UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-21991
Fidelity Rutland Square Trust II
(Exact name of registrant as specified in charter)
245 Summer St., Boston, MA 02210
(Address of principal executive offices) (Zip code)
Christina H. Lee, Secretary
245 Summer St.
Boston, Massachusetts 02210
(Name and address of agent for service)
Registrant's telephone number, including area code:
617-563-7000
| |
Date of fiscal year end: | May 31 |
|
|
Date of reporting period: | November 30, 2023 |
Item 1.
Reports to Stockholders
Strategic Advisers® Alternatives Fund
Offered exclusively to certain managed account clients of Strategic Advisers LLC or its affiliates - not available for sale to the general public
Semi-Annual Report
November 30, 2023
Contents
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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. © 2024 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.
The information in the following tables is based on the direct Investments of the Fund.
Top Holdings (% of Fund's net assets) |
| (excluding cash equivalents) |
| First Trust Merger Arbitrage Fund Class I | 10.3 | |
| Eaton Vance Global Macro Absolute Return Advantage Fund Class A | 9.3 | |
| BlackRock Systematic Multi-Strategy Fund Investor A Shares | 9.1 | |
| Westchester Capital Merger Fund | 8.5 | |
| LoCorr Long/Short Commodity Strategies Fund Class A | 7.6 | |
| JHancock Diversified Macro Fund Class A | 7.4 | |
| Fidelity SAI Convertible Arbitrage Fund | 7.0 | |
| Victory Market Neutral Income Fund Class I | 6.9 | |
| Stone Ridge Diversified Alternatives Fund Class I | 6.1 | |
| American Beacon AHL Managed Futures Strategy Fund A Class | 4.9 | |
Asset Allocation (% of Fund's net assets) |
|
Percentages in the above tables are adjusted for the effect of TBA Sale Commitments. |
|
Asset Allocation of funds in the pie chart reflect the categorizations of the asset as defined by Morningstar as of the reporting date.
Showing Percentage of Net Assets
| Nonconvertible Bonds - 2.3% |
| | | Principal Amount (a) | Value ($) |
| COMMUNICATION SERVICES - 0.1% | | | |
| Diversified Telecommunication Services - 0.1% | | | |
| AT&T, Inc. CME Term SOFR 3 Month Index + 1.440% 6.8521% 6/12/24 (b)(c) | | 1,000,000 | 1,003,826 |
| Media - 0.0% | | | |
| Charter Communications Operating LLC/Charter Communications Operating Capital Corp. 4.5% 2/1/24 | | 1,000,000 | 997,036 |
| Wireless Telecommunication Services - 0.0% | | | |
| Sprint Corp. 7.125% 6/15/24 | | 500,000 | 502,349 |
TOTAL COMMUNICATION SERVICES | | | 2,503,211 |
| CONSUMER DISCRETIONARY - 0.2% | | | |
| Automobiles - 0.2% | | | |
| American Honda Finance Corp. U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.670% 6.0052% 1/10/25 (b)(c) | | 1,500,000 | 1,501,458 |
| General Motors Financial Co., Inc.: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.760% 6.1043% 3/8/24 (b)(c) | | 218,000 | 217,993 |
| 3.95% 4/13/24 | | 1,400,000 | 1,388,898 |
| Hyundai Capital America: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.150% 6.4788% 8/4/25 (b)(c)(d) | | 300,000 | 299,958 |
| 0.8% 1/8/24 (d) | | 400,000 | 397,928 |
| | | | 3,806,235 |
| CONSUMER STAPLES - 0.1% | | | |
| Food Products - 0.0% | | | |
| Tyson Foods, Inc. 3.95% 8/15/24 | | 1,200,000 | 1,186,969 |
| Tobacco - 0.1% | | | |
| BAT Capital Corp. 3.222% 8/15/24 | | 1,700,000 | 1,667,889 |
TOTAL CONSUMER STAPLES | | | 2,854,858 |
| ENERGY - 0.1% | | | |
| Oil, Gas & Consumable Fuels - 0.1% | | | |
| Energy Transfer LP 4.5% 4/15/24 | | 1,400,000 | 1,392,460 |
| FINANCIALS - 1.3% | | | |
| Banks - 0.6% | | | |
| Banco Santander SA: | | | |
| U.S. TREASURY 1 YEAR INDEX + 0.450% 5.77% 6/30/24 (b)(c) | | 600,000 | 599,119 |
| 3.892% 5/24/24 | | 200,000 | 198,172 |
| Bank of America Corp.: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.410% 5.7529% 6/14/24 (b)(c) | | 1,000,000 | 998,780 |
| 3.093% 10/1/25 (b) | | 500,000 | 487,492 |
| Bank of Montreal: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.320% 5.6552% 7/9/24 (b)(c) | | 400,000 | 399,339 |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.710% 6.0543% 3/8/24 (b)(c) | | 500,000 | 500,303 |
| Bank of Nova Scotia U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.380% 5.7111% 7/31/24 (b)(c) | | 200,000 | 199,602 |
| Barclays PLC 3.65% 3/16/25 | | 915,000 | 889,198 |
| BNP Paribas SA: | | | |
| 3.375% 1/9/25 (d) | | 1,000,000 | 972,729 |
| 4.705% 1/10/25 (b)(d) | | 200,000 | 199,672 |
| BPCE SA 4% 4/15/24 | | 300,000 | 297,961 |
| Danske Bank A/S 5.375% 1/12/24 (d) | | 1,650,000 | 1,647,856 |
| DBS Group Holdings Ltd. U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.610% 5.9533% 9/12/25 (b)(c)(d) | | 800,000 | 800,781 |
| Federation des caisses Desjardins du Quebec U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.430% 5.7504% 5/21/24 (b)(c)(d) | | 200,000 | 199,808 |
| HSBC Holdings PLC 3.803% 3/11/25 (b) | | 1,000,000 | 993,378 |
| JPMorgan Chase & Co. 4.023% 12/5/24 (b) | | 500,000 | 499,971 |
| National Bank of Canada U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.490% 5.8188% 8/6/24 (b)(c) | | 800,000 | 799,027 |
| NatWest Markets PLC: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.450% 6.7903% 3/22/25 (Reg. S) (b)(c) | | 500,000 | 503,705 |
| 3.479% 3/22/25 (d) | | 500,000 | 486,050 |
| Santander UK PLC 2.875% 6/18/24 | | 400,000 | 393,552 |
| Standard Chartered PLC U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.930% 6.2483% 11/23/25 (Reg. S) (b)(c) | | 500,000 | 497,147 |
| Wells Fargo & Co. 2.406% 10/30/25 (b) | | 1,000,000 | 967,319 |
| | | | 13,530,961 |
| Capital Markets - 0.4% | | | |
| CPPIB Capital, Inc. U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.250% 6.5948% 3/11/26 (b)(c) | | 3,000,000 | 3,057,883 |
| Credit Suisse AG 4.75% 8/9/24 | | 1,500,000 | 1,485,988 |
| Goldman Sachs Group, Inc. U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.500% 5.841% 9/10/24 (b)(c) | | 600,000 | 598,290 |
| Morgan Stanley U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.450% 5.7869% 1/25/24 (b)(c) | | 900,000 | 899,981 |
| PSP Capital, Inc. U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.240% 5.5834% 3/3/25 (b)(c)(d) | | 1,500,000 | 1,499,029 |
| | | | 7,541,171 |
| Consumer Finance - 0.1% | | | |
| AerCap Ireland Capital Ltd./AerCap Global Aviation Trust 4.875% 1/16/24 | | 1,000,000 | 998,443 |
| Toyota Motor Credit Corp.: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.650% 5.9886% 12/29/23 (b)(c) | | 280,000 | 280,076 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.620% 5.93% 6/13/24 (b)(c) | | 1,000,000 | 1,000,910 |
| | | | 2,279,429 |
| Financial Services - 0.2% | | | |
| CNH Industrial Capital LLC 4.2% 1/15/24 | | 800,000 | 798,009 |
| KommuneKredit U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.000% 6.3297% 7/27/26 (Reg. S) (b)(c) | | 2,000,000 | 2,032,779 |
| Nationwide Building Society 0.55% 1/22/24 (d) | | 300,000 | 297,833 |
| ORIX Corp. 4.05% 1/16/24 | | 1,000,000 | 997,686 |
| Penske Truck Leasing Co. LP 3.9% 2/1/24 (d) | | 500,000 | 497,959 |
| | | | 4,624,266 |
TOTAL FINANCIALS | | | 27,975,827 |
| HEALTH CARE - 0.1% | | | |
| Health Care Equipment & Supplies - 0.0% | | | |
| Baxter International, Inc.: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.440% 5.7574% 11/29/24 (b)(c) | | 200,000 | 199,320 |
| 1.322% 11/29/24 | | 1,000,000 | 956,642 |
| | | | 1,155,962 |
| Health Care Providers & Services - 0.0% | | | |
| HCA Holdings, Inc. 5% 3/15/24 | | 500,000 | 498,598 |
| Pharmaceuticals - 0.1% | | | |
| Bayer U.S. Finance II LLC 3.875% 12/15/23 (d) | | 1,000,000 | 999,244 |
| GSK Consumer Healthcare Capital U.S. LLC 3.024% 3/24/24 | | 500,000 | 495,192 |
| | | | 1,494,436 |
TOTAL HEALTH CARE | | | 3,148,996 |
| INDUSTRIALS - 0.1% | | | |
| Aerospace & Defense - 0.1% | | | |
| The Boeing Co. 1.95% 2/1/24 | | 1,000,000 | 993,614 |
| Industrial Conglomerates - 0.0% | | | |
| Siemens Financieringsmaatschappij NV U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.430% 5.7741% 3/11/24 (b)(c)(d) | | 800,000 | 800,214 |
| Machinery - 0.0% | | | |
| Westinghouse Air Brake Tech Co. 4.4% 3/15/24 | | 800,000 | 794,509 |
TOTAL INDUSTRIALS | | | 2,588,337 |
| INFORMATION TECHNOLOGY - 0.1% | | | |
| Electronic Equipment, Instruments & Components - 0.0% | | | |
| Arrow Electronics, Inc. 3.25% 9/8/24 | | 500,000 | 489,289 |
| Dell International LLC/EMC Corp. 4% 7/15/24 | | 300,000 | 296,558 |
| | | | 785,847 |
| Software - 0.1% | | | |
| VMware, Inc. 1% 8/15/24 | | 1,000,000 | 967,295 |
TOTAL INFORMATION TECHNOLOGY | | | 1,753,142 |
| UTILITIES - 0.2% | | | |
| Electric Utilities - 0.2% | | | |
| American Electric Power Co., Inc. 2.031% 3/15/24 | | 400,000 | 395,283 |
| ENEL Finance International NV 2.65% 9/10/24 (d) | | 969,000 | 943,840 |
| Florida Power & Light Co. U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.380% 5.7134% 1/12/24 (b)(c) | | 900,000 | 899,969 |
| Mississippi Power Co. U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.300% 5.639% 6/28/24 (b)(c) | | 500,000 | 499,300 |
| NextEra Energy Capital Holdings, Inc.: | | | |
| 2.94% 3/21/24 | | 500,000 | 495,459 |
| 6.051% 3/1/25 | | 50,000 | 50,180 |
| | | | 3,284,031 |
| Multi-Utilities - 0.0% | | | |
| DTE Energy Co. 4.22% 11/1/24 | | 1,000,000 | 984,478 |
TOTAL UTILITIES | | | 4,268,509 |
| TOTAL NONCONVERTIBLE BONDS (Cost $50,268,806) | | | 50,291,575 |
| | | | |
| U.S. Government and Government Agency Obligations - 0.8% |
| | | Principal Amount (a) | Value ($) |
| U.S. Government Agency Obligations - 0.2% | | | |
| Federal Home Loan Bank: | | | |
| 5.35% 5/17/24 (e) | | 2,000,000 | 1,999,018 |
| 5.36% 5/10/24 (e) | | 1,000,000 | 999,187 |
| 5.37% 5/21/24 (e) | | 1,000,000 | 999,385 |
| Freddie Mac 5.375% 4/24/25 | | 1,000,000 | 998,909 |
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | | | 4,996,499 |
| U.S. Treasury Obligations - 0.6% | | | |
| U.S. Treasury Bills, yield at date of purchase 5.31% to 5.44% 1/2/24 to 2/29/24 (f) | | 11,584,000 | 11,485,220 |
| TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $16,484,641) | | | 16,481,719 |
| | | | |
| U.S. Government Agency - Mortgage Securities - 0.2% |
| | | Principal Amount (a) | Value ($) |
| Ginnie Mae - 0.2% | | | |
| 6% 12/1/53 (g) | | 900,000 | 906,646 |
| 6% 1/1/54 (g) | | 3,300,000 | 3,322,692 |
| | | | |
| TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $4,196,422) | | | 4,229,338 |
| | | | |
| Asset-Backed Securities - 0.6% |
| | | Principal Amount (a) | Value ($) |
| Bank of America Credit Card Master Trust Series 2020-A1 Class A1, 0.34% 5/15/26 | | 1,700,000 | 1,696,515 |
| Capital One Prime Auto Receivables Trust Series 2022-2 Class A2B, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.650% 5.974% 9/15/25 (b)(c) | | 161,020 | 161,052 |
| Carvana Auto Receivables Series 2023-P3 Class A1, 5.663% 8/10/24 (d) | | 167,194 | 167,190 |
| Citibank Credit Card Issuance Trust Series 2017-A6 Class A6, CME Term SOFR 1 Month Index + 0.880% 6.2068% 5/14/29 (b)(c) | | 900,000 | 901,252 |
| Citizens Auto Receivables Trust Series 2023-2 Class A2B, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.730% 6.054% 10/15/26 (b)(c)(d) | | 600,000 | 599,996 |
| Dell Equipment Finance Trust 2023-2 Series 2023-2 Class A2, 5.84% 1/22/29 (d) | | 400,000 | 399,773 |
| Enterprise Fleet Financing Series 2023-1 Class A1, 5.33% 3/20/24 (d) | | 2,404 | 2,403 |
| Fifth Third Auto Trust 2023-1 Series 2023-1: | | | |
| Class A1, 5.618% 8/15/24 | | 43,096 | 43,093 |
| Class A2B, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.530% 5.854% 11/16/26 (b)(c) | | 200,000 | 199,955 |
| Ford Credit Auto Lease Trust 2 Series 2023-B Class A2B, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.590% 5.914% 2/15/26 (b)(c) | | 900,000 | 899,548 |
| GM Financial Automobile Leasing Series 2023-2 Class A2B, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.820% 6.1451% 10/20/25 (b)(c) | | 27,132 | 27,164 |
| Hyundai Auto Lease Securitizat Series 2023-B Class A2B, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.750% 6.074% 9/15/25 (b)(c)(d) | | 184,008 | 184,207 |
| Hyundai Auto Lease Securitization Series 2021-C Class A3, 0.38% 9/16/24 (d) | | 154,484 | 154,013 |
| Kubota Credit Owner Trust 2023 Series 2023-2A Class A1, 5.622% 7/15/24 (d) | | 81,634 | 81,635 |
| M&T Equiptment 2023-Leaf1 LLC Series 2023-1A Class A1, 5.742% 8/15/24 (d) | | 396,366 | 396,489 |
| Master Credit Card Trust II Series 2023-2A Class A, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.850% 6.1744% 1/21/27 (b)(c)(d) | | 1,200,000 | 1,200,376 |
| MF1 Multifamily Housing Mortgage Loan Trust Series 2021-FL7 Class A, CME Term SOFR 1 Month Index + 1.190% 6.5256% 10/16/36 (b)(c)(d) | | 599,760 | 591,477 |
| Toyota Auto Receivables 2023-C Series 2023-C Class A2B, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.400% 5.724% 8/17/26 (b)(c) | | 800,000 | 799,480 |
| Toyota Auto Receivables Owner Trust Series 2022-C Class A2B, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.570% 5.8944% 8/15/25 (b)(c) | | 224,653 | 224,726 |
| Trillium Credit Card Trust Ii Series 2023-3A Class A, U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.850% 6.1727% 8/26/28 (b)(c)(d) | | 1,200,000 | 1,200,998 |
| Volkswagen Auto Loan Enhanced Series 2023-1 Class A2B, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.520% 5.8454% 12/21/26 (b)(c) | | 1,000,000 | 1,000,842 |
| WOART 2023-A Series 2023-A Class A2B, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.430% 5.754% 7/15/26 (b)(c) | | 614,573 | 614,246 |
| World Omni Auto Receivables Trust Series 2023-C Class A2B, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.410% 5.734% 12/15/26 (b)(c) | | 600,000 | 599,719 |
| World Omni Automobile Lease Series 2023-A Class A2B, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.760% 6.084% 11/17/25 (b)(c) | | 178,238 | 178,419 |
| TOTAL ASSET-BACKED SECURITIES (Cost $12,282,253) | | | 12,324,568 |
| | | | |
| Foreign Government and Government Agency Obligations - 0.2% |
| | | Principal Amount (a) | Value ($) |
| Brazil Letras Do Tesouro Nacio, yield at date of purchase 11.5159% 1/1/24 | BRL | 5,400,000 | 1,087,290 |
| Japan Government, yield at date of purchase -0.2453% to -0.1492% 12/11/23 to 3/4/24 | JPY | 640,000,000 | 4,317,386 |
| TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $5,399,388) | | | 5,404,676 |
| | | | |
| Bankers' Acceptances - 0.2% |
| | | Shares | Value ($) |
| Royal Bank of Canada 0% 1/31/24 | | 4,300,000 | 3,141,334 |
| The Toronto-Dominion Bank 0% 2/1/24 | | 2,000,000 | 1,460,879 |
| TOTAL BANKERS' ACCEPTANCES (Cost $4,504,482) | | | 4,602,213 |
| | | | |
| Commercial Paper - 0.1% |
| | | Principal Amount (a) | Value ($) |
| Entergy Corp. 0% 12/8/23 | | 400,000 | 399,519 |
| Humana, Inc. 0% 12/4/23 | | 500,000 | 499,688 |
| NextEra Energy Capital Holdings, Inc. 0% 12/7/23 (d) | | 400,000 | 399,580 |
| The AES Corp. 0% 12/6/23 | | 300,000 | 299,702 |
| TOTAL COMMERCIAL PAPER (Cost $1,598,702) | | | 1,598,489 |
| | | | |
| Alternative Funds - 89.5% |
| | | Shares | Value ($) |
| Alternative Funds - 89.5% | | | |
| Abbey Capital Futures Strategy Fund Class A | | 426 | 4,800 |
| Absolute Convertible Arbitrage Fund Investor Shares | | 13,556,002 | 148,844,897 |
| American Beacon AHL Managed Futures Strategy Fund A Class | | 10,863,484 | 104,615,356 |
| BlackRock Systematic Multi-Strategy Fund Investor A Shares | | 19,572,569 | 196,117,139 |
| Credit Suisse Multialternative Strategy Fund Class A Shares | | 7,395,143 | 68,183,223 |
| Eaton Vance Global Macro Absolute Return Advantage Fund Class A | | 19,910,039 | 199,100,393 |
| Fidelity SAI Convertible Arbitrage Fund (h) | | 14,968,694 | 150,473,294 |
| First Trust Merger Arbitrage Fund Class I | | 20,141,321 | 222,158,765 |
| Fulcrum Diversified Absolute Return Fund Super Institutional Class | | 5,390,539 | 48,514,851 |
| JHancock Diversified Macro Fund Class A | | 16,764,912 | 158,596,065 |
| LoCorr Long/Short Commodity Strategies Fund Class A | | 16,880,252 | 163,738,443 |
| Stone Ridge Diversified Alternatives Fund Class I | | 10,743,062 | 131,065,354 |
| T. Rowe Price Dynamic Global Bond Fund Investor Class | | 642 | 5,008 |
| Victory Market Neutral Income Fund Class I | | 17,217,985 | 148,935,573 |
| Westchester Capital Merger Fund | | 10,463,110 | 182,476,642 |
| | | | |
| TOTAL ALTERNATIVE FUNDS (Cost $1,923,560,018) | | | 1,922,829,803 |
| | | | |
| Money Market Funds - 4.5% |
| | | Shares | Value ($) |
| Fidelity Cash Central Fund 5.40% (i) | | 8,189,933 | 8,191,571 |
| Fidelity Investments Money Market Government Portfolio Institutional Class 5.28% (h)(j) | | 86,508,585 | 86,508,585 |
| State Street Institutional U.S. Government Money Market Fund Premier Class 5.31% (j) | | 1,687,357 | 1,687,357 |
| TOTAL MONEY MARKET FUNDS (Cost $96,387,513) | | | 96,387,513 |
| | | | |
| Repurchase Agreements - 2.4% |
| | | Maturity Amount ($) | Value ($) |
| With U.S. Treasury Bills at: | | | |
| 5.41%, dated 11/30/23 due 12/1/23 (Collateralized by U.S. Treasury Obligations valued at $27,104,073, 2.63%, 2/15/29) | | 27,104,073 | 27,100,000 |
| 5.42%, dated 12/1/23 due 12/4/23 (Collateralized by U.S. Treasury Obligations valued at $24,411,021, 0.63%, 5/15/30) | | 24,411,021 | 24,400,000 |
| TOTAL REPURCHASE AGREEMENTS (Cost $51,500,000) | | | 51,500,000 |
| | | | |
| Purchased Options - 0.1% |
| | Counterparty | Number of Contracts | Notional Amount($) | Exercise Price ($) | Expiration Date | Value ($) |
| Put Options | | | | | | |
| S&P 500 Index | Chicago Board Options Exchange | 138 | 63,035,640 | 3,050 | 09/20/24 | 265,650 |
| S&P 500 Index | Chicago Board Options Exchange | 103 | 47,048,340 | 4,150 | 01/19/24 | 91,670 |
| S&P 500 Index | Chicago Board Options Exchange | 154 | 70,344,120 | 2,900 | 10/18/24 | 277,970 |
| S&P 500 Index | Chicago Board Options Exchange | 125 | 57,097,500 | 3,100 | 11/15/24 | 335,000 |
| S&P 500 Index | Chicago Board Options Exchange | 101 | 46,134,780 | 4,340 | 02/16/24 | 349,460 |
| S&P 500 Index | Chicago Board Options Exchange | 80 | 36,542,400 | 4,410 | 12/15/23 | 53,200 |
| | | | | | | |
| | | | | | | 1,372,950 |
TOTAL PURCHASED OPTIONS (Cost 2,836,906) | | | | | | 1,372,950 |
For the period, the average monthly notional amount at value for purchased options in the aggregate was $3,906,582.
| TOTAL INVESTMENT IN SECURITIES - 100.9% (Cost $2,169,019,131) | 2,167,022,844 |
NET OTHER ASSETS (LIABILITIES) - (0.9)% | (19,362,961) |
| NET ASSETS - 100.0% | 2,147,659,883 |
| | |
| TBA Sale Commitments |
| | Principal Amount (a) | Value ($) |
| Uniform Mortgage Backed Securities | | |
| 5.5% 12/1/53 | (400,000) | (394,406) |
| 6% 1/1/54 | (300,000) | (300,973) |
| | | |
TOTAL TBA SALE COMMITMENTS (Proceeds $683,293) | | (695,379) |
| Futures Contracts |
| | Number of contracts | Expiration Date | Notional Amount ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) |
| Purchased | | | | | |
| | | | | | |
| Bond Index Contracts | | | | | |
| CME Three-Month SOFR Index Contracts (United States) | 34 | Sep 2024 | 8,086,050 | 387 | 387 |
| Eurex Euro-BTP Contracts (Germany) | 29 | Dec 2023 | 3,629,201 | 20,344 | 20,344 |
| Eurex Euro-Oat Contracts (Germany) | 3 | Dec 2023 | 415,078 | 520 | 520 |
| Eurex Short-Term Euro-BTP Contracts (Germany) | 107 | Dec 2023 | 12,267,732 | 48,494 | 48,494 |
| ICE Three Month SONIA Index Contracts (United States) | 37 | Sep 2024 | 11,093,195 | 27,145 | 27,145 |
| ICE Three-Month EURIBOR Index Contracts (United States) | 53 | Dec 2024 | 14,007,253 | 20,089 | 20,089 |
| ICE Three-Month EURIBOR Index Contracts (United States) | 14 | Jun 2024 | 3,677,742 | 5,564 | 5,564 |
| | | | | | |
| TOTAL BOND INDEX CONTRACTS | | | | | 122,543 |
| | | | | | |
| Commodity Futures Contracts | | | | | |
| CBOT Soybean Meal Contracts (United States) | 32 | Mar 2024 | 1,325,440 | (76,734) | (76,734) |
| COMEX Gold 100 oz. Contracts (United States) | 17 | Feb 2024 | 3,497,240 | 67,675 | 67,675 |
| COMEX Silver Contracts (United States) | 6 | Mar 2024 | 769,800 | 15,683 | 15,683 |
| ENDEX Dutch TTF Natural Gas Contracts (Netherlands) | 5 | Jan 2024 | 161,285 | (51,873) | (51,873) |
| ICE Brent Crude Contracts (United Kingdom) | 27 | Feb 2024 | 2,167,560 | (63,978) | (63,978) |
| ICE Cocoa Contracts (United Kingdom) | 30 | Mar 2024 | 1,347,539 | 64,255 | 64,255 |
| ICE Cocoa Contracts (United States) | 19 | Mar 2024 | 812,630 | 111,440 | 111,440 |
| ICE Robusta Coffee 10-T Contracts (United Kingdom) | 16 | Mar 2024 | 407,360 | 13,369 | 13,369 |
| ICE Sugar No. 11 Contracts (United States) | 22 | Feb 2024 | 641,626 | 59,118 | 59,118 |
| ICE White Sugar Contracts (United Kingdom) | 10 | Feb 2024 | 358,550 | (11,800) | (11,800) |
| LME Lead Contracts (United Kingdom) | 37 | Feb 2024 | 1,963,081 | (112,127) | (112,127) |
| SGX Iron Ore Index Contracts (Singapore) | 296 | Jan 2024 | 3,835,568 | 55,547 | 55,547 |
| | | | | | |
| TOTAL COMMODITY FUTURES CONTRACTS | | | | | 70,575 |
| | | | | | |
| Equity Index Contracts | | | | | |
| ASX SPI 200 Index Contracts (Australia) | 2 | Dec 2023 | 234,368 | 664 | 664 |
| CME E-mini NASDAQ 100 Index Contracts (United States) | 8 | Dec 2023 | 2,557,680 | 21,093 | 21,093 |
| CME E-mini S&P 500 Index Contracts (United States) | 2 | Dec 2023 | 457,675 | 3,772 | 3,772 |
| Eurex Dax Index Contracts (Germany) | 2 | Dec 2023 | 884,896 | 9,101 | 9,101 |
| Eurex Euro Stoxx Bank Index Contracts (Germany) | 327 | Dec 2023 | 2,073,348 | 139,996 | 139,996 |
| Euronext CAC 40 10 Index Contracts (France) | 6 | Dec 2023 | 477,743 | 5,375 | 5,375 |
| ICE FTSE 100 Index Contracts (United Kingdom) | 2 | Dec 2023 | 188,370 | (425) | (425) |
| IDEM FTSE MIB Index Contracts (Italy) | 6 | Dec 2023 | 972,662 | 34,419 | 34,419 |
| JPX TOPIX Index Contracts (Japan) | 15 | Dec 2023 | 2,403,885 | 8,141 | 8,141 |
| MEFF IBEX 35 Index Contracts (Spain) | 12 | Dec 2023 | 1,315,435 | 23,957 | 23,957 |
| OMX Stockholm 30 Index Contracts (Sweden) | 16 | Dec 2023 | 340,445 | (124) | (124) |
| SGX FTSE Taiwan Index Contracts (Singapore) | 82 | Dec 2023 | 4,920,820 | 51,757 | 51,757 |
| SGX Nikkei 225 Index Contracts (Singapore) | 10 | Dec 2023 | 1,128,929 | 10,858 | 10,858 |
| TME S&P/TSX 60 Index Contracts (Canada) | 3 | Dec 2023 | 539,401 | (601) | (601) |
| WSE WIG20 Index Contracts (Poland) | 189 | Dec 2023 | 2,098,373 | 98,238 | 98,238 |
| | | | | | |
| TOTAL EQUITY INDEX CONTRACTS | | | | | 406,221 |
| | | | | | |
| TOTAL PURCHASED | | | | | 599,339 |
| | | | | | |
| Sold | | | | | |
| | | | | | |
| Bond Index Contracts | | | | | |
| ASX 10 Year Treasury Bond Index Contracts (Australia) | 9 | Dec 2023 | 669,959 | 12,993 | 12,993 |
| CME Three-Month SOFR Index Contracts (United States) | 61 | Mar 2025 | 14,608,738 | (18,053) | (18,053) |
| CME Three-Month SOFR Index Contracts (United States) | 54 | Jun 2025 | 12,970,800 | (82,022) | (82,022) |
| ICE Three Month SONIA Index Contracts (United States) | 5 | Jun 2024 | 1,496,161 | 10,229 | 10,229 |
| | | | | | |
| TOTAL BOND INDEX CONTRACTS | | | | | (76,853) |
| | | | | | |
| Commodity Futures Contracts | | | | | |
| CBOT Corn Contracts (United States) | 184 | Mar 2024 | 4,441,300 | 123,783 | 123,783 |
| CBOT KC HRW Wheat Contracts (United States) | 114 | Mar 2024 | 3,665,100 | 140,394 | 140,394 |
| CBOT Soybean Contracts (United States) | 9 | Mar 2024 | 613,013 | 6,389 | 6,389 |
| CBOT Soybean Oil Contracts (United States) | 70 | Mar 2024 | 2,186,100 | (24,425) | (24,425) |
| CBOT Wheat Contracts (United States) | 92 | Mar 2024 | 2,750,800 | (13,359) | (13,359) |
| CME Lean Hogs Contracts (United States) | 21 | Feb 2024 | 600,390 | 16,966 | 16,966 |
| CME Live Cattle Contracts (United States) | 13 | Feb 2024 | 893,490 | 14,415 | 14,415 |
| COMEX Copper Contracts (United States) | 30 | Mar 2024 | 2,887,875 | (161,468) | (161,468) |
| EEX Phelix-DE Base Contracts (Germany) | 7 | Dec 2023 | 1,689,451 | 320,155 | 320,155 |
| Euronext Milling Wheat NO.2 Contracts (France) | 167 | Mar 2024 | 2,056,381 | 30,785 | 30,785 |
| ICE Rotterdam Coal Contracts (United Kingdom) | 3 | Mar 2024 | 333,000 | 22,721 | 22,721 |
| ICE Rotterdam Coal Contracts (United Kingdom) | 3 | Feb 2024 | 339,750 | 15,971 | 15,971 |
| ICE Rotterdam Coal Contracts (United Kingdom) | 3 | Jan 2024 | 347,400 | 8,321 | 8,321 |
| ICE Brent Crude Contracts (United Kingdom) | 27 | Jan 2024 | 2,175,660 | 53,067 | 53,067 |
| ICE Coffee 'C' Contracts (United States) | 19 | Mar 2024 | 1,315,988 | (210,466) | (210,466) |
| ICE Cotton No. 2 Contracts (United States) | 54 | Mar 2024 | 2,161,620 | (14,020) | (14,020) |
| ICE ENDEX ECX Emissions Contracts (Netherlands) | 30 | Dec 2023 | 2,312,301 | 269,159 | 269,159 |
| ICE ENDEX ECX Emissions Contracts (Netherlands) | 5 | Feb 2024 | 171,452 | 23,099 | 23,099 |
| ICE ENDEX ECX Emissions Contracts (Netherlands) | 8 | Dec 2024 | 644,566 | 2,768 | 2,768 |
| ICE Gas Oil Contracts (United Kingdom) | 4 | Feb 2024 | 312,500 | 1,360 | 1,360 |
| ICE Natural Gas Contracts (United Kingdom) | 5 | Dec 2023 | 209,632 | 1,031 | 1,031 |
| LME Aluminum Contracts (United Kingdom) | 38 | Feb 2024 | 2,082,638 | 35,870 | 35,870 |
| LME Nickel Contracts (United Kingdom) | 33 | Feb 2024 | 3,293,730 | 125,273 | 125,273 |
| LME Zinc Contracts (United Kingdom) | 27 | Feb 2024 | 1,669,781 | 97,244 | 97,244 |
| MGEX Hard Red Spring Wheat Contracts (United States) | 37 | Mar 2024 | 1,349,575 | 35,077 | 35,077 |
| NYMEX Gasoline RBOB Contracts (United States) | 21 | Jan 2024 | 1,920,820 | (26,099) | (26,099) |
| NYMEX Natural Gas Contracts (United States) | 84 | Jan 2024 | 2,320,920 | 364,840 | 364,840 |
| NYMEX Palladium Contracts (United States) | 21 | Mar 2024 | 2,142,840 | 16,060 | 16,060 |
| NYMEX Platinum Contracts (United States) | 38 | Jan 2024 | 1,778,210 | 9,917 | 9,917 |
| NYMEX WTI Crude Oil Contracts (United States) | 1 | Feb 2024 | 75,990 | (509) | (509) |
| | | | | | |
| TOTAL COMMODITY FUTURES CONTRACTS | | | | | 1,284,319 |
| | | | | | |
| Equity Index Contracts | | | | | |
| Cboe VIX Index Contracts (United States) | 72 | Dec 2023 | 990,562 | 140,812 | 140,812 |
| CME E-mini Russell 2000 Index Contracts (United States) | 1 | Dec 2023 | 90,610 | 2,994 | 2,994 |
| Eurex VSTOXX Index Contracts (Germany) | 308 | Dec 2023 | 484,448 | 65,245 | 65,245 |
| HKFE Hang Seng China Enterprises Index Contracts (Hong Kong) | 11 | Dec 2023 | 412,607 | 14,031 | 14,031 |
| HKFE Hang Seng Index Contracts (Hong Kong) | 5 | Dec 2023 | 545,620 | 18,616 | 18,616 |
| SAF FTSE JSE TOP 40 Index Contracts (South Africa) | 70 | Dec 2023 | 2,596,884 | (44,878) | (44,878) |
| SGX FTSE China A50 Index Contracts (Singapore) | 530 | Dec 2023 | 6,232,800 | 5,868 | 5,868 |
| SGX MSCI Singapore Index Contracts (Singapore) | 98 | Dec 2023 | 1,983,883 | 6,288 | 6,288 |
| | | | | | |
| TOTAL EQUITY INDEX CONTRACTS | | | | | 208,976 |
| | | | | | |
| Treasury Contracts | | | | | |
| SFE 3-Year Treasury Bond Contracts (Australia) | 48 | Dec 2023 | 3,347,419 | 6,733 | 6,733 |
| | | | | | |
| TOTAL SOLD | | | | | 1,423,175 |
| | | | | | |
| TOTAL FUTURES CONTRACTS | | | | | 2,022,514 |
| The notional amount of futures purchased as a percentage of Net Assets is 4.2% |
| The notional amount of futures sold as a percentage of Net Assets is 4.3% |
For the period, the average monthly notional amount at value for futures contracts in the aggregate was $232,448,216.
| Forward Foreign Currency Contracts |
Currency Purchased
| Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation/ (Depreciation) ($) |
| | | | | | | |
| USD | 89,483 | EUR | 82,000 | Bank of America, N.A. | 12/01/23 | 226 |
| USD | 67,667 | EUR | 62,000 | State Street Bank And Trust Co | 12/01/23 | 180 |
| USD | 20,223 | GBP | 16,000 | Barclays Bank PLC | 12/01/23 | 24 |
| USD | 13,867 | HUF | 4,836,000 | Citibank, N.A. | 12/01/23 | 16 |
| USD | 9,151 | ILS | 34,000 | Citibank, N.A. | 12/01/23 | 38 |
| USD | 120,108 | ZAR | 2,272,000 | Goldman Sachs Bank USA | 12/01/23 | (415) |
| AUD | 2,334,783 | USD | 1,542,358 | Bank of America, N.A. | 12/04/23 | 350 |
| AUD | 5,836,956 | USD | 3,868,151 | UBS AG | 12/04/23 | (11,382) |
| CAD | 30,717,833 | USD | 22,631,689 | UBS AG | 12/04/23 | 5,721 |
| CHF | 3,638,599 | USD | 4,134,953 | Goldman Sachs Bank USA | 12/04/23 | 20,122 |
| EUR | 7,000 | USD | 7,671 | BNP Paribas S.A. | 12/04/23 | (51) |
| EUR | 76,000 | USD | 82,983 | BNP Paribas S.A. | 12/04/23 | (257) |
| EUR | 126,000 | USD | 138,273 | BNP Paribas S.A. | 12/04/23 | (1,122) |
| EUR | 38,000 | USD | 41,750 | BNP Paribas S.A. | 12/04/23 | (387) |
| EUR | 11,000 | USD | 12,085 | BNP Paribas S.A. | 12/04/23 | (112) |
| EUR | 110,000 | USD | 119,625 | Bank of America, N.A. | 12/04/23 | 110 |
| EUR | 44,000 | USD | 48,089 | Bank of America, N.A. | 12/04/23 | (195) |
| EUR | 226,000 | USD | 248,125 | Barclays Bank PLC | 12/04/23 | (2,124) |
| EUR | 3,833,000 | USD | 4,205,709 | Morgan Stanley International | 12/04/23 | (33,488) |
| GBP | 855,363 | USD | 1,084,592 | BNP Paribas S.A. | 12/04/23 | (4,739) |
| GBP | 523,000 | USD | 640,625 | BNP Paribas S.A. | 12/04/23 | 19,636 |
| GBP | 12,000 | USD | 14,960 | BNP Paribas S.A. | 12/04/23 | 189 |
| GBP | 224,358 | USD | 284,867 | Bank of America, N.A. | 12/04/23 | (1,627) |
| GBP | 2,375,000 | USD | 3,003,021 | Barclays Bank PLC | 12/04/23 | (4,703) |
| GBP | 15,000 | USD | 18,305 | Barclays Bank PLC | 12/04/23 | 632 |
| GBP | 21,000 | USD | 25,727 | Citibank, N.A. | 12/04/23 | 784 |
| GBP | 821,039 | USD | 1,037,785 | UBS AG | 12/04/23 | (1,264) |
| JPY | 1,507,274,295 | USD | 10,152,730 | Bank of America, N.A. | 12/04/23 | 13,696 |
| JPY | 3,010,000,000 | USD | 20,253,699 | Citibank, N.A. | 12/04/23 | 48,473 |
| JPY | 20,300,000 | USD | 136,303 | Morgan Stanley International | 12/04/23 | 619 |
| JPY | 572,565,035 | USD | 3,860,336 | Morgan Stanley International | 12/04/23 | 1,562 |
| JPY | 938,439,872 | USD | 6,367,485 | UBS AG | 12/04/23 | (37,794) |
| NOK | 4,159,981 | USD | 390,833 | Bank of America, N.A. | 12/04/23 | (6,360) |
| NOK | 512,480 | USD | 47,863 | Citibank, N.A. | 12/04/23 | (499) |
| NOK | 23,139,541 | USD | 2,166,858 | UBS AG | 12/04/23 | (28,258) |
| NOK | 493,060 | USD | 46,311 | UBS AG | 12/04/23 | (741) |
| NZD | 15,700,019 | USD | 9,657,402 | Barclays Bank PLC | 12/04/23 | 10,670 |
| SEK | 51,170,756 | USD | 4,948,594 | UBS AG | 12/04/23 | (76,998) |
| USD | 91,091 | AUD | 139,000 | Citibank, N.A. | 12/04/23 | (753) |
| USD | 5,109,850 | AUD | 8,032,739 | UBS AG | 12/04/23 | (197,782) |
| USD | 15,942,208 | CAD | 22,025,135 | BNP Paribas S.A. | 12/04/23 | (289,145) |
| USD | 84,850 | CAD | 116,000 | BNP Paribas S.A. | 12/04/23 | (636) |
| USD | 6,196,525 | CAD | 8,579,120 | Royal Bank of Canada | 12/04/23 | (125,830) |
| USD | 512,862 | CHF | 461,708 | Citibank, N.A. | 12/04/23 | (14,382) |
| USD | 3,527,453 | CHF | 3,176,637 | UBS AG | 12/04/23 | (100,088) |
| USD | 146,318 | EUR | 137,000 | BNP Paribas S.A. | 12/04/23 | (2,807) |
| USD | 482,617 | EUR | 452,000 | Barclays Bank PLC | 12/04/23 | (9,385) |
| USD | 4,092,322 | EUR | 3,833,000 | UBS AG | 12/04/23 | (79,899) |
| USD | 7,015,028 | GBP | 5,727,000 | BNP Paribas S.A. | 12/04/23 | (215,024) |
| USD | 126,235 | GBP | 99,555 | BNP Paribas S.A. | 12/04/23 | 552 |
| USD | 33,156 | GBP | 26,113 | Bank of America, N.A. | 12/04/23 | 189 |
| USD | 20,987,939 | JPY | 3,010,000,000 | Bank of America, N.A. | 12/04/23 | 685,767 |
| USD | 237,458 | JPY | 35,400,000 | Bank of America, N.A. | 12/04/23 | (1,311) |
| USD | 19,891,700 | JPY | 3,003,306,553 | UBS AG | 12/04/23 | (365,325) |
| USD | 191,808 | NOK | 2,135,000 | BNP Paribas S.A. | 12/04/23 | (5,513) |
| USD | 2,351,733 | NOK | 26,169,382 | Bank of America, N.A. | 12/04/23 | (66,890) |
| USD | 9,247,803 | NZD | 15,700,019 | BNP Paribas S.A. | 12/04/23 | (420,269) |
| USD | 33,911 | SEK | 355,000 | BNP Paribas S.A. | 12/04/23 | 114 |
| USD | 4,621,796 | SEK | 50,340,117 | Morgan Stanley International | 12/04/23 | (170,721) |
| USD | 52,743 | SEK | 555,000 | Morgan Stanley International | 12/04/23 | (94) |
| USD | 3,103,197 | JPY | 450,000,000 | Barclays Bank PLC | 12/11/23 | 64,367 |
| MXN | 13,681,150 | USD | 767,354 | BNP Paribas S.A. | 12/14/23 | 19,052 |
| MXN | 3,681,974 | USD | 206,773 | Citibank, N.A. | 12/14/23 | 4,870 |
| MXN | 158,207,667 | USD | 8,721,944 | Citibank, N.A. | 12/14/23 | 371,981 |
| USD | 239,345 | MXN | 4,307,000 | Barclays Bank PLC | 12/14/23 | (8,225) |
| USD | 40,792 | MXN | 742,237 | Citibank, N.A. | 12/14/23 | (1,873) |
| USD | 9,469 | MXN | 163,964 | Citibank, N.A. | 12/14/23 | 44 |
| USD | 7,297,329 | MXN | 126,594,712 | Goldman Sachs Bank USA | 12/14/23 | 20,546 |
| AUD | 1,400,000 | USD | 915,625 | BNP Paribas S.A. | 12/20/23 | 9,939 |
| AUD | 5,200,000 | USD | 3,384,061 | Barclays Bank PLC | 12/20/23 | 53,747 |
| AUD | 1,100,000 | USD | 701,480 | JPMorgan Chase Bank, N.A. | 12/20/23 | 25,748 |
| BRL | 16,747,519 | USD | 3,400,000 | BNP Paribas S.A. | 12/20/23 | (3,989) |
| BRL | 8,765,908 | USD | 1,800,000 | BNP Paribas S.A. | 12/20/23 | (22,476) |
| BRL | 10,705,620 | USD | 2,126,266 | JPMorgan Chase Bank, N.A. | 12/20/23 | 44,587 |
| BRL | 7,557,000 | USD | 1,500,000 | JPMorgan Chase Bank, N.A. | 12/20/23 | 32,385 |
| CAD | 5,449,700 | USD | 4,000,000 | BNP Paribas S.A. | 12/20/23 | 17,298 |
| CAD | 1,369,618 | USD | 1,000,000 | BNP Paribas S.A. | 12/20/23 | 9,627 |
| CAD | 2,867,744 | USD | 2,100,000 | BNP Paribas S.A. | 12/20/23 | 13,985 |
| CAD | 1,357,167 | USD | 1,000,000 | Bank of America, N.A. | 12/20/23 | 448 |
| CAD | 18,413,071 | USD | 13,500,000 | JPMorgan Chase Bank, N.A. | 12/20/23 | 73,371 |
| CHF | 11,203,529 | USD | 12,600,000 | BNP Paribas S.A. | 12/20/23 | 218,636 |
| CHF | 2,026,670 | USD | 2,300,000 | BNP Paribas S.A. | 12/20/23 | 18,836 |
| CHF | 1,753,054 | USD | 2,000,000 | BNP Paribas S.A. | 12/20/23 | 5,775 |
| CHF | 628,289 | USD | 700,000 | Citibank, N.A. | 12/20/23 | 18,863 |
| CHF | 2,326,307 | USD | 2,600,000 | Goldman Sachs Bank USA | 12/20/23 | 61,669 |
| CLP | 4,635,199,780 | USD | 5,169,176 | Bank of America, N.A. | 12/20/23 | 139,250 |
| CLP | 802,215,000 | USD | 900,000 | Barclays Bank PLC | 12/20/23 | 18,730 |
| CLP | 143,244,753 | USD | 162,317 | Goldman Sachs Bank USA | 12/20/23 | 1,733 |
| CLP | 569,658,000 | USD | 600,000 | Morgan Stanley International | 12/20/23 | 52,396 |
| CLP | 563,775,540 | USD | 637,683 | State Street Bank And Trust Co | 12/20/23 | 7,976 |
| CNY | 69,731,376 | USD | 9,600,000 | BNP Paribas S.A. | 12/20/23 | 187,268 |
| CNY | 37,452,116 | USD | 5,200,000 | JPMorgan Chase Bank, N.A. | 12/20/23 | 56,656 |
| CNY | 14,602,551 | USD | 2,000,000 | State Street Bank And Trust Co | 12/20/23 | 49,566 |
| CNY | 16,752,908 | USD | 2,300,000 | State Street Bank And Trust Co | 12/20/23 | 51,383 |
| COP | 28,470,234 | USD | 6,605 | Barclays Bank PLC | 12/20/23 | 458 |
| COP | 28,376,168,096 | USD | 6,874,438 | Citibank, N.A. | 12/20/23 | 165,093 |
| COP | 2,013,745,000 | USD | 500,000 | State Street Bank And Trust Co | 12/20/23 | (432) |
| COP | 2,432,358,000 | USD | 600,000 | State Street Bank And Trust Co | 12/20/23 | 3,417 |
| CZK | 15,621,173 | USD | 700,000 | BNP Paribas S.A. | 12/20/23 | (831) |
| CZK | 16,489,935 | USD | 740,000 | BNP Paribas S.A. | 12/20/23 | (1,947) |
| CZK | 16,950,674 | USD | 760,000 | BNP Paribas S.A. | 12/20/23 | (1,325) |
| CZK | 18,010,880 | USD | 800,000 | Citibank, N.A. | 12/20/23 | 6,127 |
| CZK | 14,025,666 | USD | 600,000 | Morgan Stanley International | 12/20/23 | 27,758 |
| CZK | 2,410,000 | USD | 107,920 | UBS AG | 12/20/23 | (54) |
| EUR | 1,000,000 | USD | 1,057,535 | BNP Paribas S.A. | 12/20/23 | 31,808 |
| EUR | 4,250,000 | USD | 4,568,941 | BNP Paribas S.A. | 12/20/23 | 60,770 |
| EUR | 1,375,000 | USD | 1,506,918 | BNP Paribas S.A. | 12/20/23 | (9,070) |
| EUR | 750,000 | USD | 813,632 | Morgan Stanley International | 12/20/23 | 3,376 |
| GBP | 3,187,500 | USD | 3,882,976 | BNP Paribas S.A. | 12/20/23 | 141,732 |
| GBP | 625,000 | USD | 773,903 | BNP Paribas S.A. | 12/20/23 | 15,256 |
| GBP | 11,750,000 | USD | 14,454,310 | BNP Paribas S.A. | 12/20/23 | 381,872 |
| GBP | 2,312,500 | USD | 2,872,592 | BNP Paribas S.A. | 12/20/23 | 47,295 |
| GBP | 3,250,000 | USD | 4,059,565 | BNP Paribas S.A. | 12/20/23 | 44,059 |
| GBP | 1,000,000 | USD | 1,233,067 | Citibank, N.A. | 12/20/23 | 29,587 |
| GBP | 2,500,000 | USD | 3,154,141 | JPMorgan Chase Bank, N.A. | 12/20/23 | 2,494 |
| HKD | 1,691,000 | USD | 216,496 | BNP Paribas S.A. | 12/20/23 | (12) |
| HKD | 1,778,000 | USD | 227,422 | Barclays Bank PLC | 12/20/23 | 200 |
| HKD | 1,294,000 | USD | 165,805 | Barclays Bank PLC | 12/20/23 | (145) |
| HKD | 1,053,000 | USD | 134,908 | Barclays Bank PLC | 12/20/23 | (101) |
| HKD | 1,497,000 | USD | 192,099 | Barclays Bank PLC | 12/20/23 | (451) |
| HKD | 2,140,000 | USD | 274,055 | Barclays Bank PLC | 12/20/23 | (89) |
| HKD | 2,044,000 | USD | 261,479 | Citibank, N.A. | 12/20/23 | 197 |
| HKD | 1,279,000 | USD | 163,631 | Citibank, N.A. | 12/20/23 | 108 |
| HUF | 544,053,090 | USD | 1,500,000 | BNP Paribas S.A. | 12/20/23 | 55,407 |
| HUF | 640,422,994 | USD | 1,800,000 | BNP Paribas S.A. | 12/20/23 | 30,921 |
| HUF | 426,417,295 | USD | 1,200,000 | BNP Paribas S.A. | 12/20/23 | 19,095 |
| HUF | 276,373,992 | USD | 800,000 | BNP Paribas S.A. | 12/20/23 | (9,867) |
| IDR | 37,252,911,148 | USD | 2,398,999 | BNP Paribas S.A. | 12/20/23 | 2,510 |
| IDR | 23,199,892,287 | USD | 1,499,000 | BNP Paribas S.A. | 12/20/23 | (3,419) |
| IDR | 26,744,740,000 | USD | 1,700,000 | Bank of America, N.A. | 12/20/23 | 24,100 |
| IDR | 15,530,515 | USD | 1,001 | JPMorgan Chase Bank, N.A. | 12/20/23 | 0 |
| IDR | 15,482,000 | USD | 1,000 | Morgan Stanley International | 12/20/23 | (2) |
| ILS | 514,000 | USD | 127,995 | BNP Paribas S.A. | 12/20/23 | 9,865 |
| ILS | 5,529,442 | USD | 1,430,600 | BNP Paribas S.A. | 12/20/23 | 52,460 |
| ILS | 3,713,955 | USD | 1,000,000 | BNP Paribas S.A. | 12/20/23 | (3,875) |
| ILS | 6,808,935 | USD | 1,700,000 | Barclays Bank PLC | 12/20/23 | 126,234 |
| ILS | 87,000 | USD | 21,511 | Barclays Bank PLC | 12/20/23 | 1,823 |
| ILS | 123,000 | USD | 32,922 | Barclays Bank PLC | 12/20/23 | 68 |
| ILS | 49,000 | USD | 12,929 | Barclays Bank PLC | 12/20/23 | 213 |
| ILS | 142,000 | USD | 37,337 | Citibank, N.A. | 12/20/23 | 749 |
| ILS | 107,000 | USD | 27,211 | Citibank, N.A. | 12/20/23 | 1,488 |
| ILS | 7,604,838 | USD | 1,969,400 | Citibank, N.A. | 12/20/23 | 70,304 |
| ILS | 34,000 | USD | 9,155 | Citibank, N.A. | 12/20/23 | (36) |
| ILS | 139,000 | USD | 37,253 | Citibank, N.A. | 12/20/23 | 29 |
| ILS | 212,000 | USD | 55,960 | Citibank, N.A. | 12/20/23 | 901 |
| ILS | 46,000 | USD | 12,110 | Citibank, N.A. | 12/20/23 | 228 |
| ILS | 289,000 | USD | 75,434 | Citibank, N.A. | 12/20/23 | 2,079 |
| INR | 266,392,032 | USD | 3,199,999 | BNP Paribas S.A. | 12/20/23 | (6,271) |
| INR | 191,945,350 | USD | 2,300,000 | Bank of America, N.A. | 12/20/23 | 1,200 |
| INR | 124,836,000 | USD | 1,500,000 | Goldman Sachs Bank USA | 12/20/23 | (3,363) |
| INR | 758,507,759 | USD | 9,101,365 | JPMorgan Chase Bank, N.A. | 12/20/23 | (7,747) |
| INR | 83 | USD | 1 | JPMorgan Chase Bank, N.A. | 12/20/23 | 0 |
| JPY | 178,533,828 | USD | 1,200,000 | BNP Paribas S.A. | 12/20/23 | 7,478 |
| JPY | 1,017,767,617 | USD | 6,925,000 | BNP Paribas S.A. | 12/20/23 | (41,529) |
| JPY | 132,670,062 | USD | 900,000 | Citibank, N.A. | 12/20/23 | (2,712) |
| JPY | 1,142,467,830 | USD | 7,775,000 | JPMorgan Chase Bank, N.A. | 12/20/23 | (48,144) |
| JPY | 607,849,805 | USD | 4,100,000 | JPMorgan Chase Bank, N.A. | 12/20/23 | 11,072 |
| KRW | 573,845,666 | USD | 434,880 | Citibank, N.A. | 12/20/23 | 7,027 |
| KRW | 713,950 | USD | 541 | Goldman Sachs Bank USA | 12/20/23 | 9 |
| KRW | 619,317,969 | USD | 468,889 | JPMorgan Chase Bank, N.A. | 12/20/23 | 8,035 |
| KRW | 1,422,592,600 | USD | 1,100,000 | Morgan Stanley International | 12/20/23 | (4,491) |
| KRW | 2,026,197,150 | USD | 1,500,000 | Royal Bank of Canada | 12/20/23 | 60,332 |
| KRW | 1,301,794,500 | USD | 1,000,000 | Royal Bank of Canada | 12/20/23 | 2,485 |
| MXN | 21,224,528 | USD | 1,224,489 | Citibank, N.A. | 12/20/23 | (5,687) |
| MXN | 15,897,851 | USD | 900,000 | JPMorgan Chase Bank, N.A. | 12/20/23 | 12,921 |
| MXN | 20,394,733 | USD | 1,175,511 | JPMorgan Chase Bank, N.A. | 12/20/23 | (4,360) |
| MXN | 10,296,771 | USD | 600,000 | Morgan Stanley International | 12/20/23 | (8,716) |
| MYR | 7,452,000 | USD | 1,600,000 | Goldman Sachs Bank USA | 12/20/23 | 1,102 |
| MYR | 7,039,500 | USD | 1,500,000 | Morgan Stanley International | 12/20/23 | 12,474 |
| NOK | 9,699,588 | USD | 900,000 | BNP Paribas S.A. | 12/20/23 | (3,091) |
| NOK | 9,828,790 | USD | 900,000 | Citibank, N.A. | 12/20/23 | 8,856 |
| NOK | 33,608,073 | USD | 3,100,000 | JPMorgan Chase Bank, N.A. | 12/20/23 | 7,696 |
| NZD | 13,100,000 | USD | 7,898,003 | BNP Paribas S.A. | 12/20/23 | 169,648 |
| NZD | 3,400,000 | USD | 2,064,096 | BNP Paribas S.A. | 12/20/23 | 29,798 |
| NZD | 1,700,000 | USD | 1,038,877 | BNP Paribas S.A. | 12/20/23 | 8,070 |
| NZD | 6,100,000 | USD | 3,678,056 | JPMorgan Chase Bank, N.A. | 12/20/23 | 78,636 |
| NZD | 4,800,000 | USD | 2,868,672 | JPMorgan Chase Bank, N.A. | 12/20/23 | 87,414 |
| PEN | 13,504,947 | USD | 3,501,594 | Citibank, N.A. | 12/20/23 | 107,859 |
| PEN | 17,328,200 | USD | 4,600,000 | Citibank, N.A. | 12/20/23 | 31,290 |
| PEN | 14,236,700 | USD | 3,800,000 | Citibank, N.A. | 12/20/23 | 5,028 |
| PHP | 159,944,103 | USD | 2,900,000 | BNP Paribas S.A. | 12/20/23 | (16,635) |
| PHP | 133,171,284 | USD | 2,400,000 | BNP Paribas S.A. | 12/20/23 | 723 |
| PHP | 93,239 | USD | 1,642 | Bank of America, N.A. | 12/20/23 | 39 |
| PHP | 89,488,000 | USD | 1,600,000 | JPMorgan Chase Bank, N.A. | 12/20/23 | 13,230 |
| PHP | 105,937,588 | USD | 1,900,000 | Royal Bank of Canada | 12/20/23 | 9,772 |
| PLN | 3,755,783 | USD | 900,000 | BNP Paribas S.A. | 12/20/23 | 38,158 |
| PLN | 2,392,922 | USD | 600,000 | BNP Paribas S.A. | 12/20/23 | (2,271) |
| RON | 1,997,404 | USD | 431,715 | BNP Paribas S.A. | 12/20/23 | 5,736 |
| RON | 6,715,916 | USD | 1,452,514 | BNP Paribas S.A. | 12/20/23 | 18,335 |
| RON | 1,673,818 | USD | 361,813 | BNP Paribas S.A. | 12/20/23 | 4,769 |
| RON | 9,130,896 | USD | 2,000,000 | Barclays Bank PLC | 12/20/23 | (248) |
| RON | 1,120,273 | USD | 242,086 | JPMorgan Chase Bank, N.A. | 12/20/23 | 3,265 |
| RON | 517,367 | USD | 111,873 | JPMorgan Chase Bank, N.A. | 12/20/23 | 1,436 |
| RON | 14,661,280 | USD | 3,200,000 | Morgan Stanley International | 12/20/23 | 10,959 |
| SEK | 23,916,503 | USD | 2,203,100 | BNP Paribas S.A. | 12/20/23 | 75,843 |
| SEK | 9,584,251 | USD | 900,000 | BNP Paribas S.A. | 12/20/23 | 13,259 |
| SEK | 10,464,683 | USD | 1,000,000 | BNP Paribas S.A. | 12/20/23 | (2,847) |
| SEK | 11,452,068 | USD | 1,100,000 | BNP Paribas S.A. | 12/20/23 | (8,762) |
| SEK | 8,311,498 | USD | 800,000 | Barclays Bank PLC | 12/20/23 | (8,019) |
| SEK | 16,237,799 | USD | 1,496,900 | JPMorgan Chase Bank, N.A. | 12/20/23 | 50,359 |
| SGD | 2,559,405 | USD | 1,900,000 | BNP Paribas S.A. | 12/20/23 | 14,796 |
| SGD | 223,000 | USD | 163,628 | BNP Paribas S.A. | 12/20/23 | 3,208 |
| SGD | 2,541,809 | USD | 1,900,000 | JPMorgan Chase Bank, N.A. | 12/20/23 | 1,632 |
| THB | 24,796,601 | USD | 703,586 | BNP Paribas S.A. | 12/20/23 | (1,473) |
| THB | 105,116,300 | USD | 2,900,000 | Barclays Bank PLC | 12/20/23 | 76,354 |
| THB | 28,034,649 | USD | 796,414 | JPMorgan Chase Bank, N.A. | 12/20/23 | (2,617) |
| TWD | 18,971,053 | USD | 594,294 | BNP Paribas S.A. | 12/20/23 | 11,110 |
| TWD | 28,924,225 | USD | 898,882 | BNP Paribas S.A. | 12/20/23 | 24,148 |
| TWD | 97,076,841 | USD | 3,100,000 | BNP Paribas S.A. | 12/20/23 | (2,083) |
| TWD | 93,502,960 | USD | 2,900,000 | JPMorgan Chase Bank, N.A. | 12/20/23 | 83,867 |
| USD | 500,000 | BRL | 2,538,612 | Bank of America, N.A. | 12/20/23 | (14,772) |
| USD | 400,000 | BRL | 1,959,403 | Bank of America, N.A. | 12/20/23 | 2,678 |
| USD | 1,600,000 | BRL | 8,167,008 | Citibank, N.A. | 12/20/23 | (56,081) |
| USD | 700,000 | BRL | 3,436,300 | JPMorgan Chase Bank, N.A. | 12/20/23 | 3,198 |
| USD | 1,500,000 | CAD | 2,063,361 | Citibank, N.A. | 12/20/23 | (21,026) |
| USD | 3,400,000 | CHF | 2,998,599 | BNP Paribas S.A. | 12/20/23 | (30,879) |
| USD | 3,200,000 | CHF | 2,840,787 | BNP Paribas S.A. | 12/20/23 | (50,316) |
| USD | 1,800,000 | CHF | 1,614,188 | BNP Paribas S.A. | 12/20/23 | (46,890) |
| USD | 2,200,000 | CHF | 1,991,693 | BNP Paribas S.A. | 12/20/23 | (78,816) |
| USD | 1,400,000 | CHF | 1,272,845 | BNP Paribas S.A. | 12/20/23 | (56,339) |
| USD | 340,730 | CLP | 309,723,570 | Barclays Bank PLC | 12/20/23 | (13,978) |
| USD | 6,661,869 | CLP | 6,125,255,075 | Citibank, N.A. | 12/20/23 | (353,031) |
| USD | 1,100,000 | CLP | 1,032,240,000 | JPMorgan Chase Bank, N.A. | 12/20/23 | (82,165) |
| USD | 621,720 | CLP | 557,869,356 | JPMorgan Chase Bank, N.A. | 12/20/23 | (17,175) |
| USD | 678,280 | CLP | 608,959,784 | State Street Bank And Trust Co | 12/20/23 | (19,126) |
| USD | 759,270 | CLP | 688,961,598 | State Street Bank And Trust Co | 12/20/23 | (29,758) |
| USD | 5,100,000 | CNY | 36,996,369 | JPMorgan Chase Bank, N.A. | 12/20/23 | (92,689) |
| USD | 800,000 | COP | 3,301,600,000 | BNP Paribas S.A. | 12/20/23 | (19,058) |
| USD | 1,000,000 | COP | 4,041,000,000 | BNP Paribas S.A. | 12/20/23 | (2,487) |
| USD | 500,000 | COP | 1,988,320,000 | BNP Paribas S.A. | 12/20/23 | 6,740 |
| USD | 995,821 | COP | 3,981,431,230 | Citibank, N.A. | 12/20/23 | 8,111 |
| USD | 900,000 | COP | 3,877,398,000 | State Street Bank And Trust Co | 12/20/23 | (61,901) |
| USD | 1,000,000 | CZK | 23,335,066 | BNP Paribas S.A. | 12/20/23 | (44,426) |
| USD | 1,076,042 | CZK | 24,318,549 | JPMorgan Chase Bank, N.A. | 12/20/23 | (12,402) |
| USD | 1,000,000 | CZK | 23,050,000 | JPMorgan Chase Bank, N.A. | 12/20/23 | (31,667) |
| USD | 1,590,728 | EUR | 1,500,000 | Bank of America, N.A. | 12/20/23 | (43,288) |
| USD | 1,328,498 | EUR | 1,250,000 | Bank of America, N.A. | 12/20/23 | (33,181) |
| USD | 1,892,620 | GBP | 1,562,500 | BNP Paribas S.A. | 12/20/23 | (80,276) |
| USD | 4,338,334 | GBP | 3,500,000 | BNP Paribas S.A. | 12/20/23 | (80,954) |
| USD | 4,503,820 | GBP | 3,687,500 | BNP Paribas S.A. | 12/20/23 | (152,215) |
| USD | 2,808,221 | GBP | 2,312,500 | BNP Paribas S.A. | 12/20/23 | (111,665) |
| USD | 3,152,282 | GBP | 2,562,500 | JPMorgan Chase Bank, N.A. | 12/20/23 | (83,269) |
| USD | 271,064 | HKD | 2,117,000 | BNP Paribas S.A. | 12/20/23 | 42 |
| USD | 185,624 | HKD | 1,451,000 | Bank of America, N.A. | 12/20/23 | (136) |
| USD | 1,028,031 | HKD | 8,032,627 | Bank of America, N.A. | 12/20/23 | (318) |
| USD | 333,059 | HKD | 2,598,000 | Barclays Bank PLC | 12/20/23 | 458 |
| USD | 313,536 | HKD | 2,450,000 | Citibank, N.A. | 12/20/23 | (117) |
| USD | 315,877 | HKD | 2,468,000 | Morgan Stanley International | 12/20/23 | (81) |
| USD | 700,000 | HUF | 246,666,726 | BNP Paribas S.A. | 12/20/23 | (5,202) |
| USD | 800,000 | HUF | 302,595,693 | BNP Paribas S.A. | 12/20/23 | (65,098) |
| USD | 5,000,000 | IDR | 77,099,679,500 | BNP Paribas S.A. | 12/20/23 | 29,769 |
| USD | 1,400,000 | IDR | 21,733,320,000 | Barclays Bank PLC | 12/20/23 | (1,038) |
| USD | 207,722 | ILS | 821,000 | Barclays Bank PLC | 12/20/23 | (12,480) |
| USD | 1,700,000 | ILS | 6,611,975 | Citibank, N.A. | 12/20/23 | (73,407) |
| USD | 124,553 | ILS | 464,000 | Citibank, N.A. | 12/20/23 | 102 |
| USD | 9,102,708 | ILS | 34,702,146 | Citibank, N.A. | 12/20/23 | (204,803) |
| USD | 367,778 | ILS | 1,450,000 | JPMorgan Chase Bank, N.A. | 12/20/23 | (21,129) |
| USD | 112,700 | ILS | 448,000 | Morgan Stanley International | 12/20/23 | (7,459) |
| USD | 1,900,000 | INR | 158,296,600 | BNP Paribas S.A. | 12/20/23 | 2,209 |
| USD | 2,444,350 | INR | 203,459,139 | Bank of America, N.A. | 12/20/23 | 5,114 |
| USD | 1,229,330 | INR | 102,335,576 | Bank of America, N.A. | 12/20/23 | 2,446 |
| USD | 2,482,242 | INR | 207,434,758 | JPMorgan Chase Bank, N.A. | 12/20/23 | (4,657) |
| USD | 2,466,621 | INR | 205,562,028 | JPMorgan Chase Bank, N.A. | 12/20/23 | 2,173 |
| USD | 2,374,198 | INR | 197,723,189 | JPMorgan Chase Bank, N.A. | 12/20/23 | 3,729 |
| USD | 700,000 | JPY | 104,293,910 | Barclays Bank PLC | 12/20/23 | (5,371) |
| USD | 2,000,000 | JPY | 291,388,000 | Barclays Bank PLC | 12/20/23 | 29,255 |
| USD | 800,000 | JPY | 117,584,160 | Citibank, N.A. | 12/20/23 | 4,743 |
| USD | 800,000 | JPY | 117,861,320 | JPMorgan Chase Bank, N.A. | 12/20/23 | 2,868 |
| USD | 531,684 | KRW | 705,597,836 | BNP Paribas S.A. | 12/20/23 | (11,682) |
| USD | 894,474 | KRW | 1,185,947,298 | BNP Paribas S.A. | 12/20/23 | (18,799) |
| USD | 2,099,900 | KRW | 2,826,683,370 | BNP Paribas S.A. | 12/20/23 | (76,870) |
| USD | 930,067 | KRW | 1,235,594,010 | Bank of America, N.A. | 12/20/23 | (21,438) |
| USD | 100 | KRW | 134,540 | JPMorgan Chase Bank, N.A. | 12/20/23 | (4) |
| USD | 2,724,843 | KRW | 3,615,376,189 | Morgan Stanley International | 12/20/23 | (59,282) |
| USD | 650,602 | KRW | 861,904,518 | UBS AG | 12/20/23 | (13,133) |
| USD | 800,000 | MXN | 14,606,594 | BNP Paribas S.A. | 12/20/23 | (38,772) |
| USD | 800,000 | MXN | 14,207,140 | State Street Bank And Trust Co | 12/20/23 | (15,834) |
| USD | 4,919,909 | MYR | 22,907,097 | Barclays Bank PLC | 12/20/23 | (1,802) |
| USD | 1,006,471 | MYR | 4,682,604 | Goldman Sachs Bank USA | 12/20/23 | 388 |
| USD | 2,400,000 | NOK | 25,815,948 | BNP Paribas S.A. | 12/20/23 | 12,832 |
| USD | 3,088,723 | NZD | 5,300,000 | BNP Paribas S.A. | 12/20/23 | (175,288) |
| USD | 3,608,284 | NZD | 6,100,000 | JPMorgan Chase Bank, N.A. | 12/20/23 | (148,408) |
| USD | 4,300,000 | PEN | 16,486,200 | Bank of America, N.A. | 12/20/23 | (106,249) |
| USD | 3,500,000 | PEN | 13,424,250 | Citibank, N.A. | 12/20/23 | (87,885) |
| USD | 3,200,000 | PHP | 181,696,000 | JPMorgan Chase Bank, N.A. | 12/20/23 | (75,494) |
| USD | 1,453,833 | PHP | 83,072,015 | Morgan Stanley International | 12/20/23 | (43,734) |
| USD | 900,000 | RON | 4,115,250 | BNP Paribas S.A. | 12/20/23 | (1,279) |
| USD | 700,000 | RON | 3,256,514 | Barclays Bank PLC | 12/20/23 | (13,207) |
| USD | 1,500,000 | RON | 7,055,625 | JPMorgan Chase Bank, N.A. | 12/20/23 | (45,248) |
| USD | 240,600 | SGD | 324,000 | JPMorgan Chase Bank, N.A. | 12/20/23 | (1,798) |
| USD | 4,109,859 | SGD | 5,576,092 | JPMorgan Chase Bank, N.A. | 12/20/23 | (61,846) |
| USD | 9,879,706 | THB | 357,156,325 | BNP Paribas S.A. | 12/20/23 | (233,129) |
| USD | 1,900,000 | TWD | 60,655,790 | Bank of America, N.A. | 12/20/23 | (35,648) |
| USD | 2,510,097 | TWD | 79,404,408 | JPMorgan Chase Bank, N.A. | 12/20/23 | (23,857) |
| USD | 2,947,922 | TWD | 93,219,188 | JPMorgan Chase Bank, N.A. | 12/20/23 | (26,890) |
| USD | 1,822,870 | TWD | 57,136,037 | Morgan Stanley International | 12/20/23 | (456) |
| USD | 600,000 | ZAR | 11,303,606 | BNP Paribas S.A. | 12/20/23 | 1,250 |
| USD | 145,431 | ZAR | 2,723,000 | Citibank, N.A. | 12/20/23 | 1,194 |
| ZAR | 19,025,059 | USD | 1,000,000 | BNP Paribas S.A. | 12/20/23 | 7,754 |
| ZAR | 29,882,738 | USD | 1,600,000 | BNP Paribas S.A. | 12/20/23 | (17,117) |
| ZAR | 25,639,156 | USD | 1,400,000 | BNP Paribas S.A. | 12/20/23 | (41,899) |
| ZAR | 14,725,616 | USD | 800,000 | BNP Paribas S.A. | 12/20/23 | (19,987) |
| ZAR | 22,714,302 | USD | 1,200,000 | State Street Bank And Trust Co | 12/20/23 | 3,172 |
| USD | 2,124,835 | BRL | 10,705,620 | JPMorgan Chase Bank, N.A. | 1/03/24 | (42,360) |
| USD | 1,079,076 | BRL | 5,400,000 | JPMorgan Chase Bank, N.A. | 1/03/24 | (14,075) |
| EUR | 82,000 | USD | 89,643 | Bank of America, N.A. | 1/09/24 | (233) |
| EUR | 62,000 | USD | 67,788 | State Street Bank And Trust Co | 1/09/24 | (185) |
| GBP | 99,555 | USD | 126,279 | BNP Paribas S.A. | 1/09/24 | (552) |
| GBP | 26,113 | USD | 33,167 | Bank of America, N.A. | 1/09/24 | (190) |
| GBP | 16,000 | USD | 20,231 | Barclays Bank PLC | 1/09/24 | (25) |
| USD | 1,544,237 | AUD | 2,334,783 | Bank of America, N.A. | 1/09/24 | (358) |
| USD | 3,872,628 | AUD | 5,836,956 | UBS AG | 1/09/24 | 11,142 |
| USD | 22,631,689 | CAD | 30,698,483 | UBS AG | 1/09/24 | (5,638) |
| USD | 4,134,953 | CHF | 3,623,589 | Goldman Sachs Bank USA | 1/09/24 | (20,741) |
| USD | 248,550 | EUR | 226,000 | Barclays Bank PLC | 1/09/24 | 2,126 |
| USD | 4,212,934 | EUR | 3,833,000 | Morgan Stanley International | 1/09/24 | 33,535 |
| USD | 1,084,969 | GBP | 855,363 | BNP Paribas S.A. | 1/09/24 | 4,746 |
| USD | 284,967 | GBP | 224,358 | Bank of America, N.A. | 1/09/24 | 1,629 |
| USD | 1,038,155 | GBP | 821,039 | UBS AG | 1/09/24 | 1,280 |
| USD | 10,152,730 | JPY | 1,498,228,213 | Bank of America, N.A. | 1/09/24 | (14,605) |
| USD | 3,860,336 | JPY | 569,125,090 | Morgan Stanley International | 1/09/24 | (1,883) |
| USD | 6,367,485 | JPY | 932,839,033 | UBS AG | 1/09/24 | 37,016 |
| USD | 390,833 | NOK | 4,155,580 | Bank of America, N.A. | 1/09/24 | 6,334 |
| USD | 47,863 | NOK | 511,928 | Citibank, N.A. | 1/09/24 | 496 |
| USD | 2,166,858 | NOK | 23,115,922 | UBS AG | 1/09/24 | 28,033 |
| USD | 46,311 | NOK | 492,538 | UBS AG | 1/09/24 | 738 |
| USD | 9,658,579 | NZD | 15,700,019 | Barclays Bank PLC | 1/09/24 | (11,119) |
| USD | 4,948,594 | SEK | 51,073,259 | UBS AG | 1/09/24 | 76,906 |
| ZAR | 2,314,341 | USD | 121,657 | Citibank, N.A. | 1/17/24 | 626 |
| ZAR | 2,272,000 | USD | 119,618 | Goldman Sachs Bank USA | 1/17/24 | 428 |
| USD | 85,607 | TRY | 2,605,465 | Barclays Bank PLC | 1/18/24 | (1,077) |
| USD | 118,993 | ZAR | 2,190,736 | Citibank, N.A. | 1/19/24 | 3,261 |
| USD | 3,851,396 | ZAR | 73,518,921 | UBS AG | 1/19/24 | (32,450) |
| ZAR | 3,092,846 | USD | 160,869 | Citibank, N.A. | 1/19/24 | 2,520 |
| ZAR | 14,837,277 | USD | 802,546 | Citibank, N.A. | 1/19/24 | (18,725) |
| PLN | 93,000 | USD | 22,150 | BNP Paribas S.A. | 1/22/24 | 1,062 |
| PLN | 168,000 | USD | 39,575 | Bank of America, N.A. | 1/22/24 | 2,357 |
| PLN | 92,000 | USD | 22,080 | Bank of America, N.A. | 1/22/24 | 882 |
| PLN | 465,000 | USD | 114,751 | Barclays Bank PLC | 1/22/24 | 1,309 |
| PLN | 3,665,154 | USD | 838,229 | Barclays Bank PLC | 1/22/24 | 76,562 |
| PLN | 131,000 | USD | 30,841 | Morgan Stanley International | 1/22/24 | 1,855 |
| PLN | 148,000 | USD | 34,969 | Morgan Stanley International | 1/22/24 | 1,971 |
| USD | 105,769 | PLN | 446,000 | Bank of America, N.A. | 1/22/24 | (5,549) |
| USD | 1,010,690 | PLN | 4,403,880 | Bank of America, N.A. | 1/22/24 | (88,481) |
| USD | 382,419 | PLN | 1,670,521 | Bank of America, N.A. | 1/22/24 | (34,529) |
| USD | 154,943 | PLN | 674,000 | Bank of America, N.A. | 1/22/24 | (13,281) |
| USD | 115,377 | PLN | 504,808 | Barclays Bank PLC | 1/22/24 | (10,619) |
| USD | 107,606 | PLN | 453,000 | Citibank, N.A. | 1/22/24 | (5,459) |
| USD | 103,715 | PLN | 431,000 | Citibank, N.A. | 1/22/24 | (3,859) |
| USD | 132,492 | PLN | 581,000 | JPMorgan Chase Bank, N.A. | 1/22/24 | (12,521) |
| HUF | 51,763,000 | USD | 140,030 | BNP Paribas S.A. | 1/24/24 | 7,322 |
| HUF | 4,836,000 | USD | 13,781 | Citibank, N.A. | 1/24/24 | (15) |
| HUF | 36,091,000 | USD | 97,235 | Goldman Sachs Bank USA | 1/24/24 | 5,504 |
| HUF | 13,174,000 | USD | 35,766 | Morgan Stanley International | 1/24/24 | 1,736 |
| USD | 68,656 | HUF | 24,889,289 | BNP Paribas S.A. | 1/24/24 | (2,195) |
| USD | 44,228 | HUF | 15,487,000 | Bank of America, N.A. | 1/24/24 | 142 |
| USD | 189,681 | HUF | 71,125,000 | JPMorgan Chase Bank, N.A. | 1/24/24 | (12,788) |
| USD | 70,922 | HUF | 24,810,000 | JPMorgan Chase Bank, N.A. | 1/24/24 | 296 |
| MXN | 3,330,727 | USD | 181,317 | Citibank, N.A. | 1/31/24 | 8,547 |
| MXN | 742,633 | USD | 42,122 | Citibank, N.A. | 1/31/24 | 211 |
| USD | 3,102,639 | CAD | 4,300,000 | Royal Bank of Canada | 1/31/24 | (69,211) |
| USD | 153 | MXN | 2,810 | Goldman Sachs Bank USA | 1/31/24 | (7) |
| USD | 107,317 | MXN | 1,881,000 | Goldman Sachs Bank USA | 1/31/24 | 93 |
| USD | 1,443,111 | CAD | 2,000,000 | Royal Bank of Canada | 2/01/24 | (32,189) |
| BRL | 12,737,125 | USD | 2,483,161 | Citibank, N.A. | 2/02/24 | 86,569 |
| USD | 4,227 | BRL | 21,589 | Goldman Sachs Bank USA | 2/02/24 | (129) |
| USD | 907,521 | RON | 4,153,065 | Barclays Bank PLC | 2/20/24 | (1,250) |
| USD | 124,240 | TRY | 3,893,075 | Barclays Bank PLC | 2/20/24 | (1,789) |
| USD | 9,101,365 | INR | 760,337,133 | JPMorgan Chase Bank, N.A. | 2/29/24 | 3,539 |
| USD | 594,294 | TWD | 18,808,217 | BNP Paribas S.A. | 2/29/24 | (10,862) |
| USD | 898,882 | TWD | 28,695,909 | BNP Paribas S.A. | 2/29/24 | (24,411) |
| USD | 596,614 | JPY | 87,830,000 | BNP Paribas S.A. | 3/04/24 | (4,545) |
| USD | 693,799 | JPY | 102,170,000 | Barclays Bank PLC | 3/04/24 | (5,511) |
| USD | 12,064 | IDR | 185,940,194 | BNP Paribas S.A. | 3/20/24 | 85 |
| USD | 105,090 | IDR | 1,620,233,580 | Citibank, N.A. | 3/20/24 | 713 |
| USD | 16,240 | IDR | 249,348,960 | Goldman Sachs Bank USA | 3/20/24 | 177 |
| USD | 56,333 | IDR | 868,035,197 | Goldman Sachs Bank USA | 3/20/24 | 413 |
| USD | 86,137 | IDR | 1,329,869,143 | JPMorgan Chase Bank, N.A. | 3/20/24 | 466 |
| USD | 26,821 | IDR | 412,094,741 | Morgan Stanley International | 3/20/24 | 273 |
| USD | 2,025,998 | IDR | 31,183,762,019 | Morgan Stanley International | 3/20/24 | 17,109 |
| USD | 27,048 | IDR | 416,477,260 | Morgan Stanley International | 3/20/24 | 218 |
| USD | 1,275,259 | TWD | 40,127,300 | BNP Paribas S.A. | 3/20/24 | (18,800) |
| USD | 1,480,358 | TWD | 46,783,738 | BNP Paribas S.A. | 3/20/24 | (28,364) |
| USD | 10,641,325 | CNY | 76,879,000 | Goldman Sachs Bank USA | 3/26/24 | (255,102) |
| | | | | | | |
| TOTAL FORWARD FOREIGN CURRENCY CONTRACTS | | (1,371,135) |
| Unrealized Appreciation | | | 5,500,363 |
| Unrealized Depreciation | | | (6,871,498) |
For the period, the average contract value for forward foreign currency contracts was $554,024,807. Contract value represents contract amount in United States dollars plus or minus unrealized appreciation or depreciation, respectively.
| Credit Default Swaps |
| Underlying Reference | Rating(1) | Maturity Date | Clearinghouse / Counterparty(2) | Fixed Payment Received/ (Paid) | Payment Frequency | Notional Amount(3)(4) | Value ($)(1) | Upfront Premium Received/ (Paid) ($)(5) | Unrealized Appreciation/ (Depreciation) ($) |
| Buy Protection | | | | | | | | | | |
| 5-Year CDX N.A. HY Series 41 | | Dec 2028 | ICE | (5%) | Quarterly | | 2,574,000 | 29,832 | 0 | 29,832 |
| | | | | | | | | | | |
| Sell Protection | | | | | | | | | | |
| 5-Year CDX N.A. EM Series 39 | NR | Jun 2028 | ICE | 1% | Quarterly | | 900,000 | 30,680 | 0 | 30,680 |
| 5-Year CDX N.A. EM Series 40 | NR | Dec 2028 | ICE | 1% | Quarterly | | 16,000,000 | 112,678 | 0 | 112,678 |
| 5-Year CDX N.A. IG Series 41 | NR | Dec 2028 | ICE | 1% | Quarterly | | 20,100,000 | 55,454 | 0 | 55,454 |
| 5-Year iTraxx Crossover Series 40 | NR | Dec 2028 | ICE | 5% | Quarterly | EUR | 1,600,000 | 29,336 | 0 | 29,336 |
| 5-Year iTraxx Europe Main Series 40 | NR | Dec 2028 | ICE | 1% | Quarterly | EUR | 20,600,000 | 79,948 | 0 | 79,948 |
| | | | | | | | | | | |
| TOTAL SELL PROTECTION | | | | | | | | 308,096 | 0 | 308,096 |
| TOTAL CREDIT DEFAULT SWAPS | | | | | | | | 337,928 | 0 | 337,928 |
(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 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)Notional amount is stated in U.S. Dollars unless otherwise noted.
(5)Any premiums for centrally cleared swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation).
| Interest Rate Swaps |
| Payment Received | Payment Frequency | Payment Paid | Payment Frequency | Clearinghouse / Counterparty(1) | Maturity Date | Notional Amount(2) | Value ($) | Upfront Premium Received/ (Paid) ($)(3) | Unrealized Appreciation/ (Depreciation) ($) |
SONIA Interest Rate Benchmark(4) | Semi-Annual | 5.5% | Semi-Annual | LCH | Jan 2026 | GBP | 6,500,000 | (2,691) | 0 | (2,691) |
U.S. Secured Overnight Fin. Rate (SOFR) Index(4) | Annual | 3.5% | Annual | LCH | Mar 2026 | | 24,400,000 | (76,978) | 0 | (76,978) |
| 3.75% | Semi-Annual | Canadian Overnight Repo Rate Average(4) | Semi-Annual | LCH | Mar 2026 | CAD | 6,500,000 | 57,142 | 0 | 57,142 |
6 month EURIBOR(4) | Semi-Annual | 3.5% | Annual | LCH | Mar 2026 | EUR | 4,600,000 | (15,307) | 0 | (15,307) |
| 4% | Quarterly | ASX Australian Bank Bill Short Term Rates 3 Month(4) | Quarterly | LCH | Mar 2026 | AUD | 3,300,000 | 1,623 | 0 | 1,623 |
Brazil Cetip DI Interbank Deposit Rate(4) | At Maturity | 13.72% | At Maturity | CME | Jan 2027 | BRL | 20,200,000 | (219,870) | 0 | (219,870) |
Brazil Cetip DI Interbank Deposit Overnight Rate(4) | At Maturity | 13.19% | At Maturity | CME | Jan 2027 | BRL | 18,500,000 | (238,821) | 0 | (238,821) |
| 12.26% | At Maturity | Brazil Cetip DI Interbank Deposit Rate(4) | At Maturity | CME | Jan 2027 | BRL | 13,600,000 | 113,734 | 0 | 113,734 |
Brazil Cetip DI Interbank Deposit Rate(4) | At Maturity | 13.17% | At Maturity | CME | Jan 2027 | BRL | 7,000,000 | (80,147) | 0 | (80,147) |
Brazil Cetip DI Interbank Deposit Rate(4) | At Maturity | 12.71% | At Maturity | CME | Jan 2027 | BRL | 6,800,000 | (74,133) | 0 | (74,133) |
| 12.16% | At Maturity | Brazil Cetip DI Interbank Deposit Rate(4) | At Maturity | CME | Jan 2027 | BRL | 6,500,000 | 51,371 | 0 | 51,371 |
Brazil Cetip DI Interbank Deposit Overnight Rate(4) | At Maturity | 13.08% | At Maturity | CME | Jan 2027 | BRL | 4,700,000 | (46,179) | 0 | (46,179) |
Mexico 28 Day Cetes Auction Average Yield Rate(4) | Monthly | 8.63% | Monthly | CME | Nov 2027 | MXN | 63,400,000 | 33,773 | 0 | 33,773 |
| 8.45% | Monthly | Mexico Interbank TIIE 28 Day Rate(4) | Monthly | CME | Nov 2027 | MXN | 54,800,000 | (66,790) | 0 | (66,790) |
SAFE South Africa Johannesburg Interbank Agreed 3 Month Rate(4) | Quarterly | 8.06% | Quarterly | CME | Nov 2027 | ZAR | 44,800,000 | (27,903) | 0 | (27,903) |
| 8.48% | Monthly | Mexico Interbank TIIE 28 Day Rate(4) | Monthly | CME | Nov 2027 | MXN | 17,300,000 | (20,294) | 0 | (20,294) |
Bank of Israel Tel Aviv Interbank Offered 3 Month(4) | Quarterly | 3.29% | Annual | LCH | Nov 2027 | ILS | 26,400,000 | 88,849 | 0 | 88,849 |
National Bank of Hungary Budapest Interbank Offered Rates 6 Month Index(4) | Semi-Annual | 9.05% | Annual | CME | Dec 2027 | HUF | 1,832,500,000 | (642,624) | 0 | (642,624) |
| 5.61% | Semi-Annual | GPW Benchmark WIBOR PLN 6M Rate(4) | Semi-Annual | CME | Dec 2027 | PLN | 7,100,000 | 99,848 | 0 | 99,848 |
| 8.5% | Annual | National Bank of Hungary Budapest Interbank Offered Rates 6 Month Index(4) | Semi-Annual | CME | Jan 2028 | HUF | 1,825,400,000 | 476,418 | 0 | 476,418 |
| 8.65% | Semi-Annual | National Bank of Hungary Budapest Interbank Offered Rates 6 Month Index(4) | Semi-Annual | CME | Jan 2028 | HUF | 174,100,000 | 44,249 | 0 | 44,249 |
| 7.71% | Quarterly | SAFE South Africa Johannesburg Interbank Agreed 3 Month Rate(4) | Quarterly | CME | Jan 2028 | ZAR | 86,300,000 | (19,585) | 0 | (19,585) |
| 7.9% | Quarterly | SAFE South Africa Johannesburg Interbank Agreed 3 Month Rate(4) | Quarterly | CME | Jan 2028 | ZAR | 31,600,000 | 6,274 | 0 | 6,274 |
| 7.73% | Quarterly | SAFE South Africa Johannesburg Interbank Agreed 3 Month Rate(4) | Quarterly | CME | Jan 2028 | ZAR | 31,600,000 | (5,530) | 0 | (5,530) |
| 7.73% | Quarterly | SAFE South Africa Johannesburg Interbank Agreed 3 Month Rate(4) | Quarterly | CME | Jan 2028 | ZAR | 26,400,000 | (13,215) | 0 | (13,215) |
| 5.3% | Annual | GPW Benchmark WIBD/WIBOR PLN 6m Rate(4) | Semi-Annual | CME | Jan 2028 | PLN | 6,000,000 | 73,840 | 0 | 73,840 |
Bank of Israel Tel Aviv Interbank Offered 3 Month(4) | Quarterly | 3.49% | Annual | LCH | Jan 2028 | ILS | 3,700,000 | 332 | 0 | 332 |
Colombia IBR Overnight Nominal Interbank Reference Rate(4) | Quarterly | 10.24% | Quarterly | CME | Feb 2028 | COP | 12,000,000,000 | (200,479) | 0 | (200,479) |
Chile Indice de Camara Promedio Interbank Overnight Index Rate(4) | Semi-Annual | 5.94% | Semi-Annual | CME | Feb 2028 | CLP | 2,185,200,000 | (50,375) | 0 | (50,375) |
Prague Interbank Offered Rate 6-month(4) | Semi-Annual | 5.22% | Annual | CME | Feb 2028 | CZK | 87,200,000 | (266,151) | 0 | (266,151) |
SAFE South Africa Johannesburg Interbank Agreed 3 Month Rate(4) | Quarterly | 8.43% | Quarterly | CME | Feb 2028 | ZAR | 85,300,000 | (102,533) | 0 | (102,533) |
Mexico Interbank TIIE 28 Day Rate(4) | At Maturity | 9.22% | At Maturity | CME | Feb 2028 | MXN | 56,800,000 | (17,282) | 0 | (17,282) |
SAFE South Africa Johannesburg Interbank Agreed 3 Month Rate(4) | Quarterly | 8.21% | Quarterly | CME | Feb 2028 | ZAR | 56,800,000 | (43,019) | 0 | (43,019) |
Mexico Interbank TIIE 28 Day Rate(4) | Monthly | 9.14% | Monthly | CME | Feb 2028 | MXN | 24,000,000 | (13,686) | 0 | (13,686) |
GPW Benchmark WIBD/WIBOR PLN 6m Rate(4) | Semi-Annual | 6.04% | Annual | CME | Feb 2028 | PLN | 13,500,000 | (250,475) | 0 | (250,475) |
Bank of Israel Tel Aviv Interbank Offered 3 Month(4) | Quarterly | 4.04% | Annual | LCH | Feb 2028 | ILS | 76,800,000 | (452,812) | 0 | (452,812) |
| 4.03% | Quarterly | Bank of Israel Tel Aviv Interbank Offered 3 Month(4) | Quarterly | LCH | Feb 2028 | ILS | 66,600,000 | 574,926 | 0 | 574,926 |
Bank of Israel Tel Aviv Interbank Offered 3 Month(4) | Quarterly | 3.98% | Annual | LCH | Feb 2028 | ILS | 9,500,000 | (44,835) | 0 | (44,835) |
| 9.05% | Quarterly | Colombia IBR Overnight Nominal Interbank Reference Rate(4) | Quarterly | CME | Mar 2028 | COP | 10,329,000,000 | 73,742 | 0 | 73,742 |
| 8.75% | Quarterly | Colombia IBR Overnight Nominal Interbank Reference Rate(4) | Quarterly | CME | Mar 2028 | COP | 6,718,000,000 | 32,792 | 0 | 32,792 |
Colombia IBR Overnight Nominal Interbank Reference Rate(4) | Quarterly | 9.83% | Quarterly | CME | Mar 2028 | COP | 6,277,100,000 | (79,255) | 0 | (79,255) |
| 5.38% | Semi-Annual | Chile Indice de Camara Promedio Interbank Overnight Index Rate(4) | Semi-Annual | CME | Mar 2028 | CLP | 5,416,600,000 | 4,456 | 0 | 4,456 |
| 5.3% | Semi-Annual | Chile Indice de Camara Promedio Interbank Overnight Index Rate(4) | Semi-Annual | CME | Mar 2028 | CLP | 2,179,800,000 | (7,334) | 0 | (7,334) |
Chile Indice de Camara Promedio Interbank Overnight Index Rate(4) | Semi-Annual | 6.49% | Semi-Annual | CME | Mar 2028 | CLP | 2,011,100,000 | (108,806) | 0 | (108,806) |
Chile Indice de Camara Promedio Interbank Overnight Index Rate(4) | Semi-Annual | 6.39% | Semi-Annual | CME | Mar 2028 | CLP | 1,683,100,000 | (68,400) | 0 | (68,400) |
Chile Indice de Camara Promedio Interbank Overnight Index Rate(4) | Semi-Annual | 6.38% | Semi-Annual | CME | Mar 2028 | CLP | 992,300,000 | (47,905) | 0 | (47,905) |
Chile Indice de Camara Promedio Interbank Overnight Index Rate(4) | Semi-Annual | 6.37% | Semi-Annual | CME | Mar 2028 | CLP | 936,200,000 | (44,727) | 0 | (44,727) |
| 4.51% | Annual | Prague Interbank Offered Rate 6-month(4) | Semi-Annual | CME | Mar 2028 | CZK | 85,800,000 | 150,110 | 0 | 150,110 |
| 8.44% | Monthly | Mexico Interbank TIIE 28 Day Rate(4) | Monthly | CME | Mar 2028 | MXN | 68,900,000 | (83,217) | 0 | (83,217) |
SAFE South Africa Johannesburg Interbank Agreed 3 Month Rate(4) | Quarterly | 8.12% | Quarterly | CME | Mar 2028 | ZAR | 23,700,000 | (29,491) | 0 | (29,491) |
GPW Benchmark WIBD/WIBOR PLN 6m Rate(4) | Semi-Annual | 5.43% | Annual | CME | Mar 2028 | PLN | 3,100,000 | (39,550) | 0 | (39,550) |
| 3.87% | Annual | Bank of Israel Tel Aviv Interbank Offered 3 Month(4) | Quarterly | LCH | Mar 2028 | ILS | 7,800,000 | 6,919 | 0 | 6,919 |
| 3.59% | Annual | Bank of Israel Tel Aviv Interbank Offered 3 Month(4) | Quarterly | LCH | Mar 2028 | ILS | 5,300,000 | 4,657 | 0 | 4,657 |
| 8.7% | Quarterly | Colombia IBR Overnight Nominal Interbank Reference Rate(4) | Quarterly | CME | Apr 2028 | COP | 8,197,300,000 | 39,279 | 0 | 39,279 |
| 8.71% | Annual | National Bank of Hungary Budapest Interbank Offered Rates 6 Month Index(4) | Semi-Annual | CME | Apr 2028 | HUF | 1,337,700,000 | 348,724 | 0 | 348,724 |
| 8.74% | Annual | National Bank of Hungary Budapest Interbank Offered Rates 6 Month Index(4) | Semi-Annual | CME | Apr 2028 | HUF | 785,400,000 | 251,160 | 0 | 251,160 |
National Bank of Hungary Budapest Interbank Offered Rates 6 Month Index(4) | Semi-Annual | 9.51% | Semi-Annual | CME | Apr 2028 | HUF | 757,400,000 | (298,957) | 0 | (298,957) |
National Bank of Hungary Budapest Interbank Offered Rates 6 Month Index(4) | Semi-Annual | 9.49% | Annual | CME | Apr 2028 | HUF | 611,500,000 | (241,307) | 0 | (241,307) |
| 8.8% | Annual | National Bank of Hungary Budapest Interbank Offered Rates 6 Month Index(4) | Semi-Annual | CME | Apr 2028 | HUF | 414,900,000 | 134,427 | 0 | 134,427 |
National Bank of Hungary Budapest Interbank Offered Rates 6 Month Index(4) | Semi-Annual | 9.5% | Annual | CME | Apr 2028 | HUF | 250,700,000 | (99,241) | 0 | (99,241) |
SAFE South Africa Johannesburg Interbank Agreed 3 Month Rate(4) | Quarterly | 8.51% | Quarterly | CME | Apr 2028 | ZAR | 76,200,000 | (102,713) | 0 | (102,713) |
Prague Interbank Offered Rate 6-month(4) | Semi-Annual | 5.09% | Semi-Annual | CME | Apr 2028 | CZK | 50,200,000 | (127,085) | 0 | (127,085) |
| 3.53% | Annual | Bank of Israel Tel Aviv Interbank Offered 3 Month(4) | Quarterly | LCH | Apr 2028 | ILS | 6,300,000 | 1,303 | 0 | 1,303 |
BNP Paribas Sinacofi Chile Interbank Rate Avg.(4) | Semi-Annual | 5.8% | Semi-Annual | CME | May 2028 | CLP | 2,024,600,000 | (68,834) | 0 | (68,834) |
BNP Paribas Sinacofi Chile Interbank Rate Avg.(4) | Semi-Annual | 5.78% | Semi-Annual | CME | May 2028 | CLP | 508,400,000 | (16,840) | 0 | (16,840) |
SAFE South Africa Johannesburg Interbank Agreed 3 Month Rate(4) | Quarterly | 9.35% | Quarterly | CME | May 2028 | ZAR | 129,700,000 | (376,703) | 0 | (376,703) |
| 4.7% | Annual | Prague Interbank Offered Rate 6-month(4) | Semi-Annual | CME | May 2028 | CZK | 50,000,000 | 107,448 | 0 | 107,448 |
Mexico Interbank TIIE 28 Day Rate(4) | Monthly | 8.73% | Monthly | CME | May 2028 | MXN | 48,000,000 | 26,540 | 0 | 26,540 |
Mexico Interbank TIIE 28 Day Rate(4) | Monthly | 8.7% | Monthly | CME | May 2028 | MXN | 31,200,000 | 32,769 | 0 | 32,769 |
Bank of Israel Tel Aviv Interbank Offered 3 Month(4) | Quarterly | 3.59% | Annual | LCH | May 2028 | ILS | 16,900,000 | (54,463) | 0 | (54,463) |
| 8.11% | Quarterly | Colombia IBR Overnight Nominal Interbank Reference Rate(4) | Quarterly | CME | Jun 2028 | COP | 14,886,400,000 | (16,507) | 0 | (16,507) |
| 5.16% | Semi-Annual | BNP Paribas Sinacofi Chile Interbank Rate Avg.(4) | Semi-Annual | CME | Jun 2028 | CLP | 6,635,800,000 | (162,035) | 0 | (162,035) |
BNP Paribas Sinacofi Chile Interbank Rate Avg.(4) | Semi-Annual | 5.62% | Semi-Annual | CME | Jun 2028 | CLP | 2,772,000,000 | 6,698 | 0 | 6,698 |
BNP Paribas Sinacofi Chile Interbank Rate Avg.(4) | Semi-Annual | 5.7% | Semi-Annual | CME | Jun 2028 | CLP | 1,688,700,000 | (49,101) | 0 | (49,101) |
| 5.24% | Semi-Annual | BNP Paribas Sinacofi Chile Interbank Rate Avg.(4) | Semi-Annual | CME | Jun 2028 | CLP | 1,316,000,000 | (27,887) | 0 | (27,887) |
BNP Paribas Sinacofi Chile Interbank Rate Avg.(4) | Semi-Annual | 5.65% | Semi-Annual | CME | Jun 2028 | CLP | 1,071,300,000 | (28,567) | 0 | (28,567) |
| 5.23% | Semi-Annual | BNP Paribas Sinacofi Chile Interbank Rate Avg.(4) | Semi-Annual | CME | Jun 2028 | CLP | 967,400,000 | (20,862) | 0 | (20,862) |
| 5.29% | Semi-Annual | BNP Paribas Sinacofi Chile Interbank Rate Avg.(4) | Semi-Annual | CME | Jun 2028 | CLP | 953,800,000 | (17,605) | 0 | (17,605) |
| 9.19% | Quarterly | SAFE South Africa Johannesburg Interbank Agreed 3 Month Rate(4) | Quarterly | CME | Jun 2028 | ZAR | 86,900,000 | 139,397 | 0 | 139,397 |
| 4.61% | Annual | Prague Interbank Offered Rate 6-month(4) | Semi-Annual | CME | Jun 2028 | CZK | 71,600,000 | (15,054) | 0 | (15,054) |
| 5.54% | Annual | GPW Benchmark WIBD/WIBOR PLN 6m Rate(4) | Semi-Annual | CME | Jun 2028 | PLN | 27,600,000 | 309,296 | 0 | 309,296 |
| 4.93% | Annual | GPW Benchmark WIBD/WIBOR PLN 6m Rate(4) | Semi-Annual | CME | Jun 2028 | PLN | 18,600,000 | 4,180 | 0 | 4,180 |
| 8.21% | Monthly | Mexico Interbank TIIE 28 Day Rate(4) | Monthly | CME | Jun 2028 | MXN | 7,700,000 | (12,819) | 0 | (12,819) |
| 5.28% | Semi-Annual | BNP Paribas Sinacofi Chile Interbank Rate Avg.(4) | Semi-Annual | CME | Jul 2028 | CLP | 1,843,000,000 | (41,803) | 0 | (41,803) |
Prague Interbank Offered Rate 6-month(4) | Semi-Annual | 4.62% | Semi-Annual | CME | Jul 2028 | CZK | 113,100,000 | (47,665) | 0 | (47,665) |
| 8.37% | Quarterly | SAFE South Africa Johannesburg Interbank Agreed 3 Month Rate(4) | Quarterly | CME | Jul 2028 | ZAR | 104,100,000 | 97,294 | 0 | 97,294 |
| 8.41% | Quarterly | SAFE South Africa Johannesburg Interbank Agreed 3 Month Rate(4) | Quarterly | CME | Jul 2028 | ZAR | 84,300,000 | 84,997 | 0 | 84,997 |
| 8.31% | Quarterly | SAFE South Africa Johannesburg Interbank Agreed 3 Month Rate(4) | Quarterly | CME | Jul 2028 | ZAR | 46,400,000 | 35,018 | 0 | 35,018 |
| 8.33% | Quarterly | SAFE South Africa Johannesburg Interbank Agreed 3 Month Rate(4) | Quarterly | CME | Jul 2028 | ZAR | 29,700,000 | 24,066 | 0 | 24,066 |
| 8.29% | Quarterly | SAFE South Africa Johannesburg Interbank Agreed 3 Month Rate(4) | Quarterly | CME | Jul 2028 | ZAR | 26,300,000 | 18,950 | 0 | 18,950 |
| 8.31% | Quarterly | SAFE South Africa Johannesburg Interbank Agreed 3 Month Rate(4) | Quarterly | CME | Jul 2028 | ZAR | 26,300,000 | 20,079 | 0 | 20,079 |
Bank of Israel Tel Aviv Interbank Offered 3 Month(4) | Quarterly | 3.49% | Annual | LCH | Jul 2028 | ILS | 12,900,000 | (88,265) | 0 | (88,265) |
Colombia IBR Overnight Nominal Interbank Reference Rate(4) | Quarterly | 8.13% | Quarterly | CME | Aug 2028 | COP | 7,433,900,000 | (18,481) | 0 | (18,481) |
BNP Paribas Sinacofi Chile Interbank Rate Avg.(4) | Semi-Annual | 5.63% | Semi-Annual | CME | Aug 2028 | CLP | 3,778,500,000 | (54,046) | 0 | (54,046) |
BNP Paribas Sinacofi Chile Interbank Rate Avg.(4) | Semi-Annual | 5.46% | Semi-Annual | CME | Aug 2028 | CLP | 3,347,300,000 | (12,545) | 0 | (12,545) |
BNP Paribas Sinacofi Chile Interbank Rate Avg.(4) | Semi-Annual | 5.59% | Semi-Annual | CME | Aug 2028 | CLP | 2,929,500,000 | (34,680) | 0 | (34,680) |
BNP Paribas Sinacofi Chile Interbank Rate Avg.(4) | Semi-Annual | 5.54% | Semi-Annual | CME | Aug 2028 | CLP | 2,555,300,000 | (21,904) | 0 | (21,904) |
BNP Paribas Sinacofi Chile Interbank Rate Avg.(4) | Semi-Annual | 5.55% | Semi-Annual | CME | Aug 2028 | CLP | 2,555,300,000 | (23,222) | 0 | (23,222) |
BNP Paribas Sinacofi Chile Interbank Rate Avg.(4) | Semi-Annual | 5.53% | Semi-Annual | CME | Aug 2028 | CLP | 1,578,900,000 | (14,120) | 0 | (14,120) |
BNP Paribas Sinacofi Chile Interbank Rate Avg.(4) | Semi-Annual | 5.49% | Semi-Annual | CME | Aug 2028 | CLP | 1,468,400,000 | (9,063) | 0 | (9,063) |
Prague Interbank Offered Rate 6-month(4) | Semi-Annual | 4.35% | Annual | CME | Aug 2028 | CZK | 113,200,000 | (80,048) | 0 | (80,048) |
SAFE South Africa Johannesburg Interbank Agreed 3 Month Rate(4) | Quarterly | 8.55% | Quarterly | CME | Aug 2028 | ZAR | 75,100,000 | (92,837) | 0 | (92,837) |
SAFE South Africa Johannesburg Interbank Agreed 3 Month Rate(4) | Quarterly | 8.22% | Quarterly | CME | Aug 2028 | ZAR | 66,200,000 | (120,311) | 0 | (120,311) |
Mexico Interbank TIIE 28 Day Rate(4) | Monthly | 8.77% | Monthly | CME | Aug 2028 | MXN | 63,900,000 | 21,144 | 0 | 21,144 |
SAFE South Africa Johannesburg Interbank Agreed 3 Month Rate(4) | Quarterly | 8.7% | Quarterly | CME | Aug 2028 | ZAR | 63,200,000 | (98,458) | 0 | (98,458) |
SAFE South Africa Johannesburg Interbank Agreed 3 Month Rate(4) | Quarterly | 8.63% | Quarterly | CME | Aug 2028 | ZAR | 63,100,000 | (87,908) | 0 | (87,908) |
| 8.22% | Quarterly | SAFE South Africa Johannesburg Interbank Agreed 3 Month Rate(4) | Quarterly | CME | Aug 2028 | ZAR | 60,200,000 | 32,334 | 0 | 32,334 |
Mexico Interbank TIIE 28 Day Rate(4) | Monthly | 8.89% | Monthly | CME | Aug 2028 | MXN | 26,600,000 | (1,586) | 0 | (1,586) |
GPW Benchmark WIBD/WIBOR PLN 6m Rate(4) | Semi-Annual | 4.84% | Semi-Annual | CME | Aug 2028 | PLN | 9,600,000 | (9,731) | 0 | (9,731) |
Klibor Interbank Offered Rate(4) | At Maturity | 3.75% | At Maturity | BANK OF AMERICA, N.A. | Sep 2028 | MYR | 61,600,000 | (62,472) | (47,910) | (110,382) |
| 3.5% | At Maturity | Klibor Interbank Offered Rate(4) | At Maturity | Bank of America, N.A. | Sep 2028 | MYR | 36,400,000 | (54,890) | 97,896 | 43,006 |
Colombia IBR Overnight Nominal Interbank Reference Rate(4) | Quarterly | 0(4) | Quarterly | CME | Sep 2028 | COP | 8,428,900,000 | (49,095) | 0 | (49,095) |
| 5.75% | Semi-Annual | BNP Paribas Sinacofi Chile Interbank Rate Avg.(4) | Semi-Annual | CME | Sep 2028 | CLP | 2,399,900,000 | 93,907 | 0 | 93,907 |
SAFE South Africa Johannesburg Interbank Agreed 3 Month Rate(4) | Quarterly | 9.09% | Quarterly | CME | Sep 2028 | ZAR | 124,100,000 | (247,504) | 0 | (247,504) |
| 9.89% | Monthly | Mexico Interbank TIIE 28 Day Rate(4) | Monthly | CME | Sep 2028 | MXN | 51,600,000 | 109,092 | 0 | 109,092 |
Klibor Interbank Offered Rate(4) | At Maturity | 3.75% | At Maturity | GOLDMAN SACHS INTERNATIONAL | Sep 2028 | MYR | 51,700,000 | (52,432) | (85,645) | (138,077) |
| 3.5% | At Maturity | Klibor Interbank Offered Rate(4) | At Maturity | GOLDMAN SACHS INTERNATIONAL | Sep 2028 | MYR | 45,900,000 | (69,200) | 129,640 | 60,440 |
Korea Federation of Banks (KORIBOR) 3 Month Rate(4) | Quarterly | 3.75% | Quarterly | LCH | Sep 2028 | KRW | 5,710,400,000 | (56,201) | 0 | (56,201) |
Financial Benchmarks India Overnight Mumbai Interbank Outright Rate(4) | Semi-Annual | 6.75% | Semi-Annual | LCH | Sep 2028 | INR | 634,100,000 | (59,497) | 0 | (59,497) |
Placeholder check(4) | Quarterly | 27.5% | Quarterly | LCH | Sep 2028 | THB | 217,900,000 | (102,831) | 0 | (102,831) |
Taiwan Interbank Money Center TAIBOR Fixing Rates 3 Month Index(4) | Quarterly | 1.5% | Quarterly | LCH | Sep 2028 | TWD | 158,000,000 | (18,713) | 0 | (18,713) |
| 2.5% | Quarterly | CFETS China Fixing Repo Rates 7 Day(4) | Quarterly | LCH | Sep 2028 | CNY | 78,400,000 | 6,803 | 0 | 6,803 |
HK Assoc. of Banks Hong Kong Dollar (HIBOR) Fixings 3 Month(4) | Quarterly | 4.25% | Quarterly | LCH | Sep 2028 | HKD | 66,390,000 | (95,308) | 0 | (95,308) |
| 3.25% | Semi-Annual | Singapore Domestic Interbank O/N INDEX(4) | Semi-Annual | LCH | Sep 2028 | SGD | 14,900,000 | 28,278 | 0 | 28,278 |
Colombia IBR Overnight Nominal Interbank Reference Rate(4) | Quarterly | 9.37% | Quarterly | CME | Oct 2028 | COP | 27,630,000,000 | (332,160) | 0 | (332,160) |
| 9.22% | Quarterly | Colombia IBR Overnight Interbank Reference Rate(4) | Quarterly | CME | Oct 2028 | COP | 15,865,400,000 | 94,951 | 0 | 94,951 |
Colombia IBR Overnight Nominal Interbank Reference Rate(4) | Quarterly | 9.65% | Quarterly | CME | Oct 2028 | COP | 12,050,000,000 | (177,614) | 0 | (177,614) |
Colombia IBR Overnight Nominal Interbank Reference Rate(4) | Quarterly | 9.19% | Quarterly | CME | Oct 2028 | COP | 8,320,000,000 | (87,421) | 0 | (87,421) |
Colombia IBR Overnight Interbank Reference Rate(4) | Quarterly | 9.26% | Quarterly | CME | Oct 2028 | COP | 2,980,000,000 | (33,127) | 0 | (33,127) |
National Bank of Hungary Budapest Interbank Offered Rates 6 Month Index(4) | Semi-Annual | 7.74% | Semi-Annual | CME | Oct 2028 | HUF | 1,451,000,000 | (137,647) | 0 | (137,647) |
| 7.77% | Annual | National Bank of Hungary Budapest Interbank Offered Rates 6 Month Index(4) | Semi-Annual | CME | Oct 2028 | HUF | 1,190,500,000 | (32,704) | 0 | (32,704) |
| 4.73% | Annual | Prague Interbank Offered Rate 6-month(4) | Semi-Annual | CME | Oct 2028 | CZK | 161,800,000 | 56,719 | 0 | 56,719 |
GPW Benchmark WIBOR PLN 6M Rate(4) | Semi-Annual | 4.74% | Semi-Annual | CME | Oct 2028 | PLN | 13,200,000 | 25,713 | 0 | 25,713 |
| 3.92% | Annual | Bank of Israel Tel Aviv Interbank Offered 3 Month(4) | Quarterly | LCH | Oct 2028 | ILS | 18,400,000 | 84,876 | 0 | 84,876 |
Bank of Israel Tel Aviv Interbank Offered 3 Month(4) | Quarterly | 4.46% | Annual | LCH | Oct 2028 | ILS | 14,900,000 | (157,406) | 0 | (157,406) |
| 3.77% | Annual | Bank of Israel Tel Aviv Interbank Offered 3 Month(4) | Quarterly | LCH | Oct 2028 | ILS | 7,000,000 | 21,134 | 0 | 21,134 |
| 8.07% | Quarterly | Colombia IBR Overnight Nominal Interbank Reference Rate(4) | Quarterly | CME | Nov 2028 | COP | 13,692,000,000 | 6,843 | 0 | 6,843 |
| 8.34% | Quarterly | Colombia IBR Overnight Nominal Interbank Reference Rate(4) | Quarterly | CME | Nov 2028 | COP | 7,604,900,000 | 22,331 | 0 | 22,331 |
| 8.19% | Quarterly | Colombia IBR Overnight Nominal Interbank Reference Rate(4) | Quarterly | CME | Nov 2028 | COP | 6,317,200,000 | 10,598 | 0 | 10,598 |
| 8.13% | Quarterly | Colombia IBR Overnight Nominal Interbank Reference Rate(4) | Quarterly | CME | Nov 2028 | COP | 5,156,900,000 | 4,823 | 0 | 4,823 |
| 5.48% | Semi-Annual | BNP Paribas Sinacofi Chile Interbank Rate Avg.(4) | Semi-Annual | CME | Nov 2028 | CLP | 2,748,000,000 | 47,168 | 0 | 47,168 |
| 5.54% | Semi-Annual | BNP Paribas Sinacofi Chile Interbank Rate Avg.(4) | Semi-Annual | CME | Nov 2028 | CLP | 1,049,000,000 | 21,423 | 0 | 21,423 |
| 8.35% | Quarterly | SAFE South Africa Johannesburg Interbank Agreed 3 Month Rate(4) | Quarterly | CME | Nov 2028 | ZAR | 133,700,000 | 59,762 | 0 | 59,762 |
| 8.36% | Quarterly | SAFE South Africa Johannesburg Interbank Agreed 3 Month Rate(4) | Quarterly | CME | Nov 2028 | ZAR | 73,600,000 | 54,154 | 0 | 54,154 |
| 8.36% | Quarterly | SAFE South Africa Johannesburg Interbank Agreed 3 Month Rate(4) | Quarterly | CME | Nov 2028 | ZAR | 72,400,000 | 52,791 | 0 | 52,791 |
| 8.25% | Quarterly | SAFE South Africa Johannesburg Interbank Agreed 3 Month Rate(4) | Quarterly | CME | Nov 2028 | ZAR | 66,500,000 | 30,413 | 0 | 30,413 |
| 9.24% | Monthly | Mexico Interbank TIIE 28 Day Rate(4) | Monthly | CME | Nov 2028 | MXN | 34,700,000 | 25,883 | 0 | 25,883 |
| 3.44% | Annual | Bank of Israel Tel Aviv Interbank Offered 3 Month(4) | Quarterly | LCH | Nov 2028 | ILS | 23,000,000 | (23,728) | 0 | (23,728) |
| 3.46% | Annual | Bank of Israel Tel Aviv Interbank Offered 3 Month(4) | Quarterly | LCH | Nov 2028 | ILS | 12,600,000 | (10,039) | 0 | (10,039) |
| 3.52% | Annual | Bank of Israel Tel Aviv Interbank Offered 3 Month(4) | Quarterly | LCH | Nov 2028 | ILS | 11,700,000 | (1,544) | 0 | (1,544) |
| 11.08% | At Maturity | Brazil Cetip DI Interbank Deposit Rate(4) | At Maturity | CME | Jan 2029 | BRL | 50,700,000 | 156,618 | 0 | 156,618 |
| 10.9% | At Maturity | Brazil Cetip DI Interbank Deposit Rate(4) | At Maturity | CME | Jan 2029 | BRL | 29,200,000 | 92,363 | 0 | 92,363 |
| 12.06% | At Maturity | Brazil Cetip DI Interbank Deposit Rate(4) | At Maturity | CME | Jan 2029 | BRL | 28,700,000 | 260,609 | 0 | 260,609 |
Brazil Cetip DI Interbank Deposit Rate(4) | Quarterly | 11.03% | Quarterly | CME | Jan 2029 | BRL | 22,200,000 | (80,187) | 0 | (80,187) |
| 11.84% | At Maturity | Brazil Cetip DI Interbank Deposit Rate(4) | At Maturity | CME | Jan 2029 | BRL | 18,600,000 | 144,494 | 0 | 144,494 |
Brazil Cetip DI Interbank Deposit Rate(4) | At Maturity | 10.48% | At Maturity | CME | Jan 2029 | BRL | 17,400,000 | 3,680 | 0 | 3,680 |
Brazil Cetip DI Interbank Deposit Rate(4) | At Maturity | 10.77% | At Maturity | CME | Jan 2029 | BRL | 16,700,000 | (34,117) | 0 | (34,117) |
| 11.31% | At Maturity | Brazil Cetip DI Interbank Deposit Rate(4) | At Maturity | CME | Jan 2029 | BRL | 16,300,000 | 76,505 | 0 | 76,505 |
Brazil Cetip DI Interbank Deposit Rate(4) | At Maturity | 10.55% | At Maturity | CME | Jan 2029 | BRL | 13,300,000 | (9,010) | 0 | (9,010) |
| 11.66% | At Maturity | Brazil Cetip DI Interbank Deposit Rate(4) | At Maturity | CME | Jan 2029 | BRL | 12,100,000 | 86,460 | 0 | 86,460 |
| 11.11% | At Maturity | Brazil Cetip DI Interbank Deposit Rate(4) | At Maturity | CME | Jan 2029 | BRL | 11,800,000 | 41,513 | 0 | 41,513 |
Brazil Cetip DI Interbank Deposit Rate(4) | At Maturity | 10.25% | At Maturity | CME | Jan 2029 | BRL | 7,900,000 | 8,346 | 0 | 8,346 |
Brazil Cetip DI Interbank Deposit Rate(4) | At Maturity | 10.29% | At Maturity | CME | Jan 2029 | BRL | 7,800,000 | (5,032) | 0 | (5,032) |
| 12.75% | At Maturity | Brazil Cetip DI Interbank Deposit Rate(4) | At Maturity | CME | Jan 2029 | BRL | 7,700,000 | 102,394 | 0 | 102,394 |
| 12.56% | At Maturity | Brazil Cetip DI Interbank Deposit Rate(4) | At Maturity | CME | Jan 2029 | BRL | 7,700,000 | 92,093 | 0 | 92,093 |
| 10.53% | At Maturity | Brazil Cetip DI Interbank Deposit Rate(4) | At Maturity | CME | Jan 2029 | BRL | 6,800,000 | 8,074 | 0 | 8,074 |
| 11.94% | At Maturity | Brazil Cetip DI Interbank Deposit Rate(4) | At Maturity | CME | Jan 2029 | BRL | 5,300,000 | 44,459 | 0 | 44,459 |
Canadian Overnight Repo Rate Average(4) | Semi-Annual | 3.25% | Semi-Annual | LCH | Mar 2029 | CAD | 200,000 | (4,237) | 0 | (4,237) |
| 3.25% | At Maturity | U.S. Secured Overnight Fin. Rate (SOFR) Index(4) | At Maturity | LCH | Mar 2029 | | 600,000 | 8 | 0 | 8 |
Prague Interbank Offered Rate 6-month(4) | Semi-Annual | 3.34% | Annual | CME | Jan 2032 | CZK | 35,700,000 | (126,818) | 0 | (126,818) |
| 8.25% | Monthly | Mexico 28 Day Cetes Auction Average Yield Rate(4) | Monthly | CME | Dec 2032 | MXN | 23,000,000 | (47,130) | 0 | (47,130) |
Mexico Interbank TIIE 28 Day Rate(4) | Monthly | 8.76% | Monthly | CME | Feb 2033 | MXN | 32,200,000 | (21,274) | 0 | (21,274) |
Mexico Interbank TIIE 28 Day Rate(4) | Monthly | 8.8% | Monthly | CME | Feb 2033 | MXN | 31,700,000 | 3,065 | 0 | 3,065 |
| 4.22% | Annual | Prague Interbank Offered Rate 6-month(4) | Semi-Annual | CME | Mar 2033 | CZK | 49,700,000 | 82,365 | 0 | 82,365 |
| 8.37% | Monthly | Mexico Interbank TIIE 28 Day Rate(4) | Monthly | CME | Mar 2033 | MXN | 37,900,000 | (67,482) | 0 | (67,482) |
| 8.28% | Monthly | Mexico Interbank TIIE 28 Day Rate(4) | Monthly | CME | Mar 2033 | MXN | 16,300,000 | (33,241) | 0 | (33,241) |
US CPI Urban Consumer NSA Index(4) | At Maturity | 2.5% | At Maturity | LCH | Mar 2033 | | 5,000,000 | (8,711) | 0 | (8,711) |
Prague Interbank Offered Rate 6-month(4) | Semi-Annual | 4.42% | Annual | CME | Jun 2033 | CZK | 83,500,000 | (187,992) | 0 | (187,992) |
| 4.46% | Annual | Prague Interbank Offered Rate 6-month(4) | Annual | CME | Jun 2033 | CZK | 34,700,000 | 24,395 | 0 | 24,395 |
| 8.06% | Monthly | Mexico Interbank TIIE 28 Day Rate(4) | Monthly | CME | Jun 2033 | MXN | 13,300,000 | (47,080) | 0 | (47,080) |
| 2.53% | At Maturity | US CPI Urban Consumer NSA Index(4) | At Maturity | LCH | Jun 2033 | | 900,000 | (3,190) | 0 | (3,190) |
Mexico Interbank TIIE 28 Day Rate(4) | Monthly | 8.5% | Monthly | CME | Jul 2033 | MXN | 67,200,000 | 66,066 | 0 | 66,066 |
Mexico Interbank TIIE 28 Day Rate(4) | Monthly | 8.65% | Monthly | CME | Jul 2033 | MXN | 34,800,000 | 24,990 | 0 | 24,990 |
| 2.6% | At Maturity | US CPI Urban Consumer NSA Index(4) | At Maturity | LCH | Jul 2033 | | 2,900,000 | (13,729) | 0 | (13,729) |
Mexico Interbank TIIE 28 Day Rate(4) | Monthly | 8.99% | Monthly | CME | Aug 2033 | MXN | 29,300,000 | (1,002) | 0 | (1,002) |
| 9.77% | Semi-Annual | Mexico Interbank TIIE 28 Day Rate(4) | Semi-Annual | CME | Sep 2033 | MXN | 36,700,000 | 105,049 | 0 | 105,049 |
Prague Interbank Offered Rate 6-month(4) | Semi-Annual | 4.64% | Semi-Annual | CME | Oct 2033 | CZK | 88,300,000 | (123,783) | 0 | (123,783) |
| 9.14% | Monthly | Mexico Interbank TIIE 28 Day Rate(4) | Monthly | CME | Oct 2033 | MXN | 23,800,000 | 24,675 | 0 | 24,675 |
| 4.28% | Annual | Prague Interbank Offered Rate 6-month(4) | Semi-Annual | CME | Nov 2033 | CZK | 78,000,000 | 27,019 | 0 | 27,019 |
| 4.02% | Annual | Prague Interbank Offered Rate 6-month(4) | Semi-Annual | CME | Nov 2033 | CZK | 58,800,000 | (7,288) | 0 | (7,288) |
| 1% | Annual | Bank of Japan Final Result: Unsecured Overnight Call Rate TONAR(4) | Annual | LCH | Mar 2034 | JPY | 1,804,900,000 | 87,017 | 0 | 87,017 |
Canadian Overnight Repo Rate Average(4) | Semi-Annual | 3.25% | Semi-Annual | LCH | Mar 2034 | CAD | 22,000,000 | (559,520) | 0 | (559,520) |
| 3.25% | At Maturity | U.S. Secured Overnight Fin. Rate (SOFR) Index(4) | At Maturity | LCH | Mar 2034 | | 13,700,000 | 123,653 | 0 | 123,653 |
| 4.5% | Annual | SONIA Interest Rate Benchmark(4) | Annual | LCH | Mar 2034 | GBP | 12,100,000 | 125,526 | 0 | 125,526 |
| 3% | Annual | 6 month EURIBOR(4) | Semi-Annual | LCH | Mar 2034 | EUR | 10,000,000 | 207,278 | 0 | 207,278 |
ASX Australian Bank Bill Short Term Rates 6 Month(4) | Semi-Annual | 4.5% | Semi-Annual | LCH | Mar 2034 | AUD | 1,500,000 | 39,883 | 0 | 39,883 |
Bank of Japan Final Result: Unsecured Overnight Call Rate TONAR(4) | Annual | 1.5% | Annual | LCH | Mar 2054 | JPY | 511,400,000 | (1,021) | 0 | (1,021) |
| 3.25% | Semi-Annual | Canadian Overnight Repo Rate Average(4) | Semi-Annual | LCH | Mar 2054 | CAD | 9,600,000 | 431,240 | 0 | 431,240 |
U.S. Secured Overnight Fin. Rate (SOFR) Index(4) | Annual | 3% | Annual | LCH | Mar 2054 | | 5,000,000 | (63,609) | 0 | (63,609) |
SONIA Interest Rate Benchmark(4) | Annual | 4.25% | Annual | LCH | Mar 2054 | GBP | 3,700,000 | (44,050) | 0 | (44,050) |
6 month EURIBOR(4) | Semi-Annual | 2.75% | Annual | LCH | Mar 2054 | EUR | 3,300,000 | (73,030) | 0 | (73,030) |
| TOTAL INTEREST RATE SWAPS | | | | | | | | (2,540,061) | 93,981 | (2,446,080) |
(1)Swaps with CME Group (CME) and LCH Clearnet Group (LCH) are centrally cleared swaps.
(2)Notional amount is stated in U.S. Dollars unless otherwise noted.
(3)Any premiums for centrally cleared swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation).
(4)Represents floating rate.
| Total Return Swaps |
| Underlying Reference | Pay/ Receive Reference | Reference Payment Frequency | Financing Rate | Financing Frequency | Counterparty | Maturity Date | Units | Notional Amount | Value ($) | Upfront Premium Received/ (Paid) ($) | Unrealized Appreciation/ (Depreciation) ($) |
| Pays | | | | | | | | | | | | |
| SET50 Index Futures | Pays | At Maturity | None | At Maturity | Goldman Sachs Intl. | Dec 2023 | 62,000 | THB | 52,786,851 | 125,506 | 0 | 125,506 |
| SET50 Index Futures | Pays | At Maturity | None | At Maturity | Goldman Sachs Intl. | Dec 2023 | 50,800 | THB | 43,256,200 | 86,606 | 0 | 86,606 |
| SET50 Index Futures | Pays | At Maturity | None | At Maturity | Goldman Sachs Intl. | Dec 2023 | 16,800 | THB | 14,303,485 | 39,757 | 0 | 39,757 |
| SET50 Index Futures | Pays | At Maturity | None | At Maturity | Goldman Sachs Intl. | Dec 2023 | 14,800 | THB | 12,602,200 | 15,064 | 0 | 15,064 |
| Receives | | | | | | | | | | | | |
| KOSPI 200 Futures | Receives | At Maturity | None | At Maturity | Goldman Sachs Intl. | Dec 2023 | 1,000,000 | KRW | 333,100,003 | 4,654 | 0 | 4,654 |
| iBovespa Index Futures | Receives | At Maturity | None | At Maturity | Goldman Sachs Intl. | Dec 2023 | 58 | BRL | 7,290,020 | 25,747 | 0 | 25,747 |
| iBovespa Index Futures | Receives | At Maturity | None | At Maturity | Goldman Sachs Intl. | Dec 2023 | 30 | BRL | 3,807,150 | 5,912 | 0 | 5,912 |
| iBovespa Index Futures | Receives | At Maturity | None | At Maturity | Goldman Sachs Intl. | Dec 2023 | 12 | BRL | 1,519,224 | 3,104 | 0 | 3,104 |
| TOTAL RETURN SWAPS | | | | | | | | | | 306,350 | 0 | 306,350 |
For the period, the average monthly notional amount at value for swaps in the aggregate was $817,083,435.
Currency Abbreviations
| AUD | - | Australian dollar |
| BRL | - | Brazilian real |
| CAD | - | Canadian dollar |
| CHF | - | Swiss franc |
| CLP | - | Chilean peso |
| CNY | - | Chinese yuan |
| COP | - | Colombian peso |
| CZK | - | Czech koruna |
| EUR | - | European Monetary Unit |
| GBP | - | British pound sterling |
| HKD | - | Hong Kong dollar |
| HUF | - | Hungarian forint |
| IDR | - | Indonesian rupiah |
| ILS | - | Israeli shekel |
| INR | - | Indian rupee |
| JPY | - | Japanese yen |
| KRW | - | Korean won |
| MXN | - | Mexican peso |
| MYR | - | Malaysian ringgit |
| NOK | - | Norwegian krone |
| NZD | - | New Zealand dollar |
| PEN | - | Peruvian new sol |
| PHP | - | Philippine peso |
| PLN | - | Polish zloty |
| RON | - | Romanian leu (new) |
| SEK | - | Swedish krona |
| SGD | - | Singapore dollar |
| THB | - | Thai baht |
| TRY | - | Turkish Lira |
| TWD | - | Taiwanese dollar |
| USD | - | U.S. dollar |
| ZAR | - | South African rand |
Legend
| (a) | Amount is stated in United States dollars unless otherwise noted. |
| (b) | Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. |
| (c) | Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors. |
| (d) | Security 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 $15,421,038 or 0.7% of net assets. |
| (e) | Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $2,373,551. |
| (f) | Security or a portion of the security has been segregated as collateral for open forward foreign currency contracts and bi-lateral over the counter (OTC) swaps. At period end, the value of securities pledged amounted to $2,061,105. |
| (g) | Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
| (i) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
| (j) | The rate quoted is the annualized seven-day yield of the fund at period end. |
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
| Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
| Fidelity Cash Central Fund 5.40% | 9,580,407 | 3,774,003 | 5,162,839 | 201,804 | - | - | 8,191,571 | 0.0% |
| Total | 9,580,407 | 3,774,003 | 5,162,839 | 201,804 | - | - | 8,191,571 | |
| | | | | | | | | |
Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Consolidated Statement of Operations, if applicable.
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
Affiliated Underlying Funds
Fiscal year to date information regarding the Fund's investments in affiliated Underlying Funds is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur. If an Underlying Funds changes its name, the name presented below is the name in effect at period end.
| Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) |
| Fidelity Investments Money Market Government Portfolio Institutional Class 5.28% | 74,587,408 | 378,305,823 | 366,384,646 | 1,873,687 | - | - | 86,508,585 |
| Fidelity SAI Convertible Arbitrage Fund | - | 150,000,000 | - | - | - | 473,294 | 150,473,294 |
| | 74,587,408 | 528,305,823 | 366,384,646 | 1,873,687 | - | 473,294 | 236,981,879 |
Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Consolidated Statement of Operations, if applicable.
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
Consolidated Subsidiary
| Fund | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain /loss ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) |
| Strategic Advisers Alternatives Fund Cayman Ltd. | 17,452,035 | 7,000,000 | - | - | - | (8,618,198) | 15,833,837 |
Investment Valuation
The following is a summary of the inputs used, as of November 30, 2023, 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 Consolidated Financial Statements.
| Valuation Inputs at Reporting Date: |
| Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | | | | |
|
| Corporate Bonds | 50,291,575 | - | 50,291,575 | - |
|
| U.S. Government and Government Agency Obligations | 16,481,719 | - | 16,481,719 | - |
|
| U.S. Government Agency - Mortgage Securities | 4,229,338 | - | 4,229,338 | - |
|
| Asset-Backed Securities | 12,324,568 | - | 12,324,568 | - |
|
| Foreign Government and Government Agency Obligations | 5,404,676 | - | 5,404,676 | - |
|
| Bankers' Acceptances | 4,602,213 | - | 4,602,213 | - |
|
| Commercial Paper | 1,598,489 | - | 1,598,489 | - |
|
| Other | 1,922,829,803 | 1,922,829,803 | - | - |
|
| Money Market Funds | 96,387,513 | 96,387,513 | - | - |
|
| Repurchase Agreements | 51,500,000 | - | 51,500,000 | - |
|
| Purchased Options | 1,372,950 | 1,372,950 | - | - |
| Total Investments in Securities: | 2,167,022,844 | 2,020,590,266 | 146,432,578 | - |
Derivative Instruments: Assets | | | | |
Futures Contracts | 2,935,475 | 2,935,475 | - | - |
Forward Foreign Currency Contracts | 5,500,363 | - | 5,500,363 | - |
Swaps | 7,621,935 | - | 7,621,935 | - |
| Total Assets | 16,057,773 | 2,935,475 | 13,122,298 | - |
| Liabilities | | | | |
Futures Contracts | (912,961) | (912,961) | - | - |
Forward Foreign Currency Contracts | (6,871,498) | - | (6,871,498) | - |
Swaps | (9,517,718) | - | (9,517,718) | - |
| Total Liabilities | (17,302,177) | (912,961) | (16,389,216) | - |
| Total Derivative Instruments: | (1,244,404) | 2,022,514 | (3,266,918) | - |
Other Financial Instruments: | | | | |
TBA Sale Commitments | (695,379) | - | (695,379) | - |
| Total Other Financial Instruments: | (695,379) | - | (695,379) | - |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of November 30, 2023. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Consolidated Financial Statements.
Primary Risk Exposure / Derivative Type | Value |
| Asset ($) | Liability ($) |
| Commodity Risk | | |
Futures Contracts (a) | 2,121,752 | (766,858) |
| Total Commodity Risk | 2,121,752 | (766,858) |
| Credit Risk | | |
Swaps (b) | 337,928 | 0 |
| Total Credit Risk | 337,928 | 0 |
| Equity Risk | | |
Futures Contracts (a) | 661,225 | (46,028) |
Purchased Options (c) | 1,372,950 | 0 |
Swaps (d) | 306,350 | 0 |
| Total Equity Risk | 2,340,525 | (46,028) |
| Foreign Exchange Risk | | |
Forward Foreign Currency Contracts (e) | 5,500,363 | (6,871,498) |
| Total Foreign Exchange Risk | 5,500,363 | (6,871,498) |
| Interest Rate Risk | | |
Futures Contracts (a) | 152,498 | (100,075) |
Swaps (b)(d) | 6,977,657 | (9,517,718) |
| Total Interest Rate Risk | 7,130,155 | (9,617,793) |
| Total Value of Derivatives | 17,430,723 | (17,302,177) |
(a)Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Consolidated Schedule of Investments. In the Consolidated Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).
(b)For centrally cleared swaps, reflects gross cumulative appreciation (depreciation) as presented in the Consoidated Schedule of Investments. In the Consolidated Statement of Assets and Liabilities, the period end daily variation margin for centrally cleared swaps is included in receivable or payable for daily variation margin on centrally cleared swaps, and the net cumulative appreciation (depreciation) for centrally cleared swaps is included in Total accumulated earnings (loss).
(c)Gross value is presented in the Consolidated Statement of Assets and Liabilities in the Investments in Securities at value line-item.
(d)For bi-lateral over-the-counter (OTC) swaps, reflects gross value which is presented in the Consolidated Statement of Assets and Liabilities in the bi-lateral OTC swaps, at value line-items.
(e)Gross value is presented in the Consolidated Statement of Assets and Liabilities in the unrealized appreciation/depreciation on forward foreign currency contracts line-items.
| Consolidated Statement of Assets and Liabilities |
| | | | November 30, 2023 (Unaudited) |
| | | | | |
| Assets | | | | |
| Investment in securities, at value (including repurchase agreements of $51,500,000) - See accompanying schedule: | | | | |
Unaffiliated issuers (cost $1,924,318,975) | $ | 1,921,849,394 | | |
Fidelity Central Funds (cost $8,191,571) | | 8,191,571 | | |
Other affiliated issuers (cost $236,508,585) | | 236,981,879 | | |
| | | | | |
| | | | | |
| Total Investment in Securities (cost $2,169,019,131) | | | $ | 2,167,022,844 |
| Segregated cash with brokers for derivative instruments | | | | 11,872,000 |
| Cash | | | | 665,333 |
| Restricted cash | | | | 336,851 |
| Foreign currency held at value (cost $1,578,902) | | | | 1,575,828 |
| Receivable for investments sold | | | | |
Regular delivery | | | | 9,468,436 |
Delayed delivery | | | | 6,614,914 |
| Receivable for TBA sale commitments | | | | 683,293 |
| Unrealized appreciation on forward foreign currency contracts | | | | 5,500,363 |
| Receivable for fund shares sold | | | | 1,013,217 |
| Interest receivable | | | | 720,209 |
| Distributions receivable from Fidelity Central Funds | | | | 38,170 |
| Receivable for daily variation margin on futures contracts | | | | 102,387 |
| Receivable for daily variation margin on centrally cleared swaps | | | | 311,046 |
| Bi-lateral OTC swaps, at value | | | | 306,350 |
| Prepaid expenses | | | | 2,018 |
| Other receivables | | | | 5,008 |
Total assets | | | | 2,206,238,267 |
| Liabilities | | | | |
| Segregated cash from brokers for derivative instruments | $ | 999,851 | | |
| Payable for investments purchased | | | | |
Regular delivery | | 28,093,649 | | |
Delayed delivery | | 16,401,215 | | |
| TBA sale commitments, at value | | 695,379 | | |
| Unrealized depreciation on forward foreign currency contracts | | 6,871,498 | | |
| Payable for fund shares redeemed | | 4,727,187 | | |
| Bi-lateral OTC swaps, at value | | 238,994 | | |
| Accrued management fee | | 148,691 | | |
| Other payables and accrued expenses | | 401,920 | | |
| Total Liabilities | | | | 58,578,384 |
| Net Assets | | | $ | 2,147,659,883 |
| Net Assets consist of: | | | | |
| Paid in capital | | | $ | 2,213,129,957 |
| Total accumulated earnings (loss) | | | | (65,470,074) |
| Net Assets | | | $ | 2,147,659,883 |
Net Asset Value, offering price and redemption price per share ($2,147,659,883 ÷ 221,385,256 shares) | | | $ | 9.70 |
| Consolidated Statement of Operations |
| | | | Six months ended November 30, 2023 (Unaudited) |
| Investment Income | | | | |
| Dividends: | | | | |
| Unaffiliated issuers | | | $ | 9,013,973 |
| Affiliated issuers | | | | 1,873,687 |
| Interest | | | | 3,871,683 |
| Income from Fidelity Central Funds | | | | 201,804 |
| Total Income | | | | 14,961,147 |
| Expenses | | | | |
| Management fee | $ | 3,915,650 | | |
| Custodian fees and expenses | | 33,205 | | |
| Independent trustees' fees and expenses | | 6,956 | | |
| Registration fees | | 82,926 | | |
| Audit | | 52,553 | | |
| Subsidiary directors' fees | | 7,500 | | |
| Legal | | 4,055 | | |
| Interest | | 5,407 | | |
| Miscellaneous | | 5,213 | | |
| Total expenses before reductions | | 4,113,465 | | |
| Expense reductions | | (2,837,022) | | |
| Total expenses after reductions | | | | 1,276,443 |
| Net Investment income (loss) | | | | 13,684,704 |
| Realized and Unrealized Gain (Loss) | | | | |
| Net realized gain (loss) on: | | | | |
| Investment Securities: | | | | |
| Unaffiliated issuers | | (40,522,677) | | |
| Forward foreign currency contracts | | 2,494,287 | | |
| Foreign currency transactions | | (249,270) | | |
| Futures contracts | | (8,302,940) | | |
| Swaps | | (1,626,110) | | |
| Total net realized gain (loss) | | | | (48,206,710) |
| Change in net unrealized appreciation (depreciation) on: | | | | |
| Investment Securities: | | | | |
| Investments | | 78,211,012 | | |
| Affiliated issuers | | 473,294 | | |
| Forward foreign currency contracts | | (1,228,878) | | |
| Assets and liabilities in foreign currencies | | 4,657 | | |
| Futures contracts | | (1,116,923) | | |
| Swaps | | (883,880) | | |
| TBA Sale commitments | | 38,267 | | |
| Total change in net unrealized appreciation (depreciation) | | | | 75,497,549 |
| Net gain (loss) | | | | 27,290,839 |
| Net increase (decrease) in net assets resulting from operations | | | $ | 40,975,543 |
| Consolidated Statement of Changes in Net Assets |
| |
| | Six months ended November 30, 2023 (Unaudited) | | For the period July 12, 2022 (commencement of operations) through May 31, 2023 |
| Increase (Decrease) in Net Assets | | | | |
| Operations | | | | |
| Net investment income (loss) | $ | 13,684,704 | $ | 74,435,457 |
| Net realized gain (loss) | | (48,206,710) | | 4,511,794 |
| Change in net unrealized appreciation (depreciation) | | 75,497,549 | | (78,658,490) |
| Net increase (decrease) in net assets resulting from operations | | 40,975,543 | | 288,761 |
| Distributions to shareholders | | (9,494,059) | | (97,109,900) |
| | | | | |
| Share transactions | | | | |
| Proceeds from sales of shares | | 224,586,949 | | 2,734,675,723 |
| Reinvestment of distributions | | 9,443,233 | | 96,564,757 |
| Cost of shares redeemed | | (496,303,899) | | (355,967,225) |
| | | | | |
Net increase (decrease) in net assets resulting from share transactions | | (262,273,717) | | 2,475,273,255 |
| Total increase (decrease) in net assets | | (230,792,233) | | 2,378,452,116 |
| | | | | |
| Net Assets | | | | |
| Beginning of period | | 2,378,452,116 | | - |
| End of period | $ | 2,147,659,883 | $ | 2,378,452,116 |
| | | | | |
| Other Information | | | | |
| Shares | | | | |
| Sold | | 23,293,501 | | 274,985,960 |
| Issued in reinvestment of distributions | | 987,786 | | 10,058,843 |
| Redeemed | | (51,368,381) | | (36,572,453) |
| Net increase (decrease) | | (27,087,094) | | 248,472,350 |
| | | | | |
Consolidated Financial Highlights
| Strategic Advisers Alternatives Fund |
| |
| | Six months ended (Unaudited) November 30, 2023 | | Years ended May 31, 2023 A |
Selected Per-Share Data | | | | |
| Net asset value, beginning of period | $ | 9.57 | $ | 10.00 |
| Income from Investment Operations | | | | |
Net investment income (loss) B,C | | .06 | | .40 |
| Net realized and unrealized gain (loss) | | .11 | | (.41) |
| Total from investment operations | | .17 | | (.01) |
| Distributions from net investment income | | (.04) | | (.29) |
| Distributions from net realized gain | | - | | (.14) |
| Total distributions | | (.04) | | (.42) D |
| Net asset value, end of period | $ | 9.70 | $ | 9.57 |
Total Return E,F | | 1.77% | | (.11)% |
Ratios to Average Net Assets C,G,H | | | | |
| Expenses before reductions | | .36% I | | .33% I,J |
| Expenses net of fee waivers, if any | | .11% I | | .08% I,J |
| Expenses net of all reductions | | .11% I | | .08% I,J |
| Net investment income (loss) | | 1.21% I | | 4.62% I |
| Supplemental Data | | | | |
| Net assets, end of period (000 omitted) | $ | 2,147,660 | $ | 2,378,452 |
Portfolio turnover rate K | | 78% I | | 64% I |
AFor the period July 12, 2022 (commencement of operations) through May 31, 2023.
BCalculated based on average shares outstanding during the period.
CNet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
DTotal distributions per share do not sum due to rounding.
ETotal returns for periods of less than one year are not annualized.
FTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
GFees 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 Consolidated Financial Statements section of the most recent Annual or Semi-Annual report.
HExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
IAnnualized.
JAudit fees are not annualized.
KAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
For the period ended November 30, 2023
1. Organization.
Strategic Advisers Alternatives Fund (the Fund) is a non-diversified fund of Fidelity Rutland Square Trust II (the Trust), and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust. The Fund is offered exclusively to certain managed account clients of Strategic Advisers LLC (Strategic Advisers), an affiliate of Fidelity Management & Research Company LLC (FMR).
2. Consolidated Subsidiary.
The Funds included in the table below hold certain commodity-related investments through a wholly owned subsidiary (the "Subsidiary"). As of period end, the investments in the Subsidiaries, were as follows:
| | Subsidiary Name | Net Assets of Subsidiary | % of Fund's Net Assets |
| Strategic Advisers Alternatives Fund | Strategic Advisers Alternatives Fund Cayman Ltd. | 15,833,837 | .7 |
The financial statements have been consolidated to include the Subsidiary accounts where applicable. Accordingly, all inter-company transactions and balances have been eliminated.
3.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 consolidated 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 consolidated financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the consolidated financial statements were issued have been evaluated in the preparation of the consolidated financial statements. The Fund's Consolidated Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services 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 the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.
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 - unadjusted 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 services or from brokers who make markets in such securities. Corporate bonds, Bankers' acceptances, foreign government and government agency obligations, U.S. government and government agency obligations and commercial paper are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Asset backed securities and U.S. government agency mortgage securities are valued by pricing services 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 services, 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 services. Debt securities and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
The U.S. dollar value of forward 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. Exchange-traded options are valued using the last sale price or, in the absence of a sale, the last offering price and are categorized as Level 1 in the hierarchy. Investments in commodities are valued at their last traded price at 4:00 p.m. Eastern time each business day 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. Short-term securities with remaining maturities of sixty days or less may be valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of November 30, 2023 is included at the end of the Fund's Consolidated 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. Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of a fund include an amount in addition to trade execution, which may be rebated back to a fund. Any such rebates are included in net realized gain (loss) on investments in the Consolidated Statement of Operations. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. 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. Expenses included in the accompanying consolidated financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. 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 Subsidiary is classified as a controlled foreign corporation under Subchapter N of the Internal Revenue Code. Therefore, the Fund is required to increase its taxable income by its share of the Subsidiary's income. Net investment losses of the Subsidiary cannot be deducted by the Fund in the current period nor carried forward to offset taxable income in future periods.
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 consolidated 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, swap agreements, futures and options transactions, foreign currency transactions, market discount, capital loss carryforwards, controlled foreign corporations, 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 | $62,641,103 |
| Gross unrealized depreciation | (65,524,353) |
| Net unrealized appreciation (depreciation) | $(2,883,250) |
| Tax cost | $2,168,743,584 |
Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of prior fiscal period end and is subject to adjustment.
Short-term | $(26,298,529) |
| Total capital loss carryforward | $(26,298,529) |
Repurchase Agreements. Pursuant to an Exemptive Order issued by the Securities and Exchange Commission, funds and other registered investment companies having management contracts with Fidelity Management and Research Company LLC, or its affiliates are permitted to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. Funds may also invest directly with institutions in repurchase agreements. Repurchase agreements may be collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The collateral balance is monitored on a daily basis to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.
Reverse Repurchase Agreements. To enhance their yield, funds may enter into reverse repurchase transactions under master repurchase agreements whereby a fund delivers securities to a counterparty in return for cash and agrees to repurchase those securities at a future date and agreed upon price. During the period that reverse repurchase transactions are outstanding, a fund identifies the securities as pledged in its records with an initial value at least equal to its principal obligation under the agreement. The cash proceeds received by a fund may be invested in other securities. To the extent cash proceeds received from the counterparty exceed the value of the securities delivered, the counterparty may request additional collateral from a fund. If the counterparty defaults on its obligation, because of insolvency or other reasons, a fund could experience delays and costs in recovering the securities delivered. If a fund has any open reverse repurchase agreements at period end, information regarding securities delivered under a reverse repurchase agreement is included at the end of the Schedule of Investments, and the cash proceeds are recorded as a liability in the Statement of Assets and Liabilities. A fund continues to receive interest and dividend payments on the securities delivered during the term of the reverse repurchase agreement. During the period, the average principal balance of reverse repurchase transactions and the weighted average interest rate with payments included in the Statement of Operations as a component of interest expense is as follows:
| | Average Loan Balance | Weighted Average Interest Rate |
| Strategic Advisers Alternatives Fund | $1,209,5483 | 5.33 |
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 Consolidated 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 Consolidated Statement of Assets and Liabilities under the caption "Delayed delivery", as applicable. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
To-Be-Announced (TBA) Securities and Mortgage Dollar Rolls. TBA securities involve buying or selling mortgage-backed securities (MBS) on a forward commitment basis. A TBA transaction typically does not designate the actual security to be delivered and only includes an approximate principal amount; however delivered securities must meet specified terms defined by industry guidelines, including issuer, rate and current principal amount outstanding on underlying mortgage pools. Funds may enter into a TBA transaction with the intent to take possession of or deliver the underlying MBS, or a fund may elect to extend the settlement by entering into either a mortgage or reverse mortgage dollar roll. Mortgage dollar rolls are transactions where a fund sells TBA securities and simultaneously agrees to repurchase MBS on a later date at a lower price and with the same counterparty. Reverse mortgage dollar rolls involve the purchase and simultaneous agreement to sell TBA securities on a later date at a lower price. Transactions in mortgage dollar rolls and reverse mortgage dollar rolls are accounted for as purchases and sales and may result in an increase to a fund's portfolio turnover rate.
Purchases and sales of TBA securities involve risks similar to those discussed above for delayed delivery and when-issued securities. Also, if the counterparty in a mortgage dollar roll or a reverse mortgage dollar roll transaction files for bankruptcy or becomes insolvent, a fund's right to repurchase or sell securities may be limited. Additionally, when a fund sells TBA securities without already owning or having the right to obtain the deliverable securities (an uncovered forward commitment to sell), it incurs a risk of loss because it could have to purchase the securities at a price that is higher than the price at which it sold them. A fund may be unable to purchase the deliverable securities if the corresponding market is illiquid.
TBA securities subject to a forward commitment to sell at period end are included at the end of the Consolidated Schedule of Investments under the caption "TBA Sale Commitments." The proceeds and value of these commitments are reflected in the Consolidated Statement of Assets and Liabilities as "Receivable for TBA sale commitments" and "TBA sale commitments, at value," respectively.
Restricted Securities (including Private Placements). Funds may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities held at period end is included at the end of the Consolidated Schedule of Investments, if applicable.
4. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund's investment objectives allow for various types of derivative instruments, 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.
Derivatives were used 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 objectives may not be achieved.
Derivatives were used to increase or decrease exposure to the following risk(s):
| | |
| Commodity Risk | Commodity risk is the risk that the value of a commodity will fluctuate as a result of changes in market prices. |
| 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 a fund. |
| 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. |
| 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. |
Funds are also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that a 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 a 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, a 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 a 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, a fund receives collateral in the form of cash or securities once 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 custodian bank in accordance with the collateral agreements entered into between a fund, the counterparty and the custodian bank. A fund could experience delays and costs in gaining access to the collateral even though it is held by the custodian bank. The maximum risk of loss to a fund 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 a fund. A 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 Consolidated Schedule of Investments. Exchange-traded contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to these contracts may be mitigated by the protection provided by the exchange on which they trade. Counterparty credit risk related to centrally cleared 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 Consolidated 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, summarizes the net realized gain (loss) and change in net unrealized appreciation (depreciation) for derivatives during the period as presented in the Consolidated Statement of Operations.
| Primary Risk Exposure / Derivative Type | Net Realized Gain (Loss)($) | Change in Net Unrealized Appreciation (Depreciation)($) |
| Strategic Advisers Alternatives Fund | | |
| Commodity Risk | | |
| Futures Contracts | (7,246,072) | (1,712,597) |
| Total Commodity Risk | (7,246,072) | (1,712,597) |
| Credit Risk | | |
| Swaps | (573,113) | 240,545 |
| Total Credit Risk | (573,113) | 240,545 |
| Equity Risk | | |
| Futures Contracts | (1,736,955) | 399,692 |
| Purchased Options | (3,765,973) | 754,939 |
| Swaps | (1,006,741) | 281,714 |
| Total Equity Risk | (6,509,669) | 1,436,345 |
| Foreign Exchange Risk | | |
| Forward Foreign Currency Contracts | 2,494,287 | (1,228,878) |
| Total Foreign Exchange Risk | 2,494,287 | (1,228,878) |
| Interest Rate Risk | | |
| Futures Contracts | 680,087 | 195,982 |
| Swaps | (46,256) | (1,406,139) |
| Total Interest Rate Risk | 633,831 | (1,210,157) |
| Totals | (11,200,736) | (2,474,742) |
If there are any open positions at period end, a summary of the value of derivatives by primary risk exposure is included at the end of the Consolidated 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. Forward foreign currency contracts were used 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 total accumulated earnings (loss) in the Consolidated Statement of Assets and Liabilities. When the contract is closed, a gain or loss is realized 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 Consolidated Statement of Operations.
Any open forward foreign currency contracts at period end are presented in the Consolidated 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 unless an average contract value is presented.
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. Futures contracts were used to manage exposure to the stock market, commodities market, 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 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 Consolidated 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 Consolidated Statement of Operations.
Any open futures contracts at period end are presented in the Consolidated 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 unless an average notional amount is presented. Any securities deposited to meet initial margin requirements are identified in the Consolidated Schedule of Investments. Any cash deposited to meet initial margin requirements is presented as segregated cash with brokers for derivative instruments in the Consolidated 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. Exchange-traded options were used to manage exposure to the market.
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 Consolidated 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 in total accumulated earnings (loss) in the Consolidated 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, a gain or loss is realized 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 Consolidated 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 Consolidated Statement of Operations.
Any open options at period end are presented in the Consolidated 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 unless an average notional amount is presented.
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 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 Consolidated 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 total accumulated earnings (loss) in the Consolidated 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 Consolidated Schedule of Investments.
Centrally cleared 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. Any securities deposited to meet initial margin requirements are identified in the Consolidated Schedule of Investments. Any cash deposited to meet initial margin requirements is presented in segregated cash with brokers for derivative instruments in the Consolidated Statement of Assets and Liabilities. Centrally cleared 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 swaps in the Consolidated Statement of Assets and Liabilities. Any premiums for centrally cleared swaps are recorded periodically throughout the term of the swap to variation margin and included in total accumulated earnings (loss) in the Consolidated 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 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 Consolidated Statement of Operations.
Any open swaps at period end are included in the Consolidated Schedule of Investments under the caption "Swaps", and are representative of volume of activity during the period unless an average notional amount is presented.
Credit Default Swaps. Credit default swaps enable a 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. A 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 Consolidated 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, a 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 a 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, a 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 a 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 Consolidated Schedule of Investments, where a 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. A fund enters 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.
Total Return Swaps. Total return swaps are agreements between counterparties to exchange cash flows, one based on a market-linked return of an individual asset or a basket of assets (i.e., an index), and the other on a fixed or floating rate. To the extent the total return of the instrument or index underlying the transaction exceeds or falls short of the offsetting payment obligation, a fund will receive a payment from or make a payment to the counterparty. A fund enters into total return swaps to manage its market exposure.
5. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities, U.S. government securities and in-kind transactions, as applicable, are noted in the table below.
| | Purchases ($) | Sales ($) |
| Strategic Advisers Alternatives Fund | 715,599,029 | 929,121,535 |
6. Fees and Other Transactions with Affiliates.
Management Fee. Strategic Advisers (the investment adviser) provides the Fund with investment management related services. For these services, the Fund pays a monthly management fee to the investment adviser. The management fee is calculated by adding the annual management fee rate of .25% of the Fund's average net assets throughout the month to the aggregate of the fee rates, payable monthly by the investment adviser, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed 2.00% of the Fund's average net assets. For the reporting period, the total annualized management fee rate was .35% of the Fund's average net assets.
During the period, the investment adviser waived a portion of its management fee as described in the Expense Reductions note.
Sub-Advisers. Fidelity Diversifying Solutions LLC and Pacific Investment Management Company LLC each served as a sub-adviser for the Fund during the period. Sub-advisers provide discretionary investment advisory services for their allocated portion of the Fund's assets and are paid as described in the Management Fee note.
Interfund Trades. Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. During the period, there were no interfund trades.
Other. During the period, the investment adviser reimbursed the Fund for certain losses as follows:
| | Amount ($) |
| Strategic Advisers Alternatives Fund | 41,564 |
7. Investments in Fidelity Central Funds.
Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Consolidated Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.
| Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense RatioA |
| Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |
A Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.
8. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below. During the period, there were no borrowings on this line of credit.
| | Amount |
| Strategic Advisers Alternatives Fund | $1,173 |
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, 2026. During the period, this waiver reduced the Fund's management fee by $ 2,837,022.
10. Other.
A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.
Funds do not invest in underlying mutual funds for the purpose of exercising management or control; however, investments by funds within their principal investment strategies may represent a significant portion of the underlying mutual fund's net assets. At the end of the period, certain Funds were the owners of record of 10% or more of the total outstanding shares of the following underlying mutual funds as shown below.
| Fund | Strategic Advisers Alternatives Fund |
| Fidelity SAI Convertible Arbitrage Fund | 100% |
11. Risk and Uncertainties.
Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as pandemics, epidemics, outbreaks of infectious diseases, war, terrorism, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer. Significant concentrations in security types, issuers, industries, sectors, and geographic locations may magnify the factors that affect a fund's performance.
As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
| The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (June 1, 2023 to November 30, 2023). |
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| | | | | Annualized Expense Ratio- A | | Beginning Account Value June 1, 2023 | | Ending Account Value November 30, 2023 | | Expenses Paid During Period- C June 1, 2023 to November 30, 2023 |
| | | | | | | | | | |
| Strategic Advisers® Alternatives Fund | | | | .11% | | | | | | |
| Actual | | | | | | $ 1,000 | | $ 1,017.70 | | $ .55 |
Hypothetical-B | | | | | | $ 1,000 | | $ 1,024.45 | | $ .56 |
| |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B 5% return per year before expenses
C Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/ 366 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.
Board Approval of Investment Advisory Contracts and Management Fees
Strategic Advisers Alternatives Fund
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), considers the renewal of the fund's management contract with Strategic Advisers LLC (Strategic Advisers), the sub-advisory agreements with Fidelity Diversifying Solutions LLC and Pacific Investment Management Company LLC (each a Sub-Adviser and collectively, the Sub-Advisers) (collectively, the Sub-Advisory Agreements), and the sub-sub-advisory agreements with FMR Investment Management (UK) Limited, Fidelity Management & Research (Japan) Limited, and Fidelity Management & Research (Hong Kong) Limited (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 2023 meeting, the Board, including the Independent Trustees, unanimously determined to renew the fund's Advisory Contracts. In reaching its determination to renew the fund's Advisory Contracts, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness relative to peer funds of the fund's management fee and total expenses; (iii) the total costs of the services provided by and the profits, if any, realized by Strategic Advisers from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and are realized as the fund grows and whether any economies of scale are appropriately shared with fund shareholders. 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.
The Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts is in the best interests of the fund and its shareholders. In addition, the Board concluded that the renewal of each Sub-Advisory Agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees charged under the Advisory Contracts bear a reasonable relationship to the services rendered.
Nature, Extent, and Quality of Services Provided. The Board considered the staffing within the Investment Advisers, including the backgrounds of the fund's investment personnel and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Strategic Advisers' investment operations and investment groups. The Board considered the structure of each Investment Adviser's investment personnel compensation program and whether such structures provide appropriate incentives to act in the best interests of the fund.
The Trustees also discussed with representatives of Strategic Advisers, at meetings throughout the year, Strategic Advisers' role in, among other things, (i) setting, implementing and monitoring the investment strategies for the funds; (ii) identifying and recommending sub-advisers for the funds; (iii) overseeing compliance with federal securities laws by each sub-adviser with respect to the portion of fund assets allocated to the sub-adviser; (iv) monitoring and overseeing the performance and investment capabilities of each sub-adviser; and (v) recommending the replacement of a sub-adviser as appropriate. The Trustees considered that the Board had received from Strategic Advisers substantial information and periodic reports about Strategic Advisers' sub-adviser oversight and due diligence processes, as well as periodic reports regarding the performance of each sub-adviser.
The Board also considered the nature, extent and quality of services provided by each Sub-Adviser. The Trustees noted that under the Sub-Advisory Agreements subject to oversight by Strategic Advisers, each Sub-Adviser is responsible for, among other things, identifying investments for the portion of fund assets allocated to the Sub-Adviser, if any, and executing portfolio transactions to implement its investment strategy. In addition, the Trustees noted that each Sub-Adviser is responsible for providing such reporting as may be requested from Strategic Advisers to fulfill its oversight responsibilities discussed above.
Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of the Investment Advisers' investment staffs, their use of technology, and the Investment Advisers' approach to managing and compensating investment personnel. The Board noted that the Investment Advisers' analysts have extensive resources, tools, and capabilities that allow them to conduct sophisticated quantitative and/or fundamental analysis. Additionally, in its deliberations, the Board considered the Investment Advisers' trading capabilities and resources and global compliance infrastructure, which are integral parts of the investment management process.
Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of administrative and shareholder services performed by Strategic Advisers and its affiliates under the management contract and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of Strategic Advisers' supervision of third party service providers, including sub-advisers, custodians and subcustodians; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.
Investment Performance. In connection with the renewal of the Advisory Contracts, the Board considered annualized return information for the fund over 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. The Board also considered information about performance attribution. In its discussions with representatives of Strategic Advisers regarding fund performance, the Board gave particular attention to information indicating underperformance of certain funds over different time periods and discussed with Strategic Advisers the reasons for any such underperformance.
In addition to reviewing absolute and relative fund performance, the Independent Trustees periodically consider the appropriateness of fund performance metrics in evaluating the results achieved. The Independent Trustees generally give greater weight to fund performance over longer time periods than over shorter time periods. Depending on the circumstances, the Independent Trustees may be satisfied with the fund's performance notwithstanding that it lags its benchmark index peer group for certain periods.
Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.
Competitiveness of Management Fee and Total Fund Expenses. The Board considered the amount and nature of fees paid to the Investment Advisers. The Board also considered information comparing the management fees and total expenses of the fund to those of other registered investment companies with investment objectives similar to those of the fund, as discussed below. The Board also noted Strategic Advisers' proposal to extend the management fee waiver and considered the fund's contractual maximum aggregate annual management fee rate. In considering the fund's management fee and management fee waiver and comparisons to other registered investment companies with investment objectives similar to those of the fund, the Board noted that shares of the fund are offered only to clients that participate in the Fidelity Portfolio Advisory Service managed account program. In its review of the fund's total expenses, the Board considered the fund's management fee rate as well as other fund expenses, as applicable, such as expenses from holding Fidelity and non-Fidelity mutual funds and ETFs, pricing and bookkeeping fees, and custodial, legal, and audit fees.
Comparisons of Management Fees and Total Expense Ratios. Among other things, the Board reviewed data for selected groups of competitive funds and classes (referred to as "mapped groups") that were compiled by Fidelity based on combining similar investment objective categories (as classified by Lipper) that have comparable investment mandates. The data reviewed by the Board included (i) gross management fee comparisons (before taking into account expense reimbursements or caps) relative to the total universe of funds within the mapped group; (ii) gross management fee comparisons relative to a subset of non-Strategic Advisers funds in the mapped group that are similar in size and management fee structure to the fund (referred to as the "asset size peer group"); and (iii) total expense comparisons of the fund relative to funds and classes in the mapped group that have a similar sales load structure to the fund (referred to as the "similar sales load structure group").
The information provided to the Board indicated that the fund's management fee rate ranked above the competitive median of the mapped group for the 12-month period ended December 31, 2022 and above the competitive median of the asset size peer group for the 12-month period ended December 31, 2022. The Board noted that the fund's effective management fee rate includes Strategic Advisers' management fee plus sub-advisory fees as a percentage of sub-advised assets only, which is higher because of the construct of the fee schedule for one of the fund's mandates, which is not charged on sub-portfolio assets. The effective management fee would be below median if the calculation was based on the assets on which all fees were charged.
Further, the information provided to the Board indicated that the total expense ratio of the fund ranked above the competitive median of the similar sales load structure group for the 12-month period ended December 31, 2022. The Board noted that the fund ranked above the competitive median primarily due to holdings in unaffiliated mutual funds that charge a 12b-1 fee and that when 12b-1 fees were excluded, the fund was below median.
Fees Charged to Other Clients. The Board also considered fee structures paid by the Investment Advisers' other clients, such as other funds advised or subadvised by the Investment Advisers, pension plan clients, and other institutional clients with similar investment mandates.
Based on its review, the Board concluded that the fund's management fee bears a reasonable relationship to the services rendered. Further, based on its review of the total expense ratios and fees charged to other clients of Strategic Advisers or its affiliates and each Sub-Adviser, the Board concluded that the total expenses of the fund were reasonable in light of the services that the fund and its shareholders receive and the other factors considered.
Costs of the Services and Profitability. The Board considered information regarding the revenues earned and the expenses incurred by Strategic Advisers and its affiliates in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and servicing the fund's shareholders.
On an annual basis, Strategic Advisers presents to the Board information about the profitability of its relationships with the fund. Strategic Advisers calculates profitability information for the fund using a series of detailed revenue and cost allocation methodologies. The Board reviews any significant changes from the prior year's methodologies. Strategic Advisers noted that, to the extent possible, it employs the same corporate reporting of revenues and expenses as those used by other Fidelity funds.
A public accounting firm has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. The engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's fund business, and completion of agreed-upon procedures in respect of the mathematical accuracy of certain fund profitability information and its conformity to established allocation methodologies. After considering the reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.
The Board also reviewed Fidelity's non-fund businesses and potential indirect benefits such businesses may have received as a result of their association with Fidelity's fund business (i.e., fall-out benefits) as well as cases where Fidelity's affiliates may benefit from the fund's business. The Board noted that changes to fall-out benefits year-over-year reflect business developments at Fidelity's various businesses.
The Board considered the costs of the services provided by and the profits realized, if any, by Strategic Advisers and its affiliates in connection with the operation of the fund and was satisfied that the profitability was not excessive.
The Board also considered information regarding the profitability of the Sub-Advisers' respective relationships with the fund and the potential fall-out benefits, if any, that may accrue to the Sub-Advisers as a result of their respective relationships with the fund. The Board noted the difficulty in evaluating a Sub-Adviser's costs and the profitability of a Sub-Advisory Agreement to a Sub-Adviser because of, among other things, differences in the type and content of information provided by each Sub-Adviser due to differences in business models, cost accounting methods, and profitability calculation methodologies among the Sub-Advisers. Accordingly, the Board considered profitability information provided by the Sub-Advisers in light of the nature of the relationships between Strategic Advisers and the Sub-Advisers with respect to the negotiation of sub-advisory fees.
Possible Economies of Scale. The Board considered whether there have been economies of scale in respect of the management of the Strategic Advisers funds, whether the Strategic Advisers funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale as assets grow through increased services to the fund, through waivers or reimbursements, or through fee or expense ratio reductions. The Board considered that the fund's Sub-Advisory Agreements provide for breakpoints as the fund's assets grow and noted that any potential decline in sub-advisory fees under such contracts would accrue directly to the fund. The Board also took Strategic Advisers' management fee waiver into consideration.
Conclusion. Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee arrangements bear a reasonable relationship to the services rendered and that the fund's Advisory Contracts should be renewed because each agreement is in the best interests of the fund and its shareholders. In addition, the Board concluded that the renewal of each Sub-Advisory Agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.
1.9905801.101
SAA-SANN-0124
Strategic Advisers® Short Duration Fund
Offered exclusively to certain managed account clients of Strategic Advisers LLC or its affiliates - not available for sale to the general public
Semi-Annual Report
November 30, 2023
Contents
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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. © 2024 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.
The information in the following tables is based on the direct Investments of the Fund.
Top Holdings (% of Fund's net assets) |
| (excluding cash equivalents) |
| PIMCO Short-Term Fund Institutional Class | 10.7 | |
| JPMorgan Ultra-Short Income ETF | 9.3 | |
| Baird Ultra Short Bond Fund Institutional Class | 8.9 | |
| T. Rowe Price Ultra Short-Term Bond Fund | 6.3 | |
| iShares Lehman 1-3 Year Treasury Bond ETF | 5.8 | |
| U.S. Treasury Obligations | 5.6 | |
| iShares Ultra Short-Term Bond ETF | 5.4 | |
| Fidelity SAI Short-Term Bond Fund | 3.5 | |
| Baird Short-Term Bond Fund - Institutional Class | 3.3 | |
| U.S. Treasury Bills | 2.3 | |
Asset Allocation (% of Fund's net assets) |
|
|
Asset Allocation of funds in the pie chart reflect the categorizations of the asset as defined by Morningstar as of the reporting date.
Showing Percentage of Net Assets
| Nonconvertible Bonds - 20.8% |
| | | Principal Amount (a) | Value ($) |
| COMMUNICATION SERVICES - 0.6% | | | |
| Diversified Telecommunication Services - 0.2% | | | |
| AT&T, Inc. 4.1% 2/15/28 | | 340,000 | 326,118 |
| KT Corp. 4% 8/8/25 (b) | | 1,525,000 | 1,489,349 |
| NBN Co. Ltd. 1.45% 5/5/26 (b) | | 1,765,000 | 1,610,781 |
| NTT Finance Corp.: | | | |
| 0.583% 3/1/24 (b) | | 2,184,000 | 2,155,464 |
| 4.239% 7/25/25 (b) | | 235,000 | 230,901 |
| SBA Tower Trust 3.869% 10/8/49 (b) | | 790,000 | 773,962 |
| Verizon Communications, Inc.: | | | |
| 1.45% 3/20/26 | | 1,155,000 | 1,061,413 |
| 2.625% 8/15/26 | | 1,615,000 | 1,516,555 |
| | | | 9,164,543 |
| Entertainment - 0.0% | | | |
| Take-Two Interactive Software, Inc.: | | | |
| 3.3% 3/28/24 | | 37,000 | 36,705 |
| 3.55% 4/14/25 | | 340,000 | 330,963 |
| 5% 3/28/26 | | 950,000 | 943,682 |
| | | | 1,311,350 |
| Interactive Media & Services - 0.0% | | | |
| Meta Platforms, Inc. 4.6% 5/15/28 | | 645,000 | 641,134 |
| Media - 0.3% | | | |
| Charter Communications Operating LLC/Charter Communications Operating Capital Corp.: | | | |
| 4.908% 7/23/25 | | 4,035,000 | 3,968,788 |
| 6.15% 11/10/26 | | 435,000 | 440,477 |
| COX Communications, Inc.: | | | |
| 3.15% 8/15/24 (b) | | 2,021,000 | 1,980,303 |
| 3.5% 8/15/27 (b) | | 350,000 | 327,867 |
| 3.85% 2/1/25 (b) | | 240,000 | 234,494 |
| Magallanes, Inc.: | | | |
| 3.755% 3/15/27 | | 3,060,000 | 2,887,331 |
| 6.412% 3/15/26 | | 450,000 | 450,408 |
| | | | 10,289,668 |
| Wireless Telecommunication Services - 0.1% | | | |
| Rogers Communications, Inc.: | | | |
| 2.95% 3/15/25 | | 1,305,000 | 1,258,211 |
| 3.2% 3/15/27 | | 1,365,000 | 1,272,382 |
| T-Mobile U.S.A., Inc.: | | | |
| 2.625% 4/15/26 | | 255,000 | 239,599 |
| 3.5% 4/15/25 | | 1,150,000 | 1,118,482 |
| | | | 3,888,674 |
TOTAL COMMUNICATION SERVICES | | | 25,295,369 |
| CONSUMER DISCRETIONARY - 1.9% | | | |
| Automobile Components - 0.0% | | | |
| Aptiv PLC / Aptiv Corp. 2.396% 2/18/25 | | 815,000 | 783,712 |
| Automobiles - 1.3% | | | |
| BMW U.S. Capital LLC: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.530% 5.8681% 4/1/24 (b)(c)(d) | | 5,925,000 | 5,928,143 |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.840% 6.1781% 4/1/25 (b)(c)(d) | | 7,500,000 | 7,538,865 |
| Daimler Finance North America LLC: | | | |
| 0.75% 3/1/24 (b) | | 2,000,000 | 1,976,235 |
| 4.8% 3/30/26 (b) | | 670,000 | 663,758 |
| 4.95% 3/30/25 (b) | | 5,000,000 | 4,975,220 |
| General Motors Financial Co., Inc.: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.620% 5.9528% 10/15/24 (c)(d) | | 4,200,000 | 4,189,990 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.760% 6.1043% 3/8/24 (c)(d) | | 4,061,000 | 4,060,877 |
| 2.9% 2/26/25 | | 2,035,000 | 1,959,990 |
| 5.4% 4/6/26 | | 495,000 | 492,725 |
| Hyundai Capital America: | | | |
| 0.8% 1/8/24 (b) | | 910,000 | 905,286 |
| 0.875% 6/14/24 (b) | | 1,035,000 | 1,006,572 |
| 1% 9/17/24 (b) | | 445,000 | 428,346 |
| 5.5% 3/30/26 (b) | | 435,000 | 432,345 |
| 5.6% 3/30/28 (b) | | 580,000 | 574,264 |
| 5.8% 6/26/25 (b) | | 3,000,000 | 2,999,126 |
| 6.25% 11/3/25 (b) | | 440,000 | 443,002 |
| Hyundai Capital Services, Inc. 2.125% 4/24/25 (b) | | 380,000 | 361,666 |
| Stellantis Finance U.S., Inc. 1.711% 1/29/27 (b) | | 675,000 | 599,738 |
| Volkswagen Group of America Finance LLC: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.950% 6.2947% 6/7/24 (b)(c)(d) | | 8,000,000 | 8,008,053 |
| 3.95% 6/6/25 (b) | | 760,000 | 739,461 |
| 5.7% 9/12/26 (b) | | 565,000 | 564,843 |
| 5.8% 9/12/25 (b) | | 3,660,000 | 3,666,423 |
| 6% 11/16/26 (b) | | 650,000 | 655,172 |
| | | | 53,170,100 |
| Broadline Retail - 0.0% | | | |
| Nordstrom, Inc. 2.3% 4/8/24 | | 150,000 | 147,750 |
| Distributors - 0.0% | | | |
| Genuine Parts Co. 1.75% 2/1/25 | | 410,000 | 391,816 |
| Diversified Consumer Services - 0.0% | | | |
| ERAC U.S.A. Finance LLC 4.6% 5/1/28 (b) | | 1,205,000 | 1,172,765 |
| Hotels, Restaurants & Leisure - 0.2% | | | |
| Marriott International, Inc.: | | | |
| 3.6% 4/15/24 | | 1,750,000 | 1,733,678 |
| 3.75% 3/15/25 | | 180,000 | 175,665 |
| 4.9% 4/15/29 | | 200,000 | 195,723 |
| 5.45% 9/15/26 | | 325,000 | 326,760 |
| 5.75% 5/1/25 | | 190,000 | 190,276 |
| Starbucks Corp.: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.420% 5.7446% 2/14/24 (c)(d) | | 4,193,000 | 4,193,009 |
| 4.75% 2/15/26 | | 765,000 | 760,065 |
| | | | 7,575,176 |
| Household Durables - 0.0% | | | |
| Mohawk Industries, Inc. 5.85% 9/18/28 | | 520,000 | 526,864 |
| Leisure Products - 0.1% | | | |
| Brunswick Corp. 0.85% 8/18/24 | | 1,190,000 | 1,144,898 |
| Hasbro, Inc. 3% 11/19/24 | | 1,915,000 | 1,860,687 |
| Mattel, Inc.: | | | |
| 3.375% 4/1/26 (b) | | 750,000 | 703,726 |
| 5.875% 12/15/27 (b) | | 825,000 | 811,276 |
| | | | 4,520,587 |
| Specialty Retail - 0.2% | | | |
| Advance Auto Parts, Inc. 5.9% 3/9/26 | | 800,000 | 788,943 |
| AutoZone, Inc.: | | | |
| 3.625% 4/15/25 | | 485,000 | 472,969 |
| 6.25% 11/1/28 | | 630,000 | 655,363 |
| Lowe's Companies, Inc.: | | | |
| 3.35% 4/1/27 | | 345,000 | 327,199 |
| 4.4% 9/8/25 | | 1,200,000 | 1,182,429 |
| 4.8% 4/1/26 | | 635,000 | 629,939 |
| O'Reilly Automotive, Inc. 5.75% 11/20/26 | | 655,000 | 662,445 |
| Ross Stores, Inc.: | | | |
| 0.875% 4/15/26 | | 690,000 | 620,908 |
| 4.6% 4/15/25 | | 2,175,000 | 2,148,137 |
| | | | 7,488,332 |
| Textiles, Apparel & Luxury Goods - 0.1% | | | |
| Tapestry, Inc.: | | | |
| 7% 11/27/26 | | 165,000 | 166,779 |
| 7.05% 11/27/25 | | 135,000 | 136,673 |
| VF Corp.: | | | |
| 2.4% 4/23/25 | | 1,201,000 | 1,135,372 |
| 2.8% 4/23/27 | | 775,000 | 694,960 |
| | | | 2,133,784 |
TOTAL CONSUMER DISCRETIONARY | | | 77,910,886 |
| CONSUMER STAPLES - 0.9% | | | |
| Beverages - 0.1% | | | |
| Coca-Cola European Partners PLC: | | | |
| 0.8% 5/3/24 (b) | | 2,010,000 | 1,966,108 |
| 1.5% 1/15/27 (b) | | 200,000 | 177,515 |
| PepsiCo, Inc. U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.400% 5.7256% 11/12/24 (c)(d) | | 2,469,000 | 2,470,712 |
| | | | 4,614,335 |
| Consumer Staples Distribution & Retail - 0.2% | | | |
| 7-Eleven, Inc. 0.8% 2/10/24 (b) | | 1,448,000 | 1,433,773 |
| Dollar General Corp.: | | | |
| 4.25% 9/20/24 | | 3,665,000 | 3,614,438 |
| 5.2% 7/5/28 | | 584,000 | 578,926 |
| Mars, Inc. 4.55% 4/20/28 (b) | | 1,260,000 | 1,240,965 |
| Mondelez International Holdings Netherlands BV 4.25% 9/15/25 (b) | | 745,000 | 729,766 |
| | | | 7,597,868 |
| Food Products - 0.1% | | | |
| JDE Peet's BV 0.8% 9/24/24 (b) | | 515,000 | 493,092 |
| Mondelez International, Inc. 2.625% 3/17/27 | | 815,000 | 756,599 |
| Viterra Finance BV 4.9% 4/21/27 (b) | | 980,000 | 952,344 |
| | | | 2,202,035 |
| Personal Care Products - 0.0% | | | |
| Kenvue, Inc. 5.35% 3/22/26 | | 410,000 | 412,990 |
| Tobacco - 0.5% | | | |
| BAT Capital Corp. 3.222% 8/15/24 | | 5,000,000 | 4,905,557 |
| BAT International Finance PLC: | | | |
| 1.668% 3/25/26 | | 885,000 | 811,288 |
| 4.448% 3/16/28 | | 1,985,000 | 1,904,110 |
| Imperial Tobacco Finance PLC: | | | |
| 3.125% 7/26/24 (b) | | 2,265,000 | 2,222,181 |
| 4.25% 7/21/25 (b) | | 855,000 | 834,277 |
| Philip Morris International, Inc.: | | | |
| 2.875% 5/1/24 | | 5,000,000 | 4,942,003 |
| 4.875% 2/13/26 | | 800,000 | 794,452 |
| 5% 11/17/25 | | 500,000 | 497,560 |
| 5.125% 11/15/24 | | 5,000,000 | 4,979,611 |
| | | | 21,891,039 |
TOTAL CONSUMER STAPLES | | | 36,718,267 |
| ENERGY - 0.6% | | | |
| Energy Equipment & Services - 0.0% | | | |
| Baker Hughes Co. 1.231% 12/15/23 | | 830,000 | 828,800 |
| Schlumberger Finance Canada Ltd. 1.4% 9/17/25 | | 290,000 | 271,591 |
| | | | 1,100,391 |
| Oil, Gas & Consumable Fuels - 0.6% | | | |
| Aker BP ASA 2% 7/15/26 (b) | | 337,000 | 307,161 |
| Canadian Natural Resources Ltd.: | | | |
| 2.05% 7/15/25 | | 1,430,000 | 1,348,855 |
| 3.8% 4/15/24 | | 735,000 | 729,104 |
| Cheniere Corpus Christi Holdings LLC 5.875% 3/31/25 | | 1,470,000 | 1,470,244 |
| Columbia Pipelines Holding Co. LLC 6.055% 8/15/26 (b) | | 150,000 | 151,818 |
| DCP Midstream Operating LP 5.375% 7/15/25 | | 1,705,000 | 1,702,172 |
| Enbridge, Inc.: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.630% 5.9524% 2/16/24 (c)(d) | | 4,149,000 | 4,150,479 |
| 2.5% 1/15/25 | | 1,115,000 | 1,075,938 |
| 2.5% 2/14/25 | | 615,000 | 592,201 |
| 5.9% 11/15/26 | | 400,000 | 406,852 |
| 6% 11/15/28 | | 325,000 | 334,058 |
| Energy Transfer LP: | | | |
| 2.9% 5/15/25 | | 255,000 | 245,195 |
| 4.25% 4/1/24 | | 70,000 | 69,598 |
| 4.9% 2/1/24 | | 620,000 | 618,487 |
| 5.875% 1/15/24 | | 2,375,000 | 2,374,768 |
| 6.05% 12/1/26 | | 1,485,000 | 1,503,519 |
| Gray Oak Pipeline LLC 2.6% 10/15/25 (b) | | 385,000 | 360,494 |
| ONEOK, Inc. 5.55% 11/1/26 | | 695,000 | 700,101 |
| Ovintiv, Inc. 5.65% 5/15/25 | | 760,000 | 759,677 |
| Pioneer Natural Resources Co. 5.1% 3/29/26 | | 585,000 | 583,368 |
| Sabine Pass Liquefaction LLC: | | | |
| 5.625% 3/1/25 | | 1,150,000 | 1,148,948 |
| 5.75% 5/15/24 | | 239,000 | 238,732 |
| The Williams Companies, Inc.: | | | |
| 4.3% 3/4/24 | | 305,000 | 303,710 |
| 5.4% 3/2/26 | | 1,640,000 | 1,638,955 |
| TransCanada PipeLines Ltd. 6.203% 3/9/26 | | 1,495,000 | 1,495,102 |
| | | | 24,309,536 |
TOTAL ENERGY | | | 25,409,927 |
| FINANCIALS - 12.2% | | | |
| Banks - 7.2% | | | |
| ABN AMRO Bank NV 6.339% 9/18/27 (b)(c) | | 600,000 | 602,996 |
| Banco del Estado de Chile 2.704% 1/9/25 (b) | | 665,000 | 639,730 |
| Banco Santander Mexico SA 5.375% 4/17/25 (Reg. S) | | 1,300,000 | 1,285,278 |
| Banco Santander SA: | | | |
| U.S. TREASURY 1 YEAR INDEX + 0.450% 5.77% 6/30/24 (c)(d) | | 200,000 | 199,706 |
| 3.496% 3/24/25 | | 1,400,000 | 1,357,808 |
| Bank of America Corp.: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.410% 5.7529% 6/14/24 (c)(d) | | 1,210,000 | 1,208,524 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.690% 6.022% 4/22/25 (c)(d) | | 10,000,000 | 9,972,808 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.290% 5.08% 1/20/27 (c)(d) | | 645,000 | 637,875 |
| 0.976% 4/22/25 (c) | | 1,050,000 | 1,026,963 |
| 0.981% 9/25/25 (c) | | 4,300,000 | 4,120,824 |
| 1.319% 6/19/26 (c) | | 4,500,000 | 4,189,690 |
| 1.734% 7/22/27 (c) | | 765,000 | 690,554 |
| 1.843% 2/4/25 (c) | | 850,000 | 843,194 |
| 2.015% 2/13/26 (c) | | 4,400,000 | 4,190,617 |
| 3.384% 4/2/26 (c) | | 5,445,000 | 5,259,769 |
| 3.841% 4/25/25 (c) | | 815,000 | 807,696 |
| Bank of Montreal: | | | |
| 3.7% 6/7/25 | | 1,490,000 | 1,449,649 |
| 5.3% 6/5/26 | | 745,000 | 744,308 |
| 5.92% 9/25/25 | | 7,350,000 | 7,404,081 |
| Bank of Nova Scotia: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.440% 5.7778% 4/15/24 (c)(d) | | 10,000,000 | 9,997,223 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.380% 5.7111% 7/31/24 (c)(d) | | 5,000,000 | 4,990,060 |
| 1.45% 1/10/25 | | 1,720,000 | 1,644,403 |
| Banque Federative du Credit Mutuel SA: | | | |
| 0.65% 2/27/24 (b) | | 860,000 | 849,528 |
| 0.998% 2/4/25 (b) | | 1,145,000 | 1,082,385 |
| 4.935% 1/26/26 (b) | | 650,000 | 639,947 |
| Barclays PLC: | | | |
| 1.007% 12/10/24 (c) | | 1,100,000 | 1,092,516 |
| 2.852% 5/7/26 (c) | | 5,300,000 | 5,050,324 |
| 7.325% 11/2/26 (c) | | 645,000 | 659,452 |
| BPCE SA 1.652% 10/6/26 (b)(c) | | 4,500,000 | 4,130,146 |
| CaixaBank SA: | | | |
| 6.208% 1/18/29 (b)(c) | | 970,000 | 964,441 |
| 6.684% 9/13/27 (b)(c) | | 1,030,000 | 1,039,396 |
| Canadian Imperial Bank of Commerce: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.940% 6.2752% 4/7/25 (c)(d) | | 5,000,000 | 5,008,236 |
| 3.945% 8/4/25 | | 1,935,000 | 1,885,723 |
| Citibank NA 5.864% 9/29/25 | | 5,000,000 | 5,044,394 |
| Citigroup, Inc.: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.690% 6.0251% 1/25/26 (c)(d) | | 10,000,000 | 9,920,038 |
| 0.981% 5/1/25 (c) | | 6,880,000 | 6,724,493 |
| 4.14% 5/24/25 (c) | | 1,070,000 | 1,060,193 |
| 4.4% 6/10/25 | | 355,000 | 348,000 |
| Danske Bank A/S: | | | |
| 3.773% 3/28/25 (b)(c) | | 2,540,000 | 2,518,607 |
| 5.375% 1/12/24 (b) | | 775,000 | 773,993 |
| 6.259% 9/22/26 (b)(c) | | 450,000 | 453,044 |
| 6.466% 1/9/26 (b)(c) | | 3,260,000 | 3,268,013 |
| Discover Bank 2.45% 9/12/24 | | 975,000 | 945,568 |
| DNB Bank ASA U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.830% 6.169% 3/28/25 (b)(c)(d) | | 10,000,000 | 10,004,039 |
| Federation des caisses Desjardin U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.430% 5.7504% 5/21/24 (b)(c)(d) | | 5,316,000 | 5,310,905 |
| Fifth Third Bancorp 6.339% 7/27/29 (c) | | 350,000 | 353,313 |
| Fifth Third Bank, Cincinnati 5.852% 10/27/25 (c) | | 1,780,000 | 1,758,883 |
| HDFC Bank Ltd. 5.686% 3/2/26 (Reg. S) | | 1,600,000 | 1,605,552 |
| HSBC Holdings PLC: | | | |
| 1.645% 4/18/26 (c) | | 850,000 | 799,770 |
| 2.099% 6/4/26 (c) | | 5,500,000 | 5,183,366 |
| 2.999% 3/10/26 (c) | | 5,100,000 | 4,903,785 |
| 3.803% 3/11/25 (c) | | 425,000 | 422,186 |
| Huntington National Bank: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 1.190% 6.5124% 5/16/25 (c)(d) | | 8,000,000 | 7,843,689 |
| 5.699% 11/18/25 (c) | | 445,000 | 434,670 |
| ING Groep NV 6.083% 9/11/27 (c) | | 595,000 | 599,097 |
| JPMorgan Chase & Co.: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.530% 5.881% 6/1/25 (c)(d) | | 10,000,000 | 9,956,156 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.880% 6.216% 4/22/27 (c)(d) | | 747,000 | 744,256 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.320% 6.6511% 4/26/26 (c)(d) | | 5,000,000 | 5,017,427 |
| 0.824% 6/1/25 (c) | | 965,000 | 938,873 |
| 0.969% 6/23/25 (c) | | 3,000,000 | 2,912,929 |
| 2.083% 4/22/26 (c) | | 1,870,000 | 1,776,280 |
| 4.08% 4/26/26 (c) | | 1,710,000 | 1,672,635 |
| KeyBank NA U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.320% 5.6627% 6/14/24 (c)(d) | | 10,000,000 | 9,852,296 |
| Lloyds Banking Group PLC 4.5% 11/4/24 | | 480,000 | 471,469 |
| Mitsubishi UFJ Financial Group, Inc.: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.380% 6.7283% 9/12/25 (c)(d) | | 5,000,000 | 5,016,111 |
| 0.953% 7/19/25 (c) | | 1,340,000 | 1,297,644 |
| 4.788% 7/18/25 (c) | | 10,000,000 | 9,925,888 |
| 5.063% 9/12/25 (c) | | 3,150,000 | 3,128,631 |
| Mizuho Financial Group, Inc.: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.960% 6.2805% 5/22/26 (c)(d) | | 5,000,000 | 4,994,550 |
| 2.555% 9/13/25 (c) | | 3,000,000 | 2,921,201 |
| Morgan Stanley Bank, West Valley City Utah 4.754% 4/21/26 | | 775,000 | 765,380 |
| NatWest Markets PLC: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.530% 5.8551% 8/12/24 (b)(c)(d) | | 5,905,000 | 5,891,933 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.450% 6.7903% 3/22/25 (b)(c)(d) | | 4,248,000 | 4,279,479 |
| 0.8% 8/12/24 (b) | | 370,000 | 357,567 |
| 3.479% 3/22/25 (b) | | 355,000 | 345,095 |
| PNC Financial Services Group, Inc.: | | | |
| 4.758% 1/26/27 (c) | | 920,000 | 900,431 |
| 5.671% 10/28/25 (c) | | 1,265,000 | 1,256,862 |
| 5.812% 6/12/26 (c) | | 345,000 | 344,830 |
| QNB Finance Ltd.: | | | |
| 2.625% 5/12/25 (Reg. S) | | 500,000 | 475,781 |
| 3.5% 3/28/24 (Reg. S) | | 1,000,000 | 990,150 |
| Rabobank Nederland New York Branch 3.875% 8/22/24 | | 5,000,000 | 4,941,926 |
| Santander Holdings U.S.A., Inc. 2.49% 1/6/28 (c) | | 760,000 | 680,861 |
| Societe Generale: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.050% 6.381% 1/21/26 (b)(c)(d) | | 10,000,000 | 9,941,976 |
| 2.625% 10/16/24 (b) | | 365,000 | 354,289 |
| Standard Chartered PLC: | | | |
| 0.991% 1/12/25 (b)(c) | | 375,000 | 372,645 |
| 1.214% 3/23/25 (b)(c) | | 200,000 | 196,648 |
| 1.822% 11/23/25 (b)(c) | | 475,000 | 453,817 |
| Svenska Handelsbanken AB 0.55% 6/11/24 (b) | | 720,000 | 701,382 |
| The Toronto-Dominion Bank: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.910% 6.2543% 3/8/24 (c)(d) | | 5,948,000 | 5,955,153 |
| 5.532% 7/17/26 | | 1,625,000 | 1,633,192 |
| Truist Bank U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.200% 5.5325% 1/17/24 (c)(d) | | 10,000,000 | 9,996,900 |
| Truist Financial Corp. U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.400% 5.7441% 6/9/25 (c)(d) | | 10,710,000 | 10,517,454 |
| U.S. Bancorp: | | | |
| 4.548% 7/22/28 (c) | | 1,770,000 | 1,701,798 |
| 5.727% 10/21/26 (c) | | 415,000 | 413,424 |
| Wells Fargo & Co.: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.320% 6.6511% 4/25/26 (c)(d) | | 6,000,000 | 6,029,676 |
| 2.188% 4/30/26 (c) | | 840,000 | 798,491 |
| 3.526% 3/24/28 (c) | | 735,000 | 689,113 |
| 3.908% 4/25/26 (c) | | 1,210,000 | 1,177,756 |
| 4.54% 8/15/26 (c) | | 1,055,000 | 1,033,987 |
| Wells Fargo Bank NA 5.55% 8/1/25 | | 3,000,000 | 3,009,037 |
| | | | 292,774,827 |
| Capital Markets - 1.7% | | | |
| Bank of New York Mellon Corp. 4.947% 4/26/27 (c) | | 920,000 | 909,691 |
| Bank of New York, New York 5.148% 5/22/26 (c) | | 660,000 | 655,371 |
| Charles Schwab Corp.: | | | |
| 2.45% 3/3/27 | | 2,259,000 | 2,053,949 |
| 3.2% 3/2/27 | | 375,000 | 350,125 |
| Credit Suisse AG: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 1.260% 6.5804% 2/21/25 (c)(d) | | 5,000,000 | 4,995,087 |
| 0.495% 2/2/24 | | 810,000 | 802,580 |
| Deutsche Bank AG New York Branch 3.961% 11/26/25 (c) | | 3,000,000 | 2,920,537 |
| Goldman Sachs Group, Inc.: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.480% 5.817% 10/21/24 (c)(d) | | 555,000 | 553,429 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.500% 5.841% 9/10/24 (c)(d) | | 725,000 | 722,934 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.700% 6.031% 1/24/25 (c)(d) | | 10,000,000 | 9,985,601 |
| 1.757% 1/24/25 (c) | | 1,115,000 | 1,107,569 |
| 3.5% 4/1/25 | | 1,005,000 | 975,906 |
| 4.482% 8/23/28 (c) | | 840,000 | 810,164 |
| 5.7% 11/1/24 | | 5,000,000 | 4,996,847 |
| 5.798% 8/10/26 (c) | | 700,000 | 700,607 |
| LPL Holdings, Inc. 6.75% 11/17/28 | | 325,000 | 332,465 |
| Morgan Stanley: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.450% 5.7869% 1/25/24 (c)(d) | | 3,994,000 | 3,993,915 |
| 1.164% 10/21/25 (c) | | 1,035,000 | 987,976 |
| 2.188% 4/28/26 (c) | | 4,600,000 | 4,373,698 |
| 2.63% 2/18/26 (c) | | 1,070,000 | 1,027,542 |
| 2.72% 7/22/25 (c) | | 4,200,000 | 4,112,317 |
| 3.62% 4/17/25 (c) | | 1,280,000 | 1,268,119 |
| 4.679% 7/17/26 (c) | | 4,700,000 | 4,619,291 |
| 5.05% 1/28/27 (c) | | 365,000 | 361,588 |
| NASDAQ, Inc. 5.65% 6/28/25 | | 651,000 | 652,598 |
| Northern Trust Corp. 3.95% 10/30/25 | | 545,000 | 532,350 |
| S&P Global, Inc. 2.45% 3/1/27 | | 2,215,000 | 2,052,698 |
| State Street Corp.: | | | |
| 4.857% 1/26/26 (c) | | 405,000 | 400,329 |
| 5.104% 5/18/26 (c) | | 635,000 | 630,168 |
| 5.272% 8/3/26 | | 1,155,000 | 1,154,425 |
| UBS Group AG: | | | |
| 1.494% 8/10/27 (b)(c) | | 375,000 | 333,133 |
| 2.193% 6/5/26 (b)(c) | | 4,300,000 | 4,043,719 |
| 4.488% 5/12/26 (b)(c) | | 4,470,000 | 4,366,309 |
| 6.327% 12/22/27 (b)(c) | | 2,080,000 | 2,103,101 |
| | | | 69,886,138 |
| Consumer Finance - 1.3% | | | |
| AerCap Ireland Capital Ltd./AerCap Global Aviation Trust: | | | |
| 1.65% 10/29/24 | | 551,000 | 528,690 |
| 3.15% 2/15/24 | | 155,000 | 153,981 |
| 4.875% 1/16/24 | | 850,000 | 848,677 |
| 6.1% 1/15/27 | | 675,000 | 678,439 |
| 6.45% 4/15/27 (b) | | 1,401,000 | 1,419,648 |
| Ally Financial, Inc. 3.875% 5/21/24 | | 1,410,000 | 1,394,876 |
| American Express Co.: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.720% 6.0493% 5/3/24 (c)(d) | | 5,517,000 | 5,522,853 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.930% 6.2757% 3/4/25 (c)(d) | | 8,000,000 | 8,009,980 |
| 6.338% 10/30/26 (c) | | 2,654,000 | 2,690,180 |
| Capital One Financial Corp.: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.350% 6.6754% 5/9/25 (c)(d) | | 8,000,000 | 7,979,983 |
| 1.343% 12/6/24 (c) | | 5,000,000 | 4,998,643 |
| 2.636% 3/3/26 (c) | | 1,150,000 | 1,087,562 |
| 3.9% 1/29/24 | | 505,000 | 503,343 |
| 4.25% 4/30/25 | | 200,000 | 194,746 |
| 4.985% 7/24/26 (c) | | 885,000 | 863,897 |
| 6.312% 6/8/29 (c) | | 415,000 | 412,566 |
| 7.149% 10/29/27 (c) | | 410,000 | 417,061 |
| Ford Motor Credit Co. LLC: | | | |
| 5.125% 6/16/25 | | 1,030,000 | 1,006,865 |
| 6.798% 11/7/28 | | 535,000 | 546,259 |
| LeasePlan Corp. NV 2.875% 10/24/24 (b) | | 1,680,000 | 1,633,151 |
| Synchrony Financial 4.25% 8/15/24 | | 1,960,000 | 1,927,049 |
| Toyota Motor Credit Corp.: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.650% 5.9886% 12/29/23 (c)(d) | | 6,000,000 | 6,001,620 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.620% 5.9603% 3/22/24 (c)(d) | | 5,000,000 | 5,003,735 |
| 3.05% 3/22/27 | | 640,000 | 602,711 |
| | | | 54,426,515 |
| Financial Services - 0.9% | | | |
| Athene Global Funding: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.700% 6.0183% 5/24/24 (b)(c)(d) | | 8,000,000 | 7,983,448 |
| 0.95% 1/8/24 (b) | | 3,469,000 | 3,451,038 |
| 1.716% 1/7/25 (b) | | 1,905,000 | 1,809,999 |
| 2.514% 3/8/24 (b) | | 2,290,000 | 2,267,137 |
| Brixmor Operating Partnership LP 3.65% 6/15/24 | | 965,000 | 949,453 |
| Corebridge Financial, Inc. 3.5% 4/4/25 | | 5,900,000 | 5,717,377 |
| Crown Castle Towers LLC/Crown Atlantic Holdings Sub LLC/Crown Communication, Inc. 4.241% 7/15/48 (b) | | 290,000 | 268,450 |
| Fidelity National Information Services, Inc.: | | | |
| 0.6% 3/1/24 | | 555,000 | 547,763 |
| 4.5% 7/15/25 | | 600,000 | 590,138 |
| Fiserv, Inc. 2.75% 7/1/24 | | 395,000 | 388,014 |
| GA Global Funding Trust 1.25% 12/8/23 (b) | | 5,000,000 | 4,996,885 |
| Korea Housing Finance Corp. 4.625% 2/24/28 (b) | | 1,600,000 | 1,568,503 |
| LSEGA Financing PLC 0.65% 4/6/24 (b) | | 1,810,000 | 1,775,483 |
| Park Aerospace Holdings Ltd. 5.5% 2/15/24 (b) | | 470,000 | 468,712 |
| PayPal Holdings, Inc. 2.65% 10/1/26 | | 1,295,000 | 1,214,278 |
| Penske Truck Leasing Co. LP: | | | |
| 2.7% 11/1/24 (b) | | 420,000 | 407,466 |
| 3.45% 7/1/24 (b) | | 390,000 | 384,122 |
| 3.95% 3/10/25 (b) | | 660,000 | 643,853 |
| 5.75% 5/24/26 (b) | | 810,000 | 807,088 |
| The Western Union Co. 2.85% 1/10/25 | | 1,905,000 | 1,839,652 |
| | | | 38,078,859 |
| Insurance - 1.1% | | | |
| Brighthouse Financial Global Funding: | | | |
| 1% 4/12/24 (b) | | 1,105,000 | 1,085,442 |
| 1.55% 5/24/26 (b) | | 250,000 | 224,693 |
| CNO Global Funding: | | | |
| 1.65% 1/6/25 (b) | | 1,300,000 | 1,233,065 |
| 1.75% 10/7/26 (b) | | 1,360,000 | 1,212,681 |
| Equitable Financial Life Global Funding: | | | |
| 1% 1/9/26 (b) | | 355,000 | 321,134 |
| 1.1% 11/12/24 (b) | | 4,378,000 | 4,187,159 |
| 1.4% 7/7/25 (b) | | 116,000 | 107,981 |
| 1.7% 11/12/26 (b) | | 460,000 | 407,745 |
| First American Financial Corp. 4.6% 11/15/24 | | 355,000 | 349,523 |
| Health Care Service Corp. 1.5% 6/1/25 (b) | | 1,800,000 | 1,693,458 |
| Jackson National Life Global Funding 1.75% 1/12/25 (b) | | 1,145,000 | 1,086,862 |
| Marsh & McLennan Companies, Inc. 3.75% 3/14/26 | | 170,000 | 165,192 |
| Northwestern Mutual Global Funding: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.330% 5.6697% 3/25/24 (b)(c)(d) | | 4,063,000 | 4,063,418 |
| 4.35% 9/15/27 (b) | | 845,000 | 817,260 |
| Pacific Life Global Funding II U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.380% 5.714% 4/12/24 (b)(c)(d) | | 10,000,000 | 9,995,830 |
| Principal Life Global Funding II: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.450% 5.7834% 4/12/24 (b)(c)(d) | | 1,763,000 | 1,763,659 |
| 0.75% 4/12/24 (b) | | 930,000 | 912,809 |
| Protective Life Global Funding: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.980% 6.319% 3/28/25 (b)(c)(d) | | 7,500,000 | 7,523,347 |
| 3.218% 3/28/25 (b) | | 715,000 | 692,156 |
| Willis Group North America, Inc. 3.6% 5/15/24 | | 5,000,000 | 4,943,111 |
| | | | 42,786,525 |
TOTAL FINANCIALS | | | 497,952,864 |
| HEALTH CARE - 1.4% | | | |
| Biotechnology - 0.3% | | | |
| AbbVie, Inc.: | | | |
| 2.6% 11/21/24 | | 3,500,000 | 3,402,201 |
| 2.95% 11/21/26 | | 2,215,000 | 2,096,658 |
| 3.2% 5/14/26 | | 175,000 | 167,905 |
| Amgen, Inc.: | | | |
| 3.625% 5/22/24 | | 3,000,000 | 2,969,988 |
| 5.25% 3/2/25 | | 3,350,000 | 3,337,346 |
| Csl Uk Holdings Ltd. 3.85% 4/27/27 (b) | | 395,000 | 378,785 |
| | | | 12,352,883 |
| Health Care Equipment & Supplies - 0.1% | | | |
| Becton, Dickinson & Co.: | | | |
| 3.734% 12/15/24 | | 1,055,000 | 1,034,066 |
| 4.693% 2/13/28 | | 1,325,000 | 1,306,161 |
| | | | 2,340,227 |
| Health Care Providers & Services - 0.7% | | | |
| Cardinal Health, Inc.: | | | |
| 3.079% 6/15/24 | | 695,000 | 684,628 |
| 3.5% 11/15/24 | | 1,180,000 | 1,155,292 |
| Cigna Group 0.613% 3/15/24 | | 5,967,000 | 5,880,205 |
| CVS Health Corp.: | | | |
| 1.3% 8/21/27 | | 1,610,000 | 1,399,281 |
| 2.875% 6/1/26 | | 475,000 | 449,017 |
| 3% 8/15/26 | | 415,000 | 391,502 |
| 3.375% 8/12/24 | | 5,000,000 | 4,916,593 |
| 5% 2/20/26 | | 920,000 | 915,655 |
| Elevance Health, Inc.: | | | |
| 2.375% 1/15/25 | | 410,000 | 395,745 |
| 5.35% 10/15/25 | | 305,000 | 304,754 |
| HCA Holdings, Inc.: | | | |
| 3.125% 3/15/27 | | 1,140,000 | 1,056,688 |
| 5.375% 2/1/25 | | 575,000 | 571,649 |
| 5.875% 2/15/26 | | 665,000 | 666,224 |
| Humana, Inc.: | | | |
| 1.35% 2/3/27 | | 120,000 | 106,590 |
| 3.85% 10/1/24 | | 4,000,000 | 3,936,702 |
| 4.5% 4/1/25 | | 1,205,000 | 1,188,145 |
| 5.75% 3/1/28 | | 300,000 | 306,054 |
| PeaceHealth Obligated Group 1.375% 11/15/25 | | 190,000 | 174,215 |
| UnitedHealth Group, Inc.: | | | |
| 4.25% 1/15/29 | | 2,235,000 | 2,179,711 |
| 5.15% 10/15/25 | | 880,000 | 884,169 |
| 5.25% 2/15/28 | | 640,000 | 652,500 |
| | | | 28,215,319 |
| Health Care Technology - 0.0% | | | |
| IQVIA, Inc. 6.25% 2/1/29 (b) | | 440,000 | 446,606 |
| Life Sciences Tools & Services - 0.0% | | | |
| Thermo Fisher Scientific, Inc. 4.953% 8/10/26 | | 1,515,000 | 1,518,858 |
| Pharmaceuticals - 0.3% | | | |
| Bayer U.S. Finance II LLC 3.875% 12/15/23 (b) | | 4,750,000 | 4,746,407 |
| Perrigo Finance PLC 3.9% 12/15/24 | | 661,000 | 648,473 |
| Pfizer Investment Enterprises: | | | |
| 4.45% 5/19/26 | | 1,605,000 | 1,586,999 |
| 4.45% 5/19/28 | | 965,000 | 947,279 |
| Utah Acquisition Sub, Inc. 3.95% 6/15/26 | | 1,540,000 | 1,467,977 |
| Viatris, Inc.: | | | |
| 1.65% 6/22/25 | | 1,430,000 | 1,339,961 |
| 2.3% 6/22/27 | | 736,000 | 650,375 |
| Zoetis, Inc. 5.4% 11/14/25 | | 920,000 | 918,881 |
| | | | 12,306,352 |
TOTAL HEALTH CARE | | | 57,180,245 |
| INDUSTRIALS - 1.0% | | | |
| Aerospace & Defense - 0.1% | | | |
| DAE Funding LLC 1.55% 8/1/24 (b) | | 465,000 | 448,725 |
| The Boeing Co. 1.95% 2/1/24 | | 3,500,000 | 3,477,649 |
| | | | 3,926,374 |
| Building Products - 0.1% | | | |
| Carrier Global Corp.: | | | |
| 2.242% 2/15/25 | | 259,000 | 248,797 |
| 5.8% 11/30/25 (b) | | 2,277,000 | 2,290,185 |
| Owens Corning 3.4% 8/15/26 | | 115,000 | 108,926 |
| | | | 2,647,908 |
| Commercial Services & Supplies - 0.1% | | | |
| HPHT Finance (21) (II) Ltd. 1.5% 9/17/26 (Reg. S) | | 650,000 | 584,314 |
| HPHT Finance 19 Ltd. 2.875% 11/5/24 (Reg. S) | | 1,625,000 | 1,582,198 |
| Republic Services, Inc. 4.875% 4/1/29 | | 280,000 | 278,871 |
| | | | 2,445,383 |
| Electrical Equipment - 0.0% | | | |
| Regal Rexnord Corp. 6.05% 2/15/26 (b) | | 605,000 | 603,944 |
| Ground Transportation - 0.2% | | | |
| Canadian Pacific Railway Co.: | | | |
| 1.35% 12/2/24 | | 7,739,000 | 7,414,637 |
| 1.75% 12/2/26 | | 580,000 | 525,913 |
| | | | 7,940,550 |
| Machinery - 0.4% | | | |
| Caterpillar Financial Services Corp. U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.450% 5.7751% 11/14/24 (c)(d) | | 5,000,000 | 5,015,901 |
| Daimler Trucks Finance North America LLC: | | | |
| 1.625% 12/13/24 (b) | | 9,065,000 | 8,702,190 |
| 5.15% 1/16/26 (b) | | 275,000 | 273,238 |
| 5.2% 1/17/25 (b) | | 355,000 | 353,269 |
| Otis Worldwide Corp. 2.056% 4/5/25 | | 1,000,000 | 956,156 |
| Parker Hannifin Corp. 3.65% 6/15/24 | | 1,690,000 | 1,669,648 |
| | | | 16,970,402 |
| Passenger Airlines - 0.0% | | | |
| American Airlines 2017-2 Class B Pass Through Trust equipment trust certificate 3.7% 4/15/27 | | 346,254 | 322,703 |
| SMBC Aviation Capital Finance 3.55% 4/15/24 (b) | | 815,000 | 807,600 |
| | | | 1,130,303 |
| Trading Companies & Distributors - 0.1% | | | |
| GATX Corp.: | | | |
| 3.25% 3/30/25 | | 1,793,000 | 1,730,777 |
| 3.85% 3/30/27 | | 115,000 | 108,420 |
| 4.35% 2/15/24 | | 965,000 | 961,280 |
| | | | 2,800,477 |
| Transportation Infrastructure - 0.0% | | | |
| Avolon Holdings Funding Ltd.: | | | |
| 2.125% 2/21/26 (b) | | 1,035,000 | 942,147 |
| 2.875% 2/15/25 (b) | | 980,000 | 936,038 |
| 3.95% 7/1/24 (b) | | 265,000 | 260,485 |
| 6.375% 5/4/28 (b) | | 300,000 | 299,175 |
| | | | 2,437,845 |
TOTAL INDUSTRIALS | | | 40,903,186 |
| INFORMATION TECHNOLOGY - 0.4% | | | |
| Electronic Equipment, Instruments & Components - 0.0% | | | |
| Amphenol Corp.: | | | |
| 2.05% 3/1/25 | | 910,000 | 873,040 |
| 4.75% 3/30/26 | | 340,000 | 336,884 |
| | | | 1,209,924 |
| IT Services - 0.0% | | | |
| CDW LLC/CDW Finance Corp. 5.5% 12/1/24 | | 320,000 | 316,573 |
| Semiconductors & Semiconductor Equipment - 0.3% | | | |
| Analog Devices, Inc. U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.250% 5.5881% 10/1/24 (c)(d) | | 2,353,000 | 2,351,850 |
| Intel Corp. 4.875% 2/10/26 | | 630,000 | 629,560 |
| Microchip Technology, Inc.: | | | |
| 0.972% 2/15/24 | | 1,165,000 | 1,153,359 |
| 0.983% 9/1/24 | | 1,220,000 | 1,177,079 |
| Micron Technology, Inc.: | | | |
| 4.185% 2/15/27 | | 165,000 | 158,729 |
| 4.975% 2/6/26 | | 160,000 | 158,424 |
| 5.375% 4/15/28 | | 935,000 | 929,837 |
| NXP BV/NXP Funding LLC 4.875% 3/1/24 | | 895,000 | 891,241 |
| NXP BV/NXP Funding LLC/NXP U.S.A., Inc.: | | | |
| 2.7% 5/1/25 | | 1,095,000 | 1,048,014 |
| 3.15% 5/1/27 | | 70,000 | 64,807 |
| 3.875% 6/18/26 | | 565,000 | 543,643 |
| 4.4% 6/1/27 | | 155,000 | 149,694 |
| Qorvo, Inc. 1.75% 12/15/24 | | 510,000 | 487,794 |
| | | | 9,744,031 |
| Software - 0.1% | | | |
| Fortinet, Inc. 1% 3/15/26 | | 675,000 | 610,922 |
| Intuit, Inc. 5.25% 9/15/26 | | 1,620,000 | 1,631,368 |
| Oracle Corp. 5.8% 11/10/25 | | 510,000 | 513,988 |
| Roper Technologies, Inc.: | | | |
| 1% 9/15/25 | | 235,000 | 217,303 |
| 2.35% 9/15/24 | | 365,000 | 355,200 |
| Workday, Inc. 3.5% 4/1/27 | | 525,000 | 498,538 |
| | | | 3,827,319 |
TOTAL INFORMATION TECHNOLOGY | | | 15,097,847 |
| MATERIALS - 0.3% | | | |
| Chemicals - 0.1% | | | |
| Celanese U.S. Holdings LLC: | | | |
| 6.05% 3/15/25 | | 659,000 | 660,043 |
| 6.35% 11/15/28 | | 445,000 | 454,609 |
| Ecolab, Inc.: | | | |
| 1.65% 2/1/27 | | 400,000 | 362,407 |
| 5.25% 1/15/28 | | 1,055,000 | 1,069,421 |
| LYB International Finance III LLC 1.25% 10/1/25 | | 692,000 | 639,544 |
| Nutrien Ltd. 4.9% 3/27/28 | | 400,000 | 395,063 |
| Sherwin-Williams Co. 4.25% 8/8/25 | | 420,000 | 411,643 |
| Westlake Corp. 0.875% 8/15/24 | | 720,000 | 694,840 |
| | | | 4,687,570 |
| Containers & Packaging - 0.1% | | | |
| Bemis Co., Inc. 4% 5/17/25 | | 805,000 | 785,116 |
| Metals & Mining - 0.1% | | | |
| ArcelorMittal SA 3.6% 7/16/24 | | 390,000 | 382,925 |
| BHP Billiton Financial (U.S.A.) Ltd. 5.25% 9/8/26 | | 1,560,000 | 1,569,442 |
| Nucor Corp.: | | | |
| 2% 6/1/25 | | 350,000 | 332,374 |
| 3.95% 5/23/25 | | 525,000 | 514,194 |
| POSCO 5.625% 1/17/26 (b) | | 1,375,000 | 1,376,252 |
| Steel Dynamics, Inc. 2.8% 12/15/24 | | 395,000 | 382,830 |
| | | | 4,558,017 |
| Paper & Forest Products - 0.0% | | | |
| Celulosa Arauco y Constitucion SA 4.5% 8/1/24 | | 635,000 | 625,780 |
TOTAL MATERIALS | | | 10,656,483 |
| REAL ESTATE - 0.5% | | | |
| Equity Real Estate Investment Trusts (REITs) - 0.4% | | | |
| American Tower Corp.: | | | |
| 1.6% 4/15/26 | | 1,593,000 | 1,453,298 |
| 2.4% 3/15/25 | | 665,000 | 637,655 |
| 3.55% 7/15/27 | | 645,000 | 606,905 |
| 5% 2/15/24 | | 375,000 | 374,173 |
| Crown Castle International Corp.: | | | |
| 1.05% 7/15/26 | | 1,005,000 | 893,401 |
| 2.9% 3/15/27 | | 1,115,000 | 1,024,253 |
| 4.45% 2/15/26 | | 905,000 | 882,624 |
| 5% 1/11/28 | | 305,000 | 297,721 |
| Kilroy Realty LP 4.375% 10/1/25 | | 755,000 | 722,494 |
| Public Storage: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.470% 5.801% 4/23/24 (c)(d) | | 495,000 | 494,816 |
| 5.125% 1/15/29 | | 345,000 | 347,537 |
| Realty Income Corp. 5.05% 1/13/26 | | 230,000 | 228,708 |
| Simon Property Group LP: | | | |
| 2% 9/13/24 | | 380,000 | 369,100 |
| 3.375% 10/1/24 | | 3,985,000 | 3,904,386 |
| WP Carey, Inc.: | | | |
| 4% 2/1/25 | | 1,440,000 | 1,408,941 |
| 4.6% 4/1/24 | | 770,000 | 764,581 |
| | | | 14,410,593 |
| Real Estate Management & Development - 0.1% | | | |
| Essex Portfolio LP 3.875% 5/1/24 | | 4,420,000 | 4,375,653 |
TOTAL REAL ESTATE | | | 18,786,246 |
| UTILITIES - 1.0% | | | |
| Electric Utilities - 0.8% | | | |
| ENEL Finance International NV: | | | |
| 1.375% 7/12/26 (b) | | 1,105,000 | 990,231 |
| 2.65% 9/10/24 (b) | | 1,775,000 | 1,728,912 |
| 6.8% 10/14/25 (b) | | 200,000 | 203,610 |
| Israel Electric Corp. Ltd. 5% 11/12/24 (Reg. S) (b) | | 1,365,000 | 1,337,416 |
| Korea Electric Power Corp. 5.375% 4/6/26 (b) | | 1,750,000 | 1,750,755 |
| Korea Hydro & Nuclear Power Co. Ltd.: | | | |
| 1.25% 4/27/26 (b) | | 1,421,000 | 1,290,227 |
| 4.25% 7/27/27 (b) | | 630,000 | 611,277 |
| Mississippi Power Co. U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.300% 5.639% 6/28/24 (c)(d) | | 5,297,000 | 5,289,580 |
| NextEra Energy Capital Holdings, Inc.: | | | |
| 1.875% 1/15/27 | | 1,255,000 | 1,131,251 |
| 4.45% 6/20/25 | | 1,050,000 | 1,032,689 |
| 5.749% 9/1/25 | | 315,000 | 315,193 |
| 6.051% 3/1/25 | | 420,000 | 421,513 |
| NRG Energy, Inc. 3.75% 6/15/24 (b) | | 535,000 | 527,268 |
| Pacific Gas & Electric Co. 3.5% 6/15/25 | | 955,000 | 914,773 |
| Southern Co.: | | | |
| 0.6% 2/26/24 | | 1,515,000 | 1,496,225 |
| 4.475% 8/1/24 | | 3,280,000 | 3,244,343 |
| Tampa Electric Co. 3.875% 7/12/24 | | 2,079,000 | 2,054,885 |
| Vistra Operations Co. LLC: | | | |
| 3.55% 7/15/24 (b) | | 4,595,000 | 4,499,347 |
| 5.125% 5/13/25 (b) | | 1,210,000 | 1,190,867 |
| | | | 30,030,362 |
| Gas Utilities - 0.1% | | | |
| APT Pipelines Ltd. 4.2% 3/23/25 (b) | | 2,200,000 | 2,153,148 |
| Southern California Gas Co. 2.95% 4/15/27 | | 815,000 | 758,184 |
| | | | 2,911,332 |
| Independent Power and Renewable Electricity Producers - 0.0% | | | |
| Constellation Energy Generation, LLC 5.6% 3/1/28 | | 520,000 | 523,660 |
| The AES Corp. 3.3% 7/15/25 (b) | | 820,000 | 782,827 |
| | | | 1,306,487 |
| Multi-Utilities - 0.1% | | | |
| CenterPoint Energy, Inc. U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.650% 5.9751% 5/13/24 (c)(d) | | 2,893,000 | 2,891,846 |
| DTE Energy Co. 2.529% 10/1/24 | | 1,156,000 | 1,124,617 |
| NiSource, Inc. 5.25% 3/30/28 | | 210,000 | 209,715 |
| Sempra: | | | |
| 3.3% 4/1/25 | | 760,000 | 735,538 |
| 5.4% 8/1/26 | | 330,000 | 330,330 |
| | | | 5,292,046 |
TOTAL UTILITIES | | | 39,540,227 |
| TOTAL NONCONVERTIBLE BONDS (Cost $853,652,322) | | | 845,451,547 |
| | | | |
| U.S. Government and Government Agency Obligations - 8.0% |
| | | Principal Amount (a) | Value ($) |
| U.S. Government Agency Obligations - 0.1% | | | |
| Federal Home Loan Bank 5% 2/28/25 | | 2,285,000 | 2,283,181 |
| U.S. Treasury Obligations - 7.9% | | | |
| U.S. Treasury Bills, yield at date of purchase 4.6% to 5.42% 1/25/24 to 6/13/24 | | 95,528,800 | 94,018,400 |
| U.S. Treasury Notes: | | | |
| 3% 6/30/24 | | 72,000,000 | 71,032,500 |
| 3.5% 9/15/25 | | 1,410,000 | 1,378,881 |
| 4% 12/15/25 | | 5,360,000 | 5,288,603 |
| 4.5% 11/15/25 | | 40,000,000 | 39,834,375 |
| 4.625% 11/15/26 | | 2,890,000 | 2,902,418 |
| 5% 8/31/25 | | 14,360,000 | 14,403,753 |
| 5% 9/30/25 (e) | | 43,945,000 | 44,106,361 |
| 5% 10/31/25 | | 47,595,000 | 47,816,069 |
TOTAL U.S. TREASURY OBLIGATIONS | | | 320,781,360 |
| TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $323,204,154) | | | 323,064,541 |
| | | | |
| U.S. Government Agency - Mortgage Securities - 0.8% |
| | | Principal Amount (a) | Value ($) |
| Fannie Mae - 0.5% | | | |
| Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.360% 4.85% 10/1/33 (c)(d) | | 17,351 | 17,320 |
| Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.560% 5.241% 7/1/35 (c)(d) | | 1,947 | 1,973 |
| Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.590% 4.499% 12/1/35 (c)(d) | | 4,311 | 4,360 |
| Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.650% 5.905% 8/1/37 (c)(d) | | 668 | 679 |
| Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.690% 5.44% 5/1/38 (c)(d) | | 4,538 | 4,616 |
| Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.780% 4.538% 5/1/38 (c)(d) | | 2,283 | 2,316 |
| Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.830% 5.081% 4/1/38 (c)(d) | | 9,048 | 9,217 |
| Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.850% 6.103% 8/1/38 (c)(d) | | 5,379 | 5,480 |
| Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.880% 5.2% 5/1/38 (c)(d) | | 7,441 | 7,596 |
| Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 2.040% 4.29% 12/1/36 (c)(d) | | 1,015 | 1,031 |
| 2% 10/1/50 to 2/1/52 | | 453,275 | 354,427 |
| 2.5% 1/1/52 | | 833,450 | 678,519 |
| 3% 9/1/28 to 11/1/51 | | 3,059,871 | 2,674,774 |
| 3.5% 11/1/26 to 7/1/50 | | 654,826 | 590,423 |
| 4% 1/1/47 to 9/1/52 | | 2,707,983 | 2,468,280 |
| 4.5% 6/1/38 to 6/1/52 | | 3,519,755 | 3,347,576 |
| 5% 1/1/24 to 9/1/53 | | 2,748,122 | 2,691,581 |
| 5.5% 10/1/24 to 10/1/53 | | 1,788,517 | 1,792,355 |
| 6% to 6% 3/1/34 to 8/1/53 | | 6,329,374 | 6,383,581 |
| 6.5% 7/1/32 to 12/1/32 | | 41,096 | 42,420 |
TOTAL FANNIE MAE | | | 21,078,524 |
| Freddie Mac - 0.1% | | | |
| Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.620% 5.259% 6/1/38 (c)(d) | | 9,454 | 9,547 |
| Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.720% 5.939% 7/1/35 (c)(d) | | 4,145 | 4,190 |
| Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.730% 4.108% 2/1/37 (c)(d) | | 1,776 | 1,797 |
| Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.730% 5.059% 5/1/38 (c)(d) | | 4,876 | 4,936 |
| Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.730% 5.592% 10/1/36 (c)(d) | | 9,404 | 9,503 |
| Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.770% 5.232% 5/1/37 (c)(d) | | 2,110 | 2,138 |
| Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.830% 4.292% 2/1/37 (c)(d) | | 1,578 | 1,601 |
| Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.920% 4.187% 12/1/36 (c)(d) | | 4,273 | 4,361 |
| Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 2.020% 5.049% 11/1/36 (c)(d) | | 2,474 | 2,519 |
| Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 2.080% 4.582% 2/1/38 (c)(d) | | 10,000 | 10,165 |
| Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 2.160% 4.558% 2/1/37 (c)(d) | | 2,491 | 2,539 |
| U.S. TREASURY 1 YEAR INDEX + 2.340% 5.251% 11/1/34 (c)(d) | | 6,110 | 6,167 |
| 1.5% 2/1/36 | | 725,166 | 618,026 |
| 2.5% 1/1/52 to 4/1/52 | | 1,394,710 | 1,142,547 |
| 3% 11/1/34 | | 190,623 | 178,123 |
| 3.5% 12/1/47 | | 583,741 | 522,452 |
| 4% 12/1/49 | | 129,064 | 119,355 |
| 4.5% 9/1/37 to 5/1/50 | | 335,592 | 324,580 |
| 5% 12/1/41 | | 226,678 | 225,367 |
| 5.5% 10/1/38 | | 1,555 | 1,587 |
| 6% 9/1/34 to 2/1/53 | | 548,239 | 557,323 |
| 7% 3/1/39 | | 84,130 | 87,956 |
| 7.5% 6/1/38 | | 73,775 | 77,203 |
TOTAL FREDDIE MAC | | | 3,913,982 |
| Ginnie Mae - 0.2% | | | |
| 6% 7/15/36 | | 103,190 | 105,385 |
| 3% 9/20/47 | | 946,050 | 830,569 |
| 3.5% 8/20/44 to 2/20/52 | | 2,227,659 | 2,006,829 |
| 4% 3/20/48 to 8/20/50 | | 354,947 | 328,457 |
| 4.5% 9/20/40 to 3/20/53 | | 2,339,578 | 2,223,774 |
| 5% 12/20/34 to 5/20/48 | | 464,767 | 459,796 |
| 5.5% 9/15/45 to 4/20/53 | | 1,108,917 | 1,108,558 |
| 6.5% 4/20/53 | | 588,215 | 599,285 |
TOTAL GINNIE MAE | | | 7,662,653 |
| TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $35,165,766) | | | 32,655,159 |
| | | | |
| Asset-Backed Securities - 7.0% |
| | | Principal Amount (a) | Value ($) |
| Aimco Series 2021-10A Class AR, CME Term SOFR 3 Month Index + 1.320% 6.7335% 7/22/32 (b)(c)(d) | | 4,100,000 | 4,085,584 |
| Ally Auto Receivables Trust 2023- Series 2023-A: | | | |
| Class B, 6.01% 1/17/34 (b) | | 152,435 | 151,502 |
| Class C, 6.08% 1/17/34 (b) | | 281,270 | 280,802 |
| AmeriCredit Automobile Receivables Series 2023-1 Class C, 5.8% 12/18/28 | | 625,000 | 617,712 |
| AmeriCredit Automobile Receivables Trust: | | | |
| Series 2020-1 Class D, 1.8% 12/18/25 | | 690,000 | 668,952 |
| Series 2020-3 Class C, 1.06% 8/18/26 | | 420,000 | 402,116 |
| Series 2021-1: | | | |
Class C, 0.89% 10/19/26 | | 755,000 | 714,837 |
Class D, 1.21% 12/18/26 | | 470,000 | 433,799 |
| Series 2021-2 Class D, 1.29% 6/18/27 | | 995,000 | 907,044 |
| Series 2022-1 Class D, 3.23% 2/18/28 | | 1,830,000 | 1,687,387 |
| Amur Equipment Finance Receiva Series 2022-1A Class C, 2.37% 4/20/28 (b) | | 300,000 | 277,840 |
| Avis Budget Rental Car Funding (AESOP) LLC: | | | |
| Series 2018-2A Class C, 4.95% 3/20/25 (b) | | 286,667 | 285,605 |
| Series 2019-2A Class A, 3.35% 9/22/25 (b) | | 650,000 | 640,092 |
| Series 2020-1A Class A, 2.33% 8/20/26 (b) | | 540,000 | 511,116 |
| Ballyrock Clo 15 Ltd. / Ballyro Series 2021-1A Class A1, CME Term SOFR 3 Month Index + 1.320% 6.7155% 4/15/34 (b)(c)(d) | | 375,000 | 372,603 |
| BMW Vechicle Lease Trust 2023-1 Series 2023-1 Class A2, 5.27% 2/25/25 | | 1,061,659 | 1,060,412 |
| Bmw Vechicle Lease Trust 2023-2 Series 2023-2 Class A2, 5.95% 8/25/25 | | 3,077,000 | 3,082,160 |
| Bmw Vechile Owner Trust 2023-A Series 2023-A Class A2A, 5.72% 4/27/26 | | 3,000,000 | 3,001,214 |
| BMW Vehicle Owner Trust Series 2022-A Class A2B, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.520% 5.8481% 12/26/24 (c)(d) | | 191,450 | 191,456 |
| BRE Grand Islander Timeshare Issuer Series 2019-A Class A, 3.28% 9/26/33 (b) | | 169,404 | 160,403 |
| Capital One Prime Auto Receiva Series 2023-2 Class A2A, 5.91% 10/15/26 | | 5,000,000 | 5,011,556 |
| Capital One Prime Auto Receivables Series 2023-1 Class A2, 5.2% 5/15/26 | | 2,322,513 | 2,314,772 |
| Capital One Prime Auto Receivables Trust Series 2022-2 Class A2A, 3.74% 9/15/25 | | 2,012,747 | 2,000,972 |
| CarMax Auto Owner Trust: | | | |
| Series 2020-4 Class D, 1.75% 4/15/27 | | 540,000 | 514,879 |
| Series 2021-2 Class C, 1.34% 2/16/27 | | 545,000 | 505,750 |
| Series 2022-2 Class A2B, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.600% 5.924% 5/15/25 (c)(d) | | 89,327 | 89,327 |
| Series 2022-3 Class A2A, 3.81% 9/15/25 | | 1,070,580 | 1,066,518 |
| Series 2023 2 Class A2A, 5.5% 6/15/26 | | 1,925,205 | 1,921,408 |
| Series 2023 2: | | | |
Class C, 5.57% 11/15/28 | | 955,000 | 937,443 |
Class D, 6.55% 10/15/29 | | 635,000 | 623,638 |
| Carmax Auto Owner Trust 2023-4 Series 2023-4 Class A2A, 6.08% 12/15/26 | | 2,359,000 | 2,368,570 |
| Carmx 2023-3 A3 Series 2023-3: | | | |
| Class B, 5.47% 2/15/29 | | 315,000 | 311,073 |
| Class C, 5.61% 2/15/29 | | 975,000 | 961,101 |
| Class D, 6.44% 12/16/30 | | 350,000 | 346,175 |
| Carvana Auto Receivables Trust: | | | |
| Series 2021-P4 Class B, 1.98% 2/10/28 | | 445,000 | 391,908 |
| Series 2022-N1 Class C, 3.32% 12/11/28 (b) | | 318,329 | 310,219 |
| Cedar Funding Ltd.: | | | |
| Series 2021-10A Class AR, CME Term SOFR 3 Month Index + 1.360% 6.7774% 10/20/32 (b)(c)(d) | | 1,089,000 | 1,083,693 |
| Series 2021-14A Class A, CME Term SOFR 3 Month Index + 1.360% 6.7555% 7/15/33 (b)(c)(d) | | 5,722,000 | 5,713,634 |
| Cent CLO LP Series 2021-21A Class A1R3, CME Term SOFR 3 Month Index + 1.230% 6.6191% 7/27/30 (b)(c)(d) | | 2,189,335 | 2,185,852 |
| CFMT LLC Series 2023 HB12 Class A, 4.25% 4/25/33 (b) | | 331,694 | 319,186 |
| Chesapeake Funding II LLC: | | | |
| Series 2020-1A Class A1, 0.87% 8/15/32 (b) | | 419,574 | 415,921 |
| Series 2021-1A Class A2, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.340% 5.6685% 4/15/33 (b)(c)(d) | | 1,108,406 | 1,103,506 |
| Series 2023 1A Class A1, 5.65% 5/15/35 (b) | | 1,765,258 | 1,759,223 |
| Series 2023-2A Class A1, 6.16% 10/15/35 (b) | | 334,730 | 336,103 |
| CIFC Funding Ltd. / CIFC Funding LLC Series 2021-4A Class A, CME Term SOFR 3 Month Index + 1.310% 6.7055% 7/15/33 (b)(c)(d) | | 1,615,000 | 1,607,773 |
| CIM Trust Series 2020-INV1 Class A2, 2.5% 4/25/50 (b) | | 185,419 | 144,678 |
| Daimler Trucks Retail Trust Series 2022-1 Class A2, 5.07% 9/16/24 | | 735,779 | 734,526 |
| Daimler Trucks Retail Trust 20 Series 2023-1 Class A2, 6.03% 9/15/25 | | 1,104,000 | 1,105,518 |
| Dell Equipment Finance Trust 2 Series 2023-3: | | | |
| Class A2, 6.1% 4/23/29 (b) | | 2,476,000 | 2,482,439 |
| Class A3, 5.93% 4/23/29 (b) | | 350,000 | 352,247 |
| Class D, 6.75% 10/22/29 (b) | | 100,000 | 100,759 |
| Dell Equipment Finance Trust 2022-2 4.03% 7/22/27 (b) | | 1,959,687 | 1,950,185 |
| Dell Equipment Finance Trust 2023-2 Series 2023-2 Class A2, 5.84% 1/22/29 (b) | | 1,524,000 | 1,523,134 |
| Dllaa 2023-1A Series 2023-1A: | | | |
| Class A2, 5.93% 7/20/26 (b) | | 266,000 | 266,406 |
| Class A3, 5.64% 2/22/28 (b) | | 660,000 | 659,901 |
| DLLAD Series 2023-1A Class A2, 5.19% 4/20/26 (b) | | 1,834,639 | 1,825,873 |
| Dllmt 2023-1 LLC Series 2023-1A Class A2, 5.78% 11/20/25 (b) | | 2,129,000 | 2,123,481 |
| Donlen Fleet Lease Funding Series 2021-2 Class A1, CME Term SOFR 1 Month Index + 0.440% 5.7658% 12/11/34 (b)(c)(d) | | 750,590 | 749,622 |
| Driven Brands Funding LLC Series 20XX-1A Class A2, 4.739% 4/20/48 (b) | | 326,025 | 315,075 |
| Dryden CLO, Ltd. / Dryden CLO, LLC Series 2021-86A Class A1R, CME Term SOFR 3 Month Index + 1.360% 6.7644% 7/17/34 (b)(c)(d) | | 1,055,000 | 1,048,571 |
| Eagle Re Ltd. Series 2021-2 Class M1A, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.550% 6.8781% 4/25/34 (b)(c)(d) | | 25,785 | 25,781 |
| Eaton Vance CLO, Ltd. Series 2021-1A Class AR, CME Term SOFR 3 Month Index + 1.360% 6.7555% 4/15/31 (b)(c)(d) | | 3,935,000 | 3,921,440 |
| Elara Hgv Timeshare Issuer 202 Series 2023-A: | | | |
| Class A, 6.16% 2/25/38 (b) | | 493,916 | 497,611 |
| Class C, 7.3% 2/25/38 (b) | | 426,781 | 430,984 |
| Elara HGV Timeshare Issuer LLC Series 2017-A Class A, 2.69% 3/25/30 (b) | | 201,381 | 194,628 |
| Enterprise Fleet Financing Series 2023-2 Class A2, 5.56% 4/22/30 (b) | | 1,460,000 | 1,454,177 |
| Enterprise Fleet Financing 2023-3 L Series 2023-3 Class A2, 6.4% 3/20/30 (b) | | 1,839,000 | 1,861,831 |
| Enterprise Fleet Financing LLC: | | | |
| Series 2020-2 Class A2, 0.61% 7/20/26 (b) | | 200,080 | 198,900 |
| Series 2021-1 Class A2, 0.44% 12/21/26 (b) | | 201,489 | 198,997 |
| Series 2021-2 Class A2, 0.48% 5/20/27 (b) | | 1,181,030 | 1,151,877 |
| Series 2022-3 Class A2, 4.38% 7/20/29 (b) | | 396,235 | 389,975 |
| Exeter Automobile Receivables: | | | |
| Series 2022-2A Class C, 3.85% 7/17/28 | | 1,285,000 | 1,253,194 |
| Series 2022-6A, Class A3, 5.7% 8/17/26 | | 170,000 | 169,799 |
| Series 2023-1A Class D, 6.69% 6/15/29 | | 80,000 | 79,285 |
| Firstkey Homes 2020-Sfr2 Series 2020-SFR2 Class D, 1.968% 10/19/37 (b) | | 1,100,000 | 1,002,866 |
| Ford Credit Auto Lease Trust Series 2022-A Class C, 4.18% 10/15/25 | | 2,030,000 | 1,990,774 |
| Ford Credit Auto Lease Trust 2 Series 2023-B: | | | |
| Class A2A, 5.9% 2/15/26 | | 1,429,000 | 1,431,852 |
| Class B, 6.2% 2/15/27 | | 250,000 | 251,108 |
| Class C, 6.43% 4/15/27 | | 475,000 | 476,313 |
| Ford Credit Auto Owner Trust: | �� | | |
| Series 2020-1: | | | |
Class A, 2.04% 8/15/31 (b) | | 2,000,000 | 1,915,657 |
Class B, 2.29% 8/15/31 (b) | | 740,000 | 706,160 |
| Series 2020-2 Class C, 1.74% 4/15/33 (b) | | 570,000 | 523,289 |
| Series 2020-B Class C, 2.04% 12/15/26 | | 1,270,000 | 1,254,949 |
| Series 2022-D, Class A2A, 5.37% 8/15/25 | | 2,415,992 | 2,413,575 |
| Series 2023-A Class B, 5.07% 1/15/29 | | 1,495,000 | 1,468,728 |
| Ford Credit Auto Owner Trust 2 Series 2023-B Class A2A, 5.57% 6/15/26 | | 3,000,000 | 2,998,217 |
| Ford Credit Floorplan Master Owner Trust: | | | |
| Series 2019-4 Class A, 2.44% 9/15/26 | | 5,000,000 | 4,873,380 |
| Series 2023-1: | | | |
Class C, 5.75% 5/15/28 (b) | | 405,000 | 398,902 |
Class D, 6.62% 5/15/28 (b) | | 485,000 | 477,409 |
| Fordl 2023-A Series 2023-A: | | | |
| Class A2A, 5.19% 6/15/25 | | 776,611 | 775,413 |
| Class C, 5.54% 12/15/26 | | 1,445,000 | 1,424,946 |
| FORDO Series 2022-B Class A2B, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.600% 5.924% 2/15/25 (c)(d) | | 472,954 | 472,972 |
| Freddie Mac STACR REMIC Trust Series 2023-HQA3 Class A1, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.850% 7.1724% 11/25/43 (b)(c)(d) | | 290,000 | 291,582 |
| GM Financial Automobile Leasing Series 2023-2 Class A2A, 5.44% 10/20/25 | | 243,286 | 242,775 |
| GM Financial Automobile Leasing Trust: | | | |
| Series 2023-1: | | | |
Class A3, 5.16% 4/20/26 | | 3,500,000 | 3,485,409 |
Class C, 5.76% 1/20/27 | | 955,000 | 944,526 |
| Series 2023-A Class A2A, 5.27% 6/20/25 | | 1,667,046 | 1,663,197 |
| Gm Financial Consumer Automobile Re: | | | |
| Series 2023-1 Class A2A, 5.19% 3/16/26 | | 881,691 | 879,164 |
| Series 2023-3 Class A2A, 5.74% 9/16/26 | | 2,000,000 | 2,000,721 |
| GM Financial Consumer Automobile Receivables: | | | |
| Series 2022-2 Class A2, 2.52% 5/16/25 | | 429,243 | 428,104 |
| Series 2023 2 Class A2A, 5.1% 5/18/26 | | 2,192,578 | 2,185,061 |
| GM Financial Consumer Automobile Receivables Trust: | | | |
| Series 2020-4 Class C, 1.05% 5/18/26 | | 420,000 | 403,875 |
| Series 2022-3 Class A2A, 3.5% 9/16/25 | | 2,389,987 | 2,379,051 |
| Gm Financial Leasing Trust 202 Series 2023-3 Class A2A, 5.58% 1/20/26 | | 3,000,000 | 2,997,510 |
| Gm Financial Securitized Term Series 2023-4 Class A2A, 5.89% 11/16/26 | | 3,000,000 | 3,006,673 |
| Goldentree Ln Management U.S. Clo 11 L Series 2021-11A Class A, CME Term SOFR 3 Month Index + 1.390% 6.8074% 10/20/34 (b)(c)(d) | | 1,365,000 | 1,362,417 |
| Hardee's Funding LLC / Carl's Jr. Funding LLC: | | | |
| Series 2018-1A: | | | |
Class A23, 5.71% 6/20/48 (b) | | 460,750 | 418,659 |
Class A2II, 4.959% 6/20/48 (b) | | 950,000 | 903,044 |
| Series 2020-1A Class A2, 3.981% 12/20/50 (b) | | 1,055,163 | 913,641 |
| Harot 2023-4 Series 2023-4 Class A2, 5.87% 6/22/26 | | 2,487,000 | 2,495,137 |
| Hilton Grand Vacations Trust Series 2020-AA: | | | |
| Class A, 2.74% 2/25/39 (b) | | 279,020 | 263,392 |
| Class B, 4.22% 2/25/39 (b) | | 429,886 | 414,967 |
| Hilton Grand Vacations Trust 2: | | | |
| Series 2022-1D Class A, 3.61% 6/20/34 (b) | | 242,605 | 231,284 |
| Series 2023-1A: | | | |
Class B, 6.11% 1/25/38 (b) | | 1,275,824 | 1,271,422 |
Class C, 6.94% 1/25/38 (b) | | 236,607 | 236,408 |
| Home Partners of America Trust Series 2022-1 Class A, 3.93% 4/17/39 (b) | | 1,511,687 | 1,421,284 |
| Honda Auto Receivables Series 2023-1 Class A2, 5.22% 10/21/25 | | 2,588,364 | 2,581,728 |
| Honda Auto Receivables 2023-3 Series 2023-3 Class A2, 5.71% 3/18/26 | | 2,302,000 | 2,303,993 |
| HPEFS Equipment Trust: | | | |
| Series 2021-2A Class D, 1.29% 3/20/29 (b) | | 575,000 | 555,578 |
| Series 2022-3A Class A2, 5.26% 8/20/29 (b) | | 1,600,406 | 1,596,929 |
| Hpefs Equipment Trust 2023-2 Series 2023-2A: | | | |
| Class C, 6.48% 1/21/31 (b) | | 210,000 | 211,096 |
| Class D, 6.97% 7/21/31 (b) | | 215,000 | 216,611 |
| HPEFS Equiptment Trust: | | | |
| Series 2023 1A Class C, 5.91% 4/20/28 (b) | | 535,000 | 531,097 |
| Series 2023-1A Class B, 5.73% 4/20/28 (b) | | 985,000 | 978,636 |
| Hyundai Auto Lease Securitizat: | | | |
| Series 2023-B Class A2A, 5.47% 9/15/25 (b) | | 582,384 | 581,227 |
| Series 2023-C Class A2A, 5.85% 3/16/26 (b) | | 2,757,000 | 2,764,038 |
| Hyundai Auto Lease Securitization Trust Series 2023-A Class A2A, 5.2% 4/15/25 (b) | | 1,304,325 | 1,300,735 |
| Hyundai Auto Receivables Trust: | | | |
| Series 2022-B Class A2A, 3.64% 5/15/25 | | 1,253,715 | 1,249,256 |
| Series 2022-C, Class A2A, 5.35% 11/17/25 | | 2,084,649 | 2,081,282 |
| Series 2023-B Class A2A, 5.77% 5/15/26 | | 2,294,000 | 2,294,723 |
| Series 2023-C Class A2A, 5.8% 1/15/27 | | 2,182,000 | 2,188,392 |
| John Deere Owner Trust: | | | |
| Series 2022-C Class A2, 4.98% 8/15/25 | | 1,068,904 | 1,065,862 |
| 3.73% 6/16/25 | | 1,917,101 | 1,908,922 |
| John Deere Owner Trust 2023-B Series 2023-B Class A2, 5.59% 6/15/26 | | 2,645,000 | 2,643,104 |
| Juniper Valley Park CLO LLC Series 2023-1A Class A1, CME Term SOFR 3 Month Index + 1.850% 7.2658% 7/20/35 (b)(c)(d) | | 2,000,000 | 2,002,362 |
| KKR CLO Ltd. / KKR CLO LLC Series 2021-29A Class A, CME Term SOFR 3 Month Index + 1.460% 6.8555% 1/15/32 (b)(c)(d) | | 1,250,000 | 1,245,651 |
| Madison Park Funding XXIII, Ltd. Series 2021-23A: | | | |
| Class AR, CME Term SOFR 3 Month Index + 1.230% 6.6191% 7/27/31 (b)(c)(d) | | 1,203,250 | 1,201,527 |
| Class BR, CME Term SOFR 3 Month Index + 1.810% 7.1991% 7/27/31 (b)(c)(d) | | 1,110,000 | 1,100,202 |
| Madison Park Funding XXXII, Ltd. / Madison Park Funding XXXII LLC Series 2021-32A Class A1R, CME Term SOFR 3 Month Index + 1.260% 6.6735% 1/22/31 (b)(c)(d) | | 3,229,000 | 3,218,528 |
| Madison Park Funding XXXIII Ltd. Series 2022-33A Class AR, CME Term SOFR 3 Month Index + 1.290% 6.6839% 10/15/32 (b)(c)(d) | | 1,910,000 | 1,901,271 |
| Madison Park Funding XXXV Ltd. / Madison Park Funding XXXV LLC Series 2021-35A Class A1R, CME Term SOFR 3 Month Index + 1.250% 6.6674% 4/20/32 (b)(c)(d) | | 1,650,000 | 1,640,892 |
| Magnetite XXV Ltd. Series 2020-25A Class A, CME Term SOFR 3 Month Index + 1.460% 6.8398% 1/25/32 (b)(c)(d) | | 1,600,000 | 1,600,512 |
| Mercedes-Benz Auto Receivables: | | | |
| Series 2022-1, Class A2, 5.26% 10/15/25 | | 1,777,721 | 1,775,338 |
| Series 2023-1 Class A2, 5.09% 1/15/26 | | 940,245 | 937,755 |
| Series 2023-2 Class A2, 5.92% 11/16/26 | | 1,970,000 | 1,977,031 |
| MFRA Trust Series 2021-INV1 Class A1, 0.852% 1/25/56 (b)(c) | | 168,810 | 152,416 |
| Midocean Credit Clo Xi Ltd. / Midoc Series 2023-11A: | | | |
| Class A1R, CME Term SOFR 3 Month Index + 1.730% 0% 10/18/33 (b)(c)(d) | | 530,000 | 530,000 |
| Class BR, CME Term SOFR 3 Month Index + 2.650% 0% 10/18/33 (b)(c)(d) | | 790,000 | 790,000 |
| MMAF Equipment Finance LLC Series 2022-B Class A2, 5.57% 9/9/25 (b) | | 1,113,123 | 1,110,389 |
| Mmaf Equipment Finance LLC 202 Series 2023-A Class A2, 5.79% 11/13/26 (b) | | 2,014,000 | 2,013,014 |
| MVW LLC: | | | |
| Series 2020-1A: | | | |
Class A, 1.74% 10/20/37 (b) | | 299,533 | 277,766 |
Class B, 2.73% 10/20/37 (b) | | 211,353 | 198,455 |
| Series 2023 1A Class A, 4.93% 10/20/40 (b) | | 1,024,878 | 1,005,778 |
| MVW Owner Trust Series 2021-1WA: | | | |
| Class B, 1.44% 1/22/41 (b) | | 81,311 | 74,030 |
| Class C, 1.94% 1/22/41 (b) | | 129,710 | 117,982 |
| Mvwot 2023-2A Series 2023-2A: | | | |
| Class A, 6.18% 11/20/40 (b) | | 880,000 | 886,401 |
| Class B, 6.33% 11/20/40 (b) | | 190,000 | 191,339 |
| Navient Private Education Loan Trust: | | | |
| Series 2019-D Class A2A, 3.01% 12/15/59 (b) | | 273,749 | 254,515 |
| Series 2020-CA Class A2A, 2.15% 11/15/68 (b) | | 1,820,476 | 1,670,975 |
| Navient Private Education Refi Loan Trust: | | | |
| Series 2019-A Class A2A, 3.42% 1/15/43 (b) | | 584,356 | 563,406 |
| Series 2019-GA Class A, 2.4% 10/15/68 (b) | | 207,310 | 190,888 |
| Series 2020-DA Class A, 1.69% 5/15/69 (b) | | 334,879 | 301,157 |
| Navient Student Loan Trust: | | | |
| Series 2017-A Class A2A, 2.88% 12/16/58 (b) | | 46,286 | 46,147 |
| Series 2019-EA Class A2A, 2.64% 5/15/68 (b) | | 513,938 | 484,033 |
| Navistar Financial Dealer Note Master Trust Series 2023-1 Class A, 6.18% 8/25/28 (b) | | 605,000 | 606,477 |
| Nelnet Student Loan Trust: | | | |
| Series 2005-4 Class A4, U.S. 90-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.440% 5.6826% 3/22/32 (c)(d) | | 347,836 | 329,627 |
| Series 2020-1A Class A, CME Term SOFR 1 Month Index + 0.850% 6.1974% 3/26/68 (b)(c)(d) | | 206,526 | 203,915 |
| Series 2021-CA Class AFX, 1.32% 4/20/62 (b) | | 1,008,751 | 894,485 |
| Series 2021-DA Class AFX, 1.63% 4/20/62 (b) | | 362,260 | 327,015 |
| Neuberger Berman Loan Advisers CLO 40, Ltd. / Neuberger Berman Loan Advisers CLO 40 LLC Series 2021-40A Class A, CME Term SOFR 3 Month Index + 1.320% 6.7155% 4/16/33 (b)(c)(d) | | 455,000 | 453,873 |
| Niagara Park CLO, Ltd. Series 2021-1A Class AR, CME Term SOFR 3 Month Index + 1.260% 6.6644% 7/17/32 (b)(c)(d) | | 4,100,000 | 4,086,003 |
| Nissan Auto Receivables 2023-B Series 2023-B Class A2A, 5.95% 5/15/26 | | 3,000,000 | 3,011,853 |
| OCP CLO Ltd. Series 2014-7A Class A1RR, CME Term SOFR 3 Month Index + 1.380% 6.7974% 7/20/29 (b)(c)(d) | | 1,591,585 | 1,590,635 |
| OCP CLO Ltd. / OCP CLO LLC Series 2021-13A Class A2R, CME Term SOFR 3 Month Index + 1.810% 7.2055% 7/15/30 (b)(c)(d) | | 1,320,000 | 1,308,442 |
| Octane Receivables Trust: | | | |
| Series 2021-2A Class A, 1.21% 9/20/28 (b) | | 209,865 | 203,809 |
| Series 2022-1A Class B, 4.9% 5/22/28 (b) | | 780,000 | 761,482 |
| Series 2023-1A Class A, 5.87% 5/21/29 (b) | | 166,707 | 166,194 |
| Octane Receivables Trust 2023- Series 2023-3A: | | | |
| Class B, 6.48% 7/20/29 (b) | | 230,000 | 231,261 |
| Class C, 6.74% 8/20/29 (b) | | 100,000 | 100,916 |
| Class D, 7.58% 9/20/29 (b) | | 100,000 | 101,242 |
| Palmer Square CLO, Ltd. Series 2021-3A Class A1AR, CME Term SOFR 3 Month Index + 1.340% 6.7213% 11/15/31 (b)(c)(d) | | 2,570,000 | 2,567,949 |
| Planet Fitness Master Issuer LLC Series 2018-1A Class A2II, 4.666% 9/5/48 (b) | | 1,477,250 | 1,427,648 |
| Progress Residential: | | | |
| Series 2020-SFR2 Class A, 2.078% 6/17/37 (b) | | 269,380 | 253,801 |
| Series 2022-SFR6 Class A, 4.451% 7/20/39 (b) | | 998,549 | 946,416 |
| Santander Bank, N.A.: | | | |
| Series 2021-1A Class B, 1.833% 12/15/31 (b) | | 69,756 | 68,168 |
| Series 2022-B Class C, 5.916% 8/16/32 (b) | | 156,793 | 156,121 |
| Series 2022-C Class A2, 6.024% 12/15/32 (b) | | 205,739 | 205,152 |
| Series 2022-C, Class B, 6.451% 12/15/32 (b) | | 773,394 | 773,077 |
| Santander Consumer Auto Receivables Trust 1.57% 1/15/27 (b) | | 801,000 | 742,317 |
| Santander Drive Auto Receivables Trust: | | | |
| Series 2021-4 Class D, 1.67% 10/15/27 | | 1,310,000 | 1,227,936 |
| Series 2022-2 Class C, 3.76% 7/16/29 | | 1,990,000 | 1,900,442 |
| Santander Retail Auto Lease Trust: | | | |
| Series 2021-A Class C, 1.14% 3/20/26 (b) | | 1,815,000 | 1,792,041 |
| Series 2021-C Class C, 1.11% 3/20/26 (b) | | 630,000 | 613,037 |
| Series 2022-B Class B, 3.85% 3/22/27 (b) | | 445,000 | 433,677 |
| SBA Tower Trust: | | | |
| Series 2019, 2.836% 1/15/50 (b) | | 1,590,000 | 1,530,631 |
| 1.631% 5/15/51 (b) | | 495,000 | 435,268 |
| 1.884% 7/15/50 (b) | | 365,000 | 333,825 |
| 6.599% 1/15/28 (b) | | 550,000 | 559,094 |
| Scf Equipment Leasing 2023-1 L Series 2023-1A: | | | |
| Class A2, 6.56% 1/22/30 (b) | | 205,000 | 205,561 |
| Class A3, 6.17% 5/20/32 (b) | | 430,000 | 433,554 |
| Sfs Auto Receivables Securitiz Series 2023-1A Class A2A, 5.89% 3/22/27 (b) | | 354,404 | 354,371 |
| Sierra Receivables Funding Co. LLC: | | | |
| Series 2019-1A Class A, 3.2% 1/20/36 (b) | | 60,232 | 59,498 |
| Series 2019-2A Class A, 2.59% 5/20/36 (b) | | 378,535 | 370,382 |
| Sierra Timeshare 2021-2 Receiv Series 2021-2A: | | | |
| Class B, 1.8% 9/20/38 (b) | | 222,511 | 207,203 |
| Class C, 1.95% 9/20/38 (b) | | 465,517 | 428,949 |
| Sierra Timeshare Receivables Funding LLC: | | | |
| Series 2019-3A Class A, 2.34% 8/20/36 (b) | | 89,921 | 85,588 |
| Series 2020-2A: | | | |
Class B, 2.32% 7/20/37 (b) | | 696,475 | 663,025 |
Class C, 3.51% 7/20/37 (b) | | 170,795 | 163,112 |
| Series 2021-1A Class B, 1.34% 11/20/37 (b) | | 123,746 | 116,274 |
| SMB Private Education Loan Trust: | | | |
| Series 2014-A Class A3, CME Term SOFR 1 Month Index + 1.610% 6.9374% 4/15/32 (b)(c)(d) | | 173,071 | 173,189 |
| Series 2016-C Class A2B, CME Term SOFR 1 Month Index + 1.210% 6.5374% 9/15/34 (b)(c)(d) | | 185,128 | 185,145 |
| Series 2018-B Class A2B, CME Term SOFR 1 Month Index + 0.830% 6.1574% 1/15/37 (b)(c)(d) | | 625,246 | 618,525 |
| Series 2020-BA Class A1A, 1.29% 7/15/53 (b) | | 225,266 | 200,783 |
| Series 2020-PTB Class A2A, 1.6% 9/15/54 (b) | | 1,396,850 | 1,244,881 |
| Sofi Consumer Loan Program Series 2023-1S Class A, 5.81% 5/15/31 (b) | | 525,468 | 524,385 |
| Symphony CLO XXI, Ltd. Series 2021-21A Class AR, CME Term SOFR 3 Month Index + 1.320% 6.7155% 7/15/32 (b)(c)(d) | | 3,117,000 | 3,107,303 |
| Symphony CLO XXIII Ltd. Series 2021-23A: | | | |
| Class AR, CME Term SOFR 3 Month Index + 1.280% 6.6755% 1/15/34 (b)(c)(d) | | 6,116,000 | 6,090,362 |
| Class BR, CME Term SOFR 3 Month Index + 1.860% 7.2555% 1/15/34 (b)(c)(d) | | 1,250,000 | 1,239,755 |
| Symphony CLO XXVI Ltd. / Symphony CLO XXVI LLC Series 2021-26A Class AR, CME Term SOFR 3 Month Index + 1.340% 6.7574% 4/20/33 (b)(c)(d) | | 465,000 | 463,372 |
| Symphony Static CLO Ltd. Series 2021-1A Class B, CME Term SOFR 3 Month Index + 1.710% 7.0898% 10/25/29 (b)(c)(d) | | 1,385,000 | 1,359,804 |
| TCI-Flatiron CLO Ltd. / LLC Series 2021-1A Class AR, CME Term SOFR 3 Month Index + 1.220% 6.591% 11/18/30 (b)(c)(d) | | 2,971,631 | 2,965,715 |
| Tesla Auto Lease Trust 2023-B Series 2023-B Class A2, 6.02% 9/22/25 (b) | | 883,000 | 884,106 |
| Tesla Auto Lease Trust 23-A Series 2023-A Class A2, 5.86% 8/20/25 (b) | | 2,292,000 | 2,292,024 |
| Towd Point Mortgage Trust: | | | |
| Series 2017-1 Class A1, 2.75% 10/25/56 (b)(c) | | 18,477 | 18,329 |
| Series 2019-1 Class A1, 3.75% 3/25/58 (b)(c) | | 440,924 | 412,252 |
| Toyota Auto Receivables Series 2022-D Class A2A, 5.27% 1/15/26 | | 2,534,804 | 2,531,151 |
| Toyota Auto Receivables 2022-B Series 2022-B Class A2B, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.490% 5.814% 1/15/25 (c)(d) | | 174,688 | 174,696 |
| Toyota Auto Receivables 2023-C Series 2023-C Class A2A, 5.6% 8/17/26 | | 2,550,000 | 2,548,859 |
| Toyota Auto Receivables 2023-D Series 2023-D Class A2A, 5.8% 11/16/26 | | 1,749,000 | 1,753,424 |
| Toyota Auto Receivables Owner Trust Series 2023-A Class A2, 5.05% 1/15/26 | | 1,734,991 | 1,730,501 |
| Toyota Lease Owner Trust 2023- Series 2023-B Class A2A, 5.73% 4/20/26 (b) | | 1,863,000 | 1,865,307 |
| Usaa Auto Owner Trust 2023-A Series 2023-A Class A2, 5.83% 7/15/26 (b) | | 1,834,000 | 1,835,083 |
| Verdant Receivables 2023-1 LLC Series 2023-1A Class A2, 6.24% 1/13/31 (b) | | 955,000 | 953,595 |
| Verizon Master Trust: | | | |
| Series 2022-5 Class A1A, 3.72% 7/20/27 | | 1,588,000 | 1,583,432 |
| Series 2023 2 Class A, 4.89% 4/13/28 | | 1,891,000 | 1,874,065 |
| Series 2023-5 Class A1A, 5.61% 9/8/28 | | 2,177,000 | 2,180,734 |
| Volkswagen Auto Lease Trust 20 Series 2023-A Class A2A, 5.87% 1/20/26 | | 3,000,000 | 3,006,569 |
| Volkswagen Auto Loan Enhanced: | | | |
| Series 2023-1 Class A2A, 5.5% 12/21/26 | | 2,674,000 | 2,671,215 |
| Series 2023-2 Class A2A, 5.72% 3/22/27 | | 2,464,000 | 2,470,753 |
| Volkswagen Auto Loan Enhanced Trust Series 2020-1 Class A4, 1.26% 8/20/26 | | 457,092 | 455,983 |
| Wheels Fleet Lease Funding 1 L Series 2023-2A Class A, 6.46% 8/18/38 (b) | | 1,325,000 | 1,334,972 |
| Wheels SPV LLC Series 2021-1A Class A, CME Term SOFR 1 Month Index + 0.390% 5.7256% 8/20/29 (b)(c)(d) | | 845,403 | 840,460 |
| World Omni Auto Receivables Trust: | | | |
| Series 2020-A Class C, 1.64% 8/17/26 | | 480,000 | 473,424 |
| Series 2022-A: | | | |
Class A3, 1.66% 5/17/27 | | 1,163,157 | 1,125,431 |
Class C, 2.55% 9/15/28 | | 600,000 | 556,929 |
| Series 2022-B, Class A2B, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.570% 5.894% 10/15/25 (c)(d) | | 882,687 | 882,783 |
| Series 2023-C Class A2A, 5.57% 12/15/26 | | 2,286,000 | 2,283,397 |
| Series 2023-D Class A2A, 5.91% 2/16/27 | | 1,322,000 | 1,326,265 |
| World Omni Automobile Lease Series 2023-A Class A2A, 5.47% 11/17/25 | | 461,636 | 460,845 |
| World Omni Select Auto Trust Series 2020-A: | | | |
| Class B, 0.84% 6/15/26 | | 214,356 | 212,725 |
| Class C, 1.25% 10/15/26 | | 585,000 | 570,179 |
| World Omni Select Auto Trust 2023 Series 2023-A Class B, 5.87% 8/15/28 | | 280,000 | 279,742 |
| TOTAL ASSET-BACKED SECURITIES (Cost $288,899,210) | | | 286,346,307 |
| | | | |
| Collateralized Mortgage Obligations - 0.9% |
| | | Principal Amount (a) | Value ($) |
| Private Sponsor - 0.8% | | | |
| Angel Oak Mortgage Trust: | | | |
| sequential payer: | | | |
Series 2021-1: | | | |
Class A1, 0.909% 1/25/66 (b) | | 483,628 | 402,076 |
Class A2, 1.115% 1/25/66 (b) | | 141,436 | 112,810 |
Series 2021-2 Class A1, 0.985% 4/25/66 (b) | | 424,647 | 338,155 |
| Series 2021-3 Class A1, 1.068% 5/25/66 (b) | | 323,787 | 265,391 |
| Series 2021-6 Class A3, 1.714% 9/25/66 (b) | | 376,715 | 292,047 |
| Angel Oak Mortgage Trust LLC: | | | |
| Series 2020-3 Class A3, 2.872% 4/25/65 (b)(c) | | 408,326 | 378,739 |
| Series 2022-2 Class A1, 3.353% 1/25/67 (b)(c) | | 1,633,815 | 1,443,040 |
| Bayview MSR Opportunity Master Fund Trust sequential payer: | | | |
| Series 2021-1 Class A5, 2.5% 12/25/51 (b) | | 766,770 | 641,633 |
| Series 2021-5 Class A5, 2.5% 11/25/51 (b) | | 1,516,337 | 1,278,473 |
| BINOM Securitization Trust sequential payer Series 2021-INV1: | | | |
| Class A2, 2.37% 6/25/56 (b) | | 1,023,464 | 859,743 |
| Class A3, 2.625% 6/25/56 (b) | | 321,087 | 269,679 |
| Brass PLC Series 2021-10A Class A1, 0.669% 4/16/69 (b)(c) | | 284,794 | 274,598 |
| BRAVO Residential Funding Trust sequential payer Series 2021-NQM3 Class A1, 1.699% 4/25/60 (b) | | 485,566 | 427,195 |
| Cfmt 2022-Ebo2 sequential payer Series 2022-EBO2 Class A, 3.169% 7/25/54 (b) | | 191,432 | 189,138 |
| CFMT 2022-Hb8 LLC sequential payer Series 2022-HB8 Class A, 3.75% 4/25/25 (b) | | 2,183,868 | 2,141,680 |
| CIM Trust Series 2021-INV1 Class A8, 2.5% 7/1/51 (b) | | 381,869 | 321,094 |
| Citigroup Mortgage Loan Trust Series 2020-EXP2 Class A3, 2.5% 8/25/50 (b) | | 193,943 | 156,181 |
| Colt Funding LLC Series 2021-1 Class A2, 1.167% 6/25/66 (b) | | 434,489 | 350,506 |
| COLT Mortgage Loan Trust sequential payer Series 2020-3 Class A1, 1.506% 4/27/65 (b) | | 60,529 | 55,618 |
| Connecticut Avenue Securities Trust floater Series 2022-R01 Class 1M1, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.000% 6.3281% 12/25/41 (b)(c)(d) | | 1,258,317 | 1,251,751 |
| Deephaven Residential Mortgage Trust: | | | |
| Series 2021-1 Class A2, 0.973% 5/25/65 (b) | | 80,514 | 72,202 |
| Series 2021-2 Class A3, 1.26% 4/25/66 (b) | | 193,917 | 162,874 |
| Ellington Financial Mortgage Trust: | | | |
| Series 2019-2 Class A3, 3.046% 11/25/59 (b) | | 72,648 | 67,186 |
| Series 2021-1: | | | |
Class A1, 0.797% 2/25/66 (b) | | 95,513 | 77,043 |
Class A3, 1.106% 2/25/66 (b) | | 79,594 | 64,535 |
| Series 2021-2: | | | |
Class A1, 0.931% 6/25/66 (b)(c) | | 264,361 | 207,712 |
Class A3, 1.291% 6/25/66 (b) | | 255,646 | 201,219 |
| Series 2021-3 Class A3, 1.55% 9/25/66 (b) | | 260,322 | 202,445 |
| Finance of America HECM Buyout sequential payer Series 2022-HB1 Class A, 2.6948% 2/25/32 (b)(c) | | 1,844,804 | 1,744,527 |
| Flagstar Mortgage Trust floater sequential payer Series 2020-1INV Class A11, CME Term SOFR 1 Month Index + 0.960% 6% 3/25/50 (b)(c)(d) | | 217,475 | 200,997 |
| Galton Funding Mortgage Trust: | | | |
| sequential payer: | | | |
Series 2019-H1 Class M1, 3.339% 10/25/59 (b) | | 600,000 | 554,243 |
Series 2020-H1 Class M1, 2.832% 1/25/60 (b) | | 625,000 | 443,955 |
| Series 2019-1: | | | |
Class A21, 4.5% 2/25/59 (b) | | 55,135 | 51,018 |
Class A32, 4% 2/25/59 (b) | | 27,870 | 25,080 |
| GMRF Mortgage Acquisition Co., LLC Series 2018-1 Class A33, 3.5% 11/25/57 (b) | | 54,232 | 46,583 |
| GS Mortgage-Backed Securites Trust: | | | |
| Series 2014-EB1A Class 2A1, 4.1544% 7/25/44 (b)(c) | | 6,249 | 6,121 |
| Series 2021-GR2 Class A6, 2.5% 2/25/52 (b)(c) | | 833,540 | 702,664 |
| GS Mortgage-Backed Securities Trust Series 2022-GR1 Class A5, 2.5% 6/25/52 (b) | | 1,626,686 | 1,357,236 |
| Imperial Fund Mortgage Trust: | | | |
| sequential payer Series 2022-NQM4 Class A1, 4.767% 6/25/67 (b) | | 1,397,535 | 1,342,141 |
| Series 2021-NQM2 Class A3, 1.516% 9/25/56 (b) | | 424,082 | 326,183 |
| J.P. Morgan Mortgage Trust Series 2020-INV1 Class A15, 3.5% 8/25/50 (b) | | 152,157 | 127,154 |
| MFRA Trust Series 2021-NQM2 Class A2, 1.317% 11/25/64 (b) | | 197,144 | 162,637 |
| Mill City Mortgage Loan Trust Series 2017-2 Class A1, 2.75% 7/25/59 (b) | | 6,311 | 6,267 |
| Morgan Stanley Residential Mor Series 2023-NQM1 Class A2, 7.53% 9/25/68 (b) | | 242,354 | 244,518 |
| New Residential Mortgage Loan Trust Series 2021-INV1 Class A6, 2.5% 6/25/51 (b) | | 498,913 | 423,609 |
| NMLT Trust sequential payer Series 2021-INV2 Class A3, 1.52% 8/25/56 (b) | | 365,390 | 288,890 |
| Obx 2023-Nqm10 Trust Series 2023-NQM10 Class A2, 6.92% 10/25/63 (b) | | 100,000 | 99,992 |
| Obx 2023-Nqm9 Trust Series 2023-NQM9 Class A2, 7.513% 10/25/63 (b) | | 98,944 | 99,994 |
| OBX Trust: | | | |
| floater Series 2020-EXP1 Class 2A2, CME Term SOFR 1 Month Index + 1.060% 6.4074% 2/25/60 (b)(c)(d) | | 175,363 | 164,714 |
| Series 2020-EXP1 Class 1A8, 3.5% 2/25/60 (b)(c) | | 318,905 | 267,283 |
| Series 2020-EXP2: | | | |
Class A8, 3% 5/25/60 (b) | | 396,038 | 320,965 |
Class A9, 3% 5/25/60 (b) | | 97,428 | 77,199 |
| Series 2020-INV1 Class A5, 3.5% 12/25/49 (b) | | 87,797 | 74,462 |
| Oceanview Mortgage Trust sequential payer Series 2021-2 Class A5, 2.5% 6/25/51 (b) | | 739,899 | 625,027 |
| Ocwen Ln Investment Trust 2023-Hb1 Series 2023-HB1 Class A, 3% 6/25/36 (b) | | 138,101 | 130,931 |
| Onslow Bay Financial LLC: | | | |
| floater Series 2019-EXP2 Class 2A2, CME Term SOFR 1 Month Index + 1.310% 5.5025% 6/25/59 (b)(c)(d) | | 120,357 | 116,167 |
| sequential payer Series 2021-NQM1 Class A2, 1.175% 2/25/66 (b) | | 285,881 | 228,804 |
| Residential Mortgage Loan Trust Series 2021-INV2 Class A7, 2.5% 9/25/51 (b) | | 1,455,127 | 1,233,229 |
| Sequoia Mortgage Trust: | | | |
| sequential payer Series 2018-CH2 Class A3, 4% 6/25/48 (b) | | 103,543 | 92,113 |
| Series 2018-CH2 Class A21, 4% 6/25/48 (b) | | 46,205 | 41,104 |
| Series 2018-CH3 Class A19, 4.5% 8/25/48 (b) | | 6,219 | 5,998 |
| SG Residential Mortgage Trust: | | | |
| sequential payer Series 2022-1 Class A1, 3.166% 3/27/62 (b) | | 1,092,983 | 955,295 |
| Series 2020-2 Class A1, 1.381% 5/25/65 (b) | | 159,278 | 138,456 |
| Starwood Mortgage Residential Trust: | | | |
| sequential payer Series 2019-INV1 Class A3, 2.916% 9/27/49 (b) | | 386,595 | 366,941 |
| Series 2020-1 Class A2, 2.408% 2/25/50 (b) | | 353,941 | 321,475 |
| Series 2021-2 Class A1, 0.943% 5/25/65 (b) | | 375,004 | 329,753 |
| Series 2021-4 Class A1, 1.162% 8/25/56 (b) | | 1,018,760 | 822,594 |
| Toorak Mortgage Corp. Series 2021-INV1 Class A2, 1.409% 7/25/56 (b) | | 183,794 | 154,968 |
| Towd Point Mortgage Trust: | | | |
| Series 2017-2 Class A1, 2.75% 4/25/57 (b)(c) | | 3,267 | 3,253 |
| Series 2017-3 Class A1, 2.75% 7/25/57 (b)(c) | | 101,460 | 99,053 |
| Verus Securitization Trust: | | | |
| sequential payer Series 2020-INV1 Class A1, 1.977% 3/25/60 (b) | | 35,545 | 35,030 |
| Series 2019-INV2 Class A2, 4.117% 7/25/59 (b) | | 200,147 | 193,347 |
| Series 2020-5 Class A3, 1.733% 5/25/65 (b) | | 119,664 | 109,008 |
| Series 2021-1: | | | |
Class A2, 1.052% 1/25/66 (b) | | 186,362 | 154,584 |
Class A3, 1.155% 1/25/66 (b) | | 110,123 | 90,832 |
| Series 2021-2 Class A1, 1.031% 2/25/66 (b) | | 276,274 | 228,765 |
| Series 2021-5 Class A3, 1.373% 9/25/66 (b) | | 350,812 | 271,483 |
| Series 2021-7 Class A1, 1.829% 10/25/66 (b) | | 1,379,064 | 1,153,460 |
| Series 2021-R1 Class A2, 1.057% 10/25/63 (b) | | 79,474 | 71,932 |
| Series 2021-R2 Class A1, 0.918% 2/25/64 (b) | | 288,749 | 250,308 |
| Series 2022-1 Class A3, 3.288% 1/25/67 (b) | | 1,590,981 | 1,346,351 |
| Series 2022-6 Class A1, 4.91% 6/25/67 (b) | | 563,708 | 548,015 |
| Verus Securitization Trust 2023-7 Series 2023-7 Class A2, 7.272% 10/25/68 (b) | | 178,277 | 179,259 |
| Verus Securitization Trust 2023-I Series 2023-INV3 Class A2, 7.33% 11/25/68 (b) | | 415,000 | 418,218 |
| Verus Securitization Trust 23- Series 2023-6 Class A2, 6.939% 9/25/68 (b) | | 442,091 | 441,808 |
| Vista Point Securitization Trust sequential payer Series 2020-2 Class A3, 2.496% 4/25/65 (b) | | 687,257 | 639,702 |
| Wells Fargo Mortgage Backed Securities Trust Series 2021-RR1 Class A3, 2.5% 12/25/50 (b)(c) | | 1,007,564 | 858,770 |
TOTAL PRIVATE SPONSOR | | | 34,319,228 |
| U.S. Government Agency - 0.1% | | | |
| Fannie Mae Series 2017-90 Class KA, 3% 11/25/47 | | 402,653 | 372,019 |
| Fannie Mae Connecticut Avenue Securities floater Series 2017-C05 Class 1ED3, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.310% 6.6426% 1/25/30 (c)(d) | | 8,907 | 8,907 |
| FHLMC Structured Agency Credit Risk Debt Notes floater Series 2014-DN3 Class M3, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 4.110% 9.4426% 8/25/24 (c)(d) | | 96,654 | 97,080 |
| Freddie Mac planned amortization class Series 3713 Class PA, 2% 2/15/40 | | 90,389 | 88,172 |
| Freddie Mac STACR REMIC Trust floater: | | | |
| Series 2021-DNA3 Class M2, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 2.100% 7.4281% 10/25/33 (b)(c)(d) | | 690,000 | 691,765 |
| Series 2021-DNA5 Class M2, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.650% 6.9781% 1/25/34 (b)(c)(d) | | 280,989 | 279,938 |
| Series 2021-DNA7 Class M2, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.800% 7.1281% 11/25/41 (b)(c)(d) | | 555,000 | 547,526 |
| Series 2022-DNA5 Class M1A, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 2.950% 8.2781% 6/25/42 (b)(c)(d) | | 1,024,346 | 1,049,144 |
| Freddie Mac Whole Loan Securities Trust Series 2017-SC02 Class M1, 3.8663% 5/25/47 (b)(c) | | 43,248 | 41,825 |
TOTAL U.S. GOVERNMENT AGENCY | | | 3,176,376 |
| TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $42,436,913) | | | 37,495,604 |
| | | | |
| Commercial Mortgage Securities - 2.0% |
| | | Principal Amount (a) | Value ($) |
| ALEN Mortgage Trust floater Series 2021-ACEN Class A, CME Term SOFR 1 Month Index + 1.260% 6.5875% 4/15/34 (b)(c)(d) | | 595,000 | 533,708 |
| Americold Realty Trust floater Series 2020-ICE5 Class B, CME Term SOFR 1 Month Index + 1.410% 6.7365% 11/15/37 (b)(c)(d) | | 1,705,489 | 1,681,891 |
| BAMLL Commercial Mortgage Securities Trust floater: | | | |
| Series 2021-JACX Class C, CME Term SOFR 1 Month Index + 2.110% 7.4375% 9/15/38 (b)(c)(d) | | 805,000 | 681,085 |
| Series 2022-DKLX Class A, CME Term SOFR 1 Month Index + 1.150% 6.473% 1/15/39 (b)(c)(d) | | 1,014,000 | 988,420 |
| Banc of America Merrill Lynch Large Loan, Inc. floater Series 2018-DSNY Class A, CME Term SOFR 1 Month Index + 1.100% 6.47% 9/15/34 (b)(c)(d) | | 970,000 | 965,449 |
| BANK Series 2019-BN19 Class A1, 2.263% 8/15/61 | | 141,102 | 132,216 |
| BCP Trust floater Series 2021-330N Class A, CME Term SOFR 1 Month Index + 0.910% 6.2365% 6/15/38 (b)(c)(d) | | 500,000 | 443,490 |
| BLOX Trust floater sequential payer Series 2021-BLOX Class A, CME Term SOFR 1 Month Index + 0.860% 6.1875% 9/15/26 (b)(c)(d) | | 2,040,000 | 1,957,791 |
| BPR Trust floater: | | | |
| Series 2021-TY Class B, CME Term SOFR 1 Month Index + 1.260% 6.5875% 9/15/38 (b)(c)(d) | | 780,000 | 745,495 |
| Series 2022-OANA Class A, CME Term SOFR 1 Month Index + 1.890% 7.2209% 4/15/37 (b)(c)(d) | | 3,529,000 | 3,467,172 |
| BSREP Commercial Mortgage Trust floater Series 2021-DC Class D, CME Term SOFR 1 Month Index + 2.010% 7.3375% 8/15/38 (b)(c)(d) | | 322,220 | 259,534 |
| BX Commercial Mortgage Trust floater: | | | |
| Series 2021-PAC Class A, CME Term SOFR 1 Month Index + 0.800% 6.1266% 10/15/36 (b)(c)(d) | | 1,872,000 | 1,827,937 |
| Series 2021-VINO Class A, CME Term SOFR 1 Month Index + 0.760% 6.0898% 5/15/38 (b)(c)(d) | | 1,209,325 | 1,186,534 |
| Series 2022-CSMO Class B, CME Term SOFR 1 Month Index + 3.140% 8.4636% 6/15/27 (b)(c)(d) | | 1,090,000 | 1,087,948 |
| Series 2022-LP2 Class A, CME Term SOFR 1 Month Index + 1.010% 6.3358% 2/15/39 (b)(c)(d) | | 2,104,560 | 2,053,729 |
| Bx Commercial Mortgage Trust 2: | | | |
| floater Series 2019-IMC Class B, CME Term SOFR 1 Month Index + 1.340% 6.6693% 4/15/34 (b)(c)(d) | | 603,734 | 597,471 |
| floater sequential payer Series 2019-IMC Class A, CME Term SOFR 1 Month Index + 1.040% 6.3693% 4/15/34 (b)(c)(d) | | 2,305,000 | 2,287,066 |
| BX Trust: | | | |
| floater: | | | |
Series 2019-XL Class B, CME Term SOFR 1 Month Index + 1.190% 6.5174% 10/15/36 (b)(c)(d) | | 382,500 | 379,587 |
Series 2021-ACNT Class A, CME Term SOFR 1 Month Index + 0.960% 6.2875% 11/15/38 (b)(c)(d) | | 1,838,000 | 1,802,246 |
Series 2021-ARIA Class C, CME Term SOFR 1 Month Index + 1.760% 7.0835% 10/15/36 (b)(c)(d) | | 590,000 | 564,821 |
Series 2021-BXMF Class A, CME Term SOFR 1 Month Index + 0.750% 6.0734% 10/15/26 (b)(c)(d) | | 1,609,468 | 1,573,605 |
Series 2022-GPA Class A, CME Term SOFR 1 Month Index + 2.160% 7.4879% 8/15/39 (b)(c)(d) | | 1,196,000 | 1,197,124 |
| floater sequential payer: | | | |
Series 2019-XL Class A, CME Term SOFR 1 Month Index + 1.030% 6.3574% 10/15/36 (b)(c)(d) | | 4,061,248 | 4,050,936 |
Series 2021-SOAR Class A, CME Term SOFR 1 Month Index + 0.780% 6.1075% 6/15/38 (b)(c)(d) | | 1,649,775 | 1,618,172 |
| CGDB Commercial Mortgage Trust floater Series 2019-MOB: | | | |
| Class A, CME Term SOFR 1 Month Index + 1.060% 6.3874% 11/15/36 (b)(c)(d) | | 1,033,000 | 1,015,261 |
| Class D, CME Term SOFR 1 Month Index + 1.760% 7.0874% 11/15/36 (b)(c)(d) | | 721,703 | 692,344 |
| Citigroup Commercial Mortgage Trust: | | | |
| sequential payer Series 2015-GC27 Class AAB, 2.944% 2/10/48 | | 865,835 | 854,745 |
| Series 2013-375P Class C, 3.6348% 5/10/35 (b)(c) | | 560,000 | 502,584 |
| COMM Mortgage Trust: | | | |
| Series 2014-CR15 Class B, 4.6788% 2/10/47 (c) | | 920,000 | 871,927 |
| Series 2014-CR19 Class AM, 4.08% 8/10/47 | | 1,846,434 | 1,786,329 |
| Series 2014-UBS2 Class B, 4.701% 3/10/47 | | 915,000 | 870,023 |
| Series 2015-CR22: | | | |
Class B, 3.926% 3/10/48 (c) | | 405,000 | 371,662 |
Class C, 4.2026% 3/10/48 (c) | | 740,000 | 655,552 |
| Commercial Mortgage Trust: | | | |
| sequential payer Series 2017-PANW Class A, 3.244% 10/10/29 (b) | | 100,000 | 89,861 |
| Series 2017-PANW Class D, 4.3428% 10/10/29 (b)(c) | | 345,000 | 289,639 |
| Credit Suisse Mortgage Trust: | | | |
| floater Series 2019-ICE4: | | | |
Class A, CME Term SOFR 1 Month Index + 1.020% 6.35% 5/15/36 (b)(c)(d) | | 5,471,388 | 5,459,052 |
Class C, CME Term SOFR 1 Month Index + 1.470% 6.8% 5/15/36 (b)(c)(d) | | 1,012,481 | 1,006,613 |
Class D, CME Term SOFR 1 Month Index + 1.640% 6.97% 5/15/36 (b)(c)(d) | | 778,064 | 771,735 |
| sequential payer Series 2020-NET Class A, 2.2569% 8/15/37 (b) | | 439,109 | 401,165 |
| Series 2020-NET Class D, 3.8277% 8/15/37 (b)(c) | | 985,000 | 857,679 |
| CSAIL Commercial Mortgage Trust: | | | |
| sequential payer Series 2015-C3 Class A4, 3.7182% 8/15/48 | | 670,000 | 640,861 |
| Series 2019-C16 Class A1, 2.3595% 6/15/52 | | 109,817 | 108,128 |
| CSMC Trust Series 2017-CHOP Class A, PRIME RATE - 2.300% 6.194% 7/15/32 (b)(c)(d) | | 1,855,466 | 1,769,024 |
| ELP Commercial Mortgage Trust floater Series 2021-ELP Class A, CME Term SOFR 1 Month Index + 0.810% 6.1385% 11/15/38 (b)(c)(d) | | 2,552,030 | 2,497,574 |
| Extended Stay America Trust floater Series 2021-ESH: | | | |
| Class A, CME Term SOFR 1 Month Index + 1.190% 6.5175% 7/15/38 (b)(c)(d) | | 809,784 | 800,376 |
| Class C, CME Term SOFR 1 Month Index + 1.810% 7.1375% 7/15/38 (b)(c)(d) | | 764,744 | 747,937 |
| Fontainebleau Miami Beach Trust: | | | |
| sequential payer Series 2019-FBLU Class A, 3.144% 12/10/36 (b) | | 515,000 | 495,672 |
| Series 2019-FBLU Class B, 3.447% 12/10/36 (b) | | 1,075,000 | 1,033,145 |
| Freddie Mac Series 2023-K753 Class A1, 4.6% 6/25/30 | | 575,000 | 565,764 |
| Great Wolf Trust floater Series 2019-WOLF: | | | |
| Class A, CME Term SOFR 1 Month Index + 1.140% 6.4715% 12/15/36 (b)(c)(d) | | 1,906,000 | 1,892,073 |
| Class C, CME Term SOFR 1 Month Index + 1.740% 7.0705% 12/15/36 (b)(c)(d) | | 600,000 | 592,768 |
| GS Mortgage Securities Corp. Trust floater Series 2021-ROSS Class B, CME Term SOFR 1 Month Index + 1.710% 7.0375% 5/15/26 (b)(c)(d) | | 685,000 | 532,236 |
| GS Mortgage Securities Trust floater Series 2021-IP Class A, CME Term SOFR 1 Month Index + 1.060% 6.3875% 10/15/36 (b)(c)(d) | | 1,087,000 | 1,043,067 |
| J.P. Morgan Chase Commercial Mortgage Securities Trust floater Series 2020-609M: | | | |
| Class B, CME Term SOFR 1 Month Index + 1.880% 7.4575% 10/15/33 (b)(c)(d) | | 995,000 | 887,353 |
| Class C, CME Term SOFR 1 Month Index + 2.280% 7.8575% 10/15/33 (b)(c)(d) | | 805,000 | 661,484 |
| JPMorgan Chase Commercial Mortgage Securities Trust floater Series 2019-BKWD: | | | |
| Class A, CME Term SOFR 1 Month Index + 1.610% 6.9375% 9/15/29 (b)(c)(d) | | 1,298,647 | 1,196,765 |
| Class C, CME Term SOFR 1 Month Index + 2.210% 7.5375% 9/15/29 (b)(c)(d)(f) | | 575,000 | 448,955 |
| KNDR Trust floater Series 2021-KIND Class C, CME Term SOFR 1 Month Index + 1.860% 7.1875% 8/15/38 (b)(c)(d) | | 972,968 | 902,940 |
| Life Financial Services Trust floater Series 2022-BMR2 Class A1, CME Term SOFR 1 Month Index + 1.290% 6.6182% 5/15/39 (b)(c)(d) | | 2,874,000 | 2,814,485 |
| LIFE Mortgage Trust floater Series 2021-BMR Class A, CME Term SOFR 1 Month Index + 0.810% 6.1375% 3/15/38 (b)(c)(d) | | 1,631,730 | 1,590,713 |
| Merit floater Series 2021-STOR Class A, CME Term SOFR 1 Month Index + 0.810% 6.1375% 7/15/38 (b)(c)(d) | | 907,000 | 889,343 |
| MHC Commercial Mortgage Trust floater Series 2021-MHC Class B, CME Term SOFR 1 Month Index + 1.210% 6.5384% 4/15/38 (b)(c)(d) | | 654,969 | 644,698 |
| Morgan Stanley Capital I Trust: | | | |
| floater: | | | |
Series 2018-BOP Class A, CME Term SOFR 1 Month Index + 0.890% 6.22% 8/15/33 (b)(c)(d) | | 3,654,512 | 3,033,185 |
Series 2019-NUGS Class D, CME Term SOFR 1 Month Index + 1.910% 7.2375% 12/15/36 (b)(c)(d) | | 510,000 | 181,436 |
| sequential payer Series 2014-150E Class A, 3.912% 9/9/32 (b) | | 1,325,000 | 1,063,430 |
| Open Trust 2023-Air sequential payer Series 2023-AIR Class A, CME Term SOFR 1 Month Index + 3.080% 8.4131% 10/15/28 (b)(c)(d) | | 646,000 | 646,000 |
| OPG Trust floater Series 2021-PORT Class A, CME Term SOFR 1 Month Index + 0.590% 5.9215% 10/15/36 (b)(c)(d) | | 2,705,831 | 2,634,499 |
| RLGH Trust floater Series 2021-TROT Class A, CME Term SOFR 1 Month Index + 0.910% 6.2375% 4/15/36 (b)(c)(d) | | 650,000 | 633,469 |
| Scg 2023-Nash Mtg Trust floater sequential payer Series 2023-NASH Class A, CME Term SOFR 1 Month Index + 2.390% 7.7217% 12/15/40 (b)(c)(d) | | 655,000 | 654,177 |
| SREIT Trust floater Series 2021-MFP Class A, CME Term SOFR 1 Month Index + 0.840% 6.1682% 11/15/38 (b)(c)(d) | | 1,753,000 | 1,720,507 |
| Wells Fargo Commercial Mortgage Trust Series 2015-NXS2 Class A2, 3.02% 7/15/58 | | 76,770 | 74,238 |
| TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $86,027,186) | | | 81,975,900 |
| | | | |
| Municipal Securities - 0.0% |
| | | Principal Amount (a) | Value ($) |
Golden State Tobacco Securitization Corp. Tobacco Settlement Rev. Series 2021 A1, 1.711% 6/1/24 (Cost $800,000) | | 800,000 | 783,714 |
| | | | |
| Bank Notes - 0.0% |
| | | Principal Amount (a) | Value ($) |
Fifth Third Bank, Cincinnati 2.25% 2/1/27 (Cost $470,364) | | 520,000 | 467,642 |
| | | | |
| Certificates of Deposit - 0.4% |
| | | Principal Amount (a) | Value ($) |
| Toronto-Dominion Bank yankee U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.670% 5.98% 3/25/24 (c)(d) | | 4,000,000 | 4,005,761 |
| Wells Fargo Bank NA U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.630% 5.94% 7/18/24 (c)(d) | | 10,000,000 | 10,013,905 |
| TOTAL CERTIFICATES OF DEPOSIT (Cost $14,000,000) | | | 14,019,666 |
| | | | |
| Commercial Paper - 0.2% |
| | | Principal Amount (a) | Value ($) |
| Bayer Corp. 5.93% 7/9/24 | | 4,000,000 | 3,856,011 |
| Harley-Davidson Financial Services, Inc. 0% 1/5/24 | | 1,740,000 | 1,730,030 |
| Targa Resources Corp. 0% 12/18/23 | | 1,740,000 | 1,735,474 |
| TOTAL COMMERCIAL PAPER (Cost $7,319,065) | | | 7,321,515 |
| | | | |
| Short-Term Funds - 58.3% |
| | | Shares | Value ($) |
| Short-Term Funds - 58.3% | | | |
| Baird Short-Term Bond Fund - Institutional Class | | 14,242,571 | 132,740,759 |
| Baird Ultra Short Bond Fund Institutional Class | | 36,036,320 | 363,246,108 |
| Fidelity SAI Short-Term Bond Fund (g) | | 14,762,227 | 141,274,508 |
| iShares Lehman 1-3 Year Treasury Bond ETF | | 2,891,089 | 236,057,417 |
| iShares Short Maturity Bond ETF | | 389,787 | 19,641,367 |
| iShares Short Treasury Bond ETF (h) | | 636,742 | 70,417,298 |
| iShares Ultra Short-Term Bond ETF (h) | | 4,327,427 | 218,426,878 |
| JPMorgan Ultra-Short Income ETF | | 7,534,812 | 379,302,436 |
| Morgan Stanley Institutional Fund Trust Ultra-Short Income Portfolio Class IR | | 9,322,934 | 93,136,112 |
| PIMCO Short-Term Fund Institutional Class | | 45,603,888 | 436,429,202 |
| SPDR Lehman 1-3 Month T-Bill ETF (h) | | 274,467 | 25,207,049 |
| T. Rowe Price Ultra Short-Term Bond Fund | | 51,167,993 | 255,328,285 |
| | | | |
| TOTAL SHORT-TERM FUNDS (Cost $2,385,128,667) | | | 2,371,207,419 |
| | | | |
| Money Market Funds - 2.5% |
| | | Shares | Value ($) |
| Fidelity Cash Central Fund 5.40% (i) | | 49,163,900 | 49,173,733 |
| Fidelity Investments Money Market Government Portfolio Institutional Class 5.28% (g)(j) | | 3,867,845 | 3,867,845 |
| Fidelity Securities Lending Cash Central Fund 5.39% (i)(k) | | 43,890,250 | 43,894,639 |
| State Street Institutional U.S. Government Money Market Fund Premier Class 5.31% (j) | | 3,768,324 | 3,768,324 |
| TOTAL MONEY MARKET FUNDS (Cost $100,704,541) | | | 100,704,541 |
| | | | |
| TOTAL INVESTMENT IN SECURITIES - 100.9% (Cost $4,137,808,188) | 4,101,493,555 |
NET OTHER ASSETS (LIABILITIES) - (0.9)% | (35,793,969) |
| NET ASSETS - 100.0% | 4,065,699,586 |
| | |
| Futures Contracts |
| | Number of contracts | Expiration Date | Notional Amount ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) |
| Purchased | | | | | |
| | | | | | |
| Treasury Contracts | | | | | |
| CBOT 2-Year U.S. Treasury Note Contracts (United States) | 691 | Mar 2024 | 141,282,508 | 366,113 | 366,113 |
| | | | | | |
| Sold | | | | | |
| | | | | | |
| Treasury Contracts | | | | | |
| CBOT 10-Year U.S. Treasury Note Contracts (United States) | 142 | Mar 2024 | 15,591,156 | (67,874) | (67,874) |
| CBOT 5-Year U.S. Treasury Note Contracts (United States) | 48 | Mar 2024 | 5,128,875 | (37,568) | (37,568) |
| CBOT Ultra 10-Year U.S. Treasury Note Contracts (United States) | 116 | Mar 2024 | 13,167,813 | (72,665) | (72,665) |
| CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States) | 21 | Mar 2024 | 2,583,000 | (48,920) | (48,920) |
| | | | | | |
| TOTAL SOLD | | | | | (227,027) |
| | | | | | |
| TOTAL FUTURES CONTRACTS | | | | | 139,086 |
| The notional amount of futures purchased as a percentage of Net Assets is 3.5% |
| The notional amount of futures sold as a percentage of Net Assets is 0.9% |
Security Type Abbreviations
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 $497,261,687 or 12.2% of net assets. |
| (c) | Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. |
| (d) | Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors. |
| (e) | Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $911,374. |
| (h) | Security or a portion of the security is on loan at period end. |
| (i) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
| (j) | The rate quoted is the annualized seven-day yield of the fund at period end. |
| (k) | Investment made with cash collateral received from securities on loan. |
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
| Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
| Fidelity Cash Central Fund 5.40% | 46,939,868 | 249,147,083 | 246,913,218 | 821,709 | - | - | 49,173,733 | 0.1% |
| Fidelity Securities Lending Cash Central Fund 5.39% | 4,014,457 | 1,385,547,827 | 1,345,667,645 | 59,729 | - | - | 43,894,639 | 0.2% |
| Total | 50,954,325 | 1,634,694,910 | 1,592,580,863 | 881,438 | - | - | 93,068,372 | |
| | | | | | | | | |
Amounts in the dividend 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.
