UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-21991
Fidelity Rutland Square Trust II
(Exact name of registrant as specified in charter)
245 Summer St., Boston, Massachusetts 02210
(Address of principal executive offices) (Zip code)
Christina H. Lee, Secretary
245 Summer St.
Boston, Massachusetts 02210
(Name and address of agent for service)
Registrant's telephone number, including area code:
617-563-7000
Date of fiscal year end: | February 28 |
Date of reporting period: | February 28, 2021 |
Item 1.
Reports to Stockholders
Strategic Advisers® Small-Mid Cap Fund
Offered exclusively to certain clients of Strategic Advisers LLC - not available for sale to the general public
February 28, 2021
Contents
Board Approval of Investment Advisory Contracts and Management Fees | |
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Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2021 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
Note to Shareholders:
Early in 2020, the outbreak and spread of a new coronavirus emerged as a public health emergency that had a major influence on financial markets, primarily based on its impact on the global economy and the outlook for corporate earnings. The virus causes a respiratory disease known as COVID-19. On March 11, 2020 the World Health Organization declared the COVID-19 outbreak a pandemic, citing sustained risk of further global spread.
In the weeks following, as the crisis worsened, we witnessed an escalating human tragedy with wide-scale social and economic consequences from coronavirus-containment measures. The outbreak of COVID-19 prompted a number of measures to limit the spread, including travel and border restrictions, quarantines, and restrictions on large gatherings. In turn, these resulted in lower consumer activity, diminished demand for a wide range of products and services, disruption in manufacturing and supply chains, and – given the wide variability in outcomes regarding the outbreak – significant market uncertainty and volatility. Amid the turmoil, global governments and central banks took unprecedented action to help support consumers, businesses, and the broader economies, and to limit disruption to financial systems.
The situation continues to unfold, and the extent and duration of its impact on financial markets and the economy remain highly uncertain. Extreme events such as the coronavirus crisis are “exogenous shocks” that can have significant adverse effects on mutual funds and their investments. Although multiple asset classes may be affected by market disruption, the duration and impact may not be the same for all types of assets.
Fidelity is committed to helping you stay informed amid news about COVID-19 and during increased market volatility, and we’re taking extra steps to be responsive to customer needs. We encourage you to visit our websites, where we offer ongoing updates, commentary, and analysis on the markets and our funds.
Performance: The Bottom Line
Average annual total return reflects the change in the value of an investment, assuming reinvestment of distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year. The hypothetical investment and the average annual total returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund’s total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.
Average Annual Total Returns
For the periods ended February 28, 2021 | Past 1 year | Past 5 years | Past 10 years |
Strategic Advisers® Small-Mid Cap Fund | 46.31% | 16.81% | 11.07% |
$10,000 Over 10 Years
Let's say hypothetically that $10,000 was invested in Strategic Advisers® Small-Mid Cap Fund on February 28, 2011.
The chart shows how the value of your investment would have changed, and also shows how the Russell 2500™ Index performed over the same period.
Period Ending Values | ||
$28,583 | Strategic Advisers® Small-Mid Cap Fund | |
$31,804 | Russell 2500™ Index |
Management's Discussion of Fund Performance
Market Recap: The S&P 500® index gained 31.29% for the 12 months ending February 28, 2021, a volatile but productive period for U.S. risk assets. The early-2020 outbreak and spread of COVID-19 resulted in stocks suffering one of the quickest declines on record, through March 23, followed by a historic rebound that included the index closing 2020 at an all-time high and gaining modest ground in the first two months of the new year. The crisis and containment efforts caused broad contraction in economic activity, along with extreme uncertainty and dislocation in financial markets. A rapid and expansive U.S. monetary/fiscal-policy response partially offset the economic disruption and fueled the market surge, as did resilient corporate earnings. The rally slowed in September, when stocks began a two-month retreat amid Congress’s inability to reach a deal on additional fiscal stimulus, as well as concerns about election uncertainty, indications the U.S. economic recovery could be slowing and a new wave of COVID-19 cases. A shift in momentum began in October and accelerated following the U.S. elections, with the approval of three breakthrough COVID-19 vaccines and prospects for additional government stimulus fueling the “reflation trade” through February 28. By sector for the full 12 months, information technology (+50%) and consumer discretionary (+43%) led all gainers. Materials (+42%) and communication services (+37%) also stood out. In contrast, the defensive utilities (-3%) and real estate sectors (+5%) notably lagged.Comments from Portfolio Manager Barry Golden: For the fiscal year ending February 28, 2021, the Fund advanced 46.31%, outpacing the 45.90% increase in its small-to-mid-cap benchmark, the Russell 2500® Index. Until the fourth quarter of 2020, growth stocks and strategies continued their dominance over value-oriented approaches in U.S. small- and mid-cap markets. At that point, market leadership began to rotate toward value and smaller-cap stocks. Within this environment, sub-adviser Portolan Capital Management (+79%) outperformed the benchmark by a substantial margin and was the top relative contributor. During 2020, Portolan shifted from a more defensive posture to having greater exposure to economically sensitive stocks – a strategy that worked exceptionally well. For the period, favorable overall positioning in the financials and energy sectors added the most value for this manager. The U.S. SMID-Cap Growth strategy managed by AB (+65%) – an aggressive-growth approach – also handily surpassed the benchmark and provided a further boost to the Fund’s relative result. With this strategy, AB uses a combination of fundamental and quantitative research as it seeks to identify companies with earnings growth potential that it believes may be underestimated by the market. On the downside, LSV Asset Management (+30%) was the Fund's biggest relative detractor. This manager employs a quantitative, deep-value strategy – an investment approach that was out of favor until later in the period. Sub-adviser Boston Partners Global Investors (+35%), which seeks to invest in companies that it believes offer a combination of attractive valuation, high-quality business fundamentals and an improving earnings trend, also worked against relative performance the past 12 months period. In terms of positioning changes, in December, we hired River Road as a sub-adviser to gain access to its quality-oriented value strategy. Looking ahead, I believe the U.S. economic recovery may accelerate. As a result, I plan to emphasize managers with substantial exposure to economically sensitive stocks, given my view that value and small-cap stocks may continue to outperform the broad equity market.The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
Investment Summary (Unaudited)
The information in the following tables is based on the direct investments of the Fund.Top Ten Holdings as of February 28, 2021
(excluding cash equivalents) | % of fund's net assets |
Fidelity Small Cap Index Fund | 5.8 |
PIMCO StocksPLUS Small Fund Institutional Class | 2.9 |
T. Rowe Price Institutional Small-Cap Stock Fund | 2.3 |
j2 Global, Inc. | 1.1 |
Fidelity Small Cap Growth Fund | 1.0 |
Fidelity SAI Real Estate Index Fund | 0.9 |
Royce Opportunity Fund Service Class | 0.7 |
ON Semiconductor Corp. | 0.7 |
Fidelity Small Cap Discovery Fund | 0.6 |
Generac Holdings, Inc. | 0.6 |
16.6 |
Top Five Market Sectors as of February 28, 2021
(stocks only) | % of fund's net assets |
Industrials | 16.8 |
Information Technology | 16.6 |
Consumer Discretionary | 12.5 |
Financials | 12.0 |
Health Care | 10.7 |
Asset Allocation (% of fund's net assets)
As of February 28, 2021 | ||
Common Stocks | 83.0% | |
Mid-Cap Blend Funds | 0.2% | |
Small Blend Funds | 9.9% | |
Small Growth Funds | 3.3% | |
Small Value Funds | 0.7% | |
Sector Funds | 0.9% | |
Short-Term Investments and Net Other Assets (Liabilities) | 2.0% |
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 February 28, 2021
Showing Percentage of Net Assets
Common Stocks - 83.0% | |||
Shares | Value | ||
COMMUNICATION SERVICES - 1.9% | |||
Diversified Telecommunication Services - 0.4% | |||
Bandwidth, Inc. (a) | 86,957 | $13,770,511 | |
Liberty Latin America Ltd.: | |||
Class A (a) | 129,330 | 1,418,750 | |
Class C (a) | 218,400 | 2,393,664 | |
Lumen Technologies, Inc. | 463,300 | 5,693,957 | |
Vonage Holdings Corp. (a) | 676,630 | 8,945,049 | |
32,221,931 | |||
Entertainment - 0.1% | |||
Activision Blizzard, Inc. | 11,800 | 1,128,198 | |
Electronic Arts, Inc. | 9,677 | 1,296,428 | |
Eros International PLC (a)(b) | 830,767 | 1,520,304 | |
IMAX Corp. (a) | 29,900 | 618,033 | |
Sciplay Corp. (A Shares) (a) | 9,044 | 164,149 | |
World Wrestling Entertainment, Inc. Class A | 143,042 | 7,066,275 | |
11,793,387 | |||
Interactive Media & Services - 0.7% | |||
Alphabet, Inc. Class C (a) | 2,270 | 4,623,672 | |
Bumble, Inc. | 16,821 | 1,132,222 | |
CarGurus, Inc. Class A (a) | 193,650 | 5,025,218 | |
Cars.com, Inc. (a) | 198,000 | 2,310,660 | |
Facebook, Inc. Class A (a) | 19,989 | 5,149,566 | |
IAC (a) | 53,562 | 13,113,584 | |
Match Group, Inc. (a) | 110,412 | 16,876,474 | |
MDF Commerce, Inc. (a) | 193,292 | 2,106,883 | |
QuinStreet, Inc. (a) | 376,402 | 8,992,244 | |
Yelp, Inc. (a) | 122,936 | 4,635,917 | |
Zillow Group, Inc. Class A (a) | 1,900 | 322,658 | |
64,289,098 | |||
Media - 0.7% | |||
AMC Networks, Inc. Class A (a)(b) | 95,455 | 6,260,893 | |
Criteo SA sponsored ADR (a) | 238,862 | 8,214,464 | |
Entercom Communications Corp. Class A | 862,300 | 3,854,481 | |
Gray Television, Inc. | 243,500 | 4,419,525 | |
Interpublic Group of Companies, Inc. | 32,200 | 841,064 | |
National CineMedia, Inc. | 24,486 | 115,574 | |
News Corp. Class A | 39,200 | 919,240 | |
Nexstar Broadcasting Group, Inc. Class A | 85,460 | 11,755,023 | |
Ocean Outdoor Ltd. (a)(c) | 1,223,674 | 9,422,290 | |
TechTarget, Inc. (a) | 16,372 | 1,369,190 | |
Tegna, Inc. | 222,526 | 4,056,649 | |
ViacomCBS, Inc. Class B | 144,600 | 9,325,254 | |
60,553,647 | |||
Wireless Telecommunication Services - 0.0% | |||
Boingo Wireless, Inc. (a) | 124,682 | 1,421,375 | |
TOTAL COMMUNICATION SERVICES | 170,279,438 | ||
CONSUMER DISCRETIONARY - 12.5% | |||
Auto Components - 1.2% | |||
BorgWarner, Inc. | 162,700 | 7,321,500 | |
Cooper Tire & Rubber Co. | 151,392 | 8,665,678 | |
Cooper-Standard Holding, Inc. (a) | 245,469 | 8,792,700 | |
Dana, Inc. | 510,939 | 12,165,458 | |
Dorman Products, Inc. (a) | 11,448 | 1,141,480 | |
Fox Factory Holding Corp. (a) | 41,539 | 5,281,684 | |
Gentex Corp. | 258,117 | 9,132,179 | |
LCI Industries | 114,558 | 16,145,805 | |
Lear Corp. | 109,386 | 18,167,921 | |
Magna International, Inc. Class A | 40,813 | 3,436,455 | |
Standard Motor Products, Inc. | 42,946 | 1,804,161 | |
The Goodyear Tire & Rubber Co. | 684,821 | 11,511,841 | |
XL Fleet Corp. (Class A) (a)(b) | 235,323 | 3,334,527 | |
106,901,389 | |||
Automobiles - 0.3% | |||
Fisker, Inc. (a)(b) | 93,420 | 2,662,470 | |
Harley-Davidson, Inc. | 305,095 | 10,882,739 | |
Thor Industries, Inc. | 100,888 | 11,809,949 | |
25,355,158 | |||
Distributors - 1.0% | |||
Genuine Parts Co. | 8,100 | 853,335 | |
LKQ Corp. (a) | 1,045,331 | 41,175,588 | |
Pool Corp. | 144,857 | 48,493,778 | |
90,522,701 | |||
Diversified Consumer Services - 1.5% | |||
Adtalem Global Education, Inc. (a) | 87,900 | 3,454,470 | |
American Public Education, Inc. (a) | 286,425 | 8,432,352 | |
Bright Horizons Family Solutions, Inc. (a) | 120,847 | 19,294,432 | |
Chegg, Inc. (a) | 157,709 | 15,223,650 | |
Frontdoor, Inc. (a) | 815,857 | 42,726,431 | |
Grand Canyon Education, Inc. (a) | 73,098 | 7,652,630 | |
H&R Block, Inc. | 254,715 | 4,898,169 | |
Houghton Mifflin Harcourt Co. (a) | 470,513 | 2,870,129 | |
OneSpaWorld Holdings Ltd. | 253,752 | 2,768,434 | |
Regis Corp. (a) | 312,386 | 3,670,536 | |
Service Corp. International | 94,776 | 4,526,502 | |
Strategic Education, Inc. | 39,004 | 3,546,244 | |
Stride, Inc. (a) | 353,898 | 8,511,247 | |
Terminix Global Holdings, Inc. (a) | 22,800 | 1,026,228 | |
WW International, Inc. (a) | 264,652 | 7,804,587 | |
136,406,041 | |||
Hotels, Restaurants & Leisure - 1.2% | |||
Brinker International, Inc. | 50,060 | 3,433,615 | |
Caesars Entertainment, Inc. (a) | 8,400 | 784,896 | |
Churchill Downs, Inc. | 20,610 | 4,753,284 | |
Darden Restaurants, Inc. | 8,600 | 1,181,038 | |
Extended Stay America, Inc. unit | 445,903 | 7,174,579 | |
Great Canadian Gaming Corp. (a)(b) | 152,676 | 5,086,801 | |
Hilton Grand Vacations, Inc. (a) | 255,600 | 10,098,756 | |
International Game Technology PLC | 172,421 | 3,153,580 | |
Kura Sushi U.S.A., Inc. Class A (a) | 17,911 | 535,360 | |
Papa John's International, Inc. | 51,177 | 4,615,654 | |
Penn National Gaming, Inc. (a) | 43,070 | 4,986,645 | |
Planet Fitness, Inc. (a) | 185,230 | 15,946,451 | |
Playa Hotels & Resorts NV (a) | 1,138,364 | 8,162,070 | |
Travel+Leisure Co. | 123,600 | 7,469,148 | |
Vail Resorts, Inc. | 60,453 | 18,690,859 | |
Wendy's Co. | 478,780 | 9,781,475 | |
Wingstop, Inc. | 11,737 | 1,597,993 | |
107,452,204 | |||
Household Durables - 1.3% | |||
Cavco Industries, Inc. (a) | 3,385 | 713,930 | |
Helen of Troy Ltd. (a) | 14,641 | 3,174,169 | |
Installed Building Products, Inc. | 100,814 | 11,025,019 | |
iRobot Corp. (a) | 11,057 | 1,372,284 | |
KB Home | 190,179 | 7,679,428 | |
La-Z-Boy, Inc. | 141,341 | 6,022,540 | |
LGI Homes, Inc. (a) | 24,359 | 2,661,221 | |
M.D.C. Holdings, Inc. | 135,000 | 7,636,950 | |
Mohawk Industries, Inc. (a) | 23,714 | 4,149,713 | |
NVR, Inc. (a) | 853 | 3,839,217 | |
PulteGroup, Inc. | 364,474 | 16,441,422 | |
Purple Innovation, Inc. (a) | 99,508 | 3,660,899 | |
Skyline Champion Corp. (a) | 148,610 | 6,575,993 | |
Sonos, Inc. (a) | 77,003 | 2,998,497 | |
Taylor Morrison Home Corp. (a) | 325,738 | 8,961,052 | |
Tempur Sealy International, Inc. | 505,617 | 16,892,664 | |
Toll Brothers, Inc. | 64,879 | 3,465,836 | |
TopBuild Corp. (a) | 24,103 | 4,589,452 | |
Whirlpool Corp. | 45,800 | 8,705,664 | |
120,565,950 | |||
Internet & Direct Marketing Retail - 0.9% | |||
Amazon.com, Inc. (a) | 3,338 | 10,324,200 | |
CarParts.com, Inc. (a)(b) | 54,980 | 974,795 | |
Chewy, Inc. (a) | 68,240 | 6,930,454 | |
Etsy, Inc. (a) | 115,826 | 25,512,993 | |
Overstock.com, Inc. (a) | 32,128 | 2,158,038 | |
PetMed Express, Inc. (b) | 8,038 | 278,999 | |
Porch Group, Inc. Class A (a)(b) | 469,927 | 8,439,889 | |
Quotient Technology, Inc. (a) | 228,431 | 3,065,544 | |
Qurate Retail, Inc. Series A | 153,648 | 1,908,308 | |
Revolve Group, Inc. (a) | 6,317 | 291,214 | |
Shutterstock, Inc. | 126,810 | 11,188,446 | |
Stamps.com, Inc. (a) | 43,773 | 7,963,622 | |
The RealReal, Inc. (a) | 65,176 | 1,664,595 | |
Waitr Holdings, Inc. (a) | 843,209 | 2,681,405 | |
83,382,502 | |||
Leisure Products - 0.7% | |||
Brunswick Corp. | 356,640 | 31,516,277 | |
Callaway Golf Co. | 219,705 | 6,140,755 | |
Clarus Corp. | 313,670 | 5,445,311 | |
Hasbro, Inc. | 25,695 | 2,407,878 | |
Malibu Boats, Inc. Class A (a) | 69,843 | 5,206,097 | |
Polaris, Inc. | 46,784 | 5,509,284 | |
Sturm, Ruger & Co., Inc. | 6,937 | 473,103 | |
YETI Holdings, Inc. (a) | 29,672 | 2,040,543 | |
58,739,248 | |||
Multiline Retail - 0.1% | |||
Dillard's, Inc. Class A | 8,250 | 657,525 | |
Kohl's Corp. | 87,200 | 4,817,800 | |
Ollie's Bargain Outlet Holdings, Inc. (a) | 34,710 | 2,869,823 | |
Target Corp. | 5,978 | 1,096,604 | |
9,441,752 | |||
Specialty Retail - 2.5% | |||
Academy Sports & Outdoors, Inc. | 110,092 | 2,637,804 | |
Advance Auto Parts, Inc. | 73,411 | 11,771,454 | |
America's Car Mart, Inc. (a) | 46,883 | 6,329,205 | |
Arko Corp. (a)(b) | 284,458 | 2,636,926 | |
AutoNation, Inc. (a) | 23,171 | 1,738,288 | |
Burlington Stores, Inc. (a) | 4,100 | 1,061,162 | |
CarMax, Inc. (a) | 14,403 | 1,721,303 | |
Destination XL Group, Inc. (a) | 1,761,550 | 1,259,508 | |
Five Below, Inc. (a) | 32,769 | 6,098,966 | |
Floor & Decor Holdings, Inc. Class A (a) | 68,720 | 6,534,585 | |
Foot Locker, Inc. | 502,359 | 24,158,444 | |
Gap, Inc. | 293,300 | 7,317,835 | |
Genesco, Inc. (a) | 38,823 | 1,744,706 | |
Group 1 Automotive, Inc. | 43,800 | 6,676,872 | |
Haverty Furniture Companies, Inc. | 111,154 | 4,020,440 | |
Lithia Motors, Inc. Class A (sub. vtg.) | 36,592 | 13,683,578 | |
Michaels Companies, Inc. (a) | 204,148 | 3,062,220 | |
Murphy U.S.A., Inc. | 55,003 | 6,856,124 | |
National Vision Holdings, Inc. (a) | 128,486 | 6,101,800 | |
Penske Automotive Group, Inc. | 90,200 | 6,131,796 | |
RH (a) | 9,549 | 4,682,543 | |
Sally Beauty Holdings, Inc. (a) | 2,764,753 | 44,512,523 | |
Sonic Automotive, Inc. Class A (sub. vtg.) | 111,800 | 5,155,098 | |
The Aaron's Co., Inc. | 25,900 | 568,764 | |
The Children's Place Retail Stores, Inc. (a)(b) | 18,822 | 1,303,424 | |
The Container Store Group, Inc. (a) | 168,180 | 2,578,199 | |
The ODP Corp. | 99,500 | 3,807,865 | |
TravelCenters of America LLC (a) | 296,352 | 7,124,302 | |
Vroom, Inc. | 643,413 | 28,471,025 | |
Williams-Sonoma, Inc. | 48,592 | 6,379,644 | |
Winmark Corp. | 1,183 | 208,788 | |
Zumiez, Inc. (a) | 80,296 | 3,619,744 | |
229,954,935 | |||
Textiles, Apparel & Luxury Goods - 1.8% | |||
Capri Holdings Ltd. (a) | 218,491 | 10,196,975 | |
Carter's, Inc. | 156,009 | 13,022,071 | |
Columbia Sportswear Co. | 11,400 | 1,174,998 | |
Crocs, Inc. (a) | 58,914 | 4,519,882 | |
Deckers Outdoor Corp. (a) | 2,700 | 880,497 | |
Hanesbrands, Inc. | 1,435,455 | 25,393,199 | |
Kontoor Brands, Inc. | 216,200 | 9,134,450 | |
Levi Strauss & Co. Class A (b) | 42,500 | 988,550 | |
PVH Corp. | 22,900 | 2,289,084 | |
Ralph Lauren Corp. | 83,311 | 9,754,052 | |
Skechers U.S.A., Inc. Class A (sub. vtg.) (a) | 1,435,508 | 52,539,593 | |
Steven Madden Ltd. | 420,447 | 15,552,335 | |
Tapestry, Inc. | 291,010 | 12,263,161 | |
Under Armour, Inc. Class C (non-vtg.) (a) | 339,283 | 6,174,951 | |
163,883,798 | |||
TOTAL CONSUMER DISCRETIONARY | 1,132,605,678 | ||
CONSUMER STAPLES - 3.4% | |||
Beverages - 0.1% | |||
Boston Beer Co., Inc. Class A (a) | 400 | 411,484 | |
Molson Coors Beverage Co. Class B | 246,908 | 10,975,061 | |
National Beverage Corp. (b) | 9,245 | 440,617 | |
11,827,162 | |||
Food & Staples Retailing - 0.8% | |||
BJ's Wholesale Club Holdings, Inc. (a) | 509,070 | 20,454,433 | |
Casey's General Stores, Inc. | 74,167 | 14,978,767 | |
Grocery Outlet Holding Corp. (a) | 65,177 | 2,345,720 | |
Ingles Markets, Inc. Class A | 51,612 | 2,681,760 | |
Performance Food Group Co. (a) | 359,251 | 19,485,774 | |
SpartanNash Co. | 128,500 | 2,342,555 | |
Sprouts Farmers Market LLC (a) | 124,700 | 2,632,417 | |
U.S. Foods Holding Corp. (a) | 205,040 | 7,475,758 | |
Weis Markets, Inc. | 60,806 | 3,250,081 | |
75,647,265 | |||
Food Products - 1.6% | |||
Beyond Meat, Inc. (a)(b) | 23,630 | 3,437,692 | |
Bunge Ltd. | 110,660 | 8,474,343 | |
Darling Ingredients, Inc. (a) | 88,125 | 5,555,400 | |
Flowers Foods, Inc. | 78,035 | 1,697,261 | |
Fresh Del Monte Produce, Inc. | 196,136 | 5,048,541 | |
Freshpet, Inc. (a) | 92,898 | 14,480,940 | |
Hostess Brands, Inc. Class A (a) | 411,947 | 5,927,917 | |
Ingredion, Inc. | 103,662 | 9,350,312 | |
J&J Snack Foods Corp. | 5,919 | 939,700 | |
John B. Sanfilippo & Son, Inc. | 3,498 | 302,437 | |
Lamb Weston Holdings, Inc. | 171,796 | 13,704,167 | |
Lancaster Colony Corp. | 7,749 | 1,353,518 | |
Nomad Foods Ltd. (a) | 1,735,526 | 40,993,124 | |
Pilgrim's Pride Corp. (a) | 238,600 | 5,342,254 | |
SunOpta, Inc. (a) | 660,639 | 10,266,330 | |
The Hain Celestial Group, Inc. (a) | 214,518 | 9,048,369 | |
The J.M. Smucker Co. | 70,000 | 7,840,000 | |
Tootsie Roll Industries, Inc. (b) | 6,920 | 213,205 | |
143,975,510 | |||
Household Products - 0.5% | |||
Central Garden & Pet Co. Class A (non-vtg.) (a) | 109,100 | 4,528,741 | |
Energizer Holdings, Inc. | 157,868 | 6,598,882 | |
Reynolds Consumer Products, Inc. | 331,100 | 9,141,671 | |
Spectrum Brands Holdings, Inc. | 323,457 | 25,084,090 | |
WD-40 Co. | 5,419 | 1,689,373 | |
47,042,757 | |||
Personal Products - 0.3% | |||
elf Beauty, Inc. (a) | 367,237 | 9,419,629 | |
Herbalife Nutrition Ltd. (a) | 44,845 | 2,017,128 | |
MediFast, Inc. | 40,984 | 10,368,542 | |
Nu Skin Enterprises, Inc. Class A | 48,569 | 2,485,761 | |
USANA Health Sciences, Inc. (a) | 4,749 | 460,938 | |
24,751,998 | |||
Tobacco - 0.1% | |||
Universal Corp. | 87,659 | 4,454,830 | |
Vector Group Ltd. | 50,450 | 688,643 | |
5,143,473 | |||
TOTAL CONSUMER STAPLES | 308,388,165 | ||
ENERGY - 1.8% | |||
Energy Equipment & Services - 0.3% | |||
Championx Corp. (a) | 445,173 | 9,468,830 | |
Dril-Quip, Inc. (a) | 162,323 | 5,512,489 | |
Halliburton Co. | 216,230 | 4,720,301 | |
Helmerich & Payne, Inc. | 177,657 | 5,104,086 | |
Nextier Oilfield Solutions, Inc. (a) | 331,142 | 1,539,810 | |
26,345,516 | |||
Oil, Gas & Consumable Fuels - 1.5% | |||
Aemetis, Inc. (a) | 240,946 | 2,368,499 | |
ARC Resources Ltd. | 369,250 | 2,211,808 | |
Cabot Oil & Gas Corp. | 20,000 | 370,200 | |
Cenovus Energy, Inc. | 374,665 | 2,776,268 | |
Cimarex Energy Co. | 144,358 | 8,371,320 | |
Delek U.S. Holdings, Inc. | 214,629 | 5,271,288 | |
Denbury, Inc. (a) | 164,848 | 7,047,252 | |
Devon Energy Corp. | 184,000 | 3,963,360 | |
Diamondback Energy, Inc. | 143,568 | 9,946,391 | |
Enerplus Corp. | 522,865 | 2,530,667 | |
Enviva Partners LP | 281,423 | 14,923,862 | |
Euronav NV (b) | 368,488 | 3,253,749 | |
Green Plains, Inc. (a) | 318,367 | 8,061,052 | |
HollyFrontier Corp. | 681,256 | 25,805,977 | |
Magnolia Oil & Gas Corp. Class A (a) | 88,600 | 1,068,516 | |
National Energy Services Reunited Corp. (a) | 167,698 | 2,221,999 | |
Navigator Holdings Ltd. (a) | 170,556 | 1,708,971 | |
PBF Energy, Inc. Class A | 36,119 | 512,890 | |
Renewable Energy Group, Inc. (a) | 5,200 | 404,404 | |
Rex American Resources Corp. (a) | 35,658 | 3,354,348 | |
Scorpio Tankers, Inc. (b) | 296,846 | 4,381,447 | |
Southwestern Energy Co. (a) | 1,089,500 | 4,412,475 | |
Talos Energy, Inc. (a) | 104,397 | 1,105,564 | |
Tourmaline Oil Corp. | 268,910 | 4,899,540 | |
W&T Offshore, Inc. (a)(b) | 28,600 | 94,094 | |
World Fuel Services Corp. | 406,535 | 12,635,108 | |
133,701,049 | |||
TOTAL ENERGY | 160,046,565 | ||
FINANCIALS - 12.0% | |||
Banks - 4.3% | |||
Associated Banc-Corp. | 39,400 | 793,910 | |
Bank of America Corp. | 74,335 | 2,580,168 | |
Bank OZK | 415,709 | 17,135,525 | |
BankUnited, Inc. | 636,731 | 25,590,219 | |
Cathay General Bancorp | 102,900 | 3,873,156 | |
CIT Group, Inc. | 69,500 | 3,151,825 | |
Citizens Financial Group, Inc. | 271,800 | 11,806,992 | |
Columbia Banking Systems, Inc. | 47,152 | 2,088,362 | |
Comerica, Inc. | 175,975 | 11,983,898 | |
Commerce Bancshares, Inc. | 110,194 | 8,157,662 | |
Cullen/Frost Bankers, Inc. | 82,445 | 8,607,258 | |
East West Bancorp, Inc. | 33,460 | 2,414,474 | |
Fifth Third Bancorp | 274,500 | 9,522,405 | |
First Citizens Bancshares, Inc. | 22,150 | 16,344,264 | |
First Financial Bankshares, Inc. | 49,447 | 2,208,303 | |
First Hawaiian, Inc. | 259,512 | 7,237,790 | |
First Horizon National Corp. | 1,548,613 | 25,087,531 | |
First Merchants Corp. | 75,285 | 3,165,734 | |
Fulton Financial Corp. | 239,600 | 3,701,820 | |
Hancock Whitney Corp. | 82,900 | 3,129,475 | |
Hanmi Financial Corp. | 108,800 | 1,862,656 | |
Hope Bancorp, Inc. | 340,100 | 4,475,716 | |
Huntington Bancshares, Inc. | 747,642 | 11,468,828 | |
Investors Bancorp, Inc. | 174,767 | 2,331,392 | |
KeyCorp | 420,100 | 8,460,814 | |
Midland States Bancorp, Inc. | 20,484 | 501,858 | |
PacWest Bancorp | 307,154 | 11,131,261 | |
Peoples Bancorp, Inc. | 40,051 | 1,247,188 | |
Preferred Bank, Los Angeles | 5,376 | 311,539 | |
Regions Financial Corp. | 486,573 | 10,038,001 | |
ServisFirst Bancshares, Inc. | 255,414 | 12,658,318 | |
Signature Bank | 57,350 | 12,521,799 | |
South State Corp. | 34,506 | 2,721,143 | |
Sterling Bancorp | 439,198 | 9,587,692 | |
SVB Financial Group (a) | 33,340 | 16,848,702 | |
Synovus Financial Corp. | 394,114 | 16,674,963 | |
TCF Financial Corp. | 18,581 | 832,800 | |
Texas Capital Bancshares, Inc. (a) | 134,559 | 10,253,396 | |
Umpqua Holdings Corp. | 604,199 | 10,313,677 | |
United Community Bank, Inc. | 130,200 | 4,304,412 | |
Valley National Bancorp | 338,053 | 4,141,149 | |
Veritex Holdings, Inc. | 111,537 | 3,243,496 | |
Webster Financial Corp. | 193,625 | 10,709,399 | |
Western Alliance Bancorp. | 261,617 | 23,940,572 | |
Wintrust Financial Corp. | 168,920 | 12,442,647 | |
Zions Bancorp NA | 331,835 | 17,643,667 | |
389,247,856 | |||
Capital Markets - 2.5% | |||
Ares Management Corp. | 103,970 | 5,404,361 | |
Artisan Partners Asset Management, Inc. | 94,454 | 4,486,565 | |
B. Riley Financial, Inc. | 180,758 | 11,897,492 | |
Cohen & Steers, Inc. | 9,283 | 597,640 | |
Diamond Hill Investment Group, Inc. | 1,161 | 164,688 | |
Evercore, Inc. Class A | 84,720 | 10,146,914 | |
FactSet Research Systems, Inc. | 42,347 | 12,869,677 | |
Federated Hermes, Inc. Class B (non-vtg.) | 37,739 | 1,008,386 | |
Focus Financial Partners, Inc. Class A (a) | 336,545 | 15,820,980 | |
FS KKR Capital Corp. | 107,750 | 2,067,723 | |
Houlihan Lokey | 20,117 | 1,278,637 | |
Lazard Ltd. Class A | 394,006 | 15,244,092 | |
LPL Financial | 373,348 | 49,110,196 | |
Moelis & Co. Class A | 336,301 | 17,366,584 | |
Morningstar, Inc. | 52,304 | 11,729,172 | |
Newtek Business Services Corp. (b) | 120,383 | 2,766,401 | |
Oaktree Specialty Lending Corp. | 926,370 | 5,697,176 | |
Open Lending Corp. (a) | 74,029 | 2,830,869 | |
PJT Partners, Inc. | 55,466 | 3,867,090 | |
Prospect Capital Corp. (b) | 499,800 | 3,643,542 | |
SEI Investments Co. | 48,217 | 2,700,152 | |
StepStone Group, Inc. Class A | 184,944 | 6,659,833 | |
Stifel Financial Corp. | 165,380 | 10,101,410 | |
Victory Capital Holdings, Inc. | 654,210 | 15,537,488 | |
WisdomTree Investments, Inc. | 1,800,693 | 9,543,673 | |
222,540,741 | |||
Consumer Finance - 1.0% | |||
Ally Financial, Inc. | 208,815 | 8,665,823 | |
Encore Capital Group, Inc. (a) | 59,069 | 1,974,086 | |
Enova International, Inc. (a) | 224,257 | 6,884,690 | |
First Cash Financial Services, Inc. | 9,100 | 576,212 | |
LendingTree, Inc. (a)(b) | 5,550 | 1,492,229 | |
Navient Corp. | 1,321,893 | 16,365,035 | |
OneMain Holdings, Inc. | 278,161 | 13,048,533 | |
PRA Group, Inc. (a) | 79,960 | 2,947,326 | |
PROG Holdings, Inc. | 137,804 | 6,890,200 | |
Regional Management Corp. | 95,000 | 3,075,150 | |
SLM Corp. | 1,083,393 | 17,106,775 | |
Synchrony Financial | 199,525 | 7,717,627 | |
86,743,686 | |||
Diversified Financial Services - 0.5% | |||
Banco Latinoamericano de Comercio Exterior SA Series E | 75,700 | 1,155,182 | |
Cannae Holdings, Inc. (a) | 245,978 | 9,187,278 | |
ECN Capital Corp. | 687,092 | 4,325,588 | |
Jaws Acquisition Corp. (a)(b) | 1,273,314 | 18,233,856 | |
Voya Financial, Inc. | 250,690 | 15,111,593 | |
48,013,497 | |||
Insurance - 2.7% | |||
Alleghany Corp. | 8,335 | 5,387,994 | |
American Equity Investment Life Holding Co. | 168,717 | 4,661,651 | |
American Financial Group, Inc. | 161,691 | 17,252,430 | |
American International Group, Inc. | 113,575 | 4,991,621 | |
Amerisafe, Inc. | 7,665 | 448,556 | |
Assurant, Inc. | 34,675 | 4,272,654 | |
Assured Guaranty Ltd. | 266,679 | 11,792,545 | |
Axis Capital Holdings Ltd. | 191,248 | 9,663,761 | |
Brown & Brown, Inc. | 9,700 | 445,230 | |
BRP Group, Inc. (a) | 18,800 | 498,764 | |
Chubb Ltd. | 13,425 | 2,182,637 | |
CNA Financial Corp. | 273,352 | 11,628,394 | |
CNO Financial Group, Inc. | 339,200 | 8,161,152 | |
Crawford & Co. Class B | 124,426 | 1,132,277 | |
eHealth, Inc. (a)(b) | 31,100 | 1,847,962 | |
Erie Indemnity Co. Class A | 9,890 | 2,394,369 | |
Everest Re Group Ltd. | 72,783 | 17,599,657 | |
First American Financial Corp. | 184,819 | 9,710,390 | |
FNF Group | 160,931 | 6,160,439 | |
Genworth Financial, Inc. Class A (a) | 729,306 | 2,275,435 | |
Globe Life, Inc. | 29,747 | 2,778,370 | |
GoHealth, Inc. (a) | 198,100 | 2,688,217 | |
Goosehead Insurance | 25,515 | 3,305,213 | |
Hanover Insurance Group, Inc. | 109,478 | 12,628,287 | |
Heritage Insurance Holdings, Inc. | 127,900 | 1,241,909 | |
Kinsale Capital Group, Inc. | 93,510 | 16,463,371 | |
Lincoln National Corp. | 138,400 | 7,870,808 | |
Old Republic International Corp. | 367,800 | 7,109,574 | |
Primerica, Inc. | 15,671 | 2,213,215 | |
ProAssurance Corp. | 198,710 | 4,918,073 | |
Reinsurance Group of America, Inc. | 133,496 | 16,317,216 | |
RenaissanceRe Holdings Ltd. | 23,266 | 3,884,957 | |
RLI Corp. | 127,368 | 13,289,577 | |
Selective Insurance Group, Inc. | 72,408 | 4,911,435 | |
Stewart Information Services Corp. | 61,617 | 2,908,322 | |
Universal Insurance Holdings, Inc. | 101,536 | 1,511,871 | |
Unum Group | 241,300 | 6,389,624 | |
White Mountains Insurance Group Ltd. | 12,336 | 14,742,260 | |
247,680,217 | |||
Mortgage Real Estate Investment Trusts - 0.3% | |||
AGNC Investment Corp. | 221,357 | 3,548,353 | |
Annaly Capital Management, Inc. | 512,600 | 4,259,706 | |
Ares Commercial Real Estate Corp. | 111,656 | 1,541,969 | |
Blackstone Mortgage Trust, Inc. | 87,307 | 2,549,364 | |
Chimera Investment Corp. | 176,100 | 2,032,194 | |
MFA Financial, Inc. | 419,200 | 1,685,184 | |
Redwood Trust, Inc. | 219,495 | 2,159,831 | |
Starwood Property Trust, Inc. | 205,210 | 4,684,944 | |
22,461,545 | |||
Thrifts & Mortgage Finance - 0.7% | |||
Axos Financial, Inc. (a) | 146,075 | 6,758,890 | |
Essent Group Ltd. | 345,322 | 14,237,626 | |
Farmer Mac Class C (non-vtg.) | 71,538 | 6,170,153 | |
HomeStreet, Inc. | 47,800 | 2,053,488 | |
MGIC Investment Corp. | 712,686 | 8,680,515 | |
Mr. Cooper Group, Inc. (a) | 123,370 | 3,879,987 | |
NMI Holdings, Inc. (a) | 115,926 | 2,650,068 | |
Pennymac Financial Services, Inc. | 84,464 | 5,001,113 | |
Radian Group, Inc. | 196,700 | 4,012,680 | |
Walker & Dunlop, Inc. | 90,567 | 9,025,907 | |
62,470,427 | |||
TOTAL FINANCIALS | 1,079,157,969 | ||
HEALTH CARE - 10.7% | |||
Biotechnology - 2.6% | |||
ACADIA Pharmaceuticals, Inc. (a) | 146,623 | 7,180,128 | |
ADC Therapeutics SA (a) | 65,646 | 1,745,527 | |
Agios Pharmaceuticals, Inc. (a) | 135,763 | 6,440,597 | |
Akebia Therapeutics, Inc. (a) | 187,897 | 650,124 | |
Albireo Pharma, Inc. (a) | 58,409 | 2,036,138 | |
Allakos, Inc. (a) | 38,633 | 4,681,547 | |
Allogene Therapeutics, Inc. (a) | 63,590 | 2,207,209 | |
Amicus Therapeutics, Inc. (a) | 94,130 | 1,155,916 | |
Applied Genetic Technologies Corp. (a)(b) | 616,021 | 3,129,387 | |
Arena Pharmaceuticals, Inc. (a) | 79,229 | 6,366,050 | |
Arrowhead Pharmaceuticals, Inc. (a) | 44,320 | 3,530,531 | |
Ascendis Pharma A/S sponsored ADR (a) | 40,330 | 6,249,940 | |
Aurinia Pharmaceuticals, Inc. (a)(b) | 46,800 | 655,200 | |
Avid Bioservices, Inc. (a) | 286,236 | 5,890,737 | |
Biohaven Pharmaceutical Holding Co. Ltd. (a) | 62,444 | 5,306,491 | |
BioMarin Pharmaceutical, Inc. (a) | 48,544 | 3,758,762 | |
Blueprint Medicines Corp. (a) | 48,172 | 4,731,454 | |
Catalyst Pharmaceutical Partners, Inc. (a) | 482,137 | 1,875,513 | |
Coherus BioSciences, Inc. (a) | 107,230 | 1,741,415 | |
Deciphera Pharmaceuticals, Inc. (a) | 175,355 | 7,677,042 | |
Emergent BioSolutions, Inc. (a) | 106,912 | 10,263,552 | |
Exact Sciences Corp. (a) | 36,417 | 4,957,082 | |
Fate Therapeutics, Inc. (a) | 73,276 | 6,574,323 | |
Global Blood Therapeutics, Inc. (a) | 75,921 | 3,234,235 | |
Halozyme Therapeutics, Inc. (a) | 285,829 | 12,933,762 | |
Heron Therapeutics, Inc. (a) | 518,161 | 9,368,351 | |
ImmunoGen, Inc. (a) | 161,400 | 1,412,250 | |
Insmed, Inc. (a) | 66,238 | 2,369,333 | |
Intellia Therapeutics, Inc. (a) | 12,950 | 782,957 | |
Iovance Biotherapeutics, Inc. (a) | 201,762 | 7,525,723 | |
Karyopharm Therapeutics, Inc. (a)(b) | 139,022 | 1,921,284 | |
Kodiak Sciences, Inc. (a) | 93,002 | 11,998,188 | |
Legend Biotech Corp. ADR | 53,871 | 1,464,214 | |
Ligand Pharmaceuticals, Inc. Class B (a)(b) | 57,890 | 8,580,456 | |
Natera, Inc. (a) | 6,600 | 766,194 | |
Neurocrine Biosciences, Inc. (a) | 201,801 | 22,099,228 | |
Precision BioSciences, Inc. (a) | 114,053 | 1,364,074 | |
PTC Therapeutics, Inc. (a) | 57,700 | 3,294,670 | |
Puma Biotechnology, Inc. (a) | 45,458 | 452,762 | |
Recro Pharma, Inc. (a) | 1,041,448 | 3,572,167 | |
Repligen Corp. (a) | 35,975 | 7,640,730 | |
Sage Therapeutics, Inc. (a) | 26,380 | 2,242,300 | |
Springworks Therapeutics, Inc. (a) | 68,814 | 5,921,445 | |
Syros Pharmaceuticals, Inc. (a) | 150,980 | 1,268,232 | |
Turning Point Therapeutics, Inc. (a) | 34,000 | 4,008,940 | |
Twist Bioscience Corp. (a) | 32,070 | 4,414,115 | |
Ultragenyx Pharmaceutical, Inc. (a) | 23,908 | 3,383,938 | |
United Therapeutics Corp. (a) | 46,200 | 7,723,716 | |
Viking Therapeutics, Inc. (a)(b) | 688,425 | 4,639,985 | |
Vir Biotechnology, Inc. (a) | 42,356 | 2,652,756 | |
235,840,670 | |||
Health Care Equipment & Supplies - 3.0% | |||
Abiomed, Inc. (a) | 35,861 | 11,638,688 | |
Atricure, Inc. (a) | 73,970 | 4,828,022 | |
Atrion Corp. | 558 | 348,694 | |
AxoGen, Inc. (a) | 826,428 | 18,264,059 | |
Axonics Modulation Technologies, Inc. (a) | 14,600 | 734,526 | |
Envista Holdings Corp. (a) | 259,591 | 10,004,637 | |
Globus Medical, Inc. (a) | 29,870 | 1,866,875 | |
Hill-Rom Holdings, Inc. | 27,600 | 2,944,092 | |
Hologic, Inc. (a) | 173,533 | 12,509,994 | |
ICU Medical, Inc. (a) | 44,990 | 9,335,425 | |
IDEXX Laboratories, Inc. (a) | 13,168 | 6,849,599 | |
Inari Medical, Inc. | 55,873 | 5,844,316 | |
Insulet Corp. (a) | 19,995 | 5,180,705 | |
Integra LifeSciences Holdings Corp. (a) | 82,145 | 5,613,789 | |
iRhythm Technologies, Inc. (a) | 19,670 | 3,164,903 | |
Masimo Corp. (a) | 30,518 | 7,651,778 | |
Merit Medical Systems, Inc. (a) | 488,632 | 27,226,575 | |
Neogen Corp. (a) | 21,029 | 1,722,696 | |
Nevro Corp. (a) | 25,352 | 4,187,643 | |
Novocure Ltd. (a) | 54,180 | 8,078,238 | |
Ortho Clinical Diagnostics Holdings PLC | 503,453 | 8,709,737 | |
Quidel Corp. (a) | 65,340 | 10,732,748 | |
Semler Scientific, Inc. (a) | 51,233 | 5,150,453 | |
Silk Road Medical, Inc. (a) | 66,143 | 3,622,652 | |
SmileDirectClub, Inc. (a)(b) | 337,460 | 3,914,536 | |
STERIS PLC | 210,645 | 36,820,746 | |
Surgalign Holdings, Inc. (a) | 2,607,381 | 6,362,010 | |
Talis Biomedical Corp. | 324,082 | 5,593,655 | |
Tandem Diabetes Care, Inc. (a) | 46,380 | 4,452,016 | |
Teleflex, Inc. | 27,968 | 11,134,620 | |
The Cooper Companies, Inc. | 20,897 | 8,068,959 | |
ViewRay, Inc. (a) | 28,496 | 124,243 | |
West Pharmaceutical Services, Inc. | 64,091 | 17,987,139 | |
270,668,768 | |||
Health Care Providers & Services - 2.4% | |||
Amedisys, Inc. (a) | 23,570 | 5,978,295 | |
AMN Healthcare Services, Inc. (a) | 159,856 | 11,648,707 | |
Castle Biosciences, Inc. (a) | 80,030 | 6,088,682 | |
Centene Corp. (a) | 136,505 | 7,991,003 | |
Chemed Corp. | 29,964 | 13,340,272 | |
Corvel Corp. (a) | 3,627 | 368,141 | |
DaVita HealthCare Partners, Inc. (a) | 63,300 | 6,464,829 | |
Encompass Health Corp. | 245,068 | 19,713,270 | |
Five Star Senior Living, Inc. (a) | 300,153 | 2,005,022 | |
Guardant Health, Inc. (a) | 50,049 | 7,366,212 | |
HealthEquity, Inc. (a) | 230,390 | 18,972,617 | |
Henry Schein, Inc. (a) | 130,604 | 8,077,857 | |
LHC Group, Inc. (a) | 28,910 | 5,253,236 | |
MEDNAX, Inc. (a) | 853,512 | 20,851,298 | |
Molina Healthcare, Inc. (a) | 113,713 | 24,648,430 | |
National Healthcare Corp. | 4,871 | 338,778 | |
National Research Corp. Class A | 5,304 | 274,058 | |
Ontrak, Inc. (a)(b) | 116,349 | 6,857,610 | |
Owens & Minor, Inc. | 48,800 | 1,659,688 | |
Premier, Inc. | 608,009 | 20,562,864 | |
Progyny, Inc. (a) | 20,600 | 867,054 | |
Quest Diagnostics, Inc. | 37,500 | 4,334,625 | |
R1 RCM, Inc. (a) | 176,543 | 4,879,649 | |
Select Medical Holdings Corp. (a) | 254,300 | 8,048,595 | |
U.S. Physical Therapy, Inc. | 5,093 | 597,103 | |
Universal Health Services, Inc. Class B | 87,107 | 10,917,120 | |
218,105,015 | |||
Health Care Technology - 0.4% | |||
American Well Corp. (b) | 96,985 | 2,373,223 | |
Certara, Inc. | 160,062 | 5,546,148 | |
Change Healthcare, Inc. (a) | 151,987 | 3,475,943 | |
iCAD, Inc. (a)(b) | 362,080 | 6,694,859 | |
Inovalon Holdings, Inc. Class A (a) | 61,530 | 1,511,177 | |
Omnicell, Inc. (a) | 79,517 | 10,090,707 | |
Phreesia, Inc. (a) | 17,400 | 1,065,750 | |
30,757,807 | |||
Life Sciences Tools & Services - 1.2% | |||
10X Genomics, Inc. (a) | 41,309 | 7,352,589 | |
Avantor, Inc. (a) | 277,979 | 7,747,275 | |
Berkeley Lights, Inc. (a) | 58,003 | 3,594,446 | |
Bio-Rad Laboratories, Inc. Class A (a) | 5,227 | 3,055,182 | |
Bio-Techne Corp. | 15,286 | 5,528,793 | |
Bruker Corp. | 53,434 | 3,258,405 | |
Charles River Laboratories International, Inc. (a) | 18,650 | 5,336,511 | |
Harvard Bioscience, Inc. (a) | 759,484 | 3,334,135 | |
ICON PLC (a) | 63,174 | 11,414,278 | |
Medpace Holdings, Inc. (a) | 25,857 | 4,199,953 | |
PPD, Inc. | 190,830 | 6,690,500 | |
PRA Health Sciences, Inc. (a) | 8,400 | 1,238,244 | |
Sotera Health Co. | 419,864 | 10,979,444 | |
Syneos Health, Inc. (a) | 487,201 | 37,684,997 | |
111,414,752 | |||
Pharmaceuticals - 1.1% | |||
Aerie Pharmaceuticals, Inc. (a)(b) | 146,429 | 2,692,829 | |
Arvinas Holding Co. LLC (a) | 46,901 | 3,672,348 | |
Catalent, Inc. (a) | 144,054 | 16,380,380 | |
Horizon Therapeutics PLC (a) | 114,290 | 10,390,104 | |
Innoviva, Inc. (a) | 267,362 | 3,055,948 | |
Jazz Pharmaceuticals PLC (a) | 90,752 | 15,249,966 | |
Lannett Co., Inc. (a) | 177,600 | 1,076,256 | |
Nektar Therapeutics (a) | 107,906 | 2,448,387 | |
Ocular Therapeutix, Inc. (a) | 314,640 | 5,770,498 | |
Pacira Biosciences, Inc. (a) | 73,602 | 5,409,747 | |
Prestige Brands Holdings, Inc. (a) | 77,789 | 3,244,579 | |
Reata Pharmaceuticals, Inc. (a) | 25,700 | 3,142,082 | |
Revance Therapeutics, Inc. (a) | 530,206 | 13,923,210 | |
Royalty Pharma PLC | 224,900 | 10,473,593 | |
Supernus Pharmaceuticals, Inc. (a) | 126,732 | 3,405,289 | |
Zogenix, Inc. (a) | 70,446 | 1,494,160 | |
101,829,376 | |||
TOTAL HEALTH CARE | 968,616,388 | ||
INDUSTRIALS - 16.8% | |||
Aerospace & Defense - 0.7% | |||
AAR Corp. | 173,349 | 6,895,823 | |
Axon Enterprise, Inc. (a) | 65,188 | 10,787,962 | |
BWX Technologies, Inc. | 69,235 | 4,016,322 | |
Cubic Corp. | 31,244 | 2,169,896 | |
Curtiss-Wright Corp. | 41,422 | 4,576,717 | |
HEICO Corp. Class A | 9,000 | 1,041,840 | |
Howmet Aerospace, Inc. | 136,452 | 3,835,666 | |
Huntington Ingalls Industries, Inc. | 83,487 | 14,686,198 | |
Mercury Systems, Inc. (a) | 86,780 | 5,671,941 | |
Moog, Inc. Class A | 52,400 | 4,069,384 | |
Textron, Inc. | 131,637 | 6,626,607 | |
64,378,356 | |||
Air Freight & Logistics - 0.8% | |||
Air Transport Services Group, Inc. (a) | 367,065 | 9,741,905 | |
Atlas Air Worldwide Holdings, Inc. (a) | 91,000 | 5,016,830 | |
C.H. Robinson Worldwide, Inc. | 228,555 | 20,764,222 | |
Forward Air Corp. | 141,323 | 12,121,274 | |
XPO Logistics, Inc. (a) | 242,728 | 28,302,085 | |
75,946,316 | |||
Airlines - 0.5% | |||
Air Canada (a) | 119,841 | 2,368,058 | |
Alaska Air Group, Inc. | 272,531 | 17,719,966 | |
JetBlue Airways Corp. (a) | 394,100 | 7,263,263 | |
SkyWest, Inc. | 310,509 | 17,503,392 | |
44,854,679 | |||
Building Products - 1.2% | |||
A.O. Smith Corp. | 53,681 | 3,187,041 | |
AAON, Inc. | 16,165 | 1,246,322 | |
Advanced Drain Systems, Inc. | 89,630 | 9,861,093 | |
Apogee Enterprises, Inc. | 76,492 | 2,860,801 | |
Armstrong World Industries, Inc. | 131,505 | 11,254,198 | |
Builders FirstSource, Inc. (a) | 96,980 | 4,195,840 | |
Caesarstone Sdot-Yam Ltd. | 392,950 | 4,955,100 | |
CSW Industrials, Inc. | 5,427 | 681,468 | |
Fortune Brands Home & Security, Inc. | 154,875 | 12,876,308 | |
Gibraltar Industries, Inc. (a) | 18,230 | 1,592,391 | |
Griffon Corp. | 160,926 | 3,958,780 | |
Lennox International, Inc. | 49,764 | 13,922,474 | |
Masonite International Corp. (a) | 158,392 | 17,378,770 | |
Owens Corning | 125,416 | 10,161,204 | |
PGT Innovations, Inc. (a) | 77,870 | 1,836,953 | |
Simpson Manufacturing Co. Ltd. | 17,239 | 1,680,113 | |
Trex Co., Inc. (a) | 115,222 | 10,558,944 | |
112,207,800 | |||
Commercial Services & Supplies - 3.1% | |||
ABM Industries, Inc. | 820,099 | 35,411,875 | |
ACCO Brands Corp. | 449,689 | 3,642,481 | |
Charah Solutions, Inc. (a)(b) | 1,275,976 | 5,205,982 | |
Cimpress PLC (a) | 112,570 | 11,153,436 | |
Clean Harbors, Inc. (a) | 221,493 | 18,860,129 | |
Copart, Inc. (a) | 34,281 | 3,742,114 | |
CoreCivic, Inc. | 499,631 | 3,587,351 | |
Covanta Holding Corp. | 142,202 | 1,997,938 | |
Deluxe Corp. | 73,600 | 2,909,408 | |
Driven Brands Holdings, Inc. (b) | 684,305 | 19,502,693 | |
Harsco Corp. (a) | 327,640 | 5,360,190 | |
Healthcare Services Group, Inc. | 244,764 | 6,963,536 | |
Herman Miller, Inc. | 403,619 | 15,480,807 | |
IAA Spinco, Inc. (a) | 365,743 | 21,443,512 | |
KAR Auction Services, Inc. | 585,296 | 8,141,467 | |
Marlowe PLC (a) | 1,379,417 | 13,068,266 | |
MSA Safety, Inc. | 103,860 | 16,720,421 | |
Pitney Bowes, Inc. | 93,400 | 792,032 | |
Ritchie Bros. Auctioneers, Inc. | 487,550 | 26,483,716 | |
Rollins, Inc. | 87,727 | 2,909,905 | |
Steelcase, Inc. Class A | 233,100 | 3,249,414 | |
Stericycle, Inc. (a) | 133,860 | 8,683,498 | |
The Brink's Co. | 223,630 | 17,181,493 | |
U.S. Ecology, Inc. (a) | 67,027 | 2,561,102 | |
UniFirst Corp. | 33,457 | 8,106,297 | |
Viad Corp. | 55,620 | 2,327,141 | |
Waste Connection, Inc. (United States) | 181,104 | 17,692,050 | |
283,178,254 | |||
Construction & Engineering - 0.7% | |||
AECOM (a) | 248,989 | 14,413,973 | |
Aegion Corp. (a) | 140,158 | 3,623,084 | |
Argan, Inc. | 93,430 | 4,673,369 | |
Comfort Systems U.S.A., Inc. | 79,520 | 4,925,469 | |
EMCOR Group, Inc. | 23,652 | 2,302,995 | |
Jacobs Engineering Group, Inc. | 49,040 | 5,643,523 | |
MasTec, Inc. (a) | 124,676 | 10,815,643 | |
Willscot Mobile Mini Holdings (a) | 500,453 | 13,877,562 | |
60,275,618 | |||
Electrical Equipment - 1.8% | |||
Acuity Brands, Inc. | 55,257 | 6,813,188 | |
American Superconductor Corp. (a) | 45,767 | 1,088,797 | |
AMETEK, Inc. | 34,222 | 4,037,169 | |
Atkore, Inc. (a) | 195,580 | 13,230,987 | |
Babcock & Wilcox Enterprises, Inc. (a) | 781,701 | 5,534,443 | |
EnerSys | 48,479 | 4,376,684 | |
Generac Holdings, Inc. (a) | 160,446 | 52,876,584 | |
GrafTech International Ltd. | 645,792 | 7,639,719 | |
Hubbell, Inc. Class B | 21,503 | 3,816,998 | |
nVent Electric PLC | 114,314 | 3,001,886 | |
Plug Power, Inc. (a) | 137,745 | 6,664,103 | |
Regal Beloit Corp. | 81,698 | 11,165,666 | |
Sensata Technologies, Inc. PLC (a) | 644,430 | 36,919,395 | |
Shoals Technologies Group, Inc. | 114,109 | 3,722,236 | |
TPI Composites, Inc. (a) | 34,116 | 1,625,969 | |
162,513,824 | |||
Industrial Conglomerates - 0.0% | |||
Carlisle Companies, Inc. | 7,300 | 1,060,325 | |
Machinery - 3.8% | |||
AGCO Corp. | 80,800 | 10,461,984 | |
Allison Transmission Holdings, Inc. | 168,400 | 6,385,728 | |
Altra Industrial Motion Corp. | 42,322 | 2,451,290 | |
Barnes Group, Inc. | 18,433 | 964,968 | |
Chart Industries, Inc. (a) | 6,000 | 858,540 | |
Colfax Corp. (a) | 63,600 | 2,820,660 | |
Commercial Vehicle Group, Inc. (a) | 433,396 | 3,982,909 | |
Crane Co. | 145,111 | 12,169,008 | |
Donaldson Co., Inc. | 50,014 | 2,946,325 | |
Douglas Dynamics, Inc. | 124,897 | 6,017,537 | |
Energy Recovery, Inc. (a) | 209,971 | 3,695,490 | |
Evoqua Water Technologies Corp. (a) | 211,730 | 5,197,972 | |
Flowserve Corp. | 14,900 | 551,300 | |
Gorman-Rupp Co. | 7,450 | 238,326 | |
Graco, Inc. | 66,107 | 4,584,520 | |
Helios Technologies, Inc. | 89,324 | 5,841,790 | |
Hillenbrand, Inc. | 242,278 | 11,256,236 | |
IDEX Corp. | 68,810 | 13,429,648 | |
Ingersoll Rand, Inc. (a) | 119,882 | 5,555,332 | |
ITT, Inc. | 50,361 | 4,178,956 | |
John Bean Technologies Corp. | 76,501 | 11,289,253 | |
Kennametal, Inc. | 377,459 | 14,101,868 | |
Lincoln Electric Holdings, Inc. | 163,050 | 19,257,836 | |
Meritor, Inc. (a) | 219,680 | 6,671,682 | |
Middleby Corp. (a) | 132,224 | 19,358,916 | |
Mueller Industries, Inc. | 22,519 | 915,172 | |
Nordson Corp. | 85,173 | 16,388,137 | |
Omega Flex, Inc. | 1,162 | 200,445 | |
Oshkosh Corp. | 192,921 | 20,449,626 | |
Pentair PLC | 107,820 | 6,030,373 | |
Proto Labs, Inc. (a) | 10,590 | 1,542,751 | |
RBC Bearings, Inc. (a) | 66,598 | 13,256,998 | |
Rexnord Corp. | 47,844 | 2,150,588 | |
Snap-On, Inc. | 115,389 | 23,436,660 | |
Tennant Co. | 187,489 | 14,286,662 | |
Terex Corp. | 91,081 | 3,750,716 | |
The Shyft Group, Inc. | 84,559 | 2,781,146 | |
Timken Co. | 80,100 | 6,275,835 | |
Toro Co. | 248,184 | 25,009,502 | |
TriMas Corp. (a) | 16,999 | 570,996 | |
Welbilt, Inc. (a) | 392,546 | 6,272,885 | |
Woodward, Inc. | 183,032 | 20,905,915 | |
338,492,481 | |||
Marine - 0.7% | |||
Danaos Corp. (a)(b) | 71,302 | 2,961,885 | |
Kirby Corp. (a) | 246,250 | 15,405,400 | |
Matson, Inc. | 602,134 | 41,709,822 | |
60,077,107 | |||
Professional Services - 1.3% | |||
Acacia Research Corp. (a) | 1,990,027 | 14,129,192 | |
ASGN, Inc. (a) | 111,602 | 10,375,638 | |
Barrett Business Services, Inc. | 3,027 | 215,522 | |
CoreLogic, Inc. | 31,508 | 2,667,467 | |
CoStar Group, Inc. (a) | 8,617 | 7,098,340 | |
Exponent, Inc. | 20,470 | 1,974,741 | |
FTI Consulting, Inc. (a) | 58,050 | 6,649,628 | |
Insperity, Inc. | 6,548 | 580,808 | |
Kforce, Inc. | 7,658 | 393,238 | |
Korn Ferry | 150,711 | 9,276,262 | |
Manpower, Inc. | 83,127 | 7,850,514 | |
Nielsen Holdings PLC | 193,168 | 4,328,895 | |
Robert Half International, Inc. | 188,837 | 14,689,630 | |
TransUnion Holding Co., Inc. | 161,040 | 13,561,178 | |
TriNet Group, Inc. (a) | 336,878 | 27,041,197 | |
120,832,250 | |||
Road & Rail - 0.7% | |||
Daseke, Inc. (a) | 1,013,366 | 5,593,780 | |
Heartland Express, Inc. | 241,421 | 4,393,862 | |
HyreCar, Inc. (a) | 317,454 | 3,266,602 | |
Kansas City Southern | 26,710 | 5,671,601 | |
Knight-Swift Transportation Holdings, Inc. Class A | 503,700 | 21,759,840 | |
Landstar System, Inc. | 103,831 | 16,627,496 | |
Schneider National, Inc. Class B | 44,100 | 1,020,033 | |
Yellow Corp. (a) | 813,059 | 4,853,962 | |
63,187,176 | |||
Trading Companies & Distributors - 1.5% | |||
Air Lease Corp. Class A | 31,200 | 1,430,832 | |
Alta Equipment Group, Inc. (a) | 570,847 | 6,056,687 | |
BlueLinx Corp. (a) | 198,180 | 7,947,018 | |
Boise Cascade Co. | 15,542 | 776,167 | |
CAI International, Inc. | 294,961 | 12,978,284 | |
EVI Industries, Inc. (a)(b) | 83,160 | 3,043,656 | |
GATX Corp. | 84,110 | 8,026,617 | |
H&E Equipment Services, Inc. | 56,966 | 1,761,958 | |
MRC Global, Inc. (a) | 692,168 | 6,049,548 | |
MSC Industrial Direct Co., Inc. Class A | 49,319 | 4,247,845 | |
Nesco Holdings, Inc. Class A (a) | 635,798 | 5,149,964 | |
SiteOne Landscape Supply, Inc. (a) | 80,511 | 12,761,799 | |
Transcat, Inc. (a) | 168,250 | 7,542,648 | |
Triton International Ltd. | 237,096 | 13,699,407 | |
United Rentals, Inc. (a) | 81,113 | 24,121,384 | |
Watsco, Inc. | 13,015 | 3,163,947 | |
WESCO International, Inc. (a) | 159,207 | 12,781,138 | |
131,538,899 | |||
Transportation Infrastructure - 0.0% | |||
Macquarie Infrastructure Co. LLC | 28,985 | 908,390 | |
TOTAL INDUSTRIALS | 1,519,451,475 | ||
INFORMATION TECHNOLOGY - 16.6% | |||
Communications Equipment - 0.5% | |||
Applied Optoelectronics, Inc. (a) | 119,686 | 1,116,072 | |
Calix Networks, Inc. (a) | 98,817 | 3,904,260 | |
Ciena Corp. (a) | 67,500 | 3,521,475 | |
CommScope Holding Co., Inc. (a) | 212,093 | 3,094,437 | |
DZS, Inc. (a) | 339,193 | 5,644,172 | |
F5 Networks, Inc. (a) | 35,000 | 6,649,300 | |
Juniper Networks, Inc. | 341,848 | 7,958,221 | |
NetScout Systems, Inc. (a) | 133,507 | 3,767,568 | |
Nokia Corp. sponsored ADR (a) | 376,592 | 1,476,241 | |
Radware Ltd. (a) | 128,952 | 3,360,489 | |
Viavi Solutions, Inc. (a) | 285,660 | 4,623,407 | |
45,115,642 | |||
Electronic Equipment & Components - 2.2% | |||
Akoustis Technologies, Inc. (a) | 219,826 | 3,141,314 | |
Arrow Electronics, Inc. (a) | 115,729 | 11,602,990 | |
Avnet, Inc. | 188,870 | 7,190,281 | |
Badger Meter, Inc. | 11,546 | 1,253,780 | |
Belden, Inc. | 811,037 | 35,855,946 | |
Cognex Corp. | 299,159 | 24,707,542 | |
Dolby Laboratories, Inc. Class A | 67,026 | 6,543,748 | |
ePlus, Inc. (a) | 48,637 | 4,599,115 | |
Flex Ltd. (a) | 195,149 | 3,549,760 | |
FLIR Systems, Inc. | 51,994 | 2,776,480 | |
Identiv, Inc. (a) | 445,963 | 4,968,028 | |
Insight Enterprises, Inc. (a) | 82,292 | 6,878,788 | |
IPG Photonics Corp. (a) | 35,239 | 8,011,587 | |
Jabil, Inc. | 170,200 | 7,347,534 | |
Littelfuse, Inc. | 18,566 | 4,831,245 | |
Napco Security Technolgies, Inc. (a) | 4,670 | 145,377 | |
National Instruments Corp. | 788 | 34,987 | |
Novanta, Inc. (a) | 37,256 | 4,930,086 | |
OSI Systems, Inc. (a) | 9,700 | 917,814 | |
Powerfleet, Inc. (a) | 842,663 | 6,631,758 | |
Rogers Corp. (a) | 7,405 | 1,343,859 | |
Sanmina Corp. (a) | 163,100 | 5,809,622 | |
ScanSource, Inc. (a) | 81,755 | 2,325,112 | |
Seeing Machines Ltd. (a) | 7,272,309 | 977,717 | |
SYNNEX Corp. | 130,443 | 11,630,298 | |
Trimble, Inc. (a) | 218,080 | 16,168,451 | |
TTM Technologies, Inc. (a) | 236,200 | 3,335,144 | |
Vishay Intertechnology, Inc. | 543,565 | 12,974,897 | |
200,483,260 | |||
IT Services - 3.8% | |||
Amdocs Ltd. | 222,930 | 16,900,323 | |
Black Knight, Inc. (a) | 234,071 | 17,950,905 | |
BM Technologies, Inc. (a)(b) | 164,456 | 2,072,146 | |
Booz Allen Hamilton Holding Corp. Class A | 29,958 | 2,310,960 | |
Broadridge Financial Solutions, Inc. | 97,950 | 13,956,896 | |
CACI International, Inc. Class A (a) | 4,400 | 973,896 | |
Cardtronics PLC (a) | 10,437 | 402,346 | |
Cass Information Systems, Inc. | 4,746 | 204,458 | |
Computer Services, Inc. | 189,379 | 11,362,740 | |
Concentrix Corp. (a) | 116,044 | 14,332,594 | |
CSG Systems International, Inc. | 13,118 | 605,396 | |
DXC Technology Co. | 171,645 | 4,328,887 | |
Equiniti Group PLC (c) | 5,798,180 | 11,470,795 | |
Euronet Worldwide, Inc. (a) | 247,119 | 37,144,457 | |
EVERTEC, Inc. | 128,545 | 5,000,401 | |
Gartner, Inc. (a) | 86,411 | 15,471,025 | |
Genpact Ltd. | 125,670 | 5,082,095 | |
GoDaddy, Inc. (a) | 104,762 | 8,498,293 | |
Hackett Group, Inc. | 10,735 | 167,681 | |
Jack Henry & Associates, Inc. | 25,910 | 3,846,080 | |
Maximus, Inc. | 101,908 | 8,283,082 | |
MoneyGram International, Inc. (a) | 1,029,107 | 6,864,144 | |
MongoDB, Inc. Class A (a) | 22,880 | 8,830,078 | |
NIC, Inc. | 26,576 | 922,453 | |
Perficient, Inc. (a) | 13,184 | 734,217 | |
Perspecta, Inc. | 75,231 | 2,196,745 | |
PFSweb, Inc. (a) | 701,451 | 4,924,186 | |
Rackspace Technology, Inc. (a)(b) | 266,980 | 5,611,920 | |
Science Applications International Corp. | 95,375 | 8,214,649 | |
Shift4 Payments, Inc. | 59,415 | 4,545,248 | |
Switch, Inc. Class A | 378,735 | 6,567,265 | |
Sykes Enterprises, Inc. (a) | 77,311 | 3,158,927 | |
The Western Union Co. | 154,700 | 3,592,134 | |
Ttec Holdings, Inc. | 42,166 | 3,547,847 | |
Unisys Corp. (a) | 1,645,826 | 40,405,028 | |
WEX, Inc. (a) | 78,961 | 16,451,524 | |
Wix.com Ltd. (a) | 97,992 | 34,157,071 | |
WNS Holdings Ltd. sponsored ADR (a) | 150,907 | 11,274,262 | |
342,363,154 | |||
Semiconductors & Semiconductor Equipment - 2.6% | |||
Ambarella, Inc. (a) | 7,651 | 860,661 | |
Amkor Technology, Inc. | 391,000 | 9,340,990 | |
Amtech Systems, Inc. (a) | 122,034 | 1,170,306 | |
Array Technologies, Inc. | 74,517 | 2,763,090 | |
AXT, Inc. (a) | 534,669 | 6,913,270 | |
Cirrus Logic, Inc. (a) | 6,200 | 507,036 | |
CMC Materials, Inc. | 80,269 | 13,685,865 | |
Cree, Inc. (a) | 29,742 | 3,374,527 | |
Diodes, Inc. (a) | 31,800 | 2,496,936 | |
Enphase Energy, Inc. (a) | 24,980 | 4,397,979 | |
Entegris, Inc. | 149,532 | 15,732,262 | |
Himax Technologies, Inc. sponsored ADR (a) | 121,556 | 1,637,359 | |
Impinj, Inc. (a) | 11,356 | 726,443 | |
Kulicke & Soffa Industries, Inc. | 146,526 | 7,305,786 | |
Lattice Semiconductor Corp. (a) | 248,036 | 11,935,492 | |
MACOM Technology Solutions Holdings, Inc. (a) | 79,580 | 5,120,973 | |
MagnaChip Semiconductor Corp. (a) | 165,396 | 3,091,251 | |
MaxLinear, Inc. Class A (a) | 195,546 | 7,776,864 | |
MKS Instruments, Inc. | 72,059 | 11,882,529 | |
Monolithic Power Systems, Inc. | 76,119 | 28,508,088 | |
NVE Corp. | 1,927 | 135,796 | |
ON Semiconductor Corp. (a) | 1,474,839 | 59,391,767 | |
Power Integrations, Inc. | 23,701 | 2,094,457 | |
Semtech Corp. (a) | 195,185 | 14,309,012 | |
SolarEdge Technologies, Inc. (a) | 19,874 | 5,928,613 | |
Ultra Clean Holdings, Inc. (a) | 122,811 | 5,695,974 | |
Universal Display Corp. | 50,300 | 10,648,007 | |
237,431,333 | |||
Software - 6.8% | |||
2U, Inc. (a) | 876,023 | 34,716,791 | |
8x8, Inc.(a) | 305,895 | 10,464,668 | |
ACI Worldwide, Inc. (a) | 495,071 | 18,941,416 | |
Anaplan, Inc. (a) | 97,159 | 6,314,363 | |
Aspen Technology, Inc. (a) | 93,937 | 14,138,458 | |
Avalara, Inc. (a) | 46,223 | 7,254,238 | |
Avaya Holdings Corp. (a) | 363,390 | 10,781,781 | |
Blackbaud, Inc. | 12,400 | 853,368 | |
CDK Global, Inc. | 498,218 | 24,980,651 | |
Ceridian HCM Holding, Inc. (a) | 13,900 | 1,246,274 | |
ChannelAdvisor Corp. (a) | 217,499 | 4,915,477 | |
Cloudera, Inc. (a) | 260,416 | 4,203,114 | |
CommVault Systems, Inc. (a) | 139,600 | 8,896,708 | |
Cornerstone OnDemand, Inc. (a) | 65,746 | 3,321,488 | |
Coupa Software, Inc. (a) | 15,100 | 5,228,526 | |
Datadog, Inc. Class A (a) | 36,250 | 3,458,613 | |
Domo, Inc. Class B (a) | 116,145 | 7,401,921 | |
Dynatrace, Inc. (a) | 164,540 | 8,187,510 | |
Ebix, Inc. | 9,318 | 227,173 | |
Elastic NV (a) | 5,400 | 725,706 | |
Enghouse Systems Ltd. | 179,651 | 7,800,970 | |
Everbridge, Inc. (a) | 4,403 | 674,672 | |
Fair Isaac Corp. (a) | 25,540 | 11,685,827 | |
FireEye, Inc. (a) | 372,885 | 7,204,138 | |
Five9, Inc. (a) | 45,130 | 8,359,881 | |
GTY Technology Holdings, Inc. (a) | 535,609 | 3,926,014 | |
Guidewire Software, Inc. (a) | 96,228 | 10,680,346 | |
HubSpot, Inc. (a) | 20,567 | 10,592,005 | |
InterDigital, Inc. | 88,200 | 5,589,234 | |
j2 Global, Inc. (a) | 858,608 | 95,631,759 | |
Kaleyra, Inc. (a)(b) | 377,906 | 7,097,075 | |
LivePerson, Inc. (a) | 90,442 | 5,934,804 | |
Manhattan Associates, Inc. (a) | 85,691 | 10,535,708 | |
Microsoft Corp. | 18,327 | 4,258,828 | |
Mimecast Ltd. (a) | 41,608 | 1,784,151 | |
New Relic, Inc. (a) | 177,600 | 10,858,464 | |
NortonLifeLock, Inc. | 30,900 | 602,859 | |
Nuance Communications, Inc. (a) | 387,720 | 17,292,312 | |
Paylocity Holding Corp. (a) | 14,724 | 2,815,082 | |
Pluralsight, Inc. (a) | 776,275 | 15,983,502 | |
Proofpoint, Inc. (a) | 192,476 | 23,274,198 | |
PTC, Inc. (a) | 203,176 | 27,822,921 | |
Q2 Holdings, Inc. (a) | 116,221 | 14,165,015 | |
Qualys, Inc. (a) | 68,439 | 6,649,533 | |
Qumu Corp. (a) | 257,229 | 2,307,344 | |
Rapid7, Inc. (a) | 12,919 | 984,945 | |
RealPage, Inc. (a) | 19,400 | 1,683,532 | |
RingCentral, Inc. (a) | 39,180 | 14,816,309 | |
Smartsheet, Inc. (a) | 93,674 | 6,486,925 | |
SolarWinds, Inc. (a) | 835,032 | 13,519,168 | |
Sprout Social, Inc. (a) | 14,603 | 992,566 | |
SPS Commerce, Inc. (a) | 13,930 | 1,403,169 | |
SS&C Technologies Holdings, Inc. | 292,894 | 19,413,014 | |
Sumo Logic, Inc. (b) | 122,620 | 3,725,196 | |
Tenable Holdings, Inc. (a) | 15,000 | 613,650 | |
The Trade Desk, Inc. (a) | 4,147 | 3,339,952 | |
Tyler Technologies, Inc. (a) | 26,770 | 12,405,753 | |
Upland Software, Inc. (a) | 89,091 | 4,403,768 | |
Varonis Systems, Inc. (a) | 44,440 | 8,156,518 | |
Workiva, Inc. (a) | 5,700 | 576,555 | |
Zendesk, Inc. (a) | 125,760 | 18,378,566 | |
Zix Corp. (a) | 207,952 | 1,534,686 | |
Zoom Video Communications, Inc. Class A (a) | 31,547 | 11,786,275 | |
614,005,433 | |||
Technology Hardware, Storage & Peripherals - 0.7% | |||
Avid Technology, Inc. (a) | 256,291 | 4,969,482 | |
Diebold Nixdorf, Inc. (a) | 764,858 | 11,105,738 | |
NCR Corp. (a) | 688,855 | 23,944,600 | |
Quantum Corp. (a) | 294,913 | 2,459,574 | |
Seagate Technology LLC | 118,000 | 8,641,140 | |
Western Digital Corp. | 73,464 | 5,034,488 | |
Xerox Holdings Corp. | 235,150 | 5,991,622 | |
62,146,644 | |||
TOTAL INFORMATION TECHNOLOGY | 1,501,545,466 | ||
MATERIALS - 3.8% | |||
Chemicals - 1.3% | |||
Axalta Coating Systems Ltd. (a) | 414,266 | 11,326,032 | |
Balchem Corp. | 19,027 | 2,271,063 | |
Cabot Corp. | 95,800 | 4,716,234 | |
Chase Corp. | 2,920 | 314,426 | |
Eastman Chemical Co. | 25,900 | 2,829,834 | |
Element Solutions, Inc. | 38,700 | 698,535 | |
FMC Corp. | 71,106 | 7,230,769 | |
GCP Applied Technologies, Inc. (a) | 166,719 | 4,132,964 | |
Huntsman Corp. | 345,460 | 9,431,058 | |
Ingevity Corp. (a) | 161,707 | 11,235,402 | |
Innospec, Inc. | 60,279 | 6,055,026 | |
Minerals Technologies, Inc. | 42,244 | 3,009,040 | |
NewMarket Corp. | 2,902 | 1,099,800 | |
Olin Corp. | 32,514 | 1,005,983 | |
Orion Engineered Carbons SA | 330,996 | 5,858,629 | |
PQ Group Holdings, Inc. | 234,263 | 3,598,280 | |
RPM International, Inc. | 2,277 | 181,340 | |
Sensient Technologies Corp. | 16,796 | 1,307,569 | |
Stepan Co. | 8,443 | 1,018,986 | |
The Chemours Co. LLC | 183,400 | 4,315,402 | |
The Mosaic Co. | 214,598 | 6,309,181 | |
Trinseo SA | 207,641 | 13,436,449 | |
Valvoline, Inc. | 469,917 | 11,729,128 | |
Westlake Chemical Corp. | 50,682 | 4,337,872 | |
117,449,002 | |||
Construction Materials - 0.0% | |||
Summit Materials, Inc. (a) | 55,900 | 1,548,989 | |
Containers & Packaging - 1.8% | |||
Aptargroup, Inc. | 153,648 | 19,984,995 | |
Berry Global Group, Inc. (a) | 515,219 | 28,543,133 | |
CCL Industries, Inc. Class B | 387,923 | 20,432,562 | |
Crown Holdings, Inc. | 137,685 | 13,157,179 | |
Graphic Packaging Holding Co. | 1,531,826 | 24,310,079 | |
Greif, Inc. Class A | 139,208 | 6,723,746 | |
O-I Glass, Inc. | 222,299 | 2,596,452 | |
Packaging Corp. of America | 37,606 | 4,964,744 | |
Pactiv Evergreen, Inc. | 337,607 | 4,719,746 | |
Ranpak Holdings Corp. (A Shares) (a) | 603,173 | 10,863,146 | |
Sealed Air Corp. | 163,249 | 6,840,133 | |
Silgan Holdings, Inc. | 167,400 | 6,287,544 | |
Sonoco Products Co. | 39,803 | 2,371,065 | |
WestRock Co. | 215,948 | 9,413,173 | |
161,207,697 | |||
Metals & Mining - 0.6% | |||
Arconic Rolled Products Corp. (a) | 36,530 | 800,738 | |
Carpenter Technology Corp. | 209,665 | 8,524,979 | |
Coeur d'Alene Mines Corp. (a) | 234,278 | 2,110,845 | |
Commercial Metals Co. | 235,652 | 5,926,648 | |
Ferroglobe Representation & Warranty Insurance (a)(d) | 495,885 | 5 | |
Materion Corp. | 55,181 | 3,778,795 | |
Nouveau Monde Graphite, Inc. (a) | 1,031,923 | 1,637,973 | |
Reliance Steel & Aluminum Co. | 154,882 | 20,475,400 | |
Steel Dynamics, Inc. | 239,053 | 9,939,824 | |
Worthington Industries, Inc. | 14,300 | 913,627 | |
54,108,834 | |||
Paper & Forest Products - 0.1% | |||
Domtar Corp. | 79,600 | 2,949,180 | |
Neenah, Inc. | 6,662 | 368,542 | |
Schweitzer-Mauduit International, Inc. | 153,809 | 7,182,880 | |
West Fraser Timber Co. Ltd. | 18,630 | 1,272,615 | |
11,773,217 | |||
TOTAL MATERIALS | 346,087,739 | ||
REAL ESTATE - 2.6% | |||
Equity Real Estate Investment Trusts (REITs) - 2.4% | |||
American Campus Communities, Inc. | 315,396 | 12,918,620 | |
Americold Realty Trust | 55,134 | 1,931,895 | |
Apartment Income (REIT) Corp. | 21,870 | 894,046 | |
Brandywine Realty Trust (SBI) | 338,200 | 4,136,186 | |
Brixmor Property Group, Inc. | 313,300 | 6,165,744 | |
Camden Property Trust (SBI) | 77,573 | 8,079,228 | |
City Office REIT, Inc. | 182,900 | 1,858,264 | |
CorEnergy Infrastructure Trust, Inc. | 84,100 | 628,227 | |
CoreSite Realty Corp. | 7,200 | 876,312 | |
Cousins Properties, Inc. | 371,624 | 12,464,269 | |
CubeSmart | 524,411 | 19,382,231 | |
CyrusOne, Inc. | 13,900 | 912,257 | |
DiamondRock Hospitality Co. (a) | 394,700 | 3,994,364 | |
Diversified Healthcare Trust (SBI) | 596,834 | 2,685,753 | |
EastGroup Properties, Inc. | 87,971 | 11,973,733 | |
Empire State Realty Trust, Inc. | 70,400 | 775,104 | |
Franklin Street Properties Corp. | 275,093 | 1,364,461 | |
Gaming & Leisure Properties | 29,627 | 1,315,439 | |
Global Net Lease, Inc. | 190,184 | 3,533,619 | |
Industrial Logistics Properties Trust | 136,179 | 2,896,527 | |
Lexington Corporate Properties Trust | 72,800 | 780,416 | |
MGM Growth Properties LLC | 246,060 | 8,124,901 | |
Mid-America Apartment Communities, Inc. | 98,537 | 13,275,890 | |
National Retail Properties, Inc. | 280,389 | 12,292,254 | |
Office Properties Income Trust | 132,285 | 3,345,488 | |
Omega Healthcare Investors, Inc. | 150,100 | 5,574,714 | |
Outfront Media, Inc. | 456,343 | 9,254,636 | |
Physicians Realty Trust | 418,739 | 7,118,563 | |
Piedmont Office Realty Trust, Inc. Class A | 383,800 | 6,547,628 | |
Plymouth Industrial REIT, Inc. | 36,400 | 543,088 | |
Potlatch Corp. | 14,600 | 740,950 | |
Preferred Apartment Communities, Inc. Class A | 193,740 | 1,594,480 | |
Retail Value, Inc. | 40,565 | 677,436 | |
RLJ Lodging Trust | 385,396 | 6,050,717 | |
Sabra Health Care REIT, Inc. | 317,800 | 5,472,516 | |
Safehold, Inc. | 49,466 | 3,771,783 | |
Service Properties Trust | 254,722 | 3,270,630 | |
SITE Centers Corp. | 305,700 | 4,078,038 | |
SL Green Realty Corp. | 21,684 | 1,497,714 | |
Spirit Realty Capital, Inc. | 59,776 | 2,571,564 | |
Stag Industrial, Inc. | 217,915 | 6,875,218 | |
Summit Hotel Properties, Inc. | 198,800 | 2,057,580 | |
The GEO Group, Inc. (b) | 154,500 | 1,112,400 | |
Uniti Group, Inc. | 40,500 | 482,355 | |
VEREIT, Inc. | 220,320 | 8,592,480 | |
214,489,718 | |||
Real Estate Management & Development - 0.2% | |||
Cushman & Wakefield PLC (a) | 618,842 | 9,579,674 | |
Howard Hughes Corp. (a) | 10,700 | 1,015,109 | |
Jones Lang LaSalle, Inc. (a) | 17,211 | 2,994,370 | |
Newmark Group, Inc. | 236,410 | 2,368,828 | |
15,957,981 | |||
TOTAL REAL ESTATE | 230,447,699 | ||
UTILITIES - 0.9% | |||
Electric Utilities - 0.3% | |||
IDACORP, Inc. | 108,328 | 9,342,207 | |
NRG Energy, Inc. | 220,200 | 8,039,502 | |
Pinnacle West Capital Corp. | 59,944 | 4,191,884 | |
21,573,593 | |||
Gas Utilities - 0.3% | |||
Atmos Energy Corp. | 140,370 | 11,876,706 | |
National Fuel Gas Co. | 107,300 | 4,875,712 | |
South Jersey Industries, Inc. | 23,700 | 595,107 | |
Southwest Gas Holdings, Inc. | 84,672 | 5,279,299 | |
UGI Corp. | 123,200 | 4,719,792 | |
27,346,616 | |||
Independent Power and Renewable Electricity Producers - 0.2% | |||
Brookfield Renewable Corp. | 12,500 | 577,250 | |
Sunnova Energy International, Inc. (a) | 12,800 | 573,952 | |
The AES Corp. | 153,943 | 4,088,726 | |
Vistra Corp. | 787,296 | 13,580,856 | |
18,820,784 | |||
Multi-Utilities - 0.1% | |||
CenterPoint Energy, Inc. | 117,491 | 2,284,025 | |
MDU Resources Group, Inc. | 294,700 | 8,281,070 | |
10,565,095 | |||
TOTAL UTILITIES | 78,306,088 | ||
TOTAL COMMON STOCKS | |||
(Cost $4,999,672,441) | 7,494,932,670 | ||
Convertible Preferred Stocks - 0.0% | |||
CONSUMER DISCRETIONARY - 0.0% | |||
Internet & Direct Marketing Retail - 0.0% | |||
The Honest Co., Inc. Series D (a)(d)(e) | |||
(Cost $257,662) | 6,381 | 194,234 | |
Equity Funds - 15.0% | |||
Mid-Cap Blend Funds - 0.2% | |||
Fidelity SAI Small-Mid Cap 500 Index Fund (f) | 1,330,691 | 20,199,891 | |
Sector Funds - 0.9% | |||
Fidelity SAI Real Estate Index Fund (f) | 7,252,625 | 78,038,248 | |
Small Blend Funds - 9.9% | |||
Fidelity Small Cap Discovery Fund (f) | 2,137,037 | 57,016,149 | |
Fidelity Small Cap Index Fund (f) | 18,643,736 | 519,600,894 | |
PIMCO StocksPLUS Small Fund Institutional Class | 21,582,594 | 266,329,207 | |
Vulcan Value Partners Small Cap Fund | 2,642,673 | 52,694,897 | |
TOTAL SMALL BLEND FUNDS | 895,641,147 | ||
Small Growth Funds - 3.3% | |||
Fidelity Small Cap Growth Fund (f) | 2,552,898 | 92,619,147 | |
T. Rowe Price Institutional Small-Cap Stock Fund | 6,303,055 | 205,290,500 | |
TOTAL SMALL GROWTH FUNDS | 297,909,647 | ||
Small Value Funds - 0.7% | |||
Royce Opportunity Fund Service Class (a) | 3,733,229 | 65,368,838 | |
TOTAL EQUITY FUNDS | |||
(Cost $923,267,470) | 1,357,157,771 | ||
Money Market Funds - 3.2% | |||
Fidelity Cash Central Fund 0.07% (g) | 2,282,094 | 2,282,550 | |
Fidelity Securities Lending Cash Central Fund 0.08% (g)(h) | 94,012,735 | 94,022,136 | |
State Street Institutional U.S. Government Money Market Fund Premier Class .03% (i) | 188,861,834 | 188,861,834 | |
TOTAL MONEY MARKET FUNDS | |||
(Cost $285,166,520) | 285,166,520 | ||
TOTAL INVESTMENT IN SECURITIES - 101.2% | |||
(Cost $6,208,364,093) | 9,137,451,195 | ||
NET OTHER ASSETS (LIABILITIES) - (1.2)% | (111,200,883) | ||
NET ASSETS - 100% | $9,026,250,312 |
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) | 2 | March 2021 | $219,920 | $12,796 | $12,796 |
CME E-mini S&P MidCap 400 Index Contracts (United States) | 2 | March 2021 | 498,940 | 33,986 | 33,986 |
TOTAL FUTURES CONTRACTS | $46,782 |
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 $20,893,085 or 0.2% 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 $194,234 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, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.
(h) Investment made with cash collateral received from securities on loan.
(i) The rate quoted is the annualized seven-day yield of the fund at period end.
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 | $6,751 |
Fidelity Securities Lending Cash Central Fund | 2,023,611 |
Total | $2,030,362 |
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 SAI Real Estate Index Fund | $99,990,120 | $64,302,649 | $75,000,000 | $1,607,553 | $(24,345,102) | $13,090,581 | $78,038,248 |
Fidelity SAI Small-Mid Cap 500 Index Fund | 109,403,255 | 575,344,614 | 675,058,330 | 4,921,369 | 1,717,359 | 8,792,993 | 20,199,891 |
Fidelity Small Cap Discovery Fund | -- | 41,525,655 | 5,000,000 | 1,525,654 | 975,318 | 19,515,176 | 57,016,149 |
Fidelity Small Cap Growth Fund | -- | 82,723,145 | -- | 2,380,936 | -- | 9,896,002 | 92,619,147 |
Fidelity Small Cap Index Fund | 107,434,853 | 1,617,665,750 | 1,366,582,625 | 4,605,897 | (15,974,046) | 177,056,962 | 519,600,894 |
Total | $316,828,228 | $2,381,561,813 | $2,121,640,955 | $15,041,409 | $(37,626,471) | $228,351,714 | $767,474,329 |
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 February 28, 2021, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Equities: | ||||
Communication Services | $170,279,438 | $170,279,438 | $-- | $-- |
Consumer Discretionary | 1,132,799,912 | 1,132,605,678 | -- | 194,234 |
Consumer Staples | 308,388,165 | 308,388,165 | -- | -- |
Energy | 160,046,565 | 160,046,565 | -- | -- |
Financials | 1,079,157,969 | 1,079,157,969 | -- | -- |
Health Care | 968,616,388 | 968,616,388 | -- | -- |
Industrials | 1,519,451,475 | 1,519,451,475 | -- | -- |
Information Technology | 1,501,545,466 | 1,501,545,466 | -- | -- |
Materials | 346,087,739 | 346,087,734 | -- | 5 |
Real Estate | 230,447,699 | 230,447,699 | -- | -- |
Utilities | 78,306,088 | 78,306,088 | -- | -- |
Equity Funds | 1,357,157,771 | 1,357,157,771 | -- | -- |
Money Market Funds | 285,166,520 | 285,166,520 | -- | -- |
Total Investments in Securities: | $9,137,451,195 | $9,137,256,956 | $-- | $194,239 |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $46,782 | $46,782 | $-- | $-- |
Total Assets | $46,782 | $46,782 | $-- | $-- |
Total Derivative Instruments: | $46,782 | $46,782 | $-- | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of February 28, 2021. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
Primary Risk Exposure / Derivative Type | Value | |
Asset | Liability | |
Equity Risk | ||
Futures Contracts(a) | $46,782 | $0 |
Total Equity Risk | 46,782 | 0 |
Total Value of Derivatives | $46,782 | $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
February 28, 2021 | ||
Assets | ||
Investment in securities, at value (including securities loaned of $92,627,081) — See accompanying schedule: Unaffiliated issuers (cost $5,556,672,724) | $8,273,672,180 | |
Fidelity Central Funds (cost $96,304,686) | 96,304,686 | |
Other affiliated issuers (cost $555,386,683) | 767,474,329 | |
Total Investment in Securities (cost $6,208,364,093) | $9,137,451,195 | |
Segregated cash with brokers for derivative instruments | 46,500 | |
Cash | 1,759,990 | |
Foreign currency held at value (cost $2,407,909) | 2,409,524 | |
Receivable for investments sold | 42,973,782 | |
Receivable for fund shares sold | 4,666,801 | |
Dividends receivable | 5,229,790 | |
Interest receivable | 4,030 | |
Distributions receivable from Fidelity Central Funds | 98,940 | |
Other receivables | 119,479 | |
Total assets | 9,194,760,031 | |
Liabilities | ||
Payable for investments purchased | $68,273,552 | |
Payable for fund shares redeemed | 3,272,192 | |
Accrued management fee | 2,634,735 | |
Payable for daily variation margin on futures contracts | 691 | |
Other payables and accrued expenses | 313,846 | |
Collateral on securities loaned | 94,014,703 | |
Total liabilities | 168,509,719 | |
Net Assets | $9,026,250,312 | |
Net Assets consist of: | ||
Paid in capital | $5,516,927,789 | |
Total accumulated earnings (loss) | 3,509,322,523 | |
Net Assets | $9,026,250,312 | |
Net Asset Value, offering price and redemption price per share ($9,026,250,312 ÷ 499,294,619 shares) | $18.08 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Year ended February 28, 2021 | ||
Investment Income | ||
Dividends: | ||
Unaffiliated issuers | $97,427,828 | |
Affiliated issuers | 6,930,205 | |
Interest | 182,323 | |
Income from Fidelity Central Funds (including $2,023,611 from security lending) | 2,030,362 | |
Total income | 106,570,718 | |
Expenses | ||
Management fee | $46,735,323 | |
Custodian fees and expenses | 195,631 | |
Independent trustees' fees and expenses | 79,041 | |
Registration fees | 77,043 | |
Audit | 89,614 | |
Legal | 46,725 | |
Interest | 1,549 | |
Miscellaneous | 196,581 | |
Total expenses before reductions | 47,421,507 | |
Expense reductions | (19,256,517) | |
Total expenses after reductions | 28,164,990 | |
Net investment income (loss) | 78,405,728 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 786,159,197 | |
Fidelity Central Funds | 9,631 | |
Other affiliated issuers | (37,626,471) | |
Foreign currency transactions | (38,400) | |
Futures contracts | 8,841,801 | |
Capital gain distributions from underlying funds: | ||
Unaffiliated issuers | 6,531,366 | |
Affiliated issuers | 8,111,204 | |
Total net realized gain (loss) | 771,988,328 | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers | 2,175,617,541 | |
Affiliated issuers | 228,351,714 | |
Assets and liabilities in foreign currencies | 1,528 | |
Futures contracts | 201,147 | |
Total change in net unrealized appreciation (depreciation) | 2,404,171,930 | |
Net gain (loss) | 3,176,160,258 | |
Net increase (decrease) in net assets resulting from operations | $3,254,565,986 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Year ended February 28, 2021 | Year ended February 29, 2020 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $78,405,728 | $76,146,043 |
Net realized gain (loss) | 771,988,328 | 406,783,582 |
Change in net unrealized appreciation (depreciation) | 2,404,171,930 | (603,452,993) |
Net increase (decrease) in net assets resulting from operations | 3,254,565,986 | (120,523,368) |
Distributions to shareholders | (310,122,671) | (261,863,893) |
Share transactions | ||
Proceeds from sales of shares | 2,503,074,522 | 659,416,886 |
Reinvestment of distributions | 305,086,757 | 260,179,078 |
Cost of shares redeemed | (3,701,700,613) | (1,643,423,965) |
Net increase (decrease) in net assets resulting from share transactions | (893,539,334) | (723,828,001) |
Total increase (decrease) in net assets | 2,050,903,981 | (1,106,215,262) |
Net Assets | ||
Beginning of period | 6,975,346,331 | 8,081,561,593 |
End of period | $9,026,250,312 | $6,975,346,331 |
Other Information | ||
Shares | ||
Sold | 204,122,349 | 47,201,679 |
Issued in reinvestment of distributions | 22,955,068 | 18,055,453 |
Redeemed | (269,628,288) | (116,757,002) |
Net increase (decrease) | (42,550,871) | (51,499,870) |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Strategic Advisers Small-Mid Cap Fund
Years ended February 28, | 2021 | 2020 A | 2019 | 2018 | 2017 |
Selected Per–Share Data | |||||
Net asset value, beginning of period | $12.87 | $13.62 | $14.86 | $14.19 | $11.12 |
Income from Investment Operations | |||||
Net investment income (loss)B | .14 | .13 | .11 | .08 | .05 |
Net realized and unrealized gain (loss) | 5.63 | (.41) | .11 | 1.88 | 3.29 |
Total from investment operations | 5.77 | (.28) | .22 | 1.96 | 3.34 |
Distributions from net investment income | (.16) | (.13) | (.11) | (.07) | (.04) |
Distributions from net realized gain | (.40) | (.34) | (1.35) | (1.22) | (.22) |
Total distributions | (.56) | (.47) | (1.46) | (1.29) | (.27)C |
Net asset value, end of period | $18.08 | $12.87 | $13.62 | $14.86 | $14.19 |
Total ReturnD | 46.31% | (2.40)% | 2.64% | 14.04% | 30.11% |
Ratios to Average Net AssetsE,F | |||||
Expenses before reductions | .62% | .65% | .73% | .85% | .87% |
Expenses net of fee waivers, if any | .37% | .40% | .48% | .60% | .62% |
Expenses net of all reductions | .37% | .40% | .48% | .60% | .62% |
Net investment income (loss) | 1.02% | .96% | .77% | .53% | .37% |
Supplemental Data | |||||
Net assets, end of period (000 omitted) | $9,026,250 | $6,975,346 | $8,081,562 | $7,503,132 | $7,048,707 |
Portfolio turnover rateG | 104% | 67% | 82% | 75% | 82% |
A For the year ended February 29.
B Calculated based on average shares outstanding during the period.
C Total distributions per share do not sum due to rounding.
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 Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements
For the period ended February 28, 2021
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 February 28, 2021 is included at the end of the Fund's Schedule of Investments.
Foreign Currency. Certain Funds may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.
Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received, and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and include proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Income and capital gain distributions from any underlying mutual funds or exchange-traded funds (ETFs) are recorded on the ex-dividend date. Certain distributions received by the Fund represent a return of capital or capital gain. The Fund determines the components of these distributions subsequent to the ex-dividend date, based upon receipt of tax filings or other correspondence relating to the underlying investment. These distributions are recorded as a reduction of cost of investments and/or as a realized gain. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain.
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan) for certain Funds, certain independent Trustees have elected to defer receipt of a portion of their annual compensation. Deferred amounts are invested in affiliated mutual funds, are marked-to-market and remain in a fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees presented below are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, as applicable.
Strategic Advisers Small-Mid Cap Fund | $113,460 |
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of February 28, 2021, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.
Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to 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.
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
Gross unrealized appreciation | $3,053,502,037 |
Gross unrealized depreciation | (179,924,158) |
Net unrealized appreciation (depreciation) | $2,873,577,879 |
Tax Cost | $6,263,873,316 |
The tax-based components of distributable earnings as of period end were as follows:
Undistributed ordinary income | $266,025,781 |
Undistributed long-term capital gain | $369,831,877 |
Net unrealized appreciation (depreciation) on securities and other investments | $2,873,578,319 |
The tax character of distributions paid was as follows:
February 28, 2021 | February 29, 2020 | |
Ordinary Income | $85,959,917 | $ 73,476,579 |
Long-term Capital Gains | 224,162,754 | 188,387,314 |
Total | $310,122,671 | $ 261,863,893 |
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, are noted in the table below.
Purchases ($) | Sales ($) | |
Strategic Advisers Small-Mid Cap Fund | 7,835,331,336 | 8,924,791,487 |
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 annual 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), 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, River Road Asset Management 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.
FIL Investment Advisors (FIL) has been retained to serve as a sub-adviser for the Fund. As of the date of this report, however, FIL has not been allocated any portion of the Fund's assets. FIL in the future may provide discretionary investment advisory services for an allocated portion of the Fund's assets and will be paid by the investment adviser for providing these services.
Brokerage Commissions. A portion of portfolio transactions were placed with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Statement of Operations. The commissions paid to these affiliated firms were as follows:
Amount | |
Strategic Advisers Small-Mid Cap Fund | $465 |
Interfund Trades. Funds may purchase from or sell securities to other funds affiliated with each sub-adviser under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note and are noted in the table below.
Purchases ($) | Sales ($) | |
Strategic Advisers Small-Mid Cap Fund | 14,038,842 | 52,394,235 |
6. Investments in Fidelity Central Funds.
The Fund invests in Fidelity Central Funds, which are open-end investment companies available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
The Fidelity Money Market Central Funds are managed by FMR. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date ranged from less than .005% to .01%.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC website or upon request.
7. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below.
Amount | |
Strategic Advisers Small-Mid Cap Fund | $17,074 |
During the period, there were no borrowings on this line of credit.
8. Security Lending.
Funds lend portfolio securities through a lending agent from time to time in order to earn additional income. On the settlement date of the loan, a fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of a fund and any additional required collateral is delivered to a fund on the next business day. A fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund may apply collateral received from the borrower against the obligation. A fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds.
9. 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 | $32,128,000 | .58% | $1,549 |
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 $19,229,921.
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 expenses. This amount totaled $26,596 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.
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 Real Estate Index Fund | 12% |
12. Coronavirus (COVID-19) Pandemic.
An outbreak of COVID-19 first detected in China during December 2019 has since spread globally and was declared a pandemic by the World Health Organization during March 2020. Developments that disrupt global economies and financial markets, such as the COVID-19 pandemic, may magnify factors that affect the Fund's performance.
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Fidelity Rutland Square Trust II and Shareholders of Strategic Advisers Small-Mid Cap Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Strategic Advisers Small-Mid Cap Fund (one of the funds constituting Fidelity Rutland Square Trust II, referred to hereafter as the “Fund”) as of February 28, 2021, the related statement of operations for the year ended February 28, 2021, the statement of changes in net assets for each of the two years in the period ended February 28, 2021, including the related notes, and the financial highlights for each of the five years in the period ended February 28, 2021 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of February 28, 2021, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended February 28, 2021 and the financial highlights for each of the five years in the period ended February 28, 2021 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of February 28, 2021 by correspondence with the custodian, issuers of privately offered securities and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
Boston, Massachusetts
April 13, 2021
We have served as the auditor of one or more investment companies in the Fidelity group of funds since 1932.
Trustees and Officers
The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance. If the interests of the fund and an underlying Fidelity® fund were to diverge, a conflict of interest could arise and affect how the Trustees and Members of the Advisory Board fulfill their fiduciary duties to the affected funds. Strategic Advisers has structured the fund to avoid these potential conflicts, although there may be situations where a conflict of interest is unavoidable. In such instances, Strategic Advisers, the Trustees, and Members of the Advisory Board would take reasonable steps to minimize and, if possible, eliminate the conflict. Each of the Trustees oversees 12 funds.
The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. Each Independent Trustee shall retire not later than the last day of the calendar year in which his or her 75th birthday occurs. The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees. Officers and Advisory Board Members hold office without limit in time, except that any officer or Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.
Each Trustee who is not an interested person (as defined in the 1940 Act) of the trust and the fund is referred to herein as an Independent Trustee.
The fund’s Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-3455.
Experience, Skills, Attributes, and Qualifications of the Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee may also engage professional search firms to help identify potential Independent Trustee candidates with experience, qualifications, attributes, and skills consistent with the Statement of Policy. Additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, may be considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.
In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.
Board Structure and Oversight Function. Robert A. Lawrence is an interested person and currently serves as Chairman. The Trustees have determined that an interested Chairman is appropriate and benefits shareholders because an interested Chairman has a personal and professional stake in the quality and continuity of services provided to the fund. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chairman, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chairman and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session. Mary C. Farrell serves as the lead Independent Trustee and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.
Fidelity® funds are overseen by different Boards of Trustees. The fund's Board oversees asset allocation funds. Other Boards oversee Fidelity's investment-grade bond, money market, and asset allocation funds, and Fidelity's equity and high income funds. The fund may invest in Fidelity® funds overseen by such other Boards. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity® funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues.
The Trustees primarily operate as a full Board, but also operate in committees, to facilitate the timely and efficient consideration of all matters of importance to the Trustees, the fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the fund's activities and associated risks. The Board has charged Strategic Advisers and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the fund's business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above. Because the day-to-day operations and activities of the fund are carried out by or through Strategic Advisers, its affiliates and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees. Board oversight of different aspects of the fund's activities is exercised primarily through the full Board, but also through the Audit and Compliance Committee. Appropriate personnel, including but not limited to the fund's Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the fund's Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate. The responsibilities of each standing committee, including their oversight responsibilities, are described further under "Standing Committees of the Trustees."
Interested Trustees*:
Correspondence intended for a Trustee who is an interested person may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Robert A. Lawrence (1952)
Year of Election or Appointment: 2016
Trustee
Chairman of the Board of Trustees
Mr. Lawrence also serves as Trustee of other funds. Previously, Mr. Lawrence served as a Member of the Advisory Board of certain funds. Prior to his retirement in 2008, Mr. Lawrence served as Vice President of certain Fidelity® funds (2006-2008), Senior Vice President, Head of High Income Division of Fidelity Management & Research Company (investment adviser firm, 2006-2008), and President of Fidelity Strategic Investments (investment adviser firm, 2002-2005).
Charles S. Morrison (1960)
Year of Election or Appointment: 2020
Trustee
Mr. Morrison also serves as Trustee of other funds. Previously, Mr. Morrison served as President (2017-2018) and Director (2014-2018) of Fidelity SelectCo, LLC (investment adviser firm), President of Fidelity Management & Research Company (FMR) (investment adviser firm, 2016-2018), a Director of Fidelity Investments Money Management, Inc. (investment adviser firm, 2014-2018), President, Asset Management (2014-2018), Trustee of the Fidelity Equity and High Income Funds (283 funds as of December 2018) (2014-2018), and was an employee of Fidelity Investments. Mr. Morrison also previously served as Vice President of Fidelity's Fixed Income and Asset Allocation Funds (2012-2014), President, Fixed Income (2011-2014), Vice President of Fidelity's Money Market Funds (2005-2009), President, Money Market Group Leader of FMR (2009), and Senior Vice President, Money Market Group of FMR (2004-2009). Mr. Morrison also served as Vice President of Fidelity's Bond Funds (2002-2005), certain Balanced Funds (2002-2005), and certain Asset Allocation Funds (2002-2007), and as Senior Vice President (2002-2005) of Fidelity's Bond Division.
* Determined to be an "Interested Trustee" by virtue of, among other things, his or her affiliation with the trust or various entities under common control with Strategic Advisers.
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Independent Trustees:
Correspondence intended for an Independent Trustee may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Peter C. Aldrich (1944)
Year of Election or Appointment: 2006
Trustee
Mr. Aldrich also serves as Trustee of other funds. Mr. Aldrich is a Director of the U.S. Core Property Fund (and, previously, other funds) of BlackRock Realty Group (2006-present). Previously, Mr. Aldrich served as a Managing Member of Poseidon, LLC (foreign private investment, 1998-2004), and Chairman and Managing Member of AEGIS, LLC (foreign private investment, 1997-2004). Mr. Aldrich previously was a founder, Chief Executive Officer, and Chairman of AEW Capital Management, L.P. (then “Aldrich, Eastman and Waltch, L.P.”). Mr. Aldrich also served as a Director of LivelyHood, Inc. (private corporation, 2013-2020), a Trustee for the Fidelity Rutland Square Trust (2005-2010), a Director of Zipcar, Inc. (car sharing services, 2001-2009) and as Faculty Chairman of The Research Council on Global Investment of The Conference Board (business and professional education non-profit, 1999-2004). Mr. Aldrich is a Member Emeritus of the Board of Directors of the National Bureau of Economic Research, the Board of Trustees of the Museum of Fine Arts Boston and the Board of Overseers of the Massachusetts Eye and Ear Infirmary.
Mary C. Farrell (1949)
Year of Election or Appointment: 2013
Trustee
Ms. Farrell also serves as Trustee of other funds. Ms. Farrell is a Director of the W.R. Berkley Corporation (insurance provider) and President (2009-present) and Director (2006-present) of the Howard Gilman Foundation (charitable organization). Previously, Ms. Farrell was Managing Director and Chief Investment Strategist at UBS Wealth Management USA and Co-Head of UBS Wealth Management Investment Strategy & Research Group (2003-2005). Ms. Farrell also served as Investment Strategist at PaineWebber (1982-2000) and UBS PaineWebber (2000-2002). Ms. Farrell serves as Chairman of the Board of Trustees of Yale-New Haven Hospital and Vice Chairman of the Yale New Haven Health System Board and previously served as Trustee on the Board of Overseers of the New York University Stern School of Business.
Karen Kaplan (1960)
Year of Election or Appointment: 2006
Trustee
Ms. Kaplan also serves as Trustee of other funds. Ms. Kaplan is Chairman (2014-present) and Chief Executive Officer (2013-present) of Hill Holliday (advertising and specialized marketing). Ms. Kaplan is a Director of The Michaels Companies, Inc. (specialty retailer, 2015-present), Member of the Board of Governors of the Chief Executives’ Club of Boston (2010-present), Member of the Executive Committee of the Greater Boston Chamber of Commerce (2006-present), Advisory Board Member of the National Association of Corporate Directors Chapter (2012-present), Member of the Board of Trustees of the Post Office Square Trust (2012-present), Trustee of the Brigham and Women’s Hospital (2016-present), Overseer of the Boston Symphony Orchestra (2014-present), Member of the Board of Directors of The Advertising Council, Inc. (2016-present), Member of the Ron Burton Training Village Executive Board of Advisors (2018-present), Member of the Executive Committee of The Ad Council, Inc. (2019-present), and Member of the Board of Directors of The Ad Club of Boston (2020-present). Previously, Ms. Kaplan served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010), a member of the Clinton Global Initiative (2010-2015), Director of DSM (dba Delta Dental and DentaQuest) (2004-2014), Formal Appointee of the 2015 Baker-Polito Economic Development Council, Director of Vera Bradley Inc. (designer of women’s accessories, 2012-2015), Member of the Board of Directors of the Massachusetts Conference for Women (2008-2015), Member of the Board of Directors of Jobs for Massachusetts (2012-2015), President of the Massachusetts Women’s Forum (2008-2010), Treasurer of the Massachusetts Women’s Forum (2002-2006), and Vice Chair of the Board of the Massachusetts Society for the Prevention of Cruelty to Children (2003-2010).
Christine Marcks (1955)
Year of Election or Appointment: 2020
Trustee
Ms. Marcks also serves as Trustee of other Funds. Prior to her retirement, Ms. Marcks served as Chief Executive Officer and President – Prudential Retirement (2007-2017) and Vice President for Rollover and Retirement Income Strategies (2005-2007), Prudential Financial, Inc. (financial services). Previously, Ms. Marcks served as a Member of the Advisory Board of certain Fidelity® funds (2019-2020), was Senior Vice President and Head of Financial Horizons (2002-2004) and Vice President, Strategic Marketing (2000-2002) of Voya Financial (formerly ING U.S.) (financial services), held numerous positions at Aetna Financial Services (financial services, 1987-2000) and served as an International Economist for the United States Department of the Treasury (1980-1987). Ms. Marcks also serves as a member of the Board of Trustees, Audit Committee and Benefits & Operations Committee of the YMCA Retirement Fund (2018-present), a non-profit organization providing retirement plan benefits to YMCA staff members, and as a member of the Board of Trustees of Assumption College (2019-present).
Heidi L. Steiger (1953)
Year of Election or Appointment: 2017
Trustee
Ms. Steiger also serves as Trustee of other funds. Ms. Steiger serves as Managing Partner of Topridge Associates, LLC (consulting, 2005-present), a member of the Advisory Board of the joint degree program in Global Luxury Management at North Carolina State University (Raleigh, NC) and Skema (Paris) (2018-present), a Non-Executive Director of CrowdBureau Corporation (financial technology company and index provider, 2018-present), a member of the Board of Directors (2013-present) and Chair of the Audit Committee and member of the Membership and Executive Committees (2017-present) of Business Executives for National Security (nonprofit), and member of the Board of Directors Chair of the Remuneration Committee of Imagine Intelligent Materials Limited (2019-present) (technology company). Previously, Ms. Steiger served as a member of the Global Advisory Board and Of Counsel to Signum Global Advisors (international policy and strategy, 2018-2020), Eastern Region President of The Private Client Reserve of U.S. Bancorp (banking and financial services, 2010-2015), Advisory Director of Berkshire Capital Securities, LLC (financial services, 2009-2010), President and Senior Advisor of Lowenhaupt Global Advisors, LLC (financial services, 2005-2007), and President and Contributing Editor of Worth Magazine (2004-2005) and held a variety of positions at Neuberger Berman Group, LLC (financial services, 1986-2004), including Partner and Executive Vice President and Global Head of Private Asset Management at Neuberger Berman (1999-2004). Ms. Steiger also served as a member of the Board of Directors of Nuclear Electric Insurance Ltd (insurer of nuclear utilities, 2006-2017), a member of the Board of Trustees and Audit Committee of the Eaton Vance Funds (2007-2010), a member of the Board of Directors of Aviva USA (formerly AmerUs) (insurance, 2004-2014), and a member of the Board of Trustees and Audit Committee and Chair of the Investment Committee of CIFG (financial guaranty insurance, 2009-2012), and a member of the Board of Directors of Kin Group Plc (formerly, Fitbug Holdings) (health and technology, 2016-2017).
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Advisory Board Members and Officers:
Correspondence intended for a Member of the Advisory Board (if any) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235. Correspondence intended for an officer or Howard E. Cox, Jr. may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210. Officers appear below in alphabetical order.
Name, Year of Birth; Principal Occupation
Ralph F. Cox (1932)
Year of Election or Appointment: 2020
Member of the Advisory Board
Mr. Cox also serves as a Member of the Advisory Board of other funds. Mr. Cox is President of RABAR Enterprises (management consulting for the petroleum industry). Mr. Cox is a Director of Abraxas Petroleum (exploration and production, 1999-present). Mr. Cox is a member of the Advisory Boards of the Business and Engineering Schools of Texas A&M University and the Engineering School of University of Texas at Austin. Previously, Mr. Cox served as Trustee of other funds (2006-2020), a Trustee for the Fidelity Rutland Square Trust (2005-2010) and as an Advisory Director of CH2M Hill Companies (engineering, 1981-2011). Mr. Ralph F. Cox and Mr. Howard E. Cox, Jr. are not related.
Howard E. Cox, Jr. (1944)
Year of Election or Appointment: 2009
Member of the Advisory Board
Mr. Cox also serves as a Member of the Advisory Board of other funds. Mr. Cox is a Partner of Greylock (venture capital, 1971-present) and a Director of Stryker Corporation (medical products and services, 1974-present). Previously, Mr. Cox served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010). Mr. Cox also serves as a Member of the Secretary of Defense's Business Board of Directors (2008-present), a Director of Business Executives for National Security (1997-present), a Director of the Brookings Institution (2010-present), a Director of the World Economic Forum’s Young Global Leaders Foundation (2009-present), and is a Member of the Harvard Medical School Board of Fellows (2002-present). Mr. Howard E. Cox, Jr. and Mr. Ralph F. Cox are not related.
Craig S. Brown (1977)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Brown also serves as Assistant Treasurer of other funds. Mr. Brown is an employee of Fidelity Investments (2013-present).
John J. Burke III (1964)
Year of Election or Appointment: 2018
Chief Financial Officer
Mr. Burke also serves as Chief Financial Officer of other funds. Mr. Burke serves as Head of Investment Operations for Fidelity Fund and Investment Operations (2018-present) and is an employee of Fidelity Investments (1998-present). Previously Mr. Burke served as head of Asset Management Investment Operations (2012-2018).
Jonathan Davis (1968)
Year of Election or Appointment: 2010
Assistant Treasurer
Mr. Davis also serves as Assistant Treasurer of other funds. Mr. Davis serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments. Previously, Mr. Davis served as Vice President and Associate General Counsel of FMR LLC (diversified financial services company, 2003-2010).
Laura M. Del Prato (1964)
Year of Election or Appointment: 2018
Assistant Treasurer
Ms. Del Prato also serves as an officer of other funds. Ms. Del Prato is an employee of Fidelity Investments (2017-present). Previously, Ms. Del Prato served as President and Treasurer of The North Carolina Capital Management Trust: Cash Portfolio and Term Portfolio (2018-2020). Prior to joining Fidelity Investments, Ms. Del Prato served as a Managing Director and Treasurer of the JPMorgan Mutual Funds (2014-2017). Prior to JPMorgan, Ms. Del Prato served as a partner at Cohen Fund Audit Services (accounting firm, 2012-2013) and KPMG LLP (accounting firm, 2004-2012).
James D. Gryglewicz (1972)
Year of Election or Appointment: 2015
Chief Compliance Officer
Mr. Gryglewicz also serves as Chief Compliance Officer of other funds. Mr. Gryglewicz serves as Compliance Officer of Strategic Advisers LLC (investment adviser firm, 2015-present), Senior Vice President of Asset Management Compliance (2009-present), and is an employee of Fidelity Investments (2004-present). Previously, Mr. Gryglewicz served as Compliance Officer of Fidelity SelectCo, LLC (investment adviser firm, 2014-2019), and as Chief Compliance Officer of certain Fidelity® funds (2014-2018).
Colm A. Hogan (1973)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Hogan also serves as an officer of other funds. Mr. Hogan serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2005-present). Previously, Mr. Hogan served as Deputy Treasurer of certain Fidelity® funds (2016-2020) and Assistant Treasurer of certain Fidelity® funds (2016-2018).
Christina H. Lee (1975)
Year of Election or Appointment: 2020
Secretary and Chief Legal Officer
Ms. Lee also serves as Secretary and CLO of other funds. Ms. Lee serves as Vice President, Associate General Counsel (2014-present) and is an employee of Fidelity Investments (2007-present). Previously, Ms. Lee served as Assistant Secretary of certain funds (2018-2019).
Cynthia Lo Bessette (1969)
Year of Election or Appointment: 2020
Assistant Secretary
Ms. Lo Bessette also serves as an officer of other funds. Ms. Lo Bessette serves as CLO, Secretary, and Senior Vice President of Fidelity Management & Research Company LLC (investment adviser firm, 2019-present); and CLO of Fidelity Management & Research (Hong Kong) Limited, FMR Investment Management (UK) Limited, and Fidelity Management & Research (Japan) Limited (investment adviser firms, 2019-present). She is a Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company, 2019-present), and is an employee of Fidelity Investments. Previously, Ms. Lo Bessette served as CLO, Secretary, and Senior Vice President of FMR Co., Inc. (investment adviser firm, 2019); Secretary of Fidelity SelectCo, LLC and Fidelity Investments Money Management, Inc. (investment adviser firms, 2019). Prior to joining Fidelity Investments, Ms. Lo Bessette was Executive Vice President, General Counsel (2016-2019) and Senior Vice President, Deputy General Counsel (2015-2016) of OppenheimerFunds (investment management company) and Deputy Chief Legal Officer (2013-2015) of Jennison Associates LLC (investment adviser firm).
Chris Maher (1972)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Maher also serves as an officer of other funds. Mr. Maher serves as Assistant Treasurer of FMR Capital, Inc. (2017-present), and is an employee of Fidelity Investments (2008-present). Previously, Mr. Maher served as Assistant Treasurer of certain funds (2013-2020); Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010).
Brett Segaloff (1972)
Year of Election or Appointment: 2021
Anti-Money Laundering (AML) Officer
Mr. Segaloff also serves as an AML Officer of other funds and other related entities. He is Director, Anti-Money Laundering (2007-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments (1996-present).
Stacie M. Smith (1974)
Year of Election or Appointment: 2020
President and Treasurer
Ms. Smith also serves as an officer of other funds. Ms. Smith serves as Assistant Treasurer of FMR Capital, Inc. (2017-present), is an employee of Fidelity Investments (2009-present), and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (accounting firm, 1996-2009). Previously, Ms. Smith served as Assistant Treasurer (2013-2019) and Deputy Treasurer (2013-2016) of certain Fidelity® funds.
Marc L. Spector (1972)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Spector also serves as an officer of other funds. Mr. Spector serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2016-present). Prior to joining Fidelity Investments, Mr. Spector served as Director at the Siegfried Group (accounting firm, 2013-2016), and prior to Siegfried Group as audit senior manager at Deloitte & Touche LLP (accounting firm, 2005-2013).
Jim Wegmann (1979)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Wegmann also serves as Assistant Treasurer of other funds. Mr. Wegmann is an employee of Fidelity Investments (2011-present).
Shareholder Expense Example
As a shareholder, 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 (September 1, 2020 to February 28, 2021).
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
Annualized Expense Ratio-A | Beginning Account Value September 1, 2020 | Ending Account Value February 28, 2021 | Expenses Paid During Period-B September 1, 2020 to February 28, 2021 | |
Strategic Advisers Small-Mid Cap Fund | .36% | |||
Actual | $1,000.00 | $1,336.70 | $2.09 | |
Hypothetical-C | $1,000.00 | $1,023.01 | $1.81 |
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 181/ 365 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.
C 5% return per year before expenses
Distributions (Unaudited)
The Board of Trustees of Strategic Advisers Small-Mid Cap Fund voted to pay on April 12, 2021, to shareholders of record at the opening of business on April 9, 2021, a distribution of $1.259 per share derived from capital gains realized from sales of portfolio securities and a dividend of $0.013 per share from net investment income.
The fund hereby designates as a capital gain dividend with respect to the taxable year ended February 28, 2021, $468,394,618, or, if subsequently determined to be different, the net capital gain of such year.
The fund designates 98% and 67% of the dividends distributed in April and December, respectively during the fiscal year as qualifying for the dividends–received deduction for corporate shareholders.
The fund designates 99% and 74% of the dividends distributed in April and December, respectively during the fiscal year as amounts which may be taken into account as a dividend for the purposes of the maximum rate under section 1(h)(11) of the Internal Revenue Code.
The fund designates 1% and 14% of the dividends distributed in April and December, respectively during the fiscal year as a section 199A dividend.
The fund will notify shareholders in January 2022 of amounts for use in preparing 2021 income tax returns.
