |||
4.15% 9/28/22 (b) | 3,115,000 | 3,299,327 | |
4.3% 12/3/25 | 6,459,000 | 7,430,535 | |
Commonwealth Bank of Australia 3.61% 9/12/34 (a)(b) | 3,419,000 | 3,749,372 | |
Credit Suisse Group Funding Guernsey Ltd.: | |||
3.75% 3/26/25 | 15,667,000 | 17,348,365 | |
4.55% 4/17/26 | 7,559,000 | 8,864,680 | |
Fifth Third Bancorp 8.25% 3/1/38 | 603,000 | 999,561 | |
HSBC Holdings PLC: | |||
4.041% 3/13/28 (a) | 3,130,000 | 3,517,758 | |
4.25% 3/14/24 | 1,872,000 | 2,050,216 | |
4.95% 3/31/30 | 1,855,000 | 2,282,013 | |
Huntington Bancshares, Inc. 7% 12/15/20 | 404,000 | 411,428 | |
Intesa Sanpaolo SpA: | |||
5.017% 6/26/24 (b) | 31,005,000 | 33,436,865 | |
5.71% 1/15/26 (b) | 7,646,000 | 8,495,327 | |
Japan Bank International Cooperation 3.25% 7/20/23 | 400,000 | 432,600 | |
JPMorgan Chase & Co.: | |||
2.522% 4/22/31 (a) | 1,055,000 | 1,129,587 | |
2.956% 5/13/31 (a) | 5,386,000 | 5,782,390 | |
3.509% 1/23/29 (a) | 1,900,000 | 2,146,803 | |
3.875% 9/10/24 | 1,000,000 | 1,113,944 | |
3.882% 7/24/38 (a) | 5,390,000 | 6,466,837 | |
3.964% 11/15/48 (a) | 1,270,000 | 1,558,672 | |
4.125% 12/15/26 | 4,475,000 | 5,226,920 | |
4.35% 8/15/21 | 4,947,000 | 5,138,702 | |
4.625% 5/10/21 | 1,718,000 | 1,769,508 | |
KeyCorp 2.55% 10/1/29 | 95,000 | 101,186 | |
Lloyds Banking Group PLC: | |||
2.438% 2/5/26 (a) | 1,010,000 | 1,061,755 | |
4.375% 3/22/28 | 1,365,000 | 1,615,654 | |
NatWest Markets PLC 2.375% 5/21/23 (b) | 10,828,000 | 11,186,656 | |
Peoples United Bank 4% 7/15/24 | 40,000 | 43,004 | |
PNC Bank NA 3.25% 6/1/25 | 1,710,000 | 1,907,957 | |
PNC Financial Services Group, Inc. 3.9% 4/29/24 | 375,000 | 415,552 | |
Rabobank Nederland 4.375% 8/4/25 | 7,713,000 | 8,794,876 | |
Royal Bank of Scotland Group PLC: | |||
3.073% 5/22/28 (a) | 5,799,000 | 6,205,016 | |
4.269% 3/22/25 (a) | 1,735,000 | 1,907,171 | |
4.8% 4/5/26 | 15,438,000 | 18,137,213 | |
5.125% 5/28/24 | 25,198,000 | 27,908,094 | |
6% 12/19/23 | 40,605,000 | 45,779,797 | |
6.1% 6/10/23 | 35,526,000 | 39,507,833 | |
6.125% 12/15/22 | 5,889,000 | 6,464,944 | |
Societe Generale 4.25% 4/14/25 (b) | 21,901,000 | 23,522,487 | |
Sumitomo Mitsui Banking Corp. 3.95% 7/19/23 | 250,000 | 272,742 | |
Synchrony Bank 3% 6/15/22 | 5,477,000 | 5,660,764 | |
Truist Financial Corp. 2.7% 1/27/22 | 540,000 | 556,510 | |
UniCredit SpA 6.572% 1/14/22 (b) | 7,600,000 | 8,079,687 | |
Wells Fargo & Co.: | |||
2.406% 10/30/25 (a) | 5,834,000 | 6,146,088 | |
2.572% 2/11/31 (a) | 585,000 | 613,638 | |
2.879% 10/30/30 (a) | 2,695,000 | 2,897,013 | |
3% 2/19/25 | 7,625,000 | 8,277,978 | |
4.125% 8/15/23 | 280,000 | 306,092 | |
4.3% 7/22/27 | 21,880,000 | 25,153,860 | |
4.478% 4/4/31 (a) | 15,500,000 | 18,922,731 | |
4.65% 11/4/44 | 1,385,000 | 1,682,794 | |
5.013% 4/4/51 (a) | 25,310,000 | 34,455,815 | |
Westpac Banking Corp. 4.11% 7/24/34 (a) | 4,937,000 | 5,572,861 | |
757,394,455 | |||
Capital Markets - 0.9% | |||
Affiliated Managers Group, Inc. 4.25% 2/15/24 | 1,847,000 | 2,036,274 | |
Ares Capital Corp.: | |||
3.875% 1/15/26 | 9,485,000 | 9,625,213 | |
4.2% 6/10/24 | 12,032,000 | 12,459,189 | |
Bank of New York Mellon Corp. 3.4% 5/15/24 | 750,000 | 828,298 | |
Credit Suisse Group AG: | |||
2.593% 9/11/25 (a)(b) | 13,060,000 | 13,671,094 | |
4.194% 4/1/31 (a)(b) | 12,540,000 | 14,628,537 | |
Deutsche Bank AG 4.5% 4/1/25 | 13,996,000 | 14,328,374 | |
Deutsche Bank AG New York Branch: | |||
3.3% 11/16/22 | 10,180,000 | 10,526,362 | |
5% 2/14/22 | 14,609,000 | 15,370,705 | |
Goldman Sachs Group, Inc.: | |||
2.876% 10/31/22 (a) | 12,744,000 | 13,076,411 | |
3.691% 6/5/28 (a) | 2,890,000 | 3,274,776 | |
3.8% 3/15/30 | 16,690,000 | 19,441,294 | |
3.814% 4/23/29 (a) | 550,000 | 630,063 | |
3.85% 1/26/27 | 500,000 | 569,339 | |
6.75% 10/1/37 | 50,999,000 | 74,507,630 | |
Intercontinental Exchange, Inc. 3.75% 12/1/25 | 3,162,000 | 3,599,444 | |
Morgan Stanley: | |||
3 month U.S. LIBOR + 0.930% 1.1878% 7/22/22 (a)(e) | 3,691,000 | 3,714,922 | |
3.125% 7/27/26 | 37,616,000 | 41,972,547 | |
3.591% 7/22/28 (a) | 1,835,000 | 2,072,164 | |
3.622% 4/1/31 (a) | 13,084,000 | 15,194,715 | |
3.7% 10/23/24 | 21,259,000 | 23,732,586 | |
3.772% 1/24/29 (a) | 2,420,000 | 2,779,519 | |
3.875% 1/27/26 | 625,000 | 717,462 | |
4% 7/23/25 | 2,450,000 | 2,803,505 | |
4.35% 9/8/26 | 2,340,000 | 2,731,693 | |
4.431% 1/23/30 (a) | 8,189,000 | 9,880,267 | |
5% 11/24/25 | 40,891,000 | 48,082,957 | |
5.75% 1/25/21 | 4,996,000 | 5,103,382 | |
Nomura Holdings, Inc. 2.648% 1/16/25 | 1,525,000 | 1,607,486 | |
S&P Global, Inc. 1.25% 8/15/30 | 1,825,000 | 1,801,656 | |
State Street Corp.: | |||
2.825% 3/30/23 (a)(b) | 887,000 | 919,156 | |
2.901% 3/30/26 (a)(b) | 833,000 | 911,493 | |
372,598,513 | |||
Consumer Finance - 0.5% | |||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust: | |||
2.875% 8/14/24 | 7,954,000 | 7,651,034 | |
3.5% 5/26/22 | 1,949,000 | 1,959,617 | |
4.125% 7/3/23 | 5,132,000 | 5,210,813 | |
4.45% 12/16/21 | 4,011,000 | 4,088,204 | |
4.45% 4/3/26 | 4,282,000 | 4,315,971 | |
4.5% 5/15/21 | 1,455,000 | 1,479,844 | |
4.875% 1/16/24 | 6,861,000 | 7,073,072 | |
5% 10/1/21 | 2,185,000 | 2,247,120 | |
6.5% 7/15/25 | 4,320,000 | 4,698,473 | |
Ally Financial, Inc.: | |||
3.05% 6/5/23 | 11,748,000 | 12,191,273 | |
3.875% 5/21/24 | 6,322,000 | 6,730,376 | |
4.125% 2/13/22 | 300,000 | 310,585 | |
5.125% 9/30/24 | 4,388,000 | 4,910,442 | |
5.8% 5/1/25 | 6,894,000 | 7,969,453 | |
Capital One Financial Corp.: | |||
3.65% 5/11/27 | 15,820,000 | 17,601,693 | |
3.8% 1/31/28 | 7,795,000 | 8,705,415 | |
Discover Financial Services: | |||
3.95% 11/6/24 | 2,567,000 | 2,825,832 | |
4.1% 2/9/27 | 645,000 | 718,038 | |
4.5% 1/30/26 | 6,463,000 | 7,408,257 | |
Ford Motor Credit Co. LLC: | |||
3.087% 1/9/23 | 130,000 | 129,207 | |
3.219% 1/9/22 | 120,000 | 119,387 | |
3.339% 3/28/22 | 90,000 | 90,095 | |
3.35% 11/1/22 | 1,290,000 | 1,288,104 | |
4.063% 11/1/24 | 22,139,000 | 22,453,817 | |
4.687% 6/9/25 | 180,000 | 184,930 | |
5.085% 1/7/21 | 4,004,000 | 4,009,005 | |
5.113% 5/3/29 | 215,000 | 227,094 | |
5.125% 6/16/25 | 135,000 | 141,849 | |
5.584% 3/18/24 | 8,575,000 | 9,142,236 | |
5.596% 1/7/22 | 8,285,000 | 8,512,589 | |
GE Capital International Funding Co. 4.418% 11/15/35 | 1,145,000 | 1,182,188 | |
John Deere Capital Corp.: | |||
2.65% 6/24/24 | 615,000 | 662,328 | |
2.8% 1/27/23 | 990,000 | 1,045,985 | |
2.8% 3/6/23 | 1,045,000 | 1,110,489 | |
Navient Corp. 7.25% 1/25/22 | 1,300,000 | 1,365,000 | |
Springleaf Finance Corp. 6.875% 3/15/25 | 500,000 | 563,903 | |
Synchrony Financial: | |||
2.85% 7/25/22 | 2,029,000 | 2,088,939 | |
3.75% 8/15/21 | 2,016,000 | 2,059,962 | |
3.95% 12/1/27 | 8,719,000 | 9,188,484 | |
4.25% 8/15/24 | 2,029,000 | 2,178,458 | |
4.375% 3/19/24 | 7,165,000 | 7,731,726 | |
5.15% 3/19/29 | 13,451,000 | 15,375,999 | |
198,947,286 | |||
Diversified Financial Services - 0.1% | |||
BP Capital Markets America, Inc. 3.245% 5/6/22 | 2,610,000 | 2,740,530 | |
Brixmor Operating Partnership LP: | |||
4.05% 7/1/30 | 5,688,000 | 6,102,646 | |
4.125% 6/15/26 | 5,706,000 | 6,190,141 | |
4.125% 5/15/29 | 6,724,000 | 7,276,204 | |
Equitable Holdings, Inc. 3.9% 4/20/23 | 1,273,000 | 1,371,594 | |
General Electric Capital Corp.: | |||
3.15% 9/7/22 | 1,386,000 | 1,453,985 | |
3.45% 5/15/24 | 85,000 | 91,541 | |
Icahn Enterprises LP/Icahn Enterprises Finance Corp.: | |||
4.75% 9/15/24 | 305,000 | 314,913 | |
5.25% 5/15/27 | 15,000 | 15,938 | |
6.25% 5/15/26 | 914,000 | 975,695 | |
6.375% 12/15/25 | 1,100,000 | 1,141,250 | |
MPH Acquisition Holdings LLC 7.125% 6/1/24 (b) | 385,000 | 390,891 | |
Park Aerospace Holdings Ltd. 5.5% 2/15/24 (b) | 7,000,000 | 6,902,623 | |
Pine Street Trust I 4.572% 2/15/29 (b) | 7,798,000 | 8,962,658 | |
Pine Street Trust II 5.568% 2/15/49 (b) | 7,800,000 | 9,576,720 | |
Voya Financial, Inc. 3.125% 7/15/24 | 3,436,000 | 3,697,569 | |
57,204,898 | |||
Insurance - 0.4% | |||
ACE INA Holdings, Inc.: | |||
2.7% 3/13/23 | 145,000 | 152,497 | |
3.15% 3/15/25 | 1,765,000 | 1,966,487 | |
AIA Group Ltd. 3.375% 4/7/30 (b) | 9,627,000 | 10,782,039 | |
American International Group, Inc.: | |||
3.4% 6/30/30 | 15,800,000 | 17,494,561 | |
4.5% 7/16/44 | 2,585,000 | 3,032,273 | |
Arch Capital Finance LLC 4.011% 12/15/26 | 1,770,000 | 2,049,231 | |
CNA Financial Corp.: | |||
3.9% 5/1/29 | 1,400,000 | 1,596,904 | |
3.95% 5/15/24 | 1,400,000 | 1,545,596 | |
Five Corners Funding Trust II 2.85% 5/15/30 (b) | 11,420,000 | 12,201,380 | |
Liberty Mutual Group, Inc. 4.569% 2/1/29 (b) | 1,847,000 | 2,229,634 | |
Lincoln National Corp.: | |||
3.05% 1/15/30 | 130,000 | 140,201 | |
4.35% 3/1/48 | 165,000 | 192,766 | |
6.3% 10/9/37 | 110,000 | 142,922 | |
Markel Corp.: | |||
4.15% 9/17/50 | 965,000 | 1,133,682 | |
4.3% 11/1/47 | 525,000 | 625,030 | |
Marsh & McLennan Companies, Inc.: | |||
3.5% 6/3/24 | 1,140,000 | 1,254,839 | |
4.375% 3/15/29 | 5,432,000 | 6,606,687 | |
4.75% 3/15/39 | 2,493,000 | 3,321,589 | |
4.8% 7/15/21 | 1,026,000 | 1,055,848 | |
4.9% 3/15/49 | 1,301,000 | 1,826,533 | |
MetLife, Inc. 4.368% 9/15/23 (a) | 910,000 | 1,015,630 | |
Metropolitan Life Global Funding I U.S. SECURED OVERNIGHT FINL RATE (SOFR) INDX + 0.500% 0.57% 5/28/21 (a)(b)(e) | 31,400,000 | 31,458,344 | |
New York Life Insurance Co. 3.75% 5/15/50 (b) | 2,317,000 | 2,623,802 | |
Pricoa Global Funding I 5.375% 5/15/45 (a) | 5,278,000 | 5,793,957 | |
Progressive Corp. 3.2% 3/26/30 | 1,118,000 | 1,286,533 | |
Prudential Financial, Inc. 4.5% 11/16/21 | 1,118,000 | 1,172,487 | |
Swiss Re Finance Luxembourg SA 5% 4/2/49 (a)(b) | 3,200,000 | 3,655,795 | |
Teachers Insurance & Annuity Association of America 3.3% 5/15/50 (b) | 4,976,000 | 5,131,552 | |
The Chubb Corp. 6% 5/11/37 | 300,000 | 443,732 | |
Unum Group: | |||
4% 6/15/29 | 5,961,000 | 6,514,796 | |
4.5% 3/15/25 | 8,661,000 | 9,631,559 | |
5.625% 9/15/20 | 3,216,000 | 3,221,589 | |
5.75% 8/15/42 | 2,238,000 | 2,551,263 | |
143,851,738 | |||
Thrifts & Mortgage Finance - 0.0% | |||
Quicken Loans, Inc. 5.25% 1/15/28 (b) | 300,000 | 319,877 | |
TOTAL FINANCIALS | 1,530,316,767 | ||
HEALTH CARE - 0.7% | |||
Biotechnology - 0.1% | |||
AbbVie, Inc.: | |||
3.85% 6/15/24 (b) | 310,000 | 341,993 | |
4.25% 11/21/49 (b) | 1,570,000 | 1,889,681 | |
4.55% 3/15/35 (b) | 400,000 | 499,109 | |
4.7% 5/14/45 | 3,675,000 | 4,583,516 | |
4.875% 11/14/48 | 585,000 | 752,540 | |
Amgen, Inc.: | |||
2.6% 8/19/26 | 3,600,000 | 3,950,867 | |
4.663% 6/15/51 | 175,000 | 231,267 | |
Baxalta, Inc. 4% 6/23/25 | 579,000 | 664,087 | |
Gilead Sciences, Inc.: | |||
3.65% 3/1/26 | 385,000 | 439,764 | |
4.5% 2/1/45 | 665,000 | 863,346 | |
Regeneron Pharmaceuticals, Inc. 2.8% 9/15/50 | 505,000 | 480,164 | |
Upjohn, Inc.: | |||
1.65% 6/22/25 (b) | 1,160,000 | 1,191,452 | |
2.7% 6/22/30 (b) | 5,898,000 | 6,152,554 | |
3.85% 6/22/40 (b) | 3,244,000 | 3,515,097 | |
4% 6/22/50 (b) | 4,937,000 | 5,375,675 | |
30,931,112 | |||
Health Care Equipment & Supplies - 0.0% | |||
Abbott Laboratories: | |||
3.75% 11/30/26 | 250,000 | 292,459 | |
4.9% 11/30/46 | 1,225,000 | 1,750,209 | |
Becton, Dickinson & Co.: | |||
3.125% 11/8/21 | 1,050,000 | 1,080,919 | |
3.7% 6/6/27 | 118,000 | 133,723 | |
3.734% 12/15/24 | 855,000 | 949,377 | |
Hologic, Inc. 4.375% 10/15/25 (b) | 200,000 | 204,130 | |
Stryker Corp.: | |||
3.375% 5/15/24 | 335,000 | 365,946 | |
3.375% 11/1/25 | 305,000 | 342,284 | |
3.5% 3/15/26 | 675,000 | 764,767 | |
Teleflex, Inc.: | |||
4.25% 6/1/28 (b) | 60,000 | 63,300 | |
4.875% 6/1/26 | 1,000,000 | 1,045,000 | |
6,992,114 | |||
Health Care Providers & Services - 0.3% | |||
Anthem, Inc.: | |||
3.3% 1/15/23 | 3,395,000 | 3,615,522 | |
3.65% 12/1/27 | 2,965,000 | 3,404,184 | |
Ascension Health: | |||
2.532% 11/15/29 | 295,000 | 330,059 | |
3.106% 11/15/39 | 610,000 | 660,665 | |
3.945% 11/15/46 | 315,000 | 397,948 | |
4.847% 11/15/53 | 150,000 | 226,200 | |
BayCare Health System, Inc. 3.831% 11/15/50 | 230,000 | 285,394 | |
Cardinal Health, Inc. 3.2% 6/15/22 | 405,000 | 422,849 | |
Centene Corp.: | |||
3.375% 2/15/30 | 4,420,000 | 4,596,800 | |
4.25% 12/15/27 | 5,825,000 | 6,116,250 | |
4.625% 12/15/29 | 7,750,000 | 8,492,760 | |
4.75% 1/15/25 | 3,965,000 | 4,078,320 | |
5.25% 4/1/25 (b) | 1,300,000 | 1,348,750 | |
5.375% 6/1/26 (b) | 335,000 | 354,263 | |
5.375% 8/15/26 (b) | 200,000 | 211,750 | |
Children's Health System of Texas 2.511% 8/15/50 | 360,000 | 352,987 | |
Childrens Hospital Corp. 4.115% 1/1/47 | 580,000 | 736,020 | |
Cigna Corp.: | |||
3.25% 4/15/25 | 5,000 | 5,522 | |
3.4% 3/15/50 | 600,000 | 642,330 | |
4.125% 9/15/20 | 1,049,000 | 1,050,449 | |
4.125% 11/15/25 | 4,646,000 | 5,370,774 | |
4.375% 10/15/28 | 7,774,000 | 9,303,379 | |
4.5% 2/25/26 | 4,775,000 | 5,616,215 | |
4.8% 8/15/38 | 4,840,000 | 6,089,259 | |
4.9% 12/15/48 | 4,836,000 | 6,388,972 | |
CommonSpirit Health 2.76% 10/1/24 | 950,000 | 996,848 | |
CVS Health Corp.: | |||
3% 8/15/26 | 828,000 | 908,457 | |
3.625% 4/1/27 | 2,341,000 | 2,650,814 | |
4.1% 3/25/25 | 7,225,000 | 8,239,110 | |
4.3% 3/25/28 | 15,826,000 | 18,631,445 | |
4.78% 3/25/38 | 1,320,000 | 1,616,913 | |
5.05% 3/25/48 | 889,000 | 1,154,002 | |
5.125% 7/20/45 | 1,545,000 | 1,991,011 | |
5.3% 12/5/43 | 555,000 | 725,035 | |
DaVita HealthCare Partners, Inc. 4.625% 6/1/30 (b) | 125,000 | 131,406 | |
Hackensack Meridian Health 4.5% 7/1/57 | 385,000 | 497,740 | |
HCA Holdings, Inc.: | |||
4.75% 5/1/23 | 205,000 | 225,432 | |
5.375% 2/1/25 | 305,000 | 343,357 | |
Kaiser Foundation Hospitals 4.15% 5/1/47 | 1,000,000 | 1,276,854 | |
Laboratory Corp. of America Holdings: | |||
3.25% 9/1/24 | 720,000 | 791,516 | |
4.7% 2/1/45 | 730,000 | 929,572 | |
Memorial Sloan-Kettring Cancer Center: | |||
2.955% 1/1/50 | 290,000 | 310,739 | |
4.2% 7/1/55 | 140,000 | 189,500 | |
5% 7/1/42 | 225,000 | 314,513 | |
Methodist Hospital 2.705% 12/1/50 | 1,345,000 | 1,339,843 | |
Mount Sinai Hospital 3.737% 7/1/49 | 460,000 | 510,568 | |
New York & Presbyterian Hospital: | |||
4.024% 8/1/45 | 600,000 | 773,103 | |
4.063% 8/1/56 | 390,000 | 508,957 | |
NYU Hospitals Center 4.368% 7/1/47 | 810,000 | 965,517 | |
Providence St. Joseph Health Obligated Group: | |||
2.532% 10/1/29 | 790,000 | 852,749 | |
2.746% 10/1/26 | 780,000 | 841,235 | |
Quest Diagnostics, Inc.: | |||
4.7% 3/30/45 | 100,000 | 123,367 | |
5.75% 1/30/40 | 68,000 | 91,299 | |
Stanford Health Care 3.795% 11/15/48 | 455,000 | 568,253 | |
Sutter Health 4.091% 8/15/48 | 2,040,000 | 2,433,078 | |
Tenet Healthcare Corp.: | |||
4.875% 1/1/26 (b) | 1,160,000 | 1,206,400 | |
6.25% 2/1/27 (b) | 120,000 | 126,000 | |
7.5% 4/1/25 (b) | 500,000 | 548,600 | |
8.125% 4/1/22 | 680,000 | 734,060 | |
Toledo Hospital: | |||
5.325% 11/15/28 | 2,792,000 | 3,043,893 | |
6.015% 11/15/48 | 5,710,000 | 6,536,552 | |
UnitedHealth Group, Inc.: | |||
2.75% 5/15/40 | 1,958,000 | 2,065,115 | |
3.875% 8/15/59 | 30,000 | 37,328 | |
4.25% 4/15/47 | 645,000 | 828,287 | |
4.25% 6/15/48 | 675,000 | 865,746 | |
6.875% 2/15/38 | 700,000 | 1,131,085 | |
138,152,920 | |||
Health Care Technology - 0.0% | |||
IMS Health, Inc. 5% 10/15/26 (b) | 900,000 | 940,239 | |
Life Sciences Tools & Services - 0.0% | |||
Charles River Laboratories International, Inc.: | |||
4.25% 5/1/28 (b) | 30,000 | 31,575 | |
5.5% 4/1/26 (b) | 100,000 | 105,250 | |
Thermo Fisher Scientific, Inc.: | |||
4.133% 3/25/25 | 290,000 | 332,757 | |
4.15% 2/1/24 | 280,000 | 310,886 | |
780,468 | |||
Pharmaceuticals - 0.3% | |||
Bayer U.S. Finance II LLC 4.25% 12/15/25 (b) | 51,454,000 | 59,053,337 | |
Bristol-Myers Squibb Co.: | |||
4.25% 10/26/49 | 1,575,000 | 2,090,678 | |
5% 8/15/45 | 735,000 | 1,046,223 | |
Elanco Animal Health, Inc.: | |||
4.912% 8/27/21 (a) | 1,274,000 | 1,304,258 | |
5.272% 8/28/23 (a) | 4,020,000 | 4,455,004 | |
5.9% 8/28/28 (a) | 1,693,000 | 2,019,961 | |
GlaxoSmithKline Capital PLC 2.85% 5/8/22 | 710,000 | 739,953 | |
GlaxoSmithKline Capital, Inc. 2.8% 3/18/23 | 1,425,000 | 1,510,443 | |
Johnson & Johnson: | |||
2.1% 9/1/40 | 475,000 | 473,492 | |
3.625% 3/3/37 | 1,260,000 | 1,531,775 | |
Merck & Co., Inc.: | |||
2.4% 9/15/22 | 2,050,000 | 2,128,058 | |
3.4% 3/7/29 | 1,400,000 | 1,634,389 | |
Mylan NV: | |||
3.95% 6/15/26 | 2,804,000 | 3,177,478 | |
5.2% 4/15/48 | 1,630,000 | 2,050,114 | |
5.4% 11/29/43 | 580,000 | 738,384 | |
Novartis Capital Corp.: | |||
2.4% 9/21/22 | 1,345,000 | 1,402,534 | |
4% 11/20/45 | 1,090,000 | 1,393,132 | |
Pfizer, Inc. 2.55% 5/28/40 | 1,310,000 | 1,367,609 | |
Shire Acquisitions Investments Ireland DAC 3.2% 9/23/26 | 2,190,000 | 2,452,502 | |
Takeda Pharmaceutical Co. Ltd. 3.025% 7/9/40 | 510,000 | 528,012 | |
Teva Pharmaceutical Finance Netherlands III BV 2.2% 7/21/21 | 1,013,000 | 1,011,126 | |
Valeant Pharmaceuticals International, Inc. 7% 3/15/24 (b) | 1,300,000 | 1,350,648 | |
Wyeth LLC 6.45% 2/1/24 | 1,875,000 | 2,241,015 | |
Zoetis, Inc. 3.25% 2/1/23 | 5,975,000 | 6,330,219 | |
102,030,344 | |||
TOTAL HEALTH CARE | 279,827,197 | ||
INDUSTRIALS - 0.3% | |||
Aerospace & Defense - 0.1% | |||
BAE Systems PLC 3.4% 4/15/30 (b) | 2,985,000 | 3,359,100 | |
BBA U.S. Holdings, Inc. 5.375% 5/1/26 (b) | 700,000 | 721,000 | |
BWX Technologies, Inc.: | |||
4.125% 6/30/28 (b) | 200,000 | 208,500 | |
5.375% 7/15/26 (b) | 700,000 | 733,250 | |
General Dynamics Corp.: | |||
2.25% 11/15/22 | 650,000 | 674,267 | |
3.5% 5/15/25 | 1,905,000 | 2,143,476 | |
Lockheed Martin Corp.: | |||
2.9% 3/1/25 | 2,350,000 | 2,571,357 | |
3.8% 3/1/45 | 585,000 | 711,138 | |
Moog, Inc. 4.25% 12/15/27 (b) | 410,000 | 423,325 | |
Northrop Grumman Corp. 4.75% 6/1/43 | 820,000 | 1,066,580 | |
Raytheon Technologies Corp.: | |||
3.5% 3/15/27 (b) | 1,300,000 | 1,471,829 | |
4.125% 11/16/28 | 490,000 | 582,911 | |
Textron, Inc. 2.45% 3/15/31 | 1,870,000 | 1,847,139 | |
The Boeing Co.: | |||
2.25% 6/15/26 | 810,000 | 793,825 | |
3.6% 5/1/34 | 1,750,000 | 1,699,192 | |
3.9% 5/1/49 | 125,000 | 113,908 | |
5.04% 5/1/27 | 4,430,000 | 4,874,489 | |
5.15% 5/1/30 | 4,430,000 | 4,960,118 | |
5.705% 5/1/40 | 4,430,000 | 5,136,277 | |
5.805% 5/1/50 | 5,060,000 | 6,044,727 | |
5.93% 5/1/60 | 4,430,000 | 5,403,128 | |
TransDigm, Inc.: | |||
6.25% 3/15/26 (b) | 915,000 | 965,517 | |
7.5% 3/15/27 | 40,000 | 41,800 | |
8% 12/15/25 (b) | 465,000 | 505,688 | |
47,052,541 | |||
Air Freight & Logistics - 0.0% | |||
FedEx Corp. 3.3% 3/15/27 | 280,000 | 308,946 | |
United Parcel Service, Inc. 2.05% 4/1/21 | 150,000 | 151,532 | |
XPO Logistics, Inc. 6.25% 5/1/25 (b) | 340,000 | 362,950 | |
823,428 | |||
Airlines - 0.0% | |||
American Airlines, Inc. equipment trust certificate 3.2% 12/15/29 | 449,280 | 420,517 | |
Continental Airlines, Inc. 4.15% 10/11/25 | 560,426 | 527,335 | |
Delta Air Lines, Inc. 3.625% 3/15/22 | 480,000 | 475,882 | |
Delta Air Lines, Inc. pass-thru trust certificates 6.821% 2/10/24 | 102,624 | 102,487 | |
Southwest Airlines Co.: | |||
2.625% 2/10/30 | 735,000 | 688,523 | |
5.125% 6/15/27 | 885,000 | 965,195 | |
United Airlines pass-thru Trust Series 2013-1A Class O, 4.3% 2/15/27 | 144,075 | 134,120 | |
3,314,059 | |||
Building Products - 0.0% | |||
Advanced Drain Systems, Inc. 5% 9/30/27 (b) | 400,000 | 417,152 | |
Johnson Controls International PLC 4.95% 7/2/64 | 197,000 | 245,357 | |
Masco Corp. 4.45% 4/1/25 | 1,610,000 | 1,858,503 | |
2,521,012 | |||
Commercial Services & Supplies - 0.0% | |||
Advocate Health & Hospitals Corp. 3.387% 10/15/49 | 510,000 | 568,577 | |
Cintas Corp. No. 2 3.7% 4/1/27 | 1,035,000 | 1,183,168 | |
LBC Tank Terminals Holding Netherlands BV 6.875% 5/15/23 (b) | 300,000 | 300,750 | |
Nielsen Co. SARL (Luxembourg) 5% 2/1/25 (b) | 220,000 | 224,400 | |
Nielsen Finance LLC/Nielsen Finance Co. 5% 4/15/22 (b) | 600,000 | 600,570 | |
Waste Connection, Inc. 3.05% 4/1/50 | 275,000 | 285,340 | |
Waste Management, Inc. 2.9% 9/15/22 | 375,000 | 392,248 | |
WMX Technologies, Inc. 4.6% 3/1/21 | 345,000 | 348,720 | |
3,903,773 | |||
Construction & Engineering - 0.0% | |||
AECOM: | |||
5.125% 3/15/27 | 305,000 | 334,448 | |
5.875% 10/15/24 | 1,100,000 | 1,225,125 | |
1,559,573 | |||
Electrical Equipment - 0.0% | |||
ABB Finance (U.S.A.), Inc. 2.875% 5/8/22 | 115,000 | 119,570 | |
Sensata Technologies BV 4.875% 10/15/23 (b) | 300,000 | 316,500 | |
436,070 | |||
Industrial Conglomerates - 0.0% | |||
Covidien International Finance SA 3.2% 6/15/22 | 865,000 | 902,716 | |
Honeywell International, Inc. 1.35% 6/1/25 | 920,000 | 947,386 | |
1,850,102 | |||
Machinery - 0.0% | |||
Fortive Corp. 3.15% 6/15/26 | 275,000 | 303,913 | |
Pentair Finance SA 4.5% 7/1/29 | 670,000 | 750,569 | |
Vertical U.S. Newco, Inc. 5.25% 7/15/27 (b) | 295,000 | 307,169 | |
Westinghouse Air Brake Co.: | |||
3.45% 11/15/26 | 740,000 | 782,209 | |
4.95% 9/15/28 | 430,000 | 493,935 | |
Xylem, Inc.: | |||
3.25% 11/1/26 | 225,000 | 252,344 | |
4.875% 10/1/21 | 525,000 | 549,190 | |
3,439,329 | |||
Professional Services - 0.0% | |||
ASGN, Inc. 4.625% 5/15/28 (b) | 110,000 | 113,850 | |
Booz Allen Hamilton, Inc. 3.875% 9/1/28 (b) | 320,000 | 331,904 | |
Equifax, Inc. 2.6% 12/1/24 | 1,245,000 | 1,329,994 | |
IHS Markit Ltd. 4.125% 8/1/23 | 365,000 | 398,857 | |
2,174,605 | |||
Road & Rail - 0.1% | |||
Avolon Holdings Funding Ltd.: | |||
3.625% 5/1/22 (b) | 2,155,000 | 2,085,708 | |
3.95% 7/1/24 (b) | 2,862,000 | 2,643,978 | |
4.375% 5/1/26 (b) | 3,477,000 | 3,202,048 | |
5.25% 5/15/24 (b) | 4,140,000 | 4,014,867 | |
Canadian National Railway Co. 2.85% 12/15/21 | 600,000 | 614,848 | |
CSX Corp.: | |||
3.8% 4/15/50 | 1,839,000 | 2,198,299 | |
6.15% 5/1/37 | 1,375,000 | 1,937,194 | |
Union Pacific Corp.: | |||
3.25% 2/5/50 | 1,285,000 | 1,407,826 | |
3.6% 9/15/37 | 640,000 | 730,002 | |
3.75% 2/5/70 | 315,000 | 355,097 | |
4.3% 6/15/42 | 325,000 | 395,343 | |
19,585,210 | |||
Trading Companies & Distributors - 0.1% | |||
Air Lease Corp.: | |||
2.25% 1/15/23 | 1,711,000 | 1,715,450 | |
3% 9/15/23 | 800,000 | 804,304 | |
3.375% 6/1/21 | 2,750,000 | 2,783,926 | |
3.375% 7/1/25 | 7,608,000 | 7,742,313 | |
3.75% 2/1/22 | 4,752,000 | 4,855,244 | |
3.875% 4/1/21 | 2,900,000 | 2,930,596 | |
4.25% 2/1/24 | 7,846,000 | 8,187,469 | |
4.25% 9/15/24 | 3,212,000 | 3,351,021 | |
FLY Leasing Ltd. 5.25% 10/15/24 | 50,000 | 39,625 | |
32,409,948 | |||
Transportation Infrastructure - 0.0% | |||
BNSF Funding Trust I 6.613% 12/15/55 (a) | 755,000 | 853,533 | |
TOTAL INDUSTRIALS | 119,923,183 | ||
INFORMATION TECHNOLOGY - 0.3% | |||
Communications Equipment - 0.0% | |||
Cisco Systems, Inc.: | |||
2.9% 3/4/21 | 150,000 | 151,954 | |
3% 6/15/22 | 310,000 | 325,309 | |
477,263 | |||
Electronic Equipment & Components - 0.0% | |||
Diamond 1 Finance Corp./Diamond 2 Finance Corp.: | |||
5.45% 6/15/23 (b) | 6,100,000 | 6,736,383 | |
6.02% 6/15/26 (b) | 2,112,000 | 2,486,472 | |
FLIR Systems, Inc. 2.5% 8/1/30 | 245,000 | 251,625 | |
TTM Technologies, Inc. 5.625% 10/1/25 (b) | 700,000 | 717,500 | |
10,191,980 | |||
IT Services - 0.0% | |||
Fiserv, Inc.: | |||
2.75% 7/1/24 | 105,000 | 112,566 | |
3.85% 6/1/25 | 1,490,000 | 1,690,229 | |
Gartner, Inc. 4.5% 7/1/28 (b) | 165,000 | 172,425 | |
Global Payments, Inc. 2.65% 2/15/25 | 495,000 | 528,943 | |
IBM Corp.: | |||
2.85% 5/15/40 | 730,000 | 772,514 | |
3.625% 2/12/24 | 3,365,000 | 3,711,751 | |
MasterCard, Inc. 3.375% 4/1/24 | 870,000 | 961,815 | |
Visa, Inc. 2.7% 4/15/40 | 145,000 | 156,124 | |
8,106,367 | |||
Semiconductors & Semiconductor Equipment - 0.0% | |||
Broadcom Corp./Broadcom Cayman LP 3.125% 1/15/25 | 1,260,000 | 1,351,705 | |
Entegris, Inc.: | |||
4.375% 4/15/28 (b) | 205,000 | 213,713 | |
4.625% 2/10/26 (b) | 400,000 | 413,124 | |
NVIDIA Corp.: | |||
2.85% 4/1/30 | 2,598,000 | 2,895,830 | |
3.5% 4/1/50 | 5,625,000 | 6,358,472 | |
ON Semiconductor Corp. 3.875% 9/1/28 (b) | 125,000 | 130,435 | |
11,363,279 | |||
Software - 0.2% | |||
CDK Global, Inc.: | |||
4.875% 6/1/27 | 500,000 | 527,500 | |
5.875% 6/15/26 | 200,000 | 210,074 | |
Intuit, Inc.: | |||
0.95% 7/15/25 | 940,000 | 950,663 | |
1.35% 7/15/27 | 200,000 | 204,408 | |
Microsoft Corp.: | |||
2.525% 6/1/50 | 468,000 | 489,616 | |
3.7% 8/8/46 | 2,510,000 | 3,125,186 | |
4.1% 2/6/37 | 1,212,000 | 1,560,000 | |
Nortonlifelock, Inc. 5% 4/15/25 (b) | 475,000 | 484,500 | |
Nuance Communications, Inc. 5.625% 12/15/26 | 600,000 | 636,000 | |
Open Text Corp. 3.875% 2/15/28 (b) | 175,000 | 179,998 | |
Oracle Corp.: | |||
2.5% 4/1/25 | 6,499,000 | 7,005,802 | |
2.65% 7/15/26 | 980,000 | 1,074,898 | |
2.8% 4/1/27 | 7,184,000 | 7,880,522 | |
2.95% 5/15/25 | 935,000 | 1,026,159 | |
2.95% 4/1/30 | 6,500,000 | 7,273,968 | |
3.6% 4/1/40 | 6,500,000 | 7,325,883 | |
3.6% 4/1/50 | 6,500,000 | 7,253,936 | |
3.85% 4/1/60 | 6,500,000 | 7,499,266 | |
4.125% 5/15/45 | 1,000,000 | 1,189,266 | |
ServiceNow, Inc. 1.4% 9/1/30 | 1,005,000 | 986,978 | |
SS&C Technologies, Inc. 5.5% 9/30/27 (b) | 775,000 | 830,103 | |
57,714,726 | |||
Technology Hardware, Storage & Peripherals - 0.1% | |||
Apple, Inc.: | |||
3.25% 2/23/26 | 7,150,000 | 8,078,233 | |
3.85% 8/4/46 | 1,080,000 | 1,332,429 | |
Hewlett Packard Enterprise Co. 4.4% 10/15/22 (a) | 5,700,000 | 6,110,572 | |
15,521,234 | |||
TOTAL INFORMATION TECHNOLOGY | 103,374,849 | ||
MATERIALS - 0.1% | |||
Chemicals - 0.1% | |||
Axalta Coating Systems/Dutch Holding BV 4.75% 6/15/27 (b) | 240,000 | 251,400 | |
CF Industries Holdings, Inc.: | |||
5.15% 3/15/34 | 300,000 | 355,500 | |
5.375% 3/15/44 | 5,000 | 6,213 | |
Consolidated Energy Finance SA: | |||
3 month U.S. LIBOR + 3.750% 4.0634% 6/15/22 (a)(b)(e) | 495,000 | 465,603 | |
6.5% 5/15/26 (b) | 265,000 | 233,863 | |
DuPont de Nemours, Inc.: | |||
2.169% 5/1/23 | 15,494,000 | 15,798,745 | |
4.493% 11/15/25 | 2,625,000 | 3,054,141 | |
Eastman Chemical Co. 4.65% 10/15/44 | 530,000 | 626,138 | |
Ecolab, Inc. 4.35% 12/8/21 | 245,000 | 257,352 | |
FMC Corp. 4.5% 10/1/49 | 800,000 | 987,820 | |
LYB International Finance III LLC: | |||
3.375% 5/1/30 | 950,000 | 1,035,091 | |
4.2% 5/1/50 | 150,000 | 164,890 | |
LyondellBasell Industries NV: | |||
5.75% 4/15/24 | 1,730,000 | 1,999,312 | |
6% 11/15/21 | 244,000 | 256,584 | |
Nufarm Australia Ltd. 5.75% 4/30/26 (b) | 400,000 | 403,000 | |
Nutrien Ltd. 4.9% 6/1/43 | 825,000 | 1,020,666 | |
Olin Corp. 5.125% 9/15/27 | 700,000 | 689,500 | |
Sherwin-Williams Co. 4.5% 6/1/47 | 210,000 | 265,388 | |
The Chemours Co. LLC 7% 5/15/25 | 600,000 | 613,500 | |
The Dow Chemical Co.: | |||
3.625% 5/15/26 | 2,820,000 | 3,149,851 | |
4.625% 10/1/44 | 295,000 | 340,173 | |
Valvoline, Inc.: | |||
4.25% 2/15/30 (b) | 70,000 | 74,288 | |
4.375% 8/15/25 | 400,000 | 415,080 | |
W. R. Grace & Co.-Conn.: | |||
4.875% 6/15/27 (b) | 125,000 | 130,938 | |
5.625% 10/1/24 (b) | 400,000 | 430,000 | |
33,025,036 | |||
Construction Materials - 0.0% | |||
Martin Marietta Materials, Inc. 2.5% 3/15/30 | 530,000 | 551,682 | |
Vulcan Materials Co. 4.5% 6/15/47 | 795,000 | 922,111 | |
1,473,793 | |||
Containers & Packaging - 0.0% | |||
Ardagh Packaging Finance PLC/Ardagh MP Holdings U.S.A., Inc. 6% 2/15/25 (b) | 40,000 | 41,720 | |
Berry Global, Inc. 4.875% 7/15/26 (b) | 200,000 | 212,500 | |
Intelligent Packaging Ltd. Finco, Inc. 6% 9/15/28 (b)(c) | 40,000 | 40,800 | |
International Paper Co.: | |||
5% 9/15/35 | 715,000 | 920,473 | |
5.15% 5/15/46 | 116,000 | 147,377 | |
OI European Group BV 4% 3/15/23 (b) | 500,000 | 505,105 | |
Rock-Tenn Co. 4.9% 3/1/22 | 185,000 | 196,472 | |
Trivium Packaging Finance BV: | |||
5.5% 8/15/26 (b) | 205,000 | 216,197 | |
8.5% 8/15/27 (b) | 60,000 | 66,000 | |
2,346,644 | |||
Metals & Mining - 0.0% | |||
Anglo American Capital PLC: | |||
4.125% 4/15/21 (b) | 6,803,000 | 6,924,146 | |
4.125% 9/27/22 (b) | 1,333,000 | 1,405,139 | |
Barrick North America Finance LLC: | |||
5.7% 5/30/41 | 415,000 | 584,998 | |
5.75% 5/1/43 | 330,000 | 480,061 | |
Barrick PD Australia Finance Pty Ltd. 5.95% 10/15/39 | 645,000 | 919,216 | |
BHP Billiton Financial (U.S.A.) Ltd. 6.25% 10/19/75 (a)(b) | 1,979,000 | 1,987,906 | |
Corporacion Nacional del Cobre de Chile (Codelco): | |||
3.625% 8/1/27 (b) | 2,033,000 | 2,221,053 | |
4.5% 8/1/47 (b) | 1,715,000 | 2,070,327 | |
FMG Resources (August 2006) Pty Ltd. 4.5% 9/15/27 (b) | 5,000 | 5,400 | |
Kaiser Aluminum Corp.: | |||
4.625% 3/1/28 (b) | 280,000 | 276,954 | |
6.5% 5/1/25 (b) | 105,000 | 110,976 | |
Newmont Corp.: | |||
2.25% 10/1/30 | 600,000 | 626,402 | |
2.8% 10/1/29 | 425,000 | 461,179 | |
Southern Copper Corp. 5.875% 4/23/45 | 455,000 | 626,478 | |
Steel Dynamics, Inc. 2.4% 6/15/25 | 365,000 | 384,238 | |
19,084,473 | |||
TOTAL MATERIALS | 55,929,946 | ||
REAL ESTATE - 0.6% | |||
Equity Real Estate Investment Trusts (REITs) - 0.4% | |||
Alexandria Real Estate Equities, Inc. 4.9% 12/15/30 | 5,395,000 | 6,845,901 | |
Boston Properties, Inc.: | |||
3.85% 2/1/23 | 1,175,000 | 1,254,254 | |
4.5% 12/1/28 | 5,210,000 | 6,159,563 | |
CoreCivic, Inc. 4.625% 5/1/23 | 800,000 | 760,000 | |
Corporate Office Properties LP 5% 7/1/25 | 3,453,000 | 3,771,164 | |
CTR Partnership LP/CareTrust Capital Corp. 5.25% 6/1/25 | 300,000 | 306,000 | |
Duke Realty LP: | |||
3.25% 6/30/26 | 805,000 | 887,067 | |
3.625% 4/15/23 | 1,382,000 | 1,470,044 | |
Equity One, Inc. 3.75% 11/15/22 | 3,200,000 | 3,406,091 | |
GLP Capital LP/GLP Financing II, Inc. 5.25% 6/1/25 | 200,000 | 216,336 | |
Healthcare Trust of America Holdings LP: | |||
3.1% 2/15/30 | 1,715,000 | 1,810,523 | |
3.5% 8/1/26 | 1,786,000 | 1,965,036 | |
Healthpeak Properties, Inc.: | |||
3% 1/15/30 | 925,000 | 1,005,407 | |
3.5% 7/15/29 | 887,000 | 994,758 | |
Highwoods/Forsyth LP 3.2% 6/15/21 | 737,000 | 748,214 | |
Hudson Pacific Properties LP 4.65% 4/1/29 | 10,503,000 | 11,844,739 | |
Kimco Realty Corp. 1.9% 3/1/28 | 815,000 | 801,644 | |
Lexington Corporate Properties Trust: | |||
2.7% 9/15/30 | 894,000 | 905,147 | |
4.4% 6/15/24 | 1,319,000 | 1,395,826 | |
MGM Growth Properties Operating Partnership LP: | |||
4.625% 6/15/25 (b) | 65,000 | 68,595 | |
5.625% 5/1/24 | 2,300,000 | 2,484,000 | |
MPT Operating Partnership LP/MPT Finance Corp. 6.375% 3/1/24 | 1,600,000 | 1,652,000 | |
Omega Healthcare Investors, Inc.: | |||
3.625% 10/1/29 | 7,647,000 | 7,696,660 | |
4.375% 8/1/23 | 6,644,000 | 7,149,213 | |
4.5% 1/15/25 | 2,793,000 | 2,933,895 | |
4.5% 4/1/27 | 1,500,000 | 1,590,152 | |
4.75% 1/15/28 | 7,569,000 | 8,155,618 | |
4.95% 4/1/24 | 1,152,000 | 1,233,566 | |
5.25% 1/15/26 | 5,841,000 | 6,404,334 | |
Realty Income Corp.: | |||
3% 1/15/27 | 585,000 | 632,161 | |
3.25% 1/15/31 | 1,177,000 | 1,307,905 | |
Retail Opportunity Investments Partnership LP: | |||
4% 12/15/24 | 877,000 | 874,424 | |
5% 12/15/23 | 626,000 | 651,021 | |
Retail Properties America, Inc.: | |||
4% 3/15/25 | 5,663,000 | 5,645,316 | |
4.75% 9/15/30 | 10,398,000 | 10,292,842 | |
SBA Communications Corp. 4.875% 9/1/24 | 200,000 | 205,440 | |
Simon Property Group LP: | |||
2.45% 9/13/29 | 360,000 | 359,930 | |
3.25% 11/30/26 | 1,070,000 | 1,174,800 | |
3.375% 10/1/24 | 2,120,000 | 2,299,843 | |
3.5% 9/1/25 | 55,000 | 60,469 | |
3.75% 2/1/24 | 275,000 | 298,237 | |
SITE Centers Corp.: | |||
3.625% 2/1/25 | 2,396,000 | 2,452,301 | |
4.25% 2/1/26 | 5,582,000 | 5,806,684 | |
Store Capital Corp. 4.625% 3/15/29 | 2,475,000 | 2,638,741 | |
The GEO Group, Inc.: | |||
5.875% 10/15/24 | 65,000 | 51,025 | |
6% 4/15/26 | 265,000 | 203,214 | |
Uniti Group, Inc. 7.875% 2/15/25 (b) | 350,000 | 369,919 | |
Ventas Realty LP: | |||
3% 1/15/30 | 10,008,000 | 10,104,021 | |
3.125% 6/15/23 | 1,414,000 | 1,472,712 | |
3.85% 4/1/27 | 1,050,000 | 1,132,981 | |
4% 3/1/28 | 2,712,000 | 2,932,410 | |
4.125% 1/15/26 | 1,628,000 | 1,826,952 | |
4.75% 11/15/30 | 13,000,000 | 14,828,575 | |
VEREIT Operating Partnership LP 3.4% 1/15/28 | 1,880,000 | 1,945,651 | |
VICI Properties, Inc.: | |||
3.5% 2/15/25 (b) | 125,000 | 125,220 | |
4.25% 12/1/26 (b) | 670,000 | 685,075 | |
4.625% 12/1/29 (b) | 250,000 | 260,000 | |
Weingarten Realty Investors 3.375% 10/15/22 | 472,000 | 482,099 | |
Welltower, Inc. 2.7% 2/15/27 | 340,000 | 361,495 | |
WP Carey, Inc.: | |||
3.85% 7/15/29 | 1,725,000 | 1,854,464 | |
4% 2/1/25 | 5,544,000 | 6,049,760 | |
4.6% 4/1/24 | 7,436,000 | 8,171,578 | |
173,473,012 | |||
Real Estate Management & Development - 0.2% | |||
Brandywine Operating Partnership LP: | |||
3.95% 2/15/23 | 4,006,000 | 4,151,494 | |
3.95% 11/15/27 | 5,608,000 | 5,824,994 | |
4.1% 10/1/24 | 4,892,000 | 5,154,580 | |
4.55% 10/1/29 | 1,707,000 | 1,820,658 | |
CBRE Group, Inc. 4.875% 3/1/26 | 12,670,000 | 14,681,184 | |
Essex Portfolio LP 3.875% 5/1/24 | 2,685,000 | 2,942,755 | |
Howard Hughes Corp. 5.375% 3/15/25 (b) | 400,000 | 404,960 | |
Mack-Cali Realty LP: | |||
3.15% 5/15/23 | 3,436,000 | 3,091,575 | |
4.5% 4/18/22 | 644,000 | 618,166 | |
Mid-America Apartments LP 4% 11/15/25 | 1,296,000 | 1,472,371 | |
Post Apartment Homes LP 3.375% 12/1/22 | 1,800,000 | 1,883,243 | |
Tanger Properties LP: | |||
3.125% 9/1/26 | 3,497,000 | 3,289,798 | |
3.75% 12/1/24 | 3,352,000 | 3,298,250 | |
3.875% 12/1/23 | 1,492,000 | 1,485,823 | |
3.875% 7/15/27 | 13,369,000 | 12,886,923 | |
63,006,774 | |||
TOTAL REAL ESTATE | 236,479,786 | ||
UTILITIES - 0.5% | |||
Electric Utilities - 0.2% | |||
AEP Texas, Inc. 2.1% 7/1/30 | 100,000 | 102,410 | |
AEP Transmission Co. LLC 4% 12/1/46 | 375,000 | 458,821 | |
Alabama Power Co.: | |||
3.75% 3/1/45 | 650,000 | 761,682 | |
3.85% 12/1/42 | 700,000 | 829,343 | |
4.1% 1/15/42 | 225,000 | 263,796 | |
CenterPoint Energy Houston Electric LLC 3.95% 3/1/48 | 1,135,000 | 1,417,336 | |
Clearway Energy Operating LLC: | |||
4.75% 3/15/28 (b) | 60,000 | 62,850 | |
5% 9/15/26 | 520,000 | 545,719 | |
Cleco Corporate Holdings LLC 3.375% 9/15/29 | 4,448,000 | 4,536,129 | |
Commonwealth Edison Co.: | |||
3.2% 11/15/49 | 165,000 | 181,161 | |
3.7% 8/15/28 | 250,000 | 291,427 | |
3.7% 3/1/45 | 315,000 | 371,975 | |
4.35% 11/15/45 | 330,000 | 426,544 | |
4.6% 8/15/43 | 1,045,000 | 1,359,218 | |
Dominion Energy South Carolina: | |||
5.1% 6/1/65 | 520,000 | 791,673 | |
5.45% 2/1/41 | 35,000 | 48,541 | |
DPL, Inc. 4.35% 4/15/29 | 1,990,000 | 2,180,602 | |
DTE Electric Co.: | |||
2.25% 3/1/30 | 150,000 | 160,444 | |
3.75% 8/15/47 | 900,000 | 1,070,607 | |
Duke Energy Carolinas LLC: | |||
2.95% 12/1/26 | 370,000 | 415,326 | |
4% 9/30/42 | 1,400,000 | 1,714,899 | |
4.25% 12/15/41 | 1,450,000 | 1,848,972 | |
6.1% 6/1/37 | 775,000 | 1,155,693 | |
Duke Energy Industries, Inc. 3.25% 10/1/49 | 215,000 | 240,036 | |
Duquesne Light Holdings, Inc. 5.9% 12/1/21 (b) | 8,875,000 | 9,359,547 | |
Entergy Louisiana LLC 2.4% 10/1/26 | 1,070,000 | 1,166,997 | |
Evergy Kansas Central 4.125% 3/1/42 | 655,000 | 793,527 | |
Eversource Energy 1.65% 8/15/30 | 520,000 | 518,059 | |
Exelon Corp.: | |||
4.05% 4/15/30 | 2,274,000 | 2,680,849 | |
4.7% 4/15/50 | 1,013,000 | 1,300,650 | |
5.625% 6/15/35 | 150,000 | 201,051 | |
FirstEnergy Corp.: | |||
4.25% 3/15/23 | 12,580,000 | 13,342,973 | |
4.85% 7/15/47 | 335,000 | 411,177 | |
7.375% 11/15/31 | 9,948,000 | 14,065,103 | |
Florida Power & Light Co.: | |||
3.95% 3/1/48 | 1,780,000 | 2,271,491 | |
5.25% 2/1/41 | 150,000 | 212,419 | |
Fortis, Inc. 3.055% 10/4/26 | 301,000 | 328,909 | |
Hydro-Quebec 8.05% 7/7/24 | 1,455,000 | 1,875,641 | |
Indiana Michigan Power Co. 4.55% 3/15/46 | 620,000 | 791,404 | |
IPALCO Enterprises, Inc. 3.7% 9/1/24 | 2,644,000 | 2,860,593 | |
Louisville Gas & Electric Co. 5.125% 11/15/40 | 345,000 | 455,136 | |
MidAmerican Energy Co. 3.95% 8/1/47 | 1,075,000 | 1,348,059 | |
NextEra Energy Capital Holdings, Inc. 2.25% 6/1/30 | 1,140,000 | 1,194,114 | |
NextEra Energy Partners LP 4.25% 9/15/24 (b) | 300,000 | 319,500 | |
Northern States Power Co.: | |||
3.6% 9/15/47 | 20,000 | 23,729 | |
6.25% 6/1/36 | 370,000 | 555,120 | |
NRG Energy, Inc.: | |||
5.75% 1/15/28 | 245,000 | 266,438 | |
6.625% 1/15/27 | 400,000 | 428,080 | |
NSG Holdings II LLC/NSG Holdings, Inc. 7.75% 12/15/25 (b) | 21,906 | 23,111 | |
Ohio Power Co. 4% 6/1/49 | 680,000 | 828,121 | |
Pacific Gas & Electric Co. 4.5% 7/1/40 | 445,000 | 466,773 | |
PacifiCorp: | |||
3.3% 3/15/51 | 600,000 | 677,581 | |
5.25% 6/15/35 | 1,375,000 | 1,917,046 | |
5.75% 4/1/37 | 900,000 | 1,272,271 | |
Pattern Energy Operations LP 4.5% 8/15/28 (b) | 90,000 | 94,725 | |
PECO Energy Co.: | |||
2.8% 6/15/50 | 360,000 | 378,315 | |
3.9% 3/1/48 | 1,275,000 | 1,584,128 | |
PG&E Corp. 5.25% 7/1/30 | 485,000 | 483,758 | |
PPL Capital Funding, Inc. 4.7% 6/1/43 | 1,315,000 | 1,620,589 | |
PPL Electric Utilities Corp.: | |||
4.125% 6/15/44 | 450,000 | 550,755 | |
4.15% 10/1/45 | 555,000 | 704,602 | |
6.25% 5/15/39 | 250,000 | 369,881 | |
Public Service Electric & Gas Co.: | |||
3.6% 12/1/47 | 260,000 | 313,919 | |
3.65% 9/1/28 | 685,000 | 803,777 | |
3.65% 9/1/42 | 125,000 | 148,163 | |
3.95% 5/1/42 | 405,000 | 495,968 | |
Puget Sound Energy, Inc. 5.764% 7/15/40 | 285,000 | 388,253 | |
Southern California Edison Co.: | |||
3.6% 2/1/45 | 1,935,000 | 1,988,250 | |
3.9% 12/1/41 | 120,000 | 125,910 | |
5.55% 1/15/37 | 430,000 | 533,813 | |
Virginia Electric & Power Co.: | |||
6% 1/15/36 | 470,000 | 657,211 | |
6% 5/15/37 | 950,000 | 1,354,079 | |
Vistra Operations Co. LLC: | |||
5% 7/31/27 (b) | 195,000 | 206,794 | |
5.5% 9/1/26 (b) | 1,700,000 | 1,785,000 | |
5.625% 2/15/27 (b) | 225,000 | 237,938 | |
Wisconsin Power & Light Co. 4.1% 10/15/44 | 240,000 | 287,624 | |
Xcel Energy, Inc. 3.5% 12/1/49 | 1,175,000 | 1,325,095 | |
99,629,220 | |||
Gas Utilities - 0.0% | |||
AGL Capital Corp. 4.4% 6/1/43 | 440,000 | 520,577 | |
Atmos Energy Corp. 3.375% 9/15/49 | 1,145,000 | 1,305,915 | |
Nakilat, Inc. 6.067% 12/31/33 (b) | 666,000 | 851,648 | |
Southern Natural Gas Co./Southern Natural Issuing Corp. 4.4% 6/15/21 | 527,000 | 537,764 | |
Southwest Gas Holdings, Inc. 2.2% 6/15/30 | 395,000 | 416,182 | |
3,632,086 | |||
Independent Power and Renewable Electricity Producers - 0.1% | |||
Emera U.S. Finance LP 4.75% 6/15/46 | 660,000 | 818,256 | |
Exelon Generation Co. LLC: | |||
3.25% 6/1/25 | 350,000 | 385,743 | |
5.6% 6/15/42 | 375,000 | 434,526 | |
TerraForm Power Operating LLC 5% 1/31/28 (b) | 400,000 | 444,454 | |
The AES Corp.: | |||
3.3% 7/15/25 (b) | 10,697,000 | 11,480,502 | |
3.95% 7/15/30 (b) | 9,327,000 | 10,094,612 | |
5.5% 4/15/25 | 40,000 | 41,203 | |
23,699,296 | |||
Multi-Utilities - 0.2% | |||
Ameren Illinois Co.: | |||
3.25% 3/15/50 | 480,000 | 547,962 | |
4.15% 3/15/46 | 835,000 | 1,041,278 | |
4.5% 3/15/49 | 295,000 | 399,654 | |
Berkshire Hathaway Energy Co.: | |||
3.7% 7/15/30 (b) | 1,280,000 | 1,517,022 | |
4.05% 4/15/25 (b) | 16,081,000 | 18,378,360 | |
CenterPoint Energy, Inc. 2.95% 3/1/30 | 25,000 | 27,486 | |
Consolidated Edison Co. of New York, Inc.: | |||
3.35% 4/1/30 | 1,030,000 | 1,190,326 | |
3.95% 4/1/50 | 1,808,000 | 2,156,338 | |
4.3% 12/1/56 | 300,000 | 369,660 | |
Dominion Energy, Inc. 7% 6/15/38 | 150,000 | 220,683 | |
DTE Energy Co. 3.8% 3/15/27 | 1,010,000 | 1,136,577 | |
NiSource Finance Corp.: | |||
4.8% 2/15/44 | 190,000 | 243,930 | |
5.95% 6/15/41 | 640,000 | 908,580 | |
NiSource, Inc. 2.95% 9/1/29 | 11,346,000 | 12,435,677 | |
NorthWestern Energy Corp. 4.176% 11/15/44 | 260,000 | 305,282 | |
Puget Energy, Inc.: | |||
3.65% 5/15/25 | 324,000 | 346,629 | |
4.1% 6/15/30 (b) | 5,059,000 | 5,577,860 | |
5.625% 7/15/22 | 4,555,000 | 4,848,541 | |
6% 9/1/21 | 4,353,000 | 4,580,369 | |
San Diego Gas & Electric Co.: | |||
3.32% 4/15/50 | 785,000 | 869,668 | |
3.6% 9/1/23 | 100,000 | 108,340 | |
3.75% 6/1/47 | 710,000 | 836,004 | |
Sempra Energy 4% 2/1/48 | 390,000 | 451,806 | |
WEC Energy Group, Inc. 3 month U.S. LIBOR + 2.110% 2.3926% 5/15/67 (a)(e) | 1,012,000 | 835,872 | |
59,333,904 | |||
Water Utilities - 0.0% | |||
American Water Capital Corp. 3.45% 5/1/50 | 285,000 | 323,205 | |
TOTAL UTILITIES | 186,617,711 | ||
TOTAL NONCONVERTIBLE BONDS | |||
(Cost $3,451,489,619) | 3,776,507,737 | ||
U.S. Government and Government Agency Obligations - 4.1% | |||
U.S. Government Agency Obligations - 0.0% | |||
Fannie Mae: | |||
0.5% 6/17/25 | $1,530,000 | $1,533,833 | |
0.625% 4/22/25 | 1,625,000 | 1,639,140 | |
0.875% 8/5/30 | 705,000 | 694,927 | |
1.625% 10/15/24 | 3,505,000 | 3,685,315 | |
1.625% 1/7/25 | 705,000 | 744,408 | |
1.875% 9/24/26 | 495,000 | 533,991 | |
2% 10/5/22 | 635,000 | 659,104 | |
2.5% 2/5/24 | 665,000 | 716,123 | |
2.875% 10/30/20 | 765,000 | 768,465 | |
2.875% 9/12/23 | 670,000 | 723,510 | |
6.25% 5/15/29 | 255,000 | 367,879 | |
6.625% 11/15/30 | 670,000 | 1,027,729 | |
Federal Home Loan Bank: | |||
2.625% 10/1/20 | 165,000 | 165,338 | |
3% 10/12/21 | 1,165,000 | 1,202,070 | |
3.25% 11/16/28 | 1,815,000 | 2,164,669 | |
Freddie Mac: | |||
0.375% 4/20/23 | 885,000 | 889,111 | |
0.375% 5/5/23 | 3,065,000 | 3,072,611 | |
6.25% 7/15/32 | 40,000 | 62,520 | |
6.75% 9/15/29 | 255,000 | 383,034 | |
Tennessee Valley Authority: | |||
0.75% 5/15/25 | 845,000 | 857,967 | |
2.875% 2/1/27 | 1,320,000 | 1,487,098 | |
5.25% 9/15/39 | 150,000 | 226,985 | |
7.125% 5/1/30 | 460,000 | 712,425 | |
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 24,318,252 | ||
U.S. Treasury Obligations - 4.1% | |||
U.S. Treasury Bonds: | |||
1.25% 5/15/50 | 291,815,000 | 275,218,022 | |
1.375% 8/15/50 | 21,000,000 | 20,448,750 | |
2% 2/15/50 | 130,101,000 | 146,424,610 | |
3% 2/15/47 | 3,900,000 | 5,238,645 | |
3.125% 2/15/43 | 32,085,000 | 43,196,938 | |
3.625% 8/15/43 | 43,790,000 | 63,439,052 | |
3.75% 11/15/43 | 4,225,000 | 6,233,525 | |
6.25% 8/15/23 | 11,080,000 | 13,076,564 | |
stripped coupon: | |||
0% 2/15/29 | 2,800,000 | 2,630,614 | |
0% 11/15/36 | 1,975,000 | 1,607,530 | |
0% 5/15/39 | 5,425,000 | 4,197,529 | |
0% 8/15/39 | 8,745,000 | 6,736,925 | |
0% 2/15/41 | 590,000 | 440,300 | |
0% 11/15/41 | 850,000 | 623,410 | |
0% 5/15/42 | 2,635,000 | 1,906,230 | |
0% 8/15/42 | 490,000 | 354,675 | |
0% 11/15/42 | 1,280,000 | 915,172 | |
U.S. Treasury Notes: | |||
0.125% 6/30/22 | 309,500,000 | 309,403,281 | |
0.125% 8/15/23 | 13,575,000 | 13,564,395 | |
0.25% 8/31/25 | 11,850,000 | 11,837,965 | |
0.375% 4/30/25 | 2,570,000 | 2,584,155 | |
0.5% 3/15/23 | 36,595,000 | 36,928,072 | |
0.5% 8/31/27 | 5,720,000 | 5,722,681 | |
0.625% 8/15/30 | 78,102,000 | 77,455,218 | |
1.125% 2/28/22 | 133,945,000 | 135,896,620 | |
1.375% 5/31/21 | 11,033,000 | 11,133,848 | |
1.375% 2/15/23 | 7,940,000 | 8,180,371 | |
1.5% 1/31/22 | 1,450,000 | 1,477,527 | |
1.625% 11/15/22 | 65,350,000 | 67,484,086 | |
1.625% 4/30/23 | 21,075,000 | 21,904,005 | |
1.75% 9/30/22 | 16,995,000 | 17,566,590 | |
1.875% 4/30/22 | 38,045,000 | 39,137,308 | |
1.875% 9/30/22 | 1,213,000 | 1,256,924 | |
2% 10/31/22 | 32,840,000 | 34,160,014 | |
2% 2/15/25 | 10,415,000 | 11,225,010 | |
2% 8/15/25 | 8,280,000 | 8,981,536 | |
2.125% 9/30/21 | 53,070,000 | 54,193,592 | |
2.125% 6/30/22 | 20,330,000 | 21,063,786 | |
2.125% 7/31/24 | 41,955,000 | 45,095,070 | |
2.125% 5/15/25 | 41,210,000 | 44,794,948 | |
2.25% 11/15/27 | 1,220,000 | 1,370,689 | |
2.875% 11/15/21 | 17,335,000 | 17,903,805 | |
2.875% 5/15/28 | 64,280,000 | 75,554,109 | |
3.125% 11/15/28 | 3,500,000 | 4,210,664 | |
TOTAL U.S. TREASURY OBLIGATIONS | 1,672,774,760 | ||
Other Government Related - 0.0% | |||
Private Export Funding Corp. Secured 3.55% 1/15/24 | 755,000 | 820,379 | |
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | |||
(Cost $1,672,129,319) | 1,697,913,391 | ||
U.S. Government Agency - Mortgage Securities - 7.4% | |||
Fannie Mae - 2.5% | |||
12 month U.S. LIBOR + 1.550% 2.553% 6/1/36 (a)(e) | 4,086 | 4,280 | |
12 month U.S. LIBOR + 1.820% 3.825% 2/1/35 (a)(e) | 79,741 | 84,078 | |
12 month U.S. LIBOR + 1.950% 2.805% 7/1/37 (a)(e) | 8,560 | 9,041 | |
2% 8/1/31 | 1,168,175 | 1,220,710 | |
2.5% 6/1/28 to 10/1/46 | 49,727,875 | 52,542,591 | |
3% 2/1/27 to 9/1/50 (f)(g)(h) | 339,058,258 | 360,962,197 | |
3.5% 9/1/26 to 5/1/50 (f)(g)(i) | 265,235,412 | 284,773,519 | |
4% 5/1/29 to 11/1/49 | 167,239,574 | 182,342,668 | |
4.5% 6/1/24 to 9/1/49 | 68,149,262 | 75,371,503 | |
5% 10/1/21 to 2/1/49 | 43,324,744 | 49,241,640 | |
5.249% 8/1/41 (a) | 352,259 | 397,464 | |
5.5% 11/1/36 to 1/1/40 | 2,254,572 | 2,645,247 | |
6% to 6% 3/1/22 to 1/1/42 (f) | 14,010,181 | 16,658,094 | |
6.5% 2/1/36 | 1,387 | 1,645 | |
6.567% 2/1/39 (a) | 290,550 | 320,082 | |
TOTAL FANNIE MAE | 1,026,574,759 | ||
Freddie Mac - 1.6% | |||
6 month U.S. LIBOR + 2.680% 4.001% 10/1/35 (a)(e) | 4,263 | 4,454 | |
2% 1/1/32 | 1,906,380 | 1,992,510 | |
2.5% 3/1/28 to 7/1/50 | 29,251,377 | 30,990,796 | |
3% 10/1/28 to 6/1/50 (h) | 113,525,494 | 120,867,785 | |
3.5% 8/1/26 to 4/1/50 | 279,619,728 | 300,770,441 | |
3.5% 8/1/47 | 10,191,244 | 10,957,509 | |
4% 6/1/33 to 6/1/48 | 109,927,360 | 119,859,104 | |
4.5% 7/1/25 to 12/1/48 | 39,456,967 | 43,427,971 | |
5% 10/1/33 to 12/1/47 | 6,715,385 | 7,679,741 | |
6% 7/1/37 to 9/1/38 | 169,283 | 203,172 | |
6.5% 9/1/39 | 494,059 | 591,495 | |
TOTAL FREDDIE MAC | 637,344,978 | ||
Ginnie Mae - 1.4% | |||
3.5% 9/20/40 to 12/20/49 | 111,534,214 | 120,862,722 | |
4.5% 5/15/39 to 3/20/49 | 63,283,310 | 69,675,519 | |
5.5% 6/15/36 to 3/20/41 | 210,778 | 245,805 | |
2.5% 12/20/46 | 926,137 | 984,332 | |
2.5% 9/1/50 (c) | 3,500,000 | 3,688,514 | |
2.5% 9/1/50 (c) | 5,000,000 | 5,269,306 | |
2.5% 9/1/50 (c) | 17,900,000 | 18,864,114 | |
2.5% 9/1/50 (c) | 15,300,000 | 16,124,075 | |
2.5% 9/1/50 (c) | 1,850,000 | 1,949,643 | |
2.5% 9/1/50 (c) | 1,950,000 | 2,055,029 | |
2.5% 9/1/50 (c) | 1,550,000 | 1,633,485 | |
2.5% 9/1/50 (c) | 1,650,000 | 1,738,871 | |
3% 8/20/42 to 8/20/50 | 45,712,882 | 48,644,983 | |
3% 9/1/50 (c) | 3,500,000 | 3,686,244 | |
3% 9/1/50 (c) | 3,550,000 | 3,738,904 | |
3% 9/1/50 (c) | 9,300,000 | 9,794,876 | |
3% 9/1/50 (c) | 7,400,000 | 7,793,773 | |
3% 9/1/50 (c) | 22,300,000 | 23,486,639 | |
4% 5/20/40 to 5/20/49 | 202,764,685 | 219,916,569 | |
5% 6/20/34 to 6/20/48 | 26,015,688 | 28,881,678 | |
TOTAL GINNIE MAE | 589,035,081 | ||
Uniform Mortgage Backed Securities - 1.9% | |||
2% 9/1/35 (c) | 5,650,000 | 5,879,665 | |
2% 9/1/35 (c) | 5,650,000 | 5,879,665 | |
2% 9/1/35 (c) | 7,200,000 | 7,492,670 | |
2% 9/1/35 (c) | 7,200,000 | 7,492,670 | |
2% 9/1/35 (c) | 9,100,000 | 9,469,902 | |
2% 9/1/50 (c) | 7,500,000 | 7,732,480 | |
2% 9/1/50 (c) | 4,900,000 | 5,051,887 | |
2% 9/1/50 (c) | 4,900,000 | 5,051,887 | |
2% 9/1/50 (c) | 2,500,000 | 2,577,493 | |
2% 9/1/50 (c) | 2,500,000 | 2,577,493 | |
2% 9/1/50 (c) | 2,000,000 | 2,061,995 | |
2% 9/1/50 (c) | 3,500,000 | 3,608,491 | |
2% 9/1/50 (c) | 3,500,000 | 3,608,491 | |
2% 9/1/50 (c) | 2,000,000 | 2,061,995 | |
2% 9/1/50 (c) | 17,000,000 | 17,526,954 | |
2% 9/1/50 (c) | 10,600,000 | 10,928,571 | |
2% 9/1/50 (c) | 10,000,000 | 10,309,973 | |
2% 9/1/50 (c) | 1,500,000 | 1,546,496 | |
2% 9/1/50 (c) | 4,000,000 | 4,123,989 | |
2% 9/1/50 (c) | 10,500,000 | 10,825,472 | |
2% 9/1/50 (c) | 27,400,000 | 28,249,326 | |
2% 9/1/50 (c) | 11,300,000 | 11,650,269 | |
2% 9/1/50 (c) | 4,400,000 | 4,536,388 | |
2% 10/1/50 (c) | 8,500,000 | 8,743,555 | |
2% 10/1/50 (c) | 1,500,000 | 1,542,980 | |
2% 10/1/50 (c) | 6,000,000 | 6,171,921 | |
2.5% 9/1/50 (c) | 5,650,000 | 5,947,286 | |
2.5% 9/1/50 (c) | 5,650,000 | 5,947,286 | |
2.5% 9/1/50 (c) | 5,800,000 | 6,105,179 | |
2.5% 9/1/50 (c) | 5,800,000 | 6,105,179 | |
2.5% 9/1/50 (c) | 17,000,000 | 17,894,489 | |
2.5% 9/1/50 (c) | 2,500,000 | 2,631,543 | |
2.5% 9/1/50 (c) | 30,000,000 | 31,578,510 | |
2.5% 9/1/50 (c) | 17,600,000 | 18,526,059 | |
2.5% 9/1/50 (c) | 11,600,000 | 12,210,357 | |
2.5% 9/1/50 (c) | 14,900,000 | 15,683,993 | |
3% 9/1/50 (c) | 3,500,000 | 3,691,267 | |
3% 9/1/50 (c) | 28,600,000 | 30,162,921 | |
3% 9/1/50 (c) | 14,100,000 | 14,870,531 | |
3% 9/1/50 (c) | 3,500,000 | 3,691,267 | |
3% 9/1/50 (c) | 12,100,000 | 12,761,236 | |
3% 9/1/50 (c) | 7,700,000 | 8,120,787 | |
3% 9/1/50 (c) | 4,450,000 | 4,693,182 | |
3% 9/1/50 (c) | 1,250,000 | 1,318,310 | |
3% 9/1/50 (c) | 1,150,000 | 1,212,845 | |
3% 9/1/50 (c) | 2,050,000 | 2,162,028 | |
3% 9/1/50 (c) | 17,250,000 | 18,192,671 | |
3% 9/1/50 (c) | 16,400,000 | 17,296,221 | |
3% 9/1/50 (c) | 1,500,000 | 1,581,971 | |
3% 9/1/50 (c) | 8,900,000 | 9,386,364 | |
3% 9/1/50 (c) | 2,000,000 | 2,109,295 | |
3% 9/1/50 (c) | 8,650,000 | 9,122,702 | |
3% 9/1/50 (c) | 8,450,000 | 8,911,772 | |
3% 9/1/50 (c) | 8,250,000 | 8,700,843 | |
3% 9/1/50 (c) | 8,050,000 | 8,489,913 | |
3% 9/1/50 (c) | 21,700,000 | 22,885,853 | |
3% 9/1/50 (c) | 17,550,000 | 18,509,065 | |
3% 9/1/50 (c) | 8,850,000 | 9,333,631 | |
3% 9/1/50 (c) | 18,100,000 | 19,089,122 | |
3% 9/1/50 (c) | 9,300,000 | 9,808,223 | |
3% 9/1/50 (c) | 9,300,000 | 9,808,223 | |
3% 10/1/50 (c) | 1,450,000 | 1,526,845 | |
3% 10/1/50 (c) | 1,450,000 | 1,526,845 | |
3% 10/1/50 (c) | 2,450,000 | 2,579,841 | |
3% 10/1/50 (c) | 2,450,000 | 2,579,841 | |
3% 10/1/50 (c) | 43,000,000 | 45,278,850 | |
3% 10/1/50 (c) | 33,300,000 | 35,064,783 | |
3% 10/1/50 (c) | 1,900,000 | 2,000,693 | |
3% 10/1/50 (c) | 3,600,000 | 3,790,787 | |
3% 10/1/50 (c) | 2,050,000 | 2,158,643 | |
3% 10/1/50 (c) | 1,150,000 | 1,210,946 | |
3.5% 9/1/50 (c) | 7,400,000 | 7,804,980 | |
