# EDGAR Filing Document

**Accession Number:** 0001364924
**File Stem:** 0001364924-23-000006
**Filing Date:** 2023-1
**Character Count:** 1865623
**Document Hash:** 124138e5d861abf093d8c076cac85896
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001364924-23-000006.hdr.sgml**: 20230120

**ACCESSION NUMBER**: 0001364924-23-000006

**CONFORMED SUBMISSION TYPE**: N-CSRS

**PUBLIC DOCUMENT COUNT**: 43

**CONFORMED PERIOD OF REPORT**: 20221130

**FILED AS OF DATE**: 20230120

**DATE AS OF CHANGE**: 20230120

**EFFECTIVENESS DATE**: 20230120

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Fidelity Rutland Square Trust II
- **CENTRAL INDEX KEY:** 0001364924
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0228

**FILING VALUES:**
- **FORM TYPE:** N-CSRS
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-21991
- **FILM NUMBER:** 23539655

**BUSINESS ADDRESS:**
- **STREET 1:** 245 SUMMER STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02210
- **BUSINESS PHONE:** 617-563-7000

**MAIL ADDRESS:**
- **STREET 1:** 245 SUMMER STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02210

## Series and Classes Contracts Data

### Strategic Advisers Short Duration Fund (Series ID: S000035122)

| Class ID   | Class Name                             | Ticker Symbol   |
|:---|:---|:---|
| C000108059 | Strategic Advisers Short Duration Fund | FAUDX           |

### Strategic Advisers Tax-Sensitive Short Duration Fund (Series ID: S000060103)

| Class ID   | Class Name                                           | Ticker Symbol   |
|:---|:---|:---|
| C000196739 | Strategic Advisers Tax-Sensitive Short Duration Fund | FGNSX           |

### Strategic Advisers Fidelity U.S. Total Stock Fund (Series ID: S000061481)

| Class ID   | Class Name                                        | Ticker Symbol   |
|:---|:---|:---|
| C000199108 | Strategic Advisers Fidelity U.S. Total Stock Fund | FCTDX           |

### Strategic Advisers Fidelity Core Income Fund (Series ID: S000062265)

| Class ID   | Class Name                                   | Ticker Symbol   |
|:---|:---|:---|
| C000201710 | Strategic Advisers Fidelity Core Income Fund | FIWGX           |

### Strategic Advisers Fidelity Emerging Markets Fund (Series ID: S000063170)

| Class ID   | Class Name                                        | Ticker Symbol   |
|:---|:---|:---|
| C000204787 | Strategic Advisers Fidelity Emerging Markets Fund | FGOMX           |

### Strategic Advisers Large Cap Fund (Series ID: S000069094)

| Class ID   | Class Name                        | Ticker Symbol   |
|:---|:---|:---|
| C000220862 | Strategic Advisers Large Cap Fund | FALCX           |

### Strategic Advisers Municipal Bond Fund (Series ID: S000072234)

| Class ID   | Class Name                             | Ticker Symbol   |
|:---|:---|:---|
| C000228148 | Strategic Advisers Municipal Bond Fund | FSMUX           |

### Strategic Advisers Alternatives Fund (Series ID: S000076543)

| Class ID   | Class Name                           | Ticker Symbol   |
|:---|:---|:---|
| C000236518 | Strategic Advisers Alternatives Fund | FSLTX           |

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; UNITED STATES

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; SECURITIES AND EXCHANGE COMMISSION

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Washington, D.C. 20549

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **FORM N-CSR** 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **CERTIFIED SHAREHOLDER REPORT OF REGISTERED** 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **MANAGEMENT INVESTMENT COMPANIES** 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investment Company Act file number <u>811-21991</u> 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>Fidelity Rutland Square Trust II</u> 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (Exact name of registrant as specified in charter)

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>245 Summer St., Boston, MA 02210</u> 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (Address of principal executive offices) (Zip code)

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Christina H. Lee, Secretary

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 245 Summer St.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>Boston, Massachusetts 02210</u> 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (Name and address of agent for service)

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Registrant's telephone number, including area code:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>617-563-7000</u> 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

---

| | |
|:---|:---|
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Date of fiscal year end:  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; May 31  |
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Date of reporting period:  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; November 30, 2022  |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Item 1.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>Reports to Stockholders</u> 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

**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, 2022**

![](img87999_1.jpg)

![](img87999_2.jpg)

**Contents**

---

| |
|:---|
| **[Investment Summary](#Sec_InvestmentSummary6209)** |
| **[Schedule of Investments](#Sec_ScheduleOfInvestments6209)** |
| **[Financial Statements](#Sec_FinancialStatements6209)** |
| **[Notes to Financial Statements](#Sec_Notes to Financial Statements)** |
| **[Shareholder Expense Example](#Sec_Shareholder Expense Example)** |
| **[Board Approval of New and Amended Sub-Advisory Agreements](#Sec_Board Approval of Investment Advisory Contracts and Management Fees)** |

---

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.© 2023 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.*

**Investment Summary November 30, 2022 (Unaudited)**

The information in the following table is based on the direct Investments of the Fund.

---

| | |
|:---|:---|
| &nbsp;&nbsp; **Top Holdings (% of Fund's net assets)**  | &nbsp;&nbsp; **Top Holdings (% of Fund's net assets)**  |
| (excluding cash equivalents)  | (excluding cash equivalents)  |
| Fidelity Growth Company Fund  | 4.7  |
| Microsoft Corp.  | 4.4  |
| Apple, Inc.  | 4.0  |
| Fidelity SAI U.S. Quality Index Fund  | 2.2  |
| Amazon.com, Inc.  | 2.0  |
| Fidelity SAI U.S. Low Volatility Index Fund  | 1.8  |
| Exxon Mobil Corp.  | 1.4  |
| Alphabet, Inc. Class C  | 1.4  |
| UnitedHealth Group, Inc.  | 1.4  |
| Alphabet, Inc. Class A  | 1.3  |
|  | 24.6  |

---

---

| | |
|:---|:---|
| &nbsp;&nbsp; **Market Sectors (% of Fund's net assets)**  | &nbsp;&nbsp; **Market Sectors (% of Fund's net assets)**  |
| (Stocks Only)  | (Stocks Only)  |
| Information Technology  | 20.5  |
| Health Care  | 13.9  |
| Financials  | 12.0  |
| Consumer Discretionary  | 9.2  |
| Industrials  | 7.6  |
| Communication Services  | 6.3  |
| Consumer Staples  | 5.5  |
| Energy  | 4.9  |
| Materials  | 2.7  |
| Utilities  | 2.3  |
| Real Estate  | 2.0  |
| Investment Companies  | 1.2  |

---

---

| |
|:---|
| &nbsp;&nbsp; **Asset Allocation (% of Fund's net assets)**  |
| ![](img87999_5.jpg)  |
| *Foreign investments - 3.9%*  |
| *Percentages shown as 0.0% may reflect amounts less than 0.05%.*  |

---

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

**Schedule of Investments November 30, 2022 (Unaudited)**

Showing Percentage of Net Assets

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **Common Stocks - 86.9%**  | &nbsp;&nbsp; **Common Stocks - 86.9%**  | &nbsp;&nbsp; **Common Stocks - 86.9%**  |
|  | Shares  | Value ($) <br>|
| COMMUNICATION SERVICES - 6.3%  |  |  |
| Diversified Telecommunication Services - 0.5%  |  |  |
|  AT&T, Inc.  | 5525510  | 106531833  |
|  Frontier Communications Parent, Inc. (a)  | 101916  | 2626375  |
|  Iridium Communications, Inc. (a)  | 1568  | 83261  |
|  Liberty Global PLC Class C (a)  | 184500  | 3815460  |
|  Lumen Technologies, Inc. (b)  | 270037  | 1477102  |
|  Verizon Communications, Inc.  | 4069465  | 158627746  |
|  |  | 273161777  |
| Entertainment - 0.9%  |  |  |
|  Activision Blizzard, Inc.  | 464481  | 34348370  |
|  Cinemark Holdings, Inc. (a)  | 98200  | 1336502  |
|  Electronic Arts, Inc.  | 121535  | 15894347  |
|  Endeavor Group Holdings, Inc. (a)  | 4653  | 102319  |
|  Live Nation Entertainment, Inc. (a)  | 77860  | 5665094  |
|  Netflix, Inc. (a)  | 798758  | 244044532  |
|  Playtika Holding Corp. (a)  | 2600  | 24570  |
|  Roblox Corp. (a)  | 66078  | 2099298  |
|  Sea Ltd. ADR (a)  | 51900  | 3029403  |
|  Take-Two Interactive Software, Inc. (a)  | 36799  | 3889286  |
|  The Walt Disney Co. (a)  | 1802216  | 176382880  |
|  Warner Bros Discovery, Inc. (a)  | 65560  | 747384  |
|  Warner Music Group Corp. Class A  | 4430  | 151816  |
|  World Wrestling Entertainment, Inc. Class A  | 495  | 39541  |
|  |  | 487755342  |
| Interactive Media & Services - 3.5%  |  |  |
|  Alphabet, Inc.:  |  |  |
|  Class A (a)  | 6821191  | 688872079  |
|  Class C (a)  | 7423713  | 753135684  |
|  Bumble, Inc. (a)  | 5888  | 143432  |
|  CarGurus, Inc. Class A (a)  | 14891  | 194774  |
|  IAC, Inc. (a)  | 148185  | 7689320  |
|  Match Group, Inc. (a)  | 1500  | 75840  |
|  Meta Platforms, Inc. Class A (a)  | 3270927  | 386296479  |
|  Pinterest, Inc. Class A (a)  | 35746  | 908663  |
|  Shutterstock, Inc.  | 2106  | 113345  |
|  Snap, Inc. Class A (a)  | 514410  | 5303567  |
|  Tongdao Liepin Group (a)  | 108372  | 109495  |
|  TripAdvisor, Inc. (a)  | 28206  | 575120  |
|  Vimeo, Inc. (a)  | 41063  | 175750  |
|  ZipRecruiter, Inc. (a)  | 4658  | 77136  |
|  |  | 1843670684  |
| Media - 0.8%  |  |  |
|  Altice U.S.A., Inc. Class A (a)  | 155315  | 708236  |
|  AMC Networks, Inc. Class A (a)  | 3401  | 67884  |
|  Charter Communications, Inc. Class A (a)  | 283339  | 110867717  |
|  Comcast Corp. Class A  | 4831319  | 177019528  |
|  DISH Network Corp. Class A (a)  | 17801  | 285706  |
|  Fox Corp.:  |  |  |
|  Class A  | 1188452  | 38565267  |
|  Class B  | 10347  | 315790  |
|  Gray Television, Inc.  | 1800  | 21060  |
|  Interpublic Group of Companies, Inc.  | 176681  | 6070759  |
|  Liberty Broadband Corp.:  |  |  |
|  Class A (a)  | 51600  | 4654320  |
|  Class C (a)(b)  | 141948  | 12897395  |
|  Liberty Media Corp. Liberty Sir Liberty SiriusXM Series C (a)  | 260951  | 11437482  |
|  News Corp.:  |  |  |
|  Class A  | 425272  | 8143959  |
|  Class B  | 241968  | 4706278  |
|  Nexstar Broadcasting Group, Inc. Class A  | 81901  | 15525154  |
|  Omnicom Group, Inc.  | 213647  | 17040485  |
|  Paramount Global Class B (b)  | 389744  | 7826060  |
|  TEGNA, Inc.  | 318241  | 6282077  |
|  The New York Times Co. Class A  | 893  | 32728  |
|  The Trade Desk, Inc. (a)  | 122975  | 6411917  |
|  |  | 428879802  |
| Wireless Telecommunication Services - 0.6%  |  |  |
|  T-Mobile U.S., Inc. (a)  | 1964019  | 297470318  |
|  TOTAL COMMUNICATION SERVICES  |  | 3330937923  |
| CONSUMER DISCRETIONARY - 9.2%  |  |  |
| Auto Components - 0.2%  |  |  |
|  American Axle & Manufacturing Holdings, Inc. (a)  | 1700  | 17697  |
|  Aptiv PLC (a)  | 48309  | 5153121  |
|  Autoliv, Inc.  | 2490  | 220116  |
|  BorgWarner, Inc.  | 803624  | 34162056  |
|  Compagnie Generale des Etablissements Michelin SCA ADR  | 1374400  | 19227856  |
|  Dana, Inc.  | 1198  | 21097  |
|  Gentex Corp.  | 1986  | 57395  |
|  Lear Corp.  | 42401  | 6115920  |
|  Magna International, Inc.:  |  |  |
|  Class A  | 3749  | 230901  |
|  Class A (sub. vtg.)  | 208225  | 12821824  |
|  Mobileye Global, Inc.  | 171637  | 4893371  |
|  The Goodyear Tire & Rubber Co. (a)  | 857300  | 9618906  |
|  Visteon Corp. (a)  | 1206  | 177041  |
|  |  | 92717301  |
| Automobiles - 1.2%  |  |  |
|  Ferrari NV  | 15100  | 3368055  |
|  Ford Motor Co.  | 4572353  | 63555707  |
|  General Motors Co.  | 1143672  | 46387336  |
|  Harley-Davidson, Inc.  | 485645  | 22888449  |
|  Tesla, Inc. (a)  | 2605322  | 507256193  |
|  Thor Industries, Inc. (b)  | 107182  | 9232657  |
|  Winnebago Industries, Inc.  | 4660  | 273029  |
|  |  | 652961426  |
| Distributors - 0.0%  |  |  |
|  Genuine Parts Co.  | 9033  | 1656020  |
|  LKQ Corp.  | 448804  | 24383521  |
|  Pool Corp.  | 510  | 167999  |
|  |  | 26207540  |
| Diversified Consumer Services - 0.1%  |  |  |
|  2U, Inc. (a)  | 16012  | 128576  |
|  Adtalem Global Education, Inc. (a)  | 293  | 12189  |
|  Bright Horizons Family Solutions, Inc. (a)  | 193614  | 14366159  |
|  Chegg, Inc. (a)  | 12879  | 384309  |
|  Coursera, Inc. (a)  | 15542  | 216655  |
|  Duolingo, Inc. (a)  | 2604  | 181421  |
|  Frontdoor, Inc. (a)  | 2001  | 46763  |
|  Grand Canyon Education, Inc. (a)  | 1497  | 169266  |
|  H&R Block, Inc.  | 29015  | 1268246  |
|  Laureate Education, Inc. Class A  | 6823  | 71505  |
|  Service Corp. International  | 176284  | 12595492  |
|  Stride, Inc. (a)  | 900  | 31869  |
|  |  | 29472450  |
| Hotels, Restaurants & Leisure - 2.0%  |  |  |
|  Airbnb, Inc. Class A (a)  | 20956  | 2140446  |
|  ARAMARK Holdings Corp.  | 10119  | 420950  |
|  Bloomin' Brands, Inc.  | 8379  | 188695  |
|  Booking Holdings, Inc. (a)  | 89531  | 186175238  |
|  Boyd Gaming Corp.  | 38685  | 2372551  |
|  Caesars Entertainment, Inc. (a)  | 104187  | 5293741  |
|  Carnival Corp. (a)(b)  | 52164  | 517989  |
|  Chipotle Mexican Grill, Inc. (a)  | 76316  | 124163079  |
|  Choice Hotels International, Inc.  | 1093  | 134679  |
|  Churchill Downs, Inc.  | 498  | 110536  |
|  Darden Restaurants, Inc.  | 7580  | 1114184  |
|  Dine Brands Global, Inc.  | 492  | 36698  |
|  Domino's Pizza, Inc.  | 18612  | 7235043  |
|  Expedia, Inc. (a)  | 111190  | 11879540  |
|  Hilton Grand Vacations, Inc. (a)  | 196  | 8628  |
|  Hilton Worldwide Holdings, Inc.  | 971523  | 138558610  |
|  Hyatt Hotels Corp. Class A (a)  | 5802  | 582057  |
|  Las Vegas Sands Corp. (a)  | 410031  | 19205852  |
|  Marriott International, Inc. Class A  | 450644  | 74513985  |
|  Marriott Vacations Worldwide Corp.  | 2895  | 431297  |
|  McDonald's Corp.  | 1002250  | 273403778  |
|  MGM Resorts International  | 494628  | 18231988  |
|  Norwegian Cruise Line Holdings Ltd. (a)(b)  | 42095  | 692042  |
|  Papa John's International, Inc.  | 1900  | 158194  |
|  Planet Fitness, Inc. (a)  | 979  | 76714  |
|  Red Rock Resorts, Inc.  | 2371  | 106837  |
|  Royal Caribbean Cruises Ltd. (a)(b)  | 28796  | 1725744  |
|  SeaWorld Entertainment, Inc. (a)  | 1985  | 113264  |
|  Six Flags Entertainment Corp. (a)  | 3651  | 87953  |
|  Starbucks Corp.  | 1052986  | 107615169  |
|  Target Hospitality Corp. (a)  | 1600  | 23136  |
|  Texas Roadhouse, Inc. Class A  | 86112  | 8552644  |
|  The Cheesecake Factory, Inc.  | 2588  | 90684  |
|  Travel+Leisure Co.  | 6575  | 255570  |
|  Wendy's Co.  | 13787  | 311035  |
|  Wingstop, Inc.  | 704  | 116519  |
|  Wyndham Hotels & Resorts, Inc.  | 1055  | 77353  |
|  Wynn Resorts Ltd. (a)  | 227403  | 19024535  |
|  Yum China Holdings, Inc.  | 186439  | 10276518  |
|  Yum! Brands, Inc.  | 208895  | 26876431  |
|  |  | 1042899906  |
| Household Durables - 0.4%  |  |  |
|  D.R. Horton, Inc.  | 213777  | 18384822  |
|  Garmin Ltd.  | 18342  | 1705623  |
|  GoPro, Inc. Class A (a)  | 12454  | 68248  |
|  Leggett & Platt, Inc.  | 1797  | 63991  |
|  Lennar Corp.:  |  |  |
|  Class A  | 771463  | 67757595  |
|  Class B  | 6000  | 435660  |
|  Meritage Homes Corp. (a)  | 198  | 17109  |
|  Mohawk Industries, Inc. (a)  | 107273  | 10869973  |
|  Newell Brands, Inc.  | 607285  | 7876486  |
|  NVR, Inc. (a)  | 5374  | 24930040  |
|  PulteGroup, Inc.  | 585002  | 26196390  |
|  Skyline Champion Corp. (a)  | 4803  | 249708  |
|  Sony Group Corp. sponsored ADR (b)  | 306000  | 25419420  |
|  Toll Brothers, Inc.  | 3104  | 148713  |
|  TopBuild Corp. (a)  | 3301  | 508618  |
|  TRI Pointe Homes, Inc. (a)  | 800  | 14752  |
|  Whirlpool Corp.  | 200807  | 29424250  |
|  |  | 214071398  |
| Internet & Direct Marketing Retail - 2.2%  |  |  |
|  1-800-FLOWERS.com, Inc. Class A (a)  | 3633  | 30735  |
|  Alibaba Group Holding Ltd. sponsored ADR (a)  | 192108  | 16820976  |
|  Amazon.com, Inc. (a)  | 10761456  | 1038910962  |
|  CarParts.com, Inc. (a)  | 4691  | 25425  |
|  Chewy, Inc. (a)  | 8300  | 357979  |
|  eBay, Inc.  | 968061  | 43988692  |
|  Etsy, Inc. (a)  | 16951  | 2239058  |
|  Lyft, Inc. (a)  | 10500  | 117810  |
|  Overstock.com, Inc. (a)  | 18745  | 498992  |
|  Qurate Retail, Inc. Series A  | 35216  | 82758  |
|  Revolve Group, Inc. (a)  | 3300  | 87186  |
|  Uber Technologies, Inc. (a)  | 1586630  | 46234398  |
|  Xometry, Inc. (a)  | 300  | 12669  |
|  |  | 1149407640  |
| Leisure Products - 0.0%  |  |  |
|  Acushnet Holdings Corp.  | 7668  | 348511  |
|  Brunswick Corp.  | 39898  | 2960432  |
|  Latham Group, Inc. (a)  | 4318  | 14897  |
|  Mattel, Inc. (a)  | 27313  | 497916  |
|  Polaris, Inc. (b)  | 23089  | 2633531  |
|  Topgolf Callaway Brands Corp. (a)  | 500  | 10475  |
|  YETI Holdings, Inc. (a)  | 1588  | 71285  |
|  |  | 6537047  |
| Multiline Retail - 0.2%  |  |  |
|  Dillard's, Inc. Class A  | 100  | 35970  |
|  Dollar General Corp.  | 220324  | 56332440  |
|  Dollar Tree, Inc. (a)  | 128987  | 19385456  |
|  Kohl's Corp.  | 232700  | 7465016  |
|  Macy's, Inc.  | 605465  | 14228428  |
|  Nordstrom, Inc. (b)  | 93400  | 1958598  |
|  Ollie's Bargain Outlet Holdings, Inc. (a)  | 900  | 54810  |
|  Target Corp.  | 192803  | 32211597  |
|  |  | 131672315  |
| Specialty Retail - 2.6%  |  |  |
|  Abercrombie & Fitch Co. Class A (a)  | 2800  | 67144  |
|  Academy Sports & Outdoors, Inc.  | 3400  | 171632  |
|  Advance Auto Parts, Inc.  | 6318  | 953955  |
|  American Eagle Outfitters, Inc.  | 18900  | 298998  |
|  Arhaus, Inc.  | 1700  | 16371  |
|  Asbury Automotive Group, Inc. (a)  | 299  | 56098  |
|  AutoNation, Inc. (a)(b)  | 98286  | 12178618  |
|  AutoZone, Inc. (a)  | 31479  | 81184341  |
|  Bath & Body Works, Inc.  | 313244  | 13312870  |
|  Best Buy Co., Inc.  | 804304  | 68607131  |
|  Boot Barn Holdings, Inc. (a)  | 1003  | 67552  |
|  Burlington Stores, Inc. (a)  | 466417  | 91268479  |
|  CarMax, Inc. (a)(b)  | 129822  | 9004454  |
|  Chico's FAS, Inc. (a)  | 11329  | 66501  |
|  Designer Brands, Inc. Class A  | 7308  | 111812  |
|  Dick's Sporting Goods, Inc. (b)  | 208650  | 24950367  |
|  Gap, Inc. (b)  | 345840  | 5028514  |
|  Group 1 Automotive, Inc.  | 99  | 19141  |
|  GrowGeneration Corp. (a)  | 5522  | 37494  |
|  Industria de Diseno Textil SA  | 125500  | 3276028  |
|  Leslie's, Inc. (a)  | 400  | 5840  |
|  Lithia Motors, Inc. Class A (sub. vtg.) (b)  | 8600  | 2058066  |
|  LL Flooring Holdings, Inc. (a)  | 1400  | 9534  |
|  Lowe's Companies, Inc.  | 1402628  | 298128581  |
|  Murphy U.S.A., Inc.  | 29456  | 8713379  |
|  National Vision Holdings, Inc. (a)  | 200  | 8092  |
|  O'Reilly Automotive, Inc. (a)  | 225659  | 195091232  |
|  Penske Automotive Group, Inc. (b)  | 233779  | 29561355  |
|  Rent-A-Center, Inc.  | 3110  | 74920  |
|  Ross Stores, Inc.  | 417916  | 49176176  |
|  Sally Beauty Holdings, Inc. (a)  | 464600  | 5463696  |
|  Sleep Number Corp. (a)(b)  | 115420  | 3376035  |
|  Sonic Automotive, Inc. Class A (sub. vtg.)  | 1188  | 63130  |
|  The Aaron's Co., Inc.  | 18920  | 230635  |
|  The Buckle, Inc.  | 1767  | 77660  |
|  The Children's Place, Inc. (a)  | 300  | 10650  |
|  The Home Depot, Inc.  | 1011547  | 327731113  |
|  The ODP Corp. (a)  | 63071  | 3035607  |
|  TJX Companies, Inc.  | 1448165  | 115925608  |
|  Ulta Beauty, Inc. (a)  | 69907  | 32495570  |
|  Urban Outfitters, Inc. (a)  | 7836  | 226774  |
|  Victoria's Secret & Co. (a)  | 805  | 37030  |
|  Williams-Sonoma, Inc. (b)  | 25846  | 3021397  |
|  |  | 1385199580  |
| Textiles, Apparel & Luxury Goods - 0.3%  |  |  |
|  Capri Holdings Ltd. (a)  | 57000  | 3268950  |
|  Columbia Sportswear Co.  | 85443  | 7654838  |
|  Fossil Group, Inc. (a)  | 2400  | 11448  |
|  Kontoor Brands, Inc.  | 4190  | 182056  |
|  NIKE, Inc. Class B  | 760255  | 83392371  |
|  Oxford Industries, Inc.  | 301  | 33971  |
|  PVH Corp.  | 55044  | 3697856  |
|  Ralph Lauren Corp. (b)  | 201900  | 22838928  |
|  Skechers U.S.A., Inc. Class A (sub. vtg.) (a)  | 49700  | 2095849  |
|  Steven Madden Ltd.  | 177  | 6114  |
|  Tapestry, Inc.  | 666399  | 25169890  |
|  Under Armour, Inc.:  |  |  |
|  Class A (sub. vtg.) (a)  | 23787  | 237870  |
|  Class C (non-vtg.) (a)  | 62331  | 543526  |
|  Unifi, Inc. (a)  | 1100  | 9636  |
|  VF Corp.  | 2759  | 90550  |
|  |  | 149233853  |
|  TOTAL CONSUMER DISCRETIONARY  |  | 4880380456  |
| CONSUMER STAPLES - 5.5%  |  |  |
| Beverages - 1.9%  |  |  |
|  Coca-Cola Bottling Co. Consolidated  | 786  | 386555  |
|  Constellation Brands, Inc. Class A (sub. vtg.)  | 402215  | 103510030  |
|  Keurig Dr. Pepper, Inc.  | 1144530  | 44258975  |
|  Molson Coors Beverage Co. Class B  | 720779  | 39722131  |
|  Monster Beverage Corp. (a)  | 1862873  | 191615117  |
|  PepsiCo, Inc.  | 1548576  | 287276334  |
|  The Coca-Cola Co.  | 5133419  | 326536783  |
|  |  | 993305925  |
| Food & Staples Retailing - 1.1%  |  |  |
|  Albertsons Companies, Inc.  | 222582  | 4663093  |
|  Alimentation Couche-Tard, Inc. Class A (multi-vtg.)  | 55200  | 2514705  |
|  BJ's Wholesale Club Holdings, Inc. (a)  | 53268  | 4007884  |
|  Casey's General Stores, Inc.  | 195  | 47389  |
|  Costco Wholesale Corp.  | 409310  | 220720418  |
|  Grocery Outlet Holding Corp. (a)  | 177900  | 5385033  |
|  Kroger Co.  | 2460905  | 121051917  |
|  Performance Food Group Co. (a)  | 3151  | 192148  |
|  Rite Aid Corp. (a)  | 2200  | 11154  |
|  SpartanNash Co.  | 581  | 19086  |
|  Sprouts Farmers Market LLC (a)  | 3946  | 135466  |
|  Sysco Corp.  | 402311  | 34803925  |
|  U.S. Foods Holding Corp. (a)  | 159800  | 5845484  |
|  United Natural Foods, Inc. (a)  | 4551  | 216992  |
|  Walgreens Boots Alliance, Inc.  | 871989  | 36187544  |
|  Walmart, Inc.  | 835175  | 127297374  |
|  |  | 563099612  |
| Food Products - 0.8%  |  |  |
|  Archer Daniels Midland Co.  | 454783  | 44341343  |
|  Bunge Ltd.  | 147700  | 15484868  |
|  Cal-Maine Foods, Inc.  | 200  | 11656  |
|  Campbell Soup Co. (b)  | 101444  | 5444499  |
|  Conagra Brands, Inc.  | 1316956  | 50017989  |
|  Darling Ingredients, Inc. (a)  | 189714  | 13627157  |
|  Flowers Foods, Inc.  | 29944  | 899817  |
|  General Mills, Inc.  | 189275  | 16145158  |
|  Hormel Foods Corp.  | 19362  | 910014  |
|  Ingredion, Inc.  | 233800  | 22905386  |
|  Kellogg Co.  | 128063  | 9342196  |
|  Lamb Weston Holdings, Inc.  | 1400  | 121660  |
|  Local Bounti Corp. (a)(b)  | 120989  | 254077  |
|  Mondelez International, Inc.  | 804079  | 54363781  |
|  Pilgrim's Pride Corp. (a)  | 14400  | 376704  |
|  Post Holdings, Inc. (a)  | 132749  | 12426634  |
|  The Hain Celestial Group, Inc. (a)  | 700  | 13118  |
|  The Hershey Co.  | 34064  | 8010831  |
|  The J.M. Smucker Co.  | 261052  | 40204619  |
|  The Kraft Heinz Co.  | 1707548  | 67192014  |
|  Tyson Foods, Inc. Class A  | 725739  | 48101981  |
|  |  | 410195502  |
| Household Products - 1.1%  |  |  |
|  Church & Dwight Co., Inc.  | 64421  | 5274147  |
|  Colgate-Palmolive Co.  | 457229  | 35426103  |
|  Energizer Holdings, Inc. (b)  | 442859  | 15097063  |
|  Kimberly-Clark Corp.  | 261605  | 35481486  |
|  Procter & Gamble Co.  | 3445202  | 513886330  |
|  Reynolds Consumer Products, Inc.  | 1585  | 50657  |
|  Spectrum Brands Holdings, Inc.  | 100  | 5327  |
|  The Clorox Co.  | 100  | 14865  |
|  |  | 605235978  |
| Personal Products - 0.1%  |  |  |
|  BellRing Brands, Inc. (a)  | 250788  | 6247129  |
|  Coty, Inc. Class A (a)  | 11085  | 87239  |
|  Estee Lauder Companies, Inc. Class A  | 269738  | 63601523  |
|  Olaplex Holdings, Inc. (a)  | 32847  | 196097  |
|  The Beauty Health Co. (a)(b)  | 187806  | 2018915  |
|  |  | 72150903  |
| Tobacco - 0.5%  |  |  |
|  Altria Group, Inc.  | 1865831  | 86910408  |
|  Philip Morris International, Inc.  | 1824805  | 181878314  |
|  Vector Group Ltd.  | 23577  | 261705  |
|  |  | 269050427  |
|  TOTAL CONSUMER STAPLES  |  | 2913038347  |
| ENERGY - 4.9%  |  |  |
| Energy Equipment & Services - 0.3%  |  |  |
|  Archrock, Inc.  | 1297  | 11297  |
|  Baker Hughes Co. Class A  | 1983842  | 57571095  |
|  Championx Corp.  | 18856  | 581519  |
|  Expro Group Holdings NV (a)  | 187500  | 3256875  |
|  Halliburton Co.  | 1469138  | 55665639  |
|  Helmerich & Payne, Inc.  | 2335  | 119272  |
|  Liberty Oilfield Services, Inc. Class A  | 4837  | 79956  |
|  Nextier Oilfield Solutions, Inc. (a)  | 57963  | 590643  |
|  NOV, Inc.  | 13845  | 310959  |
|  Oceaneering International, Inc. (a)  | 12821  | 194751  |
|  RPC, Inc.  | 1625  | 15048  |
|  Schlumberger Ltd.  | 848290  | 43729350  |
|  Solaris Oilfield Infrastructure, Inc. Class A  | 2108  | 23125  |
|  U.S. Silica Holdings, Inc. (a)  | 8061  | 105518  |
|  Weatherford International PLC (a)  | 59400  | 2577960  |
|  |  | 164833007  |
| Oil, Gas & Consumable Fuels - 4.6%  |  |  |
|  Alto Ingredients, Inc. (a)  | 4100  | 14309  |
|  Antero Midstream GP LP  | 10848  | 122908  |
|  Antero Resources Corp. (a)  | 49088  | 1794166  |
|  APA Corp.  | 618303  | 28967496  |
|  Archaea Energy, Inc. (a)  | 100  | 2594  |
|  Callon Petroleum Co. (a)  | 2809  | 117753  |
|  Canadian Natural Resources Ltd.  | 189000  | 11283939  |
|  Cheniere Energy, Inc.  | 700  | 122752  |
|  Chevron Corp.  | 1791680  | 328432861  |
|  Clean Energy Fuels Corp. (a)  | 3200  | 21632  |
|  CNX Resources Corp. (a)  | 13569  | 235694  |
|  Comstock Resources, Inc.  | 55770  | 1023380  |
|  ConocoPhillips Co.  | 2622889  | 323953020  |
|  Coterra Energy, Inc. (b)  | 1472655  | 41101801  |
|  CVR Energy, Inc.  | 600  | 22110  |
|  Delek U.S. Holdings, Inc.  | 6041  | 187150  |
|  Denbury, Inc. (a)  | 8084  | 725620  |
|  Devon Energy Corp.  | 259055  | 17750449  |
|  Diamondback Energy, Inc.  | 585666  | 86690281  |
|  DT Midstream, Inc.  | 2191  | 132183  |
|  Earthstone Energy, Inc. (a)  | 500  | 7920  |
|  Eco Atlantic Oil & Gas Ltd. (a)  | 555500  | 148667  |
|  EOG Resources, Inc.  | 1430457  | 203024762  |
|  EQT Corp.  | 627131  | 26596626  |
|  Equitrans Midstream Corp.  | 10798  | 90595  |
|  Exxon Mobil Corp.  | 6908193  | 769158209  |
|  Genesis Energy LP  | 61050  | 645299  |
|  Gevo, Inc. (a)  | 22905  | 49933  |
|  Green Plains, Inc. (a)  | 3422  | 118264  |
|  Hess Corp.  | 347781  | 50049164  |
|  HF Sinclair Corp.  | 361400  | 22529676  |
|  Imperial Oil Ltd.  | 190300  | 10826792  |
|  Kinder Morgan, Inc.  | 1882757  | 35998314  |
|  Kosmos Energy Ltd. (a)  | 620100  | 4123665  |
|  Magnolia Oil & Gas Corp. Class A  | 2720  | 70938  |
|  Marathon Oil Corp.  | 876794  | 26856200  |
|  Marathon Petroleum Corp.  | 716031  | 87219736  |
|  Matador Resources Co.  | 1709  | 113409  |
|  MEG Energy Corp. (a)  | 708700  | 10089287  |
|  Murphy Oil Corp.  | 6744  | 318317  |
|  New Fortress Energy, Inc.  | 2106  | 107195  |
|  Northern Oil & Gas, Inc.  | 1000  | 36390  |
|  Occidental Petroleum Corp.  | 793930  | 55170196  |
|  ONEOK, Inc.  | 468947  | 31381933  |
|  Ovintiv, Inc.  | 96200  | 5364112  |
|  PBF Energy, Inc. Class A  | 19229  | 764737  |
|  PDC Energy, Inc.  | 34500  | 2564040  |
|  Peabody Energy Corp. (a)  | 1393  | 44492  |
|  Phillips 66 Co.  | 861431  | 93413578  |
|  Pioneer Natural Resources Co.  | 241660  | 57029343  |
|  Range Resources Corp.  | 122617  | 3539953  |
|  SM Energy Co.  | 6215  | 267929  |
|  Southwestern Energy Co. (a)  | 84071  | 581771  |
|  Talos Energy, Inc. (a)  | 8976  | 176378  |
|  Targa Resources Corp.  | 3374  | 250992  |
|  TC Energy Corp. (b)  | 162000  | 7205760  |
|  Tellurian, Inc. (a)  | 76922  | 206920  |
|  Texas Pacific Land Corp.  | 201  | 521101  |
|  The Williams Companies, Inc.  | 475085  | 16485450  |
|  TotalEnergies SE sponsored ADR  | 521304  | 32539796  |
|  Tourmaline Oil Corp.  | 80700  | 4911652  |
|  Valero Energy Corp.  | 451486  | 60327559  |
|  Vertex Energy, Inc. (a)(b)  | 42600  | 353154  |
|  |  | 2463982302  |
|  TOTAL ENERGY  |  | 2628815309  |
| FINANCIALS - 12.0%  |  |  |
| Banks - 4.6%  |  |  |
|  AIB Group PLC  | 227700  | 739404  |
|  Ameris Bancorp  | 498  | 26334  |
|  Bank of America Corp.  | 12479112  | 472334389  |
|  Bank OZK  | 3600  | 166140  |
|  BankUnited, Inc.  | 17500  | 642600  |
|  BNP Paribas SA  | 48476  | 2723963  |
|  BOK Financial Corp.  | 24900  | 2607279  |
|  Brookline Bancorp, Inc., Delaware  | 3010  | 42802  |
|  Byline Bancorp, Inc.  | 499  | 11372  |
|  Cathay General Bancorp  | 797  | 37037  |
|  Citigroup, Inc.  | 2557756  | 123820968  |
|  Citizens Financial Group, Inc.  | 1367242  | 57943716  |
|  Columbia Banking Systems, Inc.  | 4280  | 145777  |
|  Comerica, Inc.  | 322340  | 23124672  |
|  Commerce Bancshares, Inc.  | 256355  | 19206117  |
|  Cullen/Frost Bankers, Inc.  | 161498  | 23428515  |
|  CVB Financial Corp.  | 299  | 8575  |
|  DNB Bank ASA  | 36300  | 708799  |
|  East West Bancorp, Inc.  | 61914  | 4346982  |
|  Eurobank Ergasias Services and Holdings SA (a)  | 2432277  | 2805118  |
|  Fifth Third Bancorp  | 4888408  | 177742515  |
|  First Financial Bankshares, Inc.  | 2103  | 77706  |
|  First Foundation, Inc.  | 6500  | 91065  |
|  First Hawaiian, Inc.  | 2898  | 76942  |
|  First Horizon National Corp.  | 100  | 2485  |
|  First Republic Bank  | 43187  | 5511093  |
|  FNB Corp., Pennsylvania  | 10055  | 141776  |
|  Fulton Financial Corp.  | 600  | 11154  |
|  Hancock Whitney Corp.  | 1092  | 59885  |
|  Home Bancshares, Inc.  | 2594  | 66017  |
|  Huntington Bancshares, Inc.  | 3782098  | 58546877  |
|  JPMorgan Chase & Co.  | 2905071  | 401422711  |
|  KeyCorp  | 1441300  | 27110853  |
|  M&T Bank Corp.  | 209177  | 35564274  |
|  Mitsubishi UFJ Financial Group, Inc. sponsored ADR (b)  | 2250000  | 12285000  |
|  NatWest Group PLC  | 329400  | 1047594  |
|  Northwest Bancshares, Inc.  | 400  | 6116  |
|  Old National Bancorp, Indiana  | 1300  | 24843  |
|  PacWest Bancorp  | 1500  | 39180  |
|  Pinnacle Financial Partners, Inc.  | 15107  | 1267326  |
|  Piraeus Financial Holdings SA (a)  | 639038  | 951695  |
|  PNC Financial Services Group, Inc.  | 1059285  | 178235294  |
|  Prosperity Bancshares, Inc.  | 33900  | 2561823  |
|  Regions Financial Corp.  | 2789128  | 64735661  |
|  ServisFirst Bancshares, Inc.  | 201  | 15240  |
|  Signature Bank  | 162524  | 22672098  |
|  Societe Generale Series A  | 118175  | 2974351  |
|  Sumitomo Mitsui Financial Group, Inc.  | 49500  | 1680067  |
|  SVB Financial Group (a)  | 109780  | 25444808  |
|  Synovus Financial Corp.  | 25100  | 1057463  |
|  Texas Capital Bancshares, Inc. (a)  | 201  | 12058  |
|  Truist Financial Corp.  | 2566750  | 120149568  |
|  Trustmark Corp.  | 492  | 17997  |
|  U.S. Bancorp  | 2327348  | 105638326  |
|  Umpqua Holdings Corp.  | 6972  | 141322  |
|  UniCredit SpA  | 242307  | 3309412  |
|  United Community Bank, Inc.  | 1301  | 50700  |
|  Valley National Bancorp  | 7982  | 101052  |
|  Washington Federal, Inc.  | 1092  | 38515  |
|  Wells Fargo & Co.  | 8552297  | 410082641  |
|  Western Alliance Bancorp.  | 1548  | 106100  |
|  Wintrust Financial Corp.  | 398  | 36389  |
|  Zions Bancorp NA  | 326812  | 16935398  |
|  |  | 2412913949  |
| Capital Markets - 2.9%  |  |  |
|  Affiliated Managers Group, Inc.  | 1295  | 207744  |
|  Ameriprise Financial, Inc.  | 379570  | 125998262  |
|  Ares Management Corp.  | 93624  | 7339185  |
|  Bank of New York Mellon Corp.  | 1471513  | 67542447  |
|  BlackRock, Inc. Class A  | 41222  | 29514952  |
|  Blackstone, Inc. (b)  | 247300  | 22635369  |
|  Blue Owl Capital, Inc. Class A (b)  | 468455  | 5293542  |
|  Brookfield Asset Management, Inc. Class A  | 1440261  | 67908306  |
|  Carlyle Group LP  | 14958  | 466241  |
|  Cboe Global Markets, Inc.  | 27410  | 3476684  |
|  Charles Schwab Corp.  | 2917573  | 240816475  |
|  CME Group, Inc.  | 140911  | 24870792  |
|  Donnelley Financial Solutions, Inc. (a)  | 999  | 38142  |
|  Evercore, Inc. Class A  | 597  | 68762  |
|  FactSet Research Systems, Inc.  | 71354  | 32914887  |
|  Federated Hermes, Inc.  | 1000  | 37960  |
|  Franklin Resources, Inc.  | 26307  | 705291  |
|  Goldman Sachs Group, Inc.  | 525016  | 202734928  |
|  Houlihan Lokey  | 200  | 19670  |
|  Interactive Brokers Group, Inc.  | 1388  | 111456  |
|  Intercontinental Exchange, Inc.  | 394790  | 42759705  |
|  Invesco Ltd.  | 685379  | 13097593  |
|  Jefferies Financial Group, Inc.  | 812998  | 30885794  |
|  KKR & Co. LP  | 392471  | 20377094  |
|  LPL Financial  | 5199  | 1230655  |
|  MarketAxess Holdings, Inc.  | 61373  | 16443054  |
|  Moody's Corp.  | 160302  | 47813278  |
|  Morgan Stanley  | 1560599  | 145244949  |
|  MSCI, Inc.  | 47901  | 24325565  |
|  NASDAQ, Inc.  | 12367  | 846645  |
|  Northern Trust Corp.  | 202954  | 18897047  |
|  Raymond James Financial, Inc.  | 601139  | 70273149  |
|  S&P Global, Inc.  | 541218  | 190941710  |
|  SEI Investments Co.  | 406317  | 25305423  |
|  State Street Corp.  | 541804  | 43165525  |
|  StepStone Group, Inc. Class A  | 64471  | 1932841  |
|  Stifel Financial Corp.  | 6288  | 404004  |
| T. Rowe Price Group, Inc. (b)  | 162354  | 20279638  |
|  TPG, Inc.  | 4031  | 134232  |
|  Tradeweb Markets, Inc. Class A  | 790  | 48553  |
|  Victory Capital Holdings, Inc.  | 429  | 12441  |
|  Virtu Financial, Inc. Class A  | 147310  | 3267336  |
|  |  | 1550387326  |
| Consumer Finance - 0.7%  |  |  |
|  Ally Financial, Inc.  | 3293  | 88944  |
|  American Express Co.  | 1304804  | 205624062  |
|  Bread Financial Holdings, Inc.  | 3018  | 123829  |
|  Capital One Financial Corp.  | 848125  | 87560425  |
|  Credit Acceptance Corp. (a)(b)  | 6000  | 2843760  |
|  Discover Financial Services  | 476297  | 51611543  |
|  LendingClub Corp. (a)  | 29434  | 303465  |
|  LendingTree, Inc. (a)  | 803  | 19232  |
|  Navient Corp.  | 735480  | 12186904  |
|  OneMain Holdings, Inc.  | 95194  | 3746836  |
|  SLM Corp.  | 8923  | 155796  |
|  Synchrony Financial  | 239651  | 9006085  |
|  |  | 373270881  |
| Diversified Financial Services - 1.3%  |  |  |
|  Apollo Global Management, Inc. (b)  | 214311  | 14871040  |
|  Berkshire Hathaway, Inc.:  |  |  |
|  Class A (a)  | 1  | 480280  |
|  Class B (a)  | 1877611  | 598206865  |
|  Corebridge Financial, Inc.  | 1150759  | 25592880  |
|  Equitable Holdings, Inc.  | 1180177  | 37458818  |
|  Sunrisemezz Ltd. (a)  | 91291  | 11355  |
|  Voya Financial, Inc. (b)  | 271320  | 17901694  |
|  |  | 694522932  |
| Insurance - 2.5%  |  |  |
|  AFLAC, Inc.  | 732539  | 52691530  |
|  Allstate Corp.  | 203300  | 27221870  |
|  American Financial Group, Inc.  | 110893  | 15771202  |
|  American International Group, Inc.  | 1363346  | 86040766  |
|  Aon PLC  | 46599  | 14365540  |
|  Arch Capital Group Ltd. (a)  | 169846  | 10175474  |
|  Arthur J. Gallagher & Co.  | 43713  | 8703695  |
|  Assurant, Inc.  | 176298  | 22604930  |
|  Axis Capital Holdings Ltd.  | 162000  | 9324720  |
|  Brighthouse Financial, Inc. (a)  | 12175  | 678635  |
|  Brookfield Asset Management Reinsurance Partners Ltd. (b)  | 9502  | 450110  |
|  Brown & Brown, Inc.  | 281  | 16745  |
|  Chubb Ltd.  | 581380  | 127665234  |
|  Cincinnati Financial Corp.  | 278795  | 30935093  |
|  CNA Financial Corp.  | 113307  | 4824612  |
|  CNO Financial Group, Inc.  | 1100  | 25828  |
|  Everest Re Group Ltd.  | 105770  | 35743914  |
|  Fairfax Financial Holdings Ltd.  | 18337  | 10509916  |
|  Fidelity National Financial, Inc.  | 112900  | 4556644  |
|  Globe Life, Inc.  | 300495  | 36047380  |
|  Hanover Insurance Group, Inc.  | 100  | 14730  |
|  Hartford Financial Services Group, Inc.  | 1567167  | 119684544  |
|  Lincoln National Corp.  | 249378  | 9710779  |
|  Loews Corp.  | 646039  | 37567168  |
|  Markel Corp. (a)  | 5290  | 7008404  |
|  Marsh & McLennan Companies, Inc.  | 468360  | 81110585  |
|  MBIA, Inc. (a)  | 5447  | 69231  |
|  Mercury General Corp.  | 5902  | 214125  |
|  MetLife, Inc.  | 1503769  | 115339082  |
|  Old Republic International Corp.  | 117638  | 2882131  |
|  Primerica, Inc.  | 98  | 14605  |
|  Principal Financial Group, Inc.  | 118110  | 10592105  |
|  Progressive Corp.  | 1885639  | 249187194  |
|  Prudential Financial, Inc.  | 165544  | 17883718  |
|  Prudential PLC  | 43344  | 515577  |
|  Reinsurance Group of America, Inc.  | 24822  | 3584297  |
|  RenaissanceRe Holdings Ltd.  | 199715  | 37728161  |
|  RLI Corp.  | 100  | 13007  |
|  Ryan Specialty Group Holdings, Inc. (a)  | 12584  | 506884  |
|  The Travelers Companies, Inc.  | 483260  | 91727581  |
|  Unum Group  | 454200  | 19158156  |
|  W.R. Berkley Corp.  | 112168  | 8556175  |
|  |  | 1311422077  |
| Mortgage Real Estate Investment Trusts - 0.0%  |  |  |
|  Annaly Capital Management, Inc.  | 378388  | 8199668  |
|  Apollo Commercial Real Estate Finance, Inc.  | 1200  | 14832  |
|  Arbor Realty Trust, Inc.  | 6310  | 93893  |
|  Ares Commercial Real Estate Corp.  | 1760  | 21930  |
|  Blackstone Mortgage Trust, Inc.  | 24340  | 615072  |
|  Granite Point Mortgage Trust, Inc.  | 1718  | 11012  |
|  Hannon Armstrong Sustainable Infrastructure Capital, Inc.  | 903  | 29293  |
|  Ladder Capital Corp. Class A  | 4646  | 51571  |
|  Rithm Capital Corp.  | 26791  | 242459  |
|  Starwood Property Trust, Inc.  | 19589  | 419400  |
|  Two Harbors Investment Corp.  | 697  | 11431  |
|  |  | 9710561  |
| Thrifts & Mortgage Finance - 0.0%  |  |  |
|  Axos Financial, Inc. (a)  | 301  | 12073  |
|  Enact Holdings, Inc.  | 5193  | 128786  |
|  MGIC Investment Corp.  | 378180  | 5192411  |
|  Radian Group, Inc.  | 614481  | 12025393  |
|  UWM Holdings Corp. Class A (b)  | 106270  | 472902  |
|  |  | 17831565  |
|  TOTAL FINANCIALS  |  | 6370059291  |
| HEALTH CARE - 13.9%  |  |  |
| Biotechnology - 2.7%  |  |  |
|  AbbVie, Inc.  | 3076726  | 495906697  |
|  ACADIA Pharmaceuticals, Inc. (a)  | 6000  | 93480  |
|  ADMA Biologics, Inc. (a)  | 2900  | 9686  |
|  Allogene Therapeutics, Inc. (a)  | 3142  | 30980  |
|  Alnylam Pharmaceuticals, Inc. (a)  | 14542  | 3207820  |
|  Amgen, Inc.  | 745505  | 213512632  |
|  Amicus Therapeutics, Inc. (a)  | 1100  | 13310  |
|  Arcus Biosciences, Inc. (a)  | 372  | 13083  |
|  Arcutis Biotherapeutics, Inc. (a)  | 70000  | 1206100  |
|  Argenx SE ADR (a)  | 22800  | 9073716  |
|  Ascendis Pharma A/S sponsored ADR (a)(b)  | 40000  | 4922400  |
|  Atara Biotherapeutics, Inc. (a)  | 18801  | 85169  |
|  Beam Therapeutics, Inc. (a)(b)  | 20200  | 933038  |
|  BioCryst Pharmaceuticals, Inc. (a)  | 9389  | 125437  |
|  Biogen, Inc. (a)  | 368723  | 112523198  |
|  BioMarin Pharmaceutical, Inc. (a)  | 343579  | 34694607  |
|  bluebird bio, Inc. (a)  | 5103  | 39752  |
|  Blueprint Medicines Corp. (a)  | 52000  | 2485080  |
|  BridgeBio Pharma, Inc. (a)  | 1916  | 17953  |
|  CareDx, Inc. (a)  | 300  | 3885  |
|  Catalyst Pharmaceutical Partners, Inc. (a)  | 14554  | 244071  |
|  Celldex Therapeutics, Inc. (a)  | 38000  | 1409420  |
|  Cytokinetics, Inc. (a)(b)  | 69000  | 2932500  |
|  Deciphera Pharmaceuticals, Inc. (a)  | 600  | 9546  |
|  Dynavax Technologies Corp. (a)  | 6535  | 81099  |
|  Editas Medicine, Inc. (a)  | 200  | 2120  |
|  Emergent BioSolutions, Inc. (a)  | 11056  | 135989  |
|  Erasca, Inc. (a)  | 68200  | 514910  |
|  Exelixis, Inc. (a)  | 15234  | 260197  |
|  Gilead Sciences, Inc.  | 1151802  | 101162770  |
|  Incyte Corp. (a)  | 63083  | 5025823  |
|  Inovio Pharmaceuticals, Inc. (a)  | 2500  | 5100  |
|  Intercept Pharmaceuticals, Inc. (a)  | 2896  | 43179  |
|  Ionis Pharmaceuticals, Inc. (a)  | 2600  | 106054  |
|  Iovance Biotherapeutics, Inc. (a)  | 14281  | 91398  |
|  Ironwood Pharmaceuticals, Inc. Class A (a)  | 4836  | 58564  |
|  Karuna Therapeutics, Inc. (a)  | 10601  | 2494521  |
|  Legend Biotech Corp. ADR (a)  | 75000  | 3863250  |
|  MannKind Corp. (a)  | 1800  | 8424  |
|  MiMedx Group, Inc. (a)  | 200  | 650  |
|  Moderna, Inc. (a)  | 433971  | 76339839  |
|  Myriad Genetics, Inc. (a)  | 500  | 10130  |
|  Natera, Inc. (a)  | 17929  | 737240  |
|  Neurocrine Biosciences, Inc. (a)  | 1272  | 161620  |
|  Novavax, Inc. (a)  | 5600  | 92344  |
|  PTC Therapeutics, Inc. (a)  | 54300  | 2252907  |
|  Regeneron Pharmaceuticals, Inc. (a)  | 263632  | 198172174  |
|  Relay Therapeutics, Inc. (a)  | 50000  | 929000  |
|  Revolution Medicines, Inc. (a)  | 698  | 16466  |
|  Rocket Pharmaceuticals, Inc. (a)  | 800  | 15104  |
|  Sarepta Therapeutics, Inc. (a)(b)  | 26562  | 3262079  |
|  Seagen, Inc. (a)  | 24108  | 2926470  |
|  Stoke Therapeutics, Inc. (a)  | 1900  | 14326  |
|  TG Therapeutics, Inc. (a)  | 2300  | 20286  |
|  Travere Therapeutics, Inc. (a)  | 1600  | 32208  |
|  Ultragenyx Pharmaceutical, Inc. (a)  | 3054  | 110860  |
|  United Therapeutics Corp. (a)  | 100  | 27989  |
|  Vertex Pharmaceuticals, Inc. (a)  | 516922  | 163554121  |
|  Xencor, Inc. (a)  | 67000  | 1991240  |
|  Zentalis Pharmaceuticals, Inc. (a)(b)  | 43000  | 951160  |
|  |  | 1448965171  |
| Health Care Equipment & Supplies - 1.6%  |  |  |
|  Abbott Laboratories  | 637057  | 68534592  |
|  Abiomed, Inc. (a)  | 8118  | 3066899  |
|  Alcon, Inc. (b)  | 305000  | 21011450  |
|  Align Technology, Inc. (a)  | 4918  | 967174  |
|  Angiodynamics, Inc. (a)  | 100  | 1295  |
|  Axonics Modulation Technologies, Inc. (a)  | 1497  | 102515  |
|  Baxter International, Inc.  | 852656  | 48200644  |
|  Becton, Dickinson & Co.  | 324524  | 80916814  |
|  Boston Scientific Corp. (a)  | 2611199  | 118208979  |
|  Dentsply Sirona, Inc.  | 24785  | 749994  |
|  DexCom, Inc. (a)  | 350906  | 40803350  |
|  Edwards Lifesciences Corp. (a)  | 234817  | 18139613  |
|  Embecta Corp.  | 6691  | 220268  |
|  Enovis Corp. (a)  | 98  | 5305  |
|  Envista Holdings Corp. (a)  | 5204  | 177560  |
|  Figs, Inc. Class A (a)  | 50077  | 392103  |
|  Glaukos Corp. (a)  | 200  | 9314  |
|  Hologic, Inc. (a)  | 295158  | 22479233  |
|  IDEXX Laboratories, Inc. (a)  | 34151  | 14543886  |
|  Inari Medical, Inc. (a)  | 300  | 22074  |
|  Inspire Medical Systems, Inc. (a)  | 8099  | 1956475  |
|  Insulet Corp. (a)  | 41900  | 12543603  |
|  Integra LifeSciences Holdings Corp. (a)  | 13751  | 755480  |
|  Intuitive Surgical, Inc. (a)  | 688858  | 186260315  |
|  Lantheus Holdings, Inc. (a)  | 1000  | 62080  |
|  Masimo Corp. (a)  | 44500  | 6449830  |
|  Medtronic PLC  | 988607  | 78139497  |
|  Merit Medical Systems, Inc. (a)  | 600  | 43200  |
|  Neogen Corp. (a)  | 34928  | 578408  |
|  Nevro Corp. (a)  | 50000  | 2335500  |
|  NuVasive, Inc. (a)  | 6334  | 246013  |
|  Omnicell, Inc. (a)  | 409  | 21108  |
|  Orthofix International NV (a)  | 700  | 12593  |
|  Penumbra, Inc. (a)  | 64000  | 13408640  |
|  ResMed, Inc.  | 29200  | 6721840  |
|  Semler Scientific, Inc. (a)  | 100  | 2964  |
|  Sensus Healthcare, Inc. (a)  | 100  | 668  |
|  Shockwave Medical, Inc. (a)  | 801  | 203134  |
|  Sight Sciences, Inc. (a)  | 1300  | 14521  |
|  Staar Surgical Co. (a)  | 603  | 34437  |
|  STERIS PLC  | 74821  | 13897253  |
|  Stryker Corp.  | 174676  | 40854970  |
|  Tandem Diabetes Care, Inc. (a)  | 78900  | 3317745  |
|  Teleflex, Inc.  | 695  | 162713  |
|  The Cooper Companies, Inc.  | 100  | 31635  |
|  TransMedics Group, Inc. (a)  | 6013  | 372024  |
|  Zimmer Biomet Holdings, Inc.  | 475122  | 57062152  |
|  Zimvie, Inc. (a)  | 7923  | 70832  |
|  |  | 864112692  |
| Health Care Providers & Services - 3.9%  |  |  |
|  1Life Healthcare, Inc. (a)  | 1100  | 18689  |
|  Acadia Healthcare Co., Inc. (a)  | 3211  | 285972  |
|  agilon health, Inc. (a)(b)  | 375000  | 6585000  |
|  AirSculpt Technologies, Inc.  | 700  | 2506  |
|  Alignment Healthcare, Inc. (a)  | 161876  | 2152951  |
|  AmerisourceBergen Corp.  | 266843  | 45547432  |
|  AMN Healthcare Services, Inc. (a)  | 692  | 85600  |
|  Cardinal Health, Inc.  | 413091  | 33117505  |
|  Centene Corp. (a)  | 1859640  | 161881662  |
|  Cigna Corp.  | 424519  | 139620054  |
|  CVS Health Corp.  | 2116276  | 215606199  |
|  DaVita HealthCare Partners, Inc. (a)  | 211621  | 15602816  |
|  Elevance Health, Inc.  | 315555  | 168165571  |
|  Encompass Health Corp.  | 397  | 23217  |
|  Enhabit Home Health & Hospice (a)  | 8519  | 121907  |
|  Guardant Health, Inc. (a)(b)  | 40000  | 2093600  |
|  HCA Holdings, Inc.  | 611202  | 146822944  |
|  Henry Schein, Inc. (a)  | 129284  | 10461661  |
|  Humana, Inc.  | 248132  | 136447787  |
|  Laboratory Corp. of America Holdings  | 100291  | 24140044  |
|  LifeStance Health Group, Inc. (a)  | 188100  | 957429  |
|  McKesson Corp.  | 252177  | 96250917  |
|  Molina Healthcare, Inc. (a)  | 122658  | 41307535  |
|  Oak Street Health, Inc. (a)(b)  | 294548  | 6368128  |
|  Patterson Companies, Inc.  | 6823  | 194046  |
|  Pediatrix Medical Group, Inc. (a)  | 16049  | 256463  |
|  Privia Health Group, Inc. (a)  | 991  | 23715  |
|  Quest Diagnostics, Inc.  | 188519  | 28622840  |
|  RadNet, Inc. (a)  | 775  | 15322  |
|  Signify Health, Inc. (a)  | 600  | 17172  |
|  Surgery Partners, Inc. (a)  | 200700  | 5681817  |
|  Tenet Healthcare Corp. (a)  | 7679  | 354616  |
|  UnitedHealth Group, Inc.  | 1336734  | 732209416  |
|  Universal Health Services, Inc. Class B  | 127000  | 16617950  |
|  |  | 2037660483  |
| Health Care Technology - 0.0%  |  |  |
|  Allscripts Healthcare Solutions, Inc. (a)  | 1005  | 19035  |
|  Certara, Inc. (a)  | 100  | 1698  |
|  Doximity, Inc. (a)(b)  | 54000  | 1835460  |
|  Evolent Health, Inc. (a)  | 1800  | 51822  |
|  Phreesia, Inc. (a)  | 65000  | 1808300  |
|  Sharecare, Inc. Class A (a)  | 10200  | 19482  |
|  Teladoc Health, Inc. (a)  | 1199  | 34183  |
|  Veeva Systems, Inc. Class A (a)  | 50242  | 9564067  |
|  |  | 13334047  |
| Life Sciences Tools & Services - 1.5%  |  |  |
|  Agilent Technologies, Inc.  | 258105  | 40001113  |
|  Avantor, Inc. (a)  | 125667  | 2799861  |
|  Azenta, Inc.  | 3190  | 192070  |
|  Berkeley Lights, Inc. (a)  | 5869  | 17255  |
|  Bio-Rad Laboratories, Inc. Class A (a)  | 2697  | 1118473  |
|  Bio-Techne Corp.  | 2800  | 237972  |
|  Bruker Corp.  | 52704  | 3552777  |
|  Charles River Laboratories International, Inc. (a)  | 31800  | 7268526  |
|  Codexis, Inc. (a)  | 2224  | 12165  |
|  Danaher Corp.  | 890758  | 243542145  |
|  Illumina, Inc. (a)  | 145200  | 31665216  |
|  Inotiv, Inc. (a)  | 2878  | 17383  |
|  IQVIA Holdings, Inc. (a)  | 50946  | 11107247  |
|  Lonza Group AG  | 4500  | 2367416  |
|  Maravai LifeSciences Holdings, Inc. (a)  | 11100  | 165168  |
|  Medpace Holdings, Inc. (a)  | 1901  | 399001  |
|  Mettler-Toledo International, Inc. (a)  | 24353  | 35788195  |
|  Nanostring Technologies, Inc. (a)  | 8935  | 62456  |
|  NeoGenomics, Inc. (a)  | 4100  | 45961  |
|  PerkinElmer, Inc.  | 300  | 41919  |
|  Sartorius Stedim Biotech  | 10000  | 3413032  |
|  Sotera Health Co. (a)  | 9837  | 82041  |
|  Syneos Health, Inc. (a)  | 28959  | 1021674  |
|  Thermo Fisher Scientific, Inc.  | 703963  | 394374152  |
|  Waters Corp. (a)  | 31406  | 10885320  |
|  West Pharmaceutical Services, Inc.  | 65389  | 15344183  |
|  |  | 805522721  |
| Pharmaceuticals - 4.2%  |  |  |
|  AstraZeneca PLC:  |  |  |
|  (United Kingdom)  | 80000  | 10827252  |
|  sponsored ADR  | 381592  | 25936808  |
|  Bristol-Myers Squibb Co.  | 4416136  | 354527398  |
|  Catalent, Inc. (a)  | 43347  | 2172985  |
|  Corcept Therapeutics, Inc. (a)  | 500  | 12640  |
|  Elanco Animal Health, Inc. (a)  | 314531  | 4048014  |
|  Eli Lilly & Co.  | 762073  | 282790049  |
|  Innoviva, Inc. (a)  | 791  | 10386  |
|  Jazz Pharmaceuticals PLC (a)  | 162700  | 25529257  |
|  Johnson & Johnson  | 2458010  | 437525780  |
|  Merck & Co., Inc.  | 3823597  | 421054502  |
|  Novartis AG sponsored ADR  | 412328  | 36928096  |
|  Novo Nordisk A/S Series B sponsored ADR  | 174339  | 21722639  |
|  Organon & Co.  | 178586  | 4646808  |
|  Paratek Pharmaceuticals, Inc. (a)  | 2397  | 5321  |
|  Pfizer, Inc.  | 8359500  | 419061735  |
|  Revance Therapeutics, Inc. (a)  | 10487  | 227673  |
|  Roche Holding AG:  |  |  |
|  (participation certificate)  | 20000  | 6532478  |
|  sponsored ADR  | 698129  | 28567439  |
|  Royalty Pharma PLC  | 250000  | 10992500  |
|  UCB SA  | 20000  | 1614331  |
|  Viatris, Inc.  | 3166638  | 34928017  |
|  Zoetis, Inc. Class A  | 444306  | 68485327  |
|  |  | 2198147435  |
|  TOTAL HEALTH CARE  |  | 7367742549  |
| INDUSTRIALS - 7.6%  |  |  |
| Aerospace & Defense - 1.6%  |  |  |
|  Aerojet Rocketdyne Holdings, Inc. (a)  | 7183  | 373516  |
|  AerSale Corp. (a)  | 794  | 12585  |
|  BWX Technologies, Inc.  | 591  | 35986  |
|  Curtiss-Wright Corp.  | 100  | 17665  |
|  General Dynamics Corp.  | 202667  | 51151124  |
|  HEICO Corp.  | 2006  | 325594  |
|  Hexcel Corp.  | 6216  | 372649  |
|  Howmet Aerospace, Inc.  | 728054  | 27425794  |
|  Huntington Ingalls Industries, Inc.  | 73485  | 17045581  |
|  Kaman Corp.  | 1320  | 26888  |
|  Kratos Defense & Security Solutions, Inc. (a)  | 9314  | 88669  |
|  L3Harris Technologies, Inc.  | 178143  | 40452712  |
|  Lockheed Martin Corp.  | 295847  | 143542006  |
|  Moog, Inc. Class A  | 127400  | 11087622  |
|  Northrop Grumman Corp.  | 86346  | 46047458  |
|  Parsons Corp. (a)  | 14345  | 710078  |
|  Raytheon Technologies Corp.  | 2308772  | 227921972  |
|  Textron, Inc.  | 535192  | 38202005  |
|  The Boeing Co. (a)  | 932133  | 166739951  |
|  TransDigm Group, Inc.  | 145330  | 91339905  |
|  Triumph Group, Inc. (a)  | 7341  | 84054  |
|  V2X, Inc. (a)  | 37733  | 1524791  |
|  |  | 864528605  |
| Air Freight & Logistics - 0.5%  |  |  |
|  C.H. Robinson Worldwide, Inc. (b)  | 50485  | 5059607  |
|  Expeditors International of Washington, Inc.  | 366847  | 42576263  |
|  FedEx Corp.  | 654213  | 119210693  |
|  Forward Air Corp.  | 598  | 67197  |
|  United Parcel Service, Inc. Class B  | 605191  | 114822888  |
|  |  | 281736648  |
| Airlines - 0.2%  |  |  |
|  Alaska Air Group, Inc. (a)  | 170054  | 8067362  |
|  American Airlines Group, Inc. (a)  | 142183  | 2051701  |
|  Delta Air Lines, Inc. (a)  | 400900  | 14179833  |
|  JetBlue Airways Corp. (a)  | 22508  | 179164  |
|  Southwest Airlines Co.  | 809466  | 32305788  |
|  United Airlines Holdings, Inc. (a)  | 640557  | 28293403  |
|  |  | 85077251  |
| Building Products - 0.5%  |  |  |
|  A.O. Smith Corp.  | 5617  | 341177  |
|  Advanced Drain Systems, Inc.  | 21262  | 2067942  |
|  Allegion PLC  | 4294  | 488013  |
|  Builders FirstSource, Inc. (a)  | 57200  | 3656796  |
|  Carlisle Companies, Inc.  | 57413  | 15105934  |
|  Carrier Global Corp.  | 707417  | 31352721  |
|  Fortune Brands Home & Security, Inc.  | 152121  | 9939586  |
|  Griffon Corp.  | 1213  | 42831  |
|  Jeld-Wen Holding, Inc. (a)  | 2388  | 24692  |
|  Johnson Controls International PLC  | 46345  | 3079162  |
|  Lennox International, Inc.  | 1303  | 339340  |
|  Masco Corp.  | 144914  | 7358733  |
|  Owens Corning  | 177417  | 15761726  |
|  Trane Technologies PLC  | 842841  | 150379691  |
|  Trex Co., Inc. (a)  | 4682  | 214857  |
|  Zurn Elkay Water Solutions Cor  | 200  | 4842  |
|  |  | 240158043  |
| Commercial Services & Supplies - 0.3%  |  |  |
|  ACCO Brands Corp.  | 500  | 2785  |
|  Cintas Corp.  | 30379  | 14028415  |
|  Clean Harbors, Inc. (a)  | 1403  | 168360  |
|  Copart, Inc. (a)(b)  | 459213  | 30565217  |
|  Deluxe Corp.  | 215300  | 4163902  |
|  Driven Brands Holdings, Inc. (a)  | 5301  | 161203  |
|  Harsco Corp. (a)  | 24494  | 183215  |
|  Pitney Bowes, Inc.  | 15900  | 60738  |
|  Republic Services, Inc.  | 307545  | 42837943  |
|  Rollins, Inc.  | 4439  | 179513  |
|  Tetra Tech, Inc.  | 298  | 46068  |
|  Waste Connections, Inc. (United States)  | 246471  | 35615060  |
|  Waste Management, Inc.  | 155148  | 26021423  |
|  |  | 154033842  |
| Construction & Engineering - 0.0%  |  |  |
|  AECOM  | 2896  | 246160  |
|  Dycom Industries, Inc. (a)  | 201  | 18319  |
|  Fluor Corp. (a)  | 23035  | 774206  |
|  MasTec, Inc. (a)  | 1113  | 101094  |
|  Willscot Mobile Mini Holdings (a)  | 428543  | 20660058  |
|  |  | 21799837  |
| Electrical Equipment - 0.5%  |  |  |
|  Acuity Brands, Inc.  | 74400  | 14008776  |
|  AMETEK, Inc.  | 406569  | 57903557  |
|  Array Technologies, Inc. (a)  | 19104  | 400038  |
|  ChargePoint Holdings, Inc. Class A (a)  | 2030  | 25213  |
|  Eaton Corp. PLC  | 694214  | 113469278  |
|  Emerson Electric Co.  | 382549  | 36636718  |
|  Encore Wire Corp.  | 708  | 103446  |
|  EnerSys  | 202  | 15267  |
|  FuelCell Energy, Inc. (a)  | 93131  | 322233  |
|  Generac Holdings, Inc. (a)  | 102444  | 10809891  |
|  GrafTech International Ltd.  | 25227  | 136226  |
|  Rockwell Automation, Inc.  | 89667  | 23691815  |
|  Sensata Technologies, Inc. PLC  | 56500  | 2548150  |
|  Shoals Technologies Group, Inc. (a)  | 3300  | 95601  |
|  SunPower Corp. (a)  | 8689  | 210708  |
|  Sunrun, Inc. (a)  | 11598  | 377863  |
|  |  | 260754780  |
| Industrial Conglomerates - 0.9%  |  |  |
|  3M Co.  | 270232  | 34041125  |
|  General Electric Co.  | 1608563  | 138288161  |
|  Honeywell International, Inc.  | 1422860  | 312388913  |
|  |  | 484718199  |
| Machinery - 1.5%  |  |  |
|  3D Systems Corp. (a)  | 12595  | 127713  |
|  AGCO Corp.  | 255682  | 33934115  |
|  Albany International Corp. Class A  | 100  | 10137  |
|  Allison Transmission Holdings, Inc.  | 310294  | 13901171  |
|  Caterpillar, Inc.  | 304505  | 71988027  |
|  Chart Industries, Inc. (a)  | 200  | 28598  |
|  Crane Holdings Co.  | 108700  | 11515678  |
|  Cummins, Inc.  | 504795  | 126784312  |
|  Deere & Co.  | 288347  | 127161027  |
|  Dover Corp.  | 166248  | 23598904  |
|  Enerpac Tool Group Corp. Class A  | 2395  | 59971  |
|  Fortive Corp.  | 535697  | 36186332  |
|  Graco, Inc.  | 1102  | 77107  |
|  IDEX Corp.  | 1299  | 308500  |
|  Illinois Tool Works, Inc.  | 2101  | 477914  |
|  Ingersoll Rand, Inc. (b)  | 2050021  | 110639633  |
|  ITT, Inc.  | 73481  | 6210614  |
|  John Bean Technologies Corp.  | 206  | 18923  |
|  Kennametal, Inc.  | 5932  | 156723  |
|  Lincoln Electric Holdings, Inc.  | 400  | 59152  |
|  Middleby Corp. (a)  | 51200  | 7382528  |
|  Mueller Industries, Inc.  | 400  | 27508  |
|  Nordson Corp.  | 65469  | 15482764  |
|  Oshkosh Corp.  | 197500  | 18183825  |
|  Otis Worldwide Corp.  | 256270  | 20012124  |
|  PACCAR, Inc.  | 456115  | 48307140  |
|  Parker Hannifin Corp.  | 147800  | 44183332  |
|  Pentair PLC  | 16037  | 734013  |
|  Proto Labs, Inc. (a)  | 900  | 23868  |
|  REV Group, Inc.  | 600  | 8334  |
|  Shyft Group, Inc. (The)  | 1300  | 31889  |
|  Snap-On, Inc.  | 90621  | 21803413  |
|  Stanley Black & Decker, Inc.  | 284129  | 23219022  |
|  Terex Corp.  | 200  | 9182  |
|  Timken Co. (b)  | 241798  | 18371812  |
|  Toro Co.  | 400  | 44396  |
|  Wabash National Corp.  | 6070  | 152175  |
|  Watts Water Technologies, Inc. Class A  | 101  | 16003  |
|  Westinghouse Air Brake Tech Co.  | 35675  | 3606386  |
|  Xylem, Inc.  | 235919  | 26505500  |
|  |  | 811349765  |
| Marine - 0.0%  |  |  |
|  Kirby Corp. (a)  | 1205  | 84097  |
|  Matson, Inc.  | 800  | 51008  |
|  |  | 135105  |
| Professional Services - 0.3%  |  |  |
|  ASGN, Inc. (a)  | 400  | 36240  |
|  Booz Allen Hamilton Holding Corp. Class A  | 1772  | 188541  |
|  CACI International, Inc. Class A (a)  | 7200  | 2248560  |
|  CBIZ, Inc. (a)  | 1092  | 54218  |
|  CoStar Group, Inc. (a)  | 629868  | 51044503  |
|  Dun & Bradstreet Holdings, Inc.  | 63153  | 850039  |
|  Equifax, Inc.  | 3005  | 593097  |
|  HireRight Holdings Corp. (a)  | 2545  | 32245  |
|  Insperity, Inc.  | 100  | 11855  |
|  Jacobs Solutions, Inc.  | 79876  | 10107509  |
|  KBR, Inc.  | 1288  | 66551  |
|  Leidos Holdings, Inc.  | 562647  | 61514197  |
|  Manpower, Inc.  | 83100  | 7272912  |
|  Planet Labs PBC Class A (a)  | 5130  | 27753  |
|  Robert Half International, Inc.  | 96070  | 7568395  |
|  Science Applications International Corp.  | 984  | 108348  |
|  TransUnion Holding Co., Inc.  | 166541  | 10505406  |
|  TriNet Group, Inc. (a)  | 1188  | 86094  |
|  Upwork, Inc. (a)  | 10606  | 129924  |
|  Verisk Analytics, Inc.  | 7587  | 1393808  |
|  |  | 153840195  |
| Road & Rail - 1.1%  |  |  |
|  AMERCO (b)  | 9200  | 582360  |
|  AMERCO  | 82800  | 5230476  |
|  Avis Budget Group, Inc. (a)  | 16500  | 3689400  |
|  Canadian Pacific Railway Ltd. (b)  | 361334  | 29596868  |
|  CSX Corp.  | 3496374  | 114296466  |
|  Hertz Global Holdings, Inc.  | 2553  | 43912  |
|  J.B. Hunt Transport Services, Inc.  | 128731  | 23672344  |
|  Knight-Swift Transportation Holdings, Inc. Class A  | 70757  | 3922061  |
|  Landstar System, Inc.  | 13695  | 2368961  |
|  Norfolk Southern Corp.  | 267965  | 68733023  |
|  Old Dominion Freight Lines, Inc.  | 232998  | 70507525  |
|  RXO, Inc. (a)  | 80500  | 1529500  |
|  Ryder System, Inc.  | 200  | 18698  |
|  Saia, Inc. (a)(b)  | 64146  | 15625324  |
|  Schneider National, Inc. Class B  | 593  | 15276  |
|  TuSimple Holdings, Inc. (a)  | 7976  | 17946  |
|  Union Pacific Corp.  | 1122576  | 244081700  |
|  Werner Enterprises, Inc.  | 3193  | 140428  |
|  XPO Logistics, Inc. (a)  | 80500  | 3108910  |
|  |  | 587181178  |
| Trading Companies & Distributors - 0.2%  |  |  |
|  Air Lease Corp. Class A  | 1500  | 57930  |
|  Beacon Roofing Supply, Inc. (a)  | 4903  | 286286  |
|  Core & Main, Inc. (a)  | 808  | 16806  |
|  Fastenal Co.  | 59572  | 3068554  |
|  GATX Corp.  | 300  | 33825  |
|  GMS, Inc. (a)  | 299  | 14681  |
|  MRC Global, Inc. (a)  | 5768  | 67832  |
|  MSC Industrial Direct Co., Inc. Class A  | 1289  | 110635  |
|  NOW, Inc. (a)  | 1018  | 12705  |
|  United Rentals, Inc. (a)  | 221584  | 78225800  |
|  Univar Solutions, Inc. (a)  | 16050  | 531737  |
|  Veritiv Corp.  | 201  | 27043  |
|  W.W. Grainger, Inc.  | 26552  | 16012449  |
|  Watsco, Inc.  | 3417  | 919105  |
|  WESCO International, Inc. (a)  | 1802  | 232314  |
|  |  | 99617702  |
|  TOTAL INDUSTRIALS  |  | 4044931150  |
| INFORMATION TECHNOLOGY - 20.5%  |  |  |
| Communications Equipment - 0.5%  |  |  |
|  Arista Networks, Inc. (a)  | 271081  | 37761583  |
|  Ciena Corp. (a)  | 3210  | 144322  |
|  Cisco Systems, Inc.  | 3750003  | 186450149  |
|  CommScope Holding Co., Inc. (a)  | 308917  | 2743183  |
|  F5, Inc. (a)  | 1063  | 164350  |
|  Harmonic, Inc. (a)  | 2263  | 34714  |
|  Infinera Corp. (a)  | 11100  | 74925  |
|  Juniper Networks, Inc.  | 15313  | 509004  |
|  Motorola Solutions, Inc.  | 152084  | 41397265  |
|  NetScout Systems, Inc. (a)  | 9500  | 354160  |
|  ViaSat, Inc. (a)  | 900  | 30681  |
|  Viavi Solutions, Inc. (a)  | 13243  | 150043  |
|  |  | 269814379  |
| Electronic Equipment & Components - 0.5%  |  |  |
|  Amphenol Corp. Class A  | 310591  | 24980834  |
|  Arlo Technologies, Inc. (a)  | 16224  | 61976  |
|  Arrow Electronics, Inc. (a)  | 214600  | 23335604  |
|  Avnet, Inc.  | 158124  | 7142461  |
|  Belden, Inc.  | 800  | 64352  |
|  CDW Corp.  | 2001  | 377469  |
|  Corning, Inc.  | 425569  | 14524670  |
|  IPG Photonics Corp. (a)  | 200  | 18206  |
|  Jabil, Inc.  | 156901  | 11326683  |
|  Keysight Technologies, Inc. (a)  | 427326  | 77299000  |
|  Knowles Corp. (a)  | 800  | 12480  |
|  Ouster, Inc. (a)  | 1900  | 2242  |
|  Plexus Corp. (a)  | 398  | 43868  |
|  Rogers Corp. (a)  | 4220  | 460149  |
|  Sanmina Corp. (a)  | 199  | 13152  |
|  TD SYNNEX Corp.  | 81826  | 8370800  |
|  TE Connectivity Ltd.  | 92577  | 11675811  |
|  Teledyne Technologies, Inc. (a)  | 110629  | 46475243  |
|  Trimble, Inc. (a)  | 296601  | 17721910  |
|  TTM Technologies, Inc. (a)  | 13822  | 222120  |
|  Vishay Intertechnology, Inc.  | 627161  | 14449789  |
|  Zebra Technologies Corp. Class A (a)  | 700  | 189196  |
|  |  | 258768015  |
| IT Services - 3.7%  |  |  |
|  Accenture PLC Class A  | 481749  | 144972727  |
|  Affirm Holdings, Inc. (a)(b)  | 41528  | 578070  |
|  Akamai Technologies, Inc. (a)  | 5679  | 538710  |
|  Amdocs Ltd.  | 179800  | 15977028  |
|  Automatic Data Processing, Inc.  | 120794  | 31906527  |
|  Block, Inc. Class A (a)  | 345777  | 23433307  |
|  Broadridge Financial Solutions, Inc.  | 2092  | 311938  |
|  Capgemini SA  | 32600  | 5893998  |
|  Cognizant Technology Solutions Corp. Class A  | 555117  | 34533829  |
|  Conduent, Inc. (a)  | 7470  | 30179  |
|  CSG Systems International, Inc.  | 185800  | 11489872  |
|  Dlocal Ltd. (a)(b)  | 160100  | 2337460  |
|  DXC Technology Co. (a)  | 275437  | 8172216  |
|  EPAM Systems, Inc. (a)  | 34419  | 12686155  |
|  Euronet Worldwide, Inc. (a)  | 4485  | 416881  |
|  EVO Payments, Inc. Class A (a)  | 100  | 3371  |
|  Fidelity National Information Services, Inc.  | 273619  | 19859282  |
|  Fiserv, Inc. (a)  | 1209952  | 126270591  |
|  FleetCor Technologies, Inc. (a)  | 556549  | 109194914  |
|  Flywire Corp. (a)  | 20781  | 450740  |
|  Gartner, Inc. (a)  | 40679  | 14252701  |
|  Global Payments, Inc.  | 510242  | 52952915  |
|  GoDaddy, Inc. (a)  | 500  | 39565  |
|  Grid Dynamics Holdings, Inc. (a)  | 16670  | 212376  |
|  IBM Corp.  | 567251  | 84463674  |
|  Jack Henry & Associates, Inc.  | 2693  | 509920  |
|  Kyndryl Holdings, Inc. (a)  | 70995  | 831351  |
|  MasterCard, Inc. Class A  | 1399029  | 498613936  |
|  Maximus, Inc.  | 704  | 49491  |
|  MongoDB, Inc. Class A (a)  | 67600  | 10321844  |
|  Paychex, Inc.  | 210817  | 26147633  |
|  Payoneer Global, Inc. (a)  | 27816  | 150206  |
|  PayPal Holdings, Inc. (a)  | 884078  | 69320556  |
|  Repay Holdings Corp. (a)  | 4700  | 41642  |
|  Shopify, Inc. Class A (a)  | 506020  | 20686098  |
|  Snowflake, Inc. (a)  | 65393  | 9344660  |
|  Squarespace, Inc. Class A (a)  | 7918  | 162240  |
|  SS&C Technologies Holdings, Inc.  | 187381  | 10073603  |
|  Switch, Inc. Class A  | 200  | 6850  |
|  The Western Union Co.  | 248578  | 3644153  |
|  Toast, Inc. (a)  | 200  | 3672  |
|  Twilio, Inc. Class A (a)  | 34300  | 1681386  |
|  VeriSign, Inc. (a)  | 23518  | 4699132  |
|  Verra Mobility Corp. (a)  | 24896  | 394602  |
|  Visa, Inc. Class A (b)  | 2625580  | 569750860  |
|  WEX, Inc. (a)  | 41199  | 6968399  |
|  Wix.com Ltd. (a)  | 35800  | 3239542  |
|  Worldline SA (a)(c)  | 69532  | 3293816  |
|  |  | 1940914618  |
| Semiconductors & Semiconductor Equipment - 4.2%  |  |  |
|  ACM Research, Inc.  | 1100  | 9966  |
|  Advanced Micro Devices, Inc. (a)  | 2439157  | 189351758  |
|  Allegro MicroSystems LLC (a)  | 1221  | 38022  |
|  Analog Devices, Inc. (b)  | 217740  | 37431683  |
|  Applied Materials, Inc.  | 584594  | 64071502  |
|  ASML Holding NV  | 155604  | 94625904  |
|  ASML Holding NV (Netherlands)  | 10100  | 6166254  |
|  Broadcom, Inc.  | 383656  | 211405966  |
|  Enphase Energy, Inc. (a)  | 58689  | 18815107  |
|  First Solar, Inc. (a)  | 2906  | 501372  |
|  FormFactor, Inc. (a)  | 718  | 16564  |
|  Impinj, Inc. (a)  | 1673  | 213391  |
|  Intel Corp.  | 1810752  | 54449313  |
|  KLA Corp.  | 196272  | 77164337  |
|  Lam Research Corp.  | 299396  | 141428682  |
|  Lattice Semiconductor Corp. (a)  | 8763  | 638209  |
|  MACOM Technology Solutions Holdings, Inc. (a)  | 1012  | 69514  |
|  Marvell Technology, Inc.  | 609520  | 28354870  |
|  MaxLinear, Inc. Class A (a)  | 909  | 33269  |
|  MediaTek, Inc.  | 140000  | 3394631  |
|  Microchip Technology, Inc.  | 839340  | 66467335  |
|  Micron Technology, Inc.  | 385783  | 22240390  |
|  Monolithic Power Systems, Inc.  | 54003  | 20626986  |
|  NVIDIA Corp.  | 2917050  | 493652372  |
|  NXP Semiconductors NV  | 1165491  | 204939937  |
|  onsemi (a)  | 455587  | 34260142  |
|  Photronics, Inc. (a)  | 1199  | 22541  |
|  Power Integrations, Inc.  | 202  | 16257  |
|  Qorvo, Inc. (a)  | 179661  | 17831354  |
|  Qualcomm, Inc.  | 1869685  | 236496456  |
|  Rambus, Inc. (a)  | 1103  | 42333  |
|  Renesas Electronics Corp. (a)  | 789300  | 7741223  |
|  Semtech Corp. (a)  | 2831  | 87025  |
|  Silergy Corp.  | 100000  | 1505483  |
|  SiTime Corp. (a)  | 1927  | 203221  |
|  Skyworks Solutions, Inc.  | 22011  | 2104692  |
|  SolarEdge Technologies, Inc. (a)  | 24003  | 7173537  |
|  Synaptics, Inc. (a)  | 205  | 21724  |
|  Taiwan Semiconductor Manufacturing Co. Ltd.  | 771000  | 12424963  |
|  Teradyne, Inc.  | 910140  | 85052583  |
|  Texas Instruments, Inc.  | 578090  | 104322121  |
|  Universal Display Corp.  | 100  | 11262  |
|  Wolfspeed, Inc. (a)  | 2500  | 227300  |
|  |  | 2245651551  |
| Software - 7.2%  |  |  |
|  8x8, Inc. (a)  | 3073  | 13152  |
|  ACI Worldwide, Inc. (a)  | 4774  | 99777  |
|  Adobe, Inc. (a)  | 538395  | 185708587  |
|  Amplitude, Inc. (a)  | 2800  | 40096  |
|  ANSYS, Inc. (a)  | 124221  | 31589400  |
|  Appian Corp. Class A (a)  | 5383  | 204715  |
|  Asana, Inc. (a)  | 4500  | 81720  |
|  Atlassian Corp. PLC (a)  | 17104  | 2250031  |
|  Autodesk, Inc. (a)  | 438190  | 88492471  |
|  Black Knight, Inc. (a)  | 78205  | 4847928  |
|  Blackbaud, Inc. (a)  | 495  | 29339  |
|  Box, Inc. Class A (a)  | 25808  | 708430  |
|  Cadence Design Systems, Inc. (a)  | 408525  | 70282641  |
|  CCC Intelligent Solutions Holdings, Inc. (a)(d)  | 35655  | 328026  |
|  Cerence, Inc. (a)  | 3419  | 70124  |
|  Clear Secure, Inc.  | 8512  | 264553  |
|  Consensus Cloud Solutions, Inc. (a)  | 54833  | 3113966  |
|  Coupa Software, Inc. (a)  | 481064  | 30422487  |
|  Crowdstrike Holdings, Inc. (a)  | 800  | 94120  |
|  Cvent Holding Corp. (a)(d)  | 88079  | 493242  |
|  Datadog, Inc. Class A (a)  | 51200  | 3879936  |
|  Descartes Systems Group, Inc. (a)  | 148095  | 10285198  |
|  Digital Turbine, Inc. (a)  | 30276  | 552840  |
|  DocuSign, Inc. (a)  | 44230  | 2081906  |
|  Domo, Inc. Class B (a)  | 2100  | 30030  |
|  Dropbox, Inc. Class A (a)  | 358663  | 8450100  |
|  Dynatrace, Inc. (a)  | 6979  | 270436  |
|  Ebix, Inc.  | 8514  | 161681  |
|  Elastic NV (a)  | 29200  | 1786748  |
|  Envestnet, Inc. (a)  | 100  | 5902  |
|  Everbridge, Inc. (a)  | 2400  | 78336  |
|  Expensify, Inc.  | 1323  | 12661  |
|  Fair Isaac Corp. (a)  | 590  | 365635  |
|  Five9, Inc. (a)  | 39700  | 2545167  |
|  Fortinet, Inc. (a)  | 932061  | 49548363  |
|  GitLab, Inc. (a)  | 13009  | 514506  |
|  HubSpot, Inc. (a)  | 20900  | 6333327  |
|  InterDigital, Inc.  | 500  | 25085  |
|  Intuit, Inc.  | 461840  | 188241366  |
|  LivePerson, Inc. (a)  | 2497  | 29315  |
|  Liveramp Holdings, Inc. (a)  | 5000  | 109800  |
|  Manhattan Associates, Inc. (a)  | 600  | 75564  |
|  Microsoft Corp.  | 9266581  | 2364275476  |
|  Momentive Global, Inc. (a)  | 2583  | 20483  |
|  NCR Corp. (a)  | 223862  | 5343586  |
|  New Relic, Inc. (a)  | 1095  | 61616  |
|  NortonLifeLock, Inc.  | 537453  | 12339921  |
|  Olo, Inc. (a)  | 3568  | 25368  |
|  ON24, Inc. (a)  | 3563  | 27257  |
|  Oracle Corp.  | 2215251  | 183932291  |
|  Palantir Technologies, Inc. (a)  | 76524  | 573930  |
|  Palo Alto Networks, Inc. (a)  | 39900  | 6779010  |
|  Paycom Software, Inc. (a)  | 799  | 270941  |
|  Paycor HCM, Inc. (a)  | 4800  | 138816  |
|  Paylocity Holding Corp. (a)  | 300  | 65349  |
|  PTC, Inc. (a)  | 630  | 80142  |
|  Q2 Holdings, Inc. (a)  | 2708  | 73658  |
|  Qualtrics International, Inc. (a)  | 400  | 4104  |
|  Qualys, Inc. (a)  | 3497  | 431250  |
|  Rapid7, Inc. (a)  | 1890  | 55566  |
|  Roper Technologies, Inc.  | 203055  | 89118809  |
|  Salesforce.com, Inc. (a)  | 1532353  | 245559568  |
|  SecureWorks Corp. (a)  | 600  | 4308  |
|  ServiceNow, Inc. (a)  | 126751  | 52766441  |
|  Splunk, Inc. (a)  | 1403  | 108985  |
|  Sprout Social, Inc. (a)  | 300  | 17790  |
|  Synopsys, Inc. (a)  | 307936  | 104556589  |
|  Teradata Corp. (a)  | 22021  | 752017  |
|  Tyler Technologies, Inc. (a)  | 800  | 274192  |
|  Upland Software, Inc. (a)  | 2202  | 16603  |
|  Varonis Systems, Inc. (a)  | 16474  | 349908  |
|  VMware, Inc. Class A  | 76397  | 9281472  |
|  Workday, Inc. Class A (a)  | 366923  | 61606372  |
|  Zoom Video Communications, Inc. Class A (a)  | 102627  | 7741155  |
|  |  | 3841171680  |
| Technology Hardware, Storage & Peripherals - 4.4%  |  |  |
|  Apple, Inc.  | 14505715  | 2147280991  |
|  Dell Technologies, Inc.  | 505000  | 22618950  |
|  Hewlett Packard Enterprise Co.  | 1851500  | 31068170  |
|  HP, Inc.  | 1680863  | 50493125  |
|  NetApp, Inc.  | 216042  | 14606600  |
|  Pure Storage, Inc. Class A (a)  | 308419  | 9002751  |
|  Seagate Technology Holdings PLC  | 1027171  | 54409248  |
|  Super Micro Computer, Inc. (a)  | 5173  | 466760  |
|  Western Digital Corp. (a)  | 411064  | 15106602  |
|  Xerox Holdings Corp.  | 386650  | 6306262  |
|  |  | 2351359459  |
|  TOTAL INFORMATION TECHNOLOGY  |  | 10907679702  |
| MATERIALS - 2.7%  |  |  |
| Chemicals - 1.8%  |  |  |
|  Air Products & Chemicals, Inc.  | 139612  | 43302058  |
|  Albemarle Corp.  | 3447  | 958232  |
|  Ashland, Inc.  | 1189  | 133013  |
|  Avient Corp.  | 3991  | 138129  |
|  Axalta Coating Systems Ltd. (a)  | 196825  | 5282783  |
|  Cabot Corp.  | 9301  | 684740  |
|  Celanese Corp. Class A  | 19306  | 2071534  |
|  CF Industries Holdings, Inc.  | 491124  | 53134706  |
|  Chemtrade Logistics Income Fund  | 63300  | 436227  |
|  Corteva, Inc.  | 848947  | 57015281  |
|  Dow, Inc.  | 623089  | 31758846  |
|  DuPont de Nemours, Inc.  | 46900  | 3306919  |
|  Eastman Chemical Co.  | 679487  | 58857164  |
|  Ecolab, Inc.  | 155339  | 23274442  |
|  Ecovyst, Inc. (a)  | 1400  | 13006  |
|  Element Solutions, Inc.  | 6136  | 120020  |
|  FMC Corp.  | 516657  | 67496070  |
|  Huntsman Corp.  | 751710  | 20882504  |
|  Ingevity Corp. (a)  | 159438  | 12479212  |
|  International Flavors & Fragrances, Inc.  | 1600  | 169312  |
|  Intrepid Potash, Inc. (a)  | 8577  | 309201  |
|  Linde PLC  | 788968  | 265471953  |
|  Livent Corp. (a)  | 26421  | 739524  |
|  LSB Industries, Inc. (a)  | 16875  | 260381  |
|  LyondellBasell Industries NV Class A  | 432449  | 36762489  |
|  Mativ, Inc. (b)  | 240600  | 4997262  |
|  Nutrien Ltd.  | 96300  | 7742520  |
|  Olin Corp.  | 346188  | 19725792  |
|  PPG Industries, Inc.  | 414495  | 56048014  |
|  RPM International, Inc.  | 461534  | 47824153  |
|  Sensient Technologies Corp.  | 197  | 14718  |
|  Sherwin-Williams Co.  | 308927  | 76978430  |
|  The Chemours Co. LLC  | 395070  | 12266924  |
|  The Mosaic Co.  | 397869  | 20410680  |
|  Tronox Holdings PLC  | 118100  | 1668753  |
|  Valvoline, Inc.  | 128274  | 4230477  |
|  Westlake Corp.  | 8508  | 915886  |
|  |  | 937881355  |
| Construction Materials - 0.1%  |  |  |
|  Eagle Materials, Inc.  | 997  | 135931  |
|  Martin Marietta Materials, Inc.  | 132637  | 48608808  |
|  Summit Materials, Inc. (a)  | 6277  | 190130  |
|  Vulcan Materials Co.  | 134303  | 24621769  |
|  |  | 73556638  |
| Containers & Packaging - 0.5%  |  |  |
|  Amcor PLC  | 882969  | 10904667  |
|  Aptargroup, Inc.  | 11901  | 1263172  |
|  Avery Dennison Corp.  | 133421  | 25794282  |
|  Ball Corp.  | 1157849  | 64932172  |
|  Berry Global Group, Inc.  | 390485  | 22882421  |
|  Crown Holdings, Inc.  | 73300  | 6025993  |
|  Graphic Packaging Holding Co.  | 135732  | 3119121  |
|  Greif, Inc. Class A  | 18800  | 1321828  |
|  International Paper Co.  | 819308  | 30412713  |
|  O-I Glass, Inc. (a)  | 156714  | 2571677  |
|  Packaging Corp. of America  | 313191  | 42559525  |
|  Sealed Air Corp.  | 537574  | 28615064  |
|  Silgan Holdings, Inc.  | 600  | 31740  |
|  Sonoco Products Co.  | 38099  | 2338136  |
|  WestRock Co.  | 1068724  | 40526014  |
|  |  | 283298525  |
| Metals & Mining - 0.3%  |  |  |
|  Alcoa Corp.  | 22600  | 1132938  |
|  Arconic Corp. (a)  | 6293  | 149962  |
|  ATI, Inc. (a)  | 3325  | 101446  |
|  Century Aluminum Co. (a)  | 13655  | 123032  |
|  Cleveland-Cliffs, Inc. (a)  | 21539  | 333424  |
|  First Quantum Minerals Ltd.  | 180600  | 4293639  |
|  Freeport-McMoRan, Inc.  | 966419  | 38463476  |
|  Glencore PLC  | 228400  | 1558628  |
|  MP Materials Corp. (a)  | 8899  | 295892  |
|  Newmont Corp.  | 335880  | 15944224  |
|  Nucor Corp.  | 242331  | 36337533  |
|  Reliance Steel & Aluminum Co.  | 134500  | 28418505  |
|  Royal Gold, Inc.  | 811  | 91100  |
|  Southern Copper Corp.  | 3014  | 183914  |
|  Steel Dynamics, Inc.  | 116366  | 12093918  |
|  SunCoke Energy, Inc.  | 2492  | 21082  |
|  United States Steel Corp. (b)  | 214125  | 5629346  |
|  Warrior Metropolitan Coal, Inc.  | 501  | 18447  |
|  |  | 145190506  |
| Paper & Forest Products - 0.0%  |  |  |
|  Louisiana-Pacific Corp.  | 4715  | 300817  |
|  Sylvamo Corp.  | 28290  | 1530206  |
|  West Fraser Timber Co. Ltd. (b)  | 59400  | 4655178  |
|  |  | 6486201  |
|  TOTAL MATERIALS  |  | 1446413225  |
| REAL ESTATE - 2.0%  |  |  |
| Equity Real Estate Investment Trusts (REITs) - 2.0%  |  |  |
|  Acadia Realty Trust (SBI)  | 805  | 12381  |
|  Agree Realty Corp.  | 4017  | 280989  |
|  Alexandria Real Estate Equities, Inc.  | 66559  | 10357246  |
|  American Homes 4 Rent Class A  | 477944  | 15805608  |
|  American Tower Corp.  | 373397  | 82614086  |
|  Americold Realty Trust  | 600  | 17910  |
|  Apartment Income (REIT) Corp.  | 300  | 11415  |
|  Apple Hospitality (REIT), Inc.  | 353206  | 6025694  |
|  AvalonBay Communities, Inc.  | 97504  | 17053450  |
|  Boston Properties, Inc.  | 122991  | 8865191  |
|  Brandywine Realty Trust (SBI)  | 768642  | 5311316  |
|  Brixmor Property Group, Inc.  | 499449  | 11577228  |
|  Camden Property Trust (SBI)  | 46599  | 5607258  |
|  Corporate Office Properties Trust (SBI)  | 65700  | 1824489  |
|  Crown Castle International Corp.  | 266191  | 37647393  |
|  CubeSmart  | 50391  | 2085683  |
|  DiamondRock Hospitality Co.  | 2872  | 27026  |
|  Diversified Healthcare Trust (SBI)  | 11908  | 11789  |
|  Douglas Emmett, Inc.  | 10685  | 185064  |
|  EastGroup Properties, Inc.  | 25247  | 3919344  |
|  Elme Communities (SBI)  | 60800  | 1201408  |
|  EPR Properties  | 1792  | 74565  |
|  Equinix, Inc.  | 77834  | 53756052  |
|  Equity Lifestyle Properties, Inc.  | 395241  | 26251907  |
|  Equity Residential (SBI)  | 81475  | 5284469  |
|  Essential Properties Realty Trust, Inc.  | 1892  | 43913  |
|  Essex Property Trust, Inc.  | 87131  | 19201930  |
|  Extra Space Storage, Inc.  | 90455  | 14535214  |
|  Farmland Partners, Inc.  | 6409  | 85112  |
|  Federal Realty Investment Trust (SBI)  | 89784  | 9975002  |
|  First Industrial Realty Trust, Inc.  | 2202  | 111311  |
|  Four Corners Property Trust, Inc.  | 795  | 21576  |
|  Healthpeak Properties, Inc.  | 50921  | 1337185  |
|  Highwoods Properties, Inc. (SBI)  | 3488  | 103942  |
|  Host Hotels & Resorts, Inc.  | 1552610  | 29406433  |
|  Hudson Pacific Properties, Inc.  | 3862  | 44645  |
|  Independence Realty Trust, Inc.  | 600  | 10872  |
|  Industrial Logistics Properties Trust  | 8225  | 33476  |
|  Invitation Homes, Inc.  | 125900  | 4108117  |
|  Iron Mountain, Inc.  | 20747  | 1127185  |
|  JBG SMITH Properties  | 236517  | 4874615  |
|  Kilroy Realty Corp.  | 11359  | 490936  |
|  Kimco Realty Corp.  | 698934  | 16019567  |
|  Lamar Advertising Co. Class A  | 85934  | 8605431  |
|  Life Storage, Inc.  | 5919  | 636233  |
|  Mid-America Apartment Communities, Inc.  | 94709  | 15615620  |
|  National Retail Properties, Inc.  | 4403  | 204123  |
|  National Storage Affiliates Trust  | 8231  | 327676  |
|  Omega Healthcare Investors, Inc.  | 440100  | 13326228  |
|  Orion Office (REIT), Inc.  | 100  | 929  |
|  Paramount Group, Inc.  | 715000  | 4661800  |
|  Park Hotels & Resorts, Inc.  | 9187  | 117869  |
|  Phillips Edison & Co., Inc.  | 2205  | 71067  |
|  Piedmont Office Realty Trust, Inc. Class A  | 789756  | 8221360  |
|  Prologis (REIT), Inc.  | 1226258  | 144440930  |
|  Public Storage  | 226320  | 67434307  |
|  Rayonier, Inc.  | 328052  | 11770506  |
|  Realty Income Corp.  | 5023  | 316801  |
|  Regency Centers Corp.  | 324002  | 21523453  |
|  Retail Opportunity Investments Corp.  | 5910  | 90128  |
|  Rexford Industrial Realty, Inc.  | 259900  | 14369871  |
|  RLJ Lodging Trust  | 2979  | 36105  |
|  Ryman Hospitality Properties, Inc.  | 198  | 18123  |
|  SBA Communications Corp. Class A  | 399604  | 119601477  |
|  Service Properties Trust  | 340500  | 2672925  |
|  Simon Property Group, Inc.  | 304834  | 36409373  |
|  SITE Centers Corp.  | 170963  | 2323387  |
|  Spirit Realty Capital, Inc.  | 3009  | 124633  |
|  Store Capital Corp.  | 300  | 9570  |
|  Sun Communities, Inc.  | 338143  | 49673207  |
|  Sunstone Hotel Investors, Inc.  | 800  | 8792  |
|  The Macerich Co.  | 24809  | 315074  |
|  UDR, Inc.  | 10641  | 441282  |
|  Uniti Group, Inc.  | 1900  | 14478  |
|  Urban Edge Properties  | 2608  | 41024  |
|  Ventas, Inc.  | 1243075  | 57840280  |
|  Veris Residential, Inc. (a)  | 37290  | 598877  |
|  VICI Properties, Inc.  | 17134  | 585983  |
|  Vornado Realty Trust (b)  | 385869  | 9758627  |
|  Welltower, Inc.  | 416632  | 29593371  |
|  Weyerhaeuser Co. (b)  | 960093  | 31404642  |
|  WP Carey, Inc.  | 19827  | 1562368  |
|  |  | 1052107922  |
| Real Estate Management & Development - 0.0%  |  |  |
|  Anywhere Real Estate, Inc. (a)  | 1485  | 11212  |
|  CBRE Group, Inc. (a)  | 299978  | 23878249  |
|  Cushman & Wakefield PLC (a)  | 252100  | 2878982  |
|  Jones Lang LaSalle, Inc. (a)  | 27500  | 4624675  |
|  Newmark Group, Inc.  | 1728  | 14653  |
|  WeWork, Inc. (a)(b)  | 120000  | 331200  |
|  Zillow Group, Inc. Class A (a)  | 400  | 14960  |
|  |  | 31753931  |
|  TOTAL REAL ESTATE  |  | 1083861853  |
| UTILITIES - 2.3%  |  |  |
| Electric Utilities - 1.5%  |  |  |
|  Alliant Energy Corp.  | 108206  | 6091998  |
|  American Electric Power Co., Inc.  | 185779  | 17983407  |
|  Avangrid, Inc.  | 692  | 29597  |
|  Constellation Energy Corp.  | 148314  | 14255942  |
|  Duke Energy Corp.  | 398032  | 39775338  |
|  Edison International  | 518932  | 34592007  |
|  Entergy Corp.  | 225986  | 26275392  |
|  Evergy, Inc.  | 148772  | 8808790  |
|  Eversource Energy  | 137472  | 11390930  |
|  Exelon Corp.  | 2456081  | 101608071  |
|  FirstEnergy Corp.  | 153330  | 6323329  |
|  Hawaiian Electric Industries, Inc.  | 291  | 11954  |
|  IDACORP, Inc.  | 198  | 21885  |
|  NextEra Energy, Inc.  | 3187788  | 270005644  |
|  NRG Energy, Inc.  | 680170  | 28873217  |
|  OGE Energy Corp.  | 74558  | 3016617  |
|  PG&E Corp. (a)  | 7396543  | 116125725  |
|  Pinnacle West Capital Corp.  | 63919  | 5006136  |
|  PNM Resources, Inc.  | 3539  | 173411  |
|  PPL Corp.  | 438700  | 12950424  |
|  Southern Co.  | 1013375  | 68544685  |
|  Xcel Energy, Inc.  | 706390  | 49602706  |
|  |  | 821467205  |
| Gas Utilities - 0.1%  |  |  |
|  Atmos Energy Corp. (b)  | 235682  | 28328976  |
|  National Fuel Gas Co.  | 33588  | 2224533  |
|  New Jersey Resources Corp.  | 696  | 34626  |
|  ONE Gas, Inc.  | 797  | 69299  |
|  Spire, Inc.  | 396  | 29344  |
|  UGI Corp.  | 304800  | 11780520  |
|  |  | 42467298  |
| Independent Power and Renewable Electricity Producers - 0.0%  |  |  |
|  Montauk Renewables, Inc. (a)  | 11340  | 136874  |
|  Ormat Technologies, Inc.  | 294  | 26586  |
|  The AES Corp.  | 230015  | 6652034  |
|  Vistra Corp.  | 683600  | 16631988  |
|  |  | 23447482  |
| Multi-Utilities - 0.7%  |  |  |
|  Ameren Corp.  | 427264  | 38163220  |
|  Avista Corp.  | 4733  | 195378  |
|  Black Hills Corp.  | 195  | 13968  |
|  CenterPoint Energy, Inc.  | 33745  | 1049807  |
|  CMS Energy Corp.  | 185920  | 11354134  |
|  Consolidated Edison, Inc.  | 174455  | 17103568  |
|  Dominion Energy, Inc.  | 1647060  | 100651837  |
|  DTE Energy Co.  | 229823  | 26661766  |
|  NiSource, Inc.  | 130547  | 3647483  |
|  Public Service Enterprise Group, Inc.  | 1041716  | 63075904  |
|  Sempra Energy  | 407830  | 67777268  |
|  WEC Energy Group, Inc.  | 260600  | 25835884  |
|  |  | 355530217  |
| Water Utilities - 0.0%  |  |  |
|  American Water Works Co., Inc.  | 894  | 135673  |
|  Essential Utilities, Inc.  | 500  | 24120  |
|  |  | 159793  |
|  TOTAL UTILITIES  |  | 1243071995  |
| <br> **TOTAL COMMON STOCKS** <br> (Cost $27,393,569,601)  |  | <br> **46216931800**  |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **Equity Funds - 12.0%**  | &nbsp;&nbsp; **Equity Funds - 12.0%**  | &nbsp;&nbsp; **Equity Funds - 12.0%**  |
|  | Shares  | Value ($) <br>|
| Large Blend Funds - 4.5%  |  |  |
|  Fidelity SAI U.S. Large Cap Index Fund (e)  | 17703181  | 326623686  |
|  Fidelity SAI U.S. Low Volatility Index Fund (e)  | 53799395  | 962471184  |
|  iShares S&P 500 Index ETF  | 1537580  | 629362246  |
|  PIMCO StocksPLUS Absolute Return Fund Institutional Class  | 48951933  | 477770866  |
|  SPDR S&P 500 ETF Trust  | 24100  | 9825088  |
|  TOTAL LARGE BLEND FUNDS  |  | 2406053070  |
| Large Growth Funds - 7.5%  |  |  |
|  Fidelity Blue Chip Growth Fund (e)  | 1705152  | 212018615  |
|  Fidelity Growth Company Fund (e)  | 95101872  | 2518297550  |
|  Fidelity SAI U.S. Momentum Index Fund (e)  | 6389119  | 93856159  |
|  Fidelity SAI U.S. Quality Index Fund (e)  | 72111851  | 1166769754  |
|  TOTAL LARGE GROWTH FUNDS  |  | 3990942078  |
| Mid-Cap Blend Funds - 0.0%  |  |  |
|  Fidelity Mid Cap Index Fund (e)  | 125249  | 3475661  |
| <br> **TOTAL EQUITY FUNDS** <br> (Cost $4,255,170,017)  |  | <br> **6400470809**  |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **Other - 0.0%**  | &nbsp;&nbsp; **Other - 0.0%**  | &nbsp;&nbsp; **Other - 0.0%**  |
|  | Shares  | Value ($) <br>|
| Commodity Funds - Broad Basket - 0.0%  |  |  |
|  Fidelity SAI Inflation-Focused Fund (e) <br> (Cost $11,311,621)  | 1294903  | **13363396**  |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **U.S. Treasury Obligations - 0.0%**  | &nbsp;&nbsp; **U.S. Treasury Obligations - 0.0%**  | &nbsp;&nbsp; **U.S. Treasury Obligations - 0.0%**  |
|  | Principal <br> Amount (f) <br>| Value ($) <br>|
|  U.S. Treasury Bills, yield at date of purchase 3.28% to 4.18% 2/16/23 (g) <br>(Cost $3,375,137) <br>| 3400000  | **3369994**  |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **Money Market Funds - 1.8%**  | &nbsp;&nbsp; **Money Market Funds - 1.8%**  | &nbsp;&nbsp; **Money Market Funds - 1.8%**  |
|  | Shares  | Value ($) <br>|
|  Fidelity Cash Central Fund 3.86% (h)  | 48196099  | 48205739  |
|  Fidelity Securities Lending Cash Central Fund 3.86% (h)(i)  | 449694821  | 449739791  |
|  Invesco Government & Agency Portfolio Institutional Class 3.09% (j)  | 430687951  | 430687951  |
| <br> **TOTAL MONEY MARKET FUNDS** <br> (Cost $928,633,096)  |  | **928633481**  |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Purchased Options - 0.0%**  | **Purchased Options - 0.0%**  | **Purchased Options - 0.0%**  | **Purchased Options - 0.0%**  | **Purchased Options - 0.0%**  | **Purchased Options - 0.0%**  |
|  | Counterparty  | Number <br> of Contracts  | Exercise <br> Price ($)  | Expiration <br> Date  | Value ($)  |
| Put Options  |  |  |  |  |  |
| S&P 500 Index  | Chicago Board Options Exchange  | 42  | 3340  | 11/30/22  | 105  |
| S&P 500 Index  | Chicago Board Options Exchange  | 64  | 3510  | 11/30/22  | 160  |
| S&P 500 Index  | Chicago Board Options Exchange  | 119  | 3525  | 12/07/22  | 3570  |
| S&P 500 Index  | Chicago Board Options Exchange  | 67  | 3525  | 11/30/22  | 168  |
| S&P 500 Index  | Chicago Board Options Exchange  | 97  | 3550  | 12/14/22  | 13823  |
| S&P 500 Index  | Chicago Board Options Exchange  | 34  | 3650  | 12/14/22  | 7650  |
| S&P 500 Index  | Chicago Board Options Exchange  | 59  | 3625  | 12/07/22  | 2655  |
| S&P 500 Index  | Chicago Board Options Exchange  | 69  | 3650  | 12/21/22  | 25875  |
|  |  |  |  |  | **54006**  |
| **TOTAL PURCHASED OPTIONS** <br> (Cost $371,176)  |  |  |  |  | **54006**  |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 100.7%** <br> (Cost $32,592,430,648) <br>| <br>**53562823486**  |
| **NET OTHER ASSETS (LIABILITIES) - (0.7)%**  | **(384469038)**  |
| **NET ASSETS - 100.0%**  | **53178354448**  |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp; **Futures Contracts**  | &nbsp;&nbsp; **Futures Contracts**  | &nbsp;&nbsp; **Futures Contracts**  | &nbsp;&nbsp; **Futures Contracts**  | &nbsp;&nbsp; **Futures Contracts**  | &nbsp;&nbsp; **Futures Contracts**  |
|  | Number <br> of contracts  | Expiration <br> Date  | Notional <br> Amount ($) <br>| Value ($) <br>| Unrealized <br> Appreciation/ <br> (Depreciation) ($) <br>|
| Purchased  |  |  |  |  |  |
| Equity Index Contracts  |  |  |  |  |  |
| CME E-mini S&P 500 Index Contracts (United States)  | 146  | Dec 2022  | 29793125  | 1353718  | 1353718  |
| The notional amount of futures purchased as a percentage of Net Assets is 0.1%  | The notional amount of futures purchased as a percentage of Net Assets is 0.1%  | The notional amount of futures purchased as a percentage of Net Assets is 0.1%  | The notional amount of futures purchased as a percentage of Net Assets is 0.1%  | The notional amount of futures purchased as a percentage of Net Assets is 0.1%  | The notional amount of futures purchased as a percentage of Net Assets is 0.1%  |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Written Options**  | **Written Options**  | **Written Options**  | **Written Options**  | **Written Options**  | **Written Options**  | **Written Options**  |
|  | Counterparty  | Number <br> of Contracts  | Notional <br> Amount ($)  | Exercise <br> Price ($)  | Expiration <br> Date  | Value ($)  |
| Put Options  |  |  |  |  |  |  |
| S&P 500 Index  | Chicago Board Options Exchange  | 42  | 17136462  | 3630.00  | 11/30/22  | (105)  |
| S&P 500 Index  | Chicago Board Options Exchange  | 64  | 26112704  | 3825.00  | 11/30/22  | (160)  |
| S&P 500 Index  | Chicago Board Options Exchange  | 65  | 26520715  | 3815.00  | 12/07/22  | (7475)  |
| S&P 500 Index  | Chicago Board Options Exchange  | 67  | 27336737  | 3855.00  | 11/30/22  | (168)  |
| S&P 500 Index  | Chicago Board Options Exchange  | 54  | 22032594  | 3845.00  | 12/07/22  | (7830)  |
| S&P 500 Index  | Chicago Board Options Exchange  | 97  | 39577067  | 3830.00  | 12/14/22  | (80995)  |
| S&P 500 Index  | Chicago Board Options Exchange  | 59  | 24072649  | 3960.00  | 12/07/22  | (40120)  |
| S&P 500 Index  | Chicago Board Options Exchange  | 34  | 13872374  | 3950.00  | 12/14/22  | (84150)  |
| S&P 500 Index  | Chicago Board Options Exchange  | 69  | 28152759  | 3940.00  | 12/21/22  | (208035)  |
| **TOTAL WRITTEN OPTIONS**  |  |  |  |  |  | **(429038)**  |

---

**Security Type Abbreviations**

ETF - EXCHANGE-TRADED FUND

**Legend**

(a) Non-income producing

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

(c) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $3,293,816 or 0.0% of net assets.

(d) 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 $821,268 or 0.0% of net assets.

(e) Affiliated Fund

(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 $1,595,369.

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

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

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

---

| | | |
|:---|:---|:---|
| Additional information on each restricted holding is as follows:  | Additional information on each restricted holding is as follows:  | Additional information on each restricted holding is as follows:  |
| Security  | Acquisition Date  | Acquisition Cost ($) <br>|
| CCC Intelligent Solutions Holdings, Inc.  | 2/02/21  | 356550  |
| Cvent Holding Corp.  | 7/23/21  | 880790  |

---

**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, <br> beginning <br> of period ($)  | Purchases ($)  | Sales <br> Proceeds ($)  | Dividend <br> Income ($)  | Realized <br> Gain (loss) ($)  | Change in <br> Unrealized <br> appreciation <br> (depreciation) ($)  | Value, <br> end <br> of period ($)  | % ownership, <br> end <br> of period  |
|  Fidelity Cash Central Fund 3.86%  | 31252236  | 88596809  | 71643306  | 543559  | -  | -  | 48205739  | 0.1%  |
|  Fidelity Securities Lending Cash Central Fund 3.86%  | 433242705  | 1548602638  | 1532105552  | 470626  | -  | -  | 449739791  | 1.4%  |
| Total  | 464494941  | 1637199447  | 1603748858  | 1014185  | -  | -  | 497945530  |  |

---

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

Amount for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.

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, <br> beginning <br> of period ($)  | Purchases ($)  | Sales <br> Proceeds ($)  | Dividend <br> Income ($)  | Realized <br> Gain (loss) ($)  | Change in <br> Unrealized <br> appreciation <br> (depreciation) ($)  | Value, <br> end <br> of period ($)  |
|  Fidelity Blue Chip Growth Fund  | 124857618  | 100606993  | 10000000  | 606993  | (3600770)  | 154774  | 212018615  |
|  Fidelity Growth Company Fund  | 2708289861  | -  | 167468899  | -  | (11866321)  | (10657091)  | 2518297550  |
|  Fidelity Mid Cap Index Fund  | 3463398  | 25227  | -  | 25227  | -  | (12964)  | 3475661  |
|  Fidelity SAI Inflation-Focused Fund  | 15530401  | 1288917  | -  | 1288918  | -  | (3455922)  | 13363396  |
|  Fidelity SAI U.S. Large Cap Index Fund  | 1888765124  | 1274997104  | 2696405283  | 40938398  | 60129484  | (200862743)  | 326623686  |
|  Fidelity SAI U.S. Low Volatility Index Fund  | 952249299  | -  | -  | -  | -  | 10221885  | 962471184  |
|  Fidelity SAI U.S. Momentum Index Fund  | 553858080  | 3457070  | 472180644  | 3457071  | (17040663)  | 25762316  | 93856159  |
|  Fidelity SAI U.S. Quality Index Fund  | 1629549515  | 37154602  | 440138438  | 12154602  | (79547220)  | 19751295  | 1166769754  |
|  | 7876563296  | 1417529913  | 3786193264  | 58471209  | (51925490)  | (159098450)  | 5296876005  |

---

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

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, 2022, 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:**  | **Valuation Inputs at Reporting Date:**  | **Valuation Inputs at Reporting Date:**  | **Valuation Inputs at Reporting Date:**  | **Valuation Inputs at Reporting Date:**  |
| **Description**  | **Total ($)**  | **Level 1 ($)**  | **Level 2 ($)**  | **Level 3 ($)**  |
| **<u>Investments in Securities:</u>**  |  |  |  |  |
|  **Equities:**  |  |  |  |  |
| Communication Services  | 3330937923  | 3330828428  | 109495  | -  |
| Consumer Discretionary  | 4880380456  | 4877104428  | 3276028  | -  |
| Consumer Staples  | 2913038347  | 2913038347  | -  | -  |
| Energy  | 2628815309  | 2628815309  | -  | -  |
| Financials  | 6370059291  | 6352591956  | 17467335  | -  |
| Health Care  | 7367742549  | 7342988040  | 24754509  | -  |
| Industrials  | 4044931150  | 4044931150  | -  | -  |
| Information Technology  | 10907679702  | 10867259334  | 40420368  | -  |
| Materials  | 1446413225  | 1444854597  | 1558628  | -  |
| Real Estate  | 1083861853  | 1083861853  | -  | -  |
| Utilities  | 1243071995  | 1243071995  | -  | -  |
|  Equity Funds  | 6400470809  | 6400470809  | -  | -  |
|  Other  | 13363396  | 13363396  | -  | -  |
|  Other Short-Term Investments  | 3369994  | -  | 3369994  | -  |
|  Money Market Funds  | 928633481  | 928633481  | -  | -  |
|  Purchased Options  | 54006  | 54006  | -  | -  |
| **Total Investments in Securities:**  | 53562823486  | 53471867129  | 90956357  | -  |
| **<u>Derivative Instruments:</u>**  |  |  |  |  |
|  **Assets**  |  |  |  |  |
| Futures Contracts  | 1353718  | 1353718  | -  | -  |
| Total Assets  | 1353718  | 1353718  | -  | -  |
|  **Liabilities**  |  |  |  |  |
| Written Options  | (429038)  | (429038)  | -  | -  |
| Total Liabilities  | (429038)  | (429038)  | -  | -  |
| **Total Derivative Instruments:**  | 924681  | 924681  | -  | -  |

---

**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, 2022. 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** <br>| **Value**  | **Value**  |
|  | **Asset ($)**  | **Liability ($)**  |
| **Equity Risk**  |  |  |
| Futures Contracts (a)  | 1353718  | 0  |
| Purchased Options (b)  | 54006  | 0  |
| Written Options (c)  | 0  | (429038)  |
| **Total Equity Risk**  | 1407724  | (429038)  |
| **Total Value of Derivatives**  | 1407724  | (429038)  |

---

(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.

**Financial Statements** **(Unaudited)**

---

| | | |
|:---|:---|:---|
| **Statement of Assets and Liabilities**  | **Statement of Assets and Liabilities**  | **Statement of Assets and Liabilities**  |
|  |  | **November 30, 2022** <br> **(Unaudited)**  |
| **Assets**  |  |  |
| Investment in securities, at value (including securities loaned of $449,737,749) - See accompanying schedule:  |  |  |
|  Unaffiliated issuers (cost $28,910,171,996)  | $47768001951  |  |
|  Fidelity Central Funds (cost $497,945,145)  | 497945530  |  |
|  Other affiliated issuers (cost $3,184,313,507)  | 5296876005  |  |
|  Total Investment in Securities (cost $32,592,430,648)  |  | $53562823486  |
|  Cash  |  | 714  |
|  Foreign currency held at value (cost $4,449,658)  |  | 4610883  |
| Receivable for investments sold  |  | 688162324  |
|  Receivable for fund shares sold  |  | 18289355  |
|  Dividends receivable  |  | 79440007  |
|  Interest receivable  |  | 1374561  |
|  Distributions receivable from Fidelity Central Funds  |  | 199698  |
|  Receivable for daily variation margin on futures contracts  |  | 870525  |
|  Prepaid expenses  |  | 50403  |
| Other receivables  |  | 558431  |
| **Total assets**  |  | 54356380387  |
| **Liabilities**  |  |  |
|  Payable for investments purchased  | $686227644  |  |
|  Payable for fund shares redeemed  | 33131589  |  |
|  Accrued management fee  | 7514314  |  |
|  Written options, at value (premium received $2,615,942)  | 429038  |  |
|  Other payables and accrued expenses  | 983563  |  |
|  Collateral on securities loaned  | 449739791  |  |
| **Total Liabilities**  |  | 1178025939  |
| **Net Assets**  |  | $53178354448  |
|  Net Assets consist of:  |  |  |
|  Paid in capital  |  | $32120019238  |
|  Total accumulated earnings (loss)  |  | 21058335210  |
|  **Net Assets**  |  | $53178354448  |
|  **Net Asset Value** , offering price and redemption price per share ($53,178,354,448 ÷ 5,114,457,596 shares)  |  | $10.40  |

---

---

| | | |
|:---|:---|:---|
| **Statement of Operations**  | **Statement of Operations**  | **Statement of Operations**  |
|  |  | **Six months ended** <br> **November 30, 2022** <br> **(Unaudited)**  |
|  **Investment Income**  |  |  |
| Dividends:  |  |  |
| Unaffiliated issuers  |  | $380883796  |
| Affiliated issuers  |  | $23009385  |
| Interest  |  | 5067048  |
| Income from Fidelity Central Funds (including $470,626 from security lending)  |  | 1014185  |
| **Total Income**  |  | 409974414  |
|  **Expenses**  |  |  |
| Management fee  | $110604239  |  |
| Custodian fees and expenses  | 252661  |  |
| Independent trustees' fees and expenses  | 177564  |  |
| Registration fees  | 370532  |  |
| Audit  | 47685  |  |
| Legal  | 58414  |  |
| Interest  | 118794  |  |
| Miscellaneous  | 428310  |  |
| Total expenses before reductions  | 112058199  |  |
| Expense reductions  | (64459939)  |  |
| Total expenses after reductions  |  | 47598260  |
| **Net Investment income (loss)**  |  | 362376154  |
| **Realized and Unrealized Gain (Loss)**  |  |  |
| Net realized gain (loss) on:  |  |  |
| Investment Securities:  |  |  |
| Unaffiliated issuers  | 185017524  |  |
| Affiliated issuers  | (51925490)  |  |
| Foreign currency transactions  | 930  |  |
| Futures contracts  | (2758929)  |  |
| Written options  | 1382797  |  |
| Capital gain distributions from underlying funds:  |  |  |
| Affiliated issuers  | 35461824  |  |
| Total net realized gain (loss)  |  | 167178656  |
| Change in net unrealized appreciation (depreciation) on:  |  |  |
| Investment Securities:  |  |  |
| Unaffiliated issuers  | (258515462)  |  |
| Affiliated issuers  | (159098450)  |  |
| Assets and liabilities in foreign currencies  | (118223)  |  |
| Futures contracts  | 1500196  |  |
| Written options  | 2186904  |  |
| Total change in net unrealized appreciation (depreciation)  |  | (414045035)  |
| **Net gain (loss)**  |  | (246866379)  |
| **Net increase (decrease) in net assets resulting from operations**  |  | $115509775  |

---

---

| | | |
|:---|:---|:---|
| **Statement of Changes in Net Assets**  | **Statement of Changes in Net Assets**  | **Statement of Changes in Net Assets**  |
|  | **Six months ended** <br> **November 30, 2022** <br> **(Unaudited)**  | **Year ended** <br> **May 31, 2022**  |
| **Increase (Decrease) in Net Assets**  |  |  |
| Operations  |  |  |
| &nbsp;&nbsp; Net investment income (loss)  | $362376154  | $730813501  |
| &nbsp;&nbsp; Net realized gain (loss)  | 167178656 <br>| 3953901921 <br>|
| &nbsp;&nbsp; Change in net unrealized appreciation (depreciation)  | (414045035)  | (5712579293) <br>|
| &nbsp;&nbsp; **Net increase (decrease) in net assets resulting from operations**  | 115509775 <br>| (1027863871) <br>|
| Distributions to shareholders  | (2101283286) <br>| (5778945428) <br>|
| Share transactions  |  |  |
| &nbsp;&nbsp; Proceeds from sales of shares  | 3123843538  | 11581260400  |
| Reinvestment of distributions  | 1963917906 <br>| 5458683843 <br>|
| &nbsp;&nbsp; Cost of shares redeemed  | (5671454137)  | (14677157537)  |
| **Net increase (decrease) in net assets resulting from share transactions**  | (583692693) <br>| 2362786706 <br>|
| &nbsp;&nbsp; **Total increase (decrease) in net assets**  | (2569466204) <br>| (4444022593) <br>|
| **Net Assets**  |  |  |
| &nbsp;&nbsp; Beginning of period  | 55747820652  | 60191843245 <br>|
| &nbsp;&nbsp; End of period  | $53178354448  | $55747820652  |
| **Other Information**  |  |  |
| Shares  |  |  |
| &nbsp;&nbsp; Sold  | 314702503  | 990057204  |
| Issued in reinvestment of distributions  | 200604485 <br>| 450858453 <br>|
| &nbsp;&nbsp; Redeemed  | (567105152)  | (1227604984)  |
| &nbsp;&nbsp; Net increase (decrease)  | (51798164)  | 213310673  |

---

**Financial Highlights** 

 **Strategic Advisers® Large Cap Fund** <br>

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Six months ended** <br> **(Unaudited) November 30, 2022**  | **Years ended May 31, 2022**  | **2021** <sup>A</sup>  | **2020** <sup>A</sup>  | **2019** <sup>A</sup>  | **2018** <sup>A</sup>  |
| **Selected Per-Share Data**  |  |  |  |  |  |  |
| Net asset value, beginning of period  | $10.79  | $12.15  | $8.81  | $8.33  | $8.86  | $8.34  |
| Income from Investment Operations  |  |  |  |  |  |  |
| Net investment income (loss) <sup>B,C</sup>  | .07  | .14  | .14  | .15  | .14  | .12  |
| Net realized and unrealized gain (loss)  | (.05)  | (.33)  | 3.69  | .88  | .03  | 1.05  |
| Total from investment operations  | .02  | (.19)  | 3.83  | 1.03  | .17  | 1.17  |
| Distributions from net investment income  | (.05)  | (.14)  | (.15)  | (.14)  | (.14)  | (.12)  |
| Distributions from net realized gain  | (.36)  | (1.02)  | (.34)  | (.42)  | (.56)  | (.53)  |
| Total distributions  | (.41)  | (1.17) <sup>D</sup>  | (.49)  | (.55) <sup>D</sup>  | (.70)  | (.65)  |
| Net asset value, end of period  | $10.40  | $10.79  | $12.15  | $8.81  | $8.33  | $8.86  |
| **Total Return** <sup>E,F</sup>  | .45%  | (2.43)%  | 44.55%  | 12.17%  | 2.41%  | 14.59%  |
| **Ratios to Average Net Assets** <sup>C,G,H</sup>  |  |  |  |  |  |  |
| Expenses before reductions  | .43% <sup>I</sup>  | .43%  | .44%  | .45%  | .45%  | .47%  |
| Expenses net of fee waivers, if any  | .18% <sup>I</sup>  | .18%  | .19%  | .20%  | .20%  | .21%  |
| Expenses net of all reductions  | .18% <sup>I</sup>  | .18%  | .19%  | .20%  | .20%  | .21%  |
| Net investment income (loss)  | 1.40% <sup>I</sup>  | 1.21%  | 1.29%  | 1.74%  | 1.65%  | 1.41%  |
| **Supplemental Data**  |  |  |  |  |  |  |
| Net assets, end of period (000 omitted)  | $53178354  | $55747821  | $60191843  | $27026081  | $24720960  | $24984597  |
| Portfolio turnover rate <sup>J</sup>  | 59% <sup>I</sup>  | 59%  | 74% <sup>K</sup>  | 90%  | 84%  | 98%  |

---

<sup>A</sup> *Per share amounts have been adjusted to reflect the impact of the change in capital structure associated with the merger that occurred on November 20, 2020. All financial information prior to the merger is that of the predecessor fund, Strategic Advisers Core Fund.* 

<sup>B</sup> *Calculated based on average shares outstanding during the period.*

<sup>C</sup> *Net 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.*

<sup>D</sup> *Total distributions per share do not sum due to rounding.*

<sup>E</sup> *Total returns for periods of less than one year are not annualized.*

<sup>F</sup> *Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.*

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

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

<sup>I</sup> *Annualized.*

<sup>J</sup> *Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).*

<sup>K</sup> *The portfolio turnover rate does not include the assets acquired in the merger.*

**Notes to Financial Statements** **(Unaudited)**

For the period ended November 30, 2022

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

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of November 30, 2022 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**  | $558151  |

---

**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.

Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.

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

Book-tax differences are primarily due to the short-term gain distributions from the underlying mutual funds, futures contracts, foreign currency transactions, certain foreign taxes, passive foreign investment companies (PFIC), partnerships 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:

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| | |
|:---|:---|
| **Gross unrealized appreciation**  | $21912827216  |
| **Gross unrealized depreciation**  | <u>(1321611459)</u>  |
| **Net unrealized appreciation (depreciation)**  | <u>$20591215757</u>  |
| **Tax cost**  | <u>$32975148351</u>  |

---

The Fund elected to defer to its next fiscal year approximately $55,499,361 of capital losses recognized during the period November 1, 2021 to May 31, 2022.

**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):

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| | |
|:---|:---|
| 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. <br>|

---

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.

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| | | |
|:---|:---|:---|
| **Primary Risk Exposure / Derivative Type**  | **Net Realized Gain (Loss)**  | **Change in Net Unrealized Appreciation (Depreciation)**  |
| **Strategic Advisers Large Cap Fund**  |  |  |
| **Equity Risk**  |  |  |
| Futures Contracts  | $(2758929)  | $1500196  |
| Purchased Options  | (202287)  | (317170)  |
| Written Options  | <u>1382797</u>  | <u>2186904</u>  |
| **Total Equity Risk**  | <u>$(1578419)</u>  | <u>$3369930</u>  |

---

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 on the Statement of Assets and Liabilities. When an option is exercised, the cost or proceeds of the underlying instrument purchased or sold is adjusted by the amount of the premium. When an option is closed, 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.

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| | | |
|:---|:---|:---|
|  | **Purchases ($)**  | **Sales ($)**  |
| **Strategic Advisers Large Cap Fund**  | 15110107855  | 17434703920  |

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**5. Fees and Other Transactions with Affiliates.**

**Management Fee** . Strategic Advisers (the investment adviser) provides the Fund with investment management related services. For these services, the Fund pays a monthly management fee to the investment adviser. The management fee is calculated by adding the annual management fee rate of .25% of the Fund's average net assets throughout the month to the aggregate of the fee rates, payable monthly by the investment adviser, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed .65% of the Fund's average net assets. For the reporting period, the total annualized management fee rate was .43% of the Fund's average net assets.

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

**Sub-Advisers.** AllianceBernstein, L.P. (AB), Aristotle Capital Management, LLC, Brandywine Global Investment Management, LLC, ClariVest Asset Management LLC, ClearBridge Investments, LLC (managed a portion of the Fund's assets through November 28, 2022), 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 and T. Rowe Price Associates, Inc. each served as a sub-adviser for the Fund during the period. Sub-advisers provide discretionary investment advisory services for their allocated portion of the Fund's assets and are paid as described in the Management Fee note.

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

In December 2022, the Board approved the appointment of Wellington Capital Management LLP as an additional sub-adviser for the Fund.

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

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| | |
|:---|:---|
|  | **Amount**  |
| **Strategic Advisers Large Cap Fund**  | $22991  |

---

**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.

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| | | | |
|:---|:---|:---|:---|
|  | **Purchases ($)**  | **Sales ($)**  | **Realized Gain (Loss) ($)**  |
| **Strategic Advisers Large Cap Fund**  | 81073895  | 32350709  | (12266998)  |

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**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.

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| | | | | |
|:---|:---|:---|:---|:---|
| **Fidelity Central Fund**  | **Investment Manager**  | **Investment Objective**  | **Investment Practices**  | **Expense Ratio** <sup>A</sup>  |
| 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%  |

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<sup>A</sup> *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.

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| | |
|:---|:---|
|  | **Amount**  |
| **Strategic Advisers Large Cap Fund**  | $46931  |

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**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:

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| | | | |
|:---|:---|:---|:---|
|  | **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**  | $47107  | $-  | $-  |

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**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:

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| | | | |
|:---|:---|:---|:---|
|  | **Average Loan Balance**  | **Weighted Average Interest Rate**  | **Interest Expense**  |
| **Strategic Advisers Large Cap Fund**  | $98431533  | 2.90%  | $118794  |

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**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, 2025. During the period, this waiver reduced the Fund's management fee by $64,451,723.

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 $8,216.

**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.

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| | |
|:---|:---|
| **Fund**  | **Strategic Advisers Large Cap Fund**  |
| Fidelity SAI U.S. Low Volatility Index Fund  | 12%  |
| Fidelity SAI U.S. Quality Index Fund  | 10%  |

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**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.

**Shareholder Expense Example**

As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (June 1, 2022 to November 30, 2022). <br>

***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.

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| | | | | |
|:---|:---|:---|:---|:---|
|  | **Annualized Expense Ratio-** <sup>A</sup>  | **Beginning Account Value June 1, 2022**  | **Ending Account Value November 30, 2022**  | **Expenses Paid During Period-** <sup>C</sup> **June 1, 2022 to November 30, 2022**  |
| **Strategic Advisers® Large Cap Fund**  | .18%  |  |  |  |
| **Actual**  |  | $1000  | $1004.50  | $.90  |
| **Hypothetical-** <sup>B</sup>  |  | $1000  | $1024.17  | $.91  |

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*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/ 365 (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 New and Amended Sub-Advisory Agreements**

**Strategic Advisers Large Cap Fund** 

In June 2022, the Board of Trustees, including the Independent Trustees (together, the Board) voted to approve (i) a new sub-advisory agreement among Strategic Advisers, Neuberger Berman Investment Advisers LLC (Neuberger), and Fidelity Rutland Square Trust II (Trust) on behalf of the fund (New Sub-Advisory Agreement), (ii) an amendment to add a new investment mandate to the existing sub-advisory agreement among Strategic Advisers, Geode Capital Management, LLC (Geode), and the Trust on behalf of the fund (Amended Geode Sub-Advisory Agreement) and (ii) an amendment to the fee schedule in the existing sub-advisory agreement among Strategic Advisers, Principal Global Investors, LLC (Principal), and the Trust on behalf of the fund (Amended Principal Sub-Advisory Agreement and, together with the Amended Geode Sub-Advisory Agreement, the Amended Sub-Advisory Agreements). The Board noted that the updated fee schedule in the Amended Principal Sub-Advisory Agreement 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 Principal Sub-Advisory Agreement, and no material contract terms are impacted by the Amended Geode Sub-Advisory Agreement except for the amendment to the fee schedule to add the new investment mandate. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, considered a broad range of information.

In considering whether to approve the New and Amended Sub-Advisory Agreements, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the approval of the New and Amended Sub-Advisory Agreements is in the best interests of the fund and its shareholders and that the approval of such agreements 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 New and Amended Sub-Advisory Agreements 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.** With respect to the New Sub-Advisory Agreement and the new mandate for the Amended Geode Sub-Advisory Agreement, the Board considered the backgrounds of the investment personnel that will 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. With respect to the Amended Sub-Advisory Agreements, the Board also noted its consideration of these matters at its September 2021 meeting. The Board also considered the detailed information provided by Strategic Advisers, Principal, and Geode with respect to the fund, and Geode with respect to the other funds it sub-advises, in the June 2022 annual contract renewal materials, and with respect to the Amended Geode Sub-Advisory Agreement the additional information regarding the new investment mandate provided by Strategic Advisers and Geode in the Board's May 2022 materials.

<u>Resources Dedicated to Investment Management and Support Services</u> . With respect to the New Sub-Advisory Agreement and the Amended Geode Sub-Advisory Agreement, the Board reviewed the general qualifications and capabilities of each sub-adviser's investment staff, use of technology, and approach to managing and compensating investment personnel. The Board noted that each sub-adviser's analysts have extensive resources, tools and capabilities which allow them to conduct sophisticated fundamental and/or quantitative analysis. Additionally, in its deliberations, the Board considered each sub-adviser's trading capabilities and resources and compliance infrastructure, which are integral parts of the investment management process, and their respective investments in business continuity planning, including in connection with the COVID-19 pandemic.

With respect to the Amended Principal Sub-Advisory Agreement, the Board noted that it had approved the existing sub-advisory agreement with Principal at its September 2021 meeting and that the Amended Principal 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.

<u>Shareholder and Administrative Services.</u> The Board considered (i) the nature, extent, quality, and cost of advisory services to be performed by Neuberger under the New Sub-Advisory Agreement and by Geode under the Amended Geode Sub-Advisory Agreement; and (ii) the resources to be devoted to the fund's compliance policies and procedures.

<u>Investment Performance</u> . The Board considered the historical investment performance of Neuberger and its portfolio managers in managing accounts under similar investment mandates, as well as model performance of the investment mandate to be used by Neuberger. The Board considered model performance of the investment mandate to be used by Geode. The Board did not consider performance to be a material factor in its decision to approve the Amended Principal Sub-Advisory Agreement because the approval of the Amended Principal 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 New Sub-Advisory Agreement and Amended Geode Sub-Advisory Agreement should benefit the fund's shareholders and, with respect to the Amended Principal Sub-Advisory Agreement, will continue to benefit the fund's shareholders.

**Competitiveness of Management Fee and Total Fund Expenses.** With respect to the New Sub-Advisory Agreement and Amended Geode Sub-Advisory Agreement, the Board considered the amount and nature of the fees to be paid by the fund to Strategic Advisers and by Strategic Advisers to Neuberger and Geode. The Board also considered the projected change in the fund's management fee and total operating expenses, if any, as a result of hiring Neuberger and adding the new investment mandate for Geode.

The Board noted that neither the New nor Amended Sub-Advisory Agreements will result in changes to the maximum aggregate annual management fee payable by the fund or Strategic Advisers' portion of the management fee. The Board considered Strategic Advisers' contractual agreement to waive its portion of the fund's management fee. With respect to the New Sub-Advisory Agreement, the Board considered that after allocating assets to Neuberger, the fund's management fee and total net expenses are expected to increase but are each expected to continue to rank below the competitive peer group median reported in the June 2022 management contract renewal materials. The Board also considered that approval of the Amended Geode Sub-Advisory Agreement will not initially result in any changes to the fund's management fee or total net expenses because Strategic Advisers does not expect to allocate assets to the new mandate at this time. With respect to the Amended Principal Sub-Advisory Agreement, the Board noted that the updated fee schedule will not impact the fund's management fee at current asset levels.

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

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

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

**Conclusion.** Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that each New or Amended Sub-Advisory Agreement's fee structure bears a reasonable relationship to the services to be rendered and that each New or 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 each New or 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 New Sub-Advisory Agreement** 

**Strategic Advisers Large Cap Fund** 

In September 2022, the Board of Trustees, including the Independent Trustees (together, the Board) voted to approve a new sub-advisory agreement among Strategic Advisers, D.E. Shaw Investment Management, L.L.C. (New Sub-Adviser), and Fidelity Rutland Square Trust II (Trust) on behalf of the fund (New Sub-Advisory Agreement). The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, considered a broad range of information.

In considering whether to approve the New Sub-Advisory Agreement, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the approval of the New Sub-Advisory Agreement is in the best interests of the fund and its shareholders and 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 New Sub-Advisory Agreement was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board. In addition, individual Trustees did not necessarily attribute the same weight or importance to each factor.

**Nature, Extent, and Quality of Services Provided** . The Board considered the backgrounds of the investment personnel that will provide services to the fund, 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.

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

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

<u>Investment Performance</u> . The Board considered the historical investment performance of the New Sub-Adviser 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 that will be provided to the fund under the New Sub-Advisory Agreement should benefit the fund's shareholders.

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

The Board noted that the New Sub-Advisory Agreement will not result in changes to the maximum aggregate annual management fee payable by the fund or Strategic Advisers' portion of the management fee. The Board considered Strategic Advisers' contractual agreement to waive its portion of the fund's management fee. The Board considered that after allocating assets to the New Sub-Adviser, the fund's management fee is expected to increase and the fund's total net expenses are expected to decrease, and each are expected to continue to rank below the competitive peer group median reported in the June 2022 management contract renewal materials for the fund.

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

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

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

**Possible Economies of Scale.** The Board considered that it reviews whether there have been economies of scale in connection with the management of the fund during its annual renewal of the fund's management contract, sub-advisory agreements, and sub-subadvisory agreements. The Board noted that the New Sub-Advisory Agreement provides for breakpoints that have the potential to reduce sub-advisory fees paid to the New Sub-Adviser as assets allocated to the New Sub-Adviser grow.

**Conclusion** . Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the New Sub-Advisory Agreement's fee structure bears a reasonable relationship to the services to be rendered and that the New Sub-Advisory Agreement is in the best interests of the fund and its shareholders and should be approved. In addition, the Board concluded that the approval of the New Sub-Advisory Agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.

**Board Approval of Investment Advisory Contracts and Management Fees** 

**Strategic Advisers Large Cap Fund** 

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

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

At its September 2022 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 addition of the new 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 Amendment.

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

In considering whether to renew the Advisory Contracts for the fund and approve the Amendment, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts and the approval of the Amendment is in the best interests of the fund and its shareholders. In addition, the Board concluded that the renewal of each Sub-Advisory Agreement and the approval of the Amendment do not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees charged under the Advisory Contracts bear a reasonable relationship to the services rendered. The Board's decision to renew the Advisory Contracts and approve the Amendment was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board throughout the year.

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

<u>Resources Dedicated to Investment Management and Support Services.</u> 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.

<u>Shareholder and Administrative Services</u> . 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.

<u>Investment Performance</u> . The Board noted that effective November 20, 2020, three predecessor funds reorganized into the fund and the fund assumed the historical performance of Strategic Advisers Core Fund, the predecessor fund designated as the accounting survivor in the reorganization. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions and its performance history.

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

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

The following charts considered by the Board show, over the one-, three-, and five-year periods ended December 31, 2021, the cumulative total returns of the fund and the cumulative total returns of an appropriate benchmark index and peer group. The box within each chart shows the 25th percentile return (75% beaten, top of box) and the 75th percentile return (25% beaten, bottom of box) of the peer group. Returns shown above the box are in the first quartile and returns shown below the box are in the fourth quartile. The percentage beaten number noted below each chart corresponds to the percentile box and represents the percentage of funds in the peer group whose performance was equal to or lower than that of the fund.

![](img87999_6.jpg)

The Board reviewed the fund's relative investment performance against its peer group and noted that the performance of the fund was in the first quartile for the three- and five-year periods and in the second quartile for the one-year period ended December 31, 2021. The Board also noted that the fund had out-performed 67%, 81%, and 80% of its peers for the one-, three-, and five-year periods, respectively, ended December 31, 2021. The Board also noted that the investment performance of the fund was higher than its benchmark for the five-year period and lower than its benchmark for the one- and three-year periods shown.

In approving the Amendment, the Board considered the historical investment performance of FIAM and its portfolio managers in managing accounts under a similar investment mandate, as well as model performance of the investment mandate to be used by FIAM.

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.

<u>Management Fee</u> . The Board considered two proprietary management fee comparisons. The group of Lipper funds used by the Board for management fee comparisons is referred to as the "Total Mapped Group." The Total Mapped Group comparison focuses on a fund's standing in terms of gross management fees before expense reimbursements or caps relative to the total universe of funds with comparable investment mandates, regardless of whether their management fee structures also are comparable. Funds with comparable investment mandates offer exposure to similar types of securities. Funds with comparable management fee structures have similar management fee contractual arrangements (e.g., flat rate charged for advisory services, all-inclusive fee rate, etc.). "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a hypothetical TMG % of 20% would mean that 80% of the funds in the Total Mapped Group had higher, and 20% had lower, management fees than the fund. The fund's actual TMG %s and the number of funds in the Total Mapped Group are in the chart below. The Board also compared the fund's management fee to an "Asset-Size Peer Group" (ASPG), which is a sub-set of the competitive funds in the Total Mapped Group. The ASPG comparison focuses on a fund's standing relative to non-Fidelity funds within the Total Mapped Group that are similar in size and management fee structure. For example, if a fund is in the first quartile of the ASPG, the fund's management fee ranks in the least expensive or lowest 25% of funds in the ASPG. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee structures, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee rate ranked, is also included in the chart and was considered by the Board.

![](img87999_7.jpg)

The Board noted that the fund's management fee rate ranked below the median of its Total Mapped Group and below the median of its ASPG for the 12-month period ended December 31, 2021.

Based on its review, the Board concluded that the fund's management fee bears a reasonable relationship to the services rendered.

<u>Total Expenses.</u> In its review of the fund's total expenses, the Board considered the fund's management fee rate as well as other fund expenses, as applicable, such as expenses from holding Fidelity and non-Fidelity mutual funds and ETFs, pricing and bookkeeping fees, and custodial, legal, and audit fees. The Board also noted the effects of any waivers and reimbursements on fees and expenses. The Board further noted that the fund's total expenses were compared to those funds and classes in the Total Mapped Group (used by the Board for management fee comparisons) that have similar sales load structures. This comparison, which is a proxy for comparing funds by distribution channel, showed the fund's position relative to competitive funds with similar sales load structures. The Board noted that the fund's total expense ratio ranked below the fund's similar sales load structure group competitive median for the 12-month period ended December 31, 2021.

<u>Fees Charged to Other Clients</u> . The Board also considered fee structures paid by the Investment Advisers' other clients, such as other funds advised or subadvised by the Investment Advisers, pension plan clients, and other institutional clients with similar investment mandates.

Based on its review of the total expense ratios and fees charged and other information with respect to other clients of Strategic Advisers or its affiliates and each Sub-Adviser, the Board concluded that the total expenses of the fund were reasonable in light of the services that the fund and its shareholders receive and the other factors considered.

**Costs of the Services and Profitability** . The Board considered information regarding the revenues earned and the expenses incurred by Strategic Advisers and its affiliates in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and servicing the fund's shareholders.

On an annual basis, Strategic Advisers presents to the Board information about the profitability of its relationships with the fund. Strategic Advisers calculates profitability information for the fund using a series of detailed revenue and cost allocation methodologies. The Board reviews any significant changes from the prior year's methodologies. Strategic Advisers noted that, to the extent possible, it employs the same corporate reporting of revenues and expenses as those used by other Fidelity funds.

A public accounting firm has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. The engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's mutual fund business, and completion of agreed-upon procedures in respect of the mathematical accuracy of certain fund profitability information and its conformity to established allocation methodologies. After considering the reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.

The Board also reviewed Fidelity's non-fund businesses and potential indirect benefits such businesses may have received as a result of their association with Fidelity's mutual fund business (i.e., fall-out benefits) as well as cases where Fidelity's affiliates may benefit from the fund's business. The Board noted that changes to fall-out benefits year-over-year reflect business developments at Fidelity's various businesses.

The Board considered the costs of the services provided by and the profits realized, if any, by Strategic Advisers and its affiliates in connection with the operation of the fund and was satisfied that the profitability was not excessive.

The Board also considered information regarding the profitability of the Sub-Advisers' respective relationships with the fund and the potential fall-out benefits, if any, that may accrue to the Sub-Advisers as a result of their respective relationships with the fund. The Board noted the difficulty in evaluating a Sub-Adviser's costs and the profitability of a Sub-Advisory Agreement to a Sub-Adviser because of, among other things, differences in the type and content of information provided by each Sub-Adviser due to differences in business models, cost accounting methods, and profitability calculation methodologies among the Sub-Advisers. Accordingly, the Board considered profitability information provided by the Sub-Advisers in light of the nature of the relationships between Strategic Advisers and the Sub-Advisers with respect to the negotiation of sub-advisory fees.

**Possible Economies of Scale** . The Board considered whether there have been economies of scale in respect of the management of the Strategic Advisers funds, whether the Strategic Advisers funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale as assets grow through increased services to the fund, through waivers or reimbursements, or through fee or expense ratio reductions. The Board considered that certain of the fund's Sub-Advisory Agreements provide for breakpoints as the fund's assets grow and noted that any potential decline in sub-advisory fees under such contracts would accrue directly to the fund. The Board also took Strategic Advisers' management fee waiver into consideration.

**Conclusion** . Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee arrangements bear a reasonable relationship to the services rendered and that the fund's Advisory Contracts should be renewed and the Amendment should be approved because each agreement is in the best interests of the fund and its shareholders. 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.

![](img87999_2.jpg) <br>

1.9899747.102 LGC-SANN-0123

**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, 2022**

![](img88006_1.jpg)

![](img88006_2.jpg)

**Contents**

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| |
|:---|
| **[Consolidated Investment Summary](#Sec_InvestmentSummary6570)** |
| **[Consolidated Schedule of Investments](#Sec_ScheduleOfInvestments6570)** |
| **[Consolidated Financial Statements](#Sec_FinancialStatements6570)** |
| **[Notes to Consolidated Financial Statements](#Sec_Notes to Financial Statements)** |
| **[Shareholder Expense Example](#Sec_Shareholder Expense Example)** |
| **[Board Approval of Investment Advisory Contracts and Management Fees](#Sec_Board Approval of Investment Advisory Contracts and Management Fees)** |

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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 1-800-544-8544 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.© 2023 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.*

**Consolidated Investment Summary November 30, 2022 (Unaudited)**

The information in the following tables is based on the consolidated investments of the Fund.

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| | |
|:---|:---|
| &nbsp;&nbsp; **Top Holdings (% of Fund's net assets)**  | &nbsp;&nbsp; **Top Holdings (% of Fund's net assets)**  |
| (excluding cash equivalents)  | (excluding cash equivalents)  |
| BlackRock Systematic Multi-Strategy Fund Investor A Shares  | 15.6  |
| Absolute Convertible Arbitrage Fund Investor Shares  | 11.5  |
| First Trust Merger Arbitrage Fund Class I  | 9.2  |
| Westchester Capital Merger Fund  | 9.1  |
| Victory Market Neutral Income Fund Class I  | 7.5  |
| Eaton Vance Global Macro Absolute Return Advantage Fund Class A  | 7.3  |
| American Beacon AHL Managed Futures Strategy Fund A Class  | 7.1  |
| LoCorr Long/Short Commodity Strategies Fund Class A  | 6.1  |
| T. Rowe Price Dynamic Global Bond Fund Investor Class  | 5.9  |
| PIMCO TRENDS Managed Futures Strategy Fund Institutional Class  | 5.8  |

---

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| |
|:---|
| &nbsp;&nbsp; **Asset Allocation (% of Fund's net assets)**  |
| ![](img88006_5.jpg)  |

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

**Consolidated Schedule of Investments November 30, 2022 (Unaudited)**

Showing Percentage of Net Assets

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **U.S. Treasury Obligations - 3.0%**  | &nbsp;&nbsp; **U.S. Treasury Obligations - 3.0%**  | &nbsp;&nbsp; **U.S. Treasury Obligations - 3.0%**  |
|  | Principal <br> Amount (a) <br>| Value ($) <br>|
|  U.S. Treasury Bills, yield at date of purchase 4.15% to 4.25% 2/16/23 to 2/23/23 <br>(Cost $54,417,058) <br>| 54900000  | **54414764**  |

---

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| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **Alternative Funds - 89.5%**  | &nbsp;&nbsp; **Alternative Funds - 89.5%**  | &nbsp;&nbsp; **Alternative Funds - 89.5%**  |
|  | Shares  | Value ($) <br>|
| Alternative Funds - 89.5%  |  |  |
|  Abbey Capital Futures Strategy Fund Class A  | 5821258  | 78645195  |
|  Absolute Convertible Arbitrage Fund Investor Shares  | 19171081  | 210881894  |
|  American Beacon AHL Managed Futures Strategy Fund A Class  | 10694863  | 128980050  |
|  BlackRock Systematic Multi-Strategy Fund Investor A Shares  | 28467679  | 284676793  |
|  Eaton Vance Global Macro Absolute Return Advantage Fund Class A  | 13750392  | 133791310  |
|  First Trust Merger Arbitrage Fund Class I  | 15648798  | 168381071  |
|  LoCorr Long/Short Commodity Strategies Fund Class A  | 9989185  | 110879958  |
|  PIMCO TRENDS Managed Futures Strategy Fund Institutional Class  | 8533936  | 106503527  |
| T. Rowe Price Dynamic Global Bond Fund Investor Class  | 11375119  | 108632385  |
|  Victory Market Neutral Income Fund Class I  | 15257369  | 137468895  |
|  Westchester Capital Merger Fund  | 9592809  | 166818954  |
| <br> **TOTAL ALTERNATIVE FUNDS** <br> (Cost $1,630,816,841)  |  | <br> **1635660032**  |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **Money Market Funds - 7.2%**  | &nbsp;&nbsp; **Money Market Funds - 7.2%**  | &nbsp;&nbsp; **Money Market Funds - 7.2%**  |
|  | Shares  | Value ($) <br>|
|  Fidelity Cash Central Fund 3.86% (b)  | 3997052  | 3997852  |
|  Fidelity Investments Money Market Government Portfolio Institutional Class 3.60% (c)(d)  | 127336218  | 127336218  |
|  State Street Institutional U.S. Government Money Market Fund Premier Class 3.66% (c)  | 830284  | 830284  |
| <br> **TOTAL MONEY MARKET FUNDS** <br> (Cost $132,164,354)  |  | **132164354**  |

---

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| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Purchased Options - 0.1%**  | **Purchased Options - 0.1%**  | **Purchased Options - 0.1%**  | **Purchased Options - 0.1%**  | **Purchased Options - 0.1%**  | **Purchased Options - 0.1%**  |
|  | Counterparty  | Number <br> of Contracts  | Exercise <br> Price ($)  | Expiration <br> Date  | Value ($)  |
| Put Options  |  |  |  |  |  |
| Mini-SPX Index  | Chicago Board Options Exchange  | 514  | 364  | 12/16/22  | 14135  |
| S&P 500 Index  | Chicago Board Options Exchange  | 120  | 2350  | 09/15/23  | 246000  |
| S&P 500 Index  | Chicago Board Options Exchange  | 117  | 2100  | 10/20/23  | 193635  |
| S&P 500 Index  | Chicago Board Options Exchange  | 50  | 3340  | 01/20/23  | 30000  |
| S&P 500 Index  | Chicago Board Options Exchange  | 124  | 2400  | 11/17/23  | 352780  |
| S&P 500 Index  | Chicago Board Options Exchange  | 55  | 3730  | 02/17/23  | 276100  |
|  |  |  |  |  | **1112650**  |
| **TOTAL PURCHASED OPTIONS** <br> (Cost $2,924,775)  |  |  |  |  | **1112650**  |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 99.8%** <br> (Cost $1,820,323,028) <br>| <br>**1823351800**  |
| **NET OTHER ASSETS (LIABILITIES) - 0.2%**  | **4269044**  |
| **NET ASSETS - 100.0%**  | **1827620844**  |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp; **Futures Contracts**  | &nbsp;&nbsp; **Futures Contracts**  | &nbsp;&nbsp; **Futures Contracts**  | &nbsp;&nbsp; **Futures Contracts**  | &nbsp;&nbsp; **Futures Contracts**  | &nbsp;&nbsp; **Futures Contracts**  |
|  | Number <br> of contracts  | Expiration <br> Date  | Notional <br> Amount ($) <br>| Value ($) <br>| Unrealized <br> Appreciation/ <br> (Depreciation) ($) <br>|
| Purchased  |  |  |  |  |  |
| Bond Index Contracts  |  |  |  |  |  |
| Eurex Long-Term Euro-BTP Contracts (Germany)  | 4  | Dec 2022  | 496574  | 80  | 80  |
| Commodity Futures Contracts  |  |  |  |  |  |
| CBOT Soybean Oil Contracts (United States)  | 34  | Mar 2023  | 1433711  | 42234  | 42234  |
| CME Live Cattle Contracts (United States)  | 4  | Apr 2023  | 254840  | (1210)  | (1210)  |
| COMEX Silver Contracts (United States)  | 1  | Mar 2023  | 108905  | 1553  | 1553  |
| ICE Cocoa Contracts (United Kingdom)  | 27  | Mar 2023  | 650184  | 16432  | 16432  |
| ICE Cocoa Contracts (United States)  | 10  | Mar 2023  | 249800  | 4674  | 4674  |
| ICE ENDEX ECX Emissions Contracts (Netherlands)  | 2  | Dec 2023  | 183500  | (829)  | (829)  |
| ICE Sugar No. 11 Contracts (United States)  | 70  | Feb 2023  | 1538992  | (19772)  | (19772)  |
| ICE Sugar No. 5 Contracts (United Kingdom)  | 18  | Feb 2023  | 485280  | 3291  | 3291  |
| LME Lead Contracts (United Kingdom)  | 4  | Mar 2023  | 219475  | 3850  | 3850  |
| NYMEX Platinum Contracts (United States)  | 9  | Jan 2023  | 467685  | 23034  | 23034  |
| **TOTAL COMMODITY FUTURES CONTRACTS**  |  |  |  |  | 73257  |
| Equity Index Contracts  |  |  |  |  |  |
| CME E-mini NASDAQ 100 Index Contracts (United States)  | 1  | Dec 2022  | 240845  | 6612  | 6612  |
| Eurex Dax Index Contracts (Germany)  | 1  | Dec 2022  | 375084  | 4398  | 4398  |
| Eurex Euro Stoxx 50 Index Contracts (Germany)  | 216  | Dec 2022  | 1068218  | 31588  | 31588  |
| Eurex Short-Term Euro-BTP Contracts (Germany)  | 21  | Dec 2022  | 2335824  | 1463  | 1463  |
| Eurex SMI Index Contracts (Germany)  | 5  | Dec 2022  | 589802  | 12529  | 12529  |
| Euronext Amsterdam AEX Index Contracts (France)  | 2  | Dec 2022  | 301628  | 1292  | 1292  |
| Euronext CAC 40 10 Index Contracts (France)  | 5  | Dec 2022  | 350500  | 9456  | 9456  |
| ICE FTSE 100 Index Contracts (United Kingdom)  | 14  | Dec 2022  | 1282217  | 30967  | 30967  |
| IDEM FTSE MIB Index Contracts (Italy)  | 2  | Dec 2022  | 256331  | 4698  | 4698  |
| MEFF IBEX 35 Index Contracts (Spain)  | 3  | Dec 2022  | 260814  | (986)  | (986)  |
| OMX Stockholm 30 Index Contracts (Sweden)  | 11  | Dec 2022  | 220145  | (906)  | (906)  |
| SAF FTSE JSE TOP 40 Index Contracts (South Africa)  | 14  | Dec 2022  | 557961  | 12879  | 12879  |
| SGX Nifty 50 Index Contracts (Singapore)  | 32  | Dec 2022  | 1210656  | 40331  | 40331  |
| TME S&P/TSX 60 Index Contracts (Canada)  | 2  | Dec 2022  | 368821  | 2119  | 2119  |
| **TOTAL EQUITY INDEX CONTRACTS**  |  |  |  |  | 156440  |
| TOTAL PURCHASED  |  |  |  |  | 229777  |
| Sold  |  |  |  |  |  |
| Commodity Futures Contracts  |  |  |  |  |  |
| CBOT KC HRW Wheat Contracts (United States)  | 11  | Mar 2023  | 494863  | 5177  | 5177  |
| CBOT Soybean Contracts (United States)  | 4  | Mar 2023  | 166400  | (1821)  | (1821)  |
| CBOT Soybean Contracts (United States)  | 4  | Mar 2023  | 295100  | (11298)  | (11298)  |
| CBOT Wheat Contracts (United States)  | 18  | Mar 2023  | 715950  | 8678  | 8678  |
| CME Lean Hogs Contracts (United States)  | 6  | Apr 2023  | 217560  | (2407)  | (2407)  |
| ENDEX Dutch TTF Natural Gas Contracts (Netherlands)  | 5  | Feb 2023  | 565896  | (92576)  | (92576)  |
| Euronext Milling Wheat NO.2 Contracts (France)  | 26  | Mar 2023  | 427478  | 5113  | 5113  |
| ICE Rotterdam Coal Contracts (United Kingdom)  | 1  | Mar 2023  | 280100  | (76109)  | (76109)  |
| ICE Brent Crude Contracts (United Kingdom)  | 2  | Feb 2023  | 173660  | (3803)  | (3803)  |
| ICE Coffee 'C' Contracts (United States)  | 20  | Mar 2023  | 1274250  | (111666)  | (111666)  |
| ICE Cotton No. 2 Contracts (United States)  | 15  | Mar 2023  | 634575  | (5282)  | (5282)  |
| ICE Robusta Coffee 10-T Contracts (United Kingdom)  | 23  | Jan 2023  | 434010  | (23567)  | (23567)  |
| ICE Rotterdam Coal Contracts (United Kingdom)  | 1  | Feb 2023  | 282900  | (78909)  | (78909)  |
| LME Aluminum Contracts (United Kingdom)  | 21  | Mar 2023  | 1302000  | (42262)  | (42262)  |
| LME Nickel Contracts (United Kingdom)  | 1  | Mar 2023  | 162192  | (9468)  | (9468)  |
| LME Zinc Contracts (United Kingdom)  | 10  | Mar 2023  | 759125  | (10412)  | (10412)  |
| MGEX Hard Red Spring Wheat Contracts (United States)  | 7  | Mar 2023  | 330050  | 5259  | 5259  |
| NYMEX Gasoline RBOB Contracts (United States)  | 5  | Feb 2023  | 503223  | (14654)  | (14654)  |
| NYMEX Natural Gas Contracts (United States)  | 6  | Feb 2023  | 370680  | (18357)  | (18357)  |
| NYMEX Palladium Contracts (United States)  | 4  | Mar 2023  | 746400  | 36427  | 36427  |
| NYMEX WTI Crude Oil Contracts (United States)  | 3  | Feb 2023  | 242250  | 1244  | 1244  |
| SGX Iron Ore Index Contracts (Singapore)  | 15  | Mar 2023  | 147660  | (4910)  | (4910)  |
| **TOTAL COMMODITY FUTURES CONTRACTS**  |  |  |  |  | (445603)  |
| Equity Index Contracts  |  |  |  |  |  |
| CBOE Volatility Index (VIX) Futures (United States)  | 38  | Dec 2022  | 840636  | 88787  | 88787  |
| CME Three-Month SOFR Index Contracts (United States)  | 57  | Mar 2024  | 13620150  | (10779)  | (10779)  |
| Eurex VSTOXX Index Contracts (Germany)  | 185  | Dec 2022  | 410048  | 29793  | 29793  |
| HKFE Hang Seng Index Contracts (Hong Kong)  | 4  | Dec 2022  | 163668  | (9377)  | (9377)  |
| ICE Rotterdam Coal Contracts (United Kingdom)  | 1  | Jan 2023  | 283950  | (79959)  | (79959)  |
| MSCI Sing IX ET Index Contracts (Singapore)  | 48  | Dec 2022  | 1047481  | (4831)  | (4831)  |
| SGX FTSE China A50 Index Contracts (Singapore)  | 156  | Dec 2022  | 1980420  | (88374)  | (88374)  |
| SGX MSCI Taiwan Index Contracts (Singapore)  | 13  | Dec 2022  | 676260  | (1830)  | (1830)  |
| **TOTAL EQUITY INDEX CONTRACTS**  |  |  |  |  | (76570)  |
| TOTAL SOLD  |  |  |  |  | (522173)  |
| **TOTAL FUTURES CONTRACTS**  |  |  |  |  | **(292396)**  |
| The notional amount of futures purchased as a percentage of Net Assets is 0.6%  | The notional amount of futures purchased as a percentage of Net Assets is 0.6%  | The notional amount of futures purchased as a percentage of Net Assets is 0.6%  | The notional amount of futures purchased as a percentage of Net Assets is 0.6%  | The notional amount of futures purchased as a percentage of Net Assets is 0.6%  | The notional amount of futures purchased as a percentage of Net Assets is 0.6%  |
| The notional amount of futures sold as a percentage of Net Assets is 1.1%  | The notional amount of futures sold as a percentage of Net Assets is 1.1%  | The notional amount of futures sold as a percentage of Net Assets is 1.1%  | The notional amount of futures sold as a percentage of Net Assets is 1.1%  | The notional amount of futures sold as a percentage of Net Assets is 1.1%  | The notional amount of futures sold as a percentage of Net Assets is 1.1%  |

---

For the period, the average monthly notional amount at value for futures contracts in the aggregate was $12,043,504.