Board Approval of Investment Advisory Contracts and Management Fees
Strategic Advisers Small-Mid Cap Fund
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes at a meeting on the renewal of the management contract with Strategic Advisers LLC (Strategic Advisers) and the sub-advisory agreements with AllianceBernstein L.P. (AB), ArrowMark Colorado Holdings, LLC, doing business as ArrowMark Partners, Boston Partners Global Investors, Inc., FIAM LLC, 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 a Sub-Adviser and collectively, the Sub-Advisers) (collectively, the Sub-Advisory Agreements and, together with the management contract, the Advisory Contracts) for the fund. Strategic Advisers and the Sub-Advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.The Board meets at least four times per year and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The full Board or the Independent Trustees, as appropriate, act on all major matters; however, a portion of the activities of the Board (including certain of those described herein) may be conducted through standing committees that have been established by the Board. The Board, acting directly and through its committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts.At its September 2020 meeting, the Board, including the Independent Trustees, unanimously determined to renew the fund's Advisory Contracts. In addition, the Board approved an amendment to the fund's sub-advisory agreement with AB to add certain exceptions to the most favored nation provision in the sub-advisory agreement and make other non-material amendments to the agreement (Amendment). The Board noted that the other terms of the amended sub-advisory agreement are not materially different from those of the existing sub-advisory agreement and that AB will continue to provide the same services to the fund.In reaching its determination to renew the fund's Advisory Contracts and approve the Amendment, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness of the fund's management fee and total expenses relative to peer funds; (iii) the total costs of the services provided by and the profits, if any, realized by Strategic Advisers from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and are realized as the fund grows and whether any economies of scale are appropriately shared with fund shareholders.In considering whether to renew the Advisory Contracts for the fund and approve the Amendment, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts and the approval of the Amendment is in the best interests of the fund and its shareholders. In addition, with respect to the Sub-Advisory Agreements, the Board also concluded that the renewal of such agreements and the approval of the Amendment do not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees charged under the Advisory Contracts bear a reasonable relationship to the services rendered and are based on services provided that are in addition to, rather than duplicative of, services provided under the advisory contract of any underlying fund in which the fund may invest. The Board's decision to renew the Advisory Contracts and approve the Amendment was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board throughout the year.Nature, Extent, and Quality of Services Provided. The Board considered the staffing within the Investment Advisers, including the backgrounds of the fund's investment personnel and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Strategic Advisers' investment operations and investment groups. The Board considered the structure of each Investment Adviser's investment personnel compensation program and whether such structures provide appropriate incentives to act in the best interests of the fund.The Trustees also discussed with representatives of Strategic Advisers, at meetings throughout the year, Strategic Advisers' role in, among other things, (i) setting, implementing and monitoring the investment strategies for the funds; (ii) identifying and recommending sub-advisers for the funds; (iii) overseeing compliance with federal securities laws by each sub-adviser with respect to the portion of fund assets allocated to the sub-adviser; (iv) monitoring and overseeing the performance and investment capabilities of each sub-adviser; and (v) recommending the replacement of a sub-adviser as appropriate. The Trustees considered that the Board had received from Strategic Advisers substantial information and periodic reports about Strategic Advisers' sub-adviser oversight and due diligence processes, as well as periodic reports regarding the performance of each sub-adviser.The Board also considered the nature, extent and quality of services provided by each Sub-Adviser. The Trustees noted that under the Sub-Advisory Agreements subject to oversight by Strategic Advisers, each Sub-Adviser is responsible for, among other things, identifying investments for the portion of fund assets allocated to the Sub-Adviser, if any, and executing portfolio transactions to implement its investment strategy. In addition, the Trustees noted that each Sub-Adviser is responsible for providing such reporting as may be requested from Strategic Advisers to fulfill its oversight responsibilities discussed above.Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of the Investment Advisers' investment staffs, their use of technology, and the Investment Advisers' approach to managing and compensating investment personnel. The Board noted that the Investment Advisers' analysts have extensive resources, tools, and capabilities that allow them to conduct sophisticated quantitative and/or fundamental analysis. Additionally, in its deliberations, the Board considered the Investment Advisers' trading capabilities and resources and global compliance infrastructure, which are integral parts of the investment management process. The Board also considered the Investment Advisers' investments in business continuity planning, and their success in continuously providing services to the fund notwithstanding the severe disruptions caused by the COVID-19 pandemic.Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of administrative and shareholder services performed by Strategic Advisers and its affiliates under the management contract and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of Strategic Advisers' supervision of third party service providers, including sub-advisers, custodians and subcustodians; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.Investment Performance. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions and its performance history.In connection with the renewal of the Advisory Contracts, the Board considered annualized return information for the fund for different time periods, measured against an appropriate securities market index ("benchmark index") and a peer group of mutual funds with similar objectives ("peer group").The Board considered discussions that occur at Board meetings throughout the year with representatives of Strategic Advisers about fund investment performance and the performance of each Sub-Adviser as part of regularly scheduled fund reviews and other reports to the Board on fund performance, taking into account various factors including general market conditions. In its discussions with representatives of Strategic Advisers regarding fund performance, the Board gave particular attention to information indicating underperformance of certain funds for specific time periods and discussed with Strategic Advisers the reasons for any such underperformance.The following charts considered by the Board show, over the one-, three-, and five-year periods ended December 31, 2019, the cumulative total returns of the fund and the cumulative total returns of an appropriate benchmark index and peer group. The box within each chart shows the 25th percentile return (75% beaten, top of box) and the 75th percentile return (25% beaten, bottom of box) of the peer group. Returns shown above the box are in the first quartile and returns shown below the box are in the fourth quartile. The percentage beaten number noted below each chart corresponds to the percentile box and represents the percentage of funds in the peer group whose performance was equal to or lower than that of the fund.Strategic Advisers Small-Mid Cap Fund
Strategic Advisers Small-Mid Cap Fund
Liquidity Risk Management Program
The Securities and Exchange Commission adopted Rule 22e-4 under the Investment Company Act of 1940 (the Liquidity Rule) to promote effective liquidity risk management throughout the open-end investment company industry, thereby reducing the risk that funds will be unable to meet their redemption obligations and mitigating dilution of the interests of fund shareholders.
The Fund has adopted and implemented a liquidity risk management program (the Program) reasonably designed to assess and manage the Fund’s liquidity risk and to comply with the requirements of the Liquidity Rule. The Fund’s Board of Trustees (the Board) has designated the Fund’s investment adviser as administrator of the Program. Strategic Advisers has established a Liquidity Risk Management Committee (the LRM Committee) to manage the Program for each of the Funds. The LRM Committee monitors the adequacy and effectiveness of implementation of the Program and on a periodic basis assesses each Fund’s liquidity risk based on a variety of factors including (1) the Fund’s investment strategy, (2) portfolio liquidity and cash flow projections during normal and reasonably foreseeable stressed conditions, (3) shareholder redemptions and (4) borrowings and other funding sources, as applicable.
In accordance with the Program, each of the Fund’s portfolio investments is classified into one of four liquidity categories described below based on a determination of a reasonable expectation for how long it would take to convert the investment to cash (or sell or dispose of the investment) without significantly changing its market value.
- Highly liquid investments – cash or convertible to cash within three business days or less
- Moderately liquid investments – convertible to cash in three to seven calendar days
- Less liquid investments – can be sold or disposed of, but not settled, within seven calendar days
- Illiquid investments – cannot be sold or disposed of within seven calendar days
Liquidity classification determinations take into account a variety of factors including various market, trading and investment-specific considerations, as well as market depth, and generally utilize analysis from a third-party liquidity metrics service.
The Liquidity Rule places a 15% limit on a fund’s illiquid investments and requires funds that do not primarily hold assets that are highly liquid investments to determine and maintain a minimum percentage of the fund’s net assets to be invested in highly liquid investments (highly liquid investment minimum or HLIM). The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments and for determining, periodically reviewing and complying with the HLIM requirement as applicable.
At a recent meeting of the Fund’s Board of Trustees, the LRM Committee provided a written report to the Board pertaining to the operation, adequacy, and effectiveness of implementation of the Program for the annual period from December 1, 2019 through November 30, 2020. The report concluded that the Program has been implemented and is operating effectively and is reasonably designed to assess and manage the Fund’s liquidity risk.
Proxy Voting Results
A special meeting of shareholders was held on November 2, 2020. The results of votes taken among shareholders on the proposals before them are reported below. Each vote reported represents one dollar of net asset value held on the record date for the meeting.
PROPOSAL 1
To elect a Board of Trustees.
# of Votes | % of Votes | |
ROBERT A. LAWRENCE | ||
Affirmative | 204,250,982,594.51 | 96.530 |
Withheld | 7,343,512,146.85 | 3.470 |
TOTAL | 211,594,494,741.36 | 100.000 |
CHARLES S. MORRISON | ||
Affirmative | 204,349,460,488.43 | 96.576 |
Withheld | 7,245,034,252.93 | 3.424 |
TOTAL | 211,594,494,741.36 | 100.000 |
PETER C. ALDRICH | ||
Affirmative | 203,499,803,652.67 | 96.175 |
Withheld | 8,094,691,088.69 | 3.825 |
TOTAL | 211,594,494,741.36 | 100.000 |
MARY C. FARRELL | ||
Affirmative | 204,011,925,737.22 | 96.417 |
Withheld | 7,582,569,004.14 | 3.583 |
TOTAL | 211,594,494,741.36 | 100.00 |
KAREN KAPLAN | ||
Affirmative | 204,297,547,550.53 | 96.552 |
Withheld | 7,296,947,190.83 | 3.448 |
TOTAL | 211,594,494,741.36 | 100.000 |
CHRISTINE MARCKS | ||
Affirmative | 204,700,871,317.72 | 96.743 |
Withheld | 6,893,623,423.64 | 3.257 |
TOTAL | 211,594,494,741.36 | 100.000 |
HEIDI L. STEIGER | ||
Affirmative | 204,406,589,957.28 | 96.603 |
Withheld | 7,187,904,784.08 | 3.397 |
TOTAL | 211,594,494,741.36 | 100.000 |
PROPOSAL 2
To approve the conversion of a fundamental investment policy to a non-fundamental investment policy.
# of Votes | % of Votes | |
Affirmative | 6,124,442,930.23 | 85.136 |
Against | 503,171,174.79 | 6.995 |
Abstain | 566,121,313.23 | 7.869 |
Broker Non-Vote | 0.00 | 0.000 |
TOTAL | 7,193,735,418.25 | 100.000 |
PROPOSAL 3
To approve sub-advisory agreements among Strategic Advisers LLC (Strategic Advisers), FIL Investment Advisors (FIA), and the trust and sub-subadvisory agreements between FIA and FIL Investment Advisors (UK) Limited (FIA (UK)).
# of Votes | % of Votes | |
Affirmative | 6,450,123,478.62 | 89.664 |
Against | 312,320,256.59 | 4.341 |
Abstain | 431,291,683.04 | 5.995 |
Broker Non-Vote | 0.00 | 0.000 |
TOTAL | 7,193,735,418.25 | 100.000 |
PROPOSAL 5
To approve a sub-subadvisory agreement between FIAM LLC (FIAM) and FMR Investment Management (UK) Limited (FMR UK).
# of Votes | % of Votes | |
Affirmative | 6,429,146,684.60 | 89.372 |
Against | 309,931,185.15 | 4.308 |
Abstain | 454,657,548.50 | 6.320 |
Broker Non-Vote | 0.00 | 0.000 |
TOTAL | 7,193,735,418.25 | 100.000 |
PROPOSAL 6
To approve a sub-subadvisory agreement between FIAM and Fidelity Management & Research (Hong Kong) Limited (FMR H.K.).
# of Votes | % of Votes | |
Affirmative | 6,344,570,956.22 | 88.196 |
Against | 396,489,973.21 | 5.512 |
Abstain | 452,674,488.82 | 6.292 |
Broker Non-Vote | 0.00 | 0.000 |
TOTAL | 7,193,735,418.25 | 100.000 |
PROPOSAL 7
To approve a sub-subadvisory agreement between FIAM and Fidelity Management & Research (Japan) Limited (FMR Japan).
# of Votes | % of Votes | |
Affirmative | 6,432,384,901.63 | 89.417 |
Against | 308,813.160.92 | 4.293 |
Abstain | 452,537,355.70 | 6.290 |
Broker Non-Vote | 0.00 | 0.000 |
TOTAL | 7,193,735,418.25 | 100.000 |
Proposal 1 reflects trust wide proposal and voting results. |
SMC-ANN-0421
1.912857.110
Strategic Advisers® International Fund
Offered exclusively to certain clients of Strategic Advisers LLC - not available for sale to the general public
February 28, 2021
Contents
Board Approval of Investment Advisory Contracts and Management Fees | |
To view a fund's proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
You may also call 1-800-544-3455 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2021 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
Note to Shareholders:
Early in 2020, the outbreak and spread of a new coronavirus emerged as a public health emergency that had a major influence on financial markets, primarily based on its impact on the global economy and the outlook for corporate earnings. The virus causes a respiratory disease known as COVID-19. On March 11, 2020 the World Health Organization declared the COVID-19 outbreak a pandemic, citing sustained risk of further global spread.
In the weeks following, as the crisis worsened, we witnessed an escalating human tragedy with wide-scale social and economic consequences from coronavirus-containment measures. The outbreak of COVID-19 prompted a number of measures to limit the spread, including travel and border restrictions, quarantines, and restrictions on large gatherings. In turn, these resulted in lower consumer activity, diminished demand for a wide range of products and services, disruption in manufacturing and supply chains, and – given the wide variability in outcomes regarding the outbreak – significant market uncertainty and volatility. Amid the turmoil, global governments and central banks took unprecedented action to help support consumers, businesses, and the broader economies, and to limit disruption to financial systems.
The situation continues to unfold, and the extent and duration of its impact on financial markets and the economy remain highly uncertain. Extreme events such as the coronavirus crisis are “exogenous shocks” that can have significant adverse effects on mutual funds and their investments. Although multiple asset classes may be affected by market disruption, the duration and impact may not be the same for all types of assets.
Fidelity is committed to helping you stay informed amid news about COVID-19 and during increased market volatility, and we’re taking extra steps to be responsive to customer needs. We encourage you to visit our websites, where we offer ongoing updates, commentary, and analysis on the markets and our funds.
Performance: The Bottom Line
Average annual total return reflects the change in the value of an investment, assuming reinvestment of distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year. The hypothetical investment and the average annual total returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund’s total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.
Average Annual Total Returns
For the periods ended February 28, 2021 | Past 1 year | Past 5 years | Past 10 years |
Strategic Advisers® International Fund | 28.99% | 11.19% | 6.23% |
$10,000 Over 10 Years
Let's say hypothetically that $10,000 was invested in Strategic Advisers® International Fund on February 28, 2011.
The chart shows how the value of your investment would have changed, and also shows how the MSCI EAFE Index performed over the same period.
Period Ending Values | ||
$18,297 | Strategic Advisers® International Fund | |
$16,634 | MSCI EAFE Index |
Management's Discussion of Fund Performance
Market Recap: The MSCI ACWI (All Country World Index) ex USA Index gained 26.37% for the 12 months ending February 28, 2021, a volatile and unpredictable period that will be remembered by most investors for the impact of the coronavirus pandemic. The early-2020 outbreak and spread of COVID-19 resulted in non-U.S. stocks suffering one of the quickest declines on record, through late March, followed by a historic rebound. The crisis and containment efforts caused broad contraction in global economic activity, along with dislocation in financial markets. Rapid and expansive monetary/fiscal-policy responses partially offset the economic disruption and fueled the market surge, as did resilient corporate earnings and the potential for a COVID-19 vaccine breakthrough. The rally slowed in early September (-2.45%), when stocks began a two-month retreat. November (+13.46%) was a much different story, however, as investors digested election results in the U.S. The momentum continued in the final three months of the period (+7.75%), driven by regulatory approvals and the distribution of COVID-19 vaccines. For the full year, emerging markets (+37%) was the top region, followed by Japan (+29%) and Europe ex U.K. (+25%). Conversely, the U.K. (+9%), Canada (+20%) and Asia Pacific ex Japan (+21%) lagged. By sector, information technology (+63%) led, while materials (+49%) and consumer discretionary (+43%) also stood out. In contrast, real estate (+2%), energy (+4%) and utilities (+7%) notably underperformed.Comments from Portfolio Manager Wilfred Chilangwa: For the fiscal year ending February 28, 2021, the Fund advanced 28.99%, handily outpacing the 22.68% increase in the benchmark MSCI EAFE Index. Until the fourth quarter of 2020, growth stocks and strategies continued to outperform value-oriented approaches in international developed markets. At that point, market leadership began to rotate toward value and small-cap stocks. Within the Fund, sub-adviser William Blair Investment Management (+44%) surpassed the MSCI EAFE by a substantial margin and was the top contributor to relative performance. William Blair employs an opportunistic, quality growth strategy, with a bias toward emerging markets (EM). Security selection in Europe ex U.K. and in EM added considerable value, complemented by solid picks within the U.K. Sector-wise, favorable positioning in financials and energy, along with solid security selection in industrials and consumer discretionary, fueled this manager's outsized performance. Fidelity® International Discovery Fund (+35%) also significantly contributed versus the benchmark. The portfolio manager of this fund looks for companies with strong three- to five-year earnings prospects, responsible management teams, conservative balance sheets and large potential markets. This period, his strategy yielded strong investment choices in the financials and health care sectors. Beneficial positioning in information technology, as well as the Europe ex U.K. and Pacific ex Japan regions also helped. On the downside, Fidelity® SAI International Low Volatility Index Fund (+6%) was the only material relative detractor. This fund maintains equity exposure across a range of benchmark sectors that have exhibited relatively low volatility. Greater-than-benchmark allocations in more defensive sectors, such as consumer staples and utilities, hampered its performance in the risk-driven market environment from March on. Looking ahead, I plan to gradually increase the fund’s allocations to managers that I believe are positioned to benefit from the global economic recovery – particularly those emphasizing value stocks and/or those with significant small-cap exposure.The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
Investment Summary (Unaudited)
The information in the following tables is based on the direct investments of the Fund.Top Ten Holdings as of February 28, 2021
(excluding cash equivalents) | % of fund's net assets |
Fidelity International Discovery Fund | 6.1 |
iShares MSCI Japan ETF | 5.9 |
Oakmark International Fund Investor Class | 4.4 |
Artisan International Value Fund Investor Class | 4.2 |
iShares MSCI EAFE Value ETF | 3.7 |
Fidelity Diversified International Fund | 3.2 |
WCM Focused International Growth Fund Investor Class | 3.1 |
Fidelity Overseas Fund | 2.9 |
JOHCM International Select Fund Class II Shares | 2.9 |
Pear Tree Polaris Foreign Value Fund Institutional Shares | 2.6 |
39.0 |
Top Five Market Sectors as of February 28, 2021
(stocks only) | % of fund's net assets |
Investment Companies | 11.6 |
Information Technology | 8.8 |
Industrials | 8.7 |
Financials | 6.5 |
Consumer Staples | 5.4 |
Geographic Diversification (% of fund's net assets)
As of February 28, 2021 | ||
United States of America* | 52.2% | |
Japan | 9.0% | |
United Kingdom | 5.9% | |
France | 5.3% | |
Germany | 5.3% | |
Switzerland | 5.0% | |
Netherlands | 2.9% | |
Cayman Islands | 1.3% | |
Korea (South) | 1.3% | |
Other | 11.8% |
* Includes Short Term and Net Other Assets (liabilities)
Asset Allocation (% of fund's net assets)
As of February 28, 2021 | ||
Common Stocks | 48.7% | |
Preferred Stocks | 0.7% | |
Europe Stock Funds | 0.5% | |
Foreign Large Blend Funds | 11.7% | |
Foreign Large Growth Funds | 18.8% | |
Foreign Large Value Funds | 6.3% | |
Foreign Small Mid Growth Funds | 1.0% | |
Foreign Small Mid Blend Funds | 1.9% | |
Foreign Small Mid Value Funds | 0.9% | |
Other | 7.4% | |
Short-Term Investments and Net Other Assets (Liabilities) | 2.1% |
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 February 28, 2021
Showing Percentage of Net Assets
Common Stocks - 48.7% | |||
Shares | Value | ||
COMMUNICATION SERVICES - 1.9% | |||
Diversified Telecommunication Services - 0.3% | |||
Elisa Corp. (A Shares) (a) | 11,327 | $674,446 | |
Hellenic Telecommunications Organization SA | 401,395 | 6,170,022 | |
KT Corp. | 164,909 | 3,805,122 | |
Liberty Global PLC Class C (b) | 457,600 | 11,119,680 | |
Nippon Telegraph & Telephone Corp. | 1,195,000 | 30,956,547 | |
Nippon Telegraph & Telephone Corp. sponsored ADR | 48,568 | 1,266,653 | |
Orange SA | 518,831 | 5,977,875 | |
Proximus | 26,799 | 523,816 | |
Telecom Italia SpA (Risparmio Shares) | 7,680,092 | 4,116,142 | |
64,610,303 | |||
Entertainment - 0.6% | |||
Akatsuki, Inc. | 6,800 | 264,740 | |
Amuse, Inc. | 53,800 | 1,336,988 | |
Klab, Inc. (b) | 210,600 | 1,659,590 | |
Konami Holdings Corp. | 30,600 | 1,975,728 | |
NetEase, Inc. | 478,375 | 10,237,963 | |
NetEase, Inc. ADR | 158,673 | 17,430,229 | |
Nintendo Co. Ltd. | 57,300 | 35,043,115 | |
Nintendo Co. Ltd. ADR | 39,923 | 3,078,862 | |
Sea Ltd. ADR (b) | 51,135 | 12,052,008 | |
Shochiku Co. Ltd. | 1,000 | 149,163 | |
Square Enix Holdings Co. Ltd. | 164,600 | 9,326,741 | |
Tencent Music Entertainment Group ADR (b) | 123,278 | 3,170,710 | |
Toei Co. Ltd. | 5,300 | 1,055,078 | |
Toho Co. Ltd. | 42,000 | 1,585,437 | |
Ubisoft Entertainment SA (b) | 132,172 | 10,776,154 | |
Vivendi SA | 237,200 | 8,210,017 | |
117,352,523 | |||
Interactive Media & Services - 0.5% | |||
Baidu.com, Inc. sponsored ADR (b) | 23,675 | 6,710,916 | |
Bengo4.Com, Inc. (b) | 16,600 | 1,493,447 | |
Carsales.com Ltd. | 146,303 | 2,102,861 | |
GA Technologies Co. Ltd. (b) | 12,500 | 306,182 | |
Info Edge India Ltd. | 35,111 | 2,331,814 | |
Kakao Corp. | 13,753 | 5,952,386 | |
NAVER Corp. | 61,025 | 20,296,113 | |
Scout24 AG (c) | 89,932 | 6,776,291 | |
SEEK Ltd. | 136,007 | 2,689,520 | |
Tencent Holdings Ltd. | 517,200 | 44,994,855 | |
Yandex NV Series A (b) | 91,354 | 5,845,286 | |
Z Holdings Corp. | 1,170,900 | 7,148,681 | |
106,648,352 | |||
Media - 0.2% | |||
CyberAgent, Inc. | 148,100 | 8,944,016 | |
Dentsu Group, Inc. | 17,800 | 621,560 | |
Eutelsat Communications | 171,546 | 2,067,305 | |
Gakken Holdings Co. Ltd. | 6,400 | 95,164 | |
Informa PLC (b) | 790,369 | 6,065,091 | |
Mediaset SpA (b) | 109,336 | 309,483 | |
Publicis Groupe SA | 9,994 | 585,308 | |
Stroer Out-of-Home Media AG | 65,599 | 5,884,689 | |
Telenet Group Holding NV | 3,389 | 135,100 | |
WPP PLC | 868,761 | 10,389,898 | |
WPP PLC ADR | 32,988 | 1,962,456 | |
37,060,070 | |||
Wireless Telecommunication Services - 0.3% | |||
Advanced Info Service PCL (For. Reg.) | 1,007,600 | 5,494,786 | |
KDDI Corp. | 433,300 | 13,507,472 | |
Mobile TeleSystems OJSC | 341,880 | 1,442,377 | |
SoftBank Group Corp. | 271,700 | 25,357,624 | |
Tele2 AB (B Shares) | 469,993 | 5,930,643 | |
Vodafone Group PLC sponsored ADR | 520,193 | 8,936,916 | |
60,669,818 | |||
TOTAL COMMUNICATION SERVICES | 386,341,066 | ||
CONSUMER DISCRETIONARY - 4.9% | |||
Auto Components - 0.6% | |||
Aisin Seiki Co. Ltd. | 12,600 | 428,491 | |
Autoliv, Inc. (depositary receipt) | 70,131 | 6,169,342 | |
Compagnie Generale des Etablissements Michelin SCA Series B | 63,080 | 9,120,791 | |
Continental AG | 81,520 | 11,719,584 | |
Continental AG sponsored ADR | 26,791 | 383,111 | |
DENSO Corp. | 109,900 | 6,639,549 | |
Eagle Industry Co. Ltd. | 41,300 | 419,606 | |
Faurecia SA (b) | 24,583 | 1,269,771 | |
JTEKT Corp. | 73,600 | 781,705 | |
Koito Manufacturing Co. Ltd. | 198,800 | 13,241,522 | |
Magna International, Inc. Class A | 190,740 | 16,060,308 | |
Musashi Seimitsu Industry Co. Ltd. | 44,100 | 726,071 | |
Schaeffler AG | 11,564 | 98,784 | |
Shoei Co. Ltd. | 6,300 | 237,000 | |
Stanley Electric Co. Ltd. | 213,200 | 6,310,296 | |
Sumitomo Rubber Industries Ltd. | 223,300 | 2,482,391 | |
Toyoda Gosei Co. Ltd. | 4,500 | 116,558 | |
Toyota Industries Corp. | 401,600 | 34,284,535 | |
TPR Co. Ltd. | 19,100 | 263,578 | |
Valeo SA | 383,171 | 13,518,090 | |
Yorozu Corp. | 17,400 | 200,942 | |
124,472,025 | |||
Automobiles - 0.4% | |||
Bayerische Motoren Werke AG (BMW) | 39,827 | 3,435,809 | |
Daimler AG (Germany) | 38,068 | 3,042,925 | |
Ferrari NV | 3,200 | 631,616 | |
Ferrari NV | 16,230 | 3,162,542 | |
Honda Motor Co. Ltd. | 417,900 | 11,551,296 | |
Honda Motor Co. Ltd. sponsored ADR | 25,239 | 698,363 | |
Isuzu Motors Ltd. | 41,800 | 439,917 | |
Kia Motors Corp. | 11,405 | 803,137 | |
Mazda Motor Corp. | 229,300 | 1,824,157 | |
Mitsubishi Motors Corp. of Japan (b) | 711,500 | 2,039,630 | |
Nissan Motor Co. Ltd. (b) | 724,100 | 3,958,667 | |
Nissan Motor Co. Ltd. sponsored ADR (a)(b) | 65,100 | 715,124 | |
Renault SA | 73,638 | 3,298,479 | |
Stellantis NV | 435,627 | 7,055,732 | |
Stellantis NV (Italy) | 258,974 | 4,197,656 | |
Subaru Corp. | 112,600 | 2,122,605 | |
Suzuki Motor Corp. | 164,600 | 7,179,861 | |
Toyota Motor Corp. | 271,700 | 20,076,940 | |
Toyota Motor Corp. sponsored ADR | 2,200 | 325,446 | |
Volkswagen AG | 17,763 | 4,151,368 | |
Yamaha Motor Co. Ltd. | 314,100 | 6,908,615 | |
87,619,885 | |||
Distributors - 0.1% | |||
B&S Group SARL (b)(c) | 50,128 | 494,742 | |
Inchcape PLC (b) | 989,400 | 9,773,083 | |
10,267,825 | |||
Diversified Consumer Services - 0.1% | |||
AcadeMedia AB (c) | 112,541 | 1,126,223 | |
Litalico, Inc. (b) | 3,700 | 133,290 | |
Offcn Education Technology Co. A Shares | 470,700 | 2,368,348 | |
TAL Education Group ADR (b) | 150,372 | 11,659,845 | |
15,287,706 | |||
Hotels, Restaurants & Leisure - 0.7% | |||
Accor SA (b) | 65,333 | 2,724,279 | |
Aristocrat Leisure Ltd. | 330,792 | 7,727,467 | |
Autogrill SpA (b) | 276,343 | 1,783,806 | |
Betsson AB (B Shares) | 179,123 | 1,458,415 | |
Collins Foods Ltd. | 106,613 | 785,059 | |
Compass Group PLC | 2,183,338 | 44,336,957 | |
Entain PLC (b) | 826,416 | 16,268,756 | |
Evolution Gaming Group AB (c) | 103,250 | 12,857,492 | |
Flutter Entertainment PLC | 48,537 | 9,345,326 | |
Greggs PLC (b) | 42,384 | 1,231,770 | |
InterContinental Hotel Group PLC (b) | 29,974 | 2,106,396 | |
Jumbo Interactive Ltd. | 39,415 | 409,426 | |
Marston's PLC (b) | 420,484 | 560,335 | |
McDonald's Holdings Co. (Japan) Ltd. | 6,600 | 326,920 | |
Melco Crown Entertainment Ltd. sponsored ADR | 165,234 | 3,578,968 | |
Melia Hotels International SA (b) | 263,982 | 2,229,552 | |
Oriental Land Co. Ltd. | 30,300 | 5,071,082 | |
Resorttrust, Inc. | 22,400 | 384,348 | |
Round One Corp. | 188,700 | 2,053,492 | |
Sands China Ltd. | 3,299,200 | 15,549,580 | |
SkiStar AB (b) | 62,038 | 928,671 | |
Sushiro Global Holdings Ltd. (a) | 73,100 | 2,732,806 | |
Yum China Holdings, Inc. | 139,021 | 8,319,017 | |
142,769,920 | |||
Household Durables - 0.5% | |||
Barratt Developments PLC | 555,000 | 5,137,314 | |
Casio Computer Co. Ltd. | 101,200 | 1,961,410 | |
Crompton Greaves Consumer Electricals Ltd. | 426,543 | 2,221,933 | |
Electrolux AB (B Shares) | 20,009 | 472,625 | |
Iida Group Holdings Co. Ltd. | 4,600 | 104,087 | |
Nikon Corp. (a) | 541,200 | 4,842,336 | |
Panasonic Corp. | 849,200 | 10,978,576 | |
Persimmon PLC | 519,592 | 18,748,895 | |
Rinnai Corp. | 6,200 | 627,009 | |
Sekisui House Ltd. | 121,800 | 2,298,200 | |
Sony Corp. | 487,000 | 51,427,776 | |
Sony Corp. sponsored ADR | 49,059 | 5,190,933 | |
TomTom Group BV (b) | 101,198 | 949,941 | |
Vistry Group PLC | 849 | 9,959 | |
104,970,994 | |||
Internet & Direct Marketing Retail - 0.7% | |||
Alibaba Group Holding Ltd. (b) | 707,016 | 21,245,255 | |
Alibaba Group Holding Ltd. sponsored ADR (b) | 19,438 | 4,621,579 | |
Allegro.eu SA (b)(c) | 145,823 | 2,502,825 | |
ASKUL Corp. | 15,600 | 515,878 | |
ASOS PLC (b) | 195,703 | 15,268,591 | |
Boohoo.Com PLC (b) | 480,993 | 2,257,632 | |
Delivery Hero AG (b)(c) | 44,524 | 5,678,250 | |
HelloFresh AG (b) | 46,037 | 3,582,713 | |
Home24 AG (b) | 18,627 | 383,189 | |
JD.com, Inc. Class A | 214,900 | 10,078,763 | |
Meituan Class B (b)(c) | 179,600 | 7,872,674 | |
MercadoLibre, Inc. (b) | 4,993 | 8,179,083 | |
Mercari, Inc. (b) | 800 | 38,426 | |
Naspers Ltd. Class N | 34,129 | 8,053,674 | |
Rakuten, Inc. | 2,234,200 | 25,111,956 | |
THG PLC | 174,775 | 1,723,955 | |
Trainline PLC (b)(c) | 391,196 | 2,820,449 | |
Zalando SE (b)(c) | 112,527 | 11,543,119 | |
131,478,011 | |||
Leisure Products - 0.1% | |||
Sega Sammy Holdings, Inc. | 560,200 | 9,401,921 | |
SHIMANO, Inc. | 15,500 | 3,462,217 | |
Yamaha Corp. | 96,900 | 5,432,191 | |
18,296,329 | |||
Multiline Retail - 0.1% | |||
Magazine Luiza SA | 961,200 | 4,147,214 | |
Marks & Spencer Group PLC (b) | 737,812 | 1,469,760 | |
Next PLC (b) | 82,108 | 8,648,101 | |
14,265,075 | |||
Specialty Retail - 0.2% | |||
Clas Ohlson AB (B Shares) (b) | 92,394 | 830,505 | |
Dufry AG (b) | 11,197 | 764,432 | |
Geo Holdings Corp. | 45,800 | 513,878 | |
H&M Hennes & Mauritz AB (B Shares) | 47,938 | 1,129,770 | |
Hornbach Holding AG & Co. KGaA | 7,144 | 674,052 | |
JD Sports Fashion PLC (b) | 138,885 | 1,606,779 | |
Kingfisher PLC (b) | 3,982,158 | 14,759,676 | |
Kingfisher PLC ADR (b) | 20,131 | 148,365 | |
Mekonomen AB | 79,475 | 1,049,451 | |
Nitori Holdings Co. Ltd. | 14,400 | 2,684,929 | |
USS Co. Ltd. | 295,500 | 5,610,882 | |
WH Smith PLC | 594,872 | 15,829,615 | |
45,602,334 | |||
Textiles, Apparel & Luxury Goods - 1.4% | |||
adidas AG | 58,215 | 20,292,136 | |
Asics Corp. | 33,800 | 553,319 | |
Brunello Cucinelli SpA | 41,205 | 1,696,306 | |
Burberry Group PLC | 171,348 | 4,333,998 | |
Canada Goose Holdings, Inc. (a)(b) | 58,242 | 2,610,989 | |
Compagnie Financiere Richemont SA: | |||
warrants 11/22/23 (b) | 1,233,015 | 433,755 | |
Series A | 576,739 | 55,527,732 | |
Essilor International SA | 258,111 | 42,106,486 | |
Gildan Activewear, Inc. | 161,187 | 4,897,927 | |
Gildan Activewear, Inc. | 9,900 | 300,663 | |
Hermes International SCA | 4,496 | 5,008,036 | |
Hugo Boss AG | 20,096 | 759,896 | |
Kering SA | 23,206 | 14,696,780 | |
Li Ning Co. Ltd. | 1,734,000 | 9,747,036 | |
lululemon athletica, Inc. (b) | 27,797 | 8,663,769 | |
LVMH Moet Hennessy Louis Vuitton SE | 87,552 | 55,474,607 | |
Moncler SpA | 200,594 | 12,415,969 | |
Pandora A/S | 21,052 | 2,048,089 | |
Puma AG | 82,571 | 8,765,099 | |
Samsonite International SA (b)(c) | 1,750,200 | 3,407,231 | |
Shenzhou International Group Holdings Ltd. | 226,000 | 4,693,977 | |
Swatch Group AG (Bearer) | 13,741 | 4,096,696 | |
Swatch Group AG (Bearer) (Reg.) | 86,127 | 4,942,373 | |
TSI Holdings Co. Ltd. | 14,600 | 35,885 | |
267,508,754 | |||
TOTAL CONSUMER DISCRETIONARY | 962,538,858 | ||
CONSUMER STAPLES - 5.2% | |||
Beverages - 1.2% | |||
Carabao Group PCL | 396,500 | 1,797,045 | |
Carlsberg A/S Series B | 30,526 | 4,804,358 | |
Coca-Cola HBC AG | 20,970 | 653,841 | |
Coca-Cola West Co. Ltd. | 96,100 | 1,649,824 | |
Diageo PLC | 1,864,141 | 73,044,034 | |
Heineken Holding NV | 185,496 | 15,935,286 | |
Heineken NV (Bearer) (a) | 233,778 | 23,044,698 | |
ITO EN Ltd. | 413,200 | 22,792,964 | |
Kirin Holdings Co. Ltd. | 980,900 | 19,324,559 | |
Kweichow Moutai Co. Ltd. (A Shares) | 26,007 | 8,526,002 | |
Pernod Ricard SA | 339,344 | 64,424,676 | |
Royal Unibrew A/S | 21,638 | 2,227,978 | |
Sapporo Holdings Ltd. | 8,300 | 171,210 | |
238,396,475 | |||
Food & Staples Retailing - 0.4% | |||
AEON Co. Ltd. | 1,800 | 54,354 | |
Bim Birlesik Magazalar A/S JSC | 72,204 | 642,634 | |
Carrefour SA | 279,762 | 4,875,864 | |
Casino Guichard Perrachon SA (a)(b) | 131,236 | 4,208,751 | |
Cawachi Ltd. | 5,500 | 147,619 | |
Cosmos Pharmaceutical Corp. | 4,200 | 600,872 | |
Create SD Holdings Co. Ltd. | 28,200 | 855,828 | |
J Sainsbury PLC | 185,458 | 584,456 | |
Matsumotokiyoshi Holdings Co. Ltd. | 120,800 | 4,737,033 | |
Mitsubishi Shokuhin Co. Ltd. | 6,600 | 177,020 | |
Okuwa Co. Ltd. | 33,300 | 353,009 | |
Seven & i Holdings Co. Ltd. | 865,700 | 32,995,551 | |
Sugi Holdings Co. Ltd. | 60,300 | 4,197,439 | |
Tesco PLC | 5,102,052 | 16,036,315 | |
Welcia Holdings Co. Ltd. | 102,300 | 3,267,803 | |
Zur Rose Group AG (b) | 5,240 | 2,471,236 | |
76,205,784 | |||
Food Products - 1.6% | |||
Barry Callebaut AG | 2,904 | 6,282,715 | |
Chacha Food Co. Ltd. (A Shares) | 231,800 | 2,037,645 | |
Danone SA | 829,684 | 56,419,273 | |
Ezaki Glico Co. Ltd. | 202,300 | 8,227,126 | |
Foshan Haitian Flavouring & Food Co. Ltd. (A Shares) | 164,000 | 4,374,076 | |
Kerry Group PLC Class A | 108,690 | 13,107,435 | |
La Doria SpA | 25,799 | 436,412 | |
Lindt & Spruengli AG (participation certificate) | 414 | 3,470,291 | |
Mowi ASA | 496,800 | 11,998,007 | |
Nestle SA: | |||
(Reg. S) | 1,711,570 | 178,634,306 | |
sponsored ADR | 1,197 | 125,470 | |
Nissin Food Holdings Co. Ltd. | 68,300 | 5,157,981 | |
Toyo Suisan Kaisha Ltd. | 470,000 | 20,017,824 | |
Wilmar International Ltd. | 2,644,600 | 10,472,092 | |
320,760,653 | |||
Household Products - 0.5% | |||
Colgate-Palmolive Co. | 305,481 | 22,972,171 | |
Essity AB (B Shares) | 211,900 | 6,369,121 | |
Lion Corp. | 216,600 | 4,157,452 | |
Pigeon Corp. | 16,700 | 603,171 | |
Reckitt Benckiser Group PLC | 588,269 | 49,344,588 | |
Unicharm Corp. | 47,600 | 1,882,655 | |
85,329,158 | |||
Personal Products - 1.2% | |||
Kao Corp. | 689,100 | 46,361,955 | |
Kobayashi Pharmaceutical Co. Ltd. | 285,900 | 26,982,072 | |
Kose Corp. | 32,100 | 5,140,457 | |
L'Oreal SA | 196,289 | 71,635,622 | |
Pola Orbis Holdings, Inc. | 85,000 | 1,940,100 | |
Proya Cosmetics Co. Ltd. (A Shares) | 85,000 | 2,205,354 | |
Rohto Pharmaceutical Co. Ltd. | 553,300 | 14,783,042 | |
Unilever PLC | 1,307,999 | 68,026,616 | |
Unilever PLC sponsored ADR | 122,533 | 6,379,068 | |
243,454,286 | |||
Tobacco - 0.3% | |||
British American Tobacco PLC: | |||
(United Kingdom) | 1,241,168 | 43,099,782 | |
sponsored ADR | 23,600 | 827,416 | |
Imperial Brands PLC | 449,100 | 8,340,396 | |
Japan Tobacco, Inc. | 430,600 | 7,796,667 | |
60,064,261 | |||
TOTAL CONSUMER STAPLES | 1,024,210,617 | ||
ENERGY - 1.6% | |||
Energy Equipment & Services - 0.1% | |||
BW Offshore Ltd. | 71,974 | 292,525 | |
CGG SA (b) | 192,985 | 225,535 | |
Core Laboratories NV | 100,772 | 3,581,437 | |
John Wood Group PLC | 145,363 | 605,737 | |
Petrofac Ltd. (b) | 179,670 | 326,162 | |
Schoeller-Bleckmann Oilfield Equipment AG | 4,692 | 221,067 | |
Tenaris SA | 336,338 | 3,512,277 | |
Tenaris SA sponsored ADR (a) | 321,272 | 6,730,648 | |
WorleyParsons Ltd. | 887,786 | 7,582,487 | |
23,077,875 | |||
Oil, Gas & Consumable Fuels - 1.5% | |||
Ampol Ltd. | 757 | 14,317 | |
BP PLC | 7,572,800 | 31,014,611 | |
BP PLC sponsored ADR | 624,005 | 15,231,962 | |
Cairn Energy PLC | 2,018,770 | 5,371,971 | |
ENEOS Holdings, Inc. | 1,032,500 | 4,565,703 | |
Eni SpA | 2,230,494 | 25,501,281 | |
Eni SpA sponsored ADR | 4,900 | 112,112 | |
EnQuest PLC (b) | 107,908 | 29,346 | |
Equinor ASA | 669,454 | 12,604,476 | |
Galp Energia SGPS SA Class B | 856,116 | 9,570,036 | |
Gazprom OAO | 240,410 | 704,060 | |
Gazprom OAO sponsored ADR (Reg. S) | 430,845 | 2,498,901 | |
Gulf Keystone Petroleum Ltd. (b) | 619 | 1,475 | |
Idemitsu Kosan Co. Ltd. | 321,200 | 8,448,609 | |
INPEX Corp. | 534,400 | 3,973,579 | |
Japan Petroleum Exploration Co. Ltd. | 18,600 | 388,769 | |
Lukoil PJSC | 24,105 | 1,806,491 | |
Lundin Petroleum AB | 94,400 | 3,053,167 | |
Neste Oyj | 196,480 | 12,910,448 | |
Oil Search Ltd. ADR | 1,811,662 | 5,910,489 | |
OMV AG | 148,480 | 7,140,861 | |
Ovintiv, Inc. | 81,673 | 1,884,196 | |
Premier Oil PLC (a)(b) | 109,141 | 43,351 | |
Reliance Industries Ltd. | 24,740 | 405,128 | |
Reliance Industries Ltd. | 435,627 | 12,289,257 | |
Repsol SA | 940,021 | 11,832,793 | |
Rosneft Oil Co. OJSC | 322,720 | 2,272,318 | |
Royal Dutch Shell PLC (a) | 72,464 | 1,388,411 | |
Royal Dutch Shell PLC: | |||
Class B rights 3/31/21 (a)(b)(d) | 72,464 | 12,063 | |
Class A sponsored ADR (a) | 31,410 | 1,288,752 | |
Class B sponsored ADR | 614,713 | 23,900,041 | |
Class B rights 3/31/21 (b)(d) | 177,103 | 29,513 | |
Class B (United Kingdom) | 177,103 | 3,471,810 | |
Santos Ltd. | 1,892,500 | 10,528,211 | |
Tatneft PAO sponsored ADR | 25,691 | 1,070,801 | |
TC Energy Corp. | 149,897 | 6,278,100 | |
Total SA | 1,549,778 | 72,266,339 | |
Total SA sponsored ADR | 41,944 | 1,946,202 | |
VERBIO Vereinigte BioEnergie AG | 15,679 | 627,115 | |
302,387,065 | |||
TOTAL ENERGY | 325,464,940 | ||
FINANCIALS - 6.5% | |||
Banks - 2.9% | |||
AIB Group PLC | 7,346,300 | 16,513,033 | |
Australia & New Zealand Banking Group Ltd. | 395,508 | 7,964,149 | |
Banco Bilbao Vizcaya Argentaria SA | 4,788,441 | 26,627,943 | |
Banco Bradesco SA | 123,000 | 451,906 | |
Banco de Sabadell SA | 368,791 | 185,372 | |
Bank Ireland Group PLC | 2,062,642 | 8,411,741 | |
Barclays PLC | 12,069,460 | 26,837,014 | |
BNP Paribas SA | 974,791 | 57,948,796 | |
CaixaBank SA | 9,723,348 | 28,161,091 | |
Chiba Bank Ltd. | 694,600 | 4,448,513 | |
Close Brothers Group PLC | 147,847 | 3,202,996 | |
DBS Group Holdings Ltd. | 1,041,300 | 20,804,134 | |
DNB ASA | 835,374 | 16,248,682 | |
Erste Group Bank AG | 176,985 | 5,827,541 | |
Grupo Financiero Banorte S.A.B. de CV Series O (b) | 1,619,789 | 8,134,173 | |
HDFC Bank Ltd. (b) | 1,131,550 | 23,589,322 | |
ING Groep NV (Certificaten Van Aandelen) | 5,853,796 | 64,114,945 | |
Intesa Sanpaolo SpA | 2,240,025 | 5,759,175 | |
Jyske Bank A/S (Reg.) (b) | 86,506 | 3,737,758 | |
KBC Groep NV | 380,587 | 27,377,340 | |
Lloyds Banking Group PLC | 14,098,329 | 7,681,804 | |
Mebuki Financial Group, Inc. | 1,147,500 | 2,443,665 | |
Mediobanca SpA (b) | 1,111,700 | 11,559,510 | |
Mitsubishi UFJ Financial Group, Inc. | 4,028,100 | 21,186,582 | |
National Bank of Canada | 221,816 | 13,972,003 | |
NatWest Group PLC | 3,437,392 | 8,821,291 | |
Nordea Bank ABP (Helsinki Stock Exchange) | 13,142 | 119,050 | |
North Pacific Bank Ltd. | 1,021,400 | 2,309,277 | |
Piraeus Financial Holdings SA (b) | 718,833 | 666,960 | |
PT Bank Central Asia Tbk | 4,379,300 | 10,317,803 | |
PT Bank Mandiri (Persero) Tbk | 4,971,000 | 2,128,599 | |
Raiffeisen International Bank-Holding AG | 29,903 | 606,857 | |
Sberbank of Russia | 959,670 | 3,481,238 | |
Shiga Bank Ltd. | 8,600 | 168,135 | |
Shinsei Bank Ltd. | 246,400 | 3,525,186 | |
Standard Chartered PLC (United Kingdom) | 492,008 | 3,167,536 | |
Sumitomo Mitsui Financial Group, Inc. | 1,164,500 | 41,113,159 | |
Sumitomo Mitsui Trust Holdings, Inc. | 164,800 | 5,441,280 | |
Svenska Handelsbanken AB (A Shares) | 942,047 | 9,931,839 | |
Sydbank A/S | 114,705 | 2,620,467 | |
The Hachijuni Bank Ltd. | 681,400 | 2,243,739 | |
The Yamanashi Chuo Bank Ltd. | 25,300 | 204,593 | |
UniCredit SpA | 5,113,107 | 52,685,132 | |
United Overseas Bank Ltd. | 500,500 | 9,263,792 | |
572,005,121 | |||
Capital Markets - 1.1% | |||
3i Group PLC | 351,510 | 5,421,242 | |
B3 SA - Brasil Bolsa Balcao | 653,600 | 6,332,836 | |
Brewin Dolphin Holding PLC | 214,846 | 878,514 | |
Credit Suisse Group AG | 1,405,634 | 20,334,700 | |
Daiwa Securities Group, Inc. | 89,200 | 436,530 | |
Deutsche Bank AG (b) | 298,548 | 3,679,216 | |
Deutsche Borse AG | 111,865 | 18,295,280 | |
Euronext NV (c) | 217,386 | 23,396,007 | |
Futu Holdings Ltd. ADR (b) | 1,762 | 269,216 | |
Hong Kong Exchanges and Clearing Ltd. | 190,600 | 11,627,990 | |
IG Group Holdings PLC | 171,700 | 1,863,465 | |
Intermediate Capital Group PLC | 205,139 | 4,947,192 | |
Julius Baer Group Ltd. | 302,166 | 18,599,331 | |
Jupiter Fund Management PLC | 142,203 | 585,238 | |
London Stock Exchange Group PLC | 88,162 | 11,847,099 | |
Macquarie Group Ltd. | 293,035 | 32,125,789 | |
Netwealth Group Ltd. | 23,683 | 254,938 | |
Nomura Holdings, Inc. | 1,067,800 | 6,237,208 | |
Partners Group Holding AG | 7,277 | 8,723,760 | |
UBS Group AG | 2,896,859 | 44,902,668 | |
XP, Inc. Class A (b) | 37,571 | 1,658,384 | |
222,416,603 | |||
Consumer Finance - 0.0% | |||
AEON Financial Service Co. Ltd. | 20,900 | 267,438 | |
Hoist Finance AB (b)(c) | 55,065 | 265,286 | |
532,724 | |||
Diversified Financial Services - 0.4% | |||
Challenger Ltd. | 2,434,260 | 12,081,117 | |
Element Financial Corp. | 980,076 | 9,611,306 | |
EXOR NV | 67,800 | 5,439,972 | |
Groupe Bruxelles Lambert SA | 94,400 | 9,357,886 | |
Hypoport AG (b) | 3,600 | 2,523,620 | |
Industrivarden AB (C Shares) | 19,520 | 644,741 | |
Investor AB (B Shares) | 167,500 | 12,394,036 | |
M&G PLC | 805,040 | 2,062,589 | |
Mitsubishi UFJ Lease & Finance Co. Ltd. | 751,700 | 4,026,649 | |
ORIX Corp. | 1,202,200 | 20,317,682 | |
78,459,598 | |||
Insurance - 2.0% | |||
AEGON NV | 485,230 | 2,325,576 | |
AEGON NV (NY Reg.) | 454,419 | 2,149,402 | |
AIA Group Ltd. | 4,031,400 | 50,841,719 | |
Allianz SE | 54,600 | 13,162,350 | |
Aon PLC | 88,422 | 20,134,574 | |
Assicurazioni Generali SpA | 45,436 | 852,464 | |
Aviva PLC | 4,820,379 | 24,421,978 | |
AXA SA | 2,227,425 | 56,015,839 | |
Baloise Holdings AG | 7,260 | 1,268,195 | |
Beazley PLC | 323,569 | 1,558,854 | |
CNP Assurances | 97,156 | 1,747,803 | |
Coface SA (b) | 124,507 | 1,359,526 | |
Dai-ichi Mutual Life Insurance Co. | 165,300 | 2,937,902 | |
Direct Line Insurance Group PLC | 692,154 | 3,091,574 | |
Hiscox Ltd. (b) | 889,767 | 11,702,045 | |
MAPFRE SA (Reg.) | 1,338,547 | 2,538,818 | |
MS&AD Insurance Group Holdings, Inc. | 55,400 | 1,572,516 | |
MS&AD Insurance Group Holdings, Inc. ADR | 5,200 | 73,944 | |
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 72,167 | 21,158,762 | |
NN Group NV | 137,581 | 6,341,137 | |
PICC Property & Casualty Co. Ltd. (H Shares) | 7,236,000 | 5,476,129 | |
Ping An Insurance Group Co. of China Ltd. (H Shares) | 1,571,500 | 19,446,646 | |
Porto Seguro SA | 70,900 | 551,467 | |
Prudential PLC | 1,227,796 | 24,458,045 | |
Sampo Oyj (A Shares) | 368,477 | 16,391,883 | |
Sompo Holdings, Inc. | 246,000 | 9,467,568 | |
Storebrand ASA (A Shares) | 1,134,979 | 9,699,668 | |
Sun Life Financial, Inc. (a) | 304,408 | 14,648,708 | |
Swiss Life Holding AG | 9,214 | 4,581,424 | |
Talanx AG | 111,900 | 4,652,546 | |
Tokio Marine Holdings, Inc. | 289,800 | 14,396,869 | |
Tokio Marine Holdings, Inc. ADR (a) | 3,647 | 182,532 | |
Wustenrot & Wurttembergische AG | 15,481 | 318,283 | |
Zurich Insurance Group Ltd. | 128,905 | 52,620,393 | |
402,147,139 | |||
Thrifts & Mortgage Finance - 0.1% | |||
Aareal Bank AG | 1,076 | 28,561 | |
Housing Development Finance Corp. Ltd. | 205,809 | 7,068,604 | |
7,097,165 | |||
TOTAL FINANCIALS | 1,282,658,350 | ||
HEALTH CARE - 4.8% | |||
Biotechnology - 0.1% | |||
Abcam PLC | 67,514 | 1,595,266 | |
Genmab A/S (b) | 20,576 | 6,910,748 | |
Genmab A/S ADR (b) | 13,417 | 454,434 | |
Pharma Foods International Co. Ltd. | 200 | 6,314 | |
Vitrolife AB | 50,458 | 1,634,945 | |
10,601,707 | |||
Health Care Equipment & Supplies - 1.2% | |||
AK Medical Holdings Ltd. (c) | 416,000 | 612,486 | |
Alcon, Inc. (Switzerland) (b) | 285,978 | 19,661,479 | |
ASAHI INTECC Co. Ltd. | 141,700 | 4,061,105 | |
Carl Zeiss Meditec AG | 30,807 | 4,620,254 | |
Coloplast A/S Series B | 39,803 | 6,062,931 | |
Elekta AB (B Shares) (a) | 532,040 | 7,173,552 | |
GN Store Nord A/S | 18,239 | 1,532,938 | |
Hoya Corp. | 155,500 | 17,651,391 | |
InMode Ltd. (b) | 28,679 | 1,977,704 | |
Koninklijke Philips Electronics NV | 1,311,801 | 71,620,469 | |
Koninklijke Philips Electronics NV (depositary receipt) (NY Reg.) | 65,581 | 3,567,606 | |
Medacta Group SA (b)(c) | 2,347 | 267,300 | |
Nihon Kohden Corp. | 495,000 | 13,415,779 | |
Olympus Corp. | 1,116,500 | 23,524,299 | |
Shenzhen Mindray Bio-Medical Electronics Co. Ltd. (A Shares) | 49,400 | 3,188,992 | |
Siemens Healthineers AG (c) | 175,102 | 9,682,473 | |
Smith & Nephew PLC | 655,555 | 12,731,649 | |
Sonova Holding AG Class B | 13,129 | 3,360,008 | |
Straumann Holding AG | 7,922 | 9,571,020 | |
Terumo Corp. | 664,400 | 24,715,888 | |
Venus MedTech Hangzhou, Inc. (H Shares) (b)(c) | 219,000 | 1,939,715 | |
240,939,038 | |||
Health Care Providers & Services - 0.2% | |||
Aier Eye Hospital Group Co. Ltd. (A Shares) | 501,900 | 5,602,547 | |
Amplifon SpA | 70,083 | 2,790,435 | |
Dr Lal Pathlabs Ltd. (c) | 79,052 | 2,459,864 | |
Estia Health Ltd. | 51,256 | 84,399 | |
Fresenius Medical Care AG & Co. KGaA | 781 | 54,071 | |
Fresenius SE & Co. KGaA | 603,789 | 25,818,097 | |
Notre Dame Intermedica Participacoes SA | 183,600 | 2,841,046 | |
Spire Healthcare Group PLC (c) | 91,336 | 186,548 | |
Topchoice Medical Corp. (b) | 101,600 | 4,158,050 | |
43,995,057 | |||
Health Care Technology - 0.1% | |||
CompuGroup Medical AG | 32,455 | 2,784,175 | |
M3, Inc. | 154,000 | 12,239,601 | |
Pro Medicus Ltd. | 54,602 | 1,863,299 | |
16,887,075 | |||
Life Sciences Tools & Services - 0.3% | |||
Bachem Holding AG (B Shares) | 3,499 | 1,323,208 | |
Eurofins Scientific SA (b) | 54,537 | 4,845,631 | |
Evotec OAI AG (b) | 130,947 | 5,066,871 | |
Hangzhou Tigermed Consulting Co. Ltd. (A Shares) | 244,300 | 5,303,923 | |
ICON PLC (b) | 36,315 | 6,561,394 | |
Lonza Group AG | 22,732 | 14,338,116 | |
Sartorius Stedim Biotech | 20,414 | 8,916,245 | |
Siegfried Holding AG | 3,448 | 2,689,338 | |
Tecan Group AG | 7,087 | 2,977,685 | |
WuXi AppTec Co. Ltd. | 144,480 | 3,205,931 | |
Wuxi Biologics (Cayman), Inc. (b)(c) | 1,117,000 | 13,838,425 | |
69,066,767 | |||
Pharmaceuticals - 2.9% | |||
Astellas Pharma, Inc. | 2,181,700 | 34,495,252 | |
AstraZeneca PLC sponsored ADR (a) | 560,382 | 27,111,281 | |
Bayer AG | 747,704 | 45,416,416 | |
Daiichi Sankyo Kabushiki Kaisha | 302,100 | 8,578,549 | |
GlaxoSmithKline PLC | 193,752 | 3,232,901 | |
GlaxoSmithKline PLC sponsored ADR | 361,572 | 12,152,435 | |
Ipca Laboratories Ltd. | 59,478 | 1,487,855 | |
Ipsen SA | 53,082 | 4,524,856 | |
Kyowa Hakko Kirin Co., Ltd. | 556,700 | 15,572,541 | |
Novartis AG | 960,481 | 82,722,803 | |
Novo Nordisk A/S Series B | 498,332 | 35,549,554 | |
Orion Oyj (B Shares) | 31,454 | 1,289,189 | |
Otsuka Holdings Co. Ltd. | 283,200 | 11,295,728 | |
Roche Holding AG: | |||
(participation certificate) | 413,801 | 135,751,149 | |
sponsored ADR | 12,427 | 510,750 | |
Sanofi SA | 951,729 | 87,340,843 | |
Sanofi SA sponsored ADR | 14,066 | 645,489 | |
Santen Pharmaceutical Co. Ltd. | 2,147,700 | 29,456,704 | |
Takeda Pharmaceutical Co. Ltd. | 1,118,900 | 37,705,612 | |
Takeda Pharmaceutical Co. Ltd. ADR | 216,511 | 3,617,899 | |
578,457,806 | |||
TOTAL HEALTH CARE | 959,947,450 | ||
INDUSTRIALS - 8.7% | |||
Aerospace & Defense - 0.9% | |||
Airbus Group NV | 450,350 | 52,319,256 | |
Dassault Aviation SA (b) | 6,004 | 6,469,005 | |
Leonardo SpA | 441,366 | 3,530,675 | |
Meggitt PLC | 1,742,365 | 10,273,023 | |
MTU Aero Engines Holdings AG | 57,883 | 13,758,230 | |
Rolls-Royce Holdings PLC | 39,698,252 | 59,566,290 | |
Safran SA (b) | 158,242 | 21,570,372 | |
Senior Engineering Group PLC | 325,958 | 464,570 | |
Thales SA | 3,148 | 297,932 | |
168,249,353 | |||
Air Freight & Logistics - 0.2% | |||
Deutsche Post AG | 276,100 | 13,713,224 | |
DSV Panalpina A/S | 109,312 | 20,077,425 | |
InPost SA | 137,971 | 3,022,410 | |
SBS Co. Ltd. | 8,700 | 198,493 | |
Yamato Holdings Co. Ltd. | 42,200 | 1,113,609 | |
38,125,161 | |||
Airlines - 0.5% | |||
Aeroflot Russian International Airlines (b) | 237,020 | 221,141 | |
Air Canada (b) | 1,364,900 | 26,920,470 | |
Finnair Oyj | 1,091,594 | 943,675 | |
International Consolidated Airlines Group SA CDI (b) | 6,868,902 | 18,369,143 | |
Japan Airlines Co. Ltd. (b) | 356,500 | 8,461,419 | |
Ryanair Holdings PLC sponsored ADR (b) | 438,277 | 47,123,543 | |
102,039,391 | |||
Building Products - 0.4% | |||
AGC, Inc. | 49,700 | 1,831,482 | |
AGC, Inc. ADR | 9,900 | 73,062 | |
Aica Kogyo Co. Ltd. | 4,300 | 148,651 | |
Belimo Holding AG (Reg.) | 259 | 1,887,726 | |
Central Glass Co. Ltd. | 10,400 | 215,034 | |
Compagnie de St. Gobain (b) | 133,387 | 7,173,065 | |
Daikin Industries Ltd. | 218,100 | 42,505,283 | |
Geberit AG (Reg.) | 20,637 | 12,164,634 | |
Kingspan Group PLC (Ireland) | 98,728 | 7,176,996 | |
Nibe Industrier AB (B Shares) | 121,462 | 3,816,230 | |
Toto Ltd. | 74,600 | 4,524,324 | |
81,516,487 | |||
Commercial Services & Supplies - 0.4% | |||
A-Living Services Co. Ltd. (H Shares) (c) | 357,250 | 1,496,899 | |
Aggreko PLC | 90,090 | 1,004,107 | |
Babcock International Group PLC (b) | 104,820 | 379,253 | |
Brambles Ltd. | 1,246,622 | 9,496,212 | |
Country Garden Services Holdings Co. Ltd. | 836,000 | 6,876,445 | |
ISS Holdings A/S | 55,370 | 997,221 | |
Okamura Corp. | 21,800 | 225,782 | |
Rentokil Initial PLC | 1,022,522 | 6,648,504 | |
Ritchie Bros. Auctioneers, Inc. | 187,785 | 10,248,050 | |
Secom Co. Ltd. | 275,100 | 23,954,358 | |
Sohgo Security Services Co., Ltd. | 148,400 | 6,682,490 | |
Tomra Systems ASA | 99,031 | 4,235,081 | |
72,244,402 | |||
Construction & Engineering - 0.1% | |||
Balfour Beatty PLC | 1,791,356 | 6,873,205 | |
Sacyr SA | 446,708 | 1,127,537 | |
Skanska AB (B Shares) | 6,949 | 168,542 | |
Sweco AB (B Shares) | 122,913 | 1,767,150 | |
VINCI SA | 179,342 | 18,651,549 | |
28,587,983 | |||
Electrical Equipment - 1.4% | |||
ABB Ltd.: | |||
(Reg.) | 2,096,970 | 60,370,719 | |
sponsored ADR (a) | 86,800 | 2,498,104 | |
Daihen Corp. | 10,900 | 462,709 | |
Havells India Ltd. | 163,596 | 2,446,185 | |
Legrand SA | 658,771 | 57,164,903 | |
Mitsubishi Electric Corp. | 984,500 | 14,579,246 | |
Nippon Carbon Co. Ltd. | 2,300 | 83,611 | |
Prysmian SpA | 453,185 | 14,593,835 | |
Schneider Electric SA | 638,284 | 94,385,852 | |
Siemens Energy AG (b) | 325,368 | 12,267,899 | |
Siemens Gamesa Renewable Energy SA | 145,800 | 5,418,182 | |
Signify NV (b)(c) | 35,373 | 1,538,589 | |
Vestas Wind Systems A/S | 23,128 | 4,337,080 | |
Weg SA | 275,700 | 3,839,689 | |
273,986,603 | |||
Industrial Conglomerates - 0.9% | |||
CK Hutchison Holdings Ltd. | 2,267,300 | 17,129,457 | |
DCC PLC (United Kingdom) | 255,712 | 20,556,084 | |
Jardine Strategic Holdings Ltd. | 16,600 | 429,608 | |
Latour Investment AB (B Shares) | 121,244 | 2,761,191 | |
Lifco AB | 30,782 | 2,927,314 | |
Melrose Industries PLC | 6,436,153 | 14,876,001 | |
Nolato AB (B Shares) | 27,225 | 2,432,675 | |
Noritsu Koki Co. Ltd. | 10,500 | 236,606 | |
Siemens AG | 639,798 | 99,015,950 | |
Toshiba Corp. | 486,090 | 15,299,329 | |
175,664,215 | |||
Machinery - 2.1% | |||
Airtac International Group | 69,000 | 2,401,249 | |
Amada Co. Ltd. | 85,400 | 1,043,419 | |
Andritz AG | 44,671 | 2,140,820 | |
Atlas Copco AB (A Shares) | 363,476 | 20,743,884 | |
Bodycote PLC | 61,153 | 615,984 | |
CNH Industrial NV | 585,821 | 8,651,505 | |
Electrolux Professional AB (b) | 99,964 | 532,500 | |
Epiroc AB (A Shares) | 589,974 | 12,520,677 | |
FANUC Corp. | 242,500 | 60,602,432 | |
Furukawa Co. Ltd. | 15,900 | 194,956 | |
GEA Group AG | 823,403 | 28,433,308 | |
Harmonic Drive Systems, Inc. | 40,600 | 3,119,415 | |
Hino Motors Ltd. | 22,300 | 210,847 | |
IHI Corp. | 100 | 1,863 | |
IMI PLC | 1,117,800 | 20,385,305 | |
Kawasaki Heavy Industries Ltd. (b) | 183,200 | 4,151,709 | |
KION Group AG | 163,597 | 13,805,314 | |
Kitz Corp. | 42,200 | 222,887 | |
Knorr-Bremse AG | 108,528 | 13,819,878 | |
Kone OYJ (B Shares) | 49,064 | 3,911,815 | |
Kubota Corp. | 814,600 | 18,479,562 | |
Kurita Water Industries Ltd. | 37,200 | 1,504,123 | |
Misumi Group, Inc. | 104,400 | 3,183,076 | |
Mitsubishi Heavy Industries Ltd. | 99,100 | 2,874,710 | |
Mitsuboshi Belting Ltd. | 11,600 | 178,796 | |
Morgan Advanced Materials PLC | 35,343 | 152,644 | |
Nachi-Fujikoshi Corp. | 1,300 | 54,942 | |
NGK Insulators Ltd. | 113,800 | 2,029,198 | |
Nissei ASB Machine Co. Ltd. | 4,500 | 226,699 | |
Nordson Corp. | 58,279 | 11,213,462 | |
NSK Ltd. | 230,700 | 2,277,652 | |
NTN Corp. (b) | 1,028,500 | 3,020,463 | |
Rotork PLC | 793,529 | 3,944,583 | |
Ryobi Ltd. | 23,900 | 280,266 | |
Schindler Holding AG (participation certificate) | 120,596 | 32,904,883 | |
Sintokogio Ltd. | 38,000 | 259,524 | |
SMC Corp. | 94,500 | 55,762,934 | |
Spirax-Sarco Engineering PLC | 215,678 | 32,181,685 | |
Sumitomo Heavy Industries Ltd. | 8,200 | 227,596 | |
Techtronic Industries Co. Ltd. | 1,270,500 | 19,393,821 | |
THK Co. Ltd. | 153,100 | 4,933,613 | |
VAT Group AG (c) | 13,065 | 3,630,882 | |
Vesuvius PLC | 32,206 | 233,770 | |
Volvo AB (B Shares) | 606,825 | 15,544,505 | |
Wartsila Corp. | 610,207 | 6,995,802 | |
Yaskawa Electric Corp. | 5,900 | 296,845 | |
419,295,803 | |||
Marine - 0.1% | |||
A.P. Moller - Maersk A/S: | |||
Series A | 568 | 1,140,018 | |
Series B | 4,632 | 9,906,488 | |
Atlas Corp. (a) | 28,905 | 388,194 | |
Nippon Yusen KK | 133,500 | 3,861,445 | |
15,296,145 | |||
Professional Services - 0.9% | |||
51job, Inc. sponsored ADR (b) | 64,113 | 4,205,813 | |
Adecco SA (Reg.) | 8,256 | 518,059 | |
AF Poyry AB (B Shares) | 22,441 | 610,730 | |
Benefit One, Inc. | 116,600 | 2,938,108 | |
Centre Testing International Group Co. Ltd. (A Shares) | 1,120,000 | 4,225,632 | |
Experian PLC | 837,635 | 26,589,738 | |
Intertek Group PLC | 307,780 | 22,966,479 | |
McMillan Shakespeare Ltd. | 10,810 | 103,057 | |
Nihon M&A Center, Inc. | 106,200 | 5,788,470 | |
NOMURA Co. Ltd. | 40,800 | 311,564 | |
Outsourcing, Inc. | 28,300 | 432,750 | |
Persol Holdings Co. Ltd. | 291,000 | 5,752,024 | |
Randstad NV | 3,082 | 205,787 | |
Recruit Holdings Co. Ltd. | 237,200 | 11,852,746 | |
RELX PLC: | |||
(London Stock Exchange) | 112,845 | 2,660,875 | |
sponsored ADR | 32,735 | 768,945 | |
SGS SA (Reg.) | 11,598 | 33,086,143 | |
SMS Co., Ltd. | 4,100 | 133,852 | |
SR Teleperformance SA | 47,856 | 16,923,786 | |
TechnoPro Holdings, Inc. | 132,200 | 9,599,212 | |
Tinexta SpA (b) | 56,401 | 1,401,843 | |
Wolters Kluwer NV | 272,209 | 21,571,530 | |
172,647,143 | |||
Road & Rail - 0.1% | |||
Canadian National Railway Co. | 137,917 | 15,054,259 | |
Central Japan Railway Co. | 42,500 | 7,002,906 | |
Hankyu Hanshin Holdings, Inc. | 23,800 | 789,277 | |
Keio Corp. | 3,100 | 232,586 | |
Nankai Electric Railway Co. Ltd. | 54,900 | 1,323,636 | |
Nippon Express Co. Ltd. | 21,000 | 1,570,547 | |
Nishi-Nippon Railroad Co. Ltd. | 27,000 | 756,339 | |
Sixt AG (a) | 11,969 | 1,485,999 | |
The Go-Ahead Group PLC (b) | 6,430 | 105,170 | |
Tobu Railway Co. Ltd. | 11,200 | 320,149 | |
28,640,868 | |||
Trading Companies & Distributors - 0.5% | |||
AddTech AB (B Shares) | 123,551 | 1,799,734 | |
AerCap Holdings NV (b) | 8,600 | 414,348 | |
Ashtead Group PLC | 646,439 | 34,944,010 | |
Beijer Ref AB (B Shares) | 60,701 | 2,569,256 | |
Bunzl PLC | 410,828 | 12,803,818 | |
Diploma PLC | 71,157 | 2,297,971 | |
Hanwa Co. Ltd. | 6,300 | 163,831 | |
IMCD NV | 21,940 | 2,698,791 | |
Indutrade AB | 197,483 | 4,509,139 | |
Marubeni Corp. | 416,400 | 3,119,645 | |
Mitsubishi Corp. | 255,000 | 7,228,808 | |
MonotaRO Co. Ltd. | 93,300 | 5,356,687 | |
Rexel SA | 488,488 | 9,170,834 | |
Sumitomo Corp. | 834,500 | 12,160,897 | |
Toromont Industries Ltd. | 25,102 | 1,828,505 | |
101,066,274 | |||
Transportation Infrastructure - 0.2% | |||
Aena Sme SA (b)(c) | 142,231 | 24,179,682 | |
Airports of Thailand PCL (For. Reg.) | 703,400 | 1,467,679 | |
Beijing Capital International Airport Co. Ltd. (H Shares) | 10,216,000 | 7,968,439 | |
Grupo Aeroportuario del Sureste S.A.B. de CV Series B sponsored ADR (b) | 12,875 | 2,396,681 | |
36,012,481 | |||
TOTAL INDUSTRIALS | 1,713,372,309 | ||
INFORMATION TECHNOLOGY - 8.8% | |||
Communications Equipment - 0.2% | |||
Comba Telecom Systems Holdings Ltd. | 58,000 | 17,722 | |
Ericsson: | |||
(B Shares) | 1,778,237 | 22,220,749 | |
(B Shares) sponsored ADR | 335,795 | 4,207,511 | |
Nokia Corp. (b) | 1,791,752 | 7,138,553 | |
Nokia Corp. sponsored ADR (b) | 281,500 | 1,103,480 | |
34,688,015 | |||
Electronic Equipment & Components - 1.6% | |||
ALSO Holding AG | 2,140 | 579,904 | |
Azbil Corp. | 3,500 | 148,576 | |
Enplas Corp. | 29,200 | 1,208,049 | |
Halma PLC | 911,202 | 28,779,262 | |
Hamamatsu Photonics K.K. | 137,300 | 8,076,092 | |
Hexagon AB (B Shares) | 177,294 | 14,773,275 | |
Hirose Electric Co. Ltd. | 166,490 | 24,271,820 | |
Hitachi Ltd. | 1,033,680 | 47,676,171 | |
Keyence Corp. | 61,900 | 29,360,326 | |
Kyocera Corp. | 318,500 | 20,615,681 | |
Landis+Gyr Group AG | 9,499 | 658,920 | |
Largan Precision Co. Ltd. | 38,000 | 4,492,161 | |
Murata Manufacturing Co. Ltd. | 551,200 | 47,251,492 | |
OMRON Corp. | 438,300 | 35,561,205 | |
Renishaw PLC | 30,405 | 2,435,714 | |
Ryoyo Electro Corp. | 6,400 | 162,289 | |
Samsung SDI Co. Ltd. | 15,032 | 8,985,670 | |
Shimadzu Corp. | 630,100 | 22,639,739 | |
Softwareone Holding AG | 76,282 | 2,180,324 | |
Spectris PLC | 321,856 | 13,604,753 | |
Topcon Corp. | 125,700 | 1,578,989 | |
Yokogawa Electric Corp. | 504,500 | 9,648,677 | |
324,689,089 | |||
IT Services - 1.5% | |||
Adyen BV (b)(c) | 9,352 | 21,821,812 | |
Amadeus IT Holding SA Class A (b) | 1,377,979 | 96,206,732 | |
BASE, Inc. (b) | 26,400 | 2,632,694 | |
Bechtle AG | 7,538 | 1,421,544 | |
Capgemini SA | 66,100 | 10,619,106 | |
EPAM Systems, Inc. (b) | 27,202 | 10,162,939 | |
Fujitsu Ltd. | 197,840 | 28,702,308 | |
Globant SA (b) | 15,538 | 3,336,319 | |
GMO Payment Gateway, Inc. | 24,500 | 3,243,070 | |
Indra Sistemas SA (b) | 65,588 | 575,709 | |
Infomart Corp. | 54,700 | 475,697 | |
iomart Group PLC | 26,393 | 112,886 | |
Locaweb Servicos de Internet SA (c) | 828,788 | 4,256,186 | |
Nomura Research Institute Ltd. | 1,092,100 | 33,912,013 | |
NTT Data Corp. | 978,600 | 15,023,065 | |
OBIC Co. Ltd. | 91,300 | 15,400,103 | |
SHIFT, Inc. (b) | 16,200 | 1,957,465 | |
Softcat PLC | 103,789 | 2,116,927 | |
Solutions 30 SE (a)(b) | 45,784 | 535,835 | |
TIS, Inc. | 173,900 | 3,611,939 | |
Tyro Payments Ltd. (a)(b) | 15,348 | 35,547 | |
Wix.com Ltd. (b) | 73,807 | 25,726,906 | |
Worldline SA (b)(c) | 92,063 | 8,197,602 | |
290,084,404 | |||
Semiconductors & Semiconductor Equipment - 3.0% | |||
Advantest Corp. | 92,600 | 7,649,421 | |
Aixtron AG | 30,237 | 687,694 | |
Analog Devices, Inc. | 168,202 | 26,209,236 | |
ASMedia Technology, Inc. | 33,000 | 2,012,700 | |
ASML Holding NV (Netherlands) | 184,212 | 104,470,475 | |
BE Semiconductor Industries NV | 42,437 | 3,194,003 | |
Broadcom, Inc. | 33,971 | 15,961,954 | |
Disco Corp. | 43,200 | 13,536,095 | |
GlobalWafers Co. Ltd. | 130,000 | 3,451,369 | |
Infineon Technologies AG | 1,709,739 | 74,263,881 | |
Lasertec Corp. | 30,900 | 3,759,773 | |
MediaTek, Inc. | 582,000 | 18,708,858 | |
Megachips Corp. | 34,200 | 1,095,671 | |
Melexis NV | 15,098 | 1,785,216 | |
NAURA Technology Group Co. Ltd. | 88,400 | 2,449,203 | |
NXP Semiconductors NV | 214,417 | 39,141,823 | |
Renesas Electronics Corp. (b) | 949,900 | 10,417,309 | |
ROHM Co. Ltd. | 20,800 | 2,043,023 | |
Silergy Corp. | 73,000 | 7,018,979 | |
SK Hynix, Inc. | 274,181 | 34,408,649 | |
SMA Solar Technology AG (b) | 28,736 | 1,846,253 | |
STMicroelectronics NV: | |||
(France) | 236,062 | 9,168,000 | |
(Italy) | 329,160 | 12,756,036 | |
Sumco Corp. | 20,300 | 467,099 | |
Taiwan Semiconductor Manufacturing Co. Ltd. | 1,712,000 | 37,374,619 | |
Taiwan Semiconductor Manufacturing Co. Ltd. sponsored ADR | 1,002,521 | 126,257,495 | |
Texas Instruments, Inc. | 54,528 | 9,393,539 | |
Tokyo Electron Ltd. | 49,600 | 20,684,044 | |
Will Semiconductor Ltd. | 41,033 | 1,793,243 | |
592,005,660 | |||
Software - 1.5% | |||
AI inside, Inc. (b) | 2,300 | 885,736 | |
ANSYS, Inc. (b) | 96,871 | 33,032,042 | |
Atlassian Corp. PLC (b) | 32,149 | 7,641,817 | |
Avast PLC (c) | 453,637 | 2,919,873 | |
Aveva Group PLC | 92,254 | 4,363,535 | |
Cadence Design Systems, Inc. (b) | 531,327 | 74,964,926 | |
Check Point Software Technologies Ltd. (b) | 108,700 | 11,983,088 | |
Constellation Software, Inc. | 7,812 | 10,114,717 | |
CyberArk Software Ltd. (b) | 19,308 | 2,834,994 | |
Dassault Systemes SA | 125,164 | 25,959,758 | |
Descartes Systems Group, Inc. (Canada) (b) | 88,975 | 5,209,435 | |
Enghouse Systems Ltd. | 33,152 | 1,439,556 | |
Kinaxis, Inc. (b) | 17,252 | 2,331,718 | |
Micro Focus International PLC | 105,986 | 622,226 | |
Micro Focus International PLC sponsored ADR | 8,300 | 48,472 | |
Nemetschek Se | 51,070 | 3,213,405 | |
Netcompany Group A/S (c) | 28,555 | 2,557,496 | |
Pexip Holding ASA | 100,694 | 1,247,265 | |
Rakus Co. Ltd. | 108,700 | 1,878,375 | |
Sage Group PLC | 275,091 | 2,140,872 | |
SAP SE | 587,118 | 72,618,670 | |
SAP SE sponsored ADR (a) | 107,854 | 13,303,791 | |
Sichuan Jiuyuan Yinhai Software Co. Ltd. | 105,100 | 310,991 | |
TeamViewer AG (b)(c) | 89,273 | 4,793,199 | |
Temenos Group AG | 80,201 | 10,822,484 | |
Topicus.Com, Inc. (b) | 14,529 | 754,193 | |
Weimob, Inc. (b)(c) | 750,000 | 2,180,443 | |
300,173,077 | |||
Technology Hardware, Storage & Peripherals - 1.0% | |||
Advantech Co. Ltd. | 197,000 | 2,562,067 | |
Brother Industries Ltd. | 170,700 | 3,351,706 | |
Canon, Inc. sponsored ADR (a) | 118,708 | 2,567,654 | |
Fujifilm Holdings Corp. | 42,500 | 2,430,162 | |
Logitech International SA (Reg.) | 66,071 | 7,046,895 | |
Ricoh Co. Ltd. | 68,200 | 596,351 | |
Samsung Electronics Co. Ltd. | 2,315,943 | 169,455,487 | |
Seiko Epson Corp. | 215,000 | 3,563,041 | |
191,573,363 | |||
TOTAL INFORMATION TECHNOLOGY | 1,733,213,608 | ||
MATERIALS - 4.4% | |||
Chemicals - 2.7% | |||
Air Liquide SA | 66,624 | 10,033,236 | |
Air Water, Inc. | 72,700 | 1,194,900 | |
Akzo Nobel NV | 514,972 | 53,161,804 | |
Alujain Corp. (b) | 29,990 | 411,008 | |
Arkema SA | 99,900 | 11,028,893 | |
Asahi Kasei Corp. | 828,800 | 8,991,348 | |
BASF AG | 831,280 | 68,007,720 | |
Christian Hansen Holding A/S (b) | 37,401 | 3,208,990 | |
Clariant AG (Reg.) | 240,558 | 5,027,217 | |
Covestro AG (c) | 169,239 | 12,243,551 | |
Croda International PLC | 321,051 | 27,588,739 | |
Daicel Chemical Industries Ltd. | 235,300 | 1,721,788 | |
Denki Kagaku Kogyo KK | 210,560 | 7,957,357 | |
Elkem ASA (c) | 68,445 | 240,607 | |
Evonik Industries AG | 166,935 | 5,617,476 | |
Givaudan SA | 14,147 | 53,297,168 | |
Johnson Matthey PLC | 294,170 | 12,520,540 | |
JSR Corp. | 49,300 | 1,468,432 | |
Kansai Paint Co. Ltd. | 686,600 | 17,919,426 | |
Kemira Oyj | 25,352 | 408,968 | |
Koninklijke DSM NV | 21,527 | 3,546,668 | |
Kuraray Co. Ltd. | 384,100 | 4,323,730 | |
Lanxess AG | 4,372 | 323,465 | |
Linde PLC | 44,500 | 10,870,015 | |
Linde PLC | 117,104 | 28,851,792 | |
Mitsubishi Gas Chemical Co., Inc. | 12,200 | 283,726 | |
Mitsui Chemicals, Inc. | 163,500 | 5,064,881 | |
Nippon Sanso Holdings Corp. | 295,600 | 5,543,453 | |
Nitto Denko Corp. | 199,000 | 17,081,598 | |
Novozymes A/S Series B | 420,341 | 25,971,225 | |
Nutrien Ltd. | 2,793 | 150,710 | |
OCI NV (b) | 28,863 | 619,879 | |
Orica Ltd. | 128,167 | 1,238,643 | |
PhosAgro OJSC | 54,010 | 2,934,458 | |
Pidilite Industries Ltd. | 79,447 | 1,811,592 | |
Shin-Etsu Chemical Co. Ltd. | 30,800 | 5,047,942 | |
Sika AG | 161,182 | 42,561,333 | |
Solvay SA Class A | 23,646 | 2,884,391 | |
Sumitomo Chemical Co. Ltd. | 428,800 | 2,087,536 | |
Symrise AG | 282,995 | 33,024,813 | |
Teijin Ltd. | 128,400 | 2,215,173 | |
Toray Industries, Inc. | 1,658,700 | 10,942,236 | |
Tosoh Corp. | 99,400 | 1,827,259 | |
Umicore SA | 145,281 | 8,535,077 | |
Yara International ASA | 191,174 | 9,185,418 | |
528,976,181 | |||
Construction Materials - 0.1% | |||
CSR Ltd. | 159,909 | 673,040 | |
HeidelbergCement AG | 242,200 | 19,134,985 | |
HeidelbergCement AG ADR | 1,749 | 27,529 | |
James Hardie Industries PLC CDI | 200,134 | 5,622,288 | |
Taiheiyo Cement Corp. | 33,600 | 843,104 | |
26,300,946 | |||
Containers & Packaging - 0.1% | |||
Amcor PLC unit | 498,652 | 5,463,714 | |
Orora Ltd. | 103,400 | 232,319 | |
Sig Combibloc Group AG | 154,337 | 3,417,080 | |
Smurfit Kappa Group PLC | 385,608 | 18,219,399 | |
Toyo Seikan Group Holdings Ltd. | 56,800 | 715,371 | |
28,047,883 | |||
Metals & Mining - 1.4% | |||
Agnico Eagle Mines Ltd. (Canada) | 212,685 | 11,872,656 | |
Alumina Ltd. | 471,129 | 587,267 | |
Anglo American PLC (United Kingdom) | 87,735 | 3,388,893 | |
Antofagasta PLC | 719,627 | 17,871,066 | |
ArcelorMittal SA (Netherlands) (b) | 1,571,151 | 36,696,423 | |
BHP Billiton Ltd. | 319,651 | 12,082,963 | |
BHP Billiton Ltd. sponsored ADR (a) | 133,195 | 10,110,832 | |
BHP Group PLC | 605,501 | 19,231,037 | |
BHP Group PLC ADR | 336,926 | 21,303,831 | |
BlueScope Steel Ltd. | 247,643 | 3,178,356 | |
Boliden AB | 78,706 | 3,117,891 | |
Deterra Royalties Ltd. | 175,000 | 612,675 | |
Eldorado Gold Corp. (b) | 77,319 | 809,887 | |
Evraz PLC | 38,032 | 302,551 | |
Ferrexpo PLC | 69,625 | 325,149 | |
Fortescue Metals Group Ltd. | 447,100 | 8,294,349 | |
Franco-Nevada Corp. | 237,246 | 25,402,436 | |
Glencore Xstrata PLC | 3,453,541 | 14,054,534 | |
Godo Steel Ltd. | 43,200 | 810,545 | |
Henan Yuguang Gold & Lead Co. Ltd. (A Shares) | 28,400 | 27,105 | |
IGO Ltd. | 2,148,478 | 11,621,619 | |
Iluka Resources Ltd. | 145,219 | 829,102 | |
JFE Holdings, Inc. (b) | 198,300 | 2,091,200 | |
Mitsubishi Materials Corp. | 149,900 | 3,551,199 | |
MMC Norilsk Nickel PJSC | 8,339 | 2,613,893 | |
Nippon Steel & Sumitomo Metal Corp. (b) | 62,800 | 930,431 | |
Norsk Hydro ASA | 599,859 | 3,320,789 | |
Novolipetsk Steel OJSC | 230,760 | 692,526 | |
Polymetal International PLC | 16,688 | 332,130 | |
Polymetal International PLC | 8,378 | 165,921 | |
Polyus PJSC | 5,783 | 1,089,157 | |
Regis Resources Ltd. | 138,542 | 333,662 | |
Rio Tinto Ltd. | 80,183 | 7,847,217 | |
Rio Tinto PLC | 136,644 | 11,842,517 | |
Rio Tinto PLC sponsored ADR (a) | 181,586 | 15,870,616 | |
Sandfire Resources NL | 280,366 | 1,315,938 | |
South32 Ltd. | 3,111,010 | 6,630,734 | |
Sumitomo Metal Mining Co. Ltd. | 179,700 | 8,715,991 | |
Uacj Corp. | 7,800 | 179,862 | |
Voestalpine AG | 83,146 | 3,294,502 | |
Westgold Resources Ltd. (b) | 872,441 | 1,369,451 | |
Wheaton Precious Metals Corp. | 203,854 | 7,291,713 | |
282,010,616 | |||
Paper & Forest Products - 0.1% | |||
Duratex SA | 189,500 | 622,514 | |
Ence Energia y Celulosa SA (b) | 27,335 | 140,202 | |
Stora Enso Oyj (R Shares) | 490,977 | 9,670,739 | |
The Navigator Co. SA | 129,473 | 439,278 | |
West Fraser Timber Co. Ltd. | 21,465 | 1,467,433 | |
12,340,166 | |||
TOTAL MATERIALS | 877,675,792 | ||
REAL ESTATE - 0.9% | |||
Equity Real Estate Investment Trusts (REITs) - 0.2% | |||
Big Yellow Group PLC | 142,449 | 2,252,520 | |
British Land Co. PLC | 1,540,700 | 10,509,280 | |
Great Portland Estates PLC | 744,149 | 7,033,301 | |
Klepierre SA (a) | 25,691 | 606,001 | |
Scentre Group unit | 3,395,691 | 7,524,906 | |
Segro PLC | 519,341 | 6,582,820 | |
Unibail-Rodamco SE & WFD Unibail-Rodamco NV unit | 4,238 | 310,994 | |
Warehouses de Pauw | 91,318 | 3,122,494 | |
37,942,316 | |||
Real Estate Management & Development - 0.7% | |||
CK Asset Holdings Ltd. | 1,382,100 | 8,116,426 | |
Deutsche Wohnen AG (Bearer) | 502,294 | 23,605,368 | |
ESR Cayman Ltd. (b)(c) | 1,976,800 | 6,256,785 | |
Grand City Properties SA | 629,715 | 15,453,979 | |
Hang Lung Group Ltd. | 205,000 | 512,735 | |
Hongkong Land Holdings Ltd. | 82,000 | 395,240 | |
LEG Immobilien AG | 185,193 | 25,280,524 | |
Lendlease Group unit | 834,400 | 8,538,987 | |
Mitsui Fudosan Co. Ltd. | 559,800 | 12,731,323 | |
Relo Group, Inc. | 19,100 | 449,570 | |
Savills PLC | 144,148 | 2,319,552 | |
Swire Pacific Ltd. (A Shares) | 28,000 | 205,223 | |
TAG Immobilien AG | 295,892 | 8,411,120 | |
Vonovia SE | 323,996 | 20,616,982 | |
132,893,814 | |||
TOTAL REAL ESTATE | 170,836,130 | ||
UTILITIES - 1.0% | |||
Electric Utilities - 0.4% | |||
Chubu Electric Power Co., Inc. | 507,800 | 6,235,128 | |
CLP Holdings Ltd. | 729,000 | 7,117,186 | |
Enel SpA | 3,390,006 | 31,964,032 | |
Enel SpA ADR | 42,200 | 396,680 | |
Iberdrola SA | 1,094,658 | 13,768,919 | |
Kansai Electric Power Co., Inc. | 530,500 | 5,301,582 | |
Kyushu Electric Power Co., Inc. | 252,700 | 2,169,150 | |
Mosenergo PJSC | 1,381,000 | 39,966 | |
ORSTED A/S (c) | 93,141 | 15,082,217 | |
Shikoku Electric Power Co., Inc. | 33,700 | 234,899 | |
Tohoku Electric Power Co., Inc. | 69,900 | 614,441 | |
Tokyo Electric Power Co., Inc. (b) | 40,500 | 130,451 | |
83,054,651 | |||
Gas Utilities - 0.1% | |||
APA Group unit | 647,969 | 4,631,806 | |
Beijing Enterprises Holdings Ltd. | 846,500 | 2,930,274 | |
China Resource Gas Group Ltd. | 1,230,000 | 6,144,886 | |
Osaka Gas Co. Ltd. | 114,800 | 2,056,094 | |
Tokyo Gas Co. Ltd. | 146,800 | 3,033,396 | |
18,796,456 | |||
Independent Power and Renewable Electricity Producers - 0.0% | |||
Drax Group PLC | 45,073 | 240,005 | |
Electric Power Development Co. Ltd. | 271,400 | 4,420,005 | |
eRex Co. Ltd. | 55,400 | 899,643 | |
Scatec Solar AS (c) | 73,940 | 2,140,445 | |
Solaria Energia y Medio Ambiente SA (b) | 77,775 | 1,745,413 | |
9,445,511 | |||
Multi-Utilities - 0.5% | |||
Centrica PLC | 405,589 | 298,129 | |
E.ON AG | 908,839 | 9,266,941 | |
ENGIE (b) | 2,416,470 | 35,234,928 | |
National Grid PLC | 840,949 | 9,456,007 | |
RWE AG | 682,087 | 25,791,945 | |
Veolia Environnement SA | 624,400 | 16,837,815 | |
96,885,765 | |||
TOTAL UTILITIES | 208,182,383 | ||
TOTAL COMMON STOCKS | |||
(Cost $6,527,517,021) | 9,644,441,503 | ||
Nonconvertible Preferred Stocks - 0.7% | |||
CONSUMER DISCRETIONARY - 0.5% | |||
Automobiles - 0.5% | |||
Bayerische Motoren Werke AG (BMW) (non-vtg.) | 69,276 | 4,684,937 | |
Hyundai Motor Co. | 6,336 | 584,416 | |
Porsche Automobil Holding SE (Germany) | 52,448 | 4,201,087 | |
Volkswagen AG | 392,099 | 81,853,521 | |
91,323,961 | |||
CONSUMER STAPLES - 0.2% | |||
Household Products - 0.2% | |||
Henkel AG & Co. KGaA | 411,868 | 40,540,311 | |
ENERGY - 0.0% | |||
Oil, Gas & Consumable Fuels - 0.0% | |||
Petroleo Brasileiro SA - Petrobras (PN) (non-vtg.) | 369,900 | 1,467,930 | |
FINANCIALS - 0.0% | |||
Banks - 0.0% | |||
Banco Bradesco SA (PN) | 19,500 | 80,029 | |
Itausa-Investimentos Itau SA (PN) | 176,800 | 313,900 | |
393,929 | |||
Insurance - 0.0% | |||
Samsung Fire & Marine Insurance Co. Ltd. | 567 | 68,391 | |
TOTAL FINANCIALS | 462,320 | ||
MATERIALS - 0.0% | |||
Containers & Packaging - 0.0% | |||
Klabin SA (PN) (non-vtg.) | 921,500 | 966,850 | |
UTILITIES - 0.0% | |||
Electric Utilities - 0.0% | |||
Companhia Energetica de Minas Gerais (CEMIG) (PN) | 460,700 | 983,186 | |
TOTAL NONCONVERTIBLE PREFERRED STOCKS | |||
(Cost $98,418,909) | 135,744,558 | ||
Equity Funds - 48.5% | |||
Diversified Emerging Markets Funds - 0.0% | |||
Matthews Pacific Tiger Fund Investor Class | 19,976 | 728,718 | |
Europe Stock Funds - 0.5% | |||
WisdomTree Europe Hedged Equity ETF (a) | 1,427,995 | 95,561,425 | |
Foreign Large Blend Funds - 11.7% | |||
Artisan International Value Fund Investor Class | 19,690,451 | 823,454,647 | |
Fidelity SAI International Low Volatility Index Fund (e) | 13,921,389 | 147,984,370 | |
Fidelity SAI International Quality Index Fund (e) | 1,395,285 | 17,608,498 | |
Harbor International Fund Institutional Class | 9,619 | 432,675 | |
Morgan Stanley Institutional Fund, Inc. International Equity Portfolio Class I | 28,405,150 | 449,653,517 | |
Oakmark International Fund Investor Class | 31,508,659 | 876,255,803 | |
TOTAL FOREIGN LARGE BLEND FUNDS | 2,315,389,510 | ||
Foreign Large Growth Funds - 18.8% | |||
American Funds EuroPacific Growth Fund Class F2 | 962,950 | 67,011,657 | |
Fidelity Diversified International Fund (e) | 13,344,107 | 631,176,275 | |
Fidelity International Discovery Fund (e) | 22,272,455 | 1,206,053,461 | |
Fidelity Overseas Fund (e) | 9,820,692 | 580,010,044 | |
Fidelity SAI International Momentum Index Fund (e) | 1,913,083 | 24,583,116 | |
Invesco Oppenheimer International Growth Fund Class R6 | 836,208 | 39,201,430 | |
JOHCM International Select Fund Class II Shares | 18,999,423 | 575,872,500 | |
WCM Focused International Growth Fund Investor Class | 24,707,298 | 605,575,886 | |
TOTAL FOREIGN LARGE GROWTH FUNDS | 3,729,484,369 | ||
Foreign Large Value Funds - 6.3% | |||
iShares MSCI EAFE Value ETF (a) | 14,960,135 | 736,637,047 | |
Pear Tree Polaris Foreign Value Fund Institutional Shares | 21,924,646 | 515,667,674 | |
TOTAL FOREIGN LARGE VALUE FUNDS | 1,252,304,721 | ||
Foreign Small Mid Blend Funds - 1.9% | |||
Fidelity International Small Cap Fund (e) | 1,734,127 | 55,266,613 | |
iShares MSCI EAFE Small-Cap ETF (a) | 2,446,450 | 171,740,790 | |
Oakmark International Small Cap Fund Investor Class | 2,797,030 | 50,822,027 | |
Victory Trivalent International Small-Cap Fund Class I | 5,955,691 | 98,149,793 | |
TOTAL FOREIGN SMALL MID BLEND FUNDS | 375,979,223 | ||
Foreign Small Mid Growth Funds - 1.0% | |||
Fidelity International Small Cap Opportunities Fund (e) | 3,206,204 | 76,339,729 | |
Oberweis International Opportunities Institutional Fund | 1,770,695 | 29,659,144 | |
T. Rowe Price International Discovery Fund | 1,006,218 | 94,765,647 | |
Wasatch International Growth Fund Investor Class | 100 | 3,460 | |
TOTAL FOREIGN SMALL MID GROWTH FUNDS | 200,767,980 | ||
Foreign Small Mid Value Funds - 0.9% | |||
Brandes International Small Cap Equity Fund Class A | 3,214,732 | 38,930,405 | |
Segall Bryant & Hamill International Small Capital Fund Class A | 4,713,344 | 52,318,119 | |
Transamerica International Small Cap Value Fund | 5,682,172 | 83,414,291 | |
TOTAL FOREIGN SMALL MID VALUE FUNDS | 174,662,815 | ||
Sector Funds - 0.0% | |||
SPDR Dow Jones International Real Estate ETF (a) | 201,575 | 6,873,708 | |
Other - 7.4% | |||
Fidelity Advisor Japan Fund Class I (e) | 3,486,370 | 69,518,224 | |
Fidelity Japan Smaller Companies Fund (e) | 6,966,190 | 119,888,133 | |
iShares MSCI Australia ETF (a) | 4,610,307 | 112,998,625 | |
iShares MSCI Japan ETF (a) | 17,039,153 | 1,162,411,018 | |
Matthews Japan Fund Investor Class | 198 | 4,773 | |
TOTAL OTHER | 1,464,820,773 | ||
TOTAL EQUITY FUNDS | |||
(Cost $6,439,648,785) | 9,616,573,242 | ||
Principal Amount | |||
U.S. Treasury Obligations - 0.2% | |||
U.S. Treasury Bills, yield at date of purchase 0.03% to 0.08% 3/4/21 to 5/20/21 (f) | |||
(Cost $34,718,381) | $34,720,000 | 34,718,765 | |
Shares | |||
Money Market Funds - 3.1% | |||
Fidelity Securities Lending Cash Central Fund 0.08% (g)(h) | 288,556,138 | 288,584,994 | |
State Street Institutional U.S. Government Money Market Fund Premier Class .03% (i) | 322,714,649 | 322,714,649 | |
TOTAL MONEY MARKET FUNDS | |||
(Cost $611,299,643) | 611,299,643 | ||
TOTAL INVESTMENT IN SECURITIES - 101.2% | |||
(Cost $13,711,602,739) | 20,042,777,711 | ||
NET OTHER ASSETS (LIABILITIES) - (1.2)% | (242,466,423) | ||
NET ASSETS - 100% | $19,800,311,288 |
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 | March 2021 | $159,017,550 | $15,525,391 | $15,525,391 |
ICE E-mini MSCI EAFE Index Contracts (United States) | 504 | March 2021 | 54,532,800 | 1,910,669 | 1,910,669 |
TOTAL FUTURES CONTRACTS | $17,436,060 |
The notional amount of futures purchased as a percentage of Net Assets is 1.1%
Security Type Abbreviations
ETF – Exchange-Traded Fund
Legend
(a) Security or a portion of the security is on loan at period end.
(b) Non-income producing
(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 $221,263,668 or 1.1% of net assets.
(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 $12,429,385.
(g) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.
(h) Investment made with cash collateral received from securities on loan.
(i) The rate quoted is the annualized seven-day yield of the fund at period end.
Affiliated Central Funds
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:
Fund | Income earned |
Fidelity Securities Lending Cash Central Fund | $2,069,701 |
Total | $2,069,701 |
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 Japan Fund Class I | $49,986,426 | $1,309,493 | $-- | $1,309,495 | $-- | $18,222,305 | $69,518,224 |
Fidelity Diversified International Fund | 620,718,700 | 6,743,944 | 141,509,605 | 6,743,944 | 43,625,293 | 101,597,943 | 631,176,275 |
Fidelity International Discovery Fund | 1,006,340,643 | 44,192,713 | 127,331,720 | 44,192,710 | 13,049,966 | 269,801,859 | 1,206,053,461 |
Fidelity International Small Cap Fund | -- | 45,130,266 | -- | 424,993 | -- | 10,136,347 | 55,266,613 |
Fidelity International Small Cap Opportunities Fund | 53,216,114 | 6,165,328 | -- | -- | -- | 16,958,287 | 76,339,729 |
Fidelity Japan Smaller Companies Fund | 101,109,651 | 1,939,934 | -- | 1,939,934 | -- | 16,838,548 | 119,888,133 |
Fidelity Overseas Fund | 510,264,292 | 32,817,718 | 85,466,344 | 3,317,718 | 15,957,147 | 106,437,231 | 580,010,044 |
Fidelity SAI International Index Fund | -- | 846,841,856 | 934,481,996 | -- | 87,640,140 | -- | -- |
Fidelity SAI International Low Volatility Index Fund | 154,908,004 | 96,334,825 | 115,000,000 | 3,334,826 | (1,042,742) | 12,784,283 | 147,984,370 |
Fidelity SAI International Momentum Index Fund | -- | 31,276,100 | 15,000,000 | 276,101 | 2,911,005 | 5,396,011 | 24,583,116 |
Fidelity SAI International Quality Index Fund | -- | 26,158,994 | 15,000,000 | 158,994 | 2,825,554 | 3,623,950 | 17,608,498 |
2,496,543,830 | 1,138,911,171 | 1,433,789,665 | 61,698,715 | 164,966,363 | 561,796,764 | 2,928,428,463 |
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 February 28, 2021, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Equities: | ||||
Communication Services | $386,341,066 | $170,109,802 | $216,231,264 | $-- |
Consumer Discretionary | 1,053,862,819 | 647,300,384 | 406,562,435 | -- |
Consumer Staples | 1,064,750,928 | 541,079,701 | 523,671,227 | -- |
Energy | 326,932,870 | 147,951,387 | 178,981,483 | -- |
Financials | 1,283,120,670 | 662,021,279 | 621,099,391 | -- |
Health Care | 959,947,450 | 289,223,584 | 670,723,866 | -- |
Industrials | 1,713,372,309 | 1,051,831,985 | 661,540,324 | -- |
Information Technology | 1,733,213,608 | 1,108,947,019 | 624,266,589 | -- |
Materials | 878,642,642 | 644,807,038 | 233,835,604 | -- |
Real Estate | 170,836,130 | 158,104,807 | 12,731,323 | -- |
Utilities | 209,165,569 | 134,564,786 | 74,600,783 | -- |
Equity Funds | 9,616,573,242 | 9,616,573,242 | -- | -- |
Other Short-Term Investments | 34,718,765 | -- | 34,718,765 | -- |
Money Market Funds | 611,299,643 | 611,299,643 | -- | -- |
Total Investments in Securities: | $20,042,777,711 | $15,783,814,657 | $4,258,963,054 | $-- |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $17,436,060 | $17,436,060 | $-- | $-- |
Total Assets | $17,436,060 | $17,436,060 | $-- | $-- |
Total Derivative Instruments: | $17,436,060 | $17,436,060 | $-- | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of February 28, 2021. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
Primary Risk Exposure / Derivative Type | Value | |
Asset | Liability | |
Equity Risk | ||
Futures Contracts(a) | $17,436,060 | $0 |
Total Equity Risk | 17,436,060 | 0 |
Total Value of Derivatives | $17,436,060 | $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 | 52.2% |
Japan | 9.0% |
United Kingdom | 5.9% |
France | 5.3% |
Germany | 5.3% |
Switzerland | 5.0% |
Netherlands | 2.9% |
Cayman Islands | 1.3% |
Korea (South) | 1.3% |
Spain | 1.2% |
Ireland | 1.1% |
Australia | 1.1% |
Canada | 1.0% |
Others (Individually Less Than 1%) | 7.4% |
100.0% |
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
February 28, 2021 | ||
Assets | ||
Investment in securities, at value (including securities loaned of $276,143,702) — See accompanying schedule: Unaffiliated issuers (cost $11,679,880,294) | $16,825,764,254 | |
Fidelity Central Funds (cost $288,584,994) | 288,584,994 | |
Other affiliated issuers (cost $1,743,137,451) | 2,928,428,463 | |
Total Investment in Securities (cost $13,711,602,739) | $20,042,777,711 | |
Cash | 21,683 | |
Foreign currency held at value (cost $2,987,348) | 2,989,173 | |
Receivable for investments sold | 115,220,517 | |
Receivable for fund shares sold | 10,307,171 | |
Dividends receivable | 33,674,539 | |
Interest receivable | 12,776 | |
Distributions receivable from Fidelity Central Funds | 68,947 | |
Other receivables | 555,589 | |
Total assets | 20,205,628,106 | |
Liabilities | ||
Payable for investments purchased | ||
Regular delivery | $101,766,383 | |
Delayed delivery | 41,576 | |
Payable for fund shares redeemed | 7,185,115 | |
Accrued management fee | 2,860,510 | |
Payable for daily variation margin on futures contracts | 2,572,530 | |
Other payables and accrued expenses | 2,224,561 | |
Collateral on securities loaned | 288,666,143 | |
Total liabilities | 405,316,818 | |
Net Assets | $19,800,311,288 | |
Net Assets consist of: | ||
Paid in capital | $13,069,475,521 | |
Total accumulated earnings (loss) | 6,730,835,767 | |
Net Assets | $19,800,311,288 | |
Net Asset Value, offering price and redemption price per share ($19,800,311,288 ÷ 1,578,175,310 shares) | $12.55 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Year ended February 28, 2021 | ||
Investment Income | ||
Dividends: | ||
Unaffiliated issuers | $248,843,776 | |
Affiliated issuers | 12,825,380 | |
Interest | 636,505 | |
Income from Fidelity Central Funds (including $2,069,701 from security lending) | 2,069,701 | |
Income before foreign taxes withheld | 264,375,362 | |
Less foreign taxes withheld | (18,446,602) | |
Total income | 245,928,760 | |
Expenses | ||
Management fee | $72,852,035 | |
Custodian fees and expenses | 728,713 | |
Independent trustees' fees and expenses | 174,189 | |
Registration fees | 121,721 | |
Audit | 105,233 | |
Legal | 52,641 | |
Miscellaneous | 209,816 | |
Total expenses before reductions | 74,244,348 | |
Expense reductions | (43,074,734) | |
Total expenses after reductions | 31,169,614 | |
Net investment income (loss) | 214,759,146 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 139,408,586 | |
Fidelity Central Funds | (42,640) | |
Other affiliated issuers | 164,966,363 | |
Foreign currency transactions | (1,652,225) | |
Futures contracts | 57,337,648 | |
Capital gain distributions from underlying funds: | ||
Unaffiliated issuers | 37,446,242 | |
Affiliated issuers | 48,873,335 | |
Total net realized gain (loss) | 446,337,309 | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers (net of increase in deferred foreign taxes of $1,446,137) | 3,429,013,312 | |
Affiliated issuers | 561,796,764 | |
Assets and liabilities in foreign currencies | 1,339,875 | |
Futures contracts | 41,517,069 | |
Total change in net unrealized appreciation (depreciation) | 4,033,667,020 | |
Net gain (loss) | 4,480,004,329 | |
Net increase (decrease) in net assets resulting from operations | $4,694,763,475 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Year ended February 28, 2021 | Year ended February 29, 2020 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $214,759,146 | $307,302,142 |
Net realized gain (loss) | 446,337,309 | 238,748,717 |
Change in net unrealized appreciation (depreciation) | 4,033,667,020 | (135,052,406) |
Net increase (decrease) in net assets resulting from operations | 4,694,763,475 | 410,998,453 |
Distributions to shareholders | (345,007,315) | (547,156,394) |
Share transactions | ||
Proceeds from sales of shares | 4,467,737,246 | 1,689,480,304 |
Reinvestment of distributions | 334,019,828 | 542,299,321 |
Cost of shares redeemed | (4,447,769,615) | (2,904,015,493) |
Net increase (decrease) in net assets resulting from share transactions | 353,987,459 | (672,235,868) |
Total increase (decrease) in net assets | 4,703,743,619 | (808,393,809) |
Net Assets | ||
Beginning of period | 15,096,567,669 | 15,904,961,478 |
End of period | $19,800,311,288 | $15,096,567,669 |
Other Information | ||
Shares | ||
Sold | 435,963,931 | 164,022,651 |
Issued in reinvestment of distributions | 31,687,641 | 50,851,662 |
Redeemed | (409,722,398) | (279,735,078) |
Net increase (decrease) | 57,929,174 | (64,860,765) |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Strategic Advisers International Fund
Years ended February 28, | 2021 | 2020 A | 2019 | 2018 | 2017 |
Selected Per–Share Data | |||||
Net asset value, beginning of period | $9.93 | $10.03 | $11.43 | $9.78 | $8.74 |
Income from Investment Operations | |||||
Net investment income (loss)B | .13 | .20 | .21 | .19 | .17 |
Net realized and unrealized gain (loss) | 2.71 | .06 | (.98) | 1.82 | 1.07 |
Total from investment operations | 2.84 | .26 | (.77) | 2.01 | 1.24 |
Distributions from net investment income | (.14) | (.22) | (.18) | (.18) | (.18) |
Distributions from net realized gain | (.08) | (.14) | (.44) | (.18) | (.02) |
Total distributions | (.22) | (.36) | (.63)C | (.36) | (.20) |
Net asset value, end of period | $12.55 | $9.93 | $10.03 | $11.43 | $9.78 |
Total ReturnD | 28.99% | 2.35% | (6.57)% | 20.53% | 14.33% |
Ratios to Average Net AssetsE,F | |||||
Expenses before reductions | .43% | .44% | .45% | .50% | .48% |
Expenses net of fee waivers, if any | .18% | .19% | .20% | .25% | .23% |
Expenses net of all reductions | .18% | .19% | .20% | .24% | .22% |
Net investment income (loss) | 1.25% | 1.91% | 1.95% | 1.68% | 1.81% |
Supplemental Data | |||||
Net assets, end of period (000 omitted) | $19,800,311 | $15,096,568 | $15,904,961 | $17,256,557 | $16,141,374 |
Portfolio turnover rateG | 41% | 33% | 39% | 33% | 28% |
A For the year ended February 29.
B Calculated based on average shares outstanding during the period.
C Total distributions per share do not sum due to rounding.
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 Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements
For the period ended February 28, 2021
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 February 28, 2021 is included at the end of the Fund's Schedule of Investments.
Foreign Currency. Certain Funds may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.
Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received, and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and include proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Income and capital gain distributions from any underlying mutual funds or exchange-traded funds (ETFs) are recorded on the ex-dividend date. Certain distributions received by the Fund represent a return of capital or capital gain. The Fund determines the components of these distributions subsequent to the ex-dividend date, based upon receipt of tax filings or other correspondence relating to the underlying investment. These distributions are recorded as a reduction of cost of investments and/or as a realized gain. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain.
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan) for certain Funds, certain independent Trustees have elected to defer receipt of a portion of their annual compensation. Deferred amounts are invested in affiliated mutual funds, are marked-to-market and remain in a fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees presented below are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, as applicable.
Strategic Advisers International Fund | $318,821 |
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of February 28, 2021, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests. The Fund is subject to a tax imposed on capital gains by certain countries in which it invests. An estimated deferred tax liability for net unrealized appreciation on the applicable securities is included in Other payables and accrued expenses on the Statement of Assets & Liabilities.
Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to 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 | $6,447,975,288 |
Gross unrealized depreciation | (217,507,980) |
Net unrealized appreciation (depreciation) | $6,230,467,308 |
Tax Cost | $13,812,310,403 |
The tax-based components of distributable earnings as of period end were as follows:
Undistributed tax-exempt income | $112,771,149 |
Undistributed ordinary income | $387,848,268 |
Net unrealized appreciation (depreciation) on securities and other investments | $6,232,077,755 |
The tax character of distributions paid was as follows:
February 28, 2021 | February 29, 2020 | |
Ordinary Income | $223,989,540 | $ 335,718,187 |
Long-term Capital Gains | 121,017,775 | 211,438,207 |
Total | $345,007,315 | $ 547,156,394 |
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, are noted in the table below.
Purchases ($) | Sales ($) | |
Strategic Advisers International Fund | 7,264,488,862 | 6,785,168,724 |
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 annual management fee rate was .42% 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 | $750 |
Interfund Trades. Funds may purchase from or sell securities to other funds affiliated with each sub-adviser under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.
6. Investments in Fidelity Central Funds.
The Fund invests in Fidelity Central Funds, which are open-end investment companies available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
The Fidelity Money Market Central Funds are managed by FMR. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date ranged from less than .005% to .01%.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC website or upon request.
7. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below.
Amount | |
Strategic Advisers International Fund | $37,287 |
During the period, there were no borrowings on this line of credit.
8. Security Lending.
Funds lend portfolio securities through a lending agent from time to time in order to earn additional income. On the settlement date of the loan, a fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of a fund and any additional required collateral is delivered to a fund on the next business day. A fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund may apply collateral received from the borrower against the obligation. A fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds.
9. Expense Reductions.
The investment adviser has contractually agreed to waive the Fund's management fee in an amount equal to .25% of the Fund's average net assets until September 30, 2023. During the period, this waiver reduced the Fund's management fee by $43,074,734.
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 | 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.
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Fidelity Rutland Square Trust II and Shareholders of Strategic Advisers International Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Strategic Advisers International Fund (one of the funds constituting Fidelity Rutland Square Trust II, referred to hereafter as the “Fund”) as of February 28, 2021, the related statement of operations for the year ended February 28, 2021, the statement of changes in net assets for each of the two years in the period ended February 28, 2021, including the related notes, and the financial highlights for each of the five years in the period ended February 28, 2021 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of February 28, 2021, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended February 28, 2021 and the financial highlights for each of the five years in the period ended February 28, 2021 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of February 28, 2021 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
Boston, Massachusetts
April 13, 2021
We have served as the auditor of one or more investment companies in the Fidelity group of funds since 1932.
Trustees and Officers
The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance. If the interests of the fund and an underlying Fidelity® fund were to diverge, a conflict of interest could arise and affect how the Trustees and Members of the Advisory Board fulfill their fiduciary duties to the affected funds. Strategic Advisers has structured the fund to avoid these potential conflicts, although there may be situations where a conflict of interest is unavoidable. In such instances, Strategic Advisers, the Trustees, and Members of the Advisory Board would take reasonable steps to minimize and, if possible, eliminate the conflict. Each of the Trustees oversees 12 funds.
The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. Each Independent Trustee shall retire not later than the last day of the calendar year in which his or her 75th birthday occurs. The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees. Officers and Advisory Board Members hold office without limit in time, except that any officer or Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.
Each Trustee who is not an interested person (as defined in the 1940 Act) of the trust and the fund is referred to herein as an Independent Trustee.
The fund’s Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-3455.
Experience, Skills, Attributes, and Qualifications of the Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee may also engage professional search firms to help identify potential Independent Trustee candidates with experience, qualifications, attributes, and skills consistent with the Statement of Policy. Additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, may be considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.
In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.
Board Structure and Oversight Function. Robert A. Lawrence is an interested person and currently serves as Chairman. The Trustees have determined that an interested Chairman is appropriate and benefits shareholders because an interested Chairman has a personal and professional stake in the quality and continuity of services provided to the fund. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chairman, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chairman and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session. Mary C. Farrell serves as the lead Independent Trustee and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.
Fidelity® funds are overseen by different Boards of Trustees. The fund's Board oversees asset allocation funds. Other Boards oversee Fidelity's investment-grade bond, money market, and asset allocation funds, and Fidelity's equity and high income funds. The fund may invest in Fidelity® funds overseen by such other Boards. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity® funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues.
The Trustees primarily operate as a full Board, but also operate in committees, to facilitate the timely and efficient consideration of all matters of importance to the Trustees, the fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the fund's activities and associated risks. The Board has charged Strategic Advisers and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the fund's business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above. Because the day-to-day operations and activities of the fund are carried out by or through Strategic Advisers, its affiliates and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees. Board oversight of different aspects of the fund's activities is exercised primarily through the full Board, but also through the Audit and Compliance Committee. Appropriate personnel, including but not limited to the fund's Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the fund's Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate. The responsibilities of each standing committee, including their oversight responsibilities, are described further under "Standing Committees of the Trustees."
Interested Trustees*:
Correspondence intended for a Trustee who is an interested person may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Robert A. Lawrence (1952)
Year of Election or Appointment: 2016
Trustee
Chairman of the Board of Trustees
Mr. Lawrence also serves as Trustee of other funds. Previously, Mr. Lawrence served as a Member of the Advisory Board of certain funds. Prior to his retirement in 2008, Mr. Lawrence served as Vice President of certain Fidelity® funds (2006-2008), Senior Vice President, Head of High Income Division of Fidelity Management & Research Company (investment adviser firm, 2006-2008), and President of Fidelity Strategic Investments (investment adviser firm, 2002-2005).
Charles S. Morrison (1960)
Year of Election or Appointment: 2020
Trustee
Mr. Morrison also serves as Trustee of other funds. Previously, Mr. Morrison served as President (2017-2018) and Director (2014-2018) of Fidelity SelectCo, LLC (investment adviser firm), President of Fidelity Management & Research Company (FMR) (investment adviser firm, 2016-2018), a Director of Fidelity Investments Money Management, Inc. (investment adviser firm, 2014-2018), President, Asset Management (2014-2018), Trustee of the Fidelity Equity and High Income Funds (283 funds as of December 2018) (2014-2018), and was an employee of Fidelity Investments. Mr. Morrison also previously served as Vice President of Fidelity's Fixed Income and Asset Allocation Funds (2012-2014), President, Fixed Income (2011-2014), Vice President of Fidelity's Money Market Funds (2005-2009), President, Money Market Group Leader of FMR (2009), and Senior Vice President, Money Market Group of FMR (2004-2009). Mr. Morrison also served as Vice President of Fidelity's Bond Funds (2002-2005), certain Balanced Funds (2002-2005), and certain Asset Allocation Funds (2002-2007), and as Senior Vice President (2002-2005) of Fidelity's Bond Division.
* Determined to be an "Interested Trustee" by virtue of, among other things, his or her affiliation with the trust or various entities under common control with Strategic Advisers.
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Independent Trustees:
Correspondence intended for an Independent Trustee may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Peter C. Aldrich (1944)
Year of Election or Appointment: 2006
Trustee
Mr. Aldrich also serves as Trustee of other funds. Mr. Aldrich is a Director of the U.S. Core Property Fund (and, previously, other funds) of BlackRock Realty Group (2006-present). Previously, Mr. Aldrich served as a Managing Member of Poseidon, LLC (foreign private investment, 1998-2004), and Chairman and Managing Member of AEGIS, LLC (foreign private investment, 1997-2004). Mr. Aldrich previously was a founder, Chief Executive Officer, and Chairman of AEW Capital Management, L.P. (then “Aldrich, Eastman and Waltch, L.P.”). Mr. Aldrich also served as a Director of LivelyHood, Inc. (private corporation, 2013-2020), a Trustee for the Fidelity Rutland Square Trust (2005-2010), a Director of Zipcar, Inc. (car sharing services, 2001-2009) and as Faculty Chairman of The Research Council on Global Investment of The Conference Board (business and professional education non-profit, 1999-2004). Mr. Aldrich is a Member Emeritus of the Board of Directors of the National Bureau of Economic Research, the Board of Trustees of the Museum of Fine Arts Boston and the Board of Overseers of the Massachusetts Eye and Ear Infirmary.
Mary C. Farrell (1949)
Year of Election or Appointment: 2013
Trustee
Ms. Farrell also serves as Trustee of other funds. Ms. Farrell is a Director of the W.R. Berkley Corporation (insurance provider) and President (2009-present) and Director (2006-present) of the Howard Gilman Foundation (charitable organization). Previously, Ms. Farrell was Managing Director and Chief Investment Strategist at UBS Wealth Management USA and Co-Head of UBS Wealth Management Investment Strategy & Research Group (2003-2005). Ms. Farrell also served as Investment Strategist at PaineWebber (1982-2000) and UBS PaineWebber (2000-2002). Ms. Farrell serves as Chairman of the Board of Trustees of Yale-New Haven Hospital and Vice Chairman of the Yale New Haven Health System Board and previously served as Trustee on the Board of Overseers of the New York University Stern School of Business.
Karen Kaplan (1960)
Year of Election or Appointment: 2006
Trustee
Ms. Kaplan also serves as Trustee of other funds. Ms. Kaplan is Chairman (2014-present) and Chief Executive Officer (2013-present) of Hill Holliday (advertising and specialized marketing). Ms. Kaplan is a Director of The Michaels Companies, Inc. (specialty retailer, 2015-present), Member of the Board of Governors of the Chief Executives’ Club of Boston (2010-present), Member of the Executive Committee of the Greater Boston Chamber of Commerce (2006-present), Advisory Board Member of the National Association of Corporate Directors Chapter (2012-present), Member of the Board of Trustees of the Post Office Square Trust (2012-present), Trustee of the Brigham and Women’s Hospital (2016-present), Overseer of the Boston Symphony Orchestra (2014-present), Member of the Board of Directors of The Advertising Council, Inc. (2016-present), Member of the Ron Burton Training Village Executive Board of Advisors (2018-present), Member of the Executive Committee of The Ad Council, Inc. (2019-present), and Member of the Board of Directors of The Ad Club of Boston (2020-present). Previously, Ms. Kaplan served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010), a member of the Clinton Global Initiative (2010-2015), Director of DSM (dba Delta Dental and DentaQuest) (2004-2014), Formal Appointee of the 2015 Baker-Polito Economic Development Council, Director of Vera Bradley Inc. (designer of women’s accessories, 2012-2015), Member of the Board of Directors of the Massachusetts Conference for Women (2008-2015), Member of the Board of Directors of Jobs for Massachusetts (2012-2015), President of the Massachusetts Women’s Forum (2008-2010), Treasurer of the Massachusetts Women’s Forum (2002-2006), and Vice Chair of the Board of the Massachusetts Society for the Prevention of Cruelty to Children (2003-2010).
Christine Marcks (1955)
Year of Election or Appointment: 2020
Trustee
Ms. Marcks also serves as Trustee of other Funds. Prior to her retirement, Ms. Marcks served as Chief Executive Officer and President – Prudential Retirement (2007-2017) and Vice President for Rollover and Retirement Income Strategies (2005-2007), Prudential Financial, Inc. (financial services). Previously, Ms. Marcks served as a Member of the Advisory Board of certain Fidelity® funds (2019-2020), was Senior Vice President and Head of Financial Horizons (2002-2004) and Vice President, Strategic Marketing (2000-2002) of Voya Financial (formerly ING U.S.) (financial services), held numerous positions at Aetna Financial Services (financial services, 1987-2000) and served as an International Economist for the United States Department of the Treasury (1980-1987). Ms. Marcks also serves as a member of the Board of Trustees, Audit Committee and Benefits & Operations Committee of the YMCA Retirement Fund (2018-present), a non-profit organization providing retirement plan benefits to YMCA staff members, and as a member of the Board of Trustees of Assumption College (2019-present).
Heidi L. Steiger (1953)
Year of Election or Appointment: 2017
Trustee
Ms. Steiger also serves as Trustee of other funds. Ms. Steiger serves as Managing Partner of Topridge Associates, LLC (consulting, 2005-present), a member of the Advisory Board of the joint degree program in Global Luxury Management at North Carolina State University (Raleigh, NC) and Skema (Paris) (2018-present), a Non-Executive Director of CrowdBureau Corporation (financial technology company and index provider, 2018-present), a member of the Board of Directors (2013-present) and Chair of the Audit Committee and member of the Membership and Executive Committees (2017-present) of Business Executives for National Security (nonprofit), and member of the Board of Directors Chair of the Remuneration Committee of Imagine Intelligent Materials Limited (2019-present) (technology company). Previously, Ms. Steiger served as a member of the Global Advisory Board and Of Counsel to Signum Global Advisors (international policy and strategy, 2018-2020), Eastern Region President of The Private Client Reserve of U.S. Bancorp (banking and financial services, 2010-2015), Advisory Director of Berkshire Capital Securities, LLC (financial services, 2009-2010), President and Senior Advisor of Lowenhaupt Global Advisors, LLC (financial services, 2005-2007), and President and Contributing Editor of Worth Magazine (2004-2005) and held a variety of positions at Neuberger Berman Group, LLC (financial services, 1986-2004), including Partner and Executive Vice President and Global Head of Private Asset Management at Neuberger Berman (1999-2004). Ms. Steiger also served as a member of the Board of Directors of Nuclear Electric Insurance Ltd (insurer of nuclear utilities, 2006-2017), a member of the Board of Trustees and Audit Committee of the Eaton Vance Funds (2007-2010), a member of the Board of Directors of Aviva USA (formerly AmerUs) (insurance, 2004-2014), and a member of the Board of Trustees and Audit Committee and Chair of the Investment Committee of CIFG (financial guaranty insurance, 2009-2012), and a member of the Board of Directors of Kin Group Plc (formerly, Fitbug Holdings) (health and technology, 2016-2017).