3.5% 9/1/50 (c) | 7,000,000 | 7,383,089 | |
3.5% 9/1/50 (c) | 33,400,000 | 35,227,882 | |
3.5% 9/1/50 (c) | 23,000,000 | 24,258,721 | |
3.5% 9/1/50 (c) | 8,000,000 | 8,437,816 | |
3.5% 9/1/50 (c) | 2,500,000 | 2,636,818 | |
3.5% 9/1/50 (c) | 2,600,000 | 2,742,290 | |
3.5% 9/1/50 (c) | 1,400,000 | 1,476,618 | |
3.5% 10/1/50 (c) | 4,500,000 | 4,749,787 | |
3.5% 10/1/50 (c) | 8,000,000 | 8,444,066 | |
3.5% 10/1/50 (c) | 15,300,000 | 16,149,275 | |
3.5% 10/1/50 (c) | 9,600,000 | 10,132,879 | |
TOTAL UNIFORM MORTGAGE BACKED SECURITIES | 792,405,097 | ||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES | |||
(Cost $2,965,772,940) | 3,045,359,915 | ||
Asset-Backed Securities - 1.2% | |||
AASET Trust: | |||
Series 2018-1A Class A, 3.844% 1/16/38 (b) | $3,062,458 | $2,781,229 | |
Series 2019-1 Class A, 3.844% 5/15/39 (b) | 5,147,978 | 4,679,267 | |
Series 2019-2: | |||
Class A, 3.376% 10/16/39 (b) | 8,036,113 | 7,263,010 | |
Class B, 4.458% 10/16/39 (b) | 1,459,063 | 1,010,883 | |
Aimco Series 2019-10A Class A, 3 month U.S. LIBOR + 1.320% 1.5778% 7/22/32 (a)(b)(e) | 10,856,000 | 10,760,044 | |
Allegany Park CLO, Ltd. / Allegany Series 2020-1A Class A, 3 month U.S. LIBOR + 1.330% 1.6018% 1/20/33 (a)(b)(e) | 3,880,000 | 3,875,134 | |
Apollo Aviation Securitization Equity Trust Series 2020-1A: | |||
Class A, 3.351% 1/16/40 (b) | 3,788,648 | 3,389,311 | |
Class B, 4.335% 1/16/40 (b) | 609,253 | 421,294 | |
Ares CLO Series 2019-54A Class A, 3 month U.S. LIBOR + 1.320% 1.595% 10/15/32 (a)(b)(e) | 7,102,000 | 7,081,880 | |
Ares LV CLO Ltd. Series 2020-55A Class A1, 3 month U.S. LIBOR + 1.700% 2.0741% 4/15/31 (a)(b)(e) | 6,330,000 | 6,335,767 | |
Ares XLI CLO Ltd. / Ares XLI CLO LLC Series 2016-41A Class AR, 3 month U.S. LIBOR + 1.200% 1.475% 1/15/29 (a)(b)(e) | 9,133,000 | 9,073,590 | |
Ares XXXIV CLO Ltd. Series 2020-2A Class AR2, 3 month U.S. LIBOR + 1.250% 1.5229% 4/17/33 (a)(b)(e) | 15,169,000 | 14,976,642 | |
Argent Securities, Inc. pass-thru certificates Series 2005-W2 Class A2C, 1 month U.S. LIBOR + 0.360% 0.5351% 10/25/35 (a)(e) | 1,045,224 | 1,016,303 | |
Beechwood Park CLO Ltd. Series 2019-1A Class A1, 3 month U.S. LIBOR + 1.330% 1.6029% 1/17/33 (a)(b)(e) | 3,340,000 | 3,337,194 | |
Blackbird Capital Aircraft Series 2016-1A: | |||
Class A, 4.213% 12/16/41 (b) | 8,503,864 | 7,200,428 | |
Class AA, 2.487% 12/16/41 (a)(b) | 1,525,406 | 1,426,292 | |
Bristol Park CLO, Ltd. Series 2020-1A Class AR, 3 month U.S. LIBOR + 0.990% 1.265% 4/15/29 (a)(b)(e) | 8,338,000 | 8,248,833 | |
Carvana Auto Receivables Trust Series 2019-4A: | |||
Class A2, 2.2% 7/15/22 (b) | 1,048,639 | 1,053,856 | |
Class A3, 2.3% 9/15/23 (b) | 2,936,000 | 2,972,468 | |
Cascade Funding Mortgage Trust: | |||
Series 2020-HB2 Class A, 3.4047% 4/25/30 (b) | 6,739,316 | 6,810,665 | |
Series 2020-HB3 Class A, 2.8115% 5/25/30 (a)(b) | 479,724 | 482,865 | |
Castlelake Aircraft Securitization Trust Series 2019-1A: | |||
Class A, 3.967% 4/15/39 (b) | 7,709,316 | 6,988,985 | |
Class B, 5.095% 4/15/39 (b) | 3,409,346 | 2,423,928 | |
Castlelake Aircraft Structured Trust Series 2018-1 Class A, 4.125% 6/15/43 (b) | 7,335,809 | 6,835,905 | |
Cedar Funding Ltd.: | |||
Series 2019-10A Class A, 3 month U.S. LIBOR + 1.340% 1.6118% 10/20/32 (a)(b)(e) | 5,957,000 | 5,915,087 | |
Series 2019-11A Class A1A, 3 month U.S. LIBOR + 1.350% 1.596% 5/29/32 (a)(b)(e) | 4,370,000 | 4,362,899 | |
CEDF Series 2018-6A Class AR, 3 month U.S. LIBOR + 1.090% 1.3618% 10/20/28 (a)(b)(e) | 1,430,000 | 1,423,504 | |
Cent CLO Ltd. / Cent CLO Series 2020-29A Class A1N, 3 month U.S. LIBOR + 1.700% 1.9194% 7/20/31 (a)(b)(e) | 6,998,000 | 6,998,000 | |
Chase Issuance Trust Series 2012-A7 Class A7, 2.16% 9/15/24 | 800,000 | 830,126 | |
Citi Mortgage Loan Trust Series 2007-1 Class 1A, 1 month U.S. LIBOR + 1.350% 1.5251% 10/25/37 (a)(b)(e) | 2,325,643 | 2,328,109 | |
Citibank Credit Card Issuance Trust: | |||
Series 2018-A3 Class A3, 3.29% 5/23/25 | 700,000 | 755,116 | |
Series 2018-A6 Class A6, 3.21% 12/7/24 | 2,400,000 | 2,553,605 | |
Series 2018-A7 Class A7, 3.96% 10/13/30 | 2,100,000 | 2,562,314 | |
CNH Equipment Trust Series 2019-C Class A2, 1.99% 3/15/23 | 3,271,777 | 3,295,782 | |
Consumer Lending Receivables Trust Series 2019-A Class A, 3.52% 4/15/26 (b) | 890,580 | 891,986 | |
Consumer Loan Underlying Bond Credit Trust: | |||
Series 2018-P3 Class A, 3.82% 1/15/26 (b) | 3,142,287 | 3,166,167 | |
Series 2019-HP1 Class A, 2.59% 12/15/26 (b) | 6,471,665 | 6,527,236 | |
Series 2019-P1 Class A, 2.94% 7/15/26 (b) | 1,873,361 | 1,885,200 | |
CPS Auto Receivables Trust Series 2019-D Class A, 2.17% 12/15/22 (b) | 864,746 | 869,388 | |
DB Master Finance LLC Series 2017-1A: | |||
Class A2I, 3.629% 11/20/47 (b) | 4,217,850 | 4,338,987 | |
Class A2II, 4.03% 11/20/47 (b) | 7,129,200 | 7,565,792 | |
Dell Equipment Finance Trust Series 2019-2 Class A3, 1.91% 10/22/24 (b) | 6,242,000 | 6,327,867 | |
DLL Securitization Trust Series 2019-MT3 Class A3, 2.08% 2/21/23 (b) | 2,600,000 | 2,650,489 | |
Dryden 68 CLO Ltd. 3 month U.S. LIBOR + 1.310% 1.585% 7/15/32 (a)(b)(e) | 5,220,000 | 5,208,198 | |
Dryden CLO, Ltd.: | |||
Series 2019-75A Class AR, 3 month U.S. LIBOR + 1.200% 1.475% 7/15/30 (a)(b)(e) | 3,230,000 | 3,205,252 | |
Series 2019-76A Class A1, 3 month U.S. LIBOR + 1.330% 1.6018% 10/20/32 (a)(b)(e) | 7,395,000 | 7,389,084 | |
Dryden Senior Loan Fund: | |||
Series 2014-36A Class AR2, 3 month U.S. LIBOR + 1.280% 1.555% 4/15/29 (a)(b)(e) | 10,300,000 | 10,270,573 | |
Series 2019-72A Class A, 3 month U.S. LIBOR + 1.330% 1.6101% 5/15/32 (a)(b)(e) | 7,149,000 | 7,133,108 | |
Series 2020-78A Class A, 3 month U.S. LIBOR + 1.180% 2.447% 4/17/33 (a)(b)(e) | 5,400,000 | 5,347,031 | |
Enterprise Fleet Financing LLC Series 2019-3 Class A2, 2.06% 5/20/25 (b) | 9,179,565 | 9,308,626 | |
Exeter Automobile Receivables Trust Series 2019-4A Class A, 2.18% 1/17/23 (b) | 2,111,111 | 2,121,253 | |
Flagship Credit Auto Trust Series 2019-4 Class A, 2.17% 6/17/24 (b) | 1,683,220 | 1,710,026 | |
Flatiron CLO Ltd. Series 2019-1A Class A, 3 month U.S. LIBOR + 1.320% 1.6001% 11/16/32 (a)(b)(e) | 7,901,000 | 7,878,490 | |
Ford Credit Floorplan Master Owner Trust Series 2018-4 Class A, 4.06% 11/15/30 | 5,435,000 | 6,128,532 | |
Hertz Fleet Lease Funding LP Series 2017-1 Class A1, 1 month U.S. LIBOR + 0.650% 0.8054% 4/10/31 (a)(b)(e) | 545,493 | 545,323 | |
Horizon Aircraft Finance I Ltd. Series 2018-1 Class A, 4.458% 12/15/38 (b) | 3,625,986 | 3,419,358 | |
Horizon Aircraft Finance Ltd. Series 2019-1 Class A, 3.721% 7/15/39 (b) | 4,418,295 | 4,088,033 | |
JPMorgan Mtg Acquisition Corp. Series 2005-FRE1 Class A2V3, 1 month U.S. LIBOR + 0.330% 0.5051% 10/25/35 (a)(e) | 422,127 | 421,255 | |
Lanark Master Issuer PLC Series 2020-1A Class 1A, 2.277% 12/22/69 (a)(b) | 6,383,000 | 6,467,589 | |
Madison Park Funding Ltd.: | |||
Series 2012-10A Class AR2, 3 month U.S. LIBOR + 1.220% 1.4918% 1/20/29 (a)(b)(e) | 3,469,000 | 3,456,682 | |
Series 2019-37A Class A1, 3 month U.S. LIBOR + 1.300% 1.575% 7/15/32 (a)(b)(e) | 8,529,000 | 8,497,067 | |
Madison Park Funding XLV Ltd./Madison Park Funding XLV LLC Series 2020-45A Class A, 3 month U.S. LIBOR + 1.650% 1.9184% 7/15/31 (a)(b)(e) | 7,030,000 | 7,043,245 | |
Madison Park Funding XXXIII Ltd. Series 2019-33A Class A, 3 month U.S. LIBOR + 1.330% 1.605% 10/15/32 (a)(b)(e) | 3,846,000 | 3,837,127 | |
Magnetite CLO Ltd.: | |||
Series 2019-21A Class A, 3 month U.S. LIBOR + 1.280% 1.5518% 4/20/30 (a)(b)(e) | 7,784,000 | 7,756,608 | |
Series 2019-24A Class A, 3 month U.S. LIBOR + 1.330% 1.605% 1/15/33 (a)(b)(e) | 17,576,000 | 17,553,960 | |
Marlette Funding Trust: | |||
Series 2019-4A Class A, 2.39% 12/17/29 (b) | 2,912,828 | 2,936,384 | |
Series 2020-1A Class A, 2.24% 3/15/30 (b) | 1,888,951 | 1,903,419 | |
Metlife Securitization Trust Series 2019-1A Class A1A, 3.75% 4/25/58 (b) | 3,262,769 | 3,486,731 | |
Milos CLO, Ltd. Series 2020-1A Class AR, 3 month U.S. LIBOR + 1.070% 1.3418% 10/20/30 (a)(b)(e) | 8,353,000 | 8,243,509 | |
Mortgage Repurchase Agreement Financing Trust Series 2020-2 Class A1, 1 month U.S. LIBOR + 1.750% 1.9054% 5/29/22 (a)(b)(e) | 15,800,000 | 15,800,641 | |
Nationstar HECM Loan Trust: | |||
Series 2018-2A Class A, 3.1877% 7/25/28 (b) | 398,797 | 399,039 | |
Series 2018-3A Class A 3.5545% 11/25/28 (b) | 2,125,697 | 2,126,891 | |
Series 2019-1A Class A, 2.6513% 6/25/29 (b) | 2,014,798 | 2,021,103 | |
New Century Home Equity Loan Trust Series 2005-4 Class M2, 1 month U.S. LIBOR + 0.510% 0.6851% 9/25/35 (a)(e) | 45,291 | 45,093 | |
Niagara Park CLO, Ltd. Series 2019-1A Class A, 3 month U.S. LIBOR + 1.300% 1.5729% 7/17/32 (a)(b)(e) | 8,530,000 | 8,506,594 | |
Planet Fitness Master Issuer LLC Series 2019-1A Class A2, 3.858% 12/5/49 (b) | 6,123,230 | 5,748,060 | |
Prosper Marketplace Issuance Trust: | |||
Series 2019-3A Class A, 3.19% 7/15/25 (b) | 2,520,860 | 2,533,263 | |
Series 2019-4A Class A, 2.48% 2/17/26 (b) | 1,531,812 | 1,538,170 | |
RMF Buyout Issuance Trust Series 2020-1 Class A, 2.1582% 2/25/30 (b) | 218,634 | 219,300 | |
Sapphire Aviation Finance Series 2020-1A: | |||
Class A, 3.228% 3/15/40 (b) | 7,182,601 | 6,390,132 | |
Class B, 4.335% 3/15/40 (b) | 665,815 | 444,637 | |
SBA Tower Trust: | |||
Series 2019, 2.836% 1/15/50 (b) | 8,004,000 | 8,364,171 | |
1.884% 7/15/50 (b) | 2,753,000 | 2,799,270 | |
2.328% 7/15/52 (b) | 2,105,000 | 2,137,978 | |
SoFi Consumer Loan Program Trust Series 2019-4 Class A, 2.45% 8/25/28 (b) | 5,507,295 | 5,569,431 | |
Stratus CLO Ltd. Series 2020-1A Class A, 3 month U.S. LIBOR + 1.980% 3.286% 5/1/28 (a)(b)(e) | 11,226,000 | 11,282,130 | |
Taconic Park CLO, Ltd. Series 2020-1A Class A1R, 3 month U.S. LIBOR + 1.000% 1.2718% 1/20/29 (a)(b)(e) | 5,538,000 | 5,484,719 | |
Terwin Mortgage Trust Series 2003-4HE Class A1, 1 month U.S. LIBOR + 0.860% 1.0351% 9/25/34 (a)(e) | 3,983 | 3,669 | |
Thunderbolt Aircraft Lease Ltd. Series 2018-A Class A, 4.147% 9/15/38 (a)(b) | 9,813,778 | 9,032,911 | |
Thunderbolt III Aircraft Lease Ltd. Series 2019-1 Class A, 3.671% 11/15/39 (b) | 10,023,198 | 9,274,094 | |
Towd Point Mortgage Trust: | |||
Series 2018-3 Class A1, 3.75% 5/25/58 (b) | 6,011,336 | 6,464,389 | |
Series 2018-6 Class A1A, 3.75% 3/25/58 (b) | 5,023,594 | 5,293,184 | |
Series 2019-1 Class A1, 3.75% 3/25/58 (b) | 2,474,048 | 2,678,045 | |
Series 2019-MH1 Class A1, 3% 11/25/58 (b) | 1,806,406 | 1,842,933 | |
Upgrade Receivables Trust Series 2019-2A Class A, 2.77% 10/15/25 (b) | 2,206,523 | 2,213,331 | |
Verde CLO Ltd. Series 2019-1A Class A, 3 month U.S. LIBOR + 1.350% 1.625% 4/15/32 (a)(b)(e) | 8,662,000 | 8,630,375 | |
Voya Series 2020-1A Class A, 3 month U.S. LIBOR + 1.700% 2.0027% 7/16/31 (a)(b)(e) | 8,112,000 | 8,142,444 | |
Voya CLO Ltd.: | |||
Series 2017-1A Class A1, 3 month U.S. LIBOR + 1.250% 1.5229% 4/17/30 (a)(b)(e) | 2,826,000 | 2,815,275 | |
Series 2019-2A Class A, 3 month U.S. LIBOR + 1.270% 1.5418% 7/20/32 (a)(b)(e) | 8,868,000 | 8,856,880 | |
Voya CLO Ltd./Voya CLO LLC Series 2020-2A Class A1, 3 month U.S. LIBOR + 1.600% 1.6% 7/19/31 (a)(b)(e) | 6,400,000 | 6,402,816 | |
World Omni Automobile Lease Securitization Trust Series 2020-A Class A2, 1.71% 11/15/22 | 1,355,000 | 1,368,254 | |
TOTAL ASSET-BACKED SECURITIES | |||
(Cost $490,826,055) | 485,479,112 | ||
Collateralized Mortgage Obligations - 0.4% | |||
Private Sponsor - 0.2% | |||
Banc of America Funding Corp. Series 2015-R3 Class 10A1, 1 month U.S. LIBOR + 0.140% 0.3116% 6/27/36 (a)(b)(e) | 289,912 | 288,284 | |
BCAP LLC Trust sequential payer: | |||
Series 2010-RR2 Class 5A2, 5% 12/26/36 (b) | 334,127 | 328,734 | |
Series 2012-RR5 Class 8A5, 0.5868% 7/26/36 (a)(b) | 64,784 | 63,631 | |
Citigroup Mortgage Loan Trust sequential payer Series 2009-5 Class 5A1, 3.7542% 1/25/37 (a)(b) | 29,593 | 29,446 | |
CSMC floater Series 2015-1R Class 6A1, 1 month U.S. LIBOR + 0.280% 0.4828% 5/27/37 (a)(b)(e) | 522,149 | 492,235 | |
FirstKey Mortgage Trust sequential payer Series 2015-1 Class A9, 3% 3/25/45 (a)(b) | 114,697 | 114,596 | |
Gosforth Funding PLC floater Series 2018-1A Class A1, 3 month U.S. LIBOR + 0.450% 0.7% 8/25/60 (a)(b)(e) | 3,951,895 | 3,945,454 | |
Holmes Master Issuer PLC floater Series 2018-2A Class A2, 3 month U.S. LIBOR + 0.420% 0.695% 10/15/54 (a)(b)(e) | 3,979,514 | 3,981,378 | |
Lanark Master Issuer PLC: | |||
floater Series 2019-1A Class 1A1, 3 month U.S. LIBOR + 0.770% 1.128% 12/22/69 (a)(b)(e) | 3,562,300 | 3,571,194 | |
Series 2019-2A Class 1A, 2.71% 12/22/69 (b) | 5,800,000 | 5,880,361 | |
Mortgage Repurchase Agreement Financing Trust: | |||
floater Series 2020-3 Class A1, 1 month U.S. LIBOR + 1.250% 1.4054% 1/23/23 (a)(b)(e) | 3,508,000 | 3,506,821 | |
Series 2020-4 Class A1, 1 month U.S. LIBOR + 1.350% 1.5258% 4/23/23 (a)(b)(e) | 16,662,000 | 16,662,766 | |
Nationstar HECM Loan Trust sequential payer Series 2019-2A Class A, 2.2722% 11/25/29 (b) | 2,751,405 | 2,746,573 | |
New Residential Mortgage Loan Trust Series 2019-5A Class A1B, 3.5% 8/25/59 (b) | 2,302,941 | 2,386,052 | |
New Residential Mtg Ln Trust 2020 3.5% 10/25/59 (b) | 3,747,755 | 3,937,701 | |
Permanent Master Issuer PLC floater: | |||
Series 2018-1A Class 1A1, 3 month U.S. LIBOR + 0.380% 0.655% 7/15/58 (a)(b)(e) | 3,829,000 | 3,828,634 | |
Series-1A Class 1A1, 3 month U.S. LIBOR + 0.550% 0.825% 7/15/58 (a)(b)(e) | 5,256,000 | 5,251,454 | |
Provident Funding Mortgage Trust sequential payer Series 2019-1 Class A3, 3% 12/25/49 (b) | 2,565,427 | 2,605,782 | |
RMF Buyout Issuance Trust sequential payer Series 2020-2 Class A, 1.7063% 6/25/30 (b) | 11,015,077 | 11,024,792 | |
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 6 month U.S. LIBOR + 0.880% 1.3048% 7/20/34 (a)(e) | 1,424 | 1,354 | |
Silverstone Master Issuer PLC floater Series 2019-1A Class 1A, 3 month U.S. LIBOR + 0.570% 0.8414% 1/21/70 (a)(b)(e) | 3,484,080 | 3,484,270 | |
Thornburg Mortgage Securities Trust floater Series 2003-4 Class A1, 1 month U.S. LIBOR + 0.640% 0.8151% 9/25/43 (a)(e) | 2,157,814 | 2,051,823 | |
TOTAL PRIVATE SPONSOR | 76,183,335 | ||
U.S. Government Agency - 0.2% | |||
Fannie Mae: | |||
planned amortization class Series 2012-149: | |||
Class DA, 1.75% 1/25/43 | 1,103,126 | 1,137,691 | |
Class GA, 1.75% 6/25/42 | 1,182,249 | 1,217,203 | |
Series 2005-79 Class ZC, 5.9% 9/25/35 | 277,638 | 317,536 | |
Series 2007-75 Class JI, 6.540% - 1 month U.S. LIBOR 6.3699% 8/25/37 (a)(j)(k) | 1,001,587 | 233,440 | |
Series 2010-135 Class ZA, 4.5% 12/25/40 | 918,091 | 1,004,351 | |
Series 2010-150 Class ZC, 4.75% 1/25/41 | 924,175 | 1,033,830 | |
Series 2010-95 Class ZC, 5% 9/25/40 | 2,000,779 | 2,264,234 | |
Series 2011-4 Class PZ, 5% 2/25/41 | 414,496 | 471,426 | |
Series 2012-100 Class WI, 3% 9/25/27 (j) | 572,391 | 35,698 | |
Series 2012-14 Class JS, 6.650% - 1 month U.S. LIBOR 6.4749% 12/25/30 (a)(j)(k) | 187,319 | 12,642 | |
Series 2012-9 Class SH, 6.550% - 1 month U.S. LIBOR 6.3749% 6/25/41 (a)(j)(k) | 233,866 | 19,458 | |
Series 2013-133 Class IB, 3% 4/25/32 (j) | 391,664 | 12,841 | |
Series 2013-134 Class SA, 6.050% - 1 month U.S. LIBOR 5.8749% 1/25/44 (a)(j)(k) | 220,387 | 34,861 | |
Series 2013-44 Class DJ, 1.85% 5/25/33 | 11,581,809 | 11,834,474 | |
Series 2013-51 Class GI, 3% 10/25/32 (j) | 767,623 | 55,222 | |
Series 2015-42 Class IL, 6% 6/25/45 (j) | 1,009,004 | 205,997 | |
Series 2015-70 Class JC, 3% 10/25/45 | 820,440 | 874,798 | |
Series 2017-30 Class AI, 5.5% 5/25/47 (j) | 557,040 | 108,555 | |
Freddie Mac: | |||
planned amortization class Series 4135 Class AB, 1.75% 6/15/42 | 889,655 | 915,743 | |
sequential payer Series 3871 Class KB, 5.5% 6/15/41 | 687,496 | 822,470 | |
Series 2017-4683 Class LM, 3% 5/15/47 | 1,149,179 | 1,218,077 | |
Series 2933 Class ZM, 5.75% 2/15/35 | 539,172 | 640,788 | |
Series 2996 Class ZD, 5.5% 6/15/35 | 377,705 | 449,087 | |
Series 3237 Class C, 5.5% 11/15/36 | 523,816 | 609,578 | |
Series 3955 Class YI, 3% 11/15/21 (j) | 39,569 | 502 | |
Series 3980 Class EP, 5% 1/15/42 | 3,098,694 | 3,567,549 | |
Series 4055 Class BI, 3.5% 5/15/31 (j) | 348,436 | 12,904 | |
Series 4149 Class IO, 3% 1/15/33 (j) | 380,486 | 37,012 | |
Series 4314 Class AI, 5% 3/15/34 (j) | 114,273 | 8,114 | |
Series 4427 Class LI, 3.5% 2/15/34 (j) | 677,279 | 36,404 | |
Series 4471 Class PA 4% 12/15/40 | 543,111 | 581,963 | |
Freddie Mac Multi-family Structured pass-thru certificates Series 4386 Class AZ, 4.5% 11/15/40 | 872,911 | 965,210 | |
Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-3 Class M55D, 4% 8/25/57 | 2,899,012 | 3,169,824 | |
Ginnie Mae guaranteed REMIC pass-thru certificates: | |||
floater: | |||
Series 2010-H27 Series FA, 1 month U.S. LIBOR + 0.380% 0.5438% 12/20/60 (a)(e)(l) | 1,010,388 | 1,007,965 | |
Series 2011-H20 Class FA, 1 month U.S. LIBOR + 0.550% 0.7138% 9/20/61 (a)(e)(l) | 4,370,764 | 4,379,681 | |
Series 2012-H18 Class NA, 1 month U.S. LIBOR + 0.520% 0.6838% 8/20/62 (a)(e)(l) | 847,808 | 848,880 | |
Series 2012-H21 Class DF, 1 month U.S. LIBOR + 0.650% 0.8138% 5/20/61 (a)(e)(l) | 10,462 | 10,508 | |
Series 2013-H19 Class FC, 1 month U.S. LIBOR + 0.600% 0.7638% 8/20/63 (a)(e)(l) | 2,821,195 | 2,827,034 | |
planned amortization class: | |||
Series 2010-158 Class MS, 10.000% - 1 month U.S. LIBOR 9.684% 12/20/40 (a)(k) | 1,023,449 | 1,228,446 | |
Series 2016-69 Class WA, 3% 2/20/46 | 666,263 | 708,250 | |
Series 2017-134 Class BA, 2.5% 11/20/46 | 1,295,519 | 1,358,096 | |
sequential payer: | |||
Series 2010-160 Class DY, 4% 12/20/40 | 2,103,876 | 2,323,314 | |
Series 2010-170 Class B, 4% 12/20/40 | 469,380 | 518,428 | |
Series 2017-139 Class BA, 3% 9/20/47 | 6,646,876 | 7,130,710 | |
Series 2010-116 Class QB, 4% 9/16/40 | 3,385,674 | 3,672,520 | |
Series 2010-14 Class SN, 5.950% - 1 month U.S. LIBOR 5.7881% 2/16/40 (a)(j)(k) | 521,524 | 97,974 | |
Series 2011-94 Class SA, 6.100% - 1 month U.S. LIBOR 5.942% 7/20/41 (a)(j)(k) | 154,418 | 27,404 | |
Series 2013-149 Class MA, 2.5% 5/20/40 | 2,457,279 | 2,568,170 | |
Series 2015-H13 Class HA, 2.5% 8/20/64 (l) | 175,041 | 176,314 | |
Series 2015-H17 Class HA, 2.5% 5/20/65 (l) | 167,099 | 167,346 | |
Series 2017-H06 Class FA, U.S. TREASURY 1 YEAR INDEX + 0.350% 0.52% 8/20/66 (a)(e)(l) | 3,118,907 | 3,088,011 | |
TOTAL U.S. GOVERNMENT AGENCY | 66,048,533 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | |||
(Cost $139,998,532) | 142,231,868 | ||
Commercial Mortgage Securities - 1.2% | |||
BAMLL Commercial Mortgage Securities Trust: | |||
sequential payer Series 2019-BPR: | |||
Class AMP, 3.287% 11/5/32 (b) | 6,500,000 | 6,554,968 | |
Class ANM, 3.112% 11/5/32 (b) | 4,963,000 | 4,838,471 | |
Series 2019-BPR: | |||
Class BNM, 3.465% 11/5/32 (b) | 1,113,000 | 996,879 | |
Class CNM, 3.8425% 11/5/32 (a)(b) | 461,000 | 389,554 | |
BANK sequential payer: | |||
Series 2018-BN10 Class A5, 3.688% 2/15/61 | 3,500,000 | 4,013,505 | |
Series 2019-BN21: | |||
Class A4, 2.6% 10/17/52 | 4,400,000 | 4,694,695 | |
Class A5, 2.851% 10/17/52 | 838,000 | 927,652 | |
Series 2019-BN24 Class A3, 2.96% 11/15/62 | 2,500,000 | 2,791,790 | |
Bayview Commercial Asset Trust floater: | |||
Series 2005-3A Class A2, 1 month U.S. LIBOR + 0.400% 0.5751% 11/25/35 (a)(b)(e) | 22,012 | 20,781 | |
Series 2005-4A: | |||
Class A2, 1 month U.S. LIBOR + 0.390% 0.5651% 1/25/36 (a)(b)(e) | 57,589 | 54,126 | |
Class M1, 1 month U.S. LIBOR + 0.450% 0.6251% 1/25/36 (a)(b)(e) | 18,588 | 17,356 | |
Series 2006-4A Class A2, 1 month U.S. LIBOR + 0.270% 0.4451% 12/25/36 (a)(b)(e) | 138,872 | 125,741 | |
Series 2007-1 Class A2, 1 month U.S. LIBOR + 0.270% 0.4451% 3/25/37 (a)(b)(e) | 34,604 | 32,422 | |
Series 2007-2A: | |||
Class A1, 1 month U.S. LIBOR + 0.270% 0.4451% 7/25/37 (a)(b)(e) | 100,003 | 92,873 | |
Class A2, 1 month U.S. LIBOR + 0.320% 0.4951% 7/25/37 (a)(b)(e) | 93,629 | 84,630 | |
Class M1, 1 month U.S. LIBOR + 0.370% 0.5451% 7/25/37 (a)(b)(e) | 31,869 | 24,100 | |
Series 2007-3: | |||
Class A2, 1 month U.S. LIBOR + 0.290% 0.4651% 7/25/37 (a)(b)(e) | 35,281 | 30,856 | |
Class M1, 1 month U.S. LIBOR + 0.310% 0.4851% 7/25/37 (a)(b)(e) | 18,697 | 15,335 | |
Class M2, 1 month U.S. LIBOR + 0.340% 0.5151% 7/25/37 (a)(b)(e) | 19,998 | 16,089 | |
Class M3, 1 month U.S. LIBOR + 0.370% 0.5451% 7/25/37 (a)(b)(e) | 32,029 | 27,065 | |
Class M4, 1 month U.S. LIBOR + 0.500% 0.6751% 7/25/37 (a)(b)(e) | 50,563 | 42,262 | |
Class M5, 1 month U.S. LIBOR + 0.600% 0.7751% 7/25/37 (a)(b)(e) | 21,169 | 15,140 | |
BBCMS Mortgage Trust sequential payer Series 2019-C4 Class A4, 2.661% 8/15/52 | 4,000,000 | 4,322,951 | |
Benchmark Commercial Mortgage Trust Series 2018-B3 Class A3, 3.746% 4/10/51 | 1,700,000 | 1,871,444 | |
Benchmark Mortgage Trust: | |||
sequential payer: | |||
Series 2018-B4 Class A5, 4.121% 7/15/51 | 949,000 | 1,120,823 | |
Series 2019-B10 Class A4, 3.717% 3/15/62 | 1,673,000 | 1,946,222 | |
Series 2019-B11 Class A5, 3.5421% 5/15/52 | 5,500,000 | 6,330,504 | |
Series 2019-B13 Class A4, 2.952% 8/15/57 | 9,824,000 | 10,923,842 | |
Series 2019-B14 Class A5, 3.0486% 12/15/62 | 1,305,000 | 1,462,659 | |
Series 2020-B17 Class A5, 2.289% 3/15/53 | 1,800,000 | 1,908,441 | |
Series 2019-B12 Class XA, 1.2043% 8/15/52 (a)(j) | 40,087,983 | 2,719,990 | |
Series 2019-B14 Class XA, 0.915% 12/15/62 (a)(j) | 22,938,576 | 1,206,443 | |
BX Commercial Mortgage Trust: | |||
floater Series 2020-BXLP: | |||
Class B, 1 month U.S. LIBOR + 1.000% 1.1619% 12/15/36 (a)(b)(e) | 4,446,930 | 4,424,662 | |
Class C, 1 month U.S. LIBOR + 1.120% 1.2819% 12/15/36 (a)(b)(e) | 3,685,627 | 3,657,944 | |
Class D, 1 month U.S. LIBOR + 1.250% 1.4119% 12/15/36 (a)(b)(e) | 5,094,337 | 5,024,178 | |
floater sequential payer: | |||
Series 2019-CALM Class A, 1 month U.S. LIBOR + 0.870% 1.0379% 11/15/32 (a)(b)(e) | 1,900,000 | 1,883,345 | |
Series 2020-BXLP Class A, 1 month U.S. LIBOR + 0.800% 0.9619% 12/15/36 (a)(b)(e) | 10,602,296 | 10,565,848 | |
BX Trust: | |||
floater: | |||
Series 2018-EXCL: | |||
Class A, 1 month U.S. LIBOR + 1.088% 1.2495% 9/15/37 (a)(b)(e) | 3,889,969 | 3,551,531 | |
Class B, 1 month U.S. LIBOR + 1.320% 1.4869% 9/15/37 (a)(b)(e) | 4,446,198 | 3,960,286 | |
Class D, 1 month U.S. LIBOR + 2.620% 2.7869% 9/15/37 (a)(b)(e) | 2,530,703 | 1,860,698 | |
Series 2018-IND: | |||
Class B, 1 month U.S. LIBOR + 0.900% 1.0619% 11/15/35 (a)(b)(e) | 910,000 | 905,439 | |
Class F, 1 month U.S. LIBOR + 1.800% 1.9619% 11/15/35 (a)(b)(e) | 2,713,900 | 2,688,400 | |
Series 2019-IMC: | |||
Class B, 1 month U.S. LIBOR + 1.300% 1.4619% 4/15/34 (a)(b)(e) | 4,464,000 | 4,195,913 | |
Class C, 1 month U.S. LIBOR + 1.600% 1.7619% 4/15/34 (a)(b)(e) | 2,952,000 | 2,715,625 | |
Class D, 1 month U.S. LIBOR + 1.900% 2.0619% 4/15/34 (a)(b)(e) | 3,099,000 | 2,819,836 | |
Series 2019-XL: | |||
Class B, 1 month U.S. LIBOR + 1.080% 1.2419% 10/15/36 (a)(b)(e) | 3,807,634 | 3,790,950 | |
Class C, 1 month U.S. LIBOR + 1.250% 1.4119% 10/15/36 (a)(b)(e) | 4,787,309 | 4,757,573 | |
Class D, 1 month U.S. LIBOR + 1.450% 1.6119% 10/15/36 (a)(b)(e) | 6,779,885 | 6,758,990 | |
Class E, 1 month U.S. LIBOR + 1.800% 1.9619% 10/15/36 (a)(b)(e) | 9,527,153 | 9,451,155 | |
Series 2020-BXLP Class E, 1 month U.S. LIBOR + 1.600% 1.7619% 12/15/36 (a)(b)(e) | 4,672,723 | 4,605,435 | |
floater, sequential payer: | |||
Series 2019-IMC Class A, 1 month U.S. LIBOR + 1.000% 1.1619% 4/15/34 (a)(b)(e) | 8,070,000 | 7,746,884 | |
Series 2019-XL Class A, 1 month U.S. LIBOR + 0.920% 1.0819% 10/15/36 (a)(b)(e) | 20,409,903 | 20,385,434 | |
CD Commercial Mortgage Trust Series 2017-CD6 Class A3, 3.104% 11/13/50 | 2,500,000 | 2,659,715 | |
CF Hippolyta Issuer LLC sequential payer Series 2020-1: | |||
Class A1, 1.69% 7/15/60 (b) | 16,694,000 | 16,939,110 | |
Class A2, 1.99% 7/15/60 (b) | 7,429,803 | 7,563,113 | |
CGDB Commercial Mortgage Trust floater Series 2019-MOB: | |||
Class A, 1 month U.S. LIBOR + 0.950% 1.1119% 11/15/36 (a)(b)(e) | 3,687,000 | 3,650,070 | |
Class B, 1 month U.S. LIBOR + 1.250% 1.4119% 11/15/36 (a)(b)(e) | 1,400,000 | 1,364,940 | |
CHC Commercial Mortgage Trust floater Series 2019-CHC: | |||
Class A, 1 month U.S. LIBOR + 1.120% 1.2819% 6/15/34 (a)(b)(e) | 13,996,602 | 13,324,863 | |
Class B, 1 month U.S. LIBOR + 1.500% 1.6619% 6/15/34 (a)(b)(e) | 2,109,895 | 1,987,750 | |
Class C, 1 month U.S. LIBOR + 1.750% 1.9119% 6/15/34 (a)(b)(e) | 2,383,714 | 2,222,138 | |
Citigroup Commercial Mortgage Trust: | |||
sequential payer Series 2016-GC37 Class A3, 3.05% 4/10/49 | 4,000,000 | 4,254,218 | |
Series 2015-GC29 Class XA, 1.1844% 4/10/48 (a)(j) | 30,908,711 | 1,262,451 | |
Series 2015-GC33 Class XA, 1.0412% 9/10/58 (a)(j) | 18,808,957 | 696,195 | |
Series 2016-C2 Class A3, 2.575% 8/10/49 | 2,800,000 | 2,983,044 | |
Series 2016-GC36 Class A4, 3.349% 2/10/49 | 2,500,000 | 2,749,298 | |
Series 2016-P6 Class XA, 0.9245% 12/10/49 (a)(j) | 17,304,294 | 496,204 | |
COMM Mortgage Trust: | |||
sequential payer: | |||
Series 2013-CR7 Class AM, 3.314% 3/10/46 (b) | 1,700,000 | 1,779,431 | |
Series 2014-CR18 Class A5, 3.828% 7/15/47 | 1,610,000 | 1,760,276 | |
Series 2015-DC1 Class A5, 3.35% 2/10/48 | 3,800,000 | 4,098,699 | |
Series 2019-GC44 Class A5, 2.95% 8/15/57 | 4,300,000 | 4,785,358 | |
Series 2014-CR17 Class XA, 1.1317% 5/10/47 (a)(j) | 18,727,023 | 526,074 | |
Series 2014-CR20 Class XA, 1.1745% 11/10/47 (a)(j) | 17,998,454 | 631,553 | |
Series 2014-LC17 Class XA, 0.8771% 10/10/47 (a)(j) | 40,389,967 | 942,181 | |
Series 2014-UBS6: | |||
Class A5, 3.644% 12/10/47 | 3,900,000 | 4,243,121 | |
Class XA, 1.0375% 12/10/47 (a)(j) | 10,949,170 | 325,207 | |
Series 2015-CR23 Class A3, 3.23% 5/10/48 | 2,500,000 | 2,710,392 | |
Series 2015-CR24 Class A4, 3.432% 8/10/48 | 1,449,364 | 1,589,125 | |
Series 2015-PC1 Class A4, 3.62% 7/10/50 | 1,900,000 | 2,035,191 | |
Core Industrial Trust floater Series 2019-CORE Class A, 1 month U.S. LIBOR + 0.880% 1.0419% 12/15/31 (a)(b)(e) | 2,583,000 | 2,562,790 | |
Credit Suisse Mortgage Trust: | |||
floater Series 2019-ICE4 Class A, 1 month U.S. LIBOR + 0.980% 1.1419% 5/15/36 (a)(b)(e) | 17,800,000 | 17,832,700 | |
sequential payer Series 2020-NET Class A, 2.2569% 8/15/37 (b) | 2,253,000 | 2,321,503 | |
Series 2018-SITE: | |||
Class A, 4.284% 4/15/36 (b) | 5,237,000 | 5,136,463 | |
Class B, 4.5349% 4/15/36 (b) | 1,543,000 | 1,481,878 | |
Class C, 4.9414% 4/15/36 (a)(b) | 1,033,000 | 939,119 | |
Class D, 4.9414% 4/15/36 (a)(b) | 2,066,000 | 1,680,544 | |
CSAIL Commercial Mortgage Trust Series 2016-C7 Class A4, 3.21% 11/15/49 | 3,271,887 | 3,531,807 | |
DBUBS Mortgage Trust Series 2011-LC3A Class C, 5.5128% 8/10/44 (a)(b) | 3,400,000 | 3,410,321 | |
Eaton Vance CLO, Ltd. floater Series 2020-1A Class A, 1.65% 10/15/30 (b) | 6,500,000 | 6,498,725 | |
Fannie Mae Series 2017-M1 Class A2, 2.4966% 10/25/26 (a) | 2,300,000 | 2,475,560 | |
Freddie Mac: | |||
sequential payer: | |||
Series 2017-K069 Class AM, 3.248% 9/25/27 | 1,750,000 | 1,997,961 | |
Series 2018-K083 Class AM, 4.03% 10/25/28 | 1,150,000 | 1,402,937 | |
Series K076 Class AM, 3.9% 4/25/28 | 2,125,000 | 2,544,811 | |
Series K077 Class AM, 3.85% 5/25/28 | 660,000 | 791,692 | |
GB Trust floater Series 2020-FLIX: | |||
Class A, 1 month U.S. LIBOR + 1.120% 1.287% 8/15/37 (a)(b)(e) | 4,400,000 | 4,408,547 | |
Class B, 1 month U.S. LIBOR + 1.350% 1.517% 8/15/37 (a)(b)(e) | 930,000 | 932,016 | |
Class C, 1 month U.S. LIBOR + 1.600% 1.767% 8/15/37 (a)(b)(e) | 500,000 | 501,238 | |
GS Mortgage Securities Trust: | |||
floater: | |||
Series 2018-3PCK Class A, 1 month U.S. LIBOR + 1.450% 1.6119% 9/15/31 (a)(b)(e) | 17,575,000 | 16,397,616 | |
Series 2018-HART Class A, 1 month U.S. LIBOR + 1.090% 1.2519% 10/15/31 (a)(b)(e) | 4,013,000 | 3,941,437 | |
Series 2011-GC5 Class A/S, 5.209% 8/10/44 (b) | 6,867,000 | 7,028,646 | |
Series 2015-GC30 Class A3, 3.119% 5/10/50 | 1,972,846 | 2,092,351 | |
Series 2015-GC34 Class XA, 1.4026% 10/10/48 (a)(j) | 5,799,012 | 290,183 | |
Series 2019-GC40 Class A3, 2.904% 7/10/52 | 2,000,000 | 2,202,451 | |
JPMBB Commercial Mortgage Securities Trust: | |||
Series 2013-C14 Class A/S, 4.4093% 8/15/46 | 3,088,000 | 3,314,530 | |
Series 2014-C19 Class XA, 0.901% 4/15/47 (a)(j) | 3,447,288 | 59,082 | |
Series 2015-C30 Class A4, 3.5508% 7/15/48 | 1,900,000 | 2,083,721 | |
JPMorgan Chase Commercial Mortgage Securities Corp.: | |||
sequential payer Series 2012-CBX Class A4, 3.4834% 6/15/45 | 1,664,801 | 1,701,452 | |
Series 2012-CBX Class A/S, 4.2707% 6/15/45 | 1,177,000 | 1,229,379 | |
Series 2012-LC9 Class A/S, 3.3533% 12/15/47 (b) | 750,000 | 765,796 | |
JPMorgan Chase Commercial Mortgage Securities Trust: | |||
floater Series 2019-BKWD Class A, 1 month U.S. LIBOR + 1.000% 1.1619% 9/15/29 (a)(b)(e) | 6,300,000 | 6,144,362 | |
Series 2018-WPT: | |||
Class AFX, 4.2475% 7/5/33 (b) | 2,700,000 | 2,852,208 | |
Class CFX, 4.9498% 7/5/33 (b) | 919,000 | 918,820 | |
Class DFX, 5.3503% 7/5/33 (b) | 1,414,000 | 1,392,508 | |
Class EFX, 5.5422% 7/5/33 (b) | 1,934,000 | 1,860,167 | |
Class XAFX, 1.2948% 7/5/33 (a)(b)(j) | 10,000,000 | 286,097 | |
Series 2019-COR4 Class A3, 3.7629% 3/10/52 | 5,400,000 | 6,144,954 | |
Ladder Capital Commercial Mortgage Securities Trust sequential payer Series 2014-909 Class A, 3.388% 5/15/31 (b) | 2,400,000 | 2,411,298 | |
Merit floater Series 2020-HILL Class A, 1 month U.S. LIBOR + 1.150% 1.305% 8/15/37 (a)(b)(e) | 2,102,000 | 2,103,315 | |
Morgan Stanley BAML Trust: | |||
sequential payer: | |||
Series 2013-C10 Class A4, 4.2182% 7/15/46 (a) | 1,200,000 | 1,283,348 | |
Series 2014-C16 Class A3, 3.592% 6/15/47 | 1,637,170 | 1,653,297 | |
Series 2015-C21 Class A3, 3.077% 3/15/48 | 3,732,073 | 3,949,844 | |
Series 2016-C28 Class A3, 3.272% 1/15/49 | 4,341,338 | 4,612,563 | |
Series 2015-C25: | |||
Class A4, 3.372% 10/15/48 | 2,800,000 | 3,020,539 | |
Class XA, 1.2189% 10/15/48 (a)(j) | 10,446,985 | 435,136 | |
Series 2015-C26 Class A4, 3.252% 10/15/48 | 3,200,000 | 3,488,811 | |
Series 2016-C32 Class A3, 3.459% 12/15/49 | 5,100,000 | 5,634,352 | |
Morgan Stanley Capital Barclays Bank Trust sequential payer Series 2016-MART Class A, 2.2004% 9/13/31 (b) | 1,893,000 | 1,883,991 | |
Morgan Stanley Capital I Trust: | |||
floater Series 2018-BOP Class A, 1 month U.S. LIBOR + 0.850% 1.0119% 8/15/33 (a)(b)(e) | 6,888,548 | 6,713,571 | |
floater sequential payer Series 2019-NUGS Class A, 1 month U.S. LIBOR + 0.950% 2.45% 12/15/36 (a)(b)(e) | 5,200,000 | 5,103,341 | |
sequential payer Series 2019-MEAD Class A, 3.17% 11/10/36 (b) | 13,482,000 | 13,580,334 | |
Series 2011-C3 Class AJ, 5.4192% 7/15/49 (a)(b) | 4,200,000 | 4,315,086 | |
Series 2015-UBS8 Class A3, 3.54% 12/15/48 | 3,000,000 | 3,296,472 | |
Series 2016-UB12 Class A3, 3.337% 12/15/49 | 2,000,000 | 2,179,263 | |
Series 2018-H4 Class A4, 4.31% 12/15/51 | 3,237,000 | 3,847,017 | |
Series 2019-MEAD: | |||
Class B, 3.283% 11/10/36 (a)(b) | 1,558,000 | 1,495,649 | |
Class C, 3.283% 11/10/36 (a)(b) | 1,495,000 | 1,360,836 | |
RETL floater Series 2019-RVP: | |||
Class A, 1 month U.S. LIBOR + 1.150% 1.3119% 3/15/36 (a)(b)(e) | 656,907 | 626,399 | |
Class B, 1 month U.S. LIBOR + 1.550% 1.7119% 3/15/36 (a)(b)(e) | 3,800,000 | 3,523,320 | |
Class C, 1 month U.S. LIBOR + 2.100% 2.2619% 3/15/36 (a)(b)(e) | 9,396,000 | 8,549,949 | |
UBS Commercial Mortgage Trust: | |||
Series 2012-C1 Class A/S, 4.171% 5/10/45 | 6,570,000 | 6,814,331 | |
Series 2017-C1 Class A3, 3.283% 11/15/50 | 5,500,000 | 6,154,201 | |
Series 2017-C7 Class XA, 1.2009% 12/15/50 (a)(j) | 17,457,582 | 970,078 | |
Series 2018-C11 Class A3, 4.3124% 6/15/51 | 4,100,000 | 4,580,993 | |
Series 2018-C13 Class A3, 4.0694% 10/15/51 | 6,000,000 | 6,982,312 | |
Series 2018-C9 Class ASB, 4.09% 3/15/51 | 3,300,000 | 3,779,205 | |
UBS-Barclays Commercial Mortgage Trust floater Series 2013-C6 Class A3, 1 month U.S. LIBOR + 0.790% 0.9583% 4/10/46 (a)(b)(e) | 5,423,000 | 5,402,327 | |
Wells Fargo Commercial Mortgage Trust: | |||
sequential payer: | |||
Series 2015-C29 Class ASB, 3.4% 6/15/48 | 1,428,605 | 1,502,354 | |
Series 2016-LC24 Class A3, 2.684% 10/15/49 | 3,300,000 | 3,534,464 | |
Series 2015-C31 Class XA, 1.1409% 11/15/48 (a)(j) | 7,096,729 | 304,128 | |
Series 2017-C42 Class XA, 1.0317% 12/15/50 (a)(j) | 35,552,612 | 1,905,009 | |
Series 2018-C46 Class XA, 1.1073% 8/15/51 (a)(j) | 13,058,838 | 659,176 | |
Series 2018-C48 Class A5, 4.302% 1/15/52 | 3,181,000 | 3,799,343 | |
WF-RBS Commercial Mortgage Trust: | |||
floater Series 2013-C14 Class A3, 1 month U.S. LIBOR + 0.720% 0.8819% 6/15/46 (a)(b)(e) | 4,691,983 | 4,684,253 | |
Series 2014-C24 Class XA, 0.9799% 11/15/47 (a)(j) | 6,379,503 | 167,197 | |
Series 2014-LC14 Class XA, 1.3642% 3/15/47 (a)(j) | 9,838,651 | 310,814 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES | |||
(Cost $506,018,833) | 510,723,740 | ||
Municipal Securities - 0.2% | |||
Bay Area Toll Auth. San Francisco Bay Toll Bridge Rev.: | |||
Series 2009 F2, 6.263% 4/1/49 | $3,145,000 | $5,710,691 | |
Series 2019 F1, 2.574% 4/1/31 | 525,000 | 573,494 | |
California Gen. Oblig. Series 2009, 7.5% 4/1/34 | 630,000 | 1,053,108 | |
Chicago O'Hare Int'l. Arpt. Rev. Series 2018 C, 4.472% 1/1/49 | 910,000 | 1,209,299 | |
Colorado Reg'l. Trans. District Sales Tax Rev. (Fastracks Proj.) Series 2010 B, 5.844% 11/1/50 | 45,000 | 75,024 | |
District of Columbia Income Tax Rev. Series 2010 F, 5.582% 12/1/35 | 75,000 | 103,742 | |
Illinois Gen. Oblig.: | |||
Series 2003: | |||
4.95% 6/1/23 | 5,431,636 | 5,546,353 | |
5.1% 6/1/33 | 24,335,000 | 24,908,819 | |
Series 2010-1, 6.63% 2/1/35 | 3,845,000 | 4,267,027 | |
Series 2010-3: | |||
6.725% 4/1/35 | 2,510,000 | 2,813,911 | |
7.35% 7/1/35 | 4,655,000 | 5,362,420 | |
Series 2010-5, 6.2% 7/1/21 | 479,000 | 489,040 | |
Jobsohio Beverage Sys. Statewide Series 2020 A, 2.833% 1/1/38 | 325,000 | 350,617 | |
Los Angeles Dept. of Wtr. & Pwr. Rev. Series 2010 A, 5.716% 7/1/39 | 190,000 | 290,660 | |
Maryland Trans. Auth. Trans. Facility Projs. Rev. Series 2009 B, 5.888% 7/1/43 | 50,000 | 73,992 | |
Massachusetts Commonwealth Trans. Fund Rev. (Accelerated Bridge Prog.) Series 2010 A, 5.731% 6/1/40 | 150,000 | 216,372 | |
Michigan Fin. Auth. Rev. Series 2019 T, 3.384% 12/1/40 | 545,000 | 617,828 | |
New Jersey Econ. Dev. Auth. State Pension Fdg. Rev. Series 1997, 7.425% 2/15/29 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 9,315,000 | 11,658,840 | |
New Jersey Tpk. Auth. Tpk. Rev.: | |||
Series 2009 E, 7.414% 1/1/40 | 1,785,000 | 3,090,371 | |
Series 2010 A, 7.102% 1/1/41 | 825,000 | 1,391,396 | |
New York City Muni. Wtr. Fin. Auth. Wtr. & Swr. Sys. Rev. Series 2010 DD, 5.952% 6/15/42 | 25,000 | 40,166 | |
New York City Transitional Fin. Auth. Rev. Series 2010 C2, 5.767% 8/1/36 | 900,000 | 1,205,388 | |
Ohio State Univ. Gen. Receipts: | |||
Series 2010 C, 4.91% 6/1/40 | 140,000 | 199,235 | |
Series 2011 A, 4.8% 6/1/11 | 1,503,000 | 2,232,797 | |
Port Auth. of New York & New Jersey 174th Series, 4.458% 10/1/62 | 390,000 | 509,410 | |
Salt River Proj. Agricultural Impt. & Pwr. District Elec. Sys. Rev. Series 2010 A, 4.839% 1/1/41 | 750,000 | 1,050,585 | |
Texas Private Activity Bond Surface Trans. Corp. (NTE Mobility Partners LLC North Tarrant Express Managed Lanes Proj.) Series 2019 B, 3.922% 12/31/49 | 555,000 | 625,363 | |
Univ. of Michigan Rev. Series 2020 B, 2.437% 4/1/40 | 1,050,000 | 1,070,727 | |
TOTAL MUNICIPAL SECURITIES | |||
(Cost $71,545,107) | 76,736,675 | ||
Foreign Government and Government Agency Obligations - 0.1% | |||
Hungarian Republic 7.625% 3/29/41 | $550,000 | $974,006 | |
Indonesian Republic: | |||
3.4% 9/18/29 | 420,000 | 462,131 | |
3.5% 1/11/28 | 2,655,000 | 2,922,159 | |
Israeli State: | |||
3.875% 7/3/50 | 1,550,000 | 1,848,003 | |
4% 6/30/22 | 1,700,000 | 1,804,210 | |
Italian Republic 2.375% 10/17/24 | 3,800,000 | 3,930,019 | |
Panamanian Republic: | |||
3.16% 1/23/30 | 950,000 | 1,034,906 | |
4.3% 4/29/53 | 615,000 | 775,477 | |
4.5% 4/16/50 | 400,000 | 514,000 | |
4.5% 4/1/56 | 445,000 | 578,500 | |
Philippine Republic 3.7% 3/1/41 | 1,010,000 | 1,164,972 | |
Province of Quebec yankee 7.125% 2/9/24 | 810,000 | 983,364 | |
State of Qatar 3.4% 4/16/25 (b) | 3,165,000 | 3,459,938 | |
United Mexican States: | |||
4.15% 3/28/27 | 275,000 | 306,350 | |
4.75% 3/8/44 | 2,246,000 | 2,521,837 | |
Uruguay Republic: | |||
4.975% 4/20/55 | 375,000 | 514,336 | |
5.1% 6/18/50 | 1,625,000 | 2,248,086 | |
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | |||
(Cost $23,942,271) | 26,042,294 | ||
Bank Notes - 0.1% | |||
Discover Bank: | |||
3.45% 7/27/26 | $435,000 | $477,035 | |
4.682% 8/9/28 (a) | 3,503,000 | 3,664,593 | |
KeyBank NA 3.9% 4/13/29 | 1,830,000 | 2,093,380 | |
RBS Citizens NA 2.55% 5/13/21 | 1,705,000 | 1,728,251 | |
Regions Bank 6.45% 6/26/37 | 2,533,000 | 3,524,461 | |
SunTrust Banks, Inc. 2.75% 5/1/23 | 645,000 | 681,678 | |
Synchrony Bank 3.65% 5/24/21 | 5,843,000 | 5,931,204 | |
Truist Bank 3.3% 5/15/26 | 965,000 | 1,088,161 | |
TOTAL BANK NOTES | |||
(Cost $17,276,254) | 19,188,763 | ||
Shares | Value | ||
Fixed-Income Funds - 77.0% | |||
High Yield Fixed-Income Funds - 1.0% | |||
Prudential High Yield Fund | 13,727,981 | $73,581,980 | |
Stone Harbor Emerging Markets Debt Fund | 16,715,829 | 164,316,600 | |
Vanguard High-Yield Corporate Fund Admiral Shares | 27,789,899 | 162,570,907 | |
TOTAL HIGH YIELD FIXED-INCOME FUNDS | 400,469,487 | ||
Intermediate Government Funds - 0.0% | |||
Fidelity SAI U.S. Treasury Bond Index Fund (m) | 230,236 | 2,495,754 | |
Intermediate-Term Bond Funds - 73.7% | |||
Baird Core Plus Bond Fund - Institutional Class | 56,394,590 | 687,450,055 | |
BlackRock Total Return Fund Institutional Shares | 25,638,734 | 322,022,497 | |
DoubleLine Total Return Bond Fund Class N | 90,131,650 | 966,211,293 | |
Fidelity SAI Total Bond Fund (m) | 593,297,128 | 6,532,201,376 | |
Fidelity U.S. Bond Index Fund (m) | 22,367,686 | 281,161,817 | |
John Hancock Bond Fund Class A | 15,798,031 | 265,406,916 | |
JPMorgan Core Plus Bond Fund Class A | 36,594,967 | 321,669,762 | |
Metropolitan West Total Return Bond Fund Class M | 197,954,191 | 2,304,186,779 | |
PIMCO Income Fund Institutional Class | 91,414,873 | 1,073,210,604 | |
PIMCO Investment Grade Credit Bond Fund Institutional Class | 58,093,304 | 647,159,401 | |
PIMCO Mortgage Opportunities Fund Institutional Class | 97,902,420 | 1,071,052,473 | |
PIMCO Total Return Fund Institutional Class | 599,512,806 | 6,558,670,038 | |
Prudential Total Return Bond Fund Class A | 147,157,842 | 2,200,009,734 | |
TCW Total Return Bond Fund Class I | 30,194,872 | 317,650,051 | |
Voya Intermediate Bond Fund Class I | 113,798,818 | 1,222,199,303 | |
Western Asset Core Bond Fund Class I | 154,887,958 | 2,129,709,429 | |
Western Asset Core Plus Bond Fund Class I | 265,341,767 | 3,324,732,342 | |
TOTAL INTERMEDIATE-TERM BOND FUNDS | 30,224,703,870 | ||
Long Government Bond Funds - 2.3% | |||
iShares 20+ Year Treasury Bond ETF | 5,818,925 | 943,771,446 | |
TOTAL FIXED-INCOME FUNDS | |||
(Cost $29,513,967,053) | 31,571,440,557 | ||
Principal Amount | Value | ||
Preferred Securities - 0.1% | |||
FINANCIALS - 0.1% | |||
Banks - 0.1% | |||
Bank of Nova Scotia 4.65% (a)(n) | 12,927,000 | 12,836,153 | |
Barclays Bank PLC 7.625% 11/21/22 | 27,412,000 | 31,060,287 | |
TOTAL PREFERRED SECURITIES | |||
(Cost $44,492,151) | 43,896,440 | ||
Shares | Value | ||
Money Market Funds - 1.2% | |||
Fidelity Cash Central Fund 0.12% (o) | 405,101,988 | 405,183,008 | |
Fidelity Investments Money Market Government Portfolio Institutional Class 0.05%(m)(p) | 15,510,580 | 15,510,580 | |
State Street Institutional U.S. Government Money Market Fund Premier Class .04% (p) | 62,806,214 | 62,806,214 | |
TOTAL MONEY MARKET FUNDS | |||
(Cost $483,496,157) | 483,499,802 |
Purchased Swaptions - 0.0% | ||||
Expiration Date | Notional Amount | Value | ||
Put Options - 0.0% | ||||
Option on an interest rate swap with Bank of America N.A. to pay semi-annually a fixed rate of 0.98% and receive quarterly a floating rate based on 3-month LIBOR, expiring July 2030 | 7/1/25 | 25,700,000 | $727,790 | |
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 | 14,700,000 | 343,846 | |
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 | 1,900,000 | 32,824 | |
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 1.905% and receive quarterly a floating rate based on 3-month LIBOR, expiring October 2029 | 10/28/24 | 10,000,000 | 88,335 | |
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 | 13,700,000 | 74,532 | |
TOTAL PUT OPTIONS | 1,267,327 | |||
Call Options - 0.0% | ||||
Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 0.98% and pay quarterly a floating rate based on 3-month LIBOR, expiring July 2030 | 7/1/25 | 25,700,000 | 609,966 | |
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 | 14,700,000 | 569,420 | |
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 | 1,900,000 | 67,507 | |
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 1.905% and pay quarterly a floating rate based on 3-month LIBOR, expiring October 2029 | 10/28/24 | 10,000,000 | 543,118 | |
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 | 13,700,000 | 926,802 | |
TOTAL CALL OPTIONS | 2,716,813 | |||
TOTAL PURCHASED SWAPTIONS | ||||
(Cost $3,872,686) | 3,984,140 | |||
TOTAL INVESTMENT IN SECURITIES - 102.2% | ||||
(Cost $39,384,826,977) | 41,883,004,434 | |||
NET OTHER ASSETS (LIABILITIES) - (2.2)% | (900,436,799) | |||
NET ASSETS - 100% | $40,982,567,635 |
TBA Sale Commitments | ||
Principal Amount | Value | |
Uniform Mortgage Backed Securities | ||
2% 9/1/50 | $(4,400,000) | $(4,536,388) |
2% 9/1/50 | (7,500,000) | (7,732,480) |
2% 9/1/50 | (4,400,000) | (4,536,388) |
2% 9/1/50 | (7,500,000) | (7,732,480) |
2.5% 9/1/50 | (7,600,000) | (7,999,889) |
2.5% 9/1/50 | (7,500,000) | (7,894,628) |
2.5% 9/1/50 | (4,800,000) | (5,052,562) |
2.5% 9/1/50 | (7,500,000) | (7,894,628) |
2.5% 9/1/50 | (4,800,000) | (5,052,562) |
3% 9/1/50 | (33,300,000) | (35,119,765) |
3% 9/1/50 | (43,000,000) | (45,349,843) |
3% 9/1/50 | (4,000,000) | (4,218,590) |
3% 9/1/50 | (4,700,000) | (4,956,844) |
3% 9/1/50 | (22,400,000) | (23,624,106) |
3% 9/1/50 | (35,100,000) | (37,018,131) |
3% 9/1/50 | (21,700,000) | (22,885,853) |
3% 9/1/50 | (17,550,000) | (18,509,065) |
3% 9/1/50 | (18,100,000) | (19,089,122) |
3% 9/1/50 | (8,850,000) | (9,333,631) |
3% 9/1/50 | (1,900,000) | (2,003,830) |
3% 9/1/50 | (3,600,000) | (3,796,731) |
3% 9/1/50 | (2,050,000) | (2,162,028) |
3% 9/1/50 | (1,150,000) | (1,212,845) |
3% 9/1/50 | (2,050,000) | (2,162,028) |
3% 9/1/50 | (9,300,000) | (9,808,223) |
3% 9/1/50 | (1,100,000) | (1,160,112) |
3% 9/1/50 | (9,300,000) | (9,808,223) |
3.5% 9/1/50 | (10,500,000) | (11,074,634) |
3.5% 9/1/50 | (10,500,000) | (11,074,634) |
3.5% 9/1/50 | (2,900,000) | (3,058,708) |
3.5% 9/1/50 | (4,000,000) | (4,218,908) |
3.5% 9/1/50 | (10,800,000) | (11,391,052) |
3.5% 9/1/50 | (10,600,000) | (11,180,106) |
3.5% 9/1/50 | (10,300,000) | (10,863,688) |
3.5% 9/1/50 | (10,100,000) | (10,652,743) |
3.5% 9/1/50 | (4,500,000) | (4,746,272) |
3.5% 9/1/50 | (8,000,000) | (8,437,816) |
3.5% 9/1/50 | (8,000,000) | (8,437,816) |
3.5% 9/1/50 | (2,500,000) | (2,636,818) |
3.5% 9/1/50 | (15,300,000) | (16,137,323) |
3.5% 9/1/50 | (9,600,000) | (10,125,379) |
TOTAL TBA SALE COMMITMENTS | ||
(Proceeds $434,643,695) | $(434,686,872) |
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 0.71% and receive quarterly a floating rate based on 3-month LIBOR, expiring April 2032 | 3/30/22 | 4,000,000 | $(160,745) |
Option on an interest rate swap with Bank of America N.A. to pay semi-annually a fixed rate of 1.45% and receive quarterly a floating rate based on 3-month LIBOR, expiring September 2029 | 9/4/24 | 10,500,000 | (143,141) |
Option on an interest rate swap with Bank of America N.A. to pay semi-annually a fixed rate of 1.795% and receive quarterly a floating rate based on 3-month LIBOR, expiring November 2029 | 11/25/24 | 10,600,000 | (109,508) |
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 | 17,000,000 | (123,146) |
TOTAL PUT SWAPTIONS | (536,540) | ||
Call Swaptions | |||
Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 0.71% and pay quarterly a floating rate based on 3-month LIBOR, expiring April 2032 | 3/30/22 | 4,000,000 | (91,395) |
Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 1.45% and pay quarterly a floating rate based on 3-month LIBOR, expiring September 2029 | 9/4/24 | 10,500,000 | (399,026) |
Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 1.795% and pay quarterly a floating rate based on 3-month LIBOR, expiring November 2029 | 11/25/24 | 10,600,000 | (528,078) |
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 | 17,000,000 | (983,236) |
TOTAL CALL SWAPTIONS | (2,001,735) | ||
TOTAL WRITTEN SWAPTIONS | $(2,538,275) |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/(Depreciation) | |
Purchased | |||||
Treasury Contracts | |||||
CBOT 5-Year U.S. Treasury Note Contracts (United States) | 150 | Dec. 2020 | $18,904,688 | $6,731 | $6,731 |
CBOT Long Term U.S. Treasury Bond Contracts (United States) | 114 | Dec. 2020 | 20,031,938 | (219,928) | (219,928) |
TOTAL PURCHASED | (213,197) | ||||
Sold | |||||
Treasury Contracts | |||||
CBOT 10-Year U.S. Treasury Note Contracts (United States) | 1,499 | Dec. 2020 | 208,735,750 | 301,375 | 301,375 |
CBOT 2-Year U.S. Treasury Note Contracts (United States) | 791 | Dec. 2020 | 174,767,742 | (38,627) | (38,627) |
TOTAL SOLD | 262,748 | ||||
TOTAL FUTURES CONTRACTS | $49,551 |
The notional amount of futures purchased as a percentage of Net Assets is 0.1%
The notional amount of futures sold as a percentage of Net Assets is 0.9%
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 | $1,800,000 | $(7,136) | $(23,500) | $(30,636) |
CMBX N.A. AAA Index Series 12 | Aug. 2061 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 5,000,000 | (19,821) | (69,571) | (89,392) |
CMBX N.A. AAA Index Series 12 | Aug. 2061 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 1,200,000 | (4,757) | (15,171) | (19,928) |
CMBX N.A. AAA Index Series 12 | Aug. 2061 | JPMorgan Securities LLC | (0.5%) | Monthly | 3,070,000 | (12,170) | (37,788) | (49,958) |
CMBX N.A. AAA Index Series 12 | Aug. 2061 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 15,700,000 | (62,240) | 62,239 | (1) |
CMBX N.A. AAA Index Series 12 | Aug. 2061 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 1,050,000 | (4,163) | (8,174) | (12,337) |
CMBX N.A. AAA Index Series 12 | Aug. 2061 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 4,800,000 | (19,029) | (133,262) | (152,291) |
CMBX N.A. AAA Index Series 12 | Aug. 2061 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 2,940,000 | (11,655) | (14,069) | (25,724) |
CMBX N.A. AAA Index Series 12 | Aug. 2061 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 1,150,000 | (4,559) | (9,609) | (14,168) |
CMBX N.A. AAA Index Series 12 | Aug. 2061 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 10,000,000 | (39,643) | (111,360) | (151,003) |
CMBX N.A. AAA Index Series 12 | Aug. 2061 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 5,000,000 | (19,822) | (35,245) | (55,067) |
TOTAL CREDIT DEFAULT SWAPS | $(204,995) | $(395,510) | $(600,505) | |||||
Swaps
Payment Received | Payment Frequency | Payment Paid | Payment Frequency | Clearinghouse / Counterparty(1) | Maturity Date | Notional Amount | Value | Upfront Premium Received/(Paid)(2) | Unrealized Appreciation/(Depreciation) |
Interest Rate Swaps | |||||||||
0.5% | Semi - annual | 3-month LIBOR(3) | Quarterly | LCH | Sep. 2022 | $66,782,000 | $43,060 | $0 | $43,060 |
0.5% | Semi - annual | 3-month LIBOR(3) | Quarterly | LCH | Sep. 2025 | 6,345,000 | 291,237 | 0 | 291,237 |
0.75% | Semi - annual | 3-month LIBOR(3) | Quarterly | LCH | Sep. 2030 | 12,080,000 | (26,650) | 0 | (26,650) |
3-month LIBOR(3) | Quarterly | 0.75% | Semi - annual | LCH | Sep. 2030 | 1,330,000 | 3,611 | 0 | 3,611�� |
TOTAL INTEREST RATE SWAPS | $311,258 | $0 | $311,258 | ||||||
(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.
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) 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 $1,502,067,691 or 3.7% of net assets.
(c) Security or a portion of the security purchased on a delayed delivery or when-issued basis.
(d) Non-income producing - Security is in default.
(e) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
(f) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $2,801,745.
(g) 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 $1,474,651.
(h) 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 $290,292.
(i) 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 $324,443.
(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) 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.
(m) Affiliated Fund
(n) Security is perpetual in nature with no stated maturity date.