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Forward Foreign Currency Contracts**  | **Forward Foreign Currency Contracts**  | **Forward Foreign Currency Contracts**  | **Forward Foreign Currency Contracts**  | **Forward Foreign Currency Contracts**  | **Forward Foreign Currency Contracts**  | **Forward Foreign Currency Contracts**  |
| Currency <br> Purchased  | Currency <br> Purchased  | Currency <br> Sold  | Currency <br> Sold  | Counterparty  | Settlement <br> Date  | Unrealized <br> Appreciation/ <br> (Depreciation) ($)  |
| CHF  | 20000  | USD  | 21062  | Bank of America, N.A.  | 12/01/22  | 74  |
| GBP  | 38000  | USD  | 45643  | NatWest Markets PLC  | 12/01/22  | 157  |
| USD  | 10771  | ILS  | 37000  | BNP Paribas S.A.  | 12/01/22  | (74)  |
| USD  | 3375  | MXN  | 65773  | Goldman Sachs Bank USA  | 12/01/22  | (34)  |
| ILS  | 37000  | USD  | 10773  | BNP Paribas S.A.  | 12/13/22  | 77  |
| USD  | 43821  | ILS  | 150000  | Goldman Sachs Bank USA  | 12/13/22  | (168)  |
| HKD  | 832000  | USD  | 106474  | Barclays Bank PLC  | 12/14/22  | 25  |
| HKD  | 1120000  | USD  | 143368  | Royal Bank of Canada  | 12/14/22  | (3)  |
| USD  | 241515  | HKD  | 1887000  | Royal Bank of Canada  | 12/14/22  | (29)  |
| BRL  | 4943655  | USD  | 900000  | Barclays Bank PLC  | 12/15/22  | 50258  |
| CLP  | 368398124  | USD  | 400000  | Goldman Sachs Bank USA  | 12/15/22  | 12806  |
| GBP  | 375000  | USD  | 449460  | Barclays Bank PLC  | 12/15/22  | 2756  |
| MXN  | 111263231  | USD  | 5700000  | BNP Paribas S.A.  | 12/15/22  | 53137  |
| MYR  | 2657940  | USD  | 600000  | Royal Bank of Canada  | 12/15/22  | (2022)  |
| NZD  | 600000  | USD  | 373995  | Bank of America, N.A.  | 12/15/22  | 4175  |
| NZD  | 500000  | USD  | 310912  | Bank of America, N.A.  | 12/15/22  | 4230  |
| PEN  | 9973080  | USD  | 2600000  | Citibank, N.A.  | 12/15/22  | (2622)  |
| PHP  | 45545600  | USD  | 800000  | Bank of America, N.A.  | 12/15/22  | 6300  |
| SGD  | 1375942  | USD  | 1000000  | BNP Paribas S.A.  | 12/15/22  | 11221  |
| USD  | 400000  | CHF  | 376348  | Royal Bank of Canada  | 12/15/22  | 1505  |
| USD  | 1200000  | COP  | 6031044000  | BNP Paribas S.A.  | 12/15/22  | (46502)  |
| USD  | 3900000  | IDR  | 61419930000  | Citibank, N.A.  | 12/15/22  | (3605)  |
| USD  | 3300000  | ILS  | 11444123  | Goldman Sachs Bank USA  | 12/15/22  | (56411)  |
| USD  | 3200000  | INR  | 261807360  | Citibank, N.A.  | 12/15/22  | (15068)  |
| USD  | 1900000  | KRW  | 2559699000  | Citibank, N.A.  | 12/15/22  | (62854)  |
| USD  | 3100000  | THB  | 111149880  | Barclays Bank PLC  | 12/15/22  | (68207)  |
| ZAR  | 12001922  | USD  | 700000  | BNP Paribas S.A.  | 12/15/22  | (6221)  |
| USD  | 44446  | SGD  | 61000  | Royal Bank of Canada  | 12/16/22  | (385)  |
| USD  | 22860  | ZAR  | 393000  | Barclays Bank PLC  | 2/13/23  | 260  |
| EUR  | 9000  | USD  | 9424  | Bank of America, N.A.  | 2/16/23  | (3)  |
| EUR  | 15000  | USD  | 15497  | NatWest Markets PLC  | 2/16/23  | 206  |
| EUR  | 9000  | USD  | 9393  | NatWest Markets PLC  | 2/16/23  | 28  |
| GBP  | 13000  | USD  | 15482  | Bank of America, N.A.  | 2/16/23  | 223  |
| GBP  | 30000  | USD  | 36401  | Barclays Bank PLC  | 2/16/23  | (158)  |
| GBP  | 11000  | USD  | 13328  | NatWest Markets PLC  | 2/16/23  | (39)  |
| GBP  | 6000  | USD  | 7218  | NatWest Markets PLC  | 2/16/23  | 31  |
| USD  | 21262  | CHF  | 20000  | Bank of America, N.A.  | 2/16/23  | (75)  |
| USD  | 31949  | EUR  | 31000  | Bank of America, N.A.  | 2/16/23  | (502)  |
| USD  | 32228  | EUR  | 31000  | NatWest Markets PLC  | 2/16/23  | (224)  |
| USD  | 42539  | GBP  | 35000  | NatWest Markets PLC  | 2/16/23  | 256  |
| USD  | 5921  | GBP  | 5000  | NatWest Markets PLC  | 2/16/23  | (120)  |
| USD  | 4728  | GBP  | 4000  | NatWest Markets PLC  | 2/16/23  | (104)  |
| USD  | 32393  | GBP  | 27000  | NatWest Markets PLC  | 2/16/23  | (226)  |
| USD  | 45753  | GBP  | 38000  | NatWest Markets PLC  | 2/16/23  | (155)  |
| USD  | 51911  | MXN  | 1026000  | Goldman Sachs Bank USA  | 3/21/23  | (240)  |
| **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS**  | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS**  | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS**  | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS**  | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS**  |  | **(118326)**  |
| Unrealized Appreciation  | Unrealized Appreciation  | Unrealized Appreciation  |  |  |  | 147725  |
| Unrealized Depreciation  | Unrealized Depreciation  | Unrealized Depreciation  |  |  |  | (266051)  |

---

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Credit Default Swaps**  | **Credit Default Swaps**  | **Credit Default Swaps**  | **Credit Default Swaps**  | **Credit Default Swaps**  | **Credit Default Swaps**  | **Credit Default Swaps**  | **Credit Default Swaps**  | **Credit Default Swaps**  | **Credit Default Swaps**  |
| Underlying Reference  | Rating <sup>(1)</sup>  | Maturity <br> Date <br> Clearinghouse / <br> Counterparty <sup>(4)</sup>  | Fixed <br> Payment <br> Received/ <br> (Paid)  | Payment <br> Frequency  | Notional <br> Amount <sup>(2)(3)</sup>  | Notional <br> Amount <sup>(2)(3)</sup>  | Value ($) <sup>(1)</sup>  | Upfront <br> Premium <br> Received/ <br> (Paid) ($) <sup>(5)</sup>  | Unrealized <br> Appreciation/ <br> (Depreciation) ($)  |
| Sell Protection  |  |  |  |  |  |  |  |  |  |
| 5-Year CDX N.A. EM Series 38  | NR  | Dec 2027 <br> ICE  | 1%  | Quarterly  |  | 3300000  | 34263  | 0  | 34263  |
| 5-Year CDX N.A. HY Series 39  | NR  | Dec 2027 <br> ICE  | 5%  | Quarterly  |  | 800000  | 10055  | 0  | 10055  |
| 5-Year CDX N.A. IG Series 39  | NR  | Dec 2027 <br> ICE  | 1%  | Quarterly  |  | 4200000  | 13311  | 0  | 13311  |
| iTraxx Crossover Series 38  | NR  | Dec 2027 <br> ICE  | 5%  | Quarterly  | EUR  | 1300000  | 19908  | 0  | 19908  |
| **TOTAL CREDIT DEFAULT SWAPS**  |  |  |  |  |  |  | **77537**  | **0**  | **77537**  |

---

(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.

(4)Swaps with Intercontinental Exchange (ICE) are centrally cleared over-the-counter (OTC) swaps.

(5)Any premiums for centrally cleared OTC swaps are recorded periodically.

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Interest Rate Swaps**  | **Interest Rate Swaps**  | **Interest Rate Swaps**  | **Interest Rate Swaps**  | **Interest Rate Swaps**  | **Interest Rate Swaps**  | **Interest Rate Swaps**  | **Interest Rate Swaps**  | **Interest Rate Swaps**  | **Interest Rate Swaps**  | **Interest Rate Swaps**  |
| Payment Received  | Payment <br> Frequency  | Payment Paid  | Payment <br> Frequency  | Clearinghouse / <br> Counterparty <sup>(1)</sup>  | Maturity <br> Date  | Notional <br> Amount <sup>(2)</sup>  | Notional <br> Amount <sup>(2)</sup>  | Value ($) <br>| Upfront <br> Premium <br> Received/ <br> (Paid) ($) <sup>(3)</sup>  | Unrealized <br> Appreciation/ <br> (Depreciation) ($) <br>|
| 1.5%  | Annual  | 6-month EURIBOR <sup>(4)</sup>  | Semi-Annual  | LCH  | Mar 2053  | EUR  | 300000  | 1314  | 0  | 1314  |
| Brazil Cetip DI Interbank Deposit Overnight Rate <sup>(4)</sup>  | At Maturity  | 13.19%  | At Maturity  | CME  | Jan 2027  | BRL  | 18500000  | (53681)  | 0  | (53681)  |
| Brazil Cetip DI Interbank Deposit Overnight Rate <sup>(4)</sup>  | At Maturity  | 13.08%  | At Maturity  | CME  | Jan 2027  | BRL  | 4700000  | 614  | 0  | 614  |
| 6.75%  | Semi-Annual  | Financial Benchmarks India Overnight Mumbai Interbank Outright Rate <sup>(4)</sup>  | Semi-Annual  | LCH  | Sep 2027  | INR  | 100900000  | 541  | 0  | 541  |
| Singapore Domestic Interbank Overnight Rate Avg. <sup>(4)</sup>  | Semi-Annual  | 3%  | Semi-Annual  | LCH  | Sep 2027  | SGD  | 3900000  | (21790)  | 0  | (21790)  |
| Mexico 28 Day Cetes Auction Average Yield <sup>(4)</sup>  | Monthly  | 8.63%  | Monthly  | CME  | Nov 2027  | MXN  | 63400000  | (14516)  | 0  | (14516)  |
| SAFE South Africa Johannesburg Interbank Agreed Rate 3 Month <sup>(4)</sup>  | Quarterly  | 8.06%  | Quarterly  | CME  | Nov 2027  | ZAR  | 26700000  | 2426  | 0  | 2426  |
| Bank of Israel Tel Aviv Interbank Offered 3 Month <sup>(4)</sup>  | Quarterly  | 3.29%  | Annual  | LCH  | Nov 2027  | ILS  | 14500000  | 16834  | 0  | 16834  |
| Klibor Interbank Offered Rate <sup>(4)</sup>  | Quarterly  | 4%  | Quarterly  | Goldman Sachs Bank USA  | Dec 2027  | MYR  | 19000000  | (19630)  | (2964)  | (22594)  |
| CFETS China Fixing Repo Rates 7 Day <sup>(4)</sup>  | Quarterly  | 2.75%  | Quarterly  | LCH  | Dec 2027  | CNY  | 44700000  | 15972  | 0  | 15972  |
| HK Assoc. of Banks Hong Kong Dollar (HIBOR) Fixings 3 Month <sup>(4)</sup>  | Quarterly  | 4.5%  | Quarterly  | LCH  | Dec 2027  | HKD  | 43700000  | 14038  | 0  | 14038  |
| 4%  | Quarterly  | HK Assoc. of Banks Hong Kong Dollar (HIBOR) Fixings 3 Month <sup>(4)</sup>  | Quarterly  | LCH  | Dec 2027  | HKD  | 12400000  | 39374  | 0  | 39374  |
| KRW 3 Month Certificate of Deposit <sup>(4)</sup>  | Quarterly  | 3.5%  | Quarterly  | LCH  | Mar 2028  | KRW  | 3214000000  | (218)  | 0  | (218)  |
| 2%  | Annual  | SONIA Interest Rate Benchmark <sup>(4)</sup>  | Annual  | LCH  | Mar 2033  | GBP  | 400000  | (6968)  | 0  | (6968)  |
| **TOTAL INTEREST RATE SWAPS**  |  |  |  |  |  |  |  | **(25690)**  | **(2964)**  | **(28654)**  |

---

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

(2)Notional amount is stated in U.S. Dollars unless otherwise noted.

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

(4)Represents floating rate.

---

| | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Total Return Swaps**  | **Total Return Swaps**  | **Total Return Swaps**  | **Total Return Swaps**  | **Total Return Swaps**  | **Total Return Swaps**  | **Total Return Swaps**  | **Total Return Swaps**  | **Total Return Swaps**  | **Total Return Swaps**  | **Total Return Swaps**  | **Total Return Swaps**  |
| Underlying Reference  | Pay/ <br> Receive <br> Reference  | Reference <br> Payment <br> Frequency  | Financing <br> Rate  | Financing <br> Frequency  | Counterparty  | Maturity <br> Date  | Notional <br> Amount <br> ($)  | Notional <br> Amount <br> ($)  | Value ($) <br>| Upfront <br> Premium <br> Received/ <br> (Paid) ($) <br>| Unrealized <br> Appreciation/ <br> (Depreciation) ($) <br>|
| KOSPI 200 futures  | Receives  | At Maturity  |  | At Maturity  | Goldman Sachs Intl.  | Dec 2022  | KRW  | 318050000  | 1227  | 82  | 1309  |
| SET 50 futures  | Receives  | At Maturity  |  | At Maturity  | Goldman Sachs Intl.  | Dec 2022  | THB  | 57530700  | 10432  | 856  | 11288  |
| iBovespa futures  | Receives  | At Maturity  |  | At Maturity  | Goldman Sachs Intl.  | Dec 2022  | BRL  | 2877940  | 11458  | 168  | 11626  |
| **TOTAL RETURN SWAPS**  |  |  |  |  |  |  |  |  | **23117**  | **1106**  | **24223**  |
| (1)Notional amount is stated in U.S. Dollars unless otherwise noted.  | (1)Notional amount is stated in U.S. Dollars unless otherwise noted.  | (1)Notional amount is stated in U.S. Dollars unless otherwise noted.  | (1)Notional amount is stated in U.S. Dollars unless otherwise noted.  | (1)Notional amount is stated in U.S. Dollars unless otherwise noted.  | (1)Notional amount is stated in U.S. Dollars unless otherwise noted.  | (1)Notional amount is stated in U.S. Dollars unless otherwise noted.  | (1)Notional amount is stated in U.S. Dollars unless otherwise noted.  | (1)Notional amount is stated in U.S. Dollars unless otherwise noted.  | (1)Notional amount is stated in U.S. Dollars unless otherwise noted.  | (1)Notional amount is stated in U.S. Dollars unless otherwise noted.  | (1)Notional amount is stated in U.S. Dollars unless otherwise noted.  |

---

**Currency Abbreviations**

---

| | | |
|:---|:---|:---|
| BRL  | -  | Brazilian real  |
| CHF  | -  | Swiss franc  |
| CLP  | -  | Chilean peso  |
| CNY  | -  | Chinese yuan  |
| COP  | -  | Colombian peso  |
| EUR  | -  | European Monetary Unit  |
| GBP  | -  | British pound sterling  |
| HKD  | -  | Hong Kong dollar  |
| IDR  | -  | Indonesian rupiah  |
| ILS  | -  | Israeli shekel  |
| INR  | -  | Indian rupee  |
| KRW  | -  | Korean won  |
| MXN  | -  | Mexican peso  |
| MYR  | -  | Malyasian ringgit  |
| NZD  | -  | New Zealand dollar  |
| PEN  | -  | Peruvian new sol  |
| PHP  | -  | Philippine peso  |
| SGD  | -  | Singapore dollar  |
| THB  | -  | Thai baht  |
| USD  | -  | U.S. dollar  |
| ZAR  | -  | South African rand  |

---

**Legend**

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

(b) 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.

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

(d) Affiliated Fund

**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, <br> beginning <br> of period ($)  | Purchases ($)  | Sales <br> Proceeds ($)  | Dividend <br> Income ($)  | Realized <br> Gain (loss) ($)  | Change in <br> Unrealized <br> appreciation <br> (depreciation) ($)  | Value, <br> end <br> of period ($)  | % ownership, <br> end <br> of period  |
|  Fidelity Cash Central Fund 3.86%  | -  | 6775165  | 2777313  | 42145  | -  | -  | 3997852  | 0.0%  |
| Total  | -  | 6775165  | 2777313  | 42145  | -  | -  | 3997852  |  |

---

Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the 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, <br> beginning <br> of period ($)  | Purchases ($)  | Sales <br> Proceeds ($)  | Dividend <br> Income ($)  | Realized <br> Gain (loss) ($)  | Change in <br> Unrealized <br> appreciation <br> (depreciation) ($)  | Value, <br> end <br> of period ($)  |
|  Fidelity Investments Money Market Government Portfolio Institutional Class 3.60%  | -  | 243301976  | 115965758  | 637248  | -  | -  | 127336218  |
|  | -  | 243301976  | 115965758  | 637248  | -  | -  | 127336218  |

---

Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the 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, <br> beginning <br> of period ($)  | Purchases ($)  | Sales <br> Proceeds ($)  | Dividend <br> Income ($)  | Realized <br> Gain /loss ($)  | Change in <br> Unrealized <br> appreciation <br> (depreciation) ($)  | Value, <br> end <br> of period ($)  |
|  Strategic Advisers Alternatives Fund Cayman Ltd.  | -  | 6000000  | -  | -  | -  | (619748)  | 5380252  |

---

**Investment Valuation**

The following is a summary of the inputs used, as of November 30, 2022, 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:**  | **Valuation Inputs at Reporting Date:**  | **Valuation Inputs at Reporting Date:**  | **Valuation Inputs at Reporting Date:**  | **Valuation Inputs at Reporting Date:**  |
| **Description**  | **Total ($)**  | **Level 1 ($)**  | **Level 2 ($)**  | **Level 3 ($)**  |
| **<u>Investments in Securities:</u>**  |  |  |  |  |
|  U.S. Government and Government Agency Obligations  | 54414764  | -  | 54414764  | -  |
|  Alternative Funds  | 1635660032  | 1635660032  | -  | -  |
|  Money Market Funds  | 132164354  | 132164354  | -  | -  |
|  Purchased Options  | 1112650  | 1112650  | -  | -  |
| **Total Investments in Securities:**  | 1823351800  | 1768937036  | 54414764  | -  |
| **<u>Derivative Instruments:</u>**  |  |  |  |  |
|  **Assets**  |  |  |  |  |
| Futures Contracts  | 433958  | 433958  | -  | -  |
| Forward Foreign Currency Contracts  | 147725  | -  | 147725  | -  |
| Swaps  | 191767  | -  | 191767  | -  |
| Total Assets  | 773450  | 433958  | 339492  | -  |
|  **Liabilities**  |  |  |  |  |
| Futures Contracts  | (726354)  | (726354)  | -  | -  |
| Forward Foreign Currency Contracts  | (266051)  | -  | (266051)  | -  |
| Swaps  | (116803)  | -  | (116803)  | -  |
| Total Liabilities  | (1109208)  | (726354)  | (382854)  | -  |
| **Total Derivative Instruments:**  | (335758)  | (292396)  | (43362)  | -  |

---

**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, 2022. 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** <br>| **Value**  | **Value**  |
|  | **Asset ($)**  | **Liability ($)**  |
| **Commodity Risk**  |  |  |
| Futures Contracts (a)  | 156966  | (529312)  |
| **Total Commodity Risk**  | 156966  | (529312)  |
| **Credit Risk**  |  |  |
| Swaps (b)  | 77537  | 0  |
| **Total Credit Risk**  | 77537  | 0  |
| **Equity Risk**  |  |  |
| Futures Contracts (a)  | 276912  | (197042)  |
| Swaps (b)  | 23117  | 0  |
| Purchased Options (c)  | 1112650  | 0  |
| **Total Equity Risk**  | 1412679  | (197042)  |
| **Foreign Exchange Risk**  |  |  |
| Forward Foreign Currency Contracts (d)  | 147725  | (266051)  |
| **Total Foreign Exchange Risk**  | 147725  | (266051)  |
| **Interest Rate Risk**  |  |  |
| Futures Contracts (a)  | 80  | 0  |
| Swaps (e)  | 91113  | (116803)  |
| **Total Interest Rate Risk**  | 91193  | (116803)  |
| **Total Value of Derivatives**  | 1886100  | (1109208)  |

---

(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 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.

(c)Gross value is presented in the Consolidated Statement of Assets and Liabilities in the Investments in Securities at value line-item.

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

(e)For centrally cleared over-the-counter (OTC) 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 OTC swaps is included in receivable or payable for daily variation margin on centrally cleared OTC swaps, and the net cumulative appreciation (depreciation) for centrally cleared OTC swaps is included in Total accumulated earnings (loss).

**Consolidated Financial Statements** **(Unaudited)**

---

| | | |
|:---|:---|:---|
| **Statement of Assets and Liabilities**  | **Statement of Assets and Liabilities**  | **Statement of Assets and Liabilities**  |
|  |  | **November 30, 2022** <br> **(Unaudited)**  |
| **Assets**  |  |  |
| Investment in securities, at value - See accompanying schedule:  |  |  |
|  Unaffiliated issuers (cost $1,688,988,958)  | $1692017730  |  |
|  Fidelity Central Funds (cost $3,997,852)  | 3997852  |  |
|  Other affiliated issuers (cost $127,336,218)  | 127336218  |  |
|  Total Investment in Securities (cost $1,820,323,028)  |  | $1823351800  |
|  Segregated cash with brokers for derivative instruments  |  | 4404000  |
|  Foreign currency held at value (cost $265,080)  |  | 265856  |
| Receivable for investments sold  |  |  |
|  Regular delivery  |  | 1047571  |
|  Delayed delivery  |  | 906398  |
|  Unrealized appreciation on forward foreign currency contracts  |  | 147725  |
|  Receivable for fund shares sold  |  | 1319759  |
|  Dividends receivable  |  | 679264  |
|  Distributions receivable from Fidelity Central Funds  |  | 13394  |
|  Bi-lateral OTC swaps, at value  |  | 23117  |
|  Prepaid expenses  |  | 16728  |
| **Total assets**  |  | 1832175612  |
| **Liabilities**  |  |  |
|  Payable to custodian bank  | $681737  |  |
|  Payable for investments purchased  |  |  |
|  Regular delivery  | 685941  |  |
|  Delayed delivery  | 907664  |  |
|  Unrealized depreciation on forward foreign currency contracts  | 266051  |  |
|  Payable for fund shares redeemed  | 1572834  |  |
|  Bi-lateral OTC swaps, at value  | 19630  |  |
|  Accrued management fee  | 38476  |  |
|  Payable for daily variation margin on futures contracts  | 234007  |  |
|  Payable for daily variation margin on centrally cleared OTC swaps  | 52229  |  |
|  Other payables and accrued expenses  | 96199  |  |
| **Total Liabilities**  |  | 4554768  |
| **Net Assets**  |  | $1827620844  |
|  Net Assets consist of:  |  |  |
|  Paid in capital  |  | $1825300905  |
|  Total accumulated earnings (loss)  |  | 2319939  |
|  **Net Assets**  |  | $1827620844  |
|  **Net Asset Value** , offering price and redemption price per share ($1,827,620,844 ÷ 182,763,307 shares)  |  | $10.00  |

---

---

| | | |
|:---|:---|:---|
| **Statement of Operations**  | **Statement of Operations**  | **Statement of Operations**  |
|  |  | **For the period July 12, 2022 (commencement of operations) through November 30, 2022** <br> **(Unaudited)**  |
|  **Investment Income**  |  |  |
| Dividends (including $637,248 earned from affiliated issuers)  |  | $4577283  |
| Interest  |  | 62671  |
| Income from Fidelity Central Funds  |  | 42145  |
| **Total Income**  |  | 4682099  |
|  **Expenses**  |  |  |
| Management fee  | $1197604  |  |
| Custodian fees and expenses  | 1404  |  |
| Independent trustees' fees and expenses  | 1933  |  |
| Registration fees  | 227906  |  |
| Audit  | 35586  |  |
| Subsidiary directors' fees  | 7500  |  |
| Legal  | 239  |  |
| Miscellaneous  | 1  |  |
| Total expenses before reductions  | 1472173  |  |
| Expense reductions  | (1107015)  |  |
| Total expenses after reductions  |  | 365158  |
| **Net Investment income (loss)**  |  | 4316941  |
| **Realized and Unrealized Gain (Loss)**  |  |  |
| Net realized gain (loss) on:  |  |  |
| Investment Securities:  |  |  |
| Unaffiliated issuers  | (4557481)  |  |
| Forward foreign currency contracts  | 739  |  |
| Foreign currency transactions  | (2288)  |  |
| Futures contracts  | (130933)  |  |
| Swaps  | 1071  |  |
| Total net realized gain (loss)  |  | (4688892)  |
| Change in net unrealized appreciation (depreciation) on:  |  |  |
| Investment Securities:  |  |  |
| Unaffiliated issuers  | 3028772  |  |
| Forward foreign currency contracts  | (118326)  |  |
| Assets and liabilities in foreign currencies  | 734  |  |
| Futures contracts  | (292396)  |  |
| Swaps  | 73106  |  |
| Total change in net unrealized appreciation (depreciation)  |  | 2691890  |
| **Net gain (loss)**  |  | (1997002)  |
| **Net increase (decrease) in net assets resulting from operations**  |  | $2319939  |

---

---

| | |
|:---|:---|
| **Consolidated Statement of Changes in Net Assets**  | **Consolidated Statement of Changes in Net Assets**  |
|  | **For the period July 12, 2022 (commencement of operations) through November 30, 2022** <br> **(Unaudited)**  |
| **Increase (Decrease) in Net Assets**  |  |
| Operations  |  |
| &nbsp;&nbsp; Net investment income (loss)  | $4316941  |
| &nbsp;&nbsp; Net realized gain (loss)  | (4688892) <br>|
| &nbsp;&nbsp; Change in net unrealized appreciation (depreciation)  | 2691890  |
| &nbsp;&nbsp; **Net increase (decrease) in net assets resulting from operations**  | 2319939 <br>|
| Share transactions  |  |
| &nbsp;&nbsp; Proceeds from sales of shares  | 1912913841  |
| &nbsp;&nbsp; Cost of shares redeemed  | (87612936)  |
| **Net increase (decrease) in net assets resulting from share transactions**  | 1825300905 <br>|
| &nbsp;&nbsp; **Total increase (decrease) in net assets**  | 1827620844 <br>|
| **Net Assets**  |  |
| &nbsp;&nbsp; Beginning of period  | -  |
| &nbsp;&nbsp; End of period  | $1827620844  |
| **Other Information**  |  |
| Shares  |  |
| &nbsp;&nbsp; Sold  | 191509469  |
| &nbsp;&nbsp; Redeemed  | (8746162)  |
| &nbsp;&nbsp; Net increase (decrease)  | 182763307  |

---

**Consolidated Financial Highlights** 

 **Strategic Advisers Alternatives Fund** <br>

---

| | |
|:---|:---|
|  | **Six months ended** <br> **(Unaudited) November 30, 2022** <sup>A</sup>  |
| **Selected Per-Share Data**  |  |
| Net asset value, beginning of period  | $10.00  |
| Income from Investment Operations  |  |
| Net investment income (loss) <sup>B,C</sup>  | .04  |
| Net realized and unrealized gain (loss)  | (.04)  |
| Net asset value, end of period  | $10.00  |
| **Total Return** <sup>D,E</sup>  | -%  |
| **Ratios to Average Net Assets** <sup>C,F,G</sup>  |  |
| Expenses before reductions  | .33% <sup>H</sup>  |
| Expenses net of fee waivers, if any  | .08% <sup>H</sup>  |
| Expenses net of all reductions  | .08% <sup>H</sup>  |
| Net investment income (loss)  | .97% <sup>H</sup>  |
| **Supplemental Data**  |  |
| Net assets, end of period (000 omitted)  | $1827621  |
| Portfolio turnover rate <sup>I</sup>  | 23% <sup>J</sup>  |

---

<sup>A</sup> *For the period July 12, 2022 (commencement of operations) through November 30, 2022.*

<sup>B</sup> *Calculated based on average shares outstanding during the period.*

<sup>C</sup> *Net 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.*

<sup>D</sup> *Total returns for periods of less than one year are not annualized.*

<sup>E</sup> *Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.*

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

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

<sup>H</sup> *Annualized.*

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

<sup>J</sup> *Amount not annualized.*

**Notes to Consolidated Financial Statements** **(Unaudited)**

For the period ended November 30, 2022

**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**  | **$ Amount**  | **% of Fund's Net Assets**  |
| **Strategic Advisers Alternatives Fund**  | Strategic Advisers Alternatives Fund Cayman Ltd.  | 5380252  | .3  |

---

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. 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. 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 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 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, 2022 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.

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.

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

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| | |
|:---|:---|
| **Gross unrealized appreciation**  | $20628597  |
| **Gross unrealized depreciation**  | <u>(17888618)</u>  |
| **Net unrealized appreciation (depreciation)**  | <u>$2739979</u>  |
| **Tax cost**  | <u>$1820270484</u>  |

---

**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.

**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):

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| | |
|:---|:---|
| Commodity Risk  | Commodity risk is the risk that the value of a commodity will fluctuate as a result of changes in market prices. <br>|
| Credit Risk  | Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to the Fund. <br>|
| 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. <br>|
| 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. <br>|
| 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 OTC swaps may be mitigated by the protection provided by the clearinghouse.

Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the 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**  |  |  |
| **Credit Risk**  |  |  |
| Swaps  | <u>$1071</u>  | <u>$77537</u>  |
| **Total Credit Risk**  | <u>1071</u>  | <u>77537</u>  |
| **Equity Risk**  |  |  |
| Futures Contracts  | 38385  | 79870  |
| Purchased Options  | 447876  | (1812126)  |
| Swaps  | <u>-</u>  | <u>24223</u>  |
| **Total Equity Risk**  | <u>486261</u>  | <u>(1708033)</u>  |
| **Foreign Exchange Risk**  |  |  |
| Forward Foreign Currency Contracts  | <u>739</u>  | <u>(118326)</u>  |
| **Total Foreign Exchange Risk**  | <u>739</u>  | <u>(118326)</u>  |
| **Interest Rate Risk**  |  |  |
| Futures Contracts  | -  | 80  |
| Swaps  | <u>-</u>  | <u>(28654)</u>  |
| **Total Interest Rate Risk**  | <u>-</u>  | <u>(28574)</u>  |
| **Commodity Risk**  |  |  |
| Futures Contracts  | <u>(169318)</u>  | <u>(372346)</u>  |
| **Total Commodity Risk**  | <u>(169318)</u>  | <u>(372346)</u>  |
| **Totals**  | <u>$318753</u>  | <u>$(2149742)</u>  |

---

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 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, bond market, commodities 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 on 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 OTC swap is a transaction executed between a fund and a dealer counterparty, then cleared by a futures commission merchant (FCM) through a clearinghouse. Once cleared, the clearinghouse serves as a central counterparty, with whom a fund exchanges cash flows for the life of the transaction, similar to transactions in futures contracts.

Bi-lateral OTC swaps are marked-to-market daily and changes in value are reflected in the 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 net unrealized appreciation (depreciation) 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 OTC swaps require a fund to deposit either cash or securities (initial margin) with the FCM, at the instruction of and for the benefit of the clearinghouse. 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 OTC swaps are marked-to-market daily and subsequent payments (variation margin) are made or received depending on the daily fluctuations in the value of the swaps and are recorded as unrealized appreciation or (depreciation). These daily payments, if any, are included in receivable or payable for daily variation margin on centrally cleared OTC swaps in the Consolidated Statement of Assets and Liabilities. Any premiums for centrally cleared OTC swaps are recorded periodically throughout the term of the swap to variation margin and included in 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 OTC swaps, payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gain or (loss). Some swaps may be terminated prior to the effective date and realize a gain or loss upon termination. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on swaps during the period is presented in the 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.

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| | | |
|:---|:---|:---|
|  | **Purchases ($)**  | **Sales ($)**  |
| **Strategic Advisers Alternatives Fund**  | 2020618953  | 257457623  |

---

**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 .27% of the Fund's average net assets.

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

**Sub-Advisers.** 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.

**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.

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| | | | | |
|:---|:---|:---|:---|:---|
| **Fidelity Central Fund**  | **Investment Manager**  | **Investment Objective**  | **Investment Practices**  | **Expense Ratio** <sup>A</sup>  |
| 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%  |

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<sup>A</sup> *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. 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, 2025. During the period, this waiver reduced the Fund's management fee by $1,106,783.

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 $232.

**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.

**Shareholder Expense Example**

As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The actual expense Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (July 12, 2022 to November 30, 2022). The hypothetical expense Example is based on an investment of $1,000 invested for the one-half year period (June 1, 2022 to November 30, 2022). <br>

***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.

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| | | | |
|:---|:---|:---|:---|
|  | **Annualized Expense Ratio-** <sup>A</sup>  | **Beginning Account Value**  | **Ending Account Value November 30, 2022**  |
| **Strategic Advisers® Alternatives Fund**  | .08%  |  |  |
| **Actual**  |  | $1000  | $1000.00 <br> $.31 <sup>C</sup>  |
| **Hypothetical-** <sup>B</sup>  |  | $1000  | $1024.67 <br> $.41 <sup>D</sup>  |

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*A Annualized expense ratio reflects expenses net of applicable fee waivers.*

*B 5% return per year before expenses*

*C Actual expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 142 / 365 (to reflect the period July 12, 2022 to November 30, 2022).*

*D Hypothetical expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period).*

**Board Approval of Investment Advisory Contracts and Management Fees**

**Strategic Advisers Alternatives Fund** 

In June 2022, the Board of Trustees, including the Independent Trustees (together, the Board) voted to approve (i) the management contract between Strategic Advisers LLC (Strategic Advisers) and Fidelity Rutland Square Trust II (Trust) on behalf of the fund (Management Contract); (ii) the sub-advisory agreements among Strategic Advisers, each of Fidelity Diversifying Solutions LLC (FDS) and Pacific Investment Management Company LLC (PIMCO), and the Trust on behalf of the fund (each respective agreement, a Sub-Advisory Agreement and collectively, the Sub-Advisory Agreements); and (iii) the sub-subadvisory agreements among FDS and each of FMR Investment Management (UK) Limited, Fidelity Management & Research (Japan) Limited and Fidelity Management & Research (Hong Kong) Limited, with respect to the fund (Sub-Subadvisory Agreements and together with the Management Contract and Sub-Advisory Agreements, the Advisory Contracts). Strategic Advisers and the sub-advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, considered a broad range of information it believed relevant to the approval of the Advisory Contracts.

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

**Nature, Extent, and Quality of Services Provided.** The Board considered the backgrounds of the investment personnel that will provide services to the fund, and also took into consideration the fund's investment objective, strategies and related investment philosophy and the proposed sub-adviser line-up. The Board considered the structure of each Investment Adviser's investment personnel compensation program and whether such structures provide appropriate incentives to act in the best interests of the fund.

The Board noted Strategic Advisers' role in, among other things, (i) setting, implementing and monitoring the investment strategy for the fund; (ii) identifying and recommending to the Board the sub-advisers for the fund; (iii) overseeing compliance with federal securities laws by each sub-adviser with respect to fund assets; (iv) monitoring and overseeing the performance and investment capabilities of each sub-adviser; and (v) recommending the replacement of a sub-adviser as appropriate. The Board also noted that it receives from Strategic Advisers substantial information and periodic reports about Strategic Advisers' sub-adviser oversight and due diligence processes, as well as periodic reports regarding the performance of each sub-adviser.

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

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

<u>Shareholder and Administrative Services</u> . The Board considered (i) the nature, extent, quality, and cost of administrative, and shareholder services to be performed by Strategic Advisers and its affiliates under the Management Contract and under separate agreements covering transfer agency and pricing and bookkeeping services for the fund; (ii) the nature and extent of Strategic Advisers' supervision of third party service providers, including the sub-advisers; and (iii) the resources to be devoted to the fund's compliance policies and procedures.

The Board noted that the growth of fund assets over time across the complex allows Strategic Advisers to reinvest in the development of services designed to enhance the value or convenience of the Strategic Advisers funds as investment vehicles. These services include 24-hour access to account information and market information through telephone representatives and over the Internet, investor education materials and asset allocation tools, and the expanded availability of Fidelity Investor Centers.

<u>Investment Performance</u> . The fund is a new fund and therefore had no historical performance for the Board to review at the time it approved the fund's Advisory Contracts. Instead, the Board considered the historical investment performance of the portfolio managers in managing accounts under a similar investment mandate to the extent available. Once the fund has been in operation for at least one calendar year, the Board will review the fund's absolute investment performance, as well as the fund's relative investment performance measured against a broad-based securities market index.

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

**Competitiveness of Management Fee and Total Fund Expenses** . In reviewing the Advisory Contracts, the Board considered the amount and nature of fees to be paid by the fund to the fund's investment adviser, Strategic Advisers, the amount and nature of fees to be paid by Strategic Advisers to the sub-advisers, and the projected total management fee rate and operating expenses of the fund.

The Board noted that the fund's maximum aggregate annual management fee rate may not exceed 2.00% of the fund's average daily net assets and that Strategic Advisers has contractually agreed to waive its 0.25% portion of the fund's management fee through September 30, 2025. The Board considered that although the proposed maximum aggregate annual management fee rate is higher than the median fee rate of funds with similar Lipper investment objective categories and comparable management fee characteristics, the fund's estimated total management fee rate is expected to be below the median based upon the expected average allocations to the sub-advisers and the effective sub-advisory fee rates applicable under the proposed sub-advisory agreements, before taking into account the management fee waiver. The Board noted that FDS, and not the fund, will compensate the sub-subadvisers under the terms of each Sub-Subadvisory Agreement and that the fund and Strategic Advisers are not responsible for any such fees or expenses. The Board also considered that the fund's projected total net expenses, including acquired fund fees and expenses, if any, rank above the competitive median. The Board also noted that the landscape of alternative mutual funds includes a wide variety of non-traditional investment strategies and fee levels, making it challenging to find suitable peer group comparisons. The Board noted that while projected total net expenses and the maximum management fee for the fund are above median when compared to two Lipper-based peer groups, projected total net expenses and management fees are within the range of a subset of the most comparable funds identified by Strategic Advisers.

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

**Costs of the Services and Profitability.** The fund is a new fund and therefore no revenue, cost, or profitability data was available for the Board to review in respect of the fund at the time it approved the Advisory Contracts. The Board noted that it will consider costs of services and the profitability of Strategic Advisers and each sub-adviser as a result of their relationship with the fund in connection with future renewals of the Advisory Contracts.

**Potential Fall-Out Benefits** . The fund is a new fund and therefore the Board was unable to consider any direct and indirect benefits to Strategic Advisers and its affiliates from their relationships with the fund. The Board noted that it will review information regarding the potential of direct and indirect benefits accruing to Strategic Advisers and its affiliates from their relationships with the fund, including non-advisory fee compensation paid to affiliates of Strategic Advisers, if any, as well as information regarding potential fall-out benefits accruing to each sub-adviser, if any, as a result of its relationship with the fund, in connection with future renewals of the Advisory Contracts.

**Possible Economies of Scale.** The Board noted that because the fund is a new fund a determination of economies of scale was premature until the fund has assets. The Board noted that, in certain cases, breakpoints included in the Sub-Advisory Agreements have the potential to reduce sub-advisory fees paid to the sub-adviser as assets allocated to the sub-adviser grow.

**Conclusion.** Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board ultimately concluded that the advisory fee structures proposed on behalf of the fund bear a reasonable relationship to the services to be rendered and that each Advisory Contract should be approved because each agreement is in the best interests of the fund and its shareholders. In addition, the Board concluded that the approval of each Sub-Advisory Agreement and Sub-Subadvisory Agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.

![](img88006_2.jpg) <br>

1.9905801.100 SAA-SANN-0123

**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, 2022**

![](img87988_1.jpg)

![](img87988_2.jpg)

**Contents**

---

| |
|:---|
| **[Investment Summary](#Sec_InvestmentSummary2387)** |
| **[Schedule of Investments](#Sec_ScheduleOfInvestments2387)** |
| **[Financial Statements](#Sec_FinancialStatements2387)** |
| **[Notes to Financial Statements](#Sec_Notes to Financial Statements)** |
| **[Shareholder Expense Example](#Sec_Shareholder Expense Example)** |
| **[Board Approval of New Sub-Subadvisory Agreements](#Sec_Board Approval of Investment Advisory Contracts and Management Fees)** |

---

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.© 2023 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.*

**Investment Summary November 30, 2022 (Unaudited)**

The information in the following table is based on the direct Investments of the Fund.

---

| | |
|:---|:---|
| &nbsp;&nbsp; **Top Holdings (% of Fund's net assets)**  | &nbsp;&nbsp; **Top Holdings (% of Fund's net assets)**  |
| (excluding cash equivalents)  | (excluding cash equivalents)  |
| PIMCO Short-Term Fund Institutional Class  | 12.0  |
| Baird Ultra Short Bond Fund Institutional Class  | 8.3  |
| JPMorgan Ultra-Short Income ETF  | 7.9  |
| T. Rowe Price Ultra Short-Term Bond Fund  | 5.6  |
| Metropolitan West Low Duration Bond Fund - Class M  | 4.9  |
| Fidelity SAI Short-Term Bond Fund  | 4.3  |
| U.S. Treasury Obligations  | 3.4  |
| Baird Short-Term Bond Fund - Institutional Class  | 3.3  |
| iShares Ultra Short-Term Bond ETF  | 3.3  |
| BlackRock Low Duration Bond Portfolio Investor A Shares  | 3.1  |

---

---

| |
|:---|
| &nbsp;&nbsp; **Asset Allocation (% of Fund's net assets)**  |
| ![](img87988_5.jpg) <br>|

---

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

**Schedule of Investments November 30, 2022 (Unaudited)**

Showing Percentage of Net Assets

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **Nonconvertible Bonds - 23.1%**  | &nbsp;&nbsp; **Nonconvertible Bonds - 23.1%**  | &nbsp;&nbsp; **Nonconvertible Bonds - 23.1%**  |
|  | Principal <br> Amount (a) <br>| Value ($) <br>|
| COMMUNICATION SERVICES - 1.0%  |  |  |
| Diversified Telecommunication Services - 0.4%  |  |  |
|  KT Corp. 4% 8/8/25 (b)  | 1525000  | 1470469  |
|  NBN Co. Ltd. 1.45% 5/5/26 (b)  | 1765000  | 1563313  |
|  NTT Finance Corp.:  |  |  |
|  0.373% 3/3/23 (b)  | 4100000  | 4052358  |
|  0.583% 3/1/24 (b)  | 2184000  | 2067267  |
|  4.239% 7/25/25 (b)  | 235000  | 231300  |
|  SBA Tower Trust:  |  |  |
|  3.448% 3/15/48 (b)  | 880000  | 880000  |
|  3.869% 10/8/49 (b)  | 790000  | 760679  |
|  Verizon Communications, Inc.:  |  |  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.500% 3.8058% 3/22/24 (c)(d)  | 2563000  | 2546181  |
|  1.45% 3/20/26  | 1155000  | 1044738  |
|  2.625% 8/15/26  | 1615000  | 1503054  |
|  |  | 16119359  |
| Entertainment - 0.0%  |  |  |
|  Take-Two Interactive Software, Inc.:  |  |  |
|  3.3% 3/28/24  | 955000  | 929608  |
|  3.55% 4/14/25  | 320000  | 308576  |
|  |  | 1238184  |
| Media - 0.5%  |  |  |
|  Charter Communications Operating LLC/Charter Communications Operating Capital Corp. 4.908% 7/23/25  | 4035000  | 3971617  |
|  Comcast Corp. 5.25% 11/7/25  | 380000  | 386486  |
|  COX Communications, Inc.:  |  |  |
|  2.95% 6/30/23 (b)  | 1950000  | 1918988  |
|  3.15% 8/15/24 (b)  | 2021000  | 1944276  |
|  Magallanes, Inc.:  |  |  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 1.780% 4.9944% 3/15/24 (b)(c)(d)  | 3122000  | 3111462  |
|  3.755% 3/15/27 (b)  | 3060000  | 2788525  |
|  RELX Capital, Inc. 3.5% 3/16/23  | 575000  | 572425  |
|  SES SA 3.6% 4/4/23 (b)  | 1850000  | 1828374  |
|  SKY PLC 3.75% 9/16/24 (b)  | 3870000  | 3778034  |
|  |  | 20300187  |
| Wireless Telecommunication Services - 0.1%  |  |  |
|  Rogers Communications, Inc. 3.2% 3/15/27 (b)  | 1365000  | 1273726  |
|  T-Mobile U.S.A., Inc. 3.5% 4/15/25  | 1150000  | 1113437  |
|  |  | 2387163  |
|  TOTAL COMMUNICATION SERVICES  |  | 40044893  |
| CONSUMER DISCRETIONARY - 1.9%  |  |  |
| Auto Components - 0.0%  |  |  |
|  Aptiv PLC / Aptiv Corp. 2.396% 2/18/25  | 815000  | 766537  |
| Automobiles - 1.3%  |  |  |
|  American Honda Finance Corp. 3 month U.S. LIBOR + 0.150% 4.8149% 2/22/23 (c)(d)  | 3342000  | 3342955  |
|  BMW U.S. Capital LLC:  |  |  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.530% 3.9031% 4/1/24 (b)(c)(d)  | 5925000  | 5886280  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.840% 4.2131% 4/1/25 (b)(c)(d)  | 7500000  | 7456222  |
|  Daimler Finance North America LLC 3 month U.S. LIBOR + 0.840% 5.3484% 5/4/23 (b)(c)(d)  | 3240000  | 3242298  |
|  General Motors Co.:  |  |  |
|  4.875% 10/2/23  | 730000  | 726605  |
|  5.4% 10/2/23  | 1130000  | 1131487  |
|  General Motors Financial Co., Inc.:  |  |  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.000% 4.0908% 10/15/24 (c)(d)  | 4200000  | 4075769  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.760% 3.8989% 3/8/24 (c)(d)  | 4061000  | 3981394  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.200% 5.0026% 11/17/23 (c)(d)  | 5000000  | 4978749  |
|  2.9% 2/26/25  | 2035000  | 1922841  |
|  3.25% 1/5/23  | 5000000  | 4991343  |
|  Hyundai Capital Services, Inc. 2.125% 4/24/25 (b)  | 380000  | 346491  |
|  Nissan Motor Acceptance Corp. 3.875% 9/21/23 (b)  | 225000  | 220354  |
|  Nissan Motor Co. Ltd. 3.043% 9/15/23 (b)  | 2360000  | 2306350  |
|  Stellantis Finance U.S., Inc. 1.711% 1/29/27 (b)  | 675000  | 582971  |
|  Volkswagen Group of America Finance LLC:  |  |  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.950% 4.0444% 6/7/24 (b)(c)(d)  | 8000000  | 7955360  |
|  0.875% 11/22/23 (b)  | 590000  | 564685  |
|  3.125% 5/12/23 (b)  | 355000  | 351711  |
|  3.95% 6/6/25 (b)  | 760000  | 738539  |
|  |  | 54802404  |
| Distributors - 0.0%  |  |  |
|  Genuine Parts Co. 1.75% 2/1/25  | 410000  | 382630  |
| Hotels, Restaurants & Leisure - 0.2%  |  |  |
|  Hyatt Hotels Corp. 1.3% 10/1/23  | 565000  | 545694  |
|  Marriott International, Inc.:  |  |  |
|  3.125% 2/15/23  | 290000  | 288806  |
|  3.6% 4/15/24  | 1750000  | 1717050  |
|  4.15% 12/1/23  | 175000  | 173308  |
|  Starbucks Corp. U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.420% 4.2185% 2/14/24 (c)(d)  | 4193000  | 4168366  |
|  |  | 6893224  |
| Internet & Direct Marketing Retail - 0.0%  |  |  |
|  QVC, Inc. 4.85% 4/1/24  | 1380000  | 1313905  |
| Leisure Products - 0.1%  |  |  |
|  Brunswick Corp. 0.85% 8/18/24  | 1190000  | 1092707  |
|  Hasbro, Inc. 3% 11/19/24  | 1915000  | 1832361  |
|  |  | 2925068  |
| Multiline Retail - 0.1%  |  |  |
|  Dollar General Corp. 4.25% 9/20/24  | 2665000  | 2625411  |
|  Nordstrom, Inc. 2.3% 4/8/24  | 150000  | 141090  |
|  |  | 2766501  |
| Specialty Retail - 0.2%  |  |  |
|  AutoZone, Inc. 3.625% 4/15/25  | 485000  | 471660  |
|  Lowe's Companies, Inc.:  |  |  |
|  3.35% 4/1/27  | 345000  | 327393  |
|  4.4% 9/8/25  | 1200000  | 1191476  |
|  Ross Stores, Inc.:  |  |  |
|  0.875% 4/15/26  | 690000  | 606910  |
|  4.6% 4/15/25  | 2310000  | 2299475  |
|  Triton Container International Ltd. 0.8% 8/1/23 (b)  | 1350000  | 1301063  |
|  |  | 6197977  |
|  TOTAL CONSUMER DISCRETIONARY  |  | 76048246  |
| CONSUMER STAPLES - 0.6%  |  |  |
| Beverages - 0.1%  |  |  |
|  Anheuser-Busch Companies LLC / Anheuser-Busch InBev Worldwide, Inc. 3.65% 2/1/26  | 495000  | 480336  |
|  Coca-Cola European Partners PLC 0.8% 5/3/24 (b)  | 2405000  | 2256066  |
|  Diageo Capital PLC:  |  |  |
|  1.375% 9/29/25  | 680000  | 622608  |
|  5.2% 10/24/25  | 605000  | 613351  |
|  |  | 3972361  |
| Food & Staples Retailing - 0.1%  |  |  |
|  7-Eleven, Inc.:  |  |  |
|  0.625% 2/10/23 (b)  | 1072000  | 1062513  |
|  0.8% 2/10/24 (b)  | 1448000  | 1373760  |
|  Mondelez International Holdings Netherlands BV 4.25% 9/15/25 (b)  | 745000  | 731263  |
|  |  | 3167536  |
| Food Products - 0.0%  |  |  |
|  JDE Peet's BV 0.8% 9/24/24 (b)  | 515000  | 469617  |
|  Mondelez International, Inc. 2.625% 3/17/27  | 815000  | 741158  |
|  |  | 1210775  |
| Tobacco - 0.4%  |  |  |
|  BAT Capital Corp. 3.222% 8/15/24  | 5000000  | 4822223  |
|  BAT International Finance PLC:  |  |  |
|  1.668% 3/25/26  | 885000  | 784490  |
|  4.448% 3/16/28  | 1985000  | 1848657  |
|  Imperial Tobacco Finance PLC:  |  |  |
|  3.125% 7/26/24 (b)  | 2265000  | 2160174  |
|  4.25% 7/21/25 (b)  | 505000  | 482045  |
|  Philip Morris International, Inc.:  |  |  |
|  5% 11/17/25  | 500000  | 499638  |
|  5.125% 11/15/24  | 5980000  | 5978282  |
|  |  | 16575509  |
|  TOTAL CONSUMER STAPLES  |  | 24926181  |
| ENERGY - 1.2%  |  |  |
| Energy Equipment & Services - 0.1%  |  |  |
|  Baker Hughes Co. 1.231% 12/15/23  | 830000  | 799157  |
|  Schlumberger Finance Canada Ltd. 1.4% 9/17/25  | 290000  | 265596  |
|  Schlumberger Holdings Corp. 4% 12/21/25 (b)  | 375000  | 364912  |
|  |  | 1429665  |
| Oil, Gas & Consumable Fuels - 1.1%  |  |  |
|  Aker BP ASA 3% 1/15/25 (b)  | 1185000  | 1121209  |
|  Canadian Natural Resources Ltd.:  |  |  |
|  2.05% 7/15/25  | 1430000  | 1334686  |
|  3.8% 4/15/24  | 735000  | 722958  |
|  Cheniere Corpus Christi Holdings LLC:  |  |  |
|  5.875% 3/31/25  | 1470000  | 1476960  |
|  7% 6/30/24  | 2000000  | 2027800  |
|  ConocoPhillips Co. 2.125% 3/8/24  | 10000000  | 9676790  |
|  Devon Energy Corp. 8.25% 8/1/23  | 525000  | 533633  |
|  Enbridge, Inc.:  |  |  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.630% 4.4322% 2/16/24 (c)(d)  | 4149000  | 4108465  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.400% 4.2026% 2/17/23 (c)(d)  | 1892000  | 1890224  |
|  0.55% 10/4/23  | 5000000  | 4805846  |
|  2.5% 1/15/25  | 1115000  | 1057098  |
|  2.5% 2/14/25  | 615000  | 581920  |
|  Energy Transfer LP:  |  |  |
|  2.9% 5/15/25  | 255000  | 240515  |
|  3.45% 1/15/23  | 110000  | 109792  |
|  4.2% 9/15/23  | 280000  | 277955  |
|  4.25% 3/15/23  | 1795000  | 1789288  |
|  4.25% 4/1/24  | 70000  | 68604  |
|  4.9% 2/1/24  | 620000  | 616194  |
|  5.875% 1/15/24  | 2375000  | 2384090  |
|  Eni SpA 4% 9/12/23 (b)  | 1610000  | 1585497  |
|  Gray Oak Pipeline LLC:  |  |  |
|  2% 9/15/23 (b)  | 605000  | 587974  |
|  2.6% 10/15/25 (b)  | 385000  | 349291  |
|  Pioneer Natural Resources Co. 0.55% 5/15/23  | 3182000  | 3119332  |
|  Plains All American Pipeline LP/PAA Finance Corp. 2.85% 1/31/23  | 1275000  | 1270075  |
|  Sabine Pass Liquefaction LLC:  |  |  |
|  5.625% 4/15/23 (c)  | 2024000  | 2023807  |
|  5.625% 3/1/25  | 1105000  | 1107752  |
|  5.75% 5/15/24  | 1450000  | 1452318  |
|  The Williams Companies, Inc. 4.3% 3/4/24  | 305000  | 301407  |
|  |  | 46621480  |
|  TOTAL ENERGY  |  | 48051145  |
| FINANCIALS - 13.1%  |  |  |
| Banks - 7.2%  |  |  |
|  Banco Bilbao Vizcaya Argentaria SA 0.875% 9/18/23  | 2000000  | 1930768  |
|  Banco del Estado de Chile 2.704% 1/9/25 (b)  | 665000  | 626679  |
|  Banco Santander Mexico SA 5.375% 4/17/25 (Reg. S)  | 1300000  | 1285375  |
|  Banco Santander SA:  |  |  |
|  0.701% 6/30/24 (c)  | 200000  | 193517  |
|  3.496% 3/24/25  | 1400000  | 1346611  |
|  Bank of America Corp.:  |  |  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.660% 4.4605% 2/4/25 (c)(d)  | 10000000  | 9825341  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.690% 4.2985% 4/22/25 (c)(d)  | 10000000  | 9831822  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.100% 4.7239% 4/25/25 (c)(d)  | 10000000  | 9927438  |
|  0.523% 6/14/24 (c)  | 1210000  | 1174272  |
|  0.81% 10/24/24 (c)  | 755000  | 721205  |
|  0.976% 4/22/25 (c)  | 1050000  | 980816  |
|  1.734% 7/22/27 (c)  | 765000  | 670312  |
|  1.843% 2/4/25 (c)  | 850000  | 811747  |
|  3.384% 4/2/26 (c)  | 1145000  | 1090297  |
|  3.841% 4/25/25 (c)  | 815000  | 794803  |
|  Bank of Ireland Group PLC 4.5% 11/25/23 (b)  | 3145000  | 3080300  |
|  Bank of Montreal 3.7% 6/7/25  | 1490000  | 1451837  |
|  Bank of Nova Scotia:  |  |  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.440% 3.9158% 4/15/24 (c)(d)  | 10000000  | 9909200  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.260% 3.4744% 9/15/23 (c)(d)  | 5000000  | 4972958  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.380% 4.0268% 7/31/24 (c)(d)  | 5000000  | 4939976  |
|  1.45% 1/10/25  | 1720000  | 1601584  |
|  Banque Federative du Credit Mutuel SA:  |  |  |
|  0.65% 2/27/24 (b)  | 860000  | 812470  |
|  0.998% 2/4/25 (b)  | 1145000  | 1045385  |
|  Barclays PLC:  |  |  |
|  1.007% 12/10/24 (c)  | 1100000  | 1040202  |
|  4.338% 5/16/24 (c)  | 660000  | 653947  |
|  7.325% 11/2/26 (c)  | 645000  | 663220  |
|  BPCE SA:  |  |  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.570% 4.017% 1/14/25 (b)(c)(d)  | 3533000  | 3447398  |
|  5.7% 10/22/23 (b)  | 3145000  | 3112393  |
|  Canadian Imperial Bank of Commerce:  |  |  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.340% 3.6458% 6/22/23 (c)(d)  | 5885000  | 5869599  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.940% 4.3525% 4/7/25 (c)(d)  | 5000000  | 4942787  |
|  3.945% 8/4/25  | 1935000  | 1882333  |
|  Citigroup, Inc.:  |  |  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.690% 4.2484% 1/25/26 (c)(d)  | 10000000  | 9735096  |
|  0.981% 5/1/25 (c)  | 1880000  | 1753845  |
|  4.14% 5/24/25 (c)  | 1070000  | 1050142  |
|  Credit Agricole SA 3 month U.S. LIBOR + 1.020% 5.3446% 4/24/23 (b)(c)(d)  | 675000  | 675987  |
|  Danske Bank A/S:  |  |  |
|  1.226% 6/22/24 (b)  | 1610000  | 1493559  |
|  3.773% 3/28/25 (b)(c)  | 800000  | 770190  |
|  5.375% 1/12/24 (b)  | 775000  | 769346  |
|  Discover Bank 4.2% 8/8/23  | 1075000  | 1067428  |
|  DNB Bank ASA U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.830% 4.186% 3/28/25 (b)(c)(d)  | 10000000  | 9960450  |
|  Federation des caisses Desjardin U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.430% 4.2281% 5/21/24 (b)(c)(d)  | 5316000  | 5250095  |
|  Fifth Third Bank, Cincinnati 5.852% 10/27/25 (c)  | 1230000  | 1239922  |
|  HSBC Holdings PLC:  |  |  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.580% 4.3803% 11/22/24 (c)(d)  | 10000000  | 9749680  |
|  1.162% 11/22/24 (c)  | 750000  | 710133  |
|  1.645% 4/18/26 (c)  | 850000  | 763792  |
|  3.803% 3/11/25 (c)  | 425000  | 411608  |
|  Huntington National Bank U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 1.190% 4.9922% 5/16/25 (c)(d)  | 8000000  | 7969227  |
|  Intesa Sanpaolo SpA 3.375% 1/12/23 (b)  | 7435000  | 7413294  |
|  JPMorgan Chase & Co.:  |  |  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.530% 4.345% 6/1/25 (c)(d)  | 10000000  | 9793873  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.580% 3.8064% 3/16/24 (c)(d)  | 5000000  | 4969785  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.880% 4.4269% 4/22/27 (c)(d)  | 747000  | 726049  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.320% 4.9168% 4/26/26 (c)(d)  | 5000000  | 4952850  |
|  0.824% 6/1/25 (c)  | 965000  | 897441  |
|  2.083% 4/22/26 (c)  | 1870000  | 1737256  |
|  4.08% 4/26/26 (c)  | 1710000  | 1666898  |
|  KeyBank NA U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.320% 3.5228% 6/14/24 (c)(d)  | 10000000  | 9893055  |
|  KeyCorp 3.878% 5/23/25 (c)  | 445000  | 436327  |
|  Lloyds Banking Group PLC:  |  |  |
|  0.695% 5/11/24 (c)  | 2698000  | 2632933  |
|  4.5% 11/4/24  | 480000  | 468331  |
|  Mitsubishi UFJ Financial Group, Inc.:  |  |  |
|  3 month U.S. LIBOR + 0.740% 3.8397% 3/2/23 (c)(d)  | 4624000  | 4628242  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.380% 4.4808% 9/12/25 (c)(d)  | 5000000  | 4979295  |
|  0.953% 7/19/25 (c)  | 1660000  | 1539505  |
|  4.788% 7/18/25 (c)  | 10000000  | 9895701  |
|  5.063% 9/12/25 (c)  | 755000  | 750437  |
|  Mizuho Financial Group, Inc. U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.960% 4.7606% 5/22/26 (c)(d)  | 5000000  | 4873018  |
|  NatWest Markets PLC:  |  |  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.530% 4.3285% 8/12/24 (b)(c)(d)  | 5905000  | 5811016  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.450% 4.7558% 3/22/25 (b)(c)(d)  | 4248000  | 4197311  |
|  0.8% 8/12/24 (b)  | 370000  | 341420  |
|  2.375% 5/21/23 (b)  | 1525000  | 1499406  |
|  3.479% 3/22/25 (b)  | 355000  | 340095  |
|  PNC Financial Services Group, Inc. 5.671% 10/28/25 (c)  | 1200000  | 1209502  |
|  QNB Finance Ltd.:  |  |  |
|  2.625% 5/12/25 (Reg. S)  | 500000  | 468844  |
|  3.5% 3/28/24 (Reg. S)  | 1000000  | 976438  |
|  Rabobank Nederland New York Branch 3.875% 8/22/24  | 5000000  | 4915111  |
|  Santander Holdings U.S.A., Inc. 2.49% 1/6/28 (c)  | 760000  | 659533  |
|  Societe Generale:  |  |  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.050% 4.5802% 1/21/26 (b)(c)(d)  | 10000000  | 9584000  |
|  2.625% 10/16/24 (b)  | 365000  | 343824  |
|  Standard Chartered PLC:  |  |  |
|  0.991% 1/12/25 (b)(c)  | 375000  | 350324  |
|  1.214% 3/23/25 (b)(c)  | 200000  | 187460  |
|  1.822% 11/23/25 (b)(c)  | 475000  | 432393  |
|  3.885% 3/15/24 (b)(c)  | 365000  | 362341  |
|  3.95% 1/11/23 (b)  | 1840000  | 1835653  |
|  7.776% 11/16/25 (b)(c)  | 370000  | 381646  |
|  Svenska Handelsbanken AB:  |  |  |
|  0.55% 6/11/24 (b)  | 720000  | 672964  |
|  1.418% 6/11/27 (b)(c)  | 695000  | 608762  |
|  Swedbank AB:  |  |  |
|  0.6% 9/25/23 (b)  | 500000  | 480681  |
|  1.3% 6/2/23 (b)  | 1150000  | 1126379  |
|  The Toronto-Dominion Bank U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.910% 4.0489% 3/8/24 (c)(d)  | 5948000  | 5933011  |
|  Truist Bank U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.200% 3.6708% 1/17/24 (c)(d)  | 10000000  | 9908946  |
|  Truist Financial Corp. U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.400% 3.5488% 6/9/25 (c)(d)  | 10710000  | 10462813  |
|  Wells Fargo & Co.:  |  |  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.320% 4.8744% 4/25/26 (c)(d)  | 6000000  | 5955951  |
|  1.654% 6/2/24 (c)  | 5935000  | 5827701  |
|  2.188% 4/30/26 (c)  | 840000  | 782371  |
|  3.526% 3/24/28 (c)  | 735000  | 682739  |
|  3.908% 4/25/26 (c)  | 1210000  | 1172390  |
|  4.54% 8/15/26 (c)  | 1055000  | 1033620  |
|  |  | 294806027  |
| Capital Markets - 2.5%  |  |  |
|  Charles Schwab Corp. 2.45% 3/3/27  | 2155000  | 1976988  |
|  Credit Suisse AG:  |  |  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.380% 4.1777% 8/9/23 (c)(d)  | 5000000  | 4874658  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 1.260% 5.0614% 2/21/25 (c)(d)  | 5000000  | 4621265  |
|  0.495% 2/2/24  | 810000  | 739861  |
|  1% 5/5/23  | 6590000  | 6324868  |
|  Credit Suisse Group AG:  |  |  |
|  2.997% 12/14/23 (b)(c)  | 250000  | 247500  |
|  6.373% 7/15/26 (b)(c)  | 1070000  | 992283  |
|  Deutsche Bank AG New York Branch:  |  |  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.500% 4.299% 11/8/23 (c)(d)  | 10000000  | 9925500  |
|  2.222% 9/18/24 (c)  | 10000000  | 9594019  |
|  Goldman Sachs Group, Inc.:  |  |  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.700% 4.2419% 1/24/25 (c)(d)  | 10000000  | 9819600  |
|  0.657% 9/10/24 (c)  | 725000  | 694863  |
|  0.673% 3/8/24 (c)  | 1180000  | 1162545  |
|  0.925% 10/21/24 (c)  | 555000  | 529338  |
|  1.757% 1/24/25 (c)  | 1115000  | 1062833  |
|  3.5% 4/1/25  | 1005000  | 972520  |
|  4.482% 8/23/28 (c)  | 840000  | 806437  |
|  Morgan Stanley:  |  |  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.460% 4.2668% 11/10/23 (c)(d)  | 6170000  | 6142513  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.620% 4.2335% 1/24/25 (c)(d)  | 8000000  | 7872000  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.160% 4.6876% 4/17/25 (c)(d)  | 5000000  | 4958279  |
|  0.529% 1/25/24 (c)  | 3994000  | 3955627  |
|  0.731% 4/5/24 (c)  | 985000  | 965451  |
|  1.164% 10/21/25 (c)  | 1035000  | 946747  |
|  2.63% 2/18/26 (c)  | 1070000  | 1006582  |
|  3.62% 4/17/25 (c)  | 1280000  | 1247539  |
|  3.737% 4/24/24 (c)  | 5000000  | 4965473  |
|  NASDAQ, Inc. 0.445% 12/21/22  | 1712000  | 1708200  |
|  S&P Global, Inc. 2.45% 3/1/27 (b)  | 2215000  | 2036878  |
|  UBS AG London Branch U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.470% 3.9243% 1/13/25 (b)(c)(d)  | 5000000  | 4946200  |
|  UBS Group AG:  |  |  |
|  1.008% 7/30/24 (b)(c)  | 7118000  | 6899040  |
|  1.494% 8/10/27 (b)(c)  | 375000  | 322232  |
|  4.488% 5/12/26 (b)(c)  | 370000  | 360536  |
|  |  | 102678375  |
| Consumer Finance - 1.5%  |  |  |
|  AerCap Ireland Capital Ltd./AerCap Global Aviation Trust:  |  |  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.680% 4.0414% 9/29/23 (c)(d)  | 9823000  | 9618816  |
|  1.65% 10/29/24  | 1690000  | 1555080  |
|  3.15% 2/15/24  | 155000  | 149531  |
|  4.125% 7/3/23  | 1025000  | 1015790  |
|  4.5% 9/15/23  | 1450000  | 1432047  |
|  4.875% 1/16/24  | 850000  | 837981  |
|  American Express Co.:  |  |  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.720% 4.4683% 5/3/24 (c)(d)  | 5517000  | 5497779  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.930% 4.0227% 3/4/25 (c)(d)  | 8000000  | 8001294  |
|  Capital One Financial Corp.:  |  |  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.350% 5.1503% 5/9/25 (c)(d)  | 8000000  | 7880840  |
|  1.343% 12/6/24 (c)  | 5000000  | 4770569  |
|  2.636% 3/3/26 (c)  | 1150000  | 1072427  |
|  3.9% 1/29/24  | 505000  | 497736  |
|  4.985% 7/24/26 (c)  | 885000  | 877272  |
|  Hyundai Capital America:  |  |  |
|  0.8% 1/8/24 (b)  | 910000  | 862812  |
|  0.875% 6/14/24 (b)  | 1035000  | 961453  |
|  1% 9/17/24 (b)  | 445000  | 408683  |
|  2.375% 2/10/23 (b)  | 1925000  | 1913279  |
|  LeasePlan Corp. NV 2.875% 10/24/24 (b)  | 1000000  | 938591  |
|  Synchrony Financial 4.25% 8/15/24  | 1960000  | 1911775  |
|  Toyota Motor Credit Corp.:  |  |  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.650% 4.0114% 12/29/23 (c)(d)  | 6000000  | 5990666  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.620% 3.9258% 3/22/24 (c)(d)  | 5000000  | 4990858  |
|  3.05% 3/22/27  | 640000  | 601180  |
|  |  | 61786459  |
| Diversified Financial Services - 0.7%  |  |  |
|  Athene Global Funding:  |  |  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.700% 4.5% 5/24/24 (b)(c)(d)  | 8000000  | 7846073  |
|  0.95% 1/8/24 (b)  | 3469000  | 3288890  |
|  1.716% 1/7/25 (b)  | 1905000  | 1764334  |
|  2.514% 3/8/24 (b)  | 2290000  | 2192537  |
|  Brixmor Operating Partnership LP 3.65% 6/15/24  | 965000  | 934892  |
|  Corebridge Financial, Inc. 3.5% 4/4/25 (b)  | 900000  | 861858  |
|  GA Global Funding Trust 1.25% 12/8/23 (b)  | 5000000  | 4781924  |
|  Jackson Financial, Inc. 1.125% 11/22/23  | 5631000  | 5399334  |
|  LSEGA Financing PLC 0.65% 4/6/24 (b)  | 1355000  | 1272549  |
|  Park Aerospace Holdings Ltd.:  |  |  |
|  4.5% 3/15/23 (b)  | 660000  | 656714  |
|  5.5% 2/15/24 (b)  | 470000  | 463087  |
|  |  | 29462192  |
| Insurance - 1.2%  |  |  |
|  American International Group, Inc. 2.5% 6/30/25  | 667000  | 629796  |
|  Brighthouse Financial Global Funding:  |  |  |
|  0.6% 6/28/23 (b)  | 845000  | 821820  |
|  1% 4/12/24 (b)  | 1105000  | 1037024  |
|  CNO Global Funding:  |  |  |
|  1.65% 1/6/25 (b)  | 1300000  | 1205424  |
|  1.75% 10/7/26 (b)  | 1360000  | 1198204  |
|  Equitable Financial Life Global Funding:  |  |  |
|  0.5% 11/17/23 (b)  | 5000000  | 4777319  |
|  1.1% 11/12/24 (b)  | 1378000  | 1272068  |
|  1.4% 7/7/25 (b)  | 116000  | 105131  |
|  First American Financial Corp. 4.6% 11/15/24  | 355000  | 348710  |
|  Health Care Service Corp. 1.5% 6/1/25 (b)  | 1800000  | 1652246  |
|  Jackson National Life Global Funding 1.75% 1/12/25 (b)  | 1145000  | 1060770  |
|  New York Life Global Funding 3 month U.S. LIBOR + 0.280% 4.1887% 1/10/23 (b)(c)(d)  | 6945000  | 6941047  |
|  Northwestern Mutual Global Funding:  |  |  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.330% 3.6585% 3/25/24 (b)(c)(d)  | 4063000  | 4028760  |
|  4.35% 9/15/27 (b)  | 845000  | 828572  |
|  Pacific Life Global Funding II U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.380% 3.8415% 4/12/24 (b)(c)(d)  | 10000000  | 9849063  |
|  Principal Life Global Funding II:  |  |  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.450% 3.8755% 4/12/24 (b)(c)(d)  | 1763000  | 1749266  |
|  0.75% 4/12/24 (b)  | 930000  | 875118  |
|  Protective Life Global Funding:  |  |  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.980% 4.336% 3/28/25 (b)(c)(d)  | 7500000  | 7426306  |
|  3.218% 3/28/25 (b)  | 715000  | 680414  |
|  Trinity Acquisition PLC 4.625% 8/15/23  | 1054000  | 1044867  |
|  |  | 47531925  |
| Thrifts & Mortgage Finance - 0.0%  |  |  |
|  Nationwide Building Society 3.766% 3/8/24 (b)(c)  | 500000  | 496002  |
|  TOTAL FINANCIALS  |  | 536760980  |
| HEALTH CARE - 1.4%  |  |  |
| Biotechnology - 0.2%  |  |  |
|  AbbVie, Inc.:  |  |  |
|  2.6% 11/21/24  | 3500000  | 3352458  |
|  2.95% 11/21/26  | 2215000  | 2073846  |
|  3.2% 5/14/26  | 175000  | 166351  |
|  Csl Uk Holdings Ltd. 3.85% 4/27/27 (b)  | 395000  | 380246  |
|  |  | 5972901  |
| Health Care Equipment & Supplies - 0.0%  |  |  |
|  Becton, Dickinson & Co. 3.734% 12/15/24  | 330000  | 321981  |
|  Stryker Corp. 0.6% 12/1/23  | 325000  | 310403  |
|  |  | 632384  |
| Health Care Providers & Services - 0.4%  |  |  |
|  Cardinal Health, Inc.:  |  |  |
|  3.079% 6/15/24  | 695000  | 674165  |
|  3.5% 11/15/24  | 1180000  | 1142346  |
|  Cigna Corp. 0.613% 3/15/24  | 5967000  | 5646276  |
|  CVS Health Corp.:  |  |  |
|  2.875% 6/1/26  | 475000  | 446905  |
|  3% 8/15/26  | 415000  | 390110  |
|  Elevance Health, Inc.:  |  |  |
|  2.375% 1/15/25  | 410000  | 390693  |
|  5.35% 10/15/25  | 305000  | 309279  |
|  HCA Holdings, Inc. 3.125% 3/15/27 (b)  | 1140000  | 1036960  |
|  Humana, Inc.:  |  |  |
|  0.65% 8/3/23  | 4151000  | 4028194  |
|  1.35% 2/3/27  | 120000  | 103524  |
|  2.9% 12/15/22  | 160000  | 159894  |
|  3.15% 12/1/22  | 315000  | 315000  |
|  4.5% 4/1/25  | 1205000  | 1191583  |
|  5.75% 3/1/28  | 300000  | 306955  |
|  PeaceHealth Obligated Group 1.375% 11/15/25  | 190000  | 169878  |
|  UnitedHealth Group, Inc.:  |  |  |
|  5.15% 10/15/25  | 880000  | 893994  |
|  5.25% 2/15/28  | 640000  | 658335  |
|  |  | 17864091  |
| Life Sciences Tools & Services - 0.3%  |  |  |
|  PerkinElmer, Inc. 0.55% 9/15/23  | 10675000  | 10279565  |
|  Thermo Fisher Scientific, Inc. U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.530% 4.0097% 10/18/24 (c)(d)  | 2411000  | 2388700  |
|  |  | 12668265  |
| Pharmaceuticals - 0.5%  |  |  |
|  Bayer U.S. Finance II LLC 3.875% 12/15/23 (b)  | 750000  | 738005  |
|  GSK Consumer Healthcare Capital U.S. LLC U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.890% 4.2258% 3/24/24 (c)(d)  | 3555000  | 3539049  |
|  Perrigo Finance PLC 3.9% 12/15/24  | 2790000  | 2650500  |
|  Roche Holdings, Inc. U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.330% 3.4808% 9/11/23 (b)(c)(d)  | 10000000  | 9982980  |
|  Royalty Pharma PLC 0.75% 9/2/23  | 870000  | 839724  |
|  Shire Acquisitions Investments Ireland DAC 2.875% 9/23/23  | 728000  | 714160  |
|  Viatris, Inc. 1.65% 6/22/25  | 600000  | 543145  |
|  Zoetis, Inc. 5.4% 11/14/25  | 765000  | 776557  |
|  |  | 19784120  |
|  TOTAL HEALTH CARE  |  | 56921761  |
| INDUSTRIALS - 0.9%  |  |  |
| Aerospace & Defense - 0.1%  |  |  |
|  DAE Funding LLC 1.55% 8/1/24 (b)  | 465000  | 431176  |
|  The Boeing Co. 1.167% 2/4/23  | 2790000  | 2768948  |
|  |  | 3200124  |
| Airlines - 0.0%  |  |  |
|  American Airlines 2017-2 Class B Pass Through Trust equipment trust certificate 3.7% 4/15/27  | 425117  | 384099  |
|  United Airlines 2019-2 Class B Pass Through Trust equipment trust certificate 3.5% 11/1/29  | 293226  | 252219  |
|  |  | 636318  |
| Building Products - 0.0%  |  |  |
|  Carrier Global Corp. 2.242% 2/15/25  | 259000  | 244315  |
| Commercial Services & Supplies - 0.0%  |  |  |
|  HPHT Finance 19 Ltd. 2.875% 11/5/24 (Reg. S)  | 1625000  | 1547609  |
| Machinery - 0.3%  |  |  |
|  Daimler Trucks Finance North America LLC:  |  |  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.500% 3.6058% 6/14/23 (b)(c)(d)  | 8000000  | 7978992  |
|  1.625% 12/13/24 (b)  | 1065000  | 989983  |
|  Otis Worldwide Corp. 2.056% 4/5/25  | 1000000  | 936819  |
|  Parker Hannifin Corp. 3.65% 6/15/24  | 1690000  | 1652017  |
|  |  | 11557811  |
| Road & Rail - 0.3%  |  |  |
|  Canadian Pacific Railway Co.:  |  |  |
|  1.35% 12/2/24  | 7739000  | 7206601  |
|  1.75% 12/2/26  | 580000  | 518325  |
|  Penske Truck Leasing Co. LP:  |  |  |
|  2.7% 3/14/23 (b)  | 1751000  | 1738092  |
|  3.45% 7/1/24 (b)  | 390000  | 375919  |
|  4.25% 1/17/23 (b)  | 285000  | 284612  |
|  SMBC Aviation Capital Finance:  |  |  |
|  3.55% 4/15/24 (b)  | 815000  | 786782  |
|  4.125% 7/15/23 (b)  | 900000  | 889333  |
|  |  | 11799664  |
| Trading Companies & Distributors - 0.1%  |  |  |
|  Air Lease Corp. 2.25% 1/15/23  | 3810000  | 3792239  |
|  GATX Corp. 4.35% 2/15/24  | 965000  | 952923  |
|  |  | 4745162  |
| Transportation Infrastructure - 0.1%  |  |  |
|  Avolon Holdings Funding Ltd.:  |  |  |
|  2.125% 2/21/26 (b)  | 1035000  | 885901  |
|  2.875% 2/15/25 (b)  | 980000  | 899663  |
|  3.95% 7/1/24 (b)  | 265000  | 252372  |
|  Sydney Airport Finance Co. Property Ltd. 3.9% 3/22/23 (b)  | 1133000  | 1128507  |
|  |  | 3166443  |
|  TOTAL INDUSTRIALS  |  | 36897446  |
| INFORMATION TECHNOLOGY - 0.5%  |  |  |
| Electronic Equipment & Components - 0.0%  |  |  |
|  Amphenol Corp. 2.05% 3/1/25  | 910000  | 857052  |
| IT Services - 0.1%  |  |  |
|  CDW LLC/CDW Finance Corp. 5.5% 12/1/24  | 320000  | 319552  |
|  Fidelity National Information Services, Inc.:  |  |  |
|  0.6% 3/1/24  | 555000  | 525020  |
|  4.5% 7/15/25  | 600000  | 591175  |
|  Fiserv, Inc. 2.75% 7/1/24  | 395000  | 380193  |
|  HCL America, Inc. 1.375% 3/10/26 (b)  | 1800000  | 1591650  |
|  PayPal Holdings, Inc. 2.65% 10/1/26  | 1295000  | 1203306  |
|  The Western Union Co. 2.85% 1/10/25  | 1905000  | 1812748  |
|  |  | 6423644  |
| Semiconductors & Semiconductor Equipment - 0.2%  |  |  |
|  Analog Devices, Inc. U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.250% 3.6231% 10/1/24 (c)(d)  | 2353000  | 2320853  |
|  Microchip Technology, Inc.:  |  |  |
|  0.972% 2/15/24  | 1165000  | 1102289  |
|  0.983% 9/1/24  | 1220000  | 1128016  |
|  2.67% 9/1/23  | 1110000  | 1085502  |
|  NXP BV/NXP Funding LLC 4.875% 3/1/24  | 895000  | 885379  |
|  NXP BV/NXP Funding LLC/NXP U.S.A., Inc.:  |  |  |
|  2.7% 5/1/25  | 750000  | 699984  |
|  3.875% 6/18/26  | 525000  | 499496  |
|  4.4% 6/1/27  | 155000  | 148442  |
|  Qorvo, Inc. 1.75% 12/15/24 (b)  | 510000  | 467392  |
|  Skyworks Solutions, Inc. 0.9% 6/1/23  | 305000  | 297997  |
|  |  | 8635350  |
| Software - 0.2%  |  |  |
|  Fortinet, Inc. 1% 3/15/26  | 675000  | 594004  |
|  Oracle Corp. 5.8% 11/10/25  | 510000  | 522392  |
|  Roper Technologies, Inc.:  |  |  |
|  1% 9/15/25  | 235000  | 211386  |
|  2.35% 9/15/24  | 365000  | 349309  |
|  VMware, Inc. 0.6% 8/15/23  | 4644000  | 4497102  |
|  Workday, Inc. 3.5% 4/1/27  | 525000  | 496313  |
|  |  | 6670506  |
|  TOTAL INFORMATION TECHNOLOGY  |  | 22586552  |
| MATERIALS - 0.3%  |  |  |
| Chemicals - 0.2%  |  |  |
|  Celanese U.S. Holdings LLC:  |  |  |
|  5.9% 7/5/24  | 1970000  | 1957955  |
|  6.05% 3/15/25  | 2435000  | 2422770  |
|  Cytec Industries, Inc. 3.5% 4/1/23  | 919000  | 917870  |
|  Ecolab, Inc.:  |  |  |
|  1.65% 2/1/27  | 400000  | 356926  |
|  5.25% 1/15/28  | 1055000  | 1077105  |
|  LYB International Finance III LLC 1.25% 10/1/25  | 692000  | 615814  |
|  Sherwin-Williams Co. 4.25% 8/8/25  | 420000  | 413692  |
|  Westlake Corp. 0.875% 8/15/24  | 180000  | 167021  |
|  |  | 7929153  |
| Construction Materials - 0.0%  |  |  |
|  Martin Marietta Materials, Inc. 0.65% 7/15/23  | 405000  | 393505  |
| Containers & Packaging - 0.0%  |  |  |
|  Bemis Co., Inc. 4% 5/17/25  | 805000  | 781534  |
| Metals & Mining - 0.1%  |  |  |
|  ArcelorMittal SA 3.6% 7/16/24  | 390000  | 378689  |
|  Nucor Corp.:  |  |  |
|  2% 6/1/25  | 350000  | 326583  |
|  3.95% 5/23/25  | 525000  | 514003  |
|  Posco 2.375% 1/17/23 (b)  | 1870000  | 1863025  |
|  Steel Dynamics, Inc. 2.8% 12/15/24  | 395000  | 375637  |
|  |  | 3457937  |
| Paper & Forest Products - 0.0%  |  |  |
|  Celulosa Arauco y Constitucion SA 4.5% 8/1/24  | 635000  | 623213  |
|  TOTAL MATERIALS  |  | 13185342  |
| REAL ESTATE - 0.3%  |  |  |
| Equity Real Estate Investment Trusts (REITs) - 0.3%  |  |  |
|  American Tower Corp.:  |  |  |
|  2.4% 3/15/25  | 665000  | 625746  |
|  5% 2/15/24  | 375000  | 374451  |
|  Crown Castle International Corp.:  |  |  |
|  1.05% 7/15/26  | 1005000  | 869691  |
|  2.9% 3/15/27  | 955000  | 872740  |
|  3.15% 7/15/23  | 985000  | 973630  |
|  Kilroy Realty LP 4.375% 10/1/25  | 755000  | 727470  |
|  Public Storage U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.470% 4.0119% 4/23/24 (c)(d)  | 495000  | 491941  |
|  Simon Property Group LP:  |  |  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.430% 3.8489% 1/11/24 (c)(d)  | 3589000  | 3564219  |
|  2% 9/13/24  | 380000  | 359945  |
|  3.375% 10/1/24  | 985000  | 954893  |
|  WP Carey, Inc.:  |  |  |
|  4% 2/1/25  | 1440000  | 1400673  |
|  4.6% 4/1/24  | 770000  | 765351  |
|  |  | 11980750  |
| Real Estate Management & Development - 0.0%  |  |  |
|  Essex Portfolio LP 3.875% 5/1/24  | 1980000  | 1937541  |
|  TOTAL REAL ESTATE  |  | 13918291  |
| UTILITIES - 1.9%  |  |  |
| Electric Utilities - 1.5%  |  |  |
|  Duke Energy Corp. U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.250% 3.4091% 6/10/23 (c)(d)  | 3003000  | 2989137  |
|  Edison International 2.95% 3/15/23  | 455000  | 452442  |
|  ENEL Finance International NV:  |  |  |
|  1.375% 7/12/26 (b)  | 1105000  | 957097  |
|  2.65% 9/10/24 (b)  | 1775000  | 1696263  |
|  6.8% 10/14/25 (b)  | 200000  | 207104  |
|  Eversource Energy:  |  |  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.250% 4.0491% 8/15/23 (c)(d)  | 5000000  | 4978974  |
|  4.2% 6/27/24  | 1115000  | 1099702  |
|  Florida Power & Light Co. U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.250% 4.0481% 5/10/23 (c)(d)  | 3574000  | 3564312  |
|  Israel Electric Corp. Ltd. 5% 11/12/24 (Reg. S) (b)  | 1365000  | 1346213  |
|  Korea Electric Power Corp. 5.375% 4/6/26 (b)  | 1155000  | 1163408  |
|  Korea Hydro & Nuclear Power Co. Ltd.:  |  |  |
|  1.25% 4/27/26 (b)  | 1421000  | 1247637  |
|  4.25% 7/27/27 (b)  | 630000  | 601461  |
|  Mississippi Power Co. U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.300% 3.656% 6/28/24 (c)(d)  | 5297000  | 5176196  |
|  NextEra Energy Capital Holdings, Inc.:  |  |  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.400% 4.1483% 11/3/23 (c)(d)  | 6000000  | 5948747  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.540% 4.35% 3/1/23 (c)(d)  | 3472000  | 3469246  |
|  1.875% 1/15/27  | 1255000  | 1118776  |
|  4.45% 6/20/25  | 1050000  | 1043420  |
|  NRG Energy, Inc. 3.75% 6/15/24 (b)  | 535000  | 517043  |
|  Pacific Gas & Electric Co. 3.5% 6/15/25  | 955000  | 902065  |
|  PPL Electric Utilities Corp.:  |  |  |
|  3 month U.S. LIBOR + 0.250% 3.8909% 9/28/23 (c)(d)  | 1780000  | 1773245  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.330% 3.6658% 6/24/24 (c)(d)  | 4059000  | 4001937  |
|  Southern California Edison Co. U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.640% 4.0131% 4/3/23 (c)(d)  | 5000000  | 4989522  |
|  Southern Co.:  |  |  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.370% 4.1681% 5/10/23 (c)(d)  | 3257000  | 3246572  |
|  0.6% 2/26/24  | 1515000  | 1432880  |
|  Tampa Electric Co. 3.875% 7/12/24  | 2079000  | 2030915  |
|  Vistra Operations Co. LLC:  |  |  |
|  3.55% 7/15/24 (b)  | 4595000  | 4405596  |
|  5.125% 5/13/25 (b)  | 1210000  | 1178683  |
|  |  | 61538593  |
| Gas Utilities - 0.3%  |  |  |
|  APT Pipelines Ltd. 4.2% 3/23/25 (b)  | 2090000  | 2018200  |
|  Atmos Energy Corp. 3 month U.S. LIBOR + 0.380% 3.574% 3/9/23 (c)(d)  | 6117000  | 6110529  |
|  CenterPoint Energy Resources Corp. 3 month U.S. LIBOR + 0.500% 3.5997% 3/2/23 (c)(d)  | 2009000  | 2007385  |
|  Southern California Gas Co. 2.95% 4/15/27  | 815000  | 754454  |
|  |  | 10890568  |
| Independent Power and Renewable Electricity Producers - 0.0%  |  |  |
|  Alexander Funding Trust 1.841% 11/15/23 (b)  | 920000  | 867451  |
|  The AES Corp. 3.3% 7/15/25 (b)  | 820000  | 767459  |
|  |  | 1634910  |
| Multi-Utilities - 0.1%  |  |  |
|  CenterPoint Energy, Inc. U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.650% 4.4485% 5/13/24 (c)(d)  | 2893000  | 2851483  |
|  Dominion Energy, Inc. 3 month U.S. LIBOR + 0.530% 3.8226% 9/15/23 (c)(d)  | 2327000  | 2322267  |
|  Sempra Energy 3.3% 4/1/25  | 760000  | 733181  |
|  |  | 5906931  |
|  TOTAL UTILITIES  |  | 79971002  |
| <br> **TOTAL NONCONVERTIBLE BONDS** <br> (Cost $974,791,539)  |  | <br> **949311839**  |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **U.S. Treasury Obligations - 4.8%**  | &nbsp;&nbsp; **U.S. Treasury Obligations - 4.8%**  | &nbsp;&nbsp; **U.S. Treasury Obligations - 4.8%**  |
|  | Principal <br> Amount (a) <br>| Value ($) <br>|
|  U.S. Treasury Bills, yield at date of purchase 3.12% to 4.4% 4/20/23 to 6/15/23 (e)  | 60000000  | 58645636  |
|  U.S. Treasury Notes:  |  |  |
|  1.625% 10/31/23  | 29880000  | 29053631  |
|  1.75% 3/15/25  | 17440000  | 16498407  |
|  2.5% 5/31/24  | 2660000  | 2579888  |
|  2.75% 5/15/25  | 21130000  | 20413561  |
|  3% 6/30/24  | 7795000  | 7611087  |
|  3% 7/31/24  | 20900000  | 20406074  |
|  3.25% 8/31/24  | 7180000  | 7034998  |
|  4.25% 9/30/24  | 17250000  | 17198115  |
|  4.375% 10/31/24  | 12135000  | 12132156  |
|  4.5% 11/30/24  | 3850000  | 3861430  |
|  4.5% 11/15/25  | 3190000  | 3225888  |
| <br> **TOTAL U.S. TREASURY OBLIGATIONS** <br> (Cost $200,933,091)  |  | **198660871**  |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **U.S. Government Agency - Mortgage Securities - 0.6%**  | &nbsp;&nbsp; **U.S. Government Agency - Mortgage Securities - 0.6%**  | &nbsp;&nbsp; **U.S. Government Agency - Mortgage Securities - 0.6%**  |
|  | Principal <br> Amount (a) <br>| Value ($) <br>|
| Fannie Mae - 0.3%  |  |  |
|  12 month U.S. LIBOR + 1.560% 3.29% 7/1/35 (c)(d)  | 3298  | 3320  |
|  12 month U.S. LIBOR + 1.590% 2.5% 12/1/35 (c)(d)  | 4580  | 4605  |
|  12 month U.S. LIBOR + 1.650% 3.905% 8/1/37 (c)(d)  | 838  | 849  |
|  12 month U.S. LIBOR + 1.690% 3.44% 5/1/38 (c)(d)  | 4829  | 4887  |
|  12 month U.S. LIBOR + 1.780% 2.538% 5/1/38 (c)(d)  | 2395  | 2398  |
|  12 month U.S. LIBOR + 1.830% 3.117% 4/1/38 (c)(d)  | 13317  | 13439  |
|  12 month U.S. LIBOR + 1.850% 4.103% 8/1/38 (c)(d)  | 5897  | 5994  |
|  12 month U.S. LIBOR + 1.880% 3.199% 5/1/38 (c)(d)  | 7867  | 7952  |
|  12 month U.S. LIBOR + 2.040% 2.29% 12/1/36 (c)(d)  | 1122  | 1137  |
|  6 month U.S. LIBOR + 1.360% 2.861% 10/1/33 (c)(d)  | 21378  | 21218  |
|  2% 10/1/50  | 243316  | 201296  |
|  2.5% 1/1/52  | 878506  | 751618  |
|  3% 9/1/28 to 11/1/51  | 3456355  | 3143680  |
|  3.5% 11/1/26 to 7/1/50  | 747644  | 701886  |
|  4% 1/1/47 to 7/1/52  | 1967128  | 1867649  |
|  4.5% 5/1/41 to 6/1/52  | 3131389  | 3075555  |
|  5% 3/1/23 to 9/1/52  | 1057080  | 1063848  |
|  5.5% 2/1/23 to 5/1/40  | 1059047  | 1096163  |
|  6% to 6% 2/1/23 to 2/1/49  | 1034904  | 1082720  |
|  6.5% 7/1/32 to 12/1/32  | 50477  | 52821  |
|  TOTAL FANNIE MAE  |  | 13103035  |
| Freddie Mac - 0.1%  |  |  |
|  12 month U.S. LIBOR + 1.620% 3.26% 6/1/38 (c)(d)  | 9903  | 9942  |
|  12 month U.S. LIBOR + 1.620% 3.875% 7/1/38 (c)(d)  | 10138  | 10179  |
|  12 month U.S. LIBOR + 1.720% 3.944% 7/1/35 (c)(d)  | 5079  | 5110  |
|  12 month U.S. LIBOR + 1.730% 2.108% 2/1/37 (c)(d)  | 1994  | 1989  |
|  12 month U.S. LIBOR + 1.730% 3.058% 5/1/38 (c)(d)  | 5161  | 5179  |
|  12 month U.S. LIBOR + 1.730% 3.597% 10/1/36 (c)(d)  | 10238  | 10289  |
|  12 month U.S. LIBOR + 1.770% 3.225% 5/1/37 (c)(d)  | 2434  | 2448  |
|  12 month U.S. LIBOR + 1.830% 2.203% 2/1/37 (c)(d)  | 2552  | 2550  |
|  12 month U.S. LIBOR + 1.920% 2.246% 12/1/36 (c)(d)  | 4649  | 4664  |
|  12 month U.S. LIBOR + 2.020% 3.051% 11/1/36 (c)(d)  | 2609  | 2624  |
|  12 month U.S. LIBOR + 2.080% 2.582% 2/1/38 (c)(d)  | 10511  | 10575  |
|  12 month U.S. LIBOR + 2.160% 2.558% 2/1/37 (c)(d)  | 2623  | 2645  |
|  U.S. TREASURY 1 YEAR INDEX + 2.340% 3.251% 11/1/34 (c)(d)  | 6520  | 6663  |
|  2.5% 1/1/52  | 960572  | 826334  |
|  3% 11/1/34  | 228350  | 217418  |
|  3.5% 12/1/47  | 644050  | 601515  |
|  4% 12/1/49  | 139721  | 134530  |
|  4.5% 9/1/37 to 5/1/50  | 386224  | 383235  |
|  5% 10/1/23 to 12/1/41  | 262902  | 267420  |
|  5.5% 4/1/23 to 10/1/38  | 2478  | 2548  |
|  6% 9/1/34 to 9/1/35  | 67071  | 69816  |
|  7% 3/1/39  | 102895  | 109329  |
|  7.5% 6/1/38  | 98945  | 105132  |
|  TOTAL FREDDIE MAC  |  | 2792134  |
| Ginnie Mae - 0.2%  |  |  |
|  6% 7/15/36  | 123686  | 128319  |
|  3% 9/20/47  | 1055051  | 966682  |
|  3.5% 8/20/44 to 2/20/52  | 2465866  | 2307782  |
|  4% 3/20/48 to 8/20/50  | 398530  | 383903  |
|  4.5% 9/20/40 to 5/20/52  | 1058605  | 1044992  |
|  5% 12/20/34 to 5/20/48  | 525551  | 534733  |
|  5.5% 9/15/45 to 2/20/49  | 429192  | 442939  |
|  TOTAL GINNIE MAE  |  | 5809350  |
| <br> **TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES** <br> (Cost $23,667,857)  |  | <br> **21704519**  |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **Asset-Backed Securities - 6.9%**  | &nbsp;&nbsp; **Asset-Backed Securities - 6.9%**  | &nbsp;&nbsp; **Asset-Backed Securities - 6.9%**  |
|  | Principal <br> Amount (a) <br>| Value ($) <br>|
|  Aimco:  |  |  |
|  Series 2021-10A Class AR, 3 month U.S. LIBOR + 1.060% 5.3846% 7/22/32 (b)(c)(d)  | 4100000  | 3998841  |
|  Series 2021-BA Class AR, 3 month U.S. LIBOR + 1.100% 5.1791% 1/15/32 (b)(c)(d)  | 4342000  | 4256528  |
|  Ally Auto Receivables Trust Series 2019-3 Class A4, 1.96% 12/16/24  | 600000  | 594096  |
|  AmeriCredit Automobile Receivables Trust:  |  |  |
|  Series 2019-3 Class B, 2.13% 7/18/25  | 208749  | 208296  |
|  Series 2020-1 Class D, 1.8% 12/18/25  | 690000  | 648119  |
|  Series 2020-3 Class C, 1.06% 8/18/26  | 420000  | 392488  |
|  Series 2021-1:  |  |  |
|  Class C, 0.89% 10/19/26 <br>| 755000  | 692428  |
|  Class D, 1.21% 12/18/26 <br>| 470000  | 417987  |
|  Series 2021-2:  |  |  |
|  Class A2, 0.26% 11/18/24 <br>| 280414  | 279772  |
|  Class D, 1.29% 6/18/27 <br>| 995000  | 890162  |
|  Series 2021-3 Class A2, 0.41% 2/18/25  | 2347610  | 2328131  |
|  Series 2022-1 Class D, 3.23% 2/18/28  | 1830000  | 1668146  |
|  Applebee's/IHOP Funding LLC Series 2019-1A Class A2I, 4.194% 6/5/49 (b)  | 2262150  | 2140664  |
|  Arbor Realty Collateralized Loan Obligation Series 2021-FL3 Class A, 1 month U.S. LIBOR + 1.070% 4.9453% 8/15/34 (b)(c)(d)  | 1100000  | 1043872  |
|  Arbor Realty Commercial Real Estate Notes, Ltd. Series 2021-FL4 Class A, 1 month U.S. LIBOR + 1.350% 5.2253% 11/15/36 (b)(c)(d)  | 845000  | 819881  |
|  Ares LII CLO Ltd. Series 2021-52A Class A1R, 3 month U.S. LIBOR + 1.050% 5.3746% 4/22/31 (b)(c)(d)  | 3577000  | 3501811  |
|  ARI Fleet Lease Trust Series 2020-A Class B, 2.06% 11/15/28 (b)  | 770000  | 766158  |
|  Avis Budget Rental Car Funding (AESOP) LLC:  |  |  |
|  Series 2017-2A Class A, 2.97% 3/20/24 (b)  | 603333  | 600807  |
|  Series 2018-2A Class C, 4.95% 3/20/25 (b)  | 430000  | 419269  |
|  Series 2019-2A Class A, 3.35% 9/22/25 (b)  | 650000  | 623639  |
|  Series 2020-1A Class A, 2.33% 8/20/26 (b)  | 540000  | 494321  |
|  Babson CLO Ltd. Series 2013-IA Class AR, 3 month U.S. LIBOR + 0.800% 5.0426% 1/20/28 (b)(c)(d)  | 691302  | 684061  |
|  BDS, Ltd. / BDS LLC Series 2021-FL10 Class A, 1 month U.S. LIBOR + 1.350% 5.2886% 12/16/36 (b)(c)(d)  | 770000  | 742112  |
|  Blackbird Capital Aircraft Series 2016-1A Class AA, 2.487% 12/16/41 (b)(c)  | 391536  | 356294  |
|  BMW Vehicle Owner Trust Series 2022-A Class A2B, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.950% 4.0408% 12/26/24 (c)(d)  | 4742867  | 4737444  |
|  BRE Grand Islander Timeshare Issuer Series 2019-A Class A, 3.28% 9/26/33 (b)  | 150801  | 141683  |
|  BSPRT Issuer, Ltd. / BSPRT CO-Issuer LLC Series 2022-FL8 Class A, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.500% 4.7177% 2/15/37 (b)(c)(d)  | 1510000  | 1447357  |
|  Capital One Prime Auto Receivables Trust Series 2022-2 Class A2A, 3.74% 9/15/25  | 5000000  | 4936918  |
|  CarMax Auto Owner Trust:  |  |  |
|  Series 2020-4 Class D, 1.75% 4/15/27  | 540000  | 490388  |
|  Series 2021-2 Class C, 1.34% 2/16/27  | 545000  | 488998  |
|  Series 2022-2 Class A2B, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.600% 3.8177% 5/15/25 (c)(d)  | 2316188  | 2312042  |
|  Series 2022-3 Class A2A, 3.81% 9/15/25  | 3648000  | 3604374  |
|  Carvana Auto Receivables Trust:  |  |  |
|  Series 2021-P3 Class A2, 0.38% 1/10/25  | 1014215  | 1002393  |
|  Series 2021-P4 Class B, 1.98% 2/10/28  | 445000  | 380819  |
|  Series 2022-N1 Class C, 3.32% 12/11/28 (b)  | 580000  | 557198  |
|  Cedar Funding Ltd.:  |  |  |
|  Series 2021-10A Class AR, 3 month U.S. LIBOR + 1.100% 5.3426% 10/20/32 (b)(c)(d)  | 1089000  | 1059257  |
|  Series 2021-14A Class A, 3 month U.S. LIBOR + 1.100% 5.1791% 7/15/33 (b)(c)(d)  | 5722000  | 5576112  |
|  Cent CLO LP Series 2021-21A Class A1R3, 3 month U.S. LIBOR + 0.970% 5.328% 7/27/30 (b)(c)(d)  | 4073443  | 4006276  |
|  Chesapeake Funding II LLC:  |  |  |
|  Series 2020-1A Class A1, 0.87% 8/15/32 (b)  | 1443165  | 1415300  |
|  Series 2021-1A Class A2, 1 month U.S. LIBOR + 0.230% 4.1053% 4/15/33 (b)(c)(d)  | 2061981  | 2052906  |
|  CIFC Funding Ltd. / CIFC Funding LLC Series 2021-4A Class A, 3 month U.S. LIBOR + 1.050% 5.1291% 7/15/33 (b)(c)(d)  | 1360000  | 1334720  |
|  CIM Trust Series 2020-INV1 Class A2, 2.5% 4/25/50 (b)  | 200524  | 165806  |
|  CNH Equipment Trust:  |  |  |
|  Series 2020-A Class A4, 1.51% 4/15/27  | 590000  | 558293  |
|  Series 2021-C Class A2, 0.33% 1/15/25  | 1979507  | 1944605  |
|  Connecticut Avenue Securities Trust Series 2022-R06 Class 1M1, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 2.750% 6.2708% 5/25/42 (b)(c)(d)  | 595864  | 595864  |
|  Daimler Trucks Retail Trust:  |  |  |
|  Series 2020-1 Class A4, 1.37% 6/15/27  | 1820000  | 1808336  |
|  Series 2022-1 Class A2, 5.07% 9/16/24  | 3000000  | 2994639  |
|  Dell Equipment Finance Trust:  |  |  |
|  Series 2020-2 Class A3, 0.57% 10/23/23 (b)  | 952748  | 940166  |
|  Series 2021-1 Class A3, 0.43% 5/22/26 (b)  | 1601000  | 1562026  |
|  Dell Equipment Finance Trust 2022-2 4.03% 7/22/27 (b)  | 5000000  | 4947100  |
|  DLLAD LLC Series 2021-1A Class A2, 0.35% 9/20/24 (b)  | 1212193  | 1190183  |
|  DLLMT LLC Series 2021-1A Class A2, 0.6% 3/20/24 (b)  | 4254480  | 4195058  |
|  Donlen Fleet Lease Funding Series 2021-2 Class A1, 1 month U.S. LIBOR + 0.330% 4.1887% 12/11/34 (b)(c)(d)  | 2358198  | 2345927  |
|  Drive Auto Receivables Trust:  |  |  |
|  Series 2021-1 Class D, 1.45% 1/16/29  | 630000  | 586505  |
|  Series 2021-2 Class D, 1.39% 3/15/29  | 785000  | 714666  |
|  Series 2021-3 Class A2, 0.52% 1/15/25  | 20004  | 19971  |
|  Dryden CLO, Ltd. / Dryden CLO, LLC Series 2021-86A Class A1R, 3 month U.S. LIBOR + 1.100% 5.1791% 7/17/34 (b)(c)(d)  | 1055000  | 1023639  |
|  Eagle Re Ltd. Series 2021-2 Class M1A, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.550% 5.0969% 4/25/34 (b)(c)(d)  | 460000  | 454741  |
|  Eaton Vance CLO, Ltd. Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.100% 5.1791% 4/15/31 (b)(c)(d)  | 3935000  | 3849378  |
|  Elara HGV Timeshare Issuer LLC Series 2017-A Class A, 2.69% 3/25/30 (b)  | 324302  | 310350  |
|  Enterprise Fleet Financing LLC:  |  |  |
|  Series 2019-3 Class A2, 2.06% 5/20/25 (b)  | 38476  | 38373  |
|  Series 2020-1 Class A2, 1.78% 12/22/25 (b)  | 1068818  | 1060968  |
|  Series 2020-2 Class A2, 0.61% 7/20/26 (b)  | 1683033  | 1635003  |
|  Series 2021-1 Class A2, 0.44% 12/21/26 (b)  | 760785  | 733255  |
|  Series 2021-2 Class A2, 0.48% 5/20/27 (b)  | 2556388  | 2428841  |
|  Series 2022-3 Class A2, 4.38% 7/20/29 (b)  | 496000  | 482813  |
|  Exeter Automobile Receivables:  |  |  |
|  Series 2022-2A Class C, 3.85% 7/17/28  | 1285000  | 1217619  |
|  Series 2022-6A Class A3, 5.7% 8/17/26  | 170000  | 169982  |
|  Exeter Automobile Receivables Trust:  |  |  |
|  Series 2021-3A Class D, 1.55% 6/15/27  | 660000  | 581210  |
|  Series 2022-1A Class D, 3.02% 6/15/28  | 1350000  | 1215756  |
|  Ford Credit Auto Lease Trust Series 2022-A:  |  |  |
|  Class A2B, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.600% 3.8177% 10/15/24 (c)(d)  | 2359505  | 2356864  |
|  Class C, 4.18% 10/15/25  | 2030000  | 1962997  |
|  Ford Credit Auto Owner Trust:  |  |  |
|  Series 2020-2 Class C, 1.74% 4/15/33 (b)  | 570000  | 487504  |
|  Series 2020-B Class C, 2.04% 12/15/26  | 1270000  | 1207617  |
|  Series 2022-D Class A2A, 5.37% 8/15/25  | 5000000  | 5000527  |
|  FORDO Series 2022-B Class A2B, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.840% 3.8177% 2/15/25 (c)(d)  | 3348000  | 3347988  |
|  Freddie Mac STACR REMIC Trust:  |  |  |
|  Series 2022-DNA3 Class M1A, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 2.000% 5.5208% 4/25/42 (b)(c)(d)  | 1211263  | 1196966  |
|  Series 2022-DNA4 Class M1A, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 2.200% 5.7469% 5/25/42 (b)(c)(d)  | 1331935  | 1322804  |
|  GM Financial Automobile Leasing Trust:  |  |  |
|  Series 2020-2 Class C, 2.56% 7/22/24  | 445000  | 443178  |
|  Series 2022-2 Class A2, 2.93% 10/21/24  | 3104611  | 3060926  |
|  GM Financial Consumer Automobile Receivables Series 2022-2 Class A2, 2.52% 5/16/25  | 3093955  | 3052780  |
|  GM Financial Consumer Automobile Receivables Trust:  |  |  |
|  Series 2020-2 Class A3, 1.49% 12/16/24  | 107396  | 106178  |
|  Series 2020-4 Class C, 1.05% 5/18/26  | 420000  | 385244  |
|  Series 2022-3 Class A2A, 3.5% 9/16/25  | 6796000  | 6709293  |
|  GMF Floorplan Owner Revolving Trust:  |  |  |
|  Series 2020-1 Class A, 0.68% 8/15/25 (b)  | 1480000  | 1431851  |
|  Series 2020-2 Class A, 0.69% 10/15/25 (b)  | 3238000  | 3095375  |
|  Hardee's Funding LLC / Carl's Jr. Funding LLC Series 2018-1A Class A2II, 4.959% 6/20/48 (b)  | 211200  | 198175  |
|  Hilton Grand Vacations Trust:  |  |  |
|  Series 2017-AA:  |  |  |
|  Class A, 2.66% 12/26/28 (b) <br>| 87780  | 86138  |
|  Class B, 2.96% 12/26/28 (b) <br>| 133881  | 130243  |
|  Series 2020-AA:  |  |  |
|  Class A, 2.74% 2/25/39 (b) <br>| 396373  | 372005  |
|  Class B, 4.22% 2/25/39 (b) <br>| 610691  | 586701  |
|  Home Partners of America Trust Series 2022-1 Class A, 3.93% 4/17/39 (b)  | 1927921  | 1801656  |
|  HPEFS Equipment Trust:  |  |  |
|  Series 2021-2A Class A2, 0.3% 9/20/28 (b)  | 624146  | 619835  |
|  Series 2022-3A Class A2, 5.26% 8/20/29 (b)  | 2744000  | 2732725  |
|  Hyundai Auto Lease Securitization Trust:  |  |  |
|  Series 2021-B Class A2, 0.19% 10/16/23 (b)  | 580409  | 579463  |
|  Series 2022-B Class A2B, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.150% 3.8377% 10/15/24 (b)(c)(d)  | 1809731  | 1807633  |
|  Hyundai Auto Receivables Trust:  |  |  |
|  Series 2020-A Class A3, 1.41% 11/15/24  | 317216  | 312808  |
|  Series 2022-B Class A2A, 3.64% 5/15/25  | 4064000  | 4020606  |
|  Series 2022-C Class A2A, 5.35% 11/17/25  | 3530000  | 3527279  |
|  John Deere Owner Trust:  |  |  |
|  Series 2022-C Class A2, 4.98% 8/15/25  | 2000000  | 1992519  |
|  3.73% 6/16/25  | 5413000  | 5341983  |
|  KKR CLO Ltd. / KKR CLO LLC Series 2021-29A Class A, 3 month U.S. LIBOR + 1.200% 5.2791% 1/15/32 (b)(c)(d)  | 1250000  | 1224923  |
|  KKR Finanical CLO Ltd. Series 13 Class A1R, 3 month U.S. LIBOR + 0.800% 4.8791% 1/16/28 (b)(c)(d)  | 417405  | 413776  |
|  KKR Industrial Portfolio Trust Series 2021-KDIP Class C, 1 month U.S. LIBOR + 1.000% 4.8753% 12/15/37 (b)(c)(d)  | 1061250  | 1001550  |
|  Kubota Credit Owner Trust Series 2020-1A Class A3, 1.96% 3/15/24 (b)  | 122255  | 121212  |
|  Madison Park Funding XXIII, Ltd. Series 2021-23A:  |  |  |
|  Class AR, 3 month U.S. LIBOR + 0.970% 5.328% 7/27/31 (b)(c)(d)  | 1240000  | 1222583  |
|  Class BR, 3 month U.S. LIBOR + 1.550% 5.908% 7/27/31 (b)(c)(d)  | 800000  | 776694  |
|  Madison Park Funding XXXII, Ltd. / Madison Park Funding XXXII LLC Series 2021-32A Class A1R, 3 month U.S. LIBOR + 1.000% 5.3246% 1/22/31 (b)(c)(d)  | 3229000  | 3169244  |
|  Madison Park Funding XXXIII Ltd. Series 2022-33A Class AR, CME TERM SOFR 3 MONTH INDEX + 1.290% 5.1536% 10/15/32 (b)(c)(d)  | 1910000  | 1859154  |
|  Madison Park Funding XXXV Ltd. / Madison Park Funding XXXV LLC Series 2021-35A Class A1R, 3 month U.S. LIBOR + 0.990% 5.2326% 4/20/32 (b)(c)(d)  | 1650000  | 1615253  |
|  Magnetite XXV Ltd. Series 2020-25A Class A, 3 month U.S. LIBOR + 1.200% 5.5584% 1/25/32 (b)(c)(d)  | 1015000  | 997456  |
|  Mercedes-Benz Auto Lease Trust Series 2021-B Class A2, 0.22% 1/16/24  | 1915048  | 1907891  |
|  Mercedes-Benz Auto Receivables Series 2022-1 Class A2, 5.26% 10/15/25  | 3639000  | 3634259  |
|  MF1 Multifamily Housing Mortgage Loan Trust Series 2021-FL7 Class A, 1 month U.S. LIBOR + 1.080% 5.0186% 10/16/36 (b)(c)(d)  | 800000  | 759430  |
|  MFRA Trust Series 2021-INV1 Class A1, 0.852% 1/25/56 (b)(c)  | 242399  | 210592  |
|  MMAF Equipment Finance LLC Series 2022-B Class A2, 5.57% 9/9/25 (b)  | 1507000  | 1507358  |
|  MVW LLC Series 2020-1A Class B, 2.73% 10/20/37 (b)  | 299861  | 274539  |
|  MVW Owner Trust:  |  |  |
|  Series 2017-1A:  |  |  |
|  Class A, 2.42% 12/20/34 (b) <br>| 223952  | 218094  |
|  Class B, 2.75% 12/20/34 (b) <br>| 13174  | 12771  |
|  Class C, 2.99% 12/20/34 (b) <br>| 31617  | 30585  |
|  Series 2021-1WA Class C, 1.94% 1/22/41 (b)  | 197411  | 175832  |
|  Navient Private Education Loan Trust:  |  |  |
|  Series 2019-D Class A2A, 3.01% 12/15/59 (b)  | 350830  | 319897  |
|  Series 2020-CA Class A2A, 2.15% 11/15/68 (b)  | 2323606  | 2055910  |
|  Series 2020-IA Class A1A, 1.33% 4/15/69 (b)  | 471559  | 400769  |
|  Navient Private Education Refi Loan Trust:  |  |  |
|  Series 2019-A Class A2A, 3.42% 1/15/43 (b)  | 880798  | 837357  |
|  Series 2019-GA Class A, 2.4% 10/15/68 (b)  | 268615  | 245318  |
|  Series 2020-DA Class A, 1.69% 5/15/69 (b)  | 423887  | 379135  |
|  Series 2022-A Class A, 2.23% 7/15/70 (b)  | 1610771  | 1398900  |
|  Navient Student Loan Trust:  |  |  |
|  Series 2017-A Class A2A, 2.88% 12/16/58 (b)  | 354402  | 347175  |
|  Series 2019-EA Class A2A, 2.64% 5/15/68 (b)  | 710580  | 667940  |
|  Nelnet Student Loan Trust:  |  |  |
|  Series 2005-4 Class A4, 3 month U.S. LIBOR + 0.180% 3.7817% 3/22/32 (c)(d)  | 470091  | 455277  |
|  Series 2020-1A Class A, 1 month U.S. LIBOR + 0.740% 4.7561% 3/26/68 (b)(c)(d)  | 263069  | 255194  |
|  Series 2021-CA Class AFX, 1.32% 4/20/62 (b)  | 1304470  | 1147006  |
|  Series 2021-DA Class AFX, 1.63% 4/20/62 (b)  | 459078  | 408092  |
|  Neuberger Berman Loan Advisers CLO 40, Ltd. / Neuberger Berman Loan Advisers CLO 40 LLC Series 2021-40A Class A, 3 month U.S. LIBOR + 1.060% 5.1391% 4/16/33 (b)(c)(d)  | 455000  | 445530  |
|  Neuberger Berman Loan Advisers CLO, Ltd. Series 2021-26A Class AR, 3 month U.S. LIBOR + 0.920% 5.1137% 10/18/30 (b)(c)(d)  | 825000  | 811453  |
|  Niagara Park CLO, Ltd. Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.000% 5.0791% 7/17/32 (b)(c)(d)  | 4100000  | 3994003  |
|  Nissan Auto Receivables Trust Series 2020-A Class A3, 1.38% 12/16/24  | 159889  | 157576  |
|  OCP CLO Ltd. Series 2014-7A Class A1RR, 3 month U.S. LIBOR + 1.120% 5.3626% 7/20/29 (b)(c)(d)  | 2373402  | 2336441  |
|  OCP CLO Ltd. / OCP CLO LLC Series 2021-13A Class A2R, 5.6291% 7/15/30 (b)(c)  | 1320000  | 1268669  |
|  Octane Receivables Trust:  |  |  |
|  Series 2021-2A Class A, 1.21% 9/20/28 (b)  | 423295  | 403299  |
|  Series 2022-1A Class B, 4.9% 5/22/28 (b)  | 780000  | 749595  |
|  Palmer Square CLO, Ltd. Series 2021-3A Class A1AR, 3 month U.S. LIBOR + 1.080% 5.6861% 11/15/31 (b)(c)(d)  | 2570000  | 2519595  |
|  Palmer Square Loan Funding, Ltd. Series 2021-2A Class A1, 3 month U.S. LIBOR + 0.800% 5.4754% 5/20/29 (b)(c)(d)  | 2908978  | 2868045  |
|  Planet Fitness Master Issuer LLC Series 2018-1A Class A2II, 4.666% 9/5/48 (b)  | 1492800  | 1393869  |
|  Progress Residential:  |  |  |
|  Series 2020-SFR2 Class A, 2.078% 6/17/37 (b)  | 269667  | 247003  |
|  Series 2022-SFR6 Class A, 4.451% 7/20/39 (b)  | 1000000  | 949462  |
|  Santander Bank, N.A.:  |  |  |
|  Series 2021-1A Class B, 1.833% 12/15/31 (b)  | 163780  | 157164  |
|  Series 2022-B Class C, 5.916% 8/16/32 (b)  | 355351  | 353374  |
|  Santander Consumer Auto Receivables Trust 1.57% 1/15/27 (b)  | 801000  | 718622  |
|  Santander Drive Auto Receivables Trust:  |  |  |
|  Series 2020-4 Class C, 1.01% 1/15/26  | 485646  | 479740  |
|  Series 2021-4 Class D, 1.67% 10/15/27  | 1310000  | 1196758  |
|  Series 2022-1 Class C, 2.56% 4/17/28  | 1630000  | 1548809  |
|  Series 2022-2 Class C, 3.76% 7/16/29  | 1990000  | 1871074  |
|  Series 2022-5 Class A2, 3.98% 1/15/25  | 1931000  | 1916783  |
|  Series 2022-6 Class C, 4.96% 11/15/28  | 1800000  | 1735320  |
|  Santander Retail Auto Lease Trust:  |  |  |
|  Series 2020-A Class D, 2.52% 11/20/24 (b)  | 720000  | 708853  |
|  Series 2021-A:  |  |  |
|  Class A2, 0.32% 2/20/24 (b) <br>| 592499  | 589129  |
|  Class C, 1.14% 3/20/26 (b) <br>| 1815000  | 1703459  |
|  Series 2021-B Class A2, 0.31% 1/22/24 (b)  | 509073  | 505935  |
|  Series 2021-C:  |  |  |
|  Class A2, 0.29% 4/22/24 (b) <br>| 557200  | 555447  |
|  Class C, 1.11% 3/20/26 (b) <br>| 630000  | 579365  |
|  Series 2022-B Class B, 3.85% 3/22/27 (b)  | 445000  | 427687  |
|  SBA Tower Trust:  |  |  |
|  Series 2019, 2.836% 1/15/50 (b)  | 1590000  | 1496293  |
|  1.631% 5/15/51 (b)  | 495000  | 420014  |
|  1.884% 7/15/50 (b)  | 365000  | 321001  |
|  6.599% 1/15/28 (b)  | 550000  | 552443  |
|  SG Residential Mortgage Trust Series 2019-3 Class A2, 2.877% 9/25/59 (b)  | 249669  | 239218  |
|  Sierra Receivables Funding Co. LLC:  |  |  |
|  Series 2019-1A Class A, 3.2% 1/20/36 (b)  | 98675  | 94633  |
|  Series 2019-2A Class A, 2.59% 5/20/36 (b)  | 614741  | 590995  |
|  Sierra Timeshare Receivables Funding LLC:  |  |  |
|  Series 2019-3A Class A, 2.34% 8/20/36 (b)  | 145073  | 135992  |
|  Series 2020-2A Class C, 3.51% 7/20/37 (b)  | 197712  | 186109  |
|  Series 2021-1A Class B, 1.34% 11/20/37 (b)  | 202542  | 184837  |
|  SMB Private Education Loan Trust:  |  |  |
|  Series 2014-A Class A3, 1 month U.S. LIBOR + 1.500% 5.3753% 4/15/32 (b)(c)(d)  | 640516  | 639147  |
|  Series 2016-C Class A2B, 1 month U.S. LIBOR + 1.100% 4.9731% 9/15/34 (b)(c)(d)  | 398030  | 395883  |
|  Series 2018-B Class A2B, 1 month U.S. LIBOR + 0.720% 4.5931% 1/15/37 (b)(c)(d)  | 908695  | 885199  |
|  Series 2020-BA Class A1A, 1.29% 7/15/53 (b)  | 289720  | 254882  |
|  Series 2020-PTB Class A2A, 1.6% 9/15/54 (b)  | 1806843  | 1595281  |
|  Symphony CLO XXI, Ltd. Series 2021-21A Class AR, 3 month U.S. LIBOR + 1.060% 5.1391% 7/15/32 (b)(c)(d)  | 3117000  | 3044471  |
|  Symphony CLO XXIII Ltd. Series 2021-23A Class AR, 3 month U.S. LIBOR + 1.020% 5.0991% 1/15/34 (b)(c)(d)  | 6116000  | 5988940  |
|  Symphony CLO XXVI Ltd. / Symphony CLO XXVI LLC Series 2021-26A Class AR, 3 month U.S. LIBOR + 1.080% 5.3226% 4/20/33 (b)(c)(d)  | 465000  | 450865  |
|  Symphony Static CLO Ltd. Series 2021-1A Class B, 3 month U.S. LIBOR + 1.450% 5.8084% 10/25/29 (b)(c)(d)  | 1385000  | 1326273  |
|  TCI-Flatiron CLO Ltd. / LLC Series 2021-1A Class AR, 3 month U.S. LIBOR + 0.960% 5.6097% 11/18/30 (b)(c)(d)  | 4292000  | 4219448  |
|  TCI-Symphony CLO Series 2021-1A Class AR, 3 month U.S. LIBOR + 0.920% 5.0091% 7/15/30 (b)(c)(d)  | 4563712  | 4480666  |
|  Tesla Series 2020-A Class A3, 0.68% 12/20/23 (b)  | 594430  | 592007  |
|  Tesla Auto Lease Trust:  |  |  |
|  Series 2021-A Class A2, 0.36% 3/20/25 (b)  | 1571171  | 1553752  |
|  Series 2021-B Class A2, 0.36% 9/22/25 (b)  | 3123838  | 3050894  |
|  Towd Point Mortgage Trust:  |  |  |
|  Series 2017-1 Class A1, 2.75% 10/25/56 (b)(c)  | 80320  | 78799  |
|  Series 2019-1 Class A1, 3.7088% 3/25/58 (b)(c)  | 514495  | 476109  |
|  Toyota Auto Receivables Series 2022-D Class A2A, 5.27% 1/15/26  | 3850000  | 3847508  |
|  Toyota Auto Receivables 2022-B Series 2022-B Class A2B, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.000% 3.7077% 1/15/25 (c)(d)  | 1668235  | 1664596  |
|  Verizon Master Trust Series 2022-5 Class A1A, 3.72% 7/20/27  | 1588000  | 1558051  |
|  Verizon Owner Trust Series 2020-A Class A1A, 1.85% 7/22/24  | 1046400  | 1041557  |
|  Volkswagen Auto Loan Enhanced Trust:  |  |  |
|  Series 2020-1 Class A4, 1.26% 8/20/26  | 545000  | 522864  |
|  Series 2021-1 Class A2, 0.49% 10/21/24  | 3437378  | 3397741  |
|  Voya CLO Ltd. Series 2021-1A Class A1R, 3 month U.S. LIBOR + 0.950% 5.0291% 4/17/30 (b)(c)(d)  | 4240122  | 4168155  |
|  Wheels SPV LLC Series 2021-1A Class A, 1 month U.S. LIBOR + 0.280% 4.2186% 8/20/29 (b)(c)(d)  | 1905559  | 1891206  |
|  World Omni Auto Receivables Trust:  |  |  |
|  Series 2020-A Class C, 1.64% 8/17/26  | 480000  | 453780  |
|  Series 2022-A Class C, 2.55% 9/15/28  | 600000  | 556268  |
|  Series 2022-B, Class A2B, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.050% 3.7877% 10/15/25 (c)(d)  | 3347000  | 3337304  |
|  World Omni Select Auto Trust Series 2020-A:  |  |  |
|  Class B, 0.84% 6/15/26  | 510000  | 491215  |
|  Class C, 1.25% 10/15/26  | 585000  | 550117  |
| <br> **TOTAL ASSET-BACKED SECURITIES** <br> (Cost $291,200,045)  |  | **283138740**  |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **Collateralized Mortgage Obligations - 1.4%**  | &nbsp;&nbsp; **Collateralized Mortgage Obligations - 1.4%**  | &nbsp;&nbsp; **Collateralized Mortgage Obligations - 1.4%**  |
|  | Principal <br> Amount (a) <br>| Value ($) <br>|
| Private Sponsor - 1.2%  |  |  |
|  Angel Oak Mortgage Trust:  |  |  |
|  sequential payer:  |  |  |
|  Series 2019-4 Class A3, 3.301% 7/26/49 (b) <br>| 31012  | 30702  |
|  Series 2021-1: <br>|  |  |
|  Class A1, 0.909% 1/25/66 (b) <br>| 597761  | 471540  |
|  Class A2, 1.115% 1/25/66 (b) <br>| 174813  | 137736  |
|  Series 2021-2 Class A1, 0.985% 4/25/66 (b) <br>| 484210  | 384613  |
|  Series 2021-3 Class A1, 1.068% 5/25/66 (b)  | 391887  | 312388  |
|  Series 2021-6 Class A3, 1.714% 9/25/66 (b)  | 412230  | 304713  |
|  Angel Oak Mortgage Trust LLC:  |  |  |
|  Series 2020-3 Class A3, 2.872% 4/25/65 (b)(c)  | 517547  | 463685  |
|  Series 2022-2 Class A1, 3.353% 1/25/67 (b)(c)  | 1808173  | 1622000  |
|  Barclays Mortgage Loan Trust sequential payer Series 2021-NQM1 Class A1, 1.747% 9/25/51 (b)  | 1030406  | 853353  |
|  Bayview MSR Opportunity Master Fund Trust sequential payer:  |  |  |
|  Series 2021-1 Class A5, 2.5% 12/25/51 (b)  | 844057  | 721273  |
|  Series 2021-5 Class A5, 2.5% 11/25/51 (b)  | 1674546  | 1430952  |
|  BINOM Securitization Trust sequential payer Series 2021-INV1:  |  |  |
|  Class A2, 2.37% 6/25/56 (b)  | 1167319  | 971302  |
|  Class A3, 2.625% 6/25/56 (b)  | 366218  | 304085  |
|  Brass PLC Series 2021-10A Class A1, 0.669% 4/16/69 (b)(c)  | 556786  | 528964  |
|  BRAVO Residential Funding Trust sequential payer Series 2021-NQM3 Class A1, 1.699% 4/25/60 (b)  | 582021  | 504771  |
|  Cascade Funding Mortgage Trust sequential payer Series 2022-EBO2 Class A, 3.169% 7/25/54 (b)  | 859784  | 839502  |
|  CFMT 2022-Hb8 LLC sequential payer Series 2022-HB8 Class A, 3.75% 4/25/25 (b)  | 3420717  | 3292440  |
|  CIM Trust Series 2021-INV1 Class A8, 2.5% 7/1/51 (b)  | 414624  | 354309  |
|  Citigroup Mortgage Loan Trust Series 2020-EXP2 Class A3, 2.5% 8/25/50 (b)  | 220378  | 182505  |
|  Colt Funding LLC Series 2021-1 Class A2, 1.167% 6/25/66 (b)  | 467513  | 371128  |
|  COLT Funding LLC Series 2021-3 Class A3, 1.419% 9/27/66 (b)(c)  | 361908  | 271305  |
|  COLT Mortgage Loan Trust sequential payer Series 2020-3 Class A1, 1.506% 4/27/65 (b)  | 80238  | 72550  |
|  Connecticut Avenue Securities floater Series 2022-R03 Class 1M1, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 2.100% 5.6208% 3/25/42 (b)(c)(d)  | 930921  | 919770  |
|  Connecticut Avenue Securities Trust floater:  |  |  |
|  Series 2022-R01 Class 1M1, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.000% 4.5208% 12/25/41 (b)(c)(d)  | 1713520  | 1682561  |
|  Series 2022-R07 Class 1M1, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 2.950% 6.4969% 6/25/42 (b)(c)(d)  | 1029177  | 1033685  |
|  Series 2022-R08 Class 1M1, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 2.550% 6.0708% 7/25/42 (b)(c)(d)  | 427653  | 424201  |
|  Deephaven Residential Mortgage Trust:  |  |  |
|  Series 2021-1 Class A2, 0.973% 5/25/65 (b)  | 105066  | 92488  |
|  Series 2021-2:  |  |  |
|  Class A1, 0.899% 4/25/66 (b) <br>| 201685  | 164492  |
|  Class A3, 1.26% 4/25/66 (b) <br>| 224735  | 178151  |
|  Ellington Financial Mortgage Trust:  |  |  |
|  Series 2019-2 Class A3, 3.046% 11/25/59 (b)  | 93361  | 84147  |
|  Series 2021-1:  |  |  |
|  Class A1, 0.797% 2/25/66 (b) <br>| 125331  | 98718  |
|  Class A3, 1.106% 2/25/66 (b) <br>| 104442  | 81031  |
|  Series 2021-2:  |  |  |
|  Class A1, 0.931% 6/25/66 (b)(c) <br>| 293913  | 229134  |
|  Class A3, 1.291% 6/25/66 (b) <br>| 284223  | 213128  |
|  Series 2021-3:  |  |  |
|  Class A1, 1.241% 9/25/66 (b) <br>| 397782  | 305649  |
|  Class A3, 1.55% 9/25/66 (b) <br>| 282958  | 210152  |
|  Finance of America HECM Buyout sequential payer Series 2022-HB1 Class A, 2.6948% 2/25/32 (b)(c)  | 3369442  | 3238026  |
|  Flagstar Mortgage Trust floater sequential payer Series 2020-1INV Class A11, 1 month U.S. LIBOR + 0.850% 4.4356% 3/25/50 (b)(c)(d)  | 242832  | 220666  |
|  Galton Funding Mortgage Trust:  |  |  |
|  sequential payer:  |  |  |
|  Series 2019-H1 Class M1, 3.339% 10/25/59 (b)(f) <br>| 600000  | 510682  |
|  Series 2020-H1 Class M1, 2.832% 1/25/60 (b) <br>| 625000  | 454005  |
|  Series 2019-1:  |  |  |
|  Class A21, 4.5% 2/25/59 (b) <br>| 66536  | 63393  |
|  Class A32, 4% 2/25/59 (b) <br>| 33633  | 31513  |
|  GMRF Mortgage Acquisition Co., LLC Series 2018-1 Class A33, 3.5% 11/25/57 (b)  | 70213  | 62287  |
|  GS Mortgage-Backed Securites Trust:  |  |  |
|  sequential payer Series 2021-HP1 Class A6, 2.5% 1/25/52 (b)(c)  | 521627  | 445421  |
|  Series 2014-EB1A Class 2A1, 2.1748% 7/25/44 (b)(c)  | 8488  | 8491  |
|  Series 2021-GR2 Class A6, 2.5% 2/25/52 (b)(c)  | 907648  | 775046  |
|  GS Mortgage-Backed Securities Trust:  |  |  |
|  Series 2021-PJ5 Class A8, 2.5% 10/25/51 (b)(c)  | 1244621  | 1100906  |
|  Series 2022-GR1 Class A5, 2.5% 6/25/52 (b)  | 1787420  | 1516235  |
|  Homeward Opportunities Fund Trust sequential payer Series 2020-2 Class A1, 1.657% 5/25/65 (b)(c)  | 19618  | 19390  |
|  Hundred Acre Wood Trust Series 2021-INV1 Class A9, 2.5% 7/25/51 (b)(c)  | 806378  | 688067  |
|  Imperial Fund Mortgage Trust:  |  |  |
|  sequential payer Series 2022-NQM4 Class A1, 4.767% 6/25/67 (b)  | 1526707  | 1481491  |
|  Series 2021-NQM2 Class A3, 1.516% 9/25/56 (b)  | 473792  | 346654  |
|  J.P. Morgan Mortgage Trust Series 2020-INV1 Class A15, 3.5% 8/25/50 (b)  | 173881  | 148562  |
|  Metlife Securitization Trust Series 2017-1A Class A, 3% 4/25/55 (b)  | 177586  | 163973  |
|  MFRA Trust Series 2021-NQM2 Class A2, 1.317% 11/25/64 (b)  | 229003  | 181102  |
|  Mill City Mortgage Loan Trust Series 2017-2 Class A1, 2.75% 7/25/59 (b)  | 68120  | 66216  |
|  New Residential Mortgage Loan Trust:  |  |  |
|  sequential payer Series 2019-NQM5 Class A1, 2.7099% 11/25/59 (b)  | 327859  | 294656  |
|  Series 2021-INV1 Class A6, 2.5% 6/25/51 (b)  | 539676  | 460495  |
|  NMLT Trust sequential payer Series 2021-INV2 Class A3, 1.52% 8/25/56 (b)  | 415121  | 331035  |
|  OBX Trust:  |  |  |
|  floater Series 2020-EXP1 Class 2A2, 1 month U.S. LIBOR + 0.950% 4.9936% 2/25/60 (b)(c)(d)  | 203678  | 186428  |
|  sequential payer Series 2021-NQM3 Class A1, 1.054% 7/25/61 (b)  | 374849  | 280396  |
|  Series 2020-EXP1 Class 1A8, 3.5% 2/25/60 (b)(c)  | 358963  | 314524  |
|  Series 2020-EXP2:  |  |  |
|  Class A8, 3% 5/25/60 (b) <br>| 436162  | 374145  |
|  Class A9, 3% 5/25/60 (b) <br>| 107299  | 91592  |
|  Series 2020-INV1 Class A5, 3.5% 12/25/49 (b)  | 98377  | 84930  |
|  Oceanview Mortgage Trust sequential payer Series 2021-2 Class A5, 2.5% 6/25/51 (b)  | 804203  | 687217  |
|  Onslow Bay Financial LLC:  |  |  |
|  floater Series 2019-EXP2 Class 2A2, 1 month U.S. LIBOR + 1.200% 4.7856% 6/25/59 (b)(c)(d)  | 166511  | 157176  |
|  sequential payer:  |  |  |
|  Series 2021-J1 Class A4, 2.5% 5/25/51 (b) <br>| 918393  | 784796  |
|  Series 2021-NQM1: <br>|  |  |
|  Class A1, 1.072% 2/25/66 (b) <br>| 593456  | 470547  |
|  Class A2, 1.175% 2/25/66 (b) <br>| 315908  | 248667  |
|  PSMC Trust sequential payer Series 2021-1 Class A11, 2.5% 3/25/51 (b)(c)  | 1311363  | 1146247  |
|  Residential Mortgage Loan Trust Series 2021-INV2 Class A7, 2.5% 9/25/51 (b)  | 1596058  | 1361886  |
|  Sequoia Mortgage Trust:  |  |  |
|  sequential payer Series 2018-CH2 Class A3, 4% 6/25/48 (b)  | 115719  | 105805  |
|  Series 2018-CH2 Class A21, 4% 6/25/48 (b)  | 51638  | 47121  |
|  Series 2018-CH3 Class A19, 4.5% 8/25/48 (b)  | 9048  | 8768  |
|  Series 2018-CH4 Class A2, 4% 10/25/48 (b)  | 5876  | 5799  |
|  SG Residential Mortgage Trust:  |  |  |
|  sequential payer Series 2022-1 Class A1, 3.166% 3/27/62 (b)  | 1167438  | 1037628  |
|  Series 2020-2 Class A1, 1.381% 5/25/65 (b)  | 192589  | 165341  |
|  Starwood Mortgage Residential Trust:  |  |  |
|  sequential payer Series 2019-INV1 Class A3, 2.916% 9/27/49 (b)  | 388376  | 366623  |
|  Series 2020-1 Class A2, 2.408% 2/25/50 (b)  | 443247  | 396447  |
|  Series 2021-2 Class A1, 0.943% 5/25/65 (b)  | 472976  | 412088  |
|  Series 2021-4 Class A1, 1.162% 8/25/56 (b)  | 1175906  | 938477  |
|  Toorak Mortgage Corp. Series 2021-INV1 Class A2, 1.409% 7/25/56 (b)  | 221448  | 172137  |
|  Towd Point Mortgage Trust:  |  |  |
|  Series 2017-2 Class A1, 2.75% 4/25/57 (b)(c)  | 52669  | 51208  |
|  Series 2017-3 Class A1, 2.75% 7/25/57 (b)(c)  | 189037  | 181379  |
|  United Wholesale Mortgage LLC sequential payer Series 2021-INV2 Class A4, 2.5% 9/25/51 (b)  | 274681  | 234380  |
|  Verus Securitization Trust:  |  |  |
|  sequential payer:  |  |  |
|  Series 2020-2 Class A1, 2.226% 5/25/60 (b) <br>| 249716  | 238768  |
|  Series 2020-INV1 Class A1, 1.977% 3/25/60 (b) <br>| 116812  | 112814  |
|  Series 2019-INV2 Class A2, 3.117% 7/25/59 (b)  | 318385  | 303097  |
|  Series 2020-5 Class A3, 1.733% 5/25/65 (b)  | 156294  | 137447  |
|  Series 2021-1:  |  |  |
|  Class A2, 1.052% 1/25/66 (b) <br>| 230093  | 182614  |
|  Class A3, 1.155% 1/25/66 (b) <br>| 135964  | 106598  |
|  Series 2021-2 Class A1, 1.031% 2/25/66 (b)  | 330331  | 266502  |
|  Series 2021-5 Class A3, 1.373% 9/25/66 (b)  | 396242  | 299952  |
|  Series 2021-7 Class A1, 1.829% 10/25/66 (b)  | 1523490  | 1261944  |
|  Series 2021-R1 Class A2, 1.057% 10/25/63 (b)  | 104653  | 90076  |
|  Series 2021-R2 Class A1, 0.918% 2/25/64 (b)  | 343115  | 289548  |
|  Series 2022-1 Class A3, 3.288% 1/25/67 (b)  | 1742830  | 1431189  |
|  Series 2022-6 Class A1, 4.91% 6/25/67 (b)  | 631372  | 611042  |
|  Vista Point Securitization Trust sequential payer Series 2020-2 Class A3, 2.496% 4/25/65 (b)  | 886430  | 789380  |
|  Wells Fargo Mortgage Backed Securities Trust Series 2021-RR1 Class A3, 2.5% 12/25/50 (b)(c)  | 1082955  | 926096  |
|  TOTAL PRIVATE SPONSOR  |  | 50110254  |
| U.S. Government Agency - 0.2%  |  |  |
|  Fannie Mae:  |  |  |
|  floater Series 2022-R04 Class 1M1, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 2.000% 5.5208% 3/25/42 (b)(c)(d)  | 619950  | 614480  |
|  Series 2017-90 Class KA, 3% 11/25/47  | 463910  | 436288  |
|  Fannie Mae Connecticut Avenue Securities floater:  |  |  |
|  Series 2017-C02 Class 2ED3, 1 month U.S. LIBOR + 1.350% 5.3661% 9/25/29 (c)(d)  | 39104  | 38728  |
|  Series 2017-C04 Class 2ED2, 1 month U.S. LIBOR + 1.100% 5.1161% 11/25/29 (c)(d)  | 830366  | 810633  |
|  Series 2017-C05 Class 1ED3, 1 month U.S. LIBOR + 1.200% 5.2161% 1/25/30 (c)(d)  | 27235  | 27117  |
|  FHLMC Structured Agency Credit Risk Debt Notes floater Series 2014-DN3 Class M3, 1 month U.S. LIBOR + 4.000% 8.0161% 8/25/24 (c)(d)  | 121736  | 122690  |
|  Freddie Mac planned amortization class Series 3713 Class PA, 2% 2/15/40  | 155473  | 154248  |
|  Freddie Mac STACR REMIC Trust floater:  |  |  |
|  Series 2021-DNA2 Class M1, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.800% 4.3208% 8/25/33 (b)(c)(d)  | 85617  | 85373  |
|  Series 2021-DNA3 Class M2, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 2.100% 5.6208% 10/25/33 (b)(c)(d)  | 690000  | 651505  |
|  Series 2021-DNA5 Class M2, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.650% 5.1708% 1/25/34 (b)(c)(d)  | 364262  | 356448  |
|  Series 2021-DNA7 Class M2, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.800% 5.3208% 11/25/41 (b)(c)(d)  | 555000  | 514965  |
|  Series 2021-HQA1 Class M1, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.700% 4.2208% 8/25/33 (b)(c)(d)  | 95823  | 95511  |
|  Series 2022-DNA2 Class M1A, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.300% 4.8208% 2/25/42 (b)(c)(d)  | 498500  | 489956  |
|  Series 2022-DNA5 Class M1A, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 2.950% 6.4708% 6/25/42 (b)(c)(d)  | 1293277  | 1304544  |
|  Series 2022-DNA6 Class M1A, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 2.150% 5.6708% 9/25/42 (b)(c)(d)  | 386387  | 384939  |
|  Series 2022-HQA1 Class M1A, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 2.100% 5.6208% 3/25/42 (b)(c)(d)  | 1475179  | 1458212  |
|  Freddie Mac Whole Loan Securities Trust Series 2017-SC02 Class M1, 3.8583% 5/25/47 (b)(c)  | 50919  | 49498  |
|  TOTAL U.S. GOVERNMENT AGENCY  |  | 7595135  |
| <br> **TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS** <br> (Cost $65,188,967)  |  | <br> **57705389**  |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **Commercial Mortgage Securities - 2.4%**  | &nbsp;&nbsp; **Commercial Mortgage Securities - 2.4%**  | &nbsp;&nbsp; **Commercial Mortgage Securities - 2.4%**  |
|  | Principal <br> Amount (a) <br>| Value ($) <br>|
|  ALEN Mortgage Trust floater Series 2021-ACEN Class A, 1 month U.S. LIBOR + 1.150% 5.025% 4/15/34 (b)(c)(d)  | 595000  | 557479  |
|  Americold Realty Trust floater Series 2020-ICE5 Class B, 1 month U.S. LIBOR + 1.300% 5.1753% 11/15/37 (b)(c)(d)  | 1705489  | 1641289  |
|  BAMLL Commercial Mortgage Securities Trust floater:  |  |  |
|  Series 2021-JACX Class C, 1 month U.S. LIBOR + 2.000% 5.875% 9/15/38 (b)(c)(d)  | 805000  | 749295  |
|  Series 2022-DKLX Class A, CME Term SOFR 1 Month Index + 1.150% 4.945% 1/15/39 (b)(c)(d)  | 1014000  | 976748  |
|  Banc of America Merrill Lynch Large Loan, Inc. floater Series 2018-DSNY Class A, 1 month U.S. LIBOR + 0.850% 4.724% 9/15/34 (b)(c)(d)  | 970000  | 948945  |
|  BANK Series 2019-BN19 Class A1, 2.263% 8/15/61  | 263330  | 245562  |
|  BCP Trust floater Series 2021-330N Class A, 1 month U.S. LIBOR + 0.790% 4.674% 6/15/38 (b)(c)(d)  | 500000  | 469157  |
|  Big Commercial Mortgage Trust floater Series 2022-BIG Class C, CME Term SOFR 1 Month Index + 2.340% 6.1347% 2/15/39 (b)(c)(d)  | 410000  | 381958  |
|  BLOX Trust floater sequential payer Series 2021-BLOX Class A, 1 month U.S. LIBOR + 0.750% 4.625% 9/15/26 (b)(c)(d)  | 2040000  | 1920088  |
|  BPR Trust floater:  |  |  |
|  Series 2021-TY Class B, 1 month U.S. LIBOR + 1.150% 5.025% 9/15/38 (b)(c)(d)  | 780000  | 726709  |
|  Series 2022-OANA Class A, CME Term SOFR 1 Month Index + 1.890% 5.6923% 4/15/37 (b)(c)(d)  | 3529000  | 3433910  |
|  BSREP Commercial Mortgage Trust floater Series 2021-DC Class D, 1 month U.S. LIBOR + 1.900% 5.776% 8/15/38 (b)(c)(d)  | 340000  | 307320  |
|  BX Commercial Mortgage Trust floater:  |  |  |
|  Series 2021-PAC Class A, 1 month U.S. LIBOR + 0.680% 4.5651% 10/15/36 (b)(c)(d)  | 1872000  | 1786370  |
|  Series 2021-VINO Class A, 1 month U.S. LIBOR + 0.650% 4.5273% 5/15/38 (b)(c)(d)  | 1600000  | 1531790  |
|  Series 2022-CSMO Class B, CME Term SOFR 1 Month Index + 3.140% 6.935% 6/15/27 (b)(c)(d)  | 1090000  | 1077024  |
|  Series 2022-LP2 Class A, CME Term SOFR 1 Month Index + 1.010% 4.8072% 2/15/39 (b)(c)(d)  | 2426077  | 2327349  |
|  BX Trust:  |  |  |
|  floater:  |  |  |
|  Series 2019-XL Class B, CME Term SOFR 1 Month Index + 1.190% 4.9887% 10/15/36 (b)(c)(d) <br>| 382500  | 373354  |
|  Series 2021-ACNT Class A, 1 month U.S. LIBOR + 0.850% 4.726% 11/15/38 (b)(c)(d) <br>| 1838000  | 1762474  |
|  Series 2021-ARIA Class C, 1 month U.S. LIBOR + 1.640% 5.521% 10/15/36 (b)(c)(d) <br>| 590000  | 545641  |
|  Series 2021-BXMF Class A, 1 month U.S. LIBOR + 0.630% 4.5109% 10/15/26 (b)(c)(d) <br>| 1715000  | 1627101  |
|  Series 2021-SOAR Class D, 1 month U.S. LIBOR + 1.400% 5.276% 6/15/38 (b)(c)(d) <br>| 660000  | 618631  |
|  Series 2022-GPA Class A, CME Term SOFR 1 Month Index + 2.160% 5.9593% 10/15/39 (b)(c)(d) <br>| 644000  | 641175  |
|  floater sequential payer Series 2021-SOAR Class A, 4.546% 6/15/38 (b)(c)  | 1763640  | 1688462  |
|  floater, sequential payer:  |  |  |
|  Series 2019-IMC Class A, 1 month U.S. LIBOR + 1.000% 4.873% 4/15/34 (b)(c)(d) <br>| 2135000  | 2077929  |
|  Series 2019-XL Class A, CME Term SOFR 1 Month Index + 1.030% 4.8287% 10/15/36 (b)(c)(d) <br>| 4581659  | 4500934  |
|  CGDB Commercial Mortgage Trust floater Series 2019-MOB:  |  |  |
|  Class A, 1 month U.S. LIBOR + 0.950% 4.8253% 11/15/36 (b)(c)(d)  | 1033000  | 1003120  |
|  Class D, 1 month U.S. LIBOR + 1.650% 5.5253% 11/15/36 (b)(c)(d)  | 1545000  | 1471172  |
|  CHC Commercial Mortgage Trust floater Series 2019-CHC Class A, 1 month U.S. LIBOR + 1.120% 4.995% 6/15/34 (b)(c)(d)  | 3714948  | 3642473  |
|  Citigroup Commercial Mortgage Trust:  |  |  |
|  sequential payer Series 2015-GC27 Class AAB, 2.944% 2/10/48  | 2085580  | 2029633  |
|  Series 2013-375P Class C, 3.6348% 5/10/35 (b)(c)  | 560000  | 519509  |
|  COMM Mortgage Trust:  |  |  |
|  sequential payer Series 2013-300P Class A1, 4.353% 8/10/30 (b)  | 620000  | 603708  |
|  Series 2014-CR15 Class B, 4.7683% 2/10/47 (c)  | 920000  | 888405  |
|  Series 2014-CR19 Class AM, 4.08% 8/10/47  | 1846434  | 1764273  |
|  Series 2014-UBS2 Class B, 4.701% 3/10/47  | 915000  | 883310  |
|  Series 2015-CR22:  |  |  |
|  Class B, 3.926% 3/10/48 (c) <br>| 405000  | 376433  |
|  Class C, 4.2064% 3/10/48 (c) <br>| 740000  | 676893  |
|  Credit Suisse Mortgage Trust:  |  |  |
|  floater Series 2019-ICE4:  |  |  |
|  Class A, 1 month U.S. LIBOR + 0.980% 4.855% 5/15/36 (b)(c)(d) <br>| 5485000  | 5414182  |
|  Class C, 1 month U.S. LIBOR + 1.430% 5.305% 5/15/36 (b)(c)(d) <br>| 1015000  | 986839  |
|  Class D, 1 month U.S. LIBOR + 1.600% 5.475% 5/15/36 (b)(c)(d) <br>| 780000  | 754425  |
|  sequential payer Series 2020-NET Class A, 2.2569% 8/15/37 (b)  | 444680  | 396906  |
|  Series 2020-NET Class D, 3.8277% 8/15/37 (b)(c)  | 985000  | 867690  |
|  CSAIL Commercial Mortgage Trust:  |  |  |
|  sequential payer Series 2015-C3 Class A4, 3.7182% 8/15/48  | 670000  | 635389  |
|  Series 2019-C16 Class A1, 2.3595% 6/15/52  | 268183  | 259115  |
|  CSMC Trust Series 2017-CHOP Class A, 1 month U.S. LIBOR + 0.750% 4.625% 7/15/32 (b)(c)(d)  | 4189000  | 3920042  |
|  ELP Commercial Mortgage Trust floater Series 2021-ELP Class A, 1 month U.S. LIBOR + 0.700% 4.577% 11/15/38 (b)(c)(d)  | 2555000  | 2437338  |
|  Extended Stay America Trust floater Series 2021-ESH:  |  |  |
|  Class A, 1 month U.S. LIBOR + 1.080% 4.956% 7/15/38 (b)(c)(d)  | 1198764  | 1152931  |
|  Class C, 1 month U.S. LIBOR + 1.700% 5.576% 7/15/38 (b)(c)(d)  | 795597  | 755705  |
|  Fontainebleau Miami Beach Trust Series 2019-FBLU Class B, 3.447% 12/10/36 (b)  | 1075000  | 999857  |
|  GCT Commercial Mortgage Trust floater Series 2021-GCT Class A, 1 month U.S. LIBOR + 0.800% 4.675% 2/15/38 (b)(c)(d)  | 555000  | 516567  |
|  Great Wolf Trust floater Series 2019-WOLF:  |  |  |
|  Class A, 1 month U.S. LIBOR + 1.030% 4.909% 12/15/36 (b)(c)(d)  | 1906000  | 1838858  |
|  Class C, 1 month U.S. LIBOR + 1.630% 5.508% 12/15/36 (b)(c)(d)  | 600000  | 571321  |
|  GS Mortgage Securities Corp. Trust floater Series 2021-ROSS Class B, 1 month U.S. LIBOR + 1.600% 5.476% 5/15/26 (b)(c)(d)  | 685000  | 625741  |
|  GS Mortgage Securities Trust floater Series 2021-IP Class A, 1 month U.S. LIBOR + 0.950% 4.825% 10/15/36 (b)(c)(d)  | 1087000  | 1011734  |
|  J.P. Morgan Chase Commercial Mortgage Securities Trust floater Series 2020-609M:  |  |  |
|  Class B, 1 month U.S. LIBOR + 1.770% 5.646% 10/15/33 (b)(c)(d)  | 995000  | 940038  |
|  Class C, 1 month U.S. LIBOR + 2.170% 6.046% 10/15/33 (b)(c)(d)  | 805000  | 752430  |
|  JPMorgan Chase Commercial Mortgage Securities Trust floater:  |  |  |
|  Series 2018-GW Class A, 1 month U.S. LIBOR + 0.800% 4.675% 5/15/35 (b)(c)(d)  | 1940000  | 1879023  |
|  Series 2019-BKWD:  |  |  |
|  Class A, 1 month U.S. LIBOR + 1.250% 5.125% 9/15/29 (b)(c)(d) <br>| 1644659  | 1595624  |
|  Class B, 1 month U.S. LIBOR + 1.600% 5.475% 9/15/29 (b)(c)(d) <br>| 1830000  | 1750032  |
|  Class C, 1 month U.S. LIBOR + 1.850% 5.725% 9/15/29 (b)(c)(d) <br>| 575000  | 541636  |
|  KKR Industrial Portfolio Trust floater Series 2021-KDIP Class D, 1 month U.S. LIBOR + 1.250% 5.1253% 12/15/37 (b)(c)(d)  | 198750  | 185520  |
|  KNDR Trust floater Series 2021-KIND Class C, 1 month U.S. LIBOR + 1.750% 5.625% 8/15/38 (b)(c)(d)  | 972968  | 875950  |
|  Life Financial Services Trust floater Series 2022-BMR2 Class A1, CME Term SOFR 1 Month Index + 1.290% 5.0895% 5/15/39 (b)(c)(d)  | 2874000  | 2787558  |
|  LIFE Mortgage Trust floater Series 2021-BMR Class A, 1 month U.S. LIBOR + 0.700% 4.575% 3/15/38 (b)(c)(d)  | 1631730  | 1568291  |
|  Merit floater Series 2021-STOR Class A, 1 month U.S. LIBOR + 0.700% 4.575% 7/15/38 (b)(c)(d)  | 907000  | 867205  |
|  MHC Commercial Mortgage Trust floater Series 2021-MHC Class B, 1 month U.S. LIBOR + 1.100% 4.976% 4/15/38 (b)(c)(d)  | 710000  | 676496  |
|  MHC Trust floater Series 2021-MHC2 Class B, 1 month U.S. LIBOR + 1.100% 4.975% 5/15/23 (b)(c)(d)  | 660000  | 627616  |
|  Morgan Stanley BAML Trust Series 2014-C18 Class A/S, 4.11% 10/15/47  | 370000  | 350957  |
|  Morgan Stanley Capital I Trust:  |  |  |
|  floater:  |  |  |
|  Series 2018-BOP Class A, 1 month U.S. LIBOR + 0.850% 4.725% 8/15/33 (b)(c)(d) <br>| 3654512  | 3446532  |
|  Series 2019-NUGS Class D, 1 month U.S. LIBOR + 1.800% 5.675% 12/15/36 (b)(c)(d) <br>| 510000  | 403380  |
|  sequential payer Series 2014-150E Class A, 3.912% 9/9/32 (b)  | 1325000  | 1167317  |
|  Series 2019-MEAD Class D, 3.283% 11/10/36 (b)(c)  | 1150000  | 968982  |
|  New Orleans Hotel Trust floater Series 2019-HNLA Class B, 1 month U.S. LIBOR + 1.289% 5.1617% 4/15/32 (b)(c)(d)  | 1216977  | 1140494  |
|  OPG Trust floater Series 2021-PORT Class A, 1 month U.S. LIBOR + 0.480% 4.359% 10/15/36 (b)(c)(d)  | 2816888  | 2672150  |
|  RLGH Trust floater Series 2021-TROT Class A, 1 month U.S. LIBOR + 0.800% 4.676% 4/15/36 (b)(c)(d)  | 650000  | 624130  |
|  Shelter Growth CRE Issuer Ltd. floater Series 2021-FL3 Class A, 1 month U.S. LIBOR + 1.080% 4.9553% 9/15/36 (b)(d)  | 371720  | 358803  |
|  Slide floater Series 2018-FUN Class D, 1 month U.S. LIBOR + 2.100% 5.975% 6/15/31 (b)(c)(d)  | 751122  | 729941  |
|  SREIT Trust floater Series 2021-MFP Class A, 1 month U.S. LIBOR + 0.730% 4.6061% 11/15/38 (b)(c)(d)  | 1753000  | 1675017  |
|  UBS-Barclays Commercial Mortgage Trust floater Series 2013-C6 Class A3, 1 month U.S. LIBOR + 0.790% 4.6631% 4/10/46 (b)(c)(d)  | 653147  | 652228  |
|  Wells Fargo Commercial Mortgage Trust Series 2015-NXS2 Class A2, 3.02% 7/15/58  | 144854  | 139715  |
| <br> **TOTAL COMMERCIAL MORTGAGE SECURITIES** <br> (Cost $104,229,734)  |  | **99297328**  |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **Municipal Securities - 0.0%**  | &nbsp;&nbsp; **Municipal Securities - 0.0%**  | &nbsp;&nbsp; **Municipal Securities - 0.0%**  |
|  | Principal <br> Amount (a) <br>| Value ($) <br>|
|  Golden State Tobacco Securitization Corp. Tobacco Settlement Rev. Series 2021 A1, 1.711% 6/1/24  | 800000  | 758943  |
|  Long Island Pwr. Auth. Elec. Sys. Rev. Series 2020 C, 0.764% 3/1/23  | 360000  | 356556  |
| <br> **TOTAL MUNICIPAL SECURITIES** <br> (Cost $1,160,000)  |  | **1115499**  |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **Bank Notes - 0.1%**  | &nbsp;&nbsp; **Bank Notes - 0.1%**  | &nbsp;&nbsp; **Bank Notes - 0.1%**  |
|  | Principal <br> Amount (a) <br>| Value ($) <br>|
|  First Republic Bank 1.912% 2/12/24 (c) <br>(Cost $4,070,129) <br>| 4071000  | **4036718**  |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **Commercial Paper - 0.1%**  | &nbsp;&nbsp; **Commercial Paper - 0.1%**  | &nbsp;&nbsp; **Commercial Paper - 0.1%**  |
|  | Principal <br> Amount (a) <br>| Value ($) <br>|
|  Citigroup Global Markets, Inc. U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.650% 4.45% 9/22/23 (c)(d) <br>(Cost $5,000,000) <br>| 5000000  | **5000005**  |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **Short-Term Funds - 58.0%**  | &nbsp;&nbsp; **Short-Term Funds - 58.0%**  | &nbsp;&nbsp; **Short-Term Funds - 58.0%**  |
|  | Shares  | Value ($) <br>|
| Short-Term Funds - 58.0%  |  |  |
|  Baird Short-Term Bond Fund - Institutional Class  | 14846389  | 136883711  |
|  Baird Ultra Short Bond Fund Institutional Class  | 34042705  | 339746192  |
|  BlackRock Low Duration Bond Portfolio Investor A Shares  | 14337043  | 128029798  |
|  Fidelity SAI Short-Term Bond Fund (g)  | 18486571  | 175067831  |
|  iShares Lehman 1-3 Year Treasury Bond ETF (h)  | 243457  | 19822269  |
|  iShares Short Maturity Bond ETF  | 2595806  | 127921320  |
|  iShares Short Treasury Bond ETF  | 318877  | 35108358  |
|  iShares Ultra Short-Term Bond ETF (h)  | 2733249  | 136881110  |
|  JPMorgan Ultra-Short Income ETF  | 6440760  | 323648190  |
|  Metropolitan West Low Duration Bond Fund - Class M  | 24544283  | 201017676  |
|  PIMCO Short-Term Fund Institutional Class  | 51532985  | 491624670  |
|  SPDR Lehman 1-3 Month T-Bill ETF (h)  | 382848  | 35095676  |
| T. Rowe Price Ultra Short-Term Bond Fund  | 47140242  | 230987185  |
| <br> **TOTAL SHORT-TERM FUNDS** <br> (Cost $2,435,124,083)  |  | <br> **2381833986**  |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **Money Market Funds - 3.5%**  | &nbsp;&nbsp; **Money Market Funds - 3.5%**  | &nbsp;&nbsp; **Money Market Funds - 3.5%**  |
|  | Shares  | Value ($) <br>|
|  Fidelity Cash Central Fund 3.86% (i)  | 71207569  | 71221810  |
|  Fidelity Investments Money Market Government Portfolio Institutional Class 3.60% (g)(j)  | 48554326  | 48554326  |
|  Fidelity Securities Lending Cash Central Fund 3.86% (i)(k)  | 21708868  | 21711039  |
|  State Street Institutional U.S. Government Money Market Fund Premier Class 3.66% (j)  | 3321701  | 3321701  |
| <br> **TOTAL MONEY MARKET FUNDS** <br> (Cost $144,808,876)  |  | **144808876**  |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 100.9%** <br> (Cost $4,250,174,321) <br>| <br>**4146613770**  |
| **NET OTHER ASSETS (LIABILITIES) - (0.9)%**  | **(36462140)**  |
| **NET ASSETS - 100.0%**  | **4110151630**  |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp; **Futures Contracts**  | &nbsp;&nbsp; **Futures Contracts**  | &nbsp;&nbsp; **Futures Contracts**  | &nbsp;&nbsp; **Futures Contracts**  | &nbsp;&nbsp; **Futures Contracts**  | &nbsp;&nbsp; **Futures Contracts**  |
|  | Number <br> of contracts  | Expiration <br> Date  | Notional <br> Amount ($) <br>| Value ($) <br>| Unrealized <br> Appreciation/ <br> (Depreciation) ($) <br>|
| Purchased  |  |  |  |  |  |
| Treasury Contracts  |  |  |  |  |  |
| CBOT 2-Year U.S. Treasury Note Contracts (United States)  | 568  | Mar 2023  | 116644125  | 319185  | 319185  |
| Sold  |  |  |  |  |  |
| Treasury Contracts  |  |  |  |  |  |
| CBOT 10-Year U.S. Treasury Note Contracts (United States)  | 86  | Mar 2023  | 9761000  | (77387)  | (77387)  |
| CBOT 5-Year U.S. Treasury Note Contracts (United States)  | 220  | Mar 2023  | 23885469  | (144687)  | (144687)  |
| CBOT Ultra 10-Year U.S. Treasury Note Contracts (United States)  | 58  | Mar 2023  | 6940063  | (69864)  | (69864)  |
| CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States)  | 6  | Mar 2023  | 817688  | 1679  | 1679  |
| TOTAL SOLD  |  |  |  |  | (290259)  |
| **TOTAL FUTURES CONTRACTS**  |  |  |  |  | **28926**  |
| The notional amount of futures purchased as a percentage of Net Assets is 2.8%  | The notional amount of futures purchased as a percentage of Net Assets is 2.8%  | The notional amount of futures purchased as a percentage of Net Assets is 2.8%  | The notional amount of futures purchased as a percentage of Net Assets is 2.8%  | The notional amount of futures purchased as a percentage of Net Assets is 2.8%  | The notional amount of futures purchased as a percentage of Net Assets is 2.8%  |
| The notional amount of futures sold as a percentage of Net Assets is 1.0%  | The notional amount of futures sold as a percentage of Net Assets is 1.0%  | The notional amount of futures sold as a percentage of Net Assets is 1.0%  | The notional amount of futures sold as a percentage of Net Assets is 1.0%  | The notional amount of futures sold as a percentage of Net Assets is 1.0%  | The notional amount of futures sold as a percentage of Net Assets is 1.0%  |

---

**Security Type Abbreviations**

ETF - EXCHANGE-TRADED FUND

**Legend**

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

(b) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $595,140,059 or 14.5% 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 $787,969.