Amounts in the dividend income column 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.
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
Affiliated Underlying Funds
Fiscal year to date information regarding the Fund's investments in affiliated Underlying Funds is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur. If an Underlying Funds changes its name, the name presented below is the name in effect at period end.
| Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) |
| Fidelity Investments Money Market Government Portfolio Institutional Class 5.28% | 141,768,749 | 125,397,238 | 263,298,142 | 1,427,748 | - | - | 3,867,845 |
| Fidelity SAI Short-Term Bond Fund | 148,312,401 | 2,576,568 | 10,002,055 | 2,574,513 | (522,515) | 910,109 | 141,274,508 |
| | 290,081,150 | 127,973,806 | 273,300,197 | 4,002,261 | (522,515) | 910,109 | 145,142,353 |
Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
Investment Valuation
The following is a summary of the inputs used, as of November 30, 2023, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
| Valuation Inputs at Reporting Date: |
| Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | | | | |
|
| Corporate Bonds | 845,451,547 | - | 845,451,547 | - |
|
| U.S. Government and Government Agency Obligations | 323,064,541 | - | 323,064,541 | - |
|
| U.S. Government Agency - Mortgage Securities | 32,655,159 | - | 32,655,159 | - |
|
| Asset-Backed Securities | 286,346,307 | - | 286,346,307 | - |
|
| Collateralized Mortgage Obligations | 37,495,604 | - | 37,495,604 | - |
|
| Commercial Mortgage Securities | 81,975,900 | - | 81,526,945 | 448,955 |
|
| Municipal Securities | 783,714 | - | 783,714 | - |
|
| Bank Notes | 467,642 | - | 467,642 | - |
|
| Certificates of Deposit | 14,019,666 | - | 14,019,666 | - |
|
| Commercial Paper | 7,321,515 | - | 7,321,515 | - |
|
| Short-Term Funds | 2,371,207,419 | 2,371,207,419 | - | - |
|
| Money Market Funds | 100,704,541 | 100,704,541 | - | - |
| Total Investments in Securities: | 4,101,493,555 | 2,471,911,960 | 1,629,132,640 | 448,955 |
Derivative Instruments: Assets | | | | |
Futures Contracts | 366,113 | 366,113 | - | - |
| Total Assets | 366,113 | 366,113 | - | - |
| Liabilities | | | | |
Futures Contracts | (227,027) | (227,027) | - | - |
| Total Liabilities | (227,027) | (227,027) | - | - |
| Total Derivative Instruments: | 139,086 | 139,086 | - | - |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of November 30, 2023. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
Primary Risk Exposure / Derivative Type | Value |
| Asset ($) | Liability ($) |
| Interest Rate Risk | | |
Futures Contracts (a) | 366,113 | (227,027) |
| Total Interest Rate Risk | 366,113 | (227,027) |
| Total Value of Derivatives | 366,113 | (227,027) |
(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).
| Statement of Assets and Liabilities |
| | | | November 30, 2023 (Unaudited) |
| | | | | |
| Assets | | | | |
| Investment in securities, at value (including securities loaned of $42,939,848) - See accompanying schedule: | | | | |
Unaffiliated issuers (cost $3,893,658,450) | $ | 3,863,282,830 | | |
Fidelity Central Funds (cost $93,068,372) | | 93,068,372 | | |
Other affiliated issuers (cost $151,081,366) | | 145,142,353 | | |
| | | | | |
| | | | | |
| Total Investment in Securities (cost $4,137,808,188) | | | $ | 4,101,493,555 |
| Foreign currency held at value (cost $246) | | | | 262 |
| Receivable for investments sold | | | | 50,917,489 |
| Receivable for fund shares sold | | | | 2,917,633 |
| Interest receivable | | | | 10,293,316 |
| Distributions receivable from Fidelity Central Funds | | | | 176,202 |
| Receivable for daily variation margin on futures contracts | | | | 62,094 |
| Prepaid expenses | | | | 3,284 |
| Other receivables | | | | 96,314 |
Total assets | | | | 4,165,960,149 |
| Liabilities | | | | |
| Payable to custodian bank | $ | 43,723 | | |
| Payable for investments purchased | | 44,067,671 | | |
| Payable for fund shares redeemed | | 9,032,203 | | |
| Distributions payable | | 3,014,333 | | |
| Accrued management fee | | 98,244 | | |
| Other payables and accrued expenses | | 132,289 | | |
| Collateral on securities loaned | | 43,872,100 | | |
| Total Liabilities | | | | 100,260,563 |
| Net Assets | | | $ | 4,065,699,586 |
| Net Assets consist of: | | | | |
| Paid in capital | | | $ | 4,191,158,038 |
| Total accumulated earnings (loss) | | | | (125,458,452) |
| Net Assets | | | $ | 4,065,699,586 |
Net Asset Value, offering price and redemption price per share ($4,065,699,586 ÷ 411,535,332 shares) | | | $ | 9.88 |
| Statement of Operations |
| | | | Six months ended November 30, 2023 (Unaudited) |
| Investment Income | | | | |
| Dividends: | | | | |
| Unaffiliated issuers | | | $ | 56,618,828 |
| Affiliated issuers | | | | 4,002,261 |
| Interest | | | | 38,517,551 |
| Income from Fidelity Central Funds (including $59,729 from security lending) | | | | 881,438 |
| Total Income | | | | 100,020,078 |
| Expenses | | | | |
| Management fee | $ | 6,101,053 | | |
| Custodian fees and expenses | | 19,495 | | |
| Independent trustees' fees and expenses | | 13,002 | | |
| Registration fees | | 44,473 | | |
| Audit | | 32,082 | | |
| Legal | | 3,647 | | |
| Miscellaneous | | 10,168 | | |
| Total expenses before reductions | | 6,223,920 | | |
| Expense reductions | | (5,369,590) | | |
| Total expenses after reductions | | | | 854,330 |
| Net Investment income (loss) | | | | 99,165,748 |
| Realized and Unrealized Gain (Loss) | | | | |
| Net realized gain (loss) on: | | | | |
| Investment Securities: | | | | |
| Unaffiliated issuers | | (9,088,800) | | |
| Affiliated issuers | | (522,515) | | |
| Futures contracts | | (864,232) | | |
| Total net realized gain (loss) | | | | (10,475,547) |
| Change in net unrealized appreciation (depreciation) on: | | | | |
| Investment Securities: | | | | |
| Unaffiliated issuers | | 26,988,114 | | |
| Affiliated issuers | | 910,109 | | |
| Assets and liabilities in foreign currencies | | 5 | | |
| Futures contracts | | 408,392 | | |
| Total change in net unrealized appreciation (depreciation) | | | | 28,306,620 |
| Net gain (loss) | | | | 17,831,073 |
| Net increase (decrease) in net assets resulting from operations | | | $ | 116,996,821 |
| Statement of Changes in Net Assets |
| |
| | Six months ended November 30, 2023 (Unaudited) | | Year ended May 31, 2023 |
| Increase (Decrease) in Net Assets | | | | |
| Operations | | | | |
| Net investment income (loss) | $ | 99,165,748 | $ | 133,899,239 |
| Net realized gain (loss) | | (10,475,547) | | (70,056,347) |
| Change in net unrealized appreciation (depreciation) | | 28,306,620 | | 27,578,800 |
| Net increase (decrease) in net assets resulting from operations | | 116,996,821 | | 91,421,692 |
| Distributions to shareholders | | (96,309,549) | | (131,562,158) |
| | | | | |
| Share transactions | | | | |
| Proceeds from sales of shares | | 521,514,759 | | 2,679,155,241 |
| Reinvestment of distributions | | 77,675,967 | | 102,997,070 |
| Cost of shares redeemed | | (876,319,149) | | (4,199,251,103) |
| | | | | |
Net increase (decrease) in net assets resulting from share transactions | | (277,128,423) | | (1,417,098,792) |
| Total increase (decrease) in net assets | | (256,441,151) | | (1,457,239,258) |
| | | | | |
| Net Assets | | | | |
| Beginning of period | | 4,322,140,737 | | 5,779,379,995 |
| End of period | $ | 4,065,699,586 | $ | 4,322,140,737 |
| | | | | |
| Other Information | | | | |
| Shares | | | | |
| Sold | | 53,034,311 | | 273,102,994 |
| Issued in reinvestment of distributions | | 7,892,704 | | 10,502,359 |
| Redeemed | | (89,096,871) | | (428,307,418) |
| Net increase (decrease) | | (28,169,856) | | (144,702,065) |
| | | | | |
Financial Highlights
| Strategic Advisers® Short Duration Fund |
| |
| | Six months ended (Unaudited) November 30, 2023 | | Years ended May 31, 2023 | | 2022 | | 2021 | | 2020 | | 2019 |
Selected Per-Share Data | | | | | | | | | | | | |
| Net asset value, beginning of period | $ | 9.83 | $ | 9.89 | $ | 10.13 | $ | 10.06 | $ | 10.04 | $ | 10.03 |
| Income from Investment Operations | | | | | | | | | | | | |
Net investment income (loss) A,B | | .228 | | .296 | | .075 | | .106 | | .229 | | .254 |
| Net realized and unrealized gain (loss) | | .043 | | (.052) | | (.230) | | .081 | | .020 | | .018 |
| Total from investment operations | | .271 | | .244 | | (.155) | | .187 | | .249 | | .272 |
| Distributions from net investment income | | (.217) | | (.304) | | (.085) | | (.112) | | (.229) | | (.259) |
| Distributions from net realized gain | | (.004) | | - | | - | | (.005) | | - | | (.003) |
| Total distributions | | (.221) | | (.304) | | (.085) | | (.117) | | (.229) | | (.262) |
| Net asset value, end of period | $ | 9.88 | $ | 9.83 | $ | 9.89 | $ | 10.13 | $ | 10.06 | $ | 10.04 |
Total Return C | | 2.79% | | 2.52% | | (1.54)% | | 1.86% | | 2.51% | | 2.75% |
Ratios to Average Net Assets B,D,E | | | | | | | | | | | | |
| Expenses before reductions | | .29% F | | .30% | | .30% | | .30% | | .30% | | .32% |
| Expenses net of fee waivers, if any | | .04% F | | .05% | | .05% | | .05% | | .05% | | .07% |
| Expenses net of all reductions | | .04% F | | .05% | | .05% | | .05% | | .05% | | .07% |
| Net investment income (loss) | | 4.63% F | | 3.01% | | .74% | | 1.05% | | 2.28% | | 2.54% |
| Supplemental Data | | | | | | | | | | | | |
| Net assets, end of period (000 omitted) | $ | 4,065,700 | $ | 4,322,141 | $ | 5,779,380 | $ | 6,180,788 | $ | 8,049,040 | $ | 7,144,753 |
Portfolio turnover rate G | | 40% F | | 49% | | 43% | | 102% | | 58% | | 33% |
ACalculated based on average shares outstanding during the period.
BNet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
CTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
DFees 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.
EExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
FAnnualized.
GAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
For the period ended November 30, 2023
1. Organization.
Strategic Advisers Short Duration Fund (the Fund) is a fund of Fidelity Rutland Square Trust II (the Trust), and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust. The Fund is offered exclusively to certain managed account clients of Strategic Advisers LLC (Strategic Advisers), an affiliate of Fidelity Management & Research Company LLC (FMR).
2. Significant Accounting Policies.
The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services 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 the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.
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 - unadjusted 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 services or from brokers who make markets in such securities. Corporate bonds, bank notes, municipal securities, U.S. government and government agency obligations, commercial paper and certificates of deposit are valued by pricing services 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 services who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. 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 service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day but the exchange reports a closing bid level, ETFs are valued at the closing bid and would be categorized as Level 1 in the hierarchy. In the event there was no closing bid, ETFs may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and may be categorized as Level 2 in the hierarchy.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. If an unaffiliated open-end mutual fund's NAV is unavailable, shares of that fund may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and is categorized as Level 2 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of November 30, 2023 is included at the end of the Fund's Schedule of Investments.
Foreign Currency. Certain Funds may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.
Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received, and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and include proceeds received from litigation. Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of a fund include an amount in addition to trade execution, which may be rebated back to a fund. Any such rebates are included in net realized gain (loss) on investments in the Statement of Operations. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Income and capital gain distributions from any underlying mutual funds or exchange-traded funds (ETFs) are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan) for certain Funds, certain independent Trustees have elected to defer receipt of a portion of their annual compensation. Deferred amounts are invested in affiliated mutual funds, are marked-to-market and remain in a fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees presented below are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, as applicable.
| Strategic Advisers Short Duration Fund | $96,314 |
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.
Distributions are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to the short-term gain distributions from the underlying mutual funds or exchange-traded funds (ETFs), futures contracts, market discount, capital loss carryforwards, and losses deferred due to wash sales.
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
| Gross unrealized appreciation | $14,705,532 |
| Gross unrealized depreciation | (46,544,608) |
| Net unrealized appreciation (depreciation) | $(31,839,076) |
| Tax cost | $4,133,471,717 |
Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of prior fiscal period end and is subject to adjustment.
Short-term | $(20,362,314) |
Long-term | (64,201,238) |
| Total capital loss carryforward | $(84,563,552) |
Restricted Securities (including Private Placements). Funds may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities held at period end is included at the end of the Schedule of Investments, if applicable.
3. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund's investment objectives allow for various types of derivative instruments, 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.
Derivatives were used 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 objectives may not be achieved.
Derivatives were used to increase or decrease exposure to the following risk(s):
| | |
| 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. |
Funds are also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that a 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 a fund. Counterparty credit risk related to exchange-traded 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. Futures contracts were used to manage 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 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 unless an average notional amount is presented. Any securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Any 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, U.S. government securities and in-kind transactions, as applicable, are noted in the table below.
| | Purchases ($) | Sales ($) |
| Strategic Advisers Short Duration Fund | 649,184,981 | 1,019,347,177 |
5. Fees and Other Transactions with Affiliates.
Management Fee. Strategic Advisers (the investment adviser) provides the Fund with investment management related services. For these services, the Fund pays a monthly management fee to the investment adviser. The management fee is calculated by adding the annual management fee rate of .25% of the Fund's average net assets throughout the month to the aggregate of the fee rates, payable monthly by the investment adviser, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed .55% of the Fund's average net assets. For the reporting period, the total annualized management fee rate was .28% of the Fund's average net assets.
During the period, the investment adviser waived a portion of its management fee as described in the Expense Reductions note.
Sub-Advisers. FIAM LLC (an affiliate of the investment adviser) and T. Rowe Price Associates, Inc. each served as a sub-adviser for the Fund during the period. Sub-advisers provide discretionary investment advisory services for their allocated portion of the Fund's assets and are paid as described in the Management Fee note.
Interfund Trades. Funds may purchase from or sell securities to other funds affiliated with each sub-adviser under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. During the period, there were no interfund trades.
6. Investments in Fidelity Central Funds.
Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.
| Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense RatioA |
| Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |
A Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.
7. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below. During the period, there were no borrowings on this line of credit.
| | Amount |
| Strategic Advisers Short Duration Fund | $3,591 |
8. Security Lending.
Funds lend portfolio securities from time to time in order to earn additional income. Lending agents are used, including National Financial Services (NFS), an affiliate of the investment adviser. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of a fund's daily lending revenue, for its services as lending agent. A fund may lend securities to certain qualified borrowers, including NFS. On the settlement date of the loan, a fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of a fund and any additional required collateral is delivered to a fund on the next business day. A fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund may apply collateral received from the borrower against the obligation. A fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Affiliated security lending activity, if any, was as follows:
| | Total Security Lending Fees Paid to NFS | Security Lending Income From Securities Loaned to NFS | Value of Securities Loaned to NFS at Period End |
| Strategic Advisers Short Duration Fund | $6,465 | $- | $- |
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, 2026. During the period, this waiver reduced the Fund's management fee by $5,356,241.
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 $13,349.
10. Other.
A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.
11. Risk and Uncertainties.
Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as pandemics, epidemics, outbreaks of infectious diseases, war, terrorism, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer. Significant concentrations in security types, issuers, industries, sectors, and geographic locations may magnify the factors that affect a fund's performance.
As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
| The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (June 1, 2023 to November 30, 2023). |
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| | | | | Annualized Expense Ratio- A | | Beginning Account Value June 1, 2023 | | Ending Account Value November 30, 2023 | | Expenses Paid During Period- C June 1, 2023 to November 30, 2023 |
| | | | | | | | | | |
| Strategic Advisers® Short Duration Fund | | | | .04% | | | | | | |
| Actual | | | | | | $ 1,000 | | $ 1,027.90 | | $ .20 |
Hypothetical-B | | | | | | $ 1,000 | | $ 1,024.80 | | $ .20 |
| |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B 5% return per year before expenses
C Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/ 366 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.
Board Approval of Amended Sub-Advisory Agreement
Strategic Advisers Short Duration Fund
In June 2023, the Board of Trustees, including the Independent Trustees (together, the Board) voted to approve an amendment to the fee schedule for the existing sub-advisory agreement among Strategic Advisers, FIAM LLC (the Sub-Adviser) and Fidelity Rutland Square Trust II (Trust) on behalf of the fund. The Board noted that the updated fee schedule in the Amended Sub-Advisory Agreement became effective as of April 1, 2023 and will result in the same or lower fees at all asset levels. The Board also noted that no other material contract terms are impacted by the Amended Sub-Advisory Agreement. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, considered a broad range of information.
In considering whether to approve the Amended Sub-Advisory Agreement, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the approval of the Amended Sub-Advisory Agreement is in the best interests of the fund and its shareholders and that the approval of such agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. The Board's decision to approve the Amended Sub-Advisory Agreement was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board. In addition, individual Trustees did not necessarily attribute the same weight or importance to each factor.
Nature, Extent, and Quality of Services Provided. The Board considered the backgrounds of the investment personnel that provide services to the fund, the fund's investment objective, strategies and related investment philosophy, the current sub-adviser line-up, and the structure of the investment personnel compensation programs and whether such structure provides appropriate incentives to act in the best interests of the fund in connection with its annual renewal of the fund's management contract, sub-advisory agreements and sub-subadvisory agreements at its September 2022 meeting. The Board considered the detailed information provided by Strategic Advisers and the Sub-Adviser with respect to the fund and the other funds it sub-advises in the June 2023 annual contract renewal materials.
The Board noted that it had approved the existing sub-advisory agreement with the Sub-Adviser at its September 2022 meeting and that the Amended Sub-Advisory Agreement will not result in any changes to: (i) the nature, extent and quality of the sub-advisory services provided; (ii) the investment process or strategies employed in the management of the fund's assets; or (iii) the day-to-day management of the fund or the persons primarily responsible for such management.
Investment Performance. The Board did not consider performance to be a material factor in its decision to approve the Amended Sub-Advisory Agreement because the approval of the Amended Sub-Advisory Agreement will not result in any changes (i) to the fund's investment processes or strategies; or (ii) in the persons primarily responsible for the day-to-day management of the fund.
Based on its review, the Board concluded that the nature, extent, and quality of services that will be provided to the fund under the Amended Sub-Advisory Agreement should continue to benefit the fund's shareholders.
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 also 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 projected total expenses bear a reasonable relationship to the services that the fund and its shareholders will receive and the other factors considered.
Costs of the Services and Profitability. Because 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 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 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 with respect to the mandate 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 is not expected to bear any additional expenses as a result of the Amended Sub-Advisory Agreement.
Conclusion. Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that 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. 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.
Board Approval of Investment Advisory Contracts and Management Fees
Strategic Advisers Short Duration Fund
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), considers the renewal of the fund's management contract with Strategic Advisers LLC (Strategic Advisers), the sub-advisory agreements with FIAM LLC and T. Rowe Price Associates, Inc. (each a Sub-Adviser and collectively, the Sub-Advisers) (collectively, the Sub-Advisory Agreements), and the sub-sub-advisory agreements with FMR Investment Management (UK) Limited, Fidelity Management & Research (Japan) Limited, Fidelity Management & Research (Hong Kong) Limited, T. Rowe Price International Ltd., and T. Rowe Price Hong Kong Limited (collectively, the Sub-Sub-Advisory Agreements and, together with the management contract and the Sub-Advisory Agreements, the Advisory Contracts) for the fund. Strategic Advisers and the Sub-Advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.
The Board meets at least four times per year and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The full Board or the Independent Trustees, as appropriate, act on all major matters; however, a portion of the activities of the Board (including certain of those described herein) may be conducted through standing committees that have been established by the Board. The Board, acting directly and through its committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts.
At its September 2023 meeting, the Board, including the Independent Trustees, unanimously determined to renew the fund's Advisory Contracts. In reaching its determination to renew the fund's Advisory Contracts, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness relative to peer funds of the fund's management fee and total expenses; (iii) the total costs of the services provided by and the profits, if any, realized by Strategic Advisers from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and are realized as the fund grows and whether any economies of scale are appropriately shared with fund shareholders. 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.
The Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts is in the best interests of the fund and its shareholders. In addition, the Board concluded that the renewal of each Sub-Advisory Agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees charged under the Advisory Contracts bear a reasonable relationship to the services rendered.
Nature, Extent, and Quality of Services Provided. The Board considered the staffing within the Investment Advisers, including the backgrounds of the fund's investment personnel and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Strategic Advisers' investment operations and investment groups. The Board considered the structure of each Investment Adviser's investment personnel compensation program and whether such structures provide appropriate incentives to act in the best interests of the fund.
The Trustees also discussed with representatives of Strategic Advisers, at meetings throughout the year, Strategic Advisers' role in, among other things, (i) setting, implementing and monitoring the investment strategies for the funds; (ii) identifying and recommending sub-advisers for the funds; (iii) overseeing compliance with federal securities laws by each sub-adviser with respect to the portion of fund assets allocated to the sub-adviser; (iv) monitoring and overseeing the performance and investment capabilities of each sub-adviser; and (v) recommending the replacement of a sub-adviser as appropriate. The Trustees considered that the Board had received from Strategic Advisers substantial information and periodic reports about Strategic Advisers' sub-adviser oversight and due diligence processes, as well as periodic reports regarding the performance of each sub-adviser.
The Board also considered the nature, extent and quality of services provided by each Sub-Adviser. The Trustees noted that under the Sub-Advisory Agreements subject to oversight by Strategic Advisers, each Sub-Adviser is responsible for, among other things, identifying investments for the portion of fund assets allocated to the Sub-Adviser, if any, and executing portfolio transactions to implement its investment strategy. In addition, the Trustees noted that each Sub-Adviser is responsible for providing such reporting as may be requested from Strategic Advisers to fulfill its oversight responsibilities discussed above.
Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of the Investment Advisers' investment staffs, their use of technology, and the Investment Advisers' approach to managing and compensating investment personnel. The Board noted that the Investment Advisers' analysts have extensive resources, tools, and capabilities that allow them to conduct sophisticated quantitative and/or fundamental analysis. Additionally, in its deliberations, the Board considered the Investment Advisers' trading capabilities and resources and global compliance infrastructure, which are integral parts of the investment management process.
Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of administrative and shareholder services performed by Strategic Advisers and its affiliates under the management contract and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of Strategic Advisers' supervision of third party service providers, including sub-advisers, custodians and subcustodians; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.
Investment Performance. In connection with the renewal of the Advisory Contracts, the Board considered annualized return information for the fund over 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. The Board also considered information about performance attribution. In its discussions with representatives of Strategic Advisers regarding fund performance, the Board gave particular attention to information indicating underperformance of certain funds over different time periods and discussed with Strategic Advisers the reasons for any such underperformance.
In addition to reviewing absolute and relative fund performance, the Independent Trustees periodically consider the appropriateness of fund performance metrics in evaluating the results achieved. The Independent Trustees generally give greater weight to fund performance over longer time periods than over shorter time periods. Depending on the circumstances, the Independent Trustees may be satisfied with the fund's performance notwithstanding that it lags its benchmark index peer group for certain periods.
Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.
Competitiveness of Management Fee and Total Fund Expenses. The Board considered the amount and nature of fees paid to the Investment Advisers. The Board also considered information comparing the management fees and total expenses of the fund to those of other registered investment companies with investment objectives similar to those of the fund, as discussed below. The Board also noted Strategic Advisers' proposal to extend the management fee waiver and considered the fund's contractual maximum aggregate annual management fee rate. In considering the fund's management fee and management fee waiver and comparisons to other registered investment companies with investment objectives similar to those of the fund, the Board noted that shares of the fund are offered only to clients that participate in the Fidelity Portfolio Advisory Service managed account program. In its review of the fund's total expenses, the Board considered the fund's management fee rate as well as other fund expenses, as applicable, such as expenses from holding Fidelity and non-Fidelity mutual funds and ETFs, pricing and bookkeeping fees, and custodial, legal, and audit fees.
Comparisons of Management Fees and Total Expense Ratios. Among other things, the Board reviewed data for selected groups of competitive funds and classes (referred to as "mapped groups") that were compiled by Fidelity based on combining similar investment objective categories (as classified by Lipper) that have comparable investment mandates. The data reviewed by the Board included (i) gross management fee comparisons (before taking into account expense reimbursements or caps) relative to the total universe of funds within the mapped group; (ii) gross management fee comparisons relative to a subset of non-Strategic Advisers funds in the mapped group that are similar in size and management fee structure to the fund (referred to as the "asset size peer group"); and (iii) total expense comparisons of the fund relative to funds and classes in the mapped group that have a similar sales load structure to the fund (referred to as the "similar sales load structure group").
The information provided to the Board indicated that the fund's management fee rate ranked below the competitive median of the mapped group for the 12-month period ended December 31, 2022 and above the competitive median of the asset size peer group for the 12-month period ended December 31, 2022. The Board also noted that the fund's management fee rate was compared on a pre-waiver basis and, therefore, did not reflect the management fee waiver noted above. Giving effect to the waiver, the fund's management fee was below the median of the asset size peer group for the 12-month period ended December 31, 2022. Further, the information provided to the Board indicated that the total expense ratio of the fund ranked below the competitive median of the similar sales load structure group for the 12-month period ended December 31, 2022.
Fees Charged to Other Clients. The Board also considered fee structures paid by the Investment Advisers' other clients, such as other funds advised or subadvised by the Investment Advisers, pension plan clients, and other institutional clients with similar investment mandates.
Based on its review, the Board concluded that the fund's management fee bears a reasonable relationship to the services rendered. Further, based on its review of the total expense ratios and fees charged to other clients of Strategic Advisers or its affiliates and each Sub-Adviser, the Board concluded that the total expenses of the fund were reasonable in light of the services that the fund and its shareholders receive and the other factors considered.
Costs of the Services and Profitability. The Board considered information regarding the revenues earned and the expenses incurred by Strategic Advisers and its affiliates in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and servicing the fund's shareholders.
On an annual basis, Strategic Advisers presents to the Board information about the profitability of its relationships with the fund. Strategic Advisers calculates profitability information for the fund using a series of detailed revenue and cost allocation methodologies. The Board reviews any significant changes from the prior year's methodologies. Strategic Advisers noted that, to the extent possible, it employs the same corporate reporting of revenues and expenses as those used by other Fidelity funds.
A public accounting firm has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. The engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's fund business, and completion of agreed-upon procedures in respect of the mathematical accuracy of certain fund profitability information and its conformity to established allocation methodologies. After considering the reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.
The Board also reviewed Fidelity's non-fund businesses and potential indirect benefits such businesses may have received as a result of their association with Fidelity's fund business (i.e., fall-out benefits) as well as cases where Fidelity's affiliates may benefit from the fund's business. The Board noted that changes to fall-out benefits year-over-year reflect business developments at Fidelity's various businesses.
The Board considered the costs of the services provided by and the profits realized, if any, by Strategic Advisers and its affiliates in connection with the operation of the fund and was satisfied that the profitability was not excessive.
The Board also considered information regarding the profitability of the Sub-Advisers' respective relationships with the fund and the potential fall-out benefits, if any, that may accrue to the Sub-Advisers as a result of their respective relationships with the fund. The Board noted the difficulty in evaluating a Sub-Adviser's costs and the profitability of a Sub-Advisory Agreement to a Sub-Adviser because of, among other things, differences in the type and content of information provided by each Sub-Adviser due to differences in business models, cost accounting methods, and profitability calculation methodologies among the Sub-Advisers. Accordingly, the Board considered profitability information provided by the Sub-Advisers in light of the nature of the relationships between Strategic Advisers and the Sub-Advisers with respect to the negotiation of sub-advisory fees.
Possible Economies of Scale. The Board considered whether there have been economies of scale in respect of the management of the Strategic Advisers funds, whether the Strategic Advisers funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale as assets grow through increased services to the fund, through waivers or reimbursements, or through fee or expense ratio reductions. The Board considered that the fund's Sub-Advisory Agreements provide for breakpoints as the fund's assets grow and noted that any potential decline in sub-advisory fees under such contracts would accrue directly to the fund. The Board also took Strategic Advisers' management fee waiver into consideration.
Conclusion. Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee arrangements bear a reasonable relationship to the services rendered and that the fund's Advisory Contracts should be renewed because each agreement is in the best interests of the fund and its shareholders. In addition, the Board concluded that the renewal of each Sub-Advisory Agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.
1.934461.111
ASD-SANN-0124
Strategic Advisers® Large Cap Fund
Offered exclusively to certain managed account clients of Strategic Advisers LLC or its affiliates - not available for sale to the general public
Semi-Annual Report
November 30, 2023
Contents
To view a fund's proxy voting guidelines and 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. © 2024 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.
The information in the following tables is based on the direct Investments of the Fund.
Top Holdings (% of Fund's net assets) |
| (excluding cash equivalents) |
| Microsoft Corp. | 6.3 | |
| Fidelity Growth Company Fund | 5.3 | |
| Apple, Inc. | 4.8 | |
| Amazon.com, Inc. | 3.1 | |
| NVIDIA Corp. | 2.6 | |
| Fidelity SAI U.S. Low Volatility Index Fund | 2.0 | |
| Meta Platforms, Inc. Class A | 2.0 | |
| Alphabet, Inc. Class C | 1.6 | |
| Alphabet, Inc. Class A | 1.5 | |
| Fidelity SAI U.S. Quality Index Fund | 1.3 | |
| | 30.5 | |
| |
| Market Sectors (% of Fund's net assets) |
| (Stocks Only) |
| Information Technology | 23.3 | |
| Financials | 12.9 | |
| Health Care | 11.6 | |
| Consumer Discretionary | 9.4 | |
| Communication Services | 7.9 | |
| Industrials | 7.7 | |
| Consumer Staples | 4.9 | |
| Energy | 4.4 | |
| Materials | 2.0 | |
| Utilities | 1.9 | |
| Real Estate | 1.7 | |
| Investment Companies | 1.2 | |
| |
Asset Allocation (% of Fund's net assets) |
|
Futures - 0.1% |
|
Asset Allocation of funds in the pie chart reflect the categorizations of the asset as defined by Morningstar as of the reporting date.
Showing Percentage of Net Assets
| Common Stocks - 87.7% |
| | | Shares | Value ($) |
| COMMUNICATION SERVICES - 7.9% | | | |
| Diversified Telecommunication Services - 0.4% | | | |
| AT&T, Inc. | | 5,937,811 | 98,389,528 |
| Bandwidth, Inc. (a) | | 1,100 | 12,078 |
| Cellnex Telecom SA (b) | | 47,600 | 1,817,299 |
| Consolidated Communications Holdings, Inc. (a) | | 4,300 | 18,490 |
| Frontier Communications Parent, Inc. (a)(c) | | 6,500 | 142,285 |
| Globalstar, Inc. (a) | | 151,700 | 241,203 |
| IDT Corp. Class B (a) | | 5,161 | 151,475 |
| Iridium Communications, Inc. | | 34,900 | 1,329,690 |
| Liberty Global Ltd. Class C | | 54,800 | 922,832 |
| Lumen Technologies, Inc. (a) | | 474,400 | 621,464 |
| Verizon Communications, Inc. | | 3,281,043 | 125,762,378 |
| | | | 229,408,722 |
| Entertainment - 1.1% | | | |
| Electronic Arts, Inc. | | 229,177 | 31,628,718 |
| Endeavor Group Holdings, Inc. | | 1,484,630 | 36,091,355 |
| Liberty Media Corp. Liberty Live Class C | | 76,452 | 2,618,481 |
| Live Nation Entertainment, Inc. (a) | | 80,000 | 6,737,600 |
| Madison Square Garden Sports Corp. | | 400 | 67,676 |
| Netflix, Inc. (a) | | 655,872 | 310,863,652 |
| Playstudios, Inc. Class A (a) | | 900 | 2,151 |
| Playtika Holding Corp. (a) | | 1,902 | 16,528 |
| Roku, Inc. Class A (a) | | 170,812 | 17,798,610 |
| Sea Ltd. ADR (a) | | 101,800 | 3,687,196 |
| Spotify Technology SA (a) | | 73,573 | 13,619,098 |
| Take-Two Interactive Software, Inc. (a) | | 8,200 | 1,297,240 |
| The Walt Disney Co. | | 1,345,575 | 124,721,347 |
| TKO Group Holdings, Inc. | | 26,808 | 2,073,063 |
| Warner Bros Discovery, Inc. (a) | | 17,300 | 180,785 |
| Warner Music Group Corp. Class A | | 4,034 | 133,566 |
| | | | 551,537,066 |
| Interactive Media & Services - 5.1% | | | |
| Alphabet, Inc.: | | | |
| Class A (a) | | 6,075,035 | 805,124,389 |
| Class C (a) | | 6,325,069 | 847,053,240 |
| DHI Group, Inc. (a) | | 5,388 | 13,254 |
| Eventbrite, Inc. (a) | | 41,500 | 292,575 |
| IAC, Inc. (a) | | 117,976 | 5,642,792 |
| Match Group, Inc. (a) | | 314,343 | 10,178,426 |
| Meta Platforms, Inc. Class A (a) | | 3,136,661 | 1,026,158,646 |
| Pinterest, Inc. Class A (a) | | 142,800 | 4,865,196 |
| QuinStreet, Inc. (a) | | 8,973 | 112,073 |
| Snap, Inc. Class A (a) | | 417,359 | 5,772,075 |
| Vimeo, Inc. (a) | | 104,100 | 366,432 |
| Yelp, Inc. (a) | | 11,531 | 504,020 |
| ZipRecruiter, Inc. (a) | | 3,300 | 44,253 |
| | | | 2,706,127,371 |
| Media - 0.8% | | | |
| Altice U.S.A., Inc. Class A (a) | | 176,600 | 406,180 |
| AMC Networks, Inc. Class A (a) | | 19,800 | 301,752 |
| Charter Communications, Inc. Class A (a) | | 272,289 | 108,950,998 |
| Clear Channel Outdoor Holdings, Inc. (a) | | 2,111 | 3,061 |
| Comcast Corp. Class A | | 5,007,482 | 209,763,421 |
| comScore, Inc. (a) | | 7,311 | 4,913 |
| E.W. Scripps Co. Class A (a) | | 9,608 | 66,391 |
| Entravision Communication Corp. Class A | | 2,280 | 9,052 |
| Fox Corp.: | | | |
| Class A | | 1,208,047 | 35,685,708 |
| Class B | | 11,032 | 305,145 |
| Gannett Co., Inc. (a) | | 52,000 | 96,200 |
| Gray Television, Inc. | | 9,200 | 71,116 |
| Interpublic Group of Companies, Inc. | | 328,969 | 10,112,507 |
| John Wiley & Sons, Inc. Class A | | 1,000 | 30,210 |
| Liberty Broadband Corp.: | | | |
| Class A (a) | | 71,400 | 5,921,916 |
| Class C (a) | | 89,494 | 7,438,741 |
| Liberty Media Corp. Liberty SiriusXM (a) | | 525,159 | 14,174,041 |
| Nexstar Broadcasting Group, Inc. Class A | | 66,589 | 9,450,977 |
| Omnicom Group, Inc. | | 280,353 | 22,604,862 |
| Paramount Global Class B (c) | | 18,400 | 264,408 |
| Scholastic Corp. | | 8 | 304 |
| Sinclair, Inc. Class A (c) | | 3,401 | 42,887 |
| TechTarget, Inc. (a) | | 400 | 11,840 |
| TEGNA, Inc. | | 308,100 | 4,723,173 |
| The Trade Desk, Inc. (a) | | 8,200 | 577,772 |
| WideOpenWest, Inc. (a) | | 3,483 | 13,932 |
| | | | 431,031,507 |
| Wireless Telecommunication Services - 0.5% | | | |
| Gogo, Inc. (a) | | 21,000 | 210,630 |
| T-Mobile U.S., Inc. | | 1,846,602 | 277,821,271 |
| U.S. Cellular Corp. (a) | | 2,186 | 99,310 |
| | | | 278,131,211 |
TOTAL COMMUNICATION SERVICES | | | 4,196,235,877 |
| CONSUMER DISCRETIONARY - 9.4% | | | |
| Automobile Components - 0.1% | | | |
| Aptiv PLC (a) | | 226,166 | 18,735,591 |
| BorgWarner, Inc. | | 781,528 | 26,329,678 |
| Compagnie Generale des Etablissements Michelin SCA ADR | | 705,000 | 11,801,700 |
| Lear Corp. | | 34,100 | 4,560,875 |
| Motorcar Parts of America, Inc. (a) | | 1,581 | 15,241 |
| Phinia, Inc. (c) | | 88,000 | 2,244,000 |
| The Goodyear Tire & Rubber Co. (a) | | 317,400 | 4,408,686 |
| Visteon Corp. (a) | | 4,600 | 545,882 |
| | | | 68,641,653 |
| Automobiles - 1.3% | | | |
| Ferrari NV | | 7,100 | 2,548,616 |
| Ford Motor Co. | | 2,961,951 | 30,389,617 |
| General Motors Co. | | 1,421,091 | 44,906,476 |
| Harley-Davidson, Inc. | | 380,600 | 11,414,194 |
| Rivian Automotive, Inc. (a)(c) | | 657,111 | 11,013,180 |
| Tesla, Inc. (a) | | 2,392,536 | 574,400,043 |
| | | | 674,672,126 |
| Broadline Retail - 3.2% | | | |
| Alibaba Group Holding Ltd. sponsored ADR (a) | | 144,171 | 10,795,524 |
| Amazon.com, Inc. (a) | | 11,364,621 | 1,660,257,482 |
| Coupang, Inc. Class A (a) | | 39,100 | 597,448 |
| eBay, Inc. | | 543,178 | 22,275,730 |
| Etsy, Inc. (a) | | 17,719 | 1,343,277 |
| Kohl's Corp. (c) | | 232,700 | 5,456,815 |
| Macy's, Inc. (c) | | 451,300 | 7,157,618 |
| Qurate Retail, Inc. Series A (a) | | 131,000 | 101,132 |
| | | | 1,707,985,026 |
| Distributors - 0.1% | | | |
| Genuine Parts Co. | | 84,233 | 11,184,458 |
| LKQ Corp. | | 110,400 | 4,916,112 |
| Pool Corp. | | 1,700 | 590,444 |
| | | | 16,691,014 |
| Diversified Consumer Services - 0.0% | | | |
| 2U, Inc. (a) | | 14,600 | 14,343 |
| Adtalem Global Education, Inc. (a) | | 1,675 | 95,425 |
| American Public Education, Inc. (a) | | 3,578 | 28,159 |
| Carriage Services, Inc. | | 475 | 10,730 |
| Chegg, Inc. (a) | | 127,700 | 1,268,061 |
| Coursera, Inc. (a) | | 59,100 | 1,167,225 |
| Duolingo, Inc. (a) | | 10,400 | 2,207,816 |
| Grand Canyon Education, Inc. (a) | | 4,700 | 642,584 |
| H&R Block, Inc. | | 85,400 | 3,878,868 |
| Laureate Education, Inc. Class A | | 26,900 | 353,197 |
| Service Corp. International | | 59,800 | 3,663,946 |
| Udemy, Inc. (a) | | 790 | 11,755 |
| | | | 13,342,109 |
| Hotels, Restaurants & Leisure - 2.0% | | | |
| Airbnb, Inc. Class A (a) | | 372,918 | 47,114,460 |
| ARAMARK Holdings Corp. | | 900 | 25,209 |
| Booking Holdings, Inc. (a) | | 56,200 | 175,664,340 |
| Boyd Gaming Corp. | | 28,485 | 1,682,039 |
| Caesars Entertainment, Inc. (a) | | 117,200 | 5,241,184 |
| Carnival Corp. (a) | | 276,070 | 4,157,614 |
| Century Casinos, Inc. (a) | | 100 | 430 |
| Chipotle Mexican Grill, Inc. (a) | | 74,722 | 164,556,525 |
| Churchill Downs, Inc. (c) | | 41,000 | 4,746,570 |
| Darden Restaurants, Inc. | | 100,616 | 15,743,386 |
| Dine Brands Global, Inc. | | 79,600 | 3,460,212 |
| Domino's Pizza, Inc. | | 21,841 | 8,581,110 |
| Doordash, Inc. (a) | | 4,600 | 432,308 |
| Draftkings Holdings, Inc. (a) | | 98,500 | 3,766,640 |
| Expedia, Inc. (a) | | 55,978 | 7,623,084 |
| Flutter Entertainment PLC (a) | | 1,190 | 185,836 |
| Hilton Worldwide Holdings, Inc. | | 864,674 | 144,850,188 |
| Las Vegas Sands Corp. | | 547,977 | 25,272,699 |
| Lindblad Expeditions Holdings (a) | | 200 | 1,570 |
| Marriott International, Inc. Class A | | 224,712 | 45,549,122 |
| Marriott Vacations Worldwide Corp. | | 29,795 | 2,172,056 |
| McDonald's Corp. | | 582,248 | 164,100,776 |
| MGM Resorts International | | 900 | 35,496 |
| Monarch Casino & Resort, Inc. | | 1,102 | 69,294 |
| Noodles & Co. (a) | | 19,476 | 59,597 |
| Norwegian Cruise Line Holdings Ltd. (a)(c) | | 399,800 | 6,104,946 |
| Penn Entertainment, Inc. (a) | | 26,400 | 648,384 |
| Red Rock Resorts, Inc. | | 19,200 | 854,976 |
| Royal Caribbean Cruises Ltd. (a) | | 286,811 | 30,820,710 |
| Rush Street Interactive, Inc. (a) | | 1,400 | 5,894 |
| Starbucks Corp. | | 648,390 | 64,385,127 |
| Target Hospitality Corp. (a) | | 400 | 4,364 |
| Texas Roadhouse, Inc. Class A (c) | | 54,310 | 6,113,134 |
| Wynn Resorts Ltd. | | 157,993 | 13,337,769 |
| Yum China Holdings, Inc. | | 162,000 | 6,995,160 |
| Yum! Brands, Inc. | | 905,463 | 113,680,880 |
| | | | 1,068,043,089 |
| Household Durables - 0.4% | | | |
| Bassett Furniture Industries, Inc. | | 100 | 1,652 |
| D.R. Horton, Inc. | | 153,184 | 19,557,001 |
| Ethan Allen Interiors, Inc. | | 762 | 20,452 |
| Garmin Ltd. | | 1,772 | 216,609 |
| GoPro, Inc. Class A (a) | | 18,812 | 67,911 |
| Green Brick Partners, Inc. (a) | | 700 | 33,215 |
| Leggett & Platt, Inc. | | 2,300 | 52,601 |
| Lennar Corp.: | | | |
| Class A | | 611,302 | 78,197,752 |
| Class B (c) | | 6,000 | 688,440 |
| Lovesac (a) | | 100 | 2,076 |
| Mohawk Industries, Inc. (a) | | 90,756 | 8,014,662 |
| Newell Brands, Inc. | | 514,842 | 3,928,244 |
| NVR, Inc. (a) | | 5,581 | 34,353,232 |
| PulteGroup, Inc. | | 431,539 | 38,156,678 |
| Skyline Champion Corp. (a) | | 1,900 | 114,361 |
| Sony Group Corp. sponsored ADR | | 158,000 | 13,580,100 |
| Toll Brothers, Inc. | | 25,800 | 2,215,962 |
| TopBuild Corp. (a) | | 6,200 | 1,833,836 |
| TRI Pointe Homes, Inc. (a) | | 200 | 5,836 |
| Universal Electronics, Inc. (a) | | 2,473 | 19,265 |
| Vizio Holding Corp. (a) | | 12,200 | 81,740 |
| Whirlpool Corp. | | 74,800 | 8,145,720 |
| | | | 209,287,345 |
| Leisure Products - 0.0% | | | |
| Acushnet Holdings Corp. (c) | | 11,800 | 666,700 |
| Brunswick Corp. | | 25,400 | 2,003,298 |
| Hasbro, Inc. | | 12,467 | 578,593 |
| JAKKS Pacific, Inc. (a) | | 1,867 | 54,964 |
| Latham Group, Inc. (a) | | 100 | 226 |
| MasterCraft Boat Holdings, Inc. (a) | | 2,181 | 43,620 |
| Mattel, Inc. (a) | | 54,900 | 1,043,100 |
| Sturm, Ruger & Co., Inc. | | 9 | 396 |
| | | | 4,390,897 |
| Specialty Retail - 2.0% | | | |
| Advance Auto Parts, Inc. | | 39,100 | 1,985,889 |
| Asbury Automotive Group, Inc. (a) | | 300 | 62,946 |
| AutoNation, Inc. (a) | | 103,000 | 13,932,810 |
| AutoZone, Inc. (a) | | 27,080 | 70,676,904 |
| Barnes & Noble Education, Inc. (a) | | 3,910 | 4,340 |
| Bath & Body Works, Inc. | | 330,244 | 10,772,559 |
| Best Buy Co., Inc. | | 211,487 | 15,002,888 |
| Build-A-Bear Workshop, Inc. | | 200 | 4,886 |
| Burlington Stores, Inc. (a) | | 522,429 | 88,598,734 |
| CarMax, Inc. (a) | | 105,024 | 6,715,235 |
| CarParts.com, Inc. (a) | | 47,000 | 143,820 |
| Chewy, Inc. (a) | | 29 | 505 |
| Conn's, Inc. (a) | | 6,500 | 21,450 |
| Dick's Sporting Goods, Inc. | | 133,918 | 17,422,732 |
| Foot Locker, Inc. | | 24,200 | 651,706 |
| Genesco, Inc. (a) | | 7,600 | 284,012 |
| Group 1 Automotive, Inc. | | 2,300 | 648,830 |
| GrowGeneration Corp. (a) | | 15 | 40 |
| Lands' End, Inc. (a) | | 603 | 4,257 |
| Lithia Motors, Inc. Class A (sub. vtg.) | | 7,300 | 1,949,027 |
| LL Flooring Holdings, Inc. (a) | | 17,100 | 59,850 |
| Lowe's Companies, Inc. | | 1,150,142 | 228,682,734 |
| Monro, Inc. (c) | | 1,400 | 40,488 |
| Murphy U.S.A., Inc. | | 19,663 | 7,266,462 |
| National Vision Holdings, Inc. (a) | | 800 | 14,760 |
| O'Reilly Automotive, Inc. (a) | | 137,505 | 135,082,162 |
| Penske Automotive Group, Inc. (c) | | 86,200 | 12,869,660 |
| Ross Stores, Inc. | | 280,968 | 36,632,608 |
| Sally Beauty Holdings, Inc. (a) | | 463,900 | 4,485,913 |
| Sleep Number Corp. (a) | | 17,700 | 179,478 |
| Sonic Automotive, Inc. Class A (sub. vtg.) | | 100 | 5,127 |
| The Aaron's Co., Inc. | | 42,141 | 371,262 |
| The Cato Corp. Class A (sub. vtg.) | | 3,700 | 25,604 |
| The Children's Place, Inc. (a) | | 5,500 | 125,125 |
| The Container Store Group, Inc. (a) | | 6,100 | 11,468 |
| The Home Depot, Inc. | | 737,836 | 231,304,208 |
| The ODP Corp. (a) | | 67,070 | 3,055,039 |
| TJX Companies, Inc. | | 1,622,910 | 142,994,600 |
| Ulta Beauty, Inc. (a) | | 26,779 | 11,407,586 |
| Valvoline, Inc. | | 75,400 | 2,581,696 |
| Williams-Sonoma, Inc. | | 33,500 | 6,282,590 |
| Zumiez, Inc. (a) | | 2,700 | 50,976 |
| | | | 1,052,412,966 |
| Textiles, Apparel & Luxury Goods - 0.3% | | | |
| Columbia Sportswear Co. (c) | | 50,785 | 3,977,989 |
| Figs, Inc. Class A (a)(c) | | 212,486 | 1,542,648 |
| Fossil Group, Inc. (a) | | 14,400 | 15,840 |
| G-III Apparel Group Ltd. (a) | | 100 | 2,877 |
| Levi Strauss & Co. Class A (c) | | 25,400 | 393,446 |
| lululemon athletica, Inc. (a) | | 73,067 | 32,646,336 |
| NIKE, Inc. Class B | | 869,651 | 95,896,416 |
| PVH Corp. | | 39,200 | 3,832,976 |
| Ralph Lauren Corp. | | 61,609 | 7,970,972 |
| Skechers U.S.A., Inc. Class A (sub. vtg.) (a) | | 39,200 | 2,309,272 |
| Tapestry, Inc. | | 234,393 | 7,423,226 |
| Under Armour, Inc. Class C (non-vtg.) (a) | | 48,000 | 367,680 |
| Unifi, Inc. (a) | | 4,702 | 30,563 |
| VF Corp. | | 85,400 | 1,428,742 |
| Wolverine World Wide, Inc. | | 4,000 | 34,280 |
| | | | 157,873,263 |
TOTAL CONSUMER DISCRETIONARY | | | 4,973,339,488 |
| CONSUMER STAPLES - 4.9% | | | |
| Beverages - 1.5% | | | |
| Celsius Holdings, Inc. (a) | | 10,600 | 524,806 |
| Coca-Cola Bottling Co. Consolidated | | 2,900 | 2,130,108 |
| Constellation Brands, Inc. Class A (sub. vtg.) | | 308,065 | 74,086,552 |
| Diageo PLC | | 16,800 | 588,023 |
| Keurig Dr. Pepper, Inc. | | 1,365,698 | 43,115,086 |
| Molson Coors Beverage Co. Class B | | 472,090 | 29,052,419 |
| Monster Beverage Corp. | | 3,267,135 | 180,182,495 |
| PepsiCo, Inc. | | 1,127,193 | 189,695,310 |
| The Coca-Cola Co. | | 4,351,738 | 254,315,569 |
| The Vita Coco Co., Inc. (a) | | 36,800 | 1,032,608 |
| | | | 774,722,976 |
| Consumer Staples Distribution & Retail - 1.0% | | | |
| Albertsons Companies, Inc. | | 256,740 | 5,589,230 |
| Alimentation Couche-Tard, Inc. Class A (multi-vtg.) | | 39,000 | 2,224,548 |
| BJ's Wholesale Club Holdings, Inc. (a) | | 20,300 | 1,310,974 |
| Chefs' Warehouse Holdings (a) | | 907 | 24,398 |
| Costco Wholesale Corp. | | 283,591 | 168,095,729 |
| Dollar General Corp. | | 142,346 | 18,664,408 |
| Dollar Tree, Inc. (a) | | 26,429 | 3,266,360 |
| Grocery Outlet Holding Corp. (a) | | 600 | 16,926 |
| Kroger Co. | | 1,249,163 | 55,300,446 |
| Performance Food Group Co. (a) | | 18,527 | 1,205,181 |
| SpartanNash Co. | | 10,256 | 227,376 |
| Sysco Corp. | | 579,452 | 41,819,051 |
| Target Corp. | | 146,872 | 19,652,942 |
| U.S. Foods Holding Corp. (a) | | 82,811 | 3,629,606 |
| United Natural Foods, Inc. (a) | | 84,500 | 1,229,475 |
| Walgreens Boots Alliance, Inc. | | 257,700 | 5,138,538 |
| Walmart, Inc. | | 1,267,754 | 197,376,620 |
| Weis Markets, Inc. | | 100 | 6,035 |
| | | | 524,777,843 |
| Food Products - 0.6% | | | |
| Archer Daniels Midland Co. | | 311,648 | 22,977,807 |
| Bunge Global SA | | 175,127 | 19,241,203 |
| Calavo Growers, Inc. | | 884 | 19,174 |
| Campbell Soup Co. | | 237,925 | 9,559,827 |
| Conagra Brands, Inc. | | 303,800 | 8,594,502 |
| Flowers Foods, Inc. | | 8,600 | 178,966 |
| General Mills, Inc. | | 355,558 | 22,634,822 |
| Hormel Foods Corp. | | 2,300 | 70,357 |
| Ingredion, Inc. | | 125,800 | 12,893,242 |
| Kellanova | | 85,200 | 4,476,408 |
| Lamb Weston Holdings, Inc. | | 30,200 | 3,020,906 |
| McCormick & Co., Inc. (non-vtg.) | | 6,283 | 407,327 |
| Mondelez International, Inc. | | 2,149,835 | 152,767,275 |
| Pilgrim's Pride Corp. (a) | | 300 | 7,668 |
| Post Holdings, Inc. (a)(c) | | 75,827 | 6,477,901 |
| Seaboard Corp. | | 2 | 7,030 |
| The Hain Celestial Group, Inc. (a) | | 6,000 | 63,420 |
| The Hershey Co. | | 82,861 | 15,571,239 |
| The J.M. Smucker Co. | | 13,010 | 1,427,587 |
| The Kraft Heinz Co. | | 1,477,094 | 51,860,770 |
| The Simply Good Foods Co. (a) | | 86,100 | 3,335,514 |
| Tootsie Roll Industries, Inc. | | 118 | 3,905 |
| Tyson Foods, Inc. Class A | | 154,395 | 7,231,862 |
| Vital Farms, Inc. (a) | | 829 | 11,042 |
| Whole Earth Brands, Inc. Class A (a) | | 100 | 325 |
| WK Kellogg Co. | | 9,500 | 106,400 |
| | | | 342,946,479 |
| Household Products - 1.1% | | | |
| Church & Dwight Co., Inc. | | 753,598 | 72,820,175 |
| Colgate-Palmolive Co. | | 1,244,559 | 98,033,912 |
| Energizer Holdings, Inc. (c) | | 369,525 | 11,396,151 |
| Kimberly-Clark Corp. | | 178,175 | 22,045,593 |
| Procter & Gamble Co. | | 2,404,015 | 369,064,383 |
| Reynolds Consumer Products, Inc. | | 6,300 | 165,312 |
| The Clorox Co. | | 49,000 | 7,024,150 |
| | | | 580,549,676 |
| Personal Care Products - 0.3% | | | |
| BellRing Brands, Inc. (a) | | 78,100 | 4,131,490 |
| Coty, Inc. Class A (a) | | 3,700 | 42,180 |
| elf Beauty, Inc. (a) | | 60,045 | 7,090,714 |
| Estee Lauder Companies, Inc. Class A | | 90,100 | 11,504,869 |
| Haleon PLC ADR | | 1,938,584 | 16,594,279 |
| Kenvue, Inc. | | 4,488,341 | 91,741,690 |
| MediFast, Inc. | | 1,200 | 79,656 |
| Nu Skin Enterprises, Inc. Class A | | 5,400 | 91,908 |
| Olaplex Holdings, Inc. (a) | | 98,000 | 213,640 |
| USANA Health Sciences, Inc. (a) | | 400 | 18,904 |
| | | | 131,509,330 |
| Tobacco - 0.4% | | | |
| Altria Group, Inc. | | 1,518,175 | 63,824,077 |
| Philip Morris International, Inc. | | 1,811,407 | 169,112,958 |
| Vector Group Ltd. | | 58,352 | 624,950 |
| | | | 233,561,985 |
TOTAL CONSUMER STAPLES | | | 2,588,068,289 |
| ENERGY - 4.4% | | | |
| Energy Equipment & Services - 0.4% | | | |
| Baker Hughes Co. Class A | | 1,832,588 | 61,849,845 |
| Championx Corp. | | 4,200 | 123,144 |
| Expro Group Holdings NV (a) | | 128,500 | 1,998,175 |
| Halliburton Co. | | 861,783 | 31,911,824 |
| Helix Energy Solutions Group, Inc. (a) | | 1,820 | 16,962 |
| Helmerich & Payne, Inc. | | 1,600 | 57,968 |
| Liberty Oilfield Services, Inc. Class A | | 13,600 | 269,960 |
| NOV, Inc. | | 60,000 | 1,129,200 |
| Oceaneering International, Inc. (a) | | 19,200 | 396,672 |
| Oil States International, Inc. (a) | | 2,900 | 19,981 |
| Patterson-UTI Energy, Inc. | | 2,100 | 24,591 |
| RPC, Inc. | | 4,400 | 31,900 |
| Schlumberger Ltd. | | 1,608,439 | 83,703,166 |
| Solaris Oilfield Infrastructure, Inc. Class A | | 100 | 856 |
| TETRA Technologies, Inc. (a) | | 10,358 | 48,890 |
| U.S. Silica Holdings, Inc. (a) | | 9,800 | 110,544 |
| Weatherford International PLC (a) | | 37,000 | 3,355,530 |
| | | | 185,049,208 |
| Oil, Gas & Consumable Fuels - 4.0% | | | |
| Africa Oil Corp. | | 1,378,600 | 2,570,366 |
| Antero Resources Corp. (a) | | 75,000 | 1,772,250 |
| APA Corp. | | 442,260 | 15,921,360 |
| Athabasca Oil Corp. (a) | | 875,800 | 2,504,222 |
| BP PLC sponsored ADR | | 801,871 | 29,099,899 |
| California Resources Corp. | | 3,609 | 184,817 |
| Callon Petroleum Co. (a) | | 1,000 | 31,270 |
| Canadian Natural Resources Ltd. | | 34,600 | 2,311,280 |
| Cheniere Energy, Inc. | | 109,600 | 19,963,640 |
| Chesapeake Energy Corp. (c) | | 45,737 | 3,673,138 |
| Chevron Corp. | | 1,811,512 | 260,133,123 |
| Chord Energy Corp. | | 6,300 | 1,021,482 |
| CNX Resources Corp. (a) | | 111,200 | 2,319,632 |
| Comstock Resources, Inc. (c) | | 9,400 | 92,778 |
| ConocoPhillips Co. | | 2,400,849 | 277,466,119 |
| Coterra Energy, Inc. | | 927,500 | 24,346,875 |
| Delek U.S. Holdings, Inc. | | 6,900 | 187,266 |
| Devon Energy Corp. | | 236,146 | 10,619,486 |
| Diamondback Energy, Inc. | | 94,607 | 14,608,267 |
| Eco Atlantic Oil & Gas Ltd. (a) | | 621,500 | 77,862 |
| EOG Resources, Inc. | | 1,926,039 | 237,037,620 |
| EQT Corp. (c) | | 322,300 | 12,879,108 |
| Equitrans Midstream Corp. | | 60,000 | 562,800 |
| Exxon Mobil Corp. | | 6,451,672 | 662,844,781 |
| Gevo, Inc. (a)(c) | | 60,700 | 68,591 |
| Green Plains, Inc. (a) | | 700 | 17,416 |
| Gulfport Energy Corp. (a) | | 700 | 95,928 |
| Hess Corp. | | 193,391 | 27,183,039 |
| HF Sinclair Corp. | | 292,000 | 15,324,160 |
| Imperial Oil Ltd. | | 161,200 | 9,081,941 |
| Kinder Morgan, Inc. | | 1,178,950 | 20,714,152 |
| Kosmos Energy Ltd. (a) | | 378,900 | 2,572,731 |
| Magnolia Oil & Gas Corp. Class A | | 1,511 | 32,487 |
| Marathon Oil Corp. | | 317,600 | 8,076,568 |
| Marathon Petroleum Corp. | | 763,120 | 113,849,873 |
| Matador Resources Co. | | 1,700 | 98,396 |
| MEG Energy Corp. (a) | | 370,000 | 6,996,721 |
| Murphy Oil Corp. | | 24,185 | 1,034,392 |
| New Fortress Energy, Inc. | | 31,200 | 1,200,576 |
| Occidental Petroleum Corp. | | 1,291,842 | 76,412,454 |
| Overseas Shipholding Group, Inc. (a) | | 1,600 | 7,760 |
| Par Pacific Holdings, Inc. (a) | | 1,700 | 58,259 |
| PBF Energy, Inc. Class A | | 17,780 | 789,432 |
| Peabody Energy Corp. (c) | | 25,130 | 599,099 |
| Phillips 66 Co. | | 605,703 | 78,069,060 |
| Pioneer Natural Resources Co. | | 129,497 | 29,996,685 |
| Range Resources Corp. (c) | | 156,500 | 5,086,250 |
| Rex American Resources Corp. (a) | | 697 | 34,167 |
| Shell PLC ADR | | 550,786 | 36,241,719 |
| SM Energy Co. | | 17,500 | 655,375 |
| Southwestern Energy Co. (a) | | 712,900 | 4,698,011 |
| Suncor Energy, Inc. (c) | | 240,600 | 7,937,394 |
| Targa Resources Corp. | | 87,219 | 7,888,959 |
| Tellurian, Inc. (a)(c) | | 222,453 | 135,474 |
| The Williams Companies, Inc. | | 994,246 | 36,578,310 |
| Valero Energy Corp. | | 459,626 | 57,618,715 |
| | | | 2,131,383,535 |
TOTAL ENERGY | | | 2,316,432,743 |
| FINANCIALS - 12.9% | | | |
| Banks - 3.2% | | | |
| AIB Group PLC | | 311,480 | 1,442,302 |
| Ameris Bancorp | | 428 | 18,224 |
| Banc of California, Inc. | | 400 | 4,624 |
| Bank of America Corp. | | 9,091,297 | 277,193,646 |
| Bank OZK | | 900 | 37,674 |
| BankUnited, Inc. | | 267,400 | 7,377,566 |
| Banner Corp. | | 1,400 | 63,196 |
| Berkshire Hills Bancorp, Inc. | | 4,100 | 85,813 |
| BOK Financial Corp. | | 4,686 | 336,314 |
| Byline Bancorp, Inc. | | 2,700 | 53,973 |
| Capitol Federal Financial, Inc. | | 400 | 2,156 |
| Carter Bankshares, Inc. (a) | | 500 | 6,265 |
| Citigroup, Inc. | | 2,402,206 | 110,741,697 |
| Citizens Financial Group, Inc. | | 571,871 | 15,594,922 |
| Commerce Bancshares, Inc. | | 118,000 | 5,967,260 |
| ConnectOne Bancorp, Inc. | | 100 | 1,966 |
| Cullen/Frost Bankers, Inc. | | 87,000 | 8,551,230 |
| Customers Bancorp, Inc. (a) | | 5,600 | 252,392 |
| DNB Bank ASA | | 113,900 | 2,169,584 |
| Eagle Bancorp, Inc. | | 1,600 | 37,984 |
| East West Bancorp, Inc. | | 179,200 | 11,275,264 |
| Eurobank Ergasias Services and Holdings SA (a) | | 1,883,780 | 3,467,386 |
| Fifth Third Bancorp | | 4,077,356 | 118,039,456 |
| Financial Institutions, Inc. | | 790 | 13,714 |
| First Citizens Bancshares, Inc. | | 5,005 | 7,346,789 |
| First Foundation, Inc. | | 25,786 | 151,622 |
| First Horizon National Corp. | | 81,500 | 1,042,385 |
| First Internet Bancorp | | 1,918 | 42,081 |
| Hanmi Financial Corp. | | 1,700 | 28,288 |
| HarborOne Bancorp, Inc. | | 200 | 2,206 |
| HDFC Bank Ltd. | | 86,232 | 1,616,834 |
| Heartland Financial U.S.A., Inc. | | 501 | 15,496 |
| Heritage Commerce Corp. | | 300 | 2,547 |
| Heritage Financial Corp., Washington | | 1,600 | 28,512 |
| HomeStreet, Inc. | | 2,500 | 16,875 |
| Huntington Bancshares, Inc. | | 1,739,085 | 19,582,097 |
| JPMorgan Chase & Co. | | 3,461,419 | 540,258,278 |
| KBC Group NV | | 13,428 | 768,821 |
| KeyCorp | | 1,036,388 | 12,840,847 |
| Live Oak Bancshares, Inc. | | 6,300 | 211,680 |
| M&T Bank Corp. | | 285,476 | 36,589,459 |
| Midland States Bancorp, Inc. | | 398 | 8,987 |
| Mitsubishi UFJ Financial Group, Inc. sponsored ADR (c) | | 1,043,000 | 8,959,370 |
| Pathward Financial, Inc. | | 20,800 | 1,031,472 |
| Piraeus Financial Holdings SA (a) | | 651,400 | 2,311,499 |
| PNC Financial Services Group, Inc. | | 232,575 | 31,155,747 |
| Primis Financial Corp. | | 1,123 | 11,241 |
| Regions Financial Corp. | | 1,862,462 | 31,065,866 |
| Southside Bancshares, Inc. | | 100 | 2,743 |
| Synovus Financial Corp. | | 1,600 | 49,264 |
| Triumph Bancorp, Inc. (a) | | 100 | 6,787 |
| Truist Financial Corp. | | 2,289,348 | 73,579,645 |
| Trustmark Corp. | | 2,041 | 46,759 |
| U.S. Bancorp | | 832,360 | 31,729,563 |
| United Bankshares, Inc., West Virginia | | 900 | 29,799 |
| Univest Corp. of Pennsylvania | | 1,090 | 20,590 |
| Valley National Bancorp | | 5,200 | 47,320 |
| WaFd, Inc. | | 1,300 | 34,749 |
| Webster Financial Corp. | | 1,400 | 62,790 |
| Wells Fargo & Co. | | 7,439,956 | 331,747,638 |
| Western Alliance Bancorp. | | 119,139 | 6,102,300 |
| Zions Bancorp NA | | 263,300 | 9,381,379 |
| | | | 1,710,664,933 |
| Capital Markets - 2.7% | | | |
| Affiliated Managers Group, Inc. | | 6,000 | 813,300 |
| Ameriprise Financial, Inc. | | 133,256 | 47,107,329 |
| Ares Management Corp. | | 423,695 | 47,559,764 |
| Assetmark Financial Holdings, Inc. (a) | | 300 | 7,692 |
| Bank of New York Mellon Corp. | | 1,466,720 | 70,871,910 |
| BlackRock, Inc. Class A | | 35,423 | 26,610,820 |
| Blackstone, Inc. | | 123,600 | 13,888,932 |
| BrightSphere Investment Group, Inc. | | 500 | 8,725 |
| Brookfield Asset Management Ltd. Class A | | 275,210 | 9,640,606 |
| Brookfield Corp. Class A (c) | | 1,673,021 | 59,007,451 |
| Carlyle Group LP | | 95,100 | 3,260,028 |
| Cboe Global Markets, Inc. | | 279,754 | 50,968,381 |
| Charles Schwab Corp. | | 3,487,480 | 213,852,274 |
| CME Group, Inc. | | 188,795 | 41,225,276 |
| Donnelley Financial Solutions, Inc. (a) | | 400 | 23,608 |
| FactSet Research Systems, Inc. | | 45,849 | 20,790,688 |
| Federated Hermes, Inc. | | 21,600 | 687,312 |
| Franklin Resources, Inc. | | 28,400 | 704,320 |
| Goldman Sachs Group, Inc. | | 434,660 | 148,453,776 |
| Interactive Brokers Group, Inc. | | 36,899 | 2,872,218 |
| Intercontinental Exchange, Inc. | | 428,232 | 48,749,931 |
| Invesco Ltd. | | 157,400 | 2,246,098 |
| Jefferies Financial Group, Inc. | | 1,287,527 | 45,629,957 |
| KKR & Co. LP | | 547,792 | 41,544,545 |
| London Stock Exchange Group PLC | | 16,182 | 1,824,252 |
| LPL Financial | | 69,754 | 15,506,314 |
| MarketAxess Holdings, Inc. | | 32,151 | 7,720,098 |
| Moody's Corp. | | 153,632 | 56,069,535 |
| Morgan Stanley | | 1,342,786 | 106,536,641 |
| MSCI, Inc. | | 40,863 | 21,283,494 |
| NASDAQ, Inc. | | 20,300 | 1,133,552 |
| Northern Trust Corp. | | 150,451 | 11,923,242 |
| Open Lending Corp. (a) | | 6,672 | 42,634 |
| Raymond James Financial, Inc. | | 505,411 | 53,143,967 |
| Robinhood Markets, Inc. (a) | | 112,300 | 988,240 |
| S&P Global, Inc. | | 440,939 | 183,355,664 |
| SEI Investments Co. | | 278,400 | 16,333,728 |
| State Street Corp. | | 512,632 | 37,329,862 |
| StepStone Group, Inc. Class A | | 52,587 | 1,347,279 |
| Stifel Financial Corp. | | 146,498 | 8,939,308 |
| T. Rowe Price Group, Inc. | | 60,900 | 6,097,917 |
| Tradeweb Markets, Inc. Class A | | 82,422 | 7,986,692 |
| UBS Group AG | | 222,719 | 6,291,812 |
| Virtu Financial, Inc. Class A | | 184,527 | 3,317,795 |
| | | | 1,443,696,967 |
| Consumer Finance - 0.5% | | | |
| Ally Financial, Inc. | | 79,400 | 2,320,068 |
| American Express Co. | | 880,888 | 150,429,244 |
| Bread Financial Holdings, Inc. | | 126 | 3,541 |
| Capital One Financial Corp. | | 499,047 | 55,723,588 |
| Discover Financial Services | | 311,631 | 28,981,683 |
| Enova International, Inc. (a) | | 1,588 | 65,426 |
| EZCORP, Inc. (non-vtg.) Class A (a)(c) | | 8,500 | 69,700 |
| FirstCash Holdings, Inc. | | 300 | 33,600 |
| Green Dot Corp. Class A (a) | | 1,403 | 11,252 |
| LendingClub Corp. (a) | | 34,000 | 214,200 |
| LendingTree, Inc. (a) | | 900 | 15,930 |
| Navient Corp. (c) | | 432,100 | 7,401,873 |
| Nelnet, Inc. Class A | | 100 | 8,390 |
| NerdWallet, Inc. (a) | | 2,200 | 25,850 |
| OneMain Holdings, Inc. | | 67,884 | 2,871,493 |
| PRA Group, Inc. (a) | | 3,506 | 64,966 |
| PROG Holdings, Inc. (a) | | 4,500 | 122,670 |
| Shriram Transport Finance Co. Ltd. | | 74,733 | 1,798,977 |
| SLM Corp. | | 4,200 | 63,126 |
| Synchrony Financial | | 124,600 | 4,032,056 |
| | | | 254,257,633 |
| Financial Services - 4.2% | | | |
| A-Mark Precious Metals, Inc. | | 100 | 2,866 |
| Apollo Global Management, Inc. | | 343,121 | 31,567,132 |
| Berkshire Hathaway, Inc.: | | | |
| Class A (a) | | 8 | 4,367,200 |
| Class B (a) | | 1,475,767 | 531,276,120 |
| Block, Inc. Class A (a) | | 1,315,626 | 83,450,157 |
| Corebridge Financial, Inc. (c) | | 1,776,804 | 37,366,188 |
| Dlocal Ltd. (a) | | 136,200 | 2,349,450 |
| Enact Holdings, Inc. | | 20,600 | 570,826 |
| Equitable Holdings, Inc. | | 871,455 | 26,744,954 |
| Euronet Worldwide, Inc. (a) | | 200 | 17,444 |
| Federal Agricultural Mortgage Corp. Class C (non-vtg.) | | 500 | 82,920 |
| Fidelity National Information Services, Inc. | | 113,540 | 6,657,997 |
| Fiserv, Inc. (a) | | 1,301,088 | 169,935,104 |
| FleetCor Technologies, Inc. (a) | | 475,033 | 114,245,437 |
| Flywire Corp. (a) | | 50,900 | 1,185,970 |
| Global Payments, Inc. | | 738,462 | 85,986,515 |
| MasterCard, Inc. Class A | | 1,171,245 | 484,696,318 |
| Merchants Bancorp | | 214 | 7,201 |
| MGIC Investment Corp. | | 288,695 | 5,078,145 |
| NCR Atleos Corp. | | 109,650 | 2,435,327 |
| NMI Holdings, Inc. (a) | | 500 | 13,750 |
| One97 Communications Ltd. (a) | | 344,100 | 3,614,406 |
| Payoneer Global, Inc. (a) | | 79,500 | 411,810 |
| PayPal Holdings, Inc. (a) | | 689,684 | 39,732,695 |
| Radian Group, Inc. | | 435,600 | 11,199,276 |
| Repay Holdings Corp. (a) | | 6,600 | 49,500 |
| Shift4 Payments, Inc. (a) | | 38,572 | 2,538,809 |
| The Western Union Co. | | 235,100 | 2,734,213 |
| Toast, Inc. (a) | | 4,800 | 71,376 |
| UWM Holdings Corp. Class A (c) | | 228,668 | 1,246,241 |
| Visa, Inc. Class A (c) | | 2,205,331 | 566,064,361 |
| Voya Financial, Inc. | | 122,828 | 8,783,430 |
| Waterstone Financial, Inc. | | 400 | 4,884 |
| WEX, Inc. (a) | | 25,700 | 4,538,106 |
| Worldline SA (a)(b) | | 94,015 | 1,461,150 |
| | | | 2,230,487,278 |
| Insurance - 2.3% | | | |
| AFLAC, Inc. | | 466,500 | 38,584,215 |
| American Financial Group, Inc. | | 70,700 | 8,087,373 |
| American International Group, Inc. | | 1,512,596 | 99,543,943 |
| Aon PLC | | 2,400 | 788,376 |
| Arch Capital Group Ltd. (a) | | 398,611 | 33,359,755 |
| Arthur J. Gallagher & Co. | | 42,621 | 10,612,629 |
| Assurant, Inc. | | 28,867 | 4,850,233 |
| Axis Capital Holdings Ltd. | | 137,500 | 7,746,750 |
| Brighthouse Financial, Inc. (a) | | 7,800 | 405,834 |
| Brookfield Reinsurance Ltd. (c) | | 7,637 | 268,746 |
| Brown & Brown, Inc. | | 139,803 | 10,448,876 |
| Chubb Ltd. | | 725,079 | 166,354,875 |
| Cincinnati Financial Corp. | | 227,537 | 23,388,528 |
| CNA Financial Corp. | | 91,479 | 3,854,010 |
| Direct Line Insurance Group PLC (a) | | 1,021,373 | 2,430,580 |
| Employers Holdings, Inc. | | 200 | 7,662 |
| Everest Re Group Ltd. | | 90,412 | 37,118,647 |
| Fairfax Financial Holdings Ltd. | | 6,741 | 6,214,595 |
| Fairfax Financial Holdings Ltd. (sub. vtg.) | | 3,854 | 3,542,488 |
| Fidelity National Financial, Inc. | | 76,900 | 3,448,196 |
| First American Financial Corp. | | 27,000 | 1,609,200 |
| Genworth Financial, Inc. Class A (a) | | 1,300 | 7,657 |
| Globe Life, Inc. | | 329,717 | 40,598,054 |
| Hartford Financial Services Group, Inc. | | 1,229,773 | 96,119,058 |
| Kinsale Capital Group, Inc. | | 200 | 70,020 |
| Lincoln National Corp. | | 234,400 | 5,574,032 |
| Loews Corp. | | 344,758 | 24,233,040 |
| Markel Group, Inc. (a) | | 3,330 | 4,792,170 |
| Marsh & McLennan Companies, Inc. | | 309,542 | 61,728,866 |
| MBIA, Inc. (a) | | 8,400 | 60,816 |
| Mercury General Corp. | | 6,000 | 223,500 |
| MetLife, Inc. | | 1,437,215 | 91,449,990 |
| Old Republic International Corp. | | 83,500 | 2,447,385 |
| Primerica, Inc. | | 8,400 | 1,759,884 |
| Principal Financial Group, Inc. | | 341,752 | 25,231,550 |
| Progressive Corp. | | 1,585,523 | 260,073,338 |
| Prudential Financial, Inc. | | 106,550 | 10,418,459 |
| Prudential PLC | | 86,325 | 944,171 |
| Reinsurance Group of America, Inc. | | 19,522 | 3,183,257 |
| RenaissanceRe Holdings Ltd. | | 129,094 | 27,672,590 |
| Ryan Specialty Group Holdings, Inc. (a) | | 11,400 | 522,918 |
| The Travelers Companies, Inc. | | 347,021 | 62,678,933 |
| United Fire Group, Inc. | | 200 | 4,178 |
| Universal Insurance Holdings, Inc. | | 900 | 15,264 |
| Unum Group | | 541,892 | 23,301,356 |
| W.R. Berkley Corp. | | 157,120 | 11,399,056 |
| | | | 1,217,175,053 |
| Mortgage Real Estate Investment Trusts - 0.0% | | | |
| Annaly Capital Management, Inc. | | 280,900 | 5,075,863 |
| Franklin BSP Realty Trust, Inc. | | 2,401 | 31,405 |
| Granite Point Mortgage Trust, Inc. | | 13,400 | 73,700 |
| Great Ajax Corp. | | 400 | 1,892 |
| Invesco Mortgage Capital, Inc. | | 2,871 | 22,997 |
| Ladder Capital Corp. Class A | | 18,086 | 202,744 |
| Nexpoint Real Estate Finance, Inc. | | 100 | 1,637 |
| PennyMac Mortgage Investment Trust | | 1,800 | 25,272 |
| Rithm Capital Corp. | | 54,100 | 561,558 |
| | | | 5,997,068 |
TOTAL FINANCIALS | | | 6,862,278,932 |
| HEALTH CARE - 11.6% | | | |
| Biotechnology - 2.3% | | | |
| AbbVie, Inc. | | 2,773,834 | 394,966,223 |
| ACADIA Pharmaceuticals, Inc. (a) | | 54,098 | 1,205,303 |
| ADMA Biologics, Inc. (a) | | 800 | 2,960 |
| Alector, Inc. (a) | | 1,100 | 5,962 |
| Allakos, Inc. (a) | | 8,693 | 19,298 |
| Alnylam Pharmaceuticals, Inc. (a) | | 12,628 | 2,124,661 |
| Altimmune, Inc. (a) | | 6,827 | 21,573 |
| Amgen, Inc. | | 721,701 | 194,599,458 |
| Argenx SE ADR (a) | | 12,800 | 5,767,808 |
| Ascendis Pharma A/S sponsored ADR (a) | | 28,000 | 2,812,040 |
| Atara Biotherapeutics, Inc. (a) | | 69,800 | 46,068 |
| Avidity Biosciences, Inc. (a) | | 3,800 | 29,678 |
| Biogen, Inc. (a) | | 326,722 | 76,479,086 |
| BioMarin Pharmaceutical, Inc. (a) | | 373,517 | 34,019,928 |
| Blueprint Medicines Corp. (a) | | 28,000 | 1,949,920 |
| C4 Therapeutics, Inc. (a) | | 16,000 | 26,080 |
| CareDx, Inc. (a) | | 2,300 | 22,333 |
| Cargo Therapeutics, Inc. | | 72,000 | 1,076,400 |
| Chimerix, Inc. (a) | | 4,380 | 4,260 |
| Coherus BioSciences, Inc. (a) | | 2,400 | 5,112 |
| Cytokinetics, Inc. (a) | | 67,000 | 2,243,160 |
| Deciphera Pharmaceuticals, Inc. (a) | | 300 | 3,783 |
| Eagle Pharmaceuticals, Inc. (a) | | 5 | 29 |
| Emergent BioSolutions, Inc. (a) | | 6,200 | 13,268 |
| Enanta Pharmaceuticals, Inc. (a) | | 12,800 | 119,552 |
| Exelixis, Inc. (a) | | 32,300 | 704,463 |
| Fate Therapeutics, Inc. (a) | | 9,400 | 23,406 |
| FibroGen, Inc. (a) | | 7,200 | 3,977 |
| Gilead Sciences, Inc. | | 1,075,779 | 82,404,671 |
| Ideaya Biosciences, Inc. (a) | | 693 | 21,795 |
| ImmunoGen, Inc. (a) | | 1,400 | 41,090 |
| Incyte Corp. (a) | | 155,651 | 8,458,075 |
| Insmed, Inc. (a) | | 400 | 10,008 |
| iTeos Therapeutics, Inc. (a) | | 3,000 | 28,080 |
| Karuna Therapeutics, Inc. (a) | | 10,000 | 1,912,100 |
| Karyopharm Therapeutics, Inc. (a) | | 4,600 | 3,542 |
| Kodiak Sciences, Inc. (a) | | 18,800 | 45,496 |
| Legend Biotech Corp. ADR (a) | | 56,000 | 3,405,920 |
| MiMedx Group, Inc. (a) | | 4,600 | 35,742 |
| Moderna, Inc. (a) | | 61,644 | 4,789,739 |
| Myriad Genetics, Inc. (a) | | 9,400 | 179,446 |
| Neurocrine Biosciences, Inc. (a) | | 1,600 | 186,544 |
| Nuvalent, Inc. Class A (a) | | 600 | 39,222 |
| Organogenesis Holdings, Inc. Class A (a) | | 2,768 | 7,058 |
| Point Biopharma Global, Inc. (a) | | 800 | 10,880 |
| Protagonist Therapeutics, Inc. (a) | | 300 | 5,463 |
| PTC Therapeutics, Inc. (a) | | 16,600 | 382,132 |
| Regeneron Pharmaceuticals, Inc. (a) | | 221,783 | 182,707,053 |
| Repligen Corp. (a)(c) | | 39,267 | 6,174,736 |
| Revolution Medicines, Inc. (a) | | 136 | 3,173 |
| Sangamo Therapeutics, Inc. (a) | | 6,778 | 2,915 |
| Sarepta Therapeutics, Inc. (a) | | 273,078 | 22,195,780 |
| Seagen, Inc. (a) | | 11,825 | 2,521,208 |
| Seres Therapeutics, Inc. (a) | | 200 | 208 |
| Stoke Therapeutics, Inc. (a)(c) | | 9,154 | 34,694 |
| TG Therapeutics, Inc. (a)(c) | | 2,700 | 34,587 |
| Travere Therapeutics, Inc. (a) | | 15,700 | 98,596 |
| Twist Bioscience Corp. (a) | | 500 | 12,025 |
| Vanda Pharmaceuticals, Inc. (a) | | 13,427 | 49,948 |
| Vaxcyte, Inc. (a) | | 61,500 | 3,183,855 |
| Vericel Corp. (a) | | 1,400 | 49,756 |
| Vertex Pharmaceuticals, Inc. (a) | | 495,429 | 175,783,163 |
| Vir Biotechnology, Inc. (a) | | 50,400 | 478,296 |
| Y-mAbs Therapeutics, Inc. (a) | | 798 | 4,956 |
| | | | 1,213,597,741 |
| Health Care Equipment & Supplies - 1.9% | | | |
| Abbott Laboratories | | 1,294,917 | 135,046,894 |
| Accuray, Inc. (a) | | 2,100 | 5,481 |
| Alcon, Inc. | | 161,000 | 12,176,430 |
| Align Technology, Inc. (a) | | 29,184 | 6,239,539 |
| Angiodynamics, Inc. (a) | | 15,600 | 101,868 |
| AxoGen, Inc. (a) | | 111 | 727 |
| Baxter International, Inc. | | 490,801 | 17,708,100 |
| Becton, Dickinson & Co. | | 164,045 | 38,744,148 |
| Boston Scientific Corp. (a) | | 3,094,596 | 172,956,970 |
| Cerus Corp. (a) | | 6,500 | 10,465 |
| Dentsply Sirona, Inc. | | 4,100 | 130,175 |
| DexCom, Inc. (a) | | 305,063 | 35,240,878 |
| Edwards Lifesciences Corp. (a) | | 575,162 | 38,944,219 |
| Embecta Corp. | | 36,300 | 665,742 |
| Enovis Corp. (a) | | 472 | 23,345 |
| Glaukos Corp. (a) | | 48,000 | 3,066,720 |
| Hologic, Inc. (a) | | 460,943 | 32,865,236 |
| IDEXX Laboratories, Inc. (a) | | 59,492 | 27,712,563 |
| InMode Ltd. (a) | | 156,872 | 3,725,710 |
| Inogen, Inc. (a) | | 1,500 | 8,730 |
| Inspire Medical Systems, Inc. (a) | | 34,200 | 4,969,602 |
| Insulet Corp. (a) | | 51,755 | 9,786,353 |
| Integra LifeSciences Holdings Corp. (a) | | 20,600 | 807,314 |
| Intuitive Surgical, Inc. (a) | | 294,782 | 91,630,037 |
| iRhythm Technologies, Inc. (a) | | 500 | 42,640 |
| Lantheus Holdings, Inc. (a) | | 5,600 | 401,072 |
| Masimo Corp. (a) | | 40,000 | 3,750,400 |
| Medtronic PLC | | 820,052 | 65,005,522 |
| Neogen Corp. (a)(c) | | 28,400 | 481,948 |
| Nevro Corp. (a) | | 44,772 | 775,451 |
| Omnicell, Inc. (a) | | 1,300 | 43,368 |
| OraSure Technologies, Inc. (a) | | 100 | 732 |
| Orthofix International NV (a) | | 1,299 | 14,354 |
| Outset Medical, Inc. (a) | | 719 | 3,768 |
| Penumbra, Inc. (a)(c) | | 52,800 | 11,726,352 |
| Pulmonx Corp. (a) | | 100 | 1,090 |
| ResMed, Inc. | | 6,700 | 1,056,791 |
| Semler Scientific, Inc. (a) | | 2,991 | 115,273 |
| Sensus Healthcare, Inc. (a) | | 1,711 | 4,141 |
| Sight Sciences, Inc. (a) | | 1,343 | 4,580 |
| Silk Road Medical, Inc. (a) | | 13,972 | 130,359 |
| Stryker Corp. | | 809,544 | 239,892,174 |
| Tactile Systems Technology, Inc. (a) | | 400 | 5,332 |
| Tandem Diabetes Care, Inc. (a) | | 59,210 | 1,198,410 |
| Teleflex, Inc. | | 91,847 | 20,728,949 |
| The Cooper Companies, Inc. | | 100 | 33,692 |
| Varex Imaging Corp. (a) | | 100 | 1,885 |
| Zimmer Biomet Holdings, Inc. | | 328,932 | 38,258,081 |
| Zimvie, Inc. (a) | | 23,300 | 220,185 |
| | | | 1,016,463,795 |
| Health Care Providers & Services - 3.1% | | | |
| Acadia Healthcare Co., Inc. (a) | | 40,000 | 2,919,600 |
| agilon health, Inc. (a)(c) | | 540,000 | 5,734,800 |
| Brookdale Senior Living, Inc. (a) | | 6,100 | 32,330 |
| Cardinal Health, Inc. | | 319,129 | 34,172,333 |
| Cencora, Inc. | | 311,250 | 63,298,913 |
| Centene Corp. (a) | | 1,429,695 | 105,339,928 |
| Cigna Group | | 408,874 | 107,484,797 |
| Community Health Systems, Inc. (a) | | 6,042 | 15,528 |
| Cross Country Healthcare, Inc. (a) | | 2,708 | 54,891 |
| CVS Health Corp. | | 1,121,751 | 76,222,980 |
| DaVita HealthCare Partners, Inc. (a) | | 213,015 | 21,612,502 |
| Elevance Health, Inc. | | 298,881 | 143,310,451 |
| Encompass Health Corp. | | 645 | 42,035 |
| Enhabit Home Health & Hospice (a) | | 3,918 | 41,766 |
| Guardant Health, Inc. (a) | | 600 | 15,102 |
| HCA Holdings, Inc. | | 575,670 | 144,193,822 |
| Henry Schein, Inc. (a) | | 118,418 | 7,902,033 |
| Humana, Inc. | | 176,003 | 85,336,815 |
| Laboratory Corp. of America Holdings | | 96,601 | 20,953,723 |
| LifeStance Health Group, Inc. (a) | | 324,700 | 2,230,689 |
| McKesson Corp. | | 228,038 | 107,305,561 |
| Modivcare, Inc. (a) | | 2,500 | 94,400 |
| Molina Healthcare, Inc. (a) | | 80,233 | 29,329,975 |
| Opko Health, Inc. (a) | | 8,700 | 12,702 |
| Option Care Health, Inc. (a) | | 3,900 | 116,025 |
| Owens & Minor, Inc. (a) | | 15,903 | 316,152 |
| Patterson Companies, Inc. | | 48,601 | 1,234,951 |
| Pediatrix Medical Group, Inc. (a) | | 26,776 | 224,383 |
| Privia Health Group, Inc. (a) | | 154,000 | 3,181,640 |
| Quest Diagnostics, Inc. | | 118,674 | 16,285,633 |
| R1 RCM, Inc. (a)(c) | | 13,400 | 141,772 |
| Select Medical Holdings Corp. | | 900 | 20,340 |
| Surgery Partners, Inc. (a)(c) | | 157,813 | 5,168,376 |
| Tenet Healthcare Corp. (a) | | 236,900 | 16,348,469 |
| The Joint Corp. (a) | | 596 | 5,239 |
| UnitedHealth Group, Inc. | | 1,171,019 | 647,538,376 |
| Universal Health Services, Inc. Class B | | 86,400 | 11,878,272 |
| | | | 1,660,117,304 |
| Health Care Technology - 0.0% | | | |
| Computer Programs & Systems, Inc. (a) | | 200 | 2,102 |
| Evolent Health, Inc. | | 110,000 | 3,058,000 |
| GoodRx Holdings, Inc. (a)(c) | | 3,200 | 19,168 |
| Health Catalyst, Inc. (a) | | 1,101 | 7,905 |
| OptimizeRx Corp. (a) | | 12,173 | 115,765 |
| Phreesia, Inc. (a) | | 70,000 | 1,078,700 |
| Veradigm, Inc. (a) | | 28,000 | 321,440 |
| | | | 4,603,080 |
| Life Sciences Tools & Services - 1.1% | | | |
| 10X Genomics, Inc. (a) | | 105,000 | 4,569,600 |
| Adaptive Biotechnologies Corp. (a) | | 100 | 438 |
| Agilent Technologies, Inc. | | 155,844 | 19,916,863 |
| Avantor, Inc. (a) | | 301,000 | 6,375,180 |
| Azenta, Inc. (a) | | 200 | 11,274 |
| Bio-Rad Laboratories, Inc. Class A (a) | | 500 | 152,460 |
| Bio-Techne Corp. | | 48,915 | 3,076,754 |
| Bruker Corp. | | 35,391 | 2,303,600 |
| Charles River Laboratories International, Inc. (a) | | 11,995 | 2,363,975 |
| Codexis, Inc. (a) | | 28,525 | 67,319 |
| Danaher Corp. | | 1,250,826 | 279,321,954 |
| Fortrea Holdings, Inc. | | 53,639 | 1,579,132 |
| Gerresheimer AG | | 27,000 | 2,552,478 |
| ICON PLC (a) | | 41,200 | 10,997,928 |
| Illumina, Inc. (a) | | 175,592 | 17,901,604 |
| IQVIA Holdings, Inc. (a) | | 38,828 | 8,313,075 |
| Maravai LifeSciences Holdings, Inc. (a) | | 20,200 | 103,020 |
| Medpace Holdings, Inc. (a) | | 15,700 | 4,250,304 |
| Mettler-Toledo International, Inc. (a) | | 13,212 | 14,426,579 |
| Nanostring Technologies, Inc. (a) | | 8,999 | 4,475 |
| OmniAb, Inc. (a) | | 28,000 | 122,920 |
| Personalis, Inc. (a) | | 55 | 84 |
| Quanterix Corp. (a) | | 5,900 | 141,423 |
| Revvity, Inc. | | 8,900 | 791,210 |
| Seer, Inc. (a) | | 600 | 966 |
| Thermo Fisher Scientific, Inc. | | 365,277 | 181,089,726 |
| West Pharmaceutical Services, Inc. | | 6,485 | 2,274,679 |
| | | | 562,709,020 |
| Pharmaceuticals - 3.2% | | | |
| Aclaris Therapeutics, Inc. (a) | | 200 | 175 |
| Amylyx Pharmaceuticals, Inc. (a) | | 7,300 | 103,368 |
| AstraZeneca PLC: | | | |
| (United Kingdom) | | 48,000 | 6,177,907 |
| sponsored ADR | | 399,859 | 25,826,893 |
| Atea Pharmaceuticals, Inc. (a) | | 400 | 1,196 |
| Bristol-Myers Squibb Co. | | 3,297,861 | 162,848,376 |
| Catalent, Inc. (a) | | 225,400 | 8,756,790 |
| Collegium Pharmaceutical, Inc. (a) | | 212 | 5,434 |
| Corcept Therapeutics, Inc. (a) | | 28,213 | 718,585 |
| CorMedix, Inc. (a)(c) | | 6,100 | 19,825 |
| Elanco Animal Health, Inc. (a) | | 2,129,953 | 25,090,846 |
| Eli Lilly & Co. | | 787,004 | 465,150,844 |
| Fulcrum Therapeutics, Inc. (a)(c) | | 12,203 | 58,574 |
| GSK PLC sponsored ADR | | 171,037 | 6,155,622 |
| Innoviva, Inc. (a) | | 2,604 | 36,065 |
| Intra-Cellular Therapies, Inc. (a) | | 200 | 12,274 |
| Jazz Pharmaceuticals PLC (a) | | 134,500 | 15,901,935 |
| Johnson & Johnson | | 1,967,040 | 304,222,406 |
| Merck & Co., Inc. | | 3,657,094 | 374,778,993 |
| Nektar Therapeutics (a) | | 23,700 | 11,613 |
| Novartis AG sponsored ADR | | 250,664 | 24,540,006 |
| Novo Nordisk A/S Series B sponsored ADR | | 397,495 | 40,480,891 |
| Nuvation Bio, Inc. (a) | | 3,900 | 4,836 |
| Organon & Co. | | 179,000 | 2,026,280 |
| Paratek Pharmaceuticals, Inc. rights (a)(d) | | 2,400 | 0 |
| Pfizer, Inc. | | 3,617,754 | 110,232,964 |
| Revance Therapeutics, Inc. (a) | | 5,000 | 33,850 |
| Roche Holding AG sponsored ADR (c) | | 395,747 | 13,332,716 |
| Royalty Pharma PLC | | 136,000 | 3,681,520 |
| Sandoz Group AG ADR (c) | | 36,240 | 1,034,471 |
| Structure Therapeutics, Inc. ADR | | 20,000 | 1,113,800 |
| Viatris, Inc. | | 3,746,153 | 34,389,685 |
| Zoetis, Inc. Class A | | 471,916 | 83,373,400 |
| | | | 1,710,122,140 |
TOTAL HEALTH CARE | | | 6,167,613,080 |
| INDUSTRIALS - 7.7% | | | |
| Aerospace & Defense - 1.7% | | | |
| Curtiss-Wright Corp. | | 22,000 | 4,705,800 |
| General Dynamics Corp. | | 193,294 | 47,737,819 |
| HEICO Corp. Class A | | 99,279 | 13,641,927 |
| Hexcel Corp. | | 8,500 | 589,135 |
| Howmet Aerospace, Inc. | | 1,281,999 | 67,433,147 |
| Huntington Ingalls Industries, Inc. | | 87,836 | 20,818,889 |
| Kaman Corp. | | 470 | 9,527 |
| L3Harris Technologies, Inc. | | 197,035 | 37,596,248 |
| Lockheed Martin Corp. | | 241,950 | 108,337,952 |
| Moog, Inc. Class A | | 50,300 | 7,042,503 |
| Northrop Grumman Corp. | | 141,837 | 67,395,269 |
| Park Aerospace Corp. | | 200 | 3,016 |
| RTX Corp. (c) | | 1,855,244 | 151,165,281 |
| Textron, Inc. | | 339,988 | 26,063,480 |
| The Boeing Co. (a) | | 1,087,847 | 251,978,001 |
| TransDigm Group, Inc. | | 104,468 | 100,589,103 |
| Triumph Group, Inc. (a) | | 30,200 | 337,938 |
| Woodward, Inc. | | 500 | 67,590 |
| | | | 905,512,625 |
| Air Freight & Logistics - 0.6% | | | |
| Air Transport Services Group, Inc. (a) | | 7,840 | 124,734 |
| C.H. Robinson Worldwide, Inc. (c) | | 504,839 | 41,422,040 |
| Expeditors International of Washington, Inc. | | 235,639 | 28,356,797 |
| FedEx Corp. | | 322,719 | 83,529,359 |
| Forward Air Corp. | | 499 | 31,701 |
| United Parcel Service, Inc. Class B | | 923,874 | 140,068,537 |
| | | | 293,533,168 |
| Building Products - 0.6% | | | |
| A.O. Smith Corp. | | 47,300 | 3,564,528 |
| Advanced Drain Systems, Inc. | | 12,617 | 1,528,045 |
| Allegion PLC | | 163,906 | 17,388,788 |
| Builders FirstSource, Inc. (a) | | 156,189 | 20,946,507 |
| Carlisle Companies, Inc. | | 35,604 | 9,983,718 |
| Carrier Global Corp. (c) | | 610,849 | 31,739,714 |
| Fortune Brands Home & Security, Inc. | | 132,100 | 9,039,603 |
| Griffon Corp. | | 5,100 | 237,303 |
| Jeld-Wen Holding, Inc. (a) | | 2,000 | 31,960 |
| Johnson Controls International PLC | | 789,237 | 41,671,714 |
| Lennox International, Inc. | | 15,500 | 6,303,230 |
| Masco Corp. | | 228,942 | 13,862,438 |
| MasterBrand, Inc. | | 62,100 | 833,382 |
| Owens Corning | | 193,805 | 26,276,082 |
| PGT Innovations, Inc. (a) | | 5,398 | 173,762 |
| Resideo Technologies, Inc. (a) | | 500 | 8,215 |
| The AZEK Co., Inc. (a) | | 3,792 | 130,786 |
| Trane Technologies PLC | | 596,460 | 134,448,049 |
| Trex Co., Inc. (a) | | 8,600 | 604,322 |
| UFP Industries, Inc. | | 9,800 | 1,074,374 |
| | | | 319,846,520 |
| Commercial Services & Supplies - 0.4% | | | |
| Brady Corp. Class A | | 3,400 | 191,318 |
| Cintas Corp. | | 47,501 | 26,279,928 |
| Copart, Inc. | | 1,300,973 | 65,334,864 |
| Deluxe Corp. (c) | | 215,300 | 3,937,837 |
| Driven Brands Holdings, Inc. (a) | | 8,600 | 113,090 |
| Ennis, Inc. | | 202 | 4,288 |
| Enviri Corp. (a) | | 45,000 | 265,500 |
| Healthcare Services Group, Inc. | | 1,000 | 9,710 |
| Interface, Inc. | | 100 | 1,011 |
| Millerknoll, Inc. | | 9,929 | 256,168 |
| Pitney Bowes, Inc. (c) | | 700 | 2,828 |
| Republic Services, Inc. | | 259,690 | 42,028,230 |
| Rollins, Inc. | | 3,400 | 138,516 |
| Steelcase, Inc. Class A | | 900 | 11,079 |
| Stericycle, Inc. (a) | | 200 | 9,394 |
| Veralto Corp. | | 82,712 | 6,389,502 |
| Waste Connections, Inc. (United States) | | 240,452 | 32,578,841 |
| Waste Management, Inc. | | 22,716 | 3,884,209 |
| | | | 181,436,313 |
| Construction & Engineering - 0.0% | | | |
| AECOM | | 200 | 17,772 |
| Fluor Corp. (a) | | 62,600 | 2,380,678 |
| MDU Resources Group, Inc. | | 1,100 | 21,054 |
| MYR Group, Inc. (a) | | 794 | 98,789 |
| Northwest Pipe Co. (a) | | 217 | 5,885 |
| Quanta Services, Inc. | | 11,800 | 2,222,058 |
| Sterling Construction Co., Inc. (a) | | 400 | 25,404 |
| Valmont Industries, Inc. | | 4,899 | 1,075,673 |
| Willscot Mobile Mini Holdings (a) | | 79,038 | 3,297,465 |
| | | | 9,144,778 |
| Electrical Equipment - 0.3% | | | |
| Acuity Brands, Inc. | | 61,700 | 11,060,342 |
| American Superconductor Corp. (a)(c) | | 16,200 | 153,252 |
| AMETEK, Inc. | | 179,731 | 27,899,643 |
| Array Technologies, Inc. (a) | | 1,000 | 15,470 |
| Atkore, Inc. (a) | | 3,500 | 454,650 |
| Babcock & Wilcox Enterprises, Inc. (a) | | 27,600 | 39,192 |
| Eaton Corp. PLC | | 503,304 | 114,597,288 |
| Emerson Electric Co. | | 129,704 | 11,530,686 |
| Encore Wire Corp. (c) | �� | 7,034 | 1,296,366 |
| Fluence Energy, Inc. (a)(c) | | 1,800 | 45,144 |
| Generac Holdings, Inc. (a) | | 400 | 46,828 |
| Powell Industries, Inc. | | 100 | 8,316 |
| Rockwell Automation, Inc. | | 36,329 | 10,006,460 |
| TPI Composites, Inc. (a)(c) | | 2,000 | 4,220 |
| Vertiv Holdings Co. | | 1,100 | 48,026 |
| Vicor Corp. (a) | | 2,752 | 100,641 |
| | | | 177,306,524 |
| Ground Transportation - 1.1% | | | |
| Avis Budget Group, Inc. (a) | | 10,400 | 1,901,640 |
| Canadian National Railway Co. (c) | | 150,900 | 17,496,855 |
| Canadian Pacific Kansas City Ltd. (c) | | 105,857 | 7,621,704 |
| Covenant Transport Group, Inc. Class A | | 700 | 29,799 |
| CSX Corp. | | 3,269,292 | 105,598,132 |
| Daseke, Inc. (a) | | 286 | 1,253 |
| J.B. Hunt Transport Services, Inc. | | 75,745 | 14,033,276 |
| Knight-Swift Transportation Holdings, Inc. Class A | | 44,700 | 2,403,966 |
| Landstar System, Inc. | | 800 | 138,120 |
| Marten Transport Ltd. | | 6,200 | 116,870 |
| Norfolk Southern Corp. | | 291,793 | 63,657,561 |
| Old Dominion Freight Lines, Inc. | | 134,694 | 52,404,048 |
| RXO, Inc. (a) | | 2,261 | 47,391 |
| Saia, Inc. (a) | | 53,618 | 20,931,931 |
| Schneider National, Inc. Class B | | 4,900 | 112,847 |
| TuSimple Holdings, Inc. (a) | | 6,667 | 5,674 |
| U-Haul Holding Co. (a)(c) | | 5,600 | 317,016 |
| U-Haul Holding Co. (non-vtg.) | | 52,900 | 2,864,535 |
| Uber Technologies, Inc. (a) | | 1,925,266 | 108,546,497 |
| Union Pacific Corp. | | 844,180 | 190,168,429 |
| | | | 588,397,544 |
| Industrial Conglomerates - 0.9% | | | |
| 3M Co. | | 184,936 | 18,321,610 |
| General Electric Co. | | 1,142,595 | 139,168,071 |
| Honeywell International, Inc. | | 1,618,873 | 317,169,598 |
| | | | 474,659,279 |
| Machinery - 1.7% | | | |
| AGCO Corp. | | 213,998 | 24,295,193 |
| Alamo Group, Inc. | | 100 | 18,370 |
| Albany International Corp. Class A | | 396 | 33,985 |
| Allison Transmission Holdings, Inc. | | 297,700 | 15,920,996 |
| Barnes Group, Inc. | | 400 | 10,552 |
| Caterpillar, Inc. | | 386,520 | 96,908,294 |
| Commercial Vehicle Group, Inc. (a) | | 771 | 5,027 |
| Cummins, Inc. | | 374,065 | 83,850,410 |
| Deere & Co. | | 430,132 | 156,744,402 |
| Dover Corp. | | 170,831 | 24,114,504 |
| Enerpac Tool Group Corp. Class A | | 13,286 | 362,708 |
| ESAB Corp. | | 57,300 | 4,420,695 |
| Flowserve Corp. | | 59,600 | 2,280,296 |
| Fortive Corp. | | 339,515 | 23,419,745 |
| Franklin Electric Co., Inc. | | 200 | 17,800 |
| Hyliion Holdings Corp. Class A (a) | | 1,600 | 910 |
| IDEX Corp. | | 65,799 | 13,270,342 |
| Illinois Tool Works, Inc. | | 121,593 | 29,451,041 |
| Ingersoll Rand, Inc. | | 1,790,392 | 127,887,701 |
| Kennametal, Inc. | | 1,400 | 32,634 |
| Manitowoc Co., Inc. (a) | | 300 | 4,299 |
| Middleby Corp. (a) | | 53,269 | 6,724,146 |
| Mueller Industries, Inc. | | 1,488 | 61,797 |
| Oshkosh Corp. | | 228,900 | 22,269,681 |
| Otis Worldwide Corp. | | 474,566 | 40,713,017 |
| PACCAR, Inc. | | 351,380 | 32,263,712 |
| Parker Hannifin Corp. | | 221,403 | 95,907,352 |
| Pentair PLC | | 82,800 | 5,343,912 |
| Proto Labs, Inc. (a) | | 1,900 | 68,780 |
| REV Group, Inc. | | 4,900 | 77,371 |
| Shyft Group, Inc. (The) | | 32,300 | 357,561 |
| Snap-On, Inc. | | 55,460 | 15,234,307 |
| Stanley Black & Decker, Inc. (c) | | 460,557 | 41,864,631 |
| Tennant Co. | | 100 | 8,562 |
| The Greenbrier Companies, Inc. (c) | | 1,800 | 67,878 |
| Timken Co. | | 159,337 | 11,535,999 |
| Titan International, Inc. (a) | | 6,001 | 78,433 |
| Wabash National Corp. | | 45,510 | 997,579 |
| Westinghouse Air Brake Tech Co. | | 95,986 | 11,188,128 |
| Xylem, Inc. | | 124,500 | 13,088,685 |
| | | | 900,901,435 |
| Marine Transportation - 0.0% | | | |
| Kirby Corp. (a) | | 2,300 | 176,525 |
| Passenger Airlines - 0.1% | | | |
| Alaska Air Group, Inc. (a) | | 164,700 | 6,227,307 |
| American Airlines Group, Inc. (a) | | 521,493 | 6,482,158 |
| Delta Air Lines, Inc. | | 827,731 | 30,568,106 |
| Hawaiian Holdings, Inc. (a) | | 1,200 | 5,388 |
| Southwest Airlines Co. | | 414,643 | 10,602,422 |
| United Airlines Holdings, Inc. (a) | | 540,360 | 21,290,184 |
| | | | 75,175,565 |
| Professional Services - 0.2% | | | |
| Asure Software, Inc. (a) | | 1,625 | 12,951 |
| Automatic Data Processing, Inc. | | 104,913 | 24,121,597 |
| Broadridge Financial Solutions, Inc. | | 100,365 | 19,452,744 |
| CACI International, Inc. Class A (a) | | 4,300 | 1,380,085 |
| Ceridian HCM Holding, Inc. (a)(c) | | 168,078 | 11,580,574 |
| Conduent, Inc. (a) | | 24,903 | 75,705 |
| CSG Systems International, Inc. | | 144,500 | 7,107,955 |
| Dun & Bradstreet Holdings, Inc. | | 307,616 | 3,257,653 |
| Equifax, Inc. | | 51,188 | 11,144,139 |
| ExlService Holdings, Inc. (a) | | 200 | 5,674 |
| Franklin Covey Co. (a) | | 199 | 7,737 |
| Heidrick & Struggles International, Inc. | | 200 | 5,436 |
| HireRight Holdings Corp. (a) | | 700 | 9,205 |
| Jacobs Solutions, Inc. | | 900 | 114,462 |
| KBR, Inc. | | 13,200 | 682,044 |
| LegalZoom.com, Inc. (a) | | 47,710 | 550,096 |
| Leidos Holdings, Inc. | | 108,440 | 11,637,781 |
| Manpower, Inc. | | 83,100 | 6,166,851 |
| Parsons Corp. (a) | | 36,200 | 2,254,898 |
| Paychex, Inc. | | 35,185 | 4,291,514 |
| Paycom Software, Inc. | | 33,623 | 6,107,954 |
| Resources Connection, Inc. | | 54 | 734 |
| Robert Half, Inc. | | 28,100 | 2,303,638 |
| Science Applications International Corp. | | 6,999 | 821,753 |
| TrueBlue, Inc. (a) | | 4,500 | 62,730 |
| Ttec Holdings, Inc. | | 5,600 | 104,832 |
| Verisk Analytics, Inc. | | 9,400 | 2,269,442 |
| Verra Mobility Corp. (a) | | 7,800 | 156,624 |
| | | | 115,686,808 |
| Trading Companies & Distributors - 0.1% | | | |
| Beacon Roofing Supply, Inc. (a) | | 600 | 48,216 |
| Core & Main, Inc. (a) | | 8,600 | 301,258 |
| Fastenal Co. | | 17,400 | 1,043,478 |
| Ferguson PLC | | 54,000 | 9,252,360 |
| GMS, Inc. (a) | | 300 | 20,292 |
| Hudson Technologies, Inc. (a) | | 1,500 | 18,525 |
| NOW, Inc. (a) | | 400 | 3,988 |
| Rush Enterprises, Inc. Class A | | 5,205 | 206,482 |
| SiteOne Landscape Supply, Inc. (a) | | 18,800 | 2,647,416 |
| United Rentals, Inc. | | 43,443 | 20,679,737 |
| W.W. Grainger, Inc. | | 6,400 | 5,031,616 |
| Watsco, Inc. (c) | | 1,800 | 688,014 |
| WESCO International, Inc. | | 3,499 | 545,319 |
| | | | 40,486,701 |
TOTAL INDUSTRIALS | | | 4,082,263,785 |
| INFORMATION TECHNOLOGY - 23.3% | | | |
| Communications Equipment - 0.5% | | | |
| Arista Networks, Inc. (a) | | 142,859 | 31,387,551 |
| Cisco Systems, Inc. | | 3,586,029 | 173,492,083 |
| CommScope Holding Co., Inc. (a) | | 31,300 | 52,271 |
| Comtech Telecommunications Corp. | | 300 | 3,543 |
| F5, Inc. (a) | | 949 | 162,459 |
| Infinera Corp. (a) | | 36,400 | 141,596 |
| Juniper Networks, Inc. | | 447,909 | 12,743,011 |
| KVH Industries, Inc. (a) | | 100 | 479 |
| Motorola Solutions, Inc. | | 202,152 | 65,268,816 |
| NETGEAR, Inc. (a) | | 4,900 | 66,836 |
| NetScout Systems, Inc. (a) | | 34,131 | 685,350 |
| Viavi Solutions, Inc. (a) | | 4,900 | 39,592 |
| | | | 284,043,587 |
| Electronic Equipment, Instruments & Components - 0.5% | | | |
| Aeva Technologies, Inc. (a) | | 1,200 | 670 |
| Amphenol Corp. Class A | | 878,400 | 79,925,616 |
| Arlo Technologies, Inc. (a) | | 1,379 | 12,535 |
| Arrow Electronics, Inc. (a) | | 125,400 | 14,867,424 |
| Avnet, Inc. | | 128,817 | 6,023,483 |
| Badger Meter, Inc. | | 1,400 | 206,318 |
| CDW Corp. | | 15,939 | 3,361,216 |
| Cognex Corp. | | 700 | 26,390 |
| Corning, Inc. | | 244,741 | 6,972,671 |
| Daktronics, Inc. (a) | | 1,960 | 20,443 |
| FARO Technologies, Inc. (a) | | 200 | 3,674 |
| Flex Ltd. (a) | | 380,100 | 9,673,545 |
| Identiv, Inc. (a) | | 117 | 810 |
| Itron, Inc. (a) | | 2,384 | 160,634 |
| Jabil, Inc. | | 108,500 | 12,512,220 |
| Keysight Technologies, Inc. (a) | | 363,793 | 49,435,831 |
| Methode Electronics, Inc. Class A | | 2,400 | 56,952 |
| nLIGHT, Inc. (a) | | 881 | 11,647 |
| Par Technology Corp. (a)(c) | | 500 | 18,415 |
| Plexus Corp. (a) | | 308 | 31,382 |
| Sanmina Corp. (a) | | 13,700 | 686,507 |
| TD SYNNEX Corp. | | 80,075 | 7,898,598 |
| TE Connectivity Ltd. | | 273,032 | 35,767,192 |
| Teledyne Technologies, Inc. (a) | | 99,981 | 40,288,344 |
| Trimble, Inc. (a) | | 14,900 | 691,360 |
| TTM Technologies, Inc. (a) | | 22,252 | 334,003 |
| Vishay Intertechnology, Inc. | | 291,800 | 6,486,714 |
| Zebra Technologies Corp. Class A (a) | | 26,210 | 6,211,246 |
| | | | 281,685,840 |
| IT Services - 0.8% | | | |
| Accenture PLC Class A | | 392,095 | 130,622,528 |
| Akamai Technologies, Inc. (a) | | 39,700 | 4,586,541 |
| Amdocs Ltd. | | 108,900 | 9,122,553 |
| Brightcove, Inc. (a) | | 7,689 | 18,838 |
| Capgemini SA | | 33,800 | 6,916,764 |
| Cognizant Technology Solutions Corp. Class A | | 818,904 | 57,634,464 |
| DXC Technology Co. (a) | | 193,532 | 4,476,395 |
| EPAM Systems, Inc. (a) | | 34,525 | 8,914,010 |
| Gartner, Inc. (a) | | 29,721 | 12,923,880 |
| Grid Dynamics Holdings, Inc. (a) | | 12,400 | 157,232 |
| IBM Corp. | | 490,265 | 77,736,418 |
| Infosys Ltd. sponsored ADR | | 146,200 | 2,565,810 |
| Kyndryl Holdings, Inc. (a) | | 109,900 | 1,981,497 |
| MongoDB, Inc. Class A (a) | | 34,500 | 14,343,030 |
| Rackspace Technology, Inc. (a) | | 8,760 | 11,038 |
| Shopify, Inc. Class A (a) | | 725,950 | 52,863,679 |
| Snowflake, Inc. (a) | | 70,500 | 13,231,440 |
| Twilio, Inc. Class A (a) | | 85,800 | 5,549,544 |
| Unisys Corp. (a) | | 19,007 | 91,044 |
| VeriSign, Inc. (a) | | 72,747 | 15,436,913 |
| Wix.com Ltd. (a) | | 34,500 | 3,501,750 |
| | | | 422,685,368 |
| Semiconductors & Semiconductor Equipment - 6.3% | | | |
| Advanced Micro Devices, Inc. (a) | | 1,697,078 | 205,617,970 |
| AEHR Test Systems (a)(c) | | 500 | 11,480 |
| Allegro MicroSystems LLC (a)(c) | | 8,300 | 225,926 |
| Amkor Technology, Inc. | | 22,524 | 634,501 |
| Analog Devices, Inc. | | 70,134 | 12,861,173 |
| Applied Materials, Inc. | | 691,955 | 103,641,020 |
| ASML Holding NV: | | | |
| (depository receipt) | | 119,273 | 81,554,106 |
| (Netherlands) | | 12,100 | 8,246,473 |
| Axcelis Technologies, Inc. (a) | | 3,100 | 385,268 |
| AXT, Inc. (a) | | 7,835 | 15,592 |
| Broadcom, Inc. | | 355,160 | 328,782,267 |
| Cohu, Inc. (a) | | 999 | 31,698 |
| Enphase Energy, Inc. (a) | | 80,268 | 8,108,673 |
| Entegris, Inc. | | 325,236 | 33,954,638 |
| Everspin Technologies, Inc. (a) | | 3,623 | 32,281 |
| First Solar, Inc. (a) | | 49,784 | 7,854,920 |
| FormFactor, Inc. (a) | | 496 | 18,640 |
| Intel Corp. | | 1,139,100 | 50,917,770 |
| KLA Corp. | | 161,873 | 88,159,273 |
| Kopin Corp. (a) | | 25,165 | 38,251 |
| Kulicke & Soffa Industries, Inc. | | 712 | 36,682 |
| Lam Research Corp. | | 108,576 | 77,731,730 |
| Lattice Semiconductor Corp. (a) | | 114,010 | 6,675,286 |
| MACOM Technology Solutions Holdings, Inc. (a) | | 300 | 25,194 |
| Marvell Technology, Inc. | | 510,122 | 28,429,099 |
| MaxLinear, Inc. Class A (a) | | 52,500 | 983,325 |
| Microchip Technology, Inc. | | 543,723 | 45,368,247 |
| Micron Technology, Inc. | | 795,996 | 60,591,216 |
| Monolithic Power Systems, Inc. | | 27,646 | 15,169,913 |
| NVIDIA Corp. | | 2,949,334 | 1,379,403,512 |
| NXP Semiconductors NV | | 992,294 | 202,507,360 |
| ON Semiconductor Corp. (a) | | 481,651 | 34,356,166 |
| PDF Solutions, Inc. (a) | | 4,200 | 125,958 |
| Photronics, Inc. (a) | | 27,500 | 581,075 |
| Qorvo, Inc. (a) | | 203,028 | 19,592,202 |
| Qualcomm, Inc. | | 1,443,525 | 186,286,901 |
| Renesas Electronics Corp. (a) | | 299,400 | 5,218,231 |
| SiTime Corp. (a) | | 176 | 19,466 |
| Skyworks Solutions, Inc. | | 220,360 | 21,359,495 |
| SolarEdge Technologies, Inc. (a) | | 51,000 | 4,048,380 |
| Taiwan Semiconductor Manufacturing Co. Ltd. | | 592,000 | 10,775,128 |
| Taiwan Semiconductor Manufacturing Co. Ltd. sponsored ADR | | 846,824 | 82,404,443 |
| Teradyne, Inc. | | 501,150 | 46,221,065 |
| Texas Instruments, Inc. | | 1,058,319 | 161,615,894 |
| Veeco Instruments, Inc. (a) | | 7,000 | 199,710 |
| | | | 3,320,817,598 |
| Software - 10.0% | | | |
| 8x8, Inc. (a) | | 13,100 | 40,479 |
| A10 Networks, Inc. | | 200 | 2,498 |
| ACI Worldwide, Inc. (a) | | 7,600 | 203,224 |
| Adeia, Inc. | | 2,700 | 24,813 |
| Adobe, Inc. (a) | | 769,628 | 470,250,404 |
| ANSYS, Inc. (a) | | 52,051 | 15,269,681 |
| AppFolio, Inc. (a) | | 412 | 77,971 |
| Appian Corp. Class A (a) | | 9,100 | 329,784 |
| AppLovin Corp. (a) | | 97,900 | 3,669,292 |
| Asana, Inc. (a) | | 1,400 | 29,414 |
| Autodesk, Inc. (a) | | 429,263 | 93,763,917 |
| Blackbaud, Inc. (a) | | 195 | 14,672 |
| BlackLine, Inc. (a) | | 800 | 46,280 |
| Box, Inc. Class A (a) | | 19,300 | 505,081 |
| Cadence Design Systems, Inc. (a) | | 234,670 | 64,128,271 |
| CCC Intelligent Solutions Holdings, Inc. (a)(e) | | 35,655 | 416,450 |
| Consensus Cloud Solutions, Inc. (a) | | 42,800 | 788,376 |
| Descartes Systems Group, Inc. (a) | | 177,612 | 14,393,676 |
| Digital Turbine, Inc. (a) | | 88,400 | 411,060 |
| DocuSign, Inc. (a) | | 948,010 | 40,859,231 |
| Domo, Inc. Class B (a) | | 4,857 | 46,093 |
| Dropbox, Inc. Class A (a) | | 175,000 | 4,931,500 |
| Dynatrace, Inc. (a) | | 9,800 | 524,790 |
| Ebix, Inc. (c) | | 4,800 | 18,912 |
| eGain Communications Corp. (a) | | 94 | 716 |
| Elastic NV (a) | | 42,600 | 3,423,336 |
| Envestnet, Inc. (a) | | 100 | 3,803 |
| Everbridge, Inc. (a) | | 1,700 | 34,612 |
| Expensify, Inc. (a) | | 17,900 | 41,707 |
| Fair Isaac Corp. (a) | | 21,779 | 23,686,840 |
| Five9, Inc. (a) | | 57,500 | 4,382,650 |
| Fortinet, Inc. (a) | | 717,631 | 37,718,685 |
| Freshworks, Inc. (a) | | 200 | 4,004 |
| Gen Digital, Inc. | | 1,273,909 | 28,127,911 |
| HashiCorp, Inc. (a) | | 2,481 | 53,143 |
| HubSpot, Inc. (a) | | 27,353 | 13,510,467 |
| InterDigital, Inc. (c) | | 12,700 | 1,268,984 |
| Intuit, Inc. | | 483,517 | 276,310,625 |
| Liveramp Holdings, Inc. (a) | | 4,282 | 141,991 |
| Microsoft Corp. | | 8,781,566 | 3,327,423,174 |
| Model N, Inc. (a) | | 800 | 18,360 |
| NCR Voyix Corp. (a) | | 219,300 | 3,438,624 |
| Nutanix, Inc. Class A (a) | | 1,000 | 43,090 |
| Oracle Corp. | | 1,224,540 | 142,303,793 |
| Palantir Technologies, Inc. (a) | | 220,000 | 4,411,000 |
| Palo Alto Networks, Inc. (a) | | 158,435 | 46,752,584 |
| PTC, Inc. (a) | | 254 | 39,969 |
| Q2 Holdings, Inc. (a) | | 12,100 | 429,792 |
| Rapid7, Inc. (a) | | 3,900 | 211,185 |
| Rimini Street, Inc. (a) | | 25,600 | 80,384 |
| Roper Technologies, Inc. | | 149,799 | 80,629,312 |
| Salesforce, Inc. (a) | | 1,264,240 | 318,462,056 |
| Samsara, Inc. (a) | | 228,000 | 6,279,120 |
| SecureWorks Corp. (a) | | 831 | 4,969 |
| ServiceNow, Inc. (a) | | 167,264 | 114,699,615 |
| Sprinklr, Inc. (a) | | 10,000 | 156,800 |
| Synopsys, Inc. (a) | | 215,420 | 117,022,607 |
| Tenable Holdings, Inc. (a) | | 61,000 | 2,524,790 |
| Teradata Corp. (a) | | 46,000 | 2,173,500 |
| Upland Software, Inc. (a) | | 21,692 | 102,386 |
| Varonis Systems, Inc. (a) | | 22,200 | 929,958 |
| Verint Systems, Inc. (a) | | 6,187 | 152,015 |
| Vertex, Inc. Class A (a) | | 600 | 16,836 |
| Weave Communications, Inc. (a) | | 100 | 944 |
| Workday, Inc. Class A (a) | | 159,576 | 43,200,415 |
| Workiva, Inc. (a) | | 400 | 38,468 |
| Xperi, Inc. (a) | | 2,700 | 27,864 |
| Yext, Inc. (a) | | 46,100 | 305,643 |
| Zeta Global Holdings Corp. (a) | | 1,100 | 8,987 |
| Zoom Video Communications, Inc. Class A (a) | | 53,878 | 3,654,545 |
| Zscaler, Inc. (a) | | 85,126 | 16,814,939 |
| Zuora, Inc. (a) | | 10,300 | 93,936 |
| | | | 5,331,907,003 |
| Technology Hardware, Storage & Peripherals - 5.2% | | | |
| Apple, Inc. | | 13,378,413 | 2,541,229,549 |
| Corsair Gaming, Inc. (a) | | 1,000 | 12,910 |
| Dell Technologies, Inc. | | 434,000 | 32,927,580 |
| Hewlett Packard Enterprise Co. | | 1,465,294 | 24,778,122 |
| HP, Inc. | | 1,189,037 | 34,886,346 |
| Immersion Corp. | | 3,272 | 21,203 |
| NetApp, Inc. | | 71,100 | 6,497,829 |
| Pure Storage, Inc. Class A (a) | | 655,107 | 21,821,614 |
| Samsung Electronics Co. Ltd. | | 100,890 | 5,650,492 |
| Seagate Technology Holdings PLC | | 809,462 | 64,028,444 |
| Western Digital Corp. (a) | | 373,385 | 18,038,229 |
| Xerox Holdings Corp. | | 386,650 | 5,409,234 |
| | | | 2,755,301,552 |
TOTAL INFORMATION TECHNOLOGY | | | 12,396,440,948 |
| MATERIALS - 2.0% | | | |
| Chemicals - 1.3% | | | |
| Air Products & Chemicals, Inc. | | 12,892 | 3,487,931 |
| Albemarle Corp. (c) | | 19,188 | 2,326,929 |
| Alto Ingredients, Inc. (a) | | 13,300 | 32,452 |
| American Vanguard Corp. | | 14,000 | 131,320 |
| Axalta Coating Systems Ltd. (a) | | 178,869 | 5,629,007 |
| Cabot Corp. | | 21,095 | 1,601,111 |
| Celanese Corp. Class A (c) | | 98,033 | 13,593,256 |
| CF Industries Holdings, Inc. | | 266,539 | 20,030,406 |
| Chemtrade Logistics Income Fund | | 128,373 | 823,055 |
| Corteva, Inc. | | 470,714 | 21,276,273 |
| Dow, Inc. | | 1,022,405 | 52,909,459 |
| DuPont de Nemours, Inc. | | 37,451 | 2,679,245 |
| Eastman Chemical Co. | | 105,100 | 8,810,533 |
| Ecolab, Inc. | | 71,498 | 13,708,312 |
| FMC Corp. | | 119,047 | 6,388,062 |
| Huntsman Corp. | | 280,300 | 6,895,380 |
| Ingevity Corp. (a) | | 112,800 | 4,375,512 |
| Intrepid Potash, Inc. (a) | | 17,300 | 355,342 |
| Linde PLC | | 774,171 | 320,328,735 |
| LSB Industries, Inc. (a) | | 43,200 | 370,224 |
| LyondellBasell Industries NV Class A | | 339,786 | 32,313,649 |
| Nutrien Ltd. | | 11,200 | 599,061 |
| Nutrien Ltd. | | 103,316 | 5,524,307 |
| Olin Corp. | | 56,810 | 2,678,023 |
| PPG Industries, Inc. | | 234,060 | 33,234,179 |
| Rayonier Advanced Materials, Inc. (a) | | 1,400 | 4,620 |
| RPM International, Inc. | | 207,618 | 21,370,121 |
| Sherwin-Williams Co. | | 270,609 | 75,445,789 |
| The Chemours Co. LLC | | 278,174 | 7,630,313 |
| The Mosaic Co. | | 303,619 | 10,896,886 |
| Tronox Holdings PLC (c) | | 117,300 | 1,495,575 |
| Valhi, Inc. | | 200 | 2,716 |
| Westlake Corp. | | 8,286 | 1,063,840 |
| | | | 678,011,623 |
| Construction Materials - 0.1% | | | |
| Eagle Materials, Inc. | | 9,700 | 1,756,185 |
| Knife River Holding Co. | | 400 | 23,872 |
| Martin Marietta Materials, Inc. | | 71,609 | 33,268,825 |
| Summit Materials, Inc. | | 8,000 | 277,520 |
| Vulcan Materials Co. | | 106,234 | 22,687,333 |
| | | | 58,013,735 |
| Containers & Packaging - 0.3% | | | |
| Aptargroup, Inc. | | 12,178 | 1,545,266 |
| Avery Dennison Corp. | | 67,403 | 13,109,884 |
| Ball Corp. | | 1,200,055 | 66,351,041 |
| Berry Global Group, Inc. | | 262,700 | 17,369,724 |
| Crown Holdings, Inc. | | 97,699 | 8,403,091 |
| Graphic Packaging Holding Co. | | 374,700 | 8,494,449 |
| Greif, Inc. Class A | | 21,362 | 1,493,204 |
| International Paper Co. | | 189,341 | 6,994,257 |
| Myers Industries, Inc. | | 771 | 13,585 |
| O-I Glass, Inc. (a) | | 181,900 | 2,684,844 |
| Packaging Corp. of America | | 166,932 | 28,046,245 |
| Pactiv Evergreen, Inc. | | 52 | 595 |
| Ranpak Holdings Corp. (A Shares) (a) | | 7,100 | 29,110 |
| Sealed Air Corp. | | 4,300 | 143,534 |
| Silgan Holdings, Inc. | | 91,696 | 3,825,557 |
| Sonoco Products Co. | | 24,500 | 1,351,420 |
| WestRock Co. | | 467,268 | 19,237,424 |
| | | | 179,093,230 |
| Metals & Mining - 0.3% | | | |
| Agnico Eagle Mines Ltd. (United States) (c) | | 170,200 | 9,139,740 |
| Arch Resources, Inc. | | 1,100 | 182,556 |
| ATI, Inc. (a) | | 1,500 | 65,925 |
| Carpenter Technology Corp. | | 419 | 29,669 |
| Century Aluminum Co. (a) | | 7,500 | 58,950 |
| Cleveland-Cliffs, Inc. (a) | | 136,700 | 2,345,772 |
| Commercial Metals Co. | | 17,700 | 802,341 |
| E3 Lithium Ltd. (a) | | 19,400 | 30,452 |
| First Quantum Minerals Ltd. | | 29,994 | 245,575 |
| Franco-Nevada Corp. (c) | | 66,400 | 7,443,440 |
| Franco-Nevada Corp. | | 8,482 | 949,994 |
| Freeport-McMoRan, Inc. | | 941,950 | 35,153,574 |
| Gatos Silver, Inc. (a) | | 1,300 | 8,229 |
| Gold Resource Corp. | | 3,431 | 1,099 |
| Hecla Mining Co. | | 300 | 1,494 |
| Ivanhoe Mines Ltd. (a) | | 99,880 | 891,372 |
| Nucor Corp. | | 222,791 | 37,867,786 |
| Reliance Steel & Aluminum Co. | | 70,119 | 19,300,956 |
| Ryerson Holding Corp. | | 300 | 9,291 |
| Southern Copper Corp. | | 19,600 | 1,409,828 |
| Steel Dynamics, Inc. | | 355,526 | 42,353,812 |
| SunCoke Energy, Inc. | | 9,300 | 86,583 |
| TimkenSteel Corp. (a) | | 883 | 17,943 |
| United States Steel Corp. (c) | | 64,000 | 2,297,600 |
| Warrior Metropolitan Coal, Inc. | | 200 | 11,194 |
| | | | 160,705,175 |
| Paper & Forest Products - 0.0% | | | |
| Clearwater Paper Corp. (a) | | 100 | 3,507 |
| Glatfelter Corp. (a) | | 938 | 1,379 |
| Louisiana-Pacific Corp. | | 7,900 | 481,821 |
| Sylvamo Corp. | | 28,090 | 1,412,365 |
| West Fraser Timber Co. Ltd. | | 217,649 | 15,792,611 |
| | | | 17,691,683 |
TOTAL MATERIALS | | | 1,093,515,446 |
| REAL ESTATE - 1.7% | | | |
| Equity Real Estate Investment Trusts (REITs) - 1.5% | | | |
| Agree Realty Corp. | | 6,400 | 378,944 |
| Alexandria Real Estate Equities, Inc. | | 1,800 | 196,920 |
| American Assets Trust, Inc. | | 1,700 | 34,238 |
| American Homes 4 Rent Class A | | 389,118 | 14,113,310 |
| American Tower Corp. | | 486,061 | 101,479,816 |
| Americold Realty Trust | | 4,600 | 129,858 |
| Apartment Investment & Management Co. Class A (a) | | 6,100 | 42,029 |
| Apple Hospitality (REIT), Inc. | | 235,267 | 3,921,901 |
| AvalonBay Communities, Inc. | | 158,213 | 27,361,356 |
| Boston Properties, Inc. | | 1,000 | 56,930 |
| Braemar Hotels & Resorts, Inc. | | 2,200 | 4,620 |
| Brandywine Realty Trust (SBI) | | 767,000 | 3,420,820 |
| Brixmor Property Group, Inc. | | 300,365 | 6,463,855 |
| Camden Property Trust (SBI) | | 79,314 | 7,158,882 |
| CareTrust (REIT), Inc. | | 6,100 | 140,788 |
| Chatham Lodging Trust | | 643 | 6,372 |
| City Office REIT, Inc. | | 2,100 | 10,143 |
| COPT Defense Properties (SBI) | | 44,400 | 1,074,480 |
| Cousins Properties, Inc. | | 100 | 2,052 |
| Crown Castle International Corp. | | 162,800 | 19,093,184 |
| CubeSmart | | 16,920 | 672,739 |
| Digital Realty Trust, Inc. | | 300,252 | 41,668,973 |
| EastGroup Properties, Inc. | | 13,078 | 2,272,303 |
| Elme Communities (SBI) | | 2,000 | 26,280 |
| Empire State Realty Trust, Inc. | | 500 | 4,480 |
| EPR Properties | | 400 | 17,848 |
| Equinix, Inc. | | 55,448 | 45,190,674 |
| Equity Lifestyle Properties, Inc. | | 249,231 | 17,720,324 |
| Equity Residential (SBI) | | 17,800 | 1,011,752 |
| Essential Properties Realty Trust, Inc. | | 3,823 | 90,796 |
| Essex Property Trust, Inc. | | 80,913 | 17,271,689 |
| Extra Space Storage, Inc. | | 113,469 | 14,770,260 |
| Federal Realty Investment Trust (SBI) | | 54,216 | 5,182,507 |
| First Industrial Realty Trust, Inc. | | 18,727 | 881,105 |
| Franklin Street Properties Corp. | | 2,182 | 5,368 |
| Healthcare Trust of America, Inc. | | 2,600 | 39,702 |
| Healthpeak Properties, Inc. | | 1,420,601 | 24,604,809 |
| Host Hotels & Resorts, Inc. | | 533,300 | 9,316,751 |
| Hudson Pacific Properties, Inc. | | 40,700 | 238,909 |
| Industrial Logistics Properties Trust | | 20,900 | 70,851 |
| InvenTrust Properties Corp. | | 300 | 7,236 |
| Invitation Homes, Inc. | | 108,300 | 3,612,888 |
| Iron Mountain, Inc. | | 23,300 | 1,494,695 |
| Kilroy Realty Corp. | | 100 | 3,298 |
| Kimco Realty Corp. | | 468,671 | 9,054,724 |
| Kite Realty Group Trust | | 100 | 2,112 |
| Lamar Advertising Co. Class A | | 61,519 | 6,231,260 |
| LXP Industrial Trust (REIT) | | 5,700 | 50,046 |
| Mid-America Apartment Communities, Inc. | | 223,621 | 27,836,342 |
| National Storage Affiliates Trust | | 1,500 | 49,785 |
| Net Lease Office Properties | | 93 | 1,521 |
| NexPoint Residential Trust, Inc. | | 200 | 6,090 |
| NNN (REIT), Inc. | | 10,800 | 438,696 |
| Office Properties Income Trust | | 12,500 | 69,750 |
| Omega Healthcare Investors, Inc. | | 199,600 | 6,337,300 |
| Orion Office (REIT), Inc. | | 3,206 | 16,543 |
| Paramount Group, Inc. | | 544,600 | 2,559,620 |
| Park Hotels & Resorts, Inc. | | 1,800 | 26,694 |
| Pebblebrook Hotel Trust | | 3,700 | 47,175 |
| Phillips Edison & Co., Inc. (c) | | 15,600 | 549,744 |
| Physicians Realty Trust | | 200 | 2,336 |
| Piedmont Office Realty Trust, Inc. Class A | | 786,800 | 4,893,896 |
| Prologis (REIT), Inc. | | 1,254,635 | 144,195,201 |
| Public Storage | | 115,511 | 29,889,626 |
| Rayonier, Inc. | | 198,645 | 6,094,429 |
| Regency Centers Corp. | | 59,063 | 3,707,975 |
| Retail Opportunity Investments Corp. | | 2,911 | 37,465 |
| Rexford Industrial Realty, Inc. | | 437,837 | 21,550,337 |
| Safehold, Inc. | | 3,099 | 61,019 |
| SBA Communications Corp. Class A | | 9,634 | 2,379,213 |
| Service Properties Trust | | 340,500 | 2,434,575 |
| Simon Property Group, Inc. | | 426,661 | 53,285,692 |
| SITE Centers Corp. | | 166,350 | 2,194,157 |
| Star Holdings | | 100 | 1,222 |
| Sun Communities, Inc. | | 21,586 | 2,791,933 |
| Tanger Factory Outlet Centers, Inc. | | 1,996 | 49,820 |
| The Macerich Co. | | 3,000 | 34,410 |
| UDR, Inc. | | 11,400 | 380,760 |
| Uniti Group, Inc. | | 100 | 553 |
| Ventas, Inc. | | 1,231,364 | 56,445,726 |
| Veris Residential, Inc. | | 39,500 | 572,355 |
| VICI Properties, Inc. | | 46,500 | 1,389,885 |
| Vornado Realty Trust | | 14,973 | 352,464 |
| Welltower, Inc. | | 506,728 | 45,149,465 |
| Weyerhaeuser Co. | | 486,339 | 15,246,728 |
| | | | 817,685,379 |
| Real Estate Management & Development - 0.2% | | | |
| Anywhere Real Estate, Inc. (a) | | 54,700 | 294,286 |
| CBRE Group, Inc. (a) | | 290,390 | 22,929,194 |
| CoStar Group, Inc. (a) | | 606,388 | 50,354,460 |
| Douglas Elliman, Inc. | | 38,499 | 75,073 |
| Five Point Holdings LLC Class A (a) | | 800 | 2,040 |
| Forestar Group, Inc. (a) | | 2,400 | 73,272 |
| Jones Lang LaSalle, Inc. (a) | | 9,000 | 1,399,680 |
| Newmark Group, Inc. | | 2,910 | 23,949 |
| RE/MAX Holdings, Inc. | | 3,364 | 30,949 |
| Zillow Group, Inc. Class A (a) | | 3,414 | 134,477 |
| | | | 75,317,380 |
TOTAL REAL ESTATE | | | 893,002,759 |
| UTILITIES - 1.9% | | | |
| Electric Utilities - 1.4% | | | |
| Allete, Inc. | | 3,800 | 210,824 |
| Alliant Energy Corp. | | 69,100 | 3,494,387 |
| American Electric Power Co., Inc. | | 66,500 | 5,290,075 |
| Avangrid, Inc. (c) | | 200 | 6,174 |
| Constellation Energy Corp. | | 92,657 | 11,215,203 |
| Duke Energy Corp. | | 463,684 | 42,788,760 |
| Edison International | | 410,963 | 27,530,411 |
| Entergy Corp. | | 60,233 | 6,108,229 |
| Evergy, Inc. | | 458,894 | 23,421,950 |
| Eversource Energy | | 700 | 41,587 |
| Exelon Corp. | | 586,427 | 22,583,304 |
| FirstEnergy Corp. | | 871,520 | 32,193,949 |
| Genie Energy Ltd. Class B | | 90 | 2,183 |
| NextEra Energy, Inc. | | 3,988,087 | 233,342,970 |
| NRG Energy, Inc. | | 220,200 | 10,534,368 |
| OGE Energy Corp. | | 57,347 | 2,010,012 |
| PG&E Corp. | | 7,787,384 | 133,709,383 |
| Pinnacle West Capital Corp. | | 71,534 | 5,360,758 |
| PNM Resources, Inc. | | 10,100 | 419,857 |
| PPL Corp. | | 3,264,330 | 85,264,300 |
| Southern Co. | | 1,130,086 | 80,213,504 |
| Xcel Energy, Inc. | | 298,246 | 18,145,287 |
| | | | 743,887,475 |
| Gas Utilities - 0.1% | | | |
| Atmos Energy Corp. | | 206,168 | 23,463,980 |
| Chesapeake Utilities Corp. | | 195 | 18,642 |
| National Fuel Gas Co. | | 9,600 | 487,584 |
| New Jersey Resources Corp. | | 3,800 | 160,360 |
| Northwest Natural Holding Co. | | 100 | 3,662 |
| UGI Corp. | | 272,200 | 5,985,678 |
| | | | 30,119,906 |
| Independent Power and Renewable Electricity Producers - 0.0% | | | |
| Clearway Energy, Inc. Class C | | 4,500 | 112,365 |
| Energy Harbor Corp. (a) | | 13,600 | 1,096,500 |
| Montauk Renewables, Inc. (a)(c) | | 18,780 | 173,527 |
| The AES Corp. | | 197,397 | 3,397,202 |
| Vistra Corp. | | 442,100 | 15,654,761 |
| | | | 20,434,355 |
| Multi-Utilities - 0.4% | | | |
| Ameren Corp. | | 213,014 | 16,527,756 |
| Avista Corp. | | 400 | 13,580 |
| CenterPoint Energy, Inc. | | 167,100 | 4,723,917 |
| CMS Energy Corp. | | 446,517 | 25,344,305 |
| Consolidated Edison, Inc. | | 656,885 | 59,191,907 |
| Dominion Energy, Inc. | | 1,207,024 | 54,726,468 |
| DTE Energy Co. | | 13,761 | 1,432,658 |
| NiSource, Inc. | | 822,876 | 21,098,541 |
| Public Service Enterprise Group, Inc. | | 526,382 | 32,862,028 |
| Sempra | | 335,600 | 24,455,172 |
| WEC Energy Group, Inc. | | 22,700 | 1,898,174 |
| | | | 242,274,506 |
| Water Utilities - 0.0% | | | |
| American States Water Co. | | 500 | 39,950 |
TOTAL UTILITIES | | | 1,036,756,192 |
| TOTAL COMMON STOCKS (Cost $23,860,683,422) | | | 46,605,947,539 |
| | | | |
| U.S. Treasury Obligations - 0.0% |
| | | Principal Amount (f) | Value ($) |
U.S. Treasury Bills, yield at date of purchase 5.25% to 5.35% 12/14/23 (g) (Cost $4,900,856) | | 4,910,000 | 4,900,688 |
| | | | |
| Other - 0.0% |
| | | Shares | Value ($) |
| Commodity Funds - Broad Basket - 0.0% | | | |
Fidelity SAI Inflation-Focused Fund (h) (Cost $1,038) | | 13 | 1,173 |
| | | | |
| Money Market Funds - 1.7% |
| | | Shares | Value ($) |
| Fidelity Cash Central Fund 5.40% (i) | | 29,285,936 | 29,291,793 |
| Fidelity Securities Lending Cash Central Fund 5.39% (i)(j) | | 337,726,093 | 337,759,865 |
| Invesco Government & Agency Portfolio Institutional Class 5.28% (k) | | 516,385,028 | 516,385,028 |
| TOTAL MONEY MARKET FUNDS (Cost $883,436,686) | | | 883,436,686 |
| | | | |
| Equity Funds - 11.1% |
| | | Shares | Value ($) |
| Large Blend Funds - 4.1% | | | |
| Fidelity SAI U.S. Large Cap Index Fund (h) | | 15,087,395 | 286,962,253 |
| Fidelity SAI U.S. Low Volatility Index Fund (h) | | 57,916,446 | 1,081,300,046 |
| iShares S&P 500 Index ETF (l) | | 1,296,615 | 594,394,248 |
| PIMCO StocksPLUS Absolute Return Fund Institutional Class | | 17,694,406 | 188,799,313 |
| SPDR S&P 500 ETF Trust | | 49,400 | 22,546,160 |
TOTAL LARGE BLEND FUNDS | | | 2,174,002,020 |
| Large Growth Funds - 6.6% | | | |
| Fidelity Blue Chip Growth Fund (h) | | 63,646 | 10,470,429 |
| Fidelity Growth Company Fund (h) | | 89,265,044 | 2,791,317,925 |
| Fidelity SAI U.S. Momentum Index Fund (h) | | 562,737 | 7,388,739 |
| Fidelity SAI U.S. Quality Index Fund (h) | | 36,132,292 | 678,564,446 |
TOTAL LARGE GROWTH FUNDS | | | 3,487,741,539 |
| Mid-Cap Blend Funds - 0.4% | | | |
| Fidelity Mid Cap Index Fund (h) | | 8,234,104 | 231,460,651 |
| TOTAL EQUITY FUNDS (Cost $3,616,547,117) | | | 5,893,204,210 |
| | | | |
| Purchased Options - 0.0% |
| | Counterparty | Number of Contracts | Notional Amount($) | Exercise Price ($) | Expiration Date | Value ($) |
| Put Options | | | | | | |
| S&P 500 Index | Chicago Board Options Exchange | 52 | 23,752,560 | 3,950 | 12/06/23 | 780 |
| S&P 500 Index | Chicago Board Options Exchange | 46 | 21,011,880 | 4,060 | 12/06/23 | 920 |
| S&P 500 Index | Chicago Board Options Exchange | 151 | 68,973,780 | 4,100 | 12/13/23 | 15,100 |
| S&P 500 Index | Chicago Board Options Exchange | 47 | 21,468,660 | 4,100 | 12/06/23 | 940 |
| S&P 500 Index | Chicago Board Options Exchange | 98 | 44,764,440 | 4,100 | 12/20/23 | 18,375 |
| S&P 500 Index | Chicago Board Options Exchange | 50 | 22,839,000 | 4,100 | 12/27/23 | 13,375 |
| | | | | | | |
| | | | | | | 49,490 |
TOTAL PURCHASED OPTIONS (Cost 107,059) | | | | | | 49,490 |
| TOTAL INVESTMENT IN SECURITIES - 100.5% (Cost $28,365,676,178) | 53,387,539,786 |
NET OTHER ASSETS (LIABILITIES) - (0.5)% | (271,365,459) |
| NET ASSETS - 100.0% | 53,116,174,327 |
| | |
| Futures Contracts |
| | Number of contracts | Expiration Date | Notional Amount ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) |
| Purchased | | | | | |
| | | | | | |
| Equity Index Contracts | | | | | |
| CME E-mini S&P 500 Index Contracts (United States) | 292 | Dec 2023 | 66,820,550 | 2,867,760 | 2,867,760 |
| | | | | | |
| The notional amount of futures purchased as a percentage of Net Assets is 0.1% |
| Written Options |
| | Counterparty | Number of Contracts | Notional Amount ($) | Exercise Price ($) | Expiration Date | Value ($) |
| Put Options | | | | | | |
| S&P 500 Index | Chicago Board Options Exchange | 52 | 23,752,560 | 4,295.00 | 12/06/23 | (1,560) |
| S&P 500 Index | Chicago Board Options Exchange | 46 | 21,011,880 | 4,430.00 | 12/06/23 | (4,140) |
| S&P 500 Index | Chicago Board Options Exchange | 60 | 27,406,800 | 4,420.00 | 12/13/23 | (35,100) |
| S&P 500 Index | Chicago Board Options Exchange | 47 | 21,468,660 | 4,485.00 | 12/06/23 | (14,570) |
| S&P 500 Index | Chicago Board Options Exchange | 91 | 41,566,980 | 4,475.00 | 12/13/23 | (101,465) |
| S&P 500 Index | Chicago Board Options Exchange | 52 | 23,752,560 | 4,460.00 | 12/20/23 | (77,480) |
| S&P 500 Index | Chicago Board Options Exchange | 46 | 21,011,880 | 4,465.00 | 12/20/23 | (71,530) |
| S&P 500 Index | Chicago Board Options Exchange | 50 | 22,839,000 | 4,450.00 | 12/27/23 | (86,500) |
| | | | | | | |
| TOTAL WRITTEN OPTIONS | | | | | | (392,345) |
Security Type Abbreviations
Legend
| (b) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $3,278,449 or 0.0% of net assets. |
| (c) | Security or a portion of the security is on loan at period end. |
| (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 $416,450 or 0.0% of net assets. |
| (f) | Amount is stated in United States dollars unless otherwise noted. |
| (g) | Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $2,766,833. |
| (i) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
| (j) | Investment made with cash collateral received from securities on loan. |
| (k) | The rate quoted is the annualized seven-day yield of the fund at period end. |
| (l) | Security or a portion of the security is pledged as collateral for options written. At period end, the value of securities pledged amounted to $57,302,500. |
| Additional information on each restricted holding is as follows: |
| Security | Acquisition Date | Acquisition Cost ($) |
| CCC Intelligent Solutions Holdings, Inc. | 2/02/21 | 356,550 |
| | | |
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
| Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
| Fidelity Cash Central Fund 5.40% | 29,498,005 | 67,517,090 | 67,723,302 | 837,753 | - | - | 29,291,793 | 0.1% |
| Fidelity Securities Lending Cash Central Fund 5.39% | 216,568,408 | 1,280,753,359 | 1,159,561,902 | 797,940 | - | - | 337,759,865 | 1.3% |
| Total | 246,066,413 | 1,348,270,449 | 1,227,285,204 | 1,635,693 | - | - | 367,051,658 | |
| | | | | | | | | |
Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.
Amounts in the dividend income column for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
Affiliated Underlying Funds
Fiscal year to date information regarding the Fund's investments in affiliated Underlying Funds is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur. If an Underlying Funds changes its name, the name presented below is the name in effect at period end.
| Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) |
| Fidelity Blue Chip Growth Fund | 154,959,946 | 67,456 | 156,998,394 | 67,456 | 36,264,869 | (23,823,448) | 10,470,429 |
| Fidelity Growth Company Fund | 2,611,090,799 | - | 79,999,998 | - | 43,071,108 | 217,156,016 | 2,791,317,925 |
| Fidelity Mid Cap Index Fund | 3,308,603 | 230,011,163 | - | 11,164 | - | (1,859,115) | 231,460,651 |
| Fidelity SAI Inflation-Focused Fund | 11,387,686 | 11 | 12,003,811 | 11 | 513,226 | 104,061 | 1,173 |
| Fidelity SAI U.S. Large Cap Index Fund | 220,500,205 | 2,666,393,452 | 2,619,463,518 | 16,513,531 | 8,112,751 | 11,419,363 | 286,962,253 |
| Fidelity SAI U.S. Low Volatility Index Fund | 246,929,048 | 872,599,040 | 104,248,795 | - | 1,080,288 | 64,940,465 | 1,081,300,046 |
| Fidelity SAI U.S. Momentum Index Fund | 6,439,336 | 943,233 | - | 943,233 | - | 6,170 | 7,388,739 |
| Fidelity SAI U.S. Quality Index Fund | 688,660,796 | 106,410,788 | 184,363,533 | 6,410,788 | 6,734,601 | 61,121,794 | 678,564,446 |
| | 3,943,276,419 | 3,876,425,143 | 3,157,078,049 | 23,946,183 | 95,776,843 | 329,065,306 | 5,087,465,662 |
Amounts in the dividend 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.
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
Investment Valuation
The following is a summary of the inputs used, as of November 30, 2023, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
| Valuation Inputs at Reporting Date: |
| Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | | | | |
|
| Equities: | | | | |
Communication Services | 4,196,235,877 | 4,194,418,578 | 1,817,299 | - |
Consumer Discretionary | 4,973,339,488 | 4,973,339,488 | - | - |
Consumer Staples | 2,588,068,289 | 2,587,480,266 | 588,023 | - |
Energy | 2,316,432,743 | 2,316,432,743 | - | - |
Financials | 6,862,278,932 | 6,856,432,525 | 5,846,407 | - |
Health Care | 6,167,613,080 | 6,161,435,173 | 6,177,907 | - |
Industrials | 4,082,263,785 | 4,082,263,785 | - | - |
Information Technology | 12,396,440,948 | 12,372,201,116 | 24,239,832 | - |
Materials | 1,093,515,446 | 1,093,515,446 | - | - |
Real Estate | 893,002,759 | 893,002,759 | - | - |
Utilities | 1,036,756,192 | 1,036,756,192 | - | - |
|
| U.S. Government and Government Agency Obligations | 4,900,688 | - | 4,900,688 | - |
|
| Other | 1,173 | 1,173 | - | - |
|
| Money Market Funds | 883,436,686 | 883,436,686 | - | - |
|
| Equity Funds | 5,893,204,210 | 5,893,204,210 | - | - |
|
| Purchased Options | 49,490 | 49,490 | - | - |
| Total Investments in Securities: | 53,387,539,786 | 53,343,969,630 | 43,570,156 | - |
Derivative Instruments: Assets | | | | |
Futures Contracts | 2,867,760 | 2,867,760 | - | - |
| Total Assets | 2,867,760 | 2,867,760 | - | - |
| Liabilities | | | | |
Written Options | (392,345) | (392,345) | - | - |
| Total Liabilities | (392,345) | (392,345) | - | - |
| Total Derivative Instruments: | 2,475,415 | 2,475,415 | - | - |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of November 30, 2023. 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) | 2,867,760 | 0 |
Purchased Options (b) | 49,490 | 0 |
Written Options (c) | 0 | (392,345) |
| Total Equity Risk | 2,917,250 | (392,345) |
| Total Value of Derivatives | 2,917,250 | (392,345) |
(a)Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).
(b)Gross value is presented in the Statement of Assets and Liabilities in the Investments in Securities at value line-item.
(c)Gross value is presented in the Statement of Assets and Liabilities in the written options, at value line-item.
| Statement of Assets and Liabilities |
| | | | November 30, 2023 (Unaudited) |
| | | | | |
| Assets | | | | |
| Investment in securities, at value (including securities loaned of $330,649,893) - See accompanying schedule: | | | | |
Unaffiliated issuers (cost $25,059,011,355) | $ | 47,933,022,466 | | |
Fidelity Central Funds (cost $367,051,658) | | 367,051,658 | | |
Other affiliated issuers (cost $2,939,613,165) | | 5,087,465,662 | | |
| | | | | |
| | | | | |
| Total Investment in Securities (cost $28,365,676,178) | | | $ | 53,387,539,786 |
| Segregated cash with brokers for derivative instruments | | | | 515,200 |
| Cash | | | | 1,372 |
| Foreign currency held at value (cost $3,474,641) | | | | 3,536,623 |
| Receivable for investments sold | | | | 470,030,765 |
| Receivable for fund shares sold | | | | 51,165,513 |
| Dividends receivable | | | | 77,324,342 |
| Interest receivable | | | | 2,092,047 |
| Distributions receivable from Fidelity Central Funds | | | | 172,382 |
| Receivable for daily variation margin on futures contracts | | | | 255,500 |
| Prepaid expenses | | | | 43,813 |
| Other receivables | | | | 695,277 |
Total assets | | | | 53,993,372,620 |
| Liabilities | | | | |
| Payable for investments purchased | $ | 482,728,197 | | |
| Payable for fund shares redeemed | | 47,423,106 | | |
| Accrued management fee | | 7,717,305 | | |
| Written options, at value (premium received $861,805) | | 392,345 | | |
| Other payables and accrued expenses | | 1,177,475 | | |
| Collateral on securities loaned | | 337,759,865 | | |
| Total Liabilities | | | | 877,198,293 |
| Net Assets | | | $ | 53,116,174,327 |
| Net Assets consist of: | | | | |
| Paid in capital | | | $ | 27,291,007,329 |
| Total accumulated earnings (loss) | | | | 25,825,166,998 |
| Net Assets | | | $ | 53,116,174,327 |
Net Asset Value, offering price and redemption price per share ($53,116,174,327 ÷ 4,651,593,711 shares) | | | $ | 11.42 |
| Statement of Operations |
| | | | Six months ended November 30, 2023 (Unaudited) |
| Investment Income | | | | |
| Dividends: | | | | |
| Unaffiliated issuers | | | $ | 365,396,084 |
| Affiliated issuers | | | | 7,225,041 |
| Interest | | | | 12,632,124 |
| Income from Fidelity Central Funds (including $797,940 from security lending) | | | | 1,635,693 |
| Total Income | | | | 386,888,942 |
| Expenses | | | | |
| Management fee | $ | 112,866,641 | | |
| Custodian fees and expenses | | 424,642 | | |
| Independent trustees' fees and expenses | | 155,913 | | |
| Registration fees | | 209,200 | | |
| Audit | | 47,980 | | |
| Legal | | 79,629 | | |
| Interest | | 4,819 | | |
| Miscellaneous | | 72,149 | | |
| Total expenses before reductions | | 113,860,973 | | |
| Expense reductions | | (65,370,816) | | |
| Total expenses after reductions | | | | 48,490,157 |
| Net Investment income (loss) | | | | 338,398,785 |
| Realized and Unrealized Gain (Loss) | | | | |
| Net realized gain (loss) on: | | | | |
| Investment Securities: | | | | |
| Unaffiliated issuers (net of foreign taxes of $17,945) | | 838,173,848 | | |
| Affiliated issuers | | 95,776,843 | | |
| Foreign currency transactions | | 18,809 | | |
| Futures contracts | | 3,949,873 | | |
| Written options | | 4,965,336 | | |
| Capital gain distributions from underlying funds: | | | | |
| Affiliated issuers | | 16,721,142 | | |
| Total net realized gain (loss) | | | | 959,605,851 |
| Change in net unrealized appreciation (depreciation) on: | | | | |
| Investment Securities: | | | | |
| Unaffiliated issuers(net of increase in deferred foreign taxes of $142,721) | | 3,659,522,651 | | |
| Affiliated issuers | | 329,065,306 | | |
| Assets and liabilities in foreign currencies | | 118,564 | | |
| Futures contracts | | 1,330,477 | | |
| Written options | | (865,984) | | |
| Total change in net unrealized appreciation (depreciation) | | | | 3,989,171,014 |
| Net gain (loss) | | | | 4,948,776,865 |
| Net increase (decrease) in net assets resulting from operations | | | $ | 5,287,175,650 |
| Statement of Changes in Net Assets |
| |
| | Six months ended November 30, 2023 (Unaudited) | | Year ended May 31, 2023 |
| Increase (Decrease) in Net Assets | | | | |
| Operations | | | | |
| Net investment income (loss) | $ | 338,398,785 | $ | 735,355,279 |
| Net realized gain (loss) | | 959,605,851 | | 1,319,765,649 |
| Change in net unrealized appreciation (depreciation) | | 3,989,171,014 | | (352,198,291) |
| Net increase (decrease) in net assets resulting from operations | | 5,287,175,650 | | 1,702,922,637 |
| Distributions to shareholders | | (1,419,239,375) | | (2,678,396,747) |
| | | | | |
| Share transactions | | | | |
| Proceeds from sales of shares | | 3,941,279,359 | | 6,277,974,197 |
| Reinvestment of distributions | | 1,312,976,254 | | 2,502,220,114 |
| Cost of shares redeemed | | (6,437,043,282) | | (13,121,515,132) |
| | | | | |
Net increase (decrease) in net assets resulting from share transactions | | (1,182,787,669) | | (4,341,320,821) |
| Total increase (decrease) in net assets | | 2,685,148,606 | | (5,316,794,931) |
| | | | | |
| Net Assets | | | | |
| Beginning of period | | 50,431,025,721 | | 55,747,820,652 |
| End of period | $ | 53,116,174,327 | $ | 50,431,025,721 |
| | | | | |
| Other Information | | | | |
| Shares | | | | |
| Sold | | 359,060,953 | | 624,289,362 |
| Issued in reinvestment of distributions | | 117,755,718 | | 255,985,371 |
| Redeemed | | (581,473,862) | | (1,290,279,591) |
| Net increase (decrease) | | (104,657,191) | | (410,004,858) |
| | | | | |
Financial Highlights
| Strategic Advisers® Large Cap Fund |
| |
| | Six months ended (Unaudited) November 30, 2023 | | Years ended May 31, 2023 | | 2022 | | 2021 A | | 2020 A | | 2019 A |
Selected Per-Share Data | | | | | | | | | | | | |
| Net asset value, beginning of period | $ | 10.60 | $ | 10.79 | $ | 12.15 | $ | 8.81 | $ | 8.33 | $ | 8.86 |
| Income from Investment Operations | | | | | | | | | | | | |
Net investment income (loss) B,C | | .07 | | .14 | | .14 | | .14 | | .15 | | .14 |
| Net realized and unrealized gain (loss) | | 1.05 | | .20 | | (.33) | | 3.69 | | .88 | | .03 |
| Total from investment operations | | 1.12 | | .34 | | (.19) | | 3.83 | | 1.03 | | .17 |
| Distributions from net investment income | | (.06) | | (.14) | | (.14) | | (.15) | | (.14) | | (.14) |
| Distributions from net realized gain | | (.24) | | (.39) | | (1.02) | | (.34) | | (.42) | | (.56) |
| Total distributions | | (.30) | | (.53) | | (1.17) D | | (.49) | | (.55) D | | (.70) |
| Net asset value, end of period | $ | 11.42 | $ | 10.60 | $ | 10.79 | $ | 12.15 | $ | 8.81 | $ | 8.33 |
Total Return E,F | | 10.67% | | 3.57% | | (2.43)% | | 44.55% | | 12.17% | | 2.41% |
Ratios to Average Net Assets C,G,H | | | | | | | | | | | | |
| Expenses before reductions | | .44% I,J | | .43% | | .43% | | .44% | | .45% | | .45% |
| Expenses net of fee waivers, if any | | .19% I,J | | .18% | | .18% | | .19% | | .20% | | .20% |
| Expenses net of all reductions | | .19% I,J | | .18% | | .18% | | .19% | | .20% | | .20% |
| Net investment income (loss) | | 1.29% I,J | | 1.44% | | 1.21% | | 1.29% | | 1.74% | | 1.65% |
| Supplemental Data | | | | | | | | | | | | |
| Net assets, end of period (000 omitted) | $ | 53,116,174 | $ | 50,431,026 | $ | 55,747,821 | $ | 60,191,843 | $ | 27,026,081 | $ | 24,720,960 |
Portfolio turnover rate K | | 57% J | | 67% | | 59% | | 74% L | | 90% | | 84% |
APer share amounts have been adjusted to reflect the impact of the change in capital structure associated with the merger that occurred on November 20, 2020. All financial information prior to the merger is that of the predecessor fund, Strategic Advisers Core Fund.
BCalculated based on average shares outstanding during the period.
CNet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
DTotal distributions per share do not sum due to rounding.
ETotal returns for periods of less than one year are not annualized.
FTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
GFees 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.
HExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
IProxy expenses are not annualized.
JAnnualized.
KAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
LThe portfolio turnover rate does not include the assets acquired in the merger.
For the period ended November 30, 2023
1. Organization.
Strategic Advisers Large Cap Fund (the Fund) is a fund of Fidelity Rutland Square Trust II (the Trust), and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust. The Fund is offered exclusively to certain managed account clients of Strategic Advisers LLC (Strategic Advisers), an affiliate of Fidelity Management & Research Company LLC (FMR).
2. Significant Accounting Policies.
The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services 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 the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.
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 - unadjusted 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 service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, ETFs and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. U.S. government and government agency obligations are valued by pricing services 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 services. 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 service 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 each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Exchange-traded options are valued using the last sale price or, in the absence of a sale, the last offering price and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. If an unaffiliated open-end mutual fund's NAV is unavailable, shares of that fund may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and is categorized as Level 2 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of November 30, 2023 is included at the end of the Fund's Schedule of Investments.
Foreign Currency. Certain Funds may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.
Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received, and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and include proceeds received from litigation. Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of a fund include an amount in addition to trade execution, which may be rebated back to a fund. Any such rebates are included in net realized gain (loss) on investments in the Statement of Operations. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Income and capital gain distributions from any underlying mutual funds or exchange-traded funds (ETFs) are recorded on the ex-dividend date. Certain distributions received by the Fund represent a return of capital or capital gain. The Fund determines the components of these distributions subsequent to the ex-dividend date, based upon receipt of tax filings or other correspondence relating to the underlying investment. These distributions are recorded as a reduction of cost of investments and/or as a realized gain. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain. Funds may file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. Any withholding tax reclaims income is included in the Statement of Operations in dividends. Any receivables for withholding tax reclaims are included in the Statement of Assets and Liabilities in dividends receivable.
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan) for certain Funds, certain independent Trustees have elected to defer receipt of a portion of their annual compensation. Deferred amounts are invested in affiliated mutual funds, are marked-to-market and remain in a fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees presented below are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, as applicable.
| Strategic Advisers Large Cap Fund | $581,384 |
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests. The Fund is subject to a tax imposed on capital gains by certain countries in which it invests. An estimated deferred tax liability for net unrealized appreciation on the applicable securities is included in Other payables and accrued expenses on the Statement of Assets & Liabilities.
Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to the short-term gain distributions from the underlying mutual funds, futures contracts, foreign currency transactions, certain foreign taxes, passive foreign investment companies (PFIC), options contracts, partnerships and losses deferred due to wash sales and excise tax regulations.
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
| Gross unrealized appreciation | $25,501,934,280 |
| Gross unrealized depreciation | (774,700,451) |
| Net unrealized appreciation (depreciation) | $24,727,233,829 |
| Tax cost | $28,663,643,177 |
Restricted Securities (including Private Placements). Funds may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities held at period end is included at the end of the Schedule of Investments, if applicable.
3. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund's investment objectives allow for various types of derivative instruments, including futures contracts and options. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.
Derivatives were used 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 objectives may not be achieved.
Derivatives were used to increase or decrease exposure to the following risk(s):
| 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. |
Funds are also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that a 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 a fund. Counterparty credit risk related to exchange-traded 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.
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, 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)($) |
| Strategic Advisers Large Cap Fund | | |
| Equity Risk | | |
| Futures Contracts | 3,949,873 | 1,330,477 |
| Purchased Options | (1,539,544) | 169,831 |
| Written Options | 4,965,336 | (865,984) |
| Total Equity Risk | 7,375,665 | 634,324 |
If there are any open positions at period end, a summary of the value of derivatives by primary risk exposure is included at the end of the Schedule of Investments.
Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. Futures contracts were used to manage 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 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 unless an average notional amount is presented. Any securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Any 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. Exchange-traded options were used to manage exposure to the market.
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 in total accumulated earnings (loss) in 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, a gain or loss is realized 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 unless an average notional amount is presented.
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.
4. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities, U.S. government securities and in-kind transactions, as applicable, are noted in the table below.
| | Purchases ($) | Sales ($) |
| Strategic Advisers Large Cap Fund | 14,714,246,274 | 16,945,098,244 |
5. Fees and Other Transactions with Affiliates.
Management Fee. Strategic Advisers (the investment adviser) provides the Fund with investment management related services. For these services, the Fund pays a monthly management fee to the investment adviser. The management fee is calculated by adding the annual management fee rate of .25% of the Fund's average net assets throughout the month to the aggregate of the fee rates, payable monthly by the investment adviser, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed .65% of the Fund's average net assets. For the reporting period, the total annualized management fee rate was .43% of the Fund's average net assets.
During the period, the investment adviser waived a portion of its management fee as described in the Expense Reductions note.
Sub-Advisers. AllianceBernstein, L.P. (AB), Aristotle Capital Management, LLC, Brandywine Global Investment Management, LLC, ClariVest Asset Management LLC, D.E. Shaw Investment Management, FIAM LLC (an affiliate of the investment adviser), J.P. Morgan Investment Management, Inc., Loomis Sayles & Company, L.P., LSV Asset Management, Neuberger Berman Investment Management, LLC, PineBridge Investments LLC, Principal Global Investors, LLC, T. Rowe Price Associates, Inc., and Wellington Management Company LLP each served as a sub-adviser for the Fund during the period. Sub-advisers provide discretionary investment advisory services for their allocated portion of the Fund's assets and are paid as described in the Management Fee note.
Geode Capital Management, LLC (Geode) has been retained to serve as a sub-adviser for the Fund. As of the date of this report, however, Geode has not been allocated any portion of the Fund's assets. Geode in the future may provide discretionary investment advisory services for an allocated portion of the Fund's assets and will be paid by the investment adviser for providing these services.
Brokerage Commissions. A portion of portfolio transactions were placed with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Statement of Operations. The commissions paid to these affiliated firms were as follows:
| | Amount |
| Strategic Advisers Large Cap Fund | $ 9,794 |
Interfund Trades. Funds may purchase from or sell securities to other funds affiliated with each sub-adviser under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. Interfund trades during the period are noted in the table below.
| | Purchases ($) | Sales ($) | Realized Gain (Loss) ($) |
| Strategic Advisers Large Cap Fund | 18,795,901 | 37,449,379 | 2,709,612 |
6. Investments in Fidelity Central Funds.
Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.
| Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense RatioA |
| Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |
A Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.
7. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below. During the period, there were no borrowings on this line of credit.
| | Amount |
| Strategic Advisers Large Cap Fund | $43,096 |
8. Security Lending.
Funds lend portfolio securities from time to time in order to earn additional income. Lending agents are used, including National Financial Services (NFS), an affiliate of the investment adviser. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of a fund's daily lending revenue, for its services as lending agent. A fund may lend securities to certain qualified borrowers, including NFS. On the settlement date of the loan, a fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of a fund and any additional required collateral is delivered to a fund on the next business day. A fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund may apply collateral received from the borrower against the obligation. A fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Affiliated security lending activity, if any, was as follows:
| | Total Security Lending Fees Paid to NFS | Security Lending Income From Securities Loaned to NFS | Value of Securities Loaned to NFS at Period End |
| Strategic Advisers Large Cap Fund | $74,508 | $- | $- |
9. Bank Borrowings.
The Fund is permitted to have bank borrowings for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity requirements. The Fund has established borrowing arrangements with certain banks. The interest rate on the borrowings is the bank's base rate, as revised from time to time. Any open loans, including accrued interest, at period end are presented under the caption "Notes payable" in the Statement of Assets and Liabilities, if applicable. Activity in this program during the period for which loans were outstanding was as follows:
| | Average Loan Balance | Weighted Average Interest Rate | Interest Expense |
| Strategic Advisers Large Cap Fund | $29,754,000 | 5.83% | $4,819 |
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, 2026. During the period, this waiver reduced the Fund's management fee by $ 65,352,089.
Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses by $18,727.
11. Other.
A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.
Funds do not invest in underlying mutual funds for the purpose of exercising management or control; however, investments by funds within their principal investment strategies may represent a significant portion of the underlying mutual fund's net assets. At the end of the period, certain Funds were the owners of record of 10% or more of the total outstanding shares of the following underlying mutual funds as shown below.
| Fund | Strategic Advisers Large Cap Fund |
| Fidelity SAI U.S. Low Volatility Index Fund | 11% |
12. Risk and Uncertainties.
Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as pandemics, epidemics, outbreaks of infectious diseases, war, terrorism, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer. Significant concentrations in security types, issuers, industries, sectors, and geographic locations may magnify the factors that affect a fund's performance.
As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
| The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (June 1, 2023 to November 30, 2023). |
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| | | | | Annualized Expense Ratio- A | | Beginning Account Value June 1, 2023 | | Ending Account Value November 30, 2023 | | Expenses Paid During Period- C June 1, 2023 to November 30, 2023 |
| | | | | | | | | | |
| Strategic Advisers® Large Cap Fund | | | | .19% | | | | | | |
| Actual | | | | | | $ 1,000 | | $ 1,106.70 | | $ 1.00 |
Hypothetical-B | | | | | | $ 1,000 | | $ 1,024.05 | | $ .96 |
| |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B 5% return per year before expenses
C Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/ 366 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.
Board Approval of Investment Advisory Contracts and Management Fees
Strategic Advisers Large Cap Fund
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), considers the renewal of the fund's management contract with Strategic Advisers LLC (Strategic Advisers), the sub-advisory agreements with AllianceBernstein L.P., Aristotle Capital Management LLC, Brandywine Global Investment Management, LLC, ClariVest Asset Management LLC, D.E. Shaw Investment Management , L.L.C., FIAM LLC (FIAM), Geode Capital Management, LLC, J.P. Morgan Investment Management Inc. (J.P. Morgan), LSV Asset Management, Loomis Sayles & Company, L.P., Neuberger Berman Investment Advisers LLC, PineBridge Investments LLC, Principal Global Investors LLC and T. Rowe Price Associates, Inc. (each a Sub-Adviser and collectively, the Sub-Advisers) (collectively, the Sub-Advisory Agreements), and the sub-sub-advisory agreements with FMR Investment Management (UK) Limited, Fidelity Management & Research (Japan) Limited, and Fidelity Management & Research (Hong Kong) Limited (collectively, the Sub-Sub-Advisory Agreements and, together with the management contract and the Sub-Advisory Agreements, the Advisory Contracts) for the fund. Strategic Advisers and the Sub-Advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.
The Board meets at least four times per year and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The full Board or the Independent Trustees, as appropriate, act on all major matters; however, a portion of the activities of the Board (including certain of those described herein) may be conducted through standing committees that have been established by the Board. The Board, acting directly and through its committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts.
At its September 2023 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 Sub-Advisory Agreement with FIAM to add a new mandate (FIAM Amendment) and an amendment to the Sub-Advisory Agreement with J.P. Morgan to clarify its existing authority to enter into trading and other agreements on behalf of the fund in connection with its use of derivatives (J.P. Morgan Amendment and together with the FIAM Amendment, the Amendments). The Board noted that the addition of the new FIAM mandate would not impact the fund's management fee rate or net expenses as the new mandate would not initially be funded. The Board also noted that no other contract terms are impacted by the Amendments.
In reaching its determination to renew the fund's Advisory Contracts and approve the Amendments, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness relative to peer funds of the fund's management fee and total expenses; (iii) the total costs of the services provided by and the profits, if any, realized by Strategic Advisers from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and are realized as the fund grows and whether any economies of scale are appropriately shared with fund shareholders. 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.
The Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts and the approval of the Amendments is in the best interests of the fund and its shareholders. In addition, the Board concluded that the renewal of each Sub-Advisory Agreement and the approval of 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.
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. In approving the FIAM Amendment, the Board also took into consideration additional information about the new investment mandate provided by Strategic Advisers and FIAM.
The Trustees also discussed with representatives of Strategic Advisers, at meetings throughout the year, Strategic Advisers' role in, among other things, (i) setting, implementing and monitoring the investment strategies for the funds; (ii) identifying and recommending sub-advisers for the funds; (iii) overseeing compliance with federal securities laws by each sub-adviser with respect to the portion of fund assets allocated to the sub-adviser; (iv) monitoring and overseeing the performance and investment capabilities of each sub-adviser; and (v) recommending the replacement of a sub-adviser as appropriate. The Trustees considered that the Board had received from Strategic Advisers substantial information and periodic reports about Strategic Advisers' sub-adviser oversight and due diligence processes, as well as periodic reports regarding the performance of each sub-adviser.
The Board also considered the nature, extent and quality of services provided by each Sub-Adviser. The Trustees noted that under the Sub-Advisory Agreements subject to oversight by Strategic Advisers, each Sub-Adviser is responsible for, among other things, identifying investments for the portion of fund assets allocated to the Sub-Adviser, if any, and executing portfolio transactions to implement its investment strategy. In addition, the Trustees noted that each Sub-Adviser is responsible for providing such reporting as may be requested from Strategic Advisers to fulfill its oversight responsibilities discussed above.
Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of the Investment Advisers' investment staffs, their use of technology, and the Investment Advisers' approach to managing and compensating investment personnel. The Board noted that the Investment Advisers' analysts have extensive resources, tools, and capabilities that allow them to conduct sophisticated quantitative and/or fundamental analysis. Additionally, in its deliberations, the Board considered the Investment Advisers' trading capabilities and resources and global compliance infrastructure, which are integral parts of the investment management process.
Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of administrative and shareholder services performed by Strategic Advisers and its affiliates under the management contract and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of Strategic Advisers' supervision of third party service providers, including sub-advisers, custodians and subcustodians; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.
Investment Performance. In connection with the renewal of the Advisory Contracts, the Board considered annualized return information for the fund over 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. The Board also considered information about performance attribution. In its discussions with representatives of Strategic Advisers regarding fund performance, the Board gave particular attention to information indicating underperformance of certain funds over different time periods and discussed with Strategic Advisers the reasons for any such underperformance.
In addition to reviewing absolute and relative fund performance, the Independent Trustees periodically consider the appropriateness of fund performance metrics in evaluating the results achieved. The Independent Trustees generally give greater weight to fund performance over longer time periods than over shorter time periods. Depending on the circumstances, the Independent Trustees may be satisfied with the fund's performance notwithstanding that it lags its benchmark index peer group for certain periods.
In connection with the approval of the Amendment, the Board considered the historical investment performance of FIAM and its portfolio managers in managing a fund under a similar mandate.
Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.
Competitiveness of Management Fee and Total Fund Expenses. The Board considered the amount and nature of fees paid to the Investment Advisers. The Board also considered information comparing the management fees and total expenses of the fund to those of other registered investment companies with investment objectives similar to those of the fund, as discussed below. The Board also noted Strategic Advisers' proposal to extend the management fee waiver and considered the fund's contractual maximum aggregate annual management fee rate. In considering the fund's management fee and management fee waiver and comparisons to other registered investment companies with investment objectives similar to those of the fund, the Board noted that shares of the fund are offered only to clients that participate in the Fidelity Portfolio Advisory Service managed account program. In its review of the fund's total expenses, the Board considered the fund's management fee rate as well as other fund expenses, as applicable, such as expenses from holding Fidelity and non-Fidelity mutual funds and ETFs, pricing and bookkeeping fees, and custodial, legal, and audit fees.
Comparisons of Management Fees and Total Expense Ratios. Among other things, the Board reviewed data for selected groups of competitive funds and classes (referred to as "mapped groups") that were compiled by Fidelity based on combining similar investment objective categories (as classified by Lipper) that have comparable investment mandates. The data reviewed by the Board included (i) gross management fee comparisons (before taking into account expense reimbursements or caps) relative to the total universe of funds within the mapped group; (ii) gross management fee comparisons relative to a subset of non-Strategic Advisers funds in the mapped group that are similar in size and management fee structure to the fund (referred to as the "asset size peer group"); and (iii) total expense comparisons of the fund relative to funds and classes in the mapped group that have a similar sales load structure to the fund (referred to as the "similar sales load structure group").
The information provided to the Board indicated that the fund's management fee rate ranked below the competitive median of the mapped group for the 12-month period ended December 31, 2022 and below the competitive median of the asset size peer group for the 12-month period ended December 31, 2022. Further, the information provided to the Board indicated that the total expense ratio of the fund ranked below the competitive median of the similar sales load structure group for the 12-month period ended December 31, 2022.
Fees Charged to Other Clients. The Board also considered fee structures paid by the Investment Advisers' other clients, such as other funds advised or subadvised by the Investment Advisers, pension plan clients, and other institutional clients with similar investment mandates.
Based on its review, the Board concluded that the fund's management fee bears a reasonable relationship to the services rendered. Further, based on its review of the total expense ratios and fees charged to other clients of Strategic Advisers or its affiliates and each Sub-Adviser, the Board concluded that the total expenses of the fund were reasonable in light of the services that the fund and its shareholders receive and the other factors considered.
Costs of the Services and Profitability. The Board considered information regarding the revenues earned and the expenses incurred by Strategic Advisers and its affiliates in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and servicing the fund's shareholders.
On an annual basis, Strategic Advisers presents to the Board information about the profitability of its relationships with the fund. Strategic Advisers calculates profitability information for the fund using a series of detailed revenue and cost allocation methodologies. The Board reviews any significant changes from the prior year's methodologies. Strategic Advisers noted that, to the extent possible, it employs the same corporate reporting of revenues and expenses as those used by other Fidelity funds.
A public accounting firm has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. The engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's fund business, and completion of agreed-upon procedures in respect of the mathematical accuracy of certain fund profitability information and its conformity to established allocation methodologies. After considering the reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.
The Board also reviewed Fidelity's non-fund businesses and potential indirect benefits such businesses may have received as a result of their association with Fidelity's fund business (i.e., fall-out benefits) as well as cases where Fidelity's affiliates may benefit from the fund's business. The Board noted that changes to fall-out benefits year-over-year reflect business developments at Fidelity's various businesses.
The Board considered the costs of the services provided by and the profits realized, if any, by Strategic Advisers and its affiliates in connection with the operation of the fund and was satisfied that the profitability was not excessive.
The Board also considered information regarding the profitability of the Sub-Advisers' respective relationships with the fund and the potential fall-out benefits, if any, that may accrue to the Sub-Advisers as a result of their respective relationships with the fund. The Board noted the difficulty in evaluating a Sub-Adviser's costs and the profitability of a Sub-Advisory Agreement to a Sub-Adviser because of, among other things, differences in the type and content of information provided by each Sub-Adviser due to differences in business models, cost accounting methods, and profitability calculation methodologies among the Sub-Advisers. Accordingly, the Board considered profitability information provided by the Sub-Advisers in light of the nature of the relationships between Strategic Advisers and the Sub-Advisers with respect to the negotiation of sub-advisory fees.
Possible Economies of Scale. The Board considered whether there have been economies of scale in respect of the management of the Strategic Advisers funds, whether the Strategic Advisers funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale as assets grow through increased services to the fund, through waivers or reimbursements, or through fee or expense ratio reductions. The Board considered that certain of the fund's Sub-Advisory Agreements provide for breakpoints as the fund's assets grow and noted that any potential decline in sub-advisory fees under such contracts would accrue directly to the fund. The Board also took Strategic Advisers' management fee waiver into consideration.
Conclusion. Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee arrangements bear a reasonable relationship to the services rendered and that the fund's Advisory Contracts should be renewed and the Amendments should be approved because each agreement is in the best interests of the fund and its shareholders. In addition, the Board concluded that the renewal of each Sub-Advisory Agreement and the approval of the Amendments do not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.
1.9899747.103
LGC-SANN-0124
Strategic Advisers® Municipal Bond Fund
Offered exclusively to certain managed account clients of Strategic Advisers LLC or its affiliates - not available for sale to the general public
Semi-Annual Report
November 30, 2023
Contents
To view a fund's proxy voting guidelines and 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. © 2024 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.
The information in the following tables is based on the direct Investments of the Fund.
Top Holdings (% of Fund's net assets) |
| (excluding cash equivalents) |
| Vanguard Long-Term Tax-Exempt Fund Admiral Shares | 5.1 | |
| Franklin Federal Tax-Free Income Fund - Class R6 | 4.3 | |
| iShares National Municipal Bond ETF | 4.2 | |
| Allspring Municipal Bond Fund - Class Admin | 4.0 | |
| Vanguard Tax-Exempt Bond Index Fund ETF | 2.9 | |
| DWS Managed Municipal Bond Fund - Class S | 2.4 | |
| BlackRock National Municipal Fund Investor A Shares | 1.5 | |
| American High-Income Municipal Bond Fund Class F-2 | 0.8 | |
| T. Rowe Price Tax-Free High Yield Fund | 0.7 | |
| MainStay MacKay High Yield Municipal Bond Fund Class A | 0.6 | |
| Revenue Sources (% of Fund's net assets) |
| Transportation | 16.0 | |
| General Obligations | 11.7 | |
| Health Care | 8.8 | |
| Special Tax | 8.5 | |
| Others (Individually Less Than 5%) | 4.9 | |
Quality Diversification (% of Fund's net assets) |
|
Percentages shown as 0.0% may reflect amounts less than 0.05%. |
| |
| We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. |
Asset Allocation (% of Fund's net assets) |
|
|
Asset Allocation of funds in the pie chart reflect the categorizations of the asset as defined by Morningstar as of the reporting date.