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Advisory Board Members and Officers:
Correspondence intended for a Member of the Advisory Board (if any) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235. Correspondence intended for an officer or Howard E. Cox, Jr. may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210. Officers appear below in alphabetical order.
Name, Year of Birth; Principal Occupation
Ralph F. Cox (1932)
Year of Election or Appointment: 2020
Member of the Advisory Board
Mr. Cox also serves as a Member of the Advisory Board of other funds. Mr. Cox is President of RABAR Enterprises (management consulting for the petroleum industry). Mr. Cox is a Director of Abraxas Petroleum (exploration and production, 1999-present). Mr. Cox is a member of the Advisory Boards of the Business and Engineering Schools of Texas A&M University and the Engineering School of University of Texas at Austin. Previously, Mr. Cox served as Trustee of other funds (2006-2020), a Trustee for the Fidelity Rutland Square Trust (2005-2010) and as an Advisory Director of CH2M Hill Companies (engineering, 1981-2011). Mr. Ralph F. Cox and Mr. Howard E. Cox, Jr. are not related.
Howard E. Cox, Jr. (1944)
Year of Election or Appointment: 2009
Member of the Advisory Board
Mr. Cox also serves as a Member of the Advisory Board of other funds. Mr. Cox is a Partner of Greylock (venture capital, 1971-present) and a Director of Stryker Corporation (medical products and services, 1974-present). Previously, Mr. Cox served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010). Mr. Cox also serves as a Member of the Secretary of Defense's Business Board of Directors (2008-present), a Director of Business Executives for National Security (1997-present), a Director of the Brookings Institution (2010-present), a Director of the World Economic Forum’s Young Global Leaders Foundation (2009-present), and is a Member of the Harvard Medical School Board of Fellows (2002-present). Mr. Howard E. Cox, Jr. and Mr. Ralph F. Cox are not related.
Craig S. Brown (1977)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Brown also serves as Assistant Treasurer of other funds. Mr. Brown is an employee of Fidelity Investments (2013-present).
John J. Burke III (1964)
Year of Election or Appointment: 2018
Chief Financial Officer
Mr. Burke also serves as Chief Financial Officer of other funds. Mr. Burke serves as Head of Investment Operations for Fidelity Fund and Investment Operations (2018-present) and is an employee of Fidelity Investments (1998-present). Previously Mr. Burke served as head of Asset Management Investment Operations (2012-2018).
Jonathan Davis (1968)
Year of Election or Appointment: 2010
Assistant Treasurer
Mr. Davis also serves as Assistant Treasurer of other funds. Mr. Davis serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments. Previously, Mr. Davis served as Vice President and Associate General Counsel of FMR LLC (diversified financial services company, 2003-2010).
Laura M. Del Prato (1964)
Year of Election or Appointment: 2018
Assistant Treasurer
Ms. Del Prato also serves as an officer of other funds. Ms. Del Prato is an employee of Fidelity Investments (2017-present). Previously, Ms. Del Prato served as President and Treasurer of The North Carolina Capital Management Trust: Cash Portfolio and Term Portfolio (2018-2020). Prior to joining Fidelity Investments, Ms. Del Prato served as a Managing Director and Treasurer of the JPMorgan Mutual Funds (2014-2017). Prior to JPMorgan, Ms. Del Prato served as a partner at Cohen Fund Audit Services (accounting firm, 2012-2013) and KPMG LLP (accounting firm, 2004-2012).
James D. Gryglewicz (1972)
Year of Election or Appointment: 2015
Chief Compliance Officer
Mr. Gryglewicz also serves as Chief Compliance Officer of other funds. Mr. Gryglewicz serves as Compliance Officer of Strategic Advisers LLC (investment adviser firm, 2015-present), Senior Vice President of Asset Management Compliance (2009-present), and is an employee of Fidelity Investments (2004-present). Previously, Mr. Gryglewicz served as Compliance Officer of Fidelity SelectCo, LLC (investment adviser firm, 2014-2019), and as Chief Compliance Officer of certain Fidelity® funds (2014-2018).
Colm A. Hogan (1973)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Hogan also serves as an officer of other funds. Mr. Hogan serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2005-present). Previously, Mr. Hogan served as Deputy Treasurer of certain Fidelity® funds (2016-2020) and Assistant Treasurer of certain Fidelity® funds (2016-2018).
Christina H. Lee (1975)
Year of Election or Appointment: 2020
Secretary and Chief Legal Officer
Ms. Lee also serves as Secretary and CLO of other funds. Ms. Lee serves as Vice President, Associate General Counsel (2014-present) and is an employee of Fidelity Investments (2007-present). Previously, Ms. Lee served as Assistant Secretary of certain funds (2018-2019).
Cynthia Lo Bessette (1969)
Year of Election or Appointment: 2020
Assistant Secretary
Ms. Lo Bessette also serves as an officer of other funds. Ms. Lo Bessette serves as CLO, Secretary, and Senior Vice President of Fidelity Management & Research Company LLC (investment adviser firm, 2019-present); and CLO of Fidelity Management & Research (Hong Kong) Limited, FMR Investment Management (UK) Limited, and Fidelity Management & Research (Japan) Limited (investment adviser firms, 2019-present). She is a Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company, 2019-present), and is an employee of Fidelity Investments. Previously, Ms. Lo Bessette served as CLO, Secretary, and Senior Vice President of FMR Co., Inc. (investment adviser firm, 2019); Secretary of Fidelity SelectCo, LLC and Fidelity Investments Money Management, Inc. (investment adviser firms, 2019). Prior to joining Fidelity Investments, Ms. Lo Bessette was Executive Vice President, General Counsel (2016-2019) and Senior Vice President, Deputy General Counsel (2015-2016) of OppenheimerFunds (investment management company) and Deputy Chief Legal Officer (2013-2015) of Jennison Associates LLC (investment adviser firm).
Chris Maher (1972)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Maher also serves as an officer of other funds. Mr. Maher serves as Assistant Treasurer of FMR Capital, Inc. (2017-present), and is an employee of Fidelity Investments (2008-present). Previously, Mr. Maher served as Assistant Treasurer of certain funds (2013-2020); Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010).
Brett Segaloff (1972)
Year of Election or Appointment: 2021
Anti-Money Laundering (AML) Officer
Mr. Segaloff also serves as an AML Officer of other funds and other related entities. He is Director, Anti-Money Laundering (2007-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments (1996-present).
Stacie M. Smith (1974)
Year of Election or Appointment: 2020
President and Treasurer
Ms. Smith also serves as an officer of other funds. Ms. Smith serves as Assistant Treasurer of FMR Capital, Inc. (2017-present), is an employee of Fidelity Investments (2009-present), and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (accounting firm, 1996-2009). Previously, Ms. Smith served as Assistant Treasurer (2013-2019) and Deputy Treasurer (2013-2016) of certain Fidelity® funds.
Marc L. Spector (1972)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Spector also serves as an officer of other funds. Mr. Spector serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2016-present). Prior to joining Fidelity Investments, Mr. Spector served as Director at the Siegfried Group (accounting firm, 2013-2016), and prior to Siegfried Group as audit senior manager at Deloitte & Touche LLP (accounting firm, 2005-2013).
Jim Wegmann (1979)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Wegmann also serves as Assistant Treasurer of other funds. Mr. Wegmann is an employee of Fidelity Investments (2011-present).
Shareholder Expense Example
As a shareholder, 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 (September 1, 2020 to February 28, 2021).
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
Annualized Expense Ratio-A | Beginning Account Value September 1, 2020 | Ending Account Value February 28, 2021 | Expenses Paid During Period-B September 1, 2020 to February 28, 2021 | |
Strategic Advisers International Fund | .18% | |||
Actual | $1,000.00 | $1,165.30 | $.97 | |
Hypothetical-C | $1,000.00 | $1,023.90 | $.90 |
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 181/ 365 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.
C 5% return per year before expenses
Distributions (Unaudited)
The Board of Trustees of Strategic Advisers International Fund voted to pay on April 12, 2021, to shareholders of record at the opening of business on April 9, 2021, a distribution of $0.293 per share derived from capital gains realized from sales of portfolio securities and a dividend of $0.023 per share from net investment income.
The fund hereby designates as a capital gain dividend with respect to the taxable year ended February 28, 2021, $389,402,609, or, if subsequently determined to be different, the net capital gain of such year.
The fund designates 4% and 1% of the dividends distributed in April and December, respectively during the fiscal year as qualifying for the dividends–received deduction for corporate shareholders.
The fund designates 58% and 98% of the dividends distributed in April and December, respectively during the fiscal year as amounts which may be taken into account as a dividend for the purposes of the maximum rate under section 1(h)(11) of the Internal Revenue Code.
The amounts per share which represent income derived from sources within, and taxes paid to, foreign countries or possessions of the United States are as follows:
Pay Date | Income | Taxes | |
Strategic Advisers International Fund | |||
04/09/20 | $0.0101 | $0.0007 | |
12/31/20 | $0.1419 | $0.0149 | |
The fund will notify shareholders in January 2022 of amounts for use in preparing 2021 income tax returns.
Board Approval of Investment Advisory Contracts and Management Fees
Strategic Advisers International Fund
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes at a meeting on the renewal of the management contract with Strategic Advisers LLC (Strategic Advisers) and the sub-advisory agreements with Arrowstreet Capital, Limited Partnership, Causeway Capital Management LLC, FIAM LLC, FIL Investment Advisors, Geode Capital Management, LLC, Massachusetts Financial Services Company (MFS), Thompson, Siegel & Walmsley, LLC (TSW), and William Blair Investment Management, LLC (William Blair) (each a Sub-Adviser and collectively, the Sub-Advisers) (collectively, the Sub-Advisory Agreements), and the sub-sub-advisory agreement with FIL Investment Advisors (UK) Limited (the Sub-Sub-Advisory Agreement and, together with the management contract and the Sub-Advisory Agreements, the Advisory Contracts) for the fund. Strategic Advisers and the Sub-Advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.The Board meets at least four times per year and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The full Board or the Independent Trustees, as appropriate, act on all major matters; however, a portion of the activities of the Board (including certain of those described herein) may be conducted through standing committees that have been established by the Board. The Board, acting directly and through its committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts.At its September 2020 meeting, the Board, including the Independent Trustees, unanimously determined to renew the fund's Advisory Contracts. In addition, the Board approved amendments to the fund's sub-advisory agreements with: (i) TSW to implement a new fee schedule, effective July 1, 2020, resulting in the same or lower fees at all asset levels; and (ii) William Blair and MFS to add representations relating to participating affiliate arrangements with certain of their non-U.S. advisory affiliates (Amendments). The Board noted that the other terms of each amended sub-advisory agreement are not materially different from those of the existing sub-advisory agreements. With respect the Amendment to the sub-advisory agreement with TSW, the Board also noted that the amended sub-advisory agreement would not result in changes to the nature, extent, and quality of the services that TSW provides to the fund.In reaching its determination to renew the fund's Advisory Contracts and approve the Amendments, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness of the fund's management fee and total expenses relative to peer funds; (iii) the total costs of the services provided by and the profits, if any, realized by Strategic Advisers from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and are realized as the fund grows and whether any economies of scale are appropriately shared with fund shareholders.In considering whether to renew the Advisory Contracts for the fund and approve the Amendments, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts and the approval of the Amendments is in the best interests of the fund and its shareholders. In addition, with respect to the Sub-Advisory Agreements, the Board also concluded that the renewal of such agreements and the approval of the Amendments do not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees charged under the Advisory Contracts bear a reasonable relationship to the services rendered and are based on services provided that are in addition to, rather than duplicative of, services provided under the advisory contract of any underlying fund in which the fund may invest. The Board's decision to renew the Advisory Contracts and approve the Amendments was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board throughout the year.Nature, Extent, and Quality of Services Provided. The Board considered the staffing within the Investment Advisers, including the backgrounds of the fund's investment personnel and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Strategic Advisers' investment operations and investment groups. The Board considered the structure of each Investment Adviser's investment personnel compensation program and whether such structures provide appropriate incentives to act in the best interests of the fund.The Trustees also discussed with representatives of Strategic Advisers, at meetings throughout the year, Strategic Advisers' role in, among other things, (i) setting, implementing and monitoring the investment strategies for the funds; (ii) identifying and recommending sub-advisers for the funds; (iii) overseeing compliance with federal securities laws by each sub-adviser with respect to the portion of fund assets allocated to the sub-adviser; (iv) monitoring and overseeing the performance and investment capabilities of each sub-adviser; and (v) recommending the replacement of a sub-adviser as appropriate. The Trustees considered that the Board had received from Strategic Advisers substantial information and periodic reports about Strategic Advisers' sub-adviser oversight and due diligence processes, as well as periodic reports regarding the performance of each sub-adviser.The Board also considered the nature, extent and quality of services provided by each Sub-Adviser. The Trustees noted that under the Sub-Advisory Agreements subject to oversight by Strategic Advisers, each Sub-Adviser is responsible for, among other things, identifying investments for the portion of fund assets allocated to the Sub-Adviser, if any, and executing portfolio transactions to implement its investment strategy. In addition, the Trustees noted that each Sub-Adviser is responsible for providing such reporting as may be requested from Strategic Advisers to fulfill its oversight responsibilities discussed above.Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of the Investment Advisers' investment staffs, their use of technology, and the Investment Advisers' approach to managing and compensating investment personnel. The Board noted that the Investment Advisers' analysts have extensive resources, tools, and capabilities that allow them to conduct sophisticated quantitative and/or fundamental analysis. Additionally, in its deliberations, the Board considered the Investment Advisers' trading capabilities and resources and global compliance infrastructure, which are integral parts of the investment management process. The Board also considered the Investment Advisers' investments in business continuity planning, and their success in continuously providing services to the fund notwithstanding the severe disruptions caused by the COVID-19 pandemic.Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of administrative and shareholder services performed by Strategic Advisers and itsaffiliates under the management contract and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of Strategic Advisers' supervision of third party service providers, includingsub-advisers, custodians and subcustodians; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.Investment Performance. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions and its performance history.In connection with the renewal of the Advisory Contracts, the Board considered annualized return information for the fund for different time periods, measured against an appropriate securities market index ("benchmark index") and a peer group of mutual funds with similar objectives ("peer group").The Board considered discussions that occur at Board meetings throughout the year with representatives of Strategic Advisers about fund investment performance and the performance of each Sub-Adviser as part of regularly scheduled fund reviews and other reports to the Board on fund performance, taking into account various factors including general market conditions. In its discussions with representatives of Strategic Advisers regarding fund performance, the Board gave particular attention to information indicating underperformance of certain funds for specific time periods and discussed with Strategic Advisers the reasons for any such underperformance.The following charts considered by the Board show, over the one-, three-, and five-year periods ended December 31, 2019, the cumulative total returns of the fund and the cumulative total returns of an appropriate benchmark index and peer group. The box within each chart shows the 25th percentile return (75% beaten, top of box) and the 75th percentile return (25% beaten, bottom of box) of the peer group. Returns shown above the box are in the first quartile and returns shown below the box are in the fourth quartile. The percentage beaten number noted below each chart corresponds to the percentile box and represents the percentage of funds in the peer group whose performance was equal to or lower than that of the fund.Strategic Advisers International Fund
Strategic Advisers International Fund
Liquidity Risk Management Program
The Securities and Exchange Commission adopted Rule 22e-4 under the Investment Company Act of 1940 (the Liquidity Rule) to promote effective liquidity risk management throughout the open-end investment company industry, thereby reducing the risk that funds will be unable to meet their redemption obligations and mitigating dilution of the interests of fund shareholders.
The Fund has adopted and implemented a liquidity risk management program (the Program) reasonably designed to assess and manage the Fund’s liquidity risk and to comply with the requirements of the Liquidity Rule. The Fund’s Board of Trustees (the Board) has designated the Fund’s investment adviser as administrator of the Program. Strategic Advisers has established a Liquidity Risk Management Committee (the LRM Committee) to manage the Program for each of the Funds. The LRM Committee monitors the adequacy and effectiveness of implementation of the Program and on a periodic basis assesses each Fund’s liquidity risk based on a variety of factors including (1) the Fund’s investment strategy, (2) portfolio liquidity and cash flow projections during normal and reasonably foreseeable stressed conditions, (3) shareholder redemptions and (4) borrowings and other funding sources, as applicable.
In accordance with the Program, each of the Fund’s portfolio investments is classified into one of four liquidity categories described below based on a determination of a reasonable expectation for how long it would take to convert the investment to cash (or sell or dispose of the investment) without significantly changing its market value.
- Highly liquid investments – cash or convertible to cash within three business days or less
- Moderately liquid investments – convertible to cash in three to seven calendar days
- Less liquid investments – can be sold or disposed of, but not settled, within seven calendar days
- Illiquid investments – cannot be sold or disposed of within seven calendar days
Liquidity classification determinations take into account a variety of factors including various market, trading and investment-specific considerations, as well as market depth, and generally utilize analysis from a third-party liquidity metrics service.
The Liquidity Rule places a 15% limit on a fund’s illiquid investments and requires funds that do not primarily hold assets that are highly liquid investments to determine and maintain a minimum percentage of the fund’s net assets to be invested in highly liquid investments (highly liquid investment minimum or HLIM). The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments and for determining, periodically reviewing and complying with the HLIM requirement as applicable.
At a recent meeting of the Fund’s Board of Trustees, the LRM Committee provided a written report to the Board pertaining to the operation, adequacy, and effectiveness of implementation of the Program for the annual period from December 1, 2019 through November 30, 2020. The report concluded that the Program has been implemented and is operating effectively and is reasonably designed to assess and manage the Fund’s liquidity risk.
Proxy Voting Results
A special meeting of shareholders was held on November 2, 2020. The results of votes taken among shareholders on the proposals before them are reported below. Each vote reported represents one dollar of net asset value held on the record date for the meeting.
PROPOSAL 1
To elect a Board of Trustees.
# of Votes | % of Votes | |
ROBERT A. LAWRENCE | ||
Affirmative | 204,250,982,594.51 | 96.530 |
Withheld | 7,343,512,146.85 | 3.470 |
TOTAL | 211,594,494,741.36 | 100.000 |
CHARLES S. MORRISON | ||
Affirmative | 204,349,460,488.43 | 96.576 |
Withheld | 7,245,034,252.93 | 3.424 |
TOTAL | 211,594,494,741.36 | 100.000 |
PETER C. ALDRICH | ||
Affirmative | 203,499,803,652.67 | 96.175 |
Withheld | 8,094,691,088.69 | 3.825 |
TOTAL | 211,594,494,741.36 | 100.000 |
MARY C. FARRELL | ||
Affirmative | 204,011,925,737.22 | 96.417 |
Withheld | 7,582,569,004.14 | 3.583 |
TOTAL | 211,594,494,741.36 | 100.00 |
KAREN KAPLAN | ||
Affirmative | 204,297,547,550.53 | 96.552 |
Withheld | 7,296,947,190.83 | 3.448 |
TOTAL | 211,594,494,741.36 | 100.000 |
CHRISTINE MARCKS | ||
Affirmative | 204,700,871,317.72 | 96.743 |
Withheld | 6,893,623,423.64 | 3.257 |
TOTAL | 211,594,494,741.36 | 100.000 |
HEIDI L. STEIGER | ||
Affirmative | 204,406,589,957.28 | 96.603 |
Withheld | 7,187,904,784.08 | 3.397 |
TOTAL | 211,594,494,741.36 | 100.000 |
PROPOSAL 2
To approve the conversion of a fundamental investment policy to a non-fundamental investment policy.
# of Votes | % of Votes | |
Affirmative | 14,149,296,393.10 | 85.051 |
Against | 1,156,233,488.28 | 6.950 |
Abstain | 1,330,876,987.71 | 7.999 |
Broker Non-Vote | 0.00 | 0.000 |
TOTAL | 16,636,406,869.09 | 100.000 |
PROPOSAL 5
To approve a sub-subadvisory agreement between FIAM LLC (FIAM) and FMR Investment Management (UK) Limited (FMR UK).
# of Votes | % of Votes | |
Affirmative | 14,838,147,939.03 | 89.191 |
Against | 730,994,444.62 | 4.394 |
Abstain | 1,067,264,485.44 | 6.415 |
Broker Non-Vote | 0.00 | 0.000 |
TOTAL | 16,636,406,869.09 | 100.000 |
PROPOSAL 6
To approve a sub-subadvisory agreement between FIAM and Fidelity Management & Research (Hong Kong) Limited (FMR H.K.).
# of Votes | % of Votes | |
Affirmative | 14,650,859,154.23 | 88.066 |
Against | 928,816,175.50 | 5.583 |
Abstain | 1,056,731,539.36 | 6.351 |
Broker Non-Vote | 0.00 | 0.000 |
TOTAL | 16,636,406,869.09 | 100.000 |
PROPOSAL 7
To approve a sub-subadvisory agreement between FIAM and Fidelity Management & Research (Japan) Limited (FMR Japan).
# of Votes | % of Votes | |
Affirmative | 14,849,451,183.95 | 89.259 |
Against | 723,883,226.50 | 4.351 |
Abstain | 1,063,072,458.64 | 6.390 |
Broker Non-Vote | 0.00 | 0.000 |
TOTAL | 16,636,406,869.09 | 100.000 |
Proposal 1 reflects trust wide proposal and voting results. |
SIT-ANN-0421
1.912865.110
Strategic Advisers® Fidelity® International Fund
Offered exclusively to certain clients of Strategic Advisers LLC - not available for sale to the general public
February 28, 2021
Contents
Board Approval of Investment Advisory Contracts and Management Fees | |
To view a fund's proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
You may also call 1-800-544-3455 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2021 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
Note to Shareholders:
Early in 2020, the outbreak and spread of a new coronavirus emerged as a public health emergency that had a major influence on financial markets, primarily based on its impact on the global economy and the outlook for corporate earnings. The virus causes a respiratory disease known as COVID-19. On March 11, 2020 the World Health Organization declared the COVID-19 outbreak a pandemic, citing sustained risk of further global spread.
In the weeks following, as the crisis worsened, we witnessed an escalating human tragedy with wide-scale social and economic consequences from coronavirus-containment measures. The outbreak of COVID-19 prompted a number of measures to limit the spread, including travel and border restrictions, quarantines, and restrictions on large gatherings. In turn, these resulted in lower consumer activity, diminished demand for a wide range of products and services, disruption in manufacturing and supply chains, and – given the wide variability in outcomes regarding the outbreak – significant market uncertainty and volatility. Amid the turmoil, global governments and central banks took unprecedented action to help support consumers, businesses, and the broader economies, and to limit disruption to financial systems.
The situation continues to unfold, and the extent and duration of its impact on financial markets and the economy remain highly uncertain. Extreme events such as the coronavirus crisis are “exogenous shocks” that can have significant adverse effects on mutual funds and their investments. Although multiple asset classes may be affected by market disruption, the duration and impact may not be the same for all types of assets.
Fidelity is committed to helping you stay informed amid news about COVID-19 and during increased market volatility, and we’re taking extra steps to be responsive to customer needs. We encourage you to visit our websites, where we offer ongoing updates, commentary, and analysis on the markets and our funds.
Performance: The Bottom Line
Average annual total return reflects the change in the value of an investment, assuming reinvestment of distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year. The hypothetical investment and the average annual total returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund’s total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.
Average Annual Total Returns
For the periods ended February 28, 2021 | Past 1 year | Past 5 years | Past 10 years |
Strategic Advisers® Fidelity® International Fund | 25.35% | 10.82% | 6.24% |
$10,000 Over 10 Years
Let's say hypothetically that $10,000 was invested in Strategic Advisers® Fidelity® International Fund on February 28, 2011.
The chart shows how the value of your investment would have changed, and also shows how the MSCI EAFE Index performed over the same period.
Period Ending Values | ||
$18,310 | Strategic Advisers® Fidelity® International Fund | |
$16,634 | MSCI EAFE Index |
Management's Discussion of Fund Performance
Market Recap: The MSCI ACWI (All Country World Index) ex USA Index gained 26.37% for the 12 months ending February 28, 2021, a volatile and unpredictable period that will be remembered by most investors for the impact of the coronavirus pandemic. The early-2020 outbreak and spread of COVID-19 resulted in non-U.S. stocks suffering one of the quickest declines on record, through late March, followed by a historic rebound. The crisis and containment efforts caused broad contraction in global economic activity, along with dislocation in financial markets. Rapid and expansive monetary/fiscal-policy responses partially offset the economic disruption and fueled the market surge, as did resilient corporate earnings and the potential for a COVID-19 vaccine breakthrough. The rally slowed in early September (-2.45%), when stocks began a two-month retreat. November (+13.46%) was a much different story, however, as investors digested election results in the U.S. The momentum continued in the final three months of the period (+7.75%), driven by regulatory approvals and the distribution of COVID-19 vaccines. For the full year, emerging markets (+37%) was the top region, followed by Japan (+29%) and Europe ex U.K. (+25%). Conversely, the U.K. (+9%), Canada (+20%) and Asia Pacific ex Japan (+21%) lagged. By sector, information technology (+63%) led, while materials (+49%) and consumer discretionary (+43%) also stood out. In contrast, real estate (+2%), energy (+4%) and utilities (+7%) notably underperformed.Comments from Portfolio Manager Wilfred Chilangwa: For the fiscal year ending February 28, 2021, the Fund advanced 25.35%, outpacing the 22.68% increase in the benchmark MSCI EAFE Index. Until the fourth quarter of 2020, growth stocks and strategies continued to outperform value-oriented approaches in international developed markets. At that point, market leadership began to rotate toward value and small-cap stocks. Within the portfolio, Fidelity® International Discovery Fund (+35%) topped the MSCI EAFE by a sizable margin and was the top contributor to relative performance. The portfolio manager of this fund looks for companies with strong three- to five-year earnings prospects, responsible management teams, conservative balance sheets and large potential markets. This period, his strategy yielded strong investment choices in the financials and health care sectors. Beneficial positioning in information technology, as well as the Europe ex U.K. and Pacific ex Japan regions also helped. Fidelity® International Capital Appreciation Fund (+29%) also substantially contributed versus the benchmark. This fund seeks high-quality growth stocks benefiting from long-term ‘megatrends,’ as well as strong brands, high barriers to entry and ‘best in class’ management teams. Favorable overall positioning within financials, technology and energy drove its strong performance. Regionally, this manager did the best work in Europe ex U.K, the U.S. and emerging markets. On the downside, Fidelity® SAI International Low Volatility Index Fund (+5%) was the primary relative detractor. This fund maintains equity exposure across a range of benchmark sectors that have exhibited relatively low volatility. Greater-than-benchmark allocations in more defensive sectors, such as consumer staples and utilities, hampered its performance in the risk-driven, market environment from March on. Looking ahead, I plan to gradually increase the fund’s allocations to managers that I believe are positioned to benefit from the global economic recovery – particularly those emphasizing value stocks and/or those with significant small-cap exposure.The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
Investment Summary (Unaudited)
The information in the following tables is based on the direct investments of the Fund.Top Ten Holdings as of February 28, 2021
(excluding cash equivalents)
% of fund's net assets | |
Fidelity SAI International Value Index Fund | 19.3 |
Fidelity International Discovery Fund | 12.3 |
Fidelity Overseas Fund | 11.1 |
Fidelity Diversified International Fund | 11.1 |
Fidelity International Capital Appreciation Fund | 9.5 |
Fidelity SAI International Low Volatility Index Fund | 6.5 |
Fidelity Advisor Japan Fund Class I | 2.7 |
iShares MSCI EAFE Small-Cap ETF | 2.2 |
Fidelity SAI International Index Fund | 1.6 |
Fidelity International Value Fund | 1.4 |
77.7 |
Asset Allocation (% of fund's net assets)
As of February 28, 2021 | ||
Common Stocks | 11.7% | |
Preferred Stocks | 0.1% | |
Foreign Large Blend Funds | 9.4% | |
Foreign Large Growth Funds | 44.6% | |
Foreign Large Value Funds | 20.7% | |
Foreign Small Mid Growth Funds | 0.6% | |
Foreign Small Mid Blend Funds | 2.2% | |
Other | 4.2% | |
Sector Funds | 0.6% | |
Short-Term Investments and Net Other Assets (Liabilities) | 5.9% |
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 February 28, 2021
Showing Percentage of Net Assets
Common Stocks - 11.7% | |||
Shares | Value | ||
COMMUNICATION SERVICES - 0.6% | |||
Diversified Telecommunication Services - 0.3% | |||
Cellnex Telecom SA (a) | 268,408 | $14,589,338 | |
Deutsche Telekom AG | 931,980 | 16,953,116 | |
Elisa Corp. (A Shares) | 72,274 | 4,303,428 | |
HKT Trust/HKT Ltd. unit | 6,303,000 | 8,564,952 | |
44,410,834 | |||
Interactive Media & Services - 0.0% | |||
Z Holdings Corp. | 889,200 | 5,428,821 | |
Media - 0.1% | |||
Informa PLC (b) | 503,126 | 3,860,861 | |
Schibsted ASA (A Shares) | 184,391 | 7,458,068 | |
11,318,929 | |||
Wireless Telecommunication Services - 0.2% | |||
SoftBank Group Corp. | 243,100 | 22,688,401 | |
Vodafone Group PLC | 6,228,820 | 10,662,759 | |
33,351,160 | |||
TOTAL COMMUNICATION SERVICES | 94,509,744 | ||
CONSUMER DISCRETIONARY - 1.5% | |||
Auto Components - 0.0% | |||
DENSO Corp. | 69,300 | 4,186,722 | |
Automobiles - 0.4% | |||
Daimler AG (Germany) | 167,245 | 13,368,551 | |
Ferrari NV | 22,652 | 4,413,919 | |
Isuzu Motors Ltd. | 1,292,800 | 13,605,865 | |
Suzuki Motor Corp. | 86,700 | 3,781,859 | |
Toyota Motor Corp. | 350,400 | 25,892,380 | |
61,062,574 | |||
Hotels, Restaurants & Leisure - 0.2% | |||
Aristocrat Leisure Ltd. | 322,217 | 7,527,151 | |
Compass Group PLC | 350,737 | 7,122,402 | |
Sands China Ltd. | 3,060,400 | 14,424,083 | |
29,073,636 | |||
Household Durables - 0.2% | |||
Panasonic Corp. | 425,600 | 5,502,216 | |
Sony Corp. | 292,300 | 30,867,226 | |
Vistry Group PLC | 281,578 | 3,303,119 | |
39,672,561 | |||
Internet & Direct Marketing Retail - 0.2% | |||
Delivery Hero AG (a)(b) | 58,258 | 7,429,779 | |
HelloFresh AG (b) | 42,717 | 3,324,343 | |
Ocado Group PLC (b) | 136,706 | 4,190,094 | |
THG PLC | 675,452 | 6,662,561 | |
ZOZO, Inc. | 214,300 | 6,694,676 | |
28,301,453 | |||
Leisure Products - 0.0% | |||
Bandai Namco Holdings, Inc. | 50,500 | 3,862,860 | |
Multiline Retail - 0.1% | |||
B&M European Value Retail SA | 1,190,652 | 9,063,773 | |
Ryohin Keikaku Co. Ltd. | 118,500 | 2,665,819 | |
11,729,592 | |||
Specialty Retail - 0.1% | |||
Fast Retailing Co. Ltd. | 12,300 | 12,195,185 | |
JD Sports Fashion PLC (b) | 280,240 | 3,242,134 | |
15,437,319 | |||
Textiles, Apparel & Luxury Goods - 0.3% | |||
adidas AG | 28,064 | 9,782,333 | |
Hermes International SCA | 7,554 | 8,414,302 | |
LVMH Moet Hennessy Louis Vuitton SE | 50,954 | 32,285,420 | |
Moncler SpA | 81,056 | 5,017,043 | |
55,499,098 | |||
TOTAL CONSUMER DISCRETIONARY | 248,825,815 | ||
CONSUMER STAPLES - 1.1% | |||
Beverages - 0.4% | |||
Anheuser-Busch InBev SA NV | 93,224 | 5,364,448 | |
Asahi Group Holdings | 230,100 | 10,045,502 | |
Diageo PLC | 434,104 | 17,009,823 | |
Heineken NV (Bearer) | 97,864 | 9,646,957 | |
Pernod Ricard SA | 77,720 | 14,755,192 | |
Treasury Wine Estates Ltd. | 1,019,953 | 8,554,351 | |
65,376,273 | |||
Food & Staples Retailing - 0.2% | |||
Seven & i Holdings Co. Ltd. | 314,200 | 11,975,514 | |
Tesco PLC | 4,053,920 | 12,741,920 | |
Tsuruha Holdings, Inc. | 51,000 | 6,559,501 | |
Zur Rose Group AG (b) | 16,356 | 7,713,653 | |
38,990,588 | |||
Food Products - 0.3% | |||
Nestle SA (Reg. S) | 401,202 | 41,872,924 | |
Household Products - 0.0% | |||
Reckitt Benckiser Group PLC | 87,048 | 7,301,673 | |
Personal Products - 0.1% | |||
Kao Corp. | 109,300 | 7,353,594 | |
Shiseido Co. Ltd. | 93,400 | 6,981,841 | |
14,335,435 | |||
Tobacco - 0.1% | |||
Swedish Match Co. AB | 161,166 | 11,589,431 | |
TOTAL CONSUMER STAPLES | 179,466,324 | ||
ENERGY - 0.4% | |||
Oil, Gas & Consumable Fuels - 0.4% | |||
Idemitsu Kosan Co. Ltd. | 445,500 | 11,718,104 | |
Neste Oyj | 119,017 | 7,820,454 | |
Royal Dutch Shell PLC: | |||
Class A rights (b)(c) | 1,378,604 | 229,731 | |
Class A (United Kingdom) | 1,378,604 | 28,198,638 | |
Total SA | 405,578 | 18,912,152 | |
66,879,079 | |||
FINANCIALS - 2.2% | |||
Banks - 1.1% | |||
Bankinter SA | 1,233,925 | 8,176,447 | |
BNP Paribas SA | 264,261 | 15,709,631 | |
Commonwealth Bank of Australia | 295,260 | 18,529,437 | |
Erste Group Bank AG | 214,656 | 7,067,924 | |
Intesa Sanpaolo SpA | 5,825,585 | 14,977,763 | |
KBC Groep NV | 237,287 | 17,069,124 | |
Lloyds Banking Group PLC | 15,135,940 | 8,247,170 | |
National Australia Bank Ltd. | 1,135,948 | 21,536,720 | |
Societe Generale Series A | 308,220 | 7,627,324 | |
Standard Chartered PLC (United Kingdom) | 1,603,789 | 10,325,157 | |
Sumitomo Mitsui Financial Group, Inc. | 683,900 | 24,145,375 | |
Swedbank AB (A Shares) | 323,558 | 5,671,912 | |
United Overseas Bank Ltd. | 853,603 | 15,799,402 | |
174,883,386 | |||
Capital Markets - 0.2% | |||
Amundi SA (a) | 74,968 | 5,698,516 | |
EQT AB | 143,480 | 4,001,651 | |
London Stock Exchange Group PLC | 64,446 | 8,660,173 | |
Nordnet AB | 289,700 | 5,220,083 | |
UBS Group AG | 860,983 | 13,345,639 | |
36,926,062 | |||
Diversified Financial Services - 0.2% | |||
Investor AB (B Shares) | 113,087 | 8,367,787 | |
M&G PLC | 2,292,196 | 5,872,823 | |
ORIX Corp. | 1,125,000 | 19,012,970 | |
33,253,580 | |||
Insurance - 0.7% | |||
AIA Group Ltd. | 2,437,800 | 30,744,144 | |
AXA SA | 276,991 | 6,965,839 | |
Direct Line Insurance Group PLC | 964,133 | 4,306,396 | |
Hiscox Ltd. (b) | 276,573 | 3,637,435 | |
Legal & General Group PLC | 2,108,354 | 7,616,571 | |
NN Group NV | 252,253 | 11,626,394 | |
Prudential PLC | 833,380 | 16,601,166 | |
Talanx AG | 178,767 | 7,432,723 | |
Tokio Marine Holdings, Inc. | 295,200 | 14,665,133 | |
Zurich Insurance Group Ltd. | 11,603 | 4,736,468 | |
108,332,269 | |||
TOTAL FINANCIALS | 353,395,297 | ||
HEALTH CARE - 1.4% | |||
Health Care Equipment & Supplies - 0.3% | |||
GN Store Nord A/S | 41,025 | 3,448,038 | |
Hoya Corp. | 156,200 | 17,730,850 | |
Koninklijke Philips Electronics NV | 120,401 | 6,573,540 | |
Olympus Corp. | 425,600 | 8,967,256 | |
Siemens Healthineers AG (a) | 115,482 | 6,385,714 | |
43,105,398 | |||
Health Care Providers & Services - 0.0% | |||
UDG Healthcare PLC (United Kingdom) | 300,812 | 3,233,289 | |
Life Sciences Tools & Services - 0.2% | |||
Eurofins Scientific SA (b) | 86,001 | 7,641,218 | |
Lonza Group AG | 17,438 | 10,998,947 | |
Sartorius Stedim Biotech | 17,569 | 7,673,631 | |
26,313,796 | |||
Pharmaceuticals - 0.9% | |||
Astellas Pharma, Inc. | 441,500 | 6,980,636 | |
AstraZeneca PLC (United Kingdom) | 279,921 | 27,084,523 | |
Daiichi Sankyo Kabushiki Kaisha | 324,100 | 9,203,269 | |
Merck KGaA | 43,864 | 7,120,939 | |
Novartis AG | 152,214 | 13,109,649 | |
Roche Holding AG (participation certificate) | 138,783 | 45,529,014 | |
Sanofi SA | 306,481 | 28,125,978 | |
UCB SA | 140,918 | 14,016,829 | |
151,170,837 | |||
TOTAL HEALTH CARE | 223,823,320 | ||
INDUSTRIALS - 1.9% | |||
Aerospace & Defense - 0.1% | |||
Airbus Group NV | 97,822 | 11,364,437 | |
BAE Systems PLC | 1,023,683 | 6,929,374 | |
18,293,811 | |||
Air Freight & Logistics - 0.1% | |||
Deutsche Post AG | 315,015 | 15,646,039 | |
Airlines - 0.0% | |||
Ryanair Holdings PLC (b) | 30,100 | 600,489 | |
Ryanair Holdings PLC sponsored ADR (b) | 56,390 | 6,063,053 | |
6,663,542 | |||
Building Products - 0.2% | |||
ASSA ABLOY AB (B Shares) | 199,430 | 5,002,663 | |
Compagnie de St. Gobain (b) | 136,215 | 7,325,145 | |
Daikin Industries Ltd. | 30,600 | 5,963,602 | |
Kingspan Group PLC (Ireland) | 44,654 | 3,246,106 | |
Nibe Industrier AB (B Shares) | 154,158 | 4,843,510 | |
26,381,026 | |||
Commercial Services & Supplies - 0.1% | |||
Park24 Co. Ltd. | 273,300 | 5,873,918 | |
Rentokil Initial PLC | 615,833 | 4,004,186 | |
Securitas AB (B Shares) | 536,188 | 8,220,080 | |
18,098,184 | |||
Construction & Engineering - 0.1% | |||
Ferrovial SA | 251,562 | 6,264,697 | |
VINCI SA | 123,230 | 12,815,907 | |
19,080,604 | |||
Electrical Equipment - 0.1% | |||
Legrand SA | 52,355 | 4,543,109 | |
Vestas Wind Systems A/S | 28,963 | 5,431,289 | |
9,974,398 | |||
Industrial Conglomerates - 0.2% | |||
Siemens AG | 156,662 | 24,245,210 | |
Machinery - 0.3% | |||
FANUC Corp. | 61,700 | 15,419,258 | |
Kawasaki Heavy Industries Ltd. (b) | 377,400 | 8,552,702 | |
Minebea Mitsumi, Inc. | 155,100 | 3,840,346 | |
SMC Corp. | 5,500 | 3,245,462 | |
Techtronic Industries Co. Ltd. | 549,500 | 8,387,961 | |
THK Co. Ltd. | 235,900 | 7,601,825 | |
Volvo AB (B Shares) | 321,008 | 8,222,981 | |
55,270,535 | |||
Marine - 0.0% | |||
A.P. Moller - Maersk A/S Series B | 2,944 | 6,296,352 | |
Professional Services - 0.3% | |||
Experian PLC | 255,882 | 8,122,673 | |
Persol Holdings Co. Ltd. | 320,600 | 6,337,110 | |
Recruit Holdings Co. Ltd. | 352,400 | 17,609,223 | |
RELX PLC (London Stock Exchange) | 173,834 | 4,098,990 | |
SR Teleperformance SA | 23,671 | 8,371,008 | |
44,539,004 | |||
Trading Companies & Distributors - 0.3% | |||
Ferguson PLC | 72,738 | 8,605,711 | |
Itochu Corp. | 544,600 | 16,266,123 | |
Rexel SA | 649,980 | 12,202,671 | |
Seven Group Holdings Ltd. | 496,322 | 8,283,302 | |
45,357,807 | |||
Transportation Infrastructure - 0.1% | |||
Aena Sme SA (a)(b) | 74,551 | 12,673,886 | |
Auckland International Airport Ltd. | 1,411,749 | 7,701,447 | |
20,375,333 | |||
TOTAL INDUSTRIALS | 310,221,845 | ||
INFORMATION TECHNOLOGY - 1.0% | |||
Communications Equipment - 0.0% | |||
Ericsson (B Shares) | 657,058 | 8,210,560 | |
Electronic Equipment & Components - 0.3% | |||
Hitachi Ltd. | 395,900 | 18,259,999 | |
Keyence Corp. | 28,900 | 13,707,810 | |
Murata Manufacturing Co. Ltd. | 111,400 | 9,549,739 | |
41,517,548 | |||
IT Services - 0.3% | |||
Afterpay Ltd. (b) | 96,730 | 8,895,742 | |
Amadeus IT Holding SA Class A (b) | 117,966 | 8,236,064 | |
Capgemini SA | 85,457 | 13,728,849 | |
Edenred SA | 63,313 | 3,505,551 | |
Fujitsu Ltd. | 40,900 | 5,933,706 | |
TIS, Inc. | 131,700 | 2,735,436 | |
Worldline SA (a)(b) | 82,366 | 7,334,148 | |
50,369,496 | |||
Semiconductors & Semiconductor Equipment - 0.3% | |||
ASML Holding NV (Netherlands) | 46,551 | 26,400,045 | |
Infineon Technologies AG | 167,535 | 7,277,017 | |
Lasertec Corp. | 16,400 | 1,995,478 | |
Renesas Electronics Corp. (b) | 281,200 | 3,083,848 | |
Tokyo Electron Ltd. | 29,000 | 12,093,494 | |
50,849,882 | |||
Software - 0.1% | |||
Dassault Systemes SA | 31,820 | 6,599,657 | |
NICE Systems Ltd. (b) | 37,732 | 8,779,682 | |
Oracle Corp. Japan | 59,800 | 6,058,821 | |
21,438,160 | |||
TOTAL INFORMATION TECHNOLOGY | 172,385,646 | ||
MATERIALS - 0.9% | |||
Chemicals - 0.2% | |||
Corbion NV | 102,932 | 5,849,472 | |
NOF Corp. | 105,000 | 5,526,057 | |
Shin-Etsu Chemical Co. Ltd. | 86,300 | 14,144,072 | |
Sika AG | 42,176 | 11,136,894 | |
36,656,495 | |||
Construction Materials - 0.1% | |||
CRH PLC | 246,400 | 10,696,527 | |
HeidelbergCement AG | 180,128 | 14,230,993 | |
24,927,520 | |||
Metals & Mining - 0.4% | |||
Anglo American PLC (United Kingdom) | 419,135 | 16,189,705 | |
ArcelorMittal SA (Netherlands) (b) | 399,000 | 9,319,202 | |
Fortescue Metals Group Ltd. | 550,923 | 10,220,415 | |
Rio Tinto PLC | 265,250 | 22,988,405 | |
58,717,727 | |||
Paper & Forest Products - 0.2% | |||
Mondi PLC | 287,173 | 6,899,542 | |
Stora Enso Oyj (R Shares) | 556,534 | 10,962,010 | |
UPM-Kymmene Corp. | 235,907 | 8,994,421 | |
26,855,973 | |||
TOTAL MATERIALS | 147,157,715 | ||
REAL ESTATE - 0.3% | |||
Equity Real Estate Investment Trusts (REITs) - 0.1% | |||
Big Yellow Group PLC | 283,195 | 4,478,112 | |
Link (REIT) | 1,236,022 | 11,664,719 | |
National Storage (REIT) unit | 3,077,075 | 4,439,354 | |
20,582,185 | |||
Real Estate Management & Development - 0.2% | |||
Grainger Trust PLC | 972,199 | 3,640,809 | |
LEG Immobilien AG | 49,238 | 6,721,433 | |
Mitsui Fudosan Co. Ltd. | 226,000 | 5,139,834 | |
Sino Land Ltd. | 4,282,846 | 6,482,426 | |
Vonovia SE | 178,885 | 11,383,069 | |
33,367,571 | |||
TOTAL REAL ESTATE | 53,949,756 | ||
UTILITIES - 0.4% | |||
Electric Utilities - 0.3% | |||
AusNet Services | 5,175,514 | 6,590,705 | |
Enel SpA | 1,923,157 | 18,133,258 | |
Energias de Portugal SA | 1,144,513 | 6,553,809 | |
Iberdrola SA | 1,533,555 | 19,289,490 | |
ORSTED A/S (a) | 46,779 | 7,574,871 | |
58,142,133 | |||
Multi-Utilities - 0.1% | |||
RWE AG | 338,898 | 12,814,844 | |
TOTAL UTILITIES | 70,956,977 | ||
TOTAL COMMON STOCKS | |||
(Cost $1,663,090,741) | 1,921,571,518 | ||
Nonconvertible Preferred Stocks - 0.1% | |||
CONSUMER DISCRETIONARY - 0.1% | |||
Automobiles - 0.1% | |||
Volkswagen AG | |||
(Cost $10,297,364) | 63,112 | 13,175,089 | |
Equity Funds - 82.3% | |||
Foreign Large Blend Funds - 9.4% | |||
Fidelity Pacific Basin Fund (d) | 4,884,671 | 220,347,501 | |
Fidelity SAI International Index Fund (d) | 19,448,510 | 256,720,329 | |
Fidelity SAI International Low Volatility Index Fund (d) | 100,269,969 | 1,065,869,771 | |
TOTAL FOREIGN LARGE BLEND FUNDS | 1,542,937,601 | ||
Foreign Large Growth Funds - 44.6% | |||
Fidelity Advisor Overseas Fund Class I (d) | 3,075,382 | 91,215,843 | |
Fidelity Diversified International Fund (d) | 38,662,478 | 1,828,735,209 | |
Fidelity International Capital Appreciation Fund (d) | 56,640,974 | 1,570,087,796 | |
Fidelity International Discovery Fund (d) | 37,231,406 | 2,016,080,656 | |
Fidelity Overseas Fund (d) | 31,061,302 | 1,834,480,517 | |
TOTAL FOREIGN LARGE GROWTH FUNDS | 7,340,600,021 | ||
Foreign Large Value Funds - 20.7% | |||
Fidelity International Value Fund (d) | 25,377,058 | 222,303,028 | |
Fidelity SAI International Value Index Fund (d) | 339,485,508 | 3,180,979,210 | |
TOTAL FOREIGN LARGE VALUE FUNDS | 3,403,282,238 | ||
Foreign Small Mid Blend Funds - 2.2% | |||
iShares MSCI EAFE Small-Cap ETF | 5,213,999 | 366,022,730 | |
Foreign Small Mid Growth Funds - 0.6% | |||
Fidelity International Small Cap Opportunities Fund (d) | 4,143,334 | 98,652,775 | |
Sector Funds - 0.6% | |||
Fidelity Advisor International Real Estate Fund Class I (d) | 7,943,766 | 106,764,209 | |
Other - 4.2% | |||
Fidelity Advisor Japan Fund Class I (d) | 21,854,346 | 435,775,664 | |
Fidelity Japan Smaller Companies Fund (d) | 2,649,961 | 45,605,825 | |
iShares MSCI Japan ETF | 917,956 | 62,622,958 | |
JPMorgan BetaBuilders Japan ETF (e) | 4,905,715 | 138,880,792 | |
TOTAL OTHER | 682,885,239 | ||
TOTAL EQUITY FUNDS | |||
(Cost $10,937,145,759) | 13,541,144,813 | ||
Other - 0.0% | |||
Commodity Funds - Broad Basket - 0.0% | |||
Fidelity SAI Inflation-Focused Fund (d) | |||
(Cost $6,768,588) | 858,825 | 9,687,545 | |
U.S. Treasury Obligations - 0.5% | |||
U.S. Treasury Bills, yield at date of purchase 0.03% to 0.09% 3/4/21 to 5/20/21 (f) | |||
(Cost $78,375,808) | 78,380,000 | 78,377,034 | |
Money Market Funds - 5.3% | |||
Fidelity Securities Lending Cash Central Fund 0.08% (g)(h) | 896,710 | 896,800 | |
State Street Institutional U.S. Government Money Market Fund Premier Class .03% (i) | 870,473,726 | 870,473,726 | |
TOTAL MONEY MARKET FUNDS | |||
(Cost $871,370,526) | 871,370,526 | ||
TOTAL INVESTMENT IN SECURITIES - 99.9% | |||
(Cost $13,567,048,786) | 16,435,326,525 | ||
NET OTHER ASSETS (LIABILITIES) - 0.1% | 14,913,436 | ||
NET ASSETS - 100% | $16,450,239,961 |
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 | March 2021 | $36,606,250 | $3,573,985 | $3,573,985 |
ICE E-mini MSCI EAFE Index Contracts (United States) | 7,552 | March 2021 | 817,126,400 | (11,710,555) | (11,710,555) |
TOTAL FUTURES CONTRACTS | $(8,136,570) |
The notional amount of futures purchased as a percentage of Net Assets is 5.2%
For the period, the average monthly notional amount at value for futures contracts in the aggregate was $789,124,310.
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 $61,686,252 or 0.4% of net assets.
(b) Non-income producing
(c) Security or a portion of the security purchased on a delayed delivery or when-issued basis.
(d) Affiliated Fund
(e) Security or a portion of the security is on loan at period end.
(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 $55,312,177.
(g) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.
(h) Investment made with cash collateral received from securities on loan.
(i) The rate quoted is the annualized seven-day yield of the fund at period end.
Affiliated Central Funds
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:
Fund | Income earned |
Fidelity Securities Lending Cash Central Fund | $204,232 |
Total | $204,232 |
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 | $6,156,617 | $-- | $1,929,916 | $-- | $9,788,325 | $106,764,209 |
Fidelity Advisor Japan Fund Class I | 261,585,312 | 64,051,049 | -- | 8,208,575 | -- | 110,139,303 | 435,775,664 |
Fidelity Advisor Overseas Fund Class I | 73,378,625 | -- | -- | -- | -- | 17,837,218 | 91,215,843 |
Fidelity Diversified International Fund | 1,328,945,986 | 128,926,538 | -- | 17,722,616 | -- | 370,862,685 | 1,828,735,209 |
Fidelity International Capital Appreciation Fund | 1,155,854,840 | 80,473,613 | -- | 19,843,413 | -- | 333,759,343 | 1,570,087,796 |
Fidelity International Discovery Fund | 1,306,698,955 | 272,359,424 | -- | 70,389,174 | -- | 437,022,277 | 2,016,080,656 |
Fidelity International Small Cap Opportunities Fund | 74,242,760 | 2,000,000 | -- | -- | -- | 22,410,015 | 98,652,775 |
Fidelity International Value Fund | 186,775,146 | -- | -- | 3,730,428 | -- | 35,527,882 | 222,303,028 |
Fidelity Japan Smaller Companies Fund | 38,462,431 | 737,957 | -- | 737,957 | -- | 6,405,437 | 45,605,825 |
Fidelity Overseas Fund | 1,352,562,045 | 135,646,885 | -- | 9,669,661 | -- | 346,271,587 | 1,834,480,517 |
Fidelity Pacific Basin Fund | 156,211,773 | -- | -- | 9,529,993 | -- | 64,135,728 | 220,347,501 |
Fidelity SAI Inflation-Focused Fund | -- | 6,768,588 | -- | 268,588 | -- | 2,918,957 | 9,687,545 |
Fidelity SAI International Index Fund | -- | 184,768,912 | -- | 4,768,912 | -- | 71,951,417 | 256,720,329 |
Fidelity SAI International Low Volatility Index Fund | 783,215,335 | 239,778,652 | -- | 14,148,453 | -- | 42,875,784 | 1,065,869,771 |
Fidelity SAI International Value Index Fund | 1,044,676,873 | 1,712,297,295 | -- | 43,691,608 | -- | 424,005,042 | 3,180,979,210 |
Total | $7,853,429,348 | $2,833,965,530 | $-- | $204,639,294 | $-- | $2,295,911,000 | $12,983,305,878 |
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 February 28, 2021, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Equities: | ||||
Communication Services | $94,509,744 | $38,776,647 | $55,733,097 | $-- |
Consumer Discretionary | 262,000,904 | 108,274,686 | 153,726,218 | -- |
Consumer Staples | 179,466,324 | 75,828,908 | 103,637,416 | -- |
Energy | 66,879,079 | 7,820,454 | 59,058,625 | -- |
Financials | 353,395,297 | 200,315,111 | 153,080,186 | -- |
Health Care | 223,823,320 | 94,335,031 | 129,488,289 | -- |
Industrials | 310,221,845 | 130,185,302 | 180,036,543 | -- |
Information Technology | 172,385,646 | 83,702,039 | 88,683,607 | -- |
Materials | 147,157,715 | 99,328,711 | 47,829,004 | -- |
Real Estate | 53,949,756 | 48,809,922 | 5,139,834 | -- |
Utilities | 70,956,977 | 52,823,719 | 18,133,258 | -- |
Equity Funds | 13,541,144,813 | 13,541,144,813 | -- | -- |
Other | 9,687,545 | 9,687,545 | -- | -- |
Other Short-Term Investments | 78,377,034 | -- | 78,377,034 | -- |
Money Market Funds | 871,370,526 | 871,370,526 | -- | -- |
Total Investments in Securities: | $16,435,326,525 | $15,362,403,414 | $1,072,923,111 | $-- |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $3,573,985 | $3,573,985 | $-- | $-- |
Total Assets | $3,573,985 | $3,573,985 | $-- | $-- |
Liabilities | ||||
Futures Contracts | $(11,710,555) | $(11,710,555) | $-- | $-- |
Total Liabilities | $(11,710,555) | $(11,710,555) | $-- | $-- |
Total Derivative Instruments: | $(8,136,570) | $(8,136,570) | $-- | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of February 28, 2021. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
Primary Risk Exposure / Derivative Type | Value | |
Asset | Liability | |
Equity Risk | ||
Futures Contracts(a) | $3,573,985 | $(11,710,555) |
Total Equity Risk | 3,573,985 | (11,710,555) |
Total Value of Derivatives | $3,573,985 | $(11,710,555) |
(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
February 28, 2021 | ||
Assets | ||
Investment in securities, at value (including securities loaned of $860,624) — See accompanying schedule: Unaffiliated issuers (cost $3,128,223,153) | $3,451,123,847 | |
Fidelity Central Funds (cost $896,800) | 896,800 | |
Other affiliated issuers (cost $10,437,928,833) | 12,983,305,878 | |
Total Investment in Securities (cost $13,567,048,786) | $16,435,326,525 | |
Foreign currency held at value (cost $599) | 596 | |
Receivable for investments sold | 8,499,303 | |
Receivable for fund shares sold | 31,156,444 | |
Dividends receivable | 3,765,311 | |
Interest receivable | 30,967 | |
Distributions receivable from Fidelity Central Funds | 30,101 | |
Other receivables | 48,222 | |
Total assets | 16,478,857,469 | |
Liabilities | ||
Payable for investments purchased | ||
Regular delivery | $9,723,128 | |
Delayed delivery | 229,731 | |
Payable for fund shares redeemed | 5,365,152 | |
Accrued management fee | 375,963 | |
Payable for daily variation margin on futures contracts | 11,479,686 | |
Other payables and accrued expenses | 547,048 | |
Collateral on securities loaned | 896,800 | |
Total liabilities | 28,617,508 | |
Net Assets | $16,450,239,961 | |
Net Assets consist of: | ||
Paid in capital | $13,285,020,621 | |
Total accumulated earnings (loss) | 3,165,219,340 | |
Net Assets | $16,450,239,961 | |
Net Asset Value, offering price and redemption price per share ($16,450,239,961 ÷ 1,352,390,343 shares) | $12.16 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Year ended February 28, 2021 | ||
Investment Income | ||
Dividends: | ||
Unaffiliated issuers | $27,691,560 | |
Affiliated issuers | 87,925,270 | |
Non-Cash dividends | 1,781,791 | |
Interest | 766,279 | |
Income from Fidelity Central Funds (including $204,232 from security lending) | 204,232 | |
Income before foreign taxes withheld | 118,369,132 | |
Less foreign taxes withheld | (1,834,737) | |
Total income | 116,534,395 | |
Expenses | ||
Management fee | $33,061,226 | |
Custodian fees and expenses | 90,416 | |
Independent trustees' fees and expenses | 117,562 | |
Registration fees | 944,621 | |
Audit | 76,262 | |
Legal | 32,094 | |
Miscellaneous | 100,613 | |
Total expenses before reductions | 34,422,794 | |
Expense reductions | (30,692,027) | |
Total expenses after reductions | 3,730,767 | |
Net investment income (loss) | 112,803,628 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 15,234,844 | |
Fidelity Central Funds | (201) | |
Foreign currency transactions | (1,136,019) | |
Futures contracts | 187,758,637 | |
Capital gain distributions from underlying funds: | ||
Affiliated issuers | 116,714,024 | |
Total net realized gain (loss) | 318,571,285 | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers | 292,113,982 | |
Affiliated issuers | 2,295,911,000 | |
Assets and liabilities in foreign currencies | 121,907 | |
Futures contracts | 21,666,507 | |
Total change in net unrealized appreciation (depreciation) | 2,609,813,396 | |
Net gain (loss) | 2,928,384,681 | |
Net increase (decrease) in net assets resulting from operations | $3,041,188,309 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Year ended February 28, 2021 | Year ended February 29, 2020 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $112,803,628 | $155,774,239 |
Net realized gain (loss) | 318,571,285 | 144,176,314 |
Change in net unrealized appreciation (depreciation) | 2,609,813,396 | 296,182 |
Net increase (decrease) in net assets resulting from operations | 3,041,188,309 | 300,246,735 |
Distributions to shareholders | (176,688,495) | (258,375,345) |
Share transactions | ||
Proceeds from sales of shares | 7,273,826,049 | 3,774,008,211 |
Reinvestment of distributions | 170,192,601 | 247,402,033 |
Cost of shares redeemed | (2,634,283,129) | (1,629,645,592) |
Net increase (decrease) in net assets resulting from share transactions | 4,809,735,521 | 2,391,764,652 |
Total increase (decrease) in net assets | 7,674,235,335 | 2,433,636,042 |
Net Assets | ||
Beginning of period | 8,776,004,626 | 6,342,368,584 |
End of period | $16,450,239,961 | $8,776,004,626 |
Other Information | ||
Shares | ||
Sold | 691,055,376 | 370,690,605 |
Issued in reinvestment of distributions | 15,779,119 | 23,664,443 |
Redeemed | (246,537,198) | (158,648,235) |
Net increase (decrease) | 460,297,297 | 235,706,813 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Strategic Advisers Fidelity International Fund
Years ended February 28, | 2021 | 2020 A | 2019 | 2018 | 2017 |
Selected Per–Share Data | |||||
Net asset value, beginning of period | $9.84 | $9.66 | $10.69 | $8.94 | $8.19 |
Income from Investment Operations | |||||
Net investment income (loss)B | .10 | .20 | .16 | .12 | .14 |
Net realized and unrealized gain (loss) | 2.37 | .31 | (.85) | 1.85 | .76 |
Total from investment operations | 2.47 | .51 | (.69) | 1.97 | .90 |
Distributions from net investment income | (.08) | (.19) | (.15) | (.11) | (.13) |
Distributions from net realized gain | (.07) | (.14) | (.20) | (.11) | (.02) |
Total distributions | (.15) | (.33) | (.34)C | (.22) | (.15) |
Net asset value, end of period | $12.16 | $9.84 | $9.66 | $10.69 | $8.94 |
Total ReturnD | 25.35% | 5.10% | (6.41)% | 22.01% | 11.11% |
Ratios to Average Net AssetsE,F | |||||
Expenses before reductions | .28% | .29% | .35% | .38% | .39% |
Expenses net of fee waivers, if any | .03% | .04% | .10% | .13% | .14% |
Expenses net of all reductions | .03% | .04% | .09% | .13% | .14% |
Net investment income (loss) | .93% | 1.97% | 1.65% | 1.16% | 1.58% |
Supplemental Data | |||||
Net assets, end of period (000 omitted) | $16,450,240 | $8,776,005 | $6,342,369 | $4,740,524 | $3,593,237 |
Portfolio turnover rateG | 6% | 6% | 9% | 13% | 14% |
A For the year ended February 29.
B Calculated based on average shares outstanding during the period.
C Total distributions per share do not sum due to rounding.
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 Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements
For the period ended February 28, 2021
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. 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 February 28, 2021 is included at the end of the Fund's Schedule of Investments.
Foreign Currency. Certain Funds may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.
Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received, and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and include proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Income and capital gain distributions from any underlying mutual funds or exchange-traded funds (ETFs) are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain.
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan) for certain Funds, certain independent Trustees have elected to defer receipt of a portion of their annual compensation. Deferred amounts are invested in affiliated mutual funds, are marked-to-market and remain in a fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees presented below are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, as applicable.
Strategic Advisers Fidelity International Fund | $48,221 |
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of February 28, 2021, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.
Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to the short-term gain distributions from the underlying mutual funds or exchange-traded funds (ETFs), 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 | $2,936,943,388 |
Gross unrealized depreciation | (89,926,953) |
Net unrealized appreciation (depreciation) | $2,847,016,435 |
Tax Cost | $13,588,310,090 |
The tax-based components of distributable earnings as of period end were as follows:
Undistributed ordinary income | $83,598,409 |
Undistributed long-term capital gain | $234,547,722 |
Net unrealized appreciation (depreciation) on securities and other investments | $2,847,121,428 |
The tax character of distributions paid was as follows:
February 28, 2021 | February 29, 2020 | |
Ordinary Income | $107,044,897 | $ 169,053,723 |
Long-term Capital Gains | 69,643,598 | 89,321,622 |
Total | $176,688,495 | $ 258,375,345 |
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. 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 | 5,116,307,088 | 728,509,294 |
5. Fees and Other Transactions with Affiliates.
Management Fee. Strategic Advisers (the investment adviser) provides the Fund with investment management related services. For these services, the Fund pays a monthly management fee to the investment adviser. The management fee is calculated by adding the annual management fee rate of .25% of the Fund's average net assets throughout the month payable to the investment adviser to the aggregate of the fee rates, payable monthly, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed 1.00% of the Fund's average net assets. For the reporting period, the total annual management fee rate was .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. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note and are noted in the table below.
Purchases ($) | Sales ($) | |
Strategic Advisers Fidelity International Fund | 11,203,337 | 3,897,369 |
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, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC website or upon request.
7. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below.
Amount | |
Strategic Advisers Fidelity International Fund | $24,483 |
During the period, there were no borrowings on this line of credit.
8. Security Lending.
Funds lend portfolio securities through a lending agent from time to time in order to earn additional income. On the settlement date of the loan, a fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of a fund and any additional required collateral is delivered to a fund on the next business day. A fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund may apply collateral received from the borrower against the obligation. A fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds.
9. Expense Reductions.
The investment adviser has contractually agreed to waive the Fund's management fee in an amount equal to .25% of the Fund's average net assets until September 30, 2023. During the period, this waiver reduced the Fund's management fee by $ 30,572,027.
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 expenses. This amount totaled $119,497 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 $503.
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 | 13% |
Fidelity International Capital Appreciation Fund | 29% |
Fidelity International Discovery Fund | 19% |
Fidelity International Real Estate Fund | 13% |
Fidelity International Value Fund | 41% |
Fidelity Japan Fund | 50% |
Fidelity Overseas Fund | 22% |
Fidelity Pacific Basin Fund | 17% |
Fidelity SAI International Low Volatility Index Fund | 21% |
Fidelity SAI International Value Index Fund | 86% |
11. Coronavirus (COVID-19) Pandemic.
An outbreak of COVID-19 first detected in China during December 2019 has since spread globally and was declared a pandemic by the World Health Organization during March 2020. Developments that disrupt global economies and financial markets, such as the COVID-19 pandemic, may magnify factors that affect the Fund's performance.
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Fidelity Rutland Square Trust II and Shareholders of Strategic Advisers Fidelity International Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Strategic Advisers Fidelity International Fund (one of the funds constituting Fidelity Rutland Square Trust II, referred to hereafter as the “Fund”) as of February 28, 2021, the related statement of operations for the year ended February 28, 2021, the statement of changes in net assets for each of the two years in the period ended February 28, 2021, including the related notes, and the financial highlights for each of the five years in the period ended February 28, 2021 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of February 28, 2021, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended February 28, 2021 and the financial highlights for each of the five years in the period ended February 28, 2021 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of February 28, 2021 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
Boston, Massachusetts
April 14, 2021
We have served as the auditor of one or more investment companies in the Fidelity group of funds since 1932.
Trustees and Officers
The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance. If the interests of the fund and an underlying Fidelity® fund were to diverge, a conflict of interest could arise and affect how the Trustees and Members of the Advisory Board fulfill their fiduciary duties to the affected funds. Strategic Advisers has structured the fund to avoid these potential conflicts, although there may be situations where a conflict of interest is unavoidable. In such instances, Strategic Advisers, the Trustees, and Members of the Advisory Board would take reasonable steps to minimize and, if possible, eliminate the conflict. Each of the Trustees oversees 12 funds.
The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. Each Independent Trustee shall retire not later than the last day of the calendar year in which his or her 75th birthday occurs. The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees. Officers and Advisory Board Members hold office without limit in time, except that any officer or Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.
Each Trustee who is not an interested person (as defined in the 1940 Act) of the trust and the fund is referred to herein as an Independent Trustee.
The fund’s Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-3455.
Experience, Skills, Attributes, and Qualifications of the Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee may also engage professional search firms to help identify potential Independent Trustee candidates with experience, qualifications, attributes, and skills consistent with the Statement of Policy. Additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, may be considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.
In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.
Board Structure and Oversight Function. Robert A. Lawrence is an interested person and currently serves as Chairman. The Trustees have determined that an interested Chairman is appropriate and benefits shareholders because an interested Chairman has a personal and professional stake in the quality and continuity of services provided to the fund. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chairman, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chairman and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session. Mary C. Farrell serves as the lead Independent Trustee and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.
Fidelity® funds are overseen by different Boards of Trustees. The fund's Board oversees asset allocation funds. Other Boards oversee Fidelity's investment-grade bond, money market, and asset allocation funds, and Fidelity's equity and high income funds. The fund may invest in Fidelity® funds overseen by such other Boards. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity® funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues.
The Trustees primarily operate as a full Board, but also operate in committees, to facilitate the timely and efficient consideration of all matters of importance to the Trustees, the fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the fund's activities and associated risks. The Board has charged Strategic Advisers and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the fund's business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above. Because the day-to-day operations and activities of the fund are carried out by or through Strategic Advisers, its affiliates and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees. Board oversight of different aspects of the fund's activities is exercised primarily through the full Board, but also through the Audit and Compliance Committee. Appropriate personnel, including but not limited to the fund's Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the fund's Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate. The responsibilities of each standing committee, including their oversight responsibilities, are described further under "Standing Committees of the Trustees."
Interested Trustees*:
Correspondence intended for a Trustee who is an interested person may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Robert A. Lawrence (1952)
Year of Election or Appointment: 2016
Trustee
Chairman of the Board of Trustees
Mr. Lawrence also serves as Trustee of other funds. Previously, Mr. Lawrence served as a Member of the Advisory Board of certain funds. Prior to his retirement in 2008, Mr. Lawrence served as Vice President of certain Fidelity® funds (2006-2008), Senior Vice President, Head of High Income Division of Fidelity Management & Research Company (investment adviser firm, 2006-2008), and President of Fidelity Strategic Investments (investment adviser firm, 2002-2005).
Charles S. Morrison (1960)
Year of Election or Appointment: 2020
Trustee
Mr. Morrison also serves as Trustee of other funds. Previously, Mr. Morrison served as President (2017-2018) and Director (2014-2018) of Fidelity SelectCo, LLC (investment adviser firm), President of Fidelity Management & Research Company (FMR) (investment adviser firm, 2016-2018), a Director of Fidelity Investments Money Management, Inc. (investment adviser firm, 2014-2018), President, Asset Management (2014-2018), Trustee of the Fidelity Equity and High Income Funds (283 funds as of December 2018) (2014-2018), and was an employee of Fidelity Investments. Mr. Morrison also previously served as Vice President of Fidelity's Fixed Income and Asset Allocation Funds (2012-2014), President, Fixed Income (2011-2014), Vice President of Fidelity's Money Market Funds (2005-2009), President, Money Market Group Leader of FMR (2009), and Senior Vice President, Money Market Group of FMR (2004-2009). Mr. Morrison also served as Vice President of Fidelity's Bond Funds (2002-2005), certain Balanced Funds (2002-2005), and certain Asset Allocation Funds (2002-2007), and as Senior Vice President (2002-2005) of Fidelity's Bond Division.
* Determined to be an "Interested Trustee" by virtue of, among other things, his or her affiliation with the trust or various entities under common control with Strategic Advisers.
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Independent Trustees:
Correspondence intended for an Independent Trustee may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Peter C. Aldrich (1944)
Year of Election or Appointment: 2006
Trustee
Mr. Aldrich also serves as Trustee of other funds. Mr. Aldrich is a Director of the U.S. Core Property Fund (and, previously, other funds) of BlackRock Realty Group (2006-present). Previously, Mr. Aldrich served as a Managing Member of Poseidon, LLC (foreign private investment, 1998-2004), and Chairman and Managing Member of AEGIS, LLC (foreign private investment, 1997-2004). Mr. Aldrich previously was a founder, Chief Executive Officer, and Chairman of AEW Capital Management, L.P. (then “Aldrich, Eastman and Waltch, L.P.”). Mr. Aldrich also served as a Director of LivelyHood, Inc. (private corporation, 2013-2020), a Trustee for the Fidelity Rutland Square Trust (2005-2010), a Director of Zipcar, Inc. (car sharing services, 2001-2009) and as Faculty Chairman of The Research Council on Global Investment of The Conference Board (business and professional education non-profit, 1999-2004). Mr. Aldrich is a Member Emeritus of the Board of Directors of the National Bureau of Economic Research, the Board of Trustees of the Museum of Fine Arts Boston and the Board of Overseers of the Massachusetts Eye and Ear Infirmary.
Mary C. Farrell (1949)
Year of Election or Appointment: 2013
Trustee
Ms. Farrell also serves as Trustee of other funds. Ms. Farrell is a Director of the W.R. Berkley Corporation (insurance provider) and President (2009-present) and Director (2006-present) of the Howard Gilman Foundation (charitable organization). Previously, Ms. Farrell was Managing Director and Chief Investment Strategist at UBS Wealth Management USA and Co-Head of UBS Wealth Management Investment Strategy & Research Group (2003-2005). Ms. Farrell also served as Investment Strategist at PaineWebber (1982-2000) and UBS PaineWebber (2000-2002). Ms. Farrell serves as Chairman of the Board of Trustees of Yale-New Haven Hospital and Vice Chairman of the Yale New Haven Health System Board and previously served as Trustee on the Board of Overseers of the New York University Stern School of Business.
Karen Kaplan (1960)
Year of Election or Appointment: 2006
Trustee
Ms. Kaplan also serves as Trustee of other funds. Ms. Kaplan is Chairman (2014-present) and Chief Executive Officer (2013-present) of Hill Holliday (advertising and specialized marketing). Ms. Kaplan is a Director of The Michaels Companies, Inc. (specialty retailer, 2015-present), Member of the Board of Governors of the Chief Executives’ Club of Boston (2010-present), Member of the Executive Committee of the Greater Boston Chamber of Commerce (2006-present), Advisory Board Member of the National Association of Corporate Directors Chapter (2012-present), Member of the Board of Trustees of the Post Office Square Trust (2012-present), Trustee of the Brigham and Women’s Hospital (2016-present), Overseer of the Boston Symphony Orchestra (2014-present), Member of the Board of Directors of The Advertising Council, Inc. (2016-present), Member of the Ron Burton Training Village Executive Board of Advisors (2018-present), Member of the Executive Committee of The Ad Council, Inc. (2019-present), and Member of the Board of Directors of The Ad Club of Boston (2020-present). Previously, Ms. Kaplan served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010), a member of the Clinton Global Initiative (2010-2015), Director of DSM (dba Delta Dental and DentaQuest) (2004-2014), Formal Appointee of the 2015 Baker-Polito Economic Development Council, Director of Vera Bradley Inc. (designer of women’s accessories, 2012-2015), Member of the Board of Directors of the Massachusetts Conference for Women (2008-2015), Member of the Board of Directors of Jobs for Massachusetts (2012-2015), President of the Massachusetts Women’s Forum (2008-2010), Treasurer of the Massachusetts Women’s Forum (2002-2006), and Vice Chair of the Board of the Massachusetts Society for the Prevention of Cruelty to Children (2003-2010).
Christine Marcks (1955)
Year of Election or Appointment: 2020
Trustee
Ms. Marcks also serves as Trustee of other Funds. Prior to her retirement, Ms. Marcks served as Chief Executive Officer and President – Prudential Retirement (2007-2017) and Vice President for Rollover and Retirement Income Strategies (2005-2007), Prudential Financial, Inc. (financial services). Previously, Ms. Marcks served as a Member of the Advisory Board of certain Fidelity® funds (2019-2020), was Senior Vice President and Head of Financial Horizons (2002-2004) and Vice President, Strategic Marketing (2000-2002) of Voya Financial (formerly ING U.S.) (financial services), held numerous positions at Aetna Financial Services (financial services, 1987-2000) and served as an International Economist for the United States Department of the Treasury (1980-1987). Ms. Marcks also serves as a member of the Board of Trustees, Audit Committee and Benefits & Operations Committee of the YMCA Retirement Fund (2018-present), a non-profit organization providing retirement plan benefits to YMCA staff members, and as a member of the Board of Trustees of Assumption College (2019-present).
Heidi L. Steiger (1953)
Year of Election or Appointment: 2017
Trustee
Ms. Steiger also serves as Trustee of other funds. Ms. Steiger serves as Managing Partner of Topridge Associates, LLC (consulting, 2005-present), a member of the Advisory Board of the joint degree program in Global Luxury Management at North Carolina State University (Raleigh, NC) and Skema (Paris) (2018-present), a Non-Executive Director of CrowdBureau Corporation (financial technology company and index provider, 2018-present), a member of the Board of Directors (2013-present) and Chair of the Audit Committee and member of the Membership and Executive Committees (2017-present) of Business Executives for National Security (nonprofit), and member of the Board of Directors Chair of the Remuneration Committee of Imagine Intelligent Materials Limited (2019-present) (technology company). Previously, Ms. Steiger served as a member of the Global Advisory Board and Of Counsel to Signum Global Advisors (international policy and strategy, 2018-2020), Eastern Region President of The Private Client Reserve of U.S. Bancorp (banking and financial services, 2010-2015), Advisory Director of Berkshire Capital Securities, LLC (financial services, 2009-2010), President and Senior Advisor of Lowenhaupt Global Advisors, LLC (financial services, 2005-2007), and President and Contributing Editor of Worth Magazine (2004-2005) and held a variety of positions at Neuberger Berman Group, LLC (financial services, 1986-2004), including Partner and Executive Vice President and Global Head of Private Asset Management at Neuberger Berman (1999-2004). Ms. Steiger also served as a member of the Board of Directors of Nuclear Electric Insurance Ltd (insurer of nuclear utilities, 2006-2017), a member of the Board of Trustees and Audit Committee of the Eaton Vance Funds (2007-2010), a member of the Board of Directors of Aviva USA (formerly AmerUs) (insurance, 2004-2014), and a member of the Board of Trustees and Audit Committee and Chair of the Investment Committee of CIFG (financial guaranty insurance, 2009-2012), and a member of the Board of Directors of Kin Group Plc (formerly, Fitbug Holdings) (health and technology, 2016-2017).
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Advisory Board Members and Officers:
Correspondence intended for a Member of the Advisory Board (if any) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235. Correspondence intended for an officer or Howard E. Cox, Jr. may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210. Officers appear below in alphabetical order.
Name, Year of Birth; Principal Occupation
Ralph F. Cox (1932)
Year of Election or Appointment: 2020
Member of the Advisory Board
Mr. Cox also serves as a Member of the Advisory Board of other funds. Mr. Cox is President of RABAR Enterprises (management consulting for the petroleum industry). Mr. Cox is a Director of Abraxas Petroleum (exploration and production, 1999-present). Mr. Cox is a member of the Advisory Boards of the Business and Engineering Schools of Texas A&M University and the Engineering School of University of Texas at Austin. Previously, Mr. Cox served as Trustee of other funds (2006-2020), a Trustee for the Fidelity Rutland Square Trust (2005-2010) and as an Advisory Director of CH2M Hill Companies (engineering, 1981-2011). Mr. Ralph F. Cox and Mr. Howard E. Cox, Jr. are not related.
Howard E. Cox, Jr. (1944)
Year of Election or Appointment: 2009
Member of the Advisory Board
Mr. Cox also serves as a Member of the Advisory Board of other funds. Mr. Cox is a Partner of Greylock (venture capital, 1971-present) and a Director of Stryker Corporation (medical products and services, 1974-present). Previously, Mr. Cox served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010). Mr. Cox also serves as a Member of the Secretary of Defense's Business Board of Directors (2008-present), a Director of Business Executives for National Security (1997-present), a Director of the Brookings Institution (2010-present), a Director of the World Economic Forum’s Young Global Leaders Foundation (2009-present), and is a Member of the Harvard Medical School Board of Fellows (2002-present). Mr. Howard E. Cox, Jr. and Mr. Ralph F. Cox are not related.
Craig S. Brown (1977)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Brown also serves as Assistant Treasurer of other funds. Mr. Brown is an employee of Fidelity Investments (2013-present).
John J. Burke III (1964)
Year of Election or Appointment: 2018
Chief Financial Officer
Mr. Burke also serves as Chief Financial Officer of other funds. Mr. Burke serves as Head of Investment Operations for Fidelity Fund and Investment Operations (2018-present) and is an employee of Fidelity Investments (1998-present). Previously Mr. Burke served as head of Asset Management Investment Operations (2012-2018).
Jonathan Davis (1968)
Year of Election or Appointment: 2010
Assistant Treasurer
Mr. Davis also serves as Assistant Treasurer of other funds. Mr. Davis serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments. Previously, Mr. Davis served as Vice President and Associate General Counsel of FMR LLC (diversified financial services company, 2003-2010).
Laura M. Del Prato (1964)
Year of Election or Appointment: 2018
Assistant Treasurer
Ms. Del Prato also serves as an officer of other funds. Ms. Del Prato is an employee of Fidelity Investments (2017-present). Previously, Ms. Del Prato served as President and Treasurer of The North Carolina Capital Management Trust: Cash Portfolio and Term Portfolio (2018-2020). Prior to joining Fidelity Investments, Ms. Del Prato served as a Managing Director and Treasurer of the JPMorgan Mutual Funds (2014-2017). Prior to JPMorgan, Ms. Del Prato served as a partner at Cohen Fund Audit Services (accounting firm, 2012-2013) and KPMG LLP (accounting firm, 2004-2012).
James D. Gryglewicz (1972)
Year of Election or Appointment: 2015
Chief Compliance Officer
Mr. Gryglewicz also serves as Chief Compliance Officer of other funds. Mr. Gryglewicz serves as Compliance Officer of Strategic Advisers LLC (investment adviser firm, 2015-present), Senior Vice President of Asset Management Compliance (2009-present), and is an employee of Fidelity Investments (2004-present). Previously, Mr. Gryglewicz served as Compliance Officer of Fidelity SelectCo, LLC (investment adviser firm, 2014-2019), and as Chief Compliance Officer of certain Fidelity® funds (2014-2018).
Colm A. Hogan (1973)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Hogan also serves as an officer of other funds. Mr. Hogan serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2005-present). Previously, Mr. Hogan served as Deputy Treasurer of certain Fidelity® funds (2016-2020) and Assistant Treasurer of certain Fidelity® funds (2016-2018).
Christina H. Lee (1975)
Year of Election or Appointment: 2020
Secretary and Chief Legal Officer
Ms. Lee also serves as Secretary and CLO of other funds. Ms. Lee serves as Vice President, Associate General Counsel (2014-present) and is an employee of Fidelity Investments (2007-present). Previously, Ms. Lee served as Assistant Secretary of certain funds (2018-2019).
Cynthia Lo Bessette (1969)
Year of Election or Appointment: 2020
Assistant Secretary
Ms. Lo Bessette also serves as an officer of other funds. Ms. Lo Bessette serves as CLO, Secretary, and Senior Vice President of Fidelity Management & Research Company LLC (investment adviser firm, 2019-present); and CLO of Fidelity Management & Research (Hong Kong) Limited, FMR Investment Management (UK) Limited, and Fidelity Management & Research (Japan) Limited (investment adviser firms, 2019-present). She is a Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company, 2019-present), and is an employee of Fidelity Investments. Previously, Ms. Lo Bessette served as CLO, Secretary, and Senior Vice President of FMR Co., Inc. (investment adviser firm, 2019); Secretary of Fidelity SelectCo, LLC and Fidelity Investments Money Management, Inc. (investment adviser firms, 2019). Prior to joining Fidelity Investments, Ms. Lo Bessette was Executive Vice President, General Counsel (2016-2019) and Senior Vice President, Deputy General Counsel (2015-2016) of OppenheimerFunds (investment management company) and Deputy Chief Legal Officer (2013-2015) of Jennison Associates LLC (investment adviser firm).
Chris Maher (1972)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Maher also serves as an officer of other funds. Mr. Maher serves as Assistant Treasurer of FMR Capital, Inc. (2017-present), and is an employee of Fidelity Investments (2008-present). Previously, Mr. Maher served as Assistant Treasurer of certain funds (2013-2020); Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010).
Brett Segaloff (1972)
Year of Election or Appointment: 2021
Anti-Money Laundering (AML) Officer
Mr. Segaloff also serves as an AML Officer of other funds and other related entities. He is Director, Anti-Money Laundering (2007-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments (1996-present).
Stacie M. Smith (1974)
Year of Election or Appointment: 2020
President and Treasurer
Ms. Smith also serves as an officer of other funds. Ms. Smith serves as Assistant Treasurer of FMR Capital, Inc. (2017-present), is an employee of Fidelity Investments (2009-present), and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (accounting firm, 1996-2009). Previously, Ms. Smith served as Assistant Treasurer (2013-2019) and Deputy Treasurer (2013-2016) of certain Fidelity® funds.
Marc L. Spector (1972)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Spector also serves as an officer of other funds. Mr. Spector serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2016-present). Prior to joining Fidelity Investments, Mr. Spector served as Director at the Siegfried Group (accounting firm, 2013-2016), and prior to Siegfried Group as audit senior manager at Deloitte & Touche LLP (accounting firm, 2005-2013).
Jim Wegmann (1979)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Wegmann also serves as Assistant Treasurer of other funds. Mr. Wegmann is an employee of Fidelity Investments (2011-present).
Shareholder Expense Example
As a shareholder, 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 (September 1, 2020 to February 28, 2021).
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
Annualized Expense Ratio-A | Beginning Account Value September 1, 2020 | Ending Account Value February 28, 2021 | Expenses Paid During Period-B September 1, 2020 to February 28, 2021 | |
Strategic Advisers Fidelity International Fund | .04% | |||
Actual | $1,000.00 | $1,137.80 | $.21 | |
Hypothetical-C | $1,000.00 | $1,024.60 | $.20 |
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 181/ 365 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.
C 5% return per year before expenses
Distributions (Unaudited)
The Board of Trustees of Strategic Advisers Fidelity International Fund voted to pay on April 12, 2021, to shareholders of record at the opening of business on April 9, 2021, a distribution of $0.219 per share derived from capital gains realized from sales of portfolio securities and a dividend of $0.008 per share from net investment income.
The fund hereby designates as a capital gain dividend with respect to the taxable year ended February 28, 2021, $249,930,334, or, if subsequently determined to be different, the net capital gain of such year.
The fund designates 1% of the dividends distributed during the fiscal year as qualifying for the dividends–received deduction for corporate shareholders.
The fund designates 96% of the dividends distributed during the fiscal year as amounts which may be taken into account as a dividend for the purposes of the maximum rate under section 1(h)(11) of the Internal Revenue Code.
The fund designates 1% of the dividends distributed during the fiscal year as a section 199A dividend.
The amounts per share which represent income derived from sources within, and taxes paid to, foreign countries or possessions of the United States are $0.0933 and $0.0126 for the dividend paid December 31, 2020.
The fund will notify shareholders in January 2022 of amounts for use in preparing 2021 income tax returns.
Board Approval of Investment Advisory Contracts and Management Fees
Strategic Advisers Fidelity International Fund
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes at a meeting on the renewal of the management contract with Strategic Advisers LLC (Strategic Advisers) and the sub-advisory agreements with FIAM LLC, FIL Investment Advisors, and Geode Capital Management, LLC (each a Sub-Adviser and collectively, the Sub-Advisers) (collectively, the Sub-Advisory Agreements), and the sub-sub-advisory agreement with FIL Investment Advisors (UK) Limited (the Sub-Sub-Advisory Agreement and, together with the management contract and the Sub-Advisory Agreements, the Advisory Contracts) for the fund. Strategic Advisers and the Sub-Advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.The Board meets at least four times per year and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The full Board or the Independent Trustees, as appropriate, act on all major matters; however, a portion of the activities of the Board (including certain of those described herein) may be conducted through standing committees that have been established by the Board. The Board, acting directly and through its committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts.At its September 2020 meeting, the Board, including the Independent Trustees, unanimously determined to renew the fund's Advisory Contracts. In reaching its determination to renew the fund's Advisory Contracts, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness of the fund's management fee and total expenses relative to peer funds; (iii) the total costs of the services provided by and the profits, if any, realized by Strategic Advisers from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and are realized as the fund grows and whether any economies of scale are appropriately shared with fund shareholders.In considering whether to renew the Advisory Contracts for the fund, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts is in the best interests of the fund and its shareholders. In addition, with respect to the Sub-Advisory Agreements, the Board also concluded that the renewal of such agreements does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees charged under the Advisory Contracts bear a reasonable relationship to the services rendered and are based on services provided that are in addition to, rather than duplicative of, services provided under the advisory contract of any underlying fund in which the fund may invest. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board throughout the year.Nature, Extent, and Quality of Services Provided. The Board considered the staffing within the Investment Advisers, including the backgrounds of the fund's investment personnel and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Strategic Advisers' investment operations and investment groups. The Board considered the structure of each Investment Adviser's investment personnel compensation program and whether such structures provide appropriate incentives to act in the best interests of the fund.The Trustees also discussed with representatives of Strategic Advisers, at meetings throughout the year, Strategic Advisers' role in, among other things, (i) setting, implementing and monitoring the investment strategies for the funds; (ii) identifying and recommending sub-advisers for the funds; (iii) overseeing compliance with federal securities laws by each sub-adviser with respect to the portion of fund assets allocated to the sub-adviser; (iv) monitoring and overseeing the performance and investment capabilities of each sub-adviser; and (v) recommending the replacement of a sub-adviser as appropriate. The Trustees considered that the Board had received from Strategic Advisers substantial information and periodic reports about Strategic Advisers' sub-adviser oversight and due diligence processes, as well as periodic reports regarding the performance of each sub-adviser.The Board also considered the nature, extent and quality of services provided by each Sub-Adviser. The Trustees noted that under the Sub-Advisory Agreements subject to oversight by Strategic Advisers, each Sub-Adviser is responsible for, among other things, identifying investments for the portion of fund assets allocated to the Sub-Adviser, if any, and executing portfolio transactions to implement its investment strategy. In addition, the Trustees noted that each Sub-Adviser is responsible for providing such reporting as may be requested from Strategic Advisers to fulfill its oversight responsibilities discussed above.Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of the Investment Advisers' investment staffs, their use of technology, and the Investment Advisers' approach to managing and compensating investment personnel. The Board noted that the Investment Advisers' analysts have extensive resources, tools, and capabilities that allow them to conduct sophisticated quantitative and/or fundamental analysis. Additionally, in its deliberations, the Board considered the Investment Advisers' trading capabilities and resources and global compliance infrastructure, which are integral parts of the investment management process. The Board also considered the Investment Advisers' investments in business continuity planning, and their success in continuously providing services to the fund notwithstanding the severe disruptions caused by the COVID-19 pandemic.Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of administrative and shareholder services performed by Strategic Advisers and its affiliates under the management contract and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of Strategic Advisers' supervision of third party service providers, including sub-advisers, custodians and subcustodians; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.Investment Performance. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions and its performance history.In connection with the renewal of the Advisory Contracts, the Board considered annualized return information for the fund for different time periods, measured against an appropriate securities market index ("benchmark index") and a peer group of mutual funds with similar objectives ("peer group").The Board considered discussions that occur at Board meetings throughout the year with representatives of Strategic Advisers about fund investment performance and the performance of each Sub-Adviser as part of regularly scheduled fund reviews and other reports to the Board on fund performance, taking into account various factors including general market conditions. In its discussions with representatives of Strategic Advisers regarding fund performance, the Board gave particular attention to information indicating underperformance of certain funds for specific time periods and discussed with Strategic Advisers the reasons for any such underperformance.The following charts considered by the Board show, over the one-, three-, and five-year periods ended December 31, 2019, the cumulative total returns of the fund and the cumulative total returns of an appropriate benchmark index and peer group. The box within each chart shows the 25th percentile return (75% beaten, top of box) and the 75th percentile return (25% beaten, bottom of box) of the peer group. Returns shown above the box are in the first quartile and returns shown below the box are in the fourth quartile. The percentage beaten number noted below each chart corresponds to the percentile box and represents the percentage of funds in the peer group whose performance was equal to or lower than that of the fund.Strategic Advisers Fidelity International Fund
Strategic Advisers Fidelity International Fund
Liquidity Risk Management Program
The Securities and Exchange Commission adopted Rule 22e-4 under the Investment Company Act of 1940 (the Liquidity Rule) to promote effective liquidity risk management throughout the open-end investment company industry, thereby reducing the risk that funds will be unable to meet their redemption obligations and mitigating dilution of the interests of fund shareholders.
The Fund has adopted and implemented a liquidity risk management program (the Program) reasonably designed to assess and manage the Fund’s liquidity risk and to comply with the requirements of the Liquidity Rule. The Fund’s Board of Trustees (the Board) has designated the Fund’s investment adviser as administrator of the Program. Strategic Advisers has established a Liquidity Risk Management Committee (the LRM Committee) to manage the Program for each of the Funds. The LRM Committee monitors the adequacy and effectiveness of implementation of the Program and on a periodic basis assesses each Fund’s liquidity risk based on a variety of factors including (1) the Fund’s investment strategy, (2) portfolio liquidity and cash flow projections during normal and reasonably foreseeable stressed conditions, (3) shareholder redemptions and (4) borrowings and other funding sources, as applicable.
In accordance with the Program, each of the Fund’s portfolio investments is classified into one of four liquidity categories described below based on a determination of a reasonable expectation for how long it would take to convert the investment to cash (or sell or dispose of the investment) without significantly changing its market value.
- Highly liquid investments – cash or convertible to cash within three business days or less
- Moderately liquid investments – convertible to cash in three to seven calendar days
- Less liquid investments – can be sold or disposed of, but not settled, within seven calendar days
- Illiquid investments – cannot be sold or disposed of within seven calendar days
Liquidity classification determinations take into account a variety of factors including various market, trading and investment-specific considerations, as well as market depth, and generally utilize analysis from a third-party liquidity metrics service.
The Liquidity Rule places a 15% limit on a fund’s illiquid investments and requires funds that do not primarily hold assets that are highly liquid investments to determine and maintain a minimum percentage of the fund’s net assets to be invested in highly liquid investments (highly liquid investment minimum or HLIM). The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments and for determining, periodically reviewing and complying with the HLIM requirement as applicable.
At a recent meeting of the Fund’s Board of Trustees, the LRM Committee provided a written report to the Board pertaining to the operation, adequacy, and effectiveness of implementation of the Program for the annual period from December 1, 2019 through November 30, 2020. The report concluded that the Program has been implemented and is operating effectively and is reasonably designed to assess and manage the Fund’s liquidity risk.
Proxy Voting Results
A special meeting of shareholders was held on November 2, 2020. The results of votes taken among shareholders on the proposals before them are reported below. Each vote reported represents one dollar of net asset value held on the record date for the meeting.
PROPOSAL 1
To elect a Board of Trustees.
# of Votes | % of Votes | |
ROBERT A. LAWRENCE | ||
Affirmative | 204,250,982,594.51 | 96.530 |
Withheld | 7,343,512,146.85 | 3.470 |
TOTAL | 211,594,494,741.36 | 100.000 |
CHARLES S. MORRISON | ||
Affirmative | 204,349,460,488.43 | 96.576 |
Withheld | 7,245,034,252.93 | 3.424 |
TOTAL | 211,594,494,741.36 | 100.000 |
PETER C. ALDRICH | ||
Affirmative | 203,499,803,652.67 | 96.175 |
Withheld | 8,094,691,088.69 | 3.825 |
TOTAL | 211,594,494,741.36 | 100.000 |
MARY C. FARRELL | ||
Affirmative | 204,011,925,737.22 | 96.417 |
Withheld | 7,582,569,004.14 | 3.583 |
TOTAL | 211,594,494,741.36 | 100.00 |
KAREN KAPLAN | ||
Affirmative | 204,297,547,550.53 | 96.552 |
Withheld | 7,296,947,190.83 | 3.448 |
TOTAL | 211,594,494,741.36 | 100.000 |
CHRISTINE MARCKS | ||
Affirmative | 204,700,871,317.72 | 96.743 |
Withheld | 6,893,623,423.64 | 3.257 |
TOTAL | 211,594,494,741.36 | 100.000 |
HEIDI L. STEIGER | ||
Affirmative | 204,406,589,957.28 | 96.603 |
Withheld | 7,187,904,784.08 | 3.397 |
TOTAL | 211,594,494,741.36 | 100.000 |
PROPOSAL 2
To approve the conversion of a fundamental investment policy to a non-fundamental investment policy.
# of Votes | % of Votes | |
Affirmative | 9,922,049,091.49 | 83.787 |
Against | 907,529,653.63 | 7.664 |
Abstain | 1,012,474,643.31 | 8.549 |
Broker Non-Vote | 0.00 | 0.000 |
TOTAL | 11,842,053,388.63 | 100.000 |
PROPOSAL 5
To approve a sub-subadvisory agreement between FIAM LLC (FIAM) and FMR Investment Management (UK) Limited (FMR UK).
# of Votes | % of Votes | |
Affirmative | 10,584,118,320.53 | 89.378 |
Against | 578,088,272.86 | 4.882 |
Abstain | 679,846,795.24 | 5.740 |
Broker Non-Vote | 0.00 | 0.000 |
TOTAL | 11,842,053,388.63 | 100.000 |
PROPOSAL 6
To approve a sub-subadvisory agreement between FIAM and Fidelity Management & Research (Hong Kong) Limited (FMR H.K.).
# of Votes | % of Votes | |
Affirmative | 10,373,540,323,96 | 87.600 |
Against | 779,088,175.07 | 6.579 |
Abstain | 689,424,889.60 | 5.821 |
Broker Non-Vote | 0.00 | 0.000 |
TOTAL | 11,842,053,388.63 | 100.000 |
PROPOSAL 7
To approve a sub-subadvisory agreement between FIAM and Fidelity Management & Research (Japan) Limited (FMR Japan).
# of Votes | % of Votes | |
Affirmative | 10,491,100,175.53 | 88.592 |
Against | 628,423,297.52 | 5.307 |
Abstain | 722,529,815.58 | 6.101 |
Broker Non-Vote | 0.00 | 0.000 |
TOTAL | 11,842,053,388.63 | 100.000 |
Proposal 1 reflects trust wide proposal and voting results. |
SIL-ANN-0421
1.912839.110
Strategic Advisers® Core Income Fund
Offered exclusively to certain clients of Strategic Advisers LLC - not available for sale to the general public
February 28, 2021
Contents
Board Approval of Investment Advisory Contracts and Management Fees | |
To view a fund's proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
You may also call 1-800-544-3455 to request a free copy of the proxy voting guidelines.
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Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2021 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
Note to Shareholders:
Early in 2020, the outbreak and spread of a new coronavirus emerged as a public health emergency that had a major influence on financial markets, primarily based on its impact on the global economy and the outlook for corporate earnings. The virus causes a respiratory disease known as COVID-19. On March 11, 2020 the World Health Organization declared the COVID-19 outbreak a pandemic, citing sustained risk of further global spread.
In the weeks following, as the crisis worsened, we witnessed an escalating human tragedy with wide-scale social and economic consequences from coronavirus-containment measures. The outbreak of COVID-19 prompted a number of measures to limit the spread, including travel and border restrictions, quarantines, and restrictions on large gatherings. In turn, these resulted in lower consumer activity, diminished demand for a wide range of products and services, disruption in manufacturing and supply chains, and – given the wide variability in outcomes regarding the outbreak – significant market uncertainty and volatility. Amid the turmoil, global governments and central banks took unprecedented action to help support consumers, businesses, and the broader economies, and to limit disruption to financial systems.
The situation continues to unfold, and the extent and duration of its impact on financial markets and the economy remain highly uncertain. Extreme events such as the coronavirus crisis are “exogenous shocks” that can have significant adverse effects on mutual funds and their investments. Although multiple asset classes may be affected by market disruption, the duration and impact may not be the same for all types of assets.
Fidelity is committed to helping you stay informed amid news about COVID-19 and during increased market volatility, and we’re taking extra steps to be responsive to customer needs. We encourage you to visit our websites, where we offer ongoing updates, commentary, and analysis on the markets and our funds.
Performance: The Bottom Line
Average annual total return reflects the change in the value of an investment, assuming reinvestment of distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year. The hypothetical investment and the average annual total returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund’s total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.
Average Annual Total Returns
For the periods ended February 28, 2021 | Past 1 year | Past 5 years | Past 10 years |
Strategic Advisers® Core Income Fund | 3.59% | 4.76% | 4.12% |
$10,000 Over 10 Years
Let's say hypothetically that $10,000 was invested in Strategic Advisers® Core Income Fund on February 28, 2011.
The chart shows how the value of your investment would have changed, and also shows how the Bloomberg Barclays U.S. Aggregate Bond Index performed over the same period.