(f) Level 3 security

(g) Affiliated Fund

(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, <br> beginning <br> of period ($)  | Purchases ($)  | Sales <br> Proceeds ($)  | Dividend <br> Income ($)  | Realized <br> Gain (loss) ($)  | Change in <br> Unrealized <br> appreciation <br> (depreciation) ($)  | Value, <br> end <br> of period ($)  | % ownership, <br> end <br> of period  |
|  Fidelity Cash Central Fund 3.86%  | 26998503  | 579407425  | 535184117  | 516830  | 4974  | (4975)  | 71221810  | 0.1%  |
|  Fidelity Securities Lending Cash Central Fund 3.86%  | 83359539  | 1139671398  | 1201319898  | 86426  | -  | -  | 21711039  | 0.1%  |
| Total  | 110358042  | 1719078823  | 1736504015  | 603256  | 4974  | (4975)  | 92932849  |  |

---

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

Amount for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.

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, <br> beginning <br> of period ($)  | Purchases ($)  | Sales <br> Proceeds ($)  | Dividend <br> Income ($)  | Realized <br> Gain (loss) ($)  | Change in <br> Unrealized <br> appreciation <br> (depreciation) ($)  | Value, <br> end <br> of period ($)  |
|  Fidelity Investments Money Market Government Portfolio Institutional Class 3.60%  | 30026291  | 264159454  | 245631443  | 696345  | 24  | -  | 48554326  |
|  Fidelity SAI Short-Term Bond Fund  | 232541959  | 1143778  | 55000000  | 1143777  | (2501064)  | (1116842)  | 175067831  |
|  | 262568250  | 265303232  | 300631443  | 1840122  | (2501040)  | (1116842)  | 223622157  |

---

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

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, 2022, 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:**  | **Valuation Inputs at Reporting Date:**  | **Valuation Inputs at Reporting Date:**  | **Valuation Inputs at Reporting Date:**  | **Valuation Inputs at Reporting Date:**  |
| **Description**  | **Total ($)**  | **Level 1 ($)**  | **Level 2 ($)**  | **Level 3 ($)**  |
| **<u>Investments in Securities:</u>**  |  |  |  |  |
|  Corporate Bonds  | 949311839  | -  | 949311839  | -  |
|  U.S. Government and Government Agency Obligations  | 198660871  | -  | 198660871  | -  |
|  U.S. Government Agency - Mortgage Securities  | 21704519  | -  | 21704519  | -  |
|  Asset-Backed Securities  | 283138740  | -  | 283138740  | -  |
|  Collateralized Mortgage Obligations  | 57705389  | -  | 57194707  | 510682  |
|  Commercial Mortgage Securities  | 99297328  | -  | 99297328  | -  |
|  Municipal Securities  | 1115499  | -  | 1115499  | -  |
|  Bank Notes  | 4036718  | -  | 4036718  | -  |
|  Commercial Paper  | 5000005  | -  | 5000005  | -  |
|  Short-Term Funds  | 2381833986  | 2381833986  | -  | -  |
|  Money Market Funds  | 144808876  | 144808876  | -  | -  |
| **Total Investments in Securities:**  | 4146613770  | 2526642862  | 1619460226  | 510682  |
| **<u>Derivative Instruments:</u>**  |  |  |  |  |
|  **Assets**  |  |  |  |  |
| Futures Contracts  | 320864  | 320864  | -  | -  |
| Total Assets  | 320864  | 320864  | -  | -  |
|  **Liabilities**  |  |  |  |  |
| Futures Contracts  | (291938)  | (291938)  | -  | -  |
| Total Liabilities  | (291938)  | (291938)  | -  | -  |
| **Total Derivative Instruments:**  | 28926  | 28926  | -  | -  |

---

**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, 2022. 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** <br>| **Value**  | **Value**  |
|  | **Asset ($)**  | **Liability ($)**  |
| **Interest Rate Risk**  |  |  |
| Futures Contracts (a)  | 320864  | (291938)  |
| **Total Interest Rate Risk**  | 320864  | (291938)  |
| **Total Value of Derivatives**  | 320864  | (291938)  |

---

(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).

**Financial Statements** **(Unaudited)**

---

| | | |
|:---|:---|:---|
| **Statement of Assets and Liabilities**  | **Statement of Assets and Liabilities**  | **Statement of Assets and Liabilities**  |
|  |  | **November 30, 2022** <br> **(Unaudited)**  |
| **Assets**  |  |  |
| Investment in securities, at value (including securities loaned of $21,252,092) - See accompanying schedule:  |  |  |
|  Unaffiliated issuers (cost $3,924,059,612)  | $3830058764  |  |
|  Fidelity Central Funds (cost $92,932,849)  | 92932849  |  |
|  Other affiliated issuers (cost $233,181,860)  | 223622157  |  |
|  Total Investment in Securities (cost $4,250,174,321)  |  | $4146613770  |
|  Cash  |  | 1007643  |
|  Foreign currency held at value (cost $202)  |  | 208  |
| Receivable for investments sold  |  | 8453655  |
|  Receivable for fund shares sold  |  | 4166503  |
|  Interest receivable  |  | 7781869  |
|  Distributions receivable from Fidelity Central Funds  |  | 221487  |
|  Receivable for daily variation margin on futures contracts  |  | 129251  |
|  Prepaid expenses  |  | 5332  |
| Other receivables  |  | 92138  |
| **Total assets**  |  | 4168471856  |
| **Liabilities**  |  |  |
|  Payable for investments purchased  | $28749905  |  |
|  Payable for fund shares redeemed  | 5340013  |  |
|  Distributions payable  | 2255099  |  |
|  Accrued management fee  | 159891  |  |
|  Other payables and accrued expenses  | 126818  |  |
|  Collateral on securities loaned  | 21688500  |  |
| **Total Liabilities**  |  | 58320226  |
| **Net Assets**  |  | $4110151630  |
|  Net Assets consist of:  |  |  |
|  Paid in capital  |  | $4277514434  |
|  Total accumulated earnings (loss)  |  | (167362804)  |
|  **Net Assets**  |  | $4110151630  |
|  **Net Asset Value** , offering price and redemption price per share ($4,110,151,630 ÷ 420,536,963 shares)  |  | $9.77  |

---

---

| | | |
|:---|:---|:---|
| **Statement of Operations**  | **Statement of Operations**  | **Statement of Operations**  |
|  |  | **Six months ended** <br> **November 30, 2022** <br> **(Unaudited)**  |
|  **Investment Income**  |  |  |
| Dividends:  |  |  |
| Unaffiliated issuers  |  | $27091331  |
| Affiliated issuers  |  | $1840122  |
| Interest  |  | 23707788  |
| Income from Fidelity Central Funds (including $86,426 from security lending)  |  | 603256  |
| **Total Income**  |  | 53242497  |
|  **Expenses**  |  |  |
| Management fee  | $7225784  |  |
| Custodian fees and expenses  | 20787  |  |
| Independent trustees' fees and expenses  | 17821  |  |
| Registration fees  | 58528  |  |
| Audit  | 32651  |  |
| Legal  | 4332  |  |
| Miscellaneous  | 19155  |  |
| Total expenses before reductions  | 7379058  |  |
| Expense reductions  | (6153739)  |  |
| Total expenses after reductions  |  | 1225319  |
| **Net Investment income (loss)**  |  | 52017178  |
| **Realized and Unrealized Gain (Loss)**  |  |  |
| Net realized gain (loss) on:  |  |  |
| Investment Securities:  |  |  |
| Unaffiliated issuers  | (44242579)  |  |
| Fidelity Central Funds  | 4974  |  |
| Other affiliated issuers  | (2501040)  |  |
| Futures contracts  | (3228578)  |  |
| Total net realized gain (loss)  |  | (49967223)  |
| Change in net unrealized appreciation (depreciation) on:  |  |  |
| Investment Securities:  |  |  |
| Unaffiliated issuers  | (10496238)  |  |
| Fidelity Central Funds  | (4975)  |  |
| Other affiliated issuers  | (1116842)  |  |
| Assets and liabilities in foreign currencies  | 6  |  |
| Futures contracts  | 147381  |  |
| Total change in net unrealized appreciation (depreciation)  |  | (11470668)  |
| **Net gain (loss)**  |  | (61437891)  |
| **Net increase (decrease) in net assets resulting from operations**  |  | $(9420713)  |

---

---

| | | |
|:---|:---|:---|
| **Statement of Changes in Net Assets**  | **Statement of Changes in Net Assets**  | **Statement of Changes in Net Assets**  |
|  | **Six months ended** <br> **November 30, 2022** <br> **(Unaudited)**  | **Year ended** <br> **May 31, 2022**  |
| **Increase (Decrease) in Net Assets**  |  |  |
| Operations  |  |  |
| &nbsp;&nbsp; Net investment income (loss)  | $52017178  | $46888123  |
| &nbsp;&nbsp; Net realized gain (loss)  | (49967223) <br>| (7039589) <br>|
| &nbsp;&nbsp; Change in net unrealized appreciation (depreciation)  | (11470668)  | (142818369) <br>|
| &nbsp;&nbsp; **Net increase (decrease) in net assets resulting from operations**  | (9420713) <br>| (102969835) <br>|
| Distributions to shareholders  | (51936821) <br>| (53579740) <br>|
| Share transactions  |  |  |
| &nbsp;&nbsp; Proceeds from sales of shares  | 1549441832  | 2455390765  |
| Reinvestment of distributions  | 40514558 <br>| 41012985 <br>|
| &nbsp;&nbsp; Cost of shares redeemed  | (3197827221)  | (2741262414)  |
| **Net increase (decrease) in net assets resulting from share transactions**  | (1607870831) <br>| (244858664) <br>|
| &nbsp;&nbsp; **Total increase (decrease) in net assets**  | (1669228365) <br>| (401408239) <br>|
| **Net Assets**  |  |  |
| &nbsp;&nbsp; Beginning of period  | 5779379995  | 6180788234 <br>|
| &nbsp;&nbsp; End of period  | $4110151630  | $5779379995  |
| **Other Information**  |  |  |
| Shares  |  |  |
| &nbsp;&nbsp; Sold  | 158156422  | 244485558  |
| Issued in reinvestment of distributions  | 4135657 <br>| 4092840 <br>|
| &nbsp;&nbsp; Redeemed  | (326162369)  | (274075501)  |
| &nbsp;&nbsp; Net increase (decrease)  | (163870290)  | (25497103)  |

---

**Financial Highlights** 

 **Strategic Advisers® Short Duration Fund** <br>

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Six months ended** <br> **(Unaudited) November 30, 2022**  | **Years ended May 31, 2022**  | **2021**  | **2020**  | **2019**  | **2018**  |
| **Selected Per-Share Data**  |  |  |  |  |  |  |
| Net asset value, beginning of period  | $9.89  | $10.13  | $10.06  | $10.04  | $10.03  | $10.05  |
| Income from Investment Operations  |  |  |  |  |  |  |
| Net investment income (loss) <sup>A,B</sup>  | .105  | .075  | .106  | .229  | .254  | .168  |
| Net realized and unrealized gain (loss)  | (.118)  | (.230)  | .081  | .020  | .018  | (.028)  |
| Total from investment operations  | (.013)  | (.155)  | .187  | .249  | .272  | .140  |
| Distributions from net investment income  | (.107)  | (.085)  | (.112)  | (.229)  | (.259)  | (.160)  |
| Distributions from net realized gain  | -  | -  | (.005)  | -  | (.003)  | -  |
| Total distributions  | (.107)  | (.085)  | (.117)  | (.229)  | (.262)  | (.160)  |
| Net asset value, end of period  | $9.77  | $9.89  | $10.13  | $10.06  | $10.04  | $10.03  |
| **Total Return** <sup>C,D</sup>  | (.12)%  | (1.54)%  | 1.86%  | 2.51%  | 2.75%  | 1.40%  |
| **Ratios to Average Net Assets** <sup>B,E,F</sup>  |  |  |  |  |  |  |
| Expenses before reductions  | .30% <sup>G</sup>  | .30%  | .30%  | .30%  | .32%  | .35%  |
| Expenses net of fee waivers, if any  | .05% <sup>G</sup>  | .05%  | .05%  | .05%  | .07%  | .10%  |
| Expenses net of all reductions  | .05% <sup>G</sup>  | .05%  | .05%  | .05%  | .07%  | .10%  |
| Net investment income (loss)  | 2.12% <sup>G</sup>  | .74%  | 1.05%  | 2.28%  | 2.54%  | 1.67%  |
| **Supplemental Data**  |  |  |  |  |  |  |
| Net assets, end of period (000 omitted)  | $4110152  | $5779380  | $6180788  | $8049040  | $7144753  | $8841193  |
| Portfolio turnover rate <sup>H</sup>  | 32% <sup>G</sup>  | 43%  | 102%  | 58%  | 33%  | 25%  |

---

<sup>A</sup> *Calculated based on average shares outstanding during the period.*

<sup>B</sup> *Net 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.*

<sup>C</sup> *Total returns for periods of less than one year are not annualized.*

<sup>D</sup> *Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.*

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

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

<sup>G</sup> *Annualized.*

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

**Notes to Financial Statements** **(Unaudited)**

For the period ended November 30, 2022

**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 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, 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 fund's 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 pricing policies and it 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, 2022 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**  | $92135  |

---

**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**  | $5408846  |
| **Gross unrealized depreciation**  | <u>(108724844)</u>  |
| **Net unrealized appreciation (depreciation)**  | <u>$(103315998)</u>  |
| **Tax cost**  | <u>$4249958694</u>  |

---

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  | $(6679915)  |
| Long-term  | <u>(7590059</u>)  |
| **Total capital loss carryforward**  | <u>$(14269974)</u>  |

---

**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:

<br> 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**  | 650492702  | 2266667180  |

---

**5. Fees and Other Transactions with Affiliates.**

**Management Fee** . Strategic Advisers (the investment adviser) provides the Fund with investment management related services. For these services, the Fund pays a monthly management fee to the investment adviser. The management fee is calculated by adding the annual management fee rate of .25% of the Fund's average net assets throughout the month to the aggregate of the fee rates, payable monthly by the investment adviser, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed .55% of the Fund's average net assets. For the reporting period, the total annualized management fee rate was .29% of the Fund's average net assets.

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

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

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

---

| | |
|:---|:---|
|  | **Amount**  |
| **Strategic Advisers Short Duration Fund**  | $172  |

---

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

**6. Investments in Fidelity Central Funds.**

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

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

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Fidelity Central Fund**  | **Investment Manager**  | **Investment Objective**  | **Investment Practices**  | **Expense Ratio** <sup>A</sup>  |
| 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%  |

---

<sup>A</sup> *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**  | $4869  |

---

**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**  | $8710  | $-  | $-  |

---

**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, 2025. During the period, this waiver reduced the Fund's management fee by $6,110,498.

In addition, the investment adviser has voluntarily agreed to waive a portion of the Fund's management fee. During the period, this waiver reduced the Fund's management fee by $38,804.

Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses by $4,437.

**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.

**Shareholder Expense Example**

As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (June 1, 2022 to November 30, 2022). <br>

***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-** <sup>A</sup>  | **Beginning Account Value June 1, 2022**  | **Ending Account Value November 30, 2022**  | **Expenses Paid During Period-** <sup>C</sup> **June 1, 2022 to November 30, 2022**  |
| **Strategic Advisers® Short Duration Fund**  | .05%  |  |  |  |
| **Actual**  |  | $1000  | $998.80  | $.25  |
| **Hypothetical-** <sup>B</sup>  |  | $1000  | $1024.82  | $.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/ 365 (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 New Sub-Subadvisory Agreements**

**Strategic Advisers Short Duration Fund** 

In September 2022, the Board of Trustees, including the Independent Trustees (together, the Board) voted to approve new sub-subadvisory agreements among (i) T. Rowe Price Associates, Inc. (TRPA) and T. Rowe Price Hong Kong Limited (T. Rowe Hong Kong) with respect to the fund (New T. Rowe Hong Kong Agreement) and (ii) TRPA and T. Rowe Price International Limited (T. Rowe International) with respect to the Fund (New T. Rowe International Agreement and, together with the New T. Rowe Hong Kong Agreement, the New Agreements). The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, considered a broad range of information.

In considering whether to approve each New Agreement, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the approval of each New Agreement is in the best interests of the fund and its shareholders and does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. The Board's decision to approve each New Agreement was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board. In addition, individual Trustees did not necessarily attribute the same weight or importance to each factor.

**Nature, Extent, and Quality of Services Provided** . The Board considered the backgrounds of the investment personnel that will provide services to the fund, and also considered the fund's investment objective, strategies and related investment philosophy and current sub-adviser line-up. The Board also considered the structures of the investment personnel compensation programs and whether such structures provide appropriate incentives to act in the best interests of the fund.

The Board noted that the New Agreements are for T. Rowe Hong Kong and T. Rowe International to each act a sub-subadviser to the fund for an existing investment mandate that is sub-advised by TRPA. The Board considered information provided by T. Rowe Hong Kong and T. Rowe International in the Board's August 2022 materials. The Board noted that it received and considered materials relating to the nature, extent and quality of services provided by Strategic Advisers and TRPA, including the resources dedicated to investment management and support services, as well as shareholder and administrative services, in connection with its annual renewal of the fund's management contract and sub-advisory agreements at its September 2022 meeting. The Board noted its familiarity with the nature, extent and quality of services provided by TRPA to the fund for the investment mandate, and by TRPA and T. Rowe International to other Strategic Advisers funds for different investment mandates, and considered that other than the delegation of investment discretion for a portion of the investment mandate to managers from T. Rowe Hong Kong and T. Rowe International, the New Agreements 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 (ii) the day-to-day management of the fund.

<u>Resources Dedicated to Investment Management and Support Services</u> . The Board reviewed the general qualifications and capabilities of each of T. Rowe Hong Kong's and T. Rowe International's investment staff, use of technology, and approach to managing and compensating investment personnel. The Board noted that the New Agreements will not result in any change to the analysts that support the existing investment mandate and considered that such 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 T. Rowe Hong Kong's and T. Rowe International's trading capabilities and resources and compliance infrastructure, which are integral parts of the investment management process. The Board also considered T. Rowe Hong Kong's and T. Rowe International's investments in business continuity planning, and TRPA's and T. Rowe International's success in continuously providing services to the fund and/or other Strategic Advisers funds notwithstanding the disruptions caused by the COVID-19 pandemic.

<u>Shareholder and Administrative Services</u> . The Board considered: (i) the nature, extent, quality, and cost of advisory services to be performed by T. Rowe Hong Kong and T. Rowe International under the applicable New Agreement; and (ii) the resources to be devoted to the fund's compliance policies and procedures.

<u>Investment Performance.</u> The Board considered the historical investment performance of TRPA and its portfolio managers in managing the fund under the investment mandate, and that the approval of the New Agreements will not result in any changes (i) to the fund's investment processes or strategies or (ii) except for the delegation of investment discretion for a portion of the investment mandate to managers from T. Rowe Hong Kong and T. Rowe International, in the persons primarily responsible for the day-to-day management of the fund.

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

**Competitiveness of Management Fee and Total Fund Expenses** . The Board noted that the New Agreements will not result in changes to the maximum aggregate annual management fee payable by the fund or Strategic Advisers' portion of the management fee. The Board considered Strategic Advisers' contractual agreement to waive its portion of the fund's management fee.

The Board considered that TRPA, and not the fund, will compensate each of T. Rowe Hong Kong and T. Rowe International under the terms of the applicable New Agreement and that the fund and Strategic Advisers are not responsible for any such fees or expenses. The Board also considered that the New Agreements will not result in any changes to the fees paid under the sub-advisory agreement among Strategic Advisers, TRPA, and the Trust on behalf of the fund for the existing investment mandate.

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

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

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

**Possible Economies of Scale** . The Board considered that it reviews whether there have been economies of scale in connection with the management of the fund during its annual renewal of the fund's management contract, sub-advisory agreements, and sub-subadvisory agreements. The Board noted that it did not consider the possible realization of economies of scale to be a significant factor in its decision to approve the New Agreements because the fund will not bear any additional management fees or expenses under the New Agreements.

**Conclusion** . Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that each New Agreement's fee structure bears a reasonable relationship to the services to be rendered and that each New 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 each New 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), votes at a meeting on the renewal of the management contract with Strategic Advisers LLC (Strategic Advisers), the sub-advisory agreements with FIAM LLC and T. Rowe Price Associates, Inc. (each a Sub-Adviser and collectively, the Sub-Advisers) (collectively, the Sub-Advisory Agreements), and the sub-sub-advisory agreements with FMR Investment Management (UK) Limited, Fidelity Management & Research (Japan) Limited, and Fidelity Management & Research (Hong Kong) Limited (collectively, the Sub-Sub-Advisory Agreements and, together with the management contract and the Sub-Advisory Agreements, the Advisory Contracts) for the fund. Strategic Advisers and the Sub-Advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.

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

At its September 2022 meeting, the Board, including the Independent Trustees, unanimously determined to renew the fund's Advisory Contracts. In reaching its determination to renew the fund's Advisory Contracts, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness relative to peer funds of the fund's management fee and total expenses; (iii) the total costs of the services provided by and the profits, if any, realized by Strategic Advisers from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and are realized as the fund grows and whether any economies of scale are appropriately shared with fund shareholders.

In considering whether to renew the Advisory Contracts for the fund, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts is in the best interests of the fund and its shareholders. In addition, the Board concluded that the renewal of each Sub-Advisory Agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees charged under the Advisory Contracts bear a reasonable relationship to the services rendered. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board throughout the year.

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

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

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

<u>Resources Dedicated to Investment Management and Support Services.</u> 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.

<u>Shareholder and Administrative Services</u> . 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.

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

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

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

The following charts considered by the Board show, over the one-, three-, and five-year periods ended December 31, 2021, the cumulative total returns of the fund and the cumulative total returns of an appropriate benchmark index and peer group. The box within each chart shows the 25th percentile return (75% beaten, top of box) and the 75th percentile return (25% beaten, bottom of box) of the peer group. Returns shown above the box are in the first quartile and returns shown below the box are in the fourth quartile. The percentage beaten number noted below each chart corresponds to the percentile box and represents the percentage of funds in the peer group whose performance was equal to or lower than that of the fund.

![](img87988_6.jpg)

The Board reviewed the fund's relative investment performance against its peer group and noted that the performance of the fund was in the first quartile for the three- and five-year periods and in the third quartile for the one-year period ended December 31, 2021. The Board also noted that the fund had out-performed 41%, 83%, and 78% of its peers for the one-, three-, and five-year periods, respectively, ended December 31, 2021. The Board also noted that the investment performance of the fund was higher than its benchmark for the three- and five-year periods shown and lower than its benchmark for the one-year period shown.

Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.

**Competitiveness of Management Fee and Total Fund Expenses** . The Board considered the amount and nature of fees paid to the Investment Advisers. The Board also considered information comparing the management fees and total expenses of the fund to those of other registered investment companies with investment objectives similar to those of the fund, as discussed below. The Board also noted Strategic Advisers' proposal to extend the management fee waiver and considered the fund's contractual maximum aggregate annual management fee rate. In considering the fund's management fee and management fee waiver and comparisons to other registered investment companies with investment objectives similar to those of the fund, the Board noted that shares of the fund are offered only to clients that participate in the Fidelity Portfolio Advisory Service managed account program.

<u>Management Fee.</u> The Board considered two proprietary management fee comparisons. The group of Lipper funds used by the Board for management fee comparisons is referred to as the "Total Mapped Group." The Total Mapped Group comparison focuses on a fund's standing in terms of gross management fees before expense reimbursements or caps relative to the total universe of funds with comparable investment mandates, regardless of whether their management fee structures also are comparable. Funds with comparable investment mandates offer exposure to similar types of securities. Funds with comparable management fee structures have similar management fee contractual arrangements (e.g., flat rate charged for advisory services, all-inclusive fee rate, etc.). "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a hypothetical TMG % of 20% would mean that 80% of the funds in the Total Mapped Group had higher, and 20% had lower, management fees than the fund. The fund's actual TMG %s and the number of funds in the Total Mapped Group are in the chart below. The Board also compared the fund's management fee to an "Asset-Size Peer Group" (ASPG), which is a sub-set of the competitive funds in the Total Mapped Group. The ASPG comparison focuses on a fund's standing relative to non-Fidelity funds within the Total Mapped Group that are similar in size and management fee structure. For example, if a fund is in the first quartile of the ASPG, the fund's management fee ranks in the least expensive or lowest 25% of funds in the ASPG. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee structures, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee rate ranked, is also included in the chart and was considered by the Board.

![](img87988_7.jpg)

The Board noted that the fund's management fee rate ranked above the median of its Total Mapped Group and above the median of its ASPG for the 12-month period ended December 31, 2021. The Board also noted that the fund's management fee rate was compared on a pre-waiver basis and, therefore, did not reflect the management fee waiver noted above. Giving effect to the waiver, the fund's management fee was below the median of its Total Mapped Group and below the median of its ASPG for the 12-month period ended December 31, 2021.

Based on its review, the Board concluded that the fund's management fee bears a reasonable relationship to the services rendered.

<u>Total Expenses.</u> In its review of the fund's total expenses, the Board considered the fund's management fee rate as well as other fund expenses, as applicable, such as expenses from holding Fidelity and non-Fidelity mutual funds and ETFs, pricing and bookkeeping fees, and custodial, legal, and audit fees. The Board also noted the effects of any waivers and reimbursements on fees and expenses. The Board further noted that the fund's total expenses were compared to those funds and classes in the Total Mapped Group (used by the Board for management fee comparisons) that have similar sales load structures. This comparison, which is a proxy for comparing funds by distribution channel, showed the fund's position relative to competitive funds with similar sales load structures. The Board noted that the fund's total expense ratio ranked below the fund's similar sales load structure group competitive median for the 12-month period ended December 31, 2021.

<u>Fees Charged to Other Clients</u> . The Board also considered fee structures paid by the Investment Advisers' other clients, such as other funds advised or subadvised by the Investment Advisers, pension plan clients, and other institutional clients with similar investment mandates.

Based on its review of the total expense ratios and fees charged to other clients of Strategic Advisers or its affiliates and each Sub-Adviser, the Board concluded that the total expenses of the fund were reasonable in light of the services that the fund and its shareholders receive and the other factors considered.

**Costs of the Services and Profitability** . The Board considered information regarding the revenues earned and the expenses incurred by Strategic Advisers and its affiliates in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and servicing the fund's shareholders.

On an annual basis, Strategic Advisers presents to the Board information about the profitability of its relationships with the fund. Strategic Advisers calculates profitability information for the fund using a series of detailed revenue and cost allocation methodologies. The Board reviews any significant changes from the prior year's methodologies. Strategic Advisers noted that, to the extent possible, it employs the same corporate reporting of revenues and expenses as those used by other Fidelity funds.

A public accounting firm has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. The engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's mutual fund business, and completion of agreed-upon procedures in respect of the mathematical accuracy of certain fund profitability information and its conformity to established allocation methodologies. After considering the reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.

The Board also reviewed Fidelity's non-fund businesses and potential indirect benefits such businesses may have received as a result of their association with Fidelity's mutual fund business (i.e., fall-out benefits) as well as cases where Fidelity's affiliates may benefit from the fund's business. The Board noted that changes to fall-out benefits year-over-year reflect business developments at Fidelity's various businesses.

The Board considered the costs of the services provided by and the profits realized, if any, by Strategic Advisers and its affiliates in connection with the operation of the fund and was satisfied that the profitability was not excessive.

The Board also considered information regarding the profitability of the Sub-Advisers' respective relationships with the fund and the potential fall-out benefits, if any, that may accrue to the Sub-Advisers as a result of their respective relationships with the fund. The Board noted the difficulty in evaluating a Sub-Adviser's costs and the profitability of a Sub-Advisory Agreement to a Sub-Adviser because of, among other things, differences in the type and content of information provided by each Sub-Adviser due to differences in business models, cost accounting methods, and profitability calculation methodologies among the Sub-Advisers. Accordingly, the Board considered profitability information provided by the Sub-Advisers in light of the nature of the relationships between Strategic Advisers and the Sub-Advisers with respect to the negotiation of sub-advisory fees.

**Possible Economies of Scale** . The Board considered whether there have been economies of scale in respect of the management of the Strategic Advisers funds, whether the Strategic Advisers funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale as assets grow through increased services to the fund, through waivers or reimbursements, or through fee or expense ratio reductions. The Board considered that the fund's Sub-Advisory Agreements provide for breakpoints as the fund's assets grow and noted that any potential decline in sub-advisory fees under such contracts would accrue directly to the fund. The Board also took Strategic Advisers' management fee waiver into consideration.

**Conclusion** . Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee arrangements bear a reasonable relationship to the services rendered and that the fund's Advisory Contracts should be renewed because each agreement is in the best interests of the fund and its shareholders. 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.

![](img87988_2.jpg) <br>

1.934461.110 ASD-SANN-0123

**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, 2022**

![](img87991_1.jpg)

![](img87991_2.jpg)

**Contents**

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| |
|:---|
| **[Investment Summary](#Sec_InvestmentSummary3306)** |
| **[Schedule of Investments](#Sec_ScheduleOfInvestments3306)** |
| **[Financial Statements](#Sec_FinancialStatements3306)** |
| **[Notes to Financial Statements](#Sec_Notes to Financial Statements)** |
| **[Shareholder Expense Example](#Sec_Shareholder Expense Example)** |
| **[Board Approval of Investment Advisory Contracts and Management Fees](#Sec_Board Approval of Investment Advisory Contracts and Management Fees)** |

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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.© 2023 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.*

**Investment Summary November 30, 2022 (Unaudited)**

The information in the following table is based on the direct Investments of the Fund.

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| | |
|:---|:---|
| &nbsp;&nbsp; **Top Holdings (% of Fund's net assets)**  | &nbsp;&nbsp; **Top Holdings (% of Fund's net assets)**  |
| (excluding cash equivalents)  | (excluding cash equivalents)  |
| Fidelity SAI Total Bond Fund  | 24.9  |
| U.S. Treasury Obligations  | 10.8  |
| Fidelity SAI U.S. Treasury Bond Index Fund  | 7.4  |
| Fannie Mae  | 6.6  |
| Uniform Mortgage Backed Securities  | 6.5  |
| Fidelity U.S. Bond Index Fund  | 5.5  |
| Fidelity Advisor Corporate Bond Fund Class Z  | 4.7  |
| Fidelity SAI Long-Term Treasury Bond Index Fund  | 4.0  |
| Ginnie Mae  | 3.7  |
| Freddie Mac  | 3.2  |

---

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| |
|:---|
| &nbsp;&nbsp; **Asset Allocation (% of Fund's net assets)**  |
| ![](img87991_5.jpg) <br>|
| *Short-Term Investments and Net Other Assets (Liabilities) - (8.2)%\**  |
| *Foreign investments - 3.2%*  |
| *\*Short-Term Investments and Net Other Assets (Liabilities) are not available in the pie chart.*  |
| *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.*