Showing Percentage of Net Assets
| Municipal Bonds - 68.5% |
| | | Principal Amount (a) | Value ($) |
| Alabama - 1.6% | | | |
| Alabama State Corrections Institution Fin. Auth. Series 2022 A, 5.25% 7/1/47 | | 2,000,000 | 2,146,511 |
| Auburn Univ. Gen. Fee Rev. Series 2018 A, 5% 6/1/43 | | 480,000 | 499,683 |
| Birmingham Arpt. Auth. Series 2020: | | | |
| 4% 7/1/35 (Build America Mutual Assurance Insured) | | 60,000 | 61,679 |
| 4% 7/1/36 (Build America Mutual Assurance Insured) | | 225,000 | 229,639 |
| 4% 7/1/38 (Build America Mutual Assurance Insured) | | 335,000 | 336,843 |
| Birmingham Spl. Care Facilities Auth. Rev. Series 2015 1, 5.25% 6/1/25 | | 75,000 | 73,874 |
| Black Belt Energy Gas District Bonds: | | | |
| (Proj. No. 5) Series A, 4%, tender 10/1/26 (b) | | 1,830,000 | 1,814,803 |
| (Proj. No.7) Series 2021 C2, SIFMA Municipal Swap Index + 0.350% 3.95%, tender 12/1/26 (b)(c) | | 2,015,000 | 1,964,416 |
| Series 2019 A, 4%, tender 12/1/25 (b) | | 6,740,000 | 6,700,054 |
| Series 2021 A, 4%, tender 12/1/31 (b) | | 4,500,000 | 4,430,007 |
| Series 2021 B, 4%, tender 12/1/26 (b) | | 5,395,000 | 5,340,201 |
| Series 2022 B1, 4%, tender 10/1/27 (b) | | 3,280,000 | 3,232,039 |
| Series 2022 B2, 4.25%, tender 10/1/27 (b) | | 5,785,000 | 5,678,558 |
| Series 2022 C1, 5.25%, tender 6/1/29 (b) | | 7,585,000 | 7,900,122 |
| Series 2022 D1, 4%, tender 6/1/27 (b) | | 2,070,000 | 2,060,280 |
| Series 2022 E, 5%, tender 6/1/28 (b) | | 3,645,000 | 3,763,486 |
| Series 2022 F, 5.5%, tender 12/1/28 (b) | | 10,470,000 | 10,951,991 |
| Series 2023 B2, 5.25%, tender 12/1/30 (b) | | 1,840,000 | 1,951,623 |
| Series 2023 C, 5.5%, tender 6/1/32 (b) | | 6,500,000 | 6,963,069 |
| Series 2023 D1, 5.5%, tender 2/1/29 (b) | | 4,575,000 | 4,797,159 |
| Cooper Green Mercy Health Svcs. Series 2022 A: | | | |
| 5.25% 9/1/42 | | 550,000 | 580,342 |
| 5.25% 9/1/52 | | 2,620,000 | 2,706,535 |
| Energy Southeast Ala Coop. District Bonds: | | | |
| Series 2023 A1, 5.5%, tender 1/1/31 (b) | | 1,000,000 | 1,067,825 |
| Series 2023 B1, 5.75%, tender 11/1/31 (b) | | 2,005,000 | 2,192,851 |
| Series 2023 B2, 5.764%, tender 11/1/31 (b) | | 3,000,000 | 3,049,181 |
| Homewood Edl. Bldg. Auth. Rev. Series 2019 A: | | | |
| 4% 12/1/33 | | 15,000 | 15,085 |
| 4% 12/1/35 | | 50,000 | 49,976 |
| 4% 12/1/36 | | 65,000 | 64,172 |
| 4% 12/1/37 | | 70,000 | 68,212 |
| 4% 12/1/38 | | 125,000 | 119,106 |
| 4% 12/1/39 | | 95,000 | 89,444 |
| 4% 12/1/41 | | 310,000 | 285,803 |
| 4% 12/1/44 | | 210,000 | 187,126 |
| 4% 12/1/49 | | 125,000 | 106,881 |
| Hoover Indl. Dev. Board Envir. Impt. Rev.: | | | |
| (United States Steel Corp. Proj.) Series 2019, 5.75% 10/1/49 (d) | | 2,225,000 | 2,209,993 |
| Bonds (United States Steel Corp. Proj.) Series 2020, 6.375%, tender 11/1/30 (b)(d) | | 195,000 | 207,679 |
| Huntsville Redstone Village Spl. Care Facilities Finanacing Auth.: | | | |
| Series 2007: | | | |
5.5% 1/1/28 | | 520,000 | 301,600 |
5.5% 1/1/43 | | 405,000 | 234,900 |
| Series 2008 A, 6.875% 1/1/43 | | 280,000 | 162,400 |
| Series 2011 A, 7.5% 1/1/47 | | 500,000 | 290,000 |
| Infirmary Health Systems Spl. Care Facilities Fing. Auth. Rev. Series 2021 A, 3% 2/1/46 | | 2,270,000 | 1,663,304 |
| Jacksonville Fla Pub. Edl. Bldga (JSU Foundation Proj.) Series 2023 A: | | | |
| 5.25% 8/1/53 (Assured Guaranty Muni. Corp. Insured) | | 600,000 | 638,340 |
| 5.5% 8/1/58 (Assured Guaranty Muni. Corp. Insured) | | 500,000 | 537,615 |
| Jefferson County Gen. Oblig. Series 2018 A, 5% 4/1/26 | | 355,000 | 369,849 |
| Jefferson County Swr. Rev.: | | | |
| Series 2013 A: | | | |
5.25% 10/1/48 (Assured Guaranty Muni. Corp. Insured) | | 2,040,000 | 2,059,647 |
5.5% 10/1/53 (Assured Guaranty Muni. Corp. Insured) | | 5,365,000 | 5,447,447 |
| Series 2013 B: | | | |
0% 10/1/26 (Assured Guaranty Muni. Corp. Insured) | | 250,000 | 216,644 |
0% 10/1/29 (Assured Guaranty Muni. Corp. Insured) | | 350,000 | 256,907 |
0% 10/1/34 (Assured Guaranty Muni. Corp. Insured) | | 505,000 | 261,959 |
0% 10/1/35 (Assured Guaranty Muni. Corp. Insured) | | 960,000 | 466,511 |
| Series 2013 D: | | | |
6% 10/1/42 | | 4,865,000 | 5,111,926 |
6.5% 10/1/53 | | 2,965,000 | 3,116,136 |
| Series 2013 F: | | | |
7.75% 10/1/46 | | 480,000 | 504,790 |
7.9% 10/1/50 | | 16,845,000 | 17,715,422 |
| Lower Alabama Gas District: | | | |
| (Gas Proj.) Series 2016 A, 5% 9/1/34 | | 545,000 | 573,318 |
| Bonds (No. 2 Proj.) Series 2020, 4%, tender 12/1/25 (b) | | 6,905,000 | 6,860,905 |
| Series 2016 A, 5% 9/1/46 | | 5,580,000 | 5,792,480 |
| Mobile Indl. Dev. Board Poll. Cont. Rev. Bonds (Alabama Pwr. Co. Barry Plant Proj.) Series 2008, 2.9%, tender 12/12/23 (b) | | 255,000 | 254,943 |
| Montgomery Edl. Bldg. Auth. Series 2016 A, 5% 10/1/43 | | 300,000 | 292,789 |
| Montgomery Med. Clinic Facilities Series 2015: | | | |
| 5% 3/1/25 | | 90,000 | 89,783 |
| 5% 3/1/26 | | 5,000 | 4,955 |
| 5% 3/1/27 | | 5,000 | 4,937 |
| 5% 3/1/28 | | 5,000 | 4,921 |
| 5% 3/1/29 | | 5,000 | 4,893 |
| 5% 3/1/30 | | 5,000 | 4,855 |
| 5% 3/1/33 | | 605,000 | 574,428 |
| 5% 3/1/36 | | 1,340,000 | 1,228,854 |
| Prichard Wtrwks. & Swr. Board Series 2019, 4% 11/1/49 | | 200,000 | 136,600 |
| Southeast Alabama Gas Supply District Bonds: | | | |
| (Proj. No. 2) Series 2018 A, 4%, tender 6/1/24 (b) | | 14,190,000 | 14,168,481 |
| Series 2018 A, 4%, tender 4/1/24 (b) | | 3,110,000 | 3,106,273 |
| Southeast Energy Auth. Coop. Dis Bonds (Proj. No. 6) Series 2023 B, 5%, tender 6/1/30 (b) | | 2,060,000 | 2,148,537 |
| Southeast Energy Auth. Rev.: | | | |
| (Proj. No. 2) Series 2021 B1: | | | |
4% 6/1/29 | | 75,000 | 74,736 |
4% 6/1/30 | | 55,000 | 54,535 |
4% 6/1/31 | | 50,000 | 49,065 |
| Bonds: | | | |
(Proj. No. 1) Series 2021 A, 4%, tender 10/1/28 (b) | | 670,000 | 658,391 |
(Proj. No. 2) Series 2021 B1, 4%, tender 12/1/31 (b) | | 9,855,000 | 9,590,884 |
(Proj. No. 5) Series 2023 A, 5.25%, tender 7/1/29 (b) | | 4,835,000 | 5,049,295 |
Series 2022 A1, 5.5%, tender 12/1/29 (b) | | 1,415,000 | 1,498,773 |
Series 2022 B1, 5%, tender 8/1/28 (b) | | 3,785,000 | 3,874,969 |
| Stadium Trace Village Impt. District Dev. Series 2021, 3.625% 3/1/36 | | 350,000 | 279,145 |
| The DCH Health Care Auth. Series 2015, 5% 6/1/33 | | 165,000 | 167,033 |
| Tuscaloosa County Indl. Dev. Gulf Opportunity (Hunt Refining Proj.) Series 2019 A: | | | |
| 4.5% 5/1/32 (e) | | 621,600 | 586,571 |
| 5.25% 5/1/44 (e) | | 7,255,000 | 6,579,486 |
| Univ. of North Alabama Rev. Series 2019 B, 5% 11/1/38 | | 320,000 | 341,545 |
| Univ. of South Alabama Univ. Rev. Series 2019 A: | | | |
| 5% 4/1/44 | | 865,000 | 895,904 |
| 5% 4/1/49 | | 525,000 | 538,339 |
TOTAL ALABAMA | | | 188,742,268 |
| Alaska - 0.1% | | | |
| Alaska Hsg. Fin. Corp.: | | | |
| Series 2019 B: | | | |
5% 12/1/37 | | 480,000 | 512,129 |
5% 12/1/38 | | 365,000 | 387,377 |
5% 12/1/39 | | 240,000 | 253,589 |
| Series 2021 A: | | | |
4% 6/1/26 | | 425,000 | 433,176 |
4% 12/1/29 | | 690,000 | 719,393 |
4% 6/1/30 | | 70,000 | 72,967 |
5% 6/1/27 | | 50,000 | 53,172 |
5% 12/1/27 | | 65,000 | 69,769 |
5% 6/1/28 | | 85,000 | 91,991 |
5% 12/1/28 | | 965,000 | 1,052,862 |
5% 6/1/29 | | 725,000 | 794,374 |
| Alaska Hsg. Fin. Corp. Mtg. Rev. Series 2022 A, 3% 6/1/51 | | 590,000 | 566,020 |
| Alaska Indl. Dev. & Export Auth. Rev.: | | | |
| (Greater Fairbanks Cmnty. Hosp. Foundation Proj.) Series 2014, 5% 4/1/32 | | 500,000 | 500,960 |
| (Tanana Chiefs Conference Proj.) Series 2019 A, 4% 10/1/49 | | 700,000 | 623,315 |
| Alaska Int'l. Arpts. Revs.: | | | |
| Series 2016 A, 5% 10/1/26 | | 90,000 | 92,388 |
| Series 2016 B, 5% 10/1/33 | | 125,000 | 127,569 |
| Alaska Muni. Bond Bank Series 2023 TWO: | | | |
| 5.25% 12/1/47 (d) | | 420,000 | 437,642 |
| 5.25% 12/1/52 (d) | | 525,000 | 539,548 |
| Anchorage Gen. Oblig. Series 2015 B, 5% 9/1/26 | | 1,250,000 | 1,292,060 |
| Anchorage Port Rev. Series 2020 A, 5% 12/1/50 (d) | | 1,375,000 | 1,383,212 |
| Northern Tobacco Securitization Corp. Tobacco Settlement Rev. Series 2021 A: | | | |
| 4% 6/1/34 | | 240,000 | 243,887 |
| 4% 6/1/35 | | 600,000 | 607,348 |
| 4% 6/1/37 | | 685,000 | 679,428 |
| 4% 6/1/40 | | 325,000 | 311,001 |
| 4% 6/1/50 | | 905,000 | 800,799 |
TOTAL ALASKA | | | 12,645,976 |
| Arizona - 1.3% | | | |
| Paz County Ariz Indl. Dev. Auth. (Charter School Solutions-Harmoney Pub. Schools Proj.) Series 2018 A, 5% 2/15/38 | | 140,000 | 140,076 |
| Arizona Board of Regents Arizona State Univ. Rev. Series 2015 D: | | | |
| 5% 7/1/41 | | 830,000 | 845,664 |
| 5% 7/1/46 | | 600,000 | 609,393 |
| Arizona Board of Regents Ctfs. of Prtn. (Univ. of Arizona Univ. Revs.) Series 2018 B: | | | |
| 5% 6/1/27 | | 30,000 | 32,016 |
| 5% 6/1/30 | | 80,000 | 86,590 |
| Arizona Health Facilities Auth. Rev.: | | | |
| (Banner Health Sys. Proj.) Series 2007 B, 3 month U.S. LIBOR + 0.810% 4.6%, tender 1/1/37 (b)(c) | | 2,050,000 | 1,878,633 |
| (Scottsdale Lincoln Hospitals Proj.) Series 2014 A, 5% 12/1/39 | | 585,000 | 587,655 |
| Arizona Indl. Dev. Auth. Econ. Dev. Rev. (Legacy Cares, Inc. Proj.) Series 2020 A, 7.75% 7/1/50 (e) | | 1,980,000 | 118,800 |
| Arizona Indl. Dev. Auth. Ed. Rev.: | | | |
| (Academies of Math & Science Projs.): | | | |
Series 2017 A, 5% 7/1/47 | | 315,000 | 316,703 |
Series 2018 A: | | | |
5% 7/1/48 | | 435,000 | 437,223 |
5% 7/1/52 | | 260,000 | 260,695 |
| (American Charter Schools Foundation Proj.) Series 2017, 6% 7/1/47 (e) | | 325,000 | 326,534 |
| (Arizona Agribusiness & Equine Ctr., Inc. Proj.) Series 2017 B: | | | |
5% 3/1/37 (e) | | 250,000 | 236,084 |
5% 3/1/42 (e) | | 250,000 | 225,562 |
| (BASIS Schools Projs.): | | | |
Series 2017 A: | | | |
5.125% 7/1/37 (e) | | 210,000 | 205,869 |
5.25% 7/1/47 (e) | | 160,000 | 148,568 |
Series 2017 D: | | | |
5% 7/1/37 (e) | | 145,000 | 140,412 |
5% 7/1/47 (e) | | 235,000 | 210,719 |
5% 7/1/51 (e) | | 710,000 | 625,204 |
Series 2017 F: | | | |
5% 7/1/37 | | 210,000 | 216,056 |
5% 7/1/47 | | 865,000 | 873,633 |
5% 7/1/52 | | 635,000 | 639,398 |
Series 2017 G: | | | |
5% 7/1/37 (e) | | 35,000 | 33,893 |
5% 7/1/47 (e) | | 35,000 | 31,384 |
5% 7/1/51 (e) | | 65,000 | 57,237 |
| (Cadence Campus Proj.) Series 2020 A: | | | |
4% 7/15/40 (e) | | 130,000 | 110,579 |
4% 7/15/50 (e) | | 225,000 | 174,196 |
| (Doral Academy of Nevada, Fire Mesa and Red Rock Campus Projs.) Series 2019 A: | | | |
5% 7/15/39 | | 185,000 | 181,333 |
5% 7/15/49 | | 165,000 | 151,743 |
| (Greathearts Arizona Projs.) Series 2021 A: | | | |
3% 7/1/46 | | 300,000 | 223,861 |
3% 7/1/52 | | 350,000 | 246,804 |
| (KIPP Nashville Projs.) Series 2022 A: | | | |
5% 7/1/47 | | 700,000 | 701,917 |
5% 7/1/57 | | 330,000 | 327,332 |
| (KIPP NYC Pub. Charter Schools - Macombs Facility Proj.) Series 2021 A, 4% 7/1/51 | | 250,000 | 210,125 |
| (Leman Academy of Excellence Projs.) Series 2022 A, 4.5% 7/1/54 | | 690,000 | 600,465 |
| (Odyssey Preparatory Academy Proj.): | | | |
Series 2017 A: | | | |
5.25% 7/1/37 (e) | | 420,000 | 409,247 |
5.5% 7/1/52 (e) | | 475,000 | 430,714 |
Series 2019, 5% 7/1/49 (e) | | 610,000 | 520,025 |
| Academies of Math & Science Projs. Series 2023: | | | |
5.25% 7/1/43 (e) | | 35,000 | 33,037 |
5.375% 7/1/53 (e) | | 120,000 | 110,445 |
5.5% 7/1/58 (e) | | 105,000 | 97,521 |
| Series 2023 A: | | | |
5.25% 7/1/53 (e) | | 120,000 | 108,677 |
5.5% 7/1/58 (e) | | 120,000 | 111,618 |
| Arizona Indl. Dev. Auth. Hosp. Rev.: | | | |
| Series 2020 A, 4% 2/1/50 | | 965,000 | 880,679 |
| Series 2021 A: | | | |
4% 2/1/38 | | 85,000 | 84,264 |
4% 2/1/39 | | 85,000 | 83,047 |
5% 2/1/29 | | 990,000 | 1,082,047 |
| Arizona Indl. Dev. Auth. Lease Rev. Series 2020 A: | | | |
| 4% 9/1/37 | | 25,000 | 24,283 |
| 4% 9/1/38 | | 25,000 | 24,043 |
| 4% 9/1/39 | | 20,000 | 19,057 |
| 4% 9/1/40 | | 25,000 | 23,715 |
| 4% 9/1/46 | | 1,000,000 | 902,222 |
| 5% 9/1/31 | | 10,000 | 10,841 |
| 5% 9/1/32 | | 15,000 | 16,240 |
| 5% 9/1/33 | | 25,000 | 27,040 |
| 5% 9/1/34 | | 20,000 | 21,581 |
| Arizona Indl. Dev. Auth. Rev.: | | | |
| (Lincoln South Beltway Proj.) Series 2020: | | | |
5% 2/1/26 | | 600,000 | 624,379 |
5% 8/1/27 | | 290,000 | 310,457 |
5% 2/1/28 | | 665,000 | 718,641 |
5% 8/1/28 | | 570,000 | 621,314 |
| (Provident Group-Eastern Michigan Univ. Parking Proj.) Series 2018: | | | |
5% 5/1/37 | | 60,000 | 33,000 |
5% 5/1/43 | | 55,000 | 30,250 |
5% 5/1/48 | | 135,000 | 74,250 |
5% 5/1/51 | | 135,000 | 74,250 |
| Series 2019 2, 3.625% 5/20/33 | | 1,244,820 | 1,147,450 |
| Arizona Indl. Dev. Auth. Sr. Living: | | | |
| (Great Lakes Sr. Living Cmntys. LLC Proj.) Series 2021, 7.75% 1/1/54 (e) | | 100,000 | 49,731 |
| Series 2019 B, 5% 1/1/49 | | 100,000 | 51,386 |
| Arizona Indl. Dev. Auth. Sr. Nat'l. Charter School Revolving Ln. Fund: | | | |
| Series 2019 A, 4% 11/1/49 | | 250,000 | 219,723 |
| Series 2020 A: | | | |
4% 11/1/36 | | 230,000 | 228,732 |
4% 11/1/38 | | 125,000 | 120,981 |
4% 11/1/39 | | 160,000 | 153,325 |
4% 11/1/40 | | 170,000 | 161,460 |
4% 11/1/45 | | 425,000 | 385,998 |
| Series 2021 A, 4% 11/1/51 | | 790,000 | 687,717 |
| Series 2022 A, 4.25% 11/1/52 | | 740,000 | 669,658 |
| Arizona Indl. Dev. Auth. Student Hsg. Rev. Series 2019 A: | | | |
| 5% 6/1/49 | | 235,000 | 241,795 |
| 5% 6/1/54 | | 130,000 | 133,142 |
| Arizona State Univ. Revs.: | | | |
| Series 2021 C: | | | |
5% 7/1/32 | | 70,000 | 80,086 |
5% 7/1/34 | | 70,000 | 79,881 |
5% 7/1/35 | | 55,000 | 62,463 |
5% 7/1/37 | | 825,000 | 919,876 |
5% 7/1/38 | | 1,325,000 | 1,470,095 |
| Series 2023 A, 5.5% 7/1/48 | | 1,000,000 | 1,130,276 |
| Series 2023 B, 4% 7/1/53 | | 2,790,000 | 2,689,938 |
| Chandler Indl. Dev. Auth. Indl. Dev. Rev.: | | | |
| (Intel Corp. Proj.) Series 2022 2, 5%, tender 9/1/27 (b)(d) | | 9,765,000 | 10,081,230 |
| Bonds (Intel Corp. Proj.): | | | |
Series 2005, 3.8%, tender 6/15/28 (b) | | 2,750,000 | 2,783,468 |
Series 2007, 4.1%, tender 6/15/28 (b)(d) | | 1,600,000 | 1,610,140 |
Series 2019, 5%, tender 6/3/24 (b)(d) | | 13,290,000 | 13,329,964 |
| Gilbert Wtr. Resources Municpal Property Series 2022 2022, 4% 7/15/40 | | 4,000,000 | 4,073,142 |
| Glendale Gen. Oblig. Series 2017: | | | |
| 5% 7/1/30 | | 305,000 | 327,499 |
| 5% 7/1/31 | | 455,000 | 487,123 |
| Glendale Indl. Dev. Auth.: | | | |
| (Terraces of Phoenix Proj.) Series 2018 A: | | | |
5% 7/1/38 | | 45,000 | 39,984 |
5% 7/1/48 | | 50,000 | 40,489 |
| Series 2019 A, 3% 7/1/35 (d) | | 415,000 | 376,391 |
| Series 2021 A, 2.125% 7/1/33 (d) | | 270,000 | 219,055 |
| Goodyear Wtr. & Swr. Rev. Series 2020, 4% 7/1/45 (Assured Guaranty Muni. Corp. Insured) | | 550,000 | 529,341 |
| Indl. Dev. Auth. of The City of Glendale Sr. Living Rev.: | | | |
| (Royal Oaks Inspirata Pointe Proj.) Series 2020 A, 5% 5/15/56 | | 945,000 | 751,073 |
| Series 2019 A: | | | |
5% 11/15/42 | | 770,000 | 759,607 |
5% 11/15/48 | | 850,000 | 812,731 |
| Maricopa County Usd # 60 Cph Series 2023: | | | |
| 4.25% 6/1/47 | | 175,000 | 170,591 |
| 5% 6/1/53 | | 1,185,000 | 1,248,483 |
| Maricopa County Indl. Dev. Auth.: | | | |
| (Choice Academies, Inc. Proj.) Series 2022, 5.75% 9/1/45 (e) | | 1,245,000 | 1,185,586 |
| (Creighton Univ. Proj.) Series 2020, 5% 7/1/47 | | 575,000 | 595,159 |
| (Great Hearts Arizona Projs.) Series 2017 A, 5% 7/1/52 | | 240,000 | 241,271 |
| (Greathearts Arizona Projs.) Series 2017 C: | | | |
5% 7/1/37 | | 70,000 | 71,691 |
5% 7/1/48 | | 145,000 | 146,083 |
| (Legacy Traditional Schools Proj.): | | | |
Series 2019 A: | | | |
4% 7/1/34 | | 35,000 | 35,051 |
5% 7/1/39 | | 230,000 | 236,449 |
5% 7/1/49 | | 430,000 | 433,445 |
5% 7/1/54 | | 145,000 | 145,777 |
Series 2019 B: | | | |
5% 7/1/39 (e) | | 180,000 | 173,575 |
5% 7/1/49 (e) | | 95,000 | 86,219 |
5% 7/1/54 (e) | | 435,000 | 388,267 |
| Bonds Series 2019 B, 5%, tender 9/1/24 (b) | | 40,000 | 40,393 |
| Series 2021 A, 4% 9/1/51 | | 705,000 | 643,368 |
| Maricopa County Indl. Dev. Auth. Rev. (Commercial Metals Co. Proj.) Series 2022, 4% 10/15/47 (d)(e) | | 1,120,000 | 937,402 |
| Maricopa County Indl. Dev. Auth. Sr. Living Facilities: | | | |
| (Christian Care Mesa II, Inc.) Series 2014 A, 4.5% 1/1/39 (Pre-Refunded to 1/1/24 @ 100) | | 30,000 | 30,024 |
| Series 2016: | | | |
5.75% 1/1/36 (e) | | 595,000 | 470,622 |
6% 1/1/48 (e) | | 1,430,000 | 990,564 |
| Maricopa County Poll. Cont. Rev.: | | | |
| (Palo Verde Proj.) Series 2009 B, 3.6% 4/1/40 | | 350,000 | 302,290 |
| Bonds Series 2010 B, 0.875%, tender 10/1/26 (b) | | 165,000 | 147,256 |
| Series 2012 A, 4.5% 8/1/42 | | 455,000 | 428,537 |
| Maricopa County Rev.: | | | |
| Series 2016 A: | | | |
5% 1/1/33 | | 730,000 | 762,987 |
5% 1/1/38 | | 640,000 | 657,924 |
| Series 2017 A, 4% 1/1/41 | | 1,165,000 | 1,145,071 |
| Series 2017 D: | | | |
3% 1/1/48 | | 2,605,000 | 1,893,565 |
4% 1/1/48 | | 960,000 | 895,913 |
| Series 2019 E, 3% 1/1/49 | | 1,545,000 | 1,109,386 |
| Maricopa County Spl. Health Care District Gen. Oblig. Series 2018 C, 5% 7/1/36 | | 150,000 | 159,497 |
| Maricopa County Unified School District #48 Scottsdale Series 2017 B: | | | |
| 5% 7/1/31 | | 45,000 | 48,304 |
| 5% 7/1/32 | | 180,000 | 193,151 |
| Mesa Util. Sys. Rev. Series 2021, 4% 7/1/35 | | 500,000 | 518,496 |
| Navajo Nation Arizona Series 2015 A, 5.5% 12/1/30 (e) | | 1,260,000 | 1,286,890 |
| Peoria Indl. Dev. Auth. Rev. (Sierra Winds Life Care Cmnty. Proj.) Series 2014 A: | | | |
| 5.5% 11/15/34 | | 520,000 | 388,278 |
| 5.75% 11/15/40 | | 845,000 | 593,036 |
| Phoenix Ariz Indl. Dev. Auth. Rev.: | | | |
| (Guam Facilities Foundation, Inc. Projs.) Series 2014, 5.375% 2/1/41 | | 1,740,000 | 1,577,410 |
| (Guam Facilities Foundation, Inc. Proj.) Series 2014, 5.125% 2/1/34 | | 1,215,000 | 1,155,205 |
| Phoenix Civic Impt. Board Arpt. Rev.: | | | |
| Series 2017 A: | | | |
5% 7/1/33 (d) | | 135,000 | 141,394 |
5% 7/1/36 (d) | | 210,000 | 218,030 |
5% 7/1/37 (d) | | 160,000 | 165,313 |
5% 7/1/47 (d) | | 885,000 | 899,071 |
| Series 2017 B: | | | |
5% 7/1/29 | | 305,000 | 327,288 |
5% 7/1/30 | | 225,000 | 241,239 |
5% 7/1/33 | | 425,000 | 455,003 |
5% 7/1/34 | | 110,000 | 117,403 |
5% 7/1/35 | | 110,000 | 117,137 |
5% 7/1/36 | | 485,000 | 514,357 |
5% 7/1/37 | | 305,000 | 321,887 |
| Series 2018: | | | |
5% 7/1/37 (d) | | 740,000 | 770,851 |
5% 7/1/38 (d) | | 740,000 | 766,444 |
| Series 2019 A, 5% 7/1/44 | | 425,000 | 448,955 |
| Series 2019 B: | | | |
5% 7/1/35 (d) | | 1,730,000 | 1,845,091 |
5% 7/1/49 (d) | | 500,000 | 507,912 |
| Phoenix Civic Impt. Corp. Series 2019 A: | | | |
| 5% 7/1/30 | | 60,000 | 65,241 |
| 5% 7/1/32 | | 75,000 | 81,277 |
| 5% 7/1/36 | | 35,000 | 37,197 |
| 5% 7/1/37 | | 30,000 | 31,569 |
| 5% 7/1/38 | | 45,000 | 47,071 |
| 5% 7/1/39 | | 30,000 | 31,244 |
| 5% 7/1/45 | | 2,700,000 | 2,784,897 |
| Phoenix Civic Impt. Corp. District Rev.: | | | |
| (Plaza Expansion Proj.) Series 2005 B, 5.5% 7/1/38 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | | 280,000 | 333,444 |
| Series 2005 B: | | | |
5.5% 7/1/29 | | 1,165,000 | 1,333,052 |
5.5% 7/1/30 | | 1,070,000 | 1,244,388 |
5.5% 7/1/33 | | 175,000 | 212,538 |
| Phoenix Civic Impt. Corp. Wtr. Sys. Rev.: | | | |
| Series 2020 A, 5% 7/1/44 | | 1,785,000 | 1,915,091 |
| Series 2021 A, 5% 7/1/45 | | 990,000 | 1,067,675 |
| Phoenix IDA Student Hsg. Rev.: | | | |
| (Downton Phoenix Student Hsg., LLC - Arizona State Univ. Proj.) Series 2018 A, 5% 7/1/37 | | 105,000 | 105,764 |
| (Downtown Phoenix Student Hsg. II LLC Arizona State Univ. Proj.) Series 2019 A: | | | |
5% 7/1/44 | | 225,000 | 221,300 |
5% 7/1/49 | | 365,000 | 352,222 |
5% 7/1/54 | | 585,000 | 558,552 |
5% 7/1/59 | | 475,000 | 448,655 |
| Series 2018 A, (Downtown Phoenix Student Hsg., LLC AZ State Univ. Proj.) 5% 7/1/42 | | 1,085,000 | 1,065,643 |
| Phoenix Indl. Dev. Auth. (Provident Group - Falcon Properties LLC, Proj.): | | | |
| Series 2022 A: | | | |
4% 12/1/41 (e) | | 510,000 | 415,168 |
4% 12/1/51 (e) | | 1,695,000 | 1,257,952 |
| Series 2022 B: | | | |
4.15% 12/1/57 (e) | | 635,000 | 460,574 |
5.75% 12/15/57 (e) | | 745,000 | 573,006 |
| Phoenix Indl. Dev. Auth. Rev.: | | | |
| (BASIS Schools Projs.) Series 2016 A, 5% 7/1/35 (e) | | 25,000 | 24,869 |
| (Basis Schools Projs.) Series 2016 A, 5% 7/1/46 (e) | | 370,000 | 333,417 |
| (BASIS Schools, Inc. Projs. Series 2015 A: | | | |
5% 7/1/35 (e) | | 100,000 | 99,475 |
5% 7/1/45 (e) | | 120,000 | 108,949 |
| (Legacy Traditional School Projs.) Series 2015: | | | |
5% 7/1/35 (e) | | 175,000 | 175,332 |
5% 7/1/45 (e) | | 195,000 | 181,133 |
| (Legacy Traditional Schools Projs.) Series 2016 A, 5% 7/1/46 (e) | | 130,000 | 119,913 |
| Series 2016 A: | | | |
5% 7/1/36 | | 145,000 | 145,508 |
5% 7/1/41 | | 115,000 | 112,483 |
5% 7/1/46 | | 505,000 | 477,893 |
| Phoenix Indl. Solid Waste Disp. Rev. Bonds (Republic Svc., Inc. Proj.) Series 2013, 4.9%, tender 2/1/24 (b)(d) | | 11,000,000 | 11,003,122 |
| Pima County Indl. Dev. Auth. Ed. Rev.: | | | |
| (American Leadership Academy Proj.): | | | |
Series 2021: | | | |
4% 6/15/41 (e) | | 50,000 | 40,799 |
4% 6/15/51 (e) | | 75,000 | 55,295 |
4% 6/15/57 (e) | | 65,000 | 45,959 |
Series 2022: | | | |
4% 6/15/41 (e) | | 510,000 | 416,148 |
4% 6/15/51 (e) | | 1,150,000 | 847,851 |
4% 6/15/57 (e) | | 1,225,000 | 865,900 |
| Series 2015, 5.625% 6/15/45 (e) | | 300,000 | 296,490 |
| Pima County Indl. Dev. Auth. S: | | | |
| Series 2022 A: | | | |
6.75% 11/15/42 (e) | | 250,000 | 252,827 |
6.875% 11/15/52 (e) | | 715,000 | 718,037 |
7% 11/15/57 (e) | | 320,000 | 322,941 |
| Series 2022 B3, 5.125% 11/15/29 (e) | | 310,000 | 304,622 |
| Pinal County Indl. Dev. Auth. Series 2021 B, 5.5% 10/1/33 (d)(e) | | 400,000 | 375,389 |
| Queen Creek Excise Tax & State Shared Rev. Series 2018 A: | | | |
| 5% 8/1/42 | | 395,000 | 417,489 |
| 5% 8/1/47 | | 480,000 | 502,688 |
| Salt River Proj. Agricultural Impt. & Pwr. District Elec. Sys. Rev.: | | | |
| (Arizona Salt River Proj.) Series A, 5% 1/1/38 | | 1,705,000 | 1,779,276 |
| Series 2015 A, 5% 12/1/45 | | 2,500,000 | 2,565,427 |
| Series 2023 A: | | | |
5% 1/1/47 | | 8,675,000 | 9,453,577 |
5% 1/1/50 | | 1,850,000 | 2,005,698 |
| Salt Verde Finl. Corp. Sr. Gas Rev.: | | | |
| Series 2007 1, 5.25% 12/1/28 | | 2,890,000 | 3,038,482 |
| Series 2007: | | | |
5% 12/1/37 | | 2,265,000 | 2,402,448 |
5.25% 12/1/23 | | 140,000 | 140,000 |
5.5% 12/1/29 | | 1,080,000 | 1,156,482 |
| Sierra Vista Ariz Indl. Dev. Auth. (American Leadership Academy Proj.) Series 2023, 5.5% 6/15/47 (e) | | 1,500,000 | 1,446,314 |
| Tempe Indl. Dev. Auth. Rev.: | | | |
| (Friendship Village of Tempe Proj.): | | | |
Series 2019: | | | |
5% 12/1/50 | | 325,000 | 270,871 |
5% 12/1/54 | | 365,000 | 299,424 |
Series 2021 A, 4% 12/1/46 | | 350,000 | 254,268 |
| (Mirabella At ASU, Inc. Proj.) Series 2017 A, 6.125% 10/1/52 (e) | | 435,000 | 239,915 |
| Yavapai County Indl. Dev. Auth. Solid Waste Disp. Rev. Bonds (Waste Mgmt., Inc. Proj.) Series 2003 A2, 2.2%, tender 6/3/24 (b)(d) | | 455,000 | 450,238 |
TOTAL ARIZONA | | | 154,405,250 |
| Arkansas - 0.2% | | | |
| Arkansas Dev. Auth. Indl. Dev. Rev.: | | | |
| (Big River Steel Proj.): | | | |
Series 2019, 4.5% 9/1/49 (d)(e) | | 4,000,000 | 3,852,086 |
Series 2020 A, 4.75% 9/1/49 (d)(e) | | 1,255,000 | 1,245,694 |
| (Hybar Steel Proj.) Series 2023 A, 6.875% 7/1/48 (d)(e) | | 2,500,000 | 2,569,466 |
| Arkansas Dev. Fin. Auth.: | | | |
| (Lisa Academy Proj.) Series 2018 A, 4.5% 7/1/39 | | 5,000 | 4,540 |
| (Liza Academy Proj.) Series 2018 A, 4% 7/1/28 | | 45,000 | 43,357 |
| Series 2018 A, 4.5% 7/1/33 | | 90,000 | 86,143 |
| Arkansas Dev. Fin. Auth. Health Care Rev.: | | | |
| Bonds Series 2020 B2, 5%, tender 9/1/27 (b) | | 260,000 | 272,661 |
| Series 2019, 5% 12/1/47 | | 1,475,000 | 1,513,162 |
| Series 2020 B1: | | | |
5% 9/1/26 | | 950,000 | 986,688 |
5% 9/1/27 | | 1,000,000 | 1,053,483 |
5% 9/1/28 | | 430,000 | 458,235 |
5% 9/1/29 | | 365,000 | 392,011 |
5% 9/1/36 | | 185,000 | 192,063 |
5% 9/1/40 | | 110,000 | 111,786 |
| Series 2021 B1: | | | |
5% 9/1/37 | | 125,000 | 128,976 |
5% 9/1/39 | | 100,000 | 102,137 |
| Arkansas Dev. Fin. Auth. Health Rev. (CARTI Surgery Ctr. Proj.) Series 2021 B: | | | |
| 3% 7/1/32 | | 35,000 | 29,814 |
| 3.125% 7/1/36 | | 100,000 | 79,000 |
| 4% 7/1/52 | | 165,000 | 123,676 |
| 4.25% 7/1/41 | | 35,000 | 30,608 |
| Arkansas Dev. Fin. Auth. Hosp. Rev.: | | | |
| Series 2015 A, 5% 2/1/35 | | 130,000 | 130,757 |
| Series 2015 B, 5% 2/1/24 | | 235,000 | 235,419 |
| Series 2015 C, 5% 2/1/35 | | 170,000 | 170,990 |
| Series 2017, 5% 2/1/38 | | 355,000 | 356,909 |
| Series 2019, 4% 2/1/42 | | 130,000 | 113,976 |
| Arkansas Dev. Fin. Auth. Tobacco Settlement Rev. Series 2006, 0% 7/1/46 (AMBAC Insured) | | 1,065,000 | 349,135 |
| Arkansas Dev. Fing. Auth. Envir. Impt. Rev.: | | | |
| (United States Steel Corp. Proj.) Series 2023, 5.7% 5/1/53 (d) | | 4,500,000 | 4,499,731 |
| Series 2022, 5.45% 9/1/52 (d) | | 1,000,000 | 967,508 |
| Little Rock School District Series 2021 A, 3% 2/1/50 | | 1,000,000 | 731,130 |
| Pulaski County Pub. Facilities Board Series 2014, 5% 12/1/42 | | 320,000 | 321,959 |
TOTAL ARKANSAS | | | 21,153,100 |
| California - 6.2% | | | |
| ABC Unified School District Series 1997 C, 0% 8/1/28 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | | 475,000 | 411,434 |
| Alameda Corridor Trans. Auth. Rev.: | | | |
| Series 1999 A, 0% 10/1/36 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | | 6,500,000 | 3,890,687 |
| Series 2016 B: | | | |
5% 10/1/34 | | 1,625,000 | 1,662,625 |
5% 10/1/37 | | 540,000 | 549,063 |
| Series 2022 C: | | | |
0% 10/1/52 (Assured Guaranty Muni. Corp. Insured) | | 1,680,000 | 861,469 |
5% 10/1/52 (Assured Guaranty Muni. Corp. Insured) | | 1,850,000 | 1,945,078 |
| Series 2022, 0% 10/1/48 | | 2,000,000 | 1,038,093 |
| Allan-Hancock Joint Cmnty. College District Series 2012 C, 0% 8/1/44 (f) | | 1,500,000 | 1,046,799 |
| Anaheim Pub. Fing. Auth. Lease Rev. Series 2014 A: | | | |
| 5% 5/1/33 (Pre-Refunded to 5/1/24 @ 100) | | 420,000 | 423,416 |
| 5% 5/1/34 (Pre-Refunded to 5/1/24 @ 100) | | 325,000 | 327,643 |
| 5% 5/1/46 (Pre-Refunded to 5/1/24 @ 100) | | 2,170,000 | 2,187,650 |
| Antelope Valley Cmnty. College District Series B, 3% 8/1/50 | | 1,200,000 | 883,574 |
| Bay Area Toll Auth. San Francisco Bay Toll Bridge Rev. Bonds: | | | |
| Series 2001 A, 5.06%, tender 4/1/27 (b) | | 6,505,000 | 6,507,759 |
| Series 2021 B, 0.280% x SIFMA Municipal Swap Index 4.09%, tender 12/7/23 (b)(c) | | 885,000 | 883,027 |
| CA Muni. Fin. Auth. Chrter School Rev. Series 2016 A, 5% 7/1/46 (e) | | 670,000 | 609,243 |
| California Cmnty. Choice Fing. Auth. Clean Energy Proj. Rev. Bonds: | | | |
| Series 2021 A, 4%, tender 12/1/27 (b) | | 4,260,000 | 4,231,176 |
| Series 2021 B1, 4%, tender 8/1/31 (b) | | 2,280,000 | 2,223,205 |
| Series 2021 B2, 4.26%, tender 8/1/31 (b) | | 1,000,000 | 878,961 |
| Series 2022 A1, 4%, tender 8/1/28 (b) | | 4,250,000 | 4,216,264 |
| Series 2023 A1, 5%, tender 8/1/29 (b) | | 1,750,000 | 1,820,676 |
| Series 2023 A2, U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.950% 5.514%, tender 8/1/29 (b)(c) | | 3,250,000 | 3,311,543 |
| Series 2023 B1, 5%, tender 8/1/29 (b) | | 9,350,000 | 9,699,707 |
| Series 2023 C, 5.25%, tender 10/1/31 (b) | | 14,200,000 | 14,632,078 |
| Series 2023 D, 5.5%, tender 11/1/28 (b) | | 2,500,000 | 2,642,277 |
| Series 2023 E1, 5%, tender 3/1/31 (b) | | 3,050,000 | 3,190,996 |
| Series 2023 E2, U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.670% 5.234%, tender 3/1/31 (b)(c) | | 2,500,000 | 2,506,493 |
| Series 2023 F, 5.5%, tender 11/1/30 (b) | | 5,925,000 | 6,445,382 |
| California Cmnty. College Fin. Auth. Series 2016 C, 5% 6/1/25 (Escrowed to Maturity) | | 845,000 | 871,480 |
| California Cmnty. College Finga: | | | |
| (NCCD - Napa Valley Properties LLC - Napa Valley College Proj.) Series 2022 A, 5.75% 7/1/60 (e) | | 900,000 | 881,119 |
| (NCCD - Orange Coast Properties LLC - Orange Coast College Proj.) Series 2018, 5.25% 5/1/48 | | 1,000,000 | 1,005,023 |
| California Cmnty. Hsg. Agcy. Essential Hsg. Rev.: | | | |
| Series 2019 A, 5% 8/1/49 (e) | | 1,575,000 | 1,425,581 |
| Series 2020 A, 5% 2/1/50 (e) | | 150,000 | 116,884 |
| Series 2021 A: | | | |
4% 2/1/56 (e) | | 1,190,000 | 855,145 |
4% 2/1/56 (e) | | 3,550,000 | 2,187,361 |
| Series 2021 A1: | | | |
4% 2/1/56 (e) | | 1,835,000 | 1,480,524 |
4% 2/1/56 (e) | | 750,000 | 590,748 |
| Series 2021 A2, 4% 8/1/50 (e) | | 2,625,000 | 1,860,380 |
| California Cmnty. Hsg. Agcy. Workf Series 2019 A, 5% 4/1/49 (e) | | 300,000 | 234,562 |
| California County Tobacco Securitization Agcy. Tobacco Settlement Asset-Backed Series 2020 A: | | | |
| 4% 6/1/38 | | 25,000 | 24,408 |
| 4% 6/1/39 | | 35,000 | 33,899 |
| California Edl. Facilities Auth. Rev.: | | | |
| Series 2016 U7 5% 6/1/46 | | 895,000 | 1,043,831 |
| Series 2017 A, 5% 4/1/47 | | 120,000 | 122,003 |
| Series 2018 A, 5% 10/1/42 | | 85,000 | 88,156 |
| California Gen. Oblig.: | | | |
| Series 2004, 5.25% 12/1/33 | | 20,000 | 20,026 |
| Series 2013: | | | |
5% 11/1/28 | | 860,000 | 860,319 |
5% 11/1/28 | | 815,000 | 817,614 |
5% 9/1/31 | | 1,775,000 | 1,780,694 |
| Series 2015, 5% 3/1/30 | | 605,000 | 618,077 |
| Series 2016, 5% 9/1/29 | | 270,000 | 285,103 |
| Series 2018: | | | |
5% 10/1/24 | | 5,000,000 | 5,076,985 |
5% 8/1/30 | | 1,300,000 | 1,430,475 |
5% 10/1/47 | | 265,000 | 271,866 |
| Series 2019: | | | |
3% 10/1/36 | | 3,110,000 | 2,853,920 |
3% 10/1/37 | | 500,000 | 451,839 |
4% 10/1/36 | | 750,000 | 770,283 |
4% 10/1/37 | | 2,100,000 | 2,149,277 |
4% 10/1/39 | | 800,000 | 817,653 |
| Series 2020: | | | |
4% 3/1/36 | | 5,650,000 | 5,905,877 |
4% 11/1/37 | | 1,375,000 | 1,420,075 |
| Series 2021: | | | |
5% 9/1/32 | | 340,000 | 395,782 |
5% 12/1/35 | | 885,000 | 1,006,341 |
5% 12/1/36 | | 1,325,000 | 1,493,895 |
5% 9/1/41 | | 3,000,000 | 3,336,890 |
| Series 2022 B, 5% 11/1/32 | | 4,200,000 | 4,980,551 |
| Series 2022: | | | |
4% 9/1/29 | | 305,000 | 324,405 |
5% 4/1/35 | | 155,000 | 180,567 |
5% 4/1/35 | | 635,000 | 695,288 |
5% 4/1/42 | | 810,000 | 903,753 |
5% 9/1/42 | | 2,000,000 | 2,241,453 |
5% 11/1/42 | | 3,155,000 | 3,542,191 |
5% 4/1/47 | | 9,580,000 | 10,470,336 |
5.5% 12/1/52 | | 1,670,000 | 1,835,120 |
| Series 2023: | | | |
4% 10/1/50 | | 2,250,000 | 2,239,638 |
5% 9/1/34 | | 2,500,000 | 2,983,073 |
5% 10/1/45 | | 2,250,000 | 2,498,753 |
5.25% 10/1/50 | | 2,850,000 | 3,193,656 |
| California Health Facilities Fing. Auth. Rev.: | | | |
| Series 2015: | | | |
5% 11/15/28 | | 250,000 | 260,733 |
5% 11/15/32 | | 55,000 | 57,187 |
5% 11/15/33 | | 480,000 | 498,737 |
| Series 2016 A: | | | |
5% 11/15/41 (Pre-Refunded to 11/15/25 @ 100) | | 1,000,000 | 1,042,983 |
5% 11/15/46 (Pre-Refunded to 11/15/25 @ 100) | | 540,000 | 563,211 |
| Series 2017 A, 5% 11/15/56 | | 360,000 | 366,587 |
| Series 2017 A2, 5% 11/1/47 | | 1,320,000 | 1,495,034 |
| Series 2018 A, 5% 11/15/35 | | 440,000 | 467,459 |
| Series 2019, 5% 11/15/49 | | 1,805,000 | 1,822,531 |
| Series 2020 A: | | | |
4% 4/1/38 | | 355,000 | 352,279 |
4% 4/1/45 | | 250,000 | 238,293 |
4% 4/1/49 | | 1,510,000 | 1,416,621 |
| Series A, 5% 8/15/47 | | 300,000 | 302,876 |
| California Hsg. Fin. Agcy.: | | | |
| Series 2019 A: | | | |
4% 3/20/33 | | 1,043,522 | 1,037,424 |
4.25% 1/15/35 | | 696,537 | 685,326 |
| Series 2021 1: | | | |
0.797% 11/20/35 (b) | | 14,586,457 | 721,372 |
3.5% 11/20/35 | | 1,086,942 | 1,010,102 |
| Series 2021 3, 0.789% 8/20/36 (b) | | 5,211,364 | 271,673 |
| Series 2023 A1, 4.375% 9/20/36 | | 10,670,519 | 10,315,690 |
| California Infrastructure & Econ. Dev. Series 2019: | | | |
| 5% 8/1/44 | | 2,035,000 | 2,151,562 |
| 5% 8/1/49 | | 960,000 | 1,007,363 |
| California Infrastructure & Econ. Dev. Bank Series 2022 B: | | | |
| 5% 11/1/47 | | 325,000 | 335,543 |
| 5% 11/1/57 | | 275,000 | 280,972 |
| California Infrastructure and Econ. Dev. Bank Rev.: | | | |
| Bonds (Los Angeles County Museum of Art Proj.) Series 2021 A, 1.2%, tender 6/1/28 (b) | | 1,695,000 | 1,480,681 |
| Series 2017, 5% 5/15/42 | | 1,205,000 | 1,276,092 |
| Series 2023: | | | |
4% 10/1/41 | | 1,165,000 | 1,196,353 |
4% 10/1/43 | | 10,000,000 | 10,193,781 |
| California Muni. Fin. Auth.: | | | |
| (United Airlines, Inc. Los Angeles Int'l. Arpt. proj.) Series 2019, 4% 7/15/29 (d) | | 1,540,000 | 1,488,971 |
| Series 2018 A, 5% 6/1/48 | | 1,685,000 | 1,759,214 |
| Series 2021 A, 4% 11/1/36 (e) | | 410,000 | 369,157 |
| California Muni. Fin. Auth. Ctfs. of Prtn. Series 2022 A, 5.25% 11/1/52 (Assured Guaranty Muni. Corp. Insured) | | 1,610,000 | 1,762,579 |
| California Muni. Fin. Auth. Mobile Home Park Sr. Rev.: | | | |
| (Caritas Affordable Hsg., Inc. Proj.) Series 2014 A, 5.25% 8/15/39 | | 205,000 | 206,414 |
| (Caritas Affordable Hsg., Inc. Projs.) Series 2014 A, 5.25% 8/15/49 | | 570,000 | 572,226 |
| California Muni. Fin. Auth. Rev.: | | | |
| (LINXS APM Proj.) Series 2018 A: | | | |
5% 12/31/36 (d) | | 1,260,000 | 1,297,804 |
5% 12/31/43 (d) | | 10,415,000 | 10,509,840 |
5% 12/31/47 (d) | | 2,335,000 | 2,350,801 |
| Series 2015, 5.5% 11/1/45 (e) | | 250,000 | 248,099 |
| Series 2016 A, 5% 11/1/46 (e) | | 250,000 | 231,063 |
| Series 2017 A: | | | |
5% 2/1/42 | | 370,000 | 376,189 |
5% 7/1/42 | | 65,000 | 65,480 |
5.25% 11/1/36 | | 355,000 | 356,833 |
5.25% 11/1/41 | | 330,000 | 327,299 |
5.25% 11/1/47 | | 760,000 | 726,842 |
| Series 2018 A, 4% 12/31/47 (d) | | 3,900,000 | 3,425,768 |
| Series 2019, 5% 8/1/39 (e) | | 455,000 | 414,784 |
| Series 2021 A: | | | |
4% 2/1/41 | | 500,000 | 491,077 |
4% 2/1/51 | | 640,000 | 550,524 |
| Series 2022, 5.25% 6/1/53 | | 2,075,000 | 2,200,336 |
| California Muni. Fin. Auth. Solid Waste Disp. Rev. Bonds (Waste Mgmt., Inc. Proj.): | | | |
| Series 2019 A, 2.4%, tender 10/1/29 (b)(d) | | 910,000 | 819,963 |
| Series 2020, 4.25%, tender 12/1/23 (b)(d) | | 2,610,000 | 2,610,000 |
| California Muni. Fin. Auth. Student Hsg.: | | | |
| (CHF-Davis I, LLC - West Village Student Hsg. Proj.) Series 2018: | | | |
5% 5/15/34 | | 170,000 | 177,412 |
5% 5/15/35 | | 120,000 | 124,922 |
5% 5/15/36 | | 215,000 | 222,680 |
5% 5/15/38 | | 170,000 | 173,804 |
5% 5/15/39 | | 75,000 | 76,478 |
5% 5/15/43 | | 225,000 | 227,251 |
| (CHF-Riverside II, LLC-UCR North District Phase I Student Hsg. Proj.) Series 2019: | | | |
5% 5/15/49 | | 420,000 | 420,844 |
5% 5/15/52 | | 350,000 | 349,990 |
| Series 2018: | | | |
5% 5/15/36 | | 1,000,000 | 1,052,952 |
5% 5/15/39 | | 1,600,000 | 1,656,879 |
5% 5/15/48 | | 750,000 | 763,478 |
5% 5/15/51 | | 725,000 | 736,357 |
| Series 2021, 3% 5/15/51 (Build America Mutual Assurance Insured) | | 250,000 | 180,793 |
| California Poll. Cont. Fing. Auth. Series 2019: | | | |
| 5% 7/1/29 (e) | | 480,000 | 499,258 |
| 5% 7/1/39 (e) | | 1,760,000 | 1,796,269 |
| 5% 11/21/45 (e) | | 1,930,000 | 1,944,539 |
| California Poll. Cont. Fing. Auth. Solid Waste Disp. Rev. Bonds (Waste Mgmt., Inc. Proj.) Series 2003 A, 2.5%, tender 5/1/24 (b)(d) | | 810,000 | 803,956 |
| California Pub. Fin. Auth.: | | | |
| (Enso Village Proj.) Series 2021 B1, 3.125% 5/15/29 (e) | | 660,000 | 610,840 |
| (Enso Villiage Proj.) Series 2021 B2, 2.375% 11/15/28 (e) | | 495,000 | 466,020 |
| Series 2021 A: | | | |
5% 11/15/36 (e) | | 190,000 | 181,108 |
5% 11/15/46 (e) | | 105,000 | 91,885 |
| Series 2021 B3, 2.125% 11/15/27 (e) | | 370,000 | 352,313 |
| California Pub. Fin. Auth. Rev.: | | | |
| Series 2017: | | | |
5% 10/15/37 | | 105,000 | 107,024 |
5% 10/15/47 | | 105,000 | 105,320 |
| Series 2019 A, 6.25% 7/1/54 (e) | | 250,000 | 261,689 |
| Series 2019 B, 7.5% 7/1/36 (e) | | 250,000 | 241,504 |
| Series 2021 A, 4% 10/15/26 | | 85,000 | 85,506 |
| Series 2022 A, 4% 7/15/51 | | 2,000,000 | 1,981,309 |
| California Pub. Works Board Lease Rev.: | | | |
| (Various Cap. Projs.) Series 2022 C: | | | |
5% 8/1/30 | | 35,000 | 39,938 |
5% 8/1/31 | | 450,000 | 521,938 |
5% 8/1/32 | | 130,000 | 150,742 |
5% 8/1/34 | | 840,000 | 969,459 |
| Series 2013 I, 5% 11/1/38 | | 1,960,000 | 1,962,020 |
| Series 2014 B, 5% 10/1/34 | | 1,505,000 | 1,520,308 |
| California School Fin. Auth. Charter School Rev.: | | | |
| (Partnerships to Uplift Cmntys. Proj.) Series 2023, 5.5% 8/1/43 (e) | | 550,000 | 549,956 |
| Series 2016, 5% 8/1/41 (Pre-Refunded to 8/1/25 @ 100) (e) | | 50,000 | 51,633 |
| Series 2021 A: | | | |
4% 6/1/51 (e) | | 250,000 | 187,415 |
4% 8/1/51 (e) | | 150,000 | 124,511 |
4% 6/1/61 (e) | | 250,000 | 162,334 |
4% 8/1/61 (e) | | 240,000 | 190,305 |
| Series 2022 A: | | | |
5% 7/1/42 (e) | | 500,000 | 489,909 |
5% 7/1/52 (e) | | 2,045,000 | 1,799,605 |
| Series 2022 B, 5% 7/1/42 (e) | | 2,125,000 | 1,974,204 |
| California School Fin. Auth. School Facility Rev.: | | | |
| (Alliance for College-Ready Pub. Schools Proj.) Series 2015 A, 4% 7/1/24 (e) | | 115,000 | 114,715 |
| (KIPP SoCal Projs.) Series 2020 A, 4% 7/1/50 (e) | | 735,000 | 620,107 |
| Series 2015 A, 5% 7/1/45 (e) | | 285,000 | 283,369 |
| Series 2019, 5% 7/1/49 (e) | | 750,000 | 727,485 |
| California State Univ. Rev.: | | | |
| Series 2016 A, 4% 11/1/45 | | 360,000 | 361,793 |
| Series 2017 A, 5% 11/1/42 | | 500,000 | 520,032 |
| Series 2020 C: | | | |
3% 11/1/40 | | 1,350,000 | 1,153,434 |
4% 11/1/45 | | 750,000 | 756,271 |
| California Statewide Cmntys. Dev. Auth.: | | | |
| (NCCD-Hooper Street LLC-California College of the Arts Proj.) Series 2019: | | | |
5% 7/1/29 (e) | | 130,000 | 131,820 |
5.25% 7/1/39 (e) | | 100,000 | 100,139 |
5.25% 7/1/49 (e) | | 380,000 | 366,517 |
5.25% 7/1/52 (e) | | 165,000 | 158,167 |
| Series 2013 A, 5.75% 1/15/45 (e) | | 2,845,000 | 2,760,269 |
| Series 2016: | | | |
5% 5/15/25 | | 55,000 | 55,649 |
5% 5/15/26 | | 55,000 | 56,140 |
5% 5/15/27 | | 55,000 | 56,204 |
5% 5/15/28 | | 55,000 | 56,230 |
5% 5/15/32 | | 70,000 | 71,320 |
5% 5/15/33 | | 85,000 | 86,524 |
5% 5/15/40 | | 55,000 | 55,224 |
| Series 2017: | | | |
5% 5/15/37 | | 1,000,000 | 1,012,273 |
5% 5/15/47 | | 1,180,000 | 1,179,966 |
| California Statewide Cmntys. Dev. Auth. Hosp. Rev. Series 2018, 5% 1/1/48 | | 350,000 | 352,689 |
| California Statewide Cmntys. Dev. Auth. Multi-family Hsg. Rev. Bonds Series 2020 R, 3.95%, tender 4/1/60 (e)(g) | | 2,500,000 | 2,071,496 |
| California Statewide Cmntys. Dev. Auth. Poll. Cont. Rev. Series 2010 A, 1.75% 9/1/29 | | 300,000 | 250,212 |
| California Statewide Cmntys. Dev. Auth. Rev.: | | | |
| (899 Charleston Proj.) Series 2014 A, 5.375% 11/1/49 (e) | | 490,000 | 380,448 |
| (Viamonte Sr. Living 1 Proj.) Series 2018 A, 3.5% 7/1/34 | | 165,000 | 162,510 |
| Series 2014 A: | | | |
5.25% 12/1/44 | | 560,000 | 560,715 |
5.5% 12/1/54 | | 2,920,000 | 2,926,159 |
| Series 2014 B, 5% 7/1/28 (Pre-Refunded to 7/1/24 @ 100) | | 860,000 | 869,434 |
| Series 2014, 6.375% 11/1/43 (e) | | 350,000 | 350,273 |
| Series 2015 A, 5% 10/1/45 | | 615,000 | 615,663 |
| Series 2015, 5% 2/1/45 (h) | | 640,000 | 339,200 |
| Series 2016 A: | | | |
5% 12/1/27 (e) | | 420,000 | 428,822 |
5% 12/1/46 (e) | | 2,880,000 | 2,824,258 |
5.25% 12/1/56 (e) | | 4,305,000 | 4,173,796 |
| Series 2017 A: | | | |
3.5% 11/1/27 (e) | | 735,000 | 702,050 |
5% 11/1/32 (e) | | 100,000 | 101,055 |
5% 11/1/41 (e) | | 200,000 | 190,881 |
| Series 2018 A: | | | |
5% 3/1/34 | | 210,000 | 221,566 |
5% 3/1/35 | | 315,000 | 331,960 |
5.25% 12/1/48 (e) | | 250,000 | 251,894 |
5.5% 12/1/58 (e) | | 4,875,000 | 4,919,638 |
| Series 2019 B: | | | |
4% 9/2/29 | | 450,000 | 453,751 |
5% 9/2/34 | | 150,000 | 158,270 |
5% 9/2/39 | | 140,000 | 142,816 |
5% 9/2/44 | | 1,000,000 | 1,016,095 |
5% 9/2/49 | | 70,000 | 70,818 |
| Series 2021 A: | | | |
4% 9/2/28 | | 35,000 | 34,531 |
4% 9/2/29 | | 40,000 | 39,208 |
4% 9/2/30 | | 45,000 | 43,820 |
4% 9/2/31 | | 35,000 | 33,824 |
4% 9/2/41 | | 230,000 | 198,470 |
4% 9/2/51 | | 140,000 | 110,762 |
| Series 2021 B: | | | |
4% 9/2/41 | | 640,000 | 568,643 |
4% 9/2/51 | | 755,000 | 616,794 |
| Series 2021 C1: | | | |
4% 9/2/31 | | 85,000 | 82,306 |
4% 9/2/41 | | 450,000 | 390,200 |
4% 9/2/51 | | 105,000 | 83,833 |
| Series 2022 A: | | | |
5.25% 8/15/52 | | 725,000 | 782,365 |
5.375% 8/15/57 (Assured Guaranty Muni. Corp. Insured) | | 690,000 | 749,654 |
| Series 2022 A1, 5% 9/2/52 | | 1,525,000 | 1,460,839 |
| Series 2022 B, 5% 9/2/52 | | 500,000 | 478,253 |
| Series 2023 D, 5.25% 9/2/43 | | 1,300,000 | 1,303,327 |
| California Statewide Fing. Auth. Series 2002 A, 6% 5/1/43 | | 210,000 | 213,389 |
| Carlsbad Unified School District Series 2021 B, 3% 8/1/46 | | 250,000 | 191,633 |
| Chabot-Las Positas Cmnty. College District Series 2023 C, 5.25% 8/1/48 | | 500,000 | 557,733 |
| Chino Valley Unified School District Series 2020 B, 3.375% 8/1/50 (Assured Guaranty Muni. Corp. Insured) | | 10,690,000 | 8,835,344 |
| CMFA Spl. Fin. Agcy. Essential Hsg. Rev.: | | | |
| Series 2020 A1, 4% 8/1/56 (e) | | 655,000 | 529,455 |
| Series 2021 A1, 3% 12/1/56 (e) | | 450,000 | 291,008 |
| Series 2021, 4% 8/1/45 (e) | | 840,000 | 660,064 |
| CMFA Spl. Fin. Agcy. VII Essential Hsg. Rev. Series 2021 A2, 4% 8/1/47 (e) | | 2,005,000 | 1,511,950 |
| CMFA Spl. Fin. Agcy. XII: | | | |
| Series 2022 A1, 3.25% 2/1/57 (e) | | 240,000 | 161,588 |
| Series 2022 A2, 4.375% 8/1/49 (e) | | 455,000 | 340,517 |
| College of the Sequoias Cmnty. College District Series 2021 E, 3% 8/1/51 | | 455,000 | 336,267 |
| CSCDA Cmnty. Impt. Auth. Essential Hsg. Rev.: | | | |
| Series 2020 A, 5% 7/1/51 (e) | | 605,000 | 543,704 |
| Series 2021 A, 4% 8/1/56 (e) | | 500,000 | 362,495 |
| Series 2021 A1: | | | |
2.65% 12/1/46 (e) | | 1,945,000 | 1,364,422 |
3% 7/1/45 (e) | | 2,000,000 | 1,427,131 |
| Series 2021 A2: | | | |
3% 12/1/56 (e) | | 200,000 | 129,792 |
3.25% 5/1/57 (e) | | 250,000 | 163,578 |
4% 7/1/56 (e) | | 2,319,888 | 1,594,717 |
4% 9/1/56 (e) | | 1,150,000 | 796,443 |
4% 10/1/56 (e) | | 5,630,000 | 4,016,286 |
4% 6/1/58 (e) | | 250,000 | 178,629 |
| Series 2021 B, 4% 3/1/57 (e) | | 1,415,000 | 977,269 |
| Ctr. Joint Unified School Ditrict Series 2021 B, 3% 8/1/51 | | 1,740,000 | 1,285,943 |
| Eastern Muni. Wtr. District Fing. Auth. Series 2017 D, 5% 7/1/47 | | 3,845,000 | 4,004,731 |
| El Camino Cmnty. College District Series 2012 C, 0% 8/1/38 | | 1,700,000 | 930,641 |
| Escondido Gen. Oblig. Series 2015, 5% 9/1/36 | | 1,000,000 | 1,032,793 |
| Escondido Union High School District: | | | |
| Series 2008 A, 0% 8/1/33 (Assured Guaranty Corp. Insured) | | 590,000 | 419,174 |
| Series 2009 A, 0% 8/1/31 (Assured Guaranty Corp. Insured) | | 855,000 | 658,118 |
| Facilities Fing. Auth. Sp: | | | |
| (Irvine Great Park Infrastructure Proj.) Series 2023 A, 4% 9/1/58 (Build America Mutual Assurance Insured) | | 3,825,000 | 3,755,497 |
| (Irvine Great Park Infrastructure) Series 2023 A, 5.25% 9/1/53 | | 4,000,000 | 4,420,866 |
| Folsom Cordova Union School District No. 4 Series A, 0% 10/1/31 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | | 225,000 | 171,931 |
| Foothill-De Anza Cmnty. College District Series 2003 B, 0% 8/1/34 (FGIC Insured) (Nat'l. Pub. Fin. Guarantee Corp. Insured) | | 4,570,000 | 3,250,685 |
| Foothill/Eastern Trans. Corridor Agcy. Toll Road Rev.: | | | |
| Series 2013 A, 6% 1/15/53 (Pre-Refunded to 1/15/24 @ 100) | | 3,000,000 | 3,009,541 |
| Series 2013 B2, 3.5% 1/15/53 (b) | | 450,000 | 388,626 |
| Series 2021 A: | | | |
4% 1/15/46 | | 1,414,000 | 1,394,636 |
4% 1/15/46 | | 3,946,000 | 3,781,004 |
| Series 2021 C, 4% 1/15/43 | | 250,000 | 247,516 |
| Fresno Arpt. Rev. Series 2023 A, 5% 7/1/34 (Build America Mutual Assurance Insured) (d) | | 1,000,000 | 1,108,252 |
| Fresno Unified School District Series B, 3% 8/1/43 | | 1,470,000 | 1,147,901 |
| Golden State Tobacco Securitization Corp. Tobacco Settlement Rev.: | | | |
| Series 2015 A: | | | |
5% 6/1/34 (Pre-Refunded to 6/1/25 @ 100) | | 2,115,000 | 2,179,713 |
5% 6/1/35 (Pre-Refunded to 6/1/25 @ 100) | | 875,000 | 901,773 |
| Series 2021 B1, 3.85% 6/1/50 | | 5,020,000 | 4,633,433 |
| Series 2021 B2, 0% 6/1/66 | | 79,390,000 | 8,250,153 |
| Series 2022 A1, 5% 6/1/51 | | 1,425,000 | 1,461,910 |
| Series A, 0% 6/1/24 (Escrowed to Maturity) | | 1,125,000 | 1,107,939 |
| Hastings Campus Hsg. Fin. Auth.: | | | |
| Series 2020 A: | | | |
5% 7/1/45 (e) | | 1,800,000 | 1,591,643 |
5% 7/1/61 (e) | | 3,730,000 | 3,099,283 |
| Series 2020 B, 0% 7/1/61 (e)(f) | | 2,605,000 | 979,995 |
| Indio Pub. Fing. Auth. Lease Rev. Series 2022 A, 4.5% 11/1/52 | | 1,115,000 | 1,140,059 |
| Inland Empire Tobacco Securitization Auth. Series 2007: | | | |
| 0% 6/1/57 | | 9,000,000 | 674,033 |
| 0% 6/1/57 (e) | | 17,305,000 | 1,188,101 |
| 0% 6/1/57 (e) | | 11,325,000 | 635,053 |
| Irvine Reassessment District 12-1 Ltd. Oblig.: | | | |
| Series 2012, 4% 9/2/27 | | 45,000 | 45,098 |
| Series 2012, 4% 9/2/28 | | 60,000 | 60,135 |
| Irvine Unified School District Cmnty. Facilities District Series 2017 D, 5% 3/1/57 | | 770,000 | 781,526 |
| Kern Cmnty. College District Gen. Oblig. Series 2006: | | | |
| 0% 11/1/28 (Assured Guaranty Muni. Corp. Insured) | | 600,000 | 512,016 |
| 0% 11/1/30 (Assured Guaranty Muni. Corp. Insured) | | 605,000 | 479,361 |
| Ladera Ranch Cmnty. Facilities District 2004-1 Series 2022 A, 5% 8/15/47 | | 2,500,000 | 2,511,661 |
| Live Oak School District Ctfs. of Prtn. (2016 Rfdg. and School Fing. Projs.) Series 2016, 5% 8/1/39 (Assured Guaranty Muni. Corp. Insured) | | 750,000 | 779,208 |
| Lodi Unified School District Series 2021, 3% 8/1/46 | | 2,700,000 | 2,095,077 |
| Long Beach Arpt. Rev.: | | | |
| Series 2022 A: | | | |
5% 6/1/33 | | 30,000 | 34,971 |
5% 6/1/34 | | 25,000 | 29,078 |
5% 6/1/35 | | 20,000 | 23,122 |
5% 6/1/36 | | 50,000 | 57,280 |
5% 6/1/37 | | 45,000 | 50,871 |
5% 6/1/39 | | 30,000 | 33,313 |
| Series 2022 B: | | | |
5% 6/1/33 | | 30,000 | 34,971 |
5% 6/1/34 | | 25,000 | 29,078 |
5% 6/1/35 | | 20,000 | 23,122 |
5% 6/1/36 | | 20,000 | 22,912 |
5% 6/1/37 | | 30,000 | 33,914 |
5% 6/1/38 | | 20,000 | 22,321 |
5% 6/1/39 | | 35,000 | 38,865 |
| Long Beach Bond Fin. Auth. Natural Gas Purchase Rev. Series 2007 A: | | | |
| 5% 11/15/29 | | 600,000 | 628,521 |
| 5.5% 11/15/37 | | 900,000 | 998,581 |
| Long Beach Hbr. Rev. Series 2019 A, 5% 5/15/39 | | 480,000 | 522,574 |
| Long Beach Marina Rev. (Alamitos Bay Marina Proj.) Series 2015, 5% 5/15/40 | | 540,000 | 544,144 |
| Long Beach Unified School District: | | | |
| Series 2009, 5.5% 8/1/29 | | 20,000 | 20,034 |
| Series 2015 D1, 0% 8/1/30 | | 720,000 | 555,433 |
| Los Angeles Cmnty. College District Series 2015 C, 5% 8/1/25 | | 305,000 | 316,116 |
| Los Angeles County Metropolitan Trans. Auth. Sales Tax Rev.: | | | |
| Series 2019 A: | | | |
5% 7/1/38 | | 1,445,000 | 1,556,710 |
5% 7/1/39 | | 965,000 | 1,037,062 |
| Series 2019 B, 5% 7/1/36 | | 1,205,000 | 1,312,980 |
| Los Angeles County Pub. Works Fing. Auth. Lease Rev.: | | | |
| (Lacma Bldg. for the Permanent Collection Proj.) Series 2020 A: | | | |
4% 12/1/38 | | 620,000 | 636,205 |
4% 12/1/40 | | 1,095,000 | 1,116,764 |
4% 12/1/43 | | 670,000 | 678,357 |
| (Multiple Cap. Projs.) Series 2015 A, 5% 12/1/33 | | 825,000 | 836,448 |
| Series 2015 A, 5% 12/1/39 | | 1,715,000 | 1,736,290 |
| Los Angeles Dept. Arpt. Rev.: | | | |
| Series 2015 A, 4.75% 5/15/40 (d) | | 790,000 | 794,755 |
| Series 2016 B, 5% 5/15/41 (d) | | 2,600,000 | 2,631,483 |
| Series 2018 A: | | | |
5% 5/15/44 (d) | | 1,515,000 | 1,552,189 |
5.25% 5/15/38 (d) | | 375,000 | 393,232 |
| Series 2018 C, 5% 5/15/44 (d) | | 1,565,000 | 1,594,909 |
| Series 2018 E, 5% 5/15/43 | | 1,050,000 | 1,121,298 |
| Series 2018, 5% 5/15/43 (d) | | 3,150,000 | 3,249,041 |
| Series 2019 D, 5% 5/15/38 (d) | | 725,000 | 755,452 |
| Series 2020 C: | | | |
4% 5/15/50 (d) | | 1,780,000 | 1,648,867 |
5% 5/15/37 (d) | | 770,000 | 819,002 |
| Series 2021 A: | | | |
5% 5/15/36 (d) | | 365,000 | 394,527 |
5% 5/15/37 (d) | | 270,000 | 289,127 |
5% 5/15/38 (d) | | 595,000 | 631,646 |
5% 5/15/39 (d) | | 885,000 | 941,129 |
| Series 2021 D: | | | |
3% 5/15/39 (Pre-Refunded to 11/15/31 @ 100) (d) | | 20,000 | 19,432 |
4% 5/15/40 (d) | | 1,000,000 | 980,497 |
| Series 2022 A, 4% 5/15/41 (d) | | 2,000,000 | 1,957,868 |
| Series 2022 G: | | | |
4% 5/15/47 (d) | | 2,000,000 | 1,880,223 |
5% 5/15/47 (d) | | 500,000 | 519,164 |
5.5% 5/15/36 (d) | | 400,000 | 455,824 |
5.5% 5/15/40 (d) | | 300,000 | 332,204 |
| Series 2022 H, 5.5% 5/15/47 (d) | | 2,925,000 | 3,175,008 |
| Series F: | | | |
4% 5/15/49 (d) | | 850,000 | 785,541 |
5% 5/15/34 (d) | | 385,000 | 412,143 |
5% 5/15/44 (d) | | 1,920,000 | 1,976,543 |
| Los Angeles Dept. of Wtr. & Pwr. Rev.: | | | |
| Series 2014 E, 5% 7/1/44 | | 2,410,000 | 2,421,626 |
| Series 2016 A: | | | |
5% 7/1/38 | | 860,000 | 884,642 |
5% 7/1/46 | | 480,000 | 490,465 |
| Series 2017 A, 5% 7/1/42 | | 1,805,000 | 1,874,060 |
| Series 2017 B, 5% 7/1/39 | | 2,655,000 | 2,771,163 |
| Series 2017 C: | | | |
5% 7/1/37 | | 1,165,000 | 1,229,102 |
5% 7/1/38 | | 240,000 | 252,703 |
5% 7/1/42 | | 3,135,000 | 3,273,226 |
| Series 2021 B, 5% 7/1/51 | | 5,225,000 | 5,610,174 |
| Series 2021 C: | | | |
5% 7/1/40 | | 255,000 | 283,031 |
5% 7/1/51 | | 5,000,000 | 5,391,117 |
| Series B, 5% 7/1/50 | | 3,455,000 | 3,696,612 |
| Los Angeles Dept. of Wtr. & Pwr. Wtrwks. Rev.: | | | |
| Series 2020 A, 5% 7/1/40 | | 70,000 | 76,959 |
| Series 2021 B, 5% 7/1/46 | | 1,520,000 | 1,649,410 |
| Series 2022 D, 5% 7/1/52 | | 1,200,000 | 1,307,648 |
| Los Angeles Hbr. Dept. Rev.: | | | |
| Series 2014 A, 5% 8/1/36 (d) | | 2,000,000 | 2,007,885 |
| Series 2019 A, 5% 8/1/25 (d) | | 620,000 | 638,318 |
| Los Angeles Unified School District: | | | |
| Series 2018 B1, 5.25% 7/1/42 | | 7,250,000 | 7,741,236 |
| Series 2020 A: | | | |
5% 7/1/32 | | 1,400,000 | 1,603,519 |
5% 7/1/33 | | 1,400,000 | 1,601,673 |
| Series 2020 C: | | | |
4% 7/1/33 | | 750,000 | 791,982 |
4% 7/1/38 | | 1,170,000 | 1,205,811 |
| Los Angeles Unified School District Ctfs. of Prtn. Series 2023 A: | | | |
| 5% 10/1/32 | | 1,775,000 | 2,070,354 |
| 5% 10/1/33 | | 4,000,000 | 4,724,615 |
| 5% 10/1/35 | | 1,705,000 | 1,997,099 |
| Los Angeles Wastewtr. Sys. Rev.: | | | |
| Series 2013 A, 5% 6/1/43 | | 400,000 | 400,124 |
| Series 2018 A, 5% 6/1/48 | | 2,025,000 | 2,120,985 |
| Metropolitan Wtr. District of Southern California Wtr. Rev. Bonds: | | | |
| Series 2017 C, SIFMA Municipal Swap Index + 0.140% 3.74%, tender 12/7/23 (b)(c) | | 2,445,000 | 2,440,676 |
| Series 2017 D, SIFMA Municipal Swap Index + 0.140% 3.74%, tender 12/7/23 (b)(c) | | 1,475,000 | 1,472,391 |
| Series 2017 E, SIFMA Municipal Swap Index + 0.140% 3.95%, tender 12/7/23 (b)(c) | | 1,005,000 | 1,003,223 |
| Middle Fork Proj. Fin. Auth. Series 2020: | | | |
| 5% 4/1/24 | | 175,000 | 175,504 |
| 5% 4/1/25 | | 185,000 | 187,464 |
| 5% 4/1/26 | | 130,000 | 133,378 |
| Modesto Elementary School District, Stanislaus County Series 2021 B: | | | |
| 3% 8/1/46 | | 380,000 | 293,833 |
| 3% 8/1/50 | | 235,000 | 174,962 |
| Modesto Irrigation District Fing. Auth. Rev. Series 2007 F, 3 month U.S. LIBOR + 0.580% 4.38% 9/1/27 (Nat'l. Pub. Fin. Guarantee Corp. Insured) (b)(c) | | 1,150,000 | 1,138,092 |
| Monrovia Unified School District Series B, 0% 8/1/29 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | | 550,000 | 454,505 |
| Montebello Pub. Fing. Auth. (Montebello Home2 Suites by Hilton Hotel Proj.) Series 2016 A: | | | |
| 5% 6/1/41 | | 1,385,000 | 1,421,067 |
| 5% 6/1/46 | | 425,000 | 434,536 |
| Moreno Valley Unified School District Series 2021 C, 3% 8/1/46 | | 250,000 | 191,967 |
| Mount Diablo Unified School District Series 2022 B: | | | |
| 4% 8/1/29 | | 105,000 | 112,864 |
| 4% 8/1/31 | | 735,000 | 792,404 |
| 4% 8/1/33 | | 85,000 | 91,191 |
| MSR Energy Auth. Gas Rev.: | | | |
| Series 2009 A: | | | |
6.125% 11/1/29 | | 380,000 | 406,976 |
6.5% 11/1/39 | | 1,750,000 | 2,149,874 |
7% 11/1/34 | | 1,810,000 | 2,254,295 |
| Series 2009 B: | | | |
6.5% 11/1/39 | | 3,775,000 | 4,637,585 |
7% 11/1/34 | | 6,980,000 | 8,686,408 |
| Series 2009 C: | | | |
6.125% 11/1/29 | | 1,155,000 | 1,236,992 |
6.5% 11/1/39 | | 905,000 | 1,111,792 |
7% 11/1/34 | | 1,205,000 | 1,500,788 |
| Murrieta Valley Unified School District Series 2022, 5.25% 9/1/51 | | 2,000,000 | 2,169,244 |
| Napa Valley Cmnty. Cllge District Series 2018: | | | |
| 4% 8/1/29 | | 815,000 | 833,158 |
| 4% 8/1/32 | | 750,000 | 762,846 |
| North Lake Tahoe Pub. Fin. Auth. Series 2022, 4.5% 12/1/52 | | 1,090,000 | 1,106,455 |
| Northern California Gas Auth. #1 Gas Proj. Rev. Series 2007 B, 3 month U.S. LIBOR + 0.720% 4.51% 7/1/27 (b)(c) | | 1,445,000 | 1,425,334 |
| Oak Grove School District Series 2023, 5% 8/1/52 | | 500,000 | 541,133 |
| Ocean View School District Series 2021, 3% 8/1/47 (Assured Guaranty Muni. Corp. Insured) | | 750,000 | 560,410 |
| Oceanside Unified School District Series 2009: | | | |
| 0% 8/1/24 (Escrowed to Maturity) | | 70,000 | 68,567 |
| 0% 8/1/27 | | 35,000 | 31,526 |
| 0% 8/1/27 (Escrowed to Maturity) | | 15,000 | 13,511 |
| 0% 8/1/27 (Escrowed to Maturity) | | 40,000 | 36,029 |
| 0% 8/1/29 | | 35,000 | 29,757 |
| 0% 8/1/29 | | 655,000 | 544,901 |
| 0% 8/1/29 (Escrowed to Maturity) | | 55,000 | 46,760 |
| 0% 8/1/30 | | 35,000 | 28,663 |
| 0% 8/1/30 | | 840,000 | 673,285 |
| 0% 8/1/30 (Escrowed to Maturity) | | 45,000 | 37,096 |
| Orange County San District Waste Series 2015 A, 5% 2/1/30 | | 925,000 | 937,520 |
| Peninsula Corridor Joint Powers Board Series 2022 A, 5% 6/1/47 | | 750,000 | 808,019 |
| Pomona Unified School District Series 2016 F, 3% 8/1/48 | | 205,000 | 153,281 |
| Port of Oakland Rev.: | | | |
| Series 2021 H: | | | |
5% 5/1/24 (d) | | 335,000 | 336,620 |
5% 5/1/24 (Escrowed to Maturity) (d) | | 25,000 | 25,193 |
| Series H, 5% 5/1/26 (d) | | 585,000 | 607,072 |
| Poway Unified School District: | | | |
| (District #2007-1 School Facilities Proj.) Series 2008 A, 0% 8/1/32 | | 790,000 | 586,946 |
| Series 2011, 0% 8/1/46 | | 140,000 | 48,372 |
| Series B: | | | |
0% 8/1/33 | | 245,000 | 174,781 |
0% 8/1/37 | | 1,395,000 | 818,134 |
0% 8/1/38 | | 3,365,000 | 1,863,135 |
0% 8/1/39 | | 3,300,000 | 1,727,595 |
0% 8/1/41 | | 750,000 | 352,546 |
| Poway Unified School District Pub. Fing. Series 2015 A: | | | |
| 5% 9/1/24 | | 120,000 | 120,985 |
| 5% 9/1/26 | | 155,000 | 158,813 |
| 5% 9/1/27 | | 60,000 | 61,615 |
| 5% 9/1/29 | | 320,000 | 327,467 |
| 5% 9/1/30 | | 75,000 | 76,647 |
| 5% 9/1/31 | | 145,000 | 148,099 |
| Rancho Cucamonga Redev. Agcy. Series 2014: | | | |
| 5% 9/1/30 (Assured Guaranty Muni. Corp. Insured) | | 295,000 | 298,335 |
| 5% 9/1/31 (Assured Guaranty Muni. Corp. Insured) | | 825,000 | 834,222 |
| 5% 9/1/32 (Assured Guaranty Muni. Corp. Insured) | | 775,000 | 783,469 |
| Richmond Joint Powers Fing. Auth. Rev. Series 2019 A, 5% 11/1/36 (Assured Guaranty Muni. Corp. Insured) | | 580,000 | 632,383 |
| Richmond Wastewtr. Rev. Series 2017 A, 5.25% 8/1/47 | | 1,400,000 | 1,469,148 |
| River Islands Pub. Fing. Auth.: | | | |
| Series 2022 A-1, 5.25% 9/1/52 (Assured Guaranty Muni. Corp. Insured) | | 3,840,000 | 4,152,373 |
| Series 2022, 5.25% 9/1/52 (Assured Guaranty Muni. Corp. Insured) | | 425,000 | 459,573 |
| Series 2023, 5.5% 9/1/48 | | 1,250,000 | 1,246,662 |
| Riverside County Trans. Commission Sales Tax Rev.: | | | |
| Series 2016 A, 2% 6/1/29 | | 430,000 | 397,565 |
| Series 2017 B: | | | |
4% 6/1/36 | | 1,500,000 | 1,545,117 |
5% 6/1/38 | | 1,710,000 | 1,816,301 |
5% 6/1/39 | | 2,395,000 | 2,534,583 |
| Riverside County Trans. Commission Toll Rev. Series 2021 B1: | | | |
| 4% 6/1/37 | | 560,000 | 560,684 |
| 4% 6/1/38 | | 2,150,000 | 2,114,233 |
| 4% 6/1/46 | | 2,205,000 | 2,060,564 |
| Roseville Natural Gas Fing. Auth. Series 2007, 5% 2/15/27 | | 965,000 | 990,987 |
| Sacramento Area Flood Cont. Agcy. Series 2016 A, 5% 10/1/36 | | 500,000 | 523,245 |
| Sacramento City Fing. Auth. Rev. Series A, 0% 12/1/26 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | | 695,000 | 625,844 |
| Sacramento City Unified School District Series 2022 A: | | | |
| 5.5% 8/1/47 | | 1,500,000 | 1,647,778 |
| 5.5% 8/1/52 | | 3,000,000 | 3,276,907 |
| Sacramento County Arpt. Sys. Rev.: | | | |
| Series 2016 A, 5% 7/1/41 | | 2,135,000 | 2,196,111 |
| Series 2016 B, 5% 7/1/41 | | 1,280,000 | 1,310,324 |
| Series 2018 C, 5% 7/1/37 (d) | | 590,000 | 614,598 |
| Sacramento County Sanitation District Fing. Auth. Rev. Series 2020 A, 5% 12/1/50 | | 345,000 | 370,911 |
| Sacramento Spl. Tax Greenbriar Cmnty. Facilities District No. 2018-03 Area No. 1: | | | |
| Series 2021: | | | |
4% 9/1/41 | | 295,000 | 266,321 |
4% 9/1/46 | | 805,000 | 691,954 |
| Series 2022: | | | |
5.25% 9/1/42 (e) | | 1,065,000 | 1,086,470 |
5.25% 9/1/47 (e) | | 1,060,000 | 1,071,584 |
| Sacramento Wtr. Rev. Series 2017, 5.25% 9/1/47 | | 525,000 | 553,667 |
| San Bernardino Unified School District (2019 Fing. Proj.) Series 2019, 5% 10/1/38 (Assured Guaranty Muni. Corp. Insured) | | 420,000 | 447,136 |
| San Bernardino Unified School District Gen. Oblig. Series 2012 F, 3% 8/1/44 (Assured Guaranty Muni. Corp. Insured) | | 1,500,000 | 1,154,205 |
| San Diego Cmnty. College District Series 2011, 0% 8/1/35 | | 170,000 | 113,453 |
| San Diego County Reg'l. Arpt. Auth. Arpt. Rev.: | | | |
| Series 2021 A, 5% 7/1/56 | | 5,000,000 | 5,314,334 |
| Series 2021 B: | | | |
4% 7/1/41 (d) | | 355,000 | 343,183 |
4% 7/1/46 (d) | | 405,000 | 380,601 |
4% 7/1/56 (d) | | 805,000 | 716,602 |
5% 7/1/46 (d) | | 505,000 | 521,219 |
5% 7/1/51 (d) | | 505,000 | 517,410 |
| Series 2023 B, 5% 7/1/53 (d) | | 1,400,000 | 1,447,503 |
| San Diego County Reg'l. Trans. Commission Sales Tax Rev. Series 2016 A, 5% 4/1/48 | | 2,820,000 | 2,893,756 |
| San Diego County Wtr. Auth. Fing. Agcy. Wtr. Rev. Series 2022 A: | | | |
| 5% 5/1/47 | | 1,780,000 | 1,949,055 |
| 5% 5/1/52 | | 3,030,000 | 3,292,368 |
| San Diego Pub. Facilities Fing. Auth. Wtr. Rev. Series 2023 A, 5.25% 8/1/48 | | 750,000 | 838,529 |
| San Diego Unified School District: | | | |
| Series 2008 C: | | | |
0% 7/1/34 | | 515,000 | 352,486 |
0% 7/1/37 | | 285,000 | 166,233 |
| Series 2008 E, 0% 7/1/47 (f) | | 1,200,000 | 880,470 |
| Series 2012 R2, 0% 7/1/41 (f) | | 1,350,000 | 1,274,311 |
| Series 2017 I, 5% 7/1/41 | | 250,000 | 262,926 |
| Series 2020 D2, 3% 7/1/37 | | 590,000 | 523,703 |
| Series 2020 M2, 3% 7/1/50 | | 1,510,000 | 1,124,963 |
| Series 2023 ZR 4B, 5% 7/1/40 | | 810,000 | 928,343 |
| San Francisco Bay Area Rapid Transit Fing. Auth. Series 2020, 3% 8/1/50 | | 1,250,000 | 925,498 |
| San Francisco Calif City & Cnt Series 2023 B, 5.75% 9/1/53 (e)(i) | | 510,000 | 516,461 |
| San Francisco City & County Arpts. Commission Int'l. Arpt. Rev.: | | | |
| Second Series 2019 A, 5% 5/1/44 (d) | | 2,950,000 | 3,024,857 |
| Series 2017 A, 5% 5/1/47 (d) | | 1,500,000 | 1,517,611 |
| Series 2018 D, 5% 5/1/48 (d) | | 1,085,000 | 1,102,127 |
| Series 2019 A: | | | |
5% 1/1/35 (d) | | 860,000 | 914,302 |
5% 1/1/37 (d) | | 280,000 | 293,787 |
5% 1/1/47 (d) | | 360,000 | 366,890 |
5% 5/1/49 (d) | | 9,525,000 | 9,694,451 |
| Series 2019 B, 5% 5/1/49 | | 850,000 | 893,323 |
| Series 2019 E: | | | |
5% 5/1/38 (d) | | 915,000 | 953,021 |
5% 5/1/39 (d) | | 1,045,000 | 1,084,714 |
5% 5/1/40 (d) | | 485,000 | 502,042 |
5% 5/1/45 (d) | | 2,000,000 | 2,047,112 |
5% 5/1/50 (d) | | 11,230,000 | 11,422,040 |
| Series 2020 A, 5% 5/1/38 (d) | | 1,845,000 | 1,934,086 |
| Series 2021 A: | | | |
5% 5/1/34 (d) | | 1,650,000 | 1,799,852 |
5% 5/1/35 (d) | | 2,410,000 | 2,618,685 |
| Series 2022 A: | | | |
5% 5/1/26 (d) | | 2,215,000 | 2,288,193 |
5% 5/1/27 (d) | | 2,245,000 | 2,352,528 |
5% 5/1/28 (d) | | 2,990,000 | 3,178,081 |
5% 5/1/29 (d) | | 2,005,000 | 2,156,201 |
| Series 2022 B, 5% 5/1/52 | | 7,420,000 | 7,936,531 |
| Series 2023 C: | | | |
5% 5/1/33 (d) | | 5,000,000 | 5,569,927 |
5.5% 5/1/42 (d) | | 2,110,000 | 2,340,016 |
5.5% 5/1/43 (d) | | 1,570,000 | 1,736,854 |
5.75% 5/1/48 (d) | | 5,050,000 | 5,611,814 |
| San Francisco City & County Redev. Agcy. Successor (Mission Bay South Redev. Proj.) Series 2014 A, 5% 8/1/43 | | 70,000 | 70,124 |
| San Jose Int. Arpt. Rev. Series 2017 A, 5% 3/1/41 (d) | | 1,400,000 | 1,419,071 |
| San Leandro Unified School District Series 2020 B, 5.25% 8/1/48 | | 1,600,000 | 1,766,370 |
| San Marcos Redev. Agcy. Successor Series 2015 A: | | | |
| 5% 10/1/30 | | 460,000 | 475,457 |
| 5% 10/1/33 | | 330,000 | 339,849 |
| San Marcos Unified School District Series 2010 B, 0% 8/1/47 | | 2,795,000 | 967,258 |
| San Mateo County Cmnty. College District: | | | |
| Series 2006 A, 0% 9/1/26 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | | 1,085,000 | 999,134 |
| Series A, 0% 9/1/26 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | | 660,000 | 607,768 |
| San Mateo County Joint Powers Fing. Auth. (Cap. Projs.) Series 2018 A, 5% 7/15/43 | | 1,270,000 | 1,352,202 |
| San Mateo Unified School District Series 2011 A, 0% 9/1/41 (f) | | 1,750,000 | 1,735,025 |
| Sanger Unified School District Series 2022: | | | |
| 5% 6/1/52 | | 660,000 | 662,307 |
| 5% 6/1/52 (Assured Guaranty Muni. Corp. Insured) | | 65,000 | 65,011 |
| Santa Ana Unified School District Series 2009 B, 0% 8/1/47 (Assured Guaranty Corp. Insured) | | 600,000 | 179,238 |
| Santa Cruz City High School District Series 2021 C, 2% 8/1/36 | | 720,000 | 568,416 |
| Santa Monica-Malibu Unified School District Series 2018 B, 3% 8/1/44 | | 750,000 | 592,742 |
| Santa Rosa Wastewtr. Rev. Series 2002 B, 0% 9/1/25 (AMBAC Insured) | | 95,000 | 90,009 |
| South Whittier School District Gen. Oblig. Series 2019 B: | | | |
| 4% 8/1/46 (Assured Guaranty Muni. Corp. Insured) | | 330,000 | 326,383 |
| 4% 8/1/48 (Assured Guaranty Muni. Corp. Insured) | | 545,000 | 536,541 |
| Southern California Wtr. Replenishment Fing. Auth. Series 2018 A, 5% 8/1/48 | | 3,615,000 | 3,816,280 |
| Southwestern Cmnty. College District Gen. Oblig. Series 2021 D, 3% 8/1/41 | | 1,740,000 | 1,466,264 |
| Stockton Unified School District Gen. Oblig. Series 2011, 0% 8/1/42 (Assured Guaranty Muni. Corp. Insured) | | 300,000 | 129,120 |
| Successor Agcy. to the Inland Valley Dev. Agcy. Tax Allocation Series 2014 A, 5.25% 9/1/37 | | 1,215,000 | 1,218,928 |
| Sunnyvale School District Series 2019 C, 3% 9/1/44 | | 1,250,000 | 1,029,743 |
| Sutter Calif Union High School District Series 2010 B, 0% 6/1/50 (Pre-Refunded to 8/1/25 @ 100) | | 250,000 | 39,052 |
| Temecula Valley Unified School District Gen. Oblig. Series 2021 D, 3% 8/1/47 | | 1,250,000 | 989,392 |
| Tobacco Securitization Auth. Southern California Tobacco Settlement: | | | |
| Series 2006 2C, 0% 6/1/46 | | 2,065,000 | 373,321 |
| Series 2019 A1: | | | |
5% 6/1/27 | | 55,000 | 57,487 |
5% 6/1/28 | | 85,000 | 90,018 |
5% 6/1/29 | | 55,000 | 58,868 |
5% 6/1/48 | | 770,000 | 783,144 |
| Series 2019 B2, 0% 6/1/54 | | 500,000 | 93,433 |
| Twin Rivers Unified School District Series 2008, 0% 8/1/32 (Assured Guaranty Muni. Corp. Insured) | | 750,000 | 545,941 |
| Univ. of California Regents Med. Ctr. Pool Rev. Series 2022 P: | | | |
| 3.5% 5/15/54 | | 1,950,000 | 1,628,907 |
| 5% 5/15/47 | | 8,775,000 | 9,534,952 |
| Univ. of California Revs.: | | | |
| Series 2015 AO, 3.25% 5/15/29 | | 1,250,000 | 1,254,962 |
| Series 2016 AR, 5% 5/15/41 | | 1,500,000 | 1,551,554 |
| Series 2016 K, 5% 5/15/35 | | 1,445,000 | 1,505,102 |
| Series 2017 AV, 5% 5/15/36 | | 90,000 | 95,959 |
| Series 2018 AZ, 5% 5/15/48 | | 1,500,000 | 1,579,306 |
| Series 2018 O, 5.5% 5/15/58 | | 4,425,000 | 4,708,016 |
| Series 2023 BN, 5.5% 5/15/40 | | 2,350,000 | 2,774,007 |
| Val Verde Unified School District Series 2021 F, 3% 8/1/47 (Assured Guaranty Muni. Corp. Insured) | | 1,570,000 | 1,154,815 |
| Vista Unified School District Series 2022 B, 5.25% 8/1/48 | | 1,000,000 | 1,093,186 |
| Washington Township Health Care District Gen. Oblig.: | | | |
| Series 2013 A, 5.5% 8/1/38 | | 545,000 | 548,740 |
| Series 2023 B, 5.25% 8/1/48 | | 1,000,000 | 1,093,376 |
| Washington Township Health Care District Rev.: | | | |
| Series 2017 A, 5% 7/1/35 | | 50,000 | 50,883 |
| Series 2017 B: | | | |
5% 7/1/29 | | 30,000 | 30,853 |
5% 7/1/30 | | 60,000 | 61,654 |
| West Contra Costa Healthcare District Series 2021, 3% 7/1/42 | | 300,000 | 240,671 |
| West Contra Costa Unified School District Series 2009 C1, 0% 8/1/29 | | 730,000 | 604,596 |
| West Sacramento Fing. Auth. Spl. Tax Rev. Series 2006 A, 5% 9/1/34 | | 280,000 | 315,518 |
| Yosemite Cmnty. College District Series 2010 D, 0% 8/1/42 (f) | | 3,420,000 | 2,666,569 |
TOTAL CALIFORNIA | | | 737,315,157 |
| Colorado - 2.2% | | | |
| Adams County Co. Scd # Oo1 Series 2017, 5.25% 12/1/40 | | 1,000,000 | 1,045,646 |
| Aerotropolis Reg'l. Trans. Auth. Spl. Rev. Series 2021, 4.375% 12/1/52 | | 1,945,000 | 1,526,439 |
| Arista Metropolitan District Broomfield Gen. Oblig. and Spl. Rev. Series 2018 A, 5.125% 12/1/48 | | 1,055,000 | 961,687 |
| Arkansas River Pwr. Auth. Rev. Series 2018 A: | | | |
| 5% 10/1/38 | | 635,000 | 645,731 |
| 5% 10/1/43 | | 1,205,000 | 1,217,513 |
| Berthoud-Heritage Metropolitan District No. 1 Ltd. Tax Supported Rev. Series 2019, 5.625% 12/1/48 | | 1,215,000 | 1,151,602 |
| Canyons Metropolitan District No. 5 Series 2017 A, 6.125% 12/1/47 | | 500,000 | 486,353 |
| Cherry Creek School District No. 5 Gen. Oblig.: | | | |
| Series 2017 B, 2.3% 12/15/28 | | 1,000,000 | 930,266 |
| Series 2021, 5% 12/15/38 | | 1,700,000 | 1,881,408 |
| Colorado Ctfs. of Prtn.: | | | |
| Series 2021 A: | | | |
4% 12/15/36 | | 680,000 | 700,560 |
4% 12/15/38 | | 680,000 | 689,920 |
5% 12/15/23 | | 1,300,000 | 1,300,694 |
| Series 2022: | | | |
6% 12/15/36 | | 2,115,000 | 2,564,491 |
6% 12/15/39 | | 1,575,000 | 1,880,799 |
6% 12/15/40 | | 7,440,000 | 8,860,001 |
6% 12/15/41 | | 8,500,000 | 10,081,670 |
| Colorado Edl. & Cultural Facilities Auth.: | | | |
| (American Academy Proj.) Series 2020: | | | |
5% 12/1/40 | | 755,000 | 778,121 |
5% 12/1/50 | | 3,870,000 | 3,909,094 |
5% 12/1/55 | | 305,000 | 306,996 |
| (Highline Academy Charter School Proj.) Series 2022, 5.25% 12/1/52 | | 1,825,000 | 1,880,937 |
| (Leman Academy of Ecellence - Douglas County, Colorado Campus Proj.) Series 2023 A: | | | |
4.25% 7/1/43 | | 1,745,000 | 1,639,830 |
4.5% 7/1/58 | | 1,470,000 | 1,332,118 |
| (Pinnacle Charter School, Inc. Proj.) Series 2021: | | | |
4% 12/1/36 | | 290,000 | 284,873 |
4% 12/1/41 | | 355,000 | 329,494 |
| (Prospect Ridge Academy Proj.) Series 2020 A: | | | |
5% 3/15/40 | | 370,000 | 380,717 |
5% 3/15/50 | | 765,000 | 772,002 |
5% 3/15/55 | | 1,130,000 | 1,136,674 |
| (Windsor Charter Academy Proj.) Series 2020: | | | |
4% 9/1/50 | | 100,000 | 86,956 |
4% 9/1/55 | | 185,000 | 157,573 |
| Series 2022 A: | | | |
4% 6/1/52 | | 300,000 | 261,859 |
4% 6/1/56 | | 300,000 | 256,402 |
| Colorado Edl. & Cultural Facilities Auth. Rev.: | | | |
| (DCS Montessori Charter School Proj.) Series 2012, 5% 7/15/37 | | 115,000 | 115,118 |
| (Liberty Common Proj.) Series 2014 A: | | | |
5% 1/15/39 | | 155,000 | 155,021 |
5% 1/15/44 | | 125,000 | 124,275 |
| (Peak to Peak Charter School Proj.) Series 2014: | | | |
5% 8/15/30 | | 100,000 | 100,879 |
5% 8/15/34 | | 105,000 | 105,871 |
| (Stargate Charter School Proj.) Series 2018 A, 4% 12/1/48 | | 730,000 | 636,931 |
| (The Classical Academy Proj.): | | | |
Series 2014, 5% 12/1/31 | | 365,000 | 369,464 |
Series 2015 A, 5% 12/1/38 | | 215,000 | 216,271 |
| (Twin Peaks Charter Academy Proj.) Series 2014, 5% 11/15/31 | | 395,000 | 399,687 |
| (Univ. of Denver Proj.) Series 2017 A: | | | |
5% 3/1/43 | | 890,000 | 911,780 |
5% 3/1/47 | | 1,180,000 | 1,203,449 |
| Series 2013, 5% 6/1/29 | | 190,000 | 190,191 |
| Series 2018: | | | |
5% 4/1/38 | | 65,000 | 66,558 |
5% 4/1/48 | | 75,000 | 75,577 |
5% 4/1/53 | | 80,000 | 80,370 |
| Colorado Health Facilities Auth. Rev.: | | | |
| (Mental Health Ctr. of Denver Proj.) Series 2014, 5.75% 2/1/44 | | 695,000 | 695,578 |
| (Sunny Vista Living Ctr. Proj.) Series 2015 A: | | | |
5.75% 12/1/35 (e) | | 215,000 | 157,783 |
6.125% 12/1/45 (e) | | 950,000 | 637,865 |
6.25% 12/1/50 (e) | | 790,000 | 522,536 |
| Series 2013 A, 5% 1/1/44 (Pre-Refunded to 1/1/24 @ 100) | | 985,000 | 986,242 |
| Series 2013, 8% 8/1/43 | | 1,340,000 | 1,322,815 |
| Colorado Health Facilities Auth. Rev. Bonds: | | | |
| (Adventist Health Sys. / Sunbelt Obligated Group) Series 2016 A, 5% 11/15/41 | | 3,610,000 | 3,673,185 |
| (Bethesda Proj.) Series 2018 A1, 5% 9/15/48 | | 1,195,000 | 1,026,652 |
| (Boulder Cmnty. Health Proj.) Series 2020: | | | |
4% 10/1/35 | | 160,000 | 159,759 |
4% 10/1/37 | | 95,000 | 93,625 |
4% 10/1/38 | | 70,000 | 67,955 |
4% 10/1/39 | | 70,000 | 66,949 |
4% 10/1/40 | | 60,000 | 56,584 |
| (Frasier Proj.) Series 2023 A: | | | |
4% 5/15/31 | | 50,000 | 46,362 |
4% 5/15/32 | | 60,000 | 55,088 |
4% 5/15/33 | | 60,000 | 54,594 |
4% 5/15/34 | | 65,000 | 58,431 |
4% 5/15/35 | | 65,000 | 57,559 |
4% 5/15/36 | | 70,000 | 60,969 |
4% 5/15/41 | | 115,000 | 92,360 |
4% 5/15/48 | | 180,000 | 133,393 |
| (Parkview Episcopal Med. Ctr., Co. Proj.) Series 2017: | | | |
5% 9/1/24 | | 15,000 | 15,124 |
5% 9/1/25 | | 15,000 | 15,297 |
5% 9/1/28 | | 125,000 | 130,737 |
| (Parkview Med. Ctr., Inc. Proj.) Series 2016: | | | |
4% 9/1/35 | | 200,000 | 197,528 |
4% 9/1/36 | | 160,000 | 155,787 |
5% 9/1/46 | | 1,090,000 | 1,094,777 |
| Bonds: | | | |
Series 2018 B, 5%, tender 11/20/25 (b) | | 65,000 | 66,869 |
Series 2019 B, 5%, tender 8/1/26 (b) | | 50,000 | 51,389 |
| Series 2018 A: | | | |
4% 11/15/48 | | 8,705,000 | 8,070,867 |
5% 12/1/48 | | 350,000 | 332,333 |
| Series 2019 A: | | | |
4% 1/1/36 | | 250,000 | 253,799 |
4% 1/1/37 | | 1,975,000 | 1,995,143 |
4% 11/15/38 | | 2,550,000 | 2,543,921 |
4% 11/1/39 | | 225,000 | 220,568 |
4% 11/15/43 | | 1,000,000 | 951,907 |
5% 11/1/25 | | 1,305,000 | 1,344,986 |
5% 11/1/26 | | 95,000 | 99,630 |
5% 11/1/39 | | 2,005,000 | 2,070,200 |
5% 11/15/39 | | 1,770,000 | 1,890,529 |
5% 11/1/44 | | 2,950,000 | 3,028,351 |
| Series 2019 A1, 4% 8/1/44 | | 6,350,000 | 5,748,714 |
| Series 2019 A2: | | | |
3.25% 8/1/49 | | 1,810,000 | 1,340,935 |
3.25% 8/1/49 | | 400,000 | 295,874 |
4% 8/1/49 | | 8,475,000 | 7,439,956 |
5% 8/1/37 | | 1,000,000 | 1,047,623 |
5% 8/1/38 | | 2,790,000 | 2,904,426 |
5% 8/1/44 | | 11,525,000 | 11,761,840 |
| Series 2020 A, 4% 9/1/50 | | 660,000 | 560,784 |
| Series 2021 A: | | | |
3% 11/15/51 | | 3,750,000 | 2,680,361 |
4% 11/15/50 | | 1,690,000 | 1,552,013 |
| Series 2022 A: | | | |
5.25% 11/1/52 | | 2,680,000 | 2,763,605 |
5.5% 11/1/47 | | 2,225,000 | 2,355,018 |
| Colorado High Performance Trans. Enterprise C-470 Express Lanes Sr. Rev. Series 2017: | | | |
| 5% 12/31/47 | | 3,670,000 | 3,670,995 |
| 5% 12/31/51 | | 2,625,000 | 2,620,963 |
| 5% 12/31/56 | | 3,260,000 | 3,228,617 |
| Colorado Hsg. & Fin. Auth.: | | | |
| Series 2019 F, 4.25% 11/1/49 | | 315,000 | 314,097 |
| Series 2019 H, 4.25% 11/1/49 | | 785,000 | 781,755 |
| Series 2021 B, 3% 5/1/51 | | 2,700,000 | 2,607,856 |
| Series 2023 D, 5.75% 5/1/53 | | 4,900,000 | 5,219,446 |
| Colorado Int'l. Ctr. Metropolitan District No. 14 Ltd. Tax Gen. Oblig. Series 2018, 5.875% 12/1/46 | | 990,000 | 954,953 |
| Colorado Reg'l. Trans. District (Denver Transit Partners Eagle P3 Proj.): | | | |
| Series 2020 A, 3% 7/15/37 | | 240,000 | 202,132 |
| Series 2020: | | | |
4% 7/15/38 | | 90,000 | 86,768 |
4% 7/15/39 | | 300,000 | 286,662 |
4% 7/15/40 | | 525,000 | 497,750 |
| Colorado Reg'l. Trans. District Sales Tax Rev.: | | | |
| (FasTracks Proj.) Series 2016 A, 5% 11/1/36 | | 585,000 | 612,031 |
| (Fastracks Proj.) Series 2016 A, 5% 11/1/46 | | 1,475,000 | 1,515,104 |
| (FasTracks Proj.) Series 2017 A, 5% 11/1/40 | | 2,135,000 | 2,212,043 |
| (Fastracks Proj.) Series 2021 B, 5% 11/1/28 | | 2,710,000 | 2,998,327 |
| Series 2013 A, 5% 11/1/31 | | 1,560,000 | 1,813,863 |
| Colorado Springs Utils. Rev.: | | | |
| Series 2021 B, 4% 11/15/46 | | 2,500,000 | 2,469,128 |
| Series 2022 B, 5.25% 11/15/52 | | 1,850,000 | 2,023,156 |
| Colorado State Bldg. Excellent Schools Today Ctfs. of Prtn.: | | | |
| Series 2017 J, 5.25% 3/15/42 | | 1,500,000 | 1,559,778 |
| Series 2018 N, 5% 3/15/37 | | 130,000 | 138,107 |
| Series 2021 S, 4% 3/15/46 | | 3,295,000 | 3,171,153 |
| Colorado Wtr. Resources and Pwr. Dev. Auth. Wtr. Resources Rev. (City of Sterling, Colorado Wasterwater Util. Enterprise Proj.) Series 2023 A, 5% 9/1/55 (AGM Group Hldgs., Inc. Insured) | | 205,000 | 216,673 |
| Copper Ridge Metropolitan District Colo Tax Series 2019, 5% 12/1/39 | | 500,000 | 461,122 |
| Denver City & County Arpt. Rev.: | | | |
| Series 2013 B, 5% 11/15/43 | | 365,000 | 365,835 |
| Series 2017 A: | | | |
5% 11/15/26 (d) | | 420,000 | 437,932 |
5% 11/15/27 (d) | | 355,000 | 375,980 |
| Series 2018 A: | | | |
4% 12/1/43 (d) | | 1,765,000 | 1,657,198 |
5% 12/1/25 (d) | | 1,000,000 | 1,023,858 |
5% 12/1/30 (d) | | 945,000 | 1,030,581 |
5% 12/1/34 (d) | | 1,370,000 | 1,531,114 |
5% 12/1/36 (d) | | 500,000 | 552,538 |
5% 12/1/36 (d) | | 2,605,000 | 2,732,903 |
5% 12/1/37 (d) | | 2,715,000 | 2,830,007 |
5% 12/1/43 (d) | | 1,625,000 | 1,666,430 |
5% 12/1/48 (d) | | 955,000 | 969,767 |
5.25% 12/1/48 (d) | | 4,130,000 | 4,250,501 |
| Series 2022 A: | | | |
4.125% 11/15/47 (d) | | 740,000 | 693,129 |
4.125% 11/15/53 (d) | | 695,000 | 634,412 |
5.5% 11/15/35 (d) | | 1,075,000 | 1,235,226 |
5.5% 11/15/40 (d) | | 2,650,000 | 2,934,924 |
| Series 2022 D, 5.75% 11/15/38 (d) | | 500,000 | 569,941 |
| Series 2023: | | | |
5% 11/15/32 (d) | | 1,000,000 | 1,105,052 |
5.25% 11/15/35 (d) | | 2,500,000 | 2,830,787 |
5.25% 11/15/36 (d) | | 750,000 | 839,278 |
5.5% 11/15/42 (d) | | 765,000 | 845,701 |
| Denver City & County Board Wtr. Rev.: | | | |
| Series 2020 A: | | | |
3% 9/15/47 | | 1,200,000 | 941,246 |
5% 9/15/45 | | 4,065,000 | 4,370,098 |
5% 9/15/46 | | 6,240,000 | 6,688,916 |
| Series 2020 B: | | | |
5% 9/15/28 | | 1,850,000 | 2,037,480 |
5% 9/15/29 | | 3,440,000 | 3,850,118 |
| Denver City & County Ctfs. of Prtn. Series 2018 A, 5.375% 6/1/43 | | 2,000,000 | 2,071,526 |
| Denver City & County School District # 1: | | | |
| Series 2014 B, 5% 12/1/23 | | 4,730,000 | 4,730,000 |
| Series 2016, 4% 12/1/31 | | 1,000,000 | 1,013,348 |
| Series 2021, 4% 12/1/35 | | 800,000 | 834,448 |
| Denver City & County Spl. Facilities Arpt. Rev. (United Airlines, Inc. Proj.) Series 2017, 5% 10/1/32 (d) | | 4,825,000 | 4,766,011 |
| Denver Convention Ctr. Hotel Auth. Series 2016: | | | |
| 5% 12/1/35 | | 205,000 | 208,038 |
| 5% 12/1/40 | | 345,000 | 345,997 |
| Denver Health & Hosp. Auth. Healthcare Rev.: | | | |
| Series 2014 A, 5.25% 12/1/45 | | 255,000 | 255,076 |
| Series 2019 A, 4% 12/1/38 | | 165,000 | 149,787 |
| E-470 Pub. Hwy. Auth. Rev. Series 2020 A: | | | |
| 5% 9/1/36 | | 1,695,000 | 1,866,506 |
| 5% 9/1/40 | | 1,980,000 | 1,995,169 |
| Fruita Healthcare Rev. (The Colorado Canyons Hosp. and Med. Ctr. Proj.) Series 2017 A, 5.5% 1/1/48 (e) | | 350,000 | 304,272 |
| Hogback Metropolitan District Series 2021 A, 5% 12/1/51 | | 500,000 | 426,576 |
| Jefferson Ctr. Metropolitan District # 1 Co. Series 2020 B, 5.75% 12/15/50 | | 500,000 | 476,192 |
| Johnstown Plaza Metropolitan District Series 2022, 4.25% 12/1/46 | | 650,000 | 516,393 |
| Jones District Cmnty. Auth. Board Colo Series 2020 A, 0% 12/1/50 (f) | | 500,000 | 428,138 |
| Painted Prairie Metropolitan District # 2 Series 2018, 5.25% 12/1/48 | | 500,000 | 450,568 |
| Park Creek Metropolitan District: | | | |
| Series 2015 A: | | | |
5% 12/1/45 | | 2,740,000 | 2,753,601 |
5% 12/1/45 | | 1,125,000 | 1,135,687 |
| Series 2016 A: | | | |
5% 12/1/30 | | 310,000 | 324,210 |
5% 12/1/31 | | 350,000 | 366,044 |
5% 12/1/32 | | 370,000 | 386,317 |
5% 12/1/33 | | 375,000 | 390,887 |
5% 12/1/34 | | 305,000 | 317,569 |
5% 12/1/35 | | 345,000 | 357,233 |
| Series 2019 A: | | | |
4% 12/1/37 | | 250,000 | 251,404 |
4% 12/1/46 (Assured Guaranty Muni. Corp. Insured) | | 750,000 | 721,101 |
| Peak Metropolitan District # 1 Series 2021 A, 5% 12/1/51 (e) | | 500,000 | 425,900 |
| Pub. Auth. For Colorado Energy Rev. Series 2008: | | | |
| 6.25% 11/15/28 | | 1,100,000 | 1,167,318 |
| 6.5% 11/15/38 | | 5,125,000 | 6,166,580 |
| Pueblo Urban Renewal Auth. Tax Increment Rev. (Evraz Proj.) Series 2021 A, 4.75% 12/1/45 (e) | | 820,000 | 557,600 |
| Rampart Range Metropolitan District No. 5 Ltd. Tax Supported & Spl. Rev. Series 2021, 4% 12/1/51 | | 1,250,000 | 880,356 |
| Riverwalk Metropolitan District No. 2 Rev. Series 2022 A, 5% 12/1/52 | | 890,000 | 755,744 |
| Univ. of Colorado Enterprise Sys. Rev. Bonds: | | | |
| Series 2019 C, 2%, tender 10/15/24 (b) | | 430,000 | 422,698 |
| Series 2021 C3A, 2%, tender 10/15/25 (b) | | 795,000 | 770,105 |
| Series 2021 C3B, 2%, tender 10/15/26 (b) | | 675,000 | 642,184 |
| Vauxmont Metropolitan District: | | | |
| Series 2019: | | | |
5% 12/15/26 (Assured Guaranty Muni. Corp. Insured) | | 9,000 | 9,431 |
5% 12/15/32 (Assured Guaranty Muni. Corp. Insured) | | 127,000 | 133,010 |
| Series 2020: | | | |
5% 12/1/32 (Assured Guaranty Muni. Corp. Insured) | | 105,000 | 115,257 |
5% 12/1/33 (Assured Guaranty Muni. Corp. Insured) | | 180,000 | 197,296 |
5% 12/1/35 (Assured Guaranty Muni. Corp. Insured) | | 45,000 | 48,911 |
5% 12/1/50 (Assured Guaranty Muni. Corp. Insured) | | 457,000 | 473,787 |
| Villages at Castle Rock Metropolitan District Series 2021 A, 4.125% 12/1/51 (e) | | 700,000 | 497,690 |
| Whispering Pines Metropolitan District # 1 Series 2023, 5% 12/1/52 | | 255,000 | 262,712 |
TOTAL COLORADO | | | 259,229,151 |
| Connecticut - 0.7% | | | |
| Bridgeport Gen. Oblig. Series 2019 A, 5% 2/1/25 (Build America Mutual Assurance Insured) | | 45,000 | 45,939 |
| Connecticut Arpt. Auth. Customer Facility Charge Rev. (Ground Trans. Ctr. Proj.) Series 2019 A: | | | |
| 4% 7/1/49 (d) | | 410,000 | 344,732 |
| 5% 7/1/49 (d) | | 480,000 | 480,593 |
| Connecticut Gen. Oblig.: | | | |
| Series 2015 A, 5% 3/15/29 | | 1,040,000 | 1,062,817 |
| Series 2016 B, 5% 5/15/26 | | 905,000 | 950,711 |
| Series 2017 A, 5% 4/15/33 | | 15,000 | 15,877 |
| Series 2018 C, 5% 6/15/28 | | 250,000 | 274,619 |
| Series 2018 E: | | | |
5% 9/15/35 | | 305,000 | 329,326 |
5% 9/15/37 | | 275,000 | 293,328 |
| Series 2018 F: | | | |
5% 9/15/24 | | 395,000 | 400,957 |
5% 9/15/25 | | 395,000 | 409,233 |
5% 9/15/27 | | 55,000 | 59,517 |
5% 9/15/28 | | 1,200,000 | 1,324,441 |
| Series 2019 A: | | | |
5% 4/15/26 | | 40,000 | 41,940 |
5% 4/15/39 | | 400,000 | 426,751 |
| Series 2020 A, 4% 1/15/34 | | 535,000 | 559,215 |
| Series 2021 A: | | | |
3% 1/15/37 | | 1,300,000 | 1,171,654 |
3% 1/15/39 | | 645,000 | 554,709 |
3% 1/15/40 | | 755,000 | 639,648 |
| Series 2021 D, 5% 7/15/24 | | 805,000 | 814,487 |
| Series 2022 B, 3% 1/15/42 | | 4,000,000 | 3,344,511 |
| Series 2022 C: | | | |
5% 6/15/32 | | 150,000 | 174,648 |
5% 6/15/33 | | 75,000 | 87,225 |
5% 6/15/34 | | 100,000 | 116,031 |
5% 6/15/35 | | 75,000 | 86,609 |
5% 6/15/36 | | 125,000 | 142,906 |
5% 6/15/37 | | 50,000 | 56,485 |
5% 6/15/38 | | 75,000 | 83,739 |
5% 6/15/40 | | 300,000 | 330,731 |
| Series 2022 D: | | | |
5% 9/15/28 | | 705,000 | 778,109 |
5% 9/15/32 | | 75,000 | 87,618 |
| Connecticut Health & Edl. Facilities Auth. Rev.: | | | |
| (Church Home of Hartford, Inc. Proj.) Series 2016 A: | | | |
5% 9/1/46 (e) | | 190,000 | 152,542 |
5% 9/1/53 (e) | | 230,000 | 177,187 |
| (Sacred Heart Univ., CT. Proj.) Series 2017 I-1: | | | |
5% 7/1/26 | | 60,000 | 62,578 |
5% 7/1/27 | | 40,000 | 42,380 |
5% 7/1/28 | | 80,000 | 84,482 |
5% 7/1/29 | | 50,000 | 52,786 |
5% 7/1/34 | | 60,000 | 62,781 |
5% 7/1/35 | | 65,000 | 67,612 |
5% 7/1/36 | | 20,000 | 20,706 |
5% 7/1/37 | | 85,000 | 87,475 |
5% 7/1/42 | | 425,000 | 430,413 |
| Bonds Series 2020 B: | | | |
5%, tender 1/1/25 (b) | | 155,000 | 156,821 |
5%, tender 1/1/27 (b) | | 380,000 | 396,470 |
| Series 2016 F: | | | |
5% 7/1/25 | | 635,000 | 634,025 |
5% 7/1/31 | | 555,000 | 556,705 |
5% 7/1/32 | | 580,000 | 581,643 |
5% 7/1/33 | | 365,000 | 365,771 |
5% 7/1/34 | | 255,000 | 255,234 |
5% 7/1/43 | | 2,340,000 | 2,208,751 |
| Series 2016 K, 4% 7/1/46 | | 1,325,000 | 1,172,377 |
| Series 2019 A: | | | |
4% 7/1/49 | | 1,365,000 | 1,114,120 |
5% 7/1/26 (e) | | 845,000 | 831,050 |
5% 7/1/27 (e) | | 490,000 | 480,818 |
5% 7/1/49 (e) | | 1,125,000 | 932,450 |
| Series 2019 Q-1: | | | |
5% 11/1/24 | | 30,000 | 30,494 |
5% 11/1/26 | | 645,000 | 681,764 |
| Series 2019, 4% 7/1/44 | | 955,000 | 714,382 |
| Series 2020 A: | | | |
4% 7/1/39 | | 170,000 | 165,260 |
4% 7/1/40 | | 940,000 | 906,098 |
| Series 2020 C, 4% 7/1/45 | | 235,000 | 217,107 |
| Series 2020 K: | | | |
4% 7/1/45 | | 185,000 | 180,345 |
5% 7/1/37 | | 55,000 | 58,527 |
5% 7/1/38 | | 85,000 | 89,777 |
5% 7/1/39 | | 85,000 | 89,327 |
5% 7/1/40 | | 65,000 | 67,928 |
| Series 2021 G: | | | |
4% 3/1/46 | | 795,000 | 766,396 |
4% 3/1/51 | | 1,280,000 | 1,204,673 |
| Series 2021 S, 4% 6/1/51 | | 730,000 | 689,848 |
| Series 2022 M: | | | |
4% 7/1/37 | | 195,000 | 188,965 |
4% 7/1/39 | | 1,400,000 | 1,327,269 |
4% 7/1/39 | | 70,000 | 68,674 |
4% 7/1/40 | | 75,000 | 72,953 |
4% 7/1/52 | | 1,390,000 | 1,237,781 |
5% 7/1/32 | | 100,000 | 109,016 |
| Series A, 5% 7/1/26 | | 65,000 | 65,505 |
| Series K1: | | | |
5% 7/1/27 | | 60,000 | 61,388 |
5% 7/1/29 | | 155,000 | 159,099 |
5% 7/1/30 | | 120,000 | 122,895 |
5% 7/1/31 | | 1,075,000 | 1,098,942 |
5% 7/1/32 | | 70,000 | 71,431 |
5% 7/1/33 | | 245,000 | 249,540 |
5% 7/1/34 | | 1,390,000 | 1,412,663 |
5% 7/1/35 | | 140,000 | 141,826 |
| Series K3: | | | |
5% 7/1/43 | | 1,475,000 | 1,405,027 |
5% 7/1/48 | | 250,000 | 231,376 |
| Series N: | | | |
4% 7/1/39 | | 1,100,000 | 885,067 |
4% 7/1/49 | | 1,120,000 | 793,649 |
5% 7/1/32 | | 30,000 | 29,690 |
5% 7/1/33 | | 30,000 | 29,551 |
5% 7/1/34 | | 15,000 | 14,710 |
| Series R: | | | |
4% 7/1/36 | | 65,000 | 65,550 |
5% 6/1/32 | | 35,000 | 38,712 |
5% 6/1/33 | | 25,000 | 27,566 |
5% 6/1/34 | | 35,000 | 38,621 |
5% 6/1/35 | | 55,000 | 60,366 |
| Connecticut Higher Ed. Supplemental Ln. Auth. Rev. Series 2019 B, 3.25% 11/15/35 (d) | | 210,000 | 187,897 |
| Connecticut Hsg. Fin. Auth.: | | | |
| Series 2015 C1, 3.5% 11/15/45 | | 65,000 | 64,559 |
| Series 2019 B1, 4% 5/15/49 | | 55,000 | 54,645 |
| Series 2021 B1, 3% 11/15/49 | | 930,000 | 893,897 |
| Series 2023 B, 5.75% 11/15/53 | | 1,575,000 | 1,676,956 |
| Series C: | | | |
5% 5/15/24 (d) | | 1,520,000 | 1,528,451 |
5% 11/15/24 (d) | | 705,000 | 713,579 |
5% 11/15/25 (d) | | 630,000 | 646,052 |
| Connecticut Spl. Tax Oblig. Trans. Infrastructure Rev.: | | | |
| Series 2016 A, 5% 9/1/33 | | 2,050,000 | 2,143,884 |
| Series 2018 A: | | | |
5% 1/1/33 | | 1,860,000 | 1,999,648 |
5% 1/1/38 | | 1,865,000 | 1,964,254 |
| Series 2020 A: | | | |
5% 5/1/32 | | 665,000 | 749,950 |
5% 5/1/35 | | 1,025,000 | 1,147,187 |
| Series 2021 A: | | | |
4% 5/1/40 | | 3,250,000 | 3,267,562 |
5% 5/1/35 | | 1,900,000 | 2,158,171 |
| Series 2022 A, 5.25% 7/1/40 | | 4,000,000 | 4,548,522 |
| Series A, 5% 9/1/33 | | 320,000 | 322,485 |
| Connecticut State Revolving Fund Gen. Rev. Series 2017 A: | | | |
| 5% 5/1/33 | | 875,000 | 932,356 |
| 5% 5/1/35 | | 590,000 | 624,905 |
| Great Pond Impt. District Spl. Oblig. Series 2022: | | | |
| 5.5% 10/1/42 (e) | | 555,000 | 563,727 |
| 5.75% 10/1/52 (e) | | 1,495,000 | 1,518,082 |
| Hamden Gen. Oblig. (Whitney Ctr. Proj.) Series 2019: | | | |
| 5% 1/1/40 | | 1,265,000 | 1,092,161 |
| 5% 1/1/50 | | 1,330,000 | 1,062,638 |
| Hartford Gen. Oblig. Series 2015 C: | | | |
| 5% 7/15/32 (Assured Guaranty Muni. Corp. Insured) | | 1,100,000 | 1,129,066 |
| 5% 7/15/34 (Assured Guaranty Muni. Corp. Insured) | | 250,000 | 256,507 |
| Hbr. Point Infrastructure Impt. District Series 2017: | | | |
| 5% 4/1/30 (e) | | 590,000 | 598,979 |
| 5% 4/1/39 (e) | | 1,820,000 | 1,825,951 |
| Mohegan Tribal Fin. Auth. Conn Series 2015, 7% 2/1/45 (e) | | 1,960,000 | 1,960,343 |
| New Britain Gen. Oblig. Series 2017 C, 5% 3/1/29 (Assured Guaranty Muni. Corp. Insured) | | 130,000 | 137,910 |
| New Haven Gen. Oblig. Series 2016 A: | | | |
| 5% 8/15/25 (Assured Guaranty Muni. Corp. Insured) | | 30,000 | 30,854 |
| 5% 8/15/32 (Assured Guaranty Muni. Corp. Insured) | | 210,000 | 219,044 |
| Steelpointe Hbr. Infrastructure Impt. District (Steelpointe Hbr. Proj.) Series 2021, 4% 4/1/51 (e) | | 1,365,000 | 1,069,111 |
| Stratford Gen. Oblig. Series 2019, 5% 1/1/28 | | 250,000 | 264,684 |
| Univ. of Connecticut Gen. Oblig. Series 2019 A, 5% 11/1/25 | | 660,000 | 684,065 |
| Waterbury Gen. Oblig. Series 2013, 5% 12/1/32 (Pre-Refunded to 12/1/23 @ 100) | | 880,000 | 880,000 |
| West Haven Gen. Oblig. Series 2020: | | | |
| 4% 3/15/35 | | 197,000 | 199,838 |
| 4% 3/15/40 | | 160,000 | 156,792 |
TOTAL CONNECTICUT | | | 81,560,753 |
| Delaware - 0.3% | | | |
| Delaware Econ. Dev. Auth. Retirement Communitites Rev. Series 2018 B, 5% 11/15/48 | | 2,495,000 | 2,355,760 |
| Delaware Econ. Dev. Auth. Rev. (Newark Charter School, Inc. Proj.) Series 2016 A, 5% 9/1/46 | | 100,000 | 100,286 |
| Delaware Gen. Oblig.: | | | |
| Series 2019, 5% 2/1/30 | | 706,000 | 784,932 |
| Series 2020 A, 5% 1/1/31 | | 706,000 | 797,358 |
| Delaware Health Facilities Auth. Rev.: | | | |
| (Beebe Med. Ctr. Proj.) Series 2018: | | | |
5% 6/1/37 | | 140,000 | 144,291 |
5% 6/1/43 | | 1,700,000 | 1,713,796 |
5% 6/1/48 | | 2,800,000 | 2,784,634 |
5% 6/1/50 | | 930,000 | 912,857 |
| Beebe Med. Ctr. Proj.) Series 2018, 4.375% 6/1/48 | | 350,000 | 318,197 |
| Series 2020 A: | | | |
5% 10/1/36 | | 1,150,000 | 1,242,612 |
5% 10/1/45 | | 3,140,000 | 3,268,864 |
| Delaware Trans. Auth.: | | | |
| (U.S. 301 Proj.) Series 2015, 5% 6/1/55 | | 3,313,000 | 3,346,897 |
| Series 2015, 5% 6/1/45 | | 740,000 | 751,100 |
| Delaware Trans. Auth. Grant Series 2020: | | | |
| 5% 9/1/33 | | 365,000 | 410,273 |
| 5% 9/1/34 | | 590,000 | 660,178 |
| 5% 9/1/35 | | 590,000 | 656,241 |
| Kent County Student Hsg. & Dining Facility Rev. (CHF Dover, L.L.C. Delaware State Univ. Proj.) Series 2018 A: | | | |
| 5% 7/1/32 | | 35,000 | 35,514 |
| 5% 7/1/40 | | 160,000 | 156,468 |
| 5% 7/1/48 | | 415,000 | 393,722 |
| 5% 7/1/53 | | 910,000 | 851,774 |
| 5% 7/1/58 | | 1,470,000 | 1,353,146 |
| Sussex County Rev. (Cadbury at Lewes Proj.) Series 2016, 5% 1/1/36 | | 1,360,000 | 1,275,391 |
| The Delaware Econ. Dev. Auth. Charter School Rev.: | | | |
| (Aspira of Delaware Charter Operations, Inc. Proj.) Series 2022 A: | | | |
3% 6/1/32 | | 300,000 | 250,200 |
4% 6/1/52 | | 130,000 | 91,039 |
4% 6/1/57 | | 125,000 | 84,823 |
| (Newark Charter School, Inc. Proj.) Series 2020: | | | |
4% 9/1/30 | | 35,000 | 34,991 |
5% 9/1/40 | | 185,000 | 188,646 |
5% 9/1/50 | | 245,000 | 245,287 |
| (Newark Charter School, INC. Proj.) Series 2021, 4% 9/1/51 | | 400,000 | 335,487 |
| Univ. of Delaware Series 2019 A, 5% 11/1/41 | | 750,000 | 843,064 |
| Univ. of Delaware Rev. Bonds Series 2013 C, 3.05%, tender 11/1/37 (b) | | 3,450,000 | 3,450,000 |
TOTAL DELAWARE | | | 29,837,828 |
| District Of Columbia - 1.0% | | | |
| District of Columbia Gen. Oblig.: | | | |
| Series 2014 D, 5% 6/1/32 | | 520,000 | 524,497 |
| Series 2017 A, 5% 6/1/33 | | 130,000 | 138,161 |
| Series 2017 D, 5% 6/1/42 | | 30,000 | 31,170 |
| Series 2019 A, 5% 10/15/44 | | 2,705,000 | 2,855,575 |
| Series 2021 D: | | | |
4% 2/1/27 | | 920,000 | 954,138 |
5% 2/1/28 | | 920,000 | 1,004,862 |
5% 2/1/29 | | 1,220,000 | 1,357,452 |
| Series 2021 E, 5% 2/1/29 | | 2,580,000 | 2,870,678 |
| Series 2023 A, 5.25% 1/1/48 | | 3,000,000 | 3,315,482 |
| District of Columbia Hosp. Rev. Series 2015: | | | |
| 5% 7/15/29 | | 225,000 | 231,598 |
| 5% 7/15/30 | | 365,000 | 375,098 |
| District of Columbia Income Tax Rev. Series 2022 A: | | | |
| 5% 7/1/36 | | 500,000 | 574,936 |
| 5.5% 7/1/47 | | 2,500,000 | 2,808,303 |
| District of Columbia Rev.: | | | |
| (Ingleside At Rock Creek Proj.) Series 2017 A, 4.125% 7/1/27 | | 200,000 | 191,427 |
| (Ingleside at Rock Creek Proj.) Series 2017 A: | | | |
5% 7/1/32 | | 535,000 | 511,248 |
5% 7/1/37 | | 555,000 | 502,973 |
5% 7/1/42 | | 945,000 | 809,716 |
5% 7/1/52 | | 2,115,000 | 1,689,172 |
| Series 2009 A: | | | |
5.125% 1/1/35 | | 220,000 | 190,863 |
5.25% 1/1/39 | | 140,000 | 117,858 |
| Series 2016 A: | | | |
5% 6/1/36 | | 420,000 | 424,784 |
5% 6/1/41 | | 275,000 | 274,015 |
5% 6/1/46 | | 405,000 | 394,096 |
| Series 2017 B: | | | |
5% 7/1/42 | | 2,230,000 | 2,260,919 |
5% 7/1/48 | | 1,735,000 | 1,745,776 |
| Series 2018: | | | |
5% 10/1/25 | | 30,000 | 30,739 |
5% 10/1/26 | | 55,000 | 57,237 |
5% 10/1/27 | | 60,000 | 63,444 |
5% 10/1/43 | | 200,000 | 202,654 |
5% 10/1/48 | | 5,055,000 | 5,085,889 |
| Series 2019: | | | |
4% 7/1/39 | | 1,020,000 | 970,314 |
4% 7/1/44 | | 60,000 | 54,529 |
4% 7/1/49 | | 765,000 | 669,905 |
| Series 2020: | | | |
5% 6/1/50 | | 240,000 | 216,631 |
5% 6/1/55 | | 300,000 | 266,707 |
| District of Columbia Student Dorm. Rev.: | | | |
| Series 2013 A, 5% 10/1/35 | | 960,000 | 931,582 |
| Series 2013: | | | |
5% 10/1/30 | | 730,000 | 722,473 |
5% 10/1/45 | | 490,000 | 450,875 |
| District of Columbia Tax Increment Rev.: | | | |
| (Union Market Infastructure Proj.) Series 2021 A, 0% 6/1/46 (e)(f) | | 500,000 | 324,696 |
| (Union Market Infrastructure Proj.) Series 2021 A, 0% 6/1/31 (e)(f) | | 100,000 | 78,568 |
| District of Columbia Tobacco Settlement Fing. Corp.: | | | |
| Series 2006 A, 0% 6/15/46 | | 16,830,000 | 4,088,007 |
| Series 2006 B, 0% 6/15/46 | | 3,230,000 | 625,615 |
| District of Columbia Univ. Rev. Series 2017, 5% 4/1/35 | | 640,000 | 666,229 |
| District of Columbia Wtr. & Swr. Auth. Pub. Util. Rev. Bonds Series 2019 C, 1.75%, tender 10/1/24 (b) | | 205,000 | 201,046 |
| Howard Univ. 4.756% 10/1/51 | | 300,000 | 240,494 |
| Metropolitan Washington Arpts. Auth. Dulles Toll Road Rev.: | | | |
| (Dulles Metrorail And Cap. Impt. Proj.) Series 2019 B, 4% 10/1/53 (Assured Guaranty Muni. Corp. Insured) | | 550,000 | 513,954 |
| (Dulles Metrorail and Cap. Impt. Projs.): | | | |
Series 2019 A: | | | |
5% 10/1/31 | | 505,000 | 539,123 |
5% 10/1/32 | | 635,000 | 677,210 |
5% 10/1/33 | | 70,000 | 74,598 |
5% 10/1/34 | | 110,000 | 117,013 |
5% 10/1/36 | | 110,000 | 115,876 |
5% 10/1/38 | | 95,000 | 99,059 |
5% 10/1/44 | | 3,550,000 | 3,664,976 |
Series 2019 B, 3% 10/1/50 (Assured Guaranty Muni. Corp. Insured) | | 2,760,000 | 2,009,728 |
| (Dulles Metrorail And Cap. Impt. Projs.) Series 2019 B, 4% 10/1/49 | | 8,650,000 | 7,745,142 |
| (Dulles Metrorail and Cap. Impt. Projs.) Series 2019 B, 5% 10/1/47 | | 480,000 | 490,363 |
| (Dulles Metrorail and Cap. Impts. Projs.) Series 2022 A, 4% 10/1/52 (Assured Guaranty Muni. Corp. Insured) | | 4,690,000 | 4,389,822 |
| Series 2009 B: | | | |
0% 10/1/37 | | 1,800,000 | 995,593 |
0% 10/1/38 | | 1,405,000 | 712,409 |
0% 10/1/39 | | 280,000 | 133,489 |
0% 10/1/40 | | 705,000 | 316,101 |
| Series 2009 C, 6.5% 10/1/41 (Pre-Refunded to 10/1/26 @ 100) | | 1,270,000 | 1,392,580 |
| Series 2010 B, 6.5% 10/1/44 | | 4,605,000 | 5,040,649 |
| Series 2019 B, 4% 10/1/49 | | 425,000 | 400,806 |
| Metropolitan Washington DC Arpts. Auth. Sys. Rev.: | | | |
| Series 2014 A, 5% 10/1/29 (d) | | 3,150,000 | 3,163,538 |
| Series 2016 A, 5% 10/1/32 (d) | | 250,000 | 255,573 |
| Series 2017 A: | | | |
5% 10/1/28 (d) | | 810,000 | 853,602 |
5% 10/1/30 (d) | | 1,005,000 | 1,056,105 |
5% 10/1/31 (d) | | 175,000 | 183,997 |
5% 10/1/32 (d) | | 270,000 | 283,645 |
5% 10/1/33 (d) | | 135,000 | 141,787 |
5% 10/1/35 (d) | | 305,000 | 318,999 |
5% 10/1/42 (d) | | 605,000 | 617,789 |
| Series 2018 A: | | | |
5% 10/1/43 (d) | | 740,000 | 758,258 |
5% 10/1/48 (d) | | 3,615,000 | 3,676,824 |
| Series 2019 A: | | | |
5% 10/1/25 (d) | | 430,000 | 440,213 |
5% 10/1/28 (d) | | 1,685,000 | 1,806,035 |
5% 10/1/35 (d) | | 250,000 | 267,005 |
| Series 2019 B, 5% 10/1/25 | | 105,000 | 108,793 |
| Series 2020 A: | | | |
4% 10/1/38 (d) | | 1,800,000 | 1,769,477 |
5% 10/1/26 (d) | | 1,565,000 | 1,628,231 |
5% 10/1/27 (d) | | 540,000 | 570,795 |
5% 10/1/28 (d) | | 270,000 | 289,394 |
| Series 2021 A: | | | |
5% 10/1/31 (d) | | 1,280,000 | 1,415,971 |
5% 10/1/34 (d) | | 2,130,000 | 2,337,594 |
5% 10/1/36 (d) | | 500,000 | 540,882 |
5% 10/1/46 (d) | | 1,180,000 | 1,226,808 |
| Series 2023 A: | | | |
5% 10/1/31 (d) | | 1,000,000 | 1,106,227 |
5% 10/1/32 (d) | | 3,000,000 | 3,338,187 |
5.25% 10/1/48 (d) | | 4,000,000 | 4,249,427 |
| Washington D.C. Metropolitan Transit Auth. Rev. Series 2017 B, 5% 7/1/33 | | 255,000 | 269,660 |
| Washington Metropolitan Area Transit Auth.: | | | |
| Series 2021 A, 3% 7/15/36 | | 750,000 | 687,735 |
| Series 2023 A: | | | |
5% 7/15/44 | | 500,000 | 549,369 |
5% 7/15/48 | | 1,750,000 | 1,891,478 |
5.25% 7/15/53 | | 5,325,000 | 5,852,470 |
5.5% 7/15/51 | | 5,600,000 | 6,268,811 |
| Series 2023, 4.125% 7/15/47 | | 2,785,000 | 2,754,536 |
TOTAL DISTRICT OF COLUMBIA | | | 122,210,137 |
| Florida - 3.2% | | | |
| Alachua County Health Facilities Auth. Continuing Care Retirement Cmnty. Rev. (Oak Hammock at The Univ. of Florida, Inc. Proj.) Series 2022: | | | |
| 4% 10/1/40 | | 140,000 | 113,146 |
| 4% 10/1/46 | | 190,000 | 142,506 |
| Alachua County Health Facilities Auth. Health Facilities Rev.: | | | |
| (East Ridge Retirement Villiage, Inc. Proj.) Series 2014: | | | |
6% 11/15/34 | | 800,000 | 595,869 |
6.375% 11/15/49 | | 1,330,000 | 882,136 |
| Series 2007, 3 month U.S. LIBOR + 0.870% 4.67% 12/1/37 (b)(c) | | 2,000,000 | 1,858,644 |
| Series 2019 A, 4% 12/1/49 | | 3,840,000 | 3,517,997 |
| Series 2019 B1: | | | |
5% 12/1/35 | | 210,000 | 221,488 |
5% 12/1/36 | | 360,000 | 376,323 |
5% 12/1/37 | | 475,000 | 494,074 |
| Atlantic Beach Health Care Facilities Series A, 5% 11/15/43 | | 55,000 | 49,358 |
| Avenir Cmnty. Dev. District: | | | |
| Assessment Area Three - Master Infrastructure Proj. Series 2023, 5.375% 5/1/43 | | 700,000 | 681,257 |
| Series 2023, 5.625% 5/1/54 | | 800,000 | 774,269 |
| Bellalago Edl. Facilities Benefit District Series 2014: | | | |
| 4.375% 5/1/30 | | 220,000 | 220,746 |
| 4.5% 5/1/33 | | 100,000 | 100,225 |
| Boggy Creek Impt. District Spl. Assessment Rev. Series 2013, 5.125% 5/1/43 | | 1,245,000 | 1,231,348 |
| Brevard County Health Facilities Auth. Health Care Facilities Rev. (Health First, Inc. Proj.) Series 2014, 5% 4/1/39 | | 885,000 | 888,240 |
| Brevard County Health Facilities Auth. Rev.: | | | |
| Series 2022 A, 5% 4/1/40 | | 1,905,000 | 2,013,408 |
| Series 2023 A, 5% 4/1/32 | | 130,000 | 142,043 |
| Brevard County School Board Ctfs. of Prtn. Series 2015 C, 5% 7/1/28 | | 210,000 | 215,584 |
| Broward County Arpt. Sys. Rev.: | | | |
| Series 2012 Q1, 5% 10/1/25 | | 635,000 | 635,653 |
| Series 2015 A: | | | |
5% 10/1/40 (d) | | 3,230,000 | 3,242,353 |
5% 10/1/45 (d) | | 5,300,000 | 5,314,878 |
| Series 2015 C, 5% 10/1/24 (d) | | 305,000 | 307,830 |
| Series 2017: | | | |
5% 10/1/25 (d) | | 30,000 | 30,681 |
5% 10/1/26 (d) | | 120,000 | 124,521 |
5% 10/1/27 (d) | | 120,000 | 126,403 |
5% 10/1/29 (d) | | 325,000 | 341,750 |
5% 10/1/30 (d) | | 90,000 | 94,577 |
5% 10/1/32 (d) | | 425,000 | 446,168 |
5% 10/1/33 (d) | | 160,000 | 167,869 |
5% 10/1/34 (d) | | 155,000 | 162,393 |
5% 10/1/35 (d) | | 185,000 | 193,290 |
5% 10/1/36 (d) | | 245,000 | 254,634 |
5% 10/1/37 (d) | | 270,000 | 279,185 |
5% 10/1/42 (d) | | 2,650,000 | 2,706,019 |
5% 10/1/47 (d) | | 1,535,000 | 1,555,012 |
| Series 2019 A: | | | |
5% 10/1/28 (d) | | 360,000 | 384,206 |
5% 10/1/38 (d) | | 640,000 | 668,398 |
5% 10/1/39 (d) | | 960,000 | 998,951 |
5% 10/1/44 (d) | | 745,000 | 765,168 |
5% 10/1/49 (d) | | 2,195,000 | 2,231,030 |
| Series A: | | | |
5% 10/1/28 (d) | | 365,000 | 369,908 |
5% 10/1/30 (d) | | 425,000 | 428,845 |
5% 10/1/31 (d) | | 365,000 | 367,827 |
5% 10/1/32 (d) | | 340,000 | 342,610 |
| Broward County Port Facilities Rev.: | | | |
| Series 2019 B: | | | |
5% 9/1/32 (d) | | 2,500,000 | 2,662,973 |
5% 9/1/33 (d) | | 2,075,000 | 2,209,517 |
| Series 2022, 5.25% 9/1/47 (d) | | 2,000,000 | 2,095,053 |
| Broward County School Board Ctfs. of Prtn.: | | | |
| (Broward County School District Proj.) Series 2016 A, 5% 7/1/28 | | 170,000 | 178,042 |
| Series 2015 A: | | | |
5% 7/1/24 | | 2,075,000 | 2,096,457 |
5% 7/1/27 | | 120,000 | 123,396 |
5% 7/1/27 (Assured Guaranty Muni. Corp. Insured) | | 560,000 | 576,107 |
| Series 2015 B: | | | |
5% 7/1/24 | | 335,000 | 338,464 |
5% 7/1/31 | | 2,110,000 | 2,164,466 |
5% 7/1/32 | | 1,930,000 | 1,977,429 |
| Series 2016, 5% 7/1/32 | | 325,000 | 336,296 |
| Broward County School District Series 2022, 5% 7/1/46 | | 1,800,000 | 1,943,985 |
| Cap. Projs. Fin. Auth. Student Hsg. Rev.: | | | |
| (Cap. Projs. Ln. Prog. - Florida Univs.) Series 2020 A: | | | |
5% 10/1/30 | | 760,000 | 786,586 |
5% 10/1/31 | | 100,000 | 103,260 |
5% 10/1/34 | | 190,000 | 194,508 |
| (Provident Group - Continuum Properties Proj.) Series 2023 A1, 5% 11/1/58 | | 350,000 | 338,765 |
| Series 2020 A1: | | | |
5% 10/1/32 | | 100,000 | 103,082 |
5% 10/1/33 | | 100,000 | 102,845 |
| Cap. Region Cmnty. Dev. District Series 2018 A1: | | | |
| 4.625% 5/1/28 | | 20,000 | 20,004 |
| 5.125% 5/1/39 | | 130,000 | 127,820 |
| Cap. Trust Agcy. Edl. Facilities Rev.: | | | |
| (Liza Jackson Preparatory School, Inc. Proj.) Series 2020 A: | | | |
4% 8/1/30 | | 20,000 | 19,641 |
5% 8/1/55 | | 100,000 | 94,415 |
| Series 2020 A, 5% 8/1/40 | | 30,000 | 29,982 |
| Cap. Trust Agcy. Rev.: | | | |
| (Aero Miami FX, LLC Proj.) Series 2010 A, 5.35% 7/1/29 | | 1,265,000 | 1,266,602 |
| (The Marie Selby Botanical Gardens, Inc. Proj.) Series 2021: | | | |
4% 6/15/24 (e) | | 100,000 | 99,399 |
4% 6/15/41 (e) | | 380,000 | 300,716 |
4% 6/15/51 (e) | | 530,000 | 378,575 |
| Cap. Trust Agcy. Student Hsg. Rev. Series 2018 A, 5.25% 12/1/58 (e) | | 1,285,000 | 1,151,521 |
| Cape Coral Wtr. & Swr. Rev.: | | | |
| Series 2017: | | | |
4% 10/1/42 | | 2,890,000 | 2,859,001 |
5% 10/1/39 | | 1,205,000 | 1,247,665 |
| Series 2023, 5.25% 10/1/48 | | 1,000,000 | 1,101,972 |
| Celebration Pointe Cmnty. Dev. District No. 1 Spl. Assessment Rev.: | | | |
| Series 2014: | | | |
4.75% 5/1/24 | | 30,000 | 30,035 |
5.125% 5/1/45 | | 130,000 | 124,852 |
| Series 2017, 5% 5/1/32 | | 150,000 | 150,515 |
| Series 2021: | | | |
3% 5/1/31 | | 55,000 | 48,603 |
3.375% 5/1/41 | | 200,000 | 153,144 |
4% 5/1/53 | | 355,000 | 273,962 |
| Central Florida Expressway Auth. Sr. Lien Rev.: | | | |
| Orlando & Orange County Expressway Auth. Rev. Series 2017, 5% 7/1/39 | | 130,000 | 135,395 |
| Series 2016 B, 5% 7/1/34 | | 530,000 | 545,764 |
| Series 2017, 5% 7/1/42 | | 1,545,000 | 1,596,550 |
| Series 2021: | | | |
4% 7/1/34 (Assured Guaranty Muni. Corp. Insured) | | 235,000 | 243,615 |
4% 7/1/35 (Assured Guaranty Muni. Corp. Insured) | | 230,000 | 237,577 |
4% 7/1/37 (Assured Guaranty Muni. Corp. Insured) | | 255,000 | 260,631 |
4% 7/1/38 (Assured Guaranty Muni. Corp. Insured) | | 235,000 | 238,361 |
4% 7/1/39 (Assured Guaranty Muni. Corp. Insured) | | 195,000 | 196,746 |
5% 7/1/32 (Assured Guaranty Muni. Corp. Insured) | | 190,000 | 217,654 |
5% 7/1/33 (Assured Guaranty Muni. Corp. Insured) | | 170,000 | 194,542 |
| Charlotte County Fla Indl. Dev. Auth. (Town & Country Utils. Proj.) Series 2021 A, 4% 10/1/51 (d)(e) | | 500,000 | 390,690 |
| Cityplace Cmnty. Dev. District Series 2012, 5% 5/1/26 | | 465,000 | 473,057 |
| Collier County Health Facilities Auth. Series 2022, 4% 5/1/52 | | 1,400,000 | 1,224,169 |
| Collier County Indl. Dev. Auth.: | | | |
| (The Arlington of Naples Proj.) Series 2013 A, 8.125% 5/15/44 (e) | | 201,337 | 6,443 |
| Series 2013 A, 7.75% 5/15/35 (e) | | 130,496 | 4,176 |
| County of Broward Tourist Dev. Tax Rev. (Convention Ctr. Expansion Proj.) Series 2021: | | | |
| 4% 9/1/39 | | 1,285,000 | 1,272,216 |
| 4% 9/1/40 | | 440,000 | 433,490 |
| County of Osceola (Poinciana Parkway Proj.) Series 2014 B2, 0% 10/1/36 (Pre-Refunded to 10/1/31 @ 100) (f) | | 300,000 | 342,305 |
| County Wtr.-Swr. District Collier County Wtr. Rev. Series 2021: | | | |
| 4% 7/1/40 | | 2,465,000 | 2,491,230 |
| 4% 7/1/44 | | 1,475,000 | 1,455,644 |
| Del Webb Bexley Cmnty. Dev. District Series 2018: | | | |
| 5.3% 5/1/39 | | 145,000 | 144,917 |
| 5.4% 5/1/49 | | 185,000 | 178,609 |
| Double Branch Cmnty. Dev. District Spl. Assessment Series 2013 A1, 4% 5/1/25 | | 35,000 | 35,005 |
| Duval County School Board Ctfs. of Prtn.: | | | |
| Series 2015 B: | | | |
5% 7/1/28 | | 250,000 | 256,689 |
5% 7/1/29 | | 355,000 | 364,333 |
5% 7/1/32 | | 1,485,000 | 1,521,969 |
| Series 2016 A, 5% 7/1/33 | | 160,000 | 165,833 |
| Series 2022 A, 5% 7/1/34 (Assured Guaranty Muni. Corp. Insured) | | 1,150,000 | 1,272,143 |
| Epperson North Cmnty. Dev. District Series 2021 A: | | | |
| 3.4% 11/1/41 | | 245,000 | 182,006 |
| 4% 11/1/51 | | 375,000 | 282,337 |
| Escambia County Health Facilities Auth. Health Facilities Rev. Series 2020 A: | | | |
| 4% 8/15/45 | | 705,000 | 619,606 |
| 4% 8/15/50 | | 3,875,000 | 3,298,014 |
| Everest Gmr Cmnty. Dev. District Fla Series 2023, 6.2% 5/1/54 | | 1,000,000 | 978,519 |
| FAU Fin. Corp. Cap. Impt. (Student Hsg. Proj.) Series 2019 A: | | | |
| 5% 7/1/36 | | 965,000 | 1,035,481 |
| 5% 7/1/38 | | 965,000 | 1,018,494 |
| 5% 7/1/39 | | 600,000 | 629,815 |
| Florida Board of Ed. Pub. Ed. Cap. Outlay Series 2015 C, 3.15% 6/1/29 | | 750,000 | 748,424 |
| Florida Dept. of Trans. Tpk. Rev.: | | | |
| Series 2015 A, 3.5% 7/1/29 | | 1,220,000 | 1,222,533 |
| Series 2019 B, 3% 7/1/49 | | 500,000 | 379,119 |
| Series 2021 C, 3% 7/1/51 | | 850,000 | 635,715 |
| Florida Dev. Fin. Corp.: | | | |
| (The Glenridge On Palmer Ranch Proj.) Series 2021, 5% 6/1/51 (e) | | 1,790,000 | 1,426,950 |
| (The Mayflower Retirement Cmnty. Proj.) Series 2021 A: | | | |
4% 6/1/36 (e) | | 170,000 | 129,524 |
4% 6/1/46 (e) | | 105,000 | 67,501 |
| Series 2021 A, 4% 6/1/41 (e) | | 100,000 | 69,457 |
| Florida Dev. Fin. Corp. Edl. Facilities: | | | |
| (Mater Academy Projs.): | | | |
Series 2020 A, 5% 6/15/55 | | 550,000 | 540,709 |
Series 2022 A: | | | |
5% 6/15/47 | | 250,000 | 250,137 |
5% 6/15/52 | | 235,000 | 232,328 |
5% 6/15/56 | | 345,000 | 338,562 |
| (River City Science Academy Projs.): | | | |
Series 2021 A: | | | |
4% 7/1/35 | | 30,000 | 29,081 |
4% 7/1/45 | | 55,000 | 46,986 |
4% 7/1/55 | | 80,000 | 63,639 |
Series 2022 A1: | | | |
5% 7/1/42 | | 915,000 | 920,556 |
5% 7/1/51 | | 825,000 | 803,135 |
5% 2/1/57 | | 1,460,000 | 1,403,228 |
| Series 2015 A, 6.125% 6/15/46 (e) | | 730,000 | 725,132 |
| Series 2016 A, 4.75% 7/15/36 (e) | | 350,000 | 329,058 |
| Series 2017 A, 6.125% 6/15/47 (e) | | 250,000 | 233,647 |
| Series 2020 C: | | | |
5% 9/15/40 (e) | | 105,000 | 92,160 |
5% 9/15/50 (e) | | 210,000 | 170,710 |
| Series 2021 A, 4% 7/1/51 (e) | | 135,000 | 108,212 |
| Florida Dev. Fin. Corp. Healthcare Facility Rev.: | | | |
| (UF Health Jacksonville Proj.) Series 2022 A: | | | |
4% 2/1/46 (Assured Guaranty Muni. Corp. Insured) | | 1,385,000 | 1,301,644 |
4% 2/1/52 | | 300,000 | 217,994 |
5% 2/1/52 | | 495,000 | 436,247 |
| Series 2021 B, 4% 2/1/52 | | 400,000 | 363,255 |
| Florida Dev. Fin. Corp. Solid Waste Disp. Rev.: | | | |
| Bonds (Waste Pro U.S.A., INC Proj.) Series 2023, 6.125%, tender 7/1/26 (b)(d)(e) | | 3,300,000 | 3,309,211 |
| Series 2021, 3% 6/1/32 (d) | | 760,000 | 597,421 |
| Florida Dev. Fin. Corp. Surface T: | | | |
| Bonds (Virgin Trains U.S.A. Passenger Rail Proj.) Series 2019 A, 6.5%, tender 1/1/29 (b)(d)(e) | | 790,000 | 763,606 |
| Series 2019 B, 7.375% 1/1/49 (d)(e) | | 2,195,000 | 2,200,988 |
| Florida Gen. Oblig. Series 2019 A: | | | |
| 4% 7/1/33 | | 290,000 | 302,009 |
| 4% 7/1/34 | | 445,000 | 460,080 |
| Florida Higher Edl. Facilities Fing. Auth.: | | | |
| (Jacksonville Univ. Proj.) Series 2018 A1: | | | |
4.5% 6/1/33 (e) | | 705,000 | 674,504 |
4.75% 6/1/38 (e) | | 1,605,000 | 1,470,798 |
5% 6/1/48 (e) | | 3,480,000 | 3,052,465 |
| (Nova Southeastern Univ. Proj.) Series 2016: | | | |
5% 4/1/30 | | 160,000 | 164,546 |
5% 4/1/31 | | 375,000 | 385,111 |
5% 4/1/32 | | 245,000 | 251,435 |
5% 4/1/36 | | 140,000 | 143,355 |
| (Ringling College Proj.) Series 2017: | | | |
4% 3/1/47 | | 300,000 | 258,934 |
5% 3/1/47 | | 250,000 | 250,705 |
| (St. Leo Univ. Proj.) Series 2019: | | | |
5% 3/1/24 | | 15,000 | 14,966 |
5% 3/1/25 | | 45,000 | 44,592 |
5% 3/1/49 | | 270,000 | 215,274 |
| Series 2019: | | | |
4% 10/1/37 | | 240,000 | 220,983 |
4% 10/1/38 | | 335,000 | 303,671 |
4% 10/1/39 | | 400,000 | 357,961 |
4% 10/1/44 | | 625,000 | 528,429 |
5% 10/1/27 | | 35,000 | 36,334 |
5% 10/1/31 | | 195,000 | 203,597 |
5% 10/1/33 | | 270,000 | 280,330 |
5% 10/1/34 | | 225,000 | 232,661 |
5% 10/1/36 | | 170,000 | 173,933 |
| Florida Hsg. Fin. Corp. Multi-family Mtg. Rev. Bonds Series 2023 C, 5%, tender 12/1/25 (b) | | 925,000 | 945,998 |
| Florida Hsg. Fin. Corp. Rev.: | | | |
| Series 2019 1, 4% 7/1/50 | | 620,000 | 615,213 |
| Series 2021 1, 3% 1/1/52 | | 1,300,000 | 1,257,143 |
| Series 2021 2, 3% 7/1/52 | | 1,575,000 | 1,514,844 |
| Florida Ins. Assistance Interlo Series 2023 A1, 5% 9/1/27 | | 10,000,000 | 10,483,882 |
| Florida Mid-Bay Bridge Auth. Rev.: | | | |
| Series 2015 A: | | | |
5% 10/1/28 | | 120,000 | 122,142 |
5% 10/1/29 | | 815,000 | 829,078 |
5% 10/1/35 | | 2,880,000 | 2,914,317 |
5% 10/1/40 | | 480,000 | 482,419 |
| Series 2015 C: | | | |
5% 10/1/30 | | 400,000 | 406,424 |
5% 10/1/35 | | 110,000 | 111,214 |
5% 10/1/40 | | 245,000 | 245,979 |
| Florida Muni. Pwr. Agcy. Rev.: | | | |
| (Pwr. Supply Proj.) Series 2017 A: | | | |
5% 10/1/26 | | 500,000 | 526,400 |
5% 10/1/28 | | 20,000 | 21,706 |
| (Requirements Pwr. Supply Proj.) Series 2016 A: | | | |
5% 10/1/30 | | 320,000 | 333,088 |
5% 10/1/31 | | 350,000 | 363,932 |
| Series 2015 B: | | | |
5% 10/1/28 | | 120,000 | 123,342 |
5% 10/1/29 | | 70,000 | 71,874 |
5% 10/1/30 | | 220,000 | 225,656 |
| Fort Lauderdale (Parks and Recreation Projs.) Series 2022 A, 5% 7/1/48 | | 600,000 | 647,781 |
| Fort Myers Util. Sys. Rev. Series 2019 A, 4% 10/1/49 | | 700,000 | 663,266 |
| Fort Pierce Utils. Auth. Series 2022 A, 4% 10/1/52 (Assured Guaranty Muni. Corp. Insured) | | 965,000 | 894,310 |
| Gainesville Utils. Sys. Rev. Series 2017 A, 5% 10/1/35 | | 280,000 | 296,266 |
| Greater Orlando Aviation Auth. Arpt. Facilities Rev.: | | | |
| Series 2016 A, 5% 10/1/46 (d) | | 120,000 | 120,668 |
| Series 2016: | | | |
5% 10/1/24 (d) | | 365,000 | 368,386 |
5% 10/1/26 (d) | | 210,000 | 217,969 |
5% 10/1/27 (d) | | 120,000 | 126,403 |
| Series 2017 A: | | | |
5% 10/1/25 (d) | | 40,000 | 40,907 |
5% 10/1/25 (Escrowed to Maturity) (d) | | 80,000 | 82,043 |
5% 10/1/27 (d) | | 55,000 | 57,854 |
5% 10/1/27 (Escrowed to Maturity) (d) | | 185,000 | 196,301 |
5% 10/1/29 (Pre-Refunded to 10/1/27 @ 100) (d) | | 365,000 | 388,648 |
5% 10/1/30 (Pre-Refunded to 10/1/27 @ 100) (d) | | 390,000 | 415,267 |
5% 10/1/31 (d) | | 1,050,000 | 1,102,831 |
5% 10/1/32 (d) | | 295,000 | 309,693 |
5% 10/1/34 (d) | | 730,000 | 764,818 |
5% 10/1/37 (d) | | 760,000 | 785,855 |
5% 10/1/42 (d) | | 1,145,000 | 1,169,205 |
5% 10/1/47 (d) | | 5,325,000 | 5,394,422 |
5% 10/1/52 (d) | | 440,000 | 444,302 |
| Series 2019 A: | | | |
5% 10/1/34 (d) | | 2,500,000 | 2,680,804 |
5% 10/1/49 (d) | | 1,025,000 | 1,044,442 |
5% 10/1/54 (d) | | 5,920,000 | 6,000,686 |
| Halifax Hosp. Med. Ctr. Rev.: | | | |
| Series 2015: | | | |
5% 6/1/24 | | 75,000 | 75,480 |
5% 6/1/28 (Pre-Refunded to 6/1/25 @ 100) | | 35,000 | 35,968 |
| Series 2016, 5% 6/1/36 | | 120,000 | 121,409 |
| Hillsborough County Aviation Auth. Rev.: | | | |
| Series 2018 E, 5% 10/1/43 (d) | | 1,275,000 | 1,306,458 |
| Series 2018 F: | | | |
5% 10/1/37 | | 95,000 | 101,796 |
5% 10/1/43 | | 130,000 | 136,958 |
| Series 2022 A, 5% 10/1/47 (d) | | 1,250,000 | 1,297,247 |
| Hillsborough County Indl. Dev. (Tampa Gen. Hosp. Proj.) Series 2020 A: | | | |
| 4% 8/1/50 | | 525,000 | 463,048 |
| 4% 8/1/55 | | 3,455,000 | 2,982,989 |
| Hillsborough County Port District: | | | |
| (Tampa Port Auth. Proj.) Series 2018 B: | | | |
5% 6/1/30 (d) | | 240,000 | 254,843 |
5% 6/1/31 (d) | | 255,000 | 270,395 |
5% 6/1/46 (d) | | 1,475,000 | 1,482,993 |
| Series 2018 B, 5% 6/1/38 (d) | | 375,000 | 385,939 |
| Hillsborough County School Board Ctfs. of Prtn. Series 2015 A, 5% 7/1/26 | | 445,000 | 454,292 |
| Jacksonville Edl. Facilities Rev. (Jacksonville Univ. Proj.) Series 2018 B, 5% 6/1/53 (e) | | 2,550,000 | 2,186,836 |
| Jacksonville Elec. Auth. Elec. Sys. Rev. Series 2020 A, 4% 10/1/37 | | 1,475,000 | 1,447,300 |
| Jacksonville Health Care Facilities (Baptist Med. Ctr. Proj.) Series 2017: | | | |
| 5% 8/15/26 | | 110,000 | 115,405 |
| 5% 8/15/34 | | 155,000 | 161,936 |
| Jacksonville Spl. Rev. Series 2022 A: | | | |
| 5% 10/1/24 | | 30,000 | 30,472 |
| 5% 10/1/25 | | 25,000 | 25,921 |
| 5% 10/1/26 | | 20,000 | 21,179 |
| 5% 10/1/27 | | 15,000 | 16,213 |
| 5% 10/1/28 | | 30,000 | 33,053 |
| 5% 10/1/29 | | 25,000 | 27,985 |
| 5% 10/1/30 | | 20,000 | 22,723 |
| 5% 10/1/32 | | 20,000 | 23,345 |
| Lakeland Hosp. Sys. Rev. Series 2015, 5% 11/15/34 (Pre-Refunded to 11/15/24 @ 100) | | 410,000 | 417,115 |
| Lakewood Ranch Stewardship District Spl. Assessment Rev.: | | | |
| (Lakewood Centre & NW Sector Projs.) Series 2018: | | | |
5.5% 5/1/39 (e) | | 170,000 | 172,071 |
5.65% 5/1/48 (e) | | 210,000 | 210,715 |
| (Lakewood Centre North Proj.) Series 2015: | | | |
4.875% 5/1/35 | | 25,000 | 24,773 |
4.875% 5/1/45 | | 35,000 | 32,215 |
| (Lakewood Nat'l. and Polo Run Projs.) Series 2017: | | | |
5.25% 5/1/37 | | 510,000 | 512,499 |
5.375% 5/1/47 | | 1,185,000 | 1,188,742 |
| (Northeast Sector Proj. - Phase 1B) Series 2018: | | | |
5.3% 5/1/39 | | 140,000 | 140,269 |
5.45% 5/1/48 | | 245,000 | 241,533 |
| (Villages of Lakewood Ranch South Proj.) Series 2016: | | | |
5% 5/1/36 | | 250,000 | 250,421 |
5.125% 5/1/46 | | 400,000 | 381,255 |
| Series 2023, 6.3% 5/1/54 | | 655,000 | 664,719 |
| Laurel Road Cmnty. Dev. District Series 2021 A2, 3.125% 5/1/31 | | 675,000 | 553,939 |
| Lee County Arpt. Rev.: | | | |
| Series 2021 A: | | | |
5% 10/1/25 (d) | | 2,525,000 | 2,584,073 |
5% 10/1/26 (d) | | 1,990,000 | 2,060,634 |
| Series 2021 B: | | | |
5% 10/1/37 (d) | | 1,250,000 | 1,326,326 |
5% 10/1/46 (d) | | 1,010,000 | 1,039,948 |
| Lee County Indl. Dev. Auth. Health Care Facilities Rev.: | | | |
| (Shell Point/Waterside Health Proj.) Series 2019, 5% 11/15/49 | | 445,000 | 406,980 |
| (The Preserve Proj.) Series 2017 A: | | | |
5.375% 12/1/32 (e) | | 100,000 | 83,791 |
5.625% 12/1/37 (e) | | 220,000 | 170,302 |
| Shell Point/Waterside Health Proj. Series 2019, 5% 11/15/44 | | 440,000 | 412,303 |
| Lee County School Board Ctfs. Series 2019 A: | | | |
| 5% 8/1/27 | | 255,000 | 274,018 |
| 5% 8/1/28 | | 130,000 | 142,075 |
| Lee Memorial Health Sys. Hosp. Rev. Series 2019 A1: | | | |
| 5% 4/1/26 | | 65,000 | 67,423 |
| 5% 4/1/39 | | 405,000 | 421,372 |
| 5% 4/1/44 | | 2,350,000 | 2,406,199 |
| Manatee County School District Series 2017, 5% 10/1/28 (Assured Guaranty Muni. Corp. Insured) | | 160,000 | 169,892 |
| Martin County Health Facilities Series 2015, 5% 11/15/45 (Pre-Refunded to 11/15/24 @ 100) | | 1,355,000 | 1,374,073 |
| Miami Beach Health Facilities Auth. Hosp. Rev.: | | | |
| Series 2014 A, 5% 11/15/39 | | 85,000 | 85,359 |
| Series 2021 B, 3% 11/15/51 | | 310,000 | 211,778 |
| Miami-Dade County: | | | |
| Series 2021 A1, 4% 10/1/45 (Assured Guaranty Muni. Corp. Insured) (d) | | 1,325,000 | 1,236,255 |
| Series 2022 A: | | | |
5% 10/1/47 (d) | | 3,000,000 | 3,071,578 |
5.25% 10/1/52 (d) | | 11,920,000 | 12,411,595 |
| Miami-Dade County Aviation Rev.: | | | |
| Series 2014 A: | | | |
5% 10/1/28 (d) | | 605,000 | 607,515 |
5% 10/1/34 (d) | | 2,035,000 | 2,039,894 |
| Series 2014, 5% 10/1/34 (d) | | 1,500,000 | 1,504,090 |
| Series 2015 A: | | | |
5% 10/1/29 (d) | | 195,000 | 197,169 |
5% 10/1/31 (d) | | 160,000 | 161,239 |
5% 10/1/35 (d) | | 670,000 | 671,668 |
5% 10/1/38 (d) | | 1,030,000 | 1,034,670 |
| Series 2016 A: | | | |
5% 10/1/29 | | 175,000 | 182,445 |
5% 10/1/31 | | 210,000 | 217,881 |
5% 10/1/41 | | 3,440,000 | 3,498,539 |
| Series 2017 B, 5% 10/1/40 (d) | | 2,825,000 | 2,857,639 |
| Series 2019 A, 5% 10/1/49 (d) | | 7,945,000 | 8,051,151 |
| Series 2020 A: | | | |
4% 10/1/35 | | 90,000 | 92,484 |
4% 10/1/37 | | 130,000 | 130,924 |
4% 10/1/39 | | 1,590,000 | 1,581,401 |
4% 10/1/41 | | 305,000 | 299,980 |
5% 10/1/31 | | 120,000 | 133,460 |
| Miami-Dade County Cap. Asset Acquisition Series 2009, 0% 10/1/37 | | 415,000 | 232,668 |
| Miami-Dade County Edl. Facilities Rev.: | | | |
| Series 2015 A, 5% 4/1/40 | | 3,355,000 | 3,380,891 |
| Series 2018 A, 5% 4/1/53 | | 2,950,000 | 3,002,566 |
| Miami-Dade County Expressway Auth.: | | | |
| Series 2010 A, 5% 7/1/40 | | 185,000 | 185,047 |
| Series 2014 A: | | | |
5% 7/1/25 | | 80,000 | 80,649 |
5% 7/1/27 | | 55,000 | 55,446 |
5% 7/1/28 | | 125,000 | 126,071 |
5% 7/1/29 | | 55,000 | 55,484 |
| Series 2014 B: | | | |
5% 7/1/28 | | 120,000 | 121,029 |
5% 7/1/30 | | 140,000 | 141,240 |
| Series 2016 A: | | | |
5% 7/1/32 | | 525,000 | 542,701 |
5% 7/1/33 | | 445,000 | 459,893 |
| Miami-Dade County Health Facilities Auth. Hosp. Rev.: | | | |
| (Nicklaus Children's Hosp. Proj.) Series 2017, 5% 8/1/47 | | 1,565,000 | 1,588,929 |
| Series 2021 A, 4% 8/1/46 | | 365,000 | 347,489 |
| Miami-Dade County School Board Ctfs. of Prtn.: | | | |
| Series 2015 A, 5% 5/1/29 | | 1,185,000 | 1,209,071 |
| Series 2015 B, 5% 5/1/28 | | 110,000 | 112,295 |
| Series 2016 A: | | | |
5% 5/1/30 | | 915,000 | 952,950 |
5% 5/1/32 | | 1,775,000 | 1,836,519 |
| Series 2016 B, 5% 8/1/26 | | 250,000 | 261,485 |
| Miami-Dade County School District Series 2022 A: | | | |
| 5% 3/15/35 | | 1,300,000 | 1,495,834 |
| 5% 3/15/52 | | 750,000 | 794,481 |
| Miami-Dade County Transit Sales Surtax Rev.: | | | |
| Series 2017, 4% 7/1/32 | | 1,860,000 | 1,887,372 |
| Series 2019, 3% 7/1/37 | | 1,000,000 | 878,847 |
| Miami-Dade County Wtr. & Swr. Rev.: | | | |
| Series 2017 B: | | | |
4% 10/1/38 | | 650,000 | 654,965 |
5% 10/1/33 | | 900,000 | 923,486 |
| Series 2019 B: | | | |
4% 10/1/49 | | 255,000 | 243,143 |
4% 10/1/49 | | 6,510,000 | 6,296,121 |
| Series 2021: | | | |
4% 10/1/48 | | 810,000 | 778,508 |
5% 10/1/32 | | 495,000 | 565,830 |
| Midtown Miami Cmnty. Dev. District: | | | |
| (Infrastructure Proj.) Series 2014 B: | | | |
5% 5/1/29 | | 55,000 | 54,715 |
5% 5/1/37 | | 25,000 | 24,123 |
| (Parking Garage Proj.) Series 2014 A, 5% 5/1/37 | | 45,000 | 43,420 |
| North -1 Pasco Cmnty. Dev. Dis Series 2021, 4% 5/1/51 | | 1,395,000 | 1,063,207 |
| Orange County Health Facilities Auth.: | | | |
| (Presbyterian Retirement Cmntys. Obligated Group Proj.) Series 2023 A, 4% 8/1/47 | | 1,065,000 | 874,213 |
| Series 2016 A: | | | |
5% 10/1/39 | | 1,875,000 | 1,909,734 |
5% 10/1/44 | | 280,000 | 283,220 |
| Series 2022, 4% 10/1/52 | | 7,640,000 | 7,092,049 |
| Series 2023 A, 5% 10/1/53 | | 4,000,000 | 4,124,185 |
| Orange County School Board Ctfs. of Prtn. Series 2015 D, 5% 8/1/30 (Pre-Refunded to 8/1/25 @ 100) | | 55,000 | 56,706 |
| Osceola County Trans. Impt. Rev.: | | | |
| Series 2019 A1, 5% 10/1/44 | | 810,000 | 811,465 |
| Series 2019 A2: | | | |
0% 10/1/35 | | 115,000 | 65,531 |
0% 10/1/36 | | 140,000 | 74,606 |
0% 10/1/37 | | 50,000 | 25,152 |
0% 10/1/38 | | 160,000 | 75,512 |
0% 10/1/39 | | 195,000 | 85,564 |
0% 10/1/40 | | 210,000 | 86,637 |
0% 10/1/41 | | 230,000 | 89,185 |
0% 10/1/42 | | 185,000 | 66,983 |
| Palm Beach County Arpt. Sys. Rev. Series 2016: | | | |
| 5% 10/1/24 (d) | | 165,000 | 166,584 |
| 5% 10/1/27 (d) | | 120,000 | 124,154 |
| 5% 10/1/29 (d) | | 125,000 | 128,113 |
| 5% 10/1/30 (d) | | 225,000 | 230,490 |
| 5% 10/1/31 (d) | | 160,000 | 163,584 |
| 5% 10/1/32 (d) | | 245,000 | 250,396 |
| 5% 10/1/33 (d) | | 525,000 | 534,222 |
| 5% 10/1/34 (d) | | 545,000 | 553,403 |
| 5% 10/1/35 (d) | | 575,000 | 582,502 |
| Palm Beach County Health Facilities: | | | |
| Series 2018 A, 5% 11/15/45 | | 1,180,000 | 1,129,935 |
| Series 2020 B, 5% 11/15/42 | | 190,000 | 184,336 |
| Palm Beach County Health Facilities Auth. Hosp. Rev.: | | | |
| (Jupiter Med. Ctr. Proj.) Series 2022: | | | |
5% 11/1/47 | | 2,105,000 | 2,122,622 |
5% 11/1/52 | | 270,000 | 270,840 |
| Series 2019, 4% 8/15/49 | | 8,600,000 | 7,722,858 |
| Palm Beach County Health Facilities Auth. Rev.: | | | |
| Series 2019 B, 5% 5/15/53 | | 2,615,000 | 1,953,349 |
| Series 2020 A, 5% 6/1/55 | | 305,000 | 258,288 |
| Series 2022: | | | |
4% 6/1/31 | | 120,000 | 111,370 |
4% 6/1/36 | | 690,000 | 596,800 |
4% 6/1/41 | | 375,000 | 300,721 |
4.25% 6/1/56 | | 1,245,000 | 919,617 |
| Palm Beach County School Board Ctfs. of Prtn. Series 2015 D: | | | |
| 5% 8/1/28 | | 680,000 | 698,683 |
| 5% 8/1/29 | | 730,000 | 749,819 |
| Pasco County Tax Alloc Series 2023 A: | | | |
| 5% 9/1/48 (Assured Guaranty Muni. Corp. Insured) | | 1,210,000 | 1,275,834 |
| 5.75% 9/1/54 (Assured Guaranty Muni. Corp. Insured) | | 4,180,000 | 4,638,494 |
| Pasco County School Board Ctfs. of Prtn. Series 2018 A, 5% 8/1/35 (Build America Mutual Assurance Insured) | | 130,000 | 139,816 |
| Pinellas Ed. Facilities Crsuis Vrdn Series 2018 A, 5% 12/15/48 (e) | | 250,000 | 240,361 |
| Pinellas County Hsg. Fin. Auth. Bonds Series 2021 B, 0.65%, tender 7/1/24 (b) | | 1,115,000 | 1,089,568 |
| Pompano Beach Rev. (John Knox Village Proj.): | | | |
| Series 2020: | | | |
4% 9/1/40 | | 40,000 | 32,723 |
4% 9/1/50 | | 1,130,000 | 827,179 |
| Series 2021 A: | | | |
4% 9/1/51 | | 1,065,000 | 774,245 |
4% 9/1/56 | | 1,465,000 | 1,031,064 |
| Series 2021 B2, 1.45% 1/1/27 | | 155,000 | 139,945 |
| Putnam County Dev. Auth. Poll. Cont. Rev. (Seminole Elec. Coop., Inc. Proj.) Series 2018 A, 5% 3/15/42 | | 800,000 | 816,292 |
| Reunion East Cmnty. Dev. District Series 2022 A2, 7.375% 5/1/33 (h) | | 205,000 | 2 |
| Sarasota County Health Facilities Auth. Retirement Facility Rev. (Village On The Isle Proj.) Series 2017 A: | | | |
| 5% 1/1/37 | | 195,000 | 181,507 |
| 5% 1/1/42 | | 225,000 | 199,916 |
| 5% 1/1/47 | | 450,000 | 388,117 |
| 5% 1/1/52 | | 950,000 | 800,303 |
| Sarasota County Pub. Hosp. Board Series 1998 B: | | | |
| 5.25% 7/1/24 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | | 505,000 | 510,185 |
| 5.5% 7/1/28 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | | 840,000 | 888,425 |
| Sarasota County Pub. Hosp. District Hosp. Rev. (Sarasota Memorial Hosp. Proj.) Series 2018, 5% 7/1/41 | | 2,950,000 | 3,010,339 |
| Sarasota County Util. Sys. Rev. Series 2022, 5.25% 10/1/52 | | 2,000,000 | 2,194,626 |
| Sawyers Landing Cmnty. Dev. District Spl. Assessment Rev. Series 2021: | | | |
| 4.125% 5/1/41 | | 430,000 | 335,604 |
| 4.25% 5/1/53 | | 570,000 | 416,823 |
| Seminole County Indl. Dev. Auth. Retirement Facility Rev. (Legacy Pointe At UCF Proj.) Series 2019 A, 5.5% 11/15/49 | | 945,000 | 711,276 |
| South Broward Hosp. District Rev.: | | | |
| Series 2018, 4% 5/1/48 | | 875,000 | 810,117 |
| Series 2021 A: | | | |
3% 5/1/51 | | 2,100,000 | 1,459,055 |
3% 5/1/51 (Build America Mutual Assurance Insured) | | 1,500,000 | 1,091,926 |
| South Florida Wtr. Mgmt. District Ctfs. of Prtn. Series 2015: | | | |
| 5% 10/1/27 | | 30,000 | 31,372 |
| 5% 10/1/28 | | 225,000 | 235,339 |
| 5% 10/1/29 | | 605,000 | 632,245 |
| 5% 10/1/30 | | 110,000 | 114,676 |
| 5% 10/1/32 | | 950,000 | 989,302 |
| South Miami Health Facilities Auth. Hosp. Rev.: | | | |
| (Baptist Med. Ctr., FL. Proj.) Series 2017: | | | |
4% 8/15/33 | | 305,000 | 308,759 |
5% 8/15/26 | | 415,000 | 433,312 |
5% 8/15/27 | | 270,000 | 287,047 |
5% 8/15/28 | | 285,000 | 303,672 |
5% 8/15/29 | | 85,000 | 89,781 |
5% 8/15/30 | | 395,000 | 415,642 |
5% 8/15/31 | | 380,000 | 398,892 |
5% 8/15/32 | | 505,000 | 529,320 |
5% 8/15/34 | | 790,000 | 825,905 |
5% 8/15/35 | | 565,000 | 588,667 |
5% 8/15/37 | | 280,000 | 288,826 |
5% 8/15/42 | | 4,240,000 | 4,318,236 |
5% 8/15/47 | | 1,480,000 | 1,495,738 |
| Series 2017, 4% 8/15/47 | | 5,960,000 | 5,413,740 |
| St. Johns County Indl. Dev. Auth. (Vicars Landing Proj.) Series 2021 A: | | | |
| 4% 12/15/27 | | 20,000 | 18,887 |
| 4% 12/15/28 | | 20,000 | 18,688 |
| 4% 12/15/29 | | 20,000 | 18,516 |
| 4% 12/15/30 | | 20,000 | 18,292 |
| 4% 12/15/31 | | 20,000 | 18,097 |
| 4% 12/15/36 | | 100,000 | 83,454 |
| 4% 12/15/41 | | 75,000 | 57,575 |
| 4% 12/15/46 | | 75,000 | 54,036 |
| 4% 12/15/50 | | 70,000 | 48,599 |
| St. Johns County School Board (School Board of St. Johns County, Florida Master Lease Prog.) Series 2019 A, 5% 7/1/24 | | 50,000 | 50,488 |
| Sterling Hill Cmnty. Dev. District Series 2003 B, 5.5% (j) | | 9,503 | 4,466 |
| Sumter County Indl. Dev. Auth. Hosp. Rev.: | | | |
| (Central Florida Health Alliance Projs.) Series 2014 A: | | | |
5.125% 7/1/34 | | 100,000 | 100,093 |
5.25% 7/1/44 | | 310,000 | 310,140 |
| Series 2014 A: | | | |
5% 7/1/26 | | 50,000 | 50,053 |
5% 7/1/29 | | 45,000 | 45,040 |
| Tallahassee Health Facilities Rev.: | | | |
| (Tallahassee Memorial Healthcare, Inc. Proj.) Series 2016 A: | | | |
5% 12/1/29 | | 80,000 | 81,774 |
5% 12/1/36 | | 60,000 | 60,556 |
5% 12/1/41 | | 135,000 | 135,275 |
5% 12/1/55 | | 65,000 | 62,706 |
| Series 2015 A, 5% 12/1/40 | | 785,000 | 786,505 |
| Tampa Bay Wtr. Reg'l. Wtr. Supply Auth. Util. Sys. Rev.: | | | |
| Series 2015 A, 4% 10/1/28 | | 460,000 | 466,442 |
| Series 2022 A, 5.25% 10/1/57 | | 3,500,000 | 3,806,604 |
| Tampa Health Sys. Rev. Series 2016 A, 5% 11/15/46 | | 1,000,000 | 1,009,766 |
| Tampa Hosp. Rev.: | | | |
| (H. Lee Moffit Cancer Ctr. Proj.) Series 2020 B, 4% 7/1/38 | | 65,000 | 63,035 |
| (H. Lee Moffitt Cancer Ctr. Proj.): | | | |
Series 2016 B, 5% 7/1/37 | | 60,000 | 61,072 |
Series 2020 B: | | | |
4% 7/1/39 | | 65,000 | 62,470 |
4% 7/1/45 | | 4,150,000 | 3,882,787 |
5% 7/1/40 | | 45,000 | 47,027 |
5% 7/1/50 | | 3,180,000 | 3,260,059 |
| Tampa Non-Ad Valorem Impt. Rev. Series 2021 C, 3% 10/1/36 | | 500,000 | 460,464 |
| Tampa Rev. (The Univ. of Tampa Proj.) Series 2015: | | | |
| 5% 4/1/40 | | 350,000 | 352,836 |
| 5% 4/1/45 | | 860,000 | 864,774 |
| Tampa Sports Auth. Rev. Series 1995, 6.1% 10/1/26 | | 130,000 | 136,121 |
| Tampa Tax Allocation (H. Lee Moffitt Cancer Ctr. Proj.) Series 2020 A: | | | |
| 0% 9/1/34 | | 305,000 | 186,590 |
| 0% 9/1/35 | | 165,000 | 95,372 |
| 0% 9/1/36 | | 255,000 | 137,792 |
| 0% 9/1/37 | | 685,000 | 344,374 |
| 0% 9/1/38 | | 230,000 | 107,696 |
| 0% 9/1/39 | | 220,000 | 96,322 |
| 0% 9/1/40 | | 290,000 | 119,334 |
| 0% 9/1/41 | | 165,000 | 63,768 |
| 0% 9/1/42 | | 165,000 | 59,665 |
| 0% 9/1/45 | | 120,000 | 36,011 |
| 0% 9/1/49 | | 1,835,000 | 428,224 |
| Tampa-Hillsborough County Expressway Auth. Rev. Series 2017, 5% 7/1/47 | | 4,425,000 | 4,518,151 |
| The Crossings at Fleming Island Cmnty. Dev. District Spl. Assessment Series 2014 A1, 4.5% 5/1/30 | | 50,000 | 49,210 |
| Viera Stewardship District Spl. Assessment Rev.: | | | |
| (Village 2 - Series 2021 Proj.) Series 2021, 4% 5/1/53 | | 290,000 | 209,998 |
| Series 2021, 3.125% 5/1/41 | | 100,000 | 72,608 |
| Series 2023, 5.5% 5/1/54 | | 1,300,000 | 1,251,680 |
| Village Cmnty. Dev. District: | | | |
| Series 2020, 3.5% 5/1/40 (Assured Guaranty Muni. Corp. Insured) | | 980,000 | 896,887 |
| Series 2022: | | | |
5.375% 5/1/42 | | 2,320,000 | 2,351,858 |
5.5% 5/1/53 | | 1,075,000 | 1,087,253 |
| Village Cmnty. Dev. District No. 15 Series 2023: | | | |
| 4.85% 5/1/38 (e) | | 100,000 | 98,770 |
| 5% 5/1/43 (e) | | 1,110,000 | 1,100,014 |
| 5.25% 5/1/54 (e) | | 2,490,000 | 2,471,169 |
| Volusia County Edl. Facilities Auth. Rev. (Embry-Riddle Aeronautical Univ., Inc. Proj.): | | | |
| Series 2017, 5% 10/15/47 | | 665,000 | 678,819 |
| Series 2020 A: | | | |
5% 10/15/44 | | 215,000 | 222,482 |
5% 10/15/49 | | 405,000 | 415,932 |
| Volusia County School Board Ctfs. of Prtn. (Florida Master Lease Prog.) Series 2016 A: | | | |
| 5% 8/1/29 (Build America Mutual Assurance Insured) | | 120,000 | 124,256 |
| 5% 8/1/31 (Build America Mutual Assurance Insured) | | 125,000 | 129,222 |
| 5% 8/1/32 (Build America Mutual Assurance Insured) | | 605,000 | 625,180 |
| West Palm Beach Cmnty. Redev. Agcy. Tax Increment Rev. Series 2019: | | | |
| 5% 3/1/34 | | 1,650,000 | 1,805,760 |
| 5% 3/1/35 | | 1,600,000 | 1,750,382 |
| Westview North Cmnty. Dev. Distf Series 2022, 6% 6/15/52 | | 500,000 | 502,304 |
| Westview South Cmnty. Dev. Distf (Assessment Area One - 2023 Proj. Area) Series 2023, 5.6% 5/1/53 | | 1,210,000 | 1,162,033 |
| Wildwood Util. Dependent District Series 2023, 5.5% 10/1/53 (Assured Guaranty Muni. Corp. Insured) | | 2,250,000 | 2,441,388 |
TOTAL FLORIDA | | | 386,005,709 |
| Georgia - 2.6% | | | |
| Atlanta Arpt. Passenger Facilities Charge Rev.: | | | |
| Series 2019 D: | | | |
4% 7/1/35 (d) | | 4,090,000 | 4,116,529 |
4% 7/1/37 (d) | | 850,000 | 838,310 |
4% 7/1/39 (d) | | 1,065,000 | 1,037,684 |
| Series 2023 E: | | | |
5% 7/1/40 (d) | | 1,435,000 | 1,540,521 |
5.25% 7/1/41 (d) | | 4,400,000 | 4,793,241 |
5.25% 7/1/44 (d) | | 1,750,000 | 1,885,597 |
| Atlanta Arpt. Rev.: | | | |
| Series 2014 B, 5% 1/1/33 | | 740,000 | 740,820 |
| Series 2014 C: | | | |
5% 1/1/27 (d) | | 250,000 | 250,258 |
5% 1/1/28 (d) | | 250,000 | 250,258 |
5% 1/1/29 (d) | | 415,000 | 415,428 |
| Series 2019 B: | | | |
5% 7/1/25 (d) | | 330,000 | 337,731 |
5% 7/1/44 (d) | | 2,090,000 | 2,144,491 |
| Atlanta Dev. Auth. Rev. (New Downtown Atlanta Stadium Proj.) Series 2015 A1: | | | |
| 5.25% 7/1/40 | | 670,000 | 681,462 |
| 5.25% 7/1/44 | | 3,245,000 | 3,288,593 |
| Atlanta Dev. Auth. Sr. Health Care Facilities Current Interest Rev. (Georgia Proton Treatment Ctr. Proj.) Series 2017 A1: | | | |
| 6.5% 1/1/29 (h) | | 505,000 | 227,250 |
| 6.75% 1/1/35 (h) | | 2,745,000 | 1,235,250 |
| 7% 1/1/40 (h) | | 2,910,000 | 1,309,500 |
| Atlanta Gen. Oblig. Series 2022 A1, 5% 12/1/42 | | 3,025,000 | 3,325,449 |
| Atlanta Urban Redev. Agcy.: | | | |
| (Atlanta Beltine Trail Completion Proj.) Series 2021, 2.375% 7/1/26 (e) | | 140,000 | 134,054 |
| Series 2021 A: | | | |
2.875% 7/1/31 (e) | | 165,000 | 151,183 |
3.625% 7/1/42 (e) | | 590,000 | 521,921 |
| Series 2021, 3.875% 7/1/51 (e) | | 430,000 | 369,446 |
| Atlanta Wtr. & Wastewtr. Rev.: | | | |
| Series 2001, 5.5% 11/1/27 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | | 195,000 | 206,100 |
| Series 2015, 5% 11/1/29 | | 750,000 | 768,953 |
| Augusta Dev. Auth. Rev. (Wellstar Health Sys., Inc. Proj.) Series 2023 A: | | | |
| 5.125% 4/1/53 | | 2,345,000 | 2,466,427 |
| 5.125% 4/1/53 | | 2,500,000 | 2,664,848 |
| Bainbridge Combined Utils. Rev. Series 2021, 4% 12/1/51 | | 1,315,000 | 1,236,579 |
| Bibb County Dev. Auth. Rev.: | | | |
| (USG Real Estate Foundation IX, LLC Proj.) Series 2019, 4% 6/1/44 | | 180,000 | 168,341 |
| Series 2011 A, 5.75% 7/1/40 (Assured Guaranty Muni. Corp. Insured) | | 595,000 | 595,815 |
| Brookhaven Dev. Auth. Rev. Series 2019 A: | | | |
| 4% 7/1/44 | | 3,240,000 | 3,138,658 |
| 4% 7/1/49 | | 4,585,000 | 4,377,215 |
| Burke County Indl. Dev. Auth. Poll. Cont. Rev.: | | | |
| (Georgia Transmission Corp. Proj.) Series 2012, 2.75% 1/1/52 (b) | | 1,890,000 | 1,243,477 |
| Bonds: | | | |
(Georgia Pwr. Co. Plant Vogtle Proj.): | | | |
Series 1994, 2.15%, tender 6/13/24 (b) | | 410,000 | 403,955 |
Series 2013 1st, 2.925%, tender 3/12/24 (b) | | 4,420,000 | 4,395,789 |
(Oglethorpe Pwr. Corp. Vogtle Proj.) Series 2013 A, 1.5%, tender 2/3/25 (b) | | 2,125,000 | 2,029,755 |
| Cobb County Dev. Auth. Series 2015 C: | | | |
| 5% 7/15/30 | | 130,000 | 131,479 |
| 5% 7/15/30 (Pre-Refunded to 7/15/25 @ 100) | | 5,000 | 5,150 |
| 5% 7/15/33 | | 230,000 | 232,402 |
| 5% 7/15/33 (Pre-Refunded to 7/15/25 @ 100) | | 10,000 | 10,300 |
| Cobb County Kennestone Hosp. Auth. Rev. (Wellstar Health Sys., Inc. Proj.): | | | |
| Series 2020 A, 5% 4/1/50 | | 1,360,000 | 1,387,351 |
| Series 2020 B, 4% 4/1/36 | | 65,000 | 64,834 |
| Cobb-Marietta Coliseum & Exhibit Hall Auth. Rev. Series 1993, 5.625% 10/1/26 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | | 105,000 | 109,057 |
| Columbia County Hosp. Auth. Rev. (Wellstar Health Sys., Inc. Proj.) Series 2023 A, 5.75% 4/1/53 | | 1,530,000 | 1,700,100 |
| Columbus Med. Ctr. Hosp. Auth. Bonds (Piedmont Healthcare, Inc. Proj.) Series 2019 B, 5%, tender 7/1/29 (b) | | 1,200,000 | 1,288,505 |
| Coweta County Dev. Auth. Rev. (Piedmont Healthcare, Inc. Proj.) Series 2019 A, 5% 7/1/44 | | 4,210,000 | 4,326,249 |
| Dalton Whitfield County Joint Dev. Auth. Rev. Series 2017, 4% 8/15/48 | | 1,000,000 | 920,054 |
| DeKalb Private Hosp. Auth. Rev. Series 2019 B, 5% 7/1/35 | | 75,000 | 82,119 |
| Fayette County Hosp. Auth. Rev. Bonds (Piedmont Healthcare, Inc. Proj.) Series 2019 A, 5%, tender 7/1/24 (b) | | 685,000 | 685,665 |
| Fulton County Dev. Auth. (Robert W. Woodruff Arts Ctr., Inc. Proj.) Series 2015 A, 5% 3/15/36 | | 775,000 | 795,952 |
| Fulton County Dev. Auth. Hosp. Rev. (Wellstar Health Sys., Inc. Proj.): | | | |
| Series 2017 A: | | | |
5% 4/1/42 | | 1,455,000 | 1,477,675 |
5% 4/1/47 | | 5,500,000 | 5,555,411 |
| Series 2020 A, 4% 4/1/50 | | 1,510,000 | 1,372,796 |
| Fulton County Dev. Auth. Rev.: | | | |
| (Robert W. Woodruff Arts Ctr., Inc. Proj.) Series 2019 A, 5% 3/15/44 | | 1,085,000 | 1,127,439 |
| Series 2019 C, 5% 7/1/38 | | 70,000 | 75,015 |
| Series 2019, 4% 6/15/49 | | 340,000 | 320,633 |
| Fulton County Residential Care Facilities: | | | |
| (Canterbury Court Proj.): | | | |
Series 2019 A: | | | |
5% 4/1/47 (e) | | 335,000 | 279,610 |
5% 4/1/54 (e) | | 535,000 | 430,427 |
Series 2021 A: | | | |
4% 4/1/41 (e) | | 420,000 | 325,303 |
4% 4/1/51 (e) | | 1,195,000 | 821,099 |
| (Lenbrook Square Foundation, Inc. Proj.) Series 2016, 5% 7/1/36 | | 500,000 | 487,681 |
| (Lenbrook Square Foundation, INC. Proj.) Series 2016, 5% 7/1/42 | | 1,395,000 | 1,283,934 |
| Gainesville & Hall County Dev. Auth. Retirement Cmnty. Rev. Series 2016, 5% 11/15/33 | | 590,000 | 597,718 |
| Gainesville & Hall County Hosp. Auth. Rev.: | | | |
| (Northeast Georgia Health Sys., Inc. Proj.): | | | |
Series 2014 A: | | | |
5.25% 8/15/49 (Pre-Refunded to 2/15/25 @ 100) | | 3,245,000 | 3,328,599 |
5.5% 8/15/54 (Pre-Refunded to 2/15/25 @ 100) | | 900,000 | 925,810 |
Series 2017 A: | | | |
5% 2/15/42 | | 850,000 | 865,045 |
5% 2/15/45 | | 1,065,000 | 1,079,866 |
Series 2017 B, 5.5% 2/15/42 | | 3,030,000 | 3,176,432 |
| (Northeast Georgia health Sys., INC. Proj.) Series 2021 A, 2.5% 2/15/51 | | 1,500,000 | 937,400 |
| Series 2020 A, 3% 2/15/47 | | 5,845,000 | 4,341,814 |
| Series 2021 A, 4% 2/15/51 | | 1,000,000 | 910,145 |
| Georgia Gen. Oblig.: | | | |
| Series 2017 C, 5% 7/1/25 | | 2,100,000 | 2,167,797 |
| Series 2023 A, 4% 7/1/42 | | 2,250,000 | 2,296,336 |
| Georgia Higher Ed. Facilities Auth. Rev.: | | | |
| (USG Real Estate Foundation II, LLC Projs.) Series 2019, 5% 6/15/34 | | 265,000 | 286,933 |
| (USG Real Estate Roundation II, LLC Projs.) Series 2019, 5% 6/15/35 | | 240,000 | 259,015 |
| Georgia Hsg. & Fin. Auth. Rev.: | | | |
| Series 2014 A1, 4% 6/1/44 | | 15,000 | 15,000 |
| Series 2017 A, 4% 12/1/47 | | 225,000 | 223,948 |
| Georgia Muni. Elec. Auth. Pwr. Rev.: | | | |
| Series 1994 EE, 7.25% 1/1/24 (AMBAC Insured) | | 120,000 | 120,322 |
| Series 2016 A, 5% 1/1/30 | | 1,950,000 | 2,030,464 |
| Series 2018 A: | | | |
5% 1/1/26 | | 205,000 | 211,465 |
5% 1/1/27 | | 375,000 | 394,048 |
5% 1/1/28 | | 105,000 | 111,820 |
| Series 2018 HH: | | | |
5% 1/1/26 | | 1,070,000 | 1,103,746 |
5% 1/1/27 | | 605,000 | 633,923 |
5% 1/1/28 | | 630,000 | 670,922 |
5% 1/1/44 | | 500,000 | 507,972 |
| Series 2019 A: | | | |
4% 1/1/49 | | 1,460,000 | 1,347,761 |
4% 1/1/49 (Build America Mutual Assurance Insured) | | 550,000 | 522,907 |
5% 1/1/26 | | 80,000 | 82,523 |
5% 1/1/30 | | 50,000 | 53,617 |
5% 1/1/32 | | 50,000 | 53,236 |
5% 1/1/34 | | 105,000 | 111,624 |
5% 1/1/35 | | 50,000 | 53,038 |
5% 1/1/36 | | 65,000 | 68,666 |
5% 1/1/37 | | 60,000 | 62,954 |
5% 1/1/38 | | 65,000 | 67,551 |
5% 1/1/39 | | 2,500,000 | 2,563,940 |
5% 1/1/39 | | 80,000 | 82,725 |
5% 1/1/44 | | 265,000 | 270,150 |
5% 1/1/49 | | 3,720,000 | 3,752,595 |
5% 1/1/56 | | 400,000 | 403,591 |
5% 1/1/56 | | 410,000 | 413,514 |
| Series 2019 B, 4% 1/1/49 | | 1,950,000 | 1,853,944 |
| Series 2019 B2, 4% 1/1/49 | | 1,395,000 | 1,240,228 |
| Series 2020 A: | | | |
5% 1/1/45 | | 470,000 | 488,316 |
5% 1/1/50 | | 540,000 | 553,294 |
| Series 2021 A: | | | |
4% 1/1/35 (Assured Guaranty Muni. Corp. Insured) | | 775,000 | 794,914 |
4% 1/1/37 (Assured Guaranty Muni. Corp. Insured) | | 465,000 | 475,060 |
4% 1/1/39 (Assured Guaranty Muni. Corp. Insured) | | 705,000 | 709,286 |
4% 1/1/39 (Assured Guaranty Muni. Corp. Insured) | | 430,000 | 432,614 |
4% 1/1/40 (Assured Guaranty Muni. Corp. Insured) | | 500,000 | 501,465 |
4% 1/1/41 (Assured Guaranty Muni. Corp. Insured) | | 360,000 | 359,947 |
4% 1/1/46 (Assured Guaranty Muni. Corp. Insured) | | 255,000 | 246,117 |
4% 1/1/46 (Assured Guaranty Muni. Corp. Insured) | | 160,000 | 154,426 |
4% 1/1/51 | | 240,000 | 219,895 |
4% 1/1/51 | | 240,000 | 219,895 |
5% 1/1/31 (Assured Guaranty Muni. Corp. Insured) | | 365,000 | 399,352 |
5% 1/1/33 (Assured Guaranty Muni. Corp. Insured) | | 705,000 | 770,183 |
5% 1/1/33 (Assured Guaranty Muni. Corp. Insured) | | 415,000 | 453,370 |
5% 1/1/34 (Assured Guaranty Muni. Corp. Insured) | | 625,000 | 682,062 |
5% 1/1/34 (Assured Guaranty Muni. Corp. Insured) | | 440,000 | 480,172 |
5% 1/1/56 | | 480,000 | 485,285 |
5% 1/1/62 (Assured Guaranty Muni. Corp. Insured) | | 575,000 | 586,186 |
| Series 2023 A: | | | |
5% 7/1/48 (Assured Guaranty Muni. Corp. Insured) | | 1,700,000 | 1,756,398 |
5% 7/1/64 (Assured Guaranty Muni. Corp. Insured) | | 1,125,000 | 1,147,305 |
5.25% 7/1/64 | | 1,800,000 | 1,875,324 |
5.5% 7/1/64 | | 1,990,000 | 2,062,048 |
| Series GG, 5% 1/1/26 | | 650,000 | 650,474 |
| Georgia Port Auth. Rev. Series 2022: | | | |
| 4% 7/1/47 | | 1,500,000 | 1,488,107 |
| 5% 7/1/47 | | 3,700,000 | 3,996,258 |
| 5.25% 7/1/39 | | 400,000 | 453,162 |
| 5.25% 7/1/52 | | 4,275,000 | 4,670,667 |
| Georgia Road & Thruway Auth. Rev.: | | | |
| Series 2020: | | | |
5% 6/1/31 | | 1,415,000 | 1,591,066 |
5% 6/1/32 | | 2,120,000 | 2,369,914 |
| Series 2021 A: | | | |
3% 7/15/49 | | 2,190,000 | 1,684,859 |
3% 7/15/50 | | 2,500,000 | 1,909,282 |
| Glynn-Brunswick Memorial Hosp. Auth. Rev.: | | | |
| (Southeast Georgia Health Sys. Proj.) Series 2017: | | | |
4% 8/1/43 | | 270,000 | 239,071 |
5% 8/1/39 | | 250,000 | 250,629 |
5% 8/1/43 | | 330,000 | 329,771 |
| (Southwest Georgia Health Sys. Proj.) Series 2020: | | | |
4% 8/1/35 | | 65,000 | 63,713 |
4% 8/1/36 | | 70,000 | 68,184 |
4% 8/1/37 | | 45,000 | 43,455 |
| Griffin-Spalding County Hosp. (Wellstar Health Sys., Inc. Proj.) Series 2017 A: | | | |
| 4% 4/1/42 | | 810,000 | 779,547 |
| 5% 4/1/37 | | 440,000 | 453,365 |
| Hosp. Auth. of Savannah Auth. Rev. Series 2019 A: | | | |
| 4% 7/1/35 | | 275,000 | 273,713 |
| 4% 7/1/36 | | 1,090,000 | 1,082,083 |
| 4% 7/1/39 | | 140,000 | 136,721 |
| 4% 7/1/43 | | 1,285,000 | 1,207,175 |
| Macon-Bibb County Urban Dev. Auh. Series 2017 A: | | | |
| 5% 6/15/27 (e) | | 30,000 | 30,016 |
| 5.75% 6/15/37 (e) | | 220,000 | 222,440 |
| 5.875% 6/15/47 (e) | | 350,000 | 350,201 |
| 6% 6/15/52 (e) | | 215,000 | 215,400 |
| Main Street Natural Gas, Inc.: | | | |
| Bonds: | | | |
Series 2018 C, 4%, tender 12/1/23 (b) | | 5,010,000 | 5,010,000 |
Series 2019 B, 4%, tender 12/2/24 (b) | | 2,690,000 | 2,684,197 |
Series 2019 C, 4%, tender 9/1/26 (b) | | 5,635,000 | 5,591,710 |
Series 2021 A, 4%, tender 9/1/27 (b) | | 46,345,000 | 46,110,754 |
Series 2021 C, 4%, tender 12/1/28 (b) | | 8,770,000 | 8,604,378 |
Series 2022 B, 5%, tender 6/1/29 (b) | | 3,825,000 | 3,931,038 |
Series 2022 E, 4%, tender 12/1/29 (b) | | 13,870,000 | 13,547,871 |
Series 2023 A, 5%, tender 6/1/30 (b) | | 5,500,000 | 5,678,847 |
Series 2023 C, 5%, tender 9/1/30 (b) | | 15,305,000 | 15,987,343 |
Series 2023 D, 5%, tender 12/1/30 (b) | | 13,250,000 | 13,700,605 |
Series 2023 E2, 5.264%, tender 6/1/31 (Liquidity Facility Royal Bank of Canada) (b) | | 1,500,000 | 1,511,267 |
| Series 2019 A: | | | |
4% 5/15/39 | | 250,000 | 232,850 |
5% 5/15/31 | | 2,410,000 | 2,501,312 |
5% 5/15/32 | | 740,000 | 767,516 |
5% 5/15/34 | | 730,000 | 755,491 |
5% 5/15/37 | | 375,000 | 393,961 |
5% 5/15/43 | | 865,000 | 876,696 |
5% 5/15/49 | | 1,250,000 | 1,261,316 |
| Main Street Natural Gas, Inc. Georgia Gas Proj. Rev. Series 2007 A: | | | |
| 5.5% 9/15/26 | | 2,590,000 | 2,675,867 |
| 5.5% 9/15/28 | | 370,000 | 391,699 |
| Marietta Dev. Auth. Rev.: | | | |
| (Life Univ., Inc. Proj.) Series 2017 A: | | | |
5% 11/1/27 (e) | | 485,000 | 477,887 |
5% 11/1/37 (e) | | 395,000 | 356,692 |
| (Life Univ., Inc. Proj.) Series 2017 A, 5% 11/1/47 (e) | | 1,550,000 | 1,302,660 |
| Monroe County Dev. Auth. Poll. Cont. Rev.: | | | |
| (Georgia Pwr. Co. Plant Scherer Proj.) Series 1995, 2.25% 7/1/25 | | 70,000 | 67,111 |
| Bonds (Oglethorpe Pwr. Corp. Scherer Proj.) Series 2013 A, 1.5%, tender 2/3/25 (b) | | 1,825,000 | 1,743,201 |
| Paulding County Hosp. Auth. Rev. Series 2022 A: | | | |
| 5% 4/1/26 | | 15,000 | 15,559 |
| 5% 4/1/27 | | 10,000 | 10,540 |
| 5% 4/1/28 | | 25,000 | 26,876 |
| 5% 4/1/29 | | 20,000 | 21,764 |
| 5% 4/1/30 | | 15,000 | 16,465 |
| 5% 4/1/31 | | 20,000 | 22,138 |
| 5% 4/1/32 | | 15,000 | 16,708 |
| Private Colleges & Univs. Auth. Rev.: | | | |
| (The Savannah College of Art & Design Projs.): | | | |
Series 2014, 5% 4/1/24 (Escrowed to Maturity) | | 610,000 | 613,624 |
Series 2021: | | | |
4% 4/1/37 | | 705,000 | 720,256 |
4% 4/1/38 | | 85,000 | 85,871 |
4% 4/1/40 | | 80,000 | 79,845 |
5% 4/1/27 | | 25,000 | 26,503 |
5% 4/1/30 | | 390,000 | 429,013 |
5% 4/1/31 | | 40,000 | 44,523 |
5% 4/1/36 | | 490,000 | 540,345 |
| Series 2016 B, 5% 10/1/38 | | 865,000 | 897,703 |
| Series 2020 B: | | | |
4% 9/1/37 | | 950,000 | 974,957 |
4% 9/1/38 | | 1,425,000 | 1,453,088 |
5% 9/1/25 | | 875,000 | 904,857 |
5% 9/1/33 | | 140,000 | 158,370 |
| Series A, 5% 6/1/24 | | 45,000 | 45,332 |
| World Congress Ctr. Auth. Convention Ctr. Hotel Second Tier Rev.: | | | |
| Series 2021 A: | | | |
2.375% 1/1/31 | | 390,000 | 337,699 |
4% 1/1/36 | | 1,330,000 | 1,286,861 |
4% 1/1/54 | | 7,110,000 | 5,896,110 |
| Series 2021 B: | | | |
3.625% 1/1/31 (e) | | 505,000 | 446,879 |
5% 1/1/36 (e) | | 710,000 | 676,668 |
5% 1/1/54 (e) | | 4,145,000 | 3,437,181 |
TOTAL GEORGIA | | | 314,548,423 |
| Guam - 0.1% | | | |
| Guam Dept. of Ed. (John F. Kennedy High School Rfdg. And Energy Efficiency Proj.) Series 2020 A, 5% 2/1/40 | | 300,000 | 293,320 |
| Guam Govt. Bus. Privilege Tax Rev.: | | | |
| Series 2015 D: | | | |
5% 11/15/34 | | 350,000 | 352,914 |
5% 11/15/35 | | 400,000 | 402,704 |
| Series 2021 F: | | | |
4% 1/1/42 | | 805,000 | 729,382 |
5% 1/1/29 | | 240,000 | 252,328 |
5% 1/1/30 | | 195,000 | 205,807 |
5% 1/1/31 | | 215,000 | 227,744 |
| Series 2021, 4% 1/1/36 | | 2,215,000 | 2,159,416 |
| Guam Int'l. Arpt. Auth. Rev.: | | | |
| Series 2021 A: | | | |
3.839% 10/1/36 | | 180,000 | 139,082 |
4.46% 10/1/43 | | 205,000 | 147,829 |
| Series 2023 A: | | | |
5.25% 10/1/30 (d) | | 1,500,000 | 1,527,890 |
5.375% 10/1/40 (d) | | 525,000 | 507,485 |
| Guam Pwr. Auth. Rev. Series 2022 A: | | | |
| 5% 10/1/38 | | 1,000,000 | 1,044,625 |
| 5% 10/1/43 | | 200,000 | 204,352 |
| 5% 10/1/44 | | 1,350,000 | 1,373,444 |
| Guam Wtrwks. Auth. Wtr. and Wastewtr. Sys. Rev.: | | | |
| Series 2016, 5% 1/1/46 | | 750,000 | 754,205 |
| Series 2020 A, 5% 1/1/50 | | 1,290,000 | 1,295,834 |
| Port Auth. of Guam Port Rev. Series 2018 A, 5% 7/1/48 | | 350,000 | 352,843 |
TOTAL GUAM | | | 11,971,204 |
| Hawaii - 0.3% | | | |
| Hawaii Arpts. Sys. Rev.: | | | |
| Series 2018 A: | | | |
5% 7/1/29 (d) | | 155,000 | 164,777 |
5% 7/1/30 (d) | | 185,000 | 196,142 |
5% 7/1/31 (d) | | 175,000 | 185,429 |
5% 7/1/32 (d) | | 185,000 | 196,072 |
5% 7/1/33 (d) | | 185,000 | 196,103 |
5% 7/1/43 (d) | | 1,770,000 | 1,811,671 |
5% 7/1/48 (d) | | 10,030,000 | 10,193,793 |
| Series 2022 A: | | | |
4% 7/1/40 (d) | | 250,000 | 241,030 |
5% 7/1/47 (d) | | 1,000,000 | 1,037,204 |
| Hawaii Dept. of Budget & Fin. Spl. Purp. Rev.: | | | |
| Series 2013 A, 6.875% 7/1/43 (e) | | 400,000 | 400,135 |
| Series 2018, 6% 7/1/28 (e) | | 1,000,000 | 1,013,714 |
| Series 2019, 3.5% 10/1/49 (d) | | 1,900,000 | 1,502,288 |
| Hawaii Gen. Oblig.: | | | |
| Series 2016 FB, 4% 4/1/31 | | 1,100,000 | 1,118,569 |
| Series 2016 FH, 4% 10/1/30 | | 1,750,000 | 1,786,683 |
| Series 2017 FK, 4% 5/1/32 | | 700,000 | 714,974 |
| Series 2020 A, 4% 7/1/36 (d) | | 150,000 | 150,478 |
| Series 2020 C: | | | |
4% 7/1/37 | | 60,000 | 60,715 |
4% 7/1/38 | | 70,000 | 70,260 |
4% 7/1/40 | | 60,000 | 59,106 |
| Series FG, 5% 10/1/27 | | 65,000 | 68,549 |
| Honolulu City & County Gen. Oblig.: | | | |
| (Honolulu Rail Transit Proj.) Series 2020 B, 5% 3/1/29 | | 4,975,000 | 5,527,597 |
| (Honolulu Rail transit Proj.) Series 2023 D, 5% 3/1/26 | | 210,000 | 219,528 |
| Series 2015 C, 4% 10/1/32 | | 480,000 | 484,626 |
| Series 2016 C, 4% 10/1/31 | | 720,000 | 734,611 |
| Series 2019 A, 5% 9/1/24 | | 50,000 | 50,704 |
| Series 2022 A: | | | |
5% 11/1/24 | | 605,000 | 615,504 |
5% 11/1/25 | | 270,000 | 280,252 |
| Honolulu City and County Wastewtr. Sys. Series 2015 B, 4% 7/1/29 | | 1,550,000 | 1,566,571 |
| Kauai County Hawaii Cmnty. Facilities D: | | | |
| (Kukui'ula Dev. Proj.) Series 2019 1, 5% 5/15/49 | | 250,000 | 241,953 |
| Series 2022: | | | |
4.375% 5/15/42 | | 250,000 | 220,031 |
5% 5/15/51 | | 550,000 | 535,567 |
TOTAL HAWAII | | | 31,644,636 |
| Idaho - 0.2% | | | |
| Idaho Health Facilities Auth. Rev.: | | | |
| (St. Luke's Health Sys. Proj.): | | | |
Series 2014 A, 5% 3/1/39 | | 2,575,000 | 2,575,623 |
Series 2021 A, 3% 3/1/51 | | 250,000 | 175,994 |
| Series 2015 ID: | | | |
5% 12/1/24 | | 30,000 | 30,472 |
5.5% 12/1/27 | | 180,000 | 185,891 |
| Idaho Hsg. & Fin. Assn Sales Tax Series 2023 A, 5.25% 8/15/48 | | 8,900,000 | 9,824,658 |
| Idaho Hsg. & Fin. Assoc. Single Family Mtg.: | | | |
| (Idaho St Garvee Proj.) Series 2017 A: | | | |
5% 7/15/24 | | 40,000 | 40,418 |
5% 7/15/25 | | 40,000 | 41,166 |
5% 7/15/26 | | 30,000 | 31,559 |
| Series 2019 A, 4% 1/1/50 | | 975,000 | 967,522 |
| Series 2021 A: | | | |
5% 7/15/29 | | 190,000 | 210,040 |
5% 7/15/30 | | 65,000 | 72,655 |
5% 7/15/31 | | 40,000 | 45,187 |
5% 7/15/32 | | 80,000 | 90,509 |
| Series 2023 C: | | | |
4.75% 7/1/48 | | 1,000,000 | 1,015,149 |
4.8% 7/1/53 | | 1,000,000 | 1,010,740 |
| Idaho Hsg. and Fin. Assoc.: | | | |
| (Gem Prep: Meridian Proj.) Series 2022 A, 4% 5/1/57 | | 300,000 | 240,081 |
| (White Pine Charter School Proj.) Series 2023 A, 5.75% 5/1/48 | | 525,000 | 548,466 |
| Pwr. County Idaho Indl. Dev. Corp. Solid Waste Disp. Rev. Series 1999, 6.45% 8/1/32 (d) | | 640,000 | 642,022 |
| Spring Valley Cmnty. Infrastructure District No. 1 Eagle Spl. Assessment Series 2021, 3.75% 9/1/51 (e) | | 3,027,000 | 2,310,715 |
TOTAL IDAHO | | | 20,058,867 |
| Illinois - 6.8% | | | |
| Bridgeview Fin. Corp. Series 2017 A, 5% 12/1/42 | | 350,000 | 333,073 |
| Bridgeview Gen. Oblig.: | | | |
| Series 2005, 5.14% 12/1/36 | | 1,960,000 | 1,702,435 |
| Series 2015 A, 5.625% 12/1/41 | | 250,000 | 247,324 |
| Carol Stream Park District Dupage County Series 2020 C, 3% 11/1/32 | | 265,000 | 251,267 |
| Champaign County Cmnty. Unit: | | | |
| Series 2019: | | | |
4% 6/1/26 | | 5,000 | 5,103 |
4% 6/1/27 | | 55,000 | 56,699 |
4% 6/1/28 | | 40,000 | 41,502 |
4% 6/1/29 | | 100,000 | 104,194 |
4% 6/1/30 | | 65,000 | 67,153 |
4% 6/1/31 | | 80,000 | 82,428 |
4% 6/1/34 | | 65,000 | 66,444 |
4% 6/1/35 | | 85,000 | 86,291 |
4% 6/1/36 | | 100,000 | 100,680 |
| Series 2020 A: | | | |
5% 1/1/29 | | 45,000 | 48,903 |
5% 1/1/30 | | 40,000 | 43,278 |
5% 1/1/31 | | 55,000 | 59,408 |
5% 1/1/33 | | 105,000 | 113,172 |
| Chicago Board of Ed.: | | | |
| Series 1998 B, 0% 12/1/30 | | 400,000 | 298,570 |
| Series 1998 B1: | | | |
0% 12/1/26 (FGIC Insured) | | 725,000 | 642,935 |
0% 12/1/27 (FGIC Insured) | | 2,180,000 | 1,858,720 |
0% 12/1/28 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | | 830,000 | 678,745 |
0% 12/1/29 (Assured Guaranty Muni. Corp. Insured) | | 1,995,000 | 1,573,315 |
| Series 1999 A: | | | |
0% 12/1/23 (FGIC Insured) | | 280,000 | 280,000 |
0% 12/1/26 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | | 2,750,000 | 2,438,720 |
0% 12/1/27 (FGIC Insured) | | 300,000 | 255,787 |
0% 12/1/28 (FGIC Insured) | | 2,110,000 | 1,725,485 |
0% 12/1/29 | | 700,000 | 546,878 |
0% 12/1/30 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | | 305,000 | 227,659 |
5.25% 12/1/23 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | | 740,000 | 740,000 |
5.5% 12/1/26 (Assured Guaranty Corp. Insured) (FGIC Insured) | | 500,000 | 524,457 |
| Series 2005 A: | | | |
5.5% 12/1/29 (AMBAC Insured) | | 165,000 | 173,911 |
5.5% 12/1/30 (AMBAC Insured) | | 120,000 | 127,373 |
5.5% 12/1/31 (AMBAC Insured) | | 330,000 | 352,133 |
| Series 2012 A, 5% 12/1/42 | | 2,605,000 | 2,486,423 |
| Series 2013 A, 5.5% 12/1/28 (AMBAC Insured) | | 245,000 | 256,722 |
| Series 2015 C: | | | |
5.25% 12/1/35 | | 130,000 | 130,268 |
5.25% 12/1/39 | | 260,000 | 256,895 |
| Series 2016 A, 7% 12/1/44 | | 605,000 | 624,450 |
| Series 2016 B, 6.5% 12/1/46 | | 40,000 | 41,259 |
| Series 2016: | | | |
5.75% 4/1/35 | | 1,670,000 | 1,749,900 |
6% 4/1/46 | | 8,945,000 | 9,224,522 |
| Series 2017 A, 7% 12/1/46 (e) | | 690,000 | 730,497 |
| Series 2017 B, 7% 12/1/42 (e) | | 400,000 | 425,461 |
| Series 2017 C: | | | |
5% 12/1/24 | | 805,000 | 809,036 |
5% 12/1/25 | | 560,000 | 567,511 |
5% 12/1/26 | | 65,000 | 66,264 |
5% 12/1/30 | | 310,000 | 314,437 |
| Series 2017 D: | | | |
5% 12/1/23 | | 360,000 | 360,000 |
5% 12/1/24 | | 215,000 | 216,078 |
5% 12/1/31 | | 475,000 | 481,575 |
| Series 2017 G: | | | |
5% 12/1/34 | | 450,000 | 455,084 |
5% 12/1/44 | | 600,000 | 572,713 |
| Series 2017 H: | | | |
5% 12/1/36 | | 1,170,000 | 1,172,998 |
5% 12/1/46 | | 1,020,000 | 961,890 |
| Series 2017: | | | |
5% 4/1/36 | | 215,000 | 218,467 |
5% 4/1/37 | | 210,000 | 212,457 |
5% 4/1/42 | | 655,000 | 653,014 |
5% 4/1/46 | | 1,200,000 | 1,173,868 |
| Series 2018 A: | | | |
5% 12/1/24 (Assured Guaranty Muni. Corp. Insured) | | 295,000 | 298,232 |
5% 12/1/25 | | 70,000 | 70,939 |
5% 12/1/26 | | 70,000 | 71,381 |
5% 12/1/27 (Assured Guaranty Muni. Corp. Insured) | | 1,250,000 | 1,308,161 |
5% 12/1/28 | | 575,000 | 593,817 |
5% 12/1/29 | | 250,000 | 256,093 |
5% 12/1/30 | | 835,000 | 852,354 |
5% 12/1/32 | | 100,000 | 101,914 |
5% 12/1/34 (Assured Guaranty Muni. Corp. Insured) | | 100,000 | 103,483 |
5% 12/1/35 | | 70,000 | 70,783 |
5% 12/1/35 (Assured Guaranty Muni. Corp. Insured) | | 100,000 | 103,091 |
| Series 2018 C: | | | |
5% 12/1/24 | | 100,000 | 100,501 |
5% 12/1/25 | | 580,000 | 587,779 |
5% 12/1/32 (Assured Guaranty Muni. Corp. Insured) | | 2,500,000 | 2,596,559 |
5% 12/1/46 | | 6,035,000 | 5,734,473 |
| Series 2018: | | | |
5% 4/1/38 | | 290,000 | 292,616 |
5% 4/1/42 | | 1,060,000 | 1,059,219 |
5% 4/1/46 | | 350,000 | 343,268 |
| Series 2019 A: | | | |
5% 12/1/23 | | 140,000 | 140,000 |
5% 12/1/25 | | 140,000 | 141,878 |
5% 12/1/26 | | 115,000 | 117,237 |
5% 12/1/28 | | 405,000 | 418,254 |
5% 12/1/29 | | 175,000 | 181,533 |
5% 12/1/30 | | 1,040,000 | 1,068,544 |
5% 12/1/31 | | 465,000 | 476,465 |
5% 12/1/33 | | 1,090,000 | 1,114,388 |
| Series 2021 A: | | | |
5% 12/1/35 | | 2,500,000 | 2,555,633 |
5% 12/1/36 | | 195,000 | 197,567 |
5% 12/1/37 | | 750,000 | 753,427 |
5% 12/1/38 | | 250,000 | 249,970 |
5% 12/1/39 | | 2,690,000 | 2,671,502 |
5% 12/1/40 | | 2,015,000 | 1,987,401 |
| Series 2021 B: | | | |
5% 12/1/31 | | 350,000 | 361,392 |
5% 12/1/36 | | 615,000 | 623,096 |
| Series 2022 A: | | | |
4% 12/1/47 | | 3,985,000 | 3,258,482 |
5% 12/1/43 | | 7,015,000 | 6,802,724 |
5% 12/1/47 | | 5,685,000 | 5,420,769 |
| Series 2022 B: | | | |
4% 12/1/35 | | 1,535,000 | 1,449,713 |
4% 12/1/36 | | 2,880,000 | 2,664,840 |
4% 12/1/38 | | 475,000 | 424,007 |
4% 12/1/39 | | 1,000,000 | 881,717 |
4% 12/1/40 | | 265,000 | 231,472 |
4% 12/1/41 | | 1,965,000 | 1,704,240 |
| Series 2023 A: | | | |
5.875% 12/1/47 | | 2,135,000 | 2,237,713 |
6% 12/1/49 | | 1,705,000 | 1,799,362 |
| Series 2023: | | | |
5% 4/1/45 | | 745,000 | 761,669 |
5.75% 4/1/48 | | 8,195,000 | 8,786,863 |
| Chicago Gen. Oblig.: | | | |
| (Cap. Impt. Proj.) Series 1999, 0% 1/1/27 (Escrowed to Maturity) | | 1,790,000 | 1,625,483 |
| (City Colleges Proj.) Series 1999, 0% 1/1/26 (Escrowed to Maturity) | | 2,065,000 | 1,930,144 |
| Series 2005 D, 5.5% 1/1/40 | | 1,690,000 | 1,697,349 |
| Series 2007 E, 5.5% 1/1/35 | | 210,000 | 210,989 |
| Series 2013 A, 5.5% 1/1/33 | | 195,000 | 196,162 |
| Series 2014 A, 5% 1/1/35 | | 250,000 | 250,268 |
| Series 2014, 5.25% 1/1/29 | | 335,000 | 335,420 |
| Series 2015 C: | | | |
5% 1/1/25 | | 340,000 | 343,913 |
5% 1/1/38 | | 500,000 | 498,897 |
| Series 2017 A: | | | |
5.625% 1/1/31 | | 60,000 | 62,456 |
5.75% 1/1/34 | | 300,000 | 313,126 |
6% 1/1/38 | | 1,000,000 | 1,048,835 |
6% 1/1/38 | | 12,450,000 | 12,955,848 |
| Series 2019 A: | | | |
5% 1/1/39 | | 920,000 | 937,458 |
5% 1/1/40 | | 790,000 | 802,904 |
5% 1/1/44 | | 5,450,000 | 5,488,617 |
5.5% 1/1/35 | | 3,065,000 | 3,264,672 |
5.5% 1/1/49 | | 6,280,000 | 6,421,065 |
| Series 2020 A: | | | |
5% 1/1/26 | | 230,000 | 235,011 |
5% 1/1/27 | | 1,485,000 | 1,535,719 |
5% 1/1/28 | | 2,830,000 | 2,952,966 |
5% 1/1/29 | | 2,310,000 | 2,430,807 |
5% 1/1/30 | | 4,310,000 | 4,570,177 |
5% 1/1/32 | | 85,000 | 89,308 |
| Series 2021 A: | | | |
4% 1/1/35 | | 530,000 | 511,984 |
5% 1/1/31 | | 95,000 | 101,443 |
5% 1/1/32 | | 5,245,000 | 5,598,571 |
5% 1/1/33 | | 990,000 | 1,053,570 |
5% 1/1/34 | | 705,000 | 751,170 |
| Series 2021 B: | | | |
4% 1/1/32 | | 82,000 | 80,896 |
4% 1/1/37 | | 250,000 | 232,657 |
4% 1/1/38 | | 110,000 | 101,877 |
| Series 2023 A: | | | |
5.25% 1/1/38 | | 10,840,000 | 11,404,528 |
5.5% 1/1/39 | | 1,630,000 | 1,735,198 |
5.5% 1/1/40 | | 600,000 | 636,293 |
5.5% 1/1/41 | | 6,235,000 | 6,512,335 |
5.5% 1/1/43 | | 955,000 | 992,166 |
| Chicago Heights Ill Series 2018 B, 5.25% 12/1/34 | | 250,000 | 273,242 |
| Chicago Metropolitan Wtr. Reclamation District of Greater Chicago: | | | |
| Series 2014 A, 5% 12/1/44 (Pre-Refunded to 12/1/24 @ 100) | | 2,650,000 | 2,698,452 |
| Series 2014 B, 5% 12/1/39 (Pre-Refunded to 12/1/24 @ 100) | | 2,435,000 | 2,477,130 |
| Chicago Midway Arpt. Rev.: | | | |
| Series 2013 A, 5.5% 1/1/29 (d) | | 565,000 | 566,340 |
| Series 2013 B, 5% 1/1/25 | | 40,000 | 40,096 |
| Series 2014 A: | | | |
5% 1/1/31 (d) | | 250,000 | 250,013 |
5% 1/1/31 (d) | | 325,000 | 325,066 |
5% 1/1/33 (d) | | 1,715,000 | 1,715,077 |
5% 1/1/34 (d) | | 1,025,000 | 1,025,038 |
| Series 2016 A: | | | |
4% 1/1/33 (d) | | 905,000 | 908,969 |
5% 1/1/28 (d) | | 245,000 | 249,662 |
| Series 2016 B: | | | |
4% 1/1/35 | | 235,000 | 236,176 |
5% 1/1/36 | | 495,000 | 505,066 |
5% 1/1/37 | | 625,000 | 635,813 |
5% 1/1/46 | | 660,000 | 667,951 |
| Series 2023, 5.75% 1/1/48 (Build America Mutual Assurance Insured) (d) | | 1,025,000 | 1,127,640 |
| Chicago Motor Fuel Tax Rev. Series 2013, 5% 1/1/33 (Pre-Refunded to 1/1/24 @ 100) | | 955,000 | 956,131 |
| Chicago O'Hare Int'l. Arpt. Rev.: | | | |
| Series 2012 A, 5% 1/1/30 | | 250,000 | 250,140 |
| Series 2015 A: | | | |
5% 1/1/27 (d) | | 1,475,000 | 1,485,530 |
5% 1/1/31 (d) | | 735,000 | 738,495 |
5% 1/1/34 (d) | | 1,975,000 | 1,982,152 |
| Series 2015 B: | | | |
5% 1/1/28 | | 635,000 | 643,380 |
5% 1/1/32 | | 65,000 | 65,817 |
| Series 2015 C: | | | |
5% 1/1/31 (d) | | 785,000 | 788,733 |
5% 1/1/32 (d) | | 800,000 | 803,682 |
5% 1/1/33 (d) | | 725,000 | 728,004 |
5% 1/1/46 (d) | | 2,975,000 | 2,979,059 |
| Series 2015 D, 5% 1/1/46 | | 240,000 | 240,876 |
| Series 2015: | | | |
5% 1/1/34 (d) | | 675,000 | 677,444 |
5% 1/1/35 (d) | | 120,000 | 120,424 |
| Series 2016 B: | | | |
5% 1/1/34 | | 900,000 | 926,092 |
5% 1/1/35 | | 540,000 | 555,123 |
5% 1/1/41 | | 360,000 | 365,433 |
| Series 2016 C: | | | |
5% 1/1/32 | | 265,000 | 272,866 |
5% 1/1/33 | | 405,000 | 416,906 |
5% 1/1/34 | | 470,000 | 483,626 |
5% 1/1/36 | | 1,500,000 | 1,539,232 |
| Series 2016 D, 5% 1/1/47 | | 3,420,000 | 3,481,021 |
| Series 2016 G: | | | |
5% 1/1/37 (d) | | 245,000 | 252,589 |
5% 1/1/42 (d) | | 245,000 | 249,234 |
5% 1/1/47 (d) | | 395,000 | 399,216 |
5% 1/1/52 (d) | | 365,000 | 367,924 |
5.25% 1/1/29 (d) | | 40,000 | 41,792 |
5.25% 1/1/31 (d) | | 50,000 | 52,160 |
| Series 2017 A, 5% 1/1/31 | | 430,000 | 453,023 |
| Series 2017 B: | | | |
5% 1/1/34 | | 85,000 | 89,375 |
5% 1/1/35 | | 395,000 | 414,756 |
5% 1/1/36 | | 90,000 | 94,201 |
5% 1/1/37 | | 1,395,000 | 1,452,574 |
5% 1/1/38 | | 125,000 | 129,260 |
| Series 2017 C: | | | |
5% 1/1/30 | | 75,000 | 79,048 |
5% 1/1/31 | | 75,000 | 79,016 |
5% 1/1/32 | | 80,000 | 84,248 |
| Series 2017 D: | | | |
5% 1/1/28 (d) | | 365,000 | 380,568 |
5% 1/1/29 (d) | | 305,000 | 318,087 |
5% 1/1/32 (d) | | 330,000 | 343,492 |
5% 1/1/34 (d) | | 495,000 | 514,737 |
5% 1/1/35 (d) | | 365,000 | 379,028 |
5% 1/1/36 (d) | | 450,000 | 465,945 |
5% 1/1/37 (d) | | 245,000 | 252,589 |
5% 1/1/52 (d) | | 500,000 | 504,006 |
| Series 2018 A: | | | |
4% 1/1/43 (d) | | 2,500,000 | 2,351,694 |
5% 1/1/37 (d) | | 3,565,000 | 3,740,544 |
5% 1/1/38 (d) | | 70,000 | 72,748 |
5% 1/1/39 (d) | | 2,415,000 | 2,501,708 |
5% 1/1/48 (d) | | 1,995,000 | 2,026,241 |
5% 1/1/53 (d) | | 690,000 | 698,347 |
| Series 2018 B: | | | |
5% 1/1/36 | | 145,000 | 155,812 |
5% 1/1/37 | | 210,000 | 223,822 |
5% 1/1/48 | | 735,000 | 753,185 |
5% 1/1/53 | | 90,000 | 91,658 |
| Series 2020 A: | | | |
4% 1/1/36 | | 2,500,000 | 2,558,488 |
4% 1/1/36 (Assured Guaranty Muni. Corp. Insured) | | 1,900,000 | 1,944,451 |
4% 1/1/37 | | 590,000 | 600,506 |
4% 1/1/38 | | 45,000 | 45,062 |
| Series 2022 A: | | | |
4.5% 1/1/48 (d) | | 4,235,000 | 4,149,899 |
4.625% 1/1/53 (d) | | 2,325,000 | 2,290,806 |
5.5% 1/1/53 (Assured Guaranty Muni. Corp. Insured) (d) | | 5,750,000 | 6,102,674 |
5.5% 1/1/55 (d) | | 740,000 | 788,154 |
| Series 2022 C: | | | |
5% 1/1/37 (d) | | 1,000,000 | 1,074,116 |
5% 1/1/38 (d) | | 1,000,000 | 1,058,917 |
5% 1/1/39 (d) | | 1,400,000 | 1,475,375 |
5% 1/1/41 (d) | | 2,000,000 | 2,091,678 |
| Series 2023: | | | |
5% 1/1/38 (Build America Mutual Assurance Insured) | | 785,000 | 842,748 |
5.25% 1/1/43 (Build America Mutual Assurance Insured) | | 605,000 | 649,904 |
| Chicago O'Hare Int'l. Arpt. Spl. Facilities Rev. Series 2018: | | | |
| 5% 7/1/33 (d) | | 155,000 | 159,873 |
| 5% 7/1/38 (d) | | 715,000 | 722,132 |
| 5% 7/1/48 (d) | | 5,175,000 | 5,174,959 |
| Chicago Park District Gen. Oblig. Series 2021 C, 4% 1/1/35 | | 890,000 | 899,265 |
| Chicago Transit Auth.: | | | |
| Series 2017: | | | |
5% 12/1/46 | | 1,105,000 | 1,121,085 |
5% 12/1/51 | | 2,370,000 | 2,376,417 |
| Series 2020 A: | | | |
4% 12/1/50 (Build America Mutual Assurance Insured) | | 1,635,000 | 1,496,481 |
4% 12/1/55 | | 1,035,000 | 909,205 |
5% 12/1/45 | | 2,165,000 | 2,228,894 |
5% 12/1/55 | | 360,000 | 366,366 |
| Series 2022 A: | | | |
4% 12/1/49 | | 1,205,000 | 1,097,552 |
5% 12/1/57 | | 2,115,000 | 2,115,229 |
| Chicago Transit Auth. Cap. Grant Receipts Rev. Series 2017: | | | |
| 5% 6/1/25 | | 75,000 | 76,512 |
| 5% 6/1/26 | | 120,000 | 124,199 |
| Chicago Wastewtr. Transmission Rev.: | | | |
| Series 2008 C: | | | |
5% 1/1/31 | | 415,000 | 419,609 |
5% 1/1/33 | | 140,000 | 141,691 |
5% 1/1/34 | | 140,000 | 141,514 |
5% 1/1/35 | | 140,000 | 141,502 |
5% 1/1/39 | | 690,000 | 691,402 |
| Series 2014: | | | |
5% 1/1/44 | | 1,850,000 | 1,850,523 |
5% 1/1/44 | | 1,445,000 | 1,445,342 |
| Series 2017 A: | | | |
5% 1/1/47 | | 385,000 | 388,620 |
5.25% 1/1/42 (Assured Guaranty Muni. Corp. Insured) | | 1,250,000 | 1,295,221 |
| Series 2017 B: | | | |
5% 1/1/30 | | 1,150,000 | 1,189,442 |
5% 1/1/36 | | 970,000 | 993,579 |
5% 1/1/38 | | 240,000 | 243,799 |
| Series 2023 A: | | | |
5.25% 1/1/53 (Assured Guaranty Muni. Corp. Insured) | | 1,750,000 | 1,872,456 |
5.25% 1/1/58 (Assured Guaranty Muni. Corp. Insured) | | 3,000,000 | 3,166,607 |
5.5% 1/1/62 | | 750,000 | 809,111 |
| Chicago Wtr. Rev.: | | | |
| Series 2004, 5% 11/1/25 | | 280,000 | 288,370 |
| Series 2012, 4% 11/1/37 | | 85,000 | 83,731 |
| Series 2014: | | | |
5% 11/1/39 | | 2,855,000 | 2,869,206 |
5% 11/1/44 | | 370,000 | 371,049 |
| Series 2016 A1, 5% 11/1/27 | | 190,000 | 198,200 |
| Series 2017 2: | | | |
5% 11/1/32 (Assured Guaranty Muni. Corp. Insured) | | 1,240,000 | 1,307,687 |
5% 11/1/33 (Assured Guaranty Muni. Corp. Insured) | | 1,450,000 | 1,531,415 |
5% 11/1/34 (Assured Guaranty Muni. Corp. Insured) | | 1,445,000 | 1,521,645 |
5% 11/1/37 (Assured Guaranty Muni. Corp. Insured) | | 575,000 | 600,417 |
| Series 2017: | | | |
5% 11/1/29 | | 240,000 | 253,154 |
5.25% 11/1/33 (Assured Guaranty Muni. Corp. Insured) | | 1,000,000 | 1,070,503 |
5.25% 11/1/35 (Assured Guaranty Muni. Corp. Insured) | | 750,000 | 798,486 |
| Series 2023 A, 5.25% 11/1/48 (Assured Guaranty Muni. Corp. Insured) | | 3,720,000 | 4,003,108 |
| Cook County Cmnty. College District Series 2017, 5% 12/1/47 | | 2,060,000 | 2,109,153 |
| Cook County Cmnty. Consolidated School District No. 59 Series 2020: | | | |
| 4% 3/1/24 | | 60,000 | 60,114 |
| 5% 3/1/25 | | 55,000 | 56,270 |
| 5% 3/1/28 | | 85,000 | 92,423 |
| Cook County Gen. Oblig.: | | | |
| Series 2016 A: | | | |
5% 11/15/26 | | 690,000 | 722,616 |
5% 11/15/27 | | 340,000 | 357,458 |
5% 11/15/28 | | 445,000 | 467,722 |
5% 11/15/29 | | 890,000 | 935,443 |
5% 11/15/30 | | 605,000 | 635,891 |
5% 11/15/31 | | 2,400,000 | 2,482,177 |
| Series 2021 A: | | | |
5% 11/15/31 | | 235,000 | 260,227 |
5% 11/15/32 | | 155,000 | 170,891 |
5% 11/15/33 | | 1,475,000 | 1,621,645 |
| Series 2021 B: | | | |
4% 11/15/25 | | 560,000 | 567,308 |
4% 11/15/26 | | 285,000 | 291,014 |
4% 11/15/27 | | 290,000 | 297,913 |
4% 11/15/28 | | 145,000 | 149,652 |
| Series 2022 A, 5% 11/15/24 | | 595,000 | 603,907 |
| Cook County Ill High School District # Series 2021 A: | | | |
| 2% 12/15/33 | | 205,000 | 168,857 |
| 2% 12/15/34 | | 215,000 | 174,088 |
| Cook County Ill Hsd 209 Proviso Series 2018 B, 4% 12/1/38 (Assured Guaranty Muni. Corp. Insured) | | 905,000 | 902,555 |
| Cook County Sales Tax Rev.: | | | |
| Series 2018, 4% 11/15/37 | | 750,000 | 754,399 |
| Series 2021 A: | | | |
4% 11/15/39 | | 295,000 | 290,446 |
4% 11/15/40 | | 665,000 | 653,494 |
4% 11/15/41 | | 905,000 | 880,275 |
| Series 2022 A, 5.25% 11/15/45 | | 1,150,000 | 1,232,022 |
| DuPage & Cook Counties Cmnty. Unit School District #205 Series 2020, 3% 1/1/37 | | 1,885,000 | 1,627,294 |
| Elk Grove Village Series 2017: | | | |
| 5% 1/1/34 | | 325,000 | 343,185 |
| 5% 1/1/36 | | 315,000 | 331,021 |
| Galesburg Rev. (Knox College Proj.) Series 2021 A, 4% 10/1/46 | | 300,000 | 251,689 |
| Grundy & Will Counties Cmnty. School Gen. Oblig. Series 2018: | | | |
| 5% 2/1/29 | | 35,000 | 36,954 |
| 5% 2/1/29 (Pre-Refunded to 2/1/27 @ 100) | | 5,000 | 5,317 |
| Illinois Dev. Fin. Auth. Envir. Facilities Rev. Series 2002, 8% 6/1/32 (d) | | 245,000 | 245,162 |
| Illinois Fin. Auth.: | | | |
| Series 2020 A: | | | |
3% 5/15/50 | | 4,750,000 | 3,364,481 |
3% 5/15/50 (Build America Mutual Assurance Insured) | | 2,195,000 | 1,527,205 |
3.25% 8/15/49 | | 3,985,000 | 2,908,332 |
4% 8/15/39 | | 930,000 | 917,960 |
4% 8/15/40 | | 500,000 | 489,783 |
4% 5/15/50 | | 5,570,000 | 4,898,605 |
5% 8/15/35 | | 480,000 | 525,212 |
| Series 2021 A: | | | |
2.25% 7/1/33 (d) | | 115,000 | 94,590 |
5.125% 11/1/55 (e) | | 680,000 | 550,328 |
| Series 2021 B, 7% 11/1/37 (e) | | 210,000 | 199,043 |
| Series 2021: | | | |
4% 10/1/33 | | 170,000 | 153,657 |
5% 10/1/31 | | 240,000 | 237,899 |
| Series 2022 A: | | | |
5% 8/15/47 | | 10,000,000 | 10,413,395 |
5% 8/15/51 | | 2,075,000 | 2,175,121 |
5% 8/15/52 | | 2,750,000 | 2,849,571 |
5.5% 10/1/42 | | 1,970,000 | 2,020,806 |
5.5% 10/1/47 | | 1,820,000 | 1,842,384 |
6.125% 5/15/35 | | 1,045,000 | 1,066,214 |
6.125% 5/15/36 | | 1,215,000 | 1,238,817 |
| Series 2022 B1, 6% 11/15/27 | | 650,000 | 650,055 |
| Series 2022: | | | |
5% 3/1/34 | | 90,000 | 91,300 |
5% 3/1/38 | | 110,000 | 106,679 |
5% 3/1/42 | | 70,000 | 66,290 |
5% 6/1/44 | | 500,000 | 524,897 |
5% 3/1/47 | | 125,000 | 115,729 |
5% 6/1/47 | | 375,000 | 390,046 |
5% 3/1/52 | | 110,000 | 99,447 |
| Series 2023 A: | | | |
5.25% 8/1/38 (e) | | 300,000 | 301,101 |
5.5% 8/1/43 (e) | | 360,000 | 361,846 |
| Illinois Fin. Auth. Academic Facilities (Provident Group UIUC Properties LLC Univ. of Illinois at Urbana-Champaign Proj.) Series 2019 A: | | | |
| 5% 10/1/27 | | 15,000 | 15,927 |
| 5% 10/1/28 | | 15,000 | 16,168 |
| 5% 10/1/31 | | 10,000 | 10,841 |
| 5% 10/1/32 | | 15,000 | 16,184 |
| 5% 10/1/33 | | 30,000 | 32,141 |
| 5% 10/1/35 | | 15,000 | 15,942 |
| 5% 10/1/36 | | 15,000 | 15,787 |
| 5% 10/1/37 | | 20,000 | 20,860 |
| 5% 10/1/38 | | 20,000 | 20,733 |
| 5% 10/1/39 | | 35,000 | 36,116 |
| 5% 10/1/44 | | 305,000 | 311,192 |
| 5% 10/1/49 | | 370,000 | 374,267 |
| 5% 10/1/51 | | 390,000 | 393,913 |
| Illinois Fin. Auth. Health Svcs. Facility Lease Rev. (Provident Group - UIC Surgery Ctr. LLC - Univ. of Illinois Health Svcs. Facility Proj.) Series 2020: | | | |
| 4% 10/1/50 | | 2,155,000 | 1,822,159 |
| 4% 10/1/55 | | 250,000 | 206,980 |
| Illinois Fin. Auth. Rev.: | | | |
| (Bradley Univ. Proj.) Series 2017 C: | | | |
5% 8/1/29 | | 150,000 | 155,884 |
5% 8/1/30 | | 110,000 | 114,036 |
5% 8/1/31 | | 130,000 | 134,615 |
5% 8/1/32 | | 150,000 | 155,097 |
| (Depaul Univ. Proj.): | | | |
Series 2016 A: | | | |
4% 10/1/34 | | 120,000 | 120,730 |
5% 10/1/29 | | 120,000 | 125,352 |
5% 10/1/30 | | 120,000 | 125,164 |
Series 2016 A: | | | |
4% 10/1/31 | | 85,000 | 85,611 |
5% 10/1/33 | | 85,000 | 88,291 |
| (Franciscan Cmntys. Proj.) Series 2017 A, 5% 5/15/37 | | 545,000 | 526,859 |
| (Franciscan Communitites Proj.) Series 2017 A, 5% 5/15/47 | | 220,000 | 195,018 |
| (Northwestern Memorial Hosp.,IL. Proj.) Series 2017 A: | | | |
5% 7/15/25 | | 65,000 | 66,823 |
5% 7/15/30 | | 85,000 | 91,197 |
| (OSF Healthcare Sys.) Series 2018 A: | | | |
4.125% 5/15/47 | | 4,755,000 | 4,425,239 |
5% 5/15/43 | | 5,635,000 | 5,765,678 |
| (Presence Health Proj.) Series 2016 C: | | | |
3.625% 2/15/32 | | 140,000 | 136,667 |
4% 2/15/33 | | 30,000 | 30,364 |
5% 2/15/29 | | 945,000 | 991,147 |
5% 2/15/36 | | 780,000 | 804,160 |
| (Rosalind Franklin Univ. Research Bldg. Proj.) Series 2017 C: | | | |
5% 8/1/46 | | 295,000 | 296,993 |
5% 8/1/49 | | 190,000 | 190,721 |
| (Rush Univ. Med. Ctr. Proj.) Series 2015 A, 5% 11/15/34 | | 125,000 | 126,307 |
| (The Admiral at the Lake Proj.) Series 2017: | | | |
5% 5/15/33 | | 1,000,000 | 906,470 |
5.125% 5/15/38 | | 1,550,000 | 1,305,864 |
5.25% 5/15/42 | | 280,000 | 223,751 |
5.25% 5/15/54 | | 1,690,000 | 1,221,284 |
| (Township High School District # 207 Proj.) Series 2019, 4% 12/1/37 | | 875,000 | 883,643 |
| Series 2008 A1, 4% 11/1/30 | | 785,000 | 794,125 |
| Series 2013: | | | |
5% 11/15/28 | | 350,000 | 350,235 |
5% 11/15/29 | | 170,000 | 170,122 |
| Series 2014 A, 4% 10/1/38 | | 1,500,000 | 1,500,145 |
| Series 2015 A: | | | |
5% 11/15/31 | | 195,000 | 198,652 |
5% 12/1/37 | | 350,000 | 351,089 |
| Series 2015 C: | | | |
4.125% 8/15/37 | | 105,000 | 98,702 |
5% 8/15/35 | | 705,000 | 714,289 |
5% 8/15/44 | | 5,030,000 | 5,065,909 |
| Series 2015: | | | |
5.25% 5/15/45 (Pre-Refunded to 5/15/25 @ 100) | | 170,000 | 175,127 |
5.25% 5/15/50 (Pre-Refunded to 5/15/25 @ 100) | | 455,000 | 468,722 |
6.125% 11/15/35 | | 415,000 | 415,998 |
6.375% 11/15/43 | | 565,000 | 565,637 |
| Series 2016 A: | | | |
5% 2/15/24 | | 55,000 | 55,167 |
5% 2/15/29 | | 625,000 | 649,140 |
5% 2/15/30 | | 660,000 | 686,235 |
5% 7/1/30 (Pre-Refunded to 7/1/26 @ 100) | | 85,000 | 89,361 |
5% 2/15/31 | | 535,000 | 556,355 |
5% 2/15/32 | | 515,000 | 535,395 |
5% 7/1/33 (Pre-Refunded to 7/1/26 @ 100) | | 185,000 | 194,491 |
5% 8/15/35 (Pre-Refunded to 8/15/26 @ 100) | | 65,000 | 68,079 |
5% 7/1/36 (Pre-Refunded to 7/1/26 @ 100) | | 400,000 | 420,521 |
5% 8/15/36 (Pre-Refunded to 8/15/26 @ 100) | | 245,000 | 256,606 |
5.25% 8/15/29 (Pre-Refunded to 8/15/26 @ 100) | | 55,000 | 57,958 |
5.25% 8/15/31 (Pre-Refunded to 8/15/26 @ 100) | | 75,000 | 79,034 |
| Series 2016 B: | | | |
4% 8/15/41 | | 250,000 | 242,517 |
5% 8/15/30 | | 170,000 | 178,777 |
5% 8/15/31 | | 895,000 | 939,610 |
5% 8/15/32 | | 735,000 | 769,042 |
5% 8/15/33 | | 255,000 | 266,107 |
5% 8/15/34 | | 1,050,000 | 1,095,175 |
5% 8/15/36 | | 1,275,000 | 1,319,691 |
| Series 2016 C: | | | |
3.75% 2/15/34 | | 215,000 | 210,359 |
4% 2/15/36 | | 925,000 | 931,113 |
4% 2/15/41 | | 7,465,000 | 7,248,343 |
5% 2/15/24 | | 5,000 | 5,016 |
5% 2/15/31 | | 3,685,000 | 3,851,269 |
5% 2/15/32 | | 535,000 | 558,407 |
5% 2/15/34 | | 555,000 | 577,300 |
5% 2/15/41 | | 870,000 | 885,641 |
| Series 2016: | | | |
4% 12/1/35 | | 25,000 | 24,941 |
5% 5/15/29 | | 150,000 | 154,825 |
5% 12/1/29 | | 270,000 | 278,587 |
5% 5/15/30 | | 320,000 | 329,432 |
5% 7/1/31 | | 1,350,000 | 1,396,117 |
5% 12/1/33 | | 285,000 | 292,350 |
5% 12/1/40 | | 140,000 | 141,780 |
5% 12/1/46 | | 6,040,000 | 6,094,181 |
| Series 2017 A: | | | |
4% 7/15/47 | | 3,705,000 | 3,473,944 |
5% 1/1/34 (Pre-Refunded to 1/1/27 @ 100) | | 490,000 | 519,459 |
5% 1/1/35 (Pre-Refunded to 1/1/27 @ 100) | | 490,000 | 519,459 |
5% 8/1/42 | | 210,000 | 212,491 |
5% 3/1/47 | | 2,135,000 | 2,157,475 |
5% 8/1/47 | | 245,000 | 246,346 |
| Series 2017: | | | |
5% 1/1/29 | | 405,000 | 430,263 |
5% 2/15/32 | | 160,000 | 159,563 |
5% 7/1/33 | | 190,000 | 201,331 |
5% 7/1/34 | | 835,000 | 883,691 |
5% 7/1/35 | | 170,000 | 179,507 |
5% 2/15/37 | | 300,000 | 81,000 |
5.125% 2/15/45 | | 300,000 | 81,000 |
5.25% 2/15/37 | | 115,000 | 114,450 |
| Series 2019 A, 3% 7/1/35 (d) | | 105,000 | 95,231 |
| Series 2019: | | | |
4% 9/1/35 | | 375,000 | 323,849 |
4% 9/1/37 | | 1,020,000 | 841,719 |
4% 9/1/39 | | 55,000 | 43,844 |
5% 9/1/30 | | 10,000 | 9,920 |
5% 9/1/38 | | 50,000 | 45,882 |
| Illinois Fin. Auth. Student Hsg. and Academic Facility Rev.: | | | |
| (CHF - Chicago, LLC - Univ. of Illinois At Chicago Proj.) Series 2017 A, 5% 2/15/28 | | 40,000 | 40,522 |
| (CHF - Chicago, LLC - Univ. of Illinois at Chicago Proj.) Series 2017 A, 5% 2/15/37 | | 100,000 | 99,706 |
| (CHF - Chicago, LLC - Univ. of Illinois At Chicago Proj.) Series 2017 A: | | | |
5% 2/15/47 | | 1,450,000 | 1,353,708 |
5% 2/15/50 | | 1,110,000 | 1,023,252 |
| Illinois Gen. Oblig.: | | | |
| Series 2006: | | | |
5.5% 1/1/28 | | 320,000 | 345,500 |
5.5% 1/1/31 | | 110,000 | 124,171 |
| Series 2010, 6.875% 7/1/25 | | 1,170,000 | 1,185,404 |
| Series 2014 February: | | | |
5.25% 2/1/33 | | 2,430,000 | 2,430,656 |
5.25% 2/1/34 | | 435,000 | 435,089 |
| Series 2014 May, 5% 5/1/34 | | 280,000 | 280,489 |
| Series 2014: | | | |
5% 2/1/25 | | 565,000 | 565,246 |
5% 2/1/26 | | 365,000 | 365,104 |
5% 2/1/27 | | 70,000 | 70,030 |
5% 4/1/28 | | 310,000 | 310,412 |
5% 5/1/28 | | 445,000 | 445,794 |
5% 5/1/29 | | 500,000 | 500,891 |
5% 5/1/32 | | 80,000 | 80,132 |
5% 5/1/33 | | 90,000 | 90,174 |
5% 5/1/36 | | 2,165,000 | 2,167,459 |
5% 2/1/39 | | 2,085,000 | 2,084,938 |
5.25% 2/1/29 | | 170,000 | 170,059 |
5.25% 2/1/30 | | 575,000 | 575,188 |
5.25% 2/1/31 | | 130,000 | 130,040 |
5.25% 2/1/32 | | 2,920,000 | 2,920,682 |
| Series 2016: | | | |
4% 6/1/41 | | 3,000,000 | 2,913,369 |
4.5% 11/1/39 | | 400,000 | 402,219 |
5% 2/1/25 | | 555,000 | 563,691 |
5% 2/1/26 | | 395,000 | 406,884 |
5% 6/1/26 | | 180,000 | 186,369 |
5% 2/1/27 | | 7,685,000 | 8,039,550 |
5% 1/1/28 | | 1,000,000 | 1,020,911 |
5% 2/1/28 | | 795,000 | 833,049 |
5% 11/1/28 | | 425,000 | 437,408 |
5% 2/1/29 | | 500,000 | 523,298 |
5% 1/1/33 | | 600,000 | 610,792 |
5% 11/1/33 | | 445,000 | 455,659 |
| Series 2017 A: | | | |
4.5% 12/1/41 | | 350,000 | 346,487 |
5% 12/1/23 | | 60,000 | 60,000 |
5% 12/1/26 | | 185,000 | 193,057 |
5% 12/1/34 | | 625,000 | 646,052 |
| Series 2017 B, 5% 12/1/27 | | 450,000 | 476,830 |
| Series 2017 C, 5% 11/1/29 | | 5,910,000 | 6,209,886 |
| Series 2017 D: | | | |
3.25% 11/1/26 | | 250,000 | 245,141 |
5% 11/1/24 | | 800,000 | 809,608 |
5% 11/1/25 | | 215,000 | 220,762 |
5% 11/1/26 | | 3,110,000 | 3,242,943 |
5% 11/1/27 | | 14,385,000 | 15,236,477 |
5% 11/1/28 | | 5,655,000 | 5,988,328 |
| Series 2018 A: | | | |
5% 10/1/24 | | 30,000 | 30,329 |
5% 10/1/25 | | 235,000 | 240,900 |
5% 10/1/26 | | 85,000 | 88,463 |
5% 10/1/28 | | 260,000 | 278,621 |
5% 10/1/29 | | 105,000 | 111,721 |
5% 10/1/30 | | 1,170,000 | 1,243,210 |
5% 10/1/31 | | 645,000 | 684,554 |
5% 5/1/39 | | 725,000 | 749,437 |
6% 5/1/27 | | 1,475,000 | 1,596,001 |
| Series 2018 B: | | | |
5% 10/1/26 | | 65,000 | 67,648 |
5% 10/1/31 | | 765,000 | 809,827 |
5% 10/1/32 | | 795,000 | 839,591 |
| Series 2019 A: | | | |
5% 11/1/27 | | 2,095,000 | 2,216,996 |
5% 11/1/28 | | 2,775,000 | 2,980,570 |
| Series 2019 B: | | | |
4% 11/1/33 | | 1,475,000 | 1,493,071 |
4% 11/1/38 | | 360,000 | 351,492 |
5% 9/1/24 | | 30,000 | 30,296 |
| Series 2019 C, 4% 11/1/41 | | 700,000 | 665,142 |
| Series 2020 B: | | | |
4% 10/1/32 | | 475,000 | 483,558 |
5% 10/1/28 | | 280,000 | 300,054 |
| Series 2020 C: | | | |
4% 10/1/41 | | 350,000 | 332,945 |
4% 10/1/42 | | 350,000 | 329,745 |
4.25% 10/1/45 | | 800,000 | 751,862 |
| Series 2020: | | | |
5.5% 5/1/24 | | 140,000 | 141,024 |
5.5% 5/1/25 | | 655,000 | 672,022 |
5.5% 5/1/26 | | 475,000 | 496,600 |
5.5% 5/1/39 | | 1,655,000 | 1,808,282 |
5.75% 5/1/45 | | 1,675,000 | 1,803,332 |
| Series 2021 A: | | | |
4% 3/1/38 | | 1,705,000 | 1,666,771 |
4% 3/1/40 | | 1,800,000 | 1,732,707 |
5% 3/1/24 | | 560,000 | 561,703 |
5% 3/1/25 | | 895,000 | 910,052 |
5% 3/1/26 | | 530,000 | 546,630 |
5% 3/1/32 | | 20,000 | 21,952 |
5% 3/1/33 | | 65,000 | 71,222 |
5% 3/1/34 | | 2,560,000 | 2,797,847 |
5% 3/1/35 | | 965,000 | 1,050,592 |
5% 3/1/36 | | 455,000 | 492,858 |
5% 3/1/37 | | 40,000 | 43,087 |
5% 3/1/46 | | 7,995,000 | 8,224,238 |
| Series 2021 B: | | | |
4% 12/1/34 | | 315,000 | 318,721 |
4% 12/1/37 | | 1,500,000 | 1,482,563 |
5% 3/1/24 | | 930,000 | 932,827 |
5% 3/1/26 | | 690,000 | 711,651 |
| Series 2021 C: | | | |
4% 3/1/24 | | 1,320,000 | 1,320,881 |
4% 3/1/25 | | 320,000 | 321,224 |
| Series 2022 A: | | | |
5% 3/1/29 | | 1,695,000 | 1,825,720 |
5% 3/1/31 | | 1,695,000 | 1,863,421 |
5% 3/1/32 | | 105,000 | 116,476 |
5% 3/1/34 | | 250,000 | 275,998 |
5% 3/1/36 | | 4,815,000 | 5,263,134 |
5.25% 3/1/37 | | 205,000 | 226,904 |
5.5% 3/1/42 | | 4,100,000 | 4,496,276 |
5.5% 3/1/47 | | 9,200,000 | 9,855,609 |
| Series 2022 B: | | | |
5% 3/1/29 | | 205,000 | 220,810 |
5% 3/1/32 | | 230,000 | 255,138 |
5% 10/1/34 | | 6,985,000 | 7,736,590 |
| Series 2023 B: | | | |
5.25% 5/1/39 | | 5,590,000 | 6,105,428 |
5.25% 5/1/41 | | 2,120,000 | 2,287,145 |
5.5% 5/1/47 | | 2,605,000 | 2,802,075 |
| Series 2023 D: | | | |
5% 7/1/29 | | 5,120,000 | 5,539,470 |
5% 7/1/35 | | 485,000 | 534,700 |
| Illinois Hsg. Dev. Auth.: | | | |
| Series 2021, 3% 4/1/51 | | 2,355,000 | 2,262,409 |
| Series 2022 G, 6.25% 10/1/52 | | 560,000 | 602,304 |
| Series 2023 A: | | | |
4.8% 10/1/43 | | 2,845,000 | 2,891,993 |
4.9% 4/1/47 | | 740,000 | 754,624 |
| Series 2023 K, 5.25% 10/1/43 | | 1,000,000 | 1,048,894 |
| Illinois Hsg. Dev. Auth. Multi-family Hsg. Rev. Series 2019, 2.9% 7/1/35 | | 1,295,849 | 1,155,939 |
| Illinois Hsg. Dev. Auth. Rev.: | | | |
| Series 2018 A, 4.5% 10/1/48 | | 770,000 | 773,452 |
| Series 2019 D, 2.7% 10/1/34 | | 345,000 | 307,668 |
| Series 2021 A, 3% 4/1/51 | | 615,000 | 592,454 |
| Series D, 3.75% 4/1/50 | | 195,000 | 192,254 |
| Illinois Muni. Elec. Agcy. Pwr. Supply Series 2015 A: | | | |
| 4% 2/1/34 | | 925,000 | 926,099 |
| 5% 2/1/31 | | 600,000 | 612,552 |
| Illinois Reg'l. Trans. Auth.: | | | |
| Series 2003 A: | | | |
6% 7/1/29 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | | 6,220,000 | 6,916,934 |
6% 7/1/33 (FGIC Insured) | | 1,645,000 | 1,977,212 |
| Series 2003 B, 5.5% 6/1/27 | | 1,360,000 | 1,432,362 |
| Series 2016 A, 4% 6/1/46 | | 2,190,000 | 2,151,984 |
| Illinois Sales Tax Rev.: | | | |
| Series 2002, 6% 6/15/26 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | | 120,000 | 127,304 |
| Series 2021 A, 3% 6/15/33 (Build America Mutual Assurance Insured) | | 1,920,000 | 1,715,492 |
| Illinois Sports Facilities Auth.: | | | |
| Series 2014: | | | |
5% 6/15/27 (Assured Guaranty Muni. Corp. Insured) | | 375,000 | 376,417 |
5.25% 6/15/31 (Assured Guaranty Muni. Corp. Insured) | | 1,000,000 | 1,007,378 |
| Series 2019: | | | |
5% 6/15/28 | | 480,000 | 486,879 |
5% 6/15/28 | | 300,000 | 314,505 |
5% 6/15/29 | | 590,000 | 623,692 |
5% 6/15/29 | | 480,000 | 486,342 |
| Illinois State Univ. Revs. Series 2018 A: | | | |
| 5% 4/1/31 (Assured Guaranty Muni. Corp. Insured) | | 180,000 | 193,067 |
| 5% 4/1/33 (Assured Guaranty Muni. Corp. Insured) | | 120,000 | 128,630 |
| 5% 4/1/36 (Assured Guaranty Muni. Corp. Insured) | | 180,000 | 191,713 |
| Illinois Toll Hwy. Auth. Toll Hwy. Rev.: | | | |
| Series 2014 C: | | | |
5% 1/1/34 | | 610,000 | 610,540 |
5% 1/1/37 | | 1,475,000 | 1,492,032 |
| Series 2015 A: | | | |
5% 1/1/37 | | 700,000 | 710,348 |
5% 1/1/40 | | 2,000,000 | 2,026,803 |
| Series 2016 A, 5% 12/1/31 | | 910,000 | 939,984 |
| Series 2016 B, 5% 1/1/41 | | 1,235,000 | 1,263,059 |
| Series 2017 A, 5% 1/1/42 | | 5,425,000 | 5,637,908 |
| Series 2019 A: | | | |
5% 1/1/40 | | 1,445,000 | 1,555,365 |
5% 1/1/44 | | 425,000 | 447,569 |
| Series A: | | | |
5% 1/1/38 | | 65,000 | 70,297 |
5% 1/1/40 | | 805,000 | 877,375 |
5% 1/1/41 | | 2,135,000 | 2,318,589 |
5% 1/1/45 | | 7,155,000 | 7,605,528 |
| Kane County School District No. 131 Series 2020 A: | | | |
| 4% 12/1/30 (Assured Guaranty Muni. Corp. Insured) | | 30,000 | 31,117 |
| 4% 12/1/31 (Assured Guaranty Muni. Corp. Insured) | | 40,000 | 41,350 |
| 4% 12/1/33 (Assured Guaranty Muni. Corp. Insured) | | 15,000 | 15,435 |
| 4% 12/1/35 (Assured Guaranty Muni. Corp. Insured) | | 20,000 | 20,276 |
| 4% 12/1/36 (Assured Guaranty Muni. Corp. Insured) | | 65,000 | 65,387 |
| 4% 12/1/38 (Assured Guaranty Muni. Corp. Insured) | | 35,000 | 34,905 |
| 4% 12/1/39 (Assured Guaranty Muni. Corp. Insured) | | 175,000 | 172,228 |
| Kane, McHenry, Cook & DeKalb Counties Unit School District #300: | | | |
| Series 2015 5% 1/1/28 | | 155,000 | 156,934 |
| Series 2017, 5% 1/1/29 | | 60,000 | 63,775 |
| Kendall, Kane & Will Counties Cmnty. Unit School District #308 Series 2016: | | | |
| 5% 2/1/33 | | 605,000 | 619,428 |
| 5% 2/1/34 | | 850,000 | 869,562 |
| 5% 2/1/35 | | 605,000 | 617,665 |
| 5% 2/1/36 | | 1,045,000 | 1,064,708 |
| Lake County High Scd # 115 Series 2023, 4.25% 11/1/43 | | 2,170,000 | 2,196,869 |
| Lake County Ill Cmnty. Cons School D Series 2023, 5.25% 5/1/43 | | 2,635,000 | 2,864,106 |
| Macon County School District Series 2020 C: | | | |
| 4% 1/1/35 (Assured Guaranty Muni. Corp. Insured) | | 400,000 | 405,101 |
| 4% 1/1/45 (Assured Guaranty Muni. Corp. Insured) | | 250,000 | 243,420 |
| Madison County Cmnty. United School District #007 Series 2017: | | | |
| 5% 12/1/28 | | 160,000 | 164,219 |
| 5% 12/1/29 | | 165,000 | 169,191 |
| McHenry County Cmnty. School District #200 Series 2006 B: | | | |
| 0% 1/15/24 | | 130,000 | 129,450 |
| 0% 1/15/25 | | 250,000 | 239,958 |
| 0% 1/15/26 | | 185,000 | 171,401 |
| Metropolitan Pier & Exposition: | | | |
| (McCormick Place Expansion Proj.): | | | |
Series 2002 A: | | | |
0% 12/15/30 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | | 540,000 | 414,788 |
0% 12/15/32 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | | 11,400,000 | 8,031,469 |
0% 6/15/36 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | | 5,250,000 | 3,115,662 |
Series 2010 B1: | | | |
0% 6/15/43 (Assured Guaranty Muni. Corp. Insured) | | 12,710,000 | 5,144,487 |
0% 6/15/44 (Assured Guaranty Muni. Corp. Insured) | | 250,000 | 95,824 |
0% 6/15/45 (Assured Guaranty Muni. Corp. Insured) | | 4,390,000 | 1,593,192 |
0% 6/15/46 (Assured Guaranty Muni. Corp. Insured) | | 5,625,000 | 1,934,293 |
0% 6/15/47 (Assured Guaranty Muni. Corp. Insured) | | 1,190,000 | 389,569 |
Series 2012 B, 0% 12/15/51 | | 3,925,000 | 988,237 |
Series A: | | | |
0% 6/15/34 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | | 1,600,000 | 1,052,411 |
0% 12/15/37 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | | 500,000 | 270,485 |
0% 6/15/38 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | | 1,000,000 | 523,518 |
| Series 1994, 0% 6/15/28 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | | 810,000 | 687,960 |
| Series 1996 A, 0% 6/15/24 | | 370,000 | 362,723 |
| Series 1998 B, 5.5% 6/15/29 | | 1,220,000 | 1,267,552 |
| Series 2002 A: | | | |
0% 12/15/33 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | | 11,815,000 | 7,953,049 |
0% 6/15/35 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | | 4,255,000 | 2,669,165 |
0% 12/15/40 (Assured Guaranty Muni. Corp. Insured) | | 1,300,000 | 606,744 |
| Series 2002, 0% 12/15/36 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | | 8,240,000 | 4,743,225 |
| Series 2010 B1, 0% 6/15/26 (Assured Guaranty Muni. Corp. Insured) | | 510,000 | 466,045 |
| Series 2012 B, 0% 12/15/50 | | 1,200,000 | 318,498 |
| Series 2015 A: | | | |
0% 12/15/52 (Assured Guaranty Muni. Corp. Insured) | | 800,000 | 198,140 |
5% 6/15/53 | | 895,000 | 898,439 |
| Series 2017 A: | | | |
0% 12/15/56 | | 1,340,000 | 270,094 |
0% 12/15/56 (Build America Mutual Assurance Insured) | | 1,100,000 | 221,719 |
5% 6/15/57 | | 3,680,000 | 3,706,852 |
| Series 2017 B: | | | |
0% 12/15/54 (Build America Mutual Assurance Insured) | | 3,050,000 | 681,490 |
5% 12/15/25 | | 120,000 | 123,358 |
5% 12/15/26 | | 405,000 | 423,588 |
5% 12/15/27 | | 40,000 | 42,509 |
5% 12/15/28 | | 110,000 | 116,649 |
5% 12/15/31 | | 80,000 | 84,190 |
5% 12/15/32 | | 50,000 | 52,592 |
5% 12/15/34 | | 50,000 | 52,466 |
| Series 2020 A: | | | |
4% 6/15/50 | | 5,390,000 | 4,876,085 |
5% 12/15/45 | | 105,000 | 107,058 |
5% 6/15/50 | | 15,765,000 | 15,962,750 |
| Series 2020 B, 5% 6/15/42 | | 1,805,000 | 1,857,556 |
| Series 2022 A: | | | |
0% 12/15/35 | | 200,000 | 121,425 |
0% 6/15/36 | | 625,000 | 368,191 |
0% 12/15/36 | | 215,000 | 122,818 |
0% 6/15/37 | | 200,000 | 110,738 |
0% 12/15/38 | | 420,000 | 213,147 |
0% 6/15/39 | | 455,000 | 223,293 |
0% 12/15/39 | | 1,235,000 | 592,350 |
0% 6/15/40 | | 555,000 | 257,716 |
0% 12/15/40 | | 1,040,000 | 471,851 |
0% 6/15/41 | | 570,000 | 250,259 |
0% 12/15/41 | | 775,000 | 332,370 |
4% 12/15/42 | | 4,195,000 | 4,026,289 |
4% 12/15/47 | | 4,920,000 | 4,518,606 |
4% 6/15/52 | | 17,940,000 | 16,102,881 |
| Northern Illinois Muni. Pwr. Agcy. Rev. (Prairie State Proj.) Series 2016 A, 5% 12/1/41 | | 1,000,000 | 1,018,718 |
| Northern Illinois Univ. Revs.: | | | |
| Series 2020 B: | | | |
4% 4/1/36 (Build America Mutual Assurance Insured) | | 215,000 | 216,594 |
4% 4/1/38 (Build America Mutual Assurance Insured) | | 230,000 | 226,356 |
4% 4/1/40 (Build America Mutual Assurance Insured) | | 195,000 | 189,236 |
4% 4/1/41 | | 65,000 | 62,655 |
5% 4/1/34 (Build America Mutual Assurance Insured) | | 955,000 | 1,005,566 |
| Series 2021: | | | |
4% 10/1/39 | | 85,000 | 82,540 |
4% 10/1/41 | | 80,000 | 76,547 |
4% 10/1/43 | | 50,000 | 46,575 |
| Railsplitter Tobacco Settlement Auth. Rev. Series 2017: | | | |
| 5% 6/1/27 (Pre-Refunded to 6/1/26 @ 100) | | 3,085,000 | 3,233,529 |
| 5% 6/1/28 (Pre-Refunded to 6/1/26 @ 100) | | 335,000 | 351,129 |
| Rock Island County Pub. Bldg. Commission Series 2016, 5% 12/1/36 (Assured Guaranty Muni. Corp. Insured) | | 500,000 | 524,809 |
| Romeoville Gen. Oblig. Rev.: | | | |
| (Lewis Univ. Proj.) Series 2015, 5% 10/1/42 | | 360,000 | 355,573 |
| Series 2018 B: | | | |
4.125% 10/1/41 | | 240,000 | 213,034 |
4.125% 10/1/46 | | 240,000 | 202,493 |
5% 10/1/39 | | 295,000 | 295,256 |
| Rosemont Gen. Oblig. Series 2016 A, 5% 12/1/40 (Assured Guaranty Muni. Corp. Insured) | | 1,300,000 | 1,349,830 |
| Sales Tax Securitization Corp.: | | | |
| Series 2017 A, 5% 1/1/28 | | 750,000 | 806,125 |
| Series 2018 A, 4% 1/1/48 | | 1,500,000 | 1,422,264 |
| Series 2018 C: | | | |
5.25% 1/1/34 | | 1,500,000 | 1,621,250 |
5.25% 1/1/48 (Build America Mutual Assurance Insured) | | 5,640,000 | 5,855,929 |
| Series 2023 C, 5% 1/1/31 | | 2,410,000 | 2,654,068 |
| Series 2023 D, 5% 1/1/36 | | 1,690,000 | 1,874,803 |
| Sangamon County Wtr. Reclamation District Series 2019 A, 4% 1/1/49 | | 400,000 | 378,083 |
| Schaumburg Village Gen. Oblig.: | | | |
| Series 2013 A, 4% 12/1/41 | | 5,300,000 | 5,300,049 |
| Series 2023, 4% 12/1/30 | | 2,270,000 | 2,354,538 |
| Southern Illinois Univ. Rev. Series 2021 A: | | | |
| 4% 4/1/28 | | 160,000 | 162,857 |
| 4% 4/1/29 | | 85,000 | 85,666 |
| 4% 4/1/31 | | 200,000 | 199,589 |
| 4% 4/1/34 | | 190,000 | 188,375 |
| 4% 4/1/36 | | 135,000 | 131,033 |
| 4% 4/1/38 | | 210,000 | 196,519 |
| Univ. of Illinois Rev.: | | | |
| Series 2018 A: | | | |
5% 4/1/29 | | 225,000 | 242,090 |
5% 4/1/30 | | 505,000 | 542,883 |
| Series 2020 A: | | | |
4% 4/1/32 | | 470,000 | 479,825 |
4% 4/1/35 | | 630,000 | 640,395 |
4% 4/1/36 | | 320,000 | 323,627 |
4% 4/1/38 | | 410,000 | 410,496 |
4% 4/1/44 | | 210,000 | 202,926 |
| Upper Illinois River Valley Dev. Auth. Edl. Facility Rev. (Cambridge Lakes Learning Ctr. Proj.) Series 2017 A: | | | |
| 5% 12/1/32 (e) | | 590,000 | 561,651 |
| 5.25% 12/1/47 (e) | | 1,135,000 | 972,332 |
| Upper Illinois River Valley Dev. Auth. Rev. Series 2018: | | | |
| 5% 12/1/43 | | 400,000 | 401,311 |
| 5% 12/1/48 | | 250,000 | 246,516 |
| Western Illinois Econ. Dev. Auth. (City of Quincy Proj.) Series 2019 B: | | | |
| 4% 12/1/29 | | 140,000 | 142,938 |
| 4% 12/1/30 | | 180,000 | 183,344 |
| 4% 12/1/32 | | 250,000 | 253,355 |
| 4% 12/1/34 | | 370,000 | 373,141 |
| 4% 12/1/36 | | 425,000 | 421,694 |
| Will County Cmnty. Unit School District #365-U Series 2007 B, 0% 11/1/26 (Assured Guaranty Muni. Corp. Insured) | | 925,000 | 841,253 |
| Will County School District Series 2022, 5.5% 1/1/49 | | 300,000 | 329,136 |
| Yorkville Svc. Area 2004-106 Tax Series 2016, 5% 3/1/32 (Assured Guaranty Muni. Corp. Insured) | | 750,000 | 773,348 |
TOTAL ILLINOIS | | | 817,160,920 |
| Indiana - 0.8% | | | |
| Ball State Univ. Series 2019 S, 4% 7/1/36 | | 435,000 | 438,146 |
| Beech Grove School Bldg. Corp. Series 1996, 5.625% 7/5/24 (Escrowed to Maturity) | | 20,000 | 20,093 |
| Crown Point Multi-School Bldg. Corp. Series 2021, 5% 1/15/40 | | 1,500,000 | 1,628,391 |
| East Chicago Solid Waste Disp. Rev. Series 1998, 5.5% 9/1/28 (d) | | 245,000 | 229,139 |
| Fishers Town Hall Bldg. Corp. Series 2023 A, 5.75% 1/15/63 | | 4,110,000 | 4,489,203 |
| Greater Clark Bldg. Corp. Ind. Series 2022, 6% 7/15/38 | | 300,000 | 350,873 |
| Indiana Dev. Fin. Auth. Envir. Rev. (United States Steel Corp. Proj.) Series 2021 A, 4.125% 12/1/26 | | 1,945,000 | 1,905,101 |
| Indiana Fin. Auth. Econ. Dev. Rev. Bonds (Republic Svcs., Inc. Proj.): | | | |
| Series 2012, 4.3%, tender 12/1/23 (b)(d) | | 2,500,000 | 2,500,000 |
| Series A, 4.3%, tender 12/1/23 (b)(d) | | 4,000,000 | 4,000,000 |
| Indiana Fin. Auth. Edl. Facilities Rev.: | | | |
| (Depauw Univ. Proj.) Series 2022 A, 5.5% 7/1/52 | | 4,600,000 | 4,714,845 |
| (Rose-Hulman Institute of Technology Proj.) Series 2023, 5.75% 6/1/48 (i) | | 1,630,000 | 1,758,997 |
| (Valparaiso Univ. Proj.) Series 2021: | | | |
5% 10/1/28 | | 50,000 | 51,964 |
5% 10/1/33 | | 35,000 | 36,516 |
| Indiana Fin. Auth. Envir. Facilities Rev. Bonds (Indianapolis Pwr. & Lt. Co. Proj.): | | | |
| Series 2020 A, 0.75%, tender 4/1/26 (b) | | 210,000 | 189,099 |
| Series 2020 B, 0.95%, tender 4/1/26 (b)(d) | | 945,000 | 857,053 |
| Indiana Fin. Auth. Exempt Facilities Rev. (Resources Polyflow Indiana Proj.) Series 2019, 7% 3/1/39 (d)(e) | | 350,000 | 255,261 |
| Indiana Fin. Auth. Health Facilities Rev. Series 2017 A, 5% 8/15/51 | | 1,270,000 | 1,276,394 |
| Indiana Fin. Auth. Health Sys. Rev.: | | | |
| Bonds Series 2019 B, 2.25%, tender 7/1/25 (b) | | 35,000 | 34,221 |
| Series 2016 A, 4% 11/1/51 | | 2,705,000 | 2,366,412 |
| Series 2023 A: | | | |
5% 10/1/41 | | 1,250,000 | 1,364,360 |
5% 10/1/42 | | 2,000,000 | 2,172,612 |
5% 10/1/46 | | 500,000 | 534,624 |
| Indiana Fin. Auth. Hosp. Rev.: | | | |
| (Parkview Health Sys. Proj.) Series 2017 A: | | | |
5% 11/1/28 | | 25,000 | 27,144 |
5% 11/1/29 | | 80,000 | 87,968 |
5% 11/1/30 | | 20,000 | 22,273 |
| Bonds Series 2011 L, 0.7%, tender 1/1/26 (b) | | 1,000,000 | 924,926 |
| Series 2020 A, 4% 7/1/45 | | 1,205,000 | 1,084,116 |
| Series 2022: | | | |
4.25% 1/1/47 | | 535,000 | 519,818 |
5% 1/1/52 | | 1,500,000 | 1,538,753 |
| Indiana Fin. Auth. Midwestern Disaster Relief Rev. Series 2012 A, 4.25% 11/1/30 | | 4,095,000 | 4,110,483 |
| Indiana Fin. Auth. Poll. Cont. Rev. Series 2010 B, 2.5% 11/1/30 | | 385,000 | 345,326 |
| Indiana Fin. Auth. Rev.: | | | |
| (Butler Univ. Proj.) Series 2019, 4% 2/1/44 | | 145,000 | 129,562 |
| (Citizens Energy Group Proj.) Series 2023 A: | | | |
5% 10/1/32 | | 2,100,000 | 2,429,915 |
5% 10/1/33 | | 1,400,000 | 1,639,228 |
| (Marquette Proj.) Series 2015 A: | | | |
5% 3/1/30 | | 110,000 | 109,992 |
5% 3/1/39 | | 285,000 | 269,836 |
| (Rose-Hulman Institute of Technology Proj.) Series 2021: | | | |
4% 6/1/33 | | 45,000 | 45,295 |
4% 6/1/34 | | 50,000 | 50,138 |
5% 6/1/27 | | 35,000 | 36,864 |
5% 6/1/32 | | 85,000 | 92,817 |
| Series 2015 A, 5.25% 2/1/32 | | 1,025,000 | 1,052,888 |
| Series 2015, 5% 3/1/36 | | 1,515,000 | 1,534,307 |
| Series 2016: | | | |
5% 9/1/26 | | 160,000 | 167,459 |
5% 9/1/27 | | 185,000 | 194,387 |
5% 9/1/28 | | 375,000 | 394,107 |
5% 9/1/29 | | 185,000 | 194,075 |
5% 9/1/30 | | 170,000 | 178,163 |
5% 9/1/31 | | 100,000 | 104,702 |
| Series 2018 A: | | | |
5% 11/15/48 | | 350,000 | 315,008 |
5% 11/15/53 | | 300,000 | 265,305 |
| Indiana Fin. Auth. Wastewtr. Util. Rev.: | | | |
| (CWA Auth. Proj.): | | | |
Series 2016 A, 5% 10/1/46 | | 2,800,000 | 2,856,746 |
Series 2023 A: | | | |
5% 10/1/35 | | 1,100,000 | 1,268,698 |
5% 10/1/36 | | 1,000,000 | 1,140,512 |
5% 10/1/37 | | 625,000 | 703,465 |
5% 10/1/39 | | 1,000,000 | 1,108,287 |
| CWA Auth. Proj. Series 2022 B, 5.25% 10/1/47 | | 1,900,000 | 2,022,289 |
| Series 2021 2, 5% 10/1/41 | | 1,235,000 | 1,345,036 |
| Indiana Finl. Authorities Student Hsg.: | | | |
| (CHF - Tippecanoe, L.L.C. - Student housing Proj.) Series 2023 A, 5.125% 6/1/58 | | 1,700,000 | 1,647,866 |
| (CHF - Tippecanoe, L.L.C. - Student Hsg. Proj.) Series 2023 A: | | | |
5% 6/1/43 | | 855,000 | 850,782 |
5% 6/1/53 | | 890,000 | 854,231 |
| Indiana Hsg. & Cmnty. Dev. Auth.: | | | |
| (Glasswater Creek of Whitestown Proj.) Series 2020, 5.375% 10/1/40 (e) | | 530,000 | 425,442 |
| Series 2019 B, 3.5% 1/1/49 | | 30,000 | 29,449 |
| Series 2020 B1, 3.25% 7/1/49 | | 340,000 | 332,215 |
| Series 2021 B, 3% 7/1/50 | | 415,000 | 401,334 |
| Series A: | | | |
3.75% 1/1/49 | | 150,000 | 148,056 |
5% 1/1/28 | | 20,000 | 21,378 |
5% 7/1/28 | | 20,000 | 21,497 |
5% 1/1/29 | | 20,000 | 21,552 |
5% 7/1/29 | | 15,000 | 16,252 |
| Indiana Muni. Pwr. Agcy. Pwr. Supply Sys. Rev.: | | | |
| Series 2014 A, 5% 1/1/28 | | 1,500,000 | 1,522,449 |
| Series 2016 A, 5% 1/1/42 | | 3,050,000 | 3,107,690 |
| Series 2017 A: | | | |
5% 1/1/32 | | 225,000 | 241,557 |
5% 1/1/34 | | 110,000 | 118,080 |
| Indiana Secondary Mkt For Ed. L Series 2022 1A, 4.5% 6/1/39 (d) | | 1,020,000 | 1,008,072 |
| Indianapolis Local Pub. Impt.: | | | |
| (Courthouse and Jail Proj.) Series 2019 A, 5% 2/1/49 | | 995,000 | 1,035,575 |
| (Indianapolis Arpt. Auth. Proj.): | | | |
Series 2015 I, 5% 1/1/28 (d) | | 425,000 | 428,375 |
Series 2019 D, 5% 1/1/28 (d) | | 3,695,000 | 3,906,098 |
| Series 2016: | | | |
4% 1/1/32 (d) | | 120,000 | 120,748 |
4% 1/1/33 (d) | | 120,000 | 120,706 |
4% 1/1/34 (d) | | 150,000 | 150,809 |
4% 1/1/35 (d) | | 340,000 | 341,016 |
5% 1/1/26 (d) | | 125,000 | 128,185 |
| Series 2023 E, 6.125% 3/1/57 (i) | | 375,000 | 388,458 |
| Series 2023 F1, 5.25% 3/1/67 (i) | | 2,005,000 | 2,076,311 |
| Indianapolis Wtr. Sys. Rev. Series 2018 A, 5% 10/1/37 | | 1,120,000 | 1,186,802 |
| Mount Vernon Ind. Envir. Bonds Series 2015, 4.25%, tender 9/1/28 (b)(d) | | 250,000 | 253,046 |
| Northern Indiana Commuter Trans. District Series 2016, 5% 7/1/41 | | 600,000 | 612,696 |
| Purdue Univ. Rev. Series 2018 DD: | | | |
| 5% 7/1/34 | | 145,000 | 156,922 |
| 5% 7/1/35 | | 285,000 | 307,937 |
| 5% 7/1/36 | | 310,000 | 333,099 |
| 5% 7/1/37 | | 290,000 | 309,660 |
| Saint Joseph County Econ. Dev. Auth. Rev. (St. Mary's College Proj.): | | | |
| Series 2019: | | | |
4% 4/1/39 | | 55,000 | 51,913 |
4% 4/1/46 | | 125,000 | 109,572 |
5% 4/1/40 | | 125,000 | 128,900 |
5% 4/1/43 | | 1,290,000 | 1,318,910 |
| Series 2020: | | | |
4% 4/1/37 | | 680,000 | 664,396 |
5% 4/1/29 | | 60,000 | 64,561 |
5% 4/1/32 | | 50,000 | 53,720 |
| Saint Joseph County Ind. Edl. Facilities Rev. Series 1996, 6.5% 3/1/26 | | 210,000 | 225,604 |
| Shoals Exempt Facilities Rev. (Nat'l. Gypsum Co. Proj.) Series 2013, 7.25% 11/1/43 (d) | | 255,000 | 255,327 |
| Terre Haute Ind. San District Series 2023, 5.25% 9/28/28 | | 1,650,000 | 1,654,251 |
| Valparaiso Exempt Facilities Rev. (Pratt Paper (IN), LLC Proj.) Series 2013: | | | |
| 6.75% 1/1/34 (d) | | 1,630,000 | 1,632,521 |
| 7% 1/1/44 (d) | | 3,390,000 | 3,394,089 |
| Warrick County Envir. Impt. Rev. Bonds Series 2015, 4.25%, tender 9/1/28 (b)(d) | | 250,000 | 253,046 |
| Whiting Envir. Facilities Rev. Bonds: | | | |
| (BP Products North America, Inc. Proj.) Series 2019 A, 5%, tender 6/5/26 (b)(d) | | 1,600,000 | 1,617,226 |
| (BP Products North America INC. Proj.) Series 2015, 4.4%, tender 6/10/31 (b)(d) | | 2,775,000 | 2,788,245 |
TOTAL INDIANA | | | 96,319,818 |
| Iowa - 0.2% | | | |
| Coralville Gen. Oblig.: | | | |
| Series 2017 B, 4.25% 5/1/37 | | 35,000 | 31,570 |
| Series 2022 C, 5% 5/1/42 | | 300,000 | 283,693 |
| Iowa Fin. Auth. Series 2018 A: | | | |
| 5% 3/1/33 | | 165,000 | 157,346 |
| 5% 3/1/38 | | 130,000 | 117,195 |
| 5% 3/1/48 | | 240,000 | 197,349 |
| Iowa Fin. Auth. Midwestern Disaster Area Rev.: | | | |
| (Iowa Fertilizer Co. Proj.) Series 2022, 5% 12/1/50 | | 1,130,000 | 1,110,276 |
| Bonds (Iowa Fertilizer Co. Proj.) Series 2022, 5%, tender 12/1/42 (b) | | 4,820,000 | 4,808,262 |
| Iowa Fin. Auth. Rev.: | | | |
| Series 2018 B, 5% 2/15/48 | | 205,000 | 208,473 |
| Series A: | | | |
5% 5/15/43 | | 215,000 | 172,793 |
5% 5/15/48 | | 1,510,000 | 1,161,647 |
| Iowa Fin. Auth. Single Family Mtg.: | | | |
| (Mtg.-Backed Securities Prog.): | | | |
Series 2020 A, 3.75% 1/1/50 | | 900,000 | 889,705 |
Series 2021 A, 3% 1/1/47 | | 735,000 | 709,674 |
| Series 2018 A, 4% 7/1/47 | | 115,000 | 114,351 |
| Iowa Higher Ed. Ln. Auth. Rev. (Des Moines Univ. Proj.): | | | |
| Series 2020, 4% 10/1/45 | | 650,000 | 564,712 |
| Series 2022: | | | |
4.75% 10/1/42 | | 170,000 | 167,250 |
5% 10/1/47 | | 180,000 | 180,376 |
5.375% 10/1/52 | | 200,000 | 203,632 |
| Iowa State Board of Regents Hosp. Rev. Series 2022 B, 3% 9/1/61 | | 300,000 | 197,176 |
| Iowa Student Ln. Liquidity Corp. Student Ln. Rev.: | | | |
| Series 2019 B: | | | |
3% 12/1/39 (d) | | 45,000 | 42,817 |
5% 12/1/29 (d) | | 740,000 | 782,604 |
| Series 2019 C, 3.5% 12/1/44 (d) | | 1,250,000 | 986,447 |
| Tobacco Settlement Auth. Tobacco Settlement Rev.: | | | |
| Series 2021 A2: | | | |
4% 6/1/34 | | 705,000 | 710,152 |
4% 6/1/36 | | 705,000 | 700,186 |
4% 6/1/39 | | 705,000 | 678,195 |
4% 6/1/49 | | 1,290,000 | 1,146,115 |
5% 6/1/32 | | 635,000 | 681,735 |