(o) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
(p) 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 | $432,136 |
Fidelity Securities Lending Cash Central Fund | 128,464 |
Total | $560,600 |
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 Inflation-Protected Bond Index Fund | $105,541,389 | $-- | $103,929,078 | $26,043 | $1,285,927 | $(2,898,238) | $-- |
Fidelity Investments Money Market Government Portfolio Institutional Class 0.05% | -- | 2,457,844,846 | 2,442,334,266 | 329,122 | -- | -- | 15,510,580 |
Fidelity SAI Total Bond Fund | 6,719,728,989 | 90,717,841 | 426,769,899 | 90,711,359 | 24,854,589 | 123,669,856 | 6,532,201,376 |
Fidelity SAI U.S. Treasury Bond Index Fund | 3,902,878,329 | 163,234,515 | 4,120,922,290 | 3,238,651 | 348,586,926 | (291,281,726) | 2,495,754 |
Fidelity Sustainability Bond Index Fund | 25,615,432 | -- | 25,497,606 | 45,199 | 1,872,467 | (1,990,293) | -- |
Fidelity U.S. Bond Index Fund | 156,168,500 | 281,718,117 | 158,538,042 | 232,342 | 6,436,530 | (4,623,288) | 281,161,817 |
Total | $10,909,932,639 | $2,993,515,319 | $7,277,991,181 | $94,582,716 | $383,036,439 | $(177,123,689) | $6,831,369,527 |
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 August 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 | $3,776,507,737 | $-- | $3,776,507,737 | $-- |
U.S. Government and Government Agency Obligations | 1,697,913,391 | -- | 1,697,913,391 | -- |
U.S. Government Agency - Mortgage Securities | 3,045,359,915 | -- | 3,045,359,915 | -- |
Asset-Backed Securities | 485,479,112 | -- | 485,479,112 | -- |
Collateralized Mortgage Obligations | 142,231,868 | -- | 142,231,868 | -- |
Commercial Mortgage Securities | 510,723,740 | -- | 510,723,740 | -- |
Municipal Securities | 76,736,675 | -- | 76,736,675 | -- |
Foreign Government and Government Agency Obligations | 26,042,294 | -- | 26,042,294 | -- |
Bank Notes | 19,188,763 | -- | 19,188,763 | -- |
Fixed-Income Funds | 31,571,440,557 | 31,571,440,557 | -- | -- |
Preferred Securities | 43,896,440 | -- | 43,896,440 | -- |
Money Market Funds | 483,499,802 | 483,499,802 | -- | -- |
Purchased Swaptions | 3,984,140 | -- | 3,984,140 | -- |
Total Investments in Securities: | $41,883,004,434 | $32,054,940,359 | $9,828,064,075 | $-- |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $308,106 | $308,106 | $-- | $-- |
Swaps | 337,908 | -- | 337,908 | -- |
Total Assets | $646,014 | $308,106 | $337,908 | $-- |
Liabilities | ||||
Futures Contracts | $(258,555) | $(258,555) | $-- | $-- |
Swaps | (231,645) | -- | (231,645) | -- |
Written Swaptions | (2,538,275) | -- | (2,538,275) | -- |
Total Liabilities | $(3,028,475) | $(258,555) | $(2,769,920) | $-- |
Total Derivative Instruments: | $(2,382,461) | $49,551 | $(2,432,012) | $-- |
Other Financial Instruments: | ||||
TBA Sale Commitments | $(434,686,872) | $-- | $(434,686,872) | $-- |
Total Other Financial Instruments: | $(434,686,872) | $-- | $(434,686,872) | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of August 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) | $0 | $(204,995) |
Total Credit Risk | 0 | (204,995) |
Interest Rate Risk | ||
Futures Contracts(b) | 308,106 | (258,555) |
Purchased Swaptions(c) | 3,984,140 | 0 |
Swaps(d) | 337,908 | (26,650) |
Written Swaptions(e) | 0 | (2,538,275) |
Total Interest Rate Risk | 4,630,154 | (2,823,480) |
Total Value of Derivatives | $4,630,154 | $(3,028,475) |
(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
August 31, 2020 (Unaudited) | ||
Assets | ||
Investment in securities, at value — See accompanying schedule: Unaffiliated issuers (cost $32,746,099,237) | $34,646,451,899 | |
Fidelity Central Funds (cost $405,179,363) | 405,183,008 | |
Other affiliated issuers (cost $6,233,548,377) | 6,831,369,527 | |
Total Investment in Securities (cost $39,384,826,977) | $41,883,004,434 | |
Cash | 767,264 | |
Receivable for investments sold | ||
Regular delivery | 52,514,681 | |
Delayed delivery | 48,469,053 | |
Receivable for premium on written options | 2,474,700 | |
Receivable for TBA sale commitments | 434,643,695 | |
Receivable for fund shares sold | 11,216,207 | |
Interest receivable | 56,941,076 | |
Distributions receivable from Fidelity Central Funds | 43,801 | |
Receivable for daily variation margin on centrally cleared OTC swaps | 40,132 | |
Prepaid expenses | 101,024 | |
Other receivables | 395,344 | |
Total assets | 42,490,611,411 | |
Liabilities | ||
Payable for investments purchased | ||
Regular delivery | $109,749,182 | |
Delayed delivery | 940,220,147 | |
TBA sale commitments, at value | 434,686,872 | |
Payable for fund shares redeemed | 16,651,204 | |
Distributions payable | 2,418,139 | |
Bi-lateral OTC swaps, at value | 204,995 | |
Accrued management fee | 862,386 | |
Payable for daily variation margin on futures contracts | 206,619 | |
Written options, at value (premium receivable $2,474,700) | 2,538,275 | |
Other payables and accrued expenses | 505,957 | |
Total liabilities | 1,508,043,776 | |
Net Assets | $40,982,567,635 | |
Net Assets consist of: | ||
Paid in capital | $37,993,037,664 | |
Total accumulated earnings (loss) | 2,989,529,971 | |
Net Assets | $40,982,567,635 | |
Net Asset Value, offering price and redemption price per share ($40,982,567,635 ÷ 3,589,417,773 shares) | $11.42 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Six months ended August 31, 2020 (Unaudited) | ||
Investment Income | ||
Dividends: | ||
Unaffiliated issuers | $339,227,290 | |
Affiliated issuers | 94,582,716 | |
Interest | 129,925,596 | |
Income from Fidelity Central Funds (including $128,464 from security lending) | 560,600 | |
Total income | 564,296,202 | |
Expenses | ||
Management fee | $56,876,747 | |
Custodian fees and expenses | 100,391 | |
Independent trustees' fees and expenses | 243,282 | |
Registration fees | 138,611 | |
Audit | 38,016 | |
Legal | 53,837 | |
Miscellaneous | 220,272 | |
Total expenses before reductions | 57,671,156 | |
Expense reductions | (51,596,211) | |
Total expenses after reductions | 6,074,945 | |
Net investment income (loss) | 558,221,257 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 311,006,979 | |
Fidelity Central Funds | 21,046 | |
Other affiliated issuers | 383,036,439 | |
Futures contracts | (14,343,812) | |
Swaps | 3,961,899 | |
Written options | (612,228) | |
Total net realized gain (loss) | 683,070,323 | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers | 417,685,967 | |
Affiliated issuers | (177,123,689) | |
Futures contracts | 6,263,097 | |
Swaps | (1,455,136) | |
Written options | 338,394 | |
Delayed delivery commitments | 4,417,441 | |
Total change in net unrealized appreciation (depreciation) | 250,126,074 | |
Net gain (loss) | 933,196,397 | |
Net increase (decrease) in net assets resulting from operations | $1,491,417,654 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Six months ended August 31, 2020 (Unaudited) | Year ended February 29, 2020 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $558,221,257 | $1,377,667,478 |
Net realized gain (loss) | 683,070,323 | 459,897,834 |
Change in net unrealized appreciation (depreciation) | 250,126,074 | 2,670,041,024 |
Net increase (decrease) in net assets resulting from operations | 1,491,417,654 | 4,507,606,336 |
Distributions to shareholders | (520,711,196) | (1,560,742,405) |
Share transactions | ||
Proceeds from sales of shares | 2,935,868,824 | 10,531,970,234 |
Reinvestment of distributions | 508,091,920 | 1,541,427,164 |
Cost of shares redeemed | (9,773,179,832) | (6,711,834,609) |
Net increase (decrease) in net assets resulting from share transactions | (6,329,219,088) | 5,361,562,789 |
Total increase (decrease) in net assets | (5,358,512,630) | 8,308,426,720 |
Net Assets | ||
Beginning of period | 46,341,080,265 | 38,032,653,545 |
End of period | $40,982,567,635 | $46,341,080,265 |
Other Information | ||
Shares | ||
Sold | 265,123,736 | 980,939,776 |
Issued in reinvestment of distributions | 45,493,046 | 142,378,833 |
Redeemed | (884,244,623) | (623,427,707) |
Net increase (decrease) | (573,627,841) | 499,890,902 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Strategic Advisers Core Income Fund
Six months ended (Unaudited) August 31, | Years endedFebruary 28, | |||||
2020 | 2020 A | 2019 | 2018 | 2017 | 2016 A | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $11.13 | $10.38 | $10.38 | $10.50 | $10.40 | $10.78 |
Income from Investment Operations | ||||||
Net investment income (loss)B | .151 | .354 | .324 | .270 | .300 | .316 |
Net realized and unrealized gain (loss) | .279 | .796 | (.009) | (.106) | .174 | (.366) |
Total from investment operations | .430 | 1.150 | .315 | .164 | .474 | (.050) |
Distributions from net investment income | (.140) | (.350) | (.309) | (.270) | (.297) | (.322) |
Distributions from net realized gain | – | (.050) | (.006) | (.014) | (.077) | (.008) |
Total distributions | (.140) | (.400) | (.315) | (.284) | (.374) | (.330) |
Net asset value, end of period | $11.42 | $11.13 | $10.38 | $10.38 | $10.50 | $10.40 |
Total ReturnC,D | 3.90% | 11.25% | 3.10% | 1.54% | 4.60% | (.45)% |
Ratios to Average Net AssetsE,F | ||||||
Expenses before reductions | .28%G | .28% | .30% | .31% | .31% | .31% |
Expenses net of fee waivers, if any | .03%G | .03% | .05% | .06% | .06% | .06% |
Expenses net of all reductions | .03%G | .03% | .05% | .06% | .06% | .06% |
Net investment income (loss) | 2.68%G | 3.28% | 3.15% | 2.55% | 2.84% | 3.00% |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $40,982,568 | $46,341,080 | $38,032,654 | $35,706,144 | $30,150,207 | $26,817,412 |
Portfolio turnover rateH | 110%G | 65% | 78% | 45% | 52% | 69% |
A For the year ended February 29.
B Calculated based on average shares outstanding during the period.
C Total returns for periods of less than one year are not annualized.
D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
E Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
G Annualized
H 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 (Unaudited)
For the period ended August 31, 2020
1. Organization.
Strategic Advisers Core Income Fund (the Fund) is a fund of Fidelity Rutland Square Trust II (the Trust), and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust. The Fund is offered exclusively to certain clients of Strategic Advisers LLC (Strategic Advisers), an affiliate of Fidelity Management & Research Company LLC (FMR).
2. Significant Accounting Policies.
The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services – Investment Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the Fund:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
- Level 1 – quoted prices in active markets for identical investments
- Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
- Level 3 – unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value the Fund's investments by major category are as follows:
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Corporate bonds, bank notes, foreign government and government agency obligations, municipal securities, preferred securities and U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities are valued by pricing vendors who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Swaps are marked-to-market daily based on valuations from third party pricing vendors, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. For foreign debt securities, when significant market or security specific events arise, valuations may be determined in good faith in accordance with procedures adopted by the Board. Debt securities and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
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. 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. 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 August 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 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. 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 $395,344 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. 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, futures contracts, swaps, market discount, partnerships, deferred trustees compensation, capital loss carryforwards and losses deferred due to wash sales and futures contracts.
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
Gross unrealized appreciation | $2,644,007,338 |
Gross unrealized depreciation | (149,630,566) |
Net unrealized appreciation (depreciation) | $2,494,376,772 |
Tax cost | $39,388,324,390 |
Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of prior fiscal period end and is subject to adjustment.
No expiration | |
Long-term | $(234,565,508) |
Total capital loss carryforward | $(234,565,508) |
Delayed Delivery Transactions and When-Issued Securities. During the period, certain Funds transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. Securities purchased on a delayed delivery or when-issued basis are identified as such in the Schedule of Investments. Compensation for interest forgone in the purchase of a delayed delivery or when-issued debt security may be received. With respect to purchase commitments, each applicable Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Payables and receivables associated with the purchases and sales of delayed delivery securities having the same coupon, settlement date and broker are offset. Delayed delivery or when-issued securities that have been purchased from and sold to different brokers are reflected as both payables and receivables in the Statement of Assets and Liabilities under the caption "Delayed delivery", as applicable. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
To-Be-Announced (TBA) Securities and Mortgage Dollar Rolls. During the period, the Fund transacted in TBA securities that involved buying or selling mortgage-backed securities (MBS) on a forward commitment basis. A TBA transaction typically does not designate the actual security to be delivered and only includes an approximate principal amount; however delivered securities must meet specified terms defined by industry guidelines, including issuer, rate and current principal amount outstanding on underlying mortgage pools. The Fund may enter into a TBA transaction with the intent to take possession of or deliver the underlying MBS, or the Fund may elect to extend the settlement by entering into either a mortgage or reverse mortgage dollar roll. Mortgage dollar rolls are transactions where a fund sells TBA securities and simultaneously agrees to repurchase MBS on a later date at a lower price and with the same counterparty. Reverse mortgage dollar rolls involve the purchase and simultaneous agreement to sell TBA securities on a later date at a lower price. Transactions in mortgage dollar rolls and reverse mortgage dollar rolls are accounted for as purchases and sales and may result in an increase to the Fund's portfolio turnover rate.
Purchases and sales of TBA securities involve risks similar to those discussed above for delayed delivery and when-issued securities. Also, if the counterparty in a mortgage dollar roll or a reverse mortgage dollar roll transaction files for bankruptcy or becomes insolvent, the Fund's right to repurchase or sell securities may be limited. Additionally, when a fund sells TBA securities without already owning or having the right to obtain the deliverable securities (an uncovered forward commitment to sell), it incurs a risk of loss because it could have to purchase the securities at a price that is higher than the price at which it sold them. A fund may be unable to purchase the deliverable securities if the corresponding market is illiquid.
TBA securities subject to a forward commitment to sell at period end are included at the end of the Fund's Schedule of Investments under the caption "TBA Sale Commitments." The proceeds and value of these commitments are reflected in the Fund's Statement of Assets and Liabilities as Receivable for TBA sale commitments and TBA sale commitments, at value, respectively.
Restricted Securities (including Private Placements). The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.
3. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund's investment objective allows the Fund to enter into various types of derivative contracts, including futures contracts, options and swaps. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.
The Fund used derivatives to increase returns, to gain exposure to certain types of assets and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.
The Fund's use of derivatives increased or decreased its exposure to the following risks:
Credit Risk | Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to the Fund. |
Interest Rate Risk | Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates. |
The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives such as options and bi-lateral swaps, the Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives the Fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, the Fund receives collateral in the form of cash or securities once the Fund's net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the counterparty and the Fund's custodian bank. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund. For OTC written options with upfront premiums received, the Fund is obligated to perform and therefore does not have counterparty risk. For OTC written options with premiums to be received at a future date, the maximum risk of loss from counterparty credit risk is the amount of the premium in excess of any collateral pledged by the counterparty. The Fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments. Exchange-traded futures contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to exchange-traded futures contracts may be mitigated by the protection provided by the exchange on which they trade. Counterparty credit risk related to centrally cleared OTC swaps may be mitigated by the protection provided by the clearinghouse.
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.
Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives. The table below, which reflects the impacts of derivatives on the financial performance of the Fund, summarizes the net realized gain (loss) and change in net unrealized appreciation (depreciation) for derivatives during the period as presented in the Statement of Operations.
Primary Risk Exposure / Derivative Type | Net Realized Gain (Loss) | Change in Net Unrealized Appreciation (Depreciation) |
Credit Risk | ||
Swaps | $3,227,610 | $(901,920) |
Interest Rate Risk | ||
Futures Contracts | (14,343,812) | 6,263,097 |
Purchased Options | 3,437,677 | (2,345,498) |
Written Options | (612,228) | 338,394 |
Swaps | 734,289 | (553,216) |
Total Interest Rate Risk | (10,784,074) | 3,702,777 |
Totals | $(7,556,464) | $2,800,857 |
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 Core Income Fund | 16,584,201,220 | 20,996,973,274 |
5. Fees and Other Transactions with Affiliates.
Management Fee. Strategic Advisers (the investment adviser) provides the Fund with investment management related services. For these services, the Fund pays a monthly management fee to the investment adviser. The management fee is calculated by adding the annual management fee rate of .25% of the Fund's average net assets throughout the month payable to the investment adviser to the aggregate of the fee rates, payable monthly, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed .60% of the Fund's average net assets. For the reporting period, the total annualized management fee rate was .27% of the Fund's average net assets.
During the period, the investment adviser waived a portion of its management fee as described in the Expense Reductions note.
Sub-Advisers. FIAM LLC (an affiliate of the investment adviser) and PGIM, Inc. each served as a sub-adviser for the Fund during the period. Sub-advisers provide discretionary investment advisory services for their allocated portion of the Fund's assets and are paid by the investment adviser and not the Fund for providing these services.
Interfund Trades. Funds may purchase from or sell securities to other funds affiliated with each sub-adviser under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.
6. Investments in Fidelity Central Funds.
The Fund invests in Fidelity Central Funds, which are open-end investment companies available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
The Fidelity Money Market Central Funds are managed by FMR. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date ranged from less than .005% to .01%.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds are available on the SEC website or upon request.
7. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are as follows:
Amount | |
Strategic Advisers Core Income Fund | $52,847 |
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. 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. Net income from Fidelity Central Funds is presented in the Statement of Operations as a component of income from Fidelity Central Funds.
9. Expense Reductions.
The investment adviser has contractually agreed to waive the Fund's management fee in an amount equal to .25% of the Fund's average net assets until September 30, 2023. During the period, this waiver reduced the Fund's management fee by $51,596,211.
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 Fund:
Fidelity SAI Total Bond Fund | 40% |
11. Coronavirus (COVID-19) Pandemic.
An outbreak of COVID-19 first detected in China during December 2019 has since spread globally and was declared a pandemic by the World Health Organization during March 2020. Developments that disrupt global economies and financial markets, such as the COVID-19 pandemic, may magnify factors that affect the Fund's performance.
Shareholder Expense Example
As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (March 1, 2020 to August 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 for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
Annualized Expense Ratio-A | Beginning Account Value March 1, 2020 | Ending Account Value August 31, 2020 | Expenses Paid During Period-B March 1, 2020 to August 31, 2020 | |
Strategic Advisers Core Income Fund | .03% | |||
Actual | $1,000.00 | $1,039.00 | $.15 | |
Hypothetical-C | $1,000.00 | $1,025.05 | $.15 |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/ 365 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.
C 5% return per year before expenses
Board Approval of New Sub-Subadvisory Agreements
Strategic Advisers Core Income Fund
In June 2020, the Board of Trustees, including the Independent Trustees (together, the Board) voted to approve sub-subadvisory agreements (New Sub-Subadvisory Agreements) among FIAM LLC (FIAM), each of FMR Investment Management (UK) Limited (FMR UK), Fidelity Management & Research (Japan) Limited (FMR Japan), and Fidelity Management & Research (Hong Kong) Limited (FMR H.K., and together with FMR UK and FMR Japan, New Sub-Subadvisers), and Fidelity Rutland Square Trust II on behalf of the fund. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, considered a broad range of information.The Board noted that it previously received and considered materials relating to the nature, extent and quality of services provided by Strategic Advisers LLC (Strategic Advisers) and FIAM, including the resources dedicated to investment management and support services, as well as shareholder and administrative services, in connection with its annual renewal of the fund's management contract and sub-advisory agreements at its September 2019 meeting. The Board noted its familiarity with the nature, extent and quality of services provided by the New Sub-Subadvisers to other Strategic Advisers funds. The Board also considered the detailed information provided by Strategic Advisers and FIAM in the June 2020 annual contract renewal materials.The Board considered that FIAM, and not the fund, will compensate the New Sub-Subadvisers under the terms of the New Sub-Subadvisory Agreements and that the fund and Strategic Advisers are not responsible for any such fees or expenses. The Board also considered that the New Sub-Subadvisory Agreements will not result in any changes to the fees paid under the sub-advisory agreement among Strategic Advisers, FIAM, and the Trust on behalf of the fund.Because the Board was approving New Sub-Subadvisory Agreements under which the fund will not bear any additional management fees or expenses, it did not consider the competitiveness of management fee and total expenses or the possible realization of economies of scale to be significant factors in its decision. In addition, because the New Sub-Subadvisory Agreements were negotiated at arm's length and will have no impact on the maximum management fees payable by the fund or Strategic Advisers' portion of the management fee, the Board did not consider the costs of services and profitability to be significant factors in its decision to approve the New Sub-Subadvisory Agreements. The Board considered Strategic Advisers' representation that it does not anticipate that the approval of the New Sub-Subadvisory Agreements will have a significant impact on the profitability of, or potential fall-out benefits to, Strategic Advisers or its affiliates.The Board noted that in connection with future annual contract renewals, it will consider: (i) the nature, extent, and quality of services provided to the fund, including administrative services and investment performance; (ii) the historical investment performance of the fund; (iii) the competitiveness of the fund's management fees and total expenses; (iv) the costs of services and profitability; (v) the potential fall-out benefits to Strategic Advisers and its affiliates from their relationships with the fund; and (vi) the possible realization of economies of scale.Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the New Sub-Subadvisory Agreements are in the best interests of the fund and its shareholders and should be approved. In addition, the Board concluded that the approval of the New Sub-Subadvisory Agreements does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.SSC-SANN-1020
1.912889.110
Strategic Advisers® Emerging Markets Fund
Offered exclusively to certain clients of Strategic Advisers LLC - not available for sale to the general public
Semi-Annual Report
August 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
Board Approval of New Sub-Advisory Agreement and New and Amended Sub-Subadvisory Agreements |
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.
Investment Summary (Unaudited)
The information in the following tables is based on the direct investments of the Fund.Top Ten Holdings as of August 31, 2020
(excluding cash equivalents) | % of fund's net assets |
Fidelity SAI Emerging Markets Index Fund | 10.6 |
Fidelity Emerging Markets Fund | 7.5 |
Fidelity SAI Emerging Markets Low Volatility Index Fund | 5.4 |
Alibaba Group Holding Ltd. | 4.6 |
Tencent Holdings Ltd. | 4.1 |
Taiwan Semiconductor Manufacturing Co. Ltd. | 3.8 |
Goldman Sachs Emerging Markets Equity Fund Institutional Shares | 3.0 |
Fidelity SAI Emerging Markets Value Index Fund | 2.7 |
Invesco Oppenheimer Developing Markets Fund Class R6 | 2.5 |
Samsung Electronics Co. Ltd. | 2.4 |
46.6 |
Top Five Market Sectors as of August 31, 2020
(stocks only) | % of fund's net assets |
Consumer Discretionary | 12.0 |
Information Technology | 11.2 |
Financials | 10.6 |
Communication Services | 7.9 |
Consumer Staples | 4.5 |
Geographic Diversification (% of fund's net assets)
As of August 31, 2020 | ||
United States of America* | 44.4% | |
Cayman Islands | 15.5% | |
China | 7.0% | |
Korea (South) | 6.7% | |
Taiwan | 6.7% | |
India | 3.6% | |
Brazil | 3.6% | |
Hong Kong | 2.3% | |
Russia | 2.0% | |
Other | 8.2% |
* Includes Short-Term investments and Net Other Assets (Liabilities).
Percentages are based on country or territory of incorporation and are adjusted for the effect of futures contracts, if applicable.
Asset Allocation (% of fund's net assets)
As of August 31, 2020 | ||
Common Stocks | 54.8% | |
Preferred Stocks | 1.4% | |
Diversifed Emerging Markets Funds | 38.3% | |
Other | 2.4% | |
Short-Term Investments and Net Other Assets (Liabilities) | 3.1% |
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 August 31, 2020 (Unaudited)
Showing Percentage of Net Assets
Common Stocks - 54.8% | |||
Shares | Value | ||
COMMUNICATION SERVICES - 7.8% | |||
Diversified Telecommunication Services - 0.3% | |||
China Telecom Corp. Ltd. (H Shares) | 13,872,000 | $4,525,300 | |
China Tower Corp. Ltd. (H Shares) (a) | 2,500,000 | 476,248 | |
China Unicom Ltd. | 778,000 | 551,571 | |
Hellenic Telecommunications Organization SA | 98,241 | 1,606,132 | |
HKBN Ltd. | 1,032,500 | 1,933,538 | |
KT Corp. | 54,291 | 1,089,348 | |
LG Telecom Ltd. | 336,271 | 3,383,934 | |
Magyar Telekom PLC | 28,408 | 34,896 | |
Ooredoo Qsc (b) | 62,110 | 112,603 | |
PT Telekomunikasi Indonesia Tbk Series B | 13,482,900 | 2,653,006 | |
Saudi Telecom Co. | 59,896 | 1,533,154 | |
Telkom SA Ltd. | 405,832 | 543,464 | |
Turk Telekomunikasyon A/S | 1,505,584 | 1,400,782 | |
19,843,976 | |||
Entertainment - 1.1% | |||
Bilibili, Inc. ADR (b)(c) | 158,610 | 7,494,323 | |
CD Projekt RED SA (b) | 151,590 | 18,048,879 | |
DouYu International Holdings Ltd. ADR (b) | 65,487 | 1,096,252 | |
G-bits Network Technology Xiamen Co. Ltd. (A Shares) | 6,100 | 551,556 | |
HUYA, Inc. ADR (b)(c) | 40,092 | 1,151,442 | |
IGG, Inc. | 421,000 | 485,644 | |
International Games Systems Co. Ltd. | 234,000 | 7,008,611 | |
NCSOFT Corp. | 609 | 423,093 | |
NetEase, Inc. | 80,700 | 1,610,485 | |
NetEase, Inc. ADR | 49,621 | 24,175,847 | |
Nexon Co. Ltd. | 88,800 | 2,081,767 | |
NHN Entertainment Corp. (b) | 2,843 | 174,530 | |
PlayWay SA | 323 | 43,501 | |
TEN Square Games SA | 233 | 35,745 | |
Tencent Music Entertainment Group ADR (b) | 719,688 | 11,248,723 | |
Wuhu Sanqi Interactive Entertainment Network Technology Group Co. Ltd. (A Shares) | 864,080 | 5,752,164 | |
81,382,562 | |||
Interactive Media & Services - 5.6% | |||
Autohome, Inc. ADR Class A | 118,325 | 9,494,398 | |
Baidu.com, Inc. sponsored ADR (b) | 160,154 | 19,950,384 | |
Kakao Corp. | 19,564 | 6,705,275 | |
Mail.Ru Group Ltd. GDR (Reg. S) (b) | 318,702 | 9,831,957 | |
NAVER Corp. | 93,860 | 25,490,293 | |
Tencent Holdings Ltd. | 4,406,189 | 301,023,611 | |
Wise Talent Information Technology Co. Ltd. (b) | 1,088,000 | 2,729,425 | |
Yandex NV Series A (b) | 592,019 | 40,393,456 | |
415,618,799 | |||
Media - 0.0% | |||
Cheil Worldwide, Inc. | 21,770 | 334,569 | |
Focus Media Information Technology Co. Ltd. (A Shares) | 1,994,500 | 2,195,903 | |
Hyundai HCN | 48,513 | 150,543 | |
MultiChoice Group Ltd. | 244,240 | 1,396,028 | |
4,077,043 | |||
Wireless Telecommunication Services - 0.8% | |||
America Movil S.A.B. de CV Series L sponsored ADR | 138,870 | 1,690,048 | |
Bharti Airtel Ltd. (b) | 1,686,614 | 11,813,309 | |
China Mobile Ltd. | 3,578,000 | 25,038,551 | |
China Mobile Ltd. sponsored ADR | 53,744 | 1,882,652 | |
China United Network Communications Ltd. (A Shares) | 10,311,154 | 7,814,161 | |
Globe Telecom, Inc. | 1,795 | 77,309 | |
Mobile Telecommunications Co. Saudi Arabia (b) | 443,225 | 1,380,332 | |
Mobile TeleSystems OJSC sponsored ADR | 265,208 | 2,471,739 | |
MTN Group Ltd. | 10,958 | 39,478 | |
SK Telecom Co. Ltd. | 12,259 | 2,556,872 | |
Turkcell Iletisim Hizmet A/S | 668,148 | 1,303,348 | |
VEON Ltd. sponsored ADR | 277,792 | 394,465 | |
56,462,264 | |||
TOTAL COMMUNICATION SERVICES | 577,384,644 | ||
CONSUMER DISCRETIONARY - 11.9% | |||
Auto Components - 0.5% | |||
DTR Automotive Corp. | 1,408 | 26,322 | |
Fuyao Glass Industries Group Co. Ltd. (A Shares) | 2,726,533 | 11,537,636 | |
Huayu Automotive Systems Co. Ltd. (A Shares) | 1,465,234 | 5,323,106 | |
Hyundai Mobis | 73,129 | 13,794,381 | |
Tianneng Power International Ltd. (c) | 1,275,826 | 2,744,577 | |
Yoo Sung Enterprise | 12,785 | 26,162 | |
33,452,184 | |||
Automobiles - 0.6% | |||
Bajaj Auto Ltd. | 238,049 | 9,641,348 | |
Dongfeng Motor Group Co. Ltd. (H Shares) | 1,580,000 | 1,098,269 | |
Great Wall Motor Co. Ltd. (H Shares) | 1,329,500 | 1,447,217 | |
Hero Motocorp Ltd. | 242,904 | 9,967,465 | |
Hyundai Motor Co. | 45,336 | 6,738,333 | |
Kia Motors Corp. | 331,196 | 11,839,336 | |
Maruti Suzuki India Ltd. | 24,634 | 2,300,073 | |
PT Astra International Tbk | 8,672,500 | 3,037,236 | |
46,069,277 | |||
Diversified Consumer Services - 0.4% | |||
Estacio Participacoes SA | 248,700 | 1,223,412 | |
New Oriental Education & Technology Group, Inc. sponsored ADR (b) | 160,792 | 23,576,931 | |
TAL Education Group ADR (b) | 106,640 | 7,871,098 | |
Visang Education, Inc. | 8,025 | 50,008 | |
32,721,449 | |||
Hotels, Restaurants & Leisure - 0.5% | |||
Haidilao International Holding Ltd. (a) | 126,000 | 811,587 | |
Jubilant Foodworks Ltd. | 60,268 | 1,725,198 | |
Sands China Ltd. | 2,767,522 | 12,182,848 | |
Shangri-La Asia Ltd. | 2,752,000 | 2,236,635 | |
Yum China Holdings, Inc. | 332,100 | 19,165,491 | |
36,121,759 | |||
Household Durables - 1.3% | |||
Arcelik A/S | 216,803 | 621,969 | |
Ecovacs Robotics Co. Ltd. Class A (b) | 145,400 | 818,883 | |
Gree Electric Appliances, Inc. of Zhuhai (A Shares) | 501,900 | 3,994,123 | |
Haier Electronics Group Co. Ltd. | 1,065,074 | 3,644,065 | |
Haier Smart Home Co. Ltd. (A Shares) | 3,331,422 | 10,847,814 | |
LG Electronics, Inc. | 192,848 | 13,673,881 | |
Midea Group Co. Ltd. (A Shares) | 4,723,290 | 48,650,553 | |
Oppein Home Group, Inc. (A Shares) | 170,532 | 2,514,983 | |
Zhejiang Supor Cookware Co. Ltd. | 932,940 | 11,545,191 | |
96,311,462 | |||
Internet & Direct Marketing Retail - 7.3% | |||
Alibaba Group Holding Ltd. | 570,300 | 20,527,864 | |
Alibaba Group Holding Ltd. sponsored ADR (b) | 1,111,916 | 319,153,249 | |
B2W Companhia Global do Varejo (b) | 469,600 | 9,608,007 | |
B2W Companhia Global do Varejo | 24,646 | 504,257 | |
Baozun, Inc. sponsored ADR (b)(c) | 34,304 | 1,421,558 | |
Ctrip.com International Ltd. ADR (b) | 171,528 | 5,187,007 | |
JD.com, Inc.: | |||
Class A | 59,300 | 2,362,270 | |
sponsored ADR (b) | 1,026,214 | 80,701,469 | |
MakeMyTrip Ltd. (b) | 27,719 | 467,897 | |
Meituan Dianping Class B (b) | 723,500 | 23,849,602 | |
MercadoLibre, Inc. (b) | 10,544 | 12,321,613 | |
Naspers Ltd. Class N | 219,324 | 39,990,386 | |
Pinduoduo, Inc. ADR (b) | 78,882 | 7,015,765 | |
Prosus NV | 25,488 | 2,554,718 | |
Tongcheng-Elong Holdings Ltd. (b) | 2,392,400 | 4,682,349 | |
Vipshop Holdings Ltd. ADR (b) | 468,147 | 7,729,107 | |
538,077,118 | |||
Multiline Retail - 0.2% | |||
Lojas Renner SA | 1,661,909 | 13,186,672 | |
Specialty Retail - 0.3% | |||
China Yongda Automobiles Services Holdings Ltd. | 4,280,000 | 5,117,477 | |
Foschini Ltd. | 200,241 | 902,140 | |
Lewis Group Ltd. | 11,913 | 12,439 | |
Mr Price Group Ltd. | 608,009 | 4,156,395 | |
SSI Group, Inc. | 417,000 | 8,774 | |
Zhongsheng Group Holdings Ltd. Class H | 2,158,500 | 13,461,453 | |
23,658,678 | |||
Textiles, Apparel & Luxury Goods - 0.8% | |||
adidas AG | 10,208 | 3,101,465 | |
Anta Sports Products Ltd. | 1,231,000 | 12,134,486 | |
CECEP COSTIN New Materials Group Ltd. (b)(d) | 741,000 | 28,683 | |
ECLAT Textile Co. Ltd. | 186,000 | 2,453,116 | |
LG Fashion Corp. | 7,144 | 77,004 | |
Li Ning Co. Ltd. | 4,316,000 | 18,230,374 | |
Mavi Jeans Class B (a)(b) | 395,330 | 2,002,230 | |
Pou Chen Corp. | 189,000 | 178,187 | |
Regina Miracle International Holdings Ltd. (a) | 577,000 | 162,067 | |
Shenzhou International Group Holdings Ltd. | 1,148,700 | 18,494,832 | |
Weiqiao Textile Co. Ltd. (H Shares) | 426,500 | 91,872 | |
56,954,316 | |||
TOTAL CONSUMER DISCRETIONARY | 876,552,915 | ||
CONSUMER STAPLES - 4.5% | |||
Beverages - 1.2% | |||
Anheuser-Busch InBev SA NV | 78,755 | 4,577,203 | |
China Resources Beer Holdings Co. Ltd. | 2,690,000 | 17,485,340 | |
Coca-Cola Icecek Sanayi A/S | 1,563 | 9,202 | |
Fomento Economico Mexicano S.A.B. de CV: | |||
unit | 947,702 | 5,515,918 | |
sponsored ADR | 168,780 | 9,844,937 | |
Heineken NV (Bearer) | 75,607 | 6,997,899 | |
Kweichow Moutai Co. Ltd. (A Shares) | 122,621 | 31,987,153 | |
Nongfu Spring Co. Ltd. (H Shares) (b) | 107,200 | 297,386 | |
Thai Beverage PCL | 14,788,300 | 6,684,653 | |
Tsingtao Brewery Co. Ltd. (H Shares) | 484,000 | 4,402,238 | |
87,801,929 | |||
Food & Staples Retailing - 1.3% | |||
Avenue Supermarts Ltd. (a)(b) | 25,628 | 787,576 | |
Bim Birlesik Magazalar A/S JSC | 943,015 | 8,715,920 | |
C.P. ALL PCL (For. Reg.) | 6,875,400 | 14,047,230 | |
Clicks Group Ltd. | 203,920 | 2,766,852 | |
Companhia Brasileira de Distribuicao Grupo Pao de Acucar | 133,900 | 1,552,248 | |
Drogasil SA | 587,460 | 11,559,403 | |
E-Mart Co. Ltd. | 2,549 | 257,582 | |
Magnit OJSC | 31,799 | 1,897,701 | |
Migros Turk Ticaret A/S (b) | 87,932 | 469,785 | |
President Chain Store Corp. | 654,000 | 6,010,006 | |
PUREGOLD Price Club, Inc. | 3,809,700 | 4,243,478 | |
Shoprite Holdings Ltd. | 602,136 | 3,925,140 | |
Sun Art Retail Group Ltd. | 2,749,000 | 3,576,309 | |
Wal-Mart de Mexico SA de CV Series V | 6,364,200 | 15,277,919 | |
X5 Retail Group NV GDR (Reg. S) | 446,605 | 16,345,743 | |
Yifeng Pharmacy Chain Co. Ltd. | 289,600 | 4,262,524 | |
95,695,416 | |||
Food Products - 1.5% | |||
Angel Yeast Co. Ltd. (A Shares) | 303,034 | 3,075,274 | |
AVI Ltd. | 254,640 | 1,037,563 | |
Brasil Foods SA (b) | 692,400 | 2,475,881 | |
Charoen Pokphand Foods PCL (For. Reg.) | 2,721,500 | 2,823,950 | |
China Mengniu Dairy Co. Ltd. | 11,750,496 | 57,705,399 | |
Daesang Corp. | 3,291 | 80,092 | |
Gruma S.A.B. de CV Series B | 591,345 | 6,994,150 | |
Halwani Bros Co. | 6,047 | 110,123 | |
Inner Mongoli Yili Industries Co. Ltd. (A Shares) | 260,100 | 1,592,856 | |
JBS SA | 1,756,729 | 7,195,583 | |
Marfrig Global Foods SA (b) | 429,400 | 1,395,148 | |
Minerva SA (b) | 377,349 | 901,615 | |
Nong Shim Co. Ltd. | 1,127 | 341,183 | |
Sanquan Food Co. Ltd. (A Shares) | 174,800 | 909,931 | |
Tata Consumer Products Ltd. (b) | 151,800 | 1,103,120 | |
Tingyi (Cayman Islands) Holding Corp. | 972,000 | 1,824,119 | |
Ulker Biskuvi Sanayi A/S (b) | 119,235 | 371,950 | |
Uni-President China Holdings Ltd. | 140,000 | 127,356 | |
Unified-President Enterprises Corp. | 5,172,000 | 11,723,740 | |
Universal Robina Corp. | 1,205,340 | 3,426,070 | |
WH Group Ltd. (a) | 1,316,000 | 1,134,267 | |
106,349,370 | |||
Household Products - 0.1% | |||
C&S Paper Co. Ltd. (A Shares) | 545,900 | 1,954,525 | |
Hindustan Unilever Ltd. | 177,153 | 5,120,295 | |
Kimberly-Clark de Mexico SA de CV: | |||
Series A | 585,400 | 940,621 | |
Series A sponsored ADR | 2,476 | 19,783 | |
8,035,224 | |||
Personal Products - 0.4% | |||
Hengan International Group Co. Ltd. | 564,000 | 4,440,921 | |
LG Household & Health Care Ltd. | 15,105 | 18,736,481 | |
Natura & Co. Holding SA | 918,800 | 8,274,818 | |
Organic Tea Cosmetics Holdings Co. Ltd. | 4,513 | 2,744 | |
31,454,964 | |||
Tobacco - 0.0% | |||
ITC Ltd. | 160,000 | 417,383 | |
TOTAL CONSUMER STAPLES | 329,754,286 | ||
ENERGY - 1.9% | |||
Energy Equipment & Services - 0.1% | |||
China Oilfield Services Ltd. (H Shares) | 4,906,000 | 3,844,569 | |
Ezion Holdings Ltd. warrants 4/16/23 (b)(d) | 5,020,014 | 5,793 | |
Tenaris SA sponsored ADR | 180,500 | 2,104,630 | |
Yantai Jereh Oilfield Services (A Shares) | 740,100 | 3,701,338 | |
9,656,330 | |||
Oil, Gas & Consumable Fuels - 1.8% | |||
China Shenhua Energy Co. Ltd. (H Shares) | 260,000 | 431,756 | |
CNOOC Ltd. | 18,145,099 | 20,562,135 | |
CNOOC Ltd. sponsored ADR | 30,300 | 3,428,748 | |
Compania de Petroleos de Chile SA (COPEC) | 677,892 | 4,970,691 | |
Exxaro Resources Ltd. | 126,121 | 1,020,649 | |
Gazprom OAO sponsored ADR (Reg. S) | 2,225,074 | 10,827,210 | |
Grupa Lotos SA | 4,822 | 52,974 | |
Jizhong Energy Resources Co. Ltd. (A Shares) | 587,500 | 320,839 | |
Lukoil PJSC | 66,548 | 4,469,637 | |
Lukoil PJSC sponsored ADR | 390,914 | 26,738,518 | |
MOL Hungarian Oil and Gas PLC Series A (For. Reg.) (b) | 155,885 | 876,866 | |
NOVATEK OAO GDR (Reg. S) | 88,029 | 13,037,095 | |
PetroChina Co. Ltd. (H Shares) | 2,408,000 | 830,973 | |
Petroleo Brasileiro SA - Petrobras (ON) | 1,024,000 | 4,171,886 | |
Polski Koncern Naftowy Orlen SA | 162,719 | 2,237,392 | |
PT Adaro Energy Tbk | 20,148,400 | 1,501,186 | |
PTT Exploration and Production PCL NVDR | 628,555 | 1,799,916 | |
QGEP Participacoes SA | 30,900 | 63,453 | |
Reliance Industries Ltd. | 1,188,671 | 33,761,752 | |
Reliance Industries Ltd. | 63,591 | 1,036,029 | |
Susco Public Co. Ltd. unit | 267,500 | 22,722 | |
Tatneft PAO sponsored ADR | 18,801 | 840,029 | |
133,002,456 | |||
TOTAL ENERGY | 142,658,786 | ||
FINANCIALS - 10.0% | |||
Banks - 6.1% | |||
Absa Group Ltd. | 759,186 | 3,459,752 | |
Agricultural Bank of China Ltd. (H Shares) | 1,301,000 | 434,502 | |
Akbank TAS (b) | 3,328,060 | 2,216,893 | |
Al Rajhi Bank | 184,581 | 3,194,099 | |
Alpha Bank AE (b) | 2,911,071 | 1,926,640 | |
AMMB Holdings Bhd | 69,200 | 48,509 | |
Arab National Bank | 96,441 | 533,833 | |
Axis Bank Ltd. (b) | 1,587,617 | 10,765,580 | |
Banco do Brasil SA | 775,791 | 4,623,451 | |
Banco Santander Chile sponsored ADR | 486,557 | 7,483,247 | |
Bancolombia SA sponsored ADR | 36,356 | 1,020,149 | |
Bangkok Bank PCL NVDR | 106,900 | 366,308 | |
Bank of China Ltd. (H Shares) | 37,867,000 | 12,313,956 | |
BRE Bank SA | 648 | 33,096 | |
Capitec Bank Holdings Ltd. | 137,871 | 6,791,374 | |
China Construction Bank Corp. (H Shares) | 52,886,000 | 37,269,485 | |
China Merchants Bank Co. Ltd. (H Shares) | 2,937,500 | 14,014,681 | |
Chinatrust Financial Holding Co. Ltd. | 5,228,000 | 3,371,927 | |
Commercial International Bank SAE sponsored GDR | 1,115,688 | 4,763,988 | |
Credicorp Ltd. (United States) | 76,590 | 9,993,463 | |
E.SUN Financial Holdings Co. Ltd. | 8,697,340 | 8,051,722 | |
Emirates NBD Bank PJSC | 286,500 | 842,383 | |
Grupo Financiero Banorte S.A.B. de CV Series O (b) | 5,910,467 | 20,438,947 | |
Grupo Financiero Inbursa S.A.B. de CV Series O (b) | 320,573 | 234,548 | |
Habib Bank Ltd. | 309,900 | 251,587 | |
Hana Financial Group, Inc. | 645,870 | 15,337,648 | |
HDFC Bank Ltd. | 1,286,713 | 19,599,335 | |
HDFC Bank Ltd. sponsored ADR | 322,618 | 16,001,853 | |
ICICI Bank Ltd. | 1,290,029 | 6,898,597 | |
ICICI Bank Ltd. sponsored ADR | 2,299,263 | 24,694,085 | |
Industrial & Commercial Bank of China Ltd. (H Shares) | 58,790,000 | 32,767,162 | |
JSC Halyk Bank of Kazakhstan GDR unit | 271,231 | 3,173,403 | |
Kasikornbank PCL (For. Reg.) | 481,900 | 1,306,309 | |
KB Financial Group, Inc. | 315,941 | 9,805,527 | |
Komercni Banka A/S (b) | 78,120 | 1,881,028 | |
Kotak Mahindra Bank Ltd. (b) | 298,111 | 5,702,673 | |
Malayan Banking Bhd | 1,172,025 | 2,062,404 | |
National Bank of Abu Dhabi PJSC (b) | 3,984,913 | 12,432,681 | |
National Bank of Kuwait | 2,167,240 | 6,105,901 | |
Nova Ljubljanska banka d.d. unit (b) | 414,756 | 3,682,421 | |
OTP Bank PLC (b) | 610,486 | 20,571,424 | |
PT Bank Bukopin Tbk (b) | 5,600 | 110 | |
PT Bank Central Asia Tbk | 6,959,700 | 14,994,718 | |
PT Bank Mandiri (Persero) Tbk | 15,309,900 | 6,260,270 | |
PT Bank Negara Indonesia (Persero) Tbk | 4,619,693 | 1,617,884 | |
PT Bank Rakyat Indonesia Tbk | 21,149,900 | 5,097,761 | |
Qatar National Bank SAQ (b) | 513,680 | 2,539,478 | |
Sberbank of Russia | 4,753,515 | 14,521,006 | |
Sberbank of Russia sponsored ADR (b) | 3,992,557 | 48,210,126 | |
Shinhan Financial Group Co. Ltd. | 145,970 | 3,634,250 | |
Sinopac Holdings Co. | 414,000 | 152,180 | |
Standard Bank Group Ltd. | 562,715 | 3,505,174 | |
State Bank of India (b) | 449,498 | 1,300,821 | |
TCS Group Holding PLC GDR | 149,452 | 3,669,047 | |
Thanachart Capital PCL (For. Reg.) | 868,300 | 900,987 | |
TISCO Financial Group PCL | 604,800 | 1,308,649 | |
Turkiye Garanti Bankasi A/S (b) | 2,924,407 | 2,692,956 | |
Turkiye Is Bankasi A/S Series C (b) | 5,487,232 | 3,670,114 | |
United Bank Ltd. | 397,673 | 299,698 | |
Yapi ve Kredi Bankasi A/S (b) | 1,580,932 | 437,174 | |
451,278,974 | |||
Capital Markets - 0.4% | |||
BM&F BOVESPA SA | 1,683,632 | 18,070,195 | |
CITIC Securities Co. Ltd. (H Shares) | 973,500 | 2,335,955 | |
Hong Kong Exchanges and Clearing Ltd. | 79,600 | 4,013,463 | |
Huatai Securities Co. Ltd. (H Shares) (a) | 1,281,400 | 2,246,107 | |
Kiwoom Securities Co. Ltd. | 2,237 | 205,332 | |
Moscow Exchange MICEX-RTS OAO | 1,191,050 | 2,197,266 | |
Noah Holdings Ltd. sponsored ADR (b) | 18,322 | 513,016 | |
XP, Inc. Class A (b) | 53,524 | 2,643,550 | |
32,224,884 | |||
Consumer Finance - 0.1% | |||
Bajaj Finance Ltd. | 20,101 | 957,025 | |
Compartamos S.A.B. de CV | 284,714 | 93,421 | |
Shriram Transport Finance Co. Ltd. | 987,615 | 9,470,152 | |
10,520,598 | |||
Diversified Financial Services - 0.4% | |||
Alexander Forbes Group Holdings Ltd. | 888 | 173 | |
Chailease Holding Co. Ltd. | 511,160 | 2,252,994 | |
FirstRand Ltd. | 5,074,281 | 11,330,229 | |
Haci Omer Sabanci Holding A/S | 879,341 | 925,937 | |
Rec Ltd. | 826,684 | 1,197,880 | |
Yuanta Financial Holding Co. Ltd. | 15,936,960 | 9,980,602 | |
25,687,815 | |||
Insurance - 2.6% | |||
AIA Group Ltd. | 5,937,984 | 60,833,204 | |
BB Seguridade Participacoes SA | 1,201,222 | 5,784,108 | |
Cathay Financial Holding Co. Ltd. | 767,738 | 1,041,297 | |
China Life Insurance Co. Ltd. | 299,000 | 209,130 | |
China Life Insurance Co. Ltd. (H Shares) | 7,645,000 | 18,623,463 | |
China Pacific Insurance (Group) Co. Ltd. (H Shares) | 858,600 | 2,381,822 | |
FPC Par Corretora de Seguros | 17,800 | 34,733 | |
Fubon Financial Holding Co. Ltd. | 2,512,000 | 3,659,290 | |
HDFC Standard Life Insurance Co. Ltd. (a)(b) | 43,357 | 340,196 | |
Hyundai Fire & Marine Insurance Co. Ltd. | 195,081 | 3,630,545 | |
ICICI Lombard General Insurance Co. Ltd. (a) | 21,044 | 361,005 | |
IRB Brasil Resseguros SA | 509,300 | 662,829 | |
Liberty Holdings Ltd. | 435,512 | 1,554,625 | |
MMI Holdings Ltd. | 1,647,333 | 1,473,258 | |
Old Mutual Ltd. | 354,664 | 234,124 | |
Ping An Insurance Group Co. of China Ltd. (H Shares) | 5,695,500 | 60,807,464 | |
Porto Seguro SA | 510,821 | 4,928,721 | |
Powszechny Zaklad Ubezpieczen SA | 261,933 | 1,932,368 | |
Qualitas Controladora S.A.B. de CV | 96,305 | 378,671 | |
Samsung Fire & Marine Insurance Co. Ltd. | 51,329 | 8,082,933 | |
Sanlam Ltd. | 2,753,264 | 8,929,988 | |
Sul America SA unit | 385,302 | 3,036,842 | |
188,920,616 | |||
Thrifts & Mortgage Finance - 0.4% | |||
Housing Development Finance Corp. Ltd. | 980,295 | 24,523,266 | |
LIC Housing Finance Ltd. | 1,548,355 | 6,368,300 | |
30,891,566 | |||
TOTAL FINANCIALS | 739,524,453 | ||
HEALTH CARE - 1.7% | |||
Biotechnology - 0.1% | |||
Akeso, Inc. (a) | 73,000 | 277,632 | |
Celltrion, Inc. (b) | 7,973 | 1,994,081 | |
Hualan Biological Engineer, Inc. (A Shares) | 423,210 | 3,559,476 | |
Innovent Biologics, Inc. (a)(b) | 606,000 | 4,026,265 | |
9,857,454 | |||
Health Care Equipment & Supplies - 0.3% | |||
Hartalega Holdings Bhd | 365,000 | 1,447,557 | |
Kossan Rubber Industries Bhd | 240,900 | 924,158 | |
Peijia Medical Ltd. (a)(b) | 190,000 | 631,809 | |
Shenzhen Mindray Bio-Medical Electronics Co. Ltd. (A Shares) | 226,600 | 11,330,910 | |
Top Glove Corp. Bhd | 791,500 | 4,993,547 | |
19,327,981 | |||
Health Care Providers & Services - 0.2% | |||
Aier Eye Hospital Group Co. Ltd. (A Shares) | 89,610 | 680,013 | |
Hapvida Participacoes e Investimentos SA (a) | 573,500 | 6,776,062 | |
Qualicorp Consultoria E Corret | 322,932 | 1,841,452 | |
Selcuk Ecza Deposu Tic A/S | 230,594 | 250,980 | |
Shanghai Pharmaceuticals Holding Co. Ltd. (H Shares) | 666,100 | 1,185,353 | |
10,733,860 | |||
Life Sciences Tools & Services - 0.4% | |||
Divi's Laboratories Ltd. | 15,346 | 654,174 | |
Hangzhou Tigermed Consulting Co. Ltd. (H Shares) (a)(b) | 366,600 | 5,966,609 | |
Pharmaron Beijing Co. Ltd. (H Shares) (a) | 161,200 | 2,137,252 | |
WuXi AppTec Co. Ltd. | 56,471 | 906,297 | |
WuXi AppTec Co. Ltd. (H Shares) (a) | 679,664 | 10,047,548 | |
Wuxi Biologics (Cayman), Inc. (a)(b) | 386,500 | 10,006,491 | |
29,718,371 | |||
Pharmaceuticals - 0.7% | |||
Ajanta Pharma Ltd. | 5,697 | 115,454 | |
Alembic Pharmaceuticals Ltd. (b) | 4,278 | 55,016 | |
Alkem Laboratories Ltd. | 5,022 | 186,651 | |
Aspen Pharmacare Holdings Ltd. (b) | 12,506 | 100,240 | |
Aurobindo Pharma Ltd. | 305,714 | 3,375,701 | |
Cadila Healthcare Ltd. | 193,485 | 980,545 | |
Cipla Ltd. | 124,675 | 1,214,388 | |
CSPC Pharmaceutical Group Ltd. | 1,641,600 | 3,626,983 | |
Dong-A St. Co. Ltd. | 519 | 41,345 | |
DongKook Pharmaceutical Co. Ltd. (d) | 663 | 84,361 | |
Dr. Reddy's Laboratories Ltd. | 112,917 | 6,566,178 | |
Hansoh Pharmaceutical Group Co. Ltd. (a)(b) | 1,150,000 | 5,436,379 | |
Jiangsu Hengrui Medicine Co. Ltd. (A Shares) | 296,276 | 4,104,243 | |
Marksans Pharma Ltd. | 125,683 | 78,234 | |
Richter Gedeon PLC | 502,593 | 12,263,256 | |
Sino Biopharmaceutical Ltd. | 8,953,500 | 10,303,511 | |
Torrent Pharmaceuticals Ltd. | 14,536 | 528,131 | |
Yunnan Baiyao Group Co. Ltd. (A Shares) | 185,100 | 3,127,411 | |
52,188,027 | |||
TOTAL HEALTH CARE | 121,825,693 | ||
INDUSTRIALS - 2.0% | |||
Aerospace & Defense - 0.1% | |||
Elbit Systems Ltd. (Israel) | 39,500 | 5,334,257 | |
Air Freight & Logistics - 0.0% | |||
SF Holding Co. Ltd. (A Shares) | 224,000 | 2,783,462 | |
Airlines - 0.0% | |||
Azul SA sponsored ADR (b)(c) | 32,566 | 395,677 | |
Commercial Services & Supplies - 0.0% | |||
Country Garden Services Holdings Co. Ltd. | 319,502 | 2,226,012 | |
Frontken Corp. BHD | 248,800 | 226,969 | |
2,452,981 | |||
Construction & Engineering - 0.2% | |||
China Communications Construction Co. Ltd. (H Shares) | 2,213,000 | 1,240,473 | |
China Communications Services Corp. Ltd. (H Shares) | 1,926,000 | 1,261,662 | |
China National Chemical Engineering Co. Ltd. (A Shares) | 3,939,592 | 3,370,983 | |
China Railway Construction Corp. Ltd. (H Shares) | 1,635,000 | 1,254,967 | |
Daelim Industrial Co. | 21,728 | 1,590,025 | |
Larsen & Toubro Ltd. | 430,718 | 5,555,916 | |
Orascom Construction PLC (b) | 1,460 | 6,909 | |
Sinopec Engineering Group Co. Ltd. (H Shares) | 618,500 | 274,002 | |
Tekfen Holding A/S | 384,729 | 777,214 | |
15,332,151 | |||
Electrical Equipment - 0.1% | |||
DONGYANG E&P, Inc. | 21,665 | 262,716 | |
Weg SA | 288,747 | 3,405,828 | |
3,668,544 | |||
Industrial Conglomerates - 0.2% | |||
Astra Industrial Group (b) | 30,578 | 176,271 | |
Cheil Industries, Inc. | 19,452 | 1,769,101 | |
CITIC Pacific Ltd. | 843,000 | 768,594 | |
CJ Corp. | 2,147 | 146,447 | |
Fosun International Ltd. | 1,508,000 | 1,678,384 | |
Hanwha Corp. | 46,517 | 1,077,231 | |
Hong Leong Industries Bhd | 3,000 | 5,531 | |
Koc Holding A/S | 1,393,102 | 2,827,574 | |
LG Corp. | 41,364 | 2,880,664�� | |
Mannai Corp. (b) | 86,440 | 72,077 | |
SM Investments Corp. | 359,500 | 6,303,115 | |
17,704,989 | |||
Machinery - 0.8% | |||
Airtac International Group | 310,000 | 6,868,725 | |
Estun Automation Co. Ltd. (A Shares) (b) | 849,700 | 2,336,273 | |
HIWIN Technologies Corp. | 365,318 | 4,003,689 | |
Sany Heavy Industry Co. Ltd. (A Shares) | 4,465,859 | 14,437,445 | |
Shenzhen Inovance Technology Co. Ltd. (A Shares) | 1,370,800 | 11,169,044 | |
Sinotruk Hong Kong Ltd. | 1,614,983 | 4,191,437 | |
Techtronic Industries Co. Ltd. | 173,000 | 2,190,897 | |
Tian Di Science & Technology Co. Ltd. (A Shares) | 333,700 | 159,335 | |
Weichai Power Co. Ltd.: | |||
(A Shares) | 652,800 | 1,412,655 | |
(H Shares) | 5,536,000 | 11,112,421 | |
XCMG Construction Machinery Co. Ltd. (A Shares) | 1,398,600 | 1,268,215 | |
Zoomlion Heavy Industry Science and Technology Co. Ltd. (H Shares) | 610,600 | 610,708 | |
59,760,844 | |||
Marine - 0.0% | |||
Qatar Navigation QPSC (b) | 6,188 | 10,146 | |
Professional Services - 0.1% | |||
51job, Inc. sponsored ADR (b) | 20,640 | 1,352,746 | |
Centre Testing International Group Co. Ltd. (A Shares) | 787,843 | 3,147,484 | |
Sporton International, Inc. | 327,000 | 3,005,003 | |
7,505,233 | |||
Road & Rail - 0.2% | |||
Globaltrans Investment PLC GDR (Reg. S) | 49,724 | 309,781 | |
Localiza Rent A Car SA | 256,365 | 2,256,910 | |
Rumo SA (b) | 1,849,200 | 7,628,351 | |
United International Transportation Co. | 417,708 | 3,792,334 | |
13,987,376 | |||
Trading Companies & Distributors - 0.0% | |||
Al Hassan Ghazi Ibrahim Shaker Co. (b) | 13,536 | 47,641 | |
CCS Supply Chain Management Co. Ltd. A Shares | 88,072 | 86,420 | |
134,061 | |||
Transportation Infrastructure - 0.3% | |||
Airports of Thailand PCL (For. Reg.) | 2,919,700 | 5,260,721 | |
Grupo Aeroportuario del Sureste S.A.B. de CV Series B sponsored ADR (b) | 24,243 | 2,750,611 | |
Grupo Aeroportuario Norte S.A.B. de CV (b) | 545,600 | 2,492,376 | |
Shanghai International Airport Co. Ltd. (A Shares) | 813,442 | 9,074,604 | |
Zhejiang Expressway Co. Ltd. (H Shares) | 1,226,000 | 826,522 | |
20,404,834 | |||
TOTAL INDUSTRIALS | 149,474,555 | ||
INFORMATION TECHNOLOGY - 10.9% | |||
Communications Equipment - 0.1% | |||
Accton Technology Corp. | 670,000 | 5,336,102 | |
Electronic Equipment & Components - 1.6% | |||
AVIC Jonhon OptronicTechnology Co. Ltd. | 314,929 | 2,221,097 | |
Chaozhou Three-Circle Group Co. (A Shares) | 277,300 | 1,132,936 | |
China Railway Signal & Communications Corp. (H Shares) (a) | 1,010,000 | 408,709 | |
Compeq Manufacturing Co. Ltd. | 531,000 | 788,882 | |
Coretronic Corp. | 106,400 | 126,930 | |
Delta Electronics, Inc. | 1,374,000 | 8,838,569 | |
FLEXium Interconnect, Inc. | 337,000 | 1,445,220 | |
Foxconn Technology Co. Ltd. | 31,000 | 55,076 | |
General Interface Solution Holding Ltd. | 45,000 | 199,108 | |
Hangzhou Hikvision Digital Technology Co. Ltd. (A Shares) | 1,066,903 | 5,829,569 | |
Hollysys Automation Technologies Ltd. | 22,938 | 248,419 | |
Hon Hai Precision Industry Co. Ltd. (Foxconn) | 11,423,626 | 29,899,487 | |
INTOPS Co. Ltd. | 30,521 | 393,237 | |
Largan Precision Co. Ltd. | 208,000 | 23,963,786 | |
LG Display Co. Ltd. (b) | 57,396 | 704,125 | |
LG Innotek Co. Ltd. | 38,037 | 4,644,498 | |
Pinnacle Technology Holdings Ltd. | 11,198 | 3,739 | |
Redington India Ltd. | 26,941 | 39,645 | |
Samsung Electro-Mechanics Co. Ltd. | 9,200 | 964,543 | |
Samsung SDI Co. Ltd. | 40,940 | 15,600,229 | |
Simplo Technology Co. Ltd. | 31,000 | 353,460 | |
Sirtec International Co. Ltd. | 5,000 | 4,544 | |
Sunny Optical Technology Group Co. Ltd. | 686,600 | 10,158,316 | |
Synnex Technology International Corp. | 132,000 | 196,331 | |
Unimicron Technology Corp. | 1,063,000 | 2,662,837 | |
Yageo Corp. | 139,600 | 1,582,206 | |
Zhen Ding Technology Holding Ltd. | 1,041,000 | 4,358,020 | |
116,823,518 | |||
IT Services - 0.9% | |||
Dongbu Co. Ltd. (b) | 66,875 | 39,928 | |
HCL Technologies Ltd. | 568,707 | 5,390,786 | |
Hexaware Technologies Ltd. | 405,665 | 2,195,104 | |
Infosys Ltd. | 1,018,464 | 12,891,280 | |
Infosys Ltd. sponsored ADR | 1,898,354 | 23,919,260 | |
Mphasis BFL Ltd. | 69,476 | 1,046,647 | |
Network International Holdings PLC (a) | 400,737 | 2,005,605 | |
PagSeguro Digital Ltd. (b) | 113,505 | 4,783,101 | |
QIWI PLC Class B sponsored ADR | 16,212 | 291,330 | |
StoneCo Ltd. Class A (b) | 77,302 | 3,942,402 | |
Tata Consultancy Services Ltd. | 194,168 | 5,982,892 | |
Wipro Ltd. | 820,682 | 3,042,559 | |
WNS Holdings Ltd. sponsored ADR (b) | 36,324 | 2,410,097 | |
67,940,991 | |||
Semiconductors & Semiconductor Equipment - 5.6% | |||
ASE Technology Holding Co. Ltd. | 1,535,000 | 3,181,457 | |
Dongbu HiTek Co. Ltd. | 29,703 | 889,210 | |
Elan Microelectronics Corp. | 69,000 | 333,481 | |
Everlight Electronics Co. Ltd. | 73,000 | 85,843 | |
King Yuan Electronics Co. Ltd. | 1,010,000 | 1,072,530 | |
Kinsus Interconnect Technology Corp. | 252,000 | 547,211 | |
Malaysian Pacific Industries BHD | 12,286 | 46,307 | |
MediaTek, Inc. | 1,809,900 | 34,250,175 | |
Novatek Microelectronics Corp. | 12,000 | 98,023 | |
Phison Electronics Corp. | 184,000 | 1,734,727 | |
Powertech Technology, Inc. | 671,000 | 1,973,194 | |
Radiant Opto-Electronics Corp. | 250,000 | 918,961 | |
Realtek Semiconductor Corp. | 575,000 | 7,436,779 | |
Semiconductor Manufacturing International Corp. (b) | 228,500 | 721,834 | |
Silicon Motion Technology Corp. sponsored ADR | 8,585 | 325,457 | |
SK Hynix, Inc. | 1,080,921 | 68,359,432 | |
Sonix Technology Co. Ltd. | 222,000 | 406,508 | |
Taiwan Semiconductor Manufacturing Co. Ltd. | 15,651,900 | 227,821,019 | |
Taiwan Semiconductor Manufacturing Co. Ltd. sponsored ADR | 619,857 | 49,123,667 | |
Topco Scientific Co. Ltd. | 106,000 | 432,933 | |
United Microelectronics Corp. | 8,730,000 | 6,278,415 | |
United Microelectronics Corp. sponsored ADR | 335,891 | 1,189,054 | |
Vanguard International Semiconductor Corp. | 781,000 | 2,485,399 | |
Win Semiconductors Corp. | 142,000 | 1,382,254 | |
411,093,870 | |||
Software - 0.1% | |||
Asseco Poland SA | 16,805 | 323,972 | |
Globant SA (b) | 26,322 | 4,674,261 | |
Kingsoft Corp. Ltd. | 220,000 | 1,175,715 | |
Mix Telematics Ltd. sponsored ADR | 5,794 | 57,766 | |
Nucleus Software Exports Ltd. (b) | 31,536 | 210,659 | |
Totvs SA | 401,900 | 2,117,155 | |
8,559,528 | |||
Technology Hardware, Storage & Peripherals - 2.6% | |||
Acer, Inc. | 427,000 | 339,350 | |
ASROCK, Inc. | 94,000 | 636,670 | |
ASUSTeK Computer, Inc. | 98,000 | 810,524 | |
Avalue Technology, Inc. | 24,000 | 46,561 | |
Catcher Technology Co. Ltd. | 226,000 | 1,542,255 | |
Chicony Electronics Co. Ltd. | 92,000 | 277,118 | |
Compal Electronics, Inc. | 392,000 | 246,826 | |
Inventec Corp. | 70,000 | 54,202 | |
Lenovo Group Ltd. | 6,000,000 | 4,000,292 | |
Lite-On Technology Corp. | 1,618,000 | 2,555,230 | |
Pegatron Corp. | 2,433,000 | 5,175,539 | |
Quanta Computer, Inc. | 242,000 | 634,219 | |
Samsung Electronics Co. Ltd. | 3,846,402 | 174,909,333 | |
Wistron Corp. | 377,000 | 409,322 | |
Xiaomi Corp. Class B (a)(b) | 608,400 | 1,884,094 | |
193,521,535 | |||
TOTAL INFORMATION TECHNOLOGY | 803,275,544 | ||
MATERIALS - 2.9% | |||
Chemicals - 0.5% | |||
China Sanjiang Fine Chemicals Ltd. | 424,000 | 115,044 | |
LG Chemical Ltd. | 49,038 | 30,558,288 | |
PhosAgro OJSC GDR (Reg. S) | 49,090 | 585,153 | |
Sinofert Holdings Ltd. | 2,270,000 | 213,503 | |
Sociedad Quimica y Minera de Chile SA (PN-B) sponsored ADR (c) | 147,320 | 4,619,955 | |
Solar Industries India Ltd. (b) | 139,800 | 2,142,519 | |
Taekwang Industrial Co. Ltd. | 168 | 93,372 | |
38,327,834 | |||
Construction Materials - 0.4% | |||
Anhui Conch Cement Co. Ltd.: | |||
(A Shares) | 192,400 | 1,711,202 | |
(H Shares) | 2,551,500 | 18,471,433 | |
Asia Cement (China) Holdings Corp. | 259,584 | 262,856 | |
CEMEX S.A.B. de CV sponsored ADR | 1,132,200 | 3,634,362 | |
China National Building Materials Co. Ltd. (H Shares) | 3,108,442 | 4,362,958 | |
China Resources Cement Holdings Ltd. | 378,165 | 550,723 | |
Eastern Province Cement Co. | 6,657 | 62,213 | |
Grupo Cementos de Chihuahua S.A.B. de CV | 18,990 | 86,367 | |
JK Cement Ltd. | 150,100 | 3,052,138 | |
West China Cement Ltd. | 346,000 | 60,622 | |
32,254,874 | |||
Containers & Packaging - 0.0% | |||
Bio Pappel S.A.B. de CV (b) | 24,738 | 18,224 | |
Klabin SA unit | 357,294 | 1,676,089 | |
1,694,313 | |||
Metals & Mining - 1.8% | |||
African Rainbow Minerals Ltd. | 32,510 | 408,215 | |
Alrosa Co. Ltd. | 3,440,260 | 3,049,081 | |
Anglo American Platinum Ltd. | 37,024 | 2,761,131 | |
AngloGold Ashanti Ltd. | 418,243 | 12,400,644 | |
AngloGold Ashanti Ltd. sponsored ADR | 68,828 | 2,031,114 | |
Ann Joo Resources Bhd (b) | 500 | 82 | |
Baoshan Iron & Steel Co. Ltd. (A Shares) | 775,400 | 559,320 | |
Eregli Demir ve Celik Fabrikalari T.A.S. | 87,253 | 103,643 | |
Gold Fields Ltd. sponsored ADR | 474,832 | 6,187,061 | |
Grupo Mexico SA de CV Series B | 863,502 | 2,304,566 | |
Harmony Gold Mining Co. Ltd. (b) | 212,883 | 1,378,917 | |
Hindalco Industries Ltd. | 1,183,314 | 2,992,348 | |
Impala Platinum Holdings Ltd. | 1,812,881 | 16,723,262 | |
KGHM Polska Miedz SA (Bearer) (b) | 81,849 | 3,041,363 | |
KISCO Corp. | 6,262 | 23,229 | |
Korea Zinc Co. Ltd. | 21,896 | 7,347,806 | |
Koza Altin Isletmeleri A/S (b) | 46,740 | 494,714 | |
Kumba Iron Ore Ltd. | 93,581 | 2,931,436 | |
Magnitogorsk Iron & Steel Works PJSC sponsored GDR (Reg. S) | 37,183 | 252,844 | |
MMC Norilsk Nickel PJSC sponsored ADR | 528,829 | 13,775,995 | |
Nanjing Iron & Steel Co. Ltd. | 400,200 | 186,997 | |
Novolipetsk Steel OJSC GDR (Reg. S) | 15,676 | 328,569 | |
Polyus PJSC | 11,353 | 2,757,611 | |
Polyus PJSC: | |||
unit | 16,183 | 1,992,127 | |
rights (b) | 207 | 0 | |
POSCO | 56,793 | 8,794,260 | |
POSCO sponsored ADR | 35,770 | 1,382,153 | |
Shanxi Taigang Stainless Steel Co. Ltd. (A Shares) | 784,304 | 419,154 | |
Sheng Yu Steel Co. Ltd. | 30,418 | 18,687 | |
Sibanye Stillwater Ltd. | 1,850,154 | 5,663,538 | |
Southern Copper Corp. | 85,361 | 4,105,864 | |
Ternium SA sponsored ADR | 417,013 | 7,456,192 | |
Vale SA | 522,900 | 5,696,207 | |
Vale SA sponsored ADR | 1,252,697 | 13,779,667 | |
Welspun Gujarat Stahl Rohren Ltd. | 104,085 | 152,810 | |
Xinyu Iron & Steel Co. Ltd. | 1,705,147 | 1,070,627 | |
132,571,234 | |||
Paper & Forest Products - 0.2% | |||
Duratex SA | 527,579 | 1,532,131 | |
Middle East Paper Co. (b) | 62,895 | 285,761 | |
Suzano Papel e Celulose SA (b) | 1,177,800 | 10,792,290 | |
12,610,182 | |||
TOTAL MATERIALS | 217,458,437 | ||
REAL ESTATE - 0.9% | |||
Equity Real Estate Investment Trusts (REITs) - 0.1% | |||
Concentradora Fibra Danhos SA de CV | 12,699 | 11,949 | |
Emlak Konut Gayrimenkul Yatirim Ortakligi A/S | 1,823,995 | 437,302 | |
Link (REIT) | 208,900 | 1,661,852 | |
Macquarie Mexican (REIT) (a) | 9,672 | 11,240 | |
2,122,343 | |||
Real Estate Management & Development - 0.8% | |||
Agile Property Holdings Ltd. | 3,329,238 | 4,589,762 | |
Ayala Land, Inc. | 7,940,600 | 4,717,188 | |
BR Malls Participacoes SA | 12,481 | 21,141 | |
Central China Real Estate Ltd. | 137,925 | 60,254 | |
China Overseas Grand Oceans Group Ltd. | 656,000 | 426,679 | |
China Overseas Land and Investment Ltd. | 1,921,000 | 5,556,477 | |
China Resources Land Ltd. | 558,000 | 2,577,743 | |
China Vanke Co. Ltd. (H Shares) | 476,800 | 1,480,058 | |
Country Garden Holdings Co. Ltd. | 6,757,635 | 8,367,046 | |
Emaar Properties PJSC (b) | 5,818,468 | 4,562,076 | |
Gemdale Properties and Investment Corp. Ltd. | 628,000 | 111,631 | |
Greenland Holdings Corp. Ltd. (A Shares) | 5,280,363 | 5,898,382 | |
Greenland Hong Kong Holdings Ltd. | 133,366 | 44,311 | |
Hang Lung Properties Ltd. | 894,000 | 2,519,148 | |
Hopson Development Holdings Ltd. | 24,545 | 49,125 | |
K Wah International Holdings Ltd. | 409,123 | 194,055 | |
KSL Holdings Bhd (b) | 105,100 | 14,256 | |
KWG Property Holding Ltd. | 980,500 | 1,860,771 | |
Logan Property Holdings Co. Ltd. | 415,692 | 773,186 | |
Longfor Properties Co. Ltd. (a) | 708,548 | 3,748,586 | |
Poly Property Group Co. Ltd. | 532,686 | 167,499 | |
Powerlong Real Estate Holding Ltd. | 378,417 | 273,507 | |
PT Puradelta Lestari TBK | 2,392,500 | 37,130 | |
Risesun Real Estate Development Co. Ltd. (A Shares) | 3,065,444 | 3,688,318 | |
Road King Infrastructure Ltd. | 106,966 | 142,011 | |
Shanghai Shimao Co. Ltd. (A Shares) | 1,476,815 | 1,418,926 | |
Shimao Property Holdings Ltd. | 737,278 | 3,313,497 | |
Shui On Land Ltd. | 360,500 | 49,259 | |
Sun Hung Kai Properties Ltd. | 144,500 | 1,938,687 | |
Sunac China Holdings Ltd. | 479,000 | 2,010,752 | |
United Development Co. (b) | 229,244 | 78,136 | |
Yango Group Co. Ltd. (A Shares) | 146,038 | 150,336 | |
60,839,933 | |||
TOTAL REAL ESTATE | 62,962,276 | ||
UTILITIES - 0.3% | |||
Electric Utilities - 0.1% | |||
Cheung Kong Infrastructure Holdings Ltd. | 205,500 | 1,086,133 | |
EDP Energias do Brasil SA | 693,537 | 2,366,014 | |
Equatorial Energia SA | 791,624 | 3,352,318 | |
Polska Grupa Energetyczna SA (b) | 195,906 | 321,182 | |
Tenaga Nasional Bhd | 903,830 | 2,356,402 | |
9,482,049 | |||
Gas Utilities - 0.2% | |||
China Gas Holdings Ltd. | 1,829,200 | 5,007,768 | |
China Resource Gas Group Ltd. | 338,000 | 1,585,455 | |
Daesung Energy Co. Ltd. | 20,047 | 84,746 | |
ENN Energy Holdings Ltd. | 472,300 | 5,233,069 | |
Gujarat State Petronet Ltd. | 7,065 | 19,631 | |
PT Perusahaan Gas Negara Tbk Series B | 94,100 | 8,110 | |
11,938,779 | |||
Independent Power and Renewable Electricity Producers - 0.0% | |||
AES Gener SA | 308,602 | 50,207 | |
Benpres Holdings Corp. (b) | 124,600 | 6,066 | |
Colbun SA | 576,000 | 88,901 | |
Huadian Power International Corp. Ltd. (H Shares) | 1,384,000 | 387,198 | |
532,372 | |||
Water Utilities - 0.0% | |||
SIIC Environment Holdings Ltd. | 249,000 | 36,279 | |
TOTAL UTILITIES | 21,989,479 | ||
TOTAL COMMON STOCKS | |||
(Cost $3,136,748,963) | 4,042,861,068 | ||
Nonconvertible Preferred Stocks - 1.4% | |||
COMMUNICATION SERVICES - 0.1% | |||
Diversified Telecommunication Services - 0.1% | |||
Telefonica Brasil SA | 139,340 | 1,216,761 | |
Telefonica Brasil SA sponsored ADR | 272,100 | 2,375,433 | |
3,592,194 | |||
CONSUMER DISCRETIONARY - 0.1% | |||
Automobiles - 0.0% | |||
Hyundai Motor Co. | 22,182 | 1,625,117 | |
Multiline Retail - 0.1% | |||
Lojas Americanas SA (PN) | 837,260 | 4,931,711 | |
TOTAL CONSUMER DISCRETIONARY | 6,556,828 | ||
ENERGY - 0.2% | |||
Oil, Gas & Consumable Fuels - 0.2% | |||
Petroleo Brasileiro SA - Petrobras: | |||
(PN) sponsored ADR (non-vtg.) (c) | 197,200 | 1,579,572 | |
sponsored ADR | 1,356,204 | 11,080,187 | |
12,659,759 | |||
FINANCIALS - 0.6% | |||
Banks - 0.6% | |||
Banco Bradesco SA (PN) | 1,038,331 | 3,930,818 | |
Banco do Estado Rio Grande do Sul SA | 4,800 | 11,495 | |
Itau Unibanco Holding SA | 5,703,036 | 24,515,195 | |
Itau Unibanco Holding SA sponsored ADR | 1,800,098 | 7,668,417 | |
Itausa-Investimentos Itau SA (PN) | 5,735,038 | 9,871,572 | |
Sberbank of Russia | 58,536 | 170,355 | |
Sberbank of Russia | 133,904 | 389,550 | |
46,557,402 | |||
INDUSTRIALS - 0.1% | |||
Airlines - 0.1% | |||
Azul SA (b) | 1,274,200 | 5,165,644 | |
INFORMATION TECHNOLOGY - 0.3% | |||
Technology Hardware, Storage & Peripherals - 0.3% | |||
Samsung Electronics Co. Ltd. | 609,850 | 24,393,897 | |
MATERIALS - 0.0% | |||
Chemicals - 0.0% | |||
LG Chemical Ltd. | 9,499 | 2,999,672 | |
UTILITIES - 0.0% | |||
Electric Utilities - 0.0% | |||
Companhia de Transmissao de Energia Eletrica Paulista (PN) | 147,836 | 578,283 | |
Companhia Paranaense de Energia-Copel (PN-B) | 116,800 | 1,317,131 | |
1,895,414 | |||
Water Utilities - 0.0% | |||
Cia de Saneamento do Parana | 327,210 | 315,952 | |
TOTAL UTILITIES | 2,211,366 | ||
TOTAL NONCONVERTIBLE PREFERRED STOCKS | |||
(Cost $121,241,528) | 104,136,762 | ||
Equity Funds - 40.6% | |||
Diversified Emerging Markets Funds - 40.6% | |||
Aberdeen Emerging Markets Fund Institutional Service Class | 9,275,669 | 152,955,786 | |
Brandes Emerging Markets Value Fund Class A | 16,606,658 | 120,896,467 | |
Fidelity Emerging Markets Fund (e) | 13,755,826 | 549,820,362 | |
Fidelity SAI Emerging Markets Index Fund (e) | 54,379,032 | 781,970,482 | |
Fidelity SAI Emerging Markets Low Volatility Index Fund (e) | 42,377,117 | 399,616,212 | |
Fidelity SAI Emerging Markets Value Index Fund (e) | 17,231,252 | 201,088,705 | |
GMO Emerging Markets Fund - Class III | 1,924,381 | 62,119,005 | |
Goldman Sachs Emerging Markets Equity Fund Institutional Shares | 8,966,097 | 224,242,077 | |
Invesco Oppenheimer Developing Markets Fund Class R6 | 4,054,942 | 186,730,058 | |
Invesco Oppenheimer Emerging Markets Innovators Fund Class R6 (b) | 4,679,444 | 55,732,183 | |
iShares MSCI China ETF | 1,959,010 | 148,199,107 | |
iShares MSCI EM ESG Optimized ETF (c) | 209,609 | 7,539,636 | |
iShares MSCI South Korea Index ETF | 373,835 | 23,577,773 | |
Lazard Emerging Markets Equity Portfolio Open Shares | 2,147,890 | 32,970,118 | |
Matthews Korea Fund Investor Class | 6,983,487 | 32,962,061 | |
Matthews Pacific Tiger Fund Investor Class | 128 | 3,991 | |
Xtrackers Harvest CSI 300 China ETF Class A(c) | 541,469 | 19,135,514 | |
TOTAL EQUITY FUNDS | |||
(Cost $2,476,909,031) | 2,999,559,537 | ||
Other - 0.1% | |||
Commodity Funds - Broad Basket - 0.1% | |||
Fidelity SAI Inflation-Focused Fund (e) | |||
(Cost $6,500,000) | 831,202 | 8,320,332 | |
U.S. Treasury Obligations - 0.2% | |||
U.S. Treasury Bills, yield at date of purchase 0.1% to 0.16% 9/3/20 to 11/27/20 (f) | |||
(Cost $14,897,261) | 14,900,000 | 14,897,109 | |
Money Market Funds - 3.5% | |||
Fidelity Cash Central Fund 0.12% (g) | 5,971,240 | 5,972,434 | |
Fidelity Securities Lending Cash Central Fund 0.11% (g)(h) | 37,821,312 | 37,825,094 | |
State Street Institutional U.S. Government Money Market Fund Premier Class .04% (i) | 212,061,288 | 212,061,288 | |
TOTAL MONEY MARKET FUNDS | |||
(Cost $255,859,006) | 255,858,816 | ||
TOTAL INVESTMENT IN SECURITIES - 100.6% | |||
(Cost $6,012,155,789) | 7,425,633,624 | ||
NET OTHER ASSETS (LIABILITIES) - (0.6)% | (44,221,430) | ||
NET ASSETS - 100% | $7,381,412,194 |
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) | 2,572 | Sept. 2020 | $141,511,440 | $9,481,064 | $9,481,064 |
The notional amount of futures purchased as a percentage of Net Assets is 1.9%
Security Type Abbreviations
ETF – Exchange-Traded Fund
Legend
(a) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $61,685,564 or 0.8% 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 $13,918,126.