**Schedule of Investments November 30, 2022 (Unaudited)**

Showing Percentage of Net Assets

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp; **Nonconvertible Bonds - 10.2%**  | &nbsp;&nbsp; **Nonconvertible Bonds - 10.2%**  | &nbsp;&nbsp; **Nonconvertible Bonds - 10.2%**  | &nbsp;&nbsp; **Nonconvertible Bonds - 10.2%**  |
|  |  | Principal <br> Amount (a) <br>| Value ($) <br>|
| COMMUNICATION SERVICES - 1.0%  |  |  |  |
| Diversified Telecommunication Services - 0.2%  |  |  |  |
|  AT&T, Inc.:  |  |  |  |
|  1.65% 2/1/28  |  | 2253000  | 1934122  |
|  2.55% 12/1/33  |  | 2825000  | 2219351  |
|  3.8% 12/1/57  |  | 39772000  | 28873199  |
|  4.3% 2/15/30  |  | 7440000  | 7068718  |
|  4.75% 5/15/46  |  | 41310000  | 35927835  |
|  C&W Senior Financing Designated Activity Co. 6.875% 9/15/27 (b)  |  | 1246000  | 1107383  |
|  Cogent Communications Group, Inc. 7% 6/15/27 (b)  |  | 610000  | 594750  |
|  Frontier Communications Holdings LLC 5.875% 10/15/27 (b)  |  | 235000  | 223607  |
|  Iliad SA 1.5% 10/14/24 (Reg. S)  | EUR  | 5600000  | 5543276  |
|  Level 3 Financing, Inc.:  |  |  |  |
|  3.625% 1/15/29 (b)  |  | 85000  | 62764  |
|  4.25% 7/1/28 (b)  |  | 4690000  | 3672220  |
|  Lumen Technologies, Inc. 4.5% 1/15/29 (b)  |  | 280000  | 189602  |
|  NTT Finance Corp.:  |  |  |  |
|  1.162% 4/3/26 (b)  |  | 2595000  | 2304958  |
|  1.591% 4/3/28 (b)  |  | 3586000  | 3033372  |
|  Sable International Finance Ltd. 5.75% 9/7/27 (b)  |  | 2332000  | 2122353  |
|  Sprint Capital Corp.:  |  |  |  |
|  6.875% 11/15/28  |  | 4750000  | 5033148  |
|  8.75% 3/15/32  |  | 1315000  | 1572280  |
|  Telecom Italia Capital SA:  |  |  |  |
|  6% 9/30/34  |  | 286000  | 220875  |
|  7.2% 7/18/36  |  | 1090000  | 903501  |
|  Telenet Finance Luxembourg Notes SARL 5.5% 3/1/28 (b)  |  | 800000  | 716400  |
|  Verizon Communications, Inc.:  |  |  |  |
|  2.1% 3/22/28  |  | 2703000  | 2364928  |
|  2.355% 3/15/32  |  | 877000  | 703994  |
|  2.987% 10/30/56  |  | 1378000  | 869233  |
|  4.329% 9/21/28  |  | 10293000  | 10006644  |
|  5.012% 4/15/49  |  | 129000  | 120154  |
|  Virgin Media Finance PLC 5% 7/15/30 (b)  |  | 636000  | 518496  |
|  Windstream Escrow LLC 7.75% 8/15/28 (b)  |  | 1195000  | 1045625  |
|  |  |  | 118952788  |
| Entertainment - 0.1%  |  |  |  |
|  Roblox Corp. 3.875% 5/1/30 (b)  |  | 670000  | 548248  |
|  The Walt Disney Co.:  |  |  |  |
|  2.2% 1/13/28  |  | 10316000  | 9245200  |
|  2.65% 1/13/31  |  | 13000000  | 11185569  |
|  |  |  | 20979017  |
| Media - 0.6%  |  |  |  |
|  Advantage Sales & Marketing, Inc. 6.5% 11/15/28 (b)  |  | 1330000  | 1041151  |
|  Altice Financing SA 5% 1/15/28 (b)  |  | 1200000  | 979056  |
|  CCO Holdings LLC/CCO Holdings Capital Corp.:  |  |  |  |
|  4.25% 2/1/31 (b)  |  | 940000  | 763092  |
|  4.5% 8/15/30 (b)  |  | 1340000  | 1128950  |
|  4.5% 5/1/32  |  | 2380000  | 1964131  |
|  4.5% 6/1/33 (b)  |  | 500000  | 396805  |
|  5% 2/1/28 (b)  |  | 2401000  | 2207143  |
|  Charter Communications Operating LLC/Charter Communications Operating Capital Corp.:  |  |  |  |
|  2.8% 4/1/31  |  | 25100000  | 19860703  |
|  3.7% 4/1/51  |  | 20100000  | 12838817  |
|  3.85% 4/1/61  |  | 9000000  | 5548405  |
|  3.9% 6/1/52  |  | 40000000  | 26567997  |
|  4.2% 3/15/28  |  | 1724000  | 1603654  |
|  4.8% 3/1/50  |  | 29000000  | 21758654  |
|  4.908% 7/23/25  |  | 6304000  | 6204974  |
|  5.375% 5/1/47  |  | 41310000  | 34175225  |
|  5.75% 4/1/48  |  | 18275000  | 15721850  |
|  6.834% 10/23/55  |  | 10000000  | 9575739  |
|  Comcast Corp.:  |  |  |  |
|  3.75% 4/1/40  |  | 1000000  | 835599  |
|  3.95% 10/15/25  |  | 1057000  | 1038890  |
|  3.999% 11/1/49  |  | 25463000  | 20777915  |
|  4.65% 7/15/42  |  | 2578000  | 2362727  |
|  CSC Holdings LLC:  |  |  |  |
|  4.625% 12/1/30 (b)  |  | 1105000  | 700744  |
|  5.5% 4/15/27 (b)  |  | 564000  | 516765  |
|  5.75% 1/15/30 (b)  |  | 875000  | 595875  |
|  6.5% 2/1/29 (b)  |  | 1500000  | 1366980  |
|  Diamond Sports Group LLC/Diamond Sports Finance Co. 5.375% 8/15/26 (b)  |  | 925000  | 150344  |
|  Discovery Communications LLC:  |  |  |  |
|  3.625% 5/15/30  |  | 6977000  | 5877828  |
|  4.65% 5/15/50  |  | 17335000  | 12514701  |
|  DISH Network Corp. 11.75% 11/15/27 (b)  |  | 1210000  | 1243674  |
|  Fox Corp.:  |  |  |  |
|  5.476% 1/25/39  |  | 2264000  | 2084874  |
|  5.576% 1/25/49  |  | 1502000  | 1346992  |
|  Gray Television, Inc. 4.75% 10/15/30 (b)  |  | 245000  | 181273  |
|  Lagardere S.C.A. 2.125% 10/16/26 (Reg. S)  | EUR  | 1400000  | 1392745  |
|  Lamar Media Corp. 3.625% 1/15/31  |  | 515000  | 428841  |
|  Magallanes, Inc.:  |  |  |  |
|  3.428% 3/15/24 (b)  |  | 7508000  | 7289950  |
|  3.638% 3/15/25 (b)  |  | 5651000  | 5395806  |
|  3.755% 3/15/27 (b)  |  | 9184000  | 8369221  |
|  4.054% 3/15/29 (b)  |  | 4111000  | 3600127  |
|  4.279% 3/15/32 (b)  |  | 14377000  | 12206061  |
|  5.05% 3/15/42 (b)  |  | 7412000  | 5933663  |
|  5.141% 3/15/52 (b)  |  | 61980000  | 48025886  |
|  Scripps Escrow II, Inc. 3.875% 1/15/29 (b)  |  | 225000  | 189129  |
|  Sirius XM Radio, Inc.:  |  |  |  |
|  3.875% 9/1/31 (b)  |  | 275000  | 224813  |
|  4.125% 7/1/30 (b)  |  | 10000000  | 8438200  |
|  5% 8/1/27 (b)  |  | 375000  | 349965  |
|  5.5% 7/1/29 (b)  |  | 2890000  | 2690879  |
|  TEGNA, Inc.:  |  |  |  |
|  4.625% 3/15/28  |  | 915000  | 862946  |
|  5% 9/15/29  |  | 115000  | 107529  |
|  Time Warner Cable LLC:  |  |  |  |
|  4.5% 9/15/42  |  | 886000  | 665095  |
|  5.5% 9/1/41  |  | 10030000  | 8538090  |
|  5.875% 11/15/40  |  | 8089000  | 7169479  |
|  6.55% 5/1/37  |  | 5846000  | 5603141  |
|  6.75% 6/15/39  |  | 4614000  | 4484174  |
|  7.3% 7/1/38  |  | 3785000  | 3870518  |
|  Virgin Media Secured Finance PLC 5.5% 5/15/29 (b)  |  | 415000  | 378688  |
|  VZ Secured Financing BV 5% 1/15/32 (b)  |  | 1090000  | 901975  |
|  Ziggo Bond Co. BV 5.125% 2/28/30 (b)  |  | 345000  | 279888  |
|  Ziggo BV 4.875% 1/15/30 (b)  |  | 550000  | 467500  |
|  |  |  | 351795836  |
| Wireless Telecommunication Services - 0.1%  |  |  |  |
|  Millicom International Cellular SA:  |  |  |  |
|  4.5% 4/27/31 (b)  |  | 7026000  | 5746390  |
|  5.125% 1/15/28 (b)  |  | 540000  | 487350  |
|  Rogers Communications, Inc.:  |  |  |  |
|  3.2% 3/15/27 (b)  |  | 12667000  | 11819989  |
|  3.8% 3/15/32 (b)  |  | 10290000  | 9109645  |
|  T-Mobile U.S.A., Inc.:  |  |  |  |
|  2.4% 3/15/29  |  | 1208000  | 1025903  |
|  2.625% 4/15/26  |  | 2931000  | 2687731  |
|  2.875% 2/15/31  |  | 695000  | 580792  |
|  3.5% 4/15/25  |  | 1448000  | 1401962  |
|  3.75% 4/15/27  |  | 10840000  | 10268271  |
|  3.875% 4/15/30  |  | 22877000  | 21011041  |
|  4.5% 4/15/50  |  | 4597000  | 3883003  |
|  Vodafone Group PLC:  |  |  |  |
|  4.875% 10/3/78 (Reg. S) (c)  | GBP  | 1100000  | 1246229  |
|  6.25% 10/3/78 (Reg. S) (c)  |  | 1445000  | 1390813  |
|  |  |  | 70659119  |
|  TOTAL COMMUNICATION SERVICES  |  |  | 562386760  |
| CONSUMER DISCRETIONARY - 0.7%  |  |  |  |
| Auto Components - 0.0%  |  |  |  |
|  Allison Transmission, Inc. 3.75% 1/30/31 (b)  |  | 615000  | 515007  |
|  Dana, Inc. 4.5% 2/15/32  |  | 275000  | 215360  |
|  Valeo SA 1% 8/3/28 (Reg. S)  | EUR  | 1100000  | 899842  |
|  ZF Finance GmbH 2% 5/6/27 (Reg. S)  | EUR  | 1400000  | 1236493  |
|  |  |  | 2866702  |
| Automobiles - 0.1%  |  |  |  |
|  General Motors Co.:  |  |  |  |
|  5.4% 10/2/23  |  | 18263000  | 18287026  |
|  6.125% 10/1/25  |  | 1724000  | 1746556  |
|  General Motors Financial Co., Inc.:  |  |  |  |
|  1.05% 3/8/24  |  | 693000  | 655573  |
|  1.25% 1/8/26  |  | 5114000  | 4481875  |
|  2.35% 2/26/27  |  | 1414000  | 1245177  |
|  3.25% 1/5/23  |  | 1897000  | 1893716  |
|  3.7% 5/9/23  |  | 8751000  | 8695453  |
|  4.15% 6/19/23  |  | 2077000  | 2063088  |
|  4.25% 5/15/23  |  | 1359000  | 1354117  |
|  4.35% 4/9/25  |  | 2069000  | 2024973  |
|  Thor Industries, Inc. 4% 10/15/29 (b)  |  | 355000  | 282176  |
|  Volkswagen Group of America Finance LLC:  |  |  |  |
|  1.25% 11/24/25 (b)  |  | 4238000  | 3794532  |
|  3.125% 5/12/23 (b)  |  | 9983000  | 9890497  |
|  3.35% 5/13/25 (b)  |  | 14765000  | 14137377  |
|  4.35% 6/8/27 (b)  |  | 1494000  | 1445830  |
|  |  |  | 71997966  |
| Diversified Consumer Services - 0.0%  |  |  |  |
|  Adtalem Global Education, Inc. 5.5% 3/1/28 (b)  |  | 430000  | 399900  |
|  GEMS MENASA Cayman Ltd. 7.125% 7/31/26 (b)  |  | 765000  | 727372  |
|  Service Corp. International 5.125% 6/1/29  |  | 970000  | 918769  |
|  |  |  | 2046041  |
| Hotels, Restaurants & Leisure - 0.1%  |  |  |  |
|  Aramark Services, Inc.:  |  |  |  |
|  5% 2/1/28 (b)  |  | 3530000  | 3301150  |
|  6.375% 5/1/25 (b)  |  | 1890000  | 1886258  |
|  Carnival Corp. 10.5% 2/1/26 (b)  |  | 1105000  | 1118371  |
|  Garden SpinCo Corp. 8.625% 7/20/30 (b)  |  | 110000  | 116781  |
|  Hilton Domestic Operating Co., Inc.:  |  |  |  |
|  3.625% 2/15/32 (b)  |  | 660000  | 543385  |
|  3.75% 5/1/29 (b)  |  | 700000  | 621187  |
|  4% 5/1/31 (b)  |  | 1535000  | 1291190  |
|  Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp. 4.875% 4/1/27  |  | 164000  | 157747  |
|  InterContinental Hotel Group PLC 3.375% 10/8/28 (Reg. S)  | GBP  | 2335000  | 2446334  |
|  Melco Resorts Finance Ltd. 4.875% 6/6/25 (b)  |  | 750000  | 662813  |
|  MGM Resorts International 5.75% 6/15/25  |  | 820000  | 800312  |
|  NCL Corp. Ltd. 5.875% 2/15/27 (b)  |  | 365000  | 324970  |
|  Royal Caribbean Cruises Ltd.:  |  |  |  |
|  5.375% 7/15/27 (b)  |  | 245000  | 203007  |
|  5.5% 4/1/28 (b)  |  | 755000  | 616269  |
|  11.5% 6/1/25 (b)  |  | 325000  | 347750  |
|  Whitbread PLC:  |  |  |  |
|  2.375% 5/31/27 (Reg. S)  | GBP  | 2360000  | 2399374  |
|  3.375% 10/16/25 (Reg. S)  | GBP  | 3355000  | 3743739  |
|  Wyndham Hotels & Resorts, Inc. 4.375% 8/15/28 (b)  |  | 290000  | 259336  |
|  Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. 5.5% 3/1/25 (b)  |  | 645000  | 619155  |
|  Yum! Brands, Inc. 3.625% 3/15/31  |  | 358000  | 298483  |
|  |  |  | 21757611  |
| Household Durables - 0.2%  |  |  |  |
|  Century Communities, Inc. 3.875% 8/15/29 (b)  |  | 325000  | 262275  |
|  D.R. Horton, Inc. 1.3% 10/15/26  |  | 15859000  | 13619673  |
|  Lennar Corp.:  |  |  |  |
|  4.75% 11/29/27  |  | 9429000  | 9025795  |
|  5% 6/15/27  |  | 12243000  | 12001940  |
|  5.25% 6/1/26  |  | 2965000  | 2930530  |
|  Newell Brands, Inc. 5.625% 4/1/36 (d)  |  | 270000  | 231107  |
|  Tempur Sealy International, Inc. 3.875% 10/15/31 (b)  |  | 280000  | 217367  |
|  The Berkeley Group PLC 2.5% 8/11/31 (Reg. S)  | GBP  | 1820000  | 1462562  |
|  Toll Brothers Finance Corp.:  |  |  |  |
|  4.35% 2/15/28  |  | 14431000  | 13003933  |
|  4.875% 11/15/25  |  | 1562000  | 1499929  |
|  4.875% 3/15/27  |  | 28295000  | 26510720  |
|  TopBuild Corp. 4.125% 2/15/32 (b)  |  | 580000  | 464173  |
|  |  |  | 81230004  |
| Internet & Direct Marketing Retail - 0.0%  |  |  |  |
|  Alibaba Group Holding Ltd.:  |  |  |  |
|  2.125% 2/9/31  |  | 2350000  | 1868415  |
|  2.7% 2/9/41  |  | 12255000  | 7840872  |
|  Match Group Holdings II LLC:  |  |  |  |
|  3.625% 10/1/31 (b)  |  | 410000  | 313310  |
|  4.125% 8/1/30 (b)  |  | 170000  | 141950  |
|  |  |  | 10164547  |
| Leisure Products - 0.0%  |  |  |  |
|  Hasbro, Inc. 3% 11/19/24  |  | 6474000  | 6194623  |
|  Mattel, Inc. 3.75% 4/1/29 (b)  |  | 430000  | 376538  |
|  |  |  | 6571161  |
| Multiline Retail - 0.0%  |  |  |  |
|  Dollar Tree, Inc. 4% 5/15/25  |  | 4207000  | 4121924  |
|  John Lewis PLC 6.125% 1/21/25  | GBP  | 2887000  | 3338551  |
|  Marks & Spencer PLC 4.5% 7/10/27 (Reg. S)  | GBP  | 2700000  | 2803960  |
|  Nordstrom, Inc.:  |  |  |  |
|  4.25% 8/1/31  |  | 10000000  | 7765400  |
|  4.375% 4/1/30  |  | 510000  | 409502  |
|  |  |  | 18439337  |
| Specialty Retail - 0.2%  |  |  |  |
|  Asbury Automotive Group, Inc.:  |  |  |  |
|  4.625% 11/15/29 (b)  |  | 175000  | 152688  |
|  5% 2/15/32 (b)  |  | 190000  | 160529  |
|  AutoNation, Inc.:  |  |  |  |
|  2.4% 8/1/31  |  | 23196000  | 17048827  |
|  4.75% 6/1/30  |  | 1430000  | 1287721  |
|  AutoZone, Inc.:  |  |  |  |
|  3.625% 4/15/25  |  | 187000  | 181857  |
|  4% 4/15/30  |  | 20845000  | 19492434  |
|  Bath & Body Works, Inc. 6.625% 10/1/30 (b)  |  | 825000  | 772349  |
|  Foot Locker, Inc. 4% 10/1/29 (b)  |  | 145000  | 119561  |
|  Gap, Inc. 3.875% 10/1/31 (b)  |  | 275000  | 207625  |
|  LCM Investments Holdings 4.875% 5/1/29 (b)  |  | 120000  | 100332  |
|  Lowe's Companies, Inc.:  |  |  |  |
|  1.7% 9/15/28  |  | 1724000  | 1466614  |
|  3.35% 4/1/27  |  | 1748000  | 1658794  |
|  3.75% 4/1/32  |  | 30381000  | 27674399  |
|  4.25% 4/1/52  |  | 14990000  | 12235672  |
|  4.45% 4/1/62  |  | 36330000  | 29366291  |
|  4.5% 4/15/30  |  | 2414000  | 2348709  |
|  O'Reilly Automotive, Inc.:  |  |  |  |
|  3.9% 6/1/29  |  | 1724000  | 1612856  |
|  4.2% 4/1/30  |  | 193000  | 182884  |
|  Ross Stores, Inc. 0.875% 4/15/26  |  | 2791000  | 2454906  |
|  The Home Depot, Inc. 2.5% 4/15/27  |  | 123000  | 114077  |
|  VIA Outlets 1.75% 11/15/28 (Reg. S)  | EUR  | 1300000  | 1039912  |
|  |  |  | 119679037  |
| Textiles, Apparel & Luxury Goods - 0.1%  |  |  |  |
|  Crocs, Inc. 4.125% 8/15/31 (b)  |  | 285000  | 227732  |
|  Hanesbrands, Inc. 4.875% 5/15/26 (b)  |  | 615000  | 559650  |
|  Kontoor Brands, Inc. 4.125% 11/15/29 (b)  |  | 95000  | 77359  |
|  Levi Strauss & Co. 3.5% 3/1/31 (b)  |  | 355000  | 291246  |
|  Tapestry, Inc. 3.05% 3/15/32  |  | 38118000  | 29495283  |
|  The William Carter Co. 5.625% 3/15/27 (b)  |  | 446000  | 427711  |
|  Wolverine World Wide, Inc. 4% 8/15/29 (b)  |  | 380000  | 281200  |
|  |  |  | 31360181  |
|  TOTAL CONSUMER DISCRETIONARY  |  |  | 366112587  |
| CONSUMER STAPLES - 0.6%  |  |  |  |
| Beverages - 0.2%  |  |  |  |
|  Anheuser-Busch InBev Finance, Inc.:  |  |  |  |
|  4.7% 2/1/36  |  | 6600000  | 6332665  |
|  4.9% 2/1/46  |  | 14391000  | 13462540  |
|  Anheuser-Busch InBev SA NV 9.75% 7/30/24  | GBP  | 75000  | 97691  |
|  Anheuser-Busch InBev Worldwide, Inc.:  |  |  |  |
|  3.5% 6/1/30  |  | 12754000  | 11778469  |
|  4.35% 6/1/40  |  | 6274000  | 5663482  |
|  4.5% 6/1/50  |  | 11500000  | 10397327  |
|  4.6% 6/1/60  |  | 18803000  | 16931298  |
|  4.75% 1/23/29  |  | 11220000  | 11213130  |
|  4.75% 4/15/58  |  | 5641000  | 5155535  |
|  5.45% 1/23/39  |  | 5480000  | 5602598  |
|  5.55% 1/23/49  |  | 13389000  | 13708018  |
|  5.8% 1/23/59 (Reg. S)  |  | 14304000  | 15161244  |
|  Constellation Brands, Inc. 4.75% 11/15/24  |  | 3799000  | 3777062  |
|  Molson Coors Beverage Co. 3% 7/15/26  |  | 1552000  | 1455714  |
|  PepsiCo, Inc.:  |  |  |  |
|  2.625% 3/19/27  |  | 1114000  | 1037834  |
|  2.75% 3/19/30  |  | 5700000  | 5066539  |
|  |  |  | 126841146  |
| Food & Staples Retailing - 0.1%  |  |  |  |
|  7-Eleven, Inc. 0.95% 2/10/26 (b)  |  | 797000  | 699405  |
|  Albertsons Companies LLC/Safeway, Inc./New Albertson's, Inc./Albertson's LLC:  |  |  |  |
|  3.5% 3/15/29 (b)  |  | 2290000  | 1907622  |
|  4.625% 1/15/27 (b)  |  | 925000  | 855708  |
|  Alimentation Couche-Tard, Inc. 2.95% 1/25/30 (b)  |  | 940000  | 801089  |
|  Sysco Corp. 6.6% 4/1/50  |  | 43415000  | 48433718  |
|  U.S. Foods, Inc.:  |  |  |  |
|  4.625% 6/1/30 (b)  |  | 130000  | 115363  |
|  6.25% 4/15/25 (b)  |  | 1210000  | 1221301  |
|  |  |  | 54034206  |
| Food Products - 0.3%  |  |  |  |
|  Darling Ingredients, Inc.:  |  |  |  |
|  5.25% 4/15/27 (b)  |  | 615000  | 595228  |
|  6% 6/15/30 (b)  |  | 160000  | 156030  |
|  General Mills, Inc. 2.875% 4/15/30  |  | 1277000  | 1117464  |
|  JBS U.S.A. Lux SA / JBS Food Co.:  |  |  |  |
|  2.5% 1/15/27 (b)  |  | 15220000  | 13266056  |
|  3% 2/2/29 (b)  |  | 1724000  | 1446133  |
|  3% 5/15/32 (b)  |  | 13470000  | 10557180  |
|  3.625% 1/15/32 (b)  |  | 24530000  | 20237250  |
|  5.125% 2/1/28 (b)  |  | 10358000  | 9877211  |
|  5.5% 1/15/30 (b)  |  | 25145000  | 24118078  |
|  5.75% 4/1/33 (b)  |  | 12805000  | 12404588  |
|  JDE Peet's BV:  |  |  |  |
|  1.375% 1/15/27 (b)  |  | 3516000  | 2969400  |
|  2.25% 9/24/31 (b)  |  | 2500000  | 1872994  |
|  Kraft Heinz Foods Co.:  |  |  |  |
|  4.375% 6/1/46  |  | 31645000  | 26672371  |
|  4.875% 10/1/49  |  | 10000000  | 8963273  |
|  5.2% 7/15/45  |  | 6203000  | 5864768  |
|  7.125% 8/1/39 (b)  |  | 9489000  | 10595254  |
|  Lamb Weston Holdings, Inc. 4.875% 5/15/28 (b)  |  | 825000  | 777653  |
|  Post Holdings, Inc. 4.625% 4/15/30 (b)  |  | 905000  | 794002  |
|  TreeHouse Foods, Inc. 4% 9/1/28  |  | 390000  | 332268  |
|  |  |  | 152617201  |
| Personal Products - 0.0%  |  |  |  |
|  BellRing Brands, Inc. 7% 3/15/30 (b)  |  | 270000  | 260844  |
|  GSK Consumer Healthcare Capital 2.125% 3/29/34 (Reg. S)  | EUR  | 1150000  | 1020918  |
|  Prestige Brands, Inc. 3.75% 4/1/31 (b)  |  | 340000  | 287273  |
|  |  |  | 1569035  |
| Tobacco - 0.0%  |  |  |  |
|  Altria Group, Inc.:  |  |  |  |
|  2.35% 5/6/25  |  | 346000  | 324583  |
|  4.8% 2/14/29  |  | 2374000  | 2278727  |
|  BAT Capital Corp.:  |  |  |  |
|  3.222% 8/15/24  |  | 1035000  | 998200  |
|  4.7% 4/2/27  |  | 2181000  | 2102857  |
|  BAT International Finance PLC:  |  |  |  |
|  1.668% 3/25/26  |  | 4276000  | 3790370  |
|  2.25% 6/26/28 (Reg. S)  | GBP  | 5345000  | 5259492  |
|  Imperial Tobacco Finance PLC 3.125% 7/26/24 (b)  |  | 2862000  | 2729545  |
|  Philip Morris International, Inc. 5.125% 11/17/27  |  | 5500000  | 5511629  |
|  |  |  | 22995403  |
|  TOTAL CONSUMER STAPLES  |  |  | 358056991  |
| ENERGY - 0.9%  |  |  |  |
| Energy Equipment & Services - 0.0%  |  |  |  |
|  Baker Hughes Co. 2.061% 12/15/26  |  | 656000  | 590765  |
|  Technip Energies NV 1.125% 5/28/28  | EUR  | 1665000  | 1402726  |
|  |  |  | 1993491  |
| Oil, Gas & Consumable Fuels - 0.9%  |  |  |  |
|  Apache Corp.:  |  |  |  |
|  5.1% 9/1/40  |  | 330000  | 271425  |
|  5.25% 2/1/42  |  | 495000  | 401674  |
|  5.35% 7/1/49  |  | 80000  | 63296  |
|  Canadian Natural Resources Ltd. 3.9% 2/1/25  |  | 1172000  | 1146977  |
|  Cenovus Energy, Inc.:  |  |  |  |
|  4.25% 4/15/27  |  | 3793000  | 3633791  |
|  6.75% 11/15/39  |  | 4027000  | 4236829  |
|  Cheniere Energy Partners LP:  |  |  |  |
|  3.25% 1/31/32  |  | 275000  | 223781  |
|  4% 3/1/31  |  | 925000  | 808219  |
|  Cheniere Energy, Inc. 4.625% 10/15/28  |  | 595000  | 549114  |
|  CNX Midstream Partners LP 4.75% 4/15/30 (b)  |  | 115000  | 95909  |
|  Colgate Energy Partners III LLC 5.875% 7/1/29 (b)  |  | 145000  | 133400  |
|  Columbia Pipeline Group, Inc. 4.5% 6/1/25  |  | 852000  | 839070  |
|  Continental Resources, Inc. 5.75% 1/15/31 (b)  |  | 895000  | 837995  |
|  Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.:  |  |  |  |
|  5.625% 5/1/27 (b)  |  | 1653000  | 1555421  |
|  5.75% 4/1/25  |  | 2038000  | 1986797  |
|  6% 2/1/29 (b)  |  | 1420000  | 1309950  |
|  CVR Energy, Inc.:  |  |  |  |
|  5.25% 2/15/25 (b)  |  | 790000  | 757231  |
|  5.75% 2/15/28 (b)  |  | 105000  | 94462  |
|  DCP Midstream Operating LP:  |  |  |  |
|  3.875% 3/15/23  |  | 4333000  | 4310468  |
|  5.125% 5/15/29  |  | 1740000  | 1687097  |
|  5.375% 7/15/25  |  | 2609000  | 2576590  |
|  5.6% 4/1/44  |  | 2748000  | 2584501  |
|  5.625% 7/15/27  |  | 620000  | 617497  |
|  5.85% 5/21/43 (b)(c)  |  | 29466000  | 28826654  |
|  6.45% 11/3/36 (b)  |  | 210000  | 208727  |
|  8.125% 8/16/30  |  | 15000  | 16638  |
|  Eastern Gas Transmission & Storage, Inc. 3% 11/15/29  |  | 1897000  | 1655415  |
|  EG Global Finance PLC 6.75% 2/7/25 (b)  |  | 530000  | 482300  |
|  Enbridge, Inc.:  |  |  |  |
|  4% 10/1/23  |  | 3854000  | 3810544  |
|  4.25% 12/1/26  |  | 1461000  | 1416545  |
|  Endeavor Energy Resources LP/EER Finance, Inc. 5.75% 1/30/28 (b)  |  | 435000  | 428127  |
|  Energy Transfer LP:  |  |  |  |
|  2.9% 5/15/25  |  | 2069000  | 1951476  |
|  3.6% 2/1/23  |  | 1131000  | 1127412  |
|  3.75% 5/15/30  |  | 3643000  | 3229110  |
|  3.9% 5/15/24 (c)  |  | 869000  | 849537  |
|  4.2% 9/15/23  |  | 1776000  | 1763029  |
|  4.25% 3/15/23  |  | 1393000  | 1388567  |
|  4.5% 4/15/24  |  | 4382000  | 4326994  |
|  4.95% 6/15/28  |  | 5827000  | 5636671  |
|  5% 5/15/50  |  | 32271000  | 26596141  |
|  5.25% 4/15/29  |  | 2564000  | 2494337  |
|  5.4% 10/1/47  |  | 2232000  | 1924827  |
|  5.8% 6/15/38  |  | 2288000  | 2121536  |
|  5.875% 1/15/24  |  | 2081000  | 2088964  |
|  6% 6/15/48  |  | 2290000  | 2103324  |
|  6.125% 12/15/45  |  | 650000  | 615616  |
|  6.25% 4/15/49  |  | 1761000  | 1665331  |
|  EnLink Midstream LLC 5.625% 1/15/28 (b)  |  | 105000  | 102375  |
|  EnLink Midstream Partners LP:  |  |  |  |
|  5.05% 4/1/45  |  | 140000  | 106337  |
|  5.45% 6/1/47  |  | 290000  | 234900  |
|  5.6% 4/1/44  |  | 490000  | 406700  |
|  EQM Midstream Partners LP:  |  |  |  |
|  4.75% 1/15/31 (b)  |  | 550000  | 463012  |
|  5.5% 7/15/28  |  | 440000  | 407695  |
|  6.5% 7/1/27 (b)  |  | 465000  | 451050  |
|  6.5% 7/15/48  |  | 265000  | 205285  |
|  7.5% 6/1/27 (b)  |  | 515000  | 520464  |
|  EQT Corp.:  |  |  |  |
|  3.9% 10/1/27  |  | 1440000  | 1333025  |
|  5.7% 4/1/28  |  | 186000  | 185825  |
|  Equinor ASA 1.75% 1/22/26  |  | 380000  | 348534  |
|  Global Partners LP/GLP Finance Corp. 7% 8/1/27  |  | 2410000  | 2283475  |
|  Hess Corp.:  |  |  |  |
|  4.3% 4/1/27  |  | 13765000  | 13231119  |
|  5.6% 2/15/41  |  | 61267000  | 59045384  |
|  5.8% 4/1/47  |  | 5019000  | 4875339  |
|  7.125% 3/15/33  |  | 1403000  | 1534358  |
|  7.3% 8/15/31  |  | 1709000  | 1878162  |
|  7.875% 10/1/29  |  | 4789000  | 5361429  |
|  Hess Midstream Partners LP:  |  |  |  |
|  5.125% 6/15/28 (b)  |  | 780000  | 734339  |
|  5.5% 10/15/30 (b)  |  | 115000  | 105414  |
|  5.625% 2/15/26 (b)  |  | 4262000  | 4189503  |
|  Hilcorp Energy I LP/Hilcorp Finance Co.:  |  |  |  |
|  6% 4/15/30 (b)  |  | 520000  | 478156  |
|  6.25% 11/1/28 (b)  |  | 185000  | 176178  |
|  Holly Energy Partners LP/Holly Energy Finance Corp.:  |  |  |  |
|  5% 2/1/28 (b)  |  | 910000  | 829158  |
|  6.375% 4/15/27 (b)  |  | 215000  | 210353  |
|  Kinder Morgan Energy Partners LP 3.5% 9/1/23  |  | 1042000  | 1028065  |
|  Kinder Morgan, Inc. 3.6% 2/15/51  |  | 26000000  | 18526051  |
|  MPLX LP:  |  |  |  |
|  1.75% 3/1/26  |  | 1690000  | 1508523  |
|  4% 2/15/25  |  | 172000  | 166985  |
|  4% 3/15/28  |  | 1724000  | 1613874  |
|  4.5% 7/15/23  |  | 341000  | 338945  |
|  4.8% 2/15/29  |  | 1376000  | 1324310  |
|  4.875% 12/1/24  |  | 1974000  | 1956967  |
|  4.95% 9/1/32  |  | 13900000  | 13156783  |
|  5.5% 2/15/49  |  | 4129000  | 3709612  |
|  Murphy Oil U.S.A., Inc. 3.75% 2/15/31 (b)  |  | 110000  | 89998  |
|  New Fortress Energy, Inc.:  |  |  |  |
|  6.5% 9/30/26 (b)  |  | 1930000  | 1865258  |
|  6.75% 9/15/25 (b)  |  | 1300000  | 1269749  |
|  Occidental Petroleum Corp.:  |  |  |  |
|  2.9% 8/15/24  |  | 2118000  | 2033280  |
|  3.5% 8/15/29  |  | 465000  | 420825  |
|  4.2% 3/15/48  |  | 310000  | 238700  |
|  4.3% 8/15/39  |  | 165000  | 133650  |
|  4.4% 4/15/46  |  | 480000  | 379200  |
|  4.4% 8/15/49  |  | 545000  | 425309  |
|  5.55% 3/15/26  |  | 5734000  | 5734000  |
|  6.125% 1/1/31  |  | 365000  | 370327  |
|  6.2% 3/15/40  |  | 160000  | 156395  |
|  6.45% 9/15/36  |  | 5135000  | 5147838  |
|  6.6% 3/15/46  |  | 4886000  | 4983720  |
|  7.5% 5/1/31  |  | 7400000  | 8029000  |
|  7.875% 9/15/31  |  | 100000  | 109500  |
|  8.875% 7/15/30  |  | 345000  | 395456  |
|  Ovintiv, Inc.:  |  |  |  |
|  5.15% 11/15/41  |  | 3000000  | 2713898  |
|  8.125% 9/15/30  |  | 5649000  | 6279203  |
|  Petroleos Mexicanos:  |  |  |  |
|  5.95% 1/28/31  |  | 3260000  | 2437828  |
|  6.35% 2/12/48  |  | 1560000  | 943800  |
|  6.49% 1/23/27  |  | 3630000  | 3284424  |
|  6.5% 3/13/27  |  | 9576000  | 8633722  |
|  6.7% 2/16/32  |  | 1635000  | 1260340  |
|  6.75% 9/21/47  |  | 22490000  | 14309263  |
|  6.84% 1/23/30  |  | 12004000  | 9855284  |
|  6.95% 1/28/60  |  | 32166000  | 20274230  |
|  7.69% 1/23/50  |  | 100606000  | 68482504  |
|  Phillips 66 Co. 0.9% 2/15/24  |  | 2173000  | 2070925  |
|  Plains All American Pipeline LP/PAA Finance Corp.:  |  |  |  |
|  3.55% 12/15/29  |  | 1968000  | 1715025  |
|  3.6% 11/1/24  |  | 1903000  | 1835722  |
|  3.85% 10/15/23  |  | 913000  | 900781  |
|  Rockies Express Pipeline LLC:  |  |  |  |
|  4.8% 5/15/30 (b)  |  | 735000  | 625140  |
|  4.95% 7/15/29 (b)  |  | 276000  | 248183  |
|  6.875% 4/15/40 (b)  |  | 105000  | 87150  |
|  Sabine Pass Liquefaction LLC 4.5% 5/15/30  |  | 14626000  | 13819778  |
|  Southeast Supply Header LLC 4.25% 6/15/24 (b)  |  | 1057000  | 953976  |
|  Sunoco LP/Sunoco Finance Corp.:  |  |  |  |
|  4.5% 5/15/29  |  | 635000  | 549838  |
|  5.875% 3/15/28  |  | 135000  | 128580  |
|  6% 4/15/27  |  | 1005000  | 990815  |
|  Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp.:  |  |  |  |
|  5.5% 1/15/28 (b)  |  | 125000  | 113438  |
|  6% 3/1/27 (b)  |  | 545000  | 518096  |
|  6% 12/31/30 (b)  |  | 655000  | 592768  |
|  6% 9/1/31 (b)  |  | 270000  | 240638  |
|  Targa Resources Partners LP/Targa Resources Partners Finance Corp. 5.5% 3/1/30  |  | 135000  | 129074  |
|  The Williams Companies, Inc.:  |  |  |  |
|  3.5% 11/15/30  |  | 15742000  | 13930353  |
|  4.3% 3/4/24  |  | 859000  | 848881  |
|  4.55% 6/24/24  |  | 878000  | 868920  |
|  4.65% 8/15/32  |  | 19960000  | 18906913  |
|  5.1% 9/15/45  |  | 9765000  | 8733961  |
|  5.3% 8/15/52  |  | 4560000  | 4188628  |
|  Venture Global Calcasieu Pass LLC:  |  |  |  |
|  3.875% 8/15/29 (b)  |  | 340000  | 293675  |
|  3.875% 11/1/33 (b)  |  | 275000  | 223642  |
|  4.125% 8/15/31 (b)  |  | 325000  | 280313  |
|  Western Gas Partners LP:  |  |  |  |
|  3 month U.S. LIBOR + 1.100% 5.0407% 1/13/23 (c)(e)  |  | 715000  | 713570  |
|  3.95% 6/1/25  |  | 1280000  | 1225600  |
|  4.3% 2/1/30  |  | 1420000  | 1265348  |
|  4.65% 7/1/26  |  | 2046000  | 1989807  |
|  4.75% 8/15/28  |  | 1236000  | 1143300  |
|  |  |  | 520866539  |
|  TOTAL ENERGY  |  |  | 522860030  |
| FINANCIALS - 5.0%  |  |  |  |
| Banks - 2.6%  |  |  |  |
|  AIB Group PLC:  |  |  |  |
|  1.875% 11/19/29 (Reg. S) (c)  | EUR  | 2710000  | 2567916  |
|  2.25% 4/4/28 (Reg. S) (c)  | EUR  | 3400000  | 3170947  |
|  2.875% 5/30/31 (Reg. S) (c)  | EUR  | 700000  | 650435  |
|  Alpha Bank SA 4.25% 2/13/30 (Reg. S) (c)  | EUR  | 895000  | 756546  |
|  Bank of America Corp.:  |  |  |  |
|  1.197% 10/24/26 (c)  |  | 6035000  | 5357380  |
|  1.319% 6/19/26 (c)  |  | 1966000  | 1773893  |
|  1.734% 7/22/27 (c)  |  | 25000000  | 21905625  |
|  2.299% 7/21/32 (c)  |  | 50000000  | 39176233  |
|  2.496% 2/13/31 (c)  |  | 1724000  | 1418339  |
|  2.972% 2/4/33 (c)  |  | 20000000  | 16347488  |
|  3.3% 1/11/23  |  | 2658000  | 2653583  |
|  3.384% 4/2/26 (c)  |  | 3052000  | 2906189  |
|  3.419% 12/20/28 (c)  |  | 5193000  | 4735254  |
|  3.5% 4/19/26  |  | 6078000  | 5827777  |
|  3.95% 4/21/25  |  | 39384000  | 38490639  |
|  3.97% 3/5/29 (c)  |  | 1724000  | 1601414  |
|  3.974% 2/7/30 (c)  |  | 2345000  | 2156598  |
|  4% 1/22/25  |  | 26856000  | 26329931  |
|  4.1% 7/24/23  |  | 1426000  | 1420247  |
|  4.183% 11/25/27  |  | 6909000  | 6582334  |
|  4.2% 8/26/24  |  | 11290000  | 11131794  |
|  4.25% 10/22/26  |  | 40217000  | 39378549  |
|  4.271% 7/23/29 (c)  |  | 1207000  | 1136199  |
|  4.45% 3/3/26  |  | 7724000  | 7596984  |
|  4.948% 7/22/28 (c)  |  | 3000000  | 2940844  |
|  Bank of Ireland Group PLC:  |  |  |  |
|  1.375% 8/11/31 (Reg. S) (c)  | EUR  | 4235000  | 3707577  |
|  2.029% 9/30/27 (b)(c)  |  | 2500000  | 2073175  |
|  Bank of Montreal 1.85% 5/1/25  |  | 2414000  | 2255892  |
|  Bank of Nova Scotia 4.5% 12/16/25  |  | 2207000  | 2179444  |
|  Banque Federative du Credit Mutuel SA 4.524% 7/13/25 (b)  |  | 2937000  | 2889736  |
|  Barclays PLC:  |  |  |  |
|  1.007% 12/10/24 (c)  |  | 1359000  | 1285123  |
|  2.279% 11/24/27 (c)  |  | 29514000  | 25385428  |
|  2.852% 5/7/26 (c)  |  | 18341000  | 16910670  |
|  3.932% 5/7/25 (c)  |  | 3114000  | 3003764  |
|  4.375% 1/12/26  |  | 4468000  | 4297133  |
|  4.836% 5/9/28  |  | 6102000  | 5594569  |
|  5.088% 6/20/30 (c)  |  | 29218000  | 26316883  |
|  5.2% 5/12/26  |  | 1556000  | 1508682  |
|  5.262% 1/29/34 (Reg. S) (c)  | EUR  | 510000  | 537904  |
|  5.304% 8/9/26 (c)  |  | 1387000  | 1363977  |
|  5.746% 8/9/33 (c)  |  | 583000  | 558428  |
|  7.437% 11/2/33 (c)  |  | 550000  | 582611  |
|  8.407% 11/14/32 (Reg. S) (c)  | GBP  | 750000  | 935411  |
|  BNP Paribas SA:  |  |  |  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.000% 1.323% 1/13/27 (b)(c)(e)  |  | 1923000  | 1670311  |
|  2.159% 9/15/29 (b)(c)  |  | 3350000  | 2717521  |
|  2.219% 6/9/26 (b)(c)  |  | 14952000  | 13731453  |
|  2.5% 3/31/32 (Reg. S) (c)  | EUR  | 2500000  | 2330866  |
|  BPCE SA:  |  |  |  |
|  1.5% 1/13/42 (Reg. S) (c)  | EUR  | 2200000  | 1956453  |
|  4.875% 4/1/26 (b)  |  | 7383000  | 7046041  |
|  Canadian Imperial Bank of Commerce:  |  |  |  |
|  3.45% 4/7/27  |  | 16220000  | 15277728  |
|  3.6% 4/7/32  |  | 16310000  | 14513452  |
|  Capital One NA 2.28% 1/28/26 (c)  |  | 1962000  | 1825265  |
|  Citigroup, Inc.:  |  |  |  |
|  3.106% 4/8/26 (c)  |  | 1931000  | 1831608  |
|  4.075% 4/23/29 (c)  |  | 4606000  | 4303146  |
|  4.125% 7/25/28  |  | 6909000  | 6524912  |
|  4.3% 11/20/26  |  | 1766000  | 1722742  |
|  4.4% 6/10/25  |  | 19341000  | 19021363  |
|  4.412% 3/31/31 (c)  |  | 34201000  | 31790063  |
|  4.45% 9/29/27  |  | 21445000  | 20654551  |
|  4.6% 3/9/26  |  | 18593000  | 18330827  |
|  5.3% 5/6/44  |  | 9501000  | 8817470  |
|  5.5% 9/13/25  |  | 7738000  | 7853346  |
|  Citizens Financial Group, Inc. 2.638% 9/30/32  |  | 7305000  | 5459612  |
|  Commerzbank AG 8.625% 2/28/33 (Reg. S) (c)  | GBP  | 200000  | 243367  |
|  Commonwealth Bank of Australia:  |  |  |  |
|  2.688% 3/11/31 (b)  |  | 3046000  | 2322823  |
|  3.61% 9/12/34 (b)(c)  |  | 3723000  | 3057792  |
|  Credit Agricole SA 1.25% 10/2/24 (Reg. S)  | GBP  | 500000  | 565015  |
|  Danske Bank A/S:  |  |  |  |
|  2.25% 1/14/28 (Reg. S) (c)  | GBP  | 1760000  | 1812659  |
|  3.875% 9/12/23 (b)  |  | 1035000  | 1019795  |
|  DNB Bank ASA:  |  |  |  |
|  1.535% 5/25/27 (b)(c)  |  | 49790000  | 43432358  |
|  1.605% 3/30/28 (b)(c)  |  | 3208000  | 2727577  |
|  First Citizens Bank & Trust Co.:  |  |  |  |
|  3.929% 6/19/24 (c)  |  | 2160000  | 2131816  |
|  6.125% 3/9/28  |  | 40920000  | 41974271  |
|  HAT Holdings I LLC/HAT Holdings II LLC 3.375% 6/15/26 (b)  |  | 350000  | 304434  |
|  HSBC Holdings PLC:  |  |  |  |
|  0.976% 5/24/25 (c)  |  | 862000  | 792950  |
|  1.645% 4/18/26 (c)  |  | 4312000  | 3874674  |
|  2.251% 11/22/27 (c)  |  | 30111000  | 25954177  |
|  2.999% 3/10/26 (c)  |  | 2759000  | 2574878  |
|  4.25% 3/14/24  |  | 1433000  | 1409263  |
|  4.292% 9/12/26 (c)  |  | 1724000  | 1642393  |
|  4.95% 3/31/30  |  | 2548000  | 2441951  |
|  5.21% 8/11/28 (c)  |  | 2164000  | 2088214  |
|  5.25% 3/14/44  |  | 1039000  | 903621  |
|  5.402% 8/11/33 (c)  |  | 290000  | 271520  |
|  7.39% 11/3/28 (c)  |  | 900000  | 943868  |
|  8.201% 11/16/34 (Reg. S) (c)  | GBP  | 1000000  | 1253713  |
|  Huntington Bancshares, Inc. 4.443% 8/4/28 (c)  |  | 1728000  | 1640987  |
|  Huntington National Bank 5.699% 11/18/25 (c)  |  | 3900000  | 3906254  |
|  ING Groep NV 1.726% 4/1/27 (c)  |  | 1250000  | 1103354  |
|  Intesa Sanpaolo SpA:  |  |  |  |
|  3.375% 1/12/23 (b)  |  | 1586000  | 1581370  |
|  4.198% 6/1/32 (b)(c)  |  | 17320000  | 12774638  |
|  5.017% 6/26/24 (b)  |  | 10324000  | 9940810  |
|  5.71% 1/15/26 (b)  |  | 82253000  | 79468516  |
|  JPMorgan Chase & Co.:  |  |  |  |
|  1.045% 11/19/26 (c)  |  | 2014000  | 1776621  |
|  1.47% 9/22/27 (c)  |  | 3410000  | 2959918  |
|  2.069% 6/1/29 (c)  |  | 2586000  | 2174719  |
|  2.083% 4/22/26 (c)  |  | 2448000  | 2274225  |
|  2.522% 4/22/31 (c)  |  | 1724000  | 1425834  |
|  2.947% 2/24/28 (c)  |  | 6239000  | 5675028  |
|  2.956% 5/13/31 (c)  |  | 10363000  | 8641578  |
|  3.797% 7/23/24 (c)  |  | 1669000  | 1651372  |
|  3.875% 9/10/24  |  | 1782000  | 1751402  |
|  4.125% 12/15/26  |  | 17128000  | 16730559  |
|  4.25% 10/1/27  |  | 1379000  | 1344493  |
|  4.586% 4/26/33 (c)  |  | 40698000  | 38229401  |
|  4.912% 7/25/33 (c)  |  | 100000000  | 96431465  |
|  5.717% 9/14/33 (c)  |  | 46300000  | 45802955  |
|  Lloyds Bank Corporate Markets PLC:  |  |  |  |
|  1.5% 6/23/23 (Reg. S)  | GBP  | 470000  | 556061  |
|  1.75% 7/11/24 (Reg. S)  | GBP  | 500000  | 572361  |
|  Lloyds Banking Group PLC:  |  |  |  |
|  1.985% 12/15/31 (c)  | GBP  | 1195000  | 1201540  |
|  2.438% 2/5/26 (c)  |  | 575000  | 531807  |
|  4.976% 8/11/33 (c)  |  | 290000  | 266898  |
|  Mitsubishi UFJ Financial Group, Inc.:  |  |  |  |
|  1.412% 7/17/25  |  | 2000000  | 1812119  |
|  1.538% 7/20/27 (c)  |  | 3276000  | 2849264  |
|  1.64% 10/13/27 (c)  |  | 4211000  | 3639633  |
|  2.193% 2/25/25  |  | 2462000  | 2312169  |
|  4.05% 9/11/28  |  | 1724000  | 1623753  |
|  5.017% 7/20/28 (c)  |  | 4690000  | 4597478  |
|  Mizuho Financial Group, Inc.:  |  |  |  |
|  1.234% 5/22/27 (c)  |  | 3448000  | 2982672  |
|  4.254% 9/11/29 (c)  |  | 1035000  | 954508  |
|  NatWest Group PLC:  |  |  |  |
|  1.642% 6/14/27 (c)  |  | 1207000  | 1033353  |
|  2.359% 5/22/24 (c)  |  | 1429000  | 1401629  |
|  3.073% 5/22/28 (c)  |  | 9914000  | 8776717  |
|  3.619% 3/29/29 (Reg. S) (c)  | GBP  | 1600000  | 1679706  |
|  3.622% 8/14/30 (Reg. S) (c)  | GBP  | 3400000  | 3755621  |
|  4.519% 6/25/24 (c)  |  | 2372000  | 2347210  |
|  4.8% 4/5/26  |  | 19815000  | 19311907  |
|  5.125% 5/28/24  |  | 35958000  | 35525398  |
|  7.416% 6/6/33 (Reg. S) (c)  | GBP  | 850000  | 1026583  |
|  NatWest Markets PLC 2.375% 5/21/23 (b)  |  | 15700000  | 15436503  |
|  Rabobank Nederland:  |  |  |  |
|  1.98% 12/15/27 (b)(c)  |  | 1414000  | 1224742  |
|  4.375% 8/4/25  |  | 4789000  | 4653918  |
|  Regions Financial Corp. 2.25% 5/18/25  |  | 1067000  | 998639  |
|  Santander Holdings U.S.A., Inc. 2.49% 1/6/28 (c)  |  | 3100000  | 2690200  |
|  Societe Generale:  |  |  |  |
|  1.038% 6/18/25 (b)(c)  |  | 75000000  | 68433374  |
|  1.488% 12/14/26 (b)(c)  |  | 18551000  | 16042407  |
|  1.792% 6/9/27 (b)(c)  |  | 2160000  | 1837793  |
|  2.625% 10/16/24 (b)  |  | 436000  | 410704  |
|  4.25% 4/14/25 (b)  |  | 8160000  | 7795977  |
|  4.677% 6/15/27 (b)  |  | 2931000  | 2859097  |
|  4.75% 11/24/25 (b)  |  | 3999000  | 3809000  |
|  Sumitomo Mitsui Financial Group, Inc. 1.402% 9/17/26  |  | 3035000  | 2639048  |
|  SVB Financial Group:  |  |  |  |
|  2.1% 5/15/28  |  | 3257000  | 2673107  |
|  3.125% 6/5/30  |  | 1018000  | 832852  |
|  The Toronto-Dominion Bank 2.8% 3/10/27  |  | 2626000  | 2410911  |
|  Truist Financial Corp. 4.26% 7/28/26 (c)  |  | 3031000  | 2975767  |
|  UniCredit SpA 2.731% 1/15/32 (Reg. S) (c)  | EUR  | 3365000  | 2975872  |
|  Virgin Money UK PLC 5.125% 12/11/30 (Reg. S) (c)  | GBP  | 1075000  | 1195817  |
|  Wells Fargo & Co.:  |  |  |  |
|  2.125% 12/20/23 (Reg. S)  | GBP  | 475000  | 554689  |
|  2.164% 2/11/26 (c)  |  | 2935000  | 2736341  |
|  2.188% 4/30/26 (c)  |  | 3173000  | 2955315  |
|  2.406% 10/30/25 (c)  |  | 7739000  | 7293373  |
|  3.526% 3/24/28 (c)  |  | 25667000  | 23841975  |
|  4.3% 7/22/27  |  | 28701000  | 27718942  |
|  4.478% 4/4/31 (c)  |  | 19300000  | 18241750  |
|  4.897% 7/25/33 (c)  |  | 100000000  | 96356363  |
|  Wells Fargo Bank NA 5.25% 8/1/23 (Reg. S)  | GBP  | 450000  | 542612  |
|  Westpac Banking Corp.:  |  |  |  |
|  U.S. TREASURY 1 YEAR INDEX + 2.680% 5.405% 8/10/33 (c)(e)  |  | 2241000  | 2069359  |
|  4.11% 7/24/34 (c)  |  | 5791000  | 4940586  |
|  |  |  | 1445712323  |
| Capital Markets - 1.0%  |  |  |  |
|  Affiliated Managers Group, Inc. 4.25% 2/15/24  |  | 1396000  | 1380615  |
|  Ares Capital Corp.:  |  |  |  |
|  3.25% 7/15/25  |  | 42000000  | 38416183  |
|  3.875% 1/15/26  |  | 22188000  | 20403079  |
|  4.2% 6/10/24  |  | 15463000  | 14990045  |
|  Coinbase Global, Inc.:  |  |  |  |
|  3.375% 10/1/28 (b)  |  | 685000  | 400369  |
|  3.625% 10/1/31 (b)  |  | 695000  | 375300  |
|  Credit Suisse Group AG:  |  |  |  |
|  1.305% 2/2/27 (b)(c)  |  | 3100000  | 2437778  |
|  2.125% 10/13/26 (Reg. S) (c)  | EUR  | 2500000  | 2218237  |
|  2.125% 11/15/29 (Reg. S) (c)  | GBP  | 1300000  | 1117566  |
|  2.593% 9/11/25 (b)(c)  |  | 16030000  | 14200797  |
|  3.75% 3/26/25  |  | 9717000  | 8613435  |
|  4.194% 4/1/31 (b)(c)  |  | 38618000  | 29276737  |
|  4.207% 6/12/24 (b)(c)  |  | 4655000  | 4516932  |
|  4.282% 1/9/28 (b)  |  | 2250000  | 1833327  |
|  4.55% 4/17/26  |  | 4850000  | 4215104  |
|  6.373% 7/15/26 (b)(c)  |  | 2345000  | 2174677  |
|  6.537% 8/12/33 (b)(c)  |  | 290000  | 254053  |
|  7.375% 9/7/33 (Reg. S) (c)  | GBP  | 600000  | 670803  |
|  7.75% 3/1/29 (Reg. S) (c)  | EUR  | 700000  | 717856  |
|  Deutsche Bank AG:  |  |  |  |
|  3.25% 5/24/28 (Reg. S) (c)  | EUR  | 1000000  | 964428  |
|  4% 6/24/32 (Reg. S) (c)  | EUR  | 2300000  | 2160983  |
|  4.5% 4/1/25  |  | 35717000  | 33866074  |
|  Deutsche Bank AG New York Branch:  |  |  |  |
|  0.898% 5/28/24  |  | 930000  | 869838  |
|  1.447% 4/1/25 (c)  |  | 2036000  | 1878289  |
|  2.129% 11/24/26 (c)  |  | 3386000  | 2963528  |
|  2.222% 9/18/24 (c)  |  | 2318000  | 2223894  |
|  2.311% 11/16/27 (c)  |  | 27513000  | 22981677  |
|  3.729% 1/14/32 (c)  |  | 10000000  | 7351906  |
|  4.1% 1/13/26  |  | 8332000  | 7948345  |
|  Goldman Sachs Group, Inc.:  |  |  |  |
|  2.383% 7/21/32 (c)  |  | 18425000  | 14553661  |
|  3.102% 2/24/33 (c)  |  | 40000000  | 33220557  |
|  3.272% 9/29/25 (c)  |  | 35921000  | 34581864  |
|  4.25% 10/21/25  |  | 12215000  | 11976500  |
|  4.482% 8/23/28 (c)  |  | 3138000  | 3012617  |
|  6.75% 10/1/37  |  | 59592000  | 63866934  |
|  Hightower Holding LLC 6.75% 4/15/29 (b)  |  | 835000  | 692595  |
|  Intercontinental Exchange, Inc.:  |  |  |  |
|  3.75% 12/1/25  |  | 2038000  | 1989250  |
|  4.35% 6/15/29  |  | 1724000  | 1699201  |
|  Jane Street Group LLC/JSG Finance, Inc. 4.5% 11/15/29 (b)  |  | 155000  | 136079  |
|  LPL Holdings, Inc. 4% 3/15/29 (b)  |  | 1070000  | 933398  |
|  Moody's Corp.:  |  |  |  |
|  3.25% 1/15/28  |  | 2414000  | 2230527  |
|  3.75% 3/24/25  |  | 1371000  | 1335954  |
|  Morgan Stanley:  |  |  |  |
|  0.79% 5/30/25 (c)  |  | 862000  | 798716  |
|  2.188% 4/28/26 (c)  |  | 1897000  | 1764572  |
|  3.125% 7/27/26  |  | 14775000  | 13858651  |
|  3.622% 4/1/31 (c)  |  | 17370000  | 15479414  |
|  3.625% 1/20/27  |  | 16594000  | 15768099  |
|  3.7% 10/23/24  |  | 4754000  | 4649532  |
|  3.737% 4/24/24 (c)  |  | 1965000  | 1951431  |
|  3.875% 4/29/24  |  | 4377000  | 4306571  |
|  3.875% 1/27/26  |  | 1586000  | 1536720  |
|  4.889% 7/20/33 (c)  |  | 49499000  | 47217020  |
|  5% 11/24/25  |  | 21351000  | 21400872  |
|  MSCI, Inc. 3.25% 8/15/33 (b)  |  | 215000  | 168911  |
|  S&P Global, Inc. 2.45% 3/1/27 (b)  |  | 2414000  | 2219875  |
|  State Street Corp. 2.901% 3/30/26 (c)  |  | 1245000  | 1183682  |
|  UBS Group AG:  |  |  |  |
|  1.008% 7/30/24 (b)(c)  |  | 1434000  | 1389888  |
|  1.494% 8/10/27 (b)(c)  |  | 11792000  | 10132688  |
|  4.988% 8/5/33 (Reg. S) (c)  |  | 300000  | 279501  |
|  |  |  | 545757135  |
| Consumer Finance - 0.9%  |  |  |  |
|  AerCap Ireland Capital Ltd./AerCap Global Aviation Trust:  |  |  |  |
|  1.65% 10/29/24  |  | 47700000  | 43891904  |
|  1.75% 1/30/26  |  | 16619000  | 14662322  |
|  2.45% 10/29/26  |  | 9334000  | 8207343  |
|  2.875% 8/14/24  |  | 8576000  | 8117051  |
|  3% 10/29/28  |  | 9777000  | 8260484  |
|  3.3% 1/23/23  |  | 2000000  | 1993971  |
|  3.3% 1/30/32  |  | 9639000  | 7681991  |
|  4.125% 7/3/23  |  | 6696000  | 6635831  |
|  4.45% 4/3/26  |  | 4254000  | 4081339  |
|  4.875% 1/16/24  |  | 6629000  | 6535264  |
|  6.5% 7/15/25  |  | 7188000  | 7261749  |
|  Ally Financial, Inc.:  |  |  |  |
|  1.45% 10/2/23  |  | 4230000  | 4084804  |
|  2.2% 11/2/28  |  | 2600000  | 2076400  |
|  3.05% 6/5/23  |  | 19114000  | 18858214  |
|  3.875% 5/21/24  |  | 8893000  | 8651789  |
|  4.625% 3/30/25  |  | 4630000  | 4542695  |
|  4.75% 6/9/27  |  | 3759000  | 3539226  |
|  5.125% 9/30/24  |  | 6914000  | 6859392  |
|  5.75% 11/20/25  |  | 703000  | 693627  |
|  5.8% 5/1/25  |  | 9417000  | 9455869  |
|  7.1% 11/15/27  |  | 15530000  | 15970996  |
|  8% 11/1/31  |  | 5022000  | 5387422  |
|  Capital One Financial Corp.:  |  |  |  |
|  1.878% 11/2/27 (c)  |  | 5931000  | 5146757  |
|  2.359% 7/29/32 (c)  |  | 3448000  | 2512418  |
|  2.636% 3/3/26 (c)  |  | 13528000  | 12615473  |
|  3.2% 2/5/25  |  | 1207000  | 1159161  |
|  3.273% 3/1/30 (c)  |  | 12200000  | 10445797  |
|  3.65% 5/11/27  |  | 21700000  | 20438039  |
|  3.8% 1/31/28  |  | 10723000  | 10018790  |
|  3.9% 1/29/24  |  | 1545000  | 1522778  |
|  4.985% 7/24/26 (c)  |  | 17135000  | 16985373  |
|  5.247% 7/26/30 (c)  |  | 15820000  | 15079051  |
|  Discover Financial Services:  |  |  |  |
|  3.95% 11/6/24  |  | 1874000  | 1822776  |
|  4.1% 2/9/27  |  | 13375000  | 12566926  |
|  4.5% 1/30/26  |  | 6750000  | 6497821  |
|  6.7% 11/29/32  |  | 5777000  | 5876950  |
|  Ford Motor Credit Co. LLC:  |  |  |  |
|  2.3% 2/10/25  |  | 1654000  | 1517545  |
|  2.7% 8/10/26  |  | 5665000  | 4976419  |
|  2.9% 2/10/29  |  | 275000  | 225310  |
|  3.375% 11/13/25  |  | 4311000  | 3977458  |
|  3.625% 6/17/31  |  | 5000000  | 4103974  |
|  4% 11/13/30  |  | 17230000  | 14573996  |
|  4.063% 11/1/24  |  | 46639000  | 45022758  |
|  4.125% 8/17/27  |  | 19335000  | 17640674  |
|  4.687% 6/9/25  |  | 430000  | 413740  |
|  4.95% 5/28/27  |  | 10000000  | 9463700  |
|  5.113% 5/3/29  |  | 1320000  | 1230623  |
|  5.125% 6/16/25  |  | 320000  | 309860  |
|  5.584% 3/18/24  |  | 8520000  | 8424150  |
|  OneMain Finance Corp.:  |  |  |  |
|  3.5% 1/15/27  |  | 2190000  | 1793467  |
|  3.875% 9/15/28  |  | 1350000  | 1071090  |
|  Synchrony Financial:  |  |  |  |
|  3.95% 12/1/27  |  | 8239000  | 7366199  |
|  4.25% 8/15/24  |  | 10059000  | 9811503  |
|  4.375% 3/19/24  |  | 11007000  | 10810219  |
|  5.15% 3/19/29  |  | 18424000  | 17562540  |
|  |  |  | 480433018  |
| Diversified Financial Services - 0.3%  |  |  |  |
|  Altus Midstream LP 5.875% 6/15/30 (b)  |  | 245000  | 230229  |
|  Athene Global Funding:  |  |  |  |
|  0.95% 1/8/24 (b)  |  | 2330000  | 2209026  |
|  1.73% 10/2/26 (b)  |  | 4975000  | 4290332  |
|  2.646% 10/4/31 (b)  |  | 3414000  | 2626904  |
|  Blackstone Private Credit Fund:  |  |  |  |
|  4.7% 3/24/25  |  | 31043000  | 30339158  |
|  4.875% 4/14/26  | GBP  | 2200000  | 2391359  |
|  7.05% 9/29/25 (b)  |  | 20620000  | 20661093  |
|  Brixmor Operating Partnership LP:  |  |  |  |
|  3.85% 2/1/25  |  | 1010000  | 968860  |
|  4.05% 7/1/30  |  | 9134000  | 7982514  |
|  4.125% 6/15/26  |  | 5827000  | 5473678  |
|  4.125% 5/15/29  |  | 19691000  | 17598880  |
|  Corebridge Financial, Inc.:  |  |  |  |
|  3.65% 4/5/27 (b)  |  | 956000  | 894869  |
|  3.85% 4/5/29 (b)  |  | 7987000  | 7270704  |
|  3.9% 4/5/32 (b)  |  | 9473000  | 8353350  |
|  4.35% 4/5/42 (b)  |  | 2000000  | 1637456  |
|  4.4% 4/5/52 (b)  |  | 5916000  | 4755101  |
|  Equitable Holdings, Inc.:  |  |  |  |
|  3.9% 4/20/23  |  | 674000  | 671174  |
|  4.35% 4/20/28  |  | 3724000  | 3541810  |
|  Icahn Enterprises LP/Icahn Enterprises Finance Corp.:  |  |  |  |
|  4.75% 9/15/24  |  | 740000  | 712213  |
|  5.25% 5/15/27  |  | 3430000  | 3147025  |
|  6.25% 5/15/26  |  | 2206000  | 2159806  |
|  Jackson Financial, Inc.:  |  |  |  |
|  5.17% 6/8/27  |  | 9289000  | 9102966  |
|  5.67% 6/8/32  |  | 13486000  | 12812415  |
|  Leighton Finance U.S.A. Pty Ltd. 1.5% 5/28/29 (Reg. S)  | EUR  | 2050000  | 1639985  |
|  M&G PLC 5.625% 10/20/51 (Reg. S) (c)  | GBP  | 1485000  | 1645306  |
|  Park Aerospace Holdings Ltd. 5.5% 2/15/24 (b)  |  | 7300000  | 7192625  |
|  Pine Street Trust I 4.572% 2/15/29 (b)  |  | 7749000  | 7202489  |
|  Pine Street Trust II 5.568% 2/15/49 (b)  |  | 7700000  | 6897572  |
|  VMED O2 UK Financing I PLC 4.25% 1/31/31 (b)  |  | 1805000  | 1448964  |
|  |  |  | 175857863  |
| Insurance - 0.2%  |  |  |  |
|  AFLAC, Inc. 3.6% 4/1/30  |  | 387000  | 357082  |
|  AIA Group Ltd.:  |  |  |  |
|  0.88% 9/9/33 (Reg. S) (c)  | EUR  | 705000  | 568430  |
|  3.375% 4/7/30 (b)  |  | 1200000  | 1059366  |
|  3.9% 4/6/28 (b)  |  | 2931000  | 2756003  |
|  Alliant Holdings Intermediate LLC 4.25% 10/15/27 (b)  |  | 820000  | 738000  |
|  American International Group, Inc. 2.5% 6/30/25  |  | 1288000  | 1216157  |
|  Aon PLC 3.875% 12/15/25  |  | 2143000  | 2082853  |
|  Credit Agricole Assurances SA 4.75% 9/27/48 (c)  | EUR  | 2200000  | 2212055  |
|  Demeter Investments BV 5.625% 8/15/52 (Reg. S) (c)  |  | 5775000  | 5212053  |
|  Empower Finance 2020 LP 1.357% 9/17/27 (b)  |  | 1474000  | 1239171  |
|  Equitable Financial Life Global Funding:  |  |  |  |
|  1.3% 7/12/26 (b)  |  | 1724000  | 1507154  |
|  1.4% 8/27/27 (b)  |  | 1724000  | 1449590  |
|  1.7% 11/12/26 (b)  |  | 2197000  | 1933395  |
|  Fidelidade-Companhia de Seguros SA 4.25% 9/4/31 (Reg. S) (c)  | EUR  | 800000  | 674026  |
|  Five Corners Funding Trust II 2.85% 5/15/30 (b)  |  | 21030000  | 17842443  |
|  Liberty Mutual Group, Inc. 3.95% 5/15/60 (b)  |  | 12820000  | 8413579  |
|  Lincoln National Corp. 3.4% 1/15/31  |  | 14811000  | 12277384  |
|  Marsh & McLennan Companies, Inc. 3.875% 3/15/24  |  | 835000  | 823669  |
|  Pacific LifeCorp 5.125% 1/30/43 (b)  |  | 2623000  | 2392151  |
|  Pricoa Global Funding I 5.375% 5/15/45 (c)  |  | 3148000  | 2951565  |
|  Principal Financial Group, Inc. 3.7% 5/15/29  |  | 926000  | 865874  |
|  Prudential Financial, Inc. 6% 9/1/52 (c)  |  | 27700000  | 25540531  |
|  Prudential PLC 2.95% 11/3/33 (Reg. S) (c)  |  | 3700000  | 2927055  |
|  QBE Insurance Group Ltd.:  |  |  |  |
|  2.5% 9/13/38 (Reg. S) (c)  | GBP  | 1705000  | 1563345  |
|  6.75% 12/2/44 (Reg. S) (c)  |  | 3605000  | 3402219  |
|  Ryan Specialty Group LLC 4.375% 2/1/30 (b)  |  | 400000  | 342000  |
|  Swiss Re Finance Luxembourg SA 5% 4/2/49 (b)(c)  |  | 3000000  | 2663400  |
|  Teachers Insurance & Annuity Association of America 4.9% 9/15/44 (b)  |  | 1484000  | 1384406  |
|  Unum Group:  |  |  |  |
|  4% 6/15/29  |  | 6130000  | 5561105  |
|  5.75% 8/15/42  |  | 1622000  | 1447303  |
|  Willis Group North America, Inc. 4.5% 9/15/28  |  | 1897000  | 1792320  |
|  Zurich Finance (Ireland) DAC 3.5% 5/2/52 (Reg. S) (c)  |  | 1650000  | 1262250  |
|  |  |  | 116457934  |
| Thrifts & Mortgage Finance - 0.0%  |  |  |  |
|  Nationwide Building Society 6.178% 12/7/27 (Reg. S) (c)  | GBP  | 700000  | 846181  |
|  Quicken Loans LLC/Quicken Loans Co-Issuer, Inc. 3.625% 3/1/29 (b)  |  | 655000  | 527275  |
|  |  |  | 1373456  |
|  TOTAL FINANCIALS  |  |  | 2765591729  |
| HEALTH CARE - 0.4%  |  |  |  |
| Biotechnology - 0.0%  |  |  |  |
|  AbbVie, Inc. 3.2% 11/21/29  |  | 4900000  | 4473593  |
|  Emergent BioSolutions, Inc. 3.875% 8/15/28 (b)  |  | 1197000  | 538650  |
|  Grifols Escrow Issuer SA 4.75% 10/15/28 (b)  |  | 200000  | 168076  |
|  |  |  | 5180319  |
| Health Care Equipment & Supplies - 0.0%  |  |  |  |
|  Alcon Finance Corp. 2.75% 9/23/26 (b)  |  | 1414000  | 1296008  |
|  Avantor Funding, Inc. 4.625% 7/15/28 (b)  |  | 915000  | 841800  |
|  Hologic, Inc.:  |  |  |  |
|  3.25% 2/15/29 (b)  |  | 545000  | 478842  |
|  4.625% 2/1/28 (b)  |  | 65000  | 62230  |
|  Teleflex, Inc. 4.25% 6/1/28 (b)  |  | 145000  | 134633  |
|  |  |  | 2813513  |
| Health Care Providers & Services - 0.3%  |  |  |  |
|  180 Medical, Inc. 3.875% 10/15/29 (b)  |  | 200000  | 169982  |
|  Centene Corp.:  |  |  |  |
|  2.45% 7/15/28  |  | 12813000  | 10775454  |
|  2.5% 3/1/31  |  | 945000  | 744014  |
|  2.625% 8/1/31  |  | 5485000  | 4312417  |
|  3.375% 2/15/30  |  | 7725000  | 6580256  |
|  4.25% 12/15/27  |  | 7939000  | 7450593  |
|  4.625% 12/15/29  |  | 8795000  | 8177899  |
|  Cigna Corp.:  |  |  |  |
|  3.4% 3/1/27  |  | 1552000  | 1465875  |
|  4.375% 10/15/28  |  | 10328000  | 10065918  |
|  Community Health Systems, Inc. 4.75% 2/15/31 (b)  |  | 1280000  | 937843  |
|  CVS Health Corp. 3.625% 4/1/27  |  | 3208000  | 3076604  |
|  DaVita HealthCare Partners, Inc. 4.625% 6/1/30 (b)  |  | 305000  | 246891  |
|  Elevance Health, Inc.:  |  |  |  |
|  3.3% 1/15/23  |  | 4322000  | 4313438  |
|  3.35% 12/1/24  |  | 1379000  | 1337467  |
|  HCA Holdings, Inc.:  |  |  |  |
|  3.125% 3/15/27 (b)  |  | 4517000  | 4108725  |
|  3.5% 9/1/30  |  | 12405000  | 10661725  |
|  3.625% 3/15/32 (b)  |  | 2557000  | 2185838  |
|  5.375% 9/1/26  |  | 4125000  | 4101335  |
|  5.625% 9/1/28  |  | 9085000  | 9056426  |
|  5.875% 2/1/29  |  | 9796000  | 9862345  |
|  HealthEquity, Inc. 4.5% 10/1/29 (b)  |  | 110000  | 96371  |
|  Humana, Inc.:  |  |  |  |
|  1.35% 2/3/27  |  | 2069000  | 1784929  |
|  3.7% 3/23/29  |  | 7365000  | 6782221  |
|  Molina Healthcare, Inc. 3.875% 11/15/30 (b)  |  | 850000  | 731000  |
|  Owens & Minor, Inc. 4.5% 3/31/29 (b)  |  | 160000  | 131294  |
|  Pediatrix Medical Group, Inc. 5.375% 2/15/30 (b)  |  | 410000  | 345962  |
|  RP Escrow Issuer LLC 5.25% 12/15/25 (b)  |  | 785000  | 657308  |
|  Sabra Health Care LP:  |  |  |  |
|  3.2% 12/1/31  |  | 19965000  | 14970572  |
|  3.9% 10/15/29  |  | 7072000  | 5841062  |
|  Surgery Center Holdings, Inc. 6.75% 7/1/25 (b)  |  | 515000  | 504119  |
|  Tenet Healthcare Corp.:  |  |  |  |
|  4.625% 6/15/28 (b)  |  | 2765000  | 2474728  |
|  4.875% 1/1/26 (b)  |  | 385000  | 365357  |
|  5.125% 11/1/27 (b)  |  | 1000000  | 941390  |
|  6.125% 6/15/30 (b)  |  | 425000  | 402722  |
|  Toledo Hospital 5.325% 11/15/28  |  | 2395000  | 1862113  |
|  UnitedHealth Group, Inc. 2.75% 2/15/23  |  | 236000  | 235144  |
|  |  |  | 137757337  |
| Health Care Technology - 0.0%  |  |  |  |
|  IQVIA, Inc. 5% 5/15/27 (b)  |  | 630000  | 601593  |
| Life Sciences Tools & Services - 0.0%  |  |  |  |
|  Charles River Laboratories International, Inc.:  |  |  |  |
|  3.75% 3/15/29 (b)  |  | 180000  | 156622  |
|  4.25% 5/1/28 (b)  |  | 70000  | 63875  |
|  |  |  | 220497  |
| Pharmaceuticals - 0.1%  |  |  |  |
|  Bayer U.S. Finance II LLC 4.25% 12/15/25 (b)  |  | 50548000  | 49019347  |
|  Catalent Pharma Solutions 3.5% 4/1/30 (b)  |  | 1205000  | 982075  |
|  Elanco Animal Health, Inc.:  |  |  |  |
|  5.772% 8/28/23  |  | 3623000  | 3608248  |
|  6.4% 8/28/28 (c)  |  | 1432000  | 1322495  |
|  Jazz Securities DAC 4.375% 1/15/29 (b)  |  | 225000  | 204192  |
|  Mylan NV 4.55% 4/15/28  |  | 3354000  | 3158576  |
|  Organon & Co. / Organon Foreign Debt Co-Issuer BV:  |  |  |  |
|  4.125% 4/30/28 (b)  |  | 1105000  | 994478  |
|  5.125% 4/30/31 (b)  |  | 530000  | 470327  |
|  Utah Acquisition Sub, Inc. 3.95% 6/15/26  |  | 2065000  | 1935284  |
|  Viatris, Inc.:  |  |  |  |
|  1.65% 6/22/25  |  | 1926000  | 1743495  |
|  2.7% 6/22/30  |  | 11241000  | 8966365  |
|  3.85% 6/22/40  |  | 3928000  | 2705755  |
|  4% 6/22/50  |  | 6783000  | 4411593  |
|  Zoetis, Inc. 3.25% 2/1/23  |  | 1210000  | 1206501  |
|  |  |  | 80728731  |
|  TOTAL HEALTH CARE  |  |  | 227301990  |
| INDUSTRIALS - 0.3%  |  |  |  |
| Aerospace & Defense - 0.1%  |  |  |  |
|  BAE Systems Holdings, Inc. 3.8% 10/7/24 (b)  |  | 746000  | 727231  |
|  BAE Systems PLC 3.4% 4/15/30 (b)  |  | 8260000  | 7351109  |
|  BWX Technologies, Inc. 4.125% 6/30/28 (b)  |  | 480000  | 427200  |
|  Howmet Aerospace, Inc.:  |  |  |  |
|  5.95% 2/1/37  |  | 25000  | 23629  |
|  6.75% 1/15/28  |  | 365000  | 368650  |
|  Moog, Inc. 4.25% 12/15/27 (b)  |  | 980000  | 879550  |
|  Rolls-Royce PLC:  |  |  |  |
|  3.375% 6/18/26  | GBP  | 1940000  | 1993303  |
|  5.75% 10/15/27 (b)  |  | 615000  | 585136  |
|  The Boeing Co.:  |  |  |  |
|  1.167% 2/4/23  |  | 1985000  | 1970022  |
|  2.7% 2/1/27  |  | 1724000  | 1557452  |
|  5.04% 5/1/27  |  | 9243000  | 9153321  |
|  5.15% 5/1/30  |  | 7518000  | 7334794  |
|  5.805% 5/1/50  |  | 6070000  | 5726766  |
|  5.93% 5/1/60  |  | 6070000  | 5633823  |
|  TransDigm, Inc.:  |  |  |  |
|  6.25% 3/15/26 (b)  |  | 2552000  | 2539597  |
|  7.5% 3/15/27  |  | 95000  | 95238  |
|  8% 12/15/25 (b)  |  | 1120000  | 1139600  |
|  |  |  | 47506421  |
| Airlines - 0.0%  |  |  |  |
|  American Airlines 2019-1 Class B Pass Through Trust equipment trust certificate 3.85% 8/15/29  |  | 1521247  | 1273424  |
|  Delta Air Lines, Inc.:  |  |  |  |
|  2.9% 10/28/24  |  | 1897000  | 1798356  |
|  3.8% 4/19/23  |  | 966000  | 956111  |
|  United Airlines 2019-2 Class B Pass Through Trust equipment trust certificate 3.5% 11/1/29  |  | 1039881  | 894454  |
|  United Airlines, Inc.:  |  |  |  |
|  equipment trust certificate 4.6% 9/1/27  |  | 1161755  | 1055519  |
|  4.375% 4/15/26 (b)  |  | 530000  | 493443  |
|  |  |  | 6471307  |
| Building Products - 0.0%  |  |  |  |
|  Advanced Drain Systems, Inc. 5% 9/30/27 (b)  |  | 1565000  | 1458697  |
|  Builders FirstSource, Inc. 4.25% 2/1/32 (b)  |  | 260000  | 210772  |
|  Carrier Global Corp. 2.493% 2/15/27  |  | 518000  | 470390  |
|  Standard Industries, Inc./New Jersey 4.375% 7/15/30 (b)  |  | 715000  | 586300  |
|  |  |  | 2726159  |
| Commercial Services & Supplies - 0.0%  |  |  |  |
|  ADT Corp.:  |  |  |  |
|  4.125% 8/1/29 (b)  |  | 270000  | 235659  |
|  4.875% 7/15/32 (b)  |  | 670000  | 579691  |
|  Madison IAQ LLC 4.125% 6/30/28 (b)  |  | 1245000  | 1076664  |
|  Prime Securities Services Borrower LLC/Prime Finance, Inc. 3.375% 8/31/27 (b)  |  | 1230000  | 1082240  |
|  Rentokil Initial PLC 5% 6/27/32 (Reg. S)  | GBP  | 750000  | 875337  |
|  Stericycle, Inc. 3.875% 1/15/29 (b)  |  | 450000  | 391500  |
|  The GEO Group, Inc. 9.5% 12/31/28 (b)  |  | 305000  | 288840  |
|  |  |  | 4529931  |
| Construction & Engineering - 0.0%  |  |  |  |
|  AECOM 5.125% 3/15/27  |  | 1077000  | 1047792  |
| Electrical Equipment - 0.0%  |  |  |  |
|  Sensata Technologies BV 4% 4/15/29 (b)  |  | 275000  | 239148  |
|  Vertiv Group Corp. 4.125% 11/15/28 (b)  |  | 675000  | 580500  |
|  |  |  | 819648  |
| Industrial Conglomerates - 0.0%  |  |  |  |
|  Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp. 4.25% 2/1/27 (b)  |  | 500000  | 436250  |
| Machinery - 0.0%  |  |  |  |
|  Daimler Trucks Finance North America LLC 2% 12/14/26 (b)  |  | 3978000  | 3488424  |
|  Otis Worldwide Corp. 2.056% 4/5/25  |  | 1790000  | 1676905  |
|  Vertical U.S. Newco, Inc. 5.25% 7/15/27 (b)  |  | 1065000  | 966509  |
|  |  |  | 6131838  |
| Marine - 0.0%  |  |  |  |
|  Seaspan Corp. 5.5% 8/1/29 (b)  |  | 270000  | 207862  |
| Professional Services - 0.0%  |  |  |  |
|  ASGN, Inc. 4.625% 5/15/28 (b)  |  | 1470000  | 1311975  |
|  Booz Allen Hamilton, Inc.:  |  |  |  |
|  3.875% 9/1/28 (b)  |  | 765000  | 689449  |
|  4% 7/1/29 (b)  |  | 105000  | 93096  |
|  TriNet Group, Inc. 3.5% 3/1/29 (b)  |  | 405000  | 336656  |
|  |  |  | 2431176  |
| Road & Rail - 0.0%  |  |  |  |
|  Alpha Trains Finance SA 2.064% 6/30/30  | EUR  | 1740000  | 1715929  |
|  XPO Logistics, Inc. 6.25% 5/1/25 (b)  |  | 771000  | 778847  |
|  |  |  | 2494776  |
| Trading Companies & Distributors - 0.1%  |  |  |  |
|  Air Lease Corp.:  |  |  |  |
|  0.7% 2/15/24  |  | 11690000  | 11008933  |
|  0.8% 8/18/24  |  | 1422000  | 1307922  |
|  2.2% 1/15/27  |  | 1328000  | 1158667  |
|  2.25% 1/15/23  |  | 1863000  | 1854315  |
|  3% 9/15/23  |  | 583000  | 571529  |
|  3.375% 7/1/25  |  | 11630000  | 10974993  |
|  3.75% 6/1/26  |  | 5000000  | 4700064  |
|  4.25% 2/1/24  |  | 8199000  | 8053727  |
|  4.25% 9/15/24  |  | 2331000  | 2289739  |
|  Travis Perkins PLC 3.75% 2/17/26 (Reg. S)  | GBP  | 1100000  | 1166682  |
|  |  |  | 43086571  |
| Transportation Infrastructure - 0.1%  |  |  |  |
|  Aeroporti di Roma SPA 1.75% 7/30/31 (Reg. S)  | EUR  | 1340000  | 1070080  |
|  Autostrade per L'italia SpA 2.25% 1/25/32 (Reg. S)  | EUR  | 800000  | 653747  |
|  Avolon Holdings Funding Ltd.:  |  |  |  |
|  2.875% 2/15/25 (b)  |  | 2455000  | 2253749  |
|  3.25% 2/15/27 (b)  |  | 11688000  | 9936698  |
|  3.95% 7/1/24 (b)  |  | 3894000  | 3708434  |
|  4.375% 5/1/26 (b)  |  | 7747000  | 7042104  |
|  5.25% 5/15/24 (b)  |  | 4186000  | 4083577  |
|  5.5% 1/15/26 (b)  |  | 633000  | 599580  |
|  Heathrow Funding Ltd.:  |  |  |  |
|  2.625% 3/16/28 (Reg. S)  | GBP  | 3560000  | 3470997  |
|  7.125% 2/14/24  | GBP  | 100000  | 120715  |
|  Holding d'Infrastructures et des Metiers de l'Environnement 0.625% 9/16/28 (Reg. S)  | EUR  | 700000  | 582590  |
|  |  |  | 33522271  |
|  TOTAL INDUSTRIALS  |  |  | 151412002  |
| INFORMATION TECHNOLOGY - 0.2%  |  |  |  |
| Communications Equipment - 0.0%  |  |  |  |
|  Cellnex Finance Co. SA 1% 9/15/27 (Reg. S)  | EUR  | 2900000  | 2555640  |
|  Viavi Solutions, Inc. 3.75% 10/1/29 (b)  |  | 545000  | 449625  |
|  |  |  | 3005265  |
| Electronic Equipment & Components - 0.0%  |  |  |  |
|  Coherent Corp. 5% 12/15/29 (b)  |  | 1215000  | 1072238  |
|  Dell International LLC/EMC Corp.:  |  |  |  |
|  5.45% 6/15/23  |  | 1769000  | 1770036  |
|  6.02% 6/15/26  |  | 1948000  | 1989405  |
|  Sensata Technologies, Inc. 3.75% 2/15/31 (b)  |  | 1410000  | 1172775  |
|  TTM Technologies, Inc. 4% 3/1/29 (b)  |  | 315000  | 267228  |
|  |  |  | 6271682  |
| IT Services - 0.0%  |  |  |  |
|  Block, Inc. 2.75% 6/1/26  |  | 265000  | 236831  |
|  Gartner, Inc.:  |  |  |  |
|  3.625% 6/15/29 (b)  |  | 155000  | 135762  |
|  3.75% 10/1/30 (b)  |  | 255000  | 220575  |
|  4.5% 7/1/28 (b)  |  | 395000  | 371861  |
|  The Western Union Co.:  |  |  |  |
|  2.85% 1/10/25  |  | 433000  | 412031  |
|  4.25% 6/9/23  |  | 1897000  | 1884220  |
|  Twilio, Inc. 3.875% 3/15/31  |  | 200000  | 162268  |
|  |  |  | 3423548  |
| Semiconductors & Semiconductor Equipment - 0.1%  |  |  |  |
|  Broadcom, Inc.:  |  |  |  |
|  1.95% 2/15/28 (b)  |  | 4603000  | 3890479  |
|  2.45% 2/15/31 (b)  |  | 19432000  | 15331156  |
|  2.6% 2/15/33 (b)  |  | 19432000  | 14683027  |
|  3.5% 2/15/41 (b)  |  | 19430000  | 14054446  |
|  3.75% 2/15/51 (b)  |  | 9284000  | 6551796  |
|  Entegris, Inc. 4.375% 4/15/28 (b)  |  | 755000  | 667186  |
|  Micron Technology, Inc. 4.185% 2/15/27  |  | 2948000  | 2818442  |
|  onsemi 3.875% 9/1/28 (b)  |  | 300000  | 266007  |
|  |  |  | 58262539  |
| Software - 0.1%  |  |  |  |
|  Central Parent, Inc./Central Merger Sub, Inc. 7.25% 6/15/29 (b)  |  | 325000  | 313623  |
|  Crowdstrike Holdings, Inc. 3% 2/15/29  |  | 295000  | 245552  |
|  Fair Isaac Corp.:  |  |  |  |
|  4% 6/15/28 (b)  |  | 330000  | 301950  |
|  5.25% 5/15/26 (b)  |  | 793000  | 785986  |
|  MicroStrategy, Inc. 6.125% 6/15/28 (b)  |  | 415000  | 306955  |
|  Open Text Corp.:  |  |  |  |
|  3.875% 2/15/28 (b)  |  | 420000  | 354249  |
|  3.875% 12/1/29 (b)  |  | 960000  | 766400  |
|  Oracle Corp.:  |  |  |  |
|  1.65% 3/25/26  |  | 1077000  | 966702  |
|  2.5% 4/1/25  |  | 8253000  | 7806234  |
|  2.8% 4/1/27  |  | 8253000  | 7530973  |
|  2.95% 4/1/30  |  | 8300000  | 7122973  |
|  3.85% 4/1/60  |  | 8300000  | 5597463  |
|  Roper Technologies, Inc.:  |  |  |  |
|  1.4% 9/15/27  |  | 1724000  | 1473449  |
|  2% 6/30/30  |  | 1976000  | 1583147  |
|  VMware, Inc.:  |  |  |  |
|  1% 8/15/24  |  | 2107000  | 1961887  |
|  1.4% 8/15/26  |  | 925000  | 813509  |
|  |  |  | 37931052  |
|  TOTAL INFORMATION TECHNOLOGY  |  |  | 108894086  |
| MATERIALS - 0.0%  |  |  |  |
| Chemicals - 0.0%  |  |  |  |
|  Axalta Coating Systems/Dutch Holding BV 4.75% 6/15/27 (b)  |  | 585000  | 536486  |
|  International Flavors & Fragrances, Inc.:  |  |  |  |
|  1.23% 10/1/25 (b)  |  | 345000  | 304938  |
|  1.832% 10/15/27 (b)  |  | 1724000  | 1440788  |
|  LSB Industries, Inc. 6.25% 10/15/28 (b)  |  | 560000  | 522995  |
|  LYB International Finance III LLC 1.25% 10/1/25  |  | 1661000  | 1478133  |
|  Methanex Corp.:  |  |  |  |
|  5.125% 10/15/27  |  | 765000  | 701888  |
|  5.25% 12/15/29  |  | 90000  | 80383  |
|  5.65% 12/1/44  |  | 581000  | 435750  |
|  NOVA Chemicals Corp.:  |  |  |  |
|  5% 5/1/25 (b)  |  | 1030000  | 969426  |
|  5.25% 6/1/27 (b)  |  | 949000  | 851801  |
|  Nufarm Australia Ltd. 5% 1/27/30 (b)  |  | 675000  | 577969  |
|  Olin Corp.:  |  |  |  |
|  5% 2/1/30  |  | 1715000  | 1556397  |
|  5.125% 9/15/27  |  | 975000  | 914063  |
|  5.625% 8/1/29  |  | 465000  | 434527  |
|  SPCM SA 3.125% 3/15/27 (b)  |  | 285000  | 244388  |
|  The Chemours Co. LLC:  |  |  |  |
|  5.375% 5/15/27  |  | 1115000  | 1009075  |
|  5.75% 11/15/28 (b)  |  | 275000  | 241523  |
|  The Mosaic Co. 4.25% 11/15/23  |  | 1757000  | 1739576  |
|  Valvoline, Inc. 4.25% 2/15/30 (b)  |  | 165000  | 160365  |
|  W.R. Grace Holding LLC:  |  |  |  |
|  4.875% 6/15/27 (b)  |  | 305000  | 273265  |
|  5.625% 10/1/24 (b)  |  | 1254000  | 1225860  |
|  |  |  | 15699596  |
| Construction Materials - 0.0%  |  |  |  |
|  CRH America Finance, Inc. 3.95% 4/4/28 (b)  |  | 2931000  | 2760713  |
| Containers & Packaging - 0.0%  |  |  |  |
|  Ardagh Metal Packaging Finance U.S.A. LLC/Ardagh Metal Packaging Finance PLC 6% 6/15/27 (b)  |  | 340000  | 331911  |
|  Ardagh Packaging Finance PLC/Ardagh MP Holdings U.S.A., Inc. 4.125% 8/15/26 (b)  |  | 25000  | 22000  |
|  Ball Corp. 3.125% 9/15/31  |  | 955000  | 758747  |
|  Graphic Packaging International, Inc. 3.75% 2/1/30 (b)  |  | 135000  | 114604  |
|  OI European Group BV 4.75% 2/15/30 (b)  |  | 280000  | 241746  |
|  Trivium Packaging Finance BV 5.5% 8/15/26 (b)  |  | 485000  | 453457  |
|  |  |  | 1922465  |
| Metals & Mining - 0.0%  |  |  |  |
|  Commercial Metals Co. 3.875% 2/15/31  |  | 565000  | 467944  |
|  FMG Resources Pty Ltd. 4.5% 9/15/27 (b)  |  | 10000  | 9150  |
|  HudBay Minerals, Inc. 4.5% 4/1/26 (b)  |  | 135000  | 122262  |
|  Kaiser Aluminum Corp. 4.625% 3/1/28 (b)  |  | 1005000  | 883807  |
|  Mineral Resources Ltd. 8% 11/1/27 (b)  |  | 360000  | 369864  |
|  Novelis Corp. 3.875% 8/15/31 (b)  |  | 270000  | 221400  |
|  PMHC II, Inc. 9% 2/15/30 (b)  |  | 425000  | 318750  |
|  Roller Bearing Co. of America, Inc. 4.375% 10/15/29 (b)  |  | 75000  | 65681  |
|  |  |  | 2458858  |
| Paper & Forest Products - 0.0%  |  |  |  |
|  Glatfelter Corp. 4.75% 11/15/29 (b)  |  | 220000  | 143550  |
|  TOTAL MATERIALS  |  |  | 22985182  |
| REAL ESTATE - 0.7%  |  |  |  |
| Equity Real Estate Investment Trusts (REITs) - 0.6%  |  |  |  |
|  Alexandria Real Estate Equities, Inc.:  |  |  |  |
|  2% 5/18/32  |  | 8258000  | 6296603  |
|  4.9% 12/15/30  |  | 7224000  | 7028532  |
|  American Homes 4 Rent LP:  |  |  |  |
|  2.375% 7/15/31  |  | 1482000  | 1151949  |
|  3.375% 7/15/51  |  | 2291000  | 1464462  |
|  3.625% 4/15/32  |  | 8742000  | 7407068  |
|  4.3% 4/15/52  |  | 5604000  | 4157349  |
|  Boston Properties, Inc.:  |  |  |  |
|  3.2% 1/15/25  |  | 1035000  | 992664  |
|  4.5% 12/1/28  |  | 4766000  | 4438216  |
|  Corporate Office Properties LP:  |  |  |  |
|  2% 1/15/29  |  | 2850000  | 2205657  |
|  2.25% 3/15/26  |  | 2969000  | 2607655  |
|  2.75% 4/15/31  |  | 3419000  | 2583326  |
|  Federal Realty Investment Trust 3.95% 1/15/24  |  | 2414000  | 2380946  |
|  Healthcare Trust of America Holdings LP:  |  |  |  |
|  3.1% 2/15/30  |  | 1868000  | 1567702  |
|  3.5% 8/1/26  |  | 1945000  | 1820833  |
|  Hudson Pacific Properties LP 4.65% 4/1/29  |  | 12862000  | 11200440  |
|  Invitation Homes Operating Partnership LP 4.15% 4/15/32  |  | 12097000  | 10605070  |
|  Iron Mountain, Inc. 4.875% 9/15/29 (b)  |  | 615000  | 540752  |
|  Kimco Realty Corp. 2.25% 12/1/31  |  | 15265000  | 11791773  |
|  Kite Realty Group Trust:  |  |  |  |
|  4% 3/15/25  |  | 11618000  | 11143883  |
|  4.75% 9/15/30  |  | 17486000  | 15521751  |
|  LXP Industrial Trust (REIT):  |  |  |  |
|  2.7% 9/15/30  |  | 1445000  | 1156264  |
|  4.4% 6/15/24  |  | 1358000  | 1319993  |
|  MPT Operating Partnership LP/MPT Finance Corp.:  |  |  |  |
|  5% 10/15/27  |  | 665000  | 567777  |
|  5.25% 8/1/26  |  | 2855000  | 2554683  |
|  Omega Healthcare Investors, Inc.:  |  |  |  |
|  3.25% 4/15/33  |  | 12277000  | 9002000  |
|  3.375% 2/1/31  |  | 5854000  | 4575563  |
|  3.625% 10/1/29  |  | 8376000  | 6940030  |
|  4.375% 8/1/23  |  | 1223000  | 1207010  |
|  4.5% 1/15/25  |  | 2396000  | 2330217  |
|  4.5% 4/1/27  |  | 5129000  | 4780792  |
|  4.75% 1/15/28  |  | 11294000  | 10424937  |
|  4.95% 4/1/24  |  | 1263000  | 1245413  |
|  5.25% 1/15/26  |  | 6569000  | 6412410  |
|  Piedmont Operating Partnership LP 2.75% 4/1/32  |  | 3331000  | 2379483  |
|  Prologis LP 3.25% 6/30/26  |  | 589000  | 560111  |
|  Realty Income Corp.:  |  |  |  |
|  2.2% 6/15/28  |  | 1380000  | 1183519  |
|  2.85% 12/15/32  |  | 1698000  | 1393237  |
|  3.25% 1/15/31  |  | 1828000  | 1596799  |
|  3.4% 1/15/28  |  | 2874000  | 2658160  |
|  Retail Opportunity Investments Partnership LP:  |  |  |  |
|  4% 12/15/24  |  | 641000  | 611794  |
|  5% 12/15/23  |  | 494000  | 487557  |
|  SBA Communications Corp. 3.875% 2/15/27  |  | 515000  | 475470  |
|  Service Properties Trust:  |  |  |  |
|  3.95% 1/15/28  |  | 40000  | 29559  |
|  4.375% 2/15/30  |  | 415000  | 291197  |
|  4.95% 10/1/29  |  | 245000  | 178123  |
|  5.5% 12/15/27  |  | 230000  | 200100  |
|  Simon Property Group LP:  |  |  |  |
|  2.45% 9/13/29  |  | 3008000  | 2528848  |
|  3.375% 12/1/27  |  | 6125000  | 5692360  |
|  SITE Centers Corp.:  |  |  |  |
|  3.625% 2/1/25  |  | 2000000  | 1887276  |
|  4.25% 2/1/26  |  | 3528000  | 3354281  |
|  Spirit Realty LP 2.1% 3/15/28  |  | 1631000  | 1325853  |
|  Store Capital Corp.:  |  |  |  |
|  2.75% 11/18/30  |  | 3456000  | 2695004  |
|  4.625% 3/15/29  |  | 2374000  | 2174049  |
|  Sun Communities Operating LP:  |  |  |  |
|  2.3% 11/1/28  |  | 3806000  | 3131102  |
|  2.7% 7/15/31  |  | 8479000  | 6597143  |
|  Uniti Group, Inc. 7.875% 2/15/25 (b)  |  | 1050000  | 1054413  |
|  Ventas Realty LP:  |  |  |  |
|  2.5% 9/1/31  |  | 22080000  | 17387593  |
|  2.65% 1/15/25  |  | 1375000  | 1298125  |
|  3% 1/15/30  |  | 11778000  | 10005556  |
|  3.5% 4/15/24  |  | 820000  | 796987  |
|  4% 3/1/28  |  | 2553000  | 2380349  |
|  4.125% 1/15/26  |  | 999000  | 965849  |
|  4.75% 11/15/30  |  | 16500000  | 15560243  |
|  VICI Properties LP:  |  |  |  |
|  4.375% 5/15/25  |  | 2145000  | 2064367  |
|  4.75% 2/15/28  |  | 12672000  | 11945388  |
|  4.95% 2/15/30  |  | 15585000  | 14733327  |
|  5.125% 5/15/32  |  | 6976000  | 6543558  |
|  VICI Properties LP / VICI Note Co.:  |  |  |  |
|  4.25% 12/1/26 (b)  |  | 1640000  | 1525496  |
|  4.5% 9/1/26 (b)  |  | 1508000  | 1412121  |
|  4.625% 6/15/25 (b)  |  | 150000  | 143544  |
|  Vornado Realty LP:  |  |  |  |
|  2.15% 6/1/26  |  | 3881000  | 3280206  |
|  3.4% 6/1/31  |  | 12870000  | 9810861  |
|  Welltower, Inc. 3.625% 3/15/24  |  | 880000  | 862108  |
|  WP Carey, Inc.:  |  |  |  |
|  3.85% 7/15/29  |  | 1991000  | 1787235  |
|  4% 2/1/25  |  | 3423000  | 3329516  |
|  4.6% 4/1/24  |  | 7111000  | 7068063  |
|  |  |  | 314809650  |
| Real Estate Management & Development - 0.1%  |  |  |  |
|  ACCENTRO Real Estate AG 3.625% 2/13/23 (Reg. S)  | EUR  | 1460000  | 692790  |
|  ADLER Group SA:  |  |  |  |
|  1.875% 1/14/26 (Reg. S)  | EUR  | 500000  | 224249  |
|  2.25% 4/27/27 (Reg. S)  | EUR  | 5500000  | 2317936  |
|  Akelius Residential Property AB 3.875% 10/5/78 (Reg. S) (c)  | EUR  | 650000  | 648501  |
|  Blackstone Property Partners Europe LP:  |  |  |  |
|  1% 5/4/28 (Reg. S)  | EUR  | 4220000  | 3415183  |
|  2.625% 10/20/28 (Reg. S)  | GBP  | 650000  | 606294  |
|  Brandywine Operating Partnership LP:  |  |  |  |
|  3.95% 2/15/23  |  | 9349000  | 9296730  |
|  3.95% 11/15/27  |  | 4382000  | 3835447  |
|  4.1% 10/1/24  |  | 4091000  | 3937056  |
|  4.55% 10/1/29  |  | 1896000  | 1675305  |
|  CBRE Group, Inc.:  |  |  |  |
|  2.5% 4/1/31  |  | 10225000  | 8032762  |
|  4.875% 3/1/26  |  | 7844000  | 7846346  |
|  Essex Portfolio LP 3.875% 5/1/24  |  | 1923000  | 1881763  |
|  GTC Aurora Luxembourg SA 2.25% 6/23/26 (Reg. S)  | EUR  | 1390000  | 1053727  |
|  Heimstaden AB 4.375% 3/6/27 (Reg. S)  | EUR  | 1400000  | 1004345  |
|  Howard Hughes Corp. 4.375% 2/1/31 (b)  |  | 395000  | 324394  |
|  Kennedy-Wilson, Inc. 4.75% 2/1/30  |  | 540000  | 427950  |
|  Mid-America Apartments LP 4% 11/15/25  |  | 828000  | 801735  |
|  Samhallsbyggnadsbolaget I Norden AB:  |  |  |  |
|  1% 8/12/27 (Reg. S)  | EUR  | 650000  | 454748  |
|  1.75% 1/14/25 (Reg. S)  | EUR  | 652000  | 568104  |
|  Sirius Real Estate Ltd. 1.125% 6/22/26 (Reg. S)  | EUR  | 700000  | 559801  |
|  Tanger Properties LP:  |  |  |  |
|  2.75% 9/1/31  |  | 8876000  | 6348221  |
|  3.125% 9/1/26  |  | 2628000  | 2372106  |
|  3.875% 7/15/27  |  | 11191000  | 10171736  |
|  Tritax EuroBox PLC 0.95% 6/2/26 (Reg. S)  | EUR  | 1300000  | 1108376  |
|  |  |  | 69605605  |
|  TOTAL REAL ESTATE  |  |  | 384415255  |
| UTILITIES - 0.4%  |  |  |  |
| Electric Utilities - 0.2%  |  |  |  |
|  Alabama Power Co. 3.05% 3/15/32  |  | 16210000  | 14107740  |
|  AusNet Services Holdings Pty Ltd. 1.625% 3/11/81 (Reg. S) (c)  | EUR  | 1360000  | 1159939  |
|  CEZ A/S 2.375% 4/6/27 (Reg. S)  | EUR  | 400000  | 381625  |
|  Clearway Energy Operating LLC:  |  |  |  |
|  3.75% 2/15/31 (b)  |  | 925000  | 783651  |
|  4.75% 3/15/28 (b)  |  | 140000  | 129327  |
|  Cleco Corporate Holdings LLC:  |  |  |  |
|  3.375% 9/15/29  |  | 4843000  | 4134313  |
|  3.743% 5/1/26  |  | 2069000  | 1951126  |
|  Cleveland Electric Illuminating Co. 3.5% 4/1/28 (b)  |  | 3258000  | 2984971  |
|  DPL, Inc. 4.35% 4/15/29  |  | 7785000  | 6899456  |
|  Duke Energy Corp.:  |  |  |  |
|  3.85% 6/15/34  | EUR  | 1450000  | 1447821  |
|  4.3% 3/15/28  |  | 2316000  | 2231969  |
|  Duquesne Light Holdings, Inc.:  |  |  |  |
|  2.532% 10/1/30 (b)  |  | 2328000  | 1841125  |
|  2.775% 1/7/32 (b)  |  | 8828000  | 6923779  |
|  Edison International 2.95% 3/15/23  |  | 416000  | 413661  |
|  Enel SpA 3.375% (Reg. S) (c)(f)  | EUR  | 1855000  | 1754172  |
|  Eversource Energy 2.8% 5/1/23  |  | 1614000  | 1599816  |
|  Exelon Corp.:  |  |  |  |
|  2.75% 3/15/27 (b)  |  | 3860000  | 3557909  |
|  3.35% 3/15/32 (b)  |  | 7100000  | 6237984  |
|  4.1% 3/15/52 (b)  |  | 3230000  | 2636110  |
|  FirstEnergy Corp.:  |  |  |  |
|  1.6% 1/15/26  |  | 199000  | 175949  |
|  2.05% 3/1/25  |  | 1118000  | 1031596  |
|  7.375% 11/15/31  |  | 3668000  | 4130209  |
|  Iberdrola Finanzas SAU 7.375% 1/29/24  | GBP  | 450000  | 556541  |
|  InterGen NV 7% 6/30/23 (b)  |  | 964000  | 943046  |
|  IPALCO Enterprises, Inc. 3.7% 9/1/24  |  | 2386000  | 2310718  |
|  NextEra Energy Partners LP 4.25% 9/15/24 (b)  |  | 56000  | 52698  |
|  NGG Finance PLC 2.125% 9/5/82 (Reg. S) (c)  | EUR  | 2060000  | 1774288  |
|  NRG Energy, Inc.:  |  |  |  |
|  3.625% 2/15/31 (b)  |  | 1785000  | 1427375  |
|  5.25% 6/15/29 (b)  |  | 484000  | 446081  |
|  5.75% 1/15/28  |  | 581000  | 556308  |
|  6.625% 1/15/27  |  | 57000  | 57439  |
|  NSG Holdings II LLC/NSG Holdings, Inc. 7.75% 12/15/25 (b)  |  | 811864  | 789847  |
|  ORSTED A/S 5.125% 9/13/34 (Reg. S)  | GBP  | 750000  | 931978  |
|  Pacific Gas & Electric Co. 3.25% 2/16/24  |  | 4138000  | 4012617  |
|  PG&E Corp.:  |  |  |  |
|  5% 7/1/28  |  | 4480000  | 4133293  |
|  5.25% 7/1/30  |  | 1155000  | 1045835  |
|  Southern Co.:  |  |  |  |
|  1.875% 9/15/81 (c)  | EUR  | 2800000  | 2261744  |
|  5.113% 8/1/27  |  | 1724000  | 1718347  |
|  Virginia Electric & Power Co. 2.4% 3/30/32  |  | 1724000  | 1408406  |
|  Vistra Operations Co. LLC:  |  |  |  |
|  5% 7/31/27 (b)  |  | 3190000  | 2994370  |
|  5.5% 9/1/26 (b)  |  | 3498000  | 3385117  |
|  5.625% 2/15/27 (b)  |  | 665000  | 643356  |
|  Western Power Distribution PLC 3.625% 11/6/23 (Reg. S)  | GBP  | 460000  | 546360  |
|  |  |  | 98510012  |
| Gas Utilities - 0.0%  |  |  |  |
|  Nakilat, Inc. 6.067% 12/31/33 (b)  |  | 1116057  | 1142424  |
|  Superior Plus LP / Superior General Partner, Inc. 4.5% 3/15/29 (b)  |  | 185000  | 157981  |
|  |  |  | 1300405  |
| Independent Power and Renewable Electricity Producers - 0.1%  |  |  |  |
|  RWE AG 2.75% 5/24/30 (Reg. S)  | EUR  | 3350000  | 3269508  |
|  TerraForm Power Operating LLC:  |  |  |  |
|  4.75% 1/15/30 (b)  |  | 75000  | 67500  |
|  5% 1/31/28 (b)  |  | 656000  | 608440  |
|  The AES Corp.:  |  |  |  |
|  1.375% 1/15/26  |  | 3793000  | 3369518  |
|  2.45% 1/15/31  |  | 11256000  | 8944216  |
|  3.3% 7/15/25 (b)  |  | 18060000  | 16902812  |
|  3.95% 7/15/30 (b)  |  | 16181000  | 14166466  |
|  |  |  | 47328460  |
| Multi-Utilities - 0.1%  |  |  |  |
|  Berkshire Hathaway Energy Co.:  |  |  |  |
|  3.25% 4/15/28  |  | 2069000  | 1925665  |
|  3.7% 7/15/30  |  | 1919000  | 1780706  |
|  4.05% 4/15/25  |  | 23356000  | 23131661  |
|  NiSource, Inc.:  |  |  |  |
|  0.95% 8/15/25  |  | 829000  | 747525  |
|  2.95% 9/1/29  |  | 14275000  | 12515739  |
|  3.49% 5/15/27  |  | 13900000  | 13124357  |
|  5.95% 6/15/41  |  | 1737000  | 1754752  |
|  Puget Energy, Inc.:  |  |  |  |
|  3.65% 5/15/25  |  | 1035000  | 985506  |
|  4.1% 6/15/30  |  | 6250000  | 5615052  |
|  4.224% 3/15/32  |  | 17043000  | 15205924  |
|  Sempra Energy 6% 10/15/39  |  | 2744000  | 2770661  |
|  WEC Energy Group, Inc. 3 month U.S. LIBOR + 2.610% 6.7186% 5/15/67 (c)(e)  |  | 3010000  | 2468383  |
|  |  |  | 82025931  |
| Water Utilities - 0.0%  |  |  |  |
|  Severn Trent Utilities Finance PLC:  |  |  |  |
|  4.625% 11/30/34 (Reg. S)  | GBP  | 380000  | 447901  |
|  6.125% 2/26/24  | GBP  | 245000  | 298901  |
|  Thames Water Utility Finance PLC 1.875% 1/24/24 (Reg. S)  | GBP  | 480000  | 557558  |
|  |  |  | 1304360  |
|  TOTAL UTILITIES  |  |  | 230469168  |
| <br> **TOTAL NONCONVERTIBLE BONDS** <br> (Cost $6,300,095,847)  |  |  | <br> **5700485780**  |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **U.S. Treasury Obligations - 10.8%**  | &nbsp;&nbsp; **U.S. Treasury Obligations - 10.8%**  | &nbsp;&nbsp; **U.S. Treasury Obligations - 10.8%**  |
|  | Principal <br> Amount (a) <br>| Value ($) <br>|
|  U.S. Treasury Bonds:  |  |  |
|  2% 11/15/41 (g)(h)  | 3600000  | 2621953  |
|  2.25% 2/15/52  | 85500000  | 61743692  |
|  2.375% 5/15/51  | 634826000  | 472102245  |
|  2.875% 5/15/52  | 409400000  | 340313750  |
|  3.25% 5/15/42 (g)(h)(i)  | 9830000  | 8830105  |
|  4% 11/15/52  | 183500000  | 190840000  |
|  U.S. Treasury Notes:  |  |  |
|  0.25% 7/31/25 (g)  | 75607200  | 68276846  |
|  0.5% 5/31/27  | 520000000  | 448032811  |
|  0.75% 11/15/24  | 80195400  | 74766548  |
|  1.125% 10/31/26  | 250000000  | 224492188  |
|  1.125% 8/31/28  | 90924900  | 78404968  |
|  1.25% 12/31/26  | 545000000  | 490244531  |
|  1.25% 4/30/28  | 250000000  | 218779298  |
|  1.25% 5/31/28  | 74500000  | 65085644  |
|  1.25% 6/30/28  | 75000000  | 65373047  |
|  1.25% 9/30/28  | 9213600  | 7988479  |
|  1.375% 10/31/28  | 4966000  | 4328955  |
|  1.5% 2/29/24 (g)(j)  | 10200000  | 9815109  |
|  1.5% 1/31/27  | 431182200  | 391297847  |
|  1.625% 9/30/26  | 81764700  | 75067021  |
|  1.625% 8/15/29  | 58908200  | 51731064  |
|  1.875% 2/28/27  | 325227500  | 299514201  |
|  1.875% 2/28/29  | 150000000  | 134220704  |
|  2.125% 5/15/25  | 345000  | 328262  |
|  2.375% 3/31/29  | 30324000  | 27906372  |
|  2.625% 7/31/29 (g)(h)  | 59248500  | 55276999  |
|  2.75% 8/15/32 (g)(h)  | 758860900  | 702894909  |
|  2.875% 5/15/32  | 963805000  | 903416593  |
|  3.125% 11/15/28  | 132281400  | 127357019  |
|  3.25% 6/30/29  | 26556300  | 25728490  |
|  3.5% 9/15/25  | 35868700  | 35291438  |
|  4% 10/31/29  | 31182700  | 31655313  |
|  4.125% 11/15/32  | 249900000  | 259661719  |
|  4.375% 10/31/24  | 73900000  | 73882679  |
| <br> **TOTAL U.S. TREASURY OBLIGATIONS** <br> (Cost $6,611,856,845)  |  | **6027270799**  |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **U.S. Government Agency - Mortgage Securities - 25.5%**  | &nbsp;&nbsp; **U.S. Government Agency - Mortgage Securities - 25.5%**  | &nbsp;&nbsp; **U.S. Government Agency - Mortgage Securities - 25.5%**  |
|  | Principal <br> Amount (a) <br>| Value ($) <br>|
| Fannie Mae - 6.5%  |  |  |
|  12 month U.S. LIBOR + 1.440% 1.945% 4/1/37 (c)(e)  | 6859  | 6830  |
|  12 month U.S. LIBOR + 1.460% 3.148% 1/1/35 (c)(e)  | 7030  | 7013  |
|  12 month U.S. LIBOR + 1.480% 3.787% 7/1/34 (c)(e)  | 1855  | 1863  |
|  12 month U.S. LIBOR + 1.530% 1.94% 3/1/36 (c)(e)  | 1594  | 1592  |
|  12 month U.S. LIBOR + 1.550% 3.803% 6/1/36 (c)(e)  | 6792  | 6863  |
|  12 month U.S. LIBOR + 1.560% 2.065% 3/1/37 (c)(e)  | 5991  | 5990  |
|  12 month U.S. LIBOR + 1.620% 3.212% 3/1/33 (c)(e)  | 5684  | 5668  |
|  12 month U.S. LIBOR + 1.620% 3.871% 5/1/35 (c)(e)  | 11027  | 11074  |
|  12 month U.S. LIBOR + 1.630% 2.987% 11/1/36 (c)(e)  | 3214  | 3230  |
|  12 month U.S. LIBOR + 1.630% 3.815% 9/1/36 (c)(e)  | 3730  | 3748  |
|  12 month U.S. LIBOR + 1.640% 1.895% 6/1/47 (c)(e)  | 8149  | 8245  |
|  12 month U.S. LIBOR + 1.640% 3.274% 5/1/36 (c)(e)  | 12450  | 12549  |
|  12 month U.S. LIBOR + 1.680% 3.004% 7/1/43 (c)(e)  | 101472  | 102306  |
|  12 month U.S. LIBOR + 1.700% 3.185% 6/1/42 (c)(e)  | 11662  | 11798  |
|  12 month U.S. LIBOR + 1.710% 3.926% 8/1/35 (c)(e)  | 4082  | 4114  |
|  12 month U.S. LIBOR + 1.730% 2.354% 3/1/40 (c)(e)  | 12851  | 12933  |
|  12 month U.S. LIBOR + 1.730% 3.442% 5/1/36 (c)(e)  | 9586  | 9697  |
|  12 month U.S. LIBOR + 1.750% 2.607% 7/1/35 (c)(e)  | 3642  | 3648  |
|  12 month U.S. LIBOR + 1.750% 4% 8/1/41 (c)(e)  | 17894  | 18074  |
|  12 month U.S. LIBOR + 1.800% 2.055% 1/1/42 (c)(e)  | 27117  | 27298  |
|  12 month U.S. LIBOR + 1.800% 3.724% 12/1/40 (c)(e)  | 374017  | 377538  |
|  12 month U.S. LIBOR + 1.800% 4.05% 7/1/41 (c)(e)  | 5368  | 5431  |
|  12 month U.S. LIBOR + 1.810% 2.06% 12/1/39 (c)(e)  | 9207  | 9261  |
|  12 month U.S. LIBOR + 1.810% 2.304% 2/1/42 (c)(e)  | 16004  | 16098  |
|  12 month U.S. LIBOR + 1.810% 4% 7/1/41 (c)(e)  | 8300  | 8423  |
|  12 month U.S. LIBOR + 1.810% 4.068% 9/1/41 (c)(e)  | 3861  | 3900  |
|  12 month U.S. LIBOR + 1.820% 2.293% 2/1/35 (c)(e)  | 15153  | 15183  |
|  12 month U.S. LIBOR + 1.830% 4.08% 10/1/41 (c)(e)  | 3673  | 3642  |
|  12 month U.S. LIBOR + 1.950% 3.771% 7/1/37 (c)(e)  | 16939  | 17224  |
|  6 month U.S. LIBOR + 1.500% 2.735% 1/1/35 (c)(e)  | 16787  | 16800  |
|  6 month U.S. LIBOR + 1.530% 2.785% 12/1/34 (c)(e)  | 2281  | 2276  |
|  6 month U.S. LIBOR + 1.530% 2.835% 3/1/35 (c)(e)  | 3301  | 3296  |
|  6 month U.S. LIBOR + 1.550% 4.011% 10/1/33 (c)(e)  | 1030  | 1044  |
|  6 month U.S. LIBOR + 1.560% 3.64% 7/1/35 (c)(e)  | 1772  | 1807  |
|  6 month U.S. LIBOR + 1.740% 2.865% 12/1/34 (c)(e)  | 331  | 333  |
|  6 month U.S. LIBOR + 1.960% 3.434% 9/1/35 (c)(e)  | 2391  | 2408  |
|  U.S. TREASURY 1 YEAR INDEX + 2.200% 2.583% 3/1/35 (c)(e)  | 3672  | 3730  |
|  U.S. TREASURY 1 YEAR INDEX + 2.270% 4.395% 6/1/36 (c)(e)  | 17157  | 17503  |
|  U.S. TREASURY 1 YEAR INDEX + 2.280% 4.408% 10/1/33 (c)(e)  | 7173  | 7308  |
|  U.S. TREASURY 1 YEAR INDEX + 2.460% 3.871% 7/1/34 (c)(e)  | 12203  | 12443  |
|  1% 12/1/36  | 94229752  | 79115827  |
|  1.5% 1/1/36 to 11/1/51  | 135158827  | 111326643  |
|  2% 10/1/35 to 3/1/52  | 655756670  | 546990483  |
|  2.5% 5/1/31 to 2/1/52  | 890856424  | 786268218  |
|  3% 12/1/28 to 8/1/52 (h)  | 745019978  | 672690550  |
|  3.25% 12/1/41  | 6007  | 5551  |
|  3.4% 7/1/42 to 9/1/42  | 110799  | 102727  |
|  3.5% 10/1/33 to 4/1/52 (g)  | 494449617  | 459044368  |
|  3.65% 5/1/42 to 8/1/42  | 34909  | 32981  |
|  3.9% 4/1/42  | 9649  | 9239  |
|  4% 3/1/36 to 6/1/52  | 434716802  | 417867416  |
|  4.25% 11/1/41  | 19205  | 18706  |
|  4.5% to 4.5% 6/1/24 to 7/1/52 (g)  | 256453743  | 253044244  |
|  5% 3/1/23 to 11/1/52  | 163452830  | 164413319  |
|  5.264% 8/1/41 (c)  | 266216  | 267845  |
|  5.5% 12/1/23 to 11/1/52  | 81515232  | 82606487  |
|  6% to 6% 9/1/29 to 1/1/42  | 1214062  | 1268354  |
|  6% 11/1/52  | 25829776  | 26468334  |
|  6.5% 7/1/23 to 5/1/38  | 402646  | 420024  |
|  6.666% 2/1/39 (c)  | 148296  | 151837  |
|  7% to 7% 4/1/23 to 7/1/37  | 110361  | 115277  |
|  7.5% to 7.5% 8/1/23 to 9/1/32  | 68074  | 71176  |
|  8% 3/1/37  | 2960  | 3263  |
|  9% 10/1/30  | 3402  | 3671  |
|  TOTAL FANNIE MAE  |  | 3603096721  |
| Freddie Mac - 3.1%  |  |  |
|  12 month U.S. LIBOR + 1.320% 1.575% 1/1/36 (c)(e)  | 4904  | 4836  |
|  12 month U.S. LIBOR + 1.370% 2.517% 3/1/36 (c)(e)  | 21345  | 21166  |
|  12 month U.S. LIBOR + 1.500% 2.636% 3/1/36 (c)(e)  | 16560  | 16459  |
|  12 month U.S. LIBOR + 1.750% 2.958% 12/1/40 (c)(e)  | 158396  | 158551  |
|  12 month U.S. LIBOR + 1.750% 4% 7/1/41 (c)(e)  | 32477  | 32713  |
|  12 month U.S. LIBOR + 1.750% 4% 9/1/41 (c)(e)  | 61543  | 61765  |
|  12 month U.S. LIBOR + 1.860% 3.239% 4/1/36 (c)(e)  | 8381  | 8442  |
|  12 month U.S. LIBOR + 1.880% 3.255% 4/1/41 (c)(e)  | 1463  | 1474  |
|  12 month U.S. LIBOR + 1.880% 4.13% 9/1/41 (c)(e)  | 5790  | 5811  |
|  12 month U.S. LIBOR + 1.900% 3.709% 10/1/42 (c)(e)  | 22460  | 22595  |
|  12 month U.S. LIBOR + 1.910% 3.22% 5/1/41 (c)(e)  | 11525  | 11612  |
|  12 month U.S. LIBOR + 1.910% 3.568% 5/1/41 (c)(e)  | 12072  | 12188  |
|  12 month U.S. LIBOR + 1.910% 3.774% 6/1/41 (c)(e)  | 15021  | 15177  |
|  12 month U.S. LIBOR + 1.910% 4.16% 6/1/41 (c)(e)  | 3811  | 3859  |
|  12 month U.S. LIBOR + 1.960% 3.711% 6/1/33 (c)(e)  | 9268  | 9314  |
|  12 month U.S. LIBOR + 2.020% 2.93% 4/1/38 (c)(e)  | 7220  | 7242  |
|  12 month U.S. LIBOR + 2.030% 4.158% 3/1/33 (c)(e)  | 157  | 156  |
|  12 month U.S. LIBOR + 2.040% 4.265% 7/1/36 (c)(e)  | 13790  | 13956  |
|  12 month U.S. LIBOR + 2.200% 2.45% 12/1/36 (c)(e)  | 18756  | 19003  |
|  6 month U.S. LIBOR + 1.120% 2.424% 8/1/37 (c)(e)  | 7953  | 7816  |
|  6 month U.S. LIBOR + 1.580% 3.08% 12/1/35 (c)(e)  | 320  | 326  |
|  6 month U.S. LIBOR + 1.880% 3.369% 10/1/36 (c)(e)  | 20804  | 20794  |
|  6 month U.S. LIBOR + 1.990% 3.437% 10/1/35 (c)(e)  | 10097  | 10120  |
|  6 month U.S. LIBOR + 2.020% 3.51% 6/1/37 (c)(e)  | 15855  | 16284  |
|  6 month U.S. LIBOR + 2.680% 4.983% 10/1/35 (c)(e)  | 6602  | 6793  |
|  U.S. TREASURY 1 YEAR INDEX + 2.030% 2.947% 6/1/33 (c)(e)  | 15107  | 15216  |
|  U.S. TREASURY 1 YEAR INDEX + 2.260% 3.228% 6/1/33 (c)(e)  | 30880  | 31193  |
|  U.S. TREASURY 1 YEAR INDEX + 2.430% 3.824% 3/1/35 (c)(e)  | 59808  | 60927  |
|  1.5% 12/1/40 to 6/1/51  | 32996084  | 26185639  |
|  2% 8/1/35 to 4/1/52  | 514972314  | 429828843  |
|  2.5% 6/1/31 to 3/1/52  | 524078091  | 454679899  |
|  3% 6/1/31 to 4/1/52  | 322593959  | 290392864  |
|  3.5% 3/1/32 to 5/1/52 (h)  | 263536805  | 245263969  |
|  4% 5/1/33 to 8/1/52 (g)  | 142181334  | 136792208  |
|  4% 4/1/48  | 8752  | 8459  |
|  4.5% 6/1/25 to 7/1/49  | 23061617  | 22900729  |
|  5% 7/1/33 to 12/1/52  | 90079037  | 90848118  |
|  5.5% 3/1/34 to 7/1/35  | 683946  | 702250  |
|  6% 1/1/23 to 12/1/37  | 256170  | 266276  |
|  6.5% 1/1/24 to 9/1/39  | 368437  | 389520  |
|  7% 3/1/26 to 9/1/36  | 126160  | 133060  |
|  7.5% 1/1/27 to 7/1/34  | 36349  | 38618  |
|  8% 7/1/24 to 4/1/32  | 2310  | 2450  |
|  8.5% 1/1/25 to 1/1/28  | 1399  | 1455  |
|  TOTAL FREDDIE MAC  |  | 1699030145  |
| Ginnie Mae - 5.7%  |  |  |
|  3.5% 9/20/40 to 11/20/50  | 225381242  | 211629310  |
|  4% 7/20/33 to 6/20/49  | 97619388  | 94643843  |
|  4.5% 6/20/33 to 9/20/46  | 7571229  | 7510026  |
|  5.5% 8/15/33 to 9/15/39  | 209285  | 216608  |
|  6% to 6% 10/15/30 to 5/15/40  | 298223  | 312711  |
|  7% to 7% 12/15/23 to 11/15/32  | 344171  | 359197  |
|  7.5% to 7.5% 2/15/23 to 9/15/31  | 23964  | 24692  |
|  8% 12/15/23 to 11/15/29  | 5322  | 5468  |
|  8.5% to 8.5% 11/15/27 to 1/15/31  | 3198  | 3380  |
|  2% 9/20/50 to 4/20/51  | 141010445  | 120573205  |
|  2% 12/1/52 (k)  | 8850000  | 7514603  |
|  2% 12/1/52 (k)  | 48850000  | 41478911  |
|  2% 12/1/52 (k)  | 67300000  | 57144948  |
|  2% 12/1/52 (k)  | 54225000  | 46042865  |
|  2% 12/1/52 (k)  | 80300000  | 68183348  |
|  2% 12/1/52 (k)  | 160050000  | 135899687  |
|  2% 12/1/52 (k)  | 14500000  | 12312062  |
|  2% 12/1/52 (k)  | 28950000  | 24581668  |
|  2% 12/1/52 (k)  | 14500000  | 12312062  |
|  2% 12/1/52 (k)  | 15300000  | 12991348  |
|  2% 12/1/52 (k)  | 58900000  | 50012444  |
|  2% 12/1/52 (k)  | 6375000  | 5413062  |
|  2% 12/1/52 (k)  | 38600000  | 32775557  |
|  2% 12/1/52 (k)  | 6950000  | 5901299  |
|  2% 1/1/53 (k)  | 14500000  | 12323389  |
|  2% 1/1/53 (k)  | 76550000  | 65058995  |
|  2% 1/1/53 (k)  | 21750000  | 18485084  |
|  2% 1/1/53 (k)  | 7250000  | 6161695  |
|  2% 1/1/53 (k)  | 110700000  | 94082701  |
|  2% 1/1/53 (k)  | 36900000  | 31360900  |
|  2% 1/1/53 (k)  | 10600000  | 9008822  |
|  2% 1/1/53 (k)  | 49200000  | 41814534  |
|  2% 1/1/53 (k)  | 7175000  | 6097953  |
|  2% 1/1/53 (k)  | 36575000  | 31084687  |
|  2% 1/1/53 (k)  | 40450000  | 34378006  |
|  2% 1/1/53 (k)  | 41850000  | 35567850  |
|  2% 1/1/53 (k)  | 7350000  | 6246683  |
|  2% 1/1/53 (k)  | 9000000  | 7649000  |
|  2.5% 11/20/47 to 12/20/51  | 58133539  | 51264568  |
|  2.5% 12/1/52 (k)  | 40300000  | 35358277  |
|  2.5% 12/1/52 (k)  | 81050000  | 71111373  |
|  2.5% 12/1/52 (k)  | 81400000  | 71418455  |
|  2.5% 12/1/52 (k)  | 162200000  | 142310485  |
|  2.5% 12/1/52 (k)  | 16350000  | 14345107  |
|  2.5% 12/1/52 (k)  | 32550000  | 28558608  |
|  2.5% 12/1/52 (k)  | 8100000  | 7106750  |
|  2.5% 12/1/52 (k)  | 16250000  | 14257370  |
|  2.5% 12/1/52 (k)  | 33700000  | 29567591  |
|  2.5% 12/1/52 (k)  | 6750000  | 5922292  |
|  2.5% 12/1/52 (k)  | 39750000  | 34875720  |
|  2.5% 12/1/52 (k)  | 7950000  | 6975144  |
|  2.5% 1/1/53 (k)  | 8100000  | 7112762  |
|  2.5% 1/1/53 (k)  | 40300000  | 35388188  |
|  2.5% 1/1/53 (k)  | 81100000  | 71215435  |
|  2.5% 1/1/53 (k)  | 16250000  | 14269431  |
|  2.5% 1/1/53 (k)  | 7900000  | 6937139  |
|  2.5% 1/1/53 (k)  | 50550000  | 44388905  |
|  2.5% 1/1/53 (k)  | 16350000  | 14357242  |
|  2.5% 1/1/53 (k)  | 81350000  | 71434964  |
|  2.5% 1/1/53 (k)  | 39750000  | 34905222  |
|  2.5% 1/1/53 (k)  | 51050000  | 44827965  |
|  2.5% 1/1/53 (k)  | 8000000  | 7024950  |
|  2.5% 1/1/53 (k)  | 8000000  | 7024950  |
|  3% 5/15/42 to 10/20/51 (g)(i)  | 95526007  | 86790294  |
|  3% 12/1/52 (k)  | 11500000  | 10372259  |
|  3% 12/1/52 (k)  | 52400000  | 47261425  |
|  3% 12/1/52 (k)  | 54500000  | 49155490  |
|  3% 12/1/52 (k)  | 11050000  | 9966388  |
|  3% 12/1/52 (k)  | 76250000  | 68772590  |
|  3% 12/1/52 (k)  | 15500000  | 13980002  |
|  3% 12/1/52 (k)  | 81875000  | 73845977  |
|  3% 12/1/52 (k)  | 16600000  | 14972131  |
|  3% 1/1/53 (k)  | 22350000  | 20172229  |
|  3% 1/1/53 (k)  | 108150000  | 97611929  |
|  3% 1/1/53 (k)  | 13350000  | 12049184  |
|  3% 1/1/53 (k)  | 64900000  | 58576183  |
|  3.5% 12/1/52 (k)  | 19500000  | 18090437  |
|  3.5% 12/1/52 (k)  | 4100000  | 3803630  |
|  3.5% 12/1/52 (k)  | 39300000  | 36459188  |
|  3.5% 12/1/52 (k)  | 81500000  | 75608748  |
|  3.5% 12/1/52 (k)  | 8475000  | 7862382  |
|  3.5% 12/1/52 (k)  | 2700000  | 2504830  |
|  3.5% 1/1/53 (k)  | 89350000  | 82933196  |
|  3.5% 1/1/53 (k)  | 8000000  | 7425468  |
|  4% 12/1/52 (k)  | 57300000  | 54689120  |
|  4.5% 12/1/52 (k)  | 84400000  | 82675725  |
|  4.5% 12/1/52 (k)  | 8900000  | 8718175  |
|  5% 4/15/33 to 6/20/48  | 9791840  | 9975029  |
|  5% 12/1/52 (k)  | 20400000  | 20389569  |
|  6.5% 3/20/31 to 6/15/37  | 46011  | 48383  |
|  TOTAL GINNIE MAE  |  | 3193831457  |
| Uniform Mortgage Backed Securities - 10.2%  |  |  |
|  1.5% 12/1/37 (k)  | 2225000  | 1944623  |
|  1.5% 12/1/37 (k)  | 8800000  | 7691093  |
|  1.5% 12/1/37 (k)  | 32250000  | 28186107  |
|  1.5% 12/1/37 (k)  | 8800000  | 7691093  |
|  1.5% 12/1/37 (k)  | 26100000  | 22811082  |
|  1.5% 12/1/37 (k)  | 6550000  | 5724620  |
|  1.5% 12/1/37 (k)  | 13050000  | 11405541  |
|  1.5% 12/1/37 (k)  | 9750000  | 8521381  |
|  1.5% 12/1/37 (k)  | 3250000  | 2840460  |
|  1.5% 12/1/37 (k)  | 2450000  | 2141270  |
|  1.5% 1/1/38 (k)  | 13000000  | 11379614  |
|  1.5% 1/1/38 (k)  | 51950000  | 45474687  |
|  1.5% 1/1/38 (k)  | 3350000  | 2932439  |
|  1.5% 1/1/38 (k)  | 13450000  | 11773523  |
|  1.5% 12/1/52 (k)  | 2500000  | 1942003  |
|  1.5% 12/1/52 (k)  | 2500000  | 1942003  |
|  1.5% 12/1/52 (k)  | 30900000  | 24003157  |
|  1.5% 12/1/52 (k)  | 30900000  | 24003157  |
|  1.5% 12/1/52 (k)  | 24350000  | 18915109  |
|  1.5% 12/1/52 (k)  | 152400000  | 118384503  |
|  1.5% 12/1/52 (k)  | 77000000  | 59813692  |
|  1.5% 12/1/52 (k)  | 12300000  | 9554655  |
|  1.5% 1/1/53 (k)  | 162900000  | 126821025  |
|  1.5% 1/1/53 (k)  | 24500000  | 18927207  |
|  2% 12/1/37 (k)  | 70550000  | 63375954  |
|  2% 12/1/37 (k)  | 10600000  | 9522114  |
|  2% 12/1/37 (k)  | 22950000  | 20616274  |
|  2% 12/1/37 (k)  | 152550000  | 137037587  |
|  2% 12/1/37 (k)  | 50800000  | 45634280  |
|  2% 12/1/37 (k)  | 20300000  | 18235746  |
|  2% 12/1/37 (k)  | 7650000  | 6872091  |
|  2% 12/1/37 (k)  | 3050000  | 2739853  |
|  2% 12/1/37 (k)  | 16600000  | 14911989  |
|  2% 12/1/37 (k)  | 2500000  | 2245782  |
|  2% 1/1/38 (k)  | 9350000  | 8409814  |
|  2% 1/1/38 (k)  | 60150000  | 54101641  |
|  2% 1/1/38 (k)  | 100250000  | 90169401  |
|  2% 1/1/38 (k)  | 15550000  | 13986376  |
|  2% 1/1/38 (k)  | 30000000  | 26983362  |
|  2% 1/1/38 (k)  | 4700000  | 4227393  |
|  2% 12/1/52 (k)  | 217600000  | 178962400  |
|  2% 12/1/52 (k)  | 179425000  | 147565848  |
|  2% 12/1/52 (k)  | 23550000  | 19368403  |
|  2% 12/1/52 (k)  | 222500000  | 182992344  |
|  2% 12/1/52 (k)  | 222600000  | 183074588  |
|  2% 12/1/52 (k)  | 20150000  | 16572116  |
|  2% 12/1/52 (k)  | 25500000  | 20972156  |
|  2% 12/1/52 (k)  | 25500000  | 20972156  |
|  2% 12/1/52 (k)  | 12700000  | 10444956  |
|  2% 12/1/52 (k)  | 110950000  | 91249441  |
|  2% 12/1/52 (k)  | 15000000  | 12336563  |
|  2% 12/1/52 (k)  | 12600000  | 10362713  |
|  2% 12/1/52 (k)  | 109900000  | 90385881  |
|  2% 12/1/52 (k)  | 12600000  | 10362713  |
|  2% 12/1/52 (k)  | 109900000  | 90385881  |
|  2% 12/1/52 (k)  | 1400000  | 1151413  |
|  2% 12/1/52 (k)  | 31975000  | 26297439  |
|  2% 12/1/52 (k)  | 98800000  | 81256825  |
|  2% 12/1/52 (k)  | 8550000  | 7031841  |
|  2% 12/1/52 (k)  | 4250000  | 3495359  |
|  2% 12/1/52 (k)  | 4300000  | 3536481  |
|  2% 12/1/52 (k)  | 49350000  | 40587291  |
|  2% 12/1/52 (k)  | 49400000  | 40628413  |
|  2% 12/1/52 (k)  | 36825000  | 30286261  |
|  2% 12/1/52 (k)  | 21400000  | 17600163  |
|  2% 12/1/52 (k)  | 3200000  | 2631800  |
|  2% 1/1/53 (k)  | 11700000  | 9632574  |
|  2% 1/1/53 (k)  | 108100000  | 88998395  |
|  2% 1/1/53 (k)  | 23350000  | 19223983  |
|  2% 1/1/53 (k)  | 216250000  | 178037955  |
|  2% 1/1/53 (k)  | 5850000  | 4816287  |
|  2% 1/1/53 (k)  | 54050000  | 44499197  |
|  2% 1/1/53 (k)  | 5850000  | 4816287  |
|  2% 1/1/53 (k)  | 1150000  | 946791  |
|  2% 1/1/53 (k)  | 54000000  | 44458033  |
|  2% 1/1/53 (k)  | 10850000  | 8932771  |
|  2% 1/1/53 (k)  | 5850000  | 4816287  |
|  2% 1/1/53 (k)  | 54050000  | 44499197  |
|  2% 1/1/53 (k)  | 23550000  | 19388642  |
|  2% 1/1/53 (k)  | 217600000  | 179149405  |
|  2% 1/1/53 (k)  | 11650000  | 9591409  |
|  2% 1/1/53 (k)  | 107600000  | 88586746  |
|  2.5% 12/1/37 (k)  | 7050000  | 6511336  |
|  2.5% 12/1/37 (k)  | 17450000  | 16116712  |
|  2.5% 12/1/37 (k)  | 7600000  | 7019313  |
|  2.5% 12/1/37 (k)  | 9850000  | 9097399  |
|  2.5% 12/1/37 (k)  | 2750000  | 2539883  |
|  2.5% 12/1/37 (k)  | 7050000  | 6511336  |
|  2.5% 12/1/37 (k)  | 2750000  | 2539883  |
|  2.5% 1/1/38 (k)  | 5200000  | 4806750  |
|  2.5% 12/1/52 (k)  | 54550000  | 46614677  |
|  2.5% 12/1/52 (k)  | 53700000  | 45888325  |
|  2.5% 12/1/52 (k)  | 8000000  | 6836250  |
|  2.5% 12/1/52 (k)  | 7250000  | 6195351  |
|  2.5% 12/1/52 (k)  | 27650000  | 23627788  |
|  2.5% 12/1/52 (k)  | 13800000  | 11792531  |
|  2.5% 12/1/52 (k)  | 213100000  | 182100599  |
|  2.5% 12/1/52 (k)  | 106550000  | 91050299  |
|  2.5% 12/1/52 (k)  | 5000000  | 4272656  |
|  2.5% 12/1/52 (k)  | 108850000  | 93015721  |
|  2.5% 12/1/52 (k)  | 42900000  | 36659388  |
|  2.5% 12/1/52 (k)  | 54450000  | 46529224  |
|  2.5% 12/1/52 (k)  | 15300000  | 13074327  |
|  2.5% 12/1/52 (k)  | 7700000  | 6579890  |
|  2.5% 12/1/52 (k)  | 71900000  | 61440793  |
|  2.5% 12/1/52 (k)  | 10150000  | 8673492  |
|  2.5% 12/1/52 (k)  | 32200000  | 27515905  |
|  2.5% 12/1/52 (k)  | 4550000  | 3888117  |
|  2.5% 12/1/52 (k)  | 6300000  | 5383547  |
|  2.5% 12/1/52 (k)  | 44450000  | 37983912  |
|  2.5% 1/1/53 (k)  | 21800000  | 18646665  |
|  2.5% 1/1/53 (k)  | 7250000  | 6201299  |
|  2.5% 1/1/53 (k)  | 161100000  | 137797143  |
|  2.5% 1/1/53 (k)  | 53700000  | 45932381  |
|  3% 12/1/52 (k)  | 27800000  | 24609516  |
|  3% 12/1/52 (k)  | 92250000  | 81662873  |
|  3% 12/1/52 (k)  | 10050000  | 8896606  |
|  3% 12/1/52 (k)  | 114050000  | 100960983  |
|  3% 12/1/52 (k)  | 95100000  | 84185791  |
|  3% 12/1/52 (k)  | 15400000  | 13632610  |
|  3% 12/1/52 (k)  | 13200000  | 11685094  |
|  3% 12/1/52 (k)  | 17100000  | 15137508  |
|  3% 12/1/52 (k)  | 2750000  | 2434395  |
|  3% 12/1/52 (k)  | 33200000  | 29389782  |
|  3% 1/1/53 (k)  | 19900000  | 17627824  |
|  3% 1/1/53 (k)  | 2650000  | 2347424  |
|  3% 1/1/53 (k)  | 39800000  | 35255648  |
|  3% 1/1/53 (k)  | 5300000  | 4694848  |
|  3.5% 12/1/52 (k)  | 33600000  | 30786000  |
|  3.5% 12/1/52 (k)  | 13400000  | 12277750  |
|  3.5% 12/1/52 (k)  | 79750000  | 73070938  |
|  3.5% 12/1/52 (k)  | 4700000  | 4306375  |
|  3.5% 12/1/52 (k)  | 52750000  | 48332188  |
|  3.5% 12/1/52 (k)  | 8900000  | 8154625  |
|  3.5% 12/1/52 (k)  | 5600000  | 5131000  |
|  3.5% 12/1/52 (k)  | 74750000  | 68489688  |
|  3.5% 12/1/52 (k)  | 36000000  | 32985000  |
|  3.5% 1/1/53 (k)  | 3650000  | 3346024  |
|  3.5% 1/1/53 (k)  | 31700000  | 29059986  |
|  4% 12/1/52 (k)  | 28000000  | 26495000  |
|  4% 12/1/52 (k)  | 39850000  | 37708063  |
|  4% 12/1/52 (k)  | 22600000  | 21385250  |
|  4% 12/1/52 (k)  | 10450000  | 9888313  |
|  4% 12/1/52 (k)  | 8950000  | 8468938  |
|  4% 12/1/52 (k)  | 4800000  | 4542000  |
|  4% 12/1/52 (k)  | 4100000  | 3879625  |
|  4% 12/1/52 (k)  | 1100000  | 1040875  |
|  4.5% 12/1/52 (k)  | 15150000  | 14747586  |
|  4.5% 12/1/52 (k)  | 79150000  | 77047618  |
|  4.5% 12/1/52 (k)  | 58650000  | 57092139  |
|  4.5% 12/1/52 (k)  | 14525000  | 14139187  |
|  4.5% 1/1/53 (k)  | 13250000  | 12898054  |
|  4.5% 1/1/53 (k)  | 61600000  | 59963781  |
|  5% 12/1/52 (k)  | 18300000  | 18219928  |
|  5% 12/1/52 (k)  | 33450000  | 33303640  |
|  5% 12/1/52 (k)  | 8350000  | 8313465  |
|  5% 12/1/52 (k)  | 200000  | 199125  |
|  5% 12/1/52 (k)  | 17525000  | 17448319  |
|  5% 12/1/52 (k)  | 1300000  | 1294312  |
|  5% 12/1/52 (k)  | 1400000  | 1393874  |
|  5% 12/1/52 (k)  | 3650000  | 3634029  |
|  5% 12/1/52 (k)  | 2075000  | 2065921  |
|  5% 12/1/52 (k)  | 29900000  | 29769173  |
|  5% 12/1/52 (k)  | 4800000  | 4778998  |
|  5% 12/1/52 (k)  | 25425000  | 25313753  |
|  5% 12/1/52 (k)  | 10200000  | 10155370  |
|  5% 12/1/52 (k)  | 4325000  | 4306076  |
|  5.5% 12/1/52 (k)  | 8700000  | 8799234  |
|  5.5% 12/1/52 (k)  | 63000000  | 63718591  |
|  5.5% 12/1/52 (k)  | 8000000  | 8091250  |
|  5.5% 12/1/52 (k)  | 50000000  | 50570310  |
|  5.5% 12/1/52 (k)  | 17700000  | 17901890  |
|  5.5% 12/1/52 (k)  | 2900000  | 2933078  |
|  5.5% 12/1/52 (k)  | 26150000  | 26448272  |
|  6% 12/1/52 (k)  | 2900000  | 2966610  |
|  6% 12/1/52 (k)  | 5800000  | 5933219  |
|  6% 12/1/52 (k)  | 35200000  | 36008502  |
|  6% 12/1/52 (k)  | 17900000  | 18311142  |
|  TOTAL UNIFORM MORTGAGE BACKED SECURITIES  |  | 5707276983  |
| <br> **TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES** <br> (Cost $14,636,465,366)  |  | <br> **14203235306**  |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **Asset-Backed Securities - 1.9%**  | &nbsp;&nbsp; **Asset-Backed Securities - 1.9%**  | &nbsp;&nbsp; **Asset-Backed Securities - 1.9%**  |
|  | Principal <br> Amount (a) <br>| Value ($) <br>|
|  AASET Trust:  |  |  |
|  Series 2018-1A Class A, 3.844% 1/16/38 (b)  | 6829560  | 4135771  |
|  Series 2019-1 Class A, 3.844% 5/15/39 (b)  | 3260543  | 2165785  |
|  Series 2019-2:  |  |  |
|  Class A, 3.376% 10/16/39 (b) <br>| 8278493  | 5886692  |
|  Class B, 4.458% 10/16/39 (b)(l) <br>| 1488945  | 684234  |
|  Series 2021-1A Class A, 2.95% 11/16/41 (b)  | 10511297  | 8356234  |
|  Series 2021-2A Class A, 2.798% 1/15/47 (b)  | 21881615  | 17062544  |
|  Aimco:  |  |  |
|  Series 2021-10A Class AR, 3 month U.S. LIBOR + 1.060% 5.3846% 7/22/32 (b)(c)(e)  | 3942574  | 3845299  |
|  Series 2021-BA Class AR, 3 month U.S. LIBOR + 1.100% 5.1791% 1/15/32 (b)(c)(e)  | 11580122  | 11352167  |
|  AIMCO CLO Ltd.:  |  |  |
|  Series 2021-11A Class AR, 3 month U.S. LIBOR + 1.130% 5.2091% 10/17/34 (b)(c)(e)  | 7980000  | 7733075  |
|  Series 2022-12A Class AR, CME TERM SOFR 3 MONTH INDEX + 1.170% 5.0336% 1/17/32 (b)(c)(e)  | 4031543  | 3956149  |
|  Allegro CLO XV, Ltd. / Allegro CLO VX LLC Series 2022-1A Class A, CME TERM SOFR 3 MONTH INDEX + 1.500% 3.1807% 7/20/35 (b)(c)(e)  | 12690000  | 12301635  |
|  Allegro CLO, Ltd. Series 2021-1A Class A, 3 month U.S. LIBOR + 1.140% 5.3826% 7/20/34 (b)(c)(e)  | 8250000  | 7965276  |
|  Apollo Aviation Securitization Equity Trust Series 2020-1A:  |  |  |
|  Class A, 3.351% 1/16/40 (b)  | 2687156  | 2156541  |
|  Class B, 4.335% 1/16/40 (b)  | 435156  | 187431  |
|  Ares CLO Series 2019-54A Class A, 3 month U.S. LIBOR + 1.320% 5.3991% 10/15/32 (b)(c)(e)  | 8066000  | 7886257  |
|  Ares LII CLO Ltd. Series 2021-52A Class A1R, 3 month U.S. LIBOR + 1.050% 5.3746% 4/22/31 (b)(c)(e)  | 2862530  | 2802360  |
|  Ares LV CLO Ltd. Series 2021-55A Class A1R, 3 month U.S. LIBOR + 1.130% 5.2091% 7/15/34 (b)(c)(e)  | 10540000  | 10247620  |
|  Ares LVIII CLO LLC Series 2022-58A Class AR, CME TERM SOFR 3 MONTH INDEX + 1.330% 5.1936% 1/15/35 (b)(c)(e)  | 18170000  | 17420451  |
|  Ares XLI CLO Ltd. / Ares XLI CLO LLC Series 2021-41A Class AR2, 3 month U.S. LIBOR + 1.070% 5.1491% 4/15/34 (b)(c)(e)  | 24780000  | 23944468  |
|  Ares XXXIV CLO Ltd. Series 2020-2A Class AR2, 3 month U.S. LIBOR + 1.250% 5.3291% 4/17/33 (b)(c)(e)  | 26092000  | 25371991  |
|  Babson CLO Ltd. Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.150% 5.2291% 10/15/36 (b)(c)(e)  | 7970000  | 7719806  |
|  Bank of America Credit Card Master Trust Series 2022-A2 Class A2, 5% 4/17/28  | 3900000  | 3904656  |
|  Barings CLO Ltd. Series 2021-4A Class A, 3 month U.S. LIBOR + 1.220% 5.4626% 1/20/32 (b)(c)(e)  | 9470000  | 9296046  |
|  Bear Stearns Asset Backed Securities I Trust Series 2005-HE2 Class M2, 1 month U.S. LIBOR + 1.120% 5.1686% 2/25/35 (c)(e)  | 146803  | 144690  |
|  Beechwood Park CLO Ltd. Series 2022-1A Class A1R, CME TERM SOFR 3 MONTH INDEX + 1.300% 5.1636% 1/17/35 (b)(c)(e)  | 15590000  | 15271839  |
|  BETHP Series 2021-1A Class A, 3 month U.S. LIBOR + 1.130% 5.2091% 1/15/35 (b)(c)(e)  | 11380000  | 11003413  |
|  Blackbird Capital Aircraft:  |  |  |
|  Series 2016-1A:  |  |  |
|  Class A, 4.213% 12/16/41 (b) <br>| 5419063  | 4426106  |
|  Class AA, 2.487% 12/16/41 (b)(c) <br>| 533983  | 485919  |
|  Series 2021-1A Class A, 2.443% 7/15/46 (b)  | 25240189  | 20658262  |
|  Bristol Park CLO, Ltd. Series 2020-1A Class AR, 3 month U.S. LIBOR + 0.990% 5.0691% 4/15/29 (b)(c)(e)  | 10164557  | 10000725  |
|  Castlelake Aircraft Securitization Trust:  |  |  |
|  Series 2019-1A:  |  |  |
|  Class A, 3.967% 4/15/39 (b) <br>| 11264108  | 9501388  |
|  Class B, 5.095% 4/15/39 (b) <br>| 3098041  | 2292612  |
|  Series 2021-1R Class A, 2.741% 8/15/41 (b)  | 26700119  | 22895352  |
|  Castlelake Aircraft Structured Trust:  |  |  |
|  Series 2018-1 Class A, 4.125% 6/15/43 (b)  | 2836513  | 2482054  |
|  Series 2021-1A:  |  |  |
|  Class A, 3.474% 1/15/46 (b) <br>| 6126302  | 5176848  |
|  Class B, 6.656% 1/15/46 (b) <br>| 2756103  | 2129255  |
|  Cedar Funding Ltd.:  |  |  |
|  Series 2021-10A Class AR, 3 month U.S. LIBOR + 1.100% 5.3426% 10/20/32 (b)(c)(e)  | 9231000  | 8978883  |
|  Series 2021-14A Class A, 3 month U.S. LIBOR + 1.100% 5.1791% 7/15/33 (b)(c)(e)  | 3354274  | 3268753  |
|  Series 2022-15A Class A, CME TERM SOFR 3 MONTH INDEX + 1.320% 5.2833% 4/20/35 (b)(c)(e)  | 14430000  | 13862800  |
|  Cedar Funding XII CLO Ltd. / Cedar Funding XII CLO LLC Series 2021-12A Class A1R, 3 month U.S. LIBOR + 1.130% 5.4884% 10/25/34 (b)(c)(e)  | 6880000  | 6635526  |
|  Cent CLO LP Series 2021-21A Class A1R3, 3 month U.S. LIBOR + 0.970% 5.328% 7/27/30 (b)(c)(e)  | 5812473  | 5716631  |
|  Cent CLO Ltd. / Cent CLO Series 2021-29A Class AR, 3 month U.S. LIBOR + 1.170% 5.4126% 10/20/34 (b)(c)(e)  | 11410000  | 10997460  |
|  Chase Issuance Trust Series 2022-A1 Class A, 3.97% 9/15/27  | 3763000  | 3679802  |
|  Citi Mortgage Loan Trust Series 2007-1 Class 1A, 1 month U.S. LIBOR + 1.350% 5.3661% 10/25/37 (b)(c)(e)  | 42647  | 42327  |
|  Columbia Cent CLO 31 Ltd. Series 2021-31A Class A1, 3 month U.S. LIBOR + 1.200% 5.4426% 4/20/34 (b)(c)(e)  | 9400000  | 9075634  |
|  Columbia Cent Clo 32 Ltd. / Coliseum Series 2022-32A Class A1, CME TERM SOFR 3 MONTH INDEX + 1.700% 4.197% 7/24/34 (b)(c)(e)  | 16510000  | 15841328  |
|  Columbia Cent CLO Ltd. / Columbia Cent CLO Corp. Series 2021-30A Class A1, 3 month U.S. LIBOR + 1.310% 5.5526% 1/20/34 (b)(c)(e)  | 12220000  | 11884879  |
|  DB Master Finance LLC:  |  |  |
|  Series 2017-1A Class A2II, 4.03% 11/20/47 (b)  | 5239703  | 4737613  |
|  Series 2019-1A:  |  |  |
|  Class A23, 4.352% 5/20/49 (b) <br>| 972338  | 875519  |
|  Class A2II, 4.021% 5/20/49 (b) <br>| 731430  | 675323  |
|  Series 2021-1A:  |  |  |
|  Class A23, 2.791% 11/20/51 (b) <br>| 6930000  | 5345095  |
|  Class A2I, 2.045% 11/20/51 (b) <br>| 4062960  | 3480421  |
|  Dell Equipment Finance Trust Series 2020-2 Class A3, 0.57% 10/23/23 (b)  | 615430  | 607303  |
|  Discover Card Execution Note Trust Series 2022-A4 Class A, 5.03% 10/15/27  | 3900000  | 3913375  |
|  Dominos Pizza Master Issuer LLC:  |  |  |
|  Series 2018-1A Class A2I, 4.116% 7/25/48 (b)  | 2586240  | 2420431  |
|  Series 2019-1A Class A2, 3.668% 10/25/49 (b)  | 29132210  | 24604715  |
|  Series 2021-1A:  |  |  |
|  Class A2I, 2.662% 4/25/51 (b) <br>| 7062450  | 5901913  |
|  Class A2II, 3.151% 4/25/51 (b) <br>| 6746265  | 5447251  |
|  Dryden 98 CLO Ltd. Series 2022-98A Class A, CME TERM SOFR 3 MONTH INDEX + 1.300% 5.2633% 4/20/35 (b)(c)(e)  | 9710000  | 9358032  |
|  Dryden CLO, Ltd.:  |  |  |
|  Series 2021-76A Class A1R, 3 month U.S. LIBOR + 1.150% 5.3926% 10/20/34 (b)(c)(e)  | 7990000  | 7733369  |
|  Series 2021-83A Class A, 3 month U.S. LIBOR + 1.220% 5.4137% 1/18/32 (b)(c)(e)  | 7360000  | 7223840  |
|  Dryden Senior Loan Fund:  |  |  |
|  Series 2018-70A Class A1, 3 month U.S. LIBOR + 1.170% 5.2491% 1/16/32 (b)(c)(e)  | 2909000  | 2862439  |
|  Series 2020-78A Class A, 3 month U.S. LIBOR + 1.180% 5.2591% 4/17/33 (b)(c)(e)  | 7000000  | 6826736  |
|  Series 2021-85A Class AR, 3 month U.S. LIBOR + 1.150% 5.2291% 10/15/35 (b)(c)(e)  | 10090000  | 9760239  |
|  Series 2021-90A Class A1A, 3 month U.S. LIBOR + 1.130% 5.8054% 2/20/35 (b)(c)(e)  | 6930000  | 6692717  |
|  Eaton Vance CLO, Ltd.:  |  |  |
|  Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.100% 5.1791% 4/15/31 (b)(c)(e)  | 7430806  | 7269119  |
|  Series 2021-2A Class AR, 3 month U.S. LIBOR + 1.150% 5.2291% 1/15/35 (b)(c)(e)  | 11970000  | 11614970  |
|  Eaton Vance CLO, Ltd. / Eaton Vance CLO LLC Series 2021-1A Class A13R, 3 month U.S. LIBOR + 1.250% 5.3291% 1/15/34 (b)(c)(e)  | 2000000  | 1948274  |
|  Flatiron CLO Ltd. Series 2021-1A:  |  |  |
|  Class A1, 3 month U.S. LIBOR + 1.110% 5.3366% 7/19/34 (b)(c)(e)  | 7180000  | 6949479  |
|  Class AR, 3 month U.S. LIBOR + 1.080% 5.7239% 11/16/34 (b)(c)(e)  | 11500000  | 11187833  |
|  Flatiron CLO Ltd. / Flatiron CLO LLC Series 2020-1A Class A, 3 month U.S. LIBOR + 1.300% 5.9754% 11/20/33 (b)(c)(e)  | 12800000  | 12457139  |
|  Ford Credit Auto Owner Trust Series 2018-2 Class B, 3.61% 1/15/30 (b)  | 1500000  | 1474174  |
|  Ford Credit Floorplan Master Owner Trust:  |  |  |
|  Series 2019-2 Class A, 3.06% 4/15/26  | 8253000  | 7967259  |
|  Series 2019-4 Class A, 2.44% 9/15/26  | 1300000  | 1234851  |
|  GMF Floorplan Owner Revolving Trust Series 2020-1 Class A, 0.68% 8/15/25 (b)  | 954000  | 922963  |
|  Horizon Aircraft Finance I Ltd. Series 2018-1 Class A, 4.458% 12/15/38 (b)  | 2970710  | 2418752  |
|  Horizon Aircraft Finance Ltd. Series 2019-1 Class A, 3.721% 7/15/39 (b)  | 4453944  | 3474059  |
|  Invesco CLO Ltd. Series 2021-3A Class A, 3 month U.S. LIBOR + 1.130% 5.4546% 10/22/34 (b)(c)(e)  | 9130000  | 8796061  |
|  John Deere Owner Trust Series 2019-B Class A4, 2.32% 5/15/26  | 1068000  | 1067147  |
|  KKR CLO Ltd. Series 2022-41A Class A1, CME TERM SOFR 3 MONTH INDEX + 1.330% 5.1936% 4/15/35 (b)(c)(e)  | 19170000  | 18328763  |
|  Lucali CLO Ltd. Series 2021-1A Class A, 3 month U.S. LIBOR + 1.210% 5.2891% 1/15/33 (b)(c)(e)  | 4500000  | 4404771  |
|  Madison Park Funding Series 2020-19A Class A1R2, 3 month U.S. LIBOR + 0.920% 5.2446% 1/22/28 (b)(c)(e)  | 2524042  | 2490621  |
|  Madison Park Funding L Ltd. / Madison Park Funding L LLC Series 2021-50A Class A, 3 month U.S. LIBOR + 1.140% 5.3666% 4/19/34 (b)(c)(e)  | 9810000  | 9547730  |
|  Madison Park Funding LII Ltd. / Madison Park Funding LII LLC Series 2021-52A Class A, 3 month U.S. LIBOR + 1.100% 5.4246% 1/22/35 (b)(c)(e)  | 16291000  | 15709542  |
|  Madison Park Funding XLV Ltd./Madison Park Funding XLV LLC Series 2021-45A Class AR, 3 month U.S. LIBOR + 1.120% 5.1991% 7/15/34 (b)(c)(e)  | 7360000  | 7169302  |
|  Madison Park Funding XXIII, Ltd. Series 2021-23A Class AR, 3 month U.S. LIBOR + 0.970% 5.328% 7/27/31 (b)(c)(e)  | 2466652  | 2432005  |
|  Madison Park Funding XXVI Ltd. Series 2017-26A Class AR, 3 month U.S. LIBOR + 1.200% 5.6147% 7/29/30 (b)(c)(e)  | 1848351  | 1824611  |
|  Madison Park Funding XXXII, Ltd. / Madison Park Funding XXXII LLC Series 2021-32A Class A1R, 3 month U.S. LIBOR + 1.000% 5.3246% 1/22/31 (b)(c)(e)  | 4173273  | 4096042  |
|  Magnetite CLO Ltd. Series 2021-27A Class AR, 3 month U.S. LIBOR + 1.140% 5.3826% 10/20/34 (b)(c)(e)  | 3092000  | 2997444  |
|  Magnetite XVI, Ltd. / Magnetite XVI, LLC Series 2015-16A Class AR, 3 month U.S. LIBOR + 0.800% 4.9937% 1/18/28 (b)(c)(e)  | 6341050  | 6278318  |
|  Magnetite XXIII, Ltd. Series 2021-23A Class AR, 3 month U.S. LIBOR + 1.130% 5.4884% 1/25/35 (b)(c)(e)  | 9420000  | 9114302  |
|  Magnetite XXIX, Ltd. / Magnetite XXIX LLC Series 2021-29A Class A, 3 month U.S. LIBOR + 0.990% 5.0691% 1/15/34 (b)(c)(e)  | 8400000  | 8218896  |
|  MAPS Trust Series 2021-1A Class A, 2.521% 6/15/46 (b)  | 32823644  | 27073589  |
|  Marlette Funding Trust:  |  |  |
|  Series 2021-3A Class A, 0.65% 12/15/31 (b)  | 5059357  | 4982468  |
|  Series 2022-1A Class A, 1.36% 4/15/32 (b)  | 7824587  | 7650468  |
|  Metlife Securitization Trust Series 2019-1A Class A1A, 3.75% 4/25/58 (b)  | 146166  | 141816  |
|  Milos CLO, Ltd. Series 2020-1A Class AR, 3 month U.S. LIBOR + 1.070% 5.3126% 10/20/30 (b)(c)(e)  | 13745000  | 13518991  |
|  MMAF Equipment Finance LLC Series 2019-B Class A3, 2.01% 12/12/24 (b)  | 751938  | 736852  |
|  Morgan Stanley ABS Capital I Trust Series 2004-HE7 Class B3, 1 month U.S. LIBOR + 5.250% 9.2936% 8/25/34 (c)(e)(l)  | 54508  | 58052  |
|  Niagara Park CLO, Ltd. Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.000% 5.0791% 7/17/32 (b)(c)(e)  | 3241511  | 3157708  |
|  Palmer Square Loan Funding, Ltd. Series 2021-2A Class A1, 3 month U.S. LIBOR + 0.800% 5.4754% 5/20/29 (b)(c)(e)  | 2099031  | 2069496  |
|  Palmer Square Loan Funding, Ltd. / Palmer Square Loan Funding LLC Series 2022-1A Class A1, CME TERM SOFR 3 MONTH INDEX + 1.050% 4.9136% 4/15/30 (b)(c)(e)  | 4823688  | 4707577  |
|  Park Place Securities, Inc. Series 2005-WCH1 Class M4, 1 month U.S. LIBOR + 1.240% 5.2886% 1/25/36 (c)(e)  | 73305  | 71409  |
|  Peace Park CLO, Ltd. Series 2021-1A Class A, 3 month U.S. LIBOR + 1.130% 5.3726% 10/20/34 (b)(c)(e)  | 14148000  | 13751417  |
|  Planet Fitness Master Issuer LLC:  |  |  |
|  Series 2018-1A Class A2II, 4.666% 9/5/48 (b)  | 4800000  | 4481894  |
|  Series 2019-1A Class A2, 3.858% 12/5/49 (b)  | 38971965  | 32026771  |
|  Series 2022-1A:  |  |  |
|  Class A2I, 3.251% 12/5/51 (b) <br>| 9671400  | 8388402  |
|  Class A2II, 4.008% 12/5/51 (b) <br>| 9671400  | 7568112  |
|  Project Silver Series 2019-1 Class A, 3.967% 7/15/44 (b)  | 6079385  | 4676255  |
|  Prpm 2021-5, LLC Series 2021-5 Class A1, 1.793% 6/25/26 (b)(c)  | 1806516  | 1577161  |
|  Rockland Park CLO Ltd. Series 2021-1A Class A, 3 month U.S. LIBOR + 1.120% 5.3626% 4/20/34 (b)(c)(e)  | 12190000  | 11866331  |
|  RR 7 Ltd. Series 2022-7A Class A1AB, CME TERM SOFR 3 MONTH INDEX + 1.340% 5.2036% 1/15/37 (b)(c)(e)  | 15740000  | 15293236  |
|  Santander Drive Auto Receivables Trust Series 2022-5 Class A3, 4.11% 8/17/26  | 2555000  | 2497844  |
|  Sapphire Aviation Finance Series 2020-1A:  |  |  |
|  Class A, 3.228% 3/15/40 (b)  | 19442532  | 14642723  |
|  Class B, 4.335% 3/15/40 (b)  | 853777  | 499135  |
|  SBA Tower Trust:  |  |  |
|  Series 2019, 2.836% 1/15/50 (b)  | 9702000  | 9130208  |
|  1.631% 5/15/51 (b)  | 5173000  | 4389355  |
|  1.884% 7/15/50 (b)  | 4645000  | 4085072  |
|  2.328% 7/15/52 (b)  | 3269000  | 2727349  |
|  Store Master Funding Series 2021-1A Class A1, 2.12% 6/20/51 (b)  | 10922083  | 8946240  |
|  Stratus CLO, Ltd. Series 2022-1A Class A, CME TERM SOFR 3 MONTH INDEX + 1.750% 5.7133% 7/20/30 (b)(c)(e)  | 3522250  | 3469409  |
|  SYMP Series 2022-32A Class A1, CME TERM SOFR 3 MONTH INDEX + 1.320% 5.3575% 4/23/35 (b)(c)(e)  | 15900000  | 15460906  |
|  Symphony CLO XIX, Ltd. / Symphony CLO XIX LLC Series 2018-19A Class A, 3 month U.S. LIBOR + 0.960% 5.0391% 4/16/31 (b)(c)(e)  | 6280000  | 6160466  |
|  Symphony CLO XXI, Ltd. Series 2021-21A Class AR, 3 month U.S. LIBOR + 1.060% 5.1391% 7/15/32 (b)(c)(e)  | 4245997  | 4147197  |
|  Symphony CLO XXIII Ltd. Series 2021-23A Class AR, 3 month U.S. LIBOR + 1.020% 5.0991% 1/15/34 (b)(c)(e)  | 3464968  | 3392983  |
|  Symphony CLO XXVI Ltd. / Symphony CLO XXVI LLC Series 2021-26A Class AR, 3 month U.S. LIBOR + 1.080% 5.3226% 4/20/33 (b)(c)(e)  | 14285000  | 13850765  |
|  TCI-Flatiron CLO Ltd. / LLC Series 2021-1A Class AR, 3 month U.S. LIBOR + 0.960% 5.6097% 11/18/30 (b)(c)(e)  | 3124610  | 3071792  |
|  TCI-Symphony CLO Series 2021-1A Class AR, 3 month U.S. LIBOR + 0.920% 5.0091% 7/15/30 (b)(c)(e)  | 3786554  | 3717650  |
|  Terwin Mortgage Trust Series 2003-4HE Class A1, 1 month U.S. LIBOR + 0.860% 4.9036% 9/25/34 (c)(e)  | 45367  | 42790  |
|  Thunderbolt Aircraft Lease Ltd.:  |  |  |
|  Series 2017-A Class A, 4.212% 5/17/32 (b)  | 1418517  | 1191583  |
|  Series 2018-A Class A, 4.147% 9/15/38 (b)(c)  | 7861910  | 5940695  |
|  Thunderbolt III Aircraft Lease Ltd. Series 2019-1 Class A, 3.671% 11/15/39 (b)  | 19321755  | 14599905  |
|  Towd Point Mortgage Trust Series 2019-1 Class A1, 3.7088% 3/25/58 (b)(c)  | 655930  | 606992  |
|  Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 3 month U.S. LIBOR + 0.560% 4.3007% 4/6/42 (b)(c)(e)  | 1380000  | 1043567  |
|  Upstart Securitization Trust:  |  |  |
|  Series 2021-1 Class A, 0.87% 3/20/31 (b)  | 97661  | 97146  |
|  Series 2021-2 Class A, 0.91% 6/20/31 (b)  | 4440319  | 4345349  |
|  Series 2021-3 Class A, 0.83% 7/20/31 (b)  | 10092963  | 9794340  |
|  Series 2021-4 Class A, 0.84% 9/20/31 (b)  | 15571770  | 15027112  |
|  Series 2021-5 Class A, 1.31% 11/20/31 (b)  | 12974649  | 12379494  |
|  3.12% 3/20/32 (b)  | 17167496  | 16499647  |
|  Valley Stream Park Clo Ltd. / Vy Series 2022-1A Class A, CME TERM SOFR 3 MONTH INDEX + 2.400% 6.4714% 10/20/34 (b)(c)(e)  | 19850000  | 19780862  |
|  VCAT Asset Securitization, LLC:  |  |  |
|  Series 2021-NPL1 Class A1, 2.2891% 12/26/50 (b)  | 366938  | 350264  |
|  Series 2021-NPL2 Class A1, 2.115% 3/27/51 (b)  | 1695505  | 1531285  |
|  Series 2021-NPL3 Class A1, 1.743% 5/25/51 (b)(c)  | 2325495  | 2150623  |
|  Verizon Master Trust Series 2021-1 Class B, 0.69% 5/20/27  | 3172000  | 2943206  |
|  Voya CLO Ltd. Series 2021-1A Class A1R, 3 month U.S. LIBOR + 0.950% 5.0291% 4/17/30 (b)(c)(e)  | 3177922  | 3123984  |
|  Voya CLO Ltd./Voya CLO LLC:  |  |  |
|  Series 2021-2A Class A1R, 3 month U.S. LIBOR + 1.160% 5.3866% 7/19/34 (b)(c)(e)  | 7780000  | 7551011  |
|  Series 2021-3A Class AR, 3 month U.S. LIBOR + 1.150% 5.3926% 10/20/34 (b)(c)(e)  | 13570000  | 13106720  |
|  Voya CLO, Ltd. Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.150% 5.2291% 7/16/34 (b)(c)(e)  | 7590000  | 7346475  |
| <br> **TOTAL ASSET-BACKED SECURITIES** <br> (Cost $1,154,150,551)  |  | **1076135881**  |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **Collateralized Mortgage Obligations - 1.0%**  | &nbsp;&nbsp; **Collateralized Mortgage Obligations - 1.0%**  | &nbsp;&nbsp; **Collateralized Mortgage Obligations - 1.0%**  |
|  | Principal <br> Amount (a) <br>| Value ($) <br>|
| Private Sponsor - 0.9%  |  |  |
|  Ajax Mortgage Loan Trust sequential payer:  |  |  |
|  Series 2021-B Class A, 2.239% 6/25/66 (b)(c)  | 928587  | 849318  |
|  Series 2021-C Class A, 2.115% 1/25/61 (b)  | 3745513  | 3508251  |
|  Series 2021-E Class A1, 1.74% 12/25/60 (b)  | 14789446  | 12343468  |
|  Angel Oak Mortgage Trust Series 2021-8 Class A1, 1.82% 11/25/66 (b)  | 2220114  | 1833582  |
|  Binom Securitization Trust 202 Series 2022-RPL1 Class A1, 3% 2/25/61 (b)  | 16175394  | 14487357  |
|  Brass PLC Series 2021-10A Class A1, 0.669% 4/16/69 (b)(c)  | 4488532  | 4264249  |
|  BRAVO Residential Funding Trust sequential payer:  |  |  |
|  Series 2020-RPL2 Class A1, 2% 5/25/59 (b)  | 1033143  | 899119  |
|  Series 2022-RPL1 Class A1, 2.75% 9/25/61 (b)  | 18440750  | 15311440  |
|  BVEBO sequential payer Series 2022-3 Class A, 3.242% 5/29/52 (b)  | 23952380  | 23625555  |
|  Cascade Funding Mortgage Trust:  |  |  |
|  sequential payer Series 2022-EBO2 Class A, 3.169% 7/25/54 (b)  | 10110346  | 9871844  |
|  Series 2021-EBO1 Class A, 0.9849% 11/25/50 (b)(c)  | 8437230  | 7910888  |
|  Series 2021-HB5 Class A, 0.8006% 2/25/31 (b)  | 5302677  | 5091023  |
|  Series 2021-HB6 Class A, 0.8983% 6/25/36 (b)  | 7530225  | 7092443  |
|  Series 2021-HB7 Class A, 1.1512% 10/27/31 (b)  | 10701215  | 9998934  |
|  CFMT Series 2022-HB10 Class A, 3.5% 11/25/35 (b)  | 7400000  | 7015119  |
|  CFMT 2022-Hb8 LLC sequential payer Series 2022-HB8 Class A, 3.75% 4/25/25 (b)  | 58060902  | 55883618  |
|  CFMT LLC Series 2020-HB4 Class A, 0.9461% 12/26/30 (b)  | 3228647  | 3119225  |
|  CIM Trust sequential payer Series 2022-R2 Class A1, 3.75% 12/25/61 (b)(c)  | 10666382  | 9826750  |
|  Citigroup Mortgage Loan Trust sequential payer Series 2014-8 Class 2A1, 3.45% 6/27/37 (b)(c)  | 16053  | 15608  |
|  COLT Trust sequential payer Series 2021-RPL1 Class A1, 1.6654% 9/25/61 (b)  | 8617628  | 7541537  |
|  CSAIL Commercial Mortgage Trust Series 2015-C2 Class ASB, 3.2241% 6/15/57  | 1373355  | 1335411  |
|  CSMC:  |  |  |
|  floater Series 2015-1R Class 6A1, 1 month U.S. LIBOR + 0.280% 4.1456% 5/27/37 (b)(c)(e)  | 37099  | 35937  |
|  Series 2014-3R:  |  |  |
|  Class 2A1, 1 month U.S. LIBOR + 0.700% 0% 5/27/37 (b)(c)(e)(l) <br>| 556406  | 56  |
|  Class AA1, 1 month U.S. LIBOR + 0.280% 4.1456% 5/27/37 (b)(c)(e) <br>| 563414  | 525954  |
|  Csmc 2021-Rpl9 Trust sequential payer Series 2021-RPL9 Class A1, 2.4364% 2/25/61 (b)  | 3549545  | 3271261  |
|  CSMC Trust sequential payer:  |  |  |
|  Series 2020-RPL3 Class A1, 2.691% 3/25/60 (b)(c)  | 1738690  | 1655407  |
|  Series 2020-RPL4 Class A1, 2% 1/25/60 (b)  | 3624270  | 3061783  |
|  Finance of America HECM Buyout sequential payer Series 2022-HB1 Class A, 2.6948% 2/25/32 (b)(c)  | 31493563  | 30265242  |
|  GCAT Trust sequential payer Series 2021-NQM7 Class A1, 1.915% 8/25/66 (b)  | 1225824  | 1041849  |
|  Legacy Mortgage Asset Trust Series 2021-GS5 Class A1, 2.25% 7/25/67 (b)(c)  | 2568812  | 2166289  |
|  MFA Trust sequential payer Series 2022-RPL1 Class A1, 3.3% 8/25/61 (b)  | 56586376  | 51068039  |
|  New Residential Mortgage Loan Trust:  |  |  |
|  Series 2019-5A Class A1B, 3.5% 8/25/59 (b)  | 3037275  | 2744178  |
|  Series 2020-1A Class A1B, 3.5% 10/25/59 (b)  | 4306377  | 3909760  |
|  New York Mortgage Trust sequential payer Series 2021-SP1 Class A1, 1.6696% 8/25/61 (b)  | 10792139  | 9587000  |
|  NYMT Loan Trust sequential payer Series 2021-CP1 Class A1, 2.0424% 7/25/61 (b)  | 19000187  | 16794058  |
|  Oceanview Mortgage Loan Trust sequential payer Series 2020-1 Class A1A, 1.7329% 5/28/50 (b)  | 63228  | 55751  |
|  Oceanview Trust sequential payer Series 2021-1 Class A, 1.2187% 12/29/51 (b)(c)  | 13047179  | 12655750  |
|  Preston Ridge Partners Mortgage Trust:  |  |  |
|  sequential payer Series 2021-8 Class A1, 1.743% 9/25/26 (b)(c)  | 2207603  | 1927584  |
|  Series 2021-2 Class A1, 2.115% 3/25/26 (b)  | 11614504  | 10532487  |
|  Series 2021-RPL1 Class A1, 1.319% 7/25/51 (b)  | 4444957  | 3943629  |
|  Series 2021-RPL2 Class A1, 1.455% 10/25/51 (b)(c)  | 6184334  | 5412122  |
|  PRET LLC Series 2022-RN1 Class A1, 3.721% 7/25/51 (b)  | 1708648  | 1557726  |
|  RMF Buyout Issuance Trust:  |  |  |
|  sequential payer:  |  |  |
|  Series 2021-HB1 Class A, 1.2586% 11/25/31 (b) <br>| 14283183  | 13523895  |
|  Series 2022-HB1 Class A, 4.272% 4/25/32 (b) <br>| 8102267  | 7854704  |
|  Series 2020-HB1 Class A1, 1.7188% 10/25/50 (b)  | 5248552  | 4788720  |
|  Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 6 month U.S. LIBOR + 0.880% 3.6276% 7/20/34 (c)(e)  | 2085  | 1880  |
|  Thornburg Mortgage Securities Trust floater Series 2003-4 Class A1, 1 month U.S. LIBOR + 0.640% 4.6836% 9/25/43 (c)(e)  | 63468  | 58928  |
|  Towd Point Mortgage Trust sequential payer:  |  |  |
|  Series 2021-1 Class A1, 2.25% 11/25/61 (b)(c)  | 37050098  | 32668109  |
|  Series 2022-K147 Class A2, 3.75% 7/25/62 (b)  | 63576333  | 58233467  |
|  Wells Fargo Mortgage Backed Securities Trust Series 2003-I Class A1, 4.0735% 9/25/33 (c)  | 6602  | 6289  |
|  TOTAL PRIVATE SPONSOR  |  | 481172593  |
| U.S. Government Agency - 0.1%  |  |  |
|  Fannie Mae:  |  |  |
|  floater:  |  |  |
|  Series 2002-18 Class FD, 1 month U.S. LIBOR + 0.800% 4.8161% 2/25/32 (c)(e) <br>| 2205  | 2217  |
|  Series 2002-39 Class FD, 1 month U.S. LIBOR + 1.000% 4.9107% 3/18/32 (c)(e) <br>| 4146  | 4200  |
|  Series 2002-60 Class FV, 1 month U.S. LIBOR + 1.000% 5.0161% 4/25/32 (c)(e) <br>| 4772  | 4828  |
|  Series 2002-63 Class FN, 1 month U.S. LIBOR + 1.000% 5.0161% 10/25/32 (c)(e) <br>| 5778  | 5845  |
|  Series 2002-7 Class FC, 1 month U.S. LIBOR + 0.750% 4.7661% 1/25/32 (c)(e) <br>| 2111  | 2119  |
|  Series 2003-118 Class S, 8.100% - 1 month U.S. LIBOR 4.0839% 12/25/33 (c)(m)(n) <br>| 87395  | 13511  |
|  Series 2006-104 Class GI, 6.680% - 1 month U.S. LIBOR 2.6639% 11/25/36 (c)(m)(n) <br>| 56697  | 5729  |
|  Series 2012-154 Class F, 1 month U.S. LIBOR + 0.300% 4.3161% 1/25/43 (c)(e) <br>| 522932  | 513748  |
|  Series 2017-36 Class FB, 1 month U.S. LIBOR + 0.350% 4.3661% 5/25/47 (c)(e) <br>| 1038706  | 1016344  |
|  Series 2018-32 Class FB, 1 month U.S. LIBOR + 0.300% 4.3161% 5/25/48 (c)(e) <br>| 605071  | 590373  |
|  Series 2018-38 Class FG, 1 month U.S. LIBOR + 0.300% 4.3161% 6/25/48 (c)(e) <br>| 1407363  | 1371300  |
|  Series 2019-23 Class FC, 1 month U.S. LIBOR + 0.450% 4.4661% 5/25/49 (c)(e) <br>| 9280981  | 9148720  |
|  planned amortization class:  |  |  |
|  Series 1993-207 Class H, 6.5% 11/25/23 <br>| 4767  | 4756  |
|  Series 1996-28 Class PK, 6.5% 7/25/25 <br>| 2134  | 2129  |
|  Series 1999-17 Class PG, 6% 4/25/29 <br>| 31020  | 31441  |
|  Series 1999-32 Class PL, 6% 7/25/29 <br>| 36469  | 37026  |
|  Series 1999-33 Class PK, 6% 7/25/29 <br>| 26844  | 27243  |
|  Series 2001-52 Class YZ, 6.5% 10/25/31 <br>| 4222  | 4359  |
|  Series 2003-28 Class KG, 5.5% 4/25/23 <br>| 692  | 693  |
|  Series 2005-102 Class CO 11/25/35 (o) <br>| 14310  | 12171  |
|  Series 2005-39 Class TE, 5% 5/25/35 <br>| 14561  | 14755  |
|  Series 2005-73 Class SA, 17.500% - 1 month U.S. LIBOR 7.108% 8/25/35 (c)(n) <br>| 3840  | 3971  |
|  Series 2005-81 Class PC, 5.5% 9/25/35 <br>| 41031  | 42094  |
|  Series 2006-12 Class BO 10/25/35 (o) <br>| 65231  | 56002  |
|  Series 2006-15 Class OP 3/25/36 (o) <br>| 78694  | 66255  |
|  Series 2006-37 Class OW 5/25/36 (o) <br>| 7885  | 6213  |
|  Series 2006-45 Class OP 6/25/36 (o) <br>| 24437  | 19412  |
|  Series 2006-62 Class KP 4/25/36 (o) <br>| 38171  | 31237  |
|  Series 2012-149: <br>|  |  |
|  Class DA, 1.75% 1/25/43 <br>| 111971  | 101968  |
|  Class GA, 1.75% 6/25/42 <br>| 120306  | 108842  |
|  sequential payer:  |  |  |
|  Series 1997-41 Class J, 7.5% 6/18/27 <br>| 4645  | 4750  |
|  Series 1999-25 Class Z, 6% 6/25/29 <br>| 23071  | 23173  |
|  Series 2001-20 Class Z, 6% 5/25/31 <br>| 34194  | 34796  |
|  Series 2001-31 Class ZC, 6.5% 7/25/31 <br>| 17571  | 17829  |
|  Series 2002-16 Class ZD, 6.5% 4/25/32 <br>| 11925  | 12337  |
|  Series 2002-74 Class SV, 7.550% - 1 month U.S. LIBOR 3.5339% 11/25/32 (c)(m)(n) <br>| 29210  | 1213  |
|  Series 2012-67 Class AI, 4.5% 7/25/27 (m) <br>| 37834  | 1337  |
|  Series 06-116 Class SG, 6.640% - 1 month U.S. LIBOR 2.6239% 12/25/36 (c)(m)(n)  | 42161  | 5759  |
|  Series 07-40 Class SE, 6.440% - 1 month U.S. LIBOR 2.4239% 5/25/37 (c)(m)(n)  | 22685  | 2796  |
|  Series 1993-165 Class SH, 19.800% - 1 month U.S. LIBOR 8.44% 9/25/23 (c)(n)  | 281  | 280  |
|  Series 2003-21 Class SK, 8.100% - 1 month U.S. LIBOR 4.0839% 3/25/33 (c)(m)(n)  | 6619  | 832  |
|  Series 2005-72 Class ZC, 5.5% 8/25/35  | 314120  | 318876  |
|  Series 2005-79 Class ZC, 5.9% 9/25/35  | 195810  | 198698  |
|  Series 2007-57 Class SA, 40.600% - 1 month U.S. LIBOR 16.5232% 6/25/37 (c)(n)  | 25304  | 33531  |
|  Series 2007-66:  |  |  |
|  Class SA, 39.600% - 1 month U.S. LIBOR 15.5032% 7/25/37 (c)(n) <br>| 26390  | 36185  |
|  Class SB, 39.600% - 1 month U.S. LIBOR 15.5032% 7/25/37 (c)(n) <br>| 8154  | 9646  |
|  Series 2008-12 Class SG, 6.350% - 1 month U.S. LIBOR 2.3339% 3/25/38 (c)(m)(n)  | 144544  | 15390  |
|  Series 2010-135:  |  |  |
|  Class LS, 6.050% - 1 month U.S. LIBOR 2.0339% 12/25/40 (c)(m)(n) <br>| 148313  | 12645  |
|  Class ZA, 4.5% 12/25/40 <br>| 58774  | 58937  |
|  Series 2010-139 Class NI, 4.5% 2/25/40 (m)  | 40591  | 1123  |
|  Series 2010-150 Class ZC, 4.75% 1/25/41  | 617408  | 613431  |
|  Series 2010-95 Class ZC, 5% 9/25/40  | 1462217  | 1480614  |
|  Series 2011-39 Class ZA, 6% 11/25/32  | 93305  | 95944  |
|  Series 2011-4 Class PZ, 5% 2/25/41  | 192674  | 186102  |
|  Series 2011-67 Class AI, 4% 7/25/26 (m)  | 12091  | 350  |
|  Series 2011-83 Class DI, 6% 9/25/26 (m)  | 133  | 1  |
|  Series 2012-100 Class WI, 3% 9/25/27 (m)  | 308341  | 14295  |
|  Series 2012-14 Class JS, 6.650% - 1 month U.S. LIBOR 2.6339% 12/25/30 (c)(m)(n)  | 39880  | 332  |
|  Series 2012-9 Class SH, 6.550% - 1 month U.S. LIBOR 2.5339% 6/25/41 (c)(m)(n)  | 31088  | 389  |
|  Series 2013-133 Class IB, 3% 4/25/32 (m)  | 113837  | 3738  |
|  Series 2013-134 Class SA, 6.050% - 1 month U.S. LIBOR 2.0339% 1/25/44 (c)(m)(n)  | 83853  | 9137  |
|  Series 2013-16 Class GP, 3% 3/25/33  | 645234  | 622280  |
|  Series 2013-44 Class DJ, 1.85% 5/25/33  | 7588212  | 6882098  |
|  Series 2013-51 Class GI, 3% 10/25/32 (m)  | 92448  | 5888  |
|  Series 2013-N1 Class A, 6.720% - 1 month U.S. LIBOR 2.7039% 6/25/35 (c)(m)(n)  | 124555  | 10834  |
|  Series 2015-42 Class IL, 6% 6/25/45 (m)  | 615285  | 108874  |
|  Series 2015-70 Class JC, 3% 10/25/45  | 685914  | 649514  |
|  Series 2017-30 Class AI, 5.5% 5/25/47 (m)  | 314204  | 56834  |
|  Fannie Mae Stripped Mortgage-Backed Securities:  |  |  |
|  Series 339 Class 5, 5.5% 7/25/33 (m)  | 20038  | 3344  |
|  Series 343 Class 16, 5.5% 5/25/34 (m)  | 18747  | 3151  |
|  Series 348 Class 14, 6.5% 8/25/34 (c)(m)  | 16244  | 3265  |
|  Series 351:  |  |  |
|  Class 12, 5.5% 4/25/34 (c)(m) <br>| 10206  | 1766  |
|  Class 13, 6% 3/25/34 (m) <br>| 14823  | 2782  |
|  Series 359 Class 19, 6% 7/25/35 (c)(m)  | 8671  | 1667  |
|  Series 384 Class 6, 5% 7/25/37 (m)  | 85072  | 14711  |
|  Freddie Mac:  |  |  |
|  floater:  |  |  |
|  Series 2412 Class FK, 1 month U.S. LIBOR + 0.800% 4.6731% 1/15/32 (c)(e) <br>| 1624  | 1633  |
|  Series 2423 Class FA, 1 month U.S. LIBOR + 0.900% 4.7731% 3/15/32 (c)(e) <br>| 2531  | 2552  |
|  Series 2424 Class FM, 1 month U.S. LIBOR + 1.000% 4.8731% 3/15/32 (c)(e) <br>| 2245  | 2271  |
|  Series 2432: <br>|  |  |
|  Class FE, 1 month U.S. LIBOR + 0.900% 4.7731% 6/15/31 (c)(e) <br>| 4263  | 4296  |
|  Class FG, 1 month U.S. LIBOR + 0.900% 4.7731% 3/15/32 (c)(e) <br>| 1374  | 1386  |
|  Series 4709 Class FE, 1 month U.S. LIBOR + 0.350% 4.2231% 8/15/47 (c)(e) <br>| 568333  | 556402  |
|  floater target amortization class Series 3366 Class FD, 1 month U.S. LIBOR + 0.250% 4.1231% 5/15/37 (c)(e)  | 99527  | 98991  |
|  planned amortization class:  |  |  |
|  Series 2095 Class PE, 6% 11/15/28 <br>| 39215  | 39863  |
|  Series 2101 Class PD, 6% 11/15/28 <br>| 2439  | 2478  |
|  Series 2104 Class PG, 6% 12/15/28 <br>| 2899  | 2946  |
|  Series 2121 Class MG, 6% 2/15/29 <br>| 15899  | 16154  |
|  Series 2131 Class BG, 6% 3/15/29 <br>| 86746  | 88242  |
|  Series 2137 Class PG, 6% 3/15/29 <br>| 13683  | 13915  |
|  Series 2154 Class PT, 6% 5/15/29 <br>| 30550  | 31076  |
|  Series 2162 Class PH, 6% 6/15/29 <br>| 5610  | 5694  |
|  Series 2520 Class BE, 6% 11/15/32 <br>| 46802  | 48300  |
|  Series 2693 Class MD, 5.5% 10/15/33 <br>| 186301  | 188076  |
|  Series 2802 Class OB, 6% 5/15/34 <br>| 46738  | 47652  |
|  Series 3002 Class NE, 5% 7/15/35 <br>| 103732  | 104233  |
|  Series 3110 Class OP 9/15/35 (o) <br>| 24579  | 22393  |
|  Series 3119 Class PO 2/15/36 (o) <br>| 93279  | 74936  |
|  Series 3121 Class KO 3/15/36 (o) <br>| 14451  | 11850  |
|  Series 3123 Class LO 3/15/36 (o) <br>| 51628  | 41752  |
|  Series 3145 Class GO 4/15/36 (o) <br>| 55556  | 45186  |
|  Series 3189 Class PD, 6% 7/15/36 <br>| 86603  | 89989  |
|  Series 3225 Class EO 10/15/36 (o) <br>| 27822  | 22060  |
|  Series 3258 Class PM, 5.5% 12/15/36 <br>| 34965  | 35827  |
|  Series 3415 Class PC, 5% 12/15/37 <br>| 41074  | 40929  |
|  Series 3806 Class UP, 4.5% 2/15/41 <br>| 194937  | 193787  |
|  Series 3832 Class PE, 5% 3/15/41 <br>| 394942  | 396923  |
|  Series 4135 Class AB, 1.75% 6/15/42 <br>| 88209  | 80278  |
|  sequential payer:  |  |  |
|  Series 2114 Class ZM, 6% 1/15/29 <br>| 1294  | 1316  |
|  Series 2135 Class JE, 6% 3/15/29 <br>| 10875  | 11066  |
|  Series 2274 Class ZM, 6.5% 1/15/31 <br>| 11562  | 11725  |
|  Series 2281 Class ZB, 6% 3/15/30 <br>| 18581  | 18879  |
|  Series 2303 Class ZV, 6% 4/15/31 <br>| 8873  | 9040  |
|  Series 2357 Class ZB, 6.5% 9/15/31 <br>| 74475  | 76479  |
|  Series 2502 Class ZC, 6% 9/15/32 <br>| 21618  | 22298  |
|  Series 2519 Class ZD, 5.5% 11/15/32 <br>| 24723  | 25279  |
|  Series 2546 Class MJ, 5.5% 3/15/23 <br>| 532  | 533  |
|  Series 2601 Class TB, 5.5% 4/15/23 <br>| 250  | 251  |
|  Series 2998 Class LY, 5.5% 7/15/25 <br>| 8636  | 8837  |
|  Series 3871 Class KB, 5.5% 6/15/41 <br>| 508564  | 529011  |
|  Series 06-3115 Class SM, 6.600% - 1 month U.S. LIBOR 2.7269% 2/15/36 (c)(m)(n)  | 30205  | 2818  |
|  Series 1658 Class GZ, 7% 1/15/24  | 1412  | 1437  |
|  Series 2013-4281 Class AI, 4% 12/15/28 (m)  | 94343  | 2104  |
|  Series 2017-4683 Class LM, 3% 5/15/47  | 871606  | 825629  |
|  Series 2380 Class SY, 8.200% - 1 month U.S. LIBOR 4.3269% 11/15/31 (c)(m)(n)  | 13001  | 556  |
|  Series 2587 Class IM, 6.5% 3/15/33 (m)  | 2801  | 502  |
|  Series 2933 Class ZM, 5.75% 2/15/35  | 433246  | 446567  |
|  Series 2935 Class ZK, 5.5% 2/15/35  | 363303  | 374432  |
|  Series 2947 Class XZ, 6% 3/15/35  | 175066  | 181275  |
|  Series 2996 Class ZD, 5.5% 6/15/35  | 293633  | 301997  |
|  Series 3237 Class C, 5.5% 11/15/36  | 410665  | 415279  |
|  Series 3244 Class SG, 6.660% - 1 month U.S. LIBOR 2.7869% 11/15/36 (c)(m)(n)  | 128749  | 15485  |
|  Series 3287 Class SD, 6.750% - 1 month U.S. LIBOR 2.8769% 3/15/37 (c)(m)(n)  | 193997  | 26655  |
|  Series 3297 Class BI, 6.760% - 1 month U.S. LIBOR 2.8869% 4/15/37 (c)(m)(n)  | 271827  | 34152  |
|  Series 3336 Class LI, 6.580% - 1 month U.S. LIBOR 2.7069% 6/15/37 (c)(m)(n)  | 89740  | 9972  |
|  Series 3949 Class MK, 4.5% 10/15/34  | 182933  | 181692  |
|  Series 4055 Class BI, 3.5% 5/15/31 (m)  | 119464  | 3725  |
|  Series 4149 Class IO, 3% 1/15/33 (m)  | 49859  | 4148  |
|  Series 4314 Class AI, 5% 3/15/34 (m)  | 35946  | 1275  |
|  Series 4427 Class LI, 3.5% 2/15/34 (m)  | 334039  | 21364  |
|  Series 4471 Class PA 4% 12/15/40  | 366447  | 358181  |
|  target amortization class Series 2156 Class TC, 6.25% 5/15/29  | 11236  | 11545  |
|  Freddie Mac Manufactured Housing participation certificates guaranteed:  |  |  |
|  floater Series 1686 Class FA, 1 month U.S. LIBOR + 0.900% 4.3121% 2/15/24 (c)(e)  | 1281  | 1282  |
|  planned amortization class Series 2043 Class CJ, 6.5% 4/15/28  | 3513  | 3560  |
|  sequential payer:  |  |  |
|  Series 2043 Class ZH, 6% 4/15/28 <br>| 9870  | 10011  |
|  Series 2056 Class Z, 6% 5/15/28 <br>| 23907  | 24282  |
|  Freddie Mac Multi-family Structured pass-thru certificates:  |  |  |
|  floater Series 4795 Class FA, 1 month U.S. LIBOR + 0.300% 4.1731% 5/15/48 (c)(e)  | 936748  | 911798  |
|  Series 4386 Class AZ, 4.5% 11/15/40  | 872785  | 854451  |
|  Freddie Mac Seasoned Credit Risk Transfer Trust:  |  |  |
|  sequential payer:  |  |  |
|  Series 2018-3 Class MA, 3.5% 8/25/57 <br>| 6511666  | 6170776  |
|  Series 2018-4 Class MA, 3.5% 3/25/58 <br>| 2557692  | 2419011  |
|  Series 2019-1 Class MA, 3.5% 7/25/58 <br>| 4347633  | 4106037  |
|  Series 2018-3 Class M55D, 4% 8/25/57  | 354397  | 337242  |
|  Ginnie Mae guaranteed REMIC pass-thru certificates:  |  |  |
|  floater:  |  |  |
|  Series 2007-37 Class TS, 6.690% - 1 month U.S. LIBOR 2.8034% 6/16/37 (c)(m)(n) <br>| 54465  | 6149  |
|  Series 2010-H03 Class FA, 1 month U.S. LIBOR + 0.550% 4.1464% 3/20/60 (c)(e)(p) <br>| 587797  | 583227  |
|  Series 2010-H17 Class FA, 1 month U.S. LIBOR + 0.330% 3.9264% 7/20/60 (c)(e)(p) <br>| 94257  | 92981  |
|  Series 2010-H18 Class AF, 1 month U.S. LIBOR + 0.300% 3.4427% 9/20/60 (c)(e)(p) <br>| 120074  | 118531  |
|  Series 2010-H19 Class FG, 1 month U.S. LIBOR + 0.300% 3.4427% 8/20/60 (c)(e)(p) <br>| 93782  | 92563  |
|  Series 2010-H27 Class FA, 1 month U.S. LIBOR + 0.380% 3.5227% 12/20/60 (c)(e)(p) <br>| 247610  | 244661  |
|  Series 2011-H05 Class FA, 1 month U.S. LIBOR + 0.500% 3.6427% 12/20/60 (c)(e)(p) <br>| 235066  | 233017  |
|  Series 2011-H07 Class FA, 1 month U.S. LIBOR + 0.500% 3.6427% 2/20/61 (c)(e)(p) <br>| 208976  | 206970  |
|  Series 2011-H12 Class FA, 1 month U.S. LIBOR + 0.490% 3.6327% 2/20/61 (c)(e)(p) <br>| 303384  | 300507  |
|  Series 2011-H13 Class FA, 1 month U.S. LIBOR + 0.500% 3.6427% 4/20/61 (c)(e)(p) <br>| 214245  | 212186  |
|  Series 2011-H14: <br>|  |  |
|  Class FB, 1 month U.S. LIBOR + 0.500% 3.6427% 5/20/61 (c)(e)(p) <br>| 352632  | 349475  |
|  Class FC, 1 month U.S. LIBOR + 0.500% 3.6427% 5/20/61 (c)(e)(p) <br>| 253919  | 251547  |
|  Series 2011-H17 Class FA, 1 month U.S. LIBOR + 0.530% 3.6727% 6/20/61 (c)(e)(p) <br>| 293963  | 291518  |
|  Series 2011-H20 Class FA, 1 month U.S. LIBOR + 0.550% 3.6927% 9/20/61 (c)(e)(p) <br>| 805525  | 798655  |
|  Series 2011-H21 Class FA, 1 month U.S. LIBOR + 0.600% 3.7427% 10/20/61 (c)(e)(p) <br>| 335679  | 333195  |
|  Series 2012-H01 Class FA, 1 month U.S. LIBOR + 0.700% 3.8427% 11/20/61 (c)(e)(p) <br>| 328094  | 326038  |
|  Series 2012-H03 Class FA, 1 month U.S. LIBOR + 0.700% 3.8427% 1/20/62 (c)(e)(p) <br>| 190251  | 189135  |
|  Series 2012-H06 Class FA, 1 month U.S. LIBOR + 0.630% 3.7727% 1/20/62 (c)(e)(p) <br>| 294965  | 292744  |
|  Series 2012-H07 Class FA, 1 month U.S. LIBOR + 0.630% 3.7727% 3/20/62 (c)(e)(p) <br>| 142785  | 141472  |
|  Series 2012-H21 Class DF, 1 month U.S. LIBOR + 0.650% 3.7927% 5/20/61 (c)(e)(p) <br>| 5963  | 5888  |
|  Series 2014-H03 Class FA, 1 month U.S. LIBOR + 0.600% 3.7427% 1/20/64 (c)(e)(p) <br>| 185549  | 184200  |
|  Series 2014-H05 Class FB, 1 month U.S. LIBOR + 0.600% 3.7427% 12/20/63 (c)(e)(p) <br>| 905395  | 900386  |
|  Series 2014-H11 Class BA, 1 month U.S. LIBOR + 0.500% 3.6427% 6/20/64 (c)(e)(p) <br>| 233530  | 231450  |
|  Series 2015-H07 Class FA, 1 month U.S. LIBOR + 0.300% 3.4427% 3/20/65 (c)(e)(p) <br>| 3300  | 3261  |
|  Series 2015-H13 Class FL, 1 month U.S. LIBOR + 0.280% 3.4227% 5/20/63 (c)(e)(p) <br>| 3221  | 3148  |
|  Series 2015-H19 Class FA, 1 month U.S. LIBOR + 0.200% 3.3427% 4/20/63 (c)(e)(p) <br>| 6342  | 6224  |
|  Series 2016-H20 Class FM, 1 month U.S. LIBOR + 0.400% 3.5427% 12/20/62 (c)(e)(p) <br>| 12777  | 12514  |
|  Series 2019-23 Class NF, 1 month U.S. LIBOR + 0.450% 4.3886% 2/20/49 (c)(e) <br>| 2332920  | 2307665  |
|  planned amortization class:  |  |  |
|  Series 2010-158 Class MS, 10.000% - 1 month U.S. LIBOR 2.1229% 12/20/40 (c)(n) <br>| 494758  | 428725  |
|  Series 2011-136 Class WI, 4.5% 5/20/40 (m) <br>| 18445  | 1339  |
|  Series 2016-69 Class WA, 3% 2/20/46 <br>| 328855  | 307421  |
|  Series 2017-134 Class BA, 2.5% 11/20/46 <br>| 125972  | 113901  |
|  Series 2017-153 Class GA, 3% 9/20/47 <br>| 1090418  | 1003794  |
|  Series 2017-182 Class KA, 3% 10/20/47 <br>| 834839  | 770254  |
|  Series 2018-13 Class Q, 3% 4/20/47 <br>| 1078205  | 1009387  |
|  sequential payer:  |  |  |
|  Series 2004-24 Class ZM, 5% 4/20/34 <br>| 154537  | 152756  |
|  Series 2010-160 Class DY, 4% 12/20/40 <br>| 1090279  | 1063197  |
|  Series 2010-170 Class B, 4% 12/20/40 <br>| 242392  | 236369  |
|  Series 2017-139 Class BA, 3% 9/20/47 <br>| 3272356  | 2961319  |
|  Series 2004-32 Class GS, 6.500% - 1 month U.S. LIBOR 2.6134% 5/16/34 (c)(m)(n)  | 38299  | 3132  |
|  Series 2004-73 Class AL, 7.200% - 1 month U.S. LIBOR 3.3134% 8/17/34 (c)(m)(n)  | 28584  | 3459  |
|  Series 2010-116 Class QB, 4% 9/16/40  | 77857  | 76012  |
|  Series 2010-14 Class SN, 5.950% - 1 month U.S. LIBOR 2.0634% 2/16/40 (c)(m)(n)  | 192501  | 12766  |
|  Series 2010-H10 Class FA, 1 month U.S. LIBOR + 0.330% 3.9264% 5/20/60 (c)(e)(p)  | 295444  | 291760  |
|  Series 2011-52 Class HI, 7% 4/16/41 (m)  | 35227  | 5708  |
|  Series 2011-94 Class SA, 6.100% - 1 month U.S. LIBOR 2.1614% 7/20/41 (c)(m)(n)  | 94186  | 9458  |
|  Series 2012-76 Class GS, 6.700% - 1 month U.S. LIBOR 2.8134% 6/16/42 (c)(m)(n)  | 125470  | 13005  |
|  Series 2013-149 Class MA, 2.5% 5/20/40  | 889876  | 849611  |
|  Series 2014-2 Class BA, 3% 1/20/44  | 2048180  | 1886522  |
|  Series 2014-21 Class HA, 3% 2/20/44  | 750863  | 693107  |
|  Series 2014-25 Class HC, 3% 2/20/44  | 1283579  | 1183636  |
|  Series 2014-5 Class A, 3% 1/20/44  | 1115118  | 1027743  |
|  Series 2015-H13 Class HA, 2.5% 8/20/64 (p)  | 10776  | 10116  |
|  Series 2016-H13 Class FB, U.S. TREASURY 1 YEAR INDEX + 0.500% 4.317% 5/20/66 (c)(e)(p)  | 1642983  | 1637692  |
|  Series 2017-186 Class HK, 3% 11/16/45  | 1100434  | 1016167  |
|  Series 2017-H06 Class FA, U.S. TREASURY 1 YEAR INDEX + 0.350% 4.42% 8/20/66 (c)(e)(p)  | 2119695  | 2108614  |
|  Ginnie Mae REMIC Trust Series 2015-H17 Class GZ, 4.2252% 5/20/65 (c)(p)  | 54459  | 53636  |
|  TOTAL U.S. GOVERNMENT AGENCY  |  | 73546912  |
| <br> **TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS** <br> (Cost $591,890,888)  |  | <br> **554719505**  |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **Commercial Mortgage Securities - 3.2%**  | &nbsp;&nbsp; **Commercial Mortgage Securities - 3.2%**  | &nbsp;&nbsp; **Commercial Mortgage Securities - 3.2%**  |
|  | Principal <br> Amount (a) <br>| Value ($) <br>|
|  BAMLL Commercial Mortgage Securities Trust:  |  |  |
|  floater Series 2022-DKLX:  |  |  |
|  Class A, CME Term SOFR 1 Month Index + 1.150% 4.945% 1/15/39 (b)(c)(e) <br>| 11773862  | 11341323  |
|  Class B, CME Term SOFR 1 Month Index + 1.550% 5.345% 1/15/39 (b)(c)(e) <br>| 2064000  | 1966817  |
|  Class C, CME Term SOFR 1 Month Index + 2.150% 5.945% 1/15/39 (b)(c)(e) <br>| 1474000  | 1389101  |
|  sequential payer Series 2019-BPR:  |  |  |
|  Class AMP, 3.287% 11/5/32 (b) <br>| 10500000  | 9715171  |
|  Class ANM, 3.112% 11/5/32 (b) <br>| 6380000  | 5900256  |
|  Series 2019-BPR:  |  |  |
|  Class BNM, 3.465% 11/5/32 (b) <br>| 1295000  | 1142618  |
|  Class CNM, 3.8425% 11/5/32 (b)(c) <br>| 536000  | 447515  |
|  BANK:  |  |  |
|  sequential payer:  |  |  |
|  Series 2018-BN10 Class A5, 3.688% 2/15/61 <br>| 2901000  | 2701394  |
|  Series 2018-BN14 Class ASB, 4.185% 9/15/60 <br>| 2241470  | 2164085  |
|  Series 2018-BN15 Class ASB, 4.285% 11/15/61 <br>| 1379366  | 1336775  |
|  Series 2019-BN21 Class A5, 2.851% 10/17/52 <br>| 1112000  | 959727  |
|  Series 2021-BN35 Class A5, 2.285% 6/15/64 <br>| 270000  | 216821  |
|  Series 2022-BNK42, Class A5, 4.493% 6/15/55 (c) <br>| 37664000  | 35967903  |
|  Series 2020-BN25 Class XB, 0.5325% 1/15/63 (c)(m)  | 30600000  | 762246  |
|  Series 2021-BN33 Class XA, 1.1716% 5/15/64 (c)(m)  | 78911901  | 4568770  |
|  Barclays Commercial Mortgage Securities LLC sequential payer Series 2019-C5 Class ASB, 2.99% 11/15/52  | 1896629  | 1735595  |
|  Bayview Commercial Asset Trust floater:  |  |  |
|  Series 2005-3A:  |  |  |
|  Class A2, 1 month U.S. LIBOR + 0.600% 4.6436% 11/25/35 (b)(c)(e) <br>| 28892  | 26254  |
|  Class M1, 1 month U.S. LIBOR + 0.660% 4.7036% 11/25/35 (b)(c)(e) <br>| 7729  | 6880  |
|  Series 2005-4A:  |  |  |
|  Class A2, 1 month U.S. LIBOR + 0.580% 4.6286% 1/25/36 (b)(c)(e) <br>| 71714  | 65038  |
|  Class M1, 1 month U.S. LIBOR + 0.670% 4.7186% 1/25/36 (b)(c)(e) <br>| 23151  | 20768  |
|  Class M2, 1 month U.S. LIBOR + 0.700% 4.7486% 1/25/36 (b)(c)(e) <br>| 8730  | 7808  |
|  Class M3, 1 month U.S. LIBOR + 0.750% 4.7936% 1/25/36 (b)(c)(e) <br>| 12706  | 11344  |
|  Series 2006-1:  |  |  |
|  Class A2, 1 month U.S. LIBOR + 0.540% 4.5836% 4/25/36 (b)(c)(e) <br>| 11395  | 10131  |
|  Class M1, 1 month U.S. LIBOR + 0.570% 4.6136% 4/25/36 (b)(c)(e) <br>| 6890  | 6071  |
|  Class M2, 1 month U.S. LIBOR + 0.600% 4.6436% 4/25/36 (b)(c)(e) <br>| 7288  | 6403  |
|  Class M6, 1 month U.S. LIBOR + 0.960% 5.0036% 4/25/36 (b)(c)(e) <br>| 6890  | 5866  |
|  Series 2006-2A:  |  |  |
|  Class M1, 1 month U.S. LIBOR + 0.460% 4.5086% 7/25/36 (b)(c)(e) <br>| 10531  | 9656  |
|  Class M2, 1 month U.S. LIBOR + 0.490% 4.5386% 7/25/36 (b)(c)(e) <br>| 7483  | 6404  |
|  Class M4, 1 month U.S. LIBOR + 0.630% 4.6736% 7/25/36 (b)(c)(e) <br>| 7067  | 6408  |
|  Series 2006-4A:  |  |  |
|  Class A2, 1 month U.S. LIBOR + 0.400% 4.4486% 12/25/36 (b)(c)(e) <br>| 152289  | 138414  |
|  Class M1, 1 month U.S. LIBOR + 0.430% 4.4786% 12/25/36 (b)(c)(e) <br>| 12239  | 11393  |
|  Class M3, 1 month U.S. LIBOR + 0.510% 4.5536% 12/25/36 (b)(c)(e) <br>| 8296  | 7388  |
|  Series 2007-1 Class A2, 1 month U.S. LIBOR + 0.270% 4.4486% 3/25/37 (b)(c)(e)  | 40229  | 36253  |
|  Series 2007-2A:  |  |  |
|  Class A1, 1 month U.S. LIBOR + 0.270% 4.3136% 7/25/37 (b)(c)(e) <br>| 119455  | 104298  |
|  Class A2, 1 month U.S. LIBOR + 0.320% 4.3636% 7/25/37 (b)(c)(e) <br>| 111808  | 95804  |
|  Class M1, 1 month U.S. LIBOR + 0.370% 4.4136% 7/25/37 (b)(c)(e) <br>| 38087  | 32599  |
|  Class M2, 1 month U.S. LIBOR + 0.410% 4.4536% 7/25/37 (b)(c)(e) <br>| 24814  | 20829  |
|  Class M3, 1 month U.S. LIBOR + 0.490% 4.5336% 7/25/37 (b)(c)(e) <br>| 28618  | 28024  |
|  Series 2007-3:  |  |  |
|  Class A2, 1 month U.S. LIBOR + 0.290% 4.3336% 7/25/37 (b)(c)(e) <br>| 41289  | 36225  |
|  Class M1, 1 month U.S. LIBOR + 0.310% 4.3536% 7/25/37 (b)(c)(e) <br>| 21902  | 20851  |
|  Class M2, 1 month U.S. LIBOR + 0.340% 4.3836% 7/25/37 (b)(c)(e) <br>| 23369  | 22106  |
|  Class M3, 1 month U.S. LIBOR + 0.370% 4.4136% 7/25/37 (b)(c)(e) <br>| 37726  | 31336  |
|  Class M4, 1 month U.S. LIBOR + 0.500% 4.5436% 7/25/37 (b)(c)(e) <br>| 59314  | 49210  |
|  Class M5, 1 month U.S. LIBOR + 0.600% 4.6436% 7/25/37 (b)(c)(e) <br>| 28173  | 31505  |
|  BCP Trust floater Series 2021-330N Class A, 1 month U.S. LIBOR + 0.790% 4.674% 6/15/38 (b)(c)(e)  | 4207067  | 3947549  |
|  Benchmark Mortgage Trust:  |  |  |
|  sequential payer:  |  |  |
|  Series 2018-B1 Class ASB, 3.602% 1/15/51 <br>| 3507000  | 3353981  |
|  Series 2018-B2 Class ASB, 3.7802% 2/15/51 <br>| 2585000  | 2475731  |
|  Series 2018-B4 Class A5, 4.121% 7/15/51 <br>| 1260000  | 1193624  |
|  Series 2019-B10 Class A4, 3.717% 3/15/62 <br>| 2283000  | 2102223  |
|  Series 2019-B13 Class A4, 2.952% 8/15/57 <br>| 12263000  | 10695193  |
|  Series 2021-B24 Class A5, 2.5843% 3/15/54 <br>| 8800000  | 7283792  |
|  Series 2021-B28 Class A5, 2.2237% 8/15/54 <br>| 4668000  | 3728312  |
|  Series 2018-B7 Class A2, 4.377% 5/15/53  | 1119011  | 1101964  |
|  Series 2018-B8 Class A5, 4.2317% 1/15/52  | 15369000  | 14598443  |
|  Series 2019-B12 Class XA, 1.1696% 8/15/52 (c)(m)  | 82877547  | 3507287  |
|  Series 2019-B14 Class XA, 0.9039% 12/15/62 (c)(m)  | 129643941  | 4193398  |
|  Series 2020-B17 Class XA, 1.5386% 3/15/53 (c)(m)  | 28862240  | 1785138  |
|  Series 2020-B18 Class XA, 1.9146% 7/15/53 (c)(m)  | 19990056  | 1597010  |
|  Series 2020-B19 Class XA, 1.885% 9/15/53 (c)(m)  | 11174229  | 868763  |
|  BFLD Trust floater sequential payer Series 2020-OBRK Class A, 1 month U.S. LIBOR + 2.050% 5.925% 11/15/28 (b)(c)(e)  | 6341000  | 6253434  |
|  BLOX Trust floater sequential payer Series 2021-BLOX Class A, 1 month U.S. LIBOR + 0.750% 4.625% 9/15/26 (b)(c)(e)  | 21008136  | 19773269  |
|  BPR Trust floater Series 2022-OANA:  |  |  |
|  Class A, CME Term SOFR 1 Month Index + 1.890% 5.6923% 4/15/37 (b)(c)(e)  | 67777000  | 65950735  |
|  Class B, CME Term SOFR 1 Month Index + 2.440% 6.2413% 4/15/37 (b)(c)(e)  | 11281000  | 10567102  |
|  BX Commercial Mortgage Trust:  |  |  |
|  floater:  |  |  |
|  Series 2021-PAC: <br>|  |  |
|  Class A, 1 month U.S. LIBOR + 0.680% 4.5651% 10/15/36 (b)(c)(e)  | 21274512  | 20301363  |
|  Class B, 1 month U.S. LIBOR + 0.890% 4.7748% 10/15/36 (b)(c)(e)  | 2754000  | 2586168  |
|  Class C, 1 month U.S. LIBOR + 1.090% 4.9746% 10/15/36 (b)(c)(e)  | 3686000  | 3433724  |
|  Class D, 1 month U.S. LIBOR + 1.290% 5.1743% 10/15/36 (b)(c)(e)  | 3579000  | 3290426  |
|  Class E, 1 month U.S. LIBOR + 1.940% 5.8235% 10/15/36 (b)(c)(e)  | 11390000  | 10464508  |
|  Series 2021-VINO Class A, 1 month U.S. LIBOR + 0.650% 4.5273% 5/15/38 (b)(c)(e) <br>| 20156000  | 19296726  |
|  Series 2022-LP2: <br>|  |  |
|  Class A, CME Term SOFR 1 Month Index + 1.010% 4.8072% 2/15/39 (b)(c)(e)  | 46652965  | 44754441  |
|  Class B, CME Term SOFR 1 Month Index + 1.310% 5.1066% 2/15/39 (b)(c)(e)  | 7535968  | 7111545  |
|  Class C, CME Term SOFR 1 Month Index + 1.560% 5.356% 2/15/39 (b)(c)(e)  | 6788908  | 6348393  |
|  Class D, CME Term SOFR 1 Month Index + 1.960% 5.7551% 2/15/39 (b)(c)(e)  | 6788908  | 6276505  |
|  floater sequential payer Series 2019-CALM Class A, 1 month U.S. LIBOR + 0.870% 4.751% 11/15/32 (b)(c)(e)  | 2663553  | 2601957  |
|  BX Trust:  |  |  |
|  floater:  |  |  |
|  Series 2018-EXCL: <br>|  |  |
|  Class B, 1 month U.S. LIBOR + 1.320% 5.201% 9/15/37 (b)(c)(e)  | 1102400  | 1066312  |
|  Class D, 1 month U.S. LIBOR + 2.620% 6.501% 9/15/37 (b)(c)(e)  | 1687000  | 1456232  |
|  Series 2019-IMC: <br>|  |  |
|  Class B, 1 month U.S. LIBOR + 1.300% 5.173% 4/15/34 (b)(c)(e)  | 4437000  | 4263322  |
|  Class C, 1 month U.S. LIBOR + 1.600% 5.473% 4/15/34 (b)(c)(e)  | 2933000  | 2788722  |
|  Class D, 1 month U.S. LIBOR + 1.900% 5.773% 4/15/34 (b)(c)(e)  | 3079000  | 2872349  |
|  Series 2019-XL: <br>|  |  |
|  Class B, CME Term SOFR 1 Month Index + 1.190% 4.9887% 10/15/36 (b)(c)(e)  | 12138850  | 11848603  |
|  Class C, CME Term SOFR 1 Month Index + 1.360% 5.1587% 10/15/36 (b)(c)(e)  | 4788050  | 4656983  |
|  Class D, CME Term SOFR 1 Month Index + 1.560% 5.3587% 10/15/36 (b)(c)(e)  | 10906350  | 10507590  |
|  Class E, CME Term SOFR 1 Month Index + 1.910% 5.7087% 10/15/36 (b)(c)(e)  | 9529350  | 9187603  |
|  Series 2021-ACNT Class A, 1 month U.S. LIBOR + 0.850% 4.726% 11/15/38 (b)(c)(e) <br>| 19812063  | 18997960  |
|  Series 2021-BXMF Class A, 1 month U.S. LIBOR + 0.630% 4.5109% 10/15/26 (b)(c)(e) <br>| 18438093  | 17493084  |
|  Series 2021-SDMF Class A, 1 month U.S. LIBOR + 0.580% 4.464% 9/15/34 (b)(c)(e) <br>| 11500000  | 10959499  |
|  Series 2022-GPA Class A, CME Term SOFR 1 Month Index + 2.160% 5.9593% 10/15/39 (b)(c)(e) <br>| 16598000  | 16525200  |
|  Series 2022-IND: <br>|  |  |
|  Class A, CME Term SOFR 1 Month Index + 1.490% 5.3019% 4/15/37 (b)(c)(e)  | 21298634  | 20691361  |
|  Class B, CME Term SOFR 1 Month Index + 1.940% 5.7509% 4/15/37 (b)(c)(e)  | 10857252  | 10379430  |
|  Class C, CME Term SOFR 1 Month Index + 2.290% 6.1009% 4/15/37 (b)(c)(e)  | 2449647  | 2315342  |
|  Class D, CME Term SOFR 1 Month Index + 2.830% 6.6499% 4/15/37 (b)(c)(e)  | 2050867  | 1923654  |
|  floater sequential payer:  |  |  |
|  Series 2021-MFM1 Class A, 1 month U.S. LIBOR + 0.700% 4.5753% 1/15/34 (b)(c)(e) <br>| 6878988  | 6642625  |
|  Series 2021-SOAR Class A, 4.546% 6/15/38 (b)(c) <br>| 31229624  | 29898415  |
|  floater, sequential payer:  |  |  |
|  Series 2019-IMC Class A, 1 month U.S. LIBOR + 1.000% 4.873% 4/15/34 (b)(c)(e) <br>| 11929000  | 11610126  |
|  Series 2019-XL Class A, CME Term SOFR 1 Month Index + 1.030% 4.8287% 10/15/36 (b)(c)(e) <br>| 101899118  | 100103758  |
|  CAMB Commercial Mortgage Trust floater Series 2019-LIFE:  |  |  |
|  Class A, 1 month U.S. LIBOR + 1.070% 4.943% 12/15/37 (b)(c)(e)  | 16831500  | 16472521  |
|  Class B, 1 month U.S. LIBOR + 1.250% 5.123% 12/15/37 (b)(c)(e)  | 7200000  | 6965253  |
|  CD Commercial Mortgage Trust sequential payer Series 2017-CD6 Class ASB, 3.332% 11/13/50  | 17654989  | 16898199  |
|  CD Mortgage Trust sequential payer Series 2017-CD5 Class AAB, 3.22% 8/15/50  | 807040  | 761172  |
|  CF Hippolyta Issuer LLC sequential payer:  |  |  |
|  Series 2020-1:  |  |  |
|  Class A1, 1.69% 7/15/60 (b) <br>| 28765553  | 25438063  |
|  Class A2, 1.99% 7/15/60 (b) <br>| 10327416  | 8559882  |
|  Series 2021-1A Class A1, 1.53% 3/15/61 (b)  | 15615609  | 13452401  |
|  CGDB Commercial Mortgage Trust floater Series 2019-MOB:  |  |  |
|  Class A, 1 month U.S. LIBOR + 0.950% 4.8253% 11/15/36 (b)(c)(e)  | 4679950  | 4544578  |
|  Class B, 1 month U.S. LIBOR + 1.250% 5.1253% 11/15/36 (b)(c)(e)  | 1600000  | 1539636  |
|  CHC Commercial Mortgage Trust floater Series 2019-CHC:  |  |  |
|  Class A, 1 month U.S. LIBOR + 1.120% 4.995% 6/15/34 (b)(c)(e)  | 29777790  | 29196855  |
|  Class B, 1 month U.S. LIBOR + 1.500% 5.375% 6/15/34 (b)(c)(e)  | 2162669  | 2091674  |
|  Class C, 1 month U.S. LIBOR + 1.750% 5.625% 6/15/34 (b)(c)(e)  | 2443548  | 2339519  |
|  CIM Retail Portfolio Trust floater Series 2021-RETL:  |  |  |
|  Class C, 1 month U.S. LIBOR + 2.300% 6.176% 8/15/36 (b)(c)(e)  | 167570  | 155723  |
|  Class D, 1 month U.S. LIBOR + 3.050% 6.926% 8/15/36 (b)(c)(e)  | 2308500  | 2119164  |
|  Citigroup Commercial Mortgage Trust:  |  |  |
|  sequential payer:  |  |  |
|  Series 2014-GC23 Class A3, 3.356% 7/10/47 <br>| 1006481  | 968338  |
|  Series 2016-GC37 Class AAB, 3.098% 4/10/49 <br>| 229651  | 219880  |
|  Series 2017-P7 Class AAB, 3.509% 4/14/50 <br>| 637178  | 613106  |
|  Series 2013-GC17 Class A/S, 4.544% 11/10/46  | 10042000  | 9805187  |
|  Series 2014-GC25 Class A/S, 4.017% 10/10/47  | 7354000  | 6957494  |
|  Series 2015-GC33:  |  |  |
|  Class AAB, 3.522% 9/10/58 <br>| 4391229  | 4244682  |
|  Class XA, 1.0252% 9/10/58 (c)(m) <br>| 1494498  | 28870  |
|  Series 2016-P6 Class XA, 0.7018% 12/10/49 (c)(m)  | 1192738  | 21419  |
|  Series 2019-GC41 Class XA, 1.1693% 8/10/56 (c)(m)  | 20386389  | 957738  |
|  COMM Mortgage Trust:  |  |  |
|  sequential payer:  |  |  |
|  Series 2013-CR7 Class AM, 3.314% 3/10/46 (b) <br>| 527000  | 522099  |
|  Series 2014-CR18 Class A5, 3.828% 7/15/47 <br>| 2137000  | 2065646  |
|  Series 2015-3BP Class A, 3.178% 2/10/35 (b) <br>| 16755000  | 15466080  |
|  Series 2013-CR13 Class AM, 4.449% 11/10/46  | 5008866  | 4875303  |
|  Series 2013-LC13 Class AM, 4.557% 8/10/46 (b)  | 5200000  | 5097455  |
|  Series 2014-CR20 Class XA, 1.0939% 11/10/47 (c)(m)  | 340452  | 4754  |
|  Series 2014-LC17 Class XA, 0.8149% 10/10/47 (c)(m)  | 1008604  | 9445  |
|  Series 2014-UBS6 Class XA, 0.9848% 12/10/47 (c)(m)  | 821578  | 10481  |
|  Credit Suisse Mortgage Trust:  |  |  |
|  floater Series 2019-ICE4:  |  |  |
|  Class A, 1 month U.S. LIBOR + 0.980% 4.855% 5/15/36 (b)(c)(e) <br>| 25365000  | 25037507  |
|  Class B, 1 month U.S. LIBOR + 1.230% 5.105% 5/15/36 (b)(c)(e) <br>| 8335000  | 8179067  |
|  Class C, 1 month U.S. LIBOR + 1.430% 5.305% 5/15/36 (b)(c)(e) <br>| 17662000  | 17171966  |
|  sequential payer Series 2020-NET Class A, 2.2569% 8/15/37 (b)  | 3975889  | 3548738  |
|  Series 2018-SITE:  |  |  |
|  Class A, 4.284% 4/15/36 (b) <br>| 5615509  | 5326068  |
|  Class B, 4.5349% 4/15/36 (b) <br>| 1471000  | 1382894  |
|  Class C, 4.9414% 4/15/36 (b)(c) <br>| 955000  | 894141  |
|  Class D, 4.9414% 4/15/36 (b)(c) <br>| 1909000  | 1754596  |
|  CSAIL Commercial Mortgage Trust sequential payer:  |  |  |
|  Series 19-C15 Class A2, 3.4505% 3/15/52  | 1118796  | 1081508  |
|  Series 2015-1 Class A3, 3.3512% 4/15/50  | 2345624  | 2287626  |
|  Series 2020-C19 Class ASB, 2.5501% 3/15/53  | 6551300  | 5818427  |
|  DBJPM Mortgage Trust sequential payer Series 2017-C6 Class ASB, 3.121% 6/10/50  | 4347758  | 4136465  |
|  ELP Commercial Mortgage Trust floater Series 2021-ELP:  |  |  |
|  Class A, 1 month U.S. LIBOR + 0.700% 4.577% 11/15/38 (b)(c)(e)  | 34536019  | 32945580  |
|  Class B, 1 month U.S. LIBOR + 1.120% 4.9962% 11/15/38 (b)(c)(e)  | 10750000  | 10211181  |
|  Extended Stay America Trust floater Series 2021-ESH:  |  |  |
|  Class A, 1 month U.S. LIBOR + 1.080% 4.956% 7/15/38 (b)(c)(e)  | 30555793  | 29387523  |
|  Class B, 1 month U.S. LIBOR + 1.380% 5.256% 7/15/38 (b)(c)(e)  | 4119531  | 3912974  |
|  Class C, 1 month U.S. LIBOR + 1.700% 5.576% 7/15/38 (b)(c)(e)  | 3084767  | 2930097  |
|  Class D, 1 month U.S. LIBOR + 2.250% 6.126% 7/15/38 (b)(c)(e)  | 21460610  | 20330812  |
|  Freddie Mac:  |  |  |
|  sequential payer Series 2021-K136 Class A2, 2.127% 11/25/31  | 10700000  | 8883249  |
|  Series 2022-K150 Class A2, 3.71% 11/25/32  | 19900000  | 18752078  |
|  GS Mortgage Securities Trust:  |  |  |
|  floater:  |  |  |
|  Series 2018-3PCK Class A, 1 month U.S. LIBOR + 1.700% 5.823% 9/15/31 (b)(c)(e) <br>| 10714626  | 10504613  |
|  Series 2018-HART Class A, 1 month U.S. LIBOR + 1.090% 4.97% 10/15/31 (b)(c)(e) <br>| 3300000  | 3111183  |
|  Series 2021-IP: <br>|  |  |
|  Class A, 1 month U.S. LIBOR + 0.950% 4.825% 10/15/36 (b)(c)(e)  | 20172106  | 18775347  |
|  Class B, 1 month U.S. LIBOR + 1.150% 5.025% 10/15/36 (b)(c)(e)  | 1654000  | 1529640  |
|  Class C, 1 month U.S. LIBOR + 1.550% 5.425% 10/15/36 (b)(c)(e)  | 1363000  | 1249137  |
|  sequential payer:  |  |  |
|  Series 2014-GC18 Class AAB, 3.648% 1/10/47 <br>| 418563  | 413689  |
|  Series 2016-GC34 Class AAB, 3.278% 10/10/48 <br>| 1724441  | 1659270  |
|  Series 2011-GC5 Class A/S, 5.209% 8/10/44 (b)(c)  | 10586103  | 10369586  |
|  Series 2013-GC13 Class A/S, 4.2141% 7/10/46 (b)(c)  | 4608808  | 4537778  |
|  Series 2013-GC16 Class A/S, 4.649% 11/10/46  | 7546842  | 7393043  |
|  Series 2015-GC30 Class A/S, 3.777% 5/10/50  | 2860805  | 2684638  |
|  Intown Mortgage Trust floater sequential payer Series 2022-STAY Class A, CME Term SOFR 1 Month Index + 2.480% 6.2826% 8/15/39 (b)(c)(e)  | 33236000  | 32902836  |
|  J.P. Morgan Chase Commercial Mortgage Securities Trust floater Series 2012-NLP Class A, CME Term SOFR 1 Month Index + 0.590% 4.3908% 4/15/37 (b)(c)(e)  | 18600000  | 17247724  |
|  JP Morgan Chase Commercial Mortgage Securities Trust sequential payer Series 2021-2NU Class A, 1.9739% 1/5/40 (b)  | 24200000  | 19329387  |
|  JPMBB Commercial Mortgage Securities Trust:  |  |  |
|  sequential payer:  |  |  |
|  Series 2014-C21 Class A4, 3.4927% 8/15/47 <br>| 7954756  | 7710612  |
|  Series 2014-C22 Class A4, 3.8012% 9/15/47 <br>| 854173  | 823844  |
|  Series 2015-C29 Class A4, 3.6108% 5/15/48 <br>| 5409013  | 5130069  |
|  Series 2013-C14 Class A/S, 4.4093% 8/15/46  | 4614000  | 4519642  |
|  Series 2013-C17 Class A/S, 4.4584% 1/15/47  | 9500000  | 9252079  |
|  JPMDB Commercial Mortgage Securities Trust sequential payer:  |  |  |
|  Series 2017-C5 Class ASB, 3.4919% 3/15/50  | 3483723  | 3329250  |
|  Series 2018-C8 Class ASB, 4.145% 6/15/51  | 8779000  | 8455820  |
|  Series 2019-COR6 Class A4, 3.0565% 11/13/52  | 2872000  | 2463353  |
|  JPMorgan Chase Commercial Mortgage Securities Trust:  |  |  |
|  floater Series 2019-BKWD Class A, 1 month U.S. LIBOR + 1.250% 5.125% 9/15/29 (b)(c)(e)  | 6253318  | 6066879  |
|  sequential payer Series 2013-LC11 Class A5, 2.9599% 4/15/46  | 7910029  | 7827588  |
|  Series 2013-C10:  |  |  |
|  Class A/S, 3.3715% 12/15/47 <br>| 9295000  | 9248432  |
|  Class A5, 3.1425% 12/15/47 <br>| 284318  | 283368  |
|  Series 2013-C16 Class A/S, 4.5169% 12/15/46  | 9991540  | 9775062  |
|  Series 2013-LC11 Class A/S, 3.216% 4/15/46  | 6043083  | 5921108  |
|  Series 2018-AON Class D, 4.767% 7/5/31 (b)(c)  | 1846000  | 1598811  |
|  Series 2018-WPT:  |  |  |
|  Class AFX, 4.2475% 7/5/33 (b) <br>| 1167147  | 1090027  |
|  Class CFX, 4.9498% 7/5/33 (b) <br>| 767000  | 668285  |
|  Class DFX, 5.3503% 7/5/33 (b) <br>| 1370000  | 1181119  |
|  Class EFX, 5.5423% 7/5/33 (b)(c) <br>| 1614000  | 1376342  |
|  Life Financial Services Trust floater Series 2022-BMR2:  |  |  |
|  Class A1, CME Term SOFR 1 Month Index + 1.290% 5.0895% 5/15/39 (b)(c)(e)  | 68760000  | 66691885  |
|  Class B, CME Term SOFR 1 Month Index + 1.790% 5.5882% 5/15/39 (b)(c)(e)  | 22757000  | 21901451  |
|  Class C, CME Term SOFR 1 Month Index + 2.090% 5.8874% 5/15/39 (b)(c)(e)  | 8790000  | 8437517  |
|  Class D, CME Term SOFR 1 Month Index + 2.540% 6.3362% 5/15/39 (b)(c)(e)  | 8790000  | 8371443  |
|  LIFE Mortgage Trust floater Series 2021-BMR:  |  |  |
|  Class A, 1 month U.S. LIBOR + 0.700% 4.575% 3/15/38 (b)(c)(e)  | 29394144  | 28251335  |
|  Class B, 1 month U.S. LIBOR + 0.880% 4.755% 3/15/38 (b)(c)(e)  | 2889932  | 2737713  |
|  Class C, 1 month U.S. LIBOR + 1.100% 4.975% 3/15/38 (b)(c)(e)  | 2003293  | 1887728  |
|  Class D, 1 month U.S. LIBOR + 1.400% 5.275% 3/15/38 (b)(c)(e)  | 2785737  | 2618052  |
|  Class E, 1 month U.S. LIBOR + 1.750% 5.625% 3/15/38 (b)(c)(e)  | 2433834  | 2281231  |
|  Merit floater Series 2021-STOR Class A, 1 month U.S. LIBOR + 0.700% 4.575% 7/15/38 (b)(c)(e)  | 10610236  | 10144707  |
|  MHC Commercial Mortgage Trust floater sequential payer Series 2021-MHC Class A, 1 month U.S. LIBOR + 0.800% 4.676% 4/15/38 (b)(c)(e)  | 35300000  | 34061905  |
|  Morgan Stanley BAML Trust:  |  |  |
|  sequential payer:  |  |  |
|  Series 2013-C11 Class A4, 4.3447% 8/15/46 (c) <br>| 568989  | 560332  |
|  Series 2015-C20 Class ASB, 3.069% 2/15/48 <br>| 557447  | 542086  |
|  Series 2016-C28 Class A3, 3.272% 1/15/49 <br>| 5124962  | 4817848  |
|  Series 2014-C17 Class ASB, 3.477% 8/15/47  | 634561  | 622554  |
|  Series 2015-C22 Class ASB, 3.04% 4/15/48  | 1031036  | 1000251  |
|  Series 2015-C25 Class XA, 1.1949% 10/15/48 (c)(m)  | 872279  | 17679  |
|  Morgan Stanley Capital I Trust:  |  |  |
|  floater Series 2018-BOP Class A, 1 month U.S. LIBOR + 0.850% 4.725% 8/15/33 (b)(c)(e)  | 134441  | 126790  |
|  floater sequential payer Series 2019-NUGS Class A, 1 month U.S. LIBOR + 0.950% 4.825% 12/15/36 (b)(c)(e)  | 9700000  | 9041397  |
|  sequential payer Series 2019-MEAD Class A, 3.17% 11/10/36 (b)  | 17584985  | 16322272  |
|  Series 2018-H4 Class A4, 4.31% 12/15/51  | 2991000  | 2827774  |
|  Series 2019-MEAD:  |  |  |
|  Class B, 3.283% 11/10/36 (b)(c) <br>| 1783000  | 1609413  |
|  Class C, 3.283% 11/10/36 (b)(c) <br>| 1712000  | 1490785  |
|  Series 2021-L6 Class XA, 1.3449% 6/15/54 (c)(m)  | 28849476  | 1856308  |
|  MSCCG Trust floater Series 2018-SELF Class A, 1 month U.S. LIBOR + 0.900% 4.773% 10/15/37 (b)(c)(e)  | 6249968  | 6089048  |
|  Natixis Commercial Mortgage Securities Trust sequential payer Series 2020-2PAC Class A, 2.966% 12/15/38 (b)  | 10362382  | 9564792  |
|  NYT Mortgage Trust floater Series 2019-NYT Class A, 1 month U.S. LIBOR + 1.200% 5.075% 12/15/35 (b)(c)(e)  | 20822000  | 19964752  |
|  OPG Trust floater Series 2021-PORT Class A, 1 month U.S. LIBOR + 0.480% 4.359% 10/15/36 (b)(c)(e)  | 28267901  | 26815440  |
|  Prima Capital Ltd.:  |  |  |
|  floater Series 2021-9A Class B, 1 month U.S. LIBOR + 1.800% 5.7386% 12/15/37 (b)(c)(e)  | 4403000  | 4299385  |
|  floater sequential payer Series 2021-9A Class A, 1 month U.S. LIBOR + 1.450% 5.3886% 12/15/37 (b)(c)(e)  | 800004  | 794056  |
|  RLGH Trust floater Series 2021-TROT Class A, 1 month U.S. LIBOR + 0.800% 4.676% 4/15/36 (b)(c)(e)  | 23000000  | 22084616  |
|  SLG Office Trust Series 2021-OVA Class X, 0.258% 7/15/41 (b)(c)(m)  | 213942750  | 3479950  |
|  SPGN Mortgage Trust floater Series 2022-TFLM:  |  |  |
|  Class B, CME Term SOFR 1 Month Index + 2.000% 5.7943% 2/15/39 (b)(c)(e)  | 4954000  | 4654153  |
|  Class C, CME Term SOFR 1 Month Index + 2.650% 6.4443% 2/15/39 (b)(c)(e)  | 2576000  | 2401764  |
|  SREIT Trust floater:  |  |  |
|  Series 2021-FLWR Class A, 1 month U.S. LIBOR + 0.570% 4.4516% 7/15/36 (b)(c)(e)  | 9074000  | 8675871  |
|  Series 2021-IND Class A, 1 month U.S. LIBOR + 0.700% 4.575% 10/15/38 (b)(c)(e)  | 3400000  | 3233177  |
|  Series 2021-MFP:  |  |  |
|  Class A, 1 month U.S. LIBOR + 0.730% 4.6061% 11/15/38 (b)(c)(e) <br>| 25232128  | 24109669  |
|  Class B, 1 month U.S. LIBOR + 1.070% 4.9551% 11/15/38 (b)(c)(e) <br>| 9752000  | 9238765  |
|  Class C, 1 month U.S. LIBOR + 1.320% 5.2043% 11/15/38 (b)(c)(e) <br>| 5710000  | 5380878  |
|  Class D, 1 month U.S. LIBOR + 1.570% 5.4535% 11/15/38 (b)(c)(e) <br>| 3430000  | 3223704  |
|  UBS Commercial Mortgage Trust:  |  |  |
|  sequential payer:  |  |  |
|  Series 2017-C1 Class ASB, 3.462% 11/15/50 <br>| 1400000  | 1326255  |
|  Series 2017-C5 Class ASB, 3.345% 11/15/50 <br>| 2314629  | 2196481  |
|  Series 2017-C7 Class ASB, 3.586% 12/15/50 <br>| 1000000  | 953278  |
|  Series 2018-C8 Class ASB, 3.903% 2/15/51 <br>| 1479370  | 1420710  |
|  Series 2019-C17 Class ASB, 2.8655% 10/15/52 <br>| 11900000  | 10729969  |
|  Series 2017-C7 Class XA, 1.1862% 12/15/50 (c)(m)  | 29859538  | 1061725  |
|  UBS-Barclays Commercial Mortgage Trust floater Series 2013-C6 Class A3, 1 month U.S. LIBOR + 0.790% 4.6631% 4/10/46 (b)(c)(e)  | 23911  | 23877  |
|  VLS Commercial Mortgage Trust:  |  |  |
|  sequential payer Series 2020-LAB Class A, 2.13% 10/10/42 (b)  | 8718994  | 6776860  |
|  Series 2020-LAB:  |  |  |
|  Class B, 2.453% 10/10/42 (b) <br>| 470000  | 359827  |
|  Class X, 0.5162% 10/10/42 (b)(c)(m) <br>| 58746457  | 1596946  |
|  Wells Fargo Commercial Mortgage Trust:  |  |  |
|  floater Series 2021-FCMT Class A, 1 month U.S. LIBOR + 1.200% 5.075% 5/15/31 (b)(c)(e)  | 16435000  | 15495248  |
|  sequential payer:  |  |  |
|  Series 2015-C26 Class A4, 3.166% 2/15/48 <br>| 11250000  | 10662161  |
|  Series 2015-C29 Class ASB, 3.4% 6/15/48 <br>| 2934303  | 2847267  |
|  Series 2016-LC24 Class A3, 2.684% 10/15/49 <br>| 4162647  | 3786854  |
|  Series 2017-C40 Class ASB, 3.395% 10/15/50 <br>| 999995  | 954115  |
|  Series 2017-C41 Class ASB, 3.39% 11/15/50 <br>| 172417  | 164980  |
|  Series 2017-RC1 Class ASB, 3.453% 1/15/60 <br>| 942091  | 905657  |
|  Series 2018-C44 Class ASB, 4.167% 5/15/51 <br>| 1000000  | 968007  |
|  Series 2019-C52 Class A5, 2.892% 8/15/52 <br>| 3829000  | 3306270  |
|  Series 2019-C54 Class ASB, 3.063% 12/15/52 <br>| 1000000  | 911890  |
|  Series 2015-SG1 Class ASB, 3.556% 9/15/48  | 2573218  | 2506416  |
|  Series 2017-C42 Class XA, 1.0068% 12/15/50 (c)(m)  | 1419697  | 49259  |
|  Series 2018-C46 Class XA, 1.1006% 8/15/51 (c)(m)  | 35740880  | 981888  |
|  Series 2018-C48 Class A5, 4.302% 1/15/52  | 3836000  | 3636105  |
|  Series 2019-C54 Class XA, 0.9587% 12/15/52 (c)(m)  | 63204117  | 2725538  |
|  WF-RBS Commercial Mortgage Trust:  |  |  |
|  Series 2013-C12 Class A/S, 3.56% 3/15/48  | 15830096  | 15712691  |
|  Series 2013-C16 Class A/S, 4.668% 9/15/46 (c)  | 8828629  | 8654082  |
|  Series 2014-C25 Class A5, 3.631% 11/15/47  | 3448416  | 3299590  |
| <br> **TOTAL COMMERCIAL MORTGAGE SECURITIES** <br> (Cost $1,851,619,043)  |  | **1761851354**  |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **Municipal Securities - 0.1%**  | &nbsp;&nbsp; **Municipal Securities - 0.1%**  | &nbsp;&nbsp; **Municipal Securities - 0.1%**  |
|  | Principal <br> Amount (a) <br>| Value ($) <br>|
|  Chicago Board of Ed. Series 2009 G, 1.75% 12/15/25  | 4720000  | 4075030  |
|  Illinois Gen. Oblig.:  |  |  |
|  Series 2003:  |  |  |
|  4.95% 6/1/23 <br>| 1285909  | 1285513  |
|  5.1% 6/1/33 <br>| 22095000  | 21298844  |
|  Series 2010-1, 6.63% 2/1/35  | 2035000  | 2078384  |
|  Series 2010-3:  |  |  |
|  6.725% 4/1/35 <br>| 2710000  | 2781912  |
|  7.35% 7/1/35 <br>| 1286071  | 1365249  |
|  New Jersey Econ. Dev. Auth. State Pension Fdg. Rev. Series 1997, 7.425% 2/15/29 (Nat'l. Pub. Fin. Guarantee Corp. Insured)  | 11609000  | 12546559  |
|  New York City Transitional Fin. Auth. Rev. Series 2017 E, 2.85% 2/1/24  | 520000  | 509692  |
|  New York Urban Dev. Corp. Rev. Series 2017 B, 2.67% 3/15/23  | 1315000  | 1307291  |
| <br> **TOTAL MUNICIPAL SECURITIES** <br> (Cost $49,253,553)  |  | **47248474**  |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp; **Foreign Government and Government Agency Obligations - 0.1%**  | &nbsp;&nbsp; **Foreign Government and Government Agency Obligations - 0.1%**  | &nbsp;&nbsp; **Foreign Government and Government Agency Obligations - 0.1%**  | &nbsp;&nbsp; **Foreign Government and Government Agency Obligations - 0.1%**  |
|  |  | Principal <br> Amount (a) <br>| Value ($) <br>|
|  German Federal Republic:  |  |  |  |
|  0% 8/15/31  | EUR  | 12025000  | 10654918  |
|  1.25% 8/15/48 (g)  | EUR  | 4165000  | 3858189  |
|  Kingdom of Saudi Arabia 3.25% 11/17/51 (b)  |  | 15410000  | 11056675  |
|  Panamanian Republic:  |  |  |  |
|  3.298% 1/19/33  |  | 18075000  | 14884763  |
|  4.5% 1/19/63  |  | 11905000  | 8690650  |
|  United Kingdom, Great Britain and Northern Ireland:  |  |  |  |
|  1% 4/22/24(Reg. S)  | GBP  | 3774000  | 4408686  |
|  2.25% 9/7/23  | GBP  | 9226000  | 11018432  |
|  United Mexican States:  |  |  |  |
|  3.25% 4/16/30  |  | 1247000  | 1112948  |
|  3.5% 2/12/34  |  | 1035000  | 862673  |
| <br> **TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS** <br> (Cost $81,365,657)  |  |  | **66547934**  |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **Common Stocks - 0.0%**  | &nbsp;&nbsp; **Common Stocks - 0.0%**  | &nbsp;&nbsp; **Common Stocks - 0.0%**  |
|  | Shares  | Value ($) <br>|
| ENERGY - 0.0%  |  |  |
| Energy Equipment & Services - 0.0%  |  |  |
|  Jonah Energy Parent LLC (l)(q) <br>(Cost $65,550) <br>| 4766  | **298209**  |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **Bank Loan Obligations - 0.0%**  | &nbsp;&nbsp; **Bank Loan Obligations - 0.0%**  | &nbsp;&nbsp; **Bank Loan Obligations - 0.0%**  |
|  | Principal <br> Amount (a) <br>| Value ($) <br>|
| UTILITIES - 0.0%  |  |  |
| Electric Utilities - 0.0%  |  |  |
|  Brookfield WEC Holdings, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 7.8365% 8/1/25 (c)(e)(r) <br>(Cost $231,624) <br>| 240000  | **238126**  |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **Bank Notes - 0.0%**  | &nbsp;&nbsp; **Bank Notes - 0.0%**  | &nbsp;&nbsp; **Bank Notes - 0.0%**  |
|  | Principal <br> Amount (a) <br>| Value ($) <br>|
|  Discover Bank 4.682% 8/9/28 (c)  | 2954000  | 2845152  |
|  First Citizens Bank & Trust Co. 2.969% 9/27/25 (c)  | 2324000  | 2190167  |
|  KeyBank NA 6.95% 2/1/28  | 619000  | 652574  |
|  Regions Bank 6.45% 6/26/37  | 4251000  | 4424925  |
|  Truist Bank 2.75% 5/1/23  | 1483000  | 1470120  |
| <br> **TOTAL BANK NOTES** <br> (Cost $12,121,162)  |  | **11582938**  |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **Fixed-Income Funds - 55.2%**  | &nbsp;&nbsp; **Fixed-Income Funds - 55.2%**  | &nbsp;&nbsp; **Fixed-Income Funds - 55.2%**  |
|  | Shares  | Value ($) <br>|
| Bank Loan Funds - 2.0%  |  |  |
|  Fidelity Advisor Floating Rate High Income Fund Class Z (s)  | 125422873  | 1132568542  |
| High Yield Fixed-Income Funds - 2.6%  |  |  |
|  Fidelity Advisor New Markets Income Fund Class Z (s)  | 91895019  | 1062306425  |
|  Fidelity SAI High Income Fund (s)  | 44508474  | 385443388  |
|  TOTAL HIGH YIELD FIXED-INCOME FUNDS  |  | 1447749813  |
| Inflation-Protected Bond Funds - 0.2%  |  |  |
|  Fidelity Inflation-Protected Bond Index Fund (s)  | 8763153  | 87018104  |
| Intermediate Government Funds - 8.5%  |  |  |
|  Fidelity Advisor Government Income Fund Class Z (s)  | 65824855  | 607563412  |
|  Fidelity SAI U.S. Treasury Bond Index Fund (s)  | 472065037  | 4121127775  |
|  TOTAL INTERMEDIATE GOVERNMENT FUNDS  |  | 4728691187  |
| Intermediate-Term Bond Funds - 35.1%  |  |  |
|  Fidelity Advisor Corporate Bond Fund Class Z (s)  | 255129485  | 2589564275  |
|  Fidelity Advisor Global Credit Fund Class Z (s)  | 3278272  | 25144346  |
|  Fidelity SAI Total Bond Fund (s)  | 1553974885  | 13892535437  |
|  Fidelity Sustainability Bond Index Fund (s)  | 2426723  | 22325849  |
|  Fidelity U.S. Bond Index Fund (s)  | 296926553  | 3049435698  |
|  TOTAL INTERMEDIATE-TERM BOND FUNDS  |  | 19579005605  |
| Long Government Bond Funds - 4.0%  |  |  |
|  Fidelity SAI Long-Term Treasury Bond Index Fund (s)  | 283547678  | 2217342839  |
| Sector Funds - 1.5%  |  |  |
|  Fidelity Advisor Real Estate Income Fund Class Z (s)  | 71248009  | 817214664  |
| Short-Term Bond - 1.3%  |  |  |
|  Fidelity Short-Term Treasury Bond Index Fund (s)  | 76150869  | 752370586  |
| <br> **TOTAL FIXED-INCOME FUNDS** <br> (Cost $34,863,049,353)  |  | <br> **30761961340**  |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **Preferred Securities - 0.2%**  | &nbsp;&nbsp; **Preferred Securities - 0.2%**  | &nbsp;&nbsp; **Preferred Securities - 0.2%**  |
|  | Principal <br> Amount (a) <br>| Value ($) <br>|
| COMMUNICATION SERVICES - 0.0%  |  |  |
| Diversified Telecommunication Services - 0.0%  |  |  |
|  Telefonica Europe BV 3.875% (Reg. S) (c)(f)  | 1100000  | 1057301  |
| CONSUMER DISCRETIONARY - 0.0%  |  |  |
| Automobiles - 0.0%  |  |  |
|  Volkswagen International Finance NV:  |  |  |
|  3.5% (Reg. S) (c)(f)  | 9200000  | 9017430  |
|  3.748% (Reg. S) (c)(f)  | 500000  | 464740  |
|  |  | 9482170  |
| CONSUMER STAPLES - 0.0%  |  |  |
| Tobacco - 0.0%  |  |  |
|  British American Tobacco PLC 3% (Reg. S) (c)(f)  | 5200000  | 4491354  |
| FINANCIALS - 0.1%  |  |  |
| Banks - 0.1%  |  |  |
|  AIB Group PLC 6.25% (Reg. S) (c)(f)  | 1235000  | 1257920  |
|  Banco Bilbao Vizcaya Argentaria SA 5.875% (Reg. S) (c)(f)  | 1200000  | 1226487  |
|  Bank of Nova Scotia:  |  |  |
|  3 month U.S. LIBOR + 2.640% 6.5671% (c)(e)(f)  | 19859000  | 18550710  |
|  4.9% (c)(f)  | 9500000  | 9161275  |
|  Barclays PLC:  |  |  |
|  5.875% (Reg. S) (c)(f)  | 1150000  | 1279304  |
|  8.875% (c)(f)  | 500000  | 618763  |
|  BNP Paribas SA 6.625% (Reg. S) (c)(f)  | 1485000  | 1447522  |
|  HSBC Holdings PLC 6.375% (c)(f)  | 1270000  | 1223542  |
|  Lloyds Banking Group PLC 5.125% (c)(f)  | 200000  | 222655  |
|  Societe Generale 7.875% (Reg. S) (c)(f)  | 740000  | 754716  |
|  |  | 35742894  |
| Capital Markets - 0.0%  |  |  |
|  Credit Suisse Group AG 7.5% (Reg. S) (c)(f)  | 4925000  | 4235686  |
| Consumer Finance - 0.0%  |  |  |
|  Ally Financial, Inc. 4.7% (c)(f)  | 2600000  | 1888688  |
| Insurance - 0.0%  |  |  |
|  QBE Insurance Group Ltd. 5.25% (Reg. S) (c)(f)  | 4750000  | 4142832  |
|  TOTAL FINANCIALS  |  | 46010100  |
| HEALTH CARE - 0.0%  |  |  |
| Pharmaceuticals - 0.0%  |  |  |
|  Bayer AG 2.375% 11/12/79 (Reg. S) (c)  | 7300000  | 7013046  |
| INDUSTRIALS - 0.0%  |  |  |
| Road & Rail - 0.0%  |  |  |
|  National Express Group PLC 4.25% (Reg. S) (c)(f)  | 570000  | 578908  |
| REAL ESTATE - 0.1%  |  |  |
| Real Estate Management & Development - 0.1%  |  |  |
|  Aroundtown SA 3.375% (Reg. S) (c)(f)  | 3900000  | 2198467  |
|  AT Securities BV 5.25% (Reg. S) (c)(f)  | 4750000  | 2722368  |
|  Citycon Oyj 4.496% (Reg. S) (c)(f)  | 850000  | 573002  |
|  CPI Property Group SA 3.75% (Reg. S) (c)(f)  | 2370000  | 1281962  |
|  Grand City Properties SA 1.5% (Reg. S) (c)(f)  | 4300000  | 2001353  |
|  Heimstaden Bostad AB:  |  |  |
|  3.248% (Reg. S) (c)(f)  | 3735000  | 3094389  |
|  3.625% (Reg. S) (c)(f)  | 195000  | 129538  |
|  Samhallsbyggnadsbolaget I Norden AB 2.624% (Reg. S) (c)(f)  | 1385000  | 593364  |
|  |  | 12594443  |
| UTILITIES - 0.0%  |  |  |
| Electric Utilities - 0.0%  |  |  |
|  Electricite de France SA 5.625% (Reg. S) (c)(f)  | 6300000  | 6049113  |
|  SSE PLC:  |  |  |
|  3.74% (Reg. S) (c)(f)  | 1135000  | 1269575  |
|  4% (Reg. S) (c)(f)  | 1500000  | 1458736  |
|  |  | 8777424  |
| Multi-Utilities - 0.0%  |  |  |
|  ELM BV for Firmenich International SA 3.75% (Reg. S) (c)(f)  | 520000  | 520357  |
|  Veolia Environnement SA 2% (Reg. S) (c)(f)  | 2300000  | 1958686  |
|  |  | 2479043  |
|  TOTAL UTILITIES  |  | 11256467  |
| <br> **TOTAL PREFERRED SECURITIES** <br> (Cost $120,473,849)  |  | <br> **92483789**  |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **Money Market Funds - 6.7%**  | &nbsp;&nbsp; **Money Market Funds - 6.7%**  | &nbsp;&nbsp; **Money Market Funds - 6.7%**  |
|  | Shares  | Value ($) <br>|
|  Fidelity Cash Central Fund 3.86% (t)  | 3068547249  | 3069160959  |
|  Fidelity Investments Money Market Government Portfolio Institutional Class 3.60% (s)(u)  | 657682487  | 657682487  |
| <br> **TOTAL MONEY MARKET FUNDS** <br> (Cost $3,726,843,407)  |  | **3726843446**  |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp; **Purchased Swaptions - 0.0%**  | &nbsp;&nbsp; **Purchased Swaptions - 0.0%**  | &nbsp;&nbsp; **Purchased Swaptions - 0.0%**  | &nbsp;&nbsp; **Purchased Swaptions - 0.0%**  | &nbsp;&nbsp; **Purchased Swaptions - 0.0%**  |
|  | Expiration <br> Date  | Notional <br> Amount (a)  | Notional <br> 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  |  | 5000000  | 211308  |
|  Option with an exercise rate of 4.875% on a credit default swap with Goldman Sachs Bank U.S.A. to buy protection on the 5-Year iTraxx Europe Crossover Series 38 Index expiring December 2027, paying 5% quarterly.  | 1/18/23  | EUR  | 10400000  | 121433  |
|  Option with an exercise rate of 5.25% on a credit default swap with Goldman Sachs Bank U.S.A. to buy protection on the 5-Year iTraxx Europe Crossover Series 38 Index expiring December 2027, paying 5% quarterly.  | 1/18/23  | EUR  | 10550000  | 77486  |
|  Option with an exercise rate of 6.50% on a credit default swap with BNP Paribas SA to buy protection on the 5-Year iTraxx Europe Crossover Series 38 Index expiring December 2027, paying 5% quarterly.  | 12/21/22  | EUR  | 13350000  | 5678  |
| TOTAL PUT OPTIONS  |  |  |  | 204597  |
| 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  |  | 5000000  | 214144  |
| **TOTAL PURCHASED SWAPTIONS** <br> (Cost $1,046,037)  |  |  |  | <br> **630049**  |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 114.9%** <br> (Cost $70,000,528,732) <br>| <br>**64031532930**  |
| **NET OTHER ASSETS (LIABILITIES) - (14.9)%**  | **(8320233510)**  |
| **NET ASSETS - 100.0%**  | **55711299420**  |

---

---

| | | |
|:---|:---|:---|
| **TBA Sale Commitments**  | **TBA Sale Commitments**  | **TBA Sale Commitments**  |
|  | Principal <br> Amount (a)  | Value ($)  |
| Ginnie Mae  |  |  |
|  2% 12/1/52  | (14500000)  | (12312063)  |
|  2% 12/1/52  | (76550000)  | (64999194)  |
|  2% 12/1/52  | (54225000)  | (46042865)  |
|  2% 12/1/52  | (67300000)  | (57144948)  |
|  2% 12/1/52  | (21750000)  | (18468092)  |
|  2% 12/1/52  | (7250000)  | (6156031)  |
|  2% 12/1/52  | (6375000)  | (5413062)  |
|  2% 12/1/52  | (14500000)  | (12312062)  |
|  2% 12/1/52  | (110700000)  | (93996222)  |
|  2% 12/1/52  | (15000000)  | (12736616)  |
|  2% 12/1/52  | (36900000)  | (31332074)  |
|  2% 12/1/52  | (10600000)  | (9000542)  |
|  2% 12/1/52  | (49200000)  | (41776099)  |
|  2% 12/1/52  | (7175000)  | (6092348)  |
|  2% 12/1/52  | (36575000)  | (31056114)  |
|  2% 12/1/52  | (41850000)  | (35535157)  |
|  2% 12/1/52  | (9000000)  | (7641969)  |
|  2.5% 12/1/52  | (8100000)  | (7106750)  |
|  2.5% 12/1/52  | (40300000)  | (35358277)  |
|  2.5% 12/1/52  | (81100000)  | (71155242)  |
|  2.5% 12/1/52  | (81050000)  | (71111373)  |
|  2.5% 12/1/52  | (40300000)  | (35358277)  |
|  2.5% 12/1/52  | (16250000)  | (14257370)  |
|  2.5% 12/1/52  | (16250000)  | (14257370)  |
|  2.5% 12/1/52  | (8100000)  | (7106750)  |
|  2.5% 12/1/52  | (5000000)  | (4386883)  |
|  2.5% 12/1/52  | (7900000)  | (6931275)  |
|  2.5% 12/1/52  | (50550000)  | (44351387)  |
|  2.5% 12/1/52  | (16350000)  | (14345107)  |
|  2.5% 12/1/52  | (81350000)  | (71374586)  |
|  2.5% 12/1/52  | (51050000)  | (44790075)  |
|  2.5% 12/1/52  | (8000000)  | (7019013)  |
|  3% 12/1/52  | (22350000)  | (20158261)  |
|  3% 12/1/52  | (108150000)  | (97544335)  |
|  3% 12/1/52  | (13350000)  | (12040840)  |
|  3% 12/1/52  | (64900000)  | (58535620)  |
|  3.5% 12/1/52  | (89350000)  | (82891308)  |
|  3.5% 12/1/52  | (8000000)  | (7421718)  |
| TOTAL GINNIE MAE  |  | (1219517275)  |
| Uniform Mortgage Backed Securities  |  |  |
|  1.5% 12/1/37  | (13000000)  | (11361841)  |
|  1.5% 12/1/37  | (51950000)  | (45403666)  |
|  1.5% 12/1/37  | (3350000)  | (2927859)  |
|  1.5% 12/1/37  | (13450000)  | (11755136)  |
|  1.5% 12/1/52  | (2500000)  | (1942003)  |
|  1.5% 12/1/52  | (30900000)  | (24003157)  |
|  1.5% 12/1/52  | (162900000)  | (126540915)  |
|  1.5% 12/1/52  | (24500000)  | (19031629)  |
|  2% 12/1/37  | (29200000)  | (26230728)  |
|  2% 12/1/37  | (9350000)  | (8399223)  |
|  2% 12/1/37  | (60150000)  | (54033503)  |
|  2% 12/1/37  | (100250000)  | (90055838)  |
|  2% 12/1/37  | (15550000)  | (13968761)  |
|  2% 12/1/37  | (30000000)  | (26949378)  |
|  2% 12/1/37  | (4700000)  | (4222069)  |
|  2% 12/1/37  | (3000000)  | (2694938)  |
|  2% 12/1/52  | (11700000)  | (9622519)  |
|  2% 12/1/52  | (108100000)  | (88905494)  |
|  2% 12/1/52  | (23350000)  | (19203916)  |
|  2% 12/1/52  | (216250000)  | (177852109)  |
|  2% 12/1/52  | (5850000)  | (4811259)  |
|  2% 12/1/52  | (54050000)  | (44452747)  |
|  2% 12/1/52  | (5850000)  | (4811259)  |
|  2% 12/1/52  | (1150000)  | (945803)  |
|  2% 12/1/52  | (54000000)  | (44411625)  |
|  2% 12/1/52  | (10850000)  | (8923447)  |
|  2% 12/1/52  | (5850000)  | (4811259)  |
|  2% 12/1/52  | (23550000)  | (19368403)  |
|  2% 12/1/52  | (54050000)  | (44452747)  |
|  2% 12/1/52  | (217600000)  | (178962400)  |
|  2% 12/1/52  | (217600000)  | (178962400)  |
|  2% 12/1/52  | (179425000)  | (147565848)  |
|  2% 12/1/52  | (23550000)  | (19368403)  |
|  2% 12/1/52  | (20150000)  | (16572116)  |
|  2% 12/1/52  | (15000000)  | (12336563)  |
|  2% 12/1/52  | (11650000)  | (9581397)  |
|  2% 12/1/52  | (107600000)  | (88494275)  |
|  2% 12/1/52  | (8600000)  | (7072963)  |
|  2% 12/1/52  | (31975000)  | (26297439)  |
|  2% 12/1/52  | (2200000)  | (1809363)  |
|  2% 12/1/52  | (1400000)  | (1151413)  |
|  2.5% 12/1/37  | (4600000)  | (4248531)  |
|  2.5% 12/1/37  | (9850000)  | (9097399)  |
|  2.5% 12/1/37  | (7600000)  | (7019313)  |
|  2.5% 12/1/37  | (7600000)  | (7019313)  |
|  2.5% 12/1/37  | (9850000)  | (9097399)  |
|  2.5% 12/1/37  | (5200000)  | (4802688)  |
|  2.5% 12/1/37  | (2750000)  | (2539883)  |
|  2.5% 12/1/37  | (7050000)  | (6511336)  |
|  2.5% 12/1/52  | (21800000)  | (18628780)  |
|  2.5% 12/1/52  | (7250000)  | (6195351)  |
|  2.5% 12/1/52  | (161100000)  | (137664976)  |
|  2.5% 12/1/52  | (53700000)  | (45888325)  |
|  2.5% 12/1/52  | (50500000)  | (43153826)  |
|  2.5% 12/1/52  | (53700000)  | (45888325)  |
|  2.5% 12/1/52  | (54550000)  | (46614677)  |
|  2.5% 12/1/52  | (7250000)  | (6195351)  |
|  2.5% 12/1/52  | (8000000)  | (6836250)  |
|  2.5% 12/1/52  | (5000000)  | (4272656)  |
|  2.5% 12/1/52  | (4600000)  | (3930844)  |
|  2.5% 12/1/52  | (28600000)  | (24439592)  |
|  3% 12/1/52  | (29700000)  | (26291462)  |
|  3% 12/1/52  | (37800000)  | (33461860)  |
|  3% 12/1/52  | (19900000)  | (17616165)  |
|  3% 12/1/52  | (2650000)  | (2345871)  |
|  3% 12/1/52  | (39800000)  | (35232329)  |
|  3% 12/1/52  | (5300000)  | (4691742)  |
|  3.5% 12/1/52  | (3650000)  | (3344313)  |
|  3.5% 12/1/52  | (31700000)  | (29045125)  |
|  3.5% 12/1/52  | (9800000)  | (8979250)  |
|  3.5% 12/1/52  | (19500000)  | (17866875)  |
|  4.5% 12/1/52  | (13250000)  | (12898054)  |
|  4.5% 12/1/52  | (61600000)  | (59963781)  |
|  5% 12/1/52  | (1400000)  | (1393874)  |
|  5% 12/1/52  | (7800000)  | (7765871)  |
|  5% 12/1/52  | (200000)  | (199125)  |
|  5% 12/1/52  | (1200000)  | (1194749)  |
|  5% 12/1/52  | (2000000)  | (1991249)  |
|  5% 12/1/52  | (4950000)  | (4928341)  |
|  5% 12/1/52  | (3500000)  | (3484686)  |
|  5% 12/1/52  | (7900000)  | (7865434)  |
|  5% 12/1/52  | (200000)  | (199125)  |
|  5% 12/1/52  | (1300000)  | (1294312)  |
|  5% 12/1/52  | (19600000)  | (19514240)  |
|  5% 12/1/52  | (3650000)  | (3634029)  |
|  5% 12/1/52  | (13850000)  | (13789399)  |
|  5% 12/1/52  | (17525000)  | (17448319)  |
|  5% 12/1/52  | (1400000)  | (1393874)  |
|  5% 12/1/52  | (2075000)  | (2065921)  |
|  5% 12/1/52  | (29900000)  | (29769173)  |
|  5% 12/1/52  | (4800000)  | (4778998)  |
|  5.5% 12/1/52  | (42150000)  | (42630771)  |
|  5.5% 12/1/52  | (5800000)  | (5866156)  |
|  5.5% 12/1/52  | (1650000)  | (1668820)  |
|  5.5% 12/1/52  | (10450000)  | (10569195)  |
|  6% 12/1/52  | (22200000)  | (22709907)  |
|  6% 12/1/52  | (3625000)  | (3708262)  |
|  6% 12/1/52  | (4750000)  | (4859102)  |
|  6% 12/1/52  | (750000)  | (767227)  |
|  6% 12/1/52  | (4325000)  | (4424340)  |
|  6% 12/1/52  | (26150000)  | (26750634)  |
| TOTAL UNIFORM MORTGAGE BACKED SECURITIES  |  | (2568714586)  |
| **TOTAL TBA SALE COMMITMENTS** <br> (Proceeds $3,735,345,489)  |  | <br> **(3788231861)**  |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp; **Futures Contracts**  | &nbsp;&nbsp; **Futures Contracts**  | &nbsp;&nbsp; **Futures Contracts**  | &nbsp;&nbsp; **Futures Contracts**  | &nbsp;&nbsp; **Futures Contracts**  | &nbsp;&nbsp; **Futures Contracts**  |
|  | Number <br> of contracts  | Expiration <br> Date  | Notional <br> Amount ($) <br>| Value ($) <br>| Unrealized <br> Appreciation/ <br> (Depreciation) ($) <br>|
| Purchased  |  |  |  |  |  |
| Bond Index Contracts  |  |  |  |  |  |
| ASX 10 Year Treasury Bond Index Contracts (Australia)  | 21  | Dec 2022  | 1719851  | 7693  | 7693  |
| Eurex Euro-Bund Contracts (Germany)  | 51  | Dec 2022  | 7476586  | (42709)  | (42709)  |
| Eurex Euro-Buxl 30 Year Bond Contracts (Germany)  | 10  | Dec 2022  | 1647270  | 90907  | 90907  |
| TME 10 Year Canadian Note Contracts (Canada)  | 96  | Mar 2023  | 8973750  | 55286  | 55286  |
| **TOTAL BOND INDEX CONTRACTS**  |  |  |  |  | 111177  |
| Treasury Contracts  |  |  |  |  |  |
| CBOT 2-Year U.S. Treasury Note Contracts (United States)  | 2508  | Mar 2023  | 515041313  | 1422848  | 1422848  |
| CBOT 5-Year U.S. Treasury Note Contracts (United States)  | 1689  | Mar 2023  | 183375258  | 1105016  | 1105016  |
| CBOT Long Term U.S. Treasury Bond Contracts (United States)  | 244  | Mar 2023  | 30988000  | 395912  | 395912  |
| **TOTAL TREASURY CONTRACTS**  |  |  |  |  | 2923776  |
| TOTAL PURCHASED  |  |  |  |  | 3034953  |
| Sold  |  |  |  |  |  |
| Bond Index Contracts  |  |  |  |  |  |
| Eurex Euro-Bobl Contracts (Germany)  | 67  | Dec 2022  | 8368516  | 126346  | 126346  |
| ICE Long Gilt Contracts (United Kingdom)  | 111  | Mar 2023  | 14045851  | 113939  | 113939  |
| **TOTAL BOND INDEX CONTRACTS**  |  |  |  |  | 240285  |
| Treasury Contracts  |  |  |  |  |  |
| CBOT 10-Year U.S. Treasury Note Contracts (United States)  | 2664  | Mar 2023  | 302364000  | (2417591)  | (2417591)  |
| CBOT Long Term U.S. Treasury Bond Contracts (United States)  | 4275  | Mar 2023  | 542925000  | (6184597)  | (6184597)  |
| **TOTAL TREASURY CONTRACTS**  |  |  |  |  | (8602188)  |
| TOTAL SOLD  |  |  |  |  | (8361903)  |
| **TOTAL FUTURES CONTRACTS**  |  |  |  |  | **(5326950)**  |
| The notional amount of futures purchased as a percentage of Net Assets is 1.3%  | The notional amount of futures purchased as a percentage of Net Assets is 1.3%  | The notional amount of futures purchased as a percentage of Net Assets is 1.3%  | The notional amount of futures purchased as a percentage of Net Assets is 1.3%  | The notional amount of futures purchased as a percentage of Net Assets is 1.3%  | The notional amount of futures purchased as a percentage of Net Assets is 1.3%  |
| The notional amount of futures sold as a percentage of Net Assets is 1.5%  | The notional amount of futures sold as a percentage of Net Assets is 1.5%  | The notional amount of futures sold as a percentage of Net Assets is 1.5%  | The notional amount of futures sold as a percentage of Net Assets is 1.5%  | The notional amount of futures sold as a percentage of Net Assets is 1.5%  | The notional amount of futures sold as a percentage of Net Assets is 1.5%  |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Forward Foreign Currency Contracts**  | **Forward Foreign Currency Contracts**  | **Forward Foreign Currency Contracts**  | **Forward Foreign Currency Contracts**  | **Forward Foreign Currency Contracts**  | **Forward Foreign Currency Contracts**  | **Forward Foreign Currency Contracts**  |
| Currency <br> Purchased  | Currency <br> Purchased  | Currency <br> Sold  | Currency <br> Sold  | Counterparty  | Settlement <br> Date  | Unrealized <br> Appreciation/ <br> (Depreciation) ($)  |
| USD  | 36931  | CAD  | 50000  | JPMorgan Chase Bank, N.A.  | 12/02/22  | (240)  |
| EUR  | 1183000  | USD  | 1213463  | Bank of America, N.A.  | 12/08/22  | 18265  |
| EUR  | 262000  | USD  | 272242  | Goldman Sachs Bank USA  | 12/08/22  | 550  |
| EUR  | 285000  | USD  | 295145  | JPMorgan Chase Bank, N.A.  | 12/08/22  | 1594  |
| EUR  | 681000  | USD  | 706540  | JPMorgan Chase Bank, N.A.  | 12/08/22  | 2510  |
| GBP  | 485000  | USD  | 583256  | Brown Brothers Harriman & Co  | 12/08/22  | 1438  |
| USD  | 140418  | AUD  | 207000  | BNP Paribas S.A.  | 12/08/22  | (123)  |
| USD  | 111533  | CAD  | 151000  | JPMorgan Chase Bank, N.A.  | 12/08/22  | (736)  |
| USD  | 114459  | CAD  | 152000  | State Street Bank and Trust Co  | 12/08/22  | 1447  |
| USD  | 1715970  | EUR  | 1666000  | BNP Paribas S.A.  | 12/08/22  | (18653)  |
| USD  | 127703105  | EUR  | 123124000  | BNP Paribas S.A.  | 12/08/22  | (492373)  |
| USD  | 296897  | EUR  | 287000  | HSBC Bank  | 12/08/22  | (1924)  |
| USD  | 159793  | EUR  | 154000  | State Street Bank and Trust Co  | 12/08/22  | (550)  |
| USD  | 234314  | GBP  | 197000  | Bank of America, N.A.  | 12/08/22  | (3180)  |
| USD  | 150222  | GBP  | 127000  | Bank of America, N.A.  | 12/08/22  | (2884)  |
| USD  | 32209  | GBP  | 27000  | Brown Brothers Harriman & Co  | 12/08/22  | (341)  |
| USD  | 571394  | GBP  | 480000  | JPMorgan Chase Bank, N.A.  | 12/08/22  | (7272)  |
| USD  | 76099062  | GBP  | 63998000  | Royal Bank of Canada  | 12/08/22  | (1054022)  |
| **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS**  | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS**  | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS**  | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS**  | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS**  |  | **(1556494)**  |
| Unrealized Appreciation  | Unrealized Appreciation  | Unrealized Appreciation  |  |  |  | 25804  |
| Unrealized Depreciation  | Unrealized Depreciation  | Unrealized Depreciation  |  |  |  | (1582298)  |

---

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Credit Default Swaps**  | **Credit Default Swaps**  | **Credit Default Swaps**  | **Credit Default Swaps**  | **Credit Default Swaps**  | **Credit Default Swaps**  | **Credit Default Swaps**  | **Credit Default Swaps**  | **Credit Default Swaps**  | **Credit Default Swaps**  |
| Underlying Reference  | Maturity <br> Date  | Clearinghouse / <br> Counterparty  | Fixed <br> Payment <br> Received/ <br> (Paid)  | Payment <br> Frequency  | Notional <br> Amount <sup>(1)</sup>  | Notional <br> Amount <sup>(1)</sup>  | Value ($)  | Upfront <br> Premium <br> Received/ <br> (Paid) ($)  | Unrealized <br> Appreciation/ <br> (Depreciation) ($)  |
| Buy Protection  |  |  |  |  |  |  |  |  |  |
| CMBX N.A. AAA Index Series 13  | Dec 2072  | Citigroup Global Markets Ltd.  | (0.5%)  | Monthly  |  | 4420000  | 60468  | (10727)  | 49741  |
| CMBX N.A. AAA Index Series 13  | Dec 2072  | Citigroup Global Markets Ltd.  | (0.5%)  | Monthly  |  | 9790000  | 133933  | (33277)  | 100656  |
| CMBX N.A. AAA Index Series 13  | Dec 2072  | Citigroup Global Markets Ltd.  | (0.5%)  | Monthly  |  | 8230000  | 112591  | (25196)  | 87395  |
| CMBX N.A. AAA Index Series 13  | Dec 2072  | Citigroup Global Markets Ltd.  | (0.5%)  | Monthly  |  | 9050000  | 123809  | (133237)  | (9428)  |
| CMBX N.A. AAA Index Series 13  | Dec 2072  | Citigroup Global Markets Ltd.  | (0.5%)  | Monthly  |  | 37230000  | 509329  | (508897)  | 432  |
| CMBX N.A. AAA Index Series 13  | Dec 2072  | Citigroup Global Markets Ltd.  | (0.5%)  | Monthly  |  | 1200000  | 16417  | (13598)  | 2819  |
| CMBX N.A. AAA Index Series 13  | Dec 2072  | Citigroup Global Markets Ltd.  | (0.5%)  | Monthly  |  | 12820000  | 175385  | (118477)  | 56908  |
| CMBX N.A. AAA Index Series 13  | Dec 2072  | Citigroup Global Markets Ltd.  | (0.5%)  | Monthly  |  | 13750000  | 188108  | (119298)  | 68810  |
| CMBX N.A. AAA Index Series 13  | Dec 2072  | Citigroup Global Markets Ltd.  | (0.5%)  | Monthly  |  | 16080000  | 219984  | (178017)  | 41967  |
| CMBX N.A. AAA Index Series 13  | Dec 2072  | Citigroup Global Markets Ltd.  | (0.5%)  | Monthly  |  | 9440000  | 129145  | (84660)  | 44485  |
| CMBX N.A. AAA Index Series 13  | Dec 2072  | Citigroup Global Markets Ltd.  | (0.5%)  | Monthly  |  | 10240000  | 140089  | 9548  | 149637  |
| CMBX N.A. AAA Index Series 13  | Dec 2072  | Citigroup Global Markets Ltd.  | (0.5%)  | Monthly  |  | 7870000  | 107666  | (162774)  | (55108)  |
| CMBX N.A. AAA Index Series 13  | Dec 2072  | Goldman Sachs & Co. LLC  | (0.5%)  | Monthly  |  | 14210000  | 194401  | (21202)  | 173199  |
| CMBX N.A. AAA Index Series 13  | Dec 2072  | Goldman Sachs & Co. LLC  | (0.5%)  | Monthly  |  | 19780000  | 270602  | (235767)  | 34835  |
| CMBX N.A. AAA Index Series 13  | Dec 2072  | Goldman Sachs & Co. LLC  | (0.5%)  | Monthly  |  | 29060000  | 397558  | (558466)  | (160908)  |
| CMBX N.A. AAA Index Series 13  | Dec 2072  | Goldman Sachs & Co. LLC  | (0.5%)  | Monthly  |  | 2160000  | 29550  | (41347)  | (11797)  |
| CMBX N.A. AAA Index Series 13  | Dec 2072  | Goldman Sachs & Co. LLC  | (0.5%)  | Monthly  |  | 6530000  | 89334  | (152516)  | (63182)  |
| CMBX N.A. AAA Index Series 13  | Dec 2072  | Goldman Sachs & Co. LLC  | (0.5%)  | Monthly  |  | 10290000  | 140773  | (47557)  | 93216  |
| CMBX N.A. AAA Index Series 13  | Dec 2072  | JPMorgan Securities LLC  | (0.5%)  | Monthly  |  | 7890000  | 107940  | (31540)  | 76400  |
| CMBX N.A. AAA Index Series 13  | Dec 2072  | JPMorgan Securities LLC  | (0.5%)  | Monthly  |  | 3680000  | 50345  | (51547)  | (1202)  |
| CMBX N.A. AAA Index Series 13  | Dec 2072  | JPMorgan Securities LLC  | (0.5%)  | Monthly  |  | 3530000  | 48293  | (20349)  | 27944  |
| CMBX N.A. AAA Index Series 13  | Dec 2072  | Morgan Stanley Capital Services LLC  | (0.5%)  | Monthly  |  | 19040000  | 260479  | (313934)  | (53455)  |
| CMBX N.A. AAA Index Series 13  | Dec 2072  | Morgan Stanley Capital Services LLC  | (0.5%)  | Monthly  |  | 11990000  | 164030  | (204108)  | (40078)  |
| CMBX N.A. AAA Index Series 13  | Dec 2072  | Morgan Stanley Capital Services LLC  | (0.5%)  | Monthly  |  | 8500000  | 116285  | (118566)  | (2281)  |
| CMBX N.A. AAA Index Series 13  | Dec 2072  | Morgan Stanley Capital Services LLC  | (0.5%)  | Monthly  |  | 14860000  | 203294  | (116182)  | 87112  |
| CMBX N.A. AAA Index Series 13  | Dec 2072  | Morgan Stanley Capital Services LLC  | (0.5%)  | Monthly  |  | 17700000  | 242147  | (121652)  | 120495  |
| CMBX N.A. AAA Index Series 13  | Dec 2072  | Morgan Stanley Capital Services LLC  | (0.5%)  | Monthly  |  | 22250000  | 304393  | (159163)  | 145230  |
| CMBX N.A. AAA Index Series 13  | Dec 2072  | Morgan Stanley Capital Services LLC  | (0.5%)  | Monthly  |  | 13870000  | 189750  | (131556)  | 58194  |
| CMBX N.A. AAA Index Series 13  | Dec 2072  | Morgan Stanley Capital Services LLC  | (0.5%)  | Monthly  |  | 13920000  | 190434  | (189013)  | 1421  |
| CMBX N.A. AAA Index Series 13  | Dec 2072  | Morgan Stanley Capital Services LLC  | (0.5%)  | Monthly  |  | 2100000  | 28729  | (11323)  | 17406  |
| CMBX N.A. AAA Index Series 13  | Dec 2072  | Morgan Stanley Capital Services LLC  | (0.5%)  | Monthly  |  | 15830000  | 216564  | (111004)  | 105560  |
| Intesa Sanpaolo SpA  | Dec 2027  | JPMorgan Chase Bank, N.A.  | (1%)  | Quarterly  | EUR  | 2700000  | 4095  | (16764)  | (12669)  |
| **TOTAL CREDIT DEFAULT SWAPS**  |  |  |  |  |  |  | **5165920**  | **(4032166)**  | **1133754**  |

---

(1)Notional amount is stated in U.S. Dollars unless otherwise noted.

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Interest Rate Swaps**  | **Interest Rate Swaps**  | **Interest Rate Swaps**  | **Interest Rate Swaps**  | **Interest Rate Swaps**  | **Interest Rate Swaps**  | **Interest Rate Swaps**  | **Interest Rate Swaps**  | **Interest Rate Swaps**  |
| Payment Received  | Payment <br> Frequency  | Payment Paid  | Payment <br> Frequency <br> Clearinghouse / <br> Counterparty <sup>(1)</sup>  | Maturity <br> Date  | Notional <br> Amount <sup>(2)</sup>  | Value ($) <br>| Upfront <br> Premium <br> Received/ <br> (Paid) ($) <sup>(3)</sup>  | Unrealized <br> Appreciation/ <br> (Depreciation) ($) <br>|
| 3.25%  | Annual  | U.S. Secured Overnight Fin. Rate (SOFR) Index <sup>(4)</sup>  | Annual <br> LCH  | Dec 2024  | 69233000  | (629014)  | 0  | (629014)  |
| 2.75%  | Annual  | U.S. Secured Overnight Fin. Rate (SOFR) Index <sup>(4)</sup>  | Annual <br> LCH  | Dec 2027  | 132698000  | (1094563)  | 0  | (1094563)  |
| 2.5%  | Annual  | U.S. Secured Overnight Fin. Rate (SOFR) Index <sup>(4)</sup>  | Annual <br> LCH  | Dec 2029  | 30020000  | (275639)  | 0  | (275639)  |
| 2.5%  | Annual  | U.S. Secured Overnight Fin. Rate (SOFR) Index <sup>(4)</sup>  | Annual <br> LCH  | Dec 2052  | 2809000  | (84521)  | 0  | (84521)  |
| **TOTAL INTEREST RATE SWAPS**  |  |  |  |  |  | **(2083737)**  | **0**  | **(2083737)**  |

---

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

(2)Notional amount is stated in U.S. Dollars unless otherwise noted.

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

(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 $4,072,588,332 or 7.3% of net assets.

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

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

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

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

(g) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $27,642,206.

(h) Security or a portion of the security was pledged to cover margin requirements for centrally cleared OTC swaps. At period end, the value of securities pledged amounted to $6,896,298.

(i) Security or a portion of the security has been segregated as collateral for mortgage-backed or asset-backed securities purchased on a delayed delivery or when-issued basis. At period end, the value of securities pledged amounted to $245,876.

(j) Security or a portion of the security has been segregated as collateral for open forward foreign currency contracts, options and bi-lateral over the counter (OTC) swaps. At period end, the value of securities pledged amounted to $923,775.

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

(l) Level 3 security

(m) 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.

(n) 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.

(o) Principal Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans.

(p) 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.

(q) Non-income producing

(r) 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.

(s) Affiliated Fund

(t) 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.