| Series 2021 B1, 4% 6/1/49 | | 5,650,000 | 5,482,800 |
| Series 2021 B2, 0% 6/1/65 | | 9,100,000 | 1,055,504 |
| Waukee Cmnty. School District Series 2020 B, 2% 6/1/37 | | 1,000,000 | 753,583 |
TOTAL IOWA | | | 24,295,618 |
| Kansas - 0.2% | | | |
| City of Topeka Health Care Facilities Rev. Series 2022 A: | | | |
| 6.25% 12/1/42 | | 340,000 | 331,886 |
| 6.5% 12/1/52 | | 630,000 | 612,405 |
| Coffeyville Elec. Util. Sys. Rev. Series 2015 B: | | | |
| 5% 6/1/38 (Pre-Refunded to 6/1/25 @ 100) (e) | | 800,000 | 818,587 |
| 5% 6/1/42 (Pre-Refunded to 6/1/25 @ 100) (e) | | 300,000 | 306,970 |
| Hutchinson Hosp. Facilities Rev. Series 2016: | | | |
| 5% 12/1/36 | | 275,000 | 263,147 |
| 5% 12/1/41 | | 145,000 | 129,160 |
| Lenexa Health Care Facilities Rev. Series 2018 A: | | | |
| 5% 5/15/30 | | 175,000 | 172,816 |
| 5% 5/15/32 | | 160,000 | 156,441 |
| 5% 5/15/39 | | 165,000 | 151,646 |
| Lyon Unified School District Series 2019: | | | |
| 4% 9/1/32 | | 25,000 | 25,571 |
| 4% 9/1/33 | | 110,000 | 112,261 |
| 4% 9/1/34 | | 120,000 | 122,124 |
| 4% 9/1/39 | | 640,000 | 640,500 |
| Overland Park Dev. Corp. Rev. Series 2019: | | | |
| 5% 3/1/32 | | 215,000 | 216,904 |
| 5% 3/1/33 | | 230,000 | 231,774 |
| 5% 3/1/34 | | 240,000 | 241,578 |
| 5% 3/1/36 | | 265,000 | 266,152 |
| 5% 3/1/38 | | 295,000 | 294,266 |
| 5% 3/1/44 | | 495,000 | 482,306 |
| 5% 3/1/49 | | 975,000 | 937,938 |
| Overland Park Sales Tax Spl. Oblig. Rev. (Bluhawk Star Bond Proj.) Series 2022 A, 6.5% 11/15/42 (e) | | 4,850,000 | 4,925,441 |
| Sedgwick County Pub. Commission: | | | |
| (Board of Trustees of Wichita State Univ. - Experiential Engineering Proj.) Series 2014 3, 5% 2/1/39 | | 1,050,000 | 1,065,285 |
| (Board of trustees of Wichita State Univ. - Experiential Engineering Proj.) Series 2014 3, 5% 2/1/44 | | 725,000 | 734,895 |
| Sedgwick Unified School District Series 2019 A: | | | |
| 4% 9/1/31 | | 240,000 | 244,538 |
| 4% 9/1/32 | | 180,000 | 183,410 |
| Univ. of Kansas Hosp. Auth. Health Facilities Rev. Series 2019 A, 5% 9/1/48 | | 4,640,000 | 4,762,171 |
| Wichita Health Care Facilities Series 2018 I: | | | |
| 4.625% 5/15/41 | | 30,000 | 20,715 |
| 5% 5/15/33 | | 30,000 | 26,606 |
| 5% 5/15/38 | | 35,000 | 27,281 |
| 5% 5/15/47 | | 150,000 | 101,157 |
| Wyandotte County-Kansas City Unified Govt. Sales Tax Spl. Oblig. Rev.: | | | |
| (Vacation Village Proj. Area 4 - Major Multi-Sport Athletic Complex Proj.) Series 2015, 0% 9/1/34 (e) | | 2,100,000 | 813,259 |
| Series 2015 A, 5.75% 9/1/32 | | 780,000 | 714,562 |
| Wyandotte County/Kansas City K (Legends Apts. Garage and West Lawn Proj.) Series 2018, 4.5% 6/1/40 | | 85,000 | 77,918 |
| Wyandotte County/Kansas City Unified Govt. Util. Sys. Rev. Series 2016 A: | | | |
| 5% 9/1/40 | | 480,000 | 487,261 |
| 5% 9/1/45 | | 725,000 | 733,532 |
TOTAL KANSAS | | | 21,432,463 |
| Kentucky - 0.7% | | | |
| Ashland Med. Ctr. Rev.: | | | |
| (Ashland Hosp. Corp. d/b/a King's Daughters Med. Ctr. Proj.) Series 2016 A, 5% 2/1/40 | | 65,000 | 65,306 |
| Series 2019: | | | |
3% 2/1/40 (Assured Guaranty Muni. Corp. Insured) | | 1,110,000 | 868,263 |
4% 2/1/33 | | 170,000 | 168,212 |
4% 2/1/35 | | 135,000 | 131,748 |
4% 2/1/36 | | 50,000 | 48,265 |
4% 2/1/37 | | 35,000 | 33,335 |
4% 2/1/38 | | 195,000 | 182,839 |
5% 2/1/24 | | 75,000 | 75,110 |
5% 2/1/25 | | 60,000 | 60,657 |
5% 2/1/28 | | 5,000 | 5,236 |
5% 2/1/32 | | 100,000 | 104,384 |
| Boyle County Edl. Facilities Rev.: | | | |
| Series 2017, 5% 6/1/37 | | 115,000 | 118,936 |
| Series 2023 A, 5.25% 6/1/49 | | 700,000 | 730,611 |
| Campbellsville Indl. Bldg. Rev. (Capmpbellsville Univ. Proj.) Series 2017, 5% 3/1/39 | | 300,000 | 278,486 |
| Carroll County Poll. Ctlr Rev. Bonds (Kentucky Utils. Co. Proj.) Series 2016 A, 1.55%, tender 9/1/26 (b) | | 500,000 | 455,866 |
| Columbia Edl. Dev. Rev. (Lindsey Wilson College Proj.) Series 2019, 5% 12/1/33 | | 300,000 | 300,561 |
| Econ. Dev. Fin. Auth. Lousiville Arena Proj. Rev.: | | | |
| Louisville Arena Auth., Inc. Series 2017 A, 5% 12/1/47 (Assured Guaranty Muni. Corp. Insured) | | 190,000 | 190,044 |
| Series 2017 A, 5% 12/1/45 (Assured Guaranty Muni. Corp. Insured) | | 1,390,000 | 1,434,406 |
| Henderson Rev. (Pratt Paper (KY), LLC Proj.): | | | |
| Series 2022 A: | | | |
4.45% 1/1/42 (d)(e) | | 300,000 | 278,480 |
4.7% 1/1/52 (d)(e) | | 1,100,000 | 1,013,131 |
| Series 2022 B: | | | |
4.45% 1/1/42 (d)(e) | | 1,010,000 | 937,550 |
4.7% 1/1/52 (d)(e) | | 1,535,000 | 1,413,778 |
| Kenton County Arpt. Board Arpt. Rev.: | | | |
| Series 2016: | | | |
5% 1/1/24 | | 45,000 | 45,057 |
5% 1/1/28 | | 195,000 | 201,657 |
5% 1/1/31 | | 185,000 | 190,210 |
5% 1/1/32 | | 185,000 | 190,155 |
5% 1/1/33 | | 75,000 | 77,069 |
| Series 2019: | | | |
5% 1/1/38 | | 45,000 | 47,653 |
5% 1/1/39 | | 45,000 | 47,499 |
5% 1/1/44 | | 125,000 | 130,012 |
5% 1/1/49 | | 160,000 | 165,247 |
| Kentucky Econ. Dev. Fin. Auth.: | | | |
| (Masonic Home Independent Living II, Inc. - The Meadow Proj. and Grove Pointe Proj.) Series 2016 A: | | | |
5% 5/15/46 | | 995,000 | 722,568 |
5% 5/15/51 | | 520,000 | 365,045 |
| Series 2019 A1: | | | |
5% 8/1/33 | | 55,000 | 58,876 |
5% 8/1/44 | | 1,260,000 | 1,285,893 |
| Series 2019 A2, 5% 8/1/49 | | 2,590,000 | 2,610,703 |
| Kentucky Econ. Dev. Fin. Auth. Healthcare Facilities Rev.: | | | |
| (Baptist Life Cmntys. Proj.) Series 2016 A: | | | |
6.25% 11/15/46 | | 590,000 | 445,480 |
6.375% 11/15/51 | | 820,000 | 611,676 |
| Series 2012: | | | |
5.375% 11/15/42 | | 635,000 | 511,675 |
5.5% 11/15/45 | | 330,000 | 263,355 |
| Kentucky Econ. Dev. Fin. Auth. Hosp. Rev.: | | | |
| Series 2015 A: | | | |
5% 6/1/25 | | 5,000 | 5,026 |
5% 6/1/26 | | 5,000 | 5,038 |
5% 6/1/27 | | 5,000 | 5,046 |
5% 6/1/28 | | 5,000 | 5,049 |
5% 6/1/29 | | 5,000 | 5,048 |
5% 6/1/30 | | 5,000 | 5,046 |
5.25% 6/1/50 | | 3,405,000 | 3,367,531 |
| Series 2017 A: | | | |
5% 6/1/37 | | 1,570,000 | 1,581,936 |
5% 6/1/41 | | 1,310,000 | 1,294,802 |
5% 6/1/45 | | 3,320,000 | 3,309,789 |
5.25% 6/1/41 | | 2,005,000 | 2,008,089 |
| Series 2017 B: | | | |
5% 8/15/32 | | 150,000 | 157,277 |
5% 8/15/33 | | 75,000 | 78,436 |
5% 8/15/35 | | 85,000 | 88,272 |
5% 8/15/41 (Escrowed to Maturity) | | 900,000 | 907,518 |
5% 8/15/46 | | 570,000 | 573,730 |
| Kentucky Higher Ed. Student Ln. Corp. Rev. Series 2019 B1, 5% 6/1/36 (d) | | 1,380,000 | 1,413,105 |
| Kentucky Muni. Pwr. Agcy. Pwr. Sys. Rev. (Prairie State Proj.) Series 2019 A, 4% 9/1/45 | | 750,000 | 639,472 |
| Kentucky State Property & Buildings Commission Rev.: | | | |
| (Proj. No. 112) Series 2016 B, 5% 11/1/27 | | 70,000 | 73,918 |
| (Proj. No. 119) Series 2018: | | | |
5% 5/1/26 | | 125,000 | 130,987 |
5% 5/1/28 | | 65,000 | 70,248 |
5% 5/1/29 | | 765,000 | 824,730 |
5% 5/1/30 | | 70,000 | 75,388 |
5% 5/1/31 | | 30,000 | 32,496 |
5% 5/1/32 | | 190,000 | 204,471 |
5% 5/1/33 | | 170,000 | 182,359 |
5% 5/1/34 | | 190,000 | 203,496 |
5% 5/1/35 | | 115,000 | 122,581 |
5% 5/1/36 | | 100,000 | 106,322 |
5% 5/1/38 | | 255,000 | 267,516 |
| Series A: | | | |
4% 11/1/34 | | 80,000 | 80,914 |
4% 11/1/35 | | 25,000 | 25,203 |
4% 11/1/36 | | 65,000 | 65,127 |
4% 11/1/37 | | 80,000 | 79,307 |
4% 11/1/38 | | 35,000 | 34,429 |
5% 8/1/27 | | 25,000 | 25,710 |
5% 11/1/29 | | 285,000 | 309,244 |
5% 11/1/30 | | 120,000 | 130,109 |
| Kentucky State Univ. Ctfs. of Prtn. (Kentucky State Univ. Proj.) Series 2021: | | | |
| 4% 11/1/38 | | 30,000 | 30,247 |
| 4% 11/1/41 | | 25,000 | 24,760 |
| 4% 11/1/51 | | 50,000 | 47,184 |
| Kentucky, Inc. Pub. Energy: | | | |
| Bonds: | | | |
Series 2018 B, 4%, tender 1/1/25 (b) | | 3,690,000 | 3,662,983 |
Series 2018 C2, 4.942%, tender 6/1/25 (b) | | 1,500,000 | 1,500,548 |
Series 2019 C, 4%, tender 2/1/28 (b) | | 5,580,000 | 5,506,602 |
Series 2022 A2, U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.200% 4.764%, tender 8/1/30 (b)(c) | | 1,950,000 | 1,885,707 |
Series A, 4%, tender 6/1/26 (b) | | 15,955,000 | 15,695,950 |
Series C1, 4%, tender 6/1/25 (b) | | 11,070,000 | 11,020,332 |
| Series A: | | | |
4% 6/1/24 | | 355,000 | 355,046 |
4% 12/1/24 | | 30,000 | 29,979 |
4% 6/1/25 | | 40,000 | 39,920 |
| Louisville & Jefferson County: | | | |
| Bonds: | | | |
Series 2020 C, 5%, tender 10/1/26 (b) | | 420,000 | 435,708 |
Series 2020 D, 5%, tender 10/1/29 (b) | | 505,000 | 538,933 |
| Series 2016 A: | | | |
5% 10/1/26 | | 360,000 | 377,314 |
5% 10/1/31 | | 360,000 | 370,450 |
5% 10/1/32 | | 435,000 | 447,444 |
5% 10/1/33 | | 245,000 | 251,763 |
| Series 2020 A: | | | |
3% 10/1/43 | | 3,785,000 | 2,851,591 |
4% 10/1/39 | | 335,000 | 320,400 |
4% 10/1/40 | | 65,000 | 61,680 |
5% 10/1/37 | | 1,525,000 | 1,589,254 |
5% 10/1/38 | | 360,000 | 373,107 |
| Louisville & Jefferson County Metropolitan Govt. Hosp. Rev. (UOFL Health Proj.) Series 2022 A, 5% 5/15/47 (Assured Guaranty Muni. Corp. Insured) | | 1,200,000 | 1,241,585 |
| Louisville/Jefferson County Metropolitan Govt. Poll. Cont. Rev. Bonds Series 2019 A, 1.75%, tender 7/1/26 (b) | | 1,385,000 | 1,315,857 |
| Owensboro Elec. Lt. & Pwr. Rev. Series 2019: | | | |
| 4% 1/1/25 | | 540,000 | 541,619 |
| 5% 1/1/26 | | 290,000 | 300,266 |
| 5% 1/1/27 | | 725,000 | 764,217 |
| Trimble County Poll. Cont. Rev. Bonds (Louisville Gas and Elec. Co. Proj.) Series 2016 A, 1.3%, tender 9/1/27 (b)(d) | | 2,500,000 | 2,158,146 |
TOTAL KENTUCKY | | | 89,098,391 |
| Louisiana - 0.5% | | | |
| Cap. Area Fin. Auth. (Mortgaged-Backed Securities Prog.) Series 2023, 6.5% 4/1/54 (i) | | 2,065,000 | 2,278,495 |
| East Baton Rouge Sewerage Commission Rev. Bonds Series 2021 A, 1.3%, tender 2/1/28 (b) | | 2,010,000 | 1,743,837 |
| Jefferson Parish Econ. Dev. & Port District Rev. Series 2018 A: | | | |
| 5.5% 6/15/38 (e) | | 335,000 | 328,432 |
| 5.625% 6/15/48 (e) | | 395,000 | 372,231 |
| Lafayette Parish School Board Sales Tax Rev. Series 2023: | | | |
| 4% 4/1/48 | | 1,900,000 | 1,827,939 |
| 4% 4/1/53 | | 1,900,000 | 1,802,400 |
| Louisiana Hsg. Corp. Single Fami (Home Ownership Prog.) Series 2023 C, 5.75% 12/1/53 | | 710,000 | 766,433 |
| Louisiana Local Govt. Envir. Facilities: | | | |
| (CDF Healthcare of Louisiana, LLC Proj.) Series 2015 A, 5.625% 6/1/45 | | 980,000 | 790,659 |
| (St. James Place of Baton Rouge Proj.) Series 2015 A: | | | |
6% 11/15/35 | | 120,000 | 115,641 |
6.25% 11/15/45 | | 765,000 | 710,785 |
| Louisiana Local Govt. Envir. Facilities and Cmnty. Dev. Auth.: | | | |
| (Provident Group - ULM Properties LLC - Univ. of Louisana at Monroe Proj.) Series 2019 A: | | | |
5% 7/1/39 (e) | | 255,000 | 212,169 |
5% 7/1/54 (e) | | 410,000 | 305,496 |
| (Provident Group - ULM Properties LLC - Univ. of Louisiana at Monroe Proj.) Series 2019 A, 5% 7/1/29 (e) | | 100,000 | 95,452 |
| (Ragin' Cajun Facilities, Inc. - Student Hsg. and Parking Proj.) Series 2018: | | | |
5% 10/1/43 (Assured Guaranty Muni. Corp. Insured) | | 125,000 | 127,716 |
5% 10/1/48 (Assured Guaranty Muni. Corp. Insured) | | 545,000 | 553,502 |
| (Westlake Chemical Corp. Projs.) Series 2017, 3.5% 11/1/32 | | 3,230,000 | 2,999,489 |
| Louisiana Local Govt. Envir. Facilities And Cmnty. Dev. Auth. Facilities Rev. (The Glen Retirement Sys. Proj.) Series 2019 A, 5% 1/1/49 | | 595,000 | 400,215 |
| Louisiana Offshore Term. Auth. Deepwater Port Rev.: | | | |
| (Loop LLC Proj.) Series 2013 A, 4.2%, tender 9/1/28 (b)(i) | | 1,000,000 | 1,015,034 |
| Bonds (LOOP LLC Proj.): | | | |
Series 2007 A, 1.65%, tender 12/1/23 (b) | | 1,795,000 | 1,795,000 |
Series 2013 A: | | | |
1.65%, tender 12/1/23 (b) | | 2,565,000 | 2,565,000 |
1.65%, tender 12/1/23 (b) | | 670,000 | 670,000 |
| Louisiana Pub. Facilities Auth. Hosp. Rev.: | | | |
| (Franciscan Missionaries of Our Lady Health Sys. Proj.) Series 2017 A, 5% 7/1/47 | | 580,000 | 583,243 |
| Series 2020 A, 3% 6/1/50 (Assured Guaranty Muni. Corp. Insured) | | 2,190,000 | 1,521,147 |
| Louisiana Pub. Facilities Auth. Lease Rev. (Provident Group - Flagship Properties LLC - Louisiana State Univ. Nicholson Gateway Proj.) Series 2016 A, 5% 7/1/46 | | 1,145,000 | 1,156,945 |
| Louisiana Pub. Facilities Auth. Rev.: | | | |
| (Loyola Univ. Proj.): | | | |
Series 2017, 5.25% 10/1/46 | | 2,110,000 | 2,196,211 |
Series 2021: | | | |
5% 10/1/34 | | 120,000 | 129,400 |
5% 10/1/35 | | 315,000 | 337,925 |
| (Ochsner Clinic Foundation Proj.): | | | |
Series 2015, 5% 5/15/47 | | 300,000 | 301,582 |
Series 2017: | | | |
4% 5/15/42 | | 750,000 | 710,700 |
5% 5/15/27 | | 55,000 | 57,705 |
| (Provident Group - HSC Properties, Inc. LSU Health Foundation) Series 2020 A1: | | | |
5.1% 1/1/57 (e) | | 1,980,000 | 1,660,767 |
5.375% 1/1/40 (e) | | 860,000 | 816,907 |
5.5% 1/1/50 (e) | | 590,000 | 539,749 |
| (Tulane Univ. of Louisiana Proj.): | | | |
Series 2016 A: | | | |
5% 12/15/28 | | 245,000 | 257,536 |
5% 12/15/29 | | 240,000 | 251,708 |
5% 12/15/30 | | 340,000 | 356,142 |
Series 2020 A, 5% 4/1/45 | | 1,045,000 | 1,096,964 |
| Loyola Univ. Proj. Series 2021, 4% 10/1/41 | | 235,000 | 219,839 |
| Series 2018 E: | | | |
5% 7/1/32 | | 95,000 | 102,158 |
5% 7/1/33 | | 75,000 | 80,665 |
5% 7/1/34 | | 90,000 | 96,677 |
| Louisiana Pub. Facilities Auth. Solid Waste Disp. Rev. Bonds (Waste Pro U.S.A., Inc. Proj.) Series 2023, 6.75%, tender 10/1/28 (b)(d)(e) | | 2,800,000 | 2,826,046 |
| New Orleans Aviation Board Series 2018 A, 5% 10/1/48 (Assured Guaranty Muni. Corp. Insured) | | 255,000 | 261,981 |
| New Orleans Aviation Board Rev.: | | | |
| (North Term. Proj.): | | | |
Series 2015 A, 5% 1/1/40 | | 685,000 | 689,211 |
Series 2015 B: | | | |
5% 1/1/29 (d) | | 630,000 | 634,401 |
5% 1/1/31 (d) | | 305,000 | 306,450 |
5% 1/1/34 (d) | | 1,180,000 | 1,184,273 |
5% 1/1/40 (d) | | 140,000 | 140,321 |
Series 2017 A: | | | |
5% 1/1/43 | | 550,000 | 562,630 |
5% 1/1/48 | | 1,255,000 | 1,277,505 |
Series 2017 B: | | | |
5% 1/1/27 (d) | | 50,000 | 51,945 |
5% 1/1/28 (d) | | 30,000 | 31,093 |
5% 1/1/32 (d) | | 50,000 | 51,661 |
5% 1/1/33 (d) | | 85,000 | 87,789 |
5% 1/1/34 (d) | | 25,000 | 25,806 |
5% 1/1/35 (d) | | 50,000 | 51,496 |
5% 1/1/37 (d) | | 705,000 | 720,682 |
5% 1/1/48 (d) | | 1,080,000 | 1,080,286 |
| Series 2017 D2: | | | |
5% 1/1/27 (d) | | 60,000 | 62,334 |
5% 1/1/28 (d) | | 90,000 | 93,280 |
5% 1/1/31 (d) | | 170,000 | 175,871 |
5% 1/1/33 (d) | | 125,000 | 129,102 |
5% 1/1/34 (d) | | 265,000 | 273,539 |
5% 1/1/35 (d) | | 90,000 | 92,693 |
5% 1/1/36 (d) | | 115,000 | 118,066 |
5% 1/1/37 (d) | | 185,000 | 189,115 |
5% 1/1/38 (d) | | 365,000 | 370,447 |
| New Orleans Gen. Oblig. Series 2021, 4% 10/1/34 | | 500,000 | 515,308 |
| New Orleans Swr. Svc. Rev. Series 2015: | | | |
| 5% 6/1/33 (Pre-Refunded to 6/1/25 @ 100) | | 205,000 | 210,969 |
| 5% 6/1/40 (Pre-Refunded to 6/1/25 @ 100) | | 825,000 | 849,023 |
| 5% 6/1/45 (Pre-Refunded to 6/1/25 @ 100) | | 645,000 | 663,782 |
| New Orleans Wtr. Series 2015: | | | |
| 5% 12/1/40 (Pre-Refunded to 12/1/25 @ 100) | | 170,000 | 176,474 |
| 5% 12/1/45 (Pre-Refunded to 12/1/25 @ 100) | | 2,400,000 | 2,491,392 |
| Saint James Parish Gen. Oblig.: | | | |
| (Nustar Logistics, L.P. Proj.) Series 2010, 6.35% 7/1/40 (e) | | 750,000 | 806,397 |
| Bonds (Nustar Logistics, L.P. Proj.): | | | |
Series 2008, 6.1%, tender 6/1/30 (b)(e) | | 740,000 | 800,378 |
Series 2010 B, 6.1%, tender 6/1/30 (b)(e) | | 975,000 | 1,054,569 |
Series 2011, 5.85%, tender 6/1/25 (b)(e) | | 1,410,000 | 1,434,513 |
| Shreveport Gen. Oblig. Series 2017, 5% 8/1/30 | | 1,000,000 | 1,048,625 |
| Shreveport Wtr. & Swr. Rev.: | | | |
| Series 2017 A, 5% 12/1/41 (Assured Guaranty Muni. Corp. Insured) | | 565,000 | 582,263 |
| Series 2019 B: | | | |
4% 12/1/44 (Assured Guaranty Muni. Corp. Insured) | | 210,000 | 200,342 |
4% 12/1/49 (Assured Guaranty Muni. Corp. Insured) | | 265,000 | 241,791 |
| St. John Baptist Parish Rev.: | | | |
| (Marathon Oil Corp.) Series 2017, 2.2% 6/1/37 (b) | | 2,320,000 | 2,202,941 |
| Bonds: | | | |
(Marathon Oil Corp. Proj.) Series 2017 B1, 2.125%, tender 7/1/24 (b) | | 295,000 | 289,872 |
(Marathon Oil Corp.) Series 2017: | | | |
2.1%, tender 7/1/24 (b) | | 230,000 | 225,970 |
4.05%, tender 7/1/26 (b) | | 2,000,000 | 1,988,360 |
Series 2017 B2, 2.375%, tender 7/1/26 (b) | | 1,790,000 | 1,700,122 |
TOTAL LOUISIANA | | | 62,921,009 |
| Maine - 0.2% | | | |
| Auburn (Edward Little High School Proj.) Series 2021, 2.25% 11/1/39 | | 2,640,000 | 1,923,769 |
| Brunswick Series 2020, 2.375% 11/1/37 | | 330,000 | 261,827 |
| Maine Fin. Auth. Rev. (Go Lab. Madison, LLC Proj.) Series 2021, 8% 12/1/51 (d)(e) | | 900,000 | 582,156 |
| Maine Fin. Auth. Solid Waste Disposable Rev.: | | | |
| (Casella Waste Sys., Inc. Proj.) Series 2005 R3, 5.25% 1/1/25 (d)(e) | | 120,000 | 119,970 |
| Bonds (Casella Waste Systems, Inc. Proj.) Series 2015 R2, 4.375%, tender 8/1/25 (b)(d)(e) | | 240,000 | 236,617 |
| Maine Fin. Auth. Student Ln. Rev. (Supplemental Ed. Ln. Prog.) Series 2021 A1: | | | |
| 5% 12/1/28 (Assured Guaranty Muni. Corp. Insured) (d) | | 105,000 | 111,803 |
| 5% 12/1/29 (Assured Guaranty Muni. Corp. Insured) (d) | | 105,000 | 112,785 |
| 5% 12/1/30 (Assured Guaranty Muni. Corp. Insured) (d) | | 105,000 | 113,832 |
| Maine Health & Higher Edl. Facilities Auth. Rev.: | | | |
| Series 2016 A: | | | |
4% 7/1/41 | | 350,000 | 302,824 |
4% 7/1/46 | | 490,000 | 398,891 |
5% 7/1/41 | | 1,290,000 | 1,238,778 |
5% 7/1/46 | | 3,395,000 | 3,026,223 |
| Series 2017 A, 5% 7/1/47 | | 2,645,000 | 2,678,836 |
| Series 2017 B: | | | |
4% 7/1/25 | | 55,000 | 55,428 |
4% 7/1/31 | | 85,000 | 85,854 |
4% 7/1/32 | | 60,000 | 60,501 |
4% 7/1/34 | | 125,000 | 125,836 |
5% 7/1/26 | | 40,000 | 41,638 |
5% 7/1/28 | | 65,000 | 68,642 |
5% 7/1/29 | | 50,000 | 52,579 |
5% 7/1/33 | | 140,000 | 147,151 |
5% 7/1/35 | | 90,000 | 94,199 |
| Series 2018 A: | | | |
5% 7/1/30 | | 65,000 | 68,825 |
5% 7/1/31 | | 60,000 | 63,416 |
5% 7/1/34 | | 110,000 | 116,412 |
5% 7/1/35 | | 155,000 | 163,695 |
5% 7/1/36 | | 180,000 | 188,974 |
5% 7/1/37 | | 170,000 | 177,292 |
5% 7/1/38 | | 125,000 | 129,602 |
5% 7/1/43 | | 250,000 | 256,280 |
| Series 2020 A: | | | |
4% 7/1/36 | | 315,000 | 317,821 |
4% 7/1/37 | | 255,000 | 255,386 |
4% 7/1/38 | | 265,000 | 263,235 |
4% 7/1/39 | | 330,000 | 324,492 |
4% 7/1/40 | | 465,000 | 453,072 |
4% 7/1/50 | | 1,660,000 | 1,512,360 |
| Series 2021 A, 4% 7/1/51 | | 1,000,000 | 914,925 |
| Maine Hsg. Auth. Mtg.: | | | |
| Series 2020 C, 4% 11/15/50 | | 565,000 | 560,827 |
| Series C, 3.5% 11/15/46 | | 100,000 | 99,205 |
| Maine Hsg. Auth. Mtg. Purchase Rev. Series 2014 C1, 3.5% 11/15/44 (d) | | 115,000 | 114,152 |
| Maine Muni. Bond Bank Series 2016 B, 3.5% 11/1/29 | | 735,000 | 738,971 |
| Maine Tpk. Auth. Tpk. Rev.: | | | |
| Series 2015: | | | |
5% 7/1/32 | | 125,000 | 128,537 |
5% 7/1/36 | | 320,000 | 327,468 |
5% 7/1/38 | | 80,000 | 81,694 |
| Series 2018: | | | |
5% 7/1/33 | | 40,000 | 43,446 |
5% 7/1/34 | | 55,000 | 59,826 |
5% 7/1/35 | | 60,000 | 65,144 |
5% 7/1/36 | | 110,000 | 118,508 |
5% 7/1/47 | | 30,000 | 31,233 |
TOTAL MAINE | | | 19,414,937 |
| Maryland - 1.3% | | | |
| Anne Arundel Cny Series 2023, 5% 10/1/46 | | 2,195,000 | 2,421,026 |
| Anne Arundel County Gen. Oblig. Series 2021, 3% 10/1/37 | | 2,540,000 | 2,273,027 |
| Baltimore Convention Ctr. Hotel Rev. Series 2017: | | | |
| 5% 9/1/25 | | 305,000 | 305,015 |
| 5% 9/1/26 | | 100,000 | 100,378 |
| 5% 9/1/33 | | 210,000 | 210,844 |
| 5% 9/1/34 | | 765,000 | 767,078 |
| 5% 9/1/36 | | 870,000 | 859,482 |
| 5% 9/1/42 | | 1,135,000 | 1,058,757 |
| 5% 9/1/46 | | 3,685,000 | 3,334,496 |
| Baltimore County Gen. Oblig.: | | | |
| Series 2015, 3.5% 8/1/29 | | 1,265,000 | 1,270,863 |
| Series 2020, 4% 1/1/45 | | 250,000 | 222,333 |
| Baltimore Gen. Oblig.: | | | |
| (East Baltimore Research Park Proj.) Series 2017 A, 5% 9/1/38 | | 330,000 | 328,114 |
| Series 2022, 5% 6/1/51 | | 600,000 | 569,938 |
| Baltimore Proj. Rev.: | | | |
| (Wastewtr. Projs.) Series 2014 C, 5% 7/1/33 | | 945,000 | 959,042 |
| (Wtr. Projs.): | | | |
Series 2013 B: | | | |
5% 7/1/28 (Pre-Refunded to 1/1/24 @ 100) | | 440,000 | 440,538 |
5% 7/1/30 (Pre-Refunded to 1/1/24 @ 100) | | 670,000 | 670,819 |
Series 2014 C, 5% 7/1/31 | | 635,000 | 645,177 |
Series 2017 A, 5% 7/1/41 | | 1,065,000 | 1,097,952 |
Series 2019 A, 4% 7/1/49 | | 1,385,000 | 1,326,371 |
Series 2020 A: | | | |
4% 7/1/45 | | 1,415,000 | 1,384,205 |
5% 7/1/50 | | 1,555,000 | 1,638,748 |
| Brunswick Spl. Oblig. Series 2019: | | | |
| 4% 7/1/29 | | 80,000 | 77,929 |
| 5% 7/1/36 | | 85,000 | 85,529 |
| City of Westminster Series 2016: | | | |
| 5% 11/1/27 | | 315,000 | 326,621 |
| 5% 11/1/28 | | 335,000 | 347,341 |
| 5% 11/1/29 | | 355,000 | 367,808 |
| 5% 11/1/30 | | 375,000 | 387,833 |
| 5% 11/1/31 | | 110,000 | 113,658 |
| Frederick County Gen. Oblig. Series 2021 A, 1.75% 10/1/36 | | 1,250,000 | 951,340 |
| Frederick County Tax Increment and Spl. Tax Series 2020 B, 4.625% 7/1/43 (e) | | 455,000 | 429,495 |
| Gaithersburg Eco Dev. Rev. Bd Series 2018 A: | | | |
| 5% 1/1/27 | | 210,000 | 210,535 |
| 5% 1/1/28 | | 280,000 | 281,045 |
| 5% 1/1/33 | | 1,750,000 | 1,750,569 |
| 5% 1/1/36 | | 85,000 | 83,188 |
| Howard County Spl. Oblig. (Downtown Columbia Proj.) Series 2017 A, 4.5% 2/15/47 (e) | | 235,000 | 210,631 |
| Hsg. Opportunities Commission of Montgomery County Series 2021 C, 0.8% 7/1/25 | | 375,000 | 352,151 |
| Maryland Cmnty. Dev. Admin Dept. Hsg. & Cmnty. Dev.: | | | |
| Series 2014 C, 4% 9/1/44 | | 110,000 | 109,661 |
| Series 2018 A, 4.5% 9/1/48 | | 705,000 | 707,909 |
| Series 2019 C: | | | |
3.5% 3/1/50 | | 95,000 | 93,099 |
5% 9/1/27 | | 45,000 | 47,911 |
5% 9/1/28 | | 5,000 | 5,387 |
| Series 2020 D, 3.25% 9/1/50 | | 1,690,000 | 1,646,251 |
| Series 2021 A, 3% 9/1/51 | | 1,495,000 | 1,445,390 |
| Series 2021 B, 3% 9/1/51 | | 1,645,000 | 1,582,635 |
| Series 2023 E, 6.25% 3/1/54 | | 875,000 | 952,614 |
| Maryland Dept. of Trans.: | | | |
| Series 2016, 3% 11/1/30 | | 1,750,000 | 1,709,254 |
| Series 2021 B: | | | |
4% 8/1/37 (d) | | 640,000 | 631,001 |
4% 8/1/38 (d) | | 575,000 | 564,092 |
4% 8/1/51 (d) | | 1,270,000 | 1,134,680 |
5% 8/1/36 (d) | | 295,000 | 317,163 |
5% 8/1/46 (d) | | 6,265,000 | 6,447,464 |
| Maryland Econ. Dev. Auth. Rev.: | | | |
| (Ports America Chesapeake LLC. Proj.) Series 2017 A: | | | |
5% 6/1/24 | | 145,000 | 145,507 |
5% 6/1/25 | | 150,000 | 151,740 |
5% 6/1/27 | | 140,000 | 145,863 |
5% 6/1/30 | | 530,000 | 555,145 |
5% 6/1/32 | | 145,000 | 151,278 |
5% 6/1/35 | | 1,085,000 | 1,128,212 |
| (Trans. Facilities Proj.) Series 2017 A, 5% 6/1/28 | | 210,000 | 221,222 |
| Series 2022 A: | | | |
5% 12/31/42 | | 1,000,000 | 1,021,511 |
5.25% 6/30/53 | | 1,500,000 | 1,535,460 |
| Maryland Econ. Dev. Corp.: | | | |
| (Port Covington Proj.) Series 2020: | | | |
4% 9/1/40 | | 485,000 | 424,928 |
4% 9/1/50 | | 1,090,000 | 877,925 |
| (Purple Line Lt. Rail Proj.): | | | |
Series 2022 A, 5% 11/12/28 (d) | | 2,750,000 | 2,804,886 |
Series 2022 B: | | | |
5.25% 6/30/52 (d) | | 1,000,000 | 1,014,728 |
5.25% 6/30/55 (d) | | 11,120,000 | 11,258,655 |
| Purple Line Lt. Rail Proj. Series 2022 B, 5.25% 6/30/47 (d) | | 1,350,000 | 1,380,577 |
| Maryland Econ. Dev. Corp. Rev. Bonds (Constellation Energy Group INC. Proj.) Series 2006 B, 4.1%, tender 4/3/28 (b) | | 800,000 | 807,555 |
| Maryland Econ. Dev. Corp. Sr. Parking Facilities Rev.: | | | |
| (Baltimore City Proj.): | | | |
Series 2018 A, 5% 6/1/58 | | 715,000 | 686,538 |
Series 2018 C: | | | |
4% 6/1/48 | | 115,000 | 85,202 |
4% 6/1/58 | | 340,000 | 236,946 |
| Series 2018 C, 4% 6/1/38 | | 35,000 | 29,215 |
| Maryland Econ. Dev. Corp. Student Hsg. Rev.: | | | |
| (Bowie State Univ. Proj.) Series 2015: | | | |
5% 6/1/25 (e) | | 105,000 | 106,200 |
5% 6/1/29 (e) | | 335,000 | 342,486 |
5% 6/1/33 (e) | | 360,000 | 366,992 |
| (Univ. of Maryland, College Park Projs.) Series 2016: | | | |
5% 6/1/35 (Assured Guaranty Muni. Corp. Insured) | | 645,000 | 666,928 |
5% 6/1/43 (Assured Guaranty Muni. Corp. Insured) | | 240,000 | 243,504 |
| Maryland Gen. Oblig.: | | | |
| Series 2018 A, 5% 3/15/26 | | 1,000,000 | 1,047,868 |
| Series 2021 2A, 5% 8/1/28 | | 4,040,000 | 4,459,777 |
| Series 2022 2C, 4% 3/1/29 | | 3,030,000 | 3,233,208 |
| Series 2022 A, 5% 6/1/33 | | 750,000 | 877,361 |
| Series 2023 A, 5% 3/15/36 | | 1,000,000 | 1,167,148 |
| Series C, 5% 8/1/24 | | 2,605,000 | 2,640,018 |
| Maryland Health & Higher Edl.: | | | |
| Series 2021 A: | | | |
3% 7/1/51 | | 2,815,000 | 2,008,725 |
4% 6/1/38 | | 500,000 | 482,170 |
4% 6/1/46 | | 1,050,000 | 949,365 |
4% 6/1/51 | | 1,640,000 | 1,440,543 |
4% 6/1/55 | | 1,545,000 | 1,332,248 |
5% 6/1/29 | | 125,000 | 134,216 |
5% 6/1/31 | | 20,000 | 21,791 |
5% 6/1/33 | | 320,000 | 346,469 |
| Series 2021 B, 4% 1/1/51 | | 700,000 | 576,504 |
| Series 2021, 5% 1/1/36 | | 155,000 | 160,110 |
| Maryland Health & Higher Edl. Facilities Auth. Rev.: | | | |
| (Medstar Health, Inc. Proj.) Series 2017 A, 5% 5/15/45 | | 1,550,000 | 1,567,392 |
| Series 2013 A, 6.75% 7/1/44 | | 290,000 | 290,213 |
| Series 2014: | | | |
5% 7/1/39 (Pre-Refunded to 7/1/24 @ 100) | | 1,475,000 | 1,489,073 |
5.25% 7/1/34 (Pre-Refunded to 7/1/24 @ 100) | | 2,415,000 | 2,440,069 |
| Series 2015: | | | |
5% 8/15/25 | | 1,370,000 | 1,393,516 |
5% 7/1/27 | | 900,000 | 916,829 |
5% 7/1/29 | | 370,000 | 377,025 |
5% 8/15/33 | | 1,325,000 | 1,345,395 |
5% 7/1/40 | | 110,000 | 110,932 |
5% 7/1/45 | | 1,915,000 | 1,924,029 |
5% 7/1/47 | | 2,610,000 | 2,622,018 |
| Series 2016 A: | | | |
4% 7/1/42 | | 255,000 | 229,468 |
5% 7/1/32 | | 85,000 | 87,037 |
5% 7/1/33 | | 215,000 | 220,067 |
5% 7/1/34 | | 255,000 | 261,299 |
5% 7/1/35 | | 425,000 | 434,984 |
5% 7/1/36 | | 210,000 | 214,289 |
5% 7/1/38 | | 65,000 | 65,600 |
5.5% 1/1/36 | | 2,475,000 | 2,554,006 |
5.5% 1/1/46 | | 4,925,000 | 4,972,604 |
| Series 2017 A: | | | |
5% 7/1/33 | | 370,000 | 381,007 |
5% 7/1/38 | | 1,030,000 | 1,040,565 |
| Series 2020 B: | | | |
5% 4/15/24 | | 45,000 | 45,243 |
5% 4/15/25 | | 60,000 | 61,301 |
| Maryland Stadium Auth. Series 2022 A: | | | |
| 5% 6/1/47 | | 5,050,000 | 5,368,541 |
| 5% 6/1/52 | | 1,195,000 | 1,262,186 |
| Maryland Stadium Auth. Built to Learn Rev.: | | | |
| Series 2021, 4% 6/1/46 | | 3,235,000 | 3,084,983 |
| Series 2022 A: | | | |
4% 6/1/35 | | 160,000 | 165,098 |
4% 6/1/37 | | 135,000 | 136,836 |
4% 6/1/38 | | 145,000 | 145,582 |
4% 6/1/47 | | 1,665,000 | 1,579,221 |
| Maryland Stadium Auth. Rev.: | | | |
| Series 2018 A: | | | |
5% 5/1/34 | | 530,000 | 565,720 |
5% 5/1/42 | | 1,710,000 | 1,772,000 |
| Series 2018 B, 5% 5/1/35 | | 1,180,000 | 1,256,419 |
| Series 2020 B, 5% 5/1/47 | | 740,000 | 812,195 |
| Series 2022 C: | | | |
0% 5/1/51 | | 1,355,000 | 357,459 |
0% 5/1/52 | | 2,040,000 | 509,177 |
0% 5/1/53 | | 1,010,000 | 238,525 |
0% 5/1/54 | | 1,490,000 | 334,039 |
0% 5/1/55 | | 925,000 | 196,819 |
| Maryland Trans. Auth. Passenger Facility Charge Rev. Series 2019, 4% 6/1/33 (d) | | 960,000 | 971,120 |
| Maryland Trans. Auth. Trans. Facility Projs. Rev. Series 2020: | | | |
| 4% 7/1/50 | | 605,000 | 582,159 |
| 5% 7/1/40 | | 315,000 | 340,323 |
| Montgomery County Econ. Dev. Rev. Series 2018 A, 5.375% 7/1/48 | | 915,000 | 744,439 |
| Montgomery County Gen. Oblig. Series 2021 A, 2% 8/1/41 | | 3,000,000 | 2,048,764 |
| Prince Georges County Ctfs. of Prtn. Series 2021: | | | |
| 5% 10/1/27 | | 1,740,000 | 1,874,843 |
| 5% 10/1/28 | | 2,545,000 | 2,790,746 |
| Prince Georges County Rev. Auth. Spl. Oblig. (Suitland-Naylor Road Proj.) Series 2016: | | | |
| 4.75% 7/1/36 (e) | | 245,000 | 245,567 |
| 5% 7/1/46 (e) | | 350,000 | 338,582 |
| Rockville Mayor & Council Econ. Dev.: | | | |
| (Ingleside at King Farm Proj.): | | | |
Series 2017 A1, 5% 11/1/31 | | 210,000 | 197,170 |
Series 2017 A2: | | | |
5% 11/1/29 | | 70,000 | 66,959 |
5% 11/1/31 | | 85,000 | 79,807 |
5% 11/1/32 | | 70,000 | 65,220 |
Series 2017 B: | | | |
4.25% 11/1/37 | | 55,000 | 43,909 |
4.5% 11/1/43 | | 275,000 | 216,117 |
5% 11/1/47 | | 1,005,000 | 830,666 |
| (Rfdg.-Ingleside King Farm Proj.) Series 2017: | | | |
5% 11/1/35 | | 140,000 | 127,090 |
5% 11/1/37 | | 315,000 | 280,904 |
5% 11/1/42 | | 1,280,000 | 1,092,504 |
| Washington County Econ. Dev. Rev. (Homewood Maryland Obligated Group Proj.) Series 2021: | | | |
| 4% 5/1/26 | | 245,000 | 236,645 |
| 4% 5/1/27 | | 255,000 | 241,807 |
| 4% 5/1/30 | | 285,000 | 254,329 |
| 4% 5/1/31 | | 155,000 | 135,653 |
| 4% 5/1/36 | | 985,000 | 790,443 |
| 4% 5/1/42 | | 2,010,000 | 1,471,492 |
| Washington Metropolitan Area Transit Auth.: | | | |
| Series 2020 A: | | | |
4% 7/15/40 | | 180,000 | 181,383 |
5% 7/15/38 | | 740,000 | 808,934 |
5% 7/15/39 | | 1,625,000 | 1,767,198 |
| Series 2021 A: | | | |
4% 7/15/39 | | 1,000,000 | 1,013,382 |
5% 7/15/41 | | 740,000 | 808,299 |
| Westminster Proj. Rev.: | | | |
| Series 2014 A: | | | |
5% 7/1/24 | | 65,000 | 65,049 |
6.25% 7/1/44 | | 510,000 | 511,108 |
| Series 2014: | | | |
5.125% 7/1/34 (Pre-Refunded to 7/1/24 @ 100) | | 635,000 | 641,144 |
5.5% 7/1/44 (Pre-Refunded to 7/1/24 @ 100) | | 635,000 | 642,487 |
TOTAL MARYLAND | | | 157,856,114 |
| Massachusetts - 1.4% | | | |
| Boston Gen. Oblig. Series 2023 A, 5% 11/1/38 | | 935,000 | 1,078,297 |
| Massachusetts Bay Trans. Auth. Sales Tax Rev.: | | | |
| Series 2015 A, 5% 7/1/45 | | 360,000 | 364,314 |
| Series 2016 A, 0% 7/1/31 | | 2,570,000 | 1,890,412 |
| Series 2021 A1, 5% 7/1/34 | | 2,640,000 | 3,004,954 |
| Massachusetts Clean Wtr. Trust: | | | |
| Series 2021 23A, 5% 2/1/39 | | 1,965,000 | 2,168,939 |
| Series 2023 2023: | | | |
5% 2/1/33 | | 2,300,000 | 2,724,853 |
5% 2/1/34 | | 1,800,000 | 2,127,298 |
5% 2/1/35 | | 1,200,000 | 1,412,649 |
| Massachusetts Commonwealth Trans. Fund Rev.: | | | |
| (Rail Enhancement Prog.) Series 2021 B, 5% 6/1/37 | | 3,900,000 | 4,169,469 |
| Series 2017 A, 5% 6/1/43 | | 1,980,000 | 2,060,152 |
| Series 2021 A, 5% 6/1/51 | | 6,265,000 | 6,615,895 |
| Massachusetts Dept. of Trans. Metropolitan Hwy. Sys. Rev. Series 2019 A, 5% 1/1/32 | | 2,315,000 | 2,537,925 |
| Massachusetts Dev. Fin. Agcy. Rev.: | | | |
| (Lesley Univ. Proj.) Series 2016, 5% 7/1/39 | | 255,000 | 256,726 |
| (Newbridge On The Charles Proj.) Series 2017: | | | |
5% 10/1/47 (e) | | 1,255,000 | 1,123,151 |
5% 10/1/57 (e) | | 2,460,000 | 2,117,907 |
| (Partners Healthcare Sys., Inc. Proj.): | | | |
Series 2017 S: | | | |
5% 7/1/30 | | 475,000 | 509,158 |
5% 7/1/32 | | 270,000 | 288,726 |
5% 7/1/34 | | 510,000 | 544,684 |
Series 2017, 4% 7/1/41 | | 1,215,000 | 1,188,883 |
| (UMass Memorial Health Care Proj.) Series K, 5% 7/1/38 | | 275,000 | 280,211 |
| (Univ. of Massachusetts Health Cr., Inc. Proj.) Series 2017 L: | | | |
4% 7/1/44 | | 680,000 | 602,358 |
5% 7/1/44 | | 350,000 | 354,603 |
| (Wentworth Institute of Technology Proj.) Series 2017: | | | |
5% 10/1/27 | | 125,000 | 128,280 |
5% 10/1/28 | | 125,000 | 128,256 |
5% 10/1/29 | | 135,000 | 138,290 |
5% 10/1/30 | | 65,000 | 66,499 |
5% 10/1/31 | | 150,000 | 153,280 |
5% 10/1/32 | | 155,000 | 158,207 |
5% 10/1/33 | | 75,000 | 76,457 |
5% 10/1/46 | | 240,000 | 234,726 |
| Caregroup, Inc. Series 2015 H-1, 5% 7/1/25 (Pre-Refunded to 7/1/25 @ 100) | | 90,000 | 92,136 |
| Series 1999 P, 5.45% 5/15/59 (Assured Guaranty Corp. Insured) | | 355,000 | 392,065 |
| Series 2013 G, 5% 7/1/37 | | 570,000 | 569,958 |
| Series 2014 F: | | | |
5.625% 7/15/36 | | 85,000 | 82,785 |
5.75% 7/15/43 | | 920,000 | 906,640 |
| Series 2015 D, 5% 7/1/44 | | 145,000 | 145,679 |
| Series 2015 F, 5% 8/15/30 | | 210,000 | 214,296 |
| Series 2015 O1, 5% 7/1/45 | | 1,500,000 | 1,516,734 |
| Series 2015 O2, 5% 7/1/27 | | 300,000 | 308,868 |
| Series 2015: | | | |
5% 4/15/25 | | 30,000 | 30,037 |
5% 1/1/31 | | 190,000 | 192,277 |
5% 5/1/41 | | 300,000 | 302,538 |
| Series 2016 A, 5.25% 1/1/42 | | 50,000 | 50,660 |
| Series 2016 B, 4% 10/1/46 | | 165,000 | 141,985 |
| Series 2016: | | | |
5% 10/1/29 | | 120,000 | 124,924 |
5% 10/1/30 | | 185,000 | 192,353 |
5% 7/1/31 | | 205,000 | 211,301 |
5% 10/1/31 | | 200,000 | 207,596 |
5% 1/1/40 | | 530,000 | 543,942 |
5% 10/1/43 | | 1,810,000 | 1,818,622 |
5% 7/1/46 | | 465,000 | 467,607 |
5% 10/1/48 | | 2,100,000 | 2,021,831 |
| Series 2017 A, 5% 1/1/36 | | 155,000 | 159,783 |
| Series 2017 B: | | | |
5% 7/1/42 | | 580,000 | 553,516 |
5% 9/1/42 | | 2,135,000 | 2,212,753 |
| Series 2017, 5% 7/1/47 | | 60,000 | 59,978 |
| Series 2018 J1, 5% 7/1/48 | | 640,000 | 654,188 |
| Series 2018: | | | |
5% 11/15/38 (e) | | 380,000 | 385,742 |
5% 1/1/43 | | 85,000 | 85,572 |
5% 10/1/48 | | 350,000 | 314,644 |
5% 10/1/54 | | 600,000 | 528,285 |
5.125% 11/15/46 (e) | | 920,000 | 932,821 |
| Series 2019 A: | | | |
4% 7/1/44 | | 475,000 | 409,113 |
5% 7/1/39 | | 395,000 | 393,453 |
5% 7/1/44 | | 465,000 | 454,706 |
| Series 2019 K: | | | |
5% 7/1/25 | | 55,000 | 56,306 |
5% 7/1/26 | | 70,000 | 72,989 |
5% 7/1/27 | | 85,000 | 90,145 |
5% 7/1/31 | | 240,000 | 258,747 |
5% 7/1/32 | | 240,000 | 258,568 |
| Series 2019: | | | |
5% 7/1/25 | | 40,000 | 40,642 |
5% 7/1/26 | | 25,000 | 25,731 |
5% 7/1/28 | | 35,000 | 36,888 |
5% 7/1/29 | | 30,000 | 31,831 |
5% 9/1/59 | | 1,755,000 | 1,827,834 |
| Series 2020 A: | | | |
4% 7/1/45 | | 3,055,000 | 2,660,448 |
5% 10/15/29 | | 3,530,000 | 4,000,739 |
| Series 2020 C: | | | |
4% 10/1/45 (Assured Guaranty Muni. Corp. Insured) | | 400,000 | 365,732 |
5% 10/1/32 (Assured Guaranty Muni. Corp. Insured) | | 180,000 | 194,743 |
5% 10/1/33 (Assured Guaranty Muni. Corp. Insured) | | 110,000 | 118,754 |
| Series 2021 V, 5% 7/1/55 | | 4,180,000 | 4,779,169 |
| Series 2021: | | | |
4% 9/1/48 | | 335,000 | 268,250 |
4% 7/1/51 | | 1,110,000 | 924,324 |
5% 7/1/41 (e) | | 300,000 | 252,693 |
| Series 2022 B, 5% 11/15/32 | | 2,000,000 | 2,378,309 |
| Series 2022: | | | |
5% 10/1/38 | | 1,000,000 | 1,118,289 |
5% 10/1/44 | | 3,500,000 | 3,801,524 |
5.125% 1/1/40 | | 105,000 | 93,612 |
5.25% 1/1/50 | | 655,000 | 548,467 |
| Series 2023 G: | | | |
4.375% 7/1/52 | | 785,000 | 728,129 |
5.25% 7/1/52 | | 3,450,000 | 3,598,684 |
| Series BB1, 5% 10/1/46 | | 1,205,000 | 1,233,290 |
| Series J2, 5% 7/1/53 | | 7,175,000 | 7,285,115 |
| Series M: | | | |
4% 10/1/50 | | 3,070,000 | 2,498,888 |
5% 10/1/45 | | 2,315,000 | 2,262,653 |
| Series N 2016, 5% 12/1/41 | | 2,000,000 | 2,046,160 |
| Massachusetts Edl. Fing. Auth. Rev.: | | | |
| Series 2012 J: | | | |
4.7% 7/1/26 (d) | | 105,000 | 105,019 |
4.9% 7/1/28 (d) | | 110,000 | 110,020 |
| Series 2016 J, 3.5% 7/1/33 (d) | | 1,525,000 | 1,460,518 |
| Series 2016, 5% 7/1/24 (d) | | 990,000 | 996,796 |
| Series 2018 C, 4.125% 7/1/46 (d) | | 2,180,000 | 1,861,775 |
| Series 2019 B: | | | |
3% 7/1/35 (d) | | 150,000 | 149,862 |
5% 7/1/27 (d) | | 475,000 | 491,076 |
| Series 2019 C, 3.75% 7/1/47 (d) | | 2,430,000 | 1,936,801 |
| Series 2020 B, 2.625% 7/1/36 (d) | | 55,000 | 53,735 |
| Series 2021 B, 2% 7/1/37 (d) | | 90,000 | 75,867 |
| Series 2021 C, 3% 7/1/51 (d) | | 950,000 | 630,882 |
| Series 2022 C, 4.125% 7/1/52 (d) | | 2,210,000 | 1,814,230 |
| Massachusetts Gen. Oblig.: | | | |
| Series 2004 A, 5.5% 8/1/30 | | 1,185,000 | 1,373,803 |
| Series 2016 B, 5% 7/1/24 | | 1,100,000 | 1,111,878 |
| Series 2017 A, 5% 4/1/37 | | 550,000 | 576,423 |
| Series 2017 D, 5% 7/1/25 | | 1,500,000 | 1,546,787 |
| Series 2019 A, 5% 1/1/49 | | 705,000 | 736,295 |
| Series 2019 C, 5% 5/1/49 | | 1,205,000 | 1,261,634 |
| Series 2020 C: | | | |
3% 3/1/47 | | 2,000,000 | 1,574,244 |
3% 3/1/49 | | 2,335,000 | 1,802,910 |
| Series 2021 B, 3% 4/1/49 | | 3,150,000 | 2,431,231 |
| Series 2022 B, 3% 2/1/48 | | 5,250,000 | 4,093,435 |
| Series 2022 C, 5% 10/1/52 | | 750,000 | 804,934 |
| Series E: | | | |
5% 11/1/45 | | 1,125,000 | 1,203,947 |
5% 11/1/50 | | 220,000 | 233,458 |
| Massachusetts Hsg. Fin. Auth.: | | | |
| Series 2021 221, 3% 12/1/50 | | 750,000 | 727,441 |
| Series 2021 223, 3% 6/1/47 | | 2,015,000 | 1,952,980 |
| Massachusetts Muni. Wholesale Elec. Co. Series 2021 A, 4% 7/1/46 | | 480,000 | 469,882 |
| Massachusetts Port Auth. Rev.: | | | |
| Series 2016 A: | | | |
5% 7/1/33 | | 255,000 | 266,472 |
5% 7/1/34 | | 130,000 | 135,737 |
5% 7/1/38 | | 190,000 | 196,084 |
| Series 2016 B, 5% 7/1/43 (d) | | 1,045,000 | 1,054,624 |
| Series 2019 A: | | | |
5% 7/1/34 (d) | | 1,005,000 | 1,076,527 |
5% 7/1/35 (d) | | 1,000,000 | 1,067,566 |
5% 7/1/36 (d) | | 170,000 | 180,384 |
5% 7/1/37 (d) | | 835,000 | 879,609 |
5% 7/1/38 (d) | | 1,045,000 | 1,093,329 |
5% 7/1/39 (d) | | 1,700,000 | 1,772,392 |
5% 7/1/40 (d) | | 1,580,000 | 1,642,608 |
| Series 2021 E: | | | |
5% 7/1/37 (d) | | 2,895,000 | 3,097,502 |
5% 7/1/41 (d) | | 4,915,000 | 5,151,131 |
5% 7/1/46 (d) | | 2,680,000 | 2,769,552 |
5% 7/1/51 (d) | | 6,355,000 | 6,523,435 |
| Massachusetts Port Auth. Spl. Facilities Rev.: | | | |
| (BOSfuel Proj.) Series 2019 A: | | | |
5% 7/1/35 (d) | | 105,000 | 111,985 |
5% 7/1/36 (d) | | 210,000 | 222,070 |
5% 7/1/37 (d) | | 305,000 | 320,204 |
| (Bosfuel Proj.) Series 2019 A, 5% 7/1/49 (d) | | 1,050,000 | 1,066,614 |
| Massachusetts School Bldg. Auth. Dedicated Sales Tax Rev.: | | | |
| Series 2015 C, 5% 8/15/31 (Pre-Refunded to 8/15/25 @ 100) | | 180,000 | 186,013 |
| Series 2016 B, 5% 11/15/33 | | 1,625,000 | 1,705,555 |
| Massachusetts Wtr. Resources Auth. Wtr. & Swr. Rev. Series 2016 C, 4% 8/1/40 | | 2,710,000 | 2,708,310 |
| Natick Gen. Oblig. Series 2018, 4% 7/15/36 | | 500,000 | 511,813 |
| Somerville Gen. Oblig. Series 2020, 2.125% 10/15/39 | | 1,125,000 | 835,826 |
| Stoneham Gen. Oblig. Series 2022: | | | |
| 2.25% 1/15/40 | | 500,000 | 366,162 |
| 2.25% 1/15/41 | | 3,630,000 | 2,612,248 |
| Univ. of Massachusetts Bldg. Auth. Rev. Series 2017 3, 5% 11/1/36 | | 1,895,000 | 2,026,216 |
| Worcester Gen. Oblig. Series 2022, 3% 2/1/37 (Assured Guaranty Muni. Corp. Insured) | | 250,000 | 227,213 |
TOTAL MASSACHUSETTS | | | 171,437,644 |
| Michigan - 1.3% | | | |
| Calhoun County Hosp. Fin. Auth. Rev. Series 2016: | | | |
| 5% 2/15/37 | | 140,000 | 139,473 |
| 5% 2/15/41 | | 800,000 | 766,887 |
| 5% 2/15/47 | | 2,235,000 | 2,055,773 |
| Detroit Downtown Dev. Auth. Tax: | | | |
| Series 2018 A: | | | |
5% 7/1/43 | | 620,000 | 621,416 |
5% 7/1/48 (Assured Guaranty Muni. Corp. Insured) | | 2,360,000 | 2,363,265 |
| Series A, 5% 7/1/34 (Assured Guaranty Muni. Corp. Insured) | | 2,750,000 | 2,767,005 |
| Detroit Gen. Oblig.: | | | |
| Series 2018: | | | |
5% 4/1/27 | | 235,000 | 242,590 |
5% 4/1/29 | | 105,000 | 109,232 |
5% 4/1/30 | | 95,000 | 98,705 |
5% 4/1/31 | | 105,000 | 109,034 |
5% 4/1/32 | | 120,000 | 124,540 |
5% 4/1/33 | | 170,000 | 176,329 |
5% 4/1/37 | | 295,000 | 301,342 |
5% 4/1/38 | | 195,000 | 197,833 |
| Series 2020: | | | |
5.5% 4/1/32 | | 175,000 | 190,383 |
5.5% 4/1/34 | | 95,000 | 103,117 |
5.5% 4/1/36 | | 130,000 | 140,072 |
5.5% 4/1/38 | | 290,000 | 307,034 |
5.5% 4/1/40 | | 205,000 | 215,531 |
5.5% 4/1/45 | | 145,000 | 150,522 |
5.5% 4/1/50 | | 295,000 | 304,053 |
| Series 2021 A: | | | |
5% 4/1/46 | | 500,000 | 501,654 |
5% 4/1/50 | | 585,000 | 578,376 |
| Series 2023 C, 6% 5/1/43 | | 1,250,000 | 1,374,846 |
| Detroit School District School Bldg. and Site Impt. Series 2020 A: | | | |
| 5% 5/1/34 | | 745,000 | 817,753 |
| 5% 5/1/36 | | 210,000 | 227,649 |
| 5% 5/1/37 | | 230,000 | 246,659 |
| Detroit Svc. Learning Academy M Series 2021, 4% 7/1/41 | | 250,000 | 199,159 |
| Flint Hosp. Bldg. Auth. Rev. Series 2020: | | | |
| 4% 7/1/41 | | 70,000 | 59,883 |
| 5% 7/1/25 | | 30,000 | 30,153 |
| 5% 7/1/26 | | 25,000 | 25,302 |
| 5% 7/1/27 | | 40,000 | 40,806 |
| 5% 7/1/28 | | 60,000 | 61,609 |
| Gerald R. Ford Int'l. Arpt. Auth. Rev. Series 2021, 5% 1/1/51 (d) | | 895,000 | 925,516 |
| Grand Rapids Econ. Dev. Corp. Econ. Dev. Rev. (Beacon Hill at Eastgate Proj.) Series 2017 A: | | | |
| 5% 11/1/32 | | 300,000 | 281,285 |
| 5% 11/1/37 | | 165,000 | 146,433 |
| 5% 11/1/47 | | 390,000 | 314,254 |
| 5% 11/1/52 | | 165,000 | 129,180 |
| Grand Rapids Pub. Schools Series 2019, 5% 11/1/26 (Assured Guaranty Muni. Corp. Insured) | | 60,000 | 63,129 |
| Grand Traverse County Hosp. Fin. Auth. Series 2021, 3% 7/1/51 | | 1,625,000 | 1,120,621 |
| Great Lakes Wtr. Auth. Sew Disp. Sys.: | | | |
| Series 2016 C: | | | |
5% 7/1/30 | | 135,000 | 140,772 |
5% 7/1/36 | | 4,675,000 | 4,805,465 |
| Series 2018 A: | | �� | |
5% 7/1/43 | | 380,000 | 394,169 |
5% 7/1/48 | | 1,645,000 | 1,689,972 |
| Series 2022 A, 5.25% 7/1/47 | | 3,225,000 | 3,498,845 |
| Series 2023 C, 5.25% 7/1/48 (i) | | 1,375,000 | 1,518,797 |
| Great Lakes Wtr. Auth. Wtr. Supply Sys. Rev.: | | | |
| Series 2016 A, 5% 7/1/46 | | 4,265,000 | 4,330,311 |
| Series 2016 B: | | | |
5% 7/1/46 | | 2,000,000 | 2,027,507 |
5% 7/1/46 | | 2,725,000 | 2,766,728 |
| Series 2016 C: | | | |
5% 7/1/35 | | 650,000 | 672,158 |
5.25% 7/1/33 | | 1,125,000 | 1,171,021 |
5.25% 7/1/35 | | 1,300,000 | 1,352,239 |
| Series 2016 D, 5% 7/1/36 | | 670,000 | 690,522 |
| Series 2022 A, 5.25% 7/1/47 | | 3,000,000 | 3,254,740 |
| Series 2022 B, 5.5% 7/1/52 | | 3,000,000 | 3,218,035 |
| Series 2023 B, 5.25% 7/1/48 (i) | | 2,250,000 | 2,485,304 |
| Jackson County Series 2019: | | | |
| 4% 5/1/32 (Build America Mutual Assurance Insured) | | 120,000 | 124,427 |
| 4% 5/1/33 (Build America Mutual Assurance Insured) | | 125,000 | 129,201 |
| Kalamazoo Hosp. Fin. Auth. Hosp. Facilities Rev. Series 2016, 5% 5/15/28 | | 365,000 | 377,803 |
| Karegnondi Wtr. Auth. Genesee, Lapeer and Sanilac Wtr. Supply Sys. Series 2014 A, 5.25% 11/1/40 | | 2,810,000 | 2,810,687 |
| Kentwood Econ. Dev. Corp.: | | | |
| Series 2019, 5% 11/15/41 | | 250,000 | 218,514 |
| Series 2022: | | | |
4% 11/15/31 | | 255,000 | 229,565 |
4% 11/15/43 | | 365,000 | 268,064 |
| Lake Orion Cmnty. School District Series 2019, 5% 5/1/24 | | 30,000 | 30,213 |
| Michigan Bldg. Auth. Rev.: | | | |
| (Facilities Prog.) Series 2019 I, 4% 10/15/49 | | 595,000 | 569,918 |
| Series 2015 I: | | | |
5% 4/15/30 | | 580,000 | 599,793 |
5% 4/15/30 (Pre-Refunded to 10/15/25 @ 100) | | 30,000 | 31,029 |
| Series 2022 I, 4% 10/15/52 | | 370,000 | 358,640 |
| Michigan Fin. Auth. Rev.: | | | |
| (Charter County of Wayne Criminal Justice Ctr. Proj.) Series 2018: | | | |
4% 11/1/48 | | 350,000 | 327,304 |
5% 11/1/43 | | 485,000 | 508,572 |
| (College for Creative Studies Proj.) Series 2015, 5% 12/1/45 | | 300,000 | 290,910 |
| (Henry Ford Health Sys. Proj.) Series 2016, 5% 11/15/25 | | 270,000 | 277,238 |
| (Lawrence Technological Univ. Proj.) Series 2017, 5.25% 2/1/32 | | 250,000 | 253,214 |
| (Local Govt. Ln. Prog.) Series 2014 D, 5% 7/1/37 (Assured Guaranty Muni. Corp. Insured) | | 120,000 | 120,315 |
| (Trinity Health Proj.) Series 2017, 5% 12/1/37 | | 65,000 | 67,439 |
| Bonds: | | | |
Series 2015 D1, 1.2%, tender 4/13/28 (b) | | 540,000 | 477,285 |
Series 2015 D2, 1.2%, tender 4/13/28 (b) | | 680,000 | 601,025 |
Series 2019 MI2, 5%, tender 2/1/25 (b) | | 45,000 | 45,748 |
| Series 2014 C3, 5% 7/1/33 (Assured Guaranty Muni. Corp. Insured) | | 500,000 | 502,355 |
| Series 2014 C7, 5% 7/1/32 | | 620,000 | 623,096 |
| Series 2014 D6, 5% 7/1/36 | | 1,250,000 | 1,255,535 |
| Series 2014 F, 4% 10/1/24 | | 180,000 | 179,630 |
| Series 2015 B, 5% 5/15/35 | | 1,475,000 | 1,491,007 |
| Series 2015 C: | | | |
5% 7/1/34 | | 580,000 | 587,757 |
5% 7/1/35 | | 5,280,000 | 5,348,204 |
| Series 2015 D1, 5% 7/1/34 | | 240,000 | 244,308 |
| Series 2015 D2, 5% 7/1/34 | | 1,040,000 | 1,054,068 |
| Series 2015 MI, 5% 12/1/24 | | 540,000 | 548,496 |
| Series 2015, 5% 11/15/28 (Pre-Refunded to 5/15/25 @ 100) | | 20,000 | 20,519 |
| Series 2016 MI, 4% 12/1/45 | | 1,000,000 | 959,857 |
| Series 2016: | | | |
5% 11/15/26 | | 55,000 | 57,458 |
5% 11/15/32 | | 270,000 | 279,147 |
5% 11/15/34 | | 950,000 | 980,794 |
5% 11/15/37 | | 1,030,000 | 1,051,804 |
5% 11/15/41 | | 520,000 | 524,392 |
| Series 2017 MI: | | | |
5% 12/1/30 | | 210,000 | 221,916 |
5% 12/1/31 | | 425,000 | 448,330 |
| Series 2019 A: | | | |
3% 12/1/49 | | 1,715,000 | 1,252,425 |
4% 2/15/44 | | 1,500,000 | 1,440,821 |
4% 12/1/49 | | 50,000 | 45,950 |
4% 11/15/50 | | 1,085,000 | 957,892 |
5% 2/15/37 | | 410,000 | 432,970 |
5% 2/15/38 | | 590,000 | 616,171 |
5% 2/15/39 | | 2,950,000 | 3,063,197 |
5% 12/1/41 | | 540,000 | 564,092 |
5% 11/15/48 | | 110,000 | 111,862 |
5% 5/15/54 | | 6,590,000 | 6,664,123 |
| Series 2020 A, 4% 6/1/49 | | 715,000 | 640,409 |
| Series 2020 B, 0% 6/1/45 | | 1,700,000 | 393,554 |
| Series 2020 B1, 5% 6/1/49 | | 735,000 | 748,885 |
| Series 2020 B2, 0% 6/1/65 | | 10,950,000 | 1,042,082 |
| Series 2020, 5% 6/1/40 | | 30,000 | 31,139 |
| Series 2021: | | | |
4% 9/1/39 | | 425,000 | 400,779 |
4% 9/1/40 | | 425,000 | 396,423 |
4% 9/1/41 | | 355,000 | 328,142 |
4% 9/1/46 | | 250,000 | 220,693 |
| Series 2022 A, 5% 12/1/32 | | 1,705,000 | 1,914,078 |
| Series 2022, 5% 4/15/28 | | 1,750,000 | 1,880,279 |
| Series 2023: | | | |
5.25% 11/1/39 | | 1,500,000 | 1,511,891 |
5.375% 11/1/43 | | 1,000,000 | 1,008,352 |
5.5% 11/1/48 | | 5,300,000 | 5,348,383 |
| Michigan Hosp. Fin. Auth. Rev. Series 2008 C: | | | |
| 5% 12/1/32 | | 175,000 | 186,138 |
| 5% 12/1/32 (Pre-Refunded to 12/1/27 @ 100) | | 20,000 | 21,671 |
| Michigan Hsg. Dev. Auth. Single Family Mtg. Rev. Series A, 3.5% 12/1/50 | | 355,000 | 348,034 |
| Michigan State Hsg. Dev. Auth.: | | | |
| Series 2021 A, 2.45% 10/1/46 | | 1,710,000 | 1,139,136 |
| Series 2023 A, 5.15% 10/1/58 | | 2,945,000 | 3,040,008 |
| Series 2023, 3.75% 4/1/27 | | 1,500,000 | 1,501,181 |
| Michigan Strategic Fund Ltd. Oblig. Rev.: | | | |
| (I-75 Impt. Proj.) Series 2018: | | | |
4.125% 6/30/35 (Assured Guaranty Muni. Corp. Insured) (d) | | 1,030,000 | 1,034,468 |
5% 12/31/43 (d) | | 1,855,000 | 1,872,709 |
5% 6/30/48 (d) | | 1,715,000 | 1,727,211 |
| Bonds (Consumer Energy Co. Proj.) Series 2019, 1.8%, tender 10/1/24 (b)(d) | | 3,255,000 | 3,192,487 |
| Michigan Tobacco Settlement Fin. Auth. Tobacco Settlement Asset Rev.: | | | |
| Series 2007 B, 0% 6/1/52 | | 3,830,000 | 437,677 |
| Series 2008: | | | |
0% 6/1/46 | | 10,325,000 | 1,232,042 |
0% 6/1/58 | | 4,750,000 | 238,818 |
| Michigan Trunk Line Fund Rev.: | | | |
| (Rebuilding Michigan Prog.) Series 2023, 5.5% 11/15/49 | | 6,000,000 | 6,804,405 |
| Series 2021 A, 4% 11/15/44 | | 5,375,000 | 5,380,630 |
| Oakland Univ. Rev.: | | | |
| Series 2016, 5% 3/1/41 | | 50,000 | 50,967 |
| Series 2019 A, 5% 3/1/31 | | 35,000 | 38,094 |
| Series 2019: | | | |
5% 3/1/32 | | 40,000 | 43,406 |
5% 3/1/33 | | 40,000 | 43,196 |
5% 3/1/34 | | 45,000 | 48,546 |
5% 3/1/35 | | 45,000 | 48,477 |
5% 3/1/36 | | 50,000 | 53,583 |
5% 3/1/37 | | 60,000 | 63,596 |
5% 3/1/38 | | 85,000 | 89,136 |
5% 3/1/39 | | 60,000 | 62,586 |
5% 3/1/40 | | 720,000 | 747,879 |
5% 3/1/41 | | 760,000 | 786,697 |
5% 3/1/44 | | 1,485,000 | 1,525,831 |
5% 3/1/50 | | 2,400,000 | 2,448,889 |
| Portage Pub. Schools Series 2016: | | | |
| 5% 11/1/30 | | 345,000 | 359,459 |
| 5% 11/1/31 | | 305,000 | 316,991 |
| 5% 11/1/33 | | 55,000 | 57,059 |
| 5% 11/1/36 | | 100,000 | 103,322 |
| 5% 11/1/37 | | 55,000 | 56,801 |
| Univ. of Michigan Rev. Series 2020 A: | | | |
| 4% 4/1/45 | | 1,060,000 | 1,034,881 |
| 5% 4/1/50 | | 255,000 | 271,040 |
| Warren Consolidated School District Series 2016: | | | |
| 5% 5/1/28 | | 230,000 | 240,292 |
| 5% 5/1/29 | | 235,000 | 245,237 |
| Wayne County Arpt. Auth. Rev.: | | | |
| Series 2012 A, 5% 12/1/42 | | 305,000 | 305,000 |
| Series 2014 B: | | | |
5% 12/1/39 (Build America Mutual Assurance Insured) | | 130,000 | 130,866 |
5% 12/1/44 | | 525,000 | 527,183 |
| Series 2014 C: | | | |
5% 12/1/39 (d) | | 100,000 | 100,147 |
5% 12/1/44 (d) | | 215,000 | 215,275 |
| Series 2015 D: | | | |
5% 12/1/30 | | 75,000 | 76,744 |
5% 12/1/31 | | 130,000 | 132,985 |
5% 12/1/40 (Assured Guaranty Muni. Corp. Insured) | | 1,515,000 | 1,534,026 |
| Series 2015 G: | | | |
5% 12/1/28 (d) | | 670,000 | 679,865 |
5% 12/1/31 | | 85,000 | 86,952 |
5% 12/1/32 | | 85,000 | 86,929 |
5% 12/1/33 | | 110,000 | 112,459 |
| Series 2015, 5% 12/1/29 | | 90,000 | 92,117 |
| Series 2017 A: | | | |
4% 12/1/33 (Assured Guaranty Muni. Corp. Insured) | | 180,000 | 183,504 |
4% 12/1/34 (Assured Guaranty Muni. Corp. Insured) | | 150,000 | 152,666 |
4% 12/1/35 (Assured Guaranty Muni. Corp. Insured) | | 145,000 | 147,111 |
4% 12/1/36 (Assured Guaranty Muni. Corp. Insured) | | 150,000 | 151,446 |
5% 12/1/28 | | 35,000 | 37,382 |
5% 12/1/29 | | 30,000 | 31,878 |
5% 12/1/30 | | 40,000 | 42,451 |
5% 12/1/31 | | 45,000 | 47,732 |
5% 12/1/32 | | 45,000 | 47,708 |
5% 12/1/33 | | 20,000 | 21,244 |
5% 12/1/34 | | 85,000 | 90,138 |
5% 12/1/35 | | 80,000 | 84,571 |
5% 12/1/37 | | 30,000 | 31,374 |
5% 12/1/37 | | 70,000 | 73,021 |
| Series 2017 B: | | | |
5% 12/1/29 (d) | | 75,000 | 78,127 |
5% 12/1/30 (d) | | 85,000 | 88,180 |
5% 12/1/31 (d) | | 100,000 | 103,499 |
5% 12/1/32 (d) | | 65,000 | 67,923 |
5% 12/1/32 (d) | | 80,000 | 82,758 |
5% 12/1/34 (d) | | 75,000 | 78,194 |
5% 12/1/35 (d) | | 80,000 | 83,148 |
5% 12/1/37 (d) | | 100,000 | 102,823 |
5% 12/1/42 (d) | | 120,000 | 122,645 |
| Series 2017 C, 5% 12/1/28 | | 60,000 | 64,270 |
| Series 2018 B, 5% 12/1/48 (d) | | 705,000 | 715,901 |
| Series 2018 D, 5% 12/1/29 (d) | | 565,000 | 603,167 |
| Wayne County Arpt. Rev. Series 2017 C, 5% 12/1/37 (Assured Guaranty Muni. Corp. Insured) (d)(e) | | 2,950,000 | 3,033,272 |
TOTAL MICHIGAN | | | 156,094,418 |
| Minnesota - 0.4% | | | |
| Apple Valley Sr. Living (Minnesota Sr. Living LLC Proj.): | | | |
| Series 2016 B, 5% 1/1/47 | | 565,000 | 327,728 |
| Series 2016 D, 7.25% 1/1/52 | | 610,000 | 379,870 |
| City of White Bear Lake (YMCA of Greater Twin Cities Proj.) Series 2018, 5% 6/1/27 | | 30,000 | 31,196 |
| Deephaven Charter School Lease Rev. Series 2017 A: | | | |
| 5% 10/1/37 | | 70,000 | 63,787 |
| 5% 10/1/49 | | 140,000 | 115,840 |
| Duluth Econ. Dev. Auth. Series 2021 A: | | | |
| 4% 7/1/31 | | 215,000 | 190,084 |
| 4% 7/1/36 | | 355,000 | 286,933 |
| 4% 7/1/41 | | 145,000 | 106,975 |
| Duluth Econ. Dev. Auth. Health Care Facilities Rev.: | | | |
| Series 2018 A: | | | |
4.25% 2/15/43 | | 595,000 | 574,414 |
4.25% 2/15/48 | | 700,000 | 660,702 |
5% 2/15/43 | | 570,000 | 578,334 |
5% 2/15/48 | | 1,075,000 | 1,082,682 |
5% 2/15/53 | | 900,000 | 900,999 |
5% 2/15/58 | | 660,000 | 653,726 |
5.25% 2/15/53 | | 1,775,000 | 1,793,590 |
| Series 2018, 5.25% 2/15/58 | | 250,000 | 251,491 |
| Series 2022 B, 5.25% 6/15/52 | | 250,000 | 247,234 |
| Duluth Independent School District #709 Ctfs. of Prtn.: | | | |
| Series 2019 A, 4.2% 3/1/34 | | 65,000 | 62,480 |
| Series 2019 B, 5% 2/1/25 | | 50,000 | 51,037 |
| Elk River Independent School District #728 Series 2020 A: | | | |
| 2.25% 2/1/36 | | 750,000 | 625,349 |
| 2.5% 2/1/38 | | 1,735,000 | 1,412,241 |
| Ham Lake Minn Charter School Leas Series 2016 A, 5% 11/1/47 | | 250,000 | 221,877 |
| Maple Grove Health Care Sys. Rev.: | | | |
| Series 2015: | | | |
5% 9/1/27 | | 70,000 | 71,503 |
5% 9/1/29 | | 345,000 | 351,529 |
| Series 2017: | | | |
5% 5/1/24 | | 65,000 | 65,301 |
5% 5/1/25 | | 100,000 | 101,474 |
| Metropolitan Council Gen. Oblig. Rev.: | | | |
| Series 2019 A, 3% 3/1/29 | | 900,000 | 897,731 |
| Series 2021 B, 5% 12/1/23 | | 1,115,000 | 1,115,000 |
| Minneapolis & Saint Paul Hsg. & Redev. Auth. Health Care Sys. Rev. (Allina Health Sys. Proj.) Series 2017 A, 5% 11/15/25 | | 75,000 | 77,496 |
| Minneapolis & Saint Paul Metropolitan Arpts. Commission Arpt. Rev.: | | | |
| Series 2014 A, 5% 1/1/24 | | 1,550,000 | 1,551,659 |
| Series 2016 C: | | | |
5% 1/1/41 | | 530,000 | 550,291 |
5% 1/1/46 | | 640,000 | 659,363 |
| Series 2022 B: | | | |
5% 1/1/28 (d) | | 630,000 | 665,012 |
5% 1/1/35 (d) | | 645,000 | 704,653 |
5% 1/1/37 (d) | | 1,580,000 | 1,697,103 |
| Minneapolis Taxable Charter Schools Lease Rev. (Twin cities Int'l. Schools Proj.) Series 2017 A, 5% 12/1/47 (e) | | 300,000 | 271,633 |
| Minnesota Gen. Oblig. Series 2023 B, 5% 8/1/26 | | 1,730,000 | 1,828,503 |
| Minnesota Higher Ed. Facilities Auth. Rev.: | | | |
| Series 2016 A, 5% 5/1/46 | | 95,000 | 83,797 |
| Series 2018 A: | | | |
5% 10/1/29 | | 55,000 | 58,315 |
5% 10/1/30 | | 90,000 | 95,266 |
5% 10/1/32 | | 40,000 | 42,216 |
5% 10/1/33 | | 50,000 | 52,687 |
5% 10/1/45 | | 260,000 | 260,606 |
| Minnesota Hsg. Fin. Agcy.: | | | |
| Series 2015 A, 4% 1/1/41 (d) | | 20,000 | 19,951 |
| Series 2021 D, 3% 1/1/52 | | 1,325,000 | 1,275,945 |
| Series 2021, 3% 7/1/51 | | 1,280,000 | 1,236,383 |
| Series 2023 E, 6.25% 7/1/54 | | 1,000,000 | 1,091,296 |
| Series 2023 F, 5.75% 7/1/53 | | 475,000 | 505,526 |
| Series B, 4% 8/1/41 | | 75,000 | 73,331 |
| Series D: | | | |
4% 8/1/38 | | 135,000 | 135,145 |
4% 8/1/40 | | 145,000 | 140,381 |
4% 8/1/41 | | 95,000 | 92,885 |
4% 8/1/43 | | 110,000 | 104,513 |
| Minnesota Muni. Gas Agcy. Rev. Series 2022 A, 4% 12/1/26 | | 570,000 | 573,418 |
| Minnesota Office of Higher Ed. Series 2020, 2.65% 11/1/38 (d) | | 485,000 | 420,951 |
| Moorhead Edl. Facilities Rev. (The Concordia College Corp. Proj.) Series 2016, 5% 12/1/25 | | 110,000 | 110,710 |
| Moorhead ISD No. 152 (MN School District Cr. Enhancement Prog.) Series 2020 A, 2.5% 2/1/38 | | 1,780,000 | 1,409,069 |
| Rochester Health Cr.&Hsg. Rev. Series 2013 A, 6.875% 12/1/48 | | 290,000 | 279,142 |
| Rochester Health Care Facilities Rev. Series 2022: | | | |
| 4% 11/15/39 | | 2,000,000 | 2,023,611 |
| 5% 11/15/57 | | 1,260,000 | 1,359,046 |
| Saint Cloud Health Care Rev. Series 2019: | | | |
| 4% 5/1/49 | | 230,000 | 213,693 |
| 5% 5/1/48 | | 285,000 | 293,228 |
| Sauk Rapids Minn Independent School District # 47 Series 2020 A, 2.375% 2/1/36 | | 2,720,000 | 2,327,004 |
| Shakopee Sr. Hsg. Rev. Bonds Series 2018, 5.85%, tender 11/1/25 (b)(e) | | 1,070,000 | 1,032,475 |
| St. Paul Hsg. & Redev. Auth. Health Care Facilities Rev. Series 2015 A, 5% 7/1/29 | | 145,000 | 147,536 |
| West Saint Paul Independent School District #197 (Minnesota School District Cr. Enhancement Prog.) Series 2018 A: | | | |
| 3.6% 2/1/37 | | 645,000 | 632,666 |
| 3.65% 2/1/38 | | 675,000 | 646,396 |
| Western Minnesota Muni. Pwr. Agcy. Pwr. Supply Rev. Series 2014 A, 5% 1/1/46 (Pre-Refunded to 1/1/24 @ 100) | | 1,920,000 | 1,921,981 |
| White Bear Lake Independent School District #624 Gen. Oblig. Series 2020 A: | | | |
| 2.5% 2/1/39 | | 1,345,000 | 1,076,093 |
| 3% 2/1/43 | | 750,000 | 616,720 |
| Woodbury Charter School Lease Rev. (Woodbury Leadership Academy Proj.) Series 2021 A: | | | |
| 4% 7/1/41 | | 120,000 | 92,836 |
| 4% 7/1/51 | | 95,000 | 66,205 |
| 4% 7/1/56 | | 80,000 | 53,931 |
TOTAL MINNESOTA | | | 41,791,774 |
| Mississippi - 0.2% | | | |
| Med. Ctr. Edl. Bld Corp. Rev. Series 2023 A: | | | |
| 4% 6/1/48 | | 2,820,000 | 2,669,791 |
| 4% 6/1/53 | | 2,145,000 | 1,999,979 |
| Mississippi Bus. Fin. Corp. Rev. (Sys. Energy Resources, Inc. Proj.) Series 2021, 2.375% 6/1/44 | | 300,000 | 175,815 |
| Mississippi Bus. finance Corp. Exempt Facilities Rev. Bonds (Enviva, Inc. Proj.) Series 2022, 7.75%, tender 7/15/32 (b)(d) | | 7,500,000 | 4,150,391 |
| Mississippi Dev. Bank Series 2010 A, 5.25% 1/1/34 | | 520,000 | 593,412 |
| Mississippi Dev. Bank Spl. Oblig.: | | | |
| (City of Jackson, Mississippi Wtr. And Swr. Sys. Rev. Bond Proj.) Series 2013: | | | |
6.75% 12/1/30 (Assured Guaranty Muni. Corp. Insured) | | 240,000 | 240,833 |
6.875% 12/1/40 (Assured Guaranty Muni. Corp. Insured) | | 105,000 | 105,357 |
| (Jackson, Mississippi Sales Tax Rev. Infrastructure Proj.): | | | |
Series 2019 A, 5% 9/1/26 | | 210,000 | 214,906 |
Series 2020, 5% 9/1/25 | | 85,000 | 86,193 |
| (Vicksburg Warren School District Gen. Oblig. Bond Proj.) Series 2019, 5% 3/1/48 | | 850,000 | 862,879 |
| Mississippi Gen. Oblig. Series 2016 B: | | | |
| 5% 12/1/32 (Pre-Refunded to 12/1/26 @ 100) | | 530,000 | 564,085 |
| 5% 12/1/33 (Pre-Refunded to 12/1/26 @ 100) | | 530,000 | 564,085 |
| 5% 12/1/34 (Pre-Refunded to 12/1/26 @ 100) | | 1,065,000 | 1,133,492 |
| Mississippi Home Corp.: | | | |
| Series 2018 A, 4% 12/1/44 | | 215,000 | 213,886 |
| Series 2021 B: | | | |
3% 6/1/51 | | 1,835,000 | 1,772,067 |
5% 6/1/27 | | 510,000 | 540,963 |
5% 6/1/28 | | 40,000 | 42,942 |
| Mississippi Hosp. Equip. & Facilities Auth.: | | | |
| (Forest County Gen. Hosp. Rfdg. Proj.) Series 2019 A: | | | |
4% 1/1/36 | | 180,000 | 179,520 |
4% 1/1/37 | | 160,000 | 157,119 |
4% 1/1/39 | | 160,000 | 151,978 |
4% 1/1/40 | | 90,000 | 84,376 |
| Bonds Series II, 5%, tender 3/1/27 (b) | | 40,000 | 41,568 |
| Series 2016 A, 5% 9/1/46 | | 405,000 | 405,436 |
| Series 2020 IV, 5% 10/1/35 | | 255,000 | 271,587 |
| Series I: | | | |
5% 10/1/24 | | 35,000 | 35,382 |
5% 10/1/26 | | 40,000 | 41,649 |
5% 10/1/28 | | 65,000 | 69,490 |
| Series IV, 5% 10/1/39 | | 180,000 | 185,382 |
| Univ. of Southern Mississippi Edl. Bldg. Corp. Rev. (Facilities Refing. Proj.) Series 2015 A, 5% 3/1/28 | | 230,000 | 234,232 |
TOTAL MISSISSIPPI | | | 17,788,795 |
| Missouri - 0.6% | | | |
| Cape Girardeau County Indl. Dev. Auth.: | | | |
| (Southeast Hosp. Proj.) Series 2017 A: | | | |
5% 3/1/30 | | 85,000 | 87,175 |
5% 3/1/31 | | 200,000 | 204,724 |
5% 3/1/36 | | 390,000 | 395,873 |
| Series 2017 A, 5% 3/1/29 | | 80,000 | 82,180 |
| Series 2021, 4% 3/1/46 | | 240,000 | 199,659 |
| Conley Road Trans. Dev. District Series 2017, 5.375% 5/1/47 | | 245,000 | 245,087 |
| Hanley Road Corridor Trans. Dev. District Series 2020, 2% 10/1/39 | | 90,000 | 88,419 |
| Jackson County Spl. Oblig. Series 2023 A, 5.25% 12/1/58 | | 3,750,000 | 4,034,270 |
| Kansas City Indl. Dev. Auth.: | | | |
| (Kansas City Int'l. Arpt. Term. Modernization Proj.) Series 2019 B: | | | |
5% 3/1/37 (d) | | 1,085,000 | 1,120,526 |
5% 3/1/38 (d) | | 355,000 | 364,284 |
5% 3/1/46 (d) | | 3,170,000 | 3,202,574 |
5% 3/1/54 (d) | | 705,000 | 710,496 |
5% 3/1/55 (Assured Guaranty Muni. Corp. Insured) (d) | | 1,210,000 | 1,222,781 |
| (Kansas City Int'l. Arpt. Term. modernization Proj.) Series 2020 A, 4% 3/1/50 (Assured Guaranty Muni. Corp. Insured) (d) | | 350,000 | 314,329 |
| (Kansas City Int'l. Arpt. Term. Modernization Proj.) Series 2020 A: | | | |
4% 3/1/57 (Assured Guaranty Muni. Corp. Insured) (d) | | 2,635,000 | 2,298,933 |
5% 3/1/57 (Assured Guaranty Muni. Corp. Insured) (d) | | 3,220,000 | 3,271,803 |
| Kansas City Land Clearance for Redev. Auth. Series 2018 B, 5% 2/1/40 (e) | | 300,000 | 238,021 |
| Kansas City San. Swr. Sys. Rev. Series 2018 B: | | | |
| 5% 1/1/26 | | 15,000 | 15,626 |
| 5% 1/1/28 | | 30,000 | 32,653 |
| 5% 1/1/33 | | 25,000 | 27,086 |
| Kansas City Wtr. Rev. Series 2020 A: | | | |
| 4% 12/1/32 | | 45,000 | 47,628 |
| 4% 12/1/34 | | 25,000 | 26,262 |
| 4% 12/1/36 | | 45,000 | 46,363 |
| 4% 12/1/37 | | 30,000 | 30,580 |
| 4% 12/1/39 | | 70,000 | 70,696 |
| 4% 12/1/40 | | 30,000 | 30,264 |
| 5% 12/1/28 | | 35,000 | 38,682 |
| 5% 12/1/29 | | 20,000 | 22,479 |
| 5% 12/1/30 | | 40,000 | 45,752 |
| 5% 12/1/35 | | 40,000 | 45,648 |
| Kirkwood Indl. Dev. Retirement Commission Series 2017 A: | | | |
| 5.25% 5/15/37 | | 280,000 | 233,870 |
| 5.25% 5/15/42 | | 240,000 | 188,712 |
| 5.25% 5/15/50 | | 565,000 | 415,072 |
| Maryland Heights Indl. Dev. Auth. Rev. (Saint Louis Cmnty. Ice Ctr. Proj.) Series 2018 A, 5% 3/15/49 | | 250,000 | 202,440 |
| Missouri Dev. Fin. Board Infrastructure Facilities Rev.: | | | |
| (City of Independence, Missouri - Crackerneck Creek Proj.) Series 2021: | | | |
4% 3/1/37 | | 80,000 | 74,339 |
4% 3/1/41 | | 100,000 | 87,991 |
| Series 2021: | | | |
4% 3/1/36 | | 255,000 | 243,010 |
4% 3/1/51 | | 290,000 | 236,627 |
| Missouri Health & Edl. Facilities Auth. Rev.: | | | |
| (Lutheran Sr. Svcs. Proj.) Series 2016 B, 5% 2/1/46 | | 915,000 | 838,132 |
| (Lutheran Sr. Svcs. Projs.): | | | |
Series 2016 B, 5% 2/1/35 | | 155,000 | 153,293 |
Series 2021, 4% 2/1/42 | | 250,000 | 207,260 |
| Series 2019 A, 5% 2/1/42 | | 675,000 | 636,497 |
| Missouri Health & Edl. Facilities Rev.: | | | |
| (Maryville Univ. of Saint Louis Proj.) Series 2019 A, 5% 6/15/45 | | 250,000 | 251,170 |
| Bonds Series 2018 A, 4%, tender 1/1/48 (b) | | 1,555,000 | 1,443,898 |
| Series 2015 B: | | | |
3.125% 2/1/27 | | 140,000 | 139,097 |
3.25% 2/1/28 | | 140,000 | 139,417 |
5% 2/1/29 | | 150,000 | 153,215 |
5% 2/1/31 | | 315,000 | 321,226 |
5% 2/1/33 | | 350,000 | 356,199 |
5% 2/1/34 | | 175,000 | 178,205 |
5% 2/1/36 | | 395,000 | 401,687 |
| Series 2018 A: | | | |
4% 11/15/48 | | 1,060,000 | 984,286 |
5% 6/1/30 | | 1,065,000 | 1,145,667 |
5% 6/1/31 | | 675,000 | 725,338 |
| Series 2019 A: | | | |
4% 2/15/44 | | 490,000 | 450,749 |
4% 10/1/48 | | 425,000 | 405,340 |
4% 2/15/49 | | 1,065,000 | 969,536 |
4% 2/15/54 | | 970,000 | 865,556 |
5% 10/1/46 | | 265,000 | 277,115 |
| Series 2020, 4% 6/1/53 | | 3,150,000 | 2,869,275 |
| Series 2023: | | | |
5% 12/1/52 | | 1,400,000 | 1,464,347 |
5.5% 12/1/48 | | 4,505,000 | 4,925,289 |
| Missouri Hsg. Dev. Commission Single Family Mtg. Rev.: | | | |
| (First Place Homeownership Ln. Prog.): | | | |
Series 2018 A, 4.25% 5/1/49 | | 605,000 | 603,394 |
Series 2019 A, 4.25% 5/1/47 | | 500,000 | 499,038 |
Series 2023 E, 6.5% 5/1/54 (i) | | 1,250,000 | 1,400,087 |
| Series 2015 A, 3.75% 5/1/38 | | 35,000 | 34,741 |
| Series 2019, 4% 5/1/50 | | 105,000 | 104,219 |
| Series 2021 A, 3% 5/1/52 | | 2,790,000 | 2,682,822 |
| Missouri Joint Muni. Elec. Util. Commission Pwr. Proj. Rev.: | | | |
| (Iatan 2 Proj.) Series 2014 A, 5% 1/1/33 | | 590,000 | 590,631 |
| (Plum Point Proj.) Series 2014 A, 5% 1/1/33 | | 1,475,000 | 1,491,473 |
| Park Hill School District (Missouri Direct Deposit Prog.) Series 2017, 3.3% 3/1/35 | | 2,015,000 | 1,910,345 |
| Plaza at Noah's Ark Cmnty. Impt. District Series 2021: | | | |
| 3% 5/1/30 | | 65,000 | 57,932 |
| 3.125% 5/1/35 | | 45,000 | 37,176 |
| Poplar Bluff Reg'l. Transn De Series 2023 B, 4% 12/1/37 | | 295,000 | 284,442 |
| Saint Louis Arpt. Rev.: | | | |
| Series 2019 A: | | | |
5% 7/1/44 | | 80,000 | 83,005 |
5% 7/1/49 | | 65,000 | 66,928 |
| Series 2019 C, 5% 7/1/27 | | 155,000 | 165,517 |
| Series A, 5.25% 7/1/26 (Assured Guaranty Muni. Corp. Insured) | | 350,000 | 370,022 |
| Saint Louis County Indl. Dev. Auth. Sr. Living Facilities Rev.: | | | |
| Series 2015 A: | | | |
5% 12/1/35 | | 280,000 | 260,376 |
5.125% 12/1/45 | | 545,000 | 471,657 |
| Series 2017, 5% 9/1/48 | | 2,140,000 | 1,807,520 |
| Series 2018 A: | | | |
5% 9/1/38 | | 890,000 | 816,699 |
5.125% 9/1/48 | | 3,085,000 | 2,653,980 |
5.25% 9/1/53 | | 3,485,000 | 2,980,087 |
| Saint Louis Muni. Fin. Corp. Leasehold Rev. (Convention Ctr. Expansion And Impt. Projs.) Series 2020, 5% 10/1/49 (Assured Guaranty Muni. Corp. Insured) | | 635,000 | 656,095 |
| St Louis Indl. Dev. Auth. Dev. Fing. Rev. (Ballpark Village Dev. Proj.) Series 2017 A: | | | |
| 3.875% 11/15/29 | | 165,000 | 142,972 |
| 4.375% 11/15/35 | | 710,000 | 562,376 |
| 4.75% 11/15/47 | | 1,045,000 | 756,128 |
| St Louis Land Clearance Redev. Auth. Annual Appropriation Redev. Rev.: | | | |
| (Nat'l. Geospatial-Intelligence Agcy. Offsite Neighborhood Impts. Proj.) Series 2022 C, 5% 6/1/41 | | 1,750,000 | 1,755,666 |
| (Nat'l. Geospatial-Intelligence Agcy. Site Impt. Proj.) Series 2017 A: | | | |
5.125% 6/1/46 | | 730,000 | 730,808 |
5.375% 6/1/43 | | 2,060,000 | 2,085,482 |
| St. Louis County Indl. Dev. Auth. Health Facilities Rev. Series 2015 A: | | | |
| 5% 8/15/30 | | 165,000 | 155,560 |
| 5% 8/15/35 | | 95,000 | 84,950 |
| 5.125% 8/15/45 | | 295,000 | 242,333 |
| Taney County Indl. Dev. Auth. Sa (Big Cedar Infrastructure project) Series 2023, 6% 10/1/49 (e) | | 775,000 | 752,175 |
| The Indl. Dev. Auth. of Hannibal (Hannibal Reg'l. Healthcare Sys. Proj.) Series 2017: | | | |
| 5% 10/1/42 | | 190,000 | 191,685 |
| 5% 10/1/47 | | 120,000 | 120,147 |
| Wentzville Scd # R 04 (Missouri Direct Deposit Prog.) Series 2020, 1.875% 3/1/40 | | 1,800,000 | 1,220,473 |
TOTAL MISSOURI | | | 69,373,649 |
| Montana - 0.1% | | | |
| Forsyth Poll. Cont. Rev. (Northwestern Corp. Colstrip Proj.) Series 2023, 3.875% 7/1/28 | | 560,000 | 562,802 |
| Gallatin County Indl. Dev. Rev. (Bozeman Fiber Proj.) Series 2021 A, 4% 10/15/51 (e) | | 250,000 | 178,454 |
| Kalispell Hsg. and Healthcare Facilities Rev. (Immanuel Lutheran Corp. Proj.) Series 2017 A: | | | |
| 5.25% 5/15/37 | | 95,000 | 82,912 |
| 5.25% 5/15/47 | | 1,020,000 | 802,072 |
| 5.25% 5/15/52 | | 1,060,000 | 810,218 |
| Montana Board Hsg. Single Family: | | | |
| Series 2017 B, 4% 12/1/48 (d) | | 45,000 | 44,849 |
| Series 2019 B, 4% 6/1/50 | | 75,000 | 74,508 |
| Series 2020 B, 4% 12/1/50 | | 725,000 | 719,658 |
| Series 2023, 6.25% 6/1/54 (i) | | 1,000,000 | 1,090,050 |
| Montana Board of Hsg. Series 2014 A2, 3% 12/1/43 (d) | | 30,000 | 29,921 |
| Montana Board of Regents Higher Ed. Rev. Series 2022, 5.25% 11/15/52 | | 3,800,000 | 4,102,249 |
| Montana Facility Fin. Auth.: | | | |
| Series 2018 B, 5% 7/1/48 | | 300,000 | 299,179 |
| Series 2018, 5% 6/1/48 | | 1,000,000 | 1,019,887 |
| Series 2021 A, 3% 6/1/50 | | 1,750,000 | 1,239,030 |
| Yellowstone County School District # 26 Series 2018: | | | |
| 5% 7/1/29 | | 250,000 | 272,303 |
| 5% 7/1/30 | | 500,000 | 543,047 |
| 5% 7/1/31 | | 750,000 | 812,414 |
| 5% 7/1/32 | | 750,000 | 809,945 |
TOTAL MONTANA | | | 13,493,498 |
| Nebraska - 0.3% | | | |
| Central Plains Energy Proj. Rev.: | | | |
| (Proj. No. 3) Series 2017 A, 5% 9/1/30 | | 490,000 | 514,731 |
| Bonds: | | | |
(Proj. No. 4): | | | |
Series 2018 A, 5%, tender 12/28/23 (b) | | 5,500,000 | 5,514,432 |
Series 2023 A1, 5%, tender 11/1/29 (b) | | 6,950,000 | 7,238,199 |
Series 2019, 4%, tender 8/1/25 (b) | | 5,775,000 | 5,773,508 |
Series 2022 1, 5%, tender 10/1/29 (b) | | 4,255,000 | 4,378,444 |
| Series 2017 A: | | | |
5% 9/1/31 | | 345,000 | 363,103 |
5% 9/1/34 | | 180,000 | 192,056 |
5% 9/1/36 | | 690,000 | 719,077 |
| Douglas County Hosp. Auth. #2 Health Facilities Rev.: | | | |
| Series 2020 A: | | | |
4% 11/15/39 | | 290,000 | 281,548 |
4% 11/15/50 | | 240,000 | 215,575 |
| Series 2020, 4% 11/15/37 | | 255,000 | 252,638 |
| Douglas County Neb Edl. Facilities Rev.: | | | |
| (Creighton Univ. Proj.) Series 2017: | | | |
4% 7/1/34 | | 120,000 | 122,008 |
5% 7/1/36 | | 85,000 | 88,632 |
| (Creighton Univ. Projs.): | | | |
Series 2017, 4% 7/1/33 | | 45,000 | 45,947 |
Series 2021 A, 3% 7/1/51 | | 785,000 | 552,251 |
| Douglas County School District #1 Series 2021, 1.75% 12/15/37 | | 1,000,000 | 714,848 |
| Lincoln Elec. Sys. Rev. Series 2018: | | | |
| 5% 9/1/31 | | 110,000 | 116,802 |
| 5% 9/1/32 | | 210,000 | 222,824 |
| 5% 9/1/33 | | 125,000 | 132,398 |
| Metropolitan Util. District Omaha N Series 2015, 3.4% 12/1/30 | | 1,260,000 | 1,232,011 |
| Nebraska Invt. Fin. Auth. Single Family Hsg. Rev.: | | | |
| Series 2014 A, 4% 9/1/44 | | 50,000 | 49,831 |
| Series 2018 C, 4% 9/1/48 | | 110,000 | 109,432 |
| Series 2019 B, 4% 9/1/49 (d) | | 260,000 | 256,804 |
| Series 2019 E, 3.75% 9/1/49 (d) | | 250,000 | 246,333 |
| Series 2020 A, 3.5% 9/1/50 | | 65,000 | 63,678 |
| Nebraska Pub. Pwr. District Rev.: | | | |
| Series 2016 A: | | | |
5% 1/1/32 | | 95,000 | 97,930 |
5% 1/1/34 | | 55,000 | 56,585 |
| Series 2016 B: | | | |
5% 1/1/32 | | 280,000 | 288,636 |
5% 1/1/37 | | 300,000 | 307,075 |
5% 1/1/40 | | 140,000 | 142,629 |
| Series 2016 D, 5% 1/1/46 | | 965,000 | 981,584 |
| Omaha Arpt. Auth. Arpt. Rev. Series 2017 A: | | | |
| 5% 12/15/25 (d) | | 25,000 | 25,650 |
| 5% 12/15/25 (Escrowed to Maturity) (d) | | 25,000 | 25,870 |
| 5% 12/15/26 (d) | | 95,000 | 99,193 |
| 5% 12/15/26 (Escrowed to Maturity) (d) | | 80,000 | 84,492 |
| 5% 12/15/27 (d) | | 65,000 | 67,715 |
| 5% 12/15/27 (Pre-Refunded to 12/15/26 @ 100) (d) | | 55,000 | 58,088 |
| 5% 12/15/30 (d) | | 105,000 | 108,156 |
| 5% 12/15/30 (Pre-Refunded to 12/15/26 @ 100) (d) | | 80,000 | 84,492 |
| 5% 12/15/31 (d) | | 55,000 | 56,487 |
| 5% 12/15/31 (Pre-Refunded to 12/15/26 @ 100) (d) | | 40,000 | 42,246 |
| 5% 12/15/33 (d) | | 55,000 | 56,121 |
| 5% 12/15/33 (Pre-Refunded to 12/15/26 @ 100) (d) | | 45,000 | 47,527 |
| 5% 12/15/35 (d) | | 135,000 | 136,886 |
| 5% 12/15/35 (Pre-Refunded to 12/15/26 @ 100) (d) | | 110,000 | 116,176 |
| 5% 12/15/36 (d) | | 35,000 | 35,477 |
| 5% 12/15/36 (Pre-Refunded to 12/15/26 @ 100) (d) | | 25,000 | 26,404 |
| Omaha Pub. Pwr. District Elec. Rev.: | | | |
| Series 2021 B, 4% 2/1/46 | | 2,000,000 | 1,977,075 |
| Series 2022 A: | | | |
5% 2/1/47 | | 3,500,000 | 3,779,111 |
5.25% 2/1/52 | | 1,050,000 | 1,145,593 |
| Sarpy County Nebraska Series 2021, 1.75% 6/1/37 | | 2,770,000 | 2,007,460 |
TOTAL NEBRASKA | | | 41,251,768 |
| Nevada - 0.4% | | | |
| Carson City Hosp. Rev. (Carson Tahoe Hosp. Proj.) Series 2017: | | | |
| 5% 9/1/37 | | 150,000 | 151,427 |
| 5% 9/1/42 | | 370,000 | 372,425 |
| Clark County Arpt. Rev.: | | | |
| Series 2014 A2, 5% 7/1/30 | | 370,000 | 372,846 |
| Series 2019 A, 5% 7/1/26 | | 1,445,000 | 1,520,603 |
| Series 2021 B, 5% 7/1/26 (d) | | 2,290,000 | 2,367,171 |
| Clark County Fuel Tax: | | | |
| Series 2018 A, 5% 5/1/48 | | 4,820,000 | 4,976,769 |
| Series 2018, 4% 7/1/44 | | 1,415,000 | 1,393,694 |
| Clark County Hwy. Impt. Rev. Series 2022, 4% 7/1/40 (Assured Guaranty Muni. Corp. Insured) | | 3,500,000 | 3,489,528 |
| Clark County School District: | | | |
| Series 2017 A: | | | |
5% 6/15/24 | | 15,000 | 15,133 |
5% 6/15/26 | | 15,000 | 15,713 |
| Series 2020 A: | | | |
4% 6/15/37 (Assured Guaranty Muni. Corp. Insured) | | 190,000 | 192,980 |
4% 6/15/39 (Assured Guaranty Muni. Corp. Insured) | | 420,000 | 422,909 |
| Series 2021 B, 3% 6/15/36 | | 2,275,000 | 2,029,358 |
| Director of the State of Nevada Dept. of Bus. & Industry Charter School Lease Rev.: | | | |
| Series 2015 A: | | | |
5% 12/15/35 (e) | | 130,000 | 127,239 |
5.125% 12/15/45 (e) | | 160,000 | 145,550 |
| Series 2018 A: | | | |
5% 12/15/38 (e) | | 270,000 | 255,780 |
5% 12/15/48 (e) | | 1,015,000 | 891,466 |
| Henderson Pub. Impt. Trust Touro College & Univ. Sys. Obligated Group Rev. Series 2014 A: | | | |
| 5.5% 1/1/34 (Pre-Refunded to 7/1/24 @ 100) | | 245,000 | 248,029 |
| 5.5% 1/1/39 (Pre-Refunded to 7/1/24 @ 100) | | 370,000 | 374,574 |
| 5.5% 1/1/44 (Pre-Refunded to 7/1/24 @ 100) | | 525,000 | 531,491 |
| Las Vegas Convention & Visitors Auth.: | | | |
| Series 2018 B: | | | |
4% 7/1/49 | | 5,500,000 | 5,185,501 |
5% 7/1/43 | | 4,580,000 | 4,764,337 |
| Series 2019 B, 5% 7/1/33 | | 620,000 | 678,483 |
| Series 2022 B, 5.25% 7/1/49 | | 1,060,000 | 1,140,722 |
| Las Vegas Nev Spl. Impt. District # Series 2023, 5.5% 6/1/38 | | 400,000 | 406,201 |
| Las Vegas Redev. Agcy., Tax Increment Rev. Series 2016: | | | |
| 5% 6/15/30 | | 60,000 | 61,633 |
| 5% 6/15/40 | | 1,580,000 | 1,599,244 |
| 5% 6/15/45 | | 1,870,000 | 1,883,051 |
| Las Vegas Valley Wtr. District Wtr. Impt. Gen. Oblig.: | | | |
| Series 2015, 5% 6/1/33 | | 1,400,000 | 1,422,713 |
| Series 2016 A, 5% 6/1/46 | | 2,000,000 | 2,047,182 |
| Nevada Dept. of Bus. & Industry Bonds (Brightline West Passenger Rail Proj.) Series 2023 A3, 8.125%, tender 8/15/24 (b)(d)(e) | | 1,000,000 | 1,012,820 |
| Nevada Hsg. Division Single Family Mtg. Rev.: | | | |
| Series 2019 A, 4% 4/1/49 | | 95,000 | 94,440 |
| Series 2019 B, 4% 10/1/49 | | 195,000 | 193,857 |
| Series 2021 A, 3% 4/1/51 | | 560,000 | 539,499 |
| Series 2021 B, 3% 10/1/51 | | 6,075,000 | 5,813,202 |
| Reno Cap. Impt. Rev. Series 2019 A1, 4% 6/1/46 (Assured Guaranty Muni. Corp. Insured) | | 250,000 | 228,790 |
| Reno Sales Tax Rev.: | | | |
| (Retrac-Reno Trans. Rail Access Corridor Proj.) Series 2018 A: | | | |
5% 6/1/36 | | 35,000 | 36,964 |
5% 6/1/37 | | 70,000 | 73,394 |
5% 6/1/48 | | 70,000 | 71,124 |
| (ReTRAC-Reno Trans. Rail Access Corridor Proj.) Series 2018 B, 4% 6/1/48 (Assured Guaranty Muni. Corp. Insured) | | 95,000 | 85,048 |
| (Retrac-Reno Trans. Rail Access Corridor Proj.): | | | |
Series 2018 B: | | | |
4.125% 6/1/58 (Assured Guaranty Muni. Corp. Insured) | | 120,000 | 106,960 |
5% 6/1/33 (Assured Guaranty Muni. Corp. Insured) | | 25,000 | 26,823 |
5% 6/1/38 (Assured Guaranty Muni. Corp. Insured) | | 15,000 | 15,746 |
Series 2018 C, 0% 7/1/58 (e) | | 4,000,000 | 495,551 |
| Tahoe-Douglas Visitors Auth. Series 2020: | | | |
| 5% 7/1/45 | | 250,000 | 244,073 |
| 5% 7/1/51 | | 170,000 | 163,565 |
TOTAL NEVADA | | | 48,285,608 |
| New Hampshire - 0.5% | | | |
| Nat'l. Fin. Auth. Hosp. Rev. (St. Luke's Univ. Health Network Proj.) Series 2021 B: | | | |
| 3% 8/15/51 (Assured Guaranty Muni. Corp. Insured) | | 1,755,000 | 1,207,897 |
| 5% 8/15/26 | | 465,000 | 481,501 |
| Nat'l. Fin. Auth. Rev.: | | | |
| (Covanta Proj.) Series 2018 B, 4.625% 11/1/42 (e) | | 470,000 | 370,529 |
| (Presbyterian Sr. Living Proj.) Series 2023 A, 5.25% 7/1/48 | | 290,000 | 278,769 |
| (The Lawrenceville School Proj.) Series 2021 A, 4% 7/1/51 | | 2,140,000 | 2,034,900 |
| (The Vista Proj.) Series 2019 A: | | | |
5.25% 7/1/39 (e) | | 220,000 | 194,286 |
5.625% 7/1/46 (e) | | 125,000 | 109,598 |
5.75% 7/1/54 (e) | | 310,000 | 269,019 |
| Bonds Series 2020 B, 3.75%, tender 7/2/40 (b)(d)(e) | | 1,195,000 | 883,238 |
| Nat'l. Fin. Auth. Solid Bonds (Waste Mgmt., Inc. Proj.): | | | |
| Series 2019 A2, 2.15%, tender 7/1/24 (b)(d) | | 600,000 | 592,575 |
| Series 2019 A3, 2.15%, tender 7/1/24 (b)(d) | | 965,000 | 953,058 |
| Nat'l. Fin. Auth. Sr. Living Rev. (Springpoint Sr. Living Proj.) Series 2021, 4% 1/1/41 | | 225,000 | 181,259 |
| Nat'l. Finacial Auththority N H Lease Re (NCCD - UNR Properties LLC - Univ. of Navada, Reno Proj.) Series 2023 A, 5.25% 6/1/51 | | 930,000 | 1,004,175 |
| Nat'l. Finnance Auth.: | | | |
| Series 2020 1, 4.125% 1/20/34 | | 5,363,960 | 5,162,480 |
| Series 2022 1, 4.375% 9/20/36 | | 2,579,956 | 2,521,215 |
| Series 2023 2A, 3.875% 1/20/38 | | 8,915,950 | 8,295,347 |
| New Hampshire Health & Ed. Facilities Auth.: | | | |
| (Dartmouth-Hitchcock Oblgtd Grp Proj.) Series 2018 A: | | | |
5% 8/1/28 | | 150,000 | 158,776 |
5% 8/1/29 | | 130,000 | 137,485 |
5% 8/1/30 | | 120,000 | 126,877 |
| (Dartmouth-Hitchcock Oblgtd Grp Proj.): | | | |
Series 2018 A: | | | |
5% 8/1/31 | | 75,000 | 79,255 |
5% 8/1/32 | | 15,000 | 15,849 |
5% 8/1/34 | | 190,000 | 200,477 |
5% 8/1/36 | | 110,000 | 115,213 |
5% 8/1/37 | | 135,000 | 140,492 |
Series 2018, 5% 8/1/35 | | 155,000 | 163,204 |
| (Partners Healthcare Sys., Inc. Proj.) Series 2017: | | | |
5% 7/1/30 | | 310,000 | 332,293 |
5% 7/1/32 | | 465,000 | 497,251 |
5% 7/1/33 | | 425,000 | 454,136 |
5% 7/1/34 | | 650,000 | 694,206 |
5% 7/1/35 | | 680,000 | 724,504 |
5% 7/1/36 | | 715,000 | 757,893 |
5% 7/1/37 | | 630,000 | 664,036 |
5% 7/1/41 | | 115,000 | 119,811 |
| Series 2017 A: | | | |
6.125% (e)(j) | | 200,349 | 12,021 |
6.125% (e)(j) | | 492,524 | 29,551 |
6.25% (e)(j) | | 300,523 | 18,031 |
| Series 2017: | | | |
5% 7/1/36 | | 65,000 | 65,794 |
5% 7/1/44 | | 1,855,000 | 1,704,128 |
| Series 2023 B, 5% 11/1/43 (d) | | 1,665,000 | 1,745,675 |
| New Hampshire Health & Ed. Facilities Auth. Rev.: | | | |
| Series 2012: | | | |
4% 7/1/32 | | 385,000 | 380,043 |
5% 7/1/24 | | 120,000 | 120,097 |
5% 7/1/25 | | 145,000 | 145,127 |
5% 7/1/27 | | 60,000 | 60,011 |
| Series 2016: | | | |
4% 10/1/38 | | 360,000 | 335,513 |
5% 10/1/24 | | 260,000 | 262,666 |
5% 10/1/25 | | 255,000 | 261,693 |
5% 10/1/28 | | 170,000 | 175,108 |
5% 10/1/29 | | 810,000 | 831,370 |
5% 10/1/31 | | 630,000 | 642,370 |
5% 10/1/32 | | 290,000 | 294,801 |
5% 10/1/33 | | 490,000 | 497,889 |
5% 10/1/36 | | 115,000 | 113,175 |
5% 10/1/38 | | 1,120,000 | 1,134,111 |
5% 10/1/40 | | 545,000 | 518,168 |
5% 10/1/46 | | 860,000 | 783,599 |
| New Hampshire Nat'l. Fin. Auth. Series 2022 2, 4% 10/20/36 | | 10,111,822 | 9,586,923 |
| New Hampshire State Hsg. Fin. Rev. Series 2023 D, 6.5% 7/1/55 (i) | | 7,500,000 | 8,254,947 |
| Portsmouth Tan Series 2021, 1.75% 4/1/36 | | 1,345,000 | 1,045,218 |
TOTAL NEW HAMPSHIRE | | | 58,939,633 |
| New Jersey - 3.4% | | | |
| Atlantic City Gen. Oblig.: | | | |
| Series 2017 A, 5% 3/1/32 | | 1,050,000 | 1,103,728 |
| Series 2017 B: | | | |
5% 3/1/32 | | 750,000 | 788,377 |
5% 3/1/37 | | 355,000 | 367,153 |
| Atlantic County Impt. Auth.: | | | |
| (Atlantic City Campus Phase II Proj.) Series 2021 A, 4% 7/1/47 (Assured Guaranty Muni. Corp. Insured) | | 810,000 | 768,816 |
| (Atlantic City Campus Proj.) Series 2016 A: | | | |
5% 7/1/28 (Assured Guaranty Muni. Corp. Insured) | | 125,000 | 131,071 |
5% 7/1/30 (Assured Guaranty Muni. Corp. Insured) | | 305,000 | 318,086 |
5% 7/1/32 (Assured Guaranty Muni. Corp. Insured) | | 150,000 | 155,597 |
5% 7/1/33 (Assured Guaranty Muni. Corp. Insured) | | 160,000 | 166,089 |
| Camden County Impt. Auth. (KIPP Cooper Norcross Academy 2022 Proj.) Series 2022: | | | |
| 6% 6/15/42 | | 60,000 | 65,290 |
| 6% 6/15/47 | | 165,000 | 177,587 |
| 6% 6/15/52 | | 155,000 | 165,931 |
| 6% 6/15/62 | | 510,000 | 542,759 |
| Camden County Impt. Auth. Charter School Rev. (Camden Prep High School Proj.) Series 2022: | | | |
| 5% 7/15/52 (e) | | 435,000 | 416,745 |
| 5% 7/15/62 (e) | | 480,000 | 450,561 |
| Camden County Impt. Auth. Health Care Redev. Rev. Series 2014 A, 5% 2/15/26 (Pre-Refunded to 2/15/24 @ 100) | | 65,000 | 65,205 |
| Edison Township Gen. Oblig. Series 2021, 2% 3/15/36 | | 950,000 | 741,494 |
| Essex County Impt. Auth. (CHF-Newark, L.L.C. - NJIT Student Hsg. Proj.) Series 2021 A, 4% 8/1/46 | | 355,000 | 339,936 |
| Essex County Impt. Auth. Charter School Rev.: | | | |
| (North Star Academy Charter School of Newark, Inc. - 2020 Proj.) Series 2020, 4% 7/15/60 (e) | | 250,000 | 202,202 |
| (North Star Academy Charter School of Newark, INC. - 2020 Proj.) Series 2020, 4% 7/15/50 (e) | | 300,000 | 253,455 |
| (North Star Academy Charter School of Newark, New Jersey Hazelwood & Broad Proj.) Series 2020 A, 4% 8/1/60 (e) | | 250,000 | 202,180 |
| (The Friends o Team Charter Schools, Inc. - 2021 Proj.) Series 2021, 4% 6/15/46 | | 275,000 | 242,330 |
| (The Friends of Team Charter Schools, Inc. - 2021 Proj.) Series 2021, 4% 6/15/56 | | 365,000 | 306,214 |
| Hudson County Impt. Auth. (Hudson County Courthouse Proj.) Series 2020, 4% 10/1/33 | | 590,000 | 618,818 |
| Jersey City Redev. Agcy. (Bayfront Redev. Proj.) Series 2022, 4% 12/15/31 | | 1,815,000 | 1,920,744 |
| New Brunswick Parking Auth. Rev.: | | | |
| Series 2016 A, 5% 9/1/39 | | 965,000 | 992,839 |
| Series 2017, 5% 9/1/42 | | 540,000 | 562,098 |
| New Jersey Econ. Dev. Auth.: | | | |
| (White Horse HMT Urban Renewal LLC Proj.) Series 2020, 5% 1/1/40 (e) | | 160,000 | 111,174 |
| Series 2015, 5.25% 6/15/27 | | 955,000 | 982,655 |
| Series 2020 A: | | | |
4% 11/1/38 | | 295,000 | 297,537 |
4% 11/1/44 | | 3,270,000 | 3,094,861 |
| Series 2023 RRR, 5% 3/1/25 | | 5,980,000 | 6,100,608 |
| Series 2024 SSS: | | | |
5.25% 6/15/36 (i) | | 645,000 | 715,160 |
5.25% 6/15/37 (i) | | 145,000 | 158,875 |
5.25% 6/15/38 (i) | | 195,000 | 211,186 |
5.25% 6/15/39 (i) | | 175,000 | 188,444 |
| Series A: | | | |
5% 11/1/31 | | 1,775,000 | 1,954,099 |
5% 11/1/36 | | 2,075,000 | 2,236,532 |
| Series QQQ: | | | |
4% 6/15/34 | | 45,000 | 46,393 |
4% 6/15/36 | | 60,000 | 61,292 |
4% 6/15/39 | | 55,000 | 55,366 |
4% 6/15/41 | | 55,000 | 54,434 |
4% 6/15/46 | | 1,790,000 | 1,668,757 |
4% 6/15/50 | | 590,000 | 542,316 |
5% 6/15/31 | | 60,000 | 67,151 |
5% 6/15/33 | | 10,000 | 11,109 |
| Series WW, 5.25% 6/15/40 (Pre-Refunded to 6/15/25 @ 100) | | 3,100,000 | 3,205,939 |
| New Jersey Econ. Dev. Auth. Energy Facility Rev. (Umm Energy Partners, LLC Proj.) Series 2012 A: | | | |
| 5% 6/15/37 (d) | | 175,000 | 174,997 |
| 5.125% 6/15/43 (d) | | 245,000 | 244,987 |
| New Jersey Econ. Dev. Auth. Lease Rev.: | | | |
| (State House Proj.) Series 2017 B: | | | |
5% 6/15/26 | | 65,000 | 68,042 |
5% 6/15/35 | | 35,000 | 37,445 |
| (State House Proj.) Series 2017 B, 5% 6/15/43 | | 810,000 | 840,130 |
| Series 2018 A: | | | |
5% 6/15/33 | | 1,555,000 | 1,655,511 |
5% 6/15/42 | | 1,675,000 | 1,738,156 |
| Series 2018 C, 5% 6/15/42 | | 1,070,000 | 1,110,345 |
| New Jersey Econ. Dev. Auth. Motor Vehicle Rev. Series 2017 B, 3.125% 7/1/29 | | 180,000 | 172,772 |
| New Jersey Econ. Dev. Auth. Rev.: | | | |
| (Black Horse EHT Urban Renewal LLC Proj.) Series 2019 A, 5% 10/1/39 (e) | | 130,000 | 84,296 |
| (Goethals Bridge Replacement Proj.) Series 2013: | | | |
5.125% 1/1/34 (d) | | 1,600,000 | 1,600,239 |
5.375% 1/1/43 (d) | | 1,945,000 | 1,946,465 |
| (Lions Gate Proj.) Series 2014: | | | |
4.375% 1/1/24 | | 35,000 | 34,976 |
4.875% 1/1/29 | | 145,000 | 141,466 |
5% 1/1/34 | | 280,000 | 269,688 |
5.25% 1/1/44 | | 685,000 | 619,552 |
| (Provident Group - Rowan Properties L.L.C. - Rowan Univ. Student Hsg. Proejct) Series 2015 A, 5% 1/1/48 | | 2,190,000 | 1,966,707 |
| (Provident Group - Rowan Properties L.L.C. - Rowan Univ. Student Hsg. Proj.) Series 2015 A, 5% 1/1/30 | | 510,000 | 505,246 |
| (Provident Group - Rowan Properties LLC - Rowan Univ. Student Hsg. Proj.) Series 2015 A, 5% 1/1/35 | | 335,000 | 328,020 |
| (Provident Montclair Proj.) Series 2017: | | | |
5% 6/1/25 (Assured Guaranty Muni. Corp. Insured) | | 65,000 | 66,501 |
5% 6/1/28 (Assured Guaranty Muni. Corp. Insured) | | 5,000 | 5,265 |
5% 6/1/29 (Assured Guaranty Muni. Corp. Insured) | | 5,000 | 5,263 |
| (The Goethals Bridge Replacement Proj.) Series 2013: | | | |
5% 1/1/28 (d) | | 100,000 | 100,049 |
5% 1/1/31 (Assured Guaranty Muni. Corp. Insured) (d) | | 1,015,000 | 1,015,097 |
5.125% 1/1/39 (Assured Guaranty Muni. Corp. Insured) (d) | | 360,000 | 360,040 |
5.125% 7/1/42 (Assured Guaranty Muni. Corp. Insured) (d) | | 655,000 | 655,058 |
5.5% 1/1/27 (d) | | 100,000 | 100,083 |
5.625% 1/1/52 (d) | | 3,240,000 | 3,242,836 |
| Series 1997 A, 0% 7/1/26 (Escrowed to Maturity) | | 350,000 | 322,965 |
| Series 2005 N1, 5.5% 9/1/26 (AMBAC Insured) | | 750,000 | 798,349 |
| Series 2014 RR, 5% 6/15/32 (Pre-Refunded to 6/15/24 @ 100) | | 190,000 | 191,671 |
| Series 2014 UU, 5% 6/15/30 (Pre-Refunded to 6/15/24 @ 100) | | 230,000 | 232,144 |
| Series 2015 WW, 5.25% 6/15/30 (Pre-Refunded to 6/15/25 @ 100) | | 3,135,000 | 3,242,135 |
| Series 2016 A, 5% 7/15/27 | | 65,000 | 67,941 |
| Series 2016 AAA, 5% 6/15/41 (Pre-Refunded to 12/15/26 @ 100) | | 140,000 | 149,115 |
| Series 2016 BBB, 5.5% 6/15/31 (Pre-Refunded to 12/15/26 @ 100) | | 940,000 | 1,014,777 |
| Series 2018 EEE, 5% 6/15/28 | | 40,000 | 43,403 |
| Series 2018, 5% 1/1/39 | | 495,000 | 437,776 |
| Series 2019 LLL: | | | |
5% 6/15/36 | | 300,000 | 324,274 |
5% 6/15/49 | | 300,000 | 308,980 |
| Series LLL: | | | |
4% 6/15/44 | | 190,000 | 180,728 |
4% 6/15/49 | | 330,000 | 304,221 |
5% 6/15/44 | | 805,000 | 838,456 |
| Series MMM: | | | |
4% 6/15/35 | | 75,000 | 76,717 |
4% 6/15/36 | | 75,000 | 76,409 |
| New Jersey Econ. Dev. Auth. School Rev. Series 2019 A, 5% 6/15/49 (e) | | 100,000 | 88,797 |
| New Jersey Econ. Dev. Auth. Spl. Facilities Rev.: | | | |
| (Continental Airlines, Inc. Proj.): | | | |
Series 2000 A, 5.625% 11/15/30 (d) | | 445,000 | 447,547 |
Series 2000 B, 5.625% 11/15/30 (d) | | 4,925,000 | 4,953,187 |
Series 2003, 5.5% 6/1/33 (d) | | 1,205,000 | 1,209,235 |
| (Port Newark Container Term. LLC. Proj.) Series 2017: | | | |
5% 10/1/37 (d) | | 4,240,000 | 4,282,303 |
5% 10/1/47 (d) | | 4,835,000 | 4,735,758 |
| Series 1999, 5.25% 9/15/29 (d) | | 1,480,000 | 1,480,493 |
| New Jersey Econ. Dev. Auth. Wtr. Facilities Rev.: | | | |
| (Middlesex Wtr. Co. Proj.) Series 2019, 5% 8/1/59 (d) | | 580,000 | 591,168 |
| (New Jersey-American Wtr. Co., Inc. Proj.) Series 2020 E, 0.85% 12/1/25 (d) | | 415,000 | 381,649 |
| Bonds: | | | |
(New Jersey - American Wtr. Compnay, INC. Proj.) Series 2020 D, 1.1%, tender 12/1/27 (b)(d) | | 3,145,000 | 2,719,133 |
(New Jersey American Wtr. Compnay, INC. Proj.) Series 2019 A, 2.2%, tender 12/3/29 (b)(d) | | 2,830,000 | 2,459,508 |
(New Jersey- American Wtr. Co., INC. Proj.) Series 2020 B, 3.75%, tender 6/1/28 (b)(d) | | 500,000 | 496,225 |
| New Jersey Edl. Facilities Auth. Rev. Series 2022 A, 5% 7/1/31 (Assured Guaranty Muni. Corp. Insured) | | 160,000 | 180,200 |
| New Jersey Edl. Facility: | | | |
| Series 2016 A: | | | |
5% 7/1/29 | | 145,000 | 149,251 |
5% 7/1/31 | | 255,000 | 262,248 |
5% 7/1/32 | | 295,000 | 303,178 |
| Series A: | | | |
5% 7/1/40 | | 1,000,000 | 1,037,090 |
5% 7/1/45 | | 845,000 | 864,754 |
| New Jersey Gen. Oblig.: | | | |
| Series 2020 A: | | | |
4% 6/1/31 | | 3,400,000 | 3,613,828 |
4% 6/1/32 | | 395,000 | 422,011 |
5% 6/1/24 | | 2,100,000 | 2,119,084 |
5% 6/1/25 | | 2,500,000 | 2,572,428 |
5% 6/1/26 | | 2,055,000 | 2,154,444 |
5% 6/1/27 | | 575,000 | 615,413 |
5% 6/1/28 | | 6,580,000 | 7,176,040 |
5% 6/1/29 | | 1,040,000 | 1,152,254 |
| Series 2021: | | | |
2% 6/1/32 | | 2,110,000 | 1,787,580 |
2% 6/1/34 | | 1,020,000 | 832,221 |
2% 6/1/37 | | 2,400,000 | 1,789,205 |
5% 6/1/40 | | 1,500,000 | 1,599,717 |
5% 6/1/41 | | 1,840,000 | 1,957,004 |
| New Jersey Health Care Facilities Fing. Auth. Rev.: | | | |
| (Hosp. Asset Transformation Prog.) Series 2017: | | | |
5% 10/1/31 | | 445,000 | 478,159 |
5% 10/1/32 | | 445,000 | 476,654 |
5% 10/1/37 | | 645,000 | 674,007 |
| Bonds: | | | |
Series 2019 B2, 5%, tender 7/1/25 (b) | | 105,000 | 107,655 |
Series 2019 B3, 5%, tender 7/1/26 (b) | | 110,000 | 114,091 |
| Series 2013 A, 5.5% 7/1/43 | | 565,000 | 565,402 |
| Series 2014 A, 5% 7/1/44 | | 985,000 | 987,920 |
| Series 2015 A, 5% 7/1/46 (Assured Guaranty Muni. Corp. Insured) | | 1,205,000 | 1,207,077 |
| Series 2016 A: | | | |
4% 7/1/36 | | 1,150,000 | 1,155,448 |
5% 7/1/25 (Escrowed to Maturity) | | 60,000 | 61,713 |
5% 7/1/26 (Escrowed to Maturity) | | 50,000 | 52,438 |
5% 7/1/27 | | 90,000 | 94,468 |
5% 7/1/28 | | 45,000 | 47,174 |
5% 7/1/29 (Pre-Refunded to 7/1/26 @ 100) | | 85,000 | 89,253 |
5% 7/1/30 | | 175,000 | 183,037 |
5% 7/1/43 | | 3,425,000 | 3,463,826 |
| Series 2016: | | | |
4% 7/1/48 | | 470,000 | 408,159 |
5% 7/1/28 | | 75,000 | 76,582 |
5% 7/1/41 | | 565,000 | 565,910 |
| Series 2017 A: | | | |
5% 7/1/37 | | 420,000 | 439,647 |
5% 7/1/39 | | 1,550,000 | 1,606,224 |
5.25% 7/1/57 | | 590,000 | 603,888 |
| Series 2019: | | | |
4% 7/1/35 | | 140,000 | 138,834 |
5% 7/1/31 | | 140,000 | 150,936 |
| Series 2021 A: | | | |
3% 7/1/51 | | 3,000,000 | 2,155,128 |
4% 7/1/45 | | 1,475,000 | 1,425,661 |
4% 7/1/51 | | 2,065,000 | 1,963,584 |
| Series 2021, 3% 7/1/39 | | 1,520,000 | 1,221,694 |
| New Jersey Higher Ed. Student Assistance Auth. Student Ln. Rev.: | | | |
| Series 2017 1A, 5% 12/1/26 (d) | | 645,000 | 666,212 |
| Series 2018 B: | | | |
5% 12/1/25 (d) | | 510,000 | 521,872 |
5% 12/1/26 (d) | | 740,000 | 764,337 |
| Series 2019 A: | | | |
5% 12/1/23 | | 235,000 | 235,000 |
5% 12/1/25 | | 310,000 | 320,589 |
| Series 2019 B, 3.25% 12/1/39 (d) | | 760,000 | 715,218 |
| Series 2020 B, 3.5% 12/1/39 (d) | | 1,180,000 | 1,125,477 |
| Series 2020: | | | |
5% 12/1/24 (d) | | 1,025,000 | 1,035,830 |
5% 12/1/24 (d) | | 485,000 | 490,124 |
5% 12/1/27 (d) | | 405,000 | 423,080 |
5% 12/1/28 (d) | | 705,000 | 743,424 |
| Series 2021 A: | | | |
5% 12/1/28 (d) | | 85,000 | 89,633 |
5% 12/1/29 (d) | | 115,000 | 122,062 |
| Series 2021 B: | | | |
2.5% 12/1/40 (d) | | 455,000 | 395,106 |
5% 12/1/28 (d) | | 305,000 | 321,623 |
5% 12/1/29 (d) | | 300,000 | 318,094 |
| Series 2021 C, 3.25% 12/1/51 (d) | | 185,000 | 129,127 |
| Series 2022 A, 5% 12/1/26 (d) | | 495,000 | 511,279 |
| Series 2022 B: | | | |
4% 12/1/41 (d) | | 3,360,000 | 3,219,176 |
5% 12/1/26 (d) | | 5,050,000 | 5,216,081 |
| Series 2023 A, 5% 12/1/30 (d) | | 1,250,000 | 1,331,303 |
| Series 2023 B, 5% 12/1/33 (d) | | 10,750,000 | 11,606,684 |
| New Jersey Hsg. & Mtg. Fin. Agcy. Rev.: | | | |
| Series 2019 C, 4.75% 10/1/50 | | 615,000 | 621,582 |
| Series 2021 H, 3% 10/1/52 | | 2,080,000 | 1,988,067 |
| New Jersey Institute of Technology Series 2015 A: | | | |
| 5% 7/1/40 | | 1,030,000 | 1,047,238 |
| 5% 7/1/45 | | 4,215,000 | 4,262,391 |
| New Jersey Tobacco Settlement Fing. Corp.: | | | |
| Series 2018 A: | | | |
5% 6/1/28 | | 65,000 | 68,371 |
5% 6/1/30 | | 750,000 | 786,817 |
5% 6/1/32 | | 640,000 | 671,091 |
5% 6/1/33 | | 2,265,000 | 2,373,399 |
5% 6/1/34 | | 640,000 | 670,045 |
5% 6/1/35 | | 630,000 | 656,981 |
5% 6/1/36 | | 1,050,000 | 1,089,804 |
5% 6/1/46 | | 12,715,000 | 12,785,999 |
5.25% 6/1/46 | | 4,210,000 | 4,292,524 |
| Series 2018 B, 5% 6/1/46 | | 14,650,000 | 14,684,951 |
| New Jersey Tpk. Auth. Tpk. Rev.: | | | |
| Series 2014 A, 5% 1/1/28 | | 605,000 | 609,130 |
| Series 2015 E: | | | |
5% 1/1/34 | | 605,000 | 614,425 |
5% 1/1/45 | | 500,000 | 503,313 |
| Series 2016 A, 5% 1/1/35 | | 1,180,000 | 1,216,107 |
| Series 2017 D1, 1 month U.S. LIBOR + 0.700% 4.504% 1/1/24 (b)(c) | | 6,100,000 | 6,100,131 |
| Series 2017 G, 5% 1/1/36 | | 5,365,000 | 5,722,895 |
| Series 2019 A, 5% 1/1/48 | | 1,205,000 | 1,260,066 |
| Series 2021 A: | | | |
4% 1/1/42 | | 3,000,000 | 3,004,283 |
4% 1/1/51 | | 3,515,000 | 3,407,871 |
| Series 2022 B, 5.25% 1/1/52 | | 8,600,000 | 9,388,811 |
| Series D, 5% 1/1/28 | | 595,000 | 621,277 |
| New Jersey Trans. Trust Fund Auth.: | | | |
| (Trans. Prog.) Series 2019 AA: | | | |
5% 6/15/46 | | 1,325,000 | 1,364,697 |
5.25% 6/15/43 | | 15,300,000 | 16,041,074 |
| Series 2006 C: | | | |
0% 12/15/27 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | | 2,870,000 | 2,500,991 |
0% 12/15/28 | | 2,585,000 | 2,177,121 |
0% 12/15/30 (FGIC Insured) | | 3,560,000 | 2,785,981 |
0% 12/15/31 (FGIC Insured) | | 2,420,000 | 1,823,940 |
0% 12/15/32 (Assured Guaranty Muni. Corp. Insured) | | 710,000 | 517,344 |
0% 12/15/33 (Assured Guaranty Muni. Corp. Insured) | | 2,430,000 | 1,703,081 |
0% 12/15/34 | | 4,100,000 | 2,759,373 |
0% 12/15/35 | | 795,000 | 498,278 |
0% 12/15/36 (AMBAC Insured) | | 2,075,000 | 1,223,760 |
| Series 2008 A: | | | |
0% 12/15/28 | | 2,110,000 | 1,772,682 |
0% 12/15/37 | | 9,835,000 | 5,416,274 |
0% 12/15/38 (Build America Mutual Assurance Insured) | | 6,000,000 | 3,267,768 |
| Series 2009 A, 0% 12/15/39 | | 2,850,000 | 1,395,098 |
| Series 2010 A, 0% 12/15/27 | | 2,150,000 | 1,869,857 |
| Series 2014 BB2: | | | |
5% 6/15/33 | | 3,085,000 | 3,459,494 |
5% 6/15/34 | | 320,000 | 357,149 |
| Series 2015 AA: | | | |
5% 6/15/45 | | 1,205,000 | 1,215,919 |
5.25% 6/15/41 | | 3,205,000 | 3,259,922 |
| Series 2016 A: | | | |
5% 6/15/27 | | 385,000 | 401,775 |
5% 6/15/29 | | 470,000 | 489,922 |
| Series 2018 A: | | | |
5% 6/15/29 | | 730,000 | 760,942 |
5% 6/15/31 | | 2,490,000 | 2,591,929 |
5% 12/15/32 | | 205,000 | 221,648 |
5% 12/15/34 | | 140,000 | 150,364 |
| Series 2019 BB: | | | |
4% 6/15/36 | | 1,870,000 | 1,891,248 |
4% 6/15/38 | | 205,000 | 205,873 |
4% 6/15/50 | | 1,645,000 | 1,525,544 |
5% 6/15/44 | | 2,170,000 | 2,249,736 |
| Series 2021 A: | | | |
4% 6/15/34 | | 1,155,000 | 1,192,968 |
4% 6/15/35 | | 365,000 | 375,172 |
4% 6/15/36 | | 1,530,000 | 1,564,985 |
4% 6/15/38 | | 1,795,000 | 1,820,191 |
5% 6/15/32 | | 200,000 | 224,419 |
5% 6/15/33 | | 345,000 | 386,880 |
| Series 2022 A: | | | |
4% 6/15/39 | | 995,000 | 1,002,825 |
4% 6/15/40 | | 1,600,000 | 1,601,747 |
4% 6/15/41 | | 3,250,000 | 3,216,580 |
4% 6/15/42 | | 675,000 | 659,610 |
| Series 2022 AA: | | | |
5% 6/15/29 | | 1,150,000 | 1,266,928 |
5% 6/15/30 | | 4,030,000 | 4,500,950 |
5% 6/15/31 | | 305,000 | 344,743 |
5% 6/15/32 | | 1,665,000 | 1,899,861 |
5% 6/15/33 | | 955,000 | 1,084,359 |
5% 6/15/35 | | 475,000 | 533,688 |
5% 6/15/36 | | 2,155,000 | 2,408,473 |
5% 6/15/37 | | 720,000 | 800,349 |
5% 6/15/38 | | 250,000 | 276,367 |
| Series 2022 BB: | | | |
4% 6/15/42 | | 955,000 | 933,226 |
4% 6/15/46 | | 5,470,000 | 5,136,471 |
4% 6/15/50 | | 4,255,000 | 4,009,111 |
| Series 2022 CC, 5.5% 6/15/50 | | 7,815,000 | 8,482,414 |
| Series 2023 A: | | | |
4.25% 6/15/40 | | 2,025,000 | 2,067,245 |
5% 6/15/37 | | 3,000,000 | 3,373,154 |
| Series 2023 AA: | | | |
4.25% 6/15/44 | | 495,000 | 487,516 |
5% 6/15/40 | | 3,480,000 | 3,830,356 |
| Series 2023 BB, 5.25% 6/15/50 | | 2,525,000 | 2,708,532 |
| Series A: | | | |
0% 12/15/31 | | 110,000 | 82,580 |
4% 12/15/39 | | 120,000 | 120,409 |
4.25% 12/15/38 | | 300,000 | 303,443 |
5% 12/15/24 | | 1,805,000 | 1,834,626 |
5% 12/15/25 | | 855,000 | 886,387 |
5% 12/15/26 | | 1,000,000 | 1,057,198 |
| Series AA: | | | |
4% 6/15/36 | | 670,000 | 684,427 |
4% 6/15/37 | | 1,120,000 | 1,138,759 |
4% 6/15/38 | | 855,000 | 865,157 |
4% 6/15/39 | | 65,000 | 65,433 |
4% 6/15/40 | | 250,000 | 250,231 |
4% 6/15/45 | | 10,690,000 | 10,126,732 |
4% 6/15/50 | | 5,275,000 | 4,891,942 |
5% 6/15/35 | | 225,000 | 248,460 |
5% 6/15/36 | | 75,000 | 82,448 |
5% 6/15/37 | | 170,000 | 186,026 |
5% 6/15/38 | | 1,075,000 | 1,170,826 |
5% 6/15/39 | | 725,000 | 785,640 |
5% 6/15/40 | | 225,000 | 242,459 |
5% 6/15/50 | | 665,000 | 691,084 |
| Series BB: | | | |
4% 6/15/44 | | 2,055,000 | 1,954,718 |
5% 6/15/33 | | 3,035,000 | 3,276,005 |
5% 6/15/50 | | 1,205,000 | 1,234,764 |
| Newark Gen. Oblig.: | | | |
| Series 2020 A, 5% 10/1/24 | | 160,000 | 162,136 |
| Series 2020 B, 5% 10/1/25 | | 105,000 | 107,868 |
| Newark Port Auth. Hsg. Auth. Rev. Series 2007, 5.25% 1/1/26 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | | 815,000 | 840,950 |
| Rutgers State Univ. Rev. Series 2016 M, 5% 5/1/33 | | 965,000 | 1,002,258 |
| South Jersey Port Corp. Rev.: | | | |
| (New Jersey Gen. Oblig. Proj.) Series 2017 B: | | | |
5% 1/1/42 (d) | | 1,880,000 | 1,912,100 |
5% 1/1/48 (d) | | 1,685,000 | 1,695,945 |
| Series 2017 A, 5% 1/1/49 | | 480,000 | 486,691 |
| South Jersey Trans. Auth. Trans. Sys. Rev.: | | | |
| Series 2019 A: | | | |
5% 11/1/31 (Assured Guaranty Muni. Corp. Insured) | | 275,000 | 297,438 |
5% 11/1/33 (Assured Guaranty Muni. Corp. Insured) | | 150,000 | 162,228 |
| Series 2020 A: | | | |
4% 11/1/50 | | 250,000 | 230,310 |
5% 11/1/45 | | 350,000 | 362,938 |
| Series 2022 A: | | | |
4.625% 11/1/47 | | 500,000 | 502,616 |
5% 11/1/37 | | 500,000 | 541,353 |
5% 11/1/41 | | 1,355,000 | 1,420,337 |
5.25% 11/1/52 | | 740,000 | 779,459 |
| The Poll. Cont. Fin. Auth. of Gloucester County Poll. Cont. Rev. (Logan Proj.) Series 2014 A, 5% 12/1/24 (Escrowed to Maturity) (d) | | 225,000 | 226,132 |
| Union County Impt. Auth. Solid Waste Disp. Rev. (Aries Linden, LLC Proj.) Series 2019, 6.75% 12/1/41 (d)(e) | | 460,000 | 293,444 |
TOTAL NEW JERSEY | | | 410,516,769 |
| New Mexico - 0.1% | | | |
| Albuquerque Wtr. Util. Auth. Series 2018, 5% 7/1/28 | | 65,000 | 68,488 |
| Farmington Poll. Cont. Rev. Bonds (Pub. Svc. Co. of New Mexico San Juan Proj.) Series 2010 C, 1.15%, tender 6/1/24 (b) | | 590,000 | 579,594 |
| Los Ranchos de Albuquerque Edl. Facilities Rev. (Albuquerque Academy Proj.) Series 2020, 4% 9/1/40 | | 110,000 | 104,122 |
| New Mexico Edl. Assistance Foundation Series 2021 1A: | | | |
| 5% 9/1/24 (d) | | 705,000 | 711,095 |
| 5% 9/1/26 (d) | | 2,280,000 | 2,359,597 |
| 5% 9/1/27 (d) | | 1,075,000 | 1,127,103 |
| 5% 9/1/29 (d) | | 425,000 | 453,267 |
| New Mexico Hosp. Equip. Ln. Council Rev.: | | | |
| Bonds Series 2019 B, 5%, tender 8/1/25 (b) | | 95,000 | 97,249 |
| Series 2015 A, 5% 8/1/24 (Escrowed to Maturity) | | 1,030,000 | 1,040,609 |
| Series 2017 A, 4% 8/1/37 | | 750,000 | 751,449 |
| Series 2019 A, 5% 8/1/44 | | 1,250,000 | 1,294,795 |
| New Mexico Mtg. Fin. Auth.: | | | |
| Series 2018 A1, 4% 1/1/49 | | 180,000 | 179,020 |
| Series 2018 C, 4% 1/1/49 | | 385,000 | 382,634 |
| Series 2019 C, 4% 1/1/50 | | 50,000 | 49,619 |
| Series 2019 D, 3.75% 1/1/50 | | 310,000 | 305,362 |
| New Mexico Muni. Energy Acquisition Auth. Gas Supply Rev.: | | | |
| Bonds Series 2019 A, 5%, tender 5/1/25 (b) | | 320,000 | 323,601 |
| Series 2019 A, 4% 5/1/24 | | 45,000 | 45,050 |
| Santa Fe Retirement Fac.: | | | |
| Series 2012, 5% 5/15/42 | | 30,000 | 25,260 |
| Series 2019 A: | | | |
5% 5/15/34 | | 120,000 | 111,574 |
5% 5/15/39 | | 90,000 | 78,148 |
5% 5/15/44 | | 95,000 | 78,814 |
5% 5/15/49 | | 215,000 | 170,857 |
TOTAL NEW MEXICO | | | 10,337,307 |
| New York - 7.0% | | | |
| Brooklyn Arena Local Dev. Corp. Series 2016 A, 5% 7/15/42 | | 1,415,000 | 1,393,030 |
| Broome County Local Dev. Corp. Rev. (United Health Svcs. Hospitals, Inc. Proj.) Series 2020: | | | |
| 3% 4/1/36 (Assured Guaranty Muni. Corp. Insured) | | 380,000 | 321,769 |
| 3% 4/1/37 (Assured Guaranty Muni. Corp. Insured) | | 320,000 | 263,639 |
| 4% 4/1/34 (Assured Guaranty Muni. Corp. Insured) | | 210,000 | 212,075 |
| 4% 4/1/38 (Assured Guaranty Muni. Corp. Insured) | | 265,000 | 261,365 |
| 4% 4/1/39 (Assured Guaranty Muni. Corp. Insured) | | 285,000 | 278,543 |
| Build NYC Resource Corp. Rev.: | | | |
| (Albert Einstein School of Medicine, Inc. Proj.) Series 2015, 5.5% 9/1/45 (e) | | 4,075,000 | 3,905,222 |
| (Classical Charter School Proj.) Series 2023 A, 4.75% 6/15/58 | | 725,000 | 678,597 |
| (East Harlem Scholars Academy Charter School Proj.) Series 2022, 5.75% 6/1/52 (e) | | 600,000 | 603,219 |
| (Friends of Hellenic Classical Charter Schools, Inc. Proj.): | | | |
Series 2021 A: | | | |
5% 12/1/51 (e) | | 130,000 | 106,854 |
5% 12/1/55 (e) | | 100,000 | 80,798 |
Series 2021 A1, 5% 12/1/41 (e) | | 115,000 | 101,296 |
| (Grand Concourse Academy Charter School Proj.): | | | |
Series 2022 A, 5% 7/1/52 | | 80,000 | 78,262 |
Series 2022 B, 5% 7/1/62 | | 595,000 | 568,753 |
| (KIPP NYC Pub. School Facilities - Canal West Proj.) Series 2022, 5.25% 7/1/57 | | 440,000 | 450,404 |
| (Richmond Preparatory Charter School Proj.) Series 2021 A, 5% 6/1/51 (e) | | 350,000 | 312,187 |
| (Shefa School Proj.) Series 2021 A, 5% 6/15/51 (e) | | 1,910,000 | 1,557,441 |
| Series 2022, 5.25% 7/1/62 | | 545,000 | 555,975 |
| Build NYC Resource Corp. Solid Waste Disp. Rev. (Pratt Paper NY, Inc. Proj.) Series 2014, 5% 1/1/35 (d)(e) | | 2,200,000 | 2,201,508 |
| City of Long Beach Series 2022 B, 4.625% 7/15/52 | | 2,230,000 | 2,203,601 |
| Dorm. Auth. New York Univ. Rev.: | | | |
| (Fordham Univ. Proj.) Series 2017: | | | |
4% 7/1/33 | | 150,000 | 152,853 |
4% 7/1/34 | | 150,000 | 152,762 |
| (Memorial Sloan-Kettring Cancer Ctr.) Series 2017 1, 5% 7/1/42 | | 85,000 | 88,284 |
| Series 2011 A, 5% 10/1/25 | | 15,000 | 15,021 |
| Series 2016 A: | | | |
5% 7/1/25 | | 5,000 | 5,113 |
5% 7/1/32 | | 140,000 | 144,921 |
5% 7/1/37 | | 765,000 | 784,033 |
| Series 2017: | | | |
5% 12/1/23 (e) | | 100,000 | 100,000 |
5% 12/1/24 (e) | | 100,000 | 100,131 |
5% 12/1/25 (e) | | 100,000 | 99,783 |
5% 12/1/27 (e) | | 2,200,000 | 2,191,789 |
5% 12/1/30 (e) | | 200,000 | 197,138 |
5% 12/1/31 (e) | | 200,000 | 196,236 |
5% 12/1/34 (e) | | 300,000 | 290,901 |
5% 12/1/36 (e) | | 200,000 | 187,487 |
5% 12/1/37 (e) | | 700,000 | 647,208 |
| Dutchess County Local Dev. Corp. Rev. Series 2020 A, 5% 7/1/45 | | 400,000 | 404,371 |
| Erie County Tobacco Asset Securitization Corp.: | | | |
| Series 2005 B, 0% 6/1/47 | | 2,500,000 | 479,447 |
| Series 2006 A, 0% 6/1/60 (e) | | 10,070,000 | 587,522 |
| Genesee County Fdg. Corp. (Rochester Reg'l. Health Proj.) Series 2022 A, 5.25% 12/1/52 | | 250,000 | 257,663 |
| Glen Cove Local Econ. Assistance Corp. Rev. (Garvies Point Pub. Impt. Proj.): | | | |
| Series 2016 A, 5% 1/1/56 | | 1,125,000 | 975,587 |
| Series 2016 B, 0% 1/1/45 | | 6,855,000 | 1,809,817 |
| Series 2016 C, 0% 1/1/55 (f) | | 1,645,000 | 1,467,625 |
| Hudson Yards Infrastructure Corp. New York Rev.: | | | |
| Series 2017 A: | | | |
5% 2/15/33 | | 200,000 | 210,542 |
5% 2/15/35 | | 1,445,000 | 1,514,100 |
5% 2/15/39 | | 950,000 | 984,944 |
| Series 2022 A, 4% 2/15/37 | | 300,000 | 306,117 |
| Huntington Local Dev. Corp. Rev. (Gurwin Independent Hsg., Inc. / Fountaingate Gardens Proj.) Series 2021 B, 4% 7/1/27 | | 305,000 | 290,133 |
| Jefferson County Civic Facility Dev. Corp. Rev. (Samaritan Med. Ctr. Proj.) Series 2017 A, 4% 11/1/32 | | 100,000 | 93,121 |
| Liberty Dev. Corp. Rev. Series 2005, 5.25% 10/1/35 | | 6,045,000 | 6,836,032 |
| Long Island Pwr. Auth. Elec. Sys. Rev.: | | | |
| Bonds: | | | |
Series 2019 B, 1.65%, tender 9/1/24 (b) | | 165,000 | 162,381 |
Series 2021 B, 1.5%, tender 9/1/26 (b) | | 1,510,000 | 1,412,186 |
| Series 2014 A: | | | |
5% 9/1/34 | | 390,000 | 393,615 |
5% 9/1/39 | | 1,250,000 | 1,259,302 |
| Series 2016 B, 5% 9/1/35 | | 2,905,000 | 3,007,366 |
| Series 2017: | | | |
5% 9/1/33 | | 30,000 | 32,451 |
5% 9/1/35 | | 110,000 | 117,753 |
5% 9/1/36 | | 65,000 | 69,211 |
5% 9/1/42 | | 195,000 | 201,690 |
| Series 2018, 5% 9/1/36 | | 15,000 | 16,097 |
| Series 2019 A, 4% 9/1/38 | | 1,000,000 | 1,006,652 |
| MTA Hudson Rail Yards Trust Oblig. Series 2016 A, 5% 11/15/56 | | 4,090,000 | 4,038,924 |
| Nassau County Indl. Dev. Agcy.: | | | |
| Series 2021 A, 9% 1/1/41 (e)(h) | | 1,580,000 | 1,501,000 |
| Series 2021 B, 5% 1/1/58 (g)(h) | | 3,260,000 | 780,933 |
| Nassau County Tobacco Settlement Corp. Series 2006 A3, 5.125% 6/1/46 | | 250,000 | 226,616 |
| New York City Edl. Construction Fund Series 2021 B, 5% 4/1/46 | | 2,235,000 | 2,350,283 |
| New York City Gen. Oblig.: | | | |
| Series 2014 J, 5% 8/1/30 | | 1,275,000 | 1,282,247 |
| Series 2017 A, 4% 8/1/32 | | 1,000,000 | 1,020,686 |
| Series 2017 B: | | | |
5% 12/1/33 | | 515,000 | 541,756 |
5% 12/1/37 | | 545,000 | 567,460 |
5% 12/1/41 | | 745,000 | 770,991 |
| Series 2018 B1: | | | |
5% 10/1/38 | | 750,000 | 781,886 |
5.25% 10/1/33 | | 1,300,000 | 1,404,393 |
| Series 2018 E1, 5% 3/1/44 | | 605,000 | 630,370 |
| Series 2018 F, 5% 4/1/45 | | 345,000 | 359,344 |
| Series 2019 A1: | | | |
3% 8/1/36 | | 1,950,000 | 1,727,299 |
4% 8/1/40 | | 1,445,000 | 1,448,948 |
| Series 2019 D1, 5% 12/1/42 | | 1,475,000 | 1,551,922 |
| Series 2020 A1, 5% 8/1/27 | | 1,575,000 | 1,698,722 |
| Series 2020 C, 5% 8/1/42 | | 750,000 | 805,582 |
| Series 2020 D1, 5% 3/1/43 | | 2,000,000 | 2,136,137 |
| Series 2021 F1, 5% 3/1/43 | | 1,000,000 | 1,077,584 |
| Series 2022 A1, 5% 8/1/47 | | 3,535,000 | 3,775,075 |
| Series 2022 D, 4.5% 5/1/49 | | 500,000 | 506,851 |
| Series 2022 D1: | | | |
4.25% 5/1/40 | | 750,000 | 766,222 |
5.5% 5/1/44 | | 925,000 | 1,041,081 |
5.5% 5/1/46 | | 625,000 | 698,716 |
| Series 2023 A, 5% 9/1/37 | | 750,000 | 847,464 |
| Series 2023 E1, 4% 4/1/42 | | 3,000,000 | 3,004,081 |
| Series A: | | | |
5% 8/1/26 | | 705,000 | 744,956 |
5% 8/1/39 | | 1,130,000 | 1,206,333 |
| Series B, 5% 10/1/42 | | 2,755,000 | 2,918,501 |
| New York City Hsg. Dev. Corp.: | | | |
| Series 2019 A1, 4.15% 11/1/38 | | 2,565,000 | 2,568,933 |
| Series 2023 A, 4.8% 2/1/53 | | 4,345,000 | 4,437,483 |
| New York City Hsg. Dev. Corp. Multi-family Mtg. Rev.: | | | |
| Series 2014 E, 3.5% 2/15/48 | | 1,247,985 | 1,233,077 |
| Series 2014 F, 4.5% 2/15/48 | | 6,161,389 | 6,080,997 |
| New York City Hsg. Dev. Corp. Multifamily Hsg.: | | | |
| Bonds: | | | |
Series 2021 C2, 0.7%, tender 7/1/25 (b) | | 935,000 | 880,375 |
Series 2021 K2, 0.9%, tender 1/1/26 (b) | | 6,315,000 | 5,863,280 |
Series 2021, 0.6%, tender 7/1/25 (b) | | 1,290,000 | 1,212,697 |
| Series 2019 J, 3.05% 11/1/49 | | 880,000 | 636,166 |
| Series 2021 F1, 2.4% 11/1/46 | | 1,200,000 | 805,667 |
| Series 2022 G, 4.85% 11/1/53 | | 1,940,000 | 1,986,829 |
| New York City Indl. Dev. Agcy. Series 2012 A, 5% 7/1/28 (d) | | 460,000 | 460,059 |
| New York City Indl. Dev. Agcy. Rev.: | | | |
| (Queens Baseball Stadium Proj.) Series 2021 A, 3% 1/1/46 (Assured Guaranty Corp. Insured) (Assured Guaranty Muni. Corp. Insured) | | 250,000 | 186,711 |
| (Yankee Stadium Proj.) Series 2020 A: | | | |
3% 3/1/40 (Assured Guaranty Muni. Corp. Insured) | | 845,000 | 687,403 |
3% 3/1/49 (Assured Guaranty Muni. Corp. Insured) | | 500,000 | 356,601 |
4% 3/1/45 | | 615,000 | 566,240 |
4% 3/1/45 (Assured Guaranty Muni. Corp. Insured) | | 1,265,000 | 1,211,517 |
| Series 2020 A, 3% 3/1/49 | | 450,000 | 320,941 |
| New York City Muni. Wtr. Fin. Auth. Wtr. & Swr. Sys. Rev.: | | | |
| Series 2015 HH, 5% 6/15/39 | | 4,000,000 | 4,057,656 |
| Series 2017 AA, 5% 6/15/38 | | 250,000 | 263,166 |
| Series 2017 CC1, 5% 6/15/46 | | 1,495,000 | 1,525,933 |
| Series 2018 AA, 5% 6/15/37 | | 1,250,000 | 1,319,105 |
| Series 2018 CC, 5% 6/15/48 | | 3,095,000 | 3,210,455 |
| Series 2018 EE, 5% 6/15/40 | | 1,400,000 | 1,479,108 |
| Series 2018 FF, 5% 6/15/38 | | 1,250,000 | 1,327,701 |
| Series 2020 DD 1, 3% 6/15/50 | | 250,000 | 184,946 |
| Series 2020, 4% 6/15/43 | | 900,000 | 901,339 |
| Series 2021 AA 1, 4% 6/15/51 | | 5,540,000 | 5,390,785 |
| Series 2021 AA1, 3% 6/15/50 | | 4,325,000 | 3,199,564 |
| Series 2021 BB1: | | | |
3% 6/15/44 | | 2,415,000 | 1,906,879 |
4% 6/15/45 | | 1,750,000 | 1,730,952 |
5% 6/15/44 | | 750,000 | 812,544 |
| Series 2021 CC1, 5% 6/15/51 | | 2,000,000 | 2,127,393 |
| Series 2021 DD, 4% 6/15/36 | | 1,285,000 | 1,327,782 |
| Series 2022 AA1, 5.25% 6/15/52 | | 12,150,000 | 13,324,564 |
| Series 2022 CC1, 5% 6/15/52 | | 1,060,000 | 1,130,250 |
| Series 2022 CC2, 5% 6/15/26 | | 395,000 | 401,755 |
| Series 2022 EE: | | | |
4% 6/15/39 | | 2,185,000 | 2,211,993 |
5% 6/15/45 | | 9,100,000 | 9,859,154 |
| Series 2023 DD: | | | |
4.125% 6/15/46 | | 2,000,000 | 2,000,698 |
5.25% 6/15/47 | | 300,000 | 332,169 |
| Series FF2, 4% 6/15/41 | | 1,025,000 | 1,028,481 |
| Series GG 1, 5% 6/15/48 | | 12,665,000 | 13,416,858 |
| New York City Transitional Fin. Auth. Bldg. Aid Rev.: | | | |
| (New York State Gen. Oblig. Proj.) Series 2015 S-1, 5% 7/15/35 | | 450,000 | 456,771 |
| Series 2015 S1, 5% 7/15/36 | | 1,550,000 | 1,571,288 |
| Series 2015 S2, 5% 7/15/35 | | 215,000 | 219,883 |
| Series 2018 S3, 5% 7/15/43 | | 1,475,000 | 1,541,259 |
| Series 2019 S1, 5% 7/15/45 | | 1,000,000 | 1,041,558 |
| Series 2019 S3, 5% 7/15/37 | | 305,000 | 324,338 |
| Series 2020 S1, 3% 7/15/49 | | 3,000,000 | 2,228,583 |
| Series 2022 S1A, 4% 7/15/36 | | 1,000,000 | 1,029,995 |
| New York City Transitional Fin. Auth. Rev.: | | | |
| Series 2017 A1, 5% 5/1/33 | | 1,525,000 | 1,587,774 |
| Series 2017 F1, 5% 5/1/42 | | 5,120,000 | 5,311,839 |
| Series 2018 A2, 5% 8/1/39 | | 1,530,000 | 1,605,079 |
| Series 2018 B, 5% 8/1/45 | | 4,935,000 | 5,120,180 |
| Series 2018 C3, 5% 5/1/41 | | 1,700,000 | 1,789,008 |
| Series 2019 B1: | | | |
5% 8/1/34 | | 110,000 | 119,625 |
5% 8/1/36 | | 2,050,000 | 2,208,724 |
5% 8/1/38 | | 1,475,000 | 1,568,367 |
| Series 2019 C, 4% 11/1/42 | | 1,500,000 | 1,483,056 |
| Series 2020 B 1, 3% 11/1/47 | | 1,000,000 | 765,304 |
| Series 2020 B1: | | | |
4% 11/1/41 | | 2,200,000 | 2,195,338 |
5% 11/1/36 | | 3,000,000 | 3,277,547 |
| Series 2020 C1: | | | |
4% 5/1/36 | | 425,000 | 437,853 |
4% 5/1/39 | | 745,000 | 743,767 |
4% 5/1/45 | | 845,000 | 829,955 |
| Series 2021 A, 4% 11/1/34 | | 210,000 | 218,692 |
| Series 2021 B1, 4% 8/1/45 | | 1,885,000 | 1,850,657 |
| Series 2021 C, 4% 5/1/45 | | 2,135,000 | 2,096,986 |
| Series 2021 C1, 4% 5/1/39 | | 1,475,000 | 1,472,559 |
| Series 2021 E1, 4% 2/1/46 | | 3,150,000 | 3,081,619 |
| Series 2021 F1: | | | |
4% 11/1/36 | | 145,000 | 148,984 |
4% 11/1/37 | | 440,000 | 446,136 |
| Series 2021, 4% 11/1/38 | | 790,000 | 792,773 |
| Series 2022 C1: | | | |
4% 2/1/41 | | 1,635,000 | 1,629,693 |
5% 2/1/47 | | 2,485,000 | 2,670,299 |
| Series 2022 F1: | | | |
5% 2/1/42 | | 1,000,000 | 1,092,119 |
5% 2/1/47 | | 6,000,000 | 6,447,401 |
| Series 2023 A1, 5.25% 8/1/42 | | 1,000,000 | 1,113,745 |
| Series 2023 D1, 5.5% 11/1/45 | | 2,000,000 | 2,252,661 |
| Series 2023 F1, 5.25% 2/1/40 | | 2,000,000 | 2,263,012 |
| Series 2024 A1, 5% 5/1/39 | | 2,000,000 | 2,246,128 |
| Series A, 4% 11/1/35 | | 210,000 | 217,997 |
| Series C1, 4% 5/1/44 | | 1,100,000 | 1,085,405 |
| Series E1, 4% 2/1/49 | | 575,000 | 556,925 |
| New York City Trust Cultural Resources Rev. Series 2021, 5% 7/1/31 | | 2,630,000 | 3,009,736 |
| New York Convention Ctr. Dev. Corp. Rev. Series 2015: | | | |
| 5% 11/15/28 | | 400,000 | 407,626 |
| 5% 11/15/29 | | 280,000 | 285,131 |
| New York Dorm. Auth. Personal Income Tax Rev. Series 2015 E, 5% 3/15/34 | | 6,025,000 | 6,181,032 |
| New York Dorm. Auth. Rev.: | | | |
| Bonds: | | | |
Series 2019 B2, 5%, tender 5/1/24 (b) | | 55,000 | 55,057 |
Series 2019 B3, 5%, tender 5/1/26 (b) | | 40,000 | 41,054 |
| Series 2020 A: | | | |
3% 7/1/48 | | 2,500,000 | 1,884,977 |
4% 7/1/50 | | 5,750,000 | 5,271,691 |
4% 9/1/50 | | 250,000 | 210,153 |
4% 7/1/53 | | 250,000 | 225,764 |
5% 10/1/30 (Pre-Refunded to 10/1/28 @ 100) | | 5,000 | 5,504 |
5% 7/1/36 | | 235,000 | 254,046 |
5% 7/1/40 | | 270,000 | 286,019 |
| Series 2022 1B, 4% 7/1/51 | | 3,000,000 | 2,829,540 |
| Series 2022 A: | | | |
4% 5/1/45 | | 1,185,000 | 1,099,207 |
5% 7/1/33 | | 40,000 | 44,575 |
5% 7/1/34 | | 80,000 | 88,375 |
5% 7/1/36 | | 50,000 | 54,294 |
5% 10/1/36 | | 3,080,000 | 3,442,929 |
5% 7/15/37 | | 340,000 | 351,790 |
5% 7/1/38 | | 105,000 | 111,582 |
5% 7/1/40 | | 65,000 | 68,269 |
5% 7/1/41 | | 65,000 | 67,903 |
5% 7/1/42 | | 70,000 | 72,645 |
5% 7/15/42 | | 960,000 | 966,507 |
5% 7/15/50 | | 2,485,000 | 2,431,903 |
5% 5/1/52 | | 2,000,000 | 2,072,487 |
| Series 2022: | | | |
4% 7/1/36 | | 1,065,000 | 1,084,091 |
4% 7/1/38 | | 345,000 | 346,505 |
4% 7/1/40 | | 565,000 | 560,214 |
5% 7/1/30 | | 105,000 | 111,133 |
5% 7/1/31 | | 110,000 | 116,935 |
5% 7/1/34 | | 705,000 | 792,190 |
5% 7/1/35 | | 705,000 | 787,906 |
5% 7/1/37 | | 1,165,000 | 1,278,346 |
5% 7/1/38 | | 55,000 | 56,292 |
5% 7/1/39 | | 85,000 | 86,562 |
5% 7/1/39 | | 355,000 | 384,065 |
5% 7/1/40 | | 190,000 | 192,708 |
5% 7/1/41 | | 200,000 | 202,063 |
5% 7/1/41 | | 630,000 | 675,505 |
5% 7/1/42 | | 105,000 | 105,565 |
5% 7/1/57 | | 5,705,000 | 5,482,290 |
| New York Dorm. Auth. Sales Tax Rev.: | | | |
| Series 2016 A, 5% 3/15/35 | | 1,785,000 | 1,865,148 |
| Series 2017 A: | | | |
5% 3/15/38 | | 1,035,000 | 1,072,460 |
5% 3/15/39 | | 460,000 | 475,754 |
| Series 2018 A: | | | |
5% 3/15/42 | | 645,000 | 676,008 |
5% 3/15/43 | | 2,410,000 | 2,523,603 |
| Series 2018 C, 5% 3/15/38 | | 465,000 | 491,459 |
| Series 2018 E, 5% 3/15/44 | | 495,000 | 519,925 |
| Series 2023 A1, 5% 3/15/41 | | 11,945,000 | 13,262,749 |
| New York Envir. Facilities Corp. Clean Wtr. & Drinking Wtr. Series 2019 B, 3% 6/15/38 | | 915,000 | 795,281 |
| New York Liberty Dev. Corp.: | | | |
| (3 World Trade Ctr. Proj.) Series 2014: | | | |
5% 11/15/44 (e) | | 12,230,000 | 11,874,171 |
5.15% 11/15/34 (e) | | 1,840,000 | 1,838,419 |
5.375% 11/15/40 (e) | | 6,065,000 | 6,061,452 |
| (7 World Trade Ctr. Proj.) Series 2022 A, 3.125% 9/15/50 | | 650,000 | 487,668 |
| (Bank of America Tower at One Bryant Park Proj.) Series 2019 1, 2.45% 9/15/69 | | 1,800,000 | 1,612,392 |
| (Bank of America Tower At One Bryant Park Proj.) Series 2019 3, 2.8% 9/15/69 | | 840,000 | 743,964 |
| (World Trade Ctr. Proj.) Series 2014, 7.25% 11/15/44 (e) | | 2,000,000 | 2,012,003 |
| Series 2021 1WTC, 3% 2/15/42 | | 2,000,000 | 1,619,291 |
| Series 2021 A: | | | |
2.875% 11/15/46 | | 1,500,000 | 1,126,317 |
3% 11/15/51 (Build America Mutual Assurance Insured) | | 250,000 | 182,318 |
| Series 2021: | | | |
2.75% 2/15/44 | | 2,400,000 | 1,840,891 |
3% 2/15/42 | | 4,000,000 | 3,290,476 |
4% 2/15/43 | | 750,000 | 742,911 |
4% 2/15/43 | | 1,325,000 | 1,300,348 |
4% 2/15/43 | | 1,500,000 | 1,483,850 |
| New York Metropolitan Trans. Auth. Dedicated Tax Fund Rev.: | | | |
| Series 2012 A, 0% 11/15/32 | | 355,000 | 250,062 |
| Series 2016 A, 5.25% 11/15/31 | | 1,475,000 | 1,551,024 |
| Series 2017 A, 5% 11/15/47 | | 1,805,000 | 1,852,070 |
| Series 2022 A: | | | |
5% 11/15/44 | | 750,000 | 808,291 |
5% 11/15/45 | | 250,000 | 268,803 |
| New York Metropolitan Trans. Auth. Rev.: | | | |
| Bonds: | | | |
Series 2002 D2: | | | |
0.550% x U.S. Secured Overnight Fin. Rate (SOFR) Index 4.114%, tender 12/1/23 (Assured Guaranty Muni. Corp. Insured) (b)(c) | | 5,470,000 | 5,469,751 |
0.550% x U.S. Secured Overnight Fin. Rate (SOFR) Index 4.114%, tender 12/1/23 (Assured Guaranty Muni. Corp. Insured) (b)(c) | | 495,000 | 494,977 |
Series 2015 A2, 5%, tender 5/15/30 (b) | | 2,195,000 | 2,329,686 |
| Series 2006 B, 5.25% 11/15/26 (Assured Guaranty Muni. Corp. Insured) | | 1,180,000 | 1,251,701 |
| Series 2013 C: | | | |
5% 11/15/38 | | 1,200,000 | 1,201,677 |
5% 11/15/42 | | 1,475,000 | 1,477,062 |
| Series 2013 E: | | | |
5% 11/15/43 | | 175,000 | 175,278 |
5% 11/15/43 | | 75,000 | 75,001 |
| Series 2014 B: | | | |
5% 11/15/44 | | 1,215,000 | 1,215,730 |
5.25% 11/15/35 | | 500,000 | 501,705 |
| Series 2015 A1: | | | |
5% 11/15/29 | | 375,000 | 381,378 |
5% 11/15/40 | | 700,000 | 704,584 |
5% 11/15/45 | | 905,000 | 909,242 |
| Series 2015 C, 5% 11/15/35 | | 1,500,000 | 1,527,563 |
| Series 2015 D1, 5% 11/15/26 | | 500,000 | 511,526 |
| Series 2015 F, 5% 11/15/24 | | 330,000 | 335,010 |
| Series 2016 A1: | | | |
5% 11/15/24 | | 350,000 | 355,314 |
5% 11/15/41 | | 900,000 | 909,238 |
| Series 2016 A2, 5% 11/15/27 | | 250,000 | 259,481 |
| Series 2016 C 2A, 4% 11/15/38 | | 360,000 | 352,448 |
| Series 2016 C1, 5% 11/15/56 | | 110,000 | 110,325 |
| Series 2016 D, 5% 11/15/27 | | 250,000 | 259,481 |
| Series 2017 A, 4% 11/15/37 | | 785,000 | 775,265 |
| Series 2017 A1, 5% 11/15/51 | | 480,000 | 485,433 |
| Series 2017 C-2: | | | |
0% 11/15/29 | | 125,000 | 98,245 |
0% 11/15/33 | | 315,000 | 206,255 |
| Series 2017 C1: | | | |
5% 11/15/27 | | 1,035,000 | 1,107,651 |
5% 11/15/30 | | 2,380,000 | 2,551,129 |
5% 11/15/34 | | 95,000 | 101,199 |
| Series 2017 D: | | | |
5% 11/15/30 | | 5,980,000 | 6,410,412 |
5% 11/15/33 | | 1,320,000 | 1,408,872 |
5% 11/15/35 | | 130,000 | 137,935 |
| Series 2019 C, 5% 11/15/42 | | 2,300,000 | 2,390,294 |
| Series 2020 A1: | | | |
4% 11/15/46 | | 750,000 | 686,481 |
4% 11/15/50 (Assured Guaranty Muni. Corp. Insured) | | 450,000 | 414,874 |
4% 11/15/51 | | 250,000 | 224,388 |
5% 11/15/49 | | 2,750,000 | 2,825,613 |
| Series 2020 C1: | | | |
5% 11/15/50 | | 1,500,000 | 1,540,027 |
5.25% 11/15/55 | | 1,280,000 | 1,322,210 |
| Series 2020 D: | | | |
4% 11/15/46 | | 11,005,000 | 10,186,209 |
4% 11/15/47 | | 130,000 | 119,771 |
4% 11/15/50 | | 2,600,000 | 2,368,566 |
5% 11/15/44 | | 2,650,000 | 2,754,564 |
| Series 2020 E: | | | |
4% 11/15/45 | | 2,550,000 | 2,351,157 |
5% 11/15/29 | | 725,000 | 790,675 |
5% 11/15/33 | | 540,000 | 588,865 |
| Series 2021 A1: | | | |
4% 11/15/45 | | 900,000 | 829,423 |
4% 11/15/46 | | 250,000 | 228,827 |
4% 11/15/49 | | 650,000 | 587,052 |
| New York N Y City Transitional: | | | |
| Series 2023 B, 5% 5/1/42 | | 5,000,000 | 5,542,887 |
| Series 2024 B: | | | |
5% 5/1/40 | | 3,835,000 | 4,307,969 |
5% 5/1/41 | | 5,570,000 | 6,214,376 |
| New York Pwr. Auth.: | | | |
| Series 2020 A, 4% 11/15/50 | | 2,500,000 | 2,436,532 |
| Series 2022 A, 4% 11/15/47 (Assured Guaranty Muni. Corp. Insured) | | 420,000 | 411,058 |
| Series 2023 A, 5.25% 11/15/43 (Assured Guaranty Muni. Corp. Insured) | | 1,395,000 | 1,555,913 |
| New York State Dorm. Auth.: | | | |
| Series 2012 A, 4% 3/15/37 | | 1,250,000 | 1,276,875 |
| Series 2017 A, 5% 2/15/31 | | 65,000 | 68,708 |
| Series 2017, 5% 2/15/41 | | 2,265,000 | 2,364,082 |
| Series 2019 A: | | | |
5% 3/15/39 | | 1,000,000 | 1,063,945 |
5% 3/15/45 | | 2,450,000 | 2,563,834 |
| Series 2019 D: | | | |
3% 2/15/49 | | 3,295,000 | 2,453,170 |
4% 2/15/39 | | 1,000,000 | 1,004,781 |
4% 2/15/40 | | 4,085,000 | 4,092,252 |
4% 2/15/47 | | 7,485,000 | 7,261,300 |
| Series 2019 E, 5% 2/15/35 | | 655,000 | 732,994 |
| Series 2020 A: | | | |
3% 3/15/39 | | 2,000,000 | 1,699,580 |
3% 3/15/42 | | 1,000,000 | 806,993 |
4% 3/15/36 | | 1,185,000 | 1,217,596 |
4% 3/15/37 | | 250,000 | 255,049 |
| Series 2021 A, 4% 3/15/41 | | 510,000 | 509,078 |
| Series 2021 E: | | | |
3% 3/15/50 | | 3,275,000 | 2,418,476 |
4% 3/15/38 | | 3,815,000 | 3,861,212 |
4% 3/15/39 | | 2,500,000 | 2,514,252 |
4% 3/15/42 | | 3,925,000 | 3,890,206 |
4% 3/15/45 | | 5,890,000 | 5,760,041 |
4% 3/15/47 | | 260,000 | 252,476 |
4% 3/15/49 | | 2,000,000 | 1,929,992 |
| Series 2022 A: | | | |
4% 3/15/34 | | 795,000 | 827,420 |
4% 3/15/35 | | 2,150,000 | 2,229,794 |
4% 3/15/39 | | 2,745,000 | 2,760,648 |
4% 3/15/40 | | 2,900,000 | 2,907,888 |
4% 3/15/49 | | 550,000 | 530,748 |
5% 3/15/46 | | 3,430,000 | 3,675,927 |
| New York State Envir. Facilities Corp. Solid Waste Disp. Rev. Bonds (Casella Waste Systems, INC. Proj.) Series 2020 R2, 5.125%, tender 9/3/30 (b)(d)(e) | | 1,150,000 | 1,148,285 |
| New York State Hsg. Fin. Agcy. Rev.: | | | |
| Bonds Series 2021 J2: | | | |
1%, tender 11/1/26 (b) | | 915,000 | 841,043 |
1.1%, tender 5/1/27 (b) | | 3,395,000 | 3,044,166 |
| Series 2020 L2, 0.75% 11/1/25 | | 1,520,000 | 1,404,990 |
| Series 2020 M2, 0.75% 11/1/25 | | 740,000 | 684,008 |
| Series J, 0.75% 5/1/25 | | 995,000 | 937,052 |
| New York State Mtg. Agcy. Homeowner Mtg.: | | | |
| Series 2020 227, 2.3% 10/1/40 | | 750,000 | 539,802 |
| Series 221, 3.5% 10/1/32 (d) | | 105,000 | 102,551 |
| New York State Urban Dev. Corp.: | | | |
| Series 2020 A: | | | |
4% 3/15/39 | | 1,280,000 | 1,283,861 |
4% 3/15/45 | | 80,000 | 78,346 |
4% 3/15/49 | | 505,000 | 491,150 |
| Series 2020 C: | | | |
3% 3/15/48 | | 1,750,000 | 1,319,886 |
4% 3/15/42 | | 2,135,000 | 2,113,357 |
4% 3/15/49 | | 2,175,000 | 2,112,039 |
5% 3/15/47 | | 1,475,000 | 1,558,850 |
| Series 2020 E: | | | |
4% 3/15/37 | | 2,255,000 | 2,293,741 |
4% 3/15/39 | | 1,215,000 | 1,218,423 |
4% 3/15/43 | | 350,000 | 345,603 |
4% 3/15/44 | | 8,095,000 | 7,965,215 |
4% 3/15/45 | | 6,525,000 | 6,390,064 |
| Series 2022 A: | | | |
5% 3/15/42 | | 750,000 | 820,614 |
5% 3/15/43 | | 10,000,000 | 10,899,892 |
| New York State Urban Eev Corp.: | | | |
| Series 2019 A, 5% 3/15/37 | | 3,405,000 | 3,690,374 |
| Series 2021 A: | | | |
3% 3/15/40 | | 1,250,000 | 1,047,664 |
3% 3/15/50 | | 300,000 | 221,540 |
4% 3/15/37 | | 1,250,000 | 1,278,476 |
4% 3/15/38 | | 1,000,000 | 1,006,791 |
| Series 2023 A, 5% 3/15/49 | | 15,000,000 | 16,211,550 |
| New York Thruway Auth. Gen. Rev.: | | | |
| Series 2016 A, 5% 1/1/46 | | 2,760,000 | 2,793,733 |
| Series 2019 B: | | | |
4% 1/1/38 | | 4,150,000 | 4,154,185 |
4% 1/1/45 | | 4,085,000 | 3,900,295 |
4% 1/1/45 | | 1,300,000 | 1,274,710 |
4% 1/1/50 | | 250,000 | 230,025 |
| Series 2020 N, 5% 1/1/35 | | 750,000 | 831,579 |
| New York Thruway Auth. Personal Income Tax Rev.: | | | |
| Series 2021 A1: | | | |
3% 3/15/48 | | 500,000 | 375,570 |
3% 3/15/51 | | 1,950,000 | 1,429,030 |
4% 3/15/43 | | 750,000 | 750,223 |
4% 3/15/53 | | 2,200,000 | 2,129,965 |
| Series 2022 C: | | | |
4.125% 3/15/57 | | 1,610,000 | 1,569,126 |
5% 3/15/53 | | 2,210,000 | 2,360,627 |
| New York Trans. Dev. Corp.: | | | |
| (American Airlines, Inc. John F. Kennedy Int'l. Arpt. Proj.): | | | |
Series 2016: | | | |
5% 8/1/26 (d) | | 1,310,000 | 1,310,031 |
5% 8/1/31 (d) | | 2,635,000 | 2,629,850 |
Series 2020: | | | |
5.25% 8/1/31 (d) | | 805,000 | 826,129 |
5.375% 8/1/36 (d) | | 1,405,000 | 1,409,178 |
| (Delta Air Lines, Inc. - Laguardia Arpt. Terminals C&D Redev. Proj.): | | | |
Series 2020: | | | |
4.375% 10/1/45 (d) | | 4,735,000 | 4,257,035 |
5% 10/1/40 (d) | | 4,190,000 | 4,158,879 |
Series 2023: | | | |
5.625% 4/1/40 (d) | | 4,535,000 | 4,701,000 |
6% 4/1/35 (d) | | 3,800,000 | 4,105,915 |
| (Delta Air Lines, Inc. Laguardia Arpt. Terminals C&D Redev. Proj.) Series 2018: | | | |
4% 1/1/36 (d) | | 280,000 | 260,374 |
5% 1/1/27 (d) | | 4,000,000 | 4,030,271 |
| (Delta Air Lines, Inc. LaGuardia Arpt. Terminals C&D Redev. Proj.) Series 2018, 5% 1/1/30 (d) | | 435,000 | 440,837 |
| (Delta Air Lines, Inc. Laguardia Arpt. Terminals C&D Redev. Proj.) Series 2018: | | | |
5% 1/1/31 (d) | | 1,735,000 | 1,757,354 |
5% 1/1/32 (d) | | 3,510,000 | 3,553,321 |
5% 1/1/33 (d) | | 260,000 | 263,073 |
| (Delta Air Lines, Inc. LaGuardia Arpt. Terminals C&D Redev. Proj.) Series 2018, 5% 1/1/34 (d) | | 885,000 | 894,801 |
| (Delta Air Lines, Inc. Laguardia Arpt. Terminals C&D Redev. Proj.) Series 2018, 5% 1/1/36 (d) | | 710,000 | 714,186 |
| (Delta Air Lines, Inc. LaGuardia Arpt. Terminals C&D Redev. Proj.) Series 2020, 5% 10/1/35 (d) | | 2,610,000 | 2,658,059 |
| (John F. Kennedy Int'l. Arpt. New Term. One Proj.) Series 2023: | | | |
5.125% 6/30/60 (Assured Guaranty Muni. Corp. Insured) (d) | | 15,815,000 | 15,917,956 |
5.375% 6/30/60 (d) | | 7,500,000 | 7,502,025 |
5.5% 6/30/42 (Assured Guaranty Muni. Corp. Insured) (d) | | 2,000,000 | 2,137,340 |
6% 6/30/54 (d) | | 11,655,000 | 12,381,340 |
| (Laguardia Arpt. Term. B Redev. Proj.) Series 2016 A: | | | |
5% 7/1/34 (d) | | 520,000 | 520,798 |
5% 7/1/46 (d) | | 12,475,000 | 12,350,467 |
| (Laguardia Arpt. Term. Redev. Proj.) Series 2016 A, 5% 7/1/41 (d) | | 1,500,000 | 1,501,027 |
| (New York State Thruway Svc. Areas Proj.) Series 2021: | | | |
4% 10/31/46 (d) | | 3,885,000 | 3,361,153 |
4% 4/30/53 (d) | | 825,000 | 682,236 |
| (Term. 4 JFK Int'l. Arpt. Proj.): | | | |
Series 2020 A, 4% 12/1/38 (d) | | 40,000 | 37,487 |
Series 2020 C: | | | |
4% 12/1/40 | | 480,000 | 461,933 |
5% 12/1/32 | | 375,000 | 404,656 |
5% 12/1/35 | | 480,000 | 511,884 |
5% 12/1/37 | | 290,000 | 303,858 |
| (Term. 4 John F. Kennedy Int'l. Arpt. Proj.): | | | |
Series 2020 A: | | | |
4% 12/1/39 (d) | | 105,000 | 97,290 |
5% 12/1/36 (d) | | 5,000 | 5,210 |
Series 2022: | | | |
5% 12/1/32 (d) | | 995,000 | 1,071,425 |
5% 12/1/33 (d) | | 1,545,000 | 1,661,509 |
5% 12/1/34 (d) | | 1,935,000 | 2,071,051 |
5% 12/1/35 (d) | | 845,000 | 898,762 |
5% 12/1/36 (d) | | 575,000 | 604,853 |
5% 12/1/37 (d) | | 1,535,000 | 1,606,962 |
5% 12/1/38 (d) | | 3,720,000 | 3,877,552 |
5% 12/1/39 (d) | | 5,550,000 | 5,750,752 |
5% 12/1/40 (d) | | 2,885,000 | 2,981,036 |
5% 12/1/41 (d) | | 2,665,000 | 2,746,531 |
5% 12/1/42 (d) | | 1,820,000 | 1,866,126 |
| Laguardia Arpt. Term. B Redev. Proj. Series 2016 A, 4% 7/1/37 (Assured Guaranty Muni. Corp. Insured) (d) | | 750,000 | 736,625 |
| Series 2016 A, 4% 7/1/35 (Assured Guaranty Muni. Corp. Insured) (d) | | 2,950,000 | 2,951,272 |
| Series 2021: | | | |
2.25% 8/1/26 (d) | | 115,000 | 108,879 |
3% 8/1/31 (d) | | 565,000 | 494,569 |
| Series 2022: | | | |
5% 12/1/27 (d) | | 750,000 | 795,749 |
5% 12/1/28 (d) | | 750,000 | 800,363 |
5% 12/1/29 (d) | | 400,000 | 429,433 |
5% 12/1/30 (d) | | 1,000,000 | 1,063,785 |
5% 12/1/40 (d) | | 250,000 | 262,464 |
| New York Urban Dev. Corp. Rev.: | | | |
| (New York State Gen. Oblig. Proj.) Series 2017 A, 5% 3/15/34 | | 970,000 | 1,024,955 |
| Gen. Oblig. (New York State Gen. Oblig. Proj.) Series 2017 A, 5% 3/15/32 | | 830,000 | 879,704 |
| Series 2017 C: | | | |
4% 3/15/43 | | 3,440,000 | 3,396,782 |
4% 3/15/45 | | 3,155,000 | 3,089,755 |
| Series 2019 A, 5% 3/15/37 | | 365,000 | 390,047 |
| Niagara Area Dev. Corp. Rev. (Catholic Health Sys., Inc. Proj.) Series 2022: | | | |
| 4.5% 7/1/52 | | 2,180,000 | 1,570,807 |
| 5% 7/1/52 | | 325,000 | 248,043 |
| Oneida County Local Dev. Corp. Rev. (Mohawk Valley Health Sys. Proj.) Series 2019 A: | | | |
| 3% 12/1/44 (Assured Guaranty Muni. Corp. Insured) | | 300,000 | 226,568 |
| 4% 12/1/32 (Assured Guaranty Muni. Corp. Insured) | | 55,000 | 55,275 |
| 4% 12/1/49 (Assured Guaranty Muni. Corp. Insured) | | 1,000,000 | 885,495 |
| 5% 12/1/25 (Assured Guaranty Muni. Corp. Insured) | | 35,000 | 35,018 |
| 5% 12/1/26 (Assured Guaranty Muni. Corp. Insured) | | 105,000 | 105,062 |
| 5% 12/1/30 (Assured Guaranty Muni. Corp. Insured) | | 85,000 | 92,667 |
| Onondaga Civic Dev. Corp. (Le Moyne College Proj.): | | | |
| Series 2015, 5% 7/1/45 | | 1,725,000 | 1,727,685 |
| Series 2018, 5% 1/1/43 | | 120,000 | 120,808 |
| Onondaga County Trust for Cultural Resources Rev. Series 2019: | | | |
| 4% 12/1/41 | | 800,000 | 805,888 |
| 4% 12/1/49 | | 2,250,000 | 2,195,372 |
| 5% 12/1/43 | | 2,500,000 | 2,662,822 |
| 5% 12/1/45 | | 800,000 | 848,647 |
| Orange County N Y Fdg Corp. Assistance (The Hamlet at Wallkill Assisted Living Proj.) Series 2012, 6.5% 1/1/46 | | 565,000 | 439,342 |
| Port Auth. of New York & New Jersey: | | | |
| Series 2020 221: | | | |
4% 7/15/50 (d) | | 760,000 | 702,778 |
4% 7/15/55 (d) | | 3,870,000 | 3,470,856 |
| Series 2021 226: | | | |
5% 10/15/38 (d) | | 635,000 | 673,756 |
5% 10/15/39 (d) | | 470,000 | 496,031 |
5% 10/15/40 (d) | | 725,000 | 762,595 |
5% 10/15/41 (d) | | 420,000 | 440,231 |
| Series 2022 231: | | | |
5.5% 8/1/40 (d) | | 1,510,000 | 1,648,327 |
5.5% 8/1/42 (d) | | 250,000 | 271,825 |
| Series 2022 234, 5.25% 8/1/47 (d) | | 2,100,000 | 2,208,343 |
| Series 2022 236, 5% 1/15/52 (d) | | 725,000 | 746,044 |
| Schenectady County Cap. Resources Corp. Rev.: | | | |
| (Union College Proj.) Series 2017, 5% 1/1/40 | | 1,895,000 | 1,955,790 |
| Series 2022, 5.25% 7/1/52 | | 145,000 | 156,625 |
| Suffolk County Econ. Dev. Corp. Rev. Series 2021: | | | |
| 4.625% 11/1/31 (e) | | 150,000 | 133,497 |
| 5.375% 11/1/54 (e) | | 870,000 | 675,065 |
| Suffolk County Wtr. Auth. Wtrwks. Rev.: | | | |
| Series 2012 A, 3.75% 6/1/36 | | 2,800,000 | 2,800,382 |
| Series 2020 B, 3% 6/1/45 | | 250,000 | 198,590 |
| Suffolk Tobacco Asset Securitization Corp. Series 2021 B2, 0% 6/1/66 | | 2,700,000 | 287,642 |
| Syracuse Indl. Dev. Auth. Pilot Rev. (Carousel Ctr. Proj.) Series 2016 A: | | | |
| 5% 1/1/28 (d) | | 355,000 | 262,738 |
| 5% 1/1/29 (d) | | 520,000 | 384,408 |
| 5% 1/1/30 (d) | | 395,000 | 291,869 |
| 5% 1/1/31 (d) | | 490,000 | 362,040 |
| 5% 1/1/32 (d) | | 910,000 | 672,464 |
| 5% 1/1/33 (d) | | 805,000 | 595,044 |
| 5% 1/1/34 (d) | | 720,000 | 532,408 |
| 5% 1/1/35 (d) | | 960,000 | 710,170 |
| 5% 1/1/36 (d) | | 310,000 | 229,425 |
| Tobacco Settlement Asset Securitization Corp. Series 2017 A: | | | |
| 5% 6/1/33 | | 1,100,000 | 1,132,621 |
| 5% 6/1/35 | | 500,000 | 512,751 |
| 5% 6/1/41 | | 575,000 | 576,639 |
| Triborough Brdg & Tunl Auth.: | | | |
| Series 2022 A, 4% 5/15/52 | | 1,000,000 | 951,331 |
| Series 2023 A: | | | |
5% 5/15/48 | | 1,000,000 | 1,077,258 |
5% 5/15/53 | | 1,500,000 | 1,606,252 |
| Triborough Bridge & Tunnel Auth.: | | | |
| Series 2021 A1, 5% 5/15/51 | | 12,490,000 | 13,211,956 |
| Series 2021 B, 4% 5/15/56 | | 115,000 | 110,583 |
| Series 2021 C3, 3% 5/15/51 | | 3,250,000 | 2,378,867 |
| Series 2022 D2: | | | |
4.5% 5/15/47 | | 1,000,000 | 1,019,029 |
5.25% 5/15/47 | | 4,100,000 | 4,530,123 |
5.5% 5/15/52 | | 4,000,000 | 4,429,782 |
| Triborough Bridge & Tunnel Auth. Revs.: | | | |
| Bonds Series 2005 B 4A, U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.380% 3.944%, tender 12/1/23 (b)(c) | | 250,000 | 249,996 |
| Series 2015 A, 5.25% 11/15/45 | | 605,000 | 613,133 |
| Series 2017 B, 5% 11/15/37 | | 750,000 | 783,542 |
| Series 2017 C2, 5% 11/15/42 | | 2,730,000 | 2,848,790 |
| Series 2018 A, 5% 11/15/43 | | 1,000,000 | 1,048,445 |
| Series 2019 C: | | | |
4% 11/15/41 | | 4,000,000 | 3,969,546 |
4% 11/15/42 | | 750,000 | 743,099 |
| Series 2020 A, 5% 11/15/49 | | 4,710,000 | 4,980,376 |
| Series 2021 A: | | | |
4% 11/15/56 | | 3,000,000 | 2,883,947 |
5% 11/15/51 | | 1,400,000 | 1,483,690 |
| Troy Cap. Resource Corp. Rev. (Rensselaer Polytechnic Institute Proj.) Series 2020 A: | | | |
| 5% 9/1/36 | | 240,000 | 256,206 |
| 5% 9/1/39 | | 800,000 | 837,981 |
| Util. Debt Securitization Auth. Series 2022 TE 1, 5% 12/15/39 | | 500,000 | 563,152 |
| Westchester County Local Dev. Co.: | | | |
| (Kendal On Hudson Proj.) Series 2022 B, 5% 1/1/51 | | 500,000 | 454,539 |
| (Westchester Med. Ctr. Obligated Group Proj.) Series 2023: | | | |
5% 11/1/47 | | 455,000 | 472,920 |
5% 11/1/51 | | 500,000 | 516,098 |
5.75% 11/1/48 | | 805,000 | 884,070 |
5.75% 11/1/49 | | 1,000,000 | 1,095,350 |
| Series 2014 A, 5.5% 5/1/42 | | 3,230,000 | 3,234,812 |
TOTAL NEW YORK | | | 836,813,871 |
| New York And New Jersey - 0.4% | | | |
| Port Auth. of New York & New Jersey: | | | |
| Series 198, 5% 11/15/46 | | 1,205,000 | 1,234,733 |
| Series 2013 178, 5% 12/1/28 (d) | | 1,150,000 | 1,150,506 |
| Series 2014 183, 4% 12/15/39 | | 1,620,000 | 1,621,194 |
| Series 2014 185: | | | |
5% 9/1/31 (d) | | 1,250,000 | 1,258,664 |
5% 9/1/32 (d) | | 1,000,000 | 1,006,858 |
| Series 2015 193, 5% 10/15/30 (d) | | 1,325,000 | 1,359,228 |
| Series 2015 194: | | | |
5% 10/15/34 | | 2,410,000 | 2,481,485 |
5% 10/15/41 | | 7,625,000 | 7,781,878 |
| Series 2021 223: | | | |
4% 7/15/40 (d) | | 175,000 | 171,316 |
4% 7/15/46 (d) | | 7,460,000 | 7,017,817 |
| Series 2022 231, 5.5% 8/1/47 (d) | | 4,730,000 | 5,075,481 |
| Series 2022 236, 5% 1/15/47 (d) | | 4,000,000 | 4,141,219 |
| Series 2023 238: | | | |
5% 7/15/38 (d) | | 945,000 | 1,013,223 |
5% 7/15/39 (d) | | 575,000 | 612,635 |
5% 7/15/40 (d) | | 505,000 | 535,235 |
| Series 2023 242, 5% 12/1/30 (d) | | 1,500,000 | 1,636,814 |
| Series 214: | | | |
4% 9/1/37 (d) | | 470,000 | 464,222 |
4% 9/1/39 (d) | | 195,000 | 191,283 |
4% 9/1/43 (d) | | 890,000 | 856,463 |
| Series 218: | | | |
4% 11/1/47 (d) | | 5,000,000 | 4,679,842 |
5% 11/1/44 (d) | | 750,000 | 767,836 |
| Series 221, 4% 7/15/45 (d) | | 305,000 | 290,564 |
| Series 223, 4% 7/15/38 (d) | | 595,000 | 585,658 |
TOTAL NEW YORK AND NEW JERSEY | | | 45,934,154 |
| Non-State Specific - 0.0% | | | |
| Affordable Hsg. Opportunities T Series 2022, 3.528% 5/1/39 (e) | | 2,325,000 | 1,861,297 |
| Frete 2021-Ml12 Trust Series 2021, 1.2231% 7/25/41 (b)(e) | | 3,392,681 | 325,736 |
TOTAL NON-STATE SPECIFIC | | | 2,187,033 |
| North Carolina - 0.7% | | | |
| Charlotte Ctfs. of Prtn. (Convention Facility Projs.) Series 2019 A: | | | |
| 4% 6/1/39 | | 55,000 | 55,307 |
| 4% 6/1/49 | | 110,000 | 107,021 |
| 5% 6/1/46 | | 980,000 | 1,030,625 |
| Charlotte Int'l. Arpt. Rev.: | | | |
| Series 2017 A: | | | |
5% 7/1/30 | | 185,000 | 198,352 |
5% 7/1/33 | | 185,000 | 198,060 |
5% 7/1/35 | | 110,000 | 117,137 |
5% 7/1/37 | | 425,000 | 448,532 |
5% 7/1/42 | | 160,000 | 166,673 |
| Series 2017 B: | | | |
5% 7/1/25 (d) | | 10,000 | 10,199 |
5% 7/1/26 (d) | | 10,000 | 10,359 |
5% 7/1/27 (d) | | 25,000 | 26,323 |
5% 7/1/28 (d) | | 20,000 | 20,961 |
5% 7/1/29 (d) | | 30,000 | 31,278 |
5% 7/1/30 (d) | | 30,000 | 31,252 |
5% 7/1/31 (d) | | 60,000 | 62,474 |
5% 7/1/32 (d) | | 60,000 | 62,445 |
5% 7/1/33 (d) | | 65,000 | 67,614 |
5% 7/1/34 (d) | | 65,000 | 67,539 |
5% 7/1/35 (d) | | 45,000 | 46,652 |
5% 7/1/36 (d) | | 40,000 | 41,300 |
5% 7/1/37 (d) | | 45,000 | 46,238 |
5% 7/1/42 (d) | | 145,000 | 147,883 |
| Series 2017 C: | | | |
4% 7/1/32 | | 175,000 | 178,622 |
4% 7/1/36 | | 85,000 | 86,174 |
4% 7/1/37 | | 85,000 | 85,751 |
| Series 2019 A: | | | |
4% 7/1/44 | | 400,000 | 396,344 |
5% 7/1/49 | | 1,805,000 | 1,892,180 |
| Series 2019 B: | | | |
4% 7/1/44 (d) | | 550,000 | 515,738 |
5% 7/1/49 (d) | | 565,000 | 573,940 |
| Durham County Gen. Oblig. Series 2016, 3% 10/1/29 | | 750,000 | 743,805 |
| Forsyth County Series 2021 B: | | | |
| 2% 3/1/38 | | 5,655,000 | 4,205,646 |
| 2% 3/1/39 | | 1,000,000 | 724,840 |
| Greater Asheville Reg'l. Arpt. Auth.: | | | |
| Series 2022 A, 5.5% 7/1/47 (Assured Guaranty Muni. Corp. Insured) (d) | | 4,170,000 | 4,503,103 |
| Series 2023, 5.25% 7/1/48 (d) | | 190,000 | 200,689 |
| Mecklenburg County Gen. Oblig.: | | | |
| Series 2016 A, 5% 9/1/25 | | 1,975,000 | 2,044,436 |
| Series 2017 A, 5% 4/1/25 | | 305,000 | 312,958 |
| New Hanover County Hosp. Rev. Series 2017, 5% 10/1/27 (Escrowed to Maturity) | | 65,000 | 69,817 |
| North Carolina Cap. Facilities Fin. Agcy. Edl. Facilities Rev. Series 2021, 4% 5/1/32 | | 210,000 | 214,488 |
| North Carolina Grant Anticipation Rev. Series 2021, 2% 3/1/36 | | 2,495,000 | 1,971,304 |
| North Carolina Hsg. Fin. Agcy. Home Ownership Rev.: | | | |
| Series 2018 39B, 4% 7/1/48 | | 750,000 | 745,535 |
| Series 2019 42, 4% 1/1/50 | | 650,000 | 645,806 |
| Series 2020 44, 4% 7/1/50 | | 260,000 | 258,029 |
| Series 2022 49: | | | |
5% 7/1/47 | | 320,000 | 328,991 |
6% 7/1/53 | | 1,495,000 | 1,595,739 |
| Series 2023 52A, 6.25% 1/1/55 | | 1,500,000 | 1,636,357 |
| North Carolina Med. Care Commission Health Care Facilities Rev.: | | | |
| Bonds Series 2019 C, 2.55%, tender 6/1/26 (b) | | 2,190,000 | 2,143,802 |
| Series 2015: | | | |
5% 10/1/25 | | 275,000 | 273,562 |
5% 10/1/30 | | 320,000 | 311,859 |
5% 10/1/35 | | 870,000 | 822,351 |
5% 6/1/40 | | 3,730,000 | 3,770,507 |
| Series 2019 A: | | | |
4% 11/1/52 | | 665,000 | 620,201 |
5% 12/1/29 | | 80,000 | 86,087 |
5% 12/1/30 | | 80,000 | 86,108 |
5% 12/1/32 | | 60,000 | 64,528 |
5% 12/1/33 | | 45,000 | 48,337 |
| Series 2020 A: | | | |
3% 7/1/45 | | 1,130,000 | 840,083 |
5% 10/1/40 | | 195,000 | 195,770 |
5% 10/1/45 | | 185,000 | 181,612 |
5% 10/1/50 | | 115,000 | 110,879 |
| Series 2021 A: | | | |
4% 3/1/29 | | 55,000 | 51,070 |
4% 3/1/36 | | 335,000 | 277,718 |
4% 3/1/41 | | 95,000 | 71,800 |
4% 3/1/51 | | 1,585,000 | 1,059,545 |
| Series 2021 C: | | | |
4% 3/1/36 | | 445,000 | 368,909 |
4% 3/1/42 | | 730,000 | 542,943 |
| North Carolina Med. Care Commission Retirement Facilities Rev.: | | | |
| (Salemtowne Proj.) Series 2015: | | | |
5.25% 10/1/35 | | 295,000 | 275,244 |
5.25% 10/1/37 | | 130,000 | 117,401 |
5.375% 10/1/45 | | 1,655,000 | 1,400,201 |
| (The Forest at Duke Proj.) Series 2021: | | | |
4% 9/1/41 | | 150,000 | 121,324 |
4% 9/1/51 | | 680,000 | 500,908 |
| (The Pines at Davidson Proj.) Series 2019 A, 5% 1/1/49 | | 175,000 | 159,185 |
| Series 2015 A, 5% 9/1/37 (Pre-Refunded to 9/1/24 @ 100) | | 315,000 | 319,018 |
| Series 2015: | | | |
4.7% 7/1/37 | | 385,000 | 313,162 |
4.875% 7/1/40 | | 755,000 | 597,153 |
5% 7/1/45 | | 625,000 | 473,836 |
| Series 2016: | | | |
5% 10/1/31 | | 245,000 | 239,862 |
5% 10/1/37 | | 220,000 | 203,206 |
| Series 2017 A, 5% 7/1/47 | | 165,000 | 122,742 |
| Series 2019 A: | | | |
5% 7/1/39 | | 420,000 | 375,896 |
5% 7/1/44 | | 615,000 | 522,226 |
5% 7/1/49 | | 295,000 | 243,018 |
| Series 2021 A: | | | |
4% 9/1/41 | | 150,000 | 121,613 |
4% 9/1/47 | | 135,000 | 102,589 |
4% 9/1/51 | | 135,000 | 99,445 |
4% 1/1/52 | | 370,000 | 269,318 |
| Series 2021, 4% 9/1/46 | | 300,000 | 230,359 |
| North Carolina Muni. Pwr. Agcy. #1 Catawba Elec. Rev.: | | | |
| Series 2015 A, 5% 1/1/28 | | 2,255,000 | 2,336,576 |
| Series 2015 C, 5% 1/1/29 | | 445,000 | 460,632 |
| North Carolina State Ed. Assistance Auth. Student Ln. Rev. Series 2023 A, 5% 6/1/43 (d)(i) | | 965,000 | 971,193 |
| North Carolina Tpk. Auth. Monroe Expressway Toll Rev. Series 2016 A: | | | |
| 5% 7/1/42 | | 595,000 | 603,410 |
| 5% 7/1/47 | | 1,670,000 | 1,686,296 |
| 5% 7/1/51 | | 3,535,000 | 3,565,309 |
| 5% 7/1/54 | | 3,535,000 | 3,561,309 |
| North Carolina Tpk. Auth. Triangle Expressway Sys.: | | | |
| Series 2017: | | | |
5% 1/1/27 (Assured Guaranty Muni. Corp. Insured) | | 750,000 | 789,668 |
5% 1/1/30 | | 205,000 | 212,952 |
5% 1/1/31 (Assured Guaranty Muni. Corp. Insured) | | 340,000 | 356,982 |
5% 1/1/32 | | 580,000 | 601,830 |
| Series 2018: | | | |
5% 1/1/36 (Assured Guaranty Muni. Corp. Insured) | | 2,850,000 | 3,039,233 |
5% 1/1/40 | | 3,255,000 | 3,352,582 |
| Series 2019: | | | |
4% 1/1/55 | | 180,000 | 159,293 |
5% 1/1/43 | | 850,000 | 874,388 |
5% 1/1/44 | | 315,000 | 323,856 |
5% 1/1/49 | | 2,575,000 | 2,633,952 |
5% 1/1/49 | | 300,000 | 309,276 |
5% 1/1/49 (Assured Guaranty Muni. Corp. Insured) | | 630,000 | 649,479 |
| Series 2020 C, 5% 2/1/24 (Escrowed to Maturity) | | 5,620,000 | 5,634,180 |
| Northern Hosp. District Surry County Series 2017: | | | |
| 5% 10/1/27 | | 320,000 | 328,301 |
| 5% 10/1/31 | | 265,000 | 266,453 |
| 5% 10/1/33 | | 290,000 | 291,579 |
| Raleigh Durham Arpt. Auth. Arpt. Rev. Series 2020 A: | | | |
| 5% 5/1/30 (d) | | 265,000 | 288,925 |
| 5% 5/1/32 (d) | | 210,000 | 227,967 |
| 5% 5/1/33 (d) | | 210,000 | 227,773 |
| 5% 5/1/34 (d) | | 635,000 | 687,632 |
| 5% 5/1/35 (d) | | 295,000 | 318,356 |
| Union County Gen. Oblig. Series 2019 C, 2.5% 9/1/36 | | 590,000 | 507,580 |
TOTAL NORTH CAROLINA | | | 80,926,855 |
| North Dakota - 0.2% | | | |
| Cass County Health Care Facilities Rev. Series 2018 B, 5.25% 2/15/53 | | 400,000 | 404,189 |
| Grand Forks Health Care Sys. Rev.: | | | |
| Series 2021: | | | |
3% 12/1/46 | | 5,650,000 | 4,107,061 |
4% 12/1/35 | | 1,270,000 | 1,175,425 |
4% 12/1/36 | | 1,095,000 | 1,001,333 |
4% 12/1/37 | | 970,000 | 881,968 |
4% 12/1/38 | | 885,000 | 797,279 |
5% 12/1/33 | | 1,325,000 | 1,375,049 |
5% 12/1/34 | | 1,590,000 | 1,642,992 |
| Series 2023 A: | | | |
5% 12/1/48 (Assured Guaranty Muni. Corp. Insured) | | 1,000,000 | 1,044,035 |
5% 12/1/53 (Assured Guaranty Muni. Corp. Insured) | | 3,715,000 | 3,854,584 |
| North Dakota Hsg. Fin. Agcy.: | | | |
| Series 2021 A, 3% 1/1/52 | | 655,000 | 632,352 |
| Series 2021 B, 3% 7/1/52 | | 2,025,000 | 1,937,822 |
| Univ. of North Dakota Series 2021 A, 3% 6/1/61 (Assured Guaranty Muni. Corp. Insured) | | 2,395,000 | 1,565,120 |
| Univ. of North Dakota Hsg. and Auxiliary Facilities Rev. Series 2019 A, 4% 4/1/39 (Assured Guaranty Muni. Corp. Insured) | | 495,000 | 492,084 |
| Ward County Health Care Facility Rev. Series 2017 C: | | | |
| 5% 6/1/34 | | 830,000 | 778,594 |
| 5% 6/1/38 | | 770,000 | 689,686 |
| 5% 6/1/48 | | 40,000 | 32,910 |
| 5% 6/1/53 | | 1,340,000 | 1,058,924 |
TOTAL NORTH DAKOTA | | | 23,471,407 |
| Ohio - 1.9% | | | |
| Akron Bath Copley Hosp. District Rev.: | | | |
| Series 2016, 5.25% 11/15/46 | | 3,045,000 | 3,058,540 |
| Series 2020, 5% 11/15/31 | | 25,000 | 26,767 |
| Allen County Hosp. Facilities Rev.: | | | |
| (Mercy Health) Series 2017 A: | | | |
5% 8/1/25 | | 365,000 | 374,771 |
5% 8/1/26 | | 245,000 | 256,064 |
5% 8/1/27 | | 305,000 | 324,470 |
5% 8/1/28 | | 345,000 | 370,159 |
5% 8/1/29 | | 640,000 | 685,035 |
5% 8/1/30 | | 515,000 | 550,894 |
| Series 2020 A, 4% 12/1/40 | | 2,825,000 | 2,751,836 |
| American Muni. Pwr., Inc. (Solar Electricity Prepayment Proj.) Series 2019 A: | | | |
| 5% 2/15/38 | | 85,000 | 89,244 |
| 5% 2/15/39 | | 55,000 | 57,283 |
| 5% 2/15/44 | | 175,000 | 179,136 |
| American Muni. Pwr., Inc. Rev.: | | | |
| (Greenup Hydroelectric Proj.): | | | |
Series 2016 A, 5% 2/15/41 | | 290,000 | 295,411 |
Series 2016, 5% 2/15/46 | | 1,675,000 | 1,698,514 |
| Series 2021 A: | | | |
4% 2/15/34 | | 3,000,000 | 3,066,809 |
4% 2/15/36 | | 480,000 | 490,182 |
4% 2/15/38 | | 1,675,000 | 1,659,657 |
5% 2/15/35 | | 845,000 | 932,139 |
| Brunswick Ohio City School District Series 2023: | | | |
| 5.25% 12/1/53 | | 1,165,000 | 1,242,288 |
| 5.5% 12/1/60 | | 2,160,000 | 2,327,622 |
| Buckeye Tobacco Settlement Fing. Auth.: | | | |
| Series 2020 A, 0% 6/1/57 | | 10,590,000 | 1,084,891 |
| Series 2020 A2: | | | |
3% 6/1/48 | | 2,150,000 | 1,561,196 |
4% 6/1/37 | | 765,000 | 760,265 |
4% 6/1/38 | | 1,240,000 | 1,216,979 |
4% 6/1/39 | | 1,270,000 | 1,239,869 |
4% 6/1/48 | | 6,360,000 | 5,565,041 |
5% 6/1/27 | | 125,000 | 130,136 |
5% 6/1/29 | | 3,230,000 | 3,437,133 |
5% 6/1/32 | | 1,650,000 | 1,759,049 |
5% 6/1/33 | | 5,475,000 | 5,833,804 |
5% 6/1/34 | | 70,000 | 74,494 |
5% 6/1/36 | | 705,000 | 742,919 |
| Series 2020 B2, 5% 6/1/55 | | 52,320,000 | 46,158,577 |
| Chillicothe Hosp. Facilities Rev. (Adena Health Sys. Oblig. Group Proj.) Series 2017, 5% 12/1/47 | | 770,000 | 775,741 |
| Cleveland Arpt. Sys. Rev.: | | | |
| Series 2016 A: | | | |
5% 1/1/25 (Assured Guaranty Muni. Corp. Insured) | | 45,000 | 45,805 |
5% 1/1/26 (Assured Guaranty Muni. Corp. Insured) | | 30,000 | 30,539 |
5% 1/1/27 (Assured Guaranty Muni. Corp. Insured) | | 120,000 | 121,880 |
5% 1/1/31 (Assured Guaranty Muni. Corp. Insured) | | 55,000 | 55,775 |
| Series 2018 B, 5% 1/1/48 | | 1,750,000 | 1,795,268 |
| Cleveland Income Tax Rev. Series 2018 A: | | | |
| 5% 10/1/35 | | 110,000 | 117,946 |
| 5% 10/1/37 | | 70,000 | 74,207 |
| 5% 10/1/38 | | 85,000 | 89,790 |
| Cleveland-Cuyahoga County Port Auth.: | | | |
| (Centers for Dialysis Care Proj.) Series 2017 A, 5% 12/1/42 | | 300,000 | 298,114 |
| (Flats East Bank Proj.): | | | |
Series 2021 A, 4% 12/1/55 (e) | | 175,000 | 138,772 |
Series 2021 B, 4.5% 12/1/55 (e) | | 100,000 | 80,938 |
| (Playhouse Square Foundation Proj.) Series 2018: | | | |
5.5% 12/1/43 | | 240,000 | 239,985 |
5.5% 12/1/53 | | 1,370,000 | 1,323,202 |
| (The Cleveland Museum of Natural History Proj.) Series 2021: | | | |
4% 7/1/40 | | 85,000 | 82,977 |
4% 7/1/41 | | 105,000 | 101,925 |
4% 7/1/46 | | 220,000 | 204,560 |
4% 7/1/51 | | 295,000 | 269,903 |
| Cleveland-Cuyahoga County Port Auth. Rev. (Euclid Avenue Dev. Corp. Proj.): | | | |
| Series 2019, 4% 8/1/44 | | 450,000 | 422,056 |
| Series 2022 A: | | | |
5% 8/1/39 | | 1,145,000 | 1,197,630 |
5.25% 8/1/40 | | 1,205,000 | 1,266,952 |
5.25% 8/1/41 | | 1,270,000 | 1,338,440 |
5.25% 8/1/42 | | 1,340,000 | 1,402,342 |
| Columbus City School District Series 2016 A: | | | |
| 5% 12/1/29 | | 255,000 | 267,935 |
| 5% 12/1/32 | | 50,000 | 52,230 |
| 5% 12/1/32 (Pre-Refunded to 6/1/26 @ 100) | | 5,000 | 5,235 |
| Cuyahoga County Hosp. Rev. Series 2017: | | | |
| 4.75% 2/15/47 | | 865,000 | 846,798 |
| 5% 2/15/37 | | 300,000 | 303,611 |
| 5% 2/15/42 | | 840,000 | 844,326 |
| 5% 2/15/52 | | 775,000 | 768,489 |
| 5% 2/15/57 | | 770,000 | 750,673 |
| 5.25% 2/15/47 | | 735,000 | 738,321 |
| 5.5% 2/15/52 | | 4,220,000 | 4,269,403 |
| 5.5% 2/15/57 | | 7,380,000 | 7,452,850 |
| Cuyahoga Metropolitan Hsg. Auth. (2045 Initiative Proj.) Series 2021, 2% 12/1/31 | | 620,000 | 549,968 |
| Fairfield County Hosp. Facilities Rev. (Fairfield Med. Ctr. Proj.) Series 2013: | | | |
| 4.25% 6/15/24 | | 25,000 | 24,898 |
| 5% 6/15/25 | | 5,000 | 5,000 |
| 5% 6/15/26 | | 5,000 | 5,000 |
| 5% 6/15/27 | | 5,000 | 5,000 |
| 5% 6/15/28 | | 5,000 | 4,990 |
| 5.25% 6/15/43 | | 280,000 | 249,672 |
| Franklin County Convention Facilities Auth. (Greater Columbus Convention Ctr. Hotel Expansion Proj.) Series 2019: | | | |
| 5% 12/1/44 | | 2,015,000 | 1,872,498 |
| 5% 12/1/46 | | 775,000 | 806,516 |
| 5% 12/1/51 | | 2,955,000 | 2,685,967 |
| 5% 12/1/51 | | 1,165,000 | 1,204,473 |
| Franklin County Hosp. Facilities Rev.: | | | |
| (Ohiohealth Corp. Proj.) Series 2015, 5% 5/15/40 | | 1,000,000 | 1,010,136 |
| Series 2015, 5% 5/15/45 | | 1,500,000 | 1,513,010 |
| Series 2018 A, 4% 5/15/47 | | 1,395,000 | 1,299,952 |
| Franklin County Rev. Series 2017 OH, 5% 12/1/46 | | 1,410,000 | 1,425,071 |
| Greater Cincinnati Elderly Hsg. Dev. Corp. Series 1994 A, 6.6% 8/1/25 | | 30,000 | 30,101 |
| Hamilton County Healthcare Rev.: | | | |
| (Life Enriching Cmntys. Proj.): | | | |
Series 2016: | | | |
5% 1/1/36 | | 440,000 | 427,937 |
5% 1/1/51 | | 65,000 | 56,349 |
Series 2017 A, 5% 1/1/52 | | 295,000 | 254,814 |
| (Life Enriching Communitites Proj.) Series 2016, 5% 1/1/46 | | 1,240,000 | 1,103,193 |
| Series 2023 A, 5.75% 1/1/53 | | 610,000 | 604,860 |
| Hamilton County Hosp. Facilities Rev. (Trihealth, Inc. Obligated Group Proj.) Series 2017 A, 5% 8/15/33 | | 55,000 | 57,636 |
| Hamilton County Swr. Sys. Rev. Series 2013 A, 5% 12/1/24 (Pre-Refunded to 12/1/23 @ 100) | | 1,000,000 | 1,000,000 |
| Indian Creek Loc Scd Series 2018 A, 5% 11/1/45 | | 320,000 | 334,550 |
| Lake County Hosp. Facilities Rev. Series 2015, 5% 8/15/27 (Pre-Refunded to 8/15/25 @ 100) | | 5,000 | 5,125 |
| Lancaster Port Auth. Gas Rev. Bonds Series 2019, 5%, tender 2/1/25 (b) | | 2,545,000 | 2,569,551 |
| Marion County Health Care Rev. Series 2019: | | | |
| 5% 12/1/39 | | 230,000 | 186,153 |
| 5.125% 12/1/49 | | 255,000 | 191,997 |
| Miami County Hosp. Facilities Rev. (Kettering Health Network Obligated Group Proj.) Series 2019: | | | |
| 5% 8/1/45 | | 230,000 | 233,216 |
| 5% 8/1/49 | | 2,100,000 | 2,109,772 |
| Middleburg Heights Hosp. Rev.: | | | |
| Series 2020 A, 4% 8/1/47 | | 370,000 | 317,155 |
| Series 2021 A, 4% 8/1/41 | | 2,005,000 | 1,825,962 |
| Montgomery County Hosp. Rev.: | | | |
| (Kettering Health Network Obligated Group Proj.) Series 2021: | | | |
4% 8/1/51 | | 800,000 | 702,874 |
5% 8/1/30 | | 990,000 | 1,082,872 |
| Series 2019 A: | | | |
4% 11/15/38 | | 485,000 | 446,672 |
4% 11/15/45 | | 225,000 | 193,507 |
5% 11/15/34 | | 210,000 | 218,566 |
| Muskingum County Hosp. Facilities (Genesis Healthcare Sys. Obligated Group Proj.) Series 2013: | | | |
| 5% 2/15/27 | | 510,000 | 509,983 |
| 5% 2/15/33 | | 1,565,000 | 1,535,581 |
| 5% 2/15/44 | | 705,000 | 647,310 |
| Northeast Ohio Med. Univ. Series 2021 A: | | | |
| 4% 12/1/35 | | 25,000 | 24,429 |
| 4% 12/1/45 | | 20,000 | 17,390 |
| Ohio Air Quality Dev. Auth. Exempt Facilities Rev.: | | | |
| (AMG Vanadium Proj.) Series 2019, 5% 7/1/49 (d)(e) | | 6,450,000 | 5,463,218 |
| (Pratt Paper (OH), LLC Proj.) Series 2017: | | | |
4.25% 1/15/38 (d)(e) | | 100,000 | 94,306 |
4.5% 1/15/48 (d)(e) | | 1,290,000 | 1,171,582 |
| (Pratt Paper, LLC Proj.) Series 2017, 3.75% 1/15/28 (d)(e) | | 1,410,000 | 1,385,685 |
| Ohio Air Quality Dev. Auth. Rev.: | | | |
| (Ohio Valley Elec. Corp. Proj.) Series 2019 A, 3.25% 9/1/29 | | 1,800,000 | 1,721,255 |
| Bonds: | | | |
(American Elec. Co. Proj.): | | | |
Series 2005 D, 2.1%, tender 10/1/24 (b)(d) | | 7,465,000 | 7,253,449 |
Series 2007 B, 2.5%, tender 10/1/29 (b)(d) | | 360,000 | 313,230 |
Series 2014 B, 2.6%, tender 10/1/29 (b)(d) | | 985,000 | 861,940 |
(American Elec. Pwr. Co. Proj.): | | | |
Series 2005 C, 2.1%, tender 10/1/24 (b)(d) | | 835,000 | 811,337 |
Series 2014 C, 2.1%, tender 10/1/24 (b)(d) | | 1,790,000 | 1,739,273 |
(Duke Energy Corp. Proj.) Series 2022 B, 4%, tender 6/1/27 (b) | | 835,000 | 835,264 |
Series 2022 B, 4.25%, tender 6/1/27 (b)(d) | | 1,975,000 | 1,981,982 |
| Ohio Gen. Oblig.: | | | |
| Series 2021 A: | | | |
5% 3/1/29 | | 470,000 | 523,177 |
5% 3/1/29 | | 630,000 | 701,280 |
5% 3/1/30 | | 570,000 | 644,599 |
5% 3/1/30 | | 855,000 | 966,898 |
| Series 2021 B: | | | |
5% 2/1/29 | | 1,140,000 | 1,267,276 |
5% 2/1/30 | | 950,000 | 1,072,878 |
| Series 2021 C: | | | |
5% 3/15/29 | | 1,425,000 | 1,587,220 |
5% 3/15/30 | | 1,425,000 | 1,612,513 |
| Ohio Higher Ed. Facilities Commission Healthcare Rev. Series 2018, 5.25% 1/1/48 | | 250,000 | 230,745 |
| Ohio Higher Edl. Facility Commission Rev.: | | | |
| (Kenyon College 2020 Proj.) Series 2020: | | | |
4% 7/1/40 | | 45,000 | 44,321 |
5% 7/1/35 | | 170,000 | 184,996 |
5% 7/1/42 | | 290,000 | 302,888 |
| (Kenyon College, Oh. Proj.) Series 2017, 5% 7/1/42 | | 110,000 | 112,822 |
| (The Univ. of Findlay 2019 Proj.) Series 2019, 5% 3/1/44 | | 350,000 | 323,701 |
| (Tiffin Univ. 2019 Proj.) Series 2019, 4% 11/1/49 | | 300,000 | 218,062 |
| (Univ. of Dayton 2018 Proj.) Series 2018 B, 5% 12/1/34 | | 130,000 | 138,101 |
| (Univ. of Dayton Proj.) Series 2018 B, 5% 12/1/36 | | 1,070,000 | 1,123,111 |
| Series 2016, 5% 11/1/41 | | 640,000 | 649,888 |
| Series 2019, 4% 10/1/44 | | 100,000 | 91,362 |
| Series 2022: | | | |
5.125% 12/1/42 | | 305,000 | 296,813 |
5.375% 12/1/52 | | 485,000 | 467,708 |
| Ohio Hosp. Facilities Rev.: | | | |
| Series 2017 A: | | | |
5% 1/1/29 | | 760,000 | 822,565 |
5% 1/1/31 | | 10,000 | 10,797 |
| Series 2021 B: | | | |
5% 1/1/26 | | 990,000 | 1,028,076 |
5% 1/1/27 | | 2,295,000 | 2,434,367 |
| Ohio Hosp. Rev.: | | | |
| Series 2020 A: | | | |
4% 1/15/38 | | 150,000 | 147,863 |
4% 1/15/39 | | 280,000 | 273,064 |
4% 1/15/50 | | 390,000 | 355,990 |
4% 1/15/50 | | 245,000 | 218,826 |
5% 1/15/50 | | 2,710,000 | 2,780,810 |
| Series 2020: | | | |
3% 1/15/45 | | 2,150,000 | 1,618,447 |
4% 11/15/36 | | 135,000 | 127,396 |
4% 11/15/38 | | 130,000 | 118,165 |
4% 11/15/40 | | 125,000 | 110,891 |
| Series 2021 A, 4% 1/15/46 | | 250,000 | 228,418 |
| Series 2021 E: | | | |
4% 1/15/37 | | 480,000 | 480,957 |
4% 1/15/41 | | 320,000 | 305,752 |
| Ohio Hsg. Fin. Agcy. Multi-family Hsg. Rev. (Sanctuary at Springboro Proj.) Series 2017, 5.45% 1/1/38 (e) | | 250,000 | 188,576 |
| Ohio Hsg. Fin. Agcy. Residential Mtg. Rev.: | | | |
| (Mtg. Backed Securities Prog.) Series 2019 B, 4.5% 3/1/50 | | 105,000 | 105,288 |
| (Mtg.-Backed Secrities Prog.) Series 2023 A: | | | |
4.8% 9/1/48 | | 2,355,000 | 2,387,991 |
4.9% 9/1/53 | | 1,130,000 | 1,152,860 |
| (Mtg.-Backed Securities Prog.): | | | |
Series 2018 A, 4.5% 9/1/48 | | 795,000 | 798,541 |
Series 2023 B, 6% 3/1/55 | | 1,155,000 | 1,261,427 |
| Ohio Major New State Infrastructure Rev.: | | | |
| Series 2021 1A: | | | |
5% 12/15/29 | | 1,415,000 | 1,583,851 |
5% 12/15/30 | | 1,270,000 | 1,443,041 |
5% 12/15/31 | | 90,000 | 103,994 |
| Series 2022 1, 5% 12/15/23 | | 1,500,000 | 1,500,825 |
| Ohio Private Activity Rev. (Portsmouth Bypass Proj.): | | | |
| Series 2015 A, 5% 12/31/35 (Assured Guaranty Muni. Corp. Insured) (d) | | 1,650,000 | 1,669,256 |
| Series 2015: | | | |
5% 12/31/39 (d) | | 565,000 | 568,012 |
5% 6/30/53 (d) | | 400,000 | 400,331 |
| Ohio State Univ. Gen. Receipts Series 2021 A, 4% 12/1/48 | | 2,400,000 | 2,359,258 |
| Ohio Tpk. Commission Tpk. Rev.: | | | |
| (Infrastructure Proj.) Series 2005 A, 0% 2/15/42 | | 645,000 | 283,852 |
| (Infrastructure Projs.) Series 2022 A, 5% 2/15/39 | | 585,000 | 652,418 |
| Series A, 5% 2/15/51 | | 6,640,000 | 7,038,184 |
| Ross County Hosp. Facilities Rev. (Adena Health Sys. Obligated Group Proj.) Series 2019: | | | |
| 5% 12/1/23 | | 30,000 | 30,000 |
| 5% 12/1/24 | | 35,000 | 35,465 |
| 5% 12/1/25 | | 30,000 | 30,873 |
| 5% 12/1/26 | | 40,000 | 41,915 |
| Scioto County Hosp. Facilities Rev.: | | | |
| Series 2016: | | | |
5% 2/15/26 | | 125,000 | 128,420 |
5% 2/15/27 | | 105,000 | 108,120 |
5% 2/15/29 | | 340,000 | 348,241 |
5% 2/15/34 | | 55,000 | 55,762 |
| Series 2019, 5% 2/15/29 | | 680,000 | 704,325 |
| Summit County Dev. Fin. Authp (Univ. of Akron Parking Proj.) Series 2023, 6% 12/1/58 | | 1,000,000 | 1,022,608 |
| Toledo Hosp. 6.015% 11/15/48 | | 600,000 | 450,666 |
| Toledo-Lucas County Port Auth.: | | | |
| (Univ. of Toledo Parking Proj.) Series 2021, 4% 1/1/57 | | 350,000 | 259,801 |
| Series 2014 A, 5% 7/1/46 | | 350,000 | 321,166 |
| Univ. of Akron Gen. Receipts: | | | |
| Series 2016 A, 5% 1/1/35 | | 545,000 | 561,075 |
| Series 2019 A: | | | |
4% 1/1/28 | | 205,000 | 211,506 |
5% 1/1/30 | | 100,000 | 110,073 |
| Washington County Hosp. Rev. Series 2022: | | | |
| 6% 12/1/28 | | 660,000 | 668,744 |
| 6% 12/1/29 | | 700,000 | 710,079 |
| 6% 12/1/30 | | 740,000 | 751,073 |
| 6% 12/1/31 | | 790,000 | 801,913 |
| Worthington City School District Series 2023, 5.5% 12/1/54 | | 4,350,000 | 4,811,629 |
TOTAL OHIO | | | 230,041,921 |
| Oklahoma - 0.2% | | | |
| Catoosa Indl. Auth. Series 2018, 4% 10/1/28 | | 5,000 | 4,819 |
| Edmond Pub. Works Auth. Sales Tax & Util. Sys. Rev. Series 2017, 5% 7/1/42 | | 1,595,000 | 1,649,608 |
| Lincoln County Edl. Facilities Rev. (Stroud Pub. Schools Proj.) Series 2016: | | | |
| 5% 9/1/28 | | 750,000 | 780,407 |
| 5% 9/1/29 | | 250,000 | 259,737 |
| Norman Reg'l. Hosp. Auth. Hosp. Rev. Series 2019: | | | |
| 4% 9/1/45 | | 1,165,000 | 949,521 |
| 5% 9/1/45 | | 700,000 | 699,621 |
| Oklahoma City Arpt. Trust Series 33, 5% 7/1/47 (d) | | 275,000 | 279,229 |
| Oklahoma City Pub. Property Auth. Hotel Tax Rev. Series 2015: | | | |
| 5% 10/1/28 | | 155,000 | 160,268 |
| 5% 10/1/29 | | 170,000 | 175,686 |
| 5% 10/1/32 | | 60,000 | 61,931 |
| 5% 10/1/36 | | 120,000 | 122,790 |
| 5% 10/1/39 | | 245,000 | 248,100 |
| Oklahoma County Fin. Auth. Rev.: | | | |
| (Epworth Villa Proj.): | | | |
Series 2004 B, 5.75% 4/1/27 (b)(h) | | 90,000 | 58,500 |
Series 2005 B, 6% 4/1/30 (b)(h) | | 115,000 | 74,750 |
Series 2012 A: | | | |
5% 4/1/33 (h) | | 435,000 | 282,750 |
5.125% 4/1/42 (h) | | 420,000 | 273,000 |
| Series 2005 A, 5.875% 4/1/30 (h) | | 550,000 | 357,500 |
| Oklahoma Dev. Fin. Auth. Health Sys. Rev. (OU Medicine Proj.): | | | |
| Series 2018 B: | | | |
5% 8/15/38 | | 240,000 | 226,054 |
5.25% 8/15/43 | | 80,000 | 76,908 |
5.25% 8/15/48 | | 1,490,000 | 1,394,257 |
5.5% 8/15/52 | | 2,110,000 | 2,040,198 |
5.5% 8/15/57 | | 3,945,000 | 3,782,517 |
| Series 2018 C, 5.45% 8/15/28 | | 1,602,000 | 1,407,104 |
| Oklahoma Dev. Fin. Auth. Rev.: | | | |
| (Oklahoma City Univ. Proj.) Series 2019: | | | |
5% 8/1/26 | | 25,000 | 25,395 |
5% 8/1/44 | | 570,000 | 544,800 |
| Series 2015, 5% 7/1/42 | | 315,000 | 263,254 |
| Oklahoma Hsg. Fin. Agcy. Single Family Mtg. Rev. (Homeownership Ln. Prog.): | | | |
| Series 2018 A, 4.75% 9/1/48 | | 300,000 | 302,295 |
| Series 2023 C, 6% 3/1/54 | | 215,000 | 234,876 |
| Oklahoma Tpk. Auth. Tpk. Rev. Series 2023: | | | |
| 4.5% 1/1/53 | | 2,225,000 | 2,247,935 |
| 5.5% 1/1/53 | | 6,175,000 | 6,823,490 |
| Payne County Econ. Dev. Auth. Series 2016 A, 6.875% 11/1/46 | | 455,845 | 319 |
| Tulsa Indl. Auth. Rev. (Montereau, Inc. Proj.) Series 2017, 5.25% 11/15/45 | | 1,455,000 | 1,373,539 |
| Tulsa Int'l. Arpt. Gen. Rev. Series 2015 A, 5% 6/1/45 (Pre-Refunded to 6/1/24 @ 100) (d) | | 160,000 | 161,033 |
| Tulsa Muni. Arpt. Trust Rev. Series 2001 B, 5.5% 12/1/35 (d) | | 1,550,000 | 1,550,242 |
| Weatherford Indl. Trust Edl. Facilities Lease Rev. (Weatherford Pub. Schools Proj.) Series 2019, 5% 3/1/33 | | 500,000 | 539,206 |
TOTAL OKLAHOMA | | | 29,431,639 |
| Oregon - 0.5% | | | |
| Beaverton School District Series 2022 A: | | | |
| 0% 6/15/37 | | 8,000,000 | 4,491,944 |
| 0% 6/15/38 | | 5,000,000 | 2,636,257 |
| 0% 6/15/39 | | 5,000,000 | 2,483,755 |
| 0% 6/15/40 | | 5,000,000 | 2,351,967 |
| 0% 6/15/41 | | 1,250,000 | 556,386 |
| Clackamas County Hosp. Facility Auth.: | | | |
| (Willamette View, Inc.) Series 2017 A, 5% 11/15/47 | | 195,000 | 169,050 |
| (Williamette View Proj.) Series 2017 A, 5% 11/15/32 | | 135,000 | 132,328 |
| (Williamette View, Inc.) Series 2017 A: | | | |
5% 11/15/37 | | 70,000 | 65,647 |
5% 11/15/52 | | 210,000 | 177,774 |
| Medford Hosp. Facilities Auth. Rev. (Asante Projs.) Series 2020 A: | | | |
| 4% 8/15/50 | | 320,000 | 295,089 |
| 5% 8/15/36 | | 85,000 | 91,318 |
| 5% 8/15/38 | | 235,000 | 248,081 |
| 5% 8/15/45 | | 725,000 | 746,449 |
| Multnomah County School District 40 Series 2023 B, 5.5% 6/15/53 | | 875,000 | 979,749 |
| Multnomah County Hosp. Facilities Auth. Rev.: | | | |
| Series 2021 A: | | | |
4% 12/1/41 | | 630,000 | 460,043 |
4% 12/1/51 | | 470,000 | 304,972 |
| Series 2021 B1, 1.2% 6/1/28 | | 165,000 | 140,052 |
| Series 2021 B2, 0.95% 6/1/27 | | 435,000 | 381,745 |
| Series 2021 C, 1.25% 6/1/26 | | 210,000 | 193,049 |
| Multnomah County School District #1J Portland Series 2023, 5% 6/15/25 | | 1,500,000 | 1,544,693 |
| Oregon Bus. Dev. Commission Recovery Zone Facility Bonds (Intel Corp. Proj.) Series 2023 232, 3.8%, tender 6/15/28 (b) | | 3,500,000 | 3,537,185 |
| Oregon Dept. of Trans. Hwy. User Tax Rev. Series 2022 A, 5.25% 11/15/47 | | 750,000 | 830,541 |
| Oregon Facilities Auth. Rev.: | | | |
| (Legacy Health Proj.) Series 2016 A, 5% 6/1/46 | | 2,655,000 | 2,663,357 |
| Series 2022 A, 5% 6/1/52 | | 2,200,000 | 2,269,300 |
| Series 2022 B, 5% 6/1/30 | | 675,000 | 733,754 |
| Oregon Health and Science Univ. Spl. Rev. Series 2016 B, 5% 7/1/34 | | 1,600,000 | 1,664,008 |
| Oregon St Facilities Auth. Lease Rent Series 2023, 4.9% 9/15/35 | | 3,545,000 | 3,734,063 |
| Oregon State Dept. of Administrative Svcs. Lottery Rev. Series 2015 C, 5% 4/1/24 | | 500,000 | 502,987 |
| Oregon State Hsg. & Cmnty. Svcs. Dept.: | | | |
| (Single Family Mtg. Prog.) Series A, 3.5% 1/1/51 | | 510,000 | 499,871 |
| (Single-Family Mtg. Prog.) Series 2019 A, 2.65% 7/1/39 | | 485,000 | 383,140 |
| Series 2019 A, 4% 7/1/50 | | 1,580,000 | 1,571,796 |
| Polk Marion & Benton School District # 13J Series B, 0% 12/15/38 | | 120,000 | 63,366 |
| Port of Portland Arpt. Rev.: | | | |
| Series 2017 24B, 5% 7/1/42 (d) | | 1,170,000 | 1,190,220 |
| Series 2020 26C, 5% 7/1/28 (d) | | 265,000 | 281,817 |
| Series 2020 27A: | | | |
4% 7/1/39 (d) | | 1,475,000 | 1,433,885 |
4% 7/1/50 (d) | | 1,580,000 | 1,429,122 |
5% 7/1/45 (d) | | 3,595,000 | 3,705,792 |
| Series 2022 28: | | | |
5% 7/1/41 (d) | | 4,240,000 | 4,475,437 |
5% 7/1/52 (d) | | 3,555,000 | 3,663,407 |
| Series 2023 29, 5.5% 7/1/48 (d) | | 1,750,000 | 1,899,145 |
| Salem Hosp. Facility Auth. Rev.: | | | |
| (Cap. Manor Proj.) Series 2022, 4% 5/15/47 | | 525,000 | 392,135 |
| (Salem Health Projs.) Series 2019 A, 3% 5/15/49 | | 2,605,000 | 1,917,020 |
| Series 2016 A, 4% 5/15/41 | | 620,000 | 586,320 |
| Washington, Multnomah & Yamhill County School District #1J Series 2017: | | | |
| 5% 6/15/33 | | 60,000 | 64,057 |
| 5% 6/15/35 | | 175,000 | 185,989 |
| 5% 6/15/36 | | 170,000 | 179,974 |
| 5% 6/15/38 | | 170,000 | 178,237 |
| Yamhill County Hosp. Auth. Rev.: | | | |
| Series 2016 A: | | | |
4% 11/15/26 | | 30,000 | 28,688 |
5% 11/15/31 | | 50,000 | 46,635 |
5% 11/15/36 | | 65,000 | 56,653 |
5% 11/15/46 | | 370,000 | 283,994 |
| Series 2021 A: | | | |
5% 11/15/36 | | 155,000 | 135,097 |
5% 11/15/46 | | 365,000 | 280,156 |
5% 11/15/51 | | 155,000 | 115,672 |
5% 11/15/56 | | 895,000 | 653,303 |
| Series 2021 B1, 2.5% 11/15/28 | | 185,000 | 162,122 |
| Series 2021 B2, 2.125% 11/15/27 | | 30,000 | 28,246 |
TOTAL OREGON | | | 60,276,839 |
| Pennsylvania - 3.6% | | | |
| Allegheny County Indl. Dev. Auth. Series 2013, 6% 7/15/38 | | 250,000 | 250,172 |
| Allegheny County Arpt. Auth. Rev.: | | | |
| Series 2021 A: | | | |
4% 1/1/38 (d) | | 500,000 | 484,069 |
4% 1/1/56 (d) | | 1,000,000 | 865,560 |
5% 1/1/51 (d) | | 6,560,000 | 6,700,269 |
5% 1/1/56 (d) | | 3,980,000 | 4,053,831 |
| Series 2021 B: | | | |
5% 1/1/51 | | 830,000 | 857,859 |
5% 1/1/56 | | 700,000 | 719,349 |
| Series 2023 A: | | | |
5.5% 1/1/48 (Assured Guaranty Muni. Corp. Insured) (d) | | 5,815,000 | 6,289,489 |
5.5% 1/1/53 (Assured Guaranty Muni. Corp. Insured) (d) | | 11,325,000 | 12,179,723 |
| Allegheny County Hosp. Dev. Auth. Rev.: | | | |
| Series 2018 A: | | | |
4% 4/1/44 | | 600,000 | 558,109 |
4% 4/1/44 | | 1,410,000 | 1,313,333 |
5% 4/1/47 | | 230,000 | 232,503 |
| Series 2019 A: | | | |
4% 7/15/36 | | 140,000 | 140,763 |
4% 7/15/37 | | 1,085,000 | 1,082,811 |
4% 7/15/39 | | 1,325,000 | 1,299,410 |
| Allegheny County Indl. Dev. Auth. Enviromental Impt. Rev. (United States Steel Corp. Proj.) Series 2019, 4.875% 11/1/24 | | 170,000 | 169,419 |
| Allegheny County Indl. Dev. Auth. Rev. Series 2021: | | | |
| 3.5% 12/1/31 | | 430,000 | 345,681 |
| 4% 12/1/41 | | 935,000 | 632,957 |
| 4.25% 12/1/50 | | 1,040,000 | 651,934 |
| Allentown Commercial & Indl. Dev. A (Lincoln Leadership Academy Charter School Proj.) Series 2023, 5.75% 6/15/43 | | 270,000 | 276,700 |
| Allentown Neighborhood Impt. Zone Dev. Auth. Tax Rev.: | | | |
| (615 Waterfront Proj.) Series 2021, 6% 5/1/42 (e) | | 350,000 | 357,523 |
| (City Ctr. Proj.) Series 2018, 5.125% 5/1/32 (e) | | 350,000 | 354,594 |
| (City Ctr. Rfdg. Proj.): | | | |
Series 2017: | | | |
5% 5/1/27 (e) | | 1,205,000 | 1,225,123 |
5% 5/1/32 (e) | | 490,000 | 498,754 |
5% 5/1/42 (e) | | 1,765,000 | 1,731,613 |
Series 2018: | | | |
5% 5/1/33 (e) | | 490,000 | 499,309 |
5% 5/1/42 (e) | | 1,350,000 | 1,321,323 |
5.375% 5/1/42 (e) | | 1,340,000 | 1,341,750 |
| Series 2022: | | | |
5% 5/1/25 | | 500,000 | 505,999 |
5% 5/1/28 | | 25,000 | 26,094 |
5% 5/1/30 | | 25,000 | 26,243 |
5% 5/1/31 | | 95,000 | 100,082 |
5% 5/1/32 | | 135,000 | 142,800 |
5% 5/1/33 | | 115,000 | 121,515 |
5% 5/1/34 | | 105,000 | 110,725 |
5% 5/1/35 | | 120,000 | 125,916 |
5% 5/1/42 | | 2,420,000 | 2,413,595 |
5.25% 5/1/42 (e) | | 1,420,000 | 1,398,087 |
| Allentown School District Series 2019 C: | | | |
| 4% 2/1/35 | | 245,000 | 250,515 |
| 4% 2/1/36 | | 230,000 | 233,713 |
| Armstrong School District Series 2019 A: | | | |
| 4% 3/15/35 | | 105,000 | 107,356 |
| 4% 3/15/36 | | 225,000 | 229,507 |
| 4% 3/15/37 | | 105,000 | 106,091 |
| 4% 3/15/38 | | 105,000 | 106,020 |
| 4% 3/15/41 | | 530,000 | 529,042 |
| Beaver County Econ. Dev. Auth. Series 2020: | | | |
| 4% 11/15/35 | | 485,000 | 497,015 |
| 4% 11/15/36 | | 180,000 | 183,304 |
| Berks County Indl. Dev. Auth. Health Sys. Rev.: | | | |
| (Tower Health Proj.) Series 2017: | | | |
5% 11/1/28 | | 240,000 | 132,908 |
5% 11/1/37 | | 200,000 | 106,096 |
5% 11/1/47 | | 310,000 | 164,347 |
| (Tower Heatlh Proj.) Series 2017: | | | |
5% 11/1/29 | | 840,000 | 446,622 |
5% 11/1/30 | | 430,000 | 228,495 |
| Berks County Muni. Auth. Rev.: | | | |
| (The Reading Hosp. and Med. Ctr. Proj.) Series 2012, 5% 11/1/44 | | 1,635,000 | 866,894 |
| Bonds (Tower Health Proj.): | | | |
Series 2020 B2, 5%, tender 2/1/27 (b) | | 2,110,000 | 1,275,783 |
Series 2020 B3, 5%, tender 2/1/30 (b) | | 895,000 | 475,860 |
| Bucks County Indl. Dev. Auth. Hosp. Rev.: | | | |
| (Grand View Hosp. Proj.) Series 2021, 4% 7/1/51 | | 300,000 | 214,805 |
| (St. Luke's Univ. Health Network Proj.) Series 2019: | | | |
4% 8/15/44 | | 190,000 | 174,304 |
4% 8/15/50 | | 955,000 | 833,651 |
| Series 2021: | | | |
5% 7/1/32 | | 355,000 | 336,701 |
5% 7/1/34 | | 40,000 | 37,465 |
5% 7/1/36 | | 40,000 | 36,987 |
5% 7/1/37 | | 80,000 | 73,453 |
5% 7/1/39 | | 165,000 | 149,122 |
| Bucks County Wtr. & Swr. Auth. Sys. Rev. Series 2022 A, 5.25% 12/1/47 (Assured Guaranty Muni. Corp. Insured) | | 465,000 | 505,516 |
| Butler County Hosp. Auth. Hosp. Rev. (Butler Health Sys. Proj.) Series 2015 A: | | | |
| 5% 7/1/35 | | 2,935,000 | 2,942,852 |
| 5% 7/1/39 | | 670,000 | 648,410 |
| Canon McMillan School District Series 2019: | | | |
| 4% 6/1/46 | | 625,000 | 609,670 |
| 4% 6/1/48 | | 925,000 | 900,198 |
| Cap. Region Wtr. Wtr. Rev. Series 2018: | | | |
| 5% 7/15/26 | | 55,000 | 57,716 |
| 5% 7/15/27 | | 120,000 | 128,535 |
| 5% 7/15/29 | | 190,000 | 205,862 |
| 5% 7/15/32 | | 120,000 | 129,284 |
| 5% 7/15/38 | | 55,000 | 57,476 |
| Chambersburg Area Muni. Authe Series 2018, 5.75% 10/1/38 | | 250,000 | 235,703 |
| Chartiers Valley School District Series 2021 A, 3% 10/15/49 | | 3,585,000 | 2,557,882 |
| Chester County Health & Ed. Auth. Rev. (Simpson Sr. Svcs. Proj.) Series 2019, 5% 12/1/51 | | 420,000 | 289,060 |
| Chester County Indl. Dev. Auth. Rev.: | | | |
| (Collegium Charter School Proj.) Series 2022, 5.875% 10/15/47 (e) | | 1,560,000 | 1,516,039 |
| (Longwood Gardens, Inc. Proj.) Series 2021: | | | |
4% 12/1/46 | | 670,000 | 653,783 |
4% 12/1/51 | | 1,000,000 | 952,780 |
| Series 2017 A: | | | |
4.75% 12/15/37 | | 235,000 | 228,034 |
5% 12/15/47 | | 110,000 | 103,799 |
5% 12/15/51 | | 135,000 | 125,382 |
| Chichester School District Series 2022: | | | |
| 4% 9/15/31 | | 105,000 | 108,436 |
| 4% 9/15/32 | | 105,000 | 108,189 |
| Commonwealth Fing. Auth. Rev.: | | | |
| Series 2019 B, 5% 6/1/26 | | 45,000 | 47,122 |
| Series 2020 A: | | | |
5% 6/1/26 | | 1,235,000 | 1,293,248 |
5% 6/1/28 | | 670,000 | 727,744 |
5% 6/1/29 | | 110,000 | 121,344 |
5% 6/1/32 | | 190,000 | 212,635 |
| Commonwealth Fing. Auth. Tobacco Series 2018: | | | |
| 4% 6/1/39 (Assured Guaranty Muni. Corp. Insured) | | 750,000 | 738,397 |
| 5% 6/1/31 | | 480,000 | 511,855 |
| 5% 6/1/32 | | 420,000 | 447,616 |
| 5% 6/1/34 | | 250,000 | 265,931 |
| Cumberland County Muni. Auth. Rev.: | | | |
| Series 2015: | | | |
4% 1/1/33 | | 165,000 | 152,961 |
4% 1/1/33 (Pre-Refunded to 1/1/25 @ 100) | | 65,000 | 65,475 |
4% 1/1/33 (Pre-Refunded to 1/1/25 @ 100) | | 225,000 | 226,644 |
5% 1/1/38 | | 1,230,000 | 1,210,430 |
5% 1/1/38 (Pre-Refunded to 1/1/25 @ 100) | | 240,000 | 244,266 |
5% 1/1/38 (Pre-Refunded to 1/1/25 @ 100) | | 1,005,000 | 1,022,866 |
| Series 2019: | | | |
4% 11/1/35 | | 240,000 | 236,058 |
4% 11/1/37 | | 480,000 | 466,892 |
4% 11/1/49 | | 910,000 | 812,405 |
| Series 2021 A: | | | |
4.5% 1/1/36 (e) | | 555,000 | 465,142 |
4.5% 1/1/40 (e) | | 1,945,000 | 1,557,153 |
4.5% 1/1/41 (e) | | 590,000 | 466,753 |
| Dallas Area Muni. Auth. Univ. Rev. (Misericordia Univ. Proj.) Series 2019, 5% 5/1/48 | | 105,000 | 94,996 |
| Dauphin County Gen. Auth. (Pinnacle Health Sys. Proj.) Series 2016 A: | | | |
| 5% 6/1/28 | | 130,000 | 134,636 |
| 5% 6/1/29 | | 215,000 | 222,023 |
| 5% 6/1/34 | | 75,000 | 77,136 |
| Dauphin County Gen. Auth. Rev. (The Harrisburg Univ. of Science and Technology Proj.): | | | |
| Series 2017: | | | |
5% 10/15/34 (e) | | 400,000 | 339,259 |
5.125% 10/15/41 (e) | | 350,000 | 264,938 |
| Series 2020: | | | |
5.875% 10/15/40 (e) | | 300,000 | 251,481 |
6.25% 10/15/53 (e) | | 400,000 | 321,615 |
| Dauphin County Indl. Dev. Auth. Series 1992 A, 6.9% 6/1/24 (d) | | 580,000 | 589,178 |
| Delaware County Auth. Rev.: | | | |
| (Cabrini College) Series 2017, 5% 7/1/47 | | 2,075,000 | 1,974,967 |
| Series 2017: | | | |
5% 7/1/26 | | 65,000 | 66,165 |
5% 7/1/28 | | 250,000 | 256,846 |
5% 7/1/29 | | 965,000 | 989,851 |
5% 7/1/30 | | 90,000 | 92,151 |
| Delaware Valley Reg'l. Fin. Auth. Local Govt. Rev.: | | | |
| Bonds Series 2018 E, 1 month U.S. LIBOR + 0.880% 4.521%, tender 9/1/25 (b)(c) | | 7,500,000 | 7,427,631 |
| Series 2007 C, 3 month U.S. LIBOR + 0.750% 4.55% 6/1/37 (b)(c) | | 1,560,000 | 1,333,166 |
| Doylestown Hosp. Auth. Hosp. Rev.: | | | |
| Series 2016 A: | | | |
5% 7/1/46 | | 180,000 | 153,157 |
5% 7/1/46 (Pre-Refunded to 7/1/26 @ 100) | | 40,000 | 41,951 |
| Series 2019 A: | | | |
4% 7/1/45 | | 110,000 | 80,475 |
4% 7/1/45 (Pre-Refunded to 7/1/29 @ 100) | | 10,000 | 10,517 |
5% 7/1/49 | | 1,770,000 | 1,477,469 |
5% 7/1/49 (Pre-Refunded to 7/1/29 @ 100) | | 195,000 | 215,033 |
| Dubois Hosp. Auth. Hosp. Rev. (Penn Highlands Healthcare Proj.) Series 2018: | | | |
| 4% 7/15/33 | | 305,000 | 303,983 |
| 4% 7/15/35 | | 315,000 | 314,263 |
| 4% 7/15/37 | | 605,000 | 587,693 |
| 5% 7/15/25 | | 50,000 | 50,920 |
| 5% 7/15/26 | | 150,000 | 154,925 |
| 5% 7/15/27 | | 260,000 | 271,672 |
| 5% 7/15/28 | | 190,000 | 199,969 |
| 5% 7/15/29 | | 200,000 | 209,628 |
| 5% 7/15/30 | | 270,000 | 282,596 |
| 5% 7/15/31 | | 185,000 | 193,311 |
| 5% 7/15/32 | | 190,000 | 198,579 |
| 5% 7/15/34 | | 210,000 | 219,604 |
| 5% 7/15/36 | | 610,000 | 632,455 |
| 5% 7/15/38 | | 730,000 | 745,932 |
| 5% 7/15/43 | | 850,000 | 865,155 |
| East Hempfield Township Indl. Dev. Auth. Rev.: | | | |
| Series 2014: | | | |
5% 7/1/34 (Pre-Refunded to 7/1/24 @ 100) | | 140,000 | 141,256 |
5% 7/1/39 (Pre-Refunded to 7/1/24 @ 100) | | 140,000 | 141,256 |
5% 7/1/46 (Pre-Refunded to 7/1/24 @ 100) | | 215,000 | 216,929 |
| Series 2015: | | | |
5% 7/1/30 (Pre-Refunded to 7/1/25 @ 100) | | 115,000 | 118,104 |
5% 7/1/35 (Pre-Refunded to 7/1/25 @ 100) | | 150,000 | 154,048 |
5% 7/1/47 (Pre-Refunded to 7/1/25 @ 100) | | 1,705,000 | 1,751,017 |
| Erie Higher Ed. Bldg. Auth. Series 2016: | | | |
| 5% 9/15/37 (e) | | 160,000 | 146,956 |
| 5% 9/15/37 (Pre-Refunded to 9/15/26 @ 100) (e) | | 35,000 | 36,673 |
| Erie Wtr. Auth. Rev. Series 2016, 5% 12/1/43 (Pre-Refunded to 12/1/26 @ 100) | | 480,000 | 510,159 |
| Franklin County Indl. Dev. Auth. (Menno-Haven, Inc. Proj.) Series 2018: | | | |
| 5% 12/1/38 | | 295,000 | 253,268 |
| 5% 12/1/43 | | 170,000 | 137,614 |
| 5% 12/1/48 | | 185,000 | 143,406 |
| 5% 12/1/53 | | 195,000 | 146,166 |
| Geisinger Auth. Health Sys. Rev. Series 2020 A, 4% 4/1/39 | | 705,000 | 688,248 |
| Huntingdon County Gen. Auth. Rev. (Aicup Fing. Prog. - Juniata College Proj.) Series 2016 OO2, 5% 5/1/46 | | 300,000 | 284,329 |
| Lancaster County Hosp. Auth. Health Ctr. Rev.: | | | |
| Series 2015: | | | |
5.25% 7/1/35 | | 35,000 | 33,392 |
5.5% 7/1/45 | | 140,000 | 128,420 |
| Series 2021: | | | |
5% 11/1/46 | | 3,615,000 | 3,711,266 |
5% 11/1/51 | | 185,000 | 189,646 |
| Lancaster Indl. Dev. Auth. Rev. (Willow Valley Cmntys. Proj.) Series 2019, 5% 12/1/49 | | 250,000 | 246,295 |
| Lehigh County Auth. Wtr. and Swr. Rev.: | | | |
| Series 2013 A, 5% 12/1/43 (Pre-Refunded to 12/1/23 @ 100) | | 1,100,000 | 1,100,000 |
| Series 2013 B, 0% 12/1/36 | | 2,580,000 | 1,455,021 |
| Lehigh County Gen. Purp. Auth. Rev. (Muhlenberg College Proj.) Series 2017, 5% 2/1/39 | | 315,000 | 322,119 |
| Lehigh County Gen. Purp. Hosp. Rev. Series 2019 A: | | | |
| 4% 7/1/37 | | 110,000 | 109,278 |
| 4% 7/1/38 | | 120,000 | 117,776 |
| 4% 7/1/39 | | 140,000 | 135,941 |
| 4% 7/1/49 | | 4,195,000 | 3,804,928 |
| 5% 7/1/24 | | 110,000 | 110,893 |
| 5% 7/1/26 | | 120,000 | 124,433 |
| 5% 7/1/27 | | 130,000 | 136,969 |
| 5% 7/1/28 | | 135,000 | 144,333 |
| 5% 7/1/44 | | 640,000 | 655,952 |
| Luzerne County Series 2017 A: | | | |
| 5% 12/15/23 (Assured Guaranty Muni. Corp. Insured) | | 140,000 | 140,073 |
| 5% 12/15/24 (Assured Guaranty Muni. Corp. Insured) | | 145,000 | 147,746 |
| Maxatawny Township Muni. Auth. Rev. Series 2022 A: | | | |
| 4.5% 1/1/45 | | 545,000 | 460,019 |
| 5% 1/1/39 | | 60,000 | 57,009 |
| 5% 1/1/40 | | 205,000 | 192,480 |
| 5% 1/1/41 | | 150,000 | 139,712 |
| 5% 1/1/42 | | 155,000 | 143,344 |
| Monroe County Hosp. Auth. Rev. Series 2016: | | | |
| 5% 7/1/26 | | 120,000 | 124,463 |
| 5% 7/1/27 | | 120,000 | 124,700 |
| 5% 7/1/28 | | 120,000 | 124,405 |
| 5% 7/1/34 | | 450,000 | 459,264 |
| 5% 7/1/36 | | 655,000 | 666,202 |
| Monroeville Fin. Auth. UPMC Rev. Series 2012, 5% 2/15/26 | | 95,000 | 98,494 |
| Montgomery County Indl. Dev. Auth. Bonds Series 2023 A, 4.1%, tender 4/3/28 (b) | | 1,475,000 | 1,477,254 |
| Montgomery County Higher Ed. & Health Auth. Rev.: | | | |
| (Philadelphia Presbytery Homes, Inc. Proj.) Series 2017, 4% 12/1/48 | | 400,000 | 287,723 |
| Series 2014 A: | | | |
5% 10/1/24 | | 140,000 | 140,226 |
5% 10/1/25 | | 125,000 | 125,151 |
5% 10/1/27 | | 60,000 | 60,152 |
| Series 2016 A: | | | |
5% 10/1/28 | | 185,000 | 186,376 |
5% 10/1/29 | | 325,000 | 327,138 |
5% 10/1/30 | | 245,000 | 246,427 |
5% 10/1/31 | | 555,000 | 558,018 |
5% 10/1/32 | | 10,000 | 10,051 |
5% 10/1/36 | | 1,255,000 | 1,238,293 |
5% 10/1/40 | | 795,000 | 733,222 |
| Series 2018 A: | | | |
4% 9/1/49 | | 490,000 | 434,542 |
5% 9/1/32 | | 560,000 | 590,935 |
5% 9/1/33 | | 425,000 | 447,971 |
5% 9/1/34 | | 810,000 | 853,027 |
5% 9/1/37 | | 740,000 | 766,047 |
5% 9/1/43 | | 710,000 | 723,308 |
| Series 2019: | | | |
4% 9/1/36 | | 50,000 | 49,556 |
4% 9/1/37 | | 50,000 | 49,385 |
4% 9/1/38 | | 110,000 | 108,021 |
4% 9/1/39 | | 70,000 | 68,330 |
4% 9/1/44 | | 725,000 | 685,233 |
4% 9/1/49 | | 1,200,000 | 1,107,709 |
4% 9/1/49 | | 650,000 | 575,552 |
4% 9/1/51 | | 805,000 | 700,313 |
5% 9/1/24 | | 45,000 | 45,429 |
5% 9/1/31 | | 145,000 | 155,568 |
| Series 2020: | | | |
5% 4/1/24 | | 25,000 | 25,054 |
5% 4/1/25 | | 20,000 | 20,184 |
5% 4/1/26 | | 20,000 | 19,986 |
5% 4/1/27 | | 40,000 | 40,092 |
| Series 2022, 3.125% 5/1/53 (Assured Guaranty Muni. Corp. Insured) | | 650,000 | 469,544 |
| Montgomery County Indl. Dev. Auth. Series 2015 A, 5.25% 1/15/45 (Pre-Refunded to 1/15/25 @ 100) | | 3,510,000 | 3,582,161 |
| Montgomery County Indl. Dev. Auth. Rev.: | | | |
| Series 2015: | | | |
5% 1/1/30 | | 210,000 | 201,802 |
5.25% 1/1/40 | | 490,000 | 432,563 |
5.375% 1/1/50 | | 3,045,000 | 2,534,403 |
| Series 2020 C, 5% 11/15/45 | | 650,000 | 622,422 |
| Moon Indl. Dev. Auth. Rev. Series 2015, 6.125% 7/1/50 | | 580,000 | 409,455 |
| Northampton County Gen. Purp. Auth. Hosp. Rev.: | | | |
| (St. Luke's Univ. Health Network Proj.): | | | |
Series 2016 A, 5% 8/15/36 | | 90,000 | 92,066 |
Series 2018 A, 4% 8/15/48 | | 1,950,000 | 1,690,253 |
| Series 2016 A, 5% 8/15/46 | | 3,650,000 | 3,679,705 |
| Northeastern Pennsylvania Hosp. and Ed. Auth. (King's College Proj.) Series 2019: | | | |
| 5% 5/1/32 | | 95,000 | 95,948 |
| 5% 5/1/33 | | 125,000 | 125,978 |
| 5% 5/1/44 | | 275,000 | 255,515 |
| 5% 5/1/49 | | 170,000 | 153,204 |
| Pennsylvania Ctfs. Prtn. Series 2018 A: | | | |
| 5% 7/1/35 | | 40,000 | 42,544 |
| 5% 7/1/37 | | 45,000 | 47,259 |
| 5% 7/1/38 | | 40,000 | 41,705 |
| 5% 7/1/43 | | 110,000 | 113,372 |
| Pennsylvania Econ. Dev.: | | | |
| Series 2013 B2: | | | |
0% 1/1/35 | | 320,000 | 201,157 |
0% 1/1/36 | | 340,000 | 202,025 |
0% 1/1/37 | | 325,000 | 181,400 |
0% 1/1/38 | | 335,000 | 173,638 |
0% 1/1/39 | | 370,000 | 180,294 |
0% 1/1/40 | | 355,000 | 163,419 |
0% 1/1/41 | | 340,000 | 147,750 |
0% 1/1/42 | | 325,000 | 132,834 |
0% 1/1/43 | | 310,000 | 119,841 |
0% 1/1/46 | | 745,000 | 252,360 |
0% 1/1/47 | | 775,000 | 248,395 |
| Series 2013, 0% 1/1/49 | | 1,555,000 | 290,918 |
| Pennsylvania Econ. Dev. Fing. Auth.: | | | |
| (The Penndot Major Bridges Package One Proj.) Series 2022: | | | |
5% 12/31/57 (Assured Guaranty Muni. Corp. Insured) (d) | | 4,770,000 | 4,814,867 |
5.25% 6/30/53 (d) | | 11,600,000 | 11,956,237 |
5.75% 6/30/48 (d) | | 12,465,000 | 13,470,226 |
5.75% 12/31/62 (Assured Guaranty Muni. Corp. Insured) (d) | | 5,000,000 | 5,450,556 |
6% 6/30/61 (d) | | 4,925,000 | 5,401,012 |
| Series 2020 A: | | | |
4% 4/15/39 | | 1,500,000 | 1,472,688 |
5% 4/15/24 | | 35,000 | 35,189 |
5% 4/15/25 | | 50,000 | 51,084 |
| Series 2020: | | | |
4% 1/1/26 | | 235,000 | 233,786 |
4% 1/1/27 | | 160,000 | 159,173 |
4% 1/1/28 | | 165,000 | 163,934 |
| Series 2023 A2: | | | |
4% 5/15/48 | | 2,000,000 | 1,823,611 |
4% 5/15/53 | | 1,960,000 | 1,753,428 |
| Pennsylvania Econ. Dev. Fing. Auth. Indl. Dev. Rev.: | | | |
| (Presbyterian Sr. Living Proj.): | | | |
Series 2023 B1, 5.25% 7/1/49 | | 970,000 | 938,165 |
Series 2023 B2: | | | |
5% 7/1/38 | | 735,000 | 730,462 |
5% 7/1/42 | | 440,000 | 422,994 |
5.25% 7/1/46 | | 1,435,000 | 1,403,385 |
| (The Pennsylvania Rapid Bridge Replacement Proj.) Series 2015: | | | |
4.125% 12/31/38 (d) | | 355,000 | 325,766 |
5% 12/31/38 (d) | | 4,365,000 | 4,394,762 |
| Pennsylvania Econ. Dev. Fing. Auth. Solid Waste Disp. Rev.: | | | |
| (Covanta Proj.) Series 2019 A, 3.25% 8/1/39 (d)(e) | | 580,000 | 408,697 |
| Bonds: | | | |
(Consol Energy, Inc. Proj.) Series 2021 A, 9%, tender 4/13/28 (b)(d)(e) | | 1,620,000 | 1,776,558 |
(Republic Svcs., Inc. Proj.) Series 2019 A, 4.6%, tender 1/16/24 (b)(d) | | 3,500,000 | 3,499,463 |
(Waste Mgmt., Inc. Proj.): | | | |
Series 2009, 0.95%, tender 12/1/26 (b) | | 250,000 | 226,068 |
Series 2021 A, SIFMA Municipal Swap Index + 0.400% 4.21%, tender 12/7/23 (b)(c)(d) | | 2,000,000 | 1,989,375 |
Series 2011, 2.15%, tender 7/1/24 (b)(d) | | 3,955,000 | 3,906,055 |
| Pennsylvania Gen. Oblig.: | | | |
| Series 2013 1: | | | |
4% 4/1/31 | | 1,375,000 | 1,375,618 |
4% 4/1/32 | | 2,500,000 | 2,501,002 |
| Series 2013, 4% 10/15/28 | | 1,250,000 | 1,250,619 |
| Series 2018, 3.5% 3/1/31 | | 2,500,000 | 2,504,954 |
| Pennsylvania Higher Ed. Assistance Agcy. Rev.: | | | |
| Series 2021 A: | | | |
2.625% 6/1/42 (d) | | 270,000 | 230,616 |
5% 6/1/30 (d) | | 50,000 | 53,157 |
| Series 2022 A, 4.5% 6/1/43 (d) | | 210,000 | 207,396 |
| Series 2023 A, 4% 6/1/44 (d) | | 2,510,000 | 2,425,648 |
| Pennsylvania Higher Edl. Facilities Auth. Rev.: | | | |
| (Drexel Univ. Proj.): | | | |
Series 2016, 5% 5/1/35 | | 515,000 | 526,995 |
Series 2017: | | | |
5% 5/1/35 | | 150,000 | 155,237 |
5% 5/1/37 | | 190,000 | 194,808 |
5% 5/1/41 | | 860,000 | 870,884 |
| Series 2007 A, 3 month U.S. LIBOR + 0.650% 4.44% 7/1/39 (XL Cap. Assurance, Inc. Insured) (b)(c) | | 1,180,000 | 1,010,464 |
| Series 2012, 5% 11/1/42 | | 90,000 | 90,001 |
| Series 2014, 5% 7/15/38 | | 335,000 | 335,616 |
| Series 2015 A, 5% 9/1/39 | | 440,000 | 443,347 |
| Series 2016: | | | |
5% 5/1/28 | | 60,000 | 61,977 |
5% 5/1/29 | | 55,000 | 56,748 |
5% 5/1/31 | | 55,000 | 56,550 |
5% 5/1/32 | | 150,000 | 154,074 |
5% 5/1/33 | | 210,000 | 215,482 |
5% 5/1/34 | | 105,000 | 107,621 |
| Series 2017 A, 4% 8/15/42 | | 1,260,000 | 1,238,074 |
| Series 2019 A: | | | |
5% 3/1/38 | | 210,000 | 219,106 |
5% 3/1/39 | | 50,000 | 51,796 |
| Series 2019, 4% 8/15/49 | | 2,250,000 | 2,103,470 |
| Series 2020: | | | |
5% 6/15/25 (Assured Guaranty Muni. Corp. Insured) | | 260,000 | 267,368 |
5% 6/15/25 (Assured Guaranty Muni. Corp. Insured) | | 2,240,000 | 2,301,657 |
| Series 2021 A, 4% 8/15/43 | | 960,000 | 935,340 |
| Pennsylvania Hsg. Fin. Agcy.: | | | |
| Series 2020 13 2A, 3.5% 4/1/51 | | 220,000 | 216,970 |
| Series 2021 134 A, 3% 10/1/49 | | 2,395,000 | 2,330,376 |
| Series 2021 134B, 5% 4/1/27 (d) | | 945,000 | 977,607 |
| Series 2021 135B: | | | |
5% 4/1/29 (d) | | 510,000 | 535,836 |
5% 10/1/29 (d) | | 510,000 | 537,436 |
5% 4/1/30 (d) | | 515,000 | 544,460 |
5% 10/1/30 (d) | | 295,000 | 312,910 |
| Series 2021 137, 3% 10/1/51 | | 2,845,000 | 2,711,175 |
| Series 2023 141A, 5.75% 10/1/53 | | 13,340,000 | 14,122,054 |
| Pennsylvania Hsg. Fin. Agcy. Multifamily Hsg. Dev. Rev. Series 2023 A, 5.55% 11/1/42 | | 652,125 | 719,319 |
| Pennsylvania Hsg. Fin. Agcy. Single Family Mtg. Rev. Series 2016 121, 2.8% 10/1/31 | | 1,205,000 | 1,111,367 |
| Pennsylvania Pub. School Bldg. Auth. School Rev. (The School District of The City of Harrisburg Proj.) Series 2016 A: | | | |
| 5% 12/1/29 | | 270,000 | 284,501 |
| 5% 12/1/29 (Pre-Refunded to 12/1/26 @ 100) | | 45,000 | 47,761 |
| Pennsylvania State Univ. Series 2020 A, 4% 9/1/50 | | 95,000 | 90,864 |
| Pennsylvania Tpk. Commission Oil Franchise Tax Rev. Series 2021 A, 4% 12/1/51 | | 2,245,000 | 2,111,104 |
| Pennsylvania Tpk. Commission Tpk. Rev.: | | | |
| Series 2015 A1, 5% 12/1/40 | | 2,000,000 | 2,016,991 |
| Series 2016, 5% 6/1/36 | | 130,000 | 133,655 |
| Series 2017 A1: | | | |
5% 12/1/42 | | 600,000 | 623,234 |
5% 12/1/47 | | 960,000 | 982,550 |
| Series 2017, 5% 12/1/41 | | 690,000 | 708,783 |
| Series 2018 A2, 5% 12/1/48 | | 2,590,000 | 2,661,374 |
| Series 2019 A: | | | |
4% 12/1/49 (Assured Guaranty Muni. Corp. Insured) | | 1,775,000 | 1,720,916 |
5% 12/1/34 | | 1,095,000 | 1,204,264 |
5% 12/1/44 | | 600,000 | 626,293 |
| Series 2020 B, 5% 12/1/45 | | 4,015,000 | 4,246,808 |
| Series 2021 A: | | | |
4% 12/1/39 | | 1,205,000 | 1,209,931 |
4% 12/1/43 | | 190,000 | 185,770 |
4% 12/1/46 | | 320,000 | 309,493 |
4% 12/1/50 | | 1,420,000 | 1,331,207 |
4% 12/1/50 | | 500,000 | 470,996 |
| Series 2021 B: | | | |
4% 12/1/46 | | 950,000 | 918,807 |
5% 12/1/46 | | 6,355,000 | 6,765,161 |
| Series 2021 C: | | | |
4% 12/1/51 | | 725,000 | 685,118 |
5% 12/1/27 | | 530,000 | 573,863 |
5% 12/1/28 | | 510,000 | 562,399 |
| Series 2022 B, 5.25% 12/1/52 | | 1,575,000 | 1,711,823 |
| Philadelphia Arpt. Rev.: | | | |
| Series 2017 A: | | | |
5% 7/1/25 | | 120,000 | 123,425 |
5% 7/1/26 | | 120,000 | 126,126 |
5% 7/1/27 | | 100,000 | 107,242 |
5% 7/1/28 | | 30,000 | 32,054 |
5% 7/1/29 | | 30,000 | 31,919 |
5% 7/1/30 | | 30,000 | 31,736 |
5% 7/1/31 | | 35,000 | 37,007 |
5% 7/1/32 | | 30,000 | 31,706 |
5% 7/1/33 | | 35,000 | 36,971 |
5% 7/1/42 | | 135,000 | 139,126 |
| Series 2017 B: | | | |
5% 7/1/26 (d) | | 365,000 | 376,484 |
5% 7/1/27 (d) | | 305,000 | 319,674 |
5% 7/1/28 (d) | | 365,000 | 383,031 |
5% 7/1/29 (d) | | 270,000 | 283,163 |
5% 7/1/32 (d) | | 365,000 | 382,115 |
5% 7/1/33 (d) | | 1,170,000 | 1,224,217 |
5% 7/1/34 (d) | | 535,000 | 559,172 |
5% 7/1/37 (d) | | 545,000 | 563,097 |
5% 7/1/42 (d) | | 2,385,000 | 2,419,031 |
5% 7/1/47 (d) | | 4,355,000 | 4,408,468 |
| Series 2021: | | | |
4% 7/1/46 (d) | | 500,000 | 459,151 |
5% 7/1/26 (d) | | 9,065,000 | 9,350,203 |
5% 7/1/27 (d) | | 12,490,000 | 13,065,293 |
5% 7/1/28 (d) | | 1,325,000 | 1,403,909 |
5% 7/1/34 (d) | | 2,650,000 | 2,875,725 |
5% 7/1/35 (d) | | 1,425,000 | 1,539,616 |
5% 7/1/51 (d) | | 2,400,000 | 2,452,820 |
| Philadelphia Auth. for Indl. Dev.: | | | |
| (First Philadelphia Preparatory Charter School Proj.) Series 2014 A, 7.25% 6/15/43 | | 350,000 | 354,891 |
| (Saint Joseph's Univ. Proj.) Series 2022: | | | |
5.25% 11/1/52 | | 1,750,000 | 1,816,151 |
5.5% 11/1/60 | | 1,915,000 | 2,011,397 |
| Series 2015 1, 5% 4/1/33 | | 35,000 | 35,651 |
| Series 2016 2, 5% 4/1/34 | | 2,265,000 | 2,306,229 |
| Series 2016 A, 5.375% 8/1/51 | | 325,000 | 325,641 |
| Series 2016 B: | | | |
5.625% 8/1/36 | | 65,000 | 66,076 |
5.75% 8/1/46 | | 215,000 | 216,876 |
6% 8/1/51 | | 225,000 | 227,783 |
| Series 2017 A, 5% 9/1/42 | | 2,305,000 | 2,322,519 |
| Series 2017 I: | | | |
5% 12/1/37 | | 435,000 | 442,923 |
5% 12/1/58 | | 1,770,000 | 1,694,470 |
5.5% 12/1/58 (e) | | 105,000 | 91,863 |
| Series 2017: | | | |
5% 3/15/45 (e) | | 300,000 | 247,587 |
5% 3/15/45 (Pre-Refunded to 3/15/28 @ 100) (e) | | 25,000 | 27,234 |
5% 11/1/47 | | 1,645,000 | 1,654,011 |
| Series 2020 B, 4.875% 12/15/35 (b)(e) | | 500,000 | 464,646 |
| Series 2022 A: | | | |
5.25% 6/15/52 | | 100,000 | 90,315 |
5.375% 6/15/57 | | 145,000 | 130,821 |
| Philadelphia Auth. for Indl. Dev. Sr. Living Facilities Rev. Series 2017 A: | | | |
| 5% 7/1/37 | | 560,000 | 477,876 |
| 5% 7/1/42 | | 710,000 | 575,534 |
| 5% 7/1/49 | | 860,000 | 665,309 |
| Philadelphia Gas Works Rev.: | | | |
| Series 16 A, 4% 8/1/45 (Assured Guaranty Muni. Corp. Insured) | | 130,000 | 126,843 |
| Series 2015: | | | |
5% 8/1/26 | | 55,000 | 56,231 |
5% 8/1/27 | | 55,000 | 56,266 |
5% 8/1/28 | | 110,000 | 112,444 |
| Series 2016, 5% 10/1/33 | | 620,000 | 642,089 |
| Philadelphia Gen. Oblig.: | | | |
| Series 2014 A, 5% 7/15/38 (Pre-Refunded to 1/15/24 @ 100) | | 880,000 | 881,639 |
| Series 2019 A, 5% 8/1/26 | | 75,000 | 78,798 |
| Series 2019 B: | | | |
5% 2/1/33 | | 90,000 | 98,652 |
5% 2/1/34 | | 145,000 | 158,776 |
5% 2/1/35 | | 175,000 | 191,289 |
5% 2/1/36 | | 720,000 | 782,845 |
5% 2/1/37 | | 685,000 | 737,463 |
5% 2/1/38 | | 540,000 | 575,732 |
| Philadelphia Hospitals & Higher Ed. Facilities Auth. Hosp. Rev. Series 2017: | | | |
| 5% 7/1/28 | | 705,000 | 728,564 |
| 5% 7/1/30 | | 140,000 | 143,907 |
| Philadelphia School District: | | | |
| Series 2015 A: | | | |
5% 9/1/30 | | 650,000 | 665,442 |
5% 9/1/35 | | 290,000 | 295,316 |
| Series 2016 D: | | | |
5% 9/1/25 | | 1,070,000 | 1,097,519 |
5% 9/1/26 | | 1,115,000 | 1,168,478 |
5% 9/1/27 | | 1,180,000 | 1,229,097 |
5% 9/1/28 | | 985,000 | 1,026,771 |
| Series 2016 F: | | | |
5% 9/1/28 | | 1,700,000 | 1,772,092 |
5% 9/1/29 | | 1,300,000 | 1,356,517 |
| Series 2016, 5% 9/1/38 | | 50,000 | 51,041 |
| Series 2018 A: | | | |
5% 9/1/26 | | 90,000 | 94,317 |
5% 9/1/34 | | 80,000 | 85,215 |
5% 9/1/35 | | 55,000 | 58,311 |
5% 9/1/36 | | 230,000 | 241,940 |
5% 9/1/37 | | 135,000 | 141,111 |
5% 9/1/38 | | 290,000 | 300,914 |
| Series 2018 B, 5% 9/1/43 | | 635,000 | 655,372 |
| Series 2019 A: | | | |
4% 9/1/35 | | 1,135,000 | 1,151,920 |
4% 9/1/36 | | 110,000 | 110,840 |
4% 9/1/37 | | 260,000 | 260,549 |
4% 9/1/38 | | 375,000 | 373,571 |
5% 9/1/26 | | 130,000 | 136,235 |
5% 9/1/30 | | 1,050,000 | 1,139,843 |
5% 9/1/31 | | 830,000 | 893,619 |
5% 9/1/32 | | 65,000 | 70,425 |
5% 9/1/33 | | 385,000 | 420,719 |
5% 9/1/33 (Assured Guaranty Muni. Corp. Insured) | | 115,000 | 125,922 |
5% 9/1/34 (Assured Guaranty Muni. Corp. Insured) | | 480,000 | 518,301 |
5% 9/1/44 | | 1,925,000 | 1,999,166 |
| Series 2019 B, 5% 9/1/26 | | 70,000 | 73,357 |
| Series 2023 A, 5.5% 9/1/48 | | 2,755,000 | 3,010,483 |
| Series F, 5% 9/1/30 | | 825,000 | 858,448 |
| Philadelphia Wtr. & Wastewtr. Rev.: | | | |
| Series 2015 A, 5% 7/1/45 (Pre-Refunded to 7/1/24 @ 100) | | 1,445,000 | 1,460,025 |
| Series 2018 A: | | | |
5% 10/1/34 | | 2,535,000 | 2,745,713 |
5% 10/1/43 | | 1,205,000 | 1,252,616 |
| Series 2020 A, 5% 11/1/45 | | 1,000,000 | 1,053,603 |
| Series 2022 C, 5.5% 6/1/47 | | 2,500,000 | 2,744,428 |
| Pittsburgh & Allegheny County Parking Sys. Series 2017: | | | |
| 5% 12/15/35 | | 65,000 | 68,105 |
| 5% 12/15/37 | | 30,000 | 31,108 |
| Pittsburgh Wtr. & Swr. Auth. Wtr. & Swr. Sys. Rev.: | | | |
| Series 2019 A: | | | |
5% 9/1/38 (Assured Guaranty Muni. Corp. Insured) | | 480,000 | 516,509 |
5% 9/1/44 (Assured Guaranty Muni. Corp. Insured) | | 30,000 | 31,692 |
| Series 2019 B, 5% 9/1/32 (Assured Guaranty Muni. Corp. Insured) | | 110,000 | 127,792 |
| Series 2023 A, 4.25% 9/1/53 | | 740,000 | 727,050 |
| Pocono Mountains Indl. Park Auth. (St. Luke's Hosp. - Monroe Proj.) Series 2015 A, 5% 8/15/40 | | 100,000 | 100,310 |
| Scranton Redev. Auth. Series 2016 A, 5% 11/15/28 | | 270,000 | 270,174 |
| South Western School District York Series 2022, 4.25% 11/15/49 | | 3,000,000 | 2,984,709 |
| Southcentral Pennsylvania Gen. Auth. Rev.: | | | |
| (York Academy Reg'l. Charter School Proj.) Series 2018 A, 6.5% 7/15/48 (e) | | 350,000 | 358,346 |
| Series 2019 A: | | | |
4% 6/1/44 | | 435,000 | 411,913 |
4% 6/1/49 | | 2,170,000 | 1,993,625 |
5% 6/1/44 | | 755,000 | 780,210 |
5% 6/1/49 | | 1,205,000 | 1,232,761 |
| State Pub. School Bldg. Auth. (Northampton County Area Cmnty. College Proj.) Series 2022: | | | |
| 4% 6/15/31 | | 190,000 | 197,276 |
| 4% 6/15/32 | | 125,000 | 129,317 |
| 4% 6/15/33 | | 135,000 | 138,817 |
| 4% 6/15/34 | | 135,000 | 139,200 |
| State Pub. School Bldg. Auth. College Rev. (Cmnty. College of Philadelphia Proj.) Series 2015, 5% 6/15/28 | | 1,000,000 | 1,022,475 |
| State Pub. School Bldg. Auth. Lease Rev. (The School District of Philadelphia Proj.): | | | |
| Series 2015 A, 5% 6/1/26 | | 195,000 | 199,188 |
| Series 2016 A: | | | |
5% 6/1/30 | | 425,000 | 447,453 |
5% 6/1/31 | | 3,845,000 | 4,013,456 |
5% 6/1/32 (Assured Guaranty Muni. Corp. Insured) | | 3,200,000 | 3,341,124 |
5% 6/1/33 | | 7,280,000 | 7,601,056 |
| Trinity Area School District Series 2021: | | | |
| 4% 11/1/43 | | 130,000 | 127,690 |
| 4% 11/1/51 | | 320,000 | 301,482 |
| Union County Hosp. Auth. Rev. Series 2018 B: | | | |
| 5% 8/1/33 | | 55,000 | 57,064 |
| 5% 8/1/38 | | 180,000 | 183,652 |
| 5% 8/1/43 | | 680,000 | 691,987 |
| 5% 8/1/48 | | 1,410,000 | 1,428,582 |
| Univ. of Pittsburgh Commonwealth Sys. of Higher Ed. Series 2019, 4.17% 2/15/24 (b) | | 1,205,000 | 1,205,074 |
| Upper Darby School District Series 2021 A, 4% 4/1/46 | | 125,000 | 120,798 |
| Washington Redev. Auth. (Victory Centre Tax Increment Fing. Proj.) Series 2018, 5% 7/1/35 | | 15,000 | 14,601 |
| West Shore Area Auth. Rev. (Messiah Village Proj.) Series 2015 A: | | | |
| 5% 7/1/30 | | 95,000 | 93,483 |
| 5% 7/1/35 | | 90,000 | 85,884 |
TOTAL PENNSYLVANIA | | | 426,467,479 |
| Pennsylvania, New Jersey - 0.0% | | | |
| Delaware River Port Auth. Pennsylvania & New Jersey Rev. Series 2013, 5% 1/1/37 | | 2,000,000 | 2,004,721 |
| Puerto Rico - 2.3% | | | |
| Children's Trust Fund Tobacco Settlement: | | | |
| Series 2002, 5.625% 5/15/43 | | 1,330,000 | 1,345,090 |
| Series 2005 A, 0% 5/15/50 | | 2,100,000 | 386,743 |
| Series 2008 B, 0% 5/15/57 | | 2,100,000 | 117,266 |
| GDB Debt Recovery Auth. Series 2018, 7.5% 8/20/40 | | 4,767,009 | 4,183,050 |
| Puerto Rico Commonwealth Aqueduct & Swr. Auth.: | | | |
| Series 2008 A, 6.125% 7/1/24 | | 85,000 | 85,728 |
| Series 2020 A: | | | |
5% 7/1/25 (e) | | 3,185,000 | 3,200,665 |
5% 7/1/30 (e) | | 2,810,000 | 2,841,263 |
5% 7/1/35 (e) | | 5,880,000 | 5,912,453 |
5% 7/1/47 (e) | | 20,975,000 | 20,269,693 |
| Series 2021 A: | | | |
4% 7/1/42 (e) | | 1,705,000 | 1,479,654 |
5% 7/1/33 (e) | | 760,000 | 767,126 |
| Series 2021 B: | | | |
4% 7/1/42 (e) | | 1,785,000 | 1,549,080 |
4% 7/1/47 (e) | | 1,000,000 | 828,500 |
5% 7/1/25 (e) | | 485,000 | 487,385 |
5% 7/1/29 (e) | | 1,560,000 | 1,578,848 |
5% 7/1/33 (e) | | 935,000 | 943,767 |
5% 7/1/37 (e) | | 8,335,000 | 8,334,661 |
| Series 2021 C, 3.5% 7/1/26 (e) | | 425,000 | 407,092 |
| Series 2022 A: | | | |
4% 7/1/42 (e) | | 9,285,000 | 8,057,821 |
4% 7/1/47 (e) | | 780,000 | 646,230 |
5% 7/1/25 (e) | | 760,000 | 763,738 |
5% 7/1/28 (e) | | 775,000 | 784,443 |
5% 7/1/29 (e) | | 540,000 | 546,524 |
5% 7/1/33 (e) | | 4,360,000 | 4,403,525 |
5% 7/1/37 (e) | | 9,555,000 | 9,554,285 |
| Puerto Rico Commonwealth Hwys & Tra: | | | |
| Series 2022 A, 5% 7/1/62 | | 5,457,355 | 5,389,138 |
| Series 2022 B, 0% 7/1/32 | | 4,510,000 | 2,919,893 |
| Series 2022 C, 0% 7/1/53 | | 6,662,736 | 4,297,437 |
| Puerto Rico Commonwealth Pub. Impt. Gen. Oblig.: | | | |
| Series 2021 A1: | | | |
0% 7/1/24 | | 344,875 | 336,579 |
0% 7/1/33 | | 10,530,725 | 6,410,091 |
4% 7/1/33 | | 10,485,896 | 9,786,399 |
4% 7/1/35 | | 7,984,553 | 7,302,186 |
4% 7/1/37 | | 10,954,057 | 9,783,663 |
4% 7/1/46 | | 4,516,858 | 3,748,930 |
5.625% 7/1/27 | | 5,072,148 | 5,295,891 |
5.625% 7/1/29 | | 6,265,770 | 6,622,336 |
5.75% 7/1/31 | | 5,593,928 | 6,016,059 |
| Series 2022 A1: | | | |
4% 7/1/41 | | 3,603,018 | 3,108,733 |
5.375% 7/1/25 | | 6,472,021 | 6,583,561 |
| Series 2022: | | | |
0% 11/1/43 (b) | | 11,650,477 | 6,058,248 |
0% 11/1/51 | | 4,214,832 | 2,207,518 |
| Puerto Rico Elec. Pwr. Auth. Pwr. Rev.: | | | |
| Series 2003, 4.75% 7/1/33 | | 155,000 | 150,126 |
| Series 2004, 5% 7/1/24 | | 530,000 | 530,079 |
| Series 2005 RR, 5% 7/1/28 (CIFG North America Insured) | | 20,000 | 19,862 |
| Series 2005 SS, 4.375% 7/1/30 | | 95,000 | 91,152 |
| Series 2005, 5% 7/1/24 | | 705,000 | 705,116 |
| Series 2007 UU: | | | |
3 month U.S. LIBOR + 0.520% 4.31% 7/1/29 (Assured Guaranty Muni. Corp. Insured) (b)(c) | | 300,000 | 281,548 |
4.25% 7/1/27 (CIFG North America Insured) | | 295,000 | 286,806 |
| Series 2007: | | | |
5% (j) | | 10,000 | 2,500 |
5% (j) | | 155,000 | 38,750 |
5% (j) | | 415,000 | 103,750 |
5% 7/1/24 | | 205,000 | 205,105 |
5% 7/1/24 | | 625,000 | 156,250 |
5% 7/1/24 (Assured Guaranty Muni. Corp. Insured) | | 500,000 | 499,548 |
5% 7/1/25 | | 195,000 | 48,750 |
5% 7/1/25 | | 40,000 | 40,006 |
5% 7/1/26 | | 5,000 | 5,003 |
5% 7/1/26 | | 240,000 | 60,000 |
5% 7/1/27 | | 740,000 | 185,000 |
5% 7/1/32 | | 1,045,000 | 261,250 |
5% 7/1/37 | | 2,265,000 | 566,250 |
5% 12/31/49 | | 360,000 | 90,000 |
5.25% 7/1/25 | | 55,000 | 54,561 |
5.25% 7/1/26 | | 495,000 | 489,781 |
5.25% 7/1/29 | | 625,000 | 620,096 |
5.25% 7/1/30 | | 655,000 | 649,522 |
5.25% 7/1/34 | | 95,000 | 94,161 |
| Series 2008 WW: | | | |
5% 7/1/28 | | 425,000 | 106,250 |
5.25% 7/1/25 | | 170,000 | 42,500 |
5.25% 7/1/33 | | 1,165,000 | 291,250 |
5.375% (j) | | 75,000 | 18,750 |
5.5% (j) | | 130,000 | 32,500 |
5.5% 7/1/38 | | 1,250,000 | 312,500 |
| Series 2010 AAA: | | | |
5.25% (j) | | 180,000 | 45,000 |
5.25% 7/1/25 | | 15,000 | 3,750 |
5.25% 7/1/27 | | 205,000 | 51,250 |
5.25% 7/1/29 | | 705,000 | 176,250 |
5.25% 7/1/30 | | 85,000 | 21,250 |
| Series 2010 BBB, 5.4% 7/1/28 | | 250,000 | 58,125 |
| Series 2010 CCC: | | | |
4.625% 7/1/25 | | 5,000 | 1,250 |
5% (j) | | 125,000 | 31,250 |
5% 7/1/24 | | 240,000 | 60,000 |
5% 7/1/27 | | 50,000 | 12,500 |
5% 7/1/28 | | 150,000 | 37,500 |
5.25% 7/1/26 | | 280,000 | 70,000 |
5.25% 7/1/27 | | 2,040,000 | 510,000 |
5.25% 7/1/28 | | 545,000 | 136,250 |
| Series 2010 DDD: | | | |
3.3% (j) | | 5,000 | 1,250 |
3.625% (j) | | 105,000 | 26,250 |
3.65% 7/1/24 (Assured Guaranty Muni. Corp. Insured) | | 405,000 | 401,531 |
5% (j) | | 90,000 | 22,500 |
5% (j) | | 1,705,000 | 426,250 |
5% (j) | | 1,375,000 | 343,750 |
| Series 2010 EEE: | | | |
5.95% 7/1/30 | | 950,000 | 220,875 |
6.05% 7/1/32 | | 805,000 | 187,163 |
6.25% 7/1/40 | | 250,000 | 58,125 |
| Series 2010 XX: | | | |
4.75% 7/1/26 | | 60,000 | 15,000 |
5.25% 7/1/27 | | 55,000 | 13,750 |
5.25% 7/1/35 | | 640,000 | 160,000 |
5.25% 7/1/40 | | 5,130,000 | 1,282,500 |
5.75% 7/1/36 | | 355,000 | 88,750 |
| Series 2010 YY, 6.125% 7/1/40 | | 1,600,000 | 372,000 |
| Series 2010 ZZ: | | | |
3.7% (j) | | 35,000 | 8,750 |
4.75% 7/1/27 | | 50,000 | 12,500 |
5% (j) | | 520,000 | 130,000 |
5% (j) | | 350,000 | 87,500 |
5% (j) | | 65,000 | 16,250 |
5% 7/1/28 | | 50,000 | 12,500 |
5.25% (j) | | 475,000 | 118,750 |
5.25% 7/1/24 | | 280,000 | 70,000 |
5.25% 7/1/26 | | 1,310,000 | 327,500 |
5.25% 12/31/49 | | 895,000 | 223,750 |
| Series 2012 A: | | | |
5% 7/1/29 | | 3,885,000 | 971,250 |
5% 7/1/42 | | 4,230,000 | 1,057,500 |
5.05% 7/1/42 | | 530,000 | 132,500 |
| Series 2013 A: | | | |
6.75% 7/1/36 | | 2,305,000 | 576,250 |
7% 7/1/43 | | 250,000 | 62,500 |
| Puerto Rico Indl. Tourist Edl., Med. and Envir. Fing. Auth. Series 2000 A, 5% 7/1/33 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | | 520,000 | 506,707 |
| Puerto Rico Muni. Fin. Agcy. Series 2002 A, 5% 8/1/27 (Assured Guaranty Muni. Corp. Insured) | | 25,000 | 25,153 |
| Puerto Rico Sales Tax Fing. Corp. Sales Tax Rev.: | | | |
| Series 2018 A1: | | | |
0% 7/1/24 | | 13,000 | 12,702 |
0% 7/1/27 | | 4,414,000 | 3,806,991 |
0% 7/1/29 | | 1,710,000 | 1,350,402 |
0% 7/1/31 | | 810,000 | 583,358 |
0% 7/1/33 | | 6,585,000 | 4,308,253 |
0% 7/1/46 | | 29,337,000 | 8,620,469 |
0% 7/1/51 | | 41,325,000 | 8,939,019 |
4.55% 7/1/40 | | 2,828,000 | 2,747,898 |
4.75% 7/1/53 | | 24,784,000 | 23,392,936 |
5% 7/1/58 | | 24,205,000 | 23,468,679 |
| Series 2019 A1, 4.5% 7/1/34 | | 84,000 | 83,299 |