(g) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
(h) Investment made with cash collateral received from securities on loan.
(i) The rate quoted is the annualized seven-day yield of the fund at period end.
Affiliated Central Funds
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 | $4,020 |
Fidelity Securities Lending Cash Central Fund | 739,358 |
Total | $743,378 |
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 | $398,711,045 | $55,000,000 | $-- | $-- | $-- | $96,109,317 | $549,820,362 |
Fidelity SAI Emerging Markets Index Fund | -- | 899,691,216 | 291,000,000 | -- | 23,012,759 | 150,266,507 | 781,970,482 |
Fidelity SAI Emerging Markets Low Volatility Index Fund | 232,700,499 | 149,000,000 | -- | -- | -- | 17,915,713 | 399,616,212 |
Fidelity SAI Emerging Markets Value Index Fund | -- | 196,000,000 | -- | -- | -- | 5,088,705 | 201,088,705 |
Fidelity SAI Inflation-Focused Fund | -- | 6,500,000 | -- | -- | -- | 1,820,332 | 8,320,332 |
Total | $631,411,544 | $1,306,191,216 | $291,000,000 | $-- | $23,012,759 | $271,200,574 | $1,940,816,093 |
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 August 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 | $580,976,838 | $236,303,239 | $344,673,599 | $-- |
Consumer Discretionary | 883,109,743 | 697,256,112 | 185,824,948 | 28,683 |
Consumer Staples | 329,754,286 | 234,183,748 | 95,570,538 | -- |
Energy | 155,318,545 | 125,173,682 | 30,139,070 | 5,793 |
Financials | 786,081,855 | 496,920,941 | 289,160,914 | -- |
Health Care | 121,825,693 | 61,529,322 | 60,212,010 | 84,361 |
Industrials | 154,640,199 | 127,004,120 | 27,636,079 | -- |
Information Technology | 827,669,441 | 555,401,626 | 272,267,815 | -- |
Materials | 220,458,109 | 168,183,611 | 52,274,498 | -- |
Real Estate | 62,962,276 | 21,046,380 | 41,915,896 | -- |
Utilities | 24,200,845 | 10,864,943 | 13,335,902 | -- |
Equity Funds | 2,999,559,537 | 2,999,559,537 | -- | -- |
Other | 8,320,332 | 8,320,332 | -- | -- |
Other Short-Term Investments | 14,897,109 | -- | 14,897,109 | -- |
Money Market Funds | 255,858,816 | 255,858,816 | -- | -- |
Total Investments in Securities: | $7,425,633,624 | $5,997,606,409 | $1,427,908,378 | $118,837 |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $9,481,064 | $9,481,064 | $-- | $-- |
Total Assets | $9,481,064 | $9,481,064 | $-- | $-- |
Total Derivative Instruments: | $9,481,064 | $9,481,064 | $-- | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of August 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) | $9,481,064 | $0 |
Total Equity Risk | 9,481,064 | 0 |
Total Value of Derivatives | $9,481,064 | $0 |
(a) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).
Other Information
Distribution of the direct investments by country of issue, as a percentage of Total Net Assets, is as follows (Unaudited):
United States of America | 44.4% |
Cayman Islands | 15.5% |
China | 7.0% |
Korea (South) | 6.7% |
Taiwan | 6.7% |
India | 3.6% |
Brazil | 3.6% |
Hong Kong | 2.3% |
Russia | 2.0% |
South Africa | 1.9% |
Others (Individually Less Than 1%) | 6.3% |
100.0% |
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
August 31, 2020 (Unaudited) | ||
Assets | ||
Investment in securities, at value (including securities loaned of $36,322,798) — See accompanying schedule: Unaffiliated issuers (cost $4,375,755,524) | $5,441,020,003 | |
Fidelity Central Funds (cost $43,797,718) | 43,797,528 | |
Other affiliated issuers (cost $1,592,602,547) | 1,940,816,093 | |
Total Investment in Securities (cost $6,012,155,789) | $7,425,633,624 | |
Cash | 8,044,245 | |
Foreign currency held at value (cost $6,870,368) | 6,880,814 | |
Receivable for investments sold | 11,381,229 | |
Receivable for fund shares sold | 2,361,536 | |
Dividends receivable | 3,394,047 | |
Interest receivable | 9,065 | |
Distributions receivable from Fidelity Central Funds | 113,389 | |
Prepaid expenses | 12,192 | |
Other receivables | 85,672 | |
Total assets | 7,457,915,813 | |
Liabilities | ||
Payable for investments purchased | $29,656,494 | |
Payable for fund shares redeemed | 2,776,579 | |
Accrued management fee | 1,871,995 | |
Payable for daily variation margin on futures contracts | 3,202,950 | |
Other payables and accrued expenses | 1,221,076 | |
Collateral on securities loaned | 37,774,525 | |
Total liabilities | 76,503,619 | |
Net Assets | $7,381,412,194 | |
Net Assets consist of: | ||
Paid in capital | $6,212,846,231 | |
Total accumulated earnings (loss) | 1,168,565,963 | |
Net Assets | $7,381,412,194 | |
Net Asset Value, offering price and redemption price per share ($7,381,412,194 ÷ 652,331,460 shares) | $11.32 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Six months ended August 31, 2020 (Unaudited) | ||
Investment Income | ||
Dividends: | ||
Unaffiliated issuers | $51,365,435 | |
Interest | 356,222 | |
Income from Fidelity Central Funds (including $739,358 from security lending) | 743,378 | |
Income before foreign taxes withheld | 52,465,035 | |
Less foreign taxes withheld | (5,736,877) | |
Total income | 46,728,158 | |
Expenses | ||
Management fee | $16,402,755 | |
Custodian fees and expenses | 474,380 | |
Independent trustees' fees and expenses | 30,636 | |
Registration fees | 75,760 | |
Audit | 62,920 | |
Legal | 6,095 | |
Miscellaneous | 23,445 | |
Total expenses before reductions | 17,075,991 | |
Expense reductions | (7,265,293) | |
Total expenses after reductions | 9,810,698 | |
Net investment income (loss) | 36,917,460 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers (net of foreign taxes of $142) | (73,241,312) | |
Fidelity Central Funds | 19,595 | |
Other affiliated issuers | 23,012,759 | |
Foreign currency transactions | (1,942,455) | |
Futures contracts | 5,354,235 | |
Total net realized gain (loss) | (46,797,178) | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers (net of increase in deferred foreign taxes of $772,428) | 538,379,466 | |
Fidelity Central Funds | (190) | |
Other affiliated issuers | 271,200,574 | |
Assets and liabilities in foreign currencies | 257,878 | |
Futures contracts | 19,933,691 | |
Total change in net unrealized appreciation (depreciation) | 829,771,419 | |
Net gain (loss) | 782,974,241 | |
Net increase (decrease) in net assets resulting from operations | $819,891,701 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Six months ended August 31, 2020 (Unaudited) | Year ended February 29, 2020 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $36,917,460 | $108,126,598 |
Net realized gain (loss) | (46,797,178) | 4,525,353 |
Change in net unrealized appreciation (depreciation) | 829,771,419 | (7,473,055) |
Net increase (decrease) in net assets resulting from operations | 819,891,701 | 105,178,896 |
Distributions to shareholders | – | (108,590,118) |
Share transactions | ||
Proceeds from sales of shares | 2,303,894,577 | 778,953,889 |
Reinvestment of distributions | – | 107,714,914 |
Cost of shares redeemed | (560,618,782) | (725,778,234) |
Net increase (decrease) in net assets resulting from share transactions | 1,743,275,795 | 160,890,569 |
Total increase (decrease) in net assets | 2,563,167,496 | 157,479,347 |
Net Assets | ||
Beginning of period | 4,818,244,698 | 4,660,765,351 |
End of period | $7,381,412,194 | $4,818,244,698 |
Other Information | ||
Shares | ||
Sold | 237,733,421 | 75,927,054 |
Issued in reinvestment of distributions | – | 9,678,318 |
Redeemed | (57,701,087) | (69,026,725) |
Net increase (decrease) | 180,032,334 | 16,578,647 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Strategic Advisers Emerging Markets Fund
Six months ended (Unaudited) August 31, | Years endedFebruary 28, | |||||
2020 | 2020 A | 2019 | 2018 | 2017 | 2016 A | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $10.20 | $10.23 | $11.75 | $9.14 | $7.15 | $9.47 |
Income from Investment Operations | ||||||
Net investment income (loss)B | .06 | .23C | .17 | .14 | .10 | .10 |
Net realized and unrealized gain (loss) | 1.06 | (.03) | (1.53) | 2.62 | 1.99 | (2.32) |
Total from investment operations | 1.12 | .20 | (1.36) | 2.76 | 2.09 | (2.22) |
Distributions from net investment income | – | (.23) | (.16) | (.15) | (.10) | (.10) |
Distributions from net realized gain | – | – | – | –D | (.01) | – |
Total distributions | – | (.23) | (.16) | (.15) | (.10)E | (.10) |
Net asset value, end of period | $11.32 | $10.20 | $10.23 | $11.75 | $9.14 | $7.15 |
Total ReturnF,G | 10.98% | 1.80% | (11.48)% | 30.23% | 29.40% | (23.49)% |
Ratios to Average Net AssetsH,I,J | ||||||
Expenses before reductions | .59%K | .64% | .66% | .70% | .60% | .50% |
Expenses net of fee waivers, if any | .34%K | .39% | .41% | .45% | .35% | .25% |
Expenses net of all reductions | .34%K | .39% | .40% | .45% | .35% | .24% |
Net investment income (loss) | 1.28%K | 2.20%C | 1.60% | 1.36% | 1.23% | 1.25% |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $7,381,412 | $4,818,245 | $4,660,765 | $5,070,379 | $4,599,443 | $4,265,092 |
Portfolio turnover rateJ | 40%K | 39% | 57% | 31% | 23% | 41% |
A For the year ended February 29.
B Calculated based on average shares outstanding during the period.
C Net investment income per share reflects one or more large, non-recurring dividend which amounted to $.03 per share. Excluding such non-recurring dividend, the ratio of net investment income (loss) to average net assets would have been 1.87%.
D Amount represents less than $.005 per share.
E Total distributions of $.10 per share is comprised of distributions from net investment income of $.097 and distributions from net realized gain of $.005 per share.
F Total returns for periods of less than one year are not annualized.
G Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
H Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
I Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
J Amounts do not include the activity of Underlying Funds.
K Annualized
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements (Unaudited)
For the period ended August 31, 2020
1. Organization.
Strategic Advisers Emerging Markets Fund (the Fund) is a fund of Fidelity Rutland Square Trust II (the Trust), and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust. The Fund is offered exclusively to certain clients of Strategic Advisers LLC (Strategic Advisers), an affiliate of Fidelity Management & Research Company LLC (FMR). The Fund's investments in emerging markets can be subject to social, economic, regulatory, and political uncertainties and can be extremely volatile.
2. Significant Accounting Policies.
The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services – Investment Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The 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 August 31, 2020 is included at the end of the Fund's Schedule of Investments.
Foreign Currency. Certain Funds may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.
Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received, and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost 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.
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 $56,500 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. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests. The Fund is subject to a tax imposed on capital gains by certain countries in which it invests. An estimated deferred tax liability for net unrealized appreciation on the applicable securities is included in Other payables and accrued expenses on the Statement of Assets & Liabilities.
Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to short-term gain distributions from the Underlying Funds, futures contracts, foreign currency transactions, passive foreign investment companies (PFIC), market discount, partnerships, deferred trustees compensation, capital loss carryforwards and losses due to wash sales and excise tax regulations.
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
Gross unrealized appreciation | $1,674,924,597 |
Gross unrealized depreciation | (287,149,649) |
Net unrealized appreciation (depreciation) | $1,387,774,948 |
Tax cost | $6,047,339,740 |
Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of prior fiscal period end and is subject to adjustment.
No expiration | |
Short-term | $(234,855,303) |
The Fund elected to defer to its next fiscal year approximately $636,836 of ordinary losses recognized during the period January 1, 2020 to February 29, 2020.
Restricted Securities (including Private Placements). The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.
3. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund's investment objective allows the Fund to enter into various types of derivative contracts, including futures contracts. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.
The Fund used derivatives to increase returns and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.
The Fund's use of derivatives increased or decreased its exposure to the following risk:
Equity Risk | Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment. |
The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Counterparty credit risk related to exchange-traded futures contracts may be mitigated by the protection provided by the exchange on which they trade.
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.
Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. The Fund used futures contracts to manage its exposure to the stock market.
Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments (variation margin) are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is presented in the Statement of Operations.
Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The notional amount at value reflects each contract's exposure to the underlying instrument or index at period end and is representative of volume of activity during the period. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.
4. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities, are noted in the table below.
Purchases ($) | Sales ($) | |
Strategic Advisers Emerging Markets Fund | 2,927,003,314 | 1,105,502,824 |
5. Fees and Other Transactions with Affiliates.
Management Fee. Strategic Advisers (the investment adviser) provides the Fund with investment management related services. For these services, the Fund pays a monthly management fee to the investment adviser. The management fee is calculated by adding the annual management fee rate of .25% of the Fund's average net assets throughout the month payable to the investment adviser to the aggregate of the fee rates, payable monthly, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed 1.20% of the Fund's average net assets. For the reporting period, the total annualized management fee rate was .57% of the Fund's average net assets.
During the period, the investment adviser waived a portion of its management fee as described in the Expense Reductions note.
Sub-Advisers. Acadian Asset Management LLC, Causeway Capital Management, LLC, FIAM LLC (an affiliate of the investment adviser), FIL Investment Advisors, Schroder Investment Management North America, Inc., Somerset Capital Management LLP and T. Rowe Price Associates, Inc. each served as a sub-adviser for the Fund during the period. Sub-advisers provide discretionary investment advisory services for their allocated portion of the Fund's assets and are paid by the investment adviser and not the Fund for providing these services.
Brokerage Commissions. A portion of portfolio transactions were placed with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Statement of Operations. The commissions paid to these affiliated firms were as follows:
Amount | |
Strategic Advisers Emerging Markets Fund | $910 |
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 $38,531.
6. Investments in Fidelity Central Funds.
The Fund invests in Fidelity Central Funds, which are open-end investment companies available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
The Fidelity Money Market Central Funds are managed by FMR. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date ranged from less than .005% to .01%.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds are available on the SEC website or upon request.
7. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are as follows:
Amount | |
Strategic Advisers Emerging Markets Fund | $6,391 |
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. Net income from Fidelity Central Funds is presented in the Statement of Operations as a component of income from Fidelity Central Funds.
9. Expense Reductions.
The investment adviser has contractually agreed to waive the Fund's management fee in an amount equal to .25% of the Fund's average net assets until September 30, 2023. During the period, this waiver reduced the Fund's management fee by $7,194,593.
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 $67,474 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 $3,226.
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:
Fidelity Emerging Markets Fund | 10% |
Fidelity SAI Emerging Markets Index Fund | 23% |
Fidelity SAI Emerging Markets Low Volatility Index Fund | 36% |
Fidelity SAI Emerging Markets Value Index Fund | 29% |
Fidelity SAI Inflation-Focused Fund | 24% |
11. Coronavirus (COVID-19) Pandemic.
An outbreak of COVID-19 first detected in China during December 2019 has since spread globally and was declared a pandemic by the World Health Organization during March 2020. Developments that disrupt global economies and financial markets, such as the COVID-19 pandemic, may magnify factors that affect the Fund's performance.
Shareholder Expense Example
As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (March 1, 2020 to August 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 for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
Annualized Expense Ratio-A | Beginning Account Value March 1, 2020 | Ending Account Value August 31, 2020 | Expenses Paid During Period-B March 1, 2020 to August 31, 2020 | |
Strategic Advisers Emerging Markets Fund | .34% | |||
Actual | $1,000.00 | $1,109.80 | $1.81 | |
Hypothetical-C | $1,000.00 | $1,023.49 | $1.73 |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/ 365 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.
C 5% return per year before expenses
Board Approval of New Sub-Advisory Agreement and New and Amended Sub-Subadvisory Agreements
Strategic Advisers Emerging Markets Fund
SAE-SANN-1020
1.918361.110
Strategic Advisers® Income Opportunities Fund
Offered exclusively to certain clients of Strategic Advisers LLC - not available for sale to the general public
Semi-Annual Report
August 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.
Investment Summary (Unaudited)
The information in the following tables is based on the direct investments of the Fund.Top Ten Holdings as of August 31, 2020
(excluding cash equivalents) | % of fund's net assets |
Vanguard High-Yield Corporate Fund Admiral Shares | 11.2 |
Artisan High Income Fund Investor Shares | 10.5 |
BlackRock High Yield Bond Portfolio Institutional Class | 10.4 |
T. Rowe Price High Yield Fund Advisor Class | 10.2 |
MainStay High Yield Corporate Bond Fund Class A | 7.5 |
Fidelity Capital & Income Fund | 7.0 |
Eaton Vance Income Fund of Boston Class A | 4.0 |
iShares iBoxx $ High Yield Corporate Bond ETF | 0.8 |
SPDR Lehman High Yield Bond ETF | 0.8 |
SPDR Barclays Short Term High Yield Bond ETF | 0.7 |
Asset Allocation (% of fund's net assets)
As of August 31, 2020 | ||
Corporate Bonds | 34.4% | |
Asset-Backed Securities | 0.5% | |
High Yield Fixed-Income Funds | 63.1% | |
Other Investments | 1.0% | |
Short-Term Investments and Net Other Assets (Liabilities) | 1.0% |
Asset allocations of funds in the pie chart reflect the categorizations of assets as defined by Morningstar as of the reporting date.
Schedule of Investments August 31, 2020 (Unaudited)
Showing Percentage of Net Assets
Corporate Bonds - 34.4% | |||
Principal Amount | Value | ||
Convertible Bonds - 0.1% | |||
COMMUNICATION SERVICES - 0.1% | |||
Media - 0.1% | |||
DISH Network Corp.: | |||
2.375% 3/15/24 | $2,959,000 | $2,783,132 | |
3.375% 8/15/26 | 1,350,000 | 1,331,470 | |
4,114,602 | |||
ENERGY - 0.0% | |||
Oil, Gas & Consumable Fuels - 0.0% | |||
Mesquite Energy, Inc. 15% 7/31/23 (a)(b) | 293,700 | 293,700 | |
TOTAL CONVERTIBLE BONDS | 4,408,302 | ||
Nonconvertible Bonds - 34.3% | |||
COMMUNICATION SERVICES - 7.7% | |||
Diversified Telecommunication Services - 2.3% | |||
C&W Senior Financing Designated Activity Co.: | |||
6.875% 9/15/27 (c) | 11,785,000 | 12,340,074 | |
7.5% 10/15/26 (c) | 4,665,000 | 4,979,888 | |
Century Telephone Enterprises, Inc. 6.875% 1/15/28 | 80,000 | 88,000 | |
CenturyLink, Inc.: | |||
5.125% 12/15/26 (c) | 4,700,000 | 4,874,018 | |
5.625% 4/1/25 | 860,000 | 927,725 | |
5.8% 3/15/22 | 1,000,000 | 1,044,915 | |
6.45% 6/15/21 | 4,510,000 | 4,663,926 | |
6.75% 12/1/23 | 836,000 | 925,878 | |
7.6% 9/15/39 | 1,925,000 | 2,218,409 | |
7.65% 3/15/42 | 1,587,000 | 1,831,255 | |
Embarq Corp. 7.995% 6/1/36 | 2,028,000 | 2,432,038 | |
Frontier Communications Corp. 8% 4/1/27 (c) | 9,795,000 | 9,843,975 | |
Level 3 Financing, Inc.: | |||
3.625% 1/15/29 (c) | 210,000 | 210,546 | |
4.25% 7/1/28 (c) | 1,915,000 | 1,971,014 | |
4.625% 9/15/27 (c) | 5,470,000 | 5,729,825 | |
5.125% 5/1/23 | 1,400,000 | 1,400,000 | |
5.25% 3/15/26 | 590,000 | 615,134 | |
5.375% 1/15/24 | 675,000 | 682,594 | |
5.375% 5/1/25 | 2,000,000 | 2,059,800 | |
Sable International Finance Ltd. 5.75% 9/7/27 (c) | 3,255,000 | 3,429,468 | |
SFR Group SA: | |||
7.375% 5/1/26 (c) | 7,860,000 | 8,344,569 | |
8.125% 2/1/27 (c) | 5,855,000 | 6,528,325 | |
Sprint Capital Corp.: | |||
6.875% 11/15/28 | 3,360,000 | 4,298,246 | |
8.75% 3/15/32 | 1,900,000 | 2,869,831 | |
Telecom Italia Capital SA: | |||
6% 9/30/34 | 1,560,000 | 1,895,400 | |
6.375% 11/15/33 | 315,000 | 393,750 | |
Telecom Italia SpA 5.303% 5/30/24 (c) | 2,895,000 | 3,195,964 | |
Telenet Finance Luxembourg Notes SARL 5.5% 3/1/28 (c) | 2,600,000 | 2,763,800 | |
Virgin Media Finance PLC 5% 7/15/30 (c) | 2,595,000 | 2,672,850 | |
Windstream Escrow LLC 7.75% 8/15/28 (c) | 1,125,000 | 1,125,236 | |
Zayo Group Holdings, Inc.: | |||
4% 3/1/27 (c) | 805,000 | 795,944 | |
6.125% 3/1/28 (c) | 5,493,000 | 5,671,523 | |
102,823,920 | |||
Entertainment - 0.3% | |||
AMC Entertainment Holdings, Inc.: | |||
10.5% 4/24/26 (c) | 643,000 | 552,980 | |
12% 6/15/26 pay-in-kind (c)(d) | 5,453,000 | 2,018,701 | |
National CineMedia LLC: | |||
5.75% 8/15/26 | 625,000 | 415,625 | |
5.875% 4/15/28 (c) | 475,000 | 384,750 | |
Netflix, Inc.: | |||
4.875% 4/15/28 | 715,000 | 827,613 | |
4.875% 6/15/30 (c) | 510,000 | 590,963 | |
5.375% 11/15/29 (c) | 4,620,000 | 5,555,550 | |
5.875% 11/15/28 | 925,000 | 1,133,125 | |
6.375% 5/15/29 | 285,000 | 359,813 | |
11,839,120 | |||
Media - 3.5% | |||
Altice Financing SA: | |||
5% 1/15/28 (c) | 1,830,000 | 1,880,325 | |
7.5% 5/15/26 (c) | 5,535,000 | 5,906,883 | |
Altice France Holding SA 6% 2/15/28 (c) | 2,525,000 | 2,525,000 | |
AMC Networks, Inc.: | |||
4.75% 8/1/25 | 700,000 | 724,500 | |
5% 4/1/24 | 1,350,000 | 1,375,313 | |
CCO Holdings LLC/CCO Holdings Capital Corp.: | |||
4% 3/1/23 (c) | 3,215,000 | 3,259,206 | |
4.25% 2/1/31 (c) | 9,975,000 | 10,421,037 | |
4.5% 8/15/30 (c) | 5,450,000 | 5,763,375 | |
4.5% 5/1/32 (c) | 2,225,000 | 2,358,255 | |
4.75% 3/1/30 (c) | 2,831,000 | 3,041,485 | |
5% 2/1/28 (c) | 6,633,000 | 7,014,398 | |
5.125% 5/1/27 (c) | 3,305,000 | 3,519,891 | |
5.375% 6/1/29 (c) | 2,685,000 | 2,950,734 | |
5.5% 5/1/26 (c) | 6,895,000 | 7,205,275 | |
5.75% 2/15/26 (c) | 1,000,000 | 1,048,060 | |
Clear Channel International BV 6.625% 8/1/25 (c) | 200,000 | 207,000 | |
Clear Channel Worldwide Holdings, Inc.: | |||
5.125% 8/15/27 (c) | 3,000,000 | 3,030,900 | |
9.25% 2/15/24 | 9,405,000 | 9,216,900 | |
CSC Holdings LLC: | |||
3.375% 2/15/31 (c) | 595,000 | 586,265 | |
4.125% 12/1/30 (c) | 2,885,000 | 2,994,630 | |
4.625% 12/1/30 (c) | 7,390,000 | 7,557,827 | |
5.5% 5/15/26 (c) | 4,430,000 | 4,646,893 | |
5.5% 4/15/27 (c) | 2,650,000 | 2,826,119 | |
6.75% 11/15/21 | 2,000,000 | 2,100,000 | |
7.5% 4/1/28 (c) | 3,285,000 | 3,687,413 | |
Cumulus Media New Holdings, Inc. 6.75% 7/1/26 (c) | 345,000 | 310,500 | |
Diamond Sports Group LLC/Diamond Sports Finance Co.: | |||
5.375% 8/15/26 (c) | 1,610,000 | 1,255,800 | |
6.625% 8/15/27 (c) | 9,830,000 | 5,529,375 | |
DISH DBS Corp.: | |||
5.875% 7/15/22 | 1,975,000 | 2,084,613 | |
5.875% 11/15/24 | 2,840,000 | 3,001,802 | |
6.75% 6/1/21 | 2,647,000 | 2,713,175 | |
7.375% 7/1/28 (c) | 1,225,000 | 1,298,868 | |
7.75% 7/1/26 | 899,000 | 1,029,355 | |
Dolya Holdco 18 DAC 5% 7/15/28 (c) | 1,410,000 | 1,461,395 | |
Entercom Media Corp. 6.5% 5/1/27 (c) | 700,000 | 596,750 | |
Gray Television, Inc. 7% 5/15/27 (c) | 2,175,000 | 2,359,875 | |
iHeartCommunications, Inc. 8.375% 5/1/27 | 1,740,000 | 1,748,700 | |
Outfront Media Capital LLC / Corp. 6.25% 6/15/25 (c) | 300,000 | 312,750 | |
Radiate Holdco LLC/Radiate Financial Service Ltd.: | |||
6.625% 2/15/25 (c) | 11,201,000 | 11,341,013 | |
6.875% 2/15/23 (c) | 1,340,000 | 1,373,500 | |
Scripps Escrow, Inc. 5.875% 7/15/27 (c) | 200,000 | 200,000 | |
Sinclair Television Group, Inc.: | |||
5.125% 2/15/27 (c) | 420,000 | 408,450 | |
5.875% 3/15/26 (c) | 925,000 | 927,313 | |
Sirius XM Radio, Inc.: | |||
4.125% 7/1/30 (c) | 5,500,000 | 5,788,750 | |
4.625% 7/15/24 (c) | 750,000 | 780,000 | |
5% 8/1/27 (c) | 135,000 | 143,192 | |
5.5% 7/1/29 (c) | 4,000,000 | 4,393,120 | |
Univision Communications, Inc.: | |||
5.125% 2/15/25 (c) | 1,825,000 | 1,836,406 | |
6.625% 6/1/27 (c) | 2,980,000 | 2,994,900 | |
Virgin Media Secured Finance PLC: | |||
4.5% 8/15/30 (c) | 150,000 | 157,500 | |
5.5% 8/15/26 (c) | 2,970,000 | 3,129,638 | |
5.5% 5/15/29 (c) | 1,110,000 | 1,200,188 | |
Ziggo Bond Co. BV: | |||
5.125% 2/28/30 (c) | 1,110,000 | 1,176,600 | |
6% 1/15/27 (c) | 2,000,000 | 2,105,000 | |
Ziggo BV: | |||
4.875% 1/15/30 (c) | 835,000 | 885,693 | |
5.5% 1/15/27 (c) | 3,352,000 | 3,522,986 | |
161,914,891 | |||
Wireless Telecommunication Services - 1.6% | |||
Digicel Group 0.5 Ltd. 10% 4/1/24 pay-in-kind (e) | 1,955,000 | 1,477,858 | |
Digicel Group Ltd. 6.75% 3/1/23 (c) | 5,225,000 | 3,420,740 | |
Digicel International Finance Ltd. / Digicel Holdings Bermuda Ltd.: | |||
8.75% 5/25/24 (c) | 2,910,000 | 2,931,825 | |
8.75% 5/25/24 (c) | 4,075,000 | 4,115,750 | |
13% 12/31/25 pay-in-kind (c)(e) | 2,820,000 | 2,569,725 | |
Intelsat Jackson Holdings SA: | |||
5.5% 8/1/23 (f) | 4,385,000 | 2,916,025 | |
8% 2/15/24 (c) | 8,750,000 | 8,925,000 | |
8.5% 10/15/24 (c)(f) | 1,860,000 | 1,264,800 | |
Millicom International Cellular SA: | |||
5.125% 1/15/28 (c) | 4,151,000 | 4,333,903 | |
6% 3/15/25 (c) | 705,000 | 723,506 | |
6.25% 3/25/29 (c) | 495,000 | 543,263 | |
6.625% 10/15/26 (c) | 2,740,000 | 2,978,038 | |
Sprint Communications, Inc. 6% 11/15/22 | 3,075,000 | 3,336,375 | |
Sprint Corp.: | |||
7.125% 6/15/24 | 5,920,000 | 6,880,283 | |
7.25% 9/15/21 | 1,500,000 | 1,582,650 | |
7.625% 2/15/25 | 2,050,000 | 2,454,875 | |
7.625% 3/1/26 | 1,000,000 | 1,229,815 | |
7.875% 9/15/23 | 6,905,000 | 8,031,378 | |
T-Mobile U.S.A., Inc.: | |||
3.75% 4/15/27 (c) | 1,310,000 | 1,481,492 | |
3.875% 4/15/30 (c) | 2,310,000 | 2,640,122 | |
4.5% 2/1/26 | 1,060,000 | 1,093,109 | |
6% 3/1/23 | 1,525,000 | 1,526,906 | |
6% 4/15/24 | 400,000 | 407,852 | |
6.375% 3/1/25 | 3,030,000 | 3,094,388 | |
6.5% 1/15/26 | 2,000,000 | 2,093,750 | |
72,053,428 | |||
TOTAL COMMUNICATION SERVICES | 348,631,359 | ||
CONSUMER DISCRETIONARY - 4.5% | |||
Auto Components - 0.2% | |||
Adient Global Holdings Ltd. 4.875% 8/15/26 (c) | 2,625,000 | 2,460,938 | |
Allison Transmission, Inc.: | |||
4.75% 10/1/27 (c) | 175,000 | 182,875 | |
5.875% 6/1/29 (c) | 641,000 | 701,895 | |
American Axle & Manufacturing, Inc.: | |||
6.25% 4/1/25 | 475,000 | 489,844 | |
6.25% 3/15/26 | 1,000,000 | 1,019,228 | |
6.5% 4/1/27 | 1,350,000 | 1,387,125 | |
Cooper Standard Auto, Inc. 5.625% 11/15/26 (c) | 800,000 | 451,600 | |
Dana Financing Luxembourg SARL: | |||
5.75% 4/15/25 (c) | 200,000 | 207,347 | |
6.5% 6/1/26 (c) | 765,000 | 806,119 | |
Dana, Inc.: | |||
5.375% 11/15/27 | 1,695,000 | 1,797,700 | |
5.625% 6/15/28 | 1,165,000 | 1,229,075 | |
10,733,746 | |||
Automobiles - 0.3% | |||
Ford Motor Co.: | |||
4.75% 1/15/43 | 2,415,000 | 2,236,894 | |
5.291% 12/8/46 | 3,650,000 | 3,444,688 | |
9% 4/22/25 | 5,175,000 | 6,056,121 | |
9.625% 4/22/30 | 270,000 | 353,909 | |
12,091,612 | |||
Diversified Consumer Services - 0.4% | |||
Frontdoor, Inc. 6.75% 8/15/26 (c) | 860,000 | 924,500 | |
GEMS MENASA Cayman Ltd. 7.125% 7/31/26 (c) | 2,370,000 | 2,287,050 | |
Laureate Education, Inc. 8.25% 5/1/25 (c) | 8,010,000 | 8,516,152 | |
Service Corp. International: | |||
3.375% 8/15/30 | 415,000 | 422,781 | |
5.125% 6/1/29 | 735,000 | 814,284 | |
Sotheby's 7.375% 10/15/27 (c) | 3,315,000 | 3,381,300 | |
16,346,067 | |||
Hotels, Restaurants & Leisure - 2.6% | |||
1011778 BC Unlimited Liability Co./New Red Finance, Inc.: | |||
4.25% 5/15/24 (c) | 780,000 | 794,625 | |
5% 10/15/25 (c) | 3,785,000 | 3,886,854 | |
5.75% 4/15/25 (c) | 420,000 | 448,350 | |
Aramark Services, Inc.: | |||
4.75% 6/1/26 | 2,450,000 | 2,435,766 | |
5% 2/1/28 (c) | 5,530,000 | 5,536,913 | |
6.375% 5/1/25 (c) | 6,355,000 | 6,656,863 | |
Boyd Gaming Corp.: | |||
4.75% 12/1/27 | 605,000 | 602,731 | |
6% 8/15/26 | 1,185,000 | 1,242,769 | |
6.375% 4/1/26 | 1,955,000 | 2,038,107 | |
8.625% 6/1/25 (c) | 722,000 | 796,005 | |
Brinker International, Inc. 5% 10/1/24 (c) | 2,315,000 | 2,303,425 | |
Caesars Resort Collection LLC 5.25% 10/15/25 (c) | 8,175,000 | 7,826,500 | |
CEC Entertainment, Inc. 8% 2/15/22 (f) | 875,000 | 100,625 | |
Colt Merger Sub, Inc.: | |||
6.25% 7/1/25 (c) | 3,625,000 | 3,836,881 | |
8.125% 7/1/27 (c) | 2,975,000 | 3,153,500 | |
Golden Entertainment, Inc. 7.625% 4/15/26(c) | 5,096,000 | 4,841,200 | |
Golden Nugget, Inc.: | |||
6.75% 10/15/24 (c) | 2,975,000 | 2,543,625 | |
8.75% 10/1/25 (c) | 6,725,000 | 5,010,125 | |
Hilton Domestic Operating Co., Inc.: | |||
4.25% 9/1/24 | 670,000 | 670,838 | |
5.125% 5/1/26 | 2,455,000 | 2,534,861 | |
5.375% 5/1/25 (c) | 150,000 | 157,245 | |
5.75% 5/1/28 (c) | 150,000 | 158,625 | |
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp.: | |||
4.625% 4/1/25 | 655,000 | 661,550 | |
4.875% 4/1/27 | 1,640,000 | 1,681,000 | |
International Game Technology PLC: | |||
5.25% 1/15/29 (c) | 675,000 | 691,875 | |
6.25% 1/15/27 (c) | 2,585,000 | 2,832,385 | |
Jacobs Entertainment, Inc. 7.875% 2/1/24 (c) | 1,680,000 | 1,594,942 | |
Marriott International, Inc. 5.75% 5/1/25 | 150,000 | 168,399 | |
MCE Finance Ltd. 4.875% 6/6/25 (c) | 215,000 | 222,009 | |
Merlin Entertainments PLC 5.75% 6/15/26 (c) | 200,000 | 192,000 | |
MGM Mirage, Inc.: | |||
5.5% 4/15/27 | 490,000 | 518,175 | |
5.75% 6/15/25 | 1,000,000 | 1,067,500 | |
6% 3/15/23 | 500,000 | 527,500 | |
6.75% 5/1/25 | 5,325,000 | 5,697,750 | |
7.75% 3/15/22 | 250,000 | 265,313 | |
Motion Bondco DAC 6.625% 11/15/27 (c) | 600,000 | 517,668 | |
NCL Corp. Ltd.: | |||
3.625% 12/15/24 (c) | 625,000 | 428,125 | |
10.25% 2/1/26 (c) | 1,070,000 | 1,075,350 | |
12.25% 5/15/24 (c) | 190,000 | 211,613 | |
Penn National Gaming, Inc. 5.625% 1/15/27 (c) | 1,900,000 | 1,966,500 | |
Royal Caribbean Cruises Ltd.: | |||
2.65% 11/28/20 | 300,000 | 299,250 | |
5.25% 11/15/22 | 350,000 | 313,250 | |
9.125% 6/15/23 (c) | 100,000 | 105,250 | |
10.875% 6/1/23 (c) | 140,000 | 154,254 | |
Scientific Games Corp.: | |||
5% 10/15/25 (c) | 2,720,000 | 2,691,114 | |
7% 5/15/28 (c) | 2,020,000 | 1,980,044 | |
7.25% 11/15/29 (c) | 900,000 | 891,198 | |
8.25% 3/15/26 (c) | 4,150,000 | 4,275,040 | |
8.625% 7/1/25 (c) | 1,365,000 | 1,422,603 | |
Six Flags Entertainment Corp.: | |||
4.875% 7/31/24 (c) | 325,000 | 315,153 | |
5.5% 4/15/27 (c) | 1,975,000 | 1,925,625 | |
Stars Group Holdings BV 7% 7/15/26 (c) | 2,090,000 | 2,227,940 | |
Station Casinos LLC: | |||
4.5% 2/15/28 (c) | 625,000 | 594,125 | |
5% 10/1/25 (c) | 1,720,000 | 1,699,584 | |
Twin River Worldwide Holdings, Inc. 6.75% 6/1/27 (c) | 3,785,000 | 3,747,150 | |
Viking Cruises Ltd.: | |||
5.875% 9/15/27 (c) | 1,400,000 | 994,000 | |
13% 5/15/25 (c) | 325,000 | 360,750 | |
Wyndham Destinations, Inc. 4.625% 3/1/30 (c) | 250,000 | 235,000 | |
Wyndham Hotels & Resorts, Inc. 5.375% 4/15/26 (c) | 1,340,000 | 1,390,250 | |
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. 5.25% 5/15/27 (c) | 3,665,000 | 3,569,710 | |
Wynn Macau Ltd.: | |||
4.875% 10/1/24 (c) | 1,485,000 | 1,490,105 | |
5.125% 12/15/29 (c) | 575,000 | 564,938 | |
5.5% 1/15/26 (c) | 400,000 | 401,600 | |
5.625% 8/26/28 (c) | 1,850,000 | 1,857,030 | |
Wynn Resorts Finance LLC / Wynn Resorts Capital Corp.: | |||
5.125% 10/1/29 (c) | 500,000 | 487,500 | |
7.75% 4/15/25 (c) | 1,229,000 | 1,290,450 | |
Yum! Brands, Inc. 7.75% 4/1/25 (c) | 4,260,000 | 4,755,225 | |
117,934,225 | |||
Household Durables - 0.6% | |||
Ashton Woods U.S.A. LLC/Ashton Woods Finance Co.: | |||
6.625% 1/15/28 (c) | 1,500,000 | 1,503,750 | |
6.75% 8/1/25 (c) | 1,650,000 | 1,674,750 | |
Beazer Homes U.S.A., Inc.: | |||
5.875% 10/15/27 | 1,725,000 | 1,750,875 | |
7.25% 10/15/29 | 4,850,000 | 5,217,824 | |
Brookfield Residential Properties, Inc./Brookfield Residential U.S. Corp.: | |||
4.875% 2/15/30 (c) | 2,379,000 | 2,228,814 | |
6.25% 9/15/27 (c) | 2,395,000 | 2,424,938 | |
Brookfield Residential Properties, Inc. 6.375% 5/15/25 (c) | 500,000 | 505,000 | |
Century Communities, Inc.: | |||
5.875% 7/15/25 | 500,000 | 520,000 | |
6.75% 6/1/27 | 800,000 | 862,000 | |
KB Home: | |||
4.8% 11/15/29 | 550,000 | 595,375 | |
6.875% 6/15/27 | 1,550,000 | 1,813,500 | |
M/I Homes, Inc. 4.95% 2/1/28 | 1,075,000 | 1,115,313 | |
Meritage Homes Corp.: | |||
5.125% 6/6/27 | 897,000 | 977,730 | |
6% 6/1/25 | 1,000,000 | 1,132,710 | |
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA: | |||
5.125% 7/15/23 (c) | 1,900,000 | 1,927,930 | |
7% 7/15/24 (c) | 1,426,000 | 1,462,534 | |
STL Holding Co. LLC 7.5% 2/15/26 (c) | 700,000 | 706,125 | |
TopBuild Corp. 5.625% 5/1/26 (c) | 875,000 | 910,849 | |
TRI Pointe Homes, Inc. 5.7% 6/15/28 | 180,000 | 198,450 | |
27,528,467 | |||
Internet & Direct Marketing Retail - 0.1% | |||
Match Group Holdings II LLC 4.125% 8/1/30 (c) | 350,000 | 366,625 | |
Terrier Media Buyer, Inc. 8.875% 12/15/27 (c) | 3,755,000 | 3,887,552 | |
4,254,177 | |||
Leisure Products - 0.0% | |||
Mattel, Inc.: | |||
5.875% 12/15/27 (c) | 50,000 | 54,380 | |
6.75% 12/31/25 (c) | 2,290,000 | 2,430,263 | |
2,484,643 | |||
Specialty Retail - 0.2% | |||
Adient U.S. LLC 9% 4/15/25 (c) | 925,000 | 1,026,750 | |
L Brands, Inc. 5.625% 10/15/23 | 1,975,000 | 2,059,352 | |
PetSmart, Inc. 5.875% 6/1/25 (c) | 920,000 | 946,450 | |
Sally Holdings LLC: | |||
5.5% 11/1/23 | 1,000,000 | 1,009,750 | |
5.625% 12/1/25 | 3,000,000 | 3,045,000 | |
8.75% 4/30/25 (c) | 200,000 | 222,000 | |
8,309,302 | |||
Textiles, Apparel & Luxury Goods - 0.1% | |||
Hanesbrands, Inc. 5.375% 5/15/25 (c) | 810,000 | 863,865 | |
The William Carter Co.: | |||
5.5% 5/15/25 (c) | 1,425,000 | 1,519,392 | |
5.625% 3/15/27 (c) | 1,755,000 | 1,864,477 | |
Wolverine World Wide, Inc.: | |||
5% 9/1/26 (c) | 275,000 | 273,625 | |
6.375% 5/15/25 (c) | 1,550,000 | 1,643,000 | |
6,164,359 | |||
TOTAL CONSUMER DISCRETIONARY | 205,846,598 | ||
CONSUMER STAPLES - 1.7% | |||
Food & Staples Retailing - 0.3% | |||
Albertsons Companies LLC/Safeway, Inc./New Albertson's, Inc./Albertson's LLC: | |||
3.5% 3/15/29 (c) | 1,475,000 | 1,486,063 | |
4.875% 2/15/30 (c) | 675,000 | 725,625 | |
Performance Food Group, Inc.: | |||
5.5% 10/15/27 (c) | 3,356,000 | 3,498,630 | |
6.875% 5/1/25 (c) | 1,335,000 | 1,421,775 | |
Rite Aid Corp. 8% 11/15/26 (c) | 480,000 | 486,000 | |
U.S. Foods, Inc.: | |||
5.875% 6/15/24 (c) | 3,275,000 | 3,324,125 | |
6.25% 4/15/25 (c) | 2,890,000 | 3,063,400 | |
14,005,618 | |||
Food Products - 1.3% | |||
B&G Foods, Inc.: | |||
5.25% 4/1/25 | 1,000,000 | 1,034,710 | |
5.25% 9/15/27 | 525,000 | 561,419 | |
Chobani LLC/Finance Corp., Inc. 7.5% 4/15/25 (c) | 230,000 | 242,075 | |
H.J. Heinz Co. 5% 7/15/35 | 1,000,000 | 1,156,518 | |
JBS U.S.A. LLC/JBS U.S.A. Finance, Inc.: | |||
5.75% 6/15/25 (c) | 7,185,000 | 7,418,513 | |
5.875% 7/15/24 (c) | 6,865,000 | 7,002,300 | |
6.75% 2/15/28 (c) | 3,050,000 | 3,377,875 | |
JBS U.S.A. Lux SA / JBS Food Co.: | |||
5.5% 1/15/30 (c) | 8,400,000 | 9,331,729 | |
6.5% 4/15/29 (c) | 6,850,000 | 7,774,750 | |
Kraft Foods Group, Inc. 5% 6/4/42 | 2,000,000 | 2,206,288 | |
Pilgrim's Pride Corp.: | |||
5.75% 3/15/25 (c) | 2,630,000 | 2,702,325 | |
5.875% 9/30/27 (c) | 1,275,000 | 1,354,688 | |
Post Holdings, Inc.: | |||
4.625% 4/15/30 (c) | 790,000 | 824,563 | |
5% 8/15/26 (c) | 955,000 | 991,099 | |
5.5% 12/15/29 (c) | 8,805,000 | 9,652,041 | |
5.625% 1/15/28 (c) | 540,000 | 577,287 | |
5.75% 3/1/27 (c) | 490,000 | 517,563 | |
TreeHouse Foods, Inc. 4% 9/1/28 (g)(h) | 1,300,000 | 1,322,997 | |
58,048,740 | |||
Household Products - 0.0% | |||
Spectrum Brands Holdings, Inc.: | |||
5% 10/1/29 (c) | 1,055,000 | 1,097,200 | |
5.75% 7/15/25 | 500,000 | 516,250 | |
1,613,450 | |||
Personal Products - 0.0% | |||
Prestige Brands, Inc. 6.375% 3/1/24 (c) | 500,000 | 516,145 | |
Tobacco - 0.1% | |||
Vector Group Ltd. 6.125% 2/1/25 (c) | 3,640,000 | 3,694,600 | |
TOTAL CONSUMER STAPLES | 77,878,553 | ||
ENERGY - 4.3% | |||
Energy Equipment & Services - 0.1% | |||
Diamond Offshore Drilling, Inc. 7.875% 8/15/25 (f) | 675,000 | 67,500 | |
Jonah Energy LLC 7.25% 10/15/25 (c) | 1,840,000 | 257,600 | |
Nabors Industries Ltd.: | |||
7.25% 1/15/26 (c) | 800,000 | 360,000 | |
7.5% 1/15/28 (c) | 1,675,000 | 737,000 | |
Nabors Industries, Inc. 5.75% 2/1/25 | 2,825,000 | 812,188 | |
Precision Drilling Corp.: | |||
5.25% 11/15/24 | 500,000 | 351,250 | |
7.125% 1/15/26 (c) | 1,000,000 | 680,000 | |
Transocean, Inc.: | |||
7.5% 1/15/26 (c) | 1,676,000 | 519,560 | |
8% 2/1/27 (c) | 675,000 | 206,719 | |
U.S.A. Compression Partners LP 6.875% 9/1/27 | 435,000 | 450,225 | |
Weatherford International Ltd. 11% 12/1/24 (c) | 893,000 | 607,240 | |
5,049,282 | |||
Oil, Gas & Consumable Fuels - 4.2% | |||
Antero Midstream Partners LP/Antero Midstream Finance Corp. 5.75% 1/15/28 (c) | 1,160,000 | 1,025,382 | |
Antero Resources Corp.: | |||
5% 3/1/25 | 1,915,000 | 1,319,627 | |
5.125% 12/1/22 | 3,625,000 | 3,149,219 | |
5.625% 6/1/23 (Reg. S) | 1,508,000 | 1,198,860 | |
Antero Resources Finance Corp. 5.375% 11/1/21 | 1,066,000 | 1,036,685 | |
Apache Corp. 5.1% 9/1/40 | 85,000 | 82,679 | |
Ascent Resources - Utica LLC/ARU Finance Corp.: | |||
7% 11/1/26 (c) | 930,000 | 644,025 | |
10% 4/1/22 (c) | 2,684,000 | 2,509,540 | |
Cheniere Energy Partners LP: | |||
5.25% 10/1/25 | 7,630,000 | 7,807,321 | |
5.625% 10/1/26 | 3,310,000 | 3,469,509 | |
Chesapeake Energy Corp.: | |||
4.875% 4/15/22 (f) | 500,000 | 21,250 | |
7% 10/1/24 (f) | 440,000 | 18,700 | |
8% 1/15/25 (f) | 2,345,000 | 99,663 | |
8% 6/15/27 (f) | 2,075,000 | 88,188 | |
Citgo Holding, Inc. 9.25% 8/1/24 (c) | 3,935,000 | 3,885,813 | |
Citgo Petroleum Corp.: | |||
6.25% 8/15/22 (c) | 1,797,000 | 1,792,508 | |
7% 6/15/25 (c) | 5,315,000 | 5,341,575 | |
CNX Resources Corp.: | |||
5.875% 4/15/22 | 816,000 | 819,427 | |
7.25% 3/14/27 (c) | 3,546,000 | 3,687,840 | |
Comstock Resources, Inc.: | |||
9.75% 8/15/26 | 670,000 | 708,532 | |
9.75% 8/15/26 | 1,005,000 | 1,074,948 | |
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.: | |||
5.625% 5/1/27 (c) | 4,097,000 | 3,758,998 | |
5.75% 4/1/25 | 3,942,000 | 3,771,213 | |
6.25% 4/1/23 | 2,580,000 | 2,540,758 | |
CVR Energy, Inc.: | |||
5.25% 2/15/25 (c) | 1,650,000 | 1,560,653 | |
5.75% 2/15/28 (c) | 3,383,000 | 3,070,073 | |
DCP Midstream LLC 4.75% 9/30/21 (c) | 300,000 | 306,000 | |
DCP Midstream Operating LP: | |||
5.125% 5/15/29 | 4,700,000 | 4,982,047 | |
5.375% 7/15/25 | 1,785,000 | 1,917,626 | |
5.625% 7/15/27 | 2,450,000 | 2,646,000 | |
Denbury Resources, Inc.: | |||
7.75% 2/15/24 (c)(f) | 1,690,000 | 845,000 | |
9.25% 3/31/22 (c)(f) | 4,230,000 | 2,115,000 | |
EG Global Finance PLC: | |||
6.75% 2/7/25 (c) | 3,065,000 | 3,168,444 | |
8.5% 10/30/25 (c) | 4,089,000 | 4,375,230 | |
Endeavor Energy Resources LP/EER Finance, Inc.: | |||
5.5% 1/30/26 (c) | 1,300,000 | 1,298,947 | |
5.75% 1/30/28 (c) | 2,030,000 | 2,075,675 | |
6.625% 7/15/25 (c) | 398,000 | 415,166 | |
EQM Midstream Partners LP: | |||
6% 7/1/25 (c) | 1,465,000 | 1,554,731 | |
6.5% 7/1/27 (c) | 1,035,000 | 1,133,325 | |
EQT Corp. 3.9% 10/1/27 | 1,475,000 | 1,418,124 | |
Extraction Oil & Gas, Inc. 5.625% 2/1/26 (c)(f) | 1,875,000 | 440,625 | |
Global Partners LP/GLP Finance Corp.: | |||
7% 6/15/23 | 800,000 | 800,000 | |
7% 8/1/27 | 4,200,000 | 4,221,000 | |
Hess Midstream Partners LP: | |||
5.125% 6/15/28 (c) | 3,345,000 | 3,439,061 | |
5.625% 2/15/26 (c) | 2,920,000 | 3,038,085 | |
Hilcorp Energy I LP/Hilcorp Finance Co.: | |||
5% 12/1/24 (c) | 265,000 | 251,088 | |
5.75% 10/1/25 (c) | 2,605,000 | 2,448,700 | |
6.25% 11/1/28 (c) | 2,225,000 | 2,091,500 | |
Holly Energy Partners LP/Holly Energy Finance Corp. 5% 2/1/28 (c) | 1,875,000 | 1,876,125 | |
MEG Energy Corp.: | |||
6.5% 1/15/25 (c) | 150,000 | 153,000 | |
7.125% 2/1/27 (c) | 2,855,000 | 2,731,578 | |
New Fortress Energy LLC 6.75% 9/15/25 (c)(g) | 2,810,000 | 2,845,659 | |
NGPL PipeCo LLC: | |||
4.875% 8/15/27 (c) | 425,000 | 465,296 | |
7.768% 12/15/37 (c) | 310,000 | 378,464 | |
Occidental Petroleum Corp.: | |||
2.7% 8/15/22 | 663,000 | 651,845 | |
2.7% 2/15/23 | 690,000 | 663,601 | |
2.9% 8/15/24 | 3,195,000 | 2,939,400 | |
3% 2/15/27 | 465,000 | 397,575 | |
3.125% 2/15/22 | 25,000 | 24,625 | |
3.4% 4/15/26 | 680,000 | 602,398 | |
3.45% 7/15/24 | 525,000 | 477,750 | |
3.5% 8/15/29 | 1,405,000 | 1,208,300 | |
4.2% 3/15/48 | 535,000 | 405,263 | |
4.3% 8/15/39 | 330,000 | 254,100 | |
4.4% 4/15/46 | 475,000 | 379,406 | |
4.4% 8/15/49 | 250,000 | 192,500 | |
5.55% 3/15/26 | 1,605,000 | 1,596,975 | |
6.2% 3/15/40 | 320,000 | 304,000 | |
6.45% 9/15/36 | 1,730,000 | 1,696,507 | |
6.625% 9/1/30 | 2,250,000 | 2,328,255 | |
6.95% 7/1/24 | 756,000 | 782,460 | |
7.5% 5/1/31 | 3,730,000 | 3,953,800 | |
7.875% 9/15/31 | 230,000 | 246,100 | |
8.875% 7/15/30 | 3,020,000 | 3,412,600 | |
PBF Holding Co. LLC/PBF Finance Corp.: | |||
7.25% 6/15/25 | 2,030,000 | 1,927,465 | |
9.25% 5/15/25 (c) | 2,945,000 | 3,224,775 | |
PBF Logistics LP/PBF Logistics Finance, Inc. 6.875% 5/15/23 | 1,945,000 | 1,929,226 | |
Range Resources Corp.: | |||
4.875% 5/15/25 | 1,300,000 | 1,212,250 | |
5% 8/15/22 | 200,000 | 201,000 | |
5% 3/15/23 | 3,065,000 | 3,053,445 | |
9.25% 2/1/26 (c)(g) | 1,300,000 | 1,368,900 | |
Rattler Midstream LP 5.625% 7/15/25 (c) | 2,685,000 | 2,839,388 | |
Rockies Express Pipeline LLC: | |||
3.6% 5/15/25 (c) | 1,925,000 | 1,890,427 | |
6.875% 4/15/40 (c) | 400,000 | 412,000 | |
7.5% 7/15/38 (c) | 1,575,000 | 1,669,500 | |
Sanchez Energy Corp. 7.25% 2/15/23 (b)(c)(f) | 3,242,000 | 0 | |
Sunoco LP/Sunoco Finance Corp.: | |||
4.875% 1/15/23 | 885,000 | 899,434 | |
5.5% 2/15/26 | 2,602,000 | 2,681,049 | |
5.875% 3/15/28 | 265,000 | 277,588 | |
6% 4/15/27 | 1,535,000 | 1,633,992 | |
Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp.: | |||
5.5% 9/15/24 (c) | 2,925,000 | 2,866,500 | |
5.5% 1/15/28 (c) | 1,100,000 | 1,006,500 | |
Targa Resources Partners LP/Targa Resources Partners Finance Corp.: | |||
4.25% 11/15/23 | 750,000 | 754,710 | |
4.875% 2/1/31 (c) | 3,030,000 | 3,052,877 | |
5.125% 2/1/25 | 680,000 | 694,464 | |
5.375% 2/1/27 | 3,475,000 | 3,587,938 | |
5.5% 3/1/30 (c) | 1,500,000 | 1,582,028 | |
5.875% 4/15/26 | 225,000 | 236,813 | |
6.5% 7/15/27 | 425,000 | 459,000 | |
6.875% 1/15/29 | 2,000,000 | 2,210,000 | |
Viper Energy Partners LP 5.375% 11/1/27 (c) | 2,300,000 | 2,369,000 | |
Western Gas Partners LP: | |||
3.95% 6/1/25 | 1,285,000 | 1,281,389 | |
4% 7/1/22 | 250,000 | 254,375 | |
4.1% 2/1/25 | 1,035,000 | 1,032,537 | |
4.65% 7/1/26 | 380,000 | 388,550 | |
5.05% 2/1/30 | 8,575,000 | 8,791,090 | |
5.3% 3/1/48 | 490,000 | 437,487 | |
6.25% 2/1/50 | 170,000 | 170,241 | |
WPX Energy, Inc.: | |||
5.25% 9/15/24 | 2,300,000 | 2,344,850 | |
5.25% 10/15/27 | 1,250,000 | 1,243,375 | |
5.75% 6/1/26 | 892,000 | 910,687 | |
191,326,792 | |||
TOTAL ENERGY | 196,376,074 | ||
FINANCIALS - 2.4% | |||
Banks - 0.0% | |||
CIT Group, Inc.: | |||
5% 8/1/23 | 525,000 | 555,870 | |
6.125% 3/9/28 | 625,000 | 736,719 | |
1,292,589 | |||
Capital Markets - 0.2% | |||
Argos Merger Sub, Inc. 7.125% 3/15/23 (c) | 5,700,000 | 5,742,123 | |
LPL Holdings, Inc. 5.75% 9/15/25 (c) | 2,666,000 | 2,772,640 | |
MSCI, Inc. 4.75% 8/1/26 (c) | 1,775,000 | 1,846,000 | |
10,360,763 | |||
Consumer Finance - 0.7% | |||
Ally Financial, Inc.: | |||
3.875% 5/21/24 | 840,000 | 894,261 | |
5.75% 11/20/25 | 4,685,000 | 5,259,053 | |
8% 11/1/31 | 2,270,000 | 3,083,750 | |
Ford Motor Credit Co. LLC: | |||
2.343% 11/2/20 | 275,000 | 273,969 | |
3.087% 1/9/23 | 1,035,000 | 1,028,687 | |
3.219% 1/9/22 | 630,000 | 626,781 | |
3.339% 3/28/22 | 480,000 | 480,504 | |
4.125% 8/17/27 | 1,250,000 | 1,248,013 | |
4.687% 6/9/25 | 945,000 | 970,884 | |
5.113% 5/3/29 | 2,125,000 | 2,244,531 | |
5.125% 6/16/25 | 730,000 | 767,033 | |
Navient Corp.: | |||
7.25% 1/25/22 | 1,015,000 | 1,065,750 | |
7.25% 9/25/23 | 325,000 | 343,688 | |
Springleaf Finance Corp.: | |||
6.625% 1/15/28 | 2,846,000 | 3,248,737 | |
6.875% 3/15/25 | 2,266,000 | 2,555,606 | |
7.125% 3/15/26 | 4,355,000 | 4,997,341 | |
29,088,588 | |||
Diversified Financial Services - 0.9% | |||
Enviva Partners LP / Enviva Partners Finance Corp. 6.5% 1/15/26 (c) | 1,350,000 | 1,437,467 | |
Fairstone Financial, Inc. 7.875% 7/15/24 (c) | 550,000 | 576,125 | |
Financial & Risk U.S. Holdings, Inc. 8.25% 11/15/26 (c) | 9,999,000 | 11,073,893 | |
Five Point Operation Co. LP 7.875% 11/15/25 (c) | 1,409,000 | 1,416,045 | |
Icahn Enterprises LP/Icahn Enterprises Finance Corp.: | |||
4.75% 9/15/24 | 1,530,000 | 1,579,725 | |
5.25% 5/15/27 | 4,935,000 | 5,243,438 | |
6.25% 5/15/26 | 4,870,000 | 5,198,725 | |
6.375% 12/15/25 | 3,080,000 | 3,195,500 | |
MPH Acquisition Holdings LLC 7.125% 6/1/24 (c) | 1,915,000 | 1,944,300 | |
Venator Finance SARL/Venator Capital Management Ltd.: | |||
5.75% 7/15/25 (c) | 1,800,000 | 1,512,000 | |
9.5% 7/1/25 (c) | 825,000 | 866,250 | |
Verscend Escrow Corp. 9.75% 8/15/26 (c) | 4,050,000 | 4,394,250 | |
38,437,718 | |||
Insurance - 0.4% | |||
Alliant Holdings Intermediate LLC 6.75% 10/15/27 (c) | 7,160,000 | 7,589,600 | |
AmWINS Group, Inc. 7.75% 7/1/26 (c) | 4,715,000 | 5,080,413 | |
HUB International Ltd. 7% 5/1/26 (c) | 1,200,000 | 1,245,000 | |
USI, Inc. 6.875% 5/1/25 (c) | 4,985,000 | 5,109,625 | |
19,024,638 | |||
Mortgage Real Estate Investment Trusts - 0.0% | |||
Starwood Property Trust, Inc. 4.75% 3/15/25 | 515,000 | 495,688 | |
Thrifts & Mortgage Finance - 0.2% | |||
Nationstar Mortgage Holdings, Inc.: | |||
5.5% 8/15/28 (c) | 2,585,000 | 2,718,774 | |
6% 1/15/27 (c) | 1,862,000 | 1,974,297 | |
9.125% 7/15/26 (c) | 3,570,000 | 3,883,517 | |
Quicken Loans, Inc. 5.25% 1/15/28 (c) | 1,470,000 | 1,567,395 | |
10,143,983 | |||
TOTAL FINANCIALS | 108,843,967 | ||
HEALTH CARE - 2.6% | |||
Health Care Equipment & Supplies - 0.1% | |||
AdaptHealth LLC 6.125% 8/1/28 (c) | 460,000 | 481,850 | |
Avantor Funding, Inc. 4.625% 7/15/28 (c) | 2,075,000 | 2,194,728 | |
Hologic, Inc.: | |||
4.375% 10/15/25 (c) | 980,000 | 1,000,237 | |
4.625% 2/1/28 (c) | 185,000 | 196,418 | |
Teleflex, Inc.: | |||
4.25% 6/1/28 (c) | 295,000 | 311,225 | |
4.875% 6/1/26 | 1,750,000 | 1,828,750 | |
6,013,208 | |||
Health Care Providers & Services - 1.8% | |||
Acadia Healthcare Co., Inc.: | |||
5.625% 2/15/23 | 250,000 | 251,875 | |
6.5% 3/1/24 | 600,000 | 618,000 | |
AMN Healthcare 4.625% 10/1/27 (c) | 525,000 | 548,300 | |
Centene Corp.: | |||
4.25% 12/15/27 | 4,485,000 | 4,709,250 | |
4.625% 12/15/29 | 2,745,000 | 3,008,081 | |
5.25% 4/1/25 (c) | 1,095,000 | 1,136,063 | |
5.375% 8/15/26 (c) | 1,220,000 | 1,291,675 | |
Community Health Systems, Inc.: | |||
6.25% 3/31/23 | 1,775,000 | 1,779,438 | |
8% 3/15/26 (c) | 3,080,000 | 3,191,650 | |
8.625% 1/15/24 (c) | 1,445,000 | 1,510,025 | |
DaVita HealthCare Partners, Inc. 4.625% 6/1/30 (c) | 3,945,000 | 4,147,181 | |
HCA Holdings, Inc.: | |||
3.5% 9/1/30 | 1,975,000 | 2,071,237 | |
5.375% 2/1/25 | 500,000 | 562,880 | |
5.375% 9/1/26 | 1,525,000 | 1,727,063 | |
5.625% 9/1/28 | 1,375,000 | 1,635,308 | |
5.875% 2/15/26 | 2,050,000 | 2,347,250 | |
5.875% 2/1/29 | 5,350,000 | 6,498,511 | |
LifePoint Hospitals, Inc. 6.75% 4/15/25 (c) | 1,600,000 | 1,728,000 | |
MEDNAX, Inc. 5.25% 12/1/23 (c) | 1,900,000 | 1,933,250 | |
Polaris Intermediate Corp. 8.5% 12/1/22 pay-in-kind (c)(e) | 765,000 | 777,431 | |
Regionalcare Hospital Partners 9.75% 12/1/26 (c) | 4,208,000 | 4,560,168 | |
Sabra Health Care LP 5.125% 8/15/26 | 725,000 | 789,496 | |
Surgery Center Holdings, Inc. 10% 4/15/27 (c) | 1,350,000 | 1,461,780 | |
Tenet Healthcare Corp.: | |||
4.625% 7/15/24 | 2,147,000 | 2,196,381 | |
4.625% 9/1/24 (c) | 500,000 | 513,750 | |
4.625% 6/15/28 (c) | 2,620,000 | 2,718,250 | |
4.875% 1/1/26 (c) | 1,270,000 | 1,320,800 | |
5.125% 5/1/25 | 1,515,000 | 1,545,300 | |
5.125% 11/1/27 (c) | 3,355,000 | 3,539,525 | |
6.25% 2/1/27 (c) | 5,440,000 | 5,712,000 | |
6.75% 6/15/23 | 3,620,000 | 3,855,300 | |
6.875% 11/15/31 | 805,000 | 800,975 | |
7% 8/1/25 | 4,550,000 | 4,697,875 | |
7.5% 4/1/25 (c) | 2,310,000 | 2,534,532 | |
8.125% 4/1/22 | 3,945,000 | 4,258,628 | |
U.S. Renal Care, Inc. 10.625% 7/15/27 (c) | 375,000 | 405,000 | |
Vizient, Inc. 6.25% 5/15/27 (c) | 125,000 | 132,813 | |
82,515,041 | |||
Health Care Technology - 0.0% | |||
IMS Health, Inc. 5% 5/15/27 (c) | 1,425,000 | 1,499,962 | |
Life Sciences Tools & Services - 0.1% | |||
Avantor, Inc. 6% 10/1/24 (c) | 780,000 | 817,050 | |
Charles River Laboratories International, Inc.: | |||
4.25% 5/1/28 (c) | 145,000 | 152,613 | |
5.5% 4/1/26 (c) | 735,000 | 773,588 | |
1,743,251 | |||
Pharmaceuticals - 0.6% | |||
Catalent Pharma Solutions 4.875% 1/15/26 (c) | 1,355,000 | 1,382,100 | |
Valeant Pharmaceuticals International, Inc.: | |||
5% 1/30/28 (c) | 1,250,000 | 1,231,250 | |
5.25% 1/30/30 (c) | 2,015,000 | 2,002,890 | |
5.5% 11/1/25 (c) | 780,000 | 805,116 | |
5.875% 5/15/23 (c) | 21,000 | 21,000 | |
6.125% 4/15/25 (c) | 6,010,000 | 6,182,788 | |
6.25% 2/15/29 (c) | 2,975,000 | 3,109,916 | |
7% 3/15/24 (c) | 2,500,000 | 2,597,400 | |
7% 1/15/28 (c) | 630,000 | 670,950 | |
8.5% 1/31/27 (c) | 3,750,000 | 4,125,000 | |
9.25% 4/1/26 (c) | 4,690,000 | 5,199,944 | |
27,328,354 | |||
TOTAL HEALTH CARE | 119,099,816 | ||
INDUSTRIALS - 3.7% | |||
Aerospace & Defense - 1.4% | |||
BBA U.S. Holdings, Inc.: | |||
4% 3/1/28 (c) | 3,000,000 | 2,933,070 | |
5.375% 5/1/26 (c) | 2,530,000 | 2,605,900 | |
Bombardier, Inc.: | |||
7.5% 12/1/24 (c) | 2,050,000 | 1,537,500 | |
7.5% 3/15/25 (c) | 9,680,000 | 7,114,800 | |
7.875% 4/15/27 (c) | 9,535,000 | 6,910,015 | |
8.75% 12/1/21 (c) | 3,600,000 | 3,438,000 | |
BWX Technologies, Inc.: | |||
4.125% 6/30/28 (c) | 3,000,000 | 3,127,500 | |
5.375% 7/15/26 (c) | 1,925,000 | 2,016,438 | |
Howmet Aerospace, Inc. 6.875% 5/1/25 | 225,000 | 255,752 | |
Moog, Inc. 4.25% 12/15/27 (c) | 4,170,000 | 4,305,525 | |