(u) 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, <br> beginning <br> of period ($)  | Purchases ($)  | Sales <br> Proceeds ($)  | Dividend <br> Income ($)  | Realized <br> Gain (loss) ($)  | Change in <br> Unrealized <br> appreciation <br> (depreciation) ($)  | Value, <br> end <br> of period ($)  | % ownership, <br> end <br> of period  |
|  Fidelity Cash Central Fund 3.86%  | 2087883413  | 5491573886  | 4510296340  | 33509727  | -  | -  | 3069160959  | 6.3%  |
| Total  | 2087883413  | 5491573886  | 4510296340  | 33509727  | -  | -  | 3069160959  |  |

---

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

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, <br> beginning <br> of period ($)  | Purchases ($)  | Sales <br> Proceeds ($)  | Dividend <br> Income ($)  | Realized <br> Gain (loss) ($)  | Change in <br> Unrealized <br> appreciation <br> (depreciation) ($)  | Value, <br> end <br> of period ($)  |
|  Fidelity Advisor Corporate Bond Fund Class Z  | 1962450369  | 765620423  | -  | 40613041  | -  | (138506517)  | 2589564275  |
|  Fidelity Advisor Floating Rate High Income Fund Class Z  | 1161511158  | 32668500  | 50000000  | 32668194  | (2870142)  | (8740974)  | 1132568542  |
|  Fidelity Advisor Global Credit Fund Class Z  | 27309796  | 385576  | -  | 385576  | -  | (2551026)  | 25144346  |
|  Fidelity Advisor Government Income Fund Class Z  | 486033097  | 155095601  | -  | 5095601  | -  | (33565286)  | 607563412  |
|  Fidelity Advisor New Markets Income Fund Class Z  | 1136460210  | 47701183  | 50000000  | 27700653  | (16472756)  | (55382212)  | 1062306425  |
|  Fidelity Advisor Real Estate Income Fund Class Z  | 872216700  | 33748917  | -  | 33748917  | -  | (88750953)  | 817214664  |
|  Fidelity Inflation-Protected Bond Index Fund  | 346815177  | -  | 250000000  | -  | 3757064  | (13554137)  | 87018104  |
|  Fidelity Intermediate Bond Fund  | 1232640527  | 374223927  | 1525644500  | 11968959  | (165331676)  | 84111722  | -  |
|  Fidelity Investments Money Market Government Portfolio Institutional Class 3.60%  | 282906171  | 4332044705  | 3957268389  | 6133856  | -  | -  | 657682487  |
|  Fidelity SAI High Income Fund  | 449376981  | 9981156  | 50000000  | 9980990  | (5988452)  | (17926297)  | 385443388  |
|  Fidelity SAI Long-Term Treasury Bond Index Fund  | 2003319872  | 505290494  | -  | 30427935  | -  | (291267527)  | 2217342839  |
|  Fidelity SAI Total Bond Fund  | 12737043861  | 1928402562  | 50000000  | 228409985  | (5889048)  | (717021938)  | 13892535437  |
|  Fidelity SAI U.S. Treasury Bond Index Fund  | 3311176093  | 1032600874  | 25000000  | 32605243  | (4011419)  | (193637773)  | 4121127775  |
|  Fidelity Short-Term Treasury Bond Index Fund  | -  | 751548939  | -  | 1552505  | -  | 821647  | 752370586  |
|  Fidelity Sustainability Bond Index Fund  | 23260844  | 243352  | -  | 243358  | -  | (1178347)  | 22325849  |
|  Fidelity U.S. Bond Index Fund  | 1933864841  | 1257420540  | -  | 32420296  | -  | (141849683)  | 3049435698  |
|  | 27966385697  | 11226976749  | 5957912889  | 493955109  | (196806429)  | (1618999301)  | 31419643827  |

---

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

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, 2022, 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:**  | **Valuation Inputs at Reporting Date:**  | **Valuation Inputs at Reporting Date:**  | **Valuation Inputs at Reporting Date:**  | **Valuation Inputs at Reporting Date:**  |
| **Description**  | **Total ($)**  | **Level 1 ($)**  | **Level 2 ($)**  | **Level 3 ($)**  |
| **<u>Investments in Securities:</u>**  |  |  |  |  |
|  **Equities:**  |  |  |  |  |
| Energy  | 298209  | -  | -  | 298209  |
|  Corporate Bonds  | 5700485780  | -  | 5700485780  | -  |
|  U.S. Government and Government Agency Obligations  | 6027270799  | -  | 6027270799  | -  |
|  U.S. Government Agency - Mortgage Securities  | 14203235306  | -  | 14203235306  | -  |
|  Asset-Backed Securities  | 1076135881  | -  | 1075393595  | 742286  |
|  Collateralized Mortgage Obligations  | 554719505  | -  | 554719449  | 56  |
|  Commercial Mortgage Securities  | 1761851354  | -  | 1761851354  | -  |
|  Municipal Securities  | 47248474  | -  | 47248474  | -  |
|  Foreign Government and Government Agency Obligations  | 66547934  | -  | 66547934  | -  |
|  Bank Loan Obligations  | 238126  | -  | 238126  | -  |
|  Bank Notes  | 11582938  | -  | 11582938  | -  |
|  Fixed-Income Funds  | 30761961340  | 30761961340  | -  | -  |
|  Preferred Securities  | 92483789  | -  | 92483789  | -  |
|  Money Market Funds  | 3726843446  | 3726843446  | -  | -  |
|  Purchased Swaptions  | 630049  | -  | 630049  | -  |
| **Total Investments in Securities:**  | 64031532930  | 34488804786  | 29541687593  | 1040551  |
| **<u>Derivative Instruments:</u>**  |  |  |  |  |
|  **Assets**  |  |  |  |  |
| Futures Contracts  | 3317947  | 3317947  | -  | -  |
| Forward Foreign Currency Contracts  | 25804  | -  | 25804  | -  |
| Swaps  | 5165920  | -  | 5165920  | -  |
| Total Assets  | 8509671  | 3317947  | 5191724  | -  |
|  **Liabilities**  |  |  |  |  |
| Futures Contracts  | (8644897)  | (8644897)  | -  | -  |
| Forward Foreign Currency Contracts  | (1582298)  | -  | (1582298)  | -  |
| Swaps  | (2083737)  | -  | (2083737)  | -  |
| Total Liabilities  | (12310932)  | (8644897)  | (3666035)  | -  |
| **Total Derivative Instruments:**  | (3801261)  | (5326950)  | 1525689  | -  |
| **<u>Other Financial Instruments:</u>**  |  |  |  |  |
|  TBA Sale Commitments  | (3788231861)  | -  | (3788231861)  | -  |
| **Total Other Financial Instruments:**  | (3788231861)  | -  | (3788231861)  | -  |

---

**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, 2022. 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** <br>| **Value**  | **Value**  |
|  | **Asset ($)**  | **Liability ($)**  |
| **Credit Risk**  |  |  |
| Purchased Swaptions (a)  | 204597  | 0  |
| Swaps (b)  | 5165920  | 0  |
| **Total Credit Risk**  | 5370517  | 0  |
| **Foreign Exchange Risk**  |  |  |
| Forward Foreign Currency Contracts (c)  | 25804  | (1582298)  |
| **Total Foreign Exchange Risk**  | 25804  | (1582298)  |
| **Interest Rate Risk**  |  |  |
| Futures Contracts (d)  | 3317947  | (8644897)  |
| Purchased Swaptions (a)  | 425452  | 0  |
| Swaps (e)  | 0  | (2083737)  |
| **Total Interest Rate Risk**  | 3743399  | (10728634)  |
| **Total Value of Derivatives**  | 9139720  | (12310932)  |

---

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

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

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

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

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

**Financial Statements** **(Unaudited)**

---

| | | |
|:---|:---|:---|
| **Statement of Assets and Liabilities**  | **Statement of Assets and Liabilities**  | **Statement of Assets and Liabilities**  |
|  |  | **November 30, 2022** <br> **(Unaudited)**  |
| **Assets**  |  |  |
| Investment in securities, at value - See accompanying schedule:  |  |  |
|  Unaffiliated issuers (cost $31,410,635,977)  | $29542728144  |  |
|  Fidelity Central Funds (cost $3,069,160,920)  | 3069160959  |  |
|  Other affiliated issuers (cost $35,520,731,835)  | 31419643827  |  |
|  Total Investment in Securities (cost $70,000,528,732)  |  | $64031532930  |
|  Cash  |  | 3689489  |
|  Foreign currency held at value (cost $860,279)  |  | 861764  |
| Receivable for investments sold  |  | 24866094  |
|  Receivable for TBA sale commitments  |  | 3735345489  |
|  Unrealized appreciation on forward foreign currency contracts  |  | 25804  |
|  Receivable for fund shares sold  |  | 55722491  |
|  Dividends receivable  |  | 86485106  |
|  Interest receivable  |  | 115345814  |
|  Distributions receivable from Fidelity Central Funds  |  | 9864712  |
|  Receivable for daily variation margin on centrally cleared OTC swaps  |  | 1428353  |
|  Bi-lateral OTC swaps, at value  |  | 5165920  |
|  Prepaid expenses  |  | 38026  |
| Other receivables  |  | 2220  |
| **Total assets**  |  | 68070374212  |
| **Liabilities**  |  |  |
|  Payable for investments purchased  |  |  |
|  Regular delivery  | $436563668  |  |
|  Delayed delivery  | 8096405759  |  |
|  TBA sale commitments, at value  | 3788231861  |  |
|  Unrealized depreciation on forward foreign currency contracts  | 1582298  |  |
|  Payable for fund shares redeemed  | 29140005  |  |
|  Distributions payable  | 2901274  |  |
|  Accrued management fee  | 1993802  |  |
|  Payable for daily variation margin on futures contracts  | 1468675  |  |
|  Other payables and accrued expenses  | 787450  |  |
| **Total Liabilities**  |  | 12359074792  |
| **Net Assets**  |  | $55711299420  |
|  Net Assets consist of:  |  |  |
|  Paid in capital  |  | $62881416273  |
|  Total accumulated earnings (loss)  |  | (7170116853)  |
|  **Net Assets**  |  | $55711299420  |
|  **Net Asset Value** , offering price and redemption price per share ($55,711,299,420 ÷ 6,145,989,612 shares)  |  | $9.06  |

---

---

| | | |
|:---|:---|:---|
| **Statement of Operations**  | **Statement of Operations**  | **Statement of Operations**  |
|  |  | **Six months ended** <br> **November 30, 2022** <br> **(Unaudited)**  |
|  **Investment Income**  |  |  |
| Dividends:  |  |  |
| Unaffiliated issuers  |  | $2303374  |
| Affiliated issuers  |  | $478928478  |
| Interest  |  | 312711571  |
| Income from Fidelity Central Funds  |  | 33509727  |
| **Total Income**  |  | 827453150  |
|  **Expenses**  |  |  |
| Management fee  | $75970022  |  |
| Custodian fees and expenses  | 170656  |  |
| Independent trustees' fees and expenses  | 173529  |  |
| Registration fees  | 1299432  |  |
| Audit  | 43702  |  |
| Legal  | 38702  |  |
| Miscellaneous  | 158976  |  |
| Total expenses before reductions  | 77855019  |  |
| Expense reductions  | (65170542)  |  |
| Total expenses after reductions  |  | 12684477  |
| **Net Investment income (loss)**  |  | 814768673  |
| **Realized and Unrealized Gain (Loss)**  |  |  |
| Net realized gain (loss) on:  |  |  |
| Investment Securities:  |  |  |
| Unaffiliated issuers  | (536932754)  |  |
| Affiliated issuers  | (196806429)  |  |
| Forward foreign currency contracts  | 2349058  |  |
| Foreign currency transactions  | 2884740  |  |
| Futures contracts  | 28377020  |  |
| Swaps  | (9375372)  |  |
| Capital gain distributions from underlying funds:  |  |  |
| Affiliated issuers  | 15026631  |  |
| Total net realized gain (loss)  |  | (694477106)  |
| Change in net unrealized appreciation (depreciation) on:  |  |  |
| Investment Securities:  |  |  |
| Unaffiliated issuers  | (665660766)  |  |
| Affiliated issuers  | (1618999298)  |  |
| Forward foreign currency contracts  | 2430446  |  |
| Assets and liabilities in foreign currencies  | 127616  |  |
| Futures contracts  | (9075731)  |  |
| Swaps  | 1689949  |  |
| TBA Sale commitments  | (44513717)  |  |
| Total change in net unrealized appreciation (depreciation)  |  | (2334001501)  |
| **Net gain (loss)**  |  | (3028478607)  |
| **Net increase (decrease) in net assets resulting from operations**  |  | $(2213709934)  |

---

---

| | | |
|:---|:---|:---|
| **Statement of Changes in Net Assets**  | **Statement of Changes in Net Assets**  | **Statement of Changes in Net Assets**  |
|  | **Six months ended** <br> **November 30, 2022** <br> **(Unaudited)**  | **Year ended** <br> **May 31, 2022**  |
| **Increase (Decrease) in Net Assets**  |  |  |
| Operations  |  |  |
| &nbsp;&nbsp; Net investment income (loss)  | $814768673  | $936004097  |
| &nbsp;&nbsp; Net realized gain (loss)  | (694477106) <br>| (329816418) <br>|
| &nbsp;&nbsp; Change in net unrealized appreciation (depreciation)  | (2334001501)  | (4340140512) <br>|
| &nbsp;&nbsp; **Net increase (decrease) in net assets resulting from operations**  | (2213709934) <br>| (3733952833) <br>|
| Distributions to shareholders  | (806985631) <br>| (979531888) <br>|
| Share transactions  |  |  |
| &nbsp;&nbsp; Proceeds from sales of shares  | 14712983586  | 25793224401  |
| Reinvestment of distributions  | 792632491 <br>| 966120654 <br>|
| &nbsp;&nbsp; Cost of shares redeemed  | (4664635311)  | (10110382903)  |
| **Net increase (decrease) in net assets resulting from share transactions**  | 10840980766 <br>| 16648962152 <br>|
| &nbsp;&nbsp; **Total increase (decrease) in net assets**  | 7820285201 <br>| 11935477431 <br>|
| **Net Assets**  |  |  |
| &nbsp;&nbsp; Beginning of period  | 47891014219  | 35955536788 <br>|
| &nbsp;&nbsp; End of period  | $55711299420  | $47891014219  |
| **Other Information**  |  |  |
| Shares  |  |  |
| &nbsp;&nbsp; Sold  | 1580970677  | 2488475540  |
| Issued in reinvestment of distributions  | 86738809 <br>| 93428870 <br>|
| &nbsp;&nbsp; Redeemed  | (509642638)  | (985283953)  |
| &nbsp;&nbsp; Net increase (decrease)  | 1158066848  | 1596620457  |

---

**Financial Highlights** 

 **Strategic Advisers® Fidelity® Core Income Fund** <br>

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Six months ended** <br> **(Unaudited) November 30, 2022**  | **Years ended May 31, 2022**  | **2021**  | **2020**  | **2019** <sup>A</sup>  |
| **Selected Per-Share Data**  |  |  |  |  |  |
| Net asset value, beginning of period  | $9.60  | $10.60  | $10.95  | $10.47  | $10.00  |
| Income from Investment Operations  |  |  |  |  |  |
| Net investment income (loss) <sup>B,C</sup>  | .143  | .222  | .239  | .302  | .209  |
| Net realized and unrealized gain (loss)  | (.541)  | (.993)  | .106  | .613  | .445  |
| Total from investment operations  | (.398)  | (.771)  | .345  | .915  | .654  |
| Distributions from net investment income  | (.142)  | (.223)  | (.245)  | (.299)  | (.182)  |
| Distributions from net realized gain  | -  | (.006)  | (.450)  | (.136)  | (.002)  |
| Total distributions  | (.142)  | (.229)  | (.695)  | (.435)  | (.184)  |
| Net asset value, end of period  | $9.06  | $9.60  | $10.60  | $10.95  | $10.47  |
| **Total Return** <sup>D,E</sup>  | (4.15)%  | (7.41)%  | 3.10%  | 8.94%  | 6.60%  |
| **Ratios to Average Net Assets** <sup>C,F,G</sup>  |  |  |  |  |  |
| Expenses before reductions  | .30% <sup>H</sup>  | .30%  | .31%  | .32%  | .37% <sup>H</sup>  |
| Expenses net of fee waivers, if any  | .05% <sup>H</sup>  | .05%  | .06%  | .07%  | .12% <sup>H</sup>  |
| Expenses net of all reductions  | .05% <sup>H</sup>  | .05%  | .06%  | .07%  | .12% <sup>H</sup>  |
| Net investment income (loss)  | 3.11% <sup>H</sup>  | 2.14%  | 2.18%  | 2.83%  | 3.30% <sup>H</sup>  |
| **Supplemental Data**  |  |  |  |  |  |
| Net assets, end of period (000 omitted)  | $55711299  | $47891014  | $35955537  | $24774315  | $16953257  |
| Portfolio turnover rate <sup>I</sup>  | 203% <sup>H</sup>  | 201%  | 191%  | 247%  | 124% <sup>H,J</sup>  |

---

<sup>A</sup> *For the period October 16, 2018 (commencement of operations) through May 31, 2019.*

<sup>B</sup> *Calculated based on average shares outstanding during the period.*

<sup>C</sup> *Net 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.*

<sup>D</sup> *Total returns for periods of less than one year are not annualized.*

<sup>E</sup> *Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.*

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

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

<sup>H</sup> *Annualized.*

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

<sup>J</sup> *Portfolio turnover rate excludes securities received or delivered in-kind.*

**Notes to Financial Statements** **(Unaudited)**

For the period ended November 30, 2022

**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 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 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.

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 equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.

The U.S. dollar value of 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.

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, 2022 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. Certain distributions received by the Fund represent a return of capital or capital gain. The Fund determines the components of these distributions subsequent to the ex-dividend date, based upon receipt of tax filings or other correspondence relating to the underlying investment. These distributions are recorded as a reduction of cost of investments and/or as a realized gain. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.

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

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

---

| | |
|:---|:---|
| **Strategic Advisers Fidelity Core Income Fund**  | $2220  |

---

**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, foreign currency transactions, swaps, market discount, deferred Trustee compensation, capital loss carryforwards and losses deferred due to wash sales, future contracts, and excise tax regulations.

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

---

| | |
|:---|:---|
| **Gross unrealized appreciation**  | $327507621  |
| **Gross unrealized depreciation**  | <u>(6414906931)</u>  |
| **Net unrealized appreciation (depreciation)**  | <u>$(6087399310)</u>  |
| **Tax cost**  | <u>$70058212441</u>  |

---

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**  | <u>$(389500709)</u>  |
| **Total capital loss carryforward**  | <u>$(389500709)</u>  |

---

**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. <br>|
| 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. <br>|
| 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. 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 OTC swaps may be mitigated by the protection provided by the clearinghouse.

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

**Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives.** The table below, which reflects the impacts of derivatives on the financial performance, 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  | $(817322)  | $(109929)  |
| Swaps  | <u>(554351)</u>  | <u>569595</u>  |
| **Total Credit Risk**  | <u>(1371673)</u>  | <u>459666</u>  |
| **Foreign Exchange Risk**  |  |  |
| Forward Foreign Currency Contracts  | <u>2349058</u>  | <u>2430446</u>  |
| **Total Foreign Exchange Risk**  | <u>2349058</u>  | <u>2430446</u>  |
| **Interest Rate Risk**  |  |  |
| Futures Contracts  | 28377020  | (9075731)  |
| Purchased Options  | -  | (3548)  |
| Swaps  | <u>(8821021)</u>  | <u>1120354</u>  |
| **Total Interest Rate Risk**  | <u>19555999</u>  | <u>(7958925)</u>  |
| **Totals**  | <u>$20533384</u>  | <u>$(5068813)</u>  |

---

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 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 on the Statement of Assets and Liabilities. When an option is exercised, the cost or proceeds of the underlying instrument purchased or sold is adjusted by the amount of the premium. When an option is closed, 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 OTC swap is a transaction executed between a fund and a dealer counterparty, then cleared by a futures commission merchant (FCM) through a clearinghouse. Once cleared, the clearinghouse serves as a central counterparty, with whom a fund exchanges cash flows for the life of the transaction, similar to transactions in futures contracts.

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

Centrally cleared OTC swaps require a fund to deposit either cash or securities (initial margin) with the FCM, at the instruction of and for the benefit of the clearinghouse. 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 OTC swaps are marked-to-market daily and subsequent payments (variation margin) are made or received depending on the daily fluctuations in the value of the swaps and are recorded as unrealized appreciation or (depreciation). These daily payments, if any, are included in receivable or payable for daily variation margin on centrally cleared OTC swaps in the Statement of Assets and Liabilities. Any premiums for centrally cleared OTC swaps are recorded periodically throughout the term of the swap to variation margin and included in 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 OTC swaps, payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gain or (loss). Some swaps may be terminated prior to the effective date and realize a gain or loss upon termination. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on swaps during the period is presented in the Statement of Operations.

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

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| | | |
|:---|:---|:---|
|  | **Purchases ($)**  | **Sales ($)**  |
| **Strategic Advisers Fidelity Core Income Fund**  | 45259270404  | 37149594264  |

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**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.

**Affiliated Exchanges In-Kind.** During the period, the Fund redeemed shares of Fidelity Intermediate Bond Fund in exchange for investments and cash valued at $1,495,644,500. The Fund had a net realized loss of $161,321,472 on the Fund's redemptions of Fidelity Intermediate Bond 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.

**Prior Fiscal Year Reallocation of Underlying Fund Investments.** During the prior period, the investment adviser reallocated investments of the Funds. This involved taxable redemptions of the Funds' interest in Fidelity High Income Fund for investments and cash and non-taxable exchanges of those investments and cash for shares of Fidelity SAI High Income Fund which is an affiliated investment companies managed by FMR. The Fund redeemed 37,999,996 shares of Fidelity High Income Fund in exchange for 32,919,997 shares of Fidelity SAI High Income Fund with a value of $312,739,970. The Fund had a net realized gain of $2,108,542 on the Fund's redemptions of Fidelity High Income Fund. The Fund recognized a net gain on the exchanges for federal income tax purposes.

**6. Investments in Fidelity Central Funds.**

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

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

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| | | | | |
|:---|:---|:---|:---|:---|
| **Fidelity Central Fund**  | **Investment Manager**  | **Investment Objective**  | **Investment Practices**  | **Expense Ratio** <sup>A</sup>  |
| 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%  |

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<sup>A</sup> *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.

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| | |
|:---|:---|
|  | **Amount**  |
| **Strategic Advisers Fidelity Core Income Fund**  | $43923  |

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**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, 2025. During the period, this waiver reduced the Fund's management fee by $65,170,542.

**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.

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| | |
|:---|:---|
| **Fund**  | **Strategic Advisers Fidelity Core Income Fund**  |
| Fidelity Corporate Bond Fund  | 61%  |
| Fidelity Global Credit Fund  | 29%  |
| Fidelity Government Income Fund  | 18%  |
| Fidelity New Markets Income Fund  | 25%  |
| Fidelity Real Estate Income Fund  | 16%  |
| Fidelity SAI High Income Fund  | 25%  |
| Fidelity SAI Long-Term Treasury Bond Index Fund  | 79%  |
| Fidelity SAI Total Bond Fund  | 72%  |
| Fidelity SAI U.S. Treasury Bond Index Fund  | 36%  |
| Fidelity Short-Term Treasury Bond Index Fund  | 18%  |

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**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.

**Shareholder Expense Example**

As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (June 1, 2022 to November 30, 2022). <br>

***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.

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| | | | | |
|:---|:---|:---|:---|:---|
|  | **Annualized Expense Ratio-** <sup>A</sup>  | **Beginning Account Value June 1, 2022**  | **Ending Account Value November 30, 2022**  | **Expenses Paid During Period-** <sup>C</sup> **June 1, 2022 to November 30, 2022**  |
| **Strategic Advisers® Fidelity® Core Income Fund**  | .05%  |  |  |  |
| **Actual**  |  | $1000  | $958.50  | $.25  |
| **Hypothetical-** <sup>B</sup>  |  | $1000  | $1024.82  | $.25  |

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*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/ 365 (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), votes at a meeting on the renewal of the 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 2022 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 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.

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

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

<u>Resources Dedicated to Investment Management and Support Services</u> . 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.

<u>Shareholder and Administrative Services</u> . 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.

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

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

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

The following charts considered by the Board show, over the one- and three-year periods ended December 31, 2021, the cumulative total returns of the fund and the cumulative total returns of an appropriate benchmark index and peer group. The box within each chart shows the 25th percentile return (75% beaten, top of box) and the 75th percentile return (25% beaten, bottom of box) of the peer group. Returns shown above the box are in the first quartile and returns shown below the box are in the fourth quartile. The percentage beaten number noted below each chart corresponds to the percentile box and represents the percentage of funds in the peer group whose performance was equal to or lower than that of the fund.

![](img87991_6.jpg)

The Board reviewed the fund's relative investment performance against its peer group and noted that the performance of the fund was in the first quartile for the one- and three-year periods ended December 31, 2021. The Board also noted that the fund had out-performed 87% and 90% of its peers for the one- and three-year periods, respectively, ended December 31, 2021. The Board also noted that the investment performance of the fund was higher than its benchmark for the one- and three-year periods shown.

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.

<u>Management Fee</u> . The Board considered two proprietary management fee comparisons. The group of Lipper funds used by the Board for management fee comparisons is referred to as the "Total Mapped Group." The Total Mapped Group comparison focuses on a fund's standing in terms of gross management fees before expense reimbursements or caps relative to the total universe of funds with comparable investment mandates, regardless of whether their management fee structures also are comparable. Funds with comparable investment mandates offer exposure to similar types of securities. Funds with comparable management fee structures have similar management fee contractual arrangements (e.g., flat rate charged for advisory services, all-inclusive fee rate, etc.). "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a hypothetical TMG % of 20% would mean that 80% of the funds in the Total Mapped Group had higher, and 20% had lower, management fees than the fund. The fund's actual TMG %s and the number of funds in the Total Mapped Group are in the chart below. The Board also compared the fund's management fee to an "Asset-Size Peer Group" (ASPG), which is a sub-set of the competitive funds in the Total Mapped Group. The ASPG comparison focuses on a fund's standing relative to non-Fidelity funds within the Total Mapped Group that are similar in size and management fee structure. For example, if a fund is in the first quartile of the ASPG, the fund's management fee ranks in the least expensive or lowest 25% of funds in the ASPG. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee structures, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee rate ranked, is also included in the chart and was considered by the Board.

![](img87991_7.jpg)

The Board noted that the fund's management fee rate ranked below the median of its Total Mapped Group and below the median of its ASPG for the 12-month period ended December 31, 2021. The Board also noted that, after funding the new mandate with FIAM, it is expected that the fund's management fee rate will continue to rank below its competitive median.

Based on its review, the Board concluded that the fund's management fee bears a reasonable relationship to the services rendered.

<u>Total Expenses.</u> In its review of the fund's total expenses, the Board considered the fund's management fee rate as well as other fund expenses, as applicable, such as expenses from holding Fidelity and non-Fidelity mutual funds and ETFs, pricing and bookkeeping fees, and custodial, legal, and audit fees. The Board also noted the effects of any waivers and reimbursements on fees and expenses. The Board further noted that the fund's total expenses were compared to those funds and classes in the Total Mapped Group (used by the Board for management fee comparisons) that have similar sales load structures. This comparison, which is a proxy for comparing funds by distribution channel, showed the fund's position relative to competitive funds with similar sales load structures. The Board noted that the fund's total expense ratio ranked below the fund's similar sales load structure group competitive median for the 12-month period ended December 31, 2021.

<u>Fees Charged to Other Clients</u> . The Board also considered fee structures paid by the Investment Advisers' other clients, such as other funds advised or subadvised by the Investment Advisers, pension plan clients, and other institutional clients with similar investment mandates.

Based on its review of the total expense ratios and fees charged to other clients of Strategic Advisers or its affiliates and the Sub-Adviser, the Board concluded that the total expenses of the fund were reasonable in light of the services that the fund and its shareholders receive and the other factors considered.

**Costs of the Services and Profitability** . The Board considered information regarding the revenues earned and the expenses incurred by Strategic Advisers and its affiliates in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and servicing the fund's shareholders.

On an annual basis, Strategic Advisers presents to the Board information about the profitability of its relationships with the fund. Strategic Advisers calculates profitability information for the fund using a series of detailed revenue and cost allocation methodologies. The Board reviews any significant changes from the prior year's methodologies. Strategic Advisers noted that, to the extent possible, it employs the same corporate reporting of revenues and expenses as those used by other Fidelity funds.

A public accounting firm has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. The engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's mutual fund business, and completion of agreed-upon procedures in respect of the mathematical accuracy of certain fund profitability information and its conformity to established allocation methodologies. After considering the reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.

The Board also reviewed Fidelity's non-fund businesses and potential indirect benefits such businesses may have received as a result of their association with Fidelity's mutual fund business (i.e., fall-out benefits) as well as cases where Fidelity's affiliates may benefit from the fund's business. The Board noted that changes to fall-out benefits year-over-year reflect business developments at Fidelity's various businesses.

The Board considered the costs of the services provided by and the profits realized, if any, by Strategic Advisers and its affiliates in connection with the operation of the fund and was satisfied that the profitability was not excessive.

The Board also considered information regarding the profitability of the Sub-Adviser's relationship with the fund and the potential fall-out benefits, if any, that may accrue to the Sub-Adviser as a result of its relationship with the fund. The Board considered profitability information provided by the Sub-Adviser in light of the nature of the relationship between Strategic Advisers and the Sub-Adviser with respect to the negotiation of sub-advisory fees.

**Possible Economies of Scale.** The Board considered whether there have been economies of scale in respect of the management of the Strategic Advisers funds, whether the Strategic Advisers funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale as assets grow through increased services to the fund, through waivers or reimbursements, or through fee or expense ratio reductions. The Board considered that the fund's Sub-Advisory Agreement provides for breakpoints as the fund's assets grow and noted that any potential decline in sub-advisory fees under such contract would accrue directly to the fund. The Board also took Strategic Advisers' management fee waiver into consideration.

**Conclusion** . Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee arrangements bear a reasonable relationship to the services rendered and that the fund's Advisory Contracts should be renewed 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.

![](img87991_2.jpg) <br>

1.9887940.104 COI-SANN-0123

**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, 2022**

![](img87987_1.jpg)

![](img87987_2.jpg)

**Contents**

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| |
|:---|
| **[Investment Summary](#Sec_InvestmentSummary3058)** |
| **[Schedule of Investments](#Sec_ScheduleOfInvestments3058)** |
| **[Financial Statements](#Sec_FinancialStatements3058)** |
| **[Notes to Financial Statements](#Sec_Notes to Financial Statements)** |
| **[Shareholder Expense Example](#Sec_Shareholder Expense Example)** |
| **[Board Approval of Amended Sub-Advisory Agreement](#Sec_Board Approval of Investment Advisory Contracts and Management Fees)** |

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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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All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company.© 2023 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.*

**Investment Summary November 30, 2022 (Unaudited)**

The information in the following table is based on the direct Investments of the Fund.

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| | |
|:---|:---|
| &nbsp;&nbsp; **Top Holdings (% of Fund's net assets)**  | &nbsp;&nbsp; **Top Holdings (% of Fund's net assets)**  |
| (excluding cash equivalents)  | (excluding cash equivalents)  |
| Vanguard Short-Term Tax-Exempt Fund Admiral Shares  | 5.7  |
| JPMorgan Ultra-Short Municipal Fund Class A  | 4.8  |
| Federated Hermes Municipal Ultrashort Fund Institutional Shares  | 1.4  |
| Main Street Natural Gas, Inc.  | 1.3  |
| Illinois General Obligation  | 1.3  |
| Chicago O'Hare International Airport Rev.  | 1.2  |
| Port Arthur Navigation Dist. Environmental Facilities Rev.  | 1.1  |
| Pennsylvania Econ Dev Financing Authority Solid Waste Disposal Rev.  | 1.1  |
| New York City Gen. Oblig.  | 1.0  |
| Black Belt Energy Gas District  | 1.0  |

---

---

| | |
|:---|:---|
| &nbsp;&nbsp; **Revenue Sources (% of Fund's net assets)**  | &nbsp;&nbsp; **Revenue Sources (% of Fund's net assets)**  |
| Transportation  | 11.8%  |
| General Obligations  | 11.2%  |
| Synthetics  | 9.8%  |
| Health Care  | 8.4%  |
| Other  | 6.8%  |
| Others (Individually Less Than 5%)  | 27.0%  |

---

---

| |
|:---|
| &nbsp;&nbsp; **Quality Diversification (% of Fund's net assets)**  |
| ![](img87987_5.jpg)  |
| 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.  |

---

---

| |
|:---|
| &nbsp;&nbsp; **Asset Allocation (% of Fund's net assets)**  |
| ![](img87987_6.jpg)  |

---

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

**Schedule of Investments November 30, 2022 (Unaudited)**

Showing Percentage of Net Assets

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **Municipal Bonds - 50.3%**  | &nbsp;&nbsp; **Municipal Bonds - 50.3%**  | &nbsp;&nbsp; **Municipal Bonds - 50.3%**  |
|  | Principal <br> Amount (a) <br>| Value ($) <br>|
| Alabama - 1.5%  |  |  |
|  Alabama State Corrections Institution Fin. Auth. Series 2022 A, 5% 7/1/23  | 7750000  | 7850333  |
|  Birmingham Arpt. Auth. Series 2020:  |  |  |
|  5% 7/1/24 (Build America Mutual Assurance Insured)  | 325000  | 335812  |
|  5% 7/1/25 (Build America Mutual Assurance Insured)  | 325000  | 341654  |
|  Black Belt Energy Gas District:  |  |  |
|  (Proj. No. 4) Series 2019 A, 4% 6/1/23  | 1750000  | 1752526  |
|  (Proj. No. 6) Series 2021 B:  |  |  |
|  4% 12/1/22 <br>| 500000  | 500000  |
|  4% 12/1/23 <br>| 1250000  | 1250638  |
|  4% 12/1/24 <br>| 1250000  | 1249322  |
|  (Proj. No.7) Series 2021 C1:  |  |  |
|  4% 12/1/22 <br>| 750000  | 750000  |
|  4% 12/1/24 <br>| 3000000  | 2998373  |
|  4% 12/1/25 <br>| 4000000  | 3989558  |
|  Bonds:  |  |  |
|  (Proj. No.7): <br>|  |  |
|  Series 2021 C1, 4%, tender 12/1/26 (b) <br>| 11350000  | 11236207  |
|  Series 2021 C2, SIFMA Municipal Swap Index + 0.350% 2.25%, tender 12/1/26 (b)(c) <br>| 2350000  | 2214229  |
|  Series 2018 A, 4%, tender 12/1/23 (b) <br>| 1800000  | 1802685  |
|  Series 2019 A, 4%, tender 12/1/25 (b) <br>| 3050000  | 3038044  |
|  Series 2022 D2, U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.400% 3.953%, tender 6/1/27 (b)(c) <br>| 5000000  | 4932957  |
|  Series 2021 A:  |  |  |
|  4% 12/1/22 <br>| 470000  | 470000  |
|  4% 6/1/23 <br>| 400000  | 400773  |
|  4% 12/1/23 <br>| 435000  | 436278  |
|  Series 2021 C1, 4% 12/1/23  | 790000  | 790557  |
|  Series 2022 E:  |  |  |
|  5% 6/1/23 <br>| 530000  | 534004  |
|  5% 6/1/24 <br>| 1790000  | 1823123  |
|  5% 6/1/25 <br>| 825000  | 848355  |
|  5% 6/1/26 <br>| 1140000  | 1180675  |
|  Chatom Indl. Dev. Board Gulf Opportunity Zone Series 2020, 5% 8/1/23 (Assured Guaranty Muni. Corp. Insured)  | 1350000  | 1368324  |
|  Health Care Auth. for Baptist Health Series 2006 B, 3.46%, tender 11/15/37 (b)  | 1225000  | 1225000  |
|  Mobile County Board of School Commissioners:  |  |  |
|  Series 2016 A:  |  |  |
|  5% 3/1/23 <br>| 20000  | 20115  |
|  5% 3/1/24 <br>| 25000  | 25682  |
|  5% 3/1/25 <br>| 100000  | 104834  |
|  Series 2016 B:  |  |  |
|  5% 3/1/23 <br>| 405000  | 407338  |
|  5% 3/1/24 <br>| 45000  | 46227  |
|  Mobile Indl. Dev. Board Poll. Cont. Rev. Bonds Series 2009 E, 1%, tender 6/26/25 (b)  | 600000  | 568106  |
|  Southeast Alabama Gas Supply District Bonds:  |  |  |
|  (Proj. No. 2) Series 2018 A, 4%, tender 6/1/24 (b)  | 3750000  | 3743506  |
|  Series 2018 A, 4%, tender 4/1/24 (b)  | 4000000  | 3995183  |
|  Southeast Energy Auth. Rev. Bonds:  |  |  |
|  (Proj. No. 1) Series 2021 A, 4% 10/1/23  | 425000  | 425426  |
|  (Proj. No. 2) Series 2021 B1:  |  |  |
|  4% 6/1/23 <br>| 1500000  | 1503339  |
|  4% 6/1/24 <br>| 1090000  | 1094280  |
|  4% 6/1/25 <br>| 300000  | 301339  |
|  Univ. of South Alabama Univ. Rev. Series 2021, 4% 4/1/26  | 500000  | 514124  |
|  TOTAL ALABAMA  |  | 66068926  |
| Alaska - 0.3%  |  |  |
|  Alaska Hsg. Fin. Corp. Series 2021 A:  |  |  |
|  3% 12/1/23  | 450000  | 451773  |
|  3% 6/1/24  | 400000  | 402230  |
|  Alaska Hsg. Fin. Corp. Mtg. Rev.:  |  |  |
|  Series 2020 A, 0.4% 12/1/22  | 750000  | 750000  |
|  Series 2022 A, 3% 6/1/51  | 545000  | 522219  |
|  Alaska Int'l. Arpts. Revs.:  |  |  |
|  Series 2016 C, 5% 10/1/23 (d)  | 425000  | 431199  |
|  Series 2021 C:  |  |  |
|  5% 10/1/23 (d) <br>| 2675000  | 2714016  |
|  5% 10/1/25 (d) <br>| 1980000  | 2064756  |
|  Alaska Muni. Bond Bank Series 2021 1, 5% 12/1/22  | 2190000  | 2190000  |
|  Northern Tobacco Securitization Corp. Tobacco Settlement Rev. Series 2021 A:  |  |  |
|  4% 6/1/23  | 1000000  | 1004487  |
|  5% 6/1/24  | 1000000  | 1022367  |
|  5% 6/1/25  | 715000  | 739054  |
|  5% 6/1/26  | 1000000  | 1042588  |
|  TOTAL ALASKA  |  | 13334689  |
| Arizona - 1.6%  |  |  |
|  Arizona Ctfs. of Prtn. Series 2019 A, 5% 10/1/24 (Escrowed to Maturity)  | 195000  | 203372  |
|  Arizona Health Facilities Auth. Rev.:  |  |  |
|  (Scottsdale Lincoln Hospitals Proj.) Series 2014 A:  |  |  |
|  5% 12/1/22 <br>| 15000  | 15000  |
|  5% 12/1/23 <br>| 20000  | 20426  |
|  5% 12/1/24 <br>| 45000  | 46796  |
|  5% 12/1/26 <br>| 110000  | 114009  |
|  Series 2015 A, 5% 1/1/23  | 160000  | 160315  |
|  Arizona Indl. Dev. Auth. Hosp. Rev.:  |  |  |
|  Series 2020 A:  |  |  |
|  5% 2/1/24 <br>| 600000  | 615170  |
|  5% 2/1/26 <br>| 750000  | 797526  |
|  Series 2021 A, 5% 2/1/23  | 1000000  | 1003891  |
|  Bullhead City Excise Taxes Series 2021 2, 0.75% 7/1/25  | 325000  | 300932  |
|  Chandler Indl. Dev. Auth. Indl. Dev. Rev. Bonds (Intel Corp. Proj.):  |  |  |
|  Series 2005, 2.4%, tender 8/14/23 (b)  | 5100000  | 5061654  |
|  Series 2007, 2.7%, tender 8/14/23 (b)(d)  | 8820000  | 8766377  |
|  Series 2019, 5%, tender 6/3/24 (b)(d)  | 11880000  | 12053642  |
|  Coconino County Poll. Cont. Corp. Rev. Bonds:  |  |  |
|  Series 2017 A, 1.875%, tender 3/31/23 (b)(d)  | 1145000  | 1140109  |
|  Series 2017 B, 1.65%, tender 3/31/23 (b)  | 1020000  | 1015196  |
|  Glendale Union School District 205 Series A:  |  |  |
|  5% 7/1/24 (Assured Guaranty Muni. Corp. Insured)  | 225000  | 233229  |
|  5% 7/1/25 (Assured Guaranty Muni. Corp. Insured)  | 225000  | 237391  |
|  Maricopa County Indl. Dev. Auth. Series 2019 A, 5% 9/1/23  | 365000  | 370927  |
|  Maricopa County Rev.:  |  |  |
|  Bonds Series C, 5%, tender 10/18/24 (b)  | 105000  | 109128  |
|  Series 2016 A:  |  |  |
|  4% 1/1/24 <br>| 115000  | 116566  |
|  5% 1/1/25 <br>| 105000  | 109612  |
|  Maricopa County Spl. Health Care District Gen. Oblig. Series 2021 D, 5% 7/1/25  | 1100000  | 1161985  |
|  Maricopa County Unified School District #41 Gilbert Series 2022 B, 5% 7/1/25  | 3740000  | 3959381  |
|  Phoenix Civic Impt. Board Arpt. Rev.:  |  |  |
|  Series 2017 A, 5% 7/1/24 (d)  | 1020000  | 1049622  |
|  Series 2017 D:  |  |  |
|  5% 7/1/24 <br>| 490000  | 506609  |
|  5% 7/1/25 <br>| 50000  | 52754  |
|  Series 2018, 5% 7/1/23 (d)  | 1100000  | 1112521  |
|  Series 2019 B, 5% 7/1/23 (d)  | 1000000  | 1011383  |
|  Phoenix Civic Impt. Corp. Wtr. Sys. Rev. Series 2014 B, 5% 7/1/27  | 400000  | 414314  |
|  Phoenix Indl. Solid Waste Disp. Rev. Bonds (Republic Svc., Inc. Proj.) Series 2013, 4.1%, tender 12/1/35 (b)(d)  | 26000000  | 26028514  |
|  Tucson Ctfs. of Prtn. Series 2015, 5% 7/1/23 (Assured Guaranty Muni. Corp. Insured)  | 200000  | 202752  |
|  Yavapai County Indl. Dev. Auth.:  |  |  |
|  Series 2016, 5% 8/1/23  | 275000  | 278642  |
|  Series 2019, 5% 8/1/23  | 355000  | 359701  |
|  Yuma Pledged Rev. Series 2021:  |  |  |
|  4% 7/1/24  | 300000  | 305797  |
|  4% 7/1/25  | 505000  | 520419  |
|  TOTAL ARIZONA  |  | 69455662  |
| Arkansas - 0.1%  |  |  |
|  Arkansas Dev. Fin. Auth. Multi-family Hsg. Rev. Bonds Series 2021, 1.25%, tender 12/1/23 (b)  | 5000000  | 4906627  |
|  Arkansas Dev. Fin. Auth. Pub. Safety Charges (Arkansas Division of Emergency Mgmt. Proj.) Series 2020, 5% 6/1/24  | 565000  | 583708  |
|  Batesville Pub. Facilities Board Series 2020, 5% 6/1/23  | 790000  | 796085  |
|  TOTAL ARKANSAS  |  | 6286420  |
| California - 2.8%  |  |  |
|  Bay Area Toll Auth. San Francisco Bay Toll Bridge Rev. Bonds:  |  |  |
|  Series 2017 G, 2%, tender 4/1/24 (b)  | 1120000  | 1096885  |
|  Series 2021 B, 0.280% x SIFMA Municipal Swap Index 2.18%, tender 4/1/24 (b)(c)  | 2500000  | 2502082  |
|  Series A, 2.95%, tender 4/1/26 (b)  | 110000  | 108882  |
|  Series B, 2.85%, tender 4/1/25 (b)  | 95000  | 94116  |
|  Burbank Glendale Pasadena Arpt. Auth. Rev. Series B, 5% 7/1/23 (d)  | 1290000  | 1304013  |
|  California Edl. Facilities Auth. Rev. Series 2022 A, 5% 12/1/22  | 200000  | 200000  |
|  California Gen. Oblig.:  |  |  |
|  Bonds Series 2013 E, SIFMA Municipal Swap Index + 0.430% 2.47%, tender 12/1/22 (b)(c)  | 1000000  | 1000000  |
|  Series 2015, 5% 3/1/23  | 310000  | 312084  |
|  Series 2021:  |  |  |
|  4% 12/1/22 <br>| 4150000  | 4150000  |
|  5% 12/1/22 <br>| 4000000  | 4000000  |
|  5% 12/1/23 <br>| 2000000  | 2051593  |
|  California Health Facilities Fing. Auth. Rev.:  |  |  |
|  Bonds Series 2021 A, 3%, tender 8/15/25 (b)  | 2665000  | 2662442  |
|  Series 2015, 5% 11/15/23  | 200000  | 204650  |
|  California Infrastructure and Econ. Dev. Bank Rev. Bonds Series 2021 B1, 0.39%, tender 1/1/24 (b)  | 1000000  | 975866  |
|  California Muni. Fin. Auth. Solid Waste Disp. Rev. Bonds:  |  |  |
|  (Republic Svcs., Inc. Proj.):  |  |  |
|  Series 2021 A, 3.875%, tender 4/3/23 (b)(d) <br>| 3800000  | 3805556  |
|  Series 2021 B, 2.35%, tender 1/17/23 (b)(d) <br>| 16800000  | 16778301  |
|  (Waste Mgmt., Inc. Proj.) Series 2017 A, 0.7%, tender 12/1/23 (b)(d)  | 1600000  | 1548882  |
|  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)  | 500000  | 513127  |
|  California Poll. Cont. Fing. Auth. Solid Waste Disp. Rev. Bonds (Republic Svcs., Inc. Proj.):  |  |  |
|  Series 2010 A, 4.1%, tender 2/1/23 (b)(d)(e)  | 2200000  | 2202486  |
|  Series 2017 A2, 3.875%, tender 1/17/23 (b)(d)(e)  | 3400000  | 3402119  |
|  California Pub. Fin. Auth. Rev. Series 2021 A:  |  |  |
|  4% 10/15/23  | 285000  | 287137  |
|  4% 10/15/24  | 380000  | 383511  |
|  California Pub. Works Board Lease Rev.:  |  |  |
|  (Various Cap. Projs.):  |  |  |
|  Series 2021 B, 5% 5/1/24 <br>| 1095000  | 1133480  |
|  Series 2022 C, 5% 8/1/23 <br>| 670000  | 681630  |
|  Series 2014 B, 5% 10/1/25  | 350000  | 365283  |
|  California Statewide Cmntys. Dev. Auth. Series 2021, 4% 5/15/23  | 1300000  | 1306839  |
|  California Statewide Cmntys. Dev. Auth. Rev. Series 2007:  |  |  |
|  2.75%, tender 7/1/40 (Assured Guaranty Muni. Corp. Insured) (b)  | 175000  | 175000  |
|  2.75%, tender 7/1/40 (Assured Guaranty Muni. Corp. Insured) (b)  | 9275000  | 9275000  |
|  2.75%, tender 7/1/41 (Assured Guaranty Muni. Corp. Insured) (b)  | 4525000  | 4525000  |
|  Cathedral City Redev. Agcy. (Merged Redev. Proj.) Series 2021 C, 4% 8/1/23  | 225000  | 226513  |
|  Golden State Tobacco Securitization Corp. Tobacco Settlement Rev.:  |  |  |
|  Series 2015 A, 5% 6/1/40 (Pre-Refunded to 6/1/25 @ 100)  | 2000000  | 2123264  |
|  Series 2017 A1, 5% 6/1/24 (Escrowed to Maturity)  | 25000  | 25917  |
|  Series A, 0% 6/1/24 (Escrowed to Maturity)  | 75000  | 72093  |
|  Long Beach Hbr. Rev. Series 2020 B, 5% 5/15/24 (d)  | 1475000  | 1515843  |
|  Los Angeles Dept. Arpt. Rev.:  |  |  |
|  Series 2015 D, 5% 5/15/25 (d)  | 1705000  | 1779693  |
|  Series 2016 B, 5% 5/15/26 (d)  | 135000  | 142441  |
|  Series 2017 A, 5% 5/15/24 (d)  | 430000  | 441907  |
|  Series 2017 B, 5% 5/15/23 (d)  | 800000  | 807418  |
|  Series 2018 D, 5% 5/15/24 (d)  | 1000000  | 1027834  |
|  Series 2019 A, 5% 5/15/24 (d)  | 375000  | 385384  |
|  Series 2019 D, 5% 5/15/24 (d)  | 415000  | 426491  |
|  Series 2019 E, 4% 5/15/24  | 200000  | 204091  |
|  Series 2020 C, 5% 5/15/24 (d)  | 250000  | 256923  |
|  Series 2021 A, 5% 5/15/27 (d)  | 1230000  | 1314989  |
|  Series 2022 C:  |  |  |
|  5% 5/15/24 (d) <br>| 965000  | 991721  |
|  5% 5/15/25 (d) <br>| 455000  | 474495  |
|  Metropolitan Wtr. District of Southern California Wtr. Rev. Bonds Series 2017 C, SIFMA Municipal Swap Index + 0.140% 2.04%, tender 5/21/24 (b)(c)  | 1000000  | 991933  |
|  Oakland Unified School District Alameda County Series 2013, 5.5% 8/1/23  | 10000  | 10188  |
|  Palomar Pomerado Health Care Dis:  |  |  |
|  Series 2006 A, 3.1%, tender 12/5/22 (Assured Guaranty Muni. Corp. Insured) (b)  | 4475000  | 4475000  |
|  Series 2006 B, 3.1%, tender 12/7/22 (Assured Guaranty Muni. Corp. Insured) (b)  | 4375000  | 4375000  |
|  Series 2006 C, 3.1%, tender 11/1/36 (Assured Guaranty Muni. Corp. Insured) (b)  | 200000  | 200000  |
|  Port of Oakland Rev.:  |  |  |
|  Series 2017 D, 5% 11/1/24 (d)  | 100000  | 103586  |
|  Series 2017:  |  |  |
|  5% 11/1/23 (d) <br>| 395000  | 402021  |
|  5% 11/1/23 (Escrowed to Maturity) (d) <br>| 105000  | 107201  |
|  Series 2021 H:  |  |  |
|  5% 5/1/23 (d) <br>| 5115000  | 5158406  |
|  5% 5/1/23 (Escrowed to Maturity) (d) <br>| 400000  | 404141  |
|  5% 5/1/24 (d) <br>| 865000  | 888335  |
|  5% 5/1/24 (Escrowed to Maturity) (d) <br>| 65000  | 67165  |
|  San Diego County Reg'l. Arpt. Auth. Arpt. Rev. Series 2020 C, 5% 7/1/23 (d)  | 545000  | 550606  |
|  San Francisco City & County Arpts. Commission Int'l. Arpt. Rev.:  |  |  |
|  Series 2013 A, 5% 5/1/23 (d)  | 705000  | 712153  |
|  Series 2016 A, 5% 5/1/23  | 225000  | 227376  |
|  Series 2018 A, 5% 5/1/23 (d)  | 400000  | 403726  |
|  Series 2019 A:  |  |  |
|  5% 1/1/23 (d) <br>| 1700000  | 1702490  |
|  5% 1/1/24 (d) <br>| 655000  | 666913  |
|  Series 2019 H:  |  |  |
|  5% 5/1/23 (d) <br>| 6970000  | 7033481  |
|  5% 5/1/25 (d) <br>| 680000  | 705169  |
|  Series 2022 A, 5% 5/1/26 (d)  | 2000000  | 2101200  |
|  San Jose Int. Arpt. Rev.:  |  |  |
|  Series 2014 A, 5% 3/1/23 (Escrowed to Maturity) (d)  | 1400000  | 1408712  |
|  Series 2017 B, 5% 3/1/23 (Escrowed to Maturity)  | 200000  | 201295  |
|  Series 2021 A, 5% 3/1/24 (d)  | 1000000  | 1020832  |
|  Series 2021 B, 5% 3/1/24  | 500000  | 514504  |
|  San Pablo Redev. Agcy. Series 2014 A, 5% 6/15/24 (Assured Guaranty Muni. Corp. Insured)  | 30000  | 31013  |
|  Southern California Pub. Pwr. Auth. Rev. Bonds Series 2020 C, 0.65%, tender 7/1/25 (b)  | 250000  | 233015  |
|  Vernon Elec. Sys. Rev.:  |  |  |
|  Series 2021 A, 5% 4/1/23  | 1500000  | 1507253  |
|  Series 2022 A, 5% 8/1/23  | 575000  | 580377  |
|  Washington Township Health Care District Rev. Series A, 5% 7/1/23  | 200000  | 202346  |
|  West Contra Costa Unified School District Series 2004 C, 0% 8/1/25 (Nat'l. Pub. Fin. Guarantee Corp. Insured)  | 260000  | 240267  |
|  Western Placer Unified School District Spl. Tax Series 2020, 2% 6/1/25  | 1400000  | 1339183  |
|  TOTAL CALIFORNIA  |  | 117827868  |
| Colorado - 1.1%  |  |  |
|  Adams & Weld Counties School District 27 Gen. Oblig. Series 2022, 5% 12/1/22  | 3100000  | 3100000  |
|  Colorado Bridge Enterprise Rev. Series 2017, 4% 6/30/24 (d)  | 1330000  | 1345371  |
|  Colorado Health Facilities Auth. Rev. Bonds:  |  |  |
|  Bonds:  |  |  |
|  Series 2016 C: <br>|  |  |
|  5%, tender 11/15/23 (b) <br>| 7145000  | 7275834  |
|  5%, tender 11/15/23 (b) <br>| 2570000  | 2622660  |
|  Series 2018 B, 5%, tender 11/20/25 (b) <br>| 660000  | 695414  |
|  Series 2019 B: <br>|  |  |
|  5%, tender 8/1/25 (b) <br>| 300000  | 308763  |
|  5%, tender 8/1/26 (b) <br>| 340000  | 354010  |
|  Series 2019 A, 5% 1/1/23  | 870000  | 871682  |
|  Series 2022 A, 5% 11/1/26  | 400000  | 423085  |
|  Colorado Hsg. & Fin. Auth.:  |  |  |
|  Series 2019 F, 4.25% 11/1/49  | 135000  | 135983  |
|  Series 2019 H, 4.25% 11/1/49  | 65000  | 65487  |
|  Colorado Reg'l. Trans. District (Denver Transit Partners Eagle P3 Proj.) Series 2020:  |  |  |
|  5% 1/15/24  | 750000  | 765349  |
|  5% 1/15/25  | 650000  | 665958  |
|  Denver City & County Arpt. Rev.:  |  |  |
|  Series 2012 A, 5% 11/15/23 (d)  | 250000  | 250345  |
|  Series 2013 B, 5% 11/15/24  | 250000  | 255329  |
|  Series 2016 A, 5% 11/15/23  | 300000  | 306518  |
|  Series 2017 A, 5% 11/15/23 (d)  | 3300000  | 3354817  |
|  Series 2018 A:  |  |  |
|  5% 12/1/23 (d) <br>| 250000  | 254340  |
|  5% 12/1/29 (d) <br>| 185000  | 199152  |
|  Series 2020 B1:  |  |  |
|  5% 11/15/23 (d) <br>| 935000  | 950531  |
|  5% 11/15/24 (d) <br>| 6775000  | 6988802  |
|  Series 2022 A:  |  |  |
|  5% 11/15/24 (d) <br>| 1000000  | 1031558  |
|  5% 11/15/25 (d) <br>| 1485000  | 1558336  |
|  Series 2022 C, 5% 11/15/26  | 800000  | 865017  |
|  Series 2022 D, 5% 11/15/24 (d)  | 4000000  | 4126230  |
|  Denver Convention Ctr. Hotel Auth. Series 2016, 5% 12/1/23  | 750000  | 756988  |
|  E-470 Pub. Hwy. Auth. Rev.:  |  |  |
|  Bonds Series 2021 B, U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.350% 2.903%, tender 9/1/24 (b)(c)  | 3250000  | 3217994  |
|  Series 2020 A:  |  |  |
|  5% 9/1/23 <br>| 275000  | 279568  |
|  5% 9/1/24 <br>| 450000  | 466762  |
|  5% 9/1/25 <br>| 300000  | 316938  |
|  Univ. of Colorado Enterprise Sys. Rev. Bonds:  |  |  |
|  Series 2019 C, 2%, tender 10/15/24 (b)  | 2500000  | 2446683  |
|  Series 2021 C3A, 2%, tender 10/15/25 (b)  | 645000  | 624787  |
|  Vauxmont Metropolitan District Series 2019:  |  |  |
|  5% 12/15/22 (Assured Guaranty Muni. Corp. Insured)  | 100000  | 100077  |
|  5% 12/15/23 (Assured Guaranty Muni. Corp. Insured)  | 120000  | 122572  |
|  TOTAL COLORADO  |  | 47102940  |
| Connecticut - 1.7%  |  |  |
|  Connecticut Gen. Oblig.:  |  |  |
|  Series 2013 A, 2.89% 3/1/25 (b)  | 510000  | 515849  |
|  Series 2015 A:  |  |  |
|  4% 3/15/23 <br>| 250000  | 251105  |
|  5% 3/15/23 <br>| 280000  | 282029  |
|  Series 2016 A, 5% 3/15/26  | 150000  | 160762  |
|  Series 2016 B, 5% 5/15/24  | 575000  | 594825  |
|  Series 2020 A, 5% 1/15/23  | 1740000  | 1745299  |
|  Series 2022 A, 3% 1/15/23  | 3755000  | 3757573  |
|  Series A:  |  |  |
|  4% 1/15/25 <br>| 3500000  | 3588303  |
|  5% 3/15/23 <br>| 690000  | 695000  |
|  Series C, 4% 6/1/24  | 525000  | 535974  |
|  Connecticut Health & Edl. Facilities Auth. Rev.:  |  |  |
|  Bonds:  |  |  |
|  Series 2010 A4, 1.1%, tender 2/11/25 (b) <br>| 5440000  | 5137842  |
|  Series 2014 A, 1.1%, tender 2/7/23 (b) <br>| 6025000  | 5999070  |
|  Series 2014 B, 1.8%, tender 7/1/24 (b) <br>| 545000  | 527766  |
|  Series 2015 A, 0.375%, tender 7/12/24 (b) <br>| 1525000  | 1446790  |
|  Series 2017 B, 0.55%, tender 7/3/23 (b) <br>| 6050000  | 5945436  |
|  Series X2, 0.25%, tender 2/9/24 (b) <br>| 11565000  | 11109309  |
|  Series 2013 N, 5% 7/1/24  | 100000  | 101528  |
|  Series 2014 A, 5% 7/1/27  | 390000  | 401343  |
|  Series 2019 A, 5% 7/1/26  | 260000  | 271219  |
|  Series 2020 K, 5% 7/1/23  | 250000  | 253179  |
|  Series 2022 M, 5% 7/1/26  | 200000  | 209450  |
|  Series L1:  |  |  |
|  4% 7/1/23 <br>| 225000  | 225838  |
|  4% 7/1/25 <br>| 600000  | 603451  |
|  Series N:  |  |  |
|  5% 7/1/23 <br>| 830000  | 833773  |
|  5% 7/1/24 <br>| 375000  | 378721  |
|  Connecticut Higher Ed. Supplemental Ln. Auth. Rev.:  |  |  |
|  (Chesla Ln. Prog.) Series B, 5% 11/15/23 (d)  | 425000  | 433064  |
|  Series 2017 B, 5% 11/15/23 (d)  | 125000  | 127636  |
|  Connecticut Hsg. Fin. Auth.:  |  |  |
|  Series 2016 E2, 2.1% 11/15/23 (d)  | 1000000  | 990084  |
|  Series 2021, 0.45% 11/15/25  | 700000  | 643705  |
|  Series A2:  |  |  |
|  0.35% 5/15/23 (d) <br>| 825000  | 816626  |
|  0.4% 11/15/23 (d) <br>| 300000  | 293404  |
|  Series C:  |  |  |
|  5% 5/15/23 (d) <br>| 205000  | 206855  |
|  5% 11/15/23 (d) <br>| 710000  | 722800  |
|  Connecticut Spl. Tax Oblig. Trans. Infrastructure Rev.:  |  |  |
|  Series 2012 A:  |  |  |
|  5% 1/1/23 <br>| 665000  | 666368  |
|  5% 1/1/24 <br>| 200000  | 200411  |
|  Series 2015 A, 5% 8/1/23  | 1370000  | 1392687  |
|  Series 2021 C:  |  |  |
|  5% 1/1/23 <br>| 795000  | 796635  |
|  5% 1/1/25 <br>| 190000  | 198895  |
|  Series 2022 B:  |  |  |
|  5% 1/1/24 <br>| 10000000  | 10259214  |
|  5% 7/1/24 <br>| 5835000  | 6055765  |
|  Series A, 4% 1/1/23  | 315000  | 315397  |
|  New Haven Gen. Oblig. Series 2016 A, 5% 8/15/25 (Assured Guaranty Muni. Corp. Insured)  | 20000  | 21054  |
|  Univ. of Connecticut Gen. Oblig. Series 2019 A, 5% 11/1/25  | 225000  | 239459  |
|  West Haven Gen. Oblig. Series 2021:  |  |  |
|  4% 9/15/23  | 290000  | 292741  |
|  4% 9/15/24  | 260000  | 265151  |
|  4% 9/15/25  | 255000  | 261661  |
|  4% 9/15/26  | 255000  | 263233  |
|  TOTAL CONNECTICUT  |  | 71034279  |
| Delaware - 0.0%  |  |  |
|  Delaware Econ. Dev. Auth. Rev. Bonds (Delmarva Pwr. & Lt. Co. Proj.) Series A, 1.05%, tender 7/1/25 (b)  | 565000  | 534023  |
|  Delaware Trans. Auth. Grant Series 2020, 5% 9/1/23  | 1400000  | 1424826  |
|  TOTAL DELAWARE  |  | 1958849  |
| Delaware, New Jersey - 0.0%  |  |  |
|  Delaware River & Bay Auth. Rev. Series 2022, 5% 1/1/25  | 1000000  | 1045369  |
| District Of Columbia - 1.0%  |  |  |
|  District of Columbia Hsg. Fin. Agcy. Multi-family Hsg. Rev. Bonds:  |  |  |
|  (218 Vine St. Apts. Proj.) Series 2020, 0.3%, tender 7/1/23 (b)  | 5000000  | 4890877  |
|  (Park Southern Apts. Proj.) Series 2020, 0.7%, tender 6/1/23 (b)  | 9000000  | 8880140  |
|  (The Strand Residences Proj.) Series 2019, 2.5%, tender 2/1/39 (b)  | 1000000  | 994347  |
|  District of Columbia Income Tax Rev. Series 2022 C, 5% 12/1/27  | 1000000  | 1110706  |
|  Metropolitan Washington DC Arpts. Auth. Sys. Rev.:  |  |  |
|  Series 2014 A, 5% 10/1/23 (d)  | 110000  | 111650  |
|  Series 2017 A:  |  |  |
|  5% 10/1/24 (d) <br>| 115000  | 118644  |
|  5% 10/1/26 (d) <br>| 145000  | 153480  |
|  Series 2018 A, 5% 10/1/26 (d)  | 325000  | 344006  |
|  Series 2019 A:  |  |  |
|  5% 10/1/23 (d) <br>| 50000  | 50750  |
|  5% 10/1/25 (d) <br>| 155000  | 162361  |
|  Series 2020 A:  |  |  |
|  5% 10/1/23 (d) <br>| 925000  | 938873  |
|  5% 10/1/24 (d) <br>| 6355000  | 6556350  |
|  5% 10/1/25 (d) <br>| 530000  | 555170  |
|  Series 2021 A:  |  |  |
|  5% 10/1/23 (d) <br>| 9750000  | 9896227  |
|  5% 10/1/24 (d) <br>| 8000000  | 8252029  |
|  5% 10/1/26 (d) <br>| 335000  | 354591  |
|  TOTAL DISTRICT OF COLUMBIA  |  | 43370201  |
| Florida - 2.1%  |  |  |
|  Brevard County Health Facilities Auth. Rev. Series 2023 A:  |  |  |
|  5% 4/1/26 (f)  | 290000  | 301759  |
|  5% 4/1/28 (f)  | 325000  | 344507  |
|  Brevard County Hsg. Fin. Auth. Bonds Series 2021, 0.25%, tender 12/1/22 (b)  | 2000000  | 2000000  |
|  Brevard County School Board Ctfs. of Prtn. Series 2014, 5% 7/1/27  | 115000  | 118682  |
|  Broward County Arpt. Sys. Rev.:  |  |  |
|  Series 2012 P-1, 5% 10/1/25 (d)  | 1000000  | 1001229  |
|  Series 2012 P1, 5% 10/1/23 (d)  | 235000  | 235385  |
|  Series 2013 A:  |  |  |
|  5% 10/1/23 (d) <br>| 600000  | 608751  |
|  5.25% 10/1/25 (d) <br>| 1500000  | 1522472  |
|  Series 2013 C, 5.25% 10/1/25  | 575000  | 586562  |
|  Series 2015 C, 5% 10/1/24 (d)  | 245000  | 252542  |
|  Series 2017, 5% 10/1/25 (d)  | 500000  | 521403  |
|  Series 2019 B, 5% 10/1/23 (d)  | 700000  | 710210  |
|  Series C, 5% 10/1/23 (d)  | 90000  | 91313  |
|  Broward County School Board Ctfs. of Prtn. Series 2015 B, 5% 7/1/24  | 25000  | 25836  |
|  Cap. Trust Agcy. Hsg. Rev. Bonds (College Park Towers Apts. Proj.) Series 2021, 1.25%, tender 5/1/23 (b)  | 3000000  | 2977737  |
|  Central Florida Expressway Auth. Sr. Lien Rev. Series 2021, 5% 7/1/24 (Assured Guaranty Muni. Corp. Insured)  | 885000  | 916530  |
|  Duval County School Board Ctfs. of Prtn. Series 2022 A:  |  |  |
|  5% 7/1/24 (Assured Guaranty Muni. Corp. Insured) (f)  | 3500000  | 3616340  |
|  5% 7/1/25 (Assured Guaranty Muni. Corp. Insured) (f)  | 5335000  | 5620209  |
|  Escambia County Poll. Cont. Rev. (Gulf Pwr. Co. Proj.) Series 2003, 2.6% 6/1/23  | 2500000  | 2498303  |
|  Florida Board of Ed. Lottery Rev. Series 2014 A, 5% 7/1/24  | 200000  | 202765  |
|  Florida Dev. Fin. Corp. Edl. Facilities (Nova Southeastern Univ. Proj.) Series 2020 A:  |  |  |
|  5% 4/1/23  | 350000  | 352680  |
|  5% 4/1/24  | 360000  | 369731  |
|  5% 4/1/25  | 200000  | 207345  |
|  Florida Dev. Fin. Corp. Rev. Bonds (Brightline Florida Passenger Rail Expansion Proj.) Series 2021 A, 2.9%, tender 4/4/23 (b)(d)  | 5625000  | 5601846  |
|  Florida Keys Aqueduct Auth. Wtr. Rev. Series 2021 B, 5% 9/1/25  | 350000  | 371572  |
|  Florida Mid-Bay Bridge Auth. Rev. Series 2015 A:  |  |  |
|  5% 10/1/23  | 55000  | 55825  |
|  5% 10/1/24  | 45000  | 46208  |
|  5% 10/1/25  | 40000  | 40909  |
|  5% 10/1/26  | 45000  | 45962  |
|  Florida Muni. Pwr. Agcy. Rev.:  |  |  |
|  Series 2016 A, 5% 10/1/24  | 475000  | 494094  |
|  Series 2021 A:  |  |  |
|  5% 10/1/23 <br>| 400000  | 407853  |
|  5% 10/1/24 <br>| 450000  | 468089  |
|  5% 10/1/25 <br>| 500000  | 529726  |
|  5% 10/1/26 <br>| 300000  | 322685  |
|  Greater Orlando Aviation Auth. Arpt. Facilities Rev.:  |  |  |
|  Series 2015 A:  |  |  |
|  5% 10/1/23 (d) <br>| 160000  | 162664  |
|  5% 10/1/23 (Escrowed to Maturity) (d) <br>| 40000  | 40739  |
|  Series 2016:  |  |  |
|  5% 10/1/23 (d) <br>| 2400000  | 2439958  |
|  5% 10/1/24 (d) <br>| 285000  | 295059  |
|  Series 2017 A:  |  |  |
|  5% 10/1/25 (d) <br>| 30000  | 31259  |
|  5% 10/1/25 (Escrowed to Maturity) (d) <br>| 600000  | 631153  |
|  5% 10/1/26 (d) <br>| 10000  | 10493  |
|  5% 10/1/26 (Escrowed to Maturity) (d) <br>| 35000  | 37384  |
|  Series 2019 A, 5% 10/1/23 (d)  | 7700000  | 7828198  |
|  Halifax Hosp. Med. Ctr. Rev. Series 2015, 5% 6/1/23  | 30000  | 30305  |
|  Hillsborough County Aviation Auth. Rev.:  |  |  |
|  Series 2013 A, 5.5% 10/1/24 (Pre-Refunded to 10/1/23 @ 100) (d)  | 685000  | 701014  |
|  Series 2015 A, 5% 10/1/44 (Pre-Refunded to 10/1/24 @ 100) (d)  | 4000000  | 4128176  |
|  Series 2022 A:  |  |  |
|  5% 10/1/23 (d) <br>| 110000  | 111877  |
|  5% 10/1/25 (d) <br>| 1245000  | 1304125  |
|  Series A:  |  |  |
|  5% 10/1/25 (Pre-Refunded to 10/1/23 @ 100) (d) <br>| 1600000  | 1630881  |
|  5% 10/1/26 (Pre-Refunded to 10/1/23 @ 100) (d) <br>| 580000  | 591194  |
|  Hillsborough County School Board Ctfs. of Prtn. Series 2015 A, 5% 7/1/26  | 230000  | 240560  |
|  Jacksonville Spl. Rev. Series 2022 A:  |  |  |
|  5% 10/1/23  | 160000  | 163194  |
|  5% 10/1/24  | 355000  | 369788  |
|  5% 10/1/25  | 275000  | 292044  |
|  5% 10/1/26  | 65000  | 70308  |
|  5% 10/1/27  | 55000  | 60559  |
|  Lee County Arpt. Rev.:  |  |  |
|  Series 2021 A:  |  |  |
|  5% 10/1/23 (d) <br>| 2820000  | 2859969  |
|  5% 10/1/24 (d) <br>| 745000  | 767264  |
|  5% 10/1/25 (d) <br>| 1375000  | 1430840  |
|  Series 2021 B:  |  |  |
|  5% 10/1/23 (d) <br>| 800000  | 811339  |
|  5% 10/1/24 (d) <br>| 1250000  | 1287355  |
|  5% 10/1/25 (d) <br>| 925000  | 962565  |
|  Manatee County School District Series 2017, 5% 10/1/24 (Assured Guaranty Muni. Corp. Insured)  | 30000  | 31233  |
|  Miami Dade County Hsg. Multifamily Hsg. Rev. Bonds Series 2021, 0.25%, tender 12/1/22 (b)  | 3000000  | 3000000  |
|  Miami-Dade County Aviation Rev.:  |  |  |
|  Series 2012 A:  |  |  |
|  5% 10/1/23 (d) <br>| 5375000  | 5415214  |
|  5% 10/1/24 (d) <br>| 200000  | 201259  |
|  Series 2016 A, 5% 10/1/23  | 335000  | 341132  |
|  Series 2020 A:  |  |  |
|  5% 10/1/23 <br>| 2435000  | 2479572  |
|  5% 10/1/25 <br>| 1255000  | 1331019  |
|  Miami-Dade County Expressway Auth.:  |  |  |
|  (Waste Mgmt., Inc. of Florida Proj.) Series 2013 A, 5% 7/1/23  | 45000  | 45370  |
|  Series 2014 B, 5% 7/1/23  | 70000  | 70801  |
|  Miami-Dade County Health Facilities Auth. Hosp. Rev. (Nicklaus Children's Hosp. Proj.) Series 2021 A:  |  |  |
|  5% 8/1/23  | 325000  | 329304  |
|  5% 8/1/24  | 600000  | 617686  |
|  5% 8/1/25  | 700000  | 732354  |
|  Miami-Dade County Indl. Dev. Auth. Solid Waste Disp. Rev. Bonds (Waste Mgmt., Inc. of Florida Proj.) Series 2018, 0.4%, tender 8/1/23 (b)(d)  | 1250000  | 1227628  |
|  Miami-Dade County School Board Ctfs. of Prtn.:  |  |  |
|  Bonds Series 2014 A, 5%, tender 5/1/24 (b)  | 635000  | 654984  |
|  Series 2014 D, 5% 11/1/23  | 300000  | 306699  |
|  Series 2015 A:  |  |  |
|  5% 5/1/23 <br>| 1075000  | 1086353  |
|  5% 5/1/27 (Assured Guaranty Muni. Corp. Insured) <br>| 265000  | 278454  |
|  Series 2015 D, 5% 2/1/23  | 830000  | 833506  |
|  North Sumter County Util. Dependent District Series 2021, 4% 10/1/24 (Assured Guaranty Muni. Corp. Insured)  | 795000  | 811764  |
|  Okeechobee County Solid Waste Rev. Bonds (Waste Mgmt., Inc.-Okeechobee Landfill Proj.) Series 2004 A, 0.55%, tender 7/1/24 (b)  | 750000  | 702356  |
|  Orange County Hsg. Fin. Auth. Multi-family Rev. Bonds Series 2021 B, 0.55%, tender 7/1/24 (b)  | 1450000  | 1383891  |
|  Orlando Utils. Commission Util. Sys. Rev. Series 2013 A, 5% 10/1/24  | 250000  | 260460  |
|  Palm Beach County Edl. Facilities Auth. Series 2021, 4% 10/1/23  | 220000  | 220793  |
|  Palm Beach County Health Facilities Auth. Hosp. Rev. Series 2014:  |  |  |
|  5% 12/1/23 (Escrowed to Maturity)  | 5000  | 5118  |
|  5% 12/1/24 (Escrowed to Maturity)  | 10000  | 10427  |
|  Palm Beach County School Board Ctfs. of Prtn. Series 2018 A, 5% 8/1/23  | 100000  | 101563  |
|  Pinellas County Hsg. Fin. Auth. Bonds Series 2021 B, 0.65%, tender 7/1/24 (b)  | 325000  | 310678  |
|  Seminole County School Board Ctfs. of Prtn.:  |  |  |
|  Series 2012 A, 5% 7/1/23  | 120000  | 121679  |
|  Series 2016 C:  |  |  |
|  5% 7/1/25 <br>| 20000  | 21127  |
|  5% 7/1/26 <br>| 25000  | 26860  |
|  Tampa Hosp. Rev. (H. Lee Moffitt Cancer Ctr. Proj.) Series 2020 B:  |  |  |
|  5% 7/1/23  | 90000  | 91056  |
|  5% 7/1/24  | 75000  | 77108  |
|  5% 7/1/25  | 100000  | 104490  |
|  5% 7/1/26  | 175000  | 184957  |
|  5% 7/1/27  | 150000  | 159975  |
|  Volusia County Edl. Facilities Auth. Rev. (Embry-Riddle Aeronautical Univ., Inc. Proj.) Series 2020 A:  |  |  |
|  5% 10/15/23  | 590000  | 601024  |
|  5% 10/15/24  | 1000000  | 1032314  |
|  5% 10/15/25  | 1000000  | 1045576  |
|  5% 10/15/26  | 750000  | 793132  |
|  5% 10/15/27  | 165000  | 176666  |
|  TOTAL FLORIDA  |  | 89982906  |
| Georgia - 2.2%  |  |  |
|  Atlanta Arpt. Rev.:  |  |  |
|  Series 2020 B, 5% 7/1/24 (d)  | 1400000  | 1443065  |
|  Series 2022 B, 5% 7/1/23 (d)  | 1000000  | 1012019  |
|  Bartow County Dev. Auth. Poll. Cont. Rev. Bonds (Georgia Pwr. Co. Plant Bowen Proj.):  |  |  |
|  Series 2009 1st, 2.75%, tender 3/15/23 (b)  | 6710000  | 6697001  |
|  Series 2013, 2.875%, tender 8/19/25 (b)  | 1865000  | 1805591  |
|  Brookhaven Dev. Auth. Rev. Series 2019 A, 5% 7/1/25  | 100000  | 105456  |
|  Burke County Indl. Dev. Auth. Poll. Cont. Rev. Bonds:  |  |  |
|  (Georgia Pwr. Co. Plant Vogtle Proj.):  |  |  |
|  Series 1994, 2.25%, tender 5/25/23 (b) <br>| 2375000  | 2361714  |
|  Series 2008, 2.925%, tender 3/12/24 (b) <br>| 250000  | 246587  |
|  Series 2012, 2.875%, tender 8/19/25 (b) <br>| 2000000  | 1972614  |
|  Series 2013 1st, 2.925%, tender 3/12/24 (b) <br>| 990000  | 976486  |
|  (Oglethorpe Pwr. Corp. Vogtle Proj.) Series 2017 E, 3.25%, tender 2/3/25 (b)  | 100000  | 98733  |
|  Series 1995, 2.25%, tender 5/25/23 (b)  | 2500000  | 2480853  |
|  Cobb County Kennestone Hosp. Auth. Rev. (WellStar Health Sys., Inc. Proj.) Series 2020 A, 5% 4/1/23  | 150000  | 151019  |
|  Fayette County Hosp. Auth. Rev. Bonds (Piedmont Healthcare, Inc. Proj.) Series 2019 A, 5%, tender 7/1/24 (b)  | 1075000  | 1096506  |
|  Gainesville & Hall County Hosp. Auth. Rev. Series 2021 A, 5% 2/15/25  | 675000  | 696052  |
|  Georgia Muni. Elec. Auth. Pwr. Rev.:  |  |  |
|  Series 2016 A, 5% 1/1/23  | 410000  | 410675  |
|  Series 2020 A:  |  |  |
|  4% 11/1/23 <br>| 2780000  | 2803798  |
|  4% 11/1/24 <br>| 200000  | 203297  |
|  4% 11/1/25 <br>| 800000  | 819193  |
|  5% 1/1/23 <br>| 5625000  | 5634255  |
|  5% 1/1/24 <br>| 2105000  | 2147789  |
|  5% 1/1/24 <br>| 1250000  | 1275409  |
|  5% 11/1/26 <br>| 870000  | 926778  |
|  Series 2021 A:  |  |  |
|  5% 1/1/23 <br>| 140000  | 140230  |
|  5% 1/1/24 <br>| 170000  | 173456  |
|  5% 1/1/24 <br>| 190000  | 193862  |
|  Georgia Muni. Gas Auth. Rev. (Gas Portfolio III Proj.) Series 2014 U, 5% 10/1/23  | 55000  | 56075  |
|  Main Street Natural Gas, Inc.:  |  |  |
|  Bonds:  |  |  |
|  Series 2018 A, 4%, tender 9/1/23 (b) <br>| 4750000  | 4767650  |
|  Series 2018 B, 1 month U.S. LIBOR + 0.750% 3.274%, tender 12/4/22 (b)(c) <br>| 22200000  | 22081030  |
|  Series 2018 C, 4%, tender 12/1/23 (b) <br>| 3155000  | 3166452  |
|  Series 2018 E, SIFMA Municipal Swap Index + 0.570% 2.47%, tender 12/1/22 (b)(c) <br>| 12500000  | 12372481  |
|  Series 2019 B, 4%, tender 12/2/24 (b) <br>| 1210000  | 1217844  |
|  Series 2022 C, 4%, tender 11/1/27 (b)(e) <br>| 2500000  | 2377997  |
|  Series 2018 A, 4% 3/1/23  | 200000  | 200343  |
|  Series 2019 A, 5% 5/15/23  | 1750000  | 1760393  |
|  Series 2021 A:  |  |  |
|  4% 9/1/24 <br>| 500000  | 504618  |
|  4% 3/1/25 <br>| 430000  | 433711  |
|  4% 9/1/25 <br>| 400000  | 403015  |
|  Series 2021 C:  |  |  |
|  4% 12/1/22 <br>| 900000  | 900000  |
|  4% 12/1/23 <br>| 1470000  | 1470324  |
|  Series 2022 A:  |  |  |
|  4% 12/1/23 <br>| 735000  | 735019  |
|  4% 12/1/25 <br>| 1500000  | 1499856  |
|  4% 12/1/26 <br>| 245000  | 244159  |
|  Series 2022 B:  |  |  |
|  5% 6/1/24 <br>| 600000  | 609352  |
|  5% 6/1/25 <br>| 700000  | 716463  |
|  5% 6/1/26 <br>| 800000  | 823533  |
|  Monroe County Dev. Auth. Poll. Cont. Rev.:  |  |  |
|  (Georgia Pwr. Co. Plant Scherer Proj.) Series 1995, 2.25% 7/1/25  | 435000  | 413094  |
|  Bonds (Oglethorpe Pwr. Corp. Scherer Proj.) Series 2013 A, 1.5%, tender 2/3/25 (b)  | 1500000  | 1408154  |
|  Paulding County Hosp. Auth. Rev. Series 2022 A, 5% 4/1/24  | 365000  | 374288  |
|  Private Colleges & Univs. Auth. Rev. (The Savannah College of Art & Design Projs.) Series 2021, 5% 4/1/25  | 600000  | 623950  |
|  TOTAL GEORGIA  |  | 95032239  |
| Guam - 0.1%  |  |  |
|  Guam Pwr. Auth. Rev. Series 2022 A:  |  |  |
|  5% 10/1/23  | 2370000  | 2398914  |
|  5% 10/1/24  | 2595000  | 2659065  |
|  5% 10/1/25  | 870000  | 900815  |
|  TOTAL GUAM  |  | 5958794  |
| Hawaii - 0.4%  |  |  |
|  Hawaii Arpts. Sys. Rev. Series 2022 B:  |  |  |
|  5% 7/1/23 (d)  | 5000000  | 5055758  |
|  5% 7/1/24 (d)  | 6500000  | 6681669  |
|  Hawaii Dept. of Budget & Fin. Spl. Purp. Rev.:  |  |  |
|  (Queens Health Sys. Proj.) Series 2015 B, SIFMA Municipal Swap Index + 0.140% 2.35%, tender 1/24/23 (b)(c)  | 485000  | 485000  |
|  Series 2017 A, 3.1% 5/1/26 (d)  | 2175000  | 2119420  |
|  Hawaii Gen. Oblig. Series 2020 A:  |  |  |
|  5% 7/1/24 (d)  | 655000  | 676688  |
|  5% 7/1/25 (d)  | 350000  | 364391  |
|  Honolulu City & County Gen. Oblig. Series 2022 A, 5% 11/1/26  | 815000  | 885379  |
|  State of Hawaii Dept. of Trans. Series 2013:  |  |  |
|  5% 8/1/23 (d)  | 30000  | 30405  |
|  5.25% 8/1/24 (d)  | 890000  | 903000  |
|  TOTAL HAWAII  |  | 17201710  |
| Idaho - 0.0%  |  |  |
|  Idaho Hsg. & Fin. Assoc. Single Family Mtg. Series 2019 A, 4% 1/1/50  | 35000  | 35019  |
| Illinois - 4.4%  |  |  |
|  Champaign County Cmnty. Unit Series 2020 A, 0% 1/1/26  | 800000  | 720079  |
|  Chicago Board of Ed.:  |  |  |
|  Series 1999, 0% 12/1/22 (Berkshire Hathaway Assurance Corp. Insured) (FGIC Insured)  | 560000  | 560000  |
|  Series 2017 F, 5% 12/1/24  | 2500000  | 2527891  |
|  Series 2019 A, 5% 12/1/23  | 1000000  | 1009055  |
|  Chicago Gen. Oblig.:  |  |  |
|  Series 2002 B, 5% 1/1/25  | 1650000  | 1671950  |
|  Series 2015 C, 5% 1/1/25  | 2565000  | 2599668  |
|  Series 2020 A, 5% 1/1/25  | 1500000  | 1519955  |
|  Chicago Heights Multifamily Hsg. Rev. Bonds (Olympic Village Apts. Proj.) Series 2022, 2.875%, tender 8/1/25 (b)  | 3000000  | 2928104  |
|  Chicago Ill St Univ. Rev. Series 1998, 5.5% 12/1/23  | 1300000  | 1312213  |
|  Chicago Metropolitan Wtr. Reclamation District of Greater Chicago Series 2021 C, 5% 12/1/23  | 990000  | 1011988  |
|  Chicago Midway Arpt. Rev.:  |  |  |
|  Series 2013 B:  |  |  |
|  5% 1/1/23 <br>| 205000  | 205427  |
|  5% 1/1/25 <br>| 150000  | 150222  |
|  5% 1/1/26 <br>| 275000  | 275402  |
|  Series 2014 A:  |  |  |
|  5% 1/1/24 (d) <br>| 1000000  | 1017654  |
|  5% 1/1/26 (d) <br>| 595000  | 603506  |
|  5% 1/1/27 (d) <br>| 615000  | 622952  |
|  5% 1/1/28 (d) <br>| 100000  | 101231  |
|  5% 1/1/29 (d) <br>| 675000  | 682479  |
|  Series 2014 B:  |  |  |
|  5% 1/1/23 <br>| 25000  | 25052  |
|  5% 1/1/26 <br>| 140000  | 142778  |
|  Series 2016 A:  |  |  |
|  5% 1/1/24 (d) <br>| 1000000  | 1017654  |
|  5% 1/1/25 (d) <br>| 7255000  | 7469782  |
|  Chicago Motor Fuel Tax Rev. Series 2013, 5% 1/1/23 (Escrowed to Maturity)  | 10000  | 10019  |
|  Chicago Multi-Family Hsg. Rev. Bonds Series 2022, 4%, tender 9/1/24 (b)  | 1751000  | 1768953  |
|  Chicago O'Hare Int'l. Arpt. Rev.:  |  |  |
|  Series 2013 A, 5% 1/1/23 (d)  | 3740000  | 3745477  |
|  Series 2013 B, 5% 1/1/23  | 1020000  | 1022123  |
|  Series 2015 B, 5% 1/1/23  | 475000  | 475988  |
|  Series 2015 C, 5% 1/1/24 (d)  | 1865000  | 1897924  |
|  Series 2015 D, 5% 1/1/23  | 200000  | 200416  |
|  Series 2016 A:  |  |  |
|  5% 1/1/23 (d) <br>| 250000  | 250366  |
|  5% 1/1/24 (d) <br>| 305000  | 310384  |
|  Series 2017 D:  |  |  |
|  5% 1/1/24 (d) <br>| 1000000  | 1017654  |
|  5% 1/1/27 (d) <br>| 85000  | 89296  |
|  Series 2022 A, 5% 1/1/25 (d)  | 2340000  | 2414026  |
|  Series 2022 C:  |  |  |
|  5% 1/1/23 (d) <br>| 300000  | 300439  |
|  5% 1/1/24 (d) <br>| 2000000  | 2035307  |
|  5% 1/1/25 (d) <br>| 2000000  | 2063270  |
|  Chicago Park District Gen. Oblig. Series 2021 D, 4% 1/1/23  | 975000  | 975934  |
|  Chicago Spl. Assessment (Lakeshore East Proj.) Series 2022, 1.57% 12/1/22 (e)  | 270000  | 270000  |
|  Chicago Transit Auth. Cap. Grant Receipts Rev.:  |  |  |
|  Series 2015, 5% 6/1/24  | 4000000  | 4116994  |
|  Series 2017:  |  |  |
|  5% 6/1/24 <br>| 445000  | 458016  |
|  5% 6/1/25 <br>| 25000  | 25968  |
|  Series 2021, 5% 6/1/23  | 1075000  | 1086202  |
|  Chicago Wastewtr. Transmission Rev. Series 2012, 5% 1/1/23  | 25000  | 25049  |
|  Cook County Gen. Oblig.:  |  |  |
|  Series 2021 A:  |  |  |
|  5% 11/15/23 <br>| 4550000  | 4642799  |
|  5% 11/15/24 <br>| 50000  | 51972  |
|  5% 11/15/25 <br>| 50000  | 52801  |
|  Series 2021 B:  |  |  |
|  4% 11/15/23 <br>| 865000  | 874568  |
|  4% 11/15/24 <br>| 625000  | 634400  |
|  4% 11/15/25 <br>| 465000  | 477416  |
|  4% 11/15/26 <br>| 235000  | 242920  |
|  Series 2022 A:  |  |  |
|  5% 11/15/24 <br>| 6040000  | 6278242  |
|  5% 11/15/25 <br>| 2290000  | 2418308  |
|  Geneva Gen. Oblig. Series 2021, 4% 2/1/23  | 275000  | 275639  |
|  Illinois Dev. Fin. Auth. Retirement Hsg. Regency Park Rev. Series 1991 A, 0% 7/15/23 (Escrowed to Maturity)  | 300000  | 295178  |
|  Illinois Fin. Auth.:  |  |  |
|  Bonds Series 2020 B, 5%, tender 11/15/24 (b)  | 1450000  | 1487236  |
|  Series 2013 A:  |  |  |
|  5% 6/1/23 <br>| 540000  | 546216  |
|  5% 6/1/23 (Escrowed to Maturity) <br>| 55000  | 55592  |
|  Series 2021 A, 5% 10/1/25  | 2000000  | 2126202  |
|  Series 2022 A, 5% 10/1/25  | 260000  | 265000  |
|  Illinois Fin. Auth. Rev.:  |  |  |
|  (Bradley Univ. Proj.) Series 2017 C, 5% 8/1/26  | 35000  | 36236  |
|  (Edward-Elmhurst Healthcare) Series 2017 A, 5% 1/1/25 (Escrowed to Maturity)  | 100000  | 104207  |
|  Bonds:  |  |  |
|  Series 2017 B, 5%, tender 12/15/22 (b) <br>| 265000  | 265215  |
|  Series 2019, U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.200% 3.867%, tender 9/1/25 (b)(c) <br>| 1970000  | 1960415  |
|  Series 2014 A, 5% 10/1/26  | 500000  | 520008  |
|  Series 2015 A:  |  |  |
|  5% 11/15/24 <br>| 150000  | 155194  |
|  5% 11/15/25 <br>| 45000  | 47313  |
|  5% 11/15/26 <br>| 45000  | 47209  |
|  Series 2015 B, 5% 11/15/24  | 45000  | 46758  |
|  Series 2016 A:  |  |  |
|  5% 2/15/23 <br>| 20000  | 20102  |
|  5% 8/15/24 (Escrowed to Maturity) <br>| 50000  | 51878  |
|  5% 7/1/25 <br>| 250000  | 264472  |
|  5% 8/15/35 (Pre-Refunded to 8/15/26 @ 100) <br>| 195000  | 210026  |
|  Series 2016 B, 5% 8/15/24  | 775000  | 801864  |
|  Series 2016 C, 5% 2/15/24  | 345000  | 353382  |
|  Series 2016:  |  |  |
|  5% 11/15/23 <br>| 235000  | 239348  |
|  5% 11/15/24 <br>| 245000  | 254049  |
|  5% 5/15/25 <br>| 10000  | 10433  |
|  5% 12/1/25 <br>| 430000  | 450656  |
|  5% 5/15/26 <br>| 20000  | 21149  |
|  5% 5/15/27 <br>| 25000  | 26336  |
|  Series 2017, 5% 1/1/25  | 50000  | 52424  |
|  Series 2018 A, 5% 5/15/24  | 250000  | 257282  |
|  Illinois Gen. Oblig.:  |  |  |
|  Series 2012 A, 4% 1/1/23  | 30000  | 30018  |
|  Series 2013 A, 5% 4/1/24  | 795000  | 799663  |
|  Series 2013:  |  |  |
|  5% 7/1/23 <br>| 1700000  | 1716216  |
|  5.5% 7/1/24 <br>| 835000  | 845268  |
|  5.5% 7/1/25 <br>| 1000000  | 1011703  |
|  Series 2014:  |  |  |
|  5% 4/1/23 <br>| 50000  | 50280  |
|  5% 2/1/25 <br>| 50000  | 50770  |
|  5% 5/1/27 <br>| 500000  | 507221  |
|  Series 2016:  |  |  |
|  5% 2/1/24 <br>| 450000  | 457931  |
|  5% 2/1/25 <br>| 4775000  | 4909453  |
|  5% 1/1/26 <br>| 300000  | 309834  |
|  5% 2/1/26 <br>| 1235000  | 1276305  |
|  Series 2017 A:  |  |  |
|  5% 12/1/22 <br>| 5000000  | 5000000  |
|  5% 12/1/23 <br>| 750000  | 761576  |
|  Series 2017 D:  |  |  |
|  5% 11/1/23 <br>| 2400000  | 2434267  |
|  5% 11/1/24 <br>| 1950000  | 2001318  |
|  5% 11/1/26 <br>| 2075000  | 2157693  |
|  Series 2018 A, 5% 10/1/26  | 1340000  | 1392443  |
|  Series 2018 B, 5% 5/1/23  | 3000000  | 3020848  |
|  Series 2019 B, 5% 9/1/25  | 3000000  | 3091664  |
|  Series 2020 B, 5% 10/1/28  | 1030000  | 1081371  |
|  Series 2020, 5.5% 5/1/24  | 225000  | 231220  |
|  Series 2021 A:  |  |  |
|  5% 3/1/23 <br>| 380000  | 381602  |
|  5% 3/1/24 <br>| 2000000  | 2037396  |
|  5% 3/1/25 <br>| 1700000  | 1748917  |
|  Series 2021 B, 5% 3/1/23  | 670000  | 672825  |
|  Series 2021 C, 4% 3/1/24  | 625000  | 629127  |
|  Series 2022 A:  |  |  |
|  5% 3/1/23 <br>| 2050000  | 2058644  |
|  5% 3/1/24 <br>| 2165000  | 2205481  |
|  Series 2022 B:  |  |  |
|  5% 3/1/24 <br>| 1480000  | 1507673  |
|  5% 3/1/25 <br>| 4325000  | 4449450  |
|  5% 3/1/26 <br>| 3185000  | 3293648  |
|  Series 2022 D1, 5% 3/1/23  | 2630000  | 2641090  |
|  Illinois Hsg. Dev. Auth. Bonds Series 2022 H, 0%, tender 12/1/22 (b)(f)  | 12000000  | 12030704  |
|  Illinois Hsg. Dev. Auth. Multi-family Hsg. Rev. Bonds Series 2015, 2.9%, tender 5/15/25, LOC Fed. Home Ln. Bank, San Francisco (b)  | 2425000  | 2427281  |
|  Illinois Muni. Elec. Agcy. Pwr. Supply Series 2015 A:  |  |  |
|  5% 2/1/23  | 25000  | 25089  |
|  5% 2/1/24  | 420000  | 430619  |
|  Illinois Reg'l. Trans. Auth. Series 2017 A, 5% 7/1/24  | 285000  | 294795  |
|  Illinois Sales Tax Rev.:  |  |  |
|  Series 2013, 5% 6/15/24  | 400000  | 403060  |
|  Series 2016 D, 5% 6/15/23  | 1500000  | 1512074  |
|  Series 2021 A:  |  |  |
|  4% 6/15/23 <br>| 3175000  | 3183844  |
|  4% 6/15/24 <br>| 1670000  | 1681391  |
|  Series 2021 C:  |  |  |
|  5% 6/15/23 <br>| 75000  | 75604  |
|  5% 6/15/24 <br>| 85000  | 86852  |
|  5% 6/15/25 <br>| 50000  | 51558  |
|  Illinois State Univ. Revs. Series 2018 A, 5% 4/1/23 (Assured Guaranty Muni. Corp. Insured)  | 290000  | 292018  |
|  Illinois Toll Hwy. Auth. Toll Hwy. Rev. Series 2014 A, 5% 12/1/22  | 1090000  | 1090000  |
|  Joliet Wtrwks. & Swr. Rev. Series 2022, 5% 1/1/24  | 2175000  | 2209455  |
|  Kane County School District No. 131:  |  |  |
|  Series 2020 A:  |  |  |
|  4% 12/1/22 (Assured Guaranty Muni. Corp. Insured) <br>| 235000  | 235000  |
|  5% 12/1/23 (Assured Guaranty Muni. Corp. Insured) <br>| 290000  | 295607  |
|  Series 2020 B, 4% 12/1/22 (Assured Guaranty Muni. Corp. Insured)  | 435000  | 435000  |
|  Kane, Cook, DuPage, McHenry & DeKalb Counties Cmnty. College District #509 Elgin Series 2021 B:  |  |  |
|  4% 12/15/23  | 155000  | 157284  |
|  4% 12/15/24  | 450000  | 460975  |
|  Kane, McHenry, Cook & DeKalb Counties Unit School District #300 Series 2015 5% 1/1/27  | 395000  | 408541  |
|  Kendall, Kane & Will Counties Cmnty. Unit School District #308 Series 2011, 5.5% 2/1/23  | 550000  | 552539  |
|  Matteson Gen. Oblig.:  |  |  |
|  Series 2021 A, 4% 12/1/23  | 705000  | 712935  |
|  Series 2021 B, 4% 12/1/23  | 525000  | 530909  |
|  McHenry County Cmnty. School District #200 Series 2006 B:  |  |  |
|  0% 1/15/24  | 60000  | 57814  |
|  0% 1/15/24 (Escrowed to Maturity)  | 45000  | 43635  |
|  0% 1/15/25  | 110000  | 102283  |
|  0% 1/15/26  | 80000  | 71821  |
|  McHenry County Conservation District Gen. Oblig. Series 2014, 5% 2/1/23  | 65000  | 65259  |
|  Metropolitan Pier & Exposition:  |  |  |
|  (McCormick Place Expansion Proj.) Series 1996 A, 0% 6/15/23 (Nat'l. Pub. Fin. Guarantee Corp. Insured)  | 150000  | 147171  |
|  Series 2012 B, 5% 12/15/22  | 1655000  | 1655978  |
|  Series 2022 A, 3% 6/15/24  | 630000  | 624787  |
|  Peoria County Gen. Oblig. Series 2021 A, 4% 1/1/24  | 1000000  | 1012126  |
|  Railsplitter Tobacco Settlement Auth. Rev. Series 2017:  |  |  |
|  5% 6/1/23  | 8095000  | 8186175  |
|  5% 6/1/24  | 8920000  | 9191482  |
|  Skokie Pk District Series 2003, 0% 12/1/22  | 1830000  | 1830000  |
|  Univ. of Illinois Board of Trustees Ctfs. of Prtn. Series 2014 C, 5% 3/15/23  | 265000  | 266599  |
|  Univ. of Illinois Rev. Series 2018 B, 5% 4/1/23 (Assured Guaranty Muni. Corp. Insured)  | 270000  | 272023  |
|  Upper Illinois River Valley Dev. Auth. Rev. Series 2018, 5% 12/1/24  | 300000  | 307975  |
|  Village of Westchester Gen. Oblig. Series 2021, 4% 12/1/22  | 500000  | 500000  |
|  Waukegan Gen. Oblig.:  |  |  |
|  Series 2018 A, 4% 12/30/22 (Assured Guaranty Muni. Corp. Insured)  | 425000  | 425457  |
|  Series 2018 B, 4% 12/30/22 (Assured Guaranty Muni. Corp. Insured)  | 400000  | 400430  |
|  TOTAL ILLINOIS  |  | 189162356  |
| Indiana - 1.6%  |  |  |
|  Ctr. Grove Cmnty. School Corp. Series 2021 B:  |  |  |
|  3% 1/1/23  | 600000  | 599808  |
|  4% 1/1/24  | 2065000  | 2079288  |
|  Fort Wayne Cmnty. Schools Bldg. Corp. Series 2021, 4% 1/15/23  | 625000  | 626113  |
|  Fort Wayne Redev. Auth. (Grand Wayne Ctr. Proj.) Series 2022:  |  |  |
|  4% 2/1/24  | 770000  | 780361  |
|  4% 8/1/26  | 895000  | 931308  |
|  Hammond Multi-School Bldg. Corp. Series 2018, 5% 1/15/24  | 640000  | 654876  |
|  Indiana Dev. Fin. Auth. Envir. Rev. Bonds (Fulcrum Centerpoint, LLC Proj.) Series 2022, 4.5%, tender 11/15/23 (d)  | 13000000  | 13022148  |
|  Indiana Dev. Fin. Auth. Solid Waste Disp. Rev. Bonds (Waste Mgmt., Inc. Proj.) Series 2001, 4%, tender 10/2/23 (b)(d)  | 5050000  | 5074434  |
|  Indiana Fin. Auth. Health Sys. Rev. Bonds Series 2019 B, 2.25%, tender 7/1/25 (b)  | 710000  | 695385  |
|  Indiana Fin. Auth. Hosp. Rev.:  |  |  |
|  Bonds Series 2011 M, 0.7%, tender 1/1/26 (b)  | 3680000  | 3413570  |
|  Series 2013, 5% 8/15/23  | 20000  | 20317  |
|  Indiana Fin. Auth. Rev.:  |  |  |
|  (Butler Univ. Proj.) Series 2019:  |  |  |
|  3% 2/1/23 <br>| 225000  | 225129  |
|  4% 2/1/24 <br>| 200000  | 202668  |
|  4% 2/1/25 <br>| 275000  | 279251  |
|  (Ohio River Bridges East End Crossing Proj.) Series 2013 A:  |  |  |
|  5% 7/1/44 (Pre-Refunded to 7/1/23 @ 100) (d) <br>| 10000000  | 10121350  |
|  5% 7/1/48 (Pre-Refunded to 7/1/23 @ 100) (d) <br>| 4000000  | 4048540  |
|  Series 2016, 5% 9/1/26  | 205000  | 219899  |
|  Indiana Fin. Auth. Wastewtr. Util. Rev. (CWA Auth. Proj.) Series 2015 A:  |  |  |
|  5% 10/1/24  | 35000  | 36477  |
|  5% 10/1/25  | 35000  | 36350  |
|  Indiana Health Facility Fing. Auth. Rev. Bonds Series 2001 A2, 2%, tender 2/1/23 (b)  | 155000  | 154823  |
|  Indiana Hsg. & Cmnty. Dev. Auth.:  |  |  |
|  Bonds Series 2022 A, 4.5%, tender 4/1/24 (b)  | 8864000  | 8976613  |
|  Series 2021 C1, 3% 1/1/52  | 1000000  | 954710  |
|  Indiana Muni. Pwr. Agcy. Pwr. Supply Sys. Rev. Series 2017 A, 5% 1/1/25  | 705000  | 734658  |
|  Indianapolis Local Pub. Impt.:  |  |  |
|  (Indianapolis Arpt. Auth. Proj.):  |  |  |
|  Series 2016 A1: <br>|  |  |
|  5% 1/1/23 (d) <br>| 45000  | 45084  |
|  5% 1/1/24 (d) <br>| 60000  | 61155  |
|  5% 1/1/25 (d) <br>| 65000  | 67096  |
|  Series 2019 D, 5% 1/1/24 (d) <br>| 270000  | 275199  |
|  Series 2021 A, 5% 6/1/23  | 255000  | 257910  |
|  Marion High School Bldg. Corp.:  |  |  |
|  Series 2021 A:  |  |  |
|  4% 1/15/24 <br>| 240000  | 243220  |
|  4% 1/15/25 <br>| 250000  | 255289  |
|  4% 7/15/25 <br>| 255000  | 261540  |
|  Series 2021 B, 4% 1/15/23  | 205000  | 205340  |
|  Upland Econ. Dev. Rfdg. Rev. (Taylor Univ. Proj.) Series 2021, 4% 9/1/23  | 275000  | 277652  |
|  Vinton Tecumseh School Bldg. Corp. Series 2021:  |  |  |
|  3% 1/15/24  | 490000  | 491105  |
|  3% 7/15/25  | 515000  | 515583  |
|  Warrick County Envir. Impt. Rev. Bonds (Southern Indiana Gas and Elec. Co.) Series 2015, 0.875%, tender 9/1/23 (b)(d)  | 2800000  | 2753233  |
|  Whiting Envir. Facilities Rev. Bonds (BP Products North America, Inc. Proj.):  |  |  |
|  Series 2016 A, 5%, tender 3/1/23 (b)(d)  | 5750000  | 5762793  |
|  Series 2019 A, 5%, tender 6/5/26 (b)(d)  | 3515000  | 3606986  |
|  TOTAL INDIANA  |  | 68967261  |
| Iowa - 0.1%  |  |  |
|  Iowa Fin. Auth. Rev. Series 2018 B, 5% 2/15/24  | 200000  | 205458  |
|  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)  | 1500000  | 1467384  |
|  Iowa Higher Ed. Ln. Auth. Rev. (Grinnell College Proj.) Series 2017, 4% 12/1/24  | 250000  | 256678  |
|  Iowa Student Ln. Liquidity Corp. Student Ln. Rev.:  |  |  |
|  Series 2018 A, 5% 12/1/22 (d)  | 725000  | 725000  |
|  Series 2019 B, 5% 12/1/23 (d)  | 600000  | 610711  |
|  TOTAL IOWA  |  | 3265231  |
| Kansas - 0.0%  |  |  |
|  Wyandotte County/Kansas City Unified Govt. Util. Sys. Rev. Series 2016 A:  |  |  |
|  5% 9/1/23  | 15000  | 15253  |
|  5% 9/1/25  | 15000  | 15843  |
|  TOTAL KANSAS  |  | 31096  |
| Kentucky - 0.8%  |  |  |
|  Ashland Med. Ctr. Rev. (Ashland Hosp. Corp. D/B/A King's Daughters Med. Ctr. Proj.) Series 2016 A:  |  |  |
|  5% 2/1/24  | 30000  | 30609  |
|  5% 2/1/25  | 20000  | 20576  |
|  Hazard Healthcare Rev. Series 2021:  |  |  |
|  5% 7/1/23  | 350000  | 354105  |
|  5% 7/1/24  | 230000  | 236536  |
|  Kenton County Arpt. Board Arpt. Rev. Series 2016, 5% 1/1/24  | 200000  | 204947  |
|  Kentucky Asset/Liability Commission Gen. Fund Rev. Series 2021 A, 5% 11/1/24  | 435000  | 453571  |
|  Kentucky Bond Dev. Corp. Edl. Facilities:  |  |  |
|  (Transylvania Univ. Proj.) Series 2021 A, 2% 3/1/23  | 320000  | 319162  |
|  (Transylvania Univ. Proj.) Series 2021 A, 4% 3/1/25  | 340000  | 345805  |
|  Kentucky Higher Ed. Student Ln. Corp. Rev. Series 2019 A1 5% 6/1/23 (d)  | 250000  | 252853  |
|  Kentucky Hsg. Corp. Multi-family Rev. Bonds (Cambridge Square Proj.) Series 2021, 0.3%, tender 2/1/24 (b)  | 3500000  | 3372410  |
|  Kentucky State Property & Buildings Commission Rev.:  |  |  |
|  Series 2013 A, 5% 10/1/23  | 365000  | 371863  |
|  Series 2015, 4% 8/1/25  | 200000  | 205210  |
|  Series 2016 B:  |  |  |
|  5% 11/1/23 <br>| 2730000  | 2786224  |
|  5% 11/1/24 <br>| 285000  | 296896  |
|  Series 2016:  |  |  |
|  3% 2/1/24 <br>| 350000  | 351291  |
|  5% 11/1/23 <br>| 1435000  | 1465732  |
|  5% 2/1/24 <br>| 275000  | 282144  |
|  5% 10/1/24 <br>| 425000  | 442007  |
|  Series 2017, 5% 4/1/23  | 600000  | 604695  |
|  Series 2018, 5% 5/1/23  | 1415000  | 1428827  |
|  Series A, 5% 11/1/25  | 350000  | 371179  |
|  Series B:  |  |  |
|  5% 8/1/23 <br>| 3265000  | 3314944  |
|  5% 8/1/25 <br>| 300000  | 316698  |
|  Kentucky State Univ. Ctfs. of Prtn. (Kentucky State Univ. Proj.) Series 2021, 5% 11/1/25  | 280000  | 295977  |
|  Kentucky, Inc. Pub. Energy:  |  |  |
|  Bonds:  |  |  |
|  Series 2018 A, 4%, tender 4/1/24 (b) <br>| 1825000  | 1823607  |
|  Series 2018 B, 4%, tender 1/1/25 (b) <br>| 225000  | 224370  |
|  Series 2019 A1, 4%, tender 6/1/25 (b) <br>| 1000000  | 993892  |
|  Series A, 4%, tender 6/1/26 (b) <br>| 245000  | 243227  |
|  Series C1, 4%, tender 6/1/25 (b) <br>| 5035000  | 5004246  |
|  Series A, 4% 12/1/22  | 350000  | 350000  |
|  Louisville & Jefferson County Bonds:  |  |  |
|  Series 2020 B, 5%, tender 10/1/23 (b)  | 3040000  | 3072102  |
|  Series 2020 C, 5%, tender 10/1/26 (b)  | 2015000  | 2113610  |
|  Louisville Reg'l. Arpt. Auth. Sys. Rev. Series 2014 A:  |  |  |
|  5% 7/1/23 (d)  | 1750000  | 1770527  |
|  5% 7/1/24 (d)  | 155000  | 159453  |
|  TOTAL KENTUCKY  |  | 33879295  |
| Louisiana - 0.8%  |  |  |
|  Lake Charles Hbr. & Term. Rev. Bonds (Big Lake Fuels LLC Proj.) Series 2021, 1%, tender 12/1/24 (b)(d)  | 1300000  | 1222555  |
|  Louisiana Gas & Fuel Tax Rev. Bonds Series 2022 A, U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.500% 3.167%, tender 5/1/26 (b)(c)  | 3970000  | 3852883  |
|  Louisiana Gen. Oblig.:  |  |  |
|  Series 2015 A, 5% 5/1/24  | 350000  | 361805  |
|  Series 2016 D, 5% 9/1/24  | 155000  | 161394  |
|  Series 2020 A, 5% 3/1/23  | 500000  | 503149  |
|  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)  | 4000000  | 3717560  |
|  Louisiana Stadium and Exposition District Series 2021, 4% 7/3/23  | 3860000  | 3873715  |
|  New Orleans Aviation Board Rev.:  |  |  |
|  (North Term. Proj.):  |  |  |
|  Series 2015 B: <br>|  |  |
|  5% 1/1/24 (d) <br>| 1600000  | 1628929  |
|  5% 1/1/25 (d) <br>| 1750000  | 1803584  |
|  Series 2017 B: <br>|  |  |
|  5% 1/1/23 (d) <br>| 1070000  | 1071611  |
|  5% 1/1/24 (d) <br>| 20000  | 20374  |
|  5% 1/1/25 (d) <br>| 5000  | 5153  |
|  5% 1/1/26 (d) <br>| 15000  | 15626  |
|  Series 2017 D2:  |  |  |
|  5% 1/1/23 (d) <br>| 10000  | 10015  |
|  5% 1/1/24 (d) <br>| 15000  | 15281  |
|  5% 1/1/25 (d) <br>| 115000  | 118521  |
|  St. John Baptist Parish Rev. Bonds (Marathon Oil Corp.) Series 2017:  |  |  |
|  2%, tender 4/1/23 (b)  | 10255000  | 10168992  |
|  2.1%, tender 7/1/24 (b)  | 4735000  | 4578084  |
|  State of Louisiana Grant Anticipation Rev. Series 2021:  |  |  |
|  5% 9/1/23  | 865000  | 880857  |
|  5% 9/1/24  | 785000  | 817383  |
|  Tobacco Settlement Fing. Corp. Series 2013 A, 5% 5/15/23  | 110000  | 110983  |
|  TOTAL LOUISIANA  |  | 34938454  |
| Maine - 0.1%  |  |  |
|  Maine Fin. Auth. Student Ln. Rev. Series 2019 A, 5% 12/1/23 (Assured Guaranty Muni. Corp. Insured) (d)  | 500000  | 509667  |
|  Maine Health & Higher Edl. Facilities Auth. Rev. Series 2021 A:  |  |  |
|  5% 7/1/24  | 500000  | 514989  |
|  5% 7/1/25  | 500000  | 523082  |
|  5% 7/1/26  | 975000  | 1032166  |
|  Maine Tpk. Auth. Tpk. Rev. Series 2015, 5% 7/1/26  | 250000  | 264472  |
|  TOTAL MAINE  |  | 2844376  |
| Maryland - 1.0%  |  |  |
|  Baltimore Proj. Rev.:  |  |  |
|  (Wtr. Projs.) Series 2020 A, 5% 7/1/23  | 400000  | 405620  |
|  Series 2017 D:  |  |  |
|  5% 7/1/24 <br>| 70000  | 72538  |
|  5% 7/1/25 <br>| 75000  | 79303  |
|  Hsg. Opportunities Commission of Montgomery County Series 2021 C, 0.8% 7/1/25  | 105000  | 98129  |
|  Maryland Cmnty. Dev. Admin Dept. Hsg. & Cmnty. Dev.:  |  |  |
|  Series 2019 B, 4% 9/1/49  | 155000  | 155089  |
|  Series 2021 A, 0.83% 5/1/23 (e)  | 4000000  | 3968337  |
|  Series 2021 C:  |  |  |
|  0.375% 7/1/23 <br>| 260000  | 256257  |
|  0.6% 7/1/24 <br>| 560000  | 537803  |
|  Series 2022 D, 3.15% 7/1/24  | 4000000  | 3922420  |
|  Series 2022, 1.33% 1/1/24 (e)  | 5000000  | 4842216  |
|  Series A:  |  |  |
|  0.2% 3/1/23 <br>| 1015000  | 1008673  |
|  0.25% 9/1/23 <br>| 775000  | 760299  |
|  Maryland Dept. of Trans.:  |  |  |
|  Series 2022 A:  |  |  |
|  5% 12/1/22 <br>| 205000  | 205000  |
|  5% 12/1/23 <br>| 95000  | 97318  |
|  Series 2022 B:  |  |  |
|  5% 12/1/23 <br>| 120000  | 122928  |
|  5% 12/1/24 <br>| 220000  | 230437  |
|  Maryland Health & Higher Edl. Bonds Series 2020, 5%, tender 7/1/25 (b)  | 1000000  | 1039807  |
|  Maryland Health & Higher Edl. Facilities Auth. Rev.:  |  |  |
|  Series 2014, 5% 7/1/39 (Pre-Refunded to 7/1/24 @ 100)  | 8225000  | 8519326  |
|  Series 2015:  |  |  |
|  5% 7/1/23 <br>| 20000  | 20194  |
|  5% 7/1/24 <br>| 45000  | 46069  |
|  5% 7/1/25 <br>| 40000  | 41414  |
|  5% 7/1/25 (Pre-Refunded to 7/1/24 @ 100) <br>| 1145000  | 1185973  |
|  Series 2020 B, 5% 4/15/23  | 675000  | 680619  |
|  Maryland Stadium Auth. Built to Learn Rev.:  |  |  |
|  Series 2021, 5% 6/1/23  | 1250000  | 1264699  |
|  Series 2022 A:  |  |  |
|  5% 6/1/23 <br>| 600000  | 607056  |
|  5% 6/1/26 <br>| 850000  | 910458  |
|  Maryland Trans. Auth. Trans. Facility Projs. Rev. Series 2021 A, 5% 7/1/24  | 1250000  | 1295715  |
|  Montgomery County Gen. Oblig.:  |  |  |
|  Bonds Series 2013 MD, 2.03%, tender 12/1/22 (b)  | 5500000  | 5500000  |
|  Series 2022 A:  |  |  |
|  5% 8/1/24 <br>| 1000000  | 1039718  |
|  5% 8/1/25 <br>| 530000  | 562866  |
|  5% 8/1/26 <br>| 1000000  | 1083185  |
|  Prince Georges County Gen. Oblig. Series 2020 A, 5% 7/15/23  | 2450000  | 2487294  |
|  TOTAL MARYLAND  |  | 43046760  |
| Massachusetts - 1.5%  |  |  |
|  Boston Hsg. Auth. Cap. Prog. Series 2020 B:  |  |  |
|  5% 4/1/23  | 450000  | 453656  |
|  5% 4/1/24  | 475000  | 489602  |
|  Massachusetts Bay Trans. Auth. Sales Tax Rev. Series 2016 A, 0% 7/1/23  | 355000  | 349309  |
|  Massachusetts Dept. of Trans. Metropolitan Hwy. Sys. Rev. Bonds Series 2019 A, 5%, tender 1/1/23 (b)  | 4955000  | 4964782  |
|  Massachusetts Dev. Fin. Agcy. Multi-family Hsg. Rev. Bonds Series 2021, 0.25%, tender 7/1/23 (b)  | 1750000  | 1718149  |
|  Massachusetts Dev. Fin. Agcy. Rev.:  |  |  |
|  Bonds:  |  |  |
|  (Partners Healthcare Sys., Inc. Proj.) Series 2017 S-4, 5%, tender 1/25/24 (b) <br>| 5700000  | 5821342  |
|  Series 2011 N, 0.45%, tender 7/1/25 (b) <br>| 3505000  | 3148263  |
|  Series S3, SIFMA Municipal Swap Index + 0.500% 2.4%, tender 12/1/22 (b)(c) <br>| 3400000  | 3400727  |
|  Series 2016 I:  |  |  |
|  5% 7/1/23 <br>| 15000  | 15169  |
|  5% 7/1/24 <br>| 25000  | 25567  |
|  5% 7/1/25 <br>| 20000  | 20672  |
|  5% 7/1/26 <br>| 20000  | 20993  |
|  Series 2019 A, 5% 7/1/24  | 155000  | 159405  |
|  Series 2019 O:  |  |  |
|  5% 12/1/23 <br>| 130000  | 132771  |
|  5% 12/1/24 <br>| 100000  | 104089  |
|  Series 2021 A, 5% 6/1/23  | 360000  | 363128  |
|  Series C:  |  |  |
|  5% 10/1/23 (Assured Guaranty Muni. Corp. Insured) <br>| 350000  | 355683  |
|  5% 10/1/24 (Assured Guaranty Muni. Corp. Insured) <br>| 325000  | 335649  |
|  Massachusetts Edl. Fing. Auth. Rev.:  |  |  |
|  Series 2014:  |  |  |
|  5% 1/1/23 (d) <br>| 3000000  | 3004640  |
|  5% 1/1/24 (d) <br>| 5000000  | 5080271  |
|  Series 2015 A:  |  |  |
|  5% 1/1/23 (d) <br>| 9000000  | 9014216  |
|  5% 1/1/24 (d) <br>| 8250000  | 8400045  |
|  Series 2016 J, 5% 7/1/23 (d)  | 725000  | 733294  |
|  Series 2016, 5% 7/1/24 (d)  | 535000  | 549369  |
|  Series 2020 C, 5% 7/1/23 (d)  | 375000  | 379507  |
|  Series 2021 B:  |  |  |
|  5% 7/1/24 (d) <br>| 750000  | 768395  |
|  5% 7/1/25 (d) <br>| 1575000  | 1634619  |
|  Series 2022 B:  |  |  |
|  5% 7/1/24 (d) <br>| 270000  | 276832  |
|  5% 7/1/25 (d) <br>| 585000  | 607144  |
|  Massachusetts Health & Edl. Facilities Auth. Rev.:  |  |  |
|  (Partners Healthcare Sys., Inc. Proj.) Series 2007 G2, 2.224%, tender 12/7/22 (Assured Guaranty Muni. Corp. Insured) (b)  | 8815000  | 8815000  |
|  Bonds Series I, 0.7%, tender 7/1/25 (b)  | 395000  | 360677  |
|  Massachusetts Port Auth. Rev.:  |  |  |
|  Series 2017 A:  |  |  |
|  5% 7/1/24 (d) <br>| 65000  | 67101  |
|  5% 7/1/25 (d) <br>| 25000  | 26123  |
|  Series 2019 C, 5% 7/1/24 (d)  | 345000  | 356153  |
|  Series 2021 E, 5% 7/1/23 (d)  | 500000  | 506560  |
|  TOTAL MASSACHUSETTS  |  | 62458902  |
| Michigan - 0.5%  |  |  |
|  Brandon School District Series A, 5% 5/1/23  | 430000  | 434345  |
|  Carman-Ainsworth Cmnty. School District Series 2021, 4% 5/1/24  | 1335000  | 1355834  |
|  Chippewa Valley Schools Series 2016 B, 5% 5/1/24  | 200000  | 205956  |
|  Detroit Downtown Dev. Auth. Tax Series A, 5% 7/1/25 (Assured Guaranty Muni. Corp. Insured)  | 550000  | 568384  |
|  Grand Rapids Pub. Schools Series 2017, 5% 5/1/23 (Assured Guaranty Muni. Corp. Insured)  | 30000  | 30292  |
|  Grand Traverse County Hosp. Fin. Auth.:  |  |  |
|  Series 2019 B, 5% 7/1/23  | 255000  | 258286  |
|  Series 2021:  |  |  |
|  5% 7/1/24 <br>| 650000  | 670707  |
|  5% 7/1/25 <br>| 480000  | 504474  |
|  Grosse Ile Township School District Unltd. Tax Gen. Oblig. Series 2016, 2% 5/1/24  | 125000  | 122921  |
|  Huron School District Series 2019, 5% 5/1/24  | 205000  | 211596  |
|  Kalamazoo Hosp. Fin. Auth. Hosp. Facilities Rev. Series 2016:  |  |  |
|  5% 5/15/24  | 10000  | 10277  |
|  5% 5/15/25  | 15000  | 15643  |
|  5% 5/15/26  | 15000  | 15867  |
|  Kent City Cmnty. Schools Series 2020, 4% 5/1/23  | 205000  | 206200  |
|  Kent Hosp. Fin. Auth. Hosp. Facilities Rev. (Spectrum Health Sys. Proj.) Series 2015 A, SIFMA Municipal Swap Index + 0.250% 2.15%, tender 6/28/23 (b)(c)  | 1000000  | 1000000  |
|  Ludington Area School District (Michigan School Bond Qualification and Ln. Prog.) Series 2022 II, 5% 11/1/25  | 1230000  | 1304429  |
|  Michigan Bldg. Auth. Rev. (Facilities Prog.) Series 2016 I, 5% 4/15/24  | 60000  | 61864  |
|  Michigan Fin. Auth. Rev.:  |  |  |
|  (Trinity Health Proj.) Series 2017, 5% 12/1/23  | 250000  | 255801  |
|  Bonds Series 2016 E1, 4%, tender 8/15/24 (b)  | 270000  | 272262  |
|  Series 2015 A, 5% 8/1/23 (Escrowed to Maturity)  | 300000  | 304908  |
|  Series 2015 D1:  |  |  |
|  0.4% 10/15/23 <br>| 650000  | 625730  |
|  0.55% 10/15/24 <br>| 300000  | 285823  |
|  0.75% 10/15/25 <br>| 250000  | 235168  |
|  Series 2015 MI:  |  |  |
|  5% 12/1/22 <br>| 600000  | 600000  |
|  5% 12/1/24 <br>| 100000  | 104327  |
|  Series 2016, 5% 11/15/23  | 225000  | 229120  |
|  Michigan Gen. Oblig. Series 2016, 5% 3/15/23  | 85000  | 85594  |
|  Michigan Hosp. Fin. Auth. Rev. Bonds:  |  |  |
|  (Ascension Health Cr. Group Proj.) Series F5, 2.4%, tender 3/15/23 (b)  | 330000  | 329703  |
|  Series 2010 F1, 4%, tender 6/1/23 (b)  | 200000  | 200563  |
|  Michigan Hsg. Dev. Auth. Multi-family Hsg. Rev. Bonds (Cambridge Square of Flint Apts. Proj.) Series 2022, 1.5%, tender 5/1/23 (b)  | 5000000  | 4964943  |
|  Michigan Hsg. Dev. Auth. Single Family Mtg. Rev. Series 2022 A, 2.5% 6/1/25  | 630000  | 619928  |
|  Michigan Strategic Fund Exempt Facilities Rev. Bonds (Waste Mgmt., Inc. Proj.) Series 2001, 0.58%, tender 8/1/24 (b)(d)  | 150000  | 140902  |
|  Northern Michigan Univ. Revs. Series 2018 A, 5% 12/1/22  | 700000  | 700000  |
|  Novi Cmnty. School District Series I, 4% 5/1/23  | 550000  | 553082  |
|  Portage Pub. Schools Series 2016:  |  |  |
|  5% 5/1/23  | 45000  | 45464  |
|  5% 5/1/24  | 40000  | 41327  |
|  5% 11/1/24  | 45000  | 46913  |
|  5% 5/1/25  | 25000  | 26323  |
|  5% 11/1/25  | 25000  | 26578  |
|  5% 11/1/28  | 20000  | 21405  |
|  Roseville Cmnty. Schools Series 2014, 5% 5/1/23  | 300000  | 303106  |
|  Royal Oak Hosp. Fin. Auth. Hosp. Rev. Series 2014 D, 5% 9/1/23 (Escrowed to Maturity)  | 345000  | 351298  |
|  Saginaw Hosp. Fin. Auth. Hosp. Rev. Series 2020 J, 5% 7/1/23  | 250000  | 253077  |
|  Warren Consolidated School District Series 2019, 4% 5/1/23  | 230000  | 231137  |
|  Wayne County Arpt. Auth. Rev.:  |  |  |
|  Series 2011 A:  |  |  |
|  4.125% 12/1/22 (Assured Guaranty Muni. Corp. Insured) (d) <br>| 530000  | 530000  |
|  5% 12/1/22 (d) <br>| 2150000  | 2150000  |
|  Series 2012 B, 5% 12/1/22 (d)  | 485000  | 485000  |
|  Wayne State Univ. Revs. Series 2013 A, 4% 11/15/23  | 350000  | 354235  |
|  Wayne-Westland Cmnty. Schools Series 2019, 5% 11/1/24  | 335000  | 349238  |
|  TOTAL MICHIGAN  |  | 22700030  |
| Minnesota - 0.5%  |  |  |
|  Central Muni. Pwr. Agcy. Rev. Series 2021:  |  |  |
|  5% 1/1/23 (Assured Guaranty Muni. Corp. Insured)  | 330000  | 330654  |
|  5% 1/1/25 (Assured Guaranty Muni. Corp. Insured)  | 265000  | 277133  |
|  Maple Grove Health Care Sys. Rev. Series 2017, 5% 5/1/23  | 110000  | 110956  |
|  Minneapolis & Saint Paul Hsg. & Redev. Auth. Health Care Sys. Rev. (Allina Health Sys. Proj.) Series 2017 A, 5% 11/15/23  | 355000  | 362510  |
|  Minneapolis & Saint Paul Metropolitan Arpts. Commission Arpt. Rev.:  |  |  |
|  Series 2014 A:  |  |  |
|  5% 1/1/23 <br>| 20000  | 20042  |
|  5% 1/1/28 <br>| 215000  | 219479  |
|  Series 2014 B, 5% 1/1/23 (d)  | 20000  | 20031  |
|  Series 2016 B, 4% 1/1/23  | 300000  | 300386  |
|  Series 2016, 5% 1/1/25  | 620000  | 648514  |
|  Series 2019 C, 5% 1/1/26  | 380000  | 404085  |
|  Series 2022 B:  |  |  |
|  5% 1/1/24 (d) <br>| 1860000  | 1893828  |
|  5% 1/1/25 (d) <br>| 195000  | 201169  |
|  5% 1/1/26 (d) <br>| 470000  | 489485  |
|  5% 1/1/27 (d) <br>| 1580000  | 1659248  |
|  Minnesota Hsg. Fin. Agcy.:  |  |  |
|  Bonds Series 2018 D, SIFMA Municipal Swap Index + 0.430% 2.33%, tender 12/1/22 (b)(c)  | 2245000  | 2244123  |
|  Series 2021 A:  |  |  |
|  0.4% 1/1/23 (d) <br>| 190000  | 189600  |
|  0.5% 7/1/23 (d) <br>| 185000  | 182156  |
|  0.625% 1/1/24 (d) <br>| 380000  | 369018  |
|  Series 2022 A:  |  |  |
|  5% 8/1/25 <br>| 1155000  | 1220506  |
|  5% 8/1/26 <br>| 1300000  | 1396829  |
|  Series 2022 B:  |  |  |
|  5% 8/1/23 <br>| 570000  | 579098  |
|  5% 8/1/26 <br>| 100000  | 107448  |
|  Series H:  |  |  |
|  0.55% 1/1/23 (d) <br>| 170000  | 169663  |
|  0.65% 1/1/24 (d) <br>| 180000  | 175031  |
|  Minnesota Muni. Gas Agcy. Rev.:  |  |  |
|  Bonds Series 2022 A, 4%, tender 12/1/27 (Liquidity Facility Royal Bank of Canada) (b)  | 1725000  | 1727673  |
|  Series 2022 A:  |  |  |
|  4% 12/1/22 <br>| 1350000  | 1350000  |
|  4% 12/1/24 <br>| 2700000  | 2713982  |
|  Moorhead Edl. Facilities Rev. (The Concordia College Corp. Proj.) Series 2016, 5% 12/1/25  | 65000  | 66626  |
|  Northern Muni. Pwr. Agcy. Elec. Sys. Rev. Series 2017:  |  |  |
|  5% 1/1/23  | 250000  | 250475  |
|  5% 1/1/24  | 35000  | 35836  |
|  Southern Minnesota Muni. Pwr. Agcy. Pwr. Supply Sys. Rev.:  |  |  |
|  Series 1994 A, 0% 1/1/24 (Nat'l. Pub. Fin. Guarantee Corp. Insured)  | 290000  | 281235  |
|  Series 2015 A, 3% 1/1/23  | 250000  | 250082  |
|  Western Minnesota Muni. Pwr. Agcy. Pwr. Supply Rev. Series 2014 A, 5% 1/1/24  | 20000  | 20503  |
|  TOTAL MINNESOTA  |  | 20267404  |
| Mississippi - 0.3%  |  |  |
|  Jackson Gen. Oblig. Series 2021:  |  |  |
|  5% 3/1/23  | 325000  | 326860  |
|  5% 3/1/24  | 500000  | 513509  |
|  Mississippi Dev. Bank Spl. Oblig. (Jackson Mississippi Sales Tax Rev. Infrastructure Proj.) Series 2020, 5% 9/1/24  | 740000  | 766921  |
|  Mississippi Hosp. Equip. & Facilities Auth. Bonds Series 2020 A2, 3.15%, tender 9/1/36 (b)  | 11000000  | 10985802  |
|  TOTAL MISSISSIPPI  |  | 12593092  |
| Missouri - 0.3%  |  |  |
|  Cape Girardeau County Indl. Dev. Auth. (Southeast Hosp. Proj.) Series 2017 A:  |  |  |
|  5% 3/1/23  | 20000  | 20070  |
|  5% 3/1/24  | 15000  | 15239  |
|  5% 3/1/25  | 15000  | 15379  |
|  5% 3/1/26  | 20000  | 20700  |
|  Missouri Health & Edl. Facilities Rev.:  |  |  |
|  Series 2014 A, 5% 6/1/24  | 1000000  | 1029990  |
|  Series 2020, 5% 11/15/23  | 815000  | 831236  |
|  Missouri Hsg. Dev. Commission Single Family Mtg. Rev. Series 2019, 4% 5/1/50  | 65000  | 65030  |
|  Missouri State Pub. Util. Commn Rev. Series 2022, 0.75% 8/1/23  | 10000000  | 9813712  |
|  Ozarks Technical Cmnty. College Series 2021:  |  |  |
|  5% 3/1/23  | 225000  | 226327  |
|  5% 3/1/25  | 225000  | 235575  |
|  Saint Louis Arpt. Rev.:  |  |  |
|  Series 2017 B, 5% 7/1/24 (Assured Guaranty Muni. Corp. Insured) (d)  | 250000  | 256715  |
|  Series 2019 B:  |  |  |
|  5% 7/1/23 (d) <br>| 385000  | 389182  |
|  5% 7/1/24 (d) <br>| 400000  | 410743  |
|  5% 7/1/25 (d) <br>| 420000  | 435688  |
|  St Charles County Francis Howell R-III School District Gen. Oblig. Series 2022, 5% 3/1/23  | 375000  | 377268  |
|  TOTAL MISSOURI  |  | 14142854  |
| Montana - 0.0%  |  |  |
|  Montana Board Hsg. Single Family:  |  |  |
|  Series 2019 B, 4% 6/1/50  | 30000  | 30003  |
|  Series 2022 A, 3% 6/1/52  | 265000  | 253672  |
|  Series A1, 3.5% 6/1/50  | 390000  | 384868  |
|  TOTAL MONTANA  |  | 668543  |
| Nebraska - 0.6%  |  |  |
|  Central Plains Energy Proj. Gas Supply:  |  |  |
|  Bonds Series 2019, 4%, tender 8/1/25 (b)  | 3075000  | 3086414  |
|  Series 2019, 4% 8/1/23  | 580000  | 582226  |
|  Gretna Ctfs. of Prtn.:  |  |  |
|  Series 2021, 4% 12/15/25  | 2620000  | 2676273  |
|  Series 2022, 5% 12/15/25  | 4000000  | 4161280  |
|  Lincoln Arpt. Auth. Series 2021, 5% 7/1/23 (d)  | 725000  | 733924  |
|  Muni. Energy Agcy. of Nebraska Pwr. Swr. Rev. Series 2022 A:  |  |  |
|  5% 4/1/24  | 1690000  | 1742402  |
|  5% 4/1/25  | 2835000  | 2972907  |
|  Nebraska Invt. Fin. Auth. Single Family Hsg. Rev.:  |  |  |
|  Series 2019 B, 4% 9/1/49 (d)  | 105000  | 104356  |
|  Series 2022 B:  |  |  |
|  5% 3/1/24 (d) <br>| 1050000  | 1072521  |
|  5% 9/1/24 (d) <br>| 1065000  | 1096389  |
|  Nebraska Pub. Pwr. District Rev.:  |  |  |
|  Bonds Series 2020 A, 0.6%, tender 7/1/23 (b)  | 5800000  | 5719377  |
|  Series 2016 C, 5% 1/1/25  | 200000  | 209033  |
|  Series B, 5% 1/1/23  | 250000  | 250524  |
|  Omaha Pub. Pwr. District Elec. Rev. Series A, 5% 2/1/25  | 200000  | 209975  |
|  TOTAL NEBRASKA  |  | 24617601  |
| Nevada - 0.7%  |  |  |
|  Clark County Arpt. Rev.:  |  |  |
|  Series 2019 A, 5% 7/1/23  | 200000  | 202740  |
|  Series 2021 B:  |  |  |
|  5% 7/1/23 (d) <br>| 2500000  | 2527012  |
|  5% 7/1/24 (d) <br>| 2145000  | 2203948  |
|  Clark County McCarran Int'l. Arpt. Passenger Facility Charge Rev. Series 2019 E:  |  |  |
|  5% 7/1/25  | 100000  | 105507  |
|  5% 7/1/27  | 275000  | 300604  |
|  Clark County School District:  |  |  |
|  Series 2016 A, 5% 6/15/23  | 225000  | 227970  |
|  Series 2017 C, 5% 6/15/24  | 200000  | 207151  |
|  Series 2017 D:  |  |  |
|  5% 6/15/24 <br>| 400000  | 400751  |
|  5% 6/15/25 <br>| 350000  | 350682  |
|  Series 2018 A:  |  |  |
|  5% 6/15/23 <br>| 435000  | 440743  |
|  5% 6/15/24 <br>| 685000  | 709492  |
|  5% 6/15/25 <br>| 315000  | 332863  |
|  Series 2020 A, 3% 6/15/23 (Assured Guaranty Muni. Corp. Insured)  | 450000  | 451227  |
|  Las Vegas Convention & Visitors Auth. Series 2021:  |  |  |
|  5% 7/1/23  | 1000000  | 1012309  |
|  5% 7/1/24  | 1000000  | 1031543  |
|  Nevada Dept. of Bus. & Industry Bonds:  |  |  |
|  (Republic Svcs., Inc. Proj.) Series 2001, 2.35%, tender 12/1/22 (b)(d)(e)  | 2000000  | 2000000  |
|  Series 2020 A, 0.85%, tender 1/26/23 (b)(d)(e)  | 15450000  | 15375563  |
|  Nevada Gen. Oblig.:  |  |  |
|  Series 2013 D1, 5% 3/1/24  | 60000  | 60349  |
|  Series 2013 F1, 5% 3/1/25  | 250000  | 251506  |
|  TOTAL NEVADA  |  | 28191960  |
| New Hampshire - 0.2%  |  |  |
|  Nat'l. Fin. Auth. Hosp. Rev. (St. Luke's Univ. Health Network Proj.) Series 2021 B, 5% 8/15/25  | 1140000  | 1199443  |
|  Nat'l. Fin. Auth. Solid Bonds (Waste Mgmt., Inc. Proj.):  |  |  |
|  Series 2018 A, 2.275%, tender 7/1/24 (b)(d)  | 5000000  | 4799068  |
|  Series 2019 A2, 2.15%, tender 7/1/24 (b)(d)  | 555000  | 536124  |
|  New Hampshire Bus. Fin. Auth. Wtr. Facility (Pennichuck Wtr. Works, Inc. Proj.) Series 2014 A, 5% 1/1/24 (Escrowed to Maturity) (d)  | 260000  | 265899  |
|  New Hampshire Health & Ed. Facilities Auth. Rev.:  |  |  |
|  Series 2012, 5% 7/1/27  | 120000  | 120124  |
|  Series 2016, 5% 10/1/23  | 425000  | 431900  |
|  TOTAL NEW HAMPSHIRE  |  | 7352558  |
| New Jersey - 2.9%  |  |  |
|  Burlington County Bridge Commission Lease Rev. (Governmental Leasing Prog.) Series 2021:  |  |  |
|  4% 4/1/23  | 715000  | 718617  |
|  4% 4/1/24  | 425000  | 432883  |
|  Camden County Impt. Auth. Health Care Redev. Rev. Series 2014 A, 5% 2/15/23  | 70000  | 70264  |
|  Gloucester County Impt. Auth. Rev. Series 2021, 0.6% 3/1/24  | 2400000  | 2300724  |
|  New Brunswick Parking Auth. Rev. Series 2020 B:  |  |  |
|  5% 9/1/23  | 675000  | 685710  |
|  5% 9/1/25  | 850000  | 898452  |
|  New Jersey Econ. Dev. Auth.:  |  |  |
|  Series 2022 A:  |  |  |
|  5% 11/1/25 <br>| 1000000  | 1054484  |
|  5% 11/1/26 <br>| 1100000  | 1175129  |
|  Series QQQ:  |  |  |
|  5% 6/15/23 <br>| 420000  | 425072  |
|  5% 6/15/24 <br>| 300000  | 309260  |
|  5% 6/15/25 <br>| 385000  | 403453  |
|  5% 6/15/26 <br>| 555000  | 589671  |
|  New Jersey Econ. Dev. Auth. Rev.:  |  |  |
|  (New Jersey Gen. Oblig. Proj.) Series 2017 B, 5% 11/1/24  | 515000  | 533956  |
|  (Provident Montclair Proj.) Series 2017:  |  |  |
|  5% 6/1/23 (Assured Guaranty Muni. Corp. Insured) <br>| 25000  | 25292  |
|  5% 6/1/24 (Assured Guaranty Muni. Corp. Insured) <br>| 20000  | 20644  |
|  (The Goethals Bridge Replacement Proj.) Series 2013, 5% 1/1/24 (d)  | 350000  | 352122  |
|  Series 2005 N1, 5.5% 9/1/23  | 350000  | 356967  |
|  Series 2012 II, 5% 3/1/23  | 835000  | 838242  |
|  Series 2013 NN, 5% 3/1/26  | 305000  | 306384  |
|  Series 2013:  |  |  |
|  5% 3/1/23 <br>| 1890000  | 1900673  |
|  5% 3/1/24 <br>| 480000  | 482410  |
|  5% 3/1/25 <br>| 3780000  | 3798062  |
|  Series 2014 UU, 5% 6/15/24  | 400000  | 412347  |
|  Series 2015 XX:  |  |  |
|  4% 6/15/24 <br>| 545000  | 553695  |
|  5% 6/15/23 <br>| 75000  | 75906  |
|  Series 2019:  |  |  |
|  5.25% 9/1/23 (e) <br>| 5000000  | 5090365  |
|  5.25% 9/1/24 (e) <br>| 3185000  | 3308810  |
|  Series UU, 3.1% 6/15/23  | 575000  | 576171  |
|  New Jersey Econ. Dev. Auth. Wtr. Facilities Rev.:  |  |  |
|  (New Jersey-American Wtr. Co., Inc. Proj.):  |  |  |
|  Series 2020 C, 1.15% 6/1/23 (d) <br>| 2500000  | 2471923  |
|  Series 2020 E, 0.85% 12/1/25 (d) <br>| 1600000  | 1463659  |
|  Bonds (New Jersey-American Wtr. Co., Inc.) Series 2020, 1.2%, tender 6/1/23 (b)(d)  | 2000000  | 1980480  |
|  New Jersey Edl. Facility Series 2016 A:  |  |  |
|  5% 7/1/23  | 75000  | 75923  |
|  5% 7/1/24  | 175000  | 180328  |
|  New Jersey Gen. Oblig.:  |  |  |
|  Series 2013, 5% 6/1/23  | 580000  | 586907  |
|  Series 2014, 5% 6/1/24  | 385000  | 397978  |
|  Series 2020 A:  |  |  |
|  4% 6/1/23 <br>| 24320000  | 24490228  |
|  5% 6/1/24 <br>| 1530000  | 1581574  |
|  5% 6/1/25 <br>| 2330000  | 2457366  |
|  Series 2021, 2% 6/1/25  | 840000  | 814151  |
|  New Jersey Health Care Facilities Fing. Auth. Rev.:  |  |  |
|  Bonds Series 2019 B2, 5%, tender 7/1/25 (b)  | 150000  | 157191  |
|  Series 2016 A:  |  |  |
|  5% 7/1/24 <br>| 25000  | 25899  |
|  5% 7/1/24 (Escrowed to Maturity) <br>| 20000  | 20700  |
|  5% 7/1/24 (Escrowed to Maturity) <br>| 10000  | 10342  |
|  5% 7/1/25 (Escrowed to Maturity) <br>| 10000  | 10540  |
|  5% 7/1/26 (Escrowed to Maturity) <br>| 5000  | 5365  |
|  5% 7/1/27 (Pre-Refunded to 7/1/26 @ 100) <br>| 5000  | 5365  |
|  New Jersey Higher Ed. Student Assistance Auth. Student Ln. Rev.:  |  |  |
|  Series 2012 1, 5% 12/1/22 (d)  | 500000  | 500000  |
|  Series 2015 1A:  |  |  |
|  5% 12/1/22 (d) <br>| 200000  | 200000  |
|  5% 12/1/24 (d) <br>| 55000  | 56719  |
|  Series 2016 1A:  |  |  |
|  5% 12/1/22 (d) <br>| 1400000  | 1400000  |
|  5% 12/1/23 (d) <br>| 1400000  | 1424993  |
|  5% 12/1/24 (d) <br>| 1430000  | 1476937  |
|  Series 2017 1A:  |  |  |
|  5% 12/1/22 (d) <br>| 215000  | 215000  |
|  5% 12/1/23 (d) <br>| 4195000  | 4265751  |
|  5% 12/1/25 (d) <br>| 420000  | 438954  |
|  Series 2018 B, 5% 12/1/24 (d)  | 4000000  | 4128161  |
|  Series 2019 A:  |  |  |
|  5% 12/1/22 <br>| 245000  | 245000  |
|  5% 12/1/23 <br>| 4260000  | 4355038  |
|  5% 12/1/24 <br>| 270000  | 280614  |
|  Series 2020 A, 5% 12/1/23 (d)  | 1500000  | 1526778  |
|  Series 2020:  |  |  |
|  5% 12/1/22 (d) <br>| 1600000  | 1600000  |
|  5% 12/1/22 (d) <br>| 1660000  | 1660000  |
|  5% 12/1/23 (d) <br>| 945000  | 961870  |
|  5% 12/1/24 (d) <br>| 675000  | 696099  |
|  Series 2021 A:  |  |  |
|  5% 12/1/23 (d) <br>| 200000  | 203570  |
|  5% 12/1/24 (d) <br>| 330000  | 340315  |
|  5% 12/1/25 (d) <br>| 700000  | 728347  |
|  Series 2021 B, 5% 12/1/24 (d)  | 570000  | 587817  |
|  New Jersey Hsg. & Mtg. Fin. Agcy. Multi-family Rev. Series 2021 B, 0.5% 11/1/23  | 670000  | 655241  |
|  New Jersey Hsg. & Mtg. Fin. Agcy. Rev.:  |  |  |
|  Series 2019 D:  |  |  |
|  4% 4/1/23 (d) <br>| 115000  | 115349  |
|  4% 10/1/23 (d) <br>| 125000  | 125603  |
|  4% 4/1/25 (d) <br>| 150000  | 151067  |
|  Series 2021 H:  |  |  |
|  0.2% 4/1/23 <br>| 235000  | 233036  |
|  0.35% 4/1/24 <br>| 775000  | 748591  |
|  New Jersey Tobacco Settlement Fing. Corp. Series 2018 A:  |  |  |
|  5% 6/1/23  | 4455000  | 4495602  |
|  5% 6/1/24  | 2500000  | 2564719  |
|  5% 6/1/25  | 825000  | 852421  |
|  New Jersey Trans. Trust Fund Auth.:  |  |  |
|  Series 2005 B:  |  |  |
|  5.25% 12/15/22 <br>| 5365000  | 5370340  |
|  5.25% 12/15/23 <br>| 470000  | 481145  |
|  Series 2006 A:  |  |  |
|  5.25% 12/15/22 <br>| 1160000  | 1161155  |
|  5.25% 12/15/23 (Assured Guaranty Muni. Corp. Insured) <br>| 500000  | 512321  |
|  5.5% 12/15/22 <br>| 3000000  | 3003254  |
|  5.5% 12/15/22 (Assured Guaranty Muni. Corp. Insured) <br>| 2000000  | 2002221  |
|  Series 2010 D, 5.25% 12/15/23  | 555000  | 568161  |
|  Series 2013 AA, 5% 6/15/23  | 785000  | 794480  |
|  Series 2016 A, 5% 6/15/27  | 90000  | 95102  |
|  Series 2016 A1, 5% 6/15/24  | 800000  | 825181  |
|  Series 2016 A2, 5% 6/15/23  | 1205000  | 1219101  |
|  Series 2018 A:  |  |  |
|  5% 6/15/23 <br>| 445000  | 450207  |
|  5% 6/15/24 <br>| 755000  | 778764  |
|  Series 2022 AA:  |  |  |
|  5% 6/15/23 <br>| 150000  | 151812  |
|  5% 6/15/24 <br>| 330000  | 340186  |
|  5% 6/15/25 <br>| 2000000  | 2095861  |
|  Series A:  |  |  |
|  5% 12/15/23 <br>| 365000  | 372731  |
|  5% 12/15/24 <br>| 210000  | 218193  |
|  5% 12/15/25 <br>| 200000  | 211317  |
|  Series D, 5% 12/15/23  | 480000  | 490166  |
|  Rutgers State Univ. Rev.:  |  |  |
|  Series 2013 J, 5% 5/1/23  | 275000  | 277756  |
|  Series 2018 N, 4% 5/1/23  | 370000  | 372226  |
|  Series Q, 5% 5/1/23  | 65000  | 65657  |
|  The Board of Ed. of Newark Series 2021:  |  |  |
|  5% 7/15/25 (Build America Mutual Assurance Insured)  | 250000  | 263311  |
|  5% 7/15/26 (Build America Mutual Assurance Insured)  | 300000  | 320398  |
|  TOTAL NEW JERSEY  |  | 124106322  |
| New Mexico - 0.2%  |  |  |
|  New Mexico Edl. Assistance Foundation Series 2021 1A:  |  |  |
|  5% 9/1/23 (d)  | 750000  | 759835  |
|  5% 9/1/24 (d)  | 1000000  | 1028614  |
|  New Mexico Mtg. Fin. Auth. Series 2019 C, 4% 1/1/50  | 365000  | 365188  |
|  New Mexico Muni. Energy Acquisition Auth. Gas Supply Rev.:  |  |  |
|  Bonds Series 2019 A, 5%, tender 5/1/25 (b)  | 1000000  | 1025017  |
|  Series 2019 A:  |  |  |
|  4% 5/1/23 <br>| 980000  | 982947  |
|  4% 11/1/23 <br>| 645000  | 648145  |
|  4% 11/1/24 <br>| 250000  | 251390  |
|  4% 5/1/25 <br>| 960000  | 964168  |
|  Santa Fe Pub. School District Gen. Oblig. Series 2021, 4% 8/1/23  | 450000  | 454212  |
|  TOTAL NEW MEXICO  |  | 6479516  |
| New York - 3.8%  |  |  |
|  Dorm. Auth. New York Univ. Rev. Series 2016 A, 5% 7/1/24  | 40000  | 41105  |
|  Hempstead Local Dev. Corp. Rev. (Adelphi Univ. Proj.) Series 2021:  |  |  |
|  5% 6/1/23  | 400000  | 404466  |
|  5% 6/1/24  | 940000  | 969587  |
|  Hudson Yards Infrastructure Corp. New York Rev. Series 2017 A, 5% 2/15/25  | 805000  | 844063  |
|  Long Island Pwr. Auth. Elec. Sys. Rev. Bonds:  |  |  |
|  Series 2019 B, 1.65%, tender 9/1/24 (b)  | 1055000  | 1018743  |
|  Series 2020 B, 0.85%, tender 9/1/25 (b)  | 7060000  | 6430445  |
|  Series 2021 B, 1.5%, tender 9/1/26 (b)  | 470000  | 426926  |
|  Monroe County Indl. Dev. Corp.:  |  |  |
|  (The Rochester Gen. Hosp. Proj.) Series 2017, 5% 12/1/26  | 350000  | 370176  |
|  Series 2020 A, 5% 7/1/23  | 300000  | 304180  |
|  Nassau County Local Econ. Assistance Corp. Multifamily Hsg. Rev. Bonds (Park Lake Hempstead, L.P. Proj.) Series 2021, 0.3%, tender 11/1/23 (b)  | 5190000  | 5009877  |
|  New York Bridge Auth. Gen. Rev. Series 2021 B, 5% 1/1/23  | 1025000  | 1027099  |
|  New York City Gen. Oblig.:  |  |  |
|  Bonds Series D, 5%, tender 2/1/24 (b)  | 900000  | 911918  |
|  Series 1, 5% 8/1/23  | 405000  | 411626  |
|  Series 2006, 2.74%, tender 6/1/36 (Assured Guaranty Muni. Corp. Insured) (b)  | 1000000  | 1000000  |
|  Series 2007 A, 2.8%, tender 8/1/26 (Assured Guaranty Muni. Corp. Insured) (b)  | 2875000  | 2875000  |
|  Series 2007 C-4, 2.8%, tender 1/1/32 (Assured Guaranty Muni. Corp. Insured) (b)  | 225000  | 225000  |
|  Series 2007, 2.7%, tender 12/6/22 (Assured Guaranty Muni. Corp. Insured) (b)  | 2725000  | 2725000  |
|  Series 2008 A-3, 2.8%, tender 8/1/26 (Assured Guaranty Muni. Corp. Insured) (b)  | 2425000  | 2425000  |
|  Series 2008 C-4, 2.75%, tender 10/1/27 (b)  | 8675000  | 8675000  |
|  Series 2013 D, 5% 8/1/23  | 1605000  | 1611534  |
|  Series 2013 F1, 5% 3/1/24  | 250000  | 251499  |
|  Series 2013 I, 5% 8/1/23  | 200000  | 203272  |
|  Series 2014 J, 5% 8/1/25  | 410000  | 424788  |
|  Series 2015 A, 5% 8/1/23  | 570000  | 579325  |
|  Series 2017 C, 5% 8/1/23  | 120000  | 121963  |
|  Series 2018 A:  |  |  |
|  5% 8/1/23 <br>| 200000  | 203272  |
|  5% 8/1/24 <br>| 150000  | 155958  |
|  5% 8/1/26 <br>| 565000  | 610561  |
|  Series 2020 A1, 5% 8/1/27  | 1700000  | 1866355  |
|  Series 2021 F1, 5% 3/1/23  | 85000  | 85533  |
|  Series 2022 B1, 5% 8/1/28  | 1935000  | 2159380  |
|  Series A:  |  |  |
|  4% 8/1/23 <br>| 995000  | 1004774  |
|  5% 8/1/23 <br>| 100000  | 101636  |
|  5% 8/1/25 <br>| 670000  | 694166  |
|  Series C:  |  |  |
|  5% 8/1/23 <br>| 300000  | 304908  |
|  5% 8/1/26 <br>| 220000  | 237740  |
|  Series D, 5% 8/1/25  | 710000  | 712845  |
|  Series F1:  |  |  |
|  5% 3/1/27 <br>| 325000  | 326762  |
|  5% 3/1/37 (Pre-Refunded to 3/1/23 @ 100) <br>| 405000  | 407601  |
|  Series H3, 5% 8/1/23  | 475000  | 482771  |
|  Series I1, 5% 3/1/27  | 200000  | 205379  |
|  New York City Health & Hosp. Corp. Rev. Series A, 4% 2/15/25  | 1440000  | 1478677  |
|  New York City Hsg. Dev. Corp. Series G1, 2.35% 11/1/23  | 450000  | 447936  |
|  New York City Hsg. Dev. Corp. Multifamily Hsg. Bonds:  |  |  |
|  Series 2021 C2, 0.7%, tender 7/1/25 (b)  | 2710000  | 2513343  |
|  Series 2021 K2, 0.9%, tender 1/1/26 (b)  | 1820000  | 1667615  |
|  Series 2021, 0.6%, tender 7/1/25 (b)  | 430000  | 396448  |
|  Series A3, 1.125%, tender 11/1/24 (b)  | 2000000  | 1914394  |
|  New York City Indl. Dev. Agcy. Rev. Series 2021 A:  |  |  |
|  5% 1/1/25 (Assured Guaranty Muni. Corp. Insured)  | 1000000  | 1041040  |
|  5% 1/1/26 (Assured Guaranty Muni. Corp. Insured)  | 365000  | 386143  |
|  New York City Muni. Wtr. Fin. Auth. Wtr. & Swr. Sys. Rev. Series 2022 DD, 1.96% 6/15/33 (b)  | 2000000  | 2000000  |
|  New York City Transitional Fin. Auth. Bldg. Aid Rev.:  |  |  |
|  Series 2016 S 1:  |  |  |
|  5% 7/15/24 <br>| 70000  | 72619  |
|  5% 7/15/24 (Escrowed to Maturity) <br>| 305000  | 316175  |
|  Series 2018 S1, 5% 7/15/25 (Escrowed to Maturity)  | 370000  | 392789  |
|  Series S1, 5% 7/15/23 (Escrowed to Maturity)  | 600000  | 609247  |
|  New York City Transitional Fin. Auth. Rev.:  |  |  |
|  Series 2007 A3:  |  |  |
|  5% 8/1/23 <br>| 165000  | 167480  |
|  5% 8/1/23 <br>| 880000  | 894631  |
|  Series 2014 D1, 5% 2/1/27  | 350000  | 358687  |
|  Series 2021 F1, 5% 11/1/27  | 775000  | 858333  |
|  Series 2022 B1, 5% 11/1/25  | 2000000  | 2134322  |
|  Series A1:  |  |  |
|  5% 5/1/23 <br>| 300000  | 303181  |
|  5% 8/1/24 <br>| 250000  | 259930  |
|  New York Dorm. Auth. Personal Income Tax Rev.:  |  |  |
|  Series 2012 A, 4% 12/15/22 (Escrowed to Maturity)  | 325000  | 325194  |
|  Series 2014 A, 5% 2/15/26 (Pre-Refunded to 2/15/24 @ 100)  | 865000  | 889872  |
|  Series 2014 E, 5% 2/15/26 (Pre-Refunded to 2/15/25 @ 100)  | 300000  | 315883  |
|  Series 2015 E, 5% 3/15/23 (Escrowed to Maturity)  | 300000  | 302249  |
|  Series 2016 D:  |  |  |
|  5% 2/15/23 (Escrowed to Maturity) <br>| 665000  | 668547  |
|  5% 2/15/25 (Escrowed to Maturity) <br>| 455000  | 479089  |
|  New York Dorm. Auth. Rev.:  |  |  |
|  Series 2015 A:  |  |  |
|  5% 5/1/23 <br>| 510000  | 514370  |
|  5% 7/1/24 <br>| 275000  | 285318  |
|  Series 2015, 5% 12/1/22 (e)  | 700000  | 700000  |
|  Series 2021 A, 5% 7/1/24  | 1410000  | 1451168  |
|  Series 2022 A:  |  |  |
|  5% 7/1/26 <br>| 200000  | 210757  |
|  5% 7/1/27 <br>| 500000  | 532377  |
|  New York Dorm. Auth. Sales Tax Rev.:  |  |  |
|  Series 2015 A, 5% 3/15/24  | 250000  | 257668  |
|  Series 2017 A, 5% 3/15/24  | 445000  | 458648  |
|  New York Metropolitan Trans. Auth. Dedicated Tax Fund Rev.:  |  |  |
|  Series 2016 A:  |  |  |
|  4% 11/15/25 <br>| 350000  | 359995  |
|  5% 11/15/26 <br>| 1055000  | 1133615  |
|  Series 2016 B1, 5% 11/15/25  | 255000  | 269550  |
|  Series 2017 B2, 5% 11/15/24  | 420000  | 436643  |
|  New York Metropolitan Trans. Auth. Rev.:  |  |  |
|  Bonds:  |  |  |
|  Series 2005 D1, U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.330% 2.883%, tender 4/1/24 (b)(c) <br>| 5390000  | 5258837  |
|  Series 2019 D1, 5%, tender 11/15/24 (b) <br>| 4000000  | 4105489  |
|  Series 2020 A2, 5%, tender 5/15/24 (b) <br>| 800000  | 815831  |
|  Series 2016 B, 5% 11/15/23  | 2035000  | 2065591  |
|  Series 2016 D, 5% 11/15/27  | 1070000  | 1114301  |
|  Series 2017 A2, 5% 11/15/25  | 1880000  | 1955894  |
|  Series 2017 B, 5% 11/15/23  | 780000  | 791725  |
|  Series 2017 C1, 5% 11/15/28  | 660000  | 684828  |
|  Series 2017 D:  |  |  |
|  5% 11/15/23 <br>| 420000  | 426314  |
|  5% 11/15/25 <br>| 2140000  | 2210007  |
|  Series 2020 A, 5% 2/1/23  | 8530000  | 8553995  |
|  New York State Dorm. Auth.:  |  |  |
|  Series 2012 A:  |  |  |
|  5% 12/15/23 (Pre-Refunded to 12/15/22 @ 100) <br>| 345000  | 345313  |
|  5% 12/15/23 (Pre-Refunded to 12/15/22 @ 100) <br>| 415000  | 415384  |
|  Series 2017 A:  |  |  |
|  5% 2/15/23 <br>| 555000  | 557917  |
|  5% 2/15/25 <br>| 250000  | 262741  |
|  5% 2/15/25 (Escrowed to Maturity) <br>| 440000  | 461941  |
|  Series 2017 B:  |  |  |
|  5% 2/15/23 <br>| 210000  | 211104  |
|  5% 2/15/23 (Escrowed to Maturity) <br>| 455000  | 457305  |
|  Series 2018 A, 5% 3/15/25 (Escrowed to Maturity)  | 200000  | 210968  |
|  Series 2019 D, 5% 2/15/23  | 390000  | 392050  |
|  Series 2020 A, 5% 3/15/23 (Escrowed to Maturity)  | 250000  | 251874  |
|  New York State Energy Research & Dev. Auth. Poll. Cont. Rev. Series 1999, 3.35%, tender 12/2/22 (AMBAC Insured) (b)  | 300000  | 300000  |
|  New York State Hsg. Fin. Agcy. Rev.:  |  |  |
|  Bonds:  |  |  |
|  Series 2021 D2, 0.65%, tender 11/1/25 (b) <br>| 405000  | 369268  |
|  Series 2021 J2, 1.1%, tender 5/1/27 (b) <br>| 980000  | 870916  |
|  Series 2021 K2, 1%, tender 11/1/26 (b) <br>| 265000  | 240403  |
|  Series J, 0.75% 5/1/25  | 360000  | 337123  |
|  New York State Mtg. Agcy. Homeowner Mtg.:  |  |  |
|  Series 2021 232, 5% 4/1/24 (d)  | 1110000  | 1132412  |
|  Series 221, 3.5% 10/1/32 (d)  | 50000  | 48915  |
|  New York Trans. Dev. Corp.:  |  |  |
|  (Delta Air Lines, Inc. Laguardia Arpt. Terminals C&D Redev. Proj.) Series 2018, 5% 1/1/23 (d)  | 2500000  | 2501183  |
|  (Term. 4 JFK Int'l. Arpt. Proj.):  |  |  |
|  Series 2020 A: <br>|  |  |
|  5% 12/1/22 (d) <br>| 475000  | 475000  |
|  5% 12/1/23 (d) <br>| 675000  | 684392  |
|  5% 12/1/25 (d) <br>| 1100000  | 1136954  |
|  Series 2020 C: <br>|  |  |
|  5% 12/1/22 <br>| 2355000  | 2355000  |
|  5% 12/1/23 <br>| 1000000  | 1018346  |
|  (Term. 4 John F. Kennedy Int'l. Arpt. Proj.) Series 2022:  |  |  |
|  5% 12/1/26 (d) <br>| 3190000  | 3308677  |
|  5% 12/1/27 (d) <br>| 1585000  | 1649458  |
|  New York Urban Dev. Corp. Rev.:  |  |  |
|  Series 2013 A1, 4% 3/15/23  | 250000  | 251141  |
|  Series 2013 D, 5% 3/15/24 (Pre-Refunded to 3/15/23 @ 100)  | 355000  | 357374  |
|  Series 2014 A, 5% 3/15/26 (Pre-Refunded to 3/15/24 @ 100)  | 340000  | 350428  |
|  Series 2016 A:  |  |  |
|  5% 3/15/23 <br>| 640000  | 644731  |
|  5% 3/15/29 <br>| 420000  | 446863  |
|  Series 2017 A, 5% 3/15/23  | 200000  | 201478  |
|  Niagara Frontier Trans. Auth. Arpt. Rev. Series 2019 A:  |  |  |
|  5% 4/1/23 (d)  | 4225000  | 4252435  |
|  5% 4/1/24 (d)  | 2885000  | 2954994  |
|  Poughkeepsie Gen. Oblig. Series 2021, 4% 4/15/23  | 270000  | 270696  |
|  Rockland County Gen. Oblig. Series 2014 A, 5% 3/1/23 (Assured Guaranty Muni. Corp. Insured)  | 275000  | 276739  |
|  Suffolk County Gen. Oblig.:  |  |  |
|  Series 2022 A:  |  |  |
|  5% 6/15/24 <br>| 280000  | 289198  |
|  5% 6/15/25 <br>| 295000  | 310468  |
|  Series 2022 B:  |  |  |
|  5% 10/1/25 <br>| 340000  | 359738  |
|  5% 10/1/26 <br>| 175000  | 188036  |
|  Syracuse Reg'l. Arpt. Auth. Series 2021, 5% 7/1/23 (d)  | 750000  | 757498  |
|  Triborough Bridge & Tunnel Auth.:  |  |  |
|  Bonds:  |  |  |
|  Series 2021 A2: <br>|  |  |
|  2%, tender 5/15/24 (b) <br>| 1000000  | 977043  |
|  2%, tender 5/15/26 (b) <br>| 1285000  | 1210906  |
|  Series 2021 B, 5%, tender 5/15/26 (b) <br>| 5000000  | 5302430  |
|  Series 2021 C, 5%, tender 5/15/26 (b) <br>| 4200000  | 4449804  |
|  Series 2022 A, 5% 8/15/24  | 10000000  | 10409362  |
|  Triborough Bridge & Tunnel Auth. Revs.:  |  |  |
|  Bonds Series 2005 B 4A, U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.380% 2.926%, tender 2/1/24 (b)(c)  | 1980000  | 1953677  |
|  Series 2013 A, 5% 11/15/26  | 400000  | 404379  |
|  Series 2016 A, 5% 11/15/23  | 400000  | 409071  |
|  Yonkers Gen. Oblig.:  |  |  |
|  Series 2021 A:  |  |  |
|  4% 2/15/24 <br>| 250000  | 254063  |
|  5% 2/15/26 (Assured Guaranty Muni. Corp. Insured) <br>| 400000  | 426258  |
|  Series 2021 B:  |  |  |
|  4% 2/15/24 <br>| 290000  | 294713  |
|  5% 2/15/26 <br>| 320000  | 341411  |
|  TOTAL NEW YORK  |  | 162973556  |
| New York And New Jersey - 0.3%  |  |  |
|  Port Auth. of New York & New Jersey:  |  |  |
|  Series 186, 5% 10/15/23 (d)  | 500000  | 507613  |
|  Series 188, 5% 5/1/23 (d)  | 200000  | 201532  |
|  Series 189, 5% 5/1/23  | 200000  | 202062  |
|  Series 2013 178, 5% 12/1/25 (d)  | 975000  | 990388  |
|  Series 2013:  |  |  |
|  5% 12/1/22 <br>| 275000  | 275000  |
|  5% 12/1/24 (d) <br>| 250000  | 254164  |
|  Series 2014 185, 5% 9/1/25 (d)  | 415000  | 426875  |
|  Series 2018, 5% 9/15/25 (d)  | 390000  | 406981  |
|  Series 2020 221, 5% 7/15/24 (d)  | 605000  | 621617  |
|  Series 207:  |  |  |
|  5% 9/15/23 (d) <br>| 2095000  | 2124074  |
|  5% 9/15/24 (d) <br>| 430000  | 442935  |
|  Series 223:  |  |  |
|  5% 7/15/23 (d) <br>| 3675000  | 3716174  |
|  5% 7/15/24 (d) <br>| 1250000  | 1284334  |
|  5% 7/15/25 (d) <br>| 885000  | 921432  |
|  TOTAL NEW YORK AND NEW JERSEY  |  | 12375181  |
| North Carolina - 1.0%  |  |  |
|  Charlotte Int'l. Arpt. Rev.:  |  |  |
|  Series 2017 B, 5% 7/1/25 (d)  | 100000  | 104364  |
|  Series 2021 B, 5% 7/1/24 (d)  | 2000000  | 2056834  |
|  Charlotte-Mecklenburg Hosp. Auth. Health Care Sys. Rev. Bonds:  |  |  |
|  Series 2018 B, 1.95%, tender 11/1/29 (b)  | 3000000  | 2668579  |
|  Series 2018 E, 0.8%, tender 10/31/25 (b)  | 1500000  | 1409322  |
|  Series 2021 B, 5%, tender 12/2/24 (b)  | 1360000  | 1414876  |
|  Columbus County Indl. Facilities And Poll. Cont. Fing. Auth. Rev. Bonds Series 2019 C, 2.1%, tender 10/1/24 (b)(d)  | 2000000  | 1926005  |
|  New Hanover County Hosp. Rev. Series 2017, 5% 10/1/26 (Escrowed to Maturity)  | 290000  | 314670  |
|  North Carolina Grant Anticipation Rev.:  |  |  |
|  Series 2017, 5% 3/1/23  | 450000  | 452767  |
|  Series 2019, 5% 3/1/25  | 335000  | 352316  |
|  Series 2021, 5% 3/1/25  | 1250000  | 1314613  |
|  North Carolina Med. Care Commission Health Care Facilities Rev. Bonds Series 2019 B, 2.2%, tender 12/1/22 (b)  | 3465000  | 3465000  |
|  North Carolina Muni. Pwr. Agcy. #1 Catawba Elec. Rev.:  |  |  |
|  Series 2015 A:  |  |  |
|  5% 1/1/23 <br>| 385000  | 385779  |
|  5% 1/1/25 <br>| 200000  | 208785  |
|  Series 2015 B, 5% 1/1/23  | 425000  | 425860  |
|  North Carolina State Ed. Assistance Auth. Student Ln. Rev. Series 2020 A, 5% 6/1/26 (d)  | 1000000  | 1053394  |
|  North Carolina Tpk. Auth. Triangle Expressway Sys. Series 2020 C, 5% 2/1/24  | 22600000  | 23132142  |
|  Raleigh Durham Arpt. Auth. Arpt. Rev.:  |  |  |
|  Series 2017 A, 5% 5/1/23 (d)  | 235000  | 237023  |
|  Series 2020 A:  |  |  |
|  5% 5/1/23 (d) <br>| 340000  | 342928  |
|  5% 5/1/27 (d) <br>| 130000  | 138141  |
|  TOTAL NORTH CAROLINA  |  | 41403398  |
| North Dakota - 0.1%  |  |  |
|  Cass County Joint Wtr. Resource District Series 2021 A, 0.48% 5/1/24  | 3000000  | 2853924  |
| Ohio - 0.8%  |  |  |
|  Akron Bath Copley Hosp. District Rev. Series 2016, 5% 11/15/24  | 45000  | 46386  |
|  Allen County Hosp. Facilities Rev.:  |  |  |
|  Bonds Series 2022 B1, 5%, tender 8/3/27 (b)  | 5000000  | 5412598  |
|  Series 2017 A, 5% 8/1/23  | 2675000  | 2715564  |
|  Series 2020 A:  |  |  |
|  5% 12/1/22 <br>| 1550000  | 1550000  |
|  5% 12/1/23 <br>| 1000000  | 1022707  |
|  American Muni. Pwr., Inc. Rev.:  |  |  |
|  Bonds Series 2021 A2, 1%, tender 8/15/24 (b)  | 565000  | 541603  |
|  Series 2021 A:  |  |  |
|  4% 2/15/23 <br>| 1500000  | 1504049  |
|  5% 2/15/24 <br>| 555000  | 569480  |
|  Cleveland Arpt. Sys. Rev.:  |  |  |
|  Series 2016 A:  |  |  |
|  5% 1/1/24 (Assured Guaranty Muni. Corp. Insured) <br>| 25000  | 25608  |
|  5% 1/1/25 (Assured Guaranty Muni. Corp. Insured) <br>| 395000  | 411536  |
|  5% 1/1/26 (Assured Guaranty Muni. Corp. Insured) <br>| 10000  | 10395  |
|  Series 2018 A:  |  |  |
|  5% 1/1/25 (d) <br>| 1425000  | 1468632  |
|  5% 1/1/26 (d) <br>| 290000  | 302109  |
|  Series 2019 B, 5% 1/1/27 (d)  | 350000  | 368640  |
|  Dayton City School District Ctfs. Prtn. Series 2021:  |  |  |
|  3% 12/1/22  | 270000  | 270000  |
|  3% 12/1/24  | 165000  | 165214  |
|  Fairfield County Hosp. Facilities Rev. (Fairfield Med. Ctr. Proj.) Series 2013, 5% 6/15/23  | 40000  | 40255  |
|  Franklin County Hosp. Facilities Rev. Bonds (U.S. Health Corp. of Columbus Proj.) Series 2011 B, 5%, tender 5/15/23 (b)  | 1325000  | 1337766  |
|  Franklin County Rev. Bonds Series 2013 OH, 3.3%, tender 2/1/23 (b)  | 5050000  | 5055751  |
|  Gahanna-Jefferson City School District (School Facilities Proj.) Series 2021:  |  |  |
|  2% 12/1/22  | 425000  | 425000  |
|  2% 12/1/23  | 355000  | 351770  |
|  Miami County Hosp. Facilities Rev. (Kettering Health Network Obligated Group Proj.) Series 2019:  |  |  |
|  5% 8/1/24  | 770000  | 793582  |
|  5% 8/1/25  | 310000  | 324652  |
|  5% 8/1/26  | 535000  | 567378  |
|  Miami Univ. Series 2022 A, 5% 9/1/24  | 550000  | 571634  |
|  Montgomery County Hosp. Rev. (Kettering Health Network Obligated Group Proj.) Series 2021, 5% 8/1/23  | 485000  | 491422  |
|  Ohio Gen. Oblig. Series 2021 A, 5% 3/1/23  | 800000  | 805058  |
|  Ohio Higher Edl. Facility Commission Rev.:  |  |  |
|  (Case Western Reserve Univ. Proj.) Series 2016, 5% 12/1/22  | 585000  | 585000  |
|  (Xavier Univ. 2020 Proj.) Series 2020, 5% 5/1/24  | 490000  | 503219  |
|  Ohio Hosp. Facilities Rev. Series 2017 A:  |  |  |
|  5% 1/1/23  | 605000  | 606159  |
|  5% 1/1/25  | 60000  | 62722  |
|  Ohio Hsg. Fin. Agcy. Residential Mtg. Rev. (Mtg. Backed Securities Prog.) Series 2019 B, 4.5% 3/1/50  | 35000  | 35456  |
|  Ohio Tpk. Commission Tpk. Rev. (Infrastructure Projs.) Series 2022 A:  |  |  |
|  5% 2/15/24  | 55000  | 56567  |
|  5% 2/15/25  | 1055000  | 1108508  |
|  Scioto County Hosp. Facilities Rev.:  |  |  |
|  Series 2016:  |  |  |
|  5% 2/15/23 <br>| 45000  | 45179  |
|  5% 2/15/24 <br>| 35000  | 35767  |
|  5% 2/15/25 <br>| 35000  | 36356  |
|  5% 2/15/26 <br>| 405000  | 423987  |
|  Series 2019, 5% 2/15/29  | 800000  | 833636  |
|  Toledo Gen. Oblig. Series 2020:  |  |  |
|  3% 12/1/24  | 510000  | 510562  |
|  3% 12/1/24  | 425000  | 425960  |
|  Univ. of Akron Gen. Receipts Series 2019 A:  |  |  |
|  5% 1/1/24  | 300000  | 307453  |
|  5% 1/1/25  | 400000  | 413305  |
|  TOTAL OHIO  |  | 33138625  |
| Oklahoma - 0.6%  |  |  |
|  Canadian Cny Edl. Facilities Auth. Series 2021, 3% 9/1/23  | 2000000  | 2006083  |
|  Cleveland County Edl. Facilities Auth. (Moore Pub. Schools Proj.) Series 2021:  |  |  |
|  4% 6/1/24  | 1050000  | 1066991  |
|  4% 6/1/25  | 295000  | 302537  |
|  Jackson County Facilities Auth. Rev. (Jackson County Courthouse Proj.) Series 2022:  |  |  |
|  3% 10/1/24  | 400000  | 397758  |
|  3% 10/1/25  | 730000  | 722181  |
|  Mcintosh County Edl. Facilities Auth. (Checotah Pub. School Proj.) Series 2022, 2% 9/1/25  | 650000  | 623092  |
|  Oklahoma City Arpt. Trust Series 2018, 5% 7/1/24 (d)  | 1665000  | 1709719  |
|  Oklahoma Dev. Fin. Auth. Health Sys. Rev. Series 2020 C, 2.37% 8/15/31 (b)  | 2680000  | 2680000  |
|  Oklahoma Dev. Fin. Auth. Rev.:  |  |  |
|  (Gilcrease Expressway West Proj.) Series 2020, 1.625% 7/6/23 (d)  | 4000000  | 3930776  |
|  (Oklahoma City Univ. Proj.) Series 2019, 5% 8/1/23  | 560000  | 563366  |
|  Oklahoma Tpk. Auth. Tpk. Rev. Series 2017 D, 5% 1/1/25  | 315000  | 329161  |
|  Osage County Indl. Auth. Series 2022, 2% 9/1/23  | 3500000  | 3457821  |
|  Tulsa County Independent School District #1 Series 2021 B, 0.25% 9/1/24  | 4000000  | 3754842  |
|  Tulsa County Indl. Auth. Edl. Facilities Lease Rev. (Berryhill Pub. School Proj.) Series 2020:  |  |  |
|  4% 9/1/24  | 445000  | 453049  |
|  4% 9/1/25  | 690000  | 707657  |
|  Univ. of Oklahoma Gen. Rev.:  |  |  |
|  Series 2020 B, 4% 7/1/24  | 490000  | 496807  |
|  Series 2021 A, 5% 7/1/23 (Assured Guaranty Muni. Corp. Insured)  | 1125000  | 1139825  |
|  TOTAL OKLAHOMA  |  | 24341665  |
| Oregon - 0.3%  |  |  |
|  Oregon Bus. Dev. Commission Recovery Zone Facility Bonds (Intel Corp. Proj.) Series 232, 2.4%, tender 8/14/23 (b)  | 6770000  | 6719098  |
|  Oregon Gen. Oblig. Series 2021 A, 5% 5/1/24  | 1500000  | 1551227  |
|  Port of Morrow Full Faith and Cr. Obligations Series 2021 D:  |  |  |
|  4% 12/1/22  | 135000  | 135000  |
|  4% 12/1/23  | 110000  | 111162  |
|  4% 12/1/24  | 150000  | 152908  |
|  4% 12/1/25  | 150000  | 154007  |
|  Port of Portland Arpt. Rev.:  |  |  |
|  Series 2014 22, 5% 7/1/25 (d)  | 1255000  | 1285553  |
|  Series 2015 23, 5% 7/1/23  | 275000  | 278863  |
|  Series 2022, 5% 7/1/25 (d)  | 1315000  | 1366426  |
|  Series 26 C:  |  |  |
|  5% 7/1/23 (d) <br>| 2000000  | 2021725  |
|  5% 7/1/24 (d) <br>| 1000000  | 1027170  |
|  Salem Hosp. Facility Auth. Rev. (Cap. Manor Proj.) Series 2022, 5% 5/15/26  | 135000  | 135208  |
|  TOTAL OREGON  |  | 14938347  |
| Pennsylvania - 3.3%  |  |  |
|  Allegheny County Hosp. Dev. Auth. Rev.:  |  |  |
|  Bonds Series 2017 E, 0.000% x SIFMA Municipal Swap Index 2.6%, tender 5/15/27 (b)(c)  | 4000000  | 3891163  |
|  Series 2019 A, 5% 7/15/24  | 1745000  | 1804109  |
|  Series 2021 B:  |  |  |
|  5% 10/15/23 <br>| 950000  | 967750  |
|  5% 10/15/24 <br>| 705000  | 732338  |
|  5% 10/15/25 <br>| 740000  | 781833  |
|  Allegheny County Sanitation Auth. Swr. Rev. Series 2020 A, 4% 6/1/24  | 300000  | 306005  |
|  Bucks Co. Indl. Dev. Auth. Solid Waste Rev. Bonds (Waste Mgmt., Inc. Proj.) Series 2002, 2.75%, tender 12/1/22 (b)(d)  | 1700000  | 1700000  |
|  Chester County Health & Ed. Facilities Auth. Health Sys. Rev. Series C, 3% 9/1/23  | 245000  | 245745  |
|  Coatesville Area School District Series 2017, 5% 8/1/23 (Assured Guaranty Muni. Corp. Insured)  | 710000  | 720719  |
|  Commonwealth Fing. Auth. Rev.:  |  |  |
|  Series 2019 B, 5% 6/1/24  | 275000  | 283737  |
|  Series 2020 A, 5% 6/1/23  | 350000  | 353907  |
|  Delaware County Auth. Univ. Rev. Series 2020, 5% 10/1/23  | 240000  | 241926  |
|  Delaware River Port Auth. Pennsylvania & New Jersey Rev. Series 2022:  |  |  |
|  5% 1/1/24 (f)  | 1700000  | 1740357  |
|  5% 1/1/25 (f)  | 1805000  | 1888328  |
|  Laurel Highlands School District Series 2021:  |  |  |
|  4% 2/1/24  | 635000  | 642742  |
|  4% 2/1/25  | 345000  | 353208  |
|  Lycoming County Auth. Rev. Bonds Series 2013 S2, 4.5%, tender 11/1/35 (b)  | 1400000  | 1400000  |
|  Monroeville Fin. Auth. UPMC Rev. Series 2012, 3% 2/15/23  | 340000  | 340134  |
|  Montgomery County Higher Ed. & Health Auth. Rev.:  |  |  |
|  Series 2014 A, 5% 10/1/23  | 5000  | 5056  |
|  Series 2019:  |  |  |
|  5% 9/1/23 <br>| 500000  | 507374  |
|  5% 9/1/26 <br>| 1250000  | 1333063  |
|  Neshannock Township School District Gen. Oblig. Series 2021 B, 2% 9/1/23  | 325000  | 322596  |
|  Northampton County Gen. Purp. College Rev. Series 2017, 5% 11/1/23  | 365000  | 372817  |
|  Octorara Area School District Chester and Lancaster Counties Series 2020, 4% 4/1/23  | 700000  | 703170  |
|  Parkland School District Series 2021 A, 3% 2/1/24  | 225000  | 226010  |
|  Pennsylvania Econ. Dev. Fing. Auth.:  |  |  |
|  Series 2017 A, 5% 11/15/23  | 225000  | 229589  |
|  Series 2021 A, 4% 10/15/23  | 425000  | 429318  |
|  Pennsylvania Econ. Dev. Fing. Auth. Solid Waste Disp. Rev. Bonds:  |  |  |
|  (Republic Svcs., Inc. Proj.):  |  |  |
|  Series 2019 A, 3.875%, tender 1/17/23 (b)(d) <br>| 4100000  | 4102556  |
|  Series 2019 B1, 3.875%, tender 1/17/23 (b)(d) <br>| 900000  | 900561  |
|  (Republic Svcs., Inc. Proj.):  |  |  |
|  Series 2014, 3.6%, tender 6/1/44 (b)(d) <br>| 10000000  | 10001969  |
|  Series 2019 B2, 2.35%, tender 1/17/23 (b)(d) <br>| 3800000  | 3795092  |
|  (Waste Mgmt., Inc. Proj.) Series 2013, 4%, tender 2/1/23 (b)(d)  | 25500000  | 25529687  |
|  (Waste Mgmt., Inc. Proj.):  |  |  |
|  Series 2017 A, 0.58%, tender 8/1/24 (b)(d) <br>| 500000  | 469672  |
|  Series 2021 A, SIFMA Municipal Swap Index + 0.400% 2.3%, tender 6/3/24 (b)(c)(d) <br>| 1365000  | 1313715  |
|  Series 2011, 2.15%, tender 7/1/24 (b)(d)  | 775000  | 748642  |
|  Pennsylvania Gen. Oblig.:  |  |  |
|  Series 2015 1, 5% 8/15/23  | 780000  | 793782  |
|  Series 2019, 5% 7/15/25  | 1000000  | 1059218  |
|  Pennsylvania Higher Edl. Facilities Auth. Rev. Series 2014, 5% 12/1/22  | 20000  | 20000  |
|  Pennsylvania Hsg. Fin. Agcy.:  |  |  |
|  Bonds:  |  |  |
|  Series 2018 127C, 3.381%, tender 12/1/22 (b)(c) <br>| 4000000  | 4003359  |
|  Series 2019, 1.4%, tender 1/1/23 (b) <br>| 4500000  | 4493561  |
|  Series 2021 134 B, 5% 10/1/23 (d)  | 1000000  | 1015080  |
|  Series 2021 134B, 5% 10/1/24 (d)  | 1000000  | 1029165  |
|  Series 2021 135 B:  |  |  |
|  5% 4/1/23 (d) <br>| 660000  | 664812  |
|  5% 10/1/23 (d) <br>| 1025000  | 1042065  |
|  5% 4/1/24 (d) <br>| 600000  | 613295  |
|  5% 10/1/24 (d) <br>| 805000  | 829057  |
|  5% 4/1/25 (d) <br>| 180000  | 186528  |
|  Series 2021 137:  |  |  |
|  0.45% 10/1/23 <br>| 325000  | 318639  |
|  5% 4/1/24 <br>| 200000  | 205750  |
|  5% 4/1/25 <br>| 200000  | 209544  |
|  5% 10/1/26 <br>| 280000  | 300017  |
|  Series 2022 138, 5% 4/1/25  | 2415000  | 2530247  |
|  Pennsylvania Hsg. Fin. Agcy. Multifamily Hsg. Dev. Rev. Bonds Series 2022:  |  |  |
|  1.25%, tender 2/1/24 (b)  | 6000000  | 5855666  |
|  1.5%, tender 7/1/23 (b)  | 9000000  | 8910419  |
|  Pennsylvania Tpk. Commission Tpk. Rev.:  |  |  |
|  Series 2021 B:  |  |  |
|  5% 12/1/22 <br>| 800000  | 800000  |
|  5% 12/1/23 <br>| 1410000  | 1442999  |
|  Series 2022 B:  |  |  |
|  5% 12/1/23 (f) <br>| 435000  | 445180  |
|  5% 12/1/24 (f) <br>| 425000  | 444317  |
|  5% 12/1/25 (f) <br>| 425000  | 453172  |
|  Philadelphia Arpt. Rev.:  |  |  |
|  Series 2015 A:  |  |  |
|  5% 6/15/24 (d) <br>| 1315000  | 1348407  |
|  5% 6/15/26 (d) <br>| 1000000  | 1034366  |
|  Series 2017 A, 5% 7/1/24  | 40000  | 41293  |
|  Series 2017 B:  |  |  |
|  5% 7/1/23 (d) <br>| 3280000  | 3313736  |
|  5% 7/1/24 (d) <br>| 1160000  | 1190253  |
|  5% 7/1/25 (d) <br>| 440000  | 456435  |
|  Series 2020 C, 5% 7/1/23 (d)  | 8930000  | 9021849  |
|  Series 2021:  |  |  |
|  5% 7/1/24 (d) <br>| 1970000  | 2021378  |
|  5% 7/1/25 (d) <br>| 3925000  | 4071608  |
|  5% 7/1/28 (d) <br>| 95000  | 101561  |
|  Philadelphia Auth. for Indl. Dev. Series 2020 C, 4% 11/1/24  | 535000  | 542822  |
|  Philadelphia School District:  |  |  |
|  Series 2019 A, 5% 9/1/23  | 185000  | 188267  |
|  Series 2021 B, 5% 9/1/23  | 660000  | 671654  |
|  Pittsburgh & Allegheny County Sports & Exhibition Auth. Series 2020, 4% 2/1/23 (Assured Guaranty Muni. Corp. Insured)  | 1775000  | 1778740  |
|  Pittsburgh Wtr. & Swr. Auth. Wtr. & Swr. Sys. Rev.:  |  |  |
|  Bonds Series 2017 C, 1 month U.S. LIBOR + 0.640% 2.55%, tender 12/1/22 (Assured Guaranty Muni. Corp. Insured) (b)(c)  | 4000000  | 3995635  |
|  Series 2019 A, 5% 9/1/23  | 270000  | 274586  |
|  Reading School District Series 2017:  |  |  |
|  5% 3/1/25 (Assured Guaranty Muni. Corp. Insured)  | 5000  | 5222  |
|  5% 3/1/26 (Assured Guaranty Muni. Corp. Insured)  | 5000  | 5312  |
|  5% 3/1/27 (Assured Guaranty Muni. Corp. Insured)  | 5000  | 5397  |
|  5% 3/1/28 (Assured Guaranty Muni. Corp. Insured)  | 5000  | 5349  |
|  Southcentral Pennsylvania Gen. Auth. Rev. Series 2021 TT2:  |  |  |
|  5% 5/1/24  | 210000  | 215665  |
|  5% 5/1/25  | 340000  | 353626  |
|  5% 5/1/26  | 320000  | 337036  |
|  Southeastern Pennsylvania Trans. Auth. Rev. Series 2020, 5% 6/1/23  | 750000  | 758931  |
|  Township of East Vincent Gen. Oblig. Series 2021:  |  |  |
|  3% 12/1/23  | 200000  | 200651  |
|  3% 12/1/24  | 250000  | 251262  |
|  Westmoreland County Indl. Dev. Auth. (Excela Health Proj.) Series 2020 A:  |  |  |
|  4% 7/1/23  | 350000  | 351103  |
|  4% 7/1/24  | 450000  | 452997  |
|  TOTAL PENNSYLVANIA  |  | 140045901  |
| Rhode Island - 0.1%  |  |  |
|  Rhode Island Commerce Corp. Series 2016 A, 5% 6/15/24  | 1010000  | 1040253  |
|  Rhode Island Health & Edl. Bldg. Corp. Higher Ed. Facilities Rev. Series 2016:  |  |  |
|  5% 5/15/23  | 25000  | 25159  |
|  5% 5/15/24  | 160000  | 162944  |
|  5% 5/15/25  | 120000  | 123057  |
|  Rhode Island Health & Edl. Bldg. Corp. Pub. Schools Rev. Series 2015, 5% 5/15/25 (Assured Guaranty Muni. Corp. Insured)  | 130000  | 137017  |
|  Rhode Island Hsg. & Mtg. Fin. Corp.:  |  |  |
|  Series 2019 70, 4% 10/1/49  | 65000  | 65039  |
|  Series 2022 76 A:  |  |  |
|  5% 4/1/27 <br>| 35000  | 37945  |
|  5% 4/1/28 <br>| 250000  | 274745  |
|  5% 4/1/29 <br>| 300000  | 332656  |
|  Rhode Island Student Ln. Auth. Student Ln. Rev.:  |  |  |
|  Series 2019 A, 5% 12/1/28 (d)  | 490000  | 525661  |
|  Series A, 4% 12/1/26 (d)  | 250000  | 253170  |
|  Tobacco Settlement Fing. Corp. Series 2015 A:  |  |  |
|  5% 6/1/26  | 75000  | 77009  |
|  5% 6/1/27  | 20000  | 20527  |
|  TOTAL RHODE ISLAND  |  | 3075182  |
| South Carolina - 0.6%  |  |  |
|  Charleston County Arpt. District Series 2013 A, 5.5% 7/1/27 (Pre-Refunded to 7/1/23 @ 100) (d)  | 850000  | 863730  |
|  Charleston County School District Series 2022, 4% 3/31/23  | 5000000  | 5026562  |
|  Patriots Energy Group Fing. Agcy. Bonds Series 2018 A, 4%, tender 2/1/24 (b)  | 9975000  | 10011095  |
|  Piedmont Muni. Pwr. Agcy. Elec. Rev. Series 2021 A, 4% 1/1/24  | 1000000  | 1012980  |
|  Scago Edl. Facilities Corp. for Colleton School District (School District of Colleton County Proj.) Series 2015:  |  |  |
|  5% 12/1/23  | 95000  | 97119  |
|  5% 12/1/26  | 25000  | 26186  |
|  South Carolina Assoc. of Governmental Organizations Ctfs. of Prtn. Series 2022 B, 4% 3/1/23  | 1770000  | 1776992  |
|  South Carolina Hsg. Fin. & Dev. Auth. Mtg. Rev. Series 2019 A, 4% 1/1/50  | 95000  | 95021  |
|  South Carolina Ports Auth. Ports Rev.:  |  |  |
|  Series 2015:  |  |  |
|  5.25% 7/1/50 (Pre-Refunded to 7/1/25 @ 100) (d) <br>| 670000  | 706074  |
|  5.25% 7/1/55 (Pre-Refunded to 7/1/25 @ 100) (d) <br>| 320000  | 337229  |
|  5.25% 7/1/55 (Pre-Refunded to 7/1/25 @ 100) (d) <br>| 175000  | 184422  |
|  Series 2019 B, 5% 7/1/26 (d)  | 185000  | 195206  |
|  South Carolina Pub. Svc. Auth. Rev.:  |  |  |
|  Series 2014 C:  |  |  |
|  5% 12/1/23 <br>| 110000  | 112127  |
|  5% 12/1/25 <br>| 190000  | 196479  |
|  Series 2015 A, 5% 12/1/25  | 115000  | 119864  |
|  Series 2020 A:  |  |  |
|  5% 12/1/22 <br>| 270000  | 270000  |
|  5% 12/1/22 (Escrowed to Maturity) <br>| 480000  | 480000  |
|  5% 12/1/23 <br>| 395000  | 404087  |
|  5% 12/1/23 <br>| 225000  | 229350  |
|  5% 12/1/24 <br>| 135000  | 140041  |
|  5% 12/1/24 (Escrowed to Maturity) <br>| 230000  | 240271  |
|  Series 2021 A:  |  |  |
|  5% 12/1/24 <br>| 375000  | 389002  |
|  5% 12/1/25 <br>| 850000  | 892815  |
|  Series 2022 C:  |  |  |
|  5% 12/1/23 <br>| 270000  | 275407  |
|  5% 12/1/25 <br>| 360000  | 378133  |
|  Series 2022 E:  |  |  |
|  5% 12/1/23 <br>| 500000  | 510014  |
|  5% 12/1/25 <br>| 150000  | 157556  |
|  5% 12/1/26 <br>| 170000  | 180779  |
|  Series A, 5% 12/1/23  | 1015000  | 1034625  |
|  Spartanburg County Reg'l. Health Series 2022, 5% 4/15/23  | 690000  | 695590  |
|  TOTAL SOUTH CAROLINA  |  | 27038756  |
| South Dakota - 0.0%  |  |  |
|  South Dakota Board of Regents Hsg. and Auxiliary Facilities Series 2021:  |  |  |
|  3% 4/1/23  | 275000  | 275402  |
|  3% 4/1/24  | 425000  | 426253  |
|  3% 4/1/25  | 500000  | 495009  |
|  South Dakota Health & Edl. Facilities Auth. Rev. Series 2020 A, 5% 9/1/23  | 335000  | 339941  |
|  South Dakota Hsg. Dev. Auth. Series 2017 D, 4% 11/1/47  | 605000  | 605477  |
|  TOTAL SOUTH DAKOTA  |  | 2142082  |
| Tennessee - 1.4%  |  |  |
|  Memphis Health, Edl. & Hsg. Facilities Board Bonds Series 2020, 0.25%, tender 12/1/22 (b)  | 1250000  | 1250000  |
|  Memphis-Shelby County Arpt. Auth. Arpt. Rev.:  |  |  |
|  Series 2020 B, 5% 7/1/23 (d)  | 1405000  | 1419856  |
|  Series 2021 A, 5% 7/1/25 (d)  | 2750000  | 2852719  |
|  Series 2021 C:  |  |  |
|  5% 7/1/23 (d) <br>| 1750000  | 1768505  |
|  5% 7/1/24 (d) <br>| 1850000  | 1899688  |
|  Metropolitan Gov Nashvle&David Ind. Bonds (Waste Mgmt., Inc. Proj.) Series 2001, 0.58%, tender 8/1/24 (b)(d)  | 400000  | 375738  |
|  Metropolitan Govt. Nashville & Davidson County Health & Edl. Facilities Board Bonds (Richland Hills Apts. Proj.) Series 2021, 1.25%, tender 12/1/23 (b)  | 4000000  | 3925301  |
|  Metropolitan Nashville Arpt. Auth. Rev. Series 2019 B, 5% 7/1/25 (d)  | 1910000  | 1981343  |
|  Nashville and Davidson County Metropolitan Govt. Gen. Oblig. Series 2022 B:  |  |  |
|  4% 1/1/23  | 10995000  | 11009129  |
|  4% 1/1/26  | 1425000  | 1479983  |
|  Tennergy Corp. Gas Rev.:  |  |  |
|  Bonds Series 2019 A, 5%, tender 10/1/24 (b)  | 10650000  | 10872493  |
|  Series 2021 A:  |  |  |
|  4% 3/1/23 <br>| 350000  | 350462  |
|  4% 9/1/23 <br>| 275000  | 275846  |
|  4% 3/1/24 <br>| 300000  | 301264  |
|  Tennessee Energy Acquisition Corp.:  |  |  |
|  Bonds (Gas Rev. Proj.) Series A, 4%, tender 5/1/23 (b)  | 17660000  | 17686033  |
|  Series 2021 A, 5% 11/1/23  | 250000  | 252525  |
|  Tennessee Gen. Oblig. Series 2015 A, 5% 8/1/30 (Pre-Refunded to 8/1/25 @ 100)  | 1510000  | 1602033  |
|  Tennessee Hsg. Dev. Agcy. Residential Series 2021 3A, 3% 1/1/52  | 245000  | 235817  |
|  TOTAL TENNESSEE  |  | 59538735  |
| Texas - 4.2%  |  |  |
|  Aledo Independent School District Series 2015, 0% 2/15/24  | 25000  | 24185  |
|  Andrews County Hosp. District Series 2021, 5% 3/15/26  | 1430000  | 1513177  |
|  Atascosa County Indl. Dev. Corp. Poll. Cont. Rev. Series 2020:  |  |  |
|  5% 12/15/23  | 450000  | 457177  |
|  5% 12/15/24  | 550000  | 566513  |
|  Austin Arpt. Sys. Rev.:  |  |  |
|  Series 2014, 5% 11/15/26 (d)  | 715000  | 735706  |
|  Series 2019:  |  |  |
|  5% 11/15/23 (d) <br>| 845000  | 860393  |
|  5% 11/15/24 (d) <br>| 3360000  | 3477635  |
|  Austin Wtr. & Wastewtr. Sys. Rev. Series 2022, 5% 11/15/25  | 1000000  | 1066827  |
|  Cameron County Tex Hsg. Fin. Corpm Bonds Series 2022, 3.5%, tender 12/1/23 (b)  | 3000000  | 2996585  |
|  Central Reg'l. Mobility Auth.:  |  |  |
|  Series 2016:  |  |  |
|  5% 1/1/23 <br>| 55000  | 55104  |
|  5% 1/1/24 <br>| 75000  | 76726  |
|  5% 1/1/26 <br>| 75000  | 79028  |
|  Series 2020 B:  |  |  |
|  5% 1/1/23 <br>| 220000  | 220416  |
|  5% 1/1/25 <br>| 125000  | 129745  |
|  5% 1/1/26 <br>| 125000  | 131713  |
|  Series 2020 F, 5% 1/1/25  | 2000000  | 2050318  |
|  City of Beaumont Series 2021, 5% 3/1/23  | 665000  | 669005  |
|  Clear Creek Independent School District Bonds Series 2021 B, 0.28%, tender 8/15/24 (b)  | 630000  | 593801  |
|  Clifton Higher Ed. Fin. Corp. Ed. Rev. Series 2022 A, 5% 8/15/26  | 475000  | 501462  |
|  Coastal Bend Health Facilities Dev. Corp. Series 2005 B2, 2.85%, tender 7/1/31 (Assured Guaranty Muni. Corp. Insured) (b)  | 5425000  | 5425000  |
|  Corpus Christi Util. Sys. Rev. Series 2012, 5% 7/15/23  | 200000  | 200373  |
|  Cypress-Fairbanks Independent School District:  |  |  |
|  Bonds Series 2015 B1, 0.28%, tender 8/15/24 (b)  | 4495000  | 4300955  |
|  Series 2020 A, 5% 2/15/25  | 200000  | 210056  |
|  Dallas Fort Worth Int'l. Arpt. Rev.:  |  |  |
|  Series 2013 E, 5% 11/1/23 (d)  | 1455000  | 1478090  |
|  Series 2014 A:  |  |  |
|  4% 11/1/23 (d) <br>| 200000  | 201388  |
|  5.25% 11/1/26 (d) <br>| 900000  | 913273  |
|  5.25% 11/1/30 (d) <br>| 1000000  | 1012325  |
|  Series 2014 D, 5% 11/1/23 (d)  | 3580000  | 3636813  |
|  Series 2020 A:  |  |  |
|  5% 11/1/23 <br>| 2250000  | 2294083  |
|  5% 11/1/24 <br>| 225000  | 233921  |
|  Series 2021 B, 5% 11/1/24  | 3500000  | 3638775  |
|  Denton Independent School District:  |  |  |
|  Bonds Series 2014 B, 2%, tender 8/1/24 (b)  | 600000  | 585519  |
|  Series 2016, 0% 8/15/25  | 35000  | 32435  |
|  East Downtown Redev. Auth. Series 2021:  |  |  |
|  5% 9/1/24  | 405000  | 416311  |
|  5% 9/1/26  | 300000  | 315806  |
|  Fort Bend County Muni. Util. District Series 2021, 2% 4/1/24  | 750000  | 735691  |
|  Fort Bend Independent School District Bonds:  |  |  |
|  Series 2020 B, 0.875%, tender 8/1/25 (b)  | 3190000  | 2960658  |
|  Series 2021 B, 0.72%, tender 8/1/26 (b)  | 2170000  | 1945196  |
|  Fort Worth Gen. Oblig.:  |  |  |
|  Series 2015 A, 5% 3/1/23  | 35000  | 35222  |
|  Series 2016, 5% 3/1/25  | 120000  | 126069  |
|  Galveston Pub. Facility Corp. Multifamily Hsg. Rev. Bonds Series 2021, 0.47%, tender 8/1/24 (b)  | 3000000  | 2838767  |
|  Georgetown Independent School District Bonds Series 2019 B, 2.5%, tender 8/1/23 (b)  | 3300000  | 3290140  |
|  Goose Creek Consolidated Independent School District Bonds Series 2021 B, 0.6%, tender 8/17/26 (b)  | 500000  | 456439  |
|  Grand Parkway Trans. Corp. Bonds Series 2018 B, 5%, tender 10/1/23 (b)  | 1865000  | 1893278  |
|  Hale Ctr. Ed. Facilities Corp. (Wayland Baptist Univ. Proj.) Series 2022, 5% 3/1/25  | 475000  | 488019  |
|  Harris County Cultural Ed. Facilities Fin. Corp. Rev.:  |  |  |
|  Bonds:  |  |  |
|  Series 2020 A, 0.9%, tender 5/15/25 (b) <br>| 1770000  | 1636372  |
|  Series 2020 C2, 5%, tender 12/1/24 (b) <br>| 200000  | 207232  |
|  Series 2014 A, 5% 12/1/26  | 120000  | 124586  |
|  Series 2020 A, 4% 7/1/25  | 250000  | 256328  |
|  Harris County Health Facilities Dev. Corp. Rev.:  |  |  |
|  Series 2005 A4, 2.75%, tender 7/1/31 (Assured Guaranty Muni. Corp. Insured) (b)  | 5400000  | 5400000  |
|  Series A3, 2.8%, tender 7/1/31 (Assured Guaranty Muni. Corp. Insured) (b)  | 3525000  | 3525000  |
|  Houston Arpt. Sys. Rev.:  |  |  |
|  Series 2018 C, 5% 7/1/25 (d)  | 400000  | 415743  |
|  Series 2020 A, 5% 7/1/23 (d)  | 1000000  | 1010516  |
|  Series 2021 A:  |  |  |
|  5% 7/1/24 (d) <br>| 500000  | 513351  |
|  5% 7/1/26 (d) <br>| 1250000  | 1315077  |
|  Houston Convention and Entertainment Facilities Dept. Hotel Occupancy Tax and Spl. Rev. Series 2021:  |  |  |
|  4% 9/1/24  | 250000  | 254436  |
|  4% 9/1/25  | 215000  | 220102  |
|  4% 9/1/26  | 275000  | 284232  |
|  Houston Independent School District Bonds Series 2012, 4%, tender 6/1/23 (b)  | 1000000  | 1006308  |
|  Hsg. Synergy PFC Multifamily Hsg. Bonds (Villages of Westlake Apts.) Series 2022, 3.5%, tender 8/1/24 (b)  | 4000000  | 4000204  |
|  Katy Independent School District Bonds Series 2021 C, 1.5%, tender 8/15/24 (b)  | 2500000  | 2436286  |
|  Kilgore Independent School District Bonds Series 2022, 2%, tender 8/15/25 (b)  | 4000000  | 3854858  |
|  Klein Independent School District Series 2015 A, 5% 8/1/24  | 225000  | 233750  |
|  Leander Independent School District Series 2013 A, 0% 8/15/23 (Escrowed to Maturity)  | 1000000  | 980616  |
|  Love Field Arpt. Modernization Rev.:  |  |  |
|  Series 2015, 5% 11/1/23 (d)  | 375000  | 380951  |
|  Series 2017:  |  |  |
|  5% 11/1/23 (d) <br>| 1150000  | 1168250  |
|  5% 11/1/24 (d) <br>| 750000  | 773931  |
|  Series 2021:  |  |  |
|  5% 11/1/23 (d) <br>| 3860000  | 3921256  |
|  5% 11/1/24 (d) <br>| 3560000  | 3673591  |
|  5% 11/1/25 (d) <br>| 605000  | 629381  |
|  5% 11/1/26 (d) <br>| 405000  | 424588  |
|  5% 11/1/27 (d) <br>| 415000  | 437666  |
|  Lower Colorado River Auth. Rev.:  |  |  |
|  (LCRA Transmission Svcs. Corp. Proj.):  |  |  |
|  Series 2018, 5% 5/15/23 <br>| 265000  | 268058  |
|  Series 2019: <br>|  |  |
|  5% 5/15/23 <br>| 1070000  | 1081424  |
|  5% 5/15/24 <br>| 930000  | 959506  |
|  Series 2020: <br>|  |  |
|  5% 5/15/23 <br>| 215000  | 217295  |
|  5% 5/15/24 <br>| 550000  | 567450  |
|  Series 2015 B, 5% 5/15/24  | 325000  | 335311  |
|  Series 2022:  |  |  |
|  5% 5/15/24 (Assured Guaranty Muni. Corp. Insured) <br>| 3365000  | 3471761  |
|  5% 5/15/25 (Assured Guaranty Muni. Corp. Insured) <br>| 2435000  | 2556969  |
|  Lubbock Elec. Lt. & Pwr. Sys. Rev. Series 2021:  |  |  |
|  5% 4/15/24  | 875000  | 902656  |
|  5% 4/15/25  | 725000  | 760143  |
|  Mansfield Independent School District Series 2016, 5% 2/15/24  | 110000  | 113068  |
|  Midland County Pub. Facilities Corp. Bonds Series 2020, 0.35%, tender 6/1/23 (b)  | 2000000  | 1970328  |
|  Mission Econ. Dev. Corp. Solid Waste Disp. Rev. Bonds:  |  |  |
|  (Republic Svcs., Inc. Proj.) Series 2020 A, 4.1%, tender 2/1/23 (b)(d)  | 4500000  | 4505084  |
|  (Waste Mgmt., Inc. Proj.):  |  |  |
|  Series 2018, 2.275%, tender 7/1/24 (b)(d) <br>| 3425000  | 3287362  |
|  Series 2020 B, 2.95%, tender 12/1/22 (b)(d) <br>| 9750000  | 9750000  |
|  New Caney Independent School District Bonds Series 2018, 1.25%, tender 8/15/24 (b)  | 1900000  | 1834578  |
|  Newark Higher Ed. Fin. Corp. (Abilene Christian Univ. Proj.) Series 2016 A, 5% 4/1/26  | 55000  | 57953  |
|  North Texas Tollway Auth. Rev.:  |  |  |
|  Series 2015 B, 5% 1/1/23  | 325000  | 325676  |
|  Series 2016 A, 5% 1/1/23  | 780000  | 781623  |
|  Series 2017 A:  |  |  |
|  5% 1/1/24 <br>| 70000  | 70137  |
|  5% 1/1/24 (Pre-Refunded to 1/1/23 @ 100) <br>| 535000  | 536056  |
|  5% 1/1/26 <br>| 65000  | 65118  |
|  5% 1/1/26 (Pre-Refunded to 1/1/23 @ 100) <br>| 515000  | 516017  |
|  Series 2019 A, 5% 1/1/23  | 325000  | 325676  |
|  Series 2019 B, 5% 1/1/25  | 325000  | 339544  |
|  Series 2020 A, 5% 1/1/25  | 265000  | 276859  |
|  Series 2021 B, 5% 1/1/26  | 695000  | 739897  |
|  Northside Independent School District Bonds Series 2018, 2.75%, tender 8/1/23 (b)  | 3000000  | 2984996  |
|  Odessa Hsg. Fin. Corp. Multifamily Hsg. Rev. Bonds Series 2020, 0.35%, tender 3/1/23 (b)  | 2500000  | 2481368  |
|  Pasadena Independent School District Series 2022, 5% 2/15/25  | 2595000  | 2724906  |
|  Pearland Gen. Oblig. Series 2020, 5% 3/1/24  | 295000  | 303300  |
|  Pflugerville Independent School District Bonds Series 2019 B, 2.5%, tender 8/15/23 (b)  | 610000  | 608960  |
|  Port Arthur Series 2021:  |  |  |
|  5% 2/15/24  | 240000  | 246233  |
|  5% 2/15/24  | 195000  | 200064  |
|  Port of Houston Auth. Series 2021, 5% 10/1/23  | 805000  | 821072  |
|  Prosper Independent School District:  |  |  |
|  Bonds Series 2019 B, 2%, tender 8/15/23 (b)  | 1000000  | 990382  |
|  Series 2015, 5% 2/15/24  | 250000  | 257063  |
|  San Antonio Arpt. Sys. Rev. Series 2019 A:  |  |  |
|  5% 7/1/23 (d)  | 195000  | 197051  |
|  5% 7/1/25 (d)  | 400000  | 414941  |
|  5% 7/1/26 (d)  | 500000  | 526031  |
|  San Antonio Elec. & Gas Sys. Rev.:  |  |  |
|  Bonds:  |  |  |
|  Series 2018, NULL 0%, tender 12/1/25 (b)(f) <br>| 4065000  | 4064997  |
|  Series 2022, 2%, tender 12/1/27 (b) <br>| 1480000  | 1384090  |
|  Series 2016, 5% 2/1/25 (Escrowed to Maturity)  | 330000  | 346530  |
|  Series 2022, 5% 2/1/26  | 545000  | 580897  |
|  San Antonio Independent School District Series 2015, 5% 2/15/24  | 315000  | 324164  |
|  San Antonio Wtr. Sys. Rev. Bonds Series 2013 F, 1%, tender 11/1/26 (b)  | 3000000  | 2665676  |
|  Splendora Independent School District Series 2016 A, 5% 2/15/25  | 200000  | 209530  |
|  Tarrant County Cultural Ed. Facilities Fin. Corp. Hosp. Rev.:  |  |  |
|  (Scott & White Healthcare Proj.) Series 2013 A:  |  |  |
|  5% 8/15/23 (Escrowed to Maturity) <br>| 20000  | 20346  |
|  5% 8/15/28 (Pre-Refunded to 8/15/23 @ 100) <br>| 50000  | 50865  |
|  Bonds (Baylor Scott & White Health Proj.) Series 2022 E, 5%, tender 5/15/26 (b)  | 2030000  | 2144914  |
|  Tarrant County Cultural Ed. Facilities Fin. Corp. Rev. Series 2016 A:  |  |  |
|  5% 2/15/25  | 1240000  | 1297460  |
|  5% 2/15/26  | 35000  | 37209  |
|  Texas A&M Univ. Rev. Series 2021 A:  |  |  |
|  5% 5/15/24  | 1350000  | 1397134  |
|  5% 5/15/26  | 725000  | 780421  |
|  Texas Gen. Oblig.:  |  |  |
|  Series 2013 B, 5.5% 8/1/23 (d)  | 5500000  | 5595140  |
|  Series 2019, 4% 8/1/25 (d)  | 3005000  | 3082445  |
|  Texas Muni. Gas Acquisition And Supply Corp. Series 2021:  |  |  |
|  5% 12/15/22  | 1250000  | 1250616  |
|  5% 12/15/23  | 3450000  | 3491311  |
|  Texas Muni. Pwr. Agcy. Rev. Series 2021:  |  |  |
|  3% 9/1/23 (Assured Guaranty Muni. Corp. Insured)  | 900000  | 901742  |
|  3% 9/1/24 (Assured Guaranty Muni. Corp. Insured)  | 850000  | 853646  |
|  Texas Trans. Commission Hwy. Impt. Gen. Oblig. Bonds Series 2014 B, 0.65%, tender 4/1/26 (b)  | 3500000  | 3210366  |
|  Waco Edl. Fin. Corp. Rev. Series 2021:  |  |  |
|  3% 3/1/23  | 325000  | 325314  |
|  4% 3/1/24  | 580000  | 588971  |
|  4% 3/1/25  | 400000  | 409298  |
|  TOTAL TEXAS  |  | 179339727  |
| Utah - 0.2%  |  |  |
|  Salt Lake City Arpt. Rev.:  |  |  |
|  Series 2017 A, 5% 7/1/24 (d)  | 150000  | 154029  |
|  Series 2018 A, 5% 7/1/23 (d)  | 250000  | 252644  |
|  Series 2021 A:  |  |  |
|  5% 7/1/23 (d) <br>| 550000  | 555816  |
|  5% 7/1/24 (d) <br>| 1000000  | 1026858  |
|  Utah County Hosp. Rev. Bonds Series 2018 B2, 5%, tender 8/1/24 (b)  | 4760000  | 4868777  |
|  Utah Infrastructure Agcy. Series 2021, 3% 10/15/24  | 500000  | 488486  |
|  Vineyard Redev. Agcy. Series 2021, 5% 5/1/24 (Assured Guaranty Muni. Corp. Insured)  | 675000  | 696148  |
|  TOTAL UTAH  |  | 8042758  |
| Vermont - 0.1%  |  |  |
|  Vermont Student Assistant Corp. Ed. Ln. Rev.:  |  |  |
|  Series 2017 A, 5% 6/15/23 (d)  | 700000  | 707593  |
|  Series 2019 A, 5% 6/15/25 (d)  | 1300000  | 1343656  |
|  Series 2020 A, 5% 6/15/27 (d)  | 665000  | 702544  |
|  TOTAL VERMONT  |  | 2753793  |
| Virginia - 0.6%  |  |  |
|  Arlington County IDA Hosp. Facilities Series 2020:  |  |  |
|  5% 7/1/23  | 340000  | 343988  |
|  5% 7/1/24  | 425000  | 437741  |
|  Chesapeake Bay Bridge and Tunnel District Gen. Resolution Rev. Series 2019, 5% 11/1/23  | 7400000  | 7525481  |
|  Fairfax County Indl. Dev. Auth. Bonds (Inova Health Sys. Proj.) Series 2018 B, 5%, tender 5/15/23 (b)  | 1625000  | 1641098  |
|  Fredericksburg Econ. Dev. Auth. Rev. Series 2014, 5% 6/15/24  | 50000  | 51422  |
|  Halifax County Indl. Dev. Auth. Bonds (Virginia Elec. and Pwr. Co. Proj.) Series 2010 A, 1.65%, tender 5/31/24 (b)  | 3000000  | 2890613  |
|  King George County Indl. Dev. Auth. Solid Waste Disp. Fac. Rev. (King George Landfill, Inc. Proj.) Series 2003 A, 2.5% 6/1/23 (b)(d)  | 735000  | 732826  |
|  Louisa Indl. Dev. Auth. Poll. Cont. Rev. Bonds (Virginia Elec. and Pwr. Co. Proj.):  |  |  |
|  Series 2008 A, 1.9%, tender 6/1/23 (b)  | 2500000  | 2473872  |
|  Series 2008 B, 0.75%, tender 9/2/25 (b)  | 4000000  | 3636577  |
|  Norfolk Arpt. Auth.:  |  |  |
|  Series 2021 A:  |  |  |
|  4% 7/1/24 <br>| 1170000  | 1188427  |
|  4% 7/1/25 <br>| 1000000  | 1026815  |
|  Series 2021 B:  |  |  |
|  4% 7/1/23 (d) <br>| 500000  | 502435  |
|  5% 7/1/24 (d) <br>| 400000  | 410432  |
|  Stafford County Econ. Dev. Auth. Hosp. Facilities Rev. Series 2016:  |  |  |
|  5% 6/15/24  | 25000  | 25711  |
|  5% 6/15/25  | 20000  | 20909  |
|  5% 6/15/26  | 35000  | 37054  |
|  Virginia Pub. Bldg. Auth. Pub. Facilities Rev. Series 2019 B, 5% 8/1/23 (d)  | 410000  | 415972  |
|  Virginia Small Bus. Fing. Auth. Series 2020 A, 5% 1/1/23  | 400000  | 400655  |
|  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)  | 2075000  | 1985926  |
|  York County Econ. Dev. Auth. Poll. Cont. Rev. Bonds (Virginia Elec. and Pwr. Co. Proj.) Series 2009 A, 1.9%, tender 6/1/23 (b)  | 300000  | 296865  |
|  TOTAL VIRGINIA  |  | 26044819  |
| Washington - 0.8%  |  |  |
|  King County Hsg. Auth. Rev.:  |  |  |
|  Series 2019:  |  |  |
|  3% 11/1/23 <br>| 1175000  | 1176448  |
|  4% 11/1/24 <br>| 135000  | 137730  |
|  Series 2020:  |  |  |
|  3% 6/1/23 <br>| 400000  | 400443  |
|  3% 6/1/25 <br>| 275000  | 274207  |
|  Series 2021:  |  |  |
|  2% 6/1/23 <br>| 780000  | 777039  |
|  3% 12/1/25 <br>| 825000  | 821874  |
|  King County Hsg. Auth. Workforce Hsg. Preservation Series 2021, 2% 10/1/23  | 100000  | 99272  |
|  King County Swr. Rev. Bonds Series 2020 B, 0.875%, tender 1/1/26 (b)  | 3295000  | 3011341  |
|  Port of Seattle Rev.:  |  |  |
|  Series 2016 B, 5% 10/1/23 (d)  | 2065000  | 2102800  |
|  Series 2016, 5% 2/1/25  | 290000  | 303216  |
|  Series 2019:  |  |  |
|  5% 4/1/23 (d) <br>| 615000  | 618891  |
|  5% 4/1/24 (d) <br>| 400000  | 409441  |
|  5% 4/1/25 (d) <br>| 280000  | 291113  |
|  Series 2021 C:  |  |  |
|  5% 8/1/23 (d) <br>| 3665000  | 3710141  |
|  5% 8/1/24 (d) <br>| 1360000  | 1399642  |
|  5% 8/1/25 (d) <br>| 390000  | 407518  |
|  Series 2021:  |  |  |
|  5% 9/1/23 (d) <br>| 2100000  | 2134885  |
|  5% 9/1/24 (d) <br>| 1080000  | 1116486  |
|  Series 2022 B:  |  |  |
|  5% 8/1/24 (d) <br>| 1420000  | 1461391  |
|  5% 8/1/25 (d) <br>| 1335000  | 1394965  |
|  5% 8/1/26 (d) <br>| 835000  | 883461  |
|  Seattle Hsg. Auth. Rev. (Northgate Plaza Proj.) Series 2021, 1% 6/1/26  | 1740000  | 1598047  |
|  Tacoma Elec. Sys. Rev. Series 2017:  |  |  |
|  5% 1/1/25  | 25000  | 26176  |
|  5% 1/1/26  | 35000  | 37325  |
|  Washington Gen. Oblig.:  |  |  |
|  Series 2018 C, 5% 8/1/25  | 1000000  | 1062011  |
|  Series R 2020 A, 5% 1/1/25  | 250000  | 262275  |
|  Washington Health Care Facilities Auth. Rev.:  |  |  |
|  (Virginia Mason Med. Ctr. Proj.) Series 2017:  |  |  |
|  5% 8/15/25 <br>| 205000  | 211751  |
|  5% 8/15/26 <br>| 115000  | 119981  |
|  5% 8/15/27 <br>| 50000  | 52670  |
|  Bonds Series 2019 B, 5%, tender 8/1/24 (b)  | 1095000  | 1114601  |
|  Series 2015 B, 5% 8/15/23  | 600000  | 609715  |
|  Series 2015, 5% 7/1/24  | 1250000  | 1284157  |
|  Washington Hsg. Fin. Commission Series 2021 2N, 5% 6/1/25  | 945000  | 993151  |
|  Washington State Econ. Dev. Fin. Auth. Bonds Series 2022, 0%, tender 12/8/23 (b)(d)(f)  | 5000000  | 5007164  |
|  TOTAL WASHINGTON  |  | 35311328  |
| West Virginia - 0.1%  |  |  |
|  Hsg. Auth. of Everett Bonds Series 2021, 0.3%, tender 9/1/23 (b)  | 1500000  | 1465077  |
|  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)  | 2000000  | 1785248  |
|  Series 2015 A, 2.55%, tender 4/1/24 (b)  | 225000  | 220093  |
|  West Virginia Hosp. Fin. Auth. Hosp. Rev. Series 2016 A, 5% 6/1/24  | 1490000  | 1532697  |
|  TOTAL WEST VIRGINIA  |  | 5003115  |
| Wisconsin - 0.5%  |  |  |
|  Blue Ridge Healthcare Pub. Fin. Auth. Series 2020 A, 5% 1/1/25  | 300000  | 311020  |
|  Clayton Town Series 2021 B, 2% 6/1/26  | 2000000  | 1871182  |
|  Dunn County Gen. Oblig. Series 2021 A, 0.25% 10/1/24  | 1155000  | 1078390  |
|  Milwaukee County Arpt. Rev.:  |  |  |
|  Series 2013 A, 5.25% 12/1/23 (d)  | 35000  | 35762  |
|  Series 2016 A, 5% 12/1/22 (d)  | 1000000  | 1000000  |
|  Milwaukee Gen. Oblig. Series 2018 N4, 5% 4/1/25  | 1130000  | 1178986  |
|  Pub. Fin. Auth. Hosp. Rev. Series 2020 A:  |  |  |
|  5% 6/1/23  | 345000  | 348510  |
|  5% 6/1/24  | 675000  | 693444  |
|  5% 6/1/25  | 375000  | 389149  |
|  5% 6/1/26  | 300000  | 315007  |
|  Pub. Fin. Auth. Wis Pollutionc Bonds (Duke Energy Progress Proj.) Series 2022 A, 3.3%, tender 10/1/26 (b)  | 2000000  | 2000017  |
|  Racine Unified School District Series 2021:  |  |  |
|  2% 4/1/23  | 225000  | 224542  |
|  2% 4/1/24  | 475000  | 470069  |
|  2% 4/1/25  | 600000  | 583734  |
|  Wisconsin Gen. Oblig. Series 2014 4, 5% 5/1/25  | 90000  | 94031  |
|  Wisconsin Health & Edl. Facilities:  |  |  |
|  Bonds:  |  |  |
|  Series 2018 B, 5%, tender 1/29/25 (b) <br>| 355000  | 368416  |
|  Series 2018 C3, SIFMA Municipal Swap Index + 0.550% 2.45%, tender 12/1/22 (b)(c) <br>| 4000000  | 3990787  |
|  Series 2018, 5% 4/1/26  | 195000  | 207753  |
|  Series 2019 A:  |  |  |
|  5% 12/1/23 <br>| 35000  | 35746  |
|  5% 12/1/24 <br>| 100000  | 104030  |
|  5% 12/1/25 <br>| 125000  | 131442  |
|  5% 12/1/26 <br>| 200000  | 212527  |
|  Wisconsin Health & Edl. Facilities Auth. Series 2014 A, 5% 12/1/24  | 775000  | 805238  |
|  Wisconsin Health & Edl. Facilities Auth. Rev.:  |  |  |
|  Series 2021 B:  |  |  |
|  4% 9/15/24 <br>| 200000  | 198562  |
|  4% 9/15/26 <br>| 220000  | 216048  |
|  Series 2022, 5% 10/1/25  | 3635000  | 3838913  |
|  Wisconsin Hsg. & Econ. Dev. Auth. Series 2021 C, 3% 9/1/52  | 330000  | 317572  |
|  Wisconsin Hsg. & Econ. Dev. Auth. Hsg. Rev. Bonds Series 2021 C:  |  |  |
|  0.61%, tender 5/1/24 (b)  | 170000  | 163201  |
|  0.81%, tender 5/1/25 (b)  | 200000  | 187345  |
|  TOTAL WISCONSIN  |  | 21371423  |
| Wyoming - 0.1%  |  |  |
|  Laramie County Hosp. Rev. (Cheyenne Reg'l. Med. Ctr. Proj.) Series 2021:  |  |  |
|  4% 5/1/23  | 250000  | 251308  |
|  4% 5/1/25  | 260000  | 266501  |
|  Wyoming Cmnty. Dev. Auth. Hsg. Rev.:  |  |  |
|  Series 2020 3, 5% 6/1/23 (d)  | 955000  | 964951  |
|  Series 2021 4, 0.3% 6/1/23 (d)  | 1170000  | 1156711  |
|  TOTAL WYOMING  |  | 2639471  |
| <br> **TOTAL MUNICIPAL BONDS** <br> (Cost $2,190,780,733)  |  | <br> **2149781268**  |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **Municipal Notes - 23.7%**  | &nbsp;&nbsp; **Municipal Notes - 23.7%**  | &nbsp;&nbsp; **Municipal Notes - 23.7%**  |
|  | Principal <br> Amount (a) <br>| Value ($) <br>|
| Alabama - 0.2%  |  |  |
|  Columbia Indl. Dev. Board Poll. Cont. Rev. (Alabama Pwr. Co. Proj.) Series 2014 A, 1.1% 12/1/22, VRDN (b)  | 100000  | 100000  |
|  Health Care Auth. for Baptist Health Series 2013 B, 2.57% 12/7/22, VRDN (b)  | 6705000  | 6705000  |
|  TOTAL ALABAMA  |  | 6805000  |
| Arizona - 0.7%  |  |  |
|  Arizona Health Facilities Auth. Rev. Series 2015 B, 2.15% 12/1/22, LOC MUFG Bank Ltd., VRDN (b)  | 2500000  | 2413275  |
|  Arizona St Indl. Dev. Auth. Multi Participating VRDN:  |  |  |
|  Series Floater MIZ 90 88, 2.15% 1/4/23 (Liquidity Facility Mizuho Cap. Markets LLC) (b)(g)(h)(i)  | 12800000  | 12800000  |
|  Series XF 10 91, 2.2% 12/7/22 (Liquidity Facility Deutsche Bank AG New York Branch) (b)(d)(g)(i)  | 950000  | 950000  |
|  Glendale Indl. dev auth Sr Living Facilities Rev. Participating VRDN Series BC 22 01, 2.1% 1/11/23 (Liquidity Facility Barclays Bank PLC) (b)(g)(i)  | 2465000  | 2465000  |
|  Maricopa County Indl. Dev. Auth. Participating VRDN Series 2021 XG 03 09, 2.05% 12/7/22 (Liquidity Facility JPMorgan Chase Bank) (b)(g)(i)  | 3275000  | 3275000  |
|  Maricopa County Poll. Cont. Rev. Series 2009 D, 2.1% 12/7/22, VRDN (b)  | 1300000  | 1300000  |
|  Phoenix Civic Impt. Board Arpt. Rev. Participating VRDN Series 2018 XM 06 15, 2.09% 12/7/22 (Liquidity Facility Royal Bank of Canada) (b)(d)(g)(i)  | 3050000  | 3050000  |
|  Pima County Indl. Dev. Auth. Multi-family Hsg. Rev. Participating VRDN Series XF 10 96, 2.2% 12/7/22 (Liquidity Facility Deutsche Bank AG New York Branch) (b)(g)(i)  | 1820000  | 1820000  |
|  TOTAL ARIZONA  |  | 28073275  |
| California - 3.3%  |  |  |
|  California Cmnty. Choice Fing. Auth. Clean Energy Proj. Rev. Participating VRDN Series XF 30 07, 2.1% 12/7/22 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (b)(g)(i)  | 6200000  | 6200000  |
|  California Health Facilities Fing. Auth. Rev. Participating VRDN Series Floaters XG 01 75, 2.03% 12/7/22 (Liquidity Facility Bank of America NA) (b)(g)(i)  | 4825000  | 4825000  |
|  California Statewide Cmntys. Dev. Auth. Multi-family Hsg. Rev. Participating VRDN Series Floater MIZ 91 13, 2.15% 1/4/23 (Liquidity Facility Mizuho Cap. Markets LLC) (b)(g)(i)  | 1600000  | 1600000  |
|  Los Angeles Cmnty. Redev. Agcy. Multi-family Hsg. Rev. Participating VRDN:  |  |  |
|  Series 2022 MIZ 90 89, 2.15% 12/7/22 (Liquidity Facility Mizuho Cap. Markets LLC) (b)(d)(g)(i)  | 16800000  | 16800000  |
|  Series 2022 MIZ 90 90, 2.15% 12/7/22 (Liquidity Facility Mizuho Cap. Markets LLC) (b)(d)(g)(i)  | 17700000  | 17700000  |
|  Los Angeles County Gen. Oblig. TRAN Series 2022, 4% 6/30/23  | 5000000  | 5046501  |
|  Los Angeles Gen. Oblig. TRAN Series 2022, 4% 6/29/23  | 11725000  | 11831593  |
|  Los Angeles Muni. Impt. Corp. Lease Rev. Series 2022:  |  |  |
|  2.4% 1/18/23, LOC BMO Harris Bank NA, CP  | 2415000  | 2415964  |
|  2.4% 1/18/23, LOC U.S. Bank NA, Cincinnati, CP  | 600000  | 600239  |
|  Mizuho Floater / Residual Trust V Participating VRDN Series Floater MIZ 90 97, 2.15% 12/7/22, LOC Mizuho Cap. Markets LLC (b)(g)(i)  | 1500000  | 1500000  |
|  Riverside County Gen. Oblig. TRAN Series 2022, 5% 6/30/23  | 1250000  | 1269513  |
|  Sacramento County Hsg. Auth. Multi-family Hsg. Rev. Participating VRDN Series 2022 MIZ 90 93, 2.15% 1/4/23 (Liquidity Facility Mizuho Cap. Markets LLC) (b)(g)(h)(i)  | 2770000  | 2770000  |
|  Sacramento Muni. Util. District Elec. Rev. Series 2022 M1, 2.63% 12/6/22, LOC Bank of America NA, CP  | 6000000  | 6000784  |
|  San Diego County Reg'l. Arpt. Auth. Arpt. Rev. Participating VRDN Series XM 10 54, 2.08% 12/7/22 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (b)(d)(g)(i)  | 2800000  | 2800000  |
|  San Diego Pub. Facilities Series 2022:  |  |  |
|  1.85% 12/6/22, CP  | 7474000  | 7473929  |
|  2.95% 2/1/23, CP  | 12000000  | 12008134  |
|  San Francisco City & County Arpts. Commission Int'l. Arpt. Rev. Participating VRDN Series 2022 XF 30 51, 2.1% 12/7/22 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (b)(d)(g)(i)  | 2300000  | 2300000  |
|  San Francisco City & County Multi-family Hsg. Rev. Participating VRDN:  |  |  |
|  Series DBE 8059, 2.3% 1/30/23 (Liquidity Facility Deutsche Bank AG New York Branch) (b)(g)(h)(i)  | 1900000  | 1900000  |
|  Series MIZ 90 63, 2.15% 1/4/23 (Liquidity Facility Mizuho Cap. Markets LLC) (b)(g)(h)(i)  | 16325000  | 16325000  |
|  Series MIZ 90 95, 2.15% 1/4/23 (Liquidity Facility Mizuho Cap. Markets LLC) (b)(g)(i)  | 14645000  | 14645000  |
|  San Francisco City & County Pub. Util. Commission Wastewtr. Rev. Series 2022 A2, 2.75% 1/10/23, LOC Bank of America NA, CP  | 4000000  | 4002674  |
|  TOTAL CALIFORNIA  |  | 140014331  |
| Colorado - 0.3%  |  |  |
|  Colorado Ed. Ln. Prog. TRAN Series 2022 A, 5% 6/29/23  | 5000000  | 5073087  |
|  Colorado Edl. & Cultural Facilities Auth. Rev. (Mesivta of Greater Los Angeles Proj.) Series 2005, 2.25% 12/7/22, LOC Deutsche Bank AG, VRDN (b)  | 580000  | 580000  |
|  Colorado Health Facilities Auth. Rev. Bonds Participating VRDN:  |  |  |
|  Series XM 10 59, 2.15% 12/7/22 (Liquidity Facility JPMorgan Chase Bank) (b)(g)(i)  | 1495000  | 1495000  |
|  Series XM 10 61, 2.15% 12/1/22 (Liquidity Facility JPMorgan Chase Bank) (b)(g)(i)  | 1400000  | 1400000  |
|  Colorado Hsg. & Fin. Auth. Multi-family Hsg. Rev. Participating VRDN Series Floater 2021 MIZ 90 68, 2.15% 1/4/23 (Liquidity Facility Mizuho Cap. Markets LLC) (b)(g)(h)(i)  | 99569  | 99569  |
|  Denver City & County Arpt. Rev. Participating VRDN Series Floaters XL 00 90, 2.1% 12/7/22 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (b)(d)(g)(i)  | 4133500  | 4133500  |
|  TOTAL COLORADO  |  | 12781156  |
| Connecticut - 0.2%  |  |  |
|  Connecticut Hsg. Fin. Auth. Series 2022 A4, 2.2% 12/7/22, VRDN (b)  | 10000000  | 9951910  |
| Florida - 1.2%  |  |  |
|  Broward County School District TAN Series 2022, 4% 6/30/23  | 2000000  | 2019064  |
|  Highlands County Health Facilities Auth. Rev. Series 2021 D, 1.83% 12/7/22, VRDN (b)  | 4400000  | 4400000  |
|  Hillsborough County Aviation Auth. Rev. Participating VRDN Series XL 02 90, 2.2% 12/7/22 (Liquidity Facility Deutsche Bank AG New York Branch) (b)(d)(g)(i)  | 4300000  | 4300000  |
|  Jacksonville Elec. Auth. Elec. Sys. Rev. Series 2008 3 A, 1.87% 12/7/22 (Liquidity Facility Barclays Bank PLC), VRDN (b)  | 9500000  | 9500000  |
|  Jacksonville Health Care Series 2022, 2.17% 12/1/22, CP  | 2000000  | 2000052  |
|  Lee Memorial Health Sys. Hosp. Rev. Series 2019 B, 2.45% 12/7/22, VRDN (b)  | 12800000  | 12800000  |
|  Martin County Rev. (Florida Pwr. & Lt. Co. Proj.) Series 2022, 1.95% 12/7/22, VRDN (b)  | 6500000  | 6500000  |
|  Miami Dade County Hsg. Multifamily Hsg. Rev. Participating VRDN:  |  |  |
|  Series Floater MIZ 90 87, 2.15% 1/4/23 (Liquidity Facility Mizuho Cap. Markets LLC) (b)(g)(h)(i)  | 1035000  | 1035000  |
|  Series MIZ 90 72, 2.15% 1/4/23 (Liquidity Facility Mizuho Cap. Markets LLC) (b)(g)(h)(i)  | 400000  | 400000  |
|  Miami-Dade County Aviation Rev. Series 2022, 2.81% 1/4/23, LOC Bank of America NA, CP (d)  | 2000000  | 2000949  |
|  Miami-Dade County Indl. Dev. Auth. Rev. (Florida Pwr. & Lt. Co. Proj.) Series 2021, 1.1% 12/1/22, VRDN (b)(d)  | 5000000  | 5000000  |
|  TOTAL FLORIDA  |  | 49955065  |
| Georgia - 0.5%  |  |  |
|  Atlanta Arpt. Rev. Series 2022, 2.35% 12/21/22, LOC JPMorgan Chase Bank, CP (d)  | 5779000  | 5779162  |
|  Bartow County Dev. Auth. Solidw (Georgia Pwr. Co. Plant Bowen Proj.) Series 2022, 1.4% 12/1/22, VRDN (b)(d)  | 2100000  | 2100000  |
|  Burke County Indl. Dev. Auth. Poll. Cont. Rev.:  |  |  |
|  (Georgia Pwr. Co. Plant Vogtle Proj.):  |  |  |
|  Series 2012, 1.45% 12/1/22, VRDN (b)(d) <br>| 1000000  | 1000000  |
|  Series 2018, 1.6% 12/1/22, VRDN (b) <br>| 4950000  | 4950000  |
|  Participating VRDN Series 2021 XG 03 08, 1.96% 12/7/22 (Liquidity Facility Bank of America NA) (b)(g)(i)  | 2970000  | 2970000  |
|  Private Colleges & Univs. Auth. Rev. Participating VRDN Series Floaters XM 04 35, 1.93% 12/7/22 (Liquidity Facility Barclays Bank PLC) (b)(g)(i)  | 5000000  | 5000000  |
|  TOTAL GEORGIA  |  | 21799162  |
| Hawaii - 0.0%  |  |  |
|  Hawaii Arpts. Sys. Rev. Participating VRDN Series XM 10 55, 2.1% 12/7/22 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (b)(d)(g)(i)  | 1800000  | 1800000  |
| Idaho - 0.0%  |  |  |
|  Idaho Hsg. & Fin. Assoc. Single Family Mtg. Series A, 2.08% 12/7/22 (Liquidity Facility Fannie Mae) (Liquidity Facility Freddie Mac), VRDN (b)  | 655000  | 655000  |
| Illinois - 1.3%  |  |  |
|  Chicago Metropolitan Wtr. Reclamation District of Greater Chicago Participating VRDN Series XX 10 41, 1.93% 12/7/22 (Liquidity Facility Barclays Bank PLC) (b)(g)(i)  | 4180000  | 4180000  |
|  Chicago Midway Arpt. Rev. Series 2022, 2.77% 12/8/22, LOC Bank of Montreal, CP (d)  | 6024000  | 6024981  |
|  Chicago O'Hare Int'l. Arpt. Rev. Participating VRDN:  |  |  |
|  Series 2022 XL 03 14, 2.17% 12/7/22 (Liquidity Facility JPMorgan Chase Bank) (b)(d)(g)(i)  | 10700000  | 10700000  |
|  Series XM 10 38, 2.17% 12/7/22 (Liquidity Facility JPMorgan Chase Bank) (b)(d)(g)(i)  | 7300000  | 7300000  |
|  Series XM 10 41, 2.2% 12/7/22 (Liquidity Facility JPMorgan Chase Bank) (b)(d)(g)(i)  | 13200000  | 13200000  |
|  Series XX 12 43, 2.1% 12/7/22 (Liquidity Facility Barclays Bank PLC) (b)(d)(g)(i)  | 3700000  | 3700000  |
|  Deutsche Spears/Lifers Trust Participating VRDN Series 2016 XG 00 93, 2.24% 12/7/22 (Liquidity Facility Deutsche Bank AG New York Branch) (b)(d)(g)(i)  | 3200000  | 3200000  |
|  Illinois Edl. Facilities Auth. Revs. Series 2022, 2.8% 12/1/22, CP  | 4800000  | 4800210  |
|  Reg'l. Transn Auth. Extend Series 2005 B, 3.1% 12/7/22, VRDN (b)  | 1005000  | 1005000  |
|  TOTAL ILLINOIS  |  | 54110191  |
| Indiana - 0.3%  |  |  |
|  Indiana Fin. Auth. Rev. Series 2022 D2:  |  |  |
|  2.25% tender 12/1/22, CP mode  | 5125000  | 5125203  |
|  2.5% tender 1/4/23, CP mode  | 3875000  | 3876289  |
|  Lucky Heights Tc, Lp Participating VRDN Series XF 11 41, 2.2% 12/7/22 (Liquidity Facility Deutsche Bank AG New York Branch) (b)(g)(i)  | 2235000  | 2235000  |
|  TOTAL INDIANA  |  | 11236492  |
| Kansas - 0.1%  |  |  |
|  Wichita Gen. Oblig. BAN Series 310, 5% 10/13/23  | 5000000  | 5101456  |
| Kentucky - 0.5%  |  |  |
|  Econ. Dev. Fin. Auth. Lousiville Arena Proj. Rev. Participating VRDN Series XG 01 61, 1.93% 12/7/22 (Assured Guaranty Muni. Corp. Insured), LOC Bank of America NA, (Liquidity Facility Bank of America NA) (b)(g)(i)  | 5460000  | 5460000  |
|  Kentucky Hsg. Corp. Hsg. Rev. Participating VRDN Series XF 10 93, 2.2% 12/7/22 (Liquidity Facility Deutsche Bank AG New York Branch) (b)(g)(i)  | 1000000  | 1000000  |
|  Louisville & Jefferson County Reg'l. Arpt. Auth. Spl. Facilities Rev. (UPS Worldwide Forwarding, Inc. Proj.):  |  |  |
|  Series 1999 A, 1.12% 12/1/22, VRDN (b)(d)  | 600000  | 600000  |
|  Series 1999 B, 1.15% 12/1/22, VRDN (b)(d)  | 100000  | 100000  |
|  Meade County Indl. Bldg. Rev. (Nucor Steel Brandenburg Proj.):  |  |  |
|  Series 2020 A1, 1.83% 12/1/22, VRDN (b)(d)  | 13495000  | 13495000  |
|  Series 2020 B1, 1.83% 12/1/22, VRDN (b)(d)  | 800000  | 800000  |
|  TOTAL KENTUCKY  |  | 21455000  |
| Louisiana - 0.6%  |  |  |
|  Louisiana Hsg. Corp. Multifamily Hsg. Rev. Participating VRDN Series MIZ 90 53, 2.15% 1/4/23 (Liquidity Facility Mizuho Cap. Markets LLC) (b)(g)(h)(i)  | 585000  | 585000  |
|  Saint James Parish Gen. Oblig. (Nucor Steel Louisiana LLC Proj.) Series 2010 A1, 2.23% 12/7/22, VRDN (b)  | 24220000  | 24220000  |
|  TOTAL LOUISIANA  |  | 24805000  |
| Maryland - 0.5%  |  |  |
|  Baltimore County Gen. Oblig.:  |  |  |
|  BAN Series 2022, 4% 3/24/23  | 8000000  | 8039995  |
|  Participating VRDN Series 2022 032, 2.1% 1/11/23 (Liquidity Facility Barclays Bank PLC) (b)(g)(i)  | 1600000  | 1600000  |
|  Baltimore Proj. Rev.:  |  |  |
|  Bonds Series Floaters G 42, 2.1%, tender 1/3/23 (Liquidity Facility Royal Bank of Canada) (b)(g)(h)(i)  | 4500000  | 4500000  |
|  Participating VRDN Series 2022 XF 30 14, 1.93% 12/7/22 (Liquidity Facility Citibank NA) (b)(g)(i)  | 2695000  | 2695000  |
|  Integrace Obligated Group Participating VRDN Series 2022 024, 2.1% 1/11/23 (Liquidity Facility Barclays Bank PLC) (b)(g)(i)  | 3700000  | 3700000  |
|  Maryland Health & Higher Edl. Facilities Auth. Rev. Series 2014 B, 1.8% 12/7/22, LOC TD Banknorth, NA, VRDN (b)  | 2600000  | 2600000  |
|  TOTAL MARYLAND  |  | 23134995  |
| Massachusetts - 0.2%  |  |  |
|  Boston Wtr. & Swr. Commission Rev. Series 2022 A, 1.89% 12/6/22, LOC State Street Bank & Trust Co., Boston, CP  | 5000000  | 4999994  |
|  Massachusetts Dept. of Trans. Metropolitan Hwy. Sys. Rev. Series 2022 A2, 1.97% 12/7/22 (Liquidity Facility U.S. Bank NA, Cincinnati), VRDN (b)  | 3500000  | 3500000  |
|  Massachusetts Edl. Fing. Auth. Rev. Participating VRDN Series Floaters XF 23 06, 2.1% 12/7/22 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (b)(d)(g)(i)  | 1125000  | 1125000  |
|  TOTAL MASSACHUSETTS  |  | 9624994  |
| Michigan - 0.8%  |  |  |
|  Great Lakes Wtr. Auth. Sew Disp. Sys. Participating VRDN Series 2022 YX 12 35, 2% 12/7/22 (Liquidity Facility Barclays Bank PLC) (b)(g)(i)  | 4235000  | 4235000  |
|  Michigan Bldg. Auth. Rev.:  |  |  |
|  Participating VRDN Series 2021 XF 11 15, 1.96% 12/7/22 (Liquidity Facility Deutsche Bank AG New York Branch) (b)(g)(i)  | 345000  | 345000  |
|  Series 2020 III, 1.96% 1/2/24, VRDN (b)  | 3000000  | 3000000  |
|  Michigan Fin. Auth. Rev. RAN Series 2022 A:  |  |  |
|  5% 7/20/23  | 400000  | 406260  |
|  5% 8/21/23, LOC JPMorgan Chase Bank  | 3790000  | 3854403  |
|  St Joseph Hosp. Fa Hsp Rev. Series 2002, 1.91% 12/7/22 (Assured Guaranty Muni. Corp. Insured), VRDN (b)  | 7640000  | 7640000  |
|  Univ. of Michigan Rev.:  |  |  |
|  Series 2022 L1, 2.85% 2/2/23, CP  | 9745000  | 9748208  |
|  Series 2022, 2.7% 12/2/22, CP  | 5200000  | 5200469  |
|  TOTAL MICHIGAN  |  | 34429340  |
| Minnesota - 0.1%  |  |  |
|  Duluth Minn Hsg. & Redev. Auth. MultiFamily Hsg. Rev. Participating VRDN Series 2021 XF 11 30, 2.34% 12/7/22 (Liquidity Facility Deutsche Bank AG New York Branch) (b)(g)(i)  | 900000  | 900000  |
|  Univ. of Minnesota Gen. Oblig. Series 2022 G, 2.7% 12/7/22, CP  | 3149000  | 3149472  |
|  TOTAL MINNESOTA  |  | 4049472  |
| Missouri - 0.2%  |  |  |
|  Kansas City Indl. Dev. Auth. Participating VRDN Series XL 03 3, 2.2% 12/7/22 (Liquidity Facility JPMorgan Chase Bank) (b)(d)(g)(i)  | 4900000  | 4900000  |
|  Kansas City Planned Indl. Expansion Participating VRDN Series Floater MIZ 90 86, 2.15% 1/4/23 (Liquidity Facility Mizuho Cap. Markets LLC) (b)(g)(h)(i)  | 1055000  | 1055000  |
|  Lees Summit Indl. Dev. Auth. Multi-family Hsg. Rev. Participating VRDN Series MIZ 90 55, 2.15% 1/4/23 (Liquidity Facility Mizuho Cap. Markets LLC) (b)(g)(h)(i)  | 200000  | 200000  |
|  Missouri Health & Edl. Facilities Rev. Series 2014 G, 1.87% 12/7/22, VRDN (b)  | 1300000  | 1300000  |
|  TOTAL MISSOURI  |  | 7455000  |
| Montana - 0.0%  |  |  |
|  Montana Board of Hsg. Participating VRDN Series Floater MIZ 90 61, 2.15% 1/4/23 (Liquidity Facility Mizuho Cap. Markets LLC) (b)(g)(h)(i)  | 900000  | 900000  |
| Nebraska - 0.1%  |  |  |
|  Nebraska Invt. Fin. Auth. Single Family Hsg. Rev. Series 2022 E, 1.8% 12/7/22 (Liquidity Facility Fed. Home Ln. Bank Topeka), VRDN (b)  | 3000000  | 3000000  |
| Nevada - 0.4%  |  |  |
|  Clark County Arpt. Rev. Series 2008 C1, 1.95% 12/7/22, LOC Bank of America NA, VRDN (b)(d)  | 10000000  | 10000000  |
|  Nevada Hsg. Division Participating VRDN Series 2022 MIZ 90 91, 2.15% 1/4/23 (Liquidity Facility Mizuho Cap. Markets LLC) (b)(g)(h)(i)  | 5200000  | 5200000  |
|  TOTAL NEVADA  |  | 15200000  |
| New Jersey - 0.3%  |  |  |
|  Hudson County Impt. Auth. Rev. BAN Series 2022 B1, 3% 8/4/23  | 6276000  | 6292188  |
|  New Jersey Trans. Trust Fund Auth. Participating VRDN:  |  |  |
|  Series XM 09 29, 2.07% 12/7/22 (Liquidity Facility JPMorgan Chase Bank) (b)(g)(i)  | 800000  | 800000  |
|  Series XM 10 47, 2.1% 12/7/22 (Liquidity Facility JPMorgan Chase Bank) (b)(g)(i)  | 4100000  | 4100000  |
|  Newark Gen. Oblig. BAN Series 2022 D, 4% 9/29/23  | 3000000  | 3016828  |
|  TOTAL NEW JERSEY  |  | 14209016  |
| New Mexico - 0.0%  |  |  |
|  New Mexico St Hosp. Equip. Ln. Co. Participating VRDN Series 2022 034, 2.1% 1/11/23 (Liquidity Facility Barclays Bank PLC) (b)(g)(i)  | 2100000  | 2100000  |
| New York - 2.9%  |  |  |
|  Hempstead Indl. Dev. Auth. Participating VRDN Series DBE 80 63, 2.3% 12/7/22, LOC Deutsche Bank AG, (Liquidity Facility Deutsche Bank AG) (b)(d)(g)(i)  | 8341186  | 8341186  |
|  New York City Gen. Oblig.:  |  |  |
|  Series 2006, 2.75% 12/2/22 (Assured Guaranty Muni. Corp. Insured), VRDN (b)  | 5100000  | 5100000  |
|  Series 2012 2, 1.96% 12/8/22, VRDN (b)  | 5800000  | 5800000  |
|  New York City Muni. Wtr. Fin. Auth. Wtr. & Swr. Sys. Rev. Participating VRDN Series 2022 XL 03 77, 1.93% 12/7/22 (Liquidity Facility JPMorgan Chase Bank) (b)(g)(i)  | 4785000  | 4785000  |
|  New York City Transitional Fin. Auth. Rev. Series 2022, 1% 12/1/22 (Liquidity Facility Bny Mellon Cap. (NON GOV REPO)), VRDN (b)  | 5000000  | 5000000  |
|  New York Dorm. Auth. Rev.:  |  |  |
|  Participating VRDN Series XF 13 28, 2.07% 12/7/22 (Liquidity Facility JPMorgan Chase Bank) (b)(g)(i)  | 2900000  | 2900000  |
|  Series 2002 A2, 1.85% 12/7/22, VRDN (b)  | 2350000  | 2350000  |
|  New York Metropolitan Trans. Auth. Rev. Participating VRDN:  |  |  |
|  Series XF 13 21, 2.08% 12/7/22 (Liquidity Facility JPMorgan Chase Bank) (b)(g)(i)  | 3705000  | 3705000  |
|  Series XF 13 55, 2.08% 12/7/22 (Liquidity Facility JPMorgan Chase Bank) (b)(g)(i)  | 4000000  | 4000000  |
|  Series ZF 02 18, 2.08% 12/7/22 (Liquidity Facility JPMorgan Chase Bank) (b)(g)(i)  | 4200000  | 4200000  |
|  New York Trans. Dev. Corp. Participating VRDN Series 2022 E 154, 2% 12/7/22 (Liquidity Facility Royal Bank of Canada) (b)(d)(g)(i)  | 10000000  | 10000000  |
|  Oyster Bay Gen. Oblig. BAN Series 2022, 3% 3/9/23  | 8000000  | 8014186  |
|  RIB Floater Trust Various States Participating VRDN Series Floater 2022 007, 2.3% 1/11/23 (Liquidity Facility Barclays Bank PLC) (b)(d)(g)(i)  | 23500000  | 23500000  |
|  Rochester Gen. Oblig. BAN Series 2022 III, 4% 8/2/23  | 15000000  | 15104930  |
|  Rockland County Indl. Dev. Agcy. Participating VRDN Series XF 11 32, 2.2% 12/7/22 (Liquidity Facility Deutsche Bank AG New York Branch) (b)(g)(i)  | 2600000  | 2600000  |
|  South Huntington Union Free School District TAN Series 2022, 4% 6/28/23  | 5000000  | 5029563  |
|  Triborough Brdg & Tunl Auth. Participating VRDN Series XF 13 59, 1.94% 12/7/22 (Liquidity Facility Toronto-Dominion Bank) (b)(g)(i)  | 7800000  | 7800000  |
|  Triborough Bridge & Tunnel Auth. Participating VRDN Series 2021 XF 11 25, 1.96% 12/7/22 (Liquidity Facility Deutsche Bank AG New York Branch) (b)(g)(i)  | 4509500  | 4509500  |
|  Triborough Bridge & Tunnel Auth. Revs. Participating VRDN Series 2022 ZL 03 40, 1.93% 12/7/22 (Liquidity Facility JPMorgan Chase Bank) (b)(g)(i)  | 1250000  | 1250000  |
|  TOTAL NEW YORK  |  | 123989365  |
| New York And New Jersey - 0.2%  |  |  |
|  Port Auth. of New York & New Jersey:  |  |  |
|  Series 2022 A, 2% 12/15/22, CP (d)  | 4070000  | 4070488  |
|  Series 2022, 2.25% 12/15/22, CP (d)  | 5030000  | 5030721  |
|  TOTAL NEW YORK AND NEW JERSEY  |  | 9101209  |
| Ohio - 0.9%  |  |  |
|  American Muni. Pwr. BAN:  |  |  |
|  (City of Wapakoneta Proj.) Series 2022, 3.5% 6/22/23  | 1000000  | 1001774  |
|  (Village of Pioneer Proj.) Series 2021, 1.25% 12/1/22  | 400000  | 400000  |
|  Coshocton County BAN Series 2022, 2.875% 7/7/23  | 1665000  | 1662491  |
|  Lakewood Income Tax Rev. TAN Series 2022, 1.75% 3/16/23  | 3000000  | 2992555  |
|  Lorain County Gen. Oblig. BAN:  |  |  |
|  (North Ridge Road Proj.) Series 2021 B, 2% 12/15/22  | 1100000  | 1099712  |
|  Series 2022 A, 2.5% 5/3/23  | 2500000  | 2495928  |
|  Newark Gen. Oblig. BAN Series 2022, 4% 9/26/23  | 2890000  | 2910030  |
|  Ohio Higher Edl. Facility Commission Rev. Series 2022:  |  |  |
|  2.7% tender 2/1/23, CP mode  | 2000000  | 2000679  |
|  2.8% tender 1/18/23, CP mode  | 9000000  | 9005965  |
|  Ohio Hosp. Rev.:  |  |  |
|  Series 2013 B, 2.38% 12/7/22, VRDN (b)  | 3795000  | 3795000  |
|  Series 2021 B, 2.27% 12/1/22, VRDN (b)  | 3000000  | 3000000  |
|  Ohio Hsg. Fin. Agcy. Multi-family Hsg. Rev. Participating VRDN Series XF 10 92, 2.2% 12/7/22 (Liquidity Facility Deutsche Bank AG New York Branch) (b)(g)(i)  | 5100000  | 5100000  |
|  Sandusky Gen. Oblig. BAN Series 2022, 5% 9/7/23 (f)  | 2400000  | 2421576  |
|  Whitehall Spl. Oblig. Nontax Rev. BAN Series 2021 A, 1.5% 12/7/22  | 1700000  | 1699764  |
|  TOTAL OHIO  |  | 39585474  |
| Oklahoma - 0.4%  |  |  |
|  Oklahoma Dev. Fin. Auth. Health Sys. Rev. Series 2020 B, 2.45% 12/8/25, VRDN (b)  | 17055000  | 17055000  |
|  Steele Duncan Plaza, LLC Participating VRDN Series MIZ 91 03, 2.15% 1/4/23 (Liquidity Facility Mizuho Cap. Markets LLC) (b)(g)(h)(i)  | 1300000  | 1300000  |
|  TOTAL OKLAHOMA  |  | 18355000  |
| Oregon - 0.2%  |  |  |
|  Oregon St Dept. Trans. Rev.:  |  |  |
|  Series 2022 A1, 2.7% 12/1/22, LOC Wells Fargo Bank NA, CP  | 2857000  | 2857121  |
|  Series 2022 A2:  |  |  |
|  2.95% 1/10/23, LOC Bank of Montreal, CP <br>| 1500000  | 1500915  |
|  3% 2/1/23, LOC Bank of Montreal, CP <br>| 350000  | 350237  |
|  Oregon St Hsg. & Cmnty. Svcs. Dep Participating VRDN Series 2021 XF 11 23, 2.2% 12/7/22 (Liquidity Facility Deutsche Bank AG New York Branch) (b)(g)(i)  | 1800000  | 1800000  |
|  TOTAL OREGON  |  | 6508273  |
| Pennsylvania - 1.0%  |  |  |
|  Central Bradford Progress Auth. Rev. Series 2021 D, 2.47% 12/7/22, VRDN (b)  | 4500000  | 4500000  |
|  Montgomery County Higher Ed. & Health Auth. Rev. Series 2018 D, 2.41% 12/8/25, VRDN (b)  | 13000000  | 13000000  |
|  Pennsylvania Econ. Dev. Fing. Auth. Exempt Facilities Rev. Series 2009 B, 2.8% 12/7/22, LOC MUFG Bank Ltd., VRDN (b)  | 5000000  | 5000000  |
|  Pennsylvania Hsg. Fin. Agcy. Multifamily Hsg. Dev. Rev. Participating VRDN Series XF 10 95, 2.2% 12/7/22 (Liquidity Facility Deutsche Bank AG New York Branch) (b)(g)(i)  | 2095000  | 2095000  |
|  Philadelphia Arpt. Rev. Series 2022, 2.88% 12/15/22, LOC TD Banknorth, NA, CP (d)  | 10221000  | 10224533  |
|  Philadelphia Auth. for Indl. Dev.:  |  |  |
|  Participating VRDN Series MIZ 90 51, 2.15% 1/4/23 (Liquidity Facility Mizuho Cap. Markets LLC) (b)(g)(h)(i)  | 1000000  | 1000000  |
|  Series 2017 B, 2.41% 12/8/25, VRDN (b)  | 7465000  | 7465000  |
|  TOTAL PENNSYLVANIA  |  | 43284533  |
| South Carolina - 0.6%  |  |  |
|  Greenville Hosp. Sys. Facilities Rev. Participating VRDN Series XF 01 45, 2.1% 12/7/22 (Liquidity Facility Toronto-Dominion Bank) (b)(g)(i)  | 2620000  | 2620000  |
|  South Carolina Jobs-Econ. Dev. Auth. Series 2018 C, 2.44% 12/8/25, VRDN (b)  | 16000000  | 16000000  |
|  South Carolina Pub. Svc. Auth. Rev. Series 2022, 2.8% 12/6/22, LOC Barclays Bank PLC, CP  | 5848000  | 5848616  |
|  TOTAL SOUTH CAROLINA  |  | 24468616  |
| Tennessee - 0.4%  |  |  |
|  Chattanooga Health Ed. & Hsg. Facility Board Rev. (Catholic Health Initiatives Proj.) Series C, 2.1% 12/7/22, VRDN (b)  | 14475000  | 14475000  |
|  Greeneville Health & Edl. Facilities Board Series 2018 B, 1.9% 12/7/22, LOC U.S. Bank NA, Cincinnati, VRDN (b)  | 800000  | 800000  |
|  Metropolitan Govt. Nashville & Davidson County Health & Edl. Facilities Board Participating VRDN Series XF 10 97, 2.2% 12/7/22 (Liquidity Facility Deutsche Bank AG New York Branch) (b)(g)(i)  | 1890000  | 1890000  |
|  Tennessee Gen. Oblig. Series 2022, 2.74% 12/7/22 (Liquidity Facility Tennessee Consldatd Retire Sys.), CP  | 1000000  | 1000152  |
|  TOTAL TENNESSEE  |  | 18165152  |
| Texas - 3.3%  |  |  |
|  Arlington Higher Ed. Fin. Corp. Participating VRDN Series 2021 MS 00 02, 2.2% 12/7/22 (b)(g)(i)  | 10000000  | 10000000  |
|  Austin Affordable Pfc, Inc. Multifamily Hsg. Rev. Participating VRDN:  |  |  |
|  Series XF 11 02, 2.2% 12/7/22 (Liquidity Facility Deutsche Bank AG New York Branch) (b)(g)(i)  | 3300000  | 3300000  |
|  Series XF 11 19, 2.2% 12/7/22 (Liquidity Facility Deutsche Bank AG New York Branch) (b)(g)(i)  | 2300000  | 2300000  |
|  Cap. Area Hsg. Fin. Corp. Multi-family Hsg. Rev. Participating VRDN Series XF 11 31, 2.2% 12/7/22 (Liquidity Facility Deutsche Bank AG New York Branch) (b)(g)(i)  | 2700000  | 2700000  |
|  Ep Machuca Lp Participating VRDN Series MIZ 91 04, 2.15% 1/4/23 (Liquidity Facility Mizuho Cap. Markets LLC) (b)(g)(h)(i)  | 1900000  | 1900000  |
|  Garland Series 2022, 2% 12/1/22, LOC Barclays Bank PLC, CP  | 4000000  | 4000098  |
|  Harris County Cultural Ed. Facilities Fin. Corp. Rev.:  |  |  |
|  Series 2022 B1, 3.25% tender 3/1/23, CP mode  | 5750000  | 5754875  |
|  Series 2022 B3, 2.92% tender 1/4/23, CP mode  | 4000000  | 4000909  |
|  Harris County Gen. Oblig. Series 2022 D2, 2.8% 1/5/23 (Liquidity Facility State Street Bank & Trust Co., Boston), CP  | 2700000  | 2701449  |
|  Houston Arpt. Sys. Rev. Series 2022 A, 2.6% 12/2/22, LOC Sumitomo Mitsui Banking Corp., CP (d)  | 4500000  | 4500382  |
|  Hurst Participating VRDN Series XF 10 94, 2.2% 12/7/22 (Liquidity Facility Deutsche Bank AG New York Branch) (b)(g)(i)  | 1500000  | 1500000  |
|  Love Field Arpt. Modernization Rev. Series 2022, 2.5% 12/16/22, LOC JPMorgan Chase Bank, CP (d)  | 500000  | 500010  |
|  Lower Colorado River Auth. Rev. Series 2022, 2.25% 1/5/23, LOC JPMorgan Chase Bank, LOC State Street Bank & Trust Co., Boston, CP  | 815000  | 815041  |
|  North Central Texas Hsg. Fin. Corp. Mu Participating VRDN Series XF 10 99, 2.2% 12/7/22 (Liquidity Facility Deutsche Bank AG New York Branch) (b)(g)(i)  | 1310000  | 1310000  |
|  Port Arthur Navigation District Envir. Facilities Rev. (Motiva Enterprises LLC Proj.):  |  |  |
|  Series 2001 A, 1.85% 12/1/22, VRDN (b)  | 7600000  | 7600000  |
|  Series 2004, 2.65% 12/7/22, VRDN (b)(d)  | 25215000  | 25215000  |
|  Series 2010 D:  |  |  |
|  2.55% 12/7/22, VRDN (b) <br>| 14955000  | 14955000  |
|  2.6% 12/7/22, VRDN (b) <br>| 1200000  | 1200000  |
|  Reg Bridge Propco I Llc Participating VRDN Series DBE 80 90, 2.3% 1/30/23 (Liquidity Facility Deutsche Bank AG New York Branch) (b)(g)(h)(i)  | 11500000  | 11500000  |
|  San Antonio Elec. & Gas Sys. Rev. Series 2022, 3.25% 7/13/23 (Liquidity Facility Bank of America NA), CP  | 9000000  | 9007970  |
|  Tender Option Bond Trust Receipts Participating VRDN Series 2021 XF 11 09, 2.2% 12/7/22 (Liquidity Facility Deutsche Bank AG) (b)(g)(i)  | 2000000  | 2000000  |
|  Texas Dept. of Hsg. & Cmnty. Affairs Multi-family Hsg. Rev. Participating VRDN Series XG 03 89, 2.2% 12/7/22 (Liquidity Facility Deutsche Bank AG) (b)(g)(i)  | 4000000  | 4000000  |
|  Texas Dept. of Hsg. & Cmnty. Affairs Residential Mtg. Rev. Participating VRDN Series XF 10 98, 2.2% 12/7/22 (Liquidity Facility Deutsche Bank AG New York Branch) (b)(g)(i)  | 3050000  | 3050000  |
|  Texas Private Activity Bond Surface Trans. Corp. Participating VRDN Series XM 07 56, 2.09% 12/7/22 (Liquidity Facility Deutsche Bank AG New York Branch) (b)(d)(g)(i)  | 1431000  | 1431000  |
|  Texas St Technical College Sys. Participating VRDN Series 2022 XF 14 11, 2.1% 12/7/22 (Liquidity Facility Bank of America NA) (b)(g)(i)  | 2200000  | 2200000  |
|  Univ. of Texas Board of Regents Sys. Rev.:  |  |  |
|  Series 2022 A:  |  |  |
|  2.5% 1/20/23 (Liquidity Facility Univ. of Texas Invt. Mgmt. Co.), CP <br>| 2500000  | 2501211  |
|  2.85% 2/1/23 (Liquidity Facility Univ. of Texas Invt. Mgmt. Co.), CP <br>| 3700000  | 3702511  |
|  Series 2022:  |  |  |
|  2.17% 12/1/22 (Liquidity Facility Univ. of Texas Invt. Mgmt. Co.), CP <br>| 5000000  | 5000130  |
|  3% 1/10/23 (Liquidity Facility Univ. of Texas Invt. Mgmt. Co.), CP <br>| 4300000  | 4302124  |
|  TOTAL TEXAS  |  | 142947710  |
| Utah - 0.7%  |  |  |
|  Roers Salt Lake City Apt. Participating VRDN Series XF 11 38, 2.2% 12/7/22 (Liquidity Facility Deutsche Bank AG New York Branch) (b)(g)(i)  | 1300000  | 1300000  |
|  Salt Lake City Arpt. Rev. Participating VRDN:  |  |  |
|  Series 17 XM 0493, 2.1% 12/7/22 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (b)(d)(g)(i)  | 3300000  | 3300000  |
|  Series Floaters XM 06 99, 2.07% 12/7/22 (Liquidity Facility UBS AG) (b)(d)(g)(i)  | 4530000  | 4530000  |
|  Utah County Hosp. Rev. Series 2016 E, 1.8% 12/7/22 (Liquidity Facility JPMorgan Chase Bank), VRDN (b)  | 7790000  | 7790000  |
|  Utah Hsg. Corp. Multi-family Hsg. Rev. Participating VRDN Series 2021 XF 11 00, 2.2% 12/7/22 (Liquidity Facility Deutsche Bank AG New York Branch) (b)(g)(i)  | 12800000  | 12800000  |
|  TOTAL UTAH  |  | 29720000  |
| Virginia - 0.6%  |  |  |
|  Lynchburg Econ. Dev. Participating VRDN Series XL 00 75, 2.15% 12/7/22 (Liquidity Facility JPMorgan Chase Bank) (b)(g)(i)  | 2300000  | 2300000  |
|  Newport News Redev. and Hsg. Auth. Multifamily Hsg. Participating VRDN Series 2022 XF 11 52, 1.95% 12/7/22 (Liquidity Facility Deutsche Bank AG New York Branch) (b)(g)(i)  | 7100000  | 7100000  |
|  Suffolk Econ. Dev. Auth. Hosp. Facilities Rev. Participating VRDN Series MIZ 90 25, 1.12% 12/1/22 (Liquidity Facility Mizuho Cap. Markets LLC) (b)(g)(i)  | 13300000  | 13300000  |
|  Virginia Polytech Inst&St Univ. Series 2022, 2.45% 1/10/23, CP  | 2000000  | 2000445  |
|  Waters At James Crossing, LP Participating VRDN Series XG 03 90, 2.2% 12/7/22 (Liquidity Facility Deutsche Bank AG New York Branch) (b)(g)(i)  | 2100000  | 2100000  |
|  TOTAL VIRGINIA  |  | 26800445  |
| Washington - 0.1%  |  |  |
|  Washington Econ. Dev. Fin. Auth. Rev. Participating VRDN Series Floaters 005, 2.15% 1/11/23 (Liquidity Facility Barclays Bank PLC) (b)(d)(g)(i)  | 4900000  | 4900000  |
| West Virginia - 0.1%  |  |  |
|  West Virginia Hosp. Fin. Auth. Hosp. Rev. Series 2018 E, 2.42% 12/8/25, VRDN (b)  | 3455000  | 3455000  |
| Wisconsin - 0.5%  |  |  |
|  PMA Levy & Aid Anticipation Nts Prog. TRAN:  |  |  |
|  Series 2022 A, 4% 9/27/23  | 3000000  | 3026219  |
|  Series 2022 B, 4% 9/27/23  | 3500000  | 3530589  |
|  School District of Fort Atkinson Jefferson and Rock Counties RAN Series 2022, 4% 6/22/23 (f)  | 3000000  | 3006120  |
|  Wisconsin Health & Edl. Facilities Series 2020 C, 2.47% 12/8/25, VRDN (b)  | 9750000  | 9750000  |
|  Wisconsin Health & Edl. Facilities Auth. Rev. Series 2022 A, 2.47% 12/7/22, VRDN (b)  | 2000000  | 2000000  |
|  TOTAL WISCONSIN  |  | 21312928  |
| <br> **TOTAL MUNICIPAL NOTES** <br> (Cost $1,015,511,342)  |  | <br> **1015239560**  |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **Municipal Bond Funds - 0.2%**  | &nbsp;&nbsp; **Municipal Bond Funds - 0.2%**  | &nbsp;&nbsp; **Municipal Bond Funds - 0.2%**  |
|  | Shares  | Value ($) <br>|
|  Nuveen NY AMT-Free Quality Municipal Income Fund Preferred Shares 2.35% (b)(e)(j) <br>(Cost $6,800,000) <br>| 6800000  | **6800000**  |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **Short-Term Funds - 12.0%**  | &nbsp;&nbsp; **Short-Term Funds - 12.0%**  | &nbsp;&nbsp; **Short-Term Funds - 12.0%**  |
|  | Shares  | Value ($) <br>|
|  Federated Hermes Municipal Ultrashort Fund Institutional Shares  | 6042869  | 59703541  |
|  JPMorgan Ultra-Short Municipal Fund Class A  | 20827931  | 206196514  |
|  Vanguard Short-Term Tax-Exempt Fund Admiral Shares  | 15747851  | 245194006  |
| <br> **TOTAL SHORT-TERM FUNDS** <br> (Cost $521,197,449)  |  | **511094061**  |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **Money Market Funds - 14.1%**  | &nbsp;&nbsp; **Money Market Funds - 14.1%**  | &nbsp;&nbsp; **Money Market Funds - 14.1%**  |
|  | Principal <br> Amount (a) <br>| Value ($) <br>|
|  Fidelity Investments Money Market Government Portfolio Institutional Class 3.60% (k)(l)  | 259285788  | 259285788  |
|  Fidelity Municipal Cash Central Fund 1.32% (m)(n)  | 36979604  | 36987000  |
|  Fidelity SAI Municipal Money Market Fund 1.83% (k)(l)  | 296544189  | 296692461  |
|  State Street Institutional U.S. Government Money Market Fund Premier Class 3.66% (k)  | 10898621  | 10898621  |
| <br> **TOTAL MONEY MARKET FUNDS** <br> (Cost $603,753,064)  |  | **603863870**  |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 100.3%** <br> (Cost $4,338,042,588) <br>| <br>**4286778759**  |
| **NET OTHER ASSETS (LIABILITIES) - (0.3)%**  | **(12074897)**  |
| **NET ASSETS - 100.0%**  | **4274703862**  |