Period Ending Values | ||
$14,970 | Strategic Advisers® Core Income Fund | |
$14,210 | Bloomberg Barclays U.S. Aggregate Bond Index |
Management's Discussion of Fund Performance
Market Recap: U.S. taxable investment-grade bonds posted only a small gain for the 12 months ending February 28, 2021, hampered by rising long-term market rates amid faster economic expansion. The Bloomberg Barclays U.S. Aggregate Bond Index added 1.38% for the period. Spreads for corporate bonds widened and yields rose in March 2020 due to robust investor demand for relatively safer assets – especially U.S. Treasury bonds – as the outbreak and spread of COVID-19 threatened global economic growth and corporate earnings, leading to pockets of market illiquidity. Aggressive intervention by the U.S. Federal Reserve boosted liquidity and led to a broad rally for fixed-income assets from April through July. Spreads widened moderately in August and September, amid healthy issuance of new corporate bonds, then narrowed through period end. In February 2021, yields rose because a $1.9 trillion COVID-relief bill offered hopes for a broad economic recovery but led to rising inflation expectations. Within the Bloomberg Barclays index, corporate bonds gained 2.79% for the 12 months, topping the -0.13% return of U.S. Treasuries. Securitized sectors, meanwhile, outpaced Treasuries and the broader market. Outside the index, U.S. corporate high-yield bonds gained 9.38% and Treasury Inflation-Protected Securities (TIPS) rose 5.85%.Comments from Portfolio Manager Jonathan Duggan: For the fiscal year ending February 28, 2021, the Fund gained 3.59%, handily outpacing the 1.38% increase in the benchmark Bloomberg Barclays U.S. Aggregate Bond Index. Early in the period, as part of my effort to increase exposure to lower-volatility bonds, I augmented the Fund's exposure to mortgage-backed securities (MBS). Then, following the COVID-19-driven market decline in March 2020, I sought to capitalize on newly attractive valuations by increasing the Fund's allocation to investment-grade (IG) corporate credit. These positioning adjustments helped the Fund outperform its benchmark the past 12 months. In terms of underlying managers, the Core Investment Grade Strategy from sub-adviser FIAM® (+5%) was the top relative contributor. An overweighted allocation to IG corporate bonds – particularly those with BBB credit ratings – along with favorable interest-rate positioning, helped this manager outperform. Fidelity® SAI Total Bond Fund (+4%) and PIMCO Total Return Fund (+3%) also added value versus the benchmark. Fidelity SAI Total Bond benefited from positions in longer-maturity IG corporate bonds, non-agency MBS and high-yield corporate credit. For PIMCO, greater-than-benchmark interest rate sensitivity aided its performance for most of the period, as did exposure to corporate credit. On the downside, the iShares® 20+ Year Treasury Bond exchange-traded fund (-7%) was the only detractor of note. However, I held U.S. Treasury positions for liquidity purposes and to help hedge the portfolio during periods of market volatility. In terms of notable positioning changes, in January, we hired TCW and PGIM as sub-advisers. They are running the same investment strategies offered in MetWest Total Return Bond Fund and PGIM Total Return Bond Fund, respectively, but at reduced management fees. Late in the period, credit spreads tightened back to levels that looked expensive and bond yields moved higher. In this environment, I plan to maintain a slight tilt to credit through our underlying managers and may increase the Fund’s allocation to assets that are more interest rate sensitive.The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
Investment Summary (Unaudited)
The information in the following tables is based on the direct investments of the Fund.Top Ten Holdings as of February 28, 2021
(by issuer, excluding cash equivalents) | % of fund's net assets |
PIMCO Total Return Fund Institutional Class | 15.0 |
Fidelity SAI Total Bond Fund | 15.0 |
Western Asset Core Plus Bond Fund Class I | 7.9 |
U.S. Treasury Obligations | 7.0 |
Western Asset Core Bond Fund Class I | 5.3 |
DoubleLine Total Return Bond Fund Class N | 3.2 |
Voya Intermediate Bond Fund Class I | 3.2 |
PIMCO Mortgage Opportunities Fund Institutional Class | 2.8 |
Prudential Total Return Bond Fund Class A | 2.8 |
PIMCO Income Fund Institutional Class | 2.6 |
Asset Allocation (% of fund's net assets)
As of February 28, 2021*,** | ||
Corporate Bonds | 10.8% | |
U.S. Government and U.S. Government Agency Obligations | 12.4% | |
Asset-Backed Securities | 1.8% | |
CMOs and Other Mortgage Related Securities | 2.3% | |
Municipal Securities | 0.2% | |
High Yield Fixed-Income Funds | 0.5% | |
Intermediate-Term Bond Funds | 65.2% | |
Long Government Bond Funds | 2.1% | |
Other Investments | 0.5% | |
Short-Term Investments and Net Other Assets (Liabilities) | 3.1% | |
Intermediate Government Funds | 1.1% |
* Futures and Swaps - 0.6%
** Written options - (0.3)%
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 February 28, 2021
Showing Percentage of Net Assets
Nonconvertible Bonds - 10.8% | |||
Principal Amount(a) | Value | ||
COMMUNICATION SERVICES - 1.2% | |||
Diversified Telecommunication Services - 0.4% | |||
AT&T, Inc.: | |||
2.55% 12/1/33 (b) | $2,798,000 | $2,703,066 | |
3.5% 6/1/41 | 4,880,000 | 4,903,254 | |
3.5% 9/15/53 (b) | 3,423,000 | 3,139,998 | |
3.55% 9/15/55 (b) | 990,000 | 908,959 | |
3.65% 9/15/59 (b) | 4,915,000 | 4,531,641 | |
3.8% 12/1/57 (b) | 26,383,000 | 25,082,839 | |
4.3% 2/15/30 | 3,709,000 | 4,253,613 | |
4.5% 5/15/35 | 1,980,000 | 2,280,272 | |
4.5% 3/9/48 | 6,650,000 | 7,296,641 | |
4.75% 5/15/46 | 49,080,000 | 56,484,582 | |
4.9% 6/15/42 | 7,000,000 | 8,249,634 | |
5.15% 11/15/46 | 10,160,000 | 12,371,939 | |
6.2% 3/15/40 | 2,433,000 | 3,255,904 | |
6.3% 1/15/38 | 2,523,000 | 3,373,086 | |
C&W Senior Financing Designated Activity Co.: | |||
6.875% 9/15/27 (b) | 305,000 | 326,731 | |
7.5% 10/15/26 (b) | 710,000 | 750,690 | |
Cablevision Lightpath LLC 3.875% 9/15/27 (b) | 10,000 | 9,925 | |
Frontier Communications Corp.: | |||
5% 5/1/28 (b) | 215,000 | 221,386 | |
5.875% 10/15/27 (b) | 95,000 | 101,650 | |
Level 3 Financing, Inc.: | |||
3.625% 1/15/29 (b) | 135,000 | 132,821 | |
3.875% 11/15/29 (b) | 1,500,000 | 1,619,768 | |
4.25% 7/1/28 (b) | 1,520,000 | 1,541,447 | |
4.625% 9/15/27 (b) | 1,000,000 | 1,034,700 | |
5.375% 5/1/25 | 400,000 | 410,400 | |
Lumen Technologies, Inc.: | |||
4.5% 1/15/29 (b) | 705,000 | 704,119 | |
5.125% 12/15/26 (b) | 185,000 | 192,863 | |
5.625% 4/1/25 | 175,000 | 187,460 | |
6.875% 1/15/28 | 15,000 | 16,918 | |
7.6% 9/15/39 | 1,464,000 | 1,761,133 | |
7.65% 3/15/42 | 1,000,000 | 1,201,150 | |
Qwest Corp. 7.25% 9/15/25 | 203,000 | 241,824 | |
Sable International Finance Ltd. 5.75% 9/7/27 (b) | 585,000 | 618,638 | |
SFR Group SA: | |||
5.125% 1/15/29 (b) | 300,000 | 301,655 | |
7.375% 5/1/26 (b) | 510,000 | 532,032 | |
8.125% 2/1/27 (b) | 135,000 | 147,151 | |
Sprint Capital Corp.: | |||
6.875% 11/15/28 | 1,695,000 | 2,144,175 | |
8.75% 3/15/32 | 555,000 | 825,840 | |
Sprint Spectrum Co. LLC 3.36% 3/20/23 (b) | 375,000 | 377,813 | |
Telecom Italia SpA 5.303% 5/30/24 (b) | 370,000 | 400,588 | |
Telenet Finance Luxembourg Notes SARL 5.5% 3/1/28 (b) | 400,000 | 423,000 | |
Verizon Communications, Inc.: | |||
2.65% 11/20/40 | 1,265,000 | 1,182,153 | |
2.987% 10/30/56 (b) | 1,660,000 | 1,496,053 | |
3.15% 3/22/30 | 2,673,000 | 2,866,999 | |
4.016% 12/3/29 | 1,346,000 | 1,542,733 | |
4.272% 1/15/36 | 5,425,000 | 6,314,788 | |
4.5% 8/10/33 | 945,000 | 1,127,035 | |
4.522% 9/15/48 | 2,416,000 | 2,845,616 | |
4.862% 8/21/46 | 490,000 | 604,528 | |
5.012% 4/15/49 | 156,000 | 197,980 | |
Virgin Media Finance PLC 5% 7/15/30 (b) | 270,000 | 274,725 | |
173,513,915 | |||
Entertainment - 0.0% | |||
Live Nation Entertainment, Inc. 3.75% 1/15/28 (b) | 237,000 | 237,521 | |
Netflix, Inc.: | |||
4.375% 11/15/26 | 165,000 | 185,175 | |
4.875% 4/15/28 | 145,000 | 164,871 | |
4.875% 6/15/30 (b) | 70,000 | 80,500 | |
5.375% 11/15/29 (b) | 120,000 | 141,774 | |
5.875% 11/15/28 | 635,000 | 760,095 | |
6.375% 5/15/29 | 55,000 | 68,338 | |
The Walt Disney Co.: | |||
3.6% 1/13/51 | 4,540,000 | 4,948,851 | |
4.75% 9/15/44 | 1,430,000 | 1,822,793 | |
8,409,918 | |||
Media - 0.6% | |||
Altice Financing SA: | |||
5% 1/15/28 (b) | 200,000 | 200,022 | |
7.5% 5/15/26 (b) | 300,000 | 313,158 | |
Altice France Holding SA: | |||
6% 2/15/28 (b) | 105,000 | 102,769 | |
8% 5/15/27 (Reg. S) | EUR | 4,800,000 | 6,312,670 |
CCO Holdings LLC/CCO Holdings Capital Corp.: | |||
4% 3/1/23 (b) | 2,450,000 | 2,473,765 | |
4.5% 8/15/30 (b) | 180,000 | 186,390 | |
4.5% 5/1/32 (b) | 2,375,000 | 2,439,600 | |
5.75% 2/15/26 (b) | 1,650,000 | 1,705,358 | |
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.: | |||
3.7% 4/1/51 | 6,675,000 | 6,348,602 | |
4.464% 7/23/22 | 11,002,000 | 11,512,250 | |
4.908% 7/23/25 | 7,565,000 | 8,635,996 | |
5.375% 4/1/38 | 450,000 | 538,621 | |
5.375% 5/1/47 | 37,824,000 | 44,461,957 | |
5.75% 4/1/48 | 14,203,000 | 17,509,675 | |
6.384% 10/23/35 | 2,985,000 | 3,962,565 | |
6.484% 10/23/45 | 1,295,000 | 1,735,928 | |
Comcast Corp.: | |||
3.4% 4/1/30 | 2,121,000 | 2,357,979 | |
3.75% 4/1/40 | 370,000 | 417,643 | |
3.999% 11/1/49 | 10,000 | 11,503 | |
4.15% 10/15/28 | 1,450,000 | 1,686,525 | |
4.6% 8/15/45 | 2,420,000 | 3,030,416 | |
4.65% 7/15/42 | 4,121,000 | 5,157,894 | |
COX Communications, Inc.: | |||
3.15% 8/15/24 (b) | 4,500,000 | 4,840,944 | |
4.6% 8/15/47 (b) | 2,125,000 | 2,570,041 | |
CSC Holdings LLC: | |||
3.375% 2/15/31 (b) | 244,000 | 234,240 | |
4.125% 12/1/30 (b) | 215,000 | 215,860 | |
4.625% 12/1/30 (b) | 170,000 | 169,529 | |
5.75% 1/15/30 (b) | 1,000,000 | 1,067,200 | |
Discovery Communications LLC: | |||
3.625% 5/15/30 | 4,338,000 | 4,771,320 | |
4% 9/15/55 (b) | 1,375,000 | 1,408,321 | |
4.65% 5/15/50 | 11,727,000 | 13,593,461 | |
5.3% 5/15/49 | 4,320,000 | 5,380,919 | |
DISH DBS Corp.: | |||
5.875% 11/15/24 | 200,000 | 209,516 | |
6.75% 6/1/21 | 1,500,000 | 1,516,875 | |
7.75% 7/1/26 | 550,000 | 605,275 | |
Fox Corp.: | |||
4.709% 1/25/29 | 2,509,000 | 2,944,279 | |
5.476% 1/25/39 | 2,474,000 | 3,176,490 | |
5.576% 1/25/49 | 1,641,000 | 2,160,237 | |
Gray Television, Inc. 4.75% 10/15/30 (b) | 100,000 | 100,000 | |
Radiate Holdco LLC/Radiate Financial Service Ltd. 4.5% 9/15/26 (b) | 345,000 | 349,313 | |
SES Global Americas Holdings GP 5.3% 3/25/44 (b) | 2,000,000 | 2,267,718 | |
Sirius XM Radio, Inc.: | |||
4.125% 7/1/30 (b) | 65,000 | 65,650 | |
5.5% 7/1/29 (b) | 1,000,000 | 1,082,200 | |
Tegna, Inc. 4.75% 3/15/26 (b) | 225,000 | 239,625 | |
Time Warner Cable LLC: | |||
4% 9/1/21 | 16,424,000 | 16,564,582 | |
5.5% 9/1/41 | 2,591,000 | 3,171,226 | |
5.875% 11/15/40 | 5,543,000 | 7,057,105 | |
6.55% 5/1/37 | 8,522,000 | 11,595,718 | |
7.3% 7/1/38 | 6,393,000 | 9,137,790 | |
ViacomCBS, Inc.: | |||
3.875% 4/1/24 | 1,380,000 | 1,501,651 | |
4.2% 5/19/32 | 650,000 | 747,728 | |
4.6% 1/15/45 | 3,065,000 | 3,536,486 | |
5.85% 9/1/43 | 220,000 | 291,856 | |
Virgin Media Secured Finance PLC: | |||
4.5% 8/15/30 (b) | 1,932,000 | 1,975,470 | |
5.5% 8/15/26 (b) | 300,000 | 312,338 | |
5.5% 5/15/29 (b) | 175,000 | 187,569 | |
Ziggo BV: | |||
4.875% 1/15/30 (b)(c) | 115,000 | 120,031 | |
5.5% 1/15/27 (b) | 539,000 | 560,026 | |
226,829,875 | |||
Wireless Telecommunication Services - 0.2% | |||
Digicel International Finance Ltd. / Digicel Holdings Bermuda Ltd.: | |||
8% 12/31/26 (b) | 1,550,000 | 1,478,398 | |
8.75% 5/25/24 (b) | 400,000 | 417,500 | |
8.75% 5/25/24 (b) | 300,000 | 314,156 | |
Intelsat Jackson Holdings SA: | |||
5.5% 8/1/23 (d) | 2,500,000 | 1,587,500 | |
9.75% 7/15/25 (b)(d) | 5,500,000 | 3,523,300 | |
Millicom International Cellular SA: | |||
4.5% 4/27/31 (b) | 200,000 | 214,000 | |
5.125% 1/15/28 (b) | 346,500 | 367,545 | |
Rogers Communications, Inc. 3% 3/15/23 | 150,000 | 156,822 | |
SoftBank Group Corp. 5.375% 7/30/22 (Reg. S) | 200,000 | 208,500 | |
Sprint Corp. 7.875% 9/15/23 | 5,977,000 | 6,900,745 | |
Sprint Spectrum Co. LLC 5.152% 9/20/29 (b) | 9,350,000 | 10,849,460 | |
T-Mobile U.S.A., Inc.: | |||
2.05% 2/15/28 (b) | 1,125,000 | 1,114,166 | |
2.25% 2/15/26 | 3,450,000 | 3,436,718 | |
2.625% 2/15/29 | 275,000 | 269,156 | |
3% 2/15/41 (b) | 2,795,000 | 2,620,955 | |
3.3% 2/15/51 (b) | 3,575,000 | 3,311,487 | |
3.5% 4/15/25 (b) | 500,000 | 540,615 | |
3.75% 4/15/27 (b) | 9,110,000 | 10,034,847 | |
3.875% 4/15/30 (b) | 17,184,000 | 18,892,433 | |
4.375% 4/15/40 (b) | 200,000 | 225,200 | |
4.5% 4/15/50 (b) | 3,381,000 | 3,757,508 | |
Vodafone Group PLC 4.25% 9/17/50 | 3,525,000 | 3,953,301 | |
74,174,312 | |||
TOTAL COMMUNICATION SERVICES | 482,928,020 | ||
CONSUMER DISCRETIONARY - 0.5% | |||
Auto Components - 0.0% | |||
American Axle & Manufacturing, Inc. 6.25% 4/1/25 | 600,000 | 618,060 | |
Dana, Inc. 5.625% 6/15/28 | 500,000 | 530,625 | |
IHO Verwaltungs GmbH 3.75% 9/15/26 pay-in-kind(Reg. S) (e) | EUR | 2,500,000 | 3,069,041 |
Real Hero Merger Sub 2 6.25% 2/1/29 (b) | 30,000 | 30,900 | |
4,248,626 | |||
Automobiles - 0.1% | |||
Ford Motor Co.: | |||
4.75% 1/15/43 | 2,000,000 | 2,023,000 | |
5.291% 12/8/46 | 825,000 | 871,406 | |
9% 4/22/25 | 1,250,000 | 1,517,450 | |
9.625% 4/22/30 | 500,000 | 707,350 | |
General Motors Co.: | |||
6.25% 10/2/43 | 4,495,000 | 6,041,076 | |
6.6% 4/1/36 | 575,000 | 783,244 | |
6.75% 4/1/46 | 1,600,000 | 2,225,823 | |
General Motors Financial Co., Inc.: | |||
3.45% 4/10/22 | 4,650,000 | 4,777,232 | |
3.7% 5/9/23 | 11,800,000 | 12,500,429 | |
4% 1/15/25 | 1,205,000 | 1,316,378 | |
4.25% 5/15/23 | 1,875,000 | 2,011,703 | |
4.375% 9/25/21 | 7,321,000 | 7,489,340 | |
42,264,431 | |||
Diversified Consumer Services - 0.0% | |||
Adtalem Global Education, Inc. 5.5% 3/1/28 (b)(c) | 1,400,000 | 1,393,420 | |
California Institute of Technology 3.65% 9/1/19 | 535,000 | 565,906 | |
ERAC U.S.A. Finance LLC 3.3% 12/1/26 (b) | 4,865,000 | 5,352,866 | |
Ingersoll-Rand Global Holding Co. Ltd. 4.25% 6/15/23 | 425,000 | 459,586 | |
President and Fellows of Harvard College: | |||
3.15% 7/15/46 | 190,000 | 208,408 | |
3.3% 7/15/56 | 190,000 | 214,639 | |
Service Corp. International 5.125% 6/1/29 | 270,000 | 291,770 | |
Trustees of Boston University 4.061% 10/1/48 | 450,000 | 545,182 | |
University of Pennsylvania Trustees: | |||
2.396% 10/1/50 | 495,000 | 476,154 | |
3.61% 2/15/2119 | 285,000 | 305,741 | |
University of Southern California 3.841% 10/1/47 | 705,000 | 846,699 | |
Yale University 2.402% 4/15/50 | 1,615,000 | 1,541,788 | |
12,202,159 | |||
Hotels, Restaurants & Leisure - 0.1% | |||
1011778 BC Unlimited Liability Co./New Red Finance, Inc.: | |||
3.5% 2/15/29 (b) | 1,660,000 | 1,626,800 | |
4.25% 5/15/24 (b) | 155,000 | 156,550 | |
4.375% 1/15/28 (b) | 280,000 | 284,200 | |
5.75% 4/15/25 (b) | 90,000 | 95,963 | |
Aramark Services, Inc.: | |||
4.75% 6/1/26 | 100,000 | 101,500 | |
5% 2/1/28 (b) | 1,990,000 | 2,039,750 | |
Brinker International, Inc. 3.875% 5/15/23 | 500,000 | 501,250 | |
Caesars Entertainment, Inc. 6.25% 7/1/25 (b) | 380,000 | 402,323 | |
Caesars Resort Collection LLC 5.25% 10/15/25 (b) | 20,000 | 19,876 | |
Carnival Corp.: | |||
5.75% 3/1/27 (b) | 650,000 | 659,750 | |
7.625% 3/1/26 (b) | 75,000 | 78,844 | |
Hilton Domestic Operating Co., Inc.: | |||
3.625% 2/15/32 (b) | 325,000 | 320,073 | |
3.75% 5/1/29 (b) | 255,000 | 259,412 | |
4% 5/1/31 (b) | 970,000 | 983,338 | |
5.375% 5/1/25 (b) | 400,000 | 420,700 | |
International Game Technology PLC 6.5% 2/15/25 (b) | 800,000 | 884,000 | |
Marriott International, Inc.: | |||
3.125% 6/15/26 | 1,090,000 | 1,145,084 | |
3.6% 4/15/24 | 660,000 | 705,806 | |
McDonald's Corp. 4.7% 12/9/35 | 1,535,000 | 1,889,235 | |
MGM Resorts International: | |||
4.625% 9/1/26 | 500,000 | 524,375 | |
6.75% 5/1/25 | 100,000 | 107,063 | |
Royal Caribbean Cruises Ltd.: | |||
9.125% 6/15/23 (b) | 55,000 | 60,363 | |
11.5% 6/1/25 (b) | 160,000 | 187,400 | |
Scientific Games Corp. 8.625% 7/1/25 (b) | 500,000 | 538,440 | |
Starbucks Corp. 1.3% 5/7/22 | 3,742,000 | 3,783,555 | |
Wyndham Hotels & Resorts, Inc. 5.375% 4/15/26 (b) | 200,000 | 204,500 | |
Yum! Brands, Inc. 7.75% 4/1/25 (b) | 330,000 | 362,109 | |
18,342,259 | |||
Household Durables - 0.2% | |||
Brookfield Residential Properties, Inc./Brookfield Residential U.S. Corp. 4.875% 2/15/30 (b) | 500,000 | 505,970 | |
Century Communities, Inc. 6.75% 6/1/27 | 275,000 | 292,875 | |
Lennar Corp.: | |||
4.75% 11/29/27 | 9,350,000 | 10,822,625 | |
5% 6/15/27 | 12,100,000 | 14,157,000 | |
5.25% 6/1/26 | 2,920,000 | 3,398,004 | |
Newell Brands, Inc. 5.875% 4/1/36 | 30,000 | 37,350 | |
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 5.875% 4/15/23 (b) | 298,000 | 315,880 | |
Toll Brothers Finance Corp.: | |||
4.35% 2/15/28 | 29,675,000 | 32,939,250 | |
4.375% 4/15/23 | 5,000,000 | 5,290,000 | |
4.875% 11/15/25 | 35,000 | 39,463 | |
4.875% 3/15/27 | 7,917,000 | 9,045,173 | |
5.625% 1/15/24 | 885,000 | 995,802 | |
5.875% 2/15/22 | 12,000,000 | 12,405,000 | |
90,244,392 | |||
Internet & Direct Marketing Retail - 0.0% | |||
Match Group Holdings II LLC 4.125% 8/1/30 (b) | 70,000 | 72,363 | |
Leisure Products - 0.0% | |||
Hasbro, Inc.: | |||
2.6% 11/19/22 | 2,485,000 | 2,568,993 | |
3% 11/19/24 | 5,655,000 | 6,059,291 | |
Mattel, Inc. 5.45% 11/1/41 | 20,000 | 22,600 | |
8,650,884 | |||
Multiline Retail - 0.0% | |||
Dollar Tree, Inc. 4.2% 5/15/28 | 495,000 | 567,468 | |
Specialty Retail - 0.1% | |||
AutoNation, Inc. 4.75% 6/1/30 | 953,000 | 1,123,637 | |
AutoZone, Inc.: | |||
1.65% 1/15/31 | 155,000 | 146,604 | |
3.75% 4/18/29 | 1,200,000 | 1,331,259 | |
4% 4/15/30 | 6,924,000 | 7,894,273 | |
Lowe's Companies, Inc. 4.25% 9/15/44 | 85,000 | 96,561 | |
O'Reilly Automotive, Inc.: | |||
1.75% 3/15/31 | 420,000 | 401,450 | |
4.2% 4/1/30 | 1,533,000 | 1,769,183 | |
Sally Holdings LLC 8.75% 4/30/25 (b) | 3,067,000 | 3,373,700 | |
The Home Depot, Inc.: | |||
3.75% 2/15/24 | 1,026,000 | 1,116,744 | |
4.875% 2/15/44 | 975,000 | 1,269,616 | |
5.875% 12/16/36 | 300,000 | 428,449 | |
18,951,476 | |||
Textiles, Apparel & Luxury Goods - 0.0% | |||
The William Carter Co. 5.625% 3/15/27 (b) | 875,000 | 921,484 | |
Wolverine World Wide, Inc. 6.375% 5/15/25 (b) | 270,000 | 288,563 | |
1,210,047 | |||
TOTAL CONSUMER DISCRETIONARY | 196,754,105 | ||
CONSUMER STAPLES - 0.6% | |||
Beverages - 0.3% | |||
Anheuser-Busch Companies LLC / Anheuser-Busch InBev Worldwide, Inc.: | |||
4.7% 2/1/36 | 2,765,000 | 3,319,566 | |
4.9% 2/1/46 | 9,215,000 | 11,083,667 | |
Anheuser-Busch InBev Finance, Inc.: | |||
4.7% 2/1/36 | 9,871,000 | 11,897,760 | |
4.9% 2/1/46 | 12,306,000 | 14,720,607 | |
Anheuser-Busch InBev Worldwide, Inc.: | |||
3.5% 6/1/30 | 8,175,000 | 9,036,020 | |
4.35% 6/1/40 | 4,618,000 | 5,369,438 | |
4.375% 4/15/38 | 2,500,000 | 2,907,651 | |
4.5% 6/1/50 | 8,175,000 | 9,426,896 | |
4.6% 6/1/60 | 5,007,000 | 5,756,328 | |
4.75% 1/23/29 | 540,000 | 638,728 | |
4.75% 4/15/58 | 6,987,000 | 8,306,237 | |
5.45% 1/23/39 | 5,390,000 | 6,930,178 | |
5.55% 1/23/49 | 15,352,000 | 19,976,517 | |
5.8% 1/23/59 (Reg. S) | 15,062,000 | 20,781,896 | |
Bacardi Ltd. 5.3% 5/15/48 (b) | 1,050,000 | 1,323,000 | |
Constellation Brands, Inc.: | |||
3.7% 12/6/26 | 925,000 | 1,037,884 | |
4.4% 11/15/25 | 480,000 | 548,833 | |
4.75% 11/15/24 | 5,595,000 | 6,389,503 | |
Diageo Capital PLC 2.125% 4/29/32 | 390,000 | 392,530 | |
PepsiCo, Inc.: | |||
2.625% 3/19/27 | 839,000 | 905,032 | |
2.75% 3/5/22 | 900,000 | 922,622 | |
3.1% 7/17/22 | 260,000 | 268,931 | |
3.6% 3/1/24 | 1,952,000 | 2,129,213 | |
144,069,037 | |||
Food & Staples Retailing - 0.0% | |||
Albertsons Companies LLC/Safeway, Inc./New Albertson's, Inc./Albertson's LLC: | |||
3.5% 3/15/29 (b) | 80,000 | 76,860 | |
4.875% 2/15/30 (b) | 300,000 | 310,566 | |
Alimentation Couche-Tard, Inc. 2.95% 1/25/30 (b) | 1,800,000 | 1,893,717 | |
C&S Group Enterprises LLC 5% 12/15/28 (b) | 2,000,000 | 1,965,000 | |
Co-Operative Group Ltd. 5.125% 5/17/24 (Reg. S) | GBP | 725,000 | 1,079,371 |
Costco Wholesale Corp. 1.6% 4/20/30 | 540,000 | 527,935 | |
Kroger Co. 2.65% 10/15/26 | 530,000 | 567,194 | |
U.S. Foods, Inc. 6.25% 4/15/25 (b) | 185,000 | 196,794 | |
Walgreens Boots Alliance, Inc. 3.3% 11/18/21 | 2,632,000 | 2,673,368 | |
9,290,805 | |||
Food Products - 0.2% | |||
Darling Ingredients, Inc. 5.25% 4/15/27 (b) | 300,000 | 315,750 | |
JBS U.S.A. Lux SA / JBS Food Co.: | |||
5.5% 1/15/30 (b) | 15,375,000 | 17,220,000 | |
6.5% 4/15/29 (b) | 16,775,000 | 18,871,875 | |
Kraft Heinz Foods Co.: | |||
3.75% 4/1/30 | 653,000 | 713,633 | |
3.875% 5/15/27 | 235,000 | 256,871 | |
4.25% 3/1/31 | 7,220,000 | 8,106,063 | |
4.375% 6/1/46 | 7,290,000 | 7,942,255 | |
5% 7/15/35 | 920,000 | 1,113,044 | |
5.2% 7/15/45 | 4,602,000 | 5,530,392 | |
7.125% 8/1/39 (b) | 9,093,000 | 13,334,846 | |
Lamb Weston Holdings, Inc. 4.875% 5/15/28 (b) | 345,000 | 376,050 | |
Pilgrim's Pride Corp. 5.875% 9/30/27 (b) | 500,000 | 536,425 | |
Post Holdings, Inc.: | |||
4.625% 4/15/30 (b) | 530,000 | 537,950 | |
5.5% 12/15/29 (b) | 270,000 | 290,590 | |
The J.M. Smucker Co. 3.5% 3/15/25 | 310,000 | 339,308 | |
TreeHouse Foods, Inc. 4% 9/1/28 | 505,000 | 518,989 | |
Tyson Foods, Inc. 4% 3/1/26 | 2,520,000 | 2,835,627 | |
78,839,668 | |||
Household Products - 0.0% | |||
Spectrum Brands Holdings, Inc. 3.875% 3/15/31 (b)(c) | 2,500,000 | 2,471,225 | |
Tobacco - 0.1% | |||
Altria Group, Inc.: | |||
3.4% 2/4/41 | 3,820,000 | 3,584,823 | |
4.25% 8/9/42 | 365,000 | 380,820 | |
BAT Capital Corp.: | |||
3.215% 9/6/26 | 490,000 | 527,757 | |
3.557% 8/15/27 | 2,140,000 | 2,324,064 | |
4.39% 8/15/37 | 1,000,000 | 1,067,739 | |
4.54% 8/15/47 | 9,635,000 | 9,883,475 | |
4.7% 4/2/27 | 325,000 | 372,230 | |
BAT International Finance PLC 3.95% 6/15/25 (b) | 3,600,000 | 3,967,056 | |
Imperial Tobacco Finance PLC: | |||
3.125% 7/26/24 (b) | 4,250,000 | 4,524,791 | |
4.25% 7/21/25 (b) | 1,500,000 | 1,670,047 | |
Philip Morris International, Inc.: | |||
1.125% 5/1/23 | 955,000 | 970,747 | |
3.875% 8/21/42 | 530,000 | 580,695 | |
Reynolds American, Inc. 5.7% 8/15/35 | 635,000 | 765,076 | |
30,619,320 | |||
TOTAL CONSUMER STAPLES | 265,290,055 | ||
ENERGY - 1.3% | |||
Energy Equipment & Services - 0.0% | |||
Baker Hughes Co. 4.08% 12/15/47 | 145,000 | 159,021 | |
Halliburton Co.: | |||
4.75% 8/1/43 | 445,000 | 496,612 | |
6.7% 9/15/38 | 170,000 | 223,703 | |
Precision Drilling Corp. 7.125% 1/15/26 (b) | 115,000 | 111,550 | |
Transocean Phoenix 2 Ltd. 7.75% 10/15/24 (b) | 147,000 | 145,530 | |
Transocean Poseidon Ltd. 6.875% 2/1/27 (b) | 120,000 | 112,200 | |
Transocean Proteus Ltd. 6.25% 12/1/24 (b) | 2,400,000 | 2,316,000 | |
Transocean, Inc. 11.5% 1/30/27 (b) | 140,000 | 115,500 | |
U.S.A. Compression Partners LP 6.875% 9/1/27 | 2,575,000 | 2,703,750 | |
6,383,866 | |||
Oil, Gas & Consumable Fuels - 1.3% | |||
Aethon United BR LP / Aethon United Finance Corp. 8.25% 2/15/26 (b) | 125,000 | 130,000 | |
Aker BP ASA 2.875% 1/15/26 (b) | 3,870,000 | 4,012,768 | |
Antero Resources Corp.: | |||
7.625% 2/1/29 (b) | 1,100,000 | 1,172,875 | |
8.375% 7/15/26 (b) | 1,698,000 | 1,857,188 | |
Apache Corp.: | |||
4.75% 4/15/43 | 335,000 | 327,466 | |
4.875% 11/15/27 | 260,000 | 272,529 | |
5.25% 2/1/42 | 210,000 | 218,400 | |
Cenovus Energy, Inc.: | |||
5.25% 6/15/37 | 1,695,000 | 1,895,508 | |
5.4% 6/15/47 | 385,000 | 444,257 | |
Cheniere Energy Partners LP: | |||
4% 3/1/31 (b)(c) | 220,000 | 221,723 | |
5.25% 10/1/25 | 1,195,000 | 1,228,221 | |
Chesapeake Energy Corp.: | |||
5.5% 2/1/26 (b) | 330,000 | 344,032 | |
5.875% 2/1/29 (b) | 105,000 | 112,090 | |
Chevron Corp. 2.355% 12/5/22 | 840,000 | 866,240 | |
Chevron U.S.A., Inc.: | |||
5.25% 11/15/43 | 295,000 | 397,992 | |
6% 3/1/41 | 360,000 | 512,185 | |
CNOOC Finance (2013) Ltd. 2.875% 9/30/29 | 1,615,000 | 1,652,852 | |
Columbia Pipeline Group, Inc. 4.5% 6/1/25 | 1,418,000 | 1,604,476 | |
Comstock Resources, Inc. 6.75% 3/1/29 (b)(c) | 130,000 | 134,875 | |
ConocoPhillips Co.: | |||
2.4% 2/15/31 (b) | 410,000 | 416,686 | |
3.75% 10/1/27 (b) | 915,000 | 1,031,842 | |
4.3% 8/15/28 (b) | 2,540,000 | 2,953,244 | |
4.875% 10/1/47 (b) | 185,000 | 233,132 | |
6.95% 4/15/29 | 425,000 | 581,633 | |
Continental Resources, Inc. 5.75% 1/15/31 (b) | 770,000 | 867,952 | |
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp. 5.75% 4/1/25 | 1,657,000 | 1,666,196 | |
CVR Energy, Inc.: | |||
5.25% 2/15/25 (b) | 330,000 | 325,710 | |
5.75% 2/15/28 (b) | 40,000 | 39,633 | |
DCP Midstream Operating LP: | |||
3.875% 3/15/23 | 17,626,000 | 18,154,780 | |
4.75% 9/30/21 (b) | 2,017,000 | 2,033,388 | |
5.125% 5/15/29 | 355,000 | 376,201 | |
5.375% 7/15/25 | 345,000 | 367,784 | |
5.6% 4/1/44 | 3,773,000 | 3,914,488 | |
5.625% 7/15/27 | 260,000 | 281,380 | |
5.85% 5/21/43 (b)(e) | 7,892,000 | 7,004,150 | |
Devon Energy Corp. 5.6% 7/15/41 | 175,000 | 213,522 | |
Diamondback Energy, Inc.: | |||
3.25% 12/1/26 | 2,500,000 | 2,656,759 | |
3.5% 12/1/29 | 600,000 | 630,548 | |
Ecopetrol SA: | |||
4.125% 1/16/25 | 300,000 | 321,188 | |
5.375% 6/26/26 | 1,240,000 | 1,390,189 | |
5.875% 9/18/23 | 360,000 | 399,150 | |
6.875% 4/29/30 | 200,000 | 243,680 | |
EG Global Finance PLC: | |||
6.25% 10/30/25 (Reg. S) | EUR | 4,800,000 | 5,912,284 |
6.75% 2/7/25 (b) | 220,000 | 226,017 | |
8.5% 10/30/25 (b) | 380,000 | 402,439 | |
Enable Midstream Partners LP 3.9% 5/15/24 (e) | 1,210,000 | 1,294,391 | |
Enbridge Energy Partners LP 4.2% 9/15/21 | 2,044,000 | 2,066,004 | |
Enbridge, Inc.: | |||
4% 10/1/23 | 3,799,000 | 4,096,480 | |
4.25% 12/1/26 | 1,943,000 | 2,214,395 | |
Endeavor Energy Resources LP/EER Finance, Inc.: | |||
5.5% 1/30/26 (b) | 20,000 | 20,400 | |
5.75% 1/30/28 (b) | 180,000 | 190,260 | |
6.625% 7/15/25 (b) | 45,000 | 47,299 | |
Energy Transfer Partners LP: | |||
3.75% 5/15/30 | 2,964,000 | 3,133,044 | |
4.2% 9/15/23 | 1,452,000 | 1,563,781 | |
4.25% 3/15/23 | 1,373,000 | 1,454,864 | |
4.5% 4/15/24 | 1,723,000 | 1,889,128 | |
4.75% 1/15/26 | 250,000 | 279,584 | |
4.95% 6/15/28 | 4,954,000 | 5,647,040 | |
5% 5/15/50 | 6,600,000 | 6,988,316 | |
5.15% 3/15/45 | 10,260,000 | 10,852,416 | |
5.25% 4/15/29 | 2,803,000 | 3,250,712 | |
5.8% 6/15/38 | 2,762,000 | 3,188,704 | |
6% 6/15/48 | 1,799,000 | 2,095,669 | |
6.25% 4/15/49 | 1,925,000 | 2,301,906 | |
6.625% 10/15/36 | 900,000 | 1,130,862 | |
EnLink Midstream LLC 5.625% 1/15/28 (b) | 220,000 | 221,925 | |
Enterprise Products Operating LP: | |||
3.125% 7/31/29 | 600,000 | 645,118 | |
3.2% 2/15/52 | 665,000 | 618,977 | |
3.7% 1/31/51 | 65,000 | 65,681 | |
4.85% 3/15/44 | 2,725,000 | 3,199,300 | |
EOG Resources, Inc. 3.9% 4/1/35 | 205,000 | 229,209 | |
EQM Midstream Partners LP: | |||
6.5% 7/1/27 (b) | 125,000 | 134,089 | |
6.5% 7/15/48 | 220,000 | 207,900 | |
EQT Corp.: | |||
3.9% 10/1/27 | 180,000 | 186,698 | |
5% 1/15/29 | 70,000 | 76,650 | |
Equinor ASA 3.7% 4/6/50 | 920,000 | 1,008,939 | |
Exxon Mobil Corp.: | |||
2.397% 3/6/22 | 1,575,000 | 1,603,512 | |
3.452% 4/15/51 | 6,000,000 | 6,156,975 | |
4.114% 3/1/46 | 705,000 | 793,236 | |
Gulfstream Natural Gas System LLC 6.19% 11/1/25 (b) | 3,640,000 | 4,380,313 | |
Hess Corp.: | |||
4.3% 4/1/27 | 1,117,000 | 1,240,168 | |
5.6% 2/15/41 | 2,846,000 | 3,415,445 | |
5.8% 4/1/47 | 4,517,000 | 5,645,470 | |
7.125% 3/15/33 | 1,335,000 | 1,755,723 | |
7.3% 8/15/31 | 1,849,000 | 2,437,284 | |
7.875% 10/1/29 | 5,583,000 | 7,448,384 | |
Hess Midstream Partners LP: | |||
5.125% 6/15/28 (b) | 110,000 | 113,300 | |
5.625% 2/15/26 (b) | 669,000 | 693,004 | |
Holly Energy Partners LP/Holly Energy Finance Corp. 5% 2/1/28 (b) | 375,000 | 377,798 | |
KazMunaiGaz National Co.: | |||
3.5% 4/14/33 (b) | 1,420,000 | 1,448,400 | |
5.75% 4/19/47 (Reg. S) | 400,000 | 472,600 | |
Kinder Morgan Energy Partners LP: | |||
4.15% 3/1/22 | 885,000 | 918,606 | |
4.15% 2/1/24 | 300,000 | 326,898 | |
5% 10/1/21 | 1,212,000 | 1,230,034 | |
5.8% 3/15/35 | 1,200,000 | 1,518,263 | |
Kinder Morgan, Inc. 3.25% 8/1/50 | 190,000 | 172,593 | |
Magellan Midstream Partners LP: | |||
3.25% 6/1/30 | 225,000 | 241,591 | |
3.95% 3/1/50 | 1,085,000 | 1,115,838 | |
4.2% 10/3/47 | 695,000 | 725,515 | |
4.25% 9/15/46 | 65,000 | 70,046 | |
Marathon Petroleum Corp.: | |||
3.8% 4/1/28 | 3,090,000 | 3,403,856 | |
5.125% 3/1/21 | 2,870,000 | 2,870,000 | |
MEG Energy Corp.: | |||
5.875% 2/1/29 (b) | 300,000 | 304,590 | |
7.125% 2/1/27 (b) | 220,000 | 230,934 | |
MPLX LP: | |||
3 month U.S. LIBOR + 1.100% 1.3304% 9/9/22 (e)(f) | 3,115,000 | 3,117,119 | |
4.125% 3/1/27 | 505,000 | 565,443 | |
4.5% 7/15/23 | 160,000 | 172,767 | |
4.5% 4/15/38 | 900,000 | 994,918 | |
4.7% 4/15/48 | 1,330,000 | 1,455,255 | |
4.8% 2/15/29 | 2,360,000 | 2,761,840 | |
4.875% 12/1/24 | 2,489,000 | 2,813,800 | |
5.2% 3/1/47 | 1,775,000 | 2,066,790 | |
5.5% 2/15/49 | 4,516,000 | 5,487,083 | |
Newfield Exploration Co. 5.375% 1/1/26 | 310,000 | 343,820 | |
Occidental Petroleum Corp.: | |||
2.9% 8/15/24 | 6,201,000 | 6,034,689 | |
3.2% 8/15/26 | 805,000 | 770,949 | |
3.4% 4/15/26 | 130,000 | 126,222 | |
3.5% 8/15/29 | 2,729,000 | 2,609,661 | |
4.1% 2/15/47 | 265,000 | 225,250 | |
4.2% 3/15/48 | 125,000 | 106,563 | |
4.3% 8/15/39 | 439,000 | 389,613 | |
4.4% 4/15/46 | 200,000 | 179,000 | |
4.4% 8/15/49 | 1,809,000 | 1,593,051 | |
5.55% 3/15/26 | 6,488,000 | 6,925,940 | |
6.2% 3/15/40 | 65,000 | 70,200 | |
6.45% 9/15/36 | 4,545,000 | 5,181,300 | |
6.6% 3/15/46 | 6,475,000 | 7,270,130 | |
7.5% 5/1/31 | 8,596,000 | 10,100,300 | |
7.875% 9/15/31 | 40,000 | 47,400 | |
8.875% 7/15/30 | 145,000 | 185,329 | |
ONEOK Partners LP 6.65% 10/1/36 | 400,000 | 514,322 | |
ONEOK, Inc.: | |||
3.1% 3/15/30 | 1,650,000 | 1,687,540 | |
4.45% 9/1/49 | 4,980,000 | 5,000,346 | |
4.95% 7/13/47 | 365,000 | 390,922 | |
Ovintiv, Inc.: | |||
5.15% 11/15/41 | 3,000,000 | 3,091,100 | |
8.125% 9/15/30 | 6,179,000 | 8,209,095 | |
PBF Holding Co. LLC/PBF Finance Corp.: | |||
6% 2/15/28 | 190,000 | 120,650 | |
9.25% 5/15/25 (b) | 475,000 | 462,983 | |
Petrobras Global Finance BV: | |||
5.6% 1/3/31 | 1,750,000 | 1,886,780 | |
5.75% 2/1/29 | 170,000 | 189,397 | |
6.9% 3/19/49 | 980,000 | 1,093,337 | |
7.25% 3/17/44 | 34,097,000 | 39,250,762 | |
7.375% 1/17/27 | 1,240,000 | 1,509,080 | |
Petroleos Del Peru Petroperu SA 4.75% 6/19/32 (Reg. S) | 500,000 | 546,825 | |
Petroleos Mexicanos: | |||
3.75% 2/21/24 (Reg. S) | EUR | 1,250,000 | 1,537,409 |
6.5% 3/13/27 | 30,640,000 | 31,789,000 | |
6.5% 1/23/29 | 1,190,000 | 1,186,430 | |
6.75% 9/21/47 | 11,150,000 | 9,759,038 | |
6.84% 1/23/30 | 10,852,000 | 10,906,260 | |
7.69% 1/23/50 | 85,755,000 | 81,458,675 | |
Petronas Capital Ltd. 3.5% 4/21/30 (b) | 600,000 | 655,140 | |
Phillips 66 Co. 2.15% 12/15/30 | 300,000 | 292,211 | |
Phillips 66 Partners LP: | |||
3.75% 3/1/28 | 295,000 | 316,746 | |
4.9% 10/1/46 | 525,000 | 580,752 | |
Pioneer Natural Resources Co.: | |||
0.75% 1/15/24 | 95,000 | 94,753 | |
1.9% 8/15/30 | 1,470,000 | 1,413,679 | |
2.15% 1/15/31 | 325,000 | 316,752 | |
Plains All American Pipeline LP/PAA Finance Corp.: | |||
3.55% 12/15/29 | 2,689,000 | 2,760,771 | |
3.6% 11/1/24 | 1,877,000 | 2,008,948 | |
3.65% 6/1/22 | 10,550,000 | 10,834,063 | |
3.8% 9/15/30 | 260,000 | 270,039 | |
4.5% 12/15/26 | 2,100,000 | 2,331,169 | |
5.15% 6/1/42 | 2,285,000 | 2,337,591 | |
PT Pertamina Persero 3.1% 8/27/30 (b) | 600,000 | 607,500 | |
Regency Energy Partners LP/Regency Energy Finance Corp. 5.875% 3/1/22 | 2,310,000 | 2,398,156 | |
Rockies Express Pipeline LLC: | |||
4.8% 5/15/30 (b) | 1,331,000 | 1,377,745 | |
4.95% 7/15/29 (b) | 2,375,000 | 2,538,281 | |
Sabine Pass Liquefaction LLC 4.5% 5/15/30 | 9,948,000 | 11,378,353 | |
Saudi Arabian Oil Co.: | |||
2.25% 11/24/30 (b) | 600,000 | 588,201 | |
4.25% 4/16/39 (Reg. S) | 400,000 | 438,000 | |
Schlumberger Investment SA 3.65% 12/1/23 | 210,000 | 226,303 | |
Shell International Finance BV: | |||
3.25% 5/11/25 | 1,465,000 | 1,596,888 | |
4% 5/10/46 | 950,000 | 1,073,152 | |
SM Energy Co. 6.625% 1/15/27 | 300,000 | 282,750 | |
Spectra Energy Partners LP 4.75% 3/15/24 | 6,000,000 | 6,647,948 | |
Suncor Energy, Inc. 6.8% 5/15/38 | 350,000 | 491,536 | |
Sunoco Logistics Partner Operations LP: | |||
3.9% 7/15/26 | 805,000 | 874,638 | |
5.35% 5/15/45 | 850,000 | 913,967 | |
5.4% 10/1/47 | 5,301,000 | 5,819,776 | |
Sunoco LP/Sunoco Finance Corp.: | |||
4.5% 5/15/29 (b) | 255,000 | 255,000 | |
5.5% 2/15/26 | 560,000 | 576,162 | |
5.875% 3/15/28 | 55,000 | 58,308 | |
6% 4/15/27 | 5,000 | 5,205 | |
Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp. 6% 12/31/30 (b) | 2,450,000 | 2,436,770 | |
Targa Resources Partners LP/Targa Resources Partners Finance Corp.: | |||
4.875% 2/1/31 (b) | 290,000 | 297,395 | |
5.5% 3/1/30 | 55,000 | 58,815 | |
5.875% 4/15/26 | 400,000 | 416,520 | |
The Williams Companies, Inc.: | |||
3.5% 11/15/30 | 10,592,000 | 11,505,643 | |
3.6% 3/15/22 | 660,000 | 677,609 | |
3.7% 1/15/23 | 2,512,000 | 2,639,148 | |
3.75% 6/15/27 | 1,635,000 | 1,813,387 | |
4.85% 3/1/48 | 100,000 | 116,082 | |
4.9% 1/15/45 | 470,000 | 536,899 | |
6.3% 4/15/40 | 800,000 | 1,048,457 | |
Total Capital International SA: | |||
2.7% 1/25/23 | 1,375,000 | 1,436,951 | |
2.829% 1/10/30 | 800,000 | 852,755 | |
Transcontinental Gas Pipe Line Co. LLC: | |||
3.25% 5/15/30 | 910,000 | 974,833 | |
4.6% 3/15/48 | 350,000 | 407,740 | |
TransMontaigne Partners LP 6.125% 2/15/26 | 233,000 | 234,545 | |
Valero Energy Corp. 4% 4/1/29 | 820,000 | 905,189 | |
Western Gas Partners LP: | |||
3.95% 6/1/25 | 1,176,000 | 1,187,760 | |
4.35% 2/1/25 | 195,000 | 199,606 | |
4.65% 7/1/26 | 2,406,000 | 2,490,739 | |
4.75% 8/15/28 | 1,465,000 | 1,534,661 | |
5.3% 2/1/30 | 335,000 | 363,063 | |
5.375% 6/1/21 | 4,846,000 | 4,846,000 | |
542,985,202 | |||
TOTAL ENERGY | 549,369,068 | ||
FINANCIALS - 4.2% | |||
Banks - 1.9% | |||
Banco Santander SA 3.49% 5/28/30 | 800,000 | 869,755 | |
Bank of America Corp.: | |||
2.496% 2/13/31 (e) | 650,000 | 665,854 | |
2.592% 4/29/31 (e) | 4,275,000 | 4,390,710 | |
3.004% 12/20/23 (e) | 10,921,000 | 11,414,192 | |
3.3% 1/11/23 | 3,572,000 | 3,771,933 | |
3.419% 12/20/28 (e) | 8,640,000 | 9,529,150 | |
3.5% 4/19/26 | 5,358,000 | 5,962,704 | |
3.95% 4/21/25 | 12,493,000 | 13,826,349 | |
3.97% 3/5/29 (e) | 10,565,000 | 11,984,616 | |
4% 1/22/25 | 43,905,000 | 48,618,688 | |
4.078% 4/23/40 (e) | 7,865,000 | 9,145,701 | |
4.083% 3/20/51 (e) | 3,100,000 | 3,603,431 | |
4.1% 7/24/23 | 13,989,000 | 15,221,371 | |
4.2% 8/26/24 | 2,028,000 | 2,251,037 | |
4.25% 10/22/26 | 10,727,000 | 12,289,364 | |
4.271% 7/23/29 (e) | 3,660,000 | 4,244,968 | |
4.45% 3/3/26 | 2,065,000 | 2,364,458 | |
Banque Federative du Credit Mutuel SA 3 month U.S. LIBOR + 0.730% 0.954% 7/20/22 (b)(e)(f) | 8,041,000 | 8,108,451 | |
Barclays PLC: | |||
2.645% 6/24/31 (e) | 1,015,000 | 1,023,656 | |
2.852% 5/7/26 (e) | 10,143,000 | 10,702,000 | |
4.337% 1/10/28 | 250,000 | 282,707 | |
4.836% 5/9/28 | 6,667,000 | 7,590,139 | |
4.95% 1/10/47 | 1,655,000 | 2,089,036 | |
4.972% 5/16/29 (e) | 15,000,000 | 17,675,791 | |
5.088% 6/20/30 (e) | 13,438,000 | 15,600,096 | |
5.2% 5/12/26 | 1,701,000 | 1,935,279 | |
BNP Paribas SA: | |||
U.S. SECURED OVERNIGHT FINL RATE (SOFR) INDX + 1.000% 1.323% 1/13/27 (b)(e)(f) | 5,375,000 | 5,323,967 | |
2.219% 6/9/26 (b)(e) | 9,163,000 | 9,497,618 | |
CIT Group, Inc.: | |||
3.929% 6/19/24 (e) | 1,375,000 | 1,455,781 | |
4.75% 2/16/24 | 2,480,000 | 2,700,100 | |
5% 8/1/23 | 7,000,000 | 7,638,750 | |
6.125% 3/9/28 | 4,840,000 | 5,989,500 | |
Citigroup, Inc.: | |||
1.122% 1/28/27 (e) | 4,110,000 | 4,055,398 | |
2.572% 6/3/31 (e) | 2,100,000 | 2,151,517 | |
2.666% 1/29/31 (e) | 10,165,000 | 10,505,769 | |
4.075% 4/23/29 (e) | 15,580,000 | 17,744,054 | |
4.3% 11/20/26 | 2,129,000 | 2,427,363 | |
4.4% 6/10/25 | 17,376,000 | 19,516,077 | |
4.412% 3/31/31 (e) | 13,726,000 | 15,967,365 | |
4.45% 9/29/27 | 4,630,000 | 5,341,211 | |
4.6% 3/9/26 | 3,500,000 | 4,016,544 | |
4.65% 7/30/45 | 700,000 | 876,542 | |
4.75% 5/18/46 | 10,000,000 | 12,368,792 | |
5.5% 9/13/25 | 8,267,000 | 9,775,677 | |
Citizens Financial Group, Inc. 2.638% 9/30/32 (b) | 9,574,000 | 9,566,107 | |
Commonwealth Bank of Australia 3.61% 9/12/34 (b)(e) | 3,419,000 | 3,622,596 | |
Fifth Third Bancorp 8.25% 3/1/38 | 603,000 | 999,115 | |
HSBC Holdings PLC: | |||
2.013% 9/22/28 (e) | 6,340,000 | 6,369,921 | |
2.633% 11/7/25 (e) | 3,000,000 | 3,174,000 | |
4.041% 3/13/28 (e) | 3,130,000 | 3,506,347 | |
4.25% 3/14/24 | 1,872,000 | 2,047,538 | |
4.95% 3/31/30 | 1,855,000 | 2,230,173 | |
Intesa Sanpaolo SpA: | |||
5.017% 6/26/24 (b) | 31,005,000 | 33,770,839 | |
5.71% 1/15/26 (b) | 7,646,000 | 8,615,371 | |
Japan Bank International Cooperation 3.25% 7/20/23 | 400,000 | 426,787 | |
JPMorgan Chase & Co.: | |||
1.764% 11/19/31 (e) | 4,860,000 | 4,673,710 | |
2.522% 4/22/31 (e) | 1,055,000 | 1,083,734 | |
2.525% 11/19/41 (e) | 10,825,000 | 10,350,415 | |
2.776% 4/25/23 (e) | 2,000,000 | 2,054,070 | |
2.956% 5/13/31 (e) | 5,386,000 | 5,627,561 | |
3.207% 4/1/23 (e) | 10,500,000 | 10,825,150 | |
3.509% 1/23/29 (e) | 3,150,000 | 3,481,024 | |
3.875% 9/10/24 | 250,000 | 275,700 | |
3.882% 7/24/38 (e) | 4,990,000 | 5,727,741 | |
3.964% 11/15/48 (e) | 1,270,000 | 1,474,511 | |
4.125% 12/15/26 | 4,475,000 | 5,129,052 | |
KeyCorp 2.55% 10/1/29 | 95,000 | 99,447 | |
Lloyds Banking Group PLC: | |||
3.87% 7/9/25 (e) | 5,375,000 | 5,891,751 | |
4.375% 3/22/28 | 1,365,000 | 1,572,819 | |
NatWest Markets PLC 2.375% 5/21/23 (b) | 10,828,000 | 11,273,492 | |
Peoples United Bank 4% 7/15/24 | 40,000 | 43,506 | |
PNC Bank NA 3.25% 6/1/25 | 1,710,000 | 1,874,989 | |
PNC Financial Services Group, Inc. 3.9% 4/29/24 | 375,000 | 411,450 | |
Rabobank Nederland 4.375% 8/4/25 | 7,713,000 | 8,714,940 | |
Royal Bank of Scotland Group PLC: | |||
3.073% 5/22/28 (e) | 5,799,000 | 6,148,744 | |
4.269% 3/22/25 (e) | 1,735,000 | 1,902,309 | |
4.8% 4/5/26 | 15,438,000 | 17,774,158 | |
5.125% 5/28/24 | 25,198,000 | 28,168,915 | |
6% 12/19/23 | 40,605,000 | 46,064,536 | |
6.1% 6/10/23 | 35,526,000 | 39,494,370 | |
6.125% 12/15/22 | 5,889,000 | 6,424,353 | |
Santander UK Group Holdings PLC 4.796% 11/15/24 (e) | 2,850,000 | 3,144,253 | |
Societe Generale: | |||
1.488% 12/14/26 (b)(e) | 5,375,000 | 5,341,980 | |
4.25% 4/14/25 (b) | 21,901,000 | 23,932,684 | |
Sumitomo Mitsui Banking Corp. 3.95% 7/19/23 | 250,000 | 271,210 | |
Synchrony Bank 3% 6/15/22 | 5,477,000 | 5,639,632 | |
Truist Financial Corp. 2.7% 1/27/22 | 540,000 | 550,880 | |
UniCredit SpA 6.572% 1/14/22 (b) | 7,600,000 | 7,959,426 | |
Wells Fargo & Co.: | |||
2.406% 10/30/25 (e) | 5,834,000 | 6,149,156 | |
2.572% 2/11/31 (e) | 585,000 | 605,564 | |
2.879% 10/30/30 (e) | 8,190,000 | 8,667,533 | |
3% 2/19/25 | 7,625,000 | 8,189,364 | |
4.125% 8/15/23 | 280,000 | 304,424 | |
4.3% 7/22/27 | 21,880,000 | 25,257,128 | |
4.478% 4/4/31 (e) | 24,345,000 | 28,777,304 | |
4.65% 11/4/44 | 1,385,000 | 1,653,525 | |
5.013% 4/4/51 (e) | 6,425,000 | 8,592,170 | |
Westpac Banking Corp. 4.11% 7/24/34 (e) | 4,937,000 | 5,441,457 | |
803,882,392 | |||
Capital Markets - 1.1% | |||
Affiliated Managers Group, Inc. 4.25% 2/15/24 | 1,847,000 | 2,031,075 | |
Ares Capital Corp.: | |||
3.875% 1/15/26 | 13,816,000 | 14,762,594 | |
4.2% 6/10/24 | 12,032,000 | 13,068,820 | |
Bank of New York Mellon Corp. 3.4% 5/15/24 | 750,000 | 817,238 | |
Credit Suisse Group AG: | |||
1.305% 2/2/27 (b)(e) | 2,700,000 | 2,661,566 | |
2.593% 9/11/25 (b)(e) | 15,060,000 | 15,841,204 | |
3.75% 3/26/25 | 15,667,000 | 17,168,557 | |
4.194% 4/1/31 (b)(e) | 12,540,000 | 14,292,416 | |
4.55% 4/17/26 | 6,559,000 | 7,560,600 | |
CyrusOne LP/CyrusOne Finance Corp.: | |||
2.15% 11/1/30 | 1,000,000 | 943,200 | |
2.9% 11/15/24 | 4,000,000 | 4,238,960 | |
Deutsche Bank AG 4.5% 4/1/25 | 13,996,000 | 14,919,994 | |
Deutsche Bank AG New York Branch: | |||
3.3% 11/16/22 | 10,180,000 | 10,614,350 | |
5% 2/14/22 | 14,609,000 | 15,200,372 | |
Goldman Sachs Group, Inc.: | |||
0.481% 1/27/23 | 14,000,000 | 14,002,825 | |
1.992% 1/27/32 (e) | 1,180,000 | 1,153,559 | |
2.876% 10/31/22 (e) | 12,744,000 | 12,950,180 | |
3.8% 3/15/30 | 18,190,000 | 20,651,937 | |
3.814% 4/23/29 (e) | 4,195,000 | 4,722,807 | |
4.017% 10/31/38 (e) | 3,495,000 | 4,041,961 | |
4.223% 5/1/29 (e) | 2,525,000 | 2,910,362 | |
6.75% 10/1/37 | 50,999,000 | 74,401,402 | |
Intercontinental Exchange, Inc. 3.75% 12/1/25 | 3,162,000 | 3,508,887 | |
Jefferies Group, Inc. 2.75% 10/15/32 | 1,655,000 | 1,683,277 | |
Macquarie Group Ltd. 1.34% 1/12/27 (b)(e) | 4,111,000 | 4,083,943 | |
Morgan Stanley: | |||
3 month U.S. LIBOR + 0.930% 1.1524% 7/22/22 (e)(f) | 3,691,000 | 3,703,214 | |
0.529% 1/25/24 (e) | 15,755,000 | 15,763,026 | |
1.794% 2/13/32 (e) | 1,025,000 | 983,587 | |
2.699% 1/22/31 (e) | 11,825,000 | 12,289,957 | |
2.802% 1/25/52 (e) | 1,015,000 | 966,308 | |
3.125% 7/27/26 | 37,616,000 | 41,119,373 | |
3.622% 4/1/31 (e) | 13,084,000 | 14,577,610 | |
3.7% 10/23/24 | 21,259,000 | 23,463,630 | |
3.772% 1/24/29 (e) | 3,660,000 | 4,108,070 | |
3.875% 1/27/26 | 625,000 | 703,615 | |
4% 7/23/25 | 1,190,000 | 1,338,014 | |
4.35% 9/8/26 | 2,070,000 | 2,378,265 | |
4.431% 1/23/30 (e) | 8,189,000 | 9,589,532 | |
5% 11/24/25 | 40,891,000 | 47,734,372 | |
Nomura Holdings, Inc. 2.648% 1/16/25 | 675,000 | 711,078 | |
Raymond James Financial, Inc. 4.95% 7/15/46 | 2,050,000 | 2,587,346 | |
State Street Corp.: | |||
2.2% 3/3/31 | 8,590,000 | 8,599,020 | |
2.825% 3/30/23 (e) | 887,000 | 911,693 | |
2.901% 3/30/26 (e) | 833,000 | 898,315 | |
470,658,111 | |||
Consumer Finance - 0.6% | |||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust: | |||
2.875% 8/14/24 | 7,954,000 | 8,284,396 | |
3.5% 5/26/22 | 393,000 | 404,699 | |
4.125% 7/3/23 | 5,132,000 | 5,458,827 | |
4.45% 4/3/26 | 4,282,000 | 4,681,811 | |
4.875% 1/16/24 | 12,556,000 | 13,703,926 | |
6.5% 7/15/25 | 4,320,000 | 5,064,355 | |
Ally Financial, Inc.: | |||
1.45% 10/2/23 | 2,261,000 | 2,299,052 | |
3.05% 6/5/23 | 11,748,000 | 12,353,123 | |
3.875% 5/21/24 | 6,322,000 | 6,873,468 | |
5.125% 9/30/24 | 2,688,000 | 3,067,168 | |
5.75% 11/20/25 | 1,765,000 | 2,022,703 | |
5.8% 5/1/25 | 6,894,000 | 8,086,737 | |
8% 11/1/31 | 305,000 | 436,746 | |
Capital One Financial Corp.: | |||
3.65% 5/11/27 | 15,820,000 | 17,602,744 | |
3.8% 1/31/28 | 7,795,000 | 8,761,261 | |
Discover Financial Services: | |||
3.95% 11/6/24 | 8,102,000 | 8,904,729 | |
4.1% 2/9/27 | 645,000 | 728,691 | |
4.5% 1/30/26 | 6,463,000 | 7,358,085 | |
Ford Motor Credit Co. LLC: | |||
2.9% 2/16/28 | 275,000 | 272,250 | |
3.336% 3/18/21 | 996,000 | 996,598 | |
3.339% 3/28/22 | 6,970,000 | 7,046,322 | |
4% 11/13/30 | 345,000 | 352,763 | |
4.063% 11/1/24 | 22,139,000 | 23,188,167 | |
4.125% 8/17/27 | 185,000 | 194,713 | |
4.271% 1/9/27 | 85,000 | 89,888 | |
4.687% 6/9/25 | 180,000 | 191,700 | |
5.113% 5/3/29 | 400,000 | 438,000 | |
5.125% 6/16/25 | 135,000 | 145,800 | |
5.584% 3/18/24 | 8,575,000 | 9,250,281 | |
5.596% 1/7/22 | 14,820,000 | 15,264,600 | |
GE Capital International Funding Co.: | |||
3.373% 11/15/25 | 625,000 | 681,917 | |
4.418% 11/15/35 | 16,580,000 | 18,935,000 | |
John Deere Capital Corp. 2.65% 6/24/24 | 615,000 | 656,670 | |
Navient Corp. 7.25% 1/25/22 | 680,000 | 705,500 | |
Springleaf Finance Corp.: | |||
4% 9/15/30 | 500,000 | 485,355 | |
5.375% 11/15/29 | 1,679,000 | 1,771,345 | |
6.875% 3/15/25 | 1,165,000 | 1,313,980 | |
Synchrony Financial: | |||
2.85% 7/25/22 | 2,029,000 | 2,090,118 | |
3.75% 8/15/21 | 2,016,000 | 2,035,251 | |
3.95% 12/1/27 | 8,719,000 | 9,603,555 | |
4.25% 8/15/24 | 6,050,000 | 6,642,448 | |
4.375% 3/19/24 | 7,165,000 | 7,864,117 | |
5.15% 3/19/29 | 13,451,000 | 15,970,760 | |
242,279,619 | |||
Diversified Financial Services - 0.2% | |||
BP Capital Markets America, Inc. 3.245% 5/6/22 | 2,610,000 | 2,699,411 | |
Brixmor Operating Partnership LP: | |||
4.05% 7/1/30 | 9,288,000 | 10,285,740 | |
4.125% 6/15/26 | 5,706,000 | 6,411,436 | |
4.125% 5/15/29 | 6,724,000 | 7,497,505 | |
Equitable Holdings, Inc. 3.9% 4/20/23 | 827,000 | 884,813 | |
Icahn Enterprises LP/Icahn Enterprises Finance Corp.: | |||
6.25% 5/15/26 | 914,000 | 960,577 | |
6.375% 12/15/25 | 205,000 | 211,909 | |
Park Aerospace Holdings Ltd. 5.5% 2/15/24 (b) | 12,700,000 | 13,812,221 | |
Pine Street Trust I 4.572% 2/15/29 (b) | 7,798,000 | 9,120,659 | |
Pine Street Trust II 5.568% 2/15/49 (b) | 7,800,000 | 10,330,352 | |
Power Finance Corp. Ltd. 6.15% 12/6/28 (b) | 1,650,000 | 1,955,766 | |
Sasol Financing International PLC 4.5% 11/14/22 | 1,790,000 | 1,843,700 | |
VMED O2 UK Financing I PLC 4.25% 1/31/31 (b) | 495,000 | 483,863 | |
Voya Financial, Inc. 3.125% 7/15/24 | 3,436,000 | 3,706,995 | |
70,204,947 | |||
Insurance - 0.4% | |||
ACE INA Holdings, Inc.: | |||
2.7% 3/13/23 | 145,000 | 151,936 | |
3.15% 3/15/25 | 1,765,000 | 1,917,711 | |
AIA Group Ltd. 3.375% 4/7/30 (b) | 9,627,000 | 10,520,360 | |
American International Group, Inc.: | |||
3.4% 6/30/30 | 15,800,000 | 17,323,374 | |
4.5% 7/16/44 | 2,310,000 | 2,770,294 | |
Arch Capital Finance LLC 4.011% 12/15/26 | 1,770,000 | 2,019,185 | |
Baylor Scott & White Holdings: | |||
Series 2021, 2.839% 11/15/50 | 120,000 | 117,886 | |
1.777% 11/15/30 | 870,000 | 859,090 | |
CNA Financial Corp.: | |||
3.9% 5/1/29 | 1,400,000 | 1,597,617 | |
3.95% 5/15/24 | 1,400,000 | 1,529,935 | |
Everest Reinsurance Holdings, Inc. 3.5% 10/15/50 | 855,000 | 884,794 | |
Farmers Exchange Capital III 5.454% 10/15/54 (b)(e) | 3,335,000 | 4,166,787 | |
Five Corners Funding Trust II 2.85% 5/15/30 (b) | 11,420,000 | 12,128,158 | |
Liberty Mutual Group, Inc. 4.569% 2/1/29 (b) | 6,977,000 | 8,259,972 | |
Lincoln National Corp.: | |||
3.05% 1/15/30 | 130,000 | 139,686 | |
4.35% 3/1/48 | 165,000 | 194,477 | |
6.3% 10/9/37 | 110,000 | 149,330 | |
Markel Corp.: | |||
4.15% 9/17/50 | 965,000 | 1,122,075 | |
4.3% 11/1/47 | 525,000 | 623,677 | |
Marsh & McLennan Companies, Inc.: | |||
3.5% 6/3/24 | 1,140,000 | 1,235,553 | |
4.8% 7/15/21 | 1,026,000 | 1,031,548 | |
Massachusetts Mutual Life Insurance Co. 3.375% 4/15/50 (b) | 3,450,000 | 3,529,286 | |
Metropolitan Life Global Funding I U.S. SECURED OVERNIGHT FINL RATE (SOFR) INDX + 0.500% 0.53% 5/28/21 (b)(e)(f) | 31,400,000 | 31,433,356 | |
Nationwide Mutual Insurance Co. 3 month U.S. LIBOR + 2.290% 2.5065% 12/15/24 (b)(e)(f) | 5,490,000 | 5,490,006 | |
New York Life Insurance Co. 3.75% 5/15/50 (b) | 5,552,000 | 6,170,969 | |
Pricoa Global Funding I 5.375% 5/15/45 (e) | 5,278,000 | 5,851,653 | |
Prudential Financial, Inc. 4.5% 11/16/21 | 1,118,000 | 1,151,069 | |
Swiss Re Finance Luxembourg SA 5% 4/2/49 (b)(e) | 3,200,000 | 3,667,200 | |
Teachers Insurance & Annuity Association of America: | |||
3.3% 5/15/50 (b) | 8,536,000 | 8,670,731 | |
4.375% 9/15/54 (b)(e) | 2,100,000 | 2,241,736 | |
The Chubb Corp. 6% 5/11/37 | 300,000 | 434,575 | |
Unum Group: | |||
4% 6/15/29 | 5,961,000 | 6,583,359 | |
4.5% 3/15/25 | 8,661,000 | 9,707,582 | |
5.75% 8/15/42 | 2,238,000 | 2,699,393 | |
156,374,360 | |||
Thrifts & Mortgage Finance - 0.0% | |||
Home Point Capital, Inc. 5% 2/1/26 (b) | 300,000 | 298,500 | |
Nationstar Mortgage Holdings, Inc. 6% 1/15/27 (b) | 500,000 | 525,000 | |
Nationwide Building Society: | |||
3.622% 4/26/23 (b)(e) | 3,265,000 | 3,377,256 | |
4.363% 8/1/24 (b)(e) | 1,250,000 | 1,356,773 | |
Pennymac Financial Services, Inc. 4.25% 2/15/29 (b) | 1,200,000 | 1,185,264 | |
Quicken Loans, Inc. 5.25% 1/15/28 (b) | 300,000 | 316,515 | |
7,059,308 | |||
TOTAL FINANCIALS | 1,750,458,737 | ||
HEALTH CARE - 0.8% | |||
Biotechnology - 0.1% | |||
AbbVie, Inc.: | |||
3.2% 11/21/29 | 200,000 | 216,223 | |
4.05% 11/21/39 | 8,845,000 | 10,157,979 | |
4.25% 11/21/49 | 1,570,000 | 1,812,515 | |
4.4% 11/6/42 | 4,405,000 | 5,254,971 | |
4.55% 3/15/35 | 400,000 | 482,167 | |
4.7% 5/14/45 | 4,100,000 | 4,965,519 | |
4.875% 11/14/48 | 585,000 | 743,505 | |
Amgen, Inc.: | |||
2.6% 8/19/26 | 3,600,000 | 3,830,906 | |
4.4% 5/1/45 | 1,450,000 | 1,729,493 | |
4.663% 6/15/51 | 175,000 | 220,427 | |
Gilead Sciences, Inc. 4.5% 2/1/45 | 565,000 | 672,764 | |
Nutrition & Biosciences, Inc. 3.468% 12/1/50 (b) | 1,650,000 | 1,684,950 | |
Regeneron Pharmaceuticals, Inc. 2.8% 9/15/50 | 505,000 | 450,051 | |
32,221,470 | |||
Health Care Equipment & Supplies - 0.0% | |||
Abbott Laboratories 4.9% 11/30/46 | 690,000 | 935,408 | |
Becton, Dickinson & Co.: | |||
3.125% 11/8/21 | 1,050,000 | 1,069,739 | |
3.7% 6/6/27 | 118,000 | 132,289 | |
3.734% 12/15/24 | 855,000 | 940,280 | |
Fresenius U.S. Finance II, Inc. 4.5% 1/15/23 (b) | 4,787,000 | 5,070,610 | |
Hologic, Inc. 3.25% 2/15/29 (b) | 225,000 | 224,565 | |
Stryker Corp.: | |||
3.375% 5/15/24 | 335,000 | 361,553 | |
3.375% 11/1/25 | 305,000 | 334,654 | |
3.5% 3/15/26 | 675,000 | 746,633 | |
Teleflex, Inc.: | |||
4.25% 6/1/28 (b) | 60,000 | 62,025 | |
4.875% 6/1/26 | 1,000,000 | 1,030,000 | |
10,907,756 | |||
Health Care Providers & Services - 0.4% | |||
AHS Hospital Corp. 2.78% 7/1/51 | 315,000 | 302,501 | |
Anthem, Inc.: | |||
3.3% 1/15/23 | 3,395,000 | 3,568,695 | |
3.65% 12/1/27 | 2,965,000 | 3,346,583 | |
Ascension Health: | |||
2.532% 11/15/29 | 295,000 | 309,742 | |
3.106% 11/15/39 | 610,000 | 658,972 | |
3.945% 11/15/46 | 315,000 | 378,742 | |
4.847% 11/15/53 | 150,000 | 208,544 | |
BayCare Health System, Inc. 3.831% 11/15/50 | 230,000 | 271,048 | |
Centene Corp.: | |||
3% 10/15/30 | 1,638,000 | 1,663,717 | |
3.375% 2/15/30 | 5,670,000 | 5,827,059 | |
4.25% 12/15/27 | 5,825,000 | 6,065,281 | |
4.625% 12/15/29 | 7,750,000 | 8,362,250 | |
4.75% 1/15/25 | 3,965,000 | 4,064,125 | |
5.375% 8/15/26 (b) | 200,000 | 210,500 | |
Children's Health System of Texas 2.511% 8/15/50 | 360,000 | 330,414 | |
Childrens Hospital Corp. 4.115% 1/1/47 | 480,000 | 586,074 | |
Cigna Corp.: | |||
3.25% 4/15/25 | 5,000 | 5,418 | |
3.4% 3/15/50 | 825,000 | 840,806 | |
4.375% 10/15/28 | 14,599,000 | 17,029,688 | |
4.5% 2/25/26 | 4,775,000 | 5,490,811 | |
4.8% 7/15/46 | 2,375,000 | 2,948,321 | |
CommonSpirit Health: | |||
2.76% 10/1/24 | 575,000 | 612,488 | |
3.347% 10/1/29 | 250,000 | 269,749 | |
4.35% 11/1/42 | 2,500,000 | 2,852,270 | |
Community Health Systems, Inc. 4.75% 2/15/31 (b) | 560,000 | 549,153 | |
CVS Health Corp.: | |||
2.7% 8/21/40 | 5,135,000 | 4,875,372 | |
3.625% 4/1/27 | 2,341,000 | 2,603,258 | |
4.3% 3/25/28 | 1,331,000 | 1,532,113 | |
4.78% 3/25/38 | 1,320,000 | 1,608,852 | |
5.05% 3/25/48 | 7,530,000 | 9,510,261 | |
5.125% 7/20/45 | 1,545,000 | 1,956,419 | |
5.3% 12/5/43 | 555,000 | 717,619 | |
DaVita HealthCare Partners, Inc. 4.625% 6/1/30 (b) | 125,000 | 127,188 | |
Fresenius Medical Care U.S. Finance II, Inc. 5.875% 1/31/22 (b) | 1,800,000 | 1,885,467 | |
HCA Holdings, Inc.: | |||
3.5% 9/1/30 | 525,000 | 546,248 | |
4.75% 5/1/23 | 205,000 | 222,283 | |
5.125% 6/15/39 | 2,000,000 | 2,469,618 | |
5.25% 6/15/49 | 5,650,000 | 7,085,448 | |
5.375% 2/1/25 | 305,000 | 342,363 | |
5.875% 2/15/26 | 1,135,000 | 1,312,003 | |
Humana, Inc. 3.125% 8/15/29 | 2,600,000 | 2,801,759 | |
Kaiser Foundation Hospitals 4.15% 5/1/47 | 1,000,000 | 1,223,316 | |
Laboratory Corp. of America Holdings: | |||
3.25% 9/1/24 | 720,000 | 780,185 | |
4.7% 2/1/45 | 730,000 | 896,822 | |
Memorial Sloan-Kettring Cancer Center: | |||
2.955% 1/1/50 | 290,000 | 291,596 | |
4.2% 7/1/55 | 140,000 | 178,166 | |
5% 7/1/42 | 225,000 | 298,472 | |
Methodist Hospital 2.705% 12/1/50 | 1,345,000 | 1,289,436 | |
Molina Healthcare, Inc. 3.875% 11/15/30 (b) | 745,000 | 780,388 | |
Mount Sinai Hospital 3.737% 7/1/49 | 460,000 | 499,436 | |
New York & Presbyterian Hospital: | |||
4.024% 8/1/45 | 600,000 | 721,830 | |
4.063% 8/1/56 | 390,000 | 482,959 | |
Nidda Healthcare Holding AG 3.5% 9/30/24 (Reg. S) | EUR | 3,000,000 | 3,650,815 |
NYU Hospitals Center: | |||
3.38% 7/1/55 | 276,000 | 274,793 | |
4.368% 7/1/47 | 810,000 | 955,630 | |
Partners Healthcare System, Inc. 3.342% 7/1/60 | 2,000,000 | 2,079,396 | |
PeaceHealth Obligated Group 1.375% 11/15/25 | 165,000 | 166,601 | |
Providence St. Joseph Health Obligated Group: | |||
2.532% 10/1/29 | 2,405,000 | 2,514,871 | |
2.746% 10/1/26 | 180,000 | 194,062 | |
Quest Diagnostics, Inc.: | |||
4.7% 3/30/45 | 100,000 | 120,415 | |
5.75% 1/30/40 | 68,000 | 89,074 | |
Sutter Health 4.091% 8/15/48 | 1,140,000 | 1,285,038 | |
Tenet Healthcare Corp.: | |||
4.625% 7/15/24 | 240,000 | 243,600 | |
4.875% 1/1/26 (b) | 1,390,000 | 1,436,829 | |
5.125% 5/1/25 | 500,000 | 502,500 | |
6.25% 2/1/27 (b) | 120,000 | 126,660 | |
Toledo Hospital: | |||
5.325% 11/15/28 | 2,792,000 | 3,279,934 | |
6.015% 11/15/48 | 5,710,000 | 7,274,353 | |
UnitedHealth Group, Inc.: | |||
3.875% 8/15/59 | 30,000 | 34,085 | |
4.25% 4/15/47 | 645,000 | 772,877 | |
4.25% 6/15/48 | 1,625,000 | 1,964,267 | |
6.875% 2/15/38 | 700,000 | 1,079,597 | |
141,837,225 | |||
Health Care Technology - 0.0% | |||
IQVIA, Inc.: | |||
1.75% 3/15/26 (b)(c) | EUR | 625,000 | 757,495 |
5% 10/15/26 (b) | 230,000 | 237,964 | |
995,459 | |||
Life Sciences Tools & Services - 0.0% | |||
Charles River Laboratories International, Inc.: | |||
4.25% 5/1/28 (b) | 330,000 | 344,438 | |
5.5% 4/1/26 (b) | 100,000 | 104,250 | |
Thermo Fisher Scientific, Inc. 4.133% 3/25/25 | 290,000 | 324,509 | |
773,197 | |||
Pharmaceuticals - 0.3% | |||
Bausch Health Companies, Inc.: | |||
5.25% 2/15/31 (b) | 5,021,000 | 5,083,763 | |
6.25% 2/15/29 (b) | 500,000 | 532,850 | |
7% 3/15/24 (b) | 700,000 | 715,190 | |
Bayer U.S. Finance II LLC: | |||
2.2% 7/15/22 | 2,100,000 | 2,129,333 | |
4.25% 12/15/25 (b) | 54,704,000 | 61,609,593 | |
4.875% 6/25/48 (b) | 6,800,000 | 8,484,330 | |
Bristol-Myers Squibb Co.: | |||
4.25% 10/26/49 | 1,860,000 | 2,264,043 | |
5% 8/15/45 | 672,000 | 897,452 | |
Catalent Pharma Solutions 3.125% 2/15/29 (b) | 275,000 | 271,695 | |
Elanco Animal Health, Inc.: | |||
4.912% 8/27/21 (e) | 1,274,000 | 1,291,518 | |
5.272% 8/28/23 (e) | 4,020,000 | 4,321,500 | |
5.9% 8/28/28 (e) | 1,895,000 | 2,198,200 | |
GlaxoSmithKline Capital PLC 2.85% 5/8/22 | 710,000 | 731,708 | |
GlaxoSmithKline Capital, Inc. 2.8% 3/18/23 | 875,000 | 917,287 | |
Johnson & Johnson: | |||
2.1% 9/1/40 | 475,000 | 444,228 | |
3.625% 3/3/37 | 1,260,000 | 1,465,312 | |
Merck & Co., Inc. 3.4% 3/7/29 | 1,400,000 | 1,579,067 | |
Mylan NV: | |||
4.2% 11/29/23 | 1,100,000 | 1,194,561 | |
5.2% 4/15/48 | 1,530,000 | 1,851,207 | |
5.4% 11/29/43 | 580,000 | 716,751 | |
Pfizer, Inc. 2.55% 5/28/40 | 1,310,000 | 1,294,259 | |
Takeda Pharmaceutical Co. Ltd.: | |||
2.05% 3/31/30 | 2,725,000 | 2,680,920 | |
3.025% 7/9/40 | 510,000 | 512,289 | |
Teva Pharmaceutical Finance Netherlands III BV 2.2% 7/21/21 | 1,013,000 | 1,013,000 | |
Utah Acquisition Sub, Inc. 3.95% 6/15/26 | 2,804,000 | 3,131,812 | |
Viatris, Inc.: | |||
1.65% 6/22/25 (b) | 1,160,000 | 1,177,652 | |
2.7% 6/22/30 (b) | 5,898,000 | 5,978,110 | |
3.85% 6/22/40 (b) | 7,489,000 | 7,941,422 | |
4% 6/22/50 (b) | 5,262,000 | 5,463,772 | |
Wyeth LLC 6.45% 2/1/24 | 1,875,000 | 2,188,486 | |
Zoetis, Inc. 3.25% 2/1/23 | 5,975,000 | 6,253,621 | |
136,334,931 | |||
TOTAL HEALTH CARE | 323,070,038 | ||
INDUSTRIALS - 0.4% | |||
Aerospace & Defense - 0.2% | |||
BAE Systems PLC 3.4% 4/15/30 (b) | 2,985,000 | 3,256,919 | |
BWX Technologies, Inc.: | |||
4.125% 6/30/28 (b) | 200,000 | 207,750 | |
5.375% 7/15/26 (b) | 700,000 | 724,500 | |
General Dynamics Corp.: | |||
2.25% 11/15/22 | 650,000 | 668,156 | |
3.5% 5/15/25 | 1,905,000 | 2,092,704 | |
Howmet Aerospace, Inc.: | |||
5.95% 2/1/37 | 575,000 | 691,409 | |
6.75% 1/15/28 | 345,000 | 409,688 | |
Lockheed Martin Corp. 2.9% 3/1/25 | 1,345,000 | 1,441,726 | |
Moog, Inc. 4.25% 12/15/27 (b) | 360,000 | 369,900 | |
Northrop Grumman Corp. 4.75% 6/1/43 | 695,000 | 869,285 | |
Raytheon Technologies Corp.: | |||
3.5% 3/15/27 | 1,300,000 | 1,445,226 | |
4.125% 11/16/28 | 490,000 | 564,957 | |
Textron, Inc. 2.45% 3/15/31 | 1,870,000 | 1,846,283 | |
The Boeing Co.: | |||
1.167% 2/4/23 | 4,000,000 | 4,016,935 | |
1.433% 2/4/24 | 1,000,000 | 1,001,754 | |
2.196% 2/4/26 | 500,000 | 501,041 | |
2.25% 6/15/26 | 810,000 | 818,896 | |
3.6% 5/1/34 | 1,750,000 | 1,797,500 | |
3.625% 2/1/31 | 7,150,000 | 7,559,496 | |
4.508% 5/1/23 | 1,500,000 | 1,608,882 | |
5.04% 5/1/27 | 4,430,000 | 5,105,723 | |
5.15% 5/1/30 | 4,430,000 | 5,162,112 | |
5.705% 5/1/40 | 4,430,000 | 5,581,636 | |
5.805% 5/1/50 | 5,710,000 | 7,365,617 | |
5.93% 5/1/60 | 4,430,000 | 5,812,417 | |
TransDigm, Inc.: | |||
6.25% 3/15/26 (b) | 915,000 | 964,309 | |
7.5% 3/15/27 | 40,000 | 42,635 | |
8% 12/15/25 (b) | 465,000 | 506,269 | |
62,433,725 | |||
Air Freight & Logistics - 0.0% | |||
FedEx Corp. 3.3% 3/15/27 | 280,000 | 308,629 | |
United Parcel Service, Inc. 2.05% 4/1/21 | 150,000 | 150,221 | |
XPO Logistics, Inc. 6.25% 5/1/25 (b) | 1,810,000 | 1,944,031 | |
2,402,881 | |||
Airlines - 0.0% | |||
American Airlines, Inc. equipment trust certificate 3.2% 12/15/29 | 437,130 | 437,010 | |
Continental Airlines, Inc. 4.15% 10/11/25 | 539,385 | 553,616 | |
Delta Air Lines, Inc. pass-thru trust certificates 6.821% 2/10/24 | 94,349 | 98,446 | |
Mexico City Airport Trust: | |||
4.25% 10/31/26 (b) | 2,270,000 | 2,297,921 | |
5.5% 7/31/47 (b) | 1,250,000 | 1,168,750 | |
Southwest Airlines Co.: | |||
2.625% 2/10/30 | 735,000 | 730,665 | |
4.75% 5/4/23 | 775,000 | 843,205 | |
5.125% 6/15/27 | 885,000 | 1,036,916 | |
United Airlines pass-thru Trust Series 2013-1A Class O, 4.3% 2/15/27 | 138,966 | 145,064 | |
7,311,593 | |||
Building Products - 0.0% | |||
Advanced Drain Systems, Inc. 5% 9/30/27 (b) | 400,000 | 420,000 | |
Johnson Controls International PLC 4.95% 7/2/64 | 197,000 | 249,696 | |
Masco Corp. 4.45% 4/1/25 | 1,610,000 | 1,820,729 | |
Owens Corning 4.3% 7/15/47 | 3,010,000 | 3,421,724 | |
5,912,149 | |||
Commercial Services & Supplies - 0.0% | |||
Advocate Health & Hospitals Corp. 3.387% 10/15/49 | 510,000 | 541,093 | |
Cintas Corp. No. 2 3.7% 4/1/27 | 1,035,000 | 1,170,997 | |
Double Eagle III Midco 1 LLC 7.75% 12/15/25 (b) | 165,000 | 175,725 | |
GFL Environmental, Inc. 3.75% 8/1/25 (b) | 233,000 | 237,369 | |
Legends Hospitality Holding Co. LLC/Legends Hospitality Co-Issuer, Inc. 5% 2/1/26 (b) | 60,000 | 61,050 | |
Nielsen Co. SARL (Luxembourg) 5% 2/1/25 (b) | 115,000 | 117,861 | |
Nielsen Finance LLC/Nielsen Finance Co.: | |||
5% 4/15/22 (b) | 215,000 | 215,559 | |
5.625% 10/1/28 (b) | 205,000 | 215,988 | |
5.875% 10/1/30 (b) | 205,000 | 221,656 | |
PowerTeam Services LLC 9.033% 12/4/25 (b) | 108,000 | 119,610 | |
Stericycle, Inc. 3.875% 1/15/29 (b) | 530,000 | 533,790 | |
Waste Management, Inc. 2.9% 9/15/22 | 375,000 | 387,354 | |
3,998,052 | |||
Construction & Engineering - 0.0% | |||
AECOM: | |||
5.125% 3/15/27 | 2,505,000 | 2,736,713 | |
5.875% 10/15/24 | 270,000 | 299,700 | |
3,036,413 | |||
Electrical Equipment - 0.0% | |||
ABB Finance (U.S.A.), Inc. 2.875% 5/8/22 | 115,000 | 118,469 | |
Sensata Technologies BV 4.875% 10/15/23 (b) | 300,000 | 319,500 | |
Wesco Distribution, Inc.: | |||
7.125% 6/15/25 (b) | 1,500,000 | 1,623,188 | |
7.25% 6/15/28 (b) | 1,250,000 | 1,389,063 | |
3,450,220 | |||
Industrial Conglomerates - 0.0% | |||
General Electric Co. 3.45% 5/15/24 | 85,000 | 91,736 | |
Machinery - 0.1% | |||
Fortive Corp. 3.15% 6/15/26 | 275,000 | 300,421 | |
Navistar International Corp. 9.5% 5/1/25 (b) | 700,000 | 783,125 | |
Pentair Finance SA 4.5% 7/1/29 | 4,570,000 | 5,288,401 | |
Stanley Black & Decker, Inc. 2.75% 11/15/50 | 865,000 | 811,265 | |
Westinghouse Air Brake Co.: | |||
3.45% 11/15/26 | 740,000 | 799,657 | |
4.95% 9/15/28 | 4,805,000 | 5,647,079 | |
Xylem, Inc.: | |||
3.25% 11/1/26 | 225,000 | 248,216 | |
4.875% 10/1/21 | 525,000 | 538,372 | |
14,416,536 | |||
Professional Services - 0.0% | |||
ASGN, Inc. 4.625% 5/15/28 (b) | 110,000 | 114,675 | |
Booz Allen Hamilton, Inc. 3.875% 9/1/28 (b) | 320,000 | 327,762 | |
Equifax, Inc. 2.6% 12/1/24 | 1,245,000 | 1,324,747 | |
IHS Markit Ltd.: | |||
4% 3/1/26 (b) | 1,195,000 | 1,330,274 | |
4.125% 8/1/23 | 365,000 | 392,850 | |
5% 11/1/22 (b) | 6,800,000 | 7,216,367 | |
TriNet Group, Inc. 3.5% 3/1/29 (b) | 165,000 | 163,556 | |
Verisk Analytics, Inc. 4.125% 9/12/22 | 690,000 | 727,582 | |
11,597,813 | |||
Road & Rail - 0.0% | |||
CSX Corp. 6.15% 5/1/37 | 1,375,000 | 1,919,568 | |
Union Pacific Corp.: | |||
2.973% 9/16/62 (b) | 200,000 | 186,081 | |
3.25% 2/5/50 | 1,435,000 | 1,481,729 | |
3.6% 9/15/37 | 640,000 | 707,118 | |
3.75% 2/5/70 | 315,000 | 340,466 | |
4,634,962 | |||
Trading Companies & Distributors - 0.1% | |||
Air Lease Corp.: | |||
2.25% 1/15/23 | 1,711,000 | 1,756,493 | |
3% 9/15/23 | 800,000 | 839,252 | |
3.375% 6/1/21 | 2,750,000 | 2,769,404 | |
3.375% 7/1/25 | 7,608,000 | 8,087,795 | |
3.75% 2/1/22 | 4,752,000 | 4,864,380 | |
3.875% 4/1/21 | 2,900,000 | 2,900,000 | |
4.25% 2/1/24 | 7,846,000 | 8,558,264 | |
4.25% 9/15/24 | 8,907,000 | 9,784,485 | |
United Rentals North America, Inc.: | |||
3.875% 2/15/31 | 500,000 | 511,313 | |
4.875% 1/15/28 | 2,000,000 | 2,115,000 | |
42,186,386 | |||
Transportation Infrastructure - 0.0% | |||
Avolon Holdings Funding Ltd.: | |||
3.625% 5/1/22 (b) | 2,155,000 | 2,195,242 | |
3.95% 7/1/24 (b) | 2,862,000 | 2,997,050 | |
4.375% 5/1/26 (b) | 3,477,000 | 3,688,818 | |
5.25% 5/15/24 (b) | 4,140,000 | 4,507,816 | |
BNSF Funding Trust I 6.613% 12/15/55 (e) | 755,000 | 868,726 | |
14,257,652 | |||
TOTAL INDUSTRIALS | 175,730,118 | ||
INFORMATION TECHNOLOGY - 0.3% | |||
Communications Equipment - 0.0% | |||
Cisco Systems, Inc.: | |||
2.9% 3/4/21 | 150,000 | 150,023 | |
3% 6/15/22 | 310,000 | 320,577 | |
470,600 | |||
Electronic Equipment & Components - 0.0% | |||
Diamond 1 Finance Corp./Diamond 2 Finance Corp.: | |||
5.45% 6/15/23 (b) | 6,100,000 | 6,691,324 | |
6.02% 6/15/26 (b) | 2,112,000 | 2,531,579 | |
FLIR Systems, Inc. 2.5% 8/1/30 | 245,000 | 252,567 | |
Sensata Technologies, Inc. 3.75% 2/15/31 (b) | 590,000 | 592,213 | |
TTM Technologies, Inc. 4% 3/1/29 (b)(c) | 130,000 | 131,463 | |
10,199,146 | |||
IT Services - 0.0% | |||
Austin BidCo, Inc. 7.125% 12/15/28 (b) | 60,000 | 61,575 | |
Banff Merger Sub, Inc. 9.75% 9/1/26 (b) | 500,000 | 532,810 | |
Fidelity National Information Services, Inc. 3.1% 3/1/41 | 1,785,000 | 1,803,077 | |
Fiserv, Inc.: | |||
2.75% 7/1/24 | 105,000 | 111,649 | |
3.5% 7/1/29 | 3,895,000 | 4,292,509 | |
3.85% 6/1/25 | 1,490,000 | 1,644,581 | |
Gartner, Inc.: | |||
3.75% 10/1/30 (b) | 105,000 | 106,313 | |
4.5% 7/1/28 (b) | 165,000 | 173,250 | |
Global Payments, Inc. 2.65% 2/15/25 | 495,000 | 523,308 | |
Go Daddy Operating Co. LLC / GD Finance Co., Inc. 3.5% 3/1/29 (b) | 330,000 | 327,938 | |
IBM Corp.: | |||
2.85% 5/15/40 | 480,000 | 478,589 | |
3.625% 2/12/24 | 2,410,000 | 2,636,891 | |
MasterCard, Inc. 3.375% 4/1/24 | 870,000 | 947,370 | |
Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc. 6% 2/15/28 (b) | 35,000 | 35,219 | |
Visa, Inc. 2.7% 4/15/40 | 145,000 | 147,617 | |
13,822,696 | |||
Semiconductors & Semiconductor Equipment - 0.1% | |||
Broadcom Corp./Broadcom Cayman LP 3.125% 1/15/25 | 1,260,000 | 1,348,681 | |
Broadcom, Inc.: | |||
1.95% 2/15/28 (b) | 1,620,000 | 1,597,002 | |
2.45% 2/15/31 (b) | 12,129,000 | 11,779,017 | |
2.6% 2/15/33 (b) | 12,129,000 | 11,645,054 | |
3.15% 11/15/25 | 1,775,000 | 1,908,988 | |
3.5% 2/15/41 (b) | 15,811,000 | 15,756,468 | |
3.75% 2/15/51 (b) | 5,224,000 | 5,151,097 | |
4.11% 9/15/28 | 1,135,000 | 1,258,830 | |
Entegris, Inc. 4.375% 4/15/28 (b) | 325,000 | 341,000 | |
Intel Corp. 4.75% 3/25/50 | 1,250,000 | 1,624,426 | |
NVIDIA Corp. 2.85% 4/1/30 | 2,598,000 | 2,794,442 | |
NXP BV/NXP Funding LLC 3.875% 9/1/22 (b) | 1,969,000 | 2,061,690 | |
ON Semiconductor Corp. 3.875% 9/1/28 (b) | 125,000 | 130,625 | |
Qorvo, Inc. 4.375% 10/15/29 | 200,000 | 215,312 | |
57,612,632 | |||
Software - 0.1% | |||
CDK Global, Inc.: | |||
4.875% 6/1/27 | 500,000 | 523,125 | |
5.875% 6/15/26 | 180,000 | 187,403 | |
Crowdstrike Holdings, Inc. 3% 2/15/29 | 125,000 | 125,000 | |
Fair Isaac Corp. 4% 6/15/28 (b) | 500,000 | 517,350 | |
Intuit, Inc.: | |||
0.95% 7/15/25 | 940,000 | 942,005 | |
1.35% 7/15/27 | 200,000 | 199,814 | |
Microsoft Corp.: | |||
3.7% 8/8/46 | 1,965,000 | 2,318,859 | |
4.1% 2/6/37 | 1,212,000 | 1,500,041 | |
NortonLifeLock, Inc. 5% 4/15/25 (b) | 370,000 | 374,625 | |
Nuance Communications, Inc. 5.625% 12/15/26 | 600,000 | 628,500 | |
Open Text Corp. 3.875% 2/15/28 (b) | 490,000 | 497,963 | |
Oracle Corp.: | |||
2.5% 4/1/25 | 6,499,000 | 6,888,694 | |
2.8% 4/1/27 | 7,964,000 | 8,565,795 | |
2.95% 5/15/25 | 935,000 | 1,005,732 | |
3.6% 4/1/50 | 1,300,000 | 1,362,152 | |
3.85% 4/1/60 | 6,500,000 | 7,023,060 | |
4.125% 5/15/45 | 850,000 | 967,908 | |
ServiceNow, Inc. 1.4% 9/1/30 | 1,005,000 | 934,511 | |
SS&C Technologies, Inc. 5.5% 9/30/27 (b) | 775,000 | 818,687 | |
35,381,224 | |||
Technology Hardware, Storage & Peripherals - 0.1% | |||
Apple, Inc.: | |||
2.65% 2/8/51 | 2,735,000 | 2,544,996 | |
3.25% 2/23/26 | 7,150,000 | 7,864,249 | |
3.85% 8/4/46 | 1,005,000 | 1,150,540 | |
Hewlett Packard Enterprise Co. 4.4% 10/15/22 (e) | 5,700,000 | 6,028,932 | |
17,588,717 | |||
TOTAL INFORMATION TECHNOLOGY | 135,075,015 | ||
MATERIALS - 0.2% | |||
Chemicals - 0.1% | |||
Axalta Coating Systems/Dutch Holding BV 4.75% 6/15/27 (b) | 240,000 | 250,800 | |
CF Industries Holdings, Inc.: | |||
4.95% 6/1/43 | 285,000 | 335,627 | |
5.15% 3/15/34 | 300,000 | 362,631 | |
5.375% 3/15/44 | 525,000 | 655,594 | |
Consolidated Energy Finance SA 6.5% 5/15/26 (b) | 375,000 | 378,750 | |
DuPont de Nemours, Inc. 4.493% 11/15/25 | 2,625,000 | 3,005,520 | |
FMC Corp. 4.5% 10/1/49 | 800,000 | 947,826 | |
INEOS Quattro Finance 2 PLC 3.375% 1/15/26 (b) | 275,000 | 274,313 | |
LYB International Finance BV: | |||
4.875% 3/15/44 | 825,000 | 988,192 | |
5.25% 7/15/43 | 2,955,000 | 3,676,959 | |
LYB International Finance III LLC: | |||
2.25% 10/1/30 | 620,000 | 616,047 | |
3.375% 5/1/30 | 1,645,000 | 1,776,304 | |
3.375% 10/1/40 | 165,000 | 168,209 | |
4.2% 5/1/50 | 150,000 | 164,343 | |
Methanex Corp.: | |||
5.125% 10/15/27 | 320,000 | 330,944 | |
5.25% 12/15/29 | 155,000 | 158,972 | |
5.65% 12/1/44 | 105,000 | 108,150 | |
Nutrien Ltd. 4.9% 6/1/43 | 825,000 | 1,025,700 | |
OCI NV: | |||
3.125% 11/1/24 (Reg. S) | EUR | 2,500,000 | 3,069,162 |
3.625% 10/15/25 (Reg. S) | EUR | 500,000 | 628,160 |
Olin Corp.: | |||
5% 2/1/30 | 195,000 | 204,204 | |
5.125% 9/15/27 | 700,000 | 725,847 | |
5.625% 8/1/29 | 195,000 | 210,356 | |
Sherwin-Williams Co. 4.5% 6/1/47 | 210,000 | 253,972 | |
The Chemours Co. LLC 7% 5/15/25 | 600,000 | 618,528 | |
The Dow Chemical Co.: | |||
3.625% 5/15/26 | 2,820,000 | 3,132,735 | |
4.625% 10/1/44 | 295,000 | 358,886 | |
Valvoline, Inc. 4.25% 2/15/30 (b) | 270,000 | 278,100 | |
W. R. Grace & Co.-Conn.: | |||
4.875% 6/15/27 (b) | 125,000 | 129,600 | |
5.625% 10/1/24 (b) | 400,000 | 435,228 | |
25,269,659 | |||
Construction Materials - 0.0% | |||
Martin Marietta Materials, Inc. 2.5% 3/15/30 | 655,000 | 679,945 | |
Summit Materials LLC/Summit Materials Finance Corp. 5.25% 1/15/29 (b) | 1,000,000 | 1,061,250 | |
Vulcan Materials Co. 4.5% 6/15/47 | 795,000 | 949,997 | |
2,691,192 | |||
Containers & Packaging - 0.0% | |||
Ardagh Packaging Finance PLC/Ardagh MP Holdings U.S.A., Inc.: | |||
4.125% 8/15/26(b) | 10,000 | 10,349 | |
4.75% 7/15/27 (Reg. S) | GBP | 3,650,000 | 5,289,808 |
5.25% 8/15/27 (b) | 310,000 | 321,144 | |
6% 2/15/25 (b) | 40,000 | 41,348 | |
Berry Global, Inc.: | |||
0.95% 2/15/24 (b) | 4,465,000 | 4,466,875 | |
1.57% 1/15/26 (b) | 2,175,000 | 2,164,386 | |
4.875% 7/15/26 (b) | 200,000 | 213,582 | |
Graphic Packaging International, Inc. 3.5% 3/15/28 (b) | 231,000 | 237,064 | |
Intelligent Packaging Ltd. Finco, Inc. 6% 9/15/28 (b) | 40,000 | 41,700 | |
International Paper Co.: | |||
5% 9/15/35 | 715,000 | 903,073 | |
5.15% 5/15/46 | 116,000 | 152,171 | |
OI European Group BV 4% 3/15/23 (b) | 290,000 | 296,525 | |
Rock-Tenn Co. 4.9% 3/1/22 | 185,000 | 193,456 | |
Trivium Packaging Finance BV: | |||
5.5% 8/15/26 (b) | 205,000 | 214,471 | |
8.5% 8/15/27 (b) | 60,000 | 64,350 | |
14,610,302 | |||
Metals & Mining - 0.1% | |||
Anglo American Capital PLC 4.125% 4/15/21 (b) | 2,545,000 | 2,553,828 | |
Barrick North America Finance LLC: | |||
5.7% 5/30/41 | 415,000 | 567,590 | |
5.75% 5/1/43 | 560,000 | 785,575 | |
Barrick PD Australia Finance Pty Ltd. 5.95% 10/15/39 | 1,040,000 | 1,432,794 | |
Cleveland-Cliffs, Inc.: | |||
4.625% 3/1/29 (b) | 110,000 | 107,663 | |
4.875% 3/1/31 (b) | 110,000 | 107,319 | |
Corporacion Nacional del Cobre de Chile (Codelco): | |||
3.15% 1/14/30 (Reg. S) | 1,040,000 | 1,094,600 | |
3.625% 8/1/27 (b) | 2,033,000 | 2,218,511 | |
4.5% 8/1/47 (b) | 1,715,000 | 1,913,833 | |
FMG Resources (August 2006) Pty Ltd. 4.5% 9/15/27 (b) | 5,000 | 5,494 | |
Freeport-McMoRan, Inc.: | |||
5.4% 11/14/34 | 570,000 | 706,088 | |
5.45% 3/15/43 | 275,000 | 341,688 | |
HudBay Minerals, Inc. 4.5% 4/1/26 (b)(c) | 55,000 | 55,722 | |
Indonesia Asahan Aluminium Tbk PT: | |||
6.53% 11/15/28 (b) | 1,050,000 | 1,278,375 | |
6.53% 11/15/28 (Reg. S) | 988,000 | 1,202,890 | |
Kaiser Aluminum Corp.: | |||
4.625% 3/1/28 (b) | 415,000 | 433,231 | |
6.5% 5/1/25 (b) | 105,000 | 112,350 | |
Kinross Gold Corp. 4.5% 7/15/27 | 4,140,000 | 4,728,959 | |
Newmont Corp.: | |||
2.25% 10/1/30 | 600,000 | 598,128 | |
2.8% 10/1/29 | 425,000 | 448,657 | |
5.45% 6/9/44 | 185,000 | 248,253 | |
Southern Copper Corp. 5.875% 4/23/45 | 455,000 | 610,838 | |
Steel Dynamics, Inc.: | |||
2.4% 6/15/25 | 365,000 | 383,152 | |
3.45% 4/15/30 | 2,900,000 | 3,150,258 | |
25,085,796 | |||
TOTAL MATERIALS | 67,656,949 | ||
REAL ESTATE - 0.8% | |||
Equity Real Estate Investment Trusts (REITs) - 0.6% | |||
Alexandria Real Estate Equities, Inc. 4.9% 12/15/30 | 5,395,000 | 6,585,592 | |
American Campus Communities Operating Partnership LP 3.625% 11/15/27 | 5,092,000 | 5,649,094 | |
Boston Properties, Inc.: | |||
3.25% 1/30/31 | 3,050,000 | 3,235,568 | |
3.85% 2/1/23 | 1,175,000 | 1,240,818 | |
4.5% 12/1/28 | 5,210,000 | 6,093,111 | |
Corporate Office Properties LP: | |||
2.25% 3/15/26 | 1,775,000 | 1,820,194 | |
5% 7/1/25 | 3,453,000 | 3,912,952 | |
CTR Partnership LP/CareTrust Capital Corp. 5.25% 6/1/25 | 680,000 | 701,094 | |
Duke Realty LP: | |||
3.25% 6/30/26 | 805,000 | 883,425 | |
3.625% 4/15/23 | 1,382,000 | 1,459,308 | |
ESH Hospitality, Inc. 4.625% 10/1/27 (b) | 1,095,000 | 1,112,104 | |
Global Net Lease, Inc. / Global Net Lease Operating Partnership LP 3.75% 12/15/27 (b) | 275,000 | 274,864 | |
GLP Capital LP/GLP Financing II, Inc.: | |||
5.25% 6/1/25 | 200,000 | 225,644 | |
5.375% 4/15/26 | 8,185,000 | 9,398,508 | |
Healthcare Realty Trust, Inc. 3.875% 5/1/25 | 2,750,000 | 3,008,161 | |
Healthcare Trust of America Holdings LP: | |||
3.1% 2/15/30 | 1,715,000 | 1,817,976 | |
3.5% 8/1/26 | 1,786,000 | 1,975,656 | |
Healthpeak Properties, Inc.: | |||
3% 1/15/30 | 925,000 | 982,311 | |
3.5% 7/15/29 | 887,000 | 979,093 | |
Highwoods/Forsyth LP 3.2% 6/15/21 | 737,000 | 739,306 | |
Hudson Pacific Properties LP: | |||
3.25% 1/15/30 | 1,750,000 | 1,809,418 | |
4.65% 4/1/29 | 10,503,000 | 12,006,861 | |
Kimco Realty Corp. 1.9% 3/1/28 | 815,000 | 814,731 | |
Lexington Corporate Properties Trust: | |||
2.7% 9/15/30 | 894,000 | 899,646 | |
4.4% 6/15/24 | 1,319,000 | 1,434,509 | |
MGM Growth Properties Operating Partnership LP: | |||
4.5% 9/1/26 | 400,000 | 424,000 | |
4.625% 6/15/25 (b) | 65,000 | 68,900 | |
5.625% 5/1/24 | 1,185,000 | 1,279,800 | |
MPT Operating Partnership LP/MPT Finance Corp. 5% 10/15/27 | 650,000 | 692,380 | |
Omega Healthcare Investors, Inc.: | |||
3.375% 2/1/31 | 3,399,000 | 3,483,357 | |
3.625% 10/1/29 | 7,647,000 | 8,024,593 | |
4.375% 8/1/23 | 6,644,000 | 7,172,414 | |
4.5% 1/15/25 | 2,793,000 | 3,042,961 | |
4.5% 4/1/27 | 1,500,000 | 1,662,937 | |
4.75% 1/15/28 | 7,569,000 | 8,441,433 | |
4.95% 4/1/24 | 1,152,000 | 1,263,748 | |
5.25% 1/15/26 | 5,841,000 | 6,636,224 | |
Park Intermediate Holdings LLC 5.875% 10/1/28 (b) | 2,700,000 | 2,844,248 | |
Realty Income Corp.: | |||
3% 1/15/27 | 585,000 | 635,137 | |
3.25% 1/15/31 | 1,177,000 | 1,280,326 | |
Retail Opportunity Investments Partnership LP: | |||
4% 12/15/24 | 877,000 | 932,778 | |
5% 12/15/23 | 626,000 | 672,425 | |
Retail Properties America, Inc.: | |||
4% 3/15/25 | 6,865,000 | 7,223,778 | |
4.75% 9/15/30 | 10,799,000 | 11,671,068 | |
SBA Communications Corp.: | |||
3.125% 2/1/29 (b) | 220,000 | 214,001 | |
3.875% 2/15/27 | 400,000 | 414,612 | |
4.875% 9/1/24 | 200,000 | 205,140 | |
Senior Housing Properties Trust 4.75% 2/15/28 | 2,000,000 | 1,970,000 | |
Service Properties Trust: | |||
4.375% 2/15/30 | 200,000 | 186,000 | |
4.95% 2/15/27 | 485,000 | 480,320 | |
4.95% 10/1/29 | 100,000 | 96,500 | |
5.5% 12/15/27 | 100,000 | 107,753 | |
Simon Property Group LP: | |||
2.45% 9/13/29 | 360,000 | 365,615 | |
3.25% 11/30/26 | 1,070,000 | 1,169,891 | |
3.375% 10/1/24 | 2,120,000 | 2,296,577 | |
3.5% 9/1/25 | 55,000 | 59,941 | |
3.75% 2/1/24 | 275,000 | 297,130 | |
SITE Centers Corp.: | |||
3.625% 2/1/25 | 2,396,000 | 2,498,016 | |
4.25% 2/1/26 | 5,582,000 | 5,983,715 | |
Spirit Realty LP 2.7% 2/15/32 | 2,060,000 | 2,043,603 | |
Store Capital Corp.: | |||
2.75% 11/18/30 | 1,957,000 | 1,952,409 | |
4.625% 3/15/29 | 2,475,000 | 2,815,566 | |
Ventas Realty LP: | |||
3% 1/15/30 | 10,008,000 | 10,477,253 | |
3.125% 6/15/23 | 1,414,000 | 1,486,311 | |
3.25% 10/15/26 | 1,900,000 | 2,055,854 | |
3.85% 4/1/27 | 1,050,000 | 1,172,286 | |
4% 3/1/28 | 2,712,000 | 3,056,164 | |
4.125% 1/15/26 | 1,628,000 | 1,842,164 | |
4.75% 11/15/30 | 13,000,000 | 15,387,378 | |
VEREIT Operating Partnership LP: | |||
2.2% 6/15/28 | 791,000 | 790,920 | |
2.85% 12/15/32 | 1,553,000 | 1,549,397 | |
3.1% 12/15/29 | 2,335,000 | 2,446,171 | |
3.4% 1/15/28 | 1,880,000 | 2,030,770 | |
VICI Properties, Inc.: | |||
3.5% 2/15/25 (b) | 125,000 | 126,719 | |
4.25% 12/1/26 (b) | 670,000 | 691,038 | |
4.625% 12/1/29 (b) | 250,000 | 262,425 | |
Weingarten Realty Investors 3.375% 10/15/22 | 472,000 | 487,009 | |
Welltower, Inc.: | |||
2.7% 2/15/27 | 340,000 | 364,383 | |
2.75% 1/15/31 | 3,560,000 | 3,662,200 | |
Weyerhaeuser Co. 4% 4/15/30 | 1,500,000 | 1,707,083 | |
WP Carey, Inc.: | |||
2.25% 4/1/33 | 2,760,000 | 2,687,316 | |
3.85% 7/15/29 | 1,725,000 | 1,918,276 | |
4% 2/1/25 | 5,544,000 | 6,086,702 | |
4.6% 4/1/24 | 7,436,000 | 8,233,389 | |
228,190,448 | |||
Real Estate Management & Development - 0.2% | |||
Brandywine Operating Partnership LP: | |||
3.95% 2/15/23 | 4,006,000 | 4,202,080 | |
3.95% 11/15/27 | 5,608,000 | 5,905,284 | |
4.1% 10/1/24 | 4,892,000 | 5,259,154 | |
4.55% 10/1/29 | 1,707,000 | 1,870,843 | |
CBRE Group, Inc. 4.875% 3/1/26 | 12,670,000 | 14,750,568 | |
Essex Portfolio LP: | |||
1.7% 3/1/28 | 5,465,000 | 5,383,069 | |
3.875% 5/1/24 | 2,685,000 | 2,919,315 | |
Howard Hughes Corp. 4.125% 2/1/29 (b) | 300,000 | 297,795 | |
Mack-Cali Realty LP: | |||
3.15% 5/15/23 | 3,436,000 | 3,472,569 | |
4.5% 4/18/22 | 644,000 | 657,088 | |
Mattamy Group Corp. 4.625% 3/1/30 (b) | 500,000 | 519,375 | |
Mid-America Apartments LP 4% 11/15/25 | 1,296,000 | 1,447,407 | |
Post Apartment Homes LP 3.375% 12/1/22 | 1,800,000 | 1,872,109 | |
SL Green Realty Corp. 3.25% 10/15/22 | 7,000,000 | 7,263,511 | |
Tanger Properties LP: | |||
3.125% 9/1/26 | 3,497,000 | 3,618,595 | |
3.75% 12/1/24 | 3,352,000 | 3,589,238 | |
3.875% 12/1/23 | 1,492,000 | 1,566,437 | |
3.875% 7/15/27 | 13,369,000 | 14,155,371 | |
Taylor Morrison Communities, Inc./Monarch Communities, Inc.: | |||
5.75% 1/15/28 (b) | 280,000 | 312,200 | |
5.875% 6/15/27 (b) | 1,500,000 | 1,672,500 | |
80,734,508 | |||
TOTAL REAL ESTATE | 308,924,956 | ||
UTILITIES - 0.5% | |||
Electric Utilities - 0.3% | |||
AEP Texas, Inc.: | |||
2.1% 7/1/30 | 550,000 | 553,500 | |
3.8% 10/1/47 | 725,000 | 798,105 | |
AEP Transmission Co. LLC: | |||
3.75% 12/1/47 | 650,000 | 733,018 | |
4% 12/1/46 | 375,000 | 432,369 | |
Alabama Power Co.: | |||
3.75% 3/1/45 | 650,000 | 725,523 | |
3.85% 12/1/42 | 700,000 | 793,298 | |
4.1% 1/15/42 | 225,000 | 254,853 | |
Alliant Energy Finance LLC 1.4% 3/15/26 (b) | 2,300,000 | 2,283,555 | |
Arizona Public Service Co. 2.6% 8/15/29 | 340,000 | 361,495 | |
CenterPoint Energy Houston Electric LLC 3.95% 3/1/48 | 1,135,000 | 1,328,529 | |
Clearway Energy Operating LLC: | |||
4.75% 3/15/28 (b) | 60,000 | 64,125 | |
5% 9/15/26 | 520,000 | 535,600 | |
Cleco Corporate Holdings LLC 3.375% 9/15/29 | 4,448,000 | 4,608,611 | |
Commonwealth Edison Co.: | |||
3.7% 8/15/28 | 250,000 | 286,820 | |
3.7% 3/1/45 | 315,000 | 350,033 | |
4.35% 11/15/45 | 205,000 | 249,237 | |
Dominion Energy South Carolina: | |||
5.1% 6/1/65 | 520,000 | 737,307 | |
5.45% 2/1/41 | 35,000 | 47,051 | |
DPL, Inc. 4.35% 4/15/29 | 2,480,000 | 2,758,182 | |
DTE Electric Co.: | |||
2.25% 3/1/30 | 150,000 | 154,588 | |
3.75% 8/15/47 | 900,000 | 1,021,115 | |
Duke Energy Carolinas LLC: | |||
2.95% 12/1/26 | 370,000 | 403,973 | |
4% 9/30/42 | 1,400,000 | 1,622,583 | |
4.25% 12/15/41 | 1,450,000 | 1,721,879 | |
6.1% 6/1/37 | 775,000 | 1,075,026 | |
Duke Energy Florida LLC 6.35% 9/15/37 | 675,000 | 967,877 | |
Duquesne Light Holdings, Inc. 5.9% 12/1/21 (b) | 8,875,000 | 9,191,911 | |
Entergy Louisiana LLC 2.4% 10/1/26 | 1,070,000 | 1,136,253 | |
Entergy, Inc. 1.75% 3/15/31 | 1,475,000 | 1,436,851 | |
Eskom Holdings SOC Ltd. 6.75% 8/6/23 (b) | 500,000 | 522,250 | |
Evergy Kansas Central 4.125% 3/1/42 | 655,000 | 751,768 | |
Eversource Energy 1.65% 8/15/30 | 520,000 | 501,714 | |
Exelon Corp.: | |||
4.05% 4/15/30 | 2,274,000 | 2,604,053 | |
4.7% 4/15/50 | 1,013,000 | 1,261,977 | |
5.625% 6/15/35 | 150,000 | 197,451 | |
FirstEnergy Corp.: | |||
3.4% 3/1/50 | 3,431,000 | 3,122,210 | |
4.25% 3/15/23 | 12,580,000 | 13,318,823 | |
7.375% 11/15/31 | 9,948,000 | 13,682,280 | |
Florida Power & Light Co. 5.25% 2/1/41 | 150,000 | 204,009 | |
Fortis, Inc. 3.055% 10/4/26 | 301,000 | 325,868 | |
Hydro-Quebec 8.05% 7/7/24 | 1,455,000 | 1,808,943 | |
InterGen NV 7% 6/30/23 (b) | 230,000 | 223,100 | |
IPALCO Enterprises, Inc. 3.7% 9/1/24 | 2,644,000 | 2,871,254 | |
Jersey Central Power & Light Co. 4.3% 1/15/26 (b) | 2,000,000 | 2,211,502 | |
Louisville Gas & Electric Co. 5.125% 11/15/40 | 345,000 | 431,732 | |
Mong Duong Finance Holdings BV 5.125% 5/7/29 (Reg. S) | 250,000 | 254,688 | |
NextEra Energy Capital Holdings, Inc.: | |||
3 month U.S. LIBOR + 0.270% 0.4524% 2/22/23 (e)(f) | 5,000,000 | 5,001,750 | |
2.25% 6/1/30 | 840,000 | 848,004 | |
2.75% 11/1/29 | 1,450,000 | 1,520,158 | |
NextEra Energy Partners LP 4.25% 9/15/24 (b) | 27,000 | 28,620 | |
Northern States Power Co.: | |||
3.6% 9/15/47 | 20,000 | 22,409 | |
6.25% 6/1/36 | 370,000 | 536,704 | |
NRG Energy, Inc.: | |||
2% 12/2/25 (b) | 3,120,000 | 3,146,136 | |
3.375% 2/15/29 (b) | 45,000 | 44,545 | |
3.625% 2/15/31 (b) | 645,000 | 635,325 | |
5.75% 1/15/28 | 245,000 | 260,313 | |
6.625% 1/15/27 | 400,000 | 415,952 | |
Ohio Power Co. 4% 6/1/49 | 680,000 | 787,509 | |
Pacific Gas & Electric Co.: | |||
1.75% 6/16/22 | 1,025,000 | 1,027,746 | |
3.95% 12/1/47 | 1,100,000 | 1,065,852 | |
4.5% 7/1/40 | 445,000 | 475,682 | |
4.95% 7/1/50 | 785,000 | 850,527 | |
PacifiCorp: | |||
5.25% 6/15/35 | 1,375,000 | 1,826,979 | |
5.75% 4/1/37 | 900,000 | 1,219,393 | |
Pattern Energy Operations LP 4.5% 8/15/28 (b) | 90,000 | 93,646 | |
PECO Energy Co.: | |||
2.8% 6/15/50 | 360,000 | 348,877 | |
3.9% 3/1/48 | 635,000 | 735,764 | |
PG&E Corp.: | |||
5% 7/1/28 | 1,155,000 | 1,214,194 | |
5.25% 7/1/30 | 735,000 | 786,230 | |
PPL Capital Funding, Inc.: | |||
4.125% 4/15/30 | 400,000 | 462,452 | |
4.7% 6/1/43 | 1,315,000 | 1,551,045 | |
PPL Electric Utilities Corp.: | |||
4.125% 6/15/44 | 450,000 | 528,840 | |
4.15% 10/1/45 | 555,000 | 645,671 | |
6.25% 5/15/39 | 250,000 | 357,445 | |
Public Service Electric & Gas Co.: | |||
3.6% 12/1/47 | 260,000 | 289,467 | |
3.65% 9/1/28 | 685,000 | 774,511 | |
3.65% 9/1/42 | 125,000 | 140,268 | |
3.95% 5/1/42 | 405,000 | 470,732 | |
Puget Sound Energy, Inc. 5.764% 7/15/40 | 285,000 | 387,872 | |
Southern California Edison Co.: | |||
3.5% 10/1/23 | 675,000 | 722,497 | |
3.6% 2/1/45 | 2,110,000 | 2,140,721 | |
3.9% 12/1/41 | 120,000 | 123,967 | |
5.55% 1/15/37 | 430,000 | 531,038 | |
Tampa Electric Co. 4.45% 6/15/49 | 600,000 | 738,588 | |
Virginia Electric & Power Co.: | |||
6% 1/15/36 | 470,000 | 656,072 | |
6% 5/15/37 | 950,000 | 1,323,408 | |
Vistra Operations Co. LLC: | |||
3.7% 1/30/27 (b) | 2,900,000 | 3,142,396 | |
5% 7/31/27 (b) | 195,000 | 204,019 | |
5.5% 9/1/26 (b) | 770,000 | 798,875 | |
5.625% 2/15/27 (b) | 625,000 | 653,125 | |
Wisconsin Power & Light Co. 4.1% 10/15/44 | 240,000 | 274,663 | |
Xcel Energy, Inc. 4% 6/15/28 | 2,450,000 | 2,786,294 | |
123,523,170 | |||
Gas Utilities - 0.0% | |||
AmeriGas Partners LP/AmeriGas Finance Corp.: | |||
5.75% 5/20/27 | 679,000 | 764,961 | |
5.875% 8/20/26 | 5,200,000 | 5,863,000 | |
Atmos Energy Corp. 3.375% 9/15/49 | 520,000 | 540,673 | |
Nakilat, Inc. 6.067% 12/31/33 (b) | 666,000 | 839,993 | |
Southern Co. Gas Capital Corp. 4.4% 6/1/43 | 440,000 | 501,006 | |
Southern Natural Gas Co./Southern Natural Issuing Corp. 4.4% 6/15/21 | 527,000 | 528,483 | |
9,038,116 | |||
Independent Power and Renewable Electricity Producers - 0.1% | |||
Calpine Corp.: | |||
5% 2/1/31 (b) | 1,025,000 | 1,014,463 | |
5.125% 3/15/28 (b) | 1,375,000 | 1,381,875 | |
PSEG Power LLC 3.85% 6/1/23 | 3,300,000 | 3,537,496 | |
TerraForm Power Operating LLC 5% 1/31/28 (b) | 645,000 | 712,725 | |
The AES Corp.: | |||
3.3% 7/15/25 (b) | 10,697,000 | 11,468,937 | |
3.95% 7/15/30 (b) | 9,327,000 | 10,189,654 | |
28,305,150 | |||
Multi-Utilities - 0.1% | |||
Ameren Illinois Co.: | |||
4.15% 3/15/46 | 835,000 | 992,824 | |
4.5% 3/15/49 | 295,000 | 371,739 | |
Berkshire Hathaway Energy Co.: | |||
3.7% 7/15/30 (b) | 1,280,000 | 1,453,821 | |
4.05% 4/15/25 (b) | 16,081,000 | 17,922,921 | |
6.125% 4/1/36 | 3,050,000 | 4,266,689 | |
CenterPoint Energy, Inc. 2.95% 3/1/30 | 25,000 | 26,225 | |
Consolidated Edison Co. of New York, Inc.: | |||
3.7% 11/15/59 | 1,650,000 | 1,780,827 | |
3.95% 4/1/50 | 1,808,000 | 2,049,643 | |
4.3% 12/1/56 | 300,000 | 348,292 | |
Dominion Energy, Inc. 7% 6/15/38 | 150,000 | 222,034 | |
DTE Energy Co. 3.8% 3/15/27 | 1,010,000 | 1,141,704 | |
Empresas Publicas de Medellin 4.375% 2/15/31 (Reg. S) | 400,000 | 408,000 | |
NiSource, Inc.: | |||
2.95% 9/1/29 | 11,346,000 | 12,012,269 | |
4.8% 2/15/44 | 190,000 | 231,989 | |
5.95% 6/15/41 | 640,000 | 858,312 | |
NorthWestern Energy Corp. 4.176% 11/15/44 | 260,000 | 297,612 | |
Puget Energy, Inc.: | |||
3.65% 5/15/25 | 324,000 | 353,286 | |
4.1% 6/15/30 | 5,059,000 | 5,649,360 | |
5.625% 7/15/22 | 4,555,000 | 4,799,619 | |
6% 9/1/21 | 4,353,000 | 4,471,901 | |
San Diego Gas & Electric Co.: | |||
3.32% 4/15/50 | 910,000 | 950,496 | |
3.6% 9/1/23 | 100,000 | 107,116 | |
3.75% 6/1/47 | 710,000 | 796,177 | |
Sempra Energy 4% 2/1/48 | 390,000 | 431,056 | |
WEC Energy Group, Inc. 3 month U.S. LIBOR + 2.110% 2.3063% 5/15/67 (e)(f) | 1,012,000 | 932,980 | |
62,876,892 | |||
TOTAL UTILITIES | 223,743,328 | ||
TOTAL NONCONVERTIBLE BONDS | |||
(Cost $4,200,533,357) | 4,479,000,389 | ||
U.S. Government and Government Agency Obligations - 8.4% | |||
U.S. Government Agency Obligations - 0.0% | |||
Fannie Mae: | |||
0.5% 6/17/25 | $1,685,000 | $1,678,488 | |
0.625% 4/22/25 | 1,625,000 | 1,628,634 | |
0.75% 10/8/27 | 980,000 | 956,058 | |
0.875% 8/5/30 | 705,000 | 665,301 | |
1.625% 10/15/24 | 1,295,000 | 1,351,713 | |
1.625% 1/7/25 | 705,000 | 736,369 | |
1.875% 9/24/26 | 355,000 | 374,057 | |
2% 10/5/22 | 430,000 | 442,890 | |
2.5% 2/5/24 | 665,000 | 707,655 | |
2.875% 9/12/23 | 505,000 | 538,177 | |
6.25% 5/15/29 | 255,000 | 351,919 | |
6.625% 11/15/30 | 670,000 | 979,211 | |
Federal Home Loan Bank: | |||
3% 10/12/21 | 1,165,000 | 1,185,760 | |
3.25% 11/16/28 | 1,815,000 | 2,082,606 | |
Freddie Mac: | |||
0.375% 4/20/23 | 885,000 | 889,601 | |
0.375% 5/5/23 | 3,065,000 | 3,079,717 | |
6.25% 7/15/32 | 40,000 | 59,600 | |
Tennessee Valley Authority: | |||
0.75% 5/15/25 | 845,000 | 845,936 | |
2.875% 2/1/27 | 1,320,000 | 1,465,484 | |
5.25% 9/15/39 | 150,000 | 214,280 | |
7.125% 5/1/30 | 460,000 | 684,662 | |
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 20,918,118 | ||
U.S. Treasury Obligations - 8.4% | |||
U.S. Treasury Bills, yield at date of purchase 0.03% to 0.06% 4/1/21 to 8/12/21 | 577,000,000 | 576,908,286 | |
U.S. Treasury Bonds: | |||
1.25% 5/15/50 | 237,700,000 | 191,961,319 | |
1.375% 11/15/40 | 43,895,000 | 39,258,591 | |
1.375% 8/15/50 | 256,365,000 | 214,024,718 | |
1.625% 11/15/50 | 29,450,000 | 26,187,492 | |
1.875% 2/15/41 | 2,500,000 | 2,446,484 | |
1.875% 2/15/51 | 68,330,000 | 64,699,969 | |
3% 11/15/44 | 1,780,000 | 2,086,355 | |
3% 2/15/47 | 16,720,000 | 19,756,378 | |
3.625% 8/15/43 | 47,280,000 | 60,869,306 | |
3.625% 2/15/44 | 2,660,000 | 3,429,322 | |
3.75% 11/15/43 | 19,495,000 | 25,565,865 | |
6.25% 8/15/23 | 11,080,000 | 12,731,613 | |
stripped coupon: | |||
0% 2/15/29 | 1,020,000 | 915,090 | |
0% 2/15/36 | 1,100,000 | 822,279 | |
0% 11/15/36 | 1,975,000 | 1,445,275 | |
0% 5/15/39 | 5,425,000 | 3,695,993 | |
0% 8/15/39 | 8,745,000 | 5,920,405 | |
0% 8/15/40 | 22,665,000 | 14,965,507 | |
0% 2/15/41 | 590,000 | 384,526 | |
0% 11/15/41 | 850,000 | 540,316 | |
0% 5/15/42 | 2,635,000 | 1,661,316 | |
0% 8/15/42 | 490,000 | 306,290 | |
0% 11/15/42 | 1,280,000 | 792,338 | |
stripped principal 0% 8/15/47 | 6,300,000 | 3,529,685 | |
U.S. Treasury Notes: | |||
0.125% 6/30/22 | 309,500,000 | 309,608,808 | |
0.125% 9/30/22 | 340,000 | 340,027 | |
0.125% 11/30/22 | 1,110,000 | 1,110,000 | |
0.125% 12/31/22 | 214,595,000 | 214,586,618 | |
0.125% 1/31/23 | 495,340,000 | 495,281,951 | |
0.125% 9/15/23 | 34,020,000 | 33,948,239 | |
0.125% 2/15/24 | 14,795,000 | 14,730,272 | |
0.25% 9/30/25 | 41,555,000 | 40,814,802 | |
0.375% 4/30/25 | 33,015,000 | 32,778,994 | |
0.375% 12/31/25 | 169,575,000 | 166,991,630 | |
0.375% 1/31/26 | 205,400,000 | 202,062,250 | |
0.5% 3/15/23 | 35,430,000 | 35,683,269 | |
0.5% 2/28/26 | 447,000 | 442,320 | |
0.75% 1/31/28 | 9,035,000 | 8,821,830 | |
0.875% 11/15/30 | 168,992,000 | 161,123,310 | |
1.125% 8/31/21 | 9,000,000 | 9,047,461 | |
1.125% 2/15/31 | 106,999,000 | 104,374,181 | |
1.375% 2/15/23 | 7,940,000 | 8,132,297 | |
1.625% 11/15/22 | 42,535,000 | 43,619,975 | |
1.625% 4/30/23 | 21,075,000 | 21,739,357 | |
1.75% 9/30/22 | 15,955,000 | 16,363,847 | |
1.875% 4/30/22 | 33,665,000 | 34,360,656 | |
1.875% 9/30/22 | 1,213,000 | 1,246,594 | |
2% 10/31/22 | 39,230,000 | 40,452,873 | |
2% 2/15/25 | 10,415,000 | 11,027,695 | |
2% 8/15/25 | 6,760,000 | 7,176,163 | |
2.125% 6/30/22 | 20,330,000 | 20,872,398 | |
2.125% 7/31/24 | 41,955,000 | 44,455,912 | |
2.125% 5/15/25 | 33,680,000 | 35,899,459 | |
2.625% 2/15/29 | 23,255,000 | 25,742,195 | |
2.875% 5/15/28 | 43,880,000 | 49,188,451 | |
3.125% 11/15/28 | 5,540,000 | 6,328,152 | |
TOTAL U.S. TREASURY OBLIGATIONS | 3,473,256,704 | ||
Other Government Related - 0.0% | |||
Private Export Funding Corp. Secured 3.55% 1/15/24 | 755,000 | 820,061 | |
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | |||
(Cost $3,555,335,680) | 3,494,994,883 | ||
U.S. Government Agency - Mortgage Securities - 8.9% | |||
Fannie Mae - 2.2% | |||
12 month U.S. LIBOR + 1.550% 2.553% 6/1/36 (e)(f) | 3,951 | 4,156 | |
12 month U.S. LIBOR + 1.820% 3.111% 2/1/35 (e)(f) | 77,527 | 81,533 | |
12 month U.S. LIBOR + 1.950% 2.806% 7/1/37 (e)(f) | 8,265 | 8,767 | |
2% 8/1/31 to 2/1/51 | 31,228,744 | 31,847,479 | |
2.5% 6/1/28 to 10/1/50 (g) | 92,847,076 | 96,887,977 | |
3% 2/1/27 to 9/1/50 (h)(i)(j) | 333,189,586 | 354,647,422 | |
3.5% 9/1/26 to 5/1/50 (g)(h)(i)(j) | 148,282,568 | 160,517,450 | |
4% 11/1/31 to 11/1/49 | 127,963,007 | 140,458,936 | |
4.5% 6/1/24 to 9/1/49 (j) | 55,672,643 | 61,874,533 | |
5% 6/1/24 to 2/1/49 | 37,418,134 | 42,437,068 | |
5.255% 8/1/41 (e) | 316,287 | 358,474 | |
5.5% 11/1/36 to 1/1/40 | 2,000,387 | 2,334,634 | |
6% to 6% 2/1/34 to 1/1/42 (g)(h)(i) | 12,206,936 | 14,432,017 | |
6.5% 2/1/36 | 1,357 | 1,619 | |
6.582% 2/1/39 (e) | 239,027 | 265,258 | |
TOTAL FANNIE MAE | 906,157,323 | ||
Freddie Mac - 1.5% | |||
6 month U.S. LIBOR + 2.680% 2.933% 10/1/35 (e)(f) | 4,030 | 4,247 | |
2% 1/1/32 to 2/1/51 | 26,839,218 | 27,166,164 | |
2.5% 3/1/28 to 11/1/50 | 57,537,931 | 60,081,279 | |
3% 10/1/28 to 8/1/50 | 183,545,508 | 195,780,224 | |
3.5% 8/1/26 to 5/1/49 (j) | 170,271,927 | 184,547,747 | |
3.5% 8/1/47 | 8,186,060 | 8,829,702 | |
4% 6/1/33 to 6/1/48 | 84,461,184 | 92,670,919 | |
4.5% 7/1/25 to 12/1/48 | 31,475,060 | 34,900,736 | |
5% 10/1/33 to 12/1/47 | 5,711,185 | 6,531,653 | |
6% 7/1/37 to 9/1/38 | 151,391 | 180,301 | |
6.5% 9/1/39 | 439,186 | 527,804 | |
TOTAL FREDDIE MAC | 611,220,776 | ||
Ginnie Mae - 2.4% | |||
3.5% 9/20/40 to 8/20/50 | 112,202,864 | 120,566,190 | |
4.5% 5/15/39 to 3/20/49 | 50,140,425 | 55,417,877 | |
5.5% 6/15/36 to 3/20/41 | 181,605 | 209,914 | |
2% 12/20/50 to 2/20/51 | 6,885,445 | 7,000,056 | |
2% 3/1/51 (c) | 6,200,000 | 6,296,293 | |
2% 3/1/51 (c) | 6,500,000 | 6,600,952 | |
2% 3/1/51 (c) | 3,700,000 | 3,757,465 | |
2% 3/1/51 (c) | 3,100,000 | 3,148,146 | |
2% 3/1/51 (c) | 3,650,000 | 3,706,689 | |
2% 3/1/51 (c) | 3,950,000 | 4,011,348 | |
2% 3/1/51 (c) | 8,600,000 | 8,733,567 | |
2% 3/1/51 (c) | 3,200,000 | 3,249,700 | |
2% 3/1/51 (c) | 4,550,000 | 4,620,667 | |
2% 3/1/51 (c) | 6,050,000 | 6,143,963 | |
2% 3/1/51 (c) | 9,050,000 | 9,190,556 | |
2% 3/1/51 (c) | 1,450,000 | 1,472,520 | |
2% 3/1/51 (c) | 2,100,000 | 2,132,615 | |
2% 3/1/51 (c) | 3,550,000 | 3,605,135 | |
2% 3/1/51 (c) | 5,350,000 | 5,433,091 | |
2% 3/1/51 (c) | 7,500,000 | 7,616,483 | |
2% 3/1/51 (c) | 4,200,000 | 4,265,231 | |
2% 3/1/51 (c) | 4,800,000 | 4,874,549 | |
2% 4/1/51 (c) | 14,900,000 | 15,100,566 | |
2% 4/1/51 (c) | 7,450,000 | 7,550,283 | |
2% 4/1/51 (c) | 10,600,000 | 10,742,684 | |
2% 4/1/51 (c) | 5,300,000 | 5,371,342 | |
2% 4/1/51 (c) | 28,850,000 | 29,238,344 | |
2% 4/1/51 (c) | 34,500,000 | 34,964,398 | |
2% 4/1/51 (c) | 41,675,000 | 42,235,979 | |
2.5% 8/20/46 to 12/20/50 | 28,427,220 | 29,575,865 | |
2.5% 3/1/51 (c) | 2,200,000 | 2,284,597 | |
2.5% 3/1/51 (c) | 9,700,000 | 10,072,998 | |
2.5% 3/1/51 (c) | 4,900,000 | 5,088,422 | |
2.5% 3/1/51 (c) | 3,200,000 | 3,323,051 | |
2.5% 3/1/51 (c) | 1,550,000 | 1,609,603 | |
2.5% 3/1/51 (c) | 5,500,000 | 5,711,494 | |
2.5% 3/1/51 (c) | 1,650,000 | 1,713,448 | |
2.5% 3/1/51 (c) | 17,850,000 | 18,536,393 | |
2.5% 3/1/51 (c) | 11,200,000 | 11,630,678 | |
2.5% 3/1/51 (c) | 3,900,000 | 4,049,968 | |
2.5% 4/1/51 (c) | 5,500,000 | 5,699,248 | |
2.5% 4/1/51 (c) | 9,300,000 | 9,636,910 | |
2.5% 4/1/51 (c) | 9,700,000 | 10,051,401 | |
2.5% 4/1/51 (c) | 3,000,000 | 3,108,681 | |
2.5% 4/1/51 (c) | 21,025,000 | 21,786,671 | |
2.5% 4/1/51(c) | 18,900,000 | 19,584,688 | |
2.5% 4/1/51 (c) | 20,300,000 | 21,035,406 | |
2.5% 4/1/51 (c) | 19,000,000 | 19,688,311 | |
2.5% 4/1/51 (c) | 16,775,000 | 17,382,706 | |
3% 8/20/42 to 11/20/50 | 131,217,619 | 137,595,734 | |
3% 3/1/51 (c) | 3,100,000 | 3,229,509 | |
3% 3/1/51 (c) | 2,700,000 | 2,812,798 | |
3% 3/1/51 (c) | 9,700,000 | 10,105,238 | |
3% 3/1/51 (c) | 7,750,000 | 8,073,773 | |
3% 3/1/51 (c) | 2,300,000 | 2,396,087 | |
3% 3/1/51 (c) | 7,000,000 | 7,292,440 | |
3% 3/1/51 (c) | 4,450,000 | 4,635,908 | |
3% 3/1/51 (c) | 5,600,000 | 5,833,952 | |
3% 3/1/51 (c) | 1,750,000 | 1,823,110 | |
3% 3/1/51 (c) | 4,900,000 | 5,104,708 | |
3% 3/1/51 (c) | 6,900,000 | 7,188,262 | |
3% 3/1/51 (c) | 6,100,000 | 6,354,840 | |
3% 3/1/51 (c) | 4,900,000 | 5,104,708 | |
3% 3/1/51 (c) | 5,100,000 | 5,313,063 | |
4% 5/20/40 to 5/20/49 | 119,584,666 | 130,704,094 | |
5% 6/20/34 to 6/20/48 | 20,638,479 | 23,037,201 | |
TOTAL GINNIE MAE | 1,005,432,567 | ||
Uniform Mortgage Backed Securities - 2.8% | |||
1.5% 3/1/36 (c) | 4,500,000 | 4,557,640 | |
1.5% 3/1/36 (c) | 7,700,000 | 7,798,628 | |
1.5% 3/1/36 (c) | 3,700,000 | 3,747,393 | |
1.5% 3/1/36 (c) | 1,475,000 | 1,493,893 | |
1.5% 3/1/36 (c) | 1,250,000 | 1,266,011 | |
1.5% 3/1/36 (c) | 4,600,000 | 4,658,920 | |
1.5% 3/1/36 (c) | 3,650,000 | 3,696,752 | |
1.5% 3/1/36 (c) | 3,950,000 | 4,000,595 | |
1.5% 3/1/36 (c) | 1,250,000 | 1,266,011 | |
1.5% 3/1/36 (c) | 1,350,000 | 1,367,292 | |
1.5% 4/1/36 (c) | 16,600,000 | 16,784,094 | |
1.5% 4/1/36 (c) | 3,275,000 | 3,311,320 | |
1.5% 4/1/36 (c) | 17,475,000 | 17,668,798 | |
1.5% 4/1/36 (c) | 14,275,000 | 14,433,310 | |
1.5% 4/1/36 (c) | 3,975,000 | 4,019,083 | |
1.5% 3/1/51 (c) | 8,000,000 | 7,865,811 | |
1.5% 3/1/51(c) | 2,500,000 | 2,458,066 | |
1.5% 4/1/51 (c) | 18,250,000 | 17,906,099 | |
2% 4/1/36 (c) | 5,225,000 | 5,399,333 | |
2% 4/1/36 (c) | 12,425,000 | 12,839,563 | |
2% 4/1/36 (c) | 13,050,000 | 13,485,416 | |
2% 4/1/36 (c) | 6,725,000 | 6,949,381 | |
2% 4/1/36 (c) | 15,925,000 | 16,456,341 | |
2% 3/1/51 (c) | 3,700,000 | 3,735,222 | |
2% 3/1/51 (c) | 4,800,000 | 4,845,694 | |
2% 3/1/51 (c) | 3,550,000 | 3,583,794 | |
2% 3/1/51 (c) | 4,200,000 | 4,239,982 | |
2% 3/1/51 (c) | 9,050,000 | 9,136,151 | |
2% 3/1/51 (c) | 3,100,000 | 3,129,510 | |
2% 3/1/51 (c) | 3,700,000 | 3,735,222 | |
2% 3/1/51 (c) | 8,000,000 | 8,076,156 | |
2% 3/1/51 (c) | 3,200,000 | 3,230,462 | |
2% 3/1/51 (c) | 5,400,000 | 5,451,405 | |
2% 3/1/51 (c) | 5,500,000 | 5,552,357 | |
2% 3/1/51 (c) | 5,400,000 | 5,451,405 | |
2% 3/1/51 (c) | 14,400,000 | 14,537,081 | |
2% 3/1/51 (c) | 8,400,000 | 8,479,964 | |
2% 3/1/51 (c) | 2,600,000 | 2,624,751 | |
2% 3/1/51 (c) | 5,300,000 | 5,350,453 | |
2% 3/1/51 (c) | 3,100,000 | 3,129,510 | |
2% 3/1/51 (c) | 25,325,000 | 25,566,081 | |
2% 3/1/51 (c) | 11,925,000 | 12,038,520 | |
2% 3/1/51 (c) | 16,050,000 | 16,202,788 | |
2% 3/1/51 (c) | 1,700,000 | 1,716,183 | |
2% 4/1/51 (c) | 11,000,000 | 11,081,081 | |
2% 4/1/51 (c) | 8,600,000 | 8,663,391 | |
2% 4/1/51 (c) | 17,600,000 | 17,729,730 | |
2% 4/1/51 (c) | 15,150,000 | 15,261,671 | |
2% 4/1/51 (c) | 17,600,000 | 17,729,730 | |
2% 4/1/51 (c) | 15,150,000 | 15,261,671 | |
2% 4/1/51 (c) | 10,350,000 | 10,426,290 | |
2% 4/1/51 (c) | 20,625,000 | 20,777,027 | |
2% 4/1/51 (c) | 11,975,000 | 12,063,268 | |
2% 4/1/51 (c) | 3,175,000 | 3,198,403 | |