Spirit Aerosystems, Inc. 7.5% 4/15/25 (c) | 775,000 | 782,262 | |
The Boeing Co.: | |||
5.15% 5/1/30 | 2,975,000 | 3,331,005 | |
5.805% 5/1/50 | 3,960,000 | 4,730,656 | |
TransDigm UK Holdings PLC 6.875% 5/15/26 | 495,000 | 505,088 | |
TransDigm, Inc.: | |||
5.5% 11/15/27 | 9,540,000 | 9,301,500 | |
6.25% 3/15/26 (c) | 5,380,000 | 5,677,030 | |
6.5% 7/15/24 | 725,000 | 728,625 | |
6.5% 5/15/25 | 2,030,000 | 2,045,225 | |
7.5% 3/15/27 | 455,000 | 475,475 | |
8% 12/15/25 (c) | 2,250,000 | 2,446,875 | |
64,268,241 | |||
Air Freight & Logistics - 0.1% | |||
XPO Logistics, Inc.: | |||
6.125% 9/1/23 (c) | 500,000 | 508,125 | |
6.25% 5/1/25 (c) | 3,440,000 | 3,672,200 | |
6.75% 8/15/24 (c) | 1,635,000 | 1,738,577 | |
5,918,902 | |||
Building Products - 0.4% | |||
Advanced Drain Systems, Inc. 5% 9/30/27 (c) | 4,950,000 | 5,162,256 | |
Building Materials Corp. of America: | |||
3.375% 1/15/31 (c) | 950,000 | 942,875 | |
4.375% 7/15/30 (c) | 2,675,000 | 2,834,390 | |
4.75% 1/15/28 (c) | 1,846,000 | 1,942,915 | |
5% 2/15/27 (c) | 180,000 | 187,954 | |
Forterra Finance LLC/FRTA Finance Corp. 6.5% 7/15/25 (c) | 350,000 | 372,313 | |
Griffon Corp. 5.75% 3/1/28 | 775,000 | 822,469 | |
Jeld-Wen, Inc.: | |||
4.625% 12/15/25 (c) | 200,000 | 201,000 | |
6.25% 5/15/25 (c) | 125,000 | 134,200 | |
Masonite International Corp.: | |||
5.375% 2/1/28 (c) | 725,000 | 775,750 | |
5.75% 9/15/26 (c) | 500,000 | 524,930 | |
NCI Building Systems, Inc. 8% 4/15/26 (c) | 2,650,000 | 2,795,591 | |
Patrick Industries, Inc. 7.5% 10/15/27 (c) | 325,000 | 359,093 | |
17,055,736 | |||
Commercial Services & Supplies - 0.7% | |||
Allied Universal Holdco LLC / Allied Universal Finance Corp.: | |||
6.625% 7/15/26 (c) | 2,799,000 | 3,001,928 | |
9.75% 7/15/27 (c) | 1,465,000 | 1,622,488 | |
APX Group, Inc. 6.75% 2/15/27 (c) | 1,460,000 | 1,533,000 | |
Brand Energy & Infrastructure Services, Inc. 8.5% 7/15/25 (c) | 4,685,000 | 4,544,450 | |
Core & Main Holdings LP 8.625% 9/15/24 pay-in-kind (c) | 2,450,000 | 2,502,577 | |
LBC Tank Terminals Holding Netherlands BV 6.875% 5/15/23 (c) | 1,800,000 | 1,804,500 | |
Nielsen Co. SARL (Luxembourg) 5% 2/1/25 (c) | 4,490,000 | 4,579,800 | |
Nielsen Finance LLC/Nielsen Finance Co. 5% 4/15/22 (c) | 4,715,000 | 4,719,479 | |
PowerTeam Services LLC 9.033% 12/4/25 (c) | 1,050,000 | 1,118,906 | |
The Brink's Co.: | |||
4.625% 10/15/27 (c) | 850,000 | 882,683 | |
5.5% 7/15/25 (c) | 730,000 | 770,150 | |
West Corp. 8.5% 10/15/25 (c) | 4,685,000 | 4,147,689 | |
31,227,650 | |||
Construction & Engineering - 0.3% | |||
AECOM: | |||
5.125% 3/15/27 | 3,076,000 | 3,372,988 | |
5.875% 10/15/24 | 5,230,000 | 5,824,913 | |
Amsted Industries, Inc.: | |||
4.625% 5/15/30 (c) | 485,000 | 504,725 | |
5.625% 7/1/27 (c) | 1,605,000 | 1,705,313 | |
Cloud Crane LLC 10.125% 8/1/24 (c) | 2,265,000 | 2,268,624 | |
Pike Corp. 5.5% 9/1/28 (c) | 615,000 | 618,075 | |
14,294,638 | |||
Electrical Equipment - 0.1% | |||
Sensata Technologies BV 5% 10/1/25 (c) | 715,000 | 776,991 | |
Wesco Distribution, Inc.: | |||
7.125% 6/15/25 (c) | 1,375,000 | 1,511,029 | |
7.25% 6/15/28 (c) | 515,000 | 574,586 | |
2,862,606 | |||
Machinery - 0.2% | |||
Navistar International Corp.: | |||
6.625% 11/1/25 (c) | 2,250,000 | 2,296,575 | |
9.5% 5/1/25 (c) | 2,125,000 | 2,422,500 | |
Titan International, Inc. 6.5% 11/30/23 | 675,000 | 503,790 | |
TriMas Corp. 4.875% 10/15/25 (c) | 812,000 | 825,195 | |
Vertical U.S. Newco, Inc. 5.25% 7/15/27 (c) | 3,625,000 | 3,774,531 | |
9,822,591 | |||
Professional Services - 0.1% | |||
ASGN, Inc. 4.625% 5/15/28 (c) | 660,000 | 683,100 | |
Booz Allen Hamilton, Inc. 3.875% 9/1/28 (c) | 2,275,000 | 2,359,630 | |
Dun & Bradstreet Corp.: | |||
6.875% 8/15/26 (c) | 1,400,000 | 1,519,000 | |
10.25% 2/15/27 (c) | 1,675,000 | 1,909,500 | |
6,471,230 | |||
Trading Companies & Distributors - 0.4% | |||
FLY Leasing Ltd. 5.25% 10/15/24 | 655,000 | 519,088 | |
H&E Equipment Services, Inc. 5.625% 9/1/25 | 2,378,000 | 2,467,175 | |
United Rentals North America, Inc.: | |||
3.875% 2/15/31 | 3,975,000 | 4,089,281 | |
4% 7/15/30 | 3,025,000 | 3,161,125 | |
4.875% 1/15/28 | 2,775,000 | 2,950,436 | |
5.25% 1/15/30 | 2,400,000 | 2,665,428 | |
15,852,533 | |||
TOTAL INDUSTRIALS | 167,774,127 | ||
INFORMATION TECHNOLOGY - 1.7% | |||
Communications Equipment - 0.2% | |||
CommScope Technologies Finance LLC 6% 6/15/25 (c) | 1,120,000 | 1,148,235 | |
CommScope, Inc.: | |||
5.5% 3/1/24 (c) | 1,000,000 | 1,032,500 | |
6% 3/1/26 (c) | 1,050,000 | 1,115,625 | |
7.125% 7/1/28 (c) | 900,000 | 960,535 | |
8.25% 3/1/27 (c) | 1,195,000 | 1,293,576 | |
SSL Robotics LLC 9.75% 12/31/23 (c) | 1,537,000 | 1,736,810 | |
ViaSat, Inc. 6.5% 7/15/28 (c) | 355,000 | 367,425 | |
7,654,706 | |||
Electronic Equipment & Components - 0.1% | |||
Itron, Inc. 5% 1/15/26 (c) | 498,000 | 512,940 | |
Sensata Technologies, Inc. 3.75% 2/15/31 (c) | 400,000 | 399,000 | |
TTM Technologies, Inc. 5.625% 10/1/25 (c) | 2,835,000 | 2,905,875 | |
3,817,815 | |||
IT Services - 0.7% | |||
Alliance Data Systems Corp. 4.75% 12/15/24 (c) | 1,325,000 | 1,265,375 | |
Banff Merger Sub, Inc. 9.75% 9/1/26 (c) | 7,183,000 | 7,652,050 | |
Camelot Finance SA 4.5% 11/1/26 (c) | 1,250,000 | 1,293,400 | |
CDW LLC/CDW Finance Corp. 3.25% 2/15/29 | 505,000 | 515,797 | |
Everi Payments, Inc. 7.5% 12/15/25 (c) | 2,302,000 | 2,270,831 | |
Gartner, Inc.: | |||
4.5% 7/1/28 (c) | 1,150,000 | 1,201,750 | |
5.125% 4/1/25 (c) | 350,000 | 363,895 | |
Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc. 10.75% 6/1/28 (c) | 2,286,000 | 2,537,460 | |
Rackspace Hosting, Inc. 8.625% 11/15/24 (c) | 4,930,000 | 5,189,712 | |
Sabre GLBL, Inc. 7.375% 9/1/25 (c) | 775,000 | 809,604 | |
Science Applications International Corp. 4.875% 4/1/28 (c) | 2,320,000 | 2,404,100 | |
Tempo Acquisition LLC: | |||
5.75% 6/1/25 (c) | 920,000 | 963,700 | |
6.75% 6/1/25 (c) | 4,960,000 | 5,065,499 | |
Zayo Group LLC/Zayo Capital, Inc. 6% 4/1/23 | 650,000 | 640,114 | |
32,173,287 | |||
Semiconductors & Semiconductor Equipment - 0.1% | |||
Entegris, Inc. 4.375% 4/15/28 (c) | 985,000 | 1,026,863 | |
Microchip Technology, Inc. 4.25% 9/1/25 (c) | 2,890,000 | 3,009,298 | |
ON Semiconductor Corp. 3.875% 9/1/28 (c) | 885,000 | 923,480 | |
4,959,641 | |||
Software - 0.6% | |||
Ascend Learning LLC: | |||
6.875% 8/1/25 (c) | 1,910,000 | 1,967,300 | |
6.875% 8/1/25 (c) | 430,000 | 442,900 | |
Black Knight InfoServ LLC 3.625% 9/1/28 (c) | 2,685,000 | 2,719,422 | |
Boxer Parent Co., Inc. 7.125% 10/2/25 (c) | 1,430,000 | 1,553,409 | |
BY Crown Parent LLC / BY Bond Finance, Inc. 4.25% 1/31/26 (c) | 1,625,000 | 1,659,369 | |
CDK Global, Inc.: | |||
4.875% 6/1/27 | 485,000 | 511,675 | |
5.25% 5/15/29 (c) | 240,000 | 261,821 | |
5.875% 6/15/26 | 985,000 | 1,034,614 | |
Ensemble S Merger Sub, Inc. 9% 9/30/23 (c) | 2,258,000 | 2,269,290 | |
Fair Isaac Corp. 5.25% 5/15/26 (c) | 3,735,000 | 4,288,901 | |
Nortonlifelock, Inc. 5% 4/15/25 (c) | 4,260,000 | 4,345,200 | |
Nuance Communications, Inc. 5.625% 12/15/26 | 1,085,000 | 1,150,100 | |
Open Text Corp. 3.875% 2/15/28 (c) | 875,000 | 899,990 | |
Open Text Holdings, Inc. 4.125% 2/15/30 (c) | 1,400,000 | 1,451,478 | |
SS&C Technologies, Inc. 5.5% 9/30/27 (c) | 1,850,000 | 1,981,535 | |
26,537,004 | |||
Technology Hardware, Storage & Peripherals - 0.0% | |||
NCR Corp.: | |||
5% 10/1/28 (c) | 675,000 | 680,063 | |
5.25% 10/1/30 (c) | 700,000 | 709,107 | |
8.125% 4/15/25 (c) | 175,000 | 195,774 | |
1,584,944 | |||
TOTAL INFORMATION TECHNOLOGY | 76,727,397 | ||
MATERIALS - 2.5% | |||
Chemicals - 1.1% | |||
Alpha 2 BV 8.75% 6/1/23 pay-in-kind (c)(e) | 975,000 | 989,625 | |
Alpha 3 BV / Alpha U.S. BidCo I 6.25% 2/1/25 (c) | 425,000 | 435,464 | |
Axalta Coating Systems/Dutch Holding BV 4.75% 6/15/27 (c) | 1,175,000 | 1,230,813 | |
CF Industries Holdings, Inc.: | |||
4.95% 6/1/43 | 1,635,000 | 1,929,300 | |
5.15% 3/15/34 | 665,000 | 788,025 | |
5.375% 3/15/44 | 395,000 | 490,788 | |
Consolidated Energy Finance SA: | |||
3 month U.S. LIBOR + 3.750% 4.0634% 6/15/22 (c)(e)(i) | 1,615,000 | 1,519,090 | |
6.5% 5/15/26 (c) | 2,130,000 | 1,879,725 | |
Cornerstone Chemical Co. 6.75% 8/15/24 (c) | 750,000 | 697,500 | |
Element Solutions, Inc. 5.875% 12/1/25 (c) | 2,365,000 | 2,456,644 | |
Hexion, Inc. 7.875% 7/15/27 (c) | 1,950,000 | 1,954,875 | |
Minerals Technologies, Inc. 5% 7/1/28 (c) | 375,000 | 390,938 | |
NOVA Chemicals Corp.: | |||
4.875% 6/1/24 (c) | 800,000 | 794,000 | |
5.25% 6/1/27 (c) | 1,700,000 | 1,644,750 | |
Nufarm Australia Ltd. 5.75% 4/30/26 (c) | 2,495,000 | 2,513,713 | |
Olin Corp.: | |||
5.125% 9/15/27 | 1,495,000 | 1,472,575 | |
5.625% 8/1/29 | 3,000,000 | 3,000,000 | |
9.5% 6/1/25 (c) | 375,000 | 434,063 | |
PolyOne Corp. 5.75% 5/15/25 (c) | 100,000 | 106,250 | |
Rain CII Carbon LLC/CII Carbon Corp. 7.25% 4/1/25 (c) | 1,075,000 | 1,061,563 | |
The Chemours Co. LLC: | |||
5.375% 5/15/27 | 3,265,000 | 3,281,325 | |
6.625% 5/15/23 | 1,600,000 | 1,607,984 | |
7% 5/15/25 | 3,984,000 | 4,073,640 | |
The Scotts Miracle-Gro Co. 4.5% 10/15/29 | 1,055,000 | 1,128,787 | |
TPC Group, Inc. 10.5% 8/1/24 (c) | 3,320,000 | 2,809,550 | |
Tronox, Inc.: | |||
6.5% 5/1/25 (c) | 3,150,000 | 3,378,375 | |
6.5% 4/15/26 (c) | 1,846,000 | 1,900,755 | |
Valvoline, Inc.: | |||
4.25% 2/15/30 (c) | 4,550,000 | 4,828,688 | |
4.375% 8/15/25 | 1,025,000 | 1,063,643 | |
W. R. Grace & Co.-Conn. 4.875% 6/15/27 (c) | 995,000 | 1,042,263 | |
50,904,711 | |||
Construction Materials - 0.1% | |||
CEMEX S.A.B. de CV 5.45% 11/19/29 (c) | 200,000 | 205,375 | |
Summit Materials LLC/Summit Materials Finance Corp.: | |||
5.25% 1/15/29 (c) | 980,000 | 1,026,628 | |
6.5% 3/15/27 (c) | 1,025,000 | 1,094,188 | |
U.S. Concrete, Inc. 6.375% 6/1/24 | 2,890,000 | 2,983,636 | |
5,309,827 | |||
Containers & Packaging - 0.5% | |||
ARD Finance SA 6.5% 6/30/27 pay-in-kind (c)(e) | 2,055,000 | 2,111,513 | |
Ardagh Packaging Finance PLC/Ardagh MP Holdings U.S.A., Inc.: | |||
4.125% 8/15/26 (c) | 250,000 | 260,800 | |
5.25% 8/15/27 (c) | 525,000 | 546,200 | |
6% 2/15/25 (c) | 623,000 | 649,789 | |
Berry Global, Inc. 4.875% 7/15/26 (c) | 1,105,000 | 1,174,063 | |
Crown Americas LLC/Crown Americas Capital Corp. IV 4.75% 2/1/26 | 670,000 | 698,442 | |
Flex Acquisition Co., Inc.: | |||
6.875% 1/15/25 (c) | 3,000,000 | 3,057,900 | |
7.875% 7/15/26 (c) | 1,895,000 | 1,988,215 | |
Graham Packaging Co., Inc. 7.125% 8/15/28 (c) | 320,000 | 336,133 | |
Intelligent Packaging Ltd. Finco, Inc. 6% 9/15/28 (c)(g) | 315,000 | 321,300 | |
OI European Group BV 4% 3/15/23 (c) | 1,445,000 | 1,459,753 | |
Owens-Brockway Glass Container, Inc.: | |||
5.375% 1/15/25 (c) | 2,000,000 | 2,110,000 | |
6.375% 8/15/25 (c) | 650,000 | 715,000 | |
6.625% 5/13/27 (c) | 500,000 | 550,000 | |
Silgan Holdings, Inc. 4.75% 3/15/25 | 695,000 | 708,900 | |
Trivium Packaging Finance BV: | |||
5.5% 8/15/26 (c) | 3,785,000 | 3,991,737 | |
8.5% 8/15/27 (c) | 315,000 | 346,500 | |
21,026,245 | |||
Metals & Mining - 0.8% | |||
Allegheny Technologies, Inc. 5.875% 12/1/27 | 4,000,000 | 3,842,800 | |
Cleveland-Cliffs, Inc.: | |||
6.75% 3/15/26 (c) | 150,000 | 153,188 | |
9.875% 10/17/25 (c) | 695,000 | 766,641 | |
Constellium NV: | |||
5.625% 6/15/28 (c) | 500,000 | 516,250 | |
5.75% 5/15/24 (c) | 2,300,000 | 2,346,000 | |
5.875% 2/15/26 (c) | 1,500,000 | 1,535,535 | |
6.625% 3/1/25 (c) | 825,000 | 849,750 | |
Eldorado Gold Corp. 9.5% 6/1/24 (c) | 785,000 | 855,650 | |
First Quantum Minerals Ltd.: | |||
6.5% 3/1/24 (c) | 400,000 | 392,500 | |
6.875% 3/1/26 (c) | 1,945,000 | 1,943,784 | |
7.25% 5/15/22 (c) | 3,965,000 | 3,968,717 | |
7.25% 4/1/23 (c) | 5,160,000 | 5,185,800 | |
7.5% 4/1/25 (c) | 460,000 | 463,594 | |
FMG Resources (August 2006) Pty Ltd. 4.5% 9/15/27 (c) | 20,000 | 21,600 | |
Freeport-McMoRan, Inc.: | |||
3.55% 3/1/22 | 63,000 | 64,556 | |
3.875% 3/15/23 | 1,645,000 | 1,703,200 | |
4.375% 8/1/28 | 1,175,000 | 1,236,688 | |
4.625% 8/1/30 | 1,195,000 | 1,277,144 | |
Hecla Mining Co. 7.25% 2/15/28 | 550,000 | 606,375 | |
IAMGOLD Corp. 7% 4/15/25 (c) | 1,150,000 | 1,207,500 | |
Kaiser Aluminum Corp.: | |||
4.625% 3/1/28 (c) | 1,510,000 | 1,493,571 | |
6.5% 5/1/25 (c) | 1,385,000 | 1,463,827 | |
New Gold, Inc.: | |||
6.375% 5/15/25 (c) | 2,250,000 | 2,342,779 | |
7.5% 7/15/27 (c) | 775,000 | 840,875 | |
Novelis Corp.: | |||
4.75% 1/30/30 (c) | 725,000 | 734,766 | |
5.875% 9/30/26 (c) | 2,149,000 | 2,245,275 | |
38,058,365 | |||
TOTAL MATERIALS | 115,299,148 | ||
REAL ESTATE - 1.3% | |||
Equity Real Estate Investment Trusts (REITs) - 0.9% | |||
CoreCivic, Inc.: | |||
4.625% 5/1/23 | 275,000 | 261,250 | |
5% 10/15/22 | 802,000 | 789,970 | |
CTR Partnership LP/CareTrust Capital Corp. 5.25% 6/1/25 | 1,170,000 | 1,193,400 | |
ESH Hospitality, Inc.: | |||
4.625% 10/1/27 (c) | 750,000 | 749,985 | |
5.25% 5/1/25 (c) | 2,075,000 | 2,106,125 | |
GLP Capital LP/GLP Financing II, Inc.: | |||
4% 1/15/30 | 1,000,000 | 1,037,600 | |
5.25% 6/1/25 | 1,325,000 | 1,433,226 | |
5.375% 4/15/26 | 550,000 | 610,360 | |
5.75% 6/1/28 | 500,000 | 568,680 | |
MGM Growth Properties Operating Partnership LP: | |||
4.5% 9/1/26 | 3,050,000 | 3,202,500 | |
4.5% 1/15/28 | 1,925,000 | 1,977,938 | |
4.625% 6/15/25 (c) | 445,000 | 469,609 | |
MPT Operating Partnership LP/MPT Finance Corp.: | |||
5% 10/15/27 | 2,914,000 | 3,081,555 | |
5.25% 8/1/26 | 1,035,000 | 1,086,750 | |
5.5% 5/1/24 | 1,500,000 | 1,522,500 | |
Park Intermediate Holdings LLC 7.5% 6/1/25 (c) | 3,369,000 | 3,613,253 | |
RHP Hotel Properties LP/RHP Finance Corp.: | |||
4.75% 10/15/27 | 375,000 | 341,250 | |
5% 4/15/23 | 50,000 | 49,157 | |
SBA Communications Corp. 4.875% 9/1/24 | 1,700,000 | 1,746,240 | |
Senior Housing Properties Trust: | |||
6.75% 12/15/21 | 300,000 | 307,172 | |
9.75% 6/15/25 | 2,555,000 | 2,855,213 | |
The GEO Group, Inc.: | |||
5.875% 10/15/24 | 350,000 | 274,750 | |
6% 4/15/26 | 1,290,000 | 989,230 | |
Uniti Group, Inc. 7.875% 2/15/25 (c) | 5,400,000 | 5,707,314 | |
VICI Properties, Inc.: | |||
3.5% 2/15/25 (c) | 630,000 | 631,109 | |
4.25% 12/1/26 (c) | 1,480,000 | 1,513,300 | |
4.625% 12/1/29 (c) | 2,660,000 | 2,766,400 | |
40,885,836 | |||
Real Estate Management & Development - 0.4% | |||
Forestar Group, Inc.: | |||
5% 3/1/28 (c) | 300,000 | 303,114 | |
8% 4/15/24 (c) | 650,000 | 689,813 | |
Greystar Real Estate Partners 5.75% 12/1/25 (c) | 1,500,000 | 1,531,875 | |
Howard Hughes Corp.: | |||
5.375% 3/15/25 (c) | 3,045,000 | 3,082,758 | |
5.375% 8/1/28 (c) | 520,000 | 527,831 | |
Hunt Companies, Inc. 6.25% 2/15/26 (c) | 2,625,000 | 2,518,084 | |
Mattamy Group Corp.: | |||
4.625% 3/1/30 (c) | 500,000 | 511,250 | |
5.25% 12/15/27 (c) | 725,000 | 757,625 | |
Taylor Morrison Communities, Inc./Monarch Communities, Inc.: | |||
5.125% 8/1/30 (c) | 2,191,000 | 2,379,316 | |
5.625% 3/1/24 (c) | 250,000 | 266,875 | |
5.75% 1/15/28 (c) | 3,000,000 | 3,365,310 | |
5.875% 1/31/25 (c) | 278,000 | 282,170 | |
5.875% 6/15/27 (c) | 800,000 | 898,352 | |
6% 9/1/23 (c) | 704,000 | 721,600 | |
6.625% 7/15/27 (c) | 1,175,000 | 1,269,000 | |
19,104,973 | |||
TOTAL REAL ESTATE | 59,990,809 | ||
UTILITIES - 1.9% | |||
Electric Utilities - 1.1% | |||
Clearway Energy Operating LLC: | |||
4.75% 3/15/28 (c) | 290,000 | 303,775 | |
5% 9/15/26 | 885,000 | 928,772 | |
5.75% 10/15/25 | 900,000 | 954,000 | |
InterGen NV 7% 6/30/23 (c) | 3,045,000 | 2,953,650 | |
NextEra Energy Partners LP: | |||
4.25% 9/15/24 (c) | 1,365,000 | 1,453,725 | |
4.5% 9/15/27 (c) | 250,000 | 273,125 | |
NRG Energy, Inc.: | |||
5.25% 6/15/29 (c) | 3,879,000 | 4,228,110 | |
5.75% 1/15/28 | 1,000,000 | 1,087,500 | |
6.625% 1/15/27 | 3,185,000 | 3,408,587 | |
NSG Holdings II LLC/NSG Holdings, Inc. 7.75% 12/15/25 (c) | 1,389,480 | 1,465,902 | |
Pattern Energy Operations LP 4.5% 8/15/28 (c) | 575,000 | 605,188 | |
PG&E Corp.: | |||
5% 7/1/28 | 975,000 | 972,563 | |
5.25% 7/1/30 | 6,745,000 | 6,727,733 | |
Vistra Operations Co. LLC: | |||
5% 7/31/27 (c) | 8,803,000 | 9,335,405 | |
5.5% 9/1/26 (c) | 5,366,000 | 5,634,300 | |
5.625% 2/15/27 (c) | 7,842,000 | 8,292,915 | |
48,625,250 | |||
Gas Utilities - 0.3% | |||
AmeriGas Partners LP/AmeriGas Finance Corp.: | |||
5.5% 5/20/25 | 2,300,000 | 2,524,250 | |
5.625% 5/20/24 | 1,664,000 | 1,816,705 | |
5.75% 5/20/27 | 1,480,000 | 1,667,072 | |
5.875% 8/20/26 | 2,725,000 | 3,087,956 | |
Ferrellgas LP/Ferrellgas Finance Corp. 6.75% 6/15/23 (e) | 1,125,000 | 973,125 | |
Ferrellgas Partners LP / Ferrellgas Partners Finance Corp.: | |||
8.625% 12/31/49 | 300,000 | 79,500 | |
8.625% 12/31/49 | 2,650,000 | 702,250 | |
Suburban Propane Partners LP/Suburban Energy Finance Corp.: | |||
5.5% 6/1/24 | 425,000 | 431,681 | |
5.75% 3/1/25 | 425,000 | 435,625 | |
5.875% 3/1/27 | 2,608,000 | 2,703,036 | |
Superior Plus LP / Superior General Partner, Inc. 7% 7/15/26 (c) | 975,000 | 1,048,125 | |
15,469,325 | |||
Independent Power and Renewable Electricity Producers - 0.5% | |||
Calpine Corp.: | |||
4.625% 2/1/29 (c) | 425,000 | 434,529 | |
5% 2/1/31 (c) | 3,425,000 | 3,579,879 | |
5.125% 3/15/28 (c) | 11,995,000 | 12,594,750 | |
5.25% 6/1/26 (c) | 590,000 | 615,872 | |
Talen Energy Supply LLC 10.5% 1/15/26 (c) | 565,000 | 453,413 | |
TerraForm Power Operating LLC: | |||
4.25% 1/31/23 (c) | 500,000 | 517,600 | |
4.75% 1/15/30 (c) | 190,000 | 203,300 | |
5% 1/31/28 (c) | 1,670,000 | 1,855,595 | |
The AES Corp.: | |||
4.5% 3/15/23 | 682,000 | 688,820 | |
6% 5/15/26 | 630,000 | 661,500 | |
21,605,258 | |||
TOTAL UTILITIES | 85,699,833 | ||
TOTAL NONCONVERTIBLE BONDS | 1,562,167,681 | ||
TOTAL CORPORATE BONDS | |||
(Cost $1,546,979,151) | 1,566,575,983 | ||
U.S. Government Agency - Mortgage Securities - 0.0% | |||
Race Point IX CLO Ltd. - 0.0% | |||
3 month U.S. LIBOR + 1.210% 1.485% 10/15/30 (c)(e)(i) | |||
(Cost $649,885) | 746,045 | 738,896 | |
Asset-Backed Securities - 0.5% | |||
AGL Core CLO 2 Ltd. / AGL Core CLO 2 LLC Series 2019-2A Class A1, 3 month U.S. LIBOR + 1.390% 1.6618% 4/20/32 (c)(e)(i) | $1,000,000 | $999,495 | |
Allegro CLO VII Ltd./LLC Series 2018-1A Class A, 3 month U.S. LIBOR + 1.100% 1.375% 6/13/31 (c)(e)(i) | 6,000,000 | 5,866,188 | |
Carlyle Global Market Strategies CLO Series 2018-3RA Class A1A, 3 month U.S. LIBOR + 1.050% 1.2945% 7/27/31 (c)(e)(i) | 2,975,498 | 2,928,536 | |
Greenwood Park CLO, Ltd. Series 2018-1A Class A2, 3 month U.S. LIBOR + 1.010% 1.285% 4/15/31 (c)(e)(i) | 1,852,000 | 1,824,835 | |
Greywolf CLO VI, Ltd. Series 2018-1A Class A1, 3 month U.S. LIBOR + 1.030% 1.2745% 4/26/31 (c)(e)(i) | 1,500,000 | 1,476,126 | |
Madison Park Funding Series 2020-19A Class A1R2, 3 month U.S. LIBOR + 0.920% 1.1778% 1/22/28 (c)(e)(i) | 1,500,000 | 1,485,744 | |
OZLM XI, Ltd. Series 2017-11A Class A1R, 3 month U.S. LIBOR + 1.250% 1.5183% 10/30/30 (c)(e)(i) | 1,978,374 | 1,950,601 | |
Race Point VIII CLO, Ltd. Series 2020-8A Class AR2, 3 month U.S. LIBOR + 1.040% 1.293% 2/20/30 (c)(e)(i) | 2,961,982 | 2,920,881 | |
Sound Point CLO XVII, Ltd. Series 2017-3A Class A1B, 3 month U.S. LIBOR + 1.220% 1.4918% 10/20/30 (c)(e)(i) | 1,500,000 | 1,483,023 | |
TOTAL ASSET-BACKED SECURITIES | |||
(Cost $21,116,148) | 20,935,429 | ||
Shares | Value | ||
Common Stocks - 0.0% | |||
COMMUNICATION SERVICES - 0.0% | |||
Entertainment - 0.0% | |||
AMC Entertainment Holdings, Inc. Class A | 25,950 | 152,586 | |
ENERGY - 0.0% | |||
Energy Equipment & Services - 0.0% | |||
Weatherford International PLC (j) | 6,540 | 19,816 | |
Oil, Gas & Consumable Fuels - 0.0% | |||
Sanchez Energy Corp. (b) | 16,501 | 429,026 | |
TOTAL ENERGY | 448,842 | ||
TOTAL COMMON STOCKS | |||
(Cost $682,334) | 601,428 | ||
Principal Amount | Value | ||
Bank Loan Obligations - 1.0% | |||
COMMUNICATION SERVICES - 0.2% | |||
Media - 0.1% | |||
iHeartCommunications, Inc.: | |||
1LN, term loan 3 month U.S. LIBOR + 3.000% 3.1564% 5/1/26 (e)(i)(k) | 746,250 | 706,803 | |
Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 4.75% 5/1/26 (e)(i)(k) | 875,000 | 843,649 | |
WideOpenWest Finance LLC Tranche B, term loan 3 month U.S. LIBOR + 3.250% 4.25% 8/19/23 (e)(i)(k) | 1,449,025 | 1,424,348 | |
2,974,800 | |||
Wireless Telecommunication Services - 0.1% | |||
Intelsat Jackson Holdings SA: | |||
Tranche B, term loan 3 month U.S. LIBOR + 3.750% 8% 11/27/23 (e)(i)(k) | 3,190,000 | 3,209,491 | |
Tranche B-4, term loan 3 month U.S. LIBOR + 5.500% 8.75% 1/2/24 (e)(i)(k) | 150,000 | 151,182 | |
Tranche DD 1LN, term loan 3 month U.S. LIBOR + 5.500% 5.05% 7/13/21 (e)(i)(k)(l) | 1,145,082 | 1,164,170 | |
Xplornet Communications, Inc. 1LN, term loan 3 month U.S. LIBOR + 4.750% 4.9064% 5/28/27 (e)(i)(k) | 2,750,000 | 2,709,603 | |
7,234,446 | |||
TOTAL COMMUNICATION SERVICES | 10,209,246 | ||
CONSUMER DISCRETIONARY - 0.1% | |||
Hotels, Restaurants & Leisure - 0.1% | |||
Golden Entertainment, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 3.75% 10/20/24 (e)(i)(k) | 1,312,400 | 1,224,902 | |
Golden Nugget, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.500% 3.25% 10/4/23 (e)(i)(k) | 2,110,000 | 1,882,394 | |
Playtika Holding Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 6.000% 7.072% 12/10/24 (e)(i)(k) | 731,250 | 736,566 | |
3,843,862 | |||
Specialty Retail - 0.0% | |||
Sally Holdings LLC Tranche B 2LN, term loan 4.5% 7/5/24 (e)(k) | 500,000 | 493,750 | |
TOTAL CONSUMER DISCRETIONARY | 4,337,612 | ||
ENERGY - 0.1% | |||
Oil, Gas & Consumable Fuels - 0.1% | |||
Chesapeake Energy Corp. term loan 3 month U.S. LIBOR + 8.000% 0% 6/9/24 (e)(f)(i)(k) | 1,900,000 | 1,239,750 | |
Citgo Holding, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 7.000% 8% 8/1/23 (e)(i)(k) | 373,120 | 353,625 | |
Citgo Petroleum Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.000% 6% 3/28/24 (e)(i)(k) | 680,268 | 645,404 | |
Gavilan Resources LLC Tranche 2LN, term loan 3 month U.S. LIBOR + 6.000% 0% 3/1/24 (f)(i)(k) | 2,475,000 | 12,375 | |
Sanchez Energy Corp.: | |||
1LN, term loan 3 month U.S. LIBOR + 8.000% 0% 12/31/49 (b)(f)(i)(k) | 864,602 | 0 | |
term loan 0% 12/31/49 (b)(e)(f)(k) | 373,000 | 0 | |
2,251,154 | |||
FINANCIALS - 0.0% | |||
Diversified Financial Services - 0.0% | |||
MPH Acquisition Holdings LLC Tranche B, term loan 3 month U.S. LIBOR + 2.750% 3.75% 6/7/23 (e)(i)(k) | 300,000 | 296,625 | |
Insurance - 0.0% | |||
HUB International Ltd. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 3.2634% 4/25/25 (e)(i)(k) | 2,000,000 | 1,946,080 | |
TOTAL FINANCIALS | 2,242,705 | ||
HEALTH CARE - 0.1% | |||
Health Care Providers & Services - 0.1% | |||
Milano Acquisition Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 8/17/27 (i)(k)(m) | 2,000,000 | 1,982,500 | |
RegionalCare Hospital Partners Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.750% 3.9064% 11/16/25 (e)(i)(k) | 335,000 | 328,062 | |
2,310,562 | |||
Pharmaceuticals - 0.0% | |||
Mallinckrodt International Finance S.A. Tranche B, term loan 3 month U.S. LIBOR + 2.750% 9/24/24 (i)(k)(m) | 497,429 | 432,609 | |
TOTAL HEALTH CARE | 2,743,171 | ||
INDUSTRIALS - 0.1% | |||
Commercial Services & Supplies - 0.1% | |||
Brand Energy & Infrastructure Services, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.250% 5.25% 6/21/24 (e)(i)(k) | 1,445,300 | 1,329,676 | |
West Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 5.5678% 10/10/24 (e)(i)(k) | 2,144,133 | 1,913,424 | |
3,243,100 | |||
Construction & Engineering - 0.0% | |||
Landry's Finance Acquisition Co. Tranche B 1LN, term loan: | |||
3 month U.S. LIBOR + 12.000% 0% 10/4/23 (e)(i)(k) | 439,137 | 505,008 | |
3 month U.S. LIBOR + 12.000% 13% 10/4/23 (e)(i)(k) | 35,863 | 40,525 | |
545,533 | |||
Professional Services - 0.0% | |||
Dun & Bradstreet Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 2/8/26 (i)(k)(m) | 1,000,000 | 997,000 | |
TOTAL INDUSTRIALS | 4,785,633 | ||
INFORMATION TECHNOLOGY - 0.3% | |||
Communications Equipment - 0.0% | |||
Radiate Holdco LLC Tranche B, term loan 3 month U.S. LIBOR + 3.000% 3.75% 2/1/24 (e)(i)(k) | 401,517 | 394,768 | |
Electronic Equipment & Components - 0.0% | |||
Tiger Merger Sub Co. 1LN, term loan 3 month U.S. LIBOR + 3.500% 7/1/25 (i)(k)(m) | 650,000 | 650,650 | |
IT Services - 0.0% | |||
RP Crown Parent, LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 10/12/23 (i)(k)(m) | 502,591 | 498,510 | |
Software - 0.3% | |||
Almonde, Inc.: | |||
Tranche 2LN, term loan 3 month U.S. LIBOR + 7.250% 8.25% 6/13/25 (e)(i)(k) | 1,305,000 | 1,205,311 | |
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 4.5% 6/13/24 (e)(i)(k) | 239,472 | 225,149 | |
Boxer Parent Co., Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.250% 4.4064% 10/2/25 (e)(i)(k) | 198,360 | 194,476 | |
Informatica Corp. Tranche B 1LN, term loan: | |||
3 month U.S. LIBOR + 3.250% 2/14/27 (i)(k)(m) | 523,688 | 511,905 | |
7.125% 2/14/25 (k) | 475,000 | 479,356 | |
McAfee LLC Tranche B, term loan: | |||
3 month U.S. LIBOR + 3.750% 3.9064% 9/29/24 (e)(i)(k) | 1,000,000 | 989,630 | |
3 month U.S. LIBOR + 8.500% 9.5% 9/29/25 (e)(i)(k) | 2,250,000 | 2,265,480 | |
TIBCO Software, Inc. 2LN, term loan 3 month U.S. LIBOR + 7.750% 2/14/28 (i)(k)(m) | 2,000,000 | 1,940,000 | |
Ultimate Software Group, Inc. 1LN, term loan 3 month U.S. LIBOR + 4.000% 4.75% 5/3/26 (e)(i)(k) | 3,015,000 | 3,009,362 | |
10,820,669 | |||
TOTAL INFORMATION TECHNOLOGY | 12,364,597 | ||
MATERIALS - 0.1% | |||
Chemicals - 0.1% | |||
Hexion, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 3.8% 7/1/26 (e)(i)(k) | 1,348,741 | 1,326,824 | |
PQ Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 2/7/27 (i)(k)(m) | 1,475,000 | 1,466,711 | |
Solenis International LP Tranche 1LN, term loan 3 month U.S. LIBOR + 4.000% 12/18/23 (i)(k)(m) | 994,924 | 976,110 | |
Starfruit U.S. Holdco LLC Tranche B, term loan 3 month U.S. LIBOR + 3.000% 3.1641% 10/1/25 (e)(i)(k) | 994,830 | 964,518 | |
4,734,163 | |||
REAL ESTATE - 0.0% | |||
Real Estate Management & Development - 0.0% | |||
Brookfield Retail Holdings VII Sub 3 LLC Tranche B, term loan 3 month U.S. LIBOR + 2.500% 8/24/25 (i)(k)(m) | 994,937 | 795,720 | |
TOTAL BANK LOAN OBLIGATIONS | |||
(Cost $47,222,363) | 44,464,001 | ||
Shares | Value | ||
Fixed-Income Funds - 63.1% | |||
High Yield Fixed-Income Funds - 63.1% | |||
Artisan High Income Fund Investor Shares | 49,777,460 | 477,365,843 | |
BlackRock High Yield Bond Portfolio Institutional Class | 63,159,148 | 475,588,382 | |
Eaton Vance Income Fund of Boston Class A | 33,269,325 | 180,652,434 | |
Fidelity Capital & Income Fund (n) | 31,878,249 | 321,013,969 | |
iShares iBoxx $ High Yield Corporate Bond ETF | 422,000 | 35,882,660 | |
MainStay High Yield Corporate Bond Fund Class A | 62,276,913 | 342,523,020 | |
SPDR Barclays Short Term High Yield Bond ETF | 1,300,000 | 33,826,000 | |
SPDR Lehman High Yield Bond ETF | 327,800 | 34,664,850 | |
T. Rowe Price High Yield Fund Advisor Class | 72,267,793 | 465,404,585 | |
Vanguard High-Yield Corporate Fund Admiral Shares | 87,214,546 | 510,205,029 | |
TOTAL FIXED-INCOME FUNDS | |||
(Cost $2,760,658,656) | 2,877,126,772 | ||
Money Market Funds - 0.9% | |||
Fidelity Cash Central Fund 0.12% (o) | 28,011,779 | 28,017,382 | |
State Street Institutional U.S. Government Money Market Fund Premier Class .04% (p) | 15,630,408 | 15,630,408 | |
TOTAL MONEY MARKET FUNDS | |||
(Cost $43,647,645) | 43,647,790 | ||
TOTAL INVESTMENT IN SECURITIES - 99.9% | |||
(Cost $4,420,956,182) | 4,554,090,299 | ||
NET OTHER ASSETS (LIABILITIES) - 0.1% | 5,084,555 | ||
NET ASSETS - 100% | $4,559,174,854 |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/(Depreciation) | |
Purchased | |||||
Treasury Contracts | |||||
CBOT 10-Year U.S. Treasury Note Contracts (United States) | 260 | Dec. 2020 | $36,205,000 | $2,329 | $2,329 |
The notional amount of futures purchased as a percentage of Net Assets is 0.8%
Security Type Abbreviations
ETF – Exchange-Traded Fund
Legend
(a) 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 $293,700 or 0.0% of net assets.
(b) Level 3 security
(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 $1,091,447,865 or 23.9% of net assets.
(d) Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end.
(e) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(f) Non-income producing - Security is in default.
(g) Security or a portion of the security purchased on a delayed delivery or when-issued basis.
(h) A portion of the security sold on a delayed delivery basis.
(i) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
(j) Non-income producing
(k) Remaining maturities of bank loan obligations may be less than the stated maturities shown as a result of contractual or optional prepayments by the borrower. Such prepayments cannot be predicted with certainty.
(l) Position represents an unfunded loan commitment. At period end, the total principal amount and market value of unfunded commitments totaled $572,541 and $582,085, respectively.
(m) The coupon rate will be determined upon settlement of the loan after period end.
(n) Affiliated Fund
(o) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
(p) 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 |
Mesquite Energy, Inc. 15% 7/31/23 | 7/10/20 | $293,700 |
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 | $38,828 |
Total | $38,828 |
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 Capital & Income Fund | $147,684,574 | $284,405,347 | $114,005,045 | $3,455,369 | $566,512 | $2,362,581 | $321,013,969 |
Total | $147,684,574 | $284,405,347 | $114,005,045 | $3,455,369 | $566,512 | $2,362,581 | $321,013,969 |
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 August 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 | $152,586 | $152,586 | $-- | $-- |
Energy | 448,842 | 19,816 | -- | 429,026 |
Corporate Bonds | 1,566,575,983 | -- | 1,566,282,283 | 293,700 |
U.S. Government Agency - Mortgage Securities | 738,896 | -- | 738,896 | -- |
Asset-Backed Securities | 20,935,429 | -- | 20,935,429 | -- |
Bank Loan Obligations | 44,464,001 | -- | 44,464,001 | -- |
Fixed-Income Funds | 2,877,126,772 | 2,877,126,772 | -- | -- |
Money Market Funds | 43,647,790 | 43,647,790 | -- | -- |
Total Investments in Securities: | $4,554,090,299 | $2,920,946,964 | $1,632,420,609 | $722,726 |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $2,329 | $2,329 | $-- | $-- |
Total Assets | $2,329 | $2,329 | $-- | $-- |
Total Derivative Instruments: | $2,329 | $2,329 | $-- | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of August 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) | $2,329 | $0 |
Total Interest Rate Risk | 2,329 | 0 |
Total Value of Derivatives | $2,329 | $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
August 31, 2020 (Unaudited) | ||
Assets | ||
Investment in securities, at value — See accompanying schedule: Unaffiliated issuers (cost $4,111,208,775) | $4,205,058,948 | |
Fidelity Central Funds (cost $28,017,237) | 28,017,382 | |
Other affiliated issuers (cost $281,730,170) | 321,013,969 | |
Total Investment in Securities (cost $4,420,956,182) | $4,554,090,299 | |
Cash | 3,105,163 | |
Receivable for investments sold | ||
Regular delivery | 764,008 | |
Delayed delivery | 126,875 | |
Receivable for fund shares sold | 1,418,377 | |
Dividends receivable | 11,049,893 | |
Interest receivable | 24,999,930 | |
Distributions receivable from Fidelity Central Funds | 4,894 | |
Prepaid expenses | 4,767 | |
Other receivables | 845,741 | |
Total assets | 4,596,409,947 | |
Liabilities | ||
Payable for investments purchased | ||
Regular delivery | $28,766,372 | |
Delayed delivery | 5,240,852 | |
Payable for fund shares redeemed | 2,002,463 | |
Distributions payable | 117,620 | |
Accrued management fee | 373,138 | |
Payable for daily variation margin on futures contracts | 651,424 | |
Other payables and accrued expenses | 83,224 | |
Total liabilities | 37,235,093 | |
Net Assets | $4,559,174,854 | |
Net Assets consist of: | ||
Paid in capital | $4,572,075,569 | |
Total accumulated earnings (loss) | (12,900,715) | |
Net Assets | $4,559,174,854 | |
Net Asset Value, offering price and redemption price per share ($4,559,174,854 ÷ 492,182,750 shares) | $9.26 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Six months ended August 31, 2020 (Unaudited) | ||
Investment Income | ||
Dividends: | ||
Unaffiliated issuers | $45,579,742 | |
Affiliated issuers | 3,063,823 | |
Interest | 30,216,926 | |
Income from Fidelity Central Funds | 38,828 | |
Total income | 78,899,319 | |
Expenses | ||
Management fee | $4,959,038 | |
Custodian fees and expenses | 13,360 | |
Independent trustees' fees and expenses | 13,480 | |
Registration fees | 48,323 | |
Audit | 23,529 | |
Legal | 5,095 | |
Interest | 589 | |
Miscellaneous | 106,779 | |
Total expenses before reductions | 5,170,193 | |
Expense reductions | (3,450,015) | |
Total expenses after reductions | 1,720,178 | |
Net investment income (loss) | 77,179,141 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | (22,827,977) | |
Fidelity Central Funds | 300 | |
Other affiliated issuers | 566,512 | |
Futures contracts | 402,800 | |
Swaps | 803,678 | |
Capital gain distributions from underlying funds: | ||
Affiliated issuers | 391,546 | |
Total net realized gain (loss) | (20,663,141) | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers | 88,578,088 | |
Fidelity Central Funds | 1 | |
Other affiliated issuers | 2,362,581 | |
Futures contracts | 2,329 | |
Swaps | (648,756) | |
Total change in net unrealized appreciation (depreciation) | 90,294,243 | |
Net gain (loss) | 69,631,102 | |
Net increase (decrease) in net assets resulting from operations | $146,810,243 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Six months ended August 31, 2020 (Unaudited) | Year ended February 29, 2020 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $77,179,141 | $124,500,037 |
Net realized gain (loss) | (20,663,141) | 15,403,545 |
Change in net unrealized appreciation (depreciation) | 90,294,243 | (11,198,658) |
Net increase (decrease) in net assets resulting from operations | 146,810,243 | 128,704,924 |
Distributions to shareholders | (69,704,505) | (128,212,511) |
Share transactions | ||
Proceeds from sales of shares | 2,683,972,999 | 264,458,141 |
Reinvestment of distributions | 68,767,119 | 92,688,234 |
Cost of shares redeemed | (312,724,535) | (958,070,158) |
Net increase (decrease) in net assets resulting from share transactions | 2,440,015,583 | (600,923,783) |
Total increase (decrease) in net assets | 2,517,121,321 | (600,431,370) |
Net Assets | ||
Beginning of period | 2,042,053,533 | 2,642,484,903 |
End of period | $4,559,174,854 | $2,042,053,533 |
Other Information | ||
Shares | ||
Sold | 300,517,326 | 27,921,160 |
Issued in reinvestment of distributions | 7,751,600 | 9,796,252 |
Redeemed | (35,139,864) | (101,436,177) |
Net increase (decrease) | 273,129,062 | (63,718,765) |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Strategic Advisers Income Opportunities Fund
Six months ended (Unaudited) August 31, | Years endedFebruary 28, | |||||
2020 | 2020 A | 2019 | 2018 | 2017 | 2016 A | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $9.32 | $9.34 | $9.53 | $9.57 | $8.48 | $9.94 |
Income from Investment Operations | ||||||
Net investment income (loss)B | .246 | .515 | .513 | .489 | .493 | .518 |
Net realized and unrealized gain (loss) | (.079) | (.001) | (.222) | (.050) | 1.091 | (1.300) |
Total from investment operations | .167 | .514 | .291 | .439 | 1.584 | (.782) |
Distributions from net investment income | (.227) | (.530) | (.469) | (.479) | (.494) | (.537) |
Distributions from net realized gain | – | (.004) | (.012) | – | – | (.118) |
Tax return of capital | – | – | – | – | – | (.023) |
Total distributions | (.227) | (.534) | (.481) | (.479) | (.494) | (.678) |
Net asset value, end of period | $9.26 | $9.32 | $9.34 | $9.53 | $9.57 | $8.48 |
Total ReturnC,D | 1.95% | 5.57% | 3.21% | 4.66% | 19.08% | (8.26)% |
Ratios to Average Net AssetsE,F,G | ||||||
Expenses before reductions | .37%H | .34% | .36% | .38% | .29% | .26% |
Expenses net of fee waivers, if any | .12%H | .09% | .11% | .13% | .04% | .01% |
Expenses net of all reductions | .12%H | .09% | .11% | .13% | .04% | .01% |
Net investment income (loss) | 5.54%H | 5.44% | 5.49% | 5.09% | 5.40% | 5.56% |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $4,559,175 | $2,042,054 | $2,642,485 | $3,047,435 | $3,318,071 | $3,813,523 |
Portfolio turnover rateG | 35%H | 40% | 22% | 33% | 38% | 10% |
A For the year ended February 29.
B Calculated based on average shares outstanding during the period.
C Total returns for periods of less than one year are not annualized.
D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
E Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
G Amounts do not include the activity of Underlying Funds.
H Annualized
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements (Unaudited)
For the period ended August 31, 2020
1. Organization.
Strategic Advisers Income Opportunities Fund (the Fund) is a fund of Fidelity Rutland Square Trust II (the Trust), and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust. The Fund is offered exclusively to certain clients of Strategic Advisers LLC (Strategic Advisers), an affiliate of Fidelity Management & Research Company LLC (FMR).
2. Significant Accounting Policies.
The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services – Investment Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Schedule of Investments lists each of the Underlying Funds as an investment of the Fund but does not include the underlying holdings of each Underlying Fund. 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 and bank loan 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 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. The Fund invests a significant portion of its assets in below investment grade securities. The value of these securities can be more volatile due to changes in the credit quality of the issuer and is sensitive to changes in economic, market and regulatory conditions.
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
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 August 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 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. Paid in Kind (PIK) income is recorded at the fair market value of the securities received. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of the Fund and do not include any expenses associated with the Underlying Funds. Although not included in the Fund's expenses, the Fund indirectly bears its proportionate share of the Underlying Funds' expenses through the impact of these expenses on each Underlying Fund's NAV. 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 $55,750 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. 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, swaps, market discount, partnerships, 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 | $184,328,025 |
Gross unrealized depreciation | (52,387,217) |
Net unrealized appreciation (depreciation) | $131,940,808 |
Tax cost | $4,422,151,820 |
Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of prior fiscal period end and is subject to adjustment.
No expiration | |
Short-term | $(11,096,177) |
Long-term | (121,841,344) |
Total capital loss carryforward | $(132,937,521) |
Delayed Delivery Transactions and When-Issued Securities. During the period, certain Funds transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. Securities purchased on a delayed delivery or when-issued basis are identified as such in the Schedule of Investments. Compensation for interest forgone in the purchase of a delayed delivery or when-issued debt security may be received. With respect to purchase commitments, each applicable Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Payables and receivables associated with the purchases and sales of delayed delivery securities having the same coupon, settlement date and broker are offset. Delayed delivery or when-issued securities that have been purchased from and sold to different brokers are reflected as both payables and receivables in the Statement of Assets and Liabilities under the caption "Delayed delivery", as applicable. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
Restricted Securities (including Private Placements). The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.
Loans and Other Direct Debt Instruments. Direct debt instruments are interests in amounts owed to lenders by corporate or other borrowers. These instruments may be in the form of loans, trade claims or other receivables and may include standby financing commitments such as revolving credit facilities that obligate a fund to supply additional cash to the borrower on demand. Loans may be acquired through assignment, participation, or may be made directly to a borrower. Such instruments are presented in the Bank Loan Obligations section in the Schedule of Investments. Certain funds may also invest in unfunded loan commitments, which are contractual obligations for future funding. Information regarding unfunded commitments is included at the end of the Schedule of Investments, if applicable.
3. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund's investment objective allows the Fund to enter into various types of derivative contracts, including futures contracts 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 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. 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 | $ 803,678 | $(648,756) |
Interest Rate Risk | ||
Futures Contracts | 402,800 | 2,329 |
Totals | $1,206,478 | $(646,427) |
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.
Swaps. A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. A centrally cleared 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.
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. 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.
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".
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.
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 Income Opportunities Fund | 2,939,921,281 | 498,443,360 |
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 .75% of the Fund's average net assets. For the reporting period, the total annualized management fee rate was .36% 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) and PGIM, 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.
In September 2020, the Board approved the appointment of T. Rowe Price Associates, Inc. as an additional sub-adviser for the Fund. Subsequent to period end, T. Rowe Price Associates, Inc. was allocated a portion of the Fund's assets.
Interfund Trades. Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.
6. Investments in Fidelity Central Funds.
The Fund invests in Fidelity Central Funds, which are open-end investment companies available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
The Fidelity Money Market Central Funds are managed by FMR. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date ranged from less than .005% to .01%.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds are available on the SEC website or upon request.
7. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are as follows:
Amount | |
Strategic Advisers Income Opportunities Fund | $2,691 |
During the period, there were no borrowings on this line of credit.
8. Bank Borrowings.
The Fund is permitted to have bank borrowings for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity requirements. The Fund has established borrowing arrangements with certain banks. The interest rate on the borrowings is the bank's base rate, as revised from time to time. Any open loans, including accrued interest, at period end are presented under the caption "Notes payable" in the Statement of Assets and Liabilities, if applicable. Activity in this program during the period for which loans were outstanding was as follows:
Average Loan Balance | Weighted Average Interest Rate | Interest Expense | |
Strategic Advisers Income Opportunities Fund | $13,340,000 | 1.59% | $589 |
9. Expense Reductions.
The investment adviser has contractually agreed to waive the Fund's management fee in an amount equal to .25% of the Fund's average net assets until September 30, 2023. During the period, this waiver reduced the Fund's management fee by $3,445,714.
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 $4,050.
In addition, during the period the investment adviser or an affiliate reimbursed and/or waived a portion of operating expenses in the amount of $251.
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.
Shareholder Expense Example
As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (March 1, 2020 to August 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 for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
Annualized Expense Ratio-A | Beginning Account Value March 1, 2020 | Ending Account Value August 31, 2020 | Expenses Paid During Period-B March 1, 2020 to August 31, 2020 | |
Strategic Advisers Income Opportunities Fund | .12% | |||
Actual | $1,000.00 | $1,019.50 | $.61 | |
Hypothetical-C | $1,000.00 | $1,024.60 | $.61 |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/ 365 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.
C 5% return per year before expenses
Board Approval of New Sub-Subadvisory Agreements
Strategic Advisers Income Opportunities Fund
In June 2020, the Board of Trustees, including the Independent Trustees (together, the Board) voted to approve sub-subadvisory agreements (New Sub-Subadvisory Agreements) among FIAM LLC (FIAM), each of FMR Investment Management (UK) Limited (FMR UK), Fidelity Management & Research (Japan) Limited (FMR Japan), and Fidelity Management & Research (Hong Kong) Limited (FMR H.K., and together with FMR UK and FMR Japan, New Sub-Subadvisers), and Fidelity Rutland Square Trust II on behalf of the fund. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, considered a broad range of information.The Board noted that it previously received and considered materials relating to the nature, extent and quality of services provided by Strategic Advisers LLC (Strategic Advisers) and FIAM, including the resources dedicated to investment management and support services, as well as shareholder and administrative services, in connection with its annual renewal of the fund's management contract and sub-advisory agreements at its September 2019 meeting. The Board noted its familiarity with the nature, extent and quality of services provided by the New Sub-Subadvisers to other Strategic Advisers funds. The Board also considered the detailed information provided by Strategic Advisers and FIAM in the June 2020 annual contract renewal materials.The Board considered that FIAM, and not the fund, will compensate the New Sub-Subadvisers under the terms of the New Sub-Subadvisory Agreements and that the fund and Strategic Advisers are not responsible for any such fees or expenses. The Board also considered that the New Sub-Subadvisory Agreements will not result in any changes to the fees paid under the sub-advisory agreement among Strategic Advisers, FIAM, and the Trust on behalf of the fund.Because the Board was approving New Sub-Subadvisory Agreements under which the fund will not bear any additional management fees or expenses, it did not consider the competitiveness of management fee and total expenses or the possible realization of economies of scale to be significant factors in its decision. In addition, because the New Sub-Subadvisory Agreements were negotiated at arm's length and will have no impact on the maximum management fees payable by the fund or Strategic Advisers' portion of the management fee, the Board did not consider the costs of services and profitability to be significant factors in its decision to approve the New Sub-Subadvisory Agreements. The Board considered Strategic Advisers' representation that it does not anticipate that the approval of the New Sub-Subadvisory Agreements will have a significant impact on the profitability of, or potential fall-out benefits to, Strategic Advisers or its affiliates.The Board noted that in connection with future annual contract renewals, it will consider: (i) the nature, extent, and quality of services provided to the fund, including administrative services and investment performance; (ii) the historical investment performance of the fund; (iii) the competitiveness of the fund's management fees and total expenses; (iv) the costs of services and profitability; (v) the potential fall-out benefits to Strategic Advisers and its affiliates from their relationships with the fund; and (vi) the possible realization of economies of scale.Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the New Sub-Subadvisory Agreements are in the best interests of the fund and its shareholders and should be approved. In addition, the Board concluded that the approval of the New Sub-Subadvisory Agreements does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.SRQ-SANN-1020
1.912883.110
Strategic Advisers® International Fund
Offered exclusively to certain clients of Strategic Advisers LLC - not available for sale to the general public
Semi-Annual Report
August 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
Board Approval of Amendment to Sub-Advisory Agreement and New Sub-Subadvisory Agreements |
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.
Investment Summary (Unaudited)
The information in the following tables is based on the direct investments of the Fund.Top Ten Holdings as of August 31, 2020
(excluding cash equivalents) | % of fund's net assets |
Fidelity International Discovery Fund | 6.4 |
iShares MSCI Japan ETF | 5.1 |
Fidelity Diversified International Fund | 3.9 |
WCM Focused International Growth Fund Investor Class | 3.8 |
Artisan International Value Fund Investor Class | 3.6 |
Oakmark International Fund Investor Class | 3.5 |
Fidelity Overseas Fund | 3.4 |
JOHCM International Select Fund Class II Shares | 3.1 |
Morgan Stanley Institutional Fund, Inc. International Equity Portfolio Class I | 2.5 |
Pear Tree Polaris Foreign Value Fund Institutional Shares | 2.1 |
37.4 |
Top Five Market Sectors as of August 31, 2020
(stocks only) | % of fund's net assets |
Industrials | 8.9 |
Information Technology | 8.1 |
Investment Companies | 8.1 |
Consumer Staples | 6.4 |
Financials | 6.2 |
Geographic Diversification (% of fund's net assets)
As of August 31, 2020 | ||
United States of America | 51.6% | |
Japan | 9.8% | |
United Kingdom | 6.3% | |
Germany | 5.8% | |
Switzerland | 5.2% | |
France | 5.3% | |
Netherlands | 2.5% | |
Cayman Islands | 1.5% | |
Australia | 1.0% | |
Other | 11.0% |
Asset Allocation (% of fund's net assets)
As of August 31, 2020 | ||
Common Stocks | 49.1% | |
Preferred Stocks | 0.8% | |
Europe Stock Funds | 0.5% | |
Foreign Large Blend Funds | 12.5% | |
Foreign Large Growth Funds | 21.4% | |
Foreign Large Value Funds | 3.2% | |
Foreign Small Mid Growth Funds | 0.8% | |
Foreign Small Mid Blend Funds | 1.3% | |
Foreign Small Mid Value Funds | 0.8% | |
Other | 6.6% | |
Short-Term Investments and Net Other Assets (Liabilities) | 3.0% |
Asset allocations of funds in the pie chart reflect the categorizations of assets as defined by Morningstar as of the reporting date.