---

**Security Type Abbreviations**

---

| | | |
|:---|:---|:---|
| BAN  | -  | BOND ANTICIPATION NOTE  |
| CP  | -  | COMMERCIAL PAPER  |
| RAN  | -  | REVENUE ANTICIPATION NOTE  |
| TAN  | -  | TAX ANTICIPATION NOTE  |
| TRAN  | -  | TAX AND REVENUE ANTICIPATION NOTE  |
| VRDN  | -  | VARIABLE RATE DEMAND NOTE (A debt instrument that is payable upon demand, either daily, weekly or monthly)  |

---

**Legend**

(a) 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 $50,337,893 or 1.2% 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) 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 $63,469,569 or 1.5% of net assets.

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

(j) Non-income producing

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

(l) Affiliated Fund

(m) Information in this report regarding holdings by state and security types does not reflect the holdings of the Fidelity Municipal Cash Central Fund.

(n) 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:  | Additional information on each restricted holding is as follows:  | Additional information on each restricted holding is as follows:  |
| Security  | Acquisition Date  | Acquisition Cost ($) <br>|
| Arizona St Indl. Dev. Auth. Multi Participating VRDN Series Floater MIZ 90 88, 2.15% 1/4/23 (Liquidity Facility Mizuho Cap. Markets LLC)  | 2/03/22  | 12800000  |
| Baltimore Proj. Rev. Bonds Series Floaters G 42, 2.1%, tender 1/3/23 (Liquidity Facility Royal Bank of Canada)  | 7/01/22  | 4500000  |
| Colorado Hsg. & Fin. Auth. Multi-family Hsg. Rev. Participating VRDN Series Floater 2021 MIZ 90 68, 2.15% 1/4/23 (Liquidity Facility Mizuho Cap. Markets LLC)  | 4/14/21  | 99569  |
| Ep Machuca Lp Participating VRDN Series MIZ 91 04, 2.15% 1/4/23 (Liquidity Facility Mizuho Cap. Markets LLC)  | 8/05/22  | 1900000  |
| Kansas City Planned Indl. Expansion Participating VRDN Series Floater MIZ 90 86, 2.15% 1/4/23 (Liquidity Facility Mizuho Cap. Markets LLC)  | 1/27/22  | 1055000  |
| Lees Summit Indl. Dev. Auth. Multi-family Hsg. Rev. Participating VRDN Series MIZ 90 55, 2.15% 1/4/23 (Liquidity Facility Mizuho Cap. Markets LLC)  | 12/29/20  | 200000  |
| Louisiana Hsg. Corp. Multifamily Hsg. Rev. Participating VRDN Series MIZ 90 53, 2.15% 1/4/23 (Liquidity Facility Mizuho Cap. Markets LLC)  | 12/17/20  | 585000  |
| Miami Dade County Hsg. Multifamily Hsg. Rev. Participating VRDN Series Floater MIZ 90 87, 2.15% 1/4/23 (Liquidity Facility Mizuho Cap. Markets LLC)  | 1/27/22  | 1035000  |
| Miami Dade County Hsg. Multifamily Hsg. Rev. Participating VRDN Series MIZ 90 72, 2.15% 1/4/23 (Liquidity Facility Mizuho Cap. Markets LLC)  | 9/02/21  | 400000  |
| Montana Board of Hsg. Participating VRDN Series Floater MIZ 90 61, 2.15% 1/4/23 (Liquidity Facility Mizuho Cap. Markets LLC)  | 3/02/21 - 8/17/22  | 900000  |
| Nevada Hsg. Division Participating VRDN Series 2022 MIZ 90 91, 2.15% 1/4/23 (Liquidity Facility Mizuho Cap. Markets LLC)  | 2/10/22  | 5200000  |
| Philadelphia Auth. for Indl. Dev. Participating VRDN Series MIZ 90 51, 2.15% 1/4/23 (Liquidity Facility Mizuho Cap. Markets LLC)  | 11/12/20  | 1000000  |
| Reg Bridge Propco I Llc Participating VRDN Series DBE 80 90, 2.3% 1/30/23 (Liquidity Facility Deutsche Bank AG New York Branch)  | 9/27/22  | 11500000  |
| Sacramento County Hsg. Auth. Multi-family Hsg. Rev. Participating VRDN Series 2022 MIZ 90 93, 2.15% 1/4/23 (Liquidity Facility Mizuho Cap. Markets LLC)  | 2/24/22  | 2770000  |
| San Francisco City & County Multi-family Hsg. Rev. Participating VRDN Series DBE 8059, 2.3% 1/30/23 (Liquidity Facility Deutsche Bank AG New York Branch)  | 4/13/22  | 1900000  |
| San Francisco City & County Multi-family Hsg. Rev. Participating VRDN Series MIZ 90 63, 2.15% 1/4/23 (Liquidity Facility Mizuho Cap. Markets LLC)  | 2/18/21  | 16325000  |
| Steele Duncan Plaza, LLC Participating VRDN Series MIZ 91 03, 2.15% 1/4/23 (Liquidity Facility Mizuho Cap. Markets LLC)  | 8/11/22  | 1300000  |

---

**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, <br> beginning <br> of period ($)  | Purchases ($)  | Sales <br> Proceeds ($)  | Dividend <br> Income ($)  | Realized <br> Gain (loss) ($)  | Change in <br> Unrealized <br> appreciation <br> (depreciation) ($)  | Value, <br> end <br> of period ($)  | % ownership, <br> end <br> of period  |
|  Fidelity Municipal Cash Central Fund 1.32%  | 92097000  | 185270000  | 240380000  | 366379  | -  | -  | 36987000  | 1.5%  |
| Total  | 92097000  | 185270000  | 240380000  | 366379  | -  | -  | 36987000  |  |

---

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

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, <br> beginning <br> of period ($)  | Purchases ($)  | Sales <br> Proceeds ($)  | Dividend <br> Income ($)  | Realized <br> Gain (loss) ($)  | Change in <br> Unrealized <br> appreciation <br> (depreciation) ($)  | Value, <br> end <br> of period ($)  |
|  Fidelity Investments Money Market Government Portfolio Institutional Class 3.60%  | 167772403  | 552603976  | 461090591  | 2532882  | -  | -  | 259285788  |
|  Fidelity SAI Municipal Money Market Fund 1.83%  | 461165608  | 39597963  | 204174731  | 2391577  | (24231)  | 127852  | 296692461  |
|  | 628938011  | 592201939  | 665265322  | 4924459  | (24231)  | 127852  | 555978249  |

---

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

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, 2022, 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:**  | **Valuation Inputs at Reporting Date:**  | **Valuation Inputs at Reporting Date:**  | **Valuation Inputs at Reporting Date:**  | **Valuation Inputs at Reporting Date:**  |
| **Description**  | **Total ($)**  | **Level 1 ($)**  | **Level 2 ($)**  | **Level 3 ($)**  |
| **<u>Investments in Securities:</u>**  |  |  |  |  |
|  Municipal Securities  | 3165020828  | -  | 3165020828  | -  |
|  Municipal Bond Funds  | 6800000  | -  | 6800000  | -  |
|  Short-Term Funds  | 511094061  | 511094061  | -  | -  |
|  Money Market Funds  | 603863870  | 603863870  | -  | -  |
| **Total Investments in Securities:**  | 4286778759  | 1114957931  | 3171820828  | -  |

---

**Financial Statements** **(Unaudited)**

---

| | | |
|:---|:---|:---|
| **Statement of Assets and Liabilities**  | **Statement of Assets and Liabilities**  | **Statement of Assets and Liabilities**  |
|  |  | **November 30, 2022** <br> **(Unaudited)**  |
| **Assets**  |  |  |
| Investment in securities, at value - See accompanying schedule:  |  |  |
|  Unaffiliated issuers (cost $3,745,188,145)  | $3693813510  |  |
|  Fidelity Central Funds (cost $36,986,654)  | 36987000  |  |
|  Other affiliated issuers (cost $555,867,789)  | 555978249  |  |
|  Total Investment in Securities (cost $4,338,042,588)  |  | $4286778759  |
|  Cash  |  | 536271  |
| Receivable for investments sold  |  | 24578670  |
|  Receivable for fund shares sold  |  | 4795565  |
|  Dividends receivable  |  | 1682317  |
|  Interest receivable  |  | 25119227  |
|  Distributions receivable from Fidelity Central Funds  |  | 52600  |
|  Prepaid expenses  |  | 4558  |
| Other receivables  |  | 4481  |
| **Total assets**  |  | 4343552448  |
| **Liabilities**  |  |  |
|  Payable for investments purchased  |  |  |
|  Regular delivery  | $12928203  |  |
|  Delayed delivery  | 41266522  |  |
|  Payable for fund shares redeemed  | 7682977  |  |
|  Distributions payable  | 6685388  |  |
|  Accrued management fee  | 248022  |  |
|  Other payables and accrued expenses  | 37474  |  |
| **Total Liabilities**  |  | 68848586  |
| **Net Assets**  |  | $4274703862  |
|  Net Assets consist of:  |  |  |
|  Paid in capital  |  | $4336926857  |
|  Total accumulated earnings (loss)  |  | (62222995)  |
|  **Net Assets**  |  | $4274703862  |
|  **Net Asset Value** , offering price and redemption price per share ($4,274,703,862 ÷ 431,473,967 shares)  |  | $9.91  |

---

---

| | | |
|:---|:---|:---|
| **Statement of Operations**  | **Statement of Operations**  | **Statement of Operations**  |
|  |  | **Six months ended** <br> **November 30, 2022** <br> **(Unaudited)**  |
|  **Investment Income**  |  |  |
| Dividends:  |  |  |
| Unaffiliated issuers  |  | $3401816  |
| Affiliated issuers  |  | $4921064  |
| Interest  |  | 22629830  |
| Income from Fidelity Central Funds  |  | 366379  |
| **Total Income**  |  | 31319089  |
|  **Expenses**  |  |  |
| Management fee  | $6772805  |  |
| Custodian fees and expenses  | 18426  |  |
| Independent trustees' fees and expenses  | 14851  |  |
| Registration fees  | 16225  |  |
| Audit  | 32445  |  |
| Legal  | 3540  |  |
| Miscellaneous  | 16199  |  |
| Total expenses before reductions  | 6874491  |  |
| Expense reductions  | (5313418)  |  |
| Total expenses after reductions  |  | 1561073  |
| **Net Investment income (loss)**  |  | 29758016  |
| **Realized and Unrealized Gain (Loss)**  |  |  |
| Net realized gain (loss) on:  |  |  |
| Investment Securities:  |  |  |
| Unaffiliated issuers  | (1695629)  |  |
| Affiliated issuers  | (24231)  |  |
| Capital gain distributions from underlying funds:  |  |  |
| Affiliated issuers  | 3395  |  |
| Total net realized gain (loss)  |  | (1716465)  |
| Change in net unrealized appreciation (depreciation) on:  |  |  |
| Investment Securities:  |  |  |
| Unaffiliated issuers  | (4845485)  |  |
| Affiliated issuers  | 127852  |  |
| Total change in net unrealized appreciation (depreciation)  |  | (4717633)  |
| **Net gain (loss)**  |  | (6434098)  |
| **Net increase (decrease) in net assets resulting from operations**  |  | $23323918  |

---

---

| | | |
|:---|:---|:---|
| **Statement of Changes in Net Assets**  | **Statement of Changes in Net Assets**  | **Statement of Changes in Net Assets**  |
|  | **Six months ended** <br> **November 30, 2022** <br> **(Unaudited)**  | **Year ended** <br> **May 31, 2022**  |
| **Increase (Decrease) in Net Assets**  |  |  |
| Operations  |  |  |
| &nbsp;&nbsp; Net investment income (loss)  | $29758016  | $23958203  |
| &nbsp;&nbsp; Net realized gain (loss)  | (1716465) <br>| (8614984) <br>|
| &nbsp;&nbsp; Change in net unrealized appreciation (depreciation)  | (4717633)  | (64441194) <br>|
| &nbsp;&nbsp; **Net increase (decrease) in net assets resulting from operations**  | 23323918 <br>| (49097975) <br>|
| Distributions to shareholders  | (29704862) <br>| (23902105) <br>|
| Share transactions  |  |  |
| &nbsp;&nbsp; Proceeds from sales of shares  | 1146123588  | 1479201995  |
| Reinvestment of distributions  | 5915 <br>| 5311 <br>|
| &nbsp;&nbsp; Cost of shares redeemed  | (1424456847)  | (2236352971)  |
| **Net increase (decrease) in net assets resulting from share transactions**  | (278327344) <br>| (757145665) <br>|
| &nbsp;&nbsp; **Total increase (decrease) in net assets**  | (284708288) <br>| (830145745) <br>|
| **Net Assets**  |  |  |
| &nbsp;&nbsp; Beginning of period  | 4559412150  | 5389557895 <br>|
| &nbsp;&nbsp; End of period  | $4274703862  | $4559412150  |
| **Other Information**  |  |  |
| Shares  |  |  |
| &nbsp;&nbsp; Sold  | 115752829  | 147957299  |
| Issued in reinvestment of distributions  | 598 <br>| 532 <br>|
| &nbsp;&nbsp; Redeemed  | (143925409)  | (224667170)  |
| &nbsp;&nbsp; Net increase (decrease)  | (28171982)  | (76709339)  |

---

**Financial Highlights** 

 **Strategic Advisers® Tax-Sensitive Short Duration Fund** <br>

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Six months ended** <br> **(Unaudited) November 30, 2022**  | **Years ended May 31, 2022**  | **2021**  | **2020**  | **2019**  | **2018** <sup>A</sup>  |
| **Selected Per-Share Data**  |  |  |  |  |  |  |
| Net asset value, beginning of period  | $9.92  | $10.05  | $10.02  | $10.03  | $9.99  | $10.00  |
| Income from Investment Operations  |  |  |  |  |  |  |
| Net investment income (loss) <sup>B,C</sup>  | .069  | .044  | .067  | .159  | .174  | .053  |
| Net realized and unrealized gain (loss)  | (.010)  | (.130)  | .034  | (.006)  | .042  | (.014)  |
| Total from investment operations  | .059  | (.086)  | .101  | .153  | .216  | .039  |
| Distributions from net investment income  | (.069)  | (.044)  | (.070)  | (.159)  | (.173)  | (.049)  |
| Distributions from net realized gain  | -  | -  | (.001)  | (.004)  | (.003)  | -  |
| Total distributions  | (.069)  | (.044)  | (.071)  | (.163)  | (.176)  | (.049)  |
| Net asset value, end of period  | $9.91  | $9.92  | $10.05  | $10.02  | $10.03  | $9.99  |
| **Total Return** <sup>D,E</sup>  | .60%  | (.85)%  | 1.01%  | 1.53%  | 2.19%  | .39%  |
| **Ratios to Average Net Assets** <sup>C,F,G</sup>  |  |  |  |  |  |  |
| Expenses before reductions  | .32% <sup>H</sup>  | .32%  | .33%  | .34%  | .37%  | .52% <sup>H</sup>  |
| Expenses net of fee waivers, if any  | .07% <sup>H</sup>  | .07%  | .08%  | .09%  | .12%  | .26% <sup>H,I</sup>  |
| Expenses net of all reductions  | .07% <sup>H</sup>  | .07%  | .08%  | .09%  | .12%  | .26% <sup>H,I</sup>  |
| Net investment income (loss)  | 1.40% <sup>H</sup>  | .44%  | .66%  | 1.59%  | 1.74%  | 1.28% <sup>H</sup>  |
| **Supplemental Data**  |  |  |  |  |  |  |
| Net assets, end of period (000 omitted)  | $4274704  | $4559412  | $5389558  | $3368491  | $3415877  | $3219118  |
| Portfolio turnover rate <sup>J</sup>  | 81% <sup>H</sup>  | 53%  | 86%  | 81%  | 57%  | 180% <sup>K</sup>  |

---

<sup>A</sup> *For the period December 28, 2017 (commencement of operations) through May 31, 2018.*

<sup>B</sup> *Calculated based on average shares outstanding during the period.*

<sup>C</sup> *Net 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.*

<sup>D</sup> *Total returns for periods of less than one year are not annualized.*

<sup>E</sup> *Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.*

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

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

<sup>H</sup> *Annualized.*

<sup>I</sup> *Audit fees are not annualized.*

<sup>J</sup> *Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).*

<sup>K</sup> *Amount not annualized.*

**Notes to Financial Statements** **(Unaudited)**

For the period ended November 30, 2022

**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.

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, 2022 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**  | $4479  |

---

**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 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**  | $2038670  |
| **Gross unrealized depreciation**  | <u>(53306840)</u>  |
| **Net unrealized appreciation (depreciation)**  | <u>$(51268170)</u>  |
| **Tax cost**  | <u>$4338046929</u>  |

---

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  | $(3747868)  |
| Long-term  | <u>(5200378)</u>  |
| **Total capital loss carryforward**  | <u>$(8948246)</u>  |

---

**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**  | 1312349329  | 1494837221  |

---

**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 .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.** 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**  | -  | 8810000  | -  |

---

**5. Investments in Fidelity Central Funds.**

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

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

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Fidelity Central Fund**  | **Investment Manager**  | **Investment Objective**  | **Investment Practices**  | **Expense Ratio** <sup>A</sup>  |
| 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%  |

---

<sup>A</sup> *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**  | $3967  |

---

**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, 2025. During the period, this waiver reduced the Fund's management fee by $5,313,418.

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%  |

---

**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.

**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.

**Shareholder Expense Example**

As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (June 1, 2022 to November 30, 2022). <br>

***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-** <sup>A</sup>  | **Beginning Account Value June 1, 2022**  | **Ending Account Value November 30, 2022**  | **Expenses Paid During Period-** <sup>C</sup> **June 1, 2022 to November 30, 2022**  |
| **Strategic Advisers® Tax-Sensitive Short Duration Fund**  | .07%  |  |  |  |
| **Actual**  |  | $1000  | $1006.00  | $.35  |
| **Hypothetical-** <sup>B</sup>  |  | $1000  | $1024.72  | $.36  |

---

*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/ 365 (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**

S **trategic Advisers Tax-Sensitive Short Duration Fund** 

In June 2022, the Board of Trustees, including the Independent Trustees (together, the Board) voted to approve an amendment to the fee schedule in the existing sub-advisory agreement among Strategic Advisers LLC (Strategic Advisers), FIAM LLC (FIAM), and Fidelity Rutland Square Trust II (Trust) on behalf of the fund (Amended Sub-Advisory Agreement). The Board noted that the updated fee schedule will result in the same or lower fees at all asset levels and FIAM agreed to apply the updated fee schedule retroactive to March 1, 2022. 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, and also considered the fund's investment objective, strategies and related investment philosophy and current sub-adviser line-up, as well as the structures of the investment personnel compensation programs and whether such structures provide appropriate incentives to act in the best interests of the fund, at its September 2021 meeting. The Board considered the detailed information provided by Strategic Advisers and by FIAM with respect to the fund and the other funds it sub-advises in the June 2022 annual contract renewal materials.

The Board noted that it had approved the existing sub-advisory agreement with FIAM at its September 2021 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.

<u>Investment Performance</u> . 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 will 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 considered that the Amended Sub-Advisory Agreement is expected to result in a decrease in the total management fee rate of the fund. Based on its review, the Board concluded that the fund's management fee structure and any changes to projected total expenses bear a reasonable relationship to the services that the fund and its shareholders will receive and the other factors considered.

**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, the Board did not consider the costs of services and profitability of the relationship with the fund to Strategic Advisers to be significant factors in its decision to approve the Amended Sub-Advisory Agreement.

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

**Possible Economies of Scale.** The Board considered that it reviews whether there have been economies of scale in connection with the management of the fund during its annual renewal of the fund's management contract, sub-advisory agreements, and sub-subadvisory agreements. The Board noted that the Amended Sub-Advisory Agreement will continue to provide for breakpoints that have the potential to reduce sub-advisory fees paid to the sub-adviser as assets allocated to the sub-adviser grow. The Board also noted that it did not consider the possible realization of economies of scale to be a significant factor in its decision to approve the Amended Sub-Advisory Agreement because the fund will not bear any additional management fees or expenses under the Amended Sub-Advisory 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), votes at a meeting on the renewal of the 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 2022 meeting, the Board, including the Independent Trustees, unanimously determined to renew the fund's Advisory Contracts. In reaching its determination to renew the fund's Advisory Contracts, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness relative to peer funds of the fund's management fee and total expenses; (iii) the total costs of the services provided by and the profits, if any, realized by Strategic Advisers from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and are realized as the fund grows and whether any economies of scale are appropriately shared with fund shareholders.

In considering whether to renew the Advisory Contracts for the fund, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts is in the best interests of the fund and its shareholders. In addition, the Board concluded that the renewal of each Sub-Advisory Agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees charged under the Advisory Contracts bear a reasonable relationship to the services rendered. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board throughout the year.

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

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

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

<u>Resources Dedicated to Investment Management and Support Services</u> . 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.

<u>Shareholder and Administrative Services</u> . 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.

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

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

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

The following charts considered by the Board show, over the one- and three-year periods ended December 31, 2021, the cumulative total returns of the fund and the cumulative total returns of an appropriate benchmark index and peer group. The box within each chart shows the 25th percentile return (75% beaten, top of box) and the 75th percentile return (25% beaten, bottom of box) of the peer group. Returns shown above the box are in the first quartile and returns shown below the box are in the fourth quartile. The percentage beaten number noted below each chart corresponds to the percentile box and represents the percentage of funds in the peer group whose performance was equal to or lower than that of the fund.

![](img87987_7.jpg)

The Board reviewed the fund's relative investment performance against its peer group and noted that the performance of the fund was in the first quartile for the one- and three-year periods ended December 31, 2021. The Board also noted that the fund had out-performed 83% and 95% of its peers for the one- and three-year periods, respectively, ended December 31, 2021. The Board also noted that the investment performance of the fund was higher than its benchmark for the one- and three-year periods shown.

Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.

**Competitiveness of Management Fee and Total Fund Expenses** . The Board considered the amount and nature of fees paid to the Investment Advisers. The Board also considered information comparing the management fees and total expenses of the fund to those of other registered investment companies with investment objectives similar to those of the fund, as discussed below. The Board also noted Strategic Advisers' proposal to extend the management fee waiver and considered the fund's contractual maximum aggregate annual management fee rate. In considering the fund's management fee and management fee waiver and comparisons to other registered investment companies with investment objectives similar to those of the fund, the Board noted that shares of the fund are offered only to clients that participate in the Fidelity Portfolio Advisory Service managed account program.

<u>Management Fee</u> . The Board considered two proprietary management fee comparisons. The group of Lipper funds used by the Board for management fee comparisons is referred to as the "Total Mapped Group." The Total Mapped Group comparison focuses on a fund's standing in terms of gross management fees before expense reimbursements or caps relative to the total universe of funds with comparable investment mandates, regardless of whether their management fee structures also are comparable. Funds with comparable investment mandates offer exposure to similar types of securities. Funds with comparable management fee structures have similar management fee contractual arrangements (e.g., flat rate charged for advisory services, all-inclusive fee rate, etc.). "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a hypothetical TMG % of 20% would mean that 80% of the funds in the Total Mapped Group had higher, and 20% had lower, management fees than the fund. The fund's actual TMG %s and the number of funds in the Total Mapped Group are in the chart below. The Board also compared the fund's management fee to an "Asset-Size Peer Group" (ASPG), which is a sub-set of the competitive funds in the Total Mapped Group. The ASPG comparison focuses on a fund's standing relative to non-Fidelity funds within the Total Mapped Group that are similar in size and management fee structure. For example, if a fund is in the first quartile of the ASPG, the fund's management fee ranks in the least expensive or lowest 25% of funds in the ASPG. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee structures, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee rate ranked, is also included in the chart and was considered by the Board.

![](img87987_8.jpg)

The Board noted that the fund's management fee rate ranked below the median of its Total Mapped Group and below the median of its ASPG for the 12-month period ended December 31, 2021.

Based on its review, the Board concluded that the fund's management fee bears a reasonable relationship to the services rendered.

<u>Total Expenses</u> . In its review of the fund's total expenses, the Board considered the fund's management fee rate as well as other fund expenses, as applicable, such as expenses from holding Fidelity and non-Fidelity mutual funds and ETFs, pricing and bookkeeping fees, and custodial, legal, and audit fees. The Board also noted the effects of any waivers and reimbursements on fees and expenses. The Board further noted that the fund's total expenses were compared to those funds and classes in the Total Mapped Group (used by the Board for management fee comparisons) that have similar sales load structures. This comparison, which is a proxy for comparing funds by distribution channel, showed the fund's position relative to competitive funds with similar sales load structures. The Board noted that the fund's total expense ratio ranked below the fund's similar sales load structure group competitive median for the 12-month period ended December 31, 2021.

<u>Fees Charged to Other Clients</u> . The Board also considered fee structures paid by the Investment Advisers' other clients, such as other funds advised or subadvised by the Investment Advisers, pension plan clients, and other institutional clients with similar investment mandates.

Based on its review of the total expense ratios and fees charged to other clients of Strategic Advisers or its affiliates and each Sub-Adviser, the Board concluded that the total expenses of the fund were reasonable in light of the services that the fund and its shareholders receive and the other factors considered.

**Costs of the Services and Profitability** . The Board considered information regarding the revenues earned and the expenses incurred by Strategic Advisers and its affiliates in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and servicing the fund's shareholders.

On an annual basis, Strategic Advisers presents to the Board information about the profitability of its relationships with the fund. Strategic Advisers calculates profitability information for the fund using a series of detailed revenue and cost allocation methodologies. The Board reviews any significant changes from the prior year's methodologies. Strategic Advisers noted that, to the extent possible, it employs the same corporate reporting of revenues and expenses as those used by other Fidelity funds.

A public accounting firm has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. The engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's mutual fund business, and completion of agreed-upon procedures in respect of the mathematical accuracy of certain fund profitability information and its conformity to established allocation methodologies. After considering the reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.

The Board also reviewed Fidelity's non-fund businesses and potential indirect benefits such businesses may have received as a result of their association with Fidelity's mutual fund business (i.e., fall-out benefits) as well as cases where Fidelity's affiliates may benefit from the fund's business. The Board noted that changes to fall-out benefits year-over-year reflect business developments at Fidelity's various businesses.

The Board considered the costs of the services provided by and the profits realized, if any, by Strategic Advisers and its affiliates in connection with the operation of the fund and was satisfied that the profitability was not excessive.

The Board also considered information regarding the profitability of the Sub-Advisers' respective relationships with the fund and the potential fall-out benefits, if any, that may accrue to the Sub-Advisers as a result of their respective relationships with the fund. The Board noted the difficulty in evaluating a Sub-Adviser's costs and the profitability of a Sub-Advisory Agreement to a Sub-Adviser because of, among other things, differences in the type and content of information provided by each Sub-Adviser due to differences in business models, cost accounting methods, and profitability calculation methodologies among the Sub-Advisers. Accordingly, the Board considered profitability information provided by the Sub-Advisers in light of the nature of the relationships between Strategic Advisers and the Sub-Advisers with respect to the negotiation of sub-advisory fees.

**Possible Economies of Scale** . The Board considered whether there have been economies of scale in respect of the management of the Strategic Advisers funds, whether the Strategic Advisers funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale as assets grow through increased services to the fund, through waivers or reimbursements, or through fee or expense ratio reductions. The Board considered that certain of the fund's Sub-Advisory Agreements provide for breakpoints as the fund's assets grow and noted that any potential decline in sub-advisory fees under such contracts would accrue directly to the fund. The Board also took Strategic Advisers' management fee waiver into consideration.

**Conclusion** . Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee arrangements bear a reasonable relationship to the services rendered and that the fund's Advisory Contracts should be renewed 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.

![](img87987_2.jpg) <br>

1.9885905.104 TSS-SANN-0123

**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, 2022**

![](img88000_1.jpg)

![](img88000_2.jpg)

**Contents**

---

| |
|:---|
| **[Investment Summary](#Sec_InvestmentSummary6352)** |
| **[Schedule of Investments](#Sec_ScheduleOfInvestments6352)** |
| **[Financial Statements](#Sec_FinancialStatements6352)** |
| **[Notes to Financial Statements](#Sec_Notes to Financial Statements)** |
| **[Shareholder Expense Example](#Sec_Shareholder Expense Example)** |
| **[Board Approval of Investment Advisory Contracts and Management Fees](#Sec_Board Approval of Investment Advisory Contracts and Management Fees)** |

---

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.© 2023 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.*

**Investment Summary November 30, 2022 (Unaudited)**

---

| | |
|:---|:---|
| &nbsp;&nbsp; **Top Holdings (% of Fund's net assets)**  | &nbsp;&nbsp; **Top Holdings (% of Fund's net assets)**  |
| (excluding cash equivalents)  | (excluding cash equivalents)  |
| Vanguard Long-Term Tax-Exempt Fund Admiral Shares  | 7.0  |
| Allspring Municipal Bond Fund-Class Admin  | 6.3  |
| Franklin Federal Tax-Free Income Fund-Class R6  | 4.4  |
| MainStay MacKay Tax Free Bond Fund Class A  | 3.5  |
| DWS Managed Munipal Bond Fund-Class S  | 3.3  |
| BlackRock National Municipal Fund A Shares  | 3.0  |
| iShares S&P National Municipal Bond ETF  | 1.7  |
| T.Rowe Price Tax-Free High Yield Fund  | 1.1  |
| MainStay MacKay High Yield Municipal Bond Fund Class A  | 0.8  |
| Illinois General Obligation  | 0.7  |

---

---

| | |
|:---|:---|
| &nbsp;&nbsp; **Revenue Sources (% of Fund's net assets)**  | &nbsp;&nbsp; **Revenue Sources (% of Fund's net assets)**  |
| Transportation  | 12.7%  |
| General Obligations  | 11.2%  |
| Health Care  | 10.1%  |
| Special Tax  | 7.2%  |
| Education  | 4.7%  |
| Other (Individually Less Than 5%)  | 22.4%  |

---

---

| |
|:---|
| &nbsp;&nbsp; **Quality Diversification (% of Fund's net assets)**  |
| ![](img88000_5.jpg) <br>|
| *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.  |

---

---

| |
|:---|
| &nbsp;&nbsp; **Asset Allocation (% of Fund's net assets)**  |
| ![](img88000_6.jpg)  |