2% 4/1/51 (c) | 26,550,000 | 26,745,700 | |
2% 4/1/51 (c) | 12,450,000 | 12,541,769 | |
2% 4/1/51 (c) | 34,075,000 | 34,326,167 | |
2% 4/1/51 (c) | 4,125,000 | 4,155,405 | |
2% 4/1/51 (c) | 6,225,000 | 6,270,884 | |
2% 4/1/51 (c) | 32,525,000 | 32,764,742 | |
2% 4/1/51 (c) | 3,700,000 | 3,727,273 | |
2% 4/1/51 (c) | 6,225,000 | 6,270,884 | |
2% 4/1/51 (c) | 1,700,000 | 1,712,531 | |
2% 4/1/51 (c) | 16,700,000 | 16,823,096 | |
2% 4/1/51 (c) | 11,800,000 | 11,886,978 | |
2% 4/1/51 (c) | 21,925,000 | 22,086,609 | |
2% 4/1/51 (c) | 10,800,000 | 10,879,607 | |
2% 4/1/51 (c) | 27,925,000 | 28,130,835 | |
2.5% 3/1/51 (c) | 6,300,000 | 6,532,805 | |
2.5% 3/1/51 (c) | 6,400,000 | 6,636,500 | |
2.5% 3/1/51 (c) | 1,900,000 | 1,970,211 | |
2.5% 3/1/51 (c) | 6,250,000 | 6,480,957 | |
2.5% 3/1/51 (c) | 6,750,000 | 6,999,433 | |
2.5% 3/1/51 (c) | 11,800,000 | 12,236,047 | |
2.5% 3/1/51 (c) | 8,800,000 | 9,125,187 | |
2.5% 3/1/51 (c) | 3,200,000 | 3,318,250 | |
2.5% 3/1/51 (c) | 23,100,000 | 23,953,617 | |
2.5% 3/1/51 (c) | 4,900,000 | 5,081,070 | |
2.5% 3/1/51 (c) | 2,000,000 | 2,073,906 | |
2.5% 3/1/51 (c) | 1,800,000 | 1,866,516 | |
2.5% 3/1/51 (c) | 4,275,000 | 4,432,975 | |
2.5% 3/1/51 (c) | 11,200,000 | 11,613,875 | |
2.5% 3/1/51 (c) | 17,850,000 | 18,509,613 | |
2.5% 3/1/51 (c) | 725,000 | 751,791 | |
2.5% 3/1/51 (c) | 5,500,000 | 5,703,242 | |
2.5% 4/1/51 (c) | 5,000,000 | 5,173,828 | |
2.5% 4/1/51 (c) | 7,000,000 | 7,243,359 | |
2.5% 4/1/51 (c) | 3,500,000 | 3,621,680 | |
2.5% 4/1/51 (c) | 12,000,000 | 12,417,187 | |
2.5% 4/1/51 (c) | 11,650,000 | 12,055,019 | |
2.5% 4/1/51 (c) | 12,500,000 | 12,934,570 | |
2.5% 4/1/51 (c) | 65,225,000 | 67,492,586 | |
3% 3/1/51 (c) | 3,200,000 | 3,350,875 | |
3% 3/1/51 (c) | 4,100,000 | 4,293,308 | |
3% 3/1/51 (c) | 4,400,000 | 4,607,453 | |
3% 3/1/51 (c) | 4,900,000 | 5,131,027 | |
3% 3/1/51 (c) | 16,150,000 | 16,911,447 | |
3% 3/1/51 (c) | 6,550,000 | 6,858,822 | |
3% 3/1/51 (c) | 20,100,000 | 21,047,683 | |
3% 3/1/51 (c) | 8,150,000 | 8,534,259 | |
3% 3/1/51 (c) | 4,900,000 | 5,131,027 | |
3% 3/1/51 (c) | 12,075,000 | 12,644,317 | |
3% 3/1/51 (c) | 6,850,000 | 7,172,967 | |
3% 3/1/51 (c) | 10,500,000 | 10,995,058 | |
3% 3/1/51 (c) | 3,600,000 | 3,769,734 | |
3% 3/1/51 (c) | 5,550,000 | 5,811,674 | |
3% 3/1/51 (c) | 3,300,000 | 3,455,590 | |
3% 3/1/51 (c) | 4,100,000 | 4,293,308 | |
3% 3/1/51 (c) | 3,400,000 | 3,560,305 | |
3% 3/1/51 (c) | 6,925,000 | 7,251,503 | |
3% 3/1/51 (c) | 4,000,000 | 4,188,594 | |
3% 3/1/51 (c) | 7,700,000 | 8,063,043 | |
3% 3/1/51 (c) | 1,200,000 | 1,256,578 | |
3% 3/1/51 (c) | 12,700,000 | 13,298,785 | |
3% 4/1/51 (c) | 8,850,000 | 9,268,646 | |
3% 4/1/51 (c) | 9,200,000 | 9,635,202 | |
3% 4/1/51 (c) | 14,000,000 | 14,662,264 | |
3% 4/1/51 (c) | 14,600,000 | 15,290,647 | |
3% 4/1/51 (c) | 7,925,000 | 8,299,889 | |
3% 4/1/51 (c) | 17,775,000 | 18,615,839 | |
3% 4/1/51 (c) | 6,400,000 | 6,702,749 | |
3% 4/1/51 (c) | 13,700,000 | 14,348,073 | |
3.5% 3/1/51 (c) | 1,125,000 | 1,193,467 | |
3.5% 3/1/51 (c) | 50,000 | 53,043 | |
3.5% 3/1/51 (c) | 50,000 | 53,043 | |
3.5% 3/1/51 (c) | 25,000 | 26,521 | |
TOTAL UNIFORM MORTGAGE BACKED SECURITIES | 1,181,758,147 | ||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES | |||
(Cost $3,653,578,210) | 3,704,568,813 | ||
Asset-Backed Securities - 1.8% | |||
AASET Trust: | |||
Series 2018-1A Class A, 3.844% 1/16/38 (b) | $3,062,458 | $3,046,749 | |
Series 2019-1 Class A, 3.844% 5/15/39 (b) | 5,091,419 | 5,138,820 | |
Series 2019-2: | |||
Class A, 3.376% 10/16/39 (b) | 7,673,650 | 7,718,755 | |
Class B, 4.458% 10/16/39 (b) | 1,399,951 | 1,318,857 | |
Accredited Mortgage Loan Trust Series 2006-1 Class M1, 1 month U.S. LIBOR + 0.330% 0.625% 4/25/36 (e)(f) | 2,414,000 | 2,237,801 | |
Aegis Asset Backed Securities Trust Series 2005-5 Class M1, 1 month U.S. LIBOR + 0.640% 0.5476% 12/25/35 (f) | 11,165,000 | 10,944,181 | |
Affirm, Inc. Series 2021-A Class A, 0.88% 8/15/25 (b) | 2,207,000 | 2,208,866 | |
Aimco Series 2019-10A Class A, 3 month U.S. LIBOR + 1.320% 1.5424% 7/22/32 (b)(e)(f) | 10,856,000 | 10,863,914 | |
AIMCO CLO Ltd. Series 2020-11A Class A1, 3 month U.S. LIBOR + 1.380% 1.6046% 10/15/31 (b)(e)(f) | 5,211,000 | 5,221,083 | |
Allegany Park CLO, Ltd. / Allegany Series 2020-1A Class A, 3 month U.S. LIBOR + 1.330% 1.554% 1/20/33 (b)(e)(f) | 3,880,000 | 3,892,203 | |
Ameriquest Mortgage Securities, Inc. Series 2004-R10 Class M3, 1 month U.S. LIBOR + 1.200% 1.3176% 11/25/34 (e)(f) | 3,108,480 | 3,062,788 | |
AMSR Trust Series 2019-SFR1 Class A, 2.774% 1/19/39 (b) | 700,000 | 729,560 | |
Apollo Aviation Securitization Equity Trust Series 2020-1A: | |||
Class A, 3.351% 1/16/40 (b) | 3,654,462 | 3,654,799 | |
Class B, 4.335% 1/16/40 (b) | 609,253 | 573,133 | |
Ares CLO Series 2019-54A Class A, 3 month U.S. LIBOR + 1.320% 1.5613% 10/15/32 (b)(e)(f) | 7,102,000 | 7,116,694 | |
Ares LV CLO Ltd. Series 2020-55A Class A1, 3 month U.S. LIBOR + 1.700% 1.9413% 4/15/31 (b)(e)(f) | 6,330,000 | 6,344,951 | |
Ares XLI CLO Ltd. / Ares XLI CLO LLC Series 2016-41A Class AR, 3 month U.S. LIBOR + 1.200% 1.4413% 1/15/29 (b)(e)(f) | 9,133,000 | 9,130,717 | |
Ares XXXIV CLO Ltd. Series 2020-2A Class AR2, 3 month U.S. LIBOR + 1.250% 1.4734% 4/17/33 (b)(e)(f) | 15,169,000 | 15,219,543 | |
Argent Securities, Inc. pass-thru certificates: | |||
Series 2005-W2 Class A2C, 1 month U.S. LIBOR + 0.720% 0.4776% 10/25/35 (e)(f) | 45,840 | 45,840 | |
Series 2005-W5 Class A2D, 1 month U.S. LIBOR + 0.640% 0.7576% 1/25/36 (e)(f) | 3,137,505 | 3,017,071 | |
Atlas Senior Loan Fund XVI, Ltd. / Atlas Senior Loan Fund XVI LLC Series 2021-16A Class A, 3 month U.S. LIBOR + 1.270% 0% 1/20/34 (b)(e)(f) | 2,000,000 | 2,000,612 | |
Babson CLO Ltd./Cayman Islands Series 2020-1A Class A1, 3 month U.S. LIBOR + 1.400% 1.6413% 10/15/32 (b)(e)(f) | 8,259,000 | 8,280,234 | |
Battalion CLO X Ltd. / Battalion CLO X LLC Series 2021-10A Class A1R2, 3 month U.S. LIBOR + 1.170% 0% 1/25/35 (b)(e)(f) | 12,000,000 | 12,000,000 | |
Beechwood Park CLO Ltd. Series 2019-1A Class A1, 3 month U.S. LIBOR + 1.330% 1.5534% 1/17/33 (b)(e)(f) | 3,340,000 | 3,354,606 | |
Bellemeade Re Ltd. Series 2019-4A Class M1A, 1 month U.S. LIBOR + 1.400% 1.5176% 10/25/29 (b)(e)(f) | 3,882,508 | 3,888,408 | |
Blackbird Capital Aircraft Series 2016-1A: | |||
Class A, 4.213% 12/16/41 (b) | 8,162,110 | 8,184,736 | |
Class AA, 2.487% 12/16/41 (b)(e) | 1,352,719 | 1,356,951 | |
BlackRock Rainier CLO VI, Ltd. / BlackRock Rainier CLO VI LLC Series 2021-6A Class A, 3 month U.S. LIBOR + 1.700% 1.8876% 4/20/33 (b)(e)(f) | 8,500,000 | 8,500,000 | |
BlueMountain CLO XXVIII, Ltd. / BlueMountain CLO XXVIII LLC Series 2021-28A Class A, 3 month U.S. LIBOR + 1.260% 0% 4/15/34 (b)(c)(e)(f) | 3,000,000 | 3,007,500 | |
Bristol Park CLO, Ltd. Series 2020-1A Class AR, 3 month U.S. LIBOR + 0.990% 1.2313% 4/15/29 (b)(e)(f) | 8,338,000 | 8,335,273 | |
CarMax Auto Owner Trust Series 2021-1 Class D, 1.28% 7/15/27 | 200,000 | 198,382 | |
Carrington Mortgage Loan Trust Series 2005-FRE1: | |||
Class M1, 1 month U.S. LIBOR + 0.700% 0.8226% 12/25/35 (e)(f) | 4,708,634 | 4,663,359 | |
Class M2, 1 month U.S. LIBOR + 0.730% 0.8526% 12/25/35 (f) | 10,000,000 | 9,358,565 | |
Cascade Funding Mortgage Trust: | |||
Series 2020-HB2 Class A, 3.4047% 4/25/30 (b) | 6,290,262 | 6,358,719 | |
Series 2020-HB3 Class A, 2.8115% 5/25/30 (b)(e) | 445,566 | 449,863 | |
Castlelake Aircraft Securitization Trust Series 2019-1A: | |||
Class A, 3.967% 4/15/39 (b) | 7,182,919 | 7,196,950 | |
Class B, 5.095% 4/15/39 (b) | 3,409,346 | 3,286,313 | |
Castlelake Aircraft Structured Trust Series 2018-1 Class A, 4.125% 6/15/43 (b) | 6,542,385 | 6,590,673 | |
Cedar Funding Ltd.: | |||
Series 2019-10A Class A, 3 month U.S. LIBOR + 1.340% 1.564% 10/20/32 (b)(e)(f) | 5,957,000 | 5,987,017 | |
Series 2019-11A Class A1A, 3 month U.S. LIBOR + 1.350% 1.5744% 5/29/32 (b)(e)(f) | 4,370,000 | 4,380,204 | |
Cedar Funding XII CLO Ltd. / Cedar Funding XII CLO LLC Series 2020-12A Class A, 3 month U.S. LIBOR + 1.270% 1.5101% 10/25/32 (b)(e)(f) | 3,330,000 | 3,341,758 | |
CEDF Series 2018-6A Class AR, 3 month U.S. LIBOR + 1.090% 1.314% 10/20/28 (b)(e)(f) | 1,430,000 | 1,430,652 | |
Cent CLO Ltd. / Cent CLO Series 2020-29A Class A1N, 3 month U.S. LIBOR + 1.700% 1.924% 7/20/31 (b)(e)(f) | 6,998,000 | 7,035,404 | |
Citi Mortgage Loan Trust Series 2007-1 Class 1A, 1 month U.S. LIBOR + 1.350% 1.4676% 10/25/37 (b)(e)(f) | 1,990,645 | 2,001,286 | |
Citibank Credit Card Issuance Trust: | |||
Series 2018-A3 Class A3, 3.29% 5/23/25 | 700,000 | 746,128 | |
Series 2018-A7 Class A7, 3.96% 10/13/30 | 2,100,000 | 2,476,046 | |
CNH Equipment Trust Series 2019-C Class A2, 1.99% 3/15/23 | 1,507,388 | 1,514,393 | |
Consumer Lending Receivables Trust Series 2019-A Class A, 3.52% 4/15/26 (b) | 194,464 | 194,951 | |
Consumer Loan Underlying Bond Credit Trust: | |||
Series 2018-P3 Class A, 3.82% 1/15/26 (b) | 545,215 | 546,428 | |
Series 2019-HP1 Class A, 2.59% 12/15/26 (b) | 4,348,608 | 4,400,739 | |
Series 2019-P1 Class A, 2.94% 7/15/26 (b) | 797,208 | 800,982 | |
CoreVest American Finance Trust Series 2020-2 Class B, 4.244% 5/15/52 (b) | 3,200,000 | 3,528,582 | |
CPS Auto Receivables Trust Series 2019-D Class A, 2.17% 12/15/22 (b) | 185,273 | 185,570 | |
DB Master Finance LLC Series 2017-1A: | |||
Class A2I, 3.629% 11/20/47 (b) | 4,196,220 | 4,290,257 | |
Class A2II, 4.03% 11/20/47 (b) | 7,092,640 | 7,514,014 | |
Dryden 68 CLO Ltd. 3 month U.S. LIBOR + 1.310% 1.5513% 7/15/32 (b)(e)(f) | 5,220,000 | 5,223,748 | |
Dryden CLO, Ltd.: | |||
Series 2019-75A Class AR, 3 month U.S. LIBOR + 1.200% 1.4413% 7/15/30 (b)(e)(f) | 3,230,000 | 3,229,193 | |
Series 2019-76A Class A1, 3 month U.S. LIBOR + 1.330% 1.554% 10/20/32 (b)(e)(f) | 7,395,000 | 7,425,179 | |
Dryden CLO, Ltd. / Dryden CLO, LLC Series 2020-85A Class A1, 3 month U.S. LIBOR + 1.350% 1.5633% 10/15/32 (b)(e)(f) | 5,609,000 | 5,629,321 | |
Dryden Senior Loan Fund: | |||
Series 2019-72A Class A, 3 month U.S. LIBOR + 1.330% 1.5238% 5/15/32 (b)(e)(f) | 7,149,000 | 7,152,925 | |
Series 2020-78A Class A, 3 month U.S. LIBOR + 1.180% 1.4034% 4/17/33 (b)(e)(f) | 5,400,000 | 5,435,608 | |
Eaton Vance CLO, Ltd.: | |||
Series 2020-1A Class A, 3 month U.S. LIBOR + 1.650% 1.8913% 10/15/30 (b)(e)(f) | 6,500,000 | 6,524,856 | |
Series 2020-2A Class A1, 3 month U.S. LIBOR + 1.370% 1.5603% 10/15/32 (b)(e)(f) | 5,900,000 | 5,909,930 | |
Eaton Vance CLO, Ltd. / Eaton Vance CLO LLC Series 2021-1A Class A13R, 3 month U.S. LIBOR + 1.250% 1.4101% 1/15/34 (b)(e)(f) | 7,240,000 | 7,240,000 | |
EFS Volunteer No. 2 LLC Series 2012-1 Class A2, 1 month U.S. LIBOR + 1.350% 1.48% 3/25/36 (b)(e)(f) | 1,314,900 | 1,334,087 | |
Encore Credit Receivables Trust Series 2005-4 Class M4, 1 month U.S. LIBOR + 0.900% 1.0176% 1/25/36 (e)(f) | 4,800,000 | 4,723,789 | |
Enterprise Fleet Financing, LLC Series 2021-1 Class A2, 0.44% 12/21/26 (b) | 6,174,000 | 6,171,848 | |
Exeter Automobile Receivables Trust Series 2019-4A Class A, 2.18% 1/17/23 (b) | 177,929 | 178,114 | |
Finance of America HECM Buyout Series 2021-HB1 Class A, 0.8754% 2/25/31 (b)(e) | 4,361,000 | 4,361,000 | |
Flatiron CLO Ltd. Series 2019-1A Class A, 3 month U.S. LIBOR + 1.320% 1.5138% 11/16/32 (b)(e)(f) | 7,901,000 | 7,925,035 | |
Flatiron CLO Ltd. / Flatiron CLO LLC Series 2020-1A Class A, 3 month U.S. LIBOR + 1.300% 1.5483% 11/20/33 (b)(e)(f) | 5,700,000 | 5,749,305 | |
Henley CLO IV DAC Series 2021-4A Class A, 3 month EURIBOR + 0.900% 0% 4/25/34 (b)(c)(e)(f) | EUR | 2,000,000 | 2,416,478 |
Hertz Fleet Lease Funding LP Series 2017-1 Class A1, 1 month U.S. LIBOR + 0.650% 0.7705% 4/10/31 (b)(e)(f) | 255,680 | 255,841 | |
Home Re, Ltd. Series 2021-1: | |||
Class M1A, 1 month U.S. LIBOR + 1.050% 1.1729% 7/25/33 (b)(e)(f) | 305,000 | 305,139 | |
Class M1B, 1 month U.S. LIBOR + 1.550% 1.6729% 7/25/33 (b)(e)(f) | 165,000 | 165,069 | |
Class M1C, 1 month U.S. LIBOR + 2.300% 2.4229% 7/25/33 (b)(e)(f) | 745,000 | 745,493 | |
Horizon Aircraft Finance I Ltd. Series 2018-1 Class A, 4.458% 12/15/38 (b) | 3,567,482 | 3,602,360 | |
Horizon Aircraft Finance Ltd. Series 2019-1 Class A, 3.721% 7/15/39 (b) | 4,344,807 | 4,356,327 | |
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 1A1, 1 month U.S. LIBOR + 0.140% 0.2576% 1/25/37 (e)(f) | 3,195,960 | 2,854,720 | |
Invesco Euro CLO I DAC Series 2021-1A Class A1R, 3 month EURIBOR + 0.650% 0% 7/15/31 (b)(e)(f) | EUR | 10,000,000 | 12,062,484 |
Invitation Homes Trust Series 2018-SFR4 Class A, 1 month U.S. LIBOR + 1.100% 1.206% 1/17/38 (b)(e)(f) | 5,499,612 | 5,543,726 | |
JMP Credit Advisors CLO IV, Ltd. / JMP Credit Advisors CLO IV LLC Series 2019-1A Class AR, 3 month U.S. LIBOR + 1.280% 1.5034% 7/17/29 (b)(e)(f) | 1,970,236 | 1,970,938 | |
Lanark Master Issuer PLC Series 2020-1A Class 1A, 2.277% 12/22/69 (b)(e) | 6,383,000 | 6,546,507 | |
LCM XXIV Ltd. / LCM XXIV LLC Series 2021-24A Class AR, 3 month U.S. LIBOR + 0.980% 0% 3/20/30 (b)(e)(f) | 7,500,000 | 7,500,000 | |
Madison Park Funding Ltd.: | |||
Series 2019-37A Class A1, 3 month U.S. LIBOR + 1.300% 1.5413% 7/15/32 (b)(e)(f) | 9,143,000 | 9,149,226 | |
Series 2021-10A Class AR3, 3 month U.S. LIBOR + 1.010% 1.2097% 1/20/29 (b)(e)(f) | 3,000,000 | 3,000,192 | |
Madison Park Funding XLV Ltd./Madison Park Funding XLV LLC Series 2020-45A Class A, 3 month U.S. LIBOR + 1.650% 1.8913% 7/15/31 (b)(e)(f) | 7,030,000 | 7,045,691 | |
Madison Park Funding XVII, Ltd. Series 2021-17A Class AR2, 3 month U.S. LIBOR + 1.000% 0% 7/21/30 (b)(e)(f) | 7,000,000 | 6,998,250 | |
Madison Park Funding XXXIII Ltd. Series 2019-33A Class A, 3 month U.S. LIBOR + 1.330% 1.5713% 10/15/32 (b)(e)(f) | 3,846,000 | 3,867,226 | |
Magnetite VII Ltd. Series 2018-7A Class A1R2, 3 month U.S. LIBOR + 0.800% 1.0413% 1/15/28 (b)(e)(f) | 6,968,000 | 6,971,338 | |
Magnetite XXI Ltd.: | |||
Series 2019-21A Class A, 3 month U.S. LIBOR + 1.280% 1.504% 4/20/30 (b)(e)(f) | 7,784,000 | 7,785,308 | |
Series 2019-24A Class A, 3 month U.S. LIBOR + 1.330% 1.5713% 1/15/33 (b)(e)(f) | 17,576,000 | 17,630,907 | |
Marlette Funding Trust: | |||
Series 2019-4A Class A, 2.39% 12/17/29 (b) | 1,778,309 | 1,793,387 | |
Series 2020-1A Class A, 2.24% 3/15/30 (b) | 935,857 | 940,582 | |
MASTR Asset Backed Securities Trust: | |||
Series 2005-NC2 Class A4, 1 month U.S. LIBOR + 0.700% 0.4676% 11/25/35 (e)(f) | 11,478,849 | 8,721,869 | |
Series 2005-WF1 Class M7, 1 month U.S. LIBOR + 1.720% 1.2676% 6/25/35 (e)(f) | 1,816,559 | 1,846,505 | |
MDPK Series 2021-48A Class A, 3 month U.S. LIBOR + 1.150% 0% 4/19/33 (b)(e)(f) | 5,000,000 | 5,001,970 | |
Metlife Securitization Trust Series 2019-1A Class A1A, 3.75% 4/25/58 (b) | 2,685,886 | 2,789,757 | |
MidOcean Credit CLO V Series 2018-5A Class AR, 3 month U.S. LIBOR + 1.120% 1.3434% 7/19/28 (b)(e)(f) | 1,568,418 | 1,568,534 | |
Milos CLO, Ltd. Series 2020-1A Class AR, 3 month U.S. LIBOR + 1.070% 1.294% 10/20/30 (b)(e)(f) | 8,353,000 | 8,356,166 | |
Morgan Stanley ABS Capital I Trust: | |||
Series 2006-HE4 Class A4, 1 month U.S. LIBOR + 0.480% 0.5976% 6/25/36 (f) | 4,429,352 | 2,969,514 | |
Series 2007-NC3 Class A2D, 1 month U.S. LIBOR + 0.260% 0.3776% 5/25/37 (e)(f) | 2,710,296 | 2,333,102 | |
Mortgage Repurchase Agreement Financing Trust Series 2020-5 Class A1, 1 month U.S. LIBOR + 1.000% 1.1205% 8/10/23 (b)(e)(f) | 12,613,000 | 12,579,172 | |
Mountain View CLO XIV, Ltd. Series 2019-1A Class B, 3 month U.S. LIBOR + 2.000% 2.2413% 4/15/29 (b)(e)(f) | 1,250,000 | 1,242,001 | |
Nationstar HECM Loan Trust: | |||
Series 2019-1A Class A, 2.6513% 6/25/29 (b) | 1,488,823 | 1,491,390 | |
Series 2020-1A Class A1, 1.2686% 9/25/30 (b) | 7,891,209 | 7,880,548 | |
Nationstar Home Equity Loan Trust Series 2006-B Class M2, 1 month U.S. LIBOR + 0.360% 0.4776% 9/25/36 (e)(f) | 8,141,000 | 7,660,880 | |
Navient Private Education Refi Loan Trust Series 2021-A Class B, 2.24% 5/15/69 (b) | 100,000 | 98,542 | |
Navient Student Loan Trust: | |||
Series 2015-1 Class A2, 1 month U.S. LIBOR + 0.600% 0.7176% 4/25/40 (e)(f) | 472,044 | 467,223 | |
Series 2016-2A Class A3, 1 month U.S. LIBOR + 1.500% 1.6176% 6/25/65 (b)(e)(f) | 1,475,000 | 1,526,468 | |
New Century Home Equity Loan Trust Series 2005-4 Class M2, 1 month U.S. LIBOR + 0.760% 0.8826% 9/25/35 (e)(f) | 9,979 | 9,974 | |
Newcastle Mortgage Securities Trust Series 2007-1 Class 2A3, 1 month U.S. LIBOR + 0.230% 0.3476% 4/25/37 (f) | 5,080,078 | 4,958,511 | |
Niagara Park CLO, Ltd. Series 2019-1A Class A, 3 month U.S. LIBOR + 1.300% 1.5234% 7/17/32 (b)(e)(f) | 8,530,000 | 8,539,332 | |
Octagon Investment Partners 31, Ltd. / Octagon Investment Partners 31 LLC Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.050% 1.274% 7/20/30 (b)(e)(f) | 3,000,000 | 2,999,247 | |
Palmer Square CLO, Ltd. Series 2021-1A Class A1, 3 month U.S. LIBOR + 1.190% 0% 4/20/34 (b)(c)(e)(f) | 6,000,000 | 6,000,000 | |
Park Avenue Institutional Advisers CLO, Ltd. Series 2021-1A Class A1R, 3 month U.S. LIBOR + 1.240% 1.4376% 2/14/34 (b)(e)(f) | 2,000,000 | 2,001,568 | |
Planet Fitness Master Issuer LLC Series 2019-1A Class A2, 3.858% 12/5/49 (b) | 6,152,850 | 5,866,127 | |
Progress Residential Trust Series 2019-SFR1 Class A, 3.422% 8/17/35 (b) | 8,831,278 | 9,060,035 | |
Prosper Marketplace Issuance Trust: | |||
Series 2019-3A Class A, 3.19% 7/15/25 (b) | 432,898 | 433,718 | |
Series 2019-4A Class A, 2.48% 2/17/26 (b) | 657,341 | 659,517 | |
Recette CLO, Ltd. Series 2021-1A Class ARR, 3 month U.S. LIBOR + 1.080% 0% 4/20/34 (b)(e)(f) | 4,700,000 | 4,700,000 | |
RMF Buyout Issuance Trust Series 2020-1 Class A, 2.1582% 2/25/30 (b) | 157,749 | 158,303 | |
Santander Drive Auto Receivables Trust Series 2021-1 Class D, 1.13% 11/16/26 | 2,800,000 | 2,789,578 | |
Sapphire Aviation Finance Series 2020-1A: | |||
Class A, 3.228% 3/15/40 (b) | 7,002,143 | 6,981,392 | |
Class B, 4.335% 3/15/40 (b) | 665,815 | 599,860 | |
Saratoga Investment Corp. CLO, Ltd. / Saratoga Investment Corp. CLO, Inc. Series 2021-1A Class AR3, 3 month U.S. LIBOR + 1.320% 0% 4/20/33 (b)(e)(f) | 12,000,000 | 12,000,000 | |
SBA Tower Trust: | |||
Series 2019, 2.836% 1/15/50 (b) | 8,004,000 | 8,474,141 | |
1.884% 7/15/50 (b) | 2,753,000 | 2,839,454 | |
2.328% 7/15/52 (b) | 2,105,000 | 2,178,428 | |
Securitized Asset Backed Receivables LLC Trust Series 2006-CB5 Class A3, 1 month U.S. LIBOR + 0.280% 0.3976% 6/25/36 (e)(f) | 2,878,886 | 2,246,047 | |
Sixth Street CLO XVII, Ltd. / Sixth Street CLO XVII LLC Series 2021-17A Class A, 3 month U.S. LIBOR + 1.240% 0% 1/20/34 (b)(c)(e)(f) | 5,000,000 | 5,001,475 | |
SoFi Consumer Loan Program Trust Series 2019-4 Class A, 2.45% 8/25/28 (b) | 3,298,957 | 3,331,210 | |
Soundview Home Loan Trust Series 2007-NS1 Class A4, 1 month U.S. LIBOR + 0.300% 0.4176% 1/25/37 (e)(f) | 7,309,000 | 6,863,345 | |
Stratus CLO Ltd. Series 2020-1A Class A, 3 month U.S. LIBOR + 1.980% 2.204% 5/1/28 (b)(e)(f) | 9,073,866 | 9,080,608 | |
Symphony CLO XXIII Ltd. Series 2020-23A Class A, 3 month U.S. LIBOR + 1.320% 1.4867% 1/15/34 (b)(e)(f) | 3,410,000 | 3,416,005 | |
Taconic Park CLO, Ltd. Series 2020-1A Class A1R, 3 month U.S. LIBOR + 1.000% 1.224% 1/20/29 (b)(e)(f) | 5,538,000 | 5,547,116 | |
Terwin Mortgage Trust Series 2003-4HE Class A1, 1 month U.S. LIBOR + 0.860% 0.5476% 9/25/34 (e)(f) | 3,983 | 3,705 | |
TH MSR Issuer Trust Series 2019-FT1 Class A, 1 month U.S. LIBOR + 2.800% 2.9176% 6/25/24 (b)(e)(f) | 1,250,000 | 1,245,994 | |
Thunderbolt Aircraft Lease Ltd. Series 2018-A Class A, 4.147% 9/15/38 (b)(e) | 9,813,778 | 9,790,740 | |
Thunderbolt III Aircraft Lease Ltd. Series 2019-1 Class A, 3.671% 11/15/39 (b) | 10,023,198 | 9,950,557 | |
Towd Point Mortgage Trust: | |||
Series 2018-3 Class A1, 3.75% 5/25/58 (b) | 5,287,892 | 5,588,819 | |
Series 2018-6 Class A1A, 3.75% 3/25/58 (b) | 4,170,376 | 4,334,220 | |
Series 2019-1 Class A1, 3.7412% 3/25/58 (b)(e) | 2,188,231 | 2,329,023 | |
Series 2019-MH1 Class A1, 3% 11/25/58 (b) | 1,482,379 | 1,519,058 | |
Series 2020-4 Class A1, 1.75% 10/25/60 (b) | 6,907,388 | 7,043,545 | |
Tralee CLO VII Ltd. / Tralee CLO VII LLC Series 2021-7A Class A1, 3 month U.S. LIBOR + 1.320% 0% 4/25/34 (e)(f) | 12,000,000 | 12,000,000 | |
Upgrade Receivables Trust Series 2019-2A Class A, 2.77% 10/15/25 (b) | 309,116 | 309,506 | |
Upstart Securitization Trust Series 2021-1 Class A, 0.87% 3/20/31 (b) | 910,000 | 910,941 | |
Verde CLO Ltd. Series 2019-1A Class A, 3 month U.S. LIBOR + 1.350% 1.5913% 4/15/32 (b)(e)(f) | 8,662,000 | 8,661,922 | |
VOLT XCIV LLC Series 2021-NPL3 Class A1, 2.2395% 2/27/51 (b) | 6,441,123 | 6,437,789 | |
Voya Series 2020-1A Class A, 3 month U.S. LIBOR + 1.700% 1.9234% 7/16/31 (b)(e)(f) | 8,112,000 | 8,134,089 | |
Voya CLO Ltd.: | |||
Series 2017-1A Class A1, 3 month U.S. LIBOR + 1.250% 1.4734% 4/17/30 (b)(e)(f) | 2,826,000 | 2,833,065 | |
Series 2019-2A Class A, 3 month U.S. LIBOR + 1.270% 1.494% 7/20/32 (b)(e)(f) | 8,868,000 | 8,875,032 | |
Voya CLO Ltd./Voya CLO LLC: | |||
Series 2020-2A Class A1, 3 month U.S. LIBOR + 1.600% 1.8234% 7/19/31 (b)(e)(f) | 6,400,000 | 6,413,152 | |
Series 2020-3A Class A1, 3 month U.S. LIBOR + 1.300% 1.4965% 10/20/31 (b)(e)(f) | 7,500,000 | 7,541,498 | |
TOTAL ASSET-BACKED SECURITIES | |||
(Cost $730,629,263) | 733,784,294 | ||
Collateralized Mortgage Obligations - 0.6% | |||
Private Sponsor - 0.4% | |||
Alternative Loan Trust floater Series 2007-OH3 Class A1B, 1 month U.S. LIBOR + 0.220% 0.3376% 9/25/47 (f) | 2,453,181 | 2,289,650 | |
BCAP LLC Trust sequential payer: | |||
Series 2010-RR2 Class 5A2, 5% 12/26/36 (b) | 236,921 | 236,436 | |
Series 2010-RR4 Class 31A6, 6.4535% 1/26/37 (b)(e) | 4,620,295 | 4,392,070 | |
Series 2012-RR5 Class 8A5, 0.5516% 7/26/36 (b)(e) | 36,245 | 35,850 | |
Cascade Funding Mortgage Trust Series 2021-HB5 Class A, 0.8006% 2/25/31 (b) | 5,615,000 | 5,608,694 | |
Central Park Funding Trust floater Series 2021-1 Class PT, 1 month U.S. LIBOR + 2.750% 0% 8/29/22 (b)(e)(f) | 12,960,000 | 12,960,000 | |
CFMT LLC Series 2020-HB4 Class A, 0.9461% 12/26/30 (b) | 4,160,254 | 4,159,621 | |
CIM Trust: | |||
floater sequential payer Series 2017-3 Class A1, 1 month U.S. LIBOR + 2.000% 2.1229% 1/25/57 (b)(e)(f) | 12,196,202 | 12,294,829 | |
sequential payer: | |||
Series 2017-5 Class A3, 4% 5/25/57 (b) | 11,080,000 | 11,006,013 | |
Series 2017-6 Class A1, 3.015% 6/25/57 (b) | 11,581,354 | 11,599,287 | |
Series 2021-R1 Class A2, 2.4% 8/25/56 (b) | 9,900,000 | 9,902,761 | |
Citigroup Mortgage Loan Trust Series 2005-9 Class 22A1, 6% 11/25/35 | 1,876,286 | 1,907,441 | |
Connecticut Avenue Securities Trust floater Series 2020-R01 Class 1M2, 1 month U.S. LIBOR + 2.050% 2.1676% 1/25/40 (b)(e)(f) | 1,145,000 | 1,142,718 | |
CSMC floater Series 2015-1R Class 6A1, 1 month U.S. LIBOR + 0.280% 0.4739% 5/27/37 (b)(e)(f) | 451,521 | 438,977 | |
CSMC Trust sequential payer: | |||
Series 2020-RPL2 Class A12, 3.4871% 2/25/60 (b)(e) | 812,049 | 815,794 | |
Series 2020-RPL3 Class A1, 2.691% 3/25/60 (b)(e) | 5,698,812 | 5,776,459 | |
Series 2020-RPL4 Class A1, 2% 1/25/60 (b) | 3,096,246 | 3,143,799 | |
CWALT, Inc. Series 2005-13CB Class A8, 5.5% 5/25/35 | 2,897,565 | 2,859,854 | |
Freddie Mac STACR REMIC Trust floater Series 2021-HQA1: | |||
Class B1, UNITED STATES 30 DAY AVERAGE S + 3.000% 3.0503% 8/25/33 (b)(e)(f) | 2,700,000 | 2,695,644 | |
Class M2, UNITED STATES 30 DAY AVERAGE S + 2.250% 2.3003% 8/25/33 (b)(e)(f) | 3,900,000 | 3,896,291 | |
Ginnie Mae guaranteed REMIC pass-thru certificates floater Series 2019-23 Class NF, 1 month U.S. LIBOR + 0.450% 0.5611% 2/20/49 (e)(f) | 2,291,281 | 2,314,476 | |
GMAC Mortgage Loan Trust Series 2005-AR6 Class 2A1, 3.3001% 11/19/35 (e) | 2,108,085 | 2,101,164 | |
GSR Mortgage Loan Trust floater Series 2006-OA1 Class 1A1, 1 month U.S. LIBOR + 0.440% 0.3376% 8/25/46 (e)(f) | 19,959,995 | 6,829,338 | |
Lanark Master Issuer PLC: | |||
floater Series 2019-1A Class 1A1, 3 month U.S. LIBOR + 0.770% 0.9524% 12/22/69 (b)(e)(f) | 2,883,767 | 2,890,558 | |
Series 2019-2A Class 1A, 2.71% 12/22/69 (b)(e) | 5,800,000 | 5,937,646 | |
Merrill Lynch Mortgage Investors Trust floater Series 2006-A2 Class 1A, 1 month U.S. LIBOR + 0.180% 0.2976% 2/25/36 (f) | 7,543,570 | 5,292,710 | |
Mortgage Repurchase Agreement Financing Trust: | |||
floater Series 2020-3 Class A1, 1 month U.S. LIBOR + 1.250% 1.3705% 1/23/23 (b)(e)(f) | 3,508,000 | 3,509,119 | |
Series 2020-4 Class A1, 1 month U.S. LIBOR + 1.350% 1.4705% 4/23/23 (b)(e)(f) | 16,662,000 | 16,660,882 | |
Nationstar HECM Loan Trust sequential payer Series 2019-2A Class A, 2.2722% 11/25/29 (b) | 2,240,923 | 2,245,348 | |
New Residential Mortgage Loan Trust: | |||
Series 2019-5A Class A1B, 3.5% 8/25/59 (b) | 1,990,230 | 2,072,667 | |
Series 2020-1A Class A1B, 3.5% 10/25/59 (b) | 3,330,538 | 3,505,708 | |
Preston Ridge Partners Mortgage Trust Series 2021-1 Class A1, 2.115% 1/25/26 (b) | 5,000,000 | 4,884,365 | |
Provident Funding Mortgage Trust sequential payer Series 2019-1 Class A3, 3% 12/25/49 (b) | 658,302 | 661,908 | |
RALI Trust: | |||
Series 2006-QS4 Class A4, 6% 4/25/36 | 2,135,065 | 2,038,758 | |
Series 2007-QS3 Class A5, 6.25% 2/25/37 | 3,371,119 | 3,279,597 | |
Series 2007-QS8 Class A5, 6% 6/25/37 | 1,296,352 | 1,243,240 | |
RMF Buyout Issuance Trust: | |||
sequential payer Series 2020-2 Class A, 1.7063% 6/25/30 (b) | 9,679,353 | 9,703,427 | |
Series 2020-HB1 Class A1, 1.7188% 10/25/50 (b) | 1,599,846 | 1,590,692 | |
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 6 month U.S. LIBOR + 0.880% 1.14% 7/20/34 (e)(f) | 1,153 | 1,117 | |
Silverstone Master Issuer PLC floater Series 2019-1A Class 1A, 3 month U.S. LIBOR + 0.570% 0.7936% 1/21/70 (b)(e)(f) | 3,072,765 | 3,079,344 | |
Thornburg Mortgage Securities Trust floater Series 2003-4 Class A1, 1 month U.S. LIBOR + 0.640% 0.4376% 9/25/43 (e)(f) | 1,934,815 | 1,881,657 | |
WaMu Mortgage pass-thru certificates floater Series 2005-AR2 Class 2A1B, 1 month U.S. LIBOR + 0.740% 0.8576% 1/25/45 (f) | 2,397,296 | 2,340,286 | |
TOTAL PRIVATE SPONSOR | 181,226,195 | ||
U.S. Government Agency - 0.2% | |||
Fannie Mae: | |||
planned amortization class Series 2012-149: | |||
Class DA, 1.75% 1/25/43 | 965,737 | 991,689 | |
Class GA, 1.75% 6/25/42 | 1,041,223 | 1,070,094 | |
Series 2005-79 Class ZC, 5.9% 9/25/35 | 248,398 | 281,668 | |
Series 2007-75 Class JI, 6.540% - 1 month U.S. LIBOR 6.4274% 8/25/37 (e)(k)(l) | 897,138 | 194,167 | |
Series 2010-135 Class ZA, 4.5% 12/25/40 | 694,059 | 758,678 | |
Series 2010-150 Class ZC, 4.75% 1/25/41 | 832,870 | 927,477 | |
Series 2010-95 Class ZC, 5% 9/25/40 | 1,782,296 | 1,983,613 | |
Series 2011-4 Class PZ, 5% 2/25/41 | 307,504 | 365,617 | |
Series 2012-100 Class WI, 3% 9/25/27 (k) | 479,496 | 36,470 | |
Series 2012-14 Class JS, 6.650% - 1 month U.S. LIBOR 6.5324% 12/25/30 (e)(k)(l) | 131,362 | 11,649 | |
Series 2012-9 Class SH, 6.550% - 1 month U.S. LIBOR 6.4324% 6/25/41 (e)(k)(l) | 142,532 | 15,224 | |
Series 2013-133 Class IB, 3% 4/25/32 (k) | 295,888 | 13,448 | |
Series 2013-134 Class SA, 6.050% - 1 month U.S. LIBOR 5.9324% 1/25/44 (e)(k)(l) | 179,377 | 31,426 | |
Series 2013-44 Class DJ, 1.85% 5/25/33 | 9,779,539 | 10,019,214 | |
Series 2013-51 Class GI, 3% 10/25/32 (k) | 677,635 | 52,074 | |
Series 2015-42 Class IL, 6% 6/25/45 (k) | 913,475 | 179,929 | |
Series 2015-70 Class JC, 3% 10/25/45 | 728,940 | 773,705 | |
Series 2017-30 Class AI, 5.5% 5/25/47 (k) | 494,731 | 99,935 | |
Freddie Mac: | |||
planned amortization class: | |||
Series 2020-4960 Class PB, 1.5% 10/25/49 | 6,308,238 | 6,422,860 | |
Series 4135 Class AB, 1.75% 6/15/42 | 783,376 | 805,144 | |
sequential payer Series 3871 Class KB, 5.5% 6/15/41 | 617,828 | 722,965 | |
Series 2017-4683 Class LM, 3% 5/15/47 | 1,035,679 | 1,097,123 | |
Series 2933 Class ZM, 5.75% 2/15/35 | 487,026 | 571,293 | |
Series 2996 Class ZD, 5.5% 6/15/35 | 341,376 | 396,639 | |
Series 3237 Class C, 5.5% 11/15/36 | 465,472 | 532,662 | |
Series 3955 Class YI, 3% 11/15/21 (k) | 17,669 | 131 | |
Series 3980 Class EP, 5% 1/15/42 | 2,750,585 | 3,138,786 | |
Series 4055 Class BI, 3.5% 5/15/31 (k) | 268,102 | 13,423 | |
Series 4149 Class IO, 3% 1/15/33 (k) | 345,950 | 37,693 | |
Series 4314 Class AI, 5% 3/15/34 (k) | 89,894 | 5,988 | |
Series 4427 Class LI, 3.5% 2/15/34 (k) | 545,731 | 41,033 | |
Series 4471 Class PA 4% 12/15/40 | 447,590 | 480,140 | |
Freddie Mac Multi-family Structured pass-thru certificates Series 4386 Class AZ, 4.5% 11/15/40 | 766,223 | 836,495 | |
Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-3 Class M55D, 4% 8/25/57 | 2,689,308 | 2,916,733 | |
Ginnie Mae guaranteed REMIC pass-thru certificates: | |||
floater: | |||
Series 2010-H27 Series FA, 1 month U.S. LIBOR + 0.380% 0.5239% 12/20/60 (e)(f)(m) | 909,845 | 909,291 | |
Series 2011-H20 Class FA, 1 month U.S. LIBOR + 0.550% 0.6939% 9/20/61 (e)(f)(m) | 4,080,184 | 4,093,789 | |
Series 2012-H18 Class NA, 1 month U.S. LIBOR + 0.520% 0.6639% 8/20/62 (e)(f)(m) | 742,045 | 744,133 | |
Series 2012-H21 Class DF, 1 month U.S. LIBOR + 0.650% 0.7939% 5/20/61 (e)(f)(m) | 7,731 | 7,773 | |
Series 2013-H19 Class FC, 1 month U.S. LIBOR + 0.600% 0.7439% 8/20/63 (e)(f)(m) | 2,340,237 | 2,346,909 | |
Series 2019-128 Class FH, 1 month U.S. LIBOR + 0.500% 0.6111% 10/20/49 (e)(f) | 484,323 | 488,857 | |
Series 2019-153 Class FB, 1 month U.S. LIBOR + 0.450% 0.5611% 12/20/49 (e)(f) | 5,664,642 | 5,711,813 | |
Series 2019-98 Class FN, 1 month U.S. LIBOR + 0.500% 0.6111% 8/20/49 (e)(f) | 629,775 | 635,922 | |
Series 2020-32 Class GF, 1 month U.S. LIBOR + 0.400% 0.5111% 3/20/50 (e)(f) | 5,412,324 | 5,447,107 | |
planned amortization class: | |||
Series 2010-158 Class MS, 10.000% - 1 month U.S. LIBOR 9.7777% 12/20/40 (e)(l) | 829,737 | 970,169 | |
Series 2016-69 Class WA, 3% 2/20/46 | 517,700 | 550,628 | |
Series 2017-134 Class BA, 2.5% 11/20/46 | 1,195,234 | 1,255,444 | |
sequential payer: | |||
Series 2010-160 Class DY, 4% 12/20/40 | 1,705,666 | 1,854,403 | |
Series 2010-170 Class B, 4% 12/20/40 | 381,370 | 414,690 | |
Series 2017-139 Class BA, 3% 9/20/47 | 5,484,299 | 5,747,109 | |
Series 2010-116 Class QB, 4% 9/16/40 | 2,827,996 | 3,065,837 | |
Series 2010-14 Class SN, 5.950% - 1 month U.S. LIBOR 5.8426% 2/16/40 (e)(k)(l) | 462,880 | 80,023 | |
Series 2011-94 Class SA, 6.100% - 1 month U.S. LIBOR 5.9889% 7/20/41 (e)(k)(l) | 127,965 | 24,508 | |
Series 2013-149 Class MA, 2.5% 5/20/40 | 1,897,540 | 1,963,731 | |
Series 2015-H13 Class HA, 2.5% 8/20/64 (m) | 70,697 | 71,330 | |
Series 2015-H17 Class HA, 2.5% 5/20/65 (m) | 7,120 | 7,117 | |
Series 2017-H06 Class FA, U.S. TREASURY 1 YEAR INDEX + 0.350% 0.46% 8/20/66 (e)(f)(m) | 2,829,897 | 2,802,685 | |
TOTAL U.S. GOVERNMENT AGENCY | 75,018,453 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | |||
(Cost $255,529,736) | 256,244,648 | ||
Commercial Mortgage Securities - 1.9% | |||
Ashford Hospitality Trust floater Series 2018-ASHF Class A, 1 month U.S. LIBOR + 0.900% 1.012% 4/15/35 (b)(e)(f) | 3,546,916 | 3,542,797 | |
BAMLL Commercial Mortgage Securities Trust: | |||
floater sequential payer Series 2020-JGDN Class A, 1 month U.S. LIBOR + 2.750% 2.862% 11/15/30 (b)(e)(f) | 5,954,000 | 5,967,172 | |
sequential payer Series 2019-BPR: | |||
Class AMP, 3.287% 11/5/32 (b) | 6,500,000 | 6,665,381 | |
Class ANM, 3.112% 11/5/32 (b) | 4,963,000 | 5,055,330 | |
Series 2019-BPR: | |||
Class BNM, 3.465% 11/5/32 (b) | 1,113,000 | 1,073,949 | |
Class CNM, 3.7186% 11/5/32 (b)(e) | 461,000 | 428,027 | |
BANK: | |||
sequential payer: | |||
Series 2019-BN21: | |||
Class A4, 2.6% 10/17/52 | 4,400,000 | 4,581,629 | |
Class A5, 2.851% 10/17/52 | 838,000 | 894,065 | |
Series 2021-BN31 Class A3, 1.771% 2/15/54 | 2,000,000 | 1,952,456 | |
Series 2021-BN31 Class XB, 0.8694% 2/15/54 (e)(k) | 7,000,000 | 556,929 | |
Bayview Commercial Asset Trust floater: | |||
Series 2005-3A Class A2, 1 month U.S. LIBOR + 0.600% 0.5176% 11/25/35 (b)(e)(f) | 20,821 | 19,837 | |
Series 2005-4A: | |||
Class A2, 1 month U.S. LIBOR + 0.390% 0.5076% 1/25/36 (b)(e)(f) | 52,275 | 49,634 | |
Class M1, 1 month U.S. LIBOR + 0.450% 0.5676% 1/25/36 (b)(e)(f) | 16,873 | 16,164 | |
Series 2006-4A Class A2, 1 month U.S. LIBOR + 0.270% 0.3876% 12/25/36 (b)(e)(f) | 122,864 | 115,480 | |
Series 2007-1 Class A2, 1 month U.S. LIBOR + 0.270% 0.3876% 3/25/37 (b)(e)(f) | 31,889 | 29,896 | |
Series 2007-2A: | |||
Class A1, 1 month U.S. LIBOR + 0.270% 0.3876% 7/25/37 (b)(e)(f) | 91,855 | 86,974 | |
Class A2, 1 month U.S. LIBOR + 0.320% 0.4376% 7/25/37 (b)(e)(f) | 86,001 | 68,429 | |
Class M1, 1 month U.S. LIBOR + 0.370% 0.4876% 7/25/37 (b)(e)(f) | 29,273 | 26,486 | |
Series 2007-3: | |||
Class A2, 1 month U.S. LIBOR + 0.290% 0.4076% 7/25/37 (b)(e)(f) | 31,747 | 29,146 | |
Class M1, 1 month U.S. LIBOR + 0.310% 0.4276% 7/25/37 (b)(e)(f) | 16,824 | 15,014 | |
Class M2, 1 month U.S. LIBOR + 0.340% 0.4576% 7/25/37 (b)(e)(f) | 17,995 | 15,952 | |
Class M3, 1 month U.S. LIBOR + 0.370% 0.4876% 7/25/37 (b)(e)(f) | 28,821 | 25,878 | |
Class M4, 1 month U.S. LIBOR + 0.500% 0.6176% 7/25/37 (b)(e)(f) | 45,499 | 40,600 | |
Class M5, 1 month U.S. LIBOR + 0.600% 0.7176% 7/25/37 (b)(e)(f) | 19,067 | 16,213 | |
BB-UBS Trust sequential payer Series 2012-SHOW Class A, 3.4302% 11/5/36 (b) | 2,800,000 | 2,935,561 | |
BBCMS Mortgage Trust sequential payer: | |||
Series 2019-C4 Class A4, 2.661% 8/15/52 | 4,000,000 | 4,189,390 | |
Series 2021-C9 Class A4, 2.021% 2/15/54 | 10,000,000 | 9,967,382 | |
Benchmark Commercial Mortgage Trust Series 2018-B3 Class A3, 3.746% 4/10/51 | 1,700,000 | 1,828,793 | |
Benchmark Mortgage Trust: | |||
sequential payer: | |||
Series 2018-B4 Class A5, 4.121% 7/15/51 | 949,000 | 1,087,298 | |
Series 2019-B10 Class A4, 3.717% 3/15/62 | 1,673,000 | 1,879,189 | |
Series 2019-B13 Class A4, 2.952% 8/15/57 | 7,629,000 | 8,156,361 | |
Series 2019-B14 Class A5, 3.0486% 12/15/62 | 1,305,000 | 1,406,044 | |
Series 2020-B19 Class A3, 1.787% 9/15/53 | 5,800,000 | 5,854,192 | |
Series 2021-B23 Class A4A1, 1.823% 2/15/54 | 2,000,000 | 1,956,760 | |
Series 2019-B12 Class XA, 1.0652% 8/15/52 (e)(k) | 40,030,793 | 2,552,868 | |
Series 2019-B14 Class XA, 0.787% 12/15/62 (e)(k) | 22,896,057 | 1,111,681 | |
BFLD Trust floater sequential payer Series 2020-OBRK Class A, 1 month U.S. LIBOR + 2.050% 2.162% 11/15/28 (b)(e)(f) | 7,501,000 | 7,575,964 | |
BHMS floater Series 2018-ATLS Class A, 1 month U.S. LIBOR + 1.250% 1.3623% 7/15/35 (b)(e)(f) | 10,931,821 | 10,924,698 | |
BX Commercial Mortgage Trust: | |||
floater Series 2020-BXLP: | |||
Class B, 1 month U.S. LIBOR + 1.000% 1.112% 12/15/36 (b)(e)(f) | 4,441,996 | 4,441,995 | |
Class C, 1 month U.S. LIBOR + 1.120% 1.232% 12/15/36 (b)(e)(f) | 3,681,537 | 3,681,537 | |
Class D, 1 month U.S. LIBOR + 1.250% 1.362% 12/15/36 (b)(e)(f) | 5,088,685 | 5,088,684 | |
Class G, 1 month U.S. LIBOR + 2.500% 2.612% 12/15/36 (b)(e)(f) | 6,486,851 | 6,485,546 | |
floater sequential payer: | |||
Series 2019-CALM Class A, 1 month U.S. LIBOR + 0.870% 0.988% 11/15/32 (b)(e)(f) | 1,900,000 | 1,901,181 | |
Series 2020-BXLP Class A, 1 month U.S. LIBOR + 0.800% 0.912% 12/15/36 (b)(e)(f) | 8,794,174 | 8,800,794 | |
Series 2020-FOX Class A, 1 month U.S. LIBOR + 1.000% 1.112% 11/15/32 (b)(e)(f) | 5,153,000 | 5,169,106 | |
BX Trust: | |||
floater: | |||
Series 2018-EXCL: | |||
Class A, 1 month U.S. LIBOR + 1.088% 1.1996% 9/15/37 (b)(e)(f) | 3,889,969 | 3,730,175 | |
Class B, 1 month U.S. LIBOR + 1.320% 1.437% 9/15/37 (b)(e)(f) | 4,446,198 | 4,172,894 | |
Class D, 1 month U.S. LIBOR + 2.620% 2.737% 9/15/37 (b)(e)(f) | 2,530,703 | 2,005,773 | |
Series 2018-IND: | |||
Class B, 1 month U.S. LIBOR + 0.900% 1.012% 11/15/35 (b)(e)(f) | 910,000 | 910,285 | |
Class F, 1 month U.S. LIBOR + 1.800% 1.912% 11/15/35 (b)(e)(f) | 2,713,900 | 2,714,753 | |
Series 2019-IMC: | |||
Class B, 1 month U.S. LIBOR + 1.300% 1.412% 4/15/34 (b)(e)(f) | 4,464,000 | 4,441,698 | |
Class C, 1 month U.S. LIBOR + 1.600% 1.712% 4/15/34 (b)(e)(f) | 2,952,000 | 2,915,133 | |
Class D, 1 month U.S. LIBOR + 1.900% 2.012% 4/15/34 (b)(e)(f) | 3,099,000 | 3,052,556 | |
Series 2019-XL: | |||
Class B, 1 month U.S. LIBOR + 1.080% 1.192% 10/15/36 (b)(e)(f) | 3,807,634 | 3,810,363 | |
Class C, 1 month U.S. LIBOR + 1.250% 1.362% 10/15/36 (b)(e)(f) | 4,787,309 | 4,790,730 | |
Class D, 1 month U.S. LIBOR + 1.450% 1.562% 10/15/36 (b)(e)(f) | 6,779,885 | 6,784,711 | |
Class E, 1 month U.S. LIBOR + 1.800% 1.912% 10/15/36 (b)(e)(f) | 9,527,153 | 9,533,889 | |
Series 2020-BXLP Class E, 1 month U.S. LIBOR + 1.600% 1.712% 12/15/36 (b)(e)(f) | 4,667,539 | 4,666,136 | |
floater sequential payer Series 2021-MFM1 Class A, 1 month U.S. LIBOR + 0.700% 0.8123% 1/15/34 (b)(e)(f) | 3,562,000 | 3,579,104 | |
floater, sequential payer: | |||
Series 2019-IMC Class A, 1 month U.S. LIBOR + 1.000% 1.112% 4/15/34 (b)(e)(f) | 6,200,000 | 6,192,256 | |
Series 2019-XL Class A, 1 month U.S. LIBOR + 0.920% 1.032% 10/15/36 (b)(e)(f) | 13,480,029 | 13,502,919 | |
BXMT, Ltd. floater Series 2020-FL3 Class A, 1 month U.S. LIBOR + 1.400% 1.5083% 3/15/37 (b)(f) | 20,100,000 | 20,137,402 | |
CD Commercial Mortgage Trust Series 2017-CD6 Class A3, 3.104% 11/13/50 | 2,500,000 | 2,616,970 | |
CF Hippolyta Issuer LLC sequential payer Series 2020-1: | |||
Class A1, 1.69% 7/15/60 (b) | 17,591,111 | 17,695,043 | |
Class A2, 1.99% 7/15/60 (b) | 7,055,190 | 6,978,004 | |
CFCRE Commercial Mortgage Trust sequential payer Series 2011-C2 Class A4, 3.8343% 12/15/47 | 7,254,056 | 7,299,085 | |
CFCRE Mortgage Trust sequential payer Series 2016-C6 Class A2, 2.95% 11/10/49 | 1,000,000 | 1,054,310 | |
CGDB Commercial Mortgage Trust floater Series 2019-MOB: | |||
Class A, 1 month U.S. LIBOR + 0.950% 1.0623% 11/15/36 (b)(e)(f) | 3,687,000 | 3,686,999 | |
Class B, 1 month U.S. LIBOR + 1.250% 1.3623% 11/15/36 (b)(e)(f) | 1,400,000 | 1,399,560 | |
CGMS Commercial Mortgage Trust Series 2017-MDRA Class A, 3.656% 7/10/30 (b) | 4,982,000 | 5,090,415 | |
CHC Commercial Mortgage Trust floater Series 2019-CHC: | |||
Class A, 1 month U.S. LIBOR + 1.120% 1.232% 6/15/34 (b)(e)(f) | 13,996,602 | 13,910,106 | |
Class B, 1 month U.S. LIBOR + 1.500% 1.612% 6/15/34 (b)(e)(f) | 2,109,895 | 2,062,576 | |
Class C, 1 month U.S. LIBOR + 1.750% 1.862% 6/15/34 (b)(e)(f) | 2,383,714 | 2,294,695 | |
CHT Mortgage Trust floater Series 2017-CSMO Class A, 1 month U.S. LIBOR + 0.930% 1.0423% 11/15/36 (b)(e)(f) | 16,200,000 | 16,212,673 | |
Citigroup Commercial Mortgage Trust: | |||
floater Series 2020-WSS Class A, 1 month U.S. LIBOR + 1.950% 2.0623% 2/15/39 (b)(e)(f) | 6,045,385 | 6,175,050 | |
sequential payer Series 2016-GC37 Class A3, 3.05% 4/10/49 | 3,635,648 | 3,814,141 | |
Series 2015-GC29 Class XA, 1.0361% 4/10/48 (e)(k) | 30,481,226 | 1,123,251 | |
Series 2015-GC33 Class XA, 0.8832% 9/10/58 (e)(k) | 18,425,089 | 625,867 | |
Series 2016-C2 Class A3, 2.575% 8/10/49 | 2,800,000 | 2,914,935 | |
Series 2016-GC36 Class A4, 3.349% 2/10/49 | 2,500,000 | 2,697,616 | |
Series 2016-P6 Class XA, 0.7704% 12/10/49 (e)(k) | 17,198,453 | 436,318 | |
COMM Mortgage Trust: | |||
sequential payer: | |||
Series 2013-CR7 Class AM, 3.314% 3/10/46 (b) | 1,700,000 | 1,777,610 | |
Series 2014-CR18 Class A5, 3.828% 7/15/47 | 1,610,000 | 1,757,812 | |
Series 2014-CR17 Class XA, 0.9668% 5/10/47 (e)(k) | 18,527,438 | 454,233 | |
Series 2014-CR20 Class XA, 1.0187% 11/10/47 (e)(k) | 17,717,157 | 550,194 | |
Series 2014-LC17 Class XA, 0.7221% 10/10/47 (e)(k) | 39,889,065 | 829,030 | |
Series 2014-UBS6: | |||
Class A5, 3.644% 12/10/47 | 3,900,000 | 4,264,344 | |
Class XA, 0.8865% 12/10/47 (e)(k) | 10,821,130 | 284,542 | |
Series 2015-CR23 Class A3, 3.23% 5/10/48 | 2,500,000 | 2,706,669 | |
Series 2015-CR24 Class A4, 3.432% 8/10/48 | 1,422,827 | 1,549,483 | |
Series 2015-PC1 Class A4, 3.62% 7/10/50 | 1,462,650 | 1,507,210 | |
Core Industrial Trust floater Series 2019-CORE Class A, 1 month U.S. LIBOR + 0.880% 0.992% 12/15/31 (b)(e)(f) | 2,583,000 | 2,587,934 | |
Credit Suisse Mortgage Trust: | |||
floater Series 2019-ICE4 Class A, 1 month U.S. LIBOR + 0.980% 1.092% 5/15/36 (b)(e)(f) | 5,263,000 | 5,271,398 | |
sequential payer Series 2020-NET Class A, 2.2569% 8/15/37 (b) | 2,253,000 | 2,305,276 | |
Series 2018-SITE: | |||
Class A, 4.284% 4/15/36 (b) | 5,237,000 | 5,221,066 | |
Class B, 4.5349% 4/15/36 (b) | 1,543,000 | 1,526,990 | |
Class C, 4.782% 4/15/36 (b)(e) | 1,033,000 | 996,613 | |
Class D, 4.782% 4/15/36 (b)(e) | 2,066,000 | 1,855,942 | |
CSAIL Commercial Mortgage Trust Series 2016-C7 Class A4, 3.21% 11/15/49 | 3,186,022 | 3,415,110 | |
CSMC Commercial Mortgage Trust sequential payer Series 2016-NXSR Class A4, 3.7948% 12/15/49 | 2,000,000 | 2,232,058 | |
DBUBS Mortgage Trust Series 2011-LC3A Class C, 5.3363% 8/10/44 (b)(e) | 3,400,000 | 3,410,398 | |
DBWF Mortgage Trust Series 2018-AMXP Class B, 3.9956% 5/5/35 (b)(e) | 762,000 | 768,139 | |
Freddie Mac: | |||
sequential payer: | |||
Series 2017-K069 Class AM, 3.248% 9/25/27 | 1,750,000 | 1,943,442 | |
Series 2018-K083 Class AM, 4.03% 10/25/28 | 1,150,000 | 1,347,352 | |
Series 2020-K118 Class A2, 1.493% 9/25/30 | 20,339,000 | 20,039,870 | |
Series 2020-K120 Class A2, 1.5% 10/25/30 | 5,700,000 | 5,613,128 | |
Series 2020-K121 Class A2, 1.547% 10/25/30 | 5,600,000 | 5,557,004 | |
Series 2020-K739 Class A2, 1.336% 9/25/27 | 9,936,000 | 10,005,255 | |
Series 2019-K095 Class X1, 0.9483% 6/25/29 (e)(k) | 13,965,009 | 981,982 | |
Series 2020-K111 Class X1, 1.5724% 5/25/30 (e)(k) | 24,975,425 | 3,180,735 | |
Series 2020-K122 Class A2, 1.521% 11/25/30 | 3,500,000 | 3,450,608 | |
Series 2021-K124 Class X1, 0.7217% 12/25/30 (e)(k) | 6,500,000 | 404,611 | |
Series 2021-K741 Class X1, 0.6577% 12/25/27 (e)(k) | 140,908,579 | 5,038,694 | |
Series K076 Class AM, 3.9% 4/25/28 | 2,125,000 | 2,444,611 | |
Series K077 Class AM, 3.85% 5/25/28 | 660,000 | 767,105 | |
GB Trust floater Series 2020-FLIX: | |||
Class A, 1 month U.S. LIBOR + 1.120% 1.232% 8/15/37 (b)(e)(f) | 4,400,000 | 4,434,698 | |
Class B, 1 month U.S. LIBOR + 1.350% 1.462% 8/15/37 (b)(e)(f) | 930,000 | 933,178 | |
Class C, 1 month U.S. LIBOR + 1.600% 1.712% 8/15/37 (b)(e)(f) | 500,000 | 504,771 | |
GPMT, Ltd. / GPMT LLC floater Series 2018-FL1 Class A, 1 month U.S. LIBOR + 0.900% 1.0111% 11/21/35 (b)(e)(f) | 7,676,043 | 7,653,360 | |
GS Mortgage Securities Corp. sequential payer Series 2017-375H Class A, 3.475% 9/10/37 (b)(e) | 4,490,000 | 4,916,303 | |
GS Mortgage Securities Corp. Trust floater Series 2019-BOCA Class A, 1 month U.S. LIBOR + 1.200% 1.312% 6/15/38 (b)(e)(f) | 6,630,000 | 6,646,385 | |
GS Mortgage Securities Trust: | |||
floater: | |||
Series 2018-3PCK Class A, 1 month U.S. LIBOR + 1.450% 1.562% 9/15/31 (b)(e)(f) | 17,575,000 | 17,047,950 | |
Series 2018-HART Class A, 1 month U.S. LIBOR + 1.090% 1.202% 10/15/31 (b)(e)(f) | 4,013,000 | 4,017,206 | |
Series 2021-RENT Class C, 1 month U.S. LIBOR + 1.550% 1.8% 11/21/23 (b)(e)(f) | 3,525,000 | 3,526,056 | |
sequential payer: | |||
Series 2014-GC18 Class A3, 3.801% 1/10/47 | 952,518 | 1,004,730 | |
Series 2015-GS1 Class A3, 3.734% 11/10/48 | 13,884,000 | 15,342,430 | |
Series 2011-GC5 Class A/S, 5.209% 8/10/44 (b) | 16,867,000 | 16,969,157 | |
Series 2015-GC30 Class A3, 3.119% 5/10/50 | 1,940,264 | 2,065,520 | |
Series 2015-GC34 Class XA, 1.2218% 10/10/48 (e)(k) | 5,640,001 | 261,417 | |
Series 2019-GC40 Class A3, 2.904% 7/10/52 | 2,000,000 | 2,127,772 | |
Series 2021-RENT: | |||
Class D, 1 month U.S. LIBOR + 1.850% 2.1% 11/21/23 (b)(e)(f) | 2,175,000 | 2,175,655 | |
Class XCP, 2.7325% 11/21/23 (b)(k) | 72,804,200 | 1,479,454 | |
JP Morgan Chase Commercial Mortgage Securities Trust floater: | |||
Series 2018-ASH8 Class A, 1 month U.S. LIBOR + 0.800% 0.912% 2/15/35 (b)(f) | 7,820,000 | 7,829,501 | |
Series 2018-LAQ Class A, 1 month U.S. LIBOR + 1.000% 1.112% 6/15/32 (b)(e)(f) | 5,362,420 | 5,362,302 | |
Series 2018-PHH Class A, 1 month U.S. LIBOR + 0.910% 2.41% 6/15/35 (b)(e)(f) | 2,936,330 | 2,942,237 | |
JPMBB Commercial Mortgage Securities sequential payer Series 2014-C25 Class A4A2, 3.408% 11/15/47 (b) | 9,320,026 | 9,958,481 | |
JPMBB Commercial Mortgage Securities Trust: | |||
sequential payer: | |||
Series 2014-C18 Class A4A2, 3.7938% 2/15/47 (b) | 7,456,112 | 7,928,969 | |
Series 2015-C29 Class A3A2, 3.3423% 5/15/48 (b) | 5,405,583 | 5,771,545 | |
Series 2013-C14 Class A/S, 4.4093% 8/15/46 | 3,088,000 | 3,285,488 | |
Series 2014-C19 Class XA, 0.7404% 4/15/47 (e)(k) | 3,406,808 | 53,374 | |
Series 2015-C30 Class A4, 3.5508% 7/15/48 | 1,900,000 | 2,060,033 | |
JPMorgan Chase Commercial Mortgage Securities Corp.: | |||
Series 2012-CBX Class A/S, 4.2707% 6/15/45 | 1,177,000 | 1,222,946 | |
Series 2012-LC9 Class A/S, 3.3533% 12/15/47 (b) | 750,000 | 773,032 | |
JPMorgan Chase Commercial Mortgage Securities Trust: | |||
floater Series 2019-BKWD Class A, 1 month U.S. LIBOR + 1.000% 1.112% 9/15/29 (b)(e)(f) | 6,300,000 | 6,312,759 | |
Series 2018-WPT: | |||
Class AFX, 4.2475% 7/5/33 (b) | 2,700,000 | 2,866,787 | |
Class CFX, 4.9498% 7/5/33 (b) | 919,000 | 972,155 | |
Class DFX, 5.3503% 7/5/33 (b) | 1,414,000 | 1,493,843 | |
Class EFX, 5.5422% 7/5/33 (b) | 1,934,000 | 1,994,135 | |
Class XAFX, 1.116% 7/5/33 (b)(e)(k) | 10,000,000 | 242,792 | |
Series 2019-COR4 Class A3, 3.7629% 3/10/52 | 5,400,000 | 6,012,864 | |
Ladder Capital Commercial Mortgage Securities Trust sequential payer Series 2014-909 Class A, 3.388% 5/15/31 (b) | 2,400,000 | 2,399,560 | |
MBRT floater Series 2019-MBR Class A, 1 month U.S. LIBOR + 0.850% 0.962% 11/15/36 (b)(e)(f) | 6,000,000 | 5,999,977 | |
Merit floater Series 2020-HILL Class A, 1 month U.S. LIBOR + 1.150% 1.262% 8/15/37 (b)(e)(f) | 2,102,000 | 2,110,551 | |
Morgan Stanley BAML Trust: | |||
sequential payer: | |||
Series 2015-C21 Class A3, 3.077% 3/15/48 | 3,732,073 | 3,921,134 | |
Series 2016-C28 Class A3, 3.272% 1/15/49 | 4,105,203 | 4,405,687 | |
Series 2016-C29 Class ASB, 3.14% 5/15/49 | 500,000 | 530,874 | |
Series 2015-C25: | |||
Class A4, 3.372% 10/15/48 | 2,800,000 | 3,033,221 | |
Class XA, 1.0528% 10/15/48 (e)(k) | 10,345,002 | 384,764 | |
Series 2015-C26 Class A4, 3.252% 10/15/48 | 3,200,000 | 3,440,057 | |
Series 2016-C32 Class A3, 3.459% 12/15/49 | 5,100,000 | 5,645,689 | |
Morgan Stanley Capital Barclays Bank Trust sequential payer Series 2016-MART Class A, 2.2004% 9/13/31 (b) | 1,893,000 | 1,894,879 | |
Morgan Stanley Capital I Trust: | |||
floater Series 2018-BOP Class A, 1 month U.S. LIBOR + 0.850% 0.962% 8/15/33 (b)(e)(f) | 6,888,548 | 6,880,287 | |
floater sequential payer Series 2019-NUGS Class A, 1 month U.S. LIBOR + 0.950% 2.45% 12/15/36 (b)(e)(f) | 5,200,000 | 5,323,339 | |
sequential payer Series 2019-MEAD Class A, 3.17% 11/10/36 (b) | 13,482,000 | 14,078,163 | |
Series 2011-C3 Class AJ, 5.2442% 7/15/49 (b)(e) | 4,200,000 | 4,240,920 | |
Series 2015-UBS8 Class A3, 3.54% 12/15/48 | 3,000,000 | 3,250,895 | |
Series 2016-UB12 Class A3, 3.337% 12/15/49 | 2,000,000 | 2,105,742 | |
Series 2018-H4 Class A4, 4.31% 12/15/51 | 3,237,000 | 3,737,190 | |
Series 2018-MP Class A, 4.276% 7/11/40 (b)(e) | 3,340,000 | 3,631,557 | |
Series 2019-MEAD: | |||
Class B, 3.1771% 11/10/36 (b)(e) | 1,558,000 | 1,571,880 | |
Class C, 3.1771% 11/10/36 (b)(e) | 1,495,000 | 1,485,112 | |
Class D, 3.1771% 11/10/36 (b)(e) | 2,340,000 | 2,295,150 | |
ONE Mortgage Trust floater Series 2021-PARK Class E, 1 month U.S. LIBOR + 1.750% 2% 3/15/36 (b)(e)(f) | 5,759,000 | 5,723,036 | |
PFP, Ltd. floater Series 2019-5 Class A, 1 month U.S. LIBOR + 0.970% 1.0774% 4/14/36 (b)(e)(f) | 6,935,809 | 6,931,495 | |
RBSCF Trust Series 2013-GSP Class A, 3.8336% 1/15/32 (b)(e) | 5,000,000 | 5,295,584 | |
RETL floater Series 2019-RVP Class C, 1 month U.S. LIBOR + 2.100% 2.212% 3/15/36 (b)(e)(f) | 7,852,365 | 7,812,858 | |
SFAVE Commercial Mortgage Securities Trust Series 2015-5AVE: | |||
Class A1, 3.872% 1/5/43 (b)(e) | 740,000 | 751,532 | |
Class A2A, 3.659% 1/5/43 (b)(e) | 11,245,000 | 11,342,108 | |
U.S. sequential payer Series 2018-USDC Class A, 4.106% 5/13/38 (b) | 4,000,000 | 4,372,660 | |
UBS Commercial Mortgage Trust: | |||
Series 2012-C1 Class A/S, 4.171% 5/10/45 | 6,570,000 | 6,754,801 | |
Series 2017-C1 Class A3, 3.283% 11/15/50 | 5,500,000 | 5,961,999 | |
Series 2017-C7 Class XA, 1.0307% 12/15/50 (e)(k) | 17,221,340 | 887,388 | |
Series 2018-C11 Class A3, 4.3124% 6/15/51 | 4,100,000 | 4,540,629 | |
Series 2018-C13 Class A3, 4.0694% 10/15/51 | 6,000,000 | 6,734,180 | |
Series 2018-C9 Class ASB, 4.09% 3/15/51 | 3,300,000 | 3,698,147 | |
UBS-Barclays Commercial Mortgage Trust: | |||
floater Series 2013-C6 Class A3, 1 month U.S. LIBOR + 0.790% 0.8995% 4/10/46 (b)(e)(f) | 5,266,886 | 5,248,894 | |
Series 2012-C3 Class A/S, 3.814% 8/10/49 (b) | 1,400,000 | 1,455,711 | |
VLS Commercial Mortgage Trust: | |||
sequential payer Series 2020-LAB Class A, 2.13% 10/10/42 (b) | 3,760,000 | 3,736,799 | |
Series 2020-LAB: | |||
Class B, 2.453% 10/10/42 (b) | 300,000 | 300,592 | |
Class X, 0.4294% 10/10/42 (b)(e)(k) | 8,700,000 | 317,153 | |
Wells Fargo Commercial Mortgage Trust: | |||
sequential payer: | |||
Series 2015-C29 Class ASB, 3.4% 6/15/48 | 1,281,154 | 1,352,368 | |
Series 2016-LC24 Class A3, 2.684% 10/15/49 | 3,300,000 | 3,483,813 | |
Series 2015-C31 Class XA, 0.9726% 11/15/48 (e)(k) | 6,780,983 | 255,130 | |
Series 2017-C42 Class XA, 0.8822% 12/15/50 (e)(k) | 35,446,259 | 1,752,555 | |
Series 2018-C46 Class XA, 0.9387% 8/15/51 (e)(k) | 15,620,935 | 740,621 | |
Series 2018-C48 Class A5, 4.302% 1/15/52 | 3,181,000 | 3,676,213 | |
WF-RBS Commercial Mortgage Trust: | |||
floater Series 2013-C14 Class A3, 1 month U.S. LIBOR + 0.720% 0.8283% 6/15/46 (b)(e)(f) | 4,691,983 | 4,692,712 | |
Series 2012-C9 Class A/S, 3.388% 11/15/45 | 400,000 | 414,210 | |
Series 2014-C24 Class XA, 0.8542% 11/15/47 (e)(k) | 6,188,092 | 167,835 | |
Series 2014-LC14 Class XA, 1.2618% 3/15/47 (e)(k) | 8,556,994 | 264,229 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES | |||
(Cost $764,900,390) | 768,564,466 | ||
Municipal Securities - 0.2% | |||
Bay Area Toll Auth. San Francisco Bay Toll Bridge Rev. Series 2009 F2, 6.263% 4/1/49 | 3,295,000 | 5,305,840 | |
California Gen. Oblig. Series 2009, 7.5% 4/1/34 | 205,000 | 327,570 | |
Colorado Reg'l. Trans. District Sales Tax Rev. (Fastracks Proj.) Series 2010 B, 5.844% 11/1/50 | 45,000 | 70,615 | |
District of Columbia Income Tax Rev. Series 2010 F, 5.582% 12/1/35 | 75,000 | 100,463 | |
Illinois Gen. Oblig.: | |||
Series 2003: | $ | $ | |
4.95% 6/1/23 | 5,431,636 | 5,641,352 | |
5.1% 6/1/33 | 23,505,000 | 26,257,906 | |
Series 2010-1, 6.63% 2/1/35 | 3,845,000 | 4,545,444 | |
Series 2010-3: | |||
6.725% 4/1/35 | 2,510,000 | 2,985,896 | |
7.35% 7/1/35 | 4,655,000 | 5,719,971 | |
Series 2010-5, 6.2% 7/1/21 | 479,000 | 485,871 | |
Jobsohio Beverage Sys. Statewide Series 2020 A, 2.833% 1/1/38 | 325,000 | 341,923 | |
Los Angeles Dept. Arpt. Rev. Series C: | |||
2.063% 5/15/34 | 500,000 | 488,270 | |
2.163% 5/15/35 | 500,000 | 487,095 | |
Los Angeles Dept. of Wtr. & Pwr. Rev. Series 2010 A, 5.716% 7/1/39 | 190,000 | 271,618 | |
Massachusetts Commonwealth Trans. Fund Rev. (Accelerated Bridge Prog.) Series 2010 A, 5.731% 6/1/40 | 150,000 | 206,015 | |
Miami-Dade County Aviation Rev. Series 2019 E, 2.529% 10/1/30 | 2,000,000 | 2,045,600 | |
Michigan Fin. Auth. Rev. Series 2019 T, 3.384% 12/1/40 | 545,000 | 586,883 | |
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 | 12,120,212 | |
New Jersey Tpk. Auth. Tpk. Rev.: | |||
Series 2009 E, 7.414% 1/1/40 | 1,620,000 | 2,646,092 | |
Series 2010 A, 7.102% 1/1/41 | 825,000 | 1,308,863 | |
Series 2021 B: | |||
1.963% 1/1/32 | 1,000,000 | 980,370 | |
2.113% 1/1/33 | 1,050,000 | 1,033,494 | |
New York City Gen. Oblig. Series A3, 2.8% 8/1/30 | 3,250,000 | 3,467,425 | |
New York City Muni. Wtr. Fin. Auth. Wtr. & Swr. Sys. Rev. Series 2010 DD, 5.952% 6/15/42 | 25,000 | 36,911 | |
New York City Transitional Fin. Auth. Rev.: | |||
Series 2010 C2, 5.767% 8/1/36 | 900,000 | 1,160,865 | |
Series A3, 3.88% 8/1/31 | 1,170,000 | 1,318,321 | |
Series A5, 2.69% 5/1/33 | 2,015,000 | 2,116,455 | |
Series B2, 3.14% 8/1/28 | 2,735,000 | 2,997,970 | |
New York State Dorm. Auth. Series 2019 F, 3.11% 2/15/39 | 3,250,000 | 3,430,278 | |
Ohio State Univ. Gen. Receipts: | |||
Series 2010 C, 4.91% 6/1/40 | 140,000 | 185,560 | |
Series 2011 A, 4.8% 6/1/11 | 1,403,000 | 1,856,674 | |
Port Auth. of New York & New Jersey 174th Series, 4.458% 10/1/62 | 515,000 | 660,369 | |
Salt River Proj. Agricultural Impt. & Pwr. District Elec. Sys. Rev. Series 2010 A, 4.839% 1/1/41 | 750,000 | 980,723 | |
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 | 613,525 | |
Univ. of California Revs. Series 2015 J, 4.131% 5/15/45 | 1,750,000 | 2,023,105 | |
Univ. of Michigan Rev. Series 2020 B, 2.437% 4/1/40 | 1,050,000 | 1,051,407 | |
TOTAL MUNICIPAL SECURITIES | |||
(Cost $89,190,229) | 95,856,951 | ||
Foreign Government and Government Agency Obligations - 0.2% | |||
Arab Republic of Egypt: | |||
4.75% 4/11/25 (b) | EUR | $1,430,000 | $1,793,842 |
7.6003% 3/1/29 (b) | 632,000 | 695,595 | |
Brazil Minas SPE 5.333% 2/15/28 (Reg. S) | 1,526,000 | 1,652,849 | |
Brazilian Federative Republic 3.875% 6/12/30 | 1,800,000 | 1,793,813 | |
Chilean Republic 2.55% 1/27/32 | 650,000 | 657,922 | |
Colombian Republic: | |||
3% 1/30/30 | 1,100,000 | 1,090,031 | |
3.125% 4/15/31 | 200,000 | 198,125 | |
5.2% 5/15/49 | 200,000 | 222,688 | |
10.375% 1/28/33 | 750,000 | 1,183,828 | |
Dominican Republic: | |||
4.875% 9/23/32 | 1,570,000 | 1,591,588 | |
5.95% 1/25/27 (b) | 600,000 | 670,500 | |
6% 7/19/28 (b) | 1,250,000 | 1,410,547 | |
Emirate of Abu Dhabi 2.5% 9/30/29 (Reg. S) | 1,200,000 | 1,241,400 | |
Hungarian Republic: | |||
1.75% 6/5/35 (Reg. S) | EUR | 770,000 | 994,367 |
7.625% 3/29/41 | 550,000 | 913,688 | |
Indonesian Republic: | |||
1.1% 3/12/33 | EUR | 2,500,000 | 2,948,507 |
2.8% 6/23/30 (b) | 1,300,000 | 1,313,000 | |
3.4% 9/18/29 | 420,000 | 448,088 | |
3.5% 1/11/28 | 4,230,000 | 4,545,928 | |
Israeli State: | |||
3.875% 7/3/50 | 1,750,000 | 1,915,970 | |
4% 6/30/22 | 1,700,000 | 1,779,907 | |
Italian Republic 2.375% 10/17/24 | 3,800,000 | 3,976,634 | |
Kingdom of Saudi Arabia: | |||
3.625% 3/4/28 (Reg. S) | 800,000 | 879,250 | |
3.75% 1/21/55 (b) | 400,000 | 395,750 | |
Ministry of Finance of the Russian Federation 4.375% 3/21/29(Reg. S) | 400,000 | 450,000 | |
Panamanian Republic: | |||
3.16% 1/23/30 | 3,620,000 | 3,761,406 | |
3.875% 3/17/28 | 200,000 | 218,938 | |
4.3% 4/29/53 | 615,000 | 664,969 | |
4.5% 4/16/50 | 400,000 | 444,000 | |
4.5% 4/1/56 | 445,000 | 489,361 | |
Peruvian Republic 2.844% 6/20/30 | 2,030,000 | 2,097,244 | |
Philippine Republic 3.7% 3/1/41 | 1,010,000 | 1,069,969 | |
Province of Quebec yankee 7.125% 2/9/24 | 810,000 | 963,341 | |
Republic of Paraguay: | |||
2.739% 1/29/33 (b) | 400,000 | 382,750 | |
4.95% 4/28/31 (b) | 400,000 | 452,125 | |
Republic of Serbia 2.125% 12/1/30 (b) | 1,430,000 | 1,346,338 | |
Romanian Republic: | |||
3% 2/14/31 (Reg. S) | 664,000 | 671,885 | |
3.875% 10/29/35 (b) | EUR | 710,000 | 1,017,005 |
4.125% 3/11/39 | EUR | 1,540,000 | 2,208,801 |
South African Republic 4.85% 9/30/29 | 1,740,000 | 1,752,506 | |
State of Qatar: | |||
3.4% 4/16/25 (b) | 3,165,000 | 3,456,773 | |
4.5% 4/23/28 (Reg. S) | 900,000 | 1,059,750 | |
4.625% 6/2/46 (Reg. S) | 400,000 | 479,250 | |
5.103% 4/23/48 (b) | 1,200,000 | 1,522,875 | |
Turkish Republic 7.25% 12/23/23 | 1,200,000 | 1,302,000 | |
Ukraine Government: | |||
4.375% 1/27/30 (b) | EUR | 1,250,000 | 1,383,762 |
6.75% 6/20/26 (Reg. S) | EUR | 950,000 | 1,221,802 |
7.75% 9/1/22 (b) | 1,800,000 | 1,892,700 | |
8.994% 2/1/24 (Reg. S) | 1,250,000 | 1,381,250 | |
United Mexican States: | |||
2.659% 5/24/31 | 3,577,000 | 3,411,564 | |
3.771% 5/24/61 | 950,000 | 832,141 | |
4.15% 3/28/27 | 275,000 | 306,625 | |
4.75% 3/8/44 | 2,246,000 | 2,363,915 | |
Uruguay Republic: | |||
4.375% 1/23/31 | 610,000 | 705,313 | |
4.975% 4/20/55 | 525,000 | 638,859 | |
5.1% 6/18/50 | 2,105,000 | 2,597,044 | |
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | |||
(Cost $77,978,304) | 76,860,078 | ||
Bank Loan Obligations - 0.1% | |||
COMMUNICATION SERVICES - 0.0% | |||
Diversified Telecommunication Services - 0.0% | |||
Level 3 Financing, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 1.750% 1.8645% 3/1/27 (e)(f)(n) | 750,000 | 747,345 | |
Lumen Technologies, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.250% 2.3645% 3/15/27 (e)(f)(n) | 3,250,000 | 3,235,960 | |
Zayo Group Holdings, Inc. 1LN, term loan 3 month U.S. LIBOR + 3.000% 3.1145% 3/9/27 (e)(f)(n) | 1,500,000 | 1,497,135 | |
5,480,440 | |||
Media - 0.0% | |||
CSC Holdings LLC Tranche B3 1LN, term loan 3 month U.S. LIBOR + 2.250% 2.361% 1/15/26 (e)(f)(n) | 2,000,000 | 1,987,140 | |
Neptune Finco Corp. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 2.361% 7/17/25 (e)(f)(n) | 598,446 | 594,651 | |
Sinclair Television Group, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.500% 2.62% 9/30/26 (e)(f)(n) | 600,000 | 597,378 | |
Virgin Media Bristol LLC Tranche N, term loan 3 month U.S. LIBOR + 2.500% 2.6122% 1/31/28 (e)(f)(n) | 2,000,000 | 1,994,540 | |
5,173,709 | |||
TOTAL COMMUNICATION SERVICES | 10,654,149 | ||
CONSUMER DISCRETIONARY - 0.0% | |||
Hotels, Restaurants & Leisure - 0.0% | |||
Caesars Resort Collection LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 2.8645% 12/22/24 (e)(f)(n) | 2,000,000 | 1,981,260 | |
Churchill Downs, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.000% 4.35% 12/27/24 (e)(f)(n) | 1,100,000 | 1,094,500 | |
Penn National Gaming, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3% 10/15/25 (e)(f)(n) | 2,000,000 | 1,996,780 | |
5,072,540 | |||
CONSUMER STAPLES - 0.0% | |||
Food & Staples Retailing - 0.0% | |||
BJ's Wholesale Club, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.000% 2.1123% 2/3/24 (e)(f)(n) | 575,000 | 576,052 | |
Food Products - 0.0% | |||
JBS U.S.A. Lux SA Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.000% 2.1145% 5/1/26 (e)(f)(n) | 3,000,000 | 2,992,800 | |
TOTAL CONSUMER STAPLES | 3,568,852 | ||
ENERGY - 0.0% | |||
Oil, Gas & Consumable Fuels - 0.0% | |||
Buckeye Partners LP 1LN, term loan 3 month U.S. LIBOR + 2.250% 11/1/26 (f)(n)(o) | 250,000 | 249,648 | |
FINANCIALS - 0.0% | |||
Diversified Financial Services - 0.0% | |||
Avolon TLB Borrower 1 (U.S.) LLC Tranche B3 1LN, term loan 3 month U.S. LIBOR + 1.750% 2.5% 1/15/25 (e)(f)(n) | 725,000 | 722,383 | |
Delos Finance SARL Tranche B, term loan 3 month U.S. LIBOR + 1.750% 3.2001% 10/6/23 (e)(f)(n) | 725,000 | 724,739 | |
1,447,122 | |||
Insurance - 0.0% | |||
AmWINS Group, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.250% 3% 2/16/28 (e)(f)(n) | 2,500,000 | 2,498,950 | |
TOTAL FINANCIALS | 3,946,072 | ||
HEALTH CARE - 0.1% | |||
Health Care Providers & Services - 0.0% | |||
Gentiva Health Services, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 2.875% 7/2/25 (e)(f)(n) | 2,670,000 | 2,671,682 | |
Horizon Pharma U.S.A., Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.000% 2/25/28 (f)(n)(o) | 1,250,000 | 1,251,563 | |
3,923,245 | |||
Health Care Technology - 0.0% | |||
IQVIA, Inc. Tranche B2 1LN, term loan 3 month U.S. LIBOR + 2.000% 1/18/25 (f)(n)(o) | 800,000 | 799,200 | |
Pharmaceuticals - 0.1% | |||
Elanco Animal Health, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 1.750% 1.8729% 8/1/27 (e)(f)(n) | 3,000,000 | 2,992,500 | |
Valeant Pharmaceuticals International, Inc. Tranche B 2LN, term loan 3 month U.S. LIBOR + 2.750% 2.8708% 11/27/25 (e)(f)(n) | 3,000,000 | 2,997,660 | |
5,990,160 | |||
TOTAL HEALTH CARE | 10,712,605 | ||
INDUSTRIALS - 0.0% | |||
Road & Rail - 0.0% | |||
Genesee & Wyoming, Inc. 1LN, term loan 3 month U.S. LIBOR + 2.000% 2.2539% 12/30/26 (e)(f)(n) | 725,000 | 725,602 | |
INFORMATION TECHNOLOGY - 0.0% | |||
Communications Equipment - 0.0% | |||
CommScope, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 3.3645% 4/4/26 (e)(f)(n) | 600,000 | 598,596 | |
Software - 0.0% | |||
SS&C Technologies, Inc.: | |||
Tranche B 3LN, term loan 3 month U.S. LIBOR + 1.750% 1.8645% 4/16/25 (e)(f)(n) | 283,852 | 282,788 | |
Tranche B 4LN, term loan 3 month U.S. LIBOR + 1.750% 1.8645% 4/16/25 (e)(f)(n) | 216,148 | 215,337 | |
Tranche B 5LN, term loan 3 month U.S. LIBOR + 1.750% 1.8645% 4/16/25 (e)(f)(n) | 600,000 | 597,750 | |
1,095,875 | |||
TOTAL INFORMATION TECHNOLOGY | 1,694,471 | ||
MATERIALS - 0.0% | |||
Chemicals - 0.0% | |||
Starfruit U.S. Holdco LLC Tranche B, term loan 3 month U.S. LIBOR + 3.000% 3.111% 10/1/25 (e)(f)(n) | 2,600,000 | 2,591,186 | |
Zep, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 8/11/24 (f)(n)(o) | 1,500,000 | 1,483,935 | |
4,075,121 | |||
Containers & Packaging - 0.0% | |||
Berry Global, Inc. Tranche Y 1LN, term loan 3 month U.S. LIBOR + 2.000% 2.1205% 7/1/26 (e)(f)(n) | 600,000 | 599,466 | |
TOTAL MATERIALS | 4,674,587 | ||
REAL ESTATE - 0.0% | |||
Real Estate Management & Development - 0.0% | |||
VICI Properties, LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 1.750% 1.8611% 12/22/24 (e)(f)(n) | 3,600,000 | 3,574,368 | |
UTILITIES - 0.0% | |||
Electric Utilities - 0.0% | |||
Vistra Operations Co. LLC Tranche B 3LN, term loan 3 month U.S. LIBOR + 1.750% 1.8631% 12/31/25 (e)(f)(n) | 500,000 | 498,045 | |
Independent Power and Renewable Electricity Producers - 0.0% | |||
Calpine Corp. Tranche B9 1LN, term loan 3 month U.S. LIBOR + 2.000% 4/1/26 (f)(n)(o) | 3,250,000 | 3,228,063 | |
TOTAL UTILITIES | 3,726,108 | ||
TOTAL BANK LOAN OBLIGATIONS | |||
(Cost $48,789,255) | 48,599,002 | ||
Bank Notes - 0.0% | |||
Discover Bank: | |||
3.45% 7/27/26 | $435,000 | $478,790 | |
4.682% 8/9/28 (e) | 3,503,000 | 3,746,459 | |
KeyBank NA 3.9% 4/13/29 | 1,830,000 | 2,066,229 | |
RBS Citizens NA 2.55% 5/13/21 | 1,705,000 | 1,709,513 | |
Regions Bank 6.45% 6/26/37 | 2,533,000 | 3,498,868 | |
Synchrony Bank 3.65% 5/24/21 | 5,843,000 | 5,870,361 | |
Truist Bank: | |||
2.25% 3/11/30 | 625,000 | 631,790 | |
2.75% 5/1/23 | 645,000 | 677,268 | |
TOTAL BANK NOTES | |||
(Cost $16,963,483) | 18,679,278 | ||
Shares | Value | ||
Fixed-Income Funds - 68.9% | |||
High Yield Fixed-Income Funds - 0.5% | |||
Stone Harbor Emerging Markets Debt Fund | 22,189,169 | $215,678,719 | |
Intermediate Government Funds - 1.1% | |||
Fidelity SAI U.S. Treasury Bond Index Fund (p) | 43,944,205 | 443,836,473 | |
Intermediate-Term Bond Funds - 65.2% | |||
Baird Core Plus Bond Fund - Institutional Class | 60,376,506 | 717,272,889 | |
BlackRock Total Return Fund Institutional Shares | 31,461,763 | 377,541,155 | |
DoubleLine Total Return Bond Fund Class N | 125,279,506 | 1,326,709,971 | |
Fidelity SAI Total Bond Fund (p) | 588,675,087 | 6,210,522,165 | |
Fidelity U.S. Bond Index Fund (p) | 7,457,949 | 90,464,916 | |
John Hancock Bond Fund Class R6 | 19,163,845 | 315,245,258 | |
JPMorgan Core Plus Bond Fund Class A | 43,408,776 | 371,579,119 | |
PIMCO Income Fund Institutional Class | 90,931,651 | 1,092,998,445 | |
PIMCO Investment Grade Credit Bond Fund Institutional Class | 59,288,507 | 647,430,497 | |
PIMCO Mortgage Opportunities Fund Institutional Class | 107,492,522 | 1,182,417,738 | |
PIMCO Total Return Fund Institutional Class | 599,345,657 | 6,215,214,395 | |
Prudential Total Return Bond Fund Class A | 78,946,562 | 1,155,777,668 | |
TCW Total Return Bond Fund N Class | 18,049,197 | 189,697,065 | |
The Bond Fund of America Class F2 | 29,142,760 | 393,427,253 | |
Voya Intermediate Bond Fund Class I | 126,924,963 | 1,320,019,619 | |
Western Asset Core Bond Fund Class I | 165,182,729 | 2,185,367,504 | |
Western Asset Core Plus Bond Fund Class I | 270,704,977 | 3,280,944,326 | |
TOTAL INTERMEDIATE-TERM BOND FUNDS | 27,072,629,983 | ||
Long Government Bond Funds - 2.1% | |||
iShares 20+ Year Treasury Bond ETF (q) | 6,072,060 | 869,033,227 | |
TOTAL FIXED-INCOME FUNDS | |||
(Cost $27,876,265,830) | 28,601,178,402 | ||
Principal Amount(a) | Value | ||
Preferred Securities - 0.2% | |||
ENERGY - 0.0% | |||
Oil, Gas & Consumable Fuels - 0.0% | |||
BP Capital Markets PLC 4.375% (e)(r) | 3,695,000 | 3,966,978 | |
Energy Transfer Partners LP 6.625% (e)(r) | 730,000 | 645,183 | |
4,612,161 | |||
FINANCIALS - 0.2% | |||
Banks - 0.2% | |||
Bank of America Corp. 4.3% (e)(r) | 3,840,000 | 3,893,380 | |
Bank of Nova Scotia 4.65% (e)(r) | 12,927,000 | 13,174,224 | |
Barclays Bank PLC 7.625% 11/21/22 | 27,412,000 | 30,721,605 | |
Citigroup, Inc. 3.875% (e)(r) | 4,320,000 | 4,300,872 | |
JPMorgan Chase & Co. 4.6% (e)(r) | 3,870,000 | 3,961,170 | |
56,051,251 | |||
TOTAL PREFERRED SECURITIES | |||
(Cost $61,542,050) | 60,663,412 | ||
Shares | Value | ||
Money Market Funds - 4.5% | |||
Fidelity Cash Central Fund 0.07% (s) | 499,574,050 | 499,673,965 | |
Fidelity Investments Money Market Government Portfolio Institutional Class 0.01% (p)(t) | 289,245,261 | 289,245,261 | |
Fidelity Securities Lending Cash Central Fund 0.08% (s)(u) | 815,068,543 | 815,150,050 | |
State Street Institutional U.S. Government Money Market Fund Premier Class .03% (t) | 246,713,546 | 246,713,546 | |
TOTAL MONEY MARKET FUNDS | |||
(Cost $1,850,779,176) | 1,850,782,822 |
Purchased Swaptions - 0.0% | ||||
Expiration Date | Notional Amount | Value | ||
Put Options - 0.0% | ||||
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 | $298,597 | |
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 | 295,513 | |
TOTAL PUT OPTIONS | 594,110 | |||
Call Options - 0.0% | ||||
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 | 261,269 | |
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 | 472,578 | |
TOTAL CALL OPTIONS | 733,847 | |||
TOTAL PURCHASED SWAPTIONS | ||||
(Cost $1,282,690) | 1,327,957 | |||
TOTAL INVESTMENT IN SECURITIES - 106.5% | ||||
(Cost $43,183,297,653) | 44,191,105,395 | |||
NET OTHER ASSETS (LIABILITIES) - (6.5)% | (2,684,845,063) | |||
NET ASSETS - 100% | $41,506,260,332 |
TBA Sale Commitments | ||
Principal Amount | Value | |
Ginnie Mae | ||
2% 3/1/51 | $(14,900,000) | $(15,131,413) |
2% 3/1/51 | (7,450,000) | (7,565,707) |
2% 3/1/51 | (10,600,000) | (10,764,630) |
2% 3/1/51 | (5,300,000) | (5,382,315) |
2.5% 3/1/51 | (9,300,000) | (9,657,617) |
2.5% 3/1/51 | (9,700,000) | (10,072,998) |
3% 3/1/51 | (4,900,000) | (5,104,708) |
3% 3/1/51 | (3,200,000) | (3,333,687) |
3% 3/1/51 | (9,700,000) | (10,105,238) |
3% 3/1/51 | (4,800,000) | (5,000,530) |
TOTAL GINNIE MAE | (82,118,843) | |
Uniform Mortgage Backed Securities | ||
2% 3/1/51 | (11,000,000) | (11,104,715) |
2% 3/1/51 | (8,600,000) | (8,681,868) |
2% 3/1/51 | (17,600,000) | (17,767,543) |
2% 3/1/51 | (15,150,000) | (15,294,220) |
2% 3/1/51 | (17,600,000) | (17,767,543) |
2% 3/1/51 | (15,150,000) | (15,294,220) |
2% 3/1/51 | (3,800,000) | (3,836,174) |
2% 3/1/51 | (8,400,000) | (8,479,964) |
2.5% 3/1/51 | (4,900,000) | (5,081,070) |
2.5% 3/1/51 | (12,000,000) | (12,443,437) |
2.5% 3/1/51 | (11,650,000) | (12,080,504) |
2.5% 3/1/51 | (17,850,000) | (18,509,613) |
2.5% 3/1/51 | (5,500,000) | (5,703,242) |
2.5% 3/1/51 | (11,200,000) | (11,613,875) |
3% 3/1/51 | (9,200,000) | (9,633,765) |
3% 3/1/51 | (8,850,000) | (9,267,263) |
3% 3/1/51 | (14,000,000) | (14,660,078) |
3% 3/1/51 | (8,800,000) | (9,214,906) |
3% 3/1/51 | (3,200,000) | (3,350,875) |
3% 3/1/51 | (14,600,000) | (15,288,367) |
3% 3/1/51 | (23,100,000) | (24,189,127) |
3% 3/1/51 | (4,900,000) | (5,131,027) |
3% 3/1/51 | (1,150,000) | (1,204,221) |
3% 3/1/51 | (7,925,000) | (8,298,651) |
3% 3/1/51 | (17,775,000) | (18,613,063) |
3% 3/1/51 | (6,000,000) | (6,282,890) |
3% 3/1/51 | (6,400,000) | (6,701,750) |
3% 3/1/51 | (13,700,000) | (14,345,933) |
3.5% 3/1/51 | (5,950,000) | (6,312,113) |
3.5% 3/1/51 | (1,200,000) | (1,273,031) |
3.5% 3/1/51 | (6,750,000) | (7,160,801) |
TOTAL UNIFORM MORTGAGE BACKED SECURITIES | (324,585,849) | |
TOTAL TBA SALE COMMITMENTS | ||
(Proceeds $406,375,724) | $(406,704,692) |
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 | $(395,265) |
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 1.27% and receive quarterly a floating rate based on 3-month LIBOR, expiring November 2030 | 11/25/25 | 28,100,000 | (1,570,826) |
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 1.2925% and receive quarterly a floating rate based on 3-month LIBOR, expiring January 2032 | 1/13/22 | 6,300,000 | (305,429) |
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 February 2026 | 2/5/26 | 5,000,000 | (192,284) |
Option on an interest rate swap with Morgan Stanley Capital Services LLC to pay semi-annually a fixed rate of 1.57% and receive quarterly a floating rate based on 3-month LIBOR, expiring February 2022 | 2/16/22 | 9,300,000 | (317,777) |
TOTAL PUT SWAPTIONS | (2,781,581) | ||
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 | (16,817) |
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 1.27% and pay quarterly a floating rate based on 3-month LIBOR, expiring November 2030 | 11/25/25 | 28,100,000 | (412,181) |
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 1.2925% and pay quarterly a floating rate based on 3-month LIBOR, expiring January 2032 | 1/13/22 | 6,300,000 | (79,945) |
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 February 2026 | 2/5/26 | 5,000,000 | (127,742) |
Option on an interest rate swap with Morgan Stanley Capital Services LLC to receive semi-annually a fixed rate of 1.57% and pay quarterly a floating rate based on 3-month LIBOR, expiring February 2022 | 2/16/22 | 9,300,000 | (213,232) |
TOTAL CALL SWAPTIONS | (849,917) | ||
TOTAL WRITTEN SWAPTIONS | $(3,631,498) |
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) | 773 | June 2021 | $95,827,844 | $(587,858) | $(587,858) |
CBOT Long Term U.S. Treasury Bond Contracts (United States) | 122 | June 2021 | 19,424,688 | (209,951) | (209,951) |
CBOT Ultra 10-Year U.S. Treasury Note Contracts (United States) | 143 | June 2021 | 21,070,156 | (228,209) | (228,209) |
CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States) | 731 | June 2021 | 138,204,688 | (953,922) | (953,922) |
TOTAL PURCHASED | (1,979,940) | ||||
Sold | |||||
Treasury Contracts | |||||
CBOT 10-Year U.S. Treasury Note Contracts (United States) | 419 | June 2021 | 55,609,156 | 637,437 | 637,437 |
CBOT 2-Year U.S. Treasury Note Contracts (United States) | 1,744 | June 2021 | 385,015,250 | 207,586 | 207,586 |
TOTAL SOLD | 845,023 | ||||
TOTAL FUTURES CONTRACTS | $(1,134,917) |
The notional amount of futures purchased as a percentage of Net Assets is 0.7%
The notional amount of futures sold as a percentage of Net Assets is 1.1%
Forward Foreign Currency Contracts | ||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation/(Depreciation) | ||
EUR | 30,655,793 | USD | 37,237,592 | Barclays Bank PLC | 3/2/21 | $(249,845) |
GBP | 4,611,123 | USD | 6,466,639 | Barclays Bank PLC | 3/2/21 | (42,422) |
USD | 5,341,155 | EUR | 4,391,946 | Barclays Bank PLC | 3/2/21 | 42,053 |
USD | 11,633,354 | EUR | 9,654,133 | Barclays Bank PLC | 3/2/21 | (14,840) |
USD | 19,287,948 | EUR | 15,924,415 | Barclays Bank PLC | 3/2/21 | 74,345 |
USD | 509,717 | EUR | 423,659 | BTIG LLC (GB) | 3/2/21 | (1,449) |
USD | 317,570 | EUR | 261,640 | Citibank N.A. | 3/2/21 | 1,888 |
USD | 1,074,131 | GBP | 784,833 | Citibank N.A. | 3/2/21 | (19,298) |
USD | 5,281,784 | GBP | 3,826,290 | Citibank N.A. | 3/2/21 | (49,003) |
USD | 37,265,948 | EUR | 30,655,793 | Barclays Bank PLC | 4/6/21 | 244,020 |
USD | 6,467,621 | GBP | 4,611,123 | Barclays Bank PLC | 4/6/21 | 41,898 |
TOTAL FORWARD FOREIGN CURRENCY CONTRACTS | $27,347 | |||||
Unrealized Appreciation | 404,204 | |||||
Unrealized Depreciation | (376,857) |
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 | $2,660,000 | $(18,154) | $(36,561) | $(54,715) |
CMBX N.A. AAA Index Series 12 | Aug. 2061 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 1,890,000 | (12,899) | (20,792) | (33,691) |
CMBX N.A. AAA Index Series 12 | Aug. 2061 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 6,200,000 | (42,314) | 24,281 | (18,033) |
CMBX N.A. AAA Index Series 13 | Dec. 2072 | JPMorgan Securities LLC | (0.5%) | Monthly | 1,000,000 | (2,856) | (1,271) | (4,127) |
TOTAL CREDIT DEFAULT SWAPS | $(76,223) | $(34,343) | $(110,566) | |||||
Swaps
Payment Received | Payment Frequency | Payment Paid | Payment Frequency | Clearinghouse / Counterparty(1) | Maturity Date | Notional Amount | Value | Upfront Premium Received/(Paid)(2) | Unrealized Appreciation/(Depreciation) |
Interest Rate Swaps | |||||||||
0.25% | Semi - annual | 3-month LIBOR(3) | Quarterly | LCH | Mar. 2023 | $82,104,000 | $(16,761) | $0 | $(16,761) |
0.5% | Semi - annual | 3-month LIBOR(3) | Quarterly | LCH | Mar. 2026 | 23,857,000 | (319,241) | 0 | (319,241) |
0.75% | Semi - annual | 3-month LIBOR(3) | Quarterly | LCH | Mar. 2031 | 3,830,000 | (273,688) | 0 | (273,688) |
3-month LIBOR(3) | Quarterly | 0.75% | Semi - annual | LCH | Mar. 2031 | 13,404,000 | 417,457 | 0 | 417,457 |
1% | Semi - annual | 3-month LIBOR(3) | Quarterly | LCH | Mar. 2051 | 400,000 | (20,658) | 0 | (20,658) |
TOTAL INTEREST RATE SWAPS | $(212,891) | $0 | $(212,891) | ||||||
(1) Swaps with LCH Clearnet Group (LCH) are centrally cleared over-the-counter (OTC) swaps.
(2) Any premiums for centrally cleared over-the-counter (OTC) swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation).
(3) Represents floating rate.
Currency Abbreviations
EUR – European Monetary Unit
GBP – British pound
USD – U.S. dollar
Security Type Abbreviations
ETF – Exchange-Traded Fund
Legend
(a) Amount is stated in United States dollars unless otherwise noted.
(b) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $2,191,602,880 or 5.3% 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 rates for floating and adjustable rate securities reflect the rates in effect at period end.
(f) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
(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 $1,322,981.
(h) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $960,978.
(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 $917,824.
(j) 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 $3,915,028.
(k) Security represents right to receive monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period.
(l) Coupon is inversely indexed to a floating interest rate multiplied by a specified factor. The price may be considerably more volatile than the price of a comparable fixed rate security.
(m) Represents an investment in an underlying pool of reverse mortgages which typically do not require regular principal and interest payments as repayment is deferred until a maturity event.
(n) 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.
(o) The coupon rate will be determined upon settlement of the loan after period end.
(p) Affiliated Fund
(q) Security or a portion of the security is on loan at period end.
(r) Security is perpetual in nature with no stated maturity date.
(s) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.
(t) The rate quoted is the annualized seven-day yield of the fund at period end.
(u) Investment made with cash collateral received from securities on loan.
Affiliated Central Funds
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:
Fund | Income earned |
Fidelity Cash Central Fund | $561,006 |
Fidelity Securities Lending Cash Central Fund | 331,740 |
Total | $892,746 |
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 Capital & Income Fund | $-- | $100,000,000 | $100,114,548 | $169,883 | $114,548 | $-- | $-- |
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 0.01 % | -- | 3,995,269,416 | 3,706,024,155 | 346,661 | -- | -- | 289,245,261 |
Fidelity SAI Total Bond Fund | 6,719,728,989 | 441,269,413 | 827,743,305 | 391,203,691 | 32,871,001 | (155,603,933) | 6,210,522,165 |
Fidelity SAI U.S. Treasury Bond Index Fund | 3,902,878,329 | 616,830,454 | 4,120,922,290 | 4,458,630 | 348,586,926 | (303,536,946) | 443,836,473 |
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 | 408,775,298 | 473,727,207 | 1,388,405 | 5,329,703 | (6,081,378) | 90,464,916 |
Total | $10,909,932,639 | $5,562,144,581 | $ 9,357,958,189 | $397,638,512 | $390,060,572 | $(470,110,788) | $7,034,068,815 |
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 February 28, 2021, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Corporate Bonds | $4,479,000,389 | $-- | $4,479,000,389 | $-- |
U.S. Government and Government Agency Obligations | 2,918,086,597 | -- | 2,918,086,597 | -- |
U.S. Government Agency - Mortgage Securities | 3,704,568,813 | -- | 3,704,568,813 | -- |
Asset-Backed Securities | 733,784,294 | -- | 733,784,294 | -- |
Collateralized Mortgage Obligations | 256,244,648 | -- | 256,244,648 | -- |
Commercial Mortgage Securities | 768,564,466 | -- | 768,564,466 | -- |
Municipal Securities | 95,856,951 | -- | 95,856,951 | -- |
Foreign Government and Government Agency Obligations | 76,860,078 | -- | 76,860,078 | -- |
Bank Loan Obligations | 48,599,002 | -- | 48,599,002 | -- |
Bank Notes | 18,679,278 | -- | 18,679,278 | -- |
Fixed-Income Funds | 28,601,178,402 | 28,601,178,402 | -- | -- |
Preferred Securities | 60,663,412 | -- | 60,663,412 | -- |
Money Market Funds | 1,850,782,822 | 1,850,782,822 | -- | -- |
Purchased Swaptions | 1,327,957 | -- | 1,327,957 | -- |
Other Short-Term Investments | 576,908,286 | -- | 576,908,286 | -- |
Total Investments in Securities: | $44,191,105,395 | $30,451,961,224 | $13,739,144,171 | $-- |
Derivative Instruments: | ||||
Assets | ||||
Forward Foreign Currency Contracts | $404,204 | $-- | $404,204 | $-- |
Futures Contracts | 845,023 | 845,023 | -- | -- |
Swaps | 417,457 | -- | 417,457 | -- |
Total Assets | $1,666,684 | $845,023 | $821,661 | $-- |
Liabilities | ||||
Forward Foreign Currency Contracts | $(376,857) | $-- | $(376,857) | $-- |
Futures Contracts | (1,979,940) | (1,979,940 ) | -- | -- |
Swaps | (706,571) | -- | (706,571) | -- |
Written Swaptions | (3,631,498) | -- | (3,631,498) | -- |
Total Liabilities | $(6,694,866) | $(1,979,940) | $(4,714,926) | $-- |
Total Derivative Instruments: | $(5,028,182) | $(1,134,917) | $(3,893,265) | $-- |
Other Financial Instruments: | ||||
TBA Sale Commitments | $(406,704,692) | $-- | $(406,704,692) | $-- |
Total Other Financial Instruments: | $(406,704,692) | $-- | $(406,704,692) | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of February 28, 2021. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
Primary Risk Exposure / Derivative Type | Value | |
Asset | Liability | |
Credit Risk | ||
Swaps(a) | $0 | $(76,223) |
Total Credit Risk | 0 | (76,223) |
Foreign Exchange Risk | ||
Forward Foreign Currency Contracts(b) | 404,204 | (376,857) |
Total Foreign Exchange Risk | 404,204 | (376,857) |
Interest Rate Risk | ||
Futures Contracts(c) | 845,023 | (1,979,940) |
Purchased Swaptions(d) | 1,327,957 | 0 |
Swaps(e) | 417,457 | (630,348) |
Written Swaptions(f) | 0 | (3,631,498) |
Total Interest Rate Risk | 2,590,437 | (6,241,786) |
Total Value of Derivatives | $2,994,641 | $(6,694,866) |
(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) Gross value is presented in the Statement of Assets and Liabilities in the unrealized appreciation/depreciation on forward foreign currency contracts line-items.
(c) 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).
(d) Gross value is included in the Statement of Assets and Liabilities in the investments, at value line-item.
(e) For centrally cleared over-the-counter (OTC) swaps, reflects gross cumulative appreciation (depreciation) as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin for centrally cleared OTC swaps is included in receivable or payable for daily variation margin on centrally cleared OTC swaps, and the net cumulative appreciation (depreciation) for centrally cleared OTC swaps is included in Total accumulated earnings (loss).
(f) Gross value is presented in the Statement of Assets and Liabilities in the written options, at value line-item.
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
February 28, 2021 | ||
Assets | ||
Investment in securities, at value (including securities loaned of $824,485,696) — See accompanying schedule: Unaffiliated issuers (cost $35,139,242,520) | $35,842,212,565 | |
Fidelity Central Funds (cost $1,314,820,369) | 1,314,824,015 | |
Other affiliated issuers (cost $6,729,234,764) | 7,034,068,815 | |
Total Investment in Securities (cost $43,183,297,653) | $44,191,105,395 | |
Segregated cash with brokers for derivative instruments | 8,143,000 | |
Cash | 15,582,899 | |
Foreign currency held at value (cost $2,728,214) | 2,708,794 | |
Receivable for investments sold | ||
Regular delivery | 144,387,612 | |
Delayed delivery | 911,869,880 | |
Receivable for premium on written options | 2,778,052 | |
Receivable for TBA sale commitments | 406,375,724 | |
Unrealized appreciation on forward foreign currency contracts | 404,204 | |
Receivable for fund shares sold | 19,230,993 | |
Dividends receivable | 3,236,514 | |
Interest receivable | 62,142,122 | |
Distributions receivable from Fidelity Central Funds | 73,225 | |
Receivable for daily variation margin on futures contracts | 2,404,142 | |
Receivable for daily variation margin on centrally cleared OTC swaps | 487 | |
Other receivables | 457,099 | |
Total assets | 45,770,900,142 | |
Liabilities | ||
Payable for investments purchased | ||
Regular delivery | $440,985,080 | |
Delayed delivery | 2,573,034,535 | |
TBA sale commitments, at value | 406,704,692 | |
Unrealized depreciation on forward foreign currency contracts | 376,857 | |
Payable for fund shares redeemed | 21,245,947 | |
Distributions payable | 1,601,962 | |
Bi-lateral OTC swaps, at value | 76,223 | |
Accrued management fee | 967,978 | |
Written options, at value (premium receivable $2,778,052) | 3,631,498 | |
Other payables and accrued expenses | 864,988 | |
Collateral on securities loaned | 815,150,050 | |
Total liabilities | 4,264,639,810 | |
Net Assets | $41,506,260,332 | |
Net Assets consist of: | ||
Paid in capital | $40,204,809,436 | |
Total accumulated earnings (loss) | 1,301,450,896 | |
Net Assets | $41,506,260,332 | |
Net Asset Value, offering price and redemption price per share ($41,506,260,332 ÷ 3,779,301,582 shares) | $10.98 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Year ended February 28, 2021 | ||
Investment Income | ||
Dividends: | ||
Unaffiliated issuers | $625,839,745 | |
Affiliated issuers | 179,016,728 | |
Interest | 245,823,460 | |
Income from Fidelity Central Funds (including $331,740 from security lending) | 892,746 | |
Total income | 1,051,572,679 | |
Expenses | ||
Management fee | $112,266,630 | |
Custodian fees and expenses | 181,921 | |
Independent trustees' fees and expenses | 433,514 | |
Registration fees | 422,996 | |
Audit | 81,438 | |
Legal | 127,292 | |
Interest | 259 | |
Miscellaneous | 512,272 | |
Total expenses before reductions | 114,026,322 | |
Expense reductions | (102,176,215) | |
Total expenses after reductions | 11,850,107 | |
Net investment income (loss) | 1,039,722,572 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 514,760,518 | |
Fidelity Central Funds | 21,086 | |
Other affiliated issuers | 390,060,572 | |
Forward foreign currency contracts | (19,439) | |
Foreign currency transactions | 45,455 | |
Futures contracts | (22,102,111) | |
Swaps | 3,237,908 | |
Written options | (627,471) | |
Capital gain distributions from underlying funds: | ||
Unaffiliated issuers | 458,648,409 | |
Affiliated issuers | 218,621,784 | |
Total net realized gain (loss) | 1,562,646,711 | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers | (779,696,650) | |
Fidelity Central Funds | 1 | |
Other affiliated issuers | (470,110,788) | |
Forward foreign currency contracts | 27,347 | |
Assets and liabilities in foreign currencies | 62,675 | |
Futures contracts | 5,078,629 | |
Swaps | (1,489,346) | |
Written options | (451,477) | |
Delayed delivery commitments | 4,131,650 | |
Total change in net unrealized appreciation (depreciation) | (1,242,447,959) | |
Net gain (loss) | 320,198,752 | |
Net increase (decrease) in net assets resulting from operations | $1,359,921,324 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Year ended February 28, 2021 | Year ended February 29, 2020 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $1,039,722,572 | $1,377,667,478 |
Net realized gain (loss) | 1,562,646,711 | 459,897,834 |
Change in net unrealized appreciation (depreciation) | (1,242,447,959) | 2,670,041,024 |
Net increase (decrease) in net assets resulting from operations | 1,359,921,324 | 4,507,606,336 |
Distributions to shareholders | (1,992,768,826) | (1,560,742,405) |
Share transactions | ||
Proceeds from sales of shares | 7,744,921,184 | 10,531,970,234 |
Reinvestment of distributions | 1,942,678,899 | 1,541,427,164 |
Cost of shares redeemed | (13,889,572,514) | (6,711,834,609) |
Net increase (decrease) in net assets resulting from share transactions | (4,201,972,431) | 5,361,562,789 |
Total increase (decrease) in net assets | (4,834,819,933) | 8,308,426,720 |
Net Assets | ||
Beginning of period | 46,341,080,265 | 38,032,653,545 |
End of period | $41,506,260,332 | $46,341,080,265 |
Other Information | ||
Shares | ||
Sold | 690,530,666 | 980,939,776 |
Issued in reinvestment of distributions | 172,992,449 | 142,378,833 |
Redeemed | (1,247,267,147) | (623,427,707) |
Net increase (decrease) | (383,744,032) | 499,890,902 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Strategic Advisers Core Income Fund
Years ended February 28, | 2021 | 2020 A | 2019 | 2018 | 2017 |
Selected Per–Share Data | |||||
Net asset value, beginning of period | $11.13 | $10.38 | $10.38 | $10.50 | $10.40 |
Income from Investment Operations | |||||
Net investment income (loss)B | .286 | .354 | .324 | .270 | .300 |
Net realized and unrealized gain (loss) | .116 | .796 | (.009) | (.106) | .174 |
Total from investment operations | .402 | 1.150 | .315 | .164 | .474 |
Distributions from net investment income | (.292) | (.350) | (.309) | (.270) | (.297) |
Distributions from net realized gain | (.260) | (.050) | (.006) | (.014) | (.077) |
Total distributions | (.552) | (.400) | (.315) | (.284) | (.374) |
Net asset value, end of period | $10.98 | $11.13 | $10.38 | $10.38 | $10.50 |
Total ReturnC | 3.59% | 11.25% | 3.10% | 1.54% | 4.60% |
Ratios to Average Net AssetsD,E | |||||
Expenses before reductions | .28% | .28% | .30% | .31% | .31% |
Expenses net of fee waivers, if any | .03% | .03% | .05% | .06% | .06% |
Expenses net of all reductions | .03% | .03% | .05% | .06% | .06% |
Net investment income (loss) | 2.54% | 3.28% | 3.15% | 2.55% | 2.84% |
Supplemental Data | |||||
Net assets, end of period (000 omitted) | $41,506,260 | $46,341,080 | $38,032,654 | $35,706,144 | $30,150,207 |
Portfolio turnover rateF | 109% | 65% | 78% | 45% | 52% |
A For the year ended February 29.
B Calculated based on average shares outstanding during the period.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
E Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
F Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements
For the period ended February 28, 2021
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, bank loan obligations, foreign government and government agency obligations, municipal securities, preferred securities and U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities are valued by pricing vendors who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Swaps are marked-to-market daily based on valuations from third party pricing vendors, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. For foreign debt securities, when significant market or security specific events arise, valuations may be determined in good faith in accordance with procedures adopted by the Board. Debt securities and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
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 February 28, 2021 is included at the end of the Fund's Schedule of Investments.
Foreign Currency. Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received, and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Realized gains and losses on foreign currency transactions arise from the disposition of foreign currency, realized changes in the value of foreign currency between the trade and settlement dates on security transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on transaction date and the U.S. dollar equivalent of the amounts actually received or paid. Unrealized gains and losses on assets and liabilities in foreign currencies arise from changes in the value of foreign currency, and from assets and liabilities denominated in foreign currencies, other than investments, which are held at period end.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost 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 any underlying mutual funds or exchange-traded funds (ETFs) are recorded on the ex-dividend date. Certain distributions received by the Fund represent a return of capital or capital gain. The Fund determines the components of these distributions subsequent to the ex-dividend date, based upon receipt of tax filings or other correspondence relating to the underlying investment. These distributions are recorded as a reduction of cost of investments and/or as a realized gain. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Paid in Kind (PIK) income is recorded at the fair market value of the securities received. 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. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan) for certain Funds, certain independent Trustees have elected to defer receipt of a portion of their annual compensation. Deferred amounts are invested in affiliated mutual funds, are marked-to-market and remain in a fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees presented below are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, as applicable.
Strategic Advisers Core Income Fund | $454,280 |
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of February 28, 2021, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.
Distributions are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to the short-term gain distributions from the Underlying Funds, futures contracts, swaps, foreign currency transactions, 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 | $1,452,013,132 |
Gross unrealized depreciation | (455,821,621) |
Net unrealized appreciation (depreciation) | $996,191,511 |
Tax Cost | $43,190,664,305 |
The tax-based components of distributable earnings as of period end were as follows:
Undistributed ordinary income | $1,263,448 |
Undistributed long-term capital gain | $310,854,952 |
Net unrealized appreciation (depreciation) on securities and other investments | $989,786,778 |
The tax character of distributions paid was as follows:
February 28, 2021 | February 29, 2020 | |
Ordinary Income | $1,706,347,932 | $ 1,560,742,405 |
Long-term Capital Gains | 286,420,894 | – |
Total | $1,992,768,826 | $ 1,560,742,405 |
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.
Loans and Other Direct Debt Instruments. Direct debt instruments are interests in amounts owed to lenders by corporate or other borrowers. These instruments may be in the form of loans, trade claims or other receivables and may include standby financing commitments such as revolving credit facilities that obligate a fund to supply additional cash to the borrower on demand. Loans may be acquired through assignment, participation, or may be made directly to a borrower. Such instruments are presented in the Bank Loan Obligations section in the Schedule of Investments. Certain funds may also invest in unfunded loan commitments, which are contractual obligations for future funding. Information regarding unfunded commitments is included at the end of the Schedule of Investments, if applicable.
3. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund's investment objective allows the Fund to enter into various types of derivative contracts, including futures contracts, forward foreign currency contracts, options and swaps. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.
The Fund used derivatives to increase returns, to gain exposure to certain types of assets, to facilitate transactions in foreign-denominated securities and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.
The Fund's use of derivatives increased or decreased its exposure to the following risks:
Credit Risk | Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to the Fund. |
Foreign Exchange Risk | Foreign exchange rate risk relates to fluctuations in the value of an asset or liability due to changes in currency exchange rates. |
Interest Rate Risk | Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates. |
The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives such as forward foreign currency contracts, options and bi-lateral swaps, the Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives the Fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, the Fund receives collateral in the form of cash or securities once the Fund's net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the counterparty and the Fund's custodian bank. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund. For OTC written options with upfront premiums received, the Fund is obligated to perform and therefore does not have counterparty risk. For OTC written options with premiums to be received at a future date, the maximum risk of loss from counterparty credit risk is the amount of the premium in excess of any collateral pledged by the counterparty. The Fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments. Exchange-traded futures contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to exchange-traded futures contracts may be mitigated by the protection provided by the exchange on which they trade. Counterparty credit risk related to centrally cleared OTC swaps may be mitigated by the protection provided by the clearinghouse.
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.
Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives. The table below, which reflects the impacts of derivatives on the financial performance of the Fund, summarizes the net realized gain (loss) and change in net unrealized appreciation (depreciation) for derivatives during the period as presented in the Statement of Operations.
Primary Risk Exposure / Derivative Type | Net Realized Gain (Loss) | Change in Net Unrealized Appreciation (Depreciation) |
Credit Risk | ||
Swaps | $2,445,429 | $(411,981) |
Foreign Exchange Risk | ||
Forward Foreign Currency Contracts | (19,439) | 27,347 |
Interest Rate Risk | ||
Futures Contracts | (22,102,111) | 5,078,629 |
Purchased Options | 3,219,324 | (2,411,684) |
Written Options | (627,471) | (451,477) |
Swaps | 792,479 | (1,077,365) |
Total Interest Rate Risk | (18,717,779) | 1,138,103 |
Totals | $(16,291,789) | $753,469 |
A summary of the value of derivatives by primary risk exposure as of period end, if any, is included at the end of the Schedule of Investments.
Forward Foreign Currency Contracts. Forward foreign currency contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into. The Fund used forward foreign currency contracts to facilitate transactions in foreign-denominated securities and to manage exposure to certain foreign currencies.
Forward foreign currency contracts are valued daily and fluctuations in exchange rates on open contracts are recorded as unrealized appreciation or (depreciation) and reflected in the Statement of Assets and Liabilities. When the contract is closed, the Fund realizes a gain or loss equal to the difference between the closing value and the value at the time it was opened. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on forward foreign currency contracts during the period is presented in the Statement of Operations.
Any open forward foreign currency contracts at period end are presented in the Schedule of Investments under the caption "Forward Foreign Currency Contracts." The contract amount and unrealized appreciation (depreciation) reflects each contract's exposure to the underlying currency at period end and is representative of volume of activity during the period.
Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. The Fund used futures contracts to manage its exposure to the bond market and fluctuations in interest rates.
Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments (variation margin) are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is presented in the Statement of Operations.
Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The notional amount at value reflects each contract's exposure to the underlying instrument or index at period end and is representative of volume of activity during the period. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Cash deposited to meet initial margin requirements is presented as segregated cash with brokers for derivative instruments in the Statement of Assets and Liabilities.
Options. Options give the purchaser the right, but not the obligation, to buy (call) or sell (put) an underlying security or financial instrument at an agreed exercise or strike price between or on certain dates. Options obligate the seller (writer) to buy (put) or sell (call) an underlying instrument at the exercise or strike price or cash settle an underlying derivative instrument if the holder exercises the option on or before the expiration date. The Fund 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 | 31,267,566,344 | 35,343,340,722 |
5. Fees and Other Transactions with Affiliates.
Management Fee. Strategic Advisers (the investment adviser) provides the Fund with investment management related services. For these services, the Fund pays a monthly management fee to the investment adviser. The management fee is calculated by adding the annual management fee rate of .25% of the Fund's average net assets throughout the month payable to the investment adviser to the aggregate of the fee rates, payable monthly, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed .60% of the Fund's average net assets. For the reporting period, the total annual management fee rate was .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), PGIM, Inc. and TCW 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.
Brokerage Commissions. A portion of portfolio transactions were placed with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Statement of Operations. The commissions paid to these affiliated firms were as follows:
Amount | |
Strategic Advisers Core Income Fund | $8 |
Interfund Trades. Funds may purchase from or sell securities to other funds affiliated with each sub-adviser under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.
6. Investments in Fidelity Central Funds.
The Fund invests in Fidelity Central Funds, which are open-end investment companies available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
The Fidelity Money Market Central Funds are managed by FMR. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date ranged from less than .005% to .01%.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC website or upon request.
7. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below.
Amount | |
Strategic Advisers Core Income Fund | $94,161 |
During the period, there were no borrowings on this line of credit.
8. Security Lending.
Funds lend portfolio securities through a lending agent from time to time in order to earn additional income. On the settlement date of the loan, a fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of a fund and any additional required collateral is delivered to a fund on the next business day. A fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund may apply collateral received from the borrower against the obligation. A fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds.
9. 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 Core Income Fund | $7,890,500 | .59% | $259 |
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 $102,176,215.
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.
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 | 38% |
12. Coronavirus (COVID-19) Pandemic.
An outbreak of COVID-19 first detected in China during December 2019 has since spread globally and was declared a pandemic by the World Health Organization during March 2020. Developments that disrupt global economies and financial markets, such as the COVID-19 pandemic, may magnify factors that affect the Fund's performance.
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Fidelity Rutland Square Trust II and Shareholders of Strategic Advisers Core Income Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Strategic Advisers Core Income Fund (one of the funds constituting Fidelity Rutland Square Trust II, referred to hereafter as the “Fund”) as of February 28, 2021, the related statement of operations for the year ended February 28, 2021, the statement of changes in net assets for each of the two years in the period ended February 28, 2021, including the related notes, and the financial highlights for each of the five years in the period ended February 28, 2021 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of February 28, 2021, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended February 28, 2021 and the financial highlights for each of the five years in the period ended February 28, 2021 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of February 28, 2021 by correspondence with the custodian, agent banks and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
Boston, Massachusetts
April 21, 2021
We have served as the auditor of one or more investment companies in the Fidelity group of funds since 1932.
Trustees and Officers
The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance. If the interests of the fund and an underlying Fidelity® fund were to diverge, a conflict of interest could arise and affect how the Trustees and Members of the Advisory Board fulfill their fiduciary duties to the affected funds. Strategic Advisers has structured the fund to avoid these potential conflicts, although there may be situations where a conflict of interest is unavoidable. In such instances, Strategic Advisers, the Trustees, and Members of the Advisory Board would take reasonable steps to minimize and, if possible, eliminate the conflict. Each of the Trustees oversees 12 funds.
The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. Each Independent Trustee shall retire not later than the last day of the calendar year in which his or her 75th birthday occurs. The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees. Officers and Advisory Board Members hold office without limit in time, except that any officer or Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.
Each Trustee who is not an interested person (as defined in the 1940 Act) of the trust and the fund is referred to herein as an Independent Trustee.
The fund’s Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-3455.
Experience, Skills, Attributes, and Qualifications of the Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee may also engage professional search firms to help identify potential Independent Trustee candidates with experience, qualifications, attributes, and skills consistent with the Statement of Policy. Additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, may be considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.
In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.
Board Structure and Oversight Function. Robert A. Lawrence is an interested person and currently serves as Chairman. The Trustees have determined that an interested Chairman is appropriate and benefits shareholders because an interested Chairman has a personal and professional stake in the quality and continuity of services provided to the fund. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chairman, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chairman and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session. Mary C. Farrell serves as the lead Independent Trustee and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.
Fidelity® funds are overseen by different Boards of Trustees. The fund's Board oversees asset allocation funds. Other Boards oversee Fidelity's investment-grade bond, money market, and asset allocation funds, and Fidelity's equity and high income funds. The fund may invest in Fidelity® funds overseen by such other Boards. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity® funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues.
The Trustees primarily operate as a full Board, but also operate in committees, to facilitate the timely and efficient consideration of all matters of importance to the Trustees, the fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the fund's activities and associated risks. The Board has charged Strategic Advisers and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the fund's business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above. Because the day-to-day operations and activities of the fund are carried out by or through Strategic Advisers, its affiliates and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees. Board oversight of different aspects of the fund's activities is exercised primarily through the full Board, but also through the Audit and Compliance Committee. Appropriate personnel, including but not limited to the fund's Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the fund's Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate. The responsibilities of each standing committee, including their oversight responsibilities, are described further under "Standing Committees of the Trustees."
Interested Trustees*:
Correspondence intended for a Trustee who is an interested person may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Robert A. Lawrence (1952)
Year of Election or Appointment: 2016
Trustee
Chairman of the Board of Trustees
Mr. Lawrence also serves as Trustee of other funds. Previously, Mr. Lawrence served as a Member of the Advisory Board of certain funds. Prior to his retirement in 2008, Mr. Lawrence served as Vice President of certain Fidelity® funds (2006-2008), Senior Vice President, Head of High Income Division of Fidelity Management & Research Company (investment adviser firm, 2006-2008), and President of Fidelity Strategic Investments (investment adviser firm, 2002-2005).
Charles S. Morrison (1960)
Year of Election or Appointment: 2020
Trustee
Mr. Morrison also serves as Trustee of other funds. Previously, Mr. Morrison served as President (2017-2018) and Director (2014-2018) of Fidelity SelectCo, LLC (investment adviser firm), President of Fidelity Management & Research Company (FMR) (investment adviser firm, 2016-2018), a Director of Fidelity Investments Money Management, Inc. (investment adviser firm, 2014-2018), President, Asset Management (2014-2018), Trustee of the Fidelity Equity and High Income Funds (283 funds as of December 2018) (2014-2018), and was an employee of Fidelity Investments. Mr. Morrison also previously served as Vice President of Fidelity's Fixed Income and Asset Allocation Funds (2012-2014), President, Fixed Income (2011-2014), Vice President of Fidelity's Money Market Funds (2005-2009), President, Money Market Group Leader of FMR (2009), and Senior Vice President, Money Market Group of FMR (2004-2009). Mr. Morrison also served as Vice President of Fidelity's Bond Funds (2002-2005), certain Balanced Funds (2002-2005), and certain Asset Allocation Funds (2002-2007), and as Senior Vice President (2002-2005) of Fidelity's Bond Division.
* Determined to be an "Interested Trustee" by virtue of, among other things, his or her affiliation with the trust or various entities under common control with Strategic Advisers.
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Independent Trustees:
Correspondence intended for an Independent Trustee may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Peter C. Aldrich (1944)
Year of Election or Appointment: 2006
Trustee
Mr. Aldrich also serves as Trustee of other funds. Mr. Aldrich is a Director of the U.S. Core Property Fund (and, previously, other funds) of BlackRock Realty Group (2006-present). Previously, Mr. Aldrich served as a Managing Member of Poseidon, LLC (foreign private investment, 1998-2004), and Chairman and Managing Member of AEGIS, LLC (foreign private investment, 1997-2004). Mr. Aldrich previously was a founder, Chief Executive Officer, and Chairman of AEW Capital Management, L.P. (then “Aldrich, Eastman and Waltch, L.P.”). Mr. Aldrich also served as a Director of LivelyHood, Inc. (private corporation, 2013-2020), a Trustee for the Fidelity Rutland Square Trust (2005-2010), a Director of Zipcar, Inc. (car sharing services, 2001-2009) and as Faculty Chairman of The Research Council on Global Investment of The Conference Board (business and professional education non-profit, 1999-2004). Mr. Aldrich is a Member Emeritus of the Board of Directors of the National Bureau of Economic Research, the Board of Trustees of the Museum of Fine Arts Boston and the Board of Overseers of the Massachusetts Eye and Ear Infirmary.
Mary C. Farrell (1949)
Year of Election or Appointment: 2013
Trustee
Ms. Farrell also serves as Trustee of other funds. Ms. Farrell is a Director of the W.R. Berkley Corporation (insurance provider) and President (2009-present) and Director (2006-present) of the Howard Gilman Foundation (charitable organization). Previously, Ms. Farrell was Managing Director and Chief Investment Strategist at UBS Wealth Management USA and Co-Head of UBS Wealth Management Investment Strategy & Research Group (2003-2005). Ms. Farrell also served as Investment Strategist at PaineWebber (1982-2000) and UBS PaineWebber (2000-2002). Ms. Farrell serves as Chairman of the Board of Trustees of Yale-New Haven Hospital and Vice Chairman of the Yale New Haven Health System Board and previously served as Trustee on the Board of Overseers of the New York University Stern School of Business.
Karen Kaplan (1960)
Year of Election or Appointment: 2006
Trustee
Ms. Kaplan also serves as Trustee of other funds. Ms. Kaplan is Chairman (2014-present) and Chief Executive Officer (2013-present) of Hill Holliday (advertising and specialized marketing). Ms. Kaplan is a Director of The Michaels Companies, Inc. (specialty retailer, 2015-present), Member of the Board of Governors of the Chief Executives’ Club of Boston (2010-present), Member of the Executive Committee of the Greater Boston Chamber of Commerce (2006-present), Advisory Board Member of the National Association of Corporate Directors Chapter (2012-present), Member of the Board of Trustees of the Post Office Square Trust (2012-present), Trustee of the Brigham and Women’s Hospital (2016-present), Overseer of the Boston Symphony Orchestra (2014-present), Member of the Board of Directors of The Advertising Council, Inc. (2016-present), Member of the Ron Burton Training Village Executive Board of Advisors (2018-present), Member of the Executive Committee of The Ad Council, Inc. (2019-present), and Member of the Board of Directors of The Ad Club of Boston (2020-present). Previously, Ms. Kaplan served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010), a member of the Clinton Global Initiative (2010-2015), Director of DSM (dba Delta Dental and DentaQuest) (2004-2014), Formal Appointee of the 2015 Baker-Polito Economic Development Council, Director of Vera Bradley Inc. (designer of women’s accessories, 2012-2015), Member of the Board of Directors of the Massachusetts Conference for Women (2008-2015), Member of the Board of Directors of Jobs for Massachusetts (2012-2015), President of the Massachusetts Women’s Forum (2008-2010), Treasurer of the Massachusetts Women’s Forum (2002-2006), and Vice Chair of the Board of the Massachusetts Society for the Prevention of Cruelty to Children (2003-2010).
Christine Marcks (1955)
Year of Election or Appointment: 2020
Trustee
Ms. Marcks also serves as Trustee of other Funds. Prior to her retirement, Ms. Marcks served as Chief Executive Officer and President – Prudential Retirement (2007-2017) and Vice President for Rollover and Retirement Income Strategies (2005-2007), Prudential Financial, Inc. (financial services). Previously, Ms. Marcks served as a Member of the Advisory Board of certain Fidelity® funds (2019-2020), was Senior Vice President and Head of Financial Horizons (2002-2004) and Vice President, Strategic Marketing (2000-2002) of Voya Financial (formerly ING U.S.) (financial services), held numerous positions at Aetna Financial Services (financial services, 1987-2000) and served as an International Economist for the United States Department of the Treasury (1980-1987). Ms. Marcks also serves as a member of the Board of Trustees, Audit Committee and Benefits & Operations Committee of the YMCA Retirement Fund (2018-present), a non-profit organization providing retirement plan benefits to YMCA staff members, and as a member of the Board of Trustees of Assumption College (2019-present).
Heidi L. Steiger (1953)
Year of Election or Appointment: 2017
Trustee
Ms. Steiger also serves as Trustee of other funds. Ms. Steiger serves as Managing Partner of Topridge Associates, LLC (consulting, 2005-present), a member of the Advisory Board of the joint degree program in Global Luxury Management at North Carolina State University (Raleigh, NC) and Skema (Paris) (2018-present), a Non-Executive Director of CrowdBureau Corporation (financial technology company and index provider, 2018-present), a member of the Board of Directors (2013-present) and Chair of the Audit Committee and member of the Membership and Executive Committees (2017-present) of Business Executives for National Security (nonprofit), and member of the Board of Directors Chair of the Remuneration Committee of Imagine Intelligent Materials Limited (2019-present) (technology company). Previously, Ms. Steiger served as a member of the Global Advisory Board and Of Counsel to Signum Global Advisors (international policy and strategy, 2018-2020), Eastern Region President of The Private Client Reserve of U.S. Bancorp (banking and financial services, 2010-2015), Advisory Director of Berkshire Capital Securities, LLC (financial services, 2009-2010), President and Senior Advisor of Lowenhaupt Global Advisors, LLC (financial services, 2005-2007), and President and Contributing Editor of Worth Magazine (2004-2005) and held a variety of positions at Neuberger Berman Group, LLC (financial services, 1986-2004), including Partner and Executive Vice President and Global Head of Private Asset Management at Neuberger Berman (1999-2004). Ms. Steiger also served as a member of the Board of Directors of Nuclear Electric Insurance Ltd (insurer of nuclear utilities, 2006-2017), a member of the Board of Trustees and Audit Committee of the Eaton Vance Funds (2007-2010), a member of the Board of Directors of Aviva USA (formerly AmerUs) (insurance, 2004-2014), and a member of the Board of Trustees and Audit Committee and Chair of the Investment Committee of CIFG (financial guaranty insurance, 2009-2012), and a member of the Board of Directors of Kin Group Plc (formerly, Fitbug Holdings) (health and technology, 2016-2017).
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Advisory Board Members and Officers:
Correspondence intended for a Member of the Advisory Board (if any) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235. Correspondence intended for an officer or Howard E. Cox, Jr. may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210. Officers appear below in alphabetical order.
Name, Year of Birth; Principal Occupation
Ralph F. Cox (1932)
Year of Election or Appointment: 2020
Member of the Advisory Board
Mr. Cox also serves as a Member of the Advisory Board of other funds. Mr. Cox is President of RABAR Enterprises (management consulting for the petroleum industry). Mr. Cox is a Director of Abraxas Petroleum (exploration and production, 1999-present). Mr. Cox is a member of the Advisory Boards of the Business and Engineering Schools of Texas A&M University and the Engineering School of University of Texas at Austin. Previously, Mr. Cox served as Trustee of other funds (2006-2020), a Trustee for the Fidelity Rutland Square Trust (2005-2010) and as an Advisory Director of CH2M Hill Companies (engineering, 1981-2011). Mr. Ralph F. Cox and Mr. Howard E. Cox, Jr. are not related.
Howard E. Cox, Jr. (1944)
Year of Election or Appointment: 2009
Member of the Advisory Board
Mr. Cox also serves as a Member of the Advisory Board of other funds. Mr. Cox is a Partner of Greylock (venture capital, 1971-present) and a Director of Stryker Corporation (medical products and services, 1974-present). Previously, Mr. Cox served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010). Mr. Cox also serves as a Member of the Secretary of Defense's Business Board of Directors (2008-present), a Director of Business Executives for National Security (1997-present), a Director of the Brookings Institution (2010-present), a Director of the World Economic Forum’s Young Global Leaders Foundation (2009-present), and is a Member of the Harvard Medical School Board of Fellows (2002-present). Mr. Howard E. Cox, Jr. and Mr. Ralph F. Cox are not related.
Craig S. Brown (1977)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Brown also serves as Assistant Treasurer of other funds. Mr. Brown is an employee of Fidelity Investments (2013-present).
John J. Burke III (1964)
Year of Election or Appointment: 2018
Chief Financial Officer
Mr. Burke also serves as Chief Financial Officer of other funds. Mr. Burke serves as Head of Investment Operations for Fidelity Fund and Investment Operations (2018-present) and is an employee of Fidelity Investments (1998-present). Previously Mr. Burke served as head of Asset Management Investment Operations (2012-2018).
Jonathan Davis (1968)
Year of Election or Appointment: 2010
Assistant Treasurer
Mr. Davis also serves as Assistant Treasurer of other funds. Mr. Davis serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments. Previously, Mr. Davis served as Vice President and Associate General Counsel of FMR LLC (diversified financial services company, 2003-2010).
Laura M. Del Prato (1964)
Year of Election or Appointment: 2018
Assistant Treasurer
Ms. Del Prato also serves as an officer of other funds. Ms. Del Prato is an employee of Fidelity Investments (2017-present). Previously, Ms. Del Prato served as President and Treasurer of The North Carolina Capital Management Trust: Cash Portfolio and Term Portfolio (2018-2020). Prior to joining Fidelity Investments, Ms. Del Prato served as a Managing Director and Treasurer of the JPMorgan Mutual Funds (2014-2017). Prior to JPMorgan, Ms. Del Prato served as a partner at Cohen Fund Audit Services (accounting firm, 2012-2013) and KPMG LLP (accounting firm, 2004-2012).
James D. Gryglewicz (1972)
Year of Election or Appointment: 2015
Chief Compliance Officer
Mr. Gryglewicz also serves as Chief Compliance Officer of other funds. Mr. Gryglewicz serves as Compliance Officer of Strategic Advisers LLC (investment adviser firm, 2015-present), Senior Vice President of Asset Management Compliance (2009-present), and is an employee of Fidelity Investments (2004-present). Previously, Mr. Gryglewicz served as Compliance Officer of Fidelity SelectCo, LLC (investment adviser firm, 2014-2019), and as Chief Compliance Officer of certain Fidelity® funds (2014-2018).
Colm A. Hogan (1973)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Hogan also serves as an officer of other funds. Mr. Hogan serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2005-present). Previously, Mr. Hogan served as Deputy Treasurer of certain Fidelity® funds (2016-2020) and Assistant Treasurer of certain Fidelity® funds (2016-2018).
Christina H. Lee (1975)
Year of Election or Appointment: 2020
Secretary and Chief Legal Officer
Ms. Lee also serves as Secretary and CLO of other funds. Ms. Lee serves as Vice President, Associate General Counsel (2014-present) and is an employee of Fidelity Investments (2007-present). Previously, Ms. Lee served as Assistant Secretary of certain funds (2018-2019).
Cynthia Lo Bessette (1969)
Year of Election or Appointment: 2020
Assistant Secretary
Ms. Lo Bessette also serves as an officer of other funds. Ms. Lo Bessette serves as CLO, Secretary, and Senior Vice President of Fidelity Management & Research Company LLC (investment adviser firm, 2019-present); and CLO of Fidelity Management & Research (Hong Kong) Limited, FMR Investment Management (UK) Limited, and Fidelity Management & Research (Japan) Limited (investment adviser firms, 2019-present). She is a Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company, 2019-present), and is an employee of Fidelity Investments. Previously, Ms. Lo Bessette served as CLO, Secretary, and Senior Vice President of FMR Co., Inc. (investment adviser firm, 2019); Secretary of Fidelity SelectCo, LLC and Fidelity Investments Money Management, Inc. (investment adviser firms, 2019). Prior to joining Fidelity Investments, Ms. Lo Bessette was Executive Vice President, General Counsel (2016-2019) and Senior Vice President, Deputy General Counsel (2015-2016) of OppenheimerFunds (investment management company) and Deputy Chief Legal Officer (2013-2015) of Jennison Associates LLC (investment adviser firm).
Chris Maher (1972)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Maher also serves as an officer of other funds. Mr. Maher serves as Assistant Treasurer of FMR Capital, Inc. (2017-present), and is an employee of Fidelity Investments (2008-present). Previously, Mr. Maher served as Assistant Treasurer of certain funds (2013-2020); Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010).
Brett Segaloff (1972)
Year of Election or Appointment: 2021
Anti-Money Laundering (AML) Officer
Mr. Segaloff also serves as an AML Officer of other funds and other related entities. He is Director, Anti-Money Laundering (2007-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments (1996-present).
Stacie M. Smith (1974)
Year of Election or Appointment: 2020
President and Treasurer
Ms. Smith also serves as an officer of other funds. Ms. Smith serves as Assistant Treasurer of FMR Capital, Inc. (2017-present), is an employee of Fidelity Investments (2009-present), and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (accounting firm, 1996-2009). Previously, Ms. Smith served as Assistant Treasurer (2013-2019) and Deputy Treasurer (2013-2016) of certain Fidelity® funds.
Marc L. Spector (1972)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Spector also serves as an officer of other funds. Mr. Spector serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2016-present). Prior to joining Fidelity Investments, Mr. Spector served as Director at the Siegfried Group (accounting firm, 2013-2016), and prior to Siegfried Group as audit senior manager at Deloitte & Touche LLP (accounting firm, 2005-2013).
Jim Wegmann (1979)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Wegmann also serves as Assistant Treasurer of other funds. Mr. Wegmann is an employee of Fidelity Investments (2011-present).
Shareholder Expense Example
As a shareholder, 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 (September 1, 2020 to February 28, 2021).
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
Annualized Expense Ratio-A | Beginning Account Value September 1, 2020 | Ending Account Value February 28, 2021 | Expenses Paid During Period-B September 1, 2020 to February 28, 2021 | |
Strategic Advisers Core Income Fund | .03% | |||
Actual | $1,000.00 | $997.00 | $.15 | |
Hypothetical-C | $1,000.00 | $1,024.65 | $.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 181/ 365 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.
C 5% return per year before expenses
Distributions (Unaudited)
The Board of Trustees of Strategic Advisers Core Income Fund voted to pay on April 12, 2021, to shareholders of record at the opening of business on April 9, 2021, a distribution of $0.083 per share derived from capital gains realized from sales of portfolio securities.
The fund hereby designates as a capital gain dividend with respect to the taxable year ended February 28, 2021, $ 608,770,304, or, if subsequently determined to be different, the net capital gain of such year.
A total of 8.43% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.
The fund designates $471,697,603 of distributions paid in the calendar year 2020 as qualifying to be taxed as section 163(j) interest dividends.
The fund will notify shareholders in January 2022 of amounts for use in preparing 2021 income tax returns.
Board Approval of Investment Advisory Contracts and Management Fees
Strategic Advisers Core Income Fund
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes at a meeting on the renewal of the management contract with Strategic Advisers LLC (Strategic Advisers) and the sub-advisory agreements with FIAM LLC and PGIM, Inc. (each a Sub-Adviser and collectively, the Sub-Advisers) (collectively, the Sub-Advisory Agreements and, together with the management contract, the Advisory Contracts) for the fund. Strategic Advisers and the Sub-Advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.The Board meets at least four times per year and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The full Board or the Independent Trustees, as appropriate, act on all major matters; however, a portion of the activities of the Board (including certain of those described herein) may be conducted through standing committees that have been established by the Board. The Board, acting directly and through its committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts.At its September 2020 meeting, the Board, including the Independent Trustees, unanimously determined to renew the fund's Advisory Contracts. In reaching its determination to renew the fund's Advisory Contracts, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness of the fund's management fee and total expenses relative to peer funds; (iii) the total costs of the services provided by and the profits, if any, realized by Strategic Advisers from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and are realized as the fund grows and whether any economies of scale are appropriately shared with fund shareholders.In considering whether to renew the Advisory Contracts for the fund, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts is in the best interests of the fund and its shareholders. In addition, with respect to the Sub-Advisory Agreements, the Board also concluded that the renewal of such agreements does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees charged under the Advisory Contracts bear a reasonable relationship to the services rendered and are based on services provided that are in addition to, rather than duplicative of, services provided under the advisory contract of any underlying fund in which the fund may invest. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board throughout the year.Nature, Extent, and Quality of Services Provided. The Board considered the staffing within the Investment Advisers, including the backgrounds of the fund's investment personnel and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Strategic Advisers' investment operations and investment groups. The Board considered the structure of each Investment Adviser's investment personnel compensation program and whether such structures provide appropriate incentives to act in the best interests of the fund.The Trustees also discussed with representatives of Strategic Advisers, at meetings throughout the year, Strategic Advisers' role in, among other things, (i) setting, implementing and monitoring the investment strategies for the funds; (ii) identifying and recommending sub-advisers for the funds; (iii) overseeing compliance with federal securities laws by each sub-adviser with respect to the portion of fund assets allocated to the sub-adviser; (iv) monitoring and overseeing the performance and investment capabilities of each sub-adviser; and (v) recommending the replacement of a sub-adviser as appropriate. The Trustees considered that the Board had received from Strategic Advisers substantial information and periodic reports about Strategic Advisers' sub-adviser oversight and due diligence processes, as well as periodic reports regarding the performance of each sub-adviser.The Board also considered the nature, extent and quality of services provided by each Sub-Adviser. The Trustees noted that under the Sub-Advisory Agreements subject to oversight by Strategic Advisers, each Sub-Adviser is responsible for, among other things, identifying investments for the portion of fund assets allocated to the Sub-Adviser, if any, and executing portfolio transactions to implement its investment strategy. In addition, the Trustees noted that each Sub-Adviser is responsible for providing such reporting as may be requested from Strategic Advisers to fulfill its oversight responsibilities discussed above.Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of the Investment Advisers' investment staffs, their use of technology, and the Investment Advisers' approach to managing and compensating investment personnel. The Board noted that the Investment Advisers' analysts have extensive resources, tools, and capabilities that allow them to conduct sophisticated quantitative and/or fundamental analysis. Additionally, in its deliberations, the Board considered the Investment Advisers' trading capabilities and resources and global compliance infrastructure, which are integral parts of the investment management process. The Board also considered the Investment Advisers' investments in business continuity planning, and their success in continuously providing services to the fund notwithstanding the severe disruptions caused by the COVID-19 pandemic.Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of administrative and shareholder services performed by Strategic Advisers and its affiliates under the management contract and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of Strategic Advisers' supervision of third party service providers, including sub-advisers, custodians and subcustodians; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.Investment Performance. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions and its performance history.In connection with the renewal of the Advisory Contracts, the Board considered annualized return information for the fund for different time periods, measured against an appropriate securities market index ("benchmark index") and a peer group of mutual funds with similar objectives ("peer group").The Board considered discussions that occur at Board meetings throughout the year with representatives of Strategic Advisers about fund investment performance and the performance of each Sub-Adviser as part of regularly scheduled fund reviews and other reports to the Board on fund performance, taking into account various factors including general market conditions. In its discussions with representatives of Strategic Advisers regarding fund performance, the Board gave particular attention to information indicating underperformance of certain funds for specific time periods and discussed with Strategic Advisers the reasons for any such underperformance.The following charts considered by the Board show, over the one-, three-, and five-year periods ended December 31, 2019, the cumulative total returns of the fund and the cumulative total returns of an appropriate benchmark index and peer group. The box within each chart shows the 25th percentile return (75% beaten, top of box) and the 75th percentile return (25% beaten, bottom of box) of the peer group. Returns shown above the box are in the first quartile and returns shown below the box are in the fourth quartile. The percentage beaten number noted below each chart corresponds to the percentile box and represents the percentage of funds in the peer group whose performance was equal to or lower than that of the fund.Strategic Advisers Core Income Fund
Strategic Advisers Core Income Fund
Board Approval of New and Amended Sub-Advisory Agreements and New Sub-Subadvisory Agreement
Strategic Advisers Core Income Fund
In December 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), TCW Investment Management Company LLC (TCW), and Fidelity Rutland Square Trust II (Trust) on behalf of the fund (New TCW Sub-Advisory Agreement); (ii) an amendment to add a new investment mandate to the existing sub-advisory agreement among Strategic Advisers, PGIM, Inc. (PGIM), and the Trust on behalf of the fund (Amended PGIM Sub-Advisory Agreement); (iii) a new sub-subadvisory agreement among PGIM Limited (PGIML), PGIM, and the Trust on behalf of the Fund (New PGIML Sub-Subadvisory Agreement and together with the New TCW Sub-Advisory Agreement, the New Agreements); and (iv) an amendment to the fee schedules for certain investment mandates in the existing sub-advisory agreement among Strategic Advisers, FIAM LLC (FIAM), and the Trust on behalf of the fund (Amended FIAM Sub-Advisory Agreement, together with the Amended PGIM Sub-Advisory Agreement, the Amended Agreements, and together with the Amended PGIM Sub-Advisory Agreement and the New TCW Sub-Advisory Agreement, the Sub-Advisory Agreements). The Board noted that the Amended FIAM Sub-Advisory Agreement will result in the same or lower fees at all asset levels, and that no other material contract terms are impacted by the Amended FIAM Sub-Advisory Agreement. The Board noted that no material contract terms are impacted by the Amended PGIM Sub-Advisory Agreement except for the amendment to the fee schedule to add the new investment mandate and the addition of certain provisions related to the mandate. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, considered a broad range of information.In considering whether to approve each New or Amended 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 or Amended Agreement is in the best interests of the fund and its shareholders and does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the fees to be charged under the Sub-Advisory Agreements bear a reasonable relationship to the services to be rendered 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 or Amended Agreement was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board. In addition, individual Trustees did not necessarily attribute the same weight or importance to each factor.Nature, Extent, and Quality of Services Provided. The Board considered the backgrounds of the investment personnel that will provide services to the fund, and also considered the fund's investment objective, strategies and related investment philosophy and current sub-adviser line-up. The Board also considered the structures of the investment personnel compensation programs and whether such structures provide appropriate incentives to act in the best interests of the fund.With respect to the Amended PGIM Sub-Advisory Agreement and New PGIML Sub-Subadvisory Agreement, the Board noted that it previously received and considered materials relating to the nature, extent and quality of services provided by Strategic Advisers and PGIM, 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 2020 meeting. The Board also took into consideration additional information regarding the new investment mandate provided by Strategic Advisers, PGIM and PGIML. The Board noted its familiarity with the nature, extent and quality of services provided by PGIM to the fund with a different investment mandate and to another Strategic Advisers fund. The Board considered supplemental information provided by PGIML in the Board's November 2020 materials.With respect to the Amended FIAM Sub-Advisory Agreement, the Board considered the detailed information provided by Strategic Advisers and FIAM in the June 2020 annual contract renewal materials, and noted that it had approved the existing sub-advisory agreement with FIAM at its September 2020 meeting and that the Amended FIAM Sub-Advisory Agreement will not result in any changes to: (i) the nature, extent and quality of the sub-advisory services provided; (ii) the investment process or strategies employed in the management of the fund's assets; or (iii) the day-to-day management of the fund or the persons primarily responsible for such management.Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of TCW's, PGIM's and PGIML's respective investment staff, use of technology, and approach to managing and compensating investment personnel. The Board noted that TCW's, PGIM's and PGIML'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 TCW's, PGIM's and PGIML's trading capabilities and resources and compliance infrastructure, which are integral parts of the investment management process. The Board also considered TCW's, PGIM's and PGIML's investments in business continuity planning, and PGIM's success in continuously providing services to the fund notwithstanding the severe disruptions caused by the COVID-19 pandemic.Shareholder and Administrative Services. The Board considered: (i) the nature, extent, quality, and cost of advisory services to be performed by TCW, PGIM and PGIML under the Agreements; and (ii) the resources to be devoted to the fund's compliance policies and procedures.Investment Performance. The Board considered the historical investment performance of each of TCW and PGIM and PGIML and their respective portfolio managers in managing accounts under a similar investment mandate. The Board did not consider performance to be a material factor in its decision to approve the Amended FIAM Sub-Advisory Agreement because the approval of the Amended FIAM Sub-Advisory Agreement will not result in any changes (i) to the fund's investment processes or strategies; or (ii) in the persons primarily responsible for the day-to-day management of the fund.Based on its review, the Board concluded that the nature, extent, and quality of services that will be provided to the fund under the Agreements should benefit the fund's shareholders and, with respect to the Amended FIAM Sub-Advisory Agreement, will continue to benefit the fund's shareholders.Competitiveness of Management Fee and Total Fund Expenses. With respect to the New TCW Sub-Advisory Agreement and the Amended PGIM 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 TCW and PGIM, respectively. The Board also considered the projected change in the fund's management fee and total operating expenses, if any, as a result of hiring TCW and adding the new investment mandate for PGIM.The Board noted that neither the New nor Amended Agreements will result in changes to the maximum aggregate annual management fee payable by the fund or Strategic Advisers' portion of the management fee. The Board considered Strategic Advisers' contractual agreement to waive its portion of the fund's management fee. The Board further considered that for each of TCW and PGIM, allocating assets to such sub-adviser is expected to result in an increase in the fund's management fee but such increase will be offset by a corresponding decrease in underlying fund expenses. The Board also considered that after allocating assets to each of TCW and PGIM, the fund's management fee and total net expenses are each expected to continue to rank below the competitive peer group median reported in the June 2020 management contract renewal materials.With respect to the New PGIML Sub-Subadvisory Agreement, the Board considered that PGIM, and not the fund, will compensate PGIML under the terms of the New PGIML Sub-Subadvisory Agreement and that the fund and Strategic Advisers are not responsible for any such fees or expenses. The Board also considered that the New PGIML Sub-Subadvisory Agreement will not result in any changes to the fees paid under the sub-advisory agreement among Strategic Advisers, PGIM, and the Trust on behalf of the fund for the new investment mandate.With respect to the Amended FIAM Sub-Advisory Agreement, the Board considered that the amendment to the fee schedule is expected to result in a decrease in the total management fee rate of the fund.Based on its review, the Board concluded that the fund's management fee structure and any changes to projected total expenses bear a reasonable relationship to the services that the fund and its shareholders will receive and the other factors considered.Because each of the New and Amended Agreements was negotiated at arm's length and will have no impact on the maximum management fees payable by the fund or Strategic Advisers' portion of the management fee, the Board did not consider the costs of services and profitability to be significant factors in its decision to approve the New and Amended 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 and/or Amended 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 TCW and PGIM Sub-Advisory Agreements each provide, and the FIAM Sub-Advisory Agreement will continue to provide, for breakpoints that have the potential to reduce sub-advisory fees paid to the sub-adviser as assets allocated to the sub-adviser grow. The Board also noted that it did not consider the possible realization of economies of scale to be a significant factor in its decision to approve the New PGIML Sub-Subadvisory Agreement or the Amended FIAM Agreement because the fund will not bear any additional management fees or expenses under the New PGIML Sub-Subadvisory Agreement or the Amended FIAM Agreement.Conclusion. Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that each Sub-Advisory Agreement's fee structure bears a reasonable relationship to the services to be rendered and that each New Agreement or Amended Agreement is in the best interests of the fund and its shareholders and should be approved. The Board also concluded that the sub-advisory fees to be charged under each Sub-Advisory Agreement will be based on services provided that will be in addition to, rather than duplicative of, services provided under the advisory contract of any underlying fund in which the fund may invest. In addition, the Board concluded that the approval of each New or Amended Agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.Liquidity Risk Management Program
The Securities and Exchange Commission adopted Rule 22e-4 under the Investment Company Act of 1940 (the Liquidity Rule) to promote effective liquidity risk management throughout the open-end investment company industry, thereby reducing the risk that funds will be unable to meet their redemption obligations and mitigating dilution of the interests of fund shareholders.
The Fund has adopted and implemented a liquidity risk management program (the Program) reasonably designed to assess and manage the Fund’s liquidity risk and to comply with the requirements of the Liquidity Rule. The Fund’s Board of Trustees (the Board) has designated the Fund’s investment adviser as administrator of the Program. Strategic Advisers has established a Liquidity Risk Management Committee (the LRM Committee) to manage the Program for each of the Funds. The LRM Committee monitors the adequacy and effectiveness of implementation of the Program and on a periodic basis assesses each Fund’s liquidity risk based on a variety of factors including (1) the Fund’s investment strategy, (2) portfolio liquidity and cash flow projections during normal and reasonably foreseeable stressed conditions, (3) shareholder redemptions and (4) borrowings and other funding sources, as applicable.
In accordance with the Program, each of the Fund’s portfolio investments is classified into one of four liquidity categories described below based on a determination of a reasonable expectation for how long it would take to convert the investment to cash (or sell or dispose of the investment) without significantly changing its market value.
- Highly liquid investments – cash or convertible to cash within three business days or less
- Moderately liquid investments – convertible to cash in three to seven calendar days
- Less liquid investments – can be sold or disposed of, but not settled, within seven calendar days
- Illiquid investments – cannot be sold or disposed of within seven calendar days
Liquidity classification determinations take into account a variety of factors including various market, trading and investment-specific considerations, as well as market depth, and generally utilize analysis from a third-party liquidity metrics service.
The Liquidity Rule places a 15% limit on a fund’s illiquid investments and requires funds that do not primarily hold assets that are highly liquid investments to determine and maintain a minimum percentage of the fund’s net assets to be invested in highly liquid investments (highly liquid investment minimum or HLIM). The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments and for determining, periodically reviewing and complying with the HLIM requirement as applicable.
At a recent meeting of the Fund’s Board of Trustees, the LRM Committee provided a written report to the Board pertaining to the operation, adequacy, and effectiveness of implementation of the Program for the annual period from December 1, 2019 through November 30, 2020. The report concluded that the Program has been implemented and is operating effectively and is reasonably designed to assess and manage the Fund’s liquidity risk.
Proxy Voting Results
A special meeting of shareholders was held on November 2, 2020. The results of votes taken among shareholders on the proposals before them are reported below. Each vote reported represents one dollar of net asset value held on the record date for the meeting.
PROPOSAL 1
To elect a Board of Trustees.
# of Votes | % of Votes | |
ROBERT A. LAWRENCE | ||
Affirmative | 204,250,982,594.51 | 96.530 |
Withheld | 7,343,512,146.85 | 3.470 |
TOTAL | 211,594,494,741.36 | 100.000 |
CHARLES S. MORRISON | ||
Affirmative | 204,349,460,488.43 | 96.576 |
Withheld | 7,245,034,252.93 | 3.424 |
TOTAL | 211,594,494,741.36 | 100.000 |
PETER C. ALDRICH | ||
Affirmative | 203,499,803,652.67 | 96.175 |
Withheld | 8,094,691,088.69 | 3.825 |
TOTAL | 211,594,494,741.36 | 100.000 |
MARY C. FARRELL | ||
Affirmative | 204,011,925,737.22 | 96.417 |
Withheld | 7,582,569,004.14 | 3.583 |
TOTAL | 211,594,494,741.36 | 100.00 |
KAREN KAPLAN | ||
Affirmative | 204,297,547,550.53 | 96.552 |
Withheld | 7,296,947,190.83 | 3.448 |
TOTAL | 211,594,494,741.36 | 100.000 |
CHRISTINE MARCKS | ||
Affirmative | 204,700,871,317.72 | 96.743 |
Withheld | 6,893,623,423.64 | 3.257 |
TOTAL | 211,594,494,741.36 | 100.000 |
HEIDI L. STEIGER | ||
Affirmative | 204,406,589,957.28 | 96.603 |
Withheld | 7,187,904,784.08 | 3.397 |
TOTAL | 211,594,494,741.36 | 100.000 |
PROPOSAL 2
To approve the conversion of a fundamental investment policy to a non-fundamental investment policy.
# of Votes | % of Votes | |
Affirmative | 34,641,094,730.10 | 85.478 |
Against | 2,616,705,287.46 | 6.456 |
Abstain | 3,268,952,592.82 | 8.006 |
Broker Non-Vote | 0.00 | 0.000 |
TOTAL | 40,526,752,610.38 | 100.000 |
PROPOSAL 5
To approve a sub-subadvisory agreement between FIAM LLC (FIAM) and FMR Investment Management (UK) Limited (FMR UK).
# of Votes | % of Votes | |
Affirmative | 36,174,825,679.52 | 89.262 |
Against | 1,611,762,539.52 | 3.977 |
Abstain | 2,740,164,391.34 | 6.761 |
Broker Non-Vote | 0.00 | 0.000 |
TOTAL | 40,526,752,610.38 | 100.000 |
PROPOSAL 6
To approve a sub-subadvisory agreement between FIAM and Fidelity Management & Research (Hong Kong) Limited (FMR H.K.).
# of Votes | % of Votes | |
Affirmative | 35,670,740,034.09 | 80.018 |
Against | 2,106,664,588.02 | 5.198 |
Abstain | 2,749,347,988.27 | 6.784 |
Broker Non-Vote | 0.00 | 0.000 |
TOTAL | 40,526,752,610.38 | 100.000 |
PROPOSAL 7
To approve a sub-subadvisory agreement between FIAM and Fidelity Management & Research (Japan) Limited (FMR Japan).
# of Votes | % of Votes | |
Affirmative | 36,158,549,727.58 | 89.222 |
Against | 1,678,992,415.73 | 4.143 |
Abstain | 2,689,210,467.07 | 6.635 |
Broker Non-Vote | 0.00 | 0.000 |
TOTAL | 40,526,752,610.38 | 100.000 |
Proposal 1 reflects trust wide proposal and voting results. |
SSC-ANN-0421
1.912891.110
Strategic Advisers® Income Opportunities Fund
Offered exclusively to certain clients of Strategic Advisers LLC - not available for sale to the general public
February 28, 2021
Contents
Board Approval of Investment Advisory Contracts and Management Fees | |
To view a fund's proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
You may also call 1-800-544-3455 to request a free copy of the proxy voting guidelines.
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Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2021 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
Note to Shareholders:
Early in 2020, the outbreak and spread of a new coronavirus emerged as a public health emergency that had a major influence on financial markets, primarily based on its impact on the global economy and the outlook for corporate earnings. The virus causes a respiratory disease known as COVID-19. On March 11, 2020 the World Health Organization declared the COVID-19 outbreak a pandemic, citing sustained risk of further global spread.
In the weeks following, as the crisis worsened, we witnessed an escalating human tragedy with wide-scale social and economic consequences from coronavirus-containment measures. The outbreak of COVID-19 prompted a number of measures to limit the spread, including travel and border restrictions, quarantines, and restrictions on large gatherings. In turn, these resulted in lower consumer activity, diminished demand for a wide range of products and services, disruption in manufacturing and supply chains, and – given the wide variability in outcomes regarding the outbreak – significant market uncertainty and volatility. Amid the turmoil, global governments and central banks took unprecedented action to help support consumers, businesses, and the broader economies, and to limit disruption to financial systems.
The situation continues to unfold, and the extent and duration of its impact on financial markets and the economy remain highly uncertain. Extreme events such as the coronavirus crisis are “exogenous shocks” that can have significant adverse effects on mutual funds and their investments. Although multiple asset classes may be affected by market disruption, the duration and impact may not be the same for all types of assets.
Fidelity is committed to helping you stay informed amid news about COVID-19 and during increased market volatility, and we’re taking extra steps to be responsive to customer needs. We encourage you to visit our websites, where we offer ongoing updates, commentary, and analysis on the markets and our funds.
Performance: The Bottom Line
Average annual total return reflects the change in the value of an investment, assuming reinvestment of distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year. The hypothetical investment and the average annual total returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund’s total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.
Average Annual Total Returns
For the periods ended February 28, 2021 | Past 1 year | Past 5 years | Past 10 years |
Strategic Advisers® Income Opportunities Fund | 8.05% | 7.97% | 5.57% |
$10,000 Over 10 Years
Let's say hypothetically that $10,000 was invested in Strategic Advisers® Income Opportunities Fund on February 28, 2011.
The chart shows how the value of your investment would have changed, and also shows how the ICE® BofA® US High Yield Constrained Index performed over the same period.
Period Ending Values | ||
$17,202 | Strategic Advisers® Income Opportunities Fund | |
$18,470 | ICE® BofA® US High Yield Constrained Index |
Management's Discussion of Fund Performance
Market Recap: U.S. taxable investment-grade bonds posted only a small gain for the 12 months ending February 28, 2021, hampered by rising long-term market rates amid faster economic expansion. The Bloomberg Barclays U.S. Aggregate Bond Index added 1.38% for the period. Spreads for corporate bonds widened and yields rose in March 2020 due to robust investor demand for relatively safer assets – especially U.S. Treasury bonds – as the outbreak and spread of COVID-19 threatened global economic growth and corporate earnings, leading to pockets of market illiquidity. Aggressive intervention by the U.S. Federal Reserve boosted liquidity and led to a broad rally for fixed-income assets from April through July. Spreads widened moderately in August and September, amid healthy issuance of new corporate bonds, then narrowed through period end. In February 2021, yields rose because a $1.9 trillion COVID-relief bill offered hopes for a broad economic recovery but led to rising inflation expectations. Within the Bloomberg Barclays index, corporate bonds gained 2.79% for the 12 months, topping the -0.13% return of U.S. Treasuries. Securitized sectors, meanwhile, outpaced Treasuries and the broader market. Outside the index, U.S. corporate high-yield bonds gained 9.38% and Treasury Inflation-Protected Securities (TIPS) rose 5.85%.Comments from Co-Portfolio Managers Charles Sterling and Jonathan Duggan: For the fiscal year ending February 28, 2021, the Fund advanced 8.05%, trailing the 8.53% increase in the benchmark ICE BofA℠ U.S. High Yield Constrained Index. Versus the benchmark, the High Income strategy managed by sub-adviser FIAM® (+5%) was the biggest detractor. A combination of adverse security selection within energy, as well as overweighted allocations to more-defensive industries, weighed on this manager's performance. Early in the period, as part of our effort to reduce credit risk in the portfolio, we added Vanguard High Yield Corporate Bond Fund (+6%). This manager's defensive positioning worked well during the first few months of the period but failed to keep pace later on amid investors' increased risk appetite. As a result, it also detracted from the broader Fund's relative result. On the positive side, Fidelity® Capital & Income Fund (+21%) and Artisan High Income Fund (+12%) were the top relative contributors. Fidelity Capital & Income’s opportunistic strategy, which included an allocation to stocks of large information technology firms, worked well in the post-March risk-on environment. Artisan, meanwhile, benefited from security selection in industries that were relatively immune to COVID-19, including insurance brokers and software companies, along with bond picks in energy. In terms of notable positioning changes, in October, we hired T. Rowe Price as a sub-adviser and reallocated the assets from T. Rowe Price High Yield Fund into this new relationship. As of period end, we have a positive outlook for the high-yield market’s risk backdrop. As a result, we reduced our allocation to Vanguard and began increasing exposure to BlackRock High Yield Bond Fund, which pursues an all-weather strategy. We also added to Fidelity® Capital & Income Fund, to potentially benefit from its more aggressive positioning.The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
Investment Summary (Unaudited)
The information in the following tables is based on the direct investments of the Fund.Top Ten Holdings as of February 28, 2021
(excluding cash equivalents) | % of fund's net assets |
BlackRock High Yield Bond Portfolio Class K | 12.0 |
Artisan High Income Fund Investor Shares | 11.4 |
Fidelity Capital & Income Fund | 8.8 |
Vanguard High-Yield Corporate Fund Admiral Shares | 8.5 |
Mainstay High Yield Corporate Bond Fund Class A | 8.1 |
Eaton Vance Income Fund of Boston Class A | 4.0 |
CCO Holdings LLC/CCO Holdings Capital Corp. | 1.0 |
Intercontinental Exchange, Inc. | 0.9 |
Occidental Petroleum Corp. | 0.8 |
CSC Holdings LLC | 0.8 |
Asset Allocation (% of fund's net assets)
As of February 28, 2021 | ||
Corporate Bonds | 43.0% | |
High Yield Fixed-Income Funds | 52.8% | |
Stocks | 1.2% | |
Other Investments | 1.7% | |
Short-Term Investments and Net Other Assets (Liabilities) | 1.3% |
Asset allocations of funds in the pie chart reflect the categorizations of assets as defined by Morningstar as of the reporting date.
Schedule of Investments February 28, 2021
Showing Percentage of Net Assets
Corporate Bonds - 43.0% | |||
Principal Amount(a) | Value | ||
Convertible Bonds - 0.2% | |||
COMMUNICATION SERVICES - 0.2% | |||
Media - 0.2% | |||
DISH Network Corp.: | |||
2.375% 3/15/24 | 2,959,000 | 2,797,314 | |
3.375% 8/15/26 | 9,336,000 | 8,778,891 | |
11,576,205 | |||
ENERGY - 0.0% | |||
Oil, Gas & Consumable Fuels - 0.0% | |||
Cheniere Energy, Inc. 4.25% 3/15/45 | 2,000,000 | 1,634,416 | |
Mesquite Energy, Inc.: | |||
15% 7/15/23 (b)(c) | 547,546 | 547,546 | |
15% 7/15/23 (b)(c) | 317,078 | 317,078 | |
2,499,040 | |||
TOTAL CONVERTIBLE BONDS | 14,075,245 | ||
Nonconvertible Bonds - 42.8% | |||
COMMUNICATION SERVICES - 8.3% | |||
Diversified Telecommunication Services - 2.5% | |||
C&W Senior Financing Designated Activity Co.: | |||
6.875% 9/15/27 (d) | 16,265,000 | 17,423,881 | |
7.5% 10/15/26 (d) | 5,160,000 | 5,455,720 | |
Cablevision Lightpath LLC: | |||
3.875% 9/15/27 (d) | 2,627,000 | 2,607,298 | |
5.625% 9/15/28 (d) | 1,960,000 | 1,991,850 | |
Connect Finco SARL / Connect U.S. Finco LLC 6.75% 10/1/26 (d) | 1,515,000 | 1,570,411 | |
Consolidated Communications, Inc. 6.5% 10/1/28 (d) | 995,000 | 1,065,894 | |
Embarq Corp. 7.995% 6/1/36 | 3,097,000 | 3,681,559 | |
Frontier Communications Corp.: | |||
5% 5/1/28 (d) | 4,475,000 | 4,607,908 | |
5.875% 10/15/27 (d) | 3,934,000 | 4,209,380 | |
6.75% 5/1/29 (d) | 2,590,000 | 2,712,248 | |
Level 3 Financing, Inc.: | |||
3.625% 1/15/29 (d) | 2,870,000 | 2,823,678 | |
3.75% 7/15/29 (d) | 3,775,000 | 3,765,563 | |
4.25% 7/1/28 (d) | 5,915,000 | 5,998,461 | |
4.625% 9/15/27 (d) | 5,595,000 | 5,789,147 | |
5.375% 5/1/25 | 2,495,000 | 2,559,870 | |
Lumen Technologies, Inc.: | |||
4.5% 1/15/29 (d) | 6,910,000 | 6,901,363 | |
5.125% 12/15/26 (d) | 4,965,000 | 5,176,013 | |
5.625% 4/1/25 | 860,000 | 921,232 | |
5.8% 3/15/22 | 2,218,000 | 2,299,245 | |
6.45% 6/15/21 | 5,740,000 | 5,814,620 | |
6.75% 12/1/23 | 1,336,000 | 1,482,960 | |
6.875% 1/15/28 | 613,000 | 691,390 | |
7.6% 9/15/39 | 5,075,000 | 6,105,022 | |
7.65% 3/15/42 | 1,587,000 | 1,906,225 | |
Qwest Corp. 6.75% 12/1/21 | 525,000 | 545,344 | |
Sable International Finance Ltd. 5.75% 9/7/27 (d) | 3,255,000 | 3,442,163 | |
SFR Group SA: | |||
5.125% 1/15/29 (d) | 10,587,000 | 10,645,387 | |
5.5% 1/15/28 (d) | 1,775,000 | 1,810,695 | |
7.375% 5/1/26 (d) | 9,265,000 | 9,665,248 | |
8.125% 2/1/27 (d) | 6,835,000 | 7,450,218 | |
Sprint Capital Corp.: | |||
6.875% 11/15/28 | 11,102,000 | 14,044,030 | |
8.75% 3/15/32 | 7,034,000 | 10,466,592 | |
Telecom Italia Capital SA: | |||
6% 9/30/34 | 1,817,000 | 2,098,708 | |
7.2% 7/18/36 | 1,278,000 | 1,638,779 | |
7.721% 6/4/38 | 275,000 | 368,170 | |
Telenet Finance Luxembourg Notes SARL 5.5% 3/1/28 (d) | 2,600,000 | 2,749,500 | |
Virgin Media Finance PLC 5% 7/15/30 (d) | 3,445,000 | 3,505,288 | |
Windstream Escrow LLC 7.75% 8/15/28 (d) | 5,511,000 | 5,641,886 | |
Zayo Group Holdings, Inc.: | |||
4% 3/1/27 (d) | 3,145,000 | 3,132,043 | |
6.125% 3/1/28 (d) | 6,328,000 | 6,524,801 | |
181,289,790 | |||
Entertainment - 0.2% | |||
AMC Entertainment Holdings, Inc. 12% 6/15/26 pay-in-kind (d)(e) | 1,696,885 | 1,306,601 | |
National CineMedia LLC: | |||
5.75% 8/15/26 | 475,000 | 406,125 | |
5.875% 4/15/28 (d) | 475,000 | 437,000 | |
Netflix, Inc.: | |||
3.875% 11/15/29 (d) | EUR | 725,000 | 1,041,476 |
5.375% 11/15/29 (d) | 1,360,000 | 1,606,772 | |
5.875% 11/15/28 | 2,365,000 | 2,830,905 | |
6.375% 5/15/29 | 3,790,000 | 4,709,075 | |
12,337,954 | |||
Interactive Media & Services - 0.0% | |||
ANGI Homeservices, Inc. 3.875% 8/15/28 (d) | 305,000 | 311,863 | |
Media - 4.4% | |||
Advantage Sales & Marketing, Inc. 6.5% 11/15/28 (d) | 4,954,000 | 5,077,850 | |
Altice Financing SA: | |||
5% 1/15/28 (d) | 5,795,000 | 5,795,637 | |
7.5% 5/15/26 (d) | 7,995,000 | 8,345,661 | |
Altice France Holding SA: | |||
6% 2/15/28 (d) | 11,460,000 | 11,216,475 | |
10.5% 5/15/27 (d) | 3,065,000 | 3,445,980 | |
AMC Networks, Inc. 5% 4/1/24 | 700,000 | 708,750 | |
Beasley Mezzanine Holdings LLC 8.625% 2/1/26 (d) | 770,000 | 779,625 | |
CCO Holdings LLC/CCO Holdings Capital Corp.: | |||
4.25% 2/1/31 (d) | 13,725,000 | 13,896,563 | |
4.5% 8/15/30 (d) | 6,965,000 | 7,212,258 | |
4.5% 5/1/32 (d) | 14,579,000 | 14,975,549 | |
4.75% 3/1/30 (d) | 2,831,000 | 2,954,715 | |
5% 2/1/28 (d) | 11,253,000 | 11,787,518 | |
5.125% 5/1/27 (d) | 5,955,000 | 6,238,458 | |
5.375% 6/1/29 (d) | 6,405,000 | 6,902,797 | |
5.5% 5/1/26 (d) | 4,760,000 | 4,924,220 | |
5.75% 2/15/26 (d) | 3,005,000 | 3,105,818 | |
5.875% 5/1/27 (d) | 630,000 | 652,050 | |
Clear Channel Outdoor Holdings, Inc. 7.75% 4/15/28 (d) | 2,650,000 | 2,689,750 | |
Clear Channel Worldwide Holdings, Inc.: | |||
5.125% 8/15/27 (d) | 4,215,000 | 4,282,440 | |
9.25% 2/15/24 | 12,379,000 | 12,889,634 | |
CSC Holdings LLC: | |||
3.375% 2/15/31 (d) | 1,067,000 | 1,024,320 | |
4.125% 12/1/30 (d) | 4,232,000 | 4,248,928 | |
4.625% 12/1/30 (d) | 19,862,000 | 19,806,982 | |
5.25% 6/1/24 | 976,000 | 1,050,420 | |
5.5% 5/15/26 (d) | 4,310,000 | 4,458,156 | |
5.5% 4/15/27 (d) | 3,510,000 | 3,693,222 | |
5.75% 1/15/30 (d) | 3,390,000 | 3,617,808 | |
6.5% 2/1/29 (d) | 2,635,000 | 2,905,351 | |
6.75% 11/15/21 | 2,000,000 | 2,065,000 | |
7.5% 4/1/28 (d) | 5,160,000 | 5,683,534 | |
Diamond Sports Group LLC/Diamond Sports Finance Co.: | |||
5.375% 8/15/26 (d) | 9,860,000 | 6,972,992 | |
6.625% 8/15/27 (d) | 14,850,000 | 7,647,750 | |
DISH DBS Corp.: | |||
5% 3/15/23 | 926,000 | 953,780 | |
5.875% 7/15/22 | 2,475,000 | 2,580,633 | |
5.875% 11/15/24 | 4,114,000 | 4,309,744 | |
6.75% 6/1/21 | 2,647,000 | 2,676,779 | |
7.375% 7/1/28 | 4,225,000 | 4,428,328 | |
7.75% 7/1/26 | 4,854,000 | 5,341,827 | |
Dolya Holdco 18 DAC 5% 7/15/28 (d) | 3,737,000 | 3,827,099 | |
E.W. Scripps Co. 5.125% 5/15/25 (d) | 900,000 | 913,500 | |
Gray Television, Inc.: | |||
4.75% 10/15/30 (d) | 2,875,000 | 2,875,000 | |
5.875% 7/15/26 (d) | 1,855,000 | 1,919,925 | |
7% 5/15/27 (d) | 2,175,000 | 2,376,188 | |
iHeartCommunications, Inc.: | |||
5.25% 8/15/27 (d) | 1,675,000 | 1,716,875 | |
6.375% 5/1/26 | 335,000 | 354,464 | |
8.375% 5/1/27 | 8,650,000 | 9,172,287 | |
Lamar Media Corp. 3.625% 1/15/31 (d) | 625,000 | 617,581 | |
LCPR Senior Secured Financing DAC 6.75% 10/15/27 (d) | 345,000 | 370,444 | |
MDC Partners, Inc. 7.5% 5/1/24 (d)(f) | 3,345,000 | 3,370,088 | |
Meredith Corp. 6.875% 2/1/26 | 2,660,000 | 2,714,104 | |
Nexstar Broadcasting, Inc.: | |||
4.75% 11/1/28 (d) | 3,100,000 | 3,165,875 | |
5.625% 7/15/27 (d) | 2,118,000 | 2,237,138 | |
Outfront Media Capital LLC / Corp.: | |||
4.25% 1/15/29 (d) | 350,000 | 340,375 | |
5% 8/15/27 (d) | 100,000 | 101,625 | |
6.25% 6/15/25 (d) | 355,000 | 376,300 | |
Radiate Holdco LLC/Radiate Financial Service Ltd.: | |||
4.5% 9/15/26 (d) | 5,382,000 | 5,449,275 | |
6.5% 9/15/28 (d) | 8,410,000 | 8,830,500 | |
Scripps Escrow II, Inc.: | |||
3.875% 1/15/29 (d) | 600,000 | 589,275 | |
5.375% 1/15/31 (d) | 1,235,000 | 1,251,981 | |
Scripps Escrow, Inc. 5.875% 7/15/27 (d) | 200,000 | 208,400 | |
Sinclair Television Group, Inc.: | |||
5.125% 2/15/27 (d) | 2,985,000 | 2,963,210 | |
5.5% 3/1/30 (d) | 1,130,000 | 1,134,475 | |
5.875% 3/15/26 (d) | 925,000 | 945,535 | |
Sirius XM Radio, Inc.: | |||
4.125% 7/1/30 (d) | 6,380,000 | 6,443,800 | |
4.625% 7/15/24 (d) | 1,010,000 | 1,040,189 | |
5% 8/1/27 (d) | 935,000 | 973,587 | |
5.375% 7/15/26 (d) | 2,125,000 | 2,194,700 | |
5.5% 7/1/29 (d) | 5,895,000 | 6,379,569 | |
Tegna, Inc.: | |||
4.625% 3/15/28 (d) | 1,320,000 | 1,351,350 | |
4.75% 3/15/26 (d) | 500,000 | 532,500 | |
5% 9/15/29 | 480,000 | 500,189 | |
Townsquare Media, Inc. 6.875% 2/1/26 (d) | 1,725,000 | 1,804,083 | |
Univision Communications, Inc.: | |||
5.125% 2/15/25 (d) | 2,825,000 | 2,827,684 | |
6.625% 6/1/27 (d) | 7,965,000 | 8,303,513 | |
9.5% 5/1/25 (d) | 1,222,000 | 1,331,613 | |
Urban One, Inc. 7.375% 2/1/28 (d) | 1,145,000 | 1,153,175 | |
Virgin Media Secured Finance PLC: | |||
4.5% 8/15/30 (d) | 2,450,000 | 2,505,125 | |
5.5% 8/15/26 (d) | 840,000 | 874,545 | |
5.5% 5/15/29 (d) | 1,110,000 | 1,189,720 | |
VTR Finance BV 6.375% 7/15/28 (d) | 660,000 | 721,050 | |
Ziggo Bond Co. BV: | |||
5.125% 2/28/30 (d) | 1,485,000 | 1,548,291 | |
6% 1/15/27 (d) | 3,325,000 | 3,466,313 | |
Ziggo BV: | |||
4.875% 1/15/30 (d)(g) | 2,020,000 | 2,108,375 | |
5.5% 1/15/27 (d) | 3,352,000 | 3,482,762 | |
319,900,954 | |||
Wireless Telecommunication Services - 1.2% | |||
Digicel Group 0.5 Ltd. 10% 4/1/24 pay-in-kind (f) | 2,053,293 | 2,022,494 | |
Digicel Group Ltd. 6.75% 3/1/23 (d) | 6,725,000 | 6,119,750 | |
Digicel International Finance Ltd. / Digicel Holdings Bermuda Ltd.: | |||
8% 12/31/26 (d) | 1,250,000 | 1,192,256 | |
8.75% 5/25/24 (d) | 5,370,000 | 5,604,938 | |
8.75% 5/25/24 (d) | 5,075,000 | 5,314,477 | |
13% 12/31/25 pay-in-kind (d)(f) | 3,551,600 | 3,609,314 | |
Intelsat Jackson Holdings SA: | |||
5.5% 8/1/23 (h) | 3,685,000 | 2,339,975 | |
8% 2/15/24 (d) | 200,000 | 206,500 | |
8.5% 10/15/24 (d)(h) | 7,200,000 | 4,680,000 | |
9.5% 9/30/22 (d) | 3,605,000 | 4,246,582 | |
Millicom International Cellular SA: | |||
4.5% 4/27/31 (d) | 200,000 | 214,000 | |
5.125% 1/15/28 (d) | 3,615,900 | 3,835,512 | |
6.25% 3/25/29 (d) | 2,245,500 | 2,517,767 | |
Sprint Communications, Inc.: | |||
6% 11/15/22 | 500,000 | 534,430 | |
11.5% 11/15/21 | 195,000 | 208,163 | |
Sprint Corp.: | |||
7.125% 6/15/24 | 14,305,000 | 16,471,492 | |
7.25% 9/15/21 | 1,921,000 | 1,976,440 | |
7.625% 2/15/25 | 2,050,000 | 2,439,500 | |
7.625% 3/1/26 | 1,000,000 | 1,227,880 | |
7.875% 9/15/23 | 5,150,000 | 5,945,933 | |
T-Mobile U.S.A., Inc.: | |||
2.25% 2/15/26 | 1,425,000 | 1,419,514 | |
2.625% 2/15/29 | 1,175,000 | 1,150,031 | |
2.875% 2/15/31 | 4,140,000 | 4,062,375 | |
6% 3/1/23 | 1,525,000 | 1,532,930 | |
6% 4/15/24 | 400,000 | 402,500 | |
6.5% 1/15/26 | 4,500,000 | 4,640,625 | |
Telesat Canada/Telesat LLC 6.5% 10/15/27 (d) | 1,165,000 | 1,202,315 | |
85,117,693 | |||
TOTAL COMMUNICATION SERVICES | 598,958,254 | ||
CONSUMER DISCRETIONARY - 7.1% | |||
Auto Components - 0.6% | |||
Adient Global Holdings Ltd. 4.875% 8/15/26 (d) | 5,415,000 | 5,469,150 | |
Allison Transmission, Inc.: | |||
4.75% 10/1/27 (d) | 675,000 | 696,938 | |
5.875% 6/1/29 (d) | 2,466,000 | 2,663,280 | |
American Axle & Manufacturing, Inc.: | |||
6.25% 4/1/25 | 1,300,000 | 1,339,130 | |
6.25% 3/15/26 | 1,000,000 | 1,021,240 | |
6.5% 4/1/27 | 3,630,000 | 3,790,228 | |
6.875% 7/1/28 | 550,000 | 581,944 | |
Cooper Standard Auto, Inc. 5.625% 11/15/26 (d) | 800,000 | 695,440 | |
Dana Financing Luxembourg SARL: | |||
5.75% 4/15/25 (d) | 1,615,000 | 1,656,586 | |
6.5% 6/1/26 (d) | 765,000 | 793,688 | |
Dana, Inc.: | |||
5.375% 11/15/27 | 2,570,000 | 2,685,650 | |
5.625% 6/15/28 | 3,140,000 | 3,332,325 | |
Panther BF Aggregator 2 LP / Panther Finance Co., Inc.: | |||
6.25% 5/15/26 (d) | 125,000 | 133,125 | |
8.5% 5/15/27 (d) | 7,420,000 | 8,006,180 | |
Patrick Industries, Inc. 7.5% 10/15/27 (d) | 325,000 | 354,656 | |
Real Hero Merger Sub 2 6.25% 2/1/29 (d) | 590,000 | 607,700 | |
Tenneco, Inc.: | |||
5% 7/15/24 (Reg. S) | EUR | 275,000 | 338,554 |
5% 7/15/26 | 2,300,000 | 2,159,125 | |
5.375% 12/15/24 | 1,710,000 | 1,689,018 | |
7.875% 1/15/29 (d) | 1,505,000 | 1,686,962 | |
The Goodyear Tire & Rubber Co. 9.5% 5/31/25 | 490,000 | 550,589 | |
40,251,508 | |||
Automobiles - 0.5% | |||
Ford Motor Co.: | |||
4.75% 1/15/43 | 5,440,000 | 5,502,560 | |
5.291% 12/8/46 | 6,425,000 | 6,786,406 | |
8.5% 4/21/23 | 715,000 | 799,906 | |
9% 4/22/25 | 9,170,000 | 11,132,013 | |
9.625% 4/22/30 | 3,005,000 | 4,251,174 | |
PM General Purchaser LLC 9.5% 10/1/28 (d) | 1,725,000 | 1,899,139 | |
Tesla, Inc. 5.3% 8/15/25 (d) | 3,250,000 | 3,382,275 | |
33,753,473 | |||
Distributors - 0.0% | |||
American Builders & Contractors Supply Co., Inc. 5.875% 5/15/26 (d) | 1,770,000 | 1,829,348 | |
Diversified Consumer Services - 0.4% | |||
Adtalem Global Education, Inc. 5.5% 3/1/28 (d)(g)(i) | 6,730,000 | 6,698,369 | |
Frontdoor, Inc. 6.75% 8/15/26 (d) | 860,000 | 914,825 | |
GEMS MENASA Cayman Ltd. 7.125% 7/31/26 (d) | 6,250,000 | 6,457,031 | |
Laureate Education, Inc. 8.25% 5/1/25 (d) | 9,855,000 | 10,323,113 | |
Service Corp. International: | |||
3.375% 8/15/30 | 1,540,000 | 1,511,125 | |
5.125% 6/1/29 | 735,000 | 794,263 | |
Sotheby's 7.375% 10/15/27 (d) | 5,835,000 | 6,301,800 | |
33,000,526 | |||
Hotels, Restaurants & Leisure - 3.9% | |||
1011778 BC Unlimited Liability Co./New Red Finance, Inc.: | |||
4% 10/15/30 (d) | 12,964,000 | 12,607,490 | |
5.75% 4/15/25 (d) | 255,000 | 271,894 | |
Affinity Gaming LLC 6.875% 12/15/27 (d) | 3,085,000 | 3,270,100 | |
Aramark Services, Inc.: | |||
4.75% 6/1/26 | 2,450,000 | 2,486,750 | |
5% 2/1/28 (d) | 11,930,000 | 12,228,250 | |
6.375% 5/1/25 (d) | 6,985,000 | 7,377,906 | |
Bally's Corp. 6.75% 6/1/27 (d) | 4,750,000 | 5,085,113 | |
Boyd Gaming Corp.: | |||
4.75% 12/1/27 | 1,375,000 | 1,397,798 | |
6% 8/15/26 | 2,065,000 | 2,138,576 | |
6.375% 4/1/26 | 2,555,000 | 2,639,647 | |
8.625% 6/1/25 (d) | 1,684,000 | 1,852,400 | |
Brinker International, Inc.: | |||
3.875% 5/15/23 | 1,750,000 | 1,754,375 | |
5% 10/1/24 (d) | 2,315,000 | 2,407,600 | |
Caesars Entertainment, Inc.: | |||
6.25% 7/1/25 (d) | 5,364,000 | 5,679,108 | |
8.125% 7/1/27(d) | 9,684,000 | 10,552,655 | |
Caesars Resort Collection LLC: | |||
5.25% 10/15/25 (d) | 14,230,000 | 14,141,774 | |
5.75% 7/1/25 (d) | 895,000 | 939,750 | |
Carnival Corp.: | |||
5.75% 3/1/27 (d) | 4,565,000 | 4,633,475 | |
6.65% 1/15/28 | 210,000 | 221,550 | |
7.625% 3/1/26 (d) | 5,375,000 | 5,650,469 | |
9.875% 8/1/27 (d) | 2,030,000 | 2,334,662 | |
CCM Merger, Inc. 6.375% 5/1/26 (d) | 450,000 | 477,000 | |
Cedar Fair LP 5.25% 7/15/29 | 4,120,000 | 4,130,300 | |
Cedar Fair LP/Canada's Wonderland Co.: | |||
5.375% 4/15/27 | 1,130,000 | 1,155,001 | |
5.5% 5/1/25 (d) | 2,070,000 | 2,169,619 | |
6.5% 10/1/28 (d) | 75,000 | 79,313 | |
Dave & Buster's, Inc. 7.625% 11/1/25 (d) | 1,570,000 | 1,664,200 | |
Full House Resorts, Inc. 8.25% 2/15/28 (d) | 650,000 | 689,000 | |
Genting New York LLC / GENNY Capital, Inc. 3.3% 2/15/26 (d) | 550,000 | 551,582 | |
Golden Entertainment, Inc. 7.625% 4/15/26 (d) | 5,246,000 | 5,568,996 | |
Golden Nugget, Inc. 6.75% 10/15/24 (d) | 6,675,000 | 6,787,674 | |
Hilton Domestic Operating Co., Inc.: | |||
3.625% 2/15/32 (d) | 4,225,000 | 4,160,949 | |
3.75% 5/1/29 (d) | 325,000 | 330,623 | |
4% 5/1/31 (d) | 2,955,000 | 2,995,631 | |
4.875% 1/15/30 | 1,732,000 | 1,866,265 | |
5.375% 5/1/25 (d) | 380,000 | 399,665 | |
5.75% 5/1/28 (d) | 1,520,000 | 1,646,358 | |
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp. 4.875% 4/1/27 | 2,425,000 | 2,522,000 | |
International Game Technology PLC: | |||
5.25% 1/15/29 (d) | 3,550,000 | 3,758,563 | |
6.25% 2/15/22 (d) | 655,000 | 667,281 | |
6.25% 1/15/27 (d) | 4,881,000 | 5,527,733 | |
6.5% 2/15/25 (d) | 500,000 | 552,500 | |
Jacobs Entertainment, Inc. 7.875% 2/1/24 (d) | 2,745,000 | 2,857,408 | |
LHMC Finco SARL 7.875% 12/20/23 (d) | 1,565,000 | 1,574,781 | |
Life Time, Inc.: | |||
5.75% 1/15/26 (d) | 2,020,000 | 2,055,350 | |
8% 4/15/26 (d) | 770,000 | 779,625 | |
Marriott International, Inc. 5.75% 5/1/25 | 645,000 | 744,760 | |
Marriott Ownership Resorts, Inc.: | |||
6.125% 9/15/25 (d) | 820,000 | 871,250 | |
6.5% 9/15/26 | 1,985,000 | 2,065,293 | |
MCE Finance Ltd.: | |||
4.875% 6/6/25 (d) | 215,000 | 220,590 | |
5.375% 12/4/29 (d) | 1,455,000 | 1,539,797 | |
5.75% 7/21/28 (d) | 1,575,000 | 1,686,038 | |
Merlin Entertainments PLC 5.75% 6/15/26 (d) | 200,000 | 211,000 | |
MGM China Holdings Ltd.: | |||
5.25% 6/18/25 (d) | 715,000 | 747,845 | |
5.375% 5/15/24 (d) | 670,000 | 686,750 | |
5.875% 5/15/26 (d) | 665,000 | 699,992 | |
MGM Resorts International: | |||
4.625% 9/1/26 | 188,000 | 197,165 | |
4.75% 10/15/28 | 3,673,000 | 3,822,877 | |
5.5% 4/15/27 | 2,259,000 | 2,450,337 | |
6% 3/15/23 | 905,000 | 964,956 | |
6.75% 5/1/25 | 6,325,000 | 6,771,735 | |
7.75% 3/15/22 | 250,000 | 264,063 | |
Mohegan Tribal Gaming Authority 8% 2/1/26 (d) | 3,245,000 | 3,208,494 | |
Motion Bondco DAC 6.625% 11/15/27 (d) | 3,400,000 | 3,502,000 | |
NCL Corp. Ltd.: | |||
3.625% 12/15/24 (d) | 1,950,000 | 1,822,665 | |
5.875% 3/15/26 (d) | 1,600,000 | 1,607,680 | |
10.25% 2/1/26 (d) | 970,000 | 1,127,625 | |
Peninsula Pacific Entertainment LLC 8.5% 11/15/27 (d) | 3,580,000 | 3,848,500 | |
Penn National Gaming, Inc. 5.625% 1/15/27 (d) | 2,900,000 | 3,030,500 | |
Royal Caribbean Cruises Ltd.: | |||
5.25% 11/15/22 | 1,890,000 | 1,926,023 | |
9.125% 6/15/23 (d) | 520,000 | 570,700 | |
11.5% 6/1/25 (d) | 5,475,000 | 6,412,594 | |
Scientific Games Corp.: | |||
5% 10/15/25 (d) | 4,920,000 | 5,059,974 | |
7% 5/15/28 (d) | 2,665,000 | 2,824,101 | |
7.25% 11/15/29 (d) | 4,229,000 | 4,599,038 | |
8.25% 3/15/26 (d) | 8,295,000 | 8,792,949 | |
8.625% 7/1/25 (d) | 4,515,000 | 4,862,113 | |
SeaWorld Parks & Entertainment, Inc. 9.5% 8/1/25 (d) | 1,885,000 | 2,040,588 | |
Six Flags Entertainment Corp.: | |||
4.875% 7/31/24 (d) | 980,000 | 980,804 | |
5.5% 4/15/27 (d) | 1,975,000 | 2,016,747 | |
Six Flags Theme Park, Inc. 7% 7/1/25 (d) | 270,000 | 291,068 | |
Stars Group Holdings BV 7% 7/15/26 (d) | 2,040,000 | 2,139,817 | |
Station Casinos LLC: | |||
4.5% 2/15/28 (d) | 4,844,000 | 4,825,835 | |
5% 10/1/25 (d) | 1,715,000 | 1,729,072 | |
Studio City Finance Ltd. 5% 1/15/29 (d) | 835,000 | 847,525 | |
Travel+Leisure Co. 4.625% 3/1/30 (d) | 250,000 | 259,140 | |
Vail Resorts, Inc. 6.25% 5/15/25 (d) | 605,000 | 646,080 | |
Viking Cruises Ltd.: | |||
7% 2/15/29 (d) | 675,000 | 685,125 | |
13% 5/15/25 (d) | 1,175,000 | 1,383,281 | |
Viking Ocean Cruises Ship VII Ltd. 5.625% 2/15/29 (d) | 845,000 | 850,493 | |
Voc Escrow Ltd. 5% 2/15/28 (d) | 1,325,000 | 1,309,233 | |
Wyndham Hotels & Resorts, Inc. 4.375% 8/15/28 (d) | 1,190,000 | 1,213,800 | |
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. 5.25% 5/15/27 (d) | 5,810,000 | 6,166,676 | |
Wynn Macau Ltd.: | |||
4.875% 10/1/24 (d) | 1,485,000 | 1,493,613 | |
5.125% 12/15/29 (d) | 375,000 | 382,500 | |
5.5% 1/15/26 (d) | 1,345,000 | 1,394,765 | |
5.5% 10/1/27 (d) | 2,495,000 | 2,583,884 | |
5.625% 8/26/28 (d) | 4,730,000 | 4,919,200 | |
Wynn Resorts Finance LLC / Wynn Resorts Capital Corp.: | |||
5.125% 10/1/29 (d) | 2,918,000 | 3,071,195 | |
7.75% 4/15/25 (d) | 1,229,000 | 1,333,711 | |
Yum! Brands, Inc.: | |||
3.625% 3/15/31 | 47,000 | 45,179 | |
5.35% 11/1/43 | 1,490,000 | 1,609,200 | |
6.875% 11/15/37 | 2,425,000 | 3,031,250 | |
7.75% 4/1/25 (d) | 770,000 | 844,921 | |
279,872,865 | |||
Household Durables - 0.6% | |||
Ashton Woods U.S.A. LLC/Ashton Woods Finance Co.: | |||
6.625% 1/15/28 (d) | 1,500,000 | 1,606,275 | |
6.75% 8/1/25 (d) | 3,525,000 | 3,639,563 | |
Beazer Homes U.S.A., Inc.: | |||
5.875% 10/15/27 | 2,675,000 | 2,795,375 | |
7.25% 10/15/29 | 7,175,000 | 7,964,250 | |
Brookfield Residential Properties, Inc./Brookfield Residential U.S. Corp.: | |||
4.875% 2/15/30 (d) | 2,379,000 | 2,407,405 | |
6.25% 9/15/27 (d) | 4,813,000 | 5,077,763 | |
6.375% 5/15/25 (d) | 500,000 | 513,125 | |
CD&R Smokey Buyer, Inc. 6.75% 7/15/25 (d) | 170,000 | 180,625 | |
Century Communities, Inc.: | |||
5.875% 7/15/25 | 500,000 | 521,428 | |
6.75% 6/1/27 | 1,450,000 | 1,544,250 | |
KB Home: | |||
4.8% 11/15/29 | 1,575,000 | 1,693,125 | |
6.875% 6/15/27 | 1,550,000 | 1,829,000 | |
M/I Homes, Inc.: | |||
4.95% 2/1/28 | 1,910,000 | 2,003,819 | |
5.625% 8/1/25 | 680,000 | 706,350 | |
Meritage Homes Corp.: | |||
5.125% 6/6/27 | 1,836,000 | 2,060,910 | |
6% 6/1/25 | 1,000,000 | 1,122,500 | |
New Home Co. LLC 7.25% 10/15/25 (d) | 1,300,000 | 1,332,240 | |
Newell Brands, Inc. 5.875% 4/1/36 | 270,000 | 336,150 | |
Picasso Finance Sub, Inc. 6.125% 6/15/25 (d) | 520,000 | 555,214 | |
STL Holding Co. LLC 7.5% 2/15/26 (d) | 950,000 | 980,875 | |
Taylor Morrison Communities, Inc./Monarch Communities, Inc.: | |||
5.625% 3/1/24 (d) | 250,000 | 270,128 | |
5.875% 4/15/23 (d) | 910,000 | 964,600 | |
Tempur Sealy International, Inc. 5.5% 6/15/26 | 1,095,000 | 1,132,657 | |
TopBuild Corp. 3.625% 3/15/29 (d)(g) | 975,000 | 978,656 | |
TRI Pointe Homes, Inc.: | |||
5.25% 6/1/27 | 575,000 | 621,920 | |
5.7% 6/15/28 | 180,000 | 200,250 | |
43,038,453 | |||
Internet & Direct Marketing Retail - 0.2% | |||
Expedia, Inc.: | |||
4.625% 8/1/27 (d) | 240,000 | 267,089 | |
6.25% 5/1/25 (d) | 925,000 | 1,081,097 | |
7% 5/1/25 (d) | 780,000 | 862,333 | |
Match Group Holdings II LLC 4.125% 8/1/30 (d) | 350,000 | 361,813 | |
Photo Holdings Merger Sub, Inc. 8.5% 10/1/26 (d) | 1,605,000 | 1,721,716 | |
Terrier Media Buyer, Inc. 8.875% 12/15/27 (d) | 10,299,000 | 11,032,804 | |
15,326,852 | |||
Leisure Products - 0.1% | |||
Mattel, Inc.: | |||
5.45% 11/1/41 | 744,000 | 840,720 | |
5.875% 12/15/27 (d) | 600,000 | 653,175 | |
6.2% 10/1/40 | 2,500,000 | 2,950,000 | |
Vista Outdoor, Inc. 4.5% 3/15/29 (d)(g) | 1,425,000 | 1,412,745 | |
5,856,640 | |||
Multiline Retail - 0.0% | |||
LSF9 Atlantis Holdings LLC / Victra Finance Corp. 7.75% 2/15/26 (d) | 680,000 | 695,212 | |
Specialty Retail - 0.6% | |||
Academy Ltd. 6% 11/15/27 (d) | 469,000 | 494,664 | |
Adient U.S. LLC 9% 4/15/25 (d) | 4,605,000 | 5,100,038 | |
Caleres, Inc. 6.25% 8/15/23 | 1,500,000 | 1,507,500 | |
Group 1 Automotive, Inc. 4% 8/15/28 (d) | 545,000 | 550,450 | |
Jaguar Land Rover Automotive PLC 7.75% 10/15/25 (d) | 2,485,000 | 2,683,800 | |
L Brands, Inc.: | |||
5.25% 2/1/28 | 265,000 | 283,550 | |
5.625% 10/15/23 | 1,975,000 | 2,137,938 | |
6.625% 10/1/30 (d) | 1,335,000 | 1,495,200 | |
6.694% 1/15/27 | 1,030,000 | 1,160,063 | |
6.75% 7/1/36 | 2,350,000 | 2,825,875 | |
6.875% 7/1/25 (d) | 90,000 | 98,325 | |
6.875% 11/1/35 | 315,000 | 382,152 | |
7.5% 6/15/29 | 745,000 | 841,850 | |
9.375% 7/1/25 (d) | 960,000 | 1,188,000 | |
LBM Acquisition LLC 6.25% 1/15/29 (d) | 1,115,000 | 1,130,565 | |
Park River Holdings, Inc. 5.625% 2/1/29 (d) | 2,600,000 | 2,547,220 | |
PetSmart, Inc. 7.125% 3/15/23 (d) | 4,000,000 | 4,007,200 | |
PetSmart, Inc. / PetSmart Finance Corp.: | |||
4.75% 2/15/28 (d) | 250,000 | 258,540 | |
7.75% 2/15/29 (d) | 2,270,000 | 2,434,575 | |
Rent-A-Center, Inc. 6.375% 2/15/29 (d) | 345,000 | 358,838 | |
Sally Holdings LLC: | |||
5.5% 11/1/23 | 3,000,000 | 3,015,000 | |
5.625% 12/1/25 | 4,123,000 | 4,215,768 | |
8.75% 4/30/25 (d) | 800,000 | 880,000 | |
Specialty Building Products Holdings LLC 6.375% 9/30/26 (d) | 1,140,000 | 1,182,750 | |
Staples, Inc.: | |||
7.5% 4/15/26 (d) | 1,535,000 | 1,538,377 | |
10.75% 4/15/27 (d) | 2,330,000 | 2,225,150 | |
44,543,388 | |||
Textiles, Apparel & Luxury Goods - 0.2% | |||
Hanesbrands, Inc. 5.375% 5/15/25 (d) | 2,035,000 | 2,156,652 | |
Levi Strauss & Co. 3.5% 3/1/31 (d) | 1,565,000 | 1,582,606 | |
The William Carter Co.: | |||
5.5% 5/15/25 (d) | 1,975,000 | 2,083,625 | |
5.625% 3/15/27 (d) | 2,405,000 | 2,532,766 | |
Wolverine World Wide, Inc.: | |||
5% 9/1/26 (d) | 2,275,000 | 2,331,875 | |
6.375% 5/15/25 (d) | 2,305,000 | 2,463,469 | |
13,150,993 | |||
TOTAL CONSUMER DISCRETIONARY | 511,319,258 | ||
CONSUMER STAPLES - 1.8% | |||
Food & Staples Retailing - 0.6% | |||
Albertsons Companies LLC/Safeway, Inc./New Albertson's, Inc./Albertson's LLC: | |||
3.5% 3/15/29 (d) | 10,285,000 | 9,881,314 | |
4.875% 2/15/30 (d) | 2,810,000 | 2,908,968 | |
5.875% 2/15/28 (d) | 3,210,000 | 3,418,650 | |
7.5% 3/15/26 (d) | 1,565,000 | 1,712,274 | |
C&S Group Enterprises LLC 5% 12/15/28 (d) | 5,360,000 | 5,266,200 | |
Cosan Luxembourg SA 7% 1/20/27 (d) | 1,315,000 | 1,397,598 | |
Iceland Bondco PLC 4.625% 3/15/25 (Reg. S) | GBP | 1,055,000 | 1,461,527 |
New Albertsons, Inc.: | |||
7.45% 8/1/29 | 615,000 | 731,850 | |
8% 5/1/31 | 415,000 | 518,750 | |
Performance Food Group, Inc.: | |||
5.5% 10/15/27 (d) | 6,220,000 | 6,531,560 | |
6.875% 5/1/25 (d) | 1,399,000 | 1,493,433 | |
SEG Holding LLC/SEG Finance Corp. 5.625% 10/15/28 (d) | 25,000 | 26,500 | |
Sigma Holdco BV 7.875% 5/15/26 (d) | 905,000 | 925,815 | |
U.S. Foods, Inc.: | |||
4.75% 2/15/29 (d) | 2,385,000 | 2,418,724 | |
6.25% 4/15/25 (d) | 2,890,000 | 3,074,238 | |
United Natural Foods, Inc. 6.75% 10/15/28 (d) | 890,000 | 932,275 | |
42,699,676 | |||
Food Products - 1.1% | |||
B&G Foods, Inc.: | |||
5.25% 4/1/25 | 3,985,000 | 4,086,219 | |
5.25% 9/15/27 | 2,045,000 | 2,145,757 | |
Chobani LLC/Finance Corp., Inc.: | |||
4.625% 11/15/28 (d) | 645,000 | 665,963 | |
7.5% 4/15/25 (d) | 4,755,000 | 4,921,520 | |
JBS U.S.A. LLC/JBS U.S.A. Finance, Inc. 6.75% 2/15/28 (d) | 3,050,000 | 3,347,253 | |
JBS U.S.A. Lux SA / JBS Food Co.: | |||
5.5% 1/15/30 (d) | 8,200,000 | 9,184,000 | |
6.5% 4/15/29 (d) | 8,350,000 | 9,393,750 | |
Kraft Heinz Foods Co.: | |||
4.375% 6/1/46 | 2,875,000 | 3,132,233 | |
4.875% 10/1/49 | 2,035,000 | 2,374,874 | |
5% 7/15/35 | 625,000 | 756,144 | |
5% 6/4/42 | 825,000 | 970,400 | |
5.2% 7/15/45 | 650,000 | 781,129 | |
5.5% 6/1/50 | 1,975,000 | 2,539,446 | |
6.875% 1/26/39 | 690,000 | 967,463 | |
7.125% 8/1/39 (d) | 525,000 | 769,910 | |
Pilgrim's Pride Corp.: | |||
5.75% 3/15/25 (d) | 2,630,000 | 2,682,074 | |
5.875% 9/30/27 (d) | 5,365,000 | 5,755,840 | |
Post Holdings, Inc.: | |||
4.5% 9/15/31 (d)(g) | 4,375,000 | 4,364,063 | |
4.625% 4/15/30 (d) | 4,004,000 | 4,064,060 | |
5.5% 12/15/29 (d) | 8,389,000 | 9,028,745 | |
5.625% 1/15/28 (d) | 1,480,000 | 1,553,593 | |
5.75% 3/1/27 (d) | 1,070,000 | 1,120,451 | |
Simmons Foods, Inc. 4.625% 3/1/29 (d)(g) | 650,000 | 658,385 | |
TreeHouse Foods, Inc. 4% 9/1/28 | 1,325,000 | 1,361,703 | |
76,624,975 | |||
Household Products - 0.0% | |||
Central Garden & Pet Co. 4.125% 10/15/30 | 47,000 | 48,804 | |
Diamond BC BV 5.625% 8/15/25 (Reg. S) | EUR | 520,000 | 638,386 |
Energizer Holdings, Inc. 4.375% 3/31/29 (d) | 550,000 | 548,625 | |
Spectrum Brands Holdings, Inc.: | |||
3.875% 3/15/31 (d)(g) | 720,000 | 711,713 | |
5% 10/1/29 (d) | 1,055,000 | 1,123,575 | |
5.5% 7/15/30 (d) | 610,000 | 657,342 | |
5.75% 7/15/25 | 500,000 | 515,000 | |
4,243,445 | |||
Personal Products - 0.1% | |||
Prestige Brands, Inc.: | |||
3.75% 4/1/31 (d)(g) | 2,325,000 | 2,267,340 | |
6.375% 3/1/24 (d) | 1,965,000 | 1,996,322 | |
4,263,662 | |||
Tobacco - 0.0% | |||
Vector Group Ltd.: | |||
5.75% 2/1/29 (d) | 3,700,000 | 3,834,366 | |
10.5% 11/1/26 (d) | 325,000 | 351,000 | |
4,185,366 | |||
TOTAL CONSUMER STAPLES | 132,017,124 | ||
ENERGY - 6.2% | |||
Energy Equipment & Services - 0.3% | |||
Archrock Partners LP / Archrock Partners Finance Corp. 6.875% 4/1/27 (d) | 865,000 | 912,765 | |
DCP Midstream Operating LP 6.75% 9/15/37 (d) | 1,350,000 | 1,518,750 | |
Exterran Energy Solutions LP 8.125% 5/1/25 | 1,660,000 | 1,510,600 | |
Nabors Industries Ltd.: | |||
7.25% 1/15/26 (d) | 850,000 | 754,651 | |
7.5% 1/15/28 (d) | 2,575,000 | 2,225,753 | |
Nabors Industries, Inc. 5.75% 2/1/25 | 4,375,000 | 3,472,656 | |
NuStar Logistics LP 5.75% 10/1/25 | 4,205,000 | 4,478,325 | |
Precision Drilling Corp.: | |||
5.25% 11/15/24 | 500,000 | 467,500 | |
7.125% 1/15/26 (d) | 1,000,000 | 970,000 | |
Transocean Guardian Ltd. 5.875% 1/15/24 (d) | 967,875 | 875,927 | |
Transocean Phoenix 2 Ltd. 7.75% 10/15/24 (d) | 201,000 | 198,990 | |
Transocean Pontus Ltd. 6.125% 8/1/25 (d) | 866,375 | 827,388 | |
Transocean Poseidon Ltd. 6.875% 2/1/27 (d) | 665,000 | 621,775 | |
Transocean Proteus Ltd. 6.25% 12/1/24 (d) | 729,000 | 703,485 | |
Transocean Sentry Ltd. 5.375% 5/15/23 (d) | 1,023,104 | 978,343 | |
Transocean, Inc.: | |||
7.5% 1/15/26 (d) | 1,676,000 | 1,068,450 | |
8% 2/1/27 (d) | 675,000 | 421,875 | |
U.S.A. Compression Partners LP: | |||
6.875% 4/1/26 | 780,000 | 805,350 | |
6.875% 9/1/27 | 580,000 | 609,000 | |
23,421,583 | |||
Oil, Gas & Consumable Fuels - 5.9% | |||
Aethon United BR LP / Aethon United Finance Corp. 8.25% 2/15/26 (d) | 2,640,000 | 2,745,600 | |
Antero Midstream Partners LP/Antero Midstream Finance Corp.: | |||
5.375% 9/15/24 | 986,000 | 993,395 | |
5.75% 1/15/28 (d) | 1,710,000 | 1,723,894 | |
7.875% 5/15/26 (d) | 125,000 | 136,016 | |
Antero Resources Corp.: | |||
5% 3/1/25 | 5,065,000 | 5,037,143 | |
5.625% 6/1/23 (Reg. S) | 808,000 | 808,970 | |
7.625% 2/1/29 (d) | 2,275,000 | 2,425,719 | |
8.375% 7/15/26 (d) | 1,775,000 | 1,941,406 | |
Apache Corp.: | |||
4.25% 1/15/30 | 890,000 | 899,238 | |
4.375% 10/15/28 | 600,000 | 609,000 | |
4.625% 11/15/25 | 770,000 | 797,913 | |
4.75% 4/15/43 | 725,000 | 708,695 | |
4.875% 11/15/27 | 885,000 | 927,648 | |
5.1% 9/1/40 | 3,770,000 | 3,846,644 | |
5.25% 2/1/42 | 125,000 | 130,000 | |
5.35% 7/1/49 | 535,000 | 532,325 | |
6% 1/15/37 | 55,000 | 62,150 | |
7.375% 8/15/47 | 275,000 | 287,375 | |
7.75% 12/15/29 | 200,000 | 230,000 | |
Ascent Resources - Utica LLC/ARU Finance Corp.: | |||
7% 11/1/26 (d) | 2,555,000 | 2,569,372 | |
8.25% 12/31/28 (d) | 1,400,000 | 1,456,000 | |
9% 11/1/27 (d) | 1,836,000 | 2,345,490 | |
Blue Racer Midstream LLC/Blue Racer Finance Corp. 7.625% 12/15/25 (d) | 500,000 | 537,605 | |
California Resources Corp. 7.125% 2/1/26 (d) | 1,755,000 | 1,756,097 | |
Cheniere Corpus Christi Holdings LLC: | |||
5.125% 6/30/27 | 1,210,000 | 1,412,558 | |
5.875% 3/31/25 | 300,000 | 345,661 | |
7% 6/30/24 | 295,000 | 342,286 | |
Cheniere Energy Partners LP: | |||
4% 3/1/31 (d)(g) | 5,200,000 | 5,240,716 | |
4.5% 10/1/29 | 1,440,000 | 1,515,600 | |
5.625% 10/1/26 | 3,675,000 | 3,818,693 | |
Cheniere Energy, Inc. 4.625% 10/15/28 (d) | 8,951,000 | 9,306,355 | |
Chesapeake Energy Corp.: | |||
5.5% 2/1/26 (d) | 1,415,000 | 1,475,166 | |
5.875% 2/1/29 (d) | 2,600,000 | 2,775,552 | |
Citgo Holding, Inc. 9.25% 8/1/24 (d) | 6,505,000 | 6,407,425 | |
Citgo Petroleum Corp.: | |||
6.25% 8/15/22 (d) | 700,000 | 700,210 | |
6.375% 6/15/26 (d) | 4,690,000 | 4,760,350 | |
7% 6/15/25 (d) | 8,279,000 | 8,535,980 | |
CNX Resources Corp.: | |||
6% 1/15/29 (d) | 480,000 | 502,200 | |
7.25% 3/14/27 (d) | 5,046,000 | 5,399,220 | |
Comstock Resources, Inc.: | |||
6.75% 3/1/29 (d)(g) | 3,970,000 | 4,118,875 | |
7.5% 5/15/25 (d) | 1,510,000 | 1,574,175 | |
9.75% 8/15/26 | 2,445,000 | 2,668,938 | |
9.75% 8/15/26 | 2,225,000 | 2,419,688 | |
Continental Resources, Inc.: | |||
4.375% 1/15/28 | 1,240,000 | 1,304,753 | |
4.9% 6/1/44 | 1,895,000 | 1,894,432 | |
5.75% 1/15/31 (d) | 4,285,000 | 4,830,095 | |
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.: | |||
5.625% 5/1/27 (d) | 8,449,000 | 8,375,071 | |
5.75% 4/1/25 | 6,823,000 | 6,860,868 | |
6% 2/1/29 (d) | 6,205,000 | 6,139,103 | |
CrownRock LP/CrownRock Finance, Inc. 5.625% 10/15/25 (d) | 350,000 | 353,500 | |
CVR Energy, Inc.: | |||
5.25% 2/15/25 (d) | 2,179,000 | 2,150,673 | |
5.75% 2/15/28 (d) | 4,972,000 | 4,926,432 | |
DCP Midstream Operating LP: | |||
4.75% 9/30/21 (d) | 300,000 | 302,438 | |
5.125% 5/15/29 | 5,200,000 | 5,510,544 | |
5.375% 7/15/25 | 1,575,000 | 1,679,013 | |
5.6% 4/1/44 | 195,000 | 202,313 | |
5.625% 7/15/27 | 3,375,000 | 3,652,526 | |
6.45% 11/3/36 (d) | 865,000 | 967,070 | |
8.125% 8/16/30 | 764,000 | 1,000,840 | |
EG Global Finance PLC: | |||
6.75% 2/7/25 (d) | 5,175,000 | 5,316,536 | |
8.5% 10/30/25 (d) | 4,964,000 | 5,257,124 | |
Endeavor Energy Resources LP/EER Finance, Inc.: | |||
5.5% 1/30/26 (d) | 3,685,000 | 3,758,700 | |
5.75% 1/30/28 (d) | 4,805,000 | 5,078,885 | |
6.625% 7/15/25 (d) | 828,000 | 870,294 | |
EnLink Midstream LLC 5.625% 1/15/28 (d) | 440,000 | 443,850 | |
EnLink Midstream Partners LP: | |||
4.4% 4/1/24 | 380,000 | 382,850 | |
5.05% 4/1/45 | 580,000 | 461,100 | |
5.45% 6/1/47 | 1,210,000 | 1,001,275 | |
5.6% 4/1/44 | 205,000 | 173,738 | |
EQM Midstream Partners LP: | |||
4.125% 12/1/26 | 475,000 | 464,347 | |
4.75% 1/15/31 (d) | 2,895,000 | 2,790,056 | |
5.5% 7/15/28 | 180,000 | 185,400 | |
6% 7/1/25 (d) | 1,590,000 | 1,679,771 | |
6.5% 7/1/27 (d) | 3,312,000 | 3,552,816 | |
EQT Corp.: | |||
3.9% 10/1/27 | 4,233,000 | 4,390,510 | |
5% 1/15/29 | 760,000 | 832,200 | |
7.625% 2/1/25 (f) | 1,300,000 | 1,510,048 | |
8.5% 2/1/30 | 1,597,000 | 2,088,780 | |
Global Partners LP/GLP Finance Corp.: | |||
6.875% 1/15/29 | 3,095,000 | 3,358,075 | |
7% 8/1/27 | 5,812,000 | 6,160,720 | |
Hess Corp.: | |||
7.3% 8/15/31 | 165,000 | 217,497 | |
7.875% 10/1/29 | 80,000 | 106,729 | |
Hess Midstream Partners LP: | |||
5.125% 6/15/28 (d) | 3,620,000 | 3,728,600 | |
5.625% 2/15/26 (d) | 4,095,000 | 4,241,929 | |
Hilcorp Energy I LP/Hilcorp Finance Co.: | |||
5.75% 10/1/25 (d) | 2,605,000 | 2,650,588 | |
5.75% 2/1/29 (d) | 1,120,000 | 1,141,000 | |
6% 2/1/31 (d) | 1,190,000 | 1,209,373 | |
6.25% 11/1/28 (d) | 3,738,000 | 3,901,538 | |
Holly Energy Partners LP/Holly Energy Finance Corp. 5% 2/1/28 (d) | 2,875,000 | 2,896,448 | |
Magnolia Oil & Gas Operating LLC 6% 8/1/26 (d) | 2,200,000 | 2,268,024 | |
Matador Resources Co. 5.875% 9/15/26 | 1,825,000 | 1,779,375 | |
MEG Energy Corp.: | |||
5.875% 2/1/29 (d) | 2,405,000 | 2,441,797 | |
6.5% 1/15/25 (d) | 1,750,000 | 1,804,688 | |
7.125% 2/1/27 (d) | 3,382,000 | 3,550,085 | |
Murphy Oil U.S.A., Inc. 3.75% 2/15/31 (d) | 1,100,000 | 1,098,625 | |
New Fortress Energy LLC 6.75% 9/15/25 (d) | 6,634,000 | 6,884,102 | |
Newfield Exploration Co. 5.625% 7/1/24 | 930,000 | 1,019,447 | |
NGL Energy Operating LLC/NGL Energy Finance Corp. 7.5% 2/1/26 (d) | 11,545,000 | 11,903,068 | |
NGL Energy Partners LP/NGL Energy Finance Corp. 7.5% 11/1/23 | 2,985,000 | 2,864,705 | |
NGPL PipeCo LLC: | |||
4.875% 8/15/27 (d) | 425,000 | 484,233 | |
7.768% 12/15/37 (d) | 310,000 | 416,288 | |
Occidental Petroleum Corp.: | |||
2.7% 2/15/23 | 690,000 | 674,478 | |
2.9% 8/15/24 | 4,745,000 | 4,617,739 | |
3% 2/15/27 | 1,315,000 | 1,234,542 | |
3.4% 4/15/26 | 680,000 | 660,239 | |
3.45% 7/15/24 | 525,000 | 519,750 | |
3.5% 6/15/25 | 1,000,000 | 984,490 | |
3.5% 8/15/29 | 2,760,000 | 2,639,305 | |
4.1% 2/15/47 | 200,000 | 170,000 | |
4.2% 3/15/48 | 850,000 | 724,625 | |
4.3% 8/15/39 | 330,000 | 292,875 | |
4.4% 4/15/46 | 1,860,000 | 1,664,700 | |
4.4% 8/15/49 | 1,170,000 | 1,030,331 | |
4.625% 6/15/45 | 225,000 | 204,750 | |
5.5% 12/1/25 | 710,000 | 751,989 | |
5.55% 3/15/26 | 1,755,000 | 1,873,463 | |
5.875% 9/1/25 | 960,000 | 1,041,600 | |
6.125% 1/1/31 | 3,110,000 | 3,474,492 | |
6.2% 3/15/40 | 320,000 | 345,600 | |
6.375% 9/1/28 | 680,000 | 754,800 | |
6.45% 9/15/36 | 2,530,000 | 2,884,200 | |
6.625% 9/1/30 | 3,865,000 | 4,396,438 | |
6.95% 7/1/24 | 756,000 | 833,490 | |
7.5% 5/1/31 | 3,730,000 | 4,382,750 | |
7.875% 9/15/31 | 230,000 | 272,550 | |
7.95% 6/15/39 | 1,225,000 | 1,476,125 | |
8% 7/15/25 | 2,660,000 | 3,087,263 | |
8.5% 7/15/27 | 1,860,000 | 2,226,801 | |
8.875% 7/15/30 | 7,400,000 | 9,458,162 | |
Ovintiv, Inc.: | |||
6.5% 8/15/34 | 1,160,000 | 1,447,086 | |
6.5% 2/1/38 | 550,000 | 673,315 | |
6.625% 8/15/37 | 250,000 | 308,982 | |
PBF Holding Co. LLC/PBF Finance Corp. 9.25% 5/15/25 (d) | 6,880,000 | 6,705,936 | |
Petrobras Global Finance BV 7.375% 1/17/27 | 1,180,000 | 1,436,060 | |
Range Resources Corp.: | |||
4.875% 5/15/25 | 2,700,000 | 2,671,650 | |
5% 3/15/23 | 3,129,000 | 3,144,645 | |
8.25% 1/15/29 (d) | 520,000 | 558,844 | |
9.25% 2/1/26 | 2,975,000 | 3,237,425 | |
Rattler Midstream LP 5.625% 7/15/25 (d) | 2,685,000 | 2,799,113 | |
Rockies Express Pipeline LLC: | |||
3.6% 5/15/25 (d) | 1,925,000 | 1,963,500 | |
4.8% 5/15/30 (d) | 100,000 | 103,512 | |
4.95% 7/15/29 (d) | 1,195,000 | 1,277,156 | |
6.875% 4/15/40 (d) | 835,000 | 924,763 | |
7.5% 7/15/38 (d) | 2,800,000 | 3,164,000 | |
Sanchez Energy Corp. 7.25% 2/15/23 (c)(d)(h) | 3,242,000 | 0 | |
Seven Generations Energy Ltd. 5.375% 9/30/25 (d) | 4,435,000 | 4,607,078 | |
Sunoco LP/Sunoco Finance Corp.: | |||
4.5% 5/15/29 (d) | 4,650,000 | 4,650,000 | |
5.5% 2/15/26 | 2,383,000 | 2,451,773 | |
5.875% 3/15/28 | 265,000 | 280,937 | |
6% 4/15/27 | 2,535,000 | 2,638,808 | |
Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp.: | |||
5.5% 9/15/24 (d) | 2,733,000 | 2,746,665 | |
5.5% 1/15/28 (d) | 2,290,000 | 2,249,925 | |
6% 3/1/27 (d) | 5,795,000 | 5,846,054 | |
6% 12/31/30 (d) | 4,495,000 | 4,470,727 | |
7.5% 10/1/25 (d) | 1,625,000 | 1,732,738 | |
Targa Resources Partners LP/Targa Resources Partners Finance Corp.: | |||
4% 1/15/32 (d) | 6,290,000 | 6,165,458 | |
4.25% 11/15/23 | 750,000 | 750,218 | |
4.875% 2/1/31 (d) | 8,604,000 | 8,823,402 | |
5% 1/15/28 | 250,000 | 260,278 | |
5.375% 2/1/27 | 6,800,000 | 7,055,000 | |
5.5% 3/1/30 | 3,507,000 | 3,750,281 | |
5.875% 4/15/26 | 715,000 | 744,530 | |
6.5% 7/15/27 | 1,300,000 | 1,397,708 | |
6.875% 1/15/29 | 5,505,000 | 6,103,669 | |
Viper Energy Partners LP 5.375% 11/1/27 (d) | 2,364,000 | 2,488,110 | |
Western Gas Partners LP: | |||
3.95% 6/1/25 | 400,000 | 404,000 | |
4.35% 2/1/25 | 2,535,000 | 2,594,877 | |
4.65% 7/1/26 | 380,000 | 393,384 | |
5.3% 2/1/30 | 5,650,000 | 6,123,301 | |
5.45% 4/1/44 | 75,000 | 79,500 | |
5.5% 8/15/48 | 1,025,000 | 1,055,750 | |
6.5% 2/1/50 | 1,350,000 | 1,553,459 | |
WPX Energy, Inc.: | |||
5.25% 9/15/24 | 2,700,000 | 3,000,375 | |
5.25% 10/15/27 | 1,250,000 | 1,334,775 | |
5.75% 6/1/26 | 2,159,000 | 2,269,649 | |
424,458,191 | |||
TOTAL ENERGY | 447,879,774 | ||
FINANCIALS - 2.5% | |||
Banks - 0.0% | |||
CIT Group, Inc. 6.125% 3/9/28 | 625,000 | 773,438 | |
Capital Markets - 0.2% | |||
AssuredPartners, Inc. 5.625% 1/15/29 (d) | 1,830,000 | 1,839,150 | |
Drawbridge Special Opportunities Fund LP/Drawbridge Special Opportunities Finance Corp. 3.875% 2/15/26 (d) | 1,130,000 | 1,156,841 | |
Lions Gate Capital Holdings LLC 6.375% 2/1/24 (d) | 1,530,000 | 1,561,686 | |
LPL Holdings, Inc. 5.75% 9/15/25 (d) | 4,351,000 | 4,482,400 | |
MSCI, Inc.: | |||
3.875% 2/15/31 (d) | 870,000 | 913,500 | |
4% 11/15/29 (d) | 875,000 | 927,596 | |
10,881,173 | |||
Consumer Finance - 0.7% | |||
Ally Financial, Inc.: | |||
8% 11/1/31 | 4,126,000 | 5,908,240 | |
8% 11/1/31 | 899,000 | 1,275,209 | |
Ford Motor Credit Co. LLC: | |||
4% 11/13/30 | 4,390,000 | 4,488,775 | |
5.113% 5/3/29 | 2,945,000 | 3,224,775 | |
5.125% 6/16/25 | 3,370,000 | 3,639,600 | |
goeasy Ltd. 5.375% 12/1/24 (d) | 200,000 | 207,000 | |
Navient Corp.: | |||
4.875% 3/15/28 | 1,680,000 | 1,618,798 | |
5% 3/15/27 | 3,230,000 | 3,165,400 | |
6.125% 3/25/24 | 2,435,000 | 2,567,391 | |
6.75% 6/25/25 | 1,255,000 | 1,350,317 | |
6.75% 6/15/26 | 700,000 | 749,000 | |
7.25% 1/25/22 | 220,000 | 228,250 | |
7.25% 9/25/23 | 1,215,000 | 1,318,275 | |
SLM Corp. 4.2% 10/29/25 | 700,000 | 733,250 | |
Springleaf Finance Corp.: | |||
4% 9/15/30 | 1,175,000 | 1,140,584 | |
5.375% 11/15/29 | 2,865,000 | 3,022,575 | |
6.125% 3/15/24 | 1,395,000 | 1,499,625 | |
6.625% 1/15/28 | 3,701,000 | 4,208,777 | |
6.875% 3/15/25 | 3,671,000 | 4,140,447 | |
7.125% 3/15/26 | 5,714,000 | 6,599,670 | |
8.875% 6/1/25 | 545,000 | 598,737 | |
51,684,695 | |||
Diversified Financial Services - 0.8% | |||
Antares Holdings LP 3.95% 7/15/26 (d) | 675,000 | 687,698 | |
Cabot Financial SA (Luxembourg): | |||
7.5% 10/1/23 (d) | GBP | 253,599 | 359,928 |
7.5% 10/1/23 (Reg. S) | GBP | 110,260 | 156,490 |
Enviva Partners LP / Enviva Partners Finance Corp. 6.5% 1/15/26 (d) | 1,350,000 | 1,412,438 | |
Fairstone Financial, Inc. 7.875% 7/15/24 (d) | 1,550,000 | 1,626,477 | |
Five Point Operation Co. LP 7.875% 11/15/25 (d) | 4,269,000 | 4,504,691 | |
Icahn Enterprises LP/Icahn Enterprises Finance Corp.: | |||
4.375% 2/1/29 (d) | 2,225,000 | 2,224,333 | |
4.75% 9/15/24 | 1,530,000 | 1,608,413 | |
5.25% 5/15/27 | 11,706,000 | 12,291,300 | |
6.25% 5/15/26 | 7,760,000 | 8,155,450 | |
One Fifty One PLC 9% 1/15/26 pay-in-kind (d)(f) | 616,000 | 622,160 | |
P&L Development LLC/PLD Finance Corp. 7.75% 11/15/25 (d) | 1,950,000 | 2,071,875 | |
Shift4 Payments LLC / Shift4 Payments Finance Sub, Inc. 4.625% 11/1/26 (d) | 930,000 | 972,594 | |
Venator Finance SARL/Venator Capital Management Ltd.: | |||
5.75% 7/15/25 (d) | 2,985,000 | 2,932,763 | |
9.5% 7/1/25 (d) | 825,000 | 932,250 | |
Verscend Escrow Corp. 9.75% 8/15/26 (d) | 8,360,000 | 8,977,637 | |
VMED O2 UK Financing I PLC 4.25% 1/31/31 (d) | 4,277,000 | 4,180,768 | |
53,717,265 | |||
Insurance - 0.5% | |||
Acrisure LLC / Acrisure Finance, Inc.: | |||
4.25% 2/15/29 (d) | 1,045,000 | 1,026,932 | |
7% 11/15/25 (d) | 1,160,000 | 1,189,000 | |
10.125% 8/1/26 (d) | 975,000 | 1,123,073 | |
Alliant Holdings Intermediate LLC: | |||
4.25% 10/15/27 (d) | 354,000 | 354,000 | |
6.75% 10/15/27 (d) | 10,949,000 | 11,366,485 | |
AmWINS Group, Inc. 7.75% 7/1/26 (d) | 7,055,000 | 7,522,394 | |
Genworth Mortgage Holdings, Inc. 6.5% 8/15/25 (d) | 1,565,000 | 1,691,186 | |
GTCR AP Finance, Inc. 8% 5/15/27 (d) | 1,035,000 | 1,104,863 | |
HUB International Ltd. 7% 5/1/26 (d) | 5,815,000 | 6,059,463 | |
USI, Inc. 6.875% 5/1/25 (d) | 4,985,000 | 5,078,469 | |
36,515,865 | |||
Mortgage Real Estate Investment Trusts - 0.0% | |||
Starwood Property Trust, Inc. 5.5% 11/1/23 (d) | 1,425,000 | 1,485,563 | |
Thrifts & Mortgage Finance - 0.3% | |||
Freedom Mortgage Corp. 7.625% 5/1/26 (d) | 1,575,000 | 1,685,250 | |
Home Point Capital, Inc. 5% 2/1/26 (d) | 2,555,000 | 2,542,225 | |
MGIC Investment Corp. 5.25% 8/15/28 | 355,000 | 373,158 | |
Nationstar Mortgage Holdings, Inc.: | |||
5.125% 12/15/30 (d) | 2,275,000 | 2,320,819 | |
5.5% 8/15/28 (d) | 3,030,000 | 3,113,325 | |
6% 1/15/27 (d) | 2,662,000 | 2,795,100 | |
Pennymac Financial Services, Inc.: | |||
4.25% 2/15/29 (d) | 2,725,000 | 2,691,537 | |
5.375% 10/15/25 (d) | 2,210,000 | 2,309,450 | |
Quicken Loans LLC/Quicken Loans Co-Issuer, Inc. 3.875% 3/1/31 (d) | 1,750,000 | 1,736,875 | |
Quicken Loans, Inc. 5.25% 1/15/28 (d) | 3,135,000 | 3,307,582 | |
22,875,321 | |||
TOTAL FINANCIALS | 177,933,320 | ||
HEALTH CARE - 3.0% | |||
Biotechnology - 0.0% | |||
Emergent BioSolutions, Inc. 3.875% 8/15/28 (d) | 47,000 | 47,661 | |
Health Care Equipment & Supplies - 0.1% | |||
AdaptHealth LLC: | |||
4.625% 8/1/29 (d) | 2,350,000 | 2,353,737 | |
6.125% 8/1/28 (d) | 785,000 | 832,100 | |
Avantor Funding, Inc. 4.625% 7/15/28 (d) | 4,500,000 | 4,691,340 | |
Hologic, Inc.: | |||
3.25% 2/15/29 (d) | 1,985,000 | 1,981,159 | |
4.625% 2/1/28 (d) | 185,000 | 195,675 | |
Teleflex, Inc. 4.25% 6/1/28 (d) | 565,000 | 584,069 | |
10,638,080 | |||
Health Care Providers & Services - 2.0% | |||
Acadia Healthcare Co., Inc.: | |||
5% 4/15/29 (d) | 145,000 | 151,344 | |
5.625% 2/15/23 | 250,000 | 250,000 | |
6.5% 3/1/24 | 600,000 | 609,750 | |
AMN Healthcare: | |||
4% 4/15/29 (d) | 2,522,000 | 2,565,378 | |
4.625% 10/1/27 (d) | 2,065,000 | 2,142,438 | |
Centene Corp.: | |||
3.375% 2/15/30 | 2,145,000 | 2,204,417 | |
4.25% 12/15/27 | 3,045,000 | 3,170,606 | |
4.625% 12/15/29 | 5,410,000 | 5,837,390 | |
Community Health Systems, Inc.: | |||
4.75% 2/15/31 (d) | 2,465,000 | 2,417,253 | |
5.625% 3/15/27 (d) | 2,670,000 | 2,812,005 | |
6% 1/15/29 (d) | 2,260,000 | 2,395,600 | |
6.875% 4/15/29 (d) | 2,215,000 | 2,273,587 | |
8% 3/15/26 (d) | 3,080,000 | 3,288,516 | |
8% 12/15/27 (d) | 2,945,000 | 3,228,456 | |
8.125% 6/30/24 (d) | 1,335,000 | 1,391,738 | |
DaVita HealthCare Partners, Inc.: | |||
3.75% 2/15/31 (d) | 3,250,000 | 3,097,071 | |
4.625% 6/1/30 (d) | 12,045,000 | 12,255,788 | |
Encompass Health Corp. 4.625% 4/1/31 | 525,000 | 557,681 | |
HCA Holdings, Inc.: | |||
3.5% 9/1/30 | 3,075,000 | 3,199,454 | |
5.375% 2/1/25 | 1,977,000 | 2,219,183 | |
5.375% 9/1/26 | 525,000 | 599,204 | |
5.625% 9/1/28 | 275,000 | 320,040 | |
5.875% 2/15/26 | 875,000 | 1,011,456 | |
5.875% 2/1/29 | 2,030,000 | 2,393,066 | |
7.05% 12/1/27 | 515,000 | 633,450 | |
Jaguar Holding Co. II/Pharmaceutical Product Development LLC: | |||
4.625% 6/15/25 (d) | 210,000 | 218,765 | |
5% 6/15/28 (d) | 205,000 | 217,300 | |
LifePoint Health, Inc.: | |||
4.375% 2/15/27 (d) | 624,000 | 620,306 | |
6.75% 4/15/25 (d) | 3,260,000 | 3,455,600 | |
MEDNAX, Inc. 6.25% 1/15/27 (d) | 2,525,000 | 2,666,930 | |
Molina Healthcare, Inc.: | |||
3.875% 11/15/30 (d) | 955,000 | 1,000,363 | |
4.375% 6/15/28 (d) | 840,000 | 873,600 | |
Prime Healthcare Services 7.25% 11/1/25 (d) | 1,150,000 | 1,230,500 | |
Radiology Partners, Inc. 9.25% 2/1/28 (d) | 2,420,000 | 2,619,650 | |
Regionalcare Hospital Partners 9.75% 12/1/26 (d) | 7,813,000 | 8,420,226 | |
RP Escrow Issuer LLC 5.25% 12/15/25 (d) | 4,255,000 | 4,403,925 | |
Sabra Health Care LP 5.125% 8/15/26 | 725,000 | 821,079 | |
Select Medical Corp. 6.25% 8/15/26 (d) | 770,000 | 823,900 | |
Surgery Center Holdings, Inc.: | |||
6.75% 7/1/25 (d) | 1,375,000 | 1,402,500 | |
10% 4/15/27 (d) | 1,600,000 | 1,780,032 | |
Tenet Healthcare Corp.: | |||
4.625% 7/15/24 | 3,372,000 | 3,422,580 | |
4.625% 9/1/24 (d) | 500,000 | 512,500 | |
4.625% 6/15/28 (d) | 3,089,000 | 3,213,548 | |
4.875% 1/1/26 (d) | 2,020,000 | 2,088,054 | |
5.125% 5/1/25 | 1,515,000 | 1,522,575 | |
5.125% 11/1/27 (d) | 3,730,000 | 3,909,823 | |
6.125% 10/1/28 (d) | 16,605,000 | 17,480,084 | |
6.25% 2/1/27 (d) | 6,440,000 | 6,797,420 | |
6.75% 6/15/23 | 3,260,000 | 3,519,431 | |
6.875% 11/15/31 | 1,420,000 | 1,551,350 | |
7% 8/1/25 | 2,100,000 | 2,176,230 | |
7.5% 4/1/25 (d) | 1,825,000 | 1,981,403 | |
U.S. Renal Care, Inc. 10.625% 7/15/27 (d) | 1,000,000 | 1,095,000 | |
Vizient, Inc. 6.25% 5/15/27 (d) | 125,000 | 131,875 | |
140,981,420 | |||
Health Care Technology - 0.0% | |||
IQVIA, Inc. 5% 5/15/27 (d) | 1,425,000 | 1,490,906 | |
Life Sciences Tools & Services - 0.0% | |||
Charles River Laboratories International, Inc.: | |||
4.25% 5/1/28 (d) | 145,000 | 151,344 | |
5.5% 4/1/26 (d) | 735,000 | 766,238 | |
917,582 | |||
Pharmaceuticals - 0.9% | |||
Bausch Health Companies, Inc.: | |||
5% 1/30/28 (d) | 4,700,000 | 4,794,000 | |
5% 2/15/29 (d) | 1,490,000 | 1,506,763 | |
5.25% 1/30/30 (d) | 4,721,000 | 4,799,841 | |
5.25% 2/15/31 (d) | 3,080,000 | 3,118,500 | |
6.125% 4/15/25 (d) | 3,625,000 | 3,711,855 | |
6.25% 2/15/29 (d) | 8,968,000 | 9,557,198 | |
7% 3/15/24 (d) | 3,280,000 | 3,351,176 | |
7% 1/15/28 (d) | 4,225,000 | 4,569,845 | |
7.25% 5/30/29 (d) | 2,560,000 | 2,836,173 | |
9% 12/15/25 (d) | 2,500,000 | 2,722,400 | |
Catalent Pharma Solutions 3.125% 2/15/29 (d) | 675,000 | 666,887 | |
Cheplapharm Arzneimittel GmbH 5.5% 1/15/28 (d) | 375,000 | 382,500 | |
Teva Pharmaceutical Finance LLC 6.15% 2/1/36 | 995,000 | 1,087,038 | |
Teva Pharmaceutical Finance Netherlands III BV: | |||
2.8% 7/21/23 | 1,070,000 | 1,048,600 | |
6% 4/15/24 | 390,000 | 406,575 | |
7.125% 1/31/25 | 2,650,000 | 2,868,334 | |
Valeant Pharmaceuticals International, Inc.: | |||
8.5% 1/31/27 (d) | 9,609,000 | 10,629,956 | |
9.25% 4/1/26 (d) | 2,961,000 | 3,282,120 | |
61,339,761 | |||
TOTAL HEALTH CARE | 215,415,410 | ||
INDUSTRIALS - 4.3% | |||
Aerospace & Defense - 1.4% | |||
BBA U.S. Holdings, Inc.: | |||
4% 3/1/28 (d) | 3,000,000 | 3,037,500 | |
5.375% 5/1/26 (d) | 2,530,000 | 2,586,925 | |
Bombardier, Inc.: | |||
6% 10/15/22 (d) | 1,255,000 | 1,230,377 | |
7.5% 12/1/24 (d) | 3,235,000 | 3,034,834 | |
7.5% 3/15/25 (d) | 11,605,000 | 10,625,886 | |
7.875% 4/15/27 (d) | 10,855,000 | 9,744,534 | |
8.75% 12/1/21 (d) | 6,665,000 | 6,909,406 | |
BWX Technologies, Inc.: | |||
4.125% 6/30/28 (d) | 3,000,000 | 3,116,250 | |
5.375% 7/15/26 (d) | 1,925,000 | 1,992,375 | |
DAE Funding LLC: | |||
4.5% 8/1/22 (d) | 655,000 | 658,889 | |
5% 8/1/24 (d) | 1,340,000 | 1,378,525 | |
Howmet Aerospace, Inc.: | |||
5.95% 2/1/37 | 105,000 | 126,257 | |
6.75% 1/15/28 | 125,000 | 148,438 | |
6.875% 5/1/25 | 225,000 | 260,426 | |
Moog, Inc. 4.25% 12/15/27 (d) | 4,217,000 | 4,332,968 | |
Spirit Aerosystems, Inc. 7.5% 4/15/25 (d) | 2,325,000 | 2,459,385 | |
The Boeing Co.: | |||
5.15% 5/1/30 | 5,355,000 | 6,239,979 | |
5.805% 5/1/50 | 5,035,000 | 6,494,901 | |
5.93% 5/1/60 | 1,200,000 | 1,574,470 | |
TransDigm UK Holdings PLC 6.875% 5/15/26 | 495,000 | 520,369 | |
TransDigm, Inc.: | |||
4.625% 1/15/29 (d) | 3,280,000 | 3,226,700 | |
5.5% 11/15/27 | 13,884,000 | 14,196,390 | |
6.25% 3/15/26 (d) | 11,930,000 | 12,572,908 | |
7.5% 3/15/27 | 3,295,000 | 3,512,075 | |
8% 12/15/25 (d) | 3,665,000 | 3,990,269 | |
103,971,036 | |||
Air Freight & Logistics - 0.1% | |||
XPO Logistics, Inc.: | |||
6.125% 9/1/23 (d) | 500,000 | 508,125 | |
6.25% 5/1/25 (d) | 4,940,000 | 5,305,807 | |
6.75% 8/15/24 (d) | 2,898,000 | 3,042,900 | |
8,856,832 | |||
Airlines - 0.2% | |||
American Airlines, Inc. 11.75% 7/15/25 (d) | 2,180,000 | 2,596,925 | |
Delta Air Lines, Inc.: | |||
7% 5/1/25 (d) | 1,055,000 | 1,229,095 | |
7.375% 1/15/26 | 1,450,000 | 1,698,262 | |
Delta Air Lines, Inc. / SkyMiles IP Ltd.: | |||
4.5% 10/20/25 (d) | 240,000 | 256,333 | |
4.75% 10/20/28 (d) | 1,030,000 | 1,140,440 | |
Hawaiian Brand Intellectual Property Ltd. / HawaiianMiles Loyalty Ltd. 5.75% 1/20/26 (d) | 1,815,000 | 1,903,826 | |
Mileage Plus Holdings LLC 6.5% 6/20/27 (d) | 1,430,000 | 1,562,275 | |
United Continental Holdings, Inc.: | |||
4.25% 10/1/22 | 660,000 | 668,250 | |
4.875% 1/15/25 | 740,000 | 758,176 | |
5% 2/1/24 | 1,010,000 | 1,036,513 | |
12,850,095 | |||
Building Products - 0.5% | |||
Advanced Drain Systems, Inc. 5% 9/30/27 (d) | 4,950,000 | 5,197,500 | |
American Woodmark Corp. 4.875% 3/15/26 (d) | 1,390,000 | 1,415,715 | |
BCPE Ulysses Intermediate, Inc. 8.5% 4/1/27 pay-in-kind (d)(f) | 500,000 | 508,750 | |
Building Materials Corp. of America: | |||
3.375% 1/15/31 (d) | 950,000 | 909,426 | |
4.375% 7/15/30 (d) | 3,745,000 | 3,864,578 | |
4.75% 1/15/28 (d) | 2,856,000 | 2,963,100 | |
5% 2/15/27 (d) | 180,000 | 185,850 | |
Cornerstone Building Brands, Inc.: | |||
6.125% 1/15/29 (d) | 1,500,000 | 1,537,500 | |
8% 4/15/26 (d) | 3,812,000 | 3,957,352 | |
CP Atlas Buyer, Inc. 7% 12/1/28 (d) | 245,000 | 254,494 | |
Forterra Finance LLC/FRTA Finance Corp. 6.5% 7/15/25 (d) | 1,255,000 | 1,349,125 | |
Griffon Corp. 5.75% 3/1/28 | 2,400,000 | 2,520,000 | |
Jeld-Wen, Inc.: | |||
4.625% 12/15/25 (d) | 450,000 | 454,500 | |
4.875% 12/15/27 (d) | 1,276,000 | 1,324,616 | |
Masonite International Corp.: | |||
5.375% 2/1/28 (d) | 650,000 | 685,750 | |
5.75% 9/15/26 (d) | 1,395,000 | 1,450,800 | |
New Enterprise Stone & Lime Co., Inc. 6.25% 3/15/26 (d) | 1,055,000 | 1,086,650 | |
PGT Innovations, Inc. 6.75% 8/1/26 (d) | 920,000 | 975,200 | |
Shea Homes Ltd. Partnership/Corp.: | |||
4.75% 2/15/28 (d) | 1,575,000 | 1,626,188 | |
4.75% 4/1/29 (d) | 220,000 | 226,050 | |
32,493,144 | |||
Commercial Services & Supplies - 0.9% | |||
ADT Corp. 4.875% 7/15/32 (d) | 47,000 | 49,761 | |
Allied Universal Holdco LLC / Allied Universal Finance Corp.: | |||
6.625% 7/15/26 (d) | 4,259,000 | 4,510,409 | |