Schedule of Investments August 31, 2020 (Unaudited)
Showing Percentage of Net Assets
Common Stocks - 49.1% | |||
Shares | Value | ||
COMMUNICATION SERVICES - 2.5% | |||
Diversified Telecommunication Services - 0.3% | |||
Altice Europe NV Class A (a) | 287,125 | $1,270,511 | |
Bezeq The Israel Telecommunication Corp. Ltd. (a) | 575,402 | 657,490 | |
Hellenic Telecommunications Organization SA | 413,526 | 6,760,693 | |
Koninklijke KPN NV | 1,555,156 | 4,081,031 | |
KT Corp. | 130,407 | 2,616,614 | |
Nippon Telegraph & Telephone Corp. | 965,400 | 21,968,274 | |
Nippon Telegraph & Telephone Corp. sponsored ADR | 49,968 | 1,141,519 | |
Orange SA | 182,047 | 2,033,608 | |
Proximus | 65,008 | 1,287,007 | |
Telecom Italia SpA | 1,301,248 | 619,780 | |
Telefonica SA | 1,119,017 | 4,408,994 | |
46,845,521 | |||
Entertainment - 0.6% | |||
Amuse, Inc. | 41,200 | 914,129 | |
Konami Holdings Corp. | 30,600 | 1,180,201 | |
NetEase, Inc. | 563,975 | 11,254,933 | |
NetEase, Inc. ADR | 28,756 | 14,010,211 | |
Nintendo Co. Ltd. | 56,300 | 30,306,742 | |
Nintendo Co. Ltd. ADR (b) | 44,913 | 3,025,789 | |
Sea Ltd. ADR (a) | 82,613 | 12,624,093 | |
Square Enix Holdings Co. Ltd. | 151,900 | 10,024,841 | |
Tencent Music Entertainment Group ADR (a) | 119,992 | 1,875,475 | |
Toho Co. Ltd. | 68,300 | 2,598,773 | |
Ubisoft Entertainment SA (a) | 88,272 | 7,264,204 | |
Vivendi SA | 354,500 | 10,092,507 | |
105,171,898 | |||
Interactive Media & Services - 0.9% | |||
Alphabet, Inc. Class A (a) | 6,378 | 10,393,142 | |
Baidu.com, Inc. sponsored ADR (a) | 310,497 | 38,678,611 | |
Carsales.com Ltd. | 157,201 | 2,410,467 | |
Kakao Corp. | 21,507 | 7,371,210 | |
NAVER Corp. | 59,448 | 16,144,757 | |
Scout24 AG (c) | 97,577 | 9,076,772 | |
SEEK Ltd. | 197,452 | 3,010,187 | |
Tencent Holdings Ltd. | 661,200 | 45,172,100 | |
Yahoo! Japan Corp. | 1,083,300 | 7,210,749 | |
Yandex NV Series A (a) | 107,716 | 7,349,463 | |
YY, Inc. ADR (a) | 69,763 | 5,960,551 | |
152,778,009 | |||
Media - 0.2% | |||
CyberAgent, Inc. | 136,800 | 7,297,550 | |
Dentsu Group, Inc. | 26,300 | 691,302 | |
Eutelsat Communications | 171,546 | 1,721,239 | |
Hakuhodo DY Holdings, Inc. | 106,700 | 1,329,783 | |
Informa PLC | 703,169 | 3,885,799 | |
Publicis Groupe SA | 9,994 | 350,277 | |
Stroer Out-of-Home Media AG (a)(b) | 65,863 | 5,128,494 | |
Telenet Group Holding NV | 2,812 | 109,329 | |
WPP PLC | 720,596 | 6,103,283 | |
26,617,056 | |||
Wireless Telecommunication Services - 0.5% | |||
Advanced Info Service PCL (For. Reg.) | 891,700 | 5,250,357 | |
China Mobile Ltd. | 1,172,400 | 8,204,359 | |
KDDI Corp. | 776,800 | 22,579,916 | |
NTT DOCOMO, Inc. | 282,600 | 7,895,137 | |
SoftBank Group Corp. | 368,600 | 22,800,229 | |
Tele2 AB (B Shares) | 425,612 | 6,030,053 | |
Vodafone Group PLC | 10,367,243 | 15,200,905 | |
Vodafone Group PLC sponsored ADR | 509,763 | 7,529,200 | |
95,490,156 | |||
TOTAL COMMUNICATION SERVICES | 426,902,640 | ||
CONSUMER DISCRETIONARY - 4.2% | |||
Auto Components - 0.5% | |||
Autoliv, Inc. (depositary receipt) | 70,418 | 5,516,340 | |
Bridgestone Corp. | 57,900 | 1,837,340 | |
Continental AG | 34,168 | 3,748,913 | |
Continental AG sponsored ADR | 36,291 | 395,209 | |
DENSO Corp. | 95,700 | 4,026,077 | |
Eagle Industry Co. Ltd. | 12,900 | 90,738 | |
JTEKT Corp. | 73,600 | 569,121 | |
Koito Manufacturing Co. Ltd. | 219,600 | 10,657,074 | |
Magna International, Inc. Class A | 194,483 | 9,453,819 | |
Michelin CGDE Series B | 52,511 | 5,929,268 | |
Minth Group Ltd. | 300,000 | 1,011,377 | |
NGK Spark Plug Co. Ltd. | 166,200 | 2,863,759 | |
Schaeffler AG | 11,564 | 77,762 | |
Stanley Electric Co. Ltd. | 194,200 | 5,573,979 | |
Sumitomo Rubber Industries Ltd. | 261,500 | 2,520,809 | |
Toyota Industries Corp. | 254,200 | 14,832,233 | |
TPR Co. Ltd. | 19,100 | 255,532 | |
Valeo SA | 337,882 | 10,322,214 | |
Yorozu Corp. | 17,400 | 153,769 | |
79,835,333 | |||
Automobiles - 0.3% | |||
Fiat Chrysler Automobiles NV (Italy) | 543,576 | 5,987,932 | |
Honda Motor Co. Ltd. | 260,800 | 6,639,649 | |
Honda Motor Co. Ltd. sponsored ADR (b) | 79,239 | 2,026,934 | |
Kia Motors Corp. | 19,593 | 700,395 | |
Mitsubishi Motors Corp. of Japan | 243,100 | 585,285 | |
Nissan Motor Co. Ltd. | 351,700 | 1,417,418 | |
Nissan Motor Co. Ltd. sponsored ADR (b) | 35,700 | 288,456 | |
Peugeot Citroen SA | 263,890 | 4,525,302 | |
Renault SA | 75,600 | 2,150,779 | |
Subaru Corp. | 175,900 | 3,657,836 | |
Suzuki Motor Corp. | 142,800 | 5,863,543 | |
Toyota Motor Corp. | 232,500 | 15,355,329 | |
Toyota Motor Corp. sponsored ADR | 6,200 | 821,066 | |
Volkswagen AG | 17,763 | 3,183,861 | |
53,203,785 | |||
Distributors - 0.0% | |||
Inchcape PLC | 1,109,800 | 7,499,220 | |
Diversified Consumer Services - 0.1% | |||
Offcn Education Technology Co. A Shares | 555,000 | 2,893,947 | |
TAL Education Group ADR (a) | 177,304 | 13,086,808 | |
15,980,755 | |||
Hotels, Restaurants & Leisure - 0.6% | |||
Aristocrat Leisure Ltd. | 415,303 | 8,689,922 | |
Carnival PLC | 62,858 | 861,689 | |
Collins Foods Ltd. | 95,921 | 736,471 | |
Compass Group PLC | 2,730,339 | 44,182,250 | |
Crown Ltd. | 81,884 | 544,146 | |
Evolution Gaming Group AB (c) | 114,272 | 8,558,048 | |
Gaming VC Holdings SA | 830,616 | 8,929,241 | |
Greggs PLC | 184,605 | 3,496,741 | |
InterContinental Hotel Group PLC | 29,974 | 1,730,622 | |
McDonald's Holdings Co. (Japan) Ltd. | 6,600 | 324,033 | |
Melco Crown Entertainment Ltd. sponsored ADR | 165,234 | 3,225,368 | |
Paddy Power Betfair PLC | 34,206 | 5,660,739 | |
Sands China Ltd. | 1,785,600 | 7,860,351 | |
Sushiro Global Holdings Ltd. (b) | 86,200 | 2,006,979 | |
The Restaurant Group PLC | 97,144 | 73,304 | |
Wolverhampton & Dudley Breweries PLC | 420,484 | 297,903 | |
Yum China Holdings, Inc. | 149,376 | 8,620,489 | |
105,798,296 | |||
Household Durables - 0.4% | |||
Barratt Developments PLC | 325,800 | 2,287,315 | |
Berkeley Group Holdings PLC | 6,971 | 424,830 | |
Iida Group Holdings Co. Ltd. | 28,300 | 553,094 | |
Nikon Corp. | 113,400 | 890,797 | |
Panasonic Corp. | 651,900 | 6,007,363 | |
Persimmon PLC | 463,348 | 16,227,767 | |
Rinnai Corp. | 10,700 | 991,049 | |
Sony Corp. | 459,700 | 35,996,534 | |
Sumitomo Forestry Co. Ltd. | 45,800 | 733,821 | |
Taylor Wimpey PLC | 823,659 | 1,348,757 | |
Vistry Group PLC | 221 | 1,879 | |
Zinus, Inc. | 4,250 | 302,062 | |
65,765,268 | |||
Internet & Direct Marketing Retail - 0.7% | |||
Alibaba Group Holding Ltd. | 833,616 | 30,005,884 | |
Alibaba Group Holding Ltd. sponsored ADR (a) | 21,029 | 6,035,954 | |
ASKUL Corp. | 15,600 | 482,368 | |
ASOS PLC (a) | 206,616 | 13,558,360 | |
B2W Companhia Global do Varejo (a) | 60,400 | 1,235,783 | |
Boohoo.Com PLC (a) | 567,140 | 2,194,770 | |
Delivery Hero AG (a)(c) | 44,524 | 4,783,007 | |
HelloFresh AG (a) | 54,368 | 2,796,330 | |
JD.com, Inc. Class A | 252,100 | 10,042,637 | |
Kogan.Com Ltd. | 56,796 | 871,310 | |
Media Do Co. Ltd. | 9,000 | 574,423 | |
Meituan Dianping Class B (a) | 283,600 | 9,348,648 | |
MercadoLibre, Inc. (a) | 5,887 | 6,879,489 | |
Oisix Ra Daichi, Inc. (a) | 22,800 | 722,221 | |
Prosus NV | 62,509 | 6,265,414 | |
Rakuten, Inc. | 2,077,000 | 18,296,190 | |
Trainline PLC (a)(c) | 260,123 | 1,377,664 | |
Zalando SE (a)(c) | 109,211 | 9,532,113 | |
125,002,565 | |||
Leisure Products - 0.1% | |||
Games Workshop Group PLC | 3,210 | 395,627 | |
Sega Sammy Holdings, Inc. | 568,900 | 6,601,313 | |
SHIMANO, Inc. | 15,500 | 3,285,418 | |
Yamaha Corp. | 75,200 | 3,670,717 | |
13,953,075 | |||
Multiline Retail - 0.1% | |||
Magazine Luiza SA | 283,400 | 4,822,223 | |
Next PLC | 90,033 | 7,266,830 | |
Pan Pacific International Holdings Ltd. | 11,200 | 263,411 | |
Wesfarmers Ltd. | 5,963 | 208,993 | |
12,561,457 | |||
Specialty Retail - 0.2% | |||
Alpen Co. Ltd. | 26,200 | 444,768 | |
AP Eagers Ltd. | 63,143 | 415,414 | |
Geo Holdings Corp. | 43,200 | 701,136 | |
Grupo SBF SA (a) | 136,100 | 754,717 | |
Hornbach Holding AG & Co. KGaA | 7,144 | 777,507 | |
Kingfisher PLC | 2,956,772 | 10,752,526 | |
Kingfisher PLC ADR | 61,868 | 442,356 | |
Mekonomen AB | 82,922 | 886,279 | |
Nitori Holdings Co. Ltd. | 14,400 | 3,015,550 | |
Nojima Co. Ltd. | 23,800 | 705,585 | |
USS Co. Ltd. | 696,800 | 11,782,739 | |
WH Smith PLC | 584,508 | 9,196,384 | |
Yamada Denki Co. Ltd. | 561,700 | 3,017,583 | |
42,892,544 | |||
Textiles, Apparel & Luxury Goods - 1.2% | |||
adidas AG | 56,397 | 17,134,926 | |
Brunello Cucinelli SpA | 48,585 | 1,532,962 | |
Burberry Group PLC | 184,111 | 3,555,064 | |
Compagnie Financiere Richemont SA Series A | 668,023 | 44,476,626 | |
Essilor International SA | 238,792 | 31,944,289 | |
Gildan Activewear, Inc. | 9,900 | 191,466 | |
Gildan Activewear, Inc. | 10,300 | 199,706 | |
Hermes International SCA | 5,300 | 4,550,029 | |
Kering SA | 26,590 | 16,328,863 | |
Li Ning Co. Ltd. | 2,047,500 | 8,648,446 | |
lululemon athletica, Inc. (a) | 32,777 | 12,313,336 | |
LVMH Moet Hennessy Louis Vuitton SE | 98,795 | 46,396,371 | |
Moncler SpA | 239,442 | 9,272,202 | |
Pandora A/S | 21,052 | 1,537,645 | |
Puma AG | 107,989 | 8,915,135 | |
Samsonite International SA (a)(c) | 2,078,700 | 2,401,369 | |
Shenzhou International Group Holdings Ltd. | 267,000 | 4,298,877 | |
TSI Holdings Co. Ltd. | 18,300 | 55,635 | |
213,752,947 | |||
TOTAL CONSUMER DISCRETIONARY | 736,245,245 | ||
CONSUMER STAPLES - 6.1% | |||
Beverages - 1.2% | |||
Carabao Group PCL | 467,700 | 1,820,840 | |
Coca-Cola European Partners PLC | 180,506 | 7,429,627 | |
Coca-Cola West Co. Ltd. | 24,700 | 412,308 | |
Diageo PLC | 2,091,550 | 69,881,074 | |
Heineken Holding NV | 140,596 | 11,518,113 | |
Heineken NV (Bearer) | 245,196 | 22,694,416 | |
ITO EN Ltd. | 461,000 | 27,899,825 | |
Kirin Holdings Co. Ltd. | 700,500 | 13,789,761 | |
Kweichow Moutai Co. Ltd. (A Shares) | 30,807 | 8,036,374 | |
Pernod Ricard SA | 254,320 | 43,551,213 | |
Royal Unibrew A/S | 25,515 | 2,675,176 | |
209,708,727 | |||
Food & Staples Retailing - 0.6% | |||
Alimentation Couche-Tard, Inc. Class B (sub. vtg.) | 241,391 | 7,878,265 | |
Bidcorp Ltd. | 21,335 | 352,297 | |
Bim Birlesik Magazalar A/S JSC | 72,204 | 667,353 | |
Carrefour SA | 930,584 | 14,947,497 | |
Casino Guichard Perrachon SA (a)(b) | 131,236 | 3,406,278 | |
Cosmos Pharmaceutical Corp. | 22,600 | 3,979,512 | |
J Sainsbury PLC | 590,676 | 1,451,259 | |
Jeronimo Martins SGPS SA | 9,673 | 158,778 | |
Kobe Bussan Co. Ltd. | 15,300 | 902,847 | |
Matsumotokiyoshi Holdings Co. Ltd. | 107,500 | 3,765,520 | |
Okuwa Co. Ltd. | 56,700 | 783,730 | |
Pick 'n Pay Stores Ltd. | 154,557 | 380,483 | |
Seven & i Holdings Co. Ltd. | 984,000 | 31,745,709 | |
Seven & i Holdings Co. Ltd. ADR | 4,000 | 64,360 | |
Sugi Holdings Co. Ltd. | 35,800 | 2,585,753 | |
Tesco PLC | 5,300,000 | 15,477,278 | |
United Super Markets Holdings, Inc. | 34,600 | 406,713 | |
Welcia Holdings Co. Ltd. | 106,800 | 4,572,893 | |
Zur Rose Group AG (a) | 6,188 | 1,680,573 | |
95,207,098 | |||
Food Products - 2.1% | |||
AarhusKarlshamn AB | 73,707 | 1,460,114 | |
Associated British Foods PLC | 59,014 | 1,614,027 | |
Ausnutria Dairy Hunan Co. Ltd. (H Shares) | 279,000 | 458,089 | |
Bakkafrost (a) | 23,437 | 1,467,546 | |
Barry Callebaut AG | 2,464 | 5,451,629 | |
Danone SA | 896,898 | 58,976,948 | |
Ezaki Glico Co. Ltd. | 212,300 | 9,019,969 | |
Foshan Haitian Flavouring & Food Co. Ltd. (A Shares) | 193,300 | 5,170,887 | |
Kerry Group PLC Class A | 163,056 | 21,404,117 | |
La Doria SpA | 16,177 | 212,353 | |
Lindt & Spruengli AG (participation certificate) | 218 | 1,855,755 | |
Meiji Holdings Co. Ltd. | 22,100 | 1,786,112 | |
Mowi ASA | 478,300 | 9,354,437 | |
Nestle SA (Reg. S) | 1,658,498 | 199,761,336 | |
Nissin Food Holdings Co. Ltd. | 71,600 | 7,165,746 | |
Toyo Suisan Kaisha Ltd. | 492,900 | 28,015,465 | |
WH Group Ltd. ADR | 2,959 | 50,510 | |
Wilmar International Ltd. | 2,275,900 | 7,293,318 | |
Yakult Honsha Co. Ltd. | 69,400 | 3,964,217 | |
364,482,575 | |||
Household Products - 0.5% | |||
Colgate-Palmolive Co. | 315,151 | 24,978,868 | |
Reckitt Benckiser Group PLC | 599,887 | 60,216,028 | |
Unicharm Corp. | 11,800 | 514,046 | |
85,708,942 | |||
Personal Products - 1.4% | |||
Kao Corp. | 675,400 | 51,454,493 | |
Kobayashi Pharmaceutical Co. Ltd. | 297,100 | 26,479,951 | |
Kolmar BNH Co. Ltd. | 19,160 | 1,072,955 | |
Kose Corp. | 45,000 | 5,281,122 | |
L'Oreal SA | 208,816 | 69,295,566 | |
Mandom Corp. | 18,900 | 300,680 | |
Pola Orbis Holdings, Inc. | 85,000 | 1,541,661 | |
Rohto Pharmaceutical Co. Ltd. | 489,500 | 15,574,895 | |
Shiseido Co. Ltd. | 47,000 | 2,738,394 | |
Unilever NV | 97,098 | 5,642,038 | |
Unilever PLC | 872,115 | 51,561,115 | |
Unilever PLC sponsored ADR (b) | 87,787 | 5,230,349 | |
236,173,219 | |||
Tobacco - 0.3% | |||
British American Tobacco PLC (United Kingdom) | 1,290,857 | 43,508,385 | |
Imperial Brands PLC | 383,100 | 6,416,725 | |
Japan Tobacco, Inc. | 475,800 | 8,905,948 | |
Swedish Match Co. AB | 18,739 | 1,422,464 | |
60,253,522 | |||
TOTAL CONSUMER STAPLES | 1,051,534,083 | ||
ENERGY - 1.2% | |||
Energy Equipment & Services - 0.1% | |||
CGG SA (a) | 192,985 | 175,718 | |
Core Laboratories NV | 101,293 | 2,120,062 | |
John Wood Group PLC | 86,681 | 287,128 | |
Petrofac Ltd. | 88,771 | 191,050 | |
Tenaris SA | 355,978 | 2,085,632 | |
Tenaris SA sponsored ADR (b) | 109,509 | 1,276,875 | |
The Drilling Co. of 1972 A/S (a) | 74,100 | 1,761,726 | |
WorleyParsons Ltd. | 1,258,051 | 8,926,162 | |
16,824,353 | |||
Oil, Gas & Consumable Fuels - 1.1% | |||
Beach Energy Ltd. | 579,989 | 650,212 | |
BP PLC | 7,773,700 | 27,120,725 | |
BP PLC sponsored ADR | 385,491 | 8,068,327 | |
Cairn Energy PLC (a) | 2,558,034 | 4,821,427 | |
Eni SpA | 1,140,249 | 10,593,382 | |
EnQuest PLC (a) | 797,199 | 137,470 | |
Equinor ASA | 628,346 | 10,185,079 | |
Equinor ASA sponsored ADR | 158,462 | 2,543,315 | |
Galp Energia SGPS SA Class B | 644,722 | 6,923,127 | |
Gazprom OAO | 240,410 | 587,218 | |
Gulf Keystone Petroleum Ltd. | 2,267 | 2,549 | |
Idemitsu Kosan Co. Ltd. | 268,200 | 5,915,264 | |
INPEX Corp. | 534,400 | 3,399,695 | |
Japan Petroleum Exploration Co. Ltd. | 18,600 | 323,829 | |
JX Holdings, Inc. | 1,712,000 | 6,717,719 | |
Lukoil PJSC | 16,037 | 1,077,111 | |
Lundin Petroleum AB | 129,627 | 3,168,067 | |
Neste Oyj | 231,670 | 12,388,325 | |
Oil Search Ltd. ADR | 1,423,834 | 3,433,986 | |
Ovintiv, Inc. (b) | 81,673 | 904,937 | |
Parkland Corp. | 17,007 | 482,040 | |
Premier Oil PLC (a)(b) | 701,171 | 204,704 | |
Reliance Industries Ltd. | 514,564 | 14,615,131 | |
Reliance Industries Ltd. | 30,348 | 494,432 | |
Rosneft Oil Co. OJSC | 91,940 | 461,546 | |
Royal Dutch Shell PLC: | |||
Class A (b) | 254,046 | 3,775,419 | |
Class B sponsored ADR | 220,400 | 6,193,240 | |
Class B (United Kingdom) | 177,103 | 2,491,611 | |
rights (a)(d) | 254,046 | 40,972 | |
rights (a)(d) | 177,103 | 28,951 | |
Santos Ltd. | 1,366,685 | 5,715,352 | |
TC Energy Corp. | 113,009 | 5,284,179 | |
Total SA (b) | 1,030,605 | 40,886,233 | |
Ultrapar Participacoes SA | 136,700 | 485,069 | |
VERBIO Vereinigte BioEnergie AG | 11,627 | 199,801 | |
Whitehaven Coal Ltd. | 694,881 | 476,634 | |
190,797,078 | |||
TOTAL ENERGY | 207,621,431 | ||
FINANCIALS - 6.2% | |||
Banks - 2.7% | |||
ABN AMRO Group NV GDR (c) | 320,443 | 3,053,087 | |
AIB Group PLC | 6,192,225 | 7,633,345 | |
Australia & New Zealand Banking Group Ltd. | 411,110 | 5,542,755 | |
Banco Bilbao Vizcaya Argentaria SA | 6,695,590 | 19,608,063 | |
Banco Bradesco SA | 88,800 | 308,454 | |
Barclays PLC | 19,637,019 | 28,751,183 | |
BNP Paribas SA (a) | 1,299,597 | 56,621,130 | |
CaixaBank SA | 6,604,551 | 14,509,285 | |
Chiba Bank Ltd. | 728,500 | 3,782,986 | |
Close Brothers Group PLC | 111,435 | 1,672,829 | |
Concordia Financial Group Ltd. | 210,200 | 698,583 | |
DBS Group Holdings Ltd. | 941,900 | 14,448,167 | |
DNB ASA | 808,356 | 12,949,167 | |
Erste Group Bank AG | 167,100 | 4,063,951 | |
Grupo Financiero Banorte S.A.B. de CV Series O (a) | 1,884,032 | 6,515,159 | |
HDFC Bank Ltd. | 945,888 | 14,407,856 | |
ING Groep NV (Certificaten Van Aandelen) | 5,685,203 | 46,403,010 | |
Intesa Sanpaolo SpA | 2,109,814 | 4,541,393 | |
Jyske Bank A/S (Reg.) (a) | 90,731 | 2,709,137 | |
KB Financial Group, Inc. | 27,839 | 864,010 | |
KBC Groep NV | 336,512 | 19,315,834 | |
Lloyds Banking Group PLC | 14,236,320 | 5,367,914 | |
Mebuki Financial Group, Inc. | 1,203,500 | 2,920,262 | |
Mediobanca SpA | 853,300 | 7,415,155 | |
Mitsubishi UFJ Financial Group, Inc. | 4,746,100 | 19,802,499 | |
Mitsubishi UFJ Financial Group, Inc. sponsored ADR | 90,811 | 379,590 | |
National Bank of Canada | 211,086 | 11,603,378 | |
North Pacific Bank Ltd. | 1,071,300 | 2,255,581 | |
PT Bank Central Asia Tbk | 7,566,500 | 16,302,073 | |
PT Bank Mandiri (Persero) Tbk | 3,045,400 | 1,245,274 | |
Raiffeisen International Bank-Holding AG | 29,903 | 535,271 | |
Shinsei Bank Ltd. | 185,700 | 2,172,330 | |
Societe Generale Series A | 142,527 | 2,307,184 | |
Standard Chartered PLC (United Kingdom) | 411,356 | 2,157,730 | |
Sumitomo Mitsui Financial Group, Inc. | 1,095,800 | 32,222,198 | |
Sumitomo Mitsui Financial Group, Inc. ADR | 113,741 | 668,797 | |
Sumitomo Mitsui Trust Holdings, Inc. | 187,400 | 5,405,690 | |
Svenska Handelsbanken AB (A Shares) (a) | 1,399,968 | 14,083,626 | |
Swedbank AB (A Shares) (a) | 315,513 | 5,348,160 | |
Sydbank A/S (a) | 120,307 | 2,023,231 | |
The Hachijuni Bank Ltd. | 714,600 | 2,766,237 | |
UniCredit SpA | 5,748,076 | 56,590,599 | |
United Overseas Bank Ltd. | 464,100 | 6,654,638 | |
468,626,801 | |||
Capital Markets - 1.2% | |||
3i Group PLC | 671,420 | 8,418,744 | |
BM&F BOVESPA SA | 623,700 | 6,694,088 | |
Brewin Dolphin Holding PLC | 186,156 | 620,866 | |
Brookfield Asset Management, Inc. Class A | 85,133 | 2,872,387 | |
BT Investment Management Ltd. | 52,722 | 225,145 | |
Daiwa Securities Group, Inc. | 1,698,000 | 7,663,164 | |
Deutsche Borse AG | 51,600 | 9,753,775 | |
Euronext NV (c) | 305,462 | 37,108,449 | |
Flatex AG (a) | 10,891 | 528,319 | |
Hong Kong Exchanges and Clearing Ltd. | 228,900 | 11,541,226 | |
IG Group Holdings PLC | 171,700 | 1,812,060 | |
Intermediate Capital Group PLC | 325,345 | 5,945,150 | |
Japan Exchange Group, Inc. | 94,100 | 2,441,456 | |
Julius Baer Group Ltd. | 387,073 | 18,558,838 | |
Jupiter Fund Management PLC | 142,203 | 398,428 | |
London Stock Exchange Group PLC | 103,952 | 12,278,905 | |
Macquarie Group Ltd. | 311,251 | 29,315,218 | |
Magellan Financial Group Ltd. | 35,026 | 1,530,631 | |
Nomura Holdings, Inc. | 1,090,700 | 5,602,293 | |
Partners Group Holding AG | 10,211 | 10,367,449 | |
UBS Group AG | 3,223,351 | 39,170,873 | |
XP, Inc. Class A (a) | 31,051 | 1,533,609 | |
214,381,073 | |||
Consumer Finance - 0.0% | |||
AEON Financial Service Co. Ltd. | 34,700 | 308,947 | |
Credit Corp. Group Ltd. | 21,148 | 295,109 | |
Flexigroup Ltd. | 163,343 | 145,171 | |
Hoist Finance AB (a)(c) | 55,065 | 195,692 | |
Provident Financial PLC | 28,792 | 94,834 | |
1,039,753 | |||
Diversified Financial Services - 0.3% | |||
Challenger Ltd. | 2,363,924 | 7,113,530 | |
Element Financial Corp. | 1,024,700 | 8,429,510 | |
EXOR NV | 55,800 | 3,289,493 | |
Groupe Bruxelles Lambert SA | 89,100 | 8,248,886 | |
Industrivarden AB (C Shares) | 31,635 | 833,501 | |
Investor AB (B Shares) | 149,000 | 9,498,324 | |
M&G PLC | 805,040 | 1,861,717 | |
Mitsubishi UFJ Lease & Finance Co. Ltd. | 688,800 | 3,258,167 | |
ORIX Corp. | 990,100 | 12,358,138 | |
54,891,266 | |||
Insurance - 2.0% | |||
AEGON NV | 473,100 | 1,309,997 | |
AEGON NV: | |||
rights 9/11/20 (a)(d) | 473,100 | 33,874 | |
(NY Reg.) | 443,059 | 1,213,982 | |
AIA Group Ltd. | 4,618,600 | 47,316,436 | |
Allianz SE | 48,600 | 10,527,581 | |
Aon PLC | 95,009 | 19,000,850 | |
Aviva PLC | 9,497,333 | 35,795,235 | |
AXA SA | 1,642,490 | 33,513,482 | |
BB Seguridade Participacoes SA | 264,000 | 1,271,209 | |
CNP Assurances | 97,156 | 1,300,859 | |
Coface SA (a) | 54,573 | 427,218 | |
Dai-ichi Mutual Life Insurance Co. | 313,300 | 4,749,121 | |
Direct Line Insurance Group PLC | 696,885 | 2,747,173 | |
Hiscox Ltd. | 1,324,834 | 14,050,891 | |
IRB Brasil Resseguros SA (a) | 96,307 | 121,647 | |
Japan Post Insurance Co. Ltd. | 48,100 | 769,309 | |
MS&AD Insurance Group Holdings, Inc. | 39,300 | 1,091,265 | |
MS&AD Insurance Group Holdings, Inc. ADR | 5,200 | 71,916 | |
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 66,203 | 19,095,110 | |
NKSJ Holdings, Inc. | 216,300 | 8,127,971 | |
NN Group NV | 76,892 | 2,894,999 | |
NN Group NV rights (a)(d)(e) | 76,892 | 207,375 | |
PICC Property & Casualty Co. Ltd. (H Shares) | 6,862,000 | 5,291,657 | |
Ping An Insurance Group Co. of China Ltd. (H Shares) | 1,726,000 | 18,427,475 | |
Porto Seguro SA | 140,700 | 1,357,562 | |
Poste Italiane SpA (c) | 127,845 | 1,173,216 | |
Prudential PLC | 1,198,625 | 19,323,489 | |
Saga PLC | 297,511 | 54,127 | |
Sampo Oyj (A Shares) | 246,732 | 9,939,268 | |
Storebrand ASA (A Shares) | 1,095,947 | 6,731,975 | |
Sul America SA unit | 69,600 | 548,568 | |
Sun Life Financial, Inc. (b) | 278,082 | 11,606,382 | |
T&D Holdings, Inc. | 342,500 | 3,589,435 | |
Talanx AG | 99,500 | 3,697,511 | |
Tokio Marine Holdings, Inc. | 242,800 | 11,209,857 | |
Tokio Marine Holdings, Inc. ADR (b) | 4,284 | 197,278 | |
Tryg A/S | 48,405 | 1,486,066 | |
Zurich Insurance Group Ltd. | 103,474 | 38,259,262 | |
338,530,628 | |||
Thrifts & Mortgage Finance - 0.0% | |||
Housing Development Finance Corp. Ltd. | 192,649 | 4,819,348 | |
TOTAL FINANCIALS | 1,082,288,869 | ||
HEALTH CARE - 5.4% | |||
Biotechnology - 0.2% | |||
Abcam PLC | 79,606 | 1,328,038 | |
Ascendis Pharma A/S sponsored ADR (a) | 17,979 | 2,664,128 | |
BELLUS Health, Inc. (a)(b) | 317,700 | 791,073 | |
CSL Ltd. | 54,086 | 11,409,262 | |
CStone Pharmaceuticals Co. Ltd. (a)(c) | 1,060,500 | 1,264,313 | |
Genmab A/S (a) | 24,260 | 9,163,156 | |
Genmab A/S ADR (a) | 65,851 | 2,486,534 | |
Grifols SA ADR | 60,228 | 965,455 | |
Vitrolife AB | 59,496 | 1,598,519 | |
31,670,478 | |||
Health Care Equipment & Supplies - 1.3% | |||
AK Medical Holdings Ltd. (c) | 490,000 | 1,249,076 | |
Alcon, Inc. (a)(b) | 42,761 | 2,451,916 | |
Alcon, Inc. (Switzerland) (a) | 271,795 | 15,442,659 | |
ASAHI INTECC Co. Ltd. | 167,200 | 4,964,774 | |
Carl Zeiss Meditec AG | 24,466 | 2,756,150 | |
Coloplast A/S Series B | 38,418 | 6,519,355 | |
DiaSorin S.p.A. | 2,278 | 411,845 | |
Eiken Chemical Co. Ltd. | 67,200 | 1,209,936 | |
Elekta AB (B Shares) (b) | 555,329 | 6,962,638 | |
Hoya Corp. | 172,500 | 16,962,541 | |
Koninklijke Philips Electronics NV | 1,173,959 | 55,553,095 | |
Koninklijke Philips Electronics NV (depositary receipt) (NY Reg.) | 52,581 | 2,497,072 | |
Medacta Group SA (a)(c) | 2,518 | 238,443 | |
Nihon Kohden Corp. | 506,700 | 17,342,090 | |
Olympus Corp. | 1,231,100 | 24,397,667 | |
Paramount Bed Holdings Co. Ltd. | 2,000 | 79,781 | |
Shenzhen Mindray Bio-Medical Electronics Co. Ltd. (A Shares) | 58,300 | 2,915,234 | |
Siemens Healthineers AG (c) | 162,893 | 7,421,215 | |
Siemens Healthineers AG ADR | 1,932 | 43,996 | |
Smith & Nephew PLC | 453,255 | 9,146,969 | |
Sonova Holding AG Class B | 13,880 | 3,241,405 | |
Straumann Holding AG | 8,336 | 8,196,291 | |
Sysmex Corp. | 27,000 | 2,359,807 | |
Terumo Corp. | 962,000 | 39,146,674 | |
231,510,629 | |||
Health Care Providers & Services - 0.3% | |||
Aier Eye Hospital Group Co. Ltd. (A Shares) | 591,700 | 4,490,162 | |
Amplifon SpA | 82,635 | 2,753,260 | |
C-Mer Eye Care Holdings Ltd. (b) | 1,030,000 | 879,865 | |
Estia Health Ltd. | 51,256 | 58,974 | |
Fresenius SE & Co. KGaA | 529,177 | 24,501,943 | |
Mediclinic International PLC | 57,936 | 194,815 | |
Medipal Holdings Corp. | 140,000 | 2,679,318 | |
Notre Dame Intermedica Participacoes SA | 216,600 | 2,929,645 | |
Orpea (a) | 22,951 | 2,756,660 | |
Ryman Healthcare Group Ltd. | 15,582 | 141,067 | |
Spire Healthcare Group PLC (c) | 91,336 | 112,082 | |
Topchoice Medical Corp. (a) | 119,800 | 3,958,493 | |
45,456,284 | |||
Health Care Technology - 0.0% | |||
JMDC, Inc. | 25,500 | 1,935,703 | |
M3, Inc. | 51,500 | 2,985,507 | |
4,921,210 | |||
Life Sciences Tools & Services - 0.4% | |||
Eurofins Scientific SA (a) | 6,430 | 5,153,348 | |
Evotec OAI AG (a)(b) | 121,277 | 3,241,860 | |
Hangzhou Tigermed Consulting Co. Ltd. (A Shares) | 288,100 | 4,711,606 | |
ICON PLC (a) | 42,820 | 7,982,076 | |
Lonza Group AG | 35,257 | 21,909,170 | |
Sartorius Stedim Biotech | 22,671 | 8,110,921 | |
Siegfried Holding AG | 3,075 | 1,743,390 | |
Tecan Group AG | 10,282 | 4,643,080 | |
WuXi AppTec Co. Ltd. | 170,480 | 2,736,014 | |
Wuxi Biologics (Cayman), Inc. (a)(c) | 241,000 | 6,239,494 | |
66,470,959 | |||
Pharmaceuticals - 3.2% | |||
Astellas Pharma, Inc. | 2,158,200 | 33,858,183 | |
AstraZeneca PLC sponsored ADR | 212,082 | 11,876,592 | |
Bayer AG | 786,483 | 52,310,594 | |
Bayer AG sponsored ADR | 82,031 | 1,365,816 | |
Chugai Pharmaceutical Co. Ltd. | 130,500 | 5,816,839 | |
Daiichi Sankyo Kabushiki Kaisha | 28,600 | 2,550,953 | |
Eisai Co. Ltd. | 7,600 | 664,816 | |
GlaxoSmithKline PLC | 193,752 | 3,784,623 | |
GlaxoSmithKline PLC sponsored ADR | 301,876 | 11,954,290 | |
Ipca Laboratories Ltd. | 70,131 | 1,807,065 | |
Ipsen SA | 48,587 | 5,032,777 | |
Kissei Pharmaceutical Co. Ltd. | 14,500 | 316,518 | |
Kyowa Hakko Kirin Co., Ltd. | 591,300 | 15,307,979 | |
Merck KGaA ADR | 6,300 | 171,234 | |
Novartis AG | 966,363 | 83,287,959 | |
Novartis AG sponsored ADR | 40,479 | 3,483,623 | |
Novo Nordisk A/S: | |||
Series B | 733,377 | 48,486,041 | |
Series B sponsored ADR | 19,605 | 1,294,714 | |
Otsuka Holdings Co. Ltd. | 246,000 | 10,816,428 | |
Roche Holding AG: | |||
(participation certificate) | 320,667 | 112,175,420 | |
sponsored ADR | 12,427 | 543,060 | |
Sanofi SA | 601,143 | 60,889,017 | |
Sanofi SA sponsored ADR | 14,066 | 711,458 | |
Santen Pharmaceutical Co. Ltd. | 2,306,200 | 44,005,384 | |
Takeda Pharmaceutical Co. Ltd. | 1,030,800 | 38,435,663 | |
Takeda Pharmaceutical Co. Ltd. ADR | 216,511 | 4,029,270 | |
Teva Pharmaceutical Industries Ltd. sponsored ADR (a) | 243,848 | 2,406,780 | |
557,383,096 | |||
TOTAL HEALTH CARE | 937,412,656 | ||
INDUSTRIALS - 8.9% | |||
Aerospace & Defense - 0.6% | |||
Airbus Group NV | 478,656 | 39,363,516 | |
Austal Ltd. | 98,224 | 256,456 | |
Dassault Aviation SA (a) | 3,800 | 3,457,732 | |
Leonardo SpA | 159,766 | 1,080,643 | |
Meggitt PLC | 1,664,357 | 6,472,028 | |
MTU Aero Engines Holdings AG | 68,250 | 12,644,513 | |
Rolls-Royce Holdings PLC | 7,854,605 | 24,802,393 | |
Safran SA (a) | 181,471 | 20,957,081 | |
Senior Engineering Group PLC | 325,958 | 227,448 | |
109,261,810 | |||
Air Freight & Logistics - 0.3% | |||
Deutsche Post AG | 754,780 | 34,335,321 | |
DSV A/S | 128,889 | 20,154,759 | |
54,490,080 | |||
Airlines - 0.4% | |||
Air Canada (a) | 503,100 | 6,788,485 | |
Air France KLM (Reg.) (a)(b) | 875,680 | 3,924,550 | |
Deutsche Lufthansa AG (a)(b) | 102,571 | 1,073,110 | |
International Consolidated Airlines Group SA CDI (b) | 2,762,852 | 7,752,595 | |
Japan Airlines Co. Ltd. | 317,200 | 6,289,141 | |
Ryanair Holdings PLC sponsored ADR (a) | 582,659 | 47,137,113 | |
72,964,994 | |||
Building Products - 0.5% | |||
Agc, Inc. | 49,700 | 1,410,079 | |
Agc, Inc. ADR | 9,900 | 55,440 | |
Belimo Holding AG (Reg.) | 305 | 2,662,149 | |
Central Glass Co. Ltd. | 10,400 | 207,480 | |
Compagnie de St. Gobain (a) | 146,589 | 5,925,974 | |
Daikin Industries Ltd. | 190,800 | 35,940,089 | |
Geberit AG (Reg.) | 20,853 | 12,009,593 | |
Kaba Holding AG (B Shares) (Reg.) | 242 | 156,345 | |
Kingspan Group PLC (Ireland) | 116,413 | 9,995,399 | |
Nibe Industrier AB (B Shares) | 143,217 | 4,023,415 | |
Reliance Worldwide Corp. Ltd. | 311,930 | 878,844 | |
Toto Ltd. | 195,800 | 8,605,476 | |
81,870,283 | |||
Commercial Services & Supplies - 0.5% | |||
A-Living Services Co. Ltd. (H Shares) (c) | 421,250 | 2,170,687 | |
Aggreko PLC | 90,090 | 574,682 | |
AMA Group Ltd. | 201,831 | 93,782 | |
Babcock International Group PLC | 80,262 | 291,937 | |
Bingo Industries Ltd. | 1,841,203 | 3,028,294 | |
Brambles Ltd. | 1,512,915 | 12,374,782 | |
Country Garden Services Holdings Co. Ltd. | 987,000 | 6,876,558 | |
ISS Holdings A/S | 55,370 | 852,522 | |
Rentokil Initial PLC | 1,205,660 | 8,590,180 | |
Ritchie Bros. Auctioneers, Inc. | 172,231 | 10,077,563 | |
Secom Co. Ltd. | 288,600 | 27,316,386 | |
SG Fleet Group Ltd. | 74,291 | 99,176 | |
Shanks Group PLC | 496,053 | 153,839 | |
Sohgo Security Services Co., Ltd. | 155,700 | 7,284,082 | |
SPIE SA | 21,319 | 362,026 | |
Tomra Systems ASA | 116,768 | 5,660,823 | |
Toppan Printing Co. Ltd. | 47,800 | 743,751 | |
86,551,070 | |||
Construction & Engineering - 0.2% | |||
Balfour Beatty PLC | 3,499,426 | 10,431,623 | |
VINCI SA | 177,496 | 16,629,817 | |
27,061,440 | |||
Electrical Equipment - 1.5% | |||
ABB Ltd. (Reg.) | 2,498,043 | 63,698,055 | |
Denyo Co. Ltd. | 1,700 | 35,038 | |
Legrand SA | 662,925 | 55,297,998 | |
Melrose Industries PLC | 8,050,666 | 10,955,439 | |
Mitsubishi Electric Corp. | 933,800 | 12,898,545 | |
Philips Lighting NV (a)(c) | 35,373 | 1,181,524 | |
PowerCell Sweden AB (a) | 23,587 | 646,271 | |
Prysmian SpA | 530,779 | 14,847,016 | |
Schneider Electric SA | 680,080 | 84,106,485 | |
Siemens Gamesa Renewable Energy SA | 341,500 | 9,144,951 | |
Weg SA | 311,800 | 3,677,743 | |
256,489,065 | |||
Industrial Conglomerates - 0.8% | |||
Bidvest Group Ltd. | 102,963 | 826,741 | |
CJ Corp. | 3,761 | 256,539 | |
CK Hutchison Holdings Ltd. | 2,387,500 | 15,614,582 | |
DCC PLC (United Kingdom) | 220,627 | 19,547,506 | |
Lifco AB | 36,296 | 2,886,962 | |
Nolato AB (B Shares) | 32,101 | 3,128,528 | |
Siemens AG | 614,459 | 85,142,894 | |
Toshiba Corp. | 432,490 | 12,474,692 | |
139,878,444 | |||
Machinery - 2.1% | |||
Amada Co. Ltd. | 85,400 | 761,154 | |
Andritz AG | 44,671 | 1,494,760 | |
Atlas Copco AB (A Shares) | 428,575 | 19,814,001 | |
Bodycote PLC | 37,459 | 280,911 | |
CNH Industrial NV | 283,585 | 2,245,053 | |
Electrolux Professional AB (a) | 22,917 | 101,499 | |
Epiroc AB Class A | 464,519 | 6,928,782 | |
Fanuc Corp. | 309,400 | 54,278,797 | |
FLSmidth & Co. A/S | 18,955 | 549,416 | |
Furukawa Co. Ltd. | 6,000 | 60,445 | |
GEA Group AG | 826,113 | 30,127,330 | |
Harmonic Drive Systems, Inc. | 48,000 | 2,533,352 | |
Hino Motors Ltd. | 84,300 | 568,288 | |
IHI Corp. | 10,200 | 151,678 | |
IMI PLC | 1,172,393 | 16,533,921 | |
Kawasaki Heavy Industries Ltd. | 54,900 | 778,547 | |
KION Group AG | 154,285 | 13,046,460 | |
Kitz Corp. | 5,600 | 32,781 | |
Knorr-Bremse AG | 143,218 | 18,198,412 | |
Kone OYJ (B Shares) | 5,195 | 445,369 | |
Kubota Corp. | 900,000 | 16,285,229 | |
Kurita Water Industries Ltd. | 50,300 | 1,576,698 | |
Minebea Mitsumi, Inc. | 4,800 | 83,342 | |
Misumi Group, Inc. | 123,000 | 3,230,761 | |
Mitsubishi Heavy Industries Ltd. | 99,100 | 2,464,050 | |
Mitsuboshi Belting Ltd. | 14,100 | 218,326 | |
Morgan Advanced Materials PLC | 35,343 | 109,135 | |
Nachi-Fujikoshi Corp. | 1,300 | 40,443 | |
Nordson Corp. | 57,304 | 10,686,623 | |
Rotork PLC | 922,826 | 3,698,296 | |
Ryobi Ltd. | 14,000 | 156,635 | |
Schindler Holding AG (participation certificate) | 94,940 | 25,322,235 | |
Sintokogio Ltd. | 28,200 | 188,240 | |
SMC Corp. | 88,500 | 48,672,284 | |
Spirax-Sarco Engineering PLC | 260,135 | 35,625,498 | |
Techtronic Industries Co. Ltd. | 1,388,000 | 17,577,834 | |
THK Co. Ltd. | 235,700 | 5,532,268 | |
VAT Group AG (c) | 15,405 | 2,999,369 | |
Vesuvius PLC | 32,206 | 176,080 | |
Volvo AB (B Shares) | 1,054,412 | 20,150,096 | |
Wartsila Corp. | 665,120 | 5,686,217 | |
Yaskawa Electric Corp. | 47,800 | 1,721,730 | |
371,132,345 | |||
Marine - 0.1% | |||
A.P. Moller - Maersk A/S Series B | 6,800 | 10,419,381 | |
Nippon Yusen KK | 133,500 | 2,089,817 | |
12,509,198 | |||
Professional Services - 1.1% | |||
51job, Inc. sponsored ADR (a) | 69,563 | 4,559,159 | |
Adecco SA (Reg.) | 50,804 | 2,656,117 | |
Benefit One, Inc. | 113,100 | 2,732,596 | |
Centre Testing International Group Co. Ltd. (A Shares) | 1,320,600 | 5,275,882 | |
Experian PLC | 967,706 | 36,155,967 | |
Experian PLC ADR | 11,200 | 415,856 | |
Intertek Group PLC | 330,850 | 25,987,417 | |
McMillan Shakespeare Ltd. | 17,175 | 117,174 | |
Meitec Corp. | 25,500 | 1,230,279 | |
Nihon M&A Center, Inc. | 125,200 | 6,241,382 | |
NOMURA Co. Ltd. | 10,900 | 77,185 | |
Persol Holdings Co., Ltd. | 542,800 | 8,481,650 | |
Recruit Holdings Co. Ltd. | 244,000 | 9,247,726 | |
RELX PLC (London Stock Exchange) | 747,370 | 17,008,773 | |
SGS SA (Reg.) | 11,882 | 30,731,917 | |
SR Teleperformance SA | 49,960 | 15,405,748 | |
TechnoPro Holdings, Inc. | 134,600 | 7,192,900 | |
Tinexta SpA (a) | 56,401 | 1,173,819 | |
Wolters Kluwer NV | 297,120 | 24,394,289 | |
199,085,836 | |||
Road & Rail - 0.2% | |||
Canadian National Railway Co. | 162,619 | 17,087,868 | |
Canadian Pacific Railway Ltd. | 16,000 | 4,733,576 | |
Central Japan Railway Co. | 53,700 | 8,050,805 | |
East Japan Railway Co. | 23,200 | 1,510,290 | |
Kyushu Railway Co. | 85,500 | 1,887,353 | |
Rumo SA (a) | 194,500 | 802,355 | |
Seibu Holdings, Inc. | 114,400 | 1,259,410 | |
The Go-Ahead Group PLC | 6,430 | 56,643 | |
Tobu Railway Co. Ltd. | 18,200 | 568,777 | |
West Japan Railway Co. | 39,200 | 2,061,872 | |
38,018,949 | |||
Trading Companies & Distributors - 0.4% | |||
AerCap Holdings NV (a) | 8,600 | 254,302 | |
Ashtead Group PLC | 649,516 | 22,617,665 | |
Beijer Ref AB (B Shares) | 41,640 | 1,656,011 | |
Bunzl PLC | 321,032 | 10,393,759 | |
Imcd NV | 22,285 | 2,379,614 | |
Indutrade AB (a) | 77,618 | 4,088,275 | |
Marubeni Corp. | 489,500 | 2,955,995 | |
Mitsubishi Corp. | 250,300 | 5,937,580 | |
MonotaRO Co. Ltd. | 109,900 | 4,347,647 | |
Rexel SA | 449,588 | 6,014,343 | |
Sumitomo Corp. | 577,600 | 7,495,739 | |
Toromont Industries Ltd. | 29,598 | 1,674,879 | |
Toyota Tsusho Corp. | 54,300 | 1,584,167 | |
71,399,976 | |||
Transportation Infrastructure - 0.2% | |||
Aena Sme SA (a)(c) | 128,387 | 19,166,649 | |
Airports of Thailand PCL (For. Reg.) | 829,400 | 1,494,414 | |
Atlantia SpA (a) | 3,194 | 50,808 | |
Beijing Capital International Airport Co. Ltd. (H Shares) | 9,342,000 | 6,603,325 | |
Fraport AG Frankfurt Airport Services Worldwide | 25,866 | 1,177,892 | |
Grupo Aeroportuario del Sureste S.A.B. de CV Series B sponsored ADR (a) | 15,181 | 1,722,436 | |
Singapore Airport Terminal Service Ltd. | 217,600 | 479,806 | |
Sydney Airport unit | 4,803 | 20,263 | |
30,715,593 | |||
TOTAL INDUSTRIALS | 1,551,429,083 | ||
INFORMATION TECHNOLOGY - 8.1% | |||
Communications Equipment - 0.1% | |||
Comba Telecom Systems Holdings Ltd. | 1,682,000 | 737,113 | |
Ericsson: | |||
(B Shares) | 1,152,703 | 13,440,419 | |
(B Shares) sponsored ADR | 276,915 | 3,226,060 | |
17,403,592 | |||
Electronic Equipment & Components - 1.6% | |||
Alps Electric Co. Ltd. | 90,400 | 1,439,026 | |
Enplas Corp. | 3,500 | 70,287 | |
Halma PLC | 984,195 | 29,180,511 | |
Hamamatsu Photonics K.K. | 141,800 | 6,466,450 | |
Hexagon AB (B Shares) (a) | 234,365 | 16,972,212 | |
Hirose Electric Co. Ltd. | 184,190 | 20,885,823 | |
Hitachi Ltd. | 1,052,080 | 35,064,367 | |
Hitachi Ltd. sponsored ADR | 978 | 65,047 | |
Ingenico SA | 10,093 | 1,712,725 | |
Keyence Corp. | 48,900 | 20,166,662 | |
Kyocera Corp. | 337,200 | 19,379,091 | |
Landis+Gyr Group AG (a) | 12,879 | 778,624 | |
Largan Precision Co. Ltd. | 35,000 | 4,032,368 | |
Murata Manufacturing Co. Ltd. | 452,100 | 26,737,726 | |
NAURA Technology Group Co. Ltd. | 104,200 | 2,804,147 | |
Oki Electric Industry Co. Ltd. | 12,700 | 121,946 | |
OMRON Corp. | 559,800 | 41,067,328 | |
Renishaw PLC | 35,851 | 2,292,676 | |
Samsung SDI Co. Ltd. | 17,724 | 6,753,748 | |
Shimadzu Corp. | 641,500 | 19,169,594 | |
Softwareone Holding AG | 89,721 | 2,664,980 | |
Spectris PLC | 336,955 | 11,422,768 | |
TDK Corp. | 8,500 | 883,586 | |
Venture Corp. Ltd. | 13,700 | 199,879 | |
Yokogawa Electric Corp. | 422,000 | 6,904,839 | |
Yokowo Co. Ltd. | 9,800 | 247,047 | |
277,483,457 | |||
IT Services - 1.5% | |||
Adyen BV (a)(c) | 8,756 | 14,759,570 | |
Amadeus IT Holding SA Class A | 1,322,110 | 74,011,782 | |
BASE, Inc. (b) | 31,100 | 2,680,857 | |
CGI Group, Inc.: | |||
Class A (a) | 16,000 | 1,123,040 | |
Class A (sub. vtg.) (a) | 42,208 | 2,964,769 | |
Computershare Ltd. | 211,133 | 2,069,534 | |
EPAM Systems, Inc. (a) | 33,031 | 10,804,440 | |
Fujitsu Ltd. | 162,740 | 21,234,639 | |
GMO Payment Gateway, Inc. | 28,900 | 3,058,764 | |
Indra Sistemas SA (a) | 68,107 | 494,968 | |
Ines Corp. | 12,900 | 162,597 | |
iomart Group PLC | 26,393 | 127,011 | |
IT Holdings Corp. | 205,100 | 4,105,292 | |
Link Administration Holdings Ltd. | 102,343 | 307,971 | |
NEC Corp. | 45,900 | 2,422,518 | |
Nomura Research Institute Ltd. | 1,347,400 | 35,861,970 | |
NS Solutions Corp. | 44,200 | 1,287,419 | |
NTT Data Corp. | 732,400 | 8,380,955 | |
OBIC Co. Ltd. | 116,800 | 20,721,069 | |
Shopify, Inc. Class A (a) | 1,113 | 1,188,841 | |
Softcat PLC | 122,378 | 2,262,433 | |
Tyro Payments Ltd. | 1,066,452 | 2,855,219 | |
Visa, Inc. Class A | 35,669 | 7,561,471 | |
Wix.com Ltd. (a) | 90,561 | 26,681,987 | |
Worldline SA (a)(c) | 89,816 | 8,255,152 | |
255,384,268 | |||
Semiconductors & Semiconductor Equipment - 2.3% | |||
Analog Devices, Inc. | 166,766 | 19,491,610 | |
ASML Holding NV (Netherlands) | 173,359 | 64,785,338 | |
BE Semiconductor Industries NV | 50,038 | 2,391,500 | |
Broadcom, Inc. | 31,152 | 10,814,417 | |
Dialog Semiconductor PLC (a) | 23,301 | 1,009,089 | |
Disco Corp. | 48,100 | 11,230,827 | |
GlobalWafers Co. Ltd. | 152,000 | 2,038,324 | |
Infineon Technologies AG | 2,307,433 | 64,161,420 | |
MediaTek, Inc. | 687,000 | 13,000,647 | |
Megachips Corp. | 30,900 | 616,162 | |
Melexis NV | 17,802 | 1,426,536 | |
NXP Semiconductors NV | 265,237 | 33,356,205 | |
Renesas Electronics Corp. (a) | 923,700 | 5,817,003 | |
Silergy Corp. | 89,000 | 5,649,399 | |
Silicon Motion Technology Corp. sponsored ADR | 35,857 | 1,359,339 | |
SMA Solar Technology AG (a) | 33,847 | 1,530,831 | |
STMicroelectronics NV: | |||
(France) | 173,088 | 5,235,057 | |
(Italy) | 433,780 | 13,108,616 | |
Taiwan Semiconductor Manufacturing Co. Ltd. | 1,654,000 | 24,074,775 | |
Taiwan Semiconductor Manufacturing Co. Ltd. sponsored ADR | 1,271,963 | 100,803,068 | |
Texas Instruments, Inc. | 55,765 | 7,926,995 | |
Tokyo Electron Ltd. | 51,500 | 13,201,388 | |
Tower Semiconductor Ltd. (a) | 20,961 | 412,353 | |
Will Semiconductor Ltd. | 48,433 | 1,186,912 | |
404,627,811 | |||
Software - 1.8% | |||
AI inside, Inc. (a)(b) | 2,200 | 943,020 | |
Altium Ltd. | 30,790 | 829,793 | |
ANSYS, Inc. (a) | 98,181 | 33,284,341 | |
Atlassian Corp. PLC (a) | 37,907 | 7,269,046 | |
Avast PLC (c) | 576,579 | 4,131,177 | |
Aveva Group PLC | 97,492 | 6,609,954 | |
BlackBerry Ltd. (a) | 9,882 | 51,518 | |
Cadence Design Systems, Inc. (a) | 614,949 | 68,203,994 | |
Check Point Software Technologies Ltd. (a) | 81,905 | 10,341,325 | |
Constellation Software, Inc. | 8,268 | 9,571,509 | |
CyberArk Software Ltd. (a) | 22,765 | 2,515,533 | |
Cybozu, Inc. | 11,800 | 348,157 | |
Dassault Systemes SA | 158,655 | 29,885,890 | |
Descartes Systems Group, Inc. (Canada) (a) | 93,319 | 5,694,223 | |
Enghouse Systems Ltd. | 39,089 | 2,181,084 | |
Globant SA (a) | 18,321 | 3,253,443 | |
Kinaxis, Inc. (a) | 20,344 | 3,102,719 | |
Micro Focus International PLC | 788,298 | 3,127,400 | |
Micro Focus International PLC sponsored ADR | 8,300 | 33,864 | |
Netcompany Group A/S (a)(c) | 33,668 | 2,914,675 | |
Sage Group PLC | 275,091 | 2,723,393 | |
SAP SE | 643,680 | 106,429,198 | |
Sapiens International Corp. NV | 7,719 | 258,895 | |
TeamViewer AG (a)(c) | 105,262 | 5,699,126 | |
Temenos Group AG | 39,958 | 6,444,910 | |
WiseTech Global Ltd. | 117,545 | 2,443,074 | |
318,291,261 | |||
Technology Hardware, Storage & Peripherals - 0.8% | |||
Brother Industries Ltd. | 38,300 | 634,627 | |
Canon, Inc. | 197,800 | 3,392,602 | |
Canon, Inc. sponsored ADR (b) | 122,416 | 2,100,659 | |
Fujifilm Holdings Corp. | 147,800 | 7,041,484 | |
Konica Minolta, Inc. | 85,400 | 276,563 | |
Logitech International SA (Reg.) | 96,244 | 7,114,358 | |
Ricoh Co. Ltd. | 68,200 | 510,623 | |
Samsung Electronics Co. Ltd. | 2,442,088 | 111,050,271 | |
Seiko Epson Corp. | 215,000 | 2,569,891 | |
134,691,078 | |||
TOTAL INFORMATION TECHNOLOGY | 1,407,881,467 | ||
MATERIALS - 4.5% | |||
Chemicals - 2.9% | |||
Air Liquide SA | 62,870 | 10,432,353 | |
Akzo Nobel NV | 419,765 | 41,546,849 | |
Arkema SA | 97,900 | 10,853,411 | |
Asahi Kasei Corp. | 1,110,900 | 9,334,853 | |
BASF AG | 828,339 | 50,583,715 | |
Christian Hansen Holding A/S | 44,099 | 5,063,398 | |
Covestro AG (c) | 187,832 | 8,934,592 | |
Croda International PLC | 336,925 | 26,572,685 | |
Daicel Chemical Industries Ltd. | 235,300 | 1,710,626 | |
Denki Kagaku Kogyo KK | 176,360 | 4,965,354 | |
Givaudan SA | 16,752 | 70,236,274 | |
Incitec Pivot Ltd. | 1,203,311 | 1,863,754 | |
Johnson Matthey PLC | 556,774 | 17,676,356 | |
Kansai Paint Co. Ltd. | 726,300 | 17,342,328 | |
Linde PLC | 29,300 | 7,317,382 | |
Linde PLC | 205,885 | 51,792,056 | |
Mitsubishi Chemical Holdings Corp. | 482,500 | 2,823,524 | |
Mitsubishi Gas Chemical Co., Inc. | 129,500 | 2,315,753 | |
Mitsui Chemicals, Inc. | 163,500 | 3,848,421 | |
Nippon Soda Co. Ltd. | 11,000 | 312,609 | |
Nissan Chemical Corp. | 29,000 | 1,538,781 | |
Nitto Denko Corp. | 200,800 | 12,209,338 | |
Novozymes A/S Series B | 391,159 | 23,146,022 | |
Nutrien Ltd. | 176,032 | 6,490,300 | |
PhosAgro OJSC | 9,876 | 369,321 | |
Pidilite Industries Ltd. | 93,678 | 1,793,854 | |
Shin-Etsu Chemical Co. Ltd. | 30,800 | 3,746,948 | |
Shin-Etsu Chemical Co. Ltd. ADR | 2,200 | 66,990 | |
Sika AG | 177,737 | 42,588,455 | |
Sumitomo Chemical Co. Ltd. | 162,200 | 528,339 | |
Symrise AG | 302,624 | 41,729,305 | |
Taiyo Nippon Sanso Corp. | 25,200 | 443,971 | |
Teijin Ltd. | 128,400 | 2,017,255 | |
Tokuyama Corp. | 14,900 | 349,165 | |
Toray Industries, Inc. | 446,500 | 2,123,420 | |
Tosoh Corp. | 79,900 | 1,188,146 | |
Umicore SA | 148,967 | 6,842,358 | |
Yara International ASA | 40,016 | 1,676,552 | |
494,374,813 | |||
Construction Materials - 0.1% | |||
Boral Ltd. | 350,205 | 1,035,758 | |
Brickworks Ltd. | 28,890 | 382,688 | |
CSR Ltd. | 232,781 | 628,377 | |
HeidelbergCement AG | 215,500 | 13,686,424 | |
HeidelbergCement AG ADR | 15,809 | 199,826 | |
James Hardie Industries PLC CDI | 237,039 | 5,389,951 | |
Taiheiyo Cement Corp. | 105,300 | 2,680,346 | |
24,003,370 | |||
Containers & Packaging - 0.1% | |||
Amcor PLC unit | 498,652 | 5,571,879 | |
CCL Industries, Inc. Class B | 37,725 | 1,394,351 | |
Klabin SA unit | 40,100 | 188,112 | |
Orora Ltd. | 334,741 | 553,030 | |
Sig Combibloc Group AG | 135,196 | 2,653,219 | |
Smurfit Kappa Group PLC | 345,808 | 12,248,045 | |
Toyo Seikan Group Holdings Ltd. | 56,800 | 636,027 | |
23,244,663 | |||
Metals & Mining - 1.3% | |||
African Rainbow Minerals Ltd. | 35,590 | 446,889 | |
Agnico Eagle Mines Ltd. (Canada) | 135,720 | 11,189,733 | |
Alacer Gold Corp. (a) | 103,900 | 717,705 | |
Alumina Ltd. | 2,362,681 | 2,735,875 | |
Anglo American PLC (United Kingdom) | 84,970 | 2,081,534 | |
Antofagasta PLC | 804,029 | 11,543,199 | |
ArcelorMittal SA (Netherlands) (a) | 1,637,570 | 20,718,367 | |
B2Gold Corp. | 405,580 | 2,723,871 | |
BHP Billiton Ltd. | 290,023 | 8,008,094 | |
BHP Billiton Ltd. sponsored ADR (b) | 177,995 | 9,800,405 | |
BHP Billiton PLC | 561,218 | 12,774,591 | |
BHP Billiton PLC ADR | 251,526 | 11,351,368 | |
BlueScope Steel Ltd. | 323,052 | 3,023,608 | |
Companhia Siderurgica Nacional SA (CSN) | 123,500 | 342,874 | |
Constellium NV (a) | 6,226 | 49,870 | |
Evolution Mining Ltd. | 1,068,648 | 4,374,406 | |
Ferrexpo PLC (a) | 69,625 | 171,623 | |
Franco-Nevada Corp. | 16,739 | 2,518,885 | |
Franco-Nevada Corp. | 180,878 | 27,203,463 | |
Glencore Xstrata PLC | 3,291,641 | 8,093,577 | |
Godo Steel Ltd. | 27,900 | 501,813 | |
Gold Road Resources Ltd. (a) | 1,183,116 | 1,361,267 | |
Granges AB | 44,772 | 398,040 | |
Hitachi Metals Ltd. | 162,900 | 2,446,999 | |
Iluka Resources Ltd. | 136,369 | 1,019,871 | |
Impala Platinum Holdings Ltd. | 70,184 | 647,426 | |
Independence Group NL | 1,953,162 | 6,381,657 | |
JFE Holdings, Inc. | 35,500 | 269,145 | |
Kinross Gold Corp. (a) | 362,000 | 3,214,560 | |
Lundin Mining Corp. | 61,813 | 387,175 | |
Lynas Corp. Ltd. (a) | 63,843 | 114,893 | |
Mitsubishi Materials Corp. | 149,900 | 3,153,257 | |
MMC Norilsk Nickel PJSC | 8,339 | 2,173,384 | |
Newcrest Mining Ltd. | 145,314 | 3,425,356 | |
Nippon Steel & Sumitomo Metal Corp. | 53,500 | 527,600 | |
Norsk Hydro ASA | 94,075 | 300,348 | |
Northern Star Resources Ltd. | 5,417 | 54,536 | |
Outokumpu Oyj (A Shares) (a) | 62,924 | 169,629 | |
Pan American Silver Corp. | 148,400 | 5,366,144 | |
Perseus Mining Ltd. (Australia) (a) | 1,827,039 | 1,947,185 | |
Pretium Resources, Inc. (a)(b) | 39,000 | 499,980 | |
Ramelius Resources Ltd. | 840,643 | 1,289,634 | |
Regis Resources Ltd. | 433,804 | 1,689,347 | |
Resolute Mng Ltd. (a) | 300,207 | 244,667 | |
Rio Tinto Ltd. | 113,791 | 8,224,802 | |
Rio Tinto PLC | 136,644 | 8,497,950 | |
Rio Tinto PLC sponsored ADR | 86,539 | 5,298,783 | |
Sandfire Resources NL | 386,658 | 1,331,789 | |
Saracen Mineral Holdings Ltd. (a) | 75,887 | 292,166 | |
Sibanye Stillwater Ltd. | 411,237 | 1,258,845 | |
Silver Lake Resources Ltd. (a) | 511,622 | 818,843 | |
SilverCrest Metals, Inc. (a) | 89,900 | 892,556 | |
South32 Ltd. | 2,911,720 | 4,509,832 | |
St Barbara Ltd. | 427,172 | 1,086,959 | |
Sumitomo Metal Mining Co. Ltd. | 220,500 | 6,738,975 | |
Uacj Corp. | 9,800 | 179,595 | |
Vale SA | 77,900 | 848,603 | |
Voestalpine AG | 161,031 | 3,998,982 | |
Westgold Resources Ltd. (a) | 875,813 | 1,375,886 | |
222,808,416 | |||
Paper & Forest Products - 0.1% | |||
Duratex SA | 450,600 | 1,308,578 | |
Stora Enso Oyj (R Shares) | 632,057 | 9,300,090 | |
10,608,668 | |||
TOTAL MATERIALS | 775,039,930 | ||
REAL ESTATE - 1.0% | |||
Equity Real Estate Investment Trusts (REITs) - 0.2% | |||
Big Yellow Group PLC | 167,963 | 2,406,903 | |
British Land Co. PLC | 1,480,700 | 7,238,394 | |
Goodman Group unit | 384,915 | 5,198,100 | |
Great Portland Estates PLC | 665,343 | 5,368,402 | |
Scentre Group unit | 2,581,627 | 4,303,219 | |
Segro PLC | 612,357 | 7,799,318 | |
Warehouses de Pauw | 78,421 | 2,770,078 | |
35,084,414 | |||
Real Estate Management & Development - 0.8% | |||
Aroundtown SA | 314,505 | 1,719,691 | |
Cheung Kong Property Holdings Ltd. | 1,230,100 | 6,676,607 | |
Deutsche Wohnen AG (Bearer) | 526,825 | 28,064,571 | |
Fabege AB | 132,627 | 1,615,327 | |
Grand City Properties SA | 676,621 | 17,360,082 | |
Hang Lung Group Ltd. | 205,000 | 528,448 | |
Hongkong Land Holdings Ltd. | 82,000 | 314,060 | |
LEG Immobilien AG | 184,115 | 27,081,903 | |
LEG Immobilien AG rights (a)(b)(d) | 183,660 | 789,014 | |
Lendlease Group unit | 742,400 | 6,362,614 | |
Mitsui Fudosan Co. Ltd. | 657,700 | 11,922,617 | |
Savills PLC | 159,048 | 1,734,876 | |
Swire Pacific Ltd. (A Shares) | 28,000 | 152,471 | |
TAG Immobilien AG | 310,342 | 9,273,480 | |
Vonovia SE | 379,890 | 27,200,504 | |
140,796,265 | |||
TOTAL REAL ESTATE | 175,880,679 | ||
UTILITIES - 1.0% | |||
Electric Utilities - 0.4% | |||
Chubu Electric Power Co., Inc. | 201,900 | 2,496,229 | |
CLP Holdings Ltd. | 783,500 | 7,692,448 | |
EDF SA | 92,711 | 973,824 | |
Enel SpA | 2,471,743 | 22,382,110 | |
Enel SpA ADR | 42,200 | 380,011 | |
Iberdrola SA | 1,146,133 | 14,429,634 | |
Kansai Electric Power Co., Inc. | 206,400 | 2,034,477 | |
Kyushu Electric Power Co., Inc. | 228,400 | 2,024,903 | |
Mosenergo PJSC | 1,381,000 | 38,574 | |
ORSTED A/S (c) | 105,003 | 14,857,462 | |
Terna SpA | 146,580 | 1,059,673 | |
Tohoku Electric Power Co., Inc. | 18,900 | 191,828 | |
Tokyo Electric Power Co., Inc. (a) | 415,900 | 1,225,141 | |
69,786,314 | |||
Gas Utilities - 0.1% | |||
APA Group unit | 751,935 | 5,784,370 | |
Beijing Enterprises Holdings Ltd. | 846,500 | 2,689,448 | |
China Resource Gas Group Ltd. | 1,182,000 | 5,544,403 | |
Gas Natural SDG SA | 248,182 | 4,786,075 | |
Rubis SCA | 32,931 | 1,555,423 | |
Snam Rete Gas SpA | 321,178 | 1,644,262 | |
22,003,981 | |||
Independent Power and Renewable Electricity Producers - 0.0% | |||
Drax Group PLC | 70,014 | 262,243 | |
Electric Power Development Co. Ltd. | 252,800 | 3,816,525 | |
4,078,768 | |||
Multi-Utilities - 0.5% | |||
Centrica PLC | 405,589 | 246,499 | |
E.ON AG | 452,237 | 5,356,207 | |
ENGIE (a) | 2,630,948 | 36,592,525 | |
National Grid PLC | 687,414 | 7,748,170 | |
RWE AG | 172,131 | 6,840,237 | |
Veolia Environnement SA | 1,004,680 | 24,218,485 | |
81,002,123 | |||
TOTAL UTILITIES | 176,871,186 | ||
TOTAL COMMON STOCKS | |||
(Cost $6,496,556,718) | 8,529,107,269 | ||
Nonconvertible Preferred Stocks - 0.8% | |||
COMMUNICATION SERVICES - 0.0% | |||
Diversified Telecommunication Services - 0.0% | |||
Telecom Italia SpA (Risparmio Shares) | 7,794,348 | 3,681,488 | |
CONSUMER DISCRETIONARY - 0.4% | |||
Automobiles - 0.4% | |||
Bayerische Motoren Werke AG (BMW) (non-vtg.) | 58,300 | 3,276,856 | |
Porsche Automobil Holding SE (Germany) | 52,448 | 3,210,807 | |
Volkswagen AG | 408,487 | 67,923,786 | |
74,411,449 | |||
Multiline Retail - 0.0% | |||
Lojas Americanas SA (PN) | 34,900 | 205,571 | |
TOTAL CONSUMER DISCRETIONARY | 74,617,020 | ||
CONSUMER STAPLES - 0.3% | |||
Household Products - 0.3% | |||
Henkel AG & Co. KGaA | 431,984 | 44,106,874 | |
ENERGY - 0.1% | |||
Oil, Gas & Consumable Fuels - 0.1% | |||
Petroleo Brasileiro SA - Petrobras: | |||
(PN) sponsored ADR (non-vtg.) | 331,570 | 2,655,876 | |
sponsored ADR | 413,049 | 3,374,610 | |
6,030,486 | |||
FINANCIALS - 0.0% | |||
Banks - 0.0% | |||
Itau Unibanco Holding SA sponsored ADR | 444,624 | 1,894,098 | |
HEALTH CARE - 0.0% | |||
Health Care Equipment & Supplies - 0.0% | |||
Sartorius AG (non-vtg.) | 2,824 | 1,196,357 | |
MATERIALS - 0.0% | |||
Chemicals - 0.0% | |||
Braskem SA (PN-A) | 406,100 | 1,578,145 | |
Containers & Packaging - 0.0% | |||
Klabin SA (PN) (non-vtg.) | 921,500 | 847,743 | |
Metals & Mining - 0.0% | |||
Bradespar SA (PN) | 89,700 | 720,252 | |
Gerdau SA | 209,600 | 730,358 | |
1,450,610 | |||
TOTAL MATERIALS | 3,876,498 | ||
TOTAL NONCONVERTIBLE PREFERRED STOCKS | |||
(Cost $115,597,372) | 135,402,821 | ||
Equity Funds - 47.1% | |||
Diversified Emerging Markets Funds - 0.0% | |||
Matthews Pacific Tiger Fund Investor Class | 19,976 | 624,644 | |
Europe Stock Funds - 0.5% | |||
WisdomTree Europe Hedged Equity ETF (b) | 1,427,995 | 88,350,051 | |
Foreign Large Blend Funds - 12.5% | |||
Artisan International Value Fund Investor Class | 18,659,455 | 631,622,545 | |
Fidelity SAI International Index Fund (f) | 18,548,798 | 218,133,869 | |
Fidelity SAI International Low Volatility Index Fund (f) | 23,071,018 | 238,785,035 | |
Fidelity SAI International Quality Index Fund (f) | 2,600,000 | 30,082,000 | |
Harbor International Fund Institutional Class | 9,619 | 367,553 | |
Morgan Stanley Institutional Fund, Inc. International Equity Portfolio Class I | 30,129,380 | 440,491,540 | |
Oakmark International Fund Investor Class | 28,735,024 | 603,148,153 | |
TOTAL FOREIGN LARGE BLEND FUNDS | 2,162,630,695 | ||
Foreign Large Growth Funds - 21.4% | |||
American Funds EuroPacific Growth Fund Class F2 | 959,673 | 56,495,937 | |
Fidelity Diversified International Fund (f) | 15,446,770 | 671,934,473 | |
Fidelity International Discovery Fund (f) | 22,902,707 | 1,113,758,641 | |
Fidelity Overseas Fund (f) | 10,954,822 | 593,313,149 | |
Fidelity SAI International Momentum Index Fund (f) | 3,100,000 | 36,580,000 | |
Invesco Oppenheimer International Growth Fund Class R6 | 1,128,185 | 52,990,860 | |
JOHCM International Select Fund Class II Shares | 19,502,861 | 535,743,584 | |
WCM Focused International Growth Fund Investor Class | 29,993,147 | 648,751,768 | |
TOTAL FOREIGN LARGE GROWTH FUNDS | 3,709,568,412 | ||
Foreign Large Value Funds - 3.2% | |||
iShares MSCI EAFE Value ETF (b) | 4,421,465 | 185,701,530 | |
Pear Tree Polaris Foreign Value Fund Institutional Shares | 19,861,845 | 371,615,128 | |
TOTAL FOREIGN LARGE VALUE FUNDS | 557,316,658 | ||
Foreign Small Mid Blend Funds - 1.3% | |||
iShares MSCI EAFE Small-Cap ETF (b) | 2,206,218 | 130,409,546 | |
Oakmark International Small Cap Fund Investor Class | 1,284,792 | 18,231,199 | |
Victory Trivalent International Small-Cap Fund Class I | 4,795,862 | 70,115,499 | |
TOTAL FOREIGN SMALL MID BLEND FUNDS | 218,756,244 | ||
Foreign Small Mid Growth Funds - 0.8% | |||
Fidelity International Small Cap Opportunities Fund (f) | 3,206,204 | 67,362,356 | |
Oberweis International Opportunities Institutional Fund | 1,205,683 | 16,192,321 | |
T. Rowe Price International Discovery Fund | 688,175 | 56,017,478 | |
Wasatch International Growth Fund Investor Class | 90 | 3,025 | |
TOTAL FOREIGN SMALL MID GROWTH FUNDS | 139,575,180 | ||
Foreign Small Mid Value Funds - 0.8% | |||
Brandes International Small Cap Equity Fund Class A | 1,744,983 | 16,577,339 | |
Segall Bryant & Hamill International Small Capital Fund Class A | 4,641,163 | 44,694,397 | |
Transamerica International Small Cap Value Fund | 5,623,845 | 69,566,964 | |
TOTAL FOREIGN SMALL MID VALUE FUNDS | 130,838,700 | ||
Sector Funds - 0.0% | |||
SPDR Dow Jones International Real Estate ETF (b) | 201,575 | 6,160,132 | |
Other - 6.6% | |||
Fidelity Advisor Japan Fund Class I (f) | 3,419,044 | 58,192,131 | |
Fidelity Japan Smaller Companies Fund (f) | 6,854,892 | 112,557,320 | |
iShares MSCI Australia ETF (b) | 5,048,907 | 104,966,777 | |
iShares MSCI Japan ETF (b) | 15,136,363 | 878,211,781 | |
Matthews Japan Fund Investor Class | 179 | 4,107 | |
TOTAL OTHER | 1,153,932,116 | ||
TOTAL EQUITY FUNDS | |||
(Cost $6,191,296,619) | 8,167,752,832 | ||
U.S. Treasury Obligations - 0.2% | |||
U.S. Treasury Bills, yield at date of purchase 0.09% to 0.16% 9/10/20 to 11/12/20 (g) | |||
(Cost $36,225,696) | 36,230,000 | 36,226,293 | |
Money Market Funds - 4.5% | |||
Fidelity Securities Lending Cash Central Fund 0.11% (h)(i) | 324,766,434 | 324,798,910 | |
State Street Institutional U.S. Government Money Market Fund Premier Class .04% (j) | 451,147,524 | 451,147,524 | |
TOTAL MONEY MARKET FUNDS | |||
(Cost $775,946,434) | 775,946,434 | ||
TOTAL INVESTMENT IN SECURITIES - 101.7% | |||
(Cost $13,615,622,839) | 17,644,435,649 | ||
NET OTHER ASSETS (LIABILITIES) - (1.7)% | (288,804,869) | ||
NET ASSETS - 100% | $17,355,630,780 |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/(Depreciation) | |
Purchased | |||||
Equity Index Contracts | |||||
CME Nikkei 225 Index Contracts (United States) | 1,086 | Sept. 2020 | $125,460,150 | $1,619,368 | $1,619,369 |
ICE E-mini MSCI EAFE Index Contracts (United States) | 2,152 | Sept. 2020 | 204,450,760 | 14,779,995 | 14,779,995 |
TOTAL FUTURES CONTRACTS | $16,399,364 |
The notional amount of futures purchased as a percentage of Net Assets is 1.9%
Security Type Abbreviations
ETF – Exchange-Traded Fund
Legend
(a) Non-income producing
(b) Security or a portion of the security is on loan at period end.
(c) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $178,854,023 or 1.0% of net assets.
(d) Security or a portion of the security purchased on a delayed delivery or when-issued basis.
(e) A portion of the security sold on a delayed delivery basis.
(f) Affiliated Fund
(g) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $27,553,461.
(h) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
(i) Investment made with cash collateral received from securities on loan.
(j) The rate quoted is the annualized seven-day yield of the fund at period end.
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 | $1,263,280 |
Total | $1,263,280 |
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. Certain Underlying Funds incurred name changes since their most recent shareholder report. The names of the Underlying Funds are those in effect at period end.
Affiliate | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income | Realized Gain (loss) | Change in Unrealized appreciation (depreciation) | Value, end of period |
Fidelity Advisor Japan Fund Class I | $49,986,426 | $-- | $1 | $-- | $-- | $8,205,706 | $58,192,131 |
Fidelity Diversified International Fund | 620,718,700 | -- | 35,509,605 | -- | 2,346,823 | 84,378,555 | 671,934,473 |
Fidelity International Discovery Fund | 1,006,340,643 | 5 | 47,331,720 | -- | (1,532,117) | 156,281,830 | 1,113,758,641 |
Fidelity International Small Cap Opportunities Fund | 53,216,114 | 6,165,327 | -- | -- | -- | 7,980,915 | 67,362,356 |
Fidelity Japan Smaller Companies Fund | 101,109,651 | -- | -- | -- | -- | 11,447,669 | 112,557,320 |
Fidelity Overseas Fund | 510,264,292 | 29,500,000 | 15,466,344 | -- | (1,435,855) | 70,451,056 | 593,313,149 |
Fidelity SAI International Index Fund | -- | 846,841,857 | 709,533,135 | -- | 66,171,595 | 14,653,552 | 218,133,869 |
Fidelity SAI International Low Volatility Index Fund | 154,908,004 | 81,000,000 | 2 | -- | -- | 2,877,033 | 238,785,035 |
Fidelity SAI International Momentum Index Fund | -- | 31,000,000 | -- | -- | -- | 5,580,000 | 36,580,000 |
Fidelity SAI International Quality Index Fund | -- | 26,000,000 | -- | -- | -- | 4,082,000 | 30,082,000 |
Total | $2,496,543,830 | $1,020,507,189 | $807,840,807 | $-- | $65,550,446 | $365,938,316 | $3,140,698,974 |
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 August 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 | $430,584,128 | $223,140,853 | $207,443,275 | $-- |
Consumer Discretionary | 810,862,265 | 509,387,895 | 301,474,370 | -- |
Consumer Staples | 1,095,640,957 | 489,117,391 | 606,523,566 | -- |
Energy | 213,651,917 | 118,111,459 | 95,540,458 | -- |
Financials | 1,084,182,967 | 555,689,140 | 528,493,827 | -- |
Health Care | 938,609,013 | 401,718,316 | 536,890,697 | -- |
Industrials | 1,551,429,083 | 980,388,649 | 571,040,434 | -- |
Information Technology | 1,407,881,467 | 1,067,892,233 | 339,989,234 | -- |
Materials | 778,916,428 | 687,526,272 | 91,390,156 | -- |
Real Estate | 175,880,679 | 168,523,153 | 7,357,526 | -- |
Utilities | 176,871,186 | 132,960,071 | 43,911,115 | -- |
Equity Funds | 8,167,752,832 | 8,167,752,832 | -- | -- |
Other Short-Term Investments | 36,226,293 | -- | 36,226,293 | -- |
Money Market Funds | 775,946,434 | 775,946,434 | -- | -- |
Total Investments in Securities: | $17,644,435,649 | $14,278,154,698 | $3,366,280,951 | $-- |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $16,399,364 | $16,399,364 | $-- | $-- |
Total Assets | $16,399,364 | $16,399,364 | $-- | $-- |
Total Derivative Instruments: | $16,399,364 | $16,399,364 | $-- | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of August 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) | $16,399,364 | $0 |
Total Equity Risk | 16,399,364 | 0 |
Total Value of Derivatives | $16,399,364 | $0 |
(a) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).
Other Information
Distribution of the direct investments by country of issue, as a percentage of Total Net Assets, is as follows (Unaudited):
United States of America | 51.6% |
Japan | 9.8% |
United Kingdom | 6.3% |
Germany | 5.8% |
France | 5.3% |
Switzerland | 5.2% |
Netherlands | 2.5% |
Cayman Islands | 1.5% |
Canada | 1.1% |
Ireland | 1.1% |
Australia | 1.0% |
Others (Individually Less Than 1%) | 8.8% |
100.0% |
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
August 31, 2020 (Unaudited) | ||
Assets | ||
Investment in securities, at value (including securities loaned of $314,994,675) — See accompanying schedule: Unaffiliated issuers (cost $11,139,557,519) | $14,178,937,765 | |
Fidelity Central Funds (cost $324,798,910) | 324,798,910 | |
Other affiliated issuers (cost $2,151,266,410) | 3,140,698,974 | |
Total Investment in Securities (cost $13,615,622,839) | $17,644,435,649 | |
Cash | 5,639 | |
Foreign currency held at value (cost $2,298,928) | 2,302,364 | |
Receivable for investments sold | ||
Regular delivery | 28,281,302 | |
Delayed delivery | 207,375 | |
Receivable for fund shares sold | 5,543,443 | |
Dividends receivable | 38,136,708 | |
Interest receivable | 25,216 | |
Distributions receivable from Fidelity Central Funds | 259,328 | |
Prepaid expenses | 38,763 | |
Other receivables | 521,161 | |
Total assets | 17,719,756,948 | |
Liabilities | ||
Payable for investments purchased | ||
Regular delivery | $26,953,970 | |
Delayed delivery | 1,100,187 | |
Payable for fund shares redeemed | 6,949,861 | |
Accrued management fee | 2,470,816 | |
Payable for daily variation margin on futures contracts | 682,442 | |
Other payables and accrued expenses | 1,088,833 | |
Collateral on securities loaned | 324,880,059 | |
Total liabilities | 364,126,168 | |
Net Assets | $17,355,630,780 | |
Net Assets consist of: | ||
Paid in capital | $13,346,727,837 | |
Total accumulated earnings (loss) | 4,008,902,943 | |
Net Assets | $17,355,630,780 | |
Net Asset Value, offering price and redemption price per share ($17,355,630,780 ÷ 1,595,807,993 shares) | $10.88 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Six months ended August 31, 2020 (Unaudited) | ||
Investment Income | ||
Dividends: | ||
Unaffiliated issuers | $128,611,418 | |
Interest | 557,251 | |
Income from Fidelity Central Funds (including $1,263,280 from security lending) | 1,263,280 | |
Income before foreign taxes withheld | 130,431,949 | |
Less foreign taxes withheld | (11,836,118) | |
Total income | 118,595,831 | |
Expenses | ||
Management fee | $32,836,049 | |
Custodian fees and expenses | 345,394 | |
Independent trustees' fees and expenses | 87,430 | |
Registration fees | 56,302 | |
Audit | 58,072 | |
Legal | 21,743 | |
Miscellaneous | 73,809 | |
Total expenses before reductions | 33,478,799 | |
Expense reductions | (19,130,519) | |
Total expenses after reductions | 14,348,280 | |
Net investment income (loss) | 104,247,551 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | (162,011,393) | |
Fidelity Central Funds | (42,640) | |
Other affiliated issuers | 65,550,446 | |
Foreign currency transactions | (734,968) | |
Futures contracts | 109,112 | |
Total net realized gain (loss) | (97,129,443) | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers (net of increase in deferred foreign taxes of $455,957) | 1,323,499,778 | |
Affiliated issuers | 365,938,316 | |
Assets and liabilities in foreign currencies | 1,777,935 | |
Futures contracts | 40,480,373 | |
Total change in net unrealized appreciation (depreciation) | 1,731,696,402 | |
Net gain (loss) | 1,634,566,959 | |
Net increase (decrease) in net assets resulting from operations | $1,738,814,510 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Six months ended August 31, 2020 (Unaudited) | Year ended February 29, 2020 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $104,247,551 | $307,302,142 |
Net realized gain (loss) | (97,129,443) | 238,748,717 |
Change in net unrealized appreciation (depreciation) | 1,731,696,402 | (135,052,406) |
Net increase (decrease) in net assets resulting from operations | 1,738,814,510 | 410,998,453 |
Distributions to shareholders | (139,877,687) | (547,156,394) |
Share transactions | ||
Proceeds from sales of shares | 2,504,913,316 | 1,689,480,304 |
Reinvestment of distributions | 138,348,060 | 542,299,321 |
Cost of shares redeemed | (1,983,135,088) | (2,904,015,493) |
Net increase (decrease) in net assets resulting from share transactions | 660,126,288 | (672,235,868) |
Total increase (decrease) in net assets | 2,259,063,111 | (808,393,809) |
Net Assets | ||
Beginning of period | 15,096,567,669 | 15,904,961,478 |
End of period | $17,355,630,780 | $15,096,567,669 |
Other Information | ||
Shares | ||
Sold | 266,316,107 | 164,022,651 |
Issued in reinvestment of distributions | 15,920,375 | 50,851,662 |
Redeemed | (206,674,625) | (279,735,078) |
Net increase (decrease) | 75,561,857 | (64,860,765) |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Strategic Advisers International Fund
Six months ended (Unaudited) August 31, | Years endedFebruary 28, | |||||
2020 | 2020 A | 2019 | 2018 | 2017 | 2016 A | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $9.93 | $10.03 | $11.43 | $9.78 | $8.74 | $10.45 |
Income from Investment Operations | ||||||
Net investment income (loss)B | .07 | .20 | .21 | .19 | .17 | .16 |
Net realized and unrealized gain (loss) | .97 | .06 | (.98) | 1.82 | 1.07 | (1.54) |
Total from investment operations | 1.04 | .26 | (.77) | 2.01 | 1.24 | (1.38) |
Distributions from net investment income | (.01) | (.22) | (.18) | (.18) | (.18) | (.16) |
Distributions from net realized gain | (.08) | (.14) | (.44) | (.18) | (.02) | (.17) |
Total distributions | (.09) | (.36) | (.63)C | (.36) | (.20) | (.33) |
Net asset value, end of period | $10.88 | $9.93 | $10.03 | $11.43 | $9.78 | $8.74 |
Total ReturnD,E | 10.69% | 2.35% | (6.57)% | 20.53% | 14.33% | (13.60)% |
Ratios to Average Net AssetsF,G | ||||||
Expenses before reductions | .44%H | .44% | .45% | .50% | .48% | .45% |
Expenses net of fee waivers, if any | .19%H | .19% | .20% | .25% | .23% | .20% |
Expenses net of all reductions | .19%H | .19% | .20% | .24% | .22% | .20% |
Net investment income (loss) | 1.36%H | 1.91% | 1.95% | 1.68% | 1.81% | 1.57% |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $17,355,631 | $15,096,568 | $15,904,961 | $17,256,557 | $16,141,374 | $18,533,655 |
Portfolio turnover rateI | 46%H | 33% | 39% | 33% | 28% | 28% |
A For the year ended February 29.
B Calculated based on average shares outstanding during the period.
C Total distributions of $.63 per share is comprised of distributions from net investment income of $.184 and distributions from net realized gain of $.444 per share.
D Total returns for periods of less than one year are not annualized.
E Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
F Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
H Annualized
I 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 (Unaudited)
For the period ended August 31, 2020
1. Organization.
Strategic Advisers International Fund (the Fund) is a fund of Fidelity Rutland Square Trust II (the Trust), and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust. The Fund is offered exclusively to certain clients of Strategic Advisers LLC (Strategic Advisers), an affiliate of Fidelity Management & Research Company LLC (FMR).
2. Significant Accounting Policies.
The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services – Investment Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the Fund:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
- Level 1 – quoted prices in active markets for identical investments
- Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
- Level 3 – unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value the Fund's investments by major category are as follows:
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances. 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 August 31, 2020 is included at the end of the Fund's Schedule of Investments.
Foreign Currency. Certain Funds may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.
Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received, and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost 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.
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 $281,178 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. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests. The Fund is subject to a tax imposed on capital gains by certain countries in which it invests. An estimated deferred tax liability for net unrealized appreciation on the applicable securities is included in Other payables and accrued expenses on the Statement of Assets & Liabilities.
Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to the short-term gain distributions from the Underlying Funds, futures contracts, foreign currency transactions, certain foreign taxes, passive foreign investment companies (PFIC), market discount, 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 | $4,517,933,827 |
Gross unrealized depreciation | (548,511,422) |
Net unrealized appreciation (depreciation) | $3,969,422,405 |
Tax cost | $13,691,412,608 |
Delayed Delivery Transactions and When-Issued Securities. During the period, certain Funds transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. Securities purchased on a delayed delivery or when-issued basis are identified as such in the Schedule of Investments. Compensation for interest forgone in the purchase of a delayed delivery or when-issued debt security may be received. With respect to purchase commitments, each applicable Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Payables and receivables associated with the purchases and sales of delayed delivery securities having the same coupon, settlement date and broker are offset. Delayed delivery or when-issued securities that have been purchased from and sold to different brokers are reflected as both payables and receivables in the Statement of Assets and Liabilities under the caption "Delayed delivery", as applicable. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
Restricted Securities (including Private Placements). The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.
3. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund's investment objective allows the Fund to enter into various types of derivative contracts, including futures contracts. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.
The Fund used derivatives to increase returns and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.
The Fund's use of derivatives increased or decreased its exposure to the following risk:
Equity Risk | Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment. |
The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Counterparty credit risk related to exchange-traded futures contracts may be mitigated by the protection provided by the exchange on which they trade.
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.
Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. The Fund used futures contracts to manage its exposure to the stock market.
Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments (variation margin) are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is presented in the Statement of Operations.
Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The notional amount at value reflects each contract's exposure to the underlying instrument or index at period end and is representative of volume of activity during the period. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.
4. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities and U.S. government securities are noted in the table below.
Purchases ($) | Sales ($) | |
Strategic Advisers International Fund | 4,031,928,843 | 3,465,483,445 |
Prior Fiscal Year Unaffiliated Exchanges In-Kind. During the prior period, the Fund redeemed 122,639,719 shares of T. Rowe Price Overseas Stock Fund I Class in exchange for investments and cash with a value of $1,292,622,641. The Fund had a net realized loss of $(31,647,358) on the Fund’s redemptions. of T. Rowe Price Overseas Stock Fund I Class shares. The Fund recognized a net realized loss on the exchanges for federal income tax purposes.
5. Fees and Other Transactions with Affiliates.
Management Fee. Strategic Advisers (the investment adviser) provides the Fund with investment management related services. For these services, the Fund pays a monthly management fee to the investment adviser. The management fee is calculated by adding the annual management fee rate of .25% of the Fund's average net assets throughout the month payable to the investment adviser to the aggregate of the fee rates, payable monthly, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed 1.00% of the Fund's average net assets. For the reporting period, the total annualized management fee rate was .43% of the Fund's average net assets.
During the period, the investment adviser waived a portion of its management fee as described in the Expense Reductions note.
Sub-Advisers. Arrowstreet Capital, Limited Partnership, Causeway Capital Management, LLC, Massachusetts Financial Services Company (MFS), Thompson, Siegel & Walmsley LLC, T. Rowe Price Associates, Inc. and William Blair Investment Management, LLC each served as a sub-adviser for the Fund during the period. Sub-advisers provide discretionary investment advisory services for their allocated portion of the Fund's assets and are paid by the investment adviser and not the Fund for providing these services.
FIAM LLC (an affiliate of the investment adviser), FIL Investment Advisors and Geode Capital Management, LLC, have been retained to serve as a sub-adviser for the Fund. As of the date of this report, these sub-advisers have not been allocated any portion of the Fund's assets. These sub-advisers in the future may provide discretionary investment advisory services for an allocated portion of the Fund's assets and will be paid by the investment adviser for providing these services.
Brokerage Commissions. A portion of portfolio transactions were placed with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Statement of Operations. The commissions paid to these affiliated firms were as follows:
Amount | |
Strategic Advisers International Fund | $147 |
Interfund Trades. Funds may purchase from or sell securities to other funds affiliated with each sub-adviser under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.
6. Investments in Fidelity Central Funds.
The Fund invests in Fidelity Central Funds, which are open-end investment companies available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
The Fidelity Money Market Central Funds are managed by FMR. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date ranged from less than .005% to .01%.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds are available on the SEC website or upon request.
7. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are as follows:
Amount | |
Strategic Advisers International Fund | $18,945 |
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. Net income from Fidelity Central Funds is presented in the Statement of Operations as a component of income from Fidelity Central Funds.
9. Expense Reductions.
The investment adviser has contractually agreed to waive the Fund's management fee in an amount equal to .25% of the Fund's average net assets until September 30, 2023. During the period, this waiver reduced the Fund's management fee by $19,129,988.
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 $531.
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:
Fidelity International Discovery Fund | 12% |
Fidelity Japan Smaller Companies Fund | 20% |
11. Coronavirus (COVID-19) Pandemic.
An outbreak of COVID-19 first detected in China during December 2019 has since spread globally and was declared a pandemic by the World Health Organization during March 2020. Developments that disrupt global economies and financial markets, such as the COVID-19 pandemic, may magnify factors that affect the Fund's performance.
Shareholder Expense Example
As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (March 1, 2020 to August 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 for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
Annualized Expense Ratio-A | Beginning Account Value March 1, 2020 | Ending Account Value August 31, 2020 | Expenses Paid During Period-B March 1, 2020 to August 31, 2020 | |
Strategic Advisers International Fund | .19% | |||
Actual | $1,000.00 | $1,106.90 | $1.01 | |
Hypothetical-C | $1,000.00 | $1,024.25 | $.97 |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/ 365 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.
C 5% return per year before expenses
Board Approval of Amendment to Sub-Advisory Agreement and New Sub-Subadvisory Agreements
Strategic Advisers International Fund
SIT-SANN-1020
1.912867.110
Strategic Advisers® Fidelity® International Fund
Offered exclusively to certain clients of Strategic Advisers LLC - not available for sale to the general public
Semi-Annual Report
August 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.
Investment Summary (Unaudited)
The information in the following tables is based on the direct investments of the Fund.Top Ten Holdings as of August 31, 2020
(excluding cash equivalents) | % of fund's net assets |
Fidelity SAI International Value Index Fund | 13.9 |
Fidelity Overseas Fund | 13.4 |
Fidelity Diversified International Fund | 13.4 |
Fidelity International Discovery Fund | 13.3 |
Fidelity International Capital Appreciation Fund | 11.6 |
Fidelity SAI International Low Volatility Index Fund | 7.5 |
Fidelity Advisor Japan Fund Class I | 3.0 |
Fidelity SAI International Index Fund | 1.9 |
Fidelity Pacific Basin Fund | 1.6 |
Fidelity International Value Fund | 1.6 |
81.2 |
Asset Allocation (% of fund's net assets)
As of August 31, 2020 | ||
Common Stocks | 7.2% | |
Foreign Large Blend Funds | 11.0% | |
Foreign Large Growth Funds | 52.4% | |
Foreign Large Value Funds | 15.5% | |
Foreign Small Mid Growth Funds | 0.7% | |
Other | 3.3% | |
Sector Funds | 0.8% | |
Short-Term Investments and Net Other Assets (Liabilities) | 9.1% |
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 August 31, 2020 (Unaudited)
Showing Percentage of Net Assets
Common Stocks - 7.2% | |||
Shares | Value | ||
COMMUNICATION SERVICES - 0.5% | |||
Diversified Telecommunication Services - 0.1% | |||
Cellnex Telecom SA (a) | 117,220 | $7,508,999 | |
Deutsche Telekom AG | 305,322 | 5,381,923 | |
HKT Trust/HKT Ltd. unit | 3,288,000 | 4,698,313 | |
17,589,235 | |||
Entertainment - 0.0% | |||
Nintendo Co. Ltd. | 4,900 | 2,637,709 | |
Interactive Media & Services - 0.1% | |||
Adevinta ASA Class B (b) | 145,516 | 2,715,193 | |
Yahoo! Japan Corp. | 835,200 | 5,559,326 | |
8,274,519 | |||
Media - 0.1% | |||
Informa PLC | 287,151 | 1,586,832 | |
Schibsted ASA (A Shares) | 95,140 | 4,142,914 | |
5,729,746 | |||
Wireless Telecommunication Services - 0.2% | |||
KDDI Corp. | 252,700 | 7,345,449 | |
SoftBank Group Corp. | 169,700 | 10,497,013 | |
Vodafone Group PLC | 2,128,194 | 3,120,451 | |
20,962,913 | |||
TOTAL COMMUNICATION SERVICES | 55,194,122 | ||
CONSUMER DISCRETIONARY - 0.8% | |||
Automobiles - 0.2% | |||
Bayerische Motoren Werke AG (BMW) | 21,351 | 1,532,575 | |
Daimler AG (Germany) | 58,356 | 2,969,761 | |
Isuzu Motors Ltd. | 669,200 | 6,627,870 | |
Suzuki Motor Corp. | 111,800 | 4,590,645 | |
Toyota Motor Corp. | 137,800 | 9,100,922 | |
24,821,773 | |||
Hotels, Restaurants & Leisure - 0.1% | |||
Aristocrat Leisure Ltd. | 136,312 | 2,852,232 | |
Compass Group PLC | 136,094 | 2,202,268 | |
Sands China Ltd. | 924,800 | 4,071,042 | |
Wynn Macau Ltd. | 1,698,000 | 3,187,310 | |
12,312,852 | |||
Household Durables - 0.1% | |||
Sony Corp. | 148,200 | 11,604,713 | |
Internet & Direct Marketing Retail - 0.1% | |||
Delivery Hero AG (a)(b) | 30,180 | 3,242,098 | |
Ocado Group PLC (b) | 114,772 | 3,830,934 | |
Zozo, Inc. | 129,200 | 3,640,021 | |
10,713,053 | |||
Leisure Products - 0.0% | |||
Bandai Namco Holdings, Inc. | 48,100 | 2,991,405 | |
Multiline Retail - 0.0% | |||
B&M European Value Retail SA | 603,806 | 3,841,975 | |
Specialty Retail - 0.1% | |||
Fast Retailing Co. Ltd. | 3,600 | 2,150,857 | |
John David Group PLC | 220,755 | 2,141,794 | |
Nitori Holdings Co. Ltd. | 10,300 | 2,156,956 | |
6,449,607 | |||
Textiles, Apparel & Luxury Goods - 0.2% | |||
adidas AG | 14,510 | 4,408,528 | |
Asics Corp. | 278,900 | 3,855,069 | |
Kering SA | 4,498 | 2,762,212 | |
LVMH Moet Hennessy Louis Vuitton SE | 30,611 | 14,375,619 | |
Moncler SpA | 68,376 | 2,647,806 | |
28,049,234 | |||
TOTAL CONSUMER DISCRETIONARY | 100,784,612 | ||
CONSUMER STAPLES - 0.7% | |||
Beverages - 0.1% | |||
Asahi Group Holdings | 95,700 | 3,354,899 | |
Diageo PLC | 172,365 | 5,758,912 | |
Heineken NV (Bearer) | 38,174 | 3,533,241 | |
Pernod Ricard SA | 21,946 | 3,758,159 | |
16,405,211 | |||
Food & Staples Retailing - 0.1% | |||
Seven & i Holdings Co. Ltd. | 121,900 | 3,932,726 | |
Tesco PLC | 1,594,996 | 4,657,773 | |
Tsuruha Holdings, Inc. | 18,300 | 2,446,566 | |
11,037,065 | |||
Food Products - 0.3% | |||
Barry Callebaut AG | 1,217 | 2,692,627 | |
JDE Peet's BV | 66,843 | 2,944,203 | |
Kerry Group PLC Class A | 9,681 | 1,270,810 | |
Nestle SA (Reg. S) | 226,437 | 27,273,688 | |
34,181,328 | |||
Household Products - 0.0% | |||
Reckitt Benckiser Group PLC | 57,066 | 5,728,225 | |
Unicharm Corp. | 42,400 | 1,847,081 | |
7,575,306 | |||
Personal Products - 0.1% | |||
Kao Corp. | 66,100 | 5,035,745 | |
Shiseido Co. Ltd. | 48,300 | 2,814,137 | |
7,849,882 | |||
Tobacco - 0.1% | |||
British American Tobacco PLC (United Kingdom) | 107,971 | 3,639,167 | |
Swedish Match Co. AB | 55,274 | 4,195,809 | |
7,834,976 | |||
TOTAL CONSUMER STAPLES | 84,883,768 | ||
ENERGY - 0.3% | |||
Oil, Gas & Consumable Fuels - 0.3% | |||
BP PLC | 3,390,167 | 11,827,545 | |
Idemitsu Kosan Co. Ltd. | 161,200 | 3,555,334 | |
Lundin Petroleum AB | 139,053 | 3,398,437 | |
Total SA | 275,016 | 10,910,454 | |
29,691,770 | |||
FINANCIALS - 1.2% | |||
Banks - 0.5% | |||
BNP Paribas SA (b) | 127,042 | 5,534,994 | |
Commonwealth Bank of Australia | 64,385 | 3,242,423 | |
DBS Group Holdings Ltd. | 258,200 | 3,960,629 | |
DNB ASA | 191,080 | 3,060,937 | |
Erste Group Bank AG | 94,062 | 2,287,632 | |
Intesa Sanpaolo SpA | 1,896,231 | 4,081,654 | |
KBC Groep NV | 157,372 | 9,033,174 | |
Lloyds Banking Group PLC | 7,839,159 | 2,955,815 | |
Mizrahi Tefahot Bank Ltd. | 108,970 | 2,222,313 | |
National Australia Bank Ltd. | 652,605 | 8,594,058 | |
Standard Chartered PLC (United Kingdom) | 828,689 | 4,346,811 | |
Sumitomo Mitsui Financial Group, Inc. | 353,200 | 10,385,910 | |
Svenska Handelsbanken AB (A Shares) (b) | 325,559 | 3,275,111 | |
United Overseas Bank Ltd. | 112,603 | 1,614,592 | |
64,596,053 | |||
Capital Markets - 0.2% | |||
Amundi SA (a) | 30,809 | 2,393,461 | |
Deutsche Borse AG | 13,990 | 2,644,483 | |
EQT AB | 168,401 | 3,105,269 | |
Hong Kong Exchanges and Clearing Ltd. | 90,300 | 4,552,961 | |
London Stock Exchange Group PLC | 33,385 | 3,943,467 | |
Macquarie Group Ltd. | 81,905 | 7,714,233 | |
Man Group PLC | 532,355 | 872,097 | |
25,225,971 | |||
Diversified Financial Services - 0.1% | |||
Investor AB (B Shares) | 72,189 | 4,601,842 | |
M&G PLC | 1,829,143 | 4,230,035 | |
ORIX Corp. | 357,600 | 4,463,458 | |
13,295,335 | |||
Insurance - 0.4% | |||
AIA Group Ltd. | 805,600 | 8,253,176 | |
Allianz SE | 16,102 | 3,487,965 | |
AXA SA | 296,589 | 6,051,623 | |
NN Group NV | 100,895 | 3,798,716 | |
NN Group NV rights 12/31/99 | 100,895 | 272,111 | |
Prudential PLC | 429,508 | 6,924,262 | |
Swiss Re Ltd. | 37,283 | 3,001,522 | |
Talanx AG | 73,504 | 2,731,476 | |
Tokio Marine Holdings, Inc. | 88,900 | 4,104,433 | |
Zurich Insurance Group Ltd. | 20,385 | 7,537,305 | |
46,162,589 | |||
TOTAL FINANCIALS | 149,279,948 | ||
HEALTH CARE - 0.9% | |||
Biotechnology - 0.0% | |||
CSL Ltd. | 35,128 | 7,410,135 | |
Health Care Equipment & Supplies - 0.1% | |||
bioMerieux SA | 10,368 | 1,571,327 | |
Hoya Corp. | 75,000 | 7,375,018 | |
Olympus Corp. | 132,500 | 2,625,856 | |
11,572,201 | |||
Life Sciences Tools & Services - 0.1% | |||
Eurofins Scientific SA (b) | 4,421 | 3,543,228 | |
Lonza Group AG | 12,493 | 7,763,317 | |
11,306,545 | |||
Pharmaceuticals - 0.7% | |||
Astellas Pharma, Inc. | 393,400 | 6,171,721 | |
AstraZeneca PLC (United Kingdom) | 164,672 | 18,278,634 | |
Bayer AG | 100,958 | 6,714,923 | |
Daiichi Sankyo Kabushiki Kaisha | 55,900 | 4,985,954 | |
Novartis AG | 33,079 | 2,850,981 | |
Roche Holding AG (participation certificate) | 62,992 | 22,035,801 | |
Sanofi SA | 140,782 | 14,259,631 | |
Takeda Pharmaceutical Co. Ltd. | 99,300 | 3,702,621 | |
UCB SA | 41,212 | 4,894,427 | |
83,894,693 | |||
TOTAL HEALTH CARE | 114,183,574 | ||
INDUSTRIALS - 1.2% | |||
Aerospace & Defense - 0.0% | |||
MTU Aero Engines Holdings AG | 22,570 | 4,181,489 | |
Air Freight & Logistics - 0.1% | |||
Deutsche Post AG | 155,386 | 7,068,587 | |
DSV A/S | 32,982 | 5,157,494 | |
Yamato Holdings Co. Ltd. | 67,500 | 1,766,605 | |
13,992,686 | |||
Airlines - 0.0% | |||
Ryanair Holdings PLC sponsored ADR (b) | 33,900 | 2,742,510 | |
Building Products - 0.0% | |||
Compagnie de St. Gobain (b) | 48,750 | 1,970,757 | |
Daikin Industries Ltd. | 15,700 | 2,957,334 | |
4,928,091 | |||
Commercial Services & Supplies - 0.1% | |||
Brambles Ltd. | 313,319 | 2,562,771 | |
Park24 Co. Ltd. | 141,900 | 2,566,968 | |
Rentokil Initial PLC | 415,023 | 2,956,988 | |
Secom Co. Ltd. | 21,900 | 2,072,865 | |
Securitas AB (B Shares) | 188,713 | 2,685,677 | |
12,845,269 | |||
Construction & Engineering - 0.1% | |||
Ferrovial SA | 73,938 | 1,974,675 | |
Taisei Corp. | 69,700 | 2,411,844 | |
VINCI SA | 66,671 | 6,246,488 | |
10,633,007 | |||
Electrical Equipment - 0.1% | |||
ABB Ltd. (Reg.) | 115,758 | 2,951,734 | |
Vestas Wind Systems A/S | 45,138 | 6,862,982 | |
9,814,716 | |||
Industrial Conglomerates - 0.1% | |||
Siemens AG | 80,903 | 11,210,375 | |
Machinery - 0.2% | |||
Fanuc Corp. | 33,900 | 5,947,160 | |
Kawasaki Heavy Industries Ltd. | 194,500 | 2,758,240 | |
Makita Corp. | 88,800 | 4,108,200 | |
Minebea Mitsumi, Inc. | 78,400 | 1,361,258 | |
SMC Corp. | 4,400 | 2,419,865 | |
Techtronic Industries Co. Ltd. | 283,500 | 3,590,285 | |
THK Co. Ltd. | 138,900 | 3,260,212 | |
Volvo AB (B Shares) | 165,756 | 3,167,642 | |
26,612,862 | |||
Marine - 0.1% | |||
A.P. Moller - Maersk A/S Series B | 3,818 | 5,850,176 | |
Professional Services - 0.2% | |||
Experian PLC | 132,177 | 4,938,470 | |
Persol Holdings Co., Ltd. | 85,600 | 1,337,563 | |
Recruit Holdings Co. Ltd. | 156,200 | 5,920,061 | |
RELX PLC (London Stock Exchange) | 149,680 | 3,406,443 | |
SR Teleperformance SA | 13,700 | 4,224,554 | |
19,827,091 | |||
Trading Companies & Distributors - 0.1% | |||
Ferguson PLC | 30,999 | 3,039,930 | |
Itochu Corp. | 233,000 | 5,991,366 | |
Rexel SA | 336,368 | 4,499,747 | |
13,531,043 | |||
Transportation Infrastructure - 0.1% | |||
Aena Sme SA (a)(b) | 20,730 | 3,094,742 | |
Auckland International Airport Ltd. | 941,129 | 4,203,052 | |
7,297,794 | |||
TOTAL INDUSTRIALS | 143,467,109 | ||
INFORMATION TECHNOLOGY - 0.6% | |||
Communications Equipment - 0.0% | |||
Ericsson (B Shares) | 339,349 | 3,956,780 | |
Electronic Equipment & Components - 0.1% | |||
Hitachi Ltd. | 80,900 | 2,696,285 | |
Keyence Corp. | 15,700 | 6,474,777 | |
Murata Manufacturing Co. Ltd. | 43,000 | 2,543,071 | |
11,714,133 | |||
IT Services - 0.2% | |||
Adyen BV (a)(b) | 1,422 | 2,396,997 | |
Amadeus IT Holding SA Class A | 40,588 | 2,272,118 | |
Atos Origin SA (b) | 21,699 | 1,877,351 | |
Capgemini SA | 44,135 | 6,109,546 | |
Edenred SA | 65,474 | 3,380,832 | |
Worldline SA (a)(b) | 26,576 | 2,442,648 | |
18,479,492 | |||
Semiconductors & Semiconductor Equipment - 0.1% | |||
ASM Pacific Technology Ltd. | 153,100 | 1,646,929 | |
ASML Holding NV (Netherlands) | 19,591 | 7,321,279 | |
Tokyo Electron Ltd. | 16,100 | 4,127,036 | |
13,095,244 | |||
Software - 0.2% | |||
Dassault Systemes SA | 16,490 | 3,106,226 | |
Netcompany Group A/S (a)(b) | 29,850 | 2,584,146 | |
NICE Systems Ltd. (b) | 28,885 | 6,613,209 | |
Oracle Corp. Japan | 34,500 | 4,052,117 | |
SAP SE | 59,694 | 9,870,098 | |
Temenos Group AG | 19,721 | 3,180,842 | |
29,406,638 | |||
TOTAL INFORMATION TECHNOLOGY | 76,652,287 | ||
MATERIALS - 0.5% | |||
Chemicals - 0.1% | |||
NOF Corp. | 80,500 | 3,268,187 | |
Shin-Etsu Chemical Co. Ltd. | 43,200 | 5,255,460 | |
Sika AG | 21,835 | 5,231,994 | |
Symrise AG | 21,697 | 2,991,834 | |
16,747,475 | |||
Construction Materials - 0.1% | |||
HeidelbergCement AG | 93,317 | 5,926,571 | |
Metals & Mining - 0.2% | |||
Anglo American PLC (United Kingdom) | 341,261 | 8,359,966 | |
ArcelorMittal SA (Netherlands) (b) | 462,781 | 5,855,057 | |
Fortescue Metals Group Ltd. | 230,233 | 2,958,061 | |
Newcrest Mining Ltd. | 170,191 | 4,011,759 | |
Rio Tinto Ltd. | 23,432 | 1,693,663 | |
Rio Tinto PLC | 109,881 | 6,833,548 | |
29,712,054 | |||
Paper & Forest Products - 0.1% | |||
Mondi PLC | 174,221 | 3,402,522 | |
Stora Enso Oyj (R Shares) | 204,211 | 3,004,762 | |
UPM-Kymmene Corp. | 111,119 | 3,369,464 | |
9,776,748 | |||
TOTAL MATERIALS | 62,162,848 | ||
REAL ESTATE - 0.2% | |||
Equity Real Estate Investment Trusts (REITs) - 0.0% | |||
Big Yellow Group PLC | 119,318 | 1,709,822 | |
Goodman Group unit | 297,063 | 4,011,699 | |
5,721,521 | |||
Real Estate Management & Development - 0.2% | |||
Cheung Kong Property Holdings Ltd. | 354,500 | 1,924,118 | |
Grainger Trust PLC | 268,425 | 1,123,098 | |
LEG Immobilien AG | 15,839 | 2,329,795 | |
LEG Immobilien AG rights (b)(c)(d) | 15,839 | 68,045 | |
Mitsubishi Estate Co. Ltd. | 196,100 | 3,076,242 | |
Sino Land Ltd. | 1,531,959 | 1,783,045 | |
Vonovia SE | 121,996 | 8,735,036 | |
19,039,379 | |||
TOTAL REAL ESTATE | 24,760,900 | ||
UTILITIES - 0.3% | |||
Electric Utilities - 0.2% | |||
Enel SpA | 948,274 | 8,586,804 | |
Iberdrola SA | 711,701 | 8,960,204 | |
ORSTED A/S (a) | 35,384 | 5,006,680 | |
SP AusNet | 2,671,093 | 3,595,368 | |
26,149,056 | |||
Multi-Utilities - 0.1% | |||
RWE AG | 175,081 | 6,957,466 | |
TOTAL UTILITIES | 33,106,522 | ||
TOTAL COMMON STOCKS | |||
(Cost $762,756,265) | 874,167,460 | ||
Nonconvertible Preferred Stocks - 0.0% | |||
CONSUMER DISCRETIONARY - 0.0% | |||
Automobiles - 0.0% | |||
Volkswagen AG | |||
(Cost $4,317,123) | 29,650 | 4,930,243 | |
Equity Funds - 83.7% | |||
Foreign Large Blend Funds - 11.0% | |||
Fidelity Pacific Basin Fund (e) | 4,884,671 | 191,381,403 | |
Fidelity SAI International Index Fund (e) | 19,075,647 | 224,329,611 | |
Fidelity SAI International Low Volatility Index Fund (e) | 88,509,303 | 916,071,291 | |
TOTAL FOREIGN LARGE BLEND FUNDS | 1,331,782,305 | ||
Foreign Large Growth Funds - 52.4% | |||
Fidelity Advisor Overseas Fund Class I (e) | 3,075,382 | 83,189,095 | |
Fidelity Diversified International Fund (e) | 37,349,715 | 1,624,712,597 | |
Fidelity International Capital Appreciation Fund (e) | 55,896,939 | 1,409,161,829 | |
Fidelity International Discovery Fund (e) | 33,239,505 | 1,616,437,139 | |
Fidelity Overseas Fund (e) | 30,147,494 | 1,632,788,290 | |
TOTAL FOREIGN LARGE GROWTH FUNDS | 6,366,288,950 | ||
Foreign Large Value Funds - 15.5% | |||
Fidelity International Value Fund (e) | 25,377,058 | 189,312,852 | |
Fidelity SAI International Value Index Fund (e) | 215,534,541 | 1,696,256,840 | |
TOTAL FOREIGN LARGE VALUE FUNDS | 1,885,569,692 | ||
Foreign Small Mid Growth Funds - 0.7% | |||
Fidelity International Small Cap Opportunities Fund (e) | 4,143,334 | 87,051,440 | |
Sector Funds - 0.8% | |||
Fidelity Advisor International Real Estate Fund Class I (e) | 7,786,998 | 95,780,072 | |
Other - 3.3% | |||
Fidelity Advisor Japan Fund Class I (e) | 21,432,312 | 364,777,942 | |
Fidelity Japan Smaller Companies Fund (e) | 2,607,622 | 42,817,160 | |
TOTAL OTHER | 407,595,102 | ||
TOTAL EQUITY FUNDS | |||
(Cost $8,939,049,964) | 10,174,067,561 | ||
Other - 0.1% | |||
Commodity Funds - Broad Basket - 0.1% | |||
Fidelity SAI Inflation-Focused Fund (e) | |||
(Cost $6,500,000) | 831,202 | 8,320,332 | |
Principal Amount | Value | ||
U.S. Treasury Obligations - 0.7% | |||
U.S. Treasury Bills, yield at date of purchase 0.09% to 0.14% 10/8/20 to 11/27/20 (f) | |||
(Cost $90,692,524) | $90,710,000 | 90,692,430 | |
Money Market Funds - 8.2% | |||
State Street Institutional U.S. Government Money Market Fund Premier Class .04% (g) | |||
(Cost $997,179,297) | 997,179,297 | 997,179,297 | |
TOTAL INVESTMENT IN SECURITIES - 99.9% | |||
(Cost $10,800,495,173) | 12,149,357,323 | ||
NET OTHER ASSETS (LIABILITIES) - 0.1% | 10,094,169 | ||
NET ASSETS - 100% | $12,159,451,492 |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/(Depreciation) | |
Purchased | |||||
Equity Index Contracts | |||||
CME Nikkei 225 Index Contracts (United States) | 250 | Sept. 2020 | $28,881,250 | $372,783 | $372,783 |
ICE E-mini MSCI EAFE Index Contracts (United States) | 10,113 | Sept. 2020 | 960,785,565 | 41,812,193 | 41,812,193 |
TOTAL FUTURES CONTRACTS | $42,184,976 |
The notional amount of futures purchased as a percentage of Net Assets is 8.1%
Legend
(a) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $28,669,771 or 0.2% of net assets.
(b) Non-income producing
(c) Security or a portion of the security is on loan at period end.
(d) Security or a portion of the security purchased on a delayed delivery or when-issued basis.
(e) Affiliated 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 $90,692,430.
(g) 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 | $68,663 |
Total | $68,663 |
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 Advisor International Real Estate Fund Class I | $90,819,267 | $4,226,701 | $-- | $-- | $-- | $734,104 | $95,780,072 |
Fidelity Advisor Japan Fund Class I | 261,585,312 | 55,842,473 | -- | -- | -- | 47,350,157 | 364,777,942 |
Fidelity Advisor Overseas Fund Class I | 73,378,625 | -- | -- | -- | -- | 9,810,470 | 83,189,095 |
Fidelity Diversified International Fund | 1,328,945,986 | 71,203,922 | -- | -- | -- | 224,562,689 | 1,624,712,597 |
Fidelity International Capital Appreciation Fund | 1,155,854,840 | 60,630,200 | -- | -- | -- | 192,676,789 | 1,409,161,829 |
Fidelity International Discovery Fund | 1,306,698,955 | 75,970,250 | -- | -- | -- | 233,767,934 | 1,616,437,139 |
Fidelity International Small Cap Opportunities Fund | 74,242,760 | 1,999,999 | -- | -- | -- | 10,808,681 | 87,051,440 |
Fidelity International Value Fund | 186,775,146 | -- | -- | -- | -- | 2,537,706 | 189,312,852 |
Fidelity Japan Smaller Companies Fund | 38,462,431 | -- | -- | -- | -- | 4,354,729 | 42,817,160 |
Fidelity Overseas Fund | 1,352,562,045 | 85,977,224 | -- | -- | -- | 194,249,021 | 1,632,788,290 |
Fidelity Pacific Basin Fund | 156,211,773 | -- | -- | -- | -- | 35,169,630 | 191,381,403 |
Fidelity SAI Inflation-Focused Fund | -- | 6,500,000 | -- | -- | -- | 1,820,332 | 8,320,332 |
Fidelity SAI International Index Fund�� | -- | 180,000,000 | -- | -- | -- | 44,329,611 | 224,329,611 |
Fidelity SAI International Low Volatility Index Fund | 783,215,335 | 120,630,200 | -- | -- | -- | 12,225,756 | 916,071,291 |
Fidelity SAI International Value Index Fund | 1,044,676,873 | 678,605,693 | -- | -- | -- | (27,025,726) | 1,696,256,840 |
Total | $7,853,429,348 | $1,341,586,662 | $-- | $-- | $-- | $987,371,883 | $10,182,387,893 |
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 August 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 | $55,194,122 | $21,513,264 | $33,680,858 | $-- |
Consumer Discretionary | 105,714,855 | 61,172,981 | 44,541,874 | -- |
Consumer Staples | 84,883,768 | 33,893,277 | 50,990,491 | -- |
Energy | 29,691,770 | 6,953,771 | 22,737,999 | -- |
Financials | 149,279,948 | 69,512,561 | 79,767,387 | -- |
Health Care | 114,183,574 | 32,405,945 | 81,777,629 | -- |
Industrials | 143,467,109 | 88,844,339 | 54,622,770 | -- |
Information Technology | 76,652,287 | 48,917,133 | 27,735,154 | -- |
Materials | 62,162,848 | 55,329,300 | 6,833,548 | -- |
Real Estate | 24,760,900 | 21,053,737 | 3,707,163 | -- |
Utilities | 33,106,522 | 24,519,718 | 8,586,804 | -- |
Equity Funds | 10,174,067,561 | 10,174,067,561 | -- | -- |
Other | 8,320,332 | 8,320,332 | -- | -- |
Other Short-Term Investments | 90,692,430 | -- | 90,692,430 | -- |
Money Market Funds | 997,179,297 | 997,179,297 | -- | -- |
Total Investments in Securities: | $12,149,357,323 | $11,643,683,216 | $505,674,107 | $-- |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $42,184,976 | $42,184,976 | $-- | $-- |
Total Assets | $42,184,976 | $42,184,976 | $-- | $-- |
Total Derivative Instruments: | $42,184,976 | $42,184,976 | $-- | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of August 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) | $42,184,976 | $0 |
Total Equity Risk | 42,184,976 | 0 |
Total Value of Derivatives | $42,184,976 | $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
August 31, 2020 (Unaudited) | ||
Assets | ||
Investment in securities, at value (including securities loaned of $1,325) — See accompanying schedule: Unaffiliated issuers (cost $1,854,945,209) | $1,966,969,430 | |
Affiliated issuers (cost $8,945,549,964) | 10,182,387,893 | |
Total Investment in Securities (cost $10,800,495,173) | $12,149,357,323 | |
Foreign currency held at value (cost $112,030) | 112,069 | |
Receivable for investments sold | 20 | |
Receivable for fund shares sold | 19,950,850 | |
Dividends receivable | 4,186,059 | |
Interest receivable | 37,533 | |
Distributions receivable from Fidelity Central Funds | 1,953 | |
Prepaid expenses | 21,458 | |
Other receivables | 41,743 | |
Total assets | 12,173,709,008 | |
Liabilities | ||
Payable for investments purchased | ||
Regular delivery | $599,241 | |
Delayed delivery | 68,045 | |
Payable for fund shares redeemed | 6,333,017 | |
Accrued management fee | 176,520 | |
Payable for daily variation margin on futures contracts | 6,943,704 | |
Other payables and accrued expenses | 136,989 | |
Total liabilities | 14,257,516 | |
Net Assets | $12,159,451,492 | |
Net Assets consist of: | ||
Paid in capital | $10,753,263,071 | |
Total accumulated earnings (loss) | 1,406,188,421 | |
Net Assets | $12,159,451,492 | |
Net Asset Value, offering price and redemption price per share ($12,159,451,492 ÷ 1,128,512,975 shares) | $10.77 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Six months ended August 31, 2020 (Unaudited) | ||
Investment Income | ||
Dividends: | ||
Unaffiliated issuers | $11,792,673 | |
Interest | 584,182 | |
Income from Fidelity Central Funds (including $68,663 from security lending) | 68,663 | |
Income before foreign taxes withheld | 12,445,518 | |
Less foreign taxes withheld | (965,157) | |
Total income | 11,480,361 | |
Expenses | ||
Management fee | $13,047,503 | |
Custodian fees and expenses | 32,835 | |
Independent trustees' fees and expenses | 53,593 | |
Registration fees | 265,435 | |
Audit | 35,939 | |
Legal | 10,745 | |
Miscellaneous | 40,016 | |
Total expenses before reductions | 13,486,066 | |
Expense reductions | (12,298,553) | |
Total expenses after reductions | 1,187,513 | |
Net investment income (loss) | 10,292,848 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | (13,692,550) | |
Fidelity Central Funds | (201) | |
Foreign currency transactions | (95,746) | |
Futures contracts | 3,556,361 | |
Total net realized gain (loss) | (10,232,136) | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers | 81,237,509 | |
Affiliated issuers | 987,371,884 | |
Assets and liabilities in foreign currencies | 179,696 | |
Futures contracts | 71,988,053 | |
Total change in net unrealized appreciation (depreciation) | 1,140,777,142 | |
Net gain (loss) | 1,130,545,006 | |
Net increase (decrease) in net assets resulting from operations | $1,140,837,854 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Six months ended August 31, 2020 (Unaudited) | Year ended February 29, 2020 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $10,292,848 | $155,774,239 |
Net realized gain (loss) | (10,232,136) | 144,176,314 |
Change in net unrealized appreciation (depreciation) | 1,140,777,142 | 296,182 |
Net increase (decrease) in net assets resulting from operations | 1,140,837,854 | 300,246,735 |
Distributions to shareholders | (55,283,916) | (258,375,345) |
Share transactions | ||
Proceeds from sales of shares | 3,294,243,819 | 3,774,008,211 |
Reinvestment of distributions | 51,162,702 | 247,402,033 |
Cost of shares redeemed | (1,047,513,593) | (1,629,645,592) |
Net increase (decrease) in net assets resulting from share transactions | 2,297,892,928 | 2,391,764,652 |
Total increase (decrease) in net assets | 3,383,446,866 | 2,433,636,042 |
Net Assets | ||
Beginning of period | 8,776,004,626 | 6,342,368,584 |
End of period | $12,159,451,492 | $8,776,004,626 |
Other Information | ||
Shares | ||
Sold | 343,601,392 | 370,690,605 |
Issued in reinvestment of distributions | 5,901,119 | 23,664,443 |
Redeemed | (113,082,582) | (158,648,235) |
Net increase (decrease) | 236,419,929 | 235,706,813 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Strategic Advisers Fidelity International Fund
Six months ended (Unaudited) August 31, | Years endedFebruary 28, | |||||
2020 | 2020 A | 2019 | 2018 | 2017 | 2016 A | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $9.84 | $9.66 | $10.69 | $8.94 | $8.19 | $9.41 |
Income from Investment Operations | ||||||
Net investment income (loss)B | .01 | .20 | .16 | .12 | .14 | .10 |
Net realized and unrealized gain (loss) | .98 | .31 | (.85) | 1.85 | .76 | (1.19) |
Total from investment operations | .99 | .51 | (.69) | 1.97 | .90 | (1.09) |
Distributions from net investment income | – | (.19) | (.15) | (.11) | (.13) | (.09) |
Distributions from net realized gain | (.06) | (.14) | (.20) | (.11) | (.02) | (.05) |
Total distributions | (.06) | (.33) | (.34)C | (.22) | (.15) | (.13)D |
Net asset value, end of period | $10.77 | $9.84 | $9.66 | $10.69 | $8.94 | $8.19 |
Total ReturnE,F | 10.17% | 5.10% | (6.41)% | 22.01% | 11.11% | (11.70)% |
Ratios to Average Net AssetsG,H | ||||||
Expenses before reductions | .27%I | .29% | .35% | .38% | .39% | .42% |
Expenses net of fee waivers, if any | .02%I | .04% | .10% | .13% | .14% | .17% |
Expenses net of all reductions | .02%I | .04% | .09% | .13% | .14% | .17% |
Net investment income (loss) | .21%I | 1.97% | 1.65% | 1.16% | 1.58% | 1.09% |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $12,159,451 | $8,776,005 | $6,342,369 | $4,740,524 | $3,593,237 | $2,736,052 |
Portfolio turnover rateJ | 5%I | 6% | 9% | 13% | 14% | 16% |
A For the year ended February 29.
B Calculated based on average shares outstanding during the period.
C Total distributions of $.34 per share is comprised of distributions from net investment income of $.145 and distributions from net realized gain of $.197 per share.
D Total distributions of $.13 per share is comprised of distributions from net investment income of $.088 and distributions from net realized gain of $.046 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 mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
H Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the Fund during periods when reimbursements, waivers or reductions occur.
I Annualized
J 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 (Unaudited)
For the period ended August 31, 2020
1. Organization.
Strategic Advisers Fidelity International Fund (the Fund) is a fund of Fidelity Rutland Square Trust II (the Trust), and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust. The Fund is offered exclusively to certain clients of Strategic Advisers LLC (Strategic Advisers), an affiliate of Fidelity Management & Research Company LLC (FMR).
2. Significant Accounting Policies.
The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services – Investment Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the Fund:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
- Level 1 – quoted prices in active markets for identical investments
- Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
- Level 3 – unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value the Fund's investments by major category are as follows:
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. If an unaffiliated open-end mutual fund's NAV is unavailable, shares of that fund may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and is categorized as Level 2 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of August 31, 2020 is included at the end of the Fund's Schedule of Investments.
Foreign Currency. Certain Funds may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.
Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received, and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost 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. 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 $41,662 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. 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.
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, passive foreign investment companies (PFIC), market discount, 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 | $1,661,033,970 |
Gross unrealized depreciation | (285,039,947) |
Net unrealized appreciation (depreciation) | $1,375,994,023 |
Tax cost | $10,815,548,276 |
Delayed Delivery Transactions and When-Issued Securities. During the period, certain Funds transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. Securities purchased on a delayed delivery or when-issued basis are identified as such in the Schedule of Investments. Compensation for interest forgone in the purchase of a delayed delivery or when-issued debt security may be received. With respect to purchase commitments, each applicable Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Payables and receivables associated with the purchases and sales of delayed delivery securities having the same coupon, settlement date and broker are offset. Delayed delivery or when-issued securities that have been purchased from and sold to different brokers are reflected as both payables and receivables in the Statement of Assets and Liabilities under the caption "Delayed delivery", as applicable. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
Restricted Securities (including Private Placements). The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.
3. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund's investment objective allows the Fund to enter into various types of derivative contracts, including futures contracts. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.
The Fund used derivatives to increase returns and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.
The Fund's use of derivatives increased or decreased its exposure to the following risk:
Equity Risk | Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment. |
The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Counterparty credit risk related to exchange-traded futures contracts may be mitigated by the protection provided by the exchange on which they trade.
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.
Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. The Fund used futures contracts to manage its exposure to the stock market.
Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments (variation margin) are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is presented in the Statement of Operations.
Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The notional amount at value reflects each contract's exposure to the underlying instrument or index at period end and is representative of volume of activity during the period. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.
4. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities and U.S. government securities, are noted in the table below.
Purchases ($) | Sales ($) | |
Strategic Advisers Fidelity International Fund | 1,755,847,919 | 228,530,780 |
5. Fees and Other Transactions with Affiliates.
Management Fee. Strategic Advisers (the investment adviser) provides the Fund with investment management related services. For these services, the Fund pays a monthly management fee to the investment adviser. The management fee is calculated by adding the annual management fee rate of .25% of the Fund's average net assets throughout the month payable to the investment adviser to the aggregate of the fee rates, payable monthly, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed 1.00% of the Fund's average net assets. For the reporting period, the total annualized management fee rate was .27% of the Fund's average net assets.
During the period, the investment adviser waived a portion of its management fee as described in the Expense Reductions note.
Sub-Advisers. FIAM LLC (an affiliate of the investment adviser) served as a sub-adviser for the Fund during the period. Sub-advisers provide discretionary investment advisory services for their allocated portion of the Fund's assets and are paid by the investment adviser and not the Fund for providing these services.
FIL Investment Advisors and Geode Capital Management, LLC have been retained to serve as a sub-adviser for the Fund. As of the date of this report, however, these sub-advisers have not been allocated any portion of the Fund's assets. These sub-advisers in the future may provide discretionary investment advisory services for an allocated portion of the Fund's assets and will be paid by the investment adviser for providing these services.
Interfund Trades. Funds may purchase from or sell securities to other 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 $375,480.
6. Investments in Fidelity Central Funds.
The Fund invests in Fidelity Central Funds, which are open-end investment companies available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
The Fidelity Money Market Central Funds are managed by FMR. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date ranged from less than .005% to .01%.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds are available on the SEC website or upon request.
7. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are as follows:
Amount | |
Strategic Advisers Fidelity International Fund | $11,325 |
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. 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. Net income from Fidelity Central Funds is presented in the Statement of Operations as a component of income from Fidelity Central Funds.
9. Expense Reductions.
The investment adviser has contractually agreed to waive the Fund's management fee in an amount equal to .25% of the Fund's average net assets until September 30, 2023. During the period, this waiver reduced the Fund's management fee by $ 12,250,796.
In addition, during the period the investment adviser or an affiliate reimbursed and/or waived a portion of operating expenses in the amount of $47,757.
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:
Fidelity Advisor Overseas Fund | 19% |
Fidelity Diversified International Fund | 12% |
Fidelity International Capital Appreciation Fund | 31% |
Fidelity International Discovery Fund | 17% |
Fidelity International Real Estate Fund | 17% |
Fidelity International Value Fund | 41% |
Fidelity Japan Fund | 48% |
Fidelity Overseas Fund | 22% |
Fidelity Pacific Basin Fund | 18% |
Fidelity SAI Inflation-Focused Fund | 24% |
Fidelity SAI International Low Volatility Index Fund | 20% |
Fidelity SAI International Value Index Fund | 80% |
11. Coronavirus (COVID-19) Pandemic.
An outbreak of COVID-19 first detected in China during December 2019 has since spread globally and was declared a pandemic by the World Health Organization during March 2020. Developments that disrupt global economies and financial markets, such as the COVID-19 pandemic, may magnify factors that affect the Fund's performance.
Shareholder Expense Example
As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (March 1, 2020 to August 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 for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
Annualized Expense Ratio-A | Beginning Account Value March 1, 2020 | Ending Account Value August 31, 2020 | Expenses Paid During Period-B March 1, 2020 to August 31, 2020 | |
Strategic Advisers Fidelity International Fund | .02% | |||
Actual | $1,000.00 | $1,101.70 | $.11 | |
Hypothetical-C | $1,000.00 | $1,025.10 | $.10 |
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 184/ 365 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.
C 5% return per year before expenses
Board Approval of New Sub-Subadvisory Agreements
Strategic Advisers Fidelity International Fund
In June 2020, the Board of Trustees, including the Independent Trustees (together, the Board) voted to approve sub-subadvisory agreements (New Sub-Subadvisory Agreements) among FIAM LLC (FIAM), each of FMR Investment Management (UK) Limited (FMR UK), Fidelity Management & Research (Japan) Limited (FMR Japan), and Fidelity Management & Research (Hong Kong) Limited (FMR H.K., and together with FMR UK and FMR Japan, New Sub-Subadvisers), and Fidelity Rutland Square Trust II on behalf of the fund. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, considered a broad range of information.The Board noted that it previously received and considered materials relating to the nature, extent and quality of services provided by Strategic Advisers LLC (Strategic Advisers) and FIAM, including the resources dedicated to investment management and support services, as well as shareholder and administrative services, in connection with its annual renewal of the fund's management contract and sub-advisory agreements at its September 2019 meeting. The Board noted its familiarity with the nature, extent and quality of services provided by the New Sub-Subadvisers to other Strategic Advisers funds. The Board also considered the detailed information provided by Strategic Advisers and FIAM in the June 2020 annual contract renewal materials.The Board considered that FIAM, and not the fund, will compensate the New Sub-Subadvisers under the terms of the New Sub-Subadvisory Agreements and that the fund and Strategic Advisers are not responsible for any such fees or expenses. The Board also considered that the New Sub-Subadvisory Agreements will not result in any changes to the fees paid under the sub-advisory agreement among Strategic Advisers, FIAM, and the Trust on behalf of the fund.Because the Board was approving New Sub-Subadvisory Agreements under which the fund will not bear any additional management fees or expenses, it did not consider the competitiveness of management fee and total expenses or the possible realization of economies of scale to be significant factors in its decision. In addition, because the New Sub-Subadvisory Agreements were negotiated at arm's length and will have no impact on the maximum management fees payable by the fund or Strategic Advisers' portion of the management fee, the Board did not consider the costs of services and profitability to be significant factors in its decision to approve the New Sub-Subadvisory Agreements. The Board considered Strategic Advisers' representation that it does not anticipate that the approval of the New Sub-Subadvisory Agreements will have a significant impact on the profitability of, or potential fall-out benefits to, Strategic Advisers or its affiliates.The Board noted that in connection with future annual contract renewals, it will consider: (i) the nature, extent, and quality of services provided to the fund, including administrative services and investment performance; (ii) the historical investment performance of the fund; (iii) the competitiveness of the fund's management fees and total expenses; (iv) the costs of services and profitability; (v) the potential fall-out benefits to Strategic Advisers and its affiliates from their relationships with the fund; and (vi) the possible realization of economies of scale.Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the New Sub-Subadvisory Agreements are in the best interests of the fund and its shareholders and should be approved. In addition, the Board concluded that the approval of the New Sub-Subadvisory Agreements does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.SIL-SANN-1020
1.912841.110
Strategic Advisers® Small-Mid Cap Fund
Offered exclusively to certain clients of Strategic Advisers LLC - not available for sale to the general public
Semi-Annual Report
August 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
Board Approval of New Sub-Advisory and Sub-Subadvisory Agreements |
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.
Investment Summary (Unaudited)
The information in the following tables is based on the direct investments of the Fund.Top Ten Holdings as of August 31, 2020
(excluding cash equivalents) | % of fund's net assets |
Fidelity Small Cap Index Fund | 6.0 |
PIMCO StocksPLUS Small Fund Institutional Class | 4.9 |
Fidelity SAI Small-Mid Cap 500 Index Fund | 0.9 |
Pool Corp. | 0.8 |
j2 Global, Inc. | 0.8 |
Fidelity Small Cap Discovery Fund | 0.6 |
Royce Opportunity Fund Institutional Class | 0.6 |
ON Semiconductor Corp. | 0.6 |
Frontdoor, Inc. | 0.6 |
Skechers U.S.A., Inc. Class A (sub. vtg.) | 0.5 |
16.3 |
Top Five Market Sectors as of August 31, 2020
(stocks only) | % of fund's net assets |
Information Technology | 17.2 |
Industrials | 15.9 |
Health Care | 12.9 |
Consumer Discretionary | 12.5 |
Financials | 10.8 |
Asset Allocation (% of fund's net assets)
As of August 31, 2020 | ||
Common Stocks | 84.1% | |
Mid-Cap Blend Funds | 0.9% | |
Small Blend Funds | 12.0% | |
Small Growth Funds | 0.4% | |
Small Value Funds | 0.6% | |
Sector Funds | 0.1% | |
Short-Term Investments and Net Other Assets (Liabilities) | 1.9% |
Asset allocations of funds in the pie chart reflect the categorizations of assets as defined by Morningstar as of the reporting date.
Schedule of Investments August 31, 2020 (Unaudited)
Showing Percentage of Net Assets
Common Stocks - 84.1% | |||
Shares | Value | ||
COMMUNICATION SERVICES - 2.3% | |||
Diversified Telecommunication Services - 0.4% | |||
Bandwidth, Inc. (a) | 69,062 | $10,875,884 | |
CenturyLink, Inc. | 463,300 | 4,980,475 | |
GCI Liberty, Inc. (a) | 175,904 | 14,209,525 | |
Vonage Holdings Corp. (a) | 310,367 | 3,553,702 | |
33,619,586 | |||
Entertainment - 0.5% | |||
Activision Blizzard, Inc. | 28,814 | 2,406,545 | |
Bollore SA | 158,619 | 595,879 | |
Cinemark Holdings, Inc. | 419,066 | 6,139,317 | |
Electronic Arts, Inc. (a) | 25,119 | 3,503,347 | |
Eros International PLC (a)(b) | 1,439,314 | 4,476,267 | |
Glu Mobile, Inc. (a) | 229,339 | 1,820,952 | |
Madison Square Garden Entertainment Corp. (a) | 85,062 | 6,394,111 | |
Sciplay Corp. (A Shares) (a) | 14,894 | 196,377 | |
The Madison Square Garden Co. (a) | 48,389 | 7,935,796 | |
World Wrestling Entertainment, Inc. Class A | 163,160 | 7,190,461 | |
40,659,052 | |||
Interactive Media & Services - 0.9% | |||
Alphabet, Inc. Class C (a) | 3,353 | 5,479,406 | |
CarGurus, Inc. Class A (a) | 198,839 | 4,847,695 | |
Cars.com, Inc. (a) | 198,000 | 1,718,640 | |
Facebook, Inc. Class A (a) | 13,356 | 3,915,979 | |
InterActiveCorp (a) | 66,862 | 8,891,977 | |
Match Group, Inc. (a) | 31,968 | 3,570,186 | |
Pinterest, Inc. Class A (a) | 532,047 | 19,574,009 | |
QuinStreet, Inc. (a) | 705,319 | 9,274,945 | |
TripAdvisor, Inc. | 60,116 | 1,404,911 | |
Twitter, Inc. (a) | 18,631 | 756,046 | |
Yelp, Inc. (a) | 140,038 | 3,237,679 | |
YY, Inc. ADR (a) | 44,971 | 3,842,322 | |
66,513,795 | |||
Media - 0.4% | |||
AMC Networks, Inc. Class A (a) | 112,592 | 2,734,860 | |
Criteo SA sponsored ADR (a) | 276,172 | 3,595,759 | |
Entercom Communications Corp. Class A | 862,300 | 1,293,450 | |
Liberty Media Corp. Liberty Formula One Group Series C (a) | 18,700 | 728,926 | |
National CineMedia, Inc. | 38,277 | 138,180 | |
Nexstar Broadcasting Group, Inc. Class A | 55,171 | 5,296,968 | |
Ocean Outdoor Ltd. (a)(c) | 860,405 | 5,162,430 | |
TechTarget, Inc. (a) | 15,045 | 596,986 | |
The New York Times Co. Class A | 13,900 | 602,287 | |
ViacomCBS, Inc. Class B | 232,500 | 6,475,125 | |
26,624,971 | |||
Wireless Telecommunication Services - 0.1% | |||
Boingo Wireless, Inc. (a) | 508,171 | 6,601,141 | |
TOTAL COMMUNICATION SERVICES | 174,018,545 | ||
CONSUMER DISCRETIONARY - 12.5% | |||
Auto Components - 1.2% | |||
Autoliv, Inc. | 51,467 | 4,031,925 | |
BorgWarner, Inc. | 169,400 | 6,875,946 | |
Cooper Tire & Rubber Co. | 209,202 | 7,232,113 | |
Cooper-Standard Holding, Inc. (a) | 426,092 | 7,720,787 | |
Dana, Inc. | 842,549 | 11,753,559 | |
Dorman Products, Inc. (a) | 19,124 | 1,619,612 | |
Fox Factory Holding Corp. (a) | 45,467 | 4,583,528 | |
Gentex Corp. | 348,841 | 9,436,149 | |
LCI Industries | 130,672 | 14,848,259 | |
Lear Corp. | 131,699 | 15,004,467 | |
Standard Motor Products, Inc. | 39,838 | 1,810,239 | |
The Goodyear Tire & Rubber Co. | 208,800 | 2,003,436 | |
86,920,020 | |||
Automobiles - 0.2% | |||
Harley-Davidson, Inc. | 260,469 | 7,217,596 | |
Thor Industries, Inc. | 104,765 | 9,892,959 | |
17,110,555 | |||
Distributors - 1.2% | |||
LKQ Corp. (a) | 993,355 | 31,529,088 | |
Pool Corp. | 184,288 | 60,416,978 | |
91,946,066 | |||
Diversified Consumer Services - 1.7% | |||
Adtalem Global Education, Inc. (a) | 87,900 | 2,918,280 | |
American Public Education, Inc. (a) | 183,663 | 5,774,365 | |
Bright Horizons Family Solutions, Inc. (a) | 163,709 | 21,774,934 | |
Chegg, Inc. (a) | 100,165 | 7,386,167 | |
China Online Education Group sponsored ADR (a) | 53,170 | 1,086,795 | |
Collectors Universe, Inc. | 4,781 | 212,707 | |
Franchise Group, Inc. | 79,645 | 1,956,081 | |
Frontdoor, Inc. (a) | 959,449 | 41,803,193 | |
Grand Canyon Education, Inc. (a) | 97,170 | 9,137,867 | |
Houghton Mifflin Harcourt Co. (a) | 1,289,180 | 2,913,547 | |
K12, Inc. (a) | 408,607 | 15,204,266 | |
Service Corp. International | 121,057 | 5,526,252 | |
ServiceMaster Global Holdings, Inc. (a) | 24,400 | 973,560 | |
Strategic Education, Inc. | 108,155 | 11,093,458 | |
Weight Watchers International, Inc. (a) | 22,760 | 534,405 | |
128,295,877 | |||
Hotels, Restaurants & Leisure - 1.4% | |||
Bloomin' Brands, Inc. | 122,800 | 1,760,952 | |
Caesars Entertainment, Inc. (a) | 8,500 | 389,300 | |
Carrols Restaurant Group, Inc. (a) | 989,326 | 6,588,911 | |
Churchill Downs, Inc. | 29,130 | 5,090,759 | |
Darden Restaurants, Inc. | 7,300 | 632,691 | |
Dominos Pizza Enterprises Ltd. | 96,817 | 5,766,146 | |
Dunkin' Brands Group, Inc. | 93,600 | 7,121,088 | |
Extended Stay America, Inc. unit | 276,923 | 3,458,768 | |
Great Canadian Gaming Corp. (a) | 338,571 | 6,930,537 | |
International Game Technology PLC | 196,407 | 2,186,010 | |
Papa John's International, Inc. | 98,017 | 9,634,091 | |
Planet Fitness, Inc. (a) | 285,083 | 17,330,196 | |
Playa Hotels & Resorts NV (a) | 1,138,364 | 4,803,896 | |
Vail Resorts, Inc. | 67,198 | 14,626,989 | |
Wendy's Co. | 508,770 | 10,653,644 | |
Wingstop, Inc. | 19,308 | 3,154,927 | |
Wyndham Destinations, Inc. | 136,460 | 3,955,975 | |
104,084,880 | |||
Household Durables - 1.2% | |||
Cavco Industries, Inc. (a) | 5,628 | 1,074,441 | |
Flexsteel Industries, Inc. | 111,336 | 1,845,951 | |
Helen of Troy Ltd. (a) | 16,496 | 3,411,703 | |
Installed Building Products, Inc. (a) | 10,408 | 903,623 | |
KB Home | 165,360 | 5,913,274 | |
La-Z-Boy, Inc. | 123,103 | 4,000,848 | |
LGI Homes, Inc. (a) | 23,432 | 2,621,104 | |
M.D.C. Holdings, Inc. | 147,100 | 6,381,198 | |
Mohawk Group Holdings, Inc. (a) | 46,089 | 372,399 | |
Mohawk Industries, Inc. (a) | 38,970 | 3,598,100 | |
New Home Co. LLC (a) | 18,336 | 79,395 | |
NVR, Inc. (a) | 1,158 | 4,826,938 | |
PulteGroup, Inc. | 375,674 | 16,751,304 | |
Skyline Champion Corp. (a) | 154,698 | 4,415,081 | |
Sonos, Inc. (a) | 269,463 | 3,791,344 | |
Taylor Morrison Home Corp. (a) | 329,642 | 7,756,476 | |
Tempur Sealy International, Inc. (a) | 153,235 | 13,107,722 | |
Toll Brothers, Inc. | 78,738 | 3,324,318 | |
TopBuild Corp. (a) | 5,991 | 921,416 | |
Whirlpool Corp. | 49,600 | 8,814,912 | |
93,911,547 | |||
Internet & Direct Marketing Retail - 0.8% | |||
Amazon.com, Inc. (a) | 3,419 | 11,798,832 | |
Chewy, Inc. (a)(b) | 179,240 | 10,946,187 | |
eBay, Inc. | 27,168 | 1,488,263 | |
Etsy, Inc. (a) | 132,884 | 15,906,215 | |
Expedia, Inc. | 4,000 | 392,600 | |
PetMed Express, Inc. (b) | 13,226 | 459,736 | |
Qurate Retail, Inc. Series A (a) | 187,859 | 2,075,842 | |
Shutterstock, Inc. | 219,478 | 11,044,133 | |
Stamps.com, Inc. (a) | 6,503 | 1,621,458 | |
The Rubicon Project, Inc. (a) | 61,729 | 453,708 | |
56,186,974 | |||
Leisure Products - 0.7% | |||
Brunswick Corp. | 434,070 | 26,864,592 | |
Callaway Golf Co. | 577,362 | 12,043,771 | |
Clarus Corp. | 315,939 | 3,977,672 | |
Hasbro, Inc. | 8,000 | 631,520 | |
Malibu Boats, Inc. Class A (a) | 61,700 | 3,199,145 | |
Polaris, Inc. | 68,458 | 6,916,996 | |
Sturm, Ruger & Co., Inc. | 10,889 | 771,595 | |
54,405,291 | |||
Multiline Retail - 0.2% | |||
Dillard's, Inc. Class A (b) | 46,400 | 1,401,744 | |
Dollar General Corp. | 13,067 | 2,637,966 | |
Dollar Tree, Inc. (a) | 14,453 | 1,391,390 | |
Kohl's Corp. | 112,400 | 2,400,864 | |
Ollie's Bargain Outlet Holdings, Inc. (a) | 25,062 | 2,394,423 | |
Target Corp. | 16,690 | 2,523,695 | |
12,750,082 | |||
Specialty Retail - 2.3% | |||
Aaron's, Inc. Class A | 142,164 | 7,945,546 | |
Advance Auto Parts, Inc. | 41,189 | 6,438,253 | |
America's Car Mart, Inc. (a) | 108,981 | 10,952,591 | |
Burlington Stores, Inc. (a) | 40,220 | 7,920,525 | |
Dick's Sporting Goods, Inc. | 67,830 | 3,670,960 | |
Five Below, Inc. (a) | 40,679 | 4,452,317 | |
Floor & Decor Holdings, Inc. Class A (a) | 74,950 | 5,489,338 | |
Foot Locker, Inc. | 519,523 | 15,757,133 | |
Gap, Inc. | 348,710 | 6,064,067 | |
Group 1 Automotive, Inc. | 43,800 | 3,786,072 | |
Haverty Furniture Companies, Inc. | 104,300 | 2,202,816 | |
Kirkland's, Inc. (a)(b) | 320,581 | 2,779,437 | |
Lithia Motors, Inc. Class A (sub. vtg.) | 63,761 | 15,873,939 | |
Lumber Liquidators Holdings, Inc. (a) | 71,127 | 1,706,337 | |
Murphy U.S.A., Inc. (a) | 18,955 | 2,556,271 | |
National Vision Holdings, Inc. (a) | 186,982 | 7,024,914 | |
Penske Automotive Group, Inc. | 90,200 | 4,254,734 | |
RH (a) | 10,988 | 3,632,083 | |
Sally Beauty Holdings, Inc. (a) | 2,183,276 | 24,365,360 | |
Sonic Automotive, Inc. Class A (sub. vtg.) | 111,800 | 4,724,668 | |
Sportsman's Warehouse Holdings, Inc. (a) | 530,707 | 8,329,446 | |
The ODP Corp. | 99,500 | 2,326,310 | |
Vroom, Inc. (b) | 152,571 | 10,470,948 | |
Williams-Sonoma, Inc. | 132,691 | 11,644,962 | |
Winmark Corp. | 1,457 | 225,034 | |
Zumiez, Inc. (a) | 23,315 | 598,729 | |
175,192,790 | |||
Textiles, Apparel & Luxury Goods - 1.6% | |||
Capri Holdings Ltd. (a) | 97,800 | 1,549,152 | |
Carter's, Inc. | 203,993 | 16,241,923 | |
Columbia Sportswear Co. | 11,800 | 1,009,726 | |
Crocs, Inc. (a) | 291,917 | 11,650,407 | |
Hanesbrands, Inc. | 2,461,798 | 37,640,891 | |
Levi Strauss & Co. Class A | 64,641 | 796,377 | |
PVH Corp. | 64,400 | 3,590,944 | |
Ralph Lauren Corp. | 88,321 | 6,079,134 | |
Skechers U.S.A., Inc. Class A (sub. vtg.) (a) | 1,300,876 | 38,831,149 | |
Steven Madden Ltd. | 194,334 | 4,112,107 | |
121,501,810 | |||
TOTAL CONSUMER DISCRETIONARY | 942,305,892 | ||
CONSUMER STAPLES - 3.6% | |||
Beverages - 0.2% | |||
Boston Beer Co., Inc. Class A (a) | 600 | 529,188 | |
Cott Corp. | 454,347 | 6,215,467 | |
Molson Coors Beverage Co. Class B | 176,900 | 6,658,516 | |
National Beverage Corp. (a)(b) | 7,439 | 604,939 | |
14,008,110 | |||
Food & Staples Retailing - 0.8% | |||
BJ's Wholesale Club Holdings, Inc. (a) | 368,920 | 16,383,737 | |
Casey's General Stores, Inc. | 64,040 | 11,389,514 | |
Grocery Outlet Holding Corp. (a) | 113,617 | 4,673,067 | |
Performance Food Group Co. (a) | 446,181 | 16,290,068 | |
SpartanNash Co. | 128,500 | 2,567,430 | |
U.S. Foods Holding Corp. (a) | 258,200 | 6,287,170 | |
Weis Markets, Inc. | 65,056 | 3,202,707 | |
60,793,693 | |||
Food Products - 1.7% | |||
Beyond Meat, Inc. (a)(b) | 19,930 | 2,707,491 | |
Flowers Foods, Inc. | 126,177 | 3,086,289 | |
Fresh Del Monte Produce, Inc. | 47,243 | 1,095,565 | |
Freshpet, Inc. (a) | 112,098 | 12,734,333 | |
Hostess Brands, Inc. Class A (a) | 447,250 | 5,742,690 | |
Ingredion, Inc. | 107,767 | 8,668,777 | |
J&J Snack Foods Corp. | 9,787 | 1,330,543 | |
John B. Sanfilippo & Son, Inc. | 5,764 | 459,045 | |
Lamb Weston Holdings, Inc. | 193,686 | 12,173,165 | |
Lancaster Colony Corp. | 12,973 | 2,305,562 | |
Nomad Foods Ltd. (a) | 1,445,206 | 35,638,780 | |
Pilgrim's Pride Corp. (a) | 238,600 | 3,817,600 | |
Post Holdings, Inc. (a) | 6,202 | 545,900 | |
Premium Brands Holdings Corp. | 77,566 | 5,723,715 | |
SunOpta, Inc. (a) | 1,205,164 | 8,195,115 | |
The Hain Celestial Group, Inc. (a) | 258,178 | 8,465,657 | |
The J.M. Smucker Co. | 70,000 | 8,412,600 | |
Tootsie Roll Industries, Inc. (b) | 11,329 | 362,415 | |
TreeHouse Foods, Inc. (a) | 127,550 | 5,460,416 | |
126,925,658 | |||
Household Products - 0.4% | |||
Central Garden & Pet Co. Class A (non-vtg.) (a) | 109,100 | 4,054,156 | |
Energizer Holdings, Inc. | 179,829 | 8,324,284 | |
Reynolds Consumer Products, Inc. | 189,340 | 6,291,768 | |
Spectrum Brands Holdings, Inc. | 205,646 | 12,256,502 | |
WD-40 Co. | 8,984 | 1,836,150 | |
32,762,860 | |||
Personal Products - 0.4% | |||
elf Beauty, Inc. (a) | 714,427 | 13,952,759 | |
Herbalife Nutrition Ltd. (a) | 60,831 | 2,989,844 | |
LifeVantage Corp. (a) | 7,331 | 110,112 | |
MediFast, Inc. | 50,914 | 8,284,726 | |
Nu Skin Enterprises, Inc. Class A | 161,353 | 7,627,156 | |
USANA Health Sciences, Inc. (a) | 8,229 | 645,236 | |
33,609,833 | |||
Tobacco - 0.1% | |||
Universal Corp. | 99,160 | 4,304,536 | |
TOTAL CONSUMER STAPLES | 272,404,690 | ||
ENERGY - 1.0% | |||
Energy Equipment & Services - 0.2% | |||
Championx Corp. (a) | 176,405 | 1,806,387 | |
Dril-Quip, Inc. (a) | 189,153 | 6,266,639 | |
Halliburton Co. | 246,308 | 3,985,263 | |
12,058,289 | |||
Oil, Gas & Consumable Fuels - 0.8% | |||
Arch Resources, Inc. | 21,000 | 791,070 | |
Cabot Oil & Gas Corp. | 32,100 | 608,937 | |
Cenovus Energy, Inc. | 426,784 | 2,014,420 | |
Cimarex Energy Co. | 49,628 | 1,378,666 | |
Comstock Resources, Inc. (a) | 865,788 | 4,986,939 | |
CONSOL Energy, Inc. (a) | 16,192 | 83,713 | |
Devon Energy Corp. | 237,100 | 2,577,277 | |
Diamondback Energy, Inc. | 59,341 | 2,311,925 | |
EQT Corp. | 318,302 | 5,051,453 | |
Green Plains, Inc. (a) | 154,144 | 2,062,447 | |
HollyFrontier Corp. | 421,387 | 10,058,508 | |
Magnolia Oil & Gas Corp. Class A (a) | 186,200 | 1,199,128 | |
Noble Energy, Inc. | 198,978 | 1,979,831 | |
Northern Oil & Gas, Inc. (a)(b) | 493,400 | 334,772 | |
Pacific Ethanol, Inc. (a)(b) | 1,096,335 | 4,341,487 | |
Rex American Resources Corp. (a) | 36,939 | 2,282,091 | |
Southwestern Energy Co. (a) | 1,089,500 | 3,028,810 | |
Tourmaline Oil Corp. | 491,631 | 6,216,674 | |
W&T Offshore, Inc. (a)(b) | 480,500 | 1,071,515 | |
World Fuel Services Corp. | 382,372 | 10,094,621 | |
62,474,284 | |||
TOTAL ENERGY | 74,532,573 | ||
FINANCIALS - 10.8% | |||
Banks - 3.4% | |||
Associated Banc-Corp. | 391,911 | 5,267,284 | |
Bank of Hawaii Corp. | 24,514 | 1,349,251 | |
Bank OZK | 460,275 | 10,604,736 | |
BankUnited, Inc. | 719,892 | 16,831,075 | |
Berkshire Hills Bancorp, Inc. | 72,470 | 665,275 | |
Boston Private Financial Holdings, Inc. | 57,200 | 339,768 | |
Cathay General Bancorp | 102,900 | 2,540,601 | |
CIT Group, Inc. | 136,200 | 2,679,054 | |
Citizens Financial Group, Inc. | 271,800 | 7,031,466 | |
Columbia Banking Systems, Inc. | 53,713 | 1,499,130 | |
Comerica, Inc. | 150,505 | 5,949,463 | |
Commerce Bancshares, Inc. | 180,970 | 10,780,383 | |
Cullen/Frost Bankers, Inc. | 110,065 | 7,645,115 | |
East West Bancorp, Inc. | 74,997 | 2,758,390 | |
Fifth Third Bancorp | 465,583 | 9,618,945 | |
First Citizens Bancshares, Inc. | 20,982 | 8,249,073 | |
First Financial Bankshares, Inc. | 74,912 | 2,267,961 | |
First Hawaiian, Inc. | 643,622 | 10,639,072 | |
First Horizon National Corp. | 1,569,818 | 14,991,762 | |
First Merchants Corp. | 85,760 | 2,193,741 | |
FNB Corp., Pennsylvania | 97,100 | 728,250 | |
Fulton Financial Corp. | 239,600 | 2,343,288 | |
Hancock Whitney Corp. | 82,900 | 1,658,829 | |
Hanmi Financial Corp. | 108,800 | 1,036,864 | |
Hope Bancorp, Inc. | 340,100 | 2,877,246 | |
Huntington Bancshares, Inc. | 851,639 | 8,013,923 | |
KeyCorp | 531,450 | 6,547,464 | |
PacWest Bancorp | 122,800 | 2,343,024 | |
Peoples Bancorp, Inc. | 40,051 | 846,678 | |
Preferred Bank, Los Angeles | 8,920 | 333,608 | |
Regions Financial Corp. | 622,040 | 7,190,782 | |
ServisFirst Bancshares, Inc. | 248,363 | 9,102,504 | |
Signature Bank | 88,210 | 8,559,016 | |
South State Corp. | 39,308 | 2,188,669 | |
Sterling Bancorp | 447,938 | 5,227,436 | |
SVB Financial Group (a) | 58,120 | 14,842,686 | |
Synovus Financial Corp. | 506,900 | 11,085,903 | |
TCF Financial Corp. | 149,800 | 4,026,624 | |
Texas Capital Bancshares, Inc. (a) | 160,499 | 5,198,563 | |
Umpqua Holdings Corp. | 651,863 | 7,353,015 | |
United Community Bank, Inc. | 130,200 | 2,359,224 | |
Veritex Holdings, Inc. | 193,100 | 3,471,938 | |
Webster Financial Corp. | 209,735 | 5,767,713 | |
Western Alliance Bancorp. | 305,872 | 10,797,282 | |
Zions Bancorp NA | 363,695 | 11,696,431 | |
259,498,505 | |||
Capital Markets - 2.4% | |||
Ares Management Corp. | 112,200 | 4,538,490 | |
Artisan Partners Asset Management, Inc. | 35,037 | 1,356,282 | |
Cohen & Steers, Inc. | 14,248 | 862,004 | |
Cowen Group, Inc. Class A | 15,000 | 271,350 | |
Diamond Hill Investment Group, Inc. | 2,041 | 252,900 | |
Eaton Vance Corp. (non-vtg.) | 276,115 | 11,326,237 | |
Evercore, Inc. Class A | 103,792 | 6,422,649 | |
FactSet Research Systems, Inc. | 26,387 | 9,246,005 | |