---

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

**Schedule of Investments November 30, 2022 (Unaudited)**

Showing Percentage of Net Assets

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **Municipal Bonds - 63.1%**  | &nbsp;&nbsp; **Municipal Bonds - 63.1%**  | &nbsp;&nbsp; **Municipal Bonds - 63.1%**  |
|  | Principal <br> Amount (a) <br>| Value ($) <br>|
| Alabama - 1.3%  |  |  |
|  Alabama State Corrections Institution Fin. Auth. Series 2022 A:  |  |  |
|  5.25% 7/1/47  | 2000000  | 2162811  |
|  5.25% 7/1/52  | 3500000  | 3762847  |
|  Auburn Univ. Gen. Fee Rev. Series 2018 A:  |  |  |
|  5% 6/1/33  | 205000  | 225202  |
|  5% 6/1/43  | 480000  | 511941  |
|  Birmingham Arpt. Auth. Series 2020:  |  |  |
|  4% 7/1/35 (Build America Mutual Assurance Insured)  | 60000  | 60206  |
|  4% 7/1/36 (Build America Mutual Assurance Insured)  | 225000  | 224576  |
|  4% 7/1/37 (Build America Mutual Assurance Insured)  | 50000  | 49602  |
|  4% 7/1/38 (Build America Mutual Assurance Insured)  | 335000  | 330011  |
|  4% 7/1/39 (Build America Mutual Assurance Insured)  | 65000  | 63514  |
|  4% 7/1/40 (Build America Mutual Assurance Insured)  | 30000  | 29076  |
|  Birmingham Spl. Care Facilities Auth. Rev. Series 2015 1, 5.25% 6/1/25  | 110000  | 108212  |
|  Black Belt Energy Gas District Bonds:  |  |  |
|  (Proj. No. 5) Series A, 4%, tender 10/1/26 (b)  | 1830000  | 1811962  |
|  (Proj. No.7) Series 2021 C2, SIFMA Municipal Swap Index + 0.350% 2.25%, tender 12/1/26 (b)(c)  | 5000000  | 4711126  |
|  Series 2018 A, 4%, tender 12/1/23 (b)  | 1400000  | 1402088  |
|  Series 2018 B1, 1 month U.S. LIBOR + 0.900% 3.424%, tender 12/1/22 (b)(c)  | 4305000  | 4297499  |
|  Series 2021 A, 4%, tender 12/1/31 (b)  | 1070000  | 1050210  |
|  Series 2021 B, 4%, tender 12/1/26 (b)  | 3595000  | 3558957  |
|  Series 2022 B1, 4%, tender 10/10/27 (b)  | 2280000  | 2236167  |
|  Series 2022 D1, 4%, tender 6/1/27 (b)  | 600000  | 602317  |
|  Series 2022 F, 5.5%, tender 12/1/28 (b)  | 10470000  | 10982291  |
|  Cooper Green Mercy Health Svcs. Series 2022 A:  |  |  |
|  5.25% 9/1/42  | 500000  | 532166  |
|  5.25% 9/1/52  | 2620000  | 2719926  |
|  Homewood Edl. Bldg. Auth. Rev. Series 2019 A:  |  |  |
|  4% 12/1/33  | 15000  | 15087  |
|  4% 12/1/35  | 50000  | 49071  |
|  4% 12/1/36  | 65000  | 63031  |
|  4% 12/1/37  | 70000  | 66441  |
|  4% 12/1/38  | 125000  | 117295  |
|  4% 12/1/39  | 95000  | 88540  |
|  4% 12/1/41  | 310000  | 285085  |
|  4% 12/1/44  | 210000  | 189858  |
|  4% 12/1/49  | 125000  | 110229  |
|  Hoover Indl. Dev. Board Envir. Impt. Rev.:  |  |  |
|  (United States Steel Corp. Proj.) Series 2019, 5.75% 10/1/49 (d)  | 2225000  | 2323000  |
|  Bonds (United States Steel Corp. Proj.) Series 2020, 6.375%, tender 11/1/30 (b)(d)  | 195000  | 219247  |
|  Huntsville Redstone Village Spl. Care Facilities Finanacing Auth.:  |  |  |
|  Series 2007:  |  |  |
|  5.5% 1/1/28 <br>| 520000  | 330200  |
|  5.5% 1/1/43 <br>| 405000  | 257175  |
|  Series 2008 A, 6.875% 1/1/43  | 280000  | 177800  |
|  Series 2011 A, 7.5% 1/1/47  | 500000  | 317500  |
|  Jefferson County Gen. Oblig. Series 2018 A, 5% 4/1/26  | 355000  | 378566  |
|  Jefferson County Swr. Rev.:  |  |  |
|  Series 2013 A:  |  |  |
|  5.25% 10/1/48 (Assured Guaranty Muni. Corp. Insured) <br>| 2040000  | 2103120  |
|  5.5% 10/1/53 (Assured Guaranty Muni. Corp. Insured) <br>| 5215000  | 5388234  |
|  Series 2013 B:  |  |  |
|  0% 10/1/26 (Assured Guaranty Muni. Corp. Insured) <br>| 250000  | 214582  |
|  0% 10/1/29 (Assured Guaranty Muni. Corp. Insured) <br>| 350000  | 246976  |
|  0% 10/1/34 (Assured Guaranty Muni. Corp. Insured) <br>| 505000  | 251248  |
|  0% 10/1/35 (Assured Guaranty Muni. Corp. Insured) <br>| 960000  | 447374  |
|  Series 2013 D:  |  |  |
|  5% 10/1/23 <br>| 95000  | 96841  |
|  6% 10/1/42 <br>| 4615000  | 4935797  |
|  6.5% 10/1/53 <br>| 2965000  | 3179101  |
|  Series 2013 F:  |  |  |
|  0% 10/1/46 (e) <br>| 480000  | 489292  |
|  0% 10/1/50 (e) <br>| 16845000  | 17163133  |
|  Lower Alabama Gas District:  |  |  |
|  (Gas Proj.) Series 2016 A, 5% 9/1/34  | 1060000  | 1112113  |
|  Bonds (No. 2 Proj.) Series 2020, 4%, tender 12/1/25 (b)  | 6905000  | 6880946  |
|  Series 2016 A, 5% 9/1/46  | 4080000  | 4201657  |
|  Mobile Gen. Oblig. Series 2017 A, 5% 2/15/30  | 665000  | 721125  |
|  Mobile Indl. Dev. Board Poll. Cont. Rev. Bonds (Alabama Pwr. Co. Barry Plant Proj.) Series 2008, 2.9%, tender 12/12/23 (b)  | 255000  | 253827  |
|  Montgomery Edl. Bldg. Auth. Series 2016 A, 5% 10/1/43  | 250000  | 250208  |
|  Montgomery Med. Clinic Facilities Series 2015:  |  |  |
|  5% 3/1/25  | 90000  | 90421  |
|  5% 3/1/26  | 5000  | 5014  |
|  5% 3/1/27  | 5000  | 4985  |
|  5% 3/1/28  | 5000  | 4969  |
|  5% 3/1/29  | 5000  | 4946  |
|  5% 3/1/30  | 5000  | 4921  |
|  5% 3/1/33  | 605000  | 582300  |
|  5% 3/1/36  | 1340000  | 1235870  |
|  Prichard Wtrwks. & Swr. Board Series 2019, 4% 11/1/49  | 200000  | 102114  |
|  Southeast Alabama Gas Supply District Bonds:  |  |  |
|  (Proj. No. 2) Series 2018 A, 4%, tender 6/1/24 (b)  | 14190000  | 14165426  |
|  Series 2018 A, 4%, tender 4/1/24 (b)  | 3110000  | 3106255  |
|  Southeast Energy Auth. Rev. Bonds:  |  |  |
|  (Proj. No. 2) Series 2021 B1:  |  |  |
|  4% 6/1/29 <br>| 75000  | 74092  |
|  4% 6/1/30 <br>| 55000  | 54033  |
|  4% 6/1/31 <br>| 50000  | 48790  |
|  Bonds:  |  |  |
|  (Proj. No. 1) Series 2021 A, 4%, tender 10/1/28 (b) <br>| 670000  | 654649  |
|  (Proj. No. 2) Series 2021 B1, 4%, tender 12/1/31 (b) <br>| 7455000  | 7171272  |
|  Series 2022 A1, 5.5%, tender 12/1/29 (b) <br>| 1415000  | 1503814  |
|  Series 2022 B1, 5%, tender 8/1/28 (b) <br>| 6295000  | 6461082  |
|  Stadium Trace Village Impt. District Dev. Series 2021, 3.625% 3/1/36  | 370000  | 288433  |
|  The DCH Health Care Auth. Series 2015, 5% 6/1/33  | 165000  | 169556  |
|  Tuscaloosa County Indl. Dev. Gulf Opportunity (Hunt Refining Proj.) Series 2019 A:  |  |  |
|  4.5% 5/1/32 (f)  | 683600  | 586678  |
|  5.25% 5/1/44 (f)  | 6005000  | 4968640  |
|  Univ. of North Alabama Rev. Series 2019 B:  |  |  |
|  5% 11/1/38  | 320000  | 347347  |
|  5% 11/1/39  | 130000  | 140705  |
|  Univ. of South Alabama Univ. Rev. Series 2019 A:  |  |  |
|  5% 4/1/44  | 865000  | 900632  |
|  5% 4/1/49  | 525000  | 542784  |
|  TOTAL ALABAMA  |  | 137576134  |
| Alaska - 0.1%  |  |  |
|  Alaska Hsg. Fin. Corp.:  |  |  |
|  Series 2019 B:  |  |  |
|  5% 12/1/37 <br>| 480000  | 517393  |
|  5% 12/1/38 <br>| 365000  | 392392  |
|  5% 12/1/39 <br>| 240000  | 257122  |
|  Series 2021 A:  |  |  |
|  4% 6/1/26 <br>| 425000  | 439744  |
|  4% 12/1/29 <br>| 1080000  | 1137133  |
|  4% 6/1/30 <br>| 300000  | 315753  |
|  5% 6/1/27 <br>| 180000  | 195293  |
|  5% 12/1/27 <br>| 275000  | 300723  |
|  5% 6/1/28 <br>| 365000  | 401158  |
|  5% 12/1/28 <br>| 1255000  | 1389049  |
|  5% 6/1/29 <br>| 940000  | 1041749  |
|  Alaska Hsg. Fin. Corp. Mtg. Rev. Series 2022 A, 3% 6/1/51  | 655000  | 627621  |
|  Alaska Indl. Dev. & Export Auth. Rev.:  |  |  |
|  (Greater Fairbanks Cmnty. Hosp. Foundation Proj.) Series 2014, 5% 4/1/32  | 250000  | 250680  |
|  (Tanana Chiefs Conference Proj.) Series 2019 A, 4% 10/1/44  | 500000  | 458044  |
|  Alaska Int'l. Arpts. Revs.:  |  |  |
|  Series 2016 A, 5% 10/1/26  | 90000  | 95200  |
|  Series 2016 B:  |  |  |
|  5% 10/1/31 <br>| 95000  | 99592  |
|  5% 10/1/33 <br>| 125000  | 130681  |
|  Anchorage Port Rev. Series 2020 A, 5% 12/1/50 (d)  | 1375000  | 1388108  |
|  Northern Tobacco Securitization Corp. Tobacco Settlement Rev. Series 2021 A:  |  |  |
|  4% 6/1/34  | 240000  | 232565  |
|  4% 6/1/35  | 600000  | 576706  |
|  4% 6/1/37  | 685000  | 648357  |
|  4% 6/1/40  | 325000  | 298855  |
|  4% 6/1/50  | 905000  | 770549  |
|  5% 6/1/32  | 270000  | 288185  |
|  5% 6/1/33  | 335000  | 355881  |
|  TOTAL ALASKA  |  | 12608533  |
| Arizona - 1.0%  |  |  |
|  Paz County Ariz Indl. Dev. Auth. (Charter School Solutions-Harmoney Pub. Schools Proj.) Series 2018 A, 5% 2/15/38  | 140000  | 140943  |
|  Arizona Board of Regents Arizona State Univ. Rev. Series 2015 D:  |  |  |
|  5% 7/1/41  | 830000  | 857270  |
|  5% 7/1/46  | 600000  | 619265  |
|  Arizona Board of Regents Ctfs. of Prtn. (Univ. of Arizona Univ. Revs.) Series 2018 B:  |  |  |
|  5% 6/1/27  | 30000  | 32509  |
|  5% 6/1/30  | 80000  | 87855  |
|  Arizona Health Facilities Auth. Rev.:  |  |  |
|  (Banner Health Sys. Proj.) Series 2007 B, 3 month U.S. LIBOR + 0.810% 3.318%, tender 1/1/37 (b)(c)  | 1025000  | 941337  |
|  (Scottsdale Lincoln Hospitals Proj.) Series 2014 A, 5% 12/1/39  | 585000  | 593176  |
|  Arizona Indl. Dev. Auth. Econ. Dev. Rev. (Legacy Cares, Inc. Proj.) Series 2020 A, 7.75% 7/1/50 (f)  | 1980000  | 1386000  |
|  Arizona Indl. Dev. Auth. Ed. Rev.:  |  |  |
|  (Academies of Math & Science Projs.):  |  |  |
|  Series 2017 A, 5% 7/1/47 <br>| 315000  | 317058  |
|  Series 2018 A: <br>|  |  |
|  5% 7/1/48 <br>| 435000  | 437384  |
|  5% 7/1/52 <br>| 260000  | 260967  |
|  (American Charter Schools Foundation Proj.) Series 2017, 6% 7/1/47 (f)  | 250000  | 253168  |
|  (BASIS Schools Projs.):  |  |  |
|  Series 2017 A: <br>|  |  |
|  5.125% 7/1/37 (f) <br>| 210000  | 209031  |
|  5.25% 7/1/47 (f) <br>| 160000  | 152499  |
|  Series 2017 D: <br>|  |  |
|  5% 7/1/37 (f) <br>| 145000  | 142491  |
|  5% 7/1/47 (f) <br>| 235000  | 215995  |
|  5% 7/1/51 (f) <br>| 710000  | 643971  |
|  Series 2017 F: <br>|  |  |
|  5% 7/1/37 <br>| 210000  | 217967  |
|  5% 7/1/47 <br>| 865000  | 882753  |
|  5% 7/1/52 <br>| 635000  | 646002  |
|  Series 2017 G: <br>|  |  |
|  5% 7/1/37 (f) <br>| 35000  | 34394  |
|  5% 7/1/47 (f) <br>| 35000  | 32169  |
|  5% 7/1/51 (f) <br>| 65000  | 58955  |
|  (Cadence Campus Proj.) Series 2020 A:  |  |  |
|  4% 7/15/40 (f) <br>| 130000  | 108557  |
|  4% 7/15/50 (f) <br>| 225000  | 170236  |
|  (Doral Academy of Nevada, Fire Mesa and Red Rock Campus Projs.) Series 2019 A:  |  |  |
|  5% 7/15/39 (f) <br>| 185000  | 173971  |
|  5% 7/15/49 (f) <br>| 165000  | 146790  |
|  (Greathearts Arizona Projs.) Series 2021 A:  |  |  |
|  3% 7/1/46 <br>| 250000  | 186938  |
|  3% 7/1/52 <br>| 250000  | 176345  |
|  (KIPP Nashville Projs.) Series 2022 A:  |  |  |
|  5% 7/1/47 <br>| 700000  | 701798  |
|  5% 7/1/57 <br>| 330000  | 322787  |
|  (KIPP NYC Pub. Charter Schools - Macombs Facility Proj.) Series 2021 A, 4% 7/1/61  | 250000  | 187498  |
|  (Leman Academy of Excellence Projs.) Series 2022 A, 4.5% 7/1/54  | 690000  | 603357  |
|  (Odyssey Preparatory Academy Proj.):  |  |  |
|  Series 2017 A: <br>|  |  |
|  5.25% 7/1/37 (f) <br>| 420000  | 410366  |
|  5.5% 7/1/52 (f) <br>| 475000  | 458838  |
|  Series 2019, 5% 7/1/49 (f) <br>| 610000  | 547275  |
|  Arizona Indl. Dev. Auth. Hosp. Rev.:  |  |  |
|  Series 2020 A:  |  |  |
|  4% 2/1/50 <br>| 965000  | 857455  |
|  5% 2/1/31 <br>| 85000  | 95598  |
|  5% 2/1/32 <br>| 60000  | 67302  |
|  5% 2/1/33 <br>| 50000  | 54428  |
|  5% 2/1/35 <br>| 295000  | 316689  |
|  Series 2021 A:  |  |  |
|  4% 2/1/38 <br>| 85000  | 83946  |
|  4% 2/1/39 <br>| 85000  | 83285  |
|  5% 2/1/29 <br>| 990000  | 1101778  |
|  Arizona Indl. Dev. Auth. Lease Rev. Series 2020 A:  |  |  |
|  4% 9/1/37  | 25000  | 24799  |
|  4% 9/1/38  | 25000  | 24511  |
|  4% 9/1/39  | 20000  | 19516  |
|  4% 9/1/40  | 25000  | 24225  |
|  4% 9/1/46  | 55000  | 52025  |
|  5% 9/1/31  | 10000  | 10935  |
|  5% 9/1/32  | 15000  | 16286  |
|  5% 9/1/33  | 25000  | 26948  |
|  5% 9/1/34  | 20000  | 21420  |
|  Arizona Indl. Dev. Auth. Rev.:  |  |  |
|  (Lincoln South Beltway Proj.) Series 2020:  |  |  |
|  5% 2/1/26 <br>| 600000  | 637233  |
|  5% 8/1/27 <br>| 290000  | 315559  |
|  5% 2/1/28 <br>| 665000  | 729246  |
|  5% 8/1/28 <br>| 570000  | 629709  |
|  (Provident Group-Eastern Michigan Univ. Parking Proj.) Series 2018:  |  |  |
|  5% 5/1/37 <br>| 60000  | 45462  |
|  5% 5/1/43 <br>| 55000  | 38449  |
|  5% 5/1/48 <br>| 135000  | 90521  |
|  5% 5/1/51 <br>| 135000  | 88677  |
|  Arizona Indl. Dev. Auth. Sr. Living:  |  |  |
|  (Great Lakes Sr. Living Cmntys. LLC Proj.) Series 2021, 7.75% 1/1/54 (f)  | 100000  | 59148  |
|  Series 2019 B, 5% 1/1/49  | 100000  | 58209  |
|  Arizona Indl. Dev. Auth. Sr. Nat'l. Charter School Revolving Ln. Fund:  |  |  |
|  Series 2020 A:  |  |  |
|  4% 11/1/36 <br>| 230000  | 223631  |
|  4% 11/1/38 <br>| 125000  | 119866  |
|  4% 11/1/39 <br>| 160000  | 152004  |
|  4% 11/1/40 <br>| 170000  | 159812  |
|  4% 11/1/45 <br>| 350000  | 316770  |
|  Series 2021 A, 4% 11/1/51  | 790000  | 692890  |
|  Series 2022 A, 4.25% 11/1/52  | 740000  | 675099  |
|  Arizona Indl. Dev. Auth. Student Hsg. Rev. Series 2019 A:  |  |  |
|  5% 6/1/49  | 235000  | 248462  |
|  5% 6/1/54  | 130000  | 136952  |
|  Arizona State Univ. Revs. Series 2021 C:  |  |  |
|  5% 7/1/32  | 70000  | 79959  |
|  5% 7/1/34  | 70000  | 79113  |
|  5% 7/1/35  | 55000  | 61602  |
|  5% 7/1/37  | 825000  | 915200  |
|  5% 7/1/38  | 1325000  | 1467005  |
|  5% 7/1/40  | 100000  | 109864  |
|  Arizona Trans. Board Hwy. Rev. Series 2015, 5% 7/1/31  | 1000000  | 1034054  |
|  Chandler Indl. Dev. Auth. Indl. Dev. Rev. Bonds:  |  |  |
|  (Intel Corp. Proj.):  |  |  |
|  Series 2005, 2.4%, tender 8/14/23 (b) <br>| 15000  | 14887  |
|  Series 2007, 2.7%, tender 8/14/23 (b)(d) <br>| 885000  | 879619  |
|  Series 2019, 5%, tender 6/3/24 (b)(d) <br>| 9155000  | 9288812  |
|  Series 2022 1, 5%, tender 9/1/27 (b)(d)  | 2000000  | 2070497  |
|  Coconino County Poll. Cont. Corp. Rev. Bonds Series 2017 A, 1.875%, tender 3/31/23 (b)(d)  | 555000  | 552629  |
|  Gilbert Wtr. Resources Municpal Property Series 2022, 5% 7/15/33  | 800000  | 938027  |
|  Glendale Gen. Oblig. Series 2017:  |  |  |
|  5% 7/1/30  | 305000  | 333397  |
|  5% 7/1/31  | 455000  | 495728  |
|  Glendale Indl. dev auth Sr Living Facilities Rev.:  |  |  |
|  (Royal Oaks Inspirata Pointe Proj.) Series 2020 A, 5% 5/15/56  | 845000  | 741151  |
|  Series 2019 A:  |  |  |
|  5% 11/15/42 <br>| 640000  | 647085  |
|  5% 11/15/48 <br>| 850000  | 856764  |
|  Glendale Indl. Dev. Auth.:  |  |  |
|  (Terraces of Phoenix Proj.) Series 2018 A:  |  |  |
|  5% 7/1/38 <br>| 45000  | 39611  |
|  5% 7/1/48 <br>| 50000  | 40973  |
|  Series 2019 A, 3% 7/1/35 (d)  | 415000  | 378766  |
|  Series 2021 A, 2.125% 7/1/33 (d)  | 270000  | 220073  |
|  Goodyear Wtr. & Swr. Rev. Series 2020, 4% 7/1/45 (Assured Guaranty Muni. Corp. Insured)  | 550000  | 541250  |
|  Maricopa County Indl. Dev. Auth.:  |  |  |
|  (Choice Academies, Inc. Proj.) Series 2022, 5.75% 9/1/45 (f)  | 1245000  | 1157012  |
|  (Creighton Univ. Proj.) Series 2020, 5% 7/1/47  | 575000  | 602965  |
|  (Great Hearts Arizona Projs.) Series 2017 A, 5% 7/1/52  | 240000  | 245552  |
|  (Greathearts Arizona Projs.) Series 2017 C:  |  |  |
|  5% 7/1/37 <br>| 70000  | 72626  |
|  5% 7/1/48 <br>| 145000  | 148774  |
|  (Legacy Traditional Schools Proj.):  |  |  |
|  Series 2019 A: <br>|  |  |
|  4% 7/1/34 <br>| 35000  | 34334  |
|  5% 7/1/39 <br>| 230000  | 239102  |
|  5% 7/1/49 <br>| 430000  | 441610  |
|  5% 7/1/54 <br>| 145000  | 148376  |
|  Series 2019 B: <br>|  |  |
|  5% 7/1/39 (f) <br>| 180000  | 173315  |
|  5% 7/1/49 (f) <br>| 95000  | 86189  |
|  5% 7/1/54 (f) <br>| 435000  | 386559  |
|  Bonds Series 2019 B, 5%, tender 9/1/24 (b)  | 40000  | 41255  |
|  Series 2021 A, 4% 9/1/51  | 705000  | 629891  |
|  Maricopa County Indl. Dev. Auth. Rev. (Commercial Metals Co. Proj.) Series 2022, 4% 10/15/47 (d)(f)  | 1120000  | 892437  |
|  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)  | 30000  | 30548  |
|  Series 2016:  |  |  |
|  5.75% 1/1/36 (f) <br>| 595000  | 462143  |
|  6% 1/1/48 (f) <br>| 1430000  | 1008818  |
|  Maricopa County Poll. Cont. Rev.:  |  |  |
|  (El Paso Elec. Co. Palo Verde Proj.) Series 2009 A, 3.6% 2/1/40  | 400000  | 348530  |
|  (Palo Verde Proj.) Series 2009 B, 3.6% 4/1/40  | 250000  | 217628  |
|  Bonds Series 2010 B, 0.875%, tender 10/1/26 (b)  | 165000  | 145616  |
|  Series 2012 A, 4.5% 8/1/42  | 455000  | 454431  |
|  Maricopa County Rev.:  |  |  |
|  Series 2016 A:  |  |  |
|  5% 1/1/33 <br>| 730000  | 778701  |
|  5% 1/1/38 <br>| 640000  | 666538  |
|  Series 2017 D, 3% 1/1/48  | 2605000  | 1924601  |
|  Series 2019 E, 3% 1/1/49  | 1545000  | 1133741  |
|  Maricopa County Spl. Health Care District Gen. Oblig. Series 2018 C, 5% 7/1/36  | 150000  | 162674  |
|  Maricopa County Unified School District #48 Scottsdale Series 2017 B:  |  |  |
|  5% 7/1/31  | 45000  | 49230  |
|  5% 7/1/32  | 180000  | 196597  |
|  Mesa Util. Sys. Rev. Series 2021, 4% 7/1/35  | 500000  | 517775  |
|  Navajo Nation Arizona Series 2015 A, 5.5% 12/1/30 (f)  | 1260000  | 1316895  |
|  Peoria Indl. Dev. Auth. Rev. (Sierra Winds Life Care Cmnty. Proj.) Series 2014 A:  |  |  |
|  5.5% 11/15/34  | 520000  | 422713  |
|  5.75% 11/15/40  | 845000  | 661909  |
|  Phoenix Civic Impt. Board Arpt. Rev.:  |  |  |
|  Series 2017 A:  |  |  |
|  5% 7/1/33 (d) <br>| 135000  | 141831  |
|  5% 7/1/36 (d) <br>| 210000  | 218010  |
|  5% 7/1/37 (d) <br>| 160000  | 165327  |
|  5% 7/1/47 (d) <br>| 885000  | 899135  |
|  Series 2017 B:  |  |  |
|  5% 7/1/29 <br>| 305000  | 332609  |
|  5% 7/1/30 <br>| 225000  | 245254  |
|  5% 7/1/33 <br>| 425000  | 458740  |
|  5% 7/1/34 <br>| 110000  | 117989  |
|  5% 7/1/35 <br>| 110000  | 117324  |
|  5% 7/1/36 <br>| 485000  | 515997  |
|  5% 7/1/37 <br>| 305000  | 323633  |
|  Series 2018:  |  |  |
|  5% 7/1/37 (d) <br>| 740000  | 769428  |
|  5% 7/1/38 (d) <br>| 740000  | 767651  |
|  Series 2019 A, 5% 7/1/44  | 425000  | 444359  |
|  Series 2019 B, 5% 7/1/35 (d)  | 1730000  | 1822349  |
|  Phoenix Civic Impt. Corp. Series 2019 A:  |  |  |
|  5% 7/1/30  | 60000  | 66334  |
|  5% 7/1/32  | 75000  | 81842  |
|  5% 7/1/36  | 35000  | 37471  |
|  5% 7/1/37  | 1415000  | 1510227  |
|  5% 7/1/38  | 45000  | 47900  |
|  5% 7/1/39  | 30000  | 31822  |
|  5% 7/1/45  | 2700000  | 2821457  |
|  Phoenix Civic Impt. Corp. District Rev.:  |  |  |
|  (Plaza Expansion Proj.) Series 2005 B, 5.5% 7/1/38 (Nat'l. Pub. Fin. Guarantee Corp. Insured)  | 280000  | 339626  |
|  Series 2005 B:  |  |  |
|  5.5% 7/1/29 <br>| 1165000  | 1334276  |
|  5.5% 7/1/30 <br>| 1070000  | 1241705  |
|  5.5% 7/1/33 <br>| 175000  | 208528  |
|  Phoenix Civic Impt. Corp. Wtr. Sys. Rev.:  |  |  |
|  Series 2020 A, 5% 7/1/44  | 1185000  | 1287626  |
|  Series 2021 A, 5% 7/1/45  | 2095000  | 2292056  |
|  Phoenix Gen. Oblig. Series 2016, 5% 7/1/26  | 310000  | 334158  |
|  Phoenix IDA Student Hsg. Rev.:  |  |  |
|  (Downton Phoenix Student Hsg., LLC - Arizona State Univ. Proj.) Series 2018 A:  |  |  |
|  5% 7/1/30 <br>| 30000  | 30956  |
|  5% 7/1/31 <br>| 110000  | 113176  |
|  5% 7/1/37 <br>| 105000  | 105758  |
|  (Downtown Phoenix Student Hsg. II LLC Arizona State Univ. Proj.) Series 2019 A:  |  |  |
|  5% 7/1/44 <br>| 225000  | 219479  |
|  5% 7/1/49 <br>| 365000  | 349467  |
|  5% 7/1/54 <br>| 585000  | 554779  |
|  5% 7/1/59 <br>| 475000  | 445521  |
|  Series 2018 A:  |  |  |
|  (Downtown Phoenix Student Hsg., LLC AZ State Univ. Proj.) 5% 7/1/42 <br>| 1085000  | 1068974  |
|  5% 7/1/33 <br>| 60000  | 61226  |
|  Phoenix Indl. Dev. Auth. (Provident Group - Falcon Properties LLC, Proj.):  |  |  |
|  Series 2022 A:  |  |  |
|  4% 12/1/41 (f) <br>| 510000  | 415182  |
|  4% 12/1/51 (f) <br>| 1695000  | 1271203  |
|  Series 2022 B:  |  |  |
|  4.15% 12/1/57 (f) <br>| 635000  | 465718  |
|  5.75% 12/15/57 (f) <br>| 745000  | 578714  |
|  Phoenix Indl. Dev. Auth. Rev.:  |  |  |
|  (BASIS Schools Projs.) Series 2016 A, 5% 7/1/35 (f)  | 25000  | 24815  |
|  (Basis Schools Projs.) Series 2016 A, 5% 7/1/46 (f)  | 320000  | 295414  |
|  (BASIS Schools, Inc. Projs. Series 2015 A:  |  |  |
|  5% 7/1/35 (f) <br>| 100000  | 99259  |
|  5% 7/1/45 (f) <br>| 120000  | 111411  |
|  (Legacy Traditional School Projs.) Series 2015:  |  |  |
|  5% 7/1/35 (f) <br>| 175000  | 173382  |
|  5% 7/1/45 (f) <br>| 195000  | 180101  |
|  (Legacy Traditional Schools Projs.) Series 2016 A, 5% 7/1/46 (f)  | 130000  | 119375  |
|  Series 2016 A:  |  |  |
|  5% 7/1/36 <br>| 145000  | 146750  |
|  5% 7/1/41 <br>| 115000  | 115734  |
|  5% 7/1/46 <br>| 505000  | 506821  |
|  Phoenix Indl. Solid Waste Disp. Rev. Bonds (Republic Svc., Inc. Proj.) Series 2013, 4.1%, tender 12/1/35 (b)(d)  | 7000000  | 7007677  |
|  Pima County Indl. Dev. Auth. Ed. Rev.:  |  |  |
|  (American Leadership Academy Proj.):  |  |  |
|  Series 2021: <br>|  |  |
|  4% 6/15/41 (f) <br>| 50000  | 39521  |
|  4% 6/15/51 (f) <br>| 75000  | 53906  |
|  4% 6/15/57 (f) <br>| 65000  | 44734  |
|  Series 2022: <br>|  |  |
|  4% 6/15/41 (f) <br>| 1010000  | 798325  |
|  4% 6/15/51 (f) <br>| 550000  | 395310  |
|  4% 6/15/57 (f) <br>| 1225000  | 843064  |
|  Series 2015, 5.625% 6/15/45 (f)  | 250000  | 244530  |
|  Pima County Indl. Dev. Auth. S:  |  |  |
|  Series 2022 A:  |  |  |
|  6.75% 11/15/42 (f) <br>| 250000  | 258028  |
|  6.875% 11/15/52 (f) <br>| 715000  | 733866  |
|  7% 11/15/57 (f) <br>| 320000  | 328278  |
|  Series 2022 B3, 5.125% 11/15/29 (f)  | 310000  | 310309  |
|  Pinal County Indl. Dev. Auth. Series 2021 B, 5.5% 10/1/33 (d)(f)  | 400000  | 366001  |
|  Queen Creek Excise Tax & State Shared Rev. Series 2018 A:  |  |  |
|  5% 8/1/42  | 395000  | 423941  |
|  5% 8/1/47  | 480000  | 511390  |
|  Saddle Mountain Unified School District No. 90 Series 2020, 4% 7/1/35 (Assured Guaranty Muni. Corp. Insured)  | 800000  | 832769  |
|  Salt River Proj. Agricultural Impt. & Pwr. District Elec. Sys. Rev. (Arizona Salt River Proj.) Series A, 5% 1/1/38  | 1705000  | 1815127  |
|  Salt Verde Finl. Corp. Sr. Gas Rev.:  |  |  |
|  Series 2007 1:  |  |  |
|  5% 12/1/32 <br>| 500000  | 524678  |
|  5.25% 12/1/28 <br>| 2890000  | 3046537  |
|  Series 2007:  |  |  |
|  5% 12/1/37 <br>| 2465000  | 2548605  |
|  5.25% 12/1/23 <br>| 140000  | 141958  |
|  5.5% 12/1/29 <br>| 1080000  | 1161541  |
|  Tempe Indl. Dev. Auth. Rev.:  |  |  |
|  (Friendship Village of Tempe Proj.):  |  |  |
|  Series 2019: <br>|  |  |
|  5% 12/1/50 <br>| 325000  | 273102  |
|  5% 12/1/54 <br>| 365000  | 302188  |
|  Series 2021 A, 4% 12/1/46 <br>| 350000  | 249033  |
|  (Friendship Village of Temple Proj.) Series 2021 A, 4% 12/1/38  | 210000  | 165717  |
|  (Mirabella At ASU, Inc. Proj.) Series 2017 A, 6.125% 10/1/52 (f)  | 435000  | 377873  |
|  Town of Carefree Utils. Cmnty. Facilities District Wtr. Sys. Rev. Series 2021, 4% 7/1/46  | 160000  | 152126  |
|  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)  | 455000  | 440596  |
|  TOTAL ARIZONA  |  | 110060520  |
| Arkansas - 0.1%  |  |  |
|  Arkansas Dev. Auth. Indl. Dev. Rev. (Big River Steel Proj.):  |  |  |
|  Series 2019, 4.5% 9/1/49 (d)(f)  | 3450000  | 2969422  |
|  Series 2020 A, 4.75% 9/1/49 (d)(f)  | 705000  | 631330  |
|  Arkansas Dev. Fin. Auth.:  |  |  |
|  (Lisa Academy Proj.) Series 2018 A, 4.5% 7/1/39  | 5000  | 4583  |
|  (Liza Academy Proj.) Series 2018 A, 4% 7/1/28  | 45000  | 43447  |
|  Series 2018 A, 4.5% 7/1/33  | 90000  | 87196  |
|  Arkansas Dev. Fin. Auth. Health Care Rev.:  |  |  |
|  Bonds Series 2020 B2, 5%, tender 9/1/27 (b)  | 260000  | 274694  |
|  Series 2019, 5% 12/1/47  | 1475000  | 1526163  |
|  Series 2020 B1:  |  |  |
|  5% 9/1/26 <br>| 950000  | 996646  |
|  5% 9/1/27 <br>| 1000000  | 1058306  |
|  5% 9/1/28 <br>| 430000  | 458353  |
|  5% 9/1/29 <br>| 365000  | 391319  |
|  5% 9/1/36 <br>| 185000  | 190168  |
|  5% 9/1/40 <br>| 110000  | 110692  |
|  Series 2021 B1:  |  |  |
|  5% 9/1/37 <br>| 125000  | 127218  |
|  5% 9/1/39 <br>| 100000  | 101000  |
|  Arkansas Dev. Fin. Auth. Health Rev. (CARTI Surgery Ctr. Proj.) Series 2021 B:  |  |  |
|  3% 7/1/32  | 35000  | 29226  |
|  3.125% 7/1/36  | 100000  | 76613  |
|  4% 7/1/52  | 165000  | 129527  |
|  4.25% 7/1/41  | 35000  | 30792  |
|  Arkansas Dev. Fin. Auth. Hosp. Rev.:  |  |  |
|  Series 2015 A, 5% 2/1/35  | 220000  | 222382  |
|  Series 2015 B:  |  |  |
|  5% 2/1/23 <br>| 180000  | 180595  |
|  5% 2/1/24 <br>| 235000  | 240045  |
|  Series 2015 C, 5% 2/1/35  | 170000  | 171841  |
|  Series 2017, 5% 2/1/38  | 355000  | 360293  |
|  Series 2019, 4% 2/1/42  | 180000  | 161831  |
|  Arkansas Dev. Fin. Auth. Tobacco Settlement Rev. Series 2006, 0% 7/1/46 (AMBAC Insured)  | 1065000  | 337585  |
|  Arkansas Dev. Fing. Auth. Envir. Impt. Rev. Series 2022, 5.45% 9/1/52 (d)(f)  | 1000000  | 989736  |
|  Little Rock School District Series 2021 A:  |  |  |
|  3% 2/1/46  | 2750000  | 2122357  |
|  3% 2/1/50  | 980000  | 718343  |
|  3% 2/1/51  | 1300000  | 945731  |
|  Pulaski County Pub. Facilities Board Series 2014, 5% 12/1/42  | 320000  | 324431  |
|  Springdale Pub. Facilities Board Hosp. Rev. (Arkansas Children's Northwest Proj.) Series 2016, 5% 3/1/34  | 250000  | 259997  |
|  TOTAL ARKANSAS  |  | 16271862  |
| California - 5.9%  |  |  |
|  ABC Unified School District Series 1997 C, 0% 8/1/28 (Nat'l. Pub. Fin. Guarantee Corp. Insured)  | 475000  | 396545  |
|  Alameda Corridor Trans. Auth. Rev.:  |  |  |
|  Series 2016 B:  |  |  |
|  5% 10/1/34 <br>| 1625000  | 1671262  |
|  5% 10/1/37 <br>| 540000  | 551797  |
|  Series 2022 C, 5% 10/1/52 (Assured Guaranty Muni. Corp. Insured)  | 1600000  | 1681656  |
|  Alta Loma School District Series 2020 C, 4% 8/1/45  | 500000  | 494127  |
|  Anaheim Pub. Fing. Auth. Lease Rev. Series 2014 A:  |  |  |
|  5% 5/1/33 (Pre-Refunded to 5/1/24 @ 100)  | 420000  | 434581  |
|  5% 5/1/34 (Pre-Refunded to 5/1/24 @ 100)  | 325000  | 336283  |
|  5% 5/1/46 (Pre-Refunded to 5/1/24 @ 100)  | 2170000  | 2245336  |
|  Antelope Valley Cmnty. College District Series B, 3% 8/1/50  | 950000  | 724482  |
|  Bay Area Toll Auth. San Francisco Bay Toll Bridge Rev. Bonds:  |  |  |
|  Series 2001 A, 3.15%, tender 4/1/27 (b)  | 6505000  | 6579809  |
|  Series 2021 B, 0.280% x SIFMA Municipal Swap Index 2.18%, tender 4/1/24 (b)(c)  | 885000  | 885737  |
|  Cabrillo Unified School District Series 2020 B, 5% 8/1/50  | 1000000  | 1060861  |
|  California Cmnty. Choice Fing. Auth. Clean Energy Proj. Rev. Bonds:  |  |  |
|  Series 2021 A, 4%, tender 12/1/27 (b)  | 4260000  | 4280035  |
|  Series 2021 B1, 4%, tender 8/1/31 (b)  | 530000  | 522893  |
|  Series 2022 A1, 4%, tender 8/1/28 (b)  | 4000000  | 3998721  |
|  California Cmnty. College Fin. Auth. Series 2016 C:  |  |  |
|  5% 6/1/25 (Escrowed to Maturity)  | 845000  | 895181  |
|  5% 6/1/26 (Escrowed to Maturity)  | 885000  | 954990  |
|  California Cmnty. Hsg. Agcy. Essential Hsg. Rev.:  |  |  |
|  Series 2019 A, 5% 8/1/49 (f)  | 1575000  | 1377965  |
|  Series 2020 A, 5% 8/1/50 (f)  | 250000  | 216734  |
|  Series 2021 A:  |  |  |
|  4% 2/1/56 (f) <br>| 1190000  | 876922  |
|  4% 2/1/56 (f) <br>| 3025000  | 2320559  |
|  Series 2021 A1:  |  |  |
|  4% 2/1/56 (f) <br>| 500000  | 406287  |
|  4% 2/1/56 (f) <br>| 1835000  | 1491075  |
|  Series 2021 A2, 4% 8/1/50 (f)  | 2625000  | 1791291  |
|  California Cmnty. Hsg. Agcy. Workf Series 2019 A, 5% 4/1/49 (f)  | 300000  | 255606  |
|  California County Tobacco Securitization Agcy. Tobacco Settlement Asset-Backed Series 2020 A:  |  |  |
|  4% 6/1/35  | 40000  | 38428  |
|  4% 6/1/37  | 65000  | 61661  |
|  4% 6/1/38  | 25000  | 23515  |
|  4% 6/1/39  | 35000  | 32598  |
|  5% 6/1/32  | 25000  | 26456  |
|  California Edl. Facilities Auth. Rev.:  |  |  |
|  Series 2017 A, 5% 4/1/47  | 240000  | 251502  |
|  Series 2018 A, 5% 10/1/42  | 85000  | 88796  |
|  Series V1, 5% 5/1/49  | 1955000  | 2307417  |
|  California Gen. Oblig.:  |  |  |
|  Series 2004, 5.25% 12/1/33  | 20000  | 20048  |
|  Series 2007, 5.25% 8/1/32 (Assured Guaranty Muni. Corp. Insured)  | 1955000  | 2359512  |
|  Series 2013:  |  |  |
|  5% 11/1/28 <br>| 1175000  | 1201560  |
|  5% 9/1/31 <br>| 1775000  | 1806874  |
|  5% 4/1/37 <br>| 605000  | 608386  |
|  Series 2015, 5% 3/1/30  | 605000  | 636553  |
|  Series 2016:  |  |  |
|  5% 8/1/29 <br>| 1065000  | 1154626  |
|  5% 9/1/29 <br>| 270000  | 293202  |
|  5% 9/1/34 <br>| 1920000  | 2064435  |
|  Series 2017, 5% 8/1/46  | 1000000  | 1050835  |
|  Series 2018:  |  |  |
|  5% 10/1/24 <br>| 5000000  | 5231149  |
|  5% 8/1/30 <br>| 1300000  | 1461243  |
|  5% 10/1/47 <br>| 265000  | 276972  |
|  5.25% 10/1/39 <br>| 750000  | 797625  |
|  Series 2019:  |  |  |
|  3% 10/1/36 <br>| 2860000  | 2590306  |
|  4% 10/1/36 <br>| 635000  | 661425  |
|  4% 10/1/37 <br>| 1930000  | 1994348  |
|  4% 10/1/39 <br>| 500000  | 510188  |
|  5% 4/1/31 <br>| 675000  | 790309  |
|  Series 2020:  |  |  |
|  4% 3/1/36 <br>| 4000000  | 4145933  |
|  4% 11/1/37 <br>| 4765000  | 4906684  |
|  4% 3/1/46 <br>| 2315000  | 2328218  |
|  4% 3/1/46 <br>| 965000  | 970510  |
|  Series 2021 A, 5% 10/1/31  | 500000  | 589003  |
|  Series 2021:  |  |  |
|  4% 10/1/41 <br>| 1165000  | 1183760  |
|  5% 12/1/28 <br>| 2135000  | 2416788  |
|  5% 12/1/29 <br>| 480000  | 552551  |
|  5% 12/1/30 <br>| 105000  | 122501  |
|  5% 9/1/32 <br>| 635000  | 745110  |
|  5% 12/1/32 <br>| 370000  | 399568  |
|  5% 12/1/34 <br>| 285000  | 304823  |
|  5% 12/1/35 <br>| 885000  | 1008888  |
|  5% 12/1/36 <br>| 1325000  | 1493103  |
|  5% 9/1/41 <br>| 1675000  | 1871846  |
|  Series 2022 B, 5% 11/1/32  | 5000000  | 5964760  |
|  Series 2022:  |  |  |
|  4% 9/1/29 <br>| 305000  | 329317  |
|  5% 4/1/35 <br>| 155000  | 180492  |
|  5% 4/1/35 <br>| 635000  | 705008  |
|  5% 4/1/42 <br>| 2770000  | 3107745  |
|  5% 4/1/42 <br>| 1625000  | 1736919  |
|  5% 9/1/42 <br>| 5000000  | 5632565  |
|  5% 11/1/42 <br>| 3155000  | 3559955  |
|  5% 4/1/47 <br>| 8545000  | 9479638  |
|  5% 9/1/52 <br>| 1055000  | 1164001  |
|  5.5% 12/1/52 <br>| 1675000  | 1783343  |
|  California Health Facilities Fing. Auth. Rev.:  |  |  |
|  Series 2015:  |  |  |
|  5% 11/15/28 <br>| 250000  | 266595  |
|  5% 11/15/32 <br>| 55000  | 58416  |
|  5% 11/15/33 <br>| 480000  | 508154  |
|  Series 2016 A:  |  |  |
|  5% 11/15/41 (Pre-Refunded to 11/15/25 @ 100) <br>| 1000000  | 1069505  |
|  5% 11/15/46 (Pre-Refunded to 11/15/25 @ 100) <br>| 540000  | 577533  |
|  Series 2017 A, 5% 11/15/56  | 360000  | 370067  |
|  Series 2017 A2, 5% 11/1/47  | 1320000  | 1500207  |
|  Series 2018 A, 5% 11/15/35  | 440000  | 469894  |
|  Series 2019, 5% 11/15/49  | 3115000  | 3154959  |
|  Series 2020 A:  |  |  |
|  4% 4/1/37 <br>| 885000  | 848289  |
|  4% 4/1/38 <br>| 355000  | 337354  |
|  4% 4/1/45 <br>| 250000  | 229858  |
|  4% 4/1/49 <br>| 1710000  | 1539641  |
|  Series 2021 A:  |  |  |
|  3% 8/15/51 <br>| 500000  | 389759  |
|  4% 8/15/48 <br>| 7000000  | 6742436  |
|  5% 8/15/51 <br>| 2000000  | 2136632  |
|  Series 2022 A:  |  |  |
|  4% 5/15/46 <br>| 2950000  | 2867646  |
|  4% 5/15/51 <br>| 1500000  | 1431371  |
|  Series A:  |  |  |
|  4% 8/15/50 <br>| 750000  | 727369  |
|  5% 8/15/47 <br>| 250000  | 252292  |
|  California Hsg. Fin. Agcy.:  |  |  |
|  Series 2019 A:  |  |  |
|  4% 3/20/33 <br>| 1062889  | 1031676  |
|  4.25% 1/15/35 <br>| 708831  | 688146  |
|  Series 2021 1:  |  |  |
|  0.796% 11/20/35 (b) <br>| 14760168  | 832336  |
|  3.5% 11/20/35 <br>| 606864  | 547263  |
|  Series 2021 3, 0.764% 8/20/36  | 5273804  | 324066  |
|  California Infrastructure & Econ. Dev. Series 2019:  |  |  |
|  5% 8/1/44  | 2035000  | 2171308  |
|  5% 8/1/49  | 2010000  | 2131236  |
|  California Infrastructure & Econ. Dev. Bank Series 2022 B:  |  |  |
|  5% 11/1/47  | 325000  | 341365  |
|  5% 11/1/57  | 275000  | 283767  |
|  California Infrastructure and Econ. Dev. Bank Rev.:  |  |  |
|  Bonds:  |  |  |
|  (Brightline West Passenger Rail Proj.) Series 2020 A, 0.85%, tender 1/26/23 (b)(d)(f) <br>| 2300000  | 2288919  |
|  (Los Angeles County Museum of Art Proj.) Series 2021 A, 1.2%, tender 6/1/28 (b) <br>| 1695000  | 1471276  |
|  Series 2017, 5% 5/15/42  | 1205000  | 1287874  |
|  California Muni. Fin. Auth.:  |  |  |
|  (United Airlines, Inc. Los Angeles Int'l. Arpt. proj.) Series 2019, 4% 7/15/29 (d)  | 1090000  | 1056132  |
|  Series 2018 A, 5% 6/1/48  | 1685000  | 1785663  |
|  Series 2021 A, 4% 11/1/36 (f)  | 410000  | 368001  |
|  California Muni. Fin. Auth. Ctfs. of Prtn. Series 2022 A, 5.25% 11/1/52 (Assured Guaranty Muni. Corp. Insured)  | 1610000  | 1699653  |
|  California Muni. Fin. Auth. Mobile Home Park Sr. Rev.:  |  |  |
|  (Caritas Affordable Hsg., Inc. Proj.) Series 2014 A, 5.25% 8/15/39  | 205000  | 208581  |
|  (Caritas Affordable Hsg., Inc. Projs.) Series 2014 A, 5.25% 8/15/49  | 570000  | 577823  |
|  California Muni. Fin. Auth. Rev.:  |  |  |
|  (LINXS APM Proj.) Series 2018 A:  |  |  |
|  5% 12/31/36 (d) <br>| 1260000  | 1291751  |
|  5% 12/31/43 (d) <br>| 10415000  | 10529243  |
|  5% 12/31/47 (d) <br>| 4110000  | 4132020  |
|  Series 2015, 5.5% 11/1/45 (f)  | 250000  | 252627  |
|  Series 2016 A, 5% 11/1/46 (f)  | 250000  | 245000  |
|  Series 2017 A:  |  |  |
|  5% 2/1/42 <br>| 370000  | 378917  |
|  5% 7/1/42 <br>| 65000  | 66197  |
|  5.25% 11/1/36 <br>| 355000  | 357031  |
|  5.25% 11/1/41 <br>| 1040000  | 1044963  |
|  5.25% 11/1/47 <br>| 50000  | 50176  |
|  Series 2019, 5% 8/1/39 (f)  | 455000  | 426105  |
|  Series 2021 A:  |  |  |
|  4% 2/1/41 <br>| 500000  | 494085  |
|  4% 2/1/51 <br>| 640000  | 571296  |
|  Series 2022, 5.25% 6/1/53  | 2075000  | 2220668  |
|  California Muni. Fin. Auth. Solid Waste Disp. Rev. Bonds (Waste Mgmt., Inc. Proj.) Series 2019 A, 2.4%, tender 10/1/29 (b)(d)  | 910000  | 797678  |
|  California Muni. Fin. Auth. Student Hsg.:  |  |  |
|  (CHF Davis II, LLC - Orchard Park Student Hsg. Proj.) Series 2021, 3% 5/15/54 (Build America Mutual Assurance Insured)  | 250000  | 173111  |
|  (CHF-David II, LLC - Orchard Park Student Hsg. Proj.) Series 2021:  |  |  |
|  4% 5/15/33 (Build America Mutual Assurance Insured) <br>| 60000  | 61441  |
|  4% 5/15/37 (Build America Mutual Assurance Insured) <br>| 140000  | 140170  |
|  4% 5/15/38 (Build America Mutual Assurance Insured) <br>| 80000  | 79722  |
|  (CHF-Davis I, LLC - West Village Student Hsg. Proj.) Series 2018:  |  |  |
|  5% 5/15/34 <br>| 170000  | 173768  |
|  5% 5/15/35 <br>| 120000  | 122222  |
|  5% 5/15/36 <br>| 215000  | 218533  |
|  5% 5/15/38 <br>| 170000  | 171827  |
|  5% 5/15/39 <br>| 75000  | 75570  |
|  5% 5/15/43 <br>| 225000  | 223570  |
|  5% 5/15/48 <br>| 500000  | 488030  |
|  5% 5/15/51 <br>| 500000  | 485219  |
|  (CHF-Riverside II, LLC-UCR North District Phase I Student Hsg. Proj.) Series 2019:  |  |  |
|  5% 5/15/49 <br>| 420000  | 406232  |
|  5% 5/15/52 <br>| 350000  | 335933  |
|  Series 2018:  |  |  |
|  5% 5/15/36 <br>| 750000  | 794312  |
|  5% 5/15/39 <br>| 1100000  | 1154174  |
|  California Poll. Cont. Fing. Auth. Series 2019:  |  |  |
|  5% 7/1/29 (f)  | 480000  | 489519  |
|  5% 7/1/39 (f)  | 1760000  | 1676029  |
|  5% 11/21/45 (f)  | 1930000  | 1771996  |
|  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)  | 810000  | 790839  |
|  California Pub. Fin. Auth.:  |  |  |
|  (Enso Village Proj.) Series 2021 B1, 3.125% 5/15/29 (f)  | 660000  | 575802  |
|  (Enso Villiage Proj.) Series 2021 B2, 2.375% 11/15/28 (f)  | 495000  | 455486  |
|  Series 2021 A:  |  |  |
|  5% 11/15/36 (f) <br>| 190000  | 172541  |
|  5% 11/15/46 (f) <br>| 105000  | 88805  |
|  Series 2021 B3, 2.125% 11/15/27 (f)  | 805000  | 747402  |
|  California Pub. Fin. Auth. Rev.:  |  |  |
|  Series 2017:  |  |  |
|  5% 10/15/33 <br>| 55000  | 56899  |
|  5% 10/15/37 <br>| 105000  | 107354  |
|  5% 10/15/47 <br>| 105000  | 105992  |
|  Series 2021 A:  |  |  |
|  4% 10/15/26 <br>| 85000  | 85908  |
|  4% 10/15/27 <br>| 85000  | 85818  |
|  4% 10/15/28 <br>| 75000  | 75559  |
|  Series 2022 A, 4% 7/15/51  | 750000  | 723975  |
|  California Pub. Works Board Lease Rev.:  |  |  |
|  (Various Cap. Projs.):  |  |  |
|  Series 2021 A: <br>|  |  |
|  5% 2/1/31 <br>| 1675000  | 1961024  |
|  5% 2/1/32 <br>| 1720000  | 2029651  |
|  Series 2022 C: <br>|  |  |
|  5% 8/1/30 <br>| 35000  | 40648  |
|  5% 8/1/31 <br>| 450000  | 530184  |
|  5% 8/1/32 <br>| 130000  | 153046  |
|  5% 8/1/33 <br>| 65000  | 76470  |
|  5% 8/1/34 <br>| 840000  | 975095  |
|  5% 8/1/35 <br>| 760000  | 870644  |
|  Series 2013 A, 5% 3/1/38  | 665000  | 668489  |
|  Series 2013 I, 5% 11/1/38  | 1960000  | 1997331  |
|  Series 2014 A, 5% 9/1/33  | 1975000  | 2051654  |
|  Series 2014 B, 5% 10/1/34  | 1505000  | 1561120  |
|  Series 2022 A:  |  |  |
|  5% 8/1/29 <br>| 1065000  | 1217124  |
|  5% 8/1/30 <br>| 1920000  | 2229851  |
|  California School Fin. Auth. Charter School Rev.:  |  |  |
|  Series 2016:  |  |  |
|  5% 8/1/41 (f) <br>| 470000  | 471543  |
|  5% 8/1/41 (Pre-Refunded to 8/1/25 @ 100) (f) <br>| 50000  | 53021  |
|  Series 2021 A:  |  |  |
|  4% 8/1/51 (f) <br>| 150000  | 123330  |
|  4% 6/1/61 (f) <br>| 250000  | 176641  |
|  4% 6/1/61 (f) <br>| 250000  | 171903  |
|  4% 8/1/61 (f) <br>| 240000  | 189124  |
|  Series 2022 A:  |  |  |
|  5% 7/1/42 (f) <br>| 500000  | 471376  |
|  5% 7/1/52 (f) <br>| 2045000  | 1801740  |
|  Series 2022 B, 5% 7/1/42 (f)  | 2125000  | 1941400  |
|  California School Fin. Auth. College (NCCD-Santa Rosa Properties LLC, Sonoma County Jr. College District Proj.) Series 2021 A, 2.75% 11/1/60 (f)  | 300000  | 143879  |
|  California School Fin. Auth. School Facility Rev.:  |  |  |
|  (Alliance for College-Ready Pub. Schools Proj.) Series 2015 A:  |  |  |
|  4% 7/1/24 (f) <br>| 115000  | 115836  |
|  4% 7/1/25 (f) <br>| 120000  | 121132  |
|  (Alliance for College-Ready Pub. Schools) Series 2015 A, 5% 7/1/30 (f)  | 105000  | 107917  |
|  (KIPP SoCal Projs.) Series 2020 A, 4% 7/1/50 (f)  | 735000  | 614570  |
|  Series 2015 A, 5% 7/1/45 (f)  | 285000  | 286428  |
|  Series 2019, 5% 7/1/49 (f)  | 750000  | 753373  |
|  California State Univ. Rev.:  |  |  |
|  Series 2016 A, 4% 11/1/45  | 360000  | 354227  |
|  Series 2018 A, 5% 11/1/48  | 2600000  | 2762930  |
|  Series 2020 C, 4% 11/1/45  | 750000  | 735788  |
|  California Statewide Cmntys. Dev. Auth.:  |  |  |
|  (NCCD-Hooper Street LLC-California College of the Arts Proj.) Series 2019:  |  |  |
|  5% 7/1/29 (f) <br>| 130000  | 126027  |
|  5.25% 7/1/39 (f) <br>| 100000  | 91498  |
|  5.25% 7/1/49 (f) <br>| 380000  | 328824  |
|  5.25% 7/1/52 (f) <br>| 165000  | 141100  |
|  Series 2013 A, 5.75% 1/15/45 (f)  | 2845000  | 2816698  |
|  Series 2016:  |  |  |
|  5% 5/15/25 <br>| 55000  | 56609  |
|  5% 5/15/26 <br>| 55000  | 57116  |
|  5% 5/15/27 <br>| 55000  | 57080  |
|  5% 5/15/28 <br>| 55000  | 56936  |
|  5% 5/15/32 <br>| 70000  | 71758  |
|  5% 5/15/33 <br>| 85000  | 86888  |
|  5% 5/15/40 <br>| 55000  | 55536  |
|  Series 2017, 5% 5/15/47  | 1180000  | 1179967  |
|  California Statewide Cmntys. Dev. Auth. Hosp. Rev. Series 2018, 5% 1/1/48  | 250000  | 252490  |
|  California Statewide Cmntys. Dev. Auth. Rev.:  |  |  |
|  (899 Charleston Proj.) Series 2014 A, 5.375% 11/1/49 (f)  | 490000  | 411106  |
|  (Viamonte Sr. Living 1 Proj.) Series 2018 A, 3.5% 7/1/34  | 165000  | 163674  |
|  Series 2014 A:  |  |  |
|  5.25% 12/1/34 <br>| 135000  | 137755  |
|  5.25% 12/1/44 <br>| 560000  | 563898  |
|  5.5% 12/1/54 <br>| 2920000  | 2935560  |
|  Series 2014 B, 5% 7/1/28 (Pre-Refunded to 7/1/24 @ 100)  | 860000  | 893217  |
|  Series 2014, 6.375% 11/1/43 (f)  | 300000  | 304617  |
|  Series 2015 A, 5% 10/1/45  | 615000  | 620614  |
|  Series 2015, 5% 2/1/45  | 640000  | 471675  |
|  Series 2016 A:  |  |  |
|  5% 12/1/27 (f) <br>| 420000  | 428743  |
|  5% 12/1/46 (f) <br>| 2630000  | 2576735  |
|  5.25% 12/1/56 (f) <br>| 1745000  | 1735267  |
|  Series 2017 A:  |  |  |
|  3.5% 11/1/27 (f) <br>| 835000  | 801022  |
|  5% 11/1/32 (f) <br>| 100000  | 102489  |
|  5% 11/1/41 (f) <br>| 200000  | 200596  |
|  Series 2018 A:  |  |  |
|  5% 3/1/34 <br>| 210000  | 220931  |
|  5% 3/1/35 <br>| 315000  | 329871  |
|  5.25% 12/1/48 (f) <br>| 250000  | 251944  |
|  5.5% 12/1/58 (f) <br>| 4875000  | 4912768  |
|  Series 2019 B:  |  |  |
|  4% 9/2/29 <br>| 450000  | 450600  |
|  5% 9/2/34 <br>| 150000  | 158991  |
|  5% 9/2/39 <br>| 140000  | 145909  |
|  5% 9/2/44 <br>| 145000  | 149001  |
|  5% 9/2/49 <br>| 70000  | 71358  |
|  Series 2021 A:  |  |  |
|  4% 9/2/28 <br>| 35000  | 34301  |
|  4% 9/2/29 <br>| 40000  | 39020  |
|  4% 9/2/30 <br>| 45000  | 43949  |
|  4% 9/2/31 <br>| 35000  | 33939  |
|  4% 9/2/41 <br>| 230000  | 201867  |
|  4% 9/2/51 <br>| 140000  | 115070  |
|  Series 2021 B:  |  |  |
|  4% 9/2/41 <br>| 640000  | 574738  |
|  4% 9/2/51 <br>| 755000  | 638477  |
|  Series 2021 C1:  |  |  |
|  4% 9/2/31 <br>| 90000  | 87819  |
|  4% 9/2/41 <br>| 465000  | 415994  |
|  4% 9/2/51 <br>| 110000  | 92435  |
|  Series 2022 A:  |  |  |
|  5.25% 8/15/52 <br>| 725000  | 764083  |
|  5.375% 8/15/57 (Assured Guaranty Muni. Corp. Insured) <br>| 690000  | 728356  |
|  Series 2022 A1, 5% 9/2/52  | 1525000  | 1493545  |
|  Series 2022 B, 5% 9/2/52  | 500000  | 488941  |
|  California Statewide Fing. Auth.:  |  |  |
|  Series 2002 A, 6% 5/1/43  | 210000  | 213656  |
|  Series 2006 C, 0% 6/1/55 (f)  | 3000000  | 160908  |
|  Chino Valley Unified School District Series 2020 B, 3.375% 8/1/50  | 1000000  | 798731  |
|  CMFA Spl. Fin. Agcy. Essential Hsg. Rev.:  |  |  |
|  Series 2020 A1, 4% 8/1/56 (f)  | 655000  | 531542  |
|  Series 2021 A1, 3% 12/1/56 (f)  | 450000  | 290778  |
|  Series 2021, 4% 8/1/45 (f)  | 840000  | 643593  |
|  CMFA Spl. Fin. Agcy. VII Essential Hsg. Rev. Series 2021 A2, 4% 8/1/47 (f)  | 2020000  | 1480385  |
|  CMFA Spl. Fin. Agcy. XII:  |  |  |
|  Series 2022 A1, 3.25% 2/1/57 (f)  | 240000  | 159513  |
|  Series 2022 A2, 4.375% 8/1/49 (f)  | 455000  | 333238  |
|  Coachella Valley Unified School District Series 2016 F, 5% 8/1/46  | 1500000  | 1572043  |
|  Coast Cmnty. College District Series 2017 D, 4.5% 8/1/39 (Pre-Refunded to 8/1/27 @ 100)  | 750000  | 813930  |
|  College of the Sequoias Cmnty. College District Series 2021 E, 3% 8/1/51  | 455000  | 334163  |
|  Compton Unified School District Series 2019 B, 0% 6/1/39  | 250000  | 118012  |
|  Corona-Norco Unified School District Series 2019 C, 4% 8/1/49  | 1000000  | 994006  |
|  Cotati-Rohnert Park Unified School District Series 2018 C, 5% 8/1/42 (Assured Guaranty Muni. Corp. Insured)  | 250000  | 261733  |
|  CSCDA Cmnty. Impt. Auth. Essential Hsg. Rev.:  |  |  |
|  Series 2020 A, 5% 7/1/51 (f)  | 1995425  | 1794270  |
|  Series 2021 A, 4% 8/1/56 (f)  | 500000  | 380636  |
|  Series 2021 A1, 2.65% 12/1/46 (f)  | 1945000  | 1472373  |
|  Series 2021 A2:  |  |  |
|  4% 7/1/56 (f) <br>| 1184888  | 868281  |
|  4% 9/1/56 (f) <br>| 1050000  | 796552  |
|  4% 10/1/56 (f) <br>| 5530000  | 4048634  |
|  4% 6/1/58 (f) <br>| 250000  | 189557  |
|  Series 2021 B, 4% 3/1/57 (f)  | 1415000  | 955678  |
|  Ctr. Joint Unified School Ditrict Series 2021 B, 3% 8/1/51  | 1490000  | 1113245  |
|  Desert Sands Unified School District Series 2019, 5% 8/1/40  | 500000  | 539579  |
|  Eastern Muni. Wtr. District Fing. Auth. Series 2017 D, 5% 7/1/47  | 3845000  | 4085649  |
|  El Camino Cmnty. College District Series 2012 C, 0% 8/1/38  | 1450000  | 771940  |
|  Escondido Gen. Oblig. Series 2015, 5% 9/1/36  | 750000  | 788494  |
|  Escondido Union High School District:  |  |  |
|  Series 2008 A, 0% 8/1/33 (Assured Guaranty Corp. Insured)  | 590000  | 398600  |
|  Series 2009 A:  |  |  |
|  0% 8/1/30 (Assured Guaranty Corp. Insured) <br>| 960000  | 738728  |
|  0% 8/1/31 (Assured Guaranty Corp. Insured) <br>| 855000  | 631339  |
|  Evergreen School District Gen. Oblig. Series 2016, 4% 8/1/41  | 600000  | 590815  |
|  Firebaugh Las Deltas Unified School District Series 2017 A, 5.25% 8/1/41 (Assured Guaranty Muni. Corp. Insured)  | 500000  | 535269  |
|  Folsom Cordova Union School District No. 4 Series A, 0% 10/1/31 (Nat'l. Pub. Fin. Guarantee Corp. Insured)  | 225000  | 162935  |
|  Foothill-De Anza Cmnty. College District Series 2003 B, 0% 8/1/34 (FGIC Insured) (Nat'l. Pub. Fin. Guarantee Corp. Insured)  | 4570000  | 3011486  |
|  Foothill/Eastern Trans. Corridor Agcy. Toll Road Rev.:  |  |  |
|  Series 2014 B2, 3.5% 1/15/53 (b)  | 300000  | 242482  |
|  Series 2021 A, 4% 1/15/46  | 4710000  | 4324010  |
|  Series 2021 C, 4% 1/15/43  | 275000  | 254751  |
|  Golden State Tobacco Securitization Corp. Tobacco Settlement Rev.:  |  |  |
|  Series 2015 A:  |  |  |
|  5% 6/1/34 (Pre-Refunded to 6/1/25 @ 100) <br>| 2115000  | 2245352  |
|  5% 6/1/35 (Pre-Refunded to 6/1/25 @ 100) <br>| 875000  | 928928  |
|  Series 2017 A1, 5% 6/1/28 (Pre-Refunded to 6/1/27 @ 100)  | 65000  | 71587  |
|  Series 2021 B1, 3.85% 6/1/50  | 5565000  | 5015408  |
|  Series 2021 B2, 0% 6/1/66  | 73285000  | 7856665  |
|  Grossmont-Cuyamaca Cmnty. College District Series 2018 B, 4% 8/1/47  | 935000  | 904643  |
|  Hastings Campus Hsg. Fin. Auth.:  |  |  |
|  Series 2020 A:  |  |  |
|  5% 7/1/45 (f) <br>| 1450000  | 1265393  |
|  5% 7/1/61 (f) <br>| 3230000  | 2647936  |
|  Series 2020 B, 0% 7/1/61 (e)(f)  | 2605000  | 891693  |
|  Indio Pub. Fing. Auth. Lease Rev. Series 2022 A, 4.5% 11/1/52  | 1115000  | 1119841  |
|  Inland Empire Tobacco Securitization Auth. Series 2007:  |  |  |
|  0% 6/1/57  | 6030000  | 397644  |
|  0% 6/1/57 (f)  | 17305000  | 944851  |
|  0% 6/1/57 (f)  | 11325000  | 518866  |
|  Irvine Reassessment District 12-1 Ltd. Oblig.:  |  |  |
|  Series 2012, 4% 9/2/27  | 45000  | 45109  |
|  Series 2012, 4% 9/2/28  | 60000  | 60138  |
|  Irvine Unified School District Cmnty. Facilities District Series 2017 D, 5% 3/1/57  | 775000  | 781274  |
|  Jurupa Unified School District Series 2019 C, 5.25% 8/1/43  | 800000  | 876380  |
|  Kern Cmnty. College District Gen. Oblig.:  |  |  |
|  Series 2006:  |  |  |
|  0% 11/1/28 (Assured Guaranty Muni. Corp. Insured) <br>| 600000  | 492488  |
|  0% 11/1/30 (Assured Guaranty Muni. Corp. Insured) <br>| 605000  | 458997  |
|  Series 2020, 3% 8/1/46  | 800000  | 637811  |
|  Ladera Ranch Cmnty. Facilities District 2004-1 Series 2022 A, 5% 8/15/47  | 2500000  | 2538579  |
|  Live Oak School District Ctfs. of Prtn. (2016 Rfdg. and School Fing. Projs.) Series 2016, 5% 8/1/39 (Assured Guaranty Muni. Corp. Insured)  | 500000  | 526922  |
|  Lodi Unified School District School Facilities Improvment District No. 1 Series 2020, 3% 8/1/23  | 825000  | 828145  |
|  Long Beach Arpt. Rev.:  |  |  |
|  Series 2022 A:  |  |  |
|  5% 6/1/33 <br>| 30000  | 34579  |
|  5% 6/1/34 <br>| 25000  | 28617  |
|  5% 6/1/35 <br>| 20000  | 22734  |
|  5% 6/1/36 <br>| 50000  | 56130  |
|  5% 6/1/37 <br>| 45000  | 50020  |
|  5% 6/1/38 <br>| 65000  | 71713  |
|  5% 6/1/39 <br>| 30000  | 33017  |
|  Series 2022 B:  |  |  |
|  5% 6/1/33 <br>| 30000  | 34579  |
|  5% 6/1/34 <br>| 25000  | 28617  |
|  5% 6/1/35 <br>| 20000  | 22734  |
|  5% 6/1/36 <br>| 20000  | 22452  |
|  5% 6/1/37 <br>| 30000  | 33346  |
|  5% 6/1/38 <br>| 20000  | 22066  |
|  5% 6/1/39 <br>| 35000  | 38520  |
|  Long Beach Bond Fin. Auth. Natural Gas Purchase Rev. Series 2007 A:  |  |  |
|  5% 11/15/29  | 600000  | 636427  |
|  5.5% 11/15/37  | 900000  | 1000006  |
|  Long Beach Hbr. Rev. Series 2019 A, 5% 5/15/39  | 480000  | 525246  |
|  Long Beach Marina Rev. (Alamitos Bay Marina Proj.) Series 2015:  |  |  |
|  5% 5/15/35  | 100000  | 102130  |
|  5% 5/15/40  | 540000  | 547190  |
|  Long Beach Unified School District:  |  |  |
|  Series 2009, 5.5% 8/1/29  | 20000  | 20047  |
|  Series 2015 D1, 0% 8/1/30  | 470000  | 350195  |
|  Los Angeles Cmnty. College District Series 2015 C, 5% 8/1/25  | 305000  | 323751  |
|  Los Angeles County Metropolitan Trans. Auth. Sales Tax Rev.:  |  |  |
|  Series 2013 B, 5% 7/1/36  | 1000000  | 1012598  |
|  Series 2019 A:  |  |  |
|  5% 7/1/38 <br>| 1445000  | 1585418  |
|  5% 7/1/39 <br>| 965000  | 1055040  |
|  Series 2019 B:  |  |  |
|  5% 7/1/34 <br>| 240000  | 267376  |
|  5% 7/1/36 <br>| 1205000  | 1329401  |
|  Series 2021 A, 4% 6/1/36  | 1500000  | 1564422  |
|  Los Angeles County Pub. Works Fing. Auth. Lease Rev.:  |  |  |
|  (Lacma Bldg. for the Permanent Collection Proj.) Series 2020 A:  |  |  |
|  4% 12/1/37 <br>| 1690000  | 1725681  |
|  4% 12/1/38 <br>| 620000  | 628896  |
|  4% 12/1/40 <br>| 1095000  | 1092180  |
|  4% 12/1/43 <br>| 670000  | 656660  |
|  (Multiple Cap. Projs.) Series 2015 A, 5% 12/1/33  | 825000  | 855642  |
|  Series 2015 A, 5% 12/1/39  | 1715000  | 1762923  |
|  Series 2019 E1, 5% 12/1/44  | 425000  | 462065  |
|  Los Angeles Dept. Arpt. Rev.:  |  |  |
|  Series 2016 B, 5% 5/15/41 (d)  | 2600000  | 2655038  |
|  Series 2018 A:  |  |  |
|  5% 5/15/34 (d) <br>| 95000  | 100493  |
|  5% 5/15/36 (d) <br>| 175000  | 183746  |
|  5% 5/15/37 (d) <br>| 215000  | 224443  |
|  5% 5/15/44 (d) <br>| 1265000  | 1299567  |
|  5.25% 5/15/38 (d) <br>| 375000  | 395118  |
|  Series 2018 C, 5% 5/15/44 (d)  | 1565000  | 1604252  |
|  Series 2018 E, 5% 5/15/43  | 1050000  | 1128144  |
|  Series 2019 D, 5% 5/15/38 (d)  | 725000  | 757571  |
|  Series 2019 E, 5% 5/15/36  | 250000  | 273203  |
|  Series 2020 C:  |  |  |
|  5% 5/15/37 (d) <br>| 770000  | 817520  |
|  5% 5/15/45 (d) <br>| 750000  | 776404  |
|  Series 2021 A:  |  |  |
|  5% 5/15/36 (d) <br>| 365000  | 391734  |
|  5% 5/15/37 (d) <br>| 270000  | 287351  |
|  5% 5/15/38 (d) <br>| 595000  | 631157  |
|  5% 5/15/39 (d) <br>| 885000  | 934761  |
|  5% 5/15/40 (d) <br>| 445000  | 467830  |
|  Series 2021 D:  |  |  |
|  3% 5/15/39 (d) <br>| 250000  | 205453  |
|  4% 5/15/40 (d) <br>| 1000000  | 959827  |
|  Series 2022 C, 4% 5/15/38 (d)  | 750000  | 722285  |
|  Series 2022 G, 5% 5/15/47 (d)  | 500000  | 518682  |
|  Series 2022 H:  |  |  |
|  5.25% 5/15/47 (d) <br>| 1150000  | 1225320  |
|  5.5% 5/15/47 (d) <br>| 1275000  | 1383895  |
|  Series 2022, 5% 5/15/48  | 800000  | 873785  |
|  Series B, 5% 5/15/45  | 575000  | 626227  |
|  Series F:  |  |  |
|  4% 5/15/49 (d) <br>| 850000  | 769945  |
|  5% 5/15/34 (d) <br>| 385000  | 410871  |
|  5% 5/15/44 (d) <br>| 1920000  | 1980807  |
|  Los Angeles Dept. of Wtr. & Pwr. Rev.:  |  |  |
|  Series 2014 E, 5% 7/1/44  | 2410000  | 2471355  |
|  Series 2016 A:  |  |  |
|  5% 7/1/38 <br>| 860000  | 905555  |
|  5% 7/1/46 <br>| 480000  | 500299  |
|  Series 2017 A, 5% 7/1/42  | 1805000  | 1905720  |
|  Series 2017 B, 5% 7/1/39  | 2655000  | 2824625  |
|  Series 2017 C:  |  |  |
|  5% 7/1/37 <br>| 1165000  | 1257128  |
|  5% 7/1/38 <br>| 240000  | 258049  |
|  5% 7/1/42 <br>| 3135000  | 3329718  |
|  Series 2021 B, 5% 7/1/51  | 5225000  | 5653992  |
|  Series 2021 C, 5% 7/1/40  | 255000  | 285132  |
|  Series B, 5% 7/1/50  | 3455000  | 3729361  |
|  Los Angeles Dept. of Wtr. & Pwr. Wtrwks. Rev.:  |  |  |
|  Series 2013 B, 5% 7/1/33  | 685000  | 694385  |
|  Series 2016 A, 5% 7/1/41  | 1370000  | 1435908  |
|  Series 2020 A, 5% 7/1/40  | 70000  | 77673  |
|  Series 2021 B, 5% 7/1/46  | 1520000  | 1664894  |
|  Los Angeles Hbr. Dept. Rev. Series 2019 A, 5% 8/1/25 (d)  | 620000  | 649628  |
|  Los Angeles Unified School District:  |  |  |
|  Series 2018 B1, 5.25% 7/1/42  | 5000000  | 5408915  |
|  Series 2020 A:  |  |  |
|  5% 7/1/32 <br>| 1000000  | 1153096  |
|  5% 7/1/33 <br>| 1000000  | 1146677  |
|  Series 2020 C:  |  |  |
|  4% 7/1/33 <br>| 500000  | 536706  |
|  4% 7/1/38 <br>| 920000  | 939733  |
|  Series 2022, 5% 7/1/23  | 2500000  | 2538031  |
|  Los Angeles Wastewtr. Sys. Rev. Series 2018 A, 5% 6/1/48  | 2975000  | 3169442  |
|  Merced Union High School District Series 2009 A, 0% 8/1/30 (Assured Guaranty Corp. Insured)  | 120000  | 92689  |
|  Metropolitan Wtr. District of Southern California Wtr. Rev. Bonds:  |  |  |
|  Series 2017 C, SIFMA Municipal Swap Index + 0.140% 2.04%, tender 5/21/24 (b)(c)  | 1745000  | 1730922  |
|  Series 2017 D, SIFMA Municipal Swap Index + 0.140% 2.04%, tender 5/21/24 (b)(c)  | 1475000  | 1463094  |
|  Series 2017 E, SIFMA Municipal Swap Index + 0.140% 2.04%, tender 5/21/24 (b)(c)  | 1005000  | 996890  |
|  Middle Fork Proj. Fin. Auth. Series 2020:  |  |  |
|  5% 4/1/24  | 175000  | 178602  |
|  5% 4/1/25  | 185000  | 191289  |
|  5% 4/1/26  | 130000  | 136017  |
|  Modesto Elementary School District, Stanislaus County Series 2021 B:  |  |  |
|  3% 8/1/46  | 380000  | 291218  |
|  3% 8/1/50  | 235000  | 175179  |
|  Modesto Irrigation District Fing. Auth. Rev. Series 2007 F, 3 month U.S. LIBOR + 0.580% 2.645% 9/1/27 (Nat'l. Pub. Fin. Guarantee Corp. Insured) (b)(c)  | 1010000  | 1001250  |
|  Monrovia Unified School District Series B, 0% 8/1/29 (Nat'l. Pub. Fin. Guarantee Corp. Insured)  | 550000  | 446380  |
|  Montebello Pub. Fing. Auth. (Montebello Home2 Suites by Hilton Hotel Proj.) Series 2016 A:  |  |  |
|  5% 6/1/41  | 1385000  | 1441130  |
|  5% 6/1/46  | 425000  | 440738  |
|  Mount Diablo Unified School District Series 2022 B:  |  |  |
|  4% 8/1/29  | 105000  | 113158  |
|  4% 8/1/31  | 735000  | 795895  |
|  4% 8/1/32  | 1095000  | 1182351  |
|  4% 8/1/33  | 85000  | 90684  |
|  Mount San Antonio Cmnty. College Series 2013 A, 0% 8/1/28 (e)  | 395000  | 428568  |
|  MSR Energy Auth. Gas Rev.:  |  |  |
|  Series 2009 A:  |  |  |
|  6.125% 11/1/29 <br>| 410000  | 454204  |
|  6.5% 11/1/39 <br>| 1750000  | 2120991  |
|  7% 11/1/34 <br>| 1810000  | 2237817  |
|  Series 2009 B:  |  |  |
|  6.5% 11/1/39 <br>| 3775000  | 4575281  |
|  7% 11/1/34 <br>| 6980000  | 8629815  |
|  Series 2009 C:  |  |  |
|  6.125% 11/1/29 <br>| 1250000  | 1384842  |
|  6.5% 11/1/39 <br>| 905000  | 1096855  |
|  7% 11/1/34 <br>| 1205000  | 1489818  |
|  Murrieta Valley Unified School District Series 2022, 5.25% 9/1/51  | 700000  | 786880  |
|  Napa Valley Cmnty. Cllge District Series 2018:  |  |  |
|  4% 8/1/29  | 565000  | 585602  |
|  4% 8/1/32  | 500000  | 516965  |
|  Napa Valley Unified School District Series 2019 C, 4% 8/1/44 (Assured Guaranty Muni. Corp. Insured)  | 250000  | 251268  |
|  North Lake Tahoe Pub. Fin. Auth. Series 2022, 4.5% 12/1/52  | 1000000  | 1022957  |
|  Northern California Energy Auth. Bonds Series 2018, 4%, tender 7/1/24 (b)  | 1445000  | 1449788  |
|  Northern California Gas Auth. #1 Gas Proj. Rev. Series 2007 B, 3 month U.S. LIBOR + 0.720% 3.228% 7/1/27 (b)(c)  | 1425000  | 1380048  |
|  Oakland Unified School District Alameda County Series 2015 A, 5% 8/1/29  | 210000  | 221899  |
|  Ocean View School District Series 2021, 3% 8/1/47 (Assured Guaranty Muni. Corp. Insured)  | 500000  | 382321  |
|  Oceanside Unified School District Series 2009:  |  |  |
|  0% 8/1/24 (Escrowed to Maturity)  | 70000  | 66929  |
|  0% 8/1/27  | 350000  | 302675  |
|  0% 8/1/27 (Escrowed to Maturity)  | 40000  | 34943  |
|  0% 8/1/27 (Escrowed to Maturity)  | 15000  | 13104  |
|  0% 8/1/29  | 690000  | 553796  |
|  0% 8/1/29 (Escrowed to Maturity)  | 80000  | 65829  |
|  0% 8/1/29 (Escrowed to Maturity)  | 55000  | 45258  |
|  0% 8/1/30  | 875000  | 674843  |
|  0% 8/1/30 (Escrowed to Maturity)  | 45000  | 35932  |
|  Ontario Montclair School District Series 2017 A, 5% 8/1/46  | 500000  | 527411  |
|  Orange County San District Waste Series 2015 A, 5% 2/1/30  | 425000  | 441951  |
|  Oxnard Fing. Auth. Wastewtr. Rev. Series 2014, 5% 6/1/30 (Assured Guaranty Muni. Corp. Insured)  | 350000  | 360704  |
|  Paramount Unified School District Series 2013, 0% 8/1/43 (Pre-Refunded to 8/1/23 @ 26)  | 1700000  | 434220  |
|  Peninsula Corridor Joint Powers Board Series 2022 A, 5% 6/1/47  | 500000  | 549767  |
|  Peralta Cmnty. College District Gen. Oblig. Series 2016 A, 4% 8/1/39  | 500000  | 492852  |
|  Pleasant Valley School District Series 2018 B, 4% 8/1/46  | 750000  | 742069  |
|  Pomona Unified School District Series 2016 F, 3% 8/1/48  | 205000  | 160112  |
|  Port of Oakland Rev.:  |  |  |
|  Series 2021 H:  |  |  |
|  5% 5/1/24 (d) <br>| 335000  | 344037  |
|  5% 5/1/24 (Escrowed to Maturity) (d) <br>| 25000  | 25833  |
|  5% 5/1/25 (d) <br>| 1025000  | 1067774  |
|  Series H:  |  |  |
|  5% 5/1/26 (d) <br>| 585000  | 616531  |
|  5% 5/1/27 (d) <br>| 585000  | 623856  |
|  Poway Unified School District:  |  |  |
|  (District #2007-1 School Facilities Proj.) Series 2008 A, 0% 8/1/32  | 790000  | 558975  |
|  Series 2011, 0% 8/1/46  | 140000  | 45539  |
|  Series B:  |  |  |
|  0% 8/1/33 <br>| 245000  | 165694  |
|  0% 8/1/37 <br>| 1395000  | 766821  |
|  0% 8/1/38 <br>| 235000  | 122543  |
|  0% 8/1/39 <br>| 3300000  | 1626122  |
|  0% 8/1/41 <br>| 750000  | 330899  |
|  Poway Unified School District Pub. Fing. Series 2015 A:  |  |  |
|  5% 9/1/24  | 120000  | 123392  |
|  5% 9/1/26  | 155000  | 161625  |
|  5% 9/1/27  | 60000  | 62575  |
|  5% 9/1/29  | 320000  | 332722  |
|  5% 9/1/30  | 75000  | 77503  |
|  5% 9/1/31  | 145000  | 149701  |
|  Rancho Cucamonga Redev. Agcy. Series 2014:  |  |  |
|  5% 9/1/30 (Assured Guaranty Muni. Corp. Insured)  | 295000  | 305678  |
|  5% 9/1/31 (Assured Guaranty Muni. Corp. Insured)  | 825000  | 855063  |
|  5% 9/1/32 (Assured Guaranty Muni. Corp. Insured)  | 775000  | 803371  |
|  Richmond Joint Powers Fing. Auth. Rev. Series 2019 A, 5% 11/1/36 (Assured Guaranty Muni. Corp. Insured)  | 330000  | 358979  |
|  Richmond Wastewtr. Rev. Series 2017 A, 5.25% 8/1/47  | 1400000  | 1490357  |
|  River Islands Pub. Fing. Auth.:  |  |  |
|  Series 2022 A-1, 5.25% 9/1/52 (Assured Guaranty Muni. Corp. Insured)  | 3840000  | 4129143  |
|  Series 2022, 5.25% 9/1/52 (Assured Guaranty Muni. Corp. Insured)  | 425000  | 456871  |
|  Riverside County Trans. Commission Sales Tax Rev.:  |  |  |
|  Series 2013 A, 5.25% 6/1/39 (Pre-Refunded to 6/1/23 @ 100)  | 990000  | 1003744  |
|  Series 2016 A, 2% 6/1/29  | 430000  | 393188  |
|  Series 2017 B:  |  |  |
|  4% 6/1/36 <br>| 2050000  | 2089693  |
|  5% 6/1/38 <br>| 1710000  | 1847798  |
|  5% 6/1/39 <br>| 2395000  | 2578590  |
|  Riverside County Trans. Commission Toll Rev. Series 2021 B1:  |  |  |
|  3% 6/1/49  | 1075000  | 804995  |
|  4% 6/1/37  | 560000  | 546582  |
|  4% 6/1/38  | 2150000  | 2084606  |
|  4% 6/1/46  | 2205000  | 2034681  |
|  Roseville Natural Gas Fing. Auth. Series 2007, 5% 2/15/27  | 965000  | 1008178  |
|  Sacramento Area Flood Cont. Agcy. Series 2016 A:  |  |  |
|  5% 10/1/36  | 250000  | 266173  |
|  5% 10/1/41  | 740000  | 779907  |
|  Sacramento City Fing. Auth. Rev. Series A, 0% 12/1/26 (Nat'l. Pub. Fin. Guarantee Corp. Insured)  | 695000  | 609195  |
|  Sacramento City Unified School District Series 2022 A:  |  |  |
|  5.5% 8/1/47  | 1065000  | 1195759  |
|  5.5% 8/1/52  | 2250000  | 2513941  |
|  Sacramento County Arpt. Sys. Rev.:  |  |  |
|  Series 2016 A, 5% 7/1/41  | 2135000  | 2195979  |
|  Series 2016 B, 5% 7/1/41  | 1280000  | 1312275  |
|  Series 2018 C, 5% 7/1/37 (d)  | 590000  | 612273  |
|  Sacramento County Sanitation District Fing. Auth. Rev. Series 2020 A, 5% 12/1/50  | 345000  | 373699  |
|  Sacramento Muni. Util. District Elec. Rev. Series 2020 H, 4% 8/15/45  | 500000  | 497592  |
|  Sacramento Spl. Tax Greenbriar Cmnty. Facilities District No. 2018-03 Area No. 1:  |  |  |
|  Series 2021:  |  |  |
|  4% 9/1/41 <br>| 295000  | 259273  |
|  4% 9/1/46 <br>| 805000  | 668509  |
|  Series 2022:  |  |  |
|  5.25% 9/1/42 (f) <br>| 1065000  | 1084499  |
|  5.25% 9/1/47 (f) <br>| 1060000  | 1069713  |
|  Sacramento TOT Rev. Series 2018 A:  |  |  |
|  5% 6/1/29  | 250000  | 273245  |
|  5% 6/1/30  | 750000  | 821260  |
|  5% 6/1/33  | 20000  | 21770  |
|  Sacramento Wtr. Rev. Series 2017, 5.25% 9/1/47  | 525000  | 569418  |
|  San Bernardino Unified School District (2019 Fing. Proj.) Series 2019:  |  |  |
|  5% 10/1/36 (Assured Guaranty Muni. Corp. Insured)  | 965000  | 1052862  |
|  5% 10/1/38 (Assured Guaranty Muni. Corp. Insured)  | 420000  | 455476  |
|  San Diego Assoc. of Governments (Mid-Coast Corridor Transit Proj.) Series 2019 A:  |  |  |
|  5% 11/15/25  | 130000  | 135859  |
|  5% 11/15/26  | 130000  | 138229  |
|  San Diego California Assn. Govts. South Bay Series 2017 A, 5% 7/1/30  | 250000  | 272057  |
|  San Diego Cmnty. College District Series 2011, 0% 8/1/35  | 170000  | 104851  |
|  San Diego County Reg'l. Arpt. Auth. Arpt. Rev.:  |  |  |
|  Series 2013 B:  |  |  |
|  5% 7/1/24 (Pre-Refunded to 7/1/23 @ 100) (d) <br>| 105000  | 106445  |
|  5% 7/1/25 (Pre-Refunded to 7/1/23 @ 100) (d) <br>| 320000  | 324403  |
|  5% 7/1/43 (Pre-Refunded to 7/1/23 @ 100) (d) <br>| 1680000  | 1703114  |
|  Series 2019 A, 5% 7/1/49  | 185000  | 191593  |
|  Series 2021 B:  |  |  |
|  4% 7/1/41 (d) <br>| 355000  | 333541  |
|  4% 7/1/46 (d) <br>| 405000  | 369805  |
|  4% 7/1/51 (d) <br>| 750000  | 676665  |
|  4% 7/1/56 (d) <br>| 555000  | 479185  |
|  5% 7/1/46 (d) <br>| 505000  | 518162  |
|  5% 7/1/51 (d) <br>| 505000  | 515237  |
|  San Diego County Reg'l. Trans. Commission Sales Tax Rev. Series 2016 A, 5% 4/1/48  | 2820000  | 2961180  |
|  San Diego County Wtr. Auth. Fing. Agcy. Wtr. Rev. Series 2022 A:  |  |  |
|  5% 5/1/47  | 2030000  | 2269211  |
|  5% 5/1/52  | 3030000  | 3344305  |
|  San Diego Pub. Facilities Fing. Auth. Lease Rev. Series 2015 A, 5% 10/15/44  | 500000  | 520287  |
|  San Diego Unified School District:  |  |  |
|  Series 2008 C:  |  |  |
|  0% 7/1/34 <br>| 515000  | 341900  |
|  0% 7/1/37 <br>| 285000  | 161523  |
|  Series 2008 E, 0% 7/1/47 (e)  | 1200000  | 866220  |
|  Series 2020 D2, 3% 7/1/37  | 590000  | 524826  |
|  Series 2020 M2, 3% 7/1/50  | 750000  | 585642  |
|  San Francisco Bay Area Rapid Transit Fing. Auth. Series 2020, 3% 8/1/50  | 1000000  | 775337  |
|  San Francisco City & County Arpts. Commission Int'l. Arpt. Rev.:  |  |  |
|  Second Series 2019 A, 5% 5/1/44 (d)  | 2950000  | 3026328  |
|  Series 2017 A, 5% 5/1/47 (d)  | 1500000  | 1522568  |
|  Series 2018 D, 5% 5/1/48 (d)  | 1085000  | 1103675  |
|  Series 2019 A:  |  |  |
|  5% 1/1/35 (d) <br>| 860000  | 906914  |
|  5% 1/1/37 (d) <br>| 280000  | 292777  |
|  5% 1/1/47 (d) <br>| 620000  | 632400  |
|  5% 5/1/49 (d) <br>| 16800000  | 17121846  |
|  Series 2019 B, 5% 5/1/49  | 850000  | 881066  |
|  Series 2019 E:  |  |  |
|  5% 5/1/38 (d) <br>| 915000  | 956258  |
|  5% 5/1/39 (d) <br>| 1045000  | 1087222  |
|  5% 5/1/40 (d) <br>| 485000  | 502730  |
|  5% 5/1/45 (d) <br>| 2000000  | 2048426  |
|  5% 5/1/50 (d) <br>| 955000  | 972536  |
|  Series 2020 A, 5% 5/1/38 (d)  | 1845000  | 1939292  |
|  Series 2021 A:  |  |  |
|  5% 5/1/34 (d) <br>| 1250000  | 1346795  |
|  5% 5/1/35 (d) <br>| 2410000  | 2579847  |
|  Series 2022 A:  |  |  |
|  5% 5/1/26 (d) <br>| 2215000  | 2327079  |
|  5% 5/1/27 (d) <br>| 2245000  | 2387483  |
|  5% 5/1/28 (d) <br>| 2990000  | 3197383  |
|  5% 5/1/29 (d) <br>| 2005000  | 2153278  |
|  Series 2022 B, 5% 5/1/52  | 7420000  | 7844560  |
|  San Francisco City & County Ctfs. of Prtn.:  |  |  |
|  Series 2019 A, 4% 4/1/43  | 500000  | 497025  |
|  Series 2021 A, 4% 4/1/38  | 1000000  | 1009977  |
|  San Francisco City & County Redev. Agcy. Successor (Mission Bay South Redev. Proj.) Series 2014 A, 5% 8/1/43  | 70000  | 72215  |
|  San Jose Gen. Oblig. Series 2021 A:  |  |  |
|  5% 9/1/45  | 635000  | 693669  |
|  5% 9/1/46  | 785000  | 855294  |
|  San Leandro Unified School District Series 2020 B, 5.25% 8/1/48  | 1000000  | 1110669  |
|  San Marcos Redev. Agcy. Successor Series 2015 A:  |  |  |
|  5% 10/1/30  | 460000  | 486184  |
|  5% 10/1/33  | 330000  | 347465  |
|  San Marcos Unified School District Series 2010 B, 0% 8/1/47  | 2795000  | 930776  |
|  San Mateo County Cmnty. College District:  |  |  |
|  Series 2006 A, 0% 9/1/26 (Nat'l. Pub. Fin. Guarantee Corp. Insured)  | 1085000  | 973805  |
|  Series A, 0% 9/1/26 (Nat'l. Pub. Fin. Guarantee Corp. Insured)  | 660000  | 592361  |
|  San Mateo County Joint Powers Fing. Auth. (Cap. Projs.) Series 2018 A, 5% 7/15/43  | 1270000  | 1368863  |
|  San Mateo Unified School District Series 2011 A, 0% 9/1/41 (e)  | 1500000  | 1428510  |
|  Sanger Unified School District (Cap. Projs.) Series 2022:  |  |  |
|  5% 6/1/49 (Assured Guaranty Muni. Corp. Insured)  | 480000  | 495198  |
|  5% 6/1/52 (Assured Guaranty Muni. Corp. Insured)  | 725000  | 728590  |
|  Santa Ana Unified School District Series 2009 B, 0% 8/1/47 (Assured Guaranty Corp. Insured)  | 500000  | 147790  |
|  Santa Margarita Wtr. District Spl. Tax Series 2013, 5.625% 9/1/43  | 335000  | 337755  |
|  Santa Monica Cmnty. College District Gen. Oblig. Series 2018 A, 4% 8/1/47  | 950000  | 939919  |
|  Santa Monica-Malibu Unified School District Series 2018 B, 3% 8/1/44  | 750000  | 604973  |
|  Santa Rosa Wastewtr. Rev. Series 2002 B, 0% 9/1/25 (AMBAC Insured)  | 95000  | 87711  |
|  Simi Valley Unified School District Series 2020 C, 4% 8/1/50  | 615000  | 596825  |
|  South Whittier School District Gen. Oblig. Series 2019 B:  |  |  |
|  4% 8/1/46 (Assured Guaranty Muni. Corp. Insured)  | 330000  | 321126  |
|  4% 8/1/48 (Assured Guaranty Muni. Corp. Insured)  | 545000  | 525365  |
|  Southern California Wtr. Replenishment Fing. Auth. Series 2018 A, 5% 8/1/48  | 3615000  | 3893940  |
|  Stockton Unified School District Gen. Oblig.:  |  |  |
|  Series 2011, 0% 8/1/42 (Assured Guaranty Muni. Corp. Insured)  | 300000  | 128236  |
|  Series 2012 A, 5% 8/1/42 (Assured Guaranty Muni. Corp. Insured)  | 3000000  | 3075175  |
|  Successor Agcy. to the Inland Valley Dev. Agcy. Tax Allocation Series 2014 A, 5.25% 9/1/37  | 1215000  | 1238680  |
|  Sunnyvale School District Series 2019 C, 3% 9/1/44  | 1000000  | 816231  |
|  Sweetwater Union High School District Series 2016, 4% 8/1/47  | 1000000  | 967533  |
|  Temecula Valley Unified School District Gen. Oblig. Series 2021 D:  |  |  |
|  3% 8/1/44  | 1000000  | 818006  |
|  3% 8/1/47  | 1000000  | 795261  |
|  Tobacco Securitization Auth. Southern California Tobacco Settlement:  |  |  |
|  Series 2006 2C, 0% 6/1/46  | 2065000  | 318170  |
|  Series 2019 A1:  |  |  |
|  5% 6/1/25 <br>| 420000  | 433153  |
|  5% 6/1/27 <br>| 295000  | 310795  |
|  5% 6/1/28 <br>| 85000  | 90356  |
|  5% 6/1/29 <br>| 55000  | 58949  |
|  5% 6/1/48 <br>| 770000  | 785940  |
|  Series 2019 B2, 0% 6/1/54  | 300000  | 53811  |
|  Twin Rivers Unified School District Series 2008, 0% 8/1/32 (Assured Guaranty Muni. Corp. Insured)  | 500000  | 358176  |
|  Univ. of California Regents Med. Ctr. Pool Rev. Series 2022 P:  |  |  |
|  3.5% 5/15/54  | 1950000  | 1644890  |
|  5% 5/15/47  | 8775000  | 9475472  |
|  Univ. of California Revs.:  |  |  |
|  Series 2013 AI, 5% 5/15/33  | 2750000  | 2779485  |
|  Series 2016 K, 5% 5/15/35  | 1445000  | 1540689  |
|  Series 2017 AV, 5% 5/15/36  | 90000  | 97484  |
|  Series 2017 M, 5% 5/15/47  | 1475000  | 1557476  |
|  Series 2018 AZ, 5.25% 5/15/58  | 750000  | 803262  |
|  Series 2018 O, 5.5% 5/15/58  | 4425000  | 4784218  |
|  Val Verde Unified School District:  |  |  |
|  Series 2021 B, 4% 8/1/51 (Assured Guaranty Muni. Corp. Insured)  | 2000000  | 1912509  |
|  Series 2021 F, 3% 8/1/47 (Assured Guaranty Muni. Corp. Insured)  | 1170000  | 899517  |
|  Washington Township Health Care District Gen. Oblig. Series 2013 A, 5.5% 8/1/38  | 545000  | 563601  |
|  Washington Township Health Care District Rev.:  |  |  |
|  Series 2017 A, 5% 7/1/35  | 50000  | 50864  |
|  Series 2017 B:  |  |  |
|  5% 7/1/29 <br>| 30000  | 31045  |
|  5% 7/1/30 <br>| 60000  | 62062  |
|  West Contra Costa Healthcare District Series 2021, 3% 7/1/42  | 250000  | 203842  |
|  West Contra Costa Unified School District Series 2009 C1, 0% 8/1/29  | 730000  | 587438  |
|  West Sacramento Fing. Auth. Spl. Tax Rev. Series 2006 A, 5% 9/1/34  | 280000  | 314208  |
|  TOTAL CALIFORNIA  |  | 634111110  |
| Colorado - 2.1%  |  |  |
|  Adams 12 Five Star Schools Series 2016 B, 5% 12/15/30  | 1175000  | 1274196  |
|  Aerotropolis Reg'l. Trans. Auth. Spl. Rev. Series 2021, 4.375% 12/1/52  | 1945000  | 1434865  |
|  Arista Metropolitan District Broomfield Gen. Oblig. and Spl. Rev. Series 2018 A, 5.125% 12/1/48  | 1055000  | 960212  |
|  Arkansas River Pwr. Auth. Rev. Series 2018 A:  |  |  |
|  5% 10/1/38  | 385000  | 390408  |
|  5% 10/1/43  | 1105000  | 1110867  |
|  Berthoud-Heritage Metropolitan District No. 1 Ltd. Tax Supported Rev. Series 2019, 5.625% 12/1/48  | 1215000  | 1139951  |
|  Canyons Metropolitan District No. 5 Series 2017 A, 6.125% 12/1/47  | 500000  | 476982  |
|  Cherry Creek School District No. 5 Gen. Oblig. Series 2021, 5% 12/15/38  | 1700000  | 1910136  |
|  Colorado Ctfs. of Prtn.:  |  |  |
|  Series 2021 A:  |  |  |
|  4% 12/15/36 <br>| 680000  | 697452  |
|  4% 12/15/38 <br>| 680000  | 688215  |
|  Series 2022:  |  |  |
|  6% 12/15/39 <br>| 1575000  | 1887706  |
|  6% 12/15/40 <br>| 7140000  | 8512651  |
|  6% 12/15/41 <br>| 7500000  | 8912496  |
|  Colorado Edl. & Cultural Facilities Auth.:  |  |  |
|  (American Academy Proj.) Series 2020:  |  |  |
|  5% 12/1/40 <br>| 755000  | 787836  |
|  5% 12/1/50 <br>| 3870000  | 3963570  |
|  5% 12/1/55 <br>| 305000  | 311133  |
|  (Highline Academy Charter School Proj.) Series 2022, 5.25% 12/1/52  | 1825000  | 1893202  |
|  (Pinnacle Charter School, Inc. Proj.) Series 2021:  |  |  |
|  4% 12/1/36 <br>| 290000  | 282110  |
|  4% 12/1/41 <br>| 355000  | 330660  |
|  (Prospect Ridge Academy Proj.) Series 2020 A:  |  |  |
|  5% 3/15/40 <br>| 370000  | 385085  |
|  5% 3/15/50 <br>| 765000  | 782535  |
|  5% 3/15/55 <br>| 1130000  | 1148853  |
|  (Thomas MacLaren State Charter School Proj.) Series 2020 A, 5% 6/1/35  | 110000  | 114100  |
|  (Windsor Charter Academy Proj.) Series 2020:  |  |  |
|  4% 9/1/50 <br>| 100000  | 88854  |
|  4% 9/1/55 <br>| 185000  | 159982  |
|  Series 2022 A:  |  |  |
|  4% 6/1/52 <br>| 250000  | 225339  |
|  4% 6/1/56 <br>| 250000  | 220793  |
|  Colorado Edl. & Cultural Facilities Auth. Rev.:  |  |  |
|  (DCS Montessori Charter School Proj.) Series 2012, 5% 7/15/37  | 115000  | 115132  |
|  (Liberty Common Proj.) Series 2014 A:  |  |  |
|  5% 1/15/29 <br>| 40000  | 40625  |
|  5% 1/15/39 <br>| 155000  | 156365  |
|  5% 1/15/44 <br>| 125000  | 125886  |
|  (Peak to Peak Charter School Proj.) Series 2014:  |  |  |
|  5% 8/15/30 <br>| 100000  | 102958  |
|  5% 8/15/34 <br>| 105000  | 107747  |
|  (Stargate Charter School Proj.) Series 2018 A:  |  |  |
|  4% 12/1/48 <br>| 730000  | 660274  |
|  5% 12/1/38 <br>| 285000  | 298510  |
|  (The Classical Academy Proj.):  |  |  |
|  Series 2014, 5% 12/1/31 <br>| 365000  | 374154  |
|  Series 2015 A, 5% 12/1/38 <br>| 215000  | 218178  |
|  (Twin Peaks Charter Academy Proj.) Series 2014, 5% 11/15/31  | 395000  | 404850  |
|  (Univ. of Denver Proj.) Series 2017 A:  |  |  |
|  5% 3/1/43 <br>| 890000  | 934579  |
|  5% 3/1/47 <br>| 1180000  | 1234598  |
|  Series 2013, 5% 6/1/29  | 190000  | 191313  |
|  Series 2018:  |  |  |
|  5% 4/1/38 <br>| 65000  | 67017  |
|  5% 4/1/48 <br>| 75000  | 75954  |
|  5% 4/1/53 <br>| 80000  | 80794  |
|  Colorado Health Facilities Auth. Rev.:  |  |  |
|  (Mental Health Ctr. of Denver Proj.) Series 2014, 5.75% 2/1/44  | 445000  | 449152  |
|  (Sunny Vista Living Ctr. Proj.) Series 2015 A:  |  |  |
|  5.75% 12/1/35 (f) <br>| 215000  | 164829  |
|  6.125% 12/1/45 (f) <br>| 950000  | 681709  |
|  6.25% 12/1/50 (f) <br>| 790000  | 560951  |
|  (The Evangelical Lutheran Good Samaritan Society Proj.) Series 2013, 5.625% 6/1/43 (Pre-Refunded to 6/1/23 @ 100)  | 255000  | 258591  |
|  Series 2013 A:  |  |  |
|  5% 1/1/44 (Pre-Refunded to 1/1/24 @ 100) <br>| 985000  | 1009469  |
|  5.25% 1/1/40 (Pre-Refunded to 1/1/23 @ 100) <br>| 2120000  | 2124519  |
|  Series 2013, 8% 8/1/43  | 1340000  | 1359451  |
|  Colorado Health Facilities Auth. Rev. Bonds:  |  |  |
|  (Adventist Health Sys. / Sunbelt Obligated Group) Series 2016 A, 5% 11/15/41  | 3610000  | 3741468  |
|  (Bethesda Proj.) Series 2018 A1, 5% 9/15/48  | 1195000  | 1122466  |
|  (Boulder Cmnty. Health Proj.) Series 2020:  |  |  |
|  4% 10/1/35 <br>| 160000  | 158965  |
|  4% 10/1/37 <br>| 95000  | 92682  |
|  4% 10/1/38 <br>| 70000  | 67835  |
|  4% 10/1/39 <br>| 70000  | 67479  |
|  4% 10/1/40 <br>| 60000  | 57409  |
|  5% 10/1/32 <br>| 215000  | 232802  |
|  5% 10/1/33 <br>| 210000  | 226135  |
|  5% 10/1/34 <br>| 220000  | 235781  |
|  (Frasier Meadows Retirement Cmnty. Proj.) Series 2017 B:  |  |  |
|  5% 5/15/33 <br>| 210000  | 212162  |
|  5% 5/15/39 <br>| 315000  | 318243  |
|  (Frasier Proj.) Series 2023 A:  |  |  |
|  4% 5/15/31 <br>| 50000  | 45169  |
|  4% 5/15/32 <br>| 60000  | 53458  |
|  4% 5/15/33 <br>| 60000  | 52714  |
|  4% 5/15/34 <br>| 65000  | 56401  |
|  4% 5/15/35 <br>| 65000  | 55451  |
|  4% 5/15/36 <br>| 70000  | 58974  |
|  4% 5/15/41 <br>| 115000  | 91321  |
|  4% 5/15/48 <br>| 180000  | 131979  |
|  (Parkview Episcopal Med. Ctr., Co. Proj.) Series 2017:  |  |  |
|  5% 9/1/23 <br>| 15000  | 15210  |
|  5% 9/1/24 <br>| 15000  | 15398  |
|  5% 9/1/25 <br>| 15000  | 15561  |
|  5% 9/1/28 <br>| 125000  | 131985  |
|  (Parkview Med. Ctr., Inc. Proj.) Series 2016:  |  |  |
|  4% 9/1/35 <br>| 200000  | 191312  |
|  4% 9/1/36 <br>| 160000  | 151590  |
|  5% 9/1/46 <br>| 1090000  | 1100741  |
|  Bonds:  |  |  |
|  Series 2018 B, 5%, tender 11/20/25 (b) <br>| 65000  | 68488  |
|  Series 2019 B, 5%, tender 8/1/26 (b) <br>| 4240000  | 4414712  |
|  Series 2018 A:  |  |  |
|  4% 11/15/48 <br>| 60000  | 55495  |
|  5% 12/1/48 <br>| 250000  | 248344  |
|  Series 2019 A:  |  |  |
|  4% 1/1/36 <br>| 250000  | 253674  |
|  4% 1/1/37 <br>| 1975000  | 1998944  |
|  4% 11/15/38 <br>| 3230000  | 3235720  |
|  4% 11/1/39 <br>| 225000  | 216351  |
|  4% 11/15/43 <br>| 1000000  | 973264  |
|  5% 11/1/25 <br>| 1305000  | 1376102  |
|  5% 11/1/26 <br>| 95000  | 101525  |
|  5% 11/1/39 <br>| 2005000  | 2064827  |
|  5% 11/15/39 <br>| 1770000  | 1905122  |
|  5% 11/1/44 <br>| 2950000  | 2989454  |
|  Series 2019 A1, 4% 8/1/44  | 6100000  | 5290961  |
|  Series 2019 A2:  |  |  |
|  3.25% 8/1/49 <br>| 250000  | 178916  |
|  4% 8/1/49 <br>| 6705000  | 5592964  |
|  5% 8/1/37 <br>| 1000000  | 1037625  |
|  5% 8/1/38 <br>| 2790000  | 2887193  |
|  5% 8/1/44 <br>| 13445000  | 13618957  |
|  Series 2019 B, 4% 1/1/40  | 250000  | 246937  |
|  Series 2020 A, 4% 9/1/50  | 660000  | 539732  |
|  Series 2021 A, 4% 11/15/50  | 690000  | 633408  |
|  Series 2022 A:  |  |  |
|  5.25% 11/1/52 <br>| 2680000  | 2758045  |
|  5.5% 11/1/47 <br>| 2225000  | 2377725  |
|  Colorado High Performance Trans. Enterprise C-470 Express Lanes Sr. Rev. Series 2017:  |  |  |
|  5% 12/31/47  | 3670000  | 3676451  |
|  5% 12/31/51  | 2625000  | 2626476  |
|  5% 12/31/56  | 3260000  | 3249800  |
|  Colorado Hsg. & Fin. Auth.:  |  |  |
|  Series 2019 F, 4.25% 11/1/49  | 385000  | 387804  |
|  Series 2019 H, 4.25% 11/1/49  | 995000  | 1002448  |
|  Series 2021 B, 3% 5/1/51  | 2045000  | 1980699  |
|  Colorado Int'l. Ctr. Metropolitan District No. 14 Ltd. Tax Gen. Oblig. Series 2018, 5.875% 12/1/46  | 990000  | 929573  |
|  Colorado Reg'l. Trans. District (Denver Transit Partners Eagle P3 Proj.):  |  |  |
|  Series 2020 A:  |  |  |
|  3% 7/15/37 <br>| 240000  | 193821  |
|  4% 1/15/33 <br>| 75000  | 73266  |
|  4% 7/15/34 <br>| 150000  | 144406  |
|  4% 7/15/36 <br>| 365000  | 343708  |
|  5% 7/15/32 <br>| 80000  | 85553  |
|  Series 2020:  |  |  |
|  4% 7/15/33 <br>| 75000  | 72979  |
|  4% 7/15/38 <br>| 90000  | 83077  |
|  4% 7/15/39 <br>| 300000  | 273926  |
|  4% 7/15/40 <br>| 525000  | 473659  |
|  5% 1/15/30 <br>| 50000  | 53347  |
|  5% 1/15/31 <br>| 60000  | 64437  |
|  5% 1/15/32 <br>| 80000  | 85664  |
|  Colorado Reg'l. Trans. District Ctfs. of Prtn. Series 2014 A, 4.5% 6/1/44 (Pre-Refunded to 6/1/23 @ 100)  | 925000  | 933516  |
|  Colorado Reg'l. Trans. District Sales Tax Rev.:  |  |  |
|  (FasTracks Proj.) Series 2016 A, 5% 11/1/36  | 585000  | 619642  |
|  (Fastracks Proj.) Series 2016 A, 5% 11/1/46  | 1475000  | 1528360  |
|  (FasTracks Proj.) Series 2017 A, 5% 11/1/40  | 2135000  | 2240643  |
|  (Fastracks Proj.) Series 2021 B, 5% 11/1/28  | 2710000  | 3042702  |
|  Series 2013 A, 5% 11/1/31  | 1310000  | 1524449  |
|  Colorado Springs Utils. Rev. Series 2022 B, 5% 11/15/47  | 1250000  | 1383339  |
|  Colorado State Bldg. Excellent Schools Today Ctfs. of Prtn.:  |  |  |
|  Series 2018 N:  |  |  |
|  5% 3/15/37 <br>| 130000  | 139702  |
|  5% 3/15/38 <br>| 130000  | 139068  |
|  Series 2021 S, 4% 3/15/46  | 3295000  | 3178941  |
|  Colorado State Univ. Board of Governors Enterprise Sys. Rev.:  |  |  |
|  Series 2016 B, 5% 3/1/41 (Pre-Refunded to 3/1/27 @ 100)  | 320000  | 349792  |
|  Series 2021 B, 5% 3/1/25  | 640000  | 672079  |
|  Denver City & County Arpt. Rev.:  |  |  |
|  Series 2013 B, 5% 11/15/43  | 365000  | 367817  |
|  Series 2017 A:  |  |  |
|  5% 11/15/26 (d) <br>| 420000  | 445247  |
|  5% 11/15/27 (d) <br>| 355000  | 379657  |
|  Series 2018 A:  |  |  |
|  4% 12/1/43 (d) <br>| 1765000  | 1631699  |
|  5% 12/1/25 (d) <br>| 750000  | 783847  |
|  5% 12/1/30 (d) <br>| 945000  | 1030645  |
|  5% 12/1/34 (d) <br>| 1120000  | 1216499  |
|  5% 12/1/36 (d) <br>| 500000  | 540353  |
|  5% 12/1/36 (d) <br>| 605000  | 630749  |
|  5% 12/1/37 (d) <br>| 1215000  | 1263273  |
|  5% 12/1/43 (d) <br>| 875000  | 893029  |
|  5% 12/1/48 (d) <br>| 705000  | 714985  |
|  5.25% 12/1/48 (d) <br>| 4130000  | 4263625  |
|  Series 2022 A:  |  |  |
|  4.125% 11/15/47 (d) <br>| 740000  | 691444  |
|  4.125% 11/15/53 (d) <br>| 695000  | 639117  |
|  5.5% 11/15/35 (d) <br>| 825000  | 922616  |
|  5.5% 11/15/38 (d) <br>| 1250000  | 1382087  |
|  5.5% 11/15/40 (d) <br>| 750000  | 820947  |
|  Denver City & County Board Wtr. Rev.:  |  |  |
|  Series 2020 A:  |  |  |
|  5% 9/15/45 <br>| 4065000  | 4474422  |
|  5% 9/15/46 <br>| 6240000  | 6855852  |
|  Series 2020 B:  |  |  |
|  5% 9/15/28 <br>| 1850000  | 2083320  |
|  5% 9/15/29 <br>| 3440000  | 3934610  |
|  Denver City & County Ctfs. of Prtn. Series 2018 A, 5.375% 6/1/43  | 1375000  | 1453198  |
|  Denver City & County School District # 1:  |  |  |
|  Series 2016, 4% 12/1/31  | 750000  | 774263  |
|  Series 2021, 4% 12/1/35  | 800000  | 822244  |
|  Denver City & County Spl. Facilities Arpt. Rev. (United Airlines, Inc. Proj.) Series 2017, 5% 10/1/32 (d)  | 4825000  | 4779364  |
|  Denver Convention Ctr. Hotel Auth. Series 2016:  |  |  |
|  5% 12/1/35  | 205000  | 206276  |
|  5% 12/1/40  | 345000  | 341760  |
|  Denver Health & Hosp. Auth. Healthcare Rev.:  |  |  |
|  Series 2014 A, 5.25% 12/1/45  | 255000  | 256499  |
|  Series 2019 A, 4% 12/1/38  | 165000  | 146735  |
|  E-470 Pub. Hwy. Auth. Rev. Series 2020 A:  |  |  |
|  5% 9/1/36  | 1695000  | 1861699  |
|  5% 9/1/40  | 1980000  | 2000693  |
|  Eagle County School District Series 2017:  |  |  |
|  5% 12/1/34  | 540000  | 577791  |
|  5% 12/1/35  | 1065000  | 1137880  |
|  Fruita Healthcare Rev. (The Colorado Canyons Hosp. and Med. Ctr. Proj.) Series 2017 A, 5.5% 1/1/48 (f)  | 250000  | 240265  |
|  Hogback Metropolitan District Series 2021 A, 5% 12/1/51  | 500000  | 420650  |
|  Johnstown Plaza Metropolitan District Series 2022, 4.25% 12/1/46  | 500000  | 395030  |
|  Painted Prairie Metropolitan District # 2 Series 2018, 5.25% 12/1/48  | 500000  | 455213  |
|  Park Creek Metropolitan District Sr. Ltd. Property Tax Supported Rev.:  |  |  |
|  Series 2015 A:  |  |  |
|  5% 12/1/45 <br>| 1125000  | 1161505  |
|  5% 12/1/45 <br>| 2740000  | 2812509  |
|  Series 2016 A:  |  |  |
|  5% 12/1/30 <br>| 310000  | 330614  |
|  5% 12/1/31 <br>| 350000  | 372193  |
|  5% 12/1/32 <br>| 370000  | 392606  |
|  5% 12/1/33 <br>| 375000  | 396904  |
|  5% 12/1/34 <br>| 305000  | 321532  |
|  5% 12/1/35 <br>| 345000  | 363306  |
|  Series 2019 A:  |  |  |
|  4% 12/1/39 (Assured Guaranty Muni. Corp. Insured) <br>| 250000  | 250481  |
|  4% 12/1/46 (Assured Guaranty Muni. Corp. Insured) <br>| 500000  | 470603  |
|  Peak Metropolitan District # 1 Series 2021 A, 5% 12/1/51 (f)  | 500000  | 425623  |
|  Pub. Auth. For Colorado Energy Rev. Series 2008:  |  |  |
|  6.25% 11/15/28  | 1100000  | 1176604  |
|  6.5% 11/15/38  | 5840000  | 7024925  |
|  Pueblo Urban Renewal Auth. Tax Increment Rev. (Evraz Proj.) Series 2021 A, 4.75% 12/1/45 (f)  | 820000  | 660765  |
|  Rampart Range Metropolitan District No. 5 Ltd. Tax Supported & Spl. Rev. Series 2021, 4% 12/1/51  | 1250000  | 840361  |
|  Riverwalk Metropolitan District No. 2 Rev. Series 2022 A, 5% 12/1/52  | 890000  | 748497  |
|  Univ. of Colorado Enterprise Sys. Rev. Bonds:  |  |  |
|  Series 2019 C, 2%, tender 10/15/24 (b)  | 430000  | 420830  |
|  Series 2021 C3A, 2%, tender 10/15/25 (b)  | 795000  | 770087  |
|  Series 2021 C3B, 2%, tender 10/15/26 (b)  | 675000  | 644776  |
|  Vauxmont Metropolitan District:  |  |  |
|  Series 2019:  |  |  |
|  5% 12/15/26 (Assured Guaranty Muni. Corp. Insured) <br>| 9000  | 9639  |
|  5% 12/15/27 <br>| 12000  | 12862  |
|  5% 12/15/28 (Assured Guaranty Muni. Corp. Insured) <br>| 11000  | 11798  |
|  5% 12/15/29 (Assured Guaranty Muni. Corp. Insured) <br>| 11000  | 11795  |
|  5% 12/15/32 (Assured Guaranty Muni. Corp. Insured) <br>| 127000  | 135929  |
|  Series 2020:  |  |  |
|  5% 12/1/22 (Assured Guaranty Muni. Corp. Insured) <br>| 11000  | 11000  |
|  5% 12/1/30 (Assured Guaranty Muni. Corp. Insured) <br>| 20000  | 22094  |
|  5% 12/1/31 (Assured Guaranty Muni. Corp. Insured) <br>| 21000  | 23137  |
|  5% 12/1/32 (Assured Guaranty Muni. Corp. Insured) <br>| 128000  | 140701  |
|  5% 12/1/33 (Assured Guaranty Muni. Corp. Insured) <br>| 203000  | 222216  |
|  5% 12/1/34 (Assured Guaranty Muni. Corp. Insured) <br>| 26000  | 28277  |
|  5% 12/1/35 (Assured Guaranty Muni. Corp. Insured) <br>| 54000  | 58477  |
|  5% 12/1/50 (Assured Guaranty Muni. Corp. Insured) <br>| 779000  | 797242  |
|  Villages at Castle Rock Metropolitan District Series 2021 A, 4.125% 12/1/51 (f)  | 500000  | 351614  |
|  TOTAL COLORADO  |  | 220463199  |
| Connecticut - 0.8%  |  |  |
|  Bridgeport Gen. Oblig.:  |  |  |
|  Series 2016 D:  |  |  |
|  5% 8/15/33 (Assured Guaranty Muni. Corp. Insured) <br>| 500000  | 532169  |
|  5% 8/15/34 (Assured Guaranty Muni. Corp. Insured) <br>| 500000  | 529511  |
|  5% 8/15/35 (Assured Guaranty Muni. Corp. Insured) <br>| 250000  | 263566  |
|  5% 8/15/36 (Assured Guaranty Muni. Corp. Insured) <br>| 250000  | 263043  |
|  Series 2019 A:  |  |  |
|  5% 2/1/23 (Build America Mutual Assurance Insured) <br>| 40000  | 40162  |
|  5% 2/1/25 (Build America Mutual Assurance Insured) <br>| 45000  | 47022  |
|  Connecticut Arpt. Auth. Customer Facility Charge Rev. (Ground Trans. Ctr. Proj.) Series 2019 A, 5% 7/1/49 (d)  | 480000  | 477159  |
|  Connecticut Gen. Oblig.:  |  |  |
|  Series 2015 A, 5% 3/15/29  | 740000  | 776245  |
|  Series 2016 B:  |  |  |
|  5% 5/15/25 <br>| 65000  | 68620  |
|  5% 5/15/26 <br>| 905000  | 972941  |
|  Series 2016 E, 5% 10/15/34  | 1290000  | 1374283  |
|  Series 2017 A:  |  |  |
|  5% 4/15/33 <br>| 15000  | 16149  |
|  5% 4/15/35 <br>| 750000  | 800149  |
|  Series 2018 A:  |  |  |
|  5% 4/15/35 <br>| 1180000  | 1274815  |
|  5% 4/15/38 <br>| 65000  | 69403  |
|  Series 2018 C, 5% 6/15/28  | 250000  | 278554  |
|  Series 2018 E:  |  |  |
|  5% 9/15/35 <br>| 305000  | 330726  |
|  5% 9/15/37 <br>| 275000  | 295935  |
|  Series 2018 F:  |  |  |
|  5% 9/15/23 <br>| 320000  | 326122  |
|  5% 9/15/24 <br>| 395000  | 411567  |
|  5% 9/15/25 <br>| 395000  | 419776  |
|  5% 9/15/27 <br>| 55000  | 60537  |
|  5% 9/15/28 <br>| 1300000  | 1454329  |
|  Series 2019 A:  |  |  |
|  4% 4/15/38 <br>| 325000  | 328103  |
|  5% 4/15/26 <br>| 40000  | 42936  |
|  5% 4/15/34 <br>| 480000  | 526050  |
|  5% 4/15/36 <br>| 805000  | 874486  |
|  5% 4/15/39 <br>| 400000  | 430133  |
|  Series 2020 A:  |  |  |
|  4% 1/15/33 <br>| 470000  | 490706  |
|  4% 1/15/34 <br>| 535000  | 555866  |
|  5% 1/15/40 <br>| 285000  | 306142  |
|  Series 2021 A:  |  |  |
|  3% 1/15/37 <br>| 1000000  | 879589  |
|  3% 1/15/40 <br>| 755000  | 628235  |
|  Series 2021 D, 5% 7/15/24  | 805000  | 835773  |
|  Series 2022 C:  |  |  |
|  5% 6/15/32 <br>| 150000  | 173681  |
|  5% 6/15/33 <br>| 75000  | 86133  |
|  5% 6/15/34 <br>| 100000  | 113510  |
|  5% 6/15/35 <br>| 75000  | 84549  |
|  5% 6/15/36 <br>| 125000  | 140244  |
|  5% 6/15/37 <br>| 50000  | 55767  |
|  5% 6/15/38 <br>| 75000  | 83153  |
|  5% 6/15/40 <br>| 300000  | 328814  |
|  Series 2022 D:  |  |  |
|  5% 9/15/27 <br>| 1000000  | 1100679  |
|  5% 9/15/28 <br>| 705000  | 788694  |
|  5% 9/15/32 <br>| 75000  | 87037  |
|  Connecticut Health & Edl. Facilities Auth. Rev.:  |  |  |
|  (Church Home of Hartford, Inc. Proj.) Series 2016 A:  |  |  |
|  5% 9/1/46 (f) <br>| 190000  | 171422  |
|  5% 9/1/53 (f) <br>| 230000  | 202533  |
|  (Sacred Heart Univ., CT. Proj.) Series 2017 I-1:  |  |  |
|  5% 7/1/26 <br>| 60000  | 63978  |
|  5% 7/1/27 <br>| 40000  | 43188  |
|  5% 7/1/28 <br>| 80000  | 85801  |
|  5% 7/1/29 <br>| 50000  | 53593  |
|  5% 7/1/34 <br>| 60000  | 63441  |
|  5% 7/1/35 <br>| 65000  | 68342  |
|  5% 7/1/36 <br>| 20000  | 20933  |
|  5% 7/1/37 <br>| 85000  | 88730  |
|  5% 7/1/42 <br>| 425000  | 437961  |
|  Bonds Series 2020 B:  |  |  |
|  5%, tender 1/1/25 (b) <br>| 155000  | 161106  |
|  5%, tender 1/1/27 (b) <br>| 380000  | 403053  |
|  Series 2016 F:  |  |  |
|  5% 7/1/25 <br>| 635000  | 643248  |
|  5% 7/1/31 <br>| 555000  | 556599  |
|  5% 7/1/32 <br>| 580000  | 579539  |
|  5% 7/1/33 <br>| 365000  | 361734  |
|  5% 7/1/34 <br>| 255000  | 250811  |
|  5% 7/1/43 <br>| 2340000  | 2210572  |
|  Series 2016 K, 4% 7/1/46  | 1325000  | 1154620  |
|  Series 2019 A:  |  |  |
|  4% 7/1/49 <br>| 1365000  | 1160237  |
|  5% 7/1/26 (f) <br>| 845000  | 828950  |
|  5% 7/1/27 (f) <br>| 490000  | 478077  |
|  5% 7/1/49 (f) <br>| 1125000  | 938651  |
|  Series 2019 Q-1:  |  |  |
|  5% 11/1/24 <br>| 30000  | 31275  |
|  5% 11/1/26 <br>| 645000  | 696957  |
|  Series 2019, 4% 7/1/44  | 955000  | 775283  |
|  Series 2020 A:  |  |  |
|  4% 7/1/39 <br>| 170000  | 161811  |
|  4% 7/1/40 <br>| 940000  | 883267  |
|  Series 2020 C, 4% 7/1/45  | 235000  | 216571  |
|  Series 2020 K:  |  |  |
|  4% 7/1/45 <br>| 185000  | 170095  |
|  5% 7/1/37 <br>| 55000  | 58814  |
|  5% 7/1/38 <br>| 85000  | 90621  |
|  5% 7/1/39 <br>| 85000  | 90266  |
|  5% 7/1/40 <br>| 65000  | 68732  |
|  Series 2021 G:  |  |  |
|  4% 3/1/46 <br>| 795000  | 766272  |
|  4% 3/1/51 <br>| 1280000  | 1210032  |
|  Series 2021 S, 4% 6/1/51  | 730000  | 669136  |
|  Series 2022 M:  |  |  |
|  4% 7/1/37 <br>| 195000  | 183007  |
|  4% 7/1/39 <br>| 70000  | 67911  |
|  4% 7/1/39 <br>| 1400000  | 1290627  |
|  4% 7/1/40 <br>| 75000  | 72061  |
|  4% 7/1/52 <br>| 1390000  | 1245886  |
|  5% 7/1/32 <br>| 100000  | 109738  |
|  Series A, 5% 7/1/26  | 65000  | 66908  |
|  Series K1:  |  |  |
|  5% 7/1/27 <br>| 60000  | 61007  |
|  5% 7/1/29 <br>| 155000  | 157587  |
|  5% 7/1/30 <br>| 120000  | 121761  |
|  5% 7/1/31 <br>| 1075000  | 1087611  |
|  5% 7/1/32 <br>| 70000  | 70646  |
|  5% 7/1/33 <br>| 245000  | 246700  |
|  5% 7/1/34 <br>| 1390000  | 1394717  |
|  5% 7/1/35 <br>| 140000  | 139778  |
|  Series K3, 5% 7/1/43  | 1475000  | 1410482  |
|  Series L1, 4% 7/1/23  | 95000  | 95354  |
|  Series N:  |  |  |
|  4% 7/1/39 <br>| 1050000  | 893093  |
|  4% 7/1/49 <br>| 1370000  | 1070215  |
|  5% 7/1/32 <br>| 30000  | 30455  |
|  5% 7/1/33 <br>| 30000  | 30341  |
|  5% 7/1/34 <br>| 15000  | 15092  |
|  Series R:  |  |  |
|  4% 7/1/36 <br>| 65000  | 65193  |
|  5% 6/1/32 <br>| 35000  | 38984  |
|  5% 6/1/33 <br>| 25000  | 27663  |
|  5% 6/1/34 <br>| 35000  | 38509  |
|  5% 6/1/35 <br>| 55000  | 59980  |
|  Connecticut Higher Ed. Supplemental Ln. Auth. Rev. Series 2019 B, 3.25% 11/15/35 (d)  | 185000  | 161094  |
|  Connecticut Hsg. Fin. Auth.:  |  |  |
|  Series 2015 C1, 3.5% 11/15/45  | 130000  | 129379  |
|  Series 2019 B1, 4% 5/15/49  | 65000  | 64977  |
|  Series 2021 B1, 3% 11/15/49  | 1090000  | 1051383  |
|  Series C:  |  |  |
|  5% 5/15/23 (d) <br>| 175000  | 176583  |
|  5% 11/15/23 (d) <br>| 845000  | 860233  |
|  5% 5/15/24 (d) <br>| 1520000  | 1558816  |
|  5% 11/15/24 (d) <br>| 705000  | 728734  |
|  5% 11/15/25 (d) <br>| 630000  | 659302  |
|  Connecticut Spl. Tax Oblig. Trans. Infrastructure Rev.:  |  |  |
|  Series 2012 A, 5% 1/1/24  | 25000  | 25051  |
|  Series 2014 A, 5% 9/1/30  | 750000  | 778057  |
|  Series 2016 A:  |  |  |
|  5% 9/1/31 <br>| 1600000  | 1717553  |
|  5% 9/1/33 <br>| 1300000  | 1393956  |
|  Series 2018 A:  |  |  |
|  5% 1/1/33 <br>| 1860000  | 2043179  |
|  5% 1/1/36 <br>| 500000  | 541850  |
|  5% 1/1/38 <br>| 1865000  | 2008489  |
|  Series 2020 A:  |  |  |
|  3.125% 5/1/40 <br>| 500000  | 420606  |
|  5% 5/1/32 <br>| 665000  | 758873  |
|  5% 5/1/34 <br>| 580000  | 654912  |
|  5% 5/1/35 <br>| 1025000  | 1149150  |
|  Series 2021 A:  |  |  |
|  5% 5/1/33 <br>| 1175000  | 1351020  |
|  5% 5/1/35 <br>| 1900000  | 2157289  |
|  Series 2022 A, 5.25% 7/1/40  | 4000000  | 4531923  |
|  Series A, 5% 9/1/33  | 320000  | 331092  |
|  Connecticut State Revolving Fund Gen. Rev. Series 2017 A:  |  |  |
|  5% 5/1/33  | 625000  | 680509  |
|  5% 5/1/35  | 590000  | 638058  |
|  Hamden Gen. Oblig.:  |  |  |
|  (Whitney Ctr. Proj.) Series 2019:  |  |  |
|  5% 1/1/40 <br>| 1265000  | 1102766  |
|  5% 1/1/50 <br>| 1330000  | 1075859  |
|  Series 2021:  |  |  |
|  5% 8/15/28 <br>| 170000  | 185240  |
|  5% 8/15/30 <br>| 80000  | 88102  |
|  5% 8/15/32 <br>| 15000  | 16505  |
|  Hartford County Metropolitan District Gen. Oblig. Series 2016 C:  |  |  |
|  5% 11/1/28 (Assured Guaranty Muni. Corp. Insured)  | 915000  | 986399  |
|  5% 11/1/29 (Assured Guaranty Muni. Corp. Insured)  | 505000  | 543561  |
|  5% 11/1/30 (Assured Guaranty Muni. Corp. Insured)  | 500000  | 537988  |
|  Hartford Gen. Oblig. Series 2015 C, 5% 7/15/32 (Assured Guaranty Muni. Corp. Insured)  | 800000  | 839370  |
|  Hbr. Point Infrastructure Impt. District Series 2017:  |  |  |
|  5% 4/1/30 (f)  | 690000  | 695025  |
|  5% 4/1/39 (f)  | 1820000  | 1769021  |
|  Mohegan Tribal Fin. Auth. Conn Series 2015, 7% 2/1/45 (f)  | 1960000  | 1966230  |
|  New Britain Gen. Oblig. Series 2017 C, 5% 3/1/29 (Assured Guaranty Muni. Corp. Insured)  | 130000  | 139797  |
|  New Haven Gen. Oblig. Series 2016 A:  |  |  |
|  5% 8/15/25 (Assured Guaranty Muni. Corp. Insured)  | 30000  | 31580  |
|  5% 8/15/32 (Assured Guaranty Muni. Corp. Insured)  | 210000  | 223897  |
|  Steelpointe Hbr. Infrastructure Impt. District (Steelpointe Hbr. Proj.) Series 2021, 4% 4/1/51 (f)  | 640000  | 507580  |
|  Stratford Gen. Oblig. Series 2019, 5% 1/1/28  | 250000  | 268434  |
|  Univ. of Connecticut Gen. Oblig. Series 2019 A:  |  |  |
|  5% 11/1/25  | 660000  | 702414  |
|  5% 11/1/35  | 500000  | 542774  |
|  Waterbury Gen. Oblig. Series 2013, 5% 12/1/32 (Pre-Refunded to 12/1/23 @ 100)  | 120000  | 122880  |
|  West Haven Gen. Oblig. Series 2020:  |  |  |
|  4% 3/15/35  | 197000  | 202554  |
|  4% 3/15/40  | 160000  | 158203  |
|  TOTAL CONNECTICUT  |  | 86308867  |
| Delaware - 0.3%  |  |  |
|  Delaware Econ. Dev. Auth. Retirement Communitites Rev. Series 2018 B, 5% 11/15/48  | 2495000  | 2407076  |
|  Delaware Econ. Dev. Auth. Rev. (Newark Charter School, Inc. Proj.) Series 2016 A:  |  |  |
|  5% 9/1/36  | 50000  | 51271  |
|  5% 9/1/46  | 100000  | 100644  |
|  Delaware Gen. Oblig.:  |  |  |
|  Series 2019, 5% 2/1/30  | 706000  | 800044  |
|  Series 2020 A, 5% 1/1/31  | 706000  | 812204  |
|  Delaware Health Facilities Auth. Rev.:  |  |  |
|  (Beebe Med. Ctr. Proj.) Series 2018:  |  |  |
|  5% 6/1/37 <br>| 140000  | 145187  |
|  5% 6/1/43 <br>| 1950000  | 1980988  |
|  5% 6/1/48 <br>| 2500000  | 2509501  |
|  5% 6/1/50 <br>| 930000  | 929348  |
|  (Nanticoke Memorial Hosp. Proj.) Series 2013, 5% 7/1/32 (Pre-Refunded to 7/1/23 @ 100)  | 300000  | 304250  |
|  Beebe Med. Ctr. Proj.) Series 2018, 4.375% 6/1/48  | 250000  | 236014  |
|  Series 2020 A:  |  |  |
|  4% 10/1/49 <br>| 2455000  | 2338159  |
|  5% 10/1/36 <br>| 900000  | 966004  |
|  5% 10/1/40 <br>| 250000  | 264031  |
|  5% 10/1/45 <br>| 1990000  | 2088440  |
|  Delaware Trans. Auth.:  |  |  |
|  (U.S. 301 Proj.) Series 2015, 5% 6/1/55  | 3313000  | 3364147  |
|  Series 2015, 5% 6/1/45  | 740000  | 758111  |
|  Delaware Trans. Auth. Grant Series 2020:  |  |  |
|  5% 9/1/33  | 365000  | 417355  |
|  5% 9/1/34  | 590000  | 670258  |
|  5% 9/1/35  | 590000  | 666707  |
|  Kent County Student Hsg. & Dining Facility Rev. (CHF Dover, L.L.C. Delaware State Univ. Proj.) Series 2018 A:  |  |  |
|  5% 7/1/32  | 35000  | 34243  |
|  5% 7/1/40  | 160000  | 148662  |
|  5% 7/1/48  | 415000  | 368978  |
|  5% 7/1/53  | 860000  | 752029  |
|  5% 7/1/58  | 770000  | 658284  |
|  Sussex County Rev. (Cadbury at Lewes Proj.) Series 2016, 5% 1/1/36  | 1425000  | 1395488  |
|  The Delaware Econ. Dev. Auth. Charter School Rev.:  |  |  |
|  (Aspira of Delaware Charter Operations, Inc. Proj.) Series 2022 A:  |  |  |
|  3% 6/1/32 <br>| 300000  | 251828  |
|  4% 6/1/52 <br>| 130000  | 96978  |
|  4% 6/1/57 <br>| 125000  | 90304  |
|  (Newark Charter School, Inc. Proj.) Series 2020:  |  |  |
|  4% 9/1/30 <br>| 35000  | 34748  |
|  5% 9/1/40 <br>| 185000  | 189882  |
|  5% 9/1/50 <br>| 245000  | 246943  |
|  Univ. of Delaware Series 2019 A, 5% 11/1/41  | 750000  | 859344  |
|  Univ. of Delaware Rev. Bonds Series 2013 C, 1%, tender 11/1/37 (b)  | 1150000  | 1150000  |
|  TOTAL DELAWARE  |  | 28087450  |
| Delaware, New Jersey - 0.0%  |  |  |
|  Delaware River & Bay Auth. Rev. Series 2012 A, 5% 1/1/42  | 730000  | 731261  |
| District Of Columbia - 0.8%  |  |  |
|  District of Columbia Gen. Oblig.:  |  |  |
|  Series 2014 D, 5% 6/1/32  | 270000  | 278498  |
|  Series 2017 A, 5% 6/1/33  | 130000  | 142988  |
|  Series 2017 D, 5% 6/1/42  | 30000  | 31961  |
|  Series 2021 D:  |  |  |
|  4% 2/1/27 <br>| 920000  | 967695  |
|  5% 2/1/28 <br>| 920000  | 1020638  |
|  5% 2/1/29 <br>| 1220000  | 1375315  |
|  Series 2021 E, 5% 2/1/29  | 2580000  | 2908452  |
|  District of Columbia Hosp. Rev. Series 2015:  |  |  |
|  5% 7/15/29  | 225000  | 236265  |
|  5% 7/15/30  | 365000  | 382269  |
|  District of Columbia Income Tax Rev.:  |  |  |
|  Series 2022 A, 5.5% 7/1/47  | 2500000  | 2867035  |
|  Series 2022 C:  |  |  |
|  5% 12/1/31 <br>| 1000000  | 1182115  |
|  5% 12/1/32 <br>| 880000  | 1055030  |
|  District of Columbia Rev.:  |  |  |
|  (Ingleside at Rock Creek Proj.) Series 2017 A:  |  |  |
|  5% 7/1/32 <br>| 535000  | 506863  |
|  5% 7/1/37 <br>| 555000  | 507592  |
|  5% 7/1/42 <br>| 925000  | 815354  |
|  5% 7/1/52 <br>| 2115000  | 1757930  |
|  Series 2009 A:  |  |  |
|  5.125% 1/1/35 <br>| 220000  | 197320  |
|  5.25% 1/1/39 <br>| 140000  | 123075  |
|  Series 2012 A, 5% 6/1/42 (Pre-Refunded to 12/1/22 @ 100)  | 750000  | 750000  |
|  Series 2013 A, 6% 7/1/43 (Pre-Refunded to 7/1/23 @ 100)  | 305000  | 310852  |
|  Series 2016 A:  |  |  |
|  5% 6/1/36 <br>| 420000  | 426000  |
|  5% 6/1/41 <br>| 275000  | 276201  |
|  5% 6/1/46 <br>| 405000  | 404003  |
|  Series 2017 B:  |  |  |
|  5% 7/1/42 <br>| 2230000  | 2271009  |
|  5% 7/1/48 <br>| 1735000  | 1753840  |
|  Series 2018:  |  |  |
|  5% 10/1/23 <br>| 20000  | 20358  |
|  5% 10/1/25 <br>| 30000  | 31392  |
|  5% 10/1/26 <br>| 55000  | 58237  |
|  5% 10/1/27 <br>| 60000  | 64350  |
|  5% 10/1/43 <br>| 200000  | 204625  |
|  5% 10/1/48 <br>| 5055000  | 5134839  |
|  Series 2019:  |  |  |
|  4% 7/1/39 <br>| 1020000  | 945879  |
|  4% 7/1/44 <br>| 60000  | 53148  |
|  4% 7/1/49 <br>| 765000  | 656122  |
|  Series 2020, 5% 6/1/50  | 490000  | 474028  |
|  District of Columbia Student Dorm. Rev.:  |  |  |
|  Series 2013 A, 5% 10/1/35  | 960000  | 943871  |
|  Series 2013:  |  |  |
|  5% 10/1/30 <br>| 730000  | 730008  |
|  5% 10/1/45 <br>| 440000  | 417584  |
|  District of Columbia Tax Increment Rev.:  |  |  |
|  (Union Market Infastructure Proj.) Series 2021 A, 0% 6/1/46 (e)(f)  | 500000  | 302363  |
|  (Union Market Infrastructure Proj.) Series 2021 A, 0% 6/1/31 (e)(f)  | 100000  | 73661  |
|  District of Columbia Tobacco Settlement Fing. Corp.:  |  |  |
|  Series 2006 A, 0% 6/15/46  | 15830000  | 3449265  |
|  Series 2006 B, 0% 6/15/46  | 3230000  | 586723  |
|  District of Columbia Univ. Rev. Series 2017, 5% 4/1/35  | 640000  | 673278  |
|  District of Columbia Wtr. & Swr. Auth. Pub. Util. Rev.:  |  |  |
|  Bonds Series 2019 C, 1.75%, tender 10/1/24 (b)  | 205000  | 199072  |
|  Series 2013 A, 5% 10/1/48 (Pre-Refunded to 10/1/23 @ 100)  | 1675000  | 1708024  |
|  Series 2015 A, 5% 10/1/27  | 595000  | 633718  |
|  Howard Univ. 4.756% 10/1/51  | 250000  | 185361  |
|  Metropolitan Washington Arpts. Auth. Dulles Toll Road Rev.:  |  |  |
|  (Dulles Metrorail and Cap. Impt. Proj.) Series 2019 B, 3% 10/1/50 (Assured Guaranty Muni. Corp. Insured)  | 2760000  | 1976723  |
|  (Dulles Metrorail And Cap. Impt. Proj.) Series 2019 B, 4% 10/1/53 (Assured Guaranty Muni. Corp. Insured)  | 400000  | 357238  |
|  (Dulles Metrorail and Cap. Impt. Projs.) Series 2019 A:  |  |  |
|  5% 10/1/31 <br>| 505000  | 550216  |
|  5% 10/1/32 <br>| 635000  | 690458  |
|  5% 10/1/33 <br>| 70000  | 75863  |
|  5% 10/1/34 <br>| 110000  | 118953  |
|  5% 10/1/36 <br>| 110000  | 117604  |
|  5% 10/1/38 <br>| 95000  | 100600  |
|  5% 10/1/44 <br>| 3550000  | 3712149  |
|  (Dulles Metrorail And Cap. Impt. Projs.) Series 2019 B, 4% 10/1/49  | 4470000  | 3884552  |
|  (Dulles Metrorail and Cap. Impt. Projs.) Series 2019 B, 5% 10/1/47  | 480000  | 488348  |
|  (Dulles Metrorail and Cap. Impts. Projs.) Series 2022 A, 4% 10/1/52 (Assured Guaranty Muni. Corp. Insured)  | 940000  | 852652  |
|  Series 2009 B:  |  |  |
|  0% 10/1/37 <br>| 1800000  | 951836  |
|  0% 10/1/38 <br>| 1405000  | 671303  |
|  0% 10/1/39 <br>| 280000  | 125765  |
|  0% 10/1/40 <br>| 705000  | 296857  |
|  Series 2009 C, 6.5% 10/1/41 (Assured Guaranty Corp. Insured) (Pre-Refunded to 10/1/26 @ 100)  | 900000  | 1020503  |
|  Series 2010 B, 6.5% 10/1/44  | 3405000  | 3802332  |
|  Series 2019 B, 4% 10/1/49  | 425000  | 391054  |
|  Metropolitan Washington DC Arpts. Auth. Sys. Rev.:  |  |  |
|  Series 2013 A:  |  |  |
|  5% 10/1/26 (d) <br>| 285000  | 288739  |
|  5% 10/1/27 (d) <br>| 360000  | 364630  |
|  5% 10/1/28 (d) <br>| 260000  | 263182  |
|  Series 2017 A:  |  |  |
|  5% 10/1/28 (d) <br>| 810000  | 862211  |
|  5% 10/1/30 (d) <br>| 1005000  | 1066383  |
|  5% 10/1/31 (d) <br>| 175000  | 185698  |
|  5% 10/1/32 (d) <br>| 270000  | 285526  |
|  5% 10/1/33 (d) <br>| 135000  | 142062  |
|  5% 10/1/35 (d) <br>| 305000  | 317787  |
|  5% 10/1/42 (d) <br>| 605000  | 619040  |
|  Series 2018 A:  |  |  |
|  5% 10/1/43 (d) <br>| 3150000  | 3230948  |
|  5% 10/1/48 (d) <br>| 3140000  | 3199217  |
|  Series 2019 A, 5% 10/1/25 (d)  | 430000  | 450421  |
|  Series 2019 B, 5% 10/1/25  | 105000  | 111301  |
|  Series 2020 A:  |  |  |
|  5% 10/1/26 (d) <br>| 1565000  | 1656522  |
|  5% 10/1/27 (d) <br>| 540000  | 576664  |
|  5% 10/1/28 (d) <br>| 270000  | 290655  |
|  Series 2021 A:  |  |  |
|  4% 10/1/40 (d) <br>| 250000  | 238011  |
|  5% 10/1/31 (d) <br>| 1280000  | 1409533  |
|  5% 10/1/32 (d) <br>| 850000  | 933338  |
|  5% 10/1/34 (d) <br>| 2130000  | 2294227  |
|  5% 10/1/36 (d) <br>| 250000  | 266683  |
|  5% 10/1/46 (d) <br>| 1180000  | 1214905  |
|  Washington D.C. Metropolitan Transit Auth. Rev.:  |  |  |
|  Series 2017 B, 5% 7/1/33  | 255000  | 274680  |
|  Series 2018, 5% 7/1/43  | 1315000  | 1377749  |
|  Washington Metropolitan Area Transit Auth. Series 2021 A, 3% 7/15/36  | 500000  | 456504  |
|  TOTAL DISTRICT OF COLUMBIA  |  | 82655828  |
| 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  | 140000  | 119309  |
|  4% 10/1/46  | 190000  | 153040  |
|  Alachua County Health Facilities Auth. Health Facilities Rev.:  |  |  |
|  (East Ridge Retirement Villiage, Inc. Proj.) Series 2014:  |  |  |
|  6% 11/15/34 <br>| 800000  | 621886  |
|  6.375% 11/15/49 <br>| 1330000  | 950127  |
|  Series 2014 A, 5% 12/1/44  | 3840000  | 3862445  |
|  Series 2019 B1:  |  |  |
|  5% 12/1/35 <br>| 210000  | 220525  |
|  5% 12/1/36 <br>| 360000  | 374205  |
|  5% 12/1/37 <br>| 475000  | 495414  |
|  Atlantic Beach Health Care Facilities Series A, 5% 11/15/43  | 55000  | 54226  |
|  Bellalago Edl. Facilities Benefit District Series 2014:  |  |  |
|  4.375% 5/1/30  | 220000  | 221518  |
|  4.5% 5/1/33  | 100000  | 100320  |
|  Boggy Creek Impt. District Spl. Assessment Rev. Series 2013, 5.125% 5/1/43  | 1295000  | 1296351  |
|  Brevard County Health Facilities Auth. Health Care Facilities Rev. (Health First, Inc. Proj.) Series 2014, 5% 4/1/39  | 885000  | 910680  |
|  Brevard County Health Facilities Auth. Rev.:  |  |  |
|  Series 2022 A, 5% 4/1/40  | 1905000  | 1991549  |
|  Series 2023 A, 5% 4/1/32  | 130000  | 140399  |
|  Brevard County School Board Ctfs. of Prtn. Series 2015 C, 5% 7/1/28  | 210000  | 220440  |
|  Broward County Arpt. Sys. Rev.:  |  |  |
|  Series 2012 Q1, 5% 10/1/25  | 635000  | 636104  |
|  Series 2013 C, 5.25% 10/1/30 (Pre-Refunded to 10/1/23 @ 100)  | 605000  | 618414  |
|  Series 2015 A, 5% 10/1/45 (d)  | 5300000  | 5301071  |
|  Series 2015 C, 5% 10/1/24 (d)  | 305000  | 314389  |
|  Series 2017:  |  |  |
|  5% 10/1/25 (d) <br>| 30000  | 31284  |
|  5% 10/1/26 (d) <br>| 120000  | 126620  |
|  5% 10/1/27 (d) <br>| 120000  | 128147  |
|  5% 10/1/29 (d) <br>| 325000  | 345447  |
|  5% 10/1/30 (d) <br>| 90000  | 95374  |
|  5% 10/1/32 (d) <br>| 425000  | 447516  |
|  5% 10/1/33 (d) <br>| 160000  | 167650  |
|  5% 10/1/34 (d) <br>| 155000  | 161696  |
|  5% 10/1/35 (d) <br>| 185000  | 192344  |
|  5% 10/1/36 (d) <br>| 245000  | 254113  |
|  5% 10/1/37 (d) <br>| 270000  | 278831  |
|  5% 10/1/42 (d) <br>| 2650000  | 2697666  |
|  5% 10/1/47 (d) <br>| 1535000  | 1549426  |
|  Series 2019 A:  |  |  |
|  5% 10/1/25 (d) <br>| 480000  | 500547  |
|  5% 10/1/26 (d) <br>| 360000  | 379860  |
|  5% 10/1/28 (d) <br>| 360000  | 387148  |
|  5% 10/1/38 (d) <br>| 640000  | 668535  |
|  5% 10/1/39 (d) <br>| 960000  | 999212  |
|  5% 10/1/44 (d) <br>| 745000  | 760941  |
|  5% 10/1/49 (d) <br>| 2695000  | 2735246  |
|  Series A:  |  |  |
|  5% 10/1/28 (d) <br>| 365000  | 379060  |
|  5% 10/1/30 (d) <br>| 425000  | 440395  |
|  5% 10/1/31 (d) <br>| 365000  | 377637  |
|  5% 10/1/32 (d) <br>| 340000  | 350942  |
|  Broward County Convention Ctr. Series 2022, 5.5% 1/1/55  | 2500000  | 2777971  |
|  Broward County Port Facilities Rev.:  |  |  |
|  Series 2019 B:  |  |  |
|  5% 9/1/32 (d) <br>| 2500000  | 2740012  |
|  5% 9/1/33 (d) <br>| 2075000  | 2259548  |
|  Series 2022, 5.25% 9/1/47 (d)  | 2000000  | 2128818  |
|  Broward County School Board Ctfs. of Prtn.:  |  |  |
|  (Broward County School District Proj.) Series 2016 A, 5% 7/1/28  | 170000  | 181808  |
|  Series 2015 A:  |  |  |
|  5% 7/1/27 <br>| 120000  | 126210  |
|  5% 7/1/27 (Assured Guaranty Muni. Corp. Insured) <br>| 310000  | 326755  |
|  Series 2015 B:  |  |  |
|  5% 7/1/24 <br>| 335000  | 346198  |
|  5% 7/1/31 <br>| 2110000  | 2205273  |
|  5% 7/1/32 <br>| 1930000  | 2013734  |
|  Series 2016:  |  |  |
|  5% 7/1/26 <br>| 95000  | 102134  |
|  5% 7/1/32 <br>| 325000  | 344620  |
|  Broward County School District Series 2022, 5% 7/1/46  | 1020000  | 1121110  |
|  Cap. Projs. Fin. Auth. Student Hsg. Rev.:  |  |  |
|  (Cap. Projs. Ln. Prog. - Florida Univs.) Series 2020 A:  |  |  |
|  5% 10/1/30 <br>| 760000  | 772752  |
|  5% 10/1/31 <br>| 100000  | 101351  |
|  5% 10/1/34 <br>| 190000  | 189639  |
|  Series 2020 A1:  |  |  |
|  5% 10/1/32 <br>| 100000  | 100443  |
|  5% 10/1/33 <br>| 100000  | 100250  |
|  Cap. Region Cmnty. Dev. District Series 2018 A1:  |  |  |
|  4.625% 5/1/28  | 20000  | 19923  |
|  5.125% 5/1/39  | 130000  | 127870  |
|  Cap. Trust Agcy. Edl. Facilities Rev.:  |  |  |
|  (Liza Jackson Preparatory School, Inc. Proj.) Series 2020 A:  |  |  |
|  4% 8/1/30 <br>| 20000  | 19755  |
|  5% 8/1/55 <br>| 100000  | 97395  |
|  Series 2020 A, 5% 8/1/40  | 30000  | 30283  |
|  Cap. Trust Agcy. Rev.:  |  |  |
|  (Aero Miami FX, LLC Proj.) Series 2010 A, 5.35% 7/1/29  | 1440000  | 1441687  |
|  (The Marie Selby Botanical Gardens, Inc. Proj.) Series 2021:  |  |  |
|  4% 6/15/24 (f) <br>| 100000  | 98537  |
|  4% 6/15/41 (f) <br>| 380000  | 304037  |
|  4% 6/15/51 (f) <br>| 530000  | 385450  |
|  Cap. Trust Agcy. Student Hsg. Rev. Series 2018 A, 5.25% 12/1/58 (f)  | 1285000  | 1136949  |
|  Cape Coral Wtr. & Swr. Rev. Series 2017:  |  |  |
|  4% 10/1/42  | 2815000  | 2768777  |
|  5% 10/1/39  | 1205000  | 1266441  |
|  Celebration Pointe Cmnty. Dev. District No. 1 Spl. Assessment Rev.:  |  |  |
|  Series 2014:  |  |  |
|  4.75% 5/1/24 <br>| 50000  | 50310  |
|  5.125% 5/1/45 <br>| 135000  | 130388  |
|  Series 2017, 5% 5/1/32 (f)  | 160000  | 160056  |
|  Series 2021:  |  |  |
|  3% 5/1/31 <br>| 55000  | 46701  |
|  3.375% 5/1/41 <br>| 200000  | 146161  |
|  4% 5/1/53 <br>| 360000  | 262630  |
|  Central Florida Expressway Auth. Sr. Lien Rev.:  |  |  |
|  Orlando & Orange County Expressway Auth. Rev. Series 2017, 5% 7/1/39  | 130000  | 136875  |
|  Series 2016 B, 5% 7/1/34  | 530000  | 559605  |
|  Series 2017, 5% 7/1/42  | 1545000  | 1616322  |
|  Series 2021:  |  |  |
|  4% 7/1/34 (Assured Guaranty Muni. Corp. Insured) <br>| 235000  | 242389  |
|  4% 7/1/35 (Assured Guaranty Muni. Corp. Insured) <br>| 230000  | 234584  |
|  4% 7/1/37 (Assured Guaranty Muni. Corp. Insured) <br>| 255000  | 258435  |
|  4% 7/1/38 (Assured Guaranty Muni. Corp. Insured) <br>| 235000  | 237499  |
|  4% 7/1/39 (Assured Guaranty Muni. Corp. Insured) <br>| 195000  | 196386  |
|  5% 7/1/32 (Assured Guaranty Muni. Corp. Insured) <br>| 190000  | 217649  |
|  5% 7/1/33 (Assured Guaranty Muni. Corp. Insured) <br>| 170000  | 193540  |
|  Cityplace Cmnty. Dev. District Series 2012, 5% 5/1/26  | 600000  | 619182  |
|  Collier County Health Facilities Auth. Series 2022, 4% 5/1/52  | 1300000  | 1135960  |
|  Collier County Indl. Dev. Auth.:  |  |  |
|  (The Arlington of Naples Proj.) Series 2013 A, 8.125% 5/15/44 (f)  | 270000  | 172800  |
|  Series 2013 A, 7.75% 5/15/35 (f)  | 175000  | 112000  |
|  County of Broward Tourist Dev. Tax Rev.:  |  |  |
|  (Convention Ctr. Expansion Proj.) Series 2021:  |  |  |
|  4% 9/1/41 <br>| 965000  | 935789  |
|  4% 9/1/51 <br>| 1000000  | 892288  |
|  Series 2021, 4% 9/1/51  | 1500000  | 1345641  |
|  County of Osceola (Poinciana Parkway Proj.) Series 2014 B2, 0% 10/1/36 (Pre-Refunded to 10/1/31 @ 100) (e)  | 250000  | 276835  |
|  County Wtr.-Swr. District Collier County Wtr. Rev. Series 2021:  |  |  |
|  4% 7/1/40  | 2465000  | 2509755  |
|  4% 7/1/44  | 1475000  | 1487784  |
|  Davie Edl. Facilities Rev. (Nova Southeastern Univ. Proj.):  |  |  |
|  Series 2013 A, 6% 4/1/42 (Pre-Refunded to 4/1/23 @ 100)  | 2800000  | 2832357  |
|  Series 2018, 5% 4/1/38  | 710000  | 740959  |
|  Del Webb Bexley Cmnty. Dev. District Series 2018:  |  |  |
|  5.3% 5/1/39  | 145000  | 145034  |
|  5.4% 5/1/49  | 185000  | 180196  |
|  Double Branch Cmnty. Dev. District Spl. Assessment Series 2013 A1, 4% 5/1/25  | 35000  | 35122  |
|  Duval County School Board Ctfs. of Prtn.:  |  |  |
|  Series 2015 B:  |  |  |
|  5% 7/1/28 <br>| 250000  | 263002  |
|  5% 7/1/29 <br>| 355000  | 373191  |
|  5% 7/1/32 <br>| 1485000  | 1557696  |
|  Series 2016 A, 5% 7/1/33  | 160000  | 170105  |
|  Series 2022 A, 5% 7/1/34 (Assured Guaranty Muni. Corp. Insured)  | 1150000  | 1282434  |
|  Epperson North Cmnty. Dev. District Series 2021 A:  |  |  |
|  3.4% 11/1/41  | 250000  | 183489  |
|  4% 11/1/51  | 380000  | 288401  |
|  Escambia County Health Facilities Auth. Health Facilities Rev. Series 2020 A:  |  |  |
|  4% 8/15/45  | 705000  | 614184  |
|  4% 8/15/50  | 3875000  | 3288402  |
|  FAU Fin. Corp. Cap. Impt. (Student Hsg. Proj.) Series 2019 A:  |  |  |
|  5% 7/1/36  | 965000  | 1038941  |
|  5% 7/1/38  | 965000  | 1029500  |
|  5% 7/1/39  | 600000  | 636087  |
|  Fishhawk Cmnty. Dev. District IV Spl. Assessment Rev. Series 2013 A, 7.25% 5/1/43  | 300000  | 303045  |
|  Florida Board of Ed. Pub. Ed. Cap. Outlay:  |  |  |
|  Series 2015 C, 3.15% 6/1/29  | 500000  | 501491  |
|  Series 2017 C, 4% 6/1/32  | 1000000  | 1038560  |
|  Florida Dept. of Trans. Tpk. Rev.:  |  |  |
|  Series 2014 A, 4% 7/1/32  | 500000  | 508250  |
|  Series 2021 C, 3% 7/1/51  | 750000  | 571606  |
|  Florida Dev. Fin. Corp.:  |  |  |
|  (The Glenridge On Palmer Ranch Proj.) Series 2021, 5% 6/1/51  | 1790000  | 1445620  |
|  (The Mayflower Retirement Cmnty. Proj.) Series 2021 A:  |  |  |
|  4% 6/1/36 (f) <br>| 170000  | 139261  |
|  4% 6/1/46 (f) <br>| 105000  | 75999  |
|  Series 2021 A, 4% 6/1/41 (f)  | 100000  | 76810  |
|  Florida Dev. Fin. Corp. Edl. Facilities:  |  |  |
|  (Mater Academy Projs.):  |  |  |
|  Series 2020 A, 5% 6/15/55 <br>| 500000  | 486251  |
|  Series 2022 A: <br>|  |  |
|  4% 6/15/52 <br>| 195000  | 159990  |
|  5% 6/15/52 <br>| 235000  | 231587  |
|  5% 6/15/56 <br>| 595000  | 577526  |
|  (River City Science Academy Projs.):  |  |  |
|  Series 2021 A: <br>|  |  |
|  4% 7/1/35 <br>| 30000  | 27495  |
|  4% 7/1/45 <br>| 55000  | 46033  |
|  4% 7/1/55 <br>| 80000  | 63265  |
|  Series 2022 A1: <br>|  |  |
|  5% 7/1/42 <br>| 915000  | 915015  |
|  5% 7/1/51 <br>| 825000  | 806614  |
|  5% 2/1/57 <br>| 1200000  | 1151491  |
|  Series 2015 A, 6.125% 6/15/46 (f)  | 730000  | 731078  |
|  Series 2016 A, 4.75% 7/15/36 (f)  | 300000  | 282177  |
|  Series 2017 A, 6.125% 6/15/47 (f)  | 250000  | 221332  |
|  Series 2020 C:  |  |  |
|  5% 9/15/40 (f) <br>| 105000  | 95747  |
|  5% 9/15/50 (f) <br>| 210000  | 180241  |
|  Series 2021 A, 4% 7/1/51 (f)  | 135000  | 102191  |
|  Florida Dev. Fin. Corp. Healthcare Facility Rev.:  |  |  |
|  (UF Health Jacksonville Proj.) Series 2022 A:  |  |  |
|  4% 2/1/46 (Assured Guaranty Muni. Corp. Insured) <br>| 1385000  | 1266170  |
|  4% 2/1/52 <br>| 300000  | 238261  |
|  5% 2/1/52 <br>| 1305000  | 1234987  |
|  Series 2021 B, 4% 2/1/52  | 250000  | 223395  |
|  Florida Dev. Fin. Corp. Rev. Bonds (Brightline Florida Passenger Rail Expansion Proj.) Series 2021 A, 2.9%, tender 4/4/23 (b)(d)  | 1000000  | 995884  |
|  Florida Dev. Fin. Corp. Solid Waste Disp. Rev. Series 2021, 3% 6/1/32 (d)  | 760000  | 595800  |
|  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)(f)  | 790000  | 710213  |
|  Series 2019 B, 7.375% 1/1/49 (d)(f)  | 2195000  | 1951038  |
|  Florida Gen. Oblig. Series 2019 A:  |  |  |
|  4% 7/1/33  | 290000  | 303492  |
|  4% 7/1/34  | 445000  | 462387  |
|  Florida Higher Edl. Facilities Fing. Auth.:  |  |  |
|  (Jacksonville Univ. Proj.) Series 2018 A1:  |  |  |
|  4.5% 6/1/33 (f) <br>| 705000  | 640407  |
|  4.75% 6/1/38 (f) <br>| 1220000  | 1081046  |
|  5% 6/1/48 (f) <br>| 3255000  | 2809890  |
|  (Nova Southeastern Univ. Proj.) Series 2016:  |  |  |
|  5% 4/1/30 <br>| 160000  | 167451  |
|  5% 4/1/31 <br>| 375000  | 392206  |
|  5% 4/1/32 <br>| 245000  | 255907  |
|  5% 4/1/36 <br>| 140000  | 144739  |
|  (Ringling College Proj.) Series 2017, 4% 3/1/47  | 250000  | 209567  |
|  (St. Leo Univ. Proj.) Series 2019:  |  |  |
|  5% 3/1/23 <br>| 25000  | 25036  |
|  5% 3/1/24 <br>| 15000  | 15085  |
|  5% 3/1/25 <br>| 45000  | 45358  |
|  5% 3/1/49 <br>| 270000  | 235151  |
|  Series 2019:  |  |  |
|  4% 10/1/37 <br>| 240000  | 217816  |
|  4% 10/1/38 <br>| 335000  | 301007  |
|  4% 10/1/39 <br>| 400000  | 356396  |
|  4% 10/1/44 <br>| 625000  | 535804  |
|  5% 10/1/23 <br>| 15000  | 15182  |
|  5% 10/1/27 <br>| 35000  | 36568  |
|  5% 10/1/31 <br>| 195000  | 204541  |
|  5% 10/1/33 <br>| 270000  | 280531  |
|  5% 10/1/34 <br>| 225000  | 232257  |
|  5% 10/1/35 <br>| 125000  | 128449  |
|  5% 10/1/36 <br>| 170000  | 174125  |
|  Florida Hsg. Fin. Corp. Rev.:  |  |  |
|  (Spl. Prog.) Series 2014 B, 3% 7/1/45  | 55000  | 54928  |
|  Series 2019 1, 4% 7/1/50  | 775000  | 775497  |
|  Series 2021 1, 3% 1/1/52  | 1455000  | 1409478  |
|  Series 2021 2, 3% 7/1/52  | 1730000  | 1667162  |
|  Series 2022 1, 3.5% 7/1/52  | 2135000  | 2087384  |
|  Florida Mid-Bay Bridge Auth. Rev.:  |  |  |
|  Series 2015 A:  |  |  |
|  5% 10/1/28 <br>| 120000  | 122320  |
|  5% 10/1/29 <br>| 815000  | 830017  |
|  5% 10/1/35 <br>| 2880000  | 2906659  |
|  5% 10/1/40 <br>| 480000  | 483109  |
|  Series 2015 C:  |  |  |
|  5% 10/1/30 <br>| 400000  | 405663  |
|  5% 10/1/35 <br>| 110000  | 110670  |
|  5% 10/1/40 <br>| 245000  | 245943  |
|  Florida Muni. Pwr. Agcy. Rev.:  |  |  |
|  (Pwr. Supply Proj.) Series 2017 A, 5% 10/1/28  | 20000  | 22050  |
|  (Requirements Pwr. Supply Proj.) Series 2016 A:  |  |  |
|  5% 10/1/30 <br>| 320000  | 342757  |
|  5% 10/1/31 <br>| 350000  | 373583  |
|  Series 2015 B:  |  |  |
|  5% 10/1/28 <br>| 120000  | 126866  |
|  5% 10/1/29 <br>| 70000  | 73985  |
|  5% 10/1/30 <br>| 220000  | 232403  |
|  Fort Myers Util. Sys. Rev. Series 2019 A, 4% 10/1/49  | 580000  | 548978  |
|  Fort Pierce Utils. Auth. Series 2022 A, 4% 10/1/52 (Assured Guaranty Muni. Corp. Insured)  | 965000  | 881189  |
|  Gainesville Utils. Sys. Rev.:  |  |  |
|  Series 2017 A, 5% 10/1/35  | 280000  | 299728  |
|  Series 2019 A, 5% 10/1/47  | 1250000  | 1304380  |
|  Greater Orlando Aviation Auth. Arpt. Facilities Rev.:  |  |  |
|  Series 2016 A, 5% 10/1/46 (d)  | 120000  | 121711  |
|  Series 2016:  |  |  |
|  5% 10/1/24 (d) <br>| 365000  | 377883  |
|  5% 10/1/26 (d) <br>| 210000  | 221585  |
|  5% 10/1/27 (d) <br>| 120000  | 128147  |
|  Series 2017 A:  |  |  |
|  5% 10/1/25 (d) <br>| 40000  | 41679  |
|  5% 10/1/25 (Escrowed to Maturity) (d) <br>| 80000  | 84154  |
|  5% 10/1/27 (d) <br>| 55000  | 58082  |
|  5% 10/1/27 (Escrowed to Maturity) (d) <br>| 185000  | 200472  |
|  5% 10/1/29 (Pre-Refunded to 10/1/27 @ 100) (d) <br>| 365000  | 395525  |
|  5% 10/1/30 (Pre-Refunded to 10/1/27 @ 100) (d) <br>| 390000  | 422616  |
|  5% 10/1/31 (d) <br>| 1050000  | 1105146  |
|  5% 10/1/32 (d) <br>| 295000  | 309301  |
|  5% 10/1/34 (d) <br>| 730000  | 758285  |
|  5% 10/1/37 (d) <br>| 760000  | 781847  |
|  5% 10/1/42 (d) <br>| 1145000  | 1164603  |
|  5% 10/1/47 (d) <br>| 5325000  | 5381910  |
|  5% 10/1/52 (d) <br>| 440000  | 442115  |
|  Series 2019 A:  |  |  |
|  5% 10/1/34 (d) <br>| 2500000  | 2654719  |
|  5% 10/1/54 (d) <br>| 5920000  | 6027383  |
|  Halifax Hosp. Med. Ctr. Rev.:  |  |  |
|  Series 2015:  |  |  |
|  5% 6/1/24 <br>| 75000  | 76972  |
|  5% 6/1/28 (Pre-Refunded to 6/1/25 @ 100) <br>| 35000  | 36965  |
|  5% 6/1/29 (Pre-Refunded to 6/1/25 @ 100) <br>| 285000  | 301003  |
|  5% 6/1/30 (Pre-Refunded to 6/1/25 @ 100) <br>| 300000  | 316846  |
|  5% 6/1/46 (Pre-Refunded to 6/1/25 @ 100) <br>| 480000  | 506953  |
|  Series 2016, 5% 6/1/36  | 120000  | 122844  |
|  Hillsborough County Aviation Auth. Rev.:  |  |  |
|  Series 2018 E, 5% 10/1/43 (d)  | 1275000  | 1307765  |
|  Series 2018 F:  |  |  |
|  5% 10/1/37 <br>| 95000  | 102231  |
|  5% 10/1/43 <br>| 130000  | 137436  |
|  Series 2022 A:  |  |  |
|  5% 10/1/29 (d) <br>| 260000  | 282522  |
|  5% 10/1/47 (d) <br>| 1000000  | 1028093  |
|  Hillsborough County Indl. Dev. (Tampa Gen. Hosp. Proj.) Series 2020 A:  |  |  |
|  4% 8/1/50  | 1500000  | 1270873  |
|  4% 8/1/55  | 1405000  | 1162039  |
|  Hillsborough County Port District:  |  |  |
|  (Tampa Port Auth. Proj.) Series 2018 B:  |  |  |
|  5% 6/1/30 (d) <br>| 240000  | 257161  |
|  5% 6/1/31 (d) <br>| 255000  | 272220  |
|  5% 6/1/46 (d) <br>| 1475000  | 1497077  |
|  Series 2018 B, 5% 6/1/38 (d)  | 375000  | 388839  |
|  Hillsborough County School Board Ctfs. of Prtn.:  |  |  |
|  Series 2015 A, 5% 7/1/26  | 445000  | 465431  |
|  Series 2020 A, 5% 7/1/27  | 320000  | 346928  |
|  Jacksonville Edl. Facilities Rev. (Jacksonville Univ. Proj.) Series 2018 B, 5% 6/1/53 (f)  | 2550000  | 2160644  |
|  Jacksonville Elec. Auth. Elec. Sys. Rev.:  |  |  |
|  Series 2017 B, 4% 10/1/36  | 750000  | 752817  |
|  Series 2020 A, 4% 10/1/37  | 1475000  | 1477597  |
|  Jacksonville Health Care Facilities (Baptist Med. Ctr. Proj.) Series 2017:  |  |  |
|  5% 8/15/26  | 110000  | 117910  |
|  5% 8/15/34  | 155000  | 165809  |
|  Jacksonville Spl. Rev. Series 2022 A:  |  |  |
|  5% 10/1/23  | 15000  | 15299  |
|  5% 10/1/24  | 30000  | 31250  |
|  5% 10/1/25  | 25000  | 26549  |
|  5% 10/1/26  | 20000  | 21633  |
|  5% 10/1/27  | 15000  | 16516  |
|  5% 10/1/28  | 30000  | 33586  |
|  5% 10/1/29  | 25000  | 28348  |
|  5% 10/1/30  | 20000  | 23014  |
|  5% 10/1/32  | 20000  | 23535  |
|  Lakeland Hosp. Sys. Rev. Series 2015, 5% 11/15/34 (Pre-Refunded to 11/15/24 @ 100)  | 410000  | 428332  |
|  Lakewood Ranch Stewardship District Spl. Assessment Rev.:  |  |  |
|  (Lakewood Centre & NW Sector Projs.) Series 2018:  |  |  |
|  5.5% 5/1/39 (f) <br>| 170000  | 170902  |
|  5.65% 5/1/48 (f) <br>| 210000  | 209987  |
|  (Lakewood Centre North Proj.) Series 2015:  |  |  |
|  4.25% 5/1/25 <br>| 5000  | 4975  |
|  4.875% 5/1/35 <br>| 25000  | 24589  |
|  4.875% 5/1/45 <br>| 35000  | 32007  |