9.75% 7/15/27 (d) | 3,125,000 | 3,448,563 | |
APX Group, Inc. 6.75% 2/15/27 (d) | 1,460,000 | 1,554,900 | |
Brand Energy & Infrastructure Services, Inc. 8.5% 7/15/25 (d) | 5,369,000 | 5,369,000 | |
Core & Main Holdings LP 8.625% 9/15/24 pay-in-kind (d) | 2,950,000 | 2,995,342 | |
Double Eagle III Midco 1 LLC 7.75% 12/15/25 (d) | 6,450,000 | 6,869,250 | |
GFL Environmental, Inc. 8.5% 5/1/27 (d) | 865,000 | 951,500 | |
IPD BV 5.5% 12/1/25 (d) | EUR | 245,000 | 304,910 |
LBC Tank Terminals Holding Netherlands BV 6.875% 5/15/23 (d) | 3,390,000 | 3,381,525 | |
Legends Hospitality Holding Co. LLC/Legends Hospitality Co-Issuer, Inc. 5% 2/1/26 (d) | 3,635,000 | 3,698,613 | |
Nielsen Co. SARL (Luxembourg) 5% 2/1/25 (d) | 1,080,000 | 1,106,865 | |
Nielsen Finance LLC/Nielsen Finance Co.: | |||
5% 4/15/22 (d) | 2,388,000 | 2,394,209 | |
5.625% 10/1/28 (d) | 4,824,000 | 5,082,566 | |
5.875% 10/1/30 (d) | 3,464,000 | 3,745,450 | |
PowerTeam Services LLC 9.033% 12/4/25 (d) | 2,385,000 | 2,641,388 | |
Prime Securities Services Borrower LLC/Prime Finance, Inc.: | |||
3.375% 8/31/27 (d) | 47,000 | 45,819 | |
5.25% 4/15/24 (d) | 910,000 | 970,288 | |
5.75% 4/15/26 (d) | 462,000 | 497,805 | |
6.25% 1/15/28 (d) | 1,290,000 | 1,336,350 | |
Stericycle, Inc. 3.875% 1/15/29 (d) | 1,815,000 | 1,827,977 | |
The Brink's Co.: | |||
4.625% 10/15/27 (d) | 850,000 | 875,959 | |
5.5% 7/15/25 (d) | 1,130,000 | 1,189,325 | |
West Corp. 8.5% 10/15/25 (d) | 6,135,000 | 6,088,988 | |
60,936,762 | |||
Construction & Engineering - 0.2% | |||
AECOM: | |||
5.125% 3/15/27 | 4,351,000 | 4,753,468 | |
5.875% 10/15/24 | 900,000 | 999,000 | |
Amsted Industries, Inc.: | |||
4.625% 5/15/30 (d) | 1,490,000 | 1,558,466 | |
5.625% 7/1/27 (d) | 1,605,000 | 1,701,300 | |
Cloud Crane LLC 10.125% 8/1/24 (d) | 2,265,000 | 2,378,250 | |
Pike Corp. 5.5% 9/1/28 (d) | 4,539,000 | 4,720,560 | |
16,111,044 | |||
Electrical Equipment - 0.1% | |||
Wesco Distribution, Inc.: | |||
7.125% 6/15/25 (d) | 2,575,000 | 2,786,472 | |
7.25% 6/15/28 (d) | 1,015,000 | 1,127,919 | |
3,914,391 | |||
Industrial Conglomerates - 0.0% | |||
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp. 4.25% 2/1/27 (d) | 1,015,000 | 979,475 | |
Machinery - 0.3% | |||
ATS Automation Tooling System, Inc. 4.125% 12/15/28 (d) | 450,000 | 455,085 | |
Colfax Corp.: | |||
6% 2/15/24 (d) | 310,000 | 319,688 | |
6.375% 2/15/26 (d) | 545,000 | 581,106 | |
Hillenbrand, Inc.: | |||
3.75% 3/1/31 | 380,000 | 378,575 | |
5% 9/15/26 (f) | 25,000 | 27,750 | |
5.75% 6/15/25 | 155,000 | 165,850 | |
Meritor, Inc. 6.25% 6/1/25 (d) | 735,000 | 782,775 | |
Navistar International Corp.: | |||
6.625% 11/1/25 (d) | 2,175,000 | 2,260,217 | |
9.5% 5/1/25 (d) | 4,215,000 | 4,715,531 | |
Titan International, Inc. 6.5% 11/30/23 | 675,000 | 659,954 | |
TriMas Corp. 4.875% 10/15/25 (d) | 812,000 | 828,240 | |
Vertical Holdco GmbH 7.625% 7/15/28 (d) | 2,135,000 | 2,307,380 | |
Vertical U.S. Newco, Inc. 5.25% 7/15/27 (d) | 9,600,000 | 10,008,000 | |
Welbilt, Inc. 9.5% 2/15/24 | 400,000 | 409,500 | |
23,899,651 | |||
Professional Services - 0.2% | |||
ASGN, Inc. 4.625% 5/15/28 (d) | 660,000 | 688,050 | |
Booz Allen Hamilton, Inc. 3.875% 9/1/28 (d) | 2,275,000 | 2,330,180 | |
Dun & Bradstreet Corp.: | |||
6.875% 8/15/26 (d) | 4,339,000 | 4,642,730 | |
10.25% 2/15/27 (d) | 2,675,000 | 2,992,656 | |
TriNet Group, Inc. 3.5% 3/1/29 (d) | 1,780,000 | 1,764,425 | |
12,418,041 | |||
Road & Rail - 0.1% | |||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc.: | |||
5.75% 7/15/27 (d) | 430,000 | 444,513 | |
5.75% 7/15/27 (d) | 345,000 | 356,213 | |
Uber Technologies, Inc.: | |||
7.5% 5/15/25 (d) | 540,000 | 580,505 | |
7.5% 9/15/27 (d) | 3,635,000 | 3,975,781 | |
Watco Companies LLC / Watco Finance Corp. 6.5% 6/15/27 (d) | 1,595,000 | 1,713,907 | |
7,070,919 | |||
Trading Companies & Distributors - 0.3% | |||
Foundation Building Materials, Inc. 6% 3/1/29 (d) | 575,000 | 573,563 | |
H&E Equipment Services, Inc. 3.875% 12/15/28 (d) | 6,485,000 | 6,241,813 | |
United Rentals North America, Inc.: | |||
3.875% 2/15/31 | 6,619,000 | 6,768,755 | |
4% 7/15/30 | 4,975,000 | 5,160,070 | |
4.875% 1/15/28 | 2,775,000 | 2,934,563 | |
5.25% 1/15/30 | 2,400,000 | 2,640,000 | |
Williams Scotsman International, Inc. 4.625% 8/15/28 (d) | 405,000 | 416,138 | |
24,734,902 | |||
TOTAL INDUSTRIALS | 308,236,292 | ||
INFORMATION TECHNOLOGY - 2.1% | |||
Communications Equipment - 0.3% | |||
Commscope Technologies LLC 6% 6/15/25 (d) | 1,040,000 | 1,057,524 | |
CommScope, Inc.: | |||
5.5% 3/1/24 (d) | 1,000,000 | 1,026,250 | |
6% 3/1/26 (d) | 2,823,000 | 2,967,679 | |
7.125% 7/1/28 (d) | 1,690,000 | 1,772,388 | |
8.25% 3/1/27 (d) | 530,000 | 558,482 | |
Hughes Satellite Systems Corp.: | |||
6.625% 8/1/26 | 3,210,000 | 3,583,644 | |
7.625% 6/15/21 | 75,000 | 76,219 | |
SSL Robotics LLC 9.75% 12/31/23 (d) | 2,687,000 | 3,009,440 | |
ViaSat, Inc.: | |||
5.625% 9/15/25 (d) | 2,625,000 | 2,677,500 | |
5.625% 4/15/27 (d) | 1,155,000 | 1,209,863 | |
6.5% 7/15/28 (d) | 355,000 | 379,105 | |
18,318,094 | |||
Electronic Equipment & Components - 0.1% | |||
Brightstar Escrow Corp. 9.75% 10/15/25 (d) | 1,225,000 | 1,301,563 | |
Itron, Inc. 5% 1/15/26 (d) | 998,000 | 1,020,455 | |
Sensata Technologies, Inc.: | |||
3.75% 2/15/31 (d) | 4,622,000 | 4,639,333 | |
4.375% 2/15/30 (d) | 47,000 | 50,114 | |
TTM Technologies, Inc. 4% 3/1/29 (d)(g) | 1,375,000 | 1,390,469 | |
8,401,934 | |||
IT Services - 0.9% | |||
Alliance Data Systems Corp. 4.75% 12/15/24 (d) | 1,775,000 | 1,810,500 | |
Arches Buyer, Inc.: | |||
4.25% 6/1/28 (d) | 3,110,000 | 3,135,891 | |
6.125% 12/1/28 (d) | 3,910,000 | 4,041,904 | |
Banff Merger Sub, Inc. 9.75% 9/1/26 (d) | 9,062,000 | 9,656,648 | |
Camelot Finance SA 4.5% 11/1/26 (d) | 1,250,000 | 1,296,875 | |
CDW LLC/CDW Finance Corp. 3.25% 2/15/29 | 1,605,000 | 1,579,320 | |
Everi Payments, Inc. 7.5% 12/15/25 (d) | 3,552,000 | 3,685,200 | |
Gartner, Inc.: | |||
3.75% 10/1/30 (d) | 1,685,000 | 1,706,063 | |
4.5% 7/1/28 (d) | 1,505,000 | 1,580,250 | |
GCI LLC 4.75% 10/15/28 (d) | 850,000 | 878,688 | |
Go Daddy Operating Co. LLC / GD Finance Co., Inc.: | |||
3.5% 3/1/29 (d) | 1,075,000 | 1,068,281 | |
5.25% 12/1/27 (d) | 735,000 | 771,750 | |
Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc.: | |||
6% 2/15/28 (d) | 390,000 | 392,438 | |
10.75% 6/1/28 (d) | 2,286,000 | 2,628,900 | |
Presidio Holdings, Inc.: | |||
4.875% 2/1/27 (d) | 660,000 | 688,050 | |
8.25% 2/1/28 (d) | 865,000 | 955,289 | |
Rackspace Hosting, Inc.: | |||
3.5% 2/15/28 (d) | 1,100,000 | 1,078,693 | |
5.375% 12/1/28 (d) | 9,840,000 | 10,151,190 | |
RP Crown Parent, LLC 7.375% 10/15/24 (d) | 600,000 | 609,000 | |
Sabre GLBL, Inc.: | |||
7.375% 9/1/25 (d) | 660,000 | 714,589 | |
9.25% 4/15/25 (d) | 370,000 | 438,913 | |
Science Applications International Corp. 4.875% 4/1/28 (d) | 2,320,000 | 2,418,600 | |
Tempo Acquisition LLC: | |||
5.75% 6/1/25 (d) | 2,250,000 | 2,390,625 | |
6.75% 6/1/25 (d) | 9,340,000 | 9,585,175 | |
Zayo Group LLC/Zayo Capital, Inc. 6% 4/1/23 | 650,000 | 648,375 | |
63,911,207 | |||
Semiconductors & Semiconductor Equipment - 0.1% | |||
Microchip Technology, Inc. 4.25% 9/1/25 (d) | 4,873,000 | 5,113,173 | |
ON Semiconductor Corp. 3.875% 9/1/28 (d) | 885,000 | 924,825 | |
Sensata Technologies UK Financing Co. PLC 6.25% 2/15/26 (d) | 3,005,000 | 3,102,362 | |
9,140,360 | |||
Software - 0.6% | |||
Ascend Learning LLC: | |||
6.875% 8/1/25 (d) | 665,000 | 683,288 | |
6.875% 8/1/25 (d) | 5,085,000 | 5,224,838 | |
Black Knight InfoServ LLC 3.625% 9/1/28 (d) | 6,880,000 | 6,839,408 | |
Boxer Parent Co., Inc.: | |||
6.5% 10/2/25 (d) | EUR | 210,000 | 269,724 |
7.125% 10/2/25 (d) | 4,060,000 | 4,394,950 | |
9.125% 3/1/26 (d) | 415,000 | 440,419 | |
BY Crown Parent LLC / BY Bond Finance, Inc. 4.25% 1/31/26 (d) | 3,325,000 | 3,424,750 | |
CDK Global, Inc.: | |||
4.875% 6/1/27 | 485,000 | 507,431 | |
5.25% 5/15/29 (d) | 1,595,000 | 1,716,810 | |
Crowdstrike Holdings, Inc. 3% 2/15/29 | 1,295,000 | 1,295,000 | |
Fair Isaac Corp. 5.25% 5/15/26 (d) | 1,225,000 | 1,387,313 | |
LogMeIn, Inc. 5.5% 9/1/27 (d) | 650,000 | 679,250 | |
NortonLifeLock, Inc. 5% 4/15/25 (d) | 1,300,000 | 1,316,250 | |
Nuance Communications, Inc. 5.625% 12/15/26 | 1,085,000 | 1,136,538 | |
Open Text Corp.: | |||
3.875% 2/15/28 (d) | 875,000 | 889,219 | |
5.875% 6/1/26 (d) | 1,000,000 | 1,033,125 | |
Open Text Holdings, Inc. 4.125% 2/15/30 (d) | 3,904,000 | 4,060,160 | |
Rocket Software, Inc. 6.5% 2/15/29 (d) | 975,000 | 970,125 | |
Solera LLC/Solera Finance, Inc. 10.5% 3/1/24 (d) | 3,615,000 | 3,741,525 | |
SS&C Technologies, Inc. 5.5% 9/30/27 (d) | 1,380,000 | 1,457,791 | |
Veritas U.S., Inc./Veritas Bermuda Ltd.: | |||
7.5% 9/1/25 (d) | 1,285,000 | 1,331,903 | |
10.5% 2/1/24 (d) | 1,810,000 | 1,826,236 | |
ZoomInfo Technologies LLC/ZoomInfo Finance Corp. 3.875% 2/1/29 (d) | 420,000 | 416,850 | |
45,042,903 | |||
Technology Hardware, Storage & Peripherals - 0.1% | |||
NCR Corp.: | |||
5% 10/1/28 (d) | 675,000 | 685,267 | |
5.25% 10/1/30 (d) | 2,755,000 | 2,865,200 | |
8.125% 4/15/25 (d) | 175,000 | 190,512 | |
3,740,979 | |||
TOTAL INFORMATION TECHNOLOGY | 148,555,477 | ||
MATERIALS - 3.8% | |||
Chemicals - 1.4% | |||
Avient Corp. 5.75% 5/15/25 (d) | 100,000 | 106,020 | |
Axalta Coating Systems LLC 3.375% 2/15/29 (d) | 1,095,000 | 1,062,150 | |
Axalta Coating Systems/Dutch Holding BV 4.75% 6/15/27 (d) | 1,175,000 | 1,227,875 | |
CF Industries Holdings, Inc.: | |||
4.95% 6/1/43 | 1,697,000 | 1,998,451 | |
5.15% 3/15/34 | 792,000 | 957,346 | |
5.375% 3/15/44 | 1,257,000 | 1,569,679 | |
Consolidated Energy Finance SA: | |||
3 month U.S. LIBOR + 3.750% 3.9665% 6/15/22 (d)(f)(j) | 2,025,000 | 2,005,215 | |
6.5% 5/15/26 (d) | 3,205,000 | 3,237,050 | |
6.875% 6/15/25 (d) | 715,000 | 727,513 | |
Cornerstone Chemical Co. 6.75% 8/15/24 (d) | 2,050,000 | 1,932,125 | |
CVR Partners LP 9.25% 6/15/23 (d) | 2,930,000 | 2,975,005 | |
Element Solutions, Inc. 3.875% 9/1/28 (d) | 47,000 | 46,946 | |
GrafTech Finance, Inc. 4.625% 12/15/28 (d) | 875,000 | 892,675 | |
H.B. Fuller Co. 4.25% 10/15/28 | 575,000 | 586,328 | |
Hexion, Inc. 7.875% 7/15/27 (d) | 1,550,000 | 1,643,000 | |
INEOS Quattro Finance 2 PLC 3.375% 1/15/26 (d) | 350,000 | 349,125 | |
Ingevity Corp. 3.875% 11/1/28 (d) | 375,000 | 371,252 | |
Kraton Polymers LLC/Kraton Polymers Capital Corp. 5.25% 5/15/26 (d) | EUR | 360,000 | 446,303 |
Kronos Acquisition Holdings, Inc. / KIK Custom Products, Inc.: | |||
5% 12/31/26 (d) | 3,450,000 | 3,552,465 | |
7% 12/31/27 (d) | 310,000 | 306,823 | |
Methanex Corp.: | |||
5.125% 10/15/27 | 3,936,000 | 4,070,611 | |
5.25% 12/15/29 | 1,483,000 | 1,521,002 | |
5.65% 12/1/44 | 3,012,000 | 3,102,360 | |
Minerals Technologies, Inc. 5% 7/1/28 (d) | 875,000 | 912,319 | |
Neon Holdings, Inc.: | |||
10.125% 4/1/26 (d) | 835,000 | 921,631 | |
10.125% 4/1/26 (d) | 700,000 | 772,625 | |
Nouryon Holding BV 8% 10/1/26 (d) | 675,000 | 718,268 | |
NOVA Chemicals Corp.: | |||
4.875% 6/1/24 (d) | 800,000 | 828,000 | |
5.25% 6/1/27 (d) | 4,100,000 | 4,274,250 | |
Olin Corp.: | |||
5% 2/1/30 | 1,850,000 | 1,937,320 | |
5.125% 9/15/27 | 1,495,000 | 1,550,202 | |
5.625% 8/1/29 | 5,844,000 | 6,304,215 | |
Rain CII Carbon LLC/CII Carbon Corp. 7.25% 4/1/25 (d) | 2,075,000 | 2,123,514 | |
The Chemours Co. LLC: | |||
5.375% 5/15/27 | 7,852,000 | 8,264,230 | |
5.75% 11/15/28 (d) | 10,520,000 | 10,783,000 | |
7% 5/15/25 | 2,744,000 | 2,828,735 | |
The Scotts Miracle-Gro Co. 4.5% 10/15/29 | 1,555,000 | 1,648,844 | |
TPC Group, Inc.: | |||
10.5% 8/1/24 (d) | 4,960,000 | 4,526,000 | |
10.875% 8/1/24 (c)(d) | 911,763 | 948,234 | |
Tronox Finance PLC 5.75% 10/1/25 (d) | 700,000 | 722,897 | |
Tronox, Inc.: | |||
6.5% 5/1/25 (d) | 5,100,000 | 5,469,750 | |
6.5% 4/15/26 (d) | 2,756,000 | 2,849,070 | |
Univar Solutions U.S.A., Inc. 5.125% 12/1/27 (d) | 1,885,000 | 1,969,825 | |
Valvoline, Inc.: | |||
3.625% 6/15/31 (d) | 1,775,000 | 1,748,375 | |
4.25% 2/15/30 (d) | 4,550,000 | 4,686,500 | |
W. R. Grace & Co.-Conn. 4.875% 6/15/27 (d) | 2,891,000 | 2,997,389 | |
104,472,512 | |||
Construction Materials - 0.2% | |||
CEMEX S.A.B. de CV 5.45% 11/19/29 (d) | 200,000 | 217,680 | |
SRM Escrow Issuer LLC 6% 11/1/28 (d) | 3,100,000 | 3,220,125 | |
Summit Materials LLC/Summit Materials Finance Corp.: | |||
5.25% 1/15/29 (d) | 2,230,000 | 2,366,588 | |
6.5% 3/15/27 (d) | 2,375,000 | 2,512,191 | |
U.S. Concrete, Inc.: | |||
5.125% 3/1/29 (d) | 2,325,000 | 2,394,750 | |
6.375% 6/1/24 | 964,000 | 985,931 | |
White Cap Buyer LLC 6.875% 10/15/28 (d) | 1,420,000 | 1,510,099 | |
13,207,364 | |||
Containers & Packaging - 0.7% | |||
ARD Finance SA 6.5% 6/30/27 pay-in-kind (d)(f) | 3,555,000 | 3,759,413 | |
Ardagh Metal Packaging Finance U.S.A. LLC/Ardagh Metal Packaging Finance PLC 4% 9/1/29 (d)(g) | 6,610,000 | 6,626,525 | |
Ardagh Packaging Finance PLC/Ardagh MP Holdings U.S.A., Inc.: | |||
4.125% 8/15/26 (d) | 605,000 | 626,119 | |
5.25% 4/30/25 (d) | 440,000 | 464,200 | |
5.25% 8/15/27 (d) | 2,300,000 | 2,381,926 | |
5.25% 8/15/27 (d) | 3,034,000 | 3,143,071 | |
6% 2/15/25 (d) | 1,523,000 | 1,574,325 | |
BWAY Holding Co.: | |||
7.25% 4/15/25 (d) | 2,540,000 | 2,509,869 | |
8.5% 4/15/24 (d) | 400,000 | 412,000 | |
Flex Acquisition Co., Inc.: | |||
6.875% 1/15/25 (d) | 3,884,000 | 3,934,531 | |
7.875% 7/15/26 (d) | 5,174,000 | 5,368,025 | |
Graham Packaging Co., Inc. 7.125% 8/15/28 (d) | 320,000 | 345,933 | |
Intelligent Packaging Ltd. Finco, Inc. 6% 9/15/28 (d) | 375,000 | 390,938 | |
OI European Group BV 4% 3/15/23 (d) | 1,445,000 | 1,477,513 | |
Owens-Brockway Glass Container, Inc.: | |||
5.375% 1/15/25 (d) | 2,000,000 | 2,152,710 | |
6.375% 8/15/25 (d) | 650,000 | 721,500 | |
6.625% 5/13/27 (d) | 1,775,000 | 1,903,688 | |
Pactiv LLC: | |||
7.95% 12/15/25 | 690,000 | 776,250 | |
8.375% 4/15/27 | 175,000 | 200,375 | |
Trivium Packaging Finance BV: | |||
5.5% 8/15/26 (d) | 6,664,000 | 6,971,877 | |
8.5% 8/15/27 (d) | 3,547,000 | 3,804,158 | |
49,544,946 | |||
Metals & Mining - 1.5% | |||
Alcoa Nederland Holding BV: | |||
5.5% 12/15/27 (d) | 1,340,000 | 1,420,400 | |
6.125% 5/15/28 (d) | 940,000 | 1,019,900 | |
6.75% 9/30/24 (d) | 200,000 | 207,500 | |
7% 9/30/26 (d) | 2,010,000 | 2,110,500 | |
Allegheny Technologies, Inc.: | |||
5.875% 12/1/27 | 6,380,000 | 6,738,875 | |
7.875% 8/15/23 | 440,000 | 479,719 | |
ArcelorMittal SA 7% 3/1/41 (f) | 10,000 | 14,152 | |
Arconic Rolled Products Corp.: | |||
6% 5/15/25 (d) | 525,000 | 557,813 | |
6.125% 2/15/28 (d) | 1,550,000 | 1,635,762 | |
Big River Steel LLC/BRS Finance Corp. 6.625% 1/31/29 (d) | 4,845,000 | 5,194,446 | |
Cleveland-Cliffs, Inc. 9.875% 10/17/25 (d) | 685,000 | 800,594 | |
Compass Minerals International, Inc. 6.75% 12/1/27 (d) | 690,000 | 741,750 | |
Constellium NV: | |||
3.75% 4/15/29 (d) | 975,000 | 967,883 | |
5.625% 6/15/28 (d) | 500,000 | 528,125 | |
5.75% 5/15/24 (d) | 4,155,000 | 4,212,131 | |
5.875% 2/15/26(d) | 1,500,000 | 1,542,000 | |
6.625% 3/1/25 (d) | 3,550,000 | 3,612,125 | |
Eldorado Gold Corp. 9.5% 6/1/24 (d) | 2,214,000 | 2,457,540 | |
First Quantum Minerals Ltd.: | |||
6.5% 3/1/24 (d) | 3,185,000 | 3,267,611 | |
6.875% 3/1/26 (d) | 3,545,000 | 3,686,800 | |
6.875% 10/15/27 (d) | 4,935,000 | 5,348,306 | |
7.25% 4/1/23 (d) | 8,485,000 | 8,654,700 | |
7.5% 4/1/25 (d) | 1,081,000 | 1,118,835 | |
FMG Resources (August 2006) Pty Ltd.: | |||
4.5% 9/15/27 (d) | 20,000 | 21,975 | |
5.125% 3/15/23 (d) | 770,000 | 810,425 | |
5.125% 5/15/24 (d) | 1,260,000 | 1,362,375 | |
Freeport-McMoRan, Inc.: | |||
4.375% 8/1/28 | 1,175,000 | 1,249,906 | |
4.55% 11/14/24 | 2,500,000 | 2,753,125 | |
4.625% 8/1/30 | 1,195,000 | 1,320,475 | |
5% 9/1/27 | 570,000 | 609,626 | |
5.25% 9/1/29 | 585,000 | 650,052 | |
5.4% 11/14/34 | 2,215,000 | 2,743,831 | |
5.45% 3/15/43 | 2,840,000 | 3,528,700 | |
Hecla Mining Co. 7.25% 2/15/28 | 3,930,000 | 4,259,138 | |
HudBay Minerals, Inc.: | |||
4.5% 4/1/26 (d)(g) | 2,205,000 | 2,233,952 | |
6.125% 4/1/29 (d) | 1,880,000 | 2,026,095 | |
7.625% 1/15/25 (d) | 1,300,000 | 1,353,456 | |
IAMGOLD Corp. 5.75% 10/15/28 (d) | 2,550,000 | 2,622,854 | |
Joseph T. Ryerson & Son, Inc. 8.5% 8/1/28 (d) | 1,395,000 | 1,527,525 | |
Kaiser Aluminum Corp.: | |||
4.625% 3/1/28(d) | 4,239,000 | 4,425,219 | |
6.5% 5/1/25 (d) | 1,385,000 | 1,481,950 | |
New Gold, Inc.: | |||
6.375% 5/15/25 (d) | 1,895,000 | 1,956,588 | |
7.5% 7/15/27 (d) | 3,230,000 | 3,403,742 | |
Novelis Corp.: | |||
4.75% 1/30/30 (d) | 2,905,000 | 3,027,591 | |
5.875% 9/30/26 (d) | 3,589,000 | 3,739,307 | |
United States Steel Corp. 6.875% 3/1/29 | 2,760,000 | 2,706,525 | |
106,131,899 | |||
Paper & Forest Products - 0.0% | |||
Mercer International, Inc.: | |||
5.125% 2/1/29 (d) | 870,000 | 882,128 | |
5.5% 1/15/26 | 160,000 | 163,950 | |
1,046,078 | |||
TOTAL MATERIALS | 274,402,799 | ||
REAL ESTATE - 1.8% | |||
Equity Real Estate Investment Trusts (REITs) - 1.2% | |||
CTR Partnership LP/CareTrust Capital Corp. 5.25% 6/1/25 | 1,170,000 | 1,206,293 | |
ESH Hospitality, Inc.: | |||
4.625% 10/1/27 (d) | 1,025,000 | 1,041,011 | |
5.25% 5/1/25 (d) | 4,500,000 | 4,587,210 | |
Global Net Lease, Inc. / Global Net Lease Operating Partnership LP 3.75% 12/15/27 (d) | 525,000 | 524,740 | |
GLP Capital LP/GLP Financing II, Inc.: | |||
4% 1/15/30 | 1,000,000 | 1,063,300 | |
5.375% 4/15/26 | 550,000 | 631,543 | |
5.75% 6/1/28 | 500,000 | 586,400 | |
MGM Growth Properties Operating Partnership LP: | |||
3.875% 2/15/29 (d) | 950,000 | 961,875 | |
4.5% 9/1/26 | 3,050,000 | 3,233,000 | |
4.5% 1/15/28 | 2,400,000 | 2,538,000 | |
4.625% 6/15/25 (d) | 445,000 | 471,700 | |
5.75% 2/1/27 | 660,000 | 745,800 | |
MPT Operating Partnership LP/MPT Finance Corp.: | |||
3.5% 3/15/31 | 375,000 | 381,600 | |
4.625% 8/1/29 | 300,000 | 322,547 | |
5% 10/15/27 | 5,689,000 | 6,059,923 | |
Park Intermediate Holdings LLC: | |||
5.875% 10/1/28 (d) | 3,215,000 | 3,386,761 | |
7.5% 6/1/25 (d) | 5,834,000 | 6,325,223 | |
RHP Hotel Properties LP/RHP Finance Corp.: | |||
4.5% 2/15/29 (d) | 650,000 | 641,875 | |
4.75% 10/15/27 | 1,015,000 | 1,029,332 | |
SBA Communications Corp.: | |||
3.125% 2/1/29 (d) | 950,000 | 924,094 | |
3.875% 2/15/27 | 1,210,000 | 1,254,201 | |
4.875% 9/1/24 | 1,700,000 | 1,743,690 | |
Senior Housing Properties Trust: | |||
4.75% 5/1/24 | 1,375,000 | 1,402,500 | |
4.75% 2/15/28 | 800,000 | 788,000 | |
6.75% 12/15/21 | 2,050,000 | 2,075,625 | |
9.75% 6/15/25 | 3,955,000 | 4,454,319 | |
Service Properties Trust: | |||
3.95% 1/15/28 | 170,000 | 157,250 | |
4.375% 2/15/30 | 2,690,000 | 2,501,700 | |
4.95% 2/15/27 | 1,100,000 | 1,089,385 | |
4.95% 10/1/29 | 1,015,000 | 979,475 | |
5.5% 12/15/27 | 945,000 | 1,018,265 | |
The GEO Group, Inc. 6% 4/15/26 | 650,000 | 474,500 | |
Uniti Group LP / Uniti Group Finance, Inc. 6.5% 2/15/29 (d) | 5,575,000 | 5,616,813 | |
Uniti Group, Inc.: | |||
7.125% 12/15/24 (d) | 4,840,000 | 4,967,050 | |
7.875% 2/15/25 (d) | 11,950,000 | 12,799,227 | |
VICI Properties, Inc.: | |||
4.125% 8/15/30 (d) | 1,850,000 | 1,924,000 | |
4.25% 12/1/26 (d) | 1,480,000 | 1,526,472 | |
4.625% 12/1/29 (d) | 5,516,000 | 5,790,145 | |
87,224,844 | |||
Real Estate Management & Development - 0.6% | |||
DTZ U.S. Borrower LLC 6.75% 5/15/28 (d) | 1,465,000 | 1,583,738 | |
Forestar Group, Inc.: | |||
5% 3/1/28 (d) | 677,000 | 707,465 | |
8% 4/15/24 (d) | 650,000 | 676,000 | |
Greystar Real Estate Partners 5.75% 12/1/25 (d) | 2,321,000 | 2,387,729 | |
Howard Hughes Corp.: | |||
4.125% 2/1/29 (d) | 3,310,000 | 3,285,672 | |
4.375% 2/1/31 (d) | 3,665,000 | 3,656,607 | |
5.375% 8/1/28 (d) | 2,985,000 | 3,138,041 | |
Hunt Companies, Inc. 6.25% 2/15/26 (d) | 3,561,000 | 3,650,025 | |
Mattamy Group Corp.: | |||
4.625% 3/1/30 (d) | 2,675,000 | 2,778,656 | |
5.25% 12/15/27 (d) | 2,050,000 | 2,152,500 | |
PHH Mortgage Corp. 7.875% 3/15/26 (d) | 800,000 | 813,999 | |
Realogy Group LLC/Realogy Co-Issuer Corp.: | |||
5.75% 1/15/29 (d) | 3,725,000 | 3,752,938 | |
7.625% 6/15/25 (d) | 255,000 | 277,736 | |
9.375% 4/1/27 (d) | 690,000 | 759,000 | |
Taylor Morrison Communities, Inc./Monarch Communities, Inc.: | |||
5.125% 8/1/30 (d) | 3,608,000 | 3,862,364 | |
5.75% 1/15/28 (d) | 4,020,000 | 4,482,300 | |
5.875% 6/15/27 (d) | 800,000 | 892,000 | |
6.625% 7/15/27 (d) | 2,498,000 | 2,672,860 | |
Weekley Homes LLC/Weekley Finance Corp. 4.875% 9/15/28 (d) | 280,000 | 292,600 | |
41,822,230 | |||
TOTAL REAL ESTATE | 129,047,074 | ||
UTILITIES - 1.9% | |||
Electric Utilities - 1.2% | |||
Clearway Energy Operating LLC: | |||
4.75% 3/15/28 (d) | 290,000 | 309,938 | |
5% 9/15/26 | 885,000 | 911,550 | |
5.75% 10/15/25 | 2,045,000 | 2,138,150 | |
InterGen NV 7% 6/30/23 (d) | 3,045,000 | 2,953,650 | |
NextEra Energy Partners LP: | |||
4.25% 7/15/24 (d) | 1,020,000 | 1,078,650 | |
4.25% 9/15/24 (d) | 234,000 | 248,040 | |
4.5% 9/15/27 (d) | 1,275,000 | 1,419,968 | |
NRG Energy, Inc.: | |||
3.375% 2/15/29 (d) | 3,805,000 | 3,766,531 | |
3.625% 2/15/31 (d) | 3,230,000 | 3,181,550 | |
5.25% 6/15/29 (d) | 3,972,000 | 4,191,930 | |
5.75% 1/15/28 | 175,000 | 185,938 | |
6.625% 1/15/27 | 7,075,000 | 7,357,151 | |
7.25% 5/15/26 | 4,410,000 | 4,590,810 | |
NSG Holdings II LLC/NSG Holdings, Inc. 7.75% 12/15/25 (d) | 1,243,668 | 1,318,288 | |
Pacific Gas & Electric Co.: | |||
4.55% 7/1/30 | 2,865,000 | 3,195,905 | |
4.75% 2/15/44 | 875,000 | 931,530 | |
Pattern Energy Operations LP 4.5% 8/15/28 (d) | 795,000 | 827,207 | |
PG&E Corp.: | |||
5% 7/1/28 | 5,330,000 | 5,603,163 | |
5.25% 7/1/30 | 11,590,000 | 12,397,823 | |
Vistra Operations Co. LLC: | |||
5% 7/31/27 (d) | 11,908,000 | 12,458,745 | |
5.5% 9/1/26 (d) | 6,861,000 | 7,118,288 | |
5.625% 2/15/27 (d) | 12,792,000 | 13,367,640 | |
89,552,445 | |||
Gas Utilities - 0.3% | |||
AmeriGas Partners LP/AmeriGas Finance Corp.: | |||
5.5% 5/20/25 | 2,675,000 | 2,928,323 | |
5.625% 5/20/24 | 1,664,000 | 1,841,316 | |
5.75% 5/20/27 | 2,655,000 | 2,991,123 | |
5.875% 8/20/26 | 3,500,000 | 3,946,250 | |
Ferrellgas Partners LP / Ferrellgas Partners Finance Corp.: | |||
8.625% 6/15/20 (h) | 2,650,000 | 1,373,310 | |
8.625% 6/15/20 (h) | 300,000 | 155,469 | |
Suburban Propane Partners LP/Suburban Energy Finance Corp.: | |||
5.5% 6/1/24 | 1,268,000 | 1,287,020 | |
5.75% 3/1/25 | 1,325,000 | 1,336,872 | |
5.875% 3/1/27 | 3,415,000 | 3,567,907 | |
Superior Plus LP / Superior General Partner, Inc. 7% 7/15/26 (d) | 2,650,000 | 2,828,027 | |
22,255,617 | |||
Independent Power and Renewable Electricity Producers - 0.4% | |||
Calpine Corp.: | |||
4.5% 2/15/28 (d) | 2,017,000 | 2,072,468 | |
4.625% 2/1/29 (d) | 425,000 | 419,688 | |
5% 2/1/31 (d) | 5,175,000 | 5,121,801 | |
5.125% 3/15/28 (d) | 14,513,000 | 14,585,565 | |
5.25% 6/1/26 (d) | 396,000 | 407,385 | |
TerraForm Global, Inc. 6.125% 3/1/26 (d) | 1,180,000 | 1,212,161 | |
TerraForm Power Operating LLC: | |||
4.75% 1/15/30 (d) | 190,000 | 200,055 | |
5% 1/31/28 (d) | 1,670,000 | 1,845,350 | |
25,864,473 | |||
TOTAL UTILITIES | 137,672,535 | ||
TOTAL NONCONVERTIBLE BONDS | 3,081,437,317 | ||
TOTAL CORPORATE BONDS | |||
(Cost $3,005,131,787) | 3,095,512,562 | ||
Shares | Value | ||
Common Stocks - 0.2% | |||
COMMUNICATION SERVICES - 0.0% | |||
Media - 0.0% | |||
Liberty Broadband Corp. Class C (k) | 5,000 | 747,550 | |
Wireless Telecommunication Services - 0.0% | |||
T-Mobile U.S., Inc. | 10,900 | 1,307,673 | |
TOTAL COMMUNICATION SERVICES | 2,055,223 | ||
CONSUMER DISCRETIONARY - 0.0% | |||
Hotels, Restaurants & Leisure - 0.0% | |||
CEC Brands LLC warrants 12/30/25 (c)(k) | 18,027 | 0 | |
ENERGY - 0.1% | |||
Energy Equipment & Services - 0.0% | |||
Jonah Energy LLC (c) | 29,131 | 436,965 | |
Oil, Gas & Consumable Fuels - 0.1% | |||
Chesapeake Energy Corp. (k) | 112,011 | 4,948,646 | |
Chesapeake Energy Corp. (b) | 644 | 25,607 | |
Extraction Oil & Gas, Inc. (k) | 40,857 | 1,374,838 | |
Mesquite Energy, Inc. (c) | 46,770 | 748,326 | |
7,097,417 | |||
TOTAL ENERGY | 7,534,382 | ||
MATERIALS - 0.0% | |||
Metals & Mining - 0.0% | |||
Constellium NV (k) | 90,000 | 1,191,600 | |
UTILITIES - 0.1% | |||
Independent Power and Renewable Electricity Producers - 0.1% | |||
Vistra Corp. | 93,700 | 1,616,325 | |
Multi-Utilities - 0.0% | |||
Sempra Energy | 5,000 | 579,900 | |
TOTAL UTILITIES | 2,196,225 | ||
TOTAL COMMON STOCKS | |||
(Cost $9,973,307) | 12,977,430 | ||
Convertible Preferred Stocks - 0.2% | |||
HEALTH CARE - 0.1% | |||
Health Care Equipment & Supplies - 0.0% | |||
Boston Scientific Corp. Series A 5.50% | 2,438 | 269,659 | |
Danaher Corp. Series B 5.00% | 1,525 | 1,956,224 | |
2,225,883 | |||
Life Sciences Tools & Services - 0.1% | |||
Avantor, Inc. Series A 6.25% | 46,600 | 4,089,274 | |
TOTAL HEALTH CARE | 6,315,157 | ||
UTILITIES - 0.1% | |||
Electric Utilities - 0.1% | |||
American Electric Power Co., Inc.: | |||
6.125% | 58,350 | 2,645,006 | |
6.125% | 15,000 | 693,750 | |
NextEra Energy, Inc. 5.279% | 58,200 | 2,843,652 | |
Southern Co. 6.75% | 33,100 | 1,590,366 | |
7,772,774 | |||
TOTAL CONVERTIBLE PREFERRED STOCKS | |||
(Cost $14,069,784) | 14,087,931 | ||
Principal Amount(a) | Value | ||
Bank Loan Obligations - 2.3% | |||
COMMUNICATION SERVICES - 0.4% | |||
Diversified Telecommunication Services - 0.1% | |||
Iridium Satellite LLC 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.75% 11/4/26 (f)(j)(l) | 3,255,431 | 3,270,536 | |
SFR Group SA Tranche B 13LN, term loan 3 month U.S. LIBOR + 4.000% 4.1976% 8/14/26 (f)(j)(l) | 1,682,897 | 1,679,632 | |
4,950,168 | |||
Entertainment - 0.1% | |||
Playtika Holding Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 6.000% 7% 12/10/24 (f)(j)(l) | 3,377,435 | 3,392,634 | |
Media - 0.0% | |||
iHeartCommunications, Inc.: | |||
1LN, term loan 3 month U.S. LIBOR + 3.000% 3.1145% 5/1/26 (f)(j)(l) | 742,500 | 734,889 | |
Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 4.75% 5/1/26 (f)(j)(l) | 870,625 | 872,532 | |
WideOpenWest Finance LLC Tranche B, term loan 3 month U.S. LIBOR + 3.250% 4.25% 8/19/23 (f)(j)(l) | 1,441,575 | 1,440,970 | |
3,048,391 | |||
Wireless Telecommunication Services - 0.2% | |||
CCI Buyer, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 4.75% 12/17/27 (f)(j)(l) | 1,005,000 | 1,011,914 | |
Intelsat Jackson Holdings SA: | |||
Tranche B, term loan 3 month U.S. LIBOR + 3.750% 8% 11/27/23 (f)(j)(l) | 5,140,000 | 5,212,268 | |
Tranche B-4, term loan 3 month U.S. LIBOR + 5.500% 8.75% 1/2/24 (f)(j)(l) | 2,861,000 | 2,905,889 | |
Tranche B-5, term loan 8.625% 1/2/24 (l) | 1,184,000 | 1,206,200 | |
Tranche DD 1LN, term loan 3 month U.S. LIBOR + 5.500% 6.5% 7/13/22 (f)(j)(l) | 1,145,082 | 1,161,903 | |
Xplornet Communications, Inc. 1LN, term loan 3 month U.S. LIBOR + 4.750% 4.8645% 6/10/27 (f)(j)(l) | 4,330,993 | 4,350,613 | |
15,848,787 | |||
TOTAL COMMUNICATION SERVICES | 27,239,980 | ||
CONSUMER DISCRETIONARY - 0.3% | |||
Auto Components - 0.0% | |||
Clarios Global LP Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 3.6145% 4/30/26 (f)(j)(l) | 416,261 | 416,523 | |
Truck Hero, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.5% 1/29/28 (f)(j)(l) | 875,000 | 875,621 | |
1,292,144 | |||
Automobiles - 0.0% | |||
Navistar, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 5.43% 11/6/24 (f)(j)(l) | 994,872 | 994,623 | |
Diversified Consumer Services - 0.0% | |||
WW International, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.750% 5.5% 11/29/24 (f)(j)(l) | 659,499 | 659,334 | |
Hotels, Restaurants & Leisure - 0.2% | |||
Golden Entertainment, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 3.75% 10/20/24 (f)(j)(l) | 2,752,400 | 2,721,436 | |
Golden Nugget, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.500% 3.25% 10/4/23 (f)(j)(l) | 2,098,161 | 2,078,060 | |
LTF Merger Sub, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.750% 3.75% 6/10/22 (f)(j)(l) | 4,802,590 | 4,787,990 | |
Scientific Games Corp. Tranche B 5LN, term loan 3 month U.S. LIBOR + 2.750% 2.8645% 8/14/24 (f)(j)(l) | 1,705,615 | 1,677,285 | |
11,264,771 | |||
Internet & Direct Marketing Retail - 0.1% | |||
Bass Pro Group LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.250% 2/26/28 (j)(l)(m) | 3,150,000 | 3,153,056 | |
Specialty Retail - 0.0% | |||
LBM Acquisition LLC Tranche B 1LN, term loan: | |||
3 month U.S. LIBOR + 3.750% 12/18/27 (j)(l)(m) | 485,455 | 486,265 | |
3 month U.S. LIBOR + 3.750% 4.5% 12/18/27 (f)(j)(l) | 2,184,545 | 2,188,194 | |
2,674,459 | |||
TOTAL CONSUMER DISCRETIONARY | 20,038,387 | ||
CONSUMER STAPLES - 0.0% | |||
Personal Products - 0.0% | |||
BellRing Brands, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.000% 6% 10/10/24 (f)(j)(l) | 920,660 | 928,145 | |
ENERGY - 0.2% | |||
Oil, Gas & Consumable Fuels - 0.2% | |||
Ascent Resources - Utica LLC/ARU Finance Corp. 2LN, term loan 3 month U.S. LIBOR + 9.000% 11/1/25 (j)(l)(m) | 3,503,000 | 3,894,180 | |
BCP Raptor LLC Tranche B, term loan 3 month U.S. LIBOR + 4.250% 5.25% 6/24/24 (f)(j)(l) | 5,131,705 | 4,893,440 | |
Citgo Holding, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 7.000% 8% 8/1/23 (f)(j)(l) | 371,241 | 354,628 | |
Citgo Petroleum Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 6.250% 7.25% 3/28/24 (f)(j)(l) | 676,823 | 678,096 | |
Prairie ECI Acquiror LP 1LN, term loan 3 month U.S. LIBOR + 4.750% 3/11/26 (j)(l)(m) | 765,000 | 750,335 | |
Sanchez Energy Corp.: | |||
1LN, term loan 3 month U.S. LIBOR + 8.000% 0% 12/31/49 (c)(h)(j)(l) | 864,602 | 0 | |
term loan 3 month U.S. LIBOR + 0.000% 7.25% 12/31/49 (c)(f)(h)(j)(l) | 373,000 | 0 | |
Stonepeak Lonestar Holdings LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.500% 4.7178% 10/19/26 (f)(j)(l) | 906,085 | 906,892 | |
11,477,571 | |||
FINANCIALS - 0.2% | |||
Diversified Financial Services - 0.0% | |||
Alpine Finance Merger Sub LLC Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4% 7/12/24 (f)(j)(l) | 972,487 | 972,079 | |
MPH Acquisition Holdings LLC Tranche B, term loan 3 month U.S. LIBOR + 2.750% 3.75% 6/7/23 (f)(j)(l) | 259,151 | 258,768 | |
1,230,847 | |||
Insurance - 0.2% | |||
Asurion LLC: | |||
Tranche B 6LN, term loan 3 month U.S. LIBOR + 3.000% 3.1145% 11/3/23 (f)(j)(l) | 514,701 | 513,631 | |
Tranche B3 2LN, term loan 3 month U.S. LIBOR + 5.250% 5.3645% 2/5/28 (f)(j)(l) | 7,897,065 | 8,111,786 | |
Tranche B8 1LN, term loan 3 month U.S. LIBOR + 3.250% 3.3645% 12/23/26 (f)(j)(l) | 2,305,000 | 2,297,440 | |
Tranche B9 1LN, term loan 3 month U.S. LIBOR + 3.250% 3.3645% 7/31/27 (f)(j)(l) | 2,225,000 | 2,216,656 | |
HUB International Ltd. Tranche B, term loan 3 month U.S. LIBOR + 2.750% 2.9651% 4/25/25 (f)(j)(l) | 1,989,796 | 1,967,848 | |
15,107,361 | |||
TOTAL FINANCIALS | 16,338,208 | ||
HEALTH CARE - 0.1% | |||
Health Care Providers & Services - 0.1% | |||
ADMI Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 12/23/27 (j)(l)(m) | 1,440,000 | 1,433,059 | |
Gainwell Acquisition Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 4.75% 10/1/27 (f)(j)(l) | 6,005,000 | 5,985,003 | |
RegionalCare Hospital Partners Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.750% 3.8645% 11/16/25 (f)(j)(l) | 1,687,515 | 1,688,393 | |
U.S. Radiology Specialists, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.500% 6.25% 12/15/27 (f)(j)(l) | 1,050,000 | 1,057,004 | |
U.S. Renal Care, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.000% 5.125% 6/13/26 (f)(j)(l) | 403,977 | 402,184 | |
10,565,643 | |||
INDUSTRIALS - 0.3% | |||
Air Freight & Logistics - 0.0% | |||
Dynasty Acquisition Co., Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 3.7539% 4/8/26 (f)(j)(l) | 1,491,225 | 1,439,703 | |
Airlines - 0.1% | |||
Mileage Plus Holdings LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.250% 6.25% 7/2/27 (f)(j)(l) | 3,420,000 | 3,646,780 | |
SkyMiles IP Ltd. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.75% 10/20/27 (f)(j)(l) | 2,060,000 | 2,178,883 | |
5,825,663 | |||
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 (f)(j)(l) | 1,437,850 | 1,430,517 | |
Filtration Group Corp.: | |||
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.5% 3/29/25 (f)(j)(l) | 399,000 | 400,297 | |
Tranche B, term loan 3 month U.S. LIBOR + 3.000% 3.1145% 3/29/25 (f)(j)(l) | 374,000 | 371,584 | |
GFL Environmental, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 4.7016% 5/31/25 (f)(j)(l) | 427,597 | 429,381 | |
West Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 5.5678% 10/10/24 (f)(j)(l) | 5,930,566 | 5,844,929 | |
8,476,708 | |||
Construction & Engineering - 0.0% | |||
Landry's Finance Acquisition Co. Tranche B 1LN, term loan 3 month U.S. LIBOR + 12.000% 13% 10/4/23 (f)(j)(l) | 35,863 | 40,884 | |
Machinery - 0.0% | |||
Apex Tool Group, LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.500% 8/21/24 (j)(l)(m) | 1,698,968 | 1,696,368 | |
Welbilt, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.500% 4.5435% 10/23/25 (f)(j)(l) | 150,000 | 146,250 | |
1,842,618 | |||
Professional Services - 0.1% | |||
Dun & Bradstreet Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 2/8/26 (j)(l)(m) | 2,740,590 | 2,744,016 | |
TOTAL INDUSTRIALS | 20,369,592 | ||
INFORMATION TECHNOLOGY - 0.7% | |||
Communications Equipment - 0.0% | |||
Radiate Holdco LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 4.25% 9/10/26 (f)(j)(l) | 1,000,000 | 1,002,950 | |
Electronic Equipment & Components - 0.0% | |||
Tiger Merger Sub Co. 1LN, term loan 3 month U.S. LIBOR + 3.500% 7/1/25 (j)(l)(m) | 648,375 | 652,427 | |
IT Services - 0.3% | |||
Acuris Finance U.S., Inc. 1LN, term loan 3 month U.S. LIBOR + 4.000% 4.5% 2/4/28 (f)(j)(l) | 490,000 | 492,450 | |
Camelot Finance SA Tranche B, term loan 3 month U.S. LIBOR + 3.000% 3.1145% 10/31/26 (f)(j)(l) | 1,595,000 | 1,593,804 | |
Northwest Fiber LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 3.8659% 4/30/27 (f)(j)(l) | 1,735,000 | 1,740,431 | |
Peraton Corp.: | |||
2LN, term loan 0% 2/8/29 (f)(l) | 550,000 | 552,063 | |
Tranche B 1LN, term loan: | |||
1 month U.S. LIBOR + 3.750% 8/3/26(j)(l)(m) | 2,359,375 | 2,368,223 | |
3 month U.S. LIBOR + 3.750% 2/22/28 (j)(l)(m) | 1,585,000 | 1,590,944 | |
3 month U.S. LIBOR + 3.750% 2/22/28 (j)(l)(m) | 1,340,625 | 1,345,652 | |
Rackspace Hosting, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 3.5% 2/2/28 (f)(j)(l) | 1,550,000 | 1,548,807 | |
RP Crown Parent, LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 10/12/23 (j)(l)(m) | 500,078 | 500,703 | |
Sabre GLBL, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 4.75% 12/17/27 (f)(j)(l) | 885,000 | 894,408 | |
Tempo Acquisition LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 3.3645% 10/31/26 (f)(j)(l) | 2,728,145 | 2,730,410 | |
Verscend Holding Corp. Tranche B, term loan 3 month U.S. LIBOR + 4.500% 4.6145% 8/27/25 (f)(j)(l) | 997,449 | 1,002,137 | |
16,360,032 | |||
Software - 0.4% | |||
Ascend Learning LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.75% 7/12/24 (f)(j)(l) | 1,047,375 | 1,049,124 | |
Boxer Parent Co., Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.250% 4.3708% 10/2/25 (f)(j)(l) | 197,353 | 197,328 | |
Finastra U.S.A., Inc.: | |||
Tranche 2LN, term loan 3 month U.S. LIBOR + 7.250% 8.25% 6/13/25 (f)(j)(l) | 2,450,000 | 2,463,402 | |
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 4.5% 6/13/24 (f)(j)(l) | 430,000 | 425,343 | |
Greeneden U.S. Holdings II LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 4.75% 12/1/27 (f)(j)(l) | 925,000 | 928,469 | |
Informatica Corp. Tranche B 1LN, term loan: | |||
3 month U.S. LIBOR + 3.250% 2/14/27 (j)(l)(m) | 521,063 | 519,749 | |
7.125% 2/14/25 (l) | 475,000 | 485,987 | |
McAfee LLC Tranche B, term loan 3 month U.S. LIBOR + 3.750% 3.8645% 9/29/24 (f)(j)(l) | 4,491,613 | 4,500,282 | |
RealPage, Inc. 2LN, term loan 3 month U.S. LIBOR + 0.000% 2/17/29 (j)(l)(m) | 1,350,000 | 1,377,000 | |
Renaissance Holding Corp. Tranche B 2LN, term loan 3 month U.S. LIBOR + 7.000% 8.7994% 5/31/26 (f)(j)(l) | 690,000 | 687,930 | |
Solera LLC Tranche B, term loan 3 month U.S. LIBOR + 2.750% 2.8645% 3/3/23 (f)(j)(l) | 1,097,120 | 1,095,398 | |
TIBCO Software, Inc.: | |||
2LN, term loan 3 month U.S. LIBOR + 7.750% 2/14/28 (j)(l)(m) | 2,000,000 | 2,018,760 | |
Tranche B2 1LN, term loan 3 month U.S. LIBOR + 3.750% 7/3/26 (j)(l)(m) | 3,892,732 | 3,882,027 | |
UKG, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 4.75% 5/3/26 (f)(j)(l) | 5,646,363 | 5,678,490 | |
Ultimate Software Group, Inc. 2LN, term loan 3 month U.S. LIBOR + 6.750% 7.5% 5/3/27 (f)(j)(l) | 3,510,000 | 3,619,688 | |
28,928,977 | |||
TOTAL INFORMATION TECHNOLOGY | 46,944,386 | ||
MATERIALS - 0.1% | |||
Chemicals - 0.1% | |||
Hexion, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 3.74% 7/1/26 (f)(j)(l) | 1,341,929 | 1,335,219 | |
PQ Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 2/7/27 (j)(l)(m) | 1,139,785 | 1,140,639 | |
Solenis International LP: | |||
Tranche 1LN, term loan 3 month U.S. LIBOR + 4.000% 12/18/23 (j)(l)(m) | 3,035,743 | 3,035,925 | |
Tranche B 1LN, term loan 3 month U.S. LIBOR + 8.500% 6/18/24 (j)(l)(m) | 3,340,000 | 3,337,228 | |
Starfruit U.S. Holdco LLC Tranche B, term loan 3 month U.S. LIBOR + 3.000% 3.111% 10/1/25 (f)(j)(l) | 989,660 | 986,305 | |
9,835,316 | |||
Construction Materials - 0.0% | |||
U.S. Concrete, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 5/1/25 (j)(l)(m) | 548,622 | 543,135 | |
TOTAL MATERIALS | 10,378,451 | ||
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 (j)(l)(m) | 989,873 | 963,206 | |
UTILITIES - 0.0% | |||
Electric Utilities - 0.0% | |||
Brookfield WEC Holdings, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 3.25% 8/1/25 (f)(j)(l) | 792,977 | 790,868 | |
ExGen Renewables IV, LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 3.75% 12/15/27 (f)(j)(l) | 585,000 | 587,779 | |
Heritage Power LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.750% 6/28/26 (j)(l)(m) | 1,745,570 | 1,672,692 | |
3,051,339 | |||
TOTAL BANK LOAN OBLIGATIONS | |||
(Cost $165,733,595) | 168,294,908 | ||
Shares | Value | ||
Fixed-Income Funds - 52.9% | |||
High Yield Fixed-Income Funds - 52.9% | |||
Artisan High Income Fund Investor Shares | 80,862,766 | 823,182,961 | |
BlackRock High Yield Bond Portfolio Class K | 110,704,480 | 862,387,807 | |
Eaton Vance Income Fund of Boston Class A | 52,165,770 | 290,041,682 | |
Fidelity Capital & Income Fund (n) | 57,282,024 | 630,675,085 | |
iShares iBoxx $ High Yield Corporate Bond ETF | 37,100 | 3,206,924 | |
MainStay High Yield Corporate Bond Fund Class A | 104,331,585 | 586,343,507 | |
Vanguard High-Yield Corporate Fund Admiral Shares | 102,958,265 | 611,572,096 | |
TOTAL FIXED-INCOME FUNDS | |||
(Cost $3,586,873,467) | 3,807,410,062 | ||
Principal Amount(a) | Value | ||
Preferred Securities - 0.1% | |||
ENERGY - 0.0% | |||
Oil, Gas & Consumable Fuels - 0.0% | |||
DCP Midstream Partners LP 7.375% (f)(o) | 700,000 | 619,779 | |
FINANCIALS - 0.1% | |||
Banks - 0.1% | |||
Banco Do Brasil SA 9% (Reg. S) (f)(o) | 1,600,000 | 1,768,223 | |
Citigroup, Inc. 3.875% (f)(o) | 1,625,000 | 1,617,805 | |
Itau Unibanco Holding SA 6.125% (d)(f)(o) | 1,515,000 | 1,540,311 | |
4,926,339 | |||
INDUSTRIALS - 0.0% | |||
Industrial Conglomerates - 0.0% | |||
General Electric Co. 3.5205% (f)(j)(o) | 2,795,000 | 2,689,195 | |
UTILITIES - 0.0% | |||
Multi-Utilities - 0.0% | |||
NiSource, Inc. 5.65% (f)(o) | 795,000 | 828,229 | |
TOTAL PREFERRED SECURITIES | |||
(Cost $8,453,096) | 9,063,542 | ||
U.S. Government and Government Agency Obligations - 0.0% | |||
U.S. Treasury Bills, yield at date of purchase 0.09% to 0.1% 11/4/21(p) | |||
(Cost $3,497,742) | 3,500,000 | 3,498,614 | |
Shares | Value | ||
Money Market Funds - 1.4% | |||
Fidelity Cash Central Fund 0.07% (q) | 17,435,224 | 17,438,712 | |
State Street Institutional U.S. Government Money Market Fund Premier Class .03% (r) | 82,572,438 | 82,572,438 | |
TOTAL MONEY MARKET FUNDS | |||
(Cost $100,011,005) | 100,011,150 | ||
TOTAL INVESTMENT IN SECURITIES - 100.1% | |||
(Cost $6,893,743,783) | 7,210,856,199 | ||
NET OTHER ASSETS (LIABILITIES) - (0.1)% | (6,813,443) | ||
NET ASSETS - 100% | $7,204,042,756 |
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) | 115 | June 2021 | $15,262,656 | $(110,809) | $(110,809) |
CBOT 2-Year U.S. Treasury Note Contracts (United States) | 189 | June 2021 | 41,724,703 | (29,949) | (29,949) |
CBOT 5-Year U.S. Treasury Note Contracts (United States) | 272 | June 2021 | 33,719,500 | (288,895) | (288,895) |
CBOT Long Term U.S. Treasury Bond Contracts (United States) | 75 | June 2021 | 11,941,406 | (124,577) | (124,577) |
TOTAL PURCHASED | (544,230) | ||||
Sold | |||||
Treasury Contracts | |||||
CBOT 10-Year U.S. Treasury Note Contracts (United States) | 48 | June 2021 | 6,370,500 | 70,436 | 70,436 |
CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States) | 21 | June 2021 | 3,970,313 | 40,834 | 40,834 |
TOTAL SOLD | 111,270 | ||||
TOTAL FUTURES CONTRACTS | $(442,960) |
The notional amount of futures purchased as a percentage of Net Assets is 1.4%
The notional amount of futures sold as a percentage of Net Assets is 0.1%
Forward Foreign Currency Contracts | ||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation/(Depreciation) | ||
USD | 1,091,007 | EUR | 900,102 | Citibank NA | 5/21/21 | $2,993 |
USD | 1,073,982 | EUR | 886,668 | Citibank NA | 5/21/21 | 2,207 |
USD | 1,093,395 | EUR | 900,102 | HSBC Bank USA | 5/21/21 | 5,381 |
TOTAL FORWARD FOREIGN CURRENCY CONTRACTS | $10,581 | |||||
Unrealized Appreciation | 10,581 | |||||
Unrealized Depreciation | 0 |
Swaps
Underlying Reference | Rating(1) | Maturity Date | Clearinghouse / Counterparty(2) | Fixed Payment Received/(Paid) | Payment Frequency | Notional Amount(3) | Value(1) | Upfront Premium Received/(Paid)(4) | Unrealized Appreciation/(Depreciation) |
Credit Default Swaps | |||||||||
Sell Protection | |||||||||
American Airlines Group, Inc. | NR | Dec. 2021 | Citibank, N.A. | 5% | Quarterly | $545,000 | $(6,366) | $28,639 | $22,273 |
CDX N.A. HY Series 35 5YR | NR | Dec. 2025 | ICE | 5% | Quarterly | 57,600,000 | 183,830 | 0 | 183,830 |
Royal Caribbean Cruises Ltd. | NR | Dec. 2023 | Citibank, N.A. | 5% | Quarterly | 860,000 | 40,424 | 22,601 | 63,025 |
TOTAL CREDIT DEFAULT SWAPS | $217,888 | $51,240 | $269,128 | ||||||
(1) Ratings are presented for credit default swaps in which the Fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent a weighted average of the ratings of all securities included in the index. The credit rating or value can be measures of the current payment/performance risk. Ratings are from Moody's Investors Service, Inc. Where Moody's® ratings are not available, S&P® ratings are disclosed and are indicated as such. All ratings are as of the report date and do not reflect subsequent changes.
(2) Swaps with Intercontinental Exchange (ICE) are centrally cleared over-the-counter (OTC) swaps.
(3) The notional amount of each credit default swap where the Fund has sold protection approximates the maximum potential amount of future payments that the Fund could be required to make if a credit event were to occur.
(4) 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).
Currency Abbreviations
EUR – European Monetary Unit
GBP – British pound
Security Type Abbreviations
ETF – Exchange-Traded Fund
Legend
(a) Amount is stated in United States dollars unless otherwise noted.
(b) Restricted securities (including private placements) - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $890,231 or 0.0% of net assets.
(c) Level 3 security
(d) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $2,217,676,541 or 30.8% of net assets.
(e) 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.
(f) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(g) Security or a portion of the security purchased on a delayed delivery or when-issued basis.
(h) Non-income producing - Security is in default.
(i) A portion of the security sold on a delayed delivery basis.
(j) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
(k) Non-income producing
(l) 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.
(m) The coupon rate will be determined upon settlement of the loan after period end.
(n) Affiliated Fund
(o) Security is perpetual in nature with no stated maturity date.
(p) 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 $9,996.
(q) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.
(r) 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 |
Chesapeake Energy Corp. | 2/10/21 | $6,099 |
Mesquite Energy, Inc. 15% 7/15/23 | 11/5/20 - 1/15/21 | $864,624 |
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 | $51,165 |
Total | $51,165 |
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 | $552,373,026 | $114,005,045 | $16,323,275 | $566,512 | $44,056,018 | $630,675,085 |
Total | $147,684,574 | $552,373,026 | $114,005,045 | $16,323,275 | $566,512 | $44,056,018 | $630,675,085 |
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 February 28, 2021, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Equities: | ||||
Communication Services | $2,055,223 | $2,055,223 | $-- | $-- |
Consumer Discretionary | -- | -- | -- | -- |
Energy | 7,534,382 | 6,323,484 | 25,607 | 1,185,291 |
Health Care | 6,315,157 | -- | 6,315,157 | -- |
Materials | 1,191,600 | 1,191,600 | -- | -- |
Utilities | 9,968,999 | 2,196,225 | 7,772,774 | -- |
Corporate Bonds | 3,095,512,562 | -- | 3,093,699,704 | 1,812,858 |
Bank Loan Obligations | 168,294,908 | -- | 168,294,908 | -- |
Fixed-Income Funds | 3,807,410,062 | 3,807,410,062 | -- | -- |
Preferred Securities | 9,063,542 | -- | 9,063,542 | -- |
Money Market Funds | 100,011,150 | 100,011,150 | -- | -- |
Other Short-Term Investments | 3,498,614 | -- | 3,498,614 | -- |
Total Investments in Securities: | $7,210,856,199 | $3,919,187,744 | $3,288,670,306 | $2,998,149 |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $111,270 | $111,270 | $-- | $-- |
Forward Foreign Currency Contracts | 10,581 | -- | 10,581 | -- |
Swaps | 224,254 | -- | 224,254 | -- |
Total Assets | $346,105 | $111,270 | $234,835 | $-- |
Liabilities | ||||
Futures Contracts | $(554,230) | $(554,230) | $-- | $-- |
Forward Foreign Currency Contracts | -- | -- | -- | -- |
Swaps | (6,366) | -- | (6,366) | -- |
Total Liabilities | $(560,596) | $(554,230) | $(6,366) | $-- |
Total Derivative Instruments: | $(214,491) | $(442,960) | $228,469 | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of February 28, 2021. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
Primary Risk Exposure / Derivative Type | Value | |
Asset | Liability | |
Credit Risk | ||
Swaps(a),(b) | $224,254 | $(6,366) |
Total Credit Risk | 224,254 | (6,366) |
Foreign Exchange Risk | ||
Forward Foreign Currency Contracts(c) | 10,581 | 0 |
Total Foreign Exchange Risk | 10,581 | 0 |
Interest Rate Risk | ||
Futures Contracts(d) | 111,270 | (554,230) |
Total Interest Rate Risk | 111,270 | (554,230) |
Total Value of Derivatives | $346,105 | $(560,596) |
(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) 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).
(c) Gross value is presented in the Statement of Assets and Liabilities in the unrealized appreciation/depreciation on forward foreign currency contracts line-items.
(d) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
February 28, 2021 | ||
Assets | ||
Investment in securities, at value — See accompanying schedule: Unaffiliated issuers (cost $6,326,607,368) | $6,562,742,402 | |
Fidelity Central Funds (cost $17,438,567) | 17,438,712 | |
Other affiliated issuers (cost $549,697,848) | 630,675,085 | |
Total Investment in Securities (cost $6,893,743,783) | $7,210,856,199 | |
Segregated cash with brokers for derivative instruments | 5,090,000 | |
Cash | 387,005 | |
Foreign currency held at value (cost $232,290) | 231,313 | |
Receivable for investments sold | ||
Regular delivery | 36,742,058 | |
Delayed delivery | 150,969 | |
Unrealized appreciation on forward foreign currency contracts | 10,581 | |
Receivable for fund shares sold | 3,062,055 | |
Dividends receivable | 14,165,066 | |
Interest receivable | 45,409,848 | |
Distributions receivable from Fidelity Central Funds | 1,285 | |
Receivable for daily variation margin on futures contracts | 39,421 | |
Bi-lateral OTC swaps, at value | 40,424 | |
Other receivables | 63,106 | |
Total assets | 7,316,249,330 | |
Liabilities | ||
Payable for investments purchased | ||
Regular delivery | $69,328,333 | |
Delayed delivery | 37,948,750 | |
Payable for fund shares redeemed | 2,175,719 | |
Distributions payable | 126,938 | |
Bi-lateral OTC swaps, at value | 6,366 | |
Accrued management fee | 751,959 | |
Payable for daily variation margin on centrally cleared OTC swaps | 899,583 | |
Other payables and accrued expenses | 968,926 | |
Total liabilities | 112,206,574 | |
Net Assets | $7,204,042,756 | |
Net Assets consist of: | ||
Paid in capital | $7,011,334,953 | |
Total accumulated earnings (loss) | 192,707,803 | |
Net Assets | $7,204,042,756 | |
Net Asset Value, offering price and redemption price per share ($7,204,042,756 ÷ 752,083,908 shares) | $9.58 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Year ended February 28, 2021 | ||
Investment Income | ||
Dividends: | ||
Unaffiliated issuers | $116,317,834 | |
Affiliated issuers | 11,973,338 | |
Interest | 101,368,538 | |
Income from Fidelity Central Funds | 51,165 | |
Total income | 229,710,875 | |
Expenses | ||
Management fee | $16,350,582 | |
Custodian fees and expenses | 40,508 | |
Independent trustees' fees and expenses | 39,038 | |
Registration fees | 189,289 | |
Audit | 49,929 | |
Legal | 12,063 | |
Interest | 717 | |
Miscellaneous | 291,049 | |
Total expenses before reductions | 16,973,175 | |
Expense reductions | (11,012,976) | |
Total expenses after reductions | 5,960,199 | |
Net investment income (loss) | 223,750,676 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | (4,578,317) | |
Fidelity Central Funds | 168 | |
Other affiliated issuers | 566,512 | |
Forward foreign currency contracts | (213,605) | |
Foreign currency transactions | 36,844 | |
Futures contracts | (796,310) | |
Swaps | 702,218 | |
Capital gain distributions from underlying funds: | ||
Affiliated issuers | 4,349,937 | |
Total net realized gain (loss) | 67,447 | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers | 230,862,951 | |
Affiliated issuers | 44,056,018 | |
Forward foreign currency contracts | 10,581 | |
Assets and liabilities in foreign currencies | 346 | |
Futures contracts | (442,960) | |
Swaps | (379,628) | |
Total change in net unrealized appreciation (depreciation) | 274,107,308 | |
Net gain (loss) | 274,174,755 | |
Net increase (decrease) in net assets resulting from operations | $497,925,431 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Year ended February 28, 2021 | Year ended February 29, 2020 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $223,750,676 | $124,500,037 |
Net realized gain (loss) | 67,447 | 15,403,545 |
Change in net unrealized appreciation (depreciation) | 274,107,308 | (11,198,658) |
Net increase (decrease) in net assets resulting from operations | 497,925,431 | 128,704,924 |
Distributions to shareholders | (215,618,456) | (128,212,511) |
Share transactions | ||
Proceeds from sales of shares | 5,331,038,074 | 264,458,141 |
Reinvestment of distributions | 213,924,130 | 92,688,234 |
Cost of shares redeemed | (665,279,956) | (958,070,158) |
Net increase (decrease) in net assets resulting from share transactions | 4,879,682,248 | (600,923,783) |
Total increase (decrease) in net assets | 5,161,989,223 | (600,431,370) |
Net Assets | ||
Beginning of period | 2,042,053,533 | 2,642,484,903 |
End of period | $7,204,042,756 | $2,042,053,533 |
Other Information | ||
Shares | ||
Sold | 582,425,242 | 27,921,160 |
Issued in reinvestment of distributions | 23,146,938 | 9,796,252 |
Redeemed | (72,541,960) | (101,436,177) |
Net increase (decrease) | 533,030,220 | (63,718,765) |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Strategic Advisers Income Opportunities Fund
Years ended February 28, | 2021 | 2020 A | 2019 | 2018 | 2017 |
Selected Per–Share Data | |||||
Net asset value, beginning of period | $9.32 | $9.34 | $9.53 | $9.57 | $8.48 |
Income from Investment Operations | |||||
Net investment income (loss)B | .473 | .515 | .513 | .489 | .493 |
Net realized and unrealized gain (loss) | .241 | (.001) | (.222) | (.050) | 1.091 |
Total from investment operations | .714 | .514 | .291 | .439 | 1.584 |
Distributions from net investment income | (.454) | (.530) | (.469) | (.479) | (.494) |
Distributions from net realized gain | – | (.004) | (.012) | – | – |
Total distributions | (.454) | (.534) | (.481) | (.479) | (.494) |
Net asset value, end of period | $9.58 | $9.32 | $9.34 | $9.53 | $9.57 |
Total ReturnC | 8.05% | 5.57% | 3.21% | 4.66% | 19.08% |
Ratios to Average Net AssetsD,E | |||||
Expenses before reductions | .39% | .34% | .36% | .38% | .29% |
Expenses net of fee waivers, if any | .14% | .09% | .11% | .13% | .04% |
Expenses net of all reductions | .14% | .09% | .11% | .13% | .04% |
Net investment income (loss) | 5.10% | 5.44% | 5.49% | 5.09% | 5.40% |
Supplemental Data | |||||
Net assets, end of period (000 omitted) | $7,204,043 | $2,042,054 | $2,642,485 | $3,047,435 | $3,318,071 |
Portfolio turnover rateF | 43% | 40% | 22% | 33% | 38% |
A For the year ended February 29.
B Calculated based on average shares outstanding during the period.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
E Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
F Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements
For the period ended February 28, 2021
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 any underlying mutual funds or exchange-traded funds (ETFs) as an investment of the Fund but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
- Level 1 – quoted prices in active markets for identical investments
- Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
- Level 3 – unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value the Fund's investments by major category are as follows:
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Corporate bonds, bank loan obligations, 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. 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. 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.
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.
The U.S. dollar value of foreign currency contracts is determined using currency exchange rates supplied by a pricing service and are categorized as Level 2 in the hierarchy. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. 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 February 28, 2021 is included at the end of the Fund's Schedule of Investments.
Foreign Currency. Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received, and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Realized gains and losses on foreign currency transactions arise from the disposition of foreign currency, realized changes in the value of foreign currency between the trade and settlement dates on security transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on transaction date and the U.S. dollar equivalent of the amounts actually received or paid. Unrealized gains and losses on assets and liabilities in foreign currencies arise from changes in the value of foreign currency, and from assets and liabilities denominated in foreign currencies, other than investments, which are held at period end.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Income and capital gain distributions from any underlying mutual funds or exchange-traded funds (ETFs) are recorded on the ex-dividend date. Certain distributions received by the Fund represent a return of capital or capital gain. The Fund determines the components of these distributions subsequent to the ex-dividend date, based upon receipt of tax filings or other correspondence relating to the underlying investment. These distributions are recorded as a reduction of cost of investments and/or as a realized gain. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Paid in Kind (PIK) income is recorded at the fair market value of the securities received. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of the Fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds (ETFs). Although not included in the Fund's expenses, the Fund indirectly bears its proportionate share of any underlying mutual funds or exchange-traded funds (ETFs) expenses through the impact of these expenses on each underlying mutual fund's or exchange-traded fund's (ETFs) 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) for certain Funds, certain independent Trustees have elected to defer receipt of a portion of their annual compensation. Deferred amounts are invested in affiliated mutual funds, are marked-to-market and remain in a fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees presented below are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, as applicable.
Strategic Advisers Income Opportunities Fund | $63,106 |
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of February 28, 2021, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.
Distributions are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to the short-term gain distributions from the underlying mutual funds or exchange-traded funds (ETFs), futures contracts, swaps, foreign currency transactions, market discount, partnerships, equity-debt classifications and contingent interest, 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 | $343,600,300 |
Gross unrealized depreciation | (24,909,721) |
Net unrealized appreciation (depreciation) | $318,690,579 |
Tax Cost | $6,892,147,036 |
The tax-based components of distributable earnings as of period end were as follows:
Undistributed ordinary income | $3,033,811 |
Capital loss carryforward | $(128,668,252) |
Net unrealized appreciation (depreciation) on securities and other investments | $318,456,260 |
Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of fiscal period end and is subject to adjustment.
No expiration | |
Short-term | $(4,873,923) |
Long-term | (123,794,329) |
Total capital loss carryforward | $(128,668,252) |
The tax character of distributions paid was as follows:
February 28, 2021 | February 29, 2020 | |
Ordinary Income | $215,618,456 | $ 128,212,511 |
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, forward foreign currency 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, to gain exposure to certain types of assets, to facilitate transactions in foreign-denominated securities and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.
The Fund's use of derivatives increased or decreased its exposure to the following risks:
Credit Risk | Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to the Fund. |
Foreign Exchange Risk | Foreign exchange rate risk relates to fluctuations in the value of an asset or liability due to changes in currency exchange rates. |
Interest Rate Risk | Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates. |
The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives such as forward foreign currency contracts 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. 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 | $702,218 | $(379,628) |
Total Credit Risk | 702,218 | (379,628) |
Foreign Exchange Risk | ||
Forward Foreign Currency Contracts | (213,605) | 10,581 |
Total Foreign Exchange Risk | (213,605) | 10,581 |
Interest Rate Risk | ||
Futures Contracts | (796,310) | (442,960) |
Total Interest Rate Risk | (796,310) | (442,960) |
Totals | $(307,697) | $(812,007) |
A summary of the value of derivatives by primary risk exposure as of period end is included at the end of the Schedule of Investments.
Forward Foreign Currency Contracts. Forward foreign currency contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into. The Fund used forward foreign currency contracts to facilitate transactions in foreign-denominated securities and to manage exposure to certain foreign currencies.
Forward foreign currency contracts are valued daily and fluctuations in exchange rates on open contracts are recorded as unrealized appreciation or (depreciation) and reflected in the Statement of Assets and Liabilities. When the contract is closed, the Fund realizes a gain or loss equal to the difference between the closing value and the value at the time it was opened. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on forward foreign currency contracts during the period is presented in the Statement of Operations.
Any open forward foreign currency contracts at period end are presented in the Schedule of Investments under the caption "Forward Foreign Currency Contracts." The contract amount and unrealized appreciation (depreciation) reflects each contract's exposure to the underlying currency at period end and is representative of volume of activity during the period.
Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. The Fund used futures contracts to manage its exposure to the bond market and fluctuations in interest rates.
Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments (variation margin) are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is presented in the Statement of Operations.
Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The notional amount at value reflects each contract's exposure to the underlying instrument or index at period end and is representative of volume of activity during the period. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Cash deposited to meet initial margin requirements is presented as segregated cash with brokers for derivative instruments in the Statement of Assets and Liabilities.
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. Cash deposited to meet initial margin requirements is presented in segregated cash with brokers for derivative instruments in the Statement of Assets and Liabilities. 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.
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 | 6,825,552,151 | 1,917,679,002 |
Exchanges In-Kind. During the period, the Fund redeemed 80,136,437 shares of T. Rowe Price High Yield Fund Advisor Class in exchange for investments, including accrued interest, and cash with a value with a value of $510,469,102. The net realized gain of $15,328,811 on the Fund's redemptions of T. Rowe Price High Yield Fund Advisor Class shares are included in "Net realized gain (loss) on Investment securities: Unaffiliated issuers" in the accompanying Statement of Operations. The Fund recognized a net realized gain 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 .75% of the Fund's average net assets. For the reporting period, the total annual management fee rate was .37% of the Fund's average net assets.
During the period, the investment adviser waived a portion of its management fee as described in the Expense Reductions note.
Sub-Adviser. FIAM LLC (an affiliate of the investment adviser), PGIM, Inc. 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 Income Opportunities Fund | $408 |
Interfund Trades. Funds may purchase from or sell securities to other funds affiliated with each sub-adviser under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.
6. Investments in Fidelity Central Funds.
The Fund invests in Fidelity Central Funds, which are open-end investment companies available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
The Fidelity Money Market Central Funds are managed by FMR. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date ranged from less than .005% to .01%.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC website or upon request.
7. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below.
Amount | |
Strategic Advisers Income Opportunities Fund | $7,784 |
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 | $10,579,500 | 1.22% | $717 |
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 $ 11,007,319.
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 expenses. This amount totaled $251 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 $5,406.
10. Other.
The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
11. Coronavirus (COVID-19) Pandemic.
An outbreak of COVID-19 first detected in China during December 2019 has since spread globally and was declared a pandemic by the World Health Organization during March 2020. Developments that disrupt global economies and financial markets, such as the COVID-19 pandemic, may magnify factors that affect the Fund's performance.
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Fidelity Rutland Square Trust II and Shareholders of Strategic Advisers Income Opportunities Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Strategic Advisers Income Opportunities Fund (one of the funds constituting Fidelity Rutland Square Trust II, referred to hereafter as the “Fund”) as of February 28, 2021, the related statement of operations for the year ended February 28, 2021, the statement of changes in net assets for each of the two years in the period ended February 28, 2021, including the related notes, and the financial highlights for each of the five years in the period ended February 28, 2021 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of February 28, 2021, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended February 28, 2021 and the financial highlights for each of the five years in the period ended February 28, 2021 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of February 28, 2021 by correspondence with the custodian, issuers of privately offered securities, agent banks and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
Boston, Massachusetts
April 21, 2021
We have served as the auditor of one or more investment companies in the Fidelity group of funds since 1932.
Trustees and Officers
The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance. If the interests of the fund and an underlying Fidelity® fund were to diverge, a conflict of interest could arise and affect how the Trustees and Members of the Advisory Board fulfill their fiduciary duties to the affected funds. Strategic Advisers has structured the fund to avoid these potential conflicts, although there may be situations where a conflict of interest is unavoidable. In such instances, Strategic Advisers, the Trustees, and Members of the Advisory Board would take reasonable steps to minimize and, if possible, eliminate the conflict. Each of the Trustees oversees 12 funds.
The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. Each Independent Trustee shall retire not later than the last day of the calendar year in which his or her 75th birthday occurs. The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees. Officers and Advisory Board Members hold office without limit in time, except that any officer or Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.
Each Trustee who is not an interested person (as defined in the 1940 Act) of the trust and the fund is referred to herein as an Independent Trustee.
The fund’s Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-3455.
Experience, Skills, Attributes, and Qualifications of the Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee may also engage professional search firms to help identify potential Independent Trustee candidates with experience, qualifications, attributes, and skills consistent with the Statement of Policy. Additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, may be considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.
In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.
Board Structure and Oversight Function. Robert A. Lawrence is an interested person and currently serves as Chairman. The Trustees have determined that an interested Chairman is appropriate and benefits shareholders because an interested Chairman has a personal and professional stake in the quality and continuity of services provided to the fund. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chairman, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chairman and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session. Mary C. Farrell serves as the lead Independent Trustee and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.
Fidelity® funds are overseen by different Boards of Trustees. The fund's Board oversees asset allocation funds. Other Boards oversee Fidelity's investment-grade bond, money market, and asset allocation funds, and Fidelity's equity and high income funds. The fund may invest in Fidelity® funds overseen by such other Boards. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity® funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues.
The Trustees primarily operate as a full Board, but also operate in committees, to facilitate the timely and efficient consideration of all matters of importance to the Trustees, the fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the fund's activities and associated risks. The Board has charged Strategic Advisers and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the fund's business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above. Because the day-to-day operations and activities of the fund are carried out by or through Strategic Advisers, its affiliates and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees. Board oversight of different aspects of the fund's activities is exercised primarily through the full Board, but also through the Audit and Compliance Committee. Appropriate personnel, including but not limited to the fund's Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the fund's Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate. The responsibilities of each standing committee, including their oversight responsibilities, are described further under "Standing Committees of the Trustees."
Interested Trustees*:
Correspondence intended for a Trustee who is an interested person may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Robert A. Lawrence (1952)
Year of Election or Appointment: 2016
Trustee
Chairman of the Board of Trustees
Mr. Lawrence also serves as Trustee of other funds. Previously, Mr. Lawrence served as a Member of the Advisory Board of certain funds. Prior to his retirement in 2008, Mr. Lawrence served as Vice President of certain Fidelity® funds (2006-2008), Senior Vice President, Head of High Income Division of Fidelity Management & Research Company (investment adviser firm, 2006-2008), and President of Fidelity Strategic Investments (investment adviser firm, 2002-2005).
Charles S. Morrison (1960)
Year of Election or Appointment: 2020
Trustee
Mr. Morrison also serves as Trustee of other funds. Previously, Mr. Morrison served as President (2017-2018) and Director (2014-2018) of Fidelity SelectCo, LLC (investment adviser firm), President of Fidelity Management & Research Company (FMR) (investment adviser firm, 2016-2018), a Director of Fidelity Investments Money Management, Inc. (investment adviser firm, 2014-2018), President, Asset Management (2014-2018), Trustee of the Fidelity Equity and High Income Funds (283 funds as of December 2018) (2014-2018), and was an employee of Fidelity Investments. Mr. Morrison also previously served as Vice President of Fidelity's Fixed Income and Asset Allocation Funds (2012-2014), President, Fixed Income (2011-2014), Vice President of Fidelity's Money Market Funds (2005-2009), President, Money Market Group Leader of FMR (2009), and Senior Vice President, Money Market Group of FMR (2004-2009). Mr. Morrison also served as Vice President of Fidelity's Bond Funds (2002-2005), certain Balanced Funds (2002-2005), and certain Asset Allocation Funds (2002-2007), and as Senior Vice President (2002-2005) of Fidelity's Bond Division.
* Determined to be an "Interested Trustee" by virtue of, among other things, his or her affiliation with the trust or various entities under common control with Strategic Advisers.
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Independent Trustees:
Correspondence intended for an Independent Trustee may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Peter C. Aldrich (1944)
Year of Election or Appointment: 2006
Trustee
Mr. Aldrich also serves as Trustee of other funds. Mr. Aldrich is a Director of the U.S. Core Property Fund (and, previously, other funds) of BlackRock Realty Group (2006-present). Previously, Mr. Aldrich served as a Managing Member of Poseidon, LLC (foreign private investment, 1998-2004), and Chairman and Managing Member of AEGIS, LLC (foreign private investment, 1997-2004). Mr. Aldrich previously was a founder, Chief Executive Officer, and Chairman of AEW Capital Management, L.P. (then “Aldrich, Eastman and Waltch, L.P.”). Mr. Aldrich also served as a Director of LivelyHood, Inc. (private corporation, 2013-2020), a Trustee for the Fidelity Rutland Square Trust (2005-2010), a Director of Zipcar, Inc. (car sharing services, 2001-2009) and as Faculty Chairman of The Research Council on Global Investment of The Conference Board (business and professional education non-profit, 1999-2004). Mr. Aldrich is a Member Emeritus of the Board of Directors of the National Bureau of Economic Research, the Board of Trustees of the Museum of Fine Arts Boston and the Board of Overseers of the Massachusetts Eye and Ear Infirmary.
Mary C. Farrell (1949)
Year of Election or Appointment: 2013
Trustee
Ms. Farrell also serves as Trustee of other funds. Ms. Farrell is a Director of the W.R. Berkley Corporation (insurance provider) and President (2009-present) and Director (2006-present) of the Howard Gilman Foundation (charitable organization). Previously, Ms. Farrell was Managing Director and Chief Investment Strategist at UBS Wealth Management USA and Co-Head of UBS Wealth Management Investment Strategy & Research Group (2003-2005). Ms. Farrell also served as Investment Strategist at PaineWebber (1982-2000) and UBS PaineWebber (2000-2002). Ms. Farrell serves as Chairman of the Board of Trustees of Yale-New Haven Hospital and Vice Chairman of the Yale New Haven Health System Board and previously served as Trustee on the Board of Overseers of the New York University Stern School of Business.
Karen Kaplan (1960)
Year of Election or Appointment: 2006
Trustee
Ms. Kaplan also serves as Trustee of other funds. Ms. Kaplan is Chairman (2014-present) and Chief Executive Officer (2013-present) of Hill Holliday (advertising and specialized marketing). Ms. Kaplan is a Director of The Michaels Companies, Inc. (specialty retailer, 2015-present), Member of the Board of Governors of the Chief Executives’ Club of Boston (2010-present), Member of the Executive Committee of the Greater Boston Chamber of Commerce (2006-present), Advisory Board Member of the National Association of Corporate Directors Chapter (2012-present), Member of the Board of Trustees of the Post Office Square Trust (2012-present), Trustee of the Brigham and Women’s Hospital (2016-present), Overseer of the Boston Symphony Orchestra (2014-present), Member of the Board of Directors of The Advertising Council, Inc. (2016-present), Member of the Ron Burton Training Village Executive Board of Advisors (2018-present), Member of the Executive Committee of The Ad Council, Inc. (2019-present), and Member of the Board of Directors of The Ad Club of Boston (2020-present). Previously, Ms. Kaplan served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010), a member of the Clinton Global Initiative (2010-2015), Director of DSM (dba Delta Dental and DentaQuest) (2004-2014), Formal Appointee of the 2015 Baker-Polito Economic Development Council, Director of Vera Bradley Inc. (designer of women’s accessories, 2012-2015), Member of the Board of Directors of the Massachusetts Conference for Women (2008-2015), Member of the Board of Directors of Jobs for Massachusetts (2012-2015), President of the Massachusetts Women’s Forum (2008-2010), Treasurer of the Massachusetts Women’s Forum (2002-2006), and Vice Chair of the Board of the Massachusetts Society for the Prevention of Cruelty to Children (2003-2010).
Christine Marcks (1955)
Year of Election or Appointment: 2020
Trustee
Ms. Marcks also serves as Trustee of other Funds. Prior to her retirement, Ms. Marcks served as Chief Executive Officer and President – Prudential Retirement (2007-2017) and Vice President for Rollover and Retirement Income Strategies (2005-2007), Prudential Financial, Inc. (financial services). Previously, Ms. Marcks served as a Member of the Advisory Board of certain Fidelity® funds (2019-2020), was Senior Vice President and Head of Financial Horizons (2002-2004) and Vice President, Strategic Marketing (2000-2002) of Voya Financial (formerly ING U.S.) (financial services), held numerous positions at Aetna Financial Services (financial services, 1987-2000) and served as an International Economist for the United States Department of the Treasury (1980-1987). Ms. Marcks also serves as a member of the Board of Trustees, Audit Committee and Benefits & Operations Committee of the YMCA Retirement Fund (2018-present), a non-profit organization providing retirement plan benefits to YMCA staff members, and as a member of the Board of Trustees of Assumption College (2019-present).
Heidi L. Steiger (1953)
Year of Election or Appointment: 2017
Trustee
Ms. Steiger also serves as Trustee of other funds. Ms. Steiger serves as Managing Partner of Topridge Associates, LLC (consulting, 2005-present), a member of the Advisory Board of the joint degree program in Global Luxury Management at North Carolina State University (Raleigh, NC) and Skema (Paris) (2018-present), a Non-Executive Director of CrowdBureau Corporation (financial technology company and index provider, 2018-present), a member of the Board of Directors (2013-present) and Chair of the Audit Committee and member of the Membership and Executive Committees (2017-present) of Business Executives for National Security (nonprofit), and member of the Board of Directors Chair of the Remuneration Committee of Imagine Intelligent Materials Limited (2019-present) (technology company). Previously, Ms. Steiger served as a member of the Global Advisory Board and Of Counsel to Signum Global Advisors (international policy and strategy, 2018-2020), Eastern Region President of The Private Client Reserve of U.S. Bancorp (banking and financial services, 2010-2015), Advisory Director of Berkshire Capital Securities, LLC (financial services, 2009-2010), President and Senior Advisor of Lowenhaupt Global Advisors, LLC (financial services, 2005-2007), and President and Contributing Editor of Worth Magazine (2004-2005) and held a variety of positions at Neuberger Berman Group, LLC (financial services, 1986-2004), including Partner and Executive Vice President and Global Head of Private Asset Management at Neuberger Berman (1999-2004). Ms. Steiger also served as a member of the Board of Directors of Nuclear Electric Insurance Ltd (insurer of nuclear utilities, 2006-2017), a member of the Board of Trustees and Audit Committee of the Eaton Vance Funds (2007-2010), a member of the Board of Directors of Aviva USA (formerly AmerUs) (insurance, 2004-2014), and a member of the Board of Trustees and Audit Committee and Chair of the Investment Committee of CIFG (financial guaranty insurance, 2009-2012), and a member of the Board of Directors of Kin Group Plc (formerly, Fitbug Holdings) (health and technology, 2016-2017).
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Advisory Board Members and Officers:
Correspondence intended for a Member of the Advisory Board (if any) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235. Correspondence intended for an officer or Howard E. Cox, Jr. may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210. Officers appear below in alphabetical order.
Name, Year of Birth; Principal Occupation
Ralph F. Cox (1932)
Year of Election or Appointment: 2020
Member of the Advisory Board
Mr. Cox also serves as a Member of the Advisory Board of other funds. Mr. Cox is President of RABAR Enterprises (management consulting for the petroleum industry). Mr. Cox is a Director of Abraxas Petroleum (exploration and production, 1999-present). Mr. Cox is a member of the Advisory Boards of the Business and Engineering Schools of Texas A&M University and the Engineering School of University of Texas at Austin. Previously, Mr. Cox served as Trustee of other funds (2006-2020), a Trustee for the Fidelity Rutland Square Trust (2005-2010) and as an Advisory Director of CH2M Hill Companies (engineering, 1981-2011). Mr. Ralph F. Cox and Mr. Howard E. Cox, Jr. are not related.
Howard E. Cox, Jr. (1944)
Year of Election or Appointment: 2009
Member of the Advisory Board
Mr. Cox also serves as a Member of the Advisory Board of other funds. Mr. Cox is a Partner of Greylock (venture capital, 1971-present) and a Director of Stryker Corporation (medical products and services, 1974-present). Previously, Mr. Cox served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010). Mr. Cox also serves as a Member of the Secretary of Defense's Business Board of Directors (2008-present), a Director of Business Executives for National Security (1997-present), a Director of the Brookings Institution (2010-present), a Director of the World Economic Forum’s Young Global Leaders Foundation (2009-present), and is a Member of the Harvard Medical School Board of Fellows (2002-present). Mr. Howard E. Cox, Jr. and Mr. Ralph F. Cox are not related.
Craig S. Brown (1977)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Brown also serves as Assistant Treasurer of other funds. Mr. Brown is an employee of Fidelity Investments (2013-present).
John J. Burke III (1964)
Year of Election or Appointment: 2018
Chief Financial Officer
Mr. Burke also serves as Chief Financial Officer of other funds. Mr. Burke serves as Head of Investment Operations for Fidelity Fund and Investment Operations (2018-present) and is an employee of Fidelity Investments (1998-present). Previously Mr. Burke served as head of Asset Management Investment Operations (2012-2018).
Jonathan Davis (1968)
Year of Election or Appointment: 2010
Assistant Treasurer
Mr. Davis also serves as Assistant Treasurer of other funds. Mr. Davis serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments. Previously, Mr. Davis served as Vice President and Associate General Counsel of FMR LLC (diversified financial services company, 2003-2010).
Laura M. Del Prato (1964)
Year of Election or Appointment: 2018
Assistant Treasurer
Ms. Del Prato also serves as an officer of other funds. Ms. Del Prato is an employee of Fidelity Investments (2017-present). Previously, Ms. Del Prato served as President and Treasurer of The North Carolina Capital Management Trust: Cash Portfolio and Term Portfolio (2018-2020). Prior to joining Fidelity Investments, Ms. Del Prato served as a Managing Director and Treasurer of the JPMorgan Mutual Funds (2014-2017). Prior to JPMorgan, Ms. Del Prato served as a partner at Cohen Fund Audit Services (accounting firm, 2012-2013) and KPMG LLP (accounting firm, 2004-2012).
James D. Gryglewicz (1972)
Year of Election or Appointment: 2015
Chief Compliance Officer
Mr. Gryglewicz also serves as Chief Compliance Officer of other funds. Mr. Gryglewicz serves as Compliance Officer of Strategic Advisers LLC (investment adviser firm, 2015-present), Senior Vice President of Asset Management Compliance (2009-present), and is an employee of Fidelity Investments (2004-present). Previously, Mr. Gryglewicz served as Compliance Officer of Fidelity SelectCo, LLC (investment adviser firm, 2014-2019), and as Chief Compliance Officer of certain Fidelity® funds (2014-2018).
Colm A. Hogan (1973)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Hogan also serves as an officer of other funds. Mr. Hogan serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2005-present). Previously, Mr. Hogan served as Deputy Treasurer of certain Fidelity® funds (2016-2020) and Assistant Treasurer of certain Fidelity® funds (2016-2018).
Christina H. Lee (1975)
Year of Election or Appointment: 2020
Secretary and Chief Legal Officer
Ms. Lee also serves as Secretary and CLO of other funds. Ms. Lee serves as Vice President, Associate General Counsel (2014-present) and is an employee of Fidelity Investments (2007-present). Previously, Ms. Lee served as Assistant Secretary of certain funds (2018-2019).
Cynthia Lo Bessette (1969)
Year of Election or Appointment: 2020
Assistant Secretary
Ms. Lo Bessette also serves as an officer of other funds. Ms. Lo Bessette serves as CLO, Secretary, and Senior Vice President of Fidelity Management & Research Company LLC (investment adviser firm, 2019-present); and CLO of Fidelity Management & Research (Hong Kong) Limited, FMR Investment Management (UK) Limited, and Fidelity Management & Research (Japan) Limited (investment adviser firms, 2019-present). She is a Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company, 2019-present), and is an employee of Fidelity Investments. Previously, Ms. Lo Bessette served as CLO, Secretary, and Senior Vice President of FMR Co., Inc. (investment adviser firm, 2019); Secretary of Fidelity SelectCo, LLC and Fidelity Investments Money Management, Inc. (investment adviser firms, 2019). Prior to joining Fidelity Investments, Ms. Lo Bessette was Executive Vice President, General Counsel (2016-2019) and Senior Vice President, Deputy General Counsel (2015-2016) of OppenheimerFunds (investment management company) and Deputy Chief Legal Officer (2013-2015) of Jennison Associates LLC (investment adviser firm).
Chris Maher (1972)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Maher also serves as an officer of other funds. Mr. Maher serves as Assistant Treasurer of FMR Capital, Inc. (2017-present), and is an employee of Fidelity Investments (2008-present). Previously, Mr. Maher served as Assistant Treasurer of certain funds (2013-2020); Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010).
Brett Segaloff (1972)
Year of Election or Appointment: 2021
Anti-Money Laundering (AML) Officer
Mr. Segaloff also serves as an AML Officer of other funds and other related entities. He is Director, Anti-Money Laundering (2007-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments (1996-present).
Stacie M. Smith (1974)
Year of Election or Appointment: 2020
President and Treasurer
Ms. Smith also serves as an officer of other funds. Ms. Smith serves as Assistant Treasurer of FMR Capital, Inc. (2017-present), is an employee of Fidelity Investments (2009-present), and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (accounting firm, 1996-2009). Previously, Ms. Smith served as Assistant Treasurer (2013-2019) and Deputy Treasurer (2013-2016) of certain Fidelity® funds.
Marc L. Spector (1972)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Spector also serves as an officer of other funds. Mr. Spector serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2016-present). Prior to joining Fidelity Investments, Mr. Spector served as Director at the Siegfried Group (accounting firm, 2013-2016), and prior to Siegfried Group as audit senior manager at Deloitte & Touche LLP (accounting firm, 2005-2013).
Jim Wegmann (1979)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Wegmann also serves as Assistant Treasurer of other funds. Mr. Wegmann is an employee of Fidelity Investments (2011-present).
Shareholder Expense Example
As a shareholder, 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 (September 1, 2020 to February 28, 2021).
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
Annualized Expense Ratio-A | Beginning Account Value September 1, 2020 | Ending Account Value February 28, 2021 | Expenses Paid During Period-B September 1, 2020 to February 28, 2021 | |
Strategic Advisers Income Opportunities Fund | .14% | |||
Actual | $1,000.00 | $1,059.80 | $.72 | |
Hypothetical-C | $1,000.00 | $1,024.10 | $.70 |
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 181/ 365 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.
C 5% return per year before expenses
Distributions (Unaudited)
A total of 0.03% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.
The fund designates $81,622,669 of distributions paid in the calendar year 2020 as qualifying to be taxed as section 163(j) interest dividends.
The fund will notify shareholders in January 2022 of amounts for use in preparing 2021 income tax returns.
Board Approval of Investment Advisory Contracts
Strategic Advisers Income Opportunities Fund
In September 2020, the Board of Trustees, including the Independent Trustees (together, the Board) voted to approve a new sub-advisory agreement among Strategic Advisers LLC (Strategic Advisers), T. Rowe Price Associates, Inc. (Sub-Adviser), and Fidelity Rutland Square Trust II (Trust) on behalf of the fund (New Sub-Advisory Agreement). The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, considered a broad range of information it believed relevant to the approval of the New Sub-Advisory Agreement.In considering whether to approve the New Sub-Advisory Agreement, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the approval of the New Sub-Advisory Agreement is in the best interests of the fund and its shareholders and does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the fees to be charged under the New Sub-Advisory Agreement bear a reasonable relationship to the services to be rendered and will be based on services provided that will be in addition to, rather than duplicative of services provided under the advisory contract of any underlying fund in which the fund may invest. The Board's decision to approve the New Sub-Advisory Agreement was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board. In addition, individual Trustees did not necessarily attribute the same weight or importance to each factor.Nature, Extent, and Quality of Services Provided. The Board considered the backgrounds of the investment personnel that will provide services to the fund, and also considered the fund's investment objective, strategies and related investment philosophy and current sub-adviser line-up. The Board also considered the structures of the investment personnel compensation programs and whether such structures provide appropriate incentives to act in the best interests of the fund. The Board noted that it is familiar with the nature, extent and quality of services provided by the Sub-Adviser from its oversight of the Sub-Adviser on behalf of other funds overseen by the Board and that the same support staff, including compliance personnel, that currently provide services to other Strategic Advisers funds will also provide services to the fund.Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of the Sub-Adviser's investment staff, its use of technology, and the Sub-Adviser's approach to managing and compensating investment personnel. The Board noted that the Sub-Adviser will utilize a different investment mandate to manage the fund than it currently uses in managing other funds overseen by the Board and reviewed the general qualifications and capabilities of the investment staff that will provide services to the fund and its use of technology. The Board noted that the Sub-Adviser's analysts have extensive resources, tools, and capabilities that allow them to conduct sophisticated quantitative and/or fundamental analysis. Additionally, in its deliberations, the Board considered the Sub-Adviser's trading capabilities and resources and 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 the Sub-Adviser under the New Sub-Advisory Agreement; and (ii) the resources to be devoted to the fund's compliance policies and procedures.Investment Performance. The Board considered the historical investment performance of the Sub-Adviser and the portfolio managers in managing accounts under a similar investment mandate.Based on its review, the Board concluded that the nature, extent, and quality of services that will be provided to the fund under the New Sub-Advisory Agreement should benefit the fund's shareholders.Competitiveness of Management Fee and Total Fund Expenses. With respect to the New Sub-Advisory Agreement, the Board considered the amount and nature of the fees to be paid by the fund to Strategic Advisers and by Strategic Advisers to the Sub-Adviser. The Board also considered the projected change in the fund's management fee and total operating expenses, if any, as a result of hiring the Sub-Adviser.The Board noted that the New Sub-Advisory Agreement will not result in changes to the maximum aggregate annual management fee payable by the fund or Strategic Advisers' portion of the management fee. The Board considered Strategic Advisers' contractual agreement to waive its portion of the fund's management fee. The Board further considered that allocating assets to the Sub-Adviser is expected to result in an increase in the fund's management fee but such increase will be offset by a corresponding decrease in underlying fund expenses. The Board also considered that after allocating assets to the Sub-Adviser, the fund's management fee is expected to continue to rank below the competitive peer group median and after the projected decreases in total expenses resulting from funding the Sub-Adviser and another previously approved sub-advised mandate the fund's total net expenses are expected to decrease below the competitive peer group median reported in the June 2020 management contract renewal materials.Based on its review, the Board concluded that the fund's management fee structure and any changes to projected total expenses bear a reasonable relationship to the services that the fund and its shareholders will receive and the other factors considered.Because the New Sub-Advisory Agreement was negotiated at arm's length and will have no impact on the maximum management fees payable by the fund or Strategic Advisers' portion of the management fee, the Board did not consider the costs of services and profitability to be significant factors in its decision to approve the New Sub-Advisory Agreement.Potential Fall-Out Benefits. The Board considered that it reviews information regarding the potential of direct and indirect benefits to Strategic Advisers and its affiliates from their relationships with the fund, including non-advisory fee compensation paid to affiliates of Strategic Advisers, if any, as well as information regarding potential fall-out benefits accruing to each sub-adviser, if any, as a result of its relationship with the fund, during its annual renewal of the fund's management contract, sub-advisory agreements, and sub-subadvisory agreements. The Board considered Strategic Advisers' representation that it does not anticipate that the approval of the New Sub-Advisory Agreement will have a significant impact on the profitability of, or potential fall-out benefits to, Strategic Advisers or its affiliates.Possible Economies of Scale. The Board considered that it reviews whether there have been economies of scale in connection with the management of the fund during its annual renewal of the fund's management contract, sub-advisory agreements, and sub-subadvisory agreements. The Board noted that the New Sub-Advisory Agreement provides for breakpoints that have the potential to reduce sub-advisory fees paid to the sub-adviser as assets allocated to the sub-adviser grow.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 New Sub-Advisory Agreement's fee structure bears a reasonable relationship to the services to be rendered and that the New Sub-Advisory Agreement is in the best interests of the fund and its shareholders and should be approved. The Board also concluded that the sub-advisory fees to be charged under the New 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 Sub-Advisory Agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.Board Approval of Investment Advisory Contracts and Management FeesStrategic Advisers Income Opportunities Fund Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes at a meeting on the renewal of the management contract with Strategic Advisers LLC (Strategic Advisers) and the sub-advisory agreement with FIAM LLC (the Sub-Adviser) (the Sub-Advisory Agreement and, together with the management contract, the Advisory Contracts) for the fund. Strategic Advisers and the Sub-Adviser are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees’ counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.The Board meets at least four times per year and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund’s Advisory Contracts, including the services and support provided to the fund and its shareholders. The full Board or the Independent Trustees, as appropriate, act on all major matters; however, a portion of the activities of the Board (including certain of those described herein) may be conducted through standing committees that have been established by the Board. The Board, acting directly and through its committees, requests and receives information concerning the annual consideration of the renewal of the fund’s Advisory Contracts.At its September 2020 meeting, the Board, including the Independent Trustees, unanimously determined to renew the fund’s Advisory Contracts. In reaching its determination to renew the fund’s Advisory Contracts, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness of the fund’s management fee and total expenses relative to peer funds; (iii) the total costs of the services provided by and the profits, if any, realized by Strategic Advisers from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and are realized as the fund grows and whether any economies of scale are appropriately shared with fund shareholders.In considering whether to renew the Advisory Contracts for the fund, the Board reached a determination, with the assistance of fund counsel and Independent Trustees’ counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts is in the best interests of the fund and its shareholders. In addition, with respect to the Sub-Advisory Agreement, the Board also concluded that the renewal of the agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees charged under the Advisory Contracts bear a reasonable relationship to the services rendered and are based on services provided that are in addition to, rather than duplicative of, services provided under the advisory contract of any underlying fund in which the fund may invest. The Board’s decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board throughout the year.Nature, Extent, and Quality of Services Provided. The Board considered the staffing within the Investment Advisers, including the backgrounds of the fund’s investment personnel and also considered the fund’s investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Strategic Advisers’ investment operations and investment groups. The Board considered the structure of each Investment Adviser’s investment personnel compensation program and whether such structures provide appropriate incentives to act in the best interests of the fund.The Trustees also discussed with representatives of Strategic Advisers, at meetings throughout the year, Strategic Advisers’ role in, among other things, (i) setting, implementing and monitoring the investment strategies for the funds; (ii) identifying and recommending sub-advisers for the funds; (iii) overseeing compliance with federal securities laws by each sub-adviser with respect to the portion of fund assets allocated to the sub-adviser; (iv) monitoring and overseeing the performance and investment capabilities of each sub-adviser; and (v) recommending the replacement of a sub-adviser as appropriate. The Trustees considered that the Board had received from Strategic Advisers substantial information and periodic reports about Strategic Advisers’ sub-adviser oversight and due diligence processes, as well as periodic reports regarding the performance of each sub-adviser.The Board also considered the nature, extent and quality of services provided by the Sub-Adviser. The Trustees noted that under the Sub-Advisory Agreement subject to oversight by Strategic Advisers, the Sub-Adviser is responsible for, among other things, identifying investments for the portion of fund assets allocated to the Sub-Adviser, if any, and executing portfolio transactions to implement its investment strategy. In addition, the Trustees noted that the Sub-Adviser is responsible for providing such reporting as may be requested from Strategic Advisers to fulfill its oversight responsibilities discussed above.Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of the Investment Advisers’ investment staffs, their use of technology, and the Investment Advisers’ approach to managing and compensating investment personnel. The Board noted that the Investment Advisers’ analysts have extensive resources, tools, and capabilities that allow them to conduct sophisticated quantitative and/or fundamental analysis. Additionally, in its deliberations, the Board considered the Investment Advisers’ trading capabilities and resources and global compliance infrastructure, which are integral parts of the investment management process. The Board also considered the Investment Advisers’ investments in business continuity planning, and their success in continuously providing services to the fund notwithstanding the severe disruptions caused by the COVID-19 pandemic.Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of administrative and shareholder services performed by Strategic Advisers and its affiliates under the management contract and under separate agreements covering transfer agency and pricing and bookkeeping services for the fund; (ii) the nature and extent of Strategic Advisers’ supervision of third party service providers, including sub-advisers, custodians and subcustodians; and (iii) the resources devoted to, and the record of compliance with, the fund’s compliance policies and procedures.Investment Performance. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions and its performance history.In connection with the renewal of the Advisory Contracts, the Board considered annualized return information for the fund for different time periods, measured against an appropriate securities market index (“benchmark index”) and a peer group of mutual funds with similar objectives (“peer group”).The Board considered discussions that occur at Board meetings throughout the year with representatives of Strategic Advisers about fund investment performance and the performance of the Sub-Adviser as part of regularly scheduled fund reviews and other reports to the Board on fund performance, taking into account various factors including general market conditions. In its discussions with representatives of Strategic Advisers regarding fund performance, the Board gave particular attention to information indicating underperformance of certain funds for specific time periods and discussed with Strategic Advisers the reasons for any such underperformance.The following charts considered by the Board show, over the one-, three-, and five-year periods ended December 31, 2019, the cumulative total returns of the fund and the cumulative total returns of an appropriate benchmark index and peer group. The box within each chart shows the 25th percentile return (75% beaten, top of box) and the 75th percentile return (25% beaten, bottom of box) of the peer group. Returns shown above the box are in the first quartile and returns shown below the box are in the fourth quartile. The percentage beaten number noted below each chart corresponds to the percentile box and represents the percentage of funds in the peer group whose performance was equal to or lower than that of the fund.
Strategic Advisers Income Opportunities Fund
Strategic Advisers Income Opportunities Fund
Board Approval of Amended Sub-Advisory Agreements
Strategic Advisers Income Opportunities Fund
Competitiveness of Management Fee and Total Fund Expenses.
The Board noted that the Amended Sub-Advisory Agreement will not result in changes to the maximum aggregate annual management fee payable by the fund or Strategic Advisers' portion of the management fee. The Board considered Strategic Advisers' contractual agreement to waive its portion of the fund's management fee. The Board considered that the Amended Sub-Advisory Agreement is expected to result in a decrease in the total management fee rate of the fund. Based on its review, the Board concluded that the fund's management fee structure and any changes to projected total expenses bear a reasonable relationship to the services that the fund and its shareholders will receive and the other factors considered.Because the Amended Sub-Advisory Agreement was negotiated at arm's length and will have no impact on the maximum management fees payable by the fund, the Board did not consider the costs of services and profitability of the relationship with the fund to Strategic Advisers to be significant factors in its decision to approve the Amended Sub-Advisory Agreement.Potential Fall-Out Benefits. The Board considered that it reviews information regarding the potential of direct and indirect benefits to Strategic Advisers and its affiliates from their relationships with the fund, including non-advisory fee compensation paid to affiliates of Strategic Advisers, if any, as well as information regarding potential fall-out benefits accruing to each sub-adviser, if any, as a result of its relationship with the fund, during its annual renewal of the fund's management contract, sub-advisory agreements, and sub-subadvisory agreements. The Board considered Strategic Advisers' representation that it does not anticipate that the approval of the Amended Sub-Advisory Agreement will have a significant impact on the profitability of, or potential fall-out benefits to, Strategic Advisers or its affiliates.Possible Economies of Scale. The Board considered that it reviews whether there have been economies of scale in connection with the management of the fund during its annual renewal of the fund's management contract, sub-advisory agreements, and sub-subadvisory agreements. The Board noted that the Amended Sub-Advisory Agreement will continue to provide for breakpoints that have the potential to reduce sub-advisory fees paid to the sub-adviser as assets allocated to the sub-adviser grow. The Board also noted that it did not consider the possible realization of economies of scale to be a significant factor in its decision to approve the Amended Sub-Advisory Agreement because the fund will not bear any additional management fees or expenses under the Amended Sub-Advisory Agreements.Conclusion. Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the Amended Sub-Advisory Agreement's fee structure bears a reasonable relationship to the services to be rendered and that the Amended Sub-Advisory Agreement is in the best interests of the fund and its shareholders and should be approved. The Board also concluded that the sub-advisory fees to be charged under the Amended Sub-Advisory Agreement will be based on services provided that will be in addition to, rather than duplicative of, services provided under the advisory contract of any underlying fund in which the fund may invest. In addition, the Board concluded that the approval of the Amended Sub-Advisory Agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.Liquidity Risk Management Program
The Securities and Exchange Commission adopted Rule 22e-4 under the Investment Company Act of 1940 (the Liquidity Rule) to promote effective liquidity risk management throughout the open-end investment company industry, thereby reducing the risk that funds will be unable to meet their redemption obligations and mitigating dilution of the interests of fund shareholders.
The Fund has adopted and implemented a liquidity risk management program (the Program) reasonably designed to assess and manage the Fund’s liquidity risk and to comply with the requirements of the Liquidity Rule. The Fund’s Board of Trustees (the Board) has designated the Fund’s investment adviser as administrator of the Program. Strategic Advisers has established a Liquidity Risk Management Committee (the LRM Committee) to manage the Program for each of the Funds. The LRM Committee monitors the adequacy and effectiveness of implementation of the Program and on a periodic basis assesses each Fund’s liquidity risk based on a variety of factors including (1) the Fund’s investment strategy, (2) portfolio liquidity and cash flow projections during normal and reasonably foreseeable stressed conditions, (3) shareholder redemptions and (4) borrowings and other funding sources, as applicable.
In accordance with the Program, each of the Fund’s portfolio investments is classified into one of four liquidity categories described below based on a determination of a reasonable expectation for how long it would take to convert the investment to cash (or sell or dispose of the investment) without significantly changing its market value.
- Highly liquid investments – cash or convertible to cash within three business days or less
- Moderately liquid investments – convertible to cash in three to seven calendar days
- Less liquid investments – can be sold or disposed of, but not settled, within seven calendar days
- Illiquid investments – cannot be sold or disposed of within seven calendar days
Liquidity classification determinations take into account a variety of factors including various market, trading and investment-specific considerations, as well as market depth, and generally utilize analysis from a third-party liquidity metrics service.
The Liquidity Rule places a 15% limit on a fund’s illiquid investments and requires funds that do not primarily hold assets that are highly liquid investments to determine and maintain a minimum percentage of the fund’s net assets to be invested in highly liquid investments (highly liquid investment minimum or HLIM). The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments and for determining, periodically reviewing and complying with the HLIM requirement as applicable.
At a recent meeting of the Fund’s Board of Trustees, the LRM Committee provided a written report to the Board pertaining to the operation, adequacy, and effectiveness of implementation of the Program for the annual period from December 1, 2019 through November 30, 2020. The report concluded that the Program has been implemented and is operating effectively and is reasonably designed to assess and manage the Fund’s liquidity risk.
Proxy Voting Results
A special meeting of shareholders was held on November 2, 2020. The results of votes taken among shareholders on the proposals before them are reported below. Each vote reported represents one dollar of net asset value held on the record date for the meeting.
PROPOSAL 1
To elect a Board of Trustees.
# of Votes | % of Votes | |
ROBERT A. LAWRENCE | ||
Affirmative | 204,250,982,594.51 | 96.530 |
Withheld | 7,343,512,146.85 | 3.470 |
TOTAL | 211,594,494,741.36 | 100.000 |
CHARLES S. MORRISON | ||
Affirmative | 204,349,460,488.43 | 96.576 |
Withheld | 7,245,034,252.93 | 3.424 |
TOTAL | 211,594,494,741.36 | 100.000 |
PETER C. ALDRICH | ||
Affirmative | 203,499,803,652.67 | 96.175 |
Withheld | 8,094,691,088.69 | 3.825 |
TOTAL | 211,594,494,741.36 | 100.000 |
MARY C. FARRELL | ||
Affirmative | 204,011,925,737.22 | 96.417 |
Withheld | 7,582,569,004.14 | 3.583 |
TOTAL | 211,594,494,741.36 | 100.00 |
KAREN KAPLAN | ||
Affirmative | 204,297,547,550.53 | 96.552 |
Withheld | 7,296,947,190.83 | 3.448 |
TOTAL | 211,594,494,741.36 | 100.000 |
CHRISTINE MARCKS | ||
Affirmative | 204,700,871,317.72 | 96.743 |
Withheld | 6,893,623,423.64 | 3.257 |
TOTAL | 211,594,494,741.36 | 100.000 |
HEIDI L. STEIGER | ||
Affirmative | 204,406,589,957.28 | 96.603 |
Withheld | 7,187,904,784.08 | 3.397 |
TOTAL | 211,594,494,741.36 | 100.000 |
PROPOSAL 2
To approve the conversion of a fundamental investment policy to a non-fundamental investment policy.
# of Votes | % of Votes | |
Affirmative | 3,831,765,583.07 | 84.970 |
Against | 315,345,593.47 | 6.993 |
Abstain | 362,478,017.55 | 8.037 |
Broker Non-Vote | 0.00 | 0.000 |
TOTAL | 4,509,589,194.09 | 100.000 |
PROPOSAL 5
To approve a sub-subadvisory agreement between FIAM LLC (FIAM) and FMR Investment Management (UK) Limited (FMR UK).
# of Votes | % of Votes | |
Affirmative | 4,030,430,264.44 | 89.375 |
Against | 187,186,493.29 | 4.151 |
Abstain | 291,972,436.36 | 6.474 |
Broker Non-Vote | 0.00 | 0.000 |
TOTAL | 4,509,589,194.09 | 100.000 |
PROPOSAL 6
To approve a sub-subadvisory agreement between FIAM and Fidelity Management & Research (Hong Kong) Limited (FMR H.K.).