| Series 2019 A2: | | | |
4.329% 7/1/40 | | 17,605,000 | 16,663,955 |
4.329% 7/1/40 | | 831,000 | 786,599 |
4.536% 7/1/53 | | 448,000 | 408,301 |
4.784% 7/1/58 | | 2,349,000 | 2,207,038 |
| Univ. of Puerto Rico Series 2006 P, 5% 6/1/25 | | 70,000 | 70,066 |
TOTAL PUERTO RICO | | | 279,003,408 |
| Rhode Island - 0.2% | | | |
| Rhode Island Health & Edl. Bldg. Corp. Higher Ed. Facilities Rev.: | | | |
| Series 2016 B: | | | |
5% 9/1/31 | | 270,000 | 263,416 |
5% 9/1/36 | | 2,760,000 | 2,593,686 |
| Series 2016: | | | |
5% 5/15/34 | | 385,000 | 388,213 |
5% 5/15/39 | | 1,915,000 | 1,916,855 |
| Rhode Island Health and Edl. Bldg. Corp. Higher Ed. Facility Rev.: | | | |
| Series 2009 B, 5.25% 9/15/29 | | 285,000 | 285,176 |
| Series 2021 B: | | | |
4% 11/1/37 | | 140,000 | 141,310 |
4% 11/1/38 | | 145,000 | 146,212 |
4% 11/1/39 | | 180,000 | 180,596 |
4% 11/1/40 | | 190,000 | 189,992 |
| Rhode Island Hsg. & Mtg. Fin. Corp.: | | | |
| Series 2019 70, 4% 10/1/49 | | 215,000 | 213,695 |
| Series 2021 74, 3% 4/1/49 | | 1,775,000 | 1,721,624 |
| Series 2023 80A, 4.65% 10/1/53 | | 2,000,000 | 1,994,685 |
| Rhode Island Hsg. & Mtg. Fin. Corp. Rev. Series 72 A, 3.5% 10/1/50 | | 360,000 | 353,602 |
| Rhode Island Student Ln. Auth. Student Ln. Rev.: | | | |
| Series 2020 A, 3.625% 12/1/37 (d) | | 990,000 | 917,799 |
| Series 2021 A: | | | |
2.25% 12/1/39 (d) | | 450,000 | 375,198 |
5% 12/1/28 (d) | | 185,000 | 196,552 |
5% 12/1/29 (d) | | 145,000 | 155,750 |
5% 12/1/30 (d) | | 135,000 | 144,890 |
| Series 2022 1, 4.125% 12/1/41 (d) | | 1,395,000 | 1,339,099 |
| Series 2023 A: | | | |
4.125% 12/1/42 (d) | | 2,040,000 | 1,935,053 |
5% 12/1/30 (d) | | 2,355,000 | 2,527,524 |
| Series A: | | | |
3.5% 12/1/34 (d) | | 420,000 | 409,159 |
5% 12/1/24 (d) | | 540,000 | 546,388 |
5% 12/1/28 (d) | | 1,200,000 | 1,277,754 |
| Tobacco Settlement Fing. Corp. Series 2007 A, 0% 6/1/52 | | 3,300,000 | 540,760 |
TOTAL RHODE ISLAND | | | 20,754,988 |
| South Carolina - 0.7% | | | |
| Charleston County Arpt. District Series 2019: | | | |
| 5% 7/1/43 | | 445,000 | 464,652 |
| 5% 7/1/48 | | 790,000 | 817,951 |
| Connector 2000 Assoc., Inc. Toll Road Rev. Series 2011 A1: | | | |
| 0% 1/1/32 | | 1,875,935 | 1,081,345 |
| 0% 1/1/42 | | 6,087,835 | 1,707,021 |
| 0% 7/22/51 | | 14,681,132 | 1,839,289 |
| Horry County S C Ltd. Oblig. Series 2022, 4.5% 9/1/52 | | 3,500,000 | 3,490,965 |
| Lexington County Health Svcs. District, Inc. Hosp. Rev. Series 2017, 5% 11/1/28 | | 135,000 | 142,789 |
| North Charleston Ltd. Oblig. Series 2017 A, 5% 10/1/40 | | 825,000 | 845,349 |
| Patriots Energy Group Fing. Agcy.: | | | |
| Bonds: | | | |
Series 2018 A, 4%, tender 2/1/24 (b) | | 1,510,000 | 1,511,700 |
Series 2023 A1, 5.25%, tender 8/1/31 (b) | | 1,005,000 | 1,057,121 |
Series 2023 B1, 5.25%, tender 3/1/31 (b) | | 4,725,000 | 5,014,459 |
| Series 2023 B3, 0.000% x U.S. Secured Overnight Fin. Rate (SOFR) Index 5.464% 2/1/54 (b)(c) | | 1,500,000 | 1,512,603 |
| Richland County Receivables District Series 2014, 3% 3/1/28 (Pre-Refunded to 3/1/24 @ 100) | | 1,200,000 | 1,198,876 |
| Rock Hill Util. Sys. Rev. Series 2019 A, 4% 1/1/49 | | 925,000 | 876,720 |
| Scago Edl. Facilities Corp. for Colleton School District (School District of Colleton County Proj.) Series 2015: | | | |
| 5% 12/1/25 | | 330,000 | 337,976 |
| 5% 12/1/28 | | 690,000 | 705,204 |
| South Carolina Hsg. Fin. & Dev. Auth. Mtg. Rev.: | | | |
| Series 2019 A, 4% 1/1/50 | | 370,000 | 367,419 |
| Series 2022 A: | | | |
5% 1/1/29 | | 15,000 | 16,164 |
5% 7/1/29 | | 30,000 | 32,505 |
5% 1/1/30 | | 30,000 | 32,590 |
5% 7/1/30 | | 30,000 | 32,675 |
5% 1/1/31 | | 30,000 | 32,644 |
5% 7/1/31 | | 30,000 | 32,792 |
| Series 2022 B, 5% 1/1/52 | | 3,145,000 | 3,245,638 |
| Series 2023 B, 6% 1/1/54 | | 710,000 | 775,636 |
| South Carolina Jobs-Econ. D Bonds (Int'l. Paper Co. Proj.) Series 2023 A, 4%, tender 4/1/26 (b)(d) | | 750,000 | 743,238 |
| South Carolina Jobs-Econ. Dev. Auth.: | | | |
| (Green Charter Schools Proj.) Series 2021 A, 4% 6/1/36 (e) | | 100,000 | 81,902 |
| Series 2016, 5.25% 7/1/47 | | 1,795,000 | 1,818,577 |
| Series 2017: | | | |
5% 4/1/47 | | 555,000 | 446,068 |
5% 4/1/52 | | 255,000 | 198,684 |
| Series 2018 A: | | | |
5% 5/1/35 | | 640,000 | 666,731 |
5% 5/1/36 | | 1,475,000 | 1,527,910 |
5% 4/1/48 | | 210,000 | 167,634 |
5% 5/1/48 | | 1,425,000 | 1,444,408 |
| Series 2019 C: | | | |
5% 7/1/32 | | 240,000 | 256,934 |
5% 7/1/33 | | 965,000 | 1,030,771 |
| Series 2023, 5.25% 2/1/53 | | 750,000 | 788,467 |
| South Carolina Jobs-Econ. Dev. Auth. Econ. Dev. Rev.: | | | |
| Series 2017, 5.25% 11/15/47 | | 350,000 | 311,978 |
| Series 2022 A, 4% 4/1/52 | | 200,000 | 183,793 |
| South Carolina Jobs-Econ. Dev. Auth. Hosp. Impt. Rev. Series 2020 A, 4% 12/1/44 | | 1,310,000 | 1,227,404 |
| South Carolina Jobs-Econ. Dev. Auth. Solid Waste Disp. Rev.: | | | |
| (Repower South Berkeley, LLC Proj.) Series 2017: | | | |
6% 2/1/35 (d)(e)(h) | | 890,000 | 89,000 |
6.25% 2/1/45 (d)(e)(h) | | 1,795,000 | 179,500 |
| Series 2019, 8% 12/6/29 (h) | | 280,000 | 224,000 |
| South Carolina Jobs-Economoc Dev. Auth. Retirement Cmnty. Rev. Series 2018 C, 5% 11/15/47 | | 570,000 | 540,279 |
| South Carolina Ports Auth. Ports Rev.: | | | |
| Series 2015: | | | |
5.25% 7/1/50 (Pre-Refunded to 7/1/25 @ 100) (d) | | 655,000 | 670,607 |
5.25% 7/1/55 (Pre-Refunded to 7/1/25 @ 100) (d) | | 135,000 | 138,217 |
| Series 2018: | | | |
5% 7/1/37 (d) | | 180,000 | 187,504 |
5% 7/1/38 (d) | | 385,000 | 398,758 |
5% 7/1/43 (d) | | 965,000 | 985,715 |
5% 7/1/48 (d) | | 665,000 | 673,397 |
| Series 2019 B: | | | |
4% 7/1/35 (d) | | 725,000 | 732,604 |
4% 7/1/37 (d) | | 1,125,000 | 1,117,615 |
4% 7/1/39 (d) | | 1,115,000 | 1,080,209 |
5% 7/1/44 (d) | | 1,705,000 | 1,745,228 |
| South Carolina Pub. Svc. Auth. Rev.: | | | |
| Series 2014 A, 5% 12/1/49 | | 500,000 | 500,395 |
| Series 2014 C, 5% 12/1/26 | | 5,000 | 5,060 |
| Series 2015 E, 5.25% 12/1/55 | | 745,000 | 752,021 |
| Series 2016 A: | | | |
5% 12/1/29 | | 365,000 | 376,962 |
5% 12/1/32 | | 1,500,000 | 1,553,035 |
5% 12/1/33 | | 15,000 | 15,398 |
5% 12/1/38 | | 35,000 | 35,421 |
| Series 2016 B: | | | |
5% 12/1/31 | | 135,000 | 139,765 |
5% 12/1/35 | | 205,000 | 210,115 |
5% 12/1/36 | | 305,000 | 310,867 |
5% 12/1/41 | | 1,835,000 | 1,856,772 |
5% 12/1/46 | | 1,250,000 | 1,263,665 |
| Series 2016 C: | | | |
5% 12/1/24 | | 30,000 | 30,370 |
5% 12/1/25 | | 35,000 | 35,882 |
5% 12/1/26 | | 55,000 | 57,489 |
| Series 2020 A: | | | |
4% 12/1/40 | | 550,000 | 544,323 |
5% 12/1/31 | | 600,000 | 659,613 |
| Series 2021 A, 4% 12/1/36 | | 2,000,000 | 2,003,023 |
| Series 2021 B: | | | |
4% 12/1/47 | | 1,000,000 | 945,005 |
5% 12/1/51 | | 1,475,000 | 1,508,990 |
| Series 2022 A, 5% 12/1/36 | | 2,250,000 | 2,467,028 |
| Series 2022 B: | | | |
4% 12/1/29 | | 741,000 | 764,401 |
4% 12/1/46 | | 250,000 | 237,555 |
4% 12/1/48 | | 250,000 | 232,927 |
4% 12/1/54 | | 250,000 | 227,316 |
4% 12/1/55 (Build America Mutual Assurance Insured) | | 250,000 | 227,078 |
| Series 2022 E: | | | |
5% 12/1/52 (Assured Guaranty Muni. Corp. Insured) | | 2,800,000 | 2,909,778 |
5.5% 12/1/42 (Assured Guaranty Muni. Corp. Insured) | | 1,250,000 | 1,375,385 |
| Series A, 5% 12/1/23 (Escrowed to Maturity) | | 970,000 | 970,000 |
| South Carolina Student Ln. Corp. Series 2020 A: | | | |
| 2.641% 12/1/26 | | 1,705,000 | 1,562,873 |
| 2.771% 12/1/27 | | 790,000 | 708,955 |
| 2.923% 12/1/28 | | 585,000 | 514,082 |
| 2.993% 12/1/29 | | 380,000 | 325,380 |
| 3.043% 12/1/30 | | 120,000 | 99,950 |
| 3.593% 12/1/39 | | 425,000 | 403,698 |
| South Carolina Trans. Infrastructure Bank Rev. Series 2017 A: | | | |
| 5% 10/1/35 (Assured Guaranty Muni. Corp. Insured) | | 800,000 | 847,261 |
| 5% 10/1/36 | | 2,050,000 | 2,160,426 |
| Spartanburg County Reg'l. Health: | | | |
| Series 2017 A: | | | |
4% 4/15/43 | | 2,835,000 | 2,629,319 |
4% 4/15/48 | | 1,975,000 | 1,746,136 |
5% 4/15/48 | | 7,110,000 | 7,248,341 |
| Series 2020 A, 4% 4/15/45 (Assured Guaranty Muni. Corp. Insured) | | 230,000 | 215,210 |
TOTAL SOUTH CAROLINA | | | 87,506,485 |
| South Dakota - 0.0% | | | |
| Sioux Falls Health Facilities Rev. (Dow Rummel Village Proj.) Series 2017: | | | |
| 5% 11/1/28 | | 200,000 | 195,487 |
| 5% 11/1/30 | | 215,000 | 207,324 |
| 5% 11/1/32 | | 195,000 | 185,166 |
| 5% 11/1/42 | | 280,000 | 239,811 |
| South Dakota Edl. Enhancement Fdg. Corp. Rev. Series 2021: | | | |
| 0.961% 6/1/24 | | 425,000 | 415,225 |
| 1.245% 6/1/25 | | 745,000 | 698,941 |
| 1.495% 6/1/26 | | 530,000 | 482,441 |
| South Dakota Health & Edl. Facilities Auth. Rev.: | | | |
| (Avera Health Proj.) Series 2017, 5% 7/1/31 | | 80,000 | 85,251 |
| Bonds Series 2019 A, 5%, tender 7/1/24 (b) | | 100,000 | 100,376 |
| Series 2017: | | | |
5% 7/1/26 | | 35,000 | 36,495 |
5% 7/1/28 | | 35,000 | 37,456 |
5% 7/1/29 | | 70,000 | 74,879 |
5% 7/1/30 | | 45,000 | 48,112 |
5% 7/1/35 | | 40,000 | 42,053 |
5% 9/1/40 | | 670,000 | 683,849 |
| Series 2020 A, 3% 9/1/45 | | 1,465,000 | 1,102,579 |
| South Dakota Hsg. Dev. Auth. Series 2022 B, 3% 11/1/52 | | 665,000 | 638,084 |
TOTAL SOUTH DAKOTA | | | 5,273,529 |
| Tennessee - 0.9% | | | |
| Blount County Health & Edl. Facilities Board Rev. Series 2016 A, 5% 1/1/47 | | 1,150,000 | 264,500 |
| Chattanooga Health Ed. & Hsg. Facility Board Rev.: | | | |
| (CDFI Phase I, LLC - Univ. of Tennessee at Chattanooga Proj.) Series 2015, 5% 10/1/35 | | 385,000 | 389,254 |
| Series 2019 A1: | | | |
4% 8/1/44 | | 1,680,000 | 1,520,920 |
5% 8/1/25 | | 40,000 | 40,798 |
| Series 2019 A2: | | | |
5% 8/1/37 | | 50,000 | 52,381 |
5% 8/1/44 | | 710,000 | 724,591 |
| Chattanooga-Hamilton County Hosp. Auth. Rev. Series 2014 A, 5% 10/1/44 | | 300,000 | 300,061 |
| Clarksville Wtr. Swr. and Gas Rev. Series 2021 A, 4% 2/1/51 | | 4,000,000 | 3,857,514 |
| Greeneville Health & Edl. Facilities Board Series 2018 A, 5% 7/1/36 | | 960,000 | 998,046 |
| Jackson Hosp. Rev. Series 2018 A: | | | |
| 5% 4/1/27 | | 40,000 | 41,494 |
| 5% 4/1/28 | | 25,000 | 26,043 |
| 5% 4/1/41 | | 1,375,000 | 1,405,606 |
| 5% 4/1/41 (Pre-Refunded to 10/1/28 @ 100) | | 65,000 | 70,909 |
| Knox County Health Edl. & Hsg. Facilities: | | | |
| Series 2012 A, 5% 1/1/26 | | 385,000 | 388,628 |
| Series 2016 A, 5% 1/1/42 | | 1,495,000 | 1,514,565 |
| Knox County Health Edl. & Hsg. Facilities Board Rev.: | | | |
| Series 2017: | | | |
5% 4/1/30 | | 165,000 | 169,990 |
5% 4/1/36 | | 595,000 | 604,680 |
| Series 2020 A: | | | |
5% 9/1/30 | | 1,230,000 | 1,292,890 |
5% 9/1/40 | | 3,525,000 | 3,503,074 |
| Memphis-Shelby County Arpt. Auth. Arpt. Rev.: | | | |
| Series 2018, 5% 7/1/37 (d) | | 565,000 | 586,162 |
| Series 2021 A: | | | |
5% 7/1/34 (d) | | 785,000 | 851,866 |
5% 7/1/35 (d) | | 825,000 | 891,357 |
5% 7/1/36 (d) | | 870,000 | 932,565 |
5% 7/1/37 (d) | | 910,000 | 966,301 |
5% 7/1/38 (d) | | 960,000 | 1,010,382 |
5% 7/1/39 (d) | | 1,005,000 | 1,052,937 |
5% 7/1/40 (d) | | 415,000 | 434,560 |
| Metropolitan Govt. Nashville (Ben Allen Ridge Apts. Proj.) Series 2022 A, 4.75% 2/1/48 | | 2,244,801 | 2,221,904 |
| Metropolitan Govt. Nashville & Davidson County Sports Auth. Rev.: | | | |
| Series 2023 A: | | | |
5.25% 7/1/53 (Assured Guaranty Muni. Corp. Insured) | | 3,050,000 | 3,285,240 |
5.25% 7/1/56 | | 3,250,000 | 3,489,662 |
| Series 2023 B: | | | |
5.25% 7/1/53 (Assured Guaranty Muni. Corp. Insured) | | 1,205,000 | 1,293,859 |
5.25% 7/1/56 | | 1,395,000 | 1,494,340 |
| Metropolitan Govt. Nashville & Davidson County Wtr. & Swr. Sys. Rev.: | | | |
| Series 2017 A, 5% 7/1/42 | | 480,000 | 495,798 |
| Series 2017 B: | | | |
5% 7/1/42 | | 600,000 | 619,748 |
5% 7/1/46 | | 950,000 | 976,400 |
| Series 2021 A, 3% 7/1/40 | | 500,000 | 416,015 |
| Metropolitan Govt. of Nashville & Davidson County: | | | |
| Series 2021 B, 4% 10/1/51 | | 250,000 | 201,377 |
| Series 2021, 4% 5/1/51 | | 600,000 | 564,387 |
| Series 2023: | | | |
5% 5/1/35 | | 1,000,000 | 1,115,317 |
5% 5/1/36 | | 1,055,000 | 1,165,636 |
5% 5/1/41 | | 1,000,000 | 1,061,070 |
5% 5/1/42 | | 1,315,000 | 1,387,740 |
5.25% 5/1/53 | | 2,000,000 | 2,109,076 |
| Metropolitan Nashville Arpt. Auth. Rev.: | | | |
| Series 2015 B, 4% 7/1/25 (d) | | 310,000 | 310,758 |
| Series 2019 A, 4% 7/1/49 | | 1,285,000 | 1,196,521 |
| Series 2019 B: | | | |
4% 7/1/49 (d) | | 2,500,000 | 2,216,032 |
5% 7/1/27 (d) | | 435,000 | 455,036 |
5% 7/1/28 (d) | | 675,000 | 715,199 |
5% 7/1/35 (d) | | 360,000 | 385,584 |
5% 7/1/38 (d) | | 2,325,000 | 2,433,010 |
5% 7/1/44 (d) | | 3,310,000 | 3,398,287 |
5% 7/1/54 (d) | | 4,300,000 | 4,362,787 |
| Series 2022 B: | | | |
5.5% 7/1/41 (d) | | 625,000 | 681,991 |
5.5% 7/1/52 (d) | | 4,695,000 | 5,003,188 |
| Nashville and Davidson County Metropolitan Govt. Health & Edl. Facilities Board Rev.: | | | |
| (Lipscomb Univ. Proj.) Series 2019 A: | | | |
4% 10/1/49 | | 1,000,000 | 817,756 |
5.25% 10/1/58 | | 865,000 | 856,969 |
| Series 2016 A: | | | |
5% 7/1/35 | | 830,000 | 845,395 |
5% 7/1/40 | | 460,000 | 465,334 |
| New Memphis Arena Bldg. Auth. (City of Memphis Proj.) Series 2021: | | | |
| 0% 4/1/32 | | 120,000 | 84,372 |
| 0% 4/1/33 | | 170,000 | 113,896 |
| 0% 4/1/34 | | 100,000 | 63,941 |
| 0% 4/1/35 | | 130,000 | 79,082 |
| 0% 4/1/36 | | 125,000 | 71,657 |
| 0% 4/1/37 | | 150,000 | 80,596 |
| 0% 4/1/38 | | 125,000 | 63,592 |
| Rutherford County Gen. Oblig. Series 2020, 1.875% 4/1/39 | | 750,000 | 535,916 |
| Shelby County Health Edl. & Hsg. Facilities Board Rev. (Methodist Le Bonheur Health Proj.) Series 2017 A: | | | |
| 5% 5/1/27 | | 70,000 | 73,813 |
| 5% 5/1/29 | | 70,000 | 73,406 |
| 5% 5/1/30 | | 135,000 | 141,436 |
| 5% 5/1/31 | | 70,000 | 73,294 |
| Shelby County Health Edl. & Hsg. Facility Board Residential Care Facilitiy Mtg. Rev. Series 2014: | | | |
| 5% 12/1/34 | | 70,000 | 65,441 |
| 5.25% 12/1/44 | | 165,000 | 145,677 |
| 5.25% 12/1/49 | | 470,000 | 405,680 |
| Tennergy Corp. Gas Rev. Bonds: | | | |
| Series 2019 A, 5%, tender 10/1/24 (b) | | 130,000 | 130,714 |
| Series 2022 A, 5.5%, tender 12/1/30 (b) | | 5,150,000 | 5,358,808 |
| Tennessee Energy Acquisition Corp.: | | | |
| Bonds: | | | |
Series 2018, 4%, tender 11/1/25 (b) | | 8,265,000 | 8,211,775 |
Series 2021 A, 5%, tender 11/1/31 (b) | | 225,000 | 233,534 |
Series 2023 A1, 5%, tender 5/1/28 (b) | | 5,000,000 | 5,113,146 |
| Series 2006 A: | | | |
5.25% 9/1/24 | | 1,995,000 | 2,008,426 |
5.25% 9/1/26 | | 2,270,000 | 2,326,346 |
| Tennessee Gen. Oblig. Series 2023 A: | | | |
| 5% 5/1/36 | | 2,760,000 | 3,202,453 |
| 5% 5/1/40 | | 1,995,000 | 2,228,858 |
| 5% 5/1/42 | | 1,245,000 | 1,377,593 |
| Tennessee Hsg. Dev. Agcy. Series 2015 A, 3.5% 7/1/45 | | 565,000 | 559,233 |
| Tennessee Hsg. Dev. Agcy. Residential: | | | |
| Series 2014 2C, 4% 1/1/45 | | 50,000 | 49,880 |
| Series 2018 1, 4% 1/1/43 | | 245,000 | 243,727 |
| Series 2018 3, 4.25% 7/1/49 | | 300,000 | 299,436 |
| Series 2019 1, 3.75% 7/1/39 | | 180,000 | 168,172 |
| Series 2019 3: | | | |
2.6% 7/1/39 | | 190,000 | 146,576 |
2.8% 7/1/44 | | 230,000 | 171,846 |
| Series 2019 4, 2.9% 7/1/39 | | 135,000 | 109,740 |
| Series 2021 1, 3% 7/1/51 | | 1,995,000 | 1,929,850 |
| Series 2021 3A, 3% 1/1/52 | | 800,000 | 767,989 |
| Series 2022 1: | | | |
5% 7/1/28 | | 425,000 | 456,809 |
5% 1/1/29 | | 230,000 | 247,853 |
5% 7/1/29 | | 400,000 | 433,396 |
5% 1/1/30 | | 465,000 | 503,818 |
5% 7/1/30 | | 470,000 | 516,254 |
5% 1/1/31 | | 220,000 | 242,280 |
5% 7/1/31 | | 500,000 | 553,523 |
TOTAL TENNESSEE | | | 109,597,324 |
| Texas - 4.7% | | | |
| Anna Independent School District Series 2023, 4.125% 2/15/53 | | 205,000 | 199,108 |
| Arlington Higher Ed. Fin. Corp.: | | | |
| Bonds Series 2021, 4.5%, tender 6/15/26 (b)(e) | | 200,000 | 197,881 |
| Series 2017 A, 5% 12/1/47 | | 565,000 | 577,282 |
| Series 2022: | | | |
4.25% 8/15/47 | | 1,730,000 | 1,680,966 |
5% 8/15/47 | | 785,000 | 837,132 |
5% 8/15/57 | | 1,190,000 | 1,261,515 |
| Series 2023, 5% 8/15/48 | | 2,700,000 | 2,881,700 |
| Arlington Spl. Tax Rev. Series 2018 A: | | | |
| 5% 2/15/43 (Assured Guaranty Muni. Corp. Insured) | | 3,170,000 | 3,286,090 |
| 5% 2/15/48 (Assured Guaranty Muni. Corp. Insured) | | 1,760,000 | 1,815,596 |
| Austin Arpt. Sys. Rev.: | | | |
| Series 2014: | | | |
5% 11/15/26 (d) | | 1,625,000 | 1,635,214 |
5% 11/15/27 (d) | | 150,000 | 150,909 |
5% 11/15/28 (d) | | 185,000 | 186,062 |
5% 11/15/39 (d) | | 1,685,000 | 1,687,324 |
5% 11/15/44 (d) | | 2,050,000 | 2,052,459 |
| Series 2017 B: | | | |
5% 11/15/28 (d) | | 120,000 | 123,667 |
5% 11/15/30 (d) | | 185,000 | 189,695 |
5% 11/15/32 (d) | | 150,000 | 152,853 |
5% 11/15/35 (d) | | 150,000 | 152,039 |
5% 11/15/36 (d) | | 255,000 | 258,326 |
5% 11/15/37 (d) | | 175,000 | 177,299 |
5% 11/15/41 (d) | | 1,395,000 | 1,407,845 |
| Series 2019 B: | | | |
5% 11/15/32 (d) | | 1,700,000 | 1,828,720 |
5% 11/15/36 (d) | | 1,150,000 | 1,216,460 |
5% 11/15/44 (d) | | 2,320,000 | 2,384,047 |
| Series 2022: | | | |
5% 11/15/39 (d) | | 1,260,000 | 1,333,907 |
5% 11/15/52 (d) | | 825,000 | 844,962 |
5.25% 11/15/47 (d) | | 1,815,000 | 1,915,351 |
| Austin Convention Enterprises, Inc.: | | | |
| Series 2017 A: | | | |
5% 1/1/28 | | 125,000 | 127,551 |
5% 1/1/29 | | 150,000 | 153,099 |
5% 1/1/30 | | 290,000 | 295,579 |
5% 1/1/31 | | 630,000 | 641,859 |
5% 1/1/32 | | 470,000 | 478,514 |
5% 1/1/33 | | 440,000 | 447,538 |
5% 1/1/34 | | 885,000 | 900,157 |
| Series 2017 B: | | | |
5% 1/1/26 | | 410,000 | 408,538 |
5% 1/1/28 | | 135,000 | 135,211 |
5% 1/1/29 | | 160,000 | 160,153 |
5% 1/1/30 | | 95,000 | 94,928 |
5% 1/1/32 | | 315,000 | 313,481 |
5% 1/1/34 | | 490,000 | 488,553 |
| Austin Gen. Oblig. Series 2022, 5% 9/1/25 | | 5,635,000 | 5,830,195 |
| Austin Wtr. & Wastewtr. Sys. Rev.: | | | |
| Series 2012, 5% 11/15/27 | | 125,000 | 125,138 |
| Series 2015 A, 3.35% 5/15/29 | | 750,000 | 727,759 |
| Bastrop Independent School District Series 2023, 5% 2/15/53 | | 250,000 | 267,508 |
| Belton Independent School District Series 2022, 4% 2/15/52 | | 605,000 | 577,914 |
| Bexar County Health Facilities Dev. Corp. Rev. Series 2016, 4% 7/15/36 | | 360,000 | 291,922 |
| Bexar County Hosp. District: | | | |
| Series 2018, 4% 2/15/37 | | 750,000 | 757,401 |
| Series 2023: | | | |
5% 2/15/41 | | 1,400,000 | 1,515,687 |
5% 2/15/42 | | 1,000,000 | 1,077,489 |
5% 2/15/48 | | 1,000,000 | 1,064,457 |
| Board of Managers, Joint Guadalupe County, City of Seguin Hosp. Series 2015: | | | |
| 5% 12/1/28 | | 195,000 | 194,904 |
| 5% 12/1/29 | | 500,000 | 497,375 |
| 5% 12/1/30 | | 240,000 | 237,671 |
| 5% 12/1/40 | | 965,000 | 893,594 |
| 5% 12/1/45 | | 935,000 | 834,870 |
| 5.25% 12/1/35 | | 290,000 | 290,133 |
| Brazos County Gen. Oblig. Series 2020, 2.125% 9/1/40 | | 1,100,000 | 769,686 |
| Brazos Higher Ed. Auth.: | | | |
| Series 2020 1A, 2.35% 4/1/40 (d) | | 10,000 | 9,928 |
| Series 2020 1B, 3% 4/1/40 (d) | | 190,000 | 154,125 |
| Series 2021 1A, 5.125% 4/1/43 (d) | | 3,505,000 | 3,664,265 |
| Series 2021 A, 3.414% 4/1/40 | | 15,000 | 14,872 |
| Brock Independent School District Series 2023, 4% 8/15/48 | | 2,025,000 | 1,971,701 |
| Bryan Tex For Previous Issuess Series 2020, 2.125% 8/15/34 | | 525,000 | 437,111 |
| Calhoun County Navigation Indl. Dev. Auth. (Max Midstream Texas, LLC Proj.): | | | |
| Series 2021 A, 3.625% 7/1/26 (d)(e) | | 650,000 | 598,375 |
| Series 2021 B, 6.5% 7/1/26 (e) | | 550,000 | 518,213 |
| Cedar Park Series 2020, 1.125% 2/15/32 | | 1,570,000 | 1,219,816 |
| Cedar Port Nav & Impt. District Tex Series 2023: | | | |
| 4.5% 9/1/48 | | 1,245,000 | 1,206,497 |
| 4.5% 9/1/52 | | 505,000 | 485,116 |
| Celina Tex Series 2021, 1.75% 9/1/35 | | 3,340,000 | 2,539,887 |
| Central Reg'l. Mobility Auth.: | | | |
| Series 2015 A: | | | |
5% 1/1/28 | | 325,000 | 334,295 |
5% 1/1/31 (Pre-Refunded to 7/1/25 @ 100) | | 55,000 | 56,655 |
5% 1/1/40 (Pre-Refunded to 7/1/25 @ 100) | | 1,670,000 | 1,720,266 |
5% 1/1/45 (Pre-Refunded to 7/1/25 @ 100) | | 1,085,000 | 1,117,658 |
| Series 2016, 4% 1/1/41 | | 250,000 | 234,045 |
| Series 2020 A, 5% 1/1/49 | | 220,000 | 224,335 |
| Series 2020 B: | | | |
4% 1/1/34 | | 20,000 | 20,425 |
4% 1/1/35 | | 15,000 | 15,238 |
4% 1/1/36 | | 15,000 | 15,138 |
4% 1/1/37 | | 20,000 | 20,042 |
4% 1/1/38 | | 30,000 | 29,542 |
4% 1/1/39 | | 40,000 | 39,216 |
4% 1/1/40 | | 15,000 | 14,592 |
5% 1/1/27 | | 15,000 | 15,802 |
5% 1/1/28 | | 15,000 | 16,069 |
5% 1/1/29 | | 55,000 | 59,563 |
5% 1/1/30 | | 25,000 | 27,359 |
5% 1/1/31 | | 15,000 | 16,386 |
5% 1/1/32 | | 15,000 | 16,313 |
5% 1/1/33 | | 20,000 | 21,723 |
5% 1/1/45 | | 100,000 | 102,824 |
| Series 2020 F, 5% 1/1/25 | | 1,000,000 | 1,007,978 |
| Series 2020 G, 4% 1/1/45 | | 1,070,000 | 970,003 |
| Series 2021 B: | | | |
4% 1/1/40 | | 105,000 | 102,144 |
4% 1/1/41 | | 80,000 | 77,200 |
4% 1/1/51 | | 2,770,000 | 2,513,535 |
5% 1/1/30 | | 65,000 | 71,134 |
5% 1/1/32 | | 80,000 | 88,130 |
5% 1/1/34 | | 70,000 | 76,725 |
5% 1/1/39 | | 105,000 | 110,577 |
5% 1/1/46 | | 3,340,000 | 3,435,127 |
| Series 2021 C, 5% 1/1/27 | | 2,780,000 | 2,864,937 |
| City of Denton Series 2020, 2% 2/15/37 | | 2,215,000 | 1,667,797 |
| Clifton Higher Ed. Fin. Corp. Ed. Rev.: | | | |
| Series 2013, 6% 8/15/43 | | 250,000 | 250,191 |
| Series 2018 D, 6.125% 8/15/48 | | 4,450,000 | 4,471,224 |
| Series 2021 T, 4% 8/15/47 | | 250,000 | 206,347 |
| Series 2022, 4.25% 8/15/52 | | 750,000 | 711,621 |
| College of the Mainland Series 2020, 4% 8/15/44 | | 475,000 | 462,954 |
| Collin County Cmnty. College District Series 2018, 3.5% 8/15/37 | | 750,000 | 699,383 |
| Comal Independent School District Series 2022, 3% 2/1/40 | | 2,500,000 | 2,128,701 |
| Conroe Independent School District Series 2022, 3% 2/15/41 | | 5,000,000 | 4,205,083 |
| Conroe Local Govt. Corp. Hotel Rev. Series 2021 C, 4% 10/1/46 | | 70,000 | 63,700 |
| Conroe Local Govt. Hotel Rev.: | | | |
| Series 2021 A: | | | |
2.5% 10/1/31 | | 90,000 | 75,733 |
4% 10/1/50 | | 540,000 | 419,629 |
| Series 2021 B: | | | |
3.5% 10/1/31 (e) | | 45,000 | 38,232 |
5% 10/1/50 (e) | | 390,000 | 311,654 |
| Crowley Independent School Dis Series 2023, 5.25% 2/1/53 | | 3,505,000 | 3,841,436 |
| Cypress-Fairbanks Independent School District: | | | |
| Series 2015 A, 3.3% 2/15/30 | | 500,000 | 495,811 |
| Series 2023, 4% 2/15/48 | | 545,000 | 528,669 |
| Dallas Area Rapid Transit Sales Tax Rev.: | | | |
| Series 2020 A, 5% 12/1/45 | | 80,000 | 85,223 |
| Series 2021 B, 5% 12/1/47 | | 1,470,000 | 1,569,743 |
| Dallas Fort Worth Int'l. Arpt. Rev.: | | | |
| Series 2020 A, 4% 11/1/34 | | 3,550,000 | 3,678,982 |
| Series 2020 B: | | | |
4% 11/1/34 | | 280,000 | 289,999 |
4% 11/1/35 | | 250,000 | 257,022 |
| Dallas Hotel Occupancy Tax Series 2021: | | | |
| 4% 8/15/29 | | 435,000 | 438,442 |
| 4% 8/15/31 | | 245,000 | 246,127 |
| 4% 8/15/32 | | 200,000 | 200,600 |
| 4% 8/15/33 | | 200,000 | 200,247 |
| 4% 8/15/36 | | 625,000 | 614,396 |
| 4% 8/15/38 | | 500,000 | 474,518 |
| Dallas Independent School District: | | | |
| Series 2019, 5% 2/15/24 | | 45,000 | 45,150 |
| Series 2023, 4% 2/15/53 | | 1,000,000 | 976,619 |
| Dallas Tex Spl. Tax Rev. Bonds Series 2023, 6.25%, tender 8/15/28 (b)(e) | | 1,580,000 | 1,599,630 |
| Dallas Wtrwks. & Swr. Sys. Rev. Series 2017, 5% 10/1/46 | | 3,375,000 | 3,499,752 |
| Danbury Higher Ed. Auth., Inc. Series 2019 A, 4% 8/15/49 | | 115,000 | 85,396 |
| Denton Independent School District: | | | |
| Bonds Series 2014 B: | | | |
2%, tender 8/1/24 (b) | | 30,000 | 29,667 |
2%, tender 8/1/24 (b) | | 5,000 | 4,961 |
2%, tender 8/1/24 (b) | | 5,000 | 4,961 |
| Series 2020, 1.8% 8/15/37 | | 1,250,000 | 912,215 |
| Series 2023: | | | |
5% 8/15/48 | | 4,000,000 | 4,355,858 |
5% 8/15/53 | | 2,500,000 | 2,712,093 |
| Eagle Pass Rev. Series 2021: | | | |
| 4% 3/1/36 (Assured Guaranty Muni. Corp. Insured) | | 60,000 | 62,035 |
| 4% 3/1/38 (Assured Guaranty Muni. Corp. Insured) | | 100,000 | 98,775 |
| East Montgomery County Muni. Util. District No. 3 Series 2022, 4.375% 8/15/45 | | 1,325,000 | 1,289,136 |
| Ector County Hosp. District Series 2020: | | | |
| 5% 9/15/25 | | 90,000 | 90,976 |
| 5% 9/15/26 | | 135,000 | 137,830 |
| 5% 9/15/27 | | 210,000 | 216,550 |
| 5% 9/15/28 | | 225,000 | 233,956 |
| 5% 9/15/29 | | 145,000 | 151,464 |
| 5% 9/15/30 | | 170,000 | 178,514 |
| 5% 9/15/31 | | 230,000 | 240,487 |
| El Paso Gen. Oblig. Series 2016, 4% 8/15/42 | | 3,700,000 | 3,664,154 |
| El Paso Independent School District Series 2020: | | | |
| 5% 8/15/25 | | 530,000 | 547,490 |
| 5% 8/15/26 | | 920,000 | 971,567 |
| El Paso Wtr. & Swr. Rev. Series 2023, 5.25% 3/1/49 | | 2,000,000 | 2,180,885 |
| Elgin Combination Tax and Rev. Series 2021: | | | |
| 4% 7/15/32 (Assured Guaranty Muni. Corp. Insured) | | 45,000 | 46,372 |
| 4% 7/15/33 (Assured Guaranty Muni. Corp. Insured) | | 50,000 | 51,289 |
| 4% 7/15/34 (Assured Guaranty Muni. Corp. Insured) | | 85,000 | 86,801 |
| 4% 7/15/35 (Assured Guaranty Muni. Corp. Insured) | | 110,000 | 111,548 |
| 4% 7/15/36 (Assured Guaranty Muni. Corp. Insured) | | 70,000 | 70,379 |
| 4% 7/15/38 (Assured Guaranty Muni. Corp. Insured) | | 120,000 | 118,635 |
| Forney Independent School District Series 2019, 5% 2/15/49 | | 395,000 | 405,330 |
| Fort Bend County Indl. Dev. Corp. (NRG Energy, Inc. Proj.) Series 2012 B, 4.75% 11/1/42 | | 705,000 | 683,422 |
| Fort Bend Independent School District Bonds Series 2021 B, 0.72%, tender 8/1/26 (b) | | 1,240,000 | 1,157,935 |
| Fort Worth Gen. Oblig. Series 2021: | | | |
| 2% 3/1/38 | | 1,475,000 | 1,079,280 |
| 2% 3/1/41 | | 1,000,000 | 674,897 |
| Fort Worth Wtr. & Swr. Rev. Series 2020 A, 2% 2/15/32 | | 2,000,000 | 1,691,184 |
| Fredericksburg Independent School District Series 2022, 4% 2/15/52 | | 1,080,000 | 1,031,648 |
| Galveston Wharves &Term. Series 2023, 5.25% 8/1/38 (d) | | 270,000 | 283,929 |
| Galveston County Tex Muni. Util. Di Series 2022, 4.5% 6/1/44 (Assured Guaranty Muni. Corp. Insured) | | 1,550,000 | 1,555,566 |
| Garland Elec. Util. Sys. Rev.: | | | |
| Series 2021 A: | | | |
4% 3/1/46 | | 100,000 | 95,294 |
4% 3/1/51 | | 125,000 | 115,115 |
| Series 2023, 4.25% 3/1/48 (Assured Guaranty Muni. Corp. Insured) | | 1,655,000 | 1,625,601 |
| Georgetown Util. Sys. Rev. Series 2022, 5.25% 8/15/52 (Assured Guaranty Muni. Corp. Insured) | | 1,800,000 | 1,918,029 |
| Grand Parkway Trans. Corp.: | | | |
| Series 2013 A, 5.85% 10/1/47 | | 1,480,000 | 1,595,862 |
| Series 2013, 5.45% 10/1/34 | | 1,205,000 | 1,339,534 |
| Series 2018 A: | | | |
5% 10/1/36 | | 280,000 | 300,303 |
5% 10/1/37 | | 560,000 | 596,663 |
5% 10/1/38 | | 390,000 | 413,581 |
5% 10/1/43 | | 305,000 | 317,750 |
| Series 2020 C, 4% 10/1/49 | | 160,000 | 154,255 |
| Series 2020, 4% 10/1/49 | | 4,630,000 | 4,535,068 |
| Greenville Independent School District Series 2014, 5% 2/15/31 (Pre-Refunded to 2/15/24 @ 100) | | 1,000,000 | 1,003,451 |
| Gulf Coast Indl. Dev. Auth. Solid Waste Disp. Rev.: | | | |
| (Citgo Petroleum Corp. Proj.) Series 1995, 4.875% 5/1/25 (d) | | 2,570,000 | 2,559,021 |
| Series 1998, 8% 4/1/28 (d) | | 1,205,000 | 1,205,797 |
| Harlandale Independent School District Bonds Series 2021, 2%, tender 8/15/24 (b) | | 850,000 | 841,372 |
| Harlingen Econ. Dev. Corp. Series 2019 A, 4% 2/15/30 | | 245,000 | 252,084 |
| Harris County Cultural Ed. Facilities Fin. Corp. Rev.: | | | |
| (Brazos Presbyterian Homes, Inc. Proj.) Series 2013 A: | | | |
5% 1/1/38 | | 70,000 | 60,061 |
5% 1/1/43 | | 70,000 | 57,223 |
| (Texas Childrens Hosp., Proj.) Series 2015-1 5% 10/1/29 | | 160,000 | 164,822 |
| Series 2013 B, 6.375% 1/1/33 | | 45,000 | 45,021 |
| Series 2016 A, 5% 7/1/39 | | 5,000,000 | 5,104,301 |
| Series 2019 A: | | | |
4% 10/1/35 | | 335,000 | 342,196 |
4% 10/1/36 | | 595,000 | 602,623 |
4% 10/1/37 | | 805,000 | 809,550 |
4% 10/1/38 | | 670,000 | 672,307 |
| Series 2021 A: | | | |
3% 10/1/51 | | 500,000 | 352,992 |
4% 10/1/42 | | 2,410,000 | 2,316,670 |
| Series 2022 A, 4.125% 7/1/52 | | 2,125,000 | 1,978,183 |
| Harris County Cultural Ed. Facilities Fin. Corp. Thermal Util. Rev. (Teco Proj.) Series 2017: | | | |
| 5% 11/15/31 | | 195,000 | 205,102 |
| 5% 11/15/33 | | 1,940,000 | 2,032,353 |
| Harris County Flood Cont. District Series 2021 A: | | | |
| 5% 10/1/28 | | 1,200,000 | 1,322,703 |
| 5% 10/1/29 | | 1,200,000 | 1,343,279 |
| Harris County Gen. Oblig.: | | | |
| Series 2002: | | | |
0% 8/15/25 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | | 365,000 | 344,996 |
0% 8/15/28 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | | 605,000 | 520,345 |
| Series 2015 A, 5% 10/1/31 | | 555,000 | 570,474 |
| Harris County Health Facilities Dev. Corp. Rev. Series 1997 B, 5.75% 7/1/27 (Escrowed to Maturity) | | 405,000 | 424,221 |
| Harris County Toll Road Rev.: | | | |
| (Harris County Toll Road Auth. Proj.) Series 2018 A, 5% 8/15/33 | | 110,000 | 119,401 |
| Series 2018 A, 5% 8/15/43 | | 1,445,000 | 1,510,325 |
| Harris County-Houston Sports Auth. Rev.: | | | |
| Series 2001 A, 0% 11/15/38 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | | 1,200,000 | 527,082 |
| Series 2001 G, 0% 11/15/41 | | 1,000,000 | 352,927 |
| Series 2014 A, 0% 11/15/41 (Assured Guaranty Muni. Corp. Insured) | | 190,000 | 77,344 |
| Series 2014 C: | | | |
5% 11/15/32 | | 45,000 | 45,328 |
5% 11/15/33 | | 115,000 | 115,819 |
| Series 2014: | | | |
0% 11/15/46 (Assured Guaranty Muni. Corp. Insured) | | 480,000 | 145,998 |
5% 11/15/27 (Assured Guaranty Muni. Corp. Insured) | | 965,000 | 980,272 |
| Hays Consolidated Independent School District Series 2022, 4% 2/15/47 | | 1,500,000 | 1,470,903 |
| Hidalgo County Reginal Mobility Auth. Series 2022 A: | | | |
| 4% 12/1/38 | | 385,000 | 350,589 |
| 4% 12/1/39 | | 85,000 | 76,586 |
| 4% 12/1/40 | | 85,000 | 75,680 |
| 4% 12/1/41 | | 195,000 | 172,463 |
| Highland Park Texas Independent School District Series 2016, 5% 2/15/27 | | 1,095,000 | 1,118,646 |
| Houston Arpt. Sys. Rev.: | | | |
| (United Airlines, Inc. Technical Operations Ctr. Proj.) Series 2018, 5% 7/15/28 (d) | | 1,785,000 | 1,780,829 |
| (United Airlines, Inc. Term. E Proj.): | | | |
Series 2020 A, 5% 7/1/27 (d) | | 140,000 | 139,569 |
Series 2021 A, 4% 7/1/41 (d) | | 1,495,000 | 1,257,791 |
| (United Airlines, Inc. Term. Impt. Projs.): | | | |
Series 2015 B1: | | | |
5% 7/15/30 (d) | | 1,580,000 | 1,570,992 |
5% 7/15/35 (d) | | 2,085,000 | 2,041,310 |
Series 2020 B2, 5% 7/15/27 (d) | | 190,000 | 189,424 |
Series 2021 B1, 4% 7/15/41 (d) | | 2,310,000 | 1,942,959 |
| (United Airlines, Inc., Term. E Proj.) Series 2014, 4.75% 7/1/24 (d) | | 310,000 | 309,796 |
| Series 2018 A: | | | |
5% 7/1/36 (d) | | 325,000 | 340,613 |
5% 7/1/37 (d) | | 630,000 | 656,265 |
5% 7/1/41 (d) | | 3,080,000 | 3,165,872 |
| Series 2018 C: | | | |
5% 7/1/29 (d) | | 245,000 | 260,454 |
5% 7/1/30 (d) | | 260,000 | 275,659 |
5% 7/1/31 (d) | | 1,070,000 | 1,133,767 |
5% 7/1/32 (d) | | 1,315,000 | 1,393,700 |
| Series 2018 D: | | | |
5% 7/1/29 | | 105,000 | 113,794 |
5% 7/1/30 | | 140,000 | 150,945 |
5% 7/1/31 | | 125,000 | 134,692 |
5% 7/1/32 | | 110,000 | 118,460 |
5% 7/1/39 | | 535,000 | 562,028 |
| Series 2021 A: | | | |
4% 7/1/37 (d) | | 420,000 | 414,653 |
4% 7/1/39 (d) | | 1,000,000 | 972,125 |
4% 7/1/41 (d) | | 480,000 | 458,868 |
4% 7/1/46 (d) | | 2,415,000 | 2,217,701 |
| Series 2023 A: | | | |
5.25% 7/1/43 (Assured Guaranty Muni. Corp. Insured) (d) | | 3,050,000 | 3,269,155 |
5.25% 7/1/53 (Assured Guaranty Muni. Corp. Insured) (d) | | 1,770,000 | 1,861,273 |
| Houston City of Higher Ed. Fin. Corp. (Houston Baptist Univ. Proj.) Series 2021: | | | |
| 3.375% 10/1/37 | | 50,000 | 42,226 |
| 4% 10/1/51 | | 170,000 | 137,778 |
| Houston Convention and Entertainment Facilities Dept. Hotel Occupancy Tax and Spl. Rev.: | | | |
| Series 2014, 5% 9/1/31 | | 250,000 | 251,532 |
| Series 2019, 5% 9/1/33 | | 50,000 | 53,691 |
| Houston Gen. Oblig. Series 2017 A: | | | |
| 5% 3/1/28 | | 905,000 | 962,603 |
| 5% 3/1/31 | | 645,000 | 685,033 |
| 5% 3/1/32 | | 240,000 | 254,785 |
| Houston Util. Sys. Rev.: | | | |
| Series 2014 D, 5% 11/15/44 | | 725,000 | 726,552 |
| Series 2015 A, 5% 11/15/36 | | 2,500,000 | 2,542,064 |
| Series 2016 B, 5% 11/15/33 | | 420,000 | 439,981 |
| Series 2020 C: | | | |
4% 11/15/43 | | 2,470,000 | 2,438,721 |
4% 11/15/49 | | 2,470,000 | 2,380,001 |
5% 11/15/45 | | 2,470,000 | 2,624,375 |
| Series 2021 A: | | | |
5% 11/15/26 | | 25,000 | 26,456 |
5% 11/15/28 | | 100,000 | 109,652 |
| Irving Hosp. Auth. Hosp. Rev. Series 2017 A: | | | |
| 5% 10/15/28 | | 55,000 | 56,851 |
| 5% 10/15/30 | | 230,000 | 236,638 |
| 5% 10/15/32 | | 120,000 | 123,049 |
| 5% 10/15/33 | | 60,000 | 61,470 |
| 5% 10/15/34 | | 95,000 | 97,252 |
| 5% 10/15/35 | | 95,000 | 97,014 |
| 5% 10/15/36 | | 80,000 | 81,372 |
| 5% 10/15/37 | | 140,000 | 141,798 |
| 5% 10/15/38 | | 195,000 | 197,282 |
| 5% 10/15/44 | | 565,000 | 570,666 |
| Irving Hotel Occupancy Tax Rev. Series 2019: | | | |
| 5% 8/15/37 | | 45,000 | 45,932 |
| 5% 8/15/38 | | 50,000 | 50,604 |
| 5% 8/15/43 | | 90,000 | 89,048 |
| Kaufman County Tex Fresh Wtr. Sup Series 2022, 4.5% 9/1/45 | | 1,575,000 | 1,565,348 |
| Lakes Fresh Wtr. Supply District De Series 2023, 4% 9/1/48 | | 1,350,000 | 1,234,240 |
| Lamar Consolidated Independent School District Series 2023: | | | |
| 4% 2/15/48 | | 2,095,000 | 1,986,412 |
| 4% 2/15/53 | | 1,465,000 | 1,362,646 |
| 5.5% 2/15/58 | | 10,000,000 | 11,000,084 |
| Leander Independent School District Series 2015 A: | | | |
| 5% 8/15/38 | | 1,500,000 | 1,522,667 |
| 5% 8/15/39 | | 1,000,000 | 1,012,162 |
| Love Field Arpt. Modernization Corp. (Southwest Airlines Co. Love Field Modernization Prog. Proj.) Series 2012, 5% 11/1/28 (d) | | 825,000 | 825,073 |
| Love Field Arpt. Modernization Rev.: | | | |
| Series 2015: | | | |
5% 11/1/26 (d) | | 120,000 | 122,312 |
5% 11/1/27 (d) | | 260,000 | 264,052 |
5% 11/1/28 (d) | | 405,000 | 410,702 |
5% 11/1/29 (d) | | 245,000 | 247,835 |
5% 11/1/32 (d) | | 450,000 | 453,607 |
| Series 2017: | | | |
5% 11/1/24 (d) | | 120,000 | 121,179 |
5% 11/1/25 (d) | | 120,000 | 122,627 |
5% 11/1/26 (d) | | 120,000 | 124,697 |
5% 11/1/27 (d) | | 120,000 | 124,293 |
5% 11/1/28 (d) | | 210,000 | 216,332 |
5% 11/1/29 (d) | | 150,000 | 153,829 |
5% 11/1/30 (d) | | 120,000 | 122,678 |
5% 11/1/31 (d) | | 270,000 | 275,915 |
5% 11/1/32 (d) | | 315,000 | 320,917 |
5% 11/1/33 (d) | | 290,000 | 294,438 |
5% 11/1/34 (d) | | 120,000 | 121,859 |
5% 11/1/36 (d) | | 290,000 | 293,781 |
| Series 2021, 4% 11/1/40 (Assured Guaranty Muni. Corp. Insured) (d) | | 250,000 | 240,905 |
| Lower Colorado River Auth. Rev.: | | | |
| (LCRA Transmission Svcs. Corp. Proj.): | | | |
Series 2018: | | | |
5% 5/15/33 | | 250,000 | 269,448 |
5% 5/15/35 | | 120,000 | 128,927 |
5% 5/15/43 | | 95,000 | 99,023 |
5% 5/15/48 | | 110,000 | 113,377 |
Series 2020 A, 5% 5/15/50 | | 3,125,000 | 3,250,496 |
Series 2020: | | | |
5% 5/15/25 | | 705,000 | 724,250 |
5% 5/15/26 | | 890,000 | 932,587 |
5% 5/15/27 | | 1,060,000 | 1,133,112 |
5% 5/15/28 | | 145,000 | 157,375 |
Series 2023, 5.5% 5/15/48 (Assured Guaranty Muni. Corp. Insured) | | 1,345,000 | 1,474,311 |
| Series 2015 B: | | | |
5% 5/15/30 | | 250,000 | 254,381 |
5% 5/15/31 | | 400,000 | 406,783 |
| Series 2015 D: | | | |
5% 5/15/28 | | 270,000 | 275,075 |
5% 5/15/30 | | 605,000 | 615,602 |
| Lubbock Cooper Independent School District (The Permanent School Fund Guarantee Prog.) Series 2023, 5% 2/15/46 | | 1,175,000 | 1,270,973 |
| Lubbock Elec. Lt. & Pwr. Sys. Rev. Series 2021: | | | |
| 4% 4/15/46 | | 1,350,000 | 1,310,039 |
| 4% 4/15/51 | | 300,000 | 285,915 |
| Mansfield Tex Series 2020, 2.375% 2/15/37 | | 1,450,000 | 1,193,274 |
| Matagorda County Navigation District No. 1 Poll. Cont. Rev.: | | | |
| (AEP Texas Central Co. Proj.) Series 2008 2, 4% 6/1/30 | | 845,000 | 828,900 |
| (Central Pwr. and Lt. Co. Proj.) Series 2001 A, 2.6% 11/1/29 | | 1,205,000 | 1,080,404 |
| Mc Kinney Tex Series 2019, 2.5% 8/15/36 | | 2,130,000 | 1,810,022 |
| Midlothian Independent School District Bonds Series 2013 C, 2%, tender 8/1/24 (b) | | 35,000 | 34,563 |
| Mission Econ. Dev. Corp. Rev. (Natgasoline Proj.) Series 2018, 4.625% 10/1/31 (d)(e) | | 5,065,000 | 4,911,022 |
| Mission Econ. Dev. Corp. Solid Waste Disp. Rev. Bonds (Waste Mgmt., INC. Proj.) Series 2023 A, 4.25%, tender 6/3/24 (b) | | 795,000 | 793,717 |
| Montgomery County Toll Road Auth. Series 2018: | | | |
| 5% 9/15/32 | | 105,000 | 106,523 |
| 5% 9/15/33 | | 105,000 | 106,493 |
| 5% 9/15/34 | | 110,000 | 111,470 |
| 5% 9/15/35 | | 280,000 | 283,369 |
| 5% 9/15/36 | | 415,000 | 419,009 |
| 5% 9/15/37 | | 210,000 | 211,500 |
| 5% 9/15/38 | | 305,000 | 306,607 |
| 5% 9/15/43 | | 905,000 | 907,451 |
| 5% 9/15/48 | | 1,595,000 | 1,597,590 |
| New Caney Independent School District Series 2023, 5% 2/15/48 | | 1,000,000 | 1,080,569 |
| New Hope Cultural Ed. Facilities: | | | |
| (Cardinal Bay, Inc. - Village on the Park/Carriage Inn Proj.) Series 2016 A1, 5% 7/1/46 (h) | | 30,000 | 20,550 |
| Series 2019 A1, 5% 12/1/39 | | 205,000 | 189,666 |
| New Hope Cultural Ed. Facilities Corp. Cap. Impt. Rev. (CHF - Collegiate Hsg. Denton, L.L.C. - Texas Woman's Univ. Hsg. Proj.) Series 2018 A1, 5% 7/1/58 (Assured Guaranty Municipal Corp. Insured) | | 800,000 | 801,829 |
| New Hope Cultural Ed. Facilities Fin. (Texas A&M Univ. Cain Hall Redev. Proj.) Series 2016 A1, 5% 4/1/46 | | 1,325,000 | 1,357,648 |
| New Hope Cultural Ed. Facilities Fin. Corp.: | | | |
| (CHF - Collegiate Hsg. Stephenville III, L.L.C. - Tarleton State Univ. Proj.) Series 2015 A: | | | |
5% 4/1/24 (Escrowed to Maturity) | | 125,000 | 125,580 |
5% 4/1/30 (Pre-Refunded to 4/1/25 @ 100) | | 70,000 | 71,423 |
5% 4/1/35 (Pre-Refunded to 4/1/25 @ 100) | | 335,000 | 341,811 |
5% 4/1/47 (Pre-Refunded to 4/1/25 @ 100) | | 1,455,000 | 1,484,581 |
| (CHF Collegiate Hsg. College Station I, LLC Texas A&M Univ. Proj.): | | | |
Series 2014 A, 5% 4/1/29 | | 820,000 | 820,468 |
Series 2017 A, 5% 4/1/46 | | 440,000 | 429,874 |
| (CHF Collegiate Hsg. Island Campus, LLC Texas A&M Univ. Corpus Christi Island Campus Proj.) Series 2017 A: | | | |
5% 4/1/37 (Pre-Refunded to 4/1/27 @ 100) | | 240,000 | 255,291 |
5% 4/1/42 (Pre-Refunded to 4/1/27 @ 100) | | 280,000 | 297,840 |
| (Childrens Med. Ctr. of Dallas) Series 2017 A: | | | |
5% 8/15/27 | | 90,000 | 96,169 |
5% 8/15/28 | | 85,000 | 90,783 |
5% 8/15/29 | | 245,000 | 261,506 |
5% 8/15/47 | | 345,000 | 352,072 |
| Series 2014, 5% 4/1/46 | | 2,200,000 | 2,149,370 |
| Series 2020 A, 5% 7/1/57 | | 1,405,000 | 1,121,744 |
| New Hope Cultural Ed. Facilities Fin. Corp. Retirement Facility Rev.: | | | |
| (MRC Crestview Proj.) Series 2016: | | | |
5% 11/15/36 (Pre-Refunded to 11/15/24 @ 102) | | 80,000 | 82,713 |
5% 11/15/46 (Pre-Refunded to 11/15/24 @ 102) | | 595,000 | 615,177 |
| (MRC Sr. Living - The Langford Proj.) Series 2016 A: | | | |
5.375% 11/15/36 | | 70,000 | 60,254 |
5.5% 11/15/46 | | 140,000 | 111,741 |
5.5% 11/15/52 | | 140,000 | 108,434 |
| (Presbyterian Village North Proj.) Series 2018: | | | |
5% 10/1/31 | | 140,000 | 129,941 |
5% 10/1/32 | | 65,000 | 59,671 |
5% 10/1/33 | | 220,000 | 199,715 |
5% 10/1/34 | | 140,000 | 125,758 |
5% 10/1/35 | | 295,000 | 260,184 |
5% 10/1/39 | | 210,000 | 171,045 |
5.25% 10/1/49 | | 1,365,000 | 1,045,569 |
| Series 2018 A, 5.5% 7/1/54 | | 1,160,000 | 864,598 |
| Series 2021 B, 2% 11/15/61 (g) | | 1,330,873 | 489,868 |
| New Hope Cultural Edl. Facilities Fin. Corp.: | | | |
| Series 2020 A: | | | |
5% 8/15/40 (e) | | 300,000 | 280,923 |
5% 8/15/50 (e) | | 300,000 | 244,263 |
| Series 2021: | | | |
4% 8/15/41 (e) | | 325,000 | 260,475 |
4% 8/15/56 (e) | | 350,000 | 245,248 |
| Newark Higher Ed. Fin. Corp.: | | | |
| (Abilene Christian Univ. Proj.) Series 2016 A: | | | |
5% 4/1/27 | | 90,000 | 93,116 |
5% 4/1/28 | | 100,000 | 103,528 |
5% 4/1/29 | | 115,000 | 119,009 |
5% 4/1/30 | | 415,000 | 429,413 |
| Series 2021 A: | | | |
4% 8/15/31 | | 285,000 | 267,827 |
4% 8/15/41 | | 405,000 | 330,428 |
| Series 2022, 4% 6/15/52 | | 370,000 | 344,416 |
| North Muni. Wtr. District Rws Rev. Series 2022, 4.375% 6/1/52 | | 300,000 | 292,665 |
| North East Texas Independent School District Bonds Series 2019, 2.2%, tender 8/1/24 (b) | | 20,000 | 19,612 |
| North East Texas Reg'l. Mobility Auth. Series 2016 B, 5% 1/1/46 | | 250,000 | 250,261 |
| North Texas Tollway Auth. Rev.: | | | |
| (Sr. Lien Proj.) Series 2017 A: | | | |
5% 1/1/31 | | 120,000 | 124,447 |
5% 1/1/33 | | 145,000 | 152,504 |
5% 1/1/34 | | 240,000 | 252,204 |
5% 1/1/34 | | 365,000 | 425,049 |
5% 1/1/35 | | 345,000 | 361,722 |
5% 1/1/36 | | 795,000 | 831,163 |
5% 1/1/37 | | 2,710,000 | 2,820,243 |
| (Sub Lien Proj.) Series 2017 B: | | | |
5% 1/1/30 | | 70,000 | 72,213 |
5% 1/1/31 | | 90,000 | 92,747 |
5% 1/1/33 | | 85,000 | 89,191 |
| Series 2014, 5% 1/1/24 | | 10,000 | 10,013 |
| Series 2015 A: | | | |
5% 1/1/32 | | 490,000 | 497,180 |
5% 1/1/33 | | 565,000 | 573,075 |
5% 1/1/35 | | 500,000 | 506,417 |
5% 1/1/38 | | 1,325,000 | 1,336,658 |
| Series 2015 B, 5% 1/1/45 | | 2,650,000 | 2,671,718 |
| Series 2016 A: | | | |
4% 1/1/39 | | 1,205,000 | 1,202,129 |
5% 1/1/27 | | 400,000 | 400,459 |
5% 1/1/30 | | 50,000 | 51,897 |
5% 1/1/36 | | 150,000 | 154,529 |
5% 1/1/39 | | 800,000 | 816,071 |
| Series 2017 A, 5% 1/1/39 | | 4,225,000 | 4,442,144 |
| Series 2018: | | | |
0% 1/1/29 (Assured Guaranty Corp. Insured) | | 845,000 | 710,883 |
4% 1/1/37 | | 1,500,000 | 1,508,380 |
4% 1/1/38 | | 3,205,000 | 3,204,687 |
5% 1/1/35 | | 30,000 | 31,978 |
| Series 2019 B, 5% 1/1/25 | | 40,000 | 40,839 |
| Series 2021 B: | | | |
3% 1/1/46 | | 700,000 | 532,117 |
3% 1/1/51 | | 1,585,000 | 1,151,208 |
4% 1/1/33 | | 130,000 | 134,283 |
| Series 2022 A: | | | |
4.125% 1/1/39 | | 750,000 | 759,964 |
4.125% 1/1/40 | | 1,500,000 | 1,508,630 |
5% 1/1/40 | | 2,900,000 | 3,158,630 |
5.25% 1/1/38 | | 1,300,000 | 1,453,877 |
| Northlake Tex Muni. Mgmt. District # Series 2022: | | | |
| 4.125% 3/1/48 | | 1,340,000 | 1,218,447 |
| 4.25% 3/1/46 | | 1,230,000 | 1,156,575 |
| Northside Independent School District Series 2018: | | | |
| 3.35% 8/15/36 | | 1,340,000 | 1,269,645 |
| 3.45% 8/15/37 | | 750,000 | 703,899 |
| Northwest Independent School District Series 2015 B, 5% 2/15/25 | | 500,000 | 511,403 |
| Pasadena Independent School District Bonds Series 2015 B, 1.5%, tender 8/15/24 (b) | | 150,000 | 147,733 |
| Pearland Independent School District Series 2016, 5.25% 2/15/32 | | 800,000 | 834,287 |
| Peaster Tex Independent School District Series 2021, 3% 8/15/51 | | 710,000 | 519,683 |
| Pflugerville Gen. Oblig. Series 2023, 4% 8/1/49 | | 815,000 | 765,660 |
| Port Arthur Series 2021: | | | |
| 4% 2/15/35 | | 130,000 | 132,344 |
| 4% 2/15/37 | | 170,000 | 170,933 |
| 4% 2/15/38 | | 85,000 | 84,461 |
| 4% 2/15/39 | | 60,000 | 59,313 |
| 4% 2/15/40 | | 70,000 | 68,472 |
| 4% 2/15/41 | | 70,000 | 67,636 |
| Port Beaumont Indl. Dev. Auth. Facility Rev. (Jefferson Gulf Coast Energy Proj.) Series 2021 B, 4.1% 1/1/28 (e) | | 4,000,000 | 3,253,369 |
| Port Beaumont Navigation District (Jefferson Gulf Coast Energy Proj.) Series 2020 B, 6% 1/1/25 (e) | | 2,010,000 | 1,916,666 |
| Port Beaumont Navigation District Dock Facility Rev. (Jefferson Gulf Coast Energy Proj.): | | | |
| Series 2020 A: | | | |
3.625% 1/1/35 (d)(e) | | 1,170,000 | 928,723 |
4% 1/1/50 (d)(e) | | 1,080,000 | 748,093 |
| Series 2021 A: | | | |
2.75% 1/1/36 (d)(e) | | 100,000 | 70,157 |
3% 1/1/50 (d)(e) | | 1,335,000 | 757,303 |
| Port of Houston Auth. Series 2023, 5% 10/1/53 | | 1,500,000 | 1,600,901 |
| Port of Port Arthur Navigation District Series 2017, 4% 3/1/47 (d) | | 250,000 | 232,130 |
| Red River Ed. Fin. Corp. (Houston Baptist Univ. Proj.) Series 2017, 5.5% 10/1/46 | | 1,235,000 | 1,249,221 |
| Rockwall Independent School District: | | | |
| Series 2016, 5% 2/15/46 (Pre-Refunded to 2/15/25 @ 100) | | 245,000 | 250,452 |
| Series 2023, 4% 2/15/53 | | 590,000 | 564,629 |
| Sabine-Neches Tex Nav District Series 2022, 5.25% 2/15/52 | | 5,000,000 | 5,350,293 |
| San Antonio Edl. Facilities Corp. Rev. Series 2021 A, 4% 4/1/51 | | 250,000 | 201,154 |
| San Antonio Elec. & Gas Sys. Rev.: | | | |
| Bonds Series 2020, 1.75%, tender 12/1/25 (b) | | 690,000 | 659,727 |
| Series 2012, 5.25% 2/1/24 | | 4,555,000 | 4,568,925 |
| Series 2017: | | | |
5% 2/1/32 | | 70,000 | 74,795 |
5% 2/1/34 | | 85,000 | 90,685 |
| Series 2023 A, 5.5% 2/1/50 | | 3,100,000 | 3,438,394 |
| San Antonio Independent School District: | | | |
| Series 2019, 5% 8/15/25 | | 5,400,000 | 5,578,197 |
| Series 2022, 5% 8/15/52 | | 1,285,000 | 1,371,569 |
| San Antonio Wtr. Sys. Rev.: | | | |
| Bonds Series 2019 A, 2.625%, tender 5/1/24 (b) | | 665,000 | 661,273 |
| Series 2020 A, 5% 5/15/50 | | 1,505,000 | 1,579,270 |
| Series 2022 B, 5.25% 5/15/52 | | 7,250,000 | 7,814,293 |
| San Marcos Consolidated Independent School District Series 2023, 5.25% 8/15/47 | | 1,500,000 | 1,660,539 |
| Southwest Higher Ed. Auth. Rev. (Southern Methodist Univ., TX. Proj.) Series 2017: | | | |
| 5% 10/1/29 | | 55,000 | 58,751 |
| 5% 10/1/30 | | 85,000 | 90,485 |
| 5% 10/1/31 | | 80,000 | 85,006 |
| 5% 10/1/32 | | 40,000 | 42,467 |
| 5% 10/1/39 | | 150,000 | 155,680 |
| 5% 10/1/40 | | 120,000 | 124,310 |
| 5% 10/1/41 | | 85,000 | 87,835 |
| Spring Tex Independent School District Series 2023, 5% 8/15/47 | | 485,000 | 529,658 |
| Tarrant County Cultural Ed. Facilities Fin. Corp. Hosp. Rev.: | | | |
| (Baylor Scott & White Health Proj.) Series 2022 D, 5% 11/15/51 | | 1,625,000 | 1,687,798 |
| Series 2015, 5% 9/1/30 | | 280,000 | 281,309 |
| Series 2020, 5% 12/1/24 | | 35,000 | 35,592 |
| Series 2022: | | | |
4% 10/1/41 | | 480,000 | 463,909 |
4% 10/1/42 | | 80,000 | 76,503 |
4% 10/1/47 | | 1,085,000 | 997,781 |
4% 10/1/52 | | 190,000 | 170,396 |
5% 10/1/36 | | 35,000 | 38,676 |
5% 10/1/40 | | 130,000 | 140,217 |
| Tarrant County Cultural Ed. Facilities Fin. Corp. Retirement Facility Rev.: | | | |
| (Barton Creek Sr. Living Ctr., Inc. Querencia Proj.) Series 2015: | | | |
5% 11/15/30 | | 245,000 | 239,239 |
5% 11/15/35 | | 295,000 | 277,761 |
| (Buckner Retirement Svcs., Inc. Proj.): | | | |
Series 2016 A: | | | |
5% 11/15/28 | | 170,000 | 172,169 |
5% 11/15/37 | | 675,000 | 672,433 |
Series 2016 B, 5% 11/15/46 | | 810,000 | 773,330 |
| (Buckner Retirement Svcs., Inc.) Series 2016 B, 5% 11/15/40 | | 1,665,000 | 1,637,899 |
| (Buckner Sr. Living - Ventana Proj.) Series 2017 A, 6.625% 11/15/37 | | 260,000 | 263,130 |
| (Northwest Sr. Hsg. Corp. Edgemere Proj.): | | | |
Series 2015 A, 5% (j) | | 1,937,115 | 194 |
Series 2017, 5.25% 11/15/47 | | 235,250 | 24 |
| Series 2020, 5.75% 12/1/54 (h) | | 3,043,304 | 1,978,148 |
| Tarrant County Cultural Ed. Facilities Fin. Corp. Rev.: | | | |
| (Trinity Terrace Proj.) Series 2014 A1, 5% 10/1/44 | | 675,000 | 651,593 |
| Bonds Series 2022 A, 5%, tender 7/1/32 (b) | | 1,100,000 | 1,205,996 |
| Series 2016 A: | | | |
4% 2/15/35 | | 605,000 | 610,037 |
5% 2/15/41 | | 465,000 | 474,734 |
5% 2/15/47 | | 515,000 | 523,104 |
| Series 2018 B, 5% 7/1/43 | | 80,000 | 82,243 |
| Series 2022 A, 4% 7/1/53 | | 2,455,000 | 2,177,149 |
| Tarrant County Tex Hosp. District Series 2023, 4.25% 8/15/53 | | 1,160,000 | 1,122,907 |
| Tarrant Reg'l. Wtr. District Wtr. Rev. Series 2014, 5% 3/1/46 (Pre-Refunded to 3/1/24 @ 100) | | 2,500,000 | 2,510,638 |
| Temple Reinvestment Zone # One Tax Increment Rev. Series 2021 A: | | | |
| 4% 8/1/33 | | 40,000 | 41,472 |
| 4% 8/1/34 | | 50,000 | 51,681 |
| 4% 8/1/37 | | 40,000 | 40,500 |
| 4% 8/1/38 | | 35,000 | 35,201 |
| 4% 8/1/41 | | 40,000 | 39,208 |
| Texas Affordable Hsg. Corp. Single Family Mtg. Rev. Series 2023 A, 5.5% 9/1/53 | | 1,035,000 | 1,087,390 |
| Texas Dept. of Hsg. & Cmnty. Affairs Residential Mtg. Rev.: | | | |
| Series 2022 A, 3.5% 7/1/52 | | 1,565,000 | 1,524,573 |
| Series 2023 B, 6% 1/1/54 | | 2,950,000 | 3,223,302 |
| Texas Dept. of Hsg. & Cmnty. Affairs Single Family Mtg. Rev.: | | | |
| Series 2019 A, 4% 3/1/50 | | 760,000 | 754,998 |
| Series 2021 A, 3% 3/1/52 | | 2,740,000 | 2,626,434 |
| Series 2022 A, 5.5% 9/1/52 | | 1,270,000 | 1,339,292 |
| Series 2022 B, 6% 3/1/53 | | 2,170,000 | 2,352,195 |
| Series A, 3.5% 3/1/51 | | 750,000 | 731,763 |
| Texas Gen. Oblig.: | | | |
| Series 2013 B: | | | |
4% 8/1/26 (d) | | 2,500,000 | 2,500,382 |
4% 8/1/27 (d) | | 870,000 | 870,122 |
| Series 2014, 4% 4/1/33 (Pre-Refunded to 4/1/24 @ 100) | | 1,500,000 | 1,503,868 |
| Series 2015 D, 3.4% 5/15/31 | | 750,000 | 742,501 |
| Series 2015, 5% 8/1/27 (d) | | 2,000,000 | 2,049,413 |
| Series 2016 A: | | | |
3% 8/1/27 | | 250,000 | 245,962 |
5% 4/1/37 | | 1,000,000 | 1,036,287 |
| Series 2016: | | | |
5% 4/1/33 | | 1,000,000 | 1,043,812 |
5.5% 8/1/29 (d) | | 2,985,000 | 3,148,424 |
5.5% 8/1/32 (d) | | 1,130,000 | 1,190,981 |
| Series 2022 B, 5% 8/1/39 | | 2,355,000 | 2,384,692 |
| Texas Muni. Gas Acquisition & Su Bonds Series 2023 B, 5.5%, tender 1/1/34 (b) | | 7,670,000 | 8,249,765 |
| Texas Muni. Gas Acquisition & Supply Corp. I Gas Supply Rev. Series 2008 D, 6.25% 12/15/26 | | 6,585,000 | 6,802,940 |
| Texas Muni. Gas Acquisition And Supply Corp. Series 2021: | | | |
| 5% 12/15/25 | | 595,000 | 603,370 |
| 5% 12/15/26 | | 1,155,000 | 1,182,900 |
| 5% 12/15/27 | | 500,000 | 513,678 |
| 5% 12/15/28 | | 250,000 | 257,691 |
| 5% 12/15/31 | | 815,000 | 840,959 |
| 5% 12/15/32 | | 1,780,000 | 1,839,241 |
| Texas Muni. Gas Acquisition and Supply Corp. II Gas Supply Rev. Series 2012 C, 4.433% 9/15/27 (b) | | 6,830,000 | 6,718,599 |
| Texas Muni. Pwr. Agcy. Rev. Series 2021: | | | |
| 3% 9/1/34 (Assured Guaranty Muni. Corp. Insured) | | 1,000,000 | 887,890 |
| 3% 9/1/46 (Assured Guaranty Muni. Corp. Insured) | | 3,000,000 | 2,166,864 |
| Texas Private Activity Bond Surface Trans. Corp.: | | | |
| (Blueridge Trans. Group, LLC SH 288 Toll Lanes Proj.) Series 2016: | | | |
5% 12/31/45 (d) | | 1,030,000 | 1,034,114 |
5% 12/31/50 (d) | | 4,895,000 | 4,904,553 |
5% 12/31/55 (d) | | 1,575,000 | 1,576,527 |
| (LBJ Infrastructure Group LLC I-635 Managed Lanes Proj.) Series 2020 A: | | | |
4% 6/30/35 | | 270,000 | 270,670 |
4% 6/30/36 | | 555,000 | 552,050 |
4% 12/31/36 | | 115,000 | 114,188 |
4% 6/30/37 | | 410,000 | 405,622 |
4% 12/31/37 | | 225,000 | 222,353 |
4% 6/30/38 | | 135,000 | 132,742 |
4% 12/31/38 | | 125,000 | 122,857 |
4% 6/30/39 | | 1,270,000 | 1,240,266 |
4% 12/31/39 | | 110,000 | 107,366 |
4% 6/30/40 | | 1,060,000 | 1,029,316 |
| (LBJ Infrastucutre Group LLC I-635 Managed Lanes Proj.) Series 2020 A, 4% 12/31/35 | | 880,000 | 880,095 |
| (NTE Mobility Partners LLC North Tarrant Express Managed Lanes Proj.) Series 2019 A, 4% 12/31/38 | | 1,000,000 | 956,880 |
| (NTE Mobility Partners LLC North Tarrant Express Proj.) Series 2023, 5.5% 12/31/58 (d) | | 5,215,000 | 5,508,720 |
| (NTE Mobility Partners Segments 3 LLC Segment 3C Proj.) Series 2019, 5% 6/30/58 (d) | | 10,200,000 | 10,221,726 |
| Series 2023: | | | |
5% 6/30/34 (d) | | 450,000 | 475,522 |
5% 12/31/34 (d) | | 530,000 | 558,296 |
5.125% 6/30/35 (d) | | 455,000 | 482,346 |
5.125% 12/31/35 (d) | | 380,000 | 401,576 |
5.5% 6/30/40 | | 1,000,000 | 1,065,515 |
5.5% 6/30/41 | | 1,000,000 | 1,064,194 |
5.5% 6/30/42 | | 3,775,000 | 4,012,350 |
| Texas Pub. Fin. Auth. Lease Rev. Series 2019: | | | |
| 4% 2/1/38 | | 1,205,000 | 1,212,455 |
| 5% 2/1/25 | | 75,000 | 76,521 |
| Texas Pub. Fin. Auth. Rev. Series 2016, 5% 5/1/28 | | 210,000 | 217,201 |
| Texas St Pub. Fin. Auth. Rev. 8827 Series 2023: | | | |
| 5.25% 5/1/36 | | 500,000 | 548,640 |
| 5.25% 5/1/37 | | 230,000 | 251,054 |
| Texas St Technical College Sys.: | | | |
| Series 2022 A: | | | |
5.75% 8/1/47 | | 580,000 | 644,664 |
6% 8/1/54 (Assured Guaranty Muni. Corp. Insured) | | 555,000 | 622,220 |
| Series 2022, 5.5% 8/1/42 (Assured Guaranty Muni. Corp. Insured) | | 1,655,000 | 1,844,672 |
| Texas State Univ. Sys. Fing. Rev.: | | | |
| Series 2017 A, 5% 3/15/31 | | 505,000 | 535,543 |
| Series 2019 A: | | | |
4% 3/15/34 | | 125,000 | 127,745 |
4% 3/15/35 | | 110,000 | 111,778 |
| Texas Trans. Commission: | | | |
| Series 2019 A: | | | |
0% 8/1/37 | | 95,000 | 50,805 |
0% 8/1/38 | | 70,000 | 35,106 |
0% 8/1/39 | | 80,000 | 37,855 |
0% 8/1/40 | | 80,000 | 35,688 |
0% 8/1/41 | | 250,000 | 105,227 |
0% 8/1/43 | | 175,000 | 65,337 |
5% 8/1/57 | | 4,100,000 | 4,120,398 |
| Series 2021 A, 0% 8/1/42 | | 215,000 | 85,064 |
| Texas Trans. Commission Central Texas Tpk. Sys. Rev.: | | | |
| Series 2015 B, 0% 8/15/37 | | 1,500,000 | 810,905 |
| Series 2015 C: | | | |
5% 8/15/37 | | 6,890,000 | 6,921,814 |
5% 8/15/42 | | 3,915,000 | 3,927,714 |
| Series 2020 A, 5% 8/15/39 | | 3,855,000 | 4,070,165 |
| Texas Trans. Commission Hwy. Impt. Gen. Oblig. Bonds Series 2014 B, 0.65%, tender 4/1/26 (b) | | 7,715,000 | 7,104,774 |
| Texas Trans. Commission State Hwy. Fund Rev. Series 2015, 5% 10/1/25 | | 1,000,000 | 1,035,940 |
| Texas Wtr. Dev. Board Rev.: | | | |
| Series 2015 A, 5% 10/15/45 | | 750,000 | 763,401 |
| Series 2018 A, 4% 4/15/48 | | 1,005,000 | 975,605 |
| Series 2020, 5% 8/1/30 | | 705,000 | 798,491 |
| Series 2022, 5% 10/15/47 | | 1,500,000 | 1,627,392 |
| Series 2023 A: | | | |
4.75% 10/15/43 | | 3,815,000 | 4,118,790 |
5% 10/15/58 | | 1,000,000 | 1,068,326 |
5.25% 10/15/51 | | 1,500,000 | 1,652,622 |
| Tomball Independent School District Series 2023, 5% 2/15/48 | | 250,000 | 271,510 |
| Univ. of Houston Univ. Revs. Series 2017 A: | | | |
| 5% 2/15/33 | | 680,000 | 705,798 |
| 5% 2/15/34 | | 605,000 | 627,561 |
| 5% 2/15/36 | | 365,000 | 377,433 |
| Univ. of North Texas Univ. Rev. Series 2017 A, 5% 4/15/32 | | 255,000 | 269,731 |
| Univ. of Texas Board of Regents Sys. Rev.: | | | |
| Series 2019 B, 5% 8/15/49 | | 1,355,000 | 1,553,756 |
| Series 2020 C, 5% 8/15/31 | | 2,120,000 | 2,453,971 |
| Univ. of Texas Permanent Univ. Fund Rev.: | | | |
| Series 2016 B, 5% 7/1/29 | | 300,000 | 313,675 |
| Series 2022 A, 4% 7/1/42 | | 1,300,000 | 1,301,057 |
| Series 2023 A, 5% 7/1/41 | | 1,000,000 | 1,110,716 |
| Upper Brushy Creek Wtr. Cont. & I Series 2022, 3% 8/15/47 | | 250,000 | 185,999 |
| Waco Gen. Oblig. Series 2020: | | | |
| 2.375% 2/1/38 | | 1,000,000 | 790,833 |
| 2.375% 2/1/40 | | 1,020,000 | 775,657 |
| Weatherford Independent School District Series 2002, 0% 2/15/33 | | 850,000 | 610,041 |
| West Harris County Reg'l. Wtr. Auth. Wtr. Sys. Rev. Series 2019, 4% 12/15/49 | | 905,000 | 849,993 |
| White Settlement Independent School District Series 2022, 4% 8/15/52 | | 540,000 | 519,308 |
| Woodloch Health Facilities Dev. Corp. (Inspired Living at Lewisville Proj.): | | | |
| Series 2016 A1, 6.75% 12/1/51 (e)(h) | | 450,115 | 9,002 |
| Series 2016 B, 10% 12/1/51 (h) | | 205,000 | 10,250 |
TOTAL TEXAS | | | 560,851,440 |
| Utah - 0.9% | | | |
| Intermountain Pwr. Agcy. Pwr. Supply Rev.: | | | |
| Series 2022 A: | | | |
4% 7/1/36 | | 3,795,000 | 3,948,436 |
5% 7/1/33 | | 1,300,000 | 1,492,440 |
5% 7/1/45 | | 2,200,000 | 2,371,730 |
| Series 2023 A: | | | |
5% 7/1/42 | | 800,000 | 882,702 |
5.25% 7/1/43 | | 1,500,000 | 1,672,611 |
5.25% 7/1/44 | | 1,750,000 | 1,951,700 |
5.25% 7/1/45 | | 2,750,000 | 3,049,216 |
| Mida Golf & Equestrian Ctr. Pub. Infrastructure District Series 2021, 4.5% 6/1/51 (e) | | 500,000 | 349,611 |
| Mida Mountain Village Pub. Infrastructure Series 2020 A, 5% 8/1/50 (e) | | 250,000 | 212,979 |
| Military Installation Dev. Auth. Utah Tax Allocation Rev.: | | | |
| Series 2021 A1, 4% 6/1/52 | | 1,075,000 | 764,967 |
| Series 2021 A2, 4% 6/1/52 | | 1,805,000 | 1,275,107 |
| Ogden City Utah School District Series 2020, 1.75% 6/15/35 | | 500,000 | 386,507 |
| Salt Lake City Arpt. Rev.: | | | |
| Series 2017 A: | | | |
5% 7/1/25 (d) | | 245,000 | 249,759 |
5% 7/1/27 (d) | | 515,000 | 539,778 |
5% 7/1/29 (d) | | 450,000 | 471,939 |
5% 7/1/30 (d) | | 335,000 | 351,038 |
5% 7/1/31 (d) | | 640,000 | 670,321 |
5% 7/1/33 (d) | | 485,000 | 507,475 |
5% 7/1/35 (d) | | 485,000 | 505,769 |
5% 7/1/36 (d) | | 1,810,000 | 1,879,208 |
5% 7/1/37 (d) | | 2,500,000 | 2,583,012 |
5% 7/1/42 (d) | | 2,980,000 | 3,039,259 |
5% 7/1/47 (d) | | 4,860,000 | 4,919,668 |
| Series 2017 B: | | | |
5% 7/1/34 | | 90,000 | 94,962 |
5% 7/1/35 | | 85,000 | 89,484 |
5% 7/1/36 | | 85,000 | 89,119 |
5% 7/1/37 | | 55,000 | 57,385 |
5% 7/1/47 | | 380,000 | 389,318 |
| Series 2018 A: | | | |
5% 7/1/33 (d) | | 1,170,000 | 1,238,192 |
5% 7/1/43 (d) | | 1,190,000 | 1,218,016 |
5.25% 7/1/48 (d) | | 2,110,000 | 2,165,995 |
| Series 2021 A: | | | |
4% 7/1/41 (d) | | 1,250,000 | 1,194,970 |
5% 7/1/32 (d) | | 1,250,000 | 1,365,972 |
5% 7/1/34 (d) | | 1,000,000 | 1,089,315 |
5% 7/1/35 (d) | | 500,000 | 542,273 |
5% 7/1/36 (d) | | 750,000 | 806,482 |
5% 7/1/51 (d) | | 8,605,000 | 8,833,070 |
| Series 2021 B: | | | |
5% 7/1/46 | | 470,000 | 499,351 |
5% 7/1/51 | | 1,880,000 | 1,977,737 |
| Series 2023 A: | | | |
5.25% 7/1/38 (d) | | 1,490,000 | 1,630,213 |
5.25% 7/1/39 (d) | | 1,375,000 | 1,496,160 |
5.25% 7/1/41 (d) | | 2,000,000 | 2,157,385 |
5.25% 7/1/43 (d) | | 2,500,000 | 2,675,587 |
5.25% 7/1/48 (d) | | 500,000 | 528,128 |
5.25% 7/1/53 (d) | | 3,500,000 | 3,674,945 |
5.5% 7/1/53 (d) | | 6,850,000 | 7,389,884 |
| State Board of Regents of the State of Utah Series 1998 A, 5.5% 4/1/29 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | | 2,550,000 | 2,769,235 |
| UIPA Crossroad Pub. Infrastructure District Series 2021: | | | |
| 4.125% 6/1/41 (e) | | 1,000,000 | 874,436 |
| 4.375% 6/1/52 (e) | | 1,520,000 | 1,292,740 |
| Univ. of Utah Gen. Revs. Series 2023 B, 5.25% 8/1/53 | | 1,000,000 | 1,111,277 |
| Utah Bldg. Ownership Auth. Lease Rev. (State Facilities Master Lease Prog.) Series 2016, 3% 5/15/29 | | 1,925,000 | 1,848,736 |
| Utah Charter School Fin. Auth.: | | | |
| (Syracuse Arts Academy Proj.) Series 2017: | | | |
5% 4/15/42 | | 1,165,000 | 1,174,694 |
5% 4/15/47 | | 905,000 | 908,899 |
| (Utah Charter Academies Proj.) Series 2018: | | | |
5% 10/15/43 | | 275,000 | 277,916 |
5% 10/15/48 | | 290,000 | 291,507 |
| Series 2017, 5% 4/15/37 | | 210,000 | 213,767 |
| Series 2019 A, 5% 4/15/49 | | 390,000 | 393,746 |
| Series 2020 A, 4% 10/15/54 | | 300,000 | 248,619 |
| Series 2020: | | | |
4% 4/15/45 | | 625,000 | 567,683 |
4% 4/15/50 | | 250,000 | 219,643 |
| Utah County Hosp. Rev.: | | | |
| Series 2016 B, 5% 5/15/46 | | 2,500,000 | 2,543,844 |
| Series 2020 A, 5% 5/15/50 | | 705,000 | 729,297 |
| Utah Gen. Oblig.: | | | |
| Series 2010 B, 3.539% 7/1/25 | | 267,829 | 263,274 |
| Series 2020, 3% 7/1/33 | | 550,000 | 519,847 |
| Utah Hsg. Corp.: | | | |
| Series 2019 G, 4.5% 7/21/49 | | 137,056 | 133,464 |
| Series 2019 H, 4.5% 8/21/49 | | 88,554 | 85,932 |
| Series 2019 I, 4% 9/21/49 | | 148,634 | 138,337 |
| Series 2020 B, 3.5% 2/21/50 | | 217,095 | 194,559 |
| Series 2021 I, 2.5% 8/21/51 | | 721,794 | 596,954 |
| Series 2021 J, 2.5% 9/21/51 | | 2,811,313 | 2,285,062 |
| Series 2022 G, 5% 7/21/52 | | 727,052 | 717,516 |
| Series 2022 H, 5% 8/21/52 | | 1,151,180 | 1,137,054 |
| Utah Infrastructure Agcy.: | | | |
| Series 2017 A: | | | |
5% 10/15/34 | | 300,000 | 301,939 |
5% 10/15/40 | | 350,000 | 335,923 |
| Series 2018 A, 5.375% 10/15/40 | | 350,000 | 350,582 |
| Series 2019: | | | |
4% 10/15/24 | | 365,000 | 362,427 |
4% 10/15/30 | | 490,000 | 469,629 |
4% 10/15/34 | | 240,000 | 220,760 |
4% 10/15/39 | | 420,000 | 357,449 |
4% 10/15/42 | | 250,000 | 202,750 |
5% 10/15/25 | | 270,000 | 271,585 |
| Series 2021, 3% 10/15/45 | | 490,000 | 317,419 |
| Series 2022, 5% 10/15/46 | | 460,000 | 426,609 |
| Series 2023, 6% 10/15/47 | | 550,000 | 573,129 |
| Weber School District Utah (Utah School District Bond Guaranty Prog.) Series 2019, 2.25% 6/15/34 | | 545,000 | 470,230 |
TOTAL UTAH | | | 101,477,644 |
| Vermont - 0.1% | | | |
| Univ. of Vermont and State Agricultural College Series 2019 A, 5% 10/1/49 | | 600,000 | 621,104 |
| Vermont Econ. Dev. Auth. Soli Bonds Series 2013, 4.625%, tender 4/3/28 (b)(d)(e) | | 220,000 | 215,720 |
| Vermont Edl. & Health Bldg. Fin. Agcy. Rev.: | | | |
| (Champlain College Proj.) Series 2016 A: | | | |
5% 10/15/41 | | 695,000 | 654,911 |
5% 10/15/46 | | 845,000 | 766,424 |
| (Middlebury College Proj.) Series 2020, 5% 11/1/49 | | 1,500,000 | 1,565,219 |
| (Saint Michael's College Proj.) Series 2023, 5.25% 10/1/52 (e) | | 585,000 | 538,181 |
| Series 2023, 5% 11/1/52 | | 3,250,000 | 3,468,154 |
| Vermont Hsg. Fin. Agcy.: | | | |
| Series 2021 B, 3% 11/1/51 | | 926,000 | 884,083 |
| Series 2023 A, 6% 11/1/53 | | 729,000 | 791,213 |
| Series A, 3.75% 11/1/50 | | 79,000 | 77,946 |
| Vermont Student Assistant Corp. Ed. Ln. Rev.: | | | |
| Series 2018 A: | | | |
3.625% 6/15/29 (d) | | 45,000 | 44,721 |
3.75% 6/15/30 (d) | | 45,000 | 44,727 |
4% 6/15/33 (d) | | 45,000 | 44,751 |
4% 6/15/34 (d) | | 50,000 | 49,283 |
| Series 2018 B, 4.375% 6/15/46 (d) | | 160,000 | 141,927 |
| Series 2019 A: | | | |
3% 6/15/35 (d) | | 1,155,000 | 1,062,226 |
5% 6/15/27 (d) | | 705,000 | 737,272 |
5% 6/15/29 (d) | | 1,200,000 | 1,247,902 |
| Series 2019 B, 4% 6/15/47 (d) | | 265,000 | 220,152 |
| Series 2019, 3.375% 6/15/36 (d) | | 995,000 | 944,592 |
| Series 2020 A, 5% 6/15/28 (d) | | 705,000 | 736,997 |
| Series 2021 A: | | | |
2.375% 6/15/39 (d) | | 190,000 | 169,675 |
5% 6/15/29 (d) | | 105,000 | 110,462 |
5% 6/15/31 (d) | | 120,000 | 127,054 |
| Series 2022 A, 4.375% 6/15/40 (d) | | 340,000 | 320,924 |
TOTAL VERMONT | | | 15,585,620 |
| Virgin Islands - 0.2% | | | |
| Freddie Mac sequential payer Series 2023-ML16 Class AUS, 4.632% 7/25/38 (b) | | 766,693 | 730,504 |
| Matching Fund Spl. Purp. Securitization Corp. Series 2022 A: | | | |
| 5% 10/1/25 | | 75,000 | 75,531 |
| 5% 10/1/26 | | 365,000 | 367,411 |
| 5% 10/1/30 | | 3,250,000 | 3,260,956 |
| 5% 10/1/32 | | 4,385,000 | 4,394,001 |
| 5% 10/1/39 | | 13,505,000 | 13,257,799 |
| Virgin Islands Pub. Fin. Auth.: | | | |
| Series 2012 A, 5% 10/1/32 | | 600,000 | 534,951 |
| Series 2014 C: | | | |
5% 10/1/30 (e) | | 600,000 | 552,457 |
5% 10/1/39 (e) | | 300,000 | 244,225 |
5% 10/1/39 | | 1,500,000 | 1,504,873 |
| Series 2015, 5% 9/1/30 (e) | | 300,000 | 303,250 |
TOTAL VIRGIN ISLANDS | | | 25,225,958 |
| Virginia - 1.6% | | | |
| Alexandria Gen. Oblig. Series 2021 A: | | | |
| 1.875% 12/15/37 | | 4,085,000 | 3,080,988 |
| 2% 12/15/39 | | 605,000 | 432,201 |
| 2% 12/15/40 | | 1,000,000 | 697,676 |
| Arlington County IDA Hosp. Facilities: | | | |
| Bonds Series 2023 A, 5%, tender 7/1/31 (b) | | 4,900,000 | 5,327,908 |
| Series 2020: | | | |
3.75% 7/1/50 | | 1,650,000 | 1,454,106 |
4% 7/1/38 | | 205,000 | 205,221 |
4% 7/1/45 | | 1,250,000 | 1,177,782 |
5% 7/1/27 | | 240,000 | 254,111 |
5% 7/1/36 | | 480,000 | 518,387 |
| Arlington County Indl. Rev. (County Projs.) Series 2017, 5% 2/15/43 | | 400,000 | 414,976 |
| Charles City County Solid Wt Rev. Bonds Series 2002, 1.45%, tender 4/1/27 (b)(d) | | 85,000 | 77,075 |
| Chesapeake Bay Bridge and Tunnel District Gen. Resolution Rev. Series 2016: | | | |
| 5% 7/1/41 (Assured Guaranty Muni. Corp. Insured) | | 1,265,000 | 1,296,525 |
| 5% 7/1/46 | | 4,380,000 | 4,395,087 |
| 5% 7/1/51 | | 2,985,000 | 2,988,353 |
| Chesapeake Gen. Oblig. Series 2020 A: | | | |
| 5% 8/1/34 | | 65,000 | 73,698 |
| 5% 8/1/35 | | 75,000 | 84,684 |
| Chesapeake Trans. Sys. Toll Road Rev. Series 2012 B, 4.875% 7/15/40 | | 1,055,000 | 1,075,459 |
| Fairfax County Econ. Dev. Auth. Residential Care Facility Rev. Series 2013 A: | | | |
| 5% 12/1/32 (Pre-Refunded to 12/1/23 @ 100) | | 230,000 | 230,000 |
| 5% 12/1/42 (Pre-Refunded to 12/1/23 @ 100) | | 395,000 | 395,000 |
| 5% 12/1/47 (Pre-Refunded to 12/1/23 @ 100) | | 280,000 | 280,000 |
| Fairfax County Gen. Oblig. Series 2022 A, 2% 10/1/41 | | 7,000,000 | 4,853,960 |
| Fairfax County Indl. Dev. Auth. (Inova Health Sys. Proj.): | | | |
| Series 2014 A, 5% 5/15/44 | | 1,475,000 | 1,478,964 |
| Series 2016 A, 5% 5/15/31 | | 590,000 | 615,179 |
| Fairfax County Redev. & Hsg. Auth. Rev. Series 2019, 5% 10/1/35 | | 830,000 | 897,448 |
| Farmville Indl. Edl. Facilities Rev. (Longwood Univ. Student Hsg. Projs.): | | | |
| Series 2018 A: | | | |
5% 1/1/48 | | 300,000 | 269,054 |
5% 1/1/55 | | 900,000 | 787,510 |
| Series 2020 A, 5% 1/1/59 | | 350,000 | 302,162 |
| Freddie Mac Series 2022-ML13 Class XCA, 0.9538% 7/25/36 (b)(k) | | 9,934,617 | 471,278 |
| Fredericksburg Econ. Dev. Auth. Rev. Series 2014: | | | |
| 5% 6/15/25 | | 570,000 | 572,856 |
| 5% 6/15/26 | | 110,000 | 110,643 |
| 5% 6/15/30 | | 150,000 | 150,903 |
| Greater Richmond Convention Ctr. Auth. Hotel Tax Rev. Series 2015, 5% 6/15/31 (Pre-Refunded to 6/15/25 @ 100) | | 1,370,000 | 1,407,790 |
| Hampton Roads Trans. Accountability Commission: | | | |
| Series 2018 A, 5.5% 7/1/57 (Pre-Refunded to 1/1/28 @ 100) | | 5,965,000 | 6,616,645 |
| Series 2020 A, 5% 7/1/60 | | 1,030,000 | 1,082,420 |
| Henrico County Econ. Dev. Auth. Residential Care Facility Rev. Series 2022 A: | | | |
| 5% 10/1/47 | | 575,000 | 579,354 |
| 5% 10/1/52 | | 1,590,000 | 1,591,493 |
| Indl. Dev. Auth. Botetourt County Residential Care Facility Rev. Series 2014 A, 6% 7/1/34 | | 1,030,000 | 1,034,153 |
| Isle Wight County Econ. De Series 2023: | | | |
| 4.75% 7/1/53 (Assured Guaranty Muni. Corp. Insured) (i) | | 1,500,000 | 1,501,890 |
| 5.25% 7/1/53 (Assured Guaranty Muni. Corp. Insured) (i) | | 750,000 | 790,695 |
| Loudoun County Gen. Oblig. Series 2018 A, 4% 12/1/32 | | 900,000 | 905,383 |
| Louisa Indl. Dev. Auth. Poll. Cont. Rev. Bonds (Virginia Elec. and Pwr. Co. Proj.) Series 2008 B, 0.75%, tender 9/2/25 (b) | | 885,000 | 824,270 |
| Lynchburg Econ. Dev. Series 2021: | | | |
| 3% 1/1/51 | | 1,310,000 | 918,814 |
| 4% 1/1/55 | | 1,065,000 | 961,771 |
| Lynchburg Econ. Dev. Auth. (Randolph College Projs.) Series 2018, 5% 9/1/48 | | 250,000 | 245,137 |
| Newport News Wtr. Rev. Series 2021, 2% 7/15/40 | | 3,075,000 | 2,165,030 |
| Norfolk Econ. Dev. Auth. Hosp. Facilities Rev.: | | | |
| Bonds Series 2018 A, 5%, tender 11/1/28 (b) | | 745,000 | 808,541 |
| Series 2018 B, 4% 11/1/48 | | 2,655,000 | 2,477,249 |
| Norfolk Redev. & Hsg. Auth. Rev.: | | | |
| (Fort Norfolk Retirement Cmnty., Inc. Harbors Edge Proj.) Series 2014: | | | |
5% 1/1/35 | | 565,000 | 509,967 |
5% 1/1/46 | | 725,000 | 572,735 |
5.375% 1/1/35 | | 880,000 | 820,401 |
5.375% 1/1/46 | | 600,000 | 499,385 |
| Series 2019 A, 5% 1/1/49 | | 455,000 | 351,660 |
| Peninsula Ccda Spl. Oblig. Series 2018, 4.5% 9/1/45 (e) | | 205,000 | 178,464 |
| Roanoke Econ. Dev. Auth. Edl. Facilities Series 2018 A: | | | |
| 4% 9/1/48 | | 300,000 | 245,520 |
| 5% 9/1/27 | | 30,000 | 31,039 |
| Roanoke Econ. Dev. Authority. Series 2020 A, 3% 7/1/45 | | 1,000,000 | 753,306 |
| Rockingham County Econ. De Series 2021 A, 3% 11/1/46 | | 2,755,000 | 2,079,457 |
| Salem Econ. Dev. Auth. Series 2020: | | | |
| 4% 4/1/38 | | 20,000 | 18,445 |
| 4% 4/1/39 | | 15,000 | 13,668 |
| 4% 4/1/40 | | 20,000 | 18,024 |
| 4% 4/1/45 | | 50,000 | 42,761 |
| 5% 4/1/24 | | 20,000 | 20,063 |
| 5% 4/1/26 | | 20,000 | 20,475 |
| 5% 4/1/27 | | 20,000 | 20,722 |
| 5% 4/1/28 | | 30,000 | 31,385 |
| 5% 4/1/29 | | 35,000 | 36,859 |
| 5% 4/1/49 | | 65,000 | 63,954 |
| Stafford County Econ. Dev. Auth. Hosp. Facilities Rev.: | | | |
| (Mary Washington Hosp. Proj.) Series 2016, 3% 6/15/29 | | 100,000 | 96,268 |
| Series 2016: | | | |
4% 6/15/37 | | 110,000 | 106,403 |
5% 6/15/27 | | 185,000 | 191,622 |
5% 6/15/28 | | 55,000 | 56,786 |
5% 6/15/30 | | 80,000 | 82,193 |
5% 6/15/33 | | 210,000 | 214,793 |
5% 6/15/34 | | 100,000 | 102,058 |
5% 6/15/35 | | 455,000 | 462,921 |
5% 6/15/36 | | 665,000 | 676,148 |
| Tobacco Settlement Fing. Corp.: | | | |
| Series 2007 A1, 6.706% 6/1/46 | | 1,100,000 | 941,302 |
| Series 2007 C1, 0% 6/1/47 | | 6,265,000 | 1,624,169 |
| Toll Road Investors Partnership II, LP: | | | |
| 0% 2/15/25 (e) | | 1,704,000 | 1,564,076 |
| 0% 2/15/26 (e) | | 1,295,000 | 1,104,862 |
| 0% 2/15/27 (e) | | 181,000 | 143,376 |
| 0% 2/15/28 (e) | | 528,000 | 388,511 |
| 0% 2/15/33 (e) | | 790,000 | 398,071 |
| 0% 2/15/43 (e)(h) | | 5,200,216 | 1,314,854 |
| Virginia College Bldg. Auth. Edl. Facilities Rev.: | | | |
| (21St Century Collage and Equip. Programs) Series 2021 A: | | | |
4% 2/1/34 | | 4,345,000 | 4,559,225 |
4% 2/1/35 | | 6,250,000 | 6,524,034 |
| (21st Century College and Equip. Programs) Series 2015 D, 3% 2/1/26 | | 1,000,000 | 988,386 |
| (21st CenturyCollege and Equip. Programs) Series 2015 D, 3.15% 2/1/28 | | 950,000 | 935,733 |
| (Marymount Univ. Proj.): | | | |
Series 2015 A: | | | |
5% 7/1/24 (e) | | 210,000 | 209,658 |
5% 7/1/25 (e) | | 215,000 | 214,221 |
5% 7/1/30 (e) | | 665,000 | 665,173 |
5% 7/1/35 (e) | | 200,000 | 195,695 |
5% 7/1/45 (e) | | 440,000 | 396,466 |
Series 2015 B: | | | |
5% 7/1/45 (e) | | 845,000 | 761,396 |
5.25% 7/1/30 (e) | | 380,000 | 381,806 |
5.25% 7/1/35 (e) | | 405,000 | 404,968 |
| (Regent Univ. Proj.) Series 2021: | | | |
5% 6/1/27 | | 80,000 | 82,846 |
5% 6/1/28 | | 85,000 | 88,826 |
5% 6/1/29 | | 85,000 | 89,445 |
| Virginia College Bldg. Auth. Edl. Facilities Rev. Rfdg. Pub. Higher Ed. Fing. Prog. Series 2023 A, 4% 9/1/42 | | 6,375,000 | 6,423,048 |
| Virginia Commonwealth Trans. Board Rev.: | | | |
| (Virginia Gen. Oblig. Proj.) Series 2017 A: | | | |
5% 5/15/32 | | 130,000 | 139,422 |
5% 5/15/33 | | 110,000 | 117,756 |
| Series 2019, 3% 5/15/37 | | 4,000,000 | 3,475,433 |
| Virginia Commonwealth Univ. Health Sys. Auth. Series 2017 A, 4% 7/1/40 | | 2,805,000 | 2,783,196 |
| Virginia Hsg. Dev. Auth. Series 2022 G, 5.15% 11/1/52 | | 1,350,000 | 1,407,376 |
| Virginia Port Auth. Port Facilities Rev. Series 2016 B: | | | |
| 5% 7/1/41 (d) | | 1,530,000 | 1,549,549 |
| 5% 7/1/45 (d) | | 2,345,000 | 2,364,169 |
| Virginia Pub. Bldg. Auth. Pub. Facilities Rev.: | | | |
| Series 2015 A, 3.3% 8/1/28 | | 1,250,000 | 1,247,334 |
| Series 2019 A, 4% 8/1/36 | | 1,625,000 | 1,673,322 |
| Virginia Small Bus. Fing. A Bonds (Pure Salmon Virginia LLC Proj.) Series 2022, 5%, tender 11/15/24 (b)(d) | | 1,100,000 | 1,103,245 |
| Virginia Small Bus. Fing. Auth.: | | | |
| (95 Express Lanes LLC Proj.) Series 2022: | | | |
4% 7/1/39 (d) | | 600,000 | 556,710 |
4% 1/1/40 (d) | | 440,000 | 405,753 |
4% 1/1/41 (d) | | 215,000 | 196,960 |
4% 1/1/48 (d) | | 9,185,000 | 8,095,620 |
5% 7/1/32 (d) | | 2,300,000 | 2,458,979 |
5% 7/1/33 (d) | | 820,000 | 875,155 |
5% 7/1/34 (d) | | 270,000 | 287,320 |
5% 7/1/35 (d) | | 305,000 | 323,074 |
5% 1/1/36 (d) | | 335,000 | 353,468 |
5% 7/1/37 (d) | | 190,000 | 197,499 |
| (Elizabeth River Crossings OPCO, LLC Proj.) Series 2022, 4% 7/1/32 (d) | | 785,000 | 779,923 |
| (Elizabeth River Crossings OpCo, LLC Proj.) Series 2022: | | | |
4% 1/1/35 (d) | | 2,635,000 | 2,594,144 |
4% 7/1/35 (d) | | 1,740,000 | 1,705,333 |
4% 1/1/37 (d) | | 4,355,000 | 4,183,119 |
4% 1/1/38 (d) | | 2,935,000 | 2,770,255 |
4% 1/1/39 (d) | | 1,180,000 | 1,107,727 |
4% 1/1/40 (d) | | 6,230,000 | 5,825,358 |
| (I-495 Hot Lanes Proj.) Series 2022: | | | |
5% 12/31/42 (d) | | 1,000,000 | 1,038,255 |
5% 12/31/47 (d) | | 8,830,000 | 9,035,115 |
5% 12/31/52 (d) | | 2,490,000 | 2,528,809 |
| (I-495 Hot Lanes Projs.) Series 2022, 5% 12/31/57 (d) | | 4,015,000 | 4,059,148 |
| (Transform 66 P3 Proj.) Series 2017: | | | |
5% 12/31/49 (d) | | 1,845,000 | 1,852,109 |
5% 12/31/52 (d) | | 3,640,000 | 3,649,297 |
5% 12/31/56 (d) | | 4,775,000 | 4,779,656 |
| Series 2014, 5.25% 10/1/29 | | 130,000 | 131,495 |
| Series 2020 A: | | | |
4% 1/1/45 | | 400,000 | 350,445 |
4% 1/1/51 | | 250,000 | 209,495 |
5% 1/1/33 | | 400,000 | 418,977 |
5% 1/1/35 | | 655,000 | 681,149 |
| Virginia Small Bus. Fing. Auth. Health Care Facilities Rev. Series 2020 A, 4% 12/1/49 | | 2,460,000 | 2,239,741 |
| Virginia St Resources Auth. Inf Series 2014 B, 3.75% 11/1/30 | | 2,750,000 | 2,756,266 |
| Williamsburg Econ. Dev. (Provident Group-Williamsburg Properties LLC - William & Mary Proj.): | | | |
| Series 2023 A: | | | |
4.125% 7/1/58 (Assured Guaranty Muni. Corp. Insured) | | 3,100,000 | 2,950,102 |
4.375% 7/1/63 (Assured Guaranty Muni. Corp. Insured) | | 2,890,000 | 2,840,083 |
5.25% 7/1/53 (Assured Guaranty Muni. Corp. Insured) | | 205,000 | 222,185 |
| Series 2023 B, 4.375% 7/1/63 | | 1,025,000 | 996,172 |
| Winchester Econ. Dev. Auth.: | | | |
| Series 2014 A, 5% 1/1/44 (Pre-Refunded to 1/1/24 @ 100) | | 4,785,000 | 4,790,120 |
| Series 2015: | | | |
5% 1/1/31 | | 305,000 | 313,445 |
5% 1/1/34 | | 185,000 | 189,571 |
5% 1/1/35 | | 185,000 | 189,541 |
5% 1/1/44 | | 260,000 | 262,906 |
| Wise County Indl. Dev. Auth. Waste & Sewage Rev. Bonds (Virginia Elec. and Pwr. Co. Proj.) Series 2010 A, 1.2%, tender 5/31/24 (b) | | 580,000 | 570,512 |
TOTAL VIRGINIA | | | 193,229,251 |
| Washington - 1.5% | | | |
| Adams County Pub. Hosp. District No. 2 Series 2014, 5.125% 12/1/44 | | 375,000 | 370,684 |
| Chelan County Pub. Util. District #1 Columbia River-Rock Island Hydro-Elec. Sys. Rev. Series A, 0% 6/1/28 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | | 85,000 | 73,711 |
| Douglas County Pub. Util. District #1 Wells Hydroelectric Rev. Series 2022 B, 5% 9/1/47 | | 2,000,000 | 2,131,458 |
| Energy Northwest Elec. Rev.: | | | |
| Series 2014 C, 5% 7/1/28 | | 1,610,000 | 1,625,085 |
| Series 2020 A: | | | |
5% 7/1/33 | | 440,000 | 497,138 |
5% 7/1/34 | | 530,000 | 595,987 |
5% 7/1/35 | | 750,000 | 840,277 |
5% 7/1/37 | | 700,000 | 771,841 |
| Series 2021 A, 4% 7/1/42 | | 1,600,000 | 1,606,544 |
| Series 2022 A, 5% 7/1/36 | | 2,875,000 | 3,284,859 |
| Everett Hsg. Auth. Rev. (Huntington Park Apts. Proj.) Series 2022, 4% 7/1/37 | | 2,700,000 | 2,534,276 |
| Grant County Wash Pub. Hosp. Distn Series 2023, 5.125% 12/1/48 | | 250,000 | 252,644 |
| Grays Hbr. County Gen. Oblig. Series 2018: | | | |
| 5% 12/15/33 | | 400,000 | 417,405 |
| 5% 12/15/38 | | 510,000 | 521,037 |
| 5% 12/15/48 | | 985,000 | 994,168 |
| Jefferson County Wash Pub. Hosp. D Series 2023 A, 6.875% 12/1/53 (i) | | 1,500,000 | 1,505,999 |
| King County Gen. Oblig.: | | | |
| Series 2019, 5% 1/1/37 | | 750,000 | 813,525 |
| Series 2021 A, 2% 1/1/34 | | 750,000 | 633,455 |
| King County Hsg. Auth. Rev. Series 2021: | | | |
| 4% 6/1/26 | | 400,000 | 404,345 |
| 4% 6/1/28 | | 255,000 | 259,962 |
| 4% 12/1/29 | | 45,000 | 46,053 |
| North Thurston Pub. Schools (Washington State School District Cr. Enhancement Prog.) Series 2014, 3.5% 12/1/29 | | 750,000 | 747,081 |
| Pend Oreille Pub. Util. District Series 2018, 5% 1/1/48 | | 300,000 | 302,305 |
| Port of Seattle Rev.: | | | |
| Series 2013: | | | |
5% 7/1/28 (d) | | 1,500,000 | 1,500,740 |
5% 7/1/29 (d) | | 250,000 | 250,099 |
| Series 2015 B, 5% 3/1/25 | | 225,000 | 227,957 |
| Series 2015 C, 5% 4/1/34 (d) | | 680,000 | 682,224 |
| Series 2016 B: | | | |
5% 10/1/28 (d) | | 425,000 | 437,093 |
5% 10/1/30 (d) | | 245,000 | 249,725 |
| Series 2016, 5% 2/1/28 | | 110,000 | 114,204 |
| Series 2017 C, 5% 5/1/42 (d) | | 2,050,000 | 2,069,428 |
| Series 2018 A, 5% 5/1/30 (d) | | 920,000 | 952,733 |
| Series 2019 A, 4% 4/1/44 (d) | | 1,380,000 | 1,282,158 |
| Series 2019: | | | |
5% 4/1/35 (d) | | 5,300,000 | 5,615,719 |
5% 4/1/38 (d) | | 2,135,000 | 2,216,577 |
5% 4/1/44 (d) | | 2,025,000 | 2,084,699 |
| Series 2021 C: | | | |
5% 8/1/24 (d) | | 1,380,000 | 1,391,876 |
5% 8/1/25 (d) | | 1,795,000 | 1,837,211 |
5% 8/1/26 (d) | | 1,535,000 | 1,590,430 |
5% 8/1/27 (d) | | 950,000 | 998,886 |
5% 8/1/28 (d) | | 2,650,000 | 2,816,388 |
5% 8/1/38 (d) | | 1,300,000 | 1,370,271 |
| Series 2022 B: | | | |
4% 8/1/47 (d) | | 320,000 | 296,843 |
5% 8/1/40 (d) | | 2,000,000 | 2,108,277 |
5% 8/1/41 (d) | | 1,000,000 | 1,054,111 |
| Seattle Hsg. Auth. Rev. (Northgate Plaza Proj.) Series 2021, 1% 6/1/26 | | 1,760,000 | 1,632,379 |
| Spokane Pub. Facilities District Hotel/Motel Tax & Sales/Use Tax Rev. Series 2017, 5% 12/1/38 | | 75,000 | 76,782 |
| Tacoma Elec. Sys. Rev. Series 2017: | | | |
| 5% 1/1/37 | | 55,000 | 57,609 |
| 5% 1/1/38 | | 55,000 | 57,461 |
| Tacoma Gen. Oblig. Series 2021 A, 3% 12/1/35 | | 1,025,000 | 934,399 |
| Washington Convention Ctr. Pub. Facilities: | | | |
| Series 2018: | | | |
4% 7/1/58 | | 485,000 | 413,448 |
5% 7/1/58 | | 250,000 | 253,372 |
| Series 2021 A, 5% 7/1/58 | | 350,000 | 357,324 |
| Series 2021 B: | | | |
3% 7/1/43 | | 500,000 | 386,308 |
3% 7/1/43 | | 395,000 | 303,079 |
3% 7/1/58 | | 400,000 | 264,241 |
3% 7/1/58 (Assured Guaranty Muni. Corp. Insured) | | 5,615,000 | 3,840,105 |
| Series 2021: | | | |
3% 7/1/58 | | 250,000 | 173,197 |
4% 7/1/31 | | 10,045,000 | 9,734,331 |
| Washington Gen. Oblig.: | | | |
| Series 2014 D, 5% 2/1/30 | | 400,000 | 401,360 |
| Series 2014 E: | | | |
5% 2/1/33 | | 1,850,000 | 1,856,288 |
5% 2/1/37 | | 2,560,000 | 2,568,701 |
5% 2/1/39 | | 1,705,000 | 1,710,795 |
| Series 2015 D, 5% 7/1/32 | | 1,500,000 | 1,525,219 |
| Series 2017 D: | | | |
5% 2/1/33 | | 545,000 | 575,135 |
5% 2/1/35 | | 30,000 | 31,557 |
| Series 2018 C, 5% 8/1/30 | | 810,000 | 866,530 |
| Series 2020 C, 5% 2/1/29 | | 1,035,000 | 1,150,026 |
| Series 2020 R, 4% 7/1/29 | | 1,375,000 | 1,459,929 |
| Series 2021 C: | | | |
5% 2/1/41 | | 750,000 | 816,973 |
5% 2/1/44 | | 4,435,000 | 4,791,001 |
| Series 2021 E, 5% 6/1/43 | | 1,640,000 | 1,780,783 |
| Series 2021 F: | | | |
5% 6/1/36 | | 2,675,000 | 3,015,999 |
5% 6/1/39 | | 305,000 | 335,758 |
5% 6/1/40 | | 3,535,000 | 3,903,672 |
| Series 2022 A: | | | |
5% 8/1/35 | | 7,700,000 | 8,786,288 |
5% 8/1/42 | | 5,000,000 | 5,451,246 |
| Series 2022 C, 5% 2/1/47 | | 6,475,000 | 6,982,746 |
| Series 2022 D: | | | |
4% 7/1/36 | | 2,050,000 | 2,128,405 |
4% 7/1/37 | | 1,425,000 | 1,469,554 |
| Series 2022 RB, 5% 2/1/29 | | 780,000 | 866,686 |
| Series 2023 A: | | | |
5% 8/1/25 | | 1,500,000 | 1,550,222 |
5% 8/1/35 | | 1,800,000 | 2,083,122 |
| Series 2024 A: | | | |
5% 8/1/38 | | 1,140,000 | 1,290,659 |
5% 8/1/41 | | 1,150,000 | 1,283,194 |
| Series R-2017 A: | | | |
5% 8/1/27 | | 55,000 | 57,905 |
5% 8/1/28 | | 55,000 | 57,862 |
5% 8/1/30 | | 300,000 | 314,433 |
| Washington Health Care Facilities Auth. Rev.: | | | |
| (Overlake Hosp. Med. Ctr., WA. Proj.) Series 2017 B: | | | |
5% 7/1/25 | | 100,000 | 101,026 |
5% 7/1/27 | | 185,000 | 189,649 |
5% 7/1/28 | | 230,000 | 236,761 |
5% 7/1/29 | | 115,000 | 118,299 |
5% 7/1/30 | | 105,000 | 107,911 |
5% 7/1/31 | | 180,000 | 184,891 |
5% 7/1/32 | | 245,000 | 251,342 |
5% 7/1/33 | | 345,000 | 353,462 |
5% 7/1/34 | | 230,000 | 235,004 |
5% 7/1/35 | | 130,000 | 132,396 |
5% 7/1/36 | | 125,000 | 126,630 |
5% 7/1/42 | | 1,715,000 | 1,719,830 |
| (Providence Health Systems Proj.): | | | |
Series 2012 A, 5% 10/1/25 | | 625,000 | 625,293 |
Series 2018 B: | | | |
5% 10/1/30 | | 65,000 | 68,255 |
5% 10/1/31 | | 85,000 | 89,125 |
5% 10/1/32 | | 60,000 | 62,874 |
5% 10/1/33 | | 140,000 | 146,662 |
| (Virginia Mason Med. Ctr. Proj.) Series 2017: | | | |
5% 8/15/25 | | 15,000 | 15,236 |
5% 8/15/26 | | 15,000 | 15,358 |
5% 8/15/27 | | 105,000 | 108,733 |
| (Virginia Mason Med. Ctr. Proj.) Series 2017: | | | |
5% 8/15/29 | | 125,000 | 129,247 |
5% 8/15/30 | | 55,000 | 56,788 |
| Bonds: | | | |
Series 2019 B2, 5%, tender 8/1/25 (b) | | 965,000 | 976,985 |
Series 2019 B3, 5%, tender 8/1/26 (b) | | 6,400,000 | 6,577,830 |
| Series 2017 A, 4% 7/1/42 | | 370,000 | 323,042 |
| Series 2017 B, 4% 8/15/41 | | 405,000 | 386,900 |
| Series 2017: | | | |
4% 8/15/42 | | 3,260,000 | 2,809,005 |
5% 8/15/36 | | 30,000 | 30,624 |
5% 8/15/37 | | 365,000 | 370,740 |
| Series 2019 A 1, 4% 8/1/44 | | 180,000 | 162,956 |
| Series 2019 A1: | | | |
5% 8/1/34 | | 105,000 | 112,236 |
5% 8/1/37 | | 55,000 | 57,619 |
| Series 2019 A2: | | | |
5% 8/1/35 | | 160,000 | 170,219 |
5% 8/1/39 | | 65,000 | 67,373 |
5% 8/1/44 | | 1,325,000 | 1,352,229 |
| Series 2020: | | | |
5% 9/1/38 | | 130,000 | 137,084 |
5% 9/1/45 | | 1,240,000 | 1,283,338 |
5% 9/1/50 | | 690,000 | 708,434 |
5% 9/1/55 | | 3,705,000 | 3,790,184 |
| Washington Higher Ed. Facilities Auth. Rev.: | | | |
| (Gonzaga Univ. Proj.) Series 2019 A, 3% 4/1/49 | | 2,180,000 | 1,554,710 |
| (Seattle Pacific Univ. Proj.) Series 2020 A, 5% 10/1/45 | | 175,000 | 168,825 |
| (Whitworth Univ. Proj.) Series 2016 A: | | | |
5% 10/1/25 | | 30,000 | 30,595 |
5% 10/1/26 | | 130,000 | 134,332 |
5% 10/1/27 | | 260,000 | 269,001 |
5% 10/1/28 | | 270,000 | 279,516 |
5% 10/1/34 | | 185,000 | 189,581 |
5% 10/1/35 | | 330,000 | 337,558 |
5% 10/1/36 | | 415,000 | 422,932 |
5% 10/1/40 | | 500,000 | 503,829 |
| Series 2023, 4% 4/1/41 | | 630,000 | 615,809 |
| Washington Hsg. Fin. Commission: | | | |
| sequential payer Series 2023-1 Class A, 3.375% 4/20/37 | | 3,497,389 | 3,010,010 |
| Series 2021 1, 3.5% 12/20/35 | | 5,824,482 | 5,355,194 |
| Series 2021 1N, 3% 12/1/49 | | 1,330,000 | 1,285,347 |
| Washington Hsg. Fin. Commission Nonprofit Hsg. Rev.: | | | |
| (Eliseo Proj.) Series 2021 A: | | | |
4% 1/1/41 (e) | | 350,000 | 265,910 |
4% 1/1/57 (e) | | 300,000 | 193,607 |
| (Emerald Heights Proj.) Series 2023 A, 5% 7/1/48 | | 230,000 | 223,961 |
| (Emerald Hights Proj.) Series 2023 A, 5% 7/1/43 | | 260,000 | 259,346 |
| (Judson Park Proj.) Series 2018, 5% 7/1/48 (e) | | 295,000 | 235,852 |
| (Presbyterian Retirement Cmntys. Northwest Projs.) Series 2016 A: | | | |
5% 1/1/46 (e) | | 455,000 | 350,077 |
5% 1/1/51 (e) | | 1,735,000 | 1,286,133 |
| (The Hearthstone Proj.) Series 2018 A: | | | |
5% 7/1/48 (e) | | 405,000 | 287,197 |
5% 7/1/53 (e) | | 100,000 | 68,769 |
| (Transforming Age Projs.) Series 2019 A, 5% 1/1/55 (e) | | 2,350,000 | 1,704,787 |
| Eliseo Proj. Series 2021 A, 4% 1/1/51 (e) | | 300,000 | 202,177 |
| Series 2015 A, 7% 7/1/45 (Pre-Refunded to 7/1/25 @ 100) (e) | | 1,205,000 | 1,262,665 |
| Washington Hsg. Fin. Commission Nonprofit Rev. (Seattle Academy of Arts and Sciences Proj.) Series 2023, 6.25% 7/1/59 (e) | | 2,920,000 | 3,160,073 |
| Whidbey Island Pub. Hosp. District Series 2013, 5.375% 12/1/39 | | 400,000 | 343,201 |
TOTAL WASHINGTON | | | 178,366,135 |
| West Virginia - 0.3% | | | |
| Glenville St College W Brdg Series 2017, 5.25% 6/1/47 | | 250,000 | 215,303 |
| Monongalia County W Commn Tax Series 2023 A: | | | |
| 5.75% 6/1/43 (e) | | 500,000 | 519,672 |
| 6% 6/1/53 (e) | | 1,950,000 | 2,051,818 |
| Monongalia County West Commission Spl. District Excise Tax Rev.: | | | |
| Series 2017 A: | | | |
5.5% 6/1/37 (e) | | 445,000 | 454,419 |
5.75% 6/1/43 (e) | | 445,000 | 454,996 |
| Series 2021 A, 4.125% 6/1/43 (e) | | 580,000 | 515,270 |
| Series 2021 B, 4.875% 6/1/43 (e) | | 800,000 | 764,697 |
| Series 2023 A, 7% 6/1/43 (e) | | 1,535,000 | 1,621,471 |
| West Virginia Econ. Dev. Auth. Solid Waste Disp. Facilities Rev. Bonds: | | | |
| (Appalachian Pwr. Co. Amos Proj.): | | | |
Series 2010 A, 0.625%, tender 12/15/25 (b) | | 710,000 | 647,669 |
Series 2011 A, 1%, tender 9/1/25 (b)(d) | | 670,000 | 624,311 |
| (Arch Resources Proj.) Series 2020, 5%, tender 7/1/25 (b)(d) | | 420,000 | 419,983 |
| (Kentucky Pwr. Compnay - Mitchell Proj.) Series 2014 A, 4.7%, tender 6/17/26 (b)(d) | | 1,350,000 | 1,346,150 |
| (Wheeling Pwr. Co. - Mitchell Proj.) Series 2013 A, 3%, tender 6/18/27 (b)(d) | | 975,000 | 928,415 |
| West Virginia Hosp. Fin. Auth. Hosp. Rev.: | | | |
| Series 2018 A: | | | |
4% 1/1/37 | | 300,000 | 283,868 |
4% 6/1/51 | | 1,495,000 | 1,370,099 |
4.125% 1/1/47 | | 450,000 | 388,380 |
5% 1/1/31 | | 200,000 | 207,439 |
5% 1/1/32 | | 160,000 | 165,843 |
5% 1/1/33 | | 105,000 | 108,766 |
5% 6/1/52 | | 2,625,000 | 2,671,574 |
| Series 2019 A: | | | |
5% 9/1/38 | | 175,000 | 177,832 |
5% 9/1/39 | | 50,000 | 50,628 |
| Series 2023: | | | |
5.375% 9/1/53 (Assured Guaranty Muni. Corp. Insured) | | 5,080,000 | 5,345,876 |
5.5% 9/1/48 (Assured Guaranty Muni. Corp. Insured) | | 5,810,000 | 6,212,064 |
| West Virginia Hsg. Dev. Fund Series 2018 A, 3.75% 11/1/38 | | 125,000 | 118,334 |
| West Virginia Parkways Auth. Series 2021: | | | |
| 5% 6/1/25 | | 705,000 | 723,658 |
| 5% 6/1/26 | | 705,000 | 738,424 |
| 5% 6/1/27 | | 705,000 | 753,823 |
| 5% 6/1/28 | | 1,060,000 | 1,154,618 |
| West Virginia Wtr. Dev. Auth. Series 2016 AII, 5% 11/1/33 | | 140,000 | 146,442 |
TOTAL WEST VIRGINIA | | | 31,181,842 |
| Wisconsin - 1.2% | | | |
| Blue Ridge Healthcare Pub. Fin. Auth. Series 2020 A, 4% 1/1/45 | | 220,000 | 200,939 |
| Howard Suamico Scd Series 2021: | | | |
| 2% 3/1/38 | | 810,000 | 616,925 |
| 2% 3/1/40 | | 500,000 | 364,577 |
| 2% 3/1/41 | | 875,000 | 624,918 |
| Kohler Wis School District Series 2021, 2% 3/1/38 | | 585,000 | 435,067 |
| Mount Pleasant Tax Increment Rev. Series 2018 A: | | | |
| 5% 4/1/43 | | 420,000 | 437,415 |
| 5% 4/1/48 | | 2,890,000 | 2,955,755 |
| Pub. Fin. Auth. Charter School Rev.: | | | |
| Series 2020 A: | | | |
4% 7/1/30 (e) | | 55,000 | 50,698 |
5% 7/1/40 (e) | | 100,000 | 88,910 |
5% 7/1/55 (e) | | 205,000 | 164,882 |
| Series 2023 A, 6.75% 7/1/58 (e) | | 175,000 | 177,677 |
| Pub. Fin. Auth. Ed. Rev. Mountain Island Charter School: | | | |
| Series 2015: | | | |
4.95% 3/1/30 (e) | | 25,000 | 25,152 |
5.25% 3/1/35 (e) | | 25,000 | 25,234 |
| Series 2017 A, 5.125% 6/15/47 (e) | | 370,000 | 312,625 |
| Series 2017: | | | |
5% 7/1/37 | | 115,000 | 115,110 |
5% 7/1/47 | | 280,000 | 265,426 |
5% 7/1/52 | | 605,000 | 562,815 |
| Series 2019 A: | | | |
4% 6/15/29 (e) | | 120,000 | 112,221 |
5% 6/15/39 (e) | | 140,000 | 124,939 |
5% 6/15/49 (e) | | 245,000 | 200,809 |
| Series 2022: | | | |
5% 1/1/42 (e) | | 500,000 | 426,580 |
5% 6/15/42 | | 130,000 | 123,346 |
5.25% 6/15/52 | | 190,000 | 177,615 |
5.375% 6/15/57 | | 180,000 | 169,547 |
5.5% 6/15/62 | | 285,000 | 271,114 |
| Series 2023 A, 6.25% 6/15/48 (e) | | 705,000 | 689,423 |
| Pub. Fin. Auth. Edl. Facilities: | | | |
| Series 2016, 5.5% 1/1/47 | | 300,000 | 295,273 |
| Series 2018 A: | | | |
5.25% 10/1/43 | | 1,195,000 | 1,151,426 |
5.25% 10/1/48 | | 1,195,000 | 1,119,536 |
| Series 2021, 4% 3/1/27 (e) | | 795,000 | 755,227 |
| Series 2022 A: | | | |
5.25% 3/1/42 | | 1,050,000 | 1,067,325 |
5.25% 3/1/47 | | 5,650,000 | 5,674,862 |
| Pub. Fin. Auth. Edl. Rev. Series 2019: | | | |
| 5% 6/15/39 | | 40,000 | 39,674 |
| 5% 6/15/49 | | 130,000 | 122,093 |
| 5% 6/15/53 | | 85,000 | 78,848 |
| Pub. Fin. Auth. Health Care Sys. Rev. Series 2022 A: | | | |
| 4% 10/1/52 | | 2,030,000 | 1,850,572 |
| 5% 10/1/52 | | 2,000,000 | 2,074,501 |
| Pub. Fin. Auth. Higher Edcuational Faclities Rev. (Gannon Univ. Proj.) Series 2017: | | | |
| 5% 5/1/42 | | 235,000 | 228,060 |
| 5% 5/1/47 | | 125,000 | 117,724 |
| Pub. Fin. Auth. Hosp. Rev.: | | | |
| (Renown Reg'l. Med. Ctr. Proj.): | | | |
Series 2016 A, 5% 6/1/26 | | 975,000 | 1,002,782 |
Series 2020 A: | | | |
5% 6/1/34 | | 420,000 | 447,730 |
5% 6/1/38 | | 600,000 | 620,849 |
| Series 2019 A: | | | |
4% 10/1/49 | | 1,680,000 | 1,530,960 |
5% 10/1/44 | | 2,100,000 | 2,147,188 |
| Series 2021 A, 4% 2/1/51 | | 180,000 | 128,074 |
| Pub. Fin. Auth. Hotel Rev. (Grand Hyatt San Antonio Hotel Acquisition Proj.) Series 2022 A: | | | |
| 5% 2/1/42 | | 795,000 | 807,628 |
| 5% 2/1/52 | | 1,545,000 | 1,525,182 |
| 5% 2/1/62 | | 1,490,000 | 1,445,895 |
| Pub. Fin. Auth. Hotel/Conference Ctr. Facilities Rev. Series 2021 A: | | | |
| 4% 9/1/36 (e) | | 400,000 | 355,330 |
| 4% 9/1/41 (e) | | 360,000 | 291,836 |
| 4% 9/1/51 (e) | | 1,240,000 | 905,246 |
| 4% 9/1/56 (e) | | 590,000 | 416,626 |
| Pub. Fin. Auth. Ltd. Oblig.: | | | |
| (American Dream @ Meadowlands Proj.) Series 2017 A, 6.25% 8/1/27 (e) | | 2,810,000 | 2,146,138 |
| Series 2017, 5.625% 8/1/24 (e) | | 1,105,000 | 843,944 |
| Pub. Fin. Auth. Ltd. Oblig. Pilot Rev. (American Dream Meadowlands Proj.) Series 2017, 7% 12/1/50 (e) | | 1,705,000 | 1,559,227 |
| Pub. Fin. Auth. Retirement Cmntys. Rev.: | | | |
| Series 2019 A, 5% 11/15/49 | | 350,000 | 329,639 |
| Series 2020 A, 5% 11/15/41 | | 635,000 | 623,911 |
| Pub. Fin. Auth. Rev.: | | | |
| (CFP3 - Eastern Michigan Univ. Student Hsg. Proj.) Series 2022 A1: | | | |
5.25% 7/1/42 | | 1,775,000 | 1,922,362 |
5.375% 7/1/47 | | 1,350,000 | 1,455,892 |
5.5% 7/1/52 | | 1,490,000 | 1,615,299 |
5.625% 7/1/55 | | 1,140,000 | 1,244,919 |
| (Irving Convention Ctr. Hotel) Series 2017 A2, 7% 1/1/50 (e) | | 550,000 | 587,370 |
| Series 2016 A, 5% 1/1/24 (d) | | 520,000 | 520,070 |
| Series 2016 B, 5% 12/1/25 (d) | | 1,140,000 | 1,148,148 |
| Series 2016 C, 4.3% 11/1/30 (d) | | 705,000 | 673,659 |
| Series 2016 D, 4.05% 11/1/30 | | 350,000 | 329,397 |
| Pub. Fin. Auth. Solid Waste Bonds (Waste Mgmt., Inc. Proj.) Series 2017 A2, 4.875%, tender 2/1/24 (b)(d) | | 4,080,000 | 4,081,714 |
| Pub. Fin. Auth. Spl. Facilities Rev.: | | | |
| (Sky Harbour Cap. Llc Aviation Facilities Proj.) Series 2021, 4% 7/1/41 (d) | | 500,000 | 383,184 |
| Series 2021, 4.25% 7/1/54 (d) | | 1,930,000 | 1,339,328 |
| Pub. Fin. Auth. Sr. Living Rev.: | | | |
| (Mary's Woods At Marylhurst, Inc. Proj.) Series 2017 A: | | | |
5% 5/15/25 (e) | | 130,000 | 128,554 |
5% 5/15/28 (e) | | 190,000 | 185,415 |
5.25% 5/15/37 (e) | | 455,000 | 427,791 |
5.25% 5/15/42 (e) | | 310,000 | 280,413 |
5.25% 5/15/47 (e) | | 850,000 | 746,093 |
5.25% 5/15/52 (e) | | 965,000 | 827,159 |
| (Rose Villa Proj.) Series 2014 A: | | | |
5.125% 11/15/29 (Pre-Refunded to 11/15/24 @ 100) (e) | | 100,000 | 101,290 |
5.5% 11/15/34 (Pre-Refunded to 11/15/24 @ 100) (e) | | 95,000 | 96,554 |
5.75% 11/15/44 (Pre-Refunded to 11/15/24 @ 100) (e) | | 80,000 | 81,493 |
6% 11/15/49 (Pre-Refunded to 11/15/24 @ 100) (e) | | 155,000 | 158,206 |
| Series 2019 A, 4% 1/1/46 | | 650,000 | 484,957 |
| Pub. Fin. Auth. Student Hsg.: | | | |
| (Beyond Boone, LLC - Appalachian State Univ. Proj.) Series 2020 A: | | | |
4% 7/1/45 (Assured Guaranty Muni. Corp. Insured) | | 170,000 | 157,748 |
4% 7/1/50 (Assured Guaranty Muni. Corp. Insured) | | 145,000 | 130,478 |
4% 7/1/55 (Assured Guaranty Muni. Corp. Insured) | | 165,000 | 146,360 |
| (CHF - Wilmington, L.L.C. - Univ. of North Carolina at Wilmington Proj.) Series 2018: | | | |
5% 7/1/48 (Assured Guaranty Muni. Corp. Insured) | | 1,280,000 | 1,305,942 |
5% 7/1/53 (Assured Guaranty Muni. Corp. Insured) | | 760,000 | 773,231 |
5% 7/1/58 (Assured Guaranty Muni. Corp. Insured) | | 1,065,000 | 1,083,313 |
| (NC A&T Real Estate Estate Foundation, LLC Proj.) Series 2019 A, 5% 6/1/49 | | 350,000 | 325,255 |
| (Univ. of Hawai'i Foundation Proj.): | | | |
Series 2021 B, 5.25% 7/1/61 (e) | | 355,000 | 285,014 |
Series 2021, 4% 7/1/61 (e) | | 1,505,000 | 1,112,236 |
| Series 2018, 5% 7/1/36 (Assured Guaranty Muni. Corp. Insured) | | 105,000 | 110,243 |
| Series 2019 A, 5% 7/1/44 (Assured Guaranty Muni. Corp. Insured) | | 80,000 | 81,914 |
| Series 2021 A1, 4% 7/1/51 (e) | | 575,000 | 447,189 |
| Series 2021 A2, 5.35% 7/1/40 (e) | | 300,000 | 235,707 |
| Series 2022 A, 5% 5/1/60 (e) | | 250,000 | 185,157 |
| Series 2022 B, 9% 5/1/71 (e) | | 150,000 | 131,586 |
| Series 2023 A: | | | |
5.75% 7/1/53 (e) | | 1,485,000 | 1,511,170 |
5.75% 7/1/63 (e) | | 3,005,000 | 3,035,688 |
| Pub. Fin. Auth. Wis Affordable Series 2023 B1, 7.125% 7/25/34 (e) | | 1,990,000 | 2,043,820 |
| Pub. Fin. Auth. Wisconsin Arpt. Facilities Rev. Series 2012 B: | | | |
| 5% 7/1/42 (d) | | 385,000 | 384,992 |
| 5.25% 7/1/28 (d) | | 1,795,000 | 1,796,151 |
| Pub. Fin. Auth. Wisconsin Retirement Facility Rev.: | | | |
| Series 2018: | | | |
5% 10/1/43 (e) | | 1,425,000 | 1,232,736 |
5% 10/1/48 (e) | | 750,000 | 625,079 |
5% 10/1/53 (e) | | 1,435,000 | 1,168,917 |
| Series 2021 A: | | | |
4% 10/1/46 | | 65,000 | 50,499 |
4% 10/1/51 | | 195,000 | 144,431 |
| Series 2021 C, 4% 10/1/41 | | 50,000 | 41,395 |
| Series 2021, 4% 12/1/56 | | 500,000 | 397,344 |
| Roseman Univ. of Health: | | | |
| (Church Home of Hartford, Inc. Proj.) Series 2015 A: | | | |
5% 9/1/30 (e) | | 150,000 | 142,806 |
5% 9/1/38 (e) | | 290,000 | 253,354 |
| (Fargo-Moorhead Metropolitan Area Flood Risk Mgmt. Proj.) Series 2021, 4% 9/30/51 (d) | | 750,000 | 603,213 |
| (Roseman Univ. of Health Sciences Proj.) Series 2015, 5.875% 4/1/45 | | 400,000 | 401,147 |
| (Searstone CCRC Proj.): | | | |
Series 2021 B2, 2.25% 6/1/27 (e) | | 470,000 | 436,323 |
Series 2023 A, 5% 6/1/52 (e) | | 1,140,000 | 903,423 |
| (Ultimate Med. Academy Proj.) Series 2019 A, 5% 10/1/39 (e) | | 700,000 | 690,915 |
| (Wonderful Foundations Charter School Portfolio Projs.): | | | |
Series 2020 A1, 5% 1/1/55 (e) | | 1,250,000 | 938,657 |
Series 2020 B, 0% 1/1/60 (e) | | 1,100,000 | 58,516 |
| Series 2020: | | | |
5% 1/1/40 | | 300,000 | 283,192 |
5% 4/1/40 (e) | | 410,000 | 391,896 |
5% 4/1/40 (Pre-Refunded to 4/1/30 @ 100) (e) | | 15,000 | 16,792 |
5% 1/1/45 | | 725,000 | 665,666 |
5% 4/1/50 (e) | | 295,000 | 264,782 |
| Series 2021 A: | | | |
3% 7/1/50 | | 1,150,000 | 808,233 |
4.5% 6/1/56 (e) | | 8,170,000 | 5,998,076 |
| Series 2021 B, 6.5% 6/1/56 (e) | | 1,870,000 | 1,498,814 |
| Series 2021 C, 2.75% 6/1/26 (e) | | 250,000 | 245,004 |
| Series 2022: | | | |
4% 4/1/32 (e) | | 515,000 | 484,942 |
4% 1/1/47 | | 100,000 | 87,235 |
4% 1/1/52 | | 105,000 | 88,885 |
| Series 2023 A, 5% 6/1/37 (e) | | 510,000 | 464,603 |
| Series 2023, 5.5% 7/1/39 (d) | | 935,000 | 976,976 |
| Sun Prairie Area School District Series 2021, 2% 3/1/41 | | 1,500,000 | 1,030,023 |
| Univ. of Wisconsin Hosp. & Clinics Auth. Series 2021 B, 4% 4/1/51 | | 2,890,000 | 2,612,322 |
| Waunakee Wis Cmnty. School District Series 2023, 3.25% 4/1/28 | | 1,000,000 | 991,205 |
| Westosha Cent High School District Series 2021, 2% 3/1/40 | | 1,490,000 | 1,040,255 |
| Wisconsin Ctr. District Tax Rev.: | | | |
| Series 2020 C: | | | |
0% 12/15/31 (Assured Guaranty Muni. Corp. Insured) | | 100,000 | 74,307 |
0% 12/15/32 (Assured Guaranty Muni. Corp. Insured) | | 140,000 | 99,686 |
0% 12/15/33 (Assured Guaranty Muni. Corp. Insured) | | 135,000 | 91,952 |
0% 12/15/34 (Assured Guaranty Muni. Corp. Insured) | | 125,000 | 81,263 |
0% 12/15/35 (Assured Guaranty Muni. Corp. Insured) | | 160,000 | 98,990 |
0% 12/15/36 (Assured Guaranty Muni. Corp. Insured) | | 155,000 | 90,832 |
0% 12/15/37 (Assured Guaranty Muni. Corp. Insured) | | 155,000 | 85,831 |
0% 12/15/38 (Assured Guaranty Muni. Corp. Insured) | | 160,000 | 83,992 |
0% 12/15/39 (Assured Guaranty Muni. Corp. Insured) | | 150,000 | 74,587 |
0% 12/15/40 (Assured Guaranty Muni. Corp. Insured) | | 35,000 | 16,499 |
| Series 2020 D: | | | |
0% 12/15/32 (Assured Guaranty Muni. Corp. Insured) | | 135,000 | 96,126 |
0% 12/15/33 (Assured Guaranty Muni. Corp. Insured) | | 210,000 | 143,036 |
0% 12/15/34 (Assured Guaranty Muni. Corp. Insured) | | 200,000 | 130,020 |
0% 12/15/35 (Assured Guaranty Muni. Corp. Insured) | | 300,000 | 185,605 |
0% 12/15/36 (Assured Guaranty Muni. Corp. Insured) | | 310,000 | 181,663 |
0% 12/15/37 (Assured Guaranty Muni. Corp. Insured) | | 505,000 | 279,643 |
0% 12/15/38 (Assured Guaranty Muni. Corp. Insured) | | 545,000 | 286,097 |
0% 12/15/39 (Assured Guaranty Muni. Corp. Insured) | | 595,000 | 295,861 |
0% 12/15/40 (Assured Guaranty Muni. Corp. Insured) | | 255,000 | 120,211 |
| Wisconsin Gen. Oblig. Series 2021 A: | | | |
| 5% 5/1/33 | | 35,000 | 38,161 |
| 5% 5/1/36 | | 4,785,000 | 5,160,287 |
| Wisconsin Health & Edl. Facilities: | | | |
| (Ascension Health Cr. Group Proj.) Series 2016 A, 5% 11/15/36 | | 605,000 | 618,089 |
| Series 2014: | | | |
4% 5/1/33 | | 505,000 | 505,249 |
5% 5/1/25 | | 45,000 | 45,221 |
| Series 2016 A: | | | |
5% 2/15/28 | | 290,000 | 297,059 |
5% 2/15/29 | | 375,000 | 383,743 |
5% 2/15/30 | | 415,000 | 423,923 |
| Series 2016, 4% 12/1/46 | | 5,465,000 | 5,192,880 |
| Series 2017 A: | | | |
5% 9/1/29 (Pre-Refunded to 9/1/27 @ 100) | | 705,000 | 754,723 |
5% 9/1/30 (Pre-Refunded to 9/1/27 @ 100) | | 70,000 | 74,937 |
5% 9/1/31 (Pre-Refunded to 9/1/27 @ 100) | | 120,000 | 128,464 |
5% 9/1/32 (Pre-Refunded to 9/1/27 @ 100) | | 60,000 | 64,232 |
5% 9/1/33 (Pre-Refunded to 9/1/27 @ 100) | | 210,000 | 224,811 |
5% 9/1/35 (Pre-Refunded to 9/1/27 @ 100) | | 230,000 | 246,222 |
| Series 2017 C: | | | |
4% 2/15/42 | | 625,000 | 547,326 |
4% 2/15/50 | | 610,000 | 490,049 |
5% 2/15/47 | | 170,000 | 168,779 |
| Series 2017: | | | |
4% 8/15/42 | | 750,000 | 720,866 |
4% 8/15/47 | | 500,000 | 467,135 |
5% 6/1/37 | | 155,000 | 138,031 |
5% 6/1/41 | | 235,000 | 201,334 |
| Series 2018, 5% 4/1/34 | | 1,545,000 | 1,641,218 |
| Series 2019 A: | | | |
5% 11/1/25 | | 15,000 | 14,746 |
5% 11/1/26 | | 250,000 | 243,404 |
5% 11/1/29 | | 10,000 | 9,437 |
5% 12/1/30 | | 20,000 | 21,478 |
5% 12/1/31 | | 20,000 | 21,461 |
5% 12/1/32 | | 20,000 | 21,480 |
5% 12/1/33 | | 20,000 | 21,460 |
5% 12/1/34 | | 20,000 | 21,465 |
5% 12/1/35 | | 30,000 | 32,087 |
5% 11/1/39 | | 405,000 | 339,629 |
5% 7/1/44 | | 30,000 | 30,390 |
5% 11/1/46 | | 1,195,000 | 928,602 |
5% 7/1/49 | | 530,000 | 536,184 |
5% 11/1/54 | | 1,745,000 | 1,291,920 |
| Series 2019 B, 5% 7/1/38 | | 25,000 | 25,548 |
| Series 2019 B1, 2.825% 11/1/28 | | 310,000 | 274,127 |
| Series 2019: | | | |
5% 10/1/24 | | 15,000 | 15,188 |
5% 10/1/26 | | 35,000 | 36,703 |
5% 10/1/30 | | 285,000 | 309,192 |
5% 10/1/32 | | 600,000 | 648,669 |
| Series 2020 A: | | | |
4% 2/15/36 (Assured Guaranty Muni. Corp. Insured) | | 255,000 | 255,584 |
4% 2/15/37 (Assured Guaranty Muni. Corp. Insured) | | 230,000 | 228,157 |
| Series 2022 A, 4% 4/1/40 | | 4,510,000 | 4,385,314 |
| Wisconsin Health & Edl. Facilities Auth. Rev.: | | | |
| Series 2012, 5% 6/1/39 | | 65,000 | 65,018 |
| Series 2021: | | | |
4% 1/1/37 | | 485,000 | 350,933 |
4% 8/15/46 | | 730,000 | 676,870 |
4% 1/1/47 | | 595,000 | 359,516 |
4% 1/1/57 | | 1,040,000 | 572,853 |
| Series 2022 A, 5.5% 12/1/52 | | 3,070,000 | 3,281,902 |
| Series 2022: | | | |
4% 9/15/36 | | 105,000 | 89,889 |
4% 9/15/41 | | 105,000 | 83,303 |
4% 9/15/45 | | 90,000 | 67,913 |
| Series 2023 A: | | | |
4.75% 3/15/43 | | 130,000 | 123,300 |
5% 3/15/53 | | 130,000 | 121,510 |
| Wisconsin Hsg. & Econ. Dev. Auth.: | | | |
| Series 2021 A, 3% 3/1/52 | | 50,000 | 47,760 |
| Series 2021 C, 3% 9/1/52 | | 1,070,000 | 1,027,309 |
| Series 2023 A, 5% 3/1/49 | | 5,765,000 | 5,922,616 |
| Wisconsin Hsg. & Econ. Dev. Auth. Hsg. Rev. Bonds Series 2021 C: | | | |
| 0.61%, tender 5/1/24 (b) | | 180,000 | 176,928 |
| 0.81%, tender 5/1/25 (b) | | 685,000 | 656,609 |
| Wisconsin Rapids School District Series 2021, 1.6% 4/1/31 | | 1,200,000 | 1,000,062 |
TOTAL WISCONSIN | | | 146,948,598 |
| Wyoming - 0.0% | | | |
| Laramie County Hosp. Rev. (Cheyenne Reg'l. Med. Ctr. Proj.) Series 2021, 4% 5/1/37 | | 40,000 | 39,334 |
| Sublette County Wyo Hosp. District Series 2023 A, 5% 6/15/26 | | 250,000 | 250,201 |
| Wyoming Cmnty. Dev. Auth. Hsg. Rev.: | | | |
| Series 2019 3, 3.75% 12/1/49 | | 105,000 | 104,223 |
| Series 2022 1, 3.5% 6/1/52 | | 1,025,000 | 999,781 |
TOTAL WYOMING | | | 1,393,539 |
| TOTAL MUNICIPAL BONDS (Cost $8,331,437,290) | | | 8,193,090,272 |
| | | | |
| Municipal Notes - 1.0% |
| | | Principal Amount (a) | Value ($) |
| Alabama - 0.1% | | | |
| Columbia Indl. Dev. Board Poll. Cont. Rev. (Alabama Pwr. Co. Proj.) Series 2014 B, 3.55% 12/1/23, VRDN (b) | | 2,100,000 | 2,100,000 |
| Walker County Econ. & Indl. Dev. Auth. Solid Waste Disp. Rev. (Alabama Pwr. Co. Plant Gorgas Proj.) Series 2023, 3.58% 12/1/23, VRDN (b)(d) | | 375,000 | 375,000 |
| Wilsonville Indl. Dev. Board Poll. Cont. Rev. (Alabama Pwr. Co. Proj.) Series D, 3.3% 12/1/23, VRDN (b) | | 3,525,000 | 3,525,000 |
TOTAL ALABAMA | | | 6,000,000 |
| Alaska - 0.0% | | | |
| Valdez Marine Term. Rev. (Exxon Pipeline Co. Proj.) Series 1993 C, 3.25% 12/1/23, VRDN (b) | | 300,000 | 300,000 |
| Arizona - 0.0% | | | |
| Arizona Indl. Dev. Auth. Hosp. Rev. Series 2019 A, 3.1% 12/1/23, LOC JPMorgan Chase Bank, VRDN (b) | | 4,700,000 | 4,700,000 |
| Arkansas - 0.0% | | | |
| Arkansas Dev. Fin. Auth. Health Care Rev. Series 2015 B4, 4.9% 12/7/23, VRDN (b) | | 250,000 | 250,000 |
| California - 0.3% | | | |
| California Statewide Cmntys. Dev. Auth. Multi-family Hsg. Rev. Participating VRDN: | | | |
| Series MIZ 91 21, 3.75% 12/1/23 (Liquidity Facility Mizuho Cap. Markets LLC) (b)(d)(l)(m) | | 6,240,000 | 6,240,000 |
| Series MIZ 91 22, 3.75% 12/1/23 (Liquidity Facility Mizuho Cap. Markets LLC) (b)(d)(l)(m) | | 26,000,000 | 26,000,000 |
| Los Angeles Dept. of Wtr. & Pwr. Wtrwks. Rev. Series 2019 A, 2.35% 12/1/23 (Liquidity Facility Barclays Bank PLC), VRDN (b) | | 4,900,000 | 4,900,000 |
TOTAL CALIFORNIA | | | 37,140,000 |
| Delaware - 0.0% | | | |
| Univ. of Delaware Rev. Series 2005, 3.05% 12/1/23 (Liquidity Facility TD Banknorth, NA), VRDN (b) | | 2,600,000 | 2,600,000 |
| Florida - 0.0% | | | |
| Hillsborough County Indl. Dev. Auth. Series 2020 C, 3.25% 12/7/23, LOC TD Banknorth, NA, VRDN (b) | | 300,000 | 300,000 |
| Georgia - 0.2% | | | |
| Appling County Dev. Auth. Poll. Cont. Rev. (Georgia Pwr. Co. Plant Hatch Proj.) Series 2011 1, 3.45% 12/1/23, VRDN (b) | | 250,000 | 250,000 |
| Bartow County Dev. Auth. (Georgia Pwr. Co. Plant Bowen Proj.) Series 2022: | | | |
| 3.58% 12/1/23, VRDN (b)(d) | | 400,000 | 400,000 |
| 3.6% 12/1/23, VRDN (b)(d) | | 2,400,000 | 2,400,000 |
| Bartow-Cartersville Jt Deva (Hanwha Q Cells U.S.A., Inc. Proj.) Series 2023 A, 3.91% 12/7/23, VRDN (b)(d)(e) | | 900,000 | 900,000 |
| Burke County Indl. Dev. Auth. Poll. Cont. Rev. (Georgia Pwr. Co. Plant Vogtle Proj.): | | | |
| First Series 2009, 3.43% 12/1/23, VRDN (b) | | 11,150,000 | 11,150,000 |
| Series 2008, 3.45% 12/1/23, VRDN (b) | | 2,500,000 | 2,500,000 |
TOTAL GEORGIA | | | 17,600,000 |
| Illinois - 0.0% | | | |
| Illinois Fin. Auth. Series 2021 C, 3.1% 12/1/23 (Liquidity Facility Barclays Bank PLC), VRDN (b) | | 1,800,000 | 1,800,000 |
| Illinois Fin. Auth. Rev. Series 2018, 2.99% 12/1/23, LOC PNC Bank NA, VRDN (b) | | 900,000 | 900,000 |
TOTAL ILLINOIS | | | 2,700,000 |
| Indiana - 0.0% | | | |
| Indiana Muni. Pwr. Agcy. Pwr. Supply Sys. Rev. Series B, 3.1% 12/1/23, LOC U.S. Bank NA, Cincinnati, VRDN (b) | | 100,000 | 100,000 |
| Kentucky - 0.0% | | | |
| Meade County Indl. Bldg. Rev. (Nucor Steel Brandenburg Proj.) Series 2020 A1, 4.2% 12/1/23, VRDN (b)(d) | | 300,000 | 300,000 |
| Michigan - 0.0% | | | |
| Central Michigan Univ. Rev. Series 2008 A, 3.51% 12/7/23, LOC TD Banknorth, NA, VRDN (b) | | 160,000 | 160,000 |
| Mississippi - 0.0% | | | |
| Mississippi Bus. Fin. Corp.: | | | |
| (Chevron U.S.A., Inc. Proj.) Series 2007 C, 3.25% 12/1/23, VRDN (b) | | 1,400,000 | 1,400,000 |
| Series 2009 E, 3.25% 12/1/23, VRDN (b) | | 280,000 | 280,000 |
TOTAL MISSISSIPPI | | | 1,680,000 |
| Missouri - 0.0% | | | |
| Missouri Health & Edl. Facilities Rev. (Saint Louis Univ. Proj.) Series 2008 B2, 3.2% 12/1/23, LOC Wells Fargo Bank NA, VRDN (b) | | 465,000 | 465,000 |
| New Jersey - 0.0% | | | |
| New Jersey Health Care Facilities Fing. Auth. Rev. (Virtua Health Proj.) Series 2009 D, 3.45% 12/7/23, LOC TD Banknorth, NA, VRDN (b) | | 375,000 | 375,000 |
| New York - 0.2% | | | |
| New York City Gen. Oblig.: | | | |
| Series 2015 F6, 3.15% 12/1/23 (Liquidity Facility JPMorgan Chase Bank), VRDN (b) | | 375,000 | 375,000 |
| Series 2017 B-4 & B-5, 3.13% 12/1/23 (Liquidity Facility Barclays Bank PLC), VRDN (b) | | 3,650,000 | 3,650,000 |
| Series 2018 E, 3.05% 12/1/23 (Liquidity Facility TD Banknorth, NA), VRDN (b) | | 2,750,000 | 2,750,000 |
| New York City Muni. Wtr. Fin. Auth. Wtr. & Swr. Sys. Rev.: | | | |
| Series 2010 CC, 3.05% 12/7/23 (Liquidity Facility TD Banknorth, NA), VRDN (b) | | 250,000 | 250,000 |
| Series 2011 DD-1, 3.05% 12/1/23 (Liquidity Facility TD Banknorth, NA), VRDN (b) | | 500,000 | 500,000 |
| Series 2011 DD-3A, 3.1% 12/1/23 (Liquidity Facility U.S. Bank NA, Cincinnati), VRDN (b) | | 1,465,000 | 1,465,000 |
| Series 2021 EE2, 3.1% 12/1/23 (Liquidity Facility State Street Bank & Trust Co., Boston), VRDN (b) | | 5,000,000 | 5,000,000 |
| Series 2023 CC, 3.13% 12/1/23 (Liquidity Facility Barclays Bank PLC), VRDN (b) | | 1,650,000 | 1,650,000 |
| New York City Transitional Fin. Auth. Rev.: | | | |
| Series 2013 C4, 3.15% 12/1/23 (Liquidity Facility JPMorgan Chase Bank), VRDN (b) | | 475,000 | 475,000 |
| Series 2018 A4, 3.15% 12/1/23 (Liquidity Facility JPMorgan Chase Bank), VRDN (b) | | 200,000 | 200,000 |
| Series 2019 C4, 3.13% 12/1/23 (Liquidity Facility Barclays Bank PLC), VRDN (b) | | 500,000 | 500,000 |
| New York Metropolitan Trans. Auth. Rev. Series 2015 E1, 3.13% 12/1/23, LOC Barclays Bank PLC, VRDN (b) | | 1,475,000 | 1,475,000 |
| Triborough Bridge & Tunnel Auth. Revs. Series 2001 C, 3.13% 12/1/23, LOC Barclays Bank PLC, VRDN (b) | | 250,000 | 250,000 |
TOTAL NEW YORK | | | 18,540,000 |
| Non-State Specific - 0.0% | | | |
| Fed. Home Ln. Mtg. Corp. Series 2018 M46, 2.625% 12/7/23 (Liquidity Facility Freddie Mac), VRDN (b)(e) | | 3,595,000 | 2,942,137 |
| North Carolina - 0.0% | | | |
| Charlotte-Mecklenburg Hosp. Auth. Health Care Sys. Rev. (Carolinas Healthcare Sys.) Series 2007 C, 3.15% 12/1/23 (Liquidity Facility JPMorgan Chase Bank), VRDN (b) | | 3,950,000 | 3,950,000 |
| Ohio - 0.0% | | | |
| Ohio Higher Edl. Facility Commission Rev. (Cleveland Clinic Foundation Proj.) Series 2008 B4, 3.1% 12/1/23 (Liquidity Facility Barclays Bank PLC), VRDN (b) | | 275,000 | 275,000 |
| Oregon - 0.0% | | | |
| Oregon Facilities Auth. Rev. Series 2018 B, 3.05% 12/1/23, LOC TD Banknorth, NA, VRDN (b) | | 250,000 | 250,000 |
| Pennsylvania - 0.1% | | | |
| Philadelphia School District TRAN Series 2023 A, 5% 6/28/24 | | 10,000,000 | 10,071,804 |
| Texas - 0.1% | | | |
| Harris County Cultural Ed. Facilities Fin. Corp. Rev.: | | | |
| Series 2020 B, 3.1% 12/1/23, VRDN (b) | | 2,170,000 | 2,170,000 |
| Series 2021 C, 3.05% 12/1/23 (Liquidity Facility Bank of America NA), VRDN (b) | | 1,450,000 | 1,450,000 |
| Lower Neches Valley Auth. Indl. Dev. Corp. Exempt Facilities Rev. (ExxonMobil Proj.): | | | |
| Series 2001 A, 3.25% 12/1/23, VRDN (b) | | 400,000 | 400,000 |
| Series 2001 B, 3.3% 12/1/23, VRDN (b)(d) | | 1,155,000 | 1,155,000 |
| Series 2001 B2, 3.3% 12/1/23, VRDN (b)(d) | | 1,180,000 | 1,180,000 |
TOTAL TEXAS | | | 6,355,000 |
| Utah - 0.0% | | | |
| Utah County Hosp. Rev. Series 2018 C, 3.2% 12/1/23 (Liquidity Facility TD Banknorth, NA), VRDN (b) | | 600,000 | 600,000 |
| Wisconsin - 0.0% | | | |
| Pub. Fin. Auth. Health Care Sys. Rev. Series 2023 E, 3.66% 12/7/23, LOC Truist Bank, VRDN (b) | | 4,190,000 | 4,190,000 |
| Wisconsin Health & Edl. Facilities Auth. Rev. Series 2008 B, 3.05% 12/1/23, LOC TD Banknorth, NA, VRDN (b) | | 250,000 | 250,000 |
TOTAL WISCONSIN | | | 4,440,000 |
| TOTAL MUNICIPAL NOTES (Cost $122,431,344) | | | 122,093,941 |
| | | | |
| Municipal Bond Funds - 27.3% |
| | | Shares | Value ($) |
| Allspring Municipal Bond Fund - Class Admin | | 48,997,314 | 473,314,055 |
| American High-Income Municipal Bond Fund Class F-2 | | 6,536,088 | 95,100,086 |
| BlackRock National Municipal Fund Investor A Shares | | 17,440,366 | 175,275,678 |
| DWS Managed Municipal Bond Fund - Class S | | 36,295,989 | 289,641,988 |
| DWS Strategic High Yield Tax-Free Fund Class S | | 80,803 | 831,465 |
| Eaton Vance National Municipal Income Fund Class I | | 8,830,812 | 80,801,926 |
| Franklin Federal Tax-Free Income Fund - Class R6 | | 48,803,894 | 517,809,310 |
| iShares National Municipal Bond ETF | | 4,766,419 | 507,718,952 |
| MainStay MacKay High Yield Municipal Bond Fund Class A | | 6,469,632 | 74,336,067 |
| T. Rowe Price Tax-Free High Yield Fund | | 8,121,097 | 86,246,048 |
| Vanguard Long-Term Tax-Exempt Fund Admiral Shares | | 57,071,238 | 611,232,881 |
| Vanguard Tax-Exempt Bond Index Fund ETF | | 7,052,194 | 352,680,222 |
| TOTAL MUNICIPAL BOND FUNDS (Cost $3,246,738,834) | | | 3,264,988,678 |
| | | | |
| Money Market Funds - 2.7% |
| | | Principal Amount (a) | Value ($) |
| Fidelity Investments Money Market Government Portfolio Institutional Class 5.28% (n)(o) | | 255,628,275 | 255,628,275 |
| Fidelity Municipal Cash Central Fund 3.41% (p)(q) | | 23,366,207 | 23,370,881 |
| Fidelity SAI Municipal Money Market Fund 3.56% (n)(o) | | 2,605 | 2,606 |
| Invesco Government & Agency Portfolio Institutional Class 5.28% (n) | | 47,430,747 | 47,430,747 |
| TOTAL MONEY MARKET FUNDS (Cost $326,432,509) | | | 326,432,509 |
| | | | |
| TOTAL INVESTMENT IN SECURITIES - 99.5% (Cost $12,027,039,977) | 11,906,605,400 |
NET OTHER ASSETS (LIABILITIES) - 0.5% | 61,573,718 |
| NET ASSETS - 100.0% | 11,968,179,118 |
| | |
| Futures Contracts |
| | Number of contracts | Expiration Date | Notional Amount ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) |
| Sold | | | | | |
| | | | | | |
| Treasury Contracts | | | | | |
| CBOT 10-Year U.S. Treasury Note Contracts (United States) | 260 | Mar 2024 | 28,547,188 | (139,040) | (139,040) |
| CBOT Long Term U.S. Treasury Bond Contracts (United States) | 80 | Mar 2024 | 9,315,000 | (27,059) | (27,059) |
| | | | | | |
| TOTAL FUTURES CONTRACTS | | | | | (166,099) |
| The notional amount of futures sold as a percentage of Net Assets is 0.3% |
Security Type Abbreviations
| ETF | - | EXCHANGE-TRADED FUND |
| TRAN | - | TAX AND REVENUE ANTICIPATION NOTE |
| VRDN | - | VARIABLE RATE DEMAND NOTE (A debt instrument that is payable upon demand, either daily, weekly or monthly) |
Legend
| (a) | Amount is stated in United States dollars unless otherwise noted. |
| (b) | Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. |
| (c) | Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors. |
| (d) | Private activity obligations whose interest is subject to the federal alternative minimum tax for individuals. |
| (e) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $431,468,942 or 3.6% of net assets. |
| (f) | Security initially issued in zero coupon form which converts to coupon form at a specified rate and date. The rate shown is the rate at period end. |
| (g) | Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end. |
| (i) | Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
| (j) | Non-income producing - Security is in default. |
| (k) | Interest Only (IO) security represents the right to receive only monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period. |
| (l) | Provides evidence of ownership in one or more underlying municipal bonds. |
| (m) | Coupon rates are determined by re-marketing agents based on current market conditions. |
| (n) | The rate quoted is the annualized seven-day yield of the fund at period end. |
| (p) | Information in this report regarding holdings by state and security types does not reflect the holdings of the Fidelity Municipal Cash Central Fund. |
| (q) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
| Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
| Fidelity Municipal Cash Central Fund 3.41% | 63,920,881 | 116,195,000 | 156,745,000 | 1,071,930 | - | - | 23,370,881 | 1.0% |
| Total | 63,920,881 | 116,195,000 | 156,745,000 | 1,071,930 | - | - | 23,370,881 | |
| | | | | | | | | |
Amounts in the dividend 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.
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
Affiliated Underlying Funds
Fiscal year to date information regarding the Fund's investments in affiliated Underlying Funds is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur. If an Underlying Funds changes its name, the name presented below is the name in effect at period end.
| Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) |
| Fidelity Investments Money Market Government Portfolio Class I 5.24% | 28,971,238 | 138,103,048 | 167,074,286 | 30,443 | - | - | - |
| Fidelity Investments Money Market Government Portfolio Institutional Class 5.28% | 500,511,324 | 811,249,961 | 1,056,133,010 | 11,578,374 | - | - | 255,628,275 |
| Fidelity SAI Municipal Money Market Fund 3.56% | 2,559 | 47 | - | 47 | - | - | 2,606 |
| | 529,485,121 | 949,353,056 | 1,223,207,296 | 11,608,864 | - | - | 255,630,881 |
Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
Investment Valuation
The following is a summary of the inputs used, as of November 30, 2023, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
| Valuation Inputs at Reporting Date: |
| Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | | | | |
|
| Municipal Securities | 8,315,184,213 | - | 8,304,919,274 | 10,264,939 |
|
| Municipal Bond Funds | 3,264,988,678 | 3,264,988,678 | - | - |
|
| Money Market Funds | 326,432,509 | 326,432,509 | - | - |
| Total Investments in Securities: | 11,906,605,400 | 3,591,421,187 | 8,304,919,274 | 10,264,939 |
Derivative Instruments: Liabilities | | | | |
Futures Contracts | (166,099) | (166,099) | - | - |
| Total Liabilities | (166,099) | (166,099) | - | - |
| Total Derivative Instruments: | (166,099) | (166,099) | - | - |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of November 30, 2023. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
Primary Risk Exposure / Derivative Type | Value |
| Asset ($) | Liability ($) |
| Interest Rate Risk | | |
Futures Contracts (a) | 0 | (166,099) |
| Total Interest Rate Risk | 0 | (166,099) |
| Total Value of Derivatives | 0 | (166,099) |
(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).
| Statement of Assets and Liabilities |
| | | | November 30, 2023 (Unaudited) |
| | | | | |
| Assets | | | | |
| Investment in securities, at value - See accompanying schedule: | | | | |
Unaffiliated issuers (cost $11,748,038,215) | $ | 11,627,603,638 | | |
Fidelity Central Funds (cost $23,370,881) | | 23,370,881 | | |
Other affiliated issuers (cost $255,630,881) | | 255,630,881 | | |
| | | | | |
| | | | | |
| Total Investment in Securities (cost $12,027,039,977) | | | $ | 11,906,605,400 |
| Segregated cash with brokers for derivative instruments | | | | 832,000 |
| Cash | | | | 1,959,560 |
| Receivable for investments sold | | | | 53,173,945 |
| Receivable for fund shares sold | | | | 7,177,762 |
| Dividends receivable | | | | 534,155 |
| Interest receivable | | | | 114,048,175 |
| Distributions receivable from Fidelity Central Funds | | | | 64,300 |
| Receivable for daily variation margin on futures contracts | | | | 214,063 |
| Prepaid expenses | | | | 10,596 |
Total assets | | | | 12,084,619,956 |
| Liabilities | | | | |
| Payable for investments purchased | | | | |
Regular delivery | $ | 37,445,276 | | |
Delayed delivery | | 28,183,328 | | |
| Payable for fund shares redeemed | | 13,149,498 | | |
| Distributions payable | | 36,812,339 | | |
| Accrued management fee | | 693,995 | | |
| Other payables and accrued expenses | | 156,402 | | |
| Total Liabilities | | | | 116,440,838 |
| Net Assets | | | $ | 11,968,179,118 |
| Net Assets consist of: | | | | |
| Paid in capital | | | $ | 13,305,284,429 |
| Total accumulated earnings (loss) | | | | (1,337,105,311) |
| Net Assets | | | $ | 11,968,179,118 |
Net Asset Value, offering price and redemption price per share ($11,968,179,118 ÷ 1,370,833,048 shares) | | | $ | 8.73 |
| Statement of Operations |
| | | | Six months ended November 30, 2023 (Unaudited) |
| Investment Income | | | | |
| Dividends: | | | | |
| Unaffiliated issuers | | | $ | 67,217,070 |
| Affiliated issuers | | | | 11,608,864 |
| Interest | | | | 161,391,290 |
| Income from Fidelity Central Funds | | | | 1,071,930 |
| Total Income | | | | 241,289,154 |
| Expenses | | | | |
| Management fee | $ | 20,415,536 | | |
| Custodian fees and expenses | | 50,236 | | |
| Independent trustees' fees and expenses | | 38,775 | | |
| Registration fees | | 184,104 | | |
| Audit | | 52,030 | | |
| Legal | | 12,184 | | |
| Miscellaneous | | 32,179 | | |
| Total expenses before reductions | | 20,785,044 | | |
| Expense reductions | | (15,897,100) | | |
| Total expenses after reductions | | | | 4,887,944 |
| Net Investment income (loss) | | | | 236,401,210 |
| Realized and Unrealized Gain (Loss) | | | | |
| Net realized gain (loss) on: | | | | |
| Investment Securities: | | | | |
| Unaffiliated issuers | | (208,440,675) | | |
| Futures contracts | | 1,508,867 | | |
| Total net realized gain (loss) | | | | (206,931,808) |
| Change in net unrealized appreciation (depreciation) on: | | | | |
| Investment Securities: | | | | |
| Unaffiliated issuers | | 155,263,996 | | |
| Futures contracts | | 565,997 | | |
| Total change in net unrealized appreciation (depreciation) | | | | 155,829,993 |
| Net gain (loss) | | | | (51,101,815) |
| Net increase (decrease) in net assets resulting from operations | | | $ | 185,299,395 |
| Statement of Changes in Net Assets |
| |
| | Six months ended November 30, 2023 (Unaudited) | | Year ended May 31, 2023 |
| Increase (Decrease) in Net Assets | | | | |
| Operations | | | | |
| Net investment income (loss) | $ | 236,401,210 | $ | 382,747,239 |
| Net realized gain (loss) | | (206,931,808) | | (724,931,313) |
| Change in net unrealized appreciation (depreciation) | | 155,829,993 | | 293,754,165 |
| Net increase (decrease) in net assets resulting from operations | | 185,299,395 | | (48,429,909) |
| Distributions to shareholders | | (232,195,588) | | (378,348,172) |
| | | | | |
| Share transactions | | | | |
| Proceeds from sales of shares | | 4,402,140,737 | | 19,178,105,406 |
| Reinvestment of distributions | | 6,562 | | 5,190 |
| Cost of shares redeemed | | (5,382,414,262) | | (16,916,687,046) |
| | | | | |
Net increase (decrease) in net assets resulting from share transactions | | (980,266,963) | | 2,261,423,550 |
| Total increase (decrease) in net assets | | (1,027,163,156) | | 1,834,645,469 |
| | | | | |
| Net Assets | | | | |
| Beginning of period | | 12,995,342,274 | | 11,160,696,805 |
| End of period | $ | 11,968,179,118 | $ | 12,995,342,274 |
| | | | | |
| Other Information | | | | |
| Shares | | | | |
| Sold | | 522,297,053 | | 2,198,716,832 |
| Issued in reinvestment of distributions | | 766 | | 593 |
| Redeemed | | (640,571,280) | | (1,945,051,261) |
| Net increase (decrease) | | (118,273,461) | | 253,666,164 |
| | | | | |
Financial Highlights
| Strategic Advisers® Municipal Bond Fund |
| |
| | Six months ended (Unaudited) November 30, 2023 | | Years ended May 31, 2023 | | 2022 A |
Selected Per-Share Data | | | | | | |
| Net asset value, beginning of period | $ | 8.73 | $ | 9.03 | $ | 10.00 |
| Income from Investment Operations | | | | | | |
Net investment income (loss) B,C | | .161 | | .293 | | .202 |
| Net realized and unrealized gain (loss) | | (.003) | | (.305) | | (.984) |
| Total from investment operations | | .158 | | (.012) | | (.782) |
| Distributions from net investment income | | (.158) | | (.288) | | (.187) |
| Distributions from net realized gain | | - | | - | | (.001) |
| Total distributions | | (.158) | | (.288) | | (.188) |
| Net asset value, end of period | $ | 8.73 | $ | 8.73 | $ | 9.03 |
Total Return D,E | | 1.85% | | (.07)% | | (7.92)% |
Ratios to Average Net Assets C,F,G | | | | | | |
| Expenses before reductions | | .33% H | | .34% | | .31% H |
| Expenses net of fee waivers, if any | | .08% H | | .09% | | .06% H |
| Expenses net of all reductions | | .08% H | | .09% | | .06% H |
| Net investment income (loss) | | 3.73% H | | 3.35% | | 2.27% H |
| Supplemental Data | | | | | | |
| Net assets, end of period (000 omitted) | $ | 11,968,179 | $ | 12,995,342 | $ | 11,160,697 |
Portfolio turnover rate I | | 68% H | | 117% | | 134% H |
AFor the period June 17, 2021 (commencement of operations) through May 31, 2022.
BCalculated based on average shares outstanding during the period.
CNet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
DTotal returns for periods of less than one year are not annualized.
ETotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
FFees 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.
GExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
HAnnualized.
IAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
For the period ended November 30, 2023
1. Organization.
Strategic Advisers Municipal Bond Fund (the Fund) is a fund of Fidelity Rutland Square Trust II (the Trust), and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust. The Fund is offered exclusively to certain managed account clients of Strategic Advisers LLC (Strategic Advisers), an affiliate of Fidelity Management & Research Company LLC (FMR).
2.Significant Accounting Policies.
The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services 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 the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.
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 - unadjusted 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 services or from brokers who make markets in such securities. Municipal securities are valued by pricing services 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 services. 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 service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day but the exchange reports a closing bid level, ETFs are valued at the closing bid and would be categorized as Level 1 in the hierarchy. In the event there was no closing bid, ETFs may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and may be categorized as Level 2 in the hierarchy.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. If an unaffiliated open-end mutual fund's NAV is unavailable, shares of that fund may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and is categorized as Level 2 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of November 30, 2023 is included at the end of the Fund's Schedule of Investments.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable.
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.
Distributions are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to the short-term gain distributions from the underlying mutual funds or ETFs, futures transactions, market discount, capital loss carryforwards and losses deferred due to wash sales.
The Fund purchases municipal securities whose interest, in the opinion of the issuer, is free from federal income tax. There is no assurance that the IRS will agree with this opinion. In the event the IRS determines that the issuer does not comply with relevant tax requirements, interest payments from a security could become federally taxable, possibly retroactively to the date the security was issued.
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 | $144,072,245 |
| Gross unrealized depreciation | (293,965,417) |
| Net unrealized appreciation (depreciation) | $(149,893,172) |
| Tax cost | $12,056,332,473 |
Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of prior fiscal period end and is subject to adjustment.
Short-term | $(855,289,634) |
Long-term | (32,127,844) |
| Total capital loss carryforward | $(887,417,478) |
Delayed Delivery Transactions and When-Issued Securities. During the period, certain Funds transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. Securities purchased on a delayed delivery or when-issued basis are identified as such in the Schedule of Investments. Compensation for interest forgone in the purchase of a delayed delivery or when-issued debt security may be received. With respect to purchase commitments, each applicable Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Payables and receivables associated with the purchases and sales of delayed delivery securities having the same coupon, settlement date and broker are offset. Delayed delivery or when-issued securities that have been purchased from and sold to different brokers are reflected as both payables and receivables in the Statement of Assets and Liabilities under the caption "Delayed delivery", as applicable. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
Restricted Securities (including Private Placements). Funds may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities held at period end is included at the end of the Schedule of Investments, if applicable.
3.Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund's investment objectives allow for various types of derivative instruments, 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.
Derivatives were used 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 objectives may not be achieved.
Derivatives were used to increase or decrease exposure to the following risk(s):
| | |
| 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. |
Funds are also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that a 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 a fund. Counterparty credit risk related to exchange-traded 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. Futures contracts were used to manage 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 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 unless an average notional amount is presented. Any securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Any cash deposited to meet initial margin requirements is presented as segregated cash with brokers for derivative instruments in the Statement of Assets and Liabilities.
4. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities and in-kind transactions, as applicable, are noted in the table below.
| | Purchases ($) | Sales ($) |
| Strategic Advisers Municipal Bond Fund | 4,188,232,423 | 5,116,009,642 |
Unaffiliated Exchanges In-Kind. During the period, the Fund redeemed shares of MainStay MacKay High Yield Municipal Bond Fund Class A in exchange for investments and cash, if any, as noted in the table below. The Fund had a net realized loss $2,448,977 on the Fund's redemptions of MainStay MacKay High Yield Municipal Bond Fund Class A, which is included in "Net Realized gain (loss) on Investment Securities: Unaffiliated issuers" in the accompanying Statement of Operations. The Fund recognized a net loss on the exchanges for federal income tax purposes.
| Fund Name | Value of Investments ($) | Net realized gain (loss) ($) | Shares redeemed |
| MainStay MacKay High Yield Municipal Bond Fund Class A | 89,218,096 | (2,448,977) | 8,037,956 |
Prior Fiscal Year Unaffiliated Exchanges In-Kind. During the prior period, the Fund redeemed shares of Western Asset Managed Municipals Fund Class A, MFS Municipal Income Fund Class A and MainStay MacKay Tax Free Bond Fund Class A in exchange for investments and cash, if any, as noted in the table below. The Fund had a net realized loss $193,652,739 on the Fund's redemptions of Western Asset Managed Municipals Fund Class A, MFS Municipal Income Fund Class A and MainStay MacKay Tax Free Bond Fund Class A, which is included in "Net Realized gain (loss)" in the accompanying Statement of Changes in Net Assets. The Fund recognized a net loss on the exchanges for federal income tax purposes.
| Fund Name | Value of Investments ($) | Net realized gain (loss) ($) | Shares redeemed |
| Western Asset Managed Municipals Fund Class A | 1,069,484,120 | (73,318,008) | 70,038,253 |
| MFS Municipal Income Fund Class A | 1,158,725,927 | (96,124,488) | 140,451,627 |
| MainStay MacKay Tax Free Bond Fund Class A | 373,829,325 | (24,210,243) | 39,952,689 |
5. Fees and Other Transactions with Affiliates.
Management Fee. Strategic Advisers (the investment adviser) provides the Fund with investment management related services. For these services, the Fund pays a monthly management fee to the investment adviser. The management fee is calculated by adding the annual management fee rate of .25% of the Fund's average net assets throughout the month to the aggregate of the fee rates, payable monthly by the investment adviser, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed .60% of the Fund's average net assets. For the reporting period, the total annualized management fee rate was .32% of the Fund's average net assets.
During the period, the investment adviser waived a portion of its management fee as described in the Expense Reductions note.
Sub-Advisers. Delaware Investments Fund Advisers, FIAM LLC (an affiliate of the investment adviser), Mackay Shields LLC, Massachusetts Financial Services Company (MFS), T. Rowe Price Associates, Inc. and Western Asset Management Company, 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 as described in the Management Fee note.
Interfund Trades. Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. During the period, there were no interfund trades.
Prior Fiscal Year Affiliated Exchanges In-Kind. During the prior period, the Fund redeemed shares of Fidelity Tax-Free Bond Fund, Fidelity SAI Municipal Income Fund and Fidelity SAI Tax-Free Bond Fund in exchange for investments and cash, if any, as noted in the table below. The Fund had a net realized loss of $167,992,109 on the Fund's redemptions of Fidelity Tax-Free Bond Fund, Fidelity SAI Municipal Income Fund and Fidelity SAI Tax-Free Bond Fund, which is included in "Net Realized gain (loss)" in the accompanying Statement of Changes in Net Assets. The Fund recognized a net loss on the exchanges for federal income tax purposes.
| Fund Name | Value of Investments ($) | Net realized gain (loss) ($) | Shares redeemed |
| Fidelity Tax-Free Bond Fund | 180,390,645 | (9,650,202) | 16,954,008 |
| Fidelity SAI Municipal Income Fund | 1,510,770,968 | (147,856,951) | 157,700,519 |
| Fidelity SAI Tax-Free Bond Fund | 131,430,855 | (10,484,956) | 13,577,568 |
6. Investments in Fidelity Central Funds.
Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.
| Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense RatioA |
| Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |
A Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.
7. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below. During the period, there were no borrowings on this line of credit.
| | Amount |
| Strategic Advisers Municipal Bond Fund | $10,959 |
8. Expense Reductions.
The investment adviser has contractually agreed to waive the Fund's management fee in an amount equal to .25% of the Fund's average net assets until September 30, 2026. During the period, this waiver reduced the Fund's management fee by $ 15,857,586.
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 $39,514.
9. Other.
A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.
10. Risk and Uncertainties.
Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as pandemics, epidemics, outbreaks of infectious diseases, war, terrorism, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer. Significant concentrations in security types, issuers, industries, sectors, and geographic locations may magnify the factors that affect a fund's performance.
As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
| The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (June 1, 2023 to November 30, 2023). |
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| | | | | Annualized Expense Ratio- A | | Beginning Account Value June 1, 2023 | | Ending Account Value November 30, 2023 | | Expenses Paid During Period- C June 1, 2023 to November 30, 2023 |
| | | | | | | | | | |
| Strategic Advisers® Municipal Bond Fund | | | | .08% | | | | | | |
| Actual | | | | | | $ 1,000 | | $ 1,018.50 | | $ .40 |
Hypothetical-B | | | | | | $ 1,000 | | $ 1,024.60 | | $ .40 |
| |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B 5% return per year before expenses
C Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/ 366 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.
Board Approval of Investment Advisory Contracts and Management Fees
Strategic Advisers Municipal Bond Fund
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), considers the renewal of the fund's management contract with Strategic Advisers LLC (Strategic Advisers), the sub-advisory agreements with Delaware Investments Fund Advisers, FIAM LLC, MacKay Shields LLC, Massachusetts Financial Services Company, T. Rowe Price Associates, Inc., and Western Asset Management Company, LLC (each a Sub-Adviser and collectively, the Sub-Advisers) (collectively, the Sub-Advisory Agreements), and the sub-sub-advisory agreements with FMR Investment Management (UK) Limited, Fidelity Management & Research (Japan) Limited, and Fidelity Management & Research (Hong Kong) Limited (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 2023 meeting, the Board, including the Independent Trustees, unanimously determined to renew the fund's Advisory Contracts. In reaching its determination to renew the fund's Advisory Contracts, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness relative to peer funds of the fund's management fee and total expenses; (iii) the total costs of the services provided by and the profits, if any, realized by Strategic Advisers from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and are realized as the fund grows and whether any economies of scale are appropriately shared with fund shareholders. 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.
The Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts is in the best interests of the fund and its shareholders. In addition, the Board concluded that the renewal of each Sub-Advisory Agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees charged under the Advisory Contracts bear a reasonable relationship to the services rendered.
Nature, Extent, and Quality of Services Provided. The Board considered the staffing within the Investment Advisers, including the backgrounds of the fund's investment personnel and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Strategic Advisers' investment operations and investment groups. The Board considered the structure of each Investment Adviser's investment personnel compensation program and whether such structures provide appropriate incentives to act in the best interests of the fund.
The Trustees also discussed with representatives of Strategic Advisers, at meetings throughout the year, Strategic Advisers' role in, among other things, (i) setting, implementing and monitoring the investment strategies for the funds; (ii) identifying and recommending sub-advisers for the funds; (iii) overseeing compliance with federal securities laws by each sub-adviser with respect to the portion of fund assets allocated to the sub-adviser; (iv) monitoring and overseeing the performance and investment capabilities of each sub-adviser; and (v) recommending the replacement of a sub-adviser as appropriate. The Trustees considered that the Board had received from Strategic Advisers substantial information and periodic reports about Strategic Advisers' sub-adviser oversight and due diligence processes, as well as periodic reports regarding the performance of each sub-adviser.
The Board also considered the nature, extent and quality of services provided by each Sub-Adviser. The Trustees noted that under the Sub-Advisory Agreements subject to oversight by Strategic Advisers, each Sub-Adviser is responsible for, among other things, identifying investments for the portion of fund assets allocated to the Sub-Adviser, if any, and executing portfolio transactions to implement its investment strategy. In addition, the Trustees noted that each Sub-Adviser is responsible for providing such reporting as may be requested from Strategic Advisers to fulfill its oversight responsibilities discussed above.
Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of the Investment Advisers' investment staffs, their use of technology, and the Investment Advisers' approach to managing and compensating investment personnel. The Board noted that the Investment Advisers' analysts have extensive resources, tools, and capabilities that allow them to conduct sophisticated quantitative and/or fundamental analysis. Additionally, in its deliberations, the Board considered the Investment Advisers' trading capabilities and resources and global compliance infrastructure, which are integral parts of the investment management process.
Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of administrative and shareholder services performed by Strategic Advisers and its affiliates under the management contract and under separate agreements covering transfer agency 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. In connection with the renewal of the Advisory Contracts, the Board considered annualized return information for the fund over 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. The Board also considered information about performance attribution. In its discussions with representatives of Strategic Advisers regarding fund performance, the Board gave particular attention to information indicating underperformance of certain funds over different time periods and discussed with Strategic Advisers the reasons for any such underperformance.
In addition to reviewing absolute and relative fund performance, the Independent Trustees periodically consider the appropriateness of fund performance metrics in evaluating the results achieved. The Independent Trustees generally give greater weight to fund performance over longer time periods than over shorter time periods. Depending on the circumstances, the Independent Trustees may be satisfied with the fund's performance notwithstanding that it lags its benchmark index peer group for certain periods.
Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.
Competitiveness of Management Fee and Total Fund Expenses. The Board considered the amount and nature of fees paid to the Investment Advisers. The Board also considered information comparing the management fees and total expenses of the fund to those of other registered investment companies with investment objectives similar to those of the fund, as discussed below. The Board also noted Strategic Advisers' proposal to extend the management fee waiver and considered the fund's contractual maximum aggregate annual management fee rate. In considering the fund's management fee and management fee waiver and comparisons to other registered investment companies with investment objectives similar to those of the fund, the Board noted that shares of the fund are offered only to clients that participate in the Fidelity Portfolio Advisory Service managed account program. In its review of the fund's total expenses, the Board considered the fund's management fee rate as well as other fund expenses, as applicable, such as expenses from holding Fidelity and non-Fidelity mutual funds and ETFs, pricing and bookkeeping fees, and custodial, legal, and audit fees.
Comparisons of Management Fees and Total Expense Ratios. Among other things, the Board reviewed data for selected groups of competitive funds and classes (referred to as "mapped groups") that were compiled by Fidelity based on combining similar investment objective categories (as classified by Lipper) that have comparable investment mandates. The data reviewed by the Board included (i) gross management fee comparisons (before taking into account expense reimbursements or caps) relative to the total universe of funds within the mapped group; (ii) gross management fee comparisons relative to a subset of non-Strategic Advisers funds in the mapped group that are similar in size and management fee structure to the fund (referred to as the "asset size peer group"); and (iii) total expense comparisons of the fund relative to funds and classes in the mapped group that have a similar sales load structure to the fund (referred to as the "similar sales load structure group").
The information provided to the Board indicated that the fund's management fee rate ranked below the competitive median of the mapped group for the 12-month period ended December 31, 2022 and below the competitive median of the asset size peer group for the 12-month period ended December 31, 2022. Further, the information provided to the Board indicated that the total expense ratio of the fund ranked below the competitive median of the similar sales load structure group for the 12-month period ended December 31, 2022.
Fees Charged to Other Clients. The Board also considered fee structures paid by the Investment Advisers' other clients, such as other funds advised or subadvised by the Investment Advisers, pension plan clients, and other institutional clients with similar investment mandates.
Based on its review, the Board concluded that the fund's management fee bears a reasonable relationship to the services rendered. Further, based on its review of the total expense ratios and fees charged to other clients of Strategic Advisers or its affiliates and each Sub-Adviser, the Board concluded that the total expenses of the fund were reasonable in light of the services that the fund and its shareholders receive and the other factors considered.
Costs of the Services and Profitability. The Board considered information regarding the revenues earned and the expenses incurred by Strategic Advisers and its affiliates in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and servicing the fund's shareholders.
On an annual basis, Strategic Advisers presents to the Board information about the profitability of its relationships with the fund. Strategic Advisers calculates profitability information for the fund using a series of detailed revenue and cost allocation methodologies. The Board reviews any significant changes from the prior year's methodologies. Strategic Advisers noted that, to the extent possible, it employs the same corporate reporting of revenues and expenses as those used by other Fidelity funds.
A public accounting firm has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. The engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's fund business, and completion of agreed-upon procedures in respect of the mathematical accuracy of certain fund profitability information and its conformity to established allocation methodologies. After considering the reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.
The Board also reviewed Fidelity's non-fund businesses and potential indirect benefits such businesses may have received as a result of their association with Fidelity's fund business (i.e., fall-out benefits) as well as cases where Fidelity's affiliates may benefit from the fund's business. The Board noted that changes to fall-out benefits year-over-year reflect business developments at Fidelity's various businesses.
The Board considered the costs of the services provided by and the profits realized, if any, by Strategic Advisers and its affiliates in connection with the operation of the fund and was satisfied that the profitability was not excessive.
The Board also considered information regarding the profitability of the Sub-Advisers' respective relationships with the fund and the potential fall-out benefits, if any, that may accrue to the Sub-Advisers as a result of their respective relationships with the fund. The Board noted the difficulty in evaluating a Sub-Adviser's costs and the profitability of a Sub-Advisory Agreement to a Sub-Adviser because of, among other things, differences in the type and content of information provided by each Sub-Adviser due to differences in business models, cost accounting methods, and profitability calculation methodologies among the Sub-Advisers. Accordingly, the Board considered profitability information provided by the Sub-Advisers in light of the nature of the relationships between Strategic Advisers and the Sub-Advisers with respect to the negotiation of sub-advisory fees.
Possible Economies of Scale. The Board considered whether there have been economies of scale in respect of the management of the Strategic Advisers funds, whether the Strategic Advisers funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale as assets grow through increased services to the fund, through waivers or reimbursements, or through fee or expense ratio reductions. The Board considered that certain of the fund's Sub-Advisory Agreements provide for breakpoints as the fund's assets grow and noted that any potential decline in sub-advisory fees under such contracts would accrue directly to the fund. The Board also took Strategic Advisers' management fee waiver into consideration.
Conclusion. Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee arrangements bear a reasonable relationship to the services rendered and that the fund's Advisory Contracts should be renewed because each agreement is in the best interests of the fund and its shareholders. In addition, the Board concluded that the renewal of each Sub-Advisory Agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.
1.9903615.102
SAM-SANN-0124
Strategic Advisers® Fidelity® Core Income Fund
Offered exclusively to certain managed account clients of Strategic Advisers LLC or its affiliates - not available for sale to the general public
Semi-Annual Report
November 30, 2023
Contents
To view a fund's proxy voting guidelines and 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. © 2024 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.
The information in the following tables is based on the direct Investments of the Fund.
Top Holdings (% of Fund's net assets) |
| (excluding cash equivalents) |
| Fidelity SAI Total Bond Fund | 23.2 | |
| Fidelity SAI U.S. Treasury Bond Index Fund | 9.3 | |
| Fidelity SAI Long-Term Treasury Bond Index Fund | 4.0 | |
| Fidelity Intermediate Treasury Bond Index Fund | 3.2 | |
| Fidelity Advisor New Markets Income Fund Class Z | 1.7 | |
| Fannie Mae 2.5% 1/1/28 to 5/1/53 | 1.6 | |
| Fidelity Advisor Floating Rate High Income Fund Class Z | 1.6 | |
| Fidelity Advisor Real Estate Income Fund Class Z | 1.6 | |
| Fannie Mae 2% 2/1/28 to 3/1/52 | 1.3 | |
| Fidelity Short-Term Treasury Bond Index Fund | 1.1 | |
Asset Allocation (% of Fund's net assets) |
|
Short-Term Investments and Net Other Assets (Liabilities) - (13.0)% |
Percentages in the above tables are adjusted for the effect of TBA Sale Commitments. |
|
Asset Allocation of funds in the pie chart reflect the categorizations of the asset as defined by Morningstar as of the reporting date.
Percentages in the above tables are adjusted for the effect of futures contracts and swaps, if applicable.
Showing Percentage of Net Assets
| Nonconvertible Bonds - 14.0% |
| | | Principal Amount (a) | Value ($) |
| COMMUNICATION SERVICES - 1.2% | | | |
| Diversified Telecommunication Services - 0.3% | | | |
| AT&T, Inc.: | | | |
| 1.65% 2/1/28 | | 2,253,000 | 1,962,391 |
| 2.25% 2/1/32 | | 8,095,000 | 6,415,685 |
| 2.55% 12/1/33 | | 18,825,000 | 14,654,262 |
| 2.75% 6/1/31 | | 7,200,000 | 6,054,493 |
| 3.55% 9/15/55 | | 11,426,000 | 7,532,810 |
| 3.65% 9/15/59 | | 2,396,000 | 1,581,404 |
| 3.8% 12/1/57 | | 49,962,000 | 34,150,504 |
| 4.3% 2/15/30 | | 10,554,000 | 9,985,350 |
| 4.5% 5/15/35 | | 2,388,000 | 2,161,729 |
| 4.75% 5/15/46 | | 41,310,000 | 35,009,976 |
| 5.4% 2/15/34 | | 5,000,000 | 4,942,169 |
| C&W Senior Financing Designated Activity Co. 6.875% 9/15/27 (b) | | 2,046,000 | 1,857,001 |
| Cogent Communications Group, Inc. 7% 6/15/27 (b) | | 1,010,000 | 992,325 |
| Frontier Communications Holdings LLC 5.875% 10/15/27 (b) | | 435,000 | 408,672 |
| Level 3 Financing, Inc.: | | | |
| 3.625% 1/15/29 (b)(c) | | 85,000 | 41,650 |
| 10.5% 5/15/30 (b) | | 154,000 | 142,835 |
| NTT Finance Corp.: | | | |
| 1.162% 4/3/26 (b) | | 2,595,000 | 2,363,008 |
| 1.591% 4/3/28 (b) | | 3,586,000 | 3,099,827 |
| Sprint Capital Corp. 8.75% 3/15/32 | | 2,165,000 | 2,588,307 |
| Telenet Finance Luxembourg Notes SARL 5.5% 3/1/28 (b) | | 400,000 | 365,000 |
| Verizon Communications, Inc.: | | | |
| 2.1% 3/22/28 | | 2,703,000 | 2,393,500 |
| 2.355% 3/15/32 | | 21,895,000 | 17,465,380 |
| 2.55% 3/21/31 | | 3,016,000 | 2,504,374 |
| 2.987% 10/30/56 | | 1,378,000 | 845,922 |
| 3% 11/20/60 | | 5,215,000 | 3,164,418 |
| 3.15% 3/22/30 | | 449,000 | 398,367 |
| 3.7% 3/22/61 | | 7,473,000 | 5,284,995 |
| 4.016% 12/3/29 | | 6,227,000 | 5,847,112 |
| 4.329% 9/21/28 | | 1,412,000 | 1,362,723 |
| 4.4% 11/1/34 | | 8,120,000 | 7,462,408 |
| 4.5% 8/10/33 | | 653,000 | 610,527 |
| 4.862% 8/21/46 | | 5,000,000 | 4,463,271 |
| Virgin Media Finance PLC 5% 7/15/30 (b) | | 1,336,000 | 1,116,448 |
| | | | 189,228,843 |
| Entertainment - 0.0% | | | |
| Roblox Corp. 3.875% 5/1/30 (b) | | 1,070,000 | 918,863 |
| The Walt Disney Co.: | | | |
| 3.8% 3/22/30 | | 7,255,000 | 6,821,685 |
| 4.7% 3/23/50 | | 3,114,000 | 2,845,015 |
| 6.65% 11/15/37 | | 5,862,000 | 6,578,516 |
| Universal Music Group NV 4% 6/13/31 (Reg. S) | EUR | 600,000 | 653,979 |
| | | | 17,818,058 |
| Media - 0.7% | | | |
| Advantage Sales & Marketing, Inc. 6.5% 11/15/28 (b) | | 940,000 | 837,809 |
| Altice Financing SA 5% 1/15/28 (b) | | 1,415,000 | 1,211,601 |
| CCO Holdings LLC/CCO Holdings Capital Corp.: | | | |
| 4.25% 2/1/31 (b) | | 940,000 | 784,147 |
| 4.5% 8/15/30 (b) | | 8,220,000 | 7,052,864 |
| 4.5% 5/1/32 | | 4,180,000 | 3,442,760 |
| 5% 2/1/28 (b) | | 4,201,000 | 3,936,667 |
| Charter Communications Operating LLC/Charter Communications Operating Capital Corp.: | | | |
| 2.3% 2/1/32 | | 12,000,000 | 9,177,428 |
| 2.8% 4/1/31 | | 25,100,000 | 20,413,385 |
| 3.7% 4/1/51 | | 24,646,000 | 15,251,001 |
| 3.85% 4/1/61 | | 14,293,000 | 8,532,947 |
| 3.9% 6/1/52 | | 40,000,000 | 25,590,391 |
| 4.2% 3/15/28 | | 1,724,000 | 1,622,385 |
| 4.8% 3/1/50 | | 29,000,000 | 21,572,886 |
| 4.908% 7/23/25 | | 1,662,000 | 1,634,728 |
| 5.25% 4/1/53 | | 21,418,000 | 17,152,071 |
| 5.375% 5/1/47 | | 44,218,000 | 35,759,846 |
| 5.5% 4/1/63 | | 2,304,000 | 1,822,981 |
| 5.75% 4/1/48 | | 18,275,000 | 15,416,454 |
| 6.15% 11/10/26 | | 7,200,000 | 7,290,657 |
| 6.834% 10/23/55 | | 10,000,000 | 9,526,090 |
| Comcast Corp.: | | | |
| 2.937% 11/1/56 | | 1,612,000 | 984,911 |
| 2.987% 11/1/63 | | 6,248,000 | 3,711,823 |
| 3.75% 4/1/40 | | 1,000,000 | 814,608 |
| 3.95% 10/15/25 | | 1,057,000 | 1,034,563 |
| 3.999% 11/1/49 | | 26,352,000 | 20,612,523 |
| CSC Holdings LLC 6.5% 2/1/29 (b) | | 1,300,000 | 1,104,636 |
| Diamond Sports Group LLC/Diamond Sports Finance Co. 5.375% (b)(d) | | 925,000 | 21,969 |
| Discovery Communications LLC: | | | |
| 3.625% 5/15/30 | | 6,977,000 | 6,165,344 |
| 3.95% 3/20/28 | | 8,095,000 | 7,576,489 |
| 4.65% 5/15/50 | | 20,947,000 | 15,817,959 |
| Fox Corp.: | | | |
| 3.5% 4/8/30 | | 5,947,000 | 5,284,592 |
| 4.709% 1/25/29 | | 252,000 | 245,604 |
| 5.476% 1/25/39 | | 2,513,000 | 2,295,312 |
| 5.576% 1/25/49 | | 1,667,000 | 1,484,790 |
| Gray Television, Inc. 4.75% 10/15/30 (b) | | 445,000 | 317,689 |
| Lagardere S.C.A. 2.125% 10/16/26 (Reg. S) | EUR | 1,400,000 | 1,515,671 |
| Lamar Media Corp. 3.625% 1/15/31 | | 815,000 | 697,571 |
| Magallanes, Inc.: | | | |
| 3.755% 3/15/27 | | 10,494,000 | 9,901,847 |
| 4.054% 3/15/29 | | 6,665,000 | 6,157,388 |
| 4.279% 3/15/32 | | 52,515,000 | 46,326,800 |
| 5.05% 3/15/42 | | 9,304,000 | 7,681,684 |
| 5.141% 3/15/52 | | 75,384,000 | 60,251,469 |
| 5.391% 3/15/62 | | 3,419,000 | 2,724,509 |
| Nexstar Media, Inc. 5.625% 7/15/27 (b) | | 1,940,000 | 1,836,832 |
| Scripps Escrow II, Inc. 3.875% 1/15/29 (b) | | 425,000 | 357,236 |
| Sirius XM Radio, Inc.: | | | |
| 3.875% 9/1/31 (b) | | 275,000 | 222,507 |
| 4.125% 7/1/30 (b) | | 10,000,000 | 8,437,500 |
| 5% 8/1/27 (b) | | 1,705,000 | 1,619,902 |
| 5.5% 7/1/29 (b) | | 5,890,000 | 5,472,752 |
| TEGNA, Inc.: | | | |
| 4.625% 3/15/28 | | 1,615,000 | 1,468,729 |
| 5% 9/15/29 | | 115,000 | 102,201 |
| Time Warner Cable LLC: | | | |
| 4.5% 9/15/42 | | 886,000 | 655,660 |
| 5.5% 9/1/41 | | 13,379,000 | 11,066,871 |
| 5.875% 11/15/40 | | 12,748,000 | 11,020,403 |
| 6.55% 5/1/37 | | 7,048,000 | 6,655,844 |
| 6.75% 6/15/39 | | 5,390,000 | 5,140,238 |
| 7.3% 7/1/38 | | 8,091,000 | 8,093,204 |
| Virgin Media Secured Finance PLC 5.5% 5/15/29 (b) | | 415,000 | 390,338 |
| VZ Secured Financing BV 5% 1/15/32 (b) | | 1,790,000 | 1,466,082 |
| Ziggo Bond Co. BV 5.125% 2/28/30 (b) | | 745,000 | 582,221 |
| Ziggo BV 4.875% 1/15/30 (b) | | 265,000 | 226,819 |
| | | | 475,574,188 |
| Wireless Telecommunication Services - 0.2% | | | |
| Millicom International Cellular SA: | | | |
| 4.5% 4/27/31 (b) | | 7,026,000 | 5,596,209 |
| 5.125% 1/15/28 (b) | | 1,170,000 | 1,055,925 |
| Rogers Communications, Inc.: | | | |
| 3.2% 3/15/27 | | 14,667,000 | 13,671,812 |
| 3.8% 3/15/32 | | 17,728,000 | 15,431,138 |
| 4.55% 3/15/52 | | 9,856,000 | 7,818,561 |
| T-Mobile U.S.A., Inc.: | | | |
| 2.4% 3/15/29 | | 3,185,000 | 2,772,588 |
| 2.625% 4/15/26 | | 2,931,000 | 2,753,978 |
| 2.7% 3/15/32 | | 13,401,000 | 10,981,223 |
| 2.875% 2/15/31 | | 1,445,000 | 1,224,549 |
| 3.5% 4/15/25 | | 2,693,000 | 2,619,193 |
| 3.75% 4/15/27 | | 15,510,000 | 14,787,369 |
| 3.875% 4/15/30 | | 22,877,000 | 21,012,868 |
| 5.65% 1/15/53 | | 2,491,000 | 2,433,205 |
| VMED O2 UK Financing I PLC 4.25% 1/31/31 (b) | | 2,955,000 | 2,484,194 |
| Vodafone Group PLC: | | | |
| 3.25% 6/4/81 (e) | | 1,806,000 | 1,646,830 |
| 4.125% 5/30/25 | | 3,663,000 | 3,598,044 |
| 4.875% 10/3/78 (Reg. S) (e) | GBP | 1,100,000 | 1,340,091 |
| 6.25% 10/3/78 (Reg. S) (e) | | 1,068,000 | 1,055,964 |
| | | | 112,283,741 |
TOTAL COMMUNICATION SERVICES | | | 794,904,830 |
| CONSUMER DISCRETIONARY - 0.9% | | | |
| Automobile Components - 0.0% | | | |
| Allison Transmission, Inc. 3.75% 1/30/31 (b) | | 1,015,000 | 847,754 |
| Clarios Global LP / Clarios U.S. Finance Co. 6.75% 5/15/28 (b) | | 460,000 | 464,129 |
| Dana, Inc. 4.5% 2/15/32 | | 475,000 | 389,476 |
| Macquarie AirFinance Holdings: | | | |
| 8.125% 3/30/29 (b) | | 635,000 | 647,160 |
| 8.375% 5/1/28 (b) | | 310,000 | 317,812 |
| Robert Bosch GmbH 4.375% 6/2/43 (Reg. S) | EUR | 500,000 | 542,242 |
| Schaeffler AG 3.375% 10/12/28 (Reg. S) | EUR | 1,100,000 | 1,126,036 |
| ZF Finance GmbH 2% 5/6/27 (Reg. S) | EUR | 1,400,000 | 1,382,939 |
| ZF North America Capital, Inc. 6.875% 4/14/28 (b) | | 630,000 | 638,977 |
| | | | 6,356,525 |
| Automobiles - 0.2% | | | |
| Daimler Finance North America LLC 4.8% 3/30/28 (b) | | 6,600,000 | 6,510,428 |
| Ford Motor Co.: | | | |
| 3.25% 2/12/32 | | 7,505,000 | 5,985,714 |
| 5.291% 12/8/46 | | 925,000 | 751,891 |
| General Motors Co.: | | | |
| 5% 4/1/35 | | 1,419,000 | 1,285,544 |
| 5.2% 4/1/45 | | 1,619,000 | 1,366,656 |
| 5.4% 4/1/48 | | 654,000 | 554,356 |
| 5.6% 10/15/32 | | 3,114,000 | 3,046,103 |
| 5.95% 4/1/49 | | 3,089,000 | 2,816,922 |
| 6.125% 10/1/25 | | 1,724,000 | 1,732,026 |
| General Motors Financial Co., Inc.: | | | |
| 1.05% 3/8/24 | | 693,000 | 684,189 |
| 1.25% 1/8/26 | | 5,114,000 | 4,652,308 |
| 2.35% 2/26/27 | | 1,414,000 | 1,275,029 |
| 3.1% 1/12/32 | | 7,510,000 | 6,111,055 |
| 4.3% 4/6/29 | | 6,975,000 | 6,476,200 |
| 4.35% 4/9/25 | | 2,069,000 | 2,024,929 |
| 5.15% 8/15/26 (Reg. S) | GBP | 440,000 | 545,675 |
| 5.4% 4/6/26 | | 7,700,000 | 7,664,617 |
| 5.85% 4/6/30 | | 10,453,000 | 10,421,227 |
| 6% 1/9/28 | | 1,900,000 | 1,926,792 |
| 6.4% 1/9/33 | | 5,000,000 | 5,132,019 |
| Stellantis Finance U.S., Inc.: | | | |
| 1.711% 1/29/27 (b) | | 3,733,000 | 3,316,775 |
| 2.691% 9/15/31 (b) | | 6,943,000 | 5,551,884 |
| Thor Industries, Inc. 4% 10/15/29 (b) | | 555,000 | 476,275 |
| Volkswagen Group of America Finance LLC: | | | |
| 1.25% 11/24/25 (b) | | 4,238,000 | 3,894,144 |
| 1.625% 11/24/27 (b) | | 7,473,000 | 6,404,363 |
| 4.35% 6/8/27 (b) | | 3,394,000 | 3,261,246 |
| 4.75% 11/13/28 (b) | | 5,027,000 | 4,843,048 |
| 5.7% 9/12/26 (b) | | 8,400,000 | 8,397,670 |
| | | | 107,109,085 |
| Broadline Retail - 0.0% | | | |
| Alibaba Group Holding Ltd.: | | | |
| 2.125% 2/9/31 | | 2,350,000 | 1,891,774 |
| 2.7% 2/9/41 | | 12,255,000 | 7,760,111 |
| John Lewis PLC 6.125% 1/21/25 | GBP | 2,887,000 | 3,601,868 |
| Kohl's Corp. 4.25% 7/17/25 | | 35,000 | 33,670 |
| Marks & Spencer PLC 4.5% 7/10/27 (Reg. S) | GBP | 1,800,000 | 2,141,724 |
| Match Group Holdings II LLC: | | | |
| 3.625% 10/1/31 (b) | | 810,000 | 662,175 |
| 4.125% 8/1/30 (b) | | 170,000 | 147,932 |
| Nordstrom, Inc.: | | | |
| 4.25% 8/1/31 | | 10,000,000 | 7,895,000 |
| 4.375% 4/1/30 | | 1,935,000 | 1,608,832 |
| | | | 25,743,086 |
| Distributors - 0.0% | | | |
| Genuine Parts Co. 2.75% 2/1/32 | | 3,756,000 | 2,994,160 |
| Inchcape PLC 6.5% 6/9/28 (Reg. S) | GBP | 800,000 | 1,020,896 |
| | | | 4,015,056 |
| Diversified Consumer Services - 0.0% | | | |
| GEMS MENASA Cayman Ltd. 7.125% 7/31/26 (b) | | 1,265,000 | 1,231,794 |
| Ingersoll-Rand Global Holding Co. Ltd.: | | | |
| 3.75% 8/21/28 | | 3,205,000 | 3,042,975 |
| 5.75% 6/15/43 | | 223,000 | 224,031 |
| Massachusetts Institute of Technology 3.885% 7/1/2116 | | 4,116,000 | 2,949,582 |
| Service Corp. International 5.125% 6/1/29 | | 1,570,000 | 1,499,350 |
| Sotheby's 7.375% 10/15/27 (b) | | 430,000 | 394,334 |
| | | | 9,342,066 |
| Hotels, Restaurants & Leisure - 0.1% | | | |
| Aramark Services, Inc. 5% 2/1/28 (b) | | 5,130,000 | 4,854,782 |
| Carnival Corp.: | | | |
| 7% 8/15/29 (b) | | 1,415,000 | 1,442,676 |
| 7.625% 3/1/26 (b) | | 915,000 | 920,052 |
| Churchill Downs, Inc. 6.75% 5/1/31 (b) | | 810,000 | 795,898 |
| Garden SpinCo Corp. 8.625% 7/20/30 (b) | | 110,000 | 115,463 |
| Hilton Domestic Operating Co., Inc.: | | | |
| 3.625% 2/15/32 (b) | | 660,000 | 554,297 |
| 3.75% 5/1/29 (b) | | 1,300,000 | 1,167,461 |
| 4% 5/1/31 (b) | | 2,935,000 | 2,582,251 |
| Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp. 4.875% 4/1/27 | | 164,000 | 159,484 |
| InterContinental Hotel Group PLC 3.375% 10/8/28 (Reg. S) | GBP | 875,000 | 989,907 |
| McDonald's Corp. 4.875% 12/9/45 | | 4,159,000 | 3,787,959 |
| Melco Resorts Finance Ltd. 4.875% 6/6/25 (b) | | 1,200,000 | 1,155,816 |
| MGM Resorts International 5.75% 6/15/25 | | 1,320,000 | 1,312,491 |
| NCL Corp. Ltd.: | | | |
| 5.875% 2/15/27 (b) | | 765,000 | 740,596 |
| 8.375% 2/1/28 (b) | | 255,000 | 263,785 |
| Royal Caribbean Cruises Ltd.: | | | |
| 5.375% 7/15/27 (b) | | 245,000 | 235,717 |
| 5.5% 4/1/28 (b) | | 1,555,000 | 1,485,451 |
| 7.25% 1/15/30 (b) | | 230,000 | 234,273 |
| Whitbread PLC: | | | |
| 2.375% 5/31/27 (Reg. S) | GBP | 1,260,000 | 1,408,076 |
| 3.375% 10/16/25 (Reg. S) | GBP | 3,355,000 | 4,042,394 |
| Wyndham Hotels & Resorts, Inc. 4.375% 8/15/28 (b) | | 490,000 | 451,004 |
| Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. 5.5% 3/1/25 (b) | | 1,045,000 | 1,032,409 |
| Wynn Resorts Finance LLC / Wynn Resorts Capital Corp. 7.125% 2/15/31 (b) | | 630,000 | 627,184 |
| Yum! Brands, Inc.: | | | |
| 3.625% 3/15/31 | | 5,083,000 | 4,365,757 |
| 5.35% 11/1/43 | | 125,000 | 114,219 |
| | | | 34,839,402 |
| Household Durables - 0.1% | | | |
| Century Communities, Inc. 3.875% 8/15/29 (b) | | 525,000 | 455,689 |
| Lennar Corp.: | | | |
| 4.75% 11/29/27 | | 9,429,000 | 9,237,972 |
| 5% 6/15/27 | | 12,243,000 | 12,057,968 |
| LGI Homes, Inc. 8.75% 12/15/28 (b) | | 405,000 | 416,583 |
| Newell Brands, Inc.: | | | |
| 6.375% 4/1/36 (f) | | 270,000 | 238,449 |
| 6.625% 9/15/29 | | 1,995,000 | 1,944,337 |
| Tempur Sealy International, Inc.: | | | |
| 3.875% 10/15/31 (b) | | 880,000 | 707,085 |
| 4% 4/15/29 (b) | | 590,000 | 510,681 |
| The Berkeley Group PLC 2.5% 8/11/31 (Reg. S) | GBP | 1,820,000 | 1,650,479 |
| Toll Brothers Finance Corp.: | | | |
| 4.35% 2/15/28 | | 14,431,000 | 13,720,314 |
| 4.875% 11/15/25 | | 1,517,000 | 1,494,497 |
| 4.875% 3/15/27 | | 25,794,000 | 25,331,074 |
| TopBuild Corp. 4.125% 2/15/32 (b) | | 930,000 | 794,747 |
| | | | 68,559,875 |
| Leisure Products - 0.0% | | | |
| Mattel, Inc.: | | | |
| 3.75% 4/1/29 (b) | | 680,000 | 602,532 |
| 6.2% 10/1/40 | | 475,000 | 445,932 |
| | | | 1,048,464 |
| Specialty Retail - 0.3% | | | |
| Advance Auto Parts, Inc.: | | | |
| 1.75% 10/1/27 | | 3,120,000 | 2,591,508 |
| 5.95% 3/9/28 | | 5,301,000 | 5,072,215 |
| Asbury Automotive Group, Inc.: | | | |
| 4.625% 11/15/29 (b) | | 175,000 | 157,605 |
| 5% 2/15/32 (b) | | 390,000 | 340,184 |
| AutoNation, Inc.: | | | |
| 1.95% 8/1/28 | | 7,691,000 | 6,370,170 |
| 2.4% 8/1/31 | | 26,621,000 | 20,280,917 |
| 3.85% 3/1/32 | | 3,363,000 | 2,837,587 |
| 4.75% 6/1/30 | | 1,650,000 | 1,530,875 |
| AutoZone, Inc.: | | | |
| 3.625% 4/15/25 | | 187,000 | 182,361 |
| 4% 4/15/30 | | 30,823,000 | 28,522,235 |
| 6.25% 11/1/28 | | 12,000,000 | 12,483,103 |
| Bath & Body Works, Inc.: | | | |
| 6.625% 10/1/30 (b) | | 2,220,000 | 2,197,338 |
| 6.875% 11/1/35 | | 1,385,000 | 1,310,354 |
| Foot Locker, Inc. 4% 10/1/29 (b) | | 145,000 | 117,047 |
| Gap, Inc. 3.875% 10/1/31 (b) | | 475,000 | 375,172 |
| LCM Investments Holdings: | | | |
| 4.875% 5/1/29 (b) | | 120,000 | 104,860 |
| 8.25% 8/1/31 (b) | | 360,000 | 361,879 |
| Lowe's Companies, Inc.: | | | |
| 1.7% 9/15/28 | | 1,724,000 | 1,484,298 |
| 3% 10/15/50 | | 7,286,000 | 4,591,987 |
| 3.75% 4/1/32 | | 36,608,000 | 32,756,000 |
| 4.25% 4/1/52 | | 14,990,000 | 11,769,550 |
| 4.45% 4/1/62 | | 36,330,000 | 28,120,219 |
| 4.5% 4/15/30 | | 2,414,000 | 2,327,603 |
| 4.8% 4/1/26 | | 4,400,000 | 4,364,930 |
| 5.15% 7/1/33 | | 15,000,000 | 14,751,658 |
| 5.625% 4/15/53 | | 12,017,000 | 11,689,444 |
| O'Reilly Automotive, Inc.: | | | |
| 3.9% 6/1/29 | | 5,541,000 | 5,199,432 |
| 4.2% 4/1/30 | | 193,000 | 180,640 |
| 4.35% 6/1/28 | | 3,914,000 | 3,804,793 |
| Ross Stores, Inc.: | | | |
| 0.875% 4/15/26 | | 2,791,000 | 2,511,527 |
| 4.6% 4/15/25 | | 3,207,000 | 3,167,391 |
| The Home Depot, Inc.: | | | |
| 2.5% 4/15/27 | | 123,000 | 114,243 |
| 5.95% 4/1/41 | | 527,000 | 555,752 |
| Triton Container International Ltd. 1.15% 6/7/24 (b) | | 3,394,000 | 3,301,632 |
| Valvoline, Inc. 4.25% 2/15/30 (b) | | 165,000 | 163,017 |
| | | | 215,689,526 |
| Textiles, Apparel & Luxury Goods - 0.2% | | | |
| Crocs, Inc. 4.125% 8/15/31 (b) | | 485,000 | 396,488 |
| Hanesbrands, Inc. 4.875% 5/15/26 (b) | | 1,015,000 | 956,424 |
| Kontoor Brands, Inc. 4.125% 11/15/29 (b) | | 95,000 | 82,175 |
| Levi Strauss & Co. 3.5% 3/1/31 (b) | | 555,000 | 464,813 |
| Tapestry, Inc.: | | | |
| 3.05% 3/15/32 | | 52,782,000 | 39,465,349 |
| 7% 11/27/26 | | 12,776,000 | 12,913,773 |
| 7.05% 11/27/25 | | 4,737,000 | 4,795,688 |
| 7.35% 11/27/28 | | 15,240,000 | 15,356,194 |
| 7.7% 11/27/30 | | 21,792,000 | 22,091,478 |
| 7.85% 11/27/33 | | 15,692,000 | 15,936,553 |
| The William Carter Co. 5.625% 3/15/27 (b) | | 746,000 | 723,444 |
| Wolverine World Wide, Inc. 4% 8/15/29 (b) | | 630,000 | 485,421 |
| | | | 113,667,800 |
TOTAL CONSUMER DISCRETIONARY | | | 586,370,885 |
| CONSUMER STAPLES - 0.6% | | | |
| Beverages - 0.1% | | | |
| Anheuser-Busch Companies LLC / Anheuser-Busch InBev Worldwide, Inc. 4.9% 2/1/46 | | 7,473,000 | 6,920,091 |
| Anheuser-Busch InBev Finance, Inc.: | | | |
| 4.7% 2/1/36 | | 7,862,000 | 7,491,744 |
| 4.9% 2/1/46 | | 58,000 | 53,709 |
| Anheuser-Busch InBev SA NV 9.75% 7/30/24 | GBP | 75,000 | 96,957 |
| Anheuser-Busch InBev Worldwide, Inc.: | | | |
| 3.5% 6/1/30 | | 11,720,000 | 10,820,684 |
| 4.6% 4/15/48 (g) | | 1,265,000 | 1,125,779 |
| 4.9% 1/23/31 | | 3,568,000 | 3,600,793 |
| 5.8% 1/23/59 (Reg. S) | | 14,304,000 | 14,938,946 |
| Constellation Brands, Inc. 2.875% 5/1/30 | | 5,370,000 | 4,653,134 |
| Molson Coors Beverage Co. 3% 7/15/26 | | 1,552,000 | 1,470,249 |
| PepsiCo, Inc. 3.9% 7/18/32 | | 9,341,000 | 8,786,474 |
| | | | 59,958,560 |
| Consumer Staples Distribution & Retail - 0.0% | | | |
| 7-Eleven, Inc. 0.95% 2/10/26 (b) | | 797,000 | 724,339 |
| Albertsons Companies LLC/Safeway, Inc./New Albertson's, Inc./Albertson's LLC: | | | |
| 3.5% 3/15/29 (b) | | 2,290,000 | 2,029,608 |
| 4.625% 1/15/27 (b) | | 925,000 | 888,653 |
| 6.5% 2/15/28 (b) | | 2,910,000 | 2,922,030 |
| Alimentation Couche-Tard, Inc. 2.95% 1/25/30 (b) | | 6,932,000 | 5,984,160 |
| C&S Group Enterprises LLC 5% 12/15/28 (b) | | 800,000 | 644,000 |
| Dollar General Corp.: | | | |
| 3.5% 4/3/30 | | 6,956,000 | 6,210,521 |
| 4.625% 11/1/27 | | 2,000,000 | 1,955,093 |
| Dollar Tree, Inc.: | | | |
| 2.65% 12/1/31 | | 7,473,000 | 6,074,546 |
| 4% 5/15/25 | | 8,121,000 | 7,907,150 |
| 4.2% 5/15/28 | | 3,971,000 | 3,776,479 |
| REWE International Finance 4.875% 9/13/30 (Reg. S) | EUR | 300,000 | 334,392 |
| Tesco Corporate Treasury Services PLC: | | | |
| 2.75% 4/27/30 (Reg. S) | GBP | 1,140,000 | 1,213,798 |
| 5.5% 2/27/35 (Reg. S) | GBP | 410,000 | 493,417 |
| U.S. Foods, Inc.: | | | |
| 4.625% 6/1/30 (b) | | 130,000 | 117,289 |
| 7.25% 1/15/32 (b) | | 560,000 | 572,958 |
| | | | 41,848,433 |
| Food Products - 0.3% | | | |
| Darling Ingredients, Inc.: | | | |
| 5.25% 4/15/27 (b) | | 1,115,000 | 1,082,726 |
| 6% 6/15/30 (b) | | 160,000 | 154,478 |
| JBS U.S.A. Lux SA / JBS Food Co.: | | | |
| 2.5% 1/15/27 | | 23,449,000 | 21,103,397 |
| 3% 2/2/29 | | 1,724,000 | 1,473,752 |
| 3% 5/15/32 | | 21,344,000 | 16,633,396 |
| 3.625% 1/15/32 | | 24,530,000 | 20,073,022 |
| 4.375% 2/2/52 | | 3,413,000 | 2,341,002 |
| 5.125% 2/1/28 | | 11,858,000 | 11,512,484 |
| 5.5% 1/15/30 | | 64,947,000 | 61,559,968 |
| 5.75% 4/1/33 | | 31,805,000 | 30,034,365 |
| 6.5% 12/1/52 | | 4,982,000 | 4,621,509 |
| JDE Peet's BV: | | | |
| 1.375% 1/15/27 (b) | | 3,516,000 | 3,094,307 |
| 2.25% 9/24/31 (b) | | 5,160,000 | 3,958,937 |
| Kraft Heinz Foods Co.: | | | |
| 4.875% 10/1/49 | | 10,000,000 | 8,786,664 |
| 7.125% 8/1/39 (b) | | 9,489,000 | 10,505,418 |
| Lamb Weston Holdings, Inc.: | | | |
| 4.375% 1/31/32 (b) | | 855,000 | 745,215 |
| 4.875% 5/15/28 (b) | | 1,825,000 | 1,745,085 |
| Pilgrim's Pride Corp. 4.25% 4/15/31 | | 1,190,000 | 1,030,580 |
| Post Holdings, Inc. 4.625% 4/15/30 (b) | | 1,455,000 | 1,299,893 |
| Smithfield Foods, Inc. 3% 10/15/30 (b) | | 1,317,000 | 1,041,590 |
| TreeHouse Foods, Inc. 4% 9/1/28 | | 640,000 | 544,428 |
| Viterra Finance BV 4.9% 4/21/27 (b) | | 8,282,000 | 8,048,279 |
| | | | 211,390,495 |
| Household Products - 0.0% | | | |
| Reckitt Benckiser Treasury Services PLC 3.875% 9/14/33 (Reg. S) | EUR | 790,000 | 875,249 |
| Personal Care Products - 0.0% | | | |
| BellRing Brands, Inc. 7% 3/15/30 (b) | | 470,000 | 478,061 |
| HFC Prestige Products, Inc./HFC Prestige International U.S. LLC 6.625% 7/15/30 (b) | | 870,000 | 874,533 |
| Kenvue, Inc.: | | | |
| 5% 3/22/30 | | 6,400,000 | 6,430,551 |
| 5.05% 3/22/28 | | 6,400,000 | 6,442,367 |
| Prestige Brands, Inc. 3.75% 4/1/31 (b) | | 540,000 | 450,365 |
| | | | 14,675,877 |
| Tobacco - 0.2% | | | |
| Altria Group, Inc.: | | | |
| 2.35% 5/6/25 | | 346,000 | 331,110 |
| 2.45% 2/4/32 | | 3,659,000 | 2,873,862 |
| 3.4% 2/4/41 | | 6,414,000 | 4,429,002 |
| 4.25% 8/9/42 | | 760,000 | 580,850 |
| 4.8% 2/14/29 | | 2,436,000 | 2,377,093 |
| BAT Capital Corp.: | | | |
| 2.125% 8/15/25 | GBP | 221,000 | 262,075 |
| 2.259% 3/25/28 | | 7,192,000 | 6,300,472 |
| 2.726% 3/25/31 | | 9,590,000 | 7,812,565 |
| 3.215% 9/6/26 | | 7,027,000 | 6,622,821 |
| 3.222% 8/15/24 | | 2,997,000 | 2,940,391 |
| 3.557% 8/15/27 | | 1,312,000 | 1,228,146 |
| 3.984% 9/25/50 | | 3,114,000 | 2,095,786 |
| 4.7% 4/2/27 | | 3,434,000 | 3,352,230 |
| 6.421% 8/2/33 | | 8,000,000 | 8,145,562 |
| 7.75% 10/19/32 | | 5,978,000 | 6,607,995 |
| BAT International Finance PLC: | | | |
| 1.668% 3/25/26 | | 4,276,000 | 3,919,852 |
| 4.448% 3/16/28 | | 4,764,000 | 4,569,865 |
| 5.931% 2/2/29 | | 6,000,000 | 6,091,940 |
| Imperial Tobacco Finance PLC: | | | |
| 3.125% 7/26/24 (b) | | 2,862,000 | 2,807,895 |
| 3.5% 7/26/26 (b) | | 4,835,000 | 4,557,419 |
| 4.25% 7/21/25 (b) | | 2,935,000 | 2,863,864 |
| 6.125% 7/27/27 (b) | | 1,197,000 | 1,213,334 |
| Philip Morris International, Inc.: | | | |
| 4.375% 11/15/41 | | 1,174,000 | 981,171 |
| 5.125% 11/17/27 | | 5,500,000 | 5,503,935 |
| 5.125% 2/15/30 | | 11,162,000 | 11,013,260 |
| 5.625% 11/17/29 | | 5,449,000 | 5,535,589 |
| 5.75% 11/17/32 | | 5,790,000 | 5,922,432 |
| Reynolds American, Inc.: | | | |
| 4.45% 6/12/25 | | 204,000 | 200,588 |
| 5.7% 8/15/35 | | 171,000 | 160,482 |
| | | | 111,301,586 |
TOTAL CONSUMER STAPLES | | | 440,050,200 |
| ENERGY - 1.3% | | | |
| Energy Equipment & Services - 0.0% | | | |
| Baker Hughes Co.: | | | |
| 2.061% 12/15/26 | | 656,000 | 599,743 |
| 4.486% 5/1/30 | | 7,473,000 | 7,203,790 |
| Jonah Energy Parent LLC 12% 11/5/25 (c)(h) | | 105,530 | 109,625 |
| Seadrill Finance Ltd. 8.375% 8/1/30 (b) | | 1,275,000 | 1,306,301 |
| Technip Energies NV 1.125% 5/28/28 | EUR | 665,000 | 636,475 |
| Valaris Ltd. 8.375% 4/30/30 (b) | | 805,000 | 809,806 |
| | | | 10,665,740 |
| Oil, Gas & Consumable Fuels - 1.3% | | | |
| Apache Corp.: | | | |
| 5.1% 9/1/40 | | 330,000 | 271,846 |
| 5.25% 2/1/42 | | 1,095,000 | 880,084 |
| 5.35% 7/1/49 | | 80,000 | 62,397 |
| Boardwalk Pipelines LP 4.95% 12/15/24 | | 2,304,000 | 2,277,264 |
| Canadian Natural Resources Ltd.: | | | |
| 2.95% 7/15/30 | | 8,571,000 | 7,330,281 |
| 3.9% 2/1/25 | | 3,591,000 | 3,513,486 |
| 5.85% 2/1/35 | | 296,000 | 288,912 |
| 6.25% 3/15/38 | | 2,434,000 | 2,434,096 |
| Cenovus Energy, Inc.: | | | |
| 2.65% 1/15/32 | | 768,000 | 613,304 |
| 3.75% 2/15/52 | | 2,379,000 | 1,649,371 |
| 4.25% 4/15/27 | | 7,315,000 | 7,021,344 |
| 5.25% 6/15/37 | | 657,000 | 597,060 |
| 5.375% 7/15/25 | | 5,690,000 | 5,661,482 |
| 5.4% 6/15/47 | | 1,485,000 | 1,326,778 |
| 6.75% 11/15/39 | | 3,025,000 | 3,132,970 |
| Centennial Resource Production LLC: | | | |
| 5.875% 7/1/29 (b) | | 445,000 | 424,975 |
| 7% 1/15/32 (b) | | 270,000 | 270,739 |
| Cheniere Corpus Christi Holdings LLC 5.875% 3/31/25 | | 3,563,000 | 3,563,590 |
| Cheniere Energy Partners LP 3.25% 1/31/32 | | 1,695,000 | 1,395,458 |
| CNX Midstream Partners LP 4.75% 4/15/30 (b) | | 115,000 | 100,134 |
| Columbia Pipelines Holding Co. LLC 6.042% 8/15/28 (b) | | 11,500,000 | 11,628,565 |
| Columbia Pipelines Operating Co. LLC: | | | |
| 5.927% 8/15/30 (b) | | 4,337,000 | 4,354,369 |
| 6.036% 11/15/33 (b) | | 11,691,000 | 11,797,056 |
| 6.497% 8/15/43 (b) | | 10,495,000 | 10,619,881 |
| 6.544% 11/15/53 (b) | | 6,291,000 | 6,436,936 |
| 6.714% 8/15/63 (b) | | 3,766,000 | 3,885,105 |
| ConocoPhillips Co.: | | | |
| 6.5% 2/1/39 | | 2,573,000 | 2,847,521 |
| 6.95% 4/15/29 | | 1,706,000 | 1,873,085 |
| Continental Resources, Inc. 5.75% 1/15/31 (b) | | 1,445,000 | 1,402,387 |
| CVR Energy, Inc.: | | | |
| 5.25% 2/15/25 (b) | | 1,290,000 | 1,270,990 |
| 5.75% 2/15/28 (b) | | 105,000 | 97,095 |
| DCP Midstream Operating LP: | | | |
| 5.125% 5/15/29 | | 6,831,000 | 6,715,307 |
| 5.375% 7/15/25 | | 5,723,000 | 5,713,506 |
| 5.6% 4/1/44 | | 2,939,000 | 2,737,938 |
| 5.625% 7/15/27 | | 2,420,000 | 2,441,323 |
| 6.45% 11/3/36 (b) | | 410,000 | 416,945 |
| 6.75% 9/15/37 (b) | | 1,198,000 | 1,256,944 |
| 8.125% 8/16/30 | | 15,000 | 16,954 |
| Eastern Gas Transmission & Storage, Inc.: | | | |
| 3% 11/15/29 | | 6,572,000 | 5,725,375 |
| 3.9% 11/15/49 | | 4,359,000 | 3,041,992 |
| EG Global Finance PLC 12% 11/30/28 (b) | | 870,000 | 904,800 |
| Enbridge, Inc.: | | | |
| 4.25% 12/1/26 | | 1,739,000 | 1,690,405 |
| 5.5% 12/1/46 | | 2,122,000 | 1,959,545 |
| 5.7% 3/8/33 | | 8,000,000 | 7,999,929 |
| 6% 11/15/28 | | 6,027,000 | 6,194,983 |
| Endeavor Energy Resources LP/EER Finance, Inc. 5.75% 1/30/28 (b) | | 685,000 | 668,198 |
| Energy Transfer LP: | | | |
| 2.9% 5/15/25 | | 2,069,000 | 1,989,442 |
| 3.75% 5/15/30 | | 40,278,000 | 36,137,843 |
| 4% 10/1/27 | | 2,525,000 | 2,384,519 |
| 4.25% 4/1/24 | | 7,146,000 | 7,104,928 |
| 4.5% 4/15/24 | | 2,806,000 | 2,790,889 |
| 4.95% 6/15/28 | | 8,476,000 | 8,269,475 |
| 5% 5/15/50 | | 42,639,000 | 35,970,683 |
| 5.25% 4/15/29 | | 2,564,000 | 2,518,594 |
| 5.4% 10/1/47 | | 3,324,000 | 2,926,153 |
| 5.625% 5/1/27 (b) | | 3,053,000 | 2,999,725 |
| 5.75% 4/1/25 | | 2,038,000 | 2,028,890 |
| 5.75% 2/15/33 | | 7,491,000 | 7,459,749 |
| 5.8% 6/15/38 | | 2,595,000 | 2,477,380 |
| 5.875% 1/15/24 | | 2,081,000 | 2,080,797 |
| 6% 2/1/29 (b) | | 2,420,000 | 2,383,966 |
| 6% 6/15/48 | | 2,491,000 | 2,369,051 |
| 6.125% 12/15/45 | | 650,000 | 624,416 |
| 6.25% 4/15/49 | | 6,761,000 | 6,649,815 |
| 7.375% 2/1/31 (b) | | 275,000 | 282,717 |
| EnLink Midstream LLC 5.625% 1/15/28 (b) | | 105,000 | 101,876 |
| EnLink Midstream Partners LP: | | | |
| 5.05% 4/1/45 | | 840,000 | 667,010 |
| 5.45% 6/1/47 | | 290,000 | 243,965 |
| 5.6% 4/1/44 | | 490,000 | 417,538 |
| EQM Midstream Partners LP: | | | |
| 4.75% 1/15/31 (b) | | 1,050,000 | 935,164 |
| 5.5% 7/15/28 | | 1,440,000 | 1,399,649 |
| 6.5% 7/1/27 (b) | | 465,000 | 465,740 |
| 6.5% 7/15/48 | | 265,000 | 243,786 |
| 7.5% 6/1/27 (b) | | 515,000 | 526,375 |
| EQT Corp.: | | | |
| 3.9% 10/1/27 | | 1,690,000 | 1,595,360 |
| 5.7% 4/1/28 | | 2,186,000 | 2,186,821 |
| Equinor ASA 1.75% 1/22/26 | | 380,000 | 356,029 |
| Florida Gas Transmission Co. LLC 4.35% 7/15/25 (b) | | 2,808,000 | 2,734,173 |
| Global Partners LP/GLP Finance Corp. 7% 8/1/27 | | 3,910,000 | 3,747,677 |
| Hess Corp.: | | | |
| 4.3% 4/1/27 | | 15,123,000 | 14,730,996 |
| 5.6% 2/15/41 | | 72,976,000 | 73,391,896 |
| 5.8% 4/1/47 | | 11,931,000 | 12,294,616 |
| 7.125% 3/15/33 | | 1,403,000 | 1,591,423 |
| 7.3% 8/15/31 | | 3,686,000 | 4,162,419 |
| 7.875% 10/1/29 | | 8,241,000 | 9,285,594 |
| Hess Midstream Partners LP: | | | |
| 5.125% 6/15/28 (b) | | 2,280,000 | 2,181,926 |
| 5.5% 10/15/30 (b) | | 115,000 | 108,529 |
| 5.625% 2/15/26 (b) | | 4,262,000 | 4,208,725 |
| Hilcorp Energy I LP/Hilcorp Finance Co.: | | | |
| 6% 4/15/30 (b) | | 1,020,000 | 951,459 |
| 6.25% 11/1/28 (b) | | 185,000 | 179,998 |
| Kinder Morgan, Inc. 3.6% 2/15/51 | | 26,000,000 | 17,535,470 |
| Magellan Midstream Partners LP 3.25% 6/1/30 | | 6,352,000 | 5,579,467 |
| MPLX LP: | | | |
| 1.75% 3/1/26 | | 7,504,000 | 6,919,800 |
| 2.65% 8/15/30 | | 7,473,000 | 6,247,107 |
| 4% 2/15/25 | | 172,000 | 168,404 |
| 4% 3/15/28 | | 3,724,000 | 3,513,928 |
| 4.8% 2/15/29 | | 1,376,000 | 1,332,204 |
| 4.875% 12/1/24 | | 237,000 | 234,400 |
| 4.95% 9/1/32 | | 16,311,000 | 15,445,979 |
| 5% 3/1/33 | | 12,000,000 | 11,324,924 |
| 5.5% 2/15/49 | | 4,129,000 | 3,747,762 |
| 5.65% 3/1/53 | | 8,756,000 | 8,138,011 |
| Murphy Oil U.S.A., Inc. 3.75% 2/15/31 (b) | | 110,000 | 93,350 |
| New Fortress Energy, Inc.: | | | |
| 6.5% 9/30/26 (b) | | 3,930,000 | 3,732,706 |
| 6.75% 9/15/25 (b) | | 1,300,000 | 1,259,964 |
| Occidental Petroleum Corp.: | | | |
| 2.9% 8/15/24 | | 2,843,000 | 2,780,450 |
| 3.5% 8/15/29 | | 465,000 | 405,278 |
| 4.3% 8/15/39 | | 365,000 | 278,208 |
| 5.55% 3/15/26 | | 1,712,000 | 1,706,330 |
| 6.125% 1/1/31 | | 31,865,000 | 32,178,552 |
| 6.2% 3/15/40 | | 160,000 | 157,755 |
| 6.45% 9/15/36 | | 4,300,000 | 4,403,587 |
| 6.6% 3/15/46 | | 4,886,000 | 5,007,026 |
| 7.5% 5/1/31 | | 7,400,000 | 8,056,491 |
| 7.875% 9/15/31 | | 100,000 | 110,404 |
| 8.875% 7/15/30 | | 345,000 | 392,972 |
| Ovintiv, Inc.: | | | |
| 5.15% 11/15/41 | | 4,009,000 | 3,185,859 |
| 7.375% 11/1/31 | | 648,000 | 693,913 |
| 8.125% 9/15/30 | | 8,544,000 | 9,436,933 |
| PBF Holding Co. LLC/PBF Finance Corp. 7.875% 9/15/30 (b) | | 870,000 | 870,000 |
| Petroleos Mexicanos: | | | |
| 4.5% 1/23/26 | | 4,359,000 | 3,967,082 |
| 5.95% 1/28/31 | | 3,260,000 | 2,430,004 |
| 6.35% 2/12/48 | | 1,560,000 | 919,448 |
| 6.49% 1/23/27 | | 4,247,000 | 3,822,512 |
| 6.5% 3/13/27 | | 14,914,000 | 13,398,365 |
| 6.7% 2/16/32 | | 1,635,000 | 1,270,542 |
| 6.75% 9/21/47 | | 22,490,000 | 13,716,651 |
| 6.84% 1/23/30 | | 12,004,000 | 9,675,224 |
| 6.95% 1/28/60 | | 32,166,000 | 19,603,569 |
| 7.69% 1/23/50 | | 100,606,000 | 66,591,111 |
| Phillips 66 Co.: | | | |
| 0.9% 2/15/24 | | 2,173,000 | 2,149,689 |
| 3.85% 4/9/25 | | 146,000 | 142,834 |
| Plains All American Pipeline LP/PAA Finance Corp.: | | | |
| 3.55% 12/15/29 | | 6,968,000 | 6,216,968 |
| 3.8% 9/15/30 | | 1,055,000 | 940,351 |
| 4.65% 10/15/25 | | 3,649,000 | 3,577,595 |
| Rockies Express Pipeline LLC: | | | |
| 4.8% 5/15/30 (b) | | 1,335,000 | 1,195,273 |
| 4.95% 7/15/29 (b) | | 276,000 | 254,760 |
| 6.875% 4/15/40 (b) | | 105,000 | 95,713 |
| Sabine Pass Liquefaction LLC 4.5% 5/15/30 | | 14,626,000 | 13,808,317 |
| Sitio Royalties OP / Sitio Finance Corp. 7.875% 11/1/28 (b) | | 783,000 | 786,069 |
| Southeast Supply Header LLC 4.25% 6/15/24 (b) | | 1,472,000 | 1,413,120 |
| Spectra Energy Partners LP: | | | |
| 3.375% 10/15/26 | | 2,589,000 | 2,448,560 |
| 4.5% 3/15/45 | | 543,000 | 434,038 |
| Suncor Energy, Inc. 6.5% 6/15/38 | | 2,128,000 | 2,178,473 |
| Sunoco LP/Sunoco Finance Corp.: | | | |
| 4.5% 5/15/29 | | 635,000 | 578,766 |
| 5.875% 3/15/28 | | 1,335,000 | 1,307,436 |
| 6% 4/15/27 | | 1,005,000 | 999,156 |
| Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp.: | | | |
| 5.5% 1/15/28 (b) | | 125,000 | 115,318 |
| 6% 12/31/30 (b) | | 1,355,000 | 1,223,464 |
| 6% 9/1/31 (b) | | 270,000 | 242,097 |
| Targa Resources Partners LP/Targa Resources Partners Finance Corp. 5.5% 3/1/30 | | 135,000 | 130,311 |
| The Williams Companies, Inc.: | | | |
| 2.6% 3/15/31 | | 7,660,000 | 6,313,534 |
| 3.5% 11/15/30 | | 18,113,000 | 16,082,498 |
| 4.3% 3/4/24 | | 859,000 | 855,367 |
| 4.55% 6/24/24 | | 878,000 | 871,527 |
| 4.65% 8/15/32 | | 22,370,000 | 20,965,432 |
| 5.1% 9/15/45 | | 9,765,000 | 8,692,882 |
| 5.3% 8/15/52 | | 5,092,000 | 4,628,110 |
| 5.4% 3/2/26 | | 6,100,000 | 6,096,115 |
| 5.75% 6/24/44 | | 2,747,000 | 2,615,188 |
| TransCanada PipeLines Ltd. 4.25% 5/15/28 | | 6,103,000 | 5,811,486 |
| Transcontinental Gas Pipe Line Co. LLC 3.25% 5/15/30 | | 279,000 | 246,236 |
| Venture Global Calcasieu Pass LLC: | | | |
| 3.875% 8/15/29 (b) | | 1,140,000 | 999,617 |
| 3.875% 11/1/33 (b) | | 675,000 | 552,470 |
| 4.125% 8/15/31 (b) | | 325,000 | 280,337 |
| 6.25% 1/15/30 (b) | | 380,000 | 372,920 |
| Venture Global LNG, Inc. 8.125% 6/1/28 (b) | | 505,000 | 500,691 |
| Western Gas Partners LP: | | | |
| 4.05% 2/1/30 | | 20,164,000 | 18,274,025 |
| 4.65% 7/1/26 | | 2,444,000 | 2,373,304 |
| 4.75% 8/15/28 | | 1,236,000 | 1,187,426 |
| 6.15% 4/1/33 | | 4,400,000 | 4,431,970 |
| 6.35% 1/15/29 | | 11,247,000 | 11,548,971 |
| | | | 858,940,637 |
TOTAL ENERGY | | | 869,606,377 |
| FINANCIALS - 6.2% | | | |
| Banks - 3.2% | | | |
| AIB Group PLC: | | | |
| 2.25% 4/4/28 (Reg. S) (e) | EUR | 3,400,000 | 3,461,459 |
| 4.263% 4/10/25 (b)(e) | | 3,226,000 | 3,198,205 |
| 4.625% 7/23/29 (Reg. S) (e) | EUR | 200,000 | 218,714 |
| 6.608% 9/13/29 (b)(e) | | 10,500,000 | 10,702,439 |
| 7.583% 10/14/26 (b)(e) | | 6,258,000 | 6,400,543 |
| Alpha Bank SA 4.25% 2/13/30 (Reg. S) (e) | EUR | 895,000 | 921,795 |
| Banco Santander SA 2.749% 12/3/30 | | 10,800,000 | 8,474,890 |
| Bank of America Corp.: | | | |
| 1.197% 10/24/26 (e) | | 6,035,000 | 5,529,737 |
| 1.319% 6/19/26 (e) | | 1,966,000 | 1,830,429 |
| 1.734% 7/22/27 (e) | | 25,000,000 | 22,567,112 |
| 1.898% 7/23/31 (e) | | 6,975,000 | 5,477,376 |
| 2.015% 2/13/26 (e) | | 5,605,000 | 5,338,274 |
| 2.299% 7/21/32 (e) | | 50,000,000 | 39,244,866 |
| 2.496% 2/13/31 (e) | | 6,724,000 | 5,581,006 |
| 2.592% 4/29/31 (e) | | 7,784,000 | 6,468,099 |
| 2.972% 2/4/33 (e) | | 38,682,000 | 31,566,925 |
| 3.194% 7/23/30 (e) | | 10,561,000 | 9,284,420 |
| 3.384% 4/2/26 (e) | | 3,052,000 | 2,948,175 |
| 3.705% 4/24/28 (e) | | 3,914,000 | 3,678,288 |
| 3.95% 4/21/25 | | 1,724,000 | 1,681,738 |
| 3.97% 3/5/29 (e) | | 3,624,000 | 3,395,195 |
| 3.974% 2/7/30 (e) | | 2,345,000 | 2,167,238 |
| 4.183% 11/25/27 | | 6,909,000 | 6,580,894 |
| 4.2% 8/26/24 | | 2,979,000 | 2,943,245 |
| 4.25% 10/22/26 | | 40,217,000 | 38,876,990 |
| 4.271% 7/23/29 (e) | | 1,207,000 | 1,139,905 |
| 4.376% 4/27/28 (e) | | 3,650,000 | 3,511,620 |
| 4.45% 3/3/26 | | 1,202,000 | 1,173,646 |
| 4.571% 4/27/33 (e) | | 8,718,000 | 7,996,705 |
| 4.948% 7/22/28 (e) | | 5,000,000 | 4,905,517 |
| 5.015% 7/22/33 (e) | | 35,614,000 | 33,839,453 |
| 5.288% 4/25/34 (e) | | 17,000,000 | 16,344,640 |
| 5.819% 9/15/29 (e) | | 24,000,000 | 24,214,009 |
| 6.11% 1/29/37 | | 1,340,000 | 1,373,513 |
| Bank of Ireland Group PLC: | | | |
| 1.375% 8/11/31 (Reg. S) (e) | EUR | 4,235,000 | 4,195,893 |
| 2.029% 9/30/27 (b)(e) | | 2,500,000 | 2,232,170 |
| Bank of Montreal 1.85% 5/1/25 | | 2,414,000 | 2,292,164 |
| Bank of Nova Scotia 4.5% 12/16/25 | | 6,348,000 | 6,191,614 |
| Banque Federative du Credit Mutuel SA 4.524% 7/13/25 (b) | | 2,937,000 | 2,887,348 |
| Barclays PLC: | | | |
| 1.007% 12/10/24 (e) | | 1,359,000 | 1,349,753 |
| 2.279% 11/24/27 (e) | | 31,514,000 | 28,254,758 |
| 2.852% 5/7/26 (e) | | 18,341,000 | 17,476,980 |
| 3.65% 3/16/25 | | 2,431,000 | 2,362,449 |
| 3.811% 3/10/42 (e) | | 7,473,000 | 5,166,226 |
| 3.932% 5/7/25 (e) | | 3,114,000 | 3,083,047 |
| 4.375% 1/12/26 | | 4,468,000 | 4,337,514 |
| 4.836% 5/9/28 | | 6,102,000 | 5,752,092 |
| 5.088% 6/20/30 (e) | | 35,939,000 | 32,990,710 |
| 5.2% 5/12/26 | | 1,556,000 | 1,519,395 |
| 5.262% 1/29/34 (Reg. S) (e) | EUR | 510,000 | 570,664 |
| 5.304% 8/9/26 (e) | | 1,387,000 | 1,365,287 |
| 5.501% 8/9/28 (e) | | 3,000,000 | 2,940,830 |
| 5.746% 8/9/33 (e) | | 2,657,000 | 2,563,262 |
| 5.829% 5/9/27 (e) | | 4,720,000 | 4,688,527 |
| 6.224% 5/9/34 (e) | | 5,270,000 | 5,178,437 |
| 6.49% 9/13/29 (e) | | 8,000,000 | 8,089,935 |
| 6.692% 9/13/34 (e) | | 12,500,000 | 12,736,538 |
| 7.437% 11/2/33 (e) | | 7,898,000 | 8,412,443 |
| 8.407% 11/14/32 (Reg. S) (e) | GBP | 750,000 | 980,126 |
| BNP Paribas SA: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.000% 1.323% 1/13/27 (b)(e)(i) | | 7,967,000 | 7,239,783 |
| 1.904% 9/30/28 (b)(e) | | 7,317,000 | 6,335,904 |
| 2.159% 9/15/29 (b)(e) | | 7,271,000 | 6,151,555 |
| 2.219% 6/9/26 (b)(e) | | 17,115,000 | 16,181,813 |
| 2.5% 3/31/32 (Reg. S) (e) | EUR | 1,600,000 | 1,601,443 |
| 2.591% 1/20/28 (b)(e) | | 2,740,000 | 2,485,559 |
| 2.824% 1/26/41 (b) | | 5,791,000 | 3,731,473 |
| BPCE SA: | | | |
| 1.5% 1/13/42 (Reg. S) (e) | EUR | 1,400,000 | 1,343,403 |
| 2.277% 1/20/32 (b)(e) | | 7,519,000 | 5,764,163 |
| 3.116% 10/19/32 (b)(e) | | 6,103,000 | 4,699,539 |
| 4.875% 4/1/26 (b) | | 7,383,000 | 7,149,219 |
| Canadian Imperial Bank of Commerce 3.6% 4/7/32 | | 16,310,000 | 14,293,649 |
| Capital One NA 2.28% 1/28/26 (e) | | 1,962,000 | 1,869,778 |
| Citibank NA 5.803% 9/29/28 | | 8,000,000 | 8,160,025 |
| Citigroup, Inc.: | | | |
| 1.122% 1/28/27 (e) | | 2,000,000 | 1,811,022 |
| 2.666% 1/29/31 (e) | | 5,106,000 | 4,280,224 |
| 3.07% 2/24/28 (e) | | 13,000,000 | 12,051,570 |
| 3.106% 4/8/26 (e) | | 10,649,000 | 10,268,024 |
| 3.785% 3/17/33 (e) | | 6,227,000 | 5,387,834 |
| 3.98% 3/20/30 (e) | | 7,473,000 | 6,900,690 |
| 4.075% 4/23/29 (e) | | 4,606,000 | 4,330,662 |
| 4.125% 7/25/28 | | 6,909,000 | 6,464,658 |
| 4.3% 11/20/26 | | 1,766,000 | 1,704,019 |
| 4.4% 6/10/25 | | 829,000 | 812,654 |
| 4.412% 3/31/31 (e) | | 40,428,000 | 37,477,652 |
| 4.45% 9/29/27 | | 21,445,000 | 20,535,525 |
| 4.6% 3/9/26 | | 19,167,000 | 18,715,164 |
| 4.91% 5/24/33 (e) | | 3,274,000 | 3,080,192 |
| 5.3% 5/6/44 | | 9,501,000 | 8,591,502 |
| 5.875% 7/1/24 (Reg. S) | GBP | 1,100,000 | 1,385,057 |
| 6.174% 5/25/34 (e) | | 17,301,000 | 17,168,078 |
| 6.27% 11/17/33 (e) | | 13,000,000 | 13,406,424 |
| 8.125% 7/15/39 | | 1,076,000 | 1,326,994 |
| Citizens Financial Group, Inc. 2.638% 9/30/32 | | 11,627,000 | 8,392,745 |
| Commerzbank AG 8.625% 2/28/33 (Reg. S) (e) | GBP | 200,000 | 259,200 |
| Commonwealth Bank of Australia: | | | |
| 2.688% 3/11/31 (b) | | 3,046,000 | 2,402,478 |
| 3.61% 9/12/34 (b)(e) | | 3,723,000 | 3,188,952 |
| 3.784% 3/14/32 (b) | | 16,472,000 | 13,778,379 |
| Credit Agricole SA: | | | |
| UK Government Bonds 1 Year + 2.180% 6.375% 6/14/31 (Reg. S) (e)(i) | GBP | 1,300,000 | 1,696,289 |
| 1.25% 10/2/24 (Reg. S) | GBP | 500,000 | 608,649 |
| 2.811% 1/11/41 (b) | | 4,167,000 | 2,660,579 |
| Danske Bank A/S: | | | |
| 2.25% 1/14/28 (Reg. S) (e) | GBP | 1,760,000 | 1,975,800 |
| 4.625% 4/13/27 (Reg. S) (e) | GBP | 500,000 | 614,763 |
| 4.75% 6/21/30 (Reg. S) (e) | EUR | 1,509,000 | 1,683,134 |
| DNB Bank ASA: | | | |
| 1.535% 5/25/27 (b)(e) | | 51,990,000 | 46,708,808 |
| 1.605% 3/30/28 (b)(e) | | 3,208,000 | 2,806,682 |
| Fifth Third Bancorp 8.25% 3/1/38 | | 2,155,000 | 2,395,056 |
| First Citizens Bank & Trust Co. 6.125% 3/9/28 | | 40,920,000 | 40,880,306 |
| HAT Holdings I LLC/HAT Holdings II LLC 3.375% 6/15/26 (b) | | 550,000 | 497,876 |
| HSBC Holdings PLC: | | | |
| 0.976% 5/24/25 (e) | | 862,000 | 839,824 |
| 1.645% 4/18/26 (e) | | 4,312,000 | 4,057,185 |
| 2.251% 11/22/27 (e) | | 38,869,000 | 35,170,152 |
| 2.357% 8/18/31 (e) | | 15,444,000 | 12,361,534 |
| 2.848% 6/4/31 (e) | | 6,103,000 | 5,069,846 |
| 2.999% 3/10/26 (e) | | 2,759,000 | 2,652,851 |
| 4.041% 3/13/28 (e) | | 3,739,000 | 3,537,660 |
| 4.25% 3/14/24 | | 1,433,000 | 1,425,409 |
| 4.292% 9/12/26 (e) | | 1,724,000 | 1,670,346 |
| 4.762% 3/29/33 (e) | | 7,815,000 | 6,879,310 |
| 4.787% 3/10/32 (Reg. S) (e) | EUR | 1,270,000 | 1,413,941 |
| 4.856% 5/23/33 (Reg. S) (e) | EUR | 1,600,000 | 1,787,004 |
| 4.95% 3/31/30 | | 2,810,000 | 2,722,292 |
| 5.21% 8/11/28 (e) | | 8,310,000 | 8,162,968 |
| 5.25% 3/14/44 | | 1,039,000 | 930,924 |
| 5.402% 8/11/33 (e) | | 5,055,000 | 4,861,945 |
| 6.254% 3/9/34 (e) | | 200,000 | 203,697 |
| 6.8% 9/14/31 (e) | GBP | 320,000 | 417,982 |
| 7.39% 11/3/28 (e) | | 900,000 | 950,343 |
| 8.201% 11/16/34 (Reg. S) (e) | GBP | 1,000,000 | 1,331,632 |
| Huntington Bancshares, Inc.: | | | |
| 2.487% 8/15/36 (e) | | 6,200,000 | 4,450,664 |
| 4.443% 8/4/28 (e) | | 6,438,000 | 6,120,197 |
| 6.208% 8/21/29 (e) | | 9,800,000 | 9,815,217 |
| Huntington National Bank 5.699% 11/18/25 (e) | | 3,900,000 | 3,809,466 |
| ING Groep NV: | | | |
| 1.726% 4/1/27 (e) | | 1,250,000 | 1,135,515 |
| 4.017% 3/28/28 (e) | | 9,341,000 | 8,846,745 |
| 4.252% 3/28/33 (e) | | 6,227,000 | 5,562,290 |
| 4.5% 5/23/29 (Reg. S) (e) | EUR | 1,200,000 | 1,318,034 |
| 4.75% 5/23/34 (Reg. S) (e) | EUR | 2,600,000 | 2,901,515 |
| Intesa Sanpaolo SpA: | | | |
| 4.198% 6/1/32 (b)(e) | | 17,320,000 | 13,411,880 |
| 5.017% 6/26/24 (b) | | 10,324,000 | 10,196,603 |
| 5.71% 1/15/26 (b) | | 94,108,000 | 92,365,732 |
| JPMorgan Chase & Co.: | | | |
| 1.045% 11/19/26 (e) | | 2,014,000 | 1,840,252 |
| 1.47% 9/22/27 (e) | | 3,410,000 | 3,056,276 |
| 2.069% 6/1/29 (e) | | 7,286,000 | 6,308,484 |
| 2.083% 4/22/26 (e) | | 2,448,000 | 2,325,312 |
| 2.522% 4/22/31 (e) | | 4,724,000 | 3,962,789 |
| 2.58% 4/22/32 (e) | | 1,300,000 | 1,062,512 |
| 2.739% 10/15/30 (e) | | 9,341,000 | 8,057,440 |
| 2.947% 2/24/28 (e) | | 6,239,000 | 5,779,335 |
| 2.956% 5/13/31 (e) | | 11,536,000 | 9,818,329 |
| 2.963% 1/25/33 (e) | | 9,341,000 | 7,717,601 |
| 3.875% 9/10/24 | | 1,782,000 | 1,756,281 |
| 4.125% 12/15/26 | | 1,748,000 | 1,691,497 |
| 4.25% 10/1/27 | | 3,379,000 | 3,286,053 |
| 4.323% 4/26/28 (e) | | 9,341,000 | 9,035,708 |
| 4.586% 4/26/33 (e) | | 50,039,000 | 46,574,057 |
| 4.912% 7/25/33 (e) | | 112,454,000 | 106,953,543 |
| 5.299% 7/24/29 (e) | | 19,000,000 | 18,935,055 |
| 5.35% 6/1/34 (e) | | 20,000,000 | 19,530,313 |
| 5.717% 9/14/33 (e) | | 65,636,000 | 65,398,593 |
| Jyske Bank A/S 5% 10/26/28 (e) | EUR | 600,000 | 665,298 |
| KBC Group NV: | | | |
| 5.796% 1/19/29 (b)(e) | | 6,314,000 | 6,264,570 |
| 6.324% 9/21/34 (b)(e) | | 11,310,000 | 11,367,485 |
| Lloyds Bank Corporate Markets PLC 1.75% 7/11/24 (Reg. S) | GBP | 500,000 | 615,635 |
| Lloyds Banking Group PLC: | | | |
| 1.985% 12/15/31 (e) | GBP | 1,195,000 | 1,317,192 |
| 2.438% 2/5/26 (e) | | 575,000 | 550,195 |
| 3.87% 7/9/25 (e) | | 3,425,000 | 3,380,386 |
| 4.375% 3/22/28 | | 4,320,000 | 4,095,067 |
| 4.5% 1/11/29 (Reg. S) (e) | EUR | 630,000 | 694,224 |
| 4.75% 9/21/31 (Reg. S) (e) | EUR | 1,550,000 | 1,719,835 |
| 4.976% 8/11/33 (e) | | 6,227,000 | 5,782,415 |
| 5.985% 8/7/27 (e) | | 4,700,000 | 4,710,797 |
| 7.953% 11/15/33 (e) | | 6,196,000 | 6,689,623 |
| Mitsubishi UFJ Financial Group, Inc.: | | | |
| 1.412% 7/17/25 | | 2,000,000 | 1,870,106 |
| 1.538% 7/20/27 (e) | | 3,276,000 | 2,948,754 |
| 1.64% 10/13/27 (e) | | 4,211,000 | 3,769,512 |
| 2.193% 2/25/25 | | 2,462,000 | 2,360,434 |
| 4.05% 9/11/28 | | 1,724,000 | 1,643,222 |
| 4.08% 4/19/28 (e) | | 9,123,000 | 8,715,762 |
| 5.017% 7/20/28 (e) | | 4,690,000 | 4,613,714 |
| Mizuho Financial Group, Inc.: | | | |
| 1.234% 5/22/27 (e) | | 5,448,000 | 4,890,998 |
| 1.554% 7/9/27 (e) | | 2,200,000 | 1,981,522 |
| 2.564% 9/13/31 | | 10,586,000 | 8,277,296 |
| 4.254% 9/11/29 (e) | | 1,035,000 | 977,844 |
| NatWest Group PLC: | | | |
| 1.642% 6/14/27 (e) | | 1,207,000 | 1,083,175 |
| 3.073% 5/22/28 (e) | | 9,914,000 | 9,013,601 |
| 3.622% 8/14/30 (Reg. S) (e) | GBP | 3,400,000 | 4,060,673 |
| 4.771% 2/16/29 (Reg. S) (e) | EUR | 500,000 | 552,085 |
| 4.8% 4/5/26 | | 19,815,000 | 19,425,739 |
| 5.125% 5/28/24 | | 25,990,000 | 25,808,343 |
| 5.808% 9/13/29 (e) | | 30,000,000 | 29,863,756 |
| 5.847% 3/2/27 (e) | | 6,200,000 | 6,179,336 |
| 7.416% 6/6/33 (Reg. S) (e) | GBP | 850,000 | 1,086,049 |
| Nordea Bank Abp 4.125% 5/5/28 (Reg. S) | EUR | 1,700,000 | 1,870,868 |
| PNC Financial Services Group, Inc.: | | | |
| 5.068% 1/24/34 (e) | | 15,132,000 | 14,189,848 |
| 5.582% 6/12/29 (e) | | 7,240,000 | 7,188,516 |
| Rabobank Nederland: | | | |
| 1.98% 12/15/27 (b)(e) | | 3,614,000 | 3,223,832 |
| 3.649% 4/6/28 (b)(e) | | 6,943,000 | 6,493,499 |
| 3.75% 7/21/26 | | 4,206,000 | 3,980,878 |
| 4% 1/10/30 (Reg. S) | EUR | 800,000 | 875,769 |
| 4.375% 8/4/25 | | 4,789,000 | 4,645,119 |
| Regions Financial Corp. 2.25% 5/18/25 | | 1,067,000 | 1,002,212 |
| Royal Bank of Canada 4.65% 1/27/26 | | 661,000 | 649,814 |
| Santander Holdings U.S.A., Inc.: | | | |
| 2.49% 1/6/28 (e) | | 7,024,000 | 6,292,588 |
| 5.807% 9/9/26 (e) | | 3,713,000 | 3,673,962 |
| 6.499% 3/9/29 (e) | | 2,743,000 | 2,770,547 |
| 6.565% 6/12/29 (e) | | 10,000,000 | 10,062,577 |
| Societe Generale: | | | |
| 1.038% 6/18/25 (b)(e) | | 75,000,000 | 72,770,646 |
| 1.488% 12/14/26 (b)(e) | | 21,416,000 | 19,382,263 |
| 1.792% 6/9/27 (b)(e) | | 2,160,000 | 1,931,776 |
| 2.625% 10/16/24 (b) | | 436,000 | 423,205 |
| 3.625% 3/1/41 (b) | | 7,784,000 | 4,924,896 |
| 4.25% 4/14/25 (b) | | 9,840,000 | 9,511,844 |
| 4.677% 6/15/27 (b) | | 4,831,000 | 4,694,570 |
| 4.75% 11/24/25 (b) | | 8,022,000 | 7,760,344 |
| 6.221% 6/15/33 (b)(e) | | 8,407,000 | 7,882,143 |
| 6.446% 1/10/29 (b)(e) | | 6,850,000 | 6,911,711 |
| 6.691% 1/10/34 (b)(e) | | 550,000 | 550,865 |
| 7.367% 1/10/53 (b) | | 3,114,000 | 3,009,858 |
| Standard Chartered PLC 3.785% 5/21/25 (b)(e) | | 4,320,000 | 4,266,106 |
| Sumitomo Mitsui Financial Group, Inc. 1.402% 9/17/26 | | 3,035,000 | 2,722,439 |
| Synchrony Bank 5.625% 8/23/27 | | 2,097,000 | 1,986,394 |
| The Toronto-Dominion Bank 2.8% 3/10/27 | | 2,626,000 | 2,432,337 |
| Truist Financial Corp.: | | | |
| 4.123% 6/6/28 (e) | | 2,000,000 | 1,880,123 |
| 4.26% 7/28/26 (e) | | 3,031,000 | 2,931,442 |
| 5.122% 1/26/34 (e) | | 4,235,000 | 3,895,724 |
| U.S. Bancorp 5.775% 6/12/29 (e) | | 11,450,000 | 11,442,156 |
| UniCredit SpA: | | | |
| 1.982% 6/3/27 (b)(e) | | 6,165,000 | 5,549,292 |
| 2.731% 1/15/32 (Reg. S) (e) | EUR | 1,447,000 | 1,426,758 |
| 5.861% 6/19/32 (b)(e) | | 119,000 | 112,058 |
| 7.296% 4/2/34 (b)(e) | | 596,000 | 583,677 |
| Virgin Money UK PLC 7.625% 8/23/29 (Reg. S) (e) | GBP | 1,600,000 | 2,073,460 |
| Wells Fargo & Co.: | | | |
| 2.125% 12/20/23 (Reg. S) | GBP | 475,000 | 598,548 |
| 2.164% 2/11/26 (e) | | 2,935,000 | 2,802,565 |
| 2.188% 4/30/26 (e) | | 10,957,000 | 10,415,549 |
| 2.879% 10/30/30 (e) | | 2,200,000 | 1,892,807 |
| 3.068% 4/30/41 (e) | | 7,784,000 | 5,572,312 |
| 3.526% 3/24/28 (e) | | 25,667,000 | 24,064,572 |
| 4.3% 7/22/27 | | 28,701,000 | 27,548,995 |
| 4.478% 4/4/31 (e) | | 19,300,000 | 18,010,982 |
| 4.897% 7/25/33 (e) | | 106,510,000 | 99,619,012 |
| 5.389% 4/24/34 (e) | | 8,000,000 | 7,696,775 |
| 5.557% 7/25/34 (e) | | 16,500,000 | 16,075,407 |
| 5.574% 7/25/29 (e) | | 25,500,000 | 25,459,085 |
| 6.303% 10/23/29 (e) | | 12,800,000 | 13,185,613 |
| Westpac Banking Corp.: | | | |