Federated Hermes, Inc. Class B (non-vtg.) | 62,980 | 1,505,852 | |
Focus Financial Partners, Inc. Class A (a)(b) | 366,805 | 12,981,229 | |
FS KKR Capital Corp. (b) | 107,750 | 1,726,155 | |
Hamilton Lane, Inc. Class A | 17,009 | 1,243,528 | |
Houlihan Lokey | 30,737 | 1,801,188 | |
Lazard Ltd. Class A | 390,664 | 12,372,329 | |
LPL Financial | 350,527 | 28,799,298 | |
Marlowe PLC (a) | 571,442 | 3,888,124 | |
Moelis & Co. Class A | 500,901 | 15,983,751 | |
Morningstar, Inc. | 91,864 | 14,712,020 | |
Newtek Business Services Corp. (b) | 120,383 | 2,278,850 | |
Oaktree Specialty Lending Corp. | 547,600 | 2,738,000 | |
Open Lending Corp. (a)(b) | 712,248 | 15,569,741 | |
PJT Partners, Inc. | 59,435 | 3,517,363 | |
Prospect Capital Corp. | 499,800 | 2,548,980 | |
SEI Investments Co. | 82,739 | 4,332,214 | |
Stifel Financial Corp. | 17,640 | 894,524 | |
Victory Capital Holdings, Inc. | 647,674 | 11,263,051 | |
Waddell & Reed Financial, Inc. Class A (b) | 45,983 | 724,232 | |
WisdomTree Investments, Inc. | 1,861,393 | 6,961,610 | |
180,117,956 | |||
Consumer Finance - 1.1% | |||
Ally Financial, Inc. | 244,300 | 5,589,584 | |
Credit Acceptance Corp. (a)(b) | 9,118 | 3,526,842 | |
Encore Capital Group, Inc. (a) | 175,834 | 8,077,814 | |
Enova International, Inc. (a) | 167,094 | 2,853,966 | |
First Cash Financial Services, Inc. | 123,000 | 7,349,250 | |
LendingTree, Inc. (a)(b) | 13,209 | 4,080,788 | |
Navient Corp. | 2,409,315 | 21,900,673 | |
OneMain Holdings, Inc. | 298,068 | 8,667,817 | |
PRA Group, Inc. (a) | 91,085 | 4,251,392 | |
Regional Management Corp. (a) | 68,700 | 1,256,523 | |
SLM Corp. | 1,510,841 | 11,542,825 | |
Synchrony Financial | 154,897 | 3,842,995 | |
82,940,469 | |||
Diversified Financial Services - 0.2% | |||
Banco Latinoamericano de Comercio Exterior SA Series E | 75,700 | 922,026 | |
Cannae Holdings, Inc. (a) | 47,232 | 1,782,063 | |
Voya Financial, Inc. | 276,040 | 14,329,236 | |
17,033,325 | |||
Insurance - 2.7% | |||
Alleghany Corp. | 7,650 | 4,242,384 | |
American Financial Group, Inc. | 145,381 | 9,718,720 | |
Amerisafe, Inc. | 12,652 | 844,268 | |
Assurant, Inc. | 40,666 | 4,943,359 | |
Assured Guaranty Ltd. | 285,367 | 6,121,122 | |
Axis Capital Holdings Ltd. | 175,759 | 8,394,250 | |
Brighthouse Financial, Inc. (a) | 71,627 | 2,174,596 | |
Brown & Brown, Inc. | 17,600 | 816,640 | |
BRP Group, Inc. (a) | 16,500 | 453,915 | |
CNA Financial Corp. | 176,000 | 5,661,920 | |
CNO Financial Group, Inc. | 339,200 | 5,528,960 | |
Crawford & Co. Class B | 124,426 | 866,005 | |
Erie Indemnity Co. Class A | 12,112 | 2,585,185 | |
Everest Re Group Ltd. | 85,158 | 18,741,573 | |
First American Financial Corp. | 315,985 | 16,611,331 | |
Globe Life, Inc. | 39,588 | 3,265,218 | |
GoHealth, Inc. (a) | 208,271 | 2,897,050 | |
Goosehead Insurance (b) | 49,640 | 5,101,006 | |
Hanover Insurance Group, Inc. | 84,521 | 8,662,557 | |
Heritage Insurance Holdings, Inc. | 127,900 | 1,669,095 | |
Kinsale Capital Group, Inc. | 110,085 | 22,812,915 | |
Lincoln National Corp. | 175,400 | 6,323,170 | |
National General Holdings Corp. | 259,923 | 8,850,378 | |
Old Republic International Corp. | 367,800 | 5,925,258 | |
Palomar Holdings, Inc. (a) | 7,770 | 872,960 | |
Primerica, Inc. | 27,113 | 3,385,058 | |
Reinsurance Group of America, Inc. | 199,227 | 18,265,131 | |
RLI Corp. | 164,190 | 15,399,380 | |
Selective Insurance Group, Inc. | 75,778 | 4,532,282 | |
Universal Insurance Holdings, Inc. | 101,536 | 1,883,493 | |
Unum Group | 241,300 | 4,459,224 | |
White Mountains Insurance Group Ltd. | 5,274 | 4,701,244 | |
206,709,647 | |||
Mortgage Real Estate Investment Trusts - 0.3% | |||
AGNC Investment Corp. | 252,150 | 3,557,837 | |
Annaly Capital Management, Inc. | 512,600 | 3,767,610 | |
Ares Commercial Real Estate Corp. | 127,190 | 1,266,812 | |
Blackstone Mortgage Trust, Inc. | 99,454 | 2,364,022 | |
Chimera Investment Corp. | 176,100 | 1,565,529 | |
MFA Financial, Inc. | 419,200 | 1,123,456 | |
New York Mortgage Trust, Inc. | 403,200 | 1,064,448 | |
Redwood Trust, Inc. | 219,495 | 1,521,100 | |
Starwood Property Trust, Inc. | 233,758 | 3,646,625 | |
19,877,439 | |||
Thrifts & Mortgage Finance - 0.7% | |||
Axos Financial, Inc. (a) | 166,132 | 4,116,751 | |
Essent Group Ltd. | 478,644 | 17,087,591 | |
Farmer Mac Class C (non-vtg.) | 51,629 | 3,518,516 | |
Meta Financial Group, Inc. | 86,650 | 1,670,612 | |
MGIC Investment Corp. | 573,598 | 5,259,894 | |
NMI Holdings, Inc. (a) | 176,617 | 3,028,982 | |
Pennymac Financial Services, Inc. | 76,024 | 4,007,985 | |
Radian Group, Inc. | 196,700 | 3,037,048 | |
Walker & Dunlop, Inc. | 140,115 | 7,675,500 | |
WMI Holdings Corp. (a) | 192,823 | 3,533,481 | |
52,936,360 | |||
TOTAL FINANCIALS | 819,113,701 | ||
HEALTH CARE - 12.9% | |||
Biotechnology - 3.3% | |||
ACADIA Pharmaceuticals, Inc. (a) | 151,112 | 5,982,524 | |
ADC Therapeutics SA (a)(b) | 35,856 | 1,583,760 | |
Agios Pharmaceuticals, Inc. (a) | 135,662 | 5,563,499 | |
Aimmune Therapeutics, Inc. (a)(b) | 182,718 | 6,252,610 | |
Akebia Therapeutics, Inc. (a) | 215,943 | 2,247,967 | |
Allogene Therapeutics, Inc. (a) | 52,320 | 1,865,208 | |
Anika Therapeutics, Inc. (a) | 9,354 | 358,539 | |
Applied Genetic Technologies Corp. (a) | 431,735 | 2,219,118 | |
Arena Pharmaceuticals, Inc. (a) | 31,279 | 2,183,900 | |
Ascendis Pharma A/S sponsored ADR (a) | 15,391 | 2,280,638 | |
Aurinia Pharmaceuticals, Inc. (a) | 36,300 | 538,329 | |
Avid Bioservices, Inc. (a) | 496,486 | 4,165,518 | |
BeiGene Ltd. ADR (a) | 7,930 | 1,915,650 | |
Biohaven Pharmaceutical Holding Co. Ltd. (a) | 38,126 | 2,416,807 | |
BioMarin Pharmaceutical, Inc. (a) | 55,510 | 4,331,445 | |
Biospecifics Technologies Corp. (a) | 3,753 | 242,069 | |
Blueprint Medicines Corp. (a) | 50,732 | 3,928,179 | |
Castle Biosciences, Inc. (a) | 31,391 | 1,435,510 | |
Catalyst Pharmaceutical Partners, Inc. (a) | 482,137 | 1,581,409 | |
Coherus BioSciences, Inc. (a) | 128,699 | 2,441,420 | |
ContraFect Corp. (a) | 150,891 | 825,374 | |
DBV Technologies SA sponsored ADR (a) | 358,915 | 775,256 | |
Deciphera Pharmaceuticals, Inc. (a) | 172,004 | 7,741,900 | |
Emergent BioSolutions, Inc. (a) | 142,673 | 16,271,856 | |
Exact Sciences Corp. (a) | 168,438 | 12,681,697 | |
Exelixis, Inc. (a) | 87,495 | 1,944,139 | |
Flexion Therapeutics, Inc. (a)(b) | 119,615 | 1,394,711 | |
Global Blood Therapeutics, Inc. (a) | 67,375 | 4,229,803 | |
Gossamer Bio, Inc. (a) | 69,426 | 965,021 | |
Halozyme Therapeutics, Inc. (a) | 554,121 | 16,066,738 | |
Heron Therapeutics, Inc. (a) | 480,669 | 6,873,567 | |
Immunomedics, Inc. (a) | 421,574 | 18,785,337 | |
Insmed, Inc. (a) | 75,222 | 2,120,508 | |
Iovance Biotherapeutics, Inc. (a) | 149,249 | 4,974,469 | |
Karyopharm Therapeutics, Inc. (a) | 143,644 | 2,184,825 | |
Kodiak Sciences, Inc. (a) | 112,651 | 5,924,316 | |
Legend Biotech Corp. ADR (b) | 43,011 | 1,462,374 | |
Ligand Pharmaceuticals, Inc. Class B (a)(b) | 139,294 | 14,207,988 | |
Madrigal Pharmaceuticals, Inc. (a) | 15,739 | 1,695,090 | |
Neurocrine Biosciences, Inc. (a) | 257,909 | 30,025,766 | |
Precision BioSciences, Inc. (a) | 114,053 | 643,259 | |
PTC Therapeutics, Inc. (a) | 65,020 | 3,213,614 | |
Puma Biotechnology, Inc. (a) | 51,909 | 534,144 | |
Recro Pharma, Inc. (a) | 189,198 | 520,295 | |
Repligen Corp. (a) | 47,635 | 7,379,138 | |
Sarepta Therapeutics, Inc. (a) | 38,980 | 5,707,452 | |
Seattle Genetics, Inc. (a) | 3,400 | 538,356 | |
Syros Pharmaceuticals, Inc. (a) | 265,387 | 3,516,378 | |
Turning Point Therapeutics, Inc. (a) | 42,613 | 3,331,484 | |
Ultragenyx Pharmaceutical, Inc. (a) | 37,778 | 3,213,397 | |
United Therapeutics Corp. (a) | 70,177 | 7,506,132 | |
Viking Therapeutics, Inc. (a)(b) | 736,241 | 4,925,452 | |
Vir Biotechnology, Inc. (a) | 60,006 | 2,429,043 | |
248,142,978 | |||
Health Care Equipment & Supplies - 3.5% | |||
Abiomed, Inc. (a) | 25,733 | 7,915,985 | |
Atricure, Inc. (a) | 15,700 | 702,261 | |
Atrion Corp. | 936 | 591,290 | |
AxoGen, Inc. (a) | 1,066,139 | 12,655,070 | |
Beyond Air, Inc. (a)(b) | 50,012 | 277,567 | |
Envista Holdings Corp. (a) | 295,702 | 7,093,891 | |
Genmark Diagnostics, Inc. (a) | 146,222 | 1,896,499 | |
Globus Medical, Inc. (a) | 50,459 | 2,851,943 | |
Hologic, Inc. (a) | 223,605 | 13,353,691 | |
ICU Medical, Inc. (a) | 42,920 | 8,594,301 | |
IDEXX Laboratories, Inc. (a) | 43,487 | 17,006,026 | |
Inari Medical, Inc. | 42,670 | 3,411,040 | |
Insulet Corp. (a) | 17,575 | 3,835,744 | |
Integra LifeSciences Holdings Corp. (a) | 82,084 | 3,922,794 | |
iRhythm Technologies, Inc. (a) | 31,950 | 7,034,751 | |
LeMaitre Vascular, Inc. | 7,428 | 239,776 | |
Masimo Corp. (a) | 45,379 | 10,164,896 | |
Meridian Bioscience, Inc. (a) | 25,363 | 358,633 | |
Merit Medical Systems, Inc. (a) | 562,424 | 27,615,018 | |
Neogen Corp. (a) | 34,365 | 2,618,613 | |
Nevro Corp. (a) | 34,856 | 4,794,094 | |
Penumbra, Inc. (a) | 35,633 | 7,452,642 | |
Quidel Corp. (a) | 84,877 | 14,934,957 | |
Semler Scientific, Inc. (a) | 88,393 | 4,706,927 | |
Silk Road Medical, Inc. (a) | 61,170 | 3,730,147 | |
STERIS PLC | 229,705 | 36,670,106 | |
Tandem Diabetes Care, Inc. (a) | 49,520 | 5,581,894 | |
Teleflex, Inc. | 31,992 | 12,571,256 | |
The Cooper Companies, Inc. | 35,544 | 11,174,323 | |
West Pharmaceutical Services, Inc. | 99,611 | 28,285,540 | |
262,041,675 | |||
Health Care Providers & Services - 2.8% | |||
Amedisys, Inc. (a) | 24,860 | 6,013,634 | |
AMN Healthcare Services, Inc. (a) | 149,501 | 8,049,134 | |
BioTelemetry, Inc. (a) | 455,981 | 18,047,728 | |
Centene Corp. (a) | 202,195 | 12,398,597 | |
Chemed Corp. | 26,008 | 13,448,997 | |
Corvel Corp. (a) | 5,495 | 456,195 | |
DaVita HealthCare Partners, Inc. (a) | 63,300 | 5,491,908 | |
Encompass Health Corp. | 278,228 | 18,151,595 | |
Guardant Health, Inc. (a) | 71,371 | 6,815,931 | |
HealthEquity, Inc. (a) | 298,841 | 17,177,381 | |
LHC Group, Inc. (a) | 47,800 | 9,963,432 | |
MEDNAX, Inc. (a) | 1,123,598 | 20,876,451 | |
Molina Healthcare, Inc. (a) | 168,704 | 31,205,179 | |
National Research Corp. Class A | 7,841 | 439,096 | |
Ontrak, Inc. (a) | 19,664 | 1,434,489 | |
Owens & Minor, Inc. | 227,800 | 3,776,924 | |
Premier, Inc. | 468,174 | 15,332,699 | |
Quest Diagnostics, Inc. | 37,500 | 4,171,500 | |
R1 RCM, Inc. (a) | 201,101 | 2,915,965 | |
Select Medical Holdings Corp. (a) | 297,200 | 5,964,804 | |
U.S. Physical Therapy, Inc. | 7,448 | 662,127 | |
Universal Health Services, Inc. Class B | 59,264 | 6,539,782 | |
209,333,548 | |||
Health Care Technology - 0.4% | |||
Change Healthcare, Inc. (a) | 976,864 | 13,822,626 | |
iCAD, Inc. (a) | 217,252 | 2,352,839 | |
Omnicell, Inc. (a) | 141,501 | 9,435,287 | |
Phreesia, Inc. (a) | 22,400 | 706,496 | |
Simulations Plus, Inc. | 7,971 | 474,912 | |
Teladoc Health, Inc. (a)(b) | 16,160 | 3,485,550 | |
30,277,710 | |||
Life Sciences Tools & Services - 1.3% | |||
10X Genomics, Inc. (a) | 56,089 | 6,428,921 | |
Avantor, Inc. (a) | 258,440 | 5,832,991 | |
Berkeley Lights, Inc. (a) | 10,516 | 687,746 | |
Bio-Rad Laboratories, Inc. Class A (a) | 10,955 | 5,571,603 | |
Bio-Techne Corp. | 24,984 | 6,382,413 | |
Bruker Corp. | 74,832 | 3,144,441 | |
Charles River Laboratories International, Inc. (a) | 26,330 | 5,764,954 | |
Frontage Holdings Corp. (a)(c) | 428,000 | 219,661 | |
Harvard Bioscience, Inc. (a) | 464,028 | 1,554,494 | |
ICON PLC (a) | 95,653 | 17,830,676 | |
Medpace Holdings, Inc. (a) | 17,951 | 2,329,860 | |
PPD, Inc. | 119,997 | 4,120,697 | |
PureTech Health PLC (a) | 1,377,662 | 5,110,411 | |
Quanterix Corp. (a) | 21,339 | 759,668 | |
Syneos Health, Inc. (a) | 572,465 | 36,122,542 | |
101,861,078 | |||
Pharmaceuticals - 1.6% | |||
Aerie Pharmaceuticals, Inc. (a) | 166,902 | 1,835,922 | |
Catalent, Inc. (a) | 235,218 | 21,757,665 | |
Collegium Pharmaceutical, Inc. (a) | 106,282 | 2,025,735 | |
GW Pharmaceuticals PLC ADR (a)(b) | 64,933 | 6,749,785 | |
Horizon Therapeutics PLC (a) | 251,570 | 18,897,938 | |
Innoviva, Inc. (a) | 267,362 | 3,130,809 | |
Jazz Pharmaceuticals PLC (a) | 153,007 | 20,562,611 | |
Lannett Co., Inc. (a) | 177,600 | 934,176 | |
Nektar Therapeutics (a) | 123,348 | 2,385,550 | |
Pacira Biosciences, Inc. (a) | 83,958 | 5,249,054 | |
Perrigo Co. PLC | 63,618 | 3,327,221 | |
Pfizer, Inc. | 63,945 | 2,416,482 | |
Prestige Brands Holdings, Inc. (a) | 88,948 | 3,240,376 | |
Reata Pharmaceuticals, Inc. (a) | 35,775 | 3,754,586 | |
Revance Therapeutics, Inc. (a) | 543,376 | 15,882,880 | |
Royalty Pharma PLC | 178,200 | 7,373,916 | |
Supernus Pharmaceuticals, Inc. (a) | 145,467 | 3,198,819 | |
Zogenix, Inc. (a) | 80,366 | 1,902,263 | |
124,625,788 | |||
TOTAL HEALTH CARE | 976,282,777 | ||
INDUSTRIALS - 15.9% | |||
Aerospace & Defense - 0.6% | |||
AAR Corp. | 206,511 | 4,167,392 | |
Axon Enterprise, Inc. (a) | 58,489 | 5,011,338 | |
Curtiss-Wright Corp. | 47,180 | 4,827,458 | |
HEICO Corp. Class A | 9,400 | 840,172 | |
Howmet Aerospace, Inc. | 155,437 | 2,723,256 | |
Huntington Ingalls Industries, Inc. | 51,855 | 7,857,070 | |
Kaman Corp. | 17,157 | 793,511 | |
Mercury Systems, Inc. (a) | 100,010 | 7,574,757 | |
Moog, Inc. Class A | 52,400 | 3,159,196 | |
National Presto Industries, Inc. | 2,951 | 265,383 | |
Textron, Inc. | 193,913 | 7,645,990 | |
44,865,523 | |||
Air Freight & Logistics - 0.8% | |||
Atlas Air Worldwide Holdings, Inc. (a) | 91,000 | 5,131,490 | |
C.H. Robinson Worldwide, Inc. | 191,315 | 18,806,265 | |
Forward Air Corp. | 182,302 | 10,753,995 | |
XPO Logistics, Inc. (a) | 282,279 | 24,916,767 | |
59,608,517 | |||
Airlines - 0.4% | |||
Air Canada (a) | 365,807 | 4,956,685 | |
Alaska Air Group, Inc. | 181,077 | 7,052,949 | |
JetBlue Airways Corp. (a) | 354,300 | 4,081,536 | |
SkyWest, Inc. | 339,631 | 11,428,583 | |
27,519,753 | |||
Building Products - 1.3% | |||
A.O. Smith Corp. | 89,848 | 4,399,857 | |
AAON, Inc. | 26,639 | 1,516,558 | |
Advanced Drain Systems, Inc. | 134,370 | 7,454,848 | |
Apogee Enterprises, Inc. | 76,492 | 1,600,978 | |
Armstrong World Industries, Inc. | 136,206 | 10,043,830 | |
CSW Industrials, Inc. | 9,371 | 677,055 | |
Fortune Brands Home & Security, Inc. | 156,745 | 13,179,120 | |
Lennox International, Inc. | 43,065 | 12,072,411 | |
Masonite International Corp. (a) | 184,734 | 16,864,367 | |
Owens Corning | 131,249 | 8,877,682 | |
Patrick Industries, Inc. | 81,628 | 4,588,310 | |
Simpson Manufacturing Co. Ltd. | 26,443 | 2,600,405 | |
Trex Co., Inc. (a) | 83,141 | 12,428,748 | |
96,304,169 | |||
Commercial Services & Supplies - 2.7% | |||
ABM Industries, Inc. | 851,421 | 32,473,197 | |
ACCO Brands Corp. | 498,832 | 3,232,431 | |
Casella Waste Systems, Inc. Class A (a) | 15,553 | 873,301 | |
Charah Solutions, Inc. (a)(b) | 1,275,976 | 3,330,297 | |
Cimpress PLC (a) | 109,414 | 10,142,678 | |
Clean Harbors, Inc. (a) | 288,582 | 17,632,360 | |
Copart, Inc. (a) | 38,571 | 3,985,156 | |
Covanta Holding Corp. | 161,984 | 1,529,129 | |
Deluxe Corp. | 101,200 | 2,874,080 | |
Harsco Corp. (a) | 266,083 | 3,765,074 | |
Healthcare Services Group, Inc. | 483,696 | 10,060,877 | |
Herman Miller, Inc. | 200,011 | 4,766,262 | |
IAA Spinco, Inc. (a) | 492,741 | 25,780,209 | |
KAR Auction Services, Inc. | 413,109 | 7,163,310 | |
MSA Safety, Inc. | 156,760 | 19,743,922 | |
Pitney Bowes, Inc. | 367,000 | 2,014,830 | |
Ritchie Bros. Auctioneers, Inc. | 454,228 | 26,549,627 | |
Steelcase, Inc. Class A | 279,500 | 2,920,775 | |
The Brink's Co. | 174,745 | 8,450,668 | |
UniFirst Corp. | 10,031 | 1,932,171 | |
Waste Connection, Inc. (United States) | 200,034 | 20,009,401 | |
209,229,755 | |||
Construction & Engineering - 0.6% | |||
AECOM (a) | 331,195 | 13,085,514 | |
Aegion Corp. (a) | 158,452 | 2,564,546 | |
Jacobs Engineering Group, Inc. | 36,770 | 3,319,228 | |
MasTec, Inc. (a) | 130,418 | 6,026,616 | |
Quanta Services, Inc. | 193,534 | 9,918,618 | |
Willscot Mobile Mini Holdings (a) | 547,773 | 9,805,137 | |
44,719,659 | |||
Electrical Equipment - 1.5% | |||
Acuity Brands, Inc. | 56,900 | 6,218,601 | |
AMETEK, Inc. | 38,602 | 3,887,221 | |
EnerSys | 237,831 | 17,119,075 | |
Generac Holdings, Inc. (a) | 192,300 | 36,533,154 | |
Hubbell, Inc. Class B | 33,570 | 4,864,964 | |
nVent Electric PLC | 100,193 | 1,915,690 | |
Regal Beloit Corp. | 176,808 | 17,479,239 | |
Sensata Technologies, Inc. PLC (a) | 551,461 | 22,962,836 | |
110,980,780 | |||
Industrial Conglomerates - 0.0% | |||
Carlisle Companies, Inc. | 9,200 | 1,204,740 | |
Raven Industries, Inc. | 22,064 | 548,290 | |
1,753,030 | |||
Machinery - 4.1% | |||
AGCO Corp. | 81,300 | 5,780,430 | |
Allison Transmission Holdings, Inc. | 241,586 | 8,665,690 | |
Barnes Group, Inc. | 31,250 | 1,237,500 | |
Colfax Corp. (a) | 32,500 | 1,081,600 | |
Crane Co. | 65,409 | 3,698,225 | |
Donaldson Co., Inc. | 82,966 | 4,178,168 | |
Douglas Dynamics, Inc. | 136,937 | 5,257,011 | |
Flowserve Corp. | 22,200 | 658,896 | |
Gorman-Rupp Co. | 11,478 | 366,722 | |
Graco, Inc. | 102,131 | 5,925,641 | |
Helios Technologies, Inc. | 96,534 | 3,968,513 | |
Hillenbrand, Inc. | 229,132 | 7,265,776 | |
IDEX Corp. | 130,451 | 23,511,184 | |
Ingersoll Rand, Inc. (a) | 113,922 | 3,994,105 | |
ITT, Inc. | 67,454 | 4,236,786 | |
John Bean Technologies Corp. | 172,661 | 17,699,479 | |
Kennametal, Inc. | 412,465 | 11,969,734 | |
Lincoln Electric Holdings, Inc. | 175,495 | 16,972,121 | |
Meritor, Inc. (a) | 219,680 | 4,999,917 | |
Middleby Corp. (a) | 262,009 | 25,650,681 | |
Mueller Industries, Inc. | 3,091 | 91,803 | |
Nordson Corp. | 128,338 | 23,933,754 | |
Omega Flex, Inc. | 1,919 | 252,809 | |
Oshkosh Corp. | 193,721 | 14,918,454 | |
Pentair PLC | 119,610 | 5,399,195 | |
Proto Labs, Inc. (a) | 16,611 | 2,441,817 | |
RBC Bearings, Inc. (a) | 94,078 | 12,422,059 | |
Rexnord Corp. | 73,975 | 2,142,316 | |
Snap-On, Inc. | 141,895 | 21,038,772 | |
Tennant Co. | 182,233 | 12,113,028 | |
Terex Corp. | 103,752 | 2,030,427 | |
The Shyft Group, Inc. | 267,332 | 5,338,620 | |
Timken Co. | 98,800 | 5,353,972 | |
Toro Co. | 293,804 | 22,117,565 | |
Trinity Industries, Inc. (b) | 206,600 | 4,229,102 | |
Woodward, Inc. | 217,305 | 18,620,865 | |
309,562,737 | |||
Marine - 0.5% | |||
Kirby Corp. (a) | 315,032 | 13,369,958 | |
Matson, Inc. | 525,475 | 21,055,783 | |
Scorpio Bulkers, Inc. | 101,370 | 1,416,139 | |
35,841,880 | |||
Professional Services - 1.5% | |||
Acacia Research Corp. (a) | 1,920,394 | 7,287,895 | |
ASGN, Inc. (a) | 127,128 | 9,123,977 | |
Barrett Business Services, Inc. | 4,913 | 282,841 | |
CoreLogic, Inc. | 89,518 | 5,943,995 | |
CoStar Group, Inc. (a) | 14,329 | 12,159,589 | |
Exponent, Inc. | 33,976 | 2,733,539 | |
FTI Consulting, Inc. (a) | 108,512 | 12,452,837 | |
InnerWorkings, Inc. (a) | 1,070,483 | 3,040,172 | |
Kforce, Inc. | 12,972 | 445,458 | |
Korn Ferry | 56,330 | 1,718,065 | |
Manpower, Inc. | 117,417 | 8,607,840 | |
Robert Half International, Inc. | 198,032 | 10,535,302 | |
TransUnion Holding Co., Inc. | 126,770 | 10,993,494 | |
TriNet Group, Inc. (a) | 442,621 | 30,027,409 | |
115,352,413 | |||
Road & Rail - 0.7% | |||
Daseke, Inc. (a) | 555,014 | 3,413,336 | |
Heartland Express, Inc. | 257,936 | 5,335,406 | |
HyreCar, Inc. (a) | 74,663 | 279,240 | |
Kansas City Southern | 21,570 | 3,926,603 | |
Knight-Swift Transportation Holdings, Inc. Class A | 506,231 | 23,013,261 | |
Landstar System, Inc. | 128,389 | 17,087,292 | |
Old Dominion Freight Lines, Inc. | 3,730 | 754,131 | |
Schneider National, Inc. Class B | 41,000 | 1,109,460 | |
54,918,729 | |||
Trading Companies & Distributors - 1.2% | |||
Air Lease Corp. Class A | 118,512 | 3,683,353 | |
Alta Equipment Group, Inc. (a) | 473,002 | 3,949,567 | |
BMC Stock Holdings, Inc. (a) | 84,171 | 3,360,106 | |
EVI Industries, Inc. (a)(b) | 63,549 | 1,560,763 | |
GATX Corp. | 76,150 | 5,092,912 | |
H&E Equipment Services, Inc. | 209,179 | 4,237,967 | |
HD Supply Holdings, Inc. (a) | 314,460 | 12,471,484 | |
MRC Global, Inc. (a) | 806,558 | 4,589,315 | |
MSC Industrial Direct Co., Inc. Class A | 54,009 | 3,559,193 | |
SiteOne Landscape Supply, Inc. (a) | 105,031 | 13,134,127 | |
Transcat, Inc. (a) | 250,147 | 7,356,823 | |
Triton International Ltd. | 186,565 | 6,727,534 | |
United Rentals, Inc. (a) | 92,973 | 16,460,870 | |
Watsco, Inc. | 14,691 | 3,599,148 | |
WESCO International, Inc. (a) | 118,475 | 5,550,554 | |
95,333,716 | |||
TOTAL INDUSTRIALS | 1,205,990,661 | ||
INFORMATION TECHNOLOGY - 17.2% | |||
Communications Equipment - 0.7% | |||
Ciena Corp. (a) | 255,917 | 14,528,408 | |
CommScope Holding Co., Inc. (a) | 188,457 | 1,941,107 | |
Dzs, Inc. (a) | 202,362 | 2,108,612 | |
F5 Networks, Inc. (a) | 35,000 | 4,631,550 | |
InterDigital, Inc. | 62,270 | 3,807,811 | |
Juniper Networks, Inc. | 210,300 | 5,257,500 | |
NetScout Systems, Inc. (a) | 146,946 | 3,400,330 | |
Nokia Corp. sponsored ADR (b) | 1,034,296 | 5,068,050 | |
Radware Ltd. (a) | 137,928 | 3,575,094 | |
Viavi Solutions, Inc. (a) | 404,140 | 5,389,207 | |
49,707,669 | |||
Electronic Equipment & Components - 2.4% | |||
Arrow Electronics, Inc. (a) | 195,827 | 15,384,169 | |
Avnet, Inc. | 24,400 | 671,244 | |
Badger Meter, Inc. | 19,083 | 1,177,230 | |
Belden, Inc. | 936,518 | 31,541,926 | |
Cognex Corp. | 321,632 | 22,253,718 | |
Coherent, Inc. (a) | 23,557 | 2,653,932 | |
Dolby Laboratories, Inc. Class A | 41,936 | 2,929,230 | |
Flextronics International Ltd. (a) | 397,046 | 4,311,920 | |
FLIR Systems, Inc. | 87,943 | 3,245,097 | |
Identiv, Inc. (a) | 274,919 | 1,696,250 | |
Insight Enterprises, Inc. (a) | 93,742 | 5,606,240 | |
IPG Photonics Corp. (a) | 43,409 | 7,020,538 | |
Jabil, Inc. | 170,200 | 5,812,330 | |
Littelfuse, Inc. | 24,816 | 4,487,725 | |
National Instruments Corp. | 77,323 | 2,775,122 | |
Novanta, Inc. (a) | 43,226 | 4,632,530 | |
Par Technology Corp. (a)(b) | 138,285 | 5,163,562 | |
Powerfleet, Inc. (a) | 842,663 | 4,735,766 | |
Rogers Corp. (a) | 12,175 | 1,379,549 | |
Sanmina Corp. (a) | 163,100 | 4,615,730 | |
ScanSource, Inc. (a) | 71,700 | 1,770,273 | |
SYNNEX Corp. | 126,803 | 16,123,001 | |
Trimble, Inc. (a) | 282,717 | 14,817,198 | |
TTM Technologies, Inc. (a) | 566,434 | 6,491,334 | |
Vishay Intertechnology, Inc. | 623,595 | 9,971,284 | |
181,266,898 | |||
IT Services - 3.4% | |||
Amdocs Ltd. | 275,047 | 16,841,128 | |
Black Knight, Inc. (a) | 215,181 | 18,096,722 | |
Booz Allen Hamilton Holding Corp. Class A | 34,126 | 3,005,136 | |
Broadridge Financial Solutions, Inc. | 95,100 | 13,066,740 | |
Cass Information Systems, Inc. | 7,888 | 308,894 | |
Computer Services, Inc. | 197,230 | 11,932,415 | |
DXC Technology Co. | 84,540 | 1,689,109 | |
Equiniti Group PLC (c) | 1,971,126 | 2,987,980 | |
Euronet Worldwide, Inc. (a) | 190,918 | 19,737,103 | |
EVERTEC, Inc. | 158,623 | 5,554,977 | |
Gartner, Inc. (a) | 95,239 | 12,363,927 | |
Genpact Ltd. | 138,420 | 5,838,556 | |
GoDaddy, Inc. (a) | 107,778 | 9,018,863 | |
Hackett Group, Inc. | 17,639 | 222,428 | |
Jack Henry & Associates, Inc. | 51,927 | 8,589,764 | |
Maximus, Inc. | 153,854 | 11,931,378 | |
MongoDB, Inc. Class A (a) | 24,780 | 5,793,564 | |
NIC, Inc. | 43,898 | 938,539 | |
PayPal Holdings, Inc. (a) | 14,375 | 2,934,513 | |
Paysign, Inc. (a) | 17,593 | 113,299 | |
Perficient, Inc. (a) | 21,378 | 917,330 | |
PFSweb, Inc. (a) | 488,459 | 4,127,479 | |
Rackspace Technology, Inc. (a)(b) | 173,815 | 3,710,950 | |
Science Applications International Corp. | 108,641 | 9,067,178 | |
Switch, Inc. Class A | 445,177 | 7,657,044 | |
Sykes Enterprises, Inc. (a) | 69,976 | 2,316,555 | |
The Western Union Co. | 154,700 | 3,649,373 | |
Ttec Holdings, Inc. | 98,544 | 5,586,459 | |
Twilio, Inc. Class A (a) | 7,058 | 1,903,966 | |
Unisys Corp. (a) | 1,786,960 | 20,835,954 | |
WEX, Inc. (a) | 76,860 | 12,275,311 | |
Wix.com Ltd. (a) | 81,925 | 24,137,563 | |
WNS Holdings Ltd. sponsored ADR (a) | 136,590 | 9,062,747 | |
256,212,944 | |||
Semiconductors & Semiconductor Equipment - 2.8% | |||
Ambarella, Inc. (a) | 62,639 | 3,301,075 | |
Amkor Technology, Inc. (a) | 453,551 | 5,531,054 | |
AXT, Inc. (a) | 467,737 | 2,638,037 | |
Cabot Microelectronics Corp. | 115,919 | 17,653,305 | |
Cirrus Logic, Inc. (a) | 7,100 | 430,189 | |
Cree, Inc. (a) | 63,602 | 4,013,286 | |
Diodes, Inc. (a) | 74,200 | 3,625,412 | |
Enphase Energy, Inc. (a) | 33,140 | 2,559,402 | |
Entegris, Inc. | 183,920 | 12,302,409 | |
First Solar, Inc. (a) | 35,723 | 2,736,025 | |
Impinj, Inc. (a) | 53,113 | 1,298,613 | |
Inphi Corp. (a) | 44,550 | 5,077,809 | |
Kulicke & Soffa Industries, Inc. | 249,686 | 5,987,470 | |
Lattice Semiconductor Corp. (a) | 354,956 | 10,151,742 | |
Maxim Integrated Products, Inc. | 130,780 | 8,950,583 | |
MaxLinear, Inc. Class A (a) | 267,010 | 6,501,694 | |
MKS Instruments, Inc. | 98,519 | 11,775,976 | |
Monolithic Power Systems, Inc. | 72,331 | 19,321,780 | |
NVE Corp. | 3,177 | 169,747 | |
ON Semiconductor Corp. (a) | 1,961,263 | 41,912,190 | |
Power Integrations, Inc. | 38,574 | 2,158,987 | |
Qorvo, Inc. (a) | 64,959 | 8,332,291 | |
Semtech Corp. (a) | 237,708 | 13,941,574 | |
Silicon Laboratories, Inc. (a) | 28,433 | 2,911,824 | |
Skyworks Solutions, Inc. | 4,400 | 637,340 | |
SolarEdge Technologies, Inc. (a) | 31,867 | 7,047,387 | |
Ultra Clean Holdings, Inc. (a) | 139,896 | 3,430,250 | |
Universal Display Corp. | 59,260 | 10,400,130 | |
214,797,581 | |||
Software - 7.5% | |||
2U, Inc. (a) | 811,446 | 33,585,750 | |
ACI Worldwide, Inc. (a) | 593,422 | 17,434,738 | |
Allot Ltd. (a) | 167,070 | 1,757,576 | |
Anaplan, Inc. (a) | 79,526 | 4,870,968 | |
ANSYS, Inc. (a) | 10,574 | 3,584,692 | |
Aspen Technology, Inc. (a) | 100,817 | 12,806,784 | |
Avalara, Inc. (a) | 49,193 | 6,513,645 | |
Blackbaud, Inc. | 13,700 | 874,745 | |
Box, Inc. Class A (a) | 18,800 | 369,044 | |
CDK Global, Inc. | 396,472 | 18,483,525 | |
ChannelAdvisor Corp. (a) | 253,846 | 4,269,690 | |
Cloudera, Inc. (a)(b) | 449,892 | 5,943,073 | |
CommVault Systems, Inc. (a) | 170,280 | 7,361,204 | |
Cornerstone OnDemand, Inc. (a) | 97,608 | 3,442,634 | |
Coupa Software, Inc. (a) | 41,400 | 13,568,436 | |
Crowdstrike Holdings, Inc. (a) | 35,670 | 4,484,789 | |
Datadog, Inc. Class A (a) | 42,190 | 3,524,975 | |
DocuSign, Inc. (a) | 58,330 | 13,007,590 | |
Domo, Inc. Class B (a) | 172,672 | 7,031,204 | |
Dynatrace, Inc. | 359,763 | 15,912,317 | |
Elastic NV (a) | 6,500 | 705,770 | |
Enghouse Systems Ltd. | 155,389 | 8,670,381 | |
Everbridge, Inc. (a) | 32,935 | 4,894,470 | |
Fair Isaac Corp. (a) | 30,830 | 12,972,956 | |
FireEye, Inc. (a) | 660,719 | 9,699,355 | |
Five9, Inc. (a) | 39,400 | 5,021,136 | |
Guidewire Software, Inc. (a) | 102,418 | 11,502,566 | |
HubSpot, Inc. (a) | 27,997 | 8,390,141 | |
j2 Global, Inc. (a) | 825,170 | 57,753,648 | |
LivePerson, Inc. (a) | 122,526 | 7,309,901 | |
Manhattan Associates, Inc. (a) | 105,413 | 10,251,414 | |
Microsoft Corp. | 19,854 | 4,477,673 | |
Mimecast Ltd. (a) | 37,271 | 1,835,224 | |
Model N, Inc. (a) | 43,894 | 1,725,912 | |
New Relic, Inc. (a) | 170,280 | 10,460,300 | |
Nortonlifelock, Inc. | 20,300 | 477,456 | |
Nuance Communications, Inc. (a) | 613,719 | 18,387,021 | |
Parametric Technology Corp. (a) | 36,499 | 3,336,374 | |
Paylocity Holding Corp. (a) | 23,504 | 3,460,964 | |
Pluralsight, Inc. (a) | 1,236,933 | 23,674,898 | |
Proofpoint, Inc. (a) | 125,771 | 13,793,306 | |
Q2 Holdings, Inc. (a) | 134,621 | 13,097,277 | |
Qualys, Inc. (a) | 91,831 | 9,746,942 | |
Rapid7, Inc. (a) | 33,837 | 2,184,855 | |
RealPage, Inc. (a) | 148,991 | 9,329,816 | |
RingCentral, Inc. (a) | 70,970 | 20,635,947 | |
SharpSpring, Inc. (a)(b) | 135,640 | 1,489,327 | |
Smartsheet, Inc. (a) | 76,104 | 4,149,951 | |
SolarWinds, Inc. (a) | 1,265,761 | 26,618,954 | |
Splunk, Inc. (a) | 40,641 | 8,913,791 | |
Sprout Social, Inc. (a)(b) | 70,850 | 2,745,438 | |
SS&C Technologies Holdings, Inc. | 437,357 | 27,868,388 | |
Tenable Holdings, Inc. (a) | 16,000 | 602,240 | |
The Trade Desk, Inc. (a) | 24,548 | 11,814,952 | |
Tyler Technologies, Inc. (a) | 34,260 | 11,830,321 | |
Upland Software, Inc. (a) | 241,511 | 9,472,061 | |
Workiva, Inc. (a) | 9,200 | 542,800 | |
Zendesk, Inc. (a) | 73,440 | 7,078,147 | |
Zoom Video Communications, Inc. Class A (a) | 17,507 | 5,691,526 | |
571,440,978 | |||
Technology Hardware, Storage & Peripherals - 0.4% | |||
Immersion Corp. (a) | 459,723 | 4,371,966 | |
NCR Corp. (a) | 663,839 | 13,568,869 | |
Quantum Corp. (a) | 98,737 | 539,104 | |
Seagate Technology LLC | 118,000 | 5,662,820 | |
Western Digital Corp. | 14,000 | 537,880 | |
Xerox Holdings Corp. | 286,079 | 5,395,450 | |
30,076,089 | |||
TOTAL INFORMATION TECHNOLOGY | 1,303,502,159 | ||
MATERIALS - 3.6% | |||
Chemicals - 1.5% | |||
Axalta Coating Systems Ltd. (a) | 328,646 | 7,838,207 | |
Balchem Corp. | 6,600 | 644,820 | |
Cabot Corp. | 95,800 | 3,545,558 | |
Celanese Corp. Class A | 74,200 | 7,505,330 | |
Chase Corp. | 4,757 | 464,140 | |
Eastman Chemical Co. | 103,200 | 7,544,952 | |
FMC Corp. | 75,731 | 8,092,615 | |
GCP Applied Technologies, Inc. (a) | 95,570 | 2,490,554 | |
Huntsman Corp. | 357,808 | 7,735,809 | |
Ingevity Corp. (a) | 184,600 | 10,368,982 | |
Innospec, Inc. | 22,558 | 1,684,857 | |
Minerals Technologies, Inc. | 55,561 | 2,819,721 | |
NewMarket Corp. | 4,841 | 1,803,224 | |
Olin Corp. | 177,017 | 1,991,441 | |
Orion Engineered Carbons SA | 653,337 | 7,938,045 | |
PolyOne Corp. | 59,161 | 1,509,789 | |
PQ Group Holdings, Inc. (a) | 264,868 | 3,085,712 | |
Sensient Technologies Corp. | 27,742 | 1,531,913 | |
Stepan Co. | 13,130 | 1,513,758 | |
The Chemours Co. LLC | 353,313 | 7,299,447 | |
The Mosaic Co. | 244,450 | 4,456,324 | |
Trinseo SA | 312,351 | 7,780,663 | |
Valvoline, Inc. | 420,122 | 8,570,489 | |
Venator Materials PLC (a)(b) | 242,645 | 521,687 | |
Westlake Chemical Corp. | 73,572 | 4,364,291 | |
113,102,328 | |||
Construction Materials - 0.0% | |||
Summit Materials, Inc. (a) | 60,400 | 899,356 | |
Containers & Packaging - 1.5% | |||
Aptargroup, Inc. | 191,569 | 22,679,854 | |
Berry Global Group, Inc. (a) | 99,600 | 5,133,384 | |
CCL Industries, Inc. Class B | 428,228 | 15,827,709 | |
Crown Holdings, Inc. (a) | 165,025 | 12,682,171 | |
Graphic Packaging Holding Co. | 1,535,708 | 21,469,198 | |
Greif, Inc. Class A | 139,208 | 5,129,815 | |
O-I Glass, Inc. | 222,299 | 2,418,613 | |
Packaging Corp. of America | 62,052 | 6,282,144 | |
Ranpak Holdings Corp. (A Shares) (a) | 889,724 | 7,954,133 | |
Sealed Air Corp. | 188,279 | 7,399,365 | |
WestRock Co. | 155,117 | 4,704,699 | |
111,681,085 | |||
Metals & Mining - 0.5% | |||
Arconic Rolled Products Corp. (a) | 36,530 | 812,793 | |
Carpenter Technology Corp. | 157,867 | 3,319,943 | |
Cleveland-Cliffs, Inc. (b) | 248,000 | 1,631,840 | |
Coeur d'Alene Mines Corp. (a) | 483,761 | 4,092,618 | |
Commercial Metals Co. | 32,900 | 686,623 | |
Ferroglobe Representation & Warranty Insurance (a)(d) | 495,885 | 5 | |
Kinross Gold Corp. (a) | 316,558 | 2,811,035 | |
Premier Gold Mines Ltd. (a) | 1,067,921 | 2,221,276 | |
Reliance Steel & Aluminum Co. | 128,091 | 13,432,903 | |
Royal Gold, Inc. | 7,200 | 981,504 | |
Steel Dynamics, Inc. | 140,600 | 4,150,512 | |
Worthington Industries, Inc. | 24,196 | 1,004,860 | |
35,145,912 | |||
Paper & Forest Products - 0.1% | |||
Domtar Corp. | 79,600 | 2,270,192 | |
Louisiana-Pacific Corp. | 60,159 | 1,981,637 | |
Neenah, Inc. | 11,023 | 488,098 | |
Schweitzer-Mauduit International, Inc. | 173,867 | 5,273,386 | |
10,013,313 | |||
TOTAL MATERIALS | 270,841,994 | ||
REAL ESTATE - 3.1% | |||
Equity Real Estate Investment Trusts (REITs) - 2.9% | |||
American Campus Communities, Inc. | 366,546 | 12,425,909 | |
Apartment Investment & Management Co. Class A | 23,700 | 853,911 | |
Brandywine Realty Trust (SBI) | 338,200 | 3,764,166 | |
Brixmor Property Group, Inc. | 313,300 | 3,696,940 | |
Camden Property Trust (SBI) | 87,953 | 7,998,446 | |
City Office REIT, Inc. | 182,900 | 1,470,516 | |
CoreCivic, Inc. | 159,700 | 1,486,807 | |
CorEnergy Infrastructure Trust, Inc. | 84,100 | 751,854 | |
CoreSite Realty Corp. | 8,600 | 1,053,070 | |
Cousins Properties, Inc. | 419,897 | 12,533,925 | |
CubeSmart | 589,401 | 18,636,860 | |
CyrusOne, Inc. | 10,900 | 910,477 | |
DiamondRock Hospitality Co. | 394,700 | 2,091,910 | |
Diversified Healthcare Trust (SBI) | 596,834 | 2,267,969 | |
EastGroup Properties, Inc. | 96,231 | 12,814,120 | |
Empire State Realty Trust, Inc. | 58,900 | 371,070 | |
Equity Commonwealth | 548,436 | 17,215,406 | |
Franklin Street Properties Corp. | 275,093 | 1,218,662 | |
Front Yard Residential Corp. Class B | 104,071 | 1,014,692 | |
Gaming & Leisure Properties | 1,554 | 56,488 | |
Global Net Lease, Inc. | 190,184 | 3,328,220 | |
Government Properties Income Trust | 132,285 | 3,153,674 | |
Healthcare Trust of America, Inc. | 33,800 | 891,982 | |
Hospitality Properties Trust (SBI) | 254,722 | 2,091,268 | |
Industrial Logistics Properties Trust | 136,179 | 2,937,381 | |
iStar Financial, Inc. | 48,991 | 606,509 | |
Lamar Advertising Co. Class A | 56,384 | 3,903,464 | |
Medical Properties Trust, Inc. | 66,000 | 1,226,280 | |
MGM Growth Properties LLC | 285,480 | 8,013,424 | |
Mid-America Apartment Communities, Inc. | 107,807 | 12,626,356 | |
National Retail Properties, Inc. | 306,849 | 10,874,729 | |
Omega Healthcare Investors, Inc. | 150,100 | 4,648,597 | |
Outfront Media, Inc. | 690,223 | 11,685,475 | |
Paramount Group, Inc. | 408,700 | 3,024,380 | |
Physicians Realty Trust | 444,049 | 8,059,489 | |
Piedmont Office Realty Trust, Inc. Class A | 383,800 | 5,875,978 | |
Potlatch Corp. | 11,800 | 543,272 | |
Preferred Apartment Communities, Inc. Class A | 193,740 | 1,278,684 | |
Retail Value, Inc. | 38,179 | 485,255 | |
RLJ Lodging Trust | 446,436 | 4,214,356 | |
Sabra Health Care REIT, Inc. | 245,600 | 3,642,248 | |
SITE Centers Corp. | 305,700 | 2,295,807 | |
SL Green Realty Corp. | 24,703 | 1,155,112 | |
Spirit Realty Capital, Inc. | 68,093 | 2,417,982 | |
Stag Industrial, Inc. | 252,905 | 8,168,832 | |
Summit Hotel Properties, Inc. | 198,800 | 1,170,932 | |
The GEO Group, Inc. | 154,500 | 1,724,220 | |
VEREIT, Inc. | 1,101,600 | 7,402,752 | |
Vornado Realty Trust | 11,100 | 397,713 | |
Weingarten Realty Investors (SBI) | 35,700 | 623,679 | |
Xenia Hotels & Resorts, Inc. | 167,800 | 1,506,844 | |
222,608,092 | |||
Real Estate Management & Development - 0.2% | |||
CBRE Group, Inc. (a) | 52,661 | 2,476,647 | |
Cushman & Wakefield PLC (a) | 718,116 | 8,337,327 | |
Howard Hughes Corp. (a) | 8,100 | 478,791 | |
Marcus & Millichap, Inc. (a) | 8,796 | 248,135 | |
11,540,900 | |||
TOTAL REAL ESTATE | 234,148,992 | ||
UTILITIES - 1.2% | |||
Electric Utilities - 0.4% | |||
Alliant Energy Corp. | 143,599 | 7,775,886 | |
Evergy, Inc. | 1,600 | 85,152 | |
FirstEnergy Corp. | 62,368 | 1,783,101 | |
IDACORP, Inc. | 33,037 | 2,970,026 | |
NRG Energy, Inc. | 220,200 | 7,577,082 | |
PNM Resources, Inc. | 150,529 | 6,575,107 | |
Portland General Electric Co. | 157,745 | 6,017,972 | |
32,784,326 | |||
Gas Utilities - 0.3% | |||
Atmos Energy Corp. | 94,400 | 9,423,008 | |
National Fuel Gas Co. | 107,300 | 4,897,172 | |
South Jersey Industries, Inc. | 24,700 | 547,105 | |
Southwest Gas Holdings, Inc. | 86,462 | 5,435,866 | |
20,303,151 | |||
Independent Power and Renewable Electricity Producers - 0.2% | |||
The AES Corp. | 426,014 | 7,561,749 | |
Vistra Corp. | 539,302 | 10,370,777 | |
17,932,526 | |||
Multi-Utilities - 0.3% | |||
Black Hills Corp. | 89,857 | 5,039,181 | |
CenterPoint Energy, Inc. | 90,988 | 1,826,129 | |
MDU Resources Group, Inc. | 293,000 | 6,920,660 | |
NorthWestern Energy Corp. | 124,437 | 6,425,927 | |
20,211,897 | |||
TOTAL UTILITIES | 91,231,900 | ||
TOTAL COMMON STOCKS | |||
(Cost $5,134,794,040) | 6,364,373,884 | ||
Preferred Stocks - 0.0% | |||
Convertible Preferred Stocks - 0.0% | |||
CONSUMER DISCRETIONARY - 0.0% | |||
Internet & Direct Marketing Retail - 0.0% | |||
The Honest Co., Inc. Series D (a)(d)(e) | 6,381 | 291,995 | |
Nonconvertible Preferred Stocks - 0.0% | |||
CONSUMER DISCRETIONARY - 0.0% | |||
Internet & Direct Marketing Retail - 0.0% | |||
Overstock.com, Inc. 1.0204% | 8,512 | 497,952 | |
TOTAL PREFERRED STOCKS | |||
(Cost $380,862) | 789,947 | ||
Equity Funds - 14.0% | |||
Mid-Cap Blend Funds - 0.9% | |||
Fidelity SAI Small-Mid Cap 500 Index Fund (f) | 5,356,743 | 67,709,231 | |
Sector Funds - 0.1% | |||
Fidelity SAI Real Estate Index Fund (f) | 511,146 | 4,973,455 | |
Small Blend Funds - 12.0% | |||
Fidelity Small Cap Discovery Fund (f) | 2,270,319 | 46,836,671 | |
Fidelity Small Cap Index Fund (f) | 22,661,259 | 449,599,365 | |
PIMCO StocksPLUS Small Fund Institutional Class | 41,337,411 | 373,276,818 | |
Vulcan Value Partners Small Cap Fund Institutional Class | 2,893,592 | 37,906,059 | |
TOTAL SMALL BLEND FUNDS | 907,618,913 | ||
Small Growth Funds - 0.4% | |||
Fidelity Small Cap Growth Fund (f) | 832,652 | 25,037,853 | |
T. Rowe Price Institutional Small-Cap Stock Fund | 385,505 | 10,030,840 | |
TOTAL SMALL GROWTH FUNDS | 35,068,693 | ||
Small Value Funds - 0.6% | |||
Royce Opportunity Fund Institutional Class | 3,658,310 | 43,643,642 | |
TOTAL EQUITY FUNDS | |||
(Cost $894,393,105) | 1,059,013,934 | ||
Money Market Funds - 3.1% | |||
Fidelity Cash Central Fund 0.12% (g) | 2,913,068 | 2,913,651 | |
Fidelity Securities Lending Cash Central Fund 0.11% (g)(h) | 98,166,816 | 98,176,633 | |
State Street Institutional U.S. Government Money Market Fund Premier Class .04% (i) | 134,028,695 | 134,028,695 | |
TOTAL MONEY MARKET FUNDS | |||
(Cost $235,118,979) | 235,118,979 | ||
TOTAL INVESTMENT IN SECURITIES - 101.2% | |||
(Cost $6,264,686,986) | 7,659,296,744 | ||
NET OTHER ASSETS (LIABILITIES) - (1.2)% | (87,193,090) | ||
NET ASSETS - 100% | $7,572,103,654 |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/(Depreciation) | |
Purchased | |||||
Equity Index Contracts | |||||
CME E-mini Russell 2000 Index Contracts (United States) | 8 | Sept. 2020 | $624,520 | $(36) | $(36) |
CME E-mini S&P MidCap 400 Index Contracts (United States) | 3 | Sept. 2020 | 577,740 | 49,483 | 49,483 |
TOTAL FUTURES CONTRACTS | $49,447 |
The notional amount of futures purchased as a percentage of Net Assets is 0.0%
Legend
(a) Non-income producing
(b) Security or a portion of the security is on loan at period end.
(c) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $8,370,071 or 0.1% of net assets.
(d) Level 3 security
(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 $291,995 or 0.0% of net assets.
(f) Affiliated Fund
(g) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
(h) Investment made with cash collateral received from securities on loan.
(i) The rate quoted is the annualized seven-day yield of the fund at period end.
Additional information on each restricted holding is as follows:
Security | Acquisition Date | Acquisition Cost |
The Honest Co., Inc. Series D | 9/25/15 | $257,662 |
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 | $5,519 |
Fidelity Securities Lending Cash Central Fund | 896,299 |
Total | $901,818 |
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 Real Estate Index Fund | $99,990,120 | $96,780 | $75,000,000 | $96,780 | $(24,345,102) | $4,231,657 | $4,973,455 |
Fidelity SAI Small-Mid Cap 500 Index Fund | 109,403,255 | 455,423,246 | 505,223,470 | -- | 2,757,034 | 5,349,166 | 67,709,231 |
Fidelity Small Cap Discovery Fund | -- | 40,000,000 | -- | -- | -- | 6,836,671 | 46,836,671 |
Fidelity Small Cap Growth Fund | -- | 20,000,000 | -- | -- | -- | 5,037,853 | 25,037,853 |
Fidelity Small Cap Index Fund | 107,434,853 | 1,112,984,445 | 778,632,277 | 974,975 | (38,161,533) | 45,973,877 | 449,599,365 |
Total | $316,828,228 | $1,628,504,471 | $1,358,855,747 | $1,071,755 | $(59,749,601) | $67,429,224 | $594,156,575 |
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 August 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 | $174,018,545 | $174,018,545 | $-- | $-- |
Consumer Discretionary | 943,095,839 | 942,803,844 | -- | 291,995 |
Consumer Staples | 272,404,690 | 272,404,690 | -- | -- |
Energy | 74,532,573 | 74,532,573 | -- | -- |
Financials | 819,113,701 | 819,113,701 | -- | -- |
Health Care | 976,282,777 | 976,063,116 | 219,661 | -- |
Industrials | 1,205,990,661 | 1,205,990,661 | -- | -- |
Information Technology | 1,303,502,159 | 1,303,502,159 | -- | -- |
Materials | 270,841,994 | 270,841,989 | -- | 5 |
Real Estate | 234,148,992 | 234,148,992 | -- | -- |
Utilities | 91,231,900 | 91,231,900 | -- | -- |
Equity Funds | 1,059,013,934 | 1,059,013,934 | -- | -- |
Money Market Funds | 235,118,979 | 235,118,979 | -- | -- |
Total Investments in Securities: | $7,659,296,744 | $7,658,785,083 | $219,661 | $292,000 |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $49,483 | $49,483 | $-- | $-- |
Total Assets | $49,483 | $49,483 | $-- | $-- |
Liabilities | ||||
Futures Contracts | $(36) | $(36) | $-- | $-- |
Total Liabilities | $(36) | $(36) | $-- | $-- |
Total Derivative Instruments: | $49,447 | $49,447 | $-- | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of August 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 | $49,483 | $(36) |
Total Equity Risk | 49,483 | (36) |
Total Value of Derivatives | $49,483 | $(36) |
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
August 31, 2020 (Unaudited) | ||
Assets | ||
Investment in securities, at value (including securities loaned of $98,755,253) — See accompanying schedule: Unaffiliated issuers (cost $5,620,605,283) | $6,964,049,885 | |
Fidelity Central Funds (cost $101,090,284) | 101,090,284 | |
Other affiliated issuers (cost $542,991,419) | 594,156,575 | |
Total Investment in Securities (cost $6,264,686,986) | $7,659,296,744 | |
Segregated cash with brokers for derivative instruments | 92,700 | |
Cash | 14,604,547 | |
Receivable for investments sold | 21,665,182 | |
Receivable for fund shares sold | 2,472,873 | |
Dividends receivable | 5,355,916 | |
Interest receivable | 6,717 | |
Distributions receivable from Fidelity Central Funds | 209,850 | |
Prepaid expenses | 18,680 | |
Other receivables | 127,881 | |
Total assets | 7,703,851,090 | |
Liabilities | ||
Payable to custodian | $1,546,061 | |
Payable for investments purchased | 26,411,940 | |
Payable for fund shares redeemed | 3,106,510 | |
Accrued management fee | 2,321,361 | |
Payable for daily variation margin on futures contracts | 11,675 | |
Other payables and accrued expenses | 180,689 | |
Collateral on securities loaned | 98,169,200 | |
Total liabilities | 131,747,436 | |
Net Assets | $7,572,103,654 | |
Net Assets consist of: | ||
Paid in capital | $6,258,638,067 | |
Total accumulated earnings (loss) | 1,313,465,587 | |
Net Assets | $7,572,103,654 | |
Net Asset Value, offering price and redemption price per share ($7,572,103,654 ÷ 548,096,720 shares) | $13.82 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Six months ended August 31, 2020 (Unaudited) | ||
Investment Income | ||
Dividends: | ||
Unaffiliated issuers | $45,697,402 | |
Affiliated issuers | 1,071,755 | |
Interest | 163,936 | |
Income from Fidelity Central Funds (including $896,299 from security lending) | 901,818 | |
Total income | 47,834,911 | |
Expenses | ||
Management fee | $21,851,651 | |
Custodian fees and expenses | 90,697 | |
Independent trustees' fees and expenses | 41,270 | |
Registration fees | 52,751 | |
Audit | 49,131 | |
Legal | 20,318 | |
Interest | 192 | |
Miscellaneous | 35,799 | |
Total expenses before reductions | 22,141,809 | |
Expense reductions | (8,922,149) | |
Total expenses after reductions | 13,219,660 | |
Net investment income (loss) | 34,615,251 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | (19,753,238) | |
Fidelity Central Funds | 9,657 | |
Other affiliated issuers | (59,749,601) | |
Foreign currency transactions | (28,335) | |
Futures contracts | 8,602,368 | |
Total net realized gain (loss) | (70,919,149) | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers | 802,062,687 | |
Affiliated issuers | 67,429,224 | |
Assets and liabilities in foreign currencies | (1,981) | |
Futures contracts | 203,812 | |
Total change in net unrealized appreciation (depreciation) | 869,693,742 | |
Net gain (loss) | 798,774,593 | |
Net increase (decrease) in net assets resulting from operations | $833,389,844 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Six months ended August 31, 2020 (Unaudited) | Year ended February 29, 2020 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $34,615,251 | $76,146,043 |
Net realized gain (loss) | (70,919,149) | 406,783,582 |
Change in net unrealized appreciation (depreciation) | 869,693,742 | (603,452,993) |
Net increase (decrease) in net assets resulting from operations | 833,389,844 | (120,523,368) |
Distributions to shareholders | (128,343,620) | (261,863,893) |
Share transactions | ||
Proceeds from sales of shares | 1,768,531,411 | 659,416,886 |
Reinvestment of distributions | 126,959,941 | 260,179,078 |
Cost of shares redeemed | (2,003,780,253) | (1,643,423,965) |
Net increase (decrease) in net assets resulting from share transactions | (108,288,901) | (723,828,001) |
Total increase (decrease) in net assets | 596,757,323 | (1,106,215,262) |
Net Assets | ||
Beginning of period | 6,975,346,331 | 8,081,561,593 |
End of period | $7,572,103,654 | $6,975,346,331 |
Other Information | ||
Shares | ||
Sold | 157,111,654 | 47,201,679 |
Issued in reinvestment of distributions | 12,172,573 | 18,055,453 |
Redeemed | (163,032,997) | (116,757,002) |
Net increase (decrease) | 6,251,230 | (51,499,870) |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Strategic Advisers Small-Mid Cap Fund
Six months ended (Unaudited) August 31, | Years endedFebruary 28, | |||||
2020 | 2020 A | 2019 | 2018 | 2017 | 2016 A | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $12.87 | $13.62 | $14.86 | $14.19 | $11.12 | $13.66 |
Income from Investment Operations | ||||||
Net investment income (loss)B | .06 | .13 | .11 | .08 | .05 | .04 |
Net realized and unrealized gain (loss) | 1.09 | (.41) | .11 | 1.88 | 3.29 | (1.78) |
Total from investment operations | 1.15 | (.28) | .22 | 1.96 | 3.34 | (1.74) |
Distributions from net investment income | –C | (.13) | (.11) | (.07) | (.04) | (.03) |
Distributions from net realized gain | (.20) | (.34) | (1.35) | (1.22) | (.22) | (.77) |
Total distributions | (.20) | (.47) | (1.46) | (1.29) | (.27)D | (.80) |
Net asset value, end of period | $13.82 | $12.87 | $13.62 | $14.86 | $14.19 | $11.12 |
Total ReturnE,F | 9.46% | (2.40)% | 2.64% | 14.04% | 30.11% | (13.45)% |
Ratios to Average Net AssetsG,H | ||||||
Expenses before reductions | .62%I | .65% | .73% | .85% | .87% | .72% |
Expenses net of fee waivers, if any | .37%I | .40% | .48% | .60% | .62% | .46% |
Expenses net of all reductions | .37%I | .40% | .48% | .60% | .62% | .46% |
Net investment income (loss) | .97%I | .96% | .77% | .53% | .37% | .28% |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $7,572,104 | $6,975,346 | $8,081,562 | $7,503,132 | $7,048,707 | $6,718,287 |
Portfolio turnover rateJ | 131%I | 67% | 82% | 75% | 82% | 71% |
A For the year ended February 29.
B Calculated based on average shares outstanding during the period.
C Amount represents less than $.005 per share.
D Total distributions of $.27 per share is comprised of distributions from net investment income of $.044 and distributions from net realized gain of $.224 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 mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
I Annualized
J 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 (Unaudited)
For the period ended August 31, 2020
1. Organization.
Strategic Advisers Small-Mid Cap Fund (the Fund) is a fund of Fidelity Rutland Square Trust II (the Trust), and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust. The Fund is offered exclusively to certain clients of Strategic Advisers LLC (Strategic Advisers), an affiliate of Fidelity Management & Research Company LLC (FMR).
2. Significant Accounting Policies.
The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services – Investment Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the Fund:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
- Level 1 – quoted prices in active markets for identical investments
- Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
- Level 3 – unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value the Fund's investments by major category are as follows:
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
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 August 31, 2020 is included at the end of the Fund's Schedule of Investments.
Foreign Currency. Certain Funds may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.
Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received, and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost 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 $99,196 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. 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.
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, passive foreign investment companies (PFIC), market discount, 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 | $1,871,610,006 |
Gross unrealized depreciation | (557,024,322) |
Net unrealized appreciation (depreciation) | $1,314,585,684 |
Tax cost | $6,344,760,507 |
Restricted Securities (including Private Placements). The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.
3. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund's investment objective allows the Fund to enter into various types of derivative contracts, including futures contracts. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.
The Fund used derivatives to increase returns and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.
The Fund's use of derivatives increased or decreased its exposure to the following risk:
Equity Risk | Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment. |
The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Counterparty credit risk related to exchange-traded futures contracts may be mitigated by the protection provided by the exchange on which they trade.
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.
Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. The Fund used futures contracts to manage its exposure to the stock market.
Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments (variation margin) are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is presented in the Statement of Operations.
Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The notional amount at value reflects each contract's exposure to the underlying instrument or index at period end and is representative of volume of activity during the period. Cash deposited to meet initial margin requirements is presented as segregated cash with brokers for derivative instruments in the Statement of Assets and Liabilities.
4. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities and U.S. government securities, are noted in the table below.
Purchases ($) | Sales ($) | |
Strategic Advisers Small-Mid Cap Fund | 4,659,117,730 | 4,838,470,689 |
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 1.10% of the Fund's average net assets. For the reporting period, the total annualized management fee rate was .61% of the Fund's average net assets.
During the period, the investment adviser waived a portion of its management fee as described in the Expense Reductions note.
Sub-Advisers. AllianceBernstein, L.P. (AB), ArrowMark Colorado Holdings, LLC (d/b/a ArrowMark Partners), LLC, Boston Partners Global Investors, Inc., FIAM LLC (an affiliate of the investment adviser), Geode Capital Management, LLC, J.P. Morgan Investment Management, Inc., LSV Asset Management, Portolan Capital Management, LLC, Rice Hall James & Associates, LLC and Victory 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.
Brokerage Commissions. A portion of portfolio transactions were placed with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Statement of Operations. The commissions paid to these affiliated firms were as follows:
Amount | |
Strategic Advisers Small-Mid Cap Fund | $2,070 |
Interfund Trades. Funds may purchase from or sell securities to other funds affiliated with each sub-adviser under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.
6. Investments in Fidelity Central Funds.
The Fund invests in Fidelity Central Funds, which are open-end investment companies available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
The Fidelity Money Market Central Funds are managed by FMR. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date ranged from less than .005% to .01%.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds are available on the SEC website or upon request.
7. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are as follows:
Amount | |
Strategic Advisers Small-Mid Cap Fund | $9,023 |
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. Net income from Fidelity Central Funds is presented in the Statement of Operations as a component of income from Fidelity Central Funds.
9. Bank Borrowings.
The Fund is permitted to have bank borrowings for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity requirements. The Fund has established borrowing arrangements with certain banks. The interest rate on the borrowings is the bank's base rate, as revised from time to time. Any open loans, including accrued interest, at period end are presented under the caption "Notes payable" in the Statement of Assets and Liabilities, if applicable. Activity in this program during the period for which loans were outstanding was as follows:
Average Loan Balance | Weighted Average Interest Rate | Interest Expense | |
Strategic Advisers Small-Mid Cap Fund | $12,580,000 | .55% | $192 |
10. Expense Reductions.
The investment adviser has contractually agreed to waive the Fund's management fee in an amount equal to .25% of the Fund's average net assets until September 30, 2023. During the period, this waiver reduced the Fund's management fee by $8,899,572.
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 $22,577 for the period.
11. 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.
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.
Shareholder Expense Example
As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (March 1, 2020 to August 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 for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
Annualized Expense Ratio-A | Beginning Account Value March 1, 2020 | Ending Account Value August 31, 2020 | Expenses Paid During Period-B March 1, 2020 to August 31, 2020 | |
Strategic Advisers Small-Mid Cap Fund | .37% | |||
Actual | $1,000.00 | $1,094.60 | $1.95 | |
Hypothetical-C | $1,000.00 | $1,023.34 | $1.89 |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/ 365 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.
C 5% return per year before expenses
Board Approval of New Sub-Advisory and Sub-Subadvisory Agreements
Strategic Advisers Small-Mid Cap Fund
In June 2020, the Board of Trustees, including the Independent Trustees (together, the Board) voted to approve: (i) a new sub-advisory agreement among Strategic Advisers LLC (Strategic Advisers), FIL Investment Advisors (FIA), and Fidelity Rutland Square Trust II (Trust) on behalf of the fund (FIA Sub-Advisory Agreement); (ii) new sub-subadvisory agreements among FIAM LLC (FIAM), each of FMR Investment Management (UK) Limited (FMR UK), Fidelity Management & Research (Japan) Limited (FMR Japan), and Fidelity Management & Research (Hong Kong) Limited (FMR H.K.), and the Trust on behalf of the fund (New FIAM Sub-Subadvisory Agreements); and (iii) a new sub-subadvisory agreement among FIA, FIL Investment Advisors (UK) Limited (FIA UK, and together with FMR UK, FMR Japan, and FMR HK, the New Sub-Subadvisers), and the Trust on behalf of the fund (New FIA Sub-Subadvisory Agreement, together with the New FIAM Sub-Subadvisory Agreements, New Sub-Subadvisory Agreements, and collectively with the New FIAM Sub-Subadvisory Agreements and the FIA Sub-Advisory Agreement, New Agreements). The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, considered a broad range of information.In considering whether to approve each New Agreement, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the approval of each New Agreement is in the best interests of the fund and its shareholders and does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the fees to be charged under the FIA Sub-Advisory Agreement bear a reasonable relationship to the services to be rendered and will be based on services provided that will be in addition to, rather than duplicative of services provided under the advisory contract of any underlying fund in which the fund may invest. The Board's decision to approve each New Agreement was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board. In addition, individual Trustees did not necessarily attribute the same weight or importance to each factor.Nature, Extent, and Quality of Services Provided. The Board considered the backgrounds of the investment personnel that will provide services to the fund, and also considered the fund's investment objective, strategies and related investment philosophy and current sub-adviser line-up. The Board also considered the structures of the investment personnel compensation programs and whether such structures provide appropriate incentives to act in the best interests of the fund.With respect to the New Sub-Subadvisory Agreements, the Board noted that it previously received and considered materials relating to the nature, extent and quality of services provided by Strategic Advisers and FIAM, including the resources dedicated to investment management and support services, as well as shareholder and administrative services, in connection with its annual renewal of the fund's management contract and sub-advisory agreements at its September 2019 meeting. The Board noted its familiarity with the nature, extent and quality of services provided by FIA and the New Sub-Subadvisers to other Strategic Advisers funds. The Board also considered the detailed information provided by Strategic Advisers, FIA, and FIAM in the June 2020 annual contract renewal materials.Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of FIA's investment staffs, their use of technology, and their approach to managing and compensating investment personnel. The Board noted that FIA's analysts have extensive resources, tools, and capabilities that allow them to conduct sophisticated quantitative and/or fundamental analysis. Additionally, in its deliberations, the Board considered FIA's trading capabilities and resources and global compliance infrastructure, which are integral parts of the investment management process.Shareholder and Administrative Services. The Board considered: (i) the nature, extent, quality, and cost of advisory services to be performed by FIA under the FIA Sub-Advisory Agreement; and (ii) the resources to be devoted to the fund's compliance policies and procedures.Investment Performance. The Board considered the composite performance of FIA and the portfolio managers in managing an open-end mutual fund trust established under the laws of Ontario under a similar mandate.Based on its review, the Board concluded that the nature, extent, and quality of services that will be provided to the fund under the New Agreements should benefit the fund's shareholders.Competitiveness of Management Fee and Total Fund Expenses. With respect to the FIA Sub-Advisory Agreement, the Board considered the amount and nature of the fees to be paid by the fund to Strategic Advisers and by Strategic Advisers to FIA. The Board also considered the projected change in the fund's management fee and total operating expenses, if any, as a result of hiring FIA. The Board noted that the approval of the FIA Sub-Advisory Agreement will not initially result in any changes to the fund's management fee or total net expenses because Strategic Advisers does not expect to allocate assets to FIA at this time.With respect to the New Sub-Subadvisory Agreements, the Board considered that FIAM or FIA, as applicable, and not the fund, will compensate the New Sub-Subadvisers under the terms of the New Sub-Subadvisory Agreements and that the fund and Strategic Advisers are not responsible for any such fees or expenses. The Board also considered that the New Sub-Subadvisory Agreements will not result in changes to the fees paid under the sub-advisory agreement among Strategic Advisers, FIAM or FIA, as applicable, and the Trust on behalf of the fund.The Board noted that the fund's maximum aggregate annual management fee rate may not exceed 1.10% of the fund's average daily net assets and that the New Agreements will not result in changes to the maximum aggregate annual management fee payable by the fund, in Strategic Advisers' contractual agreement to waive its 0.25% portion of the fund's management fee through September 30, 2022, or its proposal to extend the waiver through September 30, 2023.Based on its review, the Board concluded that the fund's management fee structure and any changes to projected total expenses bear a reasonable relationship to the services that the fund and its shareholders will receive and the other factors considered.Because the New Agreements were negotiated at arm's length and will have no impact on the maximum management fees payable by the fund or Strategic Advisers' portion of the management fee, the Board did not consider the costs of services and profitability to be significant factors in its decision to approve the New Agreements.Potential Fall-Out Benefits. The Board considered that it reviews information regarding the potential of direct and indirect benefits to Strategic Advisers and its affiliates from their relationships with the fund, including non-advisory fee compensation paid to affiliates of Strategic Advisers, if any, as well as information regarding potential fall-out benefits accruing to each sub-adviser, if any, as a result of its relationship with the fund, during its annual renewal of the fund's management contract, sub-advisory agreements, and sub-subadvisory agreements. The Board considered Strategic Advisers' representation that it does not anticipate that the approval of the New Agreements will have a significant impact on the profitability of, or potential fall-out benefits to, Strategic Advisers or its affiliates.Possible Economies of Scale. The Board considered that it reviews whether there have been economies of scale in connection with the management of the fund during its annual renewal of the fund's management contract, sub-advisory agreements, and sub-subadvisory agreements. The Board noted that the FIA Sub-Advisory Agreement provides for breakpoints that have the potential to reduce sub-advisory fees paid to FIA as assets allocated to FIA grow. The Board also noted that it did not consider the possible realization of economies of scale to be a significant factor in its decision to approve the New Sub-Subadvisory Agreements because the fund will not bear any additional management fees or expenses under such agreements.Conclusion. Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the FIA Sub-Advisory Agreement's fee structure bears a reasonable relationship to the services to be rendered and that the New Agreements are in the best interests of the fund and its shareholders and should be approved. The Board also concluded that the sub-advisory fees to be charged under the FIA Sub-Advisory Agreement will be based on services provided that will be in addition to, rather than duplicative of, services provided under the advisory contract of any underlying fund in which the fund may invest. In addition, the Board concluded that the approval of the New Agreements does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.SMC-SANN-1020
1.912859.110
Item 2.
Code of Ethics
Not applicable.
Item 3.
Audit Committee Financial Expert
Not applicable.
Item 4.
Principal Accountant Fees and Services
Not applicable.
Item 5.
Audit Committee of Listed Registrants
Not applicable.
Item 6.
Investments
(a)
Not applicable.
(b)
Not applicable
Item 7.
Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8.
Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9.
Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable.
Item 10.
Submission of Matters to a Vote of Security Holders
There were no material changes to the procedures by which shareholders may recommend nominees to the Fidelity Rutland Square Trust II’s Board of Trustees.
Item 11.
Controls and Procedures
(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the Fidelity Rutland Square Trust II’s (the “Trust”) disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable
assurances that material information relating to the Trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.
(a)(ii) There was no change in the Trust’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Trust’s internal control over financial reporting.
Item 12.
Disclosure of Securities Lending Activities for Closed-End Management
Investment Companies
Not applicable.
Item 13.
Exhibits
(a) | (1) | Not applicable. |
(a) | (2) | |
(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: | October 19, 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: | October 19, 2020 |
By: | /s/John J. Burke III |
John J. Burke III | |
Chief Financial Officer | |
Date: | October 19, 2020 |