# of Votes | % of Votes | |
Affirmative | 3,971,648,704.49 | 88.072 |
Against | 247,538,127.20 | 5.489 |
Abstain | 290,402,362.40 | 6.439 |
Broker Non-Vote | 0.00 | 0.000 |
TOTAL | 4,509,589,194.09 | 100.000 |
PROPOSAL 7
To approve a sub-subadvisory agreement between FIAM and Fidelity Management & Research (Japan) Limited (FMR Japan).
# of Votes | % of Votes | |
Affirmative | 4,031,254,876.92 | 89.393 |
Against | 188,132,587.82 | 4.172 |
Abstain | 290,201,729.35 | 6.435 |
Broker Non-Vote | 0.00 | 0.000 |
TOTAL | 4,509,589,194.09 | 100.000 |
Proposal 1 reflects trust wide proposal and voting results. |
SRQ-ANN-0421
1.912881.110
Strategic Advisers® Emerging Markets Fund
Offered exclusively to certain clients of Strategic Advisers LLC - not available for sale to the general public
February 28, 2021
Contents
Board Approval of Investment Advisory Contracts and Management Fees | |
To view a fund's proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
You may also call 1-800-544-3455 to request a free copy of the proxy voting guidelines.
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Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2021 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
Note to Shareholders:
Early in 2020, the outbreak and spread of a new coronavirus emerged as a public health emergency that had a major influence on financial markets, primarily based on its impact on the global economy and the outlook for corporate earnings. The virus causes a respiratory disease known as COVID-19. On March 11, 2020 the World Health Organization declared the COVID-19 outbreak a pandemic, citing sustained risk of further global spread.
In the weeks following, as the crisis worsened, we witnessed an escalating human tragedy with wide-scale social and economic consequences from coronavirus-containment measures. The outbreak of COVID-19 prompted a number of measures to limit the spread, including travel and border restrictions, quarantines, and restrictions on large gatherings. In turn, these resulted in lower consumer activity, diminished demand for a wide range of products and services, disruption in manufacturing and supply chains, and – given the wide variability in outcomes regarding the outbreak – significant market uncertainty and volatility. Amid the turmoil, global governments and central banks took unprecedented action to help support consumers, businesses, and the broader economies, and to limit disruption to financial systems.
The situation continues to unfold, and the extent and duration of its impact on financial markets and the economy remain highly uncertain. Extreme events such as the coronavirus crisis are “exogenous shocks” that can have significant adverse effects on mutual funds and their investments. Although multiple asset classes may be affected by market disruption, the duration and impact may not be the same for all types of assets.
Fidelity is committed to helping you stay informed amid news about COVID-19 and during increased market volatility, and we’re taking extra steps to be responsive to customer needs. We encourage you to visit our websites, where we offer ongoing updates, commentary, and analysis on the markets and our funds.
Performance: The Bottom Line
Average annual total return reflects the change in the value of an investment, assuming reinvestment of distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year. The hypothetical investment and the average annual total returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund’s total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.
Average Annual Total Returns
For the periods ended February 28, 2021 | Past 1 year | Past 5 years | Past 10 years |
Strategic Advisers® Emerging Markets Fund | 37.42% | 15.85% | 4.93% |
$10,000 Over 10 Years
Let's say hypothetically that $10,000 was invested in Strategic Advisers® Emerging Markets Fund, a class of the fund, on February 28, 2011.
The chart shows how the value of your investment would have changed, and also shows how the MSCI Emerging Markets Index performed over the same period.
Period Ending Values | ||
$16,187 | Strategic Advisers® Emerging Markets Fund | |
$15,457 | MSCI Emerging Markets Index |
Management's Discussion of Fund Performance
Market Recap: The MSCI ACWI (All Country World Index) ex USA Index gained 26.37% for the 12 months ending February 28, 2021, a volatile and unpredictable period that will be remembered by most investors for the impact of the coronavirus pandemic. The early-2020 outbreak and spread of COVID-19 resulted in non-U.S. stocks suffering one of the quickest declines on record, through late March, followed by a historic rebound. The crisis and containment efforts caused broad contraction in global economic activity, along with dislocation in financial markets. Rapid and expansive monetary/fiscal-policy responses partially offset the economic disruption and fueled the market surge, as did resilient corporate earnings and the potential for a COVID-19 vaccine breakthrough. The rally slowed in early September (-2.45%), when stocks began a two-month retreat. November (+13.46%) was a much different story, however, as investors digested election results in the U.S. The momentum continued in the final three months of the period (+7.75%), driven by regulatory approvals and the distribution of COVID-19 vaccines. For the full year, emerging markets (+37%) was the top region, followed by Japan (+29%) and Europe ex U.K. (+25%). Conversely, the U.K. (+9%), Canada (+20%) and Asia Pacific ex Japan (+21%) lagged. By sector, information technology (+63%) led, while materials (+49%) and consumer discretionary (+43%) also stood out. In contrast, real estate (+2%), energy (+4%) and utilities (+7%) notably underperformed.Comments from Portfolio Manager Wilfred Chilangwa: For the fiscal year ending February 28, 2021, the Fund advanced 37.42%, outpacing the 36.07% increase in the benchmark MSCI Emerging Markets Index. During the period, growth stocks topped their value-oriented counterparts. However, the outperformance of growth was not as pronounced as it was in international developed-markets. Within this environment, growth-oriented managers emphasizing momentum and/or company quality delivered the best results. Within the Fund, the Select Emerging Markets Equity strategy from sub-adviser FIAM® (+45%) was the biggest relative contributor, led by strong security selection in China. This mandate is a GARP (growth-at-a-reasonable-price) approach that combines bottom-up stock selection with a risk-controlled portfolio-construction process. Fidelity® Emerging Markets Fund (+48%) also added considerable value. This fund incorporates elements of both GARP and earnings momentum in seeking to invest in companies with growing earnings. It benefited most from stock picks in China. Sub-adviser Schroders (+44%) provided a further boost versus the benchmark. One key advantage of Schroders’ strategy is its emphasis on country selection within its investment process. It benefited from an overweighted allocation in South Korea, along with favorable investment choices in China and Taiwan. On the downside, Fidelity® SAI Emerging Markets Low Volatility Index Fund (+19%) was the primary relative detractor. This fund seeks to replicate the performance of an index of emerging markets (EM) stocks that have exhibited lower volatility than the broad EM market. Despite its style being out of favor this period, the fund serves an important risk-management role in the portfolio. Sub-adviser T. Rowe Price (+33%), which follows a GARP discipline with a quality bias, lagged the benchmark and modestly detracted. Looking ahead, I plan to keep the Fund’s exposure to China – a key benchmark constituent – close to the benchmark’s weight.The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
Investment Summary (Unaudited)
The information in the following tables is based on the direct investments of the Fund.Top Ten Holdings as of February 28, 2021
% of fund's net assets | |
Fidelity Emerging Markets Fund | 7.4 |
Fidelity SAI Emerging Markets Low Volatility Index Fund | 5.6 |
Fidelity SAI Emerging Markets Index Fund | 4.8 |
Tencent Holdings Ltd. | 4.7 |
Taiwan Semiconductor Manufacturing Co. Ltd. | 4.2 |
Fidelity SAI Emerging Markets Value Index Fund | 3.5 |
Samsung Electronics Co. Ltd. | 3.5 |
Goldman Sachs Emerging Markets Equity Fund Institutional Shares | 3.4 |
Alibaba Group Holding Ltd. sponsored ADR | 3.0 |
Invesco Developing Markets Fund Class R6 | 2.6 |
42.7 |
Top Five Market Sectors as of February 28, 2021
(stocks only) | % of fund's net assets |
Information Technology | 15.3 |
Consumer Discretionary | 12.7 |
Financials | 11.8 |
Communication Services | 8.0 |
Materials | 4.4 |
Geographic Diversification (% of fund's net assets)
As of February 28, 2021 | ||
United States of America* | 38.4% | |
Cayman Islands | 17.0% | |
Korea (South) | 9.0% | |
Taiwan | 8.5% | |
China | 7.1% | |
India | 5.0% | |
Brazil | 3.3% | |
South Africa | 2.2% | |
Russia | 1.5% | |
Other | 8.0% |
* 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 February 28, 2021 | ||
Common Stocks | 60.6% | |
Preferred Stocks | 1.7% | |
Diversifed Emerging Markets Funds | 35.9% | |
Other | 0.1% | |
Short-Term Investments and Net Other Assets (Liabilities) | 1.7% |
Asset allocations of funds in the pie chart reflect the categorizations of assets as defined by Morningstar as of the reporting date.
Schedule of Investments February 28, 2021
Showing Percentage of Net Assets
Common Stocks - 60.6% | |||
Shares | Value | ||
COMMUNICATION SERVICES - 8.0% | |||
Diversified Telecommunication Services - 0.2% | |||
Hellenic Telecommunications Organization SA | 129,032 | $1,983,409 | |
KT Corp. | 119,540 | 2,758,274 | |
LG Telecom Ltd. | 336,271 | 3,519,210 | |
Magyar Telekom PLC | 28,408 | 38,576 | |
Ooredoo QSC | 62,110 | 131,323 | |
Saudi Telecom Co. | 88,959 | 2,817,845 | |
Telefonica Brasil SA | 266,302 | 2,090,805 | |
Telkom SA Ltd. | 405,832 | 1,096,970 | |
Turk Telekomunikasyon A/S | 1,505,584 | 1,556,924 | |
15,993,336 | |||
Entertainment - 0.7% | |||
Bilibili, Inc. ADR (a)(b) | 143,046 | 18,019,505 | |
CD Projekt RED SA (a) | 65,762 | 4,134,142 | |
DouYu International Holdings Ltd. ADR (a) | 83,252 | 1,193,834 | |
HUYA, Inc. ADR (a) | 35,416 | 933,212 | |
IGG, Inc. | 421,000 | 628,532 | |
International Games Systems Co. Ltd. | 187,000 | 5,555,053 | |
NCSOFT Corp. | 3,426 | 2,844,049 | |
NetEase, Inc. ADR | 277,775 | 30,513,584 | |
NHN Entertainment Corp. (a) | 2,843 | 174,232 | |
PlayWay SA | 323 | 47,491 | |
Sea Ltd. ADR (a) | 9,613 | 2,265,688 | |
TEN Square Games SA | 1,452 | 192,954 | |
Tencent Music Entertainment Group ADR (a) | 132,100 | 3,397,612 | |
Webzen, Inc. (a) | 6,824 | 218,484 | |
70,118,372 | |||
Interactive Media & Services - 6.8% | |||
Autohome, Inc. ADR Class A | 142,482 | 16,248,647 | |
Baidu.com, Inc. sponsored ADR (a) | 146,634 | 41,564,874 | |
JOYY, Inc. ADR (b) | 52,600 | 6,201,540 | |
Kakao Corp. | 54,314 | 23,507,445 | |
Kuaishou Technology Class B (c) | 197,900 | 7,878,800 | |
Mail.Ru Group Ltd. GDR (Reg. S) (a) | 315,578 | 8,473,269 | |
NAVER Corp. | 141,113 | 46,932,330 | |
Tencent Holdings Ltd. | 4,977,689 | 433,044,076 | |
Tongdao Liepin Group (a) | 1,213,800 | 2,957,644 | |
Yandex NV Series A (a) | 570,139 | 36,480,344 | |
623,288,969 | |||
Media - 0.1% | |||
Astro Malaysia Holdings Bhd | 193,200 | 45,268 | |
Cheil Worldwide, Inc. | 21,770 | 375,536 | |
China South Publishing & Media Group Co. Ltd. (A Shares) | 60,765 | 93,186 | |
Chinese Universe Publishing and Media Group Co. Ltd. (A Shares) | 752,641 | 1,154,217 | |
Focus Media Information Technology Co. Ltd. (A Shares) | 2,087,600 | 3,530,300 | |
Hyundai HCN | 27,783 | 91,417 | |
MultiChoice Group Ltd. | 293,181 | 2,473,329 | |
PT Surya Citra Media Tbk (a) | 261,700 | 36,388 | |
7,799,641 | |||
Wireless Telecommunication Services - 0.2% | |||
Bharti Airtel Ltd. | 2,288,874 | 17,221,426 | |
MTN Group Ltd. | 10,958 | 52,642 | |
SK Telecom Co. Ltd. | 4,861 | 1,061,847 | |
Turkcell Iletisim Hizmet A/S | 594,924 | 1,269,673 | |
VEON Ltd. sponsored ADR | 277,792 | 494,470 | |
20,100,058 | |||
TOTAL COMMUNICATION SERVICES | 737,300,376 | ||
CONSUMER DISCRETIONARY - 12.7% | |||
Auto Components - 0.4% | |||
Anhui Zhongding Sealing Parts Co. Ltd. (A Shares) | 376,840 | 570,339 | |
Apollo Tyres Ltd. | 303,594 | 953,030 | |
CEAT Ltd. | 24,791 | 534,601 | |
Changchun Faway Automobile Components Co. Ltd. (A Shares) | 186,472 | 268,974 | |
Cheng Shin Rubber Industry Co. Ltd. | 107,000 | 165,646 | |
Chian Hsing Forging Industrial Co. Ltd. | 10,000 | 17,974 | |
DTR Automotive Corp. | 1,408 | 34,278 | |
Fuyao Glass Industries Group Co. Ltd. (A Shares) | 1,217,433 | 8,902,566 | |
Hankook Tire Co. Ltd. | 19,715 | 833,170 | |
Huayu Automotive Systems Co. Ltd. (A Shares) | 168,751 | 672,382 | |
Hyundai Mobis | 61,673 | 16,573,397 | |
MAHLE Metal Leve SA | 5,800 | 18,339 | |
Mando Corp. | 4,875 | 270,227 | |
Somboon Advance Technology PCL unit | 71,100 | 43,281 | |
Tianneng Power International Ltd. (b) | 1,275,826 | 2,467,287 | |
Yoo Sung Enterprise | 12,624 | 33,701 | |
32,359,192 | |||
Automobiles - 1.2% | |||
Bajaj Auto Ltd. | 255,583 | 13,131,222 | |
BYD Co. Ltd. (H Shares) | 376,500 | 9,649,778 | |
Dongfeng Motor Group Co. Ltd. (H Shares) | 2,272,000 | 2,091,431 | |
Ford Otomotiv Sanayi A/S | 72,212 | 1,702,538 | |
Great Wall Motor Co. Ltd. (H Shares) | 4,465,500 | 12,982,360 | |
Guangzhou Automobile Group Co. Ltd. (H Shares) | 4,750,000 | 4,409,234 | |
Hero Motocorp Ltd. | 310,854 | 13,554,692 | |
Hyundai Motor Co. | 77,790 | 16,351,061 | |
Kia Motors Corp. | 339,472 | 23,905,525 | |
Loncin Motor Co. Ltd. | 295,300 | 151,409 | |
Maruti Suzuki India Ltd. | 25,615 | 2,378,734 | |
PT Astra International Tbk | 9,061,600 | 3,436,281 | |
SAIC Motor Corp. Ltd. (A Shares) | 1,216,693 | 3,992,915 | |
Tata Motors Ltd. (a) | 29,271 | 128,668 | |
Tofas Turk Otomobil Fabrikasi A/S | 218,301 | 1,018,792 | |
Tvs Motor Co. Ltd. | 51,660 | 415,554 | |
109,300,194 | |||
Diversified Consumer Services - 0.6% | |||
New Oriental Education & Technology Group, Inc. (a) | 16,600 | 2,958,478 | |
New Oriental Education & Technology Group, Inc. sponsored ADR (a) | 209,435 | 37,199,845 | |
TAL Education Group ADR (a) | 173,433 | 13,447,995 | |
Visang Education, Inc. | 8,025 | 46,975 | |
YDUQS Participacoes SA | 463,998 | 2,493,776 | |
56,147,069 | |||
Hotels, Restaurants & Leisure - 0.7% | |||
Galaxy Entertainment Group Ltd. | 131,000 | 1,197,442 | |
Haidilao International Holding Ltd. (c) | 126,000 | 1,033,965 | |
Huazhu Group Ltd. ADR | 147,479 | 8,574,429 | |
Jubilant Foodworks Ltd. | 53,355 | 2,161,203 | |
Sands China Ltd. | 3,595,922 | 16,948,071 | |
Shangri-La Asia Ltd. (a) | 3,476,000 | 3,558,257 | |
Songcheng Performance Development Co. Ltd. (A Shares) | 1,354,160 | 4,214,006 | |
Wynn Macau Ltd. (a) | 417,600 | 788,204 | |
Yum China Holdings, Inc. | 16,250 | 975,865 | |
Yum China Holdings, Inc. | 452,063 | 27,051,450 | |
66,502,892 | |||
Household Durables - 1.4% | |||
Arcelik A/S | 216,803 | 968,596 | |
Basso Industry Corp. Ltd. | 19,000 | 31,425 | |
Coway Co. Ltd. (a) | 2,912 | 167,097 | |
Crompton Greaves Consumer Electricals Ltd. | 31,037 | 161,677 | |
Cyrela Brazil Realty SA | 83,600 | 369,951 | |
Ecovacs Robotics Co. Ltd. Class A (a) | 205,421 | 3,367,557 | |
Gree Electric Appliances, Inc. of Zhuhai (A Shares) | 606,131 | 5,522,919 | |
Guangdong Xinbao Electrical Appliances Holdings Co. Ltd. | 88,300 | 606,017 | |
Haier Smart Home Co. Ltd. (A Shares) | 3,251,722 | 14,523,185 | |
Hangzhou Robam Appliances Co. Ltd. (A Shares) | 42,500 | 248,102 | |
Hisense Home Appliances Group Co. Ltd. (H Shares) | 27,000 | 41,354 | |
KingClean Electric Co. Ltd. (A Shares) | 28,000 | 116,149 | |
LG Electronics, Inc. | 148,700 | 19,320,680 | |
Midea Group Co. Ltd. (A Shares) | 4,551,601 | 65,429,067 | |
Oppein Home Group, Inc. (A Shares) | 322,432 | 7,545,481 | |
Orient Electric Ltd. | 16,547 | 60,571 | |
Zhejiang Supor Cookware Co. Ltd. | 1,015,069 | 11,804,313 | |
130,284,141 | |||
Internet & Direct Marketing Retail - 7.2% | |||
Alibaba Group Holding Ltd. (a) | 1,550,860 | 46,602,080 | |
Alibaba Group Holding Ltd. sponsored ADR (a) | 1,176,409 | 279,703,004 | |
B2W Companhia Global do Varejo (a) | 466,546 | 6,826,447 | |
Baozun, Inc.: | |||
Class A (a) | 98,600 | 1,516,087 | |
sponsored ADR (a)(b) | 46,356 | 2,129,131 | |
JD Health International, Inc. (c) | 618,950 | 11,315,371 | |
JD.com, Inc.: | |||
Class A | 85,800 | 4,024,001 | |
sponsored ADR (a) | 1,320,745 | 123,978,333 | |
MakeMyTrip Ltd. (a) | 38,726 | 1,299,257 | |
Meituan Class B (a)(c) | 1,151,400 | 50,471,027 | |
MercadoLibre, Inc. (a) | 10,923 | 17,893,076 | |
Naspers Ltd. Class N | 252,451 | 59,572,740 | |
Ozon Holdings PLC ADR | 43,452 | 2,578,876 | |
Pinduoduo, Inc. ADR (a) | 111,400 | 19,067,224 | |
Prosus NV | 24,798 | 2,956,332 | |
Tongcheng-Elong Holdings Ltd. (a) | 3,648,400 | 8,570,138 | |
Trip.com Group Ltd. ADR (a) | 497,352 | 19,620,536 | |
Vipshop Holdings Ltd. ADR (a) | 229,304 | 8,557,625 | |
666,681,285 | |||
Multiline Retail - 0.1% | |||
Lojas Renner SA | 2,021,997 | 13,226,939 | |
MINISO Group Holding Ltd. ADR (b) | 12,843 | 342,523 | |
13,569,462 | |||
Specialty Retail - 0.3% | |||
China Yongda Automobiles Services Holdings Ltd. | 2,280,000 | 3,321,623 | |
Foschini Ltd. (a) | 261,513 | 1,814,885 | |
Lewis Group Ltd. | 11,913 | 20,273 | |
Mr Price Group Ltd. | 608,009 | 7,008,603 | |
SSI Group, Inc. (a) | 143,000 | 4,168 | |
Zhongsheng Group Holdings Ltd. Class H | 2,213,500 | 13,698,019 | |
25,867,571 | |||
Textiles, Apparel & Luxury Goods - 0.8% | |||
adidas AG | 6,749 | 2,352,514 | |
Anta Sports Products Ltd. | 460,000 | 7,057,352 | |
CECEP COSTIN New Materials Group Ltd. (a)(d) | 741,000 | 28,660 | |
ECLAT Textile Co. Ltd. | 261,000 | 4,021,795 | |
Fila Holdings Corp. | 7,576 | 268,766 | |
Hyosung TNC Co. Ltd. | 1,618 | 589,786 | |
KPR Mill Ltd. | 2,740 | 34,329 | |
LG Fashion Corp. | 7,144 | 97,891 | |
Li Ning Co. Ltd. | 4,528,500 | 25,455,279 | |
Mavi Jeans Class B (a)(c) | 644,327 | 4,381,259 | |
Pou Chen Corp. | 787,000 | 852,703 | |
Regina Miracle International Holdings Ltd. (c) | 577,000 | 199,364 | |
Shenzhou International Group Holdings Ltd. | 1,311,000 | 27,229,222 | |
Vardhman Textiles Ltd. (a) | 183 | 2,930 | |
Weiqiao Textile Co. Ltd. (H Shares) | 139,556 | 40,842 | |
Welspun India Ltd. | 83,379 | 78,037 | |
Zhejiang Semir Garment Co. Ltd. (A Shares) | 431,700 | 615,367 | |
73,306,096 | |||
TOTAL CONSUMER DISCRETIONARY | 1,174,017,902 | ||
CONSUMER STAPLES - 3.5% | |||
Beverages - 0.8% | |||
Ambev SA | 1,317,900 | 3,296,984 | |
Anheuser-Busch InBev SA NV | 76,625 | 4,409,281 | |
Beijing Yanjing Brewery Co. Ltd. (A Shares) | 967,970 | 1,040,450 | |
China Resources Beer Holdings Co. Ltd. | 2,232,000 | 16,833,990 | |
Coca-Cola Icecek Sanayi A/S | 21,299 | 203,332 | |
Heineken NV (Bearer) | 75,607 | 7,452,970 | |
Kweichow Moutai Co. Ltd. (A Shares) | 96,674 | 31,693,109 | |
Thai Beverage PCL | 17,314,300 | 9,544,031 | |
Vina Concha y Toro SA | 76,942 | 124,890 | |
74,599,037 | |||
Food & Staples Retailing - 1.0% | |||
Atacadao SA | 1,391,600 | 4,720,445 | |
Bidcorp Ltd. | 40,471 | 757,866 | |
Bim Birlesik Magazalar A/S JSC | 863,536 | 7,685,694 | |
Clicks Group Ltd. | 198,405 | 3,209,359 | |
Companhia Brasileira de Distribuicao Grupo Pao de Acucar | 112,600 | 1,667,642 | |
CP ALL PCL (For. Reg.) | 8,450,100 | 16,554,802 | |
Magnit OJSC | 27,245 | 1,797,873 | |
President Chain Store Corp. | 775,000 | 7,284,828 | |
Raia Drogasil SA | 3,183,883 | 13,197,531 | |
Shoprite Holdings Ltd. | 487,221 | 4,284,808 | |
Wal-Mart de Mexico SA de CV Series V | 5,019,509 | 14,318,833 | |
X5 Retail Group NV GDR (Reg. S) | 343,139 | 11,152,018 | |
Yifeng Pharmacy Chain Co. Ltd. | 302,299 | 4,113,039 | |
90,744,738 | |||
Food Products - 1.3% | |||
Angel Yeast Co. Ltd. (A Shares) | 933,734 | 7,700,423 | |
AVI Ltd. | 337,427 | 1,583,301 | |
BRF SA (a) | 201,400 | 777,684 | |
Charoen Pokphand Foods PCL (For. Reg.) | 2,721,500 | 2,569,330 | |
China Mengniu Dairy Co. Ltd. | 12,298,496 | 67,228,723 | |
Daesang Corp. | 3,291 | 72,824 | |
Gruma S.A.B. de CV Series B | 250,350 | 2,728,589 | |
Inner Mongoli Yili Industries Co. Ltd. (A Shares) | 229,900 | 1,534,525 | |
JBS SA | 2,296,629 | 10,581,164 | |
Marfrig Global Foods SA (a) | 587,500 | 1,457,166 | |
Minerva SA | 62,300 | 107,832 | |
Sanquan Food Co. Ltd. (A Shares) | 158,240 | 651,274 | |
Tata Consumer Products Ltd. (a) | 192,080 | 1,582,503 | |
Tingyi (Cayman Islands) Holding Corp. | 1,104,000 | 2,217,551 | |
Uni-President China Holdings Ltd. | 140,000 | 168,221 | |
Unified-President Enterprises Corp. | 5,472,000 | 13,192,638 | |
Universal Robina Corp. | 1,212,130 | 3,177,114 | |
WH Group Ltd. (c) | 1,816,000 | 1,629,529 | |
118,960,391 | |||
Household Products - 0.0% | |||
Hindustan Unilever Ltd. | 93,127 | 2,685,414 | |
Kimberly-Clark de Mexico SA de CV: | |||
Series A | 374,214 | 598,320 | |
Series A sponsored ADR | 2,476 | 19,746 | |
Opple Lighting Co. Ltd. (A Shares) | 57,064 | 287,473 | |
3,590,953 | |||
Personal Products - 0.4% | |||
Emami Ltd. | 10,684 | 65,777 | |
Hengan International Group Co. Ltd. | 288,500 | 1,997,363 | |
LG Household & Health Care Ltd. | 18,968 | 25,452,725 | |
Natura & Co. Holding SA | 1,076,458 | 8,868,360 | |
Organic Tea Cosmetics Holdings Co. Ltd. (a) | 4,513 | 2,822 | |
36,387,047 | |||
Tobacco - 0.0% | |||
ITC Ltd. | 570,942 | 1,574,131 | |
TOTAL CONSUMER STAPLES | 325,856,297 | ||
ENERGY - 1.6% | |||
Energy Equipment & Services - 0.1% | |||
China Oilfield Services Ltd. (H Shares) | 2,918,000 | 3,355,731 | |
Ezion Holdings Ltd. warrants 4/16/23 (a)(d) | 5,020,014 | 5,911 | |
Tenaris SA sponsored ADR | 115,600 | 2,421,820 | |
Yantai Jereh Oilfield Services (A Shares) | 492,272 | 3,231,054 | |
9,014,516 | |||
Oil, Gas & Consumable Fuels - 1.5% | |||
China Petroleum & Chemical Corp. (H Shares) | 26,602,000 | 14,816,255 | |
CNOOC Ltd. | 3,795,000 | 4,552,350 | |
Empresas COPEC SA | 1,021,113 | 11,511,836 | |
Gazprom OAO sponsored ADR (Reg. S) | 897,767 | 5,207,049 | |
Grupa Lotos SA | 4,822 | 54,133 | |
Lukoil PJSC | 63,346 | 4,747,312 | |
Lukoil PJSC sponsored ADR | 340,915 | 25,295,893 | |
MOL Hungarian Oil and Gas PLC Series A (For. Reg.) (a) | 27,225 | 195,360 | |
NOVATEK OAO GDR (Reg. S) | 132,117 | 22,512,737 | |
Petroleo Brasileiro SA - Petrobras (ON) | 1,738,200 | 6,870,049 | |
PT Adaro Energy Tbk | 1,702,400 | 141,070 | |
PT United Tractors Tbk | 157,300 | 249,095 | |
Reliance Industries Ltd. | 1,269,665 | 35,817,889 | |
Reliance Industries Ltd. sponsored GDR (c) | 49,000 | 2,812,600 | |
Rosneft Oil Co. OJSC | 743,321 | 5,233,831 | |
Susco Public Co. Ltd. unit | 49,300 | 4,800 | |
Tsakos Energy Navigation Ltd. | 3,003 | 27,778 | |
140,050,037 | |||
TOTAL ENERGY | 149,064,553 | ||
FINANCIALS - 11.0% | |||
Banks - 6.9% | |||
Absa Group Ltd. | 1,433,203 | 11,493,092 | |
Akbank TAS | 3,328,060 | 2,715,595 | |
Al Rajhi Bank | 607,352 | 14,736,444 | |
AMMB Holdings Bhd | 69,200 | 53,933 | |
Axis Bank Ltd. (a) | 2,400,180 | 23,528,821 | |
Banco do Brasil SA | 382,659 | 1,915,275 | |
Banco Santander Chile sponsored ADR | 493,374 | 11,145,319 | |
Bancolombia SA sponsored ADR | 19,811 | 662,678 | |
Bank Millennium SA (a) | 95,055 | 104,706 | |
BNK Financial Group, Inc. | 49,906 | 261,143 | |
Capitec Bank Holdings Ltd. (a) | 168,777 | 14,932,686 | |
China Construction Bank Corp. (H Shares) | 63,826,000 | 51,235,992 | |
China Merchants Bank Co. Ltd. (H Shares) | 3,297,500 | 25,316,495 | |
Commercial International Bank SAE sponsored GDR | 1,653,430 | 6,473,178 | |
Credicorp Ltd. (United States) | 77,300 | 12,368,773 | |
CTBC Financial Holding Co. Ltd. | 6,055,000 | 4,344,706 | |
DGB Financial Group Co. Ltd. | 16,476 | 103,311 | |
E.SUN Financial Holdings Co. Ltd. | 9,472,340 | 8,580,942 | |
First Abu Dhabi Bank PJSC | 3,142,297 | 12,575,519 | |
Grupo Financiero Banorte S.A.B. de CV Series O (a) | 6,604,114 | 33,164,199 | |
Grupo Financiero Inbursa S.A.B. de CV Series O (a) | 320,573 | 288,992 | |
Habib Bank Ltd. | 309,900 | 242,392 | |
Hana Financial Group, Inc. | 643,520 | 21,145,798 | |
HDFC Bank Ltd. (a) | 2,043,243 | 42,595,305 | |
HDFC Bank Ltd. sponsored ADR (a) | 213,246 | 16,876,288 | |
ICICI Bank Ltd. (a) | 2,882,358 | 23,553,914 | |
ICICI Bank Ltd. sponsored ADR (a) | 2,134,010 | 35,445,906 | |
Industrial & Commercial Bank of China Ltd. (H Shares) | 36,547,310 | 23,909,995 | |
Kasikornbank PCL NVDR | 1,938,800 | 8,927,847 | |
KB Financial Group, Inc. | 396,284 | 15,283,696 | |
Kiatnakin Bank PCL unit | 45,000 | 87,253 | |
Komercni Banka A/S (a) | 101,167 | 3,162,234 | |
Kotak Mahindra Bank Ltd. (a) | 401,656 | 9,671,589 | |
Malayan Banking Bhd | 1,167,825 | 2,312,895 | |
mBank SA | 648 | 38,318 | |
National Bank of Greece SA (a) | 2,438,800 | 6,179,322 | |
National Commercial Bank | 534,292 | 6,695,567 | |
Nova Ljubljanska banka d.d. unit (a) | 819,776 | 9,515,149 | |
OTP Bank PLC (a) | 559,137 | 25,402,135 | |
Powszechna Kasa Oszczednosci Bank SA (a) | 33,130 | 266,454 | |
PT Bank Bukopin Tbk (a) | 5,600 | 228 | |
PT Bank Central Asia Tbk | 7,527,200 | 17,734,379 | |
PT Bank Danamon Indonesia Tbk Series A | 410,700 | 89,985 | |
PT Bank Mandiri (Persero) Tbk | 28,843,100 | 12,350,710 | |
PT Bank Rakyat Indonesia Tbk | 26,114,200 | 8,637,492 | |
Saudi Investment Bank (a) | 2,079 | 8,703 | |
Sberbank of Russia | 113,544 | 409,263 | |
Sberbank of Russia | 4,063,081 | 14,738,976 | |
Sberbank of Russia sponsored ADR | 3,362,043 | 48,749,624 | |
Shinhan Financial Group Co. Ltd. | 288,708 | 8,373,483 | |
Siam Commercial Bank PCL (For. Reg.) | 1,556,200 | 5,220,477 | |
Standard Bank Group Ltd. | 574,068 | 5,045,918 | |
State Bank of India (a) | 1,648,093 | 8,696,640 | |
TCS Group Holding PLC GDR | 174,801 | 9,107,132 | |
TISCO Financial Group PCL | 855,000 | 2,654,677 | |
Turkiye Garanti Bankasi A/S | 4,347,563 | 5,221,700 | |
Turkiye Is Bankasi A/S Series C (a) | 5,487,232 | 4,233,593 | |
United Bank Ltd. | 397,673 | 320,729 | |
Yapi ve Kredi Bankasi A/S | 1,580,932 | 564,105 | |
639,471,670 | |||
Capital Markets - 0.4% | |||
B3 SA - Brasil Bolsa Balcao | 2,214,683 | 21,458,422 | |
CITIC Securities Co. Ltd. (H Shares) | 857,500 | 1,848,449 | |
Hong Kong Exchanges and Clearing Ltd. | 97,000 | 5,917,707 | |
Huatai Securities Co. Ltd. (H Shares) (c) | 1,281,400 | 1,906,459 | |
Kiwoom Securities Co. Ltd. | 2,237 | 255,935 | |
Korea Investment Holdings Co. Ltd. | 39,384 | 3,049,354 | |
Noah Holdings Ltd. sponsored ADR (a) | 29,141 | 1,302,603 | |
XP, Inc. Class A (a) | 70,664 | 3,119,109 | |
38,858,038 | |||
Consumer Finance - 0.3% | |||
Bajaj Finance Ltd. | 32,890 | 2,342,029 | |
Gentera S.A.B. de CV (a) | 284,714 | 144,800 | |
Kaspi.KZ JSC unit | 32,958 | 2,323,539 | |
Kruk SA (a) | 4,717 | 227,448 | |
Samsung Card Co. Ltd. | 4,749 | 138,781 | |
Shriram Transport Finance Co. Ltd. | 1,039,639 | 18,039,748 | |
23,216,345 | |||
Diversified Financial Services - 0.4% | |||
Alexander Forbes Group Holdings Ltd. | 888 | 248 | |
Chailease Holding Co. Ltd. | 543,160 | 3,351,757 | |
FirstRand Ltd. | 5,932,882 | 19,730,202 | |
Haci Omer Sabanci Holding A/S | 879,341 | 1,240,851 | |
Rec Ltd. | 826,684 | 1,515,015 | |
Yuanta Financial Holding Co. Ltd. | 16,252,960 | 12,391,038 | |
38,229,111 | |||
Insurance - 2.5% | |||
AIA Group Ltd. | 6,275,584 | 79,144,089 | |
BB Seguridade Participacoes SA | 879,922 | 3,992,794 | |
China Life Insurance Co. Ltd. (H Shares) | 8,567,000 | 18,092,229 | |
China Pacific Insurance (Group) Co. Ltd. (H Shares) | 1,722,400 | 7,916,451 | |
Fubon Financial Holding Co. Ltd. | 2,944,000 | 5,270,534 | |
HDFC Standard Life Insurance Co. Ltd. (a)(c) | 96,201 | 911,631 | |
Hyundai Fire & Marine Insurance Co. Ltd. | 39,359 | 764,473 | |
ICICI Lombard General Insurance Co. Ltd. (c) | 22,361 | 431,270 | |
PICC Property & Casualty Co. Ltd. (H Shares) | 8,692,000 | 6,578,014 | |
Ping An Insurance Group Co. of China Ltd. (H Shares) | 6,493,000 | 80,348,119 | |
Porto Seguro SA | 367,969 | 2,862,098 | |
Qualitas Controladora S.A.B. de CV | 39,887 | 216,947 | |
Samsung Fire & Marine Insurance Co. Ltd. | 61,561 | 9,445,514 | |
Samsung Life Insurance Co. Ltd. | 63,215 | 4,204,896 | |
Sanlam Ltd. | 2,396,896 | 9,627,978 | |
Sul America SA unit | 268,935 | 1,585,047 | |
Wiz Solucoes e Corretagem de Seguros SA | 17,800 | 19,883 | |
231,411,967 | |||
Thrifts & Mortgage Finance - 0.5% | |||
Housing Development Finance Corp. Ltd. | 933,023 | 32,045,101 | |
LIC Housing Finance Ltd. | 1,548,355 | 8,994,394 | |
41,039,495 | |||
TOTAL FINANCIALS | 1,012,226,626 | ||
HEALTH CARE - 1.8% | |||
Biotechnology - 0.2% | |||
Akeso, Inc. (c) | 169,000 | 1,109,025 | |
Celltrion, Inc. (a) | 1,908 | 503,430 | |
Innovent Biologics, Inc. (a)(c) | 340,500 | 3,507,526 | |
Remegen Co. Ltd. (H Shares) (a)(c) | 79,500 | 1,156,147 | |
Zai Lab Ltd. (a) | 55,800 | 8,135,355 | |
14,411,483 | |||
Health Care Equipment & Supplies - 0.4% | |||
Edan Instruments, Inc. (A Shares) | 146,770 | 428,173 | |
Hartalega Holdings Bhd | 962,400 | 2,373,659 | |
Kossan Rubber Industries Bhd | 938,500 | 914,311 | |
Mercator Medical SA | 9,233 | 842,611 | |
Peijia Medical Ltd. (a)(c) | 368,000 | 1,129,176 | |
Shenzhen Mindray Bio-Medical Electronics Co. Ltd. (A Shares) | 302,825 | 19,548,713 | |
Supermax Corp. Bhd | 1,942,500 | 2,318,831 | |
Top Glove Corp. Bhd | 2,623,500 | 3,390,588 | |
Venus MedTech Hangzhou, Inc. (H Shares) (a)(c) | 52,500 | 465,000 | |
31,411,062 | |||
Health Care Providers & Services - 0.2% | |||
Aier Eye Hospital Group Co. Ltd. (A Shares) | 89,610 | 1,000,287 | |
Apollo Hospitals Enterprise Ltd. | 10,077 | 416,869 | |
Guangzhou Kingmed Diagnostics Group Co. Ltd. (A Shares) | 70,267 | 1,485,828 | |
Hapvida Participacoes e Investimentos SA (c) | 3,288,000 | 9,093,894 | |
Mediclinic International PLC (a) | 929,080 | 3,649,699 | |
National Medical Care Co. | 15,802 | 219,513 | |
Neuca SA | 233 | 43,398 | |
Qualicorp Consultoria E Corret | 342,500 | 1,930,619 | |
Rede D'Oregon Sao Luiz SA (c) | 149,987 | 1,849,345 | |
Shanghai Pharmaceuticals Holding Co. Ltd. (H Shares) | 666,100 | 1,221,170 | |
20,910,622 | |||
Life Sciences Tools & Services - 0.4% | |||
Hangzhou Tigermed Consulting Co. Ltd. (H Shares) (a)(c) | 286,100 | 5,599,208 | |
Joinn Laboratories China Co. Ltd. (H Shares) (c) | 12,700 | 225,954 | |
Pharmaron Beijing Co. Ltd. (H Shares) (c) | 161,200 | 2,755,786 | |
WuXi AppTec Co. Ltd. (H Shares) (c) | 720,480 | 15,019,966 | |
Wuxi Biologics (Cayman), Inc. (a)(c) | 1,252,500 | 15,517,124 | |
39,118,038 | |||
Pharmaceuticals - 0.6% | |||
Alkem Laboratories Ltd. | 1,896 | 69,803 | |
Aspen Pharmacare Holdings Ltd. (a) | 250,066 | 2,354,194 | |
Aurobindo Pharma Ltd. | 251,212 | 2,905,670 | |
Cadila Healthcare Ltd. | 270,783 | 1,593,854 | |
Cipla Ltd. | 124,675 | 1,327,150 | |
CSPC Pharmaceutical Group Ltd. | 2,742,160 | 2,863,616 | |
Dr. Reddy's Laboratories Ltd. | 41,288 | 2,482,019 | |
Glenmark Pharmaceuticals Ltd. | 52,865 | 333,333 | |
Hansoh Pharmaceutical Group Co. Ltd. (a)(c) | 1,174,000 | 5,978,637 | |
Jiangsu Hengrui Medicine Co. Ltd. (A Shares) | 366,876 | 5,767,894 | |
Richter Gedeon PLC | 837,024 | 23,874,708 | |
Sino Biopharmaceutical Ltd. | 6,149,000 | 6,841,515 | |
Sun Pharmaceutical Industries Ltd. | 29,462 | 236,933 | |
56,629,326 | |||
TOTAL HEALTH CARE | 162,480,531 | ||
INDUSTRIALS - 2.1% | |||
Air Freight & Logistics - 0.2% | |||
InPost SA | 129,925 | 2,846,153 | |
SF Holding Co. Ltd. (A Shares) | 613,074 | 9,937,723 | |
T3Ex Global Holdings Corp. | 12,787 | 20,805 | |
ZTO Express, Inc. (a) | 123,800 | 4,155,323 | |
16,960,004 | |||
Airlines - 0.0% | |||
Azul SA sponsored ADR (a)(b) | 113,766 | 2,448,244 | |
Copa Holdings SA Class A | 14,238 | 1,305,197 | |
3,753,441 | |||
Building Products - 0.0% | |||
Kajaria Ceramics Ltd. | 28,685 | 367,423 | |
Xinyi Glass Holdings Ltd. | 598,000 | 1,673,008 | |
Zhejiang Weixing New Building Materials Co. Ltd. (A Shares) | 147,800 | 423,874 | |
2,464,305 | |||
Commercial Services & Supplies - 0.1% | |||
Country Garden Services Holdings Co. Ltd. | 319,502 | 2,628,036 | |
Greentown Service Group Co. Ltd. | 1,200,000 | 1,219,114 | |
3,847,150 | |||
Construction & Engineering - 0.1% | |||
Budimex SA | 65 | 6,010 | |
China Communications Services Corp. Ltd. (H Shares) | 588,000 | 277,457 | |
DL E&C Co. Ltd. (a) | 8,512 | 837,970 | |
DL Holdings Co. Ltd. | 9,641 | 739,626 | |
Larsen & Toubro Ltd. | 353,200 | 6,890,880 | |
Orascom Construction PLC | 1,460 | 8,741 | |
Shanghai Construction Group Co. Ltd. (A Shares) | 1,035,427 | 471,728 | |
Tekfen Holding A/S | 384,729 | 831,440 | |
10,063,852 | |||
Electrical Equipment - 0.1% | |||
China High Speed Transmission Equipment Group Co. Ltd. | 21,210 | 20,618 | |
DONGYANG E&P, Inc. | 21,665 | 346,824 | |
Havells India Ltd. | 173,162 | 2,589,221 | |
Hongfa Technology Co. Ltd. (A Shares) | 261,011 | 2,077,962 | |
Weg SA | 371,750 | 5,177,383 | |
10,212,008 | |||
Industrial Conglomerates - 0.3% | |||
Astra Industrial Group (a) | 30,578 | 225,432 | |
CITIC Pacific Ltd. | 843,000 | 714,052 | |
CJ Corp. | 2,147 | 176,517 | |
Fosun International Ltd. | 1,668,000 | 2,503,145 | |
Hanwha Corp. | 80,493 | 2,095,270 | |
Hong Leong Industries Bhd | 3,000 | 6,053 | |
Koc Holding A/S | 2,138,516 | 6,213,913 | |
LG Corp. | 51,544 | 4,292,571 | |
LT Group, Inc. | 133,500 | 39,129 | |
Mannai Corp. (a) | 86,440 | 69,451 | |
Samsung C&T Corp. | 10,037 | 1,081,568 | |
SM Investments Corp. | 358,645 | 7,427,603 | |
24,844,704 | |||
Machinery - 0.8% | |||
Airtac International Group | 242,000 | 8,421,770 | |
Estun Automation Co. Ltd. (A Shares) (a) | 849,700 | 3,863,257 | |
Grindwell Norton Ltd. | 4,414 | 52,007 | |
Hangcha Group Co. Ltd. (A Shares) | 121,994 | 392,821 | |
HIWIN Technologies Corp. | 510,003 | 7,300,656 | |
Sany Heavy Industry Co. Ltd. (A Shares) | 759,011 | 4,818,876 | |
Schaeffler India Ltd. | 954 | 67,005 | |
Shenzhen Inovance Technology Co. Ltd. (A Shares) | 350,300 | 4,614,115 | |
Sinotruk Hong Kong Ltd. | 1,456,983 | 4,649,076 | |
Techtronic Industries Co. Ltd. | 157,000 | 2,396,560 | |
Tian Di Science & Technology Co. Ltd. (A Shares) | 333,700 | 162,852 | |
Turk Traktor ve Ziraat Makinalari A/S | 3,239 | 93,898 | |
VST Tillers Tractors Ltd. | 1,336 | 33,261 | |
Weichai Power Co. Ltd.: | |||
(A Shares) | 1,090,602 | 3,713,856 | |
(H Shares) | 7,952,000 | 23,272,296 | |
Zhejiang Sanhua Intelligent Controls Co. Ltd. (A Shares) | 2,087,300 | 7,794,555 | |
Zhengzhou Yutong Bus Co. Ltd. (A Shares) | 190,900 | 447,536 | |
Zoomlion Heavy Industry Science and Technology Co. Ltd. (H Shares) | 610,600 | 930,489 | |
73,024,886 | |||
Marine - 0.0% | |||
Qatar Navigation QPSC (a) | 6,188 | 12,404 | |
Professional Services - 0.1% | |||
51job, Inc. sponsored ADR (a) | 23,563 | 1,545,733 | |
Centre Testing International Group Co. Ltd. (A Shares) | 1,029,343 | 3,883,593 | |
Sporton International, Inc. | 417,000 | 3,740,179 | |
9,169,505 | |||
Road & Rail - 0.1% | |||
Globaltrans Investment PLC GDR (Reg. S) | 19,599 | 130,333 | |
Localiza Rent A Car SA | 181,965 | 1,883,225 | |
Rumo SA (a) | 948,300 | 3,062,744 | |
United International Transportation Co. | 566,909 | 5,781,701 | |
10,858,003 | |||
Trading Companies & Distributors - 0.1% | |||
BOC Aviation Ltd. Class A (c) | 504,000 | 4,873,363 | |
CCS Supply Chain Management Co. Ltd. A Shares | 88,072 | 70,456 | |
4,943,819 | |||
Transportation Infrastructure - 0.2% | |||
Airports of Thailand PCL (For. Reg.) | 4,594,500 | 9,586,655 | |
Grupo Aeroportuario del Sureste S.A.B. de CV: | |||
Series B(a) | 94,400 | 1,766,215 | |
Series B sponsored ADR (a) | 26,843 | 4,996,824 | |
Grupo Aeroportuario Norte S.A.B. de CV (a) | 545,600 | 3,164,955 | |
Zhejiang Expressway Co. Ltd. (H Shares) | 1,226,000 | 1,070,080 | |
20,584,729 | |||
TOTAL INDUSTRIALS | 190,738,810 | ||
INFORMATION TECHNOLOGY - 14.9% | |||
Communications Equipment - 0.1% | |||
Accton Technology Corp. | 612,000 | 5,763,642 | |
Electronic Equipment & Components - 1.9% | |||
Alviva Holdings Ltd. | 11,198 | 7,771 | |
AU Optronics Corp. (a) | 3,383,000 | 2,293,305 | |
Chaozhou Three-Circle Group Co. (A Shares) | 277,300 | 1,601,665 | |
Compeq Manufacturing Co. Ltd. | 629,000 | 995,189 | |
Coretronic Corp. | 106,400 | 183,231 | |
Delta Electronics, Inc. | 1,118,000 | 11,250,996 | |
FLEXium Interconnect, Inc. | 337,000 | 1,523,410 | |
General Interface Solution Holding Ltd. | 45,000 | 180,013 | |
Hon Hai Precision Industry Co. Ltd. (Foxconn) | 14,427,626 | 57,973,455 | |
Innolux Corp. | 3,415,000 | 2,082,840 | |
Largan Precision Co. Ltd. | 277,000 | 32,745,488 | |
LG Display Co. Ltd. (a) | 57,396 | 1,148,658 | |
LG Innotek Co. Ltd. | 27,755 | 4,898,557 | |
Redington India Ltd. | 26,941 | 66,681 | |
Samsung Electro-Mechanics Co. Ltd. | 15,812 | 2,657,479 | |
Samsung SDI Co. Ltd. | 44,678 | 26,707,144 | |
Simplo Technology Co. Ltd. | 31,000 | 416,514 | |
Sirtec International Co. Ltd. | 1,000 | 985 | |
Sunny Optical Technology Group Co. Ltd. | 580,500 | 14,519,142 | |
Unimicron Technology Corp. | 1,570,000 | 5,491,874 | |
Yageo Corp. | 246,600 | 5,246,432 | |
Zhen Ding Technology Holding Ltd. | 1,143,000 | 4,920,891 | |
176,911,720 | |||
IT Services - 1.3% | |||
Globant SA (a) | 16,788 | 3,604,719 | |
HCL Technologies Ltd. | 876,428 | 10,780,360 | |
Infosys Ltd. | 1,462,253 | 24,920,053 | |
Infosys Ltd. sponsored ADR | 1,985,203 | 33,986,675 | |
MindTree Consulting Ltd. | 111,574 | 2,414,089 | |
Mphasis BFL Ltd. | 69,476 | 1,547,534 | |
Network International Holdings PLC (a)(c) | 546,301 | 2,823,705 | |
PagSeguro Digital Ltd. (a) | 157,441 | 9,141,024 | |
StoneCo Ltd. Class A (a) | 60,502 | 5,191,677 | |
Tata Consultancy Services Ltd. | 300,215 | 11,752,063 | |
Tech Mahindra Ltd. | 307,500 | 3,821,448 | |
Wipro Ltd. | 1,232,209 | 6,842,506 | |
WNS Holdings Ltd. sponsored ADR (a) | 13,554 | 1,012,619 | |
117,838,472 | |||
Semiconductors & Semiconductor Equipment - 7.7% | |||
ASE Technology Holding Co. Ltd. | 3,699,000 | 13,784,418 | |
ASM Pacific Technology Ltd. | 69,200 | 962,641 | |
Elan Microelectronics Corp. | 69,000 | 425,788 | |
eMemory Technology, Inc. | 303,000 | 8,859,649 | |
Everlight Electronics Co. Ltd. | 73,000 | 115,106 | |
King Yuan Electronics Co. Ltd. | 902,000 | 1,287,970 | |
LONGi Green Energy Technology Co. Ltd. | 474,680 | 7,657,749 | |
Malaysian Pacific Industries Bhd | 12,286 | 112,118 | |
MediaTek, Inc. | 2,063,900 | 66,345,725 | |
Novatek Microelectronics Corp. | 318,000 | 5,407,814 | |
Phison Electronics Corp. | 86,000 | 1,417,752 | |
Powertech Technology, Inc. | 522,000 | 1,872,780 | |
Radiant Opto-Electronics Corp. | 250,000 | 1,071,826 | |
Realtek Semiconductor Corp. | 775,000 | 12,790,155 | |
Silergy Corp. | 68,000 | 6,538,227 | |
Silicon Motion Technology Corp. sponsored ADR | 8,585 | 510,292 | |
SK Hynix, Inc. | 868,362 | 108,976,052 | |
Sonix Technology Co. Ltd. | 222,000 | 673,813 | |
Taiwan Semiconductor Manufacturing Co. Ltd. | 17,655,900 | 385,445,406 | |
Taiwan Semiconductor Manufacturing Co. Ltd. sponsored ADR | 507,249 | 63,882,939 | |
United Microelectronics Corp. | 6,754,000 | 13,159,032 | |
United Microelectronics Corp. sponsored ADR (b) | 63,499 | 622,290 | |
Vanguard International Semiconductor Corp. | 815,000 | 3,391,813 | |
Win Semiconductors Corp. | 94,000 | 1,283,213 | |
Xinyi Solar Holdings Ltd. | 2,494,000 | 5,241,083 | |
711,835,651 | |||
Software - 0.1% | |||
Asseco Poland SA | 16,805 | 298,656 | |
Avast PLC (c) | 492,228 | 3,168,267 | |
Cyient Ltd. | 6,454 | 56,953 | |
Kaspi.KZ JSC unit (a)(c) | 53,015 | 3,737,558 | |
Kingsoft Corp. Ltd. | 182,000 | 1,276,460 | |
Ming Yuan Cloud Group Holdings Ltd. | 267,131 | 1,511,910 | |
Mix Telematics Ltd. sponsored ADR | 5,794 | 80,479 | |
Nucleus Software Exports Ltd. (a) | 31,536 | 224,075 | |
Oracle Finance Services Software Ltd. | 1,081 | 44,499 | |
10,398,857 | |||
Technology Hardware, Storage & Peripherals - 3.8% | |||
Acer, Inc. | 427,000 | 411,328 | |
ASUSTeK Computer, Inc. | 171,000 | 1,865,031 | |
Avalue Technology, Inc. | 13,000 | 24,066 | |
Chicony Electronics Co. Ltd. | 92,000 | 309,604 | |
Compal Electronics, Inc. | 392,000 | 312,216 | |
Lenovo Group Ltd. | 6,144,000 | 7,770,648 | |
Lite-On Technology Corp. | 1,618,000 | 3,448,111 | |
Pegatron Corp. | 2,303,000 | 6,163,807 | |
Quanta Computer, Inc. | 242,000 | 737,990 | |
Samsung Electronics Co. Ltd. | 4,400,970 | 322,015,055 | |
Wistron Corp. | 377,000 | 432,820 | |
Xiaomi Corp. Class B (a)(c) | 1,234,800 | 4,105,159 | |
347,595,835 | |||
TOTAL INFORMATION TECHNOLOGY | 1,370,344,177 | ||
MATERIALS - 4.2% | |||
Chemicals - 0.7% | |||
China Sanjiang Fine Chemicals Ltd. | 329,000 | 146,336 | |
Hansol Chemical Co. Ltd. | 33,007 | 7,142,820 | |
Kingfa Sci & Tech Co. Ltd. (A Shares) | 1,172,301 | 4,569,605 | |
LG Chemical Ltd. | 47,327 | 34,880,590 | |
Orbia Advance Corp. S.A.B. de CV | 54,136 | 126,251 | |
PhosAgro OJSC GDR (Reg. S) | 52,163 | 914,939 | |
Polyplex Corp. Ltd. | 8,102 | 86,623 | |
Saudi Basic Industries Corp. | 108,791 | 3,092,153 | |
Sociedad Quimica y Minera de Chile SA (PN-B) sponsored ADR | 126,533 | 6,782,169 | |
Solar Industries India Ltd. | 238,700 | 4,212,286 | |
Taekwang Industrial Co. Ltd. | 168 | 140,357 | |
Yanbu National Petrochemical Co. | 19,739 | 375,254 | |
62,469,383 | |||
Construction Materials - 0.6% | |||
Anhui Conch Cement Co. Ltd.: | |||
(A Shares) | 192,400 | 1,584,923 | |
(H Shares) | 2,216,000 | 14,256,316 | |
Arabian Cement Co. | 9,255 | 104,136 | |
Asia Cement (China) Holdings Corp. | 259,584 | 244,308 | |
Beijing Oriental Yuhong Waterproof Technology Co. Ltd. (A Shares) | 264,350 | 1,928,179 | |
CEMEX S.A.B. de CV: | |||
unit (a) | 1,299,780 | 866,064 | |
sponsored ADR (a) | 2,086,398 | 13,791,091 | |
China Jushi Co. Ltd. (A Shares) | 2,942,800 | 10,202,985 | |
China National Building Materials Co. Ltd. (H Shares) | 3,108,442 | 4,712,888 | |
China Resources Cement Holdings Ltd. | 378,165 | 450,495 | |
City Cement Co. | 38,438 | 269,543 | |
JK Cement Ltd. | 189,500 | 6,889,581 | |
Saudi Cement Co. | 4,049 | 68,446 | |
Ultratech Cemco Ltd. | 9,889 | 817,875 | |
56,186,830 | |||
Containers & Packaging - 0.0% | |||
Klabin SA unit | 477,578 | 2,511,371 | |
Metals & Mining - 2.5% | |||
African Rainbow Minerals Ltd. | 32,510 | 633,753 | |
Angang Steel Co. Ltd. (H Shares) | 251,654 | 117,449 | |
Anglo American Platinum Ltd. | 37,024 | 4,488,025 | |
AngloGold Ashanti Ltd. | 210,242 | 4,204,481 | |
AngloGold Ashanti Ltd. sponsored ADR | 44,728 | 892,771 | |
Ann Joo Resources Bhd (a) | 500 | 291 | |
Baoshan Iron & Steel Co. Ltd. (A Shares) | 6,494,001 | 7,541,893 | |
Barrick Gold Corp. | 428,800 | 8,005,696 | |
Companhia Siderurgica Nacional SA (CSN) | 87,200 | 511,449 | |
Eregli Demir ve Celik Fabrikalari T.A.S. | 87,253 | 171,410 | |
Fangda Special Steel Technology Co. Ltd. (A Shares) | 3,626,000 | 4,026,307 | |
First Quantum Minerals Ltd. | 98,538 | 2,123,917 | |
Gold Fields Ltd. sponsored ADR | 437,567 | 3,583,674 | |
Grupa Kety SA | 325 | 45,357 | |
Grupo Mexico SA de CV Series B | 2,022,857 | 9,604,244 | |
Harmony Gold Mining Co. Ltd. | 107,851 | 404,971 | |
Hindalco Industries Ltd. | 1,388,056 | 6,387,682 | |
Hunan Valin Steel Co. Ltd. (A Shares) | 4,101,718 | 3,699,379 | |
Impala Platinum Holdings Ltd. | 2,552,103 | 41,503,246 | |
KGHM Polska Miedz SA (Bearer) (a) | 92,263 | 4,661,774 | |
KISCO Corp. | 6,262 | 43,875 | |
Korea Zinc Co. Ltd. | 28,522 | 10,206,982 | |
Kumba Iron Ore Ltd. | 93,581 | 4,013,817 | |
Liuzhou Iron & Steel Co. Ltd. Class A | 520,900 | 479,458 | |
Magnitogorsk Iron & Steel Works PJSC sponsored GDR (Reg. S) | 37,183 | 350,264 | |
MMC Norilsk Nickel PJSC sponsored ADR | 157,688 | 4,946,673 | |
Nanjing Iron & Steel Co. Ltd. | 400,200 | 208,903 | |
Novolipetsk Steel OJSC GDR (Reg. S) | 39,121 | 1,153,287 | |
Polyus PJSC | 8,925 | 1,680,914 | |
Polyus PJSC unit | 22,763 | 2,132,893 | |
POSCO | 68,548 | 16,960,217 | |
POSCO sponsored ADR | 35,807 | 2,187,808 | |
Saudi Arabian Mining Co. (a) | 7,193 | 98,579 | |
SGIS Songshan Co. Ltd. (A Shares) | 632,300 | 424,779 | |
Shanxi Taigang Stainless Steel Co. Ltd. (A Shares) | 784,304 | 467,543 | |
Sheng Yu Steel Co. Ltd. | 29,418 | 23,167 | |
Sibanye Stillwater Ltd. | 2,075,681 | 9,543,602 | |
Southern Copper Corp. | 162,806 | 11,612,952 | |
Tata Steel Ltd. | 600,131 | 5,804,721 | |
Ternium SA sponsored ADR | 488,533 | 15,002,848 | |
Vale SA | 986,100 | 16,631,486 | |
Vale SA sponsored ADR | 1,353,872 | 22,880,437 | |
Welspun Gujarat Stahl Rohren Ltd. | 73,302 | 129,131 | |
Xinyu Iron & Steel Co. Ltd. | 2,900,747 | 1,975,598 | |
231,567,703 | |||
Paper & Forest Products - 0.4% | |||
Duratex SA | 1,829,235 | 6,009,103 | |
Nine Dragons Paper (Holdings) Ltd. | 737,000 | 1,189,622 | |
Suzano Papel e Celulose SA (a) | 1,861,000 | 24,297,736 | |
31,496,461 | |||
TOTAL MATERIALS | 384,231,748 | ||
REAL ESTATE - 0.5% | |||
Equity Real Estate Investment Trusts (REITs) - 0.0% | |||
Concentradora Fibra Danhos SA de CV | 12,699 | 15,557 | |
Real Estate Management & Development - 0.5% | |||
Agile Property Holdings Ltd. | 3,473,238 | 4,907,746 | |
Ayala Land, Inc. | 9,296,600 | 7,451,400 | |
China Overseas Grand Oceans Group Ltd. | 29,000 | 15,927 | |
China Overseas Land and Investment Ltd. | 1,018,500 | 2,578,930 | |
China Resources Land Ltd. | 558,000 | 2,650,994 | |
China Resources Mixc Lifestyle Services Ltd. (c) | 55,000 | 339,298 | |
Country Garden Holdings Co. Ltd. | 1,522,635 | 1,894,350 | |
Emaar Properties PJSC (a) | 6,196,145 | 5,887,194 | |
Gemdale Properties and Investment Corp. Ltd. | 628,000 | 97,158 | |
Greenland Holdings Corp. Ltd. (A Shares) | 5,280,363 | 4,591,159 | |
Hang Lung Properties Ltd. | 1,078,000 | 2,793,520 | |
K Wah International Holdings Ltd. | 273,792 | 140,842 | |
KWG Property Holding Ltd. | 1,094,500 | 1,659,434 | |
Longfor Properties Co. Ltd. (c) | 1,148,000 | 6,808,269 | |
Powerlong Real Estate Holding Ltd. | 195,417 | 148,393 | |
Shanghai Shimao Co. Ltd. (A Shares) | 916,415 | 669,427 | |
Shimao Property Holdings Ltd. | 379,000 | 1,248,438 | |
Sun Hung Kai Properties Ltd. | 144,500 | 2,321,255 | |
Sunac China Holdings Ltd. | 479,000 | 2,050,268 | |
48,254,002 | |||
TOTAL REAL ESTATE | 48,269,559 | ||
UTILITIES - 0.3% | |||
Electric Utilities - 0.0% | |||
CK Infrastructure Holdings Ltd. | 205,500 | 1,190,909 | |
Equatorial Energia SA | 999,426 | 3,584,537 | |
Neoenergia SA | 53,800 | 156,959 | |
4,932,405 | |||
Gas Utilities - 0.3% | |||
China Gas Holdings Ltd. | 2,141,200 | 8,626,691 | |
China Resource Gas Group Ltd. | 444,000 | 2,218,154 | |
Daesung Energy Co. Ltd. | 20,047 | 91,565 | |
ENN Energy Holdings Ltd. | 605,400 | 9,280,284 | |
Indraprastha Gas Ltd. | 649,141 | 4,319,149 | |
24,535,843 | |||
Independent Power and Renewable Electricity Producers - 0.0% | |||
AES Gener SA | 308,602 | 53,076 | |
Guangdong Baolihua New Energy Stock Co. Ltd. A Shares | 225,600 | 219,498 | |
Huadian Power International Corp. Ltd. (H Shares) | 1,384,000 | 380,060 | |
652,634 | |||
TOTAL UTILITIES | 30,120,882 | ||
TOTAL COMMON STOCKS | |||
(Cost $3,610,678,387) | 5,584,651,461 | ||
Nonconvertible Preferred Stocks - 1.7% | |||
CONSUMER DISCRETIONARY - 0.0% | |||
Automobiles - 0.0% | |||
Hyundai Motor Co. | 40,937 | 3,775,923 | |
Textiles, Apparel & Luxury Goods - 0.0% | |||
Alpargatas SA (PN) | 3,200 | 19,945 | |
TOTAL CONSUMER DISCRETIONARY | 3,795,868 | ||
CONSUMER STAPLES - 0.0% | |||
Beverages - 0.0% | |||
Ambev SA sponsored ADR | 1,420,100 | 3,621,255 | |
ENERGY - 0.2% | |||
Oil, Gas & Consumable Fuels - 0.2% | |||
Petroleo Brasileiro SA - Petrobras: | |||
(PN) (non-vtg.) | 470,700 | 1,867,950 | |
(PN) sponsored ADR (non-vtg.) (b) | 419,643 | 3,315,180 | |
sponsored ADR | 1,498,600 | 11,883,898 | |
17,067,028 | |||
FINANCIALS - 0.8% | |||
Banks - 0.8% | |||
Banco Bradesco SA (PN) | 1,057,112 | 4,338,456 | |
Itau Unibanco Holding SA | 8,379,936 | 38,204,804 | |
Itau Unibanco Holding SA sponsored ADR | 2,891,531 | 13,098,635 | |
Itausa-Investimentos Itau SA (PN) | 8,302,320 | 14,740,388 | |
Sberbank of Russia | 128,031 | 429,692 | |
Sberbank of Russia | 106,170 | 354,298 | |
71,166,273 | |||
INDUSTRIALS - 0.1% | |||
Airlines - 0.1% | |||
Azul SA (a) | 1,148,200 | 8,318,211 | |
INFORMATION TECHNOLOGY - 0.4% | |||
Technology Hardware, Storage & Peripherals - 0.4% | |||
Samsung Electronics Co. Ltd. | 569,898 | 36,796,146 | |
MATERIALS - 0.2% | |||
Chemicals - 0.0% | |||
LG Chemical Ltd. | 9,786 | 3,380,543 | |
Metals & Mining - 0.2% | |||
Bradespar SA (PN) | 86,400 | 969,113 | |
Gerdau SA | 2,584,617 | 11,931,059 | |
Metalurgica Gerdau SA (PN) | 412,500 | 852,352 | |
Usinas Siderurgicas de Minas Gerais SA - Usiminas (PN-A) (non-vtg.) | 131,900 | 382,223 | |
14,134,747 | |||
TOTAL MATERIALS | 17,515,290 | ||
UTILITIES - 0.0% | |||
Electric Utilities - 0.0% | |||
Companhia de Transmissao de Energia Eletrica Paulista (PN) | 104,566 | 445,938 | |
Companhia Energetica de Minas Gerais (CEMIG) (PN) | 473,100 | 1,009,649 | |
Companhia Paranaense de Energia-Copel (PN-B) | 79,800 | 834,139 | |
2,289,726 | |||
TOTAL NONCONVERTIBLE PREFERRED STOCKS | |||
(Cost $154,589,160) | 160,569,797 | ||
Equity Funds - 35.9% | |||
Diversified Emerging Markets Funds - 35.9% | |||
Aberdeen Emerging Markets Fund Institutional Service Class | 10,174,515 | 212,749,103 | |
Brandes Emerging Markets Value Fund Class A | 16,661,342 | 146,119,965 | |
Fidelity Emerging Markets Fund (e) | 14,345,964 | 684,589,409 | |
Fidelity SAI Emerging Markets Index Fund (e) | 25,364,113 | 438,038,233 | |
Fidelity SAI Emerging Markets Low Volatility Index Fund (e) | 48,300,884 | 518,268,483 | |
Fidelity SAI Emerging Markets Value Index Fund (e) | 22,772,922 | 323,147,760 | |
GMO Emerging Markets Fund - Class III | 1,924,381 | 70,836,449 | |
Goldman Sachs Emerging Markets Equity Fund Institutional Shares | 9,762,266 | 309,951,952 | |
Invesco Developing Markets Fund Class R6 | 4,411,986 | 240,982,698 | |
Invesco Emerging Markets Innovators Fund Class R6 | 4,822,957 | 66,267,429 | |
iShares MSCI China ETF (b) | 1,959,010 | 170,649,361 | |
iShares MSCI EM ESG Optimized ETF (b) | 209,609 | 9,141,048 | |
iShares MSCI South Korea Index ETF (b) | 546,222 | 48,051,149 | |
Lazard Emerging Markets Equity Portfolio Open Shares | 842,137 | 16,000,611 | |
Matthews Korea Fund Investor Class | 4,457,127 | 27,990,757 | |
Matthews Pacific Tiger Fund Investor Class | 135 | 4,934 | |
Xtrackers Harvest CSI 300 China ETF Class A (b) | 545,987 | 22,549,263 | |
TOTAL EQUITY FUNDS | |||
(Cost $2,301,011,869) | 3,305,338,604 | ||
Other - 0.1% | |||
Commodity Funds - Broad Basket - 0.1% | |||
Fidelity SAI Inflation-Focused Fund (e) | |||
(Cost $6,768,588) | 858,825 | 9,687,545 | |
U.S. Treasury Obligations - 0.1% | |||
Principal Amount | |||
U.S. Treasury Bills, yield at date of purchase 0.07% to 0.08% 3/4/21 to 3/18/21 (f) | |||
(Cost $3,989,928) | $3,990,000 | 3,989,969 | |
Money Market Funds - 3.8% | |||
Fidelity Cash Central Fund 0.07% (g) | 8,971,500 | 8,973,295 | |
Fidelity Securities Lending Cash Central Fund 0.08% (g)(h) | 213,442,625 | 213,463,969 | |
State Street Institutional U.S. Government Money Market Fund Premier Class .03% (i) | 129,182,283 | 129,182,283 | |
TOTAL MONEY MARKET FUNDS | |||
(Cost $351,619,547) | 351,619,547 | ||
TOTAL INVESTMENT IN SECURITIES - 102.2% | |||
(Cost $6,428,657,479) | 9,415,856,923 | ||
NET OTHER ASSETS (LIABILITIES) - (2.2)% | (201,625,629) | ||
NET ASSETS - 100% | $9,214,231,294 |
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) | 905 | March 2021 | $60,549,025 | $1,867,784 | $1,867,784 |
The notional amount of futures purchased as a percentage of Net Assets is 0.7%
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 $172,233,682 or 1.9% of net assets.
(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 $3,743,971.
(g) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.
(h) Investment made with cash collateral received from securities on loan.
(i) The rate quoted is the annualized seven-day yield of the fund at period end.
Affiliated Central Funds
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:
Fund | Income earned |
Fidelity Cash Central Fund | $6,852 |
Fidelity Securities Lending Cash Central Fund | 1,442,058 |
Total | $1,448,910 |
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 | $79,966,753 | $-- | $8,966,752 | $-- | $205,911,611 | $684,589,409 |
Fidelity SAI Emerging Markets Index Fund | -- | 911,326,684 | 798,214,709 | 11,635,473 | 163,004,686 | 161,921,572 | 438,038,233 |
Fidelity SAI Emerging Markets Low Volatility Index Fund | 232,700,499 | 206,870,434 | -- | 8,870,434 | -- | 78,697,550 | 518,268,483 |
Fidelity SAI Emerging Markets Value Index Fund | -- | 263,332,400 | -- | 4,332,400 | -- | 59,815,360 | 323,147,760 |
Fidelity SAI Inflation-Focused Fund | -- | 6,768,587 | -- | 268,588 | -- | 2,918,958 | 9,687,545 |
Total | $631,411,544 | $1,468,264,858 | $798,214,709 | $34,073,647 | $163,004,686 | $509,265,051 | $1,973,731,430 |
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 February 28, 2021, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Equities: | ||||
Communication Services | $737,300,376 | $296,302,037 | $440,998,339 | $-- |
Consumer Discretionary | 1,177,813,770 | 1,033,385,594 | 144,399,516 | 28,660 |
Consumer Staples | 329,477,552 | 304,146,266 | 25,331,286 | -- |
Energy | 166,131,581 | 136,771,122 | 29,354,548 | 5,911 |
Financials | 1,083,392,899 | 695,682,884 | 387,710,015 | -- |
Health Care | 162,480,531 | 136,346,033 | 26,134,498 | -- |
Industrials | 199,057,021 | 185,315,043 | 13,741,978 | -- |
Information Technology | 1,407,140,323 | 955,441,786 | 451,698,537 | -- |
Materials | 401,747,038 | 368,952,853 | 32,794,185 | -- |
Real Estate | 48,269,559 | 48,269,559 | -- | -- |
Utilities | 32,410,608 | 32,410,608 | -- | -- |
Equity Funds | 3,305,338,604 | 3,305,338,604 | -- | -- |
Other | 9,687,545 | 9,687,545 | -- | -- |
Other Short-Term Investments | 3,989,969 | -- | 3,989,969 | -- |
Money Market Funds | 351,619,547 | 351,619,547 | -- | -- |
Total Investments in Securities: | $9,415,856,923 | $7,859,669,481 | $1,556,152,871 | $34,571 |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $1,867,784 | $1,867,784 | $-- | $-- |
Total Assets | $1,867,784 | $1,867,784 | $-- | $-- |
Total Derivative Instruments: | $1,867,784 | $1,867,784 | $-- | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of February 28, 2021. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
Primary Risk Exposure / Derivative Type | Value | |
Asset | Liability | |
Equity Risk | ||
Futures Contracts(a) | $1,867,784 | $0 |
Total Equity Risk | 1,867,784 | 0 |
Total Value of Derivatives | $1,867,784 | $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 | 38.4% |
Cayman Islands | 17.0% |
Korea (South) | 9.0% |
Taiwan | 8.5% |
China | 7.1% |
India | 5.0% |
Brazil | 3.3% |
South Africa | 2.2% |
Russia | 1.5% |
Hong Kong | 1.4% |
Others (Individually Less Than 1%) | 6.6% |
100.0% |
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
February 28, 2021 | ||
Assets | ||
Investment in securities, at value (including securities loaned of $205,899,413) — See accompanying schedule: Unaffiliated issuers (cost $4,818,766,808) | $7,219,688,229 | |
Fidelity Central Funds (cost $222,437,264) | 222,437,264 | |
Other affiliated issuers (cost $1,387,453,407) | 1,973,731,430 | |
Total Investment in Securities (cost $6,428,657,479) | $9,415,856,923 | |
Cash | 648,584 | |
Foreign currency held at value (cost $1,137,972) | 1,123,808 | |
Receivable for investments sold | 36,348,342 | |
Receivable for fund shares sold | 4,699,345 | |
Dividends receivable | 13,986,929 | |
Interest receivable | 2,306 | |
Distributions receivable from Fidelity Central Funds | 115,556 | |
Other receivables | 71,072 | |
Total assets | 9,472,852,865 | |
Liabilities | ||
Payable for investments purchased | $25,628,094 | |
Payable for fund shares redeemed | 3,374,291 | |
Accrued management fee | 2,654,685 | |
Payable for daily variation margin on futures contracts | 806,755 | |
Other payables and accrued expenses | 12,744,346 | |
Collateral on securities loaned | 213,413,400 | |
Total liabilities | 258,621,571 | |
Net Assets | $9,214,231,294 | |
Net Assets consist of: | ||
Paid in capital | $6,260,150,753 | |
Total accumulated earnings (loss) | 2,954,080,541 | |
Net Assets | $9,214,231,294 | |
Net Asset Value, offering price and redemption price per share ($9,214,231,294 ÷ 663,818,602 shares) | $13.88 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Year ended February 28, 2021 | ||
Investment Income | ||
Dividends: | ||
Unaffiliated issuers | $99,517,679 | |
Affiliated issuers | 25,863,481 | |
Interest | 388,365 | |
Income from Fidelity Central Funds (including $1,442,058 from security lending) | 1,448,910 | |
Income before foreign taxes withheld | 127,218,435 | |
Less foreign taxes withheld | (11,388,728) | |
Total income | 115,829,707 | |
Expenses | ||
Management fee | $40,987,745 | |
Custodian fees and expenses | 1,073,986 | |
Independent trustees' fees and expenses | 69,285 | |
Registration fees | 170,665 | |
Audit | 115,234 | |
Legal | 19,849 | |
Miscellaneous | 114,790 | |
Total expenses before reductions | 42,551,554 | |
Expense reductions | (18,236,246) | |
Total expenses after reductions | 24,315,308 | |
Net investment income (loss) | 91,514,399 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers (net of foreign taxes of $59,351) | 2,629,739 | |
Fidelity Central Funds | 19,352 | |
Other affiliated issuers | 163,004,686 | |
Foreign currency transactions | (3,423,285) | |
Futures contracts | 45,837,106 | |
Capital gain distributions from underlying funds: | ||
Unaffiliated issuers | 3,261,814 | |
Affiliated issuers | 8,210,166 | |
Total net realized gain (loss) | 219,539,578 | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers (net of increase in deferred foreign taxes of $12,011,773) | 1,862,797,063 | |
Affiliated issuers | 509,265,051 | |
Assets and liabilities in foreign currencies | (11,097) | |
Futures contracts | 12,320,411 | |
Total change in net unrealized appreciation (depreciation) | 2,384,371,428 | |
Net gain (loss) | 2,603,911,006 | |
Net increase (decrease) in net assets resulting from operations | $2,695,425,405 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Year ended February 28, 2021 | Year ended February 29, 2020 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $91,514,399 | $108,126,598 |
Net realized gain (loss) | 219,539,578 | 4,525,353 |
Change in net unrealized appreciation (depreciation) | 2,384,371,428 | (7,473,055) |
Net increase (decrease) in net assets resulting from operations | 2,695,425,405 | 105,178,896 |
Distributions to shareholders | (90,024,462) | (108,590,118) |
Share transactions | ||
Proceeds from sales of shares | 3,358,154,783 | 778,953,889 |
Reinvestment of distributions | 81,913,668 | 107,714,914 |
Cost of shares redeemed | (1,649,482,798) | (725,778,234) |
Net increase (decrease) in net assets resulting from share transactions | 1,790,585,653 | 160,890,569 |
Total increase (decrease) in net assets | 4,395,986,596 | 157,479,347 |
Net Assets | ||
Beginning of period | 4,818,244,698 | 4,660,765,351 |
End of period | $9,214,231,294 | $4,818,244,698 |
Other Information | ||
Shares | ||
Sold | 324,339,792 | 75,927,054 |
Issued in reinvestment of distributions | 6,168,199 | 9,678,318 |
Redeemed | (138,988,515) | (69,026,725) |
Net increase (decrease) | 191,519,476 | 16,578,647 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Strategic Advisers Emerging Markets Fund
Years ended February 28, | 2021 | 2020 A | 2019 | 2018 | 2017 |
Selected Per–Share Data | |||||
Net asset value, beginning of period | $10.20 | $10.23 | $11.75 | $9.14 | $7.15 |
Income from Investment Operations | |||||
Net investment income (loss)B | .15 | .23C | .17 | .14 | .10 |
Net realized and unrealized gain (loss) | 3.66 | (.03) | (1.53) | 2.62 | 1.99 |
Total from investment operations | 3.81 | .20 | (1.36) | 2.76 | 2.09 |
Distributions from net investment income | (.13) | (.23) | (.16) | (.15) | (.10) |
Distributions from net realized gain | – | – | – | –D | (.01) |
Total distributions | (.13) | (.23) | (.16) | (.15) | (.10)E |
Net asset value, end of period | $13.88 | $10.20 | $10.23 | $11.75 | $9.14 |
Total ReturnF | 37.42% | 1.80% | (11.48)% | 30.23% | 29.40% |
Ratios to Average Net AssetsG,H | |||||
Expenses before reductions | .59% | .64% | .66% | .70% | .60% |
Expenses net of fee waivers, if any | .34% | .39% | .41% | .45% | .35% |
Expenses net of all reductions | .34% | .39% | .40% | .45% | .35% |
Net investment income (loss) | 1.28% | 2.20%C | 1.60% | 1.36% | 1.23% |
Supplemental Data | |||||
Net assets, end of period (000 omitted) | $9,214,231 | $4,818,245 | $4,660,765 | $5,070,379 | $4,599,443 |
Portfolio turnover rateI | 43% | 39% | 57% | 31% | 23% |
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(s) which amounted to $.03 per share. Excluding such non-recurring dividend(s), 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 per share do not sum due to rounding.
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 Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements
For the period ended February 28, 2021
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 February 28, 2021 is included at the end of the Fund's Schedule of Investments.
Foreign Currency. Certain Funds may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.
Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received, and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and include proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Income and capital gain distributions from any underlying mutual funds or exchange-traded funds (ETFs) are recorded on the ex-dividend date. Certain distributions received by the Fund represent a return of capital or capital gain. The Fund determines the components of these distributions subsequent to the ex-dividend date, based upon receipt of tax filings or other correspondence relating to the underlying investment. These distributions are recorded as a reduction of cost of investments and/or as a realized gain. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain.
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan) for certain Funds, certain independent Trustees have elected to defer receipt of a portion of their annual compensation. Deferred amounts are invested in affiliated mutual funds, are marked-to-market and remain in a fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees presented below are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, as applicable.
Strategic Advisers Emerging Markets Fund | $65,069 |
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of February 28, 2021, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests. The Fund is subject to a tax imposed on capital gains by certain countries in which it invests. An estimated deferred tax liability for net unrealized appreciation on the applicable securities is included in Other payables and accrued expenses on the Statement of Assets & Liabilities.
Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to futures contracts, foreign currency transactions, certain foreign taxes, passive foreign investment companies (PFIC), market discount, 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 | $3,069,136,622 |
Gross unrealized depreciation | (123,997,228) |
Net unrealized appreciation (depreciation) | $2,945,139,394 |
Tax Cost | $6,470,717,529 |
The tax-based components of distributable earnings as of period end were as follows:
Undistributed ordinary income | $9,463,205 |
Undistributed long-term capital gain | $12,056,854 |
Net unrealized appreciation (depreciation) on securities and other investments | $2,944,693,583 |
The tax character of distributions paid was as follows:
February 28, 2021 | February 29, 2020 | |
Ordinary Income | $ 90,024,462 | $ 108,590,118 |
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 | 4,867,181,616 | 2,929,831,383 |
5. Fees and Other Transactions with Affiliates.
Management Fee. Strategic Advisers (the investment adviser) provides the Fund with investment management related services. For these services, the Fund pays a monthly management fee to the investment adviser. The management fee is calculated by adding the annual management fee rate of .25% of the Fund's average net assets throughout the month payable to the investment adviser to the aggregate of the fee rates, payable monthly, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed 1.20% of the Fund's average net assets. For the reporting period, the total annual management fee rate was .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.
Geode Capital Management, LLC (Geode) has been retained to serve as a sub-adviser for the Fund. As of the date of this report, however, Geode has not been allocated any portion of the Fund's assets. Geode in the future may provide discretionary investment advisory services for an allocated portion of the Fund's assets and will be paid by the investment adviser for providing these services.
Brokerage Commissions. A portion of portfolio transactions were placed with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Statement of Operations. The commissions paid to these affiliated firms were as follows:
Amount | |
Strategic Advisers Emerging Markets Fund | $6,342 |
Interfund Trades. Funds may purchase from or sell securities to other funds affiliated with each sub-adviser under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note and are noted in the table below.
Purchases ($) | Sales ($) | |
Strategic Advisers Emerging Markets Fund | 19,491,816 | 16,963,819 |
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, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC website or upon request.
7. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below.
Amount | |
Strategic Advisers Emerging Markets Fund | $14,381 |
During the period, there were no borrowings on this line of credit.
8. Security Lending.
Funds lend portfolio securities through a lending agent from time to time in order to earn additional income. On the settlement date of the loan, a fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of a fund and any additional required collateral is delivered to a fund on the next business day. A fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund may apply collateral received from the borrower against the obligation. A fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds.
9. Expense Reductions.
The investment adviser has contractually agreed to waive the Fund's management fee in an amount equal to .25% of the Fund's average net assets until September 30, 2023. During the period, this waiver reduced the Fund's management fee by $ 18,057,466.
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 expenses. This amount totaled $176,296 for the period.
In addition, through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses by $2,484.
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 SAI Emerging Markets Index Fund | 12% |
Fidelity SAI Emerging Markets Low Volatility Index Fund | 36% |
Fidelity SAI Emerging Markets Value Index Fund | 28% |
11. Coronavirus (COVID-19) Pandemic.
An outbreak of COVID-19 first detected in China during December 2019 has since spread globally and was declared a pandemic by the World Health Organization during March 2020. Developments that disrupt global economies and financial markets, such as the COVID-19 pandemic, may magnify factors that affect the Fund's performance.
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Fidelity Rutland Square Trust II and Shareholders of Strategic Advisers Emerging Markets Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Strategic Advisers Emerging Markets Fund (one of the funds constituting Fidelity Rutland Square Trust II, referred to hereafter as the “Fund”) as of February 28, 2021, the related statement of operations for the year ended February 28, 2021, the statement of changes in net assets for each of the two years in the period ended February 28, 2021, including the related notes, and the financial highlights for each of the five years in the period ended February 28, 2021 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of February 28, 2021, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended February 28, 2021 and the financial highlights for each of the five years in the period ended February 28, 2021 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of February 28, 2021 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
Boston, Massachusetts
April 13, 2021
We have served as the auditor of one or more investment companies in the Fidelity group of funds since 1932.
Trustees and Officers
The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance. If the interests of the fund and an underlying Fidelity® fund were to diverge, a conflict of interest could arise and affect how the Trustees and Members of the Advisory Board fulfill their fiduciary duties to the affected funds. Strategic Advisers has structured the fund to avoid these potential conflicts, although there may be situations where a conflict of interest is unavoidable. In such instances, Strategic Advisers, the Trustees, and Members of the Advisory Board would take reasonable steps to minimize and, if possible, eliminate the conflict. Each of the Trustees oversees 12 funds.
The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. Each Independent Trustee shall retire not later than the last day of the calendar year in which his or her 75th birthday occurs. The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees. Officers and Advisory Board Members hold office without limit in time, except that any officer or Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.
Each Trustee who is not an interested person (as defined in the 1940 Act) of the trust and the fund is referred to herein as an Independent Trustee.
The fund’s Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-3455.
Experience, Skills, Attributes, and Qualifications of the Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee may also engage professional search firms to help identify potential Independent Trustee candidates with experience, qualifications, attributes, and skills consistent with the Statement of Policy. Additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, may be considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.
In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.
Board Structure and Oversight Function. Robert A. Lawrence is an interested person and currently serves as Chairman. The Trustees have determined that an interested Chairman is appropriate and benefits shareholders because an interested Chairman has a personal and professional stake in the quality and continuity of services provided to the fund. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chairman, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chairman and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session. Mary C. Farrell serves as the lead Independent Trustee and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.
Fidelity® funds are overseen by different Boards of Trustees. The fund's Board oversees asset allocation funds. Other Boards oversee Fidelity's investment-grade bond, money market, and asset allocation funds, and Fidelity's equity and high income funds. The fund may invest in Fidelity® funds overseen by such other Boards. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity® funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues.
The Trustees primarily operate as a full Board, but also operate in committees, to facilitate the timely and efficient consideration of all matters of importance to the Trustees, the fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the fund's activities and associated risks. The Board has charged Strategic Advisers and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the fund's business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above. Because the day-to-day operations and activities of the fund are carried out by or through Strategic Advisers, its affiliates and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees. Board oversight of different aspects of the fund's activities is exercised primarily through the full Board, but also through the Audit and Compliance Committee. Appropriate personnel, including but not limited to the fund's Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the fund's Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate. The responsibilities of each standing committee, including their oversight responsibilities, are described further under "Standing Committees of the Trustees."
Interested Trustees*:
Correspondence intended for a Trustee who is an interested person may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Robert A. Lawrence (1952)
Year of Election or Appointment: 2016
Trustee
Chairman of the Board of Trustees
Mr. Lawrence also serves as Trustee of other funds. Previously, Mr. Lawrence served as a Member of the Advisory Board of certain funds. Prior to his retirement in 2008, Mr. Lawrence served as Vice President of certain Fidelity® funds (2006-2008), Senior Vice President, Head of High Income Division of Fidelity Management & Research Company (investment adviser firm, 2006-2008), and President of Fidelity Strategic Investments (investment adviser firm, 2002-2005).
Charles S. Morrison (1960)
Year of Election or Appointment: 2020
Trustee
Mr. Morrison also serves as Trustee of other funds. Previously, Mr. Morrison served as President (2017-2018) and Director (2014-2018) of Fidelity SelectCo, LLC (investment adviser firm), President of Fidelity Management & Research Company (FMR) (investment adviser firm, 2016-2018), a Director of Fidelity Investments Money Management, Inc. (investment adviser firm, 2014-2018), President, Asset Management (2014-2018), Trustee of the Fidelity Equity and High Income Funds (283 funds as of December 2018) (2014-2018), and was an employee of Fidelity Investments. Mr. Morrison also previously served as Vice President of Fidelity's Fixed Income and Asset Allocation Funds (2012-2014), President, Fixed Income (2011-2014), Vice President of Fidelity's Money Market Funds (2005-2009), President, Money Market Group Leader of FMR (2009), and Senior Vice President, Money Market Group of FMR (2004-2009). Mr. Morrison also served as Vice President of Fidelity's Bond Funds (2002-2005), certain Balanced Funds (2002-2005), and certain Asset Allocation Funds (2002-2007), and as Senior Vice President (2002-2005) of Fidelity's Bond Division.
* Determined to be an "Interested Trustee" by virtue of, among other things, his or her affiliation with the trust or various entities under common control with Strategic Advisers.
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Independent Trustees:
Correspondence intended for an Independent Trustee may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Peter C. Aldrich (1944)
Year of Election or Appointment: 2006
Trustee
Mr. Aldrich also serves as Trustee of other funds. Mr. Aldrich is a Director of the U.S. Core Property Fund (and, previously, other funds) of BlackRock Realty Group (2006-present). Previously, Mr. Aldrich served as a Managing Member of Poseidon, LLC (foreign private investment, 1998-2004), and Chairman and Managing Member of AEGIS, LLC (foreign private investment, 1997-2004). Mr. Aldrich previously was a founder, Chief Executive Officer, and Chairman of AEW Capital Management, L.P. (then “Aldrich, Eastman and Waltch, L.P.”). Mr. Aldrich also served as a Director of LivelyHood, Inc. (private corporation, 2013-2020), a Trustee for the Fidelity Rutland Square Trust (2005-2010), a Director of Zipcar, Inc. (car sharing services, 2001-2009) and as Faculty Chairman of The Research Council on Global Investment of The Conference Board (business and professional education non-profit, 1999-2004). Mr. Aldrich is a Member Emeritus of the Board of Directors of the National Bureau of Economic Research, the Board of Trustees of the Museum of Fine Arts Boston and the Board of Overseers of the Massachusetts Eye and Ear Infirmary.
Mary C. Farrell (1949)
Year of Election or Appointment: 2013
Trustee
Ms. Farrell also serves as Trustee of other funds. Ms. Farrell is a Director of the W.R. Berkley Corporation (insurance provider) and President (2009-present) and Director (2006-present) of the Howard Gilman Foundation (charitable organization). Previously, Ms. Farrell was Managing Director and Chief Investment Strategist at UBS Wealth Management USA and Co-Head of UBS Wealth Management Investment Strategy & Research Group (2003-2005). Ms. Farrell also served as Investment Strategist at PaineWebber (1982-2000) and UBS PaineWebber (2000-2002). Ms. Farrell serves as Chairman of the Board of Trustees of Yale-New Haven Hospital and Vice Chairman of the Yale New Haven Health System Board and previously served as Trustee on the Board of Overseers of the New York University Stern School of Business.
Karen Kaplan (1960)
Year of Election or Appointment: 2006
Trustee
Ms. Kaplan also serves as Trustee of other funds. Ms. Kaplan is Chairman (2014-present) and Chief Executive Officer (2013-present) of Hill Holliday (advertising and specialized marketing). Ms. Kaplan is a Director of The Michaels Companies, Inc. (specialty retailer, 2015-present), Member of the Board of Governors of the Chief Executives’ Club of Boston (2010-present), Member of the Executive Committee of the Greater Boston Chamber of Commerce (2006-present), Advisory Board Member of the National Association of Corporate Directors Chapter (2012-present), Member of the Board of Trustees of the Post Office Square Trust (2012-present), Trustee of the Brigham and Women’s Hospital (2016-present), Overseer of the Boston Symphony Orchestra (2014-present), Member of the Board of Directors of The Advertising Council, Inc. (2016-present), Member of the Ron Burton Training Village Executive Board of Advisors (2018-present), Member of the Executive Committee of The Ad Council, Inc. (2019-present), and Member of the Board of Directors of The Ad Club of Boston (2020-present). Previously, Ms. Kaplan served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010), a member of the Clinton Global Initiative (2010-2015), Director of DSM (dba Delta Dental and DentaQuest) (2004-2014), Formal Appointee of the 2015 Baker-Polito Economic Development Council, Director of Vera Bradley Inc. (designer of women’s accessories, 2012-2015), Member of the Board of Directors of the Massachusetts Conference for Women (2008-2015), Member of the Board of Directors of Jobs for Massachusetts (2012-2015), President of the Massachusetts Women’s Forum (2008-2010), Treasurer of the Massachusetts Women’s Forum (2002-2006), and Vice Chair of the Board of the Massachusetts Society for the Prevention of Cruelty to Children (2003-2010).
Christine Marcks (1955)
Year of Election or Appointment: 2020
Trustee
Ms. Marcks also serves as Trustee of other Funds. Prior to her retirement, Ms. Marcks served as Chief Executive Officer and President – Prudential Retirement (2007-2017) and Vice President for Rollover and Retirement Income Strategies (2005-2007), Prudential Financial, Inc. (financial services). Previously, Ms. Marcks served as a Member of the Advisory Board of certain Fidelity® funds (2019-2020), was Senior Vice President and Head of Financial Horizons (2002-2004) and Vice President, Strategic Marketing (2000-2002) of Voya Financial (formerly ING U.S.) (financial services), held numerous positions at Aetna Financial Services (financial services, 1987-2000) and served as an International Economist for the United States Department of the Treasury (1980-1987). Ms. Marcks also serves as a member of the Board of Trustees, Audit Committee and Benefits & Operations Committee of the YMCA Retirement Fund (2018-present), a non-profit organization providing retirement plan benefits to YMCA staff members, and as a member of the Board of Trustees of Assumption College (2019-present).
Heidi L. Steiger (1953)
Year of Election or Appointment: 2017
Trustee
Ms. Steiger also serves as Trustee of other funds. Ms. Steiger serves as Managing Partner of Topridge Associates, LLC (consulting, 2005-present), a member of the Advisory Board of the joint degree program in Global Luxury Management at North Carolina State University (Raleigh, NC) and Skema (Paris) (2018-present), a Non-Executive Director of CrowdBureau Corporation (financial technology company and index provider, 2018-present), a member of the Board of Directors (2013-present) and Chair of the Audit Committee and member of the Membership and Executive Committees (2017-present) of Business Executives for National Security (nonprofit), and member of the Board of Directors Chair of the Remuneration Committee of Imagine Intelligent Materials Limited (2019-present) (technology company). Previously, Ms. Steiger served as a member of the Global Advisory Board and Of Counsel to Signum Global Advisors (international policy and strategy, 2018-2020), Eastern Region President of The Private Client Reserve of U.S. Bancorp (banking and financial services, 2010-2015), Advisory Director of Berkshire Capital Securities, LLC (financial services, 2009-2010), President and Senior Advisor of Lowenhaupt Global Advisors, LLC (financial services, 2005-2007), and President and Contributing Editor of Worth Magazine (2004-2005) and held a variety of positions at Neuberger Berman Group, LLC (financial services, 1986-2004), including Partner and Executive Vice President and Global Head of Private Asset Management at Neuberger Berman (1999-2004). Ms. Steiger also served as a member of the Board of Directors of Nuclear Electric Insurance Ltd (insurer of nuclear utilities, 2006-2017), a member of the Board of Trustees and Audit Committee of the Eaton Vance Funds (2007-2010), a member of the Board of Directors of Aviva USA (formerly AmerUs) (insurance, 2004-2014), and a member of the Board of Trustees and Audit Committee and Chair of the Investment Committee of CIFG (financial guaranty insurance, 2009-2012), and a member of the Board of Directors of Kin Group Plc (formerly, Fitbug Holdings) (health and technology, 2016-2017).
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Advisory Board Members and Officers:
Correspondence intended for a Member of the Advisory Board (if any) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235. Correspondence intended for an officer or Howard E. Cox, Jr. may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210. Officers appear below in alphabetical order.
Name, Year of Birth; Principal Occupation
Ralph F. Cox (1932)
Year of Election or Appointment: 2020
Member of the Advisory Board
Mr. Cox also serves as a Member of the Advisory Board of other funds. Mr. Cox is President of RABAR Enterprises (management consulting for the petroleum industry). Mr. Cox is a Director of Abraxas Petroleum (exploration and production, 1999-present). Mr. Cox is a member of the Advisory Boards of the Business and Engineering Schools of Texas A&M University and the Engineering School of University of Texas at Austin. Previously, Mr. Cox served as Trustee of other funds (2006-2020), a Trustee for the Fidelity Rutland Square Trust (2005-2010) and as an Advisory Director of CH2M Hill Companies (engineering, 1981-2011). Mr. Ralph F. Cox and Mr. Howard E. Cox, Jr. are not related.
Howard E. Cox, Jr. (1944)
Year of Election or Appointment: 2009
Member of the Advisory Board
Mr. Cox also serves as a Member of the Advisory Board of other funds. Mr. Cox is a Partner of Greylock (venture capital, 1971-present) and a Director of Stryker Corporation (medical products and services, 1974-present). Previously, Mr. Cox served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010). Mr. Cox also serves as a Member of the Secretary of Defense's Business Board of Directors (2008-present), a Director of Business Executives for National Security (1997-present), a Director of the Brookings Institution (2010-present), a Director of the World Economic Forum’s Young Global Leaders Foundation (2009-present), and is a Member of the Harvard Medical School Board of Fellows (2002-present). Mr. Howard E. Cox, Jr. and Mr. Ralph F. Cox are not related.
Craig S. Brown (1977)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Brown also serves as Assistant Treasurer of other funds. Mr. Brown is an employee of Fidelity Investments (2013-present).
John J. Burke III (1964)
Year of Election or Appointment: 2018
Chief Financial Officer
Mr. Burke also serves as Chief Financial Officer of other funds. Mr. Burke serves as Head of Investment Operations for Fidelity Fund and Investment Operations (2018-present) and is an employee of Fidelity Investments (1998-present). Previously Mr. Burke served as head of Asset Management Investment Operations (2012-2018).
Jonathan Davis (1968)
Year of Election or Appointment: 2010
Assistant Treasurer
Mr. Davis also serves as Assistant Treasurer of other funds. Mr. Davis serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments. Previously, Mr. Davis served as Vice President and Associate General Counsel of FMR LLC (diversified financial services company, 2003-2010).
Laura M. Del Prato (1964)
Year of Election or Appointment: 2018
Assistant Treasurer
Ms. Del Prato also serves as an officer of other funds. Ms. Del Prato is an employee of Fidelity Investments (2017-present). Previously, Ms. Del Prato served as President and Treasurer of The North Carolina Capital Management Trust: Cash Portfolio and Term Portfolio (2018-2020). Prior to joining Fidelity Investments, Ms. Del Prato served as a Managing Director and Treasurer of the JPMorgan Mutual Funds (2014-2017). Prior to JPMorgan, Ms. Del Prato served as a partner at Cohen Fund Audit Services (accounting firm, 2012-2013) and KPMG LLP (accounting firm, 2004-2012).
James D. Gryglewicz (1972)
Year of Election or Appointment: 2015
Chief Compliance Officer
Mr. Gryglewicz also serves as Chief Compliance Officer of other funds. Mr. Gryglewicz serves as Compliance Officer of Strategic Advisers LLC (investment adviser firm, 2015-present), Senior Vice President of Asset Management Compliance (2009-present), and is an employee of Fidelity Investments (2004-present). Previously, Mr. Gryglewicz served as Compliance Officer of Fidelity SelectCo, LLC (investment adviser firm, 2014-2019), and as Chief Compliance Officer of certain Fidelity® funds (2014-2018).
Colm A. Hogan (1973)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Hogan also serves as an officer of other funds. Mr. Hogan serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2005-present). Previously, Mr. Hogan served as Deputy Treasurer of certain Fidelity® funds (2016-2020) and Assistant Treasurer of certain Fidelity® funds (2016-2018).
Christina H. Lee (1975)
Year of Election or Appointment: 2020
Secretary and Chief Legal Officer
Ms. Lee also serves as Secretary and CLO of other funds. Ms. Lee serves as Vice President, Associate General Counsel (2014-present) and is an employee of Fidelity Investments (2007-present). Previously, Ms. Lee served as Assistant Secretary of certain funds (2018-2019).
Cynthia Lo Bessette (1969)
Year of Election or Appointment: 2020
Assistant Secretary
Ms. Lo Bessette also serves as an officer of other funds. Ms. Lo Bessette serves as CLO, Secretary, and Senior Vice President of Fidelity Management & Research Company LLC (investment adviser firm, 2019-present); and CLO of Fidelity Management & Research (Hong Kong) Limited, FMR Investment Management (UK) Limited, and Fidelity Management & Research (Japan) Limited (investment adviser firms, 2019-present). She is a Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company, 2019-present), and is an employee of Fidelity Investments. Previously, Ms. Lo Bessette served as CLO, Secretary, and Senior Vice President of FMR Co., Inc. (investment adviser firm, 2019); Secretary of Fidelity SelectCo, LLC and Fidelity Investments Money Management, Inc. (investment adviser firms, 2019). Prior to joining Fidelity Investments, Ms. Lo Bessette was Executive Vice President, General Counsel (2016-2019) and Senior Vice President, Deputy General Counsel (2015-2016) of OppenheimerFunds (investment management company) and Deputy Chief Legal Officer (2013-2015) of Jennison Associates LLC (investment adviser firm).
Chris Maher (1972)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Maher also serves as an officer of other funds. Mr. Maher serves as Assistant Treasurer of FMR Capital, Inc. (2017-present), and is an employee of Fidelity Investments (2008-present). Previously, Mr. Maher served as Assistant Treasurer of certain funds (2013-2020); Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010).
Brett Segaloff (1972)
Year of Election or Appointment: 2021
Anti-Money Laundering (AML) Officer
Mr. Segaloff also serves as an AML Officer of other funds and other related entities. He is Director, Anti-Money Laundering (2007-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments (1996-present).
Stacie M. Smith (1974)
Year of Election or Appointment: 2020
President and Treasurer
Ms. Smith also serves as an officer of other funds. Ms. Smith serves as Assistant Treasurer of FMR Capital, Inc. (2017-present), is an employee of Fidelity Investments (2009-present), and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (accounting firm, 1996-2009). Previously, Ms. Smith served as Assistant Treasurer (2013-2019) and Deputy Treasurer (2013-2016) of certain Fidelity® funds.
Marc L. Spector (1972)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Spector also serves as an officer of other funds. Mr. Spector serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2016-present). Prior to joining Fidelity Investments, Mr. Spector served as Director at the Siegfried Group (accounting firm, 2013-2016), and prior to Siegfried Group as audit senior manager at Deloitte & Touche LLP (accounting firm, 2005-2013).
Jim Wegmann (1979)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Wegmann also serves as Assistant Treasurer of other funds. Mr. Wegmann is an employee of Fidelity Investments (2011-present).
Shareholder Expense Example
As a shareholder, 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 (September 1, 2020 to February 28, 2021).
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
Annualized Expense Ratio-A | Beginning Account Value September 1, 2020 | Ending Account Value February 28, 2021 | Expenses Paid During Period-B September 1, 2020 to February 28, 2021 | |
Strategic Advisers Emerging Markets Fund | .34% | |||
Actual | $1,000.00 | $1,238.20 | $1.89 | |
Hypothetical-C | $1,000.00 | $1,023.11 | $1.71 |
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 181/ 365 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.
C 5% return per year before expenses
Distributions (Unaudited)
The Board of Trustees of Strategic Advisers Emerging Markets Fund voted to pay on April 12, 2021, to shareholders of record at the opening of business on April 9, 2021, a distribution of $0.019 per share derived from capital gains realized from sales of portfolio securities and a dividend of $0.015 per share from net investment income.
The fund hereby designates as a capital gain dividend with respect to the taxable year ended February 28, 2021, $12,056,854, or, if subsequently determined to be different, the net capital gain of such year.
The fund designates 76% of the dividends distributed during the fiscal year as amounts which may be taken into account as a dividend for the purposes of the maximum rate under section 1(h)(11) of the Internal Revenue Code.
The amounts per share which represent income derived from sources within, and taxes paid to, foreign countries or possessions of the United States are $.1534 and $.0224 for the dividend paid December 31, 2020.
The fund will notify shareholders in January 2022 of amounts for use in preparing 2021 income tax returns.
Board Approval of Investment Advisory Contracts and Management Fees
Strategic Advisers Emerging Markets Fund
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes at a meeting on the renewal of the management contract with Strategic Advisers LLC (Strategic Advisers) and the sub-advisory agreements with Acadian Asset Management LLC, Causeway Capital Management LLC (Causeway), FIAM LLC, FIL Investment Advisors, Schroder Investment Management North America, Inc., Somerset Capital Management LLP, and T. Rowe Price Associates, Inc. (collectively, the Sub-Advisory Agreements), and the sub-sub-advisory agreements with FIL Investment Advisors (UK) Limited, Schroder Investment Management North America Limited, and T. Rowe Price International Ltd. (collectively, the Sub-Sub-Advisory Agreements and, together with the management contract and the Sub-Advisory Agreements, the Advisory Contracts) for the fund. Strategic Advisers and the Sub-Advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.The Board meets at least four times per year and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The full Board or the Independent Trustees, as appropriate, act on all major matters; however, a portion of the activities of the Board (including certain of those described herein) may be conducted through standing committees that have been established by the Board. The Board, acting directly and through its committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts.At its September 2020 meeting, the Board, including the Independent Trustees, unanimously determined to renew the fund's Advisory Contracts. In addition, the Board approved an amendment to the fund's sub-advisory agreement with Causeway (Amendment) to implement a new fee schedule, effective August 1, 2020, resulting in the same or lower fees at all asset levels. The Board noted that the other terms of the amended sub-advisory agreement are not materially different from those of the existing sub-advisory agreement with Causeway. The Board also noted that the amended sub-advisory agreement with Causeway would not result in changes to the nature, extent, and quality of the services that Causeway provides to the fund.In reaching its determination to renew the fund's Advisory Contracts and approve the Amendment, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness of the fund's management fee and total expenses relative to peer funds; (iii) the total costs of the services provided by and the profits, if any, realized by Strategic Advisers from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and are realized as the fund grows and whether any economies of scale are appropriately shared with fund shareholders.In considering whether to renew the Advisory Contracts for the fund and approve the Amendment, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts and the approval of the Amendment is in the best interests of the fund and its shareholders. In addition, with respect to the Sub-Advisory Agreements, the Board also concluded that the renewal of such agreements and the approval of the Amendment do not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees charged under the Advisory Contracts bear a reasonable relationship to the services rendered and are based on services provided that are in addition to, rather than duplicative of, services provided under the advisory contract of any underlying fund in which the fund may invest. The Board's decision to renew the Advisory Contracts and approve the Amendment was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board throughout the year.Nature, Extent, and Quality of Services Provided. The Board considered the staffing within the Investment Advisers, including the backgrounds of the fund's investment personnel and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Strategic Advisers' investment operations and investment groups. The Board considered the structure of each Investment Adviser's investment personnel compensation program and whether such structures provide appropriate incentives to act in the best interests of the fund.The Trustees also discussed with representatives of Strategic Advisers, at meetings throughout the year, Strategic Advisers' role in, among other things, (i) setting, implementing and monitoring the investment strategies for the funds; (ii) identifying and recommending sub-advisers for the funds; (iii) overseeing compliance with federal securities laws by each sub-adviser with respect to the portion of fund assets allocated to the sub-adviser; (iv) monitoring and overseeing the performance and investment capabilities of each sub-adviser; and (v) recommending the replacement of a sub-adviser as appropriate. The Trustees considered that the Board had received from Strategic Advisers substantial information and periodic reports about Strategic Advisers' sub-adviser oversight and due diligence processes, as well as periodic reports regarding the performance of each sub-adviser.The Board also considered the nature, extent and quality of services provided by each Sub-Adviser. The Trustees noted that under the Sub-Advisory Agreements subject to oversight by Strategic Advisers, each Sub-Adviser is responsible for, among other things, identifying investments for the portion of fund assets allocated to the Sub-Adviser, if any, and executing portfolio transactions to implement its investment strategy. In addition, the Trustees noted that each Sub-Adviser is responsible for providing such reporting as may be requested from Strategic Advisers to fulfill its oversight responsibilities discussed above.Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of the Investment Advisers' investment staffs, their use of technology, and the Investment Advisers' approach to managing and compensating investment personnel. The Board noted that the Investment Advisers' analysts have extensive resources, tools, and capabilities that allow them to conduct sophisticated quantitative and/or fundamental analysis. Additionally, in its deliberations, the Board considered the Investment Advisers' trading capabilities and resources and global compliance infrastructure, which are integral parts of the investment management process. The Board also considered the Investment Advisers' investments in business continuity planning, and their success in continuously providing services to the fund notwithstanding the severe disruptions caused by the COVID-19 pandemic.Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of administrative and shareholder services performed by Strategic Advisers and itsaffiliates under the management contract and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of Strategic Advisers' supervision of third party service providers, including sub-advisers, custodians and subcustodians; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.Investment Performance. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions and its performance history.In connection with the renewal of the Advisory Contracts, the Board considered annualized return information for the fund for different time periods, measured against an appropriate securities market index ("benchmark index") and a peer group of mutual funds with similar objectives ("peer group").The Board considered discussions that occur at Board meetings throughout the year with representatives of Strategic Advisers about fund investment performance and the performance of each Sub-Adviser as part of regularly scheduled fund reviews and other reports to the Board on fund performance, taking into account various factors including general market conditions. In its discussions with representatives of Strategic Advisers regarding fund performance, the Board gave particular attention to information indicating underperformance of certain funds for specific time periods and discussed with Strategic Advisers the reasons for any such underperformance.The following charts considered by the Board show, over the one-, three-, and five-year periods ended December 31, 2019, the cumulative total returns of the fund and the cumulative total returns of an appropriate benchmark index and peer group. The box within each chart shows the 25th percentile return (75% beaten, top of box) and the 75th percentile return (25% beaten, bottom of box) of the peer group. Returns shown above the box are in the first quartile and returns shown below the box are in the fourth quartile. The percentage beaten number noted below each chart corresponds to the percentile box and represents the percentage of funds in the peer group whose performance was equal to or lower than that of the fund.Strategic Advisers Emerging Markets Fund
Strategic Advisers Emerging Markets Fund
Liquidity Risk Management Program
The Securities and Exchange Commission adopted Rule 22e-4 under the Investment Company Act of 1940 (the Liquidity Rule) to promote effective liquidity risk management throughout the open-end investment company industry, thereby reducing the risk that funds will be unable to meet their redemption obligations and mitigating dilution of the interests of fund shareholders.
The Fund has adopted and implemented a liquidity risk management program (the Program) reasonably designed to assess and manage the Fund’s liquidity risk and to comply with the requirements of the Liquidity Rule. The Fund’s Board of Trustees (the Board) has designated the Fund’s investment adviser as administrator of the Program. Strategic Advisers has established a Liquidity Risk Management Committee (the LRM Committee) to manage the Program for each of the Funds. The LRM Committee monitors the adequacy and effectiveness of implementation of the Program and on a periodic basis assesses each Fund’s liquidity risk based on a variety of factors including (1) the Fund’s investment strategy, (2) portfolio liquidity and cash flow projections during normal and reasonably foreseeable stressed conditions, (3) shareholder redemptions and (4) borrowings and other funding sources, as applicable.
In accordance with the Program, each of the Fund’s portfolio investments is classified into one of four liquidity categories described below based on a determination of a reasonable expectation for how long it would take to convert the investment to cash (or sell or dispose of the investment) without significantly changing its market value.
- Highly liquid investments – cash or convertible to cash within three business days or less
- Moderately liquid investments – convertible to cash in three to seven calendar days
- Less liquid investments – can be sold or disposed of, but not settled, within seven calendar days
- Illiquid investments – cannot be sold or disposed of within seven calendar days
Liquidity classification determinations take into account a variety of factors including various market, trading and investment-specific considerations, as well as market depth, and generally utilize analysis from a third-party liquidity metrics service.
The Liquidity Rule places a 15% limit on a fund’s illiquid investments and requires funds that do not primarily hold assets that are highly liquid investments to determine and maintain a minimum percentage of the fund’s net assets to be invested in highly liquid investments (highly liquid investment minimum or HLIM). The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments and for determining, periodically reviewing and complying with the HLIM requirement as applicable.
At a recent meeting of the Fund’s Board of Trustees, the LRM Committee provided a written report to the Board pertaining to the operation, adequacy, and effectiveness of implementation of the Program for the annual period from December 1, 2019 through November 30, 2020. The report concluded that the Program has been implemented and is operating effectively and is reasonably designed to assess and manage the Fund’s liquidity risk.
Proxy Voting Results
A special meeting of shareholders was held on November 2, 2020. The results of votes taken among shareholders on the proposals before them are reported below. Each vote reported represents one dollar of net asset value held on the record date for the meeting.
PROPOSAL 1
To elect a Board of Trustees.
# of Votes | % of Votes | |
ROBERT A. LAWRENCE | ||
Affirmative | 204,250,982,594.51 | 96.530 |
Withheld | 7,343,512,146.85 | 3.470 |
TOTAL | 211,594,494,741.36 | 100.000 |
CHARLES S. MORRISON | ||
Affirmative | 204,349,460,488.43 | 96.576 |
Withheld | 7,245,034,252.93 | 3.424 |
TOTAL | 211,594,494,741.36 | 100.000 |
PETER C. ALDRICH | ||
Affirmative | 203,499,803,652.67 | 96.175 |
Withheld | 8,094,691,088.69 | 3.825 |
TOTAL | 211,594,494,741.36 | 100.000 |
MARY C. FARRELL | ||
Affirmative | 204,011,925,737.22 | 96.417 |
Withheld | 7,582,569,004.14 | 3.583 |
TOTAL | 211,594,494,741.36 | 100.00 |
KAREN KAPLAN | ||
Affirmative | 204,297,547,550.53 | 96.552 |
Withheld | 7,296,947,190.83 | 3.448 |
TOTAL | 211,594,494,741.36 | 100.000 |
CHRISTINE MARCKS | ||
Affirmative | 204,700,871,317.72 | 96.743 |
Withheld | 6,893,623,423.64 | 3.257 |
TOTAL | 211,594,494,741.36 | 100.000 |
HEIDI L. STEIGER | ||
Affirmative | 204,406,589,957.28 | 96.603 |
Withheld | 7,187,904,784.08 | 3.397 |
TOTAL | 211,594,494,741.36 | 100.000 |
PROPOSAL 2
To approve the conversion of a fundamental investment policy to a non-fundamental investment policy.
# of Votes | % of Votes | |
Affirmative | 6,029,482,647.21 | 85.220 |
Against | 482,654,563.20 | 6.822 |
Abstain | 563,059,703.76 | 7.958 |
Broker Non-Vote | 0.00 | 0.000 |
TOTAL | 7,075,196,914.17 | 100.000 |
PROPOSAL 4
To approve a sub-subadvisory agreement among Strategic
Advisers, Geode Capital Management, LLC (Geode), and the trust
# of Votes | % of Votes | |
Affirmative | 6,345,485,245.21 | 89.687 |
Against | 305,481,844.38 | 4.317 |
Abstain | 424,229,824.58 | 5.996 |
Broker Non-Vote | 0.00 | 0.000 |
TOTAL | 7,075,196,914.17 | 100.000 |
PROPOSAL 5
To approve a sub-subadvisory agreement between FIAM LLC (FIAM) and FMR Investment Management (UK) Limited (FMR UK).
# of Votes | % of Votes | |
Affirmative | 6,325,431,626.67 | 89.403 |
Against | 291,661,657.11 | 4.123 |
Abstain | 458,103,630.39 | 6.474 |
Broker Non-Vote | 0.00 | 0.000 |
TOTAL | 7,075,196,914.17 | 100.000 |
PROPOSAL 6
To approve a sub-subadvisory agreement between FIAM and Fidelity Management & Research (Hong Kong) Limited (FMR H.K.).
# of Votes | % of Votes | |
Affirmative | 6,247,048,555.63 | 88.296 |
Against | 375,632,018.62 | 5.309 |
Abstain | 452,516,339.92 | 6.395 |
Broker Non-Vote | 0.00 | 0.000 |
TOTAL | 7,075,196,914.17 | 100.000 |
PROPOSAL 7
To approve a sub-subadvisory agreement between FIAM and Fidelity Management & Research (Japan) Limited (FMR Japan).
# of Votes | % of Votes | |
Affirmative | 6,327,555,077.64 | 89.433 |
Against | 295,561,777.20 | 4.178 |
Abstain | 452,080,059.33 | 6.389 |
Broker Non-Vote | 0.00 | 0.000 |
TOTAL | 7,075,196,914.17 | 100.000 |
Proposal 1 reflects trust wide proposal and voting results. |
SAE-ANN-0421
1.918359.110
Item 2.
Code of Ethics
As of the end of the period, February 28, 2021, Fidelity Rutland Square Trust II (the trust) has adopted a code of ethics, as defined in Item 2 of Form N-CSR, that applies to its President and Treasurer and its Chief Financial Officer. A copy of the code of ethics is filed as an exhibit to this Form N-CSR.
Item 3.
Audit Committee Financial Expert
The Board of Trustees of the trust has determined that Heidi L. Steiger is an audit committee financial expert, as defined in Item 3 of Form N-CSR. Ms. Steiger is independent for purposes of Item 3 of Form N-CSR.
Item 4.
Principal Accountant Fees and Services
Fees and Services
The following table presents fees billed by PricewaterhouseCoopers LLP (“PwC”) in each of the last two fiscal years for services rendered to Strategic Advisers Core Income Fund, Strategic Advisers Emerging Markets Fund, Strategic Advisers Fidelity International Fund, Strategic Advisers Income Opportunities Fund, Strategic Advisers International Fund and Strategic Advisers Small-Mid Cap Fund (the “Funds”):
Services Billed by PwC
February 28, 2021 FeesA
Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees | |
Strategic Advisers Core Income Fund | $41,700 | $3,700 | $8,900 | $9,000 |
Strategic Advisers Emerging Markets Fund | $27,800 | $2,500 | $6,300 | $6,000 |
Strategic Advisers Fidelity International Fund | $38,500 | $3,500 | $9,100 | $8,500 |
Strategic Advisers Income Opportunities Fund | $25,200 | $2,300 | $6,100 | $5,500 |
Strategic Advisers International Fund | $41,600 | $3,500 | $9,100 | $8,600 |
Strategic Advisers Small-Mid Cap Fund | $38,800 | $3,500 | $9,100 | $8,500 |
February 29, 2020 FeesA
Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees | |
Strategic Advisers Core Income Fund | $44,900 | $4,100 | $8,900 | $9,600 |
Strategic Advisers Emerging Markets Fund | $33,400 | $2,300 | $6,100 | $5,500 |
Strategic Advisers Fidelity International Fund | $39,200 | $3,800 | $9,100 | $9,000 |
Strategic Advisers Income Opportunities Fund | $25,800 | $2,300 | $6,100 | $5,400 |
Strategic Advisers International Fund | $39,800 | $3,900 | $9,100 | $9,100 |
Strategic Advisers Small-Mid Cap Fund | $42,100 | $3,900 | $8,900 | $9,000 |
A Amounts may reflect rounding.
The following table(s) present(s) fees billed by PwC that were required to be approved by the Audit Committee for services that relate directly to the operations and financial reporting of the Fund(s) and that are rendered on behalf of Strategic Advisers, LLC ("Strategic Advisers") and entities controlling, controlled by, or under common control with Strategic Advisers (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to the Fund(s) (“Fund Service Providers”):
Services Billed by PwC
February 28, 2021A | February 29, 2020A | |
Audit-Related Fees | $9,436,200 | $7,927,700 |
Tax Fees | $14,300 | $28,000 |
All Other Fees | $- | $- |
A Amounts may reflect rounding.
“Audit-Related Fees” represent fees billed for assurance and related services that are reasonably related to the performance of the fund audit or the review of the fund's financial statements and that are not reported under Audit Fees.
“Tax Fees” represent fees billed for tax compliance, tax advice or tax planning that relate directly to the operations and financial reporting of the fund.
“All Other Fees” represent fees billed for services provided to the fund or Fund Service Provider, a significant portion of which are assurance related, that relate directly to the operations and financial reporting of the fund, excluding those services that are reported under Audit Fees, Audit-Related Fees or Tax Fees.
Assurance services must be performed by an independent public accountant.
* * *
The aggregate non-audit fees billed by PwC for services rendered to the Fund(s), Strategic Advisers (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any Fund Service Provider for each of the last two fiscal years of the Fund(s) are as follows:
Billed By | February 28, 2021A | February 29, 2020A |
PwC | $14,639,100 | $12,709,500 |
A Amounts may reflect rounding.
The trust's Audit Committee has considered non-audit services that were not pre-approved that were provided by PwC to Fund Service Providers to be compatible with maintaining the independence of PwC in its(their) audit of the Fund(s), taking into account representations from PwC, in accordance with Public Company Accounting Oversight Board rules, regarding its independence from the Fund(s) and its(their) related entities and Strategic Advisers’ review of the appropriateness and permissibility under applicable law of such non-audit services prior to their provision to the Fund(s) Service Providers.
Audit Committee Pre-Approval Policies and Procedures
The trust’s Audit Committee must pre-approve all audit and non-audit services provided by a fund’s independent registered public accounting firm relating to the operations or financial reporting of the fund. Prior to the commencement of any audit or non-audit services to a fund, the Audit Committee reviews the services to determine whether they are appropriate and permissible under applicable law.
The Audit Committee has adopted policies and procedures to, among other purposes, provide a framework for the Committee’s consideration of non-audit services by the audit firms that audit the Fidelity funds. The policies and procedures require that any non-audit service provided by a fund audit firm to a Fidelity fund and any non-audit service provided by a fund auditor to a Fund Service Provider that relates directly to the operations and financial reporting of a Fidelity fund (“Covered Service”) are subject to approval by the Audit Committee before such service is provided.
All Covered Services must be approved in advance of provision of the service either: (i) by formal resolution of the Audit Committee, or (ii) by oral or written approval of the service by the Chair of the Audit Committee (or if the Chair is unavailable, such other member of the Audit Committee as may be designated by the Chair to act in the Chair’s absence). The approval contemplated by (ii) above is permitted where the Treasurer determines that action on such an engagement is necessary before the next meeting of the Audit Committee.
Non-audit services provided by a fund audit firm to a Fund Service Provider that do not relate directly to the operations and financial reporting of a Fidelity fund are reported to the Audit Committee periodically.
Non-Audit Services Approved Pursuant to Rule 2-01(c)(7)(i)(C) and (ii) of Regulation S-X (“De Minimis Exception”)
There were no non-audit services approved or required to be approved by the Audit Committee pursuant to the De Minimis Exception during the Fund’s(s’) last two fiscal years relating to services provided to (i) the Fund(s) or (ii) any Fund Service Provider that relate directly to the operations and financial reporting of the Fund(s).
Item 5.
Audit Committee of Listed Registrants
Not applicable.
Item 6.
Investments
(a)
Not applicable.
(b)
Not applicable.
Item 7.
Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8.
Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9.
Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable.
Item 10.
Submission of Matters to a Vote of Security Holders
There were no material changes to the procedures by which shareholders may recommend nominees to the trust’s Board of Trustees.
Item 11.
Controls and Procedures
(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the trust’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.
(a)(ii) There was no change in the trust’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the trust’s internal control over financial reporting.
Item 12.
Disclosure of Securities Lending Activities for Closed-End Management
Investment Companies
Not applicable.
Item 13.
Exhibits
(a) | (1) | Code of Ethics pursuant to Item 2 of Form N-CSR is filed and attached hereto as EX-99.CODE ETH. |
(a) | (2) | |
(a) | (3) | Not applicable. |
(b) |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Fidelity Rutland Square Trust II
By: | /s/Stacie M. Smith |
Stacie M. Smith | |
President and Treasurer | |
Date: | April 22, 2021 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/Stacie M. Smith |
Stacie M. Smith | |
President and Treasurer | |
Date: | April 22, 2021 |
By: | /s/John J. Burke III |
John J. Burke III | |
Chief Financial Officer | |
Date: | April 22, 2021 |