| U.S. TREASURY 1 YEAR INDEX + 2.680% 5.405% 8/10/33 (e)(i) | | 12,205,000 | 11,466,253 |
| 4.11% 7/24/34 (e) | | 5,791,000 | 5,119,360 |
| Zions Bancorp NA 3.25% 10/29/29 | | 5,124,000 | 4,005,197 |
| | | | 2,171,864,093 |
| Capital Markets - 1.2% | | | |
| Ares Capital Corp.: | | | |
| 3.25% 7/15/25 | | 42,000,000 | 39,758,956 |
| 3.875% 1/15/26 | | 22,188,000 | 21,019,538 |
| Blackstone Holdings Finance Co. LLC: | | | |
| 2.8% 9/30/50 (b) | | 1,245,000 | 715,625 |
| 3.5% 9/10/49 (b) | | 4,614,000 | 3,060,919 |
| Blackstone Private Credit Fund: | | | |
| 4.7% 3/24/25 | | 31,043,000 | 30,242,559 |
| 4.875% 4/14/26 | GBP | 2,200,000 | 2,570,765 |
| 7.05% 9/29/25 | | 20,620,000 | 20,839,858 |
| Deutsche Bank AG: | | | |
| 3.25% 5/24/28 (Reg. S) (e) | EUR | 1,000,000 | 1,036,571 |
| 4% 6/24/32 (Reg. S) (e) | EUR | 2,100,000 | 2,111,179 |
| 4.5% 4/1/25 | | 45,198,000 | 43,838,096 |
| 6.125% 12/12/30 (Reg. S) (e) | GBP | 1,900,000 | 2,321,629 |
| Deutsche Bank AG New York Branch: | | | |
| 0.898% 5/28/24 | | 930,000 | 907,040 |
| 1.447% 4/1/25 (e) | | 2,036,000 | 2,000,540 |
| 2.129% 11/24/26 (e) | | 11,245,000 | 10,305,569 |
| 2.311% 11/16/27 (e) | | 27,513,000 | 24,588,627 |
| 3.035% 5/28/32 (e) | | 4,028,000 | 3,198,671 |
| 3.729% 1/14/32 (e) | | 10,000,000 | 7,873,254 |
| 4.1% 1/13/26 | | 8,332,000 | 7,976,467 |
| 6.72% 1/18/29 (e) | | 2,294,000 | 2,334,223 |
| 7.146% 7/13/27 (e) | | 11,860,000 | 12,096,899 |
| Goldman Sachs Group, Inc.: | | | |
| 2.383% 7/21/32 (e) | | 26,425,000 | 20,808,064 |
| 3.102% 2/24/33 (e) | | 40,000,000 | 32,981,710 |
| 4.25% 10/21/25 | | 12,215,000 | 11,897,202 |
| 4.482% 8/23/28 (e) | | 9,365,000 | 9,032,366 |
| 6.484% 10/24/29 (e) | | 12,000,000 | 12,423,579 |
| 6.75% 10/1/37 | | 59,592,000 | 62,609,562 |
| Hightower Holding LLC 6.75% 4/15/29 (b) | | 1,385,000 | 1,197,542 |
| Intercontinental Exchange, Inc. 4.35% 6/15/29 | | 3,724,000 | 3,585,602 |
| Jane Street Group LLC/JSG Finance, Inc. 4.5% 11/15/29 (b) | | 155,000 | 138,735 |
| LPL Holdings, Inc. 4% 3/15/29 (b) | | 1,720,000 | 1,534,417 |
| Moody's Corp.: | | | |
| 3.25% 1/15/28 | | 4,414,000 | 4,122,661 |
| 3.75% 3/24/25 | | 1,371,000 | 1,341,215 |
| Morgan Stanley: | | | |
| 0.79% 5/30/25 (e) | | 862,000 | 837,713 |
| 1.794% 2/13/32 (e) | | 7,317,000 | 5,606,659 |
| 2.188% 4/28/26 (e) | | 9,226,000 | 8,772,117 |
| 2.239% 7/21/32 (e) | | 4,900,000 | 3,831,905 |
| 2.475% 1/21/28 (e) | | 5,000,000 | 4,556,495 |
| 2.699% 1/22/31 (e) | | 6,227,000 | 5,257,942 |
| 3.622% 4/1/31 (e) | | 47,370,000 | 42,039,348 |
| 3.875% 1/27/26 | | 1,586,000 | 1,540,878 |
| 4.21% 4/20/28 (e) | | 6,115,000 | 5,872,073 |
| 4.3% 1/27/45 | | 530,000 | 444,658 |
| 4.656% 3/2/29 (e) | EUR | 700,000 | 777,642 |
| 4.889% 7/20/33 (e) | | 49,499,000 | 46,366,823 |
| 5% 11/24/25 | | 9,870,000 | 9,761,753 |
| 5.164% 4/20/29 (e) | | 16,000,000 | 15,734,099 |
| 5.424% 7/21/34 (e) | | 17,000,000 | 16,485,906 |
| 5.449% 7/20/29 (e) | | 16,012,000 | 15,951,277 |
| 6.342% 10/18/33 (e) | | 39,945,000 | 41,369,974 |
| NASDAQ, Inc.: | | | |
| 5.95% 8/15/53 | | 1,132,000 | 1,146,320 |
| 6.1% 6/28/63 | | 6,000,000 | 6,110,235 |
| Peachtree Corners Funding Trust 3.976% 2/15/25 (b) | | 4,211,000 | 4,108,713 |
| S&P Global, Inc.: | | | |
| 2.45% 3/1/27 | | 2,414,000 | 2,237,117 |
| 3.9% 3/1/62 | | 2,414,000 | 1,853,530 |
| State Street Corp. 2.901% 3/30/26 (e) | | 104,000 | 100,226 |
| UBS Group AG: | | | |
| 1.305% 2/2/27 (b)(e) | | 3,100,000 | 2,797,455 |
| 1.494% 8/10/27 (b)(e) | | 11,792,000 | 10,475,486 |
| 2.125% 11/15/29 (Reg. S) (e) | GBP | 1,300,000 | 1,388,393 |
| 2.593% 9/11/25 (b)(e) | | 17,956,000 | 17,448,620 |
| 3.091% 5/14/32 (b)(e) | | 5,293,000 | 4,321,153 |
| 3.126% 8/13/30 (b)(e) | | 5,359,000 | 4,620,073 |
| 3.75% 3/26/25 | | 9,717,000 | 9,427,852 |
| 4.194% 4/1/31 (b)(e) | | 44,614,000 | 40,049,613 |
| 4.282% 1/9/28 (b) | | 2,250,000 | 2,126,665 |
| 4.55% 4/17/26 | | 4,758,000 | 4,630,186 |
| 4.75% 3/17/32 (Reg. S) (e) | EUR | 1,050,000 | 1,163,749 |
| 4.988% 8/5/33 (b)(e) | | 10,462,000 | 9,628,827 |
| 4.988% 8/5/33 (Reg. S) (e) | | 300,000 | 276,109 |
| 6.246% 9/22/29 (b)(e) | | 8,000,000 | 8,109,422 |
| 6.373% 7/15/26 (b)(e) | | 2,345,000 | 2,349,801 |
| 6.537% 8/12/33 (b)(e) | | 11,161,000 | 11,390,057 |
| 9.016% 11/15/33 (b)(e) | | 2,086,000 | 2,468,824 |
| | | | 773,905,328 |
| Consumer Finance - 1.0% | | | |
| AerCap Ireland Capital Ltd./AerCap Global Aviation Trust: | | | |
| 1.65% 10/29/24 | | 733,000 | 703,321 |
| 1.75% 1/30/26 | | 20,487,000 | 18,736,005 |
| 2.45% 10/29/26 | | 14,854,000 | 13,531,876 |
| 3% 10/29/28 | | 28,306,000 | 24,947,641 |
| 3.3% 1/30/32 | | 15,939,000 | 13,211,781 |
| 3.4% 10/29/33 | | 2,691,000 | 2,176,978 |
| 3.85% 10/29/41 | | 4,396,000 | 3,281,381 |
| 4.45% 4/3/26 | | 4,254,000 | 4,135,223 |
| 4.875% 1/16/24 | | 221,000 | 220,656 |
| 5.75% 6/6/28 | | 16,700,000 | 16,633,334 |
| 6.1% 1/15/27 | | 4,800,000 | 4,824,454 |
| 6.15% 9/30/30 | | 10,400,000 | 10,471,311 |
| 6.45% 4/15/27 (b) | | 1,866,000 | 1,890,837 |
| 6.5% 7/15/25 | | 7,188,000 | 7,221,978 |
| Ally Financial, Inc.: | | | |
| 2.2% 11/2/28 | | 8,669,000 | 7,100,626 |
| 3.875% 5/21/24 | | 1,227,000 | 1,213,839 |
| 4.625% 3/30/25 | | 4,630,000 | 4,526,661 |
| 4.75% 6/9/27 | | 3,759,000 | 3,555,151 |
| 5.125% 9/30/24 | | 3,380,000 | 3,347,894 |
| 5.75% 11/20/25 | | 5,507,000 | 5,404,603 |
| 5.8% 5/1/25 | | 10,661,000 | 10,580,998 |
| 6.992% 6/13/29 (e) | | 43,000,000 | 43,227,990 |
| 7.1% 11/15/27 | | 17,330,000 | 17,671,647 |
| 8% 11/1/31 | | 17,833,000 | 18,903,043 |
| Capital One Financial Corp.: | | | |
| 1.878% 11/2/27 (e) | | 5,931,000 | 5,201,463 |
| 2.359% 7/29/32 (e) | | 17,080,000 | 12,128,145 |
| 2.636% 3/3/26 (e) | | 13,528,000 | 12,793,511 |
| 3.2% 2/5/25 | | 1,207,000 | 1,165,903 |
| 3.273% 3/1/30 (e) | | 12,200,000 | 10,483,548 |
| 3.65% 5/11/27 | | 21,700,000 | 20,154,058 |
| 3.8% 1/31/28 | | 10,723,000 | 9,867,480 |
| 3.9% 1/29/24 | | 1,545,000 | 1,539,931 |
| 4.927% 5/10/28 (e) | | 6,900,000 | 6,600,766 |
| 4.985% 7/24/26 (e) | | 17,135,000 | 16,726,403 |
| 5.247% 7/26/30 (e) | | 19,853,000 | 18,672,430 |
| 5.268% 5/10/33 (e) | | 11,209,000 | 10,287,309 |
| 5.468% 2/1/29 (e) | | 2,066,000 | 1,984,721 |
| 5.817% 2/1/34 (e) | | 3,589,000 | 3,366,099 |
| 6.312% 6/8/29 (e) | | 33,200,000 | 33,005,244 |
| 7.624% 10/30/31 (e) | | 22,914,000 | 23,947,888 |
| Discover Financial Services: | | | |
| 3.95% 11/6/24 | | 1,874,000 | 1,832,460 |
| 4.1% 2/9/27 | | 13,375,000 | 12,417,199 |
| 4.5% 1/30/26 | | 7,399,000 | 7,162,686 |
| 6.7% 11/29/32 | | 6,410,000 | 6,362,428 |
| Ford Motor Credit Co. LLC: | | | |
| 2.3% 2/10/25 | | 1,654,000 | 1,571,743 |
| 2.7% 8/10/26 | | 5,665,000 | 5,138,697 |
| 2.9% 2/10/29 | | 275,000 | 233,335 |
| 3.375% 11/13/25 | | 9,760,000 | 9,195,471 |
| 3.625% 6/17/31 | | 5,000,000 | 4,154,342 |
| 4% 11/13/30 | | 17,230,000 | 14,811,535 |
| 4.063% 11/1/24 | | 51,621,000 | 50,410,656 |
| 4.125% 8/17/27 | | 19,335,000 | 17,867,876 |
| 4.687% 6/9/25 | | 430,000 | 417,746 |
| 4.95% 5/28/27 | | 20,213,000 | 19,282,214 |
| 5.113% 5/3/29 | | 2,920,000 | 2,744,134 |
| 5.125% 6/16/25 | | 1,020,000 | 997,089 |
| 5.584% 3/18/24 | | 8,520,000 | 8,502,845 |
| 6.8% 5/12/28 | | 6,000,000 | 6,104,324 |
| 6.86% 6/5/26 | GBP | 1,150,000 | 1,468,121 |
| 6.95% 3/6/26 | | 195,000 | 196,757 |
| 6.95% 6/10/26 | | 9,500,000 | 9,606,150 |
| Navient Corp. 6.75% 6/15/26 | | 1,050,000 | 1,048,159 |
| OneMain Finance Corp.: | | | |
| 3.5% 1/15/27 | | 2,190,000 | 1,956,936 |
| 3.875% 9/15/28 | | 3,650,000 | 3,134,780 |
| Synchrony Financial: | | | |
| 3.95% 12/1/27 | | 8,239,000 | 7,401,776 |
| 4.25% 8/15/24 | | 10,059,000 | 9,889,891 |
| 4.375% 3/19/24 | | 11,326,000 | 11,259,971 |
| 5.15% 3/19/29 | | 18,424,000 | 17,034,504 |
| | | | 657,647,952 |
| Financial Services - 0.4% | | | |
| AIG Global Funding 5.9% 9/19/28 (b) | | 18,426,000 | 18,634,092 |
| Altus Midstream LP 5.875% 6/15/30 (b) | | 445,000 | 423,901 |
| Aon Corp. / Aon Global Holdings PLC: | | | |
| 2.6% 12/2/31 | | 2,057,000 | 1,680,425 |
| 5.35% 2/28/33 | | 6,000,000 | 5,967,207 |
| Athene Global Funding: | | | |
| 0.95% 1/8/24 (b) | | 2,330,000 | 2,317,936 |
| 1.45% 1/8/26 (b) | | 11,178,000 | 10,143,600 |
| 1.73% 10/2/26 (b) | | 4,975,000 | 4,382,209 |
| 2.5% 3/24/28 (b) | | 6,975,000 | 6,026,987 |
| 2.646% 10/4/31 (b) | | 3,414,000 | 2,680,822 |
| Aviation Capital Group LLC: | | | |
| 6.25% 4/15/28 (b) | | 6,500,000 | 6,427,974 |
| 6.75% 10/25/28 (b) | | 6,500,000 | 6,583,166 |
| Block, Inc. 2.75% 6/1/26 | | 465,000 | 428,830 |
| Brixmor Operating Partnership LP: | | | |
| 2.25% 4/1/28 | | 2,355,000 | 2,030,218 |
| 3.85% 2/1/25 | | 1,010,000 | 981,734 |
| 4.05% 7/1/30 | | 10,487,000 | 9,410,086 |
| 4.125% 6/15/26 | | 5,827,000 | 5,571,058 |
| 4.125% 5/15/29 | | 20,383,000 | 18,590,291 |
| Corebridge Financial, Inc.: | | | |
| 3.65% 4/5/27 | | 1,888,000 | 1,773,279 |
| 3.85% 4/5/29 | | 1,514,000 | 1,386,196 |
| 3.9% 4/5/32 | | 27,561,000 | 24,127,561 |
| 4.35% 4/5/42 | | 2,247,000 | 1,802,810 |
| 4.4% 4/5/52 | | 12,648,000 | 9,861,757 |
| 6.05% 9/15/33 (b) | | 9,870,000 | 10,000,004 |
| Emerald Debt Merger Sub LLC 6.625% 12/15/30 (b) | | 945,000 | 942,638 |
| Equitable Holdings, Inc.: | | | |
| 4.35% 4/20/28 | | 9,527,000 | 9,049,000 |
| 5% 4/20/48 | | 15,055,000 | 13,242,697 |
| Fiserv, Inc. 3.5% 7/1/29 | | 2,350,000 | 2,147,258 |
| GGAM Finance Ltd.: | | | |
| 7.75% 5/15/26 (b) | | 1,335,000 | 1,337,024 |
| 8% 2/15/27 (b) | | 390,000 | 392,527 |
| Gn Bondco LLC 9.5% 10/15/31 (b) | | 872,000 | 828,268 |
| Icahn Enterprises LP/Icahn Enterprises Finance Corp.: | | | |
| 4.75% 9/15/24 | | 740,000 | 726,213 |
| 5.25% 5/15/27 | | 1,155,000 | 1,042,388 |
| 6.25% 5/15/26 | | 4,806,000 | 4,537,555 |
| Jackson Financial, Inc.: | | | |
| 3.125% 11/23/31 | | 15,333,000 | 12,204,678 |
| 4% 11/23/51 | | 3,736,000 | 2,385,758 |
| 5.17% 6/8/27 | | 10,297,000 | 10,001,744 |
| 5.67% 6/8/32 | | 18,859,000 | 18,299,787 |
| KfW: | | | |
| 0% 9/17/30 (Reg. S) | EUR | 200,000 | 178,744 |
| 0.75% 1/15/29 (Reg. S) | EUR | 2,500,000 | 2,444,401 |
| 2.875% 5/29/26 (Reg. S) | EUR | 2,640,000 | 2,863,801 |
| Leighton Finance U.S.A. Pty Ltd. 1.5% 5/28/29 (Reg. S) | EUR | 1,600,000 | 1,421,459 |
| Nationwide Building Society: | | | |
| 6.178% 12/7/27 (Reg. S) (e) | GBP | 700,000 | 886,223 |
| 6.557% 10/18/27 (b)(e) | | 6,000,000 | 6,087,791 |
| Park Aerospace Holdings Ltd. 5.5% 2/15/24 (b) | | 7,300,000 | 7,280,000 |
| Pine Street Trust I 4.572% 2/15/29 (b) | | 7,749,000 | 7,184,400 |
| Pine Street Trust II 5.568% 2/15/49 (b) | | 7,700,000 | 6,518,558 |
| Quicken Loans LLC/Quicken Loans Co-Issuer, Inc. 3.625% 3/1/29 (b) | | 1,055,000 | 926,641 |
| Rexford Industrial Realty LP 2.15% 9/1/31 | | 2,886,000 | 2,203,292 |
| The Western Union Co. 2.85% 1/10/25 | | 433,000 | 418,147 |
| Voya Financial, Inc.: | | | |
| 4.7% 1/23/48 (e) | | 3,132,000 | 2,509,061 |
| 5.7% 7/15/43 | | 1,458,000 | 1,322,291 |
| | | | 270,614,487 |
| Insurance - 0.4% | | | |
| Admiral Group PLC 8.5% 1/6/34 (Reg. S) | GBP | 400,000 | 531,435 |
| AFLAC, Inc. 3.6% 4/1/30 | | 387,000 | 355,811 |
| AIA Group Ltd.: | | | |
| 0.88% 9/9/33 (Reg. S) (e) | EUR | 705,000 | 637,846 |
| 3.2% 9/16/40 (b) | | 1,085,000 | 769,456 |
| 3.375% 4/7/30 (b) | | 2,900,000 | 2,595,523 |
| 3.6% 4/9/29 (b) | | 2,180,000 | 2,016,108 |
| 3.9% 4/6/28 (b) | | 5,555,000 | 5,275,384 |
| Alliant Holdings Intermediate LLC 4.25% 10/15/27 (b) | | 1,320,000 | 1,223,165 |
| American International Group, Inc. 5.75% 4/1/48 (e) | | 3,579,000 | 3,351,330 |
| AmFam Holdings, Inc. 2.805% 3/11/31 (b) | | 5,464,000 | 4,055,888 |
| Aon Corp. 6.25% 9/30/40 | | 142,000 | 145,973 |
| Aon PLC 3.875% 12/15/25 | | 2,143,000 | 2,082,340 |
| Assurant, Inc. 2.65% 1/15/32 | | 7,753,000 | 5,993,080 |
| Athene Holding Ltd.: | | | |
| 3.45% 5/15/52 | | 6,850,000 | 4,293,141 |
| 3.95% 5/25/51 | | 1,604,000 | 1,120,911 |
| 6.65% 2/1/33 | | 5,044,000 | 5,228,272 |
| Brown & Brown, Inc. 2.375% 3/15/31 | | 3,550,000 | 2,827,361 |
| Demeter Investments BV 5.625% 8/15/52 (Reg. S) (e) | | 5,775,000 | 5,472,390 |
| Empower Finance 2020 LP: | | | |
| 1.357% 9/17/27 (b) | | 1,474,000 | 1,283,972 |
| 3.075% 9/17/51 (b) | | 3,522,000 | 2,190,843 |
| Equitable Financial Life Global Funding: | | | |
| 1.3% 7/12/26 (b) | | 1,724,000 | 1,532,820 |
| 1.4% 8/27/27 (b) | | 1,724,000 | 1,472,383 |
| 1.7% 11/12/26 (b) | | 4,197,000 | 3,720,229 |
| Fairfax Financial Holdings Ltd.: | | | |
| 3.375% 3/3/31 | | 3,434,000 | 2,905,019 |
| 5.625% 8/16/32 | | 13,389,000 | 12,996,339 |
| Fidelidade-Companhia de Seguros SA 4.25% 9/4/31 (Reg. S) (e) | EUR | 800,000 | 761,195 |
| Five Corners Funding Trust II 2.85% 5/15/30 (b) | | 21,030,000 | 17,977,485 |
| Hartford Financial Services Group, Inc. 4.3% 4/15/43 | | 679,000 | 547,503 |
| Intact Financial Corp. 5.459% 9/22/32 (b) | | 7,368,000 | 7,153,945 |
| Liberty Mutual Group, Inc.: | | | |
| 3.95% 5/15/60 (b) | | 12,820,000 | 8,433,367 |
| 5.5% 6/15/52 (b) | | 5,885,000 | 5,201,447 |
| Lincoln National Corp. 3.4% 1/15/31 | | 14,811,000 | 12,359,363 |
| Marsh & McLennan Companies, Inc.: | | | |
| 3.875% 3/15/24 | | 835,000 | 830,415 |
| 5.7% 9/15/53 | | 10,000,000 | 10,181,122 |
| Massachusetts Mutual Life Insurance Co.: | | | |
| 3.2% 12/1/61 (b) | | 6,056,000 | 3,544,269 |
| 3.729% 10/15/70 (b) | | 1,622,000 | 1,029,701 |
| MetLife, Inc. 5.375% 7/15/33 | | 27,000,000 | 26,890,073 |
| Pacific LifeCorp: | | | |
| 3.35% 9/15/50 (b) | | 7,037,000 | 4,703,309 |
| 5.125% 1/30/43 (b) | | 3,343,000 | 2,976,402 |
| Pricoa Global Funding I 5.375% 5/15/45 (e) | | 3,148,000 | 3,041,295 |
| Principal Financial Group, Inc. 3.7% 5/15/29 | | 1,714,000 | 1,575,408 |
| Prudential Financial, Inc.: | | | |
| 3.935% 12/7/49 | | 843,000 | 638,945 |
| 6% 9/1/52 (e) | | 31,987,000 | 30,228,975 |
| Prudential Funding Asia PLC 2.95% 11/3/33 (Reg. S) (e) | | 3,700,000 | 3,154,250 |
| QBE Insurance Group Ltd.: | | | |
| 2.5% 9/13/38 (Reg. S) (e) | GBP | 1,405,000 | 1,451,737 |
| 6.75% 12/2/44 (Reg. S) (e) | | 3,605,000 | 3,562,282 |
| Reliance Standard Life Global Funding II 2.75% 5/7/25 (b) | | 5,591,000 | 5,308,891 |
| Ryan Specialty Group LLC 4.375% 2/1/30 (b) | | 650,000 | 586,625 |
| Swiss Re Finance Luxembourg SA 5% 4/2/49 (b)(e) | | 1,000,000 | 936,285 |
| Teachers Insurance & Annuity Association of America 4.9% 9/15/44 (b) | | 1,484,000 | 1,315,906 |
| Unum Group: | | | |
| 4% 6/15/29 | | 6,130,000 | 5,639,766 |
| 4.125% 6/15/51 | | 12,274,000 | 8,475,036 |
| 5.75% 8/15/42 | | 3,718,000 | 3,351,501 |
| Willis Group North America, Inc.: | | | |
| 4.5% 9/15/28 | | 1,897,000 | 1,815,515 |
| 5.35% 5/15/33 | | 13,900,000 | 13,571,685 |
| Zurich Finance (Ireland) DAC 3.5% 5/2/52 (Reg. S) (e) | | 1,650,000 | 1,280,186 |
| | | | 262,600,903 |
TOTAL FINANCIALS | | | 4,136,632,763 |
| HEALTH CARE - 0.8% | | | |
| Biotechnology - 0.1% | | | |
| AbbVie, Inc.: | | | |
| 3.2% 11/21/29 | | 3,114,000 | 2,827,526 |
| 4.05% 11/21/39 | | 3,114,000 | 2,676,278 |
| 4.55% 3/15/35 | | 3,061,000 | 2,890,570 |
| Amgen, Inc.: | | | |
| 4.663% 6/15/51 | | 3,736,000 | 3,197,952 |
| 5.15% 3/2/28 | | 1,959,000 | 1,963,082 |
| 5.25% 3/2/30 | | 3,201,000 | 3,217,347 |
| 5.25% 3/2/33 | | 22,305,000 | 22,079,343 |
| 5.6% 3/2/43 | | 14,041,000 | 13,740,052 |
| 5.65% 3/2/53 | | 7,733,000 | 7,625,756 |
| 5.75% 3/2/63 | | 14,093,000 | 13,791,250 |
| Emergent BioSolutions, Inc. 3.875% 8/15/28 (b) | | 677,000 | 266,569 |
| Grifols SA 4.75% 10/15/28 (b) | | 400,000 | 353,546 |
| Regeneron Pharmaceuticals, Inc.: | | | |
| 1.75% 9/15/30 | | 3,674,000 | 2,917,485 |
| 2.8% 9/15/50 | | 2,491,000 | 1,511,638 |
| | | | 79,058,394 |
| Health Care Equipment & Supplies - 0.0% | | | |
| Alcon Finance Corp. 2.75% 9/23/26 (b) | | 1,414,000 | 1,316,669 |
| Avantor Funding, Inc. 4.625% 7/15/28 (b) | | 1,515,000 | 1,417,087 |
| Hologic, Inc.: | | | |
| 3.25% 2/15/29 (b) | | 945,000 | 829,759 |
| 4.625% 2/1/28 (b) | | 65,000 | 61,269 |
| Teleflex, Inc. 4.25% 6/1/28 (b) | | 145,000 | 133,541 |
| Werfenlife SA 4.625% 6/6/28 (Reg. S) | EUR | 700,000 | 763,076 |
| | | | 4,521,401 |
| Health Care Providers & Services - 0.4% | | | |
| 180 Medical, Inc. 3.875% 10/15/29 (b) | | 1,520,000 | 1,325,455 |
| Centene Corp.: | | | |
| 2.45% 7/15/28 | | 12,813,000 | 11,109,540 |
| 2.5% 3/1/31 | | 24,610,000 | 19,676,187 |
| 2.625% 8/1/31 | | 15,841,000 | 12,609,436 |
| 3% 10/15/30 | | 9,668,000 | 8,066,883 |
| 3.375% 2/15/30 | | 10,225,000 | 8,842,763 |
| 4.25% 12/15/27 | | 10,445,000 | 9,860,080 |
| 4.625% 12/15/29 | | 12,457,000 | 11,569,229 |
| Cigna Group: | | | |
| 3.4% 3/1/27 | | 3,552,000 | 3,374,785 |
| 3.4% 3/15/50 | | 4,359,000 | 2,997,786 |
| 3.4% 3/15/51 | | 4,359,000 | 2,982,389 |
| 4.125% 11/15/25 | | 522,000 | 509,854 |
| 4.375% 10/15/28 | | 4,530,000 | 4,369,874 |
| 4.8% 8/15/38 | | 2,697,000 | 2,488,240 |
| 4.9% 12/15/48 | | 517,000 | 458,143 |
| 5.4% 3/15/33 | | 15,000,000 | 14,976,373 |
| Community Health Systems, Inc.: | | | |
| 4.75% 2/15/31 (b) | | 2,280,000 | 1,672,790 |
| 6.875% 4/15/29 (b) | | 335,000 | 197,650 |
| CVS Health Corp.: | | | |
| 4.78% 3/25/38 | | 2,165,000 | 1,942,699 |
| 5% 1/30/29 | | 5,700,000 | 5,668,064 |
| 5.125% 2/21/30 | | 14,148,000 | 13,943,801 |
| 5.25% 1/30/31 | | 5,087,000 | 5,063,414 |
| 5.3% 6/1/33 | | 14,500,000 | 14,262,197 |
| 5.875% 6/1/53 | | 5,000,000 | 4,893,866 |
| DaVita HealthCare Partners, Inc. 4.625% 6/1/30 (b) | | 505,000 | 426,833 |
| Elevance Health, Inc.: | | | |
| 2.25% 5/15/30 | | 5,433,000 | 4,554,288 |
| 3.35% 12/1/24 | | 1,379,000 | 1,347,204 |
| HCA Holdings, Inc.: | | | |
| 3.125% 3/15/27 | | 4,517,000 | 4,186,895 |
| 3.375% 3/15/29 | | 2,198,000 | 1,972,486 |
| 3.5% 9/1/30 | | 12,405,000 | 10,906,567 |
| 3.625% 3/15/32 | | 10,363,000 | 8,945,103 |
| 4.625% 3/15/52 | | 3,307,000 | 2,618,949 |
| 5.125% 6/15/39 | | 1,878,000 | 1,686,607 |
| 5.25% 6/15/49 | | 2,069,000 | 1,794,790 |
| 5.625% 9/1/28 | | 9,085,000 | 9,109,622 |
| 5.875% 2/1/29 | | 9,796,000 | 9,882,815 |
| HealthEquity, Inc. 4.5% 10/1/29 (b) | | 110,000 | 99,054 |
| Humana, Inc.: | | | |
| 1.35% 2/3/27 | | 2,069,000 | 1,837,793 |
| 3.7% 3/23/29 | | 548,000 | 512,420 |
| 3.95% 3/15/27 | | 2,000,000 | 1,924,491 |
| Molina Healthcare, Inc. 3.875% 11/15/30 (b) | | 1,400,000 | 1,215,927 |
| Owens & Minor, Inc. 4.5% 3/31/29 (b) | | 160,000 | 137,000 |
| Pediatrix Medical Group, Inc. 5.375% 2/15/30 (b) | | 660,000 | 555,973 |
| Prime Healthcare Foundation, Inc. 7% 12/1/27 | | 2,736,000 | 2,701,330 |
| Quest Diagnostics, Inc. 2.95% 6/30/30 | | 6,227,000 | 5,351,391 |
| RP Escrow Issuer LLC 5.25% 12/15/25 (b) | | 1,285,000 | 993,511 |
| Sabra Health Care LP: | | | |
| 3.2% 12/1/31 | | 26,025,000 | 20,354,423 |
| 3.9% 10/15/29 | | 7,857,000 | 6,792,246 |
| Surgery Center Holdings, Inc. 6.75% 7/1/25 (b) | | 458,000 | 454,565 |
| Tenet Healthcare Corp.: | | | |
| 4.625% 6/15/28 | | 5,765,000 | 5,369,478 |
| 4.875% 1/1/26 | | 385,000 | 378,295 |
| 5.125% 11/1/27 | | 1,000,000 | 959,343 |
| 6.125% 6/15/30 | | 425,000 | 413,933 |
| Toledo Hospital 5.325% 11/15/28 | | 2,395,000 | 2,121,132 |
| UnitedHealth Group, Inc.: | | | |
| 3.95% 10/15/42 | | 74,000 | 60,295 |
| 4.25% 3/15/43 | | 1,397,000 | 1,202,935 |
| 4.625% 7/15/35 | | 418,000 | 401,616 |
| 4.75% 7/15/45 | | 1,023,000 | 934,300 |
| Universal Health Services, Inc.: | | | |
| 2.65% 10/15/30 | | 9,393,000 | 7,640,659 |
| 2.65% 1/15/32 | | 9,523,000 | 7,494,339 |
| | | | 290,200,106 |
| Health Care Technology - 0.0% | | | |
| IQVIA, Inc.: | | | |
| 5% 5/15/27 (b) | | 630,000 | 609,848 |
| 6.5% 5/15/30 (b) | | 1,310,000 | 1,321,070 |
| | | | 1,930,918 |
| Life Sciences Tools & Services - 0.0% | | | |
| Charles River Laboratories International, Inc.: | | | |
| 3.75% 3/15/29 (b) | | 1,700,000 | 1,511,317 |
| 4.25% 5/1/28 (b) | | 70,000 | 64,869 |
| | | | 1,576,186 |
| Pharmaceuticals - 0.3% | | | |
| AstraZeneca PLC 6.45% 9/15/37 | | 3,092,000 | 3,444,195 |
| Bayer AG 4.625% 5/26/33 (Reg. S) | EUR | 850,000 | 924,485 |
| Bayer U.S. Finance II LLC: | | | |
| 3.375% 7/15/24 (b) | | 4,359,000 | 4,282,748 |
| 4.25% 12/15/25 (b) | | 52,255,000 | 50,359,646 |
| 4.375% 12/15/28 (b) | | 5,293,000 | 4,903,070 |
| 4.875% 6/25/48 (b) | | 5,321,000 | 4,132,312 |
| Bayer U.S. Finance LLC: | | | |
| 6.375% 11/21/30 (b) | | 750,000 | 748,001 |
| 6.5% 11/21/33 (b) | | 8,400,000 | 8,346,363 |
| 6.875% 11/21/53 (b) | | 5,000,000 | 4,997,034 |
| Elanco Animal Health, Inc. 6.65% 8/28/28 (e) | | 8,545,000 | 8,534,319 |
| Jazz Securities DAC 4.375% 1/15/29 (b) | | 425,000 | 382,341 |
| Mylan NV 4.55% 4/15/28 | | 8,389,000 | 7,926,098 |
| Organon & Co. / Organon Foreign Debt Co-Issuer BV: | | | |
| 4.125% 4/30/28 (b) | | 1,105,000 | 981,206 |
| 5.125% 4/30/31 (b) | | 1,630,000 | 1,282,457 |
| Perrigo Finance PLC 4.65% 6/15/30 | | 6,476,000 | 5,776,120 |
| Pfizer Investment Enterprises: | | | |
| 4.75% 5/19/33 | | 14,040,000 | 13,658,427 |
| 5.3% 5/19/53 | | 10,813,000 | 10,543,052 |
| Utah Acquisition Sub, Inc. 3.95% 6/15/26 | | 2,065,000 | 1,968,423 |
| Viatris, Inc.: | | | |
| 1.65% 6/22/25 | | 153,000 | 143,366 |
| 2.7% 6/22/30 | | 24,123,000 | 19,592,456 |
| 3.85% 6/22/40 | | 3,928,000 | 2,722,901 |
| 4% 6/22/50 | | 13,167,000 | 8,533,710 |
| | | | 164,182,730 |
TOTAL HEALTH CARE | | | 541,469,735 |
| INDUSTRIALS - 0.6% | | | |
| Aerospace & Defense - 0.3% | | | |
| BAE Systems Holdings, Inc. 3.8% 10/7/24 (b) | | 746,000 | 733,255 |
| BAE Systems PLC: | | | |
| 3% 9/15/50 (b) | | 4,330,000 | 2,792,688 |
| 3.4% 4/15/30 (b) | | 8,797,000 | 7,861,158 |
| BWX Technologies, Inc. 4.125% 6/30/28 (b) | | 780,000 | 704,939 |
| Howmet Aerospace, Inc.: | | | |
| 5.95% 2/1/37 | | 675,000 | 663,552 |
| 6.75% 1/15/28 | | 365,000 | 376,684 |
| Moog, Inc. 4.25% 12/15/27 (b) | | 1,580,000 | 1,466,145 |
| Northrop Grumman Corp.: | | | |
| 2.93% 1/15/25 | | 31,000 | 30,132 |
| 4.03% 10/15/47 | | 3,355,000 | 2,687,600 |
| Rolls-Royce PLC: | | | |
| 3.375% 6/18/26 | GBP | 1,190,000 | 1,408,421 |
| 5.75% 10/15/27 (b) | | 1,015,000 | 1,002,872 |
| RTX Corp.: | | | |
| 5.75% 1/15/29 | | 6,000,000 | 6,124,613 |
| 6% 3/15/31 | | 6,000,000 | 6,213,990 |
| 6.1% 3/15/34 | | 7,000,000 | 7,334,991 |
| 6.4% 3/15/54 | | 6,800,000 | 7,381,819 |
| The Boeing Co.: | | | |
| 2.7% 2/1/27 | | 1,724,000 | 1,592,621 |
| 2.75% 2/1/26 | | 2,071,000 | 1,958,954 |
| 3.25% 2/1/28 | | 4,359,000 | 4,046,695 |
| 3.625% 2/1/31 | | 14,000,000 | 12,597,238 |
| 5.04% 5/1/27 | | 19,675,000 | 19,546,963 |
| 5.15% 5/1/30 | | 55,693,000 | 55,179,202 |
| 5.805% 5/1/50 | | 14,165,000 | 13,815,304 |
| 5.93% 5/1/60 | | 6,070,000 | 5,892,128 |
| TransDigm, Inc.: | | | |
| 6.25% 3/15/26 (b) | | 4,152,000 | 4,123,354 |
| 7.5% 3/15/27 | | 95,000 | 95,033 |
| | | | 165,630,351 |
| Air Freight & Logistics - 0.0% | | | |
| Rand Parent LLC 8.5% 2/15/30 (b) | | 875,000 | 827,083 |
| Building Products - 0.0% | | | |
| Advanced Drain Systems, Inc. 5% 9/30/27 (b) | | 2,565,000 | 2,435,912 |
| Builders FirstSource, Inc. 4.25% 2/1/32 (b) | | 1,415,000 | 1,213,806 |
| Carlisle Companies, Inc. 2.75% 3/1/30 | | 6,227,000 | 5,262,517 |
| Carrier Global Corp.: | | | |
| 2.493% 2/15/27 | | 518,000 | 474,434 |
| 2.7% 2/15/31 | | 6,352,000 | 5,313,891 |
| 4.5% 11/29/32 (Reg. S) | EUR | 525,000 | 584,078 |
| 5.9% 3/15/34 (b) | | 3,820,000 | 3,930,998 |
| 6.2% 3/15/54 (b) | | 3,964,000 | 4,190,137 |
| Standard Industries, Inc./New Jersey 4.375% 7/15/30 (b) | | 1,165,000 | 1,021,160 |
| | | | 24,426,933 |
| Commercial Services & Supplies - 0.0% | | | |
| ADT Corp.: | | | |
| 4.125% 8/1/29 (b) | | 270,000 | 239,984 |
| 4.875% 7/15/32 (b) | | 1,270,000 | 1,112,926 |
| Brand Energy & Infrastructure Services, Inc. 10.375% 8/1/30 (b) | | 640,000 | 663,571 |
| Clean Harbors, Inc. 6.375% 2/1/31 (b) | | 110,000 | 109,158 |
| CoreCivic, Inc. 8.25% 4/15/26 | | 400,000 | 407,962 |
| GFL Environmental, Inc. 6.75% 1/15/31 (b) | | 310,000 | 312,713 |
| Madison IAQ LLC 4.125% 6/30/28 (b) | | 2,045,000 | 1,816,714 |
| Prime Securities Services Borrower LLC/Prime Finance, Inc. 3.375% 8/31/27 (b) | | 1,980,000 | 1,791,294 |
| Stericycle, Inc. 3.875% 1/15/29 (b) | | 750,000 | 661,308 |
| The GEO Group, Inc. 9.5% 12/31/28 (b) | | 505,000 | 482,275 |
| | | | 7,597,905 |
| Construction & Engineering - 0.0% | | | |
| AECOM 5.125% 3/15/27 | | 1,777,000 | 1,727,622 |
| Electrical Equipment - 0.0% | | | |
| Hubbell, Inc. 3.5% 2/15/28 | | 3,355,000 | 3,147,739 |
| Sensata Technologies BV 4% 4/15/29 (b) | | 275,000 | 246,891 |
| Vertiv Group Corp. 4.125% 11/15/28 (b) | | 1,125,000 | 1,018,323 |
| | | | 4,412,953 |
| Ground Transportation - 0.0% | | | |
| Alpha Trains Finance SA 2.064% 6/30/30 | EUR | 1,740,000 | 1,792,620 |
| Burlington Northern Santa Fe LLC: | | | |
| 4.15% 4/1/45 | | 564,000 | 465,853 |
| 4.4% 3/15/42 | | 1,397,000 | 1,212,196 |
| Canadian Pacific Railway Co. 3.1% 12/2/51 | | 2,312,000 | 1,544,432 |
| CSX Corp.: | | | |
| 3.8% 4/15/50 | | 78,000 | 58,729 |
| 4.3% 3/1/48 | | 5,524,000 | 4,549,765 |
| Mobico Group PLC 4.875% 9/26/31 (Reg. S) | EUR | 1,300,000 | 1,368,302 |
| Norfolk Southern Corp. 5.35% 8/1/54 | | 5,400,000 | 5,158,720 |
| Uber Technologies, Inc. 4.5% 8/15/29 (b) | | 665,000 | 611,856 |
| Union Pacific Corp. 3.25% 2/5/50 | | 3,425,000 | 2,415,133 |
| XPO, Inc.: | | | |
| 6.25% 5/1/25 (b) | | 771,000 | 763,441 |
| 6.25% 6/1/28 (b) | | 630,000 | 622,392 |
| | | | 20,563,439 |
| Industrial Conglomerates - 0.0% | | | |
| Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp. 4.25% 2/1/27 (b) | | 800,000 | 738,146 |
| Trane Technologies Financing Ltd. 4.65% 11/1/44 | | 314,000 | 270,873 |
| | | | 1,009,019 |
| Machinery - 0.0% | | | |
| Daimler Trucks Finance North America LLC 2% 12/14/26 (b) | | 3,978,000 | 3,600,707 |
| Ingersoll Rand, Inc.: | | | |
| 5.4% 8/14/28 | | 4,089,000 | 4,098,069 |
| 5.7% 8/14/33 | | 4,393,000 | 4,446,381 |
| Otis Worldwide Corp. 2.056% 4/5/25 | | 1,790,000 | 1,711,520 |
| Vertical U.S. Newco, Inc. 5.25% 7/15/27 (b) | | 1,715,000 | 1,629,402 |
| Westinghouse Air Brake Tech Co. 3.2% 6/15/25 | | 3,995,000 | 3,834,983 |
| | | | 19,321,062 |
| Marine Transportation - 0.0% | | | |
| Seaspan Corp. 5.5% 8/1/29 (b) | | 200,000 | 156,000 |
| Passenger Airlines - 0.1% | | | |
| American Airlines 2019-1 Class B Pass Through Trust equipment trust certificate 3.85% 8/15/29 | | 2,624,510 | 2,309,530 |
| American Airlines, Inc.: | | | |
| 3.75% 4/15/27 | | 1,560,340 | 1,457,320 |
| 7.25% 2/15/28 (b) | | 195,000 | 192,591 |
| 8.5% 5/15/29 (b)(j) | | 745,000 | 768,499 |
| American Airlines, Inc. / AAdvantage Loyalty IP Ltd. 5.5% 4/20/26 (b) | | 633,333 | 623,490 |
| British Airways 2021-1 Class A Pass Through Trust equipment trust certificate 2.9% 9/15/36 (b) | | 1,338,402 | 1,120,115 |
| Delta Air Lines, Inc. 2.9% 10/28/24 | | 1,897,000 | 1,836,862 |
| SMBC Aviation Capital Finance 5.7% 7/25/33 (b) | | 6,000,000 | 5,778,607 |
| Southwest Airlines Co.: | | | |
| 5.125% 6/15/27 | | 4,515,000 | 4,463,746 |
| 5.25% 5/4/25 | | 7,846,000 | 7,796,938 |
| United Airlines 2019-2 Class B Pass Through Trust equipment trust certificate 3.5% 11/1/29 | | 1,743,913 | 1,560,058 |
| United Airlines, Inc.: | | | |
| equipment trust certificate 4.6% 9/1/27 | | 1,750,339 | 1,647,446 |
| 4.375% 4/15/26 (b) | | 2,840,000 | 2,700,646 |
| | | | 32,255,848 |
| Professional Services - 0.0% | | | |
| ASGN, Inc. 4.625% 5/15/28 (b) | | 1,825,000 | 1,698,309 |
| Booz Allen Hamilton, Inc.: | | | |
| 3.875% 9/1/28 (b) | | 1,365,000 | 1,255,077 |
| 4% 7/1/29 (b) | | 105,000 | 95,651 |
| 5.95% 8/4/33 | | 10,000,000 | 10,098,020 |
| TriNet Group, Inc.: | | | |
| 3.5% 3/1/29 (b) | | 805,000 | 700,350 |
| 7.125% 8/15/31 (b) | | 260,000 | 262,600 |
| | | | 14,110,007 |
| Trading Companies & Distributors - 0.1% | | | |
| Air Lease Corp.: | | | |
| 0.7% 2/15/24 | | 948,000 | 937,620 |
| 0.8% 8/18/24 | | 1,422,000 | 1,369,010 |
| 2.2% 1/15/27 | | 3,428,000 | 3,073,317 |
| 2.875% 1/15/26 | | 4,359,000 | 4,101,857 |
| 2.875% 1/15/32 | | 9,528,000 | 7,725,180 |
| 3.375% 7/1/25 | | 11,630,000 | 11,159,737 |
| 3.75% 6/1/26 | | 5,000,000 | 4,758,793 |
| 4.25% 2/1/24 | | 1,019,000 | 1,015,301 |
| 5.3% 2/1/28 | | 7,037,000 | 6,963,555 |
| Beacon Roofing Supply, Inc. 6.5% 8/1/30 (b) | | 480,000 | 479,464 |
| Fortress Transportation & Infrastructure Investors LLC 7.875% 12/1/30 (b) | | 645,000 | 656,167 |
| Travis Perkins PLC 3.75% 2/17/26 (Reg. S) | GBP | 1,100,000 | 1,281,071 |
| | | | 43,521,072 |
| Transportation Infrastructure - 0.1% | | | |
| Avolon Holdings Funding Ltd.: | | | |
| 2.528% 11/18/27 (b) | | 5,500,000 | 4,752,606 |
| 2.875% 2/15/25 (b) | | 17,687,000 | 16,893,576 |
| 3.25% 2/15/27 (b) | | 11,688,000 | 10,573,291 |
| 3.95% 7/1/24 (b) | | 3,894,000 | 3,827,649 |
| 4.25% 4/15/26 (b) | | 874,000 | 831,277 |
| 4.375% 5/1/26 (b) | | 8,375,000 | 7,972,442 |
| 5.25% 5/15/24 (b) | | 4,186,000 | 4,158,258 |
| 5.5% 1/15/26 (b) | | 1,754,000 | 1,719,792 |
| 6.375% 5/4/28 (b) | | 26,845,000 | 26,771,220 |
| Heathrow Funding Ltd.: | | | |
| 2.625% 3/16/28 (Reg. S) | GBP | 1,260,000 | 1,362,838 |
| 7.125% 2/14/24 | GBP | 100,000 | 126,362 |
| Holding d'Infrastructures et des Metiers de l'Environnement 0.625% 9/16/28 (Reg. S) | EUR | 700,000 | 641,180 |
| | | | 79,630,491 |
TOTAL INDUSTRIALS | | | 415,189,785 |
| INFORMATION TECHNOLOGY - 0.4% | | | |
| Communications Equipment - 0.0% | | | |
| HTA Group Ltd. 7% 12/18/25 (b) | | 900,000 | 878,868 |
| Viavi Solutions, Inc. 3.75% 10/1/29 (b) | | 895,000 | 747,432 |
| | | | 1,626,300 |
| Electronic Equipment, Instruments & Components - 0.1% | | | |
| Coherent Corp. 5% 12/15/29 (b) | | 1,965,000 | 1,778,371 |
| Dell International LLC/EMC Corp.: | | | |
| 3.375% 12/15/41 | | 3,736,000 | 2,655,785 |
| 3.45% 12/15/51 | | 4,982,000 | 3,326,188 |
| 5.3% 10/1/29 | | 6,227,000 | 6,209,711 |
| 5.85% 7/15/25 | | 302,000 | 303,287 |
| 6.02% 6/15/26 | | 2,109,000 | 2,132,020 |
| Sensata Technologies, Inc. 3.75% 2/15/31 (b) | | 2,410,000 | 2,037,534 |
| TTM Technologies, Inc. 4% 3/1/29 (b) | | 515,000 | 457,850 |
| Vontier Corp.: | | | |
| 2.4% 4/1/28 | | 7,691,000 | 6,547,118 |
| 2.95% 4/1/31 | | 8,630,000 | 6,863,067 |
| | | | 32,310,931 |
| IT Services - 0.0% | | | |
| Acuris Finance U.S. 5% 5/1/28 (b) | | 780,000 | 622,385 |
| CDW LLC/CDW Finance Corp. 2.67% 12/1/26 | | 5,350,000 | 4,899,029 |
| Gartner, Inc.: | | | |
| 3.625% 6/15/29 (b) | | 655,000 | 585,263 |
| 3.75% 10/1/30 (b) | | 255,000 | 222,643 |
| 4.5% 7/1/28 (b) | | 395,000 | 369,963 |
| Go Daddy Operating Co. LLC / GD Finance Co., Inc. 3.5% 3/1/29 (b) | | 1,450,000 | 1,276,864 |
| Twilio, Inc. 3.875% 3/15/31 | | 400,000 | 345,086 |
| | | | 8,321,233 |
| Semiconductors & Semiconductor Equipment - 0.2% | | | |
| Broadcom, Inc.: | | | |
| 1.95% 2/15/28 (b) | | 5,128,000 | 4,499,894 |
| 2.45% 2/15/31 (b) | | 65,196,000 | 53,604,747 |
| 2.6% 2/15/33 (b) | | 23,971,000 | 18,874,005 |
| 3.137% 11/15/35 (b) | | 6,850,000 | 5,331,663 |
| 3.419% 4/15/33 (b) | | 8,000,000 | 6,723,016 |
| 3.5% 2/15/41 (b) | | 23,037,000 | 17,195,622 |
| 3.75% 2/15/51 (b) | | 10,977,000 | 7,995,990 |
| Entegris, Inc. 4.375% 4/15/28 (b) | | 1,255,000 | 1,171,078 |
| Marvell Technology, Inc.: | | | |
| 2.45% 4/15/28 | | 4,982,000 | 4,393,353 |
| 5.75% 2/15/29 | | 4,817,000 | 4,861,266 |
| 5.95% 9/15/33 | | 3,772,000 | 3,821,231 |
| Microchip Technology, Inc.: | | | |
| 0.972% 2/15/24 | | 4,359,000 | 4,315,442 |
| 0.983% 9/1/24 | | 2,604,000 | 2,512,388 |
| Micron Technology, Inc.: | | | |
| 2.703% 4/15/32 | | 2,039,000 | 1,632,488 |
| 3.366% 11/1/41 | | 2,223,000 | 1,555,995 |
| 3.477% 11/1/51 | | 2,229,000 | 1,493,519 |
| 4.185% 2/15/27 | | 13,091,000 | 12,593,441 |
| ON Semiconductor Corp. 3.875% 9/1/28 (b) | | 500,000 | 452,013 |
| Qorvo, Inc. 4.375% 10/15/29 | | 1,155,000 | 1,045,354 |
| | | | 154,072,505 |
| Software - 0.1% | | | |
| Central Parent, Inc./Central Merger Sub, Inc. 7.25% 6/15/29 (b) | | 825,000 | 824,291 |
| Cloud Software Group, Inc. 9% 9/30/29 (b) | | 520,000 | 467,980 |
| CNT PRNT/CDK GLO II/FIN 8% 6/15/29 (b) | | 505,000 | 518,024 |
| Crowdstrike Holdings, Inc. 3% 2/15/29 | | 495,000 | 434,613 |
| Elastic NV 4.125% 7/15/29 (b) | | 495,000 | 441,908 |
| Fair Isaac Corp.: | | | |
| 4% 6/15/28 (b) | | 1,130,000 | 1,039,561 |
| 5.25% 5/15/26 (b) | | 793,000 | 776,149 |
| Open Text Corp.: | | | |
| 3.875% 2/15/28 (b) | | 420,000 | 382,246 |
| 3.875% 12/1/29 (b) | | 3,115,000 | 2,724,481 |
| Oracle Corp.: | | | |
| 1.65% 3/25/26 | | 1,077,000 | 992,414 |
| 2.5% 4/1/25 | | 4,359,000 | 4,187,014 |
| 2.8% 4/1/27 | | 3,114,000 | 2,891,563 |
| 2.875% 3/25/31 | | 7,473,000 | 6,396,988 |
| 2.95% 4/1/30 | | 8,300,000 | 7,273,082 |
| 3.85% 4/1/60 | | 8,300,000 | 5,700,533 |
| 3.95% 3/25/51 | | 5,299,000 | 3,920,679 |
| 4.1% 3/25/61 | | 5,000,000 | 3,608,328 |
| 4.375% 5/15/55 | | 2,320,000 | 1,797,350 |
| 5.375% 7/15/40 | | 135,000 | 127,268 |
| Roper Technologies, Inc.: | | | |
| 1.4% 9/15/27 | | 1,724,000 | 1,508,662 |
| 1.75% 2/15/31 | | 3,736,000 | 2,948,213 |
| 2% 6/30/30 | | 4,476,000 | 3,674,987 |
| 2.95% 9/15/29 | | 2,830,000 | 2,516,284 |
| VMware, Inc.: | | | |
| 1% 8/15/24 | | 2,107,000 | 2,038,090 |
| 1.4% 8/15/26 | | 925,000 | 834,483 |
| | | | 58,025,191 |
| Technology Hardware, Storage & Peripherals - 0.0% | | | |
| Apple, Inc. 3.85% 8/4/46 | | 2,820,000 | 2,359,399 |
| Seagate HDD Cayman 8.25% 12/15/29 (b) | | 2,865,000 | 3,042,733 |
| | | | 5,402,132 |
TOTAL INFORMATION TECHNOLOGY | | | 259,758,292 |
| MATERIALS - 0.2% | | | |
| Chemicals - 0.2% | | | |
| Axalta Coating Systems/Dutch Holding BV 4.75% 6/15/27 (b) | | 935,000 | 886,466 |
| Celanese U.S. Holdings LLC: | | | |
| 6.165% 7/15/27 | | 11,832,000 | 11,936,265 |
| 6.33% 7/15/29 | | 3,736,000 | 3,804,965 |
| 6.35% 11/15/28 | | 15,274,000 | 15,603,811 |
| 6.55% 11/15/30 | | 18,481,000 | 18,951,191 |
| 6.7% 11/15/33 | | 9,043,000 | 9,370,028 |
| INEOS Finance PLC 6.75% 5/15/28 (b) | | 810,000 | 771,771 |
| International Flavors & Fragrances, Inc.: | | | |
| 1.23% 10/1/25 (b) | | 345,000 | 315,066 |
| 1.832% 10/15/27 (b) | | 6,986,000 | 5,997,222 |
| 2.3% 11/1/30 (b) | | 5,293,000 | 4,203,260 |
| 3.468% 12/1/50 (b) | | 3,000,000 | 1,889,973 |
| LSB Industries, Inc. 6.25% 10/15/28 (b) | | 910,000 | 848,186 |
| LYB International Finance III LLC: | | | |
| 1.25% 10/1/25 | | 1,661,000 | 1,535,091 |
| 2.25% 10/1/30 | | 3,241,000 | 2,637,431 |
| Methanex Corp.: | | | |
| 5.125% 10/15/27 | | 1,365,000 | 1,286,854 |
| 5.25% 12/15/29 | | 90,000 | 82,855 |
| 5.65% 12/1/44 | | 931,000 | 750,448 |
| NOVA Chemicals Corp.: | | | |
| 5% 5/1/25 (b) | | 1,030,000 | 998,435 |
| 5.25% 6/1/27 (b) | | 949,000 | 854,240 |
| 8.5% 11/15/28 (b) | | 1,400,000 | 1,446,200 |
| Nufarm Australia Ltd. 5% 1/27/30 (b) | | 1,125,000 | 996,649 |
| Nutrien Ltd. 4.9% 3/27/28 | | 5,490,000 | 5,422,246 |
| Olin Corp.: | | | |
| 5% 2/1/30 | | 1,715,000 | 1,574,754 |
| 5.125% 9/15/27 | | 975,000 | 928,249 |
| 5.625% 8/1/29 | | 2,465,000 | 2,353,086 |
| Olympus Water U.S. Holding Corp. 9.75% 11/15/28 (b) | | 455,000 | 467,992 |
| SPCM SA 3.125% 3/15/27 (b) | | 485,000 | 431,972 |
| The Chemours Co. LLC: | | | |
| 5.375% 5/15/27 | | 2,015,000 | 1,915,160 |
| 5.75% 11/15/28 (b) | | 275,000 | 248,924 |
| The Dow Chemical Co. 4.55% 11/30/25 | | 85,000 | 83,643 |
| Tronox, Inc. 4.625% 3/15/29 (b) | | 1,145,000 | 973,548 |
| W.R. Grace Holding LLC: | | | |
| 4.875% 6/15/27 (b) | | 980,000 | 933,259 |
| 7.375% 3/1/31 (b) | | 95,000 | 92,620 |
| | | | 100,591,860 |
| Construction Materials - 0.0% | | | |
| CRH America Finance, Inc. 3.95% 4/4/28 (b) | | 4,931,000 | 4,677,119 |
| Smyrna Ready Mix LLC 8.875% 11/15/31 (b) | | 780,000 | 793,338 |
| Summit Materials LLC/Summit Materials Finance Corp. 7.25% 1/15/31 (b)(j) | | 320,000 | 322,158 |
| VM Consolidated, Inc. 5.5% 4/15/29 (b) | | 675,000 | 611,692 |
| | | | 6,404,307 |
| Containers & Packaging - 0.0% | | | |
| Ardagh Metal Packaging Finance U.S.A. LLC/Ardagh Metal Packaging Finance PLC: | | | |
| 3.25% 9/1/28 (b) | | 1,630,000 | 1,401,931 |
| 6% 6/15/27 (b) | | 340,000 | 329,982 |
| Ardagh Packaging Finance PLC/Ardagh MP Holdings U.S.A., Inc. 4.125% 8/15/26 (b) | | 1,925,000 | 1,702,942 |
| Avery Dennison Corp. 4.875% 12/6/28 | | 3,613,000 | 3,564,289 |
| Ball Corp.: | | | |
| 2.875% 8/15/30 | | 2,065,000 | 1,710,697 |
| 3.125% 9/15/31 | | 955,000 | 788,646 |
| 6% 6/15/29 | | 395,000 | 394,134 |
| BWAY Holding Co. 7.875% 8/15/26 (b) | | 785,000 | 779,805 |
| Graphic Packaging International, Inc. 3.75% 2/1/30 (b) | | 1,165,000 | 1,015,309 |
| OI European Group BV 4.75% 2/15/30 (b) | | 280,000 | 252,000 |
| Owens-Brockway Glass Container, Inc. 7.25% 5/15/31 (b) | | 985,000 | 977,622 |
| Sealed Air Corp.: | | | |
| 5% 4/15/29 (b) | | 1,540,000 | 1,435,647 |
| 6.875% 7/15/33 (b) | | 1,105,000 | 1,107,114 |
| Sealed Air Corp./Sealed Air Corp. U.S.: | | | |
| 6.125% 2/1/28 (b) | | 270,000 | 267,085 |
| 7.25% 2/15/31 (b) | | 515,000 | 527,206 |
| Trivium Packaging Finance BV 5.5% 8/15/26 (b) | | 410,000 | 394,206 |
| | | | 16,648,615 |
| Metals & Mining - 0.0% | | | |
| Anglo American Capital PLC 3.875% 3/16/29 (b) | | 6,227,000 | 5,683,819 |
| Arsenal AIC Parent LLC 8% 10/1/30 (b) | | 155,000 | 158,148 |
| Cleveland-Cliffs, Inc.: | | | |
| 4.875% 3/1/31 (b) | | 1,480,000 | 1,272,183 |
| 6.75% 4/15/30 (b) | | 510,000 | 496,143 |
| Commercial Metals Co. 3.875% 2/15/31 | | 915,000 | 776,428 |
| ERO Copper Corp. 6.5% 2/15/30 (b) | | 1,445,000 | 1,235,692 |
| FMG Resources Pty Ltd. 4.5% 9/15/27 (b) | | 2,215,000 | 2,090,583 |
| Glencore Funding LLC 6.125% 10/6/28 (b) | | 2,000,000 | 2,043,952 |
| HudBay Minerals, Inc. 4.5% 4/1/26 (b) | | 135,000 | 128,248 |
| Kaiser Aluminum Corp. 4.625% 3/1/28 (b) | | 1,655,000 | 1,465,960 |
| Mineral Resources Ltd. 8% 11/1/27 (b) | | 2,075,000 | 2,078,994 |
| Novelis Corp. 3.875% 8/15/31 (b) | | 470,000 | 395,604 |
| PMHC II, Inc. 9% 2/15/30 (b) | | 675,000 | 519,980 |
| Roller Bearing Co. of America, Inc. 4.375% 10/15/29 (b) | | 75,000 | 67,354 |
| | | | 18,413,088 |
TOTAL MATERIALS | | | 142,057,870 |
| REAL ESTATE - 0.9% | | | |
| Equity Real Estate Investment Trusts (REITs) - 0.8% | | | |
| Agree LP 4.8% 10/1/32 | | 6,806,000 | 6,189,733 |
| Alexandria Real Estate Equities, Inc.: | | | |
| 1.875% 2/1/33 | | 10,119,000 | 7,423,004 |
| 2% 5/18/32 | | 8,258,000 | 6,235,515 |
| 4.7% 7/1/30 | | 860,000 | 804,918 |
| 4.9% 12/15/30 | | 7,224,000 | 6,917,376 |
| American Homes 4 Rent LP: | | | |
| 2.375% 7/15/31 | | 1,694,000 | 1,328,388 |
| 3.375% 7/15/51 | | 2,619,000 | 1,620,366 |
| 3.625% 4/15/32 | | 9,743,000 | 8,350,115 |
| 4.3% 4/15/52 | | 6,297,000 | 4,690,687 |
| American Tower Corp.: | | | |
| 2.1% 6/15/30 | | 3,550,000 | 2,865,685 |
| 2.4% 3/15/25 | | 5,032,000 | 4,825,083 |
| Boston Properties, Inc.: | | | |
| 2.9% 3/15/30 | | 6,500,000 | 5,209,583 |
| 3.2% 1/15/25 | | 1,035,000 | 998,770 |
| 4.5% 12/1/28 | | 4,766,000 | 4,379,946 |
| Camden Property Trust 3.15% 7/1/29 | | 3,914,000 | 3,512,010 |
| Corporate Office Properties LP: | | | |
| 2% 1/15/29 | | 7,631,000 | 6,038,333 |
| 2.25% 3/15/26 | | 3,486,000 | 3,197,850 |
| 2.75% 4/15/31 | | 5,927,000 | 4,532,338 |
| 2.9% 12/1/33 | | 8,223,000 | 5,944,990 |
| Crown Castle International Corp. 3.3% 7/1/30 | | 8,718,000 | 7,568,070 |
| Federal Realty OP LP 3.95% 1/15/24 | | 2,414,000 | 2,407,400 |
| Healthcare Trust of America Holdings LP: | | | |
| 3.1% 2/15/30 | | 1,868,000 | 1,585,275 |
| 3.5% 8/1/26 | | 1,945,000 | 1,829,178 |
| Hudson Pacific Properties LP: | | | |
| 3.95% 11/1/27 | | 2,573,000 | 1,996,491 |
| 4.65% 4/1/29 | | 12,862,000 | 9,538,191 |
| 5.95% 2/15/28 | | 17,949,000 | 14,816,872 |
| Invitation Homes Operating Partnership LP: | | | |
| 2% 8/15/31 | | 2,893,000 | 2,186,769 |
| 4.15% 4/15/32 | | 13,560,000 | 11,859,973 |
| Iron Mountain, Inc. 4.875% 9/15/29 (b) | | 5,715,000 | 5,204,262 |
| Kimco Realty OP, LLC: | | | |
| 2.25% 12/1/31 | | 15,265,000 | 11,836,446 |
| 6.4% 3/1/34 | | 20,000,000 | 20,786,505 |
| Kite Realty Group Trust: | | | |
| 4% 3/15/25 | | 11,758,000 | 11,328,715 |
| 4.75% 9/15/30 | | 20,325,000 | 18,504,410 |
| LXP Industrial Trust (REIT): | | | |
| 2.7% 9/15/30 | | 1,445,000 | 1,152,456 |
| 4.4% 6/15/24 | | 1,498,000 | 1,478,391 |
| MPT Operating Partnership LP/MPT Finance Corp.: | | | |
| 3.5% 3/15/31 | | 13,722,000 | 8,455,183 |
| 5% 10/15/27 | | 665,000 | 529,741 |
| 5.25% 8/1/26 | | 4,655,000 | 4,050,510 |
| NNN (REIT), Inc. 5.6% 10/15/33 | | 12,000,000 | 11,733,246 |
| Omega Healthcare Investors, Inc.: | | | |
| 3.25% 4/15/33 | | 14,205,000 | 10,860,677 |
| 3.375% 2/1/31 | | 13,114,000 | 10,638,549 |
| 3.625% 10/1/29 | | 8,376,000 | 7,138,617 |
| 4.5% 1/15/25 | | 2,396,000 | 2,341,512 |
| 4.5% 4/1/27 | | 5,129,000 | 4,809,282 |
| 4.75% 1/15/28 | | 14,408,000 | 13,448,852 |
| 4.95% 4/1/24 | | 381,000 | 379,374 |
| 5.25% 1/15/26 | | 6,569,000 | 6,393,404 |
| Piedmont Operating Partnership LP 2.75% 4/1/32 | | 3,748,000 | 2,483,762 |
| Realty Income Corp.: | | | |
| 2.2% 6/15/28 | | 1,380,000 | 1,201,347 |
| 2.85% 12/15/32 | | 1,998,000 | 1,617,710 |
| 3.25% 1/15/31 | | 1,828,000 | 1,587,127 |
| 3.4% 1/15/28 | | 2,874,000 | 2,665,721 |
| Retail Opportunity Investments Partnership LP: | | | |
| 4% 12/15/24 | | 641,000 | 623,569 |
| 5% 12/15/23 | | 494,000 | 493,748 |
| SBA Communications Corp.: | | | |
| 3.125% 2/1/29 | | 2,395,000 | 2,085,652 |
| 3.875% 2/15/27 | | 515,000 | 484,792 |
| Service Properties Trust: | | | |
| 3.95% 1/15/28 | | 40,000 | 31,951 |
| 5.5% 12/15/27 | | 430,000 | 382,854 |
| Simon Property Group LP 2.45% 9/13/29 | | 7,705,000 | 6,589,150 |
| SITE Centers Corp.: | | | |
| 3.625% 2/1/25 | | 2,000,000 | 1,931,605 |
| 4.25% 2/1/26 | | 3,528,000 | 3,400,894 |
| Spirit Realty LP 2.1% 3/15/28 | | 4,695,000 | 4,077,151 |
| Store Capital Corp.: | | | |
| 2.7% 12/1/31 | | 8,095,000 | 5,799,864 |
| 2.75% 11/18/30 | | 4,066,000 | 2,982,829 |
| 4.625% 3/15/29 | | 2,374,000 | 2,066,667 |
| Sun Communities Operating LP: | | | |
| 2.3% 11/1/28 | | 4,282,000 | 3,640,804 |
| 2.7% 7/15/31 | | 9,688,000 | 7,673,341 |
| 4.2% 4/15/32 | | 9,341,000 | 8,168,115 |
| 5.7% 1/15/33 | | 7,726,000 | 7,519,734 |
| UDR, Inc. 2.1% 8/1/32 | | 4,480,000 | 3,336,927 |
| Ventas Realty LP: | | | |
| 2.5% 9/1/31 | | 25,590,000 | 20,181,955 |
| 2.65% 1/15/25 | | 1,375,000 | 1,322,964 |
| 3% 1/15/30 | | 16,847,000 | 14,308,711 |
| 3.5% 4/15/24 | | 820,000 | 812,073 |
| 4% 3/1/28 | | 2,553,000 | 2,381,628 |
| 4.125% 1/15/26 | | 999,000 | 965,146 |
| 4.4% 1/15/29 | | 6,227,000 | 5,845,268 |
| 4.75% 11/15/30 | | 16,500,000 | 15,417,557 |
| VICI Properties LP: | | | |
| 4.375% 5/15/25 | | 2,145,000 | 2,088,965 |
| 4.75% 2/15/28 | | 14,680,000 | 13,914,511 |
| 4.95% 2/15/30 | | 21,594,000 | 20,079,747 |
| 5.125% 5/15/32 | | 18,487,000 | 17,021,319 |
| VICI Properties LP / VICI Note Co.: | | | |
| 4.25% 12/1/26 (b) | | 3,840,000 | 3,617,784 |
| 4.5% 9/1/26 (b) | | 1,508,000 | 1,432,450 |
| 4.625% 6/15/25 (b) | | 150,000 | 145,857 |
| Vornado Realty LP: | | | |
| 2.15% 6/1/26 | | 4,402,000 | 3,811,680 |
| 3.4% 6/1/31 | | 14,755,000 | 10,549,533 |
| Welltower OP LLC 3.625% 3/15/24 | | 880,000 | 873,736 |
| WP Carey, Inc.: | | | |
| 2.4% 2/1/31 | | 3,511,000 | 2,836,081 |
| 3.85% 7/15/29 | | 1,991,000 | 1,800,242 |
| 4% 2/1/25 | | 7,293,000 | 7,135,698 |
| 4.6% 4/1/24 | | 1,784,000 | 1,771,445 |
| | | | 509,082,705 |
| Real Estate Management & Development - 0.1% | | | |
| ACCENTRO Real Estate AG 5.625% 2/13/26 (Reg. S) | EUR | 1,314,000 | 557,813 |
| AGPS BondCo PLC: | | | |
| 4.625% 1/14/26 (Reg. S) (e) | EUR | 500,000 | 204,366 |
| 5% 4/27/27 (Reg. S) (e) | EUR | 5,500,000 | 2,005,382 |
| Blackstone Property Partners Europe LP: | | | |
| 1% 5/4/28 (Reg. S) | EUR | 4,220,000 | 3,703,770 |
| 2.625% 10/20/28 (Reg. S) | GBP | 650,000 | 669,185 |
| Brandywine Operating Partnership LP: | | | |
| 3.95% 11/15/27 | | 4,382,000 | 3,794,302 |
| 4.1% 10/1/24 | | 5,769,000 | 5,593,321 |
| 4.55% 10/1/29 | | 3,023,000 | 2,495,092 |
| 7.8% 3/15/28 | | 19,371,000 | 18,553,924 |
| CBRE Group, Inc.: | | | |
| 2.5% 4/1/31 | | 10,225,000 | 8,176,735 |
| 4.875% 3/1/26 | | 7,844,000 | 7,683,010 |
| Greystar Real Estate Partners 7.75% 9/1/30 (b) | | 115,000 | 116,991 |
| GTC Aurora Luxembourg SA 2.25% 6/23/26 (Reg. S) | EUR | 1,390,000 | 1,019,772 |
| Heimstaden AB 4.375% 3/6/27 (Reg. S) | EUR | 1,400,000 | 617,740 |
| Howard Hughes Corp. 4.375% 2/1/31 (b) | | 2,175,000 | 1,805,250 |
| Kennedy-Wilson, Inc. 4.75% 2/1/30 | | 890,000 | 680,316 |
| Samhallsbyggnadsbolaget I Norden AB: | | | |
| 1.75% 1/14/25 (Reg. S) | EUR | 652,000 | 596,150 |
| 2.25% 8/12/27 (Reg. S) | EUR | 650,000 | 441,119 |
| Sirius Real Estate Ltd. 1.125% 6/22/26 (Reg. S) | EUR | 700,000 | 672,425 |
| Tanger Properties LP: | | | |
| 2.75% 9/1/31 | | 16,949,000 | 12,968,260 |
| 3.125% 9/1/26 | | 2,628,000 | 2,418,534 |
| 3.875% 7/15/27 | | 11,191,000 | 10,077,052 |
| Taylor Morrison Communities, Inc./Monarch Communities, Inc. 5.75% 1/15/28 (b) | | 875,000 | 851,480 |
| Tritax EuroBox PLC 0.95% 6/2/26 (Reg. S) | EUR | 1,300,000 | 1,259,564 |
| | | | 86,961,553 |
TOTAL REAL ESTATE | | | 596,044,258 |
| UTILITIES - 0.9% | | | |
| Electric Utilities - 0.5% | | | |
| Alabama Power Co. 3.05% 3/15/32 | | 18,116,000 | 15,405,499 |
| American Transmission Systems, Inc. 2.65% 1/15/32 (b) | | 5,846,000 | 4,739,875 |
| AusNet Services Holdings Pty Ltd. 1.625% 3/11/81 (Reg. S) (e) | EUR | 1,360,000 | 1,301,192 |
| Clearway Energy Operating LLC: | | | |
| 3.75% 2/15/31 (b) | | 1,625,000 | 1,359,599 |
| 4.75% 3/15/28 (b) | | 140,000 | 131,013 |
| Cleco Corporate Holdings LLC: | | | |
| 3.375% 9/15/29 | | 11,796,000 | 10,052,077 |
| 3.743% 5/1/26 | | 19,755,000 | 18,834,874 |
| Cleveland Electric Illuminating Co.: | | | |
| 3.5% 4/1/28 (b) | | 5,498,000 | 5,059,745 |
| 5.95% 12/15/36 | | 2,055,000 | 2,018,976 |
| DPL, Inc. 4.35% 4/15/29 | | 7,785,000 | 7,054,572 |
| Duke Energy Carolinas LLC 4.95% 1/15/33 | | 8,000,000 | 7,839,130 |
| Duke Energy Corp.: | | | |
| 2.45% 6/1/30 | | 790,000 | 662,982 |
| 2.55% 6/15/31 | | 4,359,000 | 3,559,206 |
| 3.85% 6/15/34 | EUR | 1,450,000 | 1,478,370 |
| 4.3% 3/15/28 | | 2,316,000 | 2,231,422 |
| 4.5% 8/15/32 | | 12,535,000 | 11,691,813 |
| 5% 8/15/52 | | 17,535,000 | 15,262,554 |
| 6.1% 9/15/53 | | 8,700,000 | 8,836,783 |
| Duke Energy Industries, Inc. 4.9% 7/15/43 | | 1,678,000 | 1,489,021 |
| Duquesne Light Holdings, Inc.: | | | |
| 2.532% 10/1/30 (b) | | 3,055,000 | 2,464,584 |
| 2.775% 1/7/32 (b) | | 11,501,000 | 8,759,359 |
| 3.616% 8/1/27 (b) | | 2,736,000 | 2,496,387 |
| Edison International 3.55% 11/15/24 | | 2,647,000 | 2,584,601 |
| Electricite de France SA 5.5% 1/25/35 (Reg. S) | GBP | 1,500,000 | 1,795,405 |
| Enel SpA 3.375% (Reg. S) (e)(k) | EUR | 671,000 | 684,771 |
| Exelon Corp.: | | | |
| 2.75% 3/15/27 | | 269,000 | 249,807 |
| 3.35% 3/15/32 | | 20,066,000 | 17,178,689 |
| 4.05% 4/15/30 | | 4,724,000 | 4,382,392 |
| 4.1% 3/15/52 | | 3,609,000 | 2,756,162 |
| 5.3% 3/15/33 | | 9,000,000 | 8,874,592 |
| FirstEnergy Corp.: | | | |
| 1.6% 1/15/26 | | 199,000 | 183,345 |
| 2.05% 3/1/25 | | 2,486,000 | 2,379,193 |
| 2.25% 9/1/30 | | 7,286,000 | 5,927,056 |
| 2.65% 3/1/30 | | 11,794,000 | 9,976,425 |
| Georgia Power Co. 4.65% 5/16/28 | | 5,500,000 | 5,400,772 |
| Iberdrola Finanzas SAU 7.375% 1/29/24 | GBP | 450,000 | 569,188 |
| IPALCO Enterprises, Inc.: | | | |
| 3.7% 9/1/24 | | 691,000 | 676,374 |
| 4.25% 5/1/30 | | 8,967,000 | 8,014,762 |
| Metropolitan Edison Co. 5.2% 4/1/28 (b) | | 6,490,000 | 6,407,555 |
| Monongahela Power Co. 5.85% 2/15/34 (b) | | 6,875,000 | 6,901,037 |
| NextEra Energy Partners LP 4.25% 9/15/24 (b) | | 56,000 | 53,340 |
| NGG Finance PLC 2.125% 9/5/82 (Reg. S) (e) | EUR | 1,960,000 | 1,884,485 |
| NRG Energy, Inc.: | | | |
| 3.625% 2/15/31 (b) | | 1,785,000 | 1,459,519 |
| 5.25% 6/15/29 (b) | | 484,000 | 450,905 |
| 5.75% 1/15/28 | | 1,281,000 | 1,249,679 |
| 6.625% 1/15/27 | | 57,000 | 56,568 |
| NSG Holdings II LLC/NSG Holdings, Inc. 7.75% 12/15/25 (b) | | 339,020 | 338,546 |
| Pacific Gas & Electric Co. 3.25% 2/16/24 | | 4,138,000 | 4,112,662 |
| PG&E Corp.: | | | |
| 5% 7/1/28 | | 8,080,000 | 7,686,168 |
| 5.25% 7/1/30 | | 1,155,000 | 1,084,967 |
| Southern Co.: | | | |
| 1.875% 9/15/81 (e) | EUR | 2,400,000 | 2,135,656 |
| 3.7% 4/30/30 | | 9,229,000 | 8,437,508 |
| 4.4% 7/1/46 | | 8,095,000 | 6,646,172 |
| 5.113% 8/1/27 (f) | | 13,244,000 | 13,103,120 |
| 5.5% 3/15/29 | | 7,200,000 | 7,309,843 |
| 5.7% 3/15/34 | | 11,450,000 | 11,666,427 |
| Tampa Electric Co. 6.55% 5/15/36 | | 280,000 | 289,897 |
| Virginia Electric & Power Co.: | | | |
| 2.3% 11/15/31 | | 2,300,000 | 1,848,213 |
| 2.4% 3/30/32 | | 1,724,000 | 1,380,984 |
| 3.75% 5/15/27 | | 2,000,000 | 1,916,868 |
| Vistra Operations Co. LLC: | | | |
| 5% 7/31/27 (b) | | 3,190,000 | 3,035,892 |
| 5.5% 9/1/26 (b) | | 6,098,000 | 5,985,644 |
| 5.625% 2/15/27 (b) | | 665,000 | 646,853 |
| Xcel Energy, Inc.: | | | |
| 3.5% 12/1/49 | | 4,570,000 | 3,122,137 |
| 4.8% 9/15/41 | | 311,000 | 257,148 |
| | | | 303,830,360 |
| Gas Utilities - 0.0% | | | |
| Boston Gas Co. 4.487% 2/15/42 (b) | | 1,118,000 | 893,517 |
| Nakilat, Inc. 6.067% 12/31/33 (b) | | 1,046,443 | 1,053,964 |
| ONE Gas, Inc. 2% 5/15/30 | | 3,243,000 | 2,647,387 |
| Southern Co. Gas Capital Corp. 3.15% 9/30/51 | | 3,046,000 | 1,895,202 |
| Superior Plus LP / Superior General Partner, Inc. 4.5% 3/15/29 (b) | | 185,000 | 162,910 |
| | | | 6,652,980 |
| Independent Power and Renewable Electricity Producers - 0.2% | | | |
| Atlantica Sustainable Infrastructure PLC 4.125% 6/15/28 (b) | | 6,227,000 | 5,585,539 |
| Emera U.S. Finance LP: | | | |
| 2.639% 6/15/31 | | 7,893,000 | 6,227,917 |
| 3.55% 6/15/26 | | 9,123,000 | 8,732,607 |
| 4.75% 6/15/46 | | 5,449,000 | 4,189,529 |
| Sunnova Energy Corp. 11.75% 10/1/28 (b) | | 455,000 | 390,255 |
| TerraForm Power Operating LLC: | | | |
| 4.75% 1/15/30 (b) | | 75,000 | 67,500 |
| 5% 1/31/28 (b) | | 1,056,000 | 1,000,560 |
| The AES Corp.: | | | |
| 1.375% 1/15/26 | | 6,788,000 | 6,180,419 |
| 2.45% 1/15/31 | | 77,041,000 | 62,170,047 |
| 3.3% 7/15/25 (b) | | 20,507,000 | 19,577,347 |
| 3.95% 7/15/30 (b) | | 21,858,000 | 19,436,134 |
| TransAlta Corp. 6.5% 3/15/40 | | 655,000 | 617,338 |
| | | | 134,175,192 |
| Multi-Utilities - 0.2% | | | |
| Berkshire Hathaway Energy Co.: | | | |
| 2.85% 5/15/51 | | 4,048,000 | 2,510,218 |
| 3.25% 4/15/28 | | 2,069,000 | 1,908,945 |
| 3.7% 7/15/30 | | 161,000 | 145,983 |
| 4.05% 4/15/25 | | 1,897,000 | 1,863,212 |
| Consolidated Edison Co. of New York, Inc.: | | | |
| 5.2% 3/1/33 | | 8,097,000 | 8,034,272 |
| 5.5% 3/15/34 | | 5,000,000 | 5,040,077 |
| 5.9% 11/15/53 | | 5,000,000 | 5,078,364 |
| Dominion Energy, Inc. 3.071% 8/15/24 (e) | | 5,508,000 | 5,394,793 |
| Engie SA 4.25% 9/6/34 (Reg. S) | EUR | 600,000 | 662,178 |
| NiSource, Inc.: | | | |
| 0.95% 8/15/25 | | 2,487,000 | 2,297,811 |
| 1.7% 2/15/31 | | 3,114,000 | 2,417,570 |
| 2.95% 9/1/29 | | 15,395,000 | 13,617,769 |
| 3.49% 5/15/27 | | 2,236,000 | 2,112,899 |
| 3.6% 5/1/30 | | 21,588,000 | 19,350,705 |
| 4.375% 5/15/47 | | 3,114,000 | 2,484,887 |
| 4.8% 2/15/44 | | 4,982,000 | 4,259,741 |
| 5% 6/15/52 | | 2,180,000 | 1,889,602 |
| 5.25% 3/30/28 | | 4,400,000 | 4,394,025 |
| 5.25% 2/15/43 | | 132,000 | 119,143 |
| 5.4% 6/30/33 | | 5,000,000 | 4,950,965 |
| 5.95% 6/15/41 | | 2,375,000 | 2,325,775 |
| Puget Energy, Inc.: | | | |
| 2.379% 6/15/28 | | 6,588,000 | 5,721,351 |
| 3.65% 5/15/25 | | 2,677,000 | 2,586,750 |
| 4.1% 6/15/30 | | 7,982,000 | 7,123,601 |
| 4.224% 3/15/32 | | 27,701,000 | 24,258,039 |
| Sempra 6% 10/15/39 | | 2,744,000 | 2,733,749 |
| WEC Energy Group, Inc.: | | | |
| CME Term SOFR 3 Month Index + 2.110% 7.7538% 5/15/67 (e)(i) | | 3,075,000 | 2,679,539 |
| 2.2% 12/15/28 | | 3,114,000 | 2,691,699 |
| | | | 138,653,662 |
| Water Utilities - 0.0% | | | |
| Severn Trent Utilities Finance PLC: | | | |
| 4.625% 11/30/34 (Reg. S) | GBP | 380,000 | 441,541 |
| 6.125% 2/26/24 | GBP | 245,000 | 309,293 |
| Thames Water Utility Finance PLC 1.875% 1/24/24 (Reg. S) | GBP | 480,000 | 600,753 |
| | | | 1,351,587 |
TOTAL UTILITIES | | | 584,663,781 |
| TOTAL NONCONVERTIBLE BONDS (Cost $9,901,679,392) | | | 9,366,748,776 |
| | | | |
| U.S. Treasury Obligations - 12.5% |
| | | Principal Amount (a) | Value ($) |
| U.S. Treasury Bonds: | | | |
| 1.75% 8/15/41 | | 13,264,000 | 8,536,109 |
| 1.875% 2/15/41 | | 12,454,500 | 8,290,513 |
| 2% 11/15/41 | | 19,304,500 | 12,933,261 |
| 2.25% 8/15/46 | | 830,000 | 544,201 |
| 2.25% 2/15/52 | | 85,500,000 | 54,472,852 |
| 2.375% 5/15/51 | | 634,826,000 | 417,050,921 |
| 2.875% 5/15/52 | | 409,400,000 | 300,669,116 |
| 3.625% 2/15/53 | | 254,982,700 | 217,561,997 |
| 3.625% 5/15/53 (l) | | 155,060,000 | 132,358,247 |
| 4.125% 8/15/53 | | 485,430,000 | 453,952,898 |
| 4.375% 8/15/43 | | 162,250,000 | 155,075,508 |
| 4.75% 11/15/53 | | 137,500,000 | 142,935,547 |
| 6.25% 5/15/30 (m) | | 8,440,000 | 9,314,002 |
| U.S. Treasury Notes: | | | |
| 1% 7/31/28 | | 7,000,000 | 6,018,633 |
| 1.25% 4/30/28 | | 250,000,000 | 219,072,265 |
| 1.25% 5/31/28 | | 74,500,000 | 65,129,297 |
| 1.25% 6/30/28 | | 75,000,000 | 65,416,992 |
| 1.875% 2/28/29 | | 150,000,000 | 132,744,141 |
| 2.375% 3/31/29 | | 14,854,100 | 13,465,590 |
| 2.625% 7/31/29 (l) | | 43,213,500 | 39,464,391 |
| 2.75% 8/15/32 | | 125,847,100 | 111,133,805 |
| 3.125% 11/15/28 | | 51,642,000 | 48,842,035 |
| 3.125% 8/31/29 | | 37,590,000 | 35,225,942 |
| 3.375% 5/15/33 | | 255,116,000 | 235,743,129 |
| 3.5% 1/31/28 | | 32,815,100 | 31,744,764 |
| 3.5% 4/30/28 | | 10,600,000 | 10,246,810 |
| 3.5% 1/31/30 | | 477,918,900 | 455,479,117 |
| 3.5% 4/30/30 | | 143,600,000 | 136,633,157 |
| 3.5% 2/15/33 | | 425,960,300 | 398,073,212 |
| 3.625% 3/31/28 | | 45,000,000 | 43,723,828 |
| 3.625% 3/31/30 | | 122,852,000 | 117,755,561 |
| 3.75% 4/15/26 | | 49,372,500 | 48,456,409 |
| 3.75% 5/31/30 | | 278,624,800 | 268,829,397 |
| 3.75% 6/30/30 | | 28,200,000 | 27,197,578 |
| 3.875% 11/30/27 | | 185,800,000 | 182,417,860 |
| 3.875% 12/31/27 | | 248,781,800 | 244,270,640 |
| 3.875% 12/31/29 | | 237,407,700 | 231,073,736 |
| 3.875% 8/15/33 | | 146,437,500 | 140,831,689 |
| 4% 12/15/25 | | 26,663,000 | 26,307,841 |
| 4% 2/15/26 | | 42,696,200 | 42,130,809 |
| 4% 6/30/28 | | 92,912,700 | 91,653,297 |
| 4% 10/31/29 | | 44,410,300 | 43,549,850 |
| 4% 2/28/30 | | 461,900,000 | 452,355,271 |
| 4% 7/31/30 | | 20,329,200 | 19,891,646 |
| 4.125% 7/31/28 | | 373,500,000 | 370,392,364 |
| 4.125% 8/31/30 | | 166,977,500 | 164,544,586 |
| 4.125% 11/15/32 | | 489,000,900 | 480,042,252 |
| 4.375% 8/31/28 | | 104,000,000 | 104,268,124 |
| 4.375% 11/30/30 | | 45,555,200 | 45,583,672 |
| 4.5% 7/15/26 | | 106,682,300 | 106,607,290 |
| 4.5% 11/15/33 | | 430,846,700 | 436,164,964 |
| 4.625% 3/15/26 | | 13,946,500 | 13,951,403 |
| 4.625% 9/15/26 | | 108,800,000 | 109,174,000 |
| 4.625% 10/15/26 | | 131,429,900 | 131,912,495 |
| 4.625% 9/30/28 | | 119,000,000 | 120,561,875 |
| 4.625% 9/30/30 | | 156,000,000 | 158,340,000 |
| 4.875% 10/31/28 | | 7,270,300 | 7,448,650 |
| 4.875% 10/31/30 | | 214,843,900 | 221,289,217 |
| TOTAL U.S. TREASURY OBLIGATIONS (Cost $8,922,529,209) | | | 8,368,854,756 |
| | | | |
| U.S. Government Agency - Mortgage Securities - 28.9% |
| | | Principal Amount (a) | Value ($) |
| Fannie Mae - 6.4% | | | |
| Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.440% 3.945% 4/1/37 (e)(i) | | 6,420 | 6,484 |
| Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.460% 5.183% 1/1/35 (e)(i) | | 2,055 | 2,079 |
| Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.480% 5.73% 7/1/34 (e)(i) | | 696 | 702 |
| Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.500% 4.755% 1/1/35 (e)(i) | | 7,851 | 7,883 |
| Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.530% 3.94% 3/1/36 (e)(i) | | 1,492 | 1,510 |
| Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.530% 4.785% 12/1/34 (e)(i) | | 1,492 | 1,496 |
| Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.530% 4.844% 3/1/35 (e)(i) | | 1,369 | 1,375 |
| Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.550% 5.803% 6/1/36 (e)(i) | | 6,252 | 6,336 |
| Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.550% 7.301% 10/1/33 (e)(i) | | 936 | 942 |
| Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.560% 4.065% 3/1/37 (e)(i) | | 5,678 | 5,752 |
| Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.560% 7.103% 7/1/35 (e)(i) | | 954 | 962 |
| Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.620% 4.992% 3/1/33 (e)(i) | | 5,084 | 5,123 |
| Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.630% 5.815% 9/1/36 (e)(i) | | 2,790 | 2,821 |
| Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.640% 3.895% 6/1/47 (e)(i) | | 7,956 | 8,084 |
| Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.640% 4.999% 11/1/36 (e)(i) | | 2,518 | 2,546 |
| Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.640% 5.864% 5/1/35 (e)(i) | | 9,355 | 9,454 |
| Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.680% 4.872% 7/1/43 (e)(i) | | 82,705 | 84,080 |
| Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.700% 5.143% 6/1/42 (e)(i) | | 9,209 | 9,378 |
| Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.710% 5.857% 8/1/35 (e)(i) | | 3,147 | 3,186 |
| Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.730% 4.375% 3/1/40 (e)(i) | | 11,724 | 11,964 |
| Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.740% 5.47% 5/1/36 (e)(i) | | 7,853 | 7,979 |
| Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.750% 4.617% 7/1/35 (e)(i) | | 3,163 | 3,202 |
| Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.750% 6% 8/1/41 (e)(i) | | 17,303 | 17,557 |
| Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.800% 4.055% 1/1/42 (e)(i) | | 25,846 | 26,370 |
| Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.800% 5.724% 12/1/40 (e)(i) | | 341,215 | 346,027 |
| Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.800% 6.05% 7/1/41 (e)(i) | | 3,982 | 4,049 |
| Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.810% 4.06% 12/1/39 (e)(i) | | 3,279 | 3,350 |
| Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.810% 4.304% 2/1/42 (e)(i) | | 15,316 | 15,616 |
| Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.810% 6.051% 7/1/41 (e)(i) | | 6,909 | 7,034 |
| Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.810% 6.068% 9/1/41 (e)(i) | | 3,542 | 3,598 |
| Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.820% 4.296% 2/1/35 (e)(i) | | 13,855 | 14,065 |
| Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.830% 6.08% 10/1/41 (e)(i) | | 2,927 | 2,917 |
| Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.950% 5.771% 7/1/37 (e)(i) | | 16,115 | 16,473 |
| Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.960% 5.418% 9/1/35 (e)(i) | | 1,390 | 1,406 |
| U.S. TREASURY 1 YEAR INDEX + 2.200% 4.583% 3/1/35 (e)(i) | | 3,357 | 3,383 |
| U.S. TREASURY 1 YEAR INDEX + 2.270% 6.395% 6/1/36 (e)(i) | | 9,554 | 9,630 |
| U.S. TREASURY 1 YEAR INDEX + 2.280% 6.404% 10/1/33 (e)(i) | | 5,766 | 5,808 |
| U.S. TREASURY 1 YEAR INDEX + 2.460% 5.864% 7/1/34 (e)(i) | | 9,598 | 9,705 |
| 1% 12/1/36 | | 85,981,284 | 69,149,786 |
| 1.5% 9/1/35 to 8/1/51 | | 232,076,529 | 185,399,103 |
| 2% 2/1/28 to 3/1/52 | | 1,060,689,573 | 880,453,922 |
| 2.5% 1/1/28 to 5/1/53 | | 1,257,425,058 | 1,066,952,857 |
| 3% 12/1/28 to 8/1/52 (l)(n) | | 619,913,594 | 539,789,820 |
| 3.25% 12/1/41 | | 5,525 | 5,010 |
| 3.4% 7/1/42 to 9/1/42 | | 106,537 | 96,047 |
| 3.5% 9/1/33 to 5/1/52 (l)(n) | | 519,438,493 | 464,023,084 |
| 3.65% 5/1/42 to 8/1/42 | | 33,456 | 30,572 |
| 3.9% 4/1/42 | | 9,147 | 8,496 |
| 4% 3/1/36 to 6/1/52 | | 310,163,641 | 287,068,299 |
| 4.25% 11/1/41 | | 17,734 | 16,887 |
| 4.5% to 4.5% 6/1/24 to 12/1/52 (l) | | 199,252,968 | 188,799,908 |
| 5% 10/1/29 to 12/1/52 | | 173,710,681 | 169,101,817 |
| 5.283% 8/1/41 (e) | | 216,957 | 214,515 |
| 5.5% 11/1/34 to 8/1/53 (n) | | 182,951,566 | 181,313,275 |
| 6% to 6% 9/1/29 to 6/1/53 | | 97,735,431 | 98,619,811 |
| 6.5% 1/1/26 to 9/1/53 | | 178,847,097 | 182,244,819 |
| 6.697% 2/1/39 (e) | | 104,818 | 106,220 |
| 7% to 7% 2/1/24 to 7/1/37 | | 80,012 | 82,641 |
| 7.5% to 7.5% 11/1/24 to 9/1/32 | | 49,850 | 51,343 |
| 8% 3/1/37 | | 2,848 | 3,075 |
| 9% 10/1/30 | | 3,078 | 3,272 |
TOTAL FANNIE MAE | | | 4,314,204,905 |
| Freddie Mac - 3.5% | | | |
| Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.120% 4.424% 8/1/37 (e)(i) | | 7,563 | 7,483 |
| Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.320% 3.575% 1/1/36 (e)(i) | | 3,742 | 3,745 |
| Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.370% 4.527% 3/1/36 (e)(i) | | 19,934 | 19,970 |
| Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.500% 4.632% 3/1/36 (e)(i) | | 15,444 | 15,512 |
| Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.750% 5.182% 12/1/40 (e)(i) | | 122,287 | 123,790 |
| Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.750% 6% 7/1/41 (e)(i) | | 26,196 | 26,487 |
| Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.750% 6% 9/1/41 (e)(i) | | 51,936 | 52,401 |
| Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.860% 5.239% 4/1/36 (e)(i) | | 7,923 | 8,038 |
| Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.880% 5.255% 4/1/41 (e)(i) | | 1,407 | 1,426 |
| Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.880% 5.368% 10/1/36 (e)(i) | | 19,291 | 19,376 |
| Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.880% 6.13% 9/1/41 (e)(i) | | 4,701 | 4,760 |
| Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.900% 5.731% 10/1/42 (e)(i) | | 19,230 | 19,395 |
| Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.910% 5.213% 5/1/41 (e)(i) | | 9,946 | 10,103 |
| Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.910% 5.568% 5/1/41 (e)(i) | | 11,548 | 11,730 |
| Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.910% 5.698% 6/1/41 (e)(i) | | 10,681 | 10,857 |
| Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.910% 6.16% 6/1/41 (e)(i) | | 3,507 | 3,562 |
| Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.960% 5.711% 6/1/33 (e)(i) | | 3,089 | 3,127 |
| Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.990% 5.435% 10/1/35 (e)(i) | | 9,333 | 9,390 |
| Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 2.020% 4.936% 4/1/38 (e)(i) | | 6,568 | 6,665 |
| Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 2.020% 7.385% 6/1/37 (e)(i) | | 14,912 | 15,116 |
| Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 2.030% 6.158% 3/1/33 (e)(i) | | 138 | 139 |
| Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 2.040% 6.256% 7/1/36 (e)(i) | | 9,845 | 9,998 |
| Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 2.200% 4.45% 12/1/36 (e)(i) | | 12,401 | 12,711 |
| Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 2.680% 8.319% 10/1/35 (e)(i) | | 5,709 | 5,855 |
| U.S. TREASURY 1 YEAR INDEX + 2.030% 4.951% 6/1/33 (e)(i) | | 12,856 | 12,865 |
| U.S. TREASURY 1 YEAR INDEX + 2.260% 5.216% 6/1/33 (e)(i) | | 24,960 | 25,064 |
| U.S. TREASURY 1 YEAR INDEX + 2.430% 5.86% 3/1/35 (e)(i) | | 45,478 | 45,841 |
| 1.5% 8/1/35 to 6/1/51 | | 445,455,867 | 337,119,925 |
| 2% 6/1/35 to 4/1/52 | | 691,243,873 | 561,003,957 |
| 2.5% 1/1/28 to 4/1/52 | | 543,507,678 | 459,730,328 |
| 3% 12/1/30 to 4/1/52 | | 224,529,817 | 193,350,179 |
| 3.5% 3/1/32 to 10/1/52 (n) | | 246,921,667 | 220,928,770 |
| 4% 5/1/33 to 10/1/52 (l) | | 83,996,068 | 78,437,951 |
| 4% 4/1/48 | | 8,574 | 7,947 |
| 4.5% 6/1/25 to 10/1/52 | | 25,689,468 | 24,552,307 |
| 5% 7/1/33 to 8/1/53 | | 159,538,698 | 155,021,331 |
| 5.5% 3/1/34 to 8/1/53 | | 209,985,932 | 208,925,582 |
| 6% 3/1/24 to 7/1/53 | | 62,108,630 | 62,935,975 |
| 6.5% 1/1/24 to 10/1/53 (l)(n) | | 55,827,796 | 57,111,701 |
| 7% 3/1/26 to 9/1/36 | | 94,794 | 98,305 |
| 7.5% 1/1/27 to 7/1/34 | | 29,412 | 30,747 |
| 8% 7/1/24 to 4/1/32 | | 1,946 | 2,033 |
| 8.5% 1/1/25 to 1/1/28 | | 976 | 999 |
TOTAL FREDDIE MAC | | | 2,359,743,443 |
| Ginnie Mae - 6.1% | | | |
| 3.5% 9/20/40 to 12/20/49 | | 66,255,315 | 59,967,307 |
| 4% 7/20/33 to 5/20/49 | | 62,274,627 | 58,430,873 |
| 4.5% 6/20/33 to 9/20/46 | | 6,754,984 | 6,490,282 |
| 5.5% 8/15/33 to 9/15/39 | | 186,917 | 189,215 |
| 6% to 6% 10/15/30 to 5/15/40 | | 255,208 | 262,484 |
| 7% to 7% 3/15/24 to 11/15/32 | | 278,868 | 286,913 |
| 7.5% to 7.5% 6/15/24 to 9/15/31 | | 16,107 | 16,392 |
| 8% 4/15/24 to 11/15/29 | | 3,191 | 3,243 |
| 8.5% to 8.5% 11/15/27 to 1/15/31 | | 2,333 | 2,432 |
| 2% 9/20/50 to 4/20/51 | | 112,068,751 | 90,735,935 |
| 2% 12/1/53 (j) | | 22,850,000 | 18,452,728 |
| 2% 12/1/53 (j) | | 168,050,000 | 135,710,324 |
| 2% 12/1/53 (j) | | 6,450,000 | 5,208,757 |
| 2% 12/1/53 (j) | | 34,050,000 | 27,497,391 |
| 2% 12/1/53 (j) | | 250,200,000 | 202,051,312 |
| 2% 12/1/53 (j) | | 9,550,000 | 7,712,190 |
| 2% 12/1/53 (j) | | 5,700,000 | 4,603,087 |
| 2% 12/1/53 (j) | | 23,200,000 | 18,735,373 |
| 2% 12/1/53 (j) | | 5,400,000 | 4,360,820 |
| 2% 12/1/53 (j) | | 43,600,000 | 35,209,581 |
| 2% 12/1/53 (j) | | 2,200,000 | 1,776,630 |
| 2% 12/1/53 (j) | | 13,900,000 | 11,225,073 |
| 2% 12/1/53 (j) | | 112,500,000 | 90,850,410 |
| 2% 12/1/53 (j) | | 15,500,000 | 12,517,168 |
| 2% 12/1/53 (j) | | 86,550,000 | 69,894,249 |
| 2% 12/1/53 (j) | | 11,650,000 | 9,408,065 |
| 2% 12/1/53 (j) | | 8,000,000 | 6,460,474 |
| 2% 12/1/53 (j) | | 5,850,000 | 4,724,221 |
| 2% 12/1/53 (j) | | 67,322,000 | 54,366,500 |
| 2% 12/1/53 (j) | | 9,060,000 | 7,316,486 |
| 2% 12/1/53 (j) | | 4,550,000 | 3,674,394 |
| 2% 12/1/53 (j) | | 4,400,000 | 3,553,260 |
| 2% 1/1/54 (j) | | 129,750,000 | 104,932,860 |
| 2% 1/1/54 (j) | | 47,600,000 | 38,495,600 |
| 2% 1/1/54 (j) | | 18,150,000 | 14,678,469 |
| 2% 1/1/54 (j) | | 6,650,000 | 5,378,062 |
| 2% 1/1/54 (j) | | 7,650,000 | 6,186,793 |
| 2% 1/1/54 (j) | | 2,800,000 | 2,264,447 |
| 2% 1/1/54 (j) | | 20,200,000 | 16,336,368 |
| 2% 1/1/54 (j) | | 148,400,000 | 120,015,695 |
| 2% 1/1/54 (j) | | 5,700,000 | 4,609,767 |
| 2% 1/1/54 (j) | | 12,300,000 | 9,947,393 |
| 2% 1/1/54 (j) | | 88,000,000 | 71,168,337 |
| 2% 1/1/54 (j) | | 4,100,000 | 3,315,798 |
| 2% 1/1/54 (j) | | 24,250,000 | 19,611,729 |
| 2% 1/1/54 (j) | | 173,400,000 | 140,233,973 |
| 2% 1/1/54 (j) | | 8,050,000 | 6,510,285 |
| 2.5% 11/20/47 to 12/20/51 | | 208,910,209 | 173,256,799 |
| 2.5% 12/1/53 (j) | | 8,400,000 | 7,019,056 |
| 2.5% 12/1/53 (j) | | 37,700,000 | 31,502,192 |
| 2.5% 12/1/53 (j) | | 2,750,000 | 2,297,905 |
| 2.5% 12/1/53 (j) | | 98,000,000 | 81,888,986 |
| 2.5% 12/1/53 (j) | | 21,800,000 | 18,216,121 |
| 2.5% 12/1/53 (j) | | 7,100,000 | 5,932,773 |
| 2.5% 12/1/53 (j) | | 75,400,000 | 63,004,383 |
| 2.5% 12/1/53 (j) | | 16,800,000 | 14,038,112 |
| 2.5% 12/1/53 (j) | | 5,450,000 | 4,554,030 |
| 2.5% 12/1/53 (j) | | 6,700,000 | 5,598,533 |
| 2.5% 12/1/53 (j) | | 30,125,000 | 25,172,507 |
| 2.5% 12/1/53 (j) | | 2,200,000 | 1,838,324 |
| 2.5% 12/1/53 (j) | | 11,950,000 | 9,985,443 |
| 2.5% 12/1/53 (j) | | 53,725,000 | 44,892,712 |
| 2.5% 12/1/53 (j) | | 3,900,000 | 3,258,847 |
| 2.5% 1/1/54 (j) | | 25,450,000 | 21,291,918 |
| 2.5% 1/1/54 (j) | | 114,300,000 | 95,625,392 |
| 2.5% 1/1/54 (j) | | 8,300,000 | 6,943,926 |
| 2.5% 1/1/54 (j) | | 33,600,000 | 28,110,351 |
| 2.5% 1/1/54 (j) | | 150,950,000 | 126,287,427 |
| 2.5% 1/1/54 (j) | | 10,950,000 | 9,160,963 |
| 3% 5/15/42 to 2/20/50 | | 8,229,803 | 7,176,973 |
| 3% 12/1/53 (j) | | 16,100,000 | 13,943,799 |
| 3% 12/1/53 (j) | | 132,450,000 | 114,711,568 |
| 3% 12/1/53 (j) | | 5,650,000 | 4,893,321 |
| 3% 12/1/53 (j) | | 4,300,000 | 3,724,120 |
| 3% 12/1/53 (j) | | 35,325,000 | 30,594,082 |
| 3% 12/1/53 (j) | | 1,500,000 | 1,299,112 |
| 3% 12/1/53 (j) | | 525,000 | 454,689 |
| 3% 12/1/53 (j) | | 4,425,000 | 3,832,380 |
| 3% 12/1/53 (j) | | 200,000 | 173,215 |
| 3% 12/1/53 (j) | | 9,500,000 | 8,227,708 |
| 3% 12/1/53 (j) | | 87,100,000 | 75,435,089 |
| 3% 12/1/53 (j) | | 10,600,000 | 9,180,390 |
| 3% 12/1/53 (j) | | 43,550,000 | 37,717,544 |
| 3% 12/1/53 (j) | | 5,300,000 | 4,590,195 |
| 3% 12/1/53 (j) | | 77,900,000 | 67,467,204 |
| 3% 12/1/53 (j) | | 3,700,000 | 3,204,476 |
| 3% 12/1/53 (j) | | 1,850,000 | 1,602,238 |
| 3% 12/1/53 (j) | | 3,300,000 | 2,858,046 |
| 3% 1/1/54 (j) | | 13,800,000 | 11,964,227 |
| 3% 1/1/54 (j) | | 113,550,000 | 98,444,784 |
| 3% 1/1/54 (j) | | 4,850,000 | 4,204,819 |
| 3% 1/1/54 (j) | | 21,500,000 | 18,639,920 |
| 3% 1/1/54 (j) | | 176,650,000 | 153,150,780 |
| 3% 1/1/54 (j) | | 7,500,000 | 6,502,298 |
| 3.5% 12/1/53 (j) | | 9,900,000 | 8,854,639 |
| 3.5% 12/1/53 (j) | | 86,250,000 | 77,142,690 |
| 3.5% 12/1/53 (j) | | 7,650,000 | 6,842,221 |
| 3.5% 12/1/53 (j) | | 6,900,000 | 6,171,415 |
| 3.5% 12/1/53 (j) | | 59,850,000 | 53,530,319 |
| 3.5% 12/1/53 (j) | | 5,350,000 | 4,785,083 |
| 3.5% 1/1/54 (j) | | 6,300,000 | 5,640,184 |
| 3.5% 1/1/54 (j) | | 54,850,000 | 49,105,411 |
| 3.5% 1/1/54 (j) | | 4,875,000 | 4,364,428 |
| 3.5% 1/1/54 (j) | | 6,350,000 | 5,684,947 |
| 3.5% 1/1/54 (j) | | 55,100,000 | 49,329,228 |
| 3.5% 1/1/54 (j) | | 4,900,000 | 4,386,810 |
| 4% 12/1/53 (j) | | 122,950,000 | 113,294,269 |
| 4% 12/1/53 (j) | | 8,000,000 | 7,371,730 |
| 4.5% 12/1/53 (j) | | 99,100,000 | 93,794,691 |
| 4.5% 12/1/53 (j) | | 2,200,000 | 2,082,223 |
| 5% 4/15/33 to 6/20/48 | | 8,583,949 | 8,492,602 |
| 5% 12/1/53 (j) | | 7,400,000 | 7,193,673 |
| 5% 12/1/53 (j) | | 66,300,000 | 64,451,423 |
| 5% 12/1/53 (j) | | 6,900,000 | 6,707,614 |
| 5% 12/1/53 (j) | | 62,000,000 | 60,271,316 |
| 5.5% 12/1/53 (j) | | 7,925,000 | 7,873,308 |
| 5.5% 12/1/53 (j) | | 112,900,000 | 112,163,587 |
| 5.5% 12/1/53 (j) | | 5,725,000 | 5,687,658 |
| 5.5% 12/1/53 (j) | | 1,575,000 | 1,564,727 |
| 5.5% 12/1/53 (j) | | 22,600,000 | 22,452,587 |
| 5.5% 12/1/53 (j) | | 1,150,000 | 1,142,499 |
| 5.5% 12/1/53 (j) | | 1,700,000 | 1,688,911 |
| 5.5% 12/1/53 (j) | | 24,200,000 | 24,042,151 |
| 5.5% 12/1/53 (j) | | 1,225,000 | 1,217,010 |
| 5.5% 1/1/54 (j) | | 5,550,000 | 5,512,065 |
| 5.5% 1/1/54 (j) | | 79,275,000 | 78,733,140 |
| 5.5% 1/1/54 (j) | | 4,025,000 | 3,997,488 |
| 6.5% 3/20/31 to 6/15/37 | | 41,265 | 42,557 |
| 6.5% 12/1/53 (j) | | 34,550,000 | 35,133,556 |
| 6.5% 12/1/53 (j) | | 6,000,000 | 6,101,341 |
| 6.5% 12/1/53 (j) | | 34,550,000 | 35,133,556 |
| 6.5% 12/1/53 (j) | | 6,000,000 | 6,101,341 |
| 6.5% 12/1/53 (j) | | 700,000 | 711,823 |
| 6.5% 12/1/53 (j) | | 700,000 | 711,823 |
| 6.5% 12/1/53 (j) | | 8,400,000 | 8,541,878 |
| 6.5% 12/1/53 (j) | | 48,350,000 | 49,166,641 |
| 6.5% 12/1/53 (j) | | 525,000 | 533,867 |
| 6.5% 12/1/53 (j) | | 950,000 | 966,046 |
| 6.5% 12/1/53 (j) | | 3,550,000 | 3,609,960 |
| 6.5% 12/1/53 (j) | | 275,000 | 279,645 |
| 6.5% 1/1/54 (j) | | 3,125,000 | 3,175,218 |
| 6.5% 1/1/54 (j) | | 21,250,000 | 21,591,485 |
| 6.5% 1/1/54 (j) | | 1,575,000 | 1,600,310 |
TOTAL GINNIE MAE | | | 4,058,221,916 |
| Uniform Mortgage Backed Securities - 12.9% | | | |
| 2% 12/1/38 (j) | | 20,700,000 | 18,105,874 |
| 2% 12/1/53 (j) | | 42,500,000 | 33,063,916 |
| 2% 12/1/53 (j) | | 7,150,000 | 5,562,518 |
| 2% 12/1/53 (j) | | 82,500,000 | 64,182,896 |
| 2% 12/1/53 (j) | | 49,625,000 | 38,606,985 |
| 2% 12/1/53 (j) | | 4,725,000 | 3,675,930 |
| 2% 12/1/53 (j) | | 115,075,000 | 89,525,416 |
| 2% 12/1/53 (j) | | 96,275,000 | 74,899,495 |
| 2% 12/1/53 (j) | | 4,675,000 | 3,637,031 |
| 2% 12/1/53 (j) | | 83,025,000 | 64,591,333 |
| 2% 12/1/53 (j) | | 18,000,000 | 14,003,541 |
| 2% 12/1/53 (j) | | 7,150,000 | 5,562,518 |
| 2% 12/1/53 (j) | | 16,550,000 | 12,875,478 |
| 2% 12/1/53 (j) | | 9,650,000 | 7,507,454 |
| 2% 12/1/53 (j) | | 86,050,000 | 66,944,706 |
| 2% 12/1/53 (j) | | 9,650,000 | 7,507,454 |
| 2% 12/1/53 (j) | | 86,050,000 | 66,944,706 |
| 2% 12/1/53 (j) | | 6,700,000 | 5,212,429 |
| 2% 12/1/53 (j) | | 6,700,000 | 5,212,429 |
| 2% 12/1/53 (j) | | 258,100,000 | 200,795,218 |
| 2% 12/1/53 (j) | | 28,950,000 | 22,522,362 |
| 2% 12/1/53 (j) | | 20,100,000 | 15,637,287 |
| 2% 12/1/53 (j) | | 13,400,000 | 10,424,858 |
| 2% 12/1/53 (j) | | 122,900,000 | 95,613,066 |
| 2% 12/1/53 (j) | | 15,500,000 | 12,058,605 |
| 2% 12/1/53 (j) | | 67,100,000 | 52,202,089 |
| 2% 12/1/53 (j) | | 63,050,000 | 49,051,292 |
| 2% 12/1/53 (j) | | 7,300,000 | 5,679,214 |
| 2% 12/1/53 (j) | | 7,250,000 | 5,640,315 |
| 2% 12/1/53 (j) | | 83,150,000 | 64,688,580 |
| 2% 12/1/53 (j) | | 57,050,000 | 44,383,445 |
| 2% 12/1/53 (j) | | 6,200,000 | 4,823,442 |
| 2% 12/1/53 (j) | | 6,150,000 | 4,784,543 |
| 2% 12/1/53 (j) | | 50,050,000 | 38,937,624 |
| 2% 12/1/53 (j) | | 97,075,000 | 75,521,875 |
| 2% 12/1/53 (j) | | 4,775,000 | 3,714,828 |
| 2% 12/1/53 (j) | | 7,200,000 | 5,601,416 |
| 2% 12/1/53 (j) | | 42,500,000 | 33,063,916 |
| 2% 12/1/53 (j) | | 4,050,000 | 3,150,797 |
| 2% 12/1/53 (j) | | 37,525,000 | 29,193,493 |
| 2% 12/1/53 (j) | | 82,500,000 | 64,182,896 |
| 2% 12/1/53 (j) | | 3,575,000 | 2,781,259 |
| 2% 12/1/53 (j) | | 72,775,000 | 56,617,094 |
| 2% 12/1/53 (j) | | 8,100,000 | 6,301,593 |
| 2% 12/1/53 (j) | | 6,100,000 | 4,745,644 |
| 2% 12/1/53 (j) | | 5,400,000 | 4,201,062 |
| 2% 12/1/53 (j) | | 6,200,000 | 4,823,442 |
| 2% 12/1/53 (j) | | 126,175,000 | 98,160,933 |
| 2% 12/1/53 (j) | | 65,025,000 | 50,587,792 |
| 2% 12/1/53 (j) | | 11,900,000 | 9,257,897 |
| 2% 12/1/53 (j) | | 4,725,000 | 3,675,930 |
| 2% 12/1/53 (j) | | 49,625,000 | 38,606,985 |
| 2% 12/1/53 (j) | | 8,900,000 | 6,923,973 |
| 2% 12/1/53 (j) | | 96,275,000 | 74,899,495 |
| 2% 12/1/53 (j) | | 4,050,000 | 3,150,797 |
| 2% 12/1/53 (j) | | 9,350,000 | 7,274,062 |
| 2% 1/1/54 (j) | | 101,300,000 | 78,951,265 |
| 2% 1/1/54 (j) | | 46,050,000 | 35,890,481 |
| 2% 1/1/54 (j) | | 423,600,000 | 330,145,665 |
| 2% 1/1/54 (j) | | 285,300,000 | 222,357,314 |
| 2% 1/1/54 (j) | | 21,050,000 | 16,405,964 |
| 2% 1/1/54 (j) | | 40,650,000 | 31,681,825 |
| 2% 1/1/54 (j) | | 5,250,000 | 4,091,749 |
| 2% 1/1/54 (j) | | 5,700,000 | 4,442,470 |
| 2% 1/1/54 (j) | | 44,850,000 | 34,955,224 |
| 2% 1/1/54 (j) | | 3,900,000 | 3,039,585 |
| 2% 1/1/54 (j) | | 139,550,000 | 108,762,577 |
| 2% 1/1/54 (j) | | 14,950,000 | 11,651,741 |
| 2% 1/1/54 (j) | | 100,600,000 | 78,405,698 |
| 2% 1/1/54 (j) | | 14,900,000 | 11,612,772 |
| 2% 1/1/54 (j) | | 26,125,000 | 20,361,321 |
| 2% 1/1/54 (j) | | 3,875,000 | 3,020,100 |
| 2% 1/1/54 (j) | | 36,225,000 | 28,233,066 |
| 2% 1/1/54 (j) | | 3,875,000 | 3,020,100 |
| 2% 1/1/54 (j) | | 84,200,000 | 65,623,855 |
| 2% 1/1/54 (j) | | 10,600,000 | 8,261,435 |
| 2.5% 12/1/38 (j) | | 10,950,000 | 9,859,710 |
| 2.5% 12/1/38 (j) | | 7,700,000 | 6,933,312 |
| 2.5% 12/1/53 (j) | | 5,550,000 | 4,501,138 |
| 2.5% 12/1/53 (j) | | 45,450,000 | 36,860,673 |
| 2.5% 12/1/53 (j) | | 10,450,000 | 8,475,116 |
| 2.5% 12/1/53 (j) | | 2,050,000 | 1,662,583 |
| 2.5% 12/1/53 (j) | | 34,850,000 | 28,263,904 |
| 2.5% 12/1/53 (j) | | 6,950,000 | 5,636,561 |
| 2.5% 12/1/53 (j) | | 151,500,000 | 122,868,909 |
| 2.5% 12/1/53 (j) | | 3,300,000 | 2,676,352 |
| 2.5% 12/1/53 (j) | | 11,100,000 | 9,002,276 |
| 2.5% 12/1/53 (j) | | 88,200,000 | 71,531,602 |
| 2.5% 12/1/53 (j) | | 20,300,000 | 16,463,623 |
| 2.5% 12/1/53 (j) | | 4,050,000 | 3,284,614 |
| 2.5% 12/1/53 (j) | | 6,475,000 | 5,251,328 |
| 2.5% 12/1/53 (j) | | 24,000,000 | 19,464,382 |
| 2.5% 12/1/53 (j) | | 132,600,000 | 107,540,708 |
| 2.5% 12/1/53 (j) | | 20,850,000 | 16,909,682 |
| 2.5% 12/1/53 (j) | | 35,600,000 | 28,872,166 |
| 2.5% 12/1/53 (j) | | 7,100,000 | 5,758,213 |
| 2.5% 12/1/53 (j) | | 154,750,000 | 125,504,711 |
| 2.5% 12/1/53 (j) | | 11,350,000 | 9,205,030 |
| 2.5% 12/1/53 (j) | | 18,000,000 | 14,598,286 |
| 2.5% 12/1/53 (j) | | 6,925,000 | 5,616,285 |
| 2.5% 12/1/53 (j) | | 34,875,000 | 28,284,180 |
| 2.5% 12/1/53 (j) | | 151,525,000 | 122,889,184 |
| 2.5% 12/1/53 (j) | | 12,800,000 | 10,381,004 |
| 2.5% 12/1/53 (j) | | 17,450,000 | 14,152,227 |
| 2.5% 12/1/53 (j) | | 9,800,000 | 7,947,956 |
| 2.5% 12/1/53 (j) | | 75,875,000 | 61,535,831 |
| 2.5% 12/1/53 (j) | | 3,475,000 | 2,818,280 |
| 2.5% 12/1/53 (j) | | 11,075,000 | 8,982,001 |
| 2.5% 1/1/54 (j) | | 152,950,000 | 124,248,015 |
| 2.5% 1/1/54 (j) | | 335,600,000 | 272,622,646 |
| 2.5% 1/1/54 (j) | | 46,400,000 | 37,692,762 |
| 2.5% 1/1/54 (j) | | 27,450,000 | 22,298,843 |
| 3% 12/1/53 (j) | | 1,425,000 | 1,203,012 |
| 3% 12/1/53 (j) | | 171,575,000 | 144,846,892 |
| 3% 12/1/53 (j) | | 53,150,000 | 44,870,245 |
| 3% 12/1/53 (j) | | 725,000 | 612,059 |
| 3% 12/1/53 (j) | | 5,775,000 | 4,875,365 |
| 3% 12/1/53 (j) | | 5,325,000 | 4,495,467 |
| 3% 12/1/53 (j) | | 51,525,000 | 43,498,389 |
| 3% 12/1/53 (j) | | 47,650,000 | 40,227,040 |
| 3% 12/1/53 (j) | | 3,475,000 | 2,933,661 |
| 3% 12/1/53 (j) | | 725,000 | 612,059 |
| 3% 12/1/53 (j) | | 5,775,000 | 4,875,365 |
| 3% 12/1/53 (j) | | 5,325,000 | 4,495,467 |
| 3% 12/1/53 (j) | | 4,300,000 | 3,630,142 |
| 3% 12/1/53 (j) | | 12,950,000 | 10,932,637 |
| 3% 12/1/53 (j) | | 275,000 | 232,160 |
| 3% 12/1/53 (j) | | 35,900,000 | 30,307,466 |
| 3% 12/1/53 (j) | | 2,900,000 | 2,448,235 |
| 3% 12/1/53 (j) | | 117,575,000 | 99,259,061 |
| 3% 12/1/53 (j) | | 22,550,000 | 19,037,141 |
| 3% 12/1/53 (j) | | 165,100,000 | 139,380,573 |
| 3% 12/1/53 (j) | | 14,950,000 | 12,621,076 |
| 3% 12/1/53 (j) | | 17,350,000 | 14,647,201 |
| 3% 12/1/53 (j) | | 128,450,000 | 108,439,943 |
| 3% 12/1/53 (j) | | 10,400,000 | 8,779,879 |
| 3% 12/1/53 (j) | | 5,000,000 | 4,221,096 |
| 3% 12/1/53 (j) | | 4,000,000 | 3,376,876 |
| 3% 12/1/53 (j) | | 40,450,000 | 34,148,663 |
| 3% 12/1/53 (j) | | 32,400,000 | 27,352,699 |
| 3% 12/1/53 (j) | | 4,050,000 | 3,419,087 |
| 3% 12/1/53 (j) | | 3,200,000 | 2,701,501 |
| 3% 12/1/53 (j) | | 121,250,000 | 102,361,566 |
| 3% 12/1/53 (j) | | 154,250,000 | 130,220,796 |
| 3% 12/1/53 (j) | | 13,450,000 | 11,354,747 |
| 3% 12/1/53 (j) | | 10,850,000 | 9,159,777 |
| 3% 12/1/53 (j) | | 128,850,000 | 108,777,631 |
| 3% 12/1/53 (j) | | 16,550,000 | 13,971,826 |
| 3% 12/1/53 (j) | | 127,800,000 | 107,891,201 |
| 3% 12/1/53 (j) | | 171,575,000 | 144,846,892 |
| 3% 12/1/53 (j) | | 16,400,000 | 13,845,193 |
| 3% 12/1/53 (j) | | 170,200,000 | 143,686,091 |
| 3% 12/1/53 (j) | | 8,850,000 | 7,471,339 |
| 3% 12/1/53 (j) | | 8,750,000 | 7,386,917 |
| 3% 12/1/53 (j) | | 31,900,000 | 26,930,589 |
| 3% 12/1/53 (j) | | 20,425,000 | 17,243,175 |
| 3% 12/1/53 (j) | | 22,075,000 | 18,636,137 |
| 3% 12/1/53 (j) | | 8,900,000 | 7,513,550 |
| 3% 12/1/53 (j) | | 2,775,000 | 2,342,708 |
| 3% 12/1/53 (j) | | 5,100,000 | 4,305,517 |
| 3% 12/1/53 (j) | | 29,450,000 | 24,862,253 |
| 3% 12/1/53 (j) | | 27,225,000 | 22,983,865 |
| 3% 12/1/53 (j) | | 3,000,000 | 2,532,657 |
| 3% 12/1/53 (j) | | 3,700,000 | 3,123,611 |
| 3% 12/1/53 (j) | | 1,050,000 | 886,430 |
| 3% 12/1/53 (j) | | 16,550,000 | 13,971,826 |
| 3% 12/1/53 (j) | | 75,700,000 | 63,907,386 |
| 3% 1/1/54 (j) | | 247,450,000 | 209,182,328 |
| 3% 1/1/54 (j) | | 362,200,000 | 306,186,458 |
| 3% 1/1/54 (j) | | 46,300,000 | 39,139,793 |
| 3% 1/1/54 (j) | | 28,900,000 | 24,430,670 |
| 3% 1/1/54 (j) | | 18,550,000 | 15,681,278 |
| 3% 1/1/54 (j) | | 99,450,000 | 84,070,246 |
| 3% 1/1/54 (j) | | 144,900,000 | 122,491,490 |
| 3% 1/1/54 (j) | | 11,500,000 | 9,721,547 |
| 3% 1/1/54 (j) | | 37,125,000 | 31,383,689 |
| 3% 1/1/54 (j) | | 75,700,000 | 63,993,139 |
| 3% 1/1/54 (j) | | 6,925,000 | 5,854,062 |
| 3% 1/1/54 (j) | | 4,300,000 | 3,635,013 |
| 3% 1/1/54 (j) | | 92,300,000 | 78,025,980 |
| 3% 1/1/54 (j) | | 188,150,000 | 159,052,960 |
| 3% 1/1/54 (j) | | 17,200,000 | 14,540,053 |
| 3% 1/1/54 (j) | | 10,700,000 | 9,045,265 |
| 3.5% 12/1/53 (j) | | 4,150,000 | 3,642,111 |
| 3.5% 12/1/53 (j) | | 93,400,000 | 81,969,428 |
| 3.5% 12/1/53 (j) | | 11,050,000 | 9,697,668 |
| 3.5% 12/1/53 (j) | | 15,050,000 | 13,208,136 |
| 3.5% 12/1/53 (j) | | 50,300,000 | 44,144,135 |
| 3.5% 12/1/53 (j) | | 5,950,000 | 5,221,821 |
| 3.5% 12/1/53 (j) | | 8,100,000 | 7,108,698 |
| 3.5% 12/1/53 (j) | | 3,000,000 | 2,632,851 |
| 3.5% 12/1/53 (j) | | 3,050,000 | 2,676,732 |
| 3.5% 12/1/53 (j) | | 25,275,000 | 22,181,770 |
| 3.5% 12/1/53 (j) | | 25,725,000 | 22,576,697 |
| 3.5% 12/1/53 (j) | | 4,200,000 | 3,685,991 |
| 3.5% 12/1/53 (j) | | 4,100,000 | 3,598,230 |
| 3.5% 1/1/54 (j) | | 6,150,000 | 5,401,429 |
| 3.5% 1/1/54 (j) | | 49,625,000 | 43,584,700 |
| 3.5% 1/1/54 (j) | | 8,375,000 | 7,355,604 |
| 3.5% 1/1/54 (j) | | 7,000,000 | 6,147,968 |
| 3.5% 1/1/54 (j) | | 56,300,000 | 49,447,226 |
| 3.5% 1/1/54 (j) | | 9,500,000 | 8,343,670 |
| 4% 12/1/53 (j) | | 83,150,000 | 75,543,114 |
| 4% 12/1/53 (j) | | 10,800,000 | 9,811,974 |
| 4% 12/1/53 (j) | | 58,550,000 | 53,193,618 |
| 4% 12/1/53 (j) | | 7,250,000 | 6,586,742 |
| 4% 12/1/53 (j) | | 11,750,000 | 10,675,064 |
| 4% 12/1/53 (j) | | 66,050,000 | 60,007,488 |
| 4% 12/1/53 (j) | | 8,150,000 | 7,404,406 |
| 4% 12/1/53 (j) | | 13,250,000 | 12,037,838 |
| 4.5% 12/1/53 (j) | | 49,850,000 | 46,714,879 |
| 4.5% 12/1/53 (j) | | 61,525,000 | 57,655,625 |
| 4.5% 12/1/53 (j) | | 84,150,000 | 78,857,714 |
| 4.5% 12/1/53 (j) | | 6,225,000 | 5,833,503 |
| 4.5% 12/1/53 (j) | | 100,000 | 93,711 |
| 4.5% 12/1/53 (j) | | 9,200,000 | 8,621,402 |
| 4.5% 1/1/54 (j) | | 2,800,000 | 2,625,655 |
| 4.5% 1/1/54 (j) | | 86,400,000 | 81,020,209 |
| 4.5% 1/1/54 (j) | | 4,050,000 | 3,797,822 |
| 5% 12/1/38 (j) | | 2,750,000 | 2,680,176 |
| 5% 12/1/38 (j) | | 23,225,000 | 22,635,303 |
| 5% 12/1/38 (j) | | 6,150,000 | 5,993,848 |
| 5% 12/1/38 (j) | | 52,125,000 | 50,801,515 |
| 5% 12/1/53 (j) | | 47,275,000 | 45,540,934 |
| 5% 12/1/53 (j) | | 9,200,000 | 8,862,540 |
| 5.5% 12/1/53 (j) | | 101,050,000 | 99,636,917 |
| 5.5% 12/1/53 (j) | | 43,300,000 | 42,694,493 |
| 5.5% 12/1/53 (j) | | 10,300,000 | 10,155,965 |
| 6.5% 12/1/53 (j) | | 5,275,000 | 5,360,716 |
| 6.5% 12/1/53 (j) | | 7,975,000 | 8,104,590 |
| 6.5% 12/1/53 (j) | | 7,075,000 | 7,189,965 |
| 6.5% 12/1/53 (j) | | 700,000 | 711,375 |
| 6.5% 12/1/53 (j) | | 1,050,000 | 1,067,062 |
| 6.5% 12/1/53 (j) | | 550,000 | 558,937 |
| 6.5% 12/1/53 (j) | | 2,600,000 | 2,642,249 |
| 6.5% 12/1/53 (j) | | 4,000,000 | 4,064,998 |
| 6.5% 12/1/53 (j) | | 1,400,000 | 1,422,749 |
| 6.5% 12/1/53 (j) | | 7,150,000 | 7,266,184 |
| 6.5% 12/1/53 (j) | | 3,100,000 | 3,150,373 |
| 6.5% 12/1/53 (j) | | 19,750,000 | 20,070,928 |
| 6.5% 12/1/53 (j) | | 1,900,000 | 1,930,874 |
| 6.5% 12/1/53 (j) | | 30,725,000 | 31,224,266 |
| 6.5% 12/1/53 (j) | | 2,875,000 | 2,921,717 |
| 6.5% 12/1/53 (j) | | 46,575,000 | 47,331,820 |
| 6.5% 1/1/54 (j) | | 5,600,000 | 5,688,591 |
| 6.5% 1/1/54 (j) | | 37,725,000 | 38,321,802 |
| 6.5% 1/1/54 (j) | | 15,475,000 | 15,719,811 |
TOTAL UNIFORM MORTGAGE BACKED SECURITIES | | | 8,648,793,963 |
| TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $19,805,340,857) | | | 19,380,964,227 |
| | | | |
| Asset-Backed Securities - 2.9% |
| | | Principal Amount (a) | Value ($) |
| AASET Trust: | | | |
| Series 2018-1A Class A, 3.844% 1/16/38 (b) | | 5,854,347 | 3,790,641 |
| Series 2019-1 Class A, 3.844% 5/15/39 (b) | | 1,912,042 | 1,434,049 |
| Series 2019-2: | | | |
Class A, 3.376% 10/16/39 (b) | | 6,321,329 | 5,559,093 |
Class B, 4.458% 10/16/39 (b) | | 1,488,945 | 655,191 |
| Series 2021-1A Class A, 2.95% 11/16/41 (b) | | 10,694,601 | 9,478,625 |
| Series 2021-2A Class A, 2.798% 1/15/47 (b) | | 18,917,525 | 16,197,185 |
| Affirm Asset Securitization Trust Series 2023-X1 Class A, 7.11% 11/15/28 (b) | | 1,700,000 | 1,701,364 |
| Aimco: | | | |
| Series 2018-BA Class AR, CME Term SOFR 3 Month Index + 1.360% 6.7555% 1/15/32 (b)(e)(i) | | 11,580,122 | 11,566,214 |
| Series 2021-10A Class AR, CME Term SOFR 3 Month Index + 1.320% 6.7335% 7/22/32 (b)(e)(i) | | 3,942,574 | 3,928,712 |
| AIMCO CLO Ltd.: | | | |
| Series 2021-11A Class AR, CME Term SOFR 3 Month Index + 1.390% 6.7944% 10/17/34 (b)(e)(i) | | 7,980,000 | 7,955,908 |
| Series 2022-12A Class AR, CME Term SOFR 3 Month Index + 1.170% 6.5728% 1/17/32 (b)(e)(i) | | 4,031,543 | 4,009,938 |
| Allegro CLO XV, Ltd. / Allegro CLO VX LLC Series 2022-1A Class A, CME Term SOFR 3 Month Index + 1.500% 6.9158% 7/20/35 (b)(e)(i) | | 12,690,000 | 12,666,980 |
| Allegro CLO, Ltd. Series 2021-1A Class A, CME Term SOFR 3 Month Index + 1.400% 6.8174% 7/20/34 (b)(e)(i) | | 8,250,000 | 8,208,148 |
| American Express Credit Account Master Trust Series 2023-1 Class A, 4.87% 5/15/28 | | 32,320,000 | 32,157,143 |
| Apollo Aviation Securitization Equity Trust Series 2020-1A: | | | |
| Class A, 3.351% 1/16/40 (b) | | 2,330,124 | 2,038,816 |
| Class B, 4.335% 1/16/40 (b) | | 435,156 | 240,432 |
| Ares CLO Series 2019-54A Class A, CME Term SOFR 3 Month Index + 1.580% 6.9755% 10/15/32 (b)(e)(i) | | 8,066,000 | 8,065,911 |
| Ares LII CLO Ltd. Series 2021-52A Class A1R, CME Term SOFR 3 Month Index + 1.310% 6.7235% 4/22/31 (b)(e)(i) | | 2,862,530 | 2,854,750 |
| Ares LV CLO Ltd. Series 2021-55A Class A1R, CME Term SOFR 3 Month Index + 1.390% 6.7855% 7/15/34 (b)(e)(i) | | 10,540,000 | 10,513,745 |
| Ares LVIII CLO LLC Series 2022-58A Class AR, CME Term SOFR 3 Month Index + 1.330% 6.7239% 1/15/35 (b)(e)(i) | | 18,170,000 | 18,022,460 |
| Ares XLI CLO Ltd. / Ares XLI CLO LLC Series 2021-41A Class AR2, CME Term SOFR 3 Month Index + 1.330% 6.7255% 4/15/34 (b)(e)(i) | | 24,780,000 | 24,619,649 |
| Ares XXXIV CLO Ltd. Series 2020-2A Class AR2, CME Term SOFR 3 Month Index + 1.510% 6.9144% 4/17/33 (b)(e)(i) | | 26,092,000 | 26,022,569 |
| Babson CLO Ltd. Series 2021-1A Class AR, CME Term SOFR 3 Month Index + 1.410% 6.8055% 10/15/36 (b)(e)(i) | | 7,970,000 | 7,937,156 |
| Bank of America Credit Card Master Trust: | | | |
| Series 2022-A2, Class A2, 5% 4/15/28 | | 3,900,000 | 3,890,463 |
| Series 2023-A1 Class A1, 4.79% 5/15/28 | | 28,969,000 | 28,780,452 |
| Barings CLO Ltd. Series 2021-4A Class A, CME Term SOFR 3 Month Index + 1.480% 6.8974% 1/20/32 (b)(e)(i) | | 9,470,000 | 9,469,972 |
| Bear Stearns Asset Backed Securities I Trust Series 2005-HE2 Class M2, CME Term SOFR 1 Month Index + 1.230% 6.5824% 2/25/35 (e)(i) | | 128,733 | 126,691 |
| Beechwood Park CLO Ltd. Series 2022-1A Class A1R, CME Term SOFR 3 Month Index + 1.300% 6.7028% 1/17/35 (b)(e)(i) | | 15,590,000 | 15,485,360 |
| BETHP Series 2021-1A Class A, CME Term SOFR 3 Month Index + 1.390% 6.7855% 1/15/35 (b)(e)(i) | | 11,380,000 | 11,345,177 |
| Blackbird Capital Aircraft: | | | |
| Series 2016-1A Class A, 4.213% 12/16/41 (b) | | 5,477,296 | 5,043,330 |
| Series 2021-1A Class A, 2.443% 7/15/46 (b) | | 26,714,554 | 22,774,157 |
| Bmw Vechile Owner Trust 2023-A Series 2023-A Class A3, 5.47% 2/25/28 | | 1,852,000 | 1,860,308 |
| Bristol Park CLO, Ltd. Series 2020-1A Class AR, CME Term SOFR 3 Month Index + 1.250% 6.6455% 4/15/29 (b)(e)(i) | | 8,663,425 | 8,651,270 |
| Capital One Multi-Asset Execution Trust: | | | |
| Series 2022-A3 Class A, 4.95% 10/15/27 | | 2,264,000 | 2,251,220 |
| Series 2023-A1 Class A, 4.42% 5/15/28 | | 27,600,000 | 27,155,165 |
| CarMax Auto Owner Trust Series 2023 2 Class A2A, 5.5% 6/15/26 | | 3,754,149 | 3,746,745 |
| Carmax Auto Owner Trust 2023-4 Series 2023-4 Class A3, 6% 7/17/28 | | 14,679,000 | 14,935,351 |
| Castlelake Aircraft Securitization Trust: | | | |
| Series 2019-1A: | | | |
Class A, 3.967% 4/15/39 (b) | | 10,673,461 | 9,339,628 |
Class B, 5.095% 4/15/39 (b) | | 3,098,041 | 2,006,074 |
| Series 2021-1R Class A, 2.741% 8/15/41 (b) | | 16,595,723 | 15,021,842 |
| Castlelake Aircraft Structured Trust: | | | |
| Series 2018-1 Class A, 4.125% 6/15/43 (b) | | 2,200,345 | 2,005,930 |
| Series 2021-1A: | | | |
Class A, 3.474% 1/15/46 (b) | | 4,420,930 | 4,057,442 |
Class B, 6.656% 1/15/46 (b) | | 2,756,103 | 2,268,427 |
| Cedar Funding Ltd.: | | | |
| Series 2021-10A Class AR, CME Term SOFR 3 Month Index + 1.360% 6.7774% 10/20/32 (b)(e)(i) | | 9,231,000 | 9,186,017 |
| Series 2021-14A Class A, CME Term SOFR 3 Month Index + 1.360% 6.7555% 7/15/33 (b)(e)(i) | | 3,354,274 | 3,349,370 |
| Series 2022-15A Class A, CME Term SOFR 3 Month Index + 1.320% 6.7358% 4/20/35 (b)(e)(i) | | 14,430,000 | 14,297,258 |
| Cedar Funding XII CLO Ltd. / Cedar Funding XII CLO LLC Series 2021-12A Class A1R, CME Term SOFR 3 Month Index + 1.390% 6.7698% 10/25/34 (b)(e)(i) | | 6,880,000 | 6,838,734 |
| Cedar Funding Xvii Clo Ltd. Series 2023-17A Class A, CME Term SOFR 3 Month Index + 1.850% 7.2758% 7/20/36 (b)(e)(i) | | 21,114,000 | 21,151,308 |
| Cent CLO LP Series 2021-21A Class A1R3, CME Term SOFR 3 Month Index + 1.230% 6.6191% 7/27/30 (b)(e)(i) | | 3,124,004 | 3,119,034 |
| Cent CLO Ltd. / Cent CLO Series 2021-29A Class AR, CME Term SOFR 3 Month Index + 1.430% 6.8474% 10/20/34 (b)(e)(i) | | 11,410,000 | 11,292,968 |
| CFMT LLC Series 2023 HB12 Class A, 4.25% 4/25/33 (b) | | 9,772,016 | 9,403,508 |
| Chase Issuance Trust: | | | |
| Series 2022-A1 Class A, 3.97% 9/15/27 | | 3,763,000 | 3,678,849 |
| Series 2023-A1 Class A, 5.16% 9/15/28 | | 11,940,000 | 11,987,242 |
| Series 2023-A2 Class A, 5.08% 9/15/30 | | 11,940,000 | 11,977,813 |
| Chesapeake Funding II LLC Series 2023-2A Class A1, 6.16% 10/15/35 (b) | | 7,537,261 | 7,568,183 |
| Citi Mortgage Loan Trust Series 2007-1 Class 1A, CME Term SOFR 1 Month Index + 1.460% 6.8074% 10/25/37 (b)(e)(i) | | 1,607 | 1,606 |
| Citibank Credit Card Issuance Trust Series 2018-A7 Class A7, 3.96% 10/13/30 | | 9,000,000 | 8,580,161 |
| CNH Equipment Trust Series 2023 A Class A2, 5.34% 9/15/26 | | 14,462,000 | 14,410,524 |
| Columbia Cent CLO 31 Ltd. Series 2021-31A Class A1, CME Term SOFR 3 Month Index + 1.460% 6.8774% 4/20/34 (b)(e)(i) | | 9,400,000 | 9,315,400 |
| Columbia Cent Clo 32 Ltd. / Coliseum Series 2022-32A Class A1, CME Term SOFR 3 Month Index + 1.700% 7.0985% 7/24/34 (b)(e)(i) | | 16,510,000 | 16,480,480 |
| Columbia Cent CLO Ltd. / Columbia Cent CLO Corp. Series 2021-30A Class A1, CME Term SOFR 3 Month Index + 1.570% 6.9874% 1/20/34 (b)(e)(i) | | 12,220,000 | 12,157,531 |
| DB Master Finance LLC: | | | |
| Series 2017-1A Class A2II, 4.03% 11/20/47 (b) | | 25,636,943 | 23,660,693 |
| Series 2019-1A: | | | |
Class A23, 4.352% 5/20/49 (b) | | 8,143,538 | 7,593,613 |
Class A2II, 4.021% 5/20/49 (b) | | 723,870 | 685,861 |
| Series 2021-1A: | | | |
Class A23, 2.791% 11/20/51 (b) | | 22,473,360 | 17,402,853 |
Class A2I, 2.045% 11/20/51 (b) | | 4,021,920 | 3,546,766 |
Class A2II, 2.493% 11/20/51 (b) | | 10,642,800 | 9,040,824 |
| Discover Card Execution Note Trust Series 2022-A4, Class A, 5.03% 10/15/27 | | 3,900,000 | 3,883,543 |
| Dllaa 2023-1A Series 2023-1A: | | | |
| Class A2, 5.93% 7/20/26 (b) | | 7,500,000 | 7,511,435 |
| Class A3, 5.64% 2/22/28 (b) | | 6,112,000 | 6,111,082 |
| Dominos Pizza Master Issuer LLC: | | | |
| Series 2016-1A Class A2II, 4.474% 10/25/45 (b) | | 5,677,650 | 5,488,403 |
| Series 2017-1A Class A23, 4.118% 7/25/47 (b) | | 4,995,250 | 4,656,437 |
| Series 2018-1A Class A2I, 4.116% 7/25/48 (b) | | 2,559,300 | 2,447,226 |
| Series 2019-1A Class A2, 3.668% 10/25/49 (b) | | 34,533,538 | 30,264,916 |
| Series 2021-1A: | | | |
Class A2I, 2.662% 4/25/51 (b) | | 14,147,250 | 12,148,682 |
Class A2II, 3.151% 4/25/51 (b) | | 6,677,775 | 5,432,317 |
| Dryden 98 CLO Ltd. Series 2022-98A Class A, CME Term SOFR 3 Month Index + 1.300% 6.7158% 4/20/35 (b)(e)(i) | | 9,710,000 | 9,614,580 |
| Dryden CLO, Ltd.: | | | |
| Series 2021-76A Class A1R, CME Term SOFR 3 Month Index + 1.410% 6.8274% 10/20/34 (b)(e)(i) | | 7,990,000 | 7,971,559 |
| Series 2021-83A Class A, CME Term SOFR 3 Month Index + 1.480% 6.8767% 1/18/32 (b)(e)(i) | | 7,360,000 | 7,354,576 |
| Dryden CLO, Ltd. / Dryden CLO, LLC Series 2021-86A Class A1R, CME Term SOFR 3 Month Index + 1.360% 6.7644% 7/17/34 (b)(e)(i) | | 40,316,000 | 40,070,314 |
| Dryden Senior Loan Fund: | | | |
| Series 2018-70A Class A1, CME Term SOFR 3 Month Index + 1.430% 6.8255% 1/16/32 (b)(e)(i) | | 2,909,000 | 2,906,140 |
| Series 2020-78A Class A, CME Term SOFR 3 Month Index + 1.440% 6.8444% 4/17/33 (b)(e)(i) | | 7,000,000 | 6,970,397 |
| Series 2021-85A Class AR, CME Term SOFR 3 Month Index + 1.410% 6.8055% 10/15/35 (b)(e)(i) | | 10,090,000 | 10,043,344 |
| Series 2021-90A Class A1A, CME Term SOFR 3 Month Index + 1.390% 6.7587% 2/20/35 (b)(e)(i) | | 6,930,000 | 6,887,692 |
| Eaton Vance CLO, Ltd.: | | | |
| Series 2021-1A Class AR, CME Term SOFR 3 Month Index + 1.360% 6.7555% 4/15/31 (b)(e)(i) | | 7,430,806 | 7,405,199 |
| Series 2021-2A Class AR, CME Term SOFR 3 Month Index + 1.410% 6.8055% 1/15/35 (b)(e)(i) | | 11,970,000 | 11,951,147 |
| Eaton Vance CLO, Ltd. / Eaton Vance CLO LLC Series 2021-1A Class A13R, CME Term SOFR 3 Month Index + 1.510% 6.9055% 1/15/34 (b)(e)(i) | | 2,000,000 | 1,995,426 |
| Enterprise Fleet Financing 2023-3 L Series 2023-3 Class A2, 6.4% 3/20/30 (b) | | 23,569,000 | 23,861,604 |
| Flatiron CLO Ltd. Series 2021-1A: | | | |
| Class A1, 3 month U.S. LIBOR + 1.110% 6.7684% 7/19/34 (b)(e)(i) | | 7,180,000 | 7,139,426 |
| Class AR, CME Term SOFR 3 Month Index + 1.340% 6.7318% 11/16/34 (b)(e)(i) | | 11,500,000 | 11,466,167 |
| Flatiron CLO Ltd. / Flatiron CLO LLC Series 2020-1A Class A, CME Term SOFR 3 Month Index + 1.560% 6.9287% 11/20/33 (b)(e)(i) | | 12,800,000 | 12,776,909 |
| Ford Credit Auto Owner Trust: | | | |
| Series 2020-2 Class A, 1.06% 4/15/33 (b) | | 5,000,000 | 4,611,244 |
| Series 2021-1 Class A, 1.37% 10/17/33 (b) | | 5,000,000 | 4,535,338 |
| Ford Credit Auto Owner Trust 2023-Rev Series 2023-2 Class A, 5.28% 2/15/36 (b) | | 8,300,000 | 8,290,936 |
| Ford Credit Floorplan Master Owner Trust: | | | |
| Series 2019-2 Class A, 3.06% 4/15/26 | | 8,253,000 | 8,172,060 |
| Series 2019-4 Class A, 2.44% 9/15/26 | | 1,300,000 | 1,267,079 |
| Series 2023-1 Class A1, 4.92% 5/15/28 (b) | | 44,930,000 | 44,326,532 |
| GM Financial Automobile Leasing Series 2023-2 Class A2A, 5.44% 10/20/25 | | 7,181,007 | 7,165,910 |
| Gm Financial Consumer Automobile Re Series 2023-3 Class A3, 5.45% 6/16/28 | | 12,689,000 | 12,752,161 |
| GM Financial Consumer Automobile Receivables Series 2023 2 Class A3, 4.47% 2/16/28 | | 18,533,000 | 18,248,882 |
| GM Financial Consumer Automobile Receivables Trust Series 2022-2 Class A3, 3.1% 2/16/27 | | 54,500,000 | 53,266,354 |
| Gm Financial Leasing Trust 202 Series 2023-3 Class A3, 5.38% 11/20/26 | | 6,253,000 | 6,236,124 |
| Gm Financial Revolving Receiva: | | | |
| Series 2021-1 Class A, 1.17% 6/12/34 (b) | | 5,000,000 | 4,446,894 |
| Series 2023-1 Class A, 5.12% 4/11/35 (b) | | 6,600,000 | 6,574,429 |
| Series 2023-2 Class A, 5.77% 8/11/36 (b) | | 6,000,000 | 6,133,107 |
| GMF Floorplan Owner Revolving Trust Series 2023-1: | | | |
| Class A1, 5.34% 6/15/28 (b) | | 18,500,000 | 18,457,147 |
| Class B, 5.73% 6/15/28 (b) | | 5,700,000 | 5,682,886 |
| Honda Auto Receivables Series 2023-2 Class A3, 4.93% 11/15/27 | | 12,903,000 | 12,807,582 |
| Honda Auto Receivables 2023-3 Series 2023-3 Class A3, 5.41% 2/18/28 | | 11,100,000 | 11,131,810 |
| Horizon Aircraft Finance I Ltd. Series 2018-1 Class A, 4.458% 12/15/38 (b) | | 12,949,535 | 10,981,102 |
| Horizon Aircraft Finance Ltd. Series 2019-1 Class A, 3.721% 7/15/39 (b) | | 18,689,682 | 16,331,007 |
| Hyundai Auto Receivables Trust Series 2023-B Class A3, 5.48% 4/17/28 | | 2,138,000 | 2,149,869 |
| Invesco CLO Ltd. Series 2021-3A Class A, CME Term SOFR 3 Month Index + 1.390% 6.8035% 10/22/34 (b)(e)(i) | | 9,130,000 | 9,088,276 |
| KKR CLO Ltd. Series 2022-41A Class A1, CME Term SOFR 3 Month Index + 1.330% 6.7239% 4/15/35 (b)(e)(i) | | 19,170,000 | 18,969,003 |
| Lucali CLO Ltd. Series 2021-1A Class A, CME Term SOFR 3 Month Index + 1.470% 6.8655% 1/15/33 (b)(e)(i) | | 4,500,000 | 4,499,901 |
| Madison Park Funding Series 2020-19A Class A1R2, CME Term SOFR 3 Month Index + 1.180% 6.5935% 1/22/28 (b)(e)(i) | | 1,942,023 | 1,936,197 |
| Madison Park Funding L Ltd. / Madison Park Funding L LLC Series 2021-50A Class A, CME Term SOFR 3 Month Index + 1.400% 6.7984% 4/19/34 (b)(e)(i) | | 9,810,000 | 9,724,918 |
| Madison Park Funding LII Ltd. / Madison Park Funding LII LLC Series 2021-52A Class A, CME Term SOFR 3 Month Index + 1.360% 6.7735% 1/22/35 (b)(e)(i) | | 16,291,000 | 16,153,015 |
| Madison Park Funding XLV Ltd./Madison Park Funding XLV LLC Series 2021-45A Class AR, CME Term SOFR 3 Month Index + 1.380% 6.7755% 7/15/34 (b)(e)(i) | | 7,360,000 | 7,300,664 |
| Madison Park Funding XXIII, Ltd. Series 2021-23A Class AR, CME Term SOFR 3 Month Index + 1.230% 6.6191% 7/27/31 (b)(e)(i) | | 2,393,547 | 2,390,120 |
| Madison Park Funding XXVI Ltd. Series 2017-26A Class AR, CME Term SOFR 3 Month Index + 1.460% 6.8516% 7/29/30 (b)(e)(i) | | 1,782,384 | 1,782,359 |
| Madison Park Funding XXXII, Ltd. / Madison Park Funding XXXII LLC Series 2021-32A Class A1R, CME Term SOFR 3 Month Index + 1.260% 6.6735% 1/22/31 (b)(e)(i) | | 4,173,273 | 4,159,739 |
| Magnetite CLO LTD Series 2023-36A Class A, CME Term SOFR 3 Month Index + 1.800% 7.2119% 4/22/36 (b)(e)(i) | | 10,440,000 | 10,462,958 |
| Magnetite CLO Ltd. Series 2021-27A Class AR, CME Term SOFR 3 Month Index + 1.400% 6.8174% 10/20/34 (b)(e)(i) | | 3,092,000 | 3,088,435 |
| Magnetite XXIII, Ltd. Series 2021-23A Class AR, CME Term SOFR 3 Month Index + 1.390% 6.7698% 1/25/35 (b)(e)(i) | | 9,420,000 | 9,374,727 |
| Magnetite XXIX, Ltd. / Magnetite XXIX LLC Series 2021-29A Class A, CME Term SOFR 3 Month Index + 1.250% 6.6455% 1/15/34 (b)(e)(i) | | 8,400,000 | 8,362,813 |
| MAPS Trust Series 2021-1A Class A, 2.521% 6/15/46 (b) | | 18,814,377 | 16,468,224 |
| Marlette Funding Trust 2023-3 Series 2023-3A Class A, 6.49% 9/15/33 (b) | | 12,422,185 | 12,416,805 |
| Mercedes-Benz Auto Receivables: | | | |
| Series 2023-1 Class A4, 4.31% 4/16/29 | | 4,500,000 | 4,388,391 |
| Series 2023-2 Class A3, 5.95% 11/15/28 | | 7,200,000 | 7,344,719 |
| Merchants Fleet Funding LLC Series 2023-1A Class A, 7.21% 5/20/36 (b) | | 21,900,000 | 21,977,259 |
| Metlife Securitization Trust Series 2019-1A Class A1A, 3.75% 4/25/58 (b) | | 110,599 | 106,077 |
| Milos CLO, Ltd. Series 2020-1A Class AR, CME Term SOFR 3 Month Index + 1.330% 6.7474% 10/20/30 (b)(e)(i) | | 12,329,559 | 12,328,905 |
| MMAF Equipment Finance LLC Series 2019-B Class A3, 2.01% 12/12/24 (b) | | 201,610 | 200,527 |
| Morgan Stanley ABS Capital I Trust Series 2004-HE7 Class B3, CME Term SOFR 1 Month Index + 5.360% 10.7074% 8/25/34 (c)(e)(i) | | 51,700 | 63,259 |
| Niagara Park CLO, Ltd. Series 2021-1A Class AR, CME Term SOFR 3 Month Index + 1.260% 6.6644% 7/17/32 (b)(e)(i) | | 3,241,511 | 3,230,444 |
| Nissan Auto Receivables 2023-B Series 2023-B Class A3, 5.93% 3/15/28 | | 7,200,000 | 7,300,170 |
| Palmer Square Loan Funding, Ltd. Series 2021-2A Class A1, CME Term SOFR 3 Month Index + 1.060% 6.4287% 5/20/29 (b)(e)(i) | | 1,374,945 | 1,371,010 |
| Palmer Square Loan Funding, Ltd. / Palmer Square Loan Funding LLC Series 2022-1A Class A1, CME Term SOFR 3 Month Index + 1.050% 6.4439% 4/15/30 (b)(e)(i) | | 3,959,961 | 3,937,738 |
| Park Place Securities, Inc. Series 2005-WCH1 Class M4, CME Term SOFR 1 Month Index + 1.350% 6.7024% 1/25/36 (e)(i) | | 43,147 | 42,226 |
| Peace Park CLO, Ltd. Series 2021-1A Class A, CME Term SOFR 3 Month Index + 1.390% 6.8074% 10/20/34 (b)(e)(i) | | 14,148,000 | 14,068,715 |
| Planet Fitness Master Issuer LLC: | | | |
| Series 2018-1A Class A2II, 4.666% 9/5/48 (b) | | 6,132,250 | 5,926,347 |
| Series 2019-1A Class A2, 3.858% 12/5/49 (b) | | 38,571,225 | 32,683,906 |
| Series 2022-1A: | | | |
Class A2I, 3.251% 12/5/51 (b) | | 9,574,200 | 8,692,119 |
Class A2II, 4.008% 12/5/51 (b) | | 9,574,200 | 7,841,413 |
| Project Silver Series 2019-1 Class A, 3.967% 7/15/44 (b) | | 5,420,071 | 4,498,822 |
| Prpm 2021-5, LLC Series 2021-5 Class A1, 1.793% 6/25/26 (b)(e) | | 1,582,104 | 1,479,032 |
| Prpm 2023-Rcf2 LLC Series 2023-RCF2 Class A1, 4% 11/25/53 (b) | | 12,900,000 | 12,024,762 |
| Rockland Park CLO Ltd. Series 2021-1A Class A, CME Term SOFR 3 Month Index + 1.380% 6.7974% 4/20/34 (b)(e)(i) | | 12,190,000 | 12,108,059 |
| RR 7 Ltd. Series 2022-7A Class A1AB, CME Term SOFR 3 Month Index + 1.340% 6.7339% 1/15/37 (b)(e)(i) | | 15,740,000 | 15,628,199 |
| Santander Drive Auto Receivables Trust Series 2022-5 Class A3, 4.11% 8/17/26 | | 1,658,386 | 1,649,309 |
| Sapphire Aviation Finance Series 2020-1A: | | | |
| Class A, 3.228% 3/15/40 (b) | | 17,379,294 | 14,816,196 |
| Class B, 4.335% 3/15/40 (b) | | 773,619 | 553,168 |
| SBA Tower Trust: | | | |
| Series 2019, 2.836% 1/15/50 (b) | | 9,702,000 | 9,339,734 |
| 1.631% 5/15/51 (b) | | 5,173,000 | 4,548,766 |
| 1.884% 7/15/50 (b) | | 4,645,000 | 4,248,270 |
| 2.328% 7/15/52 (b) | | 3,269,000 | 2,821,011 |
| Sfs Auto Receivables Securitiz Series 2023-1A Class A2A, 5.89% 3/22/27 (b) | | 10,631,166 | 10,630,164 |
| Store Master Funding Series 2021-1A Class A1, 2.12% 6/20/51 (b) | | 10,867,083 | 9,139,940 |
| Stratus CLO, Ltd. Series 2022-1A Class A, CME Term SOFR 3 Month Index + 1.750% 7.1658% 7/20/30 (b)(e)(i) | | 2,836,623 | 2,836,799 |
| SYMP Series 2022-32A Class A1, CME Term SOFR 3 Month Index + 1.320% 6.7319% 4/23/35 (b)(e)(i) | | 15,900,000 | 15,721,697 |
| Symphony CLO XIX, Ltd. / Symphony CLO XIX LLC Series 2018-19A Class A, CME Term SOFR 3 Month Index + 1.220% 6.6155% 4/16/31 (b)(e)(i) | | 5,992,918 | 5,958,166 |
| Symphony CLO XXI, Ltd. Series 2021-21A Class AR, CME Term SOFR 3 Month Index + 1.320% 6.7155% 7/15/32 (b)(e)(i) | | 4,245,997 | 4,232,788 |
| Symphony CLO XXIII Ltd. Series 2021-23A Class AR, CME Term SOFR 3 Month Index + 1.280% 6.6755% 1/15/34 (b)(e)(i) | | 3,464,968 | 3,450,443 |
| Symphony CLO XXVI Ltd. / Symphony CLO XXVI LLC Series 2021-26A Class AR, CME Term SOFR 3 Month Index + 1.340% 6.7574% 4/20/33 (b)(e)(i) | | 14,285,000 | 14,234,974 |
| TCI-Flatiron CLO Ltd. / LLC Series 2021-1A Class AR, CME Term SOFR 3 Month Index + 1.220% 6.591% 11/18/30 (b)(e)(i) | | 2,163,371 | 2,159,064 |
| TCI-Symphony CLO Series 2021-1A Class AR, CME Term SOFR 3 Month Index + 1.190% 6.5855% 7/15/30 (b)(e)(i) | | 3,358,614 | 3,349,892 |
| Terwin Mortgage Trust Series 2003-4HE Class A1, CME Term SOFR 1 Month Index + 0.970% 6.3174% 9/25/34 (e)(i) | | 45,367 | 43,820 |
| Tesla Auto Lease Trust 23-A Series 2023-A Class A3, 5.89% 6/22/26 (b) | | 14,696,000 | 14,676,788 |
| Thunderbolt Aircraft Lease Ltd.: | | | |
| Series 2017-A Class A, 4.212% 5/17/32 (b) | | 981,249 | 900,327 |
| Series 2018-A Class A, 4.147% 9/15/38 (b)(e) | | 7,175,791 | 6,171,826 |
| Thunderbolt III Aircraft Lease Ltd. Series 2019-1 Class A, 3.671% 11/15/39 (b) | | 28,576,823 | 24,076,831 |
| Toyota Auto Receivables Owner Trust: | | | |
| Series 2022-C Class A3, 3.76% 4/15/27 | | 37,350,000 | 36,496,403 |
| Series 2023-A Class A4, 4.42% 8/15/28 | | 4,000,000 | 3,907,053 |
| Toyota Lease Owner Trust Series 2023 A: | | | |
| Class A2, 5.3% 8/20/25 (b) | | 14,320,612 | 14,280,865 |
| Class A3, 4.93% 4/20/26 (b) | | 14,238,000 | 14,130,966 |
| Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, CME Term SOFR 3 Month Index + 0.820% 6.244% 4/6/42 (b)(e)(i) | | 1,380,000 | 972,036 |
| Upstart Securitization Trust: | | | |
| Series 2021-4 Class A, 0.84% 9/20/31 (b) | | 1,660,459 | 1,651,977 |
| Series 2021-5 Class A, 1.31% 11/20/31 (b) | | 2,833,183 | 2,808,435 |
| 3.12% 3/20/32 (b) | | 6,846,329 | 6,751,343 |
| Vcat 2021-Npl5 LLC Series 2021-NPL5 Class A1, 1.8677% 8/25/51 (b)(e) | | 9,236,526 | 8,821,462 |
| VCAT Asset Securitization, LLC: | | | |
| Series 2021-NPL1 Class A1, 2.2891% 12/26/50 (b) | | 201,091 | 197,772 |
| Series 2021-NPL2 Class A1, 2.115% 3/27/51 (b) | | 1,224,630 | 1,187,356 |
| Series 2021-NPL3 Class A1, 1.743% 5/25/51 (b)(e) | | 1,848,096 | 1,717,625 |
| Verizon Master Trust: | | | |
| Series 2021-1: | | | |
Class A, 0.5% 5/20/27 | | 21,504,000 | 20,978,754 |
Class B, 0.69% 5/20/27 | | 3,172,000 | 3,090,437 |
| Series 2023 2 Class A, 4.89% 4/13/28 | | 13,700,000 | 13,577,306 |
| Series 2023-4 Class A1A, 5.16% 6/20/29 | | 6,500,000 | 6,489,354 |
| Volkswagen Auto Loan Enhanced Series 2023-1 Class A3, 5.02% 6/20/28 | | 5,600,000 | 5,569,819 |
| Voya Clo 2023-1 Ltd. Series 2023-1A Class A1, CME Term SOFR 3 Month Index + 1.800% 1.8% 1/20/37 (b)(e)(i)(j) | | 14,610,000 | 14,605,018 |
| Voya CLO Ltd. Series 2021-1A Class A1R, CME Term SOFR 3 Month Index + 1.210% 6.6144% 4/17/30 (b)(e)(i) | | 2,307,630 | 2,304,291 |
| Voya CLO Ltd./Voya CLO LLC: | | | |
| Series 2021-2A Class A1R, CME Term SOFR 3 Month Index + 1.420% 6.8184% 7/19/34 (b)(e)(i) | | 7,780,000 | 7,730,628 |
| Series 2021-3A Class AR, CME Term SOFR 3 Month Index + 1.410% 6.8274% 10/20/34 (b)(e)(i) | | 13,570,000 | 13,503,724 |
| Voya CLO, Ltd. Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.150% 6.8055% 7/16/34 (b)(e)(i) | | 7,590,000 | 7,557,598 |
| Wheels Fleet Lease Funding 1 L Series 2023-2A Class A, 6.46% 8/18/38 (b) | | 51,008,000 | 51,391,896 |
| Willis Engine Structured Trust Vi Series 2023-A Class A, 8% 10/15/48 (b) | | 16,955,000 | 16,862,765 |
| World Omni Auto Receivables Trust: | | | |
| Series 2023 B: | | | |
Class A2A, 5.25% 11/16/26 | | 7,591,301 | 7,568,072 |
Class A3, 4.66% 5/15/28 | | 15,076,000 | 14,874,570 |
| Series 2023-C Class A3, 5.15% 11/15/28 | | 7,684,000 | 7,666,516 |
| World Omni Automobile Lease Series 2023-A Class A2A, 5.47% 11/17/25 | | 13,669,045 | 13,645,638 |
| TOTAL ASSET-BACKED SECURITIES (Cost $1,962,178,837) | | | 1,925,813,158 |
| | | | |
| Collateralized Mortgage Obligations - 1.6% |
| | | Principal Amount (a) | Value ($) |
| Private Sponsor - 0.5% | | | |
| Ajax Mortgage Loan Trust sequential payer: | | | |
| Series 2021-B Class A, 2.239% 6/25/66 (b)(e) | | 790,016 | 751,868 |
| Series 2021-C Class A, 2.115% 1/25/61 (b) | | 3,052,543 | 2,874,729 |
| Series 2021-E Class A1, 1.74% 12/25/60 (b) | | 13,550,584 | 11,048,325 |
| Angel Oak Mortgage Trust Series 2021-8 Class A1, 1.82% 11/25/66 (b) | | 1,960,597 | 1,612,282 |
| Binom Securitization Trust 202 Series 2022-RPL1 Class A1, 3% 2/25/61 (b) | | 13,867,244 | 12,287,150 |
| Brass PLC Series 2021-10A Class A1, 0.669% 4/16/69 (b)(e) | | 2,295,866 | 2,213,676 |
| BRAVO Residential Funding Trust sequential payer: | | | |
| Series 2020-RPL2 Class A1, 2% 5/25/59 (b) | | 885,242 | 785,166 |
| Series 2022-RPL1 Class A1, 2.75% 9/25/61 (b) | | 16,968,267 | 14,766,935 |
| Cascade Funding Mortgage Trust: | | | |
| Series 2021-EBO1 Class A, 0.9849% 11/25/50 (b)(e) | | 6,060,681 | 5,607,859 |
| Series 2021-HB6 Class A, 0.8983% 6/25/36 (b) | | 3,170,743 | 3,017,960 |
| Series 2021-HB7 Class A, 1.1512% 10/27/31 (b) | | 7,776,932 | 7,476,733 |
| CFMT Series 2022-HB10 Class A, 3.25% 11/25/35 (b) | | 4,000,191 | 3,853,954 |
| Cfmt 2022-Ebo2 sequential payer Series 2022-EBO2 Class A, 3.169% 7/25/54 (b) | | 2,251,078 | 2,224,107 |
| CFMT 2022-Hb8 LLC sequential payer Series 2022-HB8 Class A, 3.75% 4/25/25 (b) | | 37,067,474 | 36,351,405 |
| Citigroup Mortgage Loan Trust sequential payer Series 2014-8 Class 2A1, 3.45% 6/27/37 (b)(e) | | 5,587 | 5,497 |
| CSAIL Commercial Mortgage Trust Series 2015-C2 Class ASB, 3.2241% 6/15/57 | | 690,712 | 677,142 |
| CSMC: | | | |
| floater Series 2015-1R Class 6A1, 1 month U.S. LIBOR + 0.280% 4.0386% 5/27/37 (b)(e)(i) | | 23,664 | 22,694 |
| Series 2014-3R: | | | |
Class 2A1, 1 month U.S. LIBOR + 0.700% 0% 5/27/37 (b)(c)(e)(i) | | 556,406 | 56 |
Class AA1, CME Term SOFR 1 Month Index + 0.390% 4.0386% 5/27/37 (b)(e)(i) | | 488,543 | 448,189 |
| Csmc 2021-Rpl9 Trust sequential payer Series 2021-RPL9 Class A1, 2.4364% 2/25/61 (b) | | 3,254,797 | 3,060,571 |
| CSMC Trust sequential payer: | | | |
| Series 2020-RPL3 Class A1, 4.0706% 3/25/60 (b)(e) | | 1,532,418 | 1,507,773 |
| Series 2020-RPL4 Class A1, 2% 1/25/60 (b) | | 255,175 | 216,229 |
| Finance of America HECM Buyout sequential payer Series 2022-HB1 Class A, 2.6948% 2/25/32 (b)(e) | | 17,243,049 | 16,305,776 |
| GCAT Trust sequential payer Series 2021-NQM7 Class A1, 1.915% 8/25/66 (b) | | 1,042,399 | 892,579 |
| Legacy Mortgage Asset Trust Series 2021-GS5 Class A1, 2.25% 7/25/67 (b)(e) | | 2,267,210 | 2,125,519 |
| MFA Trust sequential payer Series 2022-RPL1 Class A1, 3.3% 8/25/61 (b) | | 49,076,388 | 43,876,927 |
| New Residential Mortgage Loan Trust: | | | |
| Series 2019-5A Class A1B, 3.5% 8/25/59 (b) | | 380,923 | 347,301 |
| Series 2020-1A Class A1B, 3.5% 10/25/59 (b) | | 3,736,138 | 3,355,597 |
| New York Mortgage Trust sequential payer Series 2021-SP1 Class A1, 1.6696% 8/25/61 (b) | | 9,513,004 | 8,724,784 |
| NYMT Loan Trust sequential payer Series 2021-CP1 Class A1, 2.0424% 7/25/61 (b) | | 16,300,494 | 14,491,499 |
| Oceanview Mortgage Loan Trust sequential payer Series 2020-1 Class A1A, 1.7329% 5/28/50 (b) | | 53,299 | 47,497 |
| Ocwen Ln Investment Trust 2023-Hb1 Series 2023-HB1 Class A, 3% 6/25/36 (b) | | 4,119,832 | 3,905,949 |
| Preston Ridge Partners Mortgage Trust: | | | |
| sequential payer Series 2021-8 Class A1, 1.743% 9/25/26 (b)(e) | | 1,886,343 | 1,766,489 |
| Series 2021-2 Class A1, 2.115% 3/25/26 (b) | | 13,006,517 | 12,508,685 |
| Series 2021-RPL1 Class A1, 1.319% 7/25/51 (b) | | 3,828,967 | 3,358,704 |
| Series 2021-RPL2 Class A1, 1.455% 10/25/51 (b)(e) | | 5,396,928 | 4,746,812 |
| PRET LLC Series 2022-RN1 Class A1, 3.721% 7/25/51 (b) | | 1,523,362 | 1,455,539 |
| Prpm 2023-Rcf1 LLC Series 2023-RCF1 Class A1, 4% 6/25/53 (b) | | 6,928,598 | 6,486,182 |
| RMF Buyout Issuance Trust: | | | |
| sequential payer: | | | |
Series 2021-HB1 Class A, 1.2586% 11/25/31 (b) | | 6,856,105 | 6,578,115 |
Series 2022-HB1 Class A, 4.272% 4/25/32 (b) | | 4,601,662 | 4,433,469 |
| Series 2020-HB1 Class A1, 1.7188% 10/25/50 (b) | | 2,752,059 | 2,587,006 |
| Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 6 month U.S. LIBOR + 0.880% 6.546% 7/20/34 (e)(i) | | 1,745 | 1,544 |
| Thornburg Mortgage Securities Trust floater Series 2003-4 Class A1, CME Term SOFR 1 Month Index + 0.750% 6.0974% 9/25/43 (e)(i) | | 52,449 | 49,035 |
| Towd Point Mortgage Trust: | | | |
| sequential payer: | | | |
Series 2021-1 Class A1, 2.25% 11/25/61 (b)(e) | | 30,654,065 | 27,240,057 |
Series 2022-K147 Class A2, 3.75% 7/25/62 (b) | | 47,703,648 | 43,015,811 |
| Series 2020-1 Class A1, 2.71% 1/25/60 (b) | | 848,329 | 782,479 |
| Wells Fargo Mortgage Backed Securities Trust Series 2003-I Class A1, 6.0727% 9/25/33 (e) | | 6,086 | 5,794 |
TOTAL PRIVATE SPONSOR | | | 319,899,449 |
| U.S. Government Agency - 1.1% | | | |
| Fannie Mae: | | | |
| floater: | | | |
Series 2002-18 Class FD, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.910% 6.2426% 2/25/32 (e)(i) | | 1,842 | 1,836 |
Series 2002-39 Class FD, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.110% 6.4396% 3/18/32 (e)(i) | | 3,446 | 3,454 |
Series 2002-60 Class FV, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.110% 6.4426% 4/25/32 (e)(i) | | 3,859 | 3,866 |
Series 2002-63 Class FN, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.110% 6.4426% 10/25/32 (e)(i) | | 4,681 | 4,691 |
Series 2002-7 Class FC, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.860% 6.1926% 1/25/32 (e)(i) | | 1,734 | 1,726 |
Series 2003-118 Class S, 7.980% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 2.6574% 12/25/33 (e)(o)(p) | | 74,430 | 10,000 |
Series 2006-104 Class GI, 6.560% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.2374% 11/25/36 (e)(o)(p) | | 49,304 | 4,100 |
Series 2012-154 Class F, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.410% 5.7426% 1/25/43 (e)(i) | | 474,115 | 457,542 |
Series 2017-36 Class FB, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.460% 5.7926% 5/25/47 (e)(i) | | 952,069 | 911,301 |
Series 2018-32 Class FB, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.410% 5.7426% 5/25/48 (e)(i) | | 537,378 | 512,372 |
Series 2018-38 Class FG, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.410% 5.7426% 6/25/48 (e)(i) | | 1,265,660 | 1,204,169 |
Series 2019-23 Class FC, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.560% 5.8926% 5/25/49 (e)(i) | | 8,358,493 | 8,086,694 |
| planned amortization class: | | | |
Series 1996-28 Class PK, 6.5% 7/25/25 | | 197 | 197 |
Series 1999-17 Class PG, 6% 4/25/29 | | 22,401 | 22,632 |
Series 1999-32 Class PL, 6% 7/25/29 | | 28,467 | 28,636 |
Series 1999-33 Class PK, 6% 7/25/29 | | 20,407 | 20,544 |
Series 2001-52 Class YZ, 6.5% 10/25/31 | | 3,405 | 3,466 |
Series 2005-102 Class CO 11/25/35 (q) | | 10,895 | 9,184 |
Series 2005-39 Class TE, 5% 5/25/35 | | 12,246 | 12,211 |
Series 2005-73 Class SA, 17.500% x U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 3.3993% 8/25/35 (e)(i)(p) | | 2,692 | 2,687 |
Series 2005-81 Class PC, 5.5% 9/25/35 | | 34,163 | 34,586 |
Series 2006-12 Class BO 10/25/35 (q) | | 49,309 | 42,266 |
Series 2006-15 Class OP 3/25/36 (q) | | 66,174 | 55,182 |
Series 2006-37 Class OW 5/25/36 (q) | | 6,851 | 5,295 |
Series 2006-45 Class OP 6/25/36 (q) | | 20,747 | 16,304 |
Series 2006-62 Class KP 4/25/36 (q) | | 32,610 | 26,380 |
Series 2012-149: | | | |
Class DA, 1.75% 1/25/43 | | 90,673 | 81,902 |
Class GA, 1.75% 6/25/42 | | 102,042 | 91,318 |
Series 2021-45 Class DA, 3% 7/25/51 | | 9,283,372 | 7,975,035 |
Series 2021-69 Class JK, 1.5% 10/25/51 | | 5,296,241 | 4,240,111 |
Series 2022-2 Class TH, 2.5% 2/25/52 | | 3,267,300 | 2,879,846 |
| sequential payer: | | | |
Series 1997-41 Class J, 7.5% 6/18/27 | | 3,195 | 3,227 |
Series 1999-25 Class Z, 6% 6/25/29 | | 17,593 | 17,496 |
Series 2001-20 Class Z, 6% 5/25/31 | | 26,664 | 26,895 |
Series 2001-31 Class ZC, 6.5% 7/25/31 | | 12,143 | 12,194 |
Series 2002-16 Class ZD, 6.5% 4/25/32 | | 9,950 | 10,144 |
Series 2002-74 Class SV, 7.430% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 2.1074% 11/25/32 (e)(o)(p) | | 14,948 | 361 |
Series 2012-67 Class AI, 4.5% 7/25/27 (o) | | 15,379 | 328 |
Series 2020-101 Class BA, 1.5% 9/25/45 | | 9,363,991 | 7,824,628 |
Series 2020-43 Class MA, 2% 1/25/45 | | 9,422,128 | 8,268,007 |
Series 2020-49 Class JA, 2% 8/25/44 | | 5,296,686 | 4,681,948 |
Series 2020-80 Class BA, 1.5% 3/25/45 | | 13,096,524 | 11,012,587 |
Series 2021-68 Class A, 2% 7/25/49 | | 10,752,582 | 8,268,350 |
Series 2021-85 Class L, 2.5% 8/25/48 | | 5,869,695 | 5,022,131 |
Series 2021-95: | | | |
Class 0, 2.5% 9/25/48 | | 11,541,872 | 9,842,710 |
Class BA, 2.5% 6/25/49 | | 17,575,446 | 14,985,695 |
Series 2021-96 Class HA, 2.5% 2/25/50 | | 9,519,746 | 8,008,887 |
Series 2022-1 Class KA, 3% 5/25/48 | | 6,242,301 | 5,521,287 |
Series 2022-11 Class B, 3% 6/25/49 | | 6,545,269 | 5,869,298 |
Series 2022-13: | | | |
Class HA, 3% 8/25/46 | | 8,823,252 | 8,058,050 |
Class JA, 3% 5/25/48 | | 4,922,809 | 4,378,632 |
Series 2022-15 Class GC, 3% 1/25/47 | | 7,882,599 | 7,098,831 |
Series 2022-17 Class BH, 3% 5/25/47 | | 8,741,754 | 7,884,629 |
Series 2022-3: | | | |
Class D, 2% 2/25/48 | | 17,747,166 | 15,204,701 |
Class N, 2% 10/25/47 | | 75,841,130 | 63,211,360 |
Series 2022-30 Class E, 4.5% 7/25/48 | | 17,857,022 | 17,028,694 |
Series 2022-4 Class B, 2.5% 5/25/49 | | 6,988,064 | 5,973,056 |
Series 2022-49 Class TC, 4% 12/25/48 | | 5,750,798 | 5,466,984 |
Series 2022-5: | | | |
Class 0, 2.5% 6/25/48 | | 6,380,319 | 5,484,767 |
Class DA, 2.25% 11/25/47 | | 20,218,028 | 17,317,331 |
Series 2022-7: | | | |
Class A, 3% 5/25/48 | | 8,900,920 | 7,873,525 |
Class E, 2.5% 11/25/47 | | 17,326,291 | 15,127,141 |
Series 2022-9 Class BA, 3% 5/25/48 | | 7,362,108 | 6,545,248 |
| Series 06-116 Class SG, 6.520% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.1974% 12/25/36 (e)(o)(p) | | 36,040 | 3,210 |
| Series 07-40 Class SE, 6.320% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 0.9974% 5/25/37 (e)(o)(p) | | 19,471 | 1,985 |
| Series 2003-21 Class SK, 7.980% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 2.6574% 3/25/33 (e)(o)(p) | | 5,509 | 535 |
| Series 2005-72 Class ZC, 5.5% 8/25/35 | | 272,989 | 271,587 |
| Series 2005-79 Class ZC, 5.9% 9/25/35 | | 169,313 | 169,339 |
| Series 2007-57 Class SA, 40.600% x U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 7.9646% 6/25/37 (e)(i)(p) | | 20,875 | 24,584 |
| Series 2007-66: | | | |
Class SA, 38.910% x U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 6.9446% 7/25/37 (e)(i)(p) | | 21,941 | 25,914 |
Class SB, 38.910% x U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 6.9446% 7/25/37 (e)(i)(p) | | 5,621 | 6,068 |
| Series 2010-135 Class ZA, 4.5% 12/25/40 | | 61,474 | 59,792 |
| Series 2010-139 Class NI, 4.5% 2/25/40 (o) | | 11,820 | 108 |
| Series 2010-150 Class ZC, 4.75% 1/25/41 | | 624,419 | 605,954 |
| Series 2010-95 Class ZC, 5% 9/25/40 | | 1,334,108 | 1,314,855 |
| Series 2011-39 Class ZA, 6% 11/25/32 | | 79,383 | 80,744 |
| Series 2011-4 Class PZ, 5% 2/25/41 | | 201,503 | 189,992 |
| Series 2011-67 Class AI, 4% 7/25/26 (o) | | 5,228 | 105 |
| Series 2012-100 Class WI, 3% 9/25/27 (o) | | 215,600 | 7,839 |
| Series 2012-9 Class SH, 6.430% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.1074% 6/25/41 (e)(o)(p) | | 22,024 | 160 |
| Series 2013-133 Class IB, 3% 4/25/32 (o) | | 66,378 | 1,390 |
| Series 2013-134 Class SA, 5.930% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 0.6074% 1/25/44 (e)(o)(p) | | 76,575 | 7,088 |
| Series 2013-16 Class GP, 3% 3/25/33 | | 414,340 | 398,348 |
| Series 2013-44 Class DJ, 1.85% 5/25/33 | | 6,419,248 | 5,743,395 |
| Series 2013-51 Class GI, 3% 10/25/32 (o) | | 72,166 | 3,899 |
| Series 2013-N1 Class A, 6.600% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.2774% 6/25/35 (e)(o)(p) | | 103,879 | 7,155 |
| Series 2015-42 Class IL, 6% 6/25/45 (o) | | 509,018 | 85,210 |
| Series 2015-70 Class JC, 3% 10/25/45 | | 565,730 | 529,942 |
| Series 2017-30 Class AI, 5.5% 5/25/47 (o) | | 264,375 | 44,844 |
| Series 2020-39 Class MG, 1.5% 6/25/40 | | 23,717,241 | 19,108,426 |
| Series 2020-45: | | | |
Class JC, 1.5% 7/25/40 | | 24,239,605 | 19,523,256 |
Class JL, 3% 7/25/40 | | 431,598 | 383,805 |
| Series 2020-59 Class MC, 1.5% 8/25/40 | | 26,522,336 | 21,350,046 |
| Series 2021-59 Class H, 2% 6/25/48 | | 6,073,603 | 4,797,532 |
| Series 2021-66: | | | |
Class DA, 2% 1/25/48 | | 6,537,246 | 5,197,273 |
Class DM, 2% 1/25/48 | | 6,947,219 | 5,523,212 |
| Series 2022-28 Class A, 2.5% 2/25/52 | | 16,695,994 | 15,102,777 |
| Fannie Mae Stripped Mortgage-Backed Securities: | | | |
| Series 339 Class 5, 5.5% 7/25/33 (o) | | 16,916 | 2,673 |
| Series 343 Class 16, 5.5% 5/25/34 (o) | | 15,868 | 2,529 |
| Series 348 Class 14, 6.5% 8/25/34 (e)(o) | | 13,415 | 2,590 |
| Series 351: | | | |
Class 12, 5.5% 4/25/34 (e)(o) | | 8,307 | 1,373 |
Class 13, 6% 3/25/34 (o) | | 12,511 | 2,257 |
| Series 359 Class 19, 6% 7/25/35 (e)(o) | | 7,243 | 1,361 |
| Series 384 Class 6, 5% 7/25/37 (o) | | 71,554 | 12,097 |
| Freddie Mac: | | | |
| floater: | | | |
Series 2412 Class FK, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.910% 6.2385% 1/15/32 (e)(i) | | 1,327 | 1,321 |
Series 2423 Class FA, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.010% 6.3385% 3/15/32 (e)(i) | | 2,089 | 2,087 |
Series 2424 Class FM, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.110% 6.4385% 3/15/32 (e)(i) | | 1,823 | 1,826 |
Series 2432: | | | |
Class FE, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.010% 6.3385% 6/15/31 (e)(i) | | 3,261 | 3,258 |
Class FG, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.010% 6.3385% 3/15/32 (e)(i) | | 1,159 | 1,157 |
Series 4709 Class FE, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.460% 5.7885% 8/15/47 (e)(i) | | 494,441 | 473,431 |
| planned amortization class: | | | |
Series 2021-5141 Class JM, 1.5% 4/25/51 | | 5,159,858 | 4,109,944 |
Series 2021-5148: | | | |
Class AD, 1.5% 10/25/51 | | 5,214,199 | 4,179,704 |
Class PC, 1.5% 10/25/51 | | 5,181,810 | 4,103,439 |
Series 2095 Class PE, 6% 11/15/28 | | 28,538 | 28,803 |
Series 2101 Class PD, 6% 11/15/28 | | 1,944 | 1,960 |
Series 2104 Class PG, 6% 12/15/28 | | 2,151 | 2,167 |
Series 2121 Class MG, 6% 2/15/29 | | 11,848 | 11,936 |
Series 2131 Class BG, 6% 3/15/29 | | 65,378 | 65,894 |
Series 2137 Class PG, 6% 3/15/29 | | 10,264 | 10,344 |
Series 2154 Class PT, 6% 5/15/29 | | 22,074 | 22,248 |
Series 2162 Class PH, 6% 6/15/29 | | 3,943 | 3,967 |
Series 2520 Class BE, 6% 11/15/32 | | 39,660 | 40,485 |
Series 2693 Class MD, 5.5% 10/15/33 | | 154,336 | 153,707 |
Series 2802 Class OB, 6% 5/15/34 | | 32,853 | 33,204 |
Series 3002 Class NE, 5% 7/15/35 | | 85,109 | 84,595 |
Series 3110 Class OP 9/15/35 (q) | | 15,450 | 14,389 |
Series 3119 Class PO 2/15/36 (q) | | 78,777 | 62,320 |
Series 3121 Class KO 3/15/36 (q) | | 12,139 | 9,936 |
Series 3123 Class LO 3/15/36 (q) | | 44,546 | 35,553 |
Series 3145 Class GO 4/15/36 (q) | | 46,231 | 37,199 |
Series 3189 Class PD, 6% 7/15/36 | | 77,704 | 79,729 |
Series 3225 Class EO 10/15/36 (q) | | 23,399 | 18,270 |
Series 3258 Class PM, 5.5% 12/15/36 | | 26,747 | 27,137 |
Series 3415 Class PC, 5% 12/15/37 | | 35,681 | 35,221 |
Series 3806 Class UP, 4.5% 2/15/41 | | 176,155 | 170,655 |
Series 3832 Class PE, 5% 3/15/41 | | 343,951 | 340,777 |
Series 4135 Class AB, 1.75% 6/15/42 | | 77,387 | 69,479 |
| sequential payer: | | | |
Series 2009-3550 Class DB, 4% 7/15/24 | | 127,973 | 127,199 |
Series 2009-3578 Class KB, 4% 9/15/24 | | 88,894 | 88,186 |
Series 2010-3711 Class B, 4% 8/15/25 | | 335,537 | 330,849 |
Series 2010-3720 Class EB, 4% 9/15/25 | | 475,376 | 468,426 |
Series 2012-4140 Class JW, 4% 3/15/25 | | 254,414 | 251,555 |
Series 2020-4993 Class LA, 2% 8/25/44 | | 9,004,956 | 7,980,310 |
Series 2020-5018: | | | |
Class LC, 3% 10/25/40 | | 2,897,909 | 2,568,005 |
Class LY, 3% 10/25/40 | | 2,199,165 | 1,949,381 |
Series 2020-5066 Class A, 1.5% 11/25/44 | | 3,882,951 | 3,259,522 |
Series 2021-5169 Class TP, 2.5% 6/25/49 | | 5,103,485 | 4,309,613 |
Series 2021-5175 Class CB, 2.5% 4/25/50 | | 33,955,598 | 28,581,684 |
Series 2021-5180 Class KA, 2.5% 10/25/47 | | 6,896,295 | 6,011,520 |
Series 2022-5189: | | | |
Class DA, 2.5% 5/25/49 | | 4,731,119 | 4,028,059 |
Class TP, 2.5% 5/25/49 | | 4,624,084 | 3,936,396 |
Series 2022-5190: | | | |
Class BA, 2.5% 11/25/47 | | 4,576,009 | 3,938,070 |
Class CA, 2.5% 5/25/49 | | 3,872,601 | 3,294,488 |
Series 2022-5191 Class CA, 2.5% 4/25/50 | | 8,139,282 | 6,859,444 |
Series 2022-5197: | | | |
Class A, 2.5% 6/25/49 | | 3,872,608 | 3,296,129 |
Class DA, 2.5% 11/25/47 | | 3,475,051 | 2,991,869 |
Series 2022-5198 Class BA, 2.5% 11/25/47 | | 16,931,260 | 14,735,790 |
Series 2022-5201 Class EB, 3% 2/25/48 | | 9,211,656 | 8,283,518 |
Series 2022-5202: | | | |
Class AG, 3% 1/25/49 | | 3,856,308 | 3,421,009 |
Class LB, 2.5% 10/25/47 | | 3,710,498 | 3,187,384 |
Class UA, 3% 4/25/50 | | 6,807,109 | 5,972,092 |
Series 2022-5210 Class TA, 3.5% 11/25/46 | | 5,050,698 | 4,615,115 |
Series 2114 Class ZM, 6% 1/15/29 | | 916 | 924 |
Series 2135 Class JE, 6% 3/15/29 | | 6,316 | 6,429 |
Series 2274 Class ZM, 6.5% 1/15/31 | | 8,570 | 8,606 |
Series 2281 Class ZB, 6% 3/15/30 | | 13,393 | 13,498 |
Series 2303 Class ZV, 6% 4/15/31 | | 6,970 | 7,037 |
Series 2357 Class ZB, 6.5% 9/15/31 | | 58,110 | 58,954 |
Series 2502 Class ZC, 6% 9/15/32 | | 17,612 | 17,981 |
Series 2519 Class ZD, 5.5% 11/15/32 | | 19,943 | 20,134 |
Series 2998 Class LY, 5.5% 7/15/25 | | 3,490 | 3,477 |
Series 3871 Class KB, 5.5% 6/15/41 | | 430,940 | 440,562 |
| Series 06-3115 Class SM, 6.480% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.1615% 2/15/36 (e)(o)(p) | | 27,116 | 2,163 |
| Series 1658 Class GZ, 7% 1/15/24 | | 82 | 82 |
| Series 2013-4281 Class AI, 4% 12/15/28 (o) | | 25,547 | 241 |
| Series 2017-4683 Class LM, 3% 5/15/47 | | 713,413 | 669,371 |
| Series 2020-5000 Class BA, 2% 4/25/45 | | 15,495,509 | 13,537,324 |
| Series 2020-5041: | | | |
Class LA, 1.5% 11/25/40 | | 3,590,606 | 2,902,611 |
Class LB, 3% 11/25/40 | | 4,934,031 | 4,370,720 |
| Series 2020-5046 Class PT, 1.5% 11/25/40 | | 2,723,720 | 2,199,940 |
| Series 2021-5083 Class VA, 1% 8/15/38 | | 20,858,097 | 19,294,169 |
| Series 2021-5176 Class AG, 2% 1/25/47 | | 25,639,887 | 21,325,948 |
| Series 2021-5182 Class A, 2.5% 10/25/48 | | 44,701,761 | 37,996,086 |
| Series 2022-5207 Class PA, 3% 6/25/51 | | 11,750,708 | 10,089,163 |
| Series 2022-5210 Class AB, 3% 1/25/42 | | 8,861,837 | 8,011,833 |
| Series 2022-5214 Class CB, 3.25% 4/25/52 | | 21,904,233 | 19,961,004 |
| Series 2022-5236 Class P, 5% 4/25/48 | | 7,086,003 | 6,972,173 |
| Series 2022-5266 Class CD, 4.5% 10/25/44 | | 13,600,342 | 13,214,427 |
| Series 2380 Class SY, 8.080% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 2.7615% 11/15/31 (e)(o)(p) | | 6,581 | 212 |
| Series 2587 Class IM, 6.5% 3/15/33 (o) | | 2,318 | 385 |
| Series 2933 Class ZM, 5.75% 2/15/35 | | 377,534 | 383,569 |
| Series 2935 Class ZK, 5.5% 2/15/35 | | 302,861 | 306,969 |
| Series 2947 Class XZ, 6% 3/15/35 | | 156,285 | 159,794 |
| Series 2996 Class ZD, 5.5% 6/15/35 | | 258,992 | 260,930 |
| Series 3237 Class C, 5.5% 11/15/36 | | 341,364 | 342,100 |
| Series 3244 Class SG, 6.540% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.2215% 11/15/36 (e)(o)(p) | | 109,611 | 9,244 |
| Series 3336 Class LI, 6.460% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.1415% 6/15/37 (e)(o)(p) | | 71,749 | 7,244 |
| Series 3949 Class MK, 4.5% 10/15/34 | | 151,872 | 149,144 |
| Series 4055 Class BI, 3.5% 5/15/31 (o) | | 52,280 | 762 |
| Series 4149 Class IO, 3% 1/15/33 (o) | | 38,989 | 2,944 |
| Series 4314 Class AI, 5% 3/15/34 (o) | | 12,851 | 279 |
| Series 4427 Class LI, 3.5% 2/15/34 (o) | | 248,623 | 13,273 |
| Series 4471 Class PA 4% 12/15/40 | | 249,294 | 241,939 |
| target amortization class: | | | |
Series 2007-3366 Class FD, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.360% 5.6885% 5/15/37 (e)(i) | | 85,363 | 83,046 |
Series 2156 Class TC, 6.25% 5/15/29 | | 5,672 | 5,676 |
| Freddie Mac Manufactured Housing participation certificates guaranteed: | | | |
| floater Series 1686 Class FA, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.010% 6.3385% 2/15/24 (e)(i) | | 25 | 25 |
| planned amortization class Series 2043 Class CJ, 6.5% 4/15/28 | | 2,520 | 2,528 |
| sequential payer: | | | |
Series 2043 Class ZH, 6% 4/15/28 | | 7,334 | 7,383 |
Series 2056 Class Z, 6% 5/15/28 | | 16,945 | 17,090 |
| Freddie Mac Multi-family Structured pass-thru certificates: | | | |
| floater Series 4795 Class FA, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.410% 5.7385% 5/15/48 (e)(i) | | 858,364 | 815,825 |
| planned amortization class Series 20XX-5165 Class PC, 1.5% 11/25/51 | | 6,634,904 | 5,341,349 |
| sequential payer: | | | |
Series 2021-5159: | | | |
Class EA, 2.5% 8/25/48 | | 5,017,192 | 4,242,630 |
Class GC, 2% 11/25/47 | | 5,525,868 | 4,694,756 |
Series 2021-5164 Class M, 2.5% 7/25/48 | | 5,122,062 | 4,332,759 |
| Series 4386 Class AZ, 4.5% 11/15/40 | | 797,161 | 762,303 |
| Freddie Mac Seasoned Credit Risk Transfer Trust: | | | |
| sequential payer: | | | |
Series 2018-3 Class MA, 3.5% 8/25/57 | | 5,627,758 | 5,259,699 |
Series 2018-4 Class MA, 3.5% 3/25/58 | | 2,234,649 | 2,062,360 |
Series 2019-1 Class MA, 3.5% 7/25/58 | | 3,744,883 | 3,483,355 |
| Series 2018-3 Class M55D, 4% 8/25/57 | | 328,386 | 295,039 |
| Ginnie Mae guaranteed REMIC pass-thru certificates: | | | |
| floater: | | | |
Series 2007-37 Class TS, 6.570% - CME Term SOFR 1 Month Index 1.246% 6/16/37 (e)(o)(p) | | 46,850 | 4,272 |
Series 2010-H03 Class FA, CME Term SOFR 1 Month Index + 0.660% 5.9905% 3/20/60 (e)(i)(r) | | 327,009 | 325,841 |
Series 2010-H17 Class FA, CME Term SOFR 1 Month Index + 0.440% 5.7705% 7/20/60 (e)(i)(r) | | 78,762 | 78,248 |
Series 2010-H18 Class AF, CME Term SOFR 1 Month Index + 0.410% 5.7386% 9/20/60 (e)(i)(r) | | 73,910 | 73,343 |
Series 2010-H19 Class FG, CME Term SOFR 1 Month Index + 0.410% 5.7386% 8/20/60 (e)(i)(r) | | 63,700 | 63,221 |
Series 2010-H27 Class FA, CME Term SOFR 1 Month Index + 0.380% 5.8186% 12/20/60 (e)(i)(r) | | 181,579 | 180,542 |
Series 2011-H05 Class FA, CME Term SOFR 1 Month Index + 0.610% 5.9386% 12/20/60 (e)(i)(r) | | 139,633 | 139,072 |
Series 2011-H07 Class FA, CME Term SOFR 1 Month Index + 0.610% 5.9386% 2/20/61 (e)(i)(r) | | 122,175 | 121,583 |
Series 2011-H12 Class FA, CME Term SOFR 1 Month Index + 0.600% 5.9286% 2/20/61 (e)(i)(r) | | 185,364 | 184,446 |
Series 2011-H13 Class FA, CME Term SOFR 1 Month Index + 0.610% 5.9386% 4/20/61 (e)(i)(r) | | 149,789 | 149,176 |
Series 2011-H14: | | | |
Class FB, CME Term SOFR 1 Month Index + 0.610% 5.9386% 5/20/61 (e)(i)(r) | | 235,331 | 234,559 |
Class FC, CME Term SOFR 1 Month Index + 0.610% 5.9386% 5/20/61 (e)(i)(r) | | 165,475 | 164,832 |
Series 2011-H17 Class FA, CME Term SOFR 1 Month Index + 0.640% 5.9686% 6/20/61 (e)(i)(r) | | 178,233 | 177,586 |
Series 2011-H20 Class FA, CME Term SOFR 1 Month Index + 0.660% 5.9886% 9/20/61 (e)(i)(r) | | 530,122 | 528,305 |
Series 2011-H21 Class FA, CME Term SOFR 1 Month Index + 0.710% 6.0386% 10/20/61 (e)(i)(r) | | 196,971 | 196,424 |
Series 2012-H01 Class FA, CME Term SOFR 1 Month Index + 0.810% 6.1386% 11/20/61 (e)(i)(r) | | 203,258 | 202,915 |
Series 2012-H03 Class FA, CME Term SOFR 1 Month Index + 0.810% 6.1386% 1/20/62 (e)(i)(r) | | 99,353 | 99,168 |
Series 2012-H06 Class FA, CME Term SOFR 1 Month Index + 0.740% 6.0686% 1/20/62 (e)(i)(r) | | 181,730 | 181,187 |
Series 2012-H07 Class FA, CME Term SOFR 1 Month Index + 0.740% 6.0686% 3/20/62 (e)(i)(r) | | 97,313 | 96,959 |
Series 2012-H21 Class DF, CME Term SOFR 1 Month Index + 0.760% 4.8706% 5/20/61 (e)(i)(r) | | 4,431 | 4,389 |
Series 2014-H03 Class FA, CME Term SOFR 1 Month Index + 0.710% 6.0386% 1/20/64 (e)(i)(r) | | 101,398 | 101,096 |
Series 2014-H05 Class FB, CME Term SOFR 1 Month Index + 0.710% 6.0386% 12/20/63 (e)(i)(r) | | 340,753 | 340,075 |
Series 2014-H11 Class BA, CME Term SOFR 1 Month Index + 0.610% 5.9386% 6/20/64 (e)(i)(r) | | 139,005 | 138,439 |
Series 2015-H13 Class FL, CME Term SOFR 1 Month Index + 0.390% 5.7186% 5/20/63 (e)(i)(r) | | 3,223 | 3,019 |
Series 2015-H19 Class FA, CME Term SOFR 1 Month Index + 0.310% 5.6386% 4/20/63 (e)(i)(r) | | 5,734 | 5,656 |
Series 2016-H20 Class FM, CME Term SOFR 1 Month Index + 0.510% 5.8386% 12/20/62 (e)(i)(r) | | 11,940 | 11,710 |
Series 2019-23 Class NF, CME Term SOFR 1 Month Index + 0.560% 5.8956% 2/20/49 (e)(i) | | 2,039,829 | 1,981,043 |
| planned amortization class: | | | |
Series 2011-136 Class WI, 4.5% 5/20/40 (o) | | 13,715 | 881 |
Series 2016-69 Class WA, 3% 2/20/46 | | 297,044 | 267,499 |
Series 2017-134 Class BA, 2.5% 11/20/46 | | 110,412 | 97,212 |
Series 2017-153 Class GA, 3% 9/20/47 | | 957,526 | 840,449 |
Series 2017-182 Class KA, 3% 10/20/47 | | 755,663 | 670,836 |
Series 2018-13 Class Q, 3% 4/20/47 | | 944,679 | 855,914 |
| sequential payer: | | | |
Series 2004-24 Class ZM, 5% 4/20/34 | | 130,291 | 127,002 |
Series 2010-160 Class DY, 4% 12/20/40 | | 980,031 | 931,990 |
Series 2010-170 Class B, 4% 12/20/40 | | 216,012 | 205,376 |
Series 2017-139 Class BA, 3% 9/20/47 | | 2,906,859 | 2,559,835 |
| Series 2004-32 Class GS, 6.380% - CME Term SOFR 1 Month Index 1.056% 5/16/34 (e)(o)(p) | | 32,090 | 2,025 |
| Series 2004-73 Class AL, 7.080% - CME Term SOFR 1 Month Index 1.756% 8/17/34 (e)(o)(p) | | 23,834 | 1,995 |
| Series 2010-116 Class QB, 4% 9/16/40 | | 68,072 | 65,249 |
| Series 2010-H10 Class FA, CME Term SOFR 1 Month Index + 0.440% 5.7705% 5/20/60 (e)(i)(r) | | 209,151 | 207,852 |
| Series 2011-52 Class HI, 7% 4/16/41 (o) | | 27,363 | 4,009 |
| Series 2011-94 Class SA, 5.980% - CME Term SOFR 1 Month Index 0.6545% 7/20/41 (e)(o)(p) | | 84,133 | 6,998 |
| Series 2013-149 Class MA, 2.5% 5/20/40 | | 650,364 | 621,854 |
| Series 2014-2 Class BA, 3% 1/20/44 | | 1,816,920 | 1,622,926 |
| Series 2014-21 Class HA, 3% 2/20/44 | | 672,591 | 602,007 |
| Series 2014-25 Class HC, 3% 2/20/44 | | 1,143,016 | 1,016,585 |
| Series 2014-5 Class A, 3% 1/20/44 | | 959,830 | 857,651 |
| Series 2015-H13 Class HA, 2.5% 8/20/64 (r) | | 10,793 | 10,086 |
| Series 2016-H13 Class FB, U.S. TREASURY 1 YEAR INDEX + 0.500% 5.96% 5/20/66 (e)(i)(r) | | 635,377 | 633,430 |
| Series 2017-186 Class HK, 3% 11/16/45 | | 983,054 | 877,581 |
| Series 2017-H06 Class FA, U.S. TREASURY 1 YEAR INDEX + 0.350% 5.81% 8/20/66 (e)(i)(r) | | 1,151,518 | 1,146,981 |
| Ginnie Mae REMIC Trust Series 2015-H17 Class GZ, 4.3033% 5/20/65 (e)(r) | | 28,402 | 27,625 |
TOTAL U.S. GOVERNMENT AGENCY | | | 756,554,081 |
| TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $1,113,668,449) | | | 1,076,453,530 |
| | | | |
| Commercial Mortgage Securities - 3.8% |
| | | Principal Amount (a) | Value ($) |
| BAMLL Commercial Mortgage Securities Trust: | | | |
| floater Series 2022-DKLX: | | | |
Class A, CME Term SOFR 1 Month Index + 1.150% 6.473% 1/15/39 (b)(e)(i) | | 12,973,862 | 12,646,569 |
Class B, CME Term SOFR 1 Month Index + 1.550% 6.873% 1/15/39 (b)(e)(i) | | 2,064,000 | 2,002,223 |
Class C, CME Term SOFR 1 Month Index + 2.150% 7.473% 1/15/39 (b)(e)(i) | | 1,474,000 | 1,422,111 |
| sequential payer Series 2019-BPR: | | | |
Class AMP, 3.287% 11/5/32 (b) | | 10,500,000 | 9,616,259 |
Class ANM, 3.112% 11/5/32 (b) | | 6,380,000 | 5,733,527 |
| Series 2019-BPR: | | | |
Class BNM, 3.465% 11/5/32 (b) | | 1,295,000 | 1,058,890 |
Class CNM, 3.8425% 11/5/32 (b)(e) | | 536,000 | 395,057 |
| BANK: | | | |
| sequential payer: | | | |
Series 2017-BNK9 Class A4, 3.538% 11/15/54 | | 11,067,000 | 10,190,182 |
Series 2018-BN10: | | | |
| Class A4, 3.428% 2/15/61 | | 7,450,721 | 6,851,617 |
| Class A5, 3.688% 2/15/61 | | 40,101,000 | 37,096,633 |
Series 2018-BN14: | | | |
| Class A4, 4.231% 9/15/60 | | 10,750,000 | 10,107,889 |
| Class ASB, 4.185% 9/15/60 | | 6,058,221 | 5,882,892 |
Series 2018-BN15 Class ASB, 4.285% 11/15/61 | | 1,347,022 | 1,309,066 |
Series 2019-BN21 Class A5, 2.851% 10/17/52 | | 1,112,000 | 948,486 |
Series 2019-BN23 Class ASB, 2.846% 12/15/52 | | 3,300,000 | 3,033,282 |
Series 2021-BN35 Class ASB, 2.067% 6/15/64 | | 1,200,000 | 1,018,530 |
Series 2023-5YR1: | | | |
| Class A2, 5.779% 4/15/56 | | 26,590,000 | 26,478,641 |
| Class A3, 6.26% 4/15/56 | | 31,590,000 | 32,058,852 |
| Series 2020-BN25 Class XB, 0.532% 1/15/63 (e)(o) | | 30,600,000 | 689,452 |
| Series 2021-BN33 Class XA, 1.167% 5/15/64 (e)(o) | | 102,672,916 | 5,346,364 |
| Bank 2018-Bnk13 sequential payer Series 2018-BN13 Class A4, 3.953% 8/15/61 | | 6,489,939 | 6,029,319 |
| BANK Trust sequential payer Series 2017-BNK5 Class A5, 3.39% 6/15/60 | | 10,059,000 | 9,290,965 |
| Bank5 2023-5Yr4 sequential payer Series 2023-5YR4 Class A3, 6.683% 12/15/56 | | 10,700,000 | 11,020,647 |
| Barclays Commercial Mortgage Securities LLC sequential payer Series 2019-C5 Class ASB, 2.99% 11/15/52 | | 1,896,629 | 1,769,482 |
| Bayview Commercial Asset Trust floater: | | | |
| Series 2005-3A: | | | |
Class A2, CME Term SOFR 1 Month Index + 0.710% 5.8574% 11/25/35 (b)(e)(i) | | 24,278 | 22,011 |
Class M1, CME Term SOFR 1 Month Index + 0.770% 5.8974% 11/25/35 (b)(e)(i) | | 6,494 | 5,769 |
| Series 2005-4A: | | | |
Class A2, CME Term SOFR 1 Month Index + 0.690% 6.0424% 1/25/36 (b)(e)(i) | | 59,120 | 53,460 |
Class M1, CME Term SOFR 1 Month Index + 0.780% 6.1324% 1/25/36 (b)(e)(i) | | 19,086 | 17,263 |
Class M2, CME Term SOFR 1 Month Index + 0.810% 6.1624% 1/25/36 (b)(e)(i) | | 7,197 | 6,521 |
Class M3, CME Term SOFR 1 Month Index + 0.860% 6.2074% 1/25/36 (b)(e)(i) | | 10,475 | 9,495 |
| Series 2006-1: | | | |
Class A2, CME Term SOFR 1 Month Index + 0.650% 5.9974% 4/25/36 (b)(e)(i) | | 10,054 | 9,026 |
Class M1, CME Term SOFR 1 Month Index + 0.680% 6.0274% 4/25/36 (b)(e)(i) | | 6,079 | 5,432 |
Class M2, CME Term SOFR 1 Month Index + 0.710% 6.0574% 4/25/36 (b)(e)(i) | | 6,430 | 5,886 |
Class M6, CME Term SOFR 1 Month Index + 1.070% 6.4174% 4/25/36 (b)(e)(i) | | 6,079 | 5,260 |
| Series 2006-2A: | | | |
Class M1, CME Term SOFR 1 Month Index + 0.570% 5.9224% 7/25/36 (b)(e)(i) | | 8,900 | 8,379 |
Class M2, CME Term SOFR 1 Month Index + 0.600% 5.9524% 7/25/36 (b)(e)(i) | | 6,324 | 5,723 |
Class M4, CME Term SOFR 1 Month Index + 0.740% 6.0874% 7/25/36 (b)(e)(i) | | 5,973 | 5,582 |
| Series 2006-4A: | | | |
Class A2, CME Term SOFR 1 Month Index + 0.510% 5.8624% 12/25/36 (b)(e)(i) | | 131,287 | 119,909 |
Class M1, CME Term SOFR 1 Month Index + 0.540% 5.8924% 12/25/36 (b)(e)(i) | | 10,551 | 9,662 |
Class M3, CME Term SOFR 1 Month Index + 0.620% 5.9674% 12/25/36 (b)(e)(i) | | 7,152 | 6,612 |
| Series 2007-1 Class A2, CME Term SOFR 1 Month Index + 0.510% 5.8624% 3/25/37 (b)(e)(i) | | 32,006 | 28,670 |
| Series 2007-2A: | | | |
Class A1, CME Term SOFR 1 Month Index + 0.380% 5.7274% 7/25/37 (b)(e)(i) | | 104,323 | 93,084 |
Class A2, CME Term SOFR 1 Month Index + 0.430% 5.7774% 7/25/37 (b)(e)(i) | | 97,645 | 86,329 |
Class M1, CME Term SOFR 1 Month Index + 0.480% 5.8274% 7/25/37 (b)(e)(i) | | 33,262 | 29,310 |
Class M2, CME Term SOFR 1 Month Index + 0.520% 5.8674% 7/25/37 (b)(e)(i) | | 21,671 | 19,144 |
Class M3, CME Term SOFR 1 Month Index + 0.600% 5.9474% 7/25/37 (b)(e)(i) | | 29,112 | 23,122 |
| Series 2007-3: | | | |
Class A2, CME Term SOFR 1 Month Index + 0.540% 5.8924% 7/25/37 (b)(e)(i) | | 36,237 | 31,875 |
Class M1, CME Term SOFR 1 Month Index + 0.570% 5.9224% 7/25/37 (b)(e)(i) | | 19,222 | 17,126 |
Class M2, CME Term SOFR 1 Month Index + 0.620% 5.9674% 7/25/37 (b)(e)(i) | | 20,510 | 18,039 |
Class M3, CME Term SOFR 1 Month Index + 0.660% 6.0124% 7/25/37 (b)(e)(i) | | 33,110 | 27,968 |
Class M4, CME Term SOFR 1 Month Index + 0.860% 6.2074% 7/25/37 (b)(e)(i) | | 52,056 | 44,647 |
Class M5, CME Term SOFR 1 Month Index + 1.010% 6.3574% 7/25/37 (b)(e)(i) | | 28,604 | 33,686 |
| Bbcms Mortgage Trust 2023-C21 sequential payer Series 2023-C21 Class A3, 6.5061% 9/15/56 (e) | | 14,543,000 | 14,782,621 |
| BCP Trust floater Series 2021-330N Class A, CME Term SOFR 1 Month Index + 0.910% 6.2365% 6/15/38 (b)(e)(i) | | 4,207,067 | 3,731,584 |
| Benchmark 2023-V3 Mtg Trust sequential payer Series 2023-V3 Class A3, 6.3629% 7/15/56 | | 8,300,000 | 8,491,293 |
| Benchmark 2023-V4 Mtg Trust sequential payer Series 2023-V4 Class A3, 6.8409% 11/15/56 | | 20,333,000 | 21,227,534 |
| Benchmark Mortgage Trust: | | | |
| sequential payer: | | | |
Series 2018-B1 Class ASB, 3.602% 1/15/51 | | 2,913,371 | 2,793,209 |
Series 2018-B2 Class ASB, 3.7802% 2/15/51 | | 3,130,636 | 3,025,210 |
Series 2018-B4 Class A5, 4.121% 7/15/51 | | 1,260,000 | 1,174,470 |
Series 2019-B10: | | | |
| Class A4, 3.717% 3/15/62 | | 2,283,000 | 2,069,638 |
| Class ASB, 3.615% 3/15/62 | | 9,050,000 | 8,595,963 |
Series 2019-B13 Class A4, 2.952% 8/15/57 | | 12,263,000 | 10,590,908 |
| Series 2018-B7 Class A2, 4.377% 5/15/53 | | 927,335 | 906,526 |
| Series 2018-B8 Class A5, 4.2317% 1/15/52 | | 15,369,000 | 14,144,831 |
| Series 2019-B12 Class XA, 1.1612% 8/15/52 (e)(o) | | 81,857,431 | 2,862,178 |
| Series 2019-B14 Class XA, 0.8975% 12/15/62 (e)(o) | | 128,914,423 | 3,464,859 |
| Series 2020-B17 Class XA, 1.5364% 3/15/53 (e)(o) | | 28,809,848 | 1,467,784 |
| Series 2020-B18 Class XA, 1.911% 7/15/53 (e)(o) | | 19,544,334 | 1,280,271 |
| Series 2020-B19 Class XA, 1.8795% 9/15/53 (e)(o) | | 11,130,178 | 739,259 |
| Series 2021-B27 Class XA, 1.3771% 7/15/54 (e)(o) | | 35,389,012 | 2,179,393 |
| BLOX Trust floater sequential payer Series 2021-BLOX Class A, CME Term SOFR 1 Month Index + 0.860% 6.1875% 9/15/26 (b)(e)(i) | | 21,008,136 | 20,161,544 |
| Bmo 2023-5C1 Mtg Trust sequential payer Series 2023-5C1 Class A3, 6.534% 8/15/56 | | 10,100,000 | 10,367,183 |
| Bmo 2023-C6 Mtg Trust Series 2023-C6 Class XA, 0.9828% 9/15/56 (e)(o) | | 225,378,795 | 12,719,748 |
| BPR Trust floater Series 2022-OANA: | | | |
| Class A, CME Term SOFR 1 Month Index + 1.890% 7.2209% 4/15/37 (b)(e)(i) | | 71,777,000 | 70,519,474 |
| Class B, CME Term SOFR 1 Month Index + 2.440% 7.7699% 4/15/37 (b)(e)(i) | | 11,281,000 | 10,925,056 |
| Bx 2021-Xl2 floater Series 2021-XL2 Class A, CME Term SOFR 1 Month Index + 0.800% 6.126% 10/15/38 (b)(e)(i) | | 1,204,954 | 1,175,458 |
| BX Commercial Mortgage Trust: | | | |
| floater: | | | |
Series 2021-PAC: | | | |
| Class A, CME Term SOFR 1 Month Index + 0.800% 6.1266% 10/15/36 (b)(e)(i) | | 21,819,512 | 21,305,929 |
| Class B, CME Term SOFR 1 Month Index + 1.010% 6.3363% 10/15/36 (b)(e)(i) | | 9,701,000 | 9,387,426 |
| Class C, CME Term SOFR 1 Month Index + 1.210% 6.5361% 10/15/36 (b)(e)(i) | | 10,186,000 | 9,792,829 |
| Class D, CME Term SOFR 1 Month Index + 1.410% 6.7358% 10/15/36 (b)(e)(i) | | 3,579,000 | 3,418,396 |
| Class E, CME Term SOFR 1 Month Index + 2.060% 7.385% 10/15/36 (b)(e)(i) | | 11,390,000 | 10,878,903 |
Series 2021-VINO Class A, CME Term SOFR 1 Month Index + 0.760% 6.0898% 5/15/38 (b)(e)(i) | | 15,234,477 | 14,947,368 |
Series 2022-LP2: | | | |
| Class A, CME Term SOFR 1 Month Index + 1.010% 6.3358% 2/15/39 (b)(e)(i) | | 5,040,252 | 4,918,515 |
| Class B, CME Term SOFR 1 Month Index + 1.310% 6.6352% 2/15/39 (b)(e)(i) | | 6,537,261 | 6,340,412 |
| Class C, CME Term SOFR 1 Month Index + 1.560% 6.8846% 2/15/39 (b)(e)(i) | | 5,889,205 | 5,660,157 |
| Class D, CME Term SOFR 1 Month Index + 1.960% 7.2837% 2/15/39 (b)(e)(i) | | 5,889,205 | 5,601,063 |
| floater sequential payer Series 2019-CALM Class A, CME Term SOFR 1 Month Index + 0.990% 6.3135% 11/15/32 (b)(e)(i) | | 2,663,553 | 2,648,359 |
| Bx Commercial Mortgage Trust 2: | | | |
| floater Series 2019-IMC: | | | |
Class B, CME Term SOFR 1 Month Index + 1.340% 6.6693% 4/15/34 (b)(e)(i) | | 4,437,000 | 4,390,975 |
Class C, CME Term SOFR 1 Month Index + 1.640% 6.9693% 4/15/34 (b)(e)(i) | | 2,933,000 | 2,887,370 |
Class D, CME Term SOFR 1 Month Index + 1.940% 7.2693% 4/15/34 (b)(e)(i) | | 3,079,000 | 3,019,129 |
| floater sequential payer Series 2019-IMC Class A, CME Term SOFR 1 Month Index + 1.040% 6.3693% 4/15/34 (b)(e)(i) | | 14,129,000 | 14,019,071 |
| BX Trust: | | | |
| floater: | | | |
Series 2019-XL: | | | |
| Class B, CME Term SOFR 1 Month Index + 1.190% 6.5174% 10/15/36 (b)(e)(i) | | 12,138,850 | 12,046,402 |
| Class C, CME Term SOFR 1 Month Index + 1.360% 6.6874% 10/15/36 (b)(e)(i) | | 4,788,050 | 4,745,508 |
| Class D, CME Term SOFR 1 Month Index + 1.560% 6.8874% 10/15/36 (b)(e)(i) | | 10,906,350 | 10,795,607 |
| Class E, CME Term SOFR 1 Month Index + 1.910% 7.2374% 10/15/36 (b)(e)(i) | | 9,529,350 | 9,423,972 |
Series 2021-ACNT Class A, CME Term SOFR 1 Month Index + 0.960% 6.2875% 11/15/38 (b)(e)(i) | | 1,550,063 | 1,519,910 |
Series 2021-BXMF Class A, CME Term SOFR 1 Month Index + 0.750% 6.0734% 10/15/26 (b)(e)(i) | | 16,858,675 | 16,483,020 |
Series 2022-GPA Class A, CME Term SOFR 1 Month Index + 2.160% 7.4879% 8/15/39 (b)(e)(i) | | 24,098,000 | 24,120,638 |
Series 2022-IND: | | | |
| Class A, CME Term SOFR 1 Month Index + 1.490% 6.8139% 4/15/37 (b)(e)(i) | | 17,340,895 | 17,079,852 |
| Class B, CME Term SOFR 1 Month Index + 1.940% 7.2629% 4/15/37 (b)(e)(i) | | 8,839,744 | 8,695,589 |
| Class C, CME Term SOFR 1 Month Index + 2.290% 7.6129% 4/15/37 (b)(e)(i) | | 2,475,283 | 2,428,708 |
| Class D, CME Term SOFR 1 Month Index + 2.830% 8.1619% 4/15/37 (b)(e)(i) | | 1,669,772 | 1,629,978 |
| floater sequential payer: | | | |
Series 2019-XL Class A, CME Term SOFR 1 Month Index + 1.030% 6.3574% 10/15/36 (b)(e)(i) | | 100,422,678 | 100,167,685 |
Series 2021-MFM1 Class A, CME Term SOFR 1 Month Index + 0.810% 6.1375% 1/15/34 (b)(e)(i) | | 5,493,322 | 5,406,973 |
Series 2021-SOAR Class A, CME Term SOFR 1 Month Index + 0.780% 6.1075% 6/15/38 (b)(e)(i) | | 25,105,177 | 24,624,250 |
| CAMB Commercial Mortgage Trust floater Series 2019-LIFE: | | | |
| Class A, CME Term SOFR 1 Month Index + 1.110% 6.44% 12/15/37 (b)(e)(i) | | 20,276,000 | 20,161,463 |
| Class B, CME Term SOFR 1 Month Index + 1.290% 6.62% 12/15/37 (b)(e)(i) | | 7,200,000 | 7,131,830 |
| CD Commercial Mortgage Trust sequential payer Series 2017-CD6 Class ASB, 3.332% 11/13/50 | | 14,135,912 | 13,539,614 |
| CD Mortgage Trust sequential payer Series 2017-CD5: | | | |
| Class A3, 3.171% 8/15/50 | | 17,950,000 | 16,452,387 |
| Class AAB, 3.22% 8/15/50 | | 632,950 | 605,666 |
| CF Hippolyta Issuer LLC sequential payer: | | | |
| Series 2020-1: | | | |
Class A1, 1.69% 7/15/60 (b) | | 28,296,507 | 25,902,337 |
Class A2, 1.99% 7/15/60 (b) | | 10,108,270 | 8,550,495 |
| Series 2021-1A Class A1, 1.53% 3/15/61 (b) | | 15,360,984 | 13,539,799 |
| CFCRE Commercial Mortgage Trust sequential payer: | | | |
| Series 2016-C7 Class A2, 3.5853% 12/10/54 | | 8,445,777 | 7,858,053 |
| Series 2017-C8 Class A3, 3.3048% 6/15/50 | | 17,489,806 | 16,084,960 |
| CGDB Commercial Mortgage Trust floater Series 2019-MOB: | | | |
| Class A, CME Term SOFR 1 Month Index + 1.060% 6.3874% 11/15/36 (b)(e)(i) | | 4,679,950 | 4,599,584 |
| Class B, CME Term SOFR 1 Month Index + 1.360% 6.6874% 11/15/36 (b)(e)(i) | | 1,600,000 | 1,561,682 |
| Cgms Commercial Mortgage Trust sequential payer Series 2017-B1: | | | |
| Class A3, 3.197% 8/15/50 | | 774,117 | 708,866 |
| Class A4, 3.458% 8/15/50 | | 2,800,000 | 2,557,999 |
| Citigroup Commercial Mortgage Trust: | | | |
| sequential payer: | | | |
Series 2014-GC23 Class A3, 3.356% 7/10/47 | | 994,099 | 981,861 |
Series 2016-GC37 Class AAB, 3.098% 4/10/49 | | 161,443 | 156,278 |
Series 2017-P7 Class AAB, 3.509% 4/14/50 | | 479,292 | 462,551 |
Series 2019-C7 Class A4, 3.102% 12/15/72 | | 10,211,702 | 8,847,924 |
| Series 2014-GC25 Class A/S, 4.017% 10/10/47 | | 7,354,000 | 7,102,878 |
| Series 2015-GC27 Class A5, 3.137% 2/10/48 | | 8,910,000 | 8,633,130 |
| Series 2015-GC33: | | | |
Class AAB, 3.522% 9/10/58 | | 2,821,674 | 2,754,689 |
Class XA, 1.021% 9/10/58 (e)(o) | | 1,449,126 | 17,788 |
| Series 2016-P6 Class XA, 0.6964% 12/10/49 (e)(o) | | 1,172,612 | 15,600 |
| Series 2019-GC41 Class XA, 1.1678% 8/10/56 (e)(o) | | 20,317,452 | 772,569 |
| COMM Mortgage Trust: | | | |
| sequential payer: | | | |
Series 2014-CR18 Class A5, 3.828% 7/15/47 | | 2,137,000 | 2,107,476 |
Series 2015 LC19 Class A3, 2.922% 2/10/48 | | 21,986,061 | 21,372,619 |
Series 2015-DC1 Class A4, 3.078% 2/10/48 | | 37,196,612 | 36,461,451 |
| Series 2013-CR13 Class AM, 4.449% 11/10/46 | | 1,009,943 | 994,794 |
| Series 2014-CR17 Class XA, 1.0583% 5/10/47 (e)(o) | | 2,669,936 | 1,939 |
| Series 2014-CR20 Class XA, 1.0726% 11/10/47 (e)(o) | | 330,386 | 1,349 |
| Series 2014-LC17 Class XA, 0.798% 10/10/47 (e)(o) | | 969,367 | 2,800 |
| Series 2014-UBS6 Class XA, 0.9675% 12/10/47 (e)(o) | | 2,487,123 | 11,431 |
| Credit Suisse Mortgage Trust: | | | |
| floater Series 2019-ICE4: | | | |
Class A, CME Term SOFR 1 Month Index + 1.020% 6.35% 5/15/36 (b)(e)(i) | | 25,302,052 | 25,245,006 |
Class B, CME Term SOFR 1 Month Index + 1.270% 6.6% 5/15/36 (b)(e)(i) | | 10,808,111 | 10,769,823 |
Class C, CME Term SOFR 1 Month Index + 1.470% 6.8% 5/15/36 (b)(e)(i) | | 17,618,168 | 17,516,050 |
| sequential payer Series 2020-NET Class A, 2.2569% 8/15/37 (b) | | 3,926,082 | 3,586,822 |
| Series 2018-SITE: | | | |
Class A, 4.284% 4/15/36 (b) | | 5,615,509 | 5,593,228 |
Class B, 4.5349% 4/15/36 (b) | | 1,471,000 | 1,459,893 |
Class C, 4.9414% 4/15/36 (b)(e) | | 955,000 | 945,935 |
Class D, 4.9414% 4/15/36 (b)(e) | | 1,909,000 | 1,887,037 |
| CSAIL Commercial Mortgage Trust sequential payer: | | | |
| Series 19-C15 Class A2, 3.4505% 3/15/52 | | 1,029,685 | 1,008,966 |
| Series 2015-1 Class A3, 3.3512% 4/15/50 | | 987,438 | 975,350 |
| Series 2020-C19 Class ASB, 2.5501% 3/15/53 | | 6,551,300 | 5,934,219 |
| DBJPM Mortgage Trust sequential payer Series 2017-C6 Class ASB, 3.121% 6/10/50 | | 3,389,646 | 3,242,574 |
| ELP Commercial Mortgage Trust floater Series 2021-ELP: | | | |
| Class A, CME Term SOFR 1 Month Index + 0.810% 6.1385% 11/15/38 (b)(e)(i) | | 63,861,685 | 62,498,992 |
| Class B, CME Term SOFR 1 Month Index + 1.230% 6.5577% 11/15/38 (b)(e)(i) | | 27,242,291 | 26,558,433 |
| Extended Stay America Trust floater Series 2021-ESH: | | | |
| Class A, CME Term SOFR 1 Month Index + 1.190% 6.5175% 7/15/38 (b)(e)(i) | | 29,370,852 | 29,029,628 |
| Class B, CME Term SOFR 1 Month Index + 1.490% 6.8175% 7/15/38 (b)(e)(i) | | 3,959,778 | 3,880,354 |
| Class C, CME Term SOFR 1 Month Index + 1.810% 7.1375% 7/15/38 (b)(e)(i) | | 2,965,141 | 2,899,975 |
| Class D, CME Term SOFR 1 Month Index + 2.360% 7.6875% 7/15/38 (b)(e)(i) | | 20,628,377 | 20,243,536 |
| Freddie Mac: | | | |
| sequential payer: | | | |
Series 2015-K049 Class A2, 3.01% 7/25/25 | | 2,543,000 | 2,454,863 |
Series 2016-K054 Class A2, 2.745% 1/25/26 | | 26,020,748 | 24,814,275 |
Series 2020-K117 Class A2, 1.406% 8/25/30 | | 20,350,000 | 16,289,255 |
Series 2021-K126 Class A2, 2.074% 1/25/31 | | 4,100,000 | 3,396,386 |
Series 2021-K127 Class A2, 2.108% 1/25/31 | | 45,755,000 | 37,941,913 |
Series 2021-K136 Class A2, 2.127% 11/25/31 | | 1,700,000 | 1,384,895 |
Series 2022-150 Class A2, 3.71% 9/25/32 | | 30,800,000 | 28,015,822 |
Series 2022-K141 Class A2, 2.25% 2/25/32 | | 10,466,000 | 8,573,801 |
Series 2022-K142 Class A2, 2.4% 3/25/32 | | 26,977,000 | 22,316,839 |
Series 2022-K143 Class A2, 2.35% 3/25/32 | | 4,000,000 | 3,291,017 |
Series 2022-K144 Class A2, 2.45% 4/25/32 | | 63,032,000 | 52,200,858 |
Series 2022-K145 Class A2, 2.58% 5/25/32 | | 10,307,000 | 8,612,350 |
Series 2022-K146 Class A2, 2.92% 6/25/32 | | 22,753,000 | 19,521,917 |
Series 2022-K147 Class A2, 3% 6/25/32 | | 27,709,000 | 23,912,712 |
Series 2022-K149 Class A2, 3.53% 8/25/32 | | 14,100,000 | 12,662,467 |
Series 2022-K750 Class A2, 3% 9/25/29 | | 75,249,000 | 68,368,164 |
Series 2023-154 Class A2, 4.35% 1/25/33 | | 7,048,574 | 6,716,664 |
Series 2023-155 Class A2, 4.25% 4/25/33 | | 4,740,000 | 4,479,089 |
Series 2023-158 Class A2, 4.05% 7/25/33 | | 940,000 | 873,304 |
Series 2023-K-153 Class A2, 3.82% 12/25/32 | | 8,490,000 | 7,771,310 |
Series 2023-K751 Class A2, 4.412% 3/25/30 | | 7,710,000 | 7,489,609 |
Series K065 Class A2, 3.243% 4/25/27 | | 18,275,000 | 17,338,894 |
Series K072 Class A2, 3.444% 12/25/27 | | 8,764,000 | 8,310,339 |
| Series 2017-K068 Class A2, 3.244% 8/25/27 | | 25,525,250 | 24,123,140 |
| Series 2017-K727 Class A2, 2.946% 7/25/24 | | 14,890,479 | 14,651,999 |
| Series 2021-K123 Class A2, 1.621% 12/25/30 | | 2,923,000 | 2,351,458 |
| Series 2022 K748 Class A2, 2.26% 1/25/29 | | 45,299,000 | 39,975,484 |
| Series K047 Class A2, 3.329% 5/25/25 | | 42,356,449 | 41,184,459 |
| Series K063 Class A2, 3.43% 1/25/27 | | 6,124,002 | 5,866,046 |
| Series K086 Class A2, 3.859% 11/25/28 | | 11,771,000 | 11,248,158 |
| Freddie Mac Multi-family Structured pass-thru certificates: | | | |
| sequential payer Series 2015 K045 Class A2, 3.023% 1/25/25 | | 22,094,307 | 21,493,057 |
| Series K044 Class A2, 2.811% 1/25/25 | | 48,983,494 | 47,589,875 |
| GS Mortgage Securities Trust: | | | |
| floater: | | | |
Series 2018-3PCK Class A, CME Term SOFR 1 Month Index + 2.060% 7.3875% 9/15/31 (b)(e)(i) | | 7,670,731 | 7,591,078 |
Series 2018-HART Class A, CME Term SOFR 1 Month Index + 1.140% 6.473% 10/15/31 (b)(e)(i) | | 2,285,756 | 2,080,835 |
Series 2021-IP: | | | |
| Class A, CME Term SOFR 1 Month Index + 1.060% 6.3875% 10/15/36 (b)(e)(i) | | 22,827,106 | 21,904,517 |
| Class B, CME Term SOFR 1 Month Index + 1.260% 6.5875% 10/15/36 (b)(e)(i) | | 1,654,000 | 1,545,588 |
| Class C, CME Term SOFR 1 Month Index + 1.660% 6.9875% 10/15/36 (b)(e)(i) | | 1,363,000 | 1,256,140 |
| sequential payer: | | | |
Series 2015-GC34 Class A3, 3.244% 10/10/48 | | 2,226,376 | 2,127,399 |
Series 2016-GC34 Class AAB, 3.278% 10/10/48 | | 1,107,581 | 1,078,591 |
Series 2017-GS6 Class A2, 3.164% 5/10/50 | | 4,096,129 | 3,774,623 |
Series 2018-GS10: | | | |
| Class A4, 3.89% 7/10/51 | | 15,685,681 | 14,512,649 |
| Class A5, 4.155% 7/10/51 | | 5,212,000 | 4,769,235 |
| Class AAB, 4.106% 7/10/51 | | 1,835,826 | 1,776,369 |
Series 2018-GS9 Class A4, 3.992% 3/10/51 | | 20,920,000 | 19,091,575 |
| Series 2011-GC5 Class A/S, 5.209% 8/10/44 (b)(e) | | 8,222,696 | 7,853,204 |
| Series 2013-GC13 Class A/S, 3.9554% 7/10/46 (b)(e) | | 2,630,770 | 2,476,239 |
| Series 2015-GC30 Class A/S, 3.777% 5/10/50 | | 2,860,805 | 2,683,134 |
| Intown Mortgage Trust floater sequential payer Series 2022-STAY Class A, CME Term SOFR 1 Month Index + 2.480% 7.8116% 8/15/39 (b)(e)(i) | | 53,036,000 | 53,135,692 |
| J.P. Morgan Chase Commercial Mortgage Securities Trust floater Series 2012-NLP Class A, CME Term SOFR 1 Month Index + 0.590% 5.9194% 4/15/37 (b)(e)(i) | | 18,158,800 | 16,518,585 |
| JP Morgan Chase Commercial Mortgage Securities Trust sequential payer Series 2021-2NU Class A, 1.9739% 1/5/40 (b) | | 24,200,000 | 18,193,456 |
| JPMBB Commercial Mortgage Securities Trust: | | | |
| sequential payer: | | | |
Series 2014-C21 Class A4, 3.4927% 8/15/47 | | 5,700,473 | 5,650,742 |
Series 2014-C22 Class A4, 3.8012% 9/15/47 | | 854,173 | 835,860 |
Series 2015-C29 Class A4, 3.6108% 5/15/48 | | 5,409,013 | 5,169,308 |
| Series 2013-C17 Class A/S, 4.4584% 1/15/47 | | 9,500,000 | 9,262,500 |
| JPMDB Commercial Mortgage Securities Trust sequential payer: | | | |
| Series 2017-C5 Class ASB, 3.4919% 3/15/50 | | 2,616,126 | 2,518,863 |
| Series 2018-C8 Class ASB, 4.145% 6/15/51 | | 8,039,410 | 7,770,506 |
| Series 2019-COR6 Class A4, 3.0565% 11/13/52 | | 2,872,000 | 2,325,665 |
| JPMorgan Chase Commercial Mortgage Securities Trust: | | | |
| floater Series 2019-BKWD Class A, CME Term SOFR 1 Month Index + 1.610% 6.9375% 9/15/29 (b)(e)(i) | | 4,937,713 | 4,550,339 |
| Series 2013-LC11 Class A/S, 3.216% 4/15/46 | | 1,881,082 | 1,734,358 |
| Series 2018-AON Class D, 4.767% 7/5/31 (b)(e) | | 1,846,000 | 1,030,310 |
| Series 2018-WPT: | | | |
Class AFX, 4.2475% 7/5/33 (b) | | 1,167,147 | 1,015,654 |
Class CFX, 4.9498% 7/5/33 (b) | | 767,000 | 583,075 |
Class DFX, 5.3503% 7/5/33 (b) | | 1,370,000 | 972,977 |
Class EFX, 5.3635% 7/5/33 (b)(e) | | 1,614,000 | 1,065,567 |
| LCCM Mortgage Loan Trust sequential payer Series 2017-LC26 Class A3, 3.289% 7/12/50 (b) | | 5,098,050 | 4,749,616 |
| Life Financial Services Trust floater Series 2022-BMR2: | | | |
| Class A1, CME Term SOFR 1 Month Index + 1.290% 6.6182% 5/15/39 (b)(e)(i) | | 41,080,997 | 40,230,288 |
| Class B, CME Term SOFR 1 Month Index + 1.790% 7.1168% 5/15/39 (b)(e)(i) | | 22,757,000 | 22,043,432 |
| Class C, CME Term SOFR 1 Month Index + 2.090% 7.416% 5/15/39 (b)(e)(i) | | 8,790,000 | 8,503,362 |
| Class D, CME Term SOFR 1 Month Index + 2.540% 7.8648% 5/15/39 (b)(e)(i) | | 8,790,000 | 8,272,479 |
| LIFE Mortgage Trust floater Series 2021-BMR: | | | |
| Class A, CME Term SOFR 1 Month Index + 0.810% 6.1375% 3/15/38 (b)(e)(i) | | 9,084,997 | 8,856,623 |
| Class B, CME Term SOFR 1 Month Index + 0.990% 6.3175% 3/15/38 (b)(e)(i) | | 2,889,932 | 2,806,392 |
| Class C, CME Term SOFR 1 Month Index + 1.210% 6.5375% 3/15/38 (b)(e)(i) | | 2,003,293 | 1,930,279 |
| Class D, CME Term SOFR 1 Month Index + 1.510% 6.8375% 3/15/38 (b)(e)(i) | | 2,785,737 | 2,666,705 |
| Class E, CME Term SOFR 1 Month Index + 1.860% 7.1875% 3/15/38 (b)(e)(i) | | 2,433,834 | 2,311,492 |
| Merit floater Series 2021-STOR Class A, CME Term SOFR 1 Month Index + 0.810% 6.1375% 7/15/38 (b)(e)(i) | | 11,210,236 | 10,992,005 |
| Morgan Stanley BAML Trust: | | | |
| sequential payer: | | | |
Series 2015-C20 Class ASB, 3.069% 2/15/48 | | 255,994 | 252,368 |
Series 2016-C28 Class A3, 3.272% 1/15/49 | | 5,124,962 | 4,836,427 |
| Series 2014-C17 Class ASB, 3.477% 8/15/47 | | 73,082 | 72,637 |
| Series 2015-C22 Class ASB, 3.04% 4/15/48 | | 537,498 | 526,531 |
| Series 2015-C25 Class XA, 1.1788% 10/15/48 (e)(o) | | 833,487 | 9,814 |
| Morgan Stanley Capital I Trust: | | | |
| floater Series 2018-BOP Class A, CME Term SOFR 1 Month Index + 0.890% 6.22% 8/15/33 (b)(e)(i) | | 134,441 | 111,584 |
| floater sequential payer Series 2019-NUGS Class A, CME Term SOFR 1 Month Index + 1.060% 6.3875% 12/15/36 (b)(e)(i) | | 9,700,000 | 7,420,500 |
| sequential payer: | | | |
Series 2017-H1 Class A4, 3.259% 6/15/50 | | 15,100,000 | 13,893,505 |
Series 2017-HR2: | | | |
| Class A3, 3.33% 12/15/50 | | 6,540,795 | 5,968,681 |
| Class A4, 3.587% 12/15/50 | | 7,467,886 | 6,842,847 |
Series 2018-L1 Class A3, 4.139% 10/15/51 | | 960,000 | 895,228 |
Series 2019-L2 Class A3, 3.806% 3/15/52 | | 19,925,000 | 18,208,575 |
Series 2019-MEAD Class A, 3.17% 11/10/36 (b) | | 17,584,985 | 16,072,590 |
| Series 2018-H4 Class A4, 4.31% 12/15/51 | | 4,191,000 | 3,920,047 |
| Series 2019-MEAD: | | | |
Class B, 3.283% 11/10/36 (b)(e) | | 1,783,000 | 1,568,249 |
Class C, 3.283% 11/10/36 (b)(e) | | 1,712,000 | 1,457,432 |
| Series 2021-L6 Class XA, 1.325% 6/15/54 (e)(o) | | 28,491,265 | 1,579,450 |
| Natixis Commercial Mortgage Securities Trust sequential payer Series 2020-2PAC Class A, 2.966% 12/15/38 (b) | | 10,362,382 | 9,099,701 |
| NYT Mortgage Trust floater Series 2019-NYT Class A, CME Term SOFR 1 Month Index + 1.240% 6.57% 12/15/35 (b)(e)(i) | | 20,822,000 | 19,401,240 |
| Open Trust 2023-Air sequential payer Series 2023-AIR: | | | |
| Class A, CME Term SOFR 1 Month Index + 3.080% 8.4131% 10/15/28 (b)(e)(i) | | 20,130,000 | 20,129,986 |
| Class B, CME Term SOFR 1 Month Index + 3.830% 9.162% 10/15/28 (b)(e)(i) | | 12,129,000 | 12,102,133 |
| OPG Trust floater Series 2021-PORT Class A, CME Term SOFR 1 Month Index + 0.590% 5.9215% 10/15/36 (b)(e)(i) | | 32,962,743 | 32,093,770 |
| Prima Capital Ltd.: | | | |
| floater Series 2021-9A Class B, CME Term SOFR 1 Month Index + 1.910% 7.2456% 12/15/37 (b)(e)(i) | | 4,403,000 | 4,291,249 |
| floater sequential payer Series 2021-9A Class A, CME Term SOFR 1 Month Index + 1.560% 6.898% 12/15/37 (b)(e)(i) | | 800,004 | 797,631 |
| RLGH Trust floater Series 2021-TROT Class A, CME Term SOFR 1 Month Index + 0.910% 6.2375% 4/15/36 (b)(e)(i) | | 23,000,000 | 22,415,050 |
| SLG Office Trust Series 2021-OVA Class X, 0.258% 7/15/41 (b)(e)(o) | | 213,942,750 | 2,994,172 |
| SPGN Mortgage Trust floater Series 2022-TFLM: | | | |
| Class B, CME Term SOFR 1 Month Index + 2.000% 7.3229% 2/15/39 (b)(e)(i) | | 4,954,000 | 4,655,689 |
| Class C, CME Term SOFR 1 Month Index + 2.650% 7.9729% 2/15/39 (b)(e)(i) | | 2,576,000 | 2,395,042 |
| SREIT Trust floater: | | | |
| Series 2021-FLWR Class A, CME Term SOFR 1 Month Index + 0.690% 6.014% 7/15/36 (b)(e)(i) | | 9,074,000 | 8,874,563 |
| Series 2021-MFP: | | | |
Class A, CME Term SOFR 1 Month Index + 0.840% 6.1682% 11/15/38 (b)(e)(i) | | 37,431,128 | 36,737,316 |
Class B, CME Term SOFR 1 Month Index + 1.190% 6.5172% 11/15/38 (b)(e)(i) | | 19,027,000 | 18,624,246 |
Class C, CME Term SOFR 1 Month Index + 1.440% 6.7664% 11/15/38 (b)(e)(i) | | 5,710,000 | 5,538,636 |
Class D, CME Term SOFR 1 Month Index + 1.690% 7.0156% 11/15/38 (b)(e)(i) | | 3,430,000 | 3,324,529 |
| UBS Commercial Mortgage Trust: | | | |
| sequential payer: | | | |
Series 2017-C1 Class ASB, 3.462% 11/15/50 | | 1,113,593 | 1,071,554 |
Series 2017-C5 Class ASB, 3.345% 11/15/50 | | 1,842,306 | 1,761,639 |
Series 2017-C7 Class ASB, 3.586% 12/15/50 | | 810,221 | 779,705 |
Series 2018-C12 Class ASB, 4.1945% 8/15/51 | | 1,102,793 | 1,069,663 |
Series 2018-C8 Class ASB, 3.903% 2/15/51 | | 1,272,989 | 1,227,271 |
Series 2018-C9 Class A4, 4.117% 3/15/51 | | 3,794,061 | 3,475,655 |
Series 2019-C17 Class ASB, 2.8655% 10/15/52 | | 11,900,000 | 10,960,099 |
| Series 2017-C7 Class XA, 1.1539% 12/15/50 (e)(o) | | 28,203,387 | 853,818 |
| VLS Commercial Mortgage Trust: | | | |
| sequential payer Series 2020-LAB Class A, 2.13% 10/10/42 (b) | | 14,678,994 | 11,386,896 |
| Series 2020-LAB: | | | |
Class B, 2.453% 10/10/42 (b) | | 470,000 | 365,232 |
Class X, 0.5162% 10/10/42 (b)(e)(o) | | 58,746,457 | 1,399,258 |
| Wells Fargo Commercial Mortgage Trust: | | | |
| floater Series 2021-FCMT Class A, CME Term SOFR 1 Month Index + 1.310% 6.6375% 5/15/31 (b)(e)(i) | | 16,435,000 | 15,939,463 |
| sequential payer: | | | |
Series 2015-C26 Class A4, 3.166% 2/15/48 | | 11,250,000 | 10,830,763 |
Series 2015-C29 Class ASB, 3.4% 6/15/48 | | 1,632,113 | 1,603,247 |
Series 2016-C32 Class A3, 3.294% 1/15/59 | | 4,392,711 | 4,188,993 |
Series 2017-C40 Class ASB, 3.395% 10/15/50 | | 786,981 | 754,431 |
Series 2017-C41 Class ASB, 3.39% 11/15/50 | | 134,901 | 129,569 |
Series 2017-RC1 Class ASB, 3.453% 1/15/60 | | 650,986 | 624,833 |
Series 2018-C44 Class ASB, 4.167% 5/15/51 | | 902,266 | 874,857 |
Series 2019-C49 Class ASB, 3.933% 3/15/52 | | 11,774,000 | 11,305,936 |
Series 2019-C52 Class A5, 2.892% 8/15/52 | | 3,829,000 | 3,291,138 |
Series 2019-C54 Class ASB, 3.063% 12/15/52 | | 1,900,000 | 1,757,602 |
Series 2021-C61 Class ASB, 2.525% 11/15/54 | | 2,700,000 | 2,339,336 |
| Series 2015-SG1 Class ASB, 3.556% 9/15/48 | | 1,349,447 | 1,328,291 |
| Series 2017-C42 Class XA, 1.0052% 12/15/50 (e)(o) | | 1,401,546 | 39,295 |
| Series 2018-C46 Class XA, 1.0822% 8/15/51 (e)(o) | | 29,315,760 | 678,290 |
| Series 2018-C48 Class A5, 4.302% 1/15/52 | | 3,836,000 | 3,594,057 |
| Series 2019-C54 Class XA, 0.9496% 12/15/52 (e)(o) | | 62,674,585 | 2,346,104 |
| WF-RBS Commercial Mortgage Trust Series 2014-C25 Class A5, 3.631% 11/15/47 | | 3,448,416 | 3,351,154 |
| TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $2,640,982,890) | | | 2,565,632,888 |
| | | | |
| Municipal Securities - 0.0% |
| | | Principal Amount (a) | Value ($) |
| American Muni. Pwr., Inc. Rev. (Combined Hydroelectric Proj.) Series 2010 B, 8.084% 2/15/50 | | 870,000 | 1,125,494 |
| California Gen. Oblig. Series 2010, 7.625% 3/1/40 | | 190,000 | 226,358 |
| Chicago Board of Ed. Series 2009 G, 1.75% 12/15/25 | | 4,720,000 | 4,276,237 |
| New York City Transitional Fin. Auth. Rev. Series 2017 E, 2.85% 2/1/24 | | 520,000 | 517,709 |
| TOTAL MUNICIPAL SECURITIES (Cost $6,574,130) | | | 6,145,798 |
| | | | |
| Foreign Government and Government Agency Obligations - 0.1% |
| | | Principal Amount (a) | Value ($) |
| German Federal Republic: | | | |
| 1% 5/15/38(Reg. S) | EUR | 10,325,000 | 9,010,678 |
| 1.25% 8/15/48 (l) | EUR | 3,665,000 | 2,973,671 |
| 2.1% 11/15/29(Reg. S) | EUR | 7,500,000 | 8,048,151 |
| 2.2% 12/12/24(Reg. S) | EUR | 2,025,000 | 2,179,022 |
| 2.6% 8/15/33(Reg. S) | EUR | 1,000,000 | 1,101,680 |
| 3.1% 9/18/25(Reg. S) | EUR | 2,000,000 | 2,183,749 |
| Panamanian Republic 3.298% 1/19/33 | | 18,075,000 | 13,679,160 |
| United Kingdom, Great Britain and Northern Ireland 1% 4/22/24(Reg. S) | GBP | 3,774,000 | 4,689,388 |
| United Mexican States: | | | |
| 3.25% 4/16/30 | | 1,247,000 | 1,094,243 |
| 3.5% 2/12/34 | | 1,035,000 | 841,455 |
| 4.5% 4/22/29 | | 3,114,000 | 2,986,326 |
| TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $55,263,890) | | | 48,787,523 |
| | | | |
| Supranational Obligations - 0.0% |
| | | Principal Amount (a) | Value ($) |
| European Investment Bank: | | | |
| 0% 6/17/27 | EUR | 700,000 | 688,815 |
| 0% 1/14/31 (Reg. S) | EUR | 4,100,000 | 3,625,128 |
| 3% 11/15/28 (Reg. S) | EUR | 1,000,000 | 1,092,739 |
| 4.5% 10/15/25 | EUR | 700,000 | 781,000 |
| European Union: | | | |
| 0% 10/4/28 (Reg. S) | EUR | 300,000 | 284,260 |
| 2.75% 10/5/26 (Reg. S) | EUR | 1,100,000 | 1,190,554 |
| TOTAL SUPRANATIONAL OBLIGATIONS (Cost $7,397,842) | | | 7,662,496 |
| | | | |
| Bank Loan Obligations - 0.0% |
| | | Principal Amount (a) | Value ($) |
| HEALTH CARE - 0.0% | | | |
| Health Care Providers & Services - 0.0% | | | |
| Cano Health, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.533% 11/23/27 (e)(i)(s) | | 496,212 | 205,099 |
| INDUSTRIALS - 0.0% | | | |
| Ground Transportation - 0.0% | | | |
| Genesee & Wyoming, Inc. 1LN, term loan CME Term SOFR 3 Month Index + 2.000% 7.4901% 12/30/26 (e)(i)(s) | | 753,824 | 754,020 |
| MATERIALS - 0.0% | | | |
| Chemicals - 0.0% | | | |
| Olympus Water U.S. Holding Corp. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 3.750% 9.4017% 11/9/28 (e)(i)(s) | | 1,662,273 | 1,649,108 |
| Containers & Packaging - 0.0% | | | |
| Clydesdale Acquisition Holdings, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 4.170% 9.6234% 4/13/29 (e)(i)(s) | | 1,284,045 | 1,273,208 |
TOTAL MATERIALS | | | 2,922,316 |
| UTILITIES - 0.0% | | | |
| Electric Utilities - 0.0% | | | |
| Brookfield WEC Holdings, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.0741% 8/1/25 (e)(i)(s) | | 237,600 | 237,897 |
| TOTAL BANK LOAN OBLIGATIONS (Cost $4,292,526) | | | 4,119,332 |
| | | | |
| Bank Notes - 0.0% |
| | | Principal Amount (a) | Value ($) |
| Discover Bank 5.974% 8/9/28 (e) | | 2,954,000 | 2,742,989 |
| First Citizens Bank & Trust Co. 2.969% 9/27/25 (e) | | 2,324,000 | 2,253,876 |
| KeyBank NA 6.95% 2/1/28 | | 619,000 | 607,168 |
| Regions Bank 6.45% 6/26/37 | | 5,877,000 | 5,672,157 |
| TOTAL BANK NOTES (Cost $12,315,263) | | | 11,276,190 |
| | | | |
| Fixed-Income Funds - 48.3% |
| | | Shares | Value ($) |
| Bank Loan Funds - 1.6% | | | |
| Fidelity Advisor Floating Rate High Income Fund Class Z (t) | | 115,410,034 | 1,064,080,517 |
| High Yield Fixed-Income Funds - 2.2% | | | |
| Fidelity Advisor New Markets Income Fund Class Z (t) | | 92,766,200 | 1,106,700,768 |
| Fidelity SAI High Income Fund (t) | | 41,156,447 | 354,768,572 |
TOTAL HIGH YIELD FIXED-INCOME FUNDS | | | 1,461,469,340 |
| Inflation-Protected Bond Funds - 0.4% | | | |
| Fidelity Inflation-Protected Bond Index Fund (t) | | 29,788,587 | 271,671,914 |
| Intermediate Government Funds - 13.2% | | | |
| Fidelity Advisor Government Income Fund Class Z (t) | | 48,364,061 | 434,792,910 |
| Fidelity Intermediate Treasury Bond Index Fund (t) | | 227,177,421 | 2,149,098,403 |
| Fidelity SAI U.S. Treasury Bond Index Fund (t) | | 730,562,188 | 6,253,612,331 |
TOTAL INTERMEDIATE GOVERNMENT FUNDS | | | 8,837,503,644 |
| Intermediate-Term Bond Funds - 24.2% | | | |
| Fidelity SAI International Credit Fund (t) | | 30,440,814 | 306,538,995 |
| Fidelity SAI Total Bond Fund (t) | | 1,769,259,818 | 15,516,408,571 |
| Fidelity Sustainability Bond Index Fund (t) | | 2,496,928 | 22,572,233 |
| Fidelity U.S. Bond Index Fund (t) | | 35,940,684 | 362,282,093 |
TOTAL INTERMEDIATE-TERM BOND FUNDS | | | 16,207,801,892 |
| Long Government Bond Funds - 4.0% | | | |
| Fidelity SAI Long-Term Treasury Bond Index Fund (t) | | 387,617,512 | 2,701,694,060 |
| Sector Funds - 1.6% | | | |
| Fidelity Advisor Real Estate Income Fund Class Z (t) | | 93,384,595 | 1,046,841,310 |
| Short-Term Bond - 1.1% | | | |
| Fidelity Short-Term Treasury Bond Index Fund (t) | | 75,384,028 | 753,086,441 |
| TOTAL FIXED-INCOME FUNDS (Cost $36,316,750,257) | | | 32,344,149,118 |
| | | | |
| Short-Term Funds - 0.6% |
| | | Shares | Value ($) |
| Short-Term Funds - 0.6% | | | |
Fidelity SAI Short-Term Bond Fund (t) (Cost $409,540,432) | | 43,035,604 | 411,850,726 |
| | | | |
| Preferred Securities - 0.1% |
| | | Principal Amount (a) | Value ($) |
| CONSUMER DISCRETIONARY - 0.0% | | | |
| Automobiles - 0.0% | | | |
| Volkswagen International Finance NV: | | | |
| 3.5% (Reg. S) (e)(k) | | 9,200,000 | 9,723,925 |
| 3.748% (Reg. S) (e)(k) | | 500,000 | 503,009 |
| | | | 10,226,934 |
| CONSUMER STAPLES - 0.0% | | | |
| Tobacco - 0.0% | | | |
| British American Tobacco PLC 3% (Reg. S) (e)(k) | | 3,000,000 | 2,905,031 |
| ENERGY - 0.0% | | | |
| Oil, Gas & Consumable Fuels - 0.0% | | | |
| Enbridge, Inc. 5.75% 7/15/80 (e) | | 3,553,000 | 3,163,604 |
| Energy Transfer LP 3 month U.S. LIBOR + 4.020% 9.6693% (e)(i)(k) | | 1,405,000 | 1,340,662 |
| | | | 4,504,266 |
| FINANCIALS - 0.1% | | | |
| Banks - 0.1% | | | |
| AIB Group PLC 6.25% (Reg. S) (e)(k) | | 1,235,000 | 1,344,390 |
| Bank of Nova Scotia: | | | |
| CME Term SOFR 3 Month Index + 2.900% 8.3354% (e)(i)(k) | | 19,859,000 | 17,849,696 |
| 4.9% (e)(k) | | 9,500,000 | 9,031,263 |
| Barclays PLC: | | | |
| 5.875% (Reg. S) (e)(k) | | 1,150,000 | 1,399,035 |
| 8.875% (e)(k) | | 500,000 | 618,583 |
| BNP Paribas SA 6.625% (Reg. S) (e)(k) | | 1,485,000 | 1,493,827 |
| Lloyds Banking Group PLC 5.125% (e)(k) | | 200,000 | 243,843 |
| Societe Generale 7.875% (Reg. S) (e)(k) | | 740,000 | 765,687 |
| Wells Fargo & Co. 7.625% (e)(k) | | 640,000 | 666,404 |
| | | | 33,412,728 |
| Capital Markets - 0.0% | | | |
| Charles Schwab Corp.: | | | |
| 4% (e)(k) | | 1,030,000 | 788,079 |
| 5.375% (e)(k) | | 260,000 | 254,714 |
| Credit Suisse Group AG 7.5% (Reg. S) (d)(e)(k) | | 4,925,000 | 541,750 |
| UBS Group AG: | | | |
| 4.375% (b)(e)(k) | | 2,239,000 | 1,701,575 |
| 4.875% (b)(e)(k) | | 4,770,000 | 4,194,613 |
| | | | 7,480,731 |
| Consumer Finance - 0.0% | | | |
| Ally Financial, Inc. 4.7% (e)(k) | | 2,940,000 | 2,075,277 |
| Insurance - 0.0% | | | |
| QBE Insurance Group Ltd. 5.25% (Reg. S) (e)(k) | | 4,150,000 | 3,906,258 |
TOTAL FINANCIALS | | | 46,874,994 |
| INDUSTRIALS - 0.0% | | | |
| Ground Transportation - 0.0% | | | |
| Mobico Group PLC 4.25% (Reg. S) (e)(k) | | 570,000 | 645,025 |
| REAL ESTATE - 0.0% | | | |
| Real Estate Management & Development - 0.0% | | | |
| Aroundtown SA 3.375% (Reg. S) (e)(k) | | 3,900,000 | 1,769,021 |
| AT Securities BV USD SWAP SEMI 30/360 5Y INDX + 3.540% 7.747% (Reg. S) (e)(i)(k) | | 4,750,000 | 2,226,095 |
| Citycon Oyj 4.496% (Reg. S) (e)(k) | | 850,000 | 678,871 |
| CPI Property Group SA 3.75% (Reg. S) (e)(k) | | 2,370,000 | 562,508 |
| Grand City Properties SA 1.5% (Reg. S) (e)(k) | | 4,300,000 | 1,965,090 |
| Heimstaden Bostad AB: | | | |
| 3.248% (Reg. S) (e)(k) | | 3,735,000 | 1,882,601 |
| 3.625% (Reg. S) (e)(k) | | 195,000 | 85,313 |
| Samhallsbyggnadsbolaget I Norden AB 2.624% (Reg. S) (e)(k) | | 1,385,000 | 236,699 |
| | | | 9,406,198 |
| UTILITIES - 0.0% | | | |
| Electric Utilities - 0.0% | | | |
| Electricite de France SA 5.625% (Reg. S) (e)(k) | | 2,815,000 | 2,839,254 |
| SSE PLC 3.74% (Reg. S) (e)(k) | | 1,135,000 | 1,364,560 |
| | | | 4,203,814 |
| Multi-Utilities - 0.0% | | | |
| ELM BV for Firmenich International SA 3.75% (Reg. S) (e)(k) | | 520,000 | 552,740 |
| Veolia Environnement SA 2% (Reg. S) (e)(k) | | 900,000 | 865,360 |
| | | | 1,418,100 |
TOTAL UTILITIES | | | 5,621,914 |
| TOTAL PREFERRED SECURITIES (Cost $108,175,120) | | | 80,184,362 |
| | | | |
| Money Market Funds - 4.7% |
| | | Shares | Value ($) |
| Fidelity Cash Central Fund 5.40% (u) | | 2,949,919,061 | 2,950,509,045 |
| Fidelity Investments Money Market Government Portfolio Institutional Class 5.28% (t)(v) | | 185,312,181 | 185,312,181 |
| TOTAL MONEY MARKET FUNDS (Cost $3,135,821,187) | | | 3,135,821,226 |
| | | | |
| Purchased Swaptions - 0.0% |
| | Expiration Date | Notional Amount (a) | Value ($) |
| Put Options - 0.0% | | | | |
| Option on an interest rate swap with Bank of America N.A. to pay annually a fixed rate of 3.023% and receive annually a floating rate based on U.S. Secured Overnight Fin. Rate (SOFR) Averages Indx, expiring June 2032 | 6/21/27 | | 5,000,000 | 274,174 |
| Option on an interest rate swap with JPMorgan Chase Bank N.A. to pay annually a fixed rate of 3.305% and receive annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring May 2033 | 5/22/28 | | 13,900,000 | 709,840 |
| | | | | |
| TOTAL PUT OPTIONS | | | | 984,014 |
| Call Options - 0.0% | | | | |
| Option on an interest rate swap with Bank of America N.A. to receive annually a fixed rate of 3.023% and pay annually a floating rate based on U.S. Secured Overnight Fin. Rate (SOFR) Averages Indx, expiring June 2032 | 6/21/27 | | 5,000,000 | 115,759 |
| Option on an interest rate swap with JPMorgan Chase Bank N.A. to receive annually a fixed rate of 3.305% and pay annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring May 2033 | 5/22/28 | | 13,900,000 | 394,917 |
| | | | | |
| TOTAL CALL OPTIONS | | | | 510,676 |
TOTAL PURCHASED SWAPTIONS (Cost $1,560,182) | | | | 1,494,690 |
| TOTAL INVESTMENT IN SECURITIES - 117.5% (Cost $84,404,070,463) | 78,735,958,796 |
NET OTHER ASSETS (LIABILITIES) - (17.5)% | (11,718,987,002) |
| NET ASSETS - 100.0% | 67,016,971,794 |
| | |
| TBA Sale Commitments |
| | Principal Amount (a) | Value ($) |
| Ginnie Mae | | |
| 2% 12/1/53 | (129,750,000) | (104,780,806) |
| 2% 12/1/53 | (47,600,000) | (38,439,818) |
| 2% 12/1/53 | (18,150,000) | (14,657,199) |
| 2% 12/1/53 | (6,650,000) | (5,370,269) |
| 2% 12/1/53 | (7,650,000) | (6,177,828) |
| 2% 12/1/53 | (2,800,000) | (2,261,166) |
| 2% 12/1/53 | (20,200,000) | (16,312,695) |
| 2% 12/1/53 | (148,400,000) | (119,841,785) |
| 2% 12/1/53 | (5,700,000) | (4,603,087) |
| 2% 12/1/53 | (12,300,000) | (9,932,978) |
| 2% 12/1/53 | (88,000,000) | (71,065,210) |
| 2% 12/1/53 | (4,100,000) | (3,310,993) |
| 2% 12/1/53 | (24,250,000) | (19,583,311) |
| 2% 12/1/53 | (173,400,000) | (140,030,765) |
| 2% 12/1/53 | (8,050,000) | (6,500,852) |
| 2.5% 12/1/53 | (25,450,000) | (21,266,068) |
| 2.5% 12/1/53 | (114,300,000) | (95,509,297) |
| 2.5% 12/1/53 | (8,300,000) | (6,935,496) |
| 2.5% 12/1/53 | (33,600,000) | (28,076,224) |
| 2.5% 12/1/53 | (150,950,000) | (126,134,107) |
| 2.5% 12/1/53 | (10,950,000) | (9,149,841) |
| 3% 12/1/53 | (13,800,000) | (11,951,828) |
| 3% 12/1/53 | (113,550,000) | (98,342,759) |
| 3% 12/1/53 | (4,850,000) | (4,200,461) |
| 3% 12/1/53 | (21,500,000) | (18,620,602) |
| 3% 12/1/53 | (176,650,000) | (152,992,060) |
| 3% 12/1/53 | (7,500,000) | (6,495,559) |
| 3.5% 12/1/53 | (6,300,000) | (5,634,770) |
| 3.5% 12/1/53 | (54,850,000) | (49,058,279) |
| 3.5% 12/1/53 | (4,875,000) | (4,360,239) |
| 3.5% 12/1/53 | (6,350,000) | (5,679,491) |
| 3.5% 12/1/53 | (55,100,000) | (49,281,881) |
| 3.5% 12/1/53 | (4,900,000) | (4,382,599) |
| 5.5% 12/1/53 | (5,550,000) | (5,513,799) |
| 5.5% 12/1/53 | (79,275,000) | (78,757,913) |
| 5.5% 12/1/53 | (4,025,000) | (3,998,746) |
| 5.5% 12/1/53 | (56,300,000) | (55,932,772) |
| 6.5% 12/1/53 | (1,650,000) | (1,677,869) |
| 6.5% 12/1/53 | (850,000) | (864,357) |
| 6.5% 12/1/53 | (4,150,000) | (4,220,094) |
| 6.5% 12/1/53 | (2,050,000) | (2,084,625) |
| | | |
| TOTAL GINNIE MAE | | (1,413,990,498) |
| | | |
| Uniform Mortgage Backed Securities | | |
| 2% 12/1/53 | (101,300,000) | (78,808,820) |
| 2% 12/1/53 | (10,600,000) | (8,246,530) |
| 2% 12/1/53 | (42,500,000) | (33,063,916) |
| 2% 12/1/53 | (84,200,000) | (65,505,453) |
| 2% 12/1/53 | (285,300,000) | (221,956,125) |
| 2% 12/1/53 | (115,075,000) | (89,525,416) |
| 2% 12/1/53 | (4,050,000) | (3,150,797) |
| 2% 12/1/53 | (49,625,000) | (38,606,985) |
| 2% 12/1/53 | (82,500,000) | (64,182,896) |
| 2% 12/1/53 | (4,675,000) | (3,637,031) |
| 2% 12/1/53 | (423,600,000) | (329,549,998) |
| 2% 12/1/53 | (83,025,000) | (64,591,333) |
| 2% 12/1/53 | (4,725,000) | (3,675,930) |
| 2% 12/1/53 | (46,050,000) | (35,825,726) |
| 2% 12/1/53 | (96,275,000) | (74,899,495) |
| 2% 12/1/53 | (40,650,000) | (31,624,663) |
| 2% 12/1/53 | (5,250,000) | (4,084,366) |
| 2% 12/1/53 | (5,700,000) | (4,434,455) |
| 2% 12/1/53 | (21,050,000) | (16,376,363) |
| 2% 12/1/53 | (18,000,000) | (14,003,541) |
| 2% 12/1/53 | (16,550,000) | (12,875,478) |
| 2% 12/1/53 | (7,150,000) | (5,562,518) |
| 2% 12/1/53 | (44,850,000) | (34,892,156) |
| 2% 12/1/53 | (3,900,000) | (3,034,101) |
| 2% 12/1/53 | (139,550,000) | (108,566,341) |
| 2% 12/1/53 | (100,600,000) | (78,264,235) |
| 2% 12/1/53 | (14,950,000) | (11,630,719) |
| 2% 12/1/53 | (14,900,000) | (11,591,820) |
| 2% 12/1/53 | (18,100,000) | (14,081,338) |
| 2% 12/1/53 | (2,200,000) | (1,711,544) |
| 2% 12/1/53 | (800,000) | (622,380) |
| 2% 12/1/53 | (3,875,000) | (3,014,651) |
| 2% 12/1/53 | (36,225,000) | (28,182,126) |
| 2% 12/1/53 | (26,125,000) | (20,324,584) |
| 2% 12/1/53 | (3,875,000) | (3,014,651) |
| 2% 12/1/53 | (4,600,000) | (3,578,683) |
| 2% 12/1/53 | (37,400,000) | (29,096,246) |
| 2% 12/1/53 | (6,300,000) | (4,901,239) |
| 2.5% 12/1/38 | (10,950,000) | (9,859,710) |
| 2.5% 12/1/53 | (335,600,000) | (272,176,936) |
| 2.5% 12/1/53 | (152,950,000) | (124,044,882) |
| 2.5% 12/1/53 | (46,400,000) | (37,631,138) |
| 2.5% 12/1/53 | (17,900,000) | (14,517,185) |
| 2.5% 12/1/53 | (2,200,000) | (1,784,235) |
| 2.5% 12/1/53 | (27,450,000) | (22,262,386) |
| 3% 12/1/53 | (75,700,000) | (63,907,386) |
| 3% 12/1/53 | (47,650,000) | (40,227,040) |
| 3% 12/1/53 | (51,525,000) | (43,498,389) |
| 3% 12/1/53 | (3,475,000) | (2,933,661) |
| 3% 12/1/53 | (53,150,000) | (44,870,245) |
| 3% 12/1/53 | (5,775,000) | (4,875,365) |
| 3% 12/1/53 | (3,000,000) | (2,532,657) |
| 3% 12/1/53 | (171,575,000) | (144,846,892) |
| 3% 12/1/53 | (16,550,000) | (13,971,826) |
| 3% 12/1/53 | (725,000) | (612,059) |
| 3% 12/1/53 | (5,325,000) | (4,495,467) |
| 3% 12/1/53 | (362,200,000) | (305,776,158) |
| 3% 12/1/53 | (247,450,000) | (208,902,016) |
| 3% 12/1/53 | (4,300,000) | (3,630,142) |
| 3% 12/1/53 | (46,300,000) | (39,087,344) |
| 3% 12/1/53 | (12,950,000) | (10,932,637) |
| 3% 12/1/53 | (28,900,000) | (24,397,932) |
| 3% 12/1/53 | (99,450,000) | (83,957,590) |
| 3% 12/1/53 | (18,550,000) | (15,660,264) |
| 3% 12/1/53 | (144,900,000) | (122,327,348) |
| 3% 12/1/53 | (11,500,000) | (9,708,520) |
| 3% 12/1/53 | (37,125,000) | (31,341,634) |
| 3% 12/1/53 | (6,925,000) | (5,846,217) |
| 3% 12/1/53 | (75,700,000) | (63,907,386) |
| 3% 12/1/53 | (4,300,000) | (3,630,142) |
| 3% 12/1/53 | (17,200,000) | (14,520,569) |
| 3% 12/1/53 | (188,150,000) | (158,839,824) |
| 3% 12/1/53 | (92,300,000) | (77,921,423) |
| 3% 12/1/53 | (10,700,000) | (9,033,144) |
| 3.5% 12/1/53 | (9,000,000) | (7,898,553) |
| 3.5% 12/1/53 | (2,200,000) | (1,930,757) |
| 3.5% 12/1/53 | (8,800,000) | (7,723,030) |
| 3.5% 12/1/53 | (14,400,000) | (12,637,685) |
| 3.5% 12/1/53 | (6,150,000) | (5,397,345) |
| 3.5% 12/1/53 | (49,625,000) | (43,551,744) |
| 3.5% 12/1/53 | (8,375,000) | (7,350,042) |
| 3.5% 12/1/53 | (7,000,000) | (6,143,319) |
| 3.5% 12/1/53 | (56,300,000) | (49,409,837) |
| 3.5% 12/1/53 | (9,500,000) | (8,337,362) |
| 4% 12/1/53 | (3,750,000) | (3,406,935) |
| 4% 12/1/53 | (800,000) | (726,813) |
| 4% 12/1/53 | (400,000) | (363,406) |
| 4% 12/1/53 | (3,900,000) | (3,543,213) |
| 4.5% 12/1/53 | (4,025,000) | (3,771,863) |
| 4.5% 12/1/53 | (20,700,000) | (19,398,154) |
| 4.5% 12/1/53 | (2,300,000) | (2,155,350) |
| 4.5% 12/1/53 | (2,800,000) | (2,623,905) |
| 4.5% 12/1/53 | (86,400,000) | (80,966,209) |
| 4.5% 12/1/53 | (4,050,000) | (3,795,291) |
| 4.5% 12/1/53 | (2,300,000) | (2,155,350) |
| 5% 12/1/38 | (53,350,000) | (51,995,411) |
| 5% 12/1/38 | (6,200,000) | (6,042,578) |
| 5% 12/1/38 | (2,700,000) | (2,631,445) |
| 5% 12/1/38 | (22,000,000) | (21,441,407) |
| 5% 12/1/53 | (1,000,000) | (963,320) |
| 5% 12/1/53 | (8,700,000) | (8,380,881) |
| 5% 12/1/53 | (4,300,000) | (4,142,274) |
| 5% 12/1/53 | (35,300,000) | (34,005,182) |
| 5% 12/1/53 | (1,700,000) | (1,637,643) |
| 5.5% 12/1/53 | (2,200,000) | (2,169,235) |
| 5.5% 12/1/53 | (16,500,000) | (16,269,264) |
| 5.5% 12/1/53 | (6,800,000) | (6,704,909) |
| 5.5% 12/1/53 | (43,300,000) | (42,694,493) |
| 5.5% 12/1/53 | (1,700,000) | (1,676,227) |
| 5.5% 12/1/53 | (37,300,000) | (36,778,397) |
| 5.5% 12/1/53 | (20,000,000) | (19,720,320) |
| 5.5% 12/1/53 | (10,300,000) | (10,155,965) |
| 5.5% 12/1/53 | (27,250,000) | (26,868,936) |
| 6.5% 12/1/53 | (5,600,000) | (5,690,997) |
| 6.5% 12/1/53 | (37,725,000) | (38,338,012) |
| 6.5% 12/1/53 | (15,475,000) | (15,726,461) |
| 6.5% 12/1/53 | (36,600,000) | (37,194,732) |
| 6.5% 12/1/53 | (49,600,000) | (50,405,975) |
| 6.5% 12/1/53 | (11,925,000) | (12,118,775) |
| 6.5% 1/1/54 | (4,000,000) | (4,063,279) |
| | | |
| TOTAL UNIFORM MORTGAGE BACKED SECURITIES | | (4,330,264,679) |
| | | |
TOTAL TBA SALE COMMITMENTS (Proceeds $5,656,386,610) | | (5,744,255,177) |
| Written Swaptions |
| | Expiration Date | Notional Amount (a) | Value ($) |
| Put Swaptions | | | | |
| Option on an interest rate swap with Bank of America N.A. to pay annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index and receive annually a fixed rate of 4.04%, expiring November 2033 | 11/16/28 | | 11,000,000 | (430,581) |
| Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index and receive annually a fixed rate of 3.7675, expiring September 2033. | 9/20/28 | | 3,800,000 | (163,834) |
| | | | | |
| TOTAL PUT SWAPTIONS | | | | (594,415) |
| Call Swaptions | | | | |
| Option on an interest rate swap with Bank of America N.A. to receive annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index and pay annually a fixed rate of 4.04%, expiring November 2033 | 11/16/28 | | 11,000,000 | (472,079) |
| Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay annually a fixed rate of 3.7675 and receive annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring September 2033. | 9/20/28 | | 3,800,000 | (141,151) |
| | | | | |
| TOTAL CALL SWAPTIONS | | | | (613,230) |
| TOTAL WRITTEN SWAPTIONS | | | | (1,207,645) |
| Futures Contracts |
| | Number of contracts | Expiration Date | Notional Amount ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) |
| Purchased | | | | | |
| | | | | | |
| Bond Index Contracts | | | | | |
| ASX 10 Year Treasury Bond Index Contracts (Australia) | 25 | Dec 2023 | 1,860,996 | (32,313) | (32,313) |
| TME 10 Year Canadian Note Contracts (Canada) | 97 | Mar 2024 | 8,560,905 | 64,052 | 64,052 |
| | | | | | |
| TOTAL BOND INDEX CONTRACTS | | | | | 31,739 |
| | | | | | |
| Treasury Contracts | | | | | |
| CBOT 2-Year U.S. Treasury Note Contracts (United States) | 4,875 | Mar 2024 | 996,747,070 | 2,484,524 | 2,484,524 |
| CBOT 5-Year U.S. Treasury Note Contracts (United States) | 590 | Mar 2024 | 63,042,422 | 292,550 | 292,550 |
| CBOT Long Term U.S. Treasury Bond Contracts (United States) | 181 | Mar 2024 | 21,075,188 | 102,536 | 102,536 |
| CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States) | 128 | Mar 2024 | 15,744,000 | 185,704 | 185,704 |
| | | | | | |
| TOTAL TREASURY CONTRACTS | | | | | 3,065,314 |
| | | | | | |
| TOTAL PURCHASED | | | | | 3,097,053 |
| | | | | | |
| Sold | | | | | |
| | | | | | |
| Bond Index Contracts | | | | | |
| ICE Long Gilt Contracts (United Kingdom) | 59 | Mar 2024 | 7,201,166 | 32,100 | 32,100 |
| | | | | | |
| Treasury Contracts | | | | | |
| CBOT 10-Year U.S. Treasury Note Contracts (United States) | 5,057 | Mar 2024 | 555,242,797 | (2,910,127) | (2,910,127) |
| CBOT 5-Year U.S. Treasury Note Contracts (United States) | 1,443 | Mar 2024 | 154,186,805 | (724,404) | (724,404) |
| CBOT Long Term U.S. Treasury Bond Contracts (United States) | 2,745 | Mar 2024 | 319,620,938 | (1,571,622) | (1,571,622) |
| | | | | | |
| TOTAL TREASURY CONTRACTS | | | | | (5,206,153) |
| | | | | | |
| TOTAL SOLD | | | | | (5,174,053) |
| | | | | | |
| TOTAL FUTURES CONTRACTS | | | | | (2,077,000) |
| The notional amount of futures purchased as a percentage of Net Assets is 1.6% |
| The notional amount of futures sold as a percentage of Net Assets is 1.5% |
For the period, the average monthly notional amount at value for futures contracts in the aggregate was $1,959,093,775.
| Forward Foreign Currency Contracts |
Currency Purchased
| Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation/ (Depreciation) ($) |
| | | | | | | |
| USD | 103,223 | CAD | 140,000 | JPMorgan Chase Bank, N.A. | 12/04/23 | 51 |
| CAD | 328,000 | USD | 242,726 | BNP Paribas S.A. | 12/08/23 | (990) |
| CAD | 155,000 | USD | 112,713 | BNP Paribas S.A. | 12/08/23 | 1,522 |
| CAD | 106,000 | USD | 77,587 | Brown Brothers Harriman & Co | 12/08/23 | 535 |
| CAD | 70,000 | USD | 50,543 | HSBC Bank | 12/08/23 | 1,047 |
| CAD | 88,000 | USD | 64,261 | JPMorgan Chase Bank, N.A. | 12/08/23 | 595 |
| EUR | 177,000 | USD | 186,755 | BNP Paribas S.A. | 12/08/23 | 5,947 |
| EUR | 75,000 | USD | 79,884 | BNP Paribas S.A. | 12/08/23 | 1,769 |
| EUR | 90,000 | USD | 95,142 | BNP Paribas S.A. | 12/08/23 | 2,842 |
| EUR | 152,000 | USD | 160,771 | Bank of America, N.A. | 12/08/23 | 4,713 |
| EUR | 132,000 | USD | 140,991 | Bank of America, N.A. | 12/08/23 | 2,719 |
| EUR | 70,000 | USD | 74,190 | Brown Brothers Harriman & Co | 12/08/23 | 2,020 |
| EUR | 392,000 | USD | 426,436 | Citibank, N. A. | 12/08/23 | 339 |
| EUR | 150,000 | USD | 164,378 | HSBC Bank | 12/08/23 | (1,071) |
| EUR | 175,000 | USD | 185,622 | JPMorgan Chase Bank, N.A. | 12/08/23 | 4,903 |
| EUR | 143,000 | USD | 152,020 | JPMorgan Chase Bank, N.A. | 12/08/23 | 3,666 |
| EUR | 173,000 | USD | 189,662 | JPMorgan Chase Bank, N.A. | 12/08/23 | (1,315) |
| GBP | 100,000 | USD | 121,199 | BNP Paribas S.A. | 12/08/23 | 5,051 |
| GBP | 382,000 | USD | 481,632 | BNP Paribas S.A. | 12/08/23 | 644 |
| GBP | 93,000 | USD | 113,219 | HSBC Bank | 12/08/23 | 4,194 |
| GBP | 287,000 | USD | 352,991 | JPMorgan Chase Bank, N.A. | 12/08/23 | 9,347 |
| GBP | 1,261,000 | USD | 1,539,516 | State Street Bank and Trust Co | 12/08/23 | 52,498 |
| USD | 153,141 | AUD | 238,000 | HSBC Bank | 12/08/23 | (4,140) |
| USD | 156,391 | CAD | 215,000 | Bank of America, N.A. | 12/08/23 | (2,064) |
| USD | 71,118 | CAD | 96,000 | Goldman Sachs Bank USA | 12/08/23 | 366 |
| USD | 260,690 | CAD | 353,000 | HSBC Bank | 12/08/23 | 529 |
| USD | 81,326 | CAD | 109,000 | JPMorgan Chase Bank, N.A. | 12/08/23 | 993 |
| USD | 199,083 | CAD | 270,000 | JPMorgan Chase Bank, N.A. | 12/08/23 | 93 |
| USD | 150,128 | EUR | 140,000 | BNP Paribas S.A. | 12/08/23 | (2,291) |
| USD | 193,317 | EUR | 180,000 | BNP Paribas S.A. | 12/08/23 | (2,651) |
| USD | 127,856,982 | EUR | 118,771,000 | Bank of America, N.A. | 12/08/23 | (1,450,305) |
| USD | 482,097 | EUR | 460,000 | Bank of America, N.A. | 12/08/23 | (18,710) |
| USD | 594,142 | EUR | 562,000 | Bank of America, N.A. | 12/08/23 | (17,713) |
| USD | 141,191 | EUR | 133,000 | Brown Brothers Harriman & Co | 12/08/23 | (3,607) |
| USD | 274,982 | EUR | 257,000 | Canadian Imperial Bk. of Comm. | 12/08/23 | (4,817) |
| USD | 2,492,421 | EUR | 2,285,000 | Canadian Imperial Bk. of Comm. | 12/08/23 | 4,716 |
| USD | 565,291 | EUR | 534,000 | JPMorgan Chase Bank, N.A. | 12/08/23 | (16,081) |
| USD | 473,946 | EUR | 449,000 | JPMorgan Chase Bank, N.A. | 12/08/23 | (14,885) |
| USD | 626,588 | GBP | 496,000 | BNP Paribas S.A. | 12/08/23 | 388 |
| USD | 156,939 | GBP | 129,000 | Brown Brothers Harriman & Co | 12/08/23 | (5,923) |
| USD | 194,040 | GBP | 157,000 | JPMorgan Chase Bank, N.A. | 12/08/23 | (4,173) |
| USD | 68,527,944 | GBP | 54,918,000 | Royal Bank of Canada | 12/08/23 | (806,083) |
| | | | | | | |
| TOTAL FORWARD FOREIGN CURRENCY CONTRACTS | | (2,245,332) |
| Unrealized Appreciation | | | 111,487 |
| Unrealized Depreciation | | | (2,356,819) |
| Credit Default Swaps |
| Underlying Reference | Rating(1) | Maturity Date | Clearinghouse / Counterparty | Fixed Payment Received/ (Paid) | Payment Frequency | Notional Amount(2)(3) | Value ($)(1) | Upfront Premium Received/ (Paid) ($) | Unrealized Appreciation/ (Depreciation) ($) |
| Buy Protection | | | | | | | | | | |
| CMBX N.A. AAA Index Series 13 | | Dec 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | | 6,830,000 | 89,040 | (91,495) | (2,455) |
| CMBX N.A. AAA Index Series 13 | | Dec 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | | 2,780,000 | 36,242 | (25,179) | 11,063 |
| CMBX N.A. AAA Index Series 13 | | Dec 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | | 16,080,000 | 209,629 | (174,462) | 35,167 |
| CMBX N.A. AAA Index Series 13 | | Dec 2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | | 19,040,000 | 248,217 | (307,665) | (59,448) |
| CMBX N.A. AAA Index Series 13 | | Dec 2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | | 17,700,000 | 230,748 | (119,222) | 111,526 |
| CMBX N.A. BBB- Index Series 16 | | Apr 2065 | Citigroup Global Markets Ltd. | (3%) | Monthly | | 1,640,000 | 362,972 | (474,571) | (111,599) |
| CMBX N.A. BBB- Index Series 16 | | Apr 2065 | Citigroup Global Markets Ltd. | (3%) | Monthly | | 3,640,000 | 805,620 | (969,711) | (164,091) |
| CMBX N.A. BBB- Index Series 16 | | Apr 2065 | Citigroup Global Markets Ltd. | (3%) | Monthly | | 3,060,000 | 677,252 | (715,314) | (38,062) |
| CMBX N.A. BBB- Index Series 16 | | Apr 2065 | Citigroup Global Markets Ltd. | (3%) | Monthly | | 1,590,000 | 351,905 | (359,373) | (7,468) |
| CMBX N.A. BBB- Index Series 16 | | Apr 2065 | Citigroup Global Markets Ltd. | (3%) | Monthly | | 10,030,000 | 2,219,881 | (3,061,114) | (841,233) |
| CMBX N.A. BBB- Index Series 16 | | Apr 2065 | Citigroup Global Markets Ltd. | (3%) | Monthly | | 3,200,000 | 708,237 | (890,850) | (182,613) |
| CMBX N.A. BBB- Index Series 16 | | Apr 2065 | Goldman Sachs & Co. LLC | (3%) | Monthly | | 1,690,000 | 374,038 | (489,082) | (115,044) |
| CMBX N.A. BBB- Index Series 16 | | Apr 2065 | Goldman Sachs & Co. LLC | (3%) | Monthly | | 200,000 | 44,265 | (49,564) | (5,299) |
| CMBX N.A. BBB- Index Series 16 | | Apr 2065 | Goldman Sachs & Co. LLC | (3%) | Monthly | | 3,970,000 | 878,657 | (964,924) | (86,267) |
| CMBX N.A. BBB- Index Series 16 | | Apr 2065 | Goldman Sachs & Co. LLC | (3%) | Monthly | | 3,220,000 | 712,664 | (857,373) | (144,709) |
| CMBX N.A. BBB- Index Series 16 | | Apr 2065 | Goldman Sachs & Co. LLC | (3%) | Monthly | | 4,576,000 | 1,012,779 | (1,081,006) | (68,227) |
| CMBX N.A. BBB- Index Series 16 | | Apr 2065 | Goldman Sachs & Co. LLC | (3%) | Monthly | | 3,930,000 | 869,804 | (1,149,357) | (279,553) |
| CMBX N.A. BBB- Index Series 16 | | Apr 2065 | Goldman Sachs & Co. LLC | (3%) | Monthly | | 980,000 | 216,898 | (254,094) | (37,196) |
| CMBX N.A. BBB- Index Series 16 | | Apr 2065 | JPMorgan Securities LLC | (3%) | Monthly | | 2,290,000 | 506,832 | (649,453) | (142,621) |
| CMBX N.A. BBB- Index Series 16 | | Apr 2065 | JPMorgan Securities LLC | (3%) | Monthly | | 2,190,000 | 484,700 | (585,988) | (101,288) |
| CMBX N.A. BBB- Index Series 16 | | Apr 2065 | JPMorgan Securities LLC | (3%) | Monthly | | 4,580,000 | 1,013,664 | (1,325,944) | (312,280) |
| CMBX N.A. BBB- Index Series 16 | | Apr 2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly | | 4,646,000 | 1,028,272 | (1,163,164) | (134,892) |
| CMBX N.A. BBB- Index Series 16 | | Apr 2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly | | 2,330,000 | 515,685 | (586,214) | (70,529) |
| CMBX N.A. BBB- Index Series 16 | | Apr 2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly | | 5,830,000 | 1,290,320 | (1,493,251) | (202,931) |
| CMBX N.A. BBB- Index Series 16 | | Apr 2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly | | 190,000 | 42,052 | (45,504) | (3,452) |
| CMBX N.A. BBB- Index Series 16 | | Apr 2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly | | 1,920,000 | 424,942 | (447,485) | (22,543) |
| Intesa Sanpaolo SpA | | Jun 2028 | JPMorgan Chase Bank, N.A. | (1%) | Quarterly | EUR | 2,560,000 | (24,846) | 3,376 | (21,470) |
| | | | | | | | | | | |
| TOTAL BUY PROTECTION | | | | | | | | 15,330,469 | (18,327,983) | (2,997,514) |
| Sell Protection | | | | | | | | | | |
| CMBX N.A. AAA Index Series 13 | NR | Dec 2072 | Morgan Stanley Capital Services LLC | 0.5% | Monthly | | 29,580,000 | (385,623) | 677,256 | 291,633 |
| CMBX N.A. AAA Index Series 13 | NR | Dec 2072 | Morgan Stanley Capital Services LLC | 0.5% | Monthly | | 32,850,000 | (428,252) | 773,494 | 345,242 |
| CMBX N.A. AAA Index Series 15 | NR | Nov 2064 | Goldman Sachs & Co. LLC | 0.5% | Monthly | | 17,720,000 | (416,447) | 479,114 | 62,667 |
| CMBX N.A. AAA Index Series 15 | NR | Nov 2064 | Goldman Sachs & Co. LLC | 0.5% | Monthly | | 24,670,000 | (579,782) | 667,028 | 87,246 |
| CMBX N.A. AAA Index Series 15 | NR | Nov 2064 | Goldman Sachs & Co. LLC | 0.5% | Monthly | | 8,930,000 | (209,868) | 232,486 | 22,618 |
| CMBX N.A. AAA Index Series 16 | NR | Apr 2065 | Citigroup Global Markets Ltd. | 0.5% | Monthly | | 5,690,000 | (170,944) | 245,572 | 74,628 |
| | | | | | | | | | | |
| TOTAL SELL PROTECTION | | | | | | | | (2,190,916) | 3,074,950 | 884,034 |
| TOTAL CREDIT DEFAULT SWAPS | | | | | | | | 13,139,553 | (15,253,033) | (2,113,480) |
(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)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.
(3)Notional amount is stated in U.S. Dollars unless otherwise noted.
| Interest Rate Swaps |
| Payment Received | Payment Frequency | Payment Paid | Payment Frequency | Clearinghouse / Counterparty(1) | Maturity Date | Notional Amount(2) | Value ($) | Upfront Premium Received/ (Paid) ($)(3) | Unrealized Appreciation/ (Depreciation) ($) |
U.S. Secured Overnight Fin. Rate (SOFR) Index(4) | Annual | 4.25% | Annual | LCH | Dec 2025 | | 566,840,000 | (3,970,315) | 0 | (3,970,315) |
U.S. Secured Overnight Fin. Rate (SOFR) Index(4) | Annual | 4% | Annual | LCH | Dec 2026 | | 58,500,000 | (684,679) | 0 | (684,679) |
U.S. Secured Overnight Fin. Rate (SOFR) Index(4) | Annual | 3.75% | Annual | LCH | Dec 2028 | | 40,680,000 | (822,188) | 0 | (822,188) |
U.S. Secured Overnight Fin. Rate (SOFR) Index(4) | Annual | 3.5% | Annual | LCH | Dec 2030 | | 359,959,000 | (7,326,110) | 0 | (7,326,110) |
U.S. Secured Overnight Fin. Rate (SOFR) Index(4) | Annual | 3.5% | Annual | LCH | Dec 2033 | | 200,000 | (3,617) | 0 | (3,617) |
U.S. Secured Overnight Fin. Rate (SOFR) Index(4) | Annual | 3.5% | Annual | LCH | Dec 2043 | | 57,440,000 | (1,309,643) | 0 | (1,309,643) |
| 3.25% | Annual | U.S. Secured Overnight Fin. Rate (SOFR) Index(4) | Annual | LCH | Dec 2053 | | 8,610,000 | 221,464 | 0 | 221,464 |
| TOTAL INTEREST RATE SWAPS | | | | | | | | (13,895,088) | 0 | (13,895,088) |
(1)Swaps with LCH Clearnet Group (LCH) are centrally cleared swaps.
(2)Notional amount is stated in U.S. Dollars unless otherwise noted.
(3)Any premiums for centrally cleared swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation).
(4)Represents floating rate.
Currency Abbreviations
| AUD | - | Australian dollar |
| CAD | - | Canadian dollar |
| EUR | - | European Monetary Unit |
| GBP | - | British pound sterling |
| USD | - | U.S. dollar |
Legend
| (a) | Amount is stated in United States dollars unless otherwise noted. |
| (b) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $4,690,182,588 or 7.0% of net assets. |
| (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) | 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. |
| (g) | A portion of the security sold on a delayed delivery basis. |
| (h) | Restricted securities (including private placements) - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $109,625 or 0.0% of net assets. |
| (i) | Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors. |
| (j) | Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
| (k) | Security is perpetual in nature with no stated maturity date. |
| (l) | Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $28,831,288. |
| (m) | Security or a portion of the security has been segregated as collateral for open forward foreign currency contracts and bi-lateral over the counter (OTC) swaps. At period end, the value of securities pledged amounted to $3,933,399. |
| (n) | Security or a portion of the security was pledged to cover margin requirements for centrally cleared swaps. At period end, the value of securities pledged amounted to $31,675,782. |
| (o) | Interest Only (IO) security represents the right to receive only monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period. |
| (p) | Coupon is inversely indexed to a floating interest rate multiplied by a specified factor. The price may be considerably more volatile than the price of a comparable fixed rate security. |
| (q) | Principal Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans. |
| (r) | Represents an investment in an underlying pool of reverse mortgages which typically do not require regular principal and interest payments as repayment is deferred until a maturity event. |
| (s) | Remaining maturities of bank loan obligations may be less than the stated maturities shown as a result of contractual or optional prepayments by the borrower. Such prepayments cannot be predicted with certainty. |
| (u) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
| (v) | The rate quoted is the annualized seven-day yield of the fund at period end. |
| Additional information on each restricted holding is as follows: |
| Security | Acquisition Date | Acquisition Cost ($) |
| Jonah Energy Parent LLC 12% 11/5/25 | 5/05/23 | 103,420 |
| | | |
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
| Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
| Fidelity Cash Central Fund 5.40% | 757,307,566 | 7,795,896,723 | 5,602,695,244 | 26,712,260 | - | - | 2,950,509,045 | 6.1% |
| Total | 757,307,566 | 7,795,896,723 | 5,602,695,244 | 26,712,260 | - | - | 2,950,509,045 | |
| | | | | | | | | |
Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
Affiliated Underlying Funds
Fiscal year to date information regarding the Fund's investments in affiliated Underlying Funds is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur. If an Underlying Funds changes its name, the name presented below is the name in effect at period end.
| Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) |
| Fidelity Advisor Floating Rate High Income Fund Class Z | 1,068,957,235 | 46,114,640 | 75,011,599 | 46,103,040 | (2,106,869) | 26,127,110 | 1,064,080,517 |
| Fidelity Advisor Government Income Fund Class Z | 495,406,338 | 31,465,428 | 75,003,141 | 6,462,287 | (15,402,798) | (1,672,917) | 434,792,910 |
| Fidelity Advisor New Markets Income Fund Class Z | 1,070,993,479 | 29,876,017 | 50,000,000 | 29,876,017 | (12,659,934) | 68,491,206 | 1,106,700,768 |
| Fidelity Advisor Real Estate Income Fund Class Z | 867,594,233 | 175,046,520 | - | 25,046,520 | - | 4,200,557 | 1,046,841,310 |
| Fidelity Inflation-Protected Bond Index Fund | 125,444,911 | 200,281,125 | 50,000,129 | 280,996 | (1,744,842) | (2,309,151) | 271,671,914 |
| Fidelity Intermediate Treasury Bond Index Fund | 1,359,945,732 | 840,130,188 | - | 21,116,961 | - | (50,977,517) | 2,149,098,403 |
| Fidelity Investments Money Market Government Portfolio Institutional Class 5.28% | 421,616,686 | 3,438,105,716 | 3,674,410,221 | 7,095,357 | - | - | 185,312,181 |
| Fidelity SAI High Income Fund | 390,411,817 | 10,648,171 | 50,011,013 | 10,637,159 | (5,538,326) | 9,257,923 | 354,768,572 |
| Fidelity SAI International Credit Fund | 251,947,093 | 53,951,399 | - | 3,951,399 | - | 640,503 | 306,538,995 |
| Fidelity SAI Long-Term Treasury Bond Index Fund | 2,824,132,623 | 246,847,753 | 50,000,000 | 46,847,753 | (32,508,266) | (286,778,050) | 2,701,694,060 |
| Fidelity SAI Short-Term Bond Fund | 378,422,461 | 32,010,450 | - | 7,010,450 | - | 1,417,815 | 411,850,726 |
| Fidelity SAI Total Bond Fund | 14,844,520,012 | 958,826,682 | - | 338,831,608 | - | (286,938,123) | 15,516,408,571 |
| Fidelity SAI U.S. Treasury Bond Index Fund | 6,369,367,993 | 467,643,068 | 400,000,000 | 67,643,069 | (85,026,880) | (98,371,850) | 6,253,612,331 |
| Fidelity Short-Term Treasury Bond Index Fund | 718,184,966 | 282,447,332 | 250,002,316 | 7,439,114 | (4,199) | 2,460,658 | 753,086,441 |
| Fidelity Sustainability Bond Index Fund | 22,747,368 | 339,438 | - | 339,450 | - | (514,573) | 22,572,233 |
| Fidelity U.S. Bond Index Fund | 3,228,930,206 | 159,976,970 | 2,880,261,772 | 34,945,497 | (394,228,142) | 247,864,831 | 362,282,093 |
| | 34,438,623,153 | 6,973,710,897 | 7,554,700,191 | 653,626,677 | (549,220,256) | (367,101,578) | 32,941,312,025 |
Amounts in the dividend 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.
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
Investment Valuation
The following is a summary of the inputs used, as of November 30, 2023, 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 | 9,366,748,776 | - | 9,366,597,501 | 151,275 |
|
| U.S. Government and Government Agency Obligations | 8,368,854,756 | - | 8,368,854,756 | - |
|
| U.S. Government Agency - Mortgage Securities | 19,380,964,227 | - | 19,380,964,227 | - |
|
| Asset-Backed Securities | 1,925,813,158 | - | 1,925,749,899 | 63,259 |
|
| Collateralized Mortgage Obligations | 1,076,453,530 | - | 1,076,453,474 | 56 |
|
| Commercial Mortgage Securities | 2,565,632,888 | - | 2,565,632,888 | - |
|
| Municipal Securities | 6,145,798 | - | 6,145,798 | - |
|
| Foreign Government and Government Agency Obligations | 48,787,523 | - | 48,787,523 | - |
|
| Supranational Obligations | 7,662,496 | - | 7,662,496 | - |
|
| Bank Loan Obligations | 4,119,332 | - | 4,119,332 | - |
|
| Bank Notes | 11,276,190 | - | 11,276,190 | - |
|
| Fixed-Income Funds | 32,344,149,118 | 32,344,149,118 | - | - |
|
| Short-Term Funds | 411,850,726 | 411,850,726 | - | - |
|
| Preferred Securities | 80,184,362 | - | 80,184,362 | - |
|
| Money Market Funds | 3,135,821,226 | 3,135,821,226 | - | - |
|
| Purchased Swaptions | 1,494,690 | - | 1,494,690 | - |
| Total Investments in Securities: | 78,735,958,796 | 35,891,821,070 | 42,843,923,136 | 214,590 |
Derivative Instruments: Assets | | | | |
Futures Contracts | 3,161,466 | 3,161,466 | - | - |
Forward Foreign Currency Contracts | 111,487 | - | 111,487 | - |
Swaps | 15,576,779 | - | 15,576,779 | - |
| Total Assets | 18,849,732 | 3,161,466 | 15,688,266 | - |
| Liabilities | | | | |
Futures Contracts | (5,238,466) | (5,238,466) | - | - |
Forward Foreign Currency Contracts | (2,356,819) | - | (2,356,819) | - |
Swaps | (16,332,314) | - | (16,332,314) | - |
Written Swaptions | (1,207,645) | - | (1,207,645) | - |
| Total Liabilities | (25,135,244) | (5,238,466) | (19,896,778) | - |
| Total Derivative Instruments: | (6,285,512) | (2,077,000) | (4,208,512) | - |
Other Financial Instruments: | | | | |
TBA Sale Commitments | (5,744,255,177) | - | (5,744,255,177) | - |
| Total Other Financial Instruments: | (5,744,255,177) | - | (5,744,255,177) | - |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of November 30, 2023. 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) | 15,355,315 | (2,215,762) |
| Total Credit Risk | 15,355,315 | (2,215,762) |
| Foreign Exchange Risk | | |
Forward Foreign Currency Contracts (b) | 111,487 | (2,356,819) |
| Total Foreign Exchange Risk | 111,487 | (2,356,819) |
| Interest Rate Risk | | |
Futures Contracts (c) | 3,161,466 | (5,238,466) |
Purchased Swaptions (d) | 1,494,690 | 0 |
Swaps (e) | 221,464 | (14,116,552) |
Written Swaptions (f) | 0 | (1,207,645) |
| Total Interest Rate Risk | 4,877,620 | (20,562,663) |
| Total Value of Derivatives | 20,344,422 | (25,135,244) |
(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 presented in the Statement of Assets and Liabilities in the Investments in Securities at value line-item.
(e)For centrally cleared 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 swaps is included in receivable or payable for daily variation margin on centrally cleared swaps, and the net cumulative appreciation (depreciation) for centrally cleared 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.
| Statement of Assets and Liabilities |
| | | | November 30, 2023 (Unaudited) |
| | | | | |
| Assets | | | | |
| Investment in securities, at value - See accompanying schedule: | | | | |
Unaffiliated issuers (cost $44,541,958,587) | $ | 42,844,137,726 | | |
Fidelity Central Funds (cost $2,950,509,006) | | 2,950,509,045 | | |
Other affiliated issuers (cost $36,911,602,870) | | 32,941,312,025 | | |
| | | | | |
| | | | | |
| Total Investment in Securities (cost $84,404,070,463) | | | $ | 78,735,958,796 |
| Cash | | | | 5,089,424 |
| Foreign currency held at value (cost $1,022,084) | | | | 1,029,328 |
| Receivable for investments sold | | | | |
Regular delivery | | | | 286,386,788 |
Delayed delivery | | | | 105,528,652 |
| Receivable for premium on written options | | | | 1,248,831 |
| Receivable for TBA sale commitments | | | | 5,656,386,610 |
| Unrealized appreciation on forward foreign currency contracts | | | | 111,487 |
| Receivable for fund shares sold | | | | 58,843,134 |
| Dividends receivable | | | | 22,998 |
| Interest receivable | | | | 216,100,879 |
| Distributions receivable from Fidelity Central Funds | | | | 12,378,866 |
| Receivable for daily variation margin on futures contracts | | | | 3,937,214 |
| Receivable for daily variation margin on centrally cleared swaps | | | | 3,215,375 |
| Bi-lateral OTC swaps, at value | | | | 15,355,315 |
| Prepaid expenses | | | | 51,075 |
| Other receivables | | | | 2,759 |
Total assets | | | | 85,101,647,531 |
| Liabilities | | | | |
| Payable for investments purchased | | | | |
Regular delivery | $ | 207,817,063 | | |
Delayed delivery | | 12,027,278,148 | | |
| TBA sale commitments, at value | | 5,744,255,177 | | |
| Unrealized depreciation on forward foreign currency contracts | | 2,356,819 | | |
| Payable for fund shares redeemed | | 88,342,212 | | |
| Distributions payable | | 8,021,580 | | |
| Bi-lateral OTC swaps, at value | | 2,215,762 | | |
| Accrued management fee | | 2,257,956 | | |
| Written options, at value (premium receivable $1,248,831) | | 1,207,645 | | |
| Other payables and accrued expenses | | 923,375 | | |
| Total Liabilities | | | | 18,084,675,737 |
| Net Assets | | | $ | 67,016,971,794 |
| Net Assets consist of: | | | | |
| Paid in capital | | | $ | 75,596,338,090 |
| Total accumulated earnings (loss) | | | | (8,579,366,296) |
| Net Assets | | | $ | 67,016,971,794 |
Net Asset Value, offering price and redemption price per share ($67,016,971,794 ÷ 7,547,122,571 shares) | | | $ | 8.88 |
| Statement of Operations |
| | | | Six months ended November 30, 2023 (Unaudited) |
| Investment Income | | | | |
| Dividends: | | | | |
| Unaffiliated issuers | | | $ | 2,621,811 |
| Affiliated issuers | | | | 653,626,677 |
| Interest | | | | 670,943,719 |
| Income from Fidelity Central Funds | | | | 26,712,260 |
| Total Income | | | | 1,353,904,467 |
| Expenses | | | | |
| Management fee | $ | 96,367,347 | | |
| Custodian fees and expenses | | 201,715 | | |
| Independent trustees' fees and expenses | | 194,754 | | |
| Registration fees | | 1,515,558 | | |
| Audit | | 45,680 | | |
| Legal | | 54,379 | | |
| Miscellaneous | | 201,461 | | |
| Total expenses before reductions | | 98,580,894 | | |
| Expense reductions | | (81,769,431) | | |
| Total expenses after reductions | | | | 16,811,463 |
| Net Investment income (loss) | | | | 1,337,093,004 |
| Realized and Unrealized Gain (Loss) | | | | |
| Net realized gain (loss) on: | | | | |
| Investment Securities: | | | | |
| Unaffiliated issuers | | (836,372,427) | | |
| Affiliated issuers | | (549,220,256) | | |
| Foreign currency transactions | | 2,374,221 | | |
| Futures contracts | | 61,863,015 | | |
| Swaps | | (5,940,564) | | |
| Total net realized gain (loss) | | | | (1,327,296,011) |
| Change in net unrealized appreciation (depreciation) on: | | | | |
| Investment Securities: | | | | |
| Unaffiliated issuers | | 207,870,917 | | |
| Affiliated issuers | | (367,101,578) | | |
| Forward foreign currency contracts | | (4,669,640) | | |
| Assets and liabilities in foreign currencies | | 12,033 | | |
| Futures contracts | | 3,087,859 | | |
| Swaps | | (21,719,126) | | |
| Written options | | 41,186 | | |
| TBA Sale commitments | | (84,703,410) | | |
| Total change in net unrealized appreciation (depreciation) | | | | (267,181,759) |
| Net gain (loss) | | | | (1,594,477,770) |
| Net increase (decrease) in net assets resulting from operations | | | $ | (257,384,766) |
| Statement of Changes in Net Assets |
| |
| | Six months ended November 30, 2023 (Unaudited) | | Year ended May 31, 2023 |
| Increase (Decrease) in Net Assets | | | | |
| Operations | | | | |
| Net investment income (loss) | $ | 1,337,093,004 | $ | 1,982,588,216 |
| Net realized gain (loss) | | (1,327,296,011) | | (1,144,109,988) |
| Change in net unrealized appreciation (depreciation) | | (267,181,759) | | (1,813,366,788) |
| Net increase (decrease) in net assets resulting from operations | | (257,384,766) | | (974,888,560) |
| Distributions to shareholders | | (1,263,378,303) | | (1,934,293,675) |
| | | | | |
| Share transactions | | | | |
| Proceeds from sales of shares | | 10,386,059,694 | | 28,111,269,641 |
| Reinvestment of distributions | | 1,225,261,684 | | 1,894,870,669 |
| Cost of shares redeemed | | (7,435,012,487) | | (10,626,546,322) |
| | | | | |
Net increase (decrease) in net assets resulting from share transactions | | 4,176,308,891 | | 19,379,593,988 |
| Total increase (decrease) in net assets | | 2,655,545,822 | | 16,470,411,753 |
| | | | | |
| Net Assets | | | | |
| Beginning of period | | 64,361,425,972 | | 47,891,014,219 |
| End of period | $ | 67,016,971,794 | $ | 64,361,425,972 |
| | | | | |
| Other Information | | | | |
| Shares | | | | |
| Sold | | 1,171,297,811 | | 3,047,337,881 |
| Issued in reinvestment of distributions | | 138,671,946 | | 207,670,194 |
| Redeemed | | (846,604,571) | | (1,159,173,454) |
| Net increase (decrease) | | 463,365,186 | | 2,095,834,621 |
| | | | | |
Financial Highlights
| Strategic Advisers® Fidelity® Core Income Fund |
| |
| | Six months ended (Unaudited) November 30, 2023 | | Years ended May 31, 2023 | | 2022 | | 2021 | | 2020 | | 2019 A |
Selected Per-Share Data | | | | | | | | | | | | |
| Net asset value, beginning of period | $ | 9.09 | $ | 9.60 | $ | 10.60 | $ | 10.95 | $ | 10.47 | $ | 10.00 |
| Income from Investment Operations | | | | | | | | | | | | |
Net investment income (loss) B,C | | .181 | | .322 | | .222 | | .239 | | .302 | | .209 |
| Net realized and unrealized gain (loss) | | (.220) | | (.519) | | (.993) | | .106 | | .613 | | .445 |
| Total from investment operations | | (.039) | | (.197) | | (.771) | | .345 | | .915 | | .654 |
| Distributions from net investment income | | (.171) | | (.313) | | (.223) | | (.245) | | (.299) | | (.182) |
| Distributions from net realized gain | | - | | - | | (.006) | | (.450) | | (.136) | | (.002) |
| Total distributions | | (.171) | | (.313) | | (.229) | | (.695) | | (.435) | | (.184) |
| Net asset value, end of period | $ | 8.88 | $ | 9.09 | $ | 9.60 | $ | 10.60 | $ | 10.95 | $ | 10.47 |
Total Return D,E | | (.41)% | | (2.02)% | | (7.41)% | | 3.10% | | 8.94% | | 6.60% |
Ratios to Average Net Assets C,F,G | | | | | | | | | | | | |
| Expenses before reductions | | .30% H | | .30% | | .30% | | .31% | | .32% | | .37% H |
| Expenses net of fee waivers, if any | | .05% H | | .05% | | .05% | | .06% | | .07% | | .12% H |
| Expenses net of all reductions | | .05% H | | .05% | | .05% | | .06% | | .07% | | .12% H |
| Net investment income (loss) | | 4.09% H | | 3.52% | | 2.14% | | 2.18% | | 2.83% | | 3.30% H |
| Supplemental Data | | | | | | | | | | | | |
| Net assets, end of period (000 omitted) | $ | 67,016,972 | $ | 64,361,426 | $ | 47,891,014 | $ | 35,955,537 | $ | 24,774,315 | $ | 16,953,257 |
Portfolio turnover rate I | | 199% H | | 202% | | 201% | | 191% | | 247% | | 124% H,J |
AFor the period October 16, 2018 (commencement of operations) through May 31, 2019.
BCalculated based on average shares outstanding during the period.
CNet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
DTotal returns for periods of less than one year are not annualized.
ETotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
FFees 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.
GExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
HAnnualized.
IAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
JPortfolio turnover rate excludes securities received or delivered in-kind.
For the period ended November 30, 2023
1. Organization.
Strategic Advisers Fidelity Core Income Fund (the Fund) is a fund of Fidelity Rutland Square Trust II (the Trust), and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust. The Fund is offered exclusively to certain managed account clients of Strategic Advisers LLC (Strategic Advisers), an affiliate of Fidelity Management & Research Company LLC (FMR).
2. Significant Accounting Policies.
The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services 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 the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.
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 - unadjusted 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 services 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, supranational obligations and U.S. government and government agency obligations are valued by pricing services 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 services 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 services, 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 services. 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 U.S. dollar value of forward foreign currency contracts is determined using currency exchange rates supplied by a pricing service and are categorized as Level 2 in the hierarchy. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Options traded over-the-counter are valued using service 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. Short-term securities with remaining maturities of sixty days or less may be valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of November 30, 2023 is included at the end of the Fund's Schedule of Investments.
Foreign Currency. Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received, and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Realized gains and losses on foreign currency transactions arise from the disposition of foreign currency, realized changes in the value of foreign currency between the trade and settlement dates on security transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on transaction date and the U.S. dollar equivalent of the amounts actually received or paid. Unrealized gains and losses on assets and liabilities in foreign currencies arise from changes in the value of foreign currency, and from assets and liabilities denominated in foreign currencies, other than investments, which are held at period end.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of a fund include an amount in addition to trade execution, which may be rebated back to a fund. Any such rebates are included in net realized gain (loss) on investments in the Statement of Operations. Dividend income is recorded on the ex-dividend date, 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. 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. Funds may file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. Any withholding tax reclaims income is included in the Statement of Operations in interest. Any receivables for withholding tax reclaims are included in the Statement of Assets and Liabilities in interest receivable.
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan) for certain Funds, certain independent Trustees have elected to defer receipt of a portion of their annual compensation. Deferred amounts are invested in affiliated mutual funds, are marked-to-market and remain in a fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees presented below are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, as applicable.
| Strategic Advisers Fidelity Core Income Fund | $2,192 |
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.
Distributions are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to futures contracts, foreign currency transactions, swaps, market discount, deferred Trustee compensation and losses deferred due to wash sales and future 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 | $516,192,043 |
| Gross unrealized depreciation | (6,325,045,054) |
| Net unrealized appreciation (depreciation) | $(5,808,853,011) |
| Tax cost | $84,436,653,523 |
Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of prior fiscal period end and is subject to adjustment.
Short-term | $(744,329,016) |
Long-term | (725,851,137) |
| Total capital loss carryforward | $(1,470,180,153) |
Delayed Delivery Transactions and When-Issued Securities. During the period, certain Funds transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. Securities purchased on a delayed delivery or when-issued basis are identified as such in the Schedule of Investments. Compensation for interest forgone in the purchase of a delayed delivery or when-issued debt security may be received. With respect to purchase commitments, each applicable Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Payables and receivables associated with the purchases and sales of delayed delivery securities having the same coupon, settlement date and broker are offset. Delayed delivery or when-issued securities that have been purchased from and sold to different brokers are reflected as both payables and receivables in the Statement of Assets and Liabilities under the caption "Delayed delivery", as applicable. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
To-Be-Announced (TBA) Securities and Mortgage Dollar Rolls. TBA securities involve buying or selling mortgage-backed securities (MBS) on a forward commitment basis. A TBA transaction typically does not designate the actual security to be delivered and only includes an approximate principal amount; however delivered securities must meet specified terms defined by industry guidelines, including issuer, rate and current principal amount outstanding on underlying mortgage pools. Funds may enter into a TBA transaction with the intent to take possession of or deliver the underlying MBS, or a fund may elect to extend the settlement by entering into either a mortgage or reverse mortgage dollar roll. Mortgage dollar rolls are transactions where a fund sells TBA securities and simultaneously agrees to repurchase MBS on a later date at a lower price and with the same counterparty. Reverse mortgage dollar rolls involve the purchase and simultaneous agreement to sell TBA securities on a later date at a lower price. Transactions in mortgage dollar rolls and reverse mortgage dollar rolls are accounted for as purchases and sales and may result in an increase to a fund's portfolio turnover rate.
Purchases and sales of TBA securities involve risks similar to those discussed above for delayed delivery and when-issued securities. Also, if the counterparty in a mortgage dollar roll or a reverse mortgage dollar roll transaction files for bankruptcy or becomes insolvent, a fund's right to repurchase or sell securities may be limited. Additionally, when a fund sells TBA securities without already owning or having the right to obtain the deliverable securities (an uncovered forward commitment to sell), it incurs a risk of loss because it could have to purchase the securities at a price that is higher than the price at which it sold them. A fund may be unable to purchase the deliverable securities if the corresponding market is illiquid.
TBA securities subject to a forward commitment to sell at period end are included at the end of the Schedule of Investments under the caption "TBA Sale Commitments." The proceeds and value of these commitments are reflected in the Statement of Assets and Liabilities as "Receivable for TBA sale commitments" and "TBA sale commitments, at value," respectively.
Restricted Securities (including Private Placements). Funds may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities held at period end is included at the end of the Schedule of Investments, if applicable.
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 objectives allow for various types of derivative instruments, 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.
Derivatives were used 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 objectives may not be achieved.
Derivatives were used to increase or decrease exposure to the following risk(s):
| 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 a 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. |
Funds are also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that a 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 a 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, a 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 a 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, a fund receives collateral in the form of cash or securities once 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 custodian bank in accordance with the collateral agreements entered into between a fund, the counterparty and the custodian bank. A fund could experience delays and costs in gaining access to the collateral even though it is held by the custodian bank. The maximum risk of loss to a fund 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 a fund. For OTC written options with upfront premiums received, a 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. A 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 contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to these contracts may be mitigated by the protection provided by the exchange on which they trade. Counterparty credit risk related to centrally cleared 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, 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)($) |
| Strategic Advisers Fidelity Core Income Fund | | |
| Credit Risk | | |
| Purchased Options | (524,593) | 177,113 |
| Swaps | (689,755) | (3,685,841) |
| Total Credit Risk | (1,214,348) | (3,508,728) |
| Foreign Exchange Risk | | |
| Forward Foreign Currency Contracts | - | (4,669,640) |
| Total Foreign Exchange Risk | - | (4,669,640) |
| Interest Rate Risk | | |
| Futures Contracts | 61,863,015 | 3,087,859 |
| Purchased Options | 769,500 | (42,634) |
| Written Options | - | 41,186 |
| Swaps | (5,250,809) | (18,033,285) |
| Total Interest Rate Risk | 57,381,706 | (14,946,874) |
| Totals | 56,167,358 | (23,125,242) |
If there are any open positions at period end, a summary of the value of derivatives by primary risk exposure 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. Forward foreign currency contracts were used 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 total accumulated earnings (loss) in the Statement of Assets and Liabilities. When the contract is closed, a gain or loss is realized 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 unless an average contract value is presented.
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. Futures contracts were used to manage 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 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 unless an average notional amount is presented. Any securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Any 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. OTC options, such as swaptions, which are options where the underlying instrument is a swap, were used to manage exposure to fluctuations in interest rates and potential credit events.
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 in total accumulated earnings (loss) in 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, a gain or loss is realized 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 unless an average notional amount is presented.
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 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 total accumulated earnings (loss) 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 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. Any securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Any 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 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 swaps in the Statement of Assets and Liabilities. Any premiums for centrally cleared swaps are recorded periodically throughout the term of the swap to variation margin and included in total accumulated earnings (loss) 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 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 unless an average notional amount is presented.
Credit Default Swaps. Credit default swaps enable a 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. A 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, a 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 a 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, a 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 a 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 a 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. A fund enters into interest rate swaps to manage its exposure to interest rate changes. Changes in interest rates can have an effect on both the value of bond holdings as well as the amount of interest income earned. In general, the value of bonds can fall when interest rates rise and can rise when interest rates fall.
4. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities, U.S. government securities and in-kind transactions, as applicable, are noted in the table below.
| | Purchases ($) | Sales ($) |
| Strategic Advisers Fidelity Core Income Fund | 44,373,989,161 | 40,703,327,817 |
5. Fees and Other Transactions with Affiliates.
Management Fee. Strategic Advisers (the investment adviser) provides the Fund with investment management related services. For these services, the Fund pays a monthly management fee to the investment adviser. The management fee is calculated by adding the annual management fee rate of .25% of the Fund's average net assets throughout the month to the aggregate of the fee rates, payable monthly by the investment adviser, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed .60% of the Fund's average net assets. For the reporting period, the total annualized management fee rate was .29% of the Fund's average net assets.
During the period, the investment adviser waived a portion of its management fee as described in the Expense Reductions note.
Sub-Adviser. FIAM LLC (an affiliate of the investment adviser) served as a sub-adviser for the Fund during the period. Sub-advisers provide discretionary investment advisory services for their allocated portion of the Fund's assets and are paid as described in the Management Fee note.
Interfund Trades. Funds may purchase from or sell securities to other funds affiliated with each sub-adviser under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. During the period, there were no interfund trades.
Prior Fiscal Year Affiliated Exchanges In-Kind. During the prior period, the Fund redeemed shares of Fidelity Intermediate Bond Fund, Fidelity Corporate Bond Fund and Fidelity Global Credit Fund in exchange for investments and cash, if any, as noted in the table below. The Fund had a net realized loss of $479,994,211 on the Fund's redemptions of Fidelity Intermediate Bond Fund, Fidelity Corporate Bond Fund and Fidelity Global Credit Fund, which is included in "Net Realized gain (loss)" in the accompanying Statement of Changes in Net Assets. The Fund recognized a net loss on the exchanges for federal income tax purposes.
| Fund Name | Value of Investments ($) | Net realized gain (loss) ($) | Shares redeemed |
| Fidelity Intermediate Bond Fund | 1,495,644,500 | (161,321,472) | 153,556,930 |
| Fidelity Corporate Bond Fund | 2,797,847,189 | (312,457,179) | 271,635,649 |
| Fidelity Global Credit Fund | 25,630,401 | (6,215,560) | 3,394,755 |
6. Investments in Fidelity Central Funds.
Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.
| Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense RatioA |
| Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |
A Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.
7. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below. During the period, there were no borrowings on this line of credit.
| | Amount |
| Strategic Advisers Fidelity Core Income Fund | $53,716 |
8. Expense Reductions.
The investment adviser has contractually agreed to waive the Fund's management fee in an amount equal to .25% of the Fund's average net assets until September 30, 2026. During the period, this waiver reduced the Fund's management fee by $81,757,984.
Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses by $11,447.
9. Other.
A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.
Funds do not invest in underlying mutual funds for the purpose of exercising management or control; however, investments by funds within their principal investment strategies may represent a significant portion of the underlying mutual fund's net assets. At the end of the period, certain Funds were the owners of record of 10% or more of the total outstanding shares of the following underlying mutual funds as shown below.
| Fund | Strategic Advisers Fidelity Core Income Fund |
| Fidelity Government Income Fund | 13% |
| Fidelity Intermediate Treasury Bond Index Fund | 27% |
| Fidelity New Markets Income Fund | 27% |
| Fidelity Real Estate Income Fund | 24% |
| Fidelity SAI High Income Fund | 22% |
| Fidelity SAI International Credit Fund | 100% |
| Fidelity SAI Long-Term Treasury Bond Index Fund | 61% |
| Fidelity SAI Short-Term Bond Fund | 13% |
| Fidelity SAI Total Bond Fund | 76% |
| Fidelity SAI U.S. Treasury Bond Index Fund | 48% |
| Fidelity Short-Term Treasury Bond Index Fund | 20% |
10. Risk and Uncertainties.
Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as pandemics, epidemics, outbreaks of infectious diseases, war, terrorism, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer. Significant concentrations in security types, issuers, industries, sectors, and geographic locations may magnify the factors that affect a fund's performance.
As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
| The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (June 1, 2023 to November 30, 2023). |
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| | | | | Annualized Expense Ratio- A | | Beginning Account Value June 1, 2023 | | Ending Account Value November 30, 2023 | | Expenses Paid During Period- C June 1, 2023 to November 30, 2023 |
| | | | | | | | | | |
| Strategic Advisers® Fidelity® Core Income Fund | | | | .05% | | | | | | |
| Actual | | | | | | $ 1,000 | | $ 995.90 | | $ .25 |
Hypothetical-B | | | | | | $ 1,000 | | $ 1,024.75 | | $ .25 |
| |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B 5% return per year before expenses
C Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/ 366 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.
Board Approval of Investment Advisory Contracts and Management Fees
Strategic Advisers Fidelity Core Income Fund
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), considers the renewal of the fund's management contract with Strategic Advisers LLC (Strategic Advisers), the sub-advisory agreement with FIAM LLC (FIAM or the Sub-Adviser) (the Sub-Advisory Agreement), and the sub-sub-advisory agreements with FMR Investment Management (UK) Limited, Fidelity Management & Research (Japan) Limited, and Fidelity Management & Research (Hong Kong) Limited (collectively, the Sub-Sub-Advisory Agreements and, together with the management contract and the Sub-Advisory Agreement, the Advisory Contracts) for the fund. Strategic Advisers and the Sub-Adviser are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.
The Board meets at least four times per year and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The full Board or the Independent Trustees, as appropriate, act on all major matters; however, a portion of the activities of the Board (including certain of those described herein) may be conducted through standing committees that have been established by the Board. The Board, acting directly and through its committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts.
At its September 2023 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 Sub-Advisory Agreement with FIAM to add a new mandate (Amendment). The Board noted that the new mandate (once funded) is expected to increase the fund's total management fee rate and total net expenses slightly. The Board also noted that no other contract terms are impacted by the Amendment.
In reaching its determination to renew the fund's Advisory Contracts and approve the Amendment, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness relative to peer funds of the fund's management fee and total expenses; (iii) the total costs of the services provided by and the profits, if any, realized by Strategic Advisers from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and are realized as the fund grows and whether any economies of scale are appropriately shared with fund shareholders. 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.
The Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts and the approval of the Amendment is in the best interests of the fund and its shareholders. In addition, the Board concluded that the renewal of the Sub-Advisory Agreement and the approval of the Amendment do not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees charged under the Advisory Contracts bear a reasonable relationship to the services rendered.
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. In approving the Amendment, the Board also took into consideration additional information about the new investment mandate provided by Strategic Advisers and FIAM.
The Trustees also discussed with representatives of Strategic Advisers, at meetings throughout the year, Strategic Advisers' role in, among other things, (i) setting, implementing and monitoring the investment strategies for the funds; (ii) identifying and recommending sub-advisers for the funds; (iii) overseeing compliance with federal securities laws by each sub-adviser with respect to the portion of fund assets allocated to the sub-adviser; (iv) monitoring and overseeing the performance and investment capabilities of each sub-adviser; and (v) recommending the replacement of a sub-adviser as appropriate. The Trustees considered that the Board had received from Strategic Advisers substantial information and periodic reports about Strategic Advisers' sub-adviser oversight and due diligence processes, as well as periodic reports regarding the performance of each sub-adviser.
The Board also considered the nature, extent and quality of services provided by the Sub-Adviser. The Trustees noted that under the Sub-Advisory Agreement subject to oversight by Strategic Advisers, the Sub-Adviser is responsible for, among other things, identifying investments for the portion of fund assets allocated to the Sub-Adviser, if any, and executing portfolio transactions to implement its investment strategy. In addition, the Trustees noted that the Sub-Adviser is responsible for providing such reporting as may be requested from Strategic Advisers to fulfill its oversight responsibilities discussed above.
Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of the Investment Advisers' investment staffs, their use of technology, and the Investment Advisers' approach to managing and compensating investment personnel. The Board noted that the Investment Advisers' analysts have extensive resources, tools, and capabilities that allow them to conduct sophisticated quantitative and/or fundamental analysis. Additionally, in its deliberations, the Board considered the Investment Advisers' trading capabilities and resources and global compliance infrastructure, which are integral parts of the investment management process.
Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of administrative and shareholder services performed by Strategic Advisers and its affiliates under the management contract and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of Strategic Advisers' supervision of third party service providers, including sub-advisers, custodians and subcustodians; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.
Investment Performance. In connection with the renewal of the Advisory Contracts, the Board considered annualized return information for the fund over 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. The Board also considered information about
performance attribution. In its discussions with representatives of Strategic Advisers regarding fund performance, the Board gave particular attention to information indicating underperformance of certain funds over different time periods and discussed with Strategic Advisers the reasons for any such underperformance.
In addition to reviewing absolute and relative fund performance, the Independent Trustees periodically
consider the appropriateness of fund performance metrics in evaluating the results achieved. The
Independent Trustees generally give greater weight to fund performance over longer time periods than
over shorter time periods. Depending on the circumstances, the Independent Trustees may be satisfied
with the fund's performance notwithstanding that it lags its benchmark index peer group for certain
periods.
In connection with the approval of the Amendment, the Board considered the historical investment performance of FIAM and its 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 provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.
Competitiveness of Management Fee and Total Fund Expenses. The Board considered the amount and nature of fees paid to the Investment Advisers. The Board also considered information comparing the management fees and total expenses of the fund to those of other registered investment companies with investment objectives similar to those of the fund, as discussed below. The Board also noted Strategic Advisers' proposal to extend the management fee waiver and considered the fund's contractual maximum aggregate annual management fee rate. In considering the fund's management fee and management fee waiver and comparisons to other registered investment companies with investment objectives similar to those of the fund, the Board noted that shares of the fund are offered only to clients that participate in the Fidelity Portfolio Advisory Service managed account program.
In its review of the fund's total expenses, the Board considered the fund's management fee rate as well as other fund expenses, as applicable, such as expenses from holding Fidelity and non-Fidelity mutual funds and ETFs, pricing and bookkeeping fees, and custodial, legal, and audit fees.
Comparisons of Management Fees and Total Expense Ratios. Among other things, the Board reviewed data for selected groups of competitive funds and classes (referred to as "mapped groups") that were compiled by Fidelity based on combining similar investment objective categories (as classified by Lipper) that have comparable investment mandates. The data reviewed by the Board included (i) gross management fee comparisons (before taking into account expense reimbursements or caps) relative to the total universe of funds within the mapped group; (ii) gross management fee comparisons relative to a subset of non-Strategic Advisers funds in the mapped group that are similar in size and management fee structure to the fund (referred to as the "asset size peer group"); and (iii) total expense comparisons of the fund relative to funds and classes in the mapped group that have a similar sales load structure to the fund (referred to as the "similar sales load structure group").
The information provided to the Board indicated that the fund's management fee rate ranked below the competitive median of the mapped group for the 12-month period ended December 31, 2022 and equal to the competitive median of the asset size peer group for the 12-month period ended December 31, 2022. Further, the information provided to the Board indicated that the total expense ratio of the fund ranked below the competitive median of the similar sales load structure group for the 12-month period ended December 31, 2022.
Fees Charged to Other Clients. The Board also considered fee structures paid by the Investment Advisers' other clients, such as other funds advised or subadvised by the Investment Advisers, pension plan clients, and other institutional clients with similar investment mandates.
Based on its review, the Board concluded that the fund's management fee bears a reasonable relationship to the services rendered. Further, based on its review of the total expense ratios and fees charged to other clients of Strategic Advisers or its affiliates and the Sub-Adviser, the Board concluded that the total expenses of the fund were reasonable in light of the services that the fund and its shareholders receive and the other factors considered.
Costs of the Services and Profitability. The Board considered information regarding the revenues earned and the expenses incurred by Strategic Advisers and its affiliates in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and servicing the fund's shareholders.
On an annual basis, Strategic Advisers presents to the Board information about the profitability of its relationships with the fund. Strategic Advisers calculates profitability information for the fund using a series of detailed revenue and cost allocation methodologies. The Board reviews any significant changes from the prior year's methodologies. Strategic Advisers noted that, to the extent possible, it employs the same corporate reporting of revenues and expenses as those used by other Fidelity funds.
A public accounting firm has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. The engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's fund business, and completion of agreed-upon procedures in respect of the mathematical accuracy of certain fund profitability information and its conformity to established allocation methodologies. After considering the reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.
The Board also reviewed Fidelity's non-fund businesses and potential indirect benefits such businesses may have received as a result of their association with Fidelity's fund business (i.e., fall-out benefits) as well as cases where Fidelity's affiliates may benefit from the fund's business. The Board noted that changes to fall-out benefits year-over-year reflect business developments at Fidelity's various businesses.
The Board considered the costs of the services provided by and the profits realized, if any, by Strategic Advisers and its affiliates in connection with the operation of the fund and was satisfied that the profitability was not excessive.
The Board also considered information regarding the profitability of the Sub-Adviser's relationship with the fund and the potential fall-out benefits, if any, that may accrue to the Sub-Adviser as a result of its relationship with the fund. The Board considered profitability information provided by the Sub-Adviser in light of the nature of the relationship between Strategic Advisers and the Sub-Adviser with respect to the negotiation of sub-advisory fees.
Possible Economies of Scale. The Board considered whether there have been economies of scale in respect of the management of the Strategic Advisers funds, whether the Strategic Advisers funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale as assets grow through increased services to the fund, through waivers or reimbursements, or through fee or expense ratio reductions. The Board considered that certain of the fund's Sub-Advisory Agreement provides for breakpoints as the fund's assets grow and noted that any potential decline in sub-advisory fees under such contract would accrue directly to the fund. The Board also took Strategic Advisers' management fee waiver into consideration.
Conclusion. Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee arrangements bear a reasonable relationship to the services rendered and that the fund's Advisory Contracts should be renewed and the Amendment should be approved because each agreement is in the best interests of the fund and its shareholders. In addition, the Board concluded that the renewal of the Sub-Advisory Agreement and the approval of the Amendment do not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.
1.9887940.105
COI-SANN-0124
Strategic Advisers® Fidelity® Emerging Markets Fund
Offered exclusively to certain managed account clients of Strategic Advisers LLC or its affiliates - not available for sale to the general public
Semi-Annual Report
November 30, 2023
Contents
To view a fund's proxy voting guidelines and 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. © 2024 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.
The information in the following tables is based on the direct Investments of the Fund.
Top Holdings (% of Fund's net assets) |
| (excluding cash equivalents) |
| Fidelity SAI Emerging Markets Value Index Fund | 19.8 | |
| Fidelity Advisor Emerging Markets Fund Class Z | 10.8 | |
| Fidelity SAI Emerging Markets Index Fund | 10.2 | |
| Fidelity SAI Emerging Markets Low Volatility Index Fund | 7.4 | |
| Taiwan Semiconductor Manufacturing Co. Ltd. | 3.8 | |
| Samsung Electronics Co. Ltd. | 2.5 | |
| Tencent Holdings Ltd. | 2.5 | |
| PDD Holdings, Inc. ADR | 1.2 | |
| Alibaba Group Holding Ltd. | 1.0 | |
| HDFC Bank Ltd. | 1.0 | |
| | 60.2 | |
| |
| Market Sectors (% of Fund's net assets) |
| (Stocks Only) |
| Information Technology | 10.6 | |
| Financials | 10.4 | |
| Consumer Discretionary | 7.9 | |
| Communication Services | 4.1 | |
| Industrials | 3.5 | |
| Materials | 3.1 | |
| Consumer Staples | 2.7 | |
| Health Care | 1.6 | |
| Energy | 1.3 | |
| Real Estate | 0.3 | |
| Utilities | 0.3 | |
| |
Asset Allocation (% of Fund's net assets) |
|
|
Asset Allocation of funds in the pie chart reflect the categorizations of the asset as defined by Morningstar as of the reporting date.
Geographic Diversification (% of Fund's net assets) |
|
* Includes Short-Term investments and Net Other Assets (Liabilities). Percentages are adjusted for the effect of derivatives, if applicable. |
| |
Showing Percentage of Net Assets
| Common Stocks - 45.0% |
| | | Shares | Value ($) |
| COMMUNICATION SERVICES - 4.1% | | | |
| Diversified Telecommunication Services - 0.0% | | | |
| PT Telkom Indonesia Persero Tbk | | 15,164,295 | 3,687,289 |
| Entertainment - 0.8% | | | |
| International Games Systems Co. Ltd. | | 636,581 | 13,503,725 |
| JYP Entertainment Corp. | | 99,983 | 7,384,212 |
| NetEase, Inc. | | 1,506,600 | 34,003,761 |
| NetEase, Inc. ADR | | 189,305 | 21,482,331 |
| | | | 76,374,029 |
| Interactive Media & Services - 2.9% | | | |
| Baidu, Inc. sponsored ADR (a) | | 43,786 | 5,195,647 |
| NAVER Corp. | | 131,218 | 20,997,303 |
| Tencent Holdings Ltd. | | 5,993,736 | 249,694,024 |
| Yandex NV Series A (a)(b) | | 722,790 | 9,251,712 |
| | | | 285,138,686 |
| Media - 0.0% | | | |
| Focus Media Information Technology Co. Ltd. (A Shares) | | 3,488,100 | 3,196,661 |
| Wireless Telecommunication Services - 0.4% | | | |
| America Movil S.A.B. de CV Series L | | 5,463,949 | 4,942,202 |
| Bharti Airtel Ltd. | | 825,270 | 10,042,832 |
| Far EasTone Telecommunications Co. Ltd. | | 1,127,000 | 2,975,803 |
| MTN Group Ltd. | | 3,790,522 | 20,698,698 |
| | | | 38,659,535 |
TOTAL COMMUNICATION SERVICES | | | 407,056,200 |
| CONSUMER DISCRETIONARY - 7.9% | | | |
| Automobiles - 1.1% | | | |
| Brilliance China Automotive Holdings Ltd. | | 14,160,000 | 7,595,458 |
| BYD Co. Ltd. (H Shares) | | 602,302 | 16,187,836 |
| Eicher Motors Ltd. | | 249,406 | 11,655,976 |
| Hyundai Motor Co. Ltd. | | 308,211 | 43,699,879 |
| Kia Corp. | | 296,688 | 19,606,492 |
| Li Auto, Inc. ADR (a) | | 323,409 | 11,949,963 |
| | | | 110,695,604 |
| Broadline Retail - 3.4% | | | |
| Alibaba Group Holding Ltd. | | 10,883,239 | 101,164,199 |
| Alibaba Group Holding Ltd. sponsored ADR (a) | | 446,031 | 33,398,801 |
| JD.com, Inc. sponsored ADR | | 292,771 | 8,030,709 |
| MercadoLibre, Inc. (a) | | 10,455 | 16,941,909 |
| MINISO Group Holding Ltd. ADR | | 113,365 | 2,871,535 |
| Naspers Ltd. Class N | | 227,721 | 41,960,097 |
| PDD Holdings, Inc. ADR (a) | | 819,420 | 120,815,285 |
| Vipshop Holdings Ltd. ADR (a) | | 721,077 | 11,558,864 |
| | | | 336,741,399 |
| Diversified Consumer Services - 0.7% | | | |
| New Oriental Education & Technology Group, Inc. (a) | | 3,223,500 | 26,217,929 |
| New Oriental Education & Technology Group, Inc. sponsored ADR (a) | | 528,433 | 43,003,878 |
| | | | 69,221,807 |
| Hotels, Restaurants & Leisure - 1.6% | | | |
| Arcos Dorados Holdings, Inc. Class A (c) | | 995,291 | 11,535,423 |
| Atour Lifestyle Holdings Ltd. ADR | | 159,237 | 2,836,011 |
| Luckin Coffee, Inc. ADR (a) | | 99,300 | 3,317,613 |
| MakeMyTrip Ltd. (a) | | 277,366 | 11,713,166 |
| Meituan Class B (a)(d) | | 4,109,888 | 47,578,133 |
| OPAP SA | | 349,400 | 5,590,732 |
| Sands China Ltd. (a) | | 1,468,400 | 3,601,775 |
| Shangri-La Asia Ltd. (a) | | 15,480,000 | 10,225,801 |
| Trip.com Group Ltd. (a) | | 8,750 | 307,331 |
| Trip.com Group Ltd. ADR (a) | | 974,099 | 34,268,803 |
| Yum China Holdings, Inc. | | 36,469 | 1,574,731 |
| Yum China Holdings, Inc. (Hong Kong) | | 60,100 | 2,540,553 |
| Zomato Ltd. (a) | | 16,166,000 | 22,984,053 |
| | | | 158,074,125 |
| Household Durables - 0.4% | | | |
| Haier Smart Home Co. Ltd. | | 1,672,950 | 4,837,563 |
| Haier Smart Home Co. Ltd. (A Shares) | | 12,884,895 | 39,938,886 |
| Midea Group Co. Ltd. (A Shares) | | 282,758 | 2,047,309 |
| | | | 46,823,758 |
| Specialty Retail - 0.1% | | | |
| Pepkor Holdings Ltd. (d) | | 1,469,400 | 1,451,375 |
| Zhongsheng Group Holdings Ltd. Class H | | 2,452,000 | 5,870,009 |
| | | | 7,321,384 |
| Textiles, Apparel & Luxury Goods - 0.6% | | | |
| Anta Sports Products Ltd. | | 452,800 | 4,721,437 |
| ECLAT Textile Co. Ltd. | | 1,369,000 | 25,857,339 |
| Li Ning Co. Ltd. | | 4,220,500 | 11,751,677 |
| Samsonite International SA (a)(d) | | 6,161,100 | 17,983,316 |
| | | | 60,313,769 |
TOTAL CONSUMER DISCRETIONARY | | | 789,191,846 |
| CONSUMER STAPLES - 2.7% | | | |
| Beverages - 1.0% | | | |
| China Resources Beer Holdings Co. Ltd. | | 300,000 | 1,351,888 |
| Fomento Economico Mexicano S.A.B. de CV sponsored ADR | | 106,551 | 13,520,256 |
| Kweichow Moutai Co. Ltd. (A Shares) (a) | | 256,416 | 64,371,240 |
| Tsingtao Brewery Co. Ltd. (H Shares) | | 2,070,000 | 13,674,036 |
| Wuliangye Yibin Co. Ltd. (A Shares) | | 256,800 | 5,367,205 |
| | | | 98,284,625 |
| Consumer Staples Distribution & Retail - 0.8% | | | |
| Bid Corp. Ltd. | | 133,182 | 2,919,707 |
| Jeronimo Martins SGPS SA | | 359,651 | 8,886,599 |
| Raia Drogasil SA | | 4,437,454 | 25,315,409 |
| Shoprite Holdings Ltd. | | 847,064 | 11,554,804 |
| Wal-Mart de Mexico SA de CV Series V | | 8,967,256 | 35,154,473 |
| | | | 83,830,992 |
| Food Products - 0.6% | | | |
| China Mengniu Dairy Co. Ltd. | | 9,692,000 | 30,398,781 |
| Gruma S.A.B. de CV Series B | | 943,039 | 17,476,777 |
| Indofood Sukses Makmur Tbk PT | | 14,741,500 | 6,106,650 |
| PT Indofood CBP Sukses Makmur Tbk | | 9,588,900 | 7,140,670 |
| | | | 61,122,878 |
| Personal Care Products - 0.2% | | | |
| AMOREPACIFIC Corp. | | 95,951 | 9,544,535 |
| Hindustan Unilever Ltd. | | 224,188 | 6,844,102 |
| | | | 16,388,637 |
| Tobacco - 0.1% | | | |
| ITC Ltd. | | 935,496 | 4,889,356 |
TOTAL CONSUMER STAPLES | | | 264,516,488 |
| ENERGY - 1.1% | | | |
| Energy Equipment & Services - 0.0% | | | |
| China Oilfield Services Ltd. (H Shares) | | 1,392,000 | 1,496,908 |
| Oil, Gas & Consumable Fuels - 1.1% | | | |
| Adnoc Gas PLC | | 5,272,676 | 4,709,092 |
| China Merchants Energy Shipping Co. Ltd. (A Shares) | | 5,760,655 | 4,851,503 |
| COSCO Shipping Energy Transportation Co. Ltd. (H Shares) | | 946,000 | 917,988 |
| Gazprom OAO (a)(b) | | 5,946,277 | 643,475 |
| LUKOIL PJSC (b) | | 345,667 | 110,646 |
| LUKOIL PJSC sponsored ADR (a)(b) | | 499,400 | 141,275 |
| OMV AG | | 147,872 | 6,301,532 |
| PetroChina Co. Ltd. (H Shares) | | 22,171,563 | 14,560,972 |
| Petroleo Brasileiro SA - Petrobras (ON) | | 1,567,247 | 12,004,188 |
| Prio SA (a) | | 296,900 | 2,770,516 |
| PTT Exploration and Production PCL (For. Reg.) | | 1,486,269 | 6,366,123 |
| Reliance Industries Ltd. | | 817,609 | 23,312,000 |
| Saudi Arabian Oil Co. (d) | | 527,186 | 4,665,487 |
| TotalEnergies SE | | 409,511 | 27,911,950 |
| | | | 109,266,747 |
TOTAL ENERGY | | | 110,763,655 |
| FINANCIALS - 10.0% | | | |
| Banks - 7.1% | | | |
| Absa Group Ltd. | | 3,019,853 | 27,835,271 |
| Al Rajhi Bank | | 1,071,912 | 21,829,689 |
| Alinma Bank | | 1,508,840 | 14,398,633 |
| Axis Bank Ltd. | | 2,782,748 | 35,851,037 |
| Axis Bank Ltd. sponsored GDR (Reg. S) | | 522,757 | 33,508,724 |
| Banco do Brasil SA | | 1,171,596 | 12,917,893 |
| Bangkok Bank PCL (For. Reg.) | | 779,521 | 3,327,896 |
| Capitec Bank Holdings Ltd. | | 105,519 | 10,974,984 |
| China Construction Bank Corp. (H Shares) | | 27,219,039 | 15,737,876 |
| China Merchants Bank Co. Ltd. (H Shares) | | 1,804,500 | 6,297,736 |
| Credicorp Ltd. (United States) | | 214,096 | 26,875,471 |
| CTBC Financial Holding Co. Ltd. | | 8,344,000 | 7,268,709 |
| Grupo Financiero Banorte S.A.B. de CV Series O | | 4,864,743 | 45,237,334 |
| HDFC Bank Ltd. | | 5,308,978 | 99,542,342 |
| HDFC Bank Ltd. sponsored ADR | | 639,709 | 38,408,128 |
| ICICI Bank Ltd. | | 3,217,052 | 35,931,795 |
| ICICI Bank Ltd. sponsored ADR | | 1,516,064 | 33,611,139 |
| Industrial & Commercial Bank of China Ltd. (H Shares) | | 67,558,843 | 32,146,372 |
| KB Financial Group, Inc. | | 337,529 | 13,545,425 |
| National Bank of Greece SA (a) | | 6,666,639 | 45,586,191 |
| Nu Holdings Ltd. (a) | | 3,664,176 | 29,826,393 |
| OTP Bank PLC | | 257,768 | 10,716,024 |
| PT Bank Central Asia Tbk | | 73,454,561 | 42,505,138 |
| PT Bank Mandiri (Persero) Tbk | | 20,166,319 | 7,606,252 |
| PT Bank Negara Indonesia (Persero) Tbk | | 15,381,388 | 5,231,259 |
| PT Bank Rakyat Indonesia (Persero) Tbk | | 31,204,749 | 10,612,834 |
| Sberbank of Russia (b) | | 3,314,825 | 21,077 |
| Sberbank of Russia: | | | |
| (RTSX) (b) | | 617,111 | 3,924 |
| sponsored ADR (a)(b) | | 1,653,549 | 29,433 |
| Standard Bank Group Ltd. | | 1,827,112 | 19,405,841 |
| TCS Group Holding PLC GDR (a)(b) | | 267,069 | 3,098,000 |
| The Saudi National Bank | | 2,117,903 | 19,730,964 |
| | | | 709,619,784 |
| Capital Markets - 0.7% | | | |
| Banco BTG Pactual SA unit | | 5,845,061 | 42,204,664 |
| Hong Kong Exchanges and Clearing Ltd. | | 82,900 | 2,934,870 |
| Noah Holdings Ltd. sponsored ADR | | 80,375 | 1,030,408 |
| XP, Inc. Class A | | 952,064 | 22,173,571 |
| | | | 68,343,513 |
| Consumer Finance - 0.4% | | | |
| Kaspi.KZ JSC GDR (Reg. S) | | 349,849 | 35,684,598 |
| Financial Services - 0.4% | | | |
| Chailease Holding Co. Ltd. | | 5,540,812 | 32,825,552 |
| FirstRand Ltd. | | 989,234 | 3,538,442 |
| | | | 36,363,994 |
| Insurance - 1.4% | | | |
| AIA Group Ltd. | | 5,029,800 | 43,241,855 |
| China Life Insurance Co. Ltd. (H Shares) | | 43,109,474 | 58,389,543 |
| HDFC Standard Life Insurance Co. Ltd. (d) | | 2,443,808 | 20,244,659 |
| Ping An Insurance Group Co. of China Ltd. (H Shares) | | 4,055,651 | 18,601,854 |
| | | | 140,477,911 |
TOTAL FINANCIALS | | | 990,489,800 |
| HEALTH CARE - 1.6% | | | |
| Biotechnology - 0.2% | | | |
| Innovent Biologics, Inc. (a)(d) | | 2,679,585 | 15,711,212 |
| Health Care Equipment & Supplies - 0.2% | | | |
| Shenzhen Mindray Bio-Medical Electronics Co. Ltd. (A Shares) | | 582,428 | 23,739,476 |
| Health Care Providers & Services - 0.2% | | | |
| Apollo Hospitals Enterprise Ltd. | | 86,270 | 5,720,381 |
| Hapvida Participacoes e Investimentos SA (a)(d) | | 21,488,309 | 19,078,211 |
| | | | 24,798,592 |
| Life Sciences Tools & Services - 0.3% | | | |
| WuXi AppTec Co. Ltd. (H Shares) (d) | | 1,198,324 | 14,036,927 |
| Wuxi Biologics (Cayman), Inc. (a)(d) | | 2,049,423 | 11,412,940 |
| | | | 25,449,867 |
| Pharmaceuticals - 0.7% | | | |
| Hansoh Pharmaceutical Group Co. Ltd. (d) | | 15,500,000 | 31,391,702 |
| Mankind Pharma Ltd. | | 242,861 | 5,526,942 |
| Richter Gedeon PLC | | 1,445,941 | 36,443,568 |
| | | | 73,362,212 |
TOTAL HEALTH CARE | | | 163,061,359 |
| INDUSTRIALS - 3.5% | | | |
| Aerospace & Defense - 0.5% | | | |
| Hindustan Aeronautics Ltd. | | 658,806 | 18,802,712 |
| Korea Aerospace Industries Ltd. | | 952,368 | 33,959,501 |
| | | | 52,762,213 |
| Construction & Engineering - 0.4% | | | |
| Larsen & Toubro Ltd. | | 1,182,088 | 44,077,906 |
| Electrical Equipment - 0.3% | | | |
| Bharat Heavy Electricals Ltd. | | 12,457,800 | 25,466,006 |
| Contemporary Amperex Technology Co. Ltd. | | 101,348 | 2,371,710 |
| | | | 27,837,716 |
| Ground Transportation - 0.5% | | | |
| Localiza Rent a Car SA | | 14,137 | 162,278 |
| Localiza Rent a Car SA | | 3,165,360 | 38,611,598 |
| Vamos Locacao de Caminhoes Maquinas e Equipamentos SA | | 4,545,943 | 8,524,711 |
| | | | 47,298,587 |
| Industrial Conglomerates - 0.1% | | | |
| Bidvest Group Ltd./The | | 298,477 | 3,733,011 |
| Industries Qatar QSC (a) | | 844,016 | 2,897,611 |
| LG Corp. | | 43,160 | 2,792,442 |
| | | | 9,423,064 |
| Machinery - 1.4% | | | |
| Airtac International Group | | 578,426 | 19,989,560 |
| HIWIN Technologies Corp. | | 3,494,530 | 25,433,180 |
| Huaming Power Equipement Co. Ltd. | | 1,060,290 | 1,999,860 |
| Hyundai Mipo Dockyard Co. Ltd. (a) | | 338,204 | 21,101,161 |
| Shenzhen Inovance Technology Co. Ltd. (A Shares) | | 2,803,850 | 25,935,490 |
| Sinoseal Holding Co. Ltd. | | 132,678 | 705,385 |
| Sinotruk Hong Kong Ltd. | | 11,109,830 | 23,040,883 |
| Techtronic Industries Co. Ltd. | | 487,000 | 4,944,004 |
| Weichai Power Co. Ltd. (H Shares) | | 2,186,000 | 4,018,660 |
| Zhejiang Sanhua Intelligent Controls Co. Ltd. (A Shares) | | 2,216,217 | 8,981,327 |
| | | | 136,149,510 |
| Marine Transportation - 0.1% | | | |
| Pacific Basin Shipping Ltd. | | 43,534,000 | 13,208,503 |
| Trading Companies & Distributors - 0.0% | | | |
| BOC Aviation Ltd. Class A (d) | | 644,600 | 4,637,707 |
| Transportation Infrastructure - 0.2% | | | |
| Grupo Aeroportuario del Pacifico S.A.B. de CV Series B | | 1,090,328 | 16,608,065 |
TOTAL INDUSTRIALS | | | 352,003,271 |
| INFORMATION TECHNOLOGY - 10.6% | | | |
| Communications Equipment - 0.1% | | | |
| Accton Technology Corp. | | 369,000 | 6,264,397 |
| Zhongji Innolight Co. Ltd. (A Shares) | | 197,600 | 2,628,298 |
| | | | 8,892,695 |
| Electronic Equipment, Instruments & Components - 0.8% | | | |
| Delta Electronics, Inc. | | 1,177,000 | 11,865,222 |
| E Ink Holdings, Inc. | | 534,580 | 3,115,943 |
| Elite Material Co. Ltd. | | 133,000 | 1,609,759 |
| Gold Circuit Electronics Ltd. | | 595,000 | 4,320,933 |
| LG Innotek Co. Ltd. | | 20,094 | 3,679,172 |
| Lotes Co. Ltd. | | 109,000 | 3,214,868 |
| Maxscend Microelectronics Co. Ltd. (A Shares) | | 174,800 | 3,392,510 |
| SINBON Electronics Co. Ltd. | | 272,000 | 2,482,100 |
| Unimicron Technology Corp. | | 1,497,385 | 8,441,749 |
| Yageo Corp. | | 2,259,970 | 43,261,625 |
| | | | 85,383,881 |
| IT Services - 0.5% | | | |
| HCL Technologies Ltd. | | 867,215 | 13,945,871 |
| Infosys Ltd. | | 735,861 | 12,863,826 |
| Infosys Ltd. sponsored ADR | | 856,042 | 15,023,537 |
| Tata Consultancy Services Ltd. | | 132,227 | 5,530,562 |
| | | | 47,363,796 |
| Semiconductors & Semiconductor Equipment - 6.2% | | | |
| Advanced Micro-Fabrication Equipment, Inc., China (A Shares) | | 493,000 | 11,737,355 |
| Alchip Technologies Ltd. | | 265,453 | 26,295,032 |
| ASE Technology Holding Co. Ltd. | | 698,000 | 2,836,207 |
| ASML Holding NV (Netherlands) | | 8,498 | 5,791,614 |
| ASPEED Tech, Inc. | | 20,000 | 1,876,035 |
| Daqo New Energy Corp. ADR (a) | | 77,844 | 1,841,789 |
| eMemory Technology, Inc. | | 181,898 | 14,571,075 |
| Faraday Technology Corp. | | 336,000 | 4,125,621 |
| Flat Glass Group Co. Ltd. | | 2,081,347 | 3,421,261 |
| King Yuan Electronics Co. Ltd. | | 4,074,207 | 10,744,819 |
| MediaTek, Inc. | | 1,292,648 | 38,907,898 |
| Nanya Technology Corp. | | 2,018,000 | 4,820,678 |
| Parade Technologies Ltd. | | 68,000 | 2,328,322 |
| Realtek Semiconductor Corp. | | 314,143 | 4,497,620 |
| SK Hynix, Inc. | | 505,691 | 52,092,184 |
| Taiwan Semiconductor Manufacturing Co. Ltd. | | 20,891,205 | 380,245,614 |
| Taiwan Semiconductor Manufacturing Co. Ltd. sponsored ADR | | 467,612 | 45,503,324 |
| Will Semiconductor Ltd. | | 264,500 | 4,011,838 |
| | | | 615,648,286 |
| Technology Hardware, Storage & Peripherals - 3.0% | | | |
| Lenovo Group Ltd. | | 8,203,581 | 10,134,620 |
| Samsung Electronics Co. Ltd. | | 4,460,396 | 249,811,000 |
| Samsung Electronics Co. Ltd. GDR (Reg. S) | | 22,345 | 31,081,895 |
| Wiwynn Corp. | | 118,000 | 6,614,855 |
| | | | 297,642,370 |
TOTAL INFORMATION TECHNOLOGY | | | 1,054,931,028 |
| MATERIALS - 2.9% | | | |
| Chemicals - 0.5% | | | |
| Formosa Plastics Corp. | | 2,753,126 | 7,085,380 |
| Guangdong Huate Gas Co. Ltd. (A Shares) | | 70,717 | 740,045 |
| Hansol Chemical Co. Ltd. | | 23,984 | 3,708,723 |
| LG Chemical Ltd. | | 8,357 | 3,221,031 |
| PhosAgro PJSC (b) | | 88,909 | 5,658 |
| PhosAgro PJSC: | | | |
| GDR (Reg. S) (a)(b) | | 1 | 0 |
| sponsored GDR (Reg. S) (a)(b) | | 1,718 | 35 |
| Solar Industries India Ltd. | | 315,884 | 23,824,555 |
| SRF Ltd. | | 417,424 | 11,851,451 |
| | | | 50,436,878 |
| Construction Materials - 0.6% | | | |
| CEMEX S.A.B. de CV sponsored ADR (a) | | 1,523,307 | 10,526,051 |
| JK Cement Ltd. | | 556,500 | 24,317,134 |
| Ultratech Cement Ltd. | | 216,519 | 23,379,601 |
| | | | 58,222,786 |
| Metals & Mining - 1.6% | | | |
| African Rainbow Minerals Ltd. | | 449,965 | 4,337,518 |
| Antofagasta PLC | | 1,350,800 | 24,019,396 |
| Barrick Gold Corp. (c) | | 2,170,100 | 38,172,059 |
| Endeavour Mining PLC (c) | | 342,737 | 8,039,588 |
| First Quantum Minerals Ltd. | | 744,477 | 6,095,390 |
| Grupo Mexico SA de CV Series B | | 5,132,505 | 23,525,274 |
| Impala Platinum Holdings Ltd. | | 2,792,489 | 11,354,865 |
| Novolipetsk Steel OJSC GDR (Reg. S) (a)(b) | | 169,976 | 21,118 |
| Southern Copper Corp. | | 13,900 | 999,827 |
| Tata Steel Ltd. | | 3,251,702 | 4,987,740 |
| Vale SA | | 535,414 | 8,033,304 |
| Vale SA sponsored ADR | | 494,900 | 7,423,500 |
| Zijin Mining Group Co. Ltd. (H Shares) | | 12,492,518 | 19,799,185 |
| | | | 156,808,764 |
| Paper & Forest Products - 0.2% | | | |
| Suzano Papel e Celulose SA | | 1,870,300 | 20,435,537 |
TOTAL MATERIALS | | | 285,903,965 |
| REAL ESTATE - 0.3% | | | |
| Real Estate Management & Development - 0.3% | | | |
| Ayala Land, Inc. | | 11,500,300 | 6,468,530 |
| China Overseas Land and Investment Ltd. | | 1,391,500 | 2,572,332 |
| China Resources Land Ltd. | | 1,628,000 | 5,960,698 |
| Corporacion Inmobiliaria Vesta S.A.B. de CV ADR | | 330,165 | 12,476,935 |
| KE Holdings, Inc. ADR | | 283,887 | 4,522,320 |
| | | | 32,000,815 |
| UTILITIES - 0.3% | | | |
| Independent Power and Renewable Electricity Producers - 0.3% | | | |
| NTPC Ltd. | | 8,752,501 | 27,427,995 |
| TOTAL COMMON STOCKS (Cost $4,227,774,895) | | | 4,477,346,422 |
| | | | |
| Nonconvertible Preferred Stocks - 0.8% |
| | | Shares | Value ($) |
| ENERGY - 0.2% | | | |
| Oil, Gas & Consumable Fuels - 0.2% | | | |
| Petroleo Brasileiro SA - Petrobras sponsored ADR | | 1,464,326 | 22,360,258 |
| FINANCIALS - 0.4% | | | |
| Banks - 0.4% | | | |
| Banco Bradesco SA (PN) | | 1,131,068 | 3,738,783 |
| Itau Unibanco Holding SA | | 5,862,717 | 37,627,255 |
| Itausa-Investimentos Itau SA (PN) | | 218,725 | 433,268 |
| Sberbank of Russia (b) | | 2,462,434 | 15,771 |
| Sberbank of Russia (Russia) (b) | | 3,791,522 | 24,284 |
| | | | 41,839,361 |
| MATERIALS - 0.2% | | | |
| Metals & Mining - 0.2% | | | |
| Gerdau SA | | 464,630 | 2,062,589 |
| Gerdau SA sponsored ADR | | 4,444,593 | 19,822,885 |
| | | | 21,885,474 |
| TOTAL NONCONVERTIBLE PREFERRED STOCKS (Cost $86,795,802) | | | 86,085,093 |
| | | | |
| Equity Funds - 48.5% |
| | | Shares | Value ($) |
| Diversified Emerging Markets Funds - 48.5% | | | |
| Fidelity Advisor China Region Fund Class Z (e) | | 921,478 | 29,938,828 |
| Fidelity Advisor Emerging Markets Fund Class Z (e) | | 30,725,403 | 1,072,931,081 |
| Fidelity SAI Emerging Markets Index Fund (e) | | 78,966,991 | 1,013,936,170 |
| Fidelity SAI Emerging Markets Low Volatility Index Fund (e) | | 68,814,796 | 740,447,201 |
| Fidelity SAI Emerging Markets Value Index Fund (e) | | 163,721,825 | 1,972,847,993 |
| | | | |
| TOTAL EQUITY FUNDS (Cost $4,994,836,749) | | | 4,830,101,273 |
| | | | |
| U.S. Treasury Obligations - 0.2% |
| | | Principal Amount (f) | Value ($) |
U.S. Treasury Bills, yield at date of purchase 5.31% to 5.42% 12/21/23 to 2/29/24 (g) (Cost $20,764,918) | | 20,910,000 | 20,765,912 |
| | | | |
| Money Market Funds - 5.6% |
| | | Shares | Value ($) |
| Fidelity Cash Central Fund 5.40% (h) | | 147,018,067 | 147,047,471 |
| Fidelity Securities Lending Cash Central Fund 5.39% (h)(i) | | 24,495,857 | 24,498,307 |
| Invesco Government & Agency Portfolio Institutional Class 5.28% (j) | | 384,906,765 | 384,906,765 |
| TOTAL MONEY MARKET FUNDS (Cost $556,432,400) | | | 556,452,543 |
| | | | |
| TOTAL INVESTMENT IN SECURITIES - 100.1% (Cost $9,886,604,764) | 9,970,751,243 |
NET OTHER ASSETS (LIABILITIES) - (0.1)% | (14,510,951) |
| NET ASSETS - 100.0% | 9,956,240,292 |
| | |
| Futures Contracts |
| | Number of contracts | Expiration Date | Notional Amount ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) |
| Purchased | | | | | |
| | | | | | |
| Equity Index Contracts | | | | | |
| ICE MSCI Emerging Markets Index Contracts (United States) | 8,368 | Dec 2023 | 413,002,640 | 13,243,223 | 13,243,223 |
| | | | | | |
| The notional amount of futures purchased as a percentage of Net Assets is 4.1% |
Legend
| (c) | Security or a portion of the security is on loan at period end. |
| (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 $188,191,669 or 1.9% of net assets. |
| (f) | Amount is stated in United States dollars unless otherwise noted. |
| (g) | Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $11,862,328. |
| (h) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
| (i) | Investment made with cash collateral received from securities on loan. |
| (j) | The rate quoted is the annualized seven-day yield of the fund at period end. |
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
| Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
| Fidelity Cash Central Fund 5.40% | 68,973,725 | 606,540,196 | 528,466,450 | 3,176,213 | - | - | 147,047,471 | 0.3% |
| Fidelity Securities Lending Cash Central Fund 5.39% | 42,553,072 | 228,254,500 | 246,309,265 | 100,631 | - | - | 24,498,307 | 0.1% |
| Total | 111,526,797 | 834,794,696 | 774,775,715 | 3,276,844 | - | - | 171,545,778 | |
| | | | | | | | | |
Amounts in the dividend 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.
Amounts in the dividend income column 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.
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
Affiliated Underlying Funds
Fiscal year to date information regarding the Fund's investments in affiliated Underlying Funds is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur. If an Underlying Funds changes its name, the name presented below is the name in effect at period end.
| Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) |
| Fidelity Advisor China Region Fund Class Z | - | 30,000,000 | - | - | - | (61,172) | 29,938,828 |
| Fidelity Advisor Emerging Markets Fund Class Z | 942,934,200 | 85,000,001 | - | - | - | 44,996,880 | 1,072,931,081 |
| Fidelity SAI Emerging Markets Index Fund | 687,205,319 | 293,568,004 | - | - | - | 33,162,847 | 1,013,936,170 |
| Fidelity SAI Emerging Markets Low Volatility Index Fund | 645,450,043 | 60,000,001 | - | - | - | 34,997,157 | 740,447,201 |
| Fidelity SAI Emerging Markets Value Index Fund | 1,707,981,376 | 155,999,997 | - | - | - | 108,866,620 | 1,972,847,993 |
| | 3,983,570,938 | 624,568,003 | - | - | - | 221,962,332 | 4,830,101,273 |
Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
Investment Valuation
The following is a summary of the inputs used, as of November 30, 2023, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
| Valuation Inputs at Reporting Date: |
| Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | | | | |
|
| Equities: | | | | |
Communication Services | 407,056,200 | 144,423,175 | 253,381,313 | 9,251,712 |
Consumer Discretionary | 789,191,846 | 592,898,855 | 196,292,991 | - |
Consumer Staples | 264,516,488 | 264,516,488 | - | - |
Energy | 133,123,913 | 104,316,567 | 27,911,950 | 895,396 |
Financials | 1,032,329,161 | 761,156,547 | 267,980,125 | 3,192,489 |
Health Care | 163,061,359 | 163,061,359 | - | - |
Industrials | 352,003,271 | 352,003,271 | - | - |
Information Technology | 1,054,931,028 | 653,193,767 | 401,737,261 | - |
Materials | 307,789,439 | 296,407,763 | 11,354,865 | 26,811 |
Real Estate | 32,000,815 | 32,000,815 | - | - |
Utilities | 27,427,995 | 27,427,995 | - | - |
|
| Equity Funds | 4,830,101,273 | 4,830,101,273 | - | - |
|
| Other Short-Term Investments | 20,765,912 | - | 20,765,912 | - |
|
| Money Market Funds | 556,452,543 | 556,452,543 | - | - |
| Total Investments in Securities: | 9,970,751,243 | 8,777,960,418 | 1,179,424,417 | 13,366,408 |
Derivative Instruments: Assets | | | | |
Futures Contracts | 13,243,223 | 13,243,223 | - | - |
| Total Assets | 13,243,223 | 13,243,223 | - | - |
| Total Derivative Instruments: | 13,243,223 | 13,243,223 | - | - |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of November 30, 2023. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
Primary Risk Exposure / Derivative Type | Value |
| Asset ($) | Liability ($) |
| Equity Risk | | |
Futures Contracts (a) | 13,243,223 | 0 |
| Total Equity Risk | 13,243,223 | 0 |
| Total Value of Derivatives | 13,243,223 | 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).
| Statement of Assets and Liabilities |
| | | | November 30, 2023 (Unaudited) |
| | | | | |
| Assets | | | | |
| Investment in securities, at value (including securities loaned of $24,109,791) - See accompanying schedule: | | | | |
Unaffiliated issuers (cost $4,720,242,380) | $ | 4,969,104,192 | | |
Fidelity Central Funds (cost $171,525,635) | | 171,545,778 | | |
Other affiliated issuers (cost $4,994,836,749) | | 4,830,101,273 | | |
| | | | | |
| | | | | |
| Total Investment in Securities (cost $9,886,604,764) | | | $ | 9,970,751,243 |
| Foreign currency held at value (cost $2,571,194) | | | | 2,566,422 |
| Receivable for investments sold | | | | 25,313,754 |
| Receivable for fund shares sold | | | | 16,650,691 |
| Dividends receivable | | | | 5,400,373 |
| Interest receivable | | | | 2,232,942 |
| Distributions receivable from Fidelity Central Funds | | | | 625,089 |
| Receivable for daily variation margin on futures contracts | | | | 857,891 |
| Prepaid expenses | | | | 7,468 |
| Other receivables | | | | 755,477 |
Total assets | | | | 10,025,161,350 |
| Liabilities | | | | |
| Payable to custodian bank | $ | 18,230 | | |
| Payable for investments purchased | | 21,605,226 | | |
| Payable for fund shares redeemed | | 6,313,160 | | |
| Accrued management fee | | 1,472,299 | | |
| Deferred taxes | | 14,518,371 | | |
| Other payables and accrued expenses | | 496,522 | | |
| Collateral on securities loaned | | 24,497,250 | | |
| Total Liabilities | | | | 68,921,058 |
| Net Assets | | | $ | 9,956,240,292 |
| Net Assets consist of: | | | | |
| Paid in capital | | | $ | 10,953,771,320 |
| Total accumulated earnings (loss) | | | | (997,531,028) |
| Net Assets | | | $ | 9,956,240,292 |
Net Asset Value, offering price and redemption price per share ($9,956,240,292 ÷ 879,347,453 shares) | | | $ | 11.32 |
| Statement of Operations |
| | | | Six months ended November 30, 2023 (Unaudited) |
| Investment Income | | | | |
| Dividends: | | | | |
| Unaffiliated issuers | | | $ | 67,495,674 |
| Interest | | | | 12,498,069 |
| Income from Fidelity Central Funds (including $100,631 from security lending) | | | | 3,276,844 |
| Income before foreign taxes withheld | | | $ | 83,270,587 |
| Less foreign taxes withheld | | | | (7,325,029) |
| Total Income | | | | 75,945,558 |
| Expenses | | | | |
| Management fee | $ | 20,127,086 | | |
| Custodian fees and expenses | | 493,486 | | |
| Independent trustees' fees and expenses | | 27,340 | | |
| Registration fees | | 255,201 | | |
| Audit | | 41,447 | | |
| Legal | | 8,121 | | |
| Miscellaneous | | 22,503 | | |
| Total expenses before reductions | | 20,975,184 | | |
| Expense reductions | | (11,518,718) | | |
| Total expenses after reductions | | | | 9,456,466 |
| Net Investment income (loss) | | | | 66,489,092 |
| Realized and Unrealized Gain (Loss) | | | | |
| Net realized gain (loss) on: | | | | |
| Investment Securities: | | | | |
| Unaffiliated issuers (net of foreign taxes of $3,672,607) | | (131,383,172) | | |
| Foreign currency transactions | | (2,724,720) | | |
| Futures contracts | | (17,719,602) | | |
| Total net realized gain (loss) | | | | (151,827,494) |
| Change in net unrealized appreciation (depreciation) on: | | | | |
| Investment Securities: | | | | |
| Unaffiliated issuers(net of increase in deferred foreign taxes of $5,696,375) | | 310,121,236 | | |
| Affiliated issuers | | 221,962,332 | | |
| Assets and liabilities in foreign currencies | | 321,557 | | |
| Futures contracts | | 13,850,495 | | |
| Total change in net unrealized appreciation (depreciation) | | | | 546,255,620 |
| Net gain (loss) | | | | 394,428,126 |
| Net increase (decrease) in net assets resulting from operations | | | $ | 460,917,218 |
| Statement of Changes in Net Assets |
| |
| | Six months ended November 30, 2023 (Unaudited) | | Year ended May 31, 2023 |
| Increase (Decrease) in Net Assets | | | | |
| Operations | | | | |
| Net investment income (loss) | $ | 66,489,092 | $ | 231,202,359 |
| Net realized gain (loss) | | (151,827,494) | | (574,825,730) |
| Change in net unrealized appreciation (depreciation) | | 546,255,620 | | (189,475,375) |
| Net increase (decrease) in net assets resulting from operations | | 460,917,218 | | (533,098,746) |
| Distributions to shareholders | | (45,154,247) | | (196,585,510) |
| | | | | |
| Share transactions | | | | |
| Proceeds from sales of shares | | 1,806,774,476 | | 3,100,100,338 |
| Reinvestment of distributions | | 43,218,330 | | 190,308,274 |
| Cost of shares redeemed | | (689,248,932) | | (3,177,214,790) |
| | | | | |
Net increase (decrease) in net assets resulting from share transactions | | 1,160,743,874 | | 113,193,822 |
| Total increase (decrease) in net assets | | 1,576,506,845 | | (616,490,434) |
| | | | | |
| Net Assets | | | | |
| Beginning of period | | 8,379,733,447 | | 8,996,223,881 |
| End of period | $ | 9,956,240,292 | $ | 8,379,733,447 |
| | | | | |
| Other Information | | | | |
| Shares | | | | |
| Sold | | 162,321,221 | | 284,992,413 |
| Issued in reinvestment of distributions | | 3,719,305 | | 17,822,445 |
| Redeemed | | (61,933,656) | | (289,241,557) |
| Net increase (decrease) | | 104,106,870 | | 13,573,301 |
| | | | | |
Financial Highlights
| Strategic Advisers® Fidelity® Emerging Markets Fund |
| |
| | Six months ended (Unaudited) November 30, 2023 | | Years ended May 31, 2023 | | 2022 | | 2021 | | 2020 | | 2019 A |
Selected Per-Share Data | | | | | | | | | | | | |
| Net asset value, beginning of period | $ | 10.81 | $ | 11.81 | $ | 15.70 | $ | 10.32 | $ | 10.71 | $ | 10.00 |
| Income from Investment Operations | | | | | | | | | | | | |
Net investment income (loss) B,C | | .08 | | .29 | | .26 | | .15 | | .26 D | | .18 |
| Net realized and unrealized gain (loss) | | .49 | | (1.03) | | (3.50) | | 5.34 | | (.39) | | .67 |
| Total from investment operations | | .57 | | (.74) | | (3.24) | | 5.49 | | (.13) | | .85 |
| Distributions from net investment income | | (.06) | | (.26) | | (.24) | | (.11) | | (.26) | | (.14) |
| Distributions from net realized gain | | - | | - | | (.40) | | - | | - | | - |
| Total distributions | | (.06) | | (.26) | | (.65) E | | (.11) | | (.26) | | (.14) |
| Net asset value, end of period | $ | 11.32 | $ | 10.81 | $ | 11.81 | $ | 15.70 | $ | 10.32 | $ | 10.71 |
Total Return F,G | | 5.23% | | (6.28)% | | (21.40)% | | 53.25% | | (1.58)% | | 8.63% |
Ratios to Average Net Assets C,H,I | | | | | | | | | | | | |
| Expenses before reductions | | .46% J | | .47% | | .50% | | .51% | | .49% | | .57% J |
| Expenses net of fee waivers, if any | | .21% J | | .22% | | .25% | | .25% | | .24% | | .32% J |
| Expenses net of all reductions | | .21% J | | .22% | | .25% | | .24% | | .23% | | .31% J |
| Net investment income (loss) | | 1.44% J | | 2.72% | | 1.89% | | 1.05% | | 2.35% D | | 2.82% J |
| Supplemental Data | | | | | | | | | | | | |
| Net assets, end of period (000 omitted) | $ | 9,956,240 | $ | 8,379,733 | $ | 8,996,224 | $ | 7,503,942 | $ | 2,976,388 | $ | 1,943,853 |
Portfolio turnover rate K | | 29% J | | 43% | | 29% | | 47% | | 49% | | 125% J |
AFor the period October 30, 2018 (commencement of operations) through May 31, 2019.
BCalculated based on average shares outstanding during the period.
CNet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
DNet investment income per share reflects one or more large, non-recurring dividend(s) which amounted to $.06 per share. Excluding such non-recurring dividend(s), the ratio of net investment income (loss) to average net assets would have been 1.80%.
ETotal distributions per share do not sum due to rounding.
FTotal returns for periods of less than one year are not annualized.
GTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
HFees 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.
IExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
JAnnualized.
KAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
For the period ended November 30, 2023
1. Organization.
Strategic Advisers Fidelity Emerging Markets Fund (the Fund) is a fund of Fidelity Rutland Square Trust II (the Trust), and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust. The Fund is offered exclusively to certain managed account clients of Strategic Advisers LLC (Strategic Advisers), an affiliate of Fidelity Management & Research Company LLC (FMR). The Fund's investments in emerging markets can be subject to social, economic, regulatory, and political uncertainties and can be extremely volatile.
2. Significant Accounting Policies.
The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services 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 the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.
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 - unadjusted 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 service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, ETFs and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. U.S. government and government agency obligations are valued by pricing services 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 services. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. If an unaffiliated open-end mutual fund's NAV is unavailable, shares of that fund may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and is categorized as Level 2 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of November 30, 2023 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. Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of a fund include an amount in addition to trade execution, which may be rebated back to a fund. Any such rebates are included in net realized gain (loss) on investments in the Statement of Operations. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Income and capital gain distributions from any underlying mutual funds or exchange-traded funds (ETFs) are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain. Funds may file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. Any withholding tax reclaims income is included in the Statement of Operations in foreign taxes withheld. Any receivables for withholding tax reclaims are included in the Statement of Assets and Liabilities in dividends receivable.
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan) for certain Funds, certain independent Trustees have elected to defer receipt of a portion of their annual compensation. Deferred amounts are invested in affiliated mutual funds, are marked-to-market and remain in a fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees presented below are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, as applicable.
| Strategic Advisers Fidelity Emerging Markets Fund | $10 |
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests. The Fund is subject to a tax imposed on capital gains by certain countries in which it invests. An estimated deferred tax liability for net unrealized appreciation on the applicable securities is included in Deferred taxes 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 futures contracts, foreign currency transactions, certain foreign taxes, passive foreign investment companies (PFIC), capital loss carryforwards and losses deferred due to wash sales and excise tax regulations.
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
| Gross unrealized appreciation | $992,018,579 |
| Gross unrealized depreciation | (969,083,832) |
| Net unrealized appreciation (depreciation) | $22,934,747 |
| Tax cost | $9,961,059,719 |
Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of prior fiscal period end and is subject to adjustment.
Short-term | $(590,464,371) |
Long-term | (298,389,485) |
| Total capital loss carryforward | $(888,853,856) |
Restricted Securities (including Private Placements). Funds may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities held at period end is included at the end of the Schedule of Investments, if applicable.
3. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund's investment objectives allow for various types of derivative instruments, 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.
Derivatives were used 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 objectives may not be achieved.
Derivatives were used to increase or decrease exposure to the following risk(s):
| | |
| 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. |
Funds are also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that a 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 a fund. Counterparty credit risk related to exchange-traded 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. Futures contracts were used to manage 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 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 unless an average notional amount is presented. Any securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Any 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, U.S. government securities and in-kind transactions, as applicable, are noted in the table below.
| | Purchases ($) | Sales ($) |
| Strategic Advisers Fidelity Emerging Markets Fund | 2,232,506,707 | 1,258,316,855 |
5. Fees and Other Transactions with Affiliates.
Management Fee. Strategic Advisers (the investment adviser) provides the Fund with investment management related services. For these services, the Fund pays a monthly management fee to the investment adviser. The management fee is calculated by adding the annual management fee rate of .25% of the Fund's average net assets throughout the month to the aggregate of the fee rates, payable monthly by the investment adviser, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed 1.20% of the Fund's average net assets. For the reporting period, the total annualized management fee rate was .44% of the Fund's average net assets.
During the period, the investment adviser waived a portion of its management fee as described in the Expense Reductions note.
Sub-Advisers. FIAM LLC (an affiliate of the investment adviser) and FIL Investment Advisors each served as a sub-adviser for the Fund during the period. Sub-advisers provide discretionary investment advisory services for their allocated portion of the Fund's assets and are paid as described in the Management Fee note.
Geode Capital Management, LLC (Geode) has been retained to serve as a sub-adviser for the Fund. As of the date of this report, however, Geode has not been allocated any portion of the Fund's assets. Geode in the future may provide discretionary investment advisory services for an allocated portion of the Fund's assets and will be paid by the investment adviser for providing these services.
Brokerage Commissions. A portion of portfolio transactions were placed with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Statement of Operations. The commissions paid to these affiliated firms were as follows:
| | Amount |
| Strategic Advisers Fidelity Emerging Markets Fund | $2,489 |
Interfund Trades. Funds may purchase from or sell securities to other funds affiliated with each sub-adviser under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. Interfund trades during the period are noted in the table below.
| | Purchases ($) | Sales ($) | Realized Gain (Loss) ($) |
| Strategic Advisers Fidelity Emerging Markets Fund | 17,114,185 | 13,168,176 | (3,284,438) |
Other. During the period, the investment adviser reimbursed the Fund for certain losses as follows:
| | Amount ($) |
| Strategic Advisers Fidelity Emerging Markets Fund | 2,112 |
6. Investments in Fidelity Central Funds.
Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.
| Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense RatioA |
| Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |
A Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.
7. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below. During the period, there were no borrowings on this line of credit.
| | Amount |
| Strategic Advisers Fidelity Emerging Markets Fund | $7,549 |
8. Security Lending.
Funds lend portfolio securities from time to time in order to earn additional income. Lending agents are used, including National Financial Services (NFS), an affiliate of the investment adviser. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of a fund's daily lending revenue, for its services as lending agent. A fund may lend securities to certain qualified borrowers, including NFS. On the settlement date of the loan, a fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of a fund and any additional required collateral is delivered to a fund on the next business day. A fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund may apply collateral received from the borrower against the obligation. A fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Affiliated security lending activity, if any, was as follows:
| | Total Security Lending Fees Paid to NFS | Security Lending Income From Securities Loaned to NFS | Value of Securities Loaned to NFS at Period End |
| Strategic Advisers Fidelity Emerging Markets Fund | $10,799 | $- | $- |
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, 2026. During the period, this waiver reduced the Fund's management fee by $ 11,510,067.
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 $8,651.
10. Other.
A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.
Funds do not invest in underlying mutual funds for the purpose of exercising management or control; however, investments by funds within their principal investment strategies may represent a significant portion of the underlying mutual fund's net assets. At the end of the period, certain Funds were the owners of record of 10% or more of the total outstanding shares of the following underlying mutual funds as shown below.
| Fund | Strategic Advisers Fidelity Emerging Markets Fund |
| Fidelity Emerging Markets Fund | 14% |
| Fidelity SAI Emerging Markets Index Fund | 27% |
| Fidelity SAI Emerging Markets Low Volatility Index Fund | 22% |
| Fidelity SAI Emerging Markets Value Index Fund | 65% |
11. Risk and Uncertainties.
Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as pandemics, epidemics, outbreaks of infectious diseases, war, terrorism, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer. Significant concentrations in security types, issuers, industries, sectors, and geographic locations may magnify the factors that affect a fund's performance.
As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
| The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (June 1, 2023 to November 30, 2023). |
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| | | | | Annualized Expense Ratio- A | | Beginning Account Value June 1, 2023 | | Ending Account Value November 30, 2023 | | Expenses Paid During Period- C June 1, 2023 to November 30, 2023 |
| | | | | | | | | | |
| Strategic Advisers® Fidelity® Emerging Markets Fund | | | | .21% | | | | | | |
| Actual | | | | | | $ 1,000 | | $ 1,052.30 | | $ 1.08 |
Hypothetical-B | | | | | | $ 1,000 | | $ 1,023.95 | | $ 1.06 |
| |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B 5% return per year before expenses
C Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/ 366 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.
Board Approval of Investment Advisory Contracts and Management Fees
Strategic Advisers Fidelity Emerging Markets Fund
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), considers the renewal of the fund's management contract with Strategic Advisers LLC (Strategic Advisers), the sub-advisory agreements with FIAM LLC, FIL Investment Advisors, and Geode Capital Management, LLC (each a Sub-Adviser and collectively, the Sub-Advisers) (collectively, the Sub-Advisory Agreements), and the sub-sub-advisory agreements with FMR Investment Management (UK) Limited, Fidelity Management & Research (Japan) Limited, Fidelity Management & Research (Hong Kong) Limited, and FIL Investment Advisors (UK) Limited (collectively, the Sub-Sub-Advisory Agreements and, together with the management contract and the Sub-Advisory Agreements, the Advisory Contracts) for the fund. Strategic Advisers and the Sub-Advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.
The Board meets at least four times per year and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The full Board or the Independent Trustees, as appropriate, act on all major matters; however, a portion of the activities of the Board (including certain of those described herein) may be conducted through standing committees that have been established by the Board. The Board, acting directly and through its committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts.
At its September 2023 meeting, the Board, including the Independent Trustees, unanimously determined to renew the fund's Advisory Contracts. In reaching its determination to renew the fund's Advisory Contracts, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness relative to peer funds of the fund's management fee and total expenses; (iii) the total costs of the services provided by and the profits, if any, realized by Strategic Advisers from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and are realized as the fund grows and whether any economies of scale are appropriately shared with fund shareholders. 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.
The Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts is in the best interests of the fund and its shareholders. In addition, the Board concluded that the renewal of each Sub-Advisory Agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees charged under the Advisory Contracts bear a reasonable relationship to the services rendered.
Nature, Extent, and Quality of Services Provided. The Board considered the staffing within the Investment Advisers, including the backgrounds of the fund's investment personnel and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Strategic Advisers' investment operations and investment groups. The Board considered the structure of each Investment Adviser's investment personnel compensation program and whether such structures provide appropriate incentives to act in the best interests of the fund.
The Trustees also discussed with representatives of Strategic Advisers, at meetings throughout the year, Strategic Advisers' role in, among other things, (i) setting, implementing and monitoring the investment strategies for the funds; (ii) identifying and recommending sub-advisers for the funds; (iii) overseeing compliance with federal securities laws by each sub-adviser with respect to the portion of fund assets allocated to the sub-adviser; (iv) monitoring and overseeing the performance and investment capabilities of each sub-adviser; and (v) recommending the replacement of a sub-adviser as appropriate. The Trustees considered that the Board had received from Strategic Advisers substantial information and periodic reports about Strategic Advisers' sub-adviser oversight and due diligence processes, as well as periodic reports regarding the performance of each sub-adviser.
The Board also considered the nature, extent and quality of services provided by each Sub-Adviser. The Trustees noted that under the Sub-Advisory Agreements subject to oversight by Strategic Advisers, each Sub-Adviser is responsible for, among other things, identifying investments for the portion of fund assets allocated to the Sub-Adviser, if any, and executing portfolio transactions to implement its investment strategy. In addition, the Trustees noted that each Sub-Adviser is responsible for providing such reporting as may be requested from Strategic Advisers to fulfill its oversight responsibilities discussed above.
Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of the Investment Advisers' investment staffs, their use of technology, and the Investment Advisers' approach to managing and compensating investment personnel. The Board noted that the Investment Advisers' analysts have extensive resources, tools, and capabilities that allow them to conduct sophisticated quantitative and/or fundamental analysis. Additionally, in its deliberations, the Board considered the Investment Advisers' trading capabilities and resources and global compliance infrastructure, which are integral parts of the investment management process.
Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of administrative and shareholder services performed by Strategic Advisers and its affiliates under the management contract and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of Strategic Advisers' supervision of third party service providers, including sub-advisers, custodians and subcustodians; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.
Investment Performance. In connection with the renewal of the Advisory Contracts, the Board considered annualized return information for the fund over 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. The Board also considered information about performance attribution. In its discussions with representatives of Strategic Advisers regarding fund performance, the Board gave particular attention to information indicating underperformance of certain funds over different time periods and discussed with Strategic Advisers the reasons for any such underperformance.
In addition to reviewing absolute and relative fund performance, the Independent Trustees periodically consider the appropriateness of fund performance metrics in evaluating the results achieved. The Independent Trustees generally give greater weight to fund performance over longer time periods than over shorter time periods. Depending on the circumstances, the Independent Trustees may be satisfied with the fund's performance notwithstanding that it lags its benchmark index peer group for certain periods.
Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.
Competitiveness of Management Fee and Total Fund Expenses. The Board considered the amount and nature of fees paid to the Investment Advisers. The Board also considered information comparing the management fees and total expenses of the fund to those of other registered investment companies with investment objectives similar to those of the fund, as discussed below. The Board also noted Strategic Advisers' proposal to extend the management fee waiver and considered the fund's contractual maximum aggregate annual management fee rate. In considering the fund's management fee and management fee waiver and comparisons to other registered investment companies with investment objectives similar to those of the fund, the Board noted that shares of the fund are offered only to clients that participate in the Fidelity Portfolio Advisory Service managed account program.
In its review of the fund's total expenses, the Board considered the fund's management fee rate as well as other fund expenses, as applicable, such as expenses from holding Fidelity and non-Fidelity mutual funds and ETFs, pricing and bookkeeping fees, and custodial, legal, and audit fees.
Comparisons of Management Fees and Total Expense Ratios. Among other things, the Board reviewed data for selected groups of competitive funds and classes (referred to as "mapped groups") that were compiled by Fidelity based on combining similar investment objective categories (as classified by Lipper) that have comparable investment mandates. The data reviewed by the Board included (i) gross management fee comparisons (before taking into account expense reimbursements or caps) relative to the total universe of funds within the mapped group; (ii) gross management fee comparisons relative to a subset of non-Strategic Advisers funds in the mapped group that are similar in size and management fee structure to the fund (referred to as the "asset size peer group"); and (iii) total expense comparisons of the fund relative to funds and classes in the mapped group that have a similar sales load structure to the fund (referred to as the "similar sales load structure group").
The information provided to the Board indicated that the fund's management fee rate ranked below the competitive median of the mapped group for the 12-month period ended December 31, 2022 and below the competitive median of the asset size peer group for the 12-month period ended December 31, 2022. Further, the information provided to the Board indicated that the total expense ratio of the fund ranked below the competitive median of the similar sales load structure group for the 12-month period ended December 31, 2022.
Fees Charged to Other Clients. The Board also considered fee structures paid by the Investment Advisers' other clients, such as other funds advised or subadvised by the Investment Advisers, pension plan clients, and other institutional clients with similar investment mandates.
Based on its review, the Board concluded that the fund's management fee bears a reasonable relationship to the services rendered. Further, based on its review of the total expense ratios and fees charged to other clients of Strategic Advisers or its affiliates and each Sub-Adviser, the Board concluded that the total expenses of the fund were reasonable in light of the services that the fund and its shareholders receive and the other factors considered.
Costs of the Services and Profitability. The Board considered information regarding the revenues earned and the expenses incurred by Strategic Advisers and its affiliates in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and servicing the fund's shareholders.
On an annual basis, Strategic Advisers presents to the Board information about the profitability of its relationships with the fund. Strategic Advisers calculates profitability information for the fund using a series of detailed revenue and cost allocation methodologies. The Board reviews any significant changes from the prior year's methodologies. Strategic Advisers noted that, to the extent possible, it employs the same corporate reporting of revenues and expenses as those used by other Fidelity funds.
A public accounting firm has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. The engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's fund business, and completion of agreed-upon procedures in respect of the mathematical accuracy of certain fund profitability information and its conformity to established allocation methodologies. After considering the reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.
The Board also reviewed Fidelity's non-fund businesses and potential indirect benefits such businesses may have received as a result of their association with Fidelity's fund business (i.e., fall-out benefits) as well as cases where Fidelity's affiliates may benefit from the fund's business. The Board noted that changes to fall-out benefits year-over-year reflect business developments at Fidelity's various businesses.
The Board considered the costs of the services provided by and the profits realized, if any, by Strategic Advisers and its affiliates in connection with the operation of the fund and was satisfied that the profitability was not excessive.
The Board also considered information regarding the profitability of the Sub-Advisers' respective relationships with the fund and the potential fall-out benefits, if any, that may accrue to the Sub-Advisers as a result of their respective relationships with the fund. The Board considered profitability information provided by the Sub-Advisers in light of the nature of the relationships between Strategic Advisers and the Sub-Advisers with respect to the negotiation of sub-advisory fees.
Possible Economies of Scale. The Board considered whether there have been economies of scale in respect of the management of the Strategic Advisers funds, whether the Strategic Advisers funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale as assets grow through increased services to the fund, through waivers or reimbursements, or through fee or expense ratio reductions. The Board considered that certain of the fund's Sub-Advisory Agreements provide for breakpoints as the fund's assets grow and noted that any potential decline in sub-advisory fees under such contracts would accrue directly to the fund. The Board also took Strategic Advisers' management fee waiver into consideration.
Conclusion. Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee arrangements bear a reasonable relationship to the services rendered and that the fund's Advisory Contracts should be renewed because each agreement is in the best interests of the fund and its shareholders. In addition, the Board concluded that the renewal of each Sub-Advisory Agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.
1.9890708.105
STE-SANN-0124
Strategic Advisers® Tax-Sensitive Short Duration Fund
Offered exclusively to certain managed account clients of Strategic Advisers LLC or its affiliates - not available for sale to the general public
Semi-Annual Report
November 30, 2023
Contents
To view a fund's proxy voting guidelines and 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. © 2024 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.
The information in the following tables is based on the direct Investments of the Fund.
Top Holdings (% of Fund's net assets) |
| (excluding cash equivalents) |
| Vanguard Short-Term Tax-Exempt Fund Admiral Shares | 6.0 | |
| JP Morgan Ultra-Short Municipal Income ETF | 5.0 | |
| Illinois General Obligation | 1.7 | |
| Main Street Natural Gas, Inc. | 1.6 | |
| Black Belt Energy Gas District | 1.6 | |
| Federated Hermes Municipal Ultrashort Fund Institutional Shares | 1.6 | |
| Pennsylvania Econ Dev Financing Authority Solid Waste Disposal Rev. | 1.4 | |
| Chandler Indl. Dev. Auth. Indl. Dev. Rev. | 1.3 | |
| Maryland Cmnty Dev Admin Dept Hsg & Cmnty Dev | 1.1 | |
| New York Metropolitan Transportation Authority Rev. | 1.0 | |
| Revenue Sources (% of Fund's net assets) |
| General Obligations | 13.1 | |
| Transportation | 11.1 | |
| Health Care | 11.0 | |
| Resource Recovery | 5.5 | |
| Synthetics | 5.4 | |
| State G.O. | 5.2 | |
| Housing | 5.0 | |
| Others (Individually Less Than 5%) | 25.6 | |
Quality Diversification (% of Fund's net assets) |
|
| |
| We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. |
Asset Allocation (% of Fund's net assets) |
|
|
Asset Allocation of funds in the pie chart reflect the categorizations of the asset as defined by Morningstar as of the reporting date.
Showing Percentage of Net Assets
| Municipal Bonds - 61.0% |
| | | Principal Amount (a) | Value ($) |
| Alabama - 1.8% | | | |
| Birmingham Arpt. Auth. Series 2020: | | | |
| 5% 7/1/24 (Build America Mutual Assurance Insured) | | 325,000 | 328,268 |
| 5% 7/1/25 (Build America Mutual Assurance Insured) | | 325,000 | 334,479 |
| Black Belt Energy Gas District: | | | |
| (Proj. No. 6) Series 2021 B: | | | |
4% 12/1/23 | | 1,250,000 | 1,250,000 |
4% 12/1/24 | | 1,250,000 | 1,249,840 |
| (Proj. No.7) Series 2021 C1: | | | |
4% 12/1/24 | | 3,000,000 | 2,997,594 |
4% 12/1/25 | | 4,000,000 | 3,993,508 |
| Bonds: | | | |
(Proj. No.7): | | | |
Series 2021 C1, 4%, tender 12/1/26 (b) | | 11,350,000 | 11,234,715 |
Series 2021 C2, SIFMA Municipal Swap Index + 0.350% 3.95%, tender 12/1/26 (b)(c) | | 2,350,000 | 2,291,007 |
Series 2019 A, 4%, tender 12/1/25 (b) | | 3,050,000 | 3,031,924 |
Series 2022 D2, U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.400% 4.964%, tender 6/1/27 (b)(c) | | 5,000,000 | 5,016,158 |
Series 2022 E, 5%, tender 6/1/28 (b) | | 2,370,000 | 2,447,040 |
Series 2023 D1, 5.5%, tender 2/1/29 (b) | | 1,000,000 | 1,048,559 |
| Series 2021 A, 4% 12/1/23 | | 435,000 | 435,000 |
| Series 2021 C1, 4% 12/1/23 | | 790,000 | 790,000 |
| Series 2022 C: | | | |
5.25% 12/1/23 | | 525,000 | 525,000 |
5.25% 6/1/24 | | 735,000 | 739,595 |
| Series 2022 C1: | | | |
5.25% 12/1/24 | | 2,025,000 | 2,051,274 |
5.25% 6/1/25 | | 695,000 | 708,170 |
5.25% 12/1/25 | | 1,125,000 | 1,154,796 |
5.25% 6/1/26 | | 575,000 | 593,666 |
| Series 2022 E: | | | |
5% 6/1/24 | | 1,790,000 | 1,800,163 |
5% 6/1/25 | | 825,000 | 838,033 |
5% 6/1/26 | | 1,140,000 | 1,170,299 |
| Series 2023 A: | | | |
5% 10/1/24 | | 2,075,000 | 2,090,214 |
5% 10/1/25 | | 2,125,000 | 2,160,420 |
| Series 2023 C, 5.5% 6/1/27 | | 685,000 | 709,138 |
| Health Care Auth. for Baptist Health Series 2023 A: | | | |
| 5% 11/15/24 | | 1,385,000 | 1,402,112 |
| 5% 11/15/25 | | 1,290,000 | 1,324,582 |
| Infirmary Health Systems Spl. Care Facilities Fing. Auth. Rev. Series 2016 A, 5% 2/1/26 | | 500,000 | 512,429 |
| Mobile County Board of School Commissioners: | | | |
| Series 2016 A: | | | |
5% 3/1/24 | | 25,000 | 25,095 |
5% 3/1/25 | | 100,000 | 102,100 |
| Series 2016 B, 5% 3/1/24 | | 45,000 | 45,172 |
| Mobile Indl. Dev. Board Poll. Cont. Rev. Bonds: | | | |
| (Alabama Pwr. Co. Barry Plant Proj.) Series 2007 C, 3.78%, tender 6/16/26 (b) | | 740,000 | 741,534 |
| Series 2009 E, 1%, tender 6/26/25 (b) | | 600,000 | 575,478 |
| Southeast Alabama Gas Supply District Bonds: | | | |
| (Proj. No. 2) Series 2018 A, 4%, tender 6/1/24 (b) | | 6,465,000 | 6,455,196 |
| Series 2018 A, 4%, tender 4/1/24 (b) | | 4,000,000 | 3,995,206 |
| Southeast Energy Auth. Rev.: | | | |
| (Proj. No. 2) Series 2021 B1: | | | |
4% 6/1/24 | | 1,090,000 | 1,089,667 |
4% 6/1/25 | | 300,000 | 300,002 |
| (Proj. NO. 5) Series 2023 A: | | | |
5% 7/1/24 | | 350,000 | 351,807 |
5% 7/1/25 | | 650,000 | 658,844 |
5% 7/1/27 | | 1,185,000 | 1,217,945 |
5.25% 7/1/28 | | 1,945,000 | 2,026,951 |
| Univ. of South Alabama Univ. Rev. Series 2021, 4% 4/1/26 | | 500,000 | 506,869 |
TOTAL ALABAMA | | | 72,319,849 |
| Alaska - 0.3% | | | |
| Alaska Hsg. Fin. Corp. Series 2021 A: | | | |
| 3% 12/1/23 | | 450,000 | 450,000 |
| 3% 6/1/24 | | 400,000 | 398,971 |
| Alaska Hsg. Fin. Corp. Mtg. Rev. Series 2022 A, 3% 6/1/51 | | 490,000 | 470,085 |
| Alaska Int'l. Arpts. Revs. Series 2021 C: | | | |
| 5% 10/1/25 (d) | | 1,980,000 | 2,024,915 |
| 5% 10/1/28 (d) | | 1,000,000 | 1,067,239 |
| Alaska Muni. Bond Bank Series 2023 TWO: | | | |
| 5% 12/1/24 (d) | | 460,000 | 464,816 |
| 5% 12/1/25 (d) | | 485,000 | 496,010 |
| 5% 12/1/26 (d) | | 510,000 | 528,671 |
| Northern Tobacco Securitization Corp. Tobacco Settlement Rev. Series 2021 A: | | | |
| 5% 6/1/24 | | 2,600,000 | 2,614,786 |
| 5% 6/1/25 | | 2,415,000 | 2,459,331 |
| 5% 6/1/26 | | 1,000,000 | 1,031,773 |
TOTAL ALASKA | | | 12,006,597 |
| Arizona - 2.7% | | | |
| Arizona Health Facilities Auth. Rev.: | | | |
| (Scottsdale Lincoln Hospitals Proj.) Series 2014 A: | | | |
5% 12/1/23 | | 20,000 | 20,000 |
5% 12/1/24 | | 45,000 | 45,699 |
5% 12/1/26 | | 110,000 | 111,598 |
| Bonds Series 2015 B: | | | |
0.000% x SIFMA Municipal Swap Index 4.06%, tender 11/4/26 (b)(c) | | 2,105,000 | 2,068,776 |
0.000% x SIFMA Municipal Swap Index 4.06%, tender 1/1/46 (b)(c) | | 395,000 | 395,000 |
| Arizona Indl. Dev. Auth. Hosp. Rev. Series 2020 A, 5% 2/1/26 | | 750,000 | 777,474 |
| Bullhead City Excise Taxes Series 2021 2, 0.75% 7/1/25 | | 325,000 | 307,302 |
| Chandler Indl. Dev. Auth. Indl. Dev. Rev.: | | | |
| (Intel Corp. Proj.) Series 2022 2, 5%, tender 9/1/27 (b)(d) | | 7,290,000 | 7,526,079 |
| Bonds (Intel Corp. Proj.): | | | |
Series 2007, 4.1%, tender 6/15/28 (b)(d) | | 570,000 | 573,612 |
Series 2019, 5%, tender 6/3/24 (b)(d) | | 41,680,000 | 41,805,336 |
| Coconino County Poll. Cont. Corp. Rev. Bonds (Navada Pwr. Co. Projs.) Series 2017 A, 4.125%, tender 3/31/26 (b)(d) | | 1,055,000 | 1,055,016 |
| Glendale Union School District 205 Series A: | | | |
| 5% 7/1/24 (Assured Guaranty Muni. Corp. Insured) | | 225,000 | 227,224 |
| 5% 7/1/25 (Assured Guaranty Muni. Corp. Insured) | | 225,000 | 231,038 |
| Maricopa County Rev.: | | | |
| Bonds: | | | |
Series 2019 D, 5%, tender 5/15/26 (b) | | 9,600,000 | 9,976,384 |
Series 2023 A1, 5%, tender 5/15/26 (b) | | 6,040,000 | 6,269,600 |
Series 2023 A2, 5%, tender 5/15/28 (b) | | 2,120,000 | 2,268,055 |
Series C, 5%, tender 10/18/24 (b) | | 1,140,000 | 1,154,943 |
| Series 2016 A, 4% 1/1/24 | | 115,000 | 115,051 |
| Phoenix Civic Impt. Board Arpt. Rev.: | | | |
| Series 2017 A, 5% 7/1/24 (d) | | 1,020,000 | 1,027,640 |
| Series 2017 D, 5% 7/1/24 | | 490,000 | 494,815 |
| Series 2018, 5% 7/1/24 (d) | | 400,000 | 402,996 |
| Series 2023, 5% 7/1/25 (d) | | 1,100,000 | 1,124,413 |
| Phoenix Civic Impt. Corp. Wtr. Sys. Rev. Series 2014 B, 5% 7/1/27 | | 400,000 | 403,679 |
| Phoenix Indl. Solid Waste Disp. Rev. Bonds (Republic Svc., Inc. Proj.) Series 2013, 4.9%, tender 2/1/24 (b)(d) | | 26,000,000 | 26,007,379 |
| Yuma Pledged Rev. Series 2021: | | | |
| 4% 7/1/24 | | 300,000 | 301,237 |
| 4% 7/1/25 | | 505,000 | 511,637 |
TOTAL ARIZONA | | | 105,201,983 |
| Arkansas - 0.1% | | | |
| Arkansas Dev. Fin. Auth. Multi-family Hsg. Rev. Bonds Series 2021, 1.25%, tender 12/1/23 (b) | | 5,000,000 | 5,000,000 |
| Arkansas Dev. Fin. Auth. Pub. Safety Charges (Arkansas Division of Emergency Mgmt. Proj.) Series 2020, 5% 6/1/24 | | 565,000 | 569,748 |
TOTAL ARKANSAS | | | 5,569,748 |
| California - 3.6% | | | |
| Bay Area Toll Auth. San Francisco Bay Toll Bridge Rev. Bonds: | | | |
| Series 2017 G, 2%, tender 4/1/24 (b) | | 1,120,000 | 1,112,920 |
| Series 2018 A, 2.625%, tender 4/1/26 (b) | | 290,000 | 281,856 |
| Series 2021 B, 0.280% x SIFMA Municipal Swap Index 4.09%, tender 12/7/23 (b)(c) | | 2,500,000 | 2,494,426 |
| Series A, 2.95%, tender 4/1/26 (b) | | 110,000 | 107,507 |
| Series B, 2.85%, tender 4/1/25 (b) | | 95,000 | 93,897 |
| California Cmnty. Choice Fing. Auth. Clean Energy Proj. Rev. Series 2023 C, 5% 10/1/26 | | 625,000 | 635,420 |
| California Gen. Oblig.: | | | |
| Series 2021, 5% 12/1/23 | | 2,000,000 | 2,000,000 |
| Series 2023, 5% 10/1/28 | | 1,000,000 | 1,109,416 |
| California Health Facilities Fing. Auth. Rev. Bonds: | | | |
| (Providence St. Jospeh Health) Series 2016 B3, 2%, tender 10/1/25 (b) | | 1,250,000 | 1,217,101 |
| Series 2016 B2, 4%, tender 10/1/24 (b) | | 7,000,000 | 7,017,747 |
| Series 2021 A, 3%, tender 8/15/25 (b) | | 2,665,000 | 2,664,491 |
| California Hsg. Fin. Agcy. Ltd. Obl Bonds Series 2023 V, 5%, tender 11/1/26 (b) | | 5,000,000 | 5,199,513 |
| California Infrastructure and Econ. Dev. Bank Rev. Bonds: | | | |
| Series 2020 A, 3.65%, tender 1/31/24 (b)(d)(e) | | 26,255,000 | 26,187,430 |
| Series 2021 B1, 0.39%, tender 1/1/24 (b) | | 1,000,000 | 1,000,000 |
| California Muni. Fin. Auth. Solid Waste Disp. Rev. Bonds: | | | |
| (Republic Svcs., Inc. Proj.): | | | |
Series 2021 A, 4.7%, tender 4/1/24 (b)(d) | | 7,200,000 | 7,199,200 |
Series 2021 B, 4.2%, tender 1/16/24 (b)(d) | | 1,200,000 | 1,199,193 |
| (Waste Mgmt., Inc. Proj.): | | | |
Series 2017 A, 0.7%, tender 12/1/23 (b)(d) | | 1,600,000 | 1,590,784 |
Series 2020 B, 4.8%, tender 6/2/25 (b) | | 5,250,000 | 5,274,561 |
Series 2020, 4.25%, tender 12/1/23 (b)(d) | | 6,780,000 | 6,780,000 |
| California Muni. Fin. Auth. Student Hsg. (CHF Davis II, L.L.C. Orchard Park Student Hsg. Proj.) Series 2021, 5% 5/15/24 (Build America Mutual Assurance Insured) | | 500,000 | 502,891 |
| California Poll. Cont. Fing. Auth. Solid Waste Disp. Rev. Bonds (Republic Svcs. INC. Proj.) Series 2023, 4.25%, tender 2/15/24 (b)(d)(e) | | 7,200,000 | 7,192,813 |
| California Pub. Fin. Auth. Rev. Series 2021 A, 4% 10/15/24 | | 380,000 | 379,811 |
| California Pub. Works Board Lease Rev.: | | | |
| (Various Cap. Projs.) Series 2021 B, 5% 5/1/24 | | 1,095,000 | 1,103,101 |
| Series 2014 B, 5% 10/1/25 | | 350,000 | 355,590 |
| California Statewide Cmntys. Dev. Auth. Rev. Series 2007: | | | |
| 4.2%, tender 7/1/41 (Assured Guaranty Muni. Corp. Insured) (b) | | 5,525,000 | 5,525,000 |
| 4.9%, tender 7/1/40 (Assured Guaranty Muni. Corp. Insured) (b) | | 9,275,000 | 9,275,000 |
| 5.25%, tender 7/1/40 (Assured Guaranty Muni. Corp. Insured) (b) | | 2,175,000 | 2,175,000 |
| Castaic Lake Wtr. Agcy. Ctfs. of Prtn. Series 1999, 0% 8/1/28 (AMBAC Insured) | | 225,000 | 194,711 |
| Fresno Arpt. Rev. Series 2023 A: | | | |
| 5% 7/1/24 (Build America Mutual Assurance Insured) (d) | | 250,000 | 251,730 |
| 5% 7/1/25 (Build America Mutual Assurance Insured) (d) | | 500,000 | 510,327 |
| Long Beach Hbr. Rev. Series 2020 B, 5% 5/15/24 (d) | | 1,475,000 | 1,484,182 |
| Los Angeles County Dev. Authorities Bonds Series 2023 C, 3.75%, tender 12/1/26 (b) | | 3,000,000 | 3,003,825 |
| Los Angeles Dept. Arpt. Rev.: | | | |
| Series 2015 D, 5% 5/15/25 (d) | | 1,705,000 | 1,740,616 |
| Series 2016 B, 5% 5/15/26 (d) | | 135,000 | 139,714 |
| Series 2017 A, 5% 5/15/24 (d) | | 430,000 | 432,772 |
| Series 2018 D, 5% 5/15/24 (d) | | 1,000,000 | 1,006,447 |
| Series 2019 A, 5% 5/15/24 (d) | | 375,000 | 377,418 |
| Series 2019 D, 5% 5/15/24 (d) | | 415,000 | 417,676 |
| Series 2019 E, 4% 5/15/24 | | 200,000 | 200,934 |
| Series 2020 C, 5% 5/15/24 (d) | | 250,000 | 251,612 |
| Series 2021 A, 5% 5/15/27 (d) | | 1,300,000 | 1,366,095 |
| Series 2022 C: | | | |
5% 5/15/24 (d) | | 965,000 | 971,222 |
5% 5/15/25 (d) | | 455,000 | 464,504 |
5% 5/15/26 (d) | | 1,205,000 | 1,247,076 |
| Series 2022 G, 5% 5/15/25 (d) | | 550,000 | 561,489 |
| Series 2023 A: | | | |
5% 5/15/24 (d) | | 385,000 | 387,482 |
5% 5/15/25 (d) | | 255,000 | 260,327 |
5% 5/15/26 (d) | | 440,000 | 455,364 |
| Los Angeles Unified School District Ctfs. of Prtn. Series 2023 A: | | | |
| 5% 10/1/26 | | 3,910,000 | 4,141,494 |
| 5% 10/1/27 | | 4,000,000 | 4,332,640 |
| Metropolitan Wtr. District of Southern California Wtr. Rev. Bonds Series 2017 C, SIFMA Municipal Swap Index + 0.140% 3.74%, tender 12/7/23 (b)(c) | | 1,000,000 | 998,232 |
| Port of Oakland Rev.: | | | |
| Series 2017 D, 5% 11/1/24 (d) | | 100,000 | 101,117 |
| Series 2021 H: | | | |
5% 5/1/24 (d) | | 865,000 | 869,182 |
5% 5/1/24 (Escrowed to Maturity) (d) | | 65,000 | 65,502 |
| San Diego County Reg'l. Arpt. Auth. Arpt. Rev. Series 2019 B, 5% 7/1/25 (d) | | 1,000,000 | 1,020,653 |
| San Francisco City & County Arpts. Commission Int'l. Arpt. Rev.: | | | |
| Series 2013 A, 5.5% 5/1/28 (d) | | 7,465,000 | 7,487,305 |
| Series 2019 H, 5% 5/1/25 (d) | | 680,000 | 693,862 |
| Series 2022 A, 5% 5/1/26 (d) | | 2,000,000 | 2,066,089 |
| Series 2023 A, 5% 5/1/25 (d) | | 400,000 | 408,154 |
| San Jose Int. Arpt. Rev.: | | | |
| Series 2021 A, 5% 3/1/24 (d) | | 1,000,000 | 1,003,013 |
| Series 2021 B, 5% 3/1/24 | | 500,000 | 502,359 |
| Southern California Pub. Pwr. Auth. Rev. Bonds Series 2020 C, 0.65%, tender 7/1/25 (b) | | 250,000 | 239,036 |
| West Contra Costa Unified School District Series 2004 C, 0% 8/1/25 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | | 260,000 | 245,430 |
| Western Placer Unified School District Spl. Tax Series 2020, 2% 6/1/25 | | 1,400,000 | 1,351,033 |
TOTAL CALIFORNIA | | | 140,925,292 |
| Colorado - 1.2% | | | |
| Colorado Bridge Enterprise Rev. Series 2017, 4% 6/30/24 (d) | | 1,330,000 | 1,331,412 |
| Colorado Health Facilities Auth. Rev. Bonds: | | | |
| Bonds: | | | |
Series 2018 B, 5%, tender 11/20/25 (b) | | 7,660,000 | 7,880,289 |
Series 2019 B: | | | |
5%, tender 8/1/25 (b) | | 300,000 | 303,726 |
5%, tender 8/1/26 (b) | | 340,000 | 349,447 |
Series 2022 B, 5%, tender 8/17/26 (b) | | 2,155,000 | 2,254,311 |
Series 2023 A1, 5%, tender 11/15/28 (b) | | 3,060,000 | 3,296,806 |
| Series 2019 A, 5% 1/1/25 | | 1,205,000 | 1,226,933 |
| Series 2022 A, 5% 11/1/26 | | 400,000 | 415,769 |
| Colorado Hsg. & Fin. Auth.: | | | |
| Series 2019 F, 4.25% 11/1/49 | | 105,000 | 104,699 |
| Series 2019 H, 4.25% 11/1/49 | | 50,000 | 49,793 |
| Colorado Reg'l. Trans. District (Denver Transit Partners Eagle P3 Proj.) Series 2020: | | | |
| 5% 1/15/24 | | 750,000 | 750,565 |
| 5% 1/15/25 | | 650,000 | 655,891 |
| Colorado Univ. Co. Hosp. Auth. Rev. Bonds Series 2019 C, 5%, tender 11/15/24 (b) | | 300,000 | 301,788 |
| Denver City & County Arpt. Rev.: | | | |
| Series 2013 B, 5% 11/15/24 | | 250,000 | 250,572 |
| Series 2018 A: | | | |
5% 12/1/23 (d) | | 250,000 | 250,000 |
5% 12/1/29 (d) | | 185,000 | 197,497 |
| Series 2020 B1, 5% 11/15/24 (d) | | 6,775,000 | 6,851,137 |
| Series 2022 A: | | | |
5% 11/15/24 (d) | | 1,000,000 | 1,011,238 |
5% 11/15/25 (d) | | 1,485,000 | 1,522,838 |
| Series 2022 C, 5% 11/15/26 | | 800,000 | 849,143 |
| Series 2022 D: | | | |
5% 11/15/24 (d) | | 4,000,000 | 4,044,952 |
5.25% 11/15/26 (d) | | 775,000 | 813,473 |
| Denver Convention Ctr. Hotel Auth. Series 2016, 5% 12/1/23 | | 750,000 | 750,000 |
| Denver Health & Hosp. Auth. Healthcare Rev. Series 2017 A, 5% 12/1/28 (e) | | 2,385,000 | 2,479,209 |
| E-470 Pub. Hwy. Auth. Rev.: | | | |
| Bonds Series 2021 B, U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.350% 3.914%, tender 12/1/23 (b)(c) | | 3,250,000 | 3,239,471 |
| Series 2020 A: | | | |
5% 9/1/24 | | 450,000 | 455,873 |
5% 9/1/25 | | 300,000 | 309,772 |
| Maiker Hsg. Partners Colo Multi Bonds Series 2023, 4.5%, tender 5/1/26 (b) | | 1,175,000 | 1,175,771 |
| Univ. of Colorado Enterprise Sys. Rev. Bonds: | | | |
| Series 2019 C, 2%, tender 10/15/24 (b) | | 2,500,000 | 2,457,548 |
| Series 2021 C3A, 2%, tender 10/15/25 (b) | | 1,360,000 | 1,317,413 |
| Vauxmont Metropolitan District Series 2019, 5% 12/15/23 (Assured Guaranty Muni. Corp. Insured) | | 120,000 | 120,050 |
TOTAL COLORADO | | | 47,017,386 |
| Connecticut - 1.3% | | | |
| Connecticut Gen. Oblig.: | | | |
| Series 2013 A, 4.8% 3/1/25 (b) | | 510,000 | 511,812 |
| Series 2015 B, 3.375% 6/15/29 | | 150,000 | 150,246 |
| Series 2016 A, 5% 3/15/26 | | 150,000 | 156,977 |
| Series 2016 B, 5% 5/15/24 | | 575,000 | 579,910 |
| Series 2022 G, 5% 11/15/26 | | 1,000,000 | 1,062,887 |
| Series A, 4% 1/15/25 | | 3,500,000 | 3,538,555 |
| Series C, 4% 6/1/24 | | 525,000 | 527,408 |
| Connecticut Health & Edl. Facilities Auth. Rev.: | | | |
| Bonds: | | | |
Series 2010 A4, 1.1%, tender 2/11/25 (b) | | 5,440,000 | 5,270,317 |
Series 2014 B, 1.8%, tender 7/1/24 (b) | | 545,000 | 537,346 |
Series 2015 A, 0.375%, tender 7/12/24 (b) | | 1,525,000 | 1,489,829 |
Series 2017 B2, 3.2%, tender 7/1/26 (b) | | 2,575,000 | 2,549,435 |
Series 2017 C2, 2.8%, tender 2/3/26 (b) | | 4,175,000 | 4,104,611 |
Series X2, 0.25%, tender 2/9/24 (b) | | 11,565,000 | 11,489,272 |
| Series 2013 N, 5% 7/1/24 | | 100,000 | 100,156 |
| Series 2014 A, 5% 7/1/27 | | 390,000 | 392,771 |
| Series 2019 A, 5% 7/1/26 | | 260,000 | 264,659 |
| Series 2022 M, 5% 7/1/26 | | 200,000 | 206,392 |
| Series L1, 4% 7/1/25 | | 600,000 | 599,015 |
| Series N, 5% 7/1/24 | | 375,000 | 374,251 |
| Connecticut Hsg. Fin. Auth. Series 2021, 0.45% 11/15/25 | | 700,000 | 658,491 |
| Connecticut Spl. Tax Oblig. Trans. Infrastructure Rev. Series 2022 B: | | | |
| 5% 1/1/24 | | 10,000,000 | 10,013,683 |
| 5% 7/1/24 | | 5,835,000 | 5,898,674 |
| Hartford Gen. Oblig. Series 2015 C, 5% 7/15/25 (Assured Guaranty Muni. Corp. Insured) | | 640,000 | 659,681 |
| New Haven Gen. Oblig. Series 2016 A, 5% 8/15/25 (Assured Guaranty Muni. Corp. Insured) | | 20,000 | 20,570 |
| Univ. of Connecticut Gen. Oblig. Series 2019 A, 5% 11/1/25 | | 225,000 | 233,204 |
| West Haven Gen. Oblig. Series 2021: | | | |
| 4% 9/15/24 | | 260,000 | 261,232 |
| 4% 9/15/25 | | 255,000 | 257,936 |
| 4% 9/15/26 | | 255,000 | 259,960 |
TOTAL CONNECTICUT | | | 52,169,280 |
| Delaware - 0.0% | | | |
| Delaware Econ. Dev. Auth. Rev. Bonds (Delmarva Pwr. & Lt. Co. Proj.) Series A, 1.05%, tender 7/1/25 (b) | | 565,000 | 539,243 |
| Delaware, New Jersey - 0.0% | | | |
| Delaware River & Bay Auth. Rev. Series 2022, 5% 1/1/25 | | 1,000,000 | 1,018,734 |
| District Of Columbia - 0.6% | | | |
| District of Columbia Income Tax Rev. Series 2022 C, 5% 12/1/27 | | 1,000,000 | 1,089,074 |
| Metropolitan Washington DC Arpts. Auth. Sys. Rev.: | | | |
| Series 2014 A, 5% 10/1/26 (d) | | 160,000 | 160,845 |
| Series 2017 A: | | | |
5% 10/1/24 (d) | | 115,000 | 116,123 |
5% 10/1/26 (d) | | 145,000 | 150,858 |
| Series 2018 A: | | | |
5% 10/1/24 (d) | | 3,100,000 | 3,130,272 |
5% 10/1/26 (d) | | 325,000 | 338,131 |
| Series 2019 A, 5% 10/1/25 (d) | | 155,000 | 158,681 |
| Series 2020 A: | | | |
5% 10/1/24 (d) | | 6,355,000 | 6,417,057 |
5% 10/1/25 (d) | | 530,000 | 542,588 |
| Series 2021 A: | | | |
5% 10/1/24 (d) | | 8,000,000 | 8,078,121 |
5% 10/1/26 (d) | | 920,000 | 957,171 |
| Series 2022 A, 5% 10/1/24 (d) | | 700,000 | 706,836 |
| Series 2023 A, 5% 10/1/25 (d) | | 1,750,000 | 1,791,564 |
| Washington Metropolitan Area Transit Auth. Series 2023 A, 5% 7/15/24 | | 400,000 | 404,665 |
TOTAL DISTRICT OF COLUMBIA | | | 24,041,986 |
| Florida - 1.8% | | | |
| Brevard County Health Facilities Auth. Rev. Series 2023 A: | | | |
| 5% 4/1/26 | | 290,000 | 297,536 |
| 5% 4/1/28 | | 325,000 | 342,658 |
| Brevard County School Board Ctfs. of Prtn. Series 2014, 5% 7/1/27 | | 115,000 | 116,012 |
| Broward County Arpt. Sys. Rev.: | | | |
| Series 2012 P-1, 5% 10/1/25 (d) | | 1,000,000 | 1,000,990 |
| Series 2013 A, 5.25% 10/1/25 (d) | | 1,500,000 | 1,501,761 |
| Series 2013 C, 5.25% 10/1/25 | | 575,000 | 575,697 |
| Series 2015 C, 5% 10/1/24 (d) | | 245,000 | 247,273 |
| Series 2017, 5% 10/1/25 (d) | | 1,000,000 | 1,022,685 |
| Broward County Fin. Auth. Multi-family Hsg. Rev. Bonds Series 2023, 4.05%, tender 3/1/26 (b) | | 1,000,000 | 1,006,709 |
| Central Florida Expressway Auth. Sr. Lien Rev. Series 2021, 5% 7/1/24 (Assured Guaranty Muni. Corp. Insured) | | 885,000 | 893,949 |
| Citizens Property Ins. Corp. Series 2015 A1, 5% 6/1/25 | | 2,550,000 | 2,586,474 |
| Duval County School Board Ctfs. of Prtn. Series 2022 A: | | | |
| 5% 7/1/24 (Assured Guaranty Muni. Corp. Insured) | | 3,500,000 | 3,530,199 |
| 5% 7/1/25 (Assured Guaranty Muni. Corp. Insured) | | 5,335,000 | 5,471,545 |
| Florida Board of Ed. Lottery Rev. Series 2014 A, 5% 7/1/24 | | 200,000 | 200,264 |
| Florida Dev. Fin. Corp. Edl. Facilities (Nova Southeastern Univ. Proj.) Series 2020 A: | | | |
| 5% 4/1/24 | | 360,000 | 361,963 |
| 5% 4/1/25 | | 200,000 | 203,260 |
| Florida Hsg. Fin. Corp. Multi-family Mtg. Rev. Bonds: | | | |
| Series 2023 B, 5%, tender 2/1/26 (b) | | 265,000 | 271,920 |
| Series 2023 C, 5%, tender 12/1/25 (b) | | 605,000 | 618,734 |
| Florida Mid-Bay Bridge Auth. Rev. Series 2015 A: | | | |
| 5% 10/1/24 | | 45,000 | 45,432 |
| 5% 10/1/25 | | 40,000 | 40,936 |
| 5% 10/1/26 | | 45,000 | 45,715 |
| Florida Muni. Pwr. Agcy. Rev.: | | | |
| Series 2016 A: | | | |
5% 10/1/24 | | 475,000 | 481,536 |
5% 10/1/28 | | 1,405,000 | 1,467,475 |
| Series 2021 A: | | | |
5% 10/1/24 | | 450,000 | 456,192 |
5% 10/1/25 | | 500,000 | 515,808 |
5% 10/1/26 | | 300,000 | 315,840 |
| Greater Orlando Aviation Auth. Arpt. Facilities Rev.: | | | |
| Series 2015 A: | | | |
4% 10/1/24 (d) | | 1,040,000 | 1,042,637 |
5% 10/1/29 (Pre-Refunded to 10/1/25 @ 100) (d) | | 585,000 | 599,936 |
5% 10/1/30 (Pre-Refunded to 10/1/25 @ 100) (d) | | 1,165,000 | 1,194,744 |
| Series 2016 A, 5% 10/1/25 (Escrowed to Maturity) (d) | | 275,000 | 281,776 |
| Series 2016, 5% 10/1/24 (d) | | 285,000 | 287,644 |
| Series 2017 A: | | | |
5% 10/1/25 (d) | | 30,000 | 30,681 |
5% 10/1/25 (Escrowed to Maturity) (d) | | 600,000 | 615,319 |
5% 10/1/26 (d) | | 10,000 | 10,374 |
5% 10/1/26 (Escrowed to Maturity) (d) | | 35,000 | 36,520 |
| Hillsborough County Aviation Auth. Rev.: | | | |
| Series 2015 A, 5% 10/1/44 (Pre-Refunded to 10/1/24 @ 100) (d) | | 5,500,000 | 5,562,658 |
| Series 2022 A: | | | |
5% 10/1/24 (d) | | 1,000,000 | 1,008,872 |
5% 10/1/25 (d) | | 1,245,000 | 1,272,137 |
| Hillsborough County School Board Ctfs. of Prtn. Series 2015 A, 5% 7/1/26 | | 230,000 | 234,803 |
| Jacksonville Spl. Rev. Series 2022 A: | | | |
| 5% 10/1/24 | | 355,000 | 360,582 |
| 5% 10/1/25 | | 275,000 | 285,132 |
| 5% 10/1/26 | | 65,000 | 68,830 |
| 5% 10/1/27 | | 55,000 | 59,449 |
| Lakeland Hosp. Sys. Rev. Series 2016, 5% 11/15/26 | | 1,500,000 | 1,565,755 |
| Lee County Arpt. Rev.: | | | |
| Series 2021 A: | | | |
5% 10/1/24 (d) | | 745,000 | 752,154 |
5% 10/1/25 (d) | | 1,375,000 | 1,407,169 |
5% 10/1/27 (d) | | 1,450,000 | 1,522,065 |
| Series 2021 B: | | | |
5% 10/1/24 (d) | | 1,250,000 | 1,262,003 |
5% 10/1/25 (d) | | 925,000 | 946,641 |
| Manatee County School District Series 2017, 5% 10/1/24 (Assured Guaranty Muni. Corp. Insured) | | 30,000 | 30,413 |
| Miami Dade County Hsg. Multifamily Hsg. Rev. Bonds: | | | |
| Series 2023 B, 4.05%, tender 9/1/25 (b) | | 410,000 | 411,813 |
| Series 2023: | | | |
5%, tender 9/1/25 (b) | | 1,445,000 | 1,469,905 |
5%, tender 9/1/25 (b) | | 775,000 | 791,110 |
5%, tender 10/1/25 (b) | | 2,445,000 | 2,509,605 |
| Miami-Dade County Aviation Rev.: | | | |
| Series 2012 A, 5% 10/1/24 (d) | | 200,000 | 200,232 |
| Series 2020 A, 5% 10/1/25 | | 1,255,000 | 1,294,678 |
| Miami-Dade County Health Facilities Auth. Hosp. Rev. (Nicklaus Children's Hosp. Proj.) Series 2021 A: | | | |
| 5% 8/1/24 | | 600,000 | 605,085 |
| 5% 8/1/25 | | 700,000 | 716,461 |
| Miami-Dade County Indl. Dev. Auth. Solid Waste Disp. Rev. Bonds Series 2011, 5%, tender 11/1/24 (b)(d) | | 6,000,000 | 6,022,749 |
| Miami-Dade County School Board Ctfs. of Prtn. Series 2015 A, 5% 5/1/27 (Assured Guaranty Muni. Corp. Insured) | | 265,000 | 271,231 |
| North Sumter County Util. Dependent District Series 2021, 4% 10/1/24 (Assured Guaranty Muni. Corp. Insured) | | 795,000 | 799,269 |
| Okeechobee County Solid Waste Rev. Bonds (Waste Mgmt., Inc.-Okeechobee Landfill Proj.) Series 2004 A, 0.55%, tender 7/1/24 (b) | | 750,000 | 733,984 |
| Orange County Health Facilities Auth. Bonds Series 2021 C, 5%, tender 11/15/26 (b) | | 1,545,000 | 1,621,135 |
| Orange County Hsg. Fin. Auth. Multi-family Rev. Bonds Series 2021 B, 0.55%, tender 7/1/24 (b) | | 1,450,000 | 1,416,115 |
| Orlando Utils. Commission Util. Sys. Rev. Series 2013 A, 5% 10/1/24 | | 250,000 | 253,767 |
| Palm Beach County Health Facilities Auth. Hosp. Rev. Series 2014: | | | |
| 5% 12/1/23 (Escrowed to Maturity) | | 5,000 | 5,000 |
| 5% 12/1/24 (Escrowed to Maturity) | | 10,000 | 10,158 |
| Pasco County Tax Alloc Series 2023 A, 5.25% 9/1/26 (Assured Guaranty Muni. Corp. Insured) | | 275,000 | 289,537 |
| Pinellas County Hsg. Fin. Auth. Bonds Series 2021 B, 0.65%, tender 7/1/24 (b) | | 325,000 | 317,587 |
| Polk County Hsg. Fin. Auth. Multi-family Hsg. Rev. Bonds Series 2023, 4.15%, tender 6/1/26 (b) | | 760,000 | 769,502 |
| Seminole County School Board Ctfs. of Prtn. Series 2016 C: | | | |
| 5% 7/1/25 | | 20,000 | 20,568 |
| 5% 7/1/26 | | 25,000 | 26,276 |
| Tampa Health Sys. Rev. Series 2012 B, SIFMA Municipal Swap Index + 0.300% 3.9%, tender 6/27/24 (b)(c) | | 2,000,000 | 2,000,000 |
| Tampa Hosp. Rev. (H. Lee Moffitt Cancer Ctr. Proj.) Series 2020 B: | | | |
| 5% 7/1/24 | | 75,000 | 75,562 |
| 5% 7/1/25 | | 100,000 | 102,219 |
| 5% 7/1/26 | | 175,000 | 181,727 |
| 5% 7/1/27 | | 150,000 | 157,938 |
| Volusia County Edl. Facilities Auth. Rev. (Embry-Riddle Aeronautical Univ., Inc. Proj.) Series 2020 A: | | | |
| 5% 10/15/24 | | 1,000,000 | 1,011,017 |
| 5% 10/15/25 | | 1,000,000 | 1,025,992 |
| 5% 10/15/26 | | 750,000 | 783,973 |
| 5% 10/15/27 | | 165,000 | 175,441 |
TOTAL FLORIDA | | | 70,126,493 |
| Georgia - 2.6% | | | |
| Atlanta Arpt. Rev.: | | | |
| Series 2014 C, 5% 1/1/24 (d) | | 1,295,000 | 1,296,257 |
| Series 2020 B: | | | |
5% 7/1/24 (d) | | 1,400,000 | 1,411,123 |
5% 7/1/25 (d) | | 610,000 | 624,291 |
| Series 2022 B, 5% 7/1/26 (d) | | 1,000,000 | 1,035,942 |
| Series 2023 G: | | | |
5% 7/1/25 (d) | | 1,600,000 | 1,637,486 |
5% 7/1/26 (d) | | 2,250,000 | 2,330,870 |
5% 7/1/27 (d) | | 2,045,000 | 2,153,223 |
| Bartow County Dev. Auth. Poll. Cont. Rev. Bonds (Georgia Pwr. Co. Plant Bowen Proj.) Series 2013, 2.875%, tender 8/19/25 (b) | | 1,865,000 | 1,815,113 |
| Brookhaven Dev. Auth. Rev. Series 2019 A, 5% 7/1/25 | | 100,000 | 102,917 |
| Burke County Indl. Dev. Auth. Poll. Cont. Rev. Bonds: | | | |
| (Georgia Pwr. Co. Plant Vogtle Proj.): | | | |
Series 1994 4, 3.8%, tender 5/21/26 (b) | | 3,135,000 | 3,105,522 |
Series 1995 4, 3.8%, tender 5/21/26 (b) | | 2,500,000 | 2,476,493 |
Series 2008, 2.925%, tender 3/12/24 (b) | | 250,000 | 248,631 |
Series 2012, 2.875%, tender 8/19/25 (b) | | 2,000,000 | 1,946,502 |
Series 2013 1st, 2.925%, tender 3/12/24 (b) | | 990,000 | 984,577 |
| (Oglethorpe Pwr. Corp. Vogtle Proj.) Series 2017 E, 3.25%, tender 2/3/25 (b) | | 100,000 | 98,686 |
| Fayette County Hosp. Auth. Rev. Bonds (Piedmont Healthcare, Inc. Proj.) Series 2019 A, 5%, tender 7/1/24 (b) | | 1,075,000 | 1,076,043 |
| Gainesville & Hall County Hosp. Auth. Rev. Series 2021 A, 5% 2/15/25 | | 675,000 | 685,609 |
| Georgia Muni. Elec. Auth. Pwr. Rev.: | | | |
| Series 2020 A: | | | |
4% 11/1/24 | | 200,000 | 200,767 |
4% 11/1/25 | | 800,000 | 808,218 |
5% 1/1/24 | | 2,105,000 | 2,106,979 |
5% 1/1/24 | | 1,250,000 | 1,251,175 |
5% 11/1/26 | | 870,000 | 911,411 |
| Series 2021 A: | | | |
5% 1/1/24 | | 170,000 | 170,155 |
5% 1/1/24 | | 190,000 | 190,179 |
| Series 2023 A: | | | |
5% 7/1/25 (Assured Guaranty Muni. Corp. Insured) | | 275,000 | 282,166 |
5% 7/1/25 (Assured Guaranty Muni. Corp. Insured) | | 270,000 | 277,036 |
5% 7/1/26 (Assured Guaranty Muni. Corp. Insured) | | 300,000 | 313,795 |
5% 7/1/26 (Assured Guaranty Muni. Corp. Insured) | | 310,000 | 324,255 |
| Main Street Natural Gas, Inc.: | | | |
| Bonds: | | | |
Series 2018 C, 4%, tender 12/1/23 (b) | | 3,155,000 | 3,155,000 |
Series 2018 E, SIFMA Municipal Swap Index + 0.570% 4.38%, tender 12/1/23 (b)(c) | | 12,500,000 | 12,500,000 |
Series 2019 B, 4%, tender 12/2/24 (b) | | 11,275,000 | 11,250,678 |
Series 2019 C, 4%, tender 9/1/26 (b) | | 4,975,000 | 4,936,781 |
Series 2021 C, 4%, tender 12/1/28 (b) | | 5,000,000 | 4,905,575 |
Series 2022 C, 4%, tender 11/1/27 (b)(e) | | 2,500,000 | 2,372,503 |
| Series 2021 A: | | | |
4% 9/1/24 | | 500,000 | 500,815 |
4% 3/1/25 | | 430,000 | 430,981 |
4% 9/1/25 | | 400,000 | 401,301 |
| Series 2021 C: | | | |
4% 12/1/23 | | 1,470,000 | 1,470,000 |
4% 12/1/24 | | 700,000 | 697,624 |
| Series 2022 A: | | | |
4% 12/1/23 | | 735,000 | 735,000 |
4% 12/1/25 | | 1,500,000 | 1,493,315 |
4% 12/1/26 | | 245,000 | 243,934 |
| Series 2022 B: | | | |
5% 6/1/24 | | 600,000 | 601,750 |
5% 6/1/25 | | 700,000 | 707,616 |
5% 6/1/26 | | 800,000 | 814,787 |
| Series 2023 A: | | | |
5% 6/1/24 | | 550,000 | 551,605 |
5% 6/1/25 | | 1,525,000 | 1,540,714 |
5% 6/1/26 | | 2,100,000 | 2,138,817 |
| Series 2023 B: | | | |
5% 3/1/24 | | 250,000 | 250,510 |
5% 9/1/24 | | 550,000 | 553,751 |
5% 3/1/25 | | 765,000 | 774,259 |
5% 9/1/25 | | 700,000 | 712,656 |
5% 3/1/26 | | 930,000 | 953,046 |
| Series 2023 D: | | | |
5% 12/1/24 | | 600,000 | 603,957 |
5% 12/1/25 | | 1,100,000 | 1,116,526 |
5% 12/1/26 | | 620,000 | 635,102 |
5% 12/1/27 | | 1,700,000 | 1,756,160 |
5% 12/1/28 | | 1,850,000 | 1,920,979 |
| Series 2023 E, 5% 12/1/23 | | 1,700,000 | 1,700,000 |
| Monroe County Dev. Auth. Poll. Cont. Rev.: | | | |
| (Georgia Pwr. Co. Plant Scherer Proj.) Series 1995, 2.25% 7/1/25 | | 435,000 | 417,044 |
| Bonds: | | | |
(Georgia Pwr. Co. Plant Scherer Proj.): | | | |
Series 2009, 3.875%, tender 3/6/26 (b) | | 3,425,000 | 3,399,633 |
Series 2012, 3.875%, tender 3/6/26 (b) | | 1,250,000 | 1,240,742 |
Series 2023, 3.875%, tender 3/6/26 (b) | | 3,500,000 | 3,474,078 |
(Oglethorpe Pwr. Corp. Scherer Proj.) Series 2013 A, 1.5%, tender 2/3/25 (b) | | 1,500,000 | 1,432,768 |
| Paulding County Hosp. Auth. Rev. Series 2022 A, 5% 4/1/24 | | 365,000 | 366,502 |
| Private Colleges & Univs. Auth. Rev. (The Savannah College of Art & Design Projs.) Series 2021, 5% 4/1/25 | | 600,000 | 611,338 |
TOTAL GEORGIA | | | 103,233,268 |
| Guam - 0.1% | | | |
| Guam Pwr. Auth. Rev. Series 2022 A: | | | |
| 5% 10/1/24 | | 2,595,000 | 2,614,867 |
| 5% 10/1/25 | | 870,000 | 886,190 |
TOTAL GUAM | | | 3,501,057 |
| Hawaii - 0.4% | | | |
| Hawaii Arpts. Sys. Rev. Series 2022 B, 5% 7/1/24 (d) | | 6,500,000 | 6,543,883 |
| Hawaii Dept. of Budget & Fin. Spl. Purp. Rev.: | | | |
| (Queens Health Sys. Proj.) Series 2015 B, SIFMA Municipal Swap Index + 0.140% 4.26%, tender 7/1/39 (b)(c) | | 455,000 | 455,000 |
| Series 2017 A, 3.1% 5/1/26 (d) | | 2,175,000 | 1,667,101 |
| Hawaii Gen. Oblig. Series 2020 A: | | | |
| 5% 7/1/24 (d) | | 655,000 | 660,279 |
| 5% 7/1/25 (d) | | 350,000 | 357,768 |
| Honolulu City & County Gen. Oblig. Series 2022 A, 5% 11/1/26 | | 815,000 | 865,197 |
| Honolulu City & County Multi-family housing Rev. Bonds Series 2023, 5%, tender 6/1/26 (b) | | 2,080,000 | 2,150,275 |
| State of Hawaii Dept. of Trans. Series 2013, 5.25% 8/1/24 (d) | | 2,885,000 | 2,886,490 |
TOTAL HAWAII | | | 15,585,993 |
| Idaho - 0.1% | | | |
| Idaho Health Facilities Auth. Hosp. Rev. Bonds Series 2013 ID, 4.3%, tender 2/1/24 (b) | | 1,500,000 | 1,501,590 |
| Idaho Hsg. & Fin. Assn Sales Tax Series 2023 A, 5% 8/15/25 | | 1,465,000 | 1,513,836 |
| Idaho Hsg. & Fin. Assoc. Single Family Mtg. Series 2019 A, 4% 1/1/50 | | 30,000 | 29,770 |
TOTAL IDAHO | | | 3,045,196 |
| Illinois - 5.4% | | | |
| Champaign County Cmnty. Unit Series 2020 A, 0% 1/1/26 | | 800,000 | 741,076 |
| Chicago Board of Ed.: | | | |
| Series 2017 F, 5% 12/1/24 | | 5,500,000 | 5,527,574 |
| Series 2019 A, 5% 12/1/23 | | 1,000,000 | 1,000,000 |
| Chicago Gen. Oblig.: | | | |
| Series 2002 B, 5% 1/1/25 | | 1,650,000 | 1,668,991 |
| Series 2015 C: | | | |
5% 1/1/25 | | 2,565,000 | 2,594,523 |
5% 1/1/28 | | 1,065,000 | 1,083,806 |
| Series 2020 A: | | | |
5% 1/1/25 | | 1,500,000 | 1,517,232 |
5% 1/1/27 | | 3,600,000 | 3,722,956 |
| Chicago Heights Multifamily Hsg. Rev. Bonds (Olympic Village Apts. Proj.) Series 2022, 2.875%, tender 8/1/25 (b) | | 3,000,000 | 2,952,185 |
| Chicago Ill St Univ. Rev. Series 1998, 5.5% 12/1/23 | | 670,000 | 670,000 |
| Chicago Metropolitan Wtr. Reclamation District of Greater Chicago Series 2021 C, 5% 12/1/23 | | 990,000 | 990,000 |
| Chicago Midway Arpt. Rev.: | | | |
| Series 2013 B: | | | |
5% 1/1/25 | | 150,000 | 150,360 |
5% 1/1/26 | | 275,000 | 275,660 |
| Series 2014 A: | | | |
5% 1/1/26 (d) | | 595,000 | 595,061 |
5% 1/1/27 (d) | | 615,000 | 615,078 |
5% 1/1/28 (d) | | 100,000 | 100,014 |
5% 1/1/29 (d) | | 675,000 | 675,073 |
| Series 2014 B, 5% 1/1/26 | | 140,000 | 140,348 |
| Series 2016 A: | | | |
5% 1/1/24 (d) | | 1,000,000 | 1,000,680 |
5% 1/1/25 (d) | | 7,255,000 | 7,337,182 |
| Chicago Multi-Family Hsg. Rev. Bonds Series 2022, 4%, tender 9/1/24 (b) | | 1,751,000 | 1,752,328 |
| Chicago O'Hare Int'l. Arpt. Rev.: | | | |
| Series 2015 A, 5% 1/1/27 (d) | | 2,000,000 | 2,014,278 |
| Series 2015 C: | | | |
5% 1/1/24 (d) | | 1,865,000 | 1,866,440 |
5% 1/1/26 (d) | | 680,000 | 685,842 |
| Series 2016 A, 5% 1/1/24 (d) | | 305,000 | 305,235 |
| Series 2017 D: | | | |
5% 1/1/24 (d) | | 1,000,000 | 1,000,772 |
5% 1/1/25 (d) | | 965,000 | 977,151 |
5% 1/1/27 (d) | | 85,000 | 88,458 |
| Series 2022 A, 5% 1/1/25 (d) | | 2,340,000 | 2,369,465 |
| Series 2022 C: | | | |
5% 1/1/24 (d) | | 2,000,000 | 2,001,544 |
5% 1/1/25 (d) | | 2,000,000 | 2,025,183 |
5% 1/1/26 (d) | | 900,000 | 922,750 |
| Chicago Park District Gen. Oblig. Series 2014 B, 5% 1/1/28 | | 1,000,000 | 1,002,684 |
| Chicago Transit Auth. Cap. Grant Receipts Rev.: | | | |
| Series 2015: | | | |
5% 6/1/24 | | 4,000,000 | 4,024,653 |
5% 6/1/25 | | 2,500,000 | 2,550,408 |
| Series 2017: | | | |
5% 6/1/24 | | 1,250,000 | 1,257,704 |
5% 6/1/24 | | 845,000 | 850,208 |
5% 6/1/25 | | 25,000 | 25,504 |
5% 6/1/25 | | 4,200,000 | 4,284,686 |
| Cook County Gen. Oblig.: | | | |
| Series 2021 A: | | | |
5% 11/15/24 | | 50,000 | 50,749 |
5% 11/15/25 | | 50,000 | 51,464 |
| Series 2021 B: | | | |
4% 11/15/25 | | 465,000 | 471,068 |
4% 11/15/26 | | 235,000 | 239,959 |
| Series 2022 A: | | | |
5% 11/15/24 | | 5,080,000 | 5,156,050 |
5% 11/15/25 | | 2,290,000 | 2,357,047 |
| Illinois Dev. Fin. Auth. Retirement Hsg. Regency Park Rev. Series 1991 B, 0% 7/15/25 (Escrowed to Maturity) | | 2,350,000 | 2,228,131 |
| Illinois Dev. Fin. Auth. Solid Waste Disp. Rev. Bonds (Waste Mgmt., Inc. Proj.) Series 2019, 5%, tender 11/1/24 (b)(d) | | 6,700,000 | 6,725,403 |
| Illinois Fin. Auth.: | | | |
| Bonds: | | | |
Series 2020 B, 5%, tender 11/15/24 (b) | | 3,800,000 | 3,812,719 |
Series 2022 B1, 5%, tender 8/15/25 (b) | | 2,420,000 | 2,470,551 |
| Series 2021 A, 5% 10/1/25 | | 2,000,000 | 2,071,518 |
| Series 2022 A, 5% 10/1/25 | | 260,000 | 263,009 |
| Illinois Fin. Auth. Rev.: | | | |
| (Bradley Univ. Proj.) Series 2017 C, 5% 8/1/26 | | 35,000 | 36,022 |
| (Edward-Elmhurst Healthcare) Series 2017 A, 5% 1/1/25 (Escrowed to Maturity) | | 100,000 | 101,831 |
| (Silver Cross Health Sys. Proj.) Series 2015 C, 5% 8/15/27 | | 1,000,000 | 1,021,909 |
| Bonds Series 2019, U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.200% 4.924%, tender 9/1/25 (b)(c) | | 1,940,000 | 1,938,336 |
| Series 2014 A, 5% 10/1/26 | | 500,000 | 506,090 |
| Series 2015 A: | | | |
5% 11/15/24 | | 150,000 | 151,895 |
5% 11/15/25 | | 170,000 | 173,946 |
5% 11/15/26 | | 95,000 | 97,476 |
| Series 2015 B, 5% 11/15/24 | | 45,000 | 45,569 |
| Series 2016 A: | | | |
5% 7/1/25 (Escrowed to Maturity) | | 250,000 | 257,330 |
5% 8/15/35 (Pre-Refunded to 8/15/26 @ 100) | | 195,000 | 204,238 |
| Series 2016 B, 5% 8/15/24 | | 775,000 | 783,417 |
| Series 2016: | | | |
5% 11/15/24 | | 245,000 | 248,370 |
5% 5/15/25 | | 10,000 | 10,205 |
5% 12/1/25 | | 430,000 | 441,840 |
5% 5/15/26 | | 20,000 | 20,594 |
5% 5/15/27 | | 140,000 | 145,209 |
| Series 2018 A, 5% 5/15/24 | | 250,000 | 251,667 |
| Illinois Fin. Auth. Wtr. Facilities Rev. Bonds (American Wtr. Cap. Corp. Proj.) Series 2020, 3.875%, tender 9/1/28 (b) | | 1,500,000 | 1,498,655 |
| Illinois Gen. Oblig.: | | | |
| Series 2014: | | | |
5% 2/1/25 | | 50,000 | 50,022 |
5% 5/1/27 | | 500,000 | 500,763 |
| Series 2016: | | | |
5% 2/1/24 | | 450,000 | 450,881 |
5% 11/1/24 | | 400,000 | 404,864 |
5% 2/1/25 | | 4,775,000 | 4,849,777 |
5% 1/1/26 | | 300,000 | 308,645 |
5% 2/1/26 | | 1,235,000 | 1,272,157 |
| Series 2017 A: | | | |
5% 12/1/23 | | 750,000 | 750,000 |
5% 12/1/25 | | 710,000 | 729,571 |
| Series 2017 C, 5% 11/1/29 | | 2,150,000 | 2,259,096 |
| Series 2017 D: | | | |
5% 11/1/24 | | 15,895,000 | 16,085,902 |
5% 11/1/25 | | 920,000 | 944,654 |
5% 11/1/26 | | 1,755,000 | 1,830,021 |
| Series 2018 A: | | | |
5% 10/1/26 | | 1,340,000 | 1,394,598 |
6% 5/1/26 | | 880,000 | 930,298 |
| Series 2020 B, 5% 10/1/28 | | 1,030,000 | 1,103,769 |
| Series 2020, 5.5% 5/1/24 | | 225,000 | 226,646 |
| Series 2021 A: | | | |
5% 3/1/24 | | 2,000,000 | 2,006,081 |
5% 3/1/25 | | 1,700,000 | 1,728,590 |
| Series 2021 C, 4% 3/1/24 | | 625,000 | 625,417 |
| Series 2022 A, 5% 3/1/24 | | 1,500,000 | 1,504,560 |
| Series 2022 B: | | | |
5% 3/1/24 | | 1,480,000 | 1,484,500 |
5% 3/1/25 | | 7,425,000 | 7,549,871 |
5% 3/1/26 | | 3,185,000 | 3,284,939 |
| Series 2023 C: | | | |
5% 5/1/25 | | 1,810,000 | 1,844,574 |
5% 5/1/26 | | 1,500,000 | 1,551,361 |
5% 5/1/29 | | 1,005,000 | 1,084,587 |
| Series 2023 D: | | | |
5% 7/1/25 | | 3,885,000 | 3,969,792 |
5% 7/1/26 | | 5,000,000 | 5,187,227 |
| Illinois Hsg. Dev. Auth. Bonds Series 2022 H, 3.47%, tender 12/1/23 (b) | | 12,000,000 | 12,000,000 |
| Illinois Hsg. Dev. Auth. Multi-family Hsg. Rev. Bonds: | | | |
| Series 2015, 4.81%, tender 5/15/25, LOC Fed. Home Ln. Bank, San Francisco (b) | | 2,425,000 | 2,417,624 |
| Series 2023, 4%, tender 6/1/25 (b) | | 1,600,000 | 1,602,308 |
| Illinois Muni. Elec. Agcy. Pwr. Supply Series 2015 A, 5% 2/1/24 | | 420,000 | 421,053 |
| Illinois Reg'l. Trans. Auth. Series 2017 A, 5% 7/1/24 | | 285,000 | 287,703 |
| Illinois Sales Tax Rev.: | | | |
| Series 2013, 5% 6/15/24 | | 400,000 | 400,924 |
| Series 2021 A, 4% 6/15/24 | | 1,670,000 | 1,673,724 |
| Series 2021 C: | | | |
5% 6/15/24 | | 85,000 | 85,632 |
5% 6/15/25 | | 50,000 | 50,980 |
| Joliet Wtrwks. & Swr. Rev. Series 2022, 5% 1/1/24 | | 3,675,000 | 3,677,556 |
| Kane County School District No. 131 Series 2020 A, 5% 12/1/23 (Assured Guaranty Muni. Corp. Insured) | | 290,000 | 290,000 |
| Kane, Cook, DuPage, McHenry & DeKalb Counties Cmnty. College District #509 Elgin Series 2021 B: | | | |
| 4% 12/15/23 | | 155,000 | 155,029 |
| 4% 12/15/24 | | 450,000 | 453,494 |
| Kane, McHenry, Cook & DeKalb Counties Unit School District #300 Series 2015 5% 1/1/27 | | 395,000 | 400,220 |
| Matteson Gen. Oblig.: | | | |
| Series 2021 A, 4% 12/1/23 | | 705,000 | 705,000 |
| Series 2021 B, 4% 12/1/23 | | 525,000 | 525,000 |
| McHenry County Cmnty. School District #200 Series 2006 B: | | | |
| 0% 1/15/24 | | 60,000 | 59,746 |
| 0% 1/15/25 | | 110,000 | 105,581 |
| 0% 1/15/26 | | 80,000 | 74,120 |
| Metropolitan Pier & Exposition: | | | |
| Series 2002, 0% 12/15/29 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | | 575,000 | 460,310 |
| Series 2022 A, 3% 6/15/24 | | 630,000 | 625,679 |
| Series 2023 A, 5% 12/15/28 | | 1,000,000 | 1,060,443 |
| Metropolitan Pier & Exposition Auth. Hosp. Facilities Rev. Series 1996, 7% 7/1/26 (Escrowed to Maturity) | | 1,615,000 | 1,700,688 |
| Northern Illinois Univ. Revs. Series 2020 B, 5% 4/1/26 (Build America Mutual Assurance Insured) | | 650,000 | 669,520 |
| Peoria County Gen. Oblig. Series 2021 A, 4% 1/1/24 | | 1,000,000 | 1,000,249 |
| Railsplitter Tobacco Settlement Auth. Rev. Series 2017: | | | |
| 5% 6/1/24 (Escrowed to Maturity) | | 8,285,000 | 8,354,625 |
| 5% 6/1/27 (Pre-Refunded to 6/1/26 @ 100) | | 1,245,000 | 1,304,941 |
| 5% 6/1/28 (Pre-Refunded to 6/1/26 @ 100) | | 2,270,000 | 2,379,291 |
| Sales Tax Securitization Corp.: | | | |
| Series 2023 C, 5% 1/1/24 | | 2,525,000 | 2,527,875 |
| Series 2023 D, 5% 1/1/24 | | 1,260,000 | 1,261,435 |
| Springfield Elec. Rev. Series 2015, 5% 3/1/29 | | 4,500,000 | 4,568,935 |
| Upper Illinois River Valley Dev. Auth. Rev. Series 2018, 5% 12/1/24 | | 300,000 | 302,675 |
TOTAL ILLINOIS | | | 214,710,882 |
| Indiana - 1.4% | | | |
| Clark-Pleasant Ind. Cmnty. School C Series 2023, 5% 7/15/24 | | 2,000,000 | 2,014,440 |
| Ctr. Grove Cmnty. School Corp. Series 2021 B, 4% 1/1/24 | | 2,065,000 | 2,065,107 |
| Fort Wayne Redev. Auth. (Grand Wayne Ctr. Proj.) Series 2022: | | | |
| 4% 2/1/24 | | 770,000 | 770,793 |
| 4% 8/1/26 | | 895,000 | 917,392 |
| Hammond Multi-School Bldg. Corp. Series 2018, 5% 1/15/24 | | 640,000 | 641,112 |
| Indiana Dev. Fin. Auth. Solid Waste Disp. Rev. Bonds (Waste Mgmt., Inc. Proj.) Series 2001, 4.6%, tender 10/1/31 (b)(d) | | 5,000,000 | 5,026,010 |
| Indiana Fin. Auth. Health Sys. Rev. Bonds Series 2019 B, 2.25%, tender 7/1/25 (b) | | 1,310,000 | 1,280,846 |
| Indiana Fin. Auth. Hosp. Rev. Bonds Series 2011 M, 0.7%, tender 1/1/26 (b) | | 3,680,000 | 3,403,726 |
| Indiana Fin. Auth. Rev.: | | | |
| (Butler Univ. Proj.) Series 2019: | | | |
4% 2/1/24 | | 200,000 | 200,174 |
4% 2/1/25 | | 275,000 | 275,952 |
| (Cmnty. Foundation of Northwest Indiana Obligated Group) Series 2016, 5% 9/1/25 | | 600,000 | 616,866 |
| Series 2016, 5% 9/1/26 | | 205,000 | 214,557 |
| Indiana Fin. Auth. Wastewtr. Util. Rev. (CWA Auth. Proj.) Series 2015 A, 5% 10/1/25 | | 35,000 | 35,493 |
| Indiana Hsg. & Cmnty. Dev. Auth.: | | | |
| Bonds Series 2022 A, 4.5%, tender 4/1/24 (b) | | 8,864,000 | 8,878,871 |
| Series 2021 C1, 3% 1/1/52 | | 945,000 | 905,186 |
| Indiana Muni. Pwr. Agcy. Pwr. Supply Sys. Rev. Series 2017 A, 5% 1/1/25 | | 705,000 | 718,207 |
| Indianapolis Local Pub. Impt.: | | | |
| (Indianapolis Arpt. Auth. Proj.): | | | |
Series 2015 I, 4% 1/1/24 (d) | | 4,000,000 | 4,000,206 |
Series 2016 A1, 5% 1/1/25 (d) | | 65,000 | 65,832 |
Series 2019 D: | | | |
5% 1/1/24 (d) | | 270,000 | 270,217 |
5% 1/1/25 (d) | | 3,185,000 | 3,225,776 |
| Indianapolis Arpt. Auth. Proj. Series 2019 D, 5% 1/1/26 (d) | | 1,000,000 | 1,025,479 |
| Marion High School Bldg. Corp. Series 2021 A: | | | |
| 4% 1/15/24 | | 240,000 | 240,148 |
| 4% 1/15/25 | | 250,000 | 251,606 |
| 4% 7/15/25 | | 255,000 | 257,651 |
| Posey County Redev. Auth. Leas Series 2023, 5% 7/15/25 | | 3,000,000 | 3,061,331 |
| Vinton Tecumseh School Bldg. Corp. Series 2021: | | | |
| 3% 1/15/24 | | 490,000 | 489,652 |
| 3% 7/15/25 | | 515,000 | 511,288 |
| Westfield Ind. Redev. Auth. Loc I Series 2023: | | | |
| 5% 1/1/25 | | 485,000 | 492,542 |
| 5% 7/1/25 | | 345,000 | 353,189 |
| Whiting Envir. Facilities Rev. Bonds (BP Products North America, Inc. Proj.) Series 2019 A, 5%, tender 6/5/26 (b)(d) | | 13,050,000 | 13,190,500 |
TOTAL INDIANA | | | 55,400,149 |
| Iowa - 0.1% | | | |
| Iowa Fin. Auth. Rev. Series 2018 B, 5% 2/15/24 | | 200,000 | 200,488 |
| Iowa Fin. Auth. Solid Waste Facilities Bonds (Gevo NW Iowa RNG, LLC Renewable Natural Gas Proj.) Series 2021, 1.5%, tender 4/1/24, LOC Citibank NA (b)(d) | | 1,500,000 | 1,484,928 |
| Iowa Higher Ed. Ln. Auth. Rev. (Grinnell College Proj.) Series 2017, 4% 12/1/24 | | 250,000 | 252,222 |
| Iowa Student Ln. Liquidity Corp. Student Ln. Rev.: | | | |
| Series 2015 A, 5% 12/1/24 (d) | | 540,000 | 544,972 |
| Series 2019 B: | | | |
5% 12/1/23 (d) | | 600,000 | 600,000 |
5% 12/1/25 (d) | | 985,000 | 1,002,248 |
TOTAL IOWA | | | 4,084,858 |
| Kansas - 0.1% | | | |
| Reno County Unified Scd # 308 Hu Series 2013, 3% 9/1/24 | | 2,000,000 | 1,978,955 |
| Valley Ctr. Kans Series 2023 1, 4.375% 12/1/25 | | 3,000,000 | 3,009,679 |
| Wyandotte County/Kansas City Unified Govt. Util. Sys. Rev. Series 2016 A, 5% 9/1/25 | | 15,000 | 15,455 |
TOTAL KANSAS | | | 5,004,089 |
| Kentucky - 1.1% | | | |
| Ashland Med. Ctr. Rev.: | | | |
| (Ashland Hosp. Corp. D/B/A King's Daughters Med. Ctr. Proj.) Series 2016 A: | | | |
5% 2/1/24 | | 30,000 | 30,044 |
5% 2/1/25 | | 20,000 | 20,219 |
| Series 2019, 5% 2/1/26 | | 550,000 | 561,496 |
| Carroll County Poll. Ctlr Rev. Bonds (Kentucky Utils. Co. Proj.) Series 2016 A, 1.55%, tender 9/1/26 (b) | | 500,000 | 455,866 |
| Hazard Healthcare Rev. Series 2021, 5% 7/1/24 | | 230,000 | 231,723 |
| Intloc Sct Cfts Prtn. Series 2023, 4% 3/1/26 | | 1,160,000 | 1,164,563 |
| Kenton County Arpt. Board Arpt. Rev. Series 2016, 5% 1/1/24 | | 200,000 | 200,252 |
| Kentucky Asset/Liability Commission Gen. Fund Rev. Series 2021 A, 5% 11/1/24 | | 435,000 | 441,299 |
| Kentucky Bond Dev. Corp. Edl. Facilities (Transylvania Univ. Proj.) Series 2021 A, 4% 3/1/25 | | 340,000 | 341,515 |
| Kentucky Econ. Dev. Fin. Auth. Solid Waste Disp. Rev. Bonds (Republic Svcs., Inc. Proj.) Series A, 4.3%, tender 12/1/23 (b)(d) | | 5,000,000 | 5,000,000 |
| Kentucky Hsg. Corp. Multi-family Rev. Bonds (Cambridge Square Proj.) Series 2021, 0.3%, tender 2/1/24 (b) | | 3,500,000 | 3,476,312 |
| Kentucky State Property & Buildings Commission Rev.: | | | |
| Series 2015, 4% 8/1/25 | | 200,000 | 202,801 |
| Series 2016 B, 5% 11/1/24 | | 285,000 | 289,460 |
| Series 2016: | | | |
3% 2/1/24 | | 350,000 | 349,678 |
5% 2/1/24 | | 275,000 | 275,712 |
5% 10/1/24 | | 425,000 | 431,022 |
| Series A, 5% 11/1/25 | | 350,000 | 362,301 |
| Series B, 5% 8/1/25 | | 300,000 | 309,011 |
| Kentucky State Univ. Ctfs. of Prtn. (Kentucky State Univ. Proj.) Series 2021, 5% 11/1/25 | | 280,000 | 288,999 |
| Kentucky, Inc. Pub. Energy Bonds: | | | |
| Series 2018 A, 4%, tender 4/1/24 (b) | | 2,045,000 | 2,042,775 |
| Series 2018 B, 4%, tender 1/1/25 (b) | | 225,000 | 223,353 |
| Series 2019 A1, 4%, tender 6/1/25 (b) | | 1,000,000 | 995,513 |
| Series A, 4%, tender 6/1/26 (b) | | 325,000 | 319,723 |
| Series C1, 4%, tender 6/1/25 (b) | | 10,505,000 | 10,457,867 |
| Louisville & Jefferson County: | | | |
| Bonds Series 2020 C, 5%, tender 10/1/26 (b) | | 2,015,000 | 2,090,361 |
| Series 2023 A: | | | |
5% 10/1/26 | | 700,000 | 733,667 |
5% 10/1/27 | | 1,700,000 | 1,812,666 |
| Louisville Reg'l. Arpt. Auth. Sys. Rev. Series 2014 A, 5% 7/1/24 (d) | | 155,000 | 156,073 |
| Rural Wtr. Fing. Agcy. Pub. Proj. Series 2023 A, 3.9% 11/1/25 | | 2,500,000 | 2,499,943 |
| Trimble County Envirl Facilities Re Bonds Series 2023, 4.7%, tender 6/1/27 (b)(d)(f) | | 8,980,000 | 9,028,114 |
TOTAL KENTUCKY | | | 44,792,328 |
| Louisiana - 0.6% | | | |
| Lake Charles Hbr. & Term. Rev. Bonds (Big Lake Fuels LLC Proj.) Series 2021, 1%, tender 12/1/24 (b)(d) | | 1,300,000 | 1,250,740 |
| Louisiana Gas & Fuel Tax Rev. Bonds Series 2022 A, U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.500% 4.224%, tender 5/1/26 (b)(c) | | 3,940,000 | 3,859,110 |
| Louisiana Gen. Oblig.: | | | |
| Series 2015 A, 5% 5/1/24 | | 350,000 | 352,404 |
| Series 2016 D, 5% 9/1/24 | | 155,000 | 156,966 |
| Louisiana Hsg. Corp. Single Fami (Home Ownership Prog.) Series 2023 C, 5.75% 12/1/53 | | 165,000 | 178,115 |
| Louisiana Local Govt. Envir. Facilities and Cmnty. Dev. Auth. Bonds (East Baton Rouge Sewerage Commission Proj.) Series 2020 B, 0.875%, tender 2/1/25 (b) | | 4,000,000 | 3,855,103 |
| Louisiana Pub. Facilities Auth. Rev. Bonds (Ochsner Clinic Foundation Proj.) Series 2020 B, 5%, tender 5/15/25 (b) | | 3,000,000 | 3,051,197 |
| New Orleans Aviation Board Rev.: | | | |
| (North Term. Proj.): | | | |
Series 2015 B: | | | |
5% 1/1/24 (d) | | 1,600,000 | 1,601,211 |
5% 1/1/25 (d) | | 1,750,000 | 1,771,667 |
Series 2017 B: | | | |
5% 1/1/24 (d) | | 20,000 | 20,015 |
5% 1/1/25 (d) | | 5,000 | 5,062 |
5% 1/1/26 (d) | | 215,000 | 220,132 |
| Series 2017 D2: | | | |
5% 1/1/24 (d) | | 15,000 | 15,011 |
5% 1/1/25 (d) | | 115,000 | 116,424 |
| St. John Baptist Parish Rev. Bonds (Marathon Oil Corp.) Series 2017: | | | |
| 2.1%, tender 7/1/24 (b) | | 4,735,000 | 4,652,031 |
| 4.05%, tender 7/1/26 (b) | | 3,045,000 | 3,027,279 |
| State of Louisiana Grant Anticipation Rev. Series 2021, 5% 9/1/24 | | 785,000 | 794,955 |
TOTAL LOUISIANA | | | 24,927,422 |
| Maine - 0.2% | | | |
| Maine Fin. Auth. Student Ln. Rev. Series 2019 A, 5% 12/1/23 (Assured Guaranty Muni. Corp. Insured) (d) | | 500,000 | 500,000 |
| Maine Health & Higher Edl. Facilities Auth. Rev. Series 2021 A: | | | |
| 5% 7/1/24 | | 500,000 | 504,029 |
| 5% 7/1/25 | | 500,000 | 511,483 |
| 5% 7/1/26 | | 975,000 | 1,014,924 |
| Maine Hsg. Auth. Mtg. Bonds Series 2023 B, 3.125%, tender 5/1/24 (b) | | 4,180,000 | 4,158,774 |
| Maine Tpk. Auth. Tpk. Rev. Series 2015, 5% 7/1/26 | | 250,000 | 257,775 |
TOTAL MAINE | | | 6,946,985 |
| Maryland - 1.9% | | | |
| Baltimore Proj. Rev. Series 2017 A: | | | |
| 5% 7/1/28 | | 2,000,000 | 2,112,600 |
| 5% 7/1/29 | | 1,000,000 | 1,055,733 |
| 5% 7/1/29 | | 755,000 | 797,078 |
| Hsg. Opportunities Commission of Montgomery County Series 2021 C, 0.8% 7/1/25 | | 105,000 | 98,602 |
| Maryland Cmnty. Dev. Admin Dept. Hsg. & Cmnty. Dev.: | | | |
| Series 2019 B, 4% 9/1/49 | | 130,000 | 128,943 |
| Series 2021 C, 0.6% 7/1/24 | | 560,000 | 550,159 |
| Series 2022 D, 3.15% 7/1/24 | | 4,000,000 | 3,952,761 |
| Series 2022 I, 4.375% 1/1/25 (e) | | 12,000,000 | 12,013,908 |
| Series 2022, 1.33% 1/1/24 (e) | | 5,000,000 | 4,985,130 |
| Series 2023 B: | | | |
2.75% 6/1/25 | | 3,055,000 | 3,005,809 |
2.75% 8/1/25 | | 1,160,000 | 1,139,706 |
| Series 2023 C: | | | |
3.4% 8/1/25 | | 9,015,000 | 9,022,701 |
5.25% 11/1/25 | | 6,000,000 | 6,086,872 |
| Series 2023 D, 3.5% 1/1/26 | | 2,805,000 | 2,795,978 |
| Maryland Dept. of Trans.: | | | |
| Series 2022 A, 5% 12/1/23 | | 95,000 | 95,000 |
| Series 2022 B, 5% 12/1/24 | | 220,000 | 224,174 |
| Maryland Dept. of Trans. County Trans. Rev. Series 2018, 5% 12/1/23 | | 130,000 | 130,000 |
| Maryland Econ. Dev. Corp. Student Hsg. Rev. (Univ. of Maryland, College Park Projs.) Series 2016, 4% 6/1/24 (Assured Guaranty Muni. Corp. Insured) | | 1,330,000 | 1,332,872 |
| Maryland Health & Higher Edl.: | | | |
| Bonds Series 2020, 5%, tender 7/1/25 (b) | | 4,005,000 | 4,067,701 |
| Series 2023, 5% 7/1/27 | | 1,360,000 | 1,433,847 |
| Maryland Health & Higher Edl. Facilities Auth. Rev.: | | | |
| Series 2014, 5% 7/1/39 (Pre-Refunded to 7/1/24 @ 100) | | 8,225,000 | 8,303,474 |
| Series 2015: | | | |
5% 7/1/24 | | 45,000 | 45,306 |
5% 7/1/25 | | 40,000 | 40,814 |
5% 7/1/25 (Pre-Refunded to 7/1/24 @ 100) | | 1,145,000 | 1,152,015 |
| Maryland Stadium Auth. Built to Learn Rev. Series 2022 A, 5% 6/1/26 | | 850,000 | 892,386 |
| Maryland Trans. Auth. Passenger Facility Charge Rev. Series 2012 B: | | | |
| 2.5% 6/1/26 (d) | | 670,000 | 640,867 |
| 2.625% 6/1/27 (d) | | 550,000 | 522,306 |
| Maryland Trans. Auth. Trans. Facility Projs. Rev. Series 2021 A, 5% 7/1/24 | | 1,250,000 | 1,263,855 |
| Montgomery County Gen. Oblig.: | | | |
| Bonds Series 2013 MD, 3.7%, tender 12/1/23 (b) | | 7,150,000 | 7,150,000 |
| Series 2022 A: | | | |
5% 8/1/24 | | 105,000 | 106,322 |
5% 8/1/26 | | 1,000,000 | 1,057,202 |
TOTAL MARYLAND | | | 76,204,121 |
| Massachusetts - 1.3% | | | |
| Boston Hsg. Auth. Cap. Prog. Series 2020 B, 5% 4/1/24 | | 475,000 | 477,729 |
| Massachusetts Dev. Fin. Agcy. Rev.: | | | |
| Bonds: | | | |
(Partners Healthcare Sys., Inc. Proj.) Series 2017 S-4, 5%, tender 1/25/24 (b) | | 5,700,000 | 5,712,272 |
Series 2011 N, 0.45%, tender 7/1/25 (b) | | 3,505,000 | 3,288,076 |
| Series 2016 I: | | | |
5% 7/1/24 | | 25,000 | 25,135 |
5% 7/1/25 | | 20,000 | 20,312 |
5% 7/1/26 | | 20,000 | 20,649 |
| Series 2019 A, 5% 7/1/24 | | 155,000 | 156,161 |
| Series 2019 O: | | | |
5% 12/1/23 | | 130,000 | 130,000 |
5% 12/1/24 | | 100,000 | 101,603 |
| Series C, 5% 10/1/24 (Assured Guaranty Muni. Corp. Insured) | | 325,000 | 328,570 |
| Massachusetts Edl. Fing. Auth. Rev.: | | | |
| Series 2014 I: | | | |
5% 1/1/25 (d) | | 4,055,000 | 4,107,342 |
5% 1/1/26 (d) | | 7,000,000 | 7,080,031 |
| Series 2014, 5% 1/1/24 (d) | | 5,000,000 | 5,004,547 |
| Series 2015 A, 5% 1/1/24 (d) | | 8,250,000 | 8,257,440 |
| Series 2016, 5% 7/1/24 (d) | | 535,000 | 538,673 |
| Series 2017 A, 5% 7/1/25 (d) | | 690,000 | 703,190 |
| Series 2021 B: | | | |
5% 7/1/24 (d) | | 750,000 | 755,149 |
5% 7/1/25 (d) | | 1,575,000 | 1,605,107 |
| Series 2022 B: | | | |
5% 7/1/24 (d) | | 270,000 | 271,853 |
5% 7/1/25 (d) | | 585,000 | 596,183 |
5% 7/1/26 (d) | | 365,000 | 374,947 |
5% 7/1/28 (d) | | 1,775,000 | 1,859,325 |
| Massachusetts Health & Edl. Facilities Auth. Rev.: | | | |
| (Partners Healthcare Sys., Inc. Proj.) Series 2007 G2, 4.15%, tender 12/7/23 (Assured Guaranty Muni. Corp. Insured) (b) | | 8,815,000 | 8,815,000 |
| Bonds Series I, 0.7%, tender 7/1/25 (b) | | 395,000 | 372,037 |
| Massachusetts Hsg. Fin. Agcy. Series 2023 C2, 4% 12/1/27 | | 1,000,000 | 1,007,732 |
| Massachusetts Port Auth. Rev.: | | | |
| Series 2017 A, 5% 7/1/25 (d) | | 25,000 | 25,586 |
| Series 2019 C, 5% 7/1/24 (d) | | 345,000 | 347,741 |
| Massachusetts Port Auth. Spl. Facilities Rev. (Bosfuel Proj.) Series 2019 A, 5% 7/1/27 (d) | | 285,000 | 299,103 |
TOTAL MASSACHUSETTS | | | 52,281,493 |
| Michigan - 0.5% | | | |
| Carman-Ainsworth Cmnty. School District Series 2021, 4% 5/1/24 | | 1,335,000 | 1,338,103 |
| Chippewa Valley Schools Series 2016 B, 5% 5/1/24 | | 200,000 | 201,414 |
| Detroit Downtown Dev. Auth. Tax Series A, 5% 7/1/25 (Assured Guaranty Muni. Corp. Insured) | | 550,000 | 555,278 |
| Grand Traverse County Hosp. Fin. Auth. Series 2021: | | | |
| 5% 7/1/24 | | 650,000 | 655,423 |
| 5% 7/1/25 | | 480,000 | 491,765 |
| Great Lakes Wtr. Auth. Wtr. Supply Sys. Rev. Series 2018 A, 5% 7/1/25 | | 2,500,000 | 2,572,135 |
| Grosse Ile Township School District Unltd. Tax Gen. Oblig. Series 2016, 2% 5/1/24 | | 125,000 | 123,961 |
| Huron School District Series 2019, 5% 5/1/24 | | 205,000 | 206,467 |
| Kalamazoo Hosp. Fin. Auth. Hosp. Facilities Rev. Series 2016: | | | |
| 5% 5/15/24 | | 10,000 | 10,062 |
| 5% 5/15/25 | | 15,000 | 15,303 |
| 5% 5/15/26 | | 15,000 | 15,549 |
| Kent Hosp. Fin. Auth. Hosp. Facilities Rev. (Spectrum Health Sys. Proj.) Series 2015 A, SIFMA Municipal Swap Index + 0.250% 3.85%, tender 6/27/24 (b)(c) | | 1,000,000 | 1,000,000 |
| Lansing Board of Wtr. & Lt. Util. Rev. Bonds Series 2021 B, 2%, tender 7/1/26 (b) | | 1,000,000 | 942,590 |
| Ludington Area School District (Michigan School Bond Qualification and Ln. Prog.) Series 2022 II, 5% 11/1/25 | | 1,230,000 | 1,278,333 |
| Michigan Fin. Auth. Rev.: | | | |
| Bonds: | | | |
Series 2016 E1, 4%, tender 8/15/24 (b) | | 4,980,000 | 4,991,909 |
Series 2019 MI2, 5%, tender 2/1/25 (b) | | 1,750,000 | 1,779,096 |
| Series 2015 D1: | | | |
0.55% 10/15/24 | | 300,000 | 292,142 |
0.75% 10/15/25 | | 250,000 | 237,939 |
| Series 2015 MI, 5% 12/1/24 | | 100,000 | 101,573 |
| Michigan Hsg. Dev. Auth. Single Family Mtg. Rev. Series 2022 A, 2.5% 6/1/25 | | 630,000 | 611,826 |
| Michigan Strategic Fund Exempt Facilities Rev. Bonds (Waste Mgmt., Inc. Proj.) Series 2001, 0.58%, tender 8/1/24 (b)(d) | | 150,000 | 146,368 |
| Portage Pub. Schools Series 2016: | | | |
| 5% 5/1/25 | | 25,000 | 25,662 |
| 5% 11/1/25 | | 25,000 | 25,926 |
| 5% 11/1/28 | | 20,000 | 20,881 |
| Wayne County Arpt. Auth. Rev. Series 2015 F, 5% 12/1/25 (d) | | 2,735,000 | 2,801,308 |
| Wayne-Westland Cmnty. Schools Series 2019, 5% 11/1/24 | | 335,000 | 339,942 |
TOTAL MICHIGAN | | | 20,780,955 |
| Minnesota - 0.8% | | | |
| Central Muni. Pwr. Agcy. Rev. Series 2021, 5% 1/1/25 (Assured Guaranty Muni. Corp. Insured) | | 265,000 | 270,247 |
| Maple Grove Health Care Sys. Rev. Series 2017, 5% 5/1/25 | | 800,000 | 811,790 |
| Minneapolis & Saint Paul Metropolitan Arpts. Commission Arpt. Rev.: | | | |
| Series 2014 A, 5% 1/1/28 | | 215,000 | 215,230 |
| Series 2016, 5% 1/1/25 | | 620,000 | 632,804 |
| Series 2019 B, 5% 1/1/25 (d) | | 1,000,000 | 1,013,436 |
| Series 2019 C, 5% 1/1/26 | | 380,000 | 395,471 |
| Series 2022 B: | | | |
5% 1/1/24 (d) | | 1,860,000 | 1,861,549 |
5% 1/1/25 (d) | | 195,000 | 197,620 |
5% 1/1/26 (d) | | 470,000 | 481,881 |
5% 1/1/27 (d) | | 1,580,000 | 1,644,270 |
| Minneapolis Health Care Sys. Rev. Bonds Series 2023 A, 5%, tender 11/15/28 (b) | | 6,470,000 | 6,921,891 |
| Minnesota Gen. Oblig. Series 2021 B, 5% 9/1/25 | | 3,425,000 | 3,543,641 |
| Minnesota Hsg. Fin. Agcy.: | | | |
| Series 2021 A, 0.625% 1/1/24 (d) | | 380,000 | 379,051 |
| Series 2022 A: | | | |
5% 8/1/25 | | 1,155,000 | 1,188,747 |
5% 8/1/26 | | 1,300,000 | 1,364,808 |
| Series 2022 B, 5% 8/1/26 | | 100,000 | 104,985 |
| Series 2023 E, 3.875% 8/1/25 | | 700,000 | 701,337 |
| Series 2023 F, 5.75% 7/1/53 | | 110,000 | 117,069 |
| Series H, 0.65% 1/1/24 (d) | | 180,000 | 179,567 |
| Minnesota Muni. Gas Agcy. Rev.: | | | |
| Bonds Series 2022 A, 4%, tender 12/1/27 (b) | | 1,725,000 | 1,715,833 |
| Series 2022 A, 4% 12/1/24 | | 2,700,000 | 2,706,685 |
| Minnesota Rural Wtr. Fin. Auth. Series 2023, 4.375% 4/1/25 | | 2,000,000 | 2,007,010 |
| Moorhead Edl. Facilities Rev. (The Concordia College Corp. Proj.) Series 2016, 5% 12/1/25 | | 50,000 | 50,323 |
| Northern Muni. Pwr. Agcy. Elec. Sys. Rev. Series 2016, 5% 1/1/24 | | 1,930,000 | 1,932,036 |
| Saint Paul Hsg. & Redev. Auth. Hosp. Rev. (HealthEast Care Sys. Proj.) Series 2015 A, 5% 11/15/27 (Pre-Refunded to 11/15/25 @ 100) | | 400,000 | 410,980 |
| Southern Minnesota Muni. Pwr. Agcy. Pwr. Supply Sys. Rev. Series 1994 A, 0% 1/1/24 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | | 290,000 | 289,177 |
TOTAL MINNESOTA | | | 31,137,438 |
| Mississippi - 0.0% | | | |
| Jackson Gen. Oblig. Series 2021, 5% 3/1/24 | | 500,000 | 500,899 |
| Mississippi Dev. Bank Spl. Oblig. (Jackson Mississippi Sales Tax Rev. Infrastructure Proj.) Series 2020, 5% 9/1/24 | | 740,000 | 744,508 |
TOTAL MISSISSIPPI | | | 1,245,407 |
| Missouri - 0.4% | | | |
| Barry County Ctfs. Prtn. Law Enforcement Ctr. Proj. Series 2023: | | | |
| 5% 10/1/25 | | 215,000 | 219,686 |
| 5% 10/1/26 | | 550,000 | 568,924 |
| Cape Girardeau County Indl. Dev. Auth. (Southeast Hosp. Proj.) Series 2017 A: | | | |
| 5% 3/1/24 | | 15,000 | 15,025 |
| 5% 3/1/25 | | 15,000 | 15,136 |
| 5% 3/1/26 | | 20,000 | 20,362 |
| Jackson County Spl. Oblig. Series 2023 A, 5% 12/1/28 | | 1,000,000 | 1,085,738 |
| Missouri Health & Edl. Facilities Rev.: | | | |
| Bonds Series 2021 B, 4%, tender 5/1/26 (b) | | 2,705,000 | 2,739,359 |
| Series 2014 A, 5% 6/1/24 | | 1,000,000 | 1,006,893 |
| Missouri Hsg. Dev. Commission Single Family Mtg. Rev.: | | | |
| (First Place Homeownership Ln. Prog.) Series 2021 C, 3.25% 11/1/52 | | 100,000 | 96,773 |
| Series 2019, 4% 5/1/50 | | 55,000 | 54,591 |
| Missouri State Pub. Util. Commn Rev. Series 2023, 4% 12/1/24 | | 10,000,000 | 10,014,282 |
| Ozarks Technical Cmnty. College Series 2021, 5% 3/1/25 | | 225,000 | 229,753 |
| Saint Louis Arpt. Rev.: | | | |
| Series 2017 B, 5% 7/1/24 (Assured Guaranty Muni. Corp. Insured) (d) | | 250,000 | 251,503 |
| Series 2019 B: | | | |
5% 7/1/24 (d) | | 400,000 | 402,315 |
5% 7/1/25 (d) | | 420,000 | 426,741 |
| Series 2022 A, 5% 7/1/24 (d) | | 565,000 | 568,269 |
TOTAL MISSOURI | | | 17,715,350 |
| Montana - 0.0% | | | |
| Montana Board Hsg. Single Family: | | | |
| Series 2019 B, 4% 6/1/50 | | 25,000 | 24,836 |
| Series 2022 A, 3% 6/1/52 | | 260,000 | 249,888 |
| Series A1, 3.5% 6/1/50 | | 320,000 | 313,864 |
TOTAL MONTANA | | | 588,588 |
| Nebraska - 0.6% | | | |
| Central Plains Energy Proj. Rev. Bonds: | | | |
| (Proj. No. 4) Series 2023 A1, 5%, tender 11/1/29 (b) | | 1,415,000 | 1,473,677 |
| Series 2019: | | | |
2.5%, tender 8/1/25 (b) | | 1,000,000 | 969,847 |
4%, tender 8/1/25 (b) | | 7,050,000 | 7,048,178 |
| Douglas County Hosp. Auth. #3 Health Facilities Rev. Series 2015, 5% 11/1/28 | | 1,250,000 | 1,283,162 |
| Gretna Ctfs. of Prtn.: | | | |
| Series 2021, 4% 12/15/25 | | 2,620,000 | 2,635,432 |
| Series 2022, 5% 12/15/25 | | 4,000,000 | 4,068,302 |
| Muni. Energy Agcy. of Nebraska Pwr. Swr. Rev. Series 2022 A: | | | |
| 5% 4/1/24 | | 1,690,000 | 1,699,158 |
| 5% 4/1/25 | | 2,835,000 | 2,900,046 |
| Nebraska Invt. Fin. Auth. Single Family Hsg. Rev.: | | | |
| Series 2019 B, 4% 9/1/49 (d) | | 80,000 | 79,017 |
| Series 2022 B: | | | |
5% 3/1/24 (d) | | 1,050,000 | 1,052,908 |
5% 9/1/24 (d) | | 1,065,000 | 1,074,597 |
| Nebraska Pub. Pwr. District Rev. Series 2016 C, 5% 1/1/25 | | 200,000 | 203,853 |
| Omaha Pub. Pwr. District Elec. Rev. Series A, 5% 2/1/25 | | 200,000 | 204,240 |
TOTAL NEBRASKA | | | 24,692,417 |
| Nevada - 0.7% | | | |
| Clark County Arpt. Rev. Series 2021 B: | | | |
| 5% 7/1/24 (d) | | 2,145,000 | 2,159,847 |
| 5% 7/1/25 (d) | | 795,000 | 811,419 |
| Clark County McCarran Int'l. Arpt. Passenger Facility Charge Rev.: | | | |
| Series 2017 B, 5% 7/1/25 (d) | | 665,000 | 679,759 |
| Series 2019 E: | | | |
5% 7/1/25 | | 100,000 | 102,917 |
5% 7/1/27 | | 275,000 | 295,788 |
| Clark County Poll. Cont. Rev. Bonds (Nevada Pwr. Co. Proj.) Series 2017, 3.75%, tender 3/31/26 (b) | | 2,065,000 | 2,068,669 |
| Clark County School District: | | | |
| Series 2017 C, 5% 6/15/24 | | 200,000 | 201,772 |
| Series 2017 D: | | | |
5% 6/15/24 | | 400,000 | 400,488 |
5% 6/15/25 | | 350,000 | 350,461 |
| Series 2018 A: | | | |
5% 6/15/24 | | 685,000 | 691,070 |
5% 6/15/25 | | 315,000 | 323,528 |
| Series 2021 C, 5% 6/15/25 | | 2,655,000 | 2,726,877 |
| Las Vegas Convention & Visitors Auth. Series 2021, 5% 7/1/24 | | 1,000,000 | 1,008,628 |
| Nevada Dept. of Bus. & Industry Bonds: | | | |
| (Republic Svcs., Inc. Proj.) Series 2001, 4.125%, tender 12/1/23 (b)(d)(e) | | 10,500,000 | 10,500,000 |
| Series 2023 A, 3.7%, tender 1/31/24 (b)(d)(e) | | 2,660,000 | 2,653,359 |
| Nevada Gen. Oblig. Series 2013 F1, 5% 3/1/25 | | 10,000 | 10,013 |
| Nevada Hsg. Division Bonds Series 2022, 5%, tender 12/1/24 (b) | | 1,375,000 | 1,388,861 |
TOTAL NEVADA | | | 26,373,456 |
| New Hampshire - 0.2% | | | |
| Nat'l. Fin. Auth. Hosp. Rev. (St. Luke's Univ. Health Network Proj.) Series 2021 B, 5% 8/15/25 | | 1,140,000 | 1,162,052 |
| Nat'l. Fin. Auth. Solid Bonds (Waste Mgmt., Inc. Proj.): | | | |
| Series 2018 A, 4.185%, tender 12/7/23 (b)(d) | | 5,000,000 | 4,969,600 |
| Series 2019 A2, 2.15%, tender 7/1/24 (b)(d) | | 555,000 | 548,132 |
| New Hampshire Bus. Fin. Auth. Wtr. Facility (Pennichuck Wtr. Works, Inc. Proj.) Series 2014 A, 5% 1/1/24 (Escrowed to Maturity) (d) | | 260,000 | 260,229 |
| New Hampshire Health & Ed. Facilities Auth. Rev. Series 2012, 5% 7/1/27 | | 120,000 | 120,022 |
| New Hampshire St Hsg. Fin. Series 2023 3, 3.8% 7/1/26 (f) | | 1,010,000 | 1,014,454 |
TOTAL NEW HAMPSHIRE | | | 8,074,489 |
| New Jersey - 2.3% | | | |
| Burlington County Bridge Commission Lease Rev. (Governmental Leasing Prog.) Series 2021, 4% 4/1/24 | | 425,000 | 426,193 |
| Gloucester County Impt. Auth. Rev. Series 2021, 0.6% 3/1/24 | | 2,400,000 | 2,373,834 |
| New Brunswick Gen. Oblig. Series 2023, 5% 5/31/24 | | 1,860,000 | 1,873,757 |
| New Brunswick Parking Auth. Rev. Series 2020 B, 5% 9/1/25 | | 850,000 | 875,787 |
| New Jersey Econ. Dev. Auth.: | | | |
| Series 2022 A: | | | |
5% 11/1/25 | | 1,000,000 | 1,034,204 |
5% 11/1/26 | | 1,100,000 | 1,160,139 |
| Series 2023 RRR: | | | |
5% 3/1/24 | | 5,000,000 | 5,017,902 |
5% 3/1/25 | | 2,680,000 | 2,734,052 |
5% 3/1/26 | | 5,065,000 | 5,272,053 |
| Series 2024 SSS: | | | |
5% 6/15/26 (f) | | 1,970,000 | 2,023,194 |
5% 6/15/27 (f) | | 155,000 | 161,440 |
| Series QQQ: | | | |
5% 6/15/24 | | 300,000 | 302,465 |
5% 6/15/25 | | 385,000 | 394,910 |
5% 6/15/26 | | 555,000 | 580,975 |
| New Jersey Econ. Dev. Auth. Rev.: | | | |
| (New Jersey Gen. Oblig. Proj.) Series 2017 B, 5% 11/1/24 | | 515,000 | 522,379 |
| (New Jersey Transit Corp. Projs.) Series 2017 B, 5% 11/1/25 | | 350,000 | 361,653 |
| (Provident Montclair Proj.) Series 2017, 5% 6/1/24 (Assured Guaranty Muni. Corp. Insured) | | 20,000 | 20,162 |
| (The Goethals Bridge Replacement Proj.) Series 2013, 5% 1/1/24 (d) | | 350,000 | 350,141 |
| Series 2014 UU, 5% 6/15/24 | | 400,000 | 403,287 |
| Series 2015 B, 5.25% 7/1/25 | | 1,285,000 | 1,323,975 |
| Series 2015 XX, 4% 6/15/24 | | 545,000 | 546,639 |
| Series 2016 AAA, 5% 6/15/26 | | 3,375,000 | 3,532,958 |
| Series 2019: | | | |
5.25% 9/1/24 (e) | | 4,485,000 | 4,544,972 |
5.25% 9/1/26 (e) | | 1,510,000 | 1,597,078 |
| New Jersey Econ. Dev. Auth. Wtr. Facilities Rev. (New Jersey-American Wtr. Co., Inc. Proj.) Series 2020 E, 0.85% 12/1/25 (d) | | 1,600,000 | 1,471,418 |
| New Jersey Edl. Facilities Auth. Rev. Series 2023 A: | | | |
| 5% 9/1/27 | | 400,000 | 428,212 |
| 5% 9/1/27 | | 200,000 | 214,106 |
| New Jersey Edl. Facility: | | | |
| Series 2016 A, 5% 7/1/24 | | 2,775,000 | 2,799,734 |
| Series 2016 D, 5% 7/1/25 | | 1,860,000 | 1,913,090 |
| New Jersey Gen. Oblig.: | | | |
| Series 2014, 5% 6/1/24 | | 385,000 | 388,499 |
| Series 2021, 2% 6/1/25 | | 840,000 | 817,519 |
| New Jersey Health Care Facilities Fing. Auth. Rev.: | | | |
| Bonds Series 2019 B2, 5%, tender 7/1/25 (b) | | 150,000 | 153,793 |
| Series 2016 A: | | | |
5% 7/1/24 (Escrowed to Maturity) | | 20,000 | 20,197 |
5% 7/1/24 (Escrowed to Maturity) | | 10,000 | 10,095 |
5% 7/1/26 (Escrowed to Maturity) | | 5,000 | 5,244 |
5% 7/1/30 (Pre-Refunded to 7/1/26 @ 100) | | 1,000,000 | 1,048,766 |
| New Jersey Higher Ed. Student Assistance Auth. Student Ln. Rev.: | | | |
| Series 2015 1A, 5% 12/1/24 (d) | | 55,000 | 55,581 |
| Series 2016 1A: | | | |
5% 12/1/23 (d) | | 1,400,000 | 1,400,000 |
5% 12/1/24 (d) | | 1,430,000 | 1,445,109 |
| Series 2017 1A: | | | |
5% 12/1/23 (d) | | 4,195,000 | 4,195,000 |
5% 12/1/25 (d) | | 420,000 | 429,777 |
| Series 2018 B, 5% 12/1/24 (d) | | 5,500,000 | 5,564,529 |
| Series 2019 A, 5% 12/1/23 | | 4,260,000 | 4,260,000 |
| Series 2020 A, 5% 12/1/23 (d) | | 1,500,000 | 1,500,000 |
| Series 2020: | | | |
5% 12/1/23 (d) | | 945,000 | 945,000 |
5% 12/1/24 (d) | | 675,000 | 682,132 |
| Series 2021 A: | | | |
5% 12/1/23 (d) | | 200,000 | 200,000 |
5% 12/1/24 (d) | | 330,000 | 333,487 |
5% 12/1/25 (d) | | 700,000 | 716,295 |
| Series 2021 B, 5% 12/1/24 (d) | | 570,000 | 576,023 |
| Series 2023 B: | | | |
5% 12/1/25 (d) | | 1,800,000 | 1,841,902 |
5% 12/1/28 (d) | | 1,000,000 | 1,054,502 |
| New Jersey Hsg. & Mtg. Fin. Agcy. Multi-family Rev. Series 2023 C, 5% 11/1/26 (d) | | 1,000,000 | 1,020,007 |
| New Jersey Hsg. & Mtg. Fin. Agcy. Rev.: | | | |
| Series 2019 D, 4% 4/1/25 (d) | | 150,000 | 149,832 |
| Series 2021 H, 0.35% 4/1/24 | | 775,000 | 766,568 |
| New Jersey Tobacco Settlement Fing. Corp. Series 2018 A: | | | |
| 5% 6/1/24 | | 4,500,000 | 4,526,247 |
| 5% 6/1/25 | | 825,000 | 838,142 |
| 5% 6/1/26 | | 2,500,000 | 2,568,858 |
| New Jersey Trans. Trust Fund Auth.: | | | |
| Series 2005 B, 5.25% 12/15/23 | | 470,000 | 470,243 |
| Series 2006 A, 5.25% 12/15/23 (Assured Guaranty Muni. Corp. Insured) | | 500,000 | 500,284 |
| Series 2008 A, 0% 12/15/25 | | 1,000,000 | 931,066 |
| Series 2010 A: | | | |
0% 12/15/25 | | 510,000 | 474,843 |
0% 12/15/27 | | 145,000 | 126,107 |
| Series 2010 D, 5.25% 12/15/23 | | 555,000 | 555,287 |
| Series 2016 A, 5% 6/15/27 | | 90,000 | 93,921 |
| Series 2018 A, 5% 6/15/24 | | 670,000 | 675,937 |
| Series 2022 AA: | | | |
5% 6/15/24 | | 330,000 | 332,712 |
5% 6/15/25 | | 155,000 | 158,990 |
| Series 2023 AA: | | | |
5% 6/15/25 | | 2,250,000 | 2,307,918 |
5% 6/15/26 | | 425,000 | 445,206 |
| Series A: | | | |
5% 12/15/23 | | 365,000 | 365,161 |
5% 12/15/25 | | 200,000 | 207,342 |
| Series D, 5% 12/15/23 | | 480,000 | 480,212 |
| Newark Gen. Oblig. Series 2020 A, 5% 10/1/27 | | 2,200,000 | 2,342,534 |
| The Board of Ed. of Newark Series 2021: | | | |
| 5% 7/15/25 (Build America Mutual Assurance Insured) | | 250,000 | 256,891 |
| 5% 7/15/26 (Build America Mutual Assurance Insured) | | 300,000 | 313,277 |
TOTAL NEW JERSEY | | | 92,811,744 |
| New Mexico - 0.4% | | | |
| Farmington Poll. Cont. Rev. Bonds (Pub. Svc. Co. of New Mexico San Juan Proj.) Series 2010 D, 3.9%, tender 6/1/28 (b) | | 3,000,000 | 2,996,597 |
| New Mexico Edl. Assistance Foundation Series 2021 1A, 5% 9/1/24 (d) | | 1,000,000 | 1,008,646 |
| New Mexico Mtg. Fin. Auth.: | | | |
| Series 2018 A1, 4% 1/1/49 | | 175,000 | 174,047 |
| Series 2019 C, 4% 1/1/50 | | 310,000 | 307,637 |
| Series 2021 C, 3% 1/1/52 | | 470,000 | 451,422 |
| Series 2021 D, 3% 7/1/52 | | 2,230,000 | 2,139,205 |
| Series 2023 C, I 5.75% 3/1/54 | | 300,000 | 321,746 |
| New Mexico Mtg. Fin. Auth. Multi-family Hsg. Rev. Bonds (Santa Fe Apts. and Sangre De Cristo Proj.) Series 2023, 5%, tender 6/1/25 (b) | | 5,000,000 | 5,049,058 |
| New Mexico Muni. Energy Acquisition Auth. Gas Supply Rev.: | | | |
| Bonds Series 2019 A, 5%, tender 5/1/25 (b) | | 1,070,000 | 1,082,040 |
| Series 2019 A: | | | |
4% 11/1/24 | | 250,000 | 250,381 |
4% 5/1/25 | | 960,000 | 961,386 |
TOTAL NEW MEXICO | | | 14,742,165 |
| New York - 4.1% | | | |
| Dorm. Auth. New York Univ. Rev. Series 2016 A, 5% 7/1/24 | | 40,000 | 40,300 |
| East Hampton Union Free School District Series 2017, 2.1% 6/1/27 | | 340,000 | 323,301 |
| Hempstead Local Dev. Corp. Rev. (Adelphi Univ. Proj.) Series 2021, 5% 6/1/24 | | 940,000 | 947,395 |
| Long Island Pwr. Auth. Elec. Sys. Rev. Bonds: | | | |
| Series 2019 B, 1.65%, tender 9/1/24 (b) | | 1,055,000 | 1,038,253 |
| Series 2020 B, 0.85%, tender 9/1/25 (b) | | 7,060,000 | 6,701,584 |
| Series 2021 B, 1.5%, tender 9/1/26 (b) | | 470,000 | 439,554 |
| Monroe County Indl. Dev. Corp. (The Rochester Gen. Hosp. Proj.) Series 2017, 5% 12/1/26 | | 350,000 | 363,920 |
| New York City Gen. Oblig.: | | | |
| Series 2006, 5.23%, tender 6/1/36 (Assured Guaranty Muni. Corp. Insured) (b) | | 1,000,000 | 1,000,000 |
| Series 2007 A, 5.18%, tender 8/1/26 (Assured Guaranty Muni. Corp. Insured) (b) | | 625,000 | 625,000 |
| Series 2007 C-4, 5.25%, tender 1/1/32 (Assured Guaranty Muni. Corp. Insured) (b) | | 225,000 | 225,000 |
| Series 2007, 3.9%, tender 12/6/23 (Assured Guaranty Muni. Corp. Insured) (b) | | 2,025,000 | 2,025,000 |
| Series 2008 A-3, 5.23%, tender 8/1/26 (Assured Guaranty Muni. Corp. Insured) (b) | | 1,800,000 | 1,800,000 |
| Series 2008 C-4, 5%, tender 10/1/27 (b) | | 8,675,000 | 8,675,000 |
| Series 2008 J11, 5% 8/1/26 | | 260,000 | 274,735 |
| Series 2014 J, 5% 8/1/25 | | 410,000 | 415,546 |
| Series 2018 A: | | | |
5% 8/1/24 | | 150,000 | 151,898 |
5% 8/1/26 | | 565,000 | 597,021 |
| Series 2020 A1, 5% 8/1/27 | | 1,700,000 | 1,833,542 |
| Series 2023 C, 5% 8/1/25 | | 2,500,000 | 2,584,115 |
| Series 2023 D, 5% 8/1/25 | | 2,000,000 | 2,067,292 |
| Series 2023 F1: | | | |
5% 8/1/25 | | 1,250,000 | 1,292,058 |
5% 8/1/26 | | 5,600,000 | 5,917,379 |
| Series C, 5% 8/1/26 | | 220,000 | 232,468 |
| Series I1, 5% 3/1/27 | | 200,000 | 200,700 |
| New York City Health & Hosp. Corp. Rev. Series A, 4% 2/15/25 | | 1,440,000 | 1,453,509 |
| New York City Hsg. Dev. Corp. Multifamily Hsg. Bonds: | | | |
| Series 2021 C2, 0.7%, tender 7/1/25 (b) | | 2,710,000 | 2,551,675 |
| Series 2021 K2, 0.9%, tender 1/1/26 (b) | | 1,820,000 | 1,689,813 |
| Series 2021, 0.6%, tender 7/1/25 (b) | | 425,000 | 399,532 |
| Series 2023 A2: | | | |
3.7%, tender 12/30/27 (b) | | 6,000,000 | 6,008,843 |
3.73%, tender 12/29/28 (b) | | 1,000,000 | 989,919 |
| Series 2023 D, 4.3%, tender 11/1/28 (b) | | 375,000 | 380,299 |
| Series A3, 1.125%, tender 11/1/24 (b) | | 1,515,000 | 1,474,095 |
| New York City Indl. Dev. Agcy. Rev. Series 2021 A: | | | |
| 5% 1/1/25 (Assured Guaranty Muni. Corp. Insured) | | 1,000,000 | 1,017,671 |
| 5% 1/1/26 (Assured Guaranty Muni. Corp. Insured) | | 1,365,000 | 1,408,604 |
| New York City Muni. Wtr. Fin. Auth. Wtr. & Swr. Sys. Rev. Series 2022 DD, 3.8% 6/15/33 (b) | | 2,000,000 | 2,000,000 |
| New York City Transitional Fin. Auth. Bldg. Aid Rev.: | | | |
| Series 2016 S 1: | | | |
5% 7/15/24 | | 70,000 | 70,757 |
5% 7/15/24 (Escrowed to Maturity) | | 305,000 | 308,381 |
| Series 2018 S1, 5% 7/15/25 (Escrowed to Maturity) | | 370,000 | 381,698 |
| New York City Transitional Fin. Auth. Rev.: | | | |
| Series 2014 D1, 5% 2/1/27 | | 350,000 | 350,810 |
| Series 2021 F1, 5% 11/1/27 | | 775,000 | 842,172 |
| Series A1, 5% 8/1/24 | | 250,000 | 253,016 |
| New York Dorm. Auth. Personal Income Tax Rev.: | | | |
| Series 2014 E, 5% 2/15/26 (Pre-Refunded to 2/15/25 @ 100) | | 300,000 | 307,211 |
| Series 2016 D, 5% 2/15/25 (Escrowed to Maturity) | | 455,000 | 465,936 |
| New York Dorm. Auth. Rev.: | | | |
| Bonds Series 2019 B2, 5%, tender 5/1/24 (b) | | 3,005,000 | 3,008,123 |
| Series 2015 A, 5% 7/1/24 | | 275,000 | 278,111 |
| Series 2021 A, 5% 7/1/24 | | 2,160,000 | 2,179,253 |
| Series 2022 A: | | | |
5% 7/1/26 | | 200,000 | 208,089 |
5% 7/1/27 | | 500,000 | 529,397 |
| New York Dorm. Auth. Sales Tax Rev. Series 2015 A, 5% 3/15/24 (Escrowed to Maturity) | | 250,000 | 251,315 |
| New York Metropolitan Trans. Auth. Dedicated Tax Fund Rev.: | | | |
| Series 2016 A: | | | |
4% 11/15/25 | | 350,000 | 356,468 |
5% 11/15/26 | | 1,055,000 | 1,116,171 |
| Series 2016 B1, 5% 11/15/25 | | 255,000 | 264,499 |
| Series 2017 A, 3% 11/15/30 | | 425,000 | 414,097 |
| Series 2017 B2, 5% 11/15/24 | | 420,000 | 427,342 |
| New York Metropolitan Trans. Auth. Rev.: | | | |
| Bonds: | | | |
Series 2005 D1, U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.330% 3.894%, tender 12/1/23 (b)(c) | | 5,065,000 | 5,057,847 |
Series 2019 A1, 5%, tender 11/15/24 (b) | | 15,700,000 | 15,780,128 |
Series 2019 D1, 5%, tender 11/15/24 (b) | | 4,000,000 | 4,020,322 |
Series 2020 A2, 5%, tender 5/15/24 (b) | | 3,750,000 | 3,758,438 |
| Series 2015 A1, 5% 11/15/27 | | 1,000,000 | 1,017,532 |
| Series 2016 D, 5% 11/15/27 | | 1,070,000 | 1,110,577 |
| Series 2017 A2, 5% 11/15/25 | | 1,880,000 | 1,940,628 |
| Series 2017 B, 5% 11/15/27 | | 1,185,000 | 1,268,025 |
| Series 2017 C1, 5% 11/15/28 | | 660,000 | 709,311 |
| Series 2017 D, 5% 11/15/25 | | 2,140,000 | 2,209,012 |
| New York St Mtg. Agcy. Homeowner Series 2015 194, 3.35% 4/1/25 (d) | | 2,490,000 | 2,472,683 |
| New York State Dorm. Auth.: | | | |
| Series 2017 A: | | | |
5% 2/15/25 (Escrowed to Maturity) | | 440,000 | 450,576 |
5% 2/15/25 (Escrowed to Maturity) | | 250,000 | 255,563 |
| Series 2018 A, 5% 3/15/25 (Escrowed to Maturity) | | 200,000 | 205,167 |
| New York State Energy Research & Dev. Auth. Poll. Cont. Rev. Series 1999, 4.75%, tender 12/1/23 (AMBAC Insured) (b) | | 300,000 | 300,000 |
| New York State Hsg. Fin. Agcy. Rev.: | | | |
| Bonds: | | | |
Series 2021 D2, 0.65%, tender 11/1/25 (b) | | 405,000 | 376,802 |
Series 2021 J2, 1.1%, tender 5/1/27 (b) | | 980,000 | 878,728 |
Series 2021 K2, 1%, tender 11/1/26 (b) | | 265,000 | 244,268 |
| Series J, 0.75% 5/1/25 | | 360,000 | 339,034 |
| New York State Mtg. Agcy. Homeowner Mtg.: | | | |
| Series 2021 232, 5% 4/1/24 (d) | | 1,110,000 | 1,113,487 |
| Series 2023 251: | | | |
3.65% 10/1/25 (d) | | 535,000 | 528,118 |
3.7% 4/1/26 (d) | | 955,000 | 939,109 |
| Series 221, 3.5% 10/1/32 (d) | | 40,000 | 39,067 |
| New York Trans. Dev. Corp.: | | | |
| (Delta Airlines, Inc. Laguardia Arpt. Terminals C&D Redev. Proj.) Series 2018, 5% 1/1/26 (d) | | 2,500,000 | 2,512,875 |
| (Term. 4 JFK Int'l. Arpt. Proj.): | | | |
Series 2020 A: | | | |
5% 12/1/23 (d) | | 675,000 | 675,000 |
5% 12/1/25 (d) | | 3,050,000 | 3,110,429 |
Series 2020 C, 5% 12/1/23 | | 1,000,000 | 1,000,000 |
| (Term. 4 John F. Kennedy Int'l. Arpt. Proj.): | | | |
Series 2020 A, 5% 12/1/27 (d) | | 1,025,000 | 1,070,758 |
Series 2022: | | | |
5% 12/1/26 (d) | | 5,870,000 | 6,058,020 |
5% 12/1/27 (d) | | 1,915,000 | 2,000,489 |
| New York Urban Dev. Corp. Rev.: | | | |
| Series 2014 A, 5% 3/15/26 (Pre-Refunded to 3/15/24 @ 100) | | 340,000 | 341,770 |
| Series 2016 A, 5% 3/15/29 | | 420,000 | 436,903 |
| Series 2017 C, 5% 3/15/26 | | 1,060,000 | 1,110,740 |
| Niagara Frontier Trans. Auth. Arpt. Rev. Series 2019 A, 5% 4/1/24 (d) | | 2,885,000 | 2,892,658 |
| Suffolk County Gen. Oblig.: | | | |
| Series 2022 A: | | | |
5% 6/15/24 | | 280,000 | 282,717 |
5% 6/15/25 | | 295,000 | 303,700 |
| Series 2022 B: | | | |
5% 10/1/25 | | 340,000 | 352,158 |
5% 10/1/26 | | 175,000 | 185,019 |
| Tobacco Settlement Asset Securitization Corp. Series 2017 A, 5% 6/1/25 | | 1,680,000 | 1,706,939 |
| Triborough Bridge & Tunnel Auth. Bonds: | | | |
| Series 2021 A2: | | | |
2%, tender 5/15/24 (b) | | 1,000,000 | 990,470 |
2%, tender 5/15/26 (b) | | 1,285,000 | 1,226,852 |
2%, tender 5/15/28 (b) | | 450,000 | 415,425 |
| Series 2021 B, 5%, tender 5/15/26 (b) | | 5,000,000 | 5,184,107 |
| Series 2021 C, 5%, tender 5/15/26 (b) | | 4,200,000 | 4,354,649 |
| Triborough Bridge & Tunnel Auth. Revs.: | | | |
| Bonds Series 2005 B 4A, U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.380% 3.944%, tender 12/1/23 (b)(c) | | 1,960,000 | 1,959,968 |
| Series 2023 A, 5% 11/15/24 | | 5,370,000 | 5,469,033 |
| Yonkers Gen. Oblig.: | | | |
| Series 2021 A: | | | |
4% 2/15/24 | | 250,000 | 250,329 |
5% 2/15/26 (Assured Guaranty Muni. Corp. Insured) | | 400,000 | 416,701 |
| Series 2021 B: | | | |
4% 2/15/24 | | 290,000 | 290,382 |
5% 2/15/26 | | 320,000 | 333,361 |
TOTAL NEW YORK | | | 161,103,741 |
| New York And New Jersey - 0.9% | | | |
| Port Auth. of New York & New Jersey: | | | |
| Series 193, 5% 10/15/25 (d) | | 1,000,000 | 1,028,361 |
| Series 2013 178, 5% 12/1/25 (d) | | 975,000 | 975,429 |
| Series 2013, 5% 12/1/24 (d) | | 250,000 | 250,110 |
| Series 2014 185, 5% 9/1/25 (d) | | 415,000 | 419,702 |
| Series 2014 186, 5% 10/15/26 (d) | | 2,800,000 | 2,823,802 |
| Series 2015 193, 5% 10/15/27 (d) | | 1,130,000 | 1,158,369 |
| Series 2016 195, 5% 10/1/25 (d) | | 1,065,000 | 1,094,473 |
| Series 2018, 5% 9/15/25 (d) | | 2,075,000 | 2,130,833 |
| Series 2020 221, 5% 7/15/24 (d) | | 605,000 | 610,213 |
| Series 2023 242: | | | |
5% 12/1/24 (d) | | 2,430,000 | 2,464,195 |
5% 12/1/25 (d) | | 8,525,000 | 8,749,823 |
5% 12/1/26 (d) | | 4,640,000 | 4,840,613 |
5% 12/1/27 (d) | | 5,000,000 | 5,287,754 |
| Series 207, 5% 9/15/24 (d) | | 430,000 | 434,688 |
| Series 223: | | | |
5% 7/15/24 (d) | | 1,250,000 | 1,260,770 |
5% 7/15/25 (d) | | 885,000 | 906,307 |
TOTAL NEW YORK AND NEW JERSEY | | | 34,435,442 |
| North Carolina - 1.7% | | | |
| Charlotte Int'l. Arpt. Rev.: | | | |
| Series 2017 B, 5% 7/1/25 (d) | | 100,000 | 101,988 |
| Series 2021 B, 5% 7/1/24 (d) | | 2,000,000 | 2,013,275 |
| Series 2023 B: | | | |
5% 7/1/26 (d) | | 455,000 | 471,354 |
5% 7/1/28 (d) | | 400,000 | 427,304 |
5% 7/1/29 (d) | | 1,150,000 | 1,242,976 |
| Charlotte-Mecklenburg Hosp. Auth. Health Care Sys. Rev. Bonds: | | | |
| Series 2018 B, 1.95%, tender 11/1/29 (b) | | 3,075,000 | 2,747,764 |
| Series 2018 C, 3.45%, tender 10/31/25 (b) | | 2,805,000 | 2,806,077 |
| Series 2018 E, 0.8%, tender 10/31/25 (b) | | 1,500,000 | 1,422,195 |
| Series 2021 B, 5%, tender 12/2/24 (b) | | 4,285,000 | 4,346,761 |
| Series 2023 D, 3.625%, tender 6/15/27 (b) | | 2,350,000 | 2,350,000 |
| Columbus County Indl. Facilities And Poll. Cont. Fing. Auth. Rev. Bonds Series 2019 C, 2.1%, tender 10/1/24 (b)(d) | | 2,000,000 | 1,959,603 |
| New Hanover County Hosp. Rev. Series 2017, 5% 10/1/26 (Escrowed to Maturity) | | 290,000 | 305,392 |
| North Carolina Cap. Facilities Fin. Agcy. Rev.: | | | |
| (Duke Univ. Proj.) Series 2015 B, 5% 10/1/55 (Pre-Refunded to 10/1/25 @ 100) | | 9,750,000 | 10,107,457 |
| Bonds (Republic Svcs., Inc. Proj.) Series 2013, 4.25%, tender 12/15/23 (b)(d) | | 10,000,000 | 9,998,524 |
| North Carolina Grant Anticipation Rev. Series 2019, 5% 3/1/25 | | 335,000 | 342,942 |
| North Carolina Hsg. Fin. Agcy. Multi Hsg. Rev. Bonds Series 2021, 4.5%, tender 6/1/24 (b) | | 1,000,000 | 1,000,056 |
| North Carolina Muni. Pwr. Agcy. #1 Catawba Elec. Rev. Series 2015 A, 5% 1/1/25 | | 200,000 | 203,640 |
| North Carolina State Ed. Assistance Auth. Student Ln. Rev. Series 2020 A, 5% 6/1/26 (d) | | 1,000,000 | 1,034,028 |
| North Carolina Tpk. Auth. Triangle Expressway Sys. Series 2020 C, 5% 2/1/24 (Escrowed to Maturity) | | 24,600,000 | 24,662,068 |
| Raleigh Durham Arpt. Auth. Arpt. Rev.: | | | |
| Series 2017 A, 5% 5/1/27 (d) | | 745,000 | 782,395 |
| Series 2020 A, 5% 5/1/27 (d) | | 130,000 | 136,525 |
TOTAL NORTH CAROLINA | | | 68,462,324 |
| North Dakota - 0.1% | | | |
| Cass County Joint Wtr. Resource District Series 2021 A, 0.48% 5/1/24 | | 3,000,000 | 2,942,991 |
| North Dakota Hsg. Fin. Agcy. Series 2023 F, 6.25% 1/1/54 (f) | | 70,000 | 76,367 |
TOTAL NORTH DAKOTA | | | 3,019,358 |
| Ohio - 0.6% | | | |
| Akron Bath Copley Hosp. District Rev. Series 2016, 5% 11/15/24 | | 45,000 | 45,485 |
| Allen County Hosp. Facilities Rev.: | | | |
| Bonds Series 2022 B1, 5%, tender 8/3/27 (b) | | 5,000,000 | 5,218,894 |
| Series 2020 A, 5% 12/1/23 | | 1,000,000 | 1,000,000 |
| American Muni. Pwr., Inc. Rev.: | | | |
| Bonds Series 2021 A2, 1%, tender 8/15/24 (b) | | 565,000 | 553,327 |
| Series 2021 A, 5% 2/15/24 | | 555,000 | 557,019 |
| Butler County Hosp. Facilities Rev. Series 2017, 5% 11/15/25 | | 1,500,000 | 1,516,257 |
| Cleveland Arpt. Sys. Rev.: | | | |
| Series 2016 A: | | | |
5% 1/1/24 (Assured Guaranty Muni. Corp. Insured) | | 25,000 | 25,030 |
5% 1/1/25 (Assured Guaranty Muni. Corp. Insured) | | 395,000 | 402,064 |
5% 1/1/26 (Assured Guaranty Muni. Corp. Insured) | | 10,000 | 10,180 |
| Series 2018 A: | | | |
5% 1/1/25 (d) | | 1,425,000 | 1,441,742 |
5% 1/1/26 (d) | | 290,000 | 296,923 |
| Series 2019 B, 5% 1/1/27 (d) | | 350,000 | 363,616 |
| Dayton City School District Ctfs. Prtn. Series 2021, 3% 12/1/24 | | 165,000 | 164,157 |
| Franklin County Rev. Bonds Series 2013 OH, 4.3%, tender 2/1/24 (b) | | 2,500,000 | 2,502,650 |
| Gahanna-Jefferson City School District (School Facilities Proj.) Series 2021, 2% 12/1/23 | | 355,000 | 355,000 |
| Miami County Hosp. Facilities Rev. (Kettering Health Network Obligated Group Proj.) Series 2019: | | | |
| 5% 8/1/24 | | 770,000 | 776,877 |
| 5% 8/1/25 | | 310,000 | 318,096 |
| 5% 8/1/26 | | 535,000 | 558,466 |
| Miami Univ. Series 2022 A, 5% 9/1/24 | | 550,000 | 556,894 |
| Ohio Higher Edl. Facility Commission Rev.: | | | |
| (Xavier Univ. 2020 Proj.) Series 2020, 5% 5/1/24 | | 490,000 | 492,767 |
| Bonds (Case Western Reserve Univ. Proj.) Series 2019 C, 1.625%, tender 12/1/26 (b) | | 605,000 | 570,969 |
| Ohio Hosp. Facilities Rev. Series 2017 A, 5% 1/1/26 | | 500,000 | 519,333 |
| Ohio Hsg. Fin. Agcy. Residential Mtg. Rev.: | | | |
| (Mtg. Backed Securities Prog.) Series 2019 B, 4.5% 3/1/50 | | 30,000 | 30,082 |
| (Mtg.-Backed Securities Prog.) Series 2023 B, 6% 3/1/55 | | 260,000 | 283,958 |
| Ohio Tpk. Commission Tpk. Rev. (Infrastructure Projs.) Series 2022 A, 5% 2/15/25 | | 1,055,000 | 1,079,311 |
| Scioto County Hosp. Facilities Rev.: | | | |
| Series 2016: | | | |
5% 2/15/25 | | 35,000 | 35,530 |
5% 2/15/26 | | 405,000 | 416,080 |
| Series 2019, 5% 2/15/29 | | 700,000 | 725,041 |
| Toledo Gen. Oblig. Series 2020: | | | |
| 3% 12/1/24 | | 510,000 | 506,874 |
| 3% 12/1/24 | | 425,000 | 422,395 |
| Univ. of Akron Gen. Receipts Series 2019 A, 5% 1/1/25 | | 400,000 | 406,898 |
| Wooster Ohio Series 2023, 4.5% 6/7/24 | | 2,000,000 | 2,009,659 |
TOTAL OHIO | | | 24,161,574 |
| Oklahoma - 0.6% | | | |
| Cleveland County Edl. Facilities Auth.: | | | |
| (Moore Pub. Schools Proj.) Series 2021, 4% 6/1/25 | | 295,000 | 298,327 |
| (Norman Pub. Schools Proj.) Series 2019, 5% 6/1/25 | | 3,500,000 | 3,590,054 |
| Jackson County Facilities Auth. Rev. (Jackson County Courthouse Proj.) Series 2022: | | | |
| 3% 10/1/24 | | 400,000 | 396,733 |
| 3% 10/1/25 | | 730,000 | 719,936 |
| Mcintosh County Edl. Facilities Auth. (Checotah Pub. School Proj.) Series 2022, 2% 9/1/25 | | 650,000 | 627,083 |
| Oklahoma City Arpt. Trust Series 2018, 5% 7/1/24 (d) | | 1,665,000 | 1,675,579 |
| Oklahoma County Independent School District #89 Oklahoma City Series 2023 A, 3% 7/1/26 | | 5,990,000 | 5,978,657 |
| Oklahoma Dev. Fin. Auth. Health Sys. Rev. Series 2020 C, 4.1% 8/15/31 (b) | | 2,450,000 | 2,450,000 |
| Oklahoma Hsg. Fin. Agcy. Single Family Mtg. Rev.: | | | |
| (Homeownership Ln. Prog.) Series 2023 C, 6% 3/1/54 | | 50,000 | 54,622 |
| (Homeownership Load Prog.) Series 2023 D, 6.5% 9/1/54 (f) | | 55,000 | 61,543 |
| Oklahoma Tpk. Auth. Tpk. Rev. Series 2017 D, 5% 1/1/25 | | 315,000 | 321,203 |
| Tulsa County Independent School District #1 Series 2021 B, 0.25% 9/1/24 | | 4,000,000 | 3,874,134 |
| Tulsa County Indl. Auth. Edl. Facilities Lease Rev. (Berryhill Pub. School Proj.) Series 2020: | | | |
| 4% 9/1/24 | | 445,000 | 446,730 |
| 4% 9/1/25 | | 690,000 | 697,703 |
| Univ. of Oklahoma Gen. Rev. Series 2020 B, 4% 7/1/24 | | 490,000 | 491,742 |
| Washington County Okla Edl. Facsa (Dewey Pub. Schools Proj.) Series 2023, 5% 9/1/27 | | 455,000 | 477,378 |
TOTAL OKLAHOMA | | | 22,161,424 |
| Oregon - 0.5% | | | |
| Multnomah County Hosp. Facilities Auth. Rev. Bonds Series 2019, 5%, tender 3/1/25 (b) | | 6,185,000 | 6,235,762 |
| Oregon Bus. Dev. Commission Recovery Zone Facility Bonds (Intel Corp. Proj.) Series 2023 232, 3.8%, tender 6/15/28 (b) | | 2,000,000 | 2,021,248 |
| Oregon Facilities Auth. Rev. (Samaritan Health Svcs. Proj.) Series 2016 A, 5% 10/1/29 | | 1,000,000 | 1,028,944 |
| Oregon Gen. Oblig. Series 2021 A, 5% 5/1/24 | | 1,500,000 | 1,511,833 |
| Oregon State Hsg. & Cmnty. Svcs. Dept. (Single - Family Mtg. Prog.) Series 2023 D, 3.55% 9/28/24 | | 2,000,000 | 2,001,002 |
| Port of Morrow Full Faith and Cr. Obligations Series 2021 D: | | | |
| 4% 12/1/23 | | 110,000 | 110,000 |
| 4% 12/1/24 | | 150,000 | 150,778 |
| 4% 12/1/25 | | 150,000 | 151,963 |
| Port of Portland Arpt. Rev.: | | | |
| Series 2014 22, 5% 7/1/25 (d) | | 1,255,000 | 1,264,254 |
| Series 2022, 5% 7/1/25 (d) | | 2,115,000 | 2,157,054 |
| Series 26 C: | | | |
5% 7/1/24 (d) | | 1,000,000 | 1,006,638 |
5% 7/1/26 (d) | | 1,150,000 | 1,190,186 |
| Salem Hosp. Facility Auth. Rev. (Cap. Manor Proj.) Series 2022, 5% 5/15/26 | | 135,000 | 134,750 |
TOTAL OREGON | | | 18,964,412 |
| Pennsylvania - 3.0% | | | |
| Allegheny County Hosp. Dev. Auth. Rev.: | | | |
| Bonds Series 2017 E, 0.000% x SIFMA Municipal Swap Index 4.3%, tender 5/15/27 (b)(c) | | 4,000,000 | 3,946,388 |
| Series 2019 A, 5% 7/15/24 | | 1,745,000 | 1,761,202 |
| Series 2021 B: | | | |
5% 10/15/24 | | 705,000 | 714,330 |
5% 10/15/25 | | 740,000 | 762,745 |
| Allegheny County Sanitation Auth. Swr. Rev. Series 2020 A, 4% 6/1/24 | | 300,000 | 301,216 |
| Commonwealth Fing. Auth. Rev. Series 2019 B, 5% 6/1/24 | | 275,000 | 277,163 |
| Delaware River Port Auth. Pennsylvania & New Jersey Rev. Series 2022: | | | |
| 5% 1/1/24 | | 1,700,000 | 1,702,144 |
| 5% 1/1/25 | | 1,805,000 | 1,839,967 |
| Geisinger Auth. Health Sys. Rev. Bonds Series 2020 B, 5%, tender 2/15/27 (b) | | 4,975,000 | 5,159,322 |
| Lancaster County Hosp. Auth. Health Ctr. Rev. (Masonic Villages Proj.) Series 2023, 5.5% 11/1/24 | | 835,000 | 844,955 |
| Laurel Highlands School District Series 2021: | | | |
| 4% 2/1/24 | | 635,000 | 635,431 |
| 4% 2/1/25 | | 345,000 | 346,818 |
| Lycoming County Auth. Rev. Bonds Series 2013 S2, 4.5%, tender 10/31/24 (b) | | 1,400,000 | 1,393,095 |
| Monroeville Fin. Auth. UPMC Rev. Series 2023 C, 5% 5/15/24 | | 260,000 | 261,746 |
| Montgomery County Higher Ed. & Health Auth. Rev. Series 2019, 5% 9/1/26 | | 1,250,000 | 1,298,274 |
| Parkland School District Series 2021 A, 3% 2/1/24 | | 225,000 | 224,848 |
| Pennsylvania Econ. Dev. Fing. Auth. Solid Waste Disp. Rev. Bonds: | | | |
| (Republic Svcs., Inc. Proj.) Series 2019 B1, 4.6%, tender 1/16/24 (b)(d) | | 9,600,000 | 9,598,528 |
| (Republic Svcs., Inc. Proj.): | | | |
Series 2014, 4.6%, tender 1/2/24 (b)(d) | | 15,250,000 | 15,248,420 |
Series 2019 B2, 4.2%, tender 1/16/24 (b)(d) | | 5,000,000 | 4,996,637 |
| (Waste Mgmt., Inc. Proj.) Series 2013, 4.875%, tender 2/1/24 (b)(d) | | 11,300,000 | 11,304,747 |
| (Waste Mgmt., Inc. Proj.): | | | |
Series 2017 A, 0.58%, tender 8/1/24 (b)(d) | | 1,200,000 | 1,170,942 |
Series 2021 A, SIFMA Municipal Swap Index + 0.400% 4.21%, tender 12/7/23 (b)(c)(d) | | 1,365,000 | 1,357,748 |
Series 2021 A2, 4.6%, tender 10/1/26 (b)(d) | | 9,005,000 | 9,048,179 |
| Series 2011, 2.15%, tender 7/1/24 (b)(d) | | 775,000 | 765,409 |
| Pennsylvania Gen. Oblig. Series 2018: | | | |
| 3.2% 3/1/29 | | 640,000 | 638,622 |
| 3.35% 3/1/30 | | 950,000 | 948,030 |
| Pennsylvania Hsg. Fin. Agcy.: | | | |
| Series 2021 134B, 5% 10/1/24 (d) | | 1,000,000 | 1,008,061 |
| Series 2021 135 B: | | | |
5% 4/1/24 (d) | | 600,000 | 601,787 |
5% 10/1/24 (d) | | 805,000 | 811,489 |
5% 4/1/25 (d) | | 180,000 | 182,351 |
| Series 2021 137: | | | |
5% 4/1/24 | | 200,000 | 200,986 |
5% 4/1/25 | | 200,000 | 203,910 |
5% 10/1/26 | | 280,000 | 293,235 |
| Series 2022 138, 5% 4/1/25 | | 2,415,000 | 2,462,209 |
| Pennsylvania Hsg. Fin. Agcy. Multifamily Hsg. Dev. Rev. Bonds Series 2022, 1.25%, tender 2/1/24 (b) | | 6,000,000 | 5,971,510 |
| Pennsylvania Tpk. Commission Registration Fee Rev. Bonds Series 2023, NULL 4.45%, tender 7/15/26 (b) | | 8,000,000 | 7,977,615 |
| Pennsylvania Tpk. Commission Tpk. Rev.: | | | |
| Series 2017 B2: | | | |
5% 6/1/28 | | 410,000 | 433,602 |
5% 6/1/29 | | 690,000 | 729,154 |
| Series 2021 B, 5% 12/1/23 | | 1,410,000 | 1,410,000 |
| Series 2022 B: | | | |
5% 12/1/23 | | 435,000 | 435,000 |
5% 12/1/24 | | 695,000 | 707,298 |
5% 12/1/25 | | 425,000 | 441,518 |
| Philadelphia Arpt. Rev.: | | | |
| Series 2015 A: | | | |
5% 6/15/24 (d) | | 1,315,000 | 1,323,061 |
5% 6/15/26 (d) | | 1,000,000 | 1,013,895 |
| Series 2017 A, 5% 7/1/24 | | 40,000 | 40,393 |
| Series 2017 B: | | | |
5% 7/1/24 (d) | | 1,160,000 | 1,167,700 |
5% 7/1/25 (d) | | 440,000 | 448,749 |
5% 7/1/26 (d) | | 3,360,000 | 3,465,712 |
| Series 2020 C, 5% 7/1/25 (d) | | 2,450,000 | 2,498,716 |
| Series 2021: | | | |
5% 7/1/24 (d) | | 1,970,000 | 1,983,076 |
5% 7/1/25 (d) | | 4,245,000 | 4,329,407 |
5% 7/1/28 (d) | | 95,000 | 100,658 |
| Philadelphia Auth. for Indl. Dev. Series 2020 C, 4% 11/1/24 | | 535,000 | 536,481 |
| Philadelphia Gas Works Rev. Series 2015 13, 5% 8/1/25 | | 420,000 | 431,380 |
| Reading School District Series 2017: | | | |
| 5% 3/1/25 (Assured Guaranty Muni. Corp. Insured) | | 5,000 | 5,091 |
| 5% 3/1/26 (Assured Guaranty Muni. Corp. Insured) | | 5,000 | 5,179 |
| 5% 3/1/27 (Assured Guaranty Muni. Corp. Insured) | | 5,000 | 5,278 |
| 5% 3/1/28 (Assured Guaranty Muni. Corp. Insured) | | 5,000 | 5,285 |
| Southcentral Pennsylvania Gen. Auth. Rev. Series 2021 TT2: | | | |
| 5% 5/1/24 | | 210,000 | 211,186 |
| 5% 5/1/25 | | 340,000 | 346,227 |
| 5% 5/1/26 | | 320,000 | 330,649 |
| Township of East Vincent Gen. Oblig. Series 2021: | | | |
| 3% 12/1/23 | | 200,000 | 200,000 |
| 3% 12/1/24 | | 250,000 | 249,269 |
| Westmoreland County Indl. Dev. Auth. (Excela Health Proj.) Series 2020 A, 4% 7/1/24 | | 450,000 | 449,356 |
TOTAL PENNSYLVANIA | | | 119,563,379 |
| Rhode Island - 0.1% | | | |
| Rhode Island Health & Edl. Bldg. Corp. Higher Ed. Facilities Rev. Series 2016: | | | |
| 5% 5/15/24 | | 160,000 | 160,536 |
| 5% 5/15/25 | | 120,000 | 121,406 |
| Rhode Island Health & Edl. Bldg. Corp. Pub. Schools Rev. Series 2015, 5% 5/15/25 (Assured Guaranty Muni. Corp. Insured) | | 130,000 | 132,919 |
| Rhode Island Hsg. & Mtg. Fin. Corp.: | | | |
| Series 2019 70, 4% 10/1/49 | | 60,000 | 59,636 |
| Series 2022 76 A: | | | |
5% 4/1/27 | | 35,000 | 36,991 |
5% 4/1/28 | | 250,000 | 267,718 |
5% 4/1/29 | | 300,000 | 324,172 |
| Rhode Island Student Ln. Auth. Student Ln. Rev.: | | | |
| Series 2018 A, 5% 12/1/25 (d) | | 855,000 | 874,903 |
| Series 2019 A: | | | |
5% 12/1/26 (d) | | 570,000 | 592,342 |
5% 12/1/28 (d) | | 490,000 | 520,598 |
| Series A, 4% 12/1/26 (d) | | 145,000 | 145,163 |
| Tobacco Settlement Fing. Corp. Series 2015 A: | | | |
| 5% 6/1/26 | | 75,000 | 76,141 |
| 5% 6/1/27 | | 20,000 | 20,328 |
TOTAL RHODE ISLAND | | | 3,332,853 |
| South Carolina - 0.7% | | | |
| Patriots Energy Group Fing. Agcy. Bonds Series 2018 A, 4%, tender 2/1/24 (b) | | 14,475,000 | 14,491,297 |
| Piedmont Muni. Pwr. Agcy. Elec. Rev. Series 2021 A, 4% 1/1/24 | | 1,000,000 | 1,000,135 |
| Scago Edl. Facilities Corp. for Colleton School District (School District of Colleton County Proj.) Series 2015, 5% 12/1/26 | | 25,000 | 25,611 |
| South Carolina Assoc. of Governmental Organizations Ctfs. of Prtn. Series 2023 A, 5% 3/1/24 | | 550,000 | 551,965 |
| South Carolina Hsg. Fin. & Dev. Auth. Mtg. Rev.: | | | |
| Series 2019 A, 4% 1/1/50 | | 80,000 | 79,442 |
| Series 2023 B, 6% 1/1/54 | | 150,000 | 163,867 |
| South Carolina Jobs-Econ. Dev. Auth. Hosp. Impt. Rev. Bonds Series 2020 B, 5%, tender 10/1/25 (b) | | 200,000 | 204,928 |
| South Carolina Ports Auth. Ports Rev.: | | | |
| Series 2015 (AMT), 5% 7/1/45 (Pre-Refunded to 7/1/25 @ 100) (d) | | 1,260,000 | 1,285,247 |
| Series 2015: | | | |
5.25% 7/1/50 (Pre-Refunded to 7/1/25 @ 100) (d) | | 2,470,000 | 2,528,855 |
5.25% 7/1/55 (Pre-Refunded to 7/1/25 @ 100) (d) | | 445,000 | 455,604 |
5.25% 7/1/55 (Pre-Refunded to 7/1/25 @ 100) (d) | | 1,075,000 | 1,100,615 |
| Series 2019 B, 5% 7/1/26 (d) | | 185,000 | 191,188 |
| South Carolina Pub. Svc. Auth. Rev.: | | | |
| Series 2014 C, 5% 12/1/25 | | 190,000 | 192,169 |
| Series 2015 A, 5% 12/1/25 | | 115,000 | 116,957 |
| Series 2020 A: | | | |
5% 12/1/23 | | 70,000 | 70,000 |
5% 12/1/23 (Escrowed to Maturity) | | 395,000 | 395,000 |
5% 12/1/23 (Escrowed to Maturity) | | 155,000 | 155,000 |
5% 12/1/24 | | 40,000 | 40,493 |
5% 12/1/24 (Escrowed to Maturity) | | 230,000 | 234,092 |
5% 12/1/24 (Escrowed to Maturity) | | 95,000 | 96,690 |
| Series 2021 A: | | | |
5% 12/1/24 | | 375,000 | 379,619 |
5% 12/1/25 | | 850,000 | 871,429 |
| Series 2022 C: | | | |
5% 12/1/23 | | 270,000 | 270,000 |
5% 12/1/25 | | 360,000 | 369,076 |
| Series 2022 E: | | | |
5% 12/1/23 | | 500,000 | 500,000 |
5% 12/1/25 | | 150,000 | 153,782 |
5% 12/1/26 | | 170,000 | 177,695 |
TOTAL SOUTH CAROLINA | | | 26,100,756 |
| South Dakota - 0.5% | | | |
| South Dakota Board of Regents Hsg. and Auxiliary Facilities Series 2021: | | | |
| 3% 4/1/24 | | 425,000 | 424,290 |
| 3% 4/1/25 | | 500,000 | 493,818 |
| South Dakota Health & Edl. Facilities Auth. Rev. Bonds Series 2019 A, 5%, tender 7/1/24 (b) | | 1,940,000 | 1,947,291 |
| South Dakota Hsg. Dev. Auth.: | | | |
| Bonds Series 2023 J, 3.875%, tender 12/12/24 (b)(f) | | 17,800,000 | 17,840,452 |
| Series 2017 D, 4% 11/1/47 | | 430,000 | 427,510 |
| Series 2023 G, 6.25% 5/1/55 (f) | | 100,000 | 109,142 |
TOTAL SOUTH DAKOTA | | | 21,242,503 |
| Tennessee - 1.2% | | | |
| Jackson Hosp. Rev. Series 2015, 5% 4/1/27 | | 5,750,000 | 5,828,700 |
| Johnson City Health & Edl. Hosp. Rev. Series 2023 A: | | | |
| 5% 7/1/25 | | 1,250,000 | 1,272,935 |
| 5% 7/1/26 | | 400,000 | 413,579 |
| Memphis-Shelby County Arpt. Auth. Arpt. Rev.: | | | |
| Series 2020 B: | | | |
5% 7/1/24 (d) | | 3,750,000 | 3,772,976 |
5% 7/1/25 (d) | | 2,200,000 | 2,240,703 |
| Series 2021 A, 5% 7/1/25 (d) | | 2,750,000 | 2,800,879 |
| Series 2021 C: | | | |
1.875% 7/1/25 (d) | | 675,000 | 643,691 |
5% 7/1/24 (d) | | 1,850,000 | 1,861,335 |
| Metropolitan Gov Nashvle&David Ind. Bonds (Waste Mgmt., Inc. Proj.) Series 2001, 0.58%, tender 8/1/24 (b)(d) | | 400,000 | 390,314 |
| Metropolitan Govt. Nashville & Davidson County Health & Edl. Facilities Board Bonds (Richland Hills Apts. Proj.) Series 2021, 1.25%, tender 12/1/23 (b) | | 4,000,000 | 4,000,000 |
| Metropolitan Nashville Arpt. Auth. Rev. Series 2019 B: | | | |
| 5% 7/1/25 (d) | | 1,910,000 | 1,943,580 |
| 5% 7/1/26 (d) | | 1,695,000 | 1,748,328 |
| Nashville and Davidson County Metropolitan Govt. Gen. Oblig. Series 2022 B, 4% 1/1/26 | | 1,425,000 | 1,454,548 |
| Tennergy Corp. Gas Rev.: | | | |
| Bonds Series 2019 A, 5%, tender 10/1/24 (b) | | 10,650,000 | 10,708,469 |
| Series 2021 A, 4% 3/1/24 | | 300,000 | 300,105 |
| Tennessee Energy Acquisition Corp. Bonds: | | | |
| Series 2018, 4%, tender 11/1/25 (b) | | 3,500,000 | 3,477,461 |
| Series 2023 A1, 5%, tender 5/1/28 (b) | | 3,000,000 | 3,067,887 |
| Tennessee Hsg. Dev. Agcy. Series 2015 A, 3.5% 7/1/45 | | 130,000 | 128,673 |
| Tennessee Hsg. Dev. Agcy. Residential Series 2021 3A, 3% 1/1/52 | | 230,000 | 220,797 |
TOTAL TENNESSEE | | | 46,274,960 |
| Texas - 7.0% | | | |
| Aledo Independent School District Series 2015, 0% 2/15/24 | | 25,000 | 24,816 |
| Andrews County Hosp. District Series 2021, 5% 3/15/26 | | 1,430,000 | 1,478,894 |
| Atascosa County Indl. Dev. Corp. Poll. Cont. Rev. Series 2020: | | | |
| 5% 12/15/23 | | 450,000 | 450,218 |
| 5% 12/15/24 | | 550,000 | 559,408 |
| Austin Arpt. Sys. Rev.: | | | |
| Series 2014, 5% 11/15/26 (d) | | 715,000 | 719,494 |
| Series 2019: | | | |
5% 11/15/24 (d) | | 3,360,000 | 3,390,580 |
5% 11/15/25 (d) | | 3,230,000 | 3,298,263 |
| Bexar County Gen. Oblig. Series 2014, 5% 6/15/25 | | 960,000 | 970,310 |
| Boerne Independent School District Bonds Series 2023, 3.125%, tender 2/1/27 (b) | | 660,000 | 655,292 |
| Cameron County Tex Hsg. Fin. Corpm Bonds Series 2022, 3.5%, tender 12/1/23 (b) | | 3,000,000 | 3,000,000 |
| Central Reg'l. Mobility Auth.: | | | |
| Series 2016: | | | |
5% 1/1/24 | | 75,000 | 75,084 |
5% 1/1/26 | | 75,000 | 77,548 |
| Series 2020 B: | | | |
5% 1/1/25 | | 125,000 | 127,182 |
5% 1/1/26 | | 125,000 | 129,247 |
| Series 2020 F, 5% 1/1/25 | | 7,540,000 | 7,600,157 |
| Clear Creek Independent School District Bonds: | | | |
| Series 2013 B, 3.6%, tender 8/15/25 (b) | | 5,785,000 | 5,794,353 |
| Series 2021 B, 0.28%, tender 8/15/24 (b) | | 630,000 | 615,246 |
| Clifton Higher Ed. Fin. Corp. Ed. Rev. Series 2022 A, 5% 8/15/26 | | 475,000 | 487,303 |
| Coastal Bend Health Facilities Dev. Corp. Series 2005 B2, 4.15%, tender 7/1/31 (Assured Guaranty Muni. Corp. Insured) (b) | | 4,900,000 | 4,900,000 |
| Cypress-Fairbanks Independent School District Bonds Series 2015 B1, 0.28%, tender 8/15/24 (b) | | 4,285,000 | 4,184,649 |
| Dallas Fort Worth Int'l. Arpt. Rev.: | | | |
| Series 2020 A, 5% 11/1/24 | | 225,000 | 228,602 |
| Series 2021 B, 5% 11/1/24 | | 3,500,000 | 3,556,036 |
| Series 2023 B, 5% 11/1/25 | | 5,000,000 | 5,179,487 |
| Dallas Gen. Oblig. Series 2023 A: | | | |
| 5% 2/15/24 | | 3,880,000 | 3,892,563 |
| 5% 2/15/25 | | 1,170,000 | 1,195,989 |
| 5% 2/15/26 | | 3,250,000 | 3,392,040 |
| Dallas Hsg. Fin. Corp. Multi-family Hsg. Rev. Bonds Series 2023: | | | |
| 5%, tender 12/1/25 (b) | | 400,000 | 409,698 |
| 5%, tender 3/1/26 (b) | | 1,080,000 | 1,104,225 |
| Dallas Tex Spl. Tax Rev. Bonds Series 2023, 6%, tender 8/15/28 (b)(e) | | 8,500,000 | 8,627,292 |
| Denton Independent School District: | | | |
| Bonds Series 2014 B: | | | |
2%, tender 8/1/24 (b) | | 500,000 | 494,456 |
2%, tender 8/1/24 (b) | | 100,000 | 99,211 |
| Series 2016, 0% 8/15/25 | | 35,000 | 33,176 |
| East Downtown Redev. Auth. Series 2021: | | | |
| 5% 9/1/24 | | 405,000 | 408,383 |
| 5% 9/1/26 | | 300,000 | 308,106 |
| El Paso Wtr. & Swr. Rev. Series 2017, 5% 3/1/30 | | 1,000,000 | 1,063,245 |
| Energy Acquisition Pub. Facility Corp. Series 2007, 5.5% 8/1/25 | | 1,075,000 | 1,096,323 |
| Forney Independent School District Series 2021 B, 5% 8/15/25 | | 1,010,000 | 1,042,312 |
| Fort Bend County Gen. Oblig. Series 2015 B, 5% 3/1/29 | | 3,455,000 | 3,519,841 |
| Fort Bend County Muni. Util. District Series 2021, 2% 4/1/24 | | 750,000 | 744,207 |
| Fort Bend Independent School District Bonds: | | | |
| Series 2020 B, 0.875%, tender 8/1/25 (b) | | 3,135,000 | 2,995,494 |
| Series 2021 B, 0.72%, tender 8/1/26 (b) | | 2,125,000 | 1,984,364 |
| Series 2022 B, 3.65%, tender 8/1/24 (b) | | 4,000,000 | 3,999,147 |
| Galveston Pub. Facility Corp. Multifamily Hsg. Rev. Bonds Series 2021, 0.47%, tender 8/1/24 (b) | | 3,000,000 | 2,925,286 |
| Goose Creek Consolidated Independent School District Bonds Series 2021 B, 0.6%, tender 8/17/26 (b) | | 500,000 | 466,413 |
| Hale Ctr. Ed. Facilities Corp. (Wayland Baptist Univ. Proj.) Series 2022, 5% 3/1/25 | | 475,000 | 479,714 |
| Harris County Cultural Ed. Facilities Fin. Corp. Rev.: | | | |
| Bonds: | | | |
Series 2019 B: | | | |
5%, tender 10/1/24 (b) | | 5,000,000 | 5,053,705 |
5%, tender 12/1/24 (b) | | 3,345,000 | 3,389,459 |
Series 2020 A, 0.9%, tender 5/15/25 (b) | | 3,180,000 | 3,032,165 |
Series 2020 C2, 5%, tender 12/1/24 (b) | | 200,000 | 202,658 |
| Series 2014 A, 5% 12/1/26 | | 120,000 | 121,967 |
| Series 2020 A, 4% 7/1/25 | | 250,000 | 253,016 |
| Harris County Health Facilities Dev. Corp. Rev.: | | | |
| Series 2005 A4, 5.5%, tender 7/1/31 (Assured Guaranty Muni. Corp. Insured) (b) | | 4,825,000 | 4,825,000 |
| Series A3, 4.49%, tender 7/1/31 (Assured Guaranty Muni. Corp. Insured) (b) | | 3,150,000 | 3,150,000 |
| Houston Arpt. Sys. Rev.: | | | |
| Series 2018 C, 5% 7/1/25 (d) | | 1,900,000 | 1,936,319 |
| Series 2021 A: | | | |
5% 7/1/24 (d) | | 500,000 | 503,177 |
5% 7/1/26 (d) | | 1,250,000 | 1,292,124 |
| Series 2023 A: | | | |
5% 7/1/26 (Assured Guaranty Muni. Corp. Insured) (d) | | 2,000,000 | 2,067,398 |
5% 7/1/28 (Assured Guaranty Muni. Corp. Insured) (d) | | 4,000,000 | 4,255,586 |
| Houston Convention and Entertainment Facilities Dept. Hotel Occupancy Tax and Spl. Rev. Series 2021: | | | |
| 4% 9/1/24 | | 250,000 | 250,917 |
| 4% 9/1/25 | | 215,000 | 217,328 |
| 4% 9/1/26 | | 275,000 | 281,097 |
| Houston Hsg. Fin. Corp. Multi-family Hsg. Rev. Bonds Series 2023, 5%, tender 8/1/26 (b) | | 3,940,000 | 4,037,795 |
| Houston Independent School District Bonds: | | | |
| Series 2014 A2, 3.5%, tender 6/1/25 (b) | | 4,775,000 | 4,781,926 |
| Series 2023 C, 4%, tender 6/1/25 (b) | | 8,765,000 | 8,840,930 |
| Houston Util. Sys. Rev. Series 2016 B, 5% 11/15/25 | | 1,750,000 | 1,816,309 |
| Hsg. Synergy PFC Multifamily Hsg. Bonds (Villages of Westlake Apts.) Series 2022, 3.5%, tender 8/1/24 (b) | | 4,000,000 | 3,985,504 |
| Katy Independent School District Bonds Series 2021 C, 1.5%, tender 8/15/24 (b) | | 2,500,000 | 2,464,918 |
| Kilgore Independent School District Bonds Series 2022, 2%, tender 8/15/25 (b) | | 4,000,000 | 3,896,174 |
| Klein Independent School District Series 2015 A, 5% 8/1/24 | | 225,000 | 227,744 |
| Leander Independent School District Series 2023 A, 0% 2/15/27 | | 1,000,000 | 905,164 |
| Love Field Arpt. Modernization Rev.: | | | |
| Series 2017: | | | |
5% 11/1/24 (d) | | 750,000 | 757,371 |
5% 11/1/25 (d) | | 730,000 | 745,983 |
| Series 2021: | | | |
5% 11/1/24 (d) | | 3,560,000 | 3,594,986 |
5% 11/1/25 (d) | | 4,005,000 | 4,089,722 |
5% 11/1/26 (d) | | 405,000 | 418,588 |
5% 11/1/27 (d) | | 415,000 | 434,601 |
| Lower Colorado River Auth. Rev.: | | | |
| (LCRA Transmission Servces Corp. Proj.) Series 2022, 5% 5/15/26 | | 700,000 | 733,496 |
| (LCRA Transmission Svcs. Corp. Proj.): | | | |
Series 2019, 5% 5/15/24 | | 930,000 | 937,237 |
Series 2020, 5% 5/15/24 | | 550,000 | 554,280 |
Series 2021, 5% 5/15/26 | | 3,160,000 | 3,311,209 |
| Series 2015 B, 5% 5/15/24 | | 325,000 | 327,529 |
| Series 2022: | | | |
5% 5/15/24 (Assured Guaranty Muni. Corp. Insured) | | 3,365,000 | 3,391,186 |
5% 5/15/25 (Assured Guaranty Muni. Corp. Insured) | | 1,435,000 | 1,474,182 |
| Lubbock Elec. Lt. & Pwr. Sys. Rev. Series 2021, 5% 4/15/25 | | 725,000 | 741,592 |
| Magnolia Independent School District Series 2023, 5% 8/15/24 | | 2,100,000 | 2,126,732 |
| Mc Kinney Tex Series 2023 A: | | | |
| 5% 8/15/27 (f) | | 180,000 | 192,766 |
| 5% 8/15/28 (f) | | 350,000 | 381,592 |
| Mission Econ. Dev. Corp. Solid Waste Disp. Rev. Bonds: | | | |
| (Republic Svcs., Inc. Proj.) Series 2020 A, 4.9%, tender 2/1/24 (b)(d) | | 12,000,000 | 12,003,406 |
| (Waste Mgmt., Inc. Proj.): | | | |
Series 2018, 0.000% x SIFMA Municipal Swap Index 4.185%, tender 12/7/23 (b)(c)(d) | | 3,425,000 | 3,404,176 |
Series 2020 A, 4.25%, tender 12/1/23 (b)(d) | | 4,500,000 | 4,500,000 |
Series 2020 B, 4.25%, tender 12/1/23 (b)(d) | | 3,300,000 | 3,300,000 |
| (Waste Mgmt., INC. Proj.) Series 2023 A, 4.25%, tender 6/3/24 (b) | | 3,000,000 | 2,995,158 |
| New Caney Independent School District Bonds Series 2018, 1.25%, tender 8/15/24 (b) | | 1,900,000 | 1,868,054 |
| Newark Higher Ed. Fin. Corp. (Abilene Christian Univ. Proj.) Series 2016 A, 5% 4/1/26 | | 55,000 | 56,813 |
| North East Texas Independent School District: | | | |
| Bonds Series 2023, 3.6%, tender 8/1/24 (b) | | 3,000,000 | 2,998,588 |
| Series 2015, 3% 8/1/27 | | 920,000 | 915,819 |
| North Texas Tollway Auth. Rev.: | | | |
| Series 2017 A: | | | |
5% 1/1/24 | | 70,000 | 70,080 |
5% 1/1/26 | | 65,000 | 65,058 |
| Series 2019 B, 5% 1/1/25 | | 325,000 | 331,816 |
| Series 2020 A, 5% 1/1/25 | | 265,000 | 270,162 |
| Series 2021 B, 5% 1/1/26 | | 695,000 | 722,015 |
| Series 2022 B, 5% 1/1/24 | | 2,000,000 | 2,002,752 |
| Northside Independent School District: | | | |
| Bonds: | | | |
Series 2020, 0.7%, tender 6/1/25 (b) | | 820,000 | 786,689 |
Series 2023 B, 3%, tender 8/1/26 (b) | | 5,250,000 | 5,180,843 |
| Series 2019 B, 5% 2/15/24 | | 1,470,000 | 1,474,704 |
| Pecos Barstow Toyah Independent School District Series 2023: | | | |
| 5% 2/15/24 | | 75,000 | 75,258 |
| 5% 2/15/25 | | 1,250,000 | 1,277,766 |
| Plainview Tex Independent School District Bonds Series 2020 B, 4%, tender 8/15/26 (b) | | 2,000,000 | 2,021,563 |
| Port Arthur Series 2021: | | | |
| 5% 2/15/24 | | 240,000 | 240,705 |
| 5% 2/15/24 | | 195,000 | 195,573 |
| Port of Houston Auth. Series 2023, 5% 10/1/26 | | 955,000 | 1,005,159 |
| Prosper Independent School District: | | | |
| Bonds Series 2019 B, 4%, tender 8/15/26 (b) | | 2,900,000 | 2,938,724 |
| Series 2015, 5% 2/15/24 | | 250,000 | 250,859 |
| San Antonio Arpt. Sys. Rev. Series 2019 A: | | | |
| 5% 7/1/25 (d) | | 400,000 | 407,646 |
| 5% 7/1/26 (d) | | 500,000 | 516,850 |
| San Antonio Elec. & Gas Sys. Rev.: | | | |
| Bonds: | | | |
Series 2018, SIFMA Municipal Swap Index + 0.870% 4.68%, tender 12/1/25 (b)(c) | | 4,065,000 | 4,057,571 |
Series 2022, 2%, tender 12/1/27 (b) | | 1,555,000 | 1,441,610 |
Series 2023, 3.65%, tender 12/1/26 (b) | | 4,000,000 | 3,965,566 |
| Series 2016, 5% 2/1/25 (Escrowed to Maturity) | | 330,000 | 336,732 |
| Series 2022, 5% 2/1/26 | | 545,000 | 568,906 |
| San Antonio Independent School District Series 2015, 5% 2/15/24 | | 315,000 | 316,133 |
| San Antonio Wtr. Sys. Rev. Bonds Series 2013 F, 1%, tender 11/1/26 (b) | | 3,000,000 | 2,698,482 |
| Splendora Independent School District Series 2016 A, 5% 2/15/25 | | 200,000 | 204,205 |
| Tarrant County Cultural Ed. Facilities Fin. Corp. Hosp. Rev. Bonds (Baylor Scott & White Health Proj.) Series 2022 E, 5%, tender 5/15/26 (b) | | 2,030,000 | 2,099,726 |
| Tarrant County Cultural Ed. Facilities Fin. Corp. Rev. Series 2016 A: | | | |
| 5% 2/15/25 | | 1,240,000 | 1,264,313 |
| 5% 2/15/26 | | 35,000 | 36,348 |
| Texas A&M Univ. Rev. Series 2021 A: | | | |
| 5% 5/15/24 | | 1,350,000 | 1,361,228 |
| 5% 5/15/26 | | 725,000 | 763,377 |
| Texas Dept. of Hsg. & Cmnty. Affairs Residential Mtg. Rev. Series 2023 B, 6% 1/1/54 | | 660,000 | 721,146 |
| Texas Gen. Oblig.: | | | |
| Series 2015, 5% 8/1/26 (d) | | 7,875,000 | 8,065,724 |
| Series 2019: | | | |
4% 8/1/25 (d) | | 3,005,000 | 3,031,562 |
5% 8/1/25 (d) | | 2,805,000 | 2,874,607 |
| Texas Muni. Gas Acquisition & Su Series 2023 B: | | | |
| 5.25% 1/1/25 | | 895,000 | 903,895 |
| 5.25% 1/1/27 | | 1,070,000 | 1,104,239 |
| Texas Muni. Gas Acquisition And Supply Corp. Series 2021, 5% 12/15/23 | | 3,450,000 | 3,450,495 |
| Texas Muni. Pwr. Agcy. Rev. Series 2021, 3% 9/1/24 (Assured Guaranty Muni. Corp. Insured) | | 850,000 | 846,447 |
| Texas Trans. Commission Central Texas Tpk. Sys. Rev. Series 2015 C: | | | |
| 5% 8/15/24 | | 205,000 | 206,830 |
| 5% 8/15/25 | | 1,245,000 | 1,257,270 |
| Texas Trans. Commission Hwy. Impt. Gen. Oblig. Bonds Series 2014 B, 0.65%, tender 4/1/26 (b) | | 3,750,000 | 3,453,390 |
| Texas Trans. Commission State Hwy. Fund Rev. Series 2016 A, 5% 10/1/25 | | 3,210,000 | 3,325,366 |
| Univ. of Houston Univ. Revs. Series 2022 A, 5% 2/15/25 | | 1,620,000 | 1,656,946 |
| Waco Edl. Fin. Corp. Rev. Series 2021, 4% 3/1/25 | | 400,000 | 403,187 |
| Waco Gen. Oblig. Series 2022, 5% 2/1/26 | | 2,065,000 | 2,152,494 |
TOTAL TEXAS | | | 278,229,117 |
| Utah - 0.4% | | | |
| Salt Lake City Arpt. Rev.: | | | |
| Series 2017 A, 5% 7/1/24 (d) | | 150,000 | 150,970 |
| Series 2018 A, 5% 7/1/25 (d) | | 3,500,000 | 3,567,980 |
| Series 2021 A, 5% 7/1/24 (d) | | 1,000,000 | 1,006,467 |
| Series 2023 A: | | | |
5% 7/1/25 (d) | | 700,000 | 713,596 |
5% 7/1/26 (d) | | 1,100,000 | 1,135,154 |
5% 7/1/28 (d) | | 1,000,000 | 1,062,157 |
| Utah County Hosp. Rev. Bonds: | | | |
| Series 2018 B2, 5%, tender 8/1/24 (b) | | 4,760,000 | 4,771,093 |
| Series 2020 B1, 5%, tender 8/1/24 (b) | | 1,515,000 | 1,530,407 |
| Series 2020 B2, 5%, tender 8/1/26 (b) | | 2,430,000 | 2,529,658 |
| Utah Infrastructure Agcy. Series 2021, 3% 10/15/24 | | 500,000 | 492,300 |
| Vineyard Redev. Agcy. Series 2021, 5% 5/1/24 (Assured Guaranty Muni. Corp. Insured) | | 675,000 | 679,664 |
TOTAL UTAH | | | 17,639,446 |
| Vermont - 0.1% | | | |
| Vermont Student Assistant Corp. Ed. Ln. Rev.: | | | |
| Series 2019 A, 5% 6/15/25 (d) | | 1,300,000 | 1,320,196 |
| Series 2020 A, 5% 6/15/27 (d) | | 665,000 | 695,441 |
TOTAL VERMONT | | | 2,015,637 |
| Virginia - 2.0% | | | |
| Alexandria Gen. Oblig. Series 2021 A, 5% 12/15/23 | | 3,330,000 | 3,331,800 |
| Arlington County IDA Hosp. Facilities Series 2020, 5% 7/1/24 | | 425,000 | 428,256 |
| Arlington County Indl. Dev. Auth. Multi-family Hsg. Rev. Series 2023 A, 5% 1/1/26 | | 3,975,000 | 4,083,487 |
| Charles City County Econ. Dev. Auth. Solid Waste Disp. Rev. Bonds (Waste Mgmt., Inc. Proj.) Series 2003 A, 3.95%, tender 5/1/24 (b)(d) | | 2,250,000 | 2,244,166 |
| Chesapeake Econ. Dev. Auth. Poll. Cont. Rev. (Virginia Elec. and Pwr. Compnay Proj.) Series 2008 A, 3.65%, tender 10/1/27 (b) | | 4,040,000 | 4,017,577 |
| Chesterfield County Series 2015 B, 3% 1/1/26 | | 5,000,000 | 4,983,074 |
| Fredericksburg Econ. Dev. Auth. Rev. Series 2014, 5% 6/15/24 | | 50,000 | 50,359 |
| Gloucester County Indl. Dev. Auth. Bonds Series 2003 A, 3.95%, tender 5/1/24 (b)(d) | | 250,000 | 249,583 |
| Halifax County Indl. Dev. Auth. Bonds (Virginia Elec. and Pwr. Co. Proj.) Series 2010 A, 1.65%, tender 5/31/24 (b) | | 3,000,000 | 2,957,413 |
| Loudoun County Gen. Oblig. Series 2020 B, 5% 12/1/25 | | 305,000 | 317,335 |
| Louisa Indl. Dev. Auth. Poll. Cont. Rev. Bonds (Virginia Elec. and Pwr. Co. Proj.) Series 2008 B, 0.75%, tender 9/2/25 (b) | | 4,000,000 | 3,725,512 |
| Norfolk Arpt. Auth.: | | | |
| Series 2021 A: | | | |
4% 7/1/24 | | 1,170,000 | 1,174,161 |
4% 7/1/25 | | 1,000,000 | 1,011,604 |
| Series 2021 B, 5% 7/1/24 (d) | | 400,000 | 402,655 |
| Southampton County Indl. Bonds (PRTA-Virginia One, LLC Proj.) Series 2023, 4.875%, tender 12/12/24 (b)(d) | | 18,600,000 | 18,633,504 |
| Stafford County Econ. Dev. Auth. Hosp. Facilities Rev. Series 2016: | | | |
| 5% 6/15/24 | | 25,000 | 25,179 |
| 5% 6/15/25 | | 20,000 | 20,445 |
| 5% 6/15/26 | | 35,000 | 36,335 |
| Sussex County Indl. Dev. Auth. Solid Waste Disp. Rev. Bonds Series 2003 A, 3.95%, tender 5/1/24 (b)(d) | | 4,000,000 | 3,989,628 |
| Virginia Hsg. Dev. Auth. Commonwealth Mtg. Rev. Bonds: | | | |
| Series 2023 EI, 3.85%, tender 1/1/25 (b)(f) | | 5,000,000 | 5,000,900 |
| Series 2023, 3.9%, tender 7/1/25 (b)(f) | | 6,000,000 | 6,005,173 |
| Virginia Pub. Bldg. Auth. Pub. Facilities Rev.: | | | |
| Series 2016 C: | | | |
5% 8/1/24 (d) | | 600,000 | 605,945 |
5% 8/1/25 (d) | | 1,000,000 | 1,025,954 |
| Series 2019 B, 5% 8/1/25 (d) | | 1,200,000 | 1,231,145 |
| Virginia Small Bus. Fing. A Bonds (Pure Salmon Virginia LLC Proj.) Series 2022, 5%, tender 11/15/24 (b)(d) | | 9,800,000 | 9,828,908 |
| Wise County Indl. Dev. Auth. Waste & Sewage Rev. Bonds (Virginia Elec. and Pwr. Co. Proj.) Series 2010 A, 1.2%, tender 5/31/24 (b) | | 2,075,000 | 2,041,056 |
TOTAL VIRGINIA | | | 77,421,154 |
| Washington - 0.9% | | | |
| King County Hsg. Auth. Rev.: | | | |
| Series 2019, 4% 11/1/24 | | 135,000 | 135,734 |
| Series 2020, 3% 6/1/25 | | 275,000 | 272,233 |
| Series 2021, 3% 12/1/25 | | 825,000 | 818,295 |
| King County Swr. Rev. Bonds Series 2020 B, 0.875%, tender 1/1/26 (b) | | 4,925,000 | 4,508,542 |
| King County Wash Hsg. Auth. Afford (Kirkland Heights Proj.): | | | |
| Series 2023 A1, 5% 1/1/28 | | 120,000 | 123,555 |
| Series 2023 A2, 5% 1/1/28 | | 65,000 | 68,038 |
| Port of Seattle Rev.: | | | |
| Series 2015 C: | | | |
5% 4/1/24 (d) | | 600,000 | 602,528 |
5% 4/1/25 (d) | | 2,000,000 | 2,022,885 |
| Series 2016, 5% 2/1/25 | | 290,000 | 295,882 |
| Series 2019: | | | |
5% 4/1/24 (d) | | 400,000 | 401,685 |
5% 4/1/25 (d) | | 280,000 | 285,109 |
| Series 2021 C: | | | |
5% 8/1/24 (d) | | 2,260,000 | 2,279,448 |
5% 8/1/25 (d) | | 390,000 | 399,171 |
5% 8/1/29 (d) | | 645,000 | 690,862 |
| Series 2021, 5% 9/1/24 (d) | | 1,080,000 | 1,089,733 |
| Series 2022 B: | | | |
5% 8/1/24 (d) | | 1,420,000 | 1,432,220 |
5% 8/1/25 (d) | | 1,335,000 | 1,366,393 |
5% 8/1/26 (d) | | 835,000 | 865,153 |
| Seattle Hsg. Auth. Rev.: | | | |
| (Juniper Apts. Proj.) Series 2023, 5% 6/1/27 | | 650,000 | 674,119 |
| (Northgate Plaza Proj.) Series 2021, 1% 6/1/26 | | 1,740,000 | 1,613,829 |
| Skagit County Wash Pub. Hosp. District Series 2016, 4% 12/1/26 | | 1,300,000 | 1,293,985 |
| Tacoma Elec. Sys. Rev. Series 2017: | | | |
| 5% 1/1/25 | | 25,000 | 25,508 |
| 5% 1/1/26 | | 35,000 | 36,389 |
| Univ. of Washington Univ. Revs. Series 2020 C, 5% 4/1/26 | | 1,000,000 | 1,044,347 |
| Washington Gen. Oblig.: | | | |
| Series 2015 E, 5% 7/1/25 | | 2,230,000 | 2,278,521 |
| Series 2016 B, 5% 7/1/25 | | 1,075,000 | 1,109,034 |
| Series R 2020 A, 5% 1/1/25 | | 250,000 | 255,243 |
| Washington Health Care Facilities Auth. Rev.: | | | |
| (Virginia Mason Med. Ctr. Proj.) Series 2017: | | | |
5% 8/15/25 | | 205,000 | 208,223 |
5% 8/15/26 | | 115,000 | 117,742 |
5% 8/15/27 | | 50,000 | 51,778 |
| Series 2015 B, 5% 8/15/27 | | 1,500,000 | 1,533,111 |
| Series 2015: | | | |
5% 7/1/24 | | 1,250,000 | 1,258,652 |
5% 7/1/27 | | 1,250,000 | 1,273,883 |
| Washington Hsg. Fin. Commission Series 2021 2N, 5% 6/1/25 | | 945,000 | 967,511 |
| Washington State Econ. Dev. Fin. Auth. Bonds Series 2022, 3.9%, tender 12/8/23 (b)(d)(e) | | 5,000,000 | 4,999,662 |
TOTAL WASHINGTON | | | 36,399,003 |
| West Virginia - 0.2% | | | |
| West Virginia Econ. Dev. Auth. Solid Waste Disp. Facilities Rev. Bonds: | | | |
| (Allegheny Metallurgical Proj.) Series 2023, 4.75%, tender 8/1/24 (b)(d) | | 5,700,000 | 5,712,579 |
| (Appalachian Pwr. Co. Amos Proj.): | | | |
Series 2010 A, 0.625%, tender 12/15/25 (b) | | 2,000,000 | 1,824,421 |
Series 2015 A, 2.55%, tender 4/1/24 (b) | | 225,000 | 223,547 |
| West Virginia Hosp. Fin. Auth. Hosp. Rev. Series 2016 A, 5% 6/1/24 | | 1,490,000 | 1,500,778 |
TOTAL WEST VIRGINIA | | | 9,261,325 |
| Wisconsin - 1.7% | | | |
| Blue Ridge Healthcare Pub. Fin. Auth. Series 2020 A, 5% 1/1/25 | | 300,000 | 304,031 |
| Clayton Town Series 2021 B, 2% 6/1/26 | | 2,000,000 | 1,895,733 |
| Dunn County Gen. Oblig. Series 2021 A, 0.25% 10/1/24 | | 1,155,000 | 1,110,751 |
| Milwaukee County Arpt. Rev.: | | | |
| Series 2014 A, 5% 12/1/27 (d) | | 1,975,000 | 1,975,000 |
| Series 2016 A, 5% 12/1/23 (d) | | 585,000 | 585,000 |
| Series 2019 B, 5% 12/1/23 (d) | | 1,200,000 | 1,200,000 |
| Series 2023 A, 5% 12/1/24 (d) | | 700,000 | 708,349 |
| Milwaukee Gen. Oblig.: | | | |
| Series 2015 N2, 4% 3/15/24 | | 2,545,000 | 2,545,390 |
| Series 2018 N4, 5% 4/1/25 | | 1,130,000 | 1,147,391 |
| Series 2023 N3, 5% 4/1/24 (Assured Guaranty Muni. Corp. Insured) | | 3,000,000 | 3,013,813 |
| PMA Levy & Aid Anticipation Nts Prog.: | | | |
| Series 2023 A, 5% 6/28/24 | | 7,600,000 | 7,661,062 |
| Series 2023 B, 5% 9/25/24 | | 2,000,000 | 2,022,142 |
| Pub. Fin. Auth. Health Care Sys. Rev. Series 2023 A, 5% 10/1/24 | | 2,375,000 | 2,409,039 |
| Pub. Fin. Auth. Hosp. Rev.: | | | |
| (Renown Reg'l. Med. Ctr. Proj.) Series 2015 A, 5% 6/1/24 | | 2,000,000 | 2,010,869 |
| Series 2020 A: | | | |
5% 6/1/24 | | 675,000 | 678,668 |
5% 6/1/25 | | 375,000 | 381,741 |
5% 6/1/26 | | 515,000 | 529,675 |
| Pub. Fin. Auth. Solid Waste Bonds (Waste Mgmt., Inc. Proj.) Series 2017 A2, 4.875%, tender 2/1/24 (b)(d) | | 14,900,000 | 14,906,259 |
| Pub. Fin. Auth. Wis Pollutionc Bonds (Duke Energy Progress Proj.) Series 2022 A, 3.3%, tender 10/1/26 (b) | | 2,000,000 | 1,998,654 |
| Racine County Gen. Oblig. Series 2023, 4.75% 4/1/24 | | 2,210,000 | 2,211,239 |
| Racine Unified School District Series 2021: | | | |
| 2% 4/1/24 | | 475,000 | 471,633 |
| 2% 4/1/25 | | 600,000 | 584,684 |
| Wisconsin Gen. Oblig. Series 2022 A, 4.23% 5/1/25 (b) | | 3,000,000 | 2,980,699 |
| Wisconsin Health & Edl. Facilities: | | | |
| Bonds Series 2018 B, 5%, tender 1/29/25 (b) | | 355,000 | 360,429 |
| Series 2014, 5% 5/1/26 | | 800,000 | 803,399 |
| Series 2018, 5% 4/1/26 | | 195,000 | 202,890 |
| Series 2019 A: | | | |
5% 12/1/23 | | 35,000 | 35,000 |
5% 12/1/24 | | 100,000 | 101,573 |
5% 12/1/25 | | 125,000 | 128,636 |
5% 12/1/26 | | 200,000 | 208,994 |
5% 11/15/28 | | 285,000 | 310,314 |
| Wisconsin Health & Edl. Facilities Auth. Series 2014 A: | | | |
| 5% 12/1/24 | | 775,000 | 784,426 |
| 5% 12/1/26 | | 2,175,000 | 2,201,198 |
| Wisconsin Health & Edl. Facilities Auth. Rev.: | | | |
| Bonds Series 2018 C3, 5%, tender 6/24/26 (b) | | 3,825,000 | 3,977,387 |
| Series 2021 B: | | | |
4% 9/15/24 | | 200,000 | 198,566 |
4% 9/15/26 | | 220,000 | 214,119 |
| Series 2022, 5% 10/1/25 | | 3,635,000 | 3,743,402 |
| Wisconsin Hsg. & Econ. Dev. Auth. Series 2021 C, 3% 9/1/52 | | 310,000 | 297,632 |
| Wisconsin Hsg. & Econ. Dev. Auth. Hsg. Rev. Bonds Series 2021 C: | | | |
| 0.61%, tender 5/1/24 (b) | | 150,000 | 147,440 |
| 0.81%, tender 5/1/25 (b) | | 200,000 | 191,711 |
TOTAL WISCONSIN | | | 67,238,938 |
| Wyoming - 0.1% | | | |
| Laramie County Hosp. Rev. (Cheyenne Reg'l. Med. Ctr. Proj.) Series 2021, 4% 5/1/25 | | 260,000 | 262,437 |
| Sublette County Wyo Hosp. District Series 2023 A, 5% 6/15/26 | | 2,000,000 | 2,001,610 |
| Wyoming Cmnty. Dev. Auth. Hsg. Rev. Series 2022 1, 3.5% 6/1/52 | | 1,390,000 | 1,355,801 |
TOTAL WYOMING | | | 3,619,848 |
| TOTAL MUNICIPAL BONDS (Cost $2,438,958,378) | | | 2,419,463,635 |
| | | | |
| Municipal Notes - 21.2% |
| | | Principal Amount (a) | Value ($) |
| Alabama - 1.4% | | | |
| Black Belt Energy Gas District Participating VRDN: | | | |
| Series XF 30 73, 3.95% 12/7/23 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (b)(g)(h) | | 6,800,000 | 6,800,000 |
| Series ZL 03 96, 3.9% 12/7/23 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (b)(g)(h) | | 2,395,000 | 2,395,000 |
| Series ZL 03 97, 3.9% 12/7/23 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (b)(g)(h) | | 2,400,000 | 2,400,000 |
| Health Care Auth. for Baptist Health Series 2013 B, 4.9% 12/7/23, VRDN (b) | | 15,908,000 | 15,908,000 |
| Southeast Energy Auth. Rev. Participating VRDN Series XG 04 10, 3.9% 12/7/23 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (b)(g)(h) | | 4,200,000 | 4,200,000 |
| Walker County Econ. & Indl. Dev. Auth. Solid Waste Disp. Rev. (Alabama Pwr. Co. Plant Gorgas Proj.): | | | |
| Series 2007, 3.48% 12/1/23, VRDN (b)(d) | | 100,000 | 100,000 |
| Series 2023, 3.58% 12/1/23, VRDN (b)(d) | | 700,000 | 700,000 |
| West Jefferson Indl. Dev. Board Solid Waste Disp. Rev. (Alabama Pwr. Co. Miller Plant Proj.) Series 2008, 3.48% 12/1/23, VRDN (b)(d) | | 18,580,000 | 18,580,000 |
| Wilsonville Indl. Dev. Board Poll. Cont. Rev. (Alabama Pwr. Co. Gaston Plant Proj.) Series 2008, 3.48% 12/1/23, VRDN (b)(d) | | 4,040,000 | 4,040,000 |
TOTAL ALABAMA | | | 55,123,000 |
| Alaska - 0.0% | | | |
| Anchorage Gen. Oblig. TAN Series 2023, 4.25% 12/15/23 | | 1,850,000 | 1,850,546 |
| Arizona - 0.1% | | | |
| Arizona St Indl. Dev. Auth. Multi Participating VRDN Series XF 31 74, 3.97% 12/7/23 (Liquidity Facility Mizuho Cap. Markets LLC) (b)(g)(h) | | 1,025,000 | 1,025,000 |
| Mizuho Cap. Markets LLC Participating VRDN: | | | |
| Series XF 30 93, 3.97% 12/7/23 (Liquidity Facility Mizuho Cap. Markets LLC) (b)(g)(h) | | 3,200,000 | 3,200,000 |
| Series XF 30 94, 3.97% 12/7/23 (Liquidity Facility Mizuho Cap. Markets LLC) (b)(g)(h) | | 1,500,000 | 1,500,000 |
TOTAL ARIZONA | | | 5,725,000 |
| Arkansas - 0.1% | | | |
| Lowell Ark Indl. Dev. Series 1996, 3.37% 12/7/23, VRDN (b)(d) | | 5,800,000 | 5,800,000 |
| California - 1.9% | | | |
| California Cmnty. Choice Fing. Auth. Clean Energy Proj. Rev. Participating VRDN Series XF 30 07, 3.95% 12/7/23 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (b)(g)(h) | | 12,980,000 | 12,980,000 |
| California Hsg. Fin. Agcy. Ltd. Obl Participating VRDN Series XF 31 27, 3.97% 12/7/23 (Liquidity Facility Mizuho Cap. Markets LLC) (b)(g)(h) | | 1,500,000 | 1,500,000 |
| California Statewide Cmntys. Dev. Auth. Hosp. Rev. Series 2023, 4% tender 2/6/24, CP mode | | 3,500,000 | 3,502,522 |
| California Statewide Cmntys. Dev. Auth. Multi-family Hsg. Rev. Participating VRDN: | | | |
| Series Floater MIZ 91 13, 4% 1/4/24 (Liquidity Facility Mizuho Cap. Markets LLC) (b)(g)(h)(i) | | 1,600,000 | 1,600,000 |
| Series MIZ 91 21, 3.75% 12/1/23 (Liquidity Facility Mizuho Cap. Markets LLC) (b)(d)(g)(h) | | 2,000,000 | 2,000,000 |
| Series MIZ 91 22, 3.75% 12/1/23 (Liquidity Facility Mizuho Cap. Markets LLC) (b)(d)(g)(h) | | 6,930,000 | 6,930,000 |
| Los Angeles Cmnty. Redev. Agcy. Multi-family Hsg. Rev. Participating VRDN: | | | |
| Series 2022 MIZ 90 89, 3.75% 12/1/23 (Liquidity Facility Mizuho Cap. Markets LLC) (b)(d)(g)(h) | | 4,325,000 | 4,325,000 |
| Series 2022 MIZ 90 90, 3.75% 12/1/23 (Liquidity Facility Mizuho Cap. Markets LLC) (b)(d)(g)(h) | | 13,550,000 | 13,550,000 |
| Mizuho Floater / Residual Trust V Participating VRDN Series Floater MIZ 90 97, 4% 12/7/23, LOC Mizuho Cap. Markets LLC (b)(g)(h) | | 1,500,000 | 1,500,000 |
| Riverside County Gen. Oblig. TRAN Series 2023, 5% 6/28/24 | | 3,000,000 | 3,035,730 |
| San Francisco City & County Arpts. Commission Int'l. Arpt. Rev. Participating VRDN Series 2022 XF 30 51, 3.9% 12/7/23 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (b)(d)(g)(h) | | 5,200,000 | 5,200,000 |
| San Francisco City & County Multi-family Hsg. Rev. Participating VRDN Series MIZ 91 15, 4% 1/4/24 (Liquidity Facility Mizuho Cap. Markets LLC) (b)(g)(h)(i) | | 12,800,000 | 12,800,000 |
| Ubs Arps Tob Trust Participating VRDN Series 2023, 3.8% 12/7/23 (b)(g)(h) | | 5,962,000 | 5,962,000 |
TOTAL CALIFORNIA | | | 74,885,252 |
| Colorado - 0.1% | | | |
| Colorado Edl. & Cultural Facilities Auth. Rev. (Mesivta of Greater Los Angeles Proj.) Series 2005, 3.95% 12/7/23, LOC Deutsche Bank AG, VRDN (b) | | 580,000 | 580,000 |
| Colorado Health Facilities Auth. Rev. Bonds Participating VRDN: | | | |
| Series XM 10 59, 3.9% 12/7/23 (Liquidity Facility JPMorgan Chase Bank) (b)(g)(h) | | 495,000 | 495,000 |
| Series XM 10 61, 3.9% 12/7/23 (Liquidity Facility JPMorgan Chase Bank) (b)(g)(h) | | 1,400,000 | 1,400,000 |
| Denver City & County Arpt. Rev. Participating VRDN: | | | |
| Series Floaters XM 07 15, 3.9% 12/7/23 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (b)(d)(g)(h) | | 600,000 | 600,000 |
| Series XM 10 20, 3.9% 12/7/23 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (b)(d)(g)(h) | | 2,200,000 | 2,200,000 |
TOTAL COLORADO | | | 5,275,000 |
| Connecticut - 0.6% | | | |
| Connecticut Hsg. Fin. Auth. Series 2022 A4, 4.11% 12/7/23, VRDN (b) | | 10,000,000 | 9,965,942 |
| Danbury Gen. Oblig. BAN Series 2023, 5% 1/24/24 | | 5,000,000 | 5,010,253 |
| Stratford Gen. Oblig. BAN Series 2023 B, 5% 1/30/24 | | 7,500,000 | 7,510,691 |
TOTAL CONNECTICUT | | | 22,486,886 |
| Florida - 1.6% | | | |
| Broward County School District TAN Series 2023, 5% 6/28/24 | | 5,100,000 | 5,144,731 |
| Cap. Trust Agcy. Edl. Facilities Rev. Participating VRDN Series XF 30 98, 3.97% 12/7/23 (Liquidity Facility Mizuho Cap. Markets LLC) (b)(g)(h) | | 1,400,000 | 1,400,000 |
| Florida Ins. Assistance Interlo Series 2023 A2, 4.2% 12/7/23 (Liquidity Facility Florida Gen. Oblig.), VRDN (b) | | 12,300,000 | 12,300,000 |
| Hillsborough County Aviation Auth. Rev. Participating VRDN Series XL 02 90, 3.9% 12/7/23 (Liquidity Facility Deutsche Bank AG New York Branch) (b)(d)(g)(h) | | 4,300,000 | 4,300,000 |
| Jacksonville Health Care Series 2023, 3.95% 4/10/24, CP | | 500,000 | 500,251 |
| Jacksonville Health Care Facilities: | | | |
| Series 2019 D, 3.6% 12/7/23, VRDN (b) | | 200,000 | 200,000 |
| Series 2019 E, 3.6% 12/7/23, VRDN (b) | | 800,000 | 800,000 |
| Lee Memorial Health Sys. Hosp. Rev. Series 2019 B, 4.07% 12/7/23, VRDN (b) | | 22,300,000 | 22,300,000 |
| Miami Dade County Hsg. Multifamily Hsg. Rev. Participating VRDN Series Floater MIZ 90 87, 4% 1/4/24 (Liquidity Facility Mizuho Cap. Markets LLC) (b)(g)(h)(i) | | 920,000 | 920,000 |
| Miami-Dade County Aviation Rev. Series 2023, 3.9% 1/10/24, LOC Bank of America NA, CP (d) | | 2,000,000 | 2,000,205 |
| Miami-Dade County School District TAN Series 2023, 5% 6/18/24 | | 9,800,000 | 9,882,944 |
| Mizuho Cap. Markets LLC Participating VRDN Series XF 30 96, 3.97% 12/7/23 (Liquidity Facility Mizuho Cap. Markets LLC) (b)(g)(h) | | 3,855,000 | 3,855,000 |
TOTAL FLORIDA | | | 63,603,131 |
| Georgia - 0.7% | | | |
| Atlanta Arpt. Rev. Series 2023 O, 4.05% 1/9/24, LOC JPMorgan Chase Bank, CP (d) | | 5,192,000 | 5,193,350 |
| Bartow County Dev. Auth. (Georgia Pwr. Co. Plant Bowen Proj.) Series 2022: | | | |
| 3.58% 12/1/23, VRDN (b)(d) | | 2,800,000 | 2,800,000 |
| 3.6% 12/1/23, VRDN (b)(d) | | 5,350,000 | 5,350,000 |
| Buford Hsg. Auth. Multifamily Participating VRDN Series XF 31 18, 3.97% 12/7/23 (Liquidity Facility Mizuho Cap. Markets LLC) (b)(g)(h) | | 1,600,000 | 1,600,000 |
| Burke County Indl. Dev. Auth. Poll. Cont. Rev. (Georgia Pwr. Co. Plant Vogtle Proj.) Series 2012, 3.58% 12/1/23, VRDN (b)(d) | | 400,000 | 400,000 |
| Cobb County Hosp. Auth. Rev. Series 2006, 3.64% 12/7/23, LOC Royal Bank of Canada, VRDN (b) | | 5,000,000 | 5,000,000 |
| Fulton County Gen. Oblig. TAN Series 2023, 5% 12/29/23 | | 7,115,000 | 7,123,259 |
TOTAL GEORGIA | | | 27,466,609 |
| Hawaii - 0.1% | | | |
| Hawaii Arpts. Sys. Rev. Participating VRDN: | | | |
| Series XG 03 86, 3.9% 12/7/23 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (b)(d)(g)(h) | | 2,200,000 | 2,200,000 |
| Series XM 10 55, 3.9% 12/7/23 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (b)(d)(g)(h) | | 1,800,000 | 1,800,000 |
TOTAL HAWAII | | | 4,000,000 |
| Idaho - 0.0% | | | |
| Idaho Hsg. & Fin. Assoc. Single Family Mtg. Series A, 3.78% 12/7/23 (Liquidity Facility Fannie Mae) (Liquidity Facility Freddie Mac), VRDN (b) | | 415,000 | 415,000 |
| Illinois - 0.6% | | | |
| Chicago Midway Arpt. Rev. Series 2023 A, 3.99% 1/3/24, LOC Bank of Montreal, CP (d) | | 1,390,000 | 1,390,034 |
| Chicago O'Hare Int'l. Arpt. Rev. Participating VRDN Series XL 04 98, 3.9% 12/7/23 (Liquidity Facility JPMorgan Chase Bank) (b)(d)(g)(h) | | 3,800,000 | 3,800,000 |
| Illinois Edl. Facilities Auth. Rev.: | | | |
| Series 1995, 3.7% 12/4/23, CP | | 9,600,000 | 9,600,232 |
| Series 2023, 3.75% 12/4/23, CP | | 3,000,000 | 3,000,092 |
| Illinois Fin. Auth. Edl. Facilities Rev. Participating VRDN Series XF 30 97, 3.97% 12/7/23 (Liquidity Facility Mizuho Cap. Markets LLC) (b)(g)(h) | | 4,080,000 | 4,080,000 |
| Reg'l. Transn Auth. Extend Series 2005 B, 4.5% 12/7/23, VRDN (b) | | 640,000 | 640,000 |
TOTAL ILLINOIS | | | 22,510,358 |
| Indiana - 0.1% | | | |
| Indiana Univ. Student Fee Revs. Series 2023, 3.87% 2/22/24, CP | | 4,035,000 | 4,035,843 |
| Kansas - 0.3% | | | |
| Burlington Envir. Impt. Rev. (Kansas City Pwr. and Lt. Co. Proj.) Series 2007 A, 3.41% 12/7/23, VRDN (b) | | 5,000,000 | 5,000,000 |
| Wichita Gen. Oblig. BAN Series 2023, 5% 10/15/24 | | 5,000,000 | 5,061,092 |
TOTAL KANSAS | | | 10,061,092 |
| Kentucky - 0.7% | | | |
| Kentucky Econ. Dev. Fin. Auth. (Catholic Health Initiatives Proj.) Series C, 3.8% 12/7/23, VRDN (b) | | 13,100,000 | 13,100,000 |
| Meade County Indl. Bldg. Rev. (Nucor Steel Brandenburg Proj.): | | | |
| Series 2020 A1, 4.2% 12/1/23, VRDN (b)(d) | | 6,820,000 | 6,820,000 |
| Series 2020 B1, 4.2% 12/1/23, VRDN (b)(d) | | 7,000,000 | 7,000,000 |
TOTAL KENTUCKY | | | 26,920,000 |
| Louisiana - 0.6% | | | |
| Saint James Parish Gen. Oblig. (Nucor Steel Louisiana LLC Proj.) Series 2010 A1, 3.66% 12/7/23, VRDN (b) | | 24,220,000 | 24,220,000 |
| Maryland - 0.2% | | | |
| Baltimore County Gen. Oblig. Participating VRDN Series 2022 032, 3.95% 1/11/24 (Liquidity Facility Barclays Bank PLC) (b)(g)(h) | | 1,600,000 | 1,600,000 |
| Baltimore Proj. Rev. Bonds Series Floaters G 42, 3.8%, tender 1/2/24 (Liquidity Facility Royal Bank of Canada) (b)(g)(h)(i) | | 2,300,000 | 2,300,000 |
| Integrace Obligated Group Participating VRDN Series 2022 024, 3.95% 1/11/24 (Liquidity Facility Barclays Bank PLC) (b)(g)(h) | | 3,700,000 | 3,700,000 |
TOTAL MARYLAND | | | 7,600,000 |
| Massachusetts - 0.4% | | | |
| Boston Wtr. & Swr. Commission Rev. Series 2023 A, 3.9% 1/11/24, LOC TD Banknorth, NA, CP | | 1,500,000 | 1,500,334 |
| Massachusetts Bay Trans. Auth.: | | | |
| Series 2023 B: | | | |
3.7% 12/4/23, CP | | 6,600,000 | 6,600,159 |
3.9% 12/1/23, CP | | 4,500,000 | 4,500,047 |
| Series 2023, 3.85% 12/13/23, CP | | 4,000,000 | 4,000,329 |
TOTAL MASSACHUSETTS | | | 16,600,869 |
| Michigan - 0.3% | | | |
| Michigan Fin. Auth. Rev. RAN Series 2023 A1, 5% 7/22/24 | | 5,000,000 | 5,047,869 |
| St Joseph Hosp. Fa Hsp Rev. Series 2002, 3.57% 12/7/23 (Assured Guaranty Muni. Corp. Insured), VRDN (b) | | 7,020,000 | 7,020,000 |
TOTAL MICHIGAN | | | 12,067,869 |
| Minnesota - 0.2% | | | |
| Rochester Health Care Facilities Rev. Series A, 3.25% 12/7/23, VRDN (b) | | 6,900,000 | 6,900,000 |
| Univ. of Minnesota Gen. Oblig. Series 2023, 3.85% 12/5/23, CP | | 1,500,000 | 1,500,101 |
TOTAL MINNESOTA | | | 8,400,101 |
| Mississippi - 0.1% | | | |
| Mississippi Bus. Fin. Corp. Rev. (Mississippi Pwr. Co. Proj.) Series 1999, 3.61% 12/1/23, VRDN (b)(d) | | 2,700,000 | 2,700,000 |
| Mississippi Bus. Fin. Corp. Solid Waste Disp. Rev. (Mississippi Pwr. Co. Proj.): | | | |
| Series 1995, 3.5% 12/1/23, VRDN (b)(d) | | 1,100,000 | 1,100,000 |
| Series 1998, 3.5% 12/1/23, VRDN (b)(d) | | 100,000 | 100,000 |
TOTAL MISSISSIPPI | | | 3,900,000 |
| Missouri - 0.3% | | | |
| Kansas City Indl. Dev. Auth. Participating VRDN: | | | |
| Series XL 03 3, 3.9% 12/7/23 (Liquidity Facility JPMorgan Chase Bank) (b)(d)(g)(h) | | 4,900,000 | 4,900,000 |
| Series XM 11 08, 3.65% 12/1/23 (Liquidity Facility JPMorgan Chase Bank) (b)(d)(g)(h) | | 3,650,000 | 3,650,000 |
| Mizuho Floater / Residual Trust V Participating VRDN Series Floater MIZ 91 53, 4% 1/4/24 (Liquidity Facility Mizuho Cap. Markets LLC) (b)(g)(h) | | 1,700,000 | 1,700,000 |
TOTAL MISSOURI | | | 10,250,000 |
| New Jersey - 1.5% | | | |
| Clifton Gen. Oblig. BAN Series 2023, 5% 11/26/24 | | 8,800,000 | 8,922,926 |
| Essex County Impt. Auth. BAN (Essex County Family Court Bldg. Proj.) Series 2023, 5% 7/3/24 | | 10,285,000 | 10,382,847 |
| Hazlet Township NJ BAN Series 2023, 5% 11/8/24 | | 4,000,000 | 4,051,259 |
| Hudson County Impt. Auth. Rev. BAN (Local Unit Ln. Prog.) Series 2023 B1, 5% 7/24/24 | | 3,000,000 | 3,028,338 |
| Manasquan N J BAN Series 2023, 5% 10/3/24 | | 2,400,000 | 2,427,110 |
| New Jersey Edl. Facilities Auth. Rev. Series 2023 A, 4% 1/23/24, CP | | 13,000,000 | 13,003,546 |
| New Jersey Trans. Trust Fund Auth. Participating VRDN: | | | |
| Series XL 04 50, 3.9% 12/7/23 (Liquidity Facility JPMorgan Chase Bank) (b)(g)(h) | | 1,250,000 | 1,250,000 |
| Series XM 10 47, 3.9% 12/7/23 (Liquidity Facility JPMorgan Chase Bank) (b)(g)(h) | | 1,300,000 | 1,300,000 |
| Newark Gen. Oblig. BAN Series 2023 B, 5% 9/27/24 | | 5,000,000 | 5,030,725 |
| Ridgewood Gen. Oblig. BAN Series 2023 B, 5% 10/11/24 | | 6,041,000 | 6,105,813 |
| Trenton Gen. Oblig. BAN Series 2023, 6% 5/31/24 | | 5,000,000 | 5,055,158 |
TOTAL NEW JERSEY | | | 60,557,722 |
| New Mexico - 0.0% | | | |
| New Mexico St Hosp. Equip. Ln. Co. Participating VRDN Series 2022 034, 3.95% 1/11/24 (Liquidity Facility Barclays Bank PLC) (b)(g)(h) | | 2,025,000 | 2,025,000 |
| New York - 1.5% | | | |
| Albany City School District BAN Series 2023 B, 4.75% 6/27/24 | | 3,400,000 | 3,422,760 |
| Battery Park City Auth. Rev. Series 2019 D1, 3.55% 12/7/23 (Liquidity Facility TD Banknorth, NA), VRDN (b) | | 800,000 | 800,000 |
| Cobleskill-Rchmndvl Central School District BAN Series 2023, 4.75% 6/21/24 | | 3,500,000 | 3,520,953 |
| Liberty Dev. Corp. Rev. Participating VRDN Series MS 1207, 3.95% 12/7/23 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (b)(g)(h) | | 1,100,000 | 1,100,000 |
| Lowville N Y BAN Series 2023 A, 4.625% 8/22/24 | | 2,750,000 | 2,751,057 |
| New York City Gen. Oblig. Series 2006, 5% 12/1/23 (Assured Guaranty Muni. Corp. Insured), VRDN (b) | | 5,000,000 | 5,000,000 |
| New York Metropolitan Trans. Auth. Rev. Participating VRDN: | | | |
| Series XF 13 21, 3.92% 12/7/23 (Liquidity Facility JPMorgan Chase Bank) (b)(g)(h) | | 1,095,000 | 1,095,000 |
| Series XF 13 55, 3.92% 12/7/23 (Liquidity Facility JPMorgan Chase Bank) (b)(g)(h) | | 2,400,000 | 2,400,000 |
| New York N Y City Transitional Participating VRDN Series XG 05 24, 3.63% 12/7/23 (Liquidity Facility Wells Fargo Bank NA) (b)(g)(h) | | 765,000 | 765,000 |
| Palmyra-Macedon Central School District BAN Series 2023, 4.75% 6/13/24 | | 2,330,000 | 2,345,012 |
| RIB Floater Trust Various States Participating VRDN Series Floater 2022 007, 4.05% 1/11/24 (Liquidity Facility Barclays Bank PLC) (b)(d)(g)(h) | | 23,500,000 | 23,500,000 |
| South Jefferson Central School District BAN Series 2023, 4% 2/9/24 | | 1,970,000 | 1,970,121 |
| Triborough Bridge & Tunnel Auth. BAN Series 2022 A, 5% 8/15/24 | | 10,000,000 | 10,122,442 |
| Village of Ilion BAN Series 2023, 5.125% 5/10/24 | | 1,645,000 | 1,648,361 |
TOTAL NEW YORK | | | 60,440,706 |
| North Carolina - 0.2% | | | |
| Hertford County Indl. Facilities Poll. Cont. Fing. Auth. Series 2000 B, 3.96% 12/7/23, VRDN (b)(d) | | 9,100,000 | 9,100,000 |
| North Dakota - 0.4% | | | |
| Basin Elec. Pwr. Coop. Series 2023: | | | |
| 3.95% 1/2/24 (Liquidity Facility Nat'l. Rural Utils. Coop. Fin. Corp.), CP | | 1,000,000 | 1,000,215 |
| 4% 2/7/24 (Liquidity Facility Nat'l. Rural Utils. Coop. Fin. Corp.), CP | | 6,300,000 | 6,301,664 |
| 4.05% 1/4/24 (Liquidity Facility Nat'l. Rural Utils. Coop. Fin. Corp.), CP | | 6,650,000 | 6,650,496 |
TOTAL NORTH DAKOTA | | | 13,952,375 |
| Ohio - 0.5% | | | |
| Allen County Hosp. Facilities Rev. Series 2012 B, 3.65% 12/7/23 (Liquidity Facility Ohio Gen. Oblig.), VRDN (b) | | 3,100,000 | 3,100,000 |
| Ashland Gen. Oblig. BAN Series 2023, 4.875% 8/22/24 | | 1,100,000 | 1,107,563 |
| Elyria Gen. Oblig. BAN Series 2023, 4.5% 6/27/24 | | 1,080,000 | 1,084,123 |
| Hamilton Gen. Oblig. BAN Series 2022, 4% 12/28/23 | | 2,145,000 | 2,145,370 |
| Lake County Gen. Oblig. BAN Series 2023, 4% 12/28/23 | | 1,850,000 | 1,850,298 |
| Lorain County Gen. Oblig. BAN: | | | |
| Series 2022 B, 4.5% 12/14/23 | | 1,595,000 | 1,594,951 |
| Series 2023 B, 5% 12/7/24 (f) | | 1,025,000 | 1,036,816 |
| Ohio Hosp. Rev.: | | | |
| Series 2013 B, 4.01% 12/7/23, VRDN (b) | | 4,995,000 | 4,995,000 |
| Series 2021 B, 4.05% 12/1/23, VRDN (b) | | 3,000,000 | 3,000,000 |
TOTAL OHIO | | | 19,914,121 |
| Oklahoma - 0.2% | | | |
| Oklahoma Dev. Fin. Auth. Health Sys. Rev. Series 2020 B, 4.12% 12/7/26, VRDN (b) | | 7,175,000 | 7,175,000 |
| Steele Duncan Plaza, LLC Participating VRDN Series MIZ 91 03, 4% 1/4/24 (Liquidity Facility Mizuho Cap. Markets LLC) (b)(g)(h)(i) | | 1,300,000 | 1,300,000 |
TOTAL OKLAHOMA | | | 8,475,000 |
| Oregon - 0.2% | | | |
| Oregon St Dept. Trans. Rev. Series 2023, 3.87% 12/21/23, LOC Wells Fargo Bank NA, CP | | 6,269,000 | 6,270,062 |
| Pennsylvania - 1.2% | | | |
| Central Bradford Progress Auth. Rev. Series 2021 D, 4.18% 12/7/23, VRDN (b) | | 6,455,000 | 6,455,000 |
| Montgomery County Higher Ed. & Health Auth. Rev. Series 2018 D, 4.11% 12/7/26, VRDN (b) | | 6,700,000 | 6,700,000 |
| Pennsylvania Econ. Dev. Fing. Auth. Exempt Facilities Rev. Series 2009 B, 4.55% 12/7/23, LOC MUFG Bank Ltd., VRDN (b) | | 5,000,000 | 5,000,000 |
| Pennsylvania Tpk. Commission Tpk. Rev. Series 2023 B, 3.51% 12/7/23, LOC TD Banknorth, NA, VRDN (b) | | 6,500,000 | 6,500,000 |
| Philadelphia Auth. for Indl. Dev. Series 2017 B, 4.12% 12/7/26, VRDN (b) | | 7,895,000 | 7,895,000 |
| Philadelphia School District TRAN Series 2023 A, 5% 6/28/24 | | 14,800,000 | 14,906,270 |
TOTAL PENNSYLVANIA | | | 47,456,270 |
| South Carolina - 0.2% | | | |
| County Square Redev. Corp. BAN Series 2023, 5% 2/9/24 | | 6,000,000 | 6,016,905 |
| South Carolina Pub. Svc. Auth. Rev. Series 2023 B, 3.9% 2/1/24, LOC Barclays Bank PLC, CP | | 778,000 | 778,188 |
TOTAL SOUTH CAROLINA | | | 6,795,093 |
| Tennessee - 0.7% | | | |
| Greeneville Health & Edl. Facilities Board Series 2018 B, 3.55% 12/7/23, LOC U.S. Bank NA, Cincinnati, VRDN (b) | | 800,000 | 800,000 |
| Nashville and Davidson County Metropolitan Govt. Gen. Oblig. Series 2023 B1, 3.68% 12/28/23 (Liquidity Facility Bank of America NA), CP | | 11,600,000 | 11,599,744 |
| Tennessee Gen. Oblig. Series 2023 A: | | | |
| 3.77% 12/6/23 (Liquidity Facility Tennessee Consldatd Retire Sys.), CP | | 1,225,000 | 1,225,011 |
| 3.85% 1/25/24 (Liquidity Facility Tennessee Consldatd Retire Sys.), CP | | 12,500,000 | 12,494,313 |
TOTAL TENNESSEE | | | 26,119,068 |
| Texas - 2.8% | | | |
| Arlington Higher Ed. Fin. Corp. Participating VRDN Series 2021 MS 00 02, 4% 12/7/23 (b)(g)(h) | | 7,570,000 | 7,570,000 |
| Brazos County Tex Hsg. Fin. Corp. M Participating VRDN Series XF 31 29, 3.97% 12/7/23 (Liquidity Facility Mizuho Cap. Markets LLC) (b)(g)(h) | | 1,300,000 | 1,300,000 |
| Ep Machuca Lp Participating VRDN Series MIZ 91 04, 4% 1/4/24 (Liquidity Facility Mizuho Cap. Markets LLC) (b)(g)(h)(i) | | 1,900,000 | 1,900,000 |
| Harris County Cultural Ed. Facilities Fin. Corp. Rev. Series 2023 B1, 3.8% tender 2/1/24, CP mode | | 4,000,000 | 4,000,188 |
| Harris County Gen. Oblig. Series 2023 K: | | | |
| 3.75% 2/7/24, LOC PNC Bank NA, CP | | 5,810,000 | 5,809,097 |
| 3.75% 2/7/24, LOC PNC Bank NA, CP | | 1,500,000 | 1,499,781 |
| 3.9% 2/7/24, LOC PNC Bank NA, CP | | 1,940,000 | 1,940,707 |
| Houston Higher Ed. Fin. Corp. Higher Ed. Rev. Series 2023 A, 3.85% 1/3/24, CP | | 4,850,000 | 4,850,124 |
| Houston Higher Ed. Fing. Corp. Series 2023: | | | |
| 3.88% 1/16/24, CP | | 6,095,000 | 6,096,523 |
| 4% 2/1/24, CP | | 1,540,000 | 1,540,762 |
| Mizuho Floater / Residual Trust V Participating VRDN: | | | |
| Series Floater MIZ 91 50, 4% 1/4/24 (Liquidity Facility Mizuho Cap. Markets LLC) (b)(g)(h)(i) | | 7,950,000 | 7,950,000 |
| Series MIZ 91 24, 4% 1/4/24 (Liquidity Facility Mizuho Cap. Markets LLC) (b)(g)(h)(i) | | 11,100,000 | 11,100,000 |
| Port Arthur Navigation District Envir. Facilities Rev. (Motiva Enterprises LLC Proj.): | | | |
| Series 2001 A, 3.9% 12/1/23, VRDN (b) | | 3,600,000 | 3,600,000 |
| Series 2004, 4.09% 12/7/23, VRDN (b)(d) | | 27,215,000 | 27,215,000 |
| Series 2010 C, 3.9% 12/1/23, VRDN (b) | | 2,900,000 | 2,900,000 |
| Series 2010 D, 4.01% 12/7/23, VRDN (b) | | 1,200,000 | 1,200,000 |
| San Antonio Elec. & Gas Sys. Rev. Series 2023, 3.7% 1/26/24 (Liquidity Facility Bank of America NA), CP | | 10,000,000 | 9,998,681 |
| San Antonio Wtr. Sys. Rev. Participating VRDN Series XF 14 47, 3.63% 12/7/23 (Liquidity Facility Bank of America NA) (b)(g)(h) | | 2,000,000 | 2,000,000 |
| Texas A&M Univ. Rev. Series 2023 B, 3.6% 12/5/23, CP | | 6,919,000 | 6,919,117 |
TOTAL TEXAS | | | 109,389,980 |
| Utah - 0.1% | | | |
| Salt Lake City Arpt. Rev. Participating VRDN Series XM 11 07, 3.65% 12/1/23 (Liquidity Facility JPMorgan Chase Bank) (b)(d)(g)(h) | | 2,495,000 | 2,495,000 |
| Virginia - 0.1% | | | |
| Lynchburg Econ. Dev. Participating VRDN Series XL 00 75, 3.9% 12/7/23 (Liquidity Facility JPMorgan Chase Bank) (b)(g)(h) | | 2,955,000 | 2,955,000 |
| Nat'l. Sr. Campuses Participating VRDN Series 2022 028, 3.95% 1/11/24 (Liquidity Facility Barclays Bank PLC) (b)(g)(h) | | 2,600,000 | 2,600,000 |
TOTAL VIRGINIA | | | 5,555,000 |
| Washington - 0.1% | | | |
| Washington Econ. Dev. Fin. Auth. Rev. Participating VRDN Series Floaters 005, 3.95% 1/11/24 (Liquidity Facility Barclays Bank PLC) (b)(d)(g)(h) | | 4,900,000 | 4,900,000 |
| West Virginia - 0.1% | | | |
| West Virginia Hosp. Fin. Auth. Hosp. Rev. Series 2018 E, 4.07% 12/7/26, VRDN (b) | | 3,195,000 | 3,195,000 |
| Wisconsin - 0.7% | | | |
| Kestrel Heights Facilities, Ll Participating VRDN Series XF 30 95, 3.97% 12/7/23 (Liquidity Facility Mizuho Cap. Markets LLC) (b)(g)(h) | | 2,800,000 | 2,800,000 |
| Pub. Fin. Auth. Ed. Rev. Mountain Island Charter School Participating VRDN Series XF 30 99, 3.97% 12/7/23 (Liquidity Facility Mizuho Cap. Markets LLC) (b)(g)(h) | | 2,900,000 | 2,900,000 |
| Waushara County Wis BAN Series 2023 A, 4.75% 12/1/23 | | 6,100,000 | 6,100,000 |
| Wisconsin Health & Edl. Facilities Series 2020 C, 4.96% 12/7/26, VRDN (b) | | 11,250,000 | 11,250,000 |
| Wisconsin Health & Edl. Facilities Auth. Rev. Series 2022 A, 4.96% 12/7/23, VRDN (b) | | 2,000,000 | 2,000,000 |
| Wisconsin Hsg. and Econ. Dev. Auth. Home Ownership Rev. Series 2004 E, 3.2% 12/7/23 (Liquidity Facility Fed. Home Ln. Bank Chicago), VRDN (b)(d) | | 3,460,000 | 3,460,000 |
TOTAL WISCONSIN | | | 28,510,000 |
| Wyoming - 0.3% | | | |
| Lincoln County Envir. (PacifiCorp Proj.) Series 1995, 5.6% 12/7/23, VRDN (b)(d) | | 7,200,000 | 7,200,000 |
| Lincoln County Poll. Cont. Rev. (PacifiCorp Proj.) Series 1994, 5.5% 12/6/23, VRDN (b) | | 700,000 | 700,000 |
| Sweetwater County Poll. Cont. Rev. (PacifiCorp Proj.) Series 1994, 5.5% 12/6/23, VRDN (b) | | 3,300,000 | 3,300,000 |
TOTAL WYOMING | | | 11,200,000 |
| TOTAL MUNICIPAL NOTES (Cost $839,418,403) | | | 839,546,953 |
| | | | |
| Municipal Bond Funds - 5.0% |
| | | Shares | Value ($) |
JPMorgan Ultra-Short Municipal Income ETF (Cost $198,452,961) | | 3,918,298 | 198,814,441 |
| | | | |
| Short-Term Funds - 7.5% |
| | | Shares | Value ($) |
| Federated Hermes Municipal Ultrashort Fund Institutional Shares | | 6,222,339 | 61,850,050 |
| Vanguard Short-Term Tax-Exempt Fund Admiral Shares | | 15,104,351 | 237,138,276 |
| TOTAL SHORT-TERM FUNDS (Cost $303,142,604) | | | 298,988,326 |
| | | | |
| Money Market Funds - 5.9% |
| | | Principal Amount (a) | Value ($) |
| Fidelity Investments Money Market Government Portfolio Institutional Class 5.28% (j)(k) | | 145,710,148 | 145,710,148 |
| Fidelity Municipal Cash Central Fund 3.41% (l)(m) | | 12,974,405 | 12,977,000 |
| Fidelity SAI Municipal Money Market Fund 3.56% (j)(k) | | 70,482,890 | 70,511,084 |
| State Street Institutional U.S. Government Money Market Fund Premier Class 5.31% (j) | | 3,985,222 | 3,985,222 |
| TOTAL MONEY MARKET FUNDS (Cost $233,147,963) | | | 233,183,454 |
| | | | |
| TOTAL INVESTMENT IN SECURITIES - 100.6% (Cost $4,013,120,309) | 3,989,996,809 |
NET OTHER ASSETS (LIABILITIES) - (0.6)% | (23,302,018) |
| NET ASSETS - 100.0% | 3,966,694,791 |
| | |
Security Type Abbreviations
| BAN | - | BOND ANTICIPATION NOTE |
| CP | - | COMMERCIAL PAPER |
| ETF | - | EXCHANGE-TRADED FUND |
| RAN | - | REVENUE ANTICIPATION NOTE |
| TAN | - | TAX ANTICIPATION NOTE |
| TRAN | - | TAX AND REVENUE ANTICIPATION NOTE |
| VRDN | - | VARIABLE RATE DEMAND NOTE (A debt instrument that is payable upon demand, either daily, weekly or monthly) |
Legend
| (a) | Amount is stated in United States dollars unless otherwise noted. |
| (b) | Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. |
| (c) | Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors. |
| (d) | Private activity obligations whose interest is subject to the federal alternative minimum tax for individuals. |
| (e) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $88,153,356 or 2.2% of net assets. |
| (f) | Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
| (g) | Provides evidence of ownership in one or more underlying municipal bonds. |
| (h) | Coupon rates are determined by re-marketing agents based on current market conditions. |
| (i) | 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 $39,870,000 or 1.0% of net assets. |
| (j) | The rate quoted is the annualized seven-day yield of the fund at period end. |
| (l) | Information in this report regarding holdings by state and security types does not reflect the holdings of the Fidelity Municipal Cash Central Fund. |
| (m) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
| Additional information on each restricted holding is as follows: |
| Security | Acquisition Date | Acquisition Cost ($) |
| Baltimore Proj. Rev. Bonds Series Floaters G 42, 3.8%, tender 1/2/24 (Liquidity Facility Royal Bank of Canada) | 6/30/23 | 2,300,000 |
| | | |
| California Statewide Cmntys. Dev. Auth. Multi-family Hsg. Rev. Participating VRDN Series Floater MIZ 91 13, 4% 1/4/24 (Liquidity Facility Mizuho Cap. Markets LLC) | 11/16/22 | 1,600,000 |
| | | |
| Ep Machuca Lp Participating VRDN Series MIZ 91 04, 4% 1/4/24 (Liquidity Facility Mizuho Cap. Markets LLC) | 8/05/22 | 1,900,000 |
| | | |
| Miami Dade County Hsg. Multifamily Hsg. Rev. Participating VRDN Series Floater MIZ 90 87, 4% 1/4/24 (Liquidity Facility Mizuho Cap. Markets LLC) | 1/27/22 | 920,000 |
| | | |
| Mizuho Floater / Residual Trust V Participating VRDN Series Floater MIZ 91 50, 4% 1/4/24 (Liquidity Facility Mizuho Cap. Markets LLC) | 8/01/23 | 7,950,000 |
| | | |
| Mizuho Floater / Residual Trust V Participating VRDN Series MIZ 91 24, 4% 1/4/24 (Liquidity Facility Mizuho Cap. Markets LLC) | 1/27/23 | 11,100,000 |
| | | |
| San Francisco City & County Multi-family Hsg. Rev. Participating VRDN Series MIZ 91 15, 4% 1/4/24 (Liquidity Facility Mizuho Cap. Markets LLC) | 12/19/22 - 1/30/23 | 12,800,000 |
| | | |
| Steele Duncan Plaza, LLC Participating VRDN Series MIZ 91 03, 4% 1/4/24 (Liquidity Facility Mizuho Cap. Markets LLC) | 8/11/22 | 1,300,000 |
| | | |
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
| Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
| Fidelity Municipal Cash Central Fund 3.41% | 29,067,000 | 230,489,000 | 246,579,000 | 392,449 | - | - | 12,977,000 | 0.6% |
| Total | 29,067,000 | 230,489,000 | 246,579,000 | 392,449 | - | - | 12,977,000 | |
| | | | | | | | | |
Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
Affiliated Underlying Funds
Fiscal year to date information regarding the Fund's investments in affiliated Underlying Funds is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur. If an Underlying Funds changes its name, the name presented below is the name in effect at period end.
| Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) |
| Fidelity Investments Money Market Government Portfolio Institutional Class 5.28% | 190,771,386 | 237,901,712 | 282,962,950 | 5,302,168 | - | - | 145,710,148 |
| Fidelity SAI Municipal Money Market Fund 3.56% | 156,886,839 | 10,240,258 | 96,619,980 | 2,086,947 | 23,184 | (19,217) | 70,511,084 |
| | 347,658,225 | 248,141,970 | 379,582,930 | 7,389,115 | 23,184 | (19,217) | 216,221,232 |
Amounts in the dividend 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.
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
Investment Valuation
The following is a summary of the inputs used, as of November 30, 2023, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
| Valuation Inputs at Reporting Date: |
| Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | | | | |
|
| Municipal Securities | 3,259,010,588 | - | 3,259,010,588 | - |
|
| Municipal Bond Funds | 198,814,441 | 198,814,441 | - | - |
|
| Short-Term Funds | 298,988,326 | 298,988,326 | - | - |
|
| Money Market Funds | 233,183,454 | 233,183,454 | - | - |
| Total Investments in Securities: | 3,989,996,809 | 730,986,221 | 3,259,010,588 | - |
| Statement of Assets and Liabilities |
| | | | November 30, 2023 (Unaudited) |
| | | | | |
| Assets | | | | |
| Investment in securities, at value - See accompanying schedule: | | | | |
Unaffiliated issuers (cost $3,783,957,568) | $ | 3,760,798,578 | | |
Fidelity Central Funds (cost $12,976,873) | | 12,977,000 | | |
Other affiliated issuers (cost $216,185,868) | | 216,221,231 | | |
| | | | | |
| | | | | |
| Total Investment in Securities (cost $4,013,120,309) | | | $ | 3,989,996,809 |
| Cash | | | | 4,148,710 |
| Receivable for investments sold | | | | 15,498,588 |
| Receivable for fund shares sold | | | | 2,823,813 |
| Dividends receivable | | | | 122,430 |
| Interest receivable | | | | 34,831,160 |
| Distributions receivable from Fidelity Central Funds | | | | 32,332 |
| Prepaid expenses | | | | 3,585 |
| Other receivables | | | | 4,672 |
Total assets | | | | 4,047,462,099 |
| Liabilities | | | | |
| Payable for investments purchased | | | | |
Regular delivery | $ | 22,405,515 | | |
Delayed delivery | | 42,811,682 | | |
| Payable for fund shares redeemed | | 4,898,667 | | |
| Distributions payable | | 10,423,076 | | |
| Accrued management fee | | 186,737 | | |
| Other payables and accrued expenses | | 41,631 | | |
| Total Liabilities | | | | 80,767,308 |
| Net Assets | | | $ | 3,966,694,791 |
| Net Assets consist of: | | | | |
| Paid in capital | | | $ | 4,004,704,640 |
| Total accumulated earnings (loss) | | | | (38,009,849) |
| Net Assets | | | $ | 3,966,694,791 |
Net Asset Value, offering price and redemption price per share ($3,966,694,791 ÷ 397,892,582 shares) | | | $ | 9.97 |
| Statement of Operations |
| | | | Six months ended November 30, 2023 (Unaudited) |
| Investment Income | | | | |
| Dividends: | | | | |
| Unaffiliated issuers | | | $ | 7,594,166 |
| Affiliated issuers | | | | 7,389,115 |
| Interest | | | | 49,193,870 |
| Income from Fidelity Central Funds | | | | 392,449 |
| Total Income | | | | 64,569,600 |
| Expenses | | | | |
| Management fee | $ | 6,397,382 | | |
| Custodian fees and expenses | | 19,204 | | |
| Independent trustees' fees and expenses | | 12,376 | | |
| Registration fees | | 18,210 | | |
| Audit | | 31,790 | | |
| Legal | | 3,491 | | |
| Miscellaneous | | 10,610 | | |
| Total expenses before reductions | | 6,493,063 | | |
| Expense reductions | | (5,135,349) | | |
| Total expenses after reductions | | | | 1,357,714 |
| Net Investment income (loss) | | | | 63,211,886 |
| Realized and Unrealized Gain (Loss) | | | | |
| Net realized gain (loss) on: | | | | |
| Investment Securities: | | | | |
| Unaffiliated issuers | | (1,379,554) | | |
| Affiliated issuers | | 23,184 | | |
| Total net realized gain (loss) | | | | (1,356,370) |
| Change in net unrealized appreciation (depreciation) on: | | | | |
| Investment Securities: | | | | |
| Unaffiliated issuers | | 22,151,215 | | |
| Affiliated issuers | | (19,217) | | |
| Total change in net unrealized appreciation (depreciation) | | | | 22,131,998 |
| Net gain (loss) | | | | 20,775,628 |
| Net increase (decrease) in net assets resulting from operations | | | $ | 83,987,514 |
| Statement of Changes in Net Assets |
| |
| | Six months ended November 30, 2023 (Unaudited) | | Year ended May 31, 2023 |
| Increase (Decrease) in Net Assets | | | | |
| Operations | | | | |
| Net investment income (loss) | $ | 63,211,886 | $ | 81,001,968 |
| Net realized gain (loss) | | (1,356,370) | | (4,673,013) |
| Change in net unrealized appreciation (depreciation) | | 22,131,998 | | 1,290,698 |
| Net increase (decrease) in net assets resulting from operations | | 83,987,514 | | 77,619,653 |
| Distributions to shareholders | | (62,960,410) | | (80,814,554) |
| | | | | |
| Share transactions | | | | |
| Proceeds from sales of shares | | 563,662,631 | | 1,807,729,207 |
| Reinvestment of distributions | | 12,088 | | 16,099 |
| Cost of shares redeemed | | (729,709,520) | | (2,252,260,067) |
| | | | | |
Net increase (decrease) in net assets resulting from share transactions | | (166,034,801) | | (444,514,761) |
| Total increase (decrease) in net assets | | (145,007,697) | | (447,709,662) |
| | | | | |
| Net Assets | | | | |
| Beginning of period | | 4,111,702,488 | | 4,559,412,150 |
| End of period | $ | 3,966,694,791 | $ | 4,111,702,488 |
| | | | | |
| Other Information | | | | |
| Shares | | | | |
| Sold | | 56,810,622 | | 182,390,011 |
| Issued in reinvestment of distributions | | 1,218 | | 1,624 |
| Redeemed | | (73,606,877) | | (227,349,965) |
| Net increase (decrease) | | (16,795,037) | | (44,958,330) |
| | | | | |
Financial Highlights
| Strategic Advisers® Tax-Sensitive Short Duration Fund |
| |
| | Six months ended (Unaudited) November 30, 2023 | | Years ended May 31, 2023 | | 2022 | | 2021 | | 2020 | | 2019 |
Selected Per-Share Data | | | | | | | | | | | | |
| Net asset value, beginning of period | $ | 9.92 | $ | 9.92 | $ | 10.05 | $ | 10.02 | $ | 10.03 | $ | 9.99 |
| Income from Investment Operations | | | | | | | | | | | | |
Net investment income (loss) A,B | | .153 | | .190 | | .044 | | .067 | | .159 | | .174 |
| Net realized and unrealized gain (loss) | | .050 | | .001 C | | (.130) | | .034 | | (.006) | | .042 |
| Total from investment operations | | .203 | | .191 | | (.086) | | .101 | | .153 | | .216 |
| Distributions from net investment income | | (.153) | | (.191) | | (.044) | | (.070) | | (.159) | | (.173) |
| Distributions from net realized gain | | - | | - | | - | | (.001) | | (.004) | | (.003) |
| Total distributions | | (.153) | | (.191) | | (.044) | | (.071) | | (.163) | | (.176) |
| Net asset value, end of period | $ | 9.97 | $ | 9.92 | $ | 9.92 | $ | 10.05 | $ | 10.02 | $ | 10.03 |
Total Return D,E | | 2.06% | | 1.94% | | (.85)% | | 1.01% | | 1.53% | | 2.19% |
Ratios to Average Net Assets B,F,G | | | | | | | | | | | | |
| Expenses before reductions | | .32% H | | .32% | | .32% | | .33% | | .34% | | .37% |
| Expenses net of fee waivers, if any | | .07% H | | .07% | | .07% | | .08% | | .09% | | .12% |
| Expenses net of all reductions | | .07% H | | .07% | | .07% | | .08% | | .09% | | .12% |
| Net investment income (loss) | | 3.09% H | | 1.92% | | .44% | | .66% | | 1.59% | | 1.74% |
| Supplemental Data | | | | | | | | | | | | |
| Net assets, end of period (000 omitted) | $ | 3,966,695 | $ | 4,111,702 | $ | 4,559,412 | $ | 5,389,558 | $ | 3,368,491 | $ | 3,415,877 |
Portfolio turnover rate I | | 77% H | | 80% | | 53% | | 86% | | 81% | | 57% |
ACalculated based on average shares outstanding during the period.
BNet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
CThe amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the Fund.
DTotal returns for periods of less than one year are not annualized.
ETotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
FFees 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.
GExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
HAnnualized.
IAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
For the period ended November 30, 2023
1. Organization.
Strategic Advisers Tax-Sensitive Short Duration Fund (the Fund) is a fund of Fidelity Rutland Square Trust II (the Trust), and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust. The Fund is offered exclusively to certain managed account clients of Strategic Advisers LLC (Strategic Advisers), an affiliate of Fidelity Management & Research Company LLC (FMR).
2. Significant Accounting Policies.
The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services 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 the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.
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 - unadjusted 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 services or from brokers who make markets in such securities. Municipal securities are valued by pricing services 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 services. 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 service 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.
Investments in open-end mutual funds, including Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. If an unaffiliated open-end mutual fund's NAV is unavailable, shares of that fund may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and is categorized as Level 2 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of November 30, 2023 is included at the end of the Fund's Schedule of Investments.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Income and capital gain distributions from any underlying mutual funds or exchange-traded funds (ETFs) are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan) for certain Funds, certain independent Trustees have elected to defer receipt of a portion of their annual compensation. Deferred amounts are invested in affiliated mutual funds, are marked-to-market and remain in a fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees presented below are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, as applicable.
| Strategic Advisers Tax-Sensitive Short Duration Fund | $4,672 |
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.
Distributions are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to the short-term gain distributions from the underlying mutual funds or exchange-traded funds (ETFs), market discount, capital loss carryforwards and losses deferred due to wash sales.
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
| Gross unrealized appreciation | $4,472,444 |
| Gross unrealized depreciation | (27,526,308) |
| Net unrealized appreciation (depreciation) | $(23,053,864) |
| Tax cost | $4,013,050,673 |
Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of prior fiscal period end and is subject to adjustment.
Short-term | $(4,037,086) |
Long-term | (9,579,198) |
| Total capital loss carryforward | $(13,616,284) |
Delayed Delivery Transactions and When-Issued Securities. During the period, certain Funds transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. Securities purchased on a delayed delivery or when-issued basis are identified as such in the Schedule of Investments. Compensation for interest forgone in the purchase of a delayed delivery or when-issued debt security may be received. With respect to purchase commitments, each applicable Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Payables and receivables associated with the purchases and sales of delayed delivery securities having the same coupon, settlement date and broker are offset. Delayed delivery or when-issued securities that have been purchased from and sold to different brokers are reflected as both payables and receivables in the Statement of Assets and Liabilities under the caption "Delayed delivery", as applicable. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
Restricted Securities (including Private Placements). Funds may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities held at period end is included at the end of the Schedule of Investments, if applicable.
3. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities and in-kind transactions, as applicable, are noted in the table below.
| | Purchases ($) | Sales ($) |
| Strategic Advisers Tax-Sensitive Short Duration Fund | 1,229,381,409 | 1,324,325,711 |
4. Fees and Other Transactions with Affiliates.
Management Fee. Strategic Advisers (the investment adviser) provides the Fund with investment management related services. For these services, the Fund pays a monthly management fee to the investment adviser. The management fee is calculated by adding the annual management fee rate of .25% of the Fund's average net assets throughout the month to the aggregate of the fee rates, payable monthly by the investment adviser, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed .55% of the Fund's average net assets. For the reporting period, the total annualized management fee rate was .31% of the Fund's average net assets.
During the period, the investment adviser waived a portion of its management fee as described in the Expense Reductions note.
Sub-Advisers. FIAM LLC (an affiliate of the investment adviser), T. Rowe Price Associates, Inc. and Allspring Global Investments, LLC each served as a sub-adviser for the Fund during the period. Sub-advisers provide discretionary investment advisory services for their allocated portion of the Fund's assets and are paid as described in the Management Fee note.
Interfund Trades. Funds may purchase from or sell securities to other funds affiliated with each sub-adviser under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. Interfund trades during the period are noted in the table below.
| | Purchases ($) | Sales ($) | Realized Gain (Loss) ($) |
| Strategic Advisers Tax-Sensitive Short Duration Fund | 20,613,964 | 3,184,513 | (7,482) |
5. Investments in Fidelity Central Funds.
Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.
| Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense RatioA |
| Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |
A Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.
6. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below. During the period, there were no borrowings on this line of credit.
| | Amount |
| Strategic Advisers Tax-Sensitive Short Duration Fund | $3,432 |
7. Expense Reductions.
The investment adviser has contractually agreed to waive the Fund's management fee in an amount equal to .25% of the Fund's average net assets until September 30, 2026. During the period, this waiver reduced the Fund's management fee by $5,117,682.
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 $17,667.
8. Other.
A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.
Funds do not invest in underlying mutual funds for the purpose of exercising management or control; however, investments by funds within their principal investment strategies may represent a significant portion of the underlying mutual fund's net assets. At the end of the period, certain Funds were the owners of record of 10% or more of the total outstanding shares of the following underlying mutual funds as shown below.
| Fund | Strategic Advisers Tax-Sensitive Short Duration Fund |
| Fidelity SAI Municipal Money Market Fund | 100% |
9. Risk and Uncertainties.
Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as pandemics, epidemics, outbreaks of infectious diseases, war, terrorism, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer. Significant concentrations in security types, issuers, industries, sectors, and geographic locations may magnify the factors that affect a fund's performance.
As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
| The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (June 1, 2023 to November 30, 2023). |
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| | | | | Annualized Expense Ratio- A | | Beginning Account Value June 1, 2023 | | Ending Account Value November 30, 2023 | | Expenses Paid During Period- C June 1, 2023 to November 30, 2023 |
| | | | | | | | | | |
| Strategic Advisers® Tax-Sensitive Short Duration Fund | | | | .07% | | | | | | |
| Actual | | | | | | $ 1,000 | | $ 1,020.60 | | $ .35 |
Hypothetical-B | | | | | | $ 1,000 | | $ 1,024.65 | | $ .35 |
| |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B 5% return per year before expenses
C Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/ 366 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.
Board Approval of Amended Sub-Advisory Agreement
Strategic Advisers Tax-Sensitive Short Duration Fund
In June 2023, the Board of Trustees, including the Independent Trustees (together, the Board) voted to approve amendments to the fee schedules for two investment mandates in the existing sub-advisory agreement among Strategic Advisers, FIAM LLC (the Sub-Adviser), and Fidelity Rutland Square Trust II (Trust) on behalf of the fund (Amended Sub-Advisory Agreement). The Board noted that the updated fee schedule in the Amended Sub-Advisory Agreement became effective as of April 1, 2023 and will result in the same or lower fees at all asset levels. The Board also noted that no other material contract terms are impacted by the Amended Sub-Advisory Agreement. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, considered a broad range of information.
In considering whether to approve the Amended Sub-Advisory Agreement, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the approval of the Amended Sub-Advisory Agreement is in the best interests of the fund and its shareholders and that the approval of such agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. The Board's decision to approve the Amended Sub-Advisory Agreement was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board. In addition, individual Trustees did not necessarily attribute the same weight or importance to each factor.
Nature, Extent, and Quality of Services Provided. The Board considered the backgrounds of the investment personnel that provide services to the fund, the fund's investment objective, strategies and related investment philosophy, the current sub-adviser line-up, and the structure of the investment personnel compensation programs and whether such structure provides appropriate incentives to act in the best interests of the fund in connection with its annual renewal of the fund's management contract, sub-advisory agreements and sub-subadvisory agreements at its September 2022 meeting. The Board considered the detailed information provided by Strategic Advisers and the Sub-Adviser with respect to the fund and the other funds it sub-advises in the June 2023 annual contract renewal materials.
The Board noted that it had approved the existing sub-advisory agreement with the Sub-Adviser at its September 2022 meeting and that the Amended Sub-Advisory Agreement will not result in any changes to: (i) the nature, extent and quality of the sub-advisory services provided; (ii) the investment process or strategies employed in the management of the fund's assets; or (iii) the day-to-day management of the fund or the persons primarily responsible for such management.
Investment Performance. The Board did not consider performance to be a material factor in its decision to approve the Amended Sub-Advisory Agreement because the approval of the Amended Sub-Advisory Agreement will not result in any changes (i) to the fund's investment processes or strategies; or (ii) in the persons primarily responsible for the day-to-day management of the fund.
Based on its review, the Board concluded that the nature, extent, and quality of services that will be provided to the fund under the Amended Sub-Advisory Agreement should continue to benefit the fund's shareholders.
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 also 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 projected total expenses bear a reasonable relationship to the services that the fund and its shareholders will receive and the other factors considered.
Costs of the Services and Profitability. Because 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 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 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 with respect to the mandates 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 is not expected to bear any additional expenses as a result of the Amended Sub-Advisory Agreement.
Conclusion. Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that 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. 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.
Board Approval of Investment Advisory Contracts and Management Fees
Strategic Advisers Tax-Sensitive Short Duration Fund
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), considers the renewal of the fund's management contract with Strategic Advisers LLC (Strategic Advisers), the sub-advisory agreements with Allspring Global Investments, LLC, FIAM LLC, and T. Rowe Price Associates, Inc. (each a Sub-Adviser and collectively, the Sub-Advisers) (collectively, the Sub-Advisory Agreements), and the sub-sub-advisory agreements with FMR Investment Management (UK) Limited, Fidelity Management & Research (Japan) Limited, and Fidelity Management & Research (Hong Kong) Limited (collectively, the Sub-Sub-Advisory Agreements and, together with the management contract and the Sub-Advisory Agreements, the Advisory Contracts) for the fund. Strategic Advisers and the Sub-Advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.
The Board meets at least four times per year and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The full Board or the Independent Trustees, as appropriate, act on all major matters; however, a portion of the activities of the Board (including certain of those described herein) may be conducted through standing committees that have been established by the Board. The Board, acting directly and through its committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts.
At its September 2023 meeting, the Board, including the Independent Trustees, unanimously determined to renew the fund's Advisory Contracts.
In reaching its determination to renew the fund's Advisory Contracts, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness relative to peer funds of the fund's management fee and total expenses; (iii) the total costs of the services provided by and the profits, if any, realized by Strategic Advisers from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and are realized as the fund grows and whether any economies of scale are appropriately shared with fund shareholders. 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.
The Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts is in the best interests of the fund and its shareholders. In addition, the Board concluded that the renewal of each Sub-Advisory Agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees charged under the Advisory Contracts bear a reasonable relationship to the services rendered.
Nature, Extent, and Quality of Services Provided. The Board considered the staffing within the Investment Advisers, including the backgrounds of the fund's investment personnel and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Strategic Advisers' investment operations and investment groups. The Board considered the structure of each Investment Adviser's investment personnel compensation program and whether such structures provide appropriate incentives to act in the best interests of the fund.
The Trustees also discussed with representatives of Strategic Advisers, at meetings throughout the year, Strategic Advisers' role in, among other things, (i) setting, implementing and monitoring the investment strategies for the funds; (ii) identifying and recommending sub-advisers for the funds; (iii) overseeing compliance with federal securities laws by each sub-adviser with respect to the portion of fund assets allocated to the sub-adviser; (iv) monitoring and overseeing the performance and investment capabilities of each sub-adviser; and (v) recommending the replacement of a sub-adviser as appropriate. The Trustees considered that the Board had received from Strategic Advisers substantial information and periodic reports about Strategic Advisers' sub-adviser oversight and due diligence processes, as well as periodic reports regarding the performance of each sub-adviser.
The Board also considered the nature, extent and quality of services provided by each Sub-Adviser. The Trustees noted that under the Sub-Advisory Agreements subject to oversight by Strategic Advisers, each Sub-Adviser is responsible for, among other things, identifying investments for the portion of fund assets allocated to the Sub-Adviser, if any, and executing portfolio transactions to implement its investment strategy. In addition, the Trustees noted that each Sub-Adviser is responsible for providing such reporting as may be requested from Strategic Advisers to fulfill its oversight responsibilities discussed above.
Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of the Investment Advisers' investment staffs, their use of technology, and the Investment Advisers' approach to managing and compensating investment personnel. The Board noted that the Investment Advisers' analysts have extensive resources, tools, and capabilities that allow them to conduct sophisticated quantitative and/or fundamental analysis. Additionally, in its deliberations, the Board considered the Investment Advisers' trading capabilities and resources and global compliance infrastructure, which are integral parts of the investment management process.
Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of administrative and shareholder services performed by Strategic Advisers and its affiliates under the management contract and under separate agreements covering transfer agency 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. In connection with the renewal of the Advisory Contracts, the Board considered annualized return information for the fund over 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. The Board also considered information about performance attribution. In its discussions with representatives of Strategic Advisers regarding fund performance, the Board gave particular attention to information indicating underperformance of certain funds over different time periods and discussed with Strategic Advisers the reasons for any such underperformance.
In addition to reviewing absolute and relative fund performance, the Independent Trustees periodically consider the appropriateness of fund performance metrics in evaluating the results achieved. The Independent Trustees generally give greater weight to fund performance over longer time periods than over shorter time periods. Depending on the circumstances, the Independent Trustees may be satisfied with the fund's performance notwithstanding that it lags its benchmark index peer group for certain periods.
Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.
Competitiveness of Management Fee and Total Fund Expenses. The Board considered the amount and nature of fees paid to the Investment Advisers. The Board also considered information comparing the management fees and total expenses of the fund to those of other registered investment companies with investment objectives similar to those of the fund, as discussed below. The Board also noted Strategic Advisers' proposal to extend the management fee waiver and considered the fund's contractual maximum aggregate annual management fee rate. In considering the fund's management fee and management fee waiver and comparisons to other registered investment companies with investment objectives similar to those of the fund, the Board noted that shares of the fund are offered only to clients that participate in the Fidelity Portfolio Advisory Service managed account program. In its review of the fund's total expenses, the Board considered the fund's management fee rate as well as other fund expenses, as applicable, such as expenses from holding Fidelity and non-Fidelity mutual funds and ETFs, pricing and bookkeeping fees, and custodial, legal, and audit fees.
Comparisons of Management Fees and Total Expense Ratios. Among other things, the Board reviewed data for selected groups of competitive funds and classes (referred to as "mapped groups") that were compiled by Fidelity based on combining similar investment objective categories (as classified by Lipper) that have comparable investment mandates. The data reviewed by the Board included (i) gross management fee comparisons (before taking into account expense reimbursements or caps) relative to the total universe of funds within the mapped group; (ii) gross management fee comparisons relative to a subset of non-Strategic Advisers funds in the mapped group that are similar in size and management fee structure to the fund (referred to as the "asset size peer group"); and (iii) total expense comparisons of the fund relative to funds and classes in the mapped group that have a similar sales load structure to the fund (referred to as the "similar sales load structure group").
The information provided to the Board indicated that the fund's management fee rate ranked below the competitive median of the mapped group for the 12-month period ended December 31, 2022 and below the competitive median of the asset size peer group for the 12-month period ended December 31, 2022. Further, the information provided to the Board indicated that the total expense ratio of the fund ranked below the competitive median of the similar sales load structure group for the 12-month period ended December 31, 2022.
Fees Charged to Other Clients. The Board also considered fee structures paid by the Investment Advisers' other clients, such as other funds advised or subadvised by the Investment Advisers, pension plan clients, and other institutional clients with similar investment mandates.
Based on its review, the Board concluded that the fund's management fee bears a reasonable relationship to the services rendered. Further, based on its review of the total expense ratios and fees charged to other clients of Strategic Advisers or its affiliates and each Sub-Adviser, the Board concluded that the total expenses of the fund were reasonable in light of the services that the fund and its shareholders receive and the other factors considered.
Costs of the Services and Profitability. The Board considered information regarding the revenues earned and the expenses incurred by Strategic Advisers and its affiliates in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and servicing the fund's shareholders.
On an annual basis, Strategic Advisers presents to the Board information about the profitability of its relationships with the fund. Strategic Advisers calculates profitability information for the fund using a series of detailed revenue and cost allocation methodologies. The Board reviews any significant changes from the prior year's methodologies. Strategic Advisers noted that, to the extent possible, it employs the same corporate reporting of revenues and expenses as those used by other Fidelity funds.
A public accounting firm has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. The engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's fund business, and completion of agreed-upon procedures in respect of the mathematical accuracy of certain fund profitability information and its conformity to established allocation methodologies. After considering the reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.
The Board also reviewed Fidelity's non-fund businesses and potential indirect benefits such businesses may have received as a result of their association with Fidelity's fund business (i.e., fall-out benefits) as well as cases where Fidelity's affiliates may benefit from the fund's business. The Board noted that changes to fall-out benefits year-over-year reflect business developments at Fidelity's various businesses.
The Board considered the costs of the services provided by and the profits realized, if any, by Strategic Advisers and its affiliates in connection with the operation of the fund and was satisfied that the profitability was not excessive.
The Board also considered information regarding the profitability of the Sub-Advisers' respective relationships with the fund and the potential fall-out benefits, if any, that may accrue to the Sub-Advisers as a result of their respective relationships with the fund. The Board noted the difficulty in evaluating a Sub-Adviser's costs and the profitability of a Sub-Advisory Agreement to a Sub-Adviser because of, among other things, differences in the type and content of information provided by each Sub-Adviser due to differences in business models, cost accounting methods, and profitability calculation methodologies among the Sub-Advisers. Accordingly, the Board considered profitability information provided by the Sub-Advisers in light of the nature of the relationships between Strategic Advisers and the Sub-Advisers with respect to the negotiation of sub-advisory fees.
Possible Economies of Scale. The Board considered whether there have been economies of scale in respect of the management of the Strategic Advisers funds, whether the Strategic Advisers funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale as assets grow through increased services to the fund, through waivers or reimbursements, or through fee or expense ratio reductions. The Board considered that the fund's Sub-Advisory Agreements provide for breakpoints as the fund's assets grow and noted that any potential decline in sub-advisory fees under such contracts would accrue directly to the fund. The Board also took Strategic Advisers' management fee waiver into consideration.
Conclusion. Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee arrangements bear a reasonable relationship to the services rendered and that the fund's Advisory Contracts should be renewed because each agreement is in the best interests of the fund and its shareholders. In addition, the Board concluded that the renewal of each Sub-Advisory Agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.
1.9885905.105
TSS-SANN-0124
Strategic Advisers® Fidelity® U.S. Total Stock Fund
Offered exclusively to certain managed account clients of Strategic Advisers LLC or its affiliates - not available for sale to the general public
Semi-Annual Report
November 30, 2023
Contents
To view a fund's proxy voting guidelines and 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. © 2024 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.
The information in the following tables is based on the direct Investments of the Fund.
Top Holdings (% of Fund's net assets) |
| (excluding cash equivalents) |
| Fidelity SAI U.S. Quality Index Fund | 12.4 | |
| Fidelity Growth Company Fund | 10.9 | |
| Fidelity Contrafund | 6.7 | |
| Fidelity Magellan Fund | 6.6 | |
| Fidelity SAI U.S. Low Volatility Index Fund | 4.3 | |
| Microsoft Corp. | 2.3 | |
| Fidelity Blue Chip Growth Fund | 2.2 | |
| Fidelity Extended Market Index Fund | 1.9 | |
| Apple, Inc. | 1.4 | |
| Fidelity Small Cap Index Fund | 1.4 | |
| | 50.1 | |
| |
Asset Allocation (% of Fund's net assets) |
|
Futures - 0.5% |
|
Asset Allocation of funds in the pie chart reflect the categorizations of the asset as defined by Morningstar as of the reporting date.
Showing Percentage of Net Assets
| Common Stocks - 47.7% |
| | | Shares | Value ($) |
| COMMUNICATION SERVICES - 3.3% | | | |
| Diversified Telecommunication Services - 0.2% | | | |
| AT&T, Inc. | | 7,614,711 | 126,175,761 |
| Cellnex Telecom SA (a) | | 535,500 | 20,444,608 |
| Cogent Communications Group, Inc. | | 58,730 | 3,750,498 |
| EchoStar Holding Corp. Class A (b) | | 25,621 | 268,252 |
| GCI Liberty, Inc. Class A (c) | | 206,400 | 2 |
| Liberty Global Ltd. Class C (d) | | 340,800 | 5,739,072 |
| Lumen Technologies, Inc. (b) | | 160,000 | 209,600 |
| Verizon Communications, Inc. | | 795,703 | 30,499,296 |
| | | | 187,087,089 |
| Entertainment - 0.6% | | | |
| Electronic Arts, Inc. | | 213,143 | 29,415,865 |
| IMAX Corp. (b) | | 669,850 | 10,684,108 |
| International Games Systems Co. Ltd. | | 229,000 | 4,857,753 |
| Liberty Media Corp. Liberty Formula One: | | | |
| Class A | | 6,500 | 372,645 |
| Class C | | 98,700 | 6,283,242 |
| Liberty Media Corp. Liberty Live Series A | | 18,400 | 606,280 |
| Netflix, Inc. (b) | | 237,600 | 112,615,272 |
| Playtika Holding Corp. (b) | | 61,900 | 537,911 |
| Roku, Inc. Class A (b) | | 257,900 | 26,873,180 |
| Sea Ltd. ADR (b) | | 629,800 | 22,811,356 |
| Spotify Technology SA (b) | | 60,700 | 11,236,177 |
| Take-Two Interactive Software, Inc. (b) | | 50,698 | 8,020,424 |
| The Walt Disney Co. | | 2,115,580 | 196,093,110 |
| TKO Group Holdings, Inc. | | 273,000 | 21,111,090 |
| Universal Music Group NV | | 1,577,883 | 41,689,272 |
| Warner Bros Discovery, Inc. (b) | | 548,793 | 5,734,887 |
| | | | 498,942,572 |
| Interactive Media & Services - 1.8% | | | |
| Alphabet, Inc.: | | | |
| Class A (b) | | 4,345,540 | 575,914,416 |
| Class C (b) | | 1,924,964 | 257,791,179 |
| Cars.com, Inc. (b) | | 393,600 | 7,328,832 |
| IAC, Inc. (b) | | 274,210 | 13,115,464 |
| Match Group, Inc. (b) | | 904,654 | 29,292,697 |
| Meta Platforms, Inc. Class A (b) | | 1,684,600 | 551,116,890 |
| Pinterest, Inc. Class A (b) | | 329,400 | 11,222,658 |
| QuinStreet, Inc. (b) | | 304,720 | 3,805,953 |
| Snap, Inc. Class A (b) | | 4,313,800 | 59,659,854 |
| Ziff Davis, Inc. (b) | | 126,438 | 8,069,273 |
| ZIGExN Co. Ltd. | | 545,800 | 1,980,577 |
| Zoominfo Technologies, Inc. (b) | | 370,700 | 5,326,959 |
| | | | 1,524,624,752 |
| Media - 0.7% | | | |
| Altice U.S.A., Inc. Class A (b) | | 521,700 | 1,199,910 |
| Charter Communications, Inc. Class A (b) | | 69,300 | 27,729,009 |
| Comcast Corp. Class A | | 11,301,355 | 473,413,761 |
| Interpublic Group of Companies, Inc. | | 946,625 | 29,099,253 |
| Liberty Broadband Corp.: | | | |
| Class A (b) | | 475,625 | 39,448,338 |
| Class C (b) | | 162,100 | 13,473,752 |
| Liberty Media Corp. Liberty SiriusXM (b) | | 204,400 | 5,516,756 |
| Liberty Media Corp. Liberty SiriusXM Class A | | 30,400 | 818,976 |
| Nexstar Broadcasting Group, Inc. Class A | | 25,100 | 3,562,443 |
| Pico Far East Holdings Ltd. | | 1,000,000 | 179,228 |
| TechTarget, Inc. (b) | | 46,620 | 1,379,952 |
| TEGNA, Inc. | | 339,288 | 5,201,285 |
| Thryv Holdings, Inc. (b) | | 324,432 | 5,771,645 |
| | | | 606,794,308 |
| Wireless Telecommunication Services - 0.0% | | | |
| Gogo, Inc. (b) | | 246,590 | 2,473,298 |
| T-Mobile U.S., Inc. | | 184,671 | 27,783,752 |
| | | | 30,257,050 |
TOTAL COMMUNICATION SERVICES | | | 2,847,705,771 |
| CONSUMER DISCRETIONARY - 3.8% | | | |
| Automobile Components - 0.2% | | | |
| Adient PLC (b) | | 1,427,504 | 45,965,629 |
| Akwel | | 5,700 | 96,169 |
| Aptiv PLC (b) | | 135,700 | 11,241,388 |
| Autoliv, Inc. | | 16,116 | 1,669,940 |
| BorgWarner, Inc. | | 336,103 | 11,323,310 |
| Brembo SpA | | 212,700 | 2,498,143 |
| CIE Automotive SA | | 186,000 | 5,227,543 |
| Compagnie Plastic Omnium SA | | 103,600 | 1,285,562 |
| DaikyoNishikawa Corp. | | 604,000 | 3,136,922 |
| Fox Factory Holding Corp. (b) | | 49,590 | 3,099,871 |
| Gentex Corp. | | 185,746 | 5,648,536 |
| LCI Industries (d) | | 72,260 | 7,840,933 |
| Lear Corp. | | 278,836 | 37,294,315 |
| Patrick Industries, Inc. (d) | | 213,580 | 17,522,103 |
| | | | 153,850,364 |
| Automobiles - 0.3% | | | |
| Ferrari NV | | 41,900 | 15,040,424 |
| Ford Motor Co. | | 1,502,293 | 15,413,526 |
| General Motors Co. (e) | | 153,246 | 4,842,574 |
| Harley-Davidson, Inc. | | 255,600 | 7,665,444 |
| Tesla, Inc. (b) | | 955,400 | 229,372,432 |
| | | | 272,334,400 |
| Broadline Retail - 0.9% | | | |
| Amazon.com, Inc. (b) | | 4,648,778 | 679,139,978 |
| ASKUL Corp. | | 332,500 | 4,841,950 |
| B&M European Value Retail SA | | 852,000 | 6,169,684 |
| Big Lots, Inc. (d) | | 213,533 | 1,125,319 |
| Dillard's, Inc. Class A (d) | | 2,689 | 933,325 |
| eBay, Inc. | | 1,068,263 | 43,809,466 |
| Europris ASA (a) | | 960,181 | 6,353,907 |
| Kohl's Corp. (d) | | 94,300 | 2,211,335 |
| Macy's, Inc. (d) | | 308,400 | 4,891,224 |
| Max Stock Ltd. | | 99,100 | 187,269 |
| Next PLC | | 69,800 | 6,987,837 |
| | | | 756,651,294 |
| Distributors - 0.0% | | | |
| Arata Corp. | | 71,900 | 3,030,993 |
| Genuine Parts Co. | | 162,389 | 21,562,011 |
| | | | 24,593,004 |
| Diversified Consumer Services - 0.2% | | | |
| Adtalem Global Education, Inc. (b) | | 52,744 | 3,004,826 |
| European Wax Center, Inc. (b)(d) | | 239,140 | 3,414,919 |
| Frontdoor, Inc. (b) | | 64,955 | 2,229,905 |
| Grand Canyon Education, Inc. (b) | | 35,470 | 4,849,458 |
| H&R Block, Inc. (d) | | 3,068,200 | 139,357,644 |
| Laureate Education, Inc. Class A | | 2,698,245 | 35,427,957 |
| OneSpaWorld Holdings Ltd. (b) | | 371,090 | 4,471,635 |
| Perdoceo Education Corp. | | 53,630 | 934,235 |
| Service Corp. International | | 120,149 | 7,361,529 |
| WW International, Inc. (b)(d) | | 42,051 | 303,188 |
| | | | 201,355,296 |
| Hotels, Restaurants & Leisure - 0.8% | | | |
| Airbnb, Inc. Class A (b) | | 19,500 | 2,463,630 |
| Amadeus IT Holding SA Class A | | 253,100 | 17,306,869 |
| ARAMARK Holdings Corp. | | 875,280 | 24,516,593 |
| Booking Holdings, Inc. (b) | | 47,567 | 148,680,172 |
| Bowlero Corp. Class A (b)(d) | | 235,190 | 2,417,753 |
| Brinker International, Inc. (b) | | 281,305 | 10,129,793 |
| Caesars Entertainment, Inc. (b) | | 401,700 | 17,964,024 |
| Churchill Downs, Inc. | | 449,500 | 52,038,615 |
| Domino's Pizza, Inc. | | 139,817 | 54,932,701 |
| Draftkings Holdings, Inc. (b) | | 26,646 | 1,018,943 |
| El Pollo Loco Holdings, Inc. | | 156,850 | 1,303,424 |
| Everi Holdings, Inc. (b) | | 218,976 | 2,288,299 |
| Expedia, Inc. (b) | | 133,966 | 18,243,490 |
| Flutter Entertainment PLC (b) | | 17,700 | 2,764,122 |
| International Game Technology PLC (d) | | 34,400 | 919,512 |
| Light & Wonder, Inc. Class A (b) | | 17,687 | 1,563,885 |
| Marriott International, Inc. Class A | | 371,000 | 75,201,700 |
| Marriott Vacations Worldwide Corp. | | 12,800 | 933,120 |
| McDonald's Corp. | | 291,583 | 82,179,753 |
| MGM Resorts International | | 327,196 | 12,904,610 |
| NeoGames SA (b) | | 51,950 | 1,448,366 |
| Noodles & Co. (b) | | 343,750 | 1,051,875 |
| Penn Entertainment, Inc. (b) | | 721,822 | 17,727,948 |
| Planet Fitness, Inc. (b) | | 282,300 | 19,179,462 |
| Red Rock Resorts, Inc. | | 155,394 | 6,919,695 |
| Starbucks Corp. | | 263,671 | 26,182,530 |
| Wendy's Co. (d) | | 254,400 | 4,770,000 |
| Wyndham Hotels & Resorts, Inc. | | 437,148 | 33,809,026 |
| Yum! Brands, Inc. | | 377,800 | 47,432,790 |
| | | | 688,292,700 |
| Household Durables - 0.3% | | | |
| Barratt Developments PLC | | 743,559 | 4,823,072 |
| Cavco Industries, Inc. (b) | | 12,636 | 3,573,208 |
| Cuckoo Holdings Co. Ltd. | | 40,045 | 501,544 |
| D.R. Horton, Inc. | | 216,944 | 27,697,240 |
| Ethan Allen Interiors, Inc. | | 14,519 | 389,690 |
| FJ Next Co. Ltd. | | 112,000 | 865,722 |
| Helen of Troy Ltd. (b)(d) | | 232,440 | 24,413,173 |
| Installed Building Products, Inc. | | 18,513 | 2,786,392 |
| Lennar Corp. Class A | | 117,765 | 15,064,499 |
| LGI Homes, Inc. (b)(d) | | 50,560 | 5,969,619 |
| Meritage Homes Corp. | | 29,221 | 4,128,927 |
| Mohawk Industries, Inc. (b) | | 310,481 | 27,418,577 |
| Pressance Corp. | | 277,900 | 2,819,112 |
| PulteGroup, Inc. | | 445,700 | 39,408,794 |
| SharkNinja Hong Kong Co. Ltd. | | 10,500 | 493,500 |
| Skyline Champion Corp. (b) | | 42,167 | 2,538,032 |
| Sony Group Corp. sponsored ADR | | 93,000 | 7,993,350 |
| Taylor Morrison Home Corp. (b) | | 86,723 | 3,911,207 |
| Tempur Sealy International, Inc. | | 236,100 | 9,519,552 |
| Toll Brothers, Inc. | | 348,353 | 29,920,039 |
| TopBuild Corp. (b) | | 119,037 | 35,208,764 |
| TRI Pointe Homes, Inc. (b) | | 79,557 | 2,321,473 |
| Vistry Group PLC | | 726,963 | 6,828,093 |
| Whirlpool Corp. (d) | | 57,559 | 6,268,175 |
| | | | 264,861,754 |
| Leisure Products - 0.0% | | | |
| Brunswick Corp. (d) | | 283,840 | 22,386,461 |
| Malibu Boats, Inc. Class A (b) | | 16,392 | 725,182 |
| MasterCraft Boat Holdings, Inc. (b) | | 13,904 | 278,080 |
| Peloton Interactive, Inc. Class A (b)(d) | | 86,600 | 490,156 |
| Sturm, Ruger & Co., Inc. | | 13,174 | 579,129 |
| | | | 24,459,008 |
| Specialty Retail - 0.8% | | | |
| Academy Sports & Outdoors, Inc. | | 334,443 | 17,013,115 |
| Advance Auto Parts, Inc. (d) | | 17,317 | 879,530 |
| America's Car Mart, Inc. (b)(d) | | 69,010 | 5,511,829 |
| American Eagle Outfitters, Inc. | | 397,580 | 7,565,947 |
| Arcland Sakamoto Co. Ltd. | | 286,200 | 3,181,287 |
| AutoNation, Inc. (b) | | 47,100 | 6,371,217 |
| AutoZone, Inc. (b) | | 3,900 | 10,178,727 |
| Burlington Stores, Inc. (b) | | 160,100 | 27,151,359 |
| Camping World Holdings, Inc. (d) | | 114,000 | 2,409,960 |
| Dick's Sporting Goods, Inc. | | 178,200 | 23,183,820 |
| Five Below, Inc. (b) | | 65,700 | 12,381,822 |
| Foot Locker, Inc. | | 326,906 | 8,803,579 |
| Gap, Inc. | | 93,447 | 1,875,481 |
| Haverty Furniture Companies, Inc. | | 9,572 | 299,986 |
| JD Sports Fashion PLC | | 4,018,994 | 7,968,370 |
| Jumbo SA | | 172,500 | 4,513,901 |
| Lithia Motors, Inc. Class A (sub. vtg.) | | 9,710 | 2,592,473 |
| Lowe's Companies, Inc. | | 773,508 | 153,796,596 |
| Maisons du Monde SA (a)(d) | | 415,000 | 2,113,181 |
| Monro, Inc. (d) | | 24,952 | 721,612 |
| Murphy U.S.A., Inc. | | 74,847 | 27,659,709 |
| Petco Health & Wellness Co., Inc. (b)(d) | | 342,500 | 1,034,350 |
| Pets At Home Group PLC | | 1,172,500 | 4,739,673 |
| RH (b) | | 25,200 | 6,803,244 |
| Ross Stores, Inc. | | 573,800 | 74,812,044 |
| Sally Beauty Holdings, Inc. (b) | | 368,000 | 3,558,560 |
| Sportsman's Warehouse Holdings, Inc. (b) | | 212,300 | 1,025,409 |
| The Buckle, Inc. | | 23,113 | 891,237 |
| The Home Depot, Inc. | | 219,100 | 68,685,659 |
| The Hour Glass Ltd. | | 1,645,500 | 1,869,747 |
| TJX Companies, Inc. | | 1,352,400 | 119,159,964 |
| Upbound Group, Inc. | | 137,138 | 3,990,716 |
| Valvoline, Inc. | | 823,847 | 28,208,521 |
| Victoria's Secret & Co. (b) | | 48,285 | 1,301,281 |
| WH Smith PLC | | 277,100 | 4,432,281 |
| Williams-Sonoma, Inc. (d) | | 95,089 | 17,832,991 |
| | | | 664,519,178 |
| Textiles, Apparel & Luxury Goods - 0.3% | | | |
| Compagnie Financiere Richemont SA Series A | | 13,370 | 1,672,185 |
| Crocs, Inc. (b) | | 196,680 | 20,771,375 |
| Deckers Outdoor Corp. (b) | | 25,332 | 16,819,688 |
| Kontoor Brands, Inc. (d) | | 242,176 | 13,312,415 |
| Levi Strauss & Co. Class A (d) | | 357,500 | 5,537,675 |
| NIKE, Inc. Class B | | 649,900 | 71,664,473 |
| PVH Corp. | | 661,100 | 64,642,358 |
| Rocky Brands, Inc. (d) | | 250,347 | 7,227,518 |
| Skechers U.S.A., Inc. Class A (sub. vtg.) (b) | | 161,300 | 9,502,183 |
| Tapestry, Inc. | | 1,063,200 | 33,671,544 |
| Under Armour, Inc.: | | | |
| Class A (sub. vtg.) (b) | | 201,000 | 1,636,140 |
| Class C (non-vtg.) (b) | | 116,900 | 895,454 |
| Wolverine World Wide, Inc. | | 821,360 | 7,039,055 |
| | | | 254,392,063 |
TOTAL CONSUMER DISCRETIONARY | | | 3,305,309,061 |
| CONSUMER STAPLES - 3.6% | | | |
| Beverages - 0.8% | | | |
| Celsius Holdings, Inc. (b)(d) | | 132,600 | 6,565,026 |
| Coca-Cola Bottling Co. Consolidated | | 20,248 | 14,872,561 |
| Coca-Cola European Partners PLC | | 959,900 | 58,208,336 |
| Constellation Brands, Inc. Class A (sub. vtg.) | | 344,200 | 82,776,658 |
| Diageo PLC | | 100,400 | 3,514,136 |
| Diageo PLC sponsored ADR | | 210,505 | 29,590,688 |
| Duckhorn Portfolio, Inc. (b) | | 33,883 | 347,978 |
| Keurig Dr. Pepper, Inc. | | 2,958,310 | 93,393,847 |
| Molson Coors Beverage Co. Class B | | 183,139 | 11,270,374 |
| Monster Beverage Corp. | | 1,214,400 | 66,974,160 |
| National Beverage Corp. (b)(d) | | 18,550 | 881,867 |
| PepsiCo, Inc. | | 11,800 | 1,985,822 |
| Primo Water Corp. | | 228,350 | 3,281,390 |
| The Coca-Cola Co. | | 4,931,569 | 288,200,892 |
| | | | 661,863,735 |
| Consumer Staples Distribution & Retail - 0.8% | | | |
| Acomo NV | | 107,400 | 1,980,369 |
| Alimentation Couche-Tard, Inc. Class A (multi-vtg.) | | 431,100 | 24,589,808 |
| Belc Co. Ltd. | | 10,400 | 446,837 |
| BJ's Wholesale Club Holdings, Inc. (b) | | 958,821 | 61,920,660 |
| Casey's General Stores, Inc. | | 14,248 | 3,923,899 |
| Costco Wholesale Corp. | | 88,792 | 52,630,570 |
| Dollar General Corp. | | 69,600 | 9,125,952 |
| G-7 Holdings, Inc. | | 366,200 | 2,971,392 |
| Grocery Outlet Holding Corp. (b) | | 10,700 | 301,847 |
| Ingles Markets, Inc. Class A | | 11,252 | 918,388 |
| Kroger Co. | | 16,100 | 712,747 |
| MARR SpA | | 372,800 | 4,382,562 |
| Performance Food Group Co. (b)(d) | | 870,769 | 56,643,523 |
| PriceSmart, Inc. | | 19,958 | 1,344,970 |
| Sprouts Farmers Market LLC (b) | | 1,080,748 | 46,558,624 |
| Sysco Corp. | | 866,046 | 62,502,540 |
| Target Corp. | | 214,100 | 28,648,721 |
| U.S. Foods Holding Corp. (b) | | 2,962,905 | 129,864,126 |
| Walmart, Inc. | | 1,568,043 | 244,128,615 |
| Weis Markets, Inc. | | 13,041 | 787,024 |
| YAKUODO Holdings Co. Ltd. | | 40,300 | 736,903 |
| | | | 735,120,077 |
| Food Products - 0.6% | | | |
| Archer Daniels Midland Co. | | 236,896 | 17,466,342 |
| Armanino Foods of Distinction | | 558,700 | 2,581,194 |
| Bunge Global SA | | 431,500 | 47,408,905 |
| Cal-Maine Foods, Inc. | | 5,600 | 268,352 |
| Flowers Foods, Inc. | | 140,605 | 2,925,990 |
| Freshpet, Inc. (b)(d) | | 88,300 | 6,264,885 |
| Ingredion, Inc. | | 61,728 | 6,326,503 |
| John B. Sanfilippo & Son, Inc. | | 7,120 | 655,325 |
| Lamb Weston Holdings, Inc. | | 345,700 | 34,580,371 |
| Lancaster Colony Corp. | | 15,750 | 2,612,925 |
| LDC SA | | 10,059 | 1,532,891 |
| Mondelez International, Inc. | | 3,407,100 | 242,108,526 |
| Nomad Foods Ltd. (b) | | 360,130 | 5,816,100 |
| Pickles Holdings Co. Ltd. | | 100,000 | 814,110 |
| Post Holdings, Inc. (b)(d) | | 12,000 | 1,025,160 |
| S Foods, Inc. | | 205,800 | 4,448,867 |
| SunOpta, Inc. (b)(d) | | 1,257,095 | 6,210,049 |
| The J.M. Smucker Co. | | 57,575 | 6,317,705 |
| The Kraft Heinz Co. | | 757,947 | 26,611,519 |
| The Simply Good Foods Co. (b) | | 810,280 | 31,390,247 |
| Tootsie Roll Industries, Inc. | | 13,618 | 450,620 |
| TreeHouse Foods, Inc. (b) | | 103,170 | 4,200,051 |
| Tyson Foods, Inc. Class A | | 944,400 | 44,235,696 |
| | | | 496,252,333 |
| Household Products - 0.7% | | | |
| Central Garden & Pet Co. Class A (non-vtg.) (b) | | 17,640 | 639,979 |
| Colgate-Palmolive Co. | | 1,189,100 | 93,665,407 |
| Energizer Holdings, Inc. | | 144,400 | 4,453,296 |
| Kimberly-Clark Corp. | | 73,500 | 9,094,155 |
| Procter & Gamble Co. | | 2,783,065 | 427,256,139 |
| Reckitt Benckiser Group PLC | | 703,300 | 48,012,145 |
| Spectrum Brands Holdings, Inc. (d) | | 97,040 | 6,727,783 |
| The Clorox Co. | | 276,200 | 39,593,270 |
| Transaction Co. Ltd. | | 49,100 | 699,442 |
| WD-40 Co. (d) | | 10,788 | 2,609,401 |
| | | | 632,751,017 |
| Personal Care Products - 0.6% | | | |
| BellRing Brands, Inc. (b) | | 756,030 | 39,993,987 |
| Coty, Inc. Class A (b) | | 567,800 | 6,472,920 |
| elf Beauty, Inc. (b) | | 40,241 | 4,752,060 |
| Estee Lauder Companies, Inc. Class A | | 603,500 | 77,060,915 |
| Haleon PLC | | 12,757,300 | 53,447,599 |
| Haleon PLC ADR (d) | | 6,302,659 | 53,950,761 |
| Hengan International Group Co. Ltd. | | 403,500 | 1,472,194 |
| Herbalife Ltd. (b) | | 76,549 | 985,951 |
| Kenvue, Inc. | | 9,747,435 | 199,237,571 |
| MediFast, Inc. | | 8,653 | 574,386 |
| Nu Skin Enterprises, Inc. Class A | | 36,710 | 624,804 |
| Unilever PLC sponsored ADR | | 848,300 | 40,463,910 |
| USANA Health Sciences, Inc. (b) | | 8,896 | 420,425 |
| | | | 479,457,483 |
| Tobacco - 0.1% | | | |
| Altria Group, Inc. | | 1,371,726 | 57,667,361 |
| KT&G Corp. | | 40,099 | 2,720,877 |
| Philip Morris International, Inc. | | 356,133 | 33,248,577 |
| Vector Group Ltd. | | 98,111 | 1,050,769 |
| | | | 94,687,584 |
TOTAL CONSUMER STAPLES | | | 3,100,132,229 |
| ENERGY - 3.3% | | | |
| Energy Equipment & Services - 0.2% | | | |
| Baker Hughes Co. Class A | | 328,585 | 11,089,744 |
| Cactus, Inc. | | 156,930 | 6,667,956 |
| Expro Group Holdings NV (b) | | 1,686,600 | 26,226,630 |
| Liberty Oilfield Services, Inc. Class A | | 270,650 | 5,372,403 |
| Oceaneering International, Inc. (b) | | 417,466 | 8,624,848 |
| Patterson-UTI Energy, Inc. | | 263,563 | 3,086,323 |
| Schlumberger Ltd. | | 807,221 | 42,007,781 |
| TechnipFMC PLC (d) | | 973,784 | 20,176,804 |
| Valaris Ltd. (b) | | 262,860 | 18,032,196 |
| Weatherford International PLC (b) | | 503,506 | 45,662,959 |
| | | | 186,947,644 |
| Oil, Gas & Consumable Fuels - 3.1% | | | |
| Africa Oil Corp. (d) | | 7,924,100 | 14,774,290 |
| Antero Resources Corp. (b) | | 2,398,520 | 56,677,028 |
| Ardmore Shipping Corp. (d) | | 29,458 | 400,629 |
| Athabasca Oil Corp. (b) | | 5,281,000 | 15,100,247 |
| California Resources Corp. (d) | | 35,823 | 1,834,496 |
| Callon Petroleum Co. (b) | | 104,300 | 3,261,461 |
| Canadian Natural Resources Ltd. | | 208,300 | 13,914,440 |
| Cenovus Energy, Inc. (Canada) | | 117,180 | 2,078,575 |
| Chevron Corp. | | 296,697 | 42,605,689 |
| China Petroleum & Chemical Corp. (H Shares) | | 5,840,000 | 3,005,492 |
| Chord Energy Corp. | | 183,260 | 29,713,776 |
| Civitas Resources, Inc. | | 119,865 | 8,233,527 |
| CNX Resources Corp. (b) | | 651,200 | 13,584,032 |
| ConocoPhillips Co. | | 467,154 | 53,988,988 |
| CONSOL Energy, Inc. | | 25,341 | 2,703,124 |
| Crescent Energy, Inc. Class A | | 29,597 | 337,406 |
| Diamondback Energy, Inc. | | 192,100 | 29,662,161 |
| Eco Atlantic Oil & Gas Ltd. (b) | | 4,645,500 | 581,993 |
| Enterprise Products Partners LP | | 166,100 | 4,448,158 |
| EOG Resources, Inc. | | 196,106 | 24,134,765 |
| Equinor ASA sponsored ADR (d) | | 1,774,900 | 56,566,063 |
| Exxon Mobil Corp. | | 11,598,154 | 1,191,594,342 |
| Golar LNG Ltd. | | 137,229 | 2,954,540 |
| Hess Corp. | | 1,316,363 | 185,027,983 |
| HF Sinclair Corp. | | 102,407 | 5,374,319 |
| Imperial Oil Ltd. (d) | | 1,967,100 | 110,825,598 |
| Kosmos Energy Ltd. (b) | | 12,915,641 | 87,697,202 |
| Magnolia Oil & Gas Corp. Class A | | 80,140 | 1,723,010 |
| Marathon Oil Corp. | | 228,500 | 5,810,755 |
| Marathon Petroleum Corp. | | 70,500 | 10,517,895 |
| MEG Energy Corp. (b) | | 3,700,325 | 69,973,352 |
| Murphy Oil Corp. | | 392,900 | 16,804,333 |
| National Energy Services Reunited Corp. (b) | | 318,060 | 1,510,785 |
| New Fortress Energy, Inc. (d) | | 114,200 | 4,394,416 |
| Northern Oil & Gas, Inc. | | 331,250 | 12,395,375 |
| Occidental Petroleum Corp. | | 941,100 | 55,666,065 |
| Oil & Natural Gas Corp. Ltd. | | 1,538,400 | 3,596,789 |
| ONEOK, Inc. | | 134,500 | 9,260,325 |
| Ovintiv, Inc. | | 1,778,470 | 78,857,360 |
| Parex Resources, Inc. (d) | | 3,388,400 | 69,493,476 |
| PBF Energy, Inc. Class A | | 319,293 | 14,176,609 |
| Phillips 66 Co. | | 468,603 | 60,398,241 |
| Pioneer Natural Resources Co. | | 30,400 | 7,041,856 |
| Range Resources Corp. | | 1,071,090 | 34,810,425 |
| Scorpio Tankers, Inc. | | 43,475 | 2,386,343 |
| Shell PLC: | | | |
| ADR | | 2,316,500 | 152,425,700 |
| (London) | | 63,000 | 2,036,466 |
| rights (f) | | 63,000 | 20,853 |
| Sitio Royalties Corp. (d) | | 424,247 | 9,346,161 |
| Southwestern Energy Co. (b) | | 2,132,184 | 14,051,093 |
| Star Petroleum Refining PCL (For. Reg.) | | 2,366,800 | 548,707 |
| Targa Resources Corp. | | 41,562 | 3,759,283 |
| Texas Pacific Land Corp. | | 300 | 501,585 |
| TotalEnergies SE sponsored ADR (d) | | 244,020 | 16,605,561 |
| Unit Corp. | | 3,800 | 201,856 |
| Valero Energy Corp. | | 305,200 | 38,259,872 |
| Vitesse Energy, Inc. (d) | | 21,100 | 498,593 |
| | | | 2,658,153,464 |
TOTAL ENERGY | | | 2,845,101,108 |
| FINANCIALS - 8.2% | | | |
| Banks - 3.5% | | | |
| ACNB Corp. | | 13,600 | 531,488 |
| AIB Group PLC | | 2,090,600 | 9,680,479 |
| Associated Banc-Corp. | | 1,409,615 | 25,006,570 |
| Bancorp, Inc., Delaware (b) | | 1,158,265 | 45,183,918 |
| Bank of America Corp. | | 17,705,692 | 539,846,549 |
| BankUnited, Inc. | | 63,710 | 1,757,759 |
| Bar Harbor Bankshares | | 101,400 | 2,633,358 |
| Bridgewater Bancshares, Inc. (b) | | 168,401 | 1,746,318 |
| Byline Bancorp, Inc. | | 128,060 | 2,559,919 |
| Cadence Bank | | 1,083,310 | 27,136,916 |
| Camden National Corp. (d) | | 106,765 | 3,603,319 |
| Citigroup, Inc. | | 621,503 | 28,651,288 |
| Coastal Financial Corp. of Washington (b) | | 8,657 | 338,229 |
| Columbia Banking Systems, Inc. | | 150,800 | 3,382,444 |
| ConnectOne Bancorp, Inc. | | 89,234 | 1,754,340 |
| Cullen/Frost Bankers, Inc. | | 150,866 | 14,828,619 |
| DNB Bank ASA | | 643,500 | 12,257,483 |
| East West Bancorp, Inc. | | 661,680 | 41,632,906 |
| Eastern Bankshares, Inc. | | 256,980 | 3,073,481 |
| Esquire Financial Holdings, Inc. | | 5,451 | 253,853 |
| Eurobank Ergasias Services and Holdings SA (b) | | 9,184,073 | 16,904,696 |
| Fifth Third Bancorp | | 124,434 | 3,602,364 |
| First Bancorp, Puerto Rico | | 327,600 | 4,914,000 |
| First Citizens Bancshares, Inc. | | 9,444 | 13,862,753 |
| First Foundation, Inc. | | 661,214 | 3,887,938 |
| First Horizon National Corp. | | 81,400 | 1,041,106 |
| First Interstate Bancsystem, Inc. | | 229,440 | 5,940,202 |
| First Northwest Bancorp | | 160,096 | 2,363,017 |
| FNB Corp., Pennsylvania | | 1,715,010 | 20,562,970 |
| Glacier Bancorp, Inc. | | 85,190 | 2,864,940 |
| Greene County Bancorp, Inc. (d) | | 142,684 | 3,581,368 |
| Hancock Whitney Corp. | | 11,800 | 486,750 |
| Hanmi Financial Corp. | | 541,210 | 9,005,734 |
| HDFC Bank Ltd. | | 521,200 | 9,772,402 |
| Independent Bank Corp. | | 134,870 | 2,915,889 |
| Independent Bank Group, Inc. | | 44,984 | 1,739,981 |
| International Bancshares Corp. | | 36,610 | 1,642,691 |
| JPMorgan Chase & Co. | | 4,503,243 | 702,866,167 |
| KBC Group NV | | 72,300 | 4,139,544 |
| KeyCorp | | 6,341,521 | 78,571,445 |
| M&T Bank Corp. | | 634,290 | 81,296,949 |
| New York Community Bancorp, Inc. | | 573,942 | 5,400,794 |
| Nicolet Bankshares, Inc. | | 60,800 | 4,478,528 |
| Orrstown Financial Services, Inc. | | 158,583 | 3,794,891 |
| Pathward Financial, Inc. | | 143,491 | 7,115,719 |
| Pinnacle Financial Partners, Inc. | | 42,620 | 3,092,933 |
| Piraeus Financial Holdings SA (b) | | 3,287,200 | 11,664,662 |
| Plumas Bancorp | | 145,000 | 4,870,550 |
| PNC Financial Services Group, Inc. | | 1,633,992 | 218,889,568 |
| Popular, Inc. | | 22,731 | 1,677,320 |
| Preferred Bank, Los Angeles | | 10,498 | 646,992 |
| QCR Holdings, Inc. | | 148,400 | 7,372,512 |
| Signature Bank | | 30,400 | 1,520 |
| Southern Missouri Bancorp, Inc. | | 88,700 | 3,822,083 |
| Sparebank 1 Oestlandet | | 32,300 | 373,750 |
| Sparebanken Nord-Norge | | 45,200 | 400,619 |
| Synovus Financial Corp. | | 337,850 | 10,402,402 |
| The Bank of NT Butterfield & Son Ltd. | | 49,522 | 1,373,245 |
| Truist Financial Corp. | | 1,807,742 | 58,100,828 |
| U.S. Bancorp | | 3,051,140 | 116,309,457 |
| Union Bankshares, Inc. | | 30,712 | 881,742 |
| United Community Bank, Inc. | | 566,078 | 13,953,823 |
| Univest Corp. of Pennsylvania | | 568,056 | 10,730,578 |
| Washington Trust Bancorp, Inc. | | 108,700 | 2,906,638 |
| Webster Financial Corp. | | 633,631 | 28,418,350 |
| Wells Fargo & Co. | | 17,543,134 | 782,248,345 |
| West Bancorp., Inc. | | 109,200 | 1,933,932 |
| Westamerica Bancorp. | | 21,181 | 1,074,089 |
| Western Alliance Bancorp. | | 134,410 | 6,884,480 |
| Wintrust Financial Corp. | | 180,730 | 15,483,139 |
| | | | 3,062,125,631 |
| Capital Markets - 1.3% | | | |
| Affiliated Managers Group, Inc. | | 371,894 | 50,410,232 |
| Artisan Partners Asset Management, Inc. (d) | | 54,408 | 2,048,461 |
| Banca Generali SpA | | 101,100 | 3,600,749 |
| Bank of New York Mellon Corp. | | 1,262,265 | 60,992,645 |
| BlackRock, Inc. Class A | | 234,399 | 176,087,561 |
| Brookfield Corp. Class A | | 339,710 | 11,981,572 |
| Cboe Global Markets, Inc. | | 144,739 | 26,369,998 |
| Charles Schwab Corp. | | 572,578 | 35,110,483 |
| CME Group, Inc. | | 339,834 | 74,206,152 |
| Cohen & Steers, Inc. (d) | | 19,909 | 1,164,477 |
| Diamond Hill Investment Group, Inc. | | 2,365 | 379,795 |
| Evercore, Inc. Class A | | 27,944 | 4,123,137 |
| Federated Hermes, Inc. | | 567,884 | 18,070,069 |
| Goldman Sachs Group, Inc. | | 104,968 | 35,850,771 |
| Hamilton Lane, Inc. Class A | | 28,833 | 2,821,309 |
| Interactive Brokers Group, Inc. | | 218,912 | 17,040,110 |
| Intercontinental Exchange, Inc. | | 67,100 | 7,638,664 |
| Jefferies Financial Group, Inc. | | 130,300 | 4,617,832 |
| KKR & Co. LP | | 712,907 | 54,066,867 |
| Lazard Ltd. Class A | | 721,915 | 21,643,012 |
| London Stock Exchange Group PLC | | 126,964 | 14,313,085 |
| LPL Financial | | 28,100 | 6,246,630 |
| MarketAxess Holdings, Inc. | | 136,388 | 32,749,487 |
| Moody's Corp. | | 145,800 | 53,211,168 |
| Morgan Stanley | | 1,156,403 | 91,749,014 |
| NASDAQ, Inc. | | 469,721 | 26,229,221 |
| Northern Trust Corp. | | 1,551,366 | 122,945,756 |
| Patria Investments Ltd. (d) | | 294,765 | 4,173,872 |
| Perella Weinberg Partners Class A | | 553,960 | 6,492,411 |
| Piper Jaffray Companies | | 24,170 | 3,739,824 |
| PJT Partners, Inc. | | 72,012 | 6,485,401 |
| Rathbone Brothers PLC | | 223,500 | 4,486,305 |
| Raymond James Financial, Inc. | | 250,959 | 26,388,339 |
| Robinhood Markets, Inc. (b) | | 553,100 | 4,867,280 |
| S&P Global, Inc. | | 17,400 | 7,235,442 |
| SEI Investments Co. | | 80,524 | 4,724,343 |
| State Street Corp. | | 389,757 | 28,382,105 |
| StepStone Group, Inc. Class A | | 275,453 | 7,057,106 |
| Stifel Financial Corp. | | 189,743 | 11,578,118 |
| Tradeweb Markets, Inc. Class A | | 32,400 | 3,139,560 |
| UBS Group AG | | 1,303,808 | 36,832,576 |
| Van Lanschot Kempen NV (Bearer) | | 5,800 | 182,454 |
| Victory Capital Holdings, Inc. | | 21,061 | 677,111 |
| Virtu Financial, Inc. Class A | | 283,383 | 5,095,226 |
| Virtus Investment Partners, Inc. | | 35,630 | 6,969,941 |
| XP, Inc. Class A | | 207,134 | 4,824,151 |
| | | | 1,128,999,822 |
| Consumer Finance - 0.2% | | | |
| Aeon Credit Service (Asia) Co. Ltd. | | 2,930,000 | 2,010,523 |
| American Express Co. | | 7,778 | 1,328,249 |
| Discover Financial Services | | 388,155 | 36,098,415 |
| FirstCash Holdings, Inc. | | 339,688 | 38,045,056 |
| NerdWallet, Inc. (b) | | 528,163 | 6,205,915 |
| OneMain Holdings, Inc. | | 634,691 | 26,847,429 |
| Shriram Transport Finance Co. Ltd. | | 367,146 | 8,837,958 |
| Synchrony Financial | | 651,122 | 21,070,308 |
| | | | 140,443,853 |
| Financial Services - 1.7% | | | |
| Apollo Global Management, Inc. | | 670,043 | 61,643,956 |
| Berkshire Hathaway, Inc.: | | | |
| Class A (b) | | 39 | 21,290,100 |
| Class B (b) | | 1,274,303 | 458,749,080 |
| BFF Bank SpA (a) | | 693,800 | 7,937,166 |
| Block, Inc. Class A (b) | | 996,400 | 63,201,652 |
| Cannae Holdings, Inc. (b) | | 1,072,200 | 19,256,712 |
| Cass Information Systems, Inc. | | 9,066 | 374,879 |
| Corebridge Financial, Inc. | | 51,700 | 1,087,251 |
| Dlocal Ltd. (b) | | 769,800 | 13,279,050 |
| Edenred SA | | 456,759 | 24,859,109 |
| Essent Group Ltd. | | 656,325 | 31,726,751 |
| EVERTEC, Inc. | | 277,163 | 10,246,716 |
| Federal Agricultural Mortgage Corp. Class C (non-vtg.) | | 49,480 | 8,205,763 |
| Fidelity National Information Services, Inc. | | 679,097 | 39,822,248 |
| Fiserv, Inc. (b) | | 347,467 | 45,382,665 |
| FleetCor Technologies, Inc. (b) | | 113,893 | 27,391,267 |
| Flywire Corp. (b) | | 942,950 | 21,970,735 |
| Global Payments, Inc. | | 338,306 | 39,392,351 |
| International Money Express, Inc. (b) | | 25,760 | 537,096 |
| MasterCard, Inc. Class A | | 100,987 | 41,791,450 |
| MGIC Investment Corp. | | 582,000 | 10,237,380 |
| NCR Atleos Corp. | | 4,500 | 99,945 |
| NMI Holdings, Inc. (b) | | 138,410 | 3,806,275 |
| One97 Communications Ltd. (b) | | 2,040,200 | 21,430,138 |
| PayPal Holdings, Inc. (b) | | 282,400 | 16,269,064 |
| Radian Group, Inc. | | 180,800 | 4,648,368 |
| Shift4 Payments, Inc. (b)(d) | | 271,820 | 17,891,192 |
| UWM Holdings Corp. Class A (d) | | 1,302,600 | 7,099,170 |
| Visa, Inc. Class A | | 1,558,836 | 400,122,024 |
| Voya Financial, Inc. | | 268,374 | 19,191,425 |
| Walker & Dunlop, Inc. (d) | | 11,180 | 939,344 |
| WEX, Inc. (b) | | 122,300 | 21,595,734 |
| Worldline SA (a)(b) | | 556,017 | 8,641,435 |
| Zenkoku Hosho Co. Ltd. | | 53,600 | 1,806,551 |
| | | | 1,471,924,042 |
| Insurance - 1.5% | | | |
| American Equity Investment Life Holding Co. | | 50,179 | 2,767,874 |
| American Financial Group, Inc. | | 112,707 | 12,892,554 |
| American International Group, Inc. | | 233,724 | 15,381,376 |
| Arthur J. Gallagher & Co. | | 205,950 | 51,281,550 |
| ASR Nederland NV | | 123,000 | 5,659,340 |
| Assurant, Inc. | | 76,226 | 12,807,493 |
| Axis Capital Holdings Ltd. | | 16,600 | 935,244 |
| Brown & Brown, Inc. | | 300,537 | 22,462,135 |
| BRP Group, Inc. (b) | | 1,434,260 | 25,085,207 |
| Chubb Ltd. | | 1,285,348 | 294,897,392 |
| Cincinnati Financial Corp. | | 74,367 | 7,644,184 |
| Db Insurance Co. Ltd. | | 69,730 | 4,490,057 |
| Direct Line Insurance Group PLC (b) | | 6,237,235 | 14,842,862 |
| Enstar Group Ltd. (b) | | 20,260 | 5,564,206 |
| Erie Indemnity Co. Class A | | 19,824 | 5,860,767 |
| Everest Re Group Ltd. | | 132,310 | 54,319,871 |
| F&G Annuities & Life, Inc. | | 14,700 | 599,907 |
| Fairfax Financial Holdings Ltd. (sub. vtg.) | | 23,358 | 21,470,012 |
| First American Financial Corp. | | 55,900 | 3,331,640 |
| Globe Life, Inc. | | 163,315 | 20,108,976 |
| Goosehead Insurance (b)(d) | | 16,538 | 1,211,905 |
| Hartford Financial Services Group, Inc. | | 610,829 | 47,742,395 |
| Kinsale Capital Group, Inc. | | 17,299 | 6,056,380 |
| Loews Corp. | | 257,517 | 18,100,870 |
| Marsh & McLennan Companies, Inc. | | 330,196 | 65,847,686 |
| MetLife, Inc. | | 340,025 | 21,635,791 |
| NN Group NV | | 142,628 | 5,443,258 |
| Primerica, Inc. | | 206,722 | 43,310,326 |
| Progressive Corp. | | 377,319 | 61,891,636 |
| Prudential Financial, Inc. | | 153,058 | 14,966,011 |
| Prudential PLC | | 448,687 | 4,907,469 |
| Reinsurance Group of America, Inc. | | 337,290 | 54,998,507 |
| RLI Corp. | | 32,225 | 4,369,710 |
| Selective Insurance Group, Inc. | | 148,900 | 15,141,641 |
| Talanx AG | | 74,641 | 5,411,032 |
| The Travelers Companies, Inc. | | 1,177,511 | 212,682,037 |
| Unum Group | | 1,294,556 | 55,665,908 |
| W.R. Berkley Corp. | | 83,400 | 6,050,670 |
| White Mountains Insurance Group Ltd. (d) | | 2,010 | 3,079,159 |
| Willis Towers Watson PLC | | 349,710 | 86,133,573 |
| | | | 1,317,048,611 |
| Mortgage Real Estate Investment Trusts - 0.0% | | | |
| Redwood Trust, Inc. | | 793,020 | 5,638,372 |
TOTAL FINANCIALS | | | 7,126,180,331 |
| HEALTH CARE - 6.6% | | | |
| Biotechnology - 0.7% | | | |
| AbbVie, Inc. | | 196,380 | 27,962,548 |
| Alkermes PLC (b) | | 164,240 | 3,964,754 |
| Alnylam Pharmaceuticals, Inc. (b) | | 63,900 | 10,751,175 |
| Amgen, Inc. | | 138,000 | 37,210,320 |
| Argenx SE ADR (b) | | 96,810 | 43,623,554 |
| Ascendis Pharma A/S sponsored ADR (b)(d) | | 132,000 | 13,256,760 |
| Avidity Biosciences, Inc. (b) | | 650,066 | 5,077,015 |
| Beam Therapeutics, Inc. (b)(d) | | 188,100 | 5,281,848 |
| Biogen, Inc. (b) | | 98,340 | 23,019,427 |
| Blueprint Medicines Corp. (b) | | 489,139 | 34,063,640 |
| Cargo Therapeutics, Inc. | | 425,000 | 6,353,750 |
| Celldex Therapeutics, Inc. (b) | | 199,209 | 6,018,104 |
| Cerevel Therapeutics Holdings (b) | | 108,510 | 2,813,664 |
| Cytokinetics, Inc. (b)(d) | | 750,060 | 25,112,009 |
| Day One Biopharmaceuticals, Inc. (b)(d) | | 377,085 | 4,366,644 |
| Dyne Therapeutics, Inc. (b) | | 58,566 | 648,911 |
| Essex Bio-Technology Ltd. | | 320,000 | 106,103 |
| Exact Sciences Corp. (b) | | 166,000 | 10,624,000 |
| Exelixis, Inc. (b) | | 395,964 | 8,635,975 |
| Gilead Sciences, Inc. | | 674,485 | 51,665,551 |
| Incyte Corp. (b) | | 342,688 | 18,621,666 |
| Insmed, Inc. (b) | | 221,600 | 5,544,432 |
| Intellia Therapeutics, Inc. (b) | | 169,000 | 5,007,470 |
| Karuna Therapeutics, Inc. (b) | | 60,000 | 11,472,600 |
| Keros Therapeutics, Inc. (b) | | 15,330 | 465,112 |
| Krystal Biotech, Inc. (b) | | 14,730 | 1,535,308 |
| Legend Biotech Corp. ADR (b) | | 340,000 | 20,678,800 |
| Mineralys Therapeutics, Inc. (d) | | 38,990 | 259,673 |
| Mirati Therapeutics, Inc. (b) | | 18,570 | 1,053,848 |
| Natera, Inc. (b)(d) | | 440,262 | 24,632,659 |
| Poseida Therapeutics, Inc. (b) | | 12,038 | 32,141 |
| Prelude Therapeutics, Inc. (b) | | 446,750 | 1,478,743 |
| PTC Therapeutics, Inc. (b) | | 432,218 | 9,949,658 |
| Regeneron Pharmaceuticals, Inc. (b) | | 126,900 | 104,541,489 |
| Repligen Corp. (b)(d) | | 71,660 | 11,268,535 |
| Sarepta Therapeutics, Inc. (b) | | 189,800 | 15,426,944 |
| United Therapeutics Corp. (b) | | 101,354 | 24,324,960 |
| Vaxcyte, Inc. (b) | | 735,540 | 38,078,906 |
| Vertex Pharmaceuticals, Inc. (b) | | 12,800 | 4,541,568 |
| Verve Therapeutics, Inc. (b)(d) | | 203,660 | 2,297,285 |
| Viridian Therapeutics, Inc. (b) | | 88,970 | 1,489,358 |
| Xenon Pharmaceuticals, Inc. (b) | | 71,315 | 2,608,703 |
| Zentalis Pharmaceuticals, Inc. (b) | | 42,230 | 475,088 |
| | | | 626,340,698 |
| Health Care Equipment & Supplies - 1.0% | | | |
| Abbott Laboratories | | 233,371 | 24,338,262 |
| Atrion Corp. | | 1,054 | 325,001 |
| Axonics Modulation Technologies, Inc. (b) | | 727,758 | 40,747,170 |
| Becton, Dickinson & Co. | | 75,125 | 17,743,023 |
| Boston Scientific Corp. (b) | | 5,524,909 | 308,787,164 |
| Dentsply Sirona, Inc. | | 118,400 | 3,759,200 |
| Edwards Lifesciences Corp. (b) | | 280,000 | 18,958,800 |
| Envista Holdings Corp. (b) | | 303,890 | 6,895,264 |
| GE Healthcare Holding LLC | | 889,481 | 60,893,869 |
| Glaukos Corp. (b) | | 374,688 | 23,938,816 |
| Globus Medical, Inc. (b) | | 63,507 | 2,852,734 |
| Haemonetics Corp. (b) | | 25,674 | 2,076,256 |
| InBody Co. Ltd. | | 31,800 | 599,377 |
| Inspire Medical Systems, Inc. (b) | | 240,140 | 34,894,743 |
| Insulet Corp. (b) | | 145,000 | 27,418,050 |
| Integra LifeSciences Holdings Corp. (b) | | 233,335 | 9,144,399 |
| Koninklijke Philips Electronics NV (depository receipt) (NY Reg.) (d) | | 423,496 | 8,647,788 |
| Lantheus Holdings, Inc. (b) | | 290,684 | 20,818,788 |
| LeMaitre Vascular, Inc. | | 12,697 | 669,132 |
| Masimo Corp. (b) | | 235,000 | 22,033,600 |
| Medtronic PLC | | 237,216 | 18,804,112 |
| Merit Medical Systems, Inc. (b) | | 36,010 | 2,576,876 |
| Penumbra, Inc. (b) | | 447,700 | 99,429,693 |
| Stryker Corp. | | 108,000 | 32,003,640 |
| Tandem Diabetes Care, Inc. (b) | | 300,000 | 6,072,000 |
| TransMedics Group, Inc. (b)(d) | | 56,527 | 4,277,963 |
| Utah Medical Products, Inc. | | 5,570 | 469,551 |
| Value Added Technology Co. Ltd. | | 78,700 | 1,943,509 |
| Vieworks Co. Ltd. | | 119,600 | 2,438,281 |
| ViewRay, Inc. (b)(d) | | 788,420 | 1 |
| Zimmer Biomet Holdings, Inc. | | 232,044 | 26,989,038 |
| | | | 830,546,100 |
| Health Care Providers & Services - 2.7% | | | |
| Acadia Healthcare Co., Inc. (b) | | 305,690 | 22,312,313 |
| AdaptHealth Corp. (b)(d) | | 650,898 | 5,519,615 |
| Addus HomeCare Corp. (b) | | 22,400 | 1,953,280 |
| agilon health, Inc. (b)(d) | | 4,243,200 | 45,062,784 |
| AMN Healthcare Services, Inc. (b) | | 132,440 | 8,979,432 |
| Cardinal Health, Inc. | | 507,227 | 54,313,867 |
| Centene Corp. (b) | | 3,891,837 | 286,750,550 |
| Chemed Corp. | | 11,938 | 6,768,846 |
| Cigna Group | | 1,530,313 | 402,288,681 |
| Corvel Corp. (b) | | 7,228 | 1,509,640 |
| CVS Health Corp. | | 3,678,817 | 249,975,615 |
| DaVita HealthCare Partners, Inc. (b) | | 78,495 | 7,964,103 |
| Elevance Health, Inc. | | 366,387 | 175,678,903 |
| Encompass Health Corp. | | 79,669 | 5,192,029 |
| Guardant Health, Inc. (b) | | 160,300 | 4,034,751 |
| Henry Schein, Inc. (b) | | 172,822 | 11,532,412 |
| Humana, Inc. | | 362,033 | 175,535,320 |
| Laboratory Corp. of America Holdings | | 55,200 | 11,973,432 |
| LifeStance Health Group, Inc. (b)(d) | | 2,372,968 | 16,302,290 |
| McKesson Corp. | | 199,974 | 94,099,765 |
| Modivcare, Inc. (b) | | 33,890 | 1,279,686 |
| Molina Healthcare, Inc. (b) | | 42,000 | 15,353,520 |
| National Research Corp. Class A | | 11,149 | 461,903 |
| Option Care Health, Inc. (b) | | 37,250 | 1,108,188 |
| Owens & Minor, Inc. (b) | | 964,319 | 19,170,662 |
| Privia Health Group, Inc. (b) | | 1,075,860 | 22,227,268 |
| Quest Diagnostics, Inc. | | 55,600 | 7,629,988 |
| Sinopharm Group Co. Ltd. (H Shares) | | 3,916,000 | 9,715,679 |
| Surgery Partners, Inc. (b) | | 1,172,236 | 38,390,729 |
| Tenet Healthcare Corp. (b) | | 37,720 | 2,603,057 |
| The Ensign Group, Inc. | | 68,845 | 7,371,234 |
| UnitedHealth Group, Inc. | | 1,076,030 | 595,012,309 |
| Universal Health Services, Inc. Class B | | 172,437 | 23,706,639 |
| | | | 2,331,778,490 |
| Health Care Technology - 0.0% | | | |
| Doximity, Inc. (b)(d) | | 94,346 | 2,193,545 |
| Evolent Health, Inc. | | 500,000 | 13,900,000 |
| Evolent Health, Inc. (b) | | 544,190 | 15,128,482 |
| Health Catalyst, Inc. (b) | | 37,880 | 271,978 |
| HealthStream, Inc. | | 19,266 | 481,650 |
| Phreesia, Inc. (b) | | 667,060 | 10,279,395 |
| Simulations Plus, Inc. (d) | | 12,555 | 492,156 |
| Teladoc Health, Inc. (b)(d) | | 175,700 | 3,187,198 |
| | | | 45,934,404 |
| Life Sciences Tools & Services - 0.6% | | | |
| 10X Genomics, Inc. (b) | | 888,000 | 38,645,760 |
| Bio-Rad Laboratories, Inc. Class A (b) | | 54,124 | 16,503,490 |
| Bruker Corp. | | 612,285 | 39,853,631 |
| Danaher Corp. | | 936,853 | 209,208,643 |
| Gerresheimer AG | | 160,000 | 15,125,796 |
| ICON PLC (b) | | 44,000 | 11,745,360 |
| IQVIA Holdings, Inc. (b) | | 128,000 | 27,404,800 |
| Medpace Holdings, Inc. (b) | | 19,635 | 5,315,587 |
| Pacific Biosciences of California, Inc. (b)(d) | | 480,570 | 4,075,234 |
| Quanterix Corp. (b) | | 83,090 | 1,991,667 |
| Thermo Fisher Scientific, Inc. | | 232,000 | 115,016,320 |
| | | | 484,886,288 |
| Pharmaceuticals - 1.6% | | | |
| Arvinas Holding Co. LLC (b) | | 331,540 | 7,283,934 |
| AstraZeneca PLC: | | | |
| (United Kingdom) | | 285,000 | 36,681,324 |
| sponsored ADR | | 1,763,020 | 113,873,462 |
| Axsome Therapeutics, Inc. (b)(d) | | 56,380 | 3,802,831 |
| Bristol-Myers Squibb Co. | | 4,841,295 | 239,063,147 |
| Corcept Therapeutics, Inc. (b) | | 71,854 | 1,830,121 |
| Daito Pharmaceutical Co. Ltd. (d) | | 50,050 | 656,598 |
| Dawnrays Pharmaceutical Holdings Ltd. | | 2,354,000 | 316,426 |
| Edgewise Therapeutics, Inc. (b)(d) | | 326,050 | 1,982,384 |
| Elanco Animal Health, Inc. (b) | | 84,400 | 994,232 |
| Eli Lilly & Co. | | 415,400 | 245,518,016 |
| Faes Farma SA | | 109,311 | 371,233 |
| Genomma Lab Internacional SA de CV | | 973,800 | 789,424 |
| GSK PLC sponsored ADR | | 1,407,127 | 50,642,501 |
| Jazz Pharmaceuticals PLC (b) | | 55,900 | 6,609,057 |
| Johnson & Johnson | | 1,645,873 | 254,550,718 |
| Merck & Co., Inc. | | 994,095 | 101,874,856 |
| Organon & Co. | | 490,100 | 5,547,932 |
| Pfizer, Inc. | | 1,599,742 | 48,744,139 |
| Prestige Brands Holdings, Inc. (b) | | 39,497 | 2,265,153 |
| Roche Holding AG (participation certificate) | | 322,936 | 86,876,613 |
| Royalty Pharma PLC | | 845,500 | 22,887,685 |
| Sanofi SA | | 43,200 | 4,029,045 |
| Sanofi SA sponsored ADR | | 2,515,450 | 117,597,288 |
| Structure Therapeutics, Inc. ADR | | 120,000 | 6,682,800 |
| UCB SA | | 205,000 | 15,137,987 |
| Verona Pharma PLC ADR (b) | | 105,490 | 1,426,225 |
| Viatris, Inc. | | 558,300 | 5,125,194 |
| | | | 1,383,160,325 |
TOTAL HEALTH CARE | | | 5,702,646,305 |
| INDUSTRIALS - 6.0% | | | |
| Aerospace & Defense - 1.3% | | | |
| AerSale Corp. (b)(d) | | 276,210 | 3,853,130 |
| Airbus Group NV | | 541,598 | 80,488,404 |
| Cadre Holdings, Inc. | | 660,090 | 21,254,898 |
| Curtiss-Wright Corp. | | 1,617 | 345,876 |
| General Dynamics Corp. | | 127,127 | 31,396,555 |
| HEICO Corp. Class A | | 95,746 | 13,156,458 |
| Howmet Aerospace, Inc. | | 657,200 | 34,568,720 |
| Huntington Ingalls Industries, Inc. | | 110,431 | 26,174,356 |
| Kratos Defense & Security Solutions, Inc. (b) | | 978,691 | 18,644,064 |
| L3Harris Technologies, Inc. | | 437,384 | 83,457,241 |
| Leonardo DRS, Inc. (b) | | 63,800 | 1,175,834 |
| Lockheed Martin Corp. | | 373,390 | 167,192,840 |
| Moog, Inc. Class A | | 36,500 | 5,110,365 |
| Northrop Grumman Corp. | | 345,700 | 164,262,812 |
| RTX Corp. (d) | | 401,313 | 32,698,983 |
| Safran SA | | 60,200 | 10,584,796 |
| Textron, Inc. | | 374,660 | 28,721,436 |
| The Boeing Co. (b) | | 1,401,912 | 324,724,877 |
| TransDigm Group, Inc. | | 44,000 | 42,366,280 |
| V2X, Inc. (b) | | 339,392 | 14,390,221 |
| Woodward, Inc. | | 52,185 | 7,054,368 |
| | | | 1,111,622,514 |
| Air Freight & Logistics - 0.3% | | | |
| Compania de Distribucion Integral Logista Holdings SA | | 75,100 | 1,943,928 |
| DHL Group | | 629,700 | 29,589,013 |
| FedEx Corp. | | 379,770 | 98,295,869 |
| Forward Air Corp. | | 19,565 | 1,242,964 |
| United Parcel Service, Inc. Class B | | 586,760 | 88,958,684 |
| | | | 220,030,458 |
| Building Products - 0.3% | | | |
| A.O. Smith Corp. | | 104,583 | 7,881,375 |
| Allegion PLC | | 23,600 | 2,503,724 |
| Armstrong World Industries, Inc. | | 133,260 | 11,301,781 |
| AZZ, Inc. | | 138,970 | 6,833,155 |
| Builders FirstSource, Inc. (b) | | 65,793 | 8,823,499 |
| Carlisle Companies, Inc. | | 114,183 | 32,018,055 |
| Fortune Brands Home & Security, Inc. | | 58,777 | 4,022,110 |
| Hayward Holdings, Inc. (b)(d) | | 1,695,600 | 19,991,124 |
| Johnson Controls International PLC | | 561,727 | 29,659,186 |
| Masonite International Corp. (b) | | 111,800 | 9,933,430 |
| Nihon Dengi Co. Ltd. | | 28,200 | 796,014 |
| Nihon Flush Co. Ltd. | | 94,978 | 573,994 |
| Owens Corning | | 1,900 | 257,602 |
| Simpson Manufacturing Co. Ltd. | | 77,876 | 13,002,956 |
| Tecnoglass, Inc. (d) | | 203,465 | 7,090,755 |
| Trane Technologies PLC | | 502,300 | 113,223,443 |
| Trex Co., Inc. (b) | | 314,100 | 22,071,807 |
| UFP Industries, Inc. | | 67,930 | 7,447,166 |
| | | | 297,431,176 |
| Commercial Services & Supplies - 0.2% | | | |
| ACV Auctions, Inc. Class A (b) | | 783,940 | 12,252,982 |
| Brady Corp. Class A | | 36,657 | 2,062,689 |
| Cintas Corp. | | 41,554 | 22,989,751 |
| CoreCivic, Inc. (b) | | 162,000 | 2,344,140 |
| Driven Brands Holdings, Inc. (b) | | 96,168 | 1,264,609 |
| Ennis, Inc. | | 19,269 | 409,081 |
| Montrose Environmental Group, Inc. (b)(d) | | 75,970 | 2,375,582 |
| MSA Safety, Inc. | | 1,185 | 206,356 |
| Republic Services, Inc. | | 177,687 | 28,756,864 |
| Takkt AG | | 158,494 | 2,249,670 |
| Tetra Tech, Inc. | | 80,200 | 12,683,630 |
| The Brink's Co. | | 510,619 | 40,287,839 |
| Veralto Corp. | | 111,833 | 8,639,099 |
| VSE Corp. | | 182,110 | 11,004,907 |
| | | | 147,527,199 |
| Construction & Engineering - 0.2% | | | |
| Arcosa, Inc. | | 37,347 | 2,771,147 |
| Bowman Consulting Group Ltd. (b) | | 138,100 | 4,257,623 |
| Comfort Systems U.S.A., Inc. | | 87,831 | 17,002,325 |
| Dycom Industries, Inc. (b) | | 50,020 | 5,195,577 |
| EMCOR Group, Inc. | | 246,256 | 52,334,325 |
| Fluor Corp. (b) | | 121,669 | 4,627,072 |
| Granite Construction, Inc. | | 97,030 | 4,458,529 |
| IES Holdings, Inc. (b) | | 49,517 | 3,464,704 |
| Meisei Industrial Co. Ltd. | | 215,000 | 1,624,174 |
| Quanta Services, Inc. | | 71,000 | 13,370,010 |
| Raiznext Corp. | | 201,000 | 1,881,748 |
| Valmont Industries, Inc. | | 30,100 | 6,609,057 |
| Willscot Mobile Mini Holdings (b) | | 678,700 | 28,315,364 |
| | | | 145,911,655 |
| Electrical Equipment - 0.6% | | | |
| Acuity Brands, Inc. (d) | | 214,025 | 38,366,122 |
| AMETEK, Inc. | | 730,492 | 113,394,273 |
| AQ Group AB | | 149,700 | 7,026,162 |
| Atkore, Inc. (b) | | 118,091 | 15,340,021 |
| Eaton Corp. PLC | | 464,259 | 105,707,132 |
| Emerson Electric Co. | | 342,983 | 30,491,189 |
| EnerSys | | 22,994 | 2,034,509 |
| Fluence Energy, Inc. (b)(d) | | 86,840 | 2,177,947 |
| GrafTech International Ltd. (d) | | 1,341,000 | 3,312,270 |
| Hubbell, Inc. Class B | | 123,873 | 37,161,900 |
| Nextracker, Inc. Class A | | 34,070 | 1,384,605 |
| nVent Electric PLC | | 448,500 | 23,882,625 |
| Regal Rexnord Corp. | | 472,134 | 56,561,653 |
| Shoals Technologies Group, Inc. (b) | | 339,620 | 4,703,737 |
| Vertiv Holdings Co. | | 1,458,474 | 63,676,975 |
| Vertiv Holdings LLC (b)(g) | | 600,000 | 26,196,000 |
| | | | 531,417,120 |
| Ground Transportation - 0.4% | | | |
| ArcBest Corp. | | 16,850 | 2,008,352 |
| CSX Corp. | | 2,118,440 | 68,425,612 |
| Knight-Swift Transportation Holdings, Inc. Class A | | 574,285 | 30,885,047 |
| Landstar System, Inc. | | 71,499 | 12,344,302 |
| Nikkon Holdings Co. Ltd. | | 28,200 | 611,894 |
| Norfolk Southern Corp. | | 20,068 | 4,378,035 |
| Old Dominion Freight Lines, Inc. | | 176,200 | 68,552,372 |
| Saia, Inc. (b) | | 12,870 | 5,024,319 |
| Stef SA | | 50,734 | 5,798,516 |
| Uber Technologies, Inc. (b) | | 867,500 | 48,909,650 |
| Union Pacific Corp. | | 408,564 | 92,037,212 |
| Universal Logistics Holdings, Inc. | | 206,720 | 5,114,253 |
| XPO, Inc. (b) | | 452,950 | 39,080,526 |
| | | | 383,170,090 |
| Industrial Conglomerates - 0.9% | | | |
| 3M Co. | | 399,652 | 39,593,524 |
| DCC PLC (United Kingdom) | | 93,800 | 6,325,879 |
| General Electric Co. | | 5,473,212 | 666,637,222 |
| Honeywell International, Inc. | | 15,900 | 3,115,128 |
| Mytilineos SA | | 85,200 | 3,407,275 |
| Siemens AG | | 370,400 | 62,220,742 |
| | | | 781,299,770 |
| Machinery - 1.1% | | | |
| AGCO Corp. | | 157,803 | 17,915,375 |
| Albany International Corp. Class A | | 15,048 | 1,291,419 |
| Allison Transmission Holdings, Inc. | | 212,170 | 11,346,852 |
| Barnes Group, Inc. | | 34,755 | 916,837 |
| Beijer Alma AB (B Shares) | | 120,100 | 2,090,107 |
| Caterpillar, Inc. | | 288,178 | 72,251,988 |
| Chart Industries, Inc. (b) | | 189,600 | 24,653,688 |
| CNH Industrial NV | | 455,600 | 4,893,144 |
| Columbus McKinnon Corp. (NY Shares) | | 259,740 | 9,070,121 |
| Crane Co. | | 405,036 | 42,804,204 |
| Cummins, Inc. | | 59,542 | 13,346,935 |
| Daiwa Industries Ltd. | | 317,400 | 3,087,082 |
| Deere & Co. | | 201,735 | 73,514,251 |
| Donaldson Co., Inc. | | 130,491 | 7,939,072 |
| Dover Corp. | | 479,300 | 67,657,988 |
| Ebara Jitsugyo Co. Ltd. | | 19,800 | 394,237 |
| EnPro Industries, Inc. | | 48,470 | 6,225,002 |
| ESAB Corp. | | 441,961 | 34,097,291 |
| Estic Corp. | | 17,500 | 111,308 |
| Federal Signal Corp. | | 133,320 | 9,191,081 |
| Flowserve Corp. | | 554,155 | 21,201,970 |
| Fortive Corp. | | 1,239,321 | 85,488,363 |
| Gates Industrial Corp. PLC (b) | | 87,200 | 1,069,072 |
| Graco, Inc. | | 133,797 | 10,808,122 |
| Hillenbrand, Inc. | | 238,100 | 9,223,994 |
| Hy-Lok Corp. | | 61,216 | 1,306,877 |
| Ingersoll Rand, Inc. | | 1,064,200 | 76,015,806 |
| ITT, Inc. | | 289,659 | 31,361,380 |
| John Bean Technologies Corp. | | 23,730 | 2,451,309 |
| JOST Werke AG (a) | | 86,900 | 3,930,242 |
| Kadant, Inc. | | 8,698 | 2,266,873 |
| Lincoln Electric Holdings, Inc. | | 43,054 | 8,527,275 |
| Miller Industries, Inc. | | 12,100 | 480,854 |
| Mueller Industries, Inc. | | 90,600 | 3,762,618 |
| Nordson Corp. | | 52,993 | 12,471,373 |
| NORMA Group AG | | 85,768 | 1,446,123 |
| Omega Flex, Inc. (d) | | 2,407 | 169,742 |
| Oshkosh Corp. | | 206,816 | 20,121,129 |
| Otis Worldwide Corp. | | 112,104 | 9,617,402 |
| PACCAR, Inc. | | 185,236 | 17,008,370 |
| Parker Hannifin Corp. | | 247,800 | 107,342,004 |
| Pentair PLC | | 821,300 | 53,006,702 |
| Snap-On, Inc. | | 42,071 | 11,556,483 |
| SPX Technologies, Inc. (b) | | 12,100 | 1,032,251 |
| Stanley Black & Decker, Inc. | | 83,932 | 7,629,419 |
| Watts Water Technologies, Inc. Class A | | 21,784 | 4,193,638 |
| Westinghouse Air Brake Tech Co. | | 154,870 | 18,051,647 |
| | | | 924,339,020 |
| Marine Transportation - 0.0% | | | |
| Genco Shipping & Trading Ltd. (d) | | 27,887 | 432,806 |
| Kirby Corp. (b) | | 329,600 | 25,296,800 |
| | | | 25,729,606 |
| Passenger Airlines - 0.0% | | | |
| American Airlines Group, Inc. (b) | | 9,300 | 115,599 |
| Copa Holdings SA Class A | | 17,300 | 1,602,672 |
| Delta Air Lines, Inc. | | 343,300 | 12,678,069 |
| Jet2 PLC | | 264,511 | 4,013,862 |
| Ryanair Holdings PLC sponsored ADR (b) | | 49,500 | 5,851,890 |
| Sun Country Airlines Holdings, Inc. (b) | | 166,250 | 2,523,675 |
| United Airlines Holdings, Inc. (b) | | 13,300 | 524,020 |
| | | | 27,309,787 |
| Professional Services - 0.5% | | | |
| Altech Corp. | | 57,500 | 1,057,231 |
| ASGN, Inc. (b) | | 346,550 | 30,926,122 |
| Automatic Data Processing, Inc. | | 20,500 | 4,713,360 |
| Barrett Business Services, Inc. | | 31,692 | 3,484,535 |
| CACI International, Inc. Class A (b) | | 70,221 | 22,537,430 |
| CBIZ, Inc. (b) | | 19,470 | 1,127,118 |
| Concentrix Corp. | | 357,973 | 33,645,882 |
| CRA International, Inc. | | 63,567 | 6,024,245 |
| Creek & River Co. Ltd. | | 20,000 | 282,342 |
| CSG Systems International, Inc. | | 21,410 | 1,053,158 |
| Dun & Bradstreet Holdings, Inc. | | 1,769,139 | 18,735,182 |
| E-Credible Co. Ltd. | | 46,500 | 504,404 |
| Equifax, Inc. | | 30,000 | 6,531,300 |
| ExlService Holdings, Inc. (b) | | 110,019 | 3,121,239 |
| Exponent, Inc. | | 37,759 | 2,905,933 |
| First Advantage Corp. | | 132,680 | 2,057,867 |
| Franklin Covey Co. (b) | | 8,785 | 341,561 |
| Genpact Ltd. | | 1,462,987 | 49,683,039 |
| ICF International, Inc. | | 198,936 | 27,841,093 |
| Insperity, Inc. | | 23,658 | 2,691,098 |
| KBR, Inc. | | 771,150 | 39,845,321 |
| Kforce, Inc. (d) | | 287,424 | 20,033,453 |
| Korn Ferry | | 32,500 | 1,681,550 |
| Leidos Holdings, Inc. | | 103,200 | 11,075,424 |
| Maximus, Inc. (d) | | 993,442 | 82,942,473 |
| Parsons Corp. (b) | | 145,100 | 9,038,279 |
| Paycom Software, Inc. | | 20,600 | 3,742,196 |
| Paylocity Holding Corp. (b) | | 32,828 | 5,143,163 |
| Quick Co. Ltd. | | 180,800 | 2,752,365 |
| Robert Half, Inc. (d) | | 85,650 | 7,021,587 |
| Science Applications International Corp. | | 253,417 | 29,753,690 |
| TrueBlue, Inc. (b) | | 165,120 | 2,301,773 |
| Verra Mobility Corp. (b) | | 502,700 | 10,094,216 |
| WDB Holdings Co. Ltd. | | 22,300 | 347,902 |
| Will Group, Inc. | | 187,400 | 1,414,411 |
| WNS Holdings Ltd. sponsored ADR (b) | | 89,775 | 5,339,817 |
| | | | 451,791,759 |
| Trading Companies & Distributors - 0.2% | | | |
| AerCap Holdings NV (b) | | 67,500 | 4,604,850 |
| Alligo AB (B Shares) | | 43,100 | 423,454 |
| Applied Industrial Technologies, Inc. | | 102,520 | 16,410,376 |
| Beacon Roofing Supply, Inc. (b) | | 322,799 | 25,940,128 |
| Beijer Ref AB (B Shares) (d) | | 288,700 | 3,191,012 |
| Boise Cascade Co. | | 33,528 | 3,664,610 |
| Core & Main, Inc. (b) | | 576,170 | 20,183,235 |
| Ferguson PLC | | 58,300 | 9,989,122 |
| FTAI Aviation Ltd. | | 110,940 | 4,571,837 |
| Global Industrial Co. | | 109,600 | 3,902,856 |
| Green Cross Co. Ltd. | | 28,200 | 196,864 |
| Itochu Corp. | | 290,200 | 11,231,402 |
| Kamei Corp. | | 149,800 | 1,722,710 |
| Mitani Shoji Co. Ltd. | | 272,500 | 3,047,383 |
| Momentum Group Komponenter & Tjanster AB | | 162,700 | 1,812,270 |
| MSC Industrial Direct Co., Inc. Class A | | 37,561 | 3,659,193 |
| RS GROUP PLC | | 371,500 | 3,505,307 |
| Rush Enterprises, Inc. Class A | | 220,050 | 8,729,384 |
| Totech Corp. | | 18,400 | 588,884 |
| Watsco, Inc. (d) | | 68,203 | 26,069,233 |
| WESCO International, Inc. | | 158,033 | 24,629,443 |
| | | | 178,073,553 |
| Transportation Infrastructure - 0.0% | | | |
| Qingdao Port International Co. Ltd. (H Shares) (a) | | 3,070,814 | 1,517,461 |
TOTAL INDUSTRIALS | | | 5,227,171,168 |
| INFORMATION TECHNOLOGY - 8.8% | | | |
| Communications Equipment - 0.3% | | | |
| Cisco Systems, Inc. | | 4,439,570 | 214,786,397 |
| Extreme Networks, Inc. (b) | | 113,225 | 1,827,452 |
| Juniper Networks, Inc. | | 539,601 | 15,351,648 |
| Lumentum Holdings, Inc. (b) | | 379,150 | 16,227,620 |
| NetScout Systems, Inc. (b) | | 52,720 | 1,058,618 |
| | | | 249,251,735 |
| Electronic Equipment, Instruments & Components - 0.3% | | | |
| Advanced Energy Industries, Inc. | | 196,240 | 18,652,612 |
| Amphenol Corp. Class A | | 574,500 | 52,273,755 |
| Avnet, Inc. | | 176,500 | 8,253,140 |
| Badger Meter, Inc. | | 23,300 | 3,433,721 |
| Bel Fuse, Inc. Class B (non-vtg.) | | 8,450 | 457,145 |
| Belden, Inc. | | 151,219 | 10,046,990 |
| CDW Corp. | | 86,700 | 18,283,296 |
| Cognex Corp. | | 394,982 | 14,890,821 |
| Coherent Corp. (b) | | 194,280 | 7,147,561 |
| Crane Nxt Co. (d) | | 288,210 | 14,831,287 |
| CTS Corp. | | 25,067 | 971,346 |
| Daido Signal Co. Ltd. | | 35,548 | 98,065 |
| Daiwabo Holdings Co. Ltd. | | 160,000 | 3,139,889 |
| ePlus, Inc. (b) | | 94,080 | 5,972,198 |
| Fabrinet (b) | | 69,129 | 11,191,985 |
| Flex Ltd. (b) | | 459,300 | 11,689,185 |
| Insight Enterprises, Inc. (b) | | 217,245 | 32,895,238 |
| IPG Photonics Corp. (b) | | 24,815 | 2,376,284 |
| Jabil, Inc. | | 84,100 | 9,698,412 |
| Keysight Technologies, Inc. (b) | | 66,900 | 9,091,041 |
| Kingboard Chemical Holdings Ltd. | | 707,000 | 1,701,586 |
| Makus, Inc. | | 287,084 | 2,053,992 |
| Maruwa Ceramic Co. Ltd. | | 15,100 | 3,032,018 |
| Methode Electronics, Inc. Class A | | 295,500 | 7,012,215 |
| Napco Security Technologies, Inc. (d) | | 166,310 | 5,089,086 |
| PC Connection, Inc. | | 8,981 | 535,537 |
| Redington (India) Ltd. | | 1,034,288 | 1,993,333 |
| Riken Keiki Co. Ltd. | | 17,700 | 791,522 |
| Sanmina Corp. (b) | | 46,383 | 2,324,252 |
| TD SYNNEX Corp. | | 152,700 | 15,062,328 |
| TE Connectivity Ltd. | | 18,852 | 2,469,612 |
| Thinking Electronic Industries Co. Ltd. | | 197,000 | 963,164 |
| Trimble, Inc. (b) | | 21,600 | 1,002,240 |
| TTM Technologies, Inc. (b) | | 345,760 | 5,189,858 |
| Vishay Precision Group, Inc. (b) | | 149,244 | 4,550,450 |
| Vontier Corp. | | 317,300 | 10,702,529 |
| | | | 299,867,693 |
| IT Services - 0.6% | | | |
| Amdocs Ltd. | | 1,365,326 | 114,373,359 |
| Avant Group Corp. | | 180,500 | 1,811,574 |
| Capgemini SA | | 410,500 | 84,003,899 |
| Cognizant Technology Solutions Corp. Class A | | 769,900 | 54,185,562 |
| Digitalocean Holdings, Inc. (b)(d) | | 99,730 | 2,954,003 |
| DTS Corp. | | 109,500 | 2,596,064 |
| EPAM Systems, Inc. (b) | | 134,400 | 34,700,736 |
| Fastly, Inc. Class A (b) | | 115,690 | 1,921,611 |
| Future Corp. | | 27,500 | 334,615 |
| GoDaddy, Inc. (b) | | 75,100 | 7,514,506 |
| Hackett Group, Inc. (d) | | 18,582 | 414,564 |
| IBM Corp. | | 104,775 | 16,613,124 |
| Infosys Ltd. sponsored ADR | | 899,600 | 15,787,980 |
| Kyndryl Holdings, Inc. (b) | | 49,100 | 885,273 |
| MongoDB, Inc. Class A (b) | | 152,800 | 63,525,072 |
| Okta, Inc. (b) | | 161,100 | 10,801,755 |
| Perficient, Inc. (b) | | 125,730 | 7,780,172 |
| Shopify, Inc. Class A (b) | | 91,436 | 6,658,370 |
| Snowflake, Inc. (b) | | 144,000 | 27,025,920 |
| TDC Soft, Inc. | | 182,200 | 2,579,508 |
| Twilio, Inc. Class A (b) | | 1,032,419 | 66,776,861 |
| Wix.com Ltd. (b) | | 202,000 | 20,503,000 |
| | | | 543,747,528 |
| Semiconductors & Semiconductor Equipment - 1.9% | | | |
| Advanced Micro Devices, Inc. (b) | | 757,683 | 91,800,872 |
| Analog Devices, Inc. | | 85,226 | 15,628,744 |
| Applied Materials, Inc. | | 166,818 | 24,986,000 |
| ASML Holding NV (Netherlands) | | 71,700 | 48,865,461 |
| Axcelis Technologies, Inc. (b) | | 25,998 | 3,231,031 |
| Broadcom, Inc. | | 49,963 | 46,252,248 |
| Cirrus Logic, Inc. (b) | | 346,298 | 26,287,481 |
| Diodes, Inc. (b) | | 136,570 | 9,070,979 |
| FormFactor, Inc. (b) | | 56,203 | 2,112,109 |
| Ichor Holdings Ltd. (b) | | 196,010 | 5,121,741 |
| Impinj, Inc. (b)(d) | | 8,420 | 703,828 |
| Intel Corp. | | 1,353,149 | 60,485,760 |
| Kulicke & Soffa Industries, Inc. | | 43,298 | 2,230,713 |
| Lam Research Corp. | | 29,500 | 21,119,640 |
| Lattice Semiconductor Corp. (b) | | 355,563 | 20,818,214 |
| MACOM Technology Solutions Holdings, Inc. (b) | | 60,361 | 5,069,117 |
| Marvell Technology, Inc. | | 1,528,743 | 85,196,847 |
| MaxLinear, Inc. Class A (b) | | 56,656 | 1,061,167 |
| Micron Technology, Inc. | | 1,518,650 | 115,599,638 |
| MKS Instruments, Inc. | | 169,960 | 14,030,198 |
| Nova Ltd. (b)(d) | | 30,940 | 3,979,193 |
| NVE Corp. | | 3,334 | 238,948 |
| NVIDIA Corp. | | 1,510,238 | 706,338,313 |
| NXP Semiconductors NV | | 240,742 | 49,130,627 |
| ON Semiconductor Corp. (b) | | 165,300 | 11,790,849 |
| Onto Innovation, Inc. (b) | | 59,240 | 8,353,432 |
| Parade Technologies Ltd. | | 54,000 | 1,848,962 |
| Photronics, Inc. (b) | | 49,653 | 1,049,168 |
| Power Integrations, Inc. (d) | | 45,582 | 3,482,921 |
| Qorvo, Inc. (b) | | 241,460 | 23,300,890 |
| Qualcomm, Inc. | | 423,057 | 54,595,506 |
| Renesas Electronics Corp. (b) | | 2,298,900 | 40,067,438 |
| SiTime Corp. (b) | | 55,840 | 6,175,904 |
| Sitronix Technology Corp. | | 20,000 | 184,100 |
| Skyworks Solutions, Inc. | | 90,300 | 8,752,779 |
| SMART Global Holdings, Inc. (b)(d) | | 350,060 | 5,832,000 |
| SolarEdge Technologies, Inc. (b)(d) | | 444,600 | 35,292,348 |
| Synaptics, Inc. (b) | | 37,210 | 3,767,140 |
| Taiwan Semiconductor Manufacturing Co. Ltd. | | 3,524,000 | 64,141,132 |
| Taiwan Semiconductor Manufacturing Co. Ltd. sponsored ADR | | 274,600 | 26,721,326 |
| Topco Scientific Co. Ltd. | | 906,455 | 5,283,516 |
| Universal Display Corp. | | 28,646 | 4,846,903 |
| | | | 1,664,845,183 |
| Software - 4.1% | | | |
| Adobe, Inc. (b) | | 493,100 | 301,289,031 |
| American Software, Inc. Class A | | 23,767 | 236,006 |
| Autodesk, Inc. (b) | | 334,767 | 73,123,156 |
| Bill Holdings, Inc. (b) | | 257,400 | 16,851,978 |
| Blackbaud, Inc. (b) | | 240,917 | 18,126,595 |
| BlackLine, Inc. (b) | | 312,630 | 18,085,646 |
| Box, Inc. Class A (b) | | 65,100 | 1,703,667 |
| CCC Intelligent Solutions Holdings, Inc. (b)(g) | | 134,385 | 1,569,617 |
| CommVault Systems, Inc. (b) | | 34,951 | 2,571,695 |
| Cresco Ltd. | | 303,600 | 3,911,210 |
| DocuSign, Inc. (b) | | 493,819 | 21,283,599 |
| Dolby Laboratories, Inc. Class A | | 47,227 | 4,067,662 |
| DoubleVerify Holdings, Inc. (b) | | 101,700 | 3,376,440 |
| Dropbox, Inc. Class A (b) | | 229,267 | 6,460,744 |
| Elastic NV (b) | | 696,186 | 55,945,507 |
| EngageSmart, Inc. (b) | | 23,855 | 544,133 |
| Envestnet, Inc. (b) | | 100 | 3,803 |
| Five9, Inc. (b) | | 608,183 | 46,355,708 |
| Gen Digital, Inc. | | 3,814,800 | 84,230,784 |
| HubSpot, Inc. (b) | | 102,200 | 50,479,646 |
| Informatica, Inc. (b) | | 30,803 | 772,847 |
| Intuit, Inc. | | 240,500 | 137,436,130 |
| Manhattan Associates, Inc. (b) | | 49,299 | 10,996,142 |
| Microsoft Corp. | | 5,337,451 | 2,022,413,558 |
| MicroStrategy, Inc. Class A (b)(d) | | 5,600 | 2,790,480 |
| NCR Voyix Corp. (b) | | 8,900 | 139,552 |
| Open Text Corp. (d) | | 125,400 | 5,017,109 |
| Open Text Corp. (d) | | 872,100 | 35,006,094 |
| Oracle Corp. | | 600 | 69,726 |
| PTC, Inc. (b) | | 215,243 | 33,870,638 |
| Qualys, Inc. (b) | | 74,996 | 13,862,261 |
| Rapid7, Inc. (b) | | 324,090 | 17,549,474 |
| Sage Group PLC | | 676,600 | 9,656,433 |
| Salesforce, Inc. (b) | | 789,451 | 198,862,707 |
| SAP SE sponsored ADR (d) | | 479,755 | 76,338,616 |
| SolarWinds, Inc. (b) | | 53,400 | 618,906 |
| Synopsys, Inc. (b) | | 143,800 | 78,116,474 |
| System Research Co. Ltd. | | 147,000 | 3,559,490 |
| Telos Corp. (b) | | 172,020 | 707,002 |
| Tenable Holdings, Inc. (b) | | 1,336,598 | 55,321,791 |
| Teradata Corp. (b) | | 445,377 | 21,044,063 |
| Unity Software, Inc. (b)(d) | | 31,500 | 929,565 |
| Varonis Systems, Inc. (b) | | 390,880 | 16,373,963 |
| Workday, Inc. Class A (b) | | 205,423 | 55,612,115 |
| Workiva, Inc. (b) | | 268,460 | 25,817,798 |
| Zoom Video Communications, Inc. Class A (b) | | 96,100 | 6,518,463 |
| | | | 3,539,618,024 |
| Technology Hardware, Storage & Peripherals - 1.6% | | | |
| Apple, Inc. | | 6,498,456 | 1,234,381,717 |
| Dell Technologies, Inc. | | 288,653 | 21,900,103 |
| MCJ Co. Ltd. | | 672,000 | 4,872,521 |
| NetApp, Inc. | | 180,750 | 16,518,743 |
| Pure Storage, Inc. Class A (b) | | 142,025 | 4,730,853 |
| Samsung Electronics Co. Ltd. | | 710,420 | 39,788,111 |
| Seagate Technology Holdings PLC | | 387,600 | 30,659,160 |
| TSC Auto ID Technology Corp. | | 47,290 | 354,720 |
| | | | 1,353,205,928 |
TOTAL INFORMATION TECHNOLOGY | | | 7,650,536,091 |
| MATERIALS - 1.4% | | | |
| Chemicals - 0.8% | | | |
| Air Products & Chemicals, Inc. | | 131,211 | 35,499,136 |
| Axalta Coating Systems Ltd. (b) | | 405,300 | 12,754,791 |
| C. Uyemura & Co. Ltd. | | 77,700 | 5,560,482 |
| Cabot Corp. | | 348,823 | 26,475,666 |
| Celanese Corp. Class A | | 183,400 | 25,430,244 |
| CF Industries Holdings, Inc. | | 723,101 | 54,341,040 |
| Chemtrade Logistics Income Fund | | 765,600 | 4,908,596 |
| Corteva, Inc. | | 325,400 | 14,708,080 |
| Dow, Inc. | | 455,400 | 23,566,950 |
| DuPont de Nemours, Inc. | | 1,104,034 | 78,982,592 |
| Eastman Chemical Co. | | 193,095 | 16,187,154 |
| Ecolab, Inc. | | 47,200 | 9,049,656 |
| Element Solutions, Inc. | | 1,168,042 | 24,482,160 |
| Huntsman Corp. | | 364,754 | 8,972,948 |
| Innospec, Inc. | | 19,766 | 2,076,814 |
| Koppers Holdings, Inc. | | 177,935 | 8,037,324 |
| Linde PLC | | 320,847 | 132,756,863 |
| LSB Industries, Inc. (b) | | 37,510 | 321,461 |
| LyondellBasell Industries NV Class A | | 407,634 | 38,765,993 |
| Methanex Corp. | | 78,446 | 3,348,860 |
| Minerals Technologies, Inc. | | 25,865 | 1,620,184 |
| NewMarket Corp. | | 5,279 | 2,800,562 |
| Nutrien Ltd. | | 67,600 | 3,615,762 |
| Nutrien Ltd. | | 668,600 | 35,750,042 |
| Olin Corp. | | 808,280 | 38,102,319 |
| PPG Industries, Inc. | | 41,300 | 5,864,187 |
| Quaker Houghton (d) | | 23,850 | 4,264,142 |
| Scientex Bhd | | 1,245,100 | 978,016 |
| Scientex Bhd warrants 1/14/26 (b) | | 118,080 | 13,811 |
| Sherwin-Williams Co. | | 30,100 | 8,391,880 |
| Soulbrain Co. Ltd. | | 22,500 | 4,794,784 |
| The Chemours Co. LLC | | 1,341,960 | 36,809,963 |
| The Mosaic Co. | | 193,200 | 6,933,948 |
| Tronox Holdings PLC (d) | | 1,926,565 | 24,563,704 |
| Westlake Corp. | | 50,500 | 6,483,695 |
| | | | 707,213,809 |
| Construction Materials - 0.1% | | | |
| Eagle Materials, Inc. | | 116,854 | 21,156,417 |
| Martin Marietta Materials, Inc. | | 20,600 | 9,570,554 |
| RHI Magnesita NV | | 59,900 | 2,112,844 |
| Summit Materials, Inc. | | 86,569 | 3,003,079 |
| Vertex Corp. | | 33,600 | 338,810 |
| Vulcan Materials Co. | | 110,210 | 23,536,448 |
| Wienerberger AG | | 220,613 | 6,286,793 |
| | | | 66,004,945 |
| Containers & Packaging - 0.2% | | | |
| Aptargroup, Inc. | | 124,577 | 15,807,576 |
| Avery Dennison Corp. | | 69,657 | 13,548,287 |
| Crown Holdings, Inc. | | 675,660 | 58,113,517 |
| Graphic Packaging Holding Co. | | 941,900 | 21,352,873 |
| Greif, Inc. Class A | | 356,320 | 24,906,768 |
| Mayr-Melnhof Karton AG | | 23,400 | 2,868,023 |
| Packaging Corp. of America | | 73,643 | 12,372,760 |
| Sealed Air Corp. | | 209,000 | 6,976,420 |
| Silgan Holdings, Inc. | | 42,400 | 1,768,928 |
| | | | 157,715,152 |
| Metals & Mining - 0.3% | | | |
| Arch Resources, Inc. | | 6,700 | 1,111,932 |
| ATI, Inc. (b) | | 94,970 | 4,173,932 |
| Carpenter Technology Corp. | | 30,908 | 2,188,595 |
| Cleveland-Cliffs, Inc. (b) | | 8,992 | 154,303 |
| Commercial Metals Co. | | 162,700 | 7,375,191 |
| Constellium NV (b) | | 370,440 | 6,445,656 |
| E3 Lithium Ltd. (b) | | 178,700 | 280,505 |
| First Quantum Minerals Ltd. (d) | | 3,864,201 | 31,638,066 |
| Franco-Nevada Corp. | | 50,500 | 5,656,060 |
| Freeport-McMoRan, Inc. | | 2,960,217 | 110,475,298 |
| Ivanhoe Electric, Inc. (b)(d) | | 348,400 | 3,957,824 |
| Ivanhoe Mines Ltd. (b) | | 2,322,800 | 20,729,657 |
| Mount Gibson Iron Ltd. (b) | | 1,791,937 | 615,692 |
| Newmont Corp. | | 393,100 | 15,798,689 |
| Nucor Corp. | | 255,089 | 43,357,477 |
| Reliance Steel & Aluminum Co. | | 3,400 | 935,884 |
| Steel Dynamics, Inc. | | 23,800 | 2,835,294 |
| Warrior Metropolitan Coal, Inc. | | 87,300 | 4,886,181 |
| Worthington Enterprises, Inc. | | 20,500 | 1,469,850 |
| | | | 264,086,086 |
| Paper & Forest Products - 0.0% | | | |
| Stella-Jones, Inc. | | 54,600 | 3,143,338 |
| Sylvamo Corp. | | 24,987 | 1,256,346 |
| | | | 4,399,684 |
TOTAL MATERIALS | | | 1,199,419,676 |
| REAL ESTATE - 1.1% | | | |
| Equity Real Estate Investment Trusts (REITs) - 1.0% | | | |
| Agree Realty Corp. | | 38,089 | 2,255,250 |
| Alexandria Real Estate Equities, Inc. | | 7,300 | 798,620 |
| American Homes 4 Rent Class A | | 1,088,859 | 39,492,916 |
| American Tower Corp. | | 314,899 | 65,744,613 |
| Apartment Income (REIT) Corp. | | 704,326 | 21,918,625 |
| Apple Hospitality (REIT), Inc. | | 239,960 | 4,000,133 |
| Armada Hoffler Properties, Inc. | | 304,800 | 3,346,704 |
| COPT Defense Properties (SBI) | | 282,800 | 6,843,760 |
| Cousins Properties, Inc. | | 95,469 | 1,959,024 |
| Crown Castle International Corp. | | 853,140 | 100,056,259 |
| CubeSmart | | 203,700 | 8,099,112 |
| Digital Realty Trust, Inc. | | 224,200 | 31,114,476 |
| Douglas Emmett, Inc. | | 238,210 | 2,910,926 |
| EastGroup Properties, Inc. | | 10,800 | 1,876,500 |
| Equinix, Inc. | | 65,495 | 53,379,080 |
| Equity Lifestyle Properties, Inc. (d) | | 648,400 | 46,101,240 |
| Essex Property Trust, Inc. | | 91,400 | 19,510,244 |
| Extra Space Storage, Inc. | | 23,212 | 3,021,506 |
| Federal Realty Investment Trust (SBI) | | 110,040 | 10,518,724 |
| Four Corners Property Trust, Inc. | | 202,730 | 4,660,763 |
| Healthpeak Properties, Inc. | | 343,400 | 5,947,688 |
| Highwoods Properties, Inc. (SBI) | | 253,649 | 4,806,649 |
| Invitation Homes, Inc. | | 1,380,601 | 46,056,849 |
| Kilroy Realty Corp. | | 39,500 | 1,302,710 |
| LXP Industrial Trust (REIT) | | 3,615,651 | 31,745,416 |
| Mid-America Apartment Communities, Inc. | | 285,300 | 35,514,144 |
| NNN (REIT), Inc. | | 136,500 | 5,544,630 |
| Omega Healthcare Investors, Inc. | | 156,900 | 4,981,575 |
| Outfront Media, Inc. | | 882,280 | 10,790,284 |
| Park Hotels & Resorts, Inc. | | 280,600 | 4,161,298 |
| Plymouth Industrial REIT, Inc. | | 1,287,410 | 28,001,168 |
| Postal Realty Trust, Inc. | | 148,690 | 2,081,660 |
| Prologis (REIT), Inc. | | 421,400 | 48,431,502 |
| Public Storage | | 37,500 | 9,703,500 |
| RLJ Lodging Trust | | 541,229 | 5,785,738 |
| Ryman Hospitality Properties, Inc. | | 41,460 | 4,160,511 |
| SBA Communications Corp. Class A | | 45,000 | 11,113,200 |
| Simon Property Group, Inc. | | 427,735 | 53,419,824 |
| Spirit Realty Capital, Inc. | | 75,450 | 3,116,085 |
| Terreno Realty Corp. | | 124,797 | 7,127,157 |
| Urban Edge Properties | | 326,410 | 5,467,368 |
| Ventas, Inc. | | 305,000 | 13,981,200 |
| VICI Properties, Inc. | | 85,500 | 2,555,595 |
| Welltower, Inc. | | 367,200 | 32,717,520 |
| | | | 806,121,746 |
| Real Estate Management & Development - 0.1% | | | |
| Arealink Co. Ltd. | | 26,800 | 521,141 |
| CBRE Group, Inc. (b) | | 471,900 | 37,261,224 |
| Cushman & Wakefield PLC (b)(d) | | 1,626,836 | 13,356,324 |
| Jones Lang LaSalle, Inc. (b)(d) | | 142,247 | 22,122,253 |
| Newmark Group, Inc. | | 2,186,400 | 17,994,072 |
| The RMR Group, Inc. | | 11,385 | 271,305 |
| Zillow Group, Inc.: | | | |
| Class A (b) | | 47,200 | 1,859,208 |
| Class C (b) | | 374,800 | 15,344,312 |
| | | | 108,729,839 |
TOTAL REAL ESTATE | | | 914,851,585 |
| UTILITIES - 1.6% | | | |
| Electric Utilities - 1.1% | | | |
| Allete, Inc. | | 396,150 | 21,978,402 |
| Constellation Energy Corp. | | 1,046,055 | 126,614,497 |
| Duke Energy Corp. | | 214,700 | 19,812,516 |
| Edison International | | 1,609,800 | 107,840,502 |
| Entergy Corp. | | 218,900 | 22,198,649 |
| Evergy, Inc. | | 105,500 | 5,384,720 |
| Eversource Energy | | 20,477 | 1,216,539 |
| FirstEnergy Corp. | | 385,500 | 14,240,370 |
| IDACORP, Inc. (d) | | 125,760 | 12,135,840 |
| NextEra Energy, Inc. | | 2,057,193 | 120,366,362 |
| NRG Energy, Inc. | | 226,300 | 10,826,192 |
| OGE Energy Corp. | | 551,800 | 19,340,590 |
| PG&E Corp. | | 14,444,666 | 248,014,915 |
| Pinnacle West Capital Corp. | | 124,000 | 9,292,560 |
| PPL Corp. | | 725,038 | 18,937,993 |
| Southern Co. | | 3,123,966 | 221,739,107 |
| Xcel Energy, Inc. | | 344,272 | 20,945,508 |
| | | | 1,000,885,262 |
| Gas Utilities - 0.0% | | | |
| Brookfield Infrastructure Corp. A Shares (d) | | 489,610 | 15,207,287 |
| China Resource Gas Group Ltd. | | 262,200 | 822,386 |
| New Jersey Resources Corp. | | 109,074 | 4,602,923 |
| Southwest Gas Holdings, Inc. | | 120,500 | 7,122,755 |
| UGI Corp. | | 245,201 | 5,391,970 |
| | | | 33,147,321 |
| Independent Power and Renewable Electricity Producers - 0.1% | | | |
| Brookfield Renewable Corp. (d) | | 199,653 | 5,298,791 |
| Clearway Energy, Inc.: | | | |
| Class A | | 29,800 | 705,366 |
| Class C | | 228,700 | 5,710,639 |
| Energy Harbor Corp. (b) | | 59,500 | 4,797,188 |
| The AES Corp. | | 2,870,500 | 49,401,305 |
| Vistra Corp. | | 337,900 | 11,965,039 |
| | | | 77,878,328 |
| Multi-Utilities - 0.4% | | | |
| Black Hills Corp. | | 92,505 | 4,772,333 |
| CenterPoint Energy, Inc. | | 45,070 | 1,274,129 |
| Consolidated Edison, Inc. | | 67,500 | 6,082,425 |
| Dominion Energy, Inc. | | 1,684,806 | 76,389,104 |
| National Grid PLC | | 3,819,700 | 49,538,756 |
| NiSource, Inc. | | 958,369 | 24,572,581 |
| Public Service Enterprise Group, Inc. | | 226,200 | 14,121,666 |
| Sempra | | 1,854,900 | 135,166,563 |
| WEC Energy Group, Inc. | | 4,500 | 376,290 |
| | | | 312,293,847 |
| Water Utilities - 0.0% | | | |
| Consolidated Water Co., Inc. | | 11,241 | 405,688 |
TOTAL UTILITIES | | | 1,424,610,446 |
| TOTAL COMMON STOCKS (Cost $32,947,363,629) | | | 41,343,663,771 |
| | | | |
| Nonconvertible Preferred Stocks - 0.1% |
| | | Shares | Value ($) |
| INDUSTRIALS - 0.0% | | | |
| Aerospace & Defense - 0.0% | | | |
| Embraer SA sponsored ADR (b) | | 740,200 | 12,946,098 |
| INFORMATION TECHNOLOGY - 0.1% | | | |
| Technology Hardware, Storage & Peripherals - 0.1% | | | |
| Samsung Electronics Co. Ltd. | | 2,068,740 | 92,149,130 |
| TOTAL NONCONVERTIBLE PREFERRED STOCKS (Cost $98,516,608) | | | 105,095,228 |
| | | | |
| Nonconvertible Bonds - 0.5% |
| | | Principal Amount (h) | Value ($) |
| COMMUNICATION SERVICES - 0.0% | | | |
| Diversified Telecommunication Services - 0.0% | | | |
| AT&T, Inc. 0.9% 3/25/24 | | 3,000,000 | 2,954,831 |
| NTT Finance Corp. 0.583% 3/1/24 (a) | | 2,000,000 | 1,973,868 |
| Verizon Communications, Inc. 0.75% 3/22/24 | | 1,000,000 | 985,216 |
| | | | 5,913,915 |
| Media - 0.0% | | | |
| Charter Communications Operating LLC/Charter Communications Operating Capital Corp. 6.15% 11/10/26 | | 2,000,000 | 2,025,182 |
| Magallanes, Inc. 3.638% 3/15/25 | | 3,000,000 | 2,918,455 |
| | | | 4,943,637 |
| Wireless Telecommunication Services - 0.0% | | | |
| T-Mobile U.S.A., Inc. 3.5% 4/15/25 | | 2,000,000 | 1,945,186 |
TOTAL COMMUNICATION SERVICES | | | 12,802,738 |
| CONSUMER DISCRETIONARY - 0.0% | | | |
| Automobiles - 0.0% | | | |
| BMW U.S. Capital LLC U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.840% 6.1781% 4/1/25 (a)(i)(j) | | 1,000,000 | 1,005,182 |
| Daimler Finance North America LLC: | | | |
| 4.95% 3/30/25 (a) | | 2,500,000 | 2,487,610 |
| 5.5% 11/27/24 (a) | | 1,000,000 | 998,484 |
| General Motors Financial Co., Inc.: | | | |
| 1.2% 10/15/24 | | 3,000,000 | 2,878,948 |
| 3.95% 4/13/24 | | 3,000,000 | 2,976,211 |
| 4.35% 4/9/25 | | 3,000,000 | 2,936,098 |
| Hyundai Capital America 5.8% 6/26/25 (a) | | 2,000,000 | 1,999,418 |
| Volkswagen Group of America Finance LLC: | | | |
| 3.95% 6/6/25 (a) | | 3,000,000 | 2,918,924 |
| 5.7% 9/12/26 (a) | | 1,750,000 | 1,749,515 |
| | | | 19,950,390 |
| Specialty Retail - 0.0% | | | |
| AutoZone, Inc.: | | | |
| 3.125% 4/21/26 | | 1,500,000 | 1,424,128 |
| 3.625% 4/15/25 | | 3,000,000 | 2,925,580 |
| Lowe's Companies, Inc.: | | | |
| 4% 4/15/25 | | 1,500,000 | 1,470,261 |
| 4.8% 4/1/26 | | 225,000 | 223,207 |
| O'Reilly Automotive, Inc. 5.75% 11/20/26 | | 480,000 | 485,456 |
| Ross Stores, Inc. 0.875% 4/15/26 | | 1,500,000 | 1,349,800 |
| | | | 7,878,432 |
| Textiles, Apparel & Luxury Goods - 0.0% | | | |
| Tapestry, Inc. 7.05% 11/27/25 | | 94,000 | 95,165 |
TOTAL CONSUMER DISCRETIONARY | | | 27,923,987 |
| CONSUMER STAPLES - 0.0% | | | |
| Beverages - 0.0% | | | |
| Constellation Brands, Inc. 3.6% 5/9/24 | | 3,000,000 | 2,968,939 |
| Consumer Staples Distribution & Retail - 0.0% | | | |
| 7-Eleven, Inc. 0.8% 2/10/24 (a) | | 2,000,000 | 1,980,350 |
| Dollar General Corp. 4.25% 9/20/24 | | 3,000,000 | 2,958,612 |
| Dollar Tree, Inc. 4% 5/15/25 | | 1,500,000 | 1,460,501 |
| | | | 6,399,463 |
| Food Products - 0.0% | | | |
| JDE Peet's BV 0.8% 9/24/24 (a) | | 2,000,000 | 1,914,922 |
| Tobacco - 0.0% | | | |
| BAT Capital Corp. 3.222% 8/15/24 | | 3,000,000 | 2,943,334 |
| Imperial Tobacco Finance PLC 3.5% 7/26/26 (a) | | 1,000,000 | 942,589 |
| Philip Morris International, Inc.: | | | |
| 2.875% 5/1/24 | | 3,000,000 | 2,965,202 |
| 5.125% 11/15/24 | | 2,200,000 | 2,191,029 |
| Reynolds American, Inc. 4.45% 6/12/25 | | 4,000,000 | 3,933,102 |
| | | | 12,975,256 |
TOTAL CONSUMER STAPLES | | | 24,258,580 |
| ENERGY - 0.1% | | | |
| Energy Equipment & Services - 0.0% | | | |
| Baker Hughes Co. 2.061% 12/15/26 | | 1,000,000 | 914,242 |
| Oil, Gas & Consumable Fuels - 0.1% | | | |
| Canadian Natural Resources Ltd. 2.05% 7/15/25 | | 2,000,000 | 1,886,510 |
| DCP Midstream Operating LP 5.375% 7/15/25 | | 3,000,000 | 2,995,023 |
| Enbridge, Inc.: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.630% 5.9524% 2/16/24 (i)(j) | | 3,000,000 | 3,001,070 |
| 5.9% 11/15/26 | | 668,000 | 679,444 |
| Energy Transfer LP: | | | |
| 2.9% 5/15/25 | | 2,000,000 | 1,923,096 |
| 4.25% 4/1/24 | | 3,000,000 | 2,982,757 |
| 5.875% 1/15/24 | | 3,000,000 | 2,999,707 |
| Hess Corp. 3.5% 7/15/24 | | 1,500,000 | 1,477,730 |
| MPLX LP 4% 2/15/25 | | 2,000,000 | 1,958,184 |
| Phillips 66 Co. 3.85% 4/9/25 | | 2,000,000 | 1,956,631 |
| Pioneer Natural Resources Co. 1.125% 1/15/26 | | 1,500,000 | 1,377,269 |
| The Williams Companies, Inc.: | | | |
| 3.9% 1/15/25 | | 3,000,000 | 2,937,722 |
| 4.55% 6/24/24 | | 3,000,000 | 2,977,883 |
| 5.4% 3/2/26 | | 312,000 | 311,801 |
| | | | 29,464,827 |
TOTAL ENERGY | | | 30,379,069 |
| FINANCIALS - 0.3% | | | |
| Banks - 0.2% | | | |
| ABN AMRO Bank NV 6.339% 9/18/27 (a)(i) | | 1,300,000 | 1,306,491 |
| Bank of America Corp.: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.290% 5.08% 1/20/27 (i)(j) | | 2,000,000 | 1,977,908 |
| 3.366% 1/23/26 (i) | | 3,000,000 | 2,906,374 |
| 3.458% 3/15/25 (i) | | 3,000,000 | 2,976,584 |
| 3.95% 4/21/25 | | 3,000,000 | 2,926,458 |
| 5.933% 9/15/27 (i) | | 1,700,000 | 1,712,834 |
| Bank of Nova Scotia: | | | |
| 5.35% 12/7/26 | | 1,945,000 | 1,939,811 |
| 5.45% 6/12/25 | | 2,000,000 | 1,994,860 |
| Barclays PLC: | | | |
| 1.007% 12/10/24 (i) | | 3,000,000 | 2,979,588 |
| 2.852% 5/7/26 (i) | | 1,000,000 | 952,891 |
| 3.932% 5/7/25 (i) | | 3,000,000 | 2,970,180 |
| 6.496% 9/13/27 (i) | | 1,400,000 | 1,411,552 |
| 7.325% 11/2/26 (i) | | 1,500,000 | 1,533,609 |
| BNP Paribas SA 2.219% 6/9/26 (a)(i) | | 1,500,000 | 1,418,213 |
| BPCE SA 5.975% 1/18/27 (a)(i) | | 3,000,000 | 2,985,854 |
| Canadian Imperial Bank of Commerce: | | | |
| 3.945% 8/4/25 | | 2,000,000 | 1,949,067 |
| 5.926% 10/2/26 | | 2,000,000 | 2,030,359 |
| Citibank NA 5.864% 9/29/25 | | 2,000,000 | 2,017,758 |
| Citigroup, Inc.: | | | |
| 0.981% 5/1/25 (i) | | 2,000,000 | 1,954,795 |
| 2.014% 1/25/26 (i) | | 1,500,000 | 1,429,538 |
| 3.106% 4/8/26 (i) | | 2,000,000 | 1,928,449 |
| Citizens Bank NA 4.119% 5/23/25 (i) | | 3,000,000 | 2,896,190 |
| Danske Bank A/S: | | | |
| 3.773% 3/28/25 (a)(i) | | 1,020,000 | 1,011,409 |
| 6.259% 9/22/26 (a)(i) | | 1,527,000 | 1,537,330 |
| 6.466% 1/9/26 (a)(i) | | 1,960,000 | 1,964,818 |
| DNB Bank ASA: | | | |
| 0.856% 9/30/25 (a)(i) | | 1,000,000 | 958,468 |
| 2.968% 3/28/25 (a)(i) | | 3,000,000 | 2,969,749 |
| Fifth Third Bancorp: | | | |
| 2.375% 1/28/25 | | 3,000,000 | 2,882,985 |
| 3.65% 1/25/24 | | 1,500,000 | 1,494,095 |
| HSBC Holdings PLC: | | | |
| 0.976% 5/24/25 (i) | | 3,000,000 | 2,922,822 |
| 1.645% 4/18/26 (i) | | 1,000,000 | 940,906 |
| 3.803% 3/11/25 (i) | | 3,000,000 | 2,980,134 |
| Huntington Bancshares, Inc. 2.625% 8/6/24 | | 1,000,000 | 974,422 |
| Huntington National Bank 5.699% 11/18/25 (i) | | 1,792,000 | 1,750,401 |
| Intesa Sanpaolo SpA 3.25% 9/23/24 (a) | | 3,000,000 | 2,929,540 |
| JPMorgan Chase & Co.: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.920% 6.2383% 2/24/26 (i)(j) | | 3,000,000 | 2,998,110 |
| 0.563% 2/16/25 (i) | | 3,000,000 | 2,963,103 |
| 3.845% 6/14/25 (i) | | 3,000,000 | 2,967,737 |
| 4.023% 12/5/24 (i) | | 3,000,000 | 2,999,828 |
| KeyBank NA U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.320% 5.6627% 6/14/24 (i)(j) | | 3,000,000 | 2,955,689 |
| KeyCorp 3.878% 5/23/25 (i) | | 1,500,000 | 1,451,788 |
| Lloyds Banking Group PLC 5.985% 8/7/27 (i) | | 845,000 | 846,941 |
| Mitsubishi UFJ Financial Group, Inc. 0.953% 7/19/25 (i) | | 2,000,000 | 1,936,782 |
| Mizuho Financial Group, Inc.: | | | |
| 1.234% 5/22/27 (i) | | 1,000,000 | 897,760 |
| 2.226% 5/25/26 (i) | | 2,000,000 | 1,894,496 |
| Morgan Stanley Bank, West Valley City Utah: | | | |
| 4.754% 4/21/26 | | 941,000 | 929,320 |
| 5.479% 7/16/25 | | 2,000,000 | 2,004,419 |
| 5.882% 10/30/26 | | 2,000,000 | 2,031,999 |
| NatWest Group PLC 5.847% 3/2/27 (i) | | 1,288,000 | 1,283,707 |
| NatWest Markets PLC: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.450% 6.7903% 3/22/25 (a)(i)(j) | | 2,000,000 | 2,014,820 |
| 0.8% 8/12/24 (a) | | 3,000,000 | 2,899,191 |
| Rabobank Nederland New York Branch 3.875% 8/22/24 | | 2,000,000 | 1,976,770 |
| Royal Bank of Canada 2.55% 7/16/24 | | 2,000,000 | 1,961,555 |
| Santander Holdings U.S.A., Inc.: | | | |
| 3.5% 6/7/24 | | 3,000,000 | 2,952,723 |
| 4.26% 6/9/25 (i) | | 3,000,000 | 2,946,760 |
| Societe Generale: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.050% 6.381% 1/21/26 (a)(i)(j) | | 3,000,000 | 2,982,593 |
| 3.875% 3/28/24 (a) | | 3,000,000 | 2,979,655 |
| Sumitomo Mitsui Financial Group, Inc.: | | | |
| 2.696% 7/16/24 | | 1,500,000 | 1,472,532 |
| 5.464% 1/13/26 | | 3,000,000 | 2,997,620 |
| The Toronto-Dominion Bank 1.2% 6/3/26 | | 1,000,000 | 903,311 |
| Truist Financial Corp. U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.400% 5.7441% 6/9/25 (i)(j) | | 3,000,000 | 2,946,066 |
| U.S. Bancorp 3.1% 4/27/26 | | 1,500,000 | 1,419,475 |
| Wells Fargo & Co.: | | | |
| 0.805% 5/19/25 (i) | | 2,500,000 | 2,436,061 |
| 2.164% 2/11/26 (i) | | 1,000,000 | 954,877 |
| 2.406% 10/30/25 (i) | | 3,000,000 | 2,901,956 |
| 3% 2/19/25 | | 3,000,000 | 2,910,381 |
| | | | 139,334,467 |
| Capital Markets - 0.1% | | | |
| Bank of New York, New York 5.224% 11/21/25 (i) | | 690,000 | 687,255 |
| Deutsche Bank AG New York Branch: | | | |
| 1.447% 4/1/25 (i) | | 3,000,000 | 2,947,751 |
| 3.961% 11/26/25 (i) | | 3,000,000 | 2,920,537 |
| 7.146% 7/13/27 (i) | | 720,000 | 734,382 |
| Goldman Sachs Group, Inc.: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.700% 6.031% 1/24/25 (i)(j) | | 2,000,000 | 1,997,120 |
| 1.757% 1/24/25 (i) | | 2,000,000 | 1,986,671 |
| 3.625% 2/20/24 | | 2,000,000 | 1,990,048 |
| 5.7% 11/1/24 | | 2,000,000 | 1,998,739 |
| Intercontinental Exchange, Inc. 3.65% 5/23/25 | | 1,500,000 | 1,461,495 |
| Moody's Corp. 3.75% 3/24/25 | | 3,000,000 | 2,934,824 |
| Morgan Stanley: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.620% 5.957% 1/24/25 (i)(j) | | 3,000,000 | 2,992,500 |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.160% 6.4967% 4/17/25 (i)(j) | | 2,000,000 | 2,002,438 |
| 0.79% 5/30/25 (i) | | 3,000,000 | 2,915,473 |
| 0.791% 1/22/25 (i) | | 3,000,000 | 2,973,949 |
| 3.62% 4/17/25 (i) | | 3,000,000 | 2,972,153 |
| NASDAQ, Inc. 5.65% 6/28/25 | | 318,000 | 318,781 |
| UBS Group AG: | | | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.580% 6.9051% 5/12/26 (a)(i)(j) | | 2,000,000 | 2,008,375 |
| 4.49% 8/5/25 (a)(i) | | 2,000,000 | 1,975,626 |
| | | | 37,818,117 |
| Consumer Finance - 0.0% | | | |
| AerCap Ireland Capital Ltd./AerCap Global Aviation Trust: | | | |
| 1.65% 10/29/24 | | 785,000 | 753,216 |
| 1.75% 1/30/26 | | 1,000,000 | 914,531 |
| 6.1% 1/15/27 | | 2,000,000 | 2,010,189 |
| 6.45% 4/15/27 (a) | | 1,998,000 | 2,024,594 |
| 6.5% 7/15/25 | | 1,500,000 | 1,507,090 |
| Ally Financial, Inc.: | | | |
| 3.875% 5/21/24 | | 3,000,000 | 2,967,821 |
| 5.125% 9/30/24 | | 3,000,000 | 2,971,504 |
| 5.8% 5/1/25 | | 2,000,000 | 1,984,992 |
| 7.1% 11/15/27 | | 1,620,000 | 1,651,937 |
| American Express Co.: | | | |
| 5.389% 7/28/27 (i) | | 1,700,000 | 1,698,044 |
| 6.338% 10/30/26 (i) | | 1,694,000 | 1,717,093 |
| Capital One Financial Corp.: | | | |
| 1.343% 12/6/24 (i) | | 2,000,000 | 1,999,457 |
| 3.3% 10/30/24 | | 3,000,000 | 2,924,558 |
| 4.166% 5/9/25 (i) | | 2,000,000 | 1,969,759 |
| 4.985% 7/24/26 (i) | | 1,500,000 | 1,464,231 |
| Ford Motor Credit Co. LLC: | | | |
| 6.95% 3/6/26 | | 65,000 | 65,586 |
| 6.95% 6/10/26 | | 2,000,000 | 2,022,347 |
| Synchrony Financial: | | | |
| 4.5% 7/23/25 | | 3,000,000 | 2,884,934 |
| 4.875% 6/13/25 | | 3,000,000 | 2,899,129 |
| | | | 36,431,012 |
| Financial Services - 0.0% | | | |
| AIG Global Funding: | | | |
| 0.9% 9/22/25 (a) | | 2,000,000 | 1,838,775 |
| 5.75% 7/2/26 (a) | | 2,000,000 | 1,997,581 |
| Athene Global Funding: | | | |
| 1.608% 6/29/26 (a) | | 2,500,000 | 2,220,520 |
| 1.716% 1/7/25 (a) | | 3,000,000 | 2,850,392 |
| Corebridge Financial, Inc. 3.5% 4/4/25 | | 1,500,000 | 1,453,570 |
| Nationwide Building Society 6.557% 10/18/27 (a)(i) | | 2,000,000 | 2,029,264 |
| | | | 12,390,102 |
| Insurance - 0.0% | | | |
| Equitable Financial Life Global Funding 1.1% 11/12/24 (a) | | 3,000,000 | 2,869,227 |
| Marsh & McLennan Companies, Inc. 3.875% 3/15/24 | | 3,000,000 | 2,983,526 |
| MassMutual Global Funding II 4.5% 4/10/26 (a) | | 2,000,000 | 1,969,021 |
| | | | 7,821,774 |
TOTAL FINANCIALS | | | 233,795,472 |
| HEALTH CARE - 0.0% | | | |
| Biotechnology - 0.0% | | | |
| Amgen, Inc.: | | | |
| 5.15% 3/2/28 | | 342,000 | 342,713 |
| 5.25% 3/2/25 | | 2,000,000 | 1,992,446 |
| | | | 2,335,159 |
| Health Care Equipment & Supplies - 0.0% | | | |
| Becton, Dickinson & Co. 3.363% 6/6/24 | | 3,000,000 | 2,961,612 |
| Boston Scientific Corp. 1.9% 6/1/25 | | 3,000,000 | 2,846,102 |
| | | | 5,807,714 |
| Health Care Providers & Services - 0.0% | | | |
| Cigna Group: | | | |
| 0.613% 3/15/24 | | 3,000,000 | 2,956,362 |
| 4.125% 11/15/25 | | 1,500,000 | 1,465,097 |
| CVS Health Corp. 5% 2/20/26 | | 2,000,000 | 1,990,553 |
| | | | 6,412,012 |
| Life Sciences Tools & Services - 0.0% | | | |
| Revvity, Inc. 0.85% 9/15/24 | | 3,000,000 | 2,885,217 |
| Pharmaceuticals - 0.0% | | | |
| AstraZeneca Finance LLC 0.7% 5/28/24 | | 1,500,000 | 1,465,312 |
| Bristol-Myers Squibb Co. 2.9% 7/26/24 | | 3,000,000 | 2,950,506 |
| GSK Consumer Healthcare Capital 3.125% 3/24/25 | | 1,000,000 | 968,366 |
| Viatris, Inc. 1.65% 6/22/25 | | 3,000,000 | 2,811,107 |
| | | | 8,195,291 |
TOTAL HEALTH CARE | | | 25,635,393 |
| INDUSTRIALS - 0.1% | | | |
| Aerospace & Defense - 0.1% | | | |
| L3Harris Technologies, Inc. 5.4% 1/15/27 | | 2,000,000 | 2,016,627 |
| RTX Corp. 5.75% 11/8/26 | | 721,000 | 730,628 |
| The Boeing Co.: | | | |
| 1.95% 2/1/24 | | 3,000,000 | 2,980,842 |
| 4.875% 5/1/25 | | 3,000,000 | 2,968,448 |
| | | | 8,696,545 |
| Building Products - 0.0% | | | |
| Carrier Global Corp.: | | | |
| 2.242% 2/15/25 | | 3,000,000 | 2,881,818 |
| 5.8% 11/30/25 (a) | | 1,115,000 | 1,121,456 |
| | | | 4,003,274 |
| Commercial Services & Supplies - 0.0% | | | |
| Republic Services, Inc. 3.2% 3/15/25 | | 1,500,000 | 1,456,030 |
| Ground Transportation - 0.0% | | | |
| Canadian Pacific Railway Co. 1.35% 12/2/24 | | 3,000,000 | 2,874,262 |
| Machinery - 0.0% | | | |
| Daimler Trucks Finance North America LLC 5.2% 1/17/25 (a) | | 610,000 | 607,026 |
| Otis Worldwide Corp. 2.056% 4/5/25 | | 3,000,000 | 2,868,469 |
| Parker Hannifin Corp. 3.65% 6/15/24 | | 1,500,000 | 1,481,936 |
| | | | 4,957,431 |
| Trading Companies & Distributors - 0.0% | | | |
| Air Lease Corp.: | | | |
| 2.3% 2/1/25 | | 3,000,000 | 2,872,347 |
| 3.375% 7/1/25 | | 3,000,000 | 2,878,694 |
| | | | 5,751,041 |
| Transportation Infrastructure - 0.0% | | | |
| Avolon Holdings Funding Ltd.: | | | |
| 2.875% 2/15/25 (a) | | 4,500,000 | 4,298,134 |
| 6.375% 5/4/28 (a) | | 571,000 | 569,431 |
| | | | 4,867,565 |
TOTAL INDUSTRIALS | | | 32,606,148 |
| INFORMATION TECHNOLOGY - 0.0% | | | |
| Electronic Equipment, Instruments & Components - 0.0% | | | |
| Dell International LLC/EMC Corp. 5.85% 7/15/25 | | 1,500,000 | 1,506,391 |
| Software - 0.0% | | | |
| Roper Technologies, Inc.: | | | |
| 1% 9/15/25 | | 2,000,000 | 1,849,386 |
| 2.35% 9/15/24 | | 2,000,000 | 1,946,301 |
| VMware, Inc. 1% 8/15/24 | | 2,000,000 | 1,934,589 |
| | | | 5,730,276 |
TOTAL INFORMATION TECHNOLOGY | | | 7,236,667 |
| MATERIALS - 0.0% | | | |
| Chemicals - 0.0% | | | |
| Celanese U.S. Holdings LLC 6.05% 3/15/25 | | 1,500,000 | 1,502,374 |
| Nutrien Ltd. 5.9% 11/7/24 | | 1,996,000 | 1,997,767 |
| | | | 3,500,141 |
| REAL ESTATE - 0.0% | | | |
| Equity Real Estate Investment Trusts (REITs) - 0.0% | | | |
| Crown Castle International Corp. 4% 3/1/27 | | 2,000,000 | 1,900,904 |
| Federal Realty OP LP 3.95% 1/15/24 | | 3,000,000 | 2,991,798 |
| Omega Healthcare Investors, Inc. 4.5% 1/15/25 | | 3,000,000 | 2,931,776 |
| Ventas Realty LP 3.5% 4/15/24 | | 3,000,000 | 2,970,997 |
| WP Carey, Inc. 4.6% 4/1/24 | | 3,000,000 | 2,978,887 |
| | | | 13,774,362 |
| UTILITIES - 0.0% | | | |
| Electric Utilities - 0.0% | | | |
| Duke Energy Corp. 2.65% 9/1/26 | | 1,000,000 | 930,696 |
| Mississippi Power Co. U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.300% 5.639% 6/28/24 (i)(j) | | 2,000,000 | 1,997,198 |
| Pennsylvania Electric Co. 5.15% 3/30/26 (a) | | 576,000 | 569,947 |
| Southern California Edison Co. 3.7% 8/1/25 | | 1,500,000 | 1,452,525 |
| Southern Co. 5.5% 3/15/29 | | 893,000 | 906,624 |
| Tampa Electric Co. 3.875% 7/12/24 | | 2,000,000 | 1,976,801 |
| | | | 7,833,791 |
| Independent Power and Renewable Electricity Producers - 0.0% | | | |
| The AES Corp. 3.3% 7/15/25 (a) | | 2,000,000 | 1,909,333 |
| Multi-Utilities - 0.0% | | | |
| CenterPoint Energy, Inc. U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.650% 5.9751% 5/13/24 (i)(j) | | 3,000,000 | 2,998,803 |
| DTE Energy Co. 4.22% 11/1/24 | | 3,000,000 | 2,953,433 |
| NiSource, Inc. 0.95% 8/15/25 | | 3,000,000 | 2,771,787 |
| Puget Energy, Inc. 3.65% 5/15/25 | | 2,000,000 | 1,932,574 |
| | | | 10,656,597 |
TOTAL UTILITIES | | | 20,399,721 |
| TOTAL NONCONVERTIBLE BONDS (Cost $431,524,567) | | | 432,312,278 |
| | | | |
| U.S. Treasury Obligations - 0.3% |
| | | Principal Amount (h) | Value ($) |
| U.S. Treasury Bills, yield at date of purchase 5.32% to 5.38% 2/1/24 to 2/29/24 (k) | | 2,120,000 | 2,100,063 |
| U.S. Treasury Notes: | | | |
| 3.625% 5/31/28 | | 46,722,200 | 45,395,362 |
| 3.875% 1/15/26 (k) | | 56,892,200 | 56,007,704 |
| 4.125% 6/15/26 | | 42,960,800 | 42,536,227 |
| 4.125% 10/31/27 | | 6,796,800 | 6,733,877 |
| 4.5% 7/15/26 | | 19,839,400 | 19,825,451 |
| TOTAL U.S. TREASURY OBLIGATIONS (Cost $173,598,811) | | | 172,598,684 |
| | | | |
| Asset-Backed Securities - 0.0% |
| | | Principal Amount (h) | Value ($) |
| American Express Credit Account Master Trust Series 2023-1 Class A, 4.87% 5/15/28 | | 863,000 | 858,651 |
| Ari Fleet Lease Trust 2023-B Series 2023-B Class A2, 6.05% 7/15/32 (a) | | 1,192,000 | 1,196,769 |
| Bmw Vechicle Lease Trust 2023-2 Series 2023-2 Class A3, 5.99% 9/25/26 | | 1,057,000 | 1,065,103 |
| Bmw Vechile Owner Trust 2023-A Series 2023-A Class A3, 5.47% 2/25/28 | | 247,000 | 248,108 |
| CarMax Auto Owner Trust Series 2023 2 Class A3, 5.05% 1/18/28 | | 1,534,000 | 1,522,651 |
| Carmax Auto Owner Trust 2023-4 Series 2023-4 Class A3, 6% 7/17/28 | | 302,000 | 307,274 |
| Carmx 2023-3 A3 Series 2023-3 Class A3, 5.28% 5/15/28 | | 1,154,000 | 1,152,995 |
| Cedar Funding Ltd. Series 2021-14A Class A, CME Term SOFR 3 Month Index + 1.360% 6.7555% 7/15/33 (a)(i)(j) | | 2,000,000 | 1,997,076 |
| Cent CLO LP Series 2021-21A Class A1R3, CME Term SOFR 3 Month Index + 1.230% 6.6191% 7/27/30 (a)(i)(j) | | 374,703 | 374,107 |
| CFMT LLC Series 2023 HB12 Class A, 4.25% 4/25/33 (a) | | 208,845 | 200,969 |
| Chase Issuance Trust: | | | |
| Series 2023-A1 Class A, 5.16% 9/15/28 | | 2,080,000 | 2,088,230 |
| Series 2023-A2 Class A, 5.08% 9/15/30 | | 2,080,000 | 2,086,587 |
| Chesapeake Funding II LLC: | | | |
| Series 2021-1A Class A2, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.340% 5.6685% 4/15/33 (a)(i)(j) | | 581,383 | 578,813 |
| Series 2023 1A Class A1, 5.65% 5/15/35 (a) | | 1,109,469 | 1,105,676 |
| Series 2023-2A Class A1, 6.16% 10/15/35 (a) | | 222,829 | 223,743 |
| Dell Equipment Finance Trust 2 Series 2023-3 Class A3, 5.93% 4/23/29 (a) | | 773,000 | 777,963 |
| Dell Equipment Finance Trust 2023-2 Series 2023-2 Class A3, 5.65% 1/22/29 (a) | | 498,000 | 498,551 |
| Dllaa 2023-1A Series 2023-1A Class A3, 5.64% 2/22/28 (a) | | 134,000 | 133,980 |
| Enterprise Fleet Financing Series 2023-2 Class A2, 5.56% 4/22/30 (a) | | 1,552,000 | 1,545,810 |
| Enterprise Fleet Financing 2023-3 L Series 2023-3 Class A2, 6.4% 3/20/30 (a) | | 487,000 | 493,046 |
| Enterprise Fleet Financing LLC Series 2023-1 Class A2, 5.51% 1/22/29 (a) | | 1,136,000 | 1,130,615 |
| Ford Credit Auto Owner Trust Series 2020-2 Class A, 1.06% 4/15/33 (a) | | 1,409,000 | 1,299,449 |
| Ford Credit Auto Owner Trust 2 Series 2023-B Class A3, 5.23% 5/15/28 | | 982,000 | 982,840 |
| Ford Credit Floorplan Master Owner Trust Series 2023-1 Class A1, 4.92% 5/15/28 (a) | | 986,000 | 972,757 |
| GM Financial Automobile Leasing Series 2023-2 Class A3, 5.05% 7/20/26 | | 981,000 | 973,167 |
| Gm Financial Consumer Automobile Re Series 2023-3 Class A3, 5.45% 6/16/28 | | 282,000 | 283,404 |
| Gm Financial Leasing Trust 202 Series 2023-3 Class A3, 5.38% 11/20/26 | | 141,000 | 140,619 |
| GMF Floorplan Owner Revolving Trust Series 2023-1 Class B, 5.73% 6/15/28 (a) | | 1,104,000 | 1,100,685 |
| Hyundai Auto Lease Securitizat Series 2023-C Class A3, 5.8% 12/15/26 (a) | | 1,363,000 | 1,372,006 |
| Hyundai Auto Receivables Trust Series 2023-B Class A3, 5.48% 4/17/28 | | 285,000 | 286,582 |
| Porsche Financial Auto Securitizati Series 2023-2A Class A3, 5.79% 1/22/29 (a) | | 674,000 | 682,036 |
| Sfs Auto Receivables Securitiz Series 2023-1A Class A3, 5.47% 10/20/28 (a) | | 1,579,000 | 1,578,458 |
| Sofi Consumer Loan Program Series 2023-1S Class A, 5.81% 5/15/31 (a) | | 327,404 | 326,729 |
| Tesla Auto Lease Trust 2023-B Series 2023-B Class A3, 6.13% 9/21/26 (a) | | 1,764,000 | 1,770,156 |
| Tesla Auto Lease Trust 23-A Series 2023-A Class A3, 5.89% 6/22/26 (a) | | 322,000 | 321,579 |
| Toyota Lease Owner Trust 2023- Series 2023-B Class A3, 5.66% 11/20/26 (a) | | 1,484,000 | 1,493,636 |
| Upstart Securitization Trust 2 Series 2023-3 Class A, 6.9% 10/20/33 (a) | | 1,063,000 | 1,062,883 |
| Verizon Master Trust: | | | |
| Series 2023 2 Class A, 4.89% 4/13/28 | | 1,189,000 | 1,178,352 |
| Series 2023-4 Class A1A, 5.16% 6/20/29 | | 1,573,000 | 1,570,424 |
| Volkswagen Auto Lease Trust 20 Series 2023-A Class A3, 5.81% 10/20/26 | | 1,708,000 | 1,718,340 |
| Volkswagen Auto Loan Enhanced Series 2023-1 Class A3, 5.02% 6/20/28 | | 699,000 | 695,233 |
| Voya CLO Ltd./Voya CLO LLC Series 2021-2A Class A1R, CME Term SOFR 3 Month Index + 1.420% 6.8184% 7/19/34 (a)(i)(j) | | 2,000,000 | 1,987,308 |
| Wheels Fleet Lease Funding 1 L Series 2023-2A Class A, 6.46% 8/18/38 (a) | | 1,487,000 | 1,498,191 |
| World Omni Auto Receivables Trust: | | | |
| Series 2023-C Class A3, 5.15% 11/15/28 | | 173,000 | 172,606 |
| Series 2023-D Class A3, 5.79% 2/15/29 | | 1,017,000 | 1,033,095 |
| TOTAL ASSET-BACKED SECURITIES (Cost $43,995,301) | | | 44,087,252 |
| | | | |
| Collateralized Mortgage Obligations - 0.0% |
| | | Principal Amount (h) | Value ($) |
| Private Sponsor - 0.0% | | | |
| Ocwen Ln Investment Trust 2023-Hb1 Series 2023-HB1 Class A, 3% 6/25/36 (a) | | 88,553 | 83,956 |
| Preston Ridge Partners Mortgage Trust Series 2021-2 Class A1, 2.115% 3/25/26 (a) | | 356,840 | 343,181 |
| | | | |
| TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $426,466) | | | 427,137 |
| | | | |
| Commercial Mortgage Securities - 0.0% |
| | | Principal Amount (h) | Value ($) |
| Benchmark Mortgage Trust sequential payer Series 2019-B9 Class AAB, 3.9325% 3/15/52 | | 1,864,305 | 1,790,267 |
| BX Commercial Mortgage Trust floater Series 2022-LP2 Class A, CME Term SOFR 1 Month Index + 1.010% 6.3358% 2/15/39 (a)(i)(j) | | 2,025,174 | 1,976,260 |
| Bx Commercial Mortgage Trust 2 floater sequential payer Series 2019-IMC Class A, CME Term SOFR 1 Month Index + 1.040% 6.3693% 4/15/34 (a)(i)(j) | | 319,000 | 316,518 |
| BX Trust: | | | |
| floater Series 2022-GPA Class A, CME Term SOFR 1 Month Index + 2.160% 7.4879% 8/15/39 (a)(i)(j) | | 367,000 | 367,345 |
| floater sequential payer: | | | |
Series 2019-XL Class A, CME Term SOFR 1 Month Index + 1.030% 6.3574% 10/15/36 (a)(i)(j) | | 1,128,159 | 1,125,294 |
Series 2021-SOAR Class A, CME Term SOFR 1 Month Index + 0.780% 6.1075% 6/15/38 (a)(i)(j) | | 1,906,015 | 1,869,503 |
| CAMB Commercial Mortgage Trust floater Series 2019-LIFE Class A, CME Term SOFR 1 Month Index + 1.110% 6.44% 12/15/37 (a)(i)(j) | | 2,200,000 | 2,187,572 |
| CSAIL Commercial Mortgage Trust sequential payer Series 2015-C4 Class A3, 3.5438% 11/15/48 | | 1,453,738 | 1,404,202 |
| GS Mortgage Securities Trust floater Series 2021-IP Class A, CME Term SOFR 1 Month Index + 1.060% 6.3875% 10/15/36 (a)(i)(j) | | 2,300,000 | 2,207,042 |
| JPMBB Commercial Mortgage Securities Trust sequential payer Series 2014-C21 Class A5, 3.7748% 8/15/47 | | 1,000,000 | 984,019 |
| Life Financial Services Trust floater Series 2022-BMR2 Class A1, CME Term SOFR 1 Month Index + 1.290% 6.6182% 5/15/39 (a)(i)(j) | | 2,500,000 | 2,448,230 |
| LIFE Mortgage Trust floater Series 2021-BMR Class A, CME Term SOFR 1 Month Index + 0.810% 6.1375% 3/15/38 (a)(i)(j) | | 1,808,665 | 1,763,200 |
| Open Trust 2023-Air sequential payer Series 2023-AIR Class A, CME Term SOFR 1 Month Index + 3.080% 8.4131% 10/15/28 (a)(i)(j) | | 409,000 | 409,000 |
| TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $18,821,822) | | | 18,848,452 |
| | | | |
| Bank Notes - 0.0% |
| | | Principal Amount (h) | Value ($) |
| Citizens Bank NA 2.25% 4/28/25 | | 3,000,000 | 2,827,423 |
| Truist Bank 1.5% 3/10/25 | | 2,000,000 | 1,889,985 |
| TOTAL BANK NOTES (Cost $4,770,749) | | | 4,717,408 |
| | | | |
| Other - 0.0% |
| | | Shares | Value ($) |
| Commodity Funds - Broad Basket - 0.0% | | | |
Fidelity SAI Inflation-Focused Fund (l) (Cost $1,038) | | 13 | 1,173 |
| | | | |
| Money Market Funds - 1.9% |
| | | Shares | Value ($) |
| Fidelity Cash Central Fund 5.40% (m) | | 1,013,847,331 | 1,014,050,101 |
| Fidelity Securities Lending Cash Central Fund 5.39% (m)(n) | | 620,242,472 | 620,304,497 |
| TOTAL MONEY MARKET FUNDS (Cost $1,634,350,835) | | | 1,634,354,598 |
| | | | |
| Equity Funds - 50.2% |
| | | Shares | Value ($) |
| Large Blend Funds - 5.3% | | | |
| Fidelity SAI U.S. Large Cap Index Fund (l) | | 42,822,723 | 814,488,198 |
| Fidelity SAI U.S. Low Volatility Index Fund (l) | | 200,749,393 | 3,747,991,168 |
TOTAL LARGE BLEND FUNDS | | | 4,562,479,366 |
| Large Growth Funds - 38.8% | | | |
| Fidelity Blue Chip Growth Fund (l) | | 11,595,864 | 1,907,635,565 |
| Fidelity Contrafund (l) | | 365,245,294 | 5,832,967,341 |
| Fidelity Growth Company Fund (l) | | 301,664,445 | 9,433,047,190 |
| Fidelity Magellan Fund (l) | | 480,770,201 | 5,759,627,013 |
| Fidelity SAI U.S. Momentum Index Fund (l) | | 956,967 | 12,564,971 |
| Fidelity SAI U.S. Quality Index Fund (l) | | 571,652,465 | 10,735,633,264 |
TOTAL LARGE GROWTH FUNDS | | | 33,681,475,344 |
| Large Value Funds - 0.7% | | | |
| Fidelity SAI U.S. Value Index Fund (l) | | 61,064,174 | 630,182,273 |
| Mid-Cap Blend Funds - 1.3% | | | |
| Fidelity SAI Small-Mid Cap 500 Index Fund (l) | | 192,383,029 | 1,083,116,451 |
| Mid-Cap Growth Funds - 1.9% | | | |
| Fidelity Extended Market Index Fund (l) | | 22,714,453 | 1,622,947,644 |
| Small Blend Funds - 1.4% | | | |
| Fidelity Small Cap Index Fund (l) | | 53,543,301 | 1,207,936,878 |
| Small Growth Funds - 0.8% | | | |
| Fidelity Advisor Small Cap Growth Fund Class Z (l) | | 28,267,733 | 720,827,184 |
| TOTAL EQUITY FUNDS (Cost $38,045,680,966) | | | 43,508,965,140 |
| | | | |
| TOTAL INVESTMENT IN SECURITIES - 100.7% (Cost $73,399,050,792) | 87,265,071,121 |
NET OTHER ASSETS (LIABILITIES) - (0.7)% | (563,609,620) |
| NET ASSETS - 100.0% | 86,701,461,501 |
| | |
| Futures Contracts |
| | Number of contracts | Expiration Date | Notional Amount ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) |
| Purchased | | | | | |
| | | | | | |
| Equity Index Contracts | | | | | |
| CME E-mini Russell 2000 Index Contracts (United States) | 14 | Dec 2023 | 1,268,540 | 27,403 | 27,403 |
| CME E-mini S&P 500 Index Contracts (United States) | 1,547 | Dec 2023 | 354,011,613 | 7,299,501 | 7,299,501 |
| CME E-mini S&P MidCap 400 Index Contracts (United States) | 2 | Dec 2023 | 513,520 | 12,528 | 12,528 |
| | | | | | |
| TOTAL EQUITY INDEX CONTRACTS | | | | | 7,339,432 |
| | | | | | |
| Treasury Contracts | | | | | |
| CBOT 2-Year U.S. Treasury Note Contracts (United States) | 213 | Mar 2024 | 43,550,180 | 129,391 | 129,391 |
| CBOT 5-Year U.S. Treasury Note Contracts (United States) | 268 | Mar 2024 | 28,636,219 | 132,754 | 132,754 |
| | | | | | |
| TOTAL TREASURY CONTRACTS | | | | | 262,145 |
| | | | | | |
| TOTAL FUTURES CONTRACTS | | | | | 7,601,577 |
| The notional amount of futures purchased as a percentage of Net Assets is 0.5% |
| Written Options |
| | Counterparty | Number of Contracts | Notional Amount ($) | Exercise Price ($) | Expiration Date | Value ($) |
| Call Options | | | | | | |
| General Electric Co. | Chicago Board Options Exchange | 2,200 | 26,796,000 | 130.00 | 12/15/23 | (26,400) |
| | | | | | | |
| Total Return Swaps |
| Underlying Reference | Pay/ Receive Reference | Reference Payment Frequency | Financing Rate | Financing Frequency | Counterparty | Maturity Date | Units | Notional Amount | Value ($) | Upfront Premium Received/ (Paid) ($) | Unrealized Appreciation/ (Depreciation) ($) |
| S&P 500 Total Return | Receives | Monthly | U.S. Secured Overnight Fin. Rate (SOFR) Index plus 43 | Monthly | Goldman Sachs Intl. | Aug 2024 | 23,172 | | 227,985,114 | 931,538 | 0 | 931,538 |
| S&P 500 Total Return | Receives | Monthly | U.S. Secured Overnight Fin. Rate (SOFR) Index plus 45 basis points | Monthly | Morgan Stanley & Co. International PLC | May 2024 | 24,693 | | 242,949,958 | 992,683 | 0 | 992,683 |
| TOTAL RETURN SWAPS | | | | | | | | | | 1,924,221 | 0 | 1,924,221 |
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 $168,545,787 or 0.2% of net assets. |
| (d) | Security or a portion of the security is on loan at period end. |
| (e) | Security or a portion of the security is pledged as collateral for options written. At period end, the value of securities pledged amounted to $26,796,000. |
| (f) | Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
| (g) | Restricted securities (including private placements) - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $27,765,617 or 0.0% of net assets. |
| (h) | Amount is stated in United States dollars unless otherwise noted. |
| (i) | Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. |
| (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) | 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 $15,796,139. |
| (m) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
| (n) | Investment made with cash collateral received from securities on loan. |
| Additional information on each restricted holding is as follows: |
| Security | Acquisition Date | Acquisition Cost ($) |
| CCC Intelligent Solutions Holdings, Inc. | 2/02/21 | 1,343,850 |
| | | |
| Vertiv Holdings LLC | 2/06/20 | 6,000,000 |
| | | |
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
| Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
| Fidelity Cash Central Fund 5.40% | 868,688,624 | 3,466,320,251 | 3,320,958,775 | 24,389,367 | - | 1 | 1,014,050,101 | 2.1% |
| Fidelity Securities Lending Cash Central Fund 5.39% | 660,968,153 | 1,507,471,485 | 1,548,135,141 | 2,040,665 | - | - | 620,304,497 | 2.3% |
| Total | 1,529,656,777 | 4,973,791,736 | 4,869,093,916 | 26,430,032 | - | 1 | 1,634,354,598 | |
| | | | | | | | | |
Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.
Amounts in the dividend income column for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
Affiliated Underlying Funds
Fiscal year to date information regarding the Fund's investments in affiliated Underlying Funds is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur. If an Underlying Funds changes its name, the name presented below is the name in effect at period end.
| Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) |
| Fidelity Advisor Small Cap Growth Fund Class Z | 697,082,289 | - | - | - | - | 23,744,895 | 720,827,184 |
| Fidelity Blue Chip Growth Fund | 1,945,143,431 | 111,225,198 | 397,000,000 | 14,931,967 | (66,417,369) | 314,684,305 | 1,907,635,565 |
| Fidelity Contrafund | 5,426,929,231 | 47,206,126 | 370,000,000 | - | (102,676,256) | 831,508,240 | 5,832,967,341 |
| Fidelity Extended Market Index Fund | 1,030,279,659 | 498,902,449 | - | - | - | 93,765,536 | 1,622,947,644 |
| Fidelity Growth Company Fund | 7,890,527,117 | 725,000,000 | - | - | - | 817,520,073 | 9,433,047,190 |
| Fidelity Large Cap Value Enhanced Index Fund | 3,031,136,332 | 656,701,377 | 3,520,085,005 | 87,074,869 | 10,891,114 | (178,643,818) | - |
| Fidelity Magellan Fund | 4,886,094,703 | 237,907,506 | - | - | - | 635,624,804 | 5,759,627,013 |
| Fidelity SAI Inflation-Focused Fund | 11,387,686 | 11 | 12,003,811 | 11 | 513,226 | 104,061 | 1,173 |
| Fidelity SAI Small-Mid Cap 500 Index Fund | 865,305,791 | 175,845,012 | - | 17,788,062 | - | 41,965,648 | 1,083,116,451 |
| Fidelity SAI U.S. Large Cap Index Fund | 922,244,117 | 1,180,672,407 | 1,320,641,346 | 58,617,253 | 22,094,511 | 10,118,509 | 814,488,198 |
| Fidelity SAI U.S. Low Volatility Index Fund | 3,045,246,000 | 1,060,513,983 | 677,268,412 | - | 10,265,067 | 309,234,530 | 3,747,991,168 |
| Fidelity SAI U.S. Momentum Index Fund | 10,950,456 | 1,604,022 | - | 1,604,022 | - | 10,493 | 12,564,971 |
| Fidelity SAI U.S. Quality Index Fund | 9,879,433,831 | 539,850,937 | 677,427,017 | 103,022,413 | 12,731,002 | 981,044,511 | 10,735,633,264 |
| Fidelity SAI U.S. Value Index Fund | 46,783,485 | 571,628,974 | - | 8,763,239 | - | 11,769,814 | 630,182,273 |
| Fidelity Small Cap Discovery Fund | 422,981,957 | 5,200,688 | 456,862,319 | 5,200,687 | 104,190,561 | (75,510,887) | - |
| Fidelity Small Cap Index Fund | 35,415,990 | 1,150,006,888 | - | 138,598 | - | 22,514,000 | 1,207,936,878 |
| | 40,146,942,075 | 6,962,265,578 | 7,431,287,910 | 297,141,121 | (8,408,144) | 3,839,454,714 | 43,508,966,313 |
Amounts in the dividend 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.
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
Investment Valuation
The following is a summary of the inputs used, as of November 30, 2023, 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 | 2,847,705,771 | 2,785,571,889 | 62,133,880 | 2 |
Consumer Discretionary | 3,305,309,061 | 3,303,636,876 | 1,672,185 | - |
Consumer Staples | 3,100,132,229 | 2,995,158,349 | 104,973,880 | - |
Energy | 2,845,101,108 | 2,843,064,642 | 2,036,466 | - |
Financials | 7,126,180,331 | 7,083,102,682 | 43,077,649 | - |
Health Care | 5,702,646,305 | 5,575,059,323 | 127,586,982 | - |
Industrials | 5,240,117,266 | 5,057,234,311 | 182,882,955 | - |
Information Technology | 7,742,685,221 | 7,589,611,190 | 153,074,031 | - |
Materials | 1,199,419,676 | 1,199,419,676 | - | - |
Real Estate | 914,851,585 | 914,851,585 | - | - |
Utilities | 1,424,610,446 | 1,375,071,690 | 49,538,756 | - |
|
| Corporate Bonds | 432,312,278 | - | 432,312,278 | - |
|
| U.S. Government and Government Agency Obligations | 172,598,684 | - | 172,598,684 | - |
|
| Asset-Backed Securities | 44,087,252 | - | 44,087,252 | - |
|
| Collateralized Mortgage Obligations | 427,137 | - | 427,137 | - |
|
| Commercial Mortgage Securities | 18,848,452 | - | 18,848,452 | - |
|
| Bank Notes | 4,717,408 | - | 4,717,408 | - |
|
| Other | 1,173 | 1,173 | - | - |
|
| Money Market Funds | 1,634,354,598 | 1,634,354,598 | - | - |
|
| Equity Funds | 43,508,965,140 | 43,508,965,140 | - | - |
| Total Investments in Securities: | 87,265,071,121 | 85,865,103,124 | 1,399,967,995 | 2 |
Derivative Instruments: Assets | | | | |
Futures Contracts | 7,601,577 | 7,601,577 | - | - |
Swaps | 1,924,221 | - | 1,924,221 | - |
| Total Assets | 9,525,798 | 7,601,577 | 1,924,221 | - |
| Liabilities | | | | |
Written Options | (26,400) | (26,400) | - | - |
| Total Liabilities | (26,400) | (26,400) | - | - |
| Total Derivative Instruments: | 9,499,398 | 7,575,177 | 1,924,221 | - |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of November 30, 2023. 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) | 7,339,432 | 0 |
Swaps (b) | 1,924,221 | 0 |
Written Options (c) | 0 | (26,400) |
| Total Equity Risk | 9,263,653 | (26,400) |
| Interest Rate Risk | | |
Futures Contracts (a) | 262,145 | 0 |
| Total Interest Rate Risk | 262,145 | 0 |
| Total Value of Derivatives | 9,525,798 | (26,400) |
(a)Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).
(b)For bi-lateral over-the-counter (OTC) swaps, reflects gross value which is presented in the Statement of Assets and Liabilities in the bi-lateral OTC swaps, at value line-items.
(c)Gross value is presented in the Statement of Assets and Liabilities in the written options, at value line-item.
| Statement of Assets and Liabilities |
| | | | November 30, 2023 (Unaudited) |
| | | | | |
| Assets | | | | |
| Investment in securities, at value (including securities loaned of $601,178,291) - See accompanying schedule: | | | | |
Unaffiliated issuers (cost $33,719,017,962) | $ | 42,121,750,210 | | |
Fidelity Central Funds (cost $1,634,350,835) | | 1,634,354,598 | | |
Other affiliated issuers (cost $38,045,681,995) | | 43,508,966,313 | | |
| | | | | |
| | | | | |
| Total Investment in Securities (cost $73,399,050,792) | | | $ | 87,265,071,121 |
| Segregated cash with brokers for derivative instruments | | | | 2,960,520 |
| Cash | | | | 326,733 |
| Foreign currency held at value (cost $722,648) | | | | 720,839 |
| Receivable for investments sold | | | | 148,548,812 |
| Receivable for fund shares sold | | | | 138,941,091 |
| Dividends receivable | | | | 74,573,904 |
| Interest receivable | | | | 58,219,073 |
| Distributions receivable from Fidelity Central Funds | | | | 4,506,676 |
| Receivable for daily variation margin on futures contracts | | | | 1,202,966 |
| Bi-lateral OTC swaps, at value | | | | 1,924,221 |
| Prepaid expenses | | | | 60,624 |
| Other receivables | | | | 27,163 |
Total assets | | | | 87,697,083,743 |
| Liabilities | | | | |
| Payable for investments purchased | | | | |
Regular delivery | $ | 289,326,364 | | |
Delayed delivery | | 21,212 | | |
| Payable for swaps | | 18,904,533 | | |
| Payable for fund shares redeemed | | 56,756,669 | | |
| Accrued management fee | | 8,565,919 | | |
| Written options, at value (premium received $528,360) | | 26,400 | | |
| Other payables and accrued expenses | | 1,720,277 | | |
| Collateral on securities loaned | | 620,300,868 | | |
| Total Liabilities | | | | 995,622,242 |
| Net Assets | | | $ | 86,701,461,501 |
| Net Assets consist of: | | | | |
| Paid in capital | | | $ | 72,202,103,706 |
| Total accumulated earnings (loss) | | | | 14,499,357,795 |
| Net Assets | | | $ | 86,701,461,501 |
Net Asset Value, offering price and redemption price per share ($86,701,461,501 ÷ 6,132,246,111 shares) | | | $ | 14.14 |
| Statement of Operations |
| | | | Six months ended November 30, 2023 (Unaudited) |
| Investment Income | | | | |
| Dividends: | | | | |
| Unaffiliated issuers | | | $ | 299,768,327 |
| Affiliated issuers | | | | 140,981,627 |
| Interest | | | | 17,186,421 |
| Income from Fidelity Central Funds (including $2,040,665 from security lending) | | | | 26,430,032 |
| Total Income | | | | 484,366,407 |
| Expenses | | | | |
| Management fee | $ | 149,392,006 | | |
| Custodian fees and expenses | | 269,101 | | |
| Independent trustees' fees and expenses | | 237,055 | | |
| Registration fees | | 1,642,734 | | |
| Audit | | 47,979 | | |
| Legal | | 73,444 | | |
| Miscellaneous | | 185,820 | | |
| Total expenses before reductions | | 151,848,139 | | |
| Expense reductions | | (101,366,559) | | |
| Total expenses after reductions | | | | 50,481,580 |
| Net Investment income (loss) | | | | 433,884,827 |
| Realized and Unrealized Gain (Loss) | | | | |
| Net realized gain (loss) on: | | | | |
| Investment Securities: | | | | |
| Unaffiliated issuers (net of foreign taxes of $2,318) | | 262,169,307 | | |
| Affiliated issuers | | (8,408,144) | | |
| Foreign currency transactions | | (287,314) | | |
| Futures contracts | | 15,597,692 | | |
| Swaps | | 29,323,218 | | |
| Written options | | 426,126 | | |
| Capital gain distributions from underlying funds: | | | | |
| Affiliated issuers | | 156,159,494 | | |
| Total net realized gain (loss) | | | | 454,980,379 |
| Change in net unrealized appreciation (depreciation) on: | | | | |
| Investment Securities: | | | | |
| Unaffiliated issuers(net of increase in deferred foreign taxes of $766,877) | | 2,913,726,785 | | |
| Fidelity Central Funds | | 1 | | |
| Other affiliated issuers | | 3,839,454,714 | | |
| Assets and liabilities in foreign currencies | | 212,021 | | |
| Futures contracts | | 5,419,111 | | |
| Swaps | | 1,758,500 | | |
| Written options | | 322,183 | | |
| Total change in net unrealized appreciation (depreciation) | | | | 6,760,893,315 |
| Net gain (loss) | | | | 7,215,873,694 |
| Net increase (decrease) in net assets resulting from operations | | | $ | 7,649,758,521 |
| Statement of Changes in Net Assets |
| |
| | Six months ended November 30, 2023 (Unaudited) | | Year ended May 31, 2023 |
| Increase (Decrease) in Net Assets | | | | |
| Operations | | | | |
| Net investment income (loss) | $ | 433,884,827 | $ | 846,739,925 |
| Net realized gain (loss) | | 454,980,379 | | 1,085,593,474 |
| Change in net unrealized appreciation (depreciation) | | 6,760,893,315 | | 815,766,971 |
| Net increase (decrease) in net assets resulting from operations | | 7,649,758,521 | | 2,748,100,370 |
| Distributions to shareholders | | (768,984,074) | | (3,625,572,938) |
| | | | | |
| Share transactions | | | | |
| Proceeds from sales of shares | | 14,093,748,125 | | 20,458,813,664 |
| Reinvestment of distributions | | 748,017,545 | | 3,542,390,748 |
| Cost of shares redeemed | | (8,652,556,851) | | (18,357,269,480) |
| | | | | |
Net increase (decrease) in net assets resulting from share transactions | | 6,189,208,819 | | 5,643,934,932 |
| Total increase (decrease) in net assets | | 13,069,983,266 | | 4,766,462,364 |
| | | | | |
| Net Assets | | | | |
| Beginning of period | | 73,631,478,235 | | 68,865,015,871 |
| End of period | $ | 86,701,461,501 | $ | 73,631,478,235 |
| | | | | |
| Other Information | | | | |
| Shares | | | | |
| Sold | | 1,034,133,536 | | 1,656,217,226 |
| Issued in reinvestment of distributions | | 53,969,520 | | 296,499,303 |
| Redeemed | | (631,865,167) | | (1,470,021,362) |
| Net increase (decrease) | | 456,237,889 | | 482,695,167 |
| | | | | |
Financial Highlights
| Strategic Advisers® Fidelity® U.S. Total Stock Fund |
| |
| | Six months ended (Unaudited) November 30, 2023 | | Years ended May 31, 2023 | | 2022 | | 2021 | | 2020 | | 2019 |
Selected Per-Share Data | | | | | | | | | | | | |
| Net asset value, beginning of period | $ | 12.97 | $ | 13.26 | $ | 15.07 | $ | 10.56 | $ | 9.72 | $ | 9.96 |
| Income from Investment Operations | | | | | | | | | | | | |
Net investment income (loss) A,B | | .07 | | .15 | | .15 | | .14 | | .16 | | .18 |
| Net realized and unrealized gain (loss) | | 1.23 | | .24 | | (.75) | | 4.73 | | 1.00 | | (.20) |
| Total from investment operations | | 1.30 | | .39 | | (.60) | | 4.87 | | 1.16 | | (.02) |
| Distributions from net investment income | | (.05) | | (.15) | | (.12) | | (.18) | | (.17) | | (.09) C |
| Distributions from net realized gain | | (.09) | | (.54) | | (1.09) | | (.19) | | (.16) | | (.13) C |
| Total distributions | | (.13) D | | (.68) D | | (1.21) | | (.36) D | | (.32) D | | (.22) |
| Net asset value, end of period | $ | 14.14 | $ | 12.97 | $ | 13.26 | $ | 15.07 | $ | 10.56 | $ | 9.72 |
Total Return E,F | | 10.07% | | 3.45% | | (4.85)% | | 46.63% | | 11.84% | | (.04)% |
Ratios to Average Net Assets B,G,H | | | | | | | | | | | | |
| Expenses before reductions | | .37% I | | .38% | | .38% | | .38% | | .39% | | .42% |
| Expenses net of fee waivers, if any | | .12% I | | .13% | | .13% | | .13% | | .14% | | .17% |
| Expenses net of all reductions | | .12% I | | .13% | | .13% | | .13% | | .14% | | .17% |
| Net investment income (loss) | | 1.07% I | | 1.24% | | 1.03% | | 1.11% | | 1.55% | | 1.81% |
| Supplemental Data | | | | | | | | | | | | |
| Net assets, end of period (000 omitted) | $ | 86,701,462 | $ | 73,631,478 | $ | 68,865,016 | $ | 60,113,747 | $ | 33,429,994 | $ | 22,411,704 |
Portfolio turnover rate J | | 33% I | | 39% | | 35% | | 46% | | 52% | | 61% |
ACalculated based on average shares outstanding during the period.
BNet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
CThe amount shown reflects reclassifications related to book to tax differences that were made in the year shown.
DTotal distributions per share do not sum due to rounding.
ETotal returns for periods of less than one year are not annualized.
FTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
GFees 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.
HExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
IAnnualized.
JAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
For the period ended November 30, 2023
1. Organization.
Strategic Advisers Fidelity U.S. Total Stock Fund (the Fund) is a fund of Fidelity Rutland Square Trust II (the Trust), and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust. The Fund is offered exclusively to certain managed account clients of Strategic Advisers LLC (Strategic Advisers), an affiliate of Fidelity Management & Research Company LLC (FMR).
2. Significant Accounting Policies.
The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services 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 the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.
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 - unadjusted 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 service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, ETFs and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. Corporate bonds, bank notes and U.S. government and government agency obligations are valued by pricing services 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 are valued by pricing services 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 services, 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 services. Debt securities and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Exchange-traded options are valued using the last sale price or, in the absence of a sale, the last offering price and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of November 30, 2023 is included at the end of the Fund's Schedule of Investments.
Foreign Currency. Certain Funds may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.
Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received, and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and include proceeds received from litigation. Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of a fund include an amount in addition to trade execution, which may be rebated back to a fund. Any such rebates are included in net realized gain (loss) on investments in the Statement of Operations. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Income and capital gain distributions from any underlying mutual funds or exchange-traded funds (ETFs) are recorded on the ex-dividend date. Certain distributions received by the Fund represent a return of capital or capital gain. The Fund determines the components of these distributions subsequent to the ex-dividend date, based upon receipt of tax filings or other correspondence relating to the underlying investment. These distributions are recorded as a reduction of cost of investments and/or as a realized gain. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain. Funds may file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. Any withholding tax reclaims income is included in the Statement of Operations in dividends. Any receivables for withholding tax reclaims are included in the Statement of Assets and Liabilities in dividends receivable.
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan) for certain Funds, certain independent Trustees have elected to defer receipt of a portion of their annual compensation. Deferred amounts are invested in affiliated mutual funds, are marked-to-market and remain in a fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees presented below are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, as applicable.
| Strategic Advisers Fidelity U.S. Total Stock Fund | $18,709 |
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests. The Fund is subject to a tax imposed on capital gains by certain countries in which it invests. An estimated deferred tax liability for net unrealized appreciation on the applicable securities is included in Other payables and accrued expenses on the Statement of Assets & Liabilities.
Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to the short-term gain distributions from the underlying mutual funds or exchange-traded funds (ETFs), futures contracts, swaps, foreign currency transactions, certain foreign taxes, passive foreign investment companies (PFIC),partnerships and losses deferred due to wash sales and excise tax regulations.
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
| Gross unrealized appreciation | $16,272,728,480 |
| Gross unrealized depreciation | (2,684,692,490) |
| Net unrealized appreciation (depreciation) | $13,588,035,990 |
| Tax cost | $73,687,062,889 |
Delayed Delivery Transactions and When-Issued Securities. During the period, certain Funds transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. Securities purchased on a delayed delivery or when-issued basis are identified as such in the Schedule of Investments. Compensation for interest forgone in the purchase of a delayed delivery or when-issued debt security may be received. With respect to purchase commitments, each applicable Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Payables and receivables associated with the purchases and sales of delayed delivery securities having the same coupon, settlement date and broker are offset. Delayed delivery or when-issued securities that have been purchased from and sold to different brokers are reflected as both payables and receivables in the Statement of Assets and Liabilities under the caption "Delayed delivery", as applicable. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
Restricted Securities (including Private Placements). Funds may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities held at period end is included at the end of the Schedule of Investments, if applicable.
3. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund's investment objectives allow for various types of derivative instruments, including futures contracts, swaps and options. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.
Derivatives were used to increase returns, to gain exposure to certain types of assets and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the objectives may not be achieved.
Derivatives were used to increase or decrease exposure to the following risk(s):
| 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. |
| 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. |
Funds are also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that a 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 a fund. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives such as bi-lateral swaps, a 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 a 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, a fund receives collateral in the form of cash or securities once 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 custodian bank in accordance with the collateral agreements entered into between a fund, the counterparty and the custodian bank. A fund could experience delays and costs in gaining access to the collateral even though it is held by the custodian bank. The maximum risk of loss to a fund 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 a fund. A 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 contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to these 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.
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, 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)($) |
| Strategic Advisers Fidelity U.S. Total Stock Fund | | |
| Equity Risk | | |
| Futures Contracts | 17,463,600 | 4,969,677 |
| Written Options | 426,126 | 322,183 |
| Swaps | 29,323,218 | 1,758,500 |
| Total Equity Risk | 47,212,944 | 7,050,360 |
| Interest Rate Risk | | |
| Futures Contracts | (1,865,908) | 449,434 |
| Total Interest Rate Risk | (1,865,908) | 449,434 |
| Totals | 45,347,036 | 7,499,794 |
If there are any open positions at period end, a summary of the value of derivatives by primary risk exposure is included at the end of the Schedule of Investments.
Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. Futures contracts were used to manage exposure to the stock market, 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 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 unless an average notional amount is presented. Any securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Any 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.
Exchange-traded written covered call options were used to manage exposure to the market. When a fund writes a covered call option, a fund holds the underlying instrument which must be delivered to the holder upon the exercise of the option.
Upon entering into a written options contract, a fund will receive a premium. Premiums received are reflected as a liability on the Statement of Assets and Liabilities. Options are valued daily and any unrealized appreciation (depreciation) is reflected in total accumulated earnings (loss) in the Statement of Assets and Liabilities. When a written option is exercised, the premium is added to the proceeds from the sale of the underlying instrument in determining the gain or loss realized on that investment. When an option is closed, a gain or loss is realized depending on whether the proceeds or amount paid for the closing sale transaction are greater or less than the premium received. When an option expires, gains and losses are realized to the extent of premiums received. The net realized gain (loss) on closed and expired written options and the change in net unrealized appreciation (depreciation) on written options are presented in the Statement of Operations.
Writing call options tends to decrease exposure to the underlying instrument and risk of loss is the change in value in excess of the premium received.
Any open options at period end are presented in the Schedule of Investments under the caption "Written Options", and are representative of volume of activity during the period unless an average contracts amount is presented.
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.
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 total accumulated earnings (loss) 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.
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 unless an average notional amount is presented.
Total Return Swaps. Total return swaps are agreements between counterparties to exchange cash flows, one based on a market-linked return of an individual asset or a basket of assets (i.e., an index), and the other on a fixed or floating rate. To the extent the total return of the instrument or index underlying the transaction exceeds or falls short of the offsetting payment obligation, a fund will receive a payment from or make a payment to the counterparty. A fund enters into total return swaps to manage its market exposure.
4. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities, U.S. government securities and in-kind transactions, as applicable, are noted in the table below.
| | Purchases ($) | Sales ($) |
| Strategic Advisers Fidelity U.S. Total Stock Fund | 19,036,216,808 | 12,961,684,915 |
5. Fees and Other Transactions with Affiliates.
Management Fee. Strategic Advisers (the investment adviser) provides the Fund with investment management related services. For these services, the Fund pays a monthly management fee to the investment adviser. The management fee is calculated by adding the annual management fee rate of .25% of the Fund's average net assets throughout the month to the aggregate of the fee rates, payable monthly by the investment adviser, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed 1.00% of the Fund's average net assets. For the reporting period, the total annualized management fee rate was .37% of the Fund's average net assets.
During the period, the investment adviser waived a portion of its management fee as described in the Expense Reductions note.
Sub-Advisers. FIAM LLC (an affiliate of the investment adviser) and Geode Capital 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 as described in the Management Fee note.
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 Fidelity U.S. Total Stock Fund | $ 124,476 |
Interfund Trades. Funds may purchase from or sell securities to other funds affiliated with each sub-adviser under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. Interfund trades during the period are noted in the table below.
| | Purchases ($) | Sales ($) | Realized Gain (Loss) ($) |
| Strategic Advisers Fidelity U.S. Total Stock Fund | 537,666,471 | 302,196,183 | (12,924,067) |
Affiliated Exchanges In-Kind. During the period, the Fund redeemed shares of Fidelity Large Cap Value Enhanced Index Fund in exchange for investments and cash, if any, as noted in the following table. The Fund had a net realized gain of $10,891,114 on the Fund's redemptions of Fidelity Large Cap Value Enhanced Index Fund, which is included in "Net Realized gain (loss): Affiliated Issuers" in the accompanying Statement of Operations. The Fund recognized a net loss on the exchanges for federal income tax purposes.
| | Value of Investments ($) | Net realized gain (loss) ($) | Shares redeemed |
| Fidelity Large Cap Value Enhanced Index Fund | 3,520,085,005 | 10,891,114 | 262,301,416 |
6. Investments in Fidelity Central Funds.
Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.
| Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense RatioA |
| Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |
A Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.
7. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below. During the period, there were no borrowings on this line of credit.
| | Amount |
| Strategic Advisers Fidelity U.S. Total Stock Fund | $64,407 |
8. Security Lending.
Funds lend portfolio securities from time to time in order to earn additional income. Lending agents are used, including National Financial Services (NFS), an affiliate of the investment adviser. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of a fund's daily lending revenue, for its services as lending agent. A fund may lend securities to certain qualified borrowers, including NFS. On the settlement date of the loan, a fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of a fund and any additional required collateral is delivered to a fund on the next business day. A fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund may apply collateral received from the borrower against the obligation. A fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Affiliated security lending activity, if any, was as follows:
| | Total Security Lending Fees Paid to NFS | Security Lending Income From Securities Loaned to NFS | Value of Securities Loaned to NFS at Period End |
| Strategic Advisers Fidelity U.S. Total Stock Fund | $206,546 | $- | $- |
8. Expense Reductions.
The investment adviser has contractually agreed to waive the Fund's management fee in an amount equal to .25% of the Fund's average net assets until September 30, 2026. During the period, this waiver reduced the Fund's management fee by $101,346,159.
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 $20,400.
9. Other.
A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.
Funds do not invest in underlying mutual funds for the purpose of exercising management or control; however, investments by funds within their principal investment strategies may represent a significant portion of the underlying mutual fund's net assets. At the end of the period, certain Funds were the owners of record of 10% or more of the total outstanding shares of the following underlying mutual funds as shown below.
| Fund | Strategic Advisers Fidelity U.S. Total Stock Fund |
| Fidelity Growth Company Fund | 19% |
| Fidelity Magellan Fund | 21% |
| Fidelity SAI Small-Mid Cap 500 Index Fund | 75% |
| Fidelity SAI U.S. Low Volatility Index Fund | 40% |
| Fidelity SAI U.S. Quality Index Fund | 85% |
| Fidelity SAI U.S. Value Index Fund | 58% |
| Fidelity Small Cap Growth Fund | 14% |
10. Risk and Uncertainties.
Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as pandemics, epidemics, outbreaks of infectious diseases, war, terrorism, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer. Significant concentrations in security types, issuers, industries, sectors, and geographic locations may magnify the factors that affect a fund's performance.
As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
| The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (June 1, 2023 to November 30, 2023). |
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| | | | | Annualized Expense Ratio- A | | Beginning Account Value June 1, 2023 | | Ending Account Value November 30, 2023 | | Expenses Paid During Period- C June 1, 2023 to November 30, 2023 |
| | | | | | | | | | |
| Strategic Advisers® Fidelity® U.S. Total Stock Fund | | | | .12% | | | | | | |
| Actual | | | | | | $ 1,000 | | $ 1,100.70 | | $ .63 |
Hypothetical-B | | | | | | $ 1,000 | | $ 1,024.40 | | $ .61 |
| |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B 5% return per year before expenses
C Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/ 366 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.
Board Approval of Amended Sub-Advisory Agreement
Strategic Advisers Fidelity U.S. Total Stock Fund
In June 2023, the Board of Trustees, including the Independent Trustees (together, the Board) voted to approve an amendment to the fee schedule for one investment mandate in the existing sub-advisory agreement among Strategic Advisers, FIAM LLC (the Sub-Adviser) and Fidelity Rutland Square Trust II (Trust) on behalf of the fund. The Board noted that the updated fee schedule in the Amended Sub-Advisory Agreement became effective as of June 1, 2023 and will result in the same or lower fees at all asset levels. The Board also noted that no other material contract terms are impacted by the Amended Sub-Advisory Agreement. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, considered a broad range of information.
In considering whether to approve the Amended Sub-Advisory Agreement, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the approval of the Amended Sub-Advisory Agreement is in the best interests of the fund and its shareholders and that the approval of such agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. The Board's decision to approve the Amended Sub-Advisory Agreement was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board. In addition, individual Trustees did not necessarily attribute the same weight or importance to each factor.
Nature, Extent, and Quality of Services Provided. The Board considered the backgrounds of the investment personnel that provide services to the fund, the fund's investment objective, strategies and related investment philosophy, the current sub-adviser line-up, and the structure of the investment personnel compensation programs and whether such structure provides appropriate incentives to act in the best interests of the fund in connection with its annual renewal of the fund's management contract, sub-advisory agreements and sub-subadvisory agreements at its September 2022 meeting. The Board considered the detailed information provided by Strategic Advisers and the Sub-Adviser with respect to the fund and the other funds it sub-advises in the June 2023 annual contract renewal materials.
The Board noted that it had approved the existing sub-advisory agreement with the Sub-Adviser at its September 2022 meeting and that the Amended Sub-Advisory Agreement will not result in any changes to: (i) the nature, extent and quality of the sub-advisory services provided; (ii) the investment process or strategies employed in the management of the fund's assets; or (iii) the day-to-day management of the fund or the persons primarily responsible for such management.
Investment Performance. The Board did not consider performance to be a material factor in its decision to approve the Amended Sub-Advisory Agreement because the approval of the Amended Sub-Advisory Agreement will not result in any changes (i) to the fund's investment processes or strategies; or (ii) in the persons primarily responsible for the day-to-day management of the fund.
Based on its review, the Board concluded that the nature, extent, and quality of services that will be provided to the fund under the Amended Sub-Advisory Agreement should continue to benefit the fund's shareholders.
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 also 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 projected total expenses bear a reasonable relationship to the services that the fund and its shareholders will receive and the other factors considered.
Costs of the Services and Profitability. Because 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 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 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 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 is not expected to bear any additional expenses as a result of the Amended Sub-Advisory Agreement.
Conclusion. Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that 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. 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.
Board Approval of Investment Advisory Contracts and Management Fees
Strategic Advisers Fidelity U.S. Total Stock Fund
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), considers the renewal of the fund's management contract with Strategic Advisers LLC (Strategic Advisers), the sub-advisory agreements with FIAM LLC (FIAM), FIL Investment Advisors, and Geode Capital Management, LLC (each a Sub-Adviser and collectively, the Sub-Advisers) (collectively, the Sub-Advisory Agreements), and the sub-sub-advisory agreements with FMR Investment Management (UK) Limited, Fidelity Management & Research (Japan) Limited, Fidelity Management & Research (Hong Kong) Limited, and FIL Investment Advisors (UK) Limited (collectively, the Sub-Sub-Advisory Agreements and, together with the management contract and the Sub-Advisory Agreements, the Advisory Contracts) for the fund. Strategic Advisers and the Sub-Advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.
The Board meets at least four times per year and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The full Board or the Independent Trustees, as appropriate, act on all major matters; however, a portion of the activities of the Board (including certain of those described herein) may be conducted through standing committees that have been established by the Board. The Board, acting directly and through its committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts.
At its September 2023 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 Sub-Advisory Agreement with FIAM to add a new mandate (Amendment). The Board noted that the new mandate (once funded) is expected to increase the fund's total management fee rate but to decrease the fund's total net expenses. The Board also noted that no other contract terms are impacted by the Amendment.
In reaching its determination to renew the fund's Advisory Contracts and approve the Amendment, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness relative to peer funds of the fund's management fee and total expenses; (iii) the total costs of the services provided by and the profits, if any, realized by Strategic Advisers from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and are realized as the fund grows and whether any economies of scale are appropriately shared with fund shareholders. 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.
The Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts and the approval of the Amendment is in the best interests of the fund and its shareholders. In addition, the Board concluded that the renewal of each Sub-Advisory Agreement and the approval of the Amendment do not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees charged under the Advisory Contracts bear a reasonable relationship to the services rendered.
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. In approving the Amendment, the Board also took into consideration additional information about the new investment mandate provided by Strategic Advisers and FIAM.
The Trustees also discussed with representatives of Strategic Advisers, at meetings throughout the year, Strategic Advisers' role in, among other things, (i) setting, implementing and monitoring the investment strategies for the funds; (ii) identifying and recommending sub-advisers for the funds; (iii) overseeing compliance with federal securities laws by each sub-adviser with respect to the portion of fund assets allocated to the sub-adviser; (iv) monitoring and overseeing the performance and investment capabilities of each sub-adviser; and (v) recommending the replacement of a sub-adviser as appropriate. The Trustees considered that the Board had received from Strategic Advisers substantial information and periodic reports about Strategic Advisers' sub-adviser oversight and due diligence processes, as well as periodic reports regarding the performance of each sub-adviser.
The Board also considered the nature, extent and quality of services provided by each Sub-Adviser. The Trustees noted that under the Sub-Advisory Agreements subject to oversight by Strategic Advisers, each Sub-Adviser is responsible for, among other things, identifying investments for the portion of fund assets allocated to the Sub-Adviser, if any, and executing portfolio transactions to implement its investment strategy. In addition, the Trustees noted that each Sub-Adviser is responsible for providing such reporting as may be requested from Strategic Advisers to fulfill its oversight responsibilities discussed above.
Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of the Investment Advisers' investment staffs, their use of technology, and the Investment Advisers' approach to managing and compensating investment personnel. The Board noted that the Investment Advisers' analysts have extensive resources, tools, and capabilities that allow them to conduct sophisticated quantitative and/or fundamental analysis. Additionally, in its deliberations, the Board considered the Investment Advisers' trading capabilities and resources and global compliance infrastructure, which are integral parts of the investment management process.
Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of administrative and shareholder services performed by Strategic Advisers and its affiliates under the management contract and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of Strategic Advisers' supervision of third party service providers, including sub-advisers, custodians and subcustodians; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.
Investment Performance. In connection with the renewal of the Advisory Contracts, the Board considered annualized return information for the fund over 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. The Board also considered information about performance attribution. In its discussions with representatives of Strategic Advisers regarding fund performance, the Board gave particular attention to information indicating underperformance of certain funds over different time periods and discussed with Strategic Advisers the reasons for any such underperformance.
In addition to reviewing absolute and relative fund performance, the Independent Trustees periodically
consider the appropriateness of fund performance metrics in evaluating the results achieved. The
Independent Trustees generally give greater weight to fund performance over longer time periods than
over shorter time periods. Depending on the circumstances, the Independent Trustees may be satisfied
with the fund's performance notwithstanding that it lags its benchmark index peer group for certain
periods.
In connection with the approval of the Amendment, the Board considered the historical investment performance of FIAM and its portfolio managers in managing a fund under a similar mandate.
Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.
Competitiveness of Management Fee and Total Fund Expenses. The Board considered the amount and nature of fees paid to the Investment Advisers. The Board also considered information comparing the management fees and total expenses of the fund to those of other registered investment companies with investment objectives similar to those of the fund, as discussed below. The Board also noted Strategic Advisers' proposal to extend the management fee waiver and considered the fund's contractual maximum aggregate annual management fee rate. In considering the fund's management fee and management fee waiver and comparisons to other registered investment companies with investment objectives similar to those of the fund, the Board noted that shares of the fund are offered only to clients that participate in the Fidelity Portfolio Advisory Service managed account program.
In its review of the fund's total expenses, the Board considered the fund's management fee rate as well as other fund expenses, as applicable, such as expenses from holding Fidelity and non-Fidelity mutual funds and ETFs, pricing and bookkeeping fees, and custodial, legal, and audit fees.
Comparisons of Management Fees and Total Expense Ratios. Among other things, the Board reviewed data for selected groups of competitive funds and classes (referred to as "mapped groups") that were compiled by Fidelity based on combining similar investment objective categories (as classified by Lipper) that have comparable investment mandates. The data reviewed by the Board included (i) gross management fee comparisons (before taking into account expense reimbursements or caps) relative to the total universe of funds within the mapped group; (ii) gross management fee comparisons relative to a subset of non-Strategic Advisers funds in the mapped group that are similar in size and management fee structure to the fund (referred to as the "asset size peer group"); and (iii) total expense comparisons of the fund relative to funds and classes in the mapped group that have a similar sales load structure to the fund (referred to as the "similar sales load structure group").
The information provided to the Board indicated that the fund's management fee rate ranked below the competitive median of the mapped group for the 12-month period ended December 31, 2022 and above the competitive median of the asset size peer group for the 12-month period ended December 31, 2022. The Board also noted that the fund's management fee rate was compared on a pre-waiver basis and, therefore, did not reflect the management fee waiver noted above. Giving effect to the waiver, the fund's management fee was below the median of the asset size peer group for the 12-month period ended December 31, 2022. Further, the information provided to the Board indicated that the total expense ratio of the fund ranked below the competitive median of the similar sales load structure group for the 12-month period ended December 31, 2022.
Fees Charged to Other Clients. The Board also considered fee structures paid by the Investment Advisers' other clients, such as other funds advised or subadvised by the Investment Advisers, pension plan clients, and other institutional clients with similar investment mandates.
Based on its review, the Board concluded that the fund's management fee bears a reasonable relationship to the services rendered. Further, based on its review of the total expense ratios and fees charged to other clients of Strategic Advisers or its affiliates and each Sub-Adviser, the Board concluded that the total expenses of the fund were reasonable in light of the services that the fund and its shareholders receive and the other factors considered.
Costs of the Services and Profitability. The Board considered information regarding the revenues earned and the expenses incurred by Strategic Advisers and its affiliates in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and servicing the fund's shareholders.
On an annual basis, Strategic Advisers presents to the Board information about the profitability of its relationships with the fund. Strategic Advisers calculates profitability information for the fund using a series of detailed revenue and cost allocation methodologies. The Board reviews any significant changes from the prior year's methodologies. Strategic Advisers noted that, to the extent possible, it employs the same corporate reporting of revenues and expenses as those used by other Fidelity funds.
A public accounting firm has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. The engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's fund business, and completion of agreed-upon procedures in respect of the mathematical accuracy of certain fund profitability information and its conformity to established allocation methodologies. After considering the reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.
The Board also reviewed Fidelity's non-fund businesses and potential indirect benefits such businesses may have received as a result of their association with Fidelity's fund business (i.e., fall-out benefits) as well as cases where Fidelity's affiliates may benefit from the fund's business. The Board noted that changes to fall-out benefits year-over-year reflect business developments at Fidelity's various businesses.
The Board considered the costs of the services provided by and the profits realized, if any, by Strategic Advisers and its affiliates in connection with the operation of the fund and was satisfied that the profitability was not excessive.
The Board also considered information regarding the profitability of the Sub-Advisers' respective relationships with the fund and the potential fall-out benefits, if any, that may accrue to the Sub-Advisers as a result of their respective relationships with the fund. The Board considered profitability information provided by the Sub-Advisers in light of the nature of the relationships between Strategic Advisers and the Sub-Advisers with respect to the negotiation of sub-advisory fees.
Possible Economies of Scale. The Board considered whether there have been economies of scale in respect of the management of the Strategic Advisers funds, whether the Strategic Advisers funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale as assets grow through increased services to the fund, through waivers or reimbursements, or through fee or expense ratio reductions. The Board considered that certain of the fund's Sub-Advisory Agreements provide for breakpoints as the fund's assets grow and noted that any potential decline in sub-advisory fees under such contracts would accrue directly to the fund. The Board also took Strategic Advisers' management fee waiver into consideration.
Conclusion. Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee arrangements bear a reasonable relationship to the services rendered and that the fund's Advisory Contracts should be renewed and the Amendment should be approved because each agreement is in the best interests of the fund and its shareholders. In addition, the Board concluded that the renewal of each Sub-Advisory Agreement and the approval of the Amendment do not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.
1.9887484.105
TSF-SANN-0124
Item 2.
Code of Ethics
Not applicable.
Item 3.
Audit Committee Financial Expert
Not applicable.
Item 4.
Principal Accountant Fees and Services
Not applicable.
Item 5.
Audit Committee of Listed Registrants
Not applicable.
Item 6.
Investments
(a)
Not applicable.
(b)
Not applicable
Item 7.
Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8.
Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9.
Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable.
Item 10.
Submission of Matters to a Vote of Security Holders
There were no material changes to the procedures by which shareholders may recommend nominees to the Fidelity Rutland Square Trust II’s Board of Trustees.
Item 11.
Controls and Procedures
(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the Fidelity Rutland Square Trust II’s (the “Trust”) disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable
assurances that material information relating to the Trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.
(a)(ii) There was no change in the Trust’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Trust’s internal control over financial reporting.
Item 12.
Disclosure of Securities Lending Activities for Closed-End Management
Investment Companies
Not applicable.
Item 18.
Recovery of Erroneously Awarded Compensation
(a) Not applicable.
(b) Not applicable.
Item 19.
Exhibits
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/Heather Bonner |
| Heather Bonner |
| President and Treasurer |
|
|
Date: | January 22, 2024 |
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/Heather Bonner |
| Heather Bonner |
| President and Treasurer |
|
|
Date: | January 22, 2024 |
| |
By: | /s/John J. Burke III |
| John J. Burke III |
| Chief Financial Officer |
|
|
Date: | January 22, 2024 |