|  (Lakewood Nat'l. and Polo Run Projs.) Series 2017:  |  |  |
|  5.25% 5/1/37 <br>| 510000  | 511967  |
|  5.375% 5/1/47 <br>| 1185000  | 1153069  |
|  (Northeast Sector Proj. - Phase 1B) Series 2018:  |  |  |
|  5.3% 5/1/39 <br>| 140000  | 139537  |
|  5.45% 5/1/48 <br>| 245000  | 239486  |
|  (Villages of Lakewood Ranch South Proj.) Series 2016:  |  |  |
|  5% 5/1/36 <br>| 250000  | 248887  |
|  5.125% 5/1/46 <br>| 500000  | 477312  |
|  Laurel Road Cmnty. Dev. District Series 2021 A2, 3.125% 5/1/31  | 680000  | 582292  |
|  Lee County Arpt. Rev.:  |  |  |
|  Series 2021 A:  |  |  |
|  5% 10/1/25 (d) <br>| 675000  | 702412  |
|  5% 10/1/26 (d) <br>| 1990000  | 2090295  |
|  5% 10/1/27 (d) <br>| 1475000  | 1566376  |
|  5% 10/1/30 (d) <br>| 500000  | 541704  |
|  5% 10/1/32 (d) <br>| 500000  | 541572  |
|  Series 2021 B:  |  |  |
|  5% 10/1/37 (d) <br>| 1000000  | 1055991  |
|  5% 10/1/46 (d) <br>| 760000  | 780259  |
|  Lee County Indl. Dev. Auth. Health Care Facilities Rev. (The Preserve Proj.) Series 2017 A:  |  |  |
|  5.375% 12/1/32 (f)  | 100000  | 82587  |
|  5.625% 12/1/37 (f)  | 220000  | 172410  |
|  5.75% 12/1/52 (f)  | 1460000  | 1027708  |
|  Lee County School Board Ctfs. Series 2019 A:  |  |  |
|  5% 8/1/27  | 255000  | 276002  |
|  5% 8/1/28  | 130000  | 142079  |
|  Lee Memorial Health Sys. Hosp. Rev. Series 2019 A1:  |  |  |
|  5% 4/1/26  | 65000  | 68511  |
|  5% 4/1/39  | 405000  | 421625  |
|  5% 4/1/44  | 2350000  | 2385506  |
|  Manatee County School District Series 2017, 5% 10/1/28 (Assured Guaranty Muni. Corp. Insured)  | 160000  | 173199  |
|  Martin County Health Facilities Series 2015, 5% 11/15/45 (Pre-Refunded to 11/15/24 @ 100)  | 1355000  | 1415587  |
|  Miami Beach Health Facilities Auth. Hosp. Rev.:  |  |  |
|  Series 2014 A, 5% 11/15/39  | 85000  | 85512  |
|  Series 2021 B, 4% 11/15/51  | 250000  | 209247  |
|  Miami Parking Sys. Rev. Series 2019:  |  |  |
|  4% 10/1/36  | 550000  | 556752  |
|  4% 10/1/39  | 300000  | 297826  |
|  Miami-Dade County:  |  |  |
|  Series 2021 A1, 4% 10/1/45 (Assured Guaranty Muni. Corp. Insured) (d)  | 3125000  | 2854728  |
|  Series 2021 B1, 4% 10/1/50 (d)  | 1000000  | 897245  |
|  Miami-Dade County Aviation Rev.:  |  |  |
|  Series 2012 A, 5% 10/1/23 (d)  | 935000  | 941995  |
|  Series 2014 A:  |  |  |
|  5% 10/1/28 (d) <br>| 605000  | 619569  |
|  5% 10/1/34 (d) <br>| 2035000  | 2057690  |
|  Series 2015 A:  |  |  |
|  5% 10/1/29 (d) <br>| 195000  | 200689  |
|  5% 10/1/31 (d) <br>| 160000  | 164672  |
|  5% 10/1/35 (d) <br>| 670000  | 675375  |
|  5% 10/1/38 (d) <br>| 225000  | 228601  |
|  Series 2016 A:  |  |  |
|  5% 10/1/29 <br>| 175000  | 187573  |
|  5% 10/1/31 <br>| 210000  | 223919  |
|  5% 10/1/41 <br>| 3440000  | 3521252  |
|  Series 2017 B, 5% 10/1/40 (d)  | 2825000  | 2880597  |
|  Series 2019 A, 5% 10/1/49 (d)  | 3110000  | 3145587  |
|  Series 2020 A:  |  |  |
|  4% 10/1/35 <br>| 90000  | 89864  |
|  4% 10/1/37 <br>| 130000  | 128950  |
|  4% 10/1/39 <br>| 1755000  | 1714426  |
|  4% 10/1/41 <br>| 455000  | 437903  |
|  5% 10/1/31 <br>| 120000  | 134424  |
|  Miami-Dade County Cap. Asset Acquisition Series 2009, 0% 10/1/37  | 415000  | 213484  |
|  Miami-Dade County Edl. Facilities Rev.:  |  |  |
|  Series 2015 A, 5% 4/1/40  | 3355000  | 3431001  |
|  Series 2018 A, 5% 4/1/53  | 2950000  | 3039403  |
|  Miami-Dade County Expressway Auth.:  |  |  |
|  Series 2010 A, 5% 7/1/40  | 185000  | 185010  |
|  Series 2014 A:  |  |  |
|  5% 7/1/25 <br>| 80000  | 82398  |
|  5% 7/1/27 <br>| 55000  | 56529  |
|  5% 7/1/28 <br>| 125000  | 128435  |
|  5% 7/1/29 <br>| 55000  | 56486  |
|  Series 2014 B:  |  |  |
|  5% 7/1/28 <br>| 120000  | 123316  |
|  5% 7/1/30 <br>| 140000  | 143782  |
|  Series 2016 A:  |  |  |
|  5% 7/1/32 <br>| 525000  | 546580  |
|  5% 7/1/33 <br>| 445000  | 462535  |
|  Miami-Dade County Health Facilities Auth. Hosp. Rev.:  |  |  |
|  (Nicklaus Children's Hosp. Proj.) Series 2017, 5% 8/1/47  | 1565000  | 1579253  |
|  Series 2021 A:  |  |  |
|  4% 8/1/46 <br>| 250000  | 240071  |
|  4% 8/1/51 <br>| 2000000  | 1876659  |
|  Miami-Dade County School Board Ctfs. of Prtn.:  |  |  |
|  Series 2015 A, 5% 5/1/29  | 1185000  | 1233331  |
|  Series 2015 B, 5% 5/1/28  | 110000  | 114538  |
|  Series 2016 A:  |  |  |
|  5% 5/1/30 <br>| 915000  | 964016  |
|  5% 5/1/32 <br>| 1775000  | 1860728  |
|  Series 2016 B, 5% 8/1/26  | 250000  | 268531  |
|  Miami-Dade County School District:  |  |  |
|  Series 2015, 5% 3/15/26  | 100000  | 104709  |
|  Series 2022 A:  |  |  |
|  5% 3/15/34 <br>| 1000000  | 1143851  |
|  5% 3/15/35 <br>| 1000000  | 1135361  |
|  5% 3/15/47 <br>| 1000000  | 1088343  |
|  Miami-Dade County Transit Sales Surtax Rev.:  |  |  |
|  Series 2020 A, 4% 7/1/49  | 2100000  | 1951811  |
|  Series 2022:  |  |  |
|  5% 7/1/45 <br>| 1850000  | 1988409  |
|  5% 7/1/46 <br>| 1000000  | 1070851  |
|  5% 7/1/48 <br>| 850000  | 908272  |
|  5% 7/1/50 <br>| 1000000  | 1066215  |
|  5% 7/1/51 <br>| 1500000  | 1597515  |
|  Miami-Dade County Wtr. & Swr. Rev.:  |  |  |
|  Series 2017 B:  |  |  |
|  4% 10/1/38 <br>| 500000  | 502482  |
|  5% 10/1/33 <br>| 650000  | 683388  |
|  Series 2017 C, 4% 10/1/44  | 950000  | 924944  |
|  Series 2019 B:  |  |  |
|  4% 10/1/49 <br>| 4260000  | 4090930  |
|  4% 10/1/49 <br>| 255000  | 242916  |
|  Series 2021:  |  |  |
|  4% 10/1/48 <br>| 2840000  | 2693252  |
|  5% 10/1/32 <br>| 495000  | 565191  |
|  Midtown Miami Cmnty. Dev. District:  |  |  |
|  (Infrastructure Proj.) Series 2014 B:  |  |  |
|  5% 5/1/29 <br>| 55000  | 55003  |
|  5% 5/1/37 <br>| 25000  | 24496  |
|  (Parking Garage Proj.) Series 2014 A, 5% 5/1/37  | 45000  | 44139  |
|  North Broward Hosp. District Rev. Series 2017 B, 5% 1/1/42  | 1235000  | 1248231  |
|  North Sumter County Util. Dependent District (Sumter Wtr. Conservation Auth. Proj.) Series 2021:  |  |  |
|  5% 10/1/46 (Assured Guaranty Muni. Corp. Insured)  | 1050000  | 1130008  |
|  5% 10/1/52 (Assured Guaranty Muni. Corp. Insured)  | 2055000  | 2182070  |
|  Orange County Health Facilities Auth.:  |  |  |
|  Series 2016 A:  |  |  |
|  5% 10/1/39 <br>| 1875000  | 1927962  |
|  5% 10/1/44 <br>| 280000  | 285649  |
|  Series 2016, 5% 8/1/47  | 1145000  | 1193224  |
|  Series 2022, 4% 10/1/52  | 2460000  | 2141579  |
|  Orange County School Board Ctfs. of Prtn. Series 2015 D, 5% 8/1/30 (Pre-Refunded to 8/1/25 @ 100)  | 55000  | 58207  |
|  Orlando & Orange County Expressway Auth. Rev. Series 2013 A:  |  |  |
|  5% 7/1/28 (Pre-Refunded to 7/1/23 @ 100)  | 2310000  | 2343393  |
|  5% 7/1/32 (Pre-Refunded to 7/1/23 @ 100)  | 445000  | 451433  |
|  Orlando Tourist Dev. Tax Rev. Series 2017 A, 5% 11/1/34 (Assured Guaranty Muni. Corp. Insured)  | 105000  | 113452  |
|  Osceola County Trans. Impt. Rev.:  |  |  |
|  Series 2019 A1:  |  |  |
|  5% 10/1/44 <br>| 660000  | 661848  |
|  5% 10/1/49 <br>| 220000  | 219985  |
|  Series 2019 A2:  |  |  |
|  0% 10/1/35 <br>| 115000  | 57927  |
|  0% 10/1/36 <br>| 140000  | 66384  |
|  0% 10/1/37 <br>| 50000  | 22304  |
|  0% 10/1/38 <br>| 160000  | 67143  |
|  0% 10/1/39 <br>| 195000  | 76775  |
|  0% 10/1/40 <br>| 210000  | 77750  |
|  0% 10/1/41 <br>| 230000  | 79805  |
|  0% 10/1/42 <br>| 185000  | 60184  |
|  Palm Beach County Arpt. Sys. Rev. Series 2016:  |  |  |
|  5% 10/1/24 (d)  | 165000  | 170168  |
|  5% 10/1/27 (d)  | 120000  | 126569  |
|  5% 10/1/29 (d)  | 125000  | 131343  |
|  5% 10/1/30 (d)  | 225000  | 235841  |
|  5% 10/1/31 (d)  | 160000  | 167366  |
|  5% 10/1/32 (d)  | 245000  | 255480  |
|  5% 10/1/33 (d)  | 525000  | 545276  |
|  5% 10/1/34 (d)  | 545000  | 564027  |
|  5% 10/1/35 (d)  | 575000  | 593454  |
|  Palm Beach County Health Facilities:  |  |  |
|  Series 2018 A, 5% 11/15/45  | 1180000  | 1150096  |
|  Series 2020 B, 5% 11/15/42  | 190000  | 185541  |
|  Palm Beach County Health Facilities Auth. Hosp. Rev.:  |  |  |
|  (Jupiter Med. Ctr. Proj.) Series 2022:  |  |  |
|  5% 11/1/47 <br>| 2105000  | 2121568  |
|  5% 11/1/52 <br>| 270000  | 270501  |
|  Series 2014, 5% 12/1/22 (Escrowed to Maturity)  | 80000  | 80000  |
|  Series 2019, 4% 8/15/49  | 8600000  | 7856723  |
|  Palm Beach County Health Facilities Auth. Rev.:  |  |  |
|  Series 2020 A, 5% 6/1/55  | 305000  | 270707  |
|  Series 2022:  |  |  |
|  4% 6/1/31 <br>| 80000  | 71739  |
|  4% 6/1/36 <br>| 690000  | 578856  |
|  4% 6/1/41 <br>| 375000  | 294359  |
|  4.25% 6/1/56 <br>| 1500000  | 1107547  |
|  Palm Beach County School Board Ctfs. of Prtn.:  |  |  |
|  Series 2015 D:  |  |  |
|  5% 8/1/28 <br>| 680000  | 716059  |
|  5% 8/1/29 <br>| 730000  | 768518  |
|  Series 2018 A, 5% 8/1/24  | 40000  | 41456  |
|  Pasco County School Board Ctfs. of Prtn. Series 2018 A, 5% 8/1/35 (Build America Mutual Assurance Insured)  | 130000  | 141798  |
|  Pinellas County Hsg. Fin. Auth. Bonds Series 2021 B, 0.65%, tender 7/1/24 (b)  | 1115000  | 1065863  |
|  Pompano Beach Rev. (John Knox Village Proj.):  |  |  |
|  Series 2020:  |  |  |
|  4% 9/1/40 <br>| 40000  | 34022  |
|  4% 9/1/50 <br>| 1130000  | 884763  |
|  Series 2021 A:  |  |  |
|  4% 9/1/51 <br>| 1065000  | 816595  |
|  4% 9/1/56 <br>| 1205000  | 899460  |
|  Series 2021 B2, 1.45% 1/1/27  | 155000  | 135699  |
|  Putnam County Dev. Auth. Poll. Cont. Rev. (Seminole Elec. Coop., Inc. Proj.) Series 2018 A, 5% 3/15/42  | 750000  | 802381  |
|  Reunion East Cmnty. Dev. District Series 2022 A2, 7.375% 5/1/33 (g)  | 205000  | 2  |
|  Saint Lucie County School Board Ctfs. of Prtn. Series 2013 A, 5% 7/1/26  | 140000  | 141772  |
|  Sarasota County Health Facilities Auth. Retirement Facility Rev. (Village On The Isle Proj.) Series 2017 A:  |  |  |
|  5% 1/1/37  | 195000  | 181005  |
|  5% 1/1/42  | 225000  | 201984  |
|  5% 1/1/47  | 450000  | 390982  |
|  5% 1/1/52  | 950000  | 809627  |
|  Sarasota County Pub. Hosp. Board Series 1998 B:  |  |  |
|  5.25% 7/1/24 (Nat'l. Pub. Fin. Guarantee Corp. Insured)  | 1005000  | 1029969  |
|  5.5% 7/1/28 (Nat'l. Pub. Fin. Guarantee Corp. Insured)  | 840000  | 907316  |
|  Sarasota County Pub. Hosp. District Hosp. Rev. (Sarasota Memorial Hosp. Proj.) Series 2018, 5% 7/1/41  | 2950000  | 3061377  |
|  Sawyers Landing Cmnty. Dev. District Spl. Assessment Rev. Series 2021:  |  |  |
|  4.125% 5/1/41  | 430000  | 363247  |
|  4.25% 5/1/53  | 570000  | 453998  |
|  Seminole County Wtr. & Swr. Rev. Series 2015 A, 4% 10/1/29  | 450000  | 462590  |
|  Seminole County Indl. Dev. Auth. Retirement Facility Rev. (Legacy Pointe At UCF Proj.) Series 2019 A, 5.5% 11/15/49  | 945000  | 776120  |
|  South Broward Hosp. District Rev.:  |  |  |
|  Series 2018, 4% 5/1/48  | 625000  | 563159  |
|  Series 2021 A:  |  |  |
|  3% 5/1/51 <br>| 750000  | 547685  |
|  3% 5/1/51 <br>| 1400000  | 1007103  |
|  South Florida Wtr. Mgmt. District Ctfs. of Prtn. Series 2015:  |  |  |
|  5% 10/1/27  | 30000  | 32070  |
|  5% 10/1/28  | 225000  | 239715  |
|  5% 10/1/29  | 605000  | 643577  |
|  5% 10/1/30  | 110000  | 116834  |
|  5% 10/1/32  | 950000  | 1004697  |
|  South Miami Health Facilities Auth. Hosp. Rev. (Baptist Med. Ctr., FL. Proj.) Series 2017:  |  |  |
|  4% 8/15/33  | 305000  | 307927  |
|  5% 8/15/26  | 415000  | 441989  |
|  5% 8/15/27  | 270000  | 291423  |
|  5% 8/15/28  | 285000  | 307691  |
|  5% 8/15/29  | 85000  | 91520  |
|  5% 8/15/30  | 395000  | 424216  |
|  5% 8/15/31  | 380000  | 406663  |
|  5% 8/15/32  | 505000  | 538384  |
|  5% 8/15/34  | 790000  | 834879  |
|  5% 8/15/35  | 565000  | 593776  |
|  5% 8/15/37  | 280000  | 291603  |
|  5% 8/15/42  | 3240000  | 3313381  |
|  5% 8/15/47  | 3910000  | 3982106  |
|  St. Johns County Indl. Dev. Auth. (Vicars Landing Proj.) Series 2021 A:  |  |  |
|  4% 12/15/27  | 20000  | 18872  |
|  4% 12/15/28  | 20000  | 18583  |
|  4% 12/15/29  | 20000  | 18302  |
|  4% 12/15/30  | 20000  | 18024  |
|  4% 12/15/31  | 20000  | 17768  |
|  4% 12/15/36  | 100000  | 83043  |
|  4% 12/15/41  | 75000  | 58686  |
|  4% 12/15/46  | 75000  | 55498  |
|  4% 12/15/50  | 70000  | 50224  |
|  St. Johns County School Board (School Board of St. Johns County, Florida Master Lease Prog.) Series 2019 A:  |  |  |
|  5% 7/1/24  | 50000  | 51829  |
|  5% 7/1/25  | 95000  | 100232  |
|  Sterling Hill Cmnty. Dev. District Series 2003 B, 5.5% 11/1/10  | 9503  | 5132  |
|  Sumter County Indl. Dev. Auth. Hosp. Rev.:  |  |  |
|  (Central Florida Health Alliance Projs.) Series 2014 A:  |  |  |
|  5.125% 7/1/34 <br>| 100000  | 101218  |
|  5.25% 7/1/44 <br>| 310000  | 311277  |
|  Series 2014 A:  |  |  |
|  5% 7/1/26 <br>| 50000  | 50872  |
|  5% 7/1/29 <br>| 45000  | 45600  |
|  Tallahassee Health Facilities Rev.:  |  |  |
|  (Tallahassee Memorial Healthcare, Inc. Proj.) Series 2016 A:  |  |  |
|  5% 12/1/29 <br>| 80000  | 82554  |
|  5% 12/1/36 <br>| 60000  | 60883  |
|  5% 12/1/41 <br>| 135000  | 136298  |
|  5% 12/1/55 <br>| 65000  | 65259  |
|  Series 2015 A, 5% 12/1/40  | 685000  | 690747  |
|  Tampa Bay Wtr. Reg'l. Wtr. Supply Auth. Util. Sys. Rev. Series 2022 A, 5.25% 10/1/57  | 2500000  | 2759187  |
|  Tampa Hosp. Rev.:  |  |  |
|  (H. Lee Moffit Cancer Ctr. Proj.) Series 2020 B, 4% 7/1/38  | 65000  | 63739  |
|  (H. Lee Moffitt Cancer Ctr. Proj.):  |  |  |
|  Series 2016 B, 5% 7/1/37 <br>| 60000  | 61593  |
|  Series 2020 B: <br>|  |  |
|  4% 7/1/39 <br>| 65000  | 63438  |
|  4% 7/1/45 <br>| 4150000  | 3759724  |
|  5% 7/1/40 <br>| 145000  | 149888  |
|  5% 7/1/50 <br>| 3690000  | 3728179  |
|  Tampa Non-Ad Valorem Impt. Rev. Series 2021 C, 3% 10/1/36  | 250000  | 227061  |
|  Tampa Rev. (The Univ. of Tampa Proj.) Series 2015:  |  |  |
|  5% 4/1/40  | 350000  | 358007  |
|  5% 4/1/45  | 860000  | 876804  |
|  Tampa Sports Auth. Rev. Series 1995, 6.1% 10/1/26  | 170000  | 180857  |
|  Tampa Tax Allocation (H. Lee Moffitt Cancer Ctr. Proj.) Series 2020 A:  |  |  |
|  0% 9/1/34  | 305000  | 184034  |
|  0% 9/1/35  | 165000  | 94402  |
|  0% 9/1/36  | 255000  | 138556  |
|  0% 9/1/37  | 685000  | 353187  |
|  0% 9/1/38  | 230000  | 112550  |
|  0% 9/1/39  | 220000  | 101839  |
|  0% 9/1/40  | 290000  | 126710  |
|  0% 9/1/41  | 165000  | 68026  |
|  0% 9/1/42  | 165000  | 64803  |
|  0% 9/1/45  | 120000  | 40797  |
|  0% 9/1/49  | 1835000  | 507923  |
|  Tampa-Hillsborough County Expressway Auth. Rev. Series 2017, 5% 7/1/47  | 4425000  | 4526847  |
|  The Crossings at Fleming Island Cmnty. Dev. District Spl. Assessment Series 2014 A1, 4.5% 5/1/30  | 55000  | 54061  |
|  Viera Stewardship District Spl. Assessment Rev.:  |  |  |
|  (Village 2 - Series 2021 Proj.) Series 2021, 4% 5/1/53  | 290000  | 220157  |
|  Series 2021, 3.125% 5/1/41  | 100000  | 71601  |
|  Village Cmnty. Dev. District:  |  |  |
|  Series 2020, 3.5% 5/1/40 (Assured Guaranty Muni. Corp. Insured)  | 750000  | 703190  |
|  Series 2022:  |  |  |
|  5.375% 5/1/42 <br>| 2345000  | 2362695  |
|  5.5% 5/1/53 <br>| 1085000  | 1092159  |
|  Village Cmnty. Dev. District # 10. Spl. Assessment Rev. Series 2014:  |  |  |
|  5.125% 5/1/24  | 160000  | 160721  |
|  5.75% 5/1/31  | 455000  | 457489  |
|  6% 5/1/44  | 590000  | 593064  |
|  Volusia County Edl. Facilities Auth. Rev. (Embry-Riddle Aeronautical Univ., Inc. Proj.):  |  |  |
|  Series 2017, 5% 10/15/47  | 665000  | 687635  |
|  Series 2020 A:  |  |  |
|  5% 10/15/44 <br>| 215000  | 224120  |
|  5% 10/15/49 <br>| 405000  | 419485  |
|  Volusia County School Board Ctfs. of Prtn. (Florida Master Lease Prog.) Series 2016 A:  |  |  |
|  5% 8/1/29 (Build America Mutual Assurance Insured)  | 120000  | 127380  |
|  5% 8/1/30 (Build America Mutual Assurance Insured)  | 65000  | 68937  |
|  5% 8/1/31 (Build America Mutual Assurance Insured)  | 125000  | 132377  |
|  5% 8/1/32 (Build America Mutual Assurance Insured)  | 605000  | 640141  |
|  West Palm Beach Cmnty. Redev. Agcy. Tax Increment Rev. Series 2019:  |  |  |
|  5% 3/1/34  | 1150000  | 1282699  |
|  5% 3/1/35  | 1100000  | 1220296  |
|  Westview North Cmnty. Dev. Distf Series 2022, 6% 6/15/52  | 500000  | 501785  |
|  TOTAL FLORIDA  |  | 337840125  |
| Georgia - 2.3%  |  |  |
|  Atlanta Arpt. Passenger Facilities Charge Rev. Series 2019 D:  |  |  |
|  4% 7/1/35 (d)  | 1590000  | 1559633  |
|  4% 7/1/37 (d)  | 850000  | 822326  |
|  4% 7/1/39 (d)  | 1065000  | 1023395  |
|  4% 7/1/40 (d)  | 480000  | 458907  |
|  Atlanta Arpt. Rev.:  |  |  |
|  Series 2014 B, 5% 1/1/33  | 740000  | 754803  |
|  Series 2014 C:  |  |  |
|  5% 1/1/28 (d) <br>| 250000  | 253928  |
|  5% 1/1/29 (d) <br>| 415000  | 421138  |
|  Series 2019 B:  |  |  |
|  5% 7/1/25 (d) <br>| 330000  | 344400  |
|  5% 7/1/44 (d) <br>| 2090000  | 2145291  |
|  Atlanta Dev. Auth. Rev. (New Downtown Atlanta Stadium Proj.) Series 2015 A1:  |  |  |
|  5.25% 7/1/40  | 670000  | 692641  |
|  5.25% 7/1/44  | 3245000  | 3341807  |
|  Atlanta Dev. Auth. Sr. Health Care Facilities Current Interest Rev. (Georgia Proton Treatment Ctr. Proj.) Series 2017 A1:  |  |  |
|  6.5% 1/1/29  | 505000  | 267650  |
|  6.75% 1/1/35  | 2745000  | 1454850  |
|  7% 1/1/40  | 2910000  | 1542300  |
|  Atlanta Gen. Oblig. Series 2022 A1, 5% 12/1/42  | 2275000  | 2548702  |
|  Atlanta Urban Redev. Agcy.:  |  |  |
|  (Atlanta Beltine Trail Completion Proj.) Series 2021, 2.375% 7/1/26 (f)  | 140000  | 131808  |
|  Series 2021 A:  |  |  |
|  2.875% 7/1/31 (f) <br>| 165000  | 150192  |
|  3.625% 7/1/42 (f) <br>| 340000  | 295940  |
|  Series 2021, 3.875% 7/1/51 (f)  | 430000  | 366729  |
|  Atlanta Wtr. & Wastewtr. Rev.:  |  |  |
|  Series 2001, 5.5% 11/1/27 (Nat'l. Pub. Fin. Guarantee Corp. Insured)  | 240000  | 257772  |
|  Series 2015, 5% 11/1/29  | 500000  | 526682  |
|  Series 2018 C, 4% 11/1/37  | 500000  | 507509  |
|  Bainbridge Combined Utils. Rev. Series 2021, 4% 12/1/51  | 1315000  | 1275541  |
|  Bibb County Dev. Auth. Rev.:  |  |  |
|  (USG Real Estate Foundation IX, LLC Proj.) Series 2019, 4% 6/1/44  | 180000  | 171261  |
|  Series 2011 A, 5.75% 7/1/40 (Assured Guaranty Muni. Corp. Insured)  | 595000  | 596074  |
|  Brookhaven Dev. Auth. Rev. Series 2019 A:  |  |  |
|  4% 7/1/44  | 3740000  | 3676188  |
|  4% 7/1/49  | 1685000  | 1615554  |
|  5% 7/1/33  | 250000  | 274550  |
|  5% 7/1/36  | 400000  | 427274  |
|  5% 7/1/37  | 250000  | 265927  |
|  Burke County Indl. Dev. Auth. Poll. Cont. Rev.:  |  |  |
|  (Georgia Transmission Corp. Proj.) Series 2012, 2.75% 1/1/52 (b)  | 1890000  | 1235763  |
|  Bonds:  |  |  |
|  (Georgia Pwr. Co. Plant Vogtle Proj.): <br>|  |  |
|  Series 1994: <br>|  |  |
|  2.15%, tender 6/13/24 (b)  | 410000  | 398612  |
|  2.25%, tender 5/25/23 (b)  | 2110000  | 2098197  |
|  Series 2013 1st, 2.925%, tender 3/12/24 (b) <br>| 4420000  | 4359665  |
|  (Oglethorpe Pwr. Corp. Vogtle Proj.) Series 2013 A, 1.5%, tender 2/3/25 (b) <br>| 1825000  | 1713254  |
|  Series 1995, 2.25%, tender 5/25/23 (b) <br>| 1090000  | 1081652  |
|  Cobb County Dev. Auth.:  |  |  |
|  (Kennesaw State Univ. Real Estate Foundations Projs.) Series 2015 C, 5% 7/15/30  | 135000  | 136411  |
|  Series 2015 C, 5% 7/15/33  | 240000  | 241097  |
|  Cobb County Kennestone Hosp. Auth. Rev. (Wellstar Health Sys., Inc. Proj.):  |  |  |
|  Series 2020 A, 5% 4/1/50  | 1360000  | 1367807  |
|  Series 2020 B:  |  |  |
|  4% 4/1/32 <br>| 70000  | 71205  |
|  4% 4/1/34 <br>| 70000  | 70834  |
|  4% 4/1/36 <br>| 65000  | 65101  |
|  5% 4/1/37 <br>| 65000  | 68531  |
|  5% 4/1/38 <br>| 70000  | 73587  |
|  Series 2022 A, 4% 4/1/52  | 470000  | 426009  |
|  Cobb-Marietta Coliseum & Exhibit Hall Auth. Rev. Series 1993, 5.625% 10/1/26 (Nat'l. Pub. Fin. Guarantee Corp. Insured)  | 135000  | 142056  |
|  Columbus Med. Ctr. Hosp. Auth. Bonds (Piedmont Healthcare, Inc. Proj.) Series 2019 B, 5%, tender 7/1/29 (b)  | 1200000  | 1305363  |
|  Coweta County Dev. Auth. Rev. (Piedmont Healthcare, Inc. Proj.) Series 2019 A, 5% 7/1/44  | 6970000  | 7122557  |
|  Dalton Gen. Oblig. Series 2018, 5% 2/1/42  | 2510000  | 2679097  |
|  DeKalb County Wtr. & Swr. Rev. Series 2011 A:  |  |  |
|  5.25% 10/1/28  | 1125000  | 1127229  |
|  5.25% 10/1/29  | 300000  | 300583  |
|  5.25% 10/1/30  | 925000  | 926791  |
|  5.25% 10/1/36  | 420000  | 420585  |
|  5.25% 10/1/41  | 835000  | 836024  |
|  DeKalb Private Hosp. Auth. Rev. Series 2019 B, 5% 7/1/35  | 75000  | 80571  |
|  Fayette County Hosp. Auth. Rev. Bonds (Piedmont Healthcare, Inc. Proj.) Series 2019 A, 5%, tender 7/1/24 (b)  | 685000  | 698704  |
|  Fulton County Dev. Auth. (Robert W. Woodruff Arts Ctr., Inc. Proj.) Series 2015 A, 5% 3/15/36  | 775000  | 812905  |
|  Fulton County Dev. Auth. Hosp. Rev. (Wellstar Health Sys., Inc. Proj.):  |  |  |
|  Series 2017 A:  |  |  |
|  5% 4/1/37 <br>| 390000  | 403265  |
|  5% 4/1/42 <br>| 1455000  | 1477570  |
|  5% 4/1/47 <br>| 500000  | 503675  |
|  Series 2020 A, 4% 4/1/50  | 1510000  | 1379742  |
|  Fulton County Dev. Auth. Rev.:  |  |  |
|  (Piedmont Healthcare, Inc. Proj.) Series 2019 A, 4% 7/1/49  | 3245000  | 2975582  |
|  (Robert W. Woodruff Arts Ctr., Inc. Proj.) Series 2019 A, 5% 3/15/44  | 1085000  | 1141640  |
|  Series 2019 C:  |  |  |
|  5% 7/1/28 <br>| 85000  | 94359  |
|  5% 7/1/38 <br>| 70000  | 74261  |
|  Series 2019:  |  |  |
|  4% 6/15/49 <br>| 340000  | 323178  |
|  5% 6/15/44 <br>| 420000  | 453717  |
|  Fulton County Residential Care Facilities:  |  |  |
|  (Canterbury Court Proj.):  |  |  |
|  Series 2019 A: <br>|  |  |
|  5% 4/1/47 (f) <br>| 335000  | 273967  |
|  5% 4/1/54 (f) <br>| 535000  | 422213  |
|  Series 2021 A: <br>|  |  |
|  4% 4/1/41 (f) <br>| 420000  | 309533  |
|  4% 4/1/51 (f) <br>| 1195000  | 795574  |
|  (Lenbrook Square Foundation, Inc. Proj.) Series 2016, 5% 7/1/36  | 250000  | 245401  |
|  Gainesville & Hall County Dev. Auth. Retirement Cmnty. Rev. Series 2016, 5% 11/15/33  | 590000  | 592713  |
|  Gainesville & Hall County Hosp. Auth. Rev.:  |  |  |
|  (Northeast Georgia Health Sys., Inc. Proj.):  |  |  |
|  Series 2014 A: <br>|  |  |
|  5.25% 8/15/49 (Pre-Refunded to 2/15/25 @ 100) <br>| 3245000  | 3427626  |
|  5.5% 8/15/54 (Pre-Refunded to 2/15/25 @ 100) <br>| 900000  | 955436  |
|  Series 2017 A: <br>|  |  |
|  5% 2/15/42 <br>| 850000  | 864776  |
|  5% 2/15/45 <br>| 1065000  | 1074169  |
|  Series 2017 B, 5.5% 2/15/42 <br>| 1405000  | 1496368  |
|  Series 2020 A, 3% 2/15/47  | 5845000  | 4203232  |
|  Series 2021 A, 4% 2/15/51  | 1000000  | 900573  |
|  Georgia Higher Ed. Facilities Auth. Rev.:  |  |  |
|  (USG Real Estate Foundation II, LLC Projs.) Series 2019, 5% 6/15/34  | 265000  | 288456  |
|  (USG Real Estate Roundation II, LLC Projs.) Series 2019, 5% 6/15/35  | 240000  | 259213  |
|  Georgia Hsg. & Fin. Auth. Rev.:  |  |  |
|  Series 2014 A1, 4% 6/1/44  | 25000  | 25030  |
|  Series 2017 A, 4% 12/1/47  | 275000  | 275244  |
|  Georgia Muni. Elec. Auth. Pwr. Rev.:  |  |  |
|  Series 1994 EE, 7.25% 1/1/24 (AMBAC Insured)  | 120000  | 125772  |
|  Series 2015 A:  |  |  |
|  5% 1/1/35 <br>| 750000  | 767358  |
|  5.5% 7/1/60 <br>| 500000  | 506255  |
|  Series 2018 A:  |  |  |
|  5% 1/1/26 <br>| 205000  | 215824  |
|  5% 1/1/27 <br>| 375000  | 400403  |
|  5% 1/1/28 <br>| 105000  | 113676  |
|  Series 2018 HH:  |  |  |
|  5% 1/1/26 <br>| 1070000  | 1126498  |
|  5% 1/1/27 <br>| 605000  | 645984  |
|  5% 1/1/28 <br>| 630000  | 682055  |
|  5% 1/1/44 <br>| 250000  | 254137  |
|  Series 2019 A:  |  |  |
|  4% 1/1/49 <br>| 400000  | 364478  |
|  4% 1/1/49 <br>| 460000  | 414084  |
|  5% 1/1/26 <br>| 80000  | 84224  |
|  5% 1/1/30 <br>| 50000  | 54640  |
|  5% 1/1/32 <br>| 50000  | 54477  |
|  5% 1/1/34 <br>| 105000  | 112227  |
|  5% 1/1/35 <br>| 50000  | 53144  |
|  5% 1/1/36 <br>| 65000  | 68471  |
|  5% 1/1/37 <br>| 60000  | 62411  |
|  5% 1/1/38 <br>| 65000  | 67268  |
|  5% 1/1/39 <br>| 80000  | 82308  |
|  5% 1/1/44 <br>| 265000  | 268036  |
|  5% 1/1/49 <br>| 3720000  | 3726955  |
|  5% 1/1/56 <br>| 400000  | 408265  |
|  5% 1/1/56 <br>| 410000  | 411061  |
|  Series 2019 B2, 4% 1/1/49  | 1300000  | 1121284  |
|  Series 2020 A:  |  |  |
|  5% 1/1/45 <br>| 720000  | 727618  |
|  5% 1/1/50 <br>| 540000  | 542304  |
|  Series 2021 A:  |  |  |
|  4% 1/1/35 (Assured Guaranty Muni. Corp. Insured) <br>| 775000  | 784023  |
|  4% 1/1/37 (Assured Guaranty Muni. Corp. Insured) <br>| 465000  | 465765  |
|  4% 1/1/39 (Assured Guaranty Muni. Corp. Insured) <br>| 705000  | 698175  |
|  4% 1/1/39 (Assured Guaranty Muni. Corp. Insured) <br>| 430000  | 425837  |
|  4% 1/1/40 (Assured Guaranty Muni. Corp. Insured) <br>| 500000  | 490860  |
|  4% 1/1/41 (Assured Guaranty Muni. Corp. Insured) <br>| 360000  | 349484  |
|  4% 1/1/46 (Assured Guaranty Muni. Corp. Insured) <br>| 255000  | 236681  |
|  4% 1/1/46 (Assured Guaranty Muni. Corp. Insured) <br>| 160000  | 148506  |
|  4% 1/1/51 <br>| 240000  | 210523  |
|  4% 1/1/51 <br>| 240000  | 214268  |
|  5% 1/1/31 (Assured Guaranty Muni. Corp. Insured) <br>| 365000  | 404734  |
|  5% 1/1/33 (Assured Guaranty Muni. Corp. Insured) <br>| 705000  | 770761  |
|  5% 1/1/33 (Assured Guaranty Muni. Corp. Insured) <br>| 415000  | 453710  |
|  5% 1/1/34 (Assured Guaranty Muni. Corp. Insured) <br>| 625000  | 676235  |
|  5% 1/1/34 (Assured Guaranty Muni. Corp. Insured) <br>| 440000  | 476069  |
|  5% 1/1/56 <br>| 480000  | 480675  |
|  5% 1/1/56 <br>| 245000  | 245779  |
|  5% 1/1/62 (Assured Guaranty Muni. Corp. Insured) <br>| 575000  | 586116  |
|  5% 1/1/63 <br>| 750000  | 739044  |
|  Series GG:  |  |  |
|  5% 1/1/23 <br>| 90000  | 90158  |
|  5% 1/1/26 <br>| 650000  | 650913  |
|  Georgia Port Auth. Rev. Series 2022:  |  |  |
|  4% 7/1/47  | 510000  | 493813  |
|  4% 7/1/52  | 805000  | 760199  |
|  5% 7/1/47  | 1250000  | 1373874  |
|  5.25% 7/1/52  | 4025000  | 4477748  |
|  Georgia Road & Thruway Auth. Rev. Series 2020:  |  |  |
|  5% 6/1/31  | 1415000  | 1624860  |
|  5% 6/1/32  | 2120000  | 2429528  |
|  Glynn-Brunswick Memorial Hosp. Auth. Rev.:  |  |  |
|  (Southeast Georgia Health Sys. Proj.) Series 2017:  |  |  |
|  4% 8/1/43 <br>| 270000  | 234880  |
|  5% 8/1/39 <br>| 250000  | 252762  |
|  5% 8/1/43 <br>| 330000  | 332120  |
|  (Southwest Georgia Health Sys. Proj.) Series 2020:  |  |  |
|  4% 8/1/35 <br>| 65000  | 60442  |
|  4% 8/1/36 <br>| 70000  | 65417  |
|  4% 8/1/37 <br>| 45000  | 41630  |
|  Griffin-Spalding County Hosp. (Wellstar Health Sys., Inc. Proj.) Series 2017 A, 5% 4/1/37  | 440000  | 454966  |
|  Hosp. Auth. of Savannah Auth. Rev.:  |  |  |
|  Series 2013 A, 5.5% 7/1/31  | 550000  | 556621  |
|  Series 2019 A:  |  |  |
|  4% 7/1/35 <br>| 275000  | 275836  |
|  4% 7/1/36 <br>| 1090000  | 1089078  |
|  4% 7/1/39 <br>| 140000  | 136799  |
|  4% 7/1/43 <br>| 1285000  | 1235572  |
|  Macon-Bibb County Urban Dev. Auh. Series 2017 A:  |  |  |
|  5% 6/15/27 (f)  | 40000  | 39951  |
|  5.75% 6/15/37 (f)  | 220000  | 222615  |
|  5.875% 6/15/47 (f)  | 350000  | 350059  |
|  6% 6/15/52 (f)  | 215000  | 215551  |
|  Main Street Natural Gas, Inc.:  |  |  |
|  Bonds:  |  |  |
|  Series 2018 B, 1 month U.S. LIBOR + 0.750% 3.274%, tender 12/4/22 (b)(c) <br>| 2200000  | 2188210  |
|  Series 2018 C, 4%, tender 12/1/23 (b) <br>| 5010000  | 5028185  |
|  Series 2019 B, 4%, tender 12/2/24 (b) <br>| 2690000  | 2707439  |
|  Series 2019 C, 4%, tender 9/1/26 (b) <br>| 3045000  | 3007862  |
|  Series 2021 A, 4%, tender 9/1/27 (b) <br>| 45615000  | 45699853  |
|  Series 2021 C, 4%, tender 12/1/28 (b) <br>| 10960000  | 10711049  |
|  Series 2022 B, 5%, tender 6/1/29 (b) <br>| 3825000  | 3945728  |
|  Series 2022 E, 4%, tender 12/1/29 (b) <br>| 12620000  | 12255495  |
|  Series 2019 A:  |  |  |
|  4% 5/15/39 <br>| 250000  | 229225  |
|  5% 5/15/31 <br>| 2410000  | 2519084  |
|  5% 5/15/32 <br>| 740000  | 771712  |
|  5% 5/15/34 <br>| 480000  | 496152  |
|  5% 5/15/35 <br>| 250000  | 258734  |
|  5% 5/15/36 <br>| 500000  | 516780  |
|  5% 5/15/43 <br>| 865000  | 870052  |
|  Main Street Natural Gas, Inc. Georgia Gas Proj. Rev. Series 2007 A:  |  |  |
|  5.5% 9/15/26  | 2590000  | 2742093  |
|  5.5% 9/15/28  | 370000  | 399285  |
|  Marietta Dev. Auth. Rev.:  |  |  |
|  (Life Univ., Inc. Proj.) Series 2017 A:  |  |  |
|  5% 11/1/27 (f) <br>| 485000  | 490868  |
|  5% 11/1/37 (f) <br>| 395000  | 382080  |
|  (Life Univ., Inc. Proj.) Series 2017 A, 5% 11/1/47 (f)  | 1550000  | 1425800  |
|  Monroe County Dev. Auth. Poll. Cont. Rev.:  |  |  |
|  (Georgia Pwr. Co. Plant Scherer Proj.) Series 1995, 2.25% 7/1/25  | 70000  | 66475  |
|  Bonds (Oglethorpe Pwr. Corp. Scherer Proj.) Series 2013 A, 1.5%, tender 2/3/25 (b)  | 1050000  | 985708  |
|  Paulding County Hosp. Auth. Rev. Series 2022 A:  |  |  |
|  5% 4/1/26  | 15000  | 15834  |
|  5% 4/1/27  | 10000  | 10661  |
|  5% 4/1/28  | 25000  | 26862  |
|  5% 4/1/29  | 20000  | 21604  |
|  5% 4/1/30  | 15000  | 16256  |
|  5% 4/1/31  | 20000  | 21839  |
|  5% 4/1/32  | 15000  | 16465  |
|  Private Colleges & Univs. Auth. Rev.:  |  |  |
|  (Savannah College Art & Design, Inc. Proj.) Series 2014, 5% 4/1/24 (Escrowed to Maturity)  | 610000  | 629320  |
|  (The Savannah College of Art & Design Projs.) Series 2021:  |  |  |
|  4% 4/1/37 <br>| 705000  | 693431  |
|  4% 4/1/38 <br>| 85000  | 83086  |
|  4% 4/1/40 <br>| 80000  | 77368  |
|  4% 4/1/44 <br>| 1500000  | 1427452  |
|  5% 4/1/27 <br>| 25000  | 26694  |
|  5% 4/1/30 <br>| 390000  | 430307  |
|  5% 4/1/31 <br>| 40000  | 44557  |
|  5% 4/1/36 <br>| 490000  | 533285  |
|  Series 2016 B, 5% 10/1/38  | 865000  | 912718  |
|  Series 2020 B:  |  |  |
|  4% 9/1/37 <br>| 950000  | 963904  |
|  4% 9/1/38 <br>| 1425000  | 1441990  |
|  4% 9/1/40 <br>| 2250000  | 2258443  |
|  5% 9/1/25 <br>| 875000  | 931564  |
|  5% 9/1/30 <br>| 1000000  | 1158345  |
|  5% 9/1/31 <br>| 155000  | 178423  |
|  5% 9/1/32 <br>| 895000  | 1027542  |
|  5% 9/1/33 <br>| 140000  | 160081  |
|  Series A:  |  |  |
|  5% 6/1/23 <br>| 25000  | 25279  |
|  5% 6/1/24 <br>| 45000  | 46350  |
|  Savannah Econ. Dev. Auth. Rev. (The Marshes of Skidaway Island Proj.) Series 2013, 7.25% 1/1/44 (Pre-Refunded to 1/1/24 @ 100)  | 1345000  | 1408952  |
|  Walton County Wtr. & Sew Auth. Series 2022, 5% 2/1/53  | 450000  | 491961  |
|  World Congress Ctr. Auth. Convention Ctr. Hotel Second Tier Rev.:  |  |  |
|  Series 2021 A:  |  |  |
|  2.375% 1/1/31 <br>| 390000  | 340787  |
|  4% 1/1/36 <br>| 680000  | 625640  |
|  4% 1/1/54 <br>| 5440000  | 4406498  |
|  Series 2021 B:  |  |  |
|  3.625% 1/1/31 (f) <br>| 505000  | 446449  |
|  5% 1/1/36 (f) <br>| 710000  | 662636  |
|  5% 1/1/54 (f) <br>| 4145000  | 3435513  |
|  TOTAL GEORGIA  |  | 245747294  |
| Guam - 0.1%  |  |  |
|  Guam Dept. of Ed. (John F. Kennedy High School Rfdg. And Energy Efficiency Proj.) Series 2020 A, 5% 2/1/40  | 250000  | 244067  |
|  Guam Govt. Bus. Privilege Tax Rev.:  |  |  |
|  Series 2015 D:  |  |  |
|  5% 11/15/34 <br>| 300000  | 303850  |
|  5% 11/15/35 <br>| 300000  | 303157  |
|  Series 2021 F:  |  |  |
|  4% 1/1/42 <br>| 705000  | 610369  |
|  5% 1/1/28 <br>| 60000  | 62248  |
|  5% 1/1/29 <br>| 315000  | 328056  |
|  5% 1/1/30 <br>| 375000  | 391972  |
|  5% 1/1/31 <br>| 395000  | 414102  |
|  Series 2021, 4% 1/1/36  | 2115000  | 1951731  |
|  Guam Int'l. Arpt. Auth. Rev.:  |  |  |
|  Series 2013 C, 6.125% 10/1/43 (Pre-Refunded to 10/1/23 @ 100) (d)  | 500000  | 512277  |
|  Series 2021 A:  |  |  |
|  3.839% 10/1/36 <br>| 180000  | 150763  |
|  4.46% 10/1/43 <br>| 205000  | 164541  |
|  Series 2023 A:  |  |  |
|  5.25% 10/1/30 (d) <br>| 1500000  | 1516971  |
|  5.375% 10/1/40 (d) <br>| 525000  | 505818  |
|  Guam Pwr. Auth. Rev. Series 2022 A:  |  |  |
|  5% 10/1/38  | 1000000  | 1032858  |
|  5% 10/1/44  | 1350000  | 1374061  |
|  Guam Wtrwks. Auth. Wtr. and Wastewtr. Sys. Rev.:  |  |  |
|  Series 2013, 5.5% 7/1/43 (Pre-Refunded to 7/1/23 @ 100)  | 250000  | 254257  |
|  Series 2016, 5% 1/1/46  | 1250000  | 1254907  |
|  Series 2020 A, 5% 1/1/50  | 1760000  | 1764914  |
|  Port Auth. of Guam Port Rev. Series 2018 A, 5% 7/1/48  | 250000  | 252339  |
|  TOTAL GUAM  |  | 13393258  |
| Hawaii - 0.3%  |  |  |
|  Hawaii Arpts. Sys. Rev.:  |  |  |
|  Series 2018 A:  |  |  |
|  5% 7/1/29 (d) <br>| 155000  | 166153  |
|  5% 7/1/30 (d) <br>| 185000  | 197624  |
|  5% 7/1/31 (d) <br>| 175000  | 186486  |
|  5% 7/1/32 (d) <br>| 185000  | 196268  |
|  5% 7/1/33 (d) <br>| 185000  | 195247  |
|  5% 7/1/43 (d) <br>| 1770000  | 1805053  |
|  5% 7/1/48 (d) <br>| 10030000  | 10163038  |
|  Series 2022 A:  |  |  |
|  4% 7/1/40 (d) <br>| 250000  | 236216  |
|  5% 7/1/47 (d) <br>| 1000000  | 1026908  |
|  Hawaii Dept. of Budget & Fin. Spl. Purp. Rev.:  |  |  |
|  Series 2013 A, 6.875% 7/1/43 (f)  | 300000  | 301528  |
|  Series 2017 B, 4% 3/1/37 (d)  | 250000  | 235618  |
|  Series 2019, 3.5% 10/1/49 (d)  | 1400000  | 1117903  |
|  Hawaii Gen. Oblig.:  |  |  |
|  Series 2016 FB, 4% 4/1/31  | 800000  | 826920  |
|  Series 2016 FH, 4% 10/1/30  | 1000000  | 1040695  |
|  Series 2017 FK:  |  |  |
|  4% 5/1/32 <br>| 450000  | 467147  |
|  5% 5/1/33 <br>| 235000  | 255026  |
|  Series 2020 A:  |  |  |
|  4% 7/1/33 (d) <br>| 100000  | 102075  |
|  4% 7/1/34 (d) <br>| 85000  | 86215  |
|  4% 7/1/35 (d) <br>| 60000  | 60522  |
|  4% 7/1/36 (d) <br>| 150000  | 150687  |
|  Series 2020 C:  |  |  |
|  4% 7/1/37 <br>| 60000  | 61004  |
|  4% 7/1/38 <br>| 70000  | 70946  |
|  4% 7/1/40 <br>| 60000  | 60296  |
|  Series FG, 5% 10/1/27  | 65000  | 70431  |
|  Hawaii Hwy. Rev. Series 2019 A, 5% 1/1/39  | 250000  | 270764  |
|  Honolulu City & County Gen. Oblig.:  |  |  |
|  (Honolulu Rail Transit Proj.) Series 2020 B, 5% 3/1/29  | 4975000  | 5615847  |
|  Series 2016 C, 4% 10/1/31  | 470000  | 488281  |
|  Series 2018 A, 5% 9/1/41  | 130000  | 139837  |
|  Series 2019 A, 5% 9/1/24  | 50000  | 52036  |
|  Series 2022 A:  |  |  |
|  5% 11/1/24 <br>| 605000  | 631867  |
|  5% 11/1/25 <br>| 270000  | 287820  |
|  Honolulu City and County Wastewtr. Sys.:  |  |  |
|  Series 2015 A, 5% 7/1/40 (Pre-Refunded to 7/1/25 @ 100)  | 55000  | 58254  |
|  Series 2015 B, 4% 7/1/29  | 1150000  | 1182805  |
|  Series 2022 A, 5% 7/1/51  | 1200000  | 1307702  |
|  Kauai County Hawaii Cmnty. Facilities D Series 2022:  |  |  |
|  4.375% 5/15/42  | 250000  | 219098  |
|  5% 5/15/51  | 500000  | 483059  |
|  TOTAL HAWAII  |  | 29817376  |
| Idaho - 0.1%  |  |  |
|  Idaho Health Facilities Auth. Rev.:  |  |  |
|  (St. Luke's Health Sys. Proj.) Series 2014 A, 5% 3/1/39  | 2575000  | 2602034  |
|  Series 2015 ID:  |  |  |
|  5% 12/1/24 <br>| 30000  | 31298  |
|  5.5% 12/1/27 <br>| 180000  | 191590  |
|  Idaho Hsg. & Fin. Assoc. Single Family Mtg.:  |  |  |
|  (Idaho St Garvee Proj.) Series 2017 A:  |  |  |
|  5% 7/15/24 <br>| 40000  | 41477  |
|  5% 7/15/25 <br>| 40000  | 42265  |
|  5% 7/15/26 <br>| 30000  | 32253  |
|  Series 2019 A:  |  |  |
|  4% 1/1/50 <br>| 130000  | 130070  |
|  5% 7/15/37 <br>| 1000000  | 1082216  |
|  Series 2021 A:  |  |  |
|  5% 7/15/29 <br>| 190000  | 213301  |
|  5% 7/15/30 <br>| 65000  | 73758  |
|  5% 7/15/31 <br>| 40000  | 45907  |
|  5% 7/15/32 <br>| 80000  | 91612  |
|  Idaho Hsg. and Fin. Assoc. (Gem Prep: Meridian Proj.) Series 2022 A, 4% 5/1/57  | 250000  | 209649  |
|  Pwr. County Idaho Indl. Dev. Corp. Solid Waste Disp. Rev. Series 1999, 6.45% 8/1/32 (d)  | 640000  | 642241  |
|  Spring Valley Cmnty. Infrastructure District No. 1 Eagle Spl. Assessment Series 2021, 3.75% 9/1/51 (f)  | 3027000  | 2179022  |
|  TOTAL IDAHO  |  | 7608693  |
| Illinois - 6.4%  |  |  |
|  Bridgeview Fin. Corp. Series 2017 A, 5% 12/1/42  | 250000  | 238450  |
|  Bridgeview Gen. Oblig.:  |  |  |
|  Series 2005, 5.14% 12/1/36  | 1960000  | 1744679  |
|  Series 2015 A, 5.625% 12/1/41  | 250000  | 240756  |
|  Carol Stream Park District Dupage County Series 2020 C:  |  |  |
|  3% 11/1/32  | 265000  | 254227  |
|  4% 11/1/27  | 40000  | 42055  |
|  Champaign County Cmnty. Unit:  |  |  |
|  Series 2019:  |  |  |
|  4% 6/1/26 <br>| 5000  | 5196  |
|  4% 6/1/27 <br>| 55000  | 57479  |
|  4% 6/1/28 <br>| 40000  | 42174  |
|  4% 6/1/29 <br>| 100000  | 106271  |
|  4% 6/1/30 <br>| 65000  | 68844  |
|  4% 6/1/31 <br>| 80000  | 84436  |
|  4% 6/1/34 <br>| 65000  | 67507  |
|  4% 6/1/35 <br>| 85000  | 87401  |
|  4% 6/1/36 <br>| 100000  | 101944  |
|  Series 2020 A:  |  |  |
|  5% 1/1/29 <br>| 45000  | 49569  |
|  5% 1/1/30 <br>| 40000  | 43876  |
|  5% 1/1/31 <br>| 55000  | 60160  |
|  5% 1/1/33 <br>| 105000  | 114099  |
|  Chicago Board of Ed.:  |  |  |
|  Series 1998 B, 0% 12/1/30  | 250000  | 176771  |
|  Series 1998 B1:  |  |  |
|  0% 12/1/23 <br>| 3115000  | 3003256  |
|  0% 12/1/26 (FGIC Insured) <br>| 725000  | 618026  |
|  0% 12/1/27 (FGIC Insured) <br>| 2180000  | 1777913  |
|  0% 12/1/28 (Nat'l. Pub. Fin. Guarantee Corp. Insured) <br>| 830000  | 646178  |
|  0% 12/1/29 (Assured Guaranty Muni. Corp. Insured) <br>| 1995000  | 1523415  |
|  Series 1999 A:  |  |  |
|  0% 12/1/22 <br>| 300000  | 300000  |
|  0% 12/1/23 (FGIC Insured) <br>| 280000  | 269956  |
|  0% 12/1/26 (Nat'l. Pub. Fin. Guarantee Corp. Insured) <br>| 2000000  | 1704899  |
|  0% 12/1/27 (FGIC Insured) <br>| 250000  | 203889  |
|  0% 12/1/28 (FGIC Insured) <br>| 2110000  | 1642694  |
|  0% 12/1/29 <br>| 700000  | 520070  |
|  0% 12/1/30 (Nat'l. Pub. Fin. Guarantee Corp. Insured) <br>| 305000  | 215660  |
|  5.25% 12/1/23 (Nat'l. Pub. Fin. Guarantee Corp. Insured) <br>| 1450000  | 1464081  |
|  5.5% 12/1/26 (Assured Guaranty Corp. Insured) (FGIC Insured) <br>| 500000  | 522758  |
|  Series 1999, 0% 12/1/22 (Berkshire Hathaway Assurance Corp. Insured) (FGIC Insured)  | 95000  | 95000  |
|  Series 2005 A:  |  |  |
|  5.5% 12/1/29 (AMBAC Insured) <br>| 165000  | 175609  |
|  5.5% 12/1/30 (AMBAC Insured) <br>| 120000  | 128556  |
|  5.5% 12/1/31 (AMBAC Insured) <br>| 330000  | 354804  |
|  Series 2012 A, 5% 12/1/42  | 2605000  | 2483568  |
|  Series 2013 A, 5.5% 12/1/28 (AMBAC Insured)  | 245000  | 258961  |
|  Series 2015 C:  |  |  |
|  5.25% 12/1/35 <br>| 130000  | 130722  |
|  5.25% 12/1/39 <br>| 260000  | 260585  |
|  Series 2016 A, 7% 12/1/44  | 505000  | 536306  |
|  Series 2016 B, 6.5% 12/1/46  | 40000  | 42281  |
|  Series 2016, 6% 4/1/46  | 5950000  | 6185805  |
|  Series 2017 A, 7% 12/1/46 (f)  | 640000  | 695649  |
|  Series 2017 B, 7% 12/1/42 (f)  | 300000  | 327791  |
|  Series 2017 C:  |  |  |
|  5% 12/1/24 <br>| 805000  | 813981  |
|  5% 12/1/25 <br>| 560000  | 567392  |
|  5% 12/1/26 <br>| 65000  | 65775  |
|  5% 12/1/30 <br>| 310000  | 312646  |
|  Series 2017 D:  |  |  |
|  5% 12/1/23 <br>| 360000  | 363260  |
|  5% 12/1/24 <br>| 215000  | 217399  |
|  5% 12/1/31 <br>| 475000  | 478193  |
|  Series 2017 G:  |  |  |
|  5% 12/1/34 <br>| 570000  | 566346  |
|  5% 12/1/44 <br>| 600000  | 568581  |
|  Series 2017 H:  |  |  |
|  5% 12/1/36 <br>| 1050000  | 1032402  |
|  5% 12/1/46 <br>| 1320000  | 1242681  |
|  Series 2017:  |  |  |
|  5% 4/1/36 <br>| 215000  | 217717  |
|  5% 4/1/37 <br>| 210000  | 212230  |
|  5% 4/1/42 <br>| 655000  | 656830  |
|  5% 4/1/46 <br>| 1200000  | 1188592  |
|  Series 2018 A:  |  |  |
|  5% 12/1/24 (Assured Guaranty Muni. Corp. Insured) <br>| 295000  | 301470  |
|  5% 12/1/25 <br>| 70000  | 70924  |
|  5% 12/1/26 <br>| 70000  | 70835  |
|  5% 12/1/27 (Assured Guaranty Muni. Corp. Insured) <br>| 950000  | 993877  |
|  5% 12/1/28 <br>| 575000  | 581433  |
|  5% 12/1/29 <br>| 250000  | 252642  |
|  5% 12/1/30 <br>| 835000  | 842066  |
|  5% 12/1/32 <br>| 100000  | 100521  |
|  5% 12/1/34 (Assured Guaranty Muni. Corp. Insured) <br>| 100000  | 102738  |
|  5% 12/1/35 <br>| 70000  | 69553  |
|  5% 12/1/35 (Assured Guaranty Muni. Corp. Insured) <br>| 100000  | 102356  |
|  Series 2018 C:  |  |  |
|  5% 12/1/24 <br>| 100000  | 101116  |
|  5% 12/1/25 <br>| 580000  | 588301  |
|  5% 12/1/30 (Assured Guaranty Muni. Corp. Insured) <br>| 500000  | 523403  |
|  5% 12/1/31 (Assured Guaranty Muni. Corp. Insured) <br>| 1100000  | 1148841  |
|  5% 12/1/32 (Assured Guaranty Muni. Corp. Insured) <br>| 900000  | 938070  |
|  5% 12/1/46 <br>| 5935000  | 5569913  |
|  Series 2018:  |  |  |
|  5% 4/1/38 <br>| 290000  | 292468  |
|  5% 4/1/42 <br>| 1060000  | 1061114  |
|  5% 4/1/46 <br>| 300000  | 295109  |
|  Series 2019 A:  |  |  |
|  5% 12/1/23 <br>| 140000  | 141268  |
|  5% 12/1/25 <br>| 140000  | 141848  |
|  5% 12/1/26 <br>| 115000  | 116371  |
|  5% 12/1/28 <br>| 405000  | 409531  |
|  5% 12/1/29 <br>| 175000  | 176129  |
|  5% 12/1/30 <br>| 1040000  | 1048601  |
|  5% 12/1/31 <br>| 465000  | 467813  |
|  5% 12/1/33 <br>| 1090000  | 1087598  |
|  Series 2021 A:  |  |  |
|  5% 12/1/35 <br>| 2500000  | 2471686  |
|  5% 12/1/36 <br>| 195000  | 191406  |
|  5% 12/1/37 <br>| 600000  | 585413  |
|  5% 12/1/39 <br>| 2690000  | 2602408  |
|  5% 12/1/40 <br>| 2015000  | 1940097  |
|  Series 2021 B:  |  |  |
|  5% 12/1/31 <br>| 300000  | 300488  |
|  5% 12/1/36 <br>| 615000  | 607084  |
|  Series 2022 A:  |  |  |
|  4% 12/1/47 <br>| 2180000  | 1774941  |
|  5% 12/1/43 <br>| 7015000  | 6648914  |
|  5% 12/1/47 <br>| 4820000  | 4489312  |
|  Series 2022 B:  |  |  |
|  4% 12/1/35 <br>| 1535000  | 1401245  |
|  4% 12/1/36 <br>| 2880000  | 2607505  |
|  4% 12/1/38 <br>| 475000  | 422367  |
|  4% 12/1/39 <br>| 1000000  | 876636  |
|  4% 12/1/40 <br>| 265000  | 229169  |
|  4% 12/1/41 <br>| 475000  | 405337  |
|  Chicago Gen. Oblig.:  |  |  |
|  (Cap. Impt. Proj.) Series 1999, 0% 1/1/27 (Nat'l. Pub. Fin. Guarantee Corp. Insured)  | 1790000  | 1524429  |
|  (City Colleges Proj.) Series 1999, 0% 1/1/26 (Nat'l. Pub. Fin. Guarantee Corp. Insured)  | 2065000  | 1835237  |
|  Series 2005 D, 5.5% 1/1/40  | 1690000  | 1701450  |
|  Series 2007 E, 5.5% 1/1/35  | 210000  | 211705  |
|  Series 2013 A, 5.5% 1/1/33  | 195000  | 196839  |
|  Series 2014 A:  |  |  |
|  5% 1/1/35 <br>| 250000  | 249164  |
|  5.25% 1/1/29 <br>| 475000  | 478293  |
|  Series 2015 C, 5% 1/1/25  | 340000  | 344595  |
|  Series 2017 A:  |  |  |
|  5.625% 1/1/31 <br>| 60000  | 61521  |
|  5.75% 1/1/34 <br>| 250000  | 255770  |
|  6% 1/1/38 <br>| 750000  | 792306  |
|  6% 1/1/38 <br>| 8075000  | 8390410  |
|  Series 2019 A:  |  |  |
|  5% 1/1/39 <br>| 820000  | 821670  |
|  5% 1/1/40 <br>| 740000  | 738285  |
|  5% 1/1/44 <br>| 5350000  | 5240420  |
|  5.5% 1/1/35 <br>| 565000  | 583815  |
|  5.5% 1/1/49 <br>| 4180000  | 4235769  |
|  Series 2020 A:  |  |  |
|  5% 1/1/25 <br>| 155000  | 157062  |
|  5% 1/1/26 <br>| 1055000  | 1072800  |
|  5% 1/1/27 <br>| 2050000  | 2087986  |
|  5% 1/1/28 <br>| 2955000  | 3017081  |
|  5% 1/1/29 <br>| 3820000  | 3901195  |
|  5% 1/1/30 <br>| 4310000  | 4402566  |
|  5% 1/1/32 <br>| 85000  | 86216  |
|  Series 2021 A:  |  |  |
|  4% 1/1/35 <br>| 530000  | 482712  |
|  4% 1/1/36 <br>| 1250000  | 1126880  |
|  5% 1/1/29 <br>| 1670000  | 1705496  |
|  5% 1/1/31 <br>| 95000  | 96684  |
|  5% 1/1/32 <br>| 5245000  | 5300783  |
|  5% 1/1/33 <br>| 990000  | 994906  |
|  5% 1/1/34 <br>| 705000  | 705463  |
|  Series 2021 B:  |  |  |
|  4% 1/1/32 <br>| 82000  | 77361  |
|  4% 1/1/38 <br>| 110000  | 96944  |
|  Chicago Metropolitan Wtr. Reclamation District of Greater Chicago:  |  |  |
|  Series 2014 A, 5% 12/1/44 (Pre-Refunded to 12/1/24 @ 100)  | 2650000  | 2773610  |
|  Series 2014 B, 5% 12/1/39 (Pre-Refunded to 12/1/24 @ 100)  | 2435000  | 2548581  |
|  Series 2015 D, 5% 12/1/22  | 1250000  | 1250000  |
|  Chicago Midway Arpt. Rev.:  |  |  |
|  Series 2013 A, 5.5% 1/1/29 (d)  | 565000  | 565713  |
|  Series 2013 B, 5% 1/1/25  | 40000  | 40059  |
|  Series 2014 A:  |  |  |
|  5% 1/1/28 (d) <br>| 475000  | 480847  |
|  5% 1/1/31 (d) <br>| 325000  | 328856  |
|  5% 1/1/33 (d) <br>| 1715000  | 1724948  |
|  5% 1/1/34 (d) <br>| 1025000  | 1027691  |
|  Series 2016 A:  |  |  |
|  4% 1/1/33 (d) <br>| 905000  | 882179  |
|  5% 1/1/28 (d) <br>| 245000  | 253656  |
|  Series 2016 B:  |  |  |
|  4% 1/1/35 <br>| 235000  | 231223  |
|  5% 1/1/36 <br>| 495000  | 506440  |
|  5% 1/1/37 <br>| 625000  | 637608  |
|  5% 1/1/46 <br>| 660000  | 667705  |
|  Chicago Motor Fuel Tax Rev. Series 2013, 5% 1/1/33 (Pre-Refunded to 1/1/24 @ 100)  | 750000  | 769036  |
|  Chicago O'Hare Int'l. Arpt. Rev.:  |  |  |
|  Series 2013 B, 5% 1/1/27  | 765000  | 766542  |
|  Series 2013 D:  |  |  |
|  5% 1/1/25 <br>| 30000  | 30060  |
|  5.25% 1/1/31 <br>| 95000  | 95210  |
|  Series 2013:  |  |  |
|  5.25% 1/1/32 (Assured Guaranty Muni. Corp. Insured) <br>| 200000  | 200292  |
|  5.25% 1/1/33 (Assured Guaranty Muni. Corp. Insured) <br>| 100000  | 100143  |
|  5.75% 1/1/38 <br>| 1690000  | 1692174  |
|  Series 2015 A:  |  |  |
|  5% 1/1/27 (d) <br>| 1475000  | 1514366  |
|  5% 1/1/31 (d) <br>| 735000  | 749287  |
|  5% 1/1/32 (d) <br>| 1450000  | 1476618  |
|  5% 1/1/34 (d) <br>| 1975000  | 2006723  |
|  Series 2015 B:  |  |  |
|  5% 1/1/28 <br>| 635000  | 660112  |
|  5% 1/1/30 <br>| 580000  | 601995  |
|  5% 1/1/32 <br>| 65000  | 67124  |
|  Series 2015 C:  |  |  |
|  5% 1/1/31 (d) <br>| 785000  | 800259  |
|  5% 1/1/32 (d) <br>| 800000  | 814686  |
|  5% 1/1/33 (d) <br>| 725000  | 737707  |
|  5% 1/1/46 (d) <br>| 2975000  | 2975577  |
|  Series 2015 D, 5% 1/1/46  | 240000  | 242406  |
|  Series 2015:  |  |  |
|  5% 1/1/34 (d) <br>| 675000  | 685842  |
|  5% 1/1/35 (d) <br>| 120000  | 121673  |
|  Series 2016 B:  |  |  |
|  5% 1/1/34 <br>| 900000  | 936029  |
|  5% 1/1/35 <br>| 540000  | 559920  |
|  5% 1/1/41 <br>| 360000  | 366951  |
|  Series 2016 C:  |  |  |
|  5% 1/1/32 <br>| 265000  | 277618  |
|  5% 1/1/33 <br>| 405000  | 422334  |
|  5% 1/1/34 <br>| 470000  | 488815  |
|  Series 2016 D, 5% 1/1/47  | 3420000  | 3481917  |
|  Series 2016 G:  |  |  |
|  5% 1/1/37 (d) <br>| 245000  | 251415  |
|  5% 1/1/42 (d) <br>| 245000  | 248515  |
|  5% 1/1/47 (d) <br>| 395000  | 398488  |
|  5% 1/1/52 (d) <br>| 365000  | 367319  |
|  5.25% 1/1/29 (d) <br>| 40000  | 42111  |
|  5.25% 1/1/31 (d) <br>| 50000  | 52589  |
|  Series 2017 A, 5% 1/1/31  | 430000  | 459121  |
|  Series 2017 B:  |  |  |
|  5% 1/1/34 <br>| 85000  | 89430  |
|  5% 1/1/35 <br>| 395000  | 413960  |
|  5% 1/1/36 <br>| 90000  | 94074  |
|  5% 1/1/37 <br>| 1395000  | 1453254  |
|  5% 1/1/38 <br>| 125000  | 129992  |
|  Series 2017 C:  |  |  |
|  5% 1/1/30 <br>| 75000  | 80414  |
|  5% 1/1/31 <br>| 75000  | 80079  |
|  5% 1/1/32 <br>| 80000  | 84965  |
|  Series 2017 D:  |  |  |
|  5% 1/1/28 (d) <br>| 365000  | 382058  |
|  5% 1/1/29 (d) <br>| 305000  | 318243  |
|  5% 1/1/32 (d) <br>| 330000  | 343446  |
|  5% 1/1/34 (d) <br>| 495000  | 512996  |
|  5% 1/1/35 (d) <br>| 365000  | 376795  |
|  5% 1/1/36 (d) <br>| 450000  | 463335  |
|  5% 1/1/37 (d) <br>| 245000  | 251415  |
|  5% 1/1/52 (d) <br>| 250000  | 251588  |
|  Series 2018 A:  |  |  |
|  5% 1/1/37 (d) <br>| 2675000  | 2775226  |
|  5% 1/1/38 (d) <br>| 70000  | 72253  |
|  5% 1/1/39 (d) <br>| 2415000  | 2484674  |
|  5% 1/1/48 (d) <br>| 1995000  | 2022467  |
|  5% 1/1/53 (d) <br>| 690000  | 696977  |
|  Series 2018 B:  |  |  |
|  5% 1/1/36 <br>| 145000  | 154434  |
|  5% 1/1/37 <br>| 210000  | 222593  |
|  5% 1/1/48 <br>| 735000  | 752919  |
|  5% 1/1/53 <br>| 90000  | 91957  |
|  Series 2020 A:  |  |  |
|  4% 1/1/36 (Assured Guaranty Muni. Corp. Insured) <br>| 1500000  | 1498256  |
|  4% 1/1/37 <br>| 1690000  | 1676892  |
|  4% 1/1/38 <br>| 45000  | 44345  |
|  Series 2022 A:  |  |  |
|  4.5% 1/1/48 (d) <br>| 4235000  | 4101136  |
|  4.625% 1/1/53 (d) <br>| 2325000  | 2272993  |
|  5.5% 1/1/53 (Assured Guaranty Muni. Corp. Insured) (d) <br>| 4700000  | 4938736  |
|  5.5% 1/1/55 (d) <br>| 740000  | 778541  |
|  Series 2022 C:  |  |  |
|  5% 1/1/37 (d) <br>| 1000000  | 1052694  |
|  5% 1/1/38 (d) <br>| 1000000  | 1045218  |
|  5% 1/1/39 (d) <br>| 1400000  | 1456691  |
|  5% 1/1/41 (d) <br>| 2000000  | 2061369  |
|  Chicago O'Hare Int'l. Arpt. Spl. Facilities Rev. Series 2018:  |  |  |
|  5% 7/1/33 (d)  | 155000  | 159354  |
|  5% 7/1/38 (d)  | 715000  | 723284  |
|  5% 7/1/48 (d)  | 5175000  | 5175780  |
|  Chicago Park District Gen. Oblig. Series 2020 D, 4% 1/1/34  | 750000  | 745065  |
|  Chicago Transit Auth.:  |  |  |
|  Series 2014, 5.25% 12/1/49  | 1000000  | 1011690  |
|  Series 2017:  |  |  |
|  5% 12/1/46 <br>| 855000  | 868357  |
|  5% 12/1/51 <br>| 1060000  | 1072639  |
|  Series 2020 A:  |  |  |
|  4% 12/1/50 <br>| 4135000  | 3721051  |
|  4% 12/1/50 <br>| 1205000  | 1069537  |
|  4% 12/1/55 <br>| 1035000  | 907062  |
|  5% 12/1/45 <br>| 2390000  | 2455330  |
|  5% 12/1/55 <br>| 360000  | 366688  |
|  Series 2022 A, 5% 12/1/57  | 2115000  | 2163376  |
|  Series 2022, 5% 12/1/46  | 1500000  | 1563111  |
|  Chicago Transit Auth. Cap. Grant Receipts Rev. Series 2017:  |  |  |
|  5% 6/1/23  | 270000  | 272813  |
|  5% 6/1/25  | 75000  | 77903  |
|  5% 6/1/26  | 120000  | 125842  |
|  Chicago Wastewtr. Transmission Rev.:  |  |  |
|  Series 2008 C:  |  |  |
|  5% 1/1/31 <br>| 415000  | 421161  |
|  5% 1/1/33 <br>| 140000  | 142091  |
|  5% 1/1/34 <br>| 140000  | 141886  |
|  5% 1/1/35 <br>| 140000  | 141758  |
|  5% 1/1/39 <br>| 690000  | 693047  |
|  Series 2014:  |  |  |
|  5% 1/1/44 <br>| 1250000  | 1254120  |
|  5% 1/1/44 <br>| 1445000  | 1445993  |
|  Series 2017 A:  |  |  |
|  5% 1/1/47 <br>| 385000  | 385712  |
|  5.25% 1/1/42 (Assured Guaranty Muni. Corp. Insured) <br>| 1000000  | 1027290  |
|  Series 2017 B:  |  |  |
|  5% 1/1/30 <br>| 850000  | 899313  |
|  5% 1/1/36 <br>| 970000  | 990353  |
|  5% 1/1/38 <br>| 240000  | 243166  |
|  Chicago Wtr. Rev.:  |  |  |
|  Series 2004, 5% 11/1/25  | 280000  | 291757  |
|  Series 2012, 4% 11/1/37  | 400000  | 392680  |
|  Series 2014:  |  |  |
|  5% 11/1/39 <br>| 2855000  | 2866629  |
|  5% 11/1/44 <br>| 370000  | 370452  |
|  Series 2016 A1, 5% 11/1/27  | 190000  | 199333  |
|  Series 2017 2:  |  |  |
|  5% 11/1/30 (Assured Guaranty Muni. Corp. Insured) <br>| 500000  | 534729  |
|  5% 11/1/32 (Assured Guaranty Muni. Corp. Insured) <br>| 990000  | 1054566  |
|  5% 11/1/33 (Assured Guaranty Muni. Corp. Insured) <br>| 950000  | 1006353  |
|  5% 11/1/34 (Assured Guaranty Muni. Corp. Insured) <br>| 1445000  | 1520995  |
|  5% 11/1/37 (Assured Guaranty Muni. Corp. Insured) <br>| 575000  | 591542  |
|  5% 11/1/38 (Assured Guaranty Muni. Corp. Insured) <br>| 500000  | 513324  |
|  Series 2017:  |  |  |
|  5% 11/1/29 <br>| 240000  | 251142  |
|  5.25% 11/1/33 (Assured Guaranty Muni. Corp. Insured) <br>| 25000  | 25229  |
|  5.25% 11/1/33 (Assured Guaranty Muni. Corp. Insured) <br>| 750000  | 802849  |
|  5.25% 11/1/35 (Assured Guaranty Muni. Corp. Insured) <br>| 500000  | 527824  |
|  Cmnty. High School District # 212 Series 2016 C:  |  |  |
|  5% 12/1/30  | 500000  | 520149  |
|  5% 12/1/31  | 250000  | 259482  |
|  Cook County Cmnty. College District:  |  |  |
|  Series 2016, 5.5% 12/1/38  | 750000  | 770448  |
|  Series 2017, 5% 12/1/47  | 2060000  | 2132814  |
|  Cook County Cmnty. Consolidated School District No. 59 Series 2020:  |  |  |
|  4% 3/1/24  | 60000  | 61017  |
|  5% 3/1/25  | 55000  | 57806  |
|  5% 3/1/26  | 80000  | 85781  |
|  5% 3/1/27  | 80000  | 87515  |
|  5% 3/1/28  | 85000  | 94431  |
|  Cook County Gen. Oblig.:  |  |  |
|  Series 2016 A:  |  |  |
|  5% 11/15/26 <br>| 690000  | 740462  |
|  5% 11/15/27 <br>| 340000  | 364472  |
|  5% 11/15/28 <br>| 445000  | 475832  |
|  5% 11/15/29 <br>| 890000  | 950980  |
|  5% 11/15/30 <br>| 605000  | 645293  |
|  Series 2021 A:  |  |  |
|  5% 11/15/31 <br>| 235000  | 263718  |
|  5% 11/15/32 <br>| 155000  | 172343  |
|  5% 11/15/33 <br>| 1475000  | 1621822  |
|  Series 2021 B:  |  |  |
|  4% 11/15/25 <br>| 560000  | 574953  |
|  4% 11/15/26 <br>| 285000  | 294605  |
|  4% 11/15/27 <br>| 290000  | 302146  |
|  4% 11/15/28 <br>| 145000  | 151613  |
|  Series 2022 A, 5% 11/15/24  | 345000  | 358608  |
|  Cook County Sales Tax Rev.:  |  |  |
|  Series 2021 A:  |  |  |
|  4% 11/15/39 <br>| 295000  | 294868  |
|  4% 11/15/40 <br>| 935000  | 926001  |
|  4% 11/15/41 <br>| 905000  | 870825  |
|  5% 11/15/31 <br>| 220000  | 244117  |
|  5% 11/15/38 <br>| 230000  | 246335  |
|  Series 2022 A, 5.25% 11/15/45  | 1150000  | 1231941  |
|  Du Page Cook&Will Cntys 502 Series 2013 A, 5% 6/1/26  | 475000  | 480326  |
|  Elk Grove Village Series 2017:  |  |  |
|  5% 1/1/34  | 325000  | 348309  |
|  5% 1/1/36  | 315000  | 335388  |
|  Galesburg Rev. (Knox College Proj.) Series 2021 A, 4% 10/1/46  | 250000  | 224466  |
|  Grundy & Will Counties Cmnty. School Gen. Oblig. Series 2018, 5% 2/1/29  | 40000  | 43368  |
|  Illinois Dev. Fin. Auth. Envir. Facilities Rev. Series 2002, 8% 6/1/32 (d)  | 245000  | 245203  |
|  Illinois Fin. Auth.:  |  |  |
|  Bonds Series 2021 B, 5%, tender 8/15/31 (b)  | 1025000  | 1138394  |
|  Series 2020 A:  |  |  |
|  3% 5/15/50 <br>| 4750000  | 3224651  |
|  3% 5/15/50 (Build America Mutual Assurance Insured) <br>| 2195000  | 1552031  |
|  3.25% 8/15/49 <br>| 880000  | 682201  |
|  4% 8/15/39 <br>| 930000  | 906426  |
|  4% 8/15/41 <br>| 420000  | 401680  |
|  4% 5/15/50 <br>| 5570000  | 4853167  |
|  5% 8/15/35 <br>| 480000  | 523629  |
|  Series 2021 A:  |  |  |
|  2.25% 7/1/33 (d) <br>| 115000  | 95474  |
|  4% 8/15/39 <br>| 640000  | 622279  |
|  5% 10/1/28 <br>| 435000  | 485998  |
|  5% 10/1/31 <br>| 850000  | 984670  |
|  5% 8/15/32 <br>| 630000  | 708720  |
|  5.125% 11/1/55 (f) <br>| 680000  | 569764  |
|  Series 2021 B, 7% 11/1/37 (f)  | 210000  | 203215  |
|  Series 2021:  |  |  |
|  4% 10/1/33 <br>| 170000  | 157207  |
|  5% 10/1/29 <br>| 240000  | 245990  |
|  5% 10/1/31 <br>| 240000  | 244926  |
|  Series 2022 A:  |  |  |
|  5% 8/15/51 <br>| 2075000  | 2180784  |
|  5.5% 10/1/42 <br>| 1300000  | 1302903  |
|  5.5% 10/1/47 <br>| 1820000  | 1796007  |
|  6.125% 5/15/35 <br>| 1045000  | 1079145  |
|  6.125% 5/15/36 <br>| 1215000  | 1251907  |
|  Series 2022 B1, 6% 11/15/27  | 650000  | 652395  |
|  Series 2022:  |  |  |
|  5% 3/1/34 <br>| 90000  | 91155  |
|  5% 3/1/38 <br>| 110000  | 108832  |
|  5% 3/1/42 <br>| 70000  | 67897  |
|  5% 3/1/47 <br>| 125000  | 119277  |
|  5% 3/1/52 <br>| 110000  | 103014  |
|  Illinois Fin. Auth. Academic Facilities (Provident Group UIUC Properties LLC Univ. of Illinois at Urbana-Champaign Proj.) Series 2019 A:  |  |  |
|  5% 10/1/27  | 15000  | 16185  |
|  5% 10/1/28  | 15000  | 16395  |
|  5% 10/1/31  | 10000  | 10937  |
|  5% 10/1/32  | 15000  | 16281  |
|  5% 10/1/33  | 30000  | 32234  |
|  5% 10/1/35  | 15000  | 15902  |
|  5% 10/1/36  | 15000  | 15804  |
|  5% 10/1/37  | 20000  | 21010  |
|  5% 10/1/38  | 20000  | 20868  |
|  5% 10/1/39  | 35000  | 36451  |
|  5% 10/1/44  | 305000  | 315315  |
|  5% 10/1/49  | 370000  | 379650  |
|  5% 10/1/51  | 390000  | 399502  |
|  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  | 1440000  | 1215425  |
|  Illinois Fin. Auth. Rev.:  |  |  |
|  (Bradley Univ. Proj.) Series 2017 C:  |  |  |
|  5% 8/1/29 <br>| 150000  | 155817  |
|  5% 8/1/30 <br>| 110000  | 114072  |
|  5% 8/1/31 <br>| 130000  | 134462  |
|  5% 8/1/32 <br>| 150000  | 154694  |
|  (Depaul Univ. Proj.):  |  |  |
|  Series 2016 A: <br>|  |  |
|  4% 10/1/34 <br>| 120000  | 120180  |
|  5% 10/1/29 <br>| 120000  | 127282  |
|  5% 10/1/30 <br>| 120000  | 127103  |
|  Series 2016 A: <br>|  |  |
|  4% 10/1/31 <br>| 85000  | 85602  |
|  5% 10/1/33 <br>| 85000  | 89178  |
|  (Franciscan Cmntys. Proj.) Series 2017 A, 5% 5/15/37  | 545000  | 525954  |
|  (Franciscan Communitites Proj.) Series 2017 A, 5% 5/15/47  | 220000  | 201436  |
|  (Northwestern Memorial Hosp.,IL. Proj.) Series 2017 A:  |  |  |
|  5% 7/15/25 <br>| 65000  | 68528  |
|  5% 7/15/27 <br>| 75000  | 81833  |
|  5% 7/15/30 <br>| 85000  | 93273  |
|  (OSF Healthcare Sys.) Series 2018 A:  |  |  |
|  4.125% 5/15/47 <br>| 4755000  | 4277987  |
|  5% 5/15/43 <br>| 5635000  | 5735553  |
|  (Presence Health Proj.) Series 2016 C:  |  |  |
|  3.625% 2/15/32 <br>| 140000  | 140162  |
|  4% 2/15/33 <br>| 30000  | 30323  |
|  5% 2/15/29 <br>| 945000  | 1013230  |
|  5% 2/15/36 <br>| 780000  | 821016  |
|  (Rosalind Franklin Univ. Research Bldg. Proj.) Series 2017 C:  |  |  |
|  5% 8/1/46 <br>| 295000  | 298921  |
|  5% 8/1/49 <br>| 190000  | 192109  |
|  (Rush Univ. Med. Ctr. Proj.) Series 2015 A, 5% 11/15/34  | 125000  | 127832  |
|  (The Admiral at the Lake Proj.) Series 2017:  |  |  |
|  5% 5/15/33 <br>| 1910000  | 1570576  |
|  5.125% 5/15/38 <br>| 1550000  | 1196363  |
|  5.25% 5/15/42 <br>| 280000  | 209337  |
|  5.25% 5/15/54 <br>| 1690000  | 1158265  |
|  Series 2008 A1, 4% 11/1/30  | 940000  | 947708  |
|  Series 2008 A2, 4% 11/1/30  | 940000  | 947693  |
|  Series 2013 A:  |  |  |
|  4.75% 5/15/33 <br>| 405000  | 392339  |
|  4.75% 5/15/33 (Pre-Refunded to 5/15/23 @ 100) <br>| 55000  | 55512  |
|  5.125% 5/15/43 <br>| 995000  | 934390  |
|  5.125% 5/15/43 (Pre-Refunded to 5/15/23 @ 100) <br>| 65000  | 65720  |
|  5.25% 5/15/47 <br>| 860000  | 815768  |
|  Series 2013 A, 5.25% 5/15/47 (Pre-Refunded to 5/15/23 @ 100)  | 125000  | 126455  |
|  Series 2013 A:  |  |  |
|  5.25% 10/1/52 (Pre-Refunded to 4/1/23 @ 100) <br>| 1500000  | 1513260  |
|  6% 7/1/43 <br>| 1345000  | 1366659  |
|  Series 2013:  |  |  |
|  5% 11/15/28 <br>| 350000  | 350375  |
|  5% 11/15/29 <br>| 170000  | 170168  |
|  Series 2015 A:  |  |  |
|  4.125% 11/15/37 <br>| 45000  | 45002  |
|  5% 11/15/31 <br>| 195000  | 201838  |
|  5% 12/1/37 <br>| 250000  | 257404  |
|  Series 2015 C:  |  |  |
|  4.125% 8/15/37 <br>| 105000  | 99249  |
|  5% 8/15/35 <br>| 1800000  | 1832835  |
|  5% 8/15/44 <br>| 5995000  | 6015598  |
|  Series 2015:  |  |  |
|  5.25% 5/15/45 (Pre-Refunded to 5/15/25 @ 100) <br>| 170000  | 179975  |
|  5.25% 5/15/50 (Pre-Refunded to 5/15/25 @ 100) <br>| 455000  | 481697  |
|  6.125% 11/15/35 <br>| 440000  | 447506  |
|  6.375% 11/15/43 <br>| 565000  | 574291  |
|  Series 2016 A:  |  |  |
|  5% 2/15/24 <br>| 55000  | 56534  |
|  5% 8/15/25 <br>| 75000  | 78851  |
|  5% 8/15/25 (Escrowed to Maturity) <br>| 290000  | 306755  |
|  5% 7/1/28 (Pre-Refunded to 7/1/26 @ 100) <br>| 150000  | 161743  |
|  5% 2/15/29 <br>| 625000  | 661478  |
|  5% 2/15/30 <br>| 660000  | 696816  |
|  5% 7/1/30 (Pre-Refunded to 7/1/26 @ 100) <br>| 85000  | 91654  |
|  5% 2/15/31 <br>| 535000  | 564557  |
|  5% 7/1/31 (Pre-Refunded to 7/1/26 @ 100) <br>| 150000  | 161743  |
|  5% 2/15/32 <br>| 515000  | 542756  |
|  5% 7/1/33 (Pre-Refunded to 7/1/26 @ 100) <br>| 185000  | 199483  |
|  5% 7/1/34 (Pre-Refunded to 7/1/26 @ 100) <br>| 660000  | 711668  |
|  5% 8/15/35 (Pre-Refunded to 8/15/26 @ 100) <br>| 65000  | 70009  |
|  5% 7/1/36 (Pre-Refunded to 7/1/26 @ 100) <br>| 400000  | 431314  |
|  5% 8/15/36 (Pre-Refunded to 8/15/26 @ 100) <br>| 245000  | 263879  |
|  5.25% 8/15/29 (Pre-Refunded to 8/15/26 @ 100) <br>| 55000  | 59718  |
|  5.25% 8/15/31 (Pre-Refunded to 8/15/26 @ 100) <br>| 75000  | 81434  |
|  Series 2016 B:  |  |  |
|  5% 8/15/30 <br>| 170000  | 181257  |
|  5% 8/15/31 <br>| 895000  | 950855  |
|  5% 8/15/32 <br>| 735000  | 776721  |
|  5% 8/15/33 <br>| 255000  | 268345  |
|  5% 8/15/34 <br>| 1050000  | 1101689  |
|  5% 8/15/36 <br>| 1275000  | 1328084  |
|  Series 2016 C:  |  |  |
|  3.75% 2/15/34 <br>| 215000  | 214833  |
|  4% 2/15/36 <br>| 925000  | 928226  |
|  4% 2/15/41 <br>| 4965000  | 4758282  |
|  4% 2/15/41 (Pre-Refunded to 2/15/27 @ 100) <br>| 120000  | 125013  |
|  5% 2/15/24 <br>| 5000  | 5121  |
|  5% 2/15/31 <br>| 3685000  | 3937626  |
|  5% 2/15/32 <br>| 535000  | 570090  |
|  5% 2/15/34 <br>| 555000  | 587288  |
|  5% 2/15/41 <br>| 870000  | 894730  |
|  Series 2016 D, 4% 2/15/46  | 5565000  | 5011954  |
|  Series 2016:  |  |  |
|  4% 12/1/35 <br>| 25000  | 24413  |
|  5% 5/15/29 <br>| 150000  | 156886  |
|  5% 12/1/29 <br>| 270000  | 281851  |
|  5% 5/15/30 <br>| 320000  | 333509  |
|  5% 12/1/33 <br>| 285000  | 294263  |
|  5% 5/15/36 <br>| 195000  | 178176  |
|  5% 5/15/40 <br>| 175000  | 155355  |
|  5% 12/1/40 <br>| 140000  | 141924  |
|  5% 12/1/46 <br>| 6040000  | 6061508  |
|  Series 2017 A:  |  |  |
|  5% 1/1/34 (Pre-Refunded to 1/1/27 @ 100) <br>| 490000  | 530014  |
|  5% 1/1/35 (Pre-Refunded to 1/1/27 @ 100) <br>| 490000  | 530014  |
|  5% 8/1/42 <br>| 210000  | 213837  |
|  5% 3/1/47 <br>| 2135000  | 2164311  |
|  5% 8/1/47 <br>| 245000  | 248048  |
|  Series 2017:  |  |  |
|  5% 1/1/29 <br>| 405000  | 439947  |
|  5% 2/15/32 <br>| 160000  | 156527  |
|  5% 7/1/33 <br>| 190000  | 204067  |
|  5% 7/1/34 <br>| 835000  | 892085  |
|  5% 7/1/35 <br>| 170000  | 181637  |
|  5% 2/15/37 <br>| 300000  | 147000  |
|  5.125% 2/15/45 <br>| 300000  | 147000  |
|  5.25% 2/15/37 <br>| 115000  | 112514  |
|  5.25% 2/15/47 <br>| 575000  | 536917  |
|  Series 2018 A, 5% 10/1/41  | 190000  | 202882  |
|  Series 2019 A, 3% 7/1/35 (d)  | 160000  | 142341  |
|  Series 2019:  |  |  |
|  4% 9/1/35 <br>| 375000  | 337354  |
|  4% 9/1/37 <br>| 20000  | 17562  |
|  4% 9/1/39 <br>| 55000  | 47275  |
|  5% 9/1/30 <br>| 10000  | 10276  |
|  5% 9/1/38 <br>| 50000  | 49779  |
|  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  | 40000  | 39744  |
|  (CHF - Chicago, LLC - Univ. of Illinois at Chicago Proj.) Series 2017 A, 5% 2/15/37  | 100000  | 94542  |
|  (CHF - Chicago, LLC - Univ. of Illinois At Chicago Proj.) Series 2017 A:  |  |  |
|  5% 2/15/47 <br>| 1380000  | 1240547  |
|  5% 2/15/50 <br>| 345000  | 307000  |
|  Illinois Fin. Auth. Wtr. Facilities Rev. Bonds (American Wtr. Cap. Corp. Proj.) Series 2020, 0.7%, tender 9/1/23 (b)  | 395000  | 387441  |
|  Illinois Gen. Oblig.:  |  |  |
|  Series 2006:  |  |  |
|  5.5% 1/1/28 <br>| 320000  | 341461  |
|  5.5% 1/1/31 <br>| 110000  | 120720  |
|  Series 2013 A:  |  |  |
|  5% 4/1/24 <br>| 1065000  | 1071247  |
|  5% 4/1/35 <br>| 50000  | 50089  |
|  5% 4/1/36 <br>| 360000  | 360564  |
|  Series 2013, 5.5% 7/1/38  | 2630000  | 2644001  |
|  Series 2014 February:  |  |  |
|  5.25% 2/1/33 <br>| 2430000  | 2459518  |
|  5.25% 2/1/34 <br>| 435000  | 439901  |
|  Series 2014 May, 5% 5/1/34  | 280000  | 282546  |
|  Series 2014:  |  |  |
|  5% 2/1/25 <br>| 565000  | 573698  |
|  5% 2/1/26 <br>| 365000  | 369652  |
|  5% 2/1/27 <br>| 70000  | 70860  |
|  5% 4/1/28 <br>| 310000  | 313869  |
|  5% 5/1/28 <br>| 445000  | 450894  |
|  5% 5/1/32 <br>| 80000  | 80936  |
|  5% 5/1/33 <br>| 90000  | 90987  |
|  5% 5/1/36 <br>| 2225000  | 2240406  |
|  5% 2/1/39 <br>| 2085000  | 2092576  |
|  5.25% 2/1/29 <br>| 170000  | 172297  |
|  5.25% 2/1/30 <br>| 575000  | 582678  |
|  5.25% 2/1/31 <br>| 130000  | 131711  |
|  5.25% 2/1/32 <br>| 2420000  | 2450682  |
|  Series 2016:  |  |  |
|  4% 2/1/30 (Assured Guaranty Muni. Corp. Insured) <br>| 150000  | 149663  |
|  4% 6/1/41 <br>| 1550000  | 1399605  |
|  4.5% 11/1/39 <br>| 400000  | 385510  |
|  5% 2/1/25 <br>| 555000  | 570628  |
|  5% 2/1/26 <br>| 395000  | 408211  |
|  5% 6/1/26 <br>| 180000  | 186541  |
|  5% 2/1/27 <br>| 7435000  | 7744616  |
|  5% 1/1/28 <br>| 750000  | 771089  |
|  5% 2/1/28 <br>| 795000  | 824539  |
|  5% 11/1/28 <br>| 425000  | 439747  |
|  5% 2/1/29 <br>| 965000  | 1000301  |
|  5% 1/1/33 <br>| 600000  | 614289  |
|  5% 11/1/33 <br>| 445000  | 457296  |
|  5% 11/1/36 <br>| 220000  | 223777  |
|  Series 2017 A:  |  |  |
|  4.5% 12/1/41 <br>| 250000  | 236552  |
|  5% 12/1/23 <br>| 60000  | 60926  |
|  5% 12/1/26 <br>| 185000  | 192507  |
|  Series 2017 B, 5% 12/1/27  | 250000  | 261086  |
|  Series 2017 C, 5% 11/1/29  | 5710000  | 5950441  |
|  Series 2017 D:  |  |  |
|  3.25% 11/1/26 <br>| 250000  | 244224  |
|  5% 11/1/24 <br>| 800000  | 821053  |
|  5% 11/1/25 <br>| 215000  | 221853  |
|  5% 11/1/26 <br>| 2710000  | 2817999  |
|  5% 11/1/27 <br>| 12735000  | 13296912  |
|  5% 11/1/28 <br>| 5355000  | 5583858  |
|  Series 2018 A:  |  |  |
|  5% 10/1/24 <br>| 30000  | 30768  |
|  5% 10/1/25 <br>| 235000  | 242297  |
|  5% 10/1/26 <br>| 85000  | 88327  |
|  5% 10/1/28 <br>| 260000  | 272967  |
|  5% 10/1/29 <br>| 105000  | 110159  |
|  5% 10/1/30 <br>| 1170000  | 1226772  |
|  5% 10/1/31 <br>| 645000  | 674360  |
|  5% 5/1/39 <br>| 725000  | 736302  |
|  6% 5/1/27 <br>| 975000  | 1055720  |
|  Series 2018 B:  |  |  |
|  5% 10/1/26 <br>| 65000  | 67544  |
|  5% 10/1/31 <br>| 765000  | 799823  |
|  5% 10/1/32 <br>| 795000  | 829457  |
|  Series 2019 A:  |  |  |
|  5% 11/1/27 <br>| 2095000  | 2187439  |
|  5% 11/1/28 <br>| 2775000  | 2915028  |
|  Series 2019 B:  |  |  |
|  4% 11/1/33 <br>| 1475000  | 1412270  |
|  4% 11/1/38 <br>| 360000  | 329938  |
|  5% 9/1/24 <br>| 30000  | 30745  |
|  Series 2019 C, 4% 11/1/41  | 500000  | 442808  |
|  Series 2020 B:  |  |  |
|  4% 10/1/32 <br>| 475000  | 458188  |
|  5% 10/1/28 <br>| 280000  | 293965  |
|  Series 2020 C:  |  |  |
|  4% 10/1/40 <br>| 500000  | 447790  |
|  4% 10/1/41 <br>| 250000  | 221476  |
|  4% 10/1/42 <br>| 250000  | 219762  |
|  4.25% 10/1/45 <br>| 500000  | 446129  |
|  Series 2020:  |  |  |
|  5.5% 5/1/24 <br>| 140000  | 143871  |
|  5.5% 5/1/25 <br>| 655000  | 681851  |
|  5.5% 5/1/26 <br>| 475000  | 499366  |
|  5.5% 5/1/39 <br>| 3180000  | 3354701  |
|  5.75% 5/1/45 <br>| 1225000  | 1290880  |
|  Series 2021 A:  |  |  |
|  5% 3/1/24 <br>| 560000  | 570471  |
|  5% 3/1/25 <br>| 895000  | 920753  |
|  5% 3/1/26 <br>| 530000  | 548080  |
|  5% 3/1/27 <br>| 975000  | 1015931  |
|  5% 3/1/32 <br>| 20000  | 21204  |
|  5% 3/1/33 <br>| 65000  | 68688  |
|  5% 3/1/34 <br>| 2560000  | 2681530  |
|  5% 3/1/35 <br>| 965000  | 1004020  |
|  5% 3/1/36 <br>| 455000  | 471246  |
|  5% 3/1/37 <br>| 40000  | 41196  |
|  5% 3/1/46 <br>| 7995000  | 8018724  |
|  Series 2021 B:  |  |  |
|  4% 12/1/34 <br>| 315000  | 298810  |
|  4% 12/1/39 <br>| 1500000  | 1359163  |
|  5% 3/1/24 <br>| 930000  | 947389  |
|  5% 3/1/25 <br>| 850000  | 874458  |
|  5% 3/1/26 <br>| 690000  | 713538  |
|  Series 2021 C:  |  |  |
|  4% 3/1/24 <br>| 1320000  | 1328716  |
|  4% 3/1/25 <br>| 320000  | 322574  |
|  Series 2022 A:  |  |  |
|  5% 3/1/29 <br>| 1695000  | 1784285  |
|  5% 3/1/31 <br>| 1695000  | 1802142  |
|  5% 3/1/32 <br>| 105000  | 111955  |
|  5% 3/1/34 <br>| 250000  | 263046  |
|  5% 3/1/36 <br>| 4815000  | 5003846  |
|  5.25% 3/1/37 <br>| 205000  | 216437  |
|  5.5% 3/1/42 <br>| 4100000  | 4320013  |
|  5.5% 3/1/47 <br>| 8950000  | 9327504  |
|  Series 2022 B:  |  |  |
|  5% 3/1/29 <br>| 205000  | 215798  |
|  5% 3/1/32 <br>| 230000  | 245234  |
|  5% 10/1/34 <br>| 6985000  | 7331493  |
|  Series November 2016, 4.125% 11/1/31  | 365000  | 356879  |
|  Illinois Hsg. Dev. Auth.:  |  |  |
|  Series 2021, 3% 4/1/51  | 6235000  | 6009999  |
|  Series 2022 G, 6.25% 10/1/52  | 575000  | 630027  |
|  Illinois Hsg. Dev. Auth. Multi-family Hsg. Rev. Series 2019, 2.9% 7/1/35  | 1316635  | 1156923  |
|  Illinois Hsg. Dev. Auth. Rev.:  |  |  |
|  Series 2018 A, 4.5% 10/1/48  | 985000  | 998656  |
|  Series 2021 A, 3% 4/1/51  | 725000  | 700992  |
|  Series D, 3.75% 4/1/50  | 245000  | 243256  |
|  Illinois Muni. Elec. Agcy. Pwr. Supply Series 2015 A:  |  |  |
|  4% 2/1/34  | 625000  | 628826  |
|  5% 2/1/29  | 560000  | 588079  |
|  5% 2/1/31  | 600000  | 631028  |
|  Illinois Reg'l. Trans. Auth.:  |  |  |
|  Series 2003 A:  |  |  |
|  6% 7/1/29 (Nat'l. Pub. Fin. Guarantee Corp. Insured) <br>| 6220000  | 7000548  |
|  6% 7/1/33 (FGIC Insured) <br>| 1645000  | 1960801  |
|  Series 2003 B, 5.5% 6/1/27  | 1360000  | 1456405  |
|  Series 2016 A, 4% 6/1/46  | 2190000  | 2123377  |
|  Illinois Sales Tax Rev.:  |  |  |
|  Series 2002, 6% 6/15/26 (Nat'l. Pub. Fin. Guarantee Corp. Insured)  | 240000  | 258465  |
|  Series 2021 A, 3% 6/15/33  | 500000  | 444130  |
|  Series 2021 C, 5% 6/15/30  | 750000  | 804466  |
|  Illinois Sports Facilities Auth.:  |  |  |
|  Series 2014:  |  |  |
|  5% 6/15/27 (Assured Guaranty Muni. Corp. Insured) <br>| 375000  | 383904  |
|  5.25% 6/15/31 (Assured Guaranty Muni. Corp. Insured) <br>| 750000  | 769231  |
|  Series 2019:  |  |  |
|  5% 6/15/28 <br>| 480000  | 488193  |
|  5% 6/15/28 <br>| 300000  | 314294  |
|  5% 6/15/29 <br>| 590000  | 622051  |
|  5% 6/15/29 <br>| 480000  | 488919  |
|  Illinois State Univ. Revs. Series 2018 A:  |  |  |
|  5% 4/1/31 (Assured Guaranty Muni. Corp. Insured)  | 180000  | 198948  |
|  5% 4/1/33 (Assured Guaranty Muni. Corp. Insured)  | 120000  | 132059  |
|  5% 4/1/36 (Assured Guaranty Muni. Corp. Insured)  | 180000  | 195713  |
|  Illinois Toll Hwy. Auth. Toll Hwy. Rev.:  |  |  |
|  Series 2014 A, 5% 12/1/22  | 1065000  | 1065000  |
|  Series 2014 C:  |  |  |
|  5% 1/1/34 <br>| 360000  | 366842  |
|  5% 1/1/37 <br>| 1475000  | 1512340  |
|  Series 2016 A, 5% 12/1/31  | 910000  | 961614  |
|  Series 2017 A, 5% 1/1/42  | 5425000  | 5654476  |
|  Series 2019 A:  |  |  |
|  5% 1/1/40 <br>| 1445000  | 1532103  |
|  5% 1/1/44 <br>| 425000  | 445854  |
|  Series A:  |  |  |
|  5% 1/1/38 <br>| 65000  | 70710  |
|  5% 1/1/40 <br>| 805000  | 862949  |
|  5% 1/1/41 <br>| 2135000  | 2276160  |
|  5% 1/1/45 <br>| 7155000  | 7553780  |
|  Kane & DeKalb Counties Cmnty. Unit School District #302 Series 2018, 5% 2/1/26  | 130000  | 138238  |
|  Kane County School District No. 131 Series 2020 A:  |  |  |
|  4% 12/1/30 (Assured Guaranty Muni. Corp. Insured)  | 30000  | 31740  |
|  4% 12/1/31 (Assured Guaranty Muni. Corp. Insured)  | 40000  | 42210  |
|  4% 12/1/33 (Assured Guaranty Muni. Corp. Insured)  | 65000  | 67666  |
|  4% 12/1/35 (Assured Guaranty Muni. Corp. Insured)  | 20000  | 20361  |
|  4% 12/1/36 (Assured Guaranty Muni. Corp. Insured)  | 65000  | 65901  |
|  4% 12/1/38 (Assured Guaranty Muni. Corp. Insured)  | 35000  | 35100  |
|  4% 12/1/39 (Assured Guaranty Muni. Corp. Insured)  | 175000  | 175665  |
|  Kane, McHenry, Cook & DeKalb Counties Unit School District #300:  |  |  |
|  Series 2015 5% 1/1/28  | 155000  | 158993  |
|  Series 2017, 5% 1/1/29  | 60000  | 64780  |
|  Kendall, Kane & Will Counties Cmnty. Unit School District #308 Series 2016:  |  |  |
|  5% 2/1/33  | 605000  | 633805  |
|  5% 2/1/34  | 850000  | 889690  |
|  5% 2/1/35  | 605000  | 632325  |
|  5% 2/1/36  | 1045000  | 1090604  |
|  Macon County School District Series 2020 C:  |  |  |
|  4% 1/1/35 (Assured Guaranty Muni. Corp. Insured)  | 400000  | 405258  |
|  4% 1/1/40 (Assured Guaranty Muni. Corp. Insured)  | 255000  | 255302  |
|  4% 1/1/45 (Assured Guaranty Muni. Corp. Insured)  | 320000  | 306666  |
|  Madison County Cmnty. United School District #007 Series 2017:  |  |  |
|  5% 12/1/28  | 160000  | 169894  |
|  5% 12/1/29  | 165000  | 175203  |
|  McHenry County Cmnty. School District #200 Series 2006 B:  |  |  |
|  0% 1/15/24  | 130000  | 125265  |
|  0% 1/15/25  | 250000  | 232461  |
|  0% 1/15/26  | 185000  | 166087  |
|  Metropolitan Pier & Exposition:  |  |  |
|  (McCormick Place Expansion Proj.):  |  |  |
|  Series 2002 A: <br>|  |  |
|  0% 12/15/30 (Nat'l. Pub. Fin. Guarantee Corp. Insured) <br>| 540000  | 382630  |
|  0% 12/15/32 (Nat'l. Pub. Fin. Guarantee Corp. Insured) <br>| 1100000  | 709475  |
|  0% 6/15/36 (Nat'l. Pub. Fin. Guarantee Corp. Insured) <br>| 3500000  | 1867311  |
|  Series 2010 B1: <br>|  |  |
|  0% 6/15/43 (Assured Guaranty Muni. Corp. Insured) <br>| 12260000  | 4570593  |
|  0% 6/15/45 (Assured Guaranty Muni. Corp. Insured) <br>| 4390000  | 1465001  |
|  0% 6/15/46 (Assured Guaranty Muni. Corp. Insured) <br>| 515000  | 162632  |
|  0% 6/15/47 (Assured Guaranty Muni. Corp. Insured) <br>| 1190000  | 356092  |
|  Series 2012 B, 0% 12/15/51 <br>| 3225000  | 684608  |
|  Series A: <br>|  |  |
|  0% 6/15/34 (Nat'l. Pub. Fin. Guarantee Corp. Insured) <br>| 1100000  | 655042  |
|  0% 12/15/37 (Nat'l. Pub. Fin. Guarantee Corp. Insured) <br>| 1500000  | 736977  |
|  0% 6/15/38 (Nat'l. Pub. Fin. Guarantee Corp. Insured) <br>| 400000  | 190266  |
|  Series 1994, 0% 6/15/28 (Nat'l. Pub. Fin. Guarantee Corp. Insured)  | 810000  | 644173  |
|  Series 1996 A, 0% 6/15/24  | 370000  | 349372  |
|  Series 1998 B, 5.5% 6/15/29  | 1220000  | 1306806  |
|  Series 2002 A:  |  |  |
|  0% 12/15/33 (Nat'l. Pub. Fin. Guarantee Corp. Insured) <br>| 11715000  | 7177114  |
|  0% 6/15/35 (Nat'l. Pub. Fin. Guarantee Corp. Insured) <br>| 3255000  | 1832975  |
|  Series 2002, 0% 12/15/36 (Nat'l. Pub. Fin. Guarantee Corp. Insured)  | 7840000  | 4072217  |
|  Series 2010 B1, 0% 6/15/26 (Assured Guaranty Muni. Corp. Insured)  | 510000  | 447834  |
|  Series 2012 B, 0% 12/15/50  | 800000  | 180353  |
|  Series 2015 A:  |  |  |
|  0% 12/15/52 (Assured Guaranty Muni. Corp. Insured) <br>| 800000  | 178576  |
|  5% 6/15/53 <br>| 895000  | 893433  |
|  Series 2017 A:  |  |  |
|  0% 12/15/56 <br>| 1090000  | 196635  |
|  0% 12/15/56 (Build America Mutual Assurance Insured) <br>| 500000  | 90200  |
|  5% 6/15/57 <br>| 3680000  | 3655952  |
|  Series 2017 B:  |  |  |
|  0% 12/15/54 (Build America Mutual Assurance Insured) <br>| 2400000  | 481797  |
|  5% 12/15/25 <br>| 120000  | 122944  |
|  5% 12/15/26 <br>| 405000  | 417527  |
|  5% 12/15/27 <br>| 40000  | 41484  |
|  5% 12/15/28 <br>| 110000  | 113599  |
|  5% 12/15/31 <br>| 80000  | 82336  |
|  5% 12/15/32 <br>| 50000  | 51363  |
|  5% 12/15/34 <br>| 50000  | 51126  |
|  Series 2020 A:  |  |  |
|  4% 6/15/50 <br>| 5090000  | 4349573  |
|  5% 12/15/45 <br>| 105000  | 105604  |
|  5% 6/15/50 <br>| 15765000  | 15777767  |
|  Series 2020 B, 5% 6/15/42  | 1805000  | 1828007  |
|  Series 2022 A:  |  |  |
|  0% 12/15/35 <br>| 200000  | 108194  |
|  0% 6/15/36 <br>| 625000  | 329068  |
|  0% 12/15/36 <br>| 215000  | 110154  |
|  0% 6/15/37 <br>| 200000  | 99336  |
|  0% 12/15/38 <br>| 420000  | 191729  |
|  0% 6/15/39 <br>| 455000  | 200667  |
|  0% 12/15/39 <br>| 1235000  | 531350  |
|  0% 6/15/40 <br>| 555000  | 230262  |
|  0% 12/15/40 <br>| 1040000  | 420794  |
|  0% 6/15/41 <br>| 255000  | 99492  |
|  0% 12/15/41 <br>| 775000  | 294797  |
|  4% 12/15/42 <br>| 4195000  | 3767571  |
|  4% 12/15/47 <br>| 4920000  | 4261554  |
|  4% 6/15/52 <br>| 17640000  | 14930344  |
|  Northern Illinois Univ. Revs.:  |  |  |
|  Series 2020 B:  |  |  |
|  4% 4/1/36 (Build America Mutual Assurance Insured) <br>| 215000  | 210107  |
|  4% 4/1/38 (Build America Mutual Assurance Insured) <br>| 230000  | 219117  |
|  4% 4/1/40 (Build America Mutual Assurance Insured) <br>| 195000  | 182981  |
|  4% 4/1/41 <br>| 65000  | 60764  |
|  5% 4/1/34 (Build America Mutual Assurance Insured) <br>| 955000  | 1018767  |
|  Series 2021:  |  |  |
|  4% 10/1/39 <br>| 85000  | 80625  |
|  4% 10/1/41 <br>| 80000  | 74943  |
|  4% 10/1/43 <br>| 50000  | 46458  |
|  Railsplitter Tobacco Settlement Auth. Rev. Series 2017:  |  |  |
|  5% 6/1/27  | 2990000  | 3177130  |
|  5% 6/1/28  | 335000  | 355713  |
|  Rock Island County Pub. Bldg. Commission Series 2016, 5% 12/1/36 (Assured Guaranty Muni. Corp. Insured)  | 250000  | 268566  |
|  Romeoville Gen. Oblig. Rev.:  |  |  |
|  (Lewis Univ. Proj.) Series 2015, 5% 10/1/42  | 360000  | 364640  |
|  Series 2018 B:  |  |  |
|  4.125% 10/1/41 <br>| 240000  | 224505  |
|  4.125% 10/1/46 <br>| 240000  | 219431  |
|  5% 10/1/39 <br>| 295000  | 299303  |
|  Rosemont Gen. Oblig. Series 2016 A, 5% 12/1/40 (Assured Guaranty Muni. Corp. Insured)  | 900000  | 949815  |
|  Sales Tax Securitization Corp.:  |  |  |
|  Series 2017 A, 5% 1/1/28  | 500000  | 537672  |
|  Series 2018 A:  |  |  |
|  4% 1/1/48 <br>| 1000000  | 906996  |
|  5% 1/1/48 <br>| 750000  | 767313  |
|  Series 2018 C, 5.25% 1/1/34  | 1000000  | 1076678  |
|  Series 2020 A:  |  |  |
|  4% 1/1/38 <br>| 220000  | 214147  |
|  4% 1/1/39 <br>| 130000  | 125466  |
|  4% 1/1/40 <br>| 220000  | 212060  |
|  5% 1/1/28 <br>| 790000  | 849522  |
|  Series 2021 A, 5% 1/1/32  | 600000  | 657778  |
|  Sangamon County Wtr. Reclamation District Series 2019 A:  |  |  |
|  4% 1/1/44  | 250000  | 241773  |
|  4% 1/1/49  | 250000  | 236864  |
|  Schaumburg Village Gen. Oblig. Series 2013 A, 4% 12/1/41  | 3550000  | 3552372  |
|  Southern Illinois Univ. Rev. Series 2021 A:  |  |  |
|  4% 4/1/28  | 160000  | 164115  |
|  4% 4/1/29  | 85000  | 87106  |
|  4% 4/1/31  | 200000  | 201197  |
|  4% 4/1/34  | 190000  | 185804  |
|  4% 4/1/36  | 135000  | 129041  |
|  4% 4/1/38  | 210000  | 197699  |
|  Southwestern Dev. Auth. Heath Facility Rev. Series 2013, 7.125% 11/1/43 (Pre-Refunded to 11/1/23 @ 100)  | 245000  | 254621  |
|  Univ. of Illinois Board of Trustees Ctfs. of Prtn. Series 2014 C, 5% 3/15/23  | 15000  | 15091  |
|  Univ. of Illinois Rev.:  |  |  |
|  Series 2013:  |  |  |
|  6% 10/1/42 <br>| 780000  | 796948  |
|  6.25% 10/1/38 <br>| 765000  | 783739  |
|  Series 2018 A:  |  |  |
|  5% 4/1/29 <br>| 225000  | 245353  |
|  5% 4/1/30 <br>| 505000  | 550368  |
|  Series 2020 A:  |  |  |
|  4% 4/1/32 <br>| 470000  | 486808  |
|  4% 4/1/35 <br>| 630000  | 627999  |
|  4% 4/1/36 <br>| 320000  | 313993  |
|  4% 4/1/38 <br>| 410000  | 393728  |
|  4% 4/1/44 <br>| 210000  | 195233  |
|  Upper Illinois River Valley Dev. Auth. Edl. Facility Rev. (Cambridge Lakes Learning Ctr. Proj.) Series 2017 A:  |  |  |
|  5% 12/1/32 (f)  | 590000  | 558853  |
|  5.25% 12/1/47 (f)  | 1135000  | 989811  |
|  Upper Illinois River Valley Dev. Auth. Rev. Series 2018, 5% 12/1/48  | 400000  | 405665  |
|  Western Illinois Econ. Dev. Auth. (City of Quincy Proj.) Series 2019 B:  |  |  |
|  4% 12/1/29  | 140000  | 147481  |
|  4% 12/1/30  | 180000  | 189422  |
|  4% 12/1/32  | 250000  | 259569  |
|  4% 12/1/34  | 370000  | 378284  |
|  4% 12/1/36  | 425000  | 431546  |
|  Will County Cmnty. Unit School District #365-U Series 2007 B, 0% 11/1/26 (Assured Guaranty Muni. Corp. Insured)  | 925000  | 819080  |
|  Will County Illinois Series 2016:  |  |  |
|  5% 11/15/32 (Pre-Refunded to 11/15/25 @ 100)  | 150000  | 159853  |
|  5% 11/15/33 (Pre-Refunded to 11/15/25 @ 100)  | 185000  | 197152  |
|  5% 11/15/34 (Pre-Refunded to 11/15/25 @ 100)  | 185000  | 197152  |
|  Yorkville Svc. Area 2004-106 Tax Series 2016, 5% 3/1/32 (Assured Guaranty Muni. Corp. Insured)  | 500000  | 525142  |
|  TOTAL ILLINOIS  |  | 681416217  |
| Indiana - 0.6%  |  |  |
|  Ball State Univ. Series 2019 S:  |  |  |
|  4% 7/1/36  | 435000  | 438771  |
|  4% 7/1/37  | 180000  | 180573  |
|  4% 7/1/38  | 195000  | 195615  |
|  Beech Grove School Bldg. Corp. Series 1996, 5.625% 7/5/24 (Escrowed to Maturity)  | 55000  | 56138  |
|  East Chicago Solid Waste Disp. Rev. Series 1998, 5.5% 9/1/28 (d)  | 245000  | 228263  |
|  Hammond Multi-School Bldg. Corp. Series 2018:  |  |  |
|  5% 7/15/32  | 130000  | 140453  |
|  5% 7/15/33  | 95000  | 102090  |
|  5% 7/15/35  | 120000  | 127500  |
|  Indiana Dev. Fin. Auth. Envir. Rev.:  |  |  |
|  (United States Steel Corp. Proj.) Series 2021 A, 4.125% 12/1/26  | 1945000  | 1895002  |
|  Bonds (Fulcrum Centerpoint, LLC Proj.) Series 2022, 4.5%, tender 11/15/23 (d)  | 2500000  | 2504259  |
|  Indiana Fin. Auth. Edl. Facilities Rev.:  |  |  |
|  (Depauw Univ. Proj.) Series 2022 A, 5.5% 7/1/52  | 4600000  | 4911988  |
|  (Valparaiso Univ. Proj.) Series 2021:  |  |  |
|  5% 10/1/28 <br>| 50000  | 53363  |
|  5% 10/1/33 <br>| 35000  | 37411  |
|  Indiana Fin. Auth. Envir. Facilities Rev. Bonds (Indianapolis Pwr. & Lt. Co. Proj.):  |  |  |
|  Series 2020 A, 0.75%, tender 4/1/26 (b)  | 210000  | 181400  |
|  Series 2020 B, 0.95%, tender 4/1/26 (b)(d)  | 945000  | 824772  |
|  Indiana Fin. Auth. Exempt Facilities Rev. (Resources Polyflow Indiana Proj.) Series 2019, 7% 3/1/39 (d)(f)  | 350000  | 263270  |
|  Indiana Fin. Auth. Health Facilities Rev. Series 2017 A, 5% 8/15/51  | 1270000  | 1282645  |
|  Indiana Fin. Auth. Health Sys. Rev. Bonds Series 2019 B, 2.25%, tender 7/1/25 (b)  | 35000  | 34280  |
|  Indiana Fin. Auth. Hosp. Rev.:  |  |  |
|  (Parkview Health Sys. Proj.) Series 2017 A:  |  |  |
|  5% 11/1/28 <br>| 25000  | 27738  |
|  5% 11/1/29 <br>| 80000  | 90025  |
|  5% 11/1/30 <br>| 20000  | 22813  |
|  Series 2020 A, 4% 7/1/45  | 1205000  | 1138132  |
|  Series 2022:  |  |  |
|  4.25% 1/1/47 <br>| 535000  | 499888  |
|  5% 1/1/52 <br>| 1500000  | 1533395  |
|  Indiana Fin. Auth. Midwestern Disaster Relief Rev. Series 2012 A, 4.25% 11/1/30  | 3095000  | 3007615  |
|  Indiana Fin. Auth. Poll. Cont. Rev. Series 2010 B, 2.5% 11/1/30  | 385000  | 330001  |
|  Indiana Fin. Auth. Rev.:  |  |  |
|  (Butler Univ. Proj.) Series 2019, 4% 2/1/44  | 145000  | 133854  |
|  (Greencroft Obligated Group) Series 2013 A, 7% 11/15/43  | 1125000  | 1161654  |
|  (Marquette Proj.) Series 2015 A:  |  |  |
|  5% 3/1/30 <br>| 110000  | 110939  |
|  5% 3/1/39 <br>| 285000  | 282787  |
|  (Ohio River Bridges East End Crossing Proj.) Series 2013 A:  |  |  |
|  5% 7/1/35 (Pre-Refunded to 7/1/23 @ 100) (d) <br>| 465000  | 470643  |
|  5% 7/1/40 (Pre-Refunded to 7/1/23 @ 100) (d) <br>| 1205000  | 1219623  |
|  5.25% 1/1/51 (Pre-Refunded to 7/1/23 @ 100) (d) <br>| 3715000  | 3765387  |
|  (Rose-Hulman Institute of Technology Proj.) Series 2021:  |  |  |
|  4% 6/1/33 <br>| 45000  | 45612  |
|  4% 6/1/34 <br>| 50000  | 50291  |
|  5% 6/1/27 <br>| 35000  | 37441  |
|  5% 6/1/28 <br>| 40000  | 43288  |
|  5% 6/1/29 <br>| 70000  | 76630  |
|  5% 6/1/32 <br>| 85000  | 93313  |
|  Series 2013 A, 6% 11/15/41 (Pre-Refunded to 11/15/23 @ 100)  | 605000  | 621965  |
|  Series 2015 A, 5.25% 2/1/32  | 1025000  | 1081557  |
|  Series 2015, 5% 3/1/36  | 1515000  | 1554371  |
|  Series 2016:  |  |  |
|  5% 9/1/26 <br>| 160000  | 171628  |
|  5% 9/1/27 <br>| 185000  | 197675  |
|  5% 9/1/28 <br>| 375000  | 399128  |
|  5% 9/1/29 <br>| 185000  | 196136  |
|  5% 9/1/30 <br>| 170000  | 179861  |
|  5% 9/1/31 <br>| 100000  | 105490  |
|  Series 2018 A:  |  |  |
|  5% 11/15/48 <br>| 250000  | 232174  |
|  5% 11/15/53 <br>| 250000  | 229081  |
|  Indiana Fin. Auth. Wastewtr. Util. Rev.:  |  |  |
|  (CWA Auth. Proj.):  |  |  |
|  Series 2015 A, 5% 10/1/30 <br>| 585000  | 605119  |
|  Series 2016 A, 5% 10/1/41 <br>| 2465000  | 2595553  |
|  Series 2021 2, 5% 10/1/41  | 1235000  | 1351769  |
|  Indiana Health Facility Fing. Auth. Rev. Bonds Series 2001 A2, 2%, tender 2/1/23 (b)  | 20000  | 19977  |
|  Indiana Hsg. & Cmnty. Dev. Auth.:  |  |  |
|  (Glasswater Creek of Whitestown Proj.) Series 2020, 5.375% 10/1/40 (f)  | 530000  | 434122  |
|  Series 2019 B, 3.5% 1/1/49  | 40000  | 39526  |
|  Series 2020 B1, 3.25% 7/1/49  | 430000  | 422532  |
|  Series 2021 B:  |  |  |
|  3% 7/1/50 <br>| 460000  | 445093  |
|  5% 1/1/23 <br>| 385000  | 385706  |
|  Series A:  |  |  |
|  3.75% 1/1/49 <br>| 190000  | 188875  |
|  5% 1/1/28 <br>| 20000  | 21947  |
|  5% 7/1/28 <br>| 20000  | 22115  |
|  5% 1/1/29 <br>| 20000  | 22103  |
|  5% 7/1/29 <br>| 15000  | 16641  |
|  Indiana Muni. Pwr. Agcy. Pwr. Supply Sys. Rev. Series 2017 A:  |  |  |
|  5% 1/1/32  | 225000  | 245509  |
|  5% 1/1/34  | 110000  | 119838  |
|  Indiana Univ. Lease Purchase Oblig. Series 2020 A, 4% 6/1/39  | 500000  | 501206  |
|  Indianapolis Local Pub. Impt.:  |  |  |
|  (Courthouse and Jail Proj.) Series 2019 A, 5% 2/1/49  | 995000  | 1042712  |
|  (Indianapolis Arpt. Auth. Proj.):  |  |  |
|  Series 2015 I, 5% 1/1/28 (d) <br>| 425000  | 436698  |
|  Series 2019 D: <br>|  |  |
|  5% 1/1/27 (d) <br>| 2345000  | 2481761  |
|  5% 1/1/28 (d) <br>| 3695000  | 3930787  |
|  Series 2016:  |  |  |
|  4% 1/1/32 (d) <br>| 120000  | 119102  |
|  4% 1/1/33 (d) <br>| 120000  | 118617  |
|  4% 1/1/34 (d) <br>| 150000  | 147437  |
|  4% 1/1/35 (d) <br>| 340000  | 333902  |
|  5% 1/1/26 (d) <br>| 125000  | 130703  |
|  Indianapolis Wtr. Sys. Rev. Series 2018 A:  |  |  |
|  5% 10/1/32  | 170000  | 188841  |
|  5% 10/1/37  | 1120000  | 1218783  |
|  Lake Central Multi-District School Bldg. Corp. Series 2012 B, 5% 1/15/30 (Pre-Refunded to 1/15/23 @ 100)  | 260000  | 260778  |
|  Mount Vernon Ind. Envir. Bonds (Southern Indiana Gas & Elec. Co. Proj.) Series 2015, 0.875%, tender 9/1/23 (b)(d)  | 845000  | 830886  |
|  Northern Indiana Commuter Trans. District Series 2016, 5% 7/1/41  | 600000  | 624051  |
|  Purdue Univ. Rev. Series 2018 DD:  |  |  |
|  5% 7/1/34  | 145000  | 159962  |
|  5% 7/1/35  | 285000  | 313058  |
|  5% 7/1/36  | 310000  | 339499  |
|  5% 7/1/37  | 290000  | 316590  |
|  Saint Joseph County Econ. Dev. Auth. Rev. (St. Mary's College Proj.):  |  |  |
|  Series 2019:  |  |  |
|  4% 4/1/39 <br>| 55000  | 51846  |
|  4% 4/1/46 <br>| 125000  | 113297  |
|  5% 4/1/40 <br>| 125000  | 130423  |
|  5% 4/1/43 <br>| 1290000  | 1335708  |
|  Series 2020:  |  |  |
|  4% 4/1/37 <br>| 680000  | 656004  |
|  5% 4/1/29 <br>| 60000  | 65271  |
|  5% 4/1/32 <br>| 50000  | 54049  |
|  Saint Joseph County Ind. Edl. Facilities Rev. Series 1996, 6.5% 3/1/26  | 210000  | 234146  |
|  Shoals Exempt Facilities Rev. (Nat'l. Gypsum Co. Proj.) Series 2013, 7.25% 11/1/43 (d)  | 255000  | 258725  |
|  Valparaiso Exempt Facilities Rev. (Pratt Paper (IN), LLC Proj.) Series 2013:  |  |  |
|  6.75% 1/1/34 (d)  | 1630000  | 1672518  |
|  7% 1/1/44 (d)  | 3390000  | 3482575  |
|  Warrick County Envir. Impt. Rev. Bonds (Southern Indiana Gas and Elec. Co.) Series 2015, 0.875%, tender 9/1/23 (b)(d)  | 535000  | 526064  |
|  Whiting Envir. Facilities Rev. Bonds (BP Products North America, Inc. Proj.) Series 2019 A, 5%, tender 6/5/26 (b)(d)  | 1600000  | 1641871  |
|  TOTAL INDIANA  |  | 63222223  |
| Iowa - 0.2%  |  |  |
|  Coralville Gen. Oblig.:  |  |  |
|  Series 2017 B, 4.25% 5/1/37  | 35000  | 35000  |
|  Series 2022 C, 5% 5/1/42  | 200000  | 198050  |
|  Iowa Fin. Auth. Series 2018 A:  |  |  |
|  5% 3/1/33  | 165000  | 159089  |
|  5% 3/1/38  | 130000  | 122061  |
|  5% 3/1/48  | 240000  | 212660  |
|  Iowa Fin. Auth. Health Facilities Rev. (UnityPoint Health Proj.) Series 2013 A, 5.25% 2/15/44 (Pre-Refunded to 2/15/23 @ 100)  | 640000  | 643563  |
|  Iowa Fin. Auth. Midwestern Disaster Area Rev.:  |  |  |
|  (Iowa Fertilizer Co. Proj.) Series 2022, 5% 12/1/50  | 880000  | 830689  |
|  Bonds (Iowa Fertilizer Co. Proj.) Series 2022, 5%, tender 12/1/42 (b)  | 5320000  | 5124653  |
|  Iowa Fin. Auth. Rev.:  |  |  |
|  Series 2018 B, 5% 2/15/48  | 205000  | 210190  |
|  Series 2019 A1, 4% 5/15/55  | 250000  | 164442  |
|  Series 2020 A, 5% 8/1/39  | 550000  | 613526  |
|  Series 2021 A, 5% 8/1/39  | 500000  | 564281  |
|  Series A:  |  |  |
|  5% 5/15/43 <br>| 215000  | 187114  |
|  5% 5/15/48 <br>| 510000  | 432714  |
|  Iowa Fin. Auth. Single Family Mtg.:  |  |  |
|  (Mtg.-Backed Securities Prog.):  |  |  |
|  Series 2021 A, 3% 1/1/47 <br>| 800000  | 773987  |
|  Series 2021 B, 3% 7/1/51 <br>| 1925000  | 1861302  |
|  Series 2018 A, 4% 7/1/47  | 135000  | 135103  |
|  Iowa Higher Ed. Ln. Auth. Rev. (Des Moines Univ. Proj.):  |  |  |
|  Series 2020, 4% 10/1/50  | 250000  | 215844  |
|  Series 2022:  |  |  |
|  4.75% 10/1/42 <br>| 170000  | 170771  |
|  5% 10/1/47 <br>| 180000  | 182335  |
|  5.375% 10/1/52 <br>| 200000  | 206424  |
|  Iowa State Board of Regents Hosp. Rev. Series 2022 B, 3% 9/1/61  | 250000  | 172448  |
|  Iowa Student Ln. Liquidity Corp. Student Ln. Rev.:  |  |  |
|  Series 2019 B:  |  |  |
|  3% 12/1/39 (d) <br>| 75000  | 70510  |
|  5% 12/1/22 (d) <br>| 285000  | 285000  |
|  5% 12/1/29 (d) <br>| 740000  | 803502  |
|  Series 2019 C, 3.5% 12/1/44 (d)  | 1250000  | 1005860  |
|  Tobacco Settlement Auth. Tobacco Settlement Rev.:  |  |  |
|  Series 2021 A2:  |  |  |
|  4% 6/1/34 <br>| 705000  | 671798  |
|  4% 6/1/36 <br>| 705000  | 661511  |
|  4% 6/1/39 <br>| 705000  | 641082  |
|  4% 6/1/49 <br>| 1190000  | 1002440  |
|  5% 6/1/32 <br>| 635000  | 669786  |
|  Series 2021 B1, 4% 6/1/49  | 6510000  | 6463681  |
|  Series 2021 B2, 0% 6/1/65  | 3480000  | 379951  |
|  Waterloo Cmnty. School District Series 2020, 4% 7/1/29 (Assured Guaranty Muni. Corp. Insured)  | 305000  | 321316  |
|  TOTAL IOWA  |  | 26192683  |
| Kansas - 0.2%  |  |  |
|  City of Topeka Health Care Facilities Rev. Series 2022 A:  |  |  |
|  6.25% 12/1/42  | 340000  | 341001  |
|  6.5% 12/1/52  | 630000  | 631833  |
|  Coffeyville Elec. Util. Sys. Rev. Series 2015 B:  |  |  |
|  5% 6/1/38 (Pre-Refunded to 6/1/25 @ 100) (f)  | 800000  | 838004  |
|  5% 6/1/42 (Pre-Refunded to 6/1/25 @ 100) (f)  | 300000  | 314252  |
|  Ellis County Unified School District Series 2022 B, 4% 9/1/52 (Assured Guaranty Muni. Corp. Insured)  | 345000  | 328686  |
|  Hutchinson Hosp. Facilities Rev. Series 2016:  |  |  |
|  5% 12/1/36  | 275000  | 275295  |
|  5% 12/1/41  | 145000  | 142339  |
|  Lenexa Health Care Facilities Rev. Series 2018 A:  |  |  |
|  5% 5/15/30  | 175000  | 175161  |
|  5% 5/15/32  | 160000  | 159044  |
|  5% 5/15/39  | 165000  | 159605  |
|  Lyon Unified School District Series 2019:  |  |  |
|  4% 9/1/32  | 25000  | 25861  |
|  4% 9/1/33  | 110000  | 113168  |
|  4% 9/1/34  | 120000  | 122526  |
|  4% 9/1/39  | 640000  | 640449  |
|  Overland Park Dev. Corp. Rev. Series 2019:  |  |  |
|  5% 3/1/32  | 215000  | 212080  |
|  5% 3/1/33  | 230000  | 226500  |
|  5% 3/1/34  | 240000  | 236286  |
|  5% 3/1/36  | 265000  | 257968  |
|  5% 3/1/38  | 295000  | 282221  |
|  5% 3/1/44  | 320000  | 298552  |
|  5% 3/1/49  | 715000  | 659036  |
|  Overland Park Sales Tax Spl. Oblig. Rev. (Bluhawk Star Bond Proj.) Series 2022 A, 6.5% 11/15/42 (f)  | 4850000  | 4921846  |
|  Sedgwick County Pub. Commission:  |  |  |
|  (Board of Trustees of Wichita State Univ. - Experiential Engineering Proj.) Series 2014 3, 5% 2/1/39  | 1050000  | 1087992  |
|  (Board of trustees of Wichita State Univ. - Experiential Engineering Proj.) Series 2014 3, 5% 2/1/44  | 725000  | 751233  |
|  Sedgwick Unified School District Series 2019 A:  |  |  |
|  4% 9/1/31  | 240000  | 248280  |
|  4% 9/1/32  | 180000  | 186000  |
|  Univ. of Kansas Hosp. Auth. Health Facilities Rev.:  |  |  |
|  Series 2015:  |  |  |
|  5% 9/1/35 <br>| 250000  | 259205  |
|  5% 9/1/45 <br>| 655000  | 664012  |
|  Series 2019 A, 5% 9/1/48  | 4640000  | 4863642  |
|  Wichita Health Care Facilities Series 2018 I:  |  |  |
|  4.625% 5/15/41  | 30000  | 24791  |
|  5% 5/15/33  | 30000  | 27959  |
|  5% 5/15/38  | 35000  | 31571  |
|  5% 5/15/47  | 150000  | 126986  |
|  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 (f)  | 1500000  | 521265  |
|  Series 2015 A, 5.75% 9/1/32  | 780000  | 708035  |
|  Wyandotte County/Kansas City K (Legends Apts. Garage and West Lawn Proj.) Series 2018, 4.5% 6/1/40  | 90000  | 80388  |
|  Wyandotte County/Kansas City Unified Govt. Util. Sys. Rev. Series 2016 A:  |  |  |
|  5% 9/1/40  | 480000  | 494015  |
|  5% 9/1/45  | 725000  | 744265  |
|  TOTAL KANSAS  |  | 22181352  |
| Kentucky - 0.9%  |  |  |
|  Ashland Med. Ctr. Rev.:  |  |  |
|  (Ashland Hosp. Corp. d/b/a King's Daughters Med. Ctr. Proj.) Series 2016 A, 5% 2/1/40  | 65000  | 65658  |
|  Series 2019:  |  |  |
|  4% 2/1/33 <br>| 170000  | 166699  |
|  4% 2/1/35 <br>| 135000  | 128111  |
|  4% 2/1/36 <br>| 50000  | 46395  |
|  4% 2/1/37 <br>| 35000  | 32131  |
|  4% 2/1/38 <br>| 195000  | 177975  |
|  5% 2/1/24 <br>| 75000  | 76524  |
|  5% 2/1/25 <br>| 60000  | 61727  |
|  5% 2/1/28 <br>| 5000  | 5302  |
|  5% 2/1/32 <br>| 100000  | 105391  |
|  Boyle County Edl. Facilities Rev. Series 2017, 5% 6/1/37  | 115000  | 119534  |
|  Campbellsville Indl. Bldg. Rev. (Capmpbellsville Univ. Proj.) Series 2017, 5% 3/1/39  | 250000  | 215619  |
|  Carroll County Poll. Ctlr Rev. Bonds (Kentucky Utils. Co. Proj.) Series 2016 A, 1.55%, tender 9/1/26 (b)  | 500000  | 453894  |
|  Columbia Edl. Dev. Rev. (Lindsey Wilson College Proj.) Series 2019, 5% 12/1/33  | 250000  | 262250  |
|  Econ. Dev. Fin. Auth. Lousiville Arena Proj. Rev.:  |  |  |
|  Louisville Arena Auth., Inc. Series 2017 A, 5% 12/1/47 (Assured Guaranty Muni. Corp. Insured)  | 400000  | 400116  |
|  Series 2017 A, 5% 12/1/45 (Assured Guaranty Muni. Corp. Insured)  | 1390000  | 1411494  |
|  Henderson Rev. (Pratt Paper (KY), LLC Proj.):  |  |  |
|  Series 2022 A, 4.7% 1/1/52 (d)(f)  | 1000000  | 881897  |
|  Series 2022 B:  |  |  |
|  4.45% 1/1/42 (d)(f) <br>| 710000  | 644421  |
|  4.7% 1/1/52 (d)(f) <br>| 1535000  | 1353712  |
|  Kenton County Arpt. Board Arpt. Rev.:  |  |  |
|  Series 2016:  |  |  |
|  5% 1/1/24 <br>| 45000  | 46113  |
|  5% 1/1/27 <br>| 85000  | 90056  |
|  5% 1/1/28 <br>| 195000  | 206252  |
|  5% 1/1/31 <br>| 185000  | 194884  |
|  5% 1/1/32 <br>| 185000  | 194640  |
|  5% 1/1/33 <br>| 75000  | 78814  |
|  Series 2019:  |  |  |
|  5% 1/1/38 <br>| 45000  | 47930  |
|  5% 1/1/39 <br>| 45000  | 47774  |
|  5% 1/1/44 <br>| 125000  | 130314  |
|  5% 1/1/49 <br>| 160000  | 165582  |
|  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 <br>| 995000  | 816576  |
|  5% 5/15/51 <br>| 520000  | 416593  |
|  (Next Generation Kentucky Information Hwy. Proj.) Series 2015 A, 5% 7/1/32  | 250000  | 253890  |
|  Series 2019 A1:  |  |  |
|  5% 8/1/33 <br>| 55000  | 58182  |
|  5% 8/1/44 <br>| 1510000  | 1529537  |
|  Series 2019 A2:  |  |  |
|  5% 8/1/44 <br>| 500000  | 506469  |
|  5% 8/1/49 <br>| 2590000  | 2602884  |
|  Kentucky Econ. Dev. Fin. Auth. Healthcare Facilities Rev.:  |  |  |
|  (Baptist Life Cmntys. Proj.) Series 2016 A:  |  |  |
|  6.25% 11/15/46 <br>| 590000  | 495931  |
|  6.375% 11/15/51 <br>| 820000  | 688121  |
|  Series 2012:  |  |  |
|  5.375% 11/15/42 <br>| 635000  | 538176  |
|  5.5% 11/15/45 <br>| 330000  | 278141  |
|  Kentucky Econ. Dev. Fin. Auth. Hosp. Rev.:  |  |  |
|  Series 2015 A:  |  |  |
|  5% 6/1/25 <br>| 5000  | 5190  |
|  5% 6/1/26 <br>| 5000  | 5174  |
|  5% 6/1/27 <br>| 5000  | 5160  |
|  5% 6/1/28 <br>| 5000  | 5146  |
|  5% 6/1/29 <br>| 5000  | 5139  |
|  5% 6/1/30 <br>| 5000  | 5137  |
|  5.25% 6/1/50 <br>| 3405000  | 3421996  |
|  Series 2017 A:  |  |  |
|  5% 6/1/37 <br>| 1570000  | 1609816  |
|  5% 6/1/41 <br>| 1560000  | 1576719  |
|  5% 6/1/45 <br>| 2920000  | 2930530  |
|  5.25% 6/1/41 <br>| 2005000  | 2041706  |
|  Series 2017 B:  |  |  |
|  5% 8/15/32 <br>| 150000  | 158117  |
|  5% 8/15/33 <br>| 75000  | 78857  |
|  5% 8/15/35 <br>| 85000  | 88696  |
|  5% 8/15/37 <br>| 125000  | 129800  |
|  5% 8/15/41 (Escrowed to Maturity) <br>| 900000  | 925252  |
|  5% 8/15/46 <br>| 570000  | 575474  |
|  Kentucky Higher Ed. Student Ln. Corp. Rev. Series 2019 B1, 5% 6/1/36 (d)  | 1380000  | 1411867  |
|  Kentucky Muni. Pwr. Agcy. Pwr. Sys. Rev. (Prairie State Proj.) Series 2019 A, 4% 9/1/45  | 500000  | 473386  |
|  Kentucky Pub. Trans. Infrastructure Auth. First Tier Toll Rev. (Downtown Crossing Proj.) Series 2013 A:  |  |  |
|  5.75% 7/1/49 (Pre-Refunded to 7/1/23 @ 100)  | 405000  | 411062  |
|  6% 7/1/53 (Pre-Refunded to 7/1/23 @ 100)  | 1405000  | 1427870  |
|  Kentucky State Property & Buildings Commission Rev.:  |  |  |
|  (Proj. No. 112) Series 2016 B, 5% 11/1/27  | 70000  | 75074  |
|  (Proj. No. 119) Series 2018:  |  |  |
|  5% 5/1/26 <br>| 125000  | 133739  |
|  5% 5/1/28 <br>| 65000  | 71899  |
|  5% 5/1/29 <br>| 765000  | 839154  |
|  5% 5/1/30 <br>| 70000  | 76742  |
|  5% 5/1/31 <br>| 30000  | 32946  |
|  5% 5/1/32 <br>| 190000  | 207246  |
|  5% 5/1/33 <br>| 170000  | 185237  |
|  5% 5/1/34 <br>| 190000  | 205589  |
|  5% 5/1/35 <br>| 115000  | 123293  |
|  5% 5/1/36 <br>| 100000  | 106630  |
|  5% 5/1/38 <br>| 255000  | 268686  |
|  Series 2017:  |  |  |
|  5% 4/1/25 <br>| 220000  | 230803  |
|  5% 4/1/26 <br>| 225000  | 240379  |
|  Series A:  |  |  |
|  4% 11/1/34 <br>| 80000  | 82018  |
|  4% 11/1/35 <br>| 25000  | 25397  |
|  4% 11/1/36 <br>| 65000  | 65779  |
|  4% 11/1/37 <br>| 80000  | 80642  |
|  4% 11/1/38 <br>| 35000  | 35160  |
|  5% 8/1/27 <br>| 25000  | 26260  |
|  5% 11/1/28 <br>| 360000  | 401283  |
|  5% 11/1/29 <br>| 285000  | 314849  |
|  5% 11/1/30 <br>| 120000  | 132500  |
|  Series B:  |  |  |
|  5% 8/1/23 <br>| 850000  | 863002  |
|  5% 8/1/25 <br>| 190000  | 200575  |
|  5% 8/1/26 <br>| 125000  | 134310  |
|  5% 5/1/27 <br>| 130000  | 141472  |
|  Kentucky State Univ. Ctfs. of Prtn. (Kentucky State Univ. Proj.) Series 2021:  |  |  |
|  4% 11/1/33  | 25000  | 26239  |
|  4% 11/1/36  | 15000  | 15348  |
|  4% 11/1/38  | 30000  | 30456  |
|  4% 11/1/41  | 25000  | 24577  |
|  4% 11/1/51  | 50000  | 45893  |
|  Kentucky Tpk. Auth. Econ. Dev. Road Rev. (Revitalization Projs.) Series 2013 A, 5% 7/1/32 (Pre-Refunded to 7/1/23 @ 100)  | 425000  | 431144  |
|  Kentucky, Inc. Pub. Energy:  |  |  |
|  Bonds:  |  |  |
|  Series 2018 A, 4%, tender 4/1/24 (b) <br>| 2100000  | 2098397  |
|  Series 2018 B, 4%, tender 1/1/25 (b) <br>| 4375000  | 4362755  |
|  Series 2019 C, 4%, tender 2/1/28 (b) <br>| 5080000  | 4997228  |
|  Series 2022 A2, U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.200% 3.753%, tender 8/1/30 (b)(c) <br>| 750000  | 688302  |
|  Series A, 4%, tender 6/1/26 (b) <br>| 15955000  | 15839548  |
|  Series C1, 4%, tender 6/1/25 (b) <br>| 17810000  | 17701217  |
|  Series A:  |  |  |
|  4% 6/1/23 <br>| 40000  | 40068  |
|  4% 6/1/24 <br>| 355000  | 355676  |
|  4% 12/1/24 <br>| 30000  | 30035  |
|  4% 6/1/25 <br>| 40000  | 39990  |
|  Louisville & Jefferson County:  |  |  |
|  Bonds:  |  |  |
|  Series 2020 C, 5%, tender 10/1/26 (b) <br>| 420000  | 440554  |
|  Series 2020 D, 5%, tender 10/1/29 (b) <br>| 505000  | 545882  |
|  Series 2013 A, 5.5% 10/1/33  | 485000  | 492963  |
|  Series 2016 A:  |  |  |
|  5% 10/1/31 <br>| 360000  | 375527  |
|  5% 10/1/32 <br>| 435000  | 452505  |
|  5% 10/1/33 <br>| 245000  | 254021  |
|  Series 2020 A:  |  |  |
|  3% 10/1/43 <br>| 3575000  | 2751146  |
|  4% 10/1/39 <br>| 335000  | 324891  |
|  4% 10/1/40 <br>| 65000  | 62584  |
|  5% 10/1/37 <br>| 1525000  | 1580876  |
|  5% 10/1/38 <br>| 360000  | 373241  |
|  Louisville & Jefferson County Gen. Oblig. Series 2022 A, 4% 4/1/35  | 295000  | 308353  |
|  Louisville & Jefferson County Metropolitan Govt. Hosp. Rev. (UOFL Health Proj.) Series 2022 A, 5% 5/15/47 (Assured Guaranty Muni. Corp. Insured)  | 700000  | 724060  |
|  Louisville/Jefferson County Metropolitan Govt. Poll. Cont. Rev. Bonds Series 2019 A, 1.75%, tender 7/1/26 (b)  | 1385000  | 1295789  |
|  Owen County Wtr. Facilities Rev. Bonds (Kentucky-American Wtr. Co. Proj.) Series 2020, 0.7%, tender 9/1/23 (b)  | 350000  | 343302  |
|  Owensboro Elec. Lt. & Pwr. Rev. Series 2019:  |  |  |
|  4% 1/1/25  | 540000  | 553338  |
|  5% 1/1/26  | 290000  | 307413  |
|  5% 1/1/27  | 725000  | 778707  |
|  Trimble County Poll. Cont. Rev. Bonds (Louisville Gas and Elec. Co. Proj.) Series 2016 A, 1.3%, tender 9/1/27 (b)(d)  | 2500000  | 2093223  |
|  TOTAL KENTUCKY  |  | 99373715  |
| Louisiana - 0.6%  |  |  |
|  East Baton Rouge Sewerage Commission Rev. Bonds Series 2021 A, 1.3%, tender 2/1/28 (b)  | 2010000  | 1722003  |
|  Jefferson Parish Econ. Dev. & Port District Rev. Series 2018 A:  |  |  |
|  5.5% 6/15/38 (f)  | 335000  | 332575  |
|  5.625% 6/15/48 (f)  | 395000  | 383791  |
|  Louisiana Gen. Oblig. Series 2014 A, 4% 2/1/34  | 950000  | 963220  |
|  Louisiana Local Govt. Envir. Facilities:  |  |  |
|  (CDF Healthcare of Louisiana, LLC Proj.) Series 2015 A, 5.625% 6/1/45  | 1005000  | 853588  |
|  (St. James Place of Baton Rouge Proj.) Series 2015 A:  |  |  |
|  6% 11/15/35 <br>| 120000  | 117880  |
|  6.25% 11/15/45 <br>| 475000  | 454385  |
|  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 (f) <br>| 255000  | 213327  |
|  5% 7/1/54 (f) <br>| 410000  | 310751  |
|  (Provident Group - ULM Properties LLC - Univ. of Louisiana at Monroe Proj.) Series 2019 A, 5% 7/1/29 (f)  | 100000  | 96411  |
|  (Ragin' Cajun Facilities, Inc. - Student Hsg. and Parking Proj.) Series 2018:  |  |  |
|  5% 10/1/43 (Assured Guaranty Muni. Corp. Insured) <br>| 125000  | 128154  |
|  5% 10/1/48 (Assured Guaranty Muni. Corp. Insured) <br>| 545000  | 555589  |
|  (Westlake Chemical Corp. Projs.) Series 2017, 3.5% 11/1/32  | 3230000  | 2978746  |
|  Louisiana Local Govt. Envir. Facilities And Cmnty. Dev. Auth. Facilities Rev. (The Glen Retirement Sys. Proj.) Series 2019 A, 5% 1/1/49  | 595000  | 418964  |
|  Louisiana Offshore Term. Auth. Deepwater Port Rev. Bonds (LOOP LLC Proj.):  |  |  |
|  Series 2007 A, 1.65%, tender 12/1/23 (b)  | 1795000  | 1768127  |
|  Series 2013 A:  |  |  |
|  1.65%, tender 12/1/23 (b) <br>| 2565000  | 2526599  |
|  1.65%, tender 12/1/23 (b) <br>| 670000  | 659969  |
|  Louisiana Pub. Facilities Auth. Hosp. Rev.:  |  |  |
|  (Franciscan Missionaries of Our Lady Health Sys. Proj.) Series 2017 A, 5% 7/1/47  | 580000  | 585449  |
|  Series 2020 A, 3% 6/1/50 (Assured Guaranty Muni. Corp. Insured)  | 2190000  | 1586515  |
|  Louisiana Pub. Facilities Auth. Lease Rev. (Provident Group - Flagship Properties LLC - Louisiana State Univ. Nicholson Gateway Proj.) Series 2016 A, 5% 7/1/46  | 1145000  | 1162261  |
|  Louisiana Pub. Facilities Auth. Rev.:  |  |  |
|  (Loyola Univ. Proj.):  |  |  |
|  Series 2017, 0% 10/1/46 (e) <br>| 2110000  | 1990721  |
|  Series 2021: <br>|  |  |
|  5% 10/1/34 <br>| 120000  | 125785  |
|  5% 10/1/35 <br>| 315000  | 327407  |
|  (Ochsner Clinic Foundation Proj.):  |  |  |
|  Series 2015, 5% 5/15/47 <br>| 250000  | 253108  |
|  Series 2017, 5% 5/15/27 <br>| 55000  | 58566  |
|  (Provident Group - HSC Properties, Inc. LSU Health Foundation) Series 2020 A1:  |  |  |
|  5.1% 1/1/57 (f) <br>| 1980000  | 1719945  |
|  5.375% 1/1/40 (f) <br>| 860000  | 829697  |
|  5.5% 1/1/50 (f) <br>| 590000  | 557491  |
|  (Tulane Univ. of Louisiana Proj.):  |  |  |
|  Series 2016 A: <br>|  |  |
|  5% 12/15/24 <br>| 185000  | 192032  |
|  5% 12/15/25 <br>| 405000  | 426712  |
|  5% 12/15/26 <br>| 150000  | 160355  |
|  5% 12/15/27 <br>| 110000  | 117300  |
|  5% 12/15/28 <br>| 245000  | 261199  |
|  5% 12/15/29 <br>| 240000  | 255558  |
|  5% 12/15/30 <br>| 340000  | 361761  |
|  Series 2020 A, 5% 4/1/45 <br>| 1045000  | 1086543  |
|  Series 2018 E:  |  |  |
|  5% 7/1/32 <br>| 95000  | 102425  |
|  5% 7/1/33 <br>| 75000  | 80450  |
|  5% 7/1/34 <br>| 90000  | 96019  |
|  Louisiana Stadium and Exposition District:  |  |  |
|  Series 2013 A:  |  |  |
|  5% 7/1/23 <br>| 280000  | 283609  |
|  5% 7/1/24 <br>| 270000  | 273326  |
|  5% 7/1/25 <br>| 210000  | 212342  |
|  Series 2020, 5% 7/3/23  | 2270000  | 2273729  |
|  New Orleans Aviation Board Series 2018 A:  |  |  |
|  5% 10/1/43 (Assured Guaranty Muni. Corp. Insured)  | 155000  | 161974  |
|  5% 10/1/48 (Assured Guaranty Muni. Corp. Insured)  | 255000  | 264957  |
|  New Orleans Aviation Board Rev.:  |  |  |
|  (North Term. Proj.):  |  |  |
|  Series 2015 A, 5% 1/1/40 <br>| 685000  | 692923  |
|  Series 2015 B: <br>|  |  |
|  5% 1/1/29 (d) <br>| 630000  | 646371  |
|  5% 1/1/31 (d) <br>| 305000  | 312460  |
|  5% 1/1/34 (d) <br>| 1180000  | 1204144  |
|  5% 1/1/40 (d) <br>| 140000  | 141176  |
|  Series 2017 A: <br>|  |  |
|  5% 1/1/43 <br>| 550000  | 565433  |
|  5% 1/1/48 <br>| 1255000  | 1283930  |
|  Series 2017 B: <br>|  |  |
|  5% 1/1/27 (d) <br>| 50000  | 52663  |
|  5% 1/1/28 (d) <br>| 30000  | 31564  |
|  5% 1/1/32 (d) <br>| 50000  | 52152  |
|  5% 1/1/33 (d) <br>| 85000  | 88523  |
|  5% 1/1/34 (d) <br>| 25000  | 25966  |
|  5% 1/1/35 (d) <br>| 50000  | 51730  |
|  5% 1/1/37 (d) <br>| 705000  | 725054  |
|  5% 1/1/43 (d) <br>| 280000  | 284187  |
|  5% 1/1/48 (d) <br>| 1760000  | 1768562  |
|  Series 2017 D2:  |  |  |
|  5% 1/1/27 (d) <br>| 60000  | 63195  |
|  5% 1/1/28 (d) <br>| 90000  | 94693  |
|  5% 1/1/31 (d) <br>| 170000  | 177867  |
|  5% 1/1/33 (d) <br>| 125000  | 130181  |
|  5% 1/1/34 (d) <br>| 265000  | 275241  |
|  5% 1/1/35 (d) <br>| 90000  | 93113  |
|  5% 1/1/36 (d) <br>| 115000  | 118669  |
|  5% 1/1/37 (d) <br>| 185000  | 190263  |
|  5% 1/1/38 (d) <br>| 365000  | 374727  |
|  New Orleans Gen. Oblig. Series 2021, 4% 10/1/34  | 500000  | 507290  |
|  New Orleans Swr. Svc. Rev. Series 2015:  |  |  |
|  5% 6/1/33 (Pre-Refunded to 6/1/25 @ 100)  | 205000  | 216511  |
|  5% 6/1/40 (Pre-Refunded to 6/1/25 @ 100)  | 825000  | 871325  |
|  5% 6/1/45 (Pre-Refunded to 6/1/25 @ 100)  | 645000  | 681218  |
|  New Orleans Wtr. Series 2015:  |  |  |
|  5% 12/1/40 (Pre-Refunded to 12/1/25 @ 100)  | 1120000  | 1192911  |
|  5% 12/1/45 (Pre-Refunded to 12/1/25 @ 100)  | 2400000  | 2556237  |
|  Port of New Orleans Port Facility Rev. Series 2020 D, 5% 4/1/50  | 900000  | 940657  |
|  Reg'l. Transit Auth. Louisiana Sales Tax Rev. Series 2020 A:  |  |  |
|  5% 1/1/32 (Assured Guaranty Muni. Corp. Insured)  | 545000  | 619791  |
|  5% 1/1/34 (Assured Guaranty Muni. Corp. Insured)  | 1135000  | 1279077  |
|  Saint James Parish Gen. Oblig.:  |  |  |
|  (Nustar Logistics, L.P. Proj.) Series 2010, 6.35% 7/1/40 (f)  | 750000  | 801547  |
|  Bonds (Nustar Logistics, L.P. Proj.):  |  |  |
|  Series 2008, 6.1%, tender 6/1/30 (b)(f) <br>| 740000  | 788947  |
|  Series 2010 B, 6.1%, tender 6/1/30 (b)(f) <br>| 975000  | 1039491  |
|  Series 2011, 5.85%, tender 6/1/25 (b)(f) <br>| 1410000  | 1446118  |
|  Shreveport Gen. Oblig. Series 2017, 5% 8/1/30  | 750000  | 803054  |
|  Shreveport Wtr. & Swr. Rev.:  |  |  |
|  Series 2017 A, 5% 12/1/41 (Assured Guaranty Muni. Corp. Insured)  | 565000  | 604814  |
|  Series 2019 B:  |  |  |
|  4% 12/1/44 (Assured Guaranty Muni. Corp. Insured) <br>| 210000  | 202216  |
|  4% 12/1/49 (Assured Guaranty Muni. Corp. Insured) <br>| 265000  | 253540  |
|  St. John Baptist Parish Rev.:  |  |  |
|  (Marathon Oil Corp.) Series 2017, 2.2% 6/1/37 (b)  | 2320000  | 2130854  |
|  Bonds:  |  |  |
|  (Marathon Oil Corp. Proj.) Series 2017 B1, 2.125%, tender 7/1/24 (b) <br>| 1040000  | 1005928  |
|  (Marathon Oil Corp.) Series 2017: <br>|  |  |
|  2%, tender 4/1/23 (b) <br>| 90000  | 89245  |
|  2.1%, tender 7/1/24 (b) <br>| 230000  | 222378  |
|  Series 2017 B2, 2.375%, tender 7/1/26 (b) <br>| 2090000  | 1928277  |
|  TOTAL LOUISIANA  |  | 59917528  |
| Maine - 0.2%  |  |  |
|  Maine Fin. Auth. Rev. (Go Lab. Madison, LLC Proj.) Series 2021, 8% 12/1/51 (d)(f)  | 900000  | 617447  |
|  Maine Fin. Auth. Solid Waste Disposable Rev.:  |  |  |
|  (Casella Waste Sys., Inc. Proj.) Series 2005 R3, 5.25% 1/1/25 (d)(f)  | 120000  | 121005  |
|  Bonds (Casella Waste Systems, Inc. Proj.) Series 2015 R2, 4.375%, tender 8/1/25 (b)(d)(f)  | 240000  | 237346  |
|  Maine Fin. Auth. Student Ln. Rev. (Supplemental Ed. Ln. Prog.) Series 2021 A1:  |  |  |
|  5% 12/1/28 (Assured Guaranty Muni. Corp. Insured) (d)  | 105000  | 112934  |
|  5% 12/1/29 (Assured Guaranty Muni. Corp. Insured) (d)  | 105000  | 114010  |
|  5% 12/1/30 (Assured Guaranty Muni. Corp. Insured) (d)  | 105000  | 115049  |
|  Maine Health & Higher Edl. Facilities Auth. Rev.:  |  |  |
|  (Eastern Maine Healthcare Systems Proj.) Series 2013, 5% 7/1/43 (Pre-Refunded to 7/1/23 @ 100)  | 570000  | 577743  |
|  Series 2013:  |  |  |
|  5% 7/1/25 (Pre-Refunded to 7/1/23 @ 100) <br>| 215000  | 217921  |
|  5% 7/1/33 (Pre-Refunded to 7/1/23 @ 100) <br>| 250000  | 253396  |
|  Series 2016 A:  |  |  |
|  4% 7/1/41 <br>| 350000  | 312260  |
|  4% 7/1/46 <br>| 490000  | 423277  |
|  5% 7/1/41 <br>| 1290000  | 1295288  |
|  5% 7/1/46 <br>| 3395000  | 3397288  |
|  Series 2017 A, 5% 7/1/47  | 2645000  | 2710284  |
|  Series 2017 B:  |  |  |
|  4% 7/1/25 <br>| 55000  | 56186  |
|  4% 7/1/31 <br>| 85000  | 86324  |
|  4% 7/1/32 <br>| 60000  | 60704  |
|  4% 7/1/34 <br>| 125000  | 124208  |
|  5% 7/1/26 <br>| 40000  | 42345  |
|  5% 7/1/28 <br>| 65000  | 69570  |
|  5% 7/1/29 <br>| 50000  | 53374  |
|  5% 7/1/33 <br>| 140000  | 148110  |
|  5% 7/1/35 <br>| 90000  | 94165  |
|  Series 2018 A:  |  |  |
|  5% 7/1/30 <br>| 65000  | 69707  |
|  5% 7/1/31 <br>| 60000  | 64094  |
|  5% 7/1/34 <br>| 110000  | 115850  |
|  5% 7/1/35 <br>| 155000  | 162547  |
|  5% 7/1/36 <br>| 180000  | 188204  |
|  5% 7/1/37 <br>| 170000  | 176760  |
|  5% 7/1/38 <br>| 125000  | 129357  |
|  5% 7/1/43 <br>| 250000  | 254335  |
|  Series 2020 A:  |  |  |
|  4% 7/1/36 <br>| 315000  | 312452  |
|  4% 7/1/37 <br>| 255000  | 249674  |
|  4% 7/1/38 <br>| 265000  | 256316  |
|  4% 7/1/39 <br>| 330000  | 311370  |
|  4% 7/1/40 <br>| 465000  | 430429  |
|  4% 7/1/50 <br>| 1660000  | 1416385  |
|  Series 2021 A, 4% 7/1/51  | 1000000  | 877977  |
|  Maine Hsg. Auth. Mtg.:  |  |  |
|  Series 2020 C, 4% 11/15/50  | 565000  | 565238  |
|  Series C, 3.5% 11/15/46  | 100000  | 99458  |
|  Maine Hsg. Auth. Mtg. Purchase Rev. Series 2014 C1, 3.5% 11/15/44 (d)  | 115000  | 114227  |
|  Maine Muni. Bond Bank Series 2016 B, 3.5% 11/1/29  | 435000  | 444737  |
|  Maine Tpk. Auth. Tpk. Rev.:  |  |  |
|  Series 2015:  |  |  |
|  5% 7/1/32 <br>| 125000  | 131342  |
|  5% 7/1/36 <br>| 320000  | 334449  |
|  5% 7/1/38 <br>| 80000  | 83410  |
|  Series 2018:  |  |  |
|  5% 7/1/33 <br>| 40000  | 44221  |
|  5% 7/1/34 <br>| 55000  | 60527  |
|  5% 7/1/35 <br>| 60000  | 65617  |
|  5% 7/1/36 <br>| 110000  | 119997  |
|  5% 7/1/47 <br>| 30000  | 31952  |
|  TOTAL MAINE  |  | 18350866  |
| Maryland - 1.4%  |  |  |
|  Baltimore Convention Ctr. Hotel Rev. Series 2017:  |  |  |
|  5% 9/1/25  | 305000  | 303070  |
|  5% 9/1/26  | 100000  | 99197  |
|  5% 9/1/34  | 530000  | 513612  |
|  5% 9/1/36  | 870000  | 822189  |
|  5% 9/1/42  | 1135000  | 1013126  |
|  5% 9/1/46  | 3685000  | 3312421  |
|  Baltimore County Gen. Oblig. Series 2021, 5% 3/1/34  | 470000  | 544069  |
|  Baltimore Gen. Oblig.:  |  |  |
|  (East Baltimore Research Park Proj.) Series 2017 A, 5% 9/1/38  | 330000  | 329498  |
|  Series 2022, 5% 6/1/51  | 600000  | 562889  |
|  Baltimore Proj. Rev.:  |  |  |
|  (Wastewtr. Projs.) Series 2014 C, 5% 7/1/33  | 945000  | 979227  |
|  (Wtr. Proj.) Series 2020 A, 4% 7/1/45  | 1415000  | 1415915  |
|  (Wtr. Projs.):  |  |  |
|  Series 2013 B: <br>|  |  |
|  5% 7/1/28 (Pre-Refunded to 1/1/24 @ 100) <br>| 440000  | 451405  |
|  5% 7/1/30 (Pre-Refunded to 1/1/24 @ 100) <br>| 670000  | 687367  |
|  Series 2014 C, 5% 7/1/31 <br>| 635000  | 661232  |
|  Series 2017 A, 5% 7/1/41 <br>| 1065000  | 1117677  |
|  Series 2019 A, 4% 7/1/49 <br>| 1385000  | 1342935  |
|  Series 2020 A, 5% 7/1/50 <br>| 1555000  | 1660519  |
|  Series 2019 A:  |  |  |
|  4% 7/1/37 <br>| 350000  | 356840  |
|  4% 7/1/39 <br>| 320000  | 324200  |
|  Brunswick Spl. Oblig. Series 2019:  |  |  |
|  4% 7/1/29  | 80000  | 77475  |
|  5% 7/1/36  | 85000  | 85397  |
|  City of Westminster Series 2016:  |  |  |
|  5% 11/1/27  | 315000  | 331766  |
|  5% 11/1/28  | 335000  | 352382  |
|  5% 11/1/29  | 355000  | 373373  |
|  5% 11/1/30  | 375000  | 393569  |
|  5% 11/1/31  | 110000  | 115195  |
|  Frederick County Spl. Oblig. Series 2020 C, 4% 7/1/50 (f)  | 190000  | 158001  |
|  Frederick County Tax Increment and Spl. Tax Series 2020 B, 4.625% 7/1/43 (f)  | 205000  | 192155  |
|  Gaithersburg Eco Dev. Rev. Bd Series 2018 A:  |  |  |
|  5% 1/1/27  | 210000  | 215061  |
|  5% 1/1/28  | 280000  | 287108  |
|  5% 1/1/33  | 1750000  | 1763192  |
|  5% 1/1/36  | 85000  | 85110  |
|  Howard County Spl. Oblig. (Downtown Columbia Proj.) Series 2017 A, 4.5% 2/15/47 (f)  | 235000  | 205458  |
|  Hsg. Opportunities Commission of Montgomery County Series 2021 C, 0.8% 7/1/25  | 375000  | 350460  |
|  Maryland Cmnty. Dev. Admin Dept. Hsg. & Cmnty. Dev.:  |  |  |
|  Series 2014 C, 4% 9/1/44  | 185000  | 185342  |
|  Series 2018 A, 4.5% 9/1/48  | 855000  | 866942  |
|  Series 2019 C:  |  |  |
|  3.5% 3/1/50 <br>| 110000  | 108600  |
|  5% 9/1/26 <br>| 60000  | 64317  |
|  5% 9/1/27 <br>| 140000  | 151846  |
|  5% 9/1/28 <br>| 80000  | 87791  |
|  Series 2020 D, 3.25% 9/1/50  | 1985000  | 1942128  |
|  Series 2021 A, 3% 9/1/51  | 1675000  | 1622159  |
|  Series 2021 B, 3% 9/1/51  | 1805000  | 1740290  |
|  Maryland Dept. of Trans.:  |  |  |
|  Series 2021 A, 3% 10/1/33  | 500000  | 479055  |
|  Series 2021 B:  |  |  |
|  4% 8/1/37 (d) <br>| 485000  | 468111  |
|  4% 8/1/38 (d) <br>| 575000  | 551003  |
|  4% 8/1/40 (d) <br>| 70000  | 66251  |
|  4% 8/1/41 (d) <br>| 295000  | 278539  |
|  4% 8/1/51 (d) <br>| 1270000  | 1132657  |
|  5% 8/1/36 (d) <br>| 295000  | 312584  |
|  5% 8/1/46 (d) <br>| 5765000  | 5916312  |
|  Series 2022 B, 5% 12/1/23  | 60000  | 61464  |
|  Maryland Econ. Dev. Auth. Rev.:  |  |  |
|  (Ports America Chesapeake LLC. Proj.) Series 2017 A:  |  |  |
|  5% 6/1/23 <br>| 140000  | 141403  |
|  5% 6/1/24 <br>| 145000  | 149069  |
|  5% 6/1/25 <br>| 150000  | 154607  |
|  5% 6/1/27 <br>| 140000  | 146897  |
|  5% 6/1/30 <br>| 530000  | 559765  |
|  5% 6/1/32 <br>| 145000  | 152418  |
|  5% 6/1/35 <br>| 1085000  | 1126641  |
|  (Trans. Facilities Proj.) Series 2017 A, 5% 6/1/28  | 210000  | 222288  |
|  Series 2022 A:  |  |  |
|  5% 12/31/42 <br>| 1000000  | 1029166  |
|  5.25% 12/31/47 <br>| 500000  | 520278  |
|  5.25% 6/30/53 <br>| 1000000  | 1035315  |
|  Maryland Econ. Dev. Corp.:  |  |  |
|  (Port Covington Proj.) Series 2020:  |  |  |
|  4% 9/1/40 <br>| 485000  | 416029  |
|  4% 9/1/50 <br>| 340000  | 268232  |
|  (Purple Line Lt. Rail Proj.):  |  |  |
|  Series 2022 A, 5% 11/12/28 (d) <br>| 2750000  | 2880366  |
|  Series 2022 B: <br>|  |  |
|  5.25% 6/30/52 (d) <br>| 1000000  | 1036871  |
|  5.25% 6/30/55 (d) <br>| 11120000  | 11478187  |
|  (SSA Baltimore Proj.) Series 2021, 3.997% 4/1/34  | 250000  | 202663  |
|  Maryland Econ. Dev. Corp. Sr. Parking Facilities Rev.:  |  |  |
|  (Baltimore City Proj.):  |  |  |
|  Series 2018 A, 5% 6/1/58 <br>| 715000  | 659471  |
|  Series 2018 C: <br>|  |  |
|  4% 6/1/48 <br>| 115000  | 86375  |
|  4% 6/1/58 <br>| 340000  | 240565  |
|  Series 2018 C, 4% 6/1/38  | 35000  | 29153  |
|  Maryland Econ. Dev. Corp. Student Hsg. Rev.:  |  |  |
|  (Bowie State Univ. Proj.) Series 2015:  |  |  |
|  5% 6/1/25 (f) <br>| 240000  | 244391  |
|  5% 6/1/29 (f) <br>| 335000  | 343287  |
|  5% 6/1/33 (f) <br>| 360000  | 366504  |
|  (Univ. of Maryland, College Park Projs.) Series 2016:  |  |  |
|  5% 6/1/35 (Assured Guaranty Muni. Corp. Insured) <br>| 645000  | 666694  |
|  5% 6/1/43 (Assured Guaranty Muni. Corp. Insured) <br>| 240000  | 244131  |
|  Maryland Gen. Oblig.:  |  |  |
|  Series 2016, 4% 6/1/30  | 1000000  | 1019002  |
|  Series 2018 A, 5% 3/15/26  | 605000  | 650777  |
|  Series 2021 2A, 5% 8/1/28  | 4040000  | 4542278  |
|  Series 2022 2C, 4% 3/1/29  | 3030000  | 3258266  |
|  Series 2022 A:  |  |  |
|  5% 6/1/33 <br>| 500000  | 592557  |
|  5% 6/1/37 <br>| 1500000  | 1733894  |
|  Series C, 5% 8/1/24  | 650000  | 675925  |
|  Maryland Health & Higher Edl.:  |  |  |
|  Series 2021 A:  |  |  |
|  3% 7/1/51 <br>| 2815000  | 1974946  |
|  4% 6/1/38 <br>| 500000  | 456093  |
|  4% 6/1/46 <br>| 1050000  | 904769  |
|  4% 6/1/51 <br>| 1640000  | 1372754  |
|  4% 6/1/55 <br>| 1545000  | 1262858  |
|  5% 6/1/29 <br>| 125000  | 132054  |
|  5% 6/1/31 <br>| 20000  | 21260  |
|  5% 6/1/33 <br>| 320000  | 336272  |
|  Series 2021 B, 4% 1/1/51  | 500000  | 426554  |
|  Series 2021, 5% 1/1/36  | 155000  | 160939  |
|  Maryland Health & Higher Edl. Facilities Auth. Rev.:  |  |  |
|  (Medstar Health, Inc. Proj.) Series 2017 A, 5% 5/15/45  | 1930000  | 1971655  |
|  Series 2013 A, 6.75% 7/1/44  | 290000  | 292952  |
|  Series 2014:  |  |  |
|  5% 7/1/39 (Pre-Refunded to 7/1/24 @ 100) <br>| 1475000  | 1527782  |
|  5.25% 7/1/34 (Pre-Refunded to 7/1/24 @ 100) <br>| 2415000  | 2512608  |
|  Series 2015:  |  |  |
|  5% 8/15/25 <br>| 1370000  | 1422692  |
|  5% 7/1/27 <br>| 900000  | 924752  |
|  5% 7/1/29 <br>| 370000  | 379924  |
|  5% 8/15/33 <br>| 1325000  | 1362337  |
|  5% 7/1/40 <br>| 110000  | 110974  |
|  5% 7/1/45 <br>| 1915000  | 1918609  |
|  Series 2016 A:  |  |  |
|  4% 7/1/42 <br>| 255000  | 223813  |
|  5% 7/1/32 <br>| 85000  | 87639  |
|  5% 7/1/33 <br>| 215000  | 221263  |
|  5% 7/1/34 <br>| 255000  | 262059  |
|  5% 7/1/35 <br>| 425000  | 435517  |
|  5% 7/1/36 <br>| 210000  | 214768  |
|  5% 7/1/38 <br>| 65000  | 65996  |
|  5% 1/1/45 <br>| 140000  | 144672  |
|  5.5% 1/1/36 <br>| 2475000  | 2595243  |
|  5.5% 1/1/46 <br>| 5150000  | 5232758  |
|  Series 2017 A:  |  |  |
|  5% 7/1/33 <br>| 370000  | 383052  |
|  5% 7/1/34 <br>| 230000  | 236922  |
|  5% 7/1/38 <br>| 1030000  | 1044242  |
|  Series 2020 B:  |  |  |
|  5% 4/15/24 <br>| 45000  | 46300  |
|  5% 4/15/25 <br>| 60000  | 62838  |
|  Maryland Stadium Auth. Series 2022 A:  |  |  |
|  5% 6/1/47  | 5050000  | 5525857  |
|  5% 6/1/52  | 1195000  | 1299932  |
|  Maryland Stadium Auth. Built to Learn Rev.:  |  |  |
|  Series 2021, 4% 6/1/46  | 3235000  | 3079500  |
|  Series 2022 A:  |  |  |
|  4% 6/1/35 <br>| 160000  | 163035  |
|  4% 6/1/37 <br>| 135000  | 135077  |
|  4% 6/1/38 <br>| 145000  | 144331  |
|  4% 6/1/47 <br>| 1665000  | 1578130  |
|  Maryland Stadium Auth. Rev.:  |  |  |
|  Series 2018 A, 5% 5/1/42  | 4085000  | 4337236  |
|  Series 2018 B, 5% 5/1/35  | 1180000  | 1269309  |
|  Series 2020 B, 5% 5/1/47  | 740000  | 814444  |
|  Series 2022 C:  |  |  |
|  0% 5/1/51 <br>| 1355000  | 377417  |
|  0% 5/1/52 <br>| 2040000  | 537626  |
|  0% 5/1/53 <br>| 1010000  | 252871  |
|  0% 5/1/54 <br>| 1490000  | 354260  |
|  0% 5/1/55 <br>| 925000  | 208769  |
|  Maryland Trans. Auth. Passenger Facility Charge Rev. Series 2019, 4% 6/1/33 (d)  | 960000  | 948661  |
|  Maryland Trans. Auth. Trans. Facility Projs. Rev. Series 2020:  |  |  |
|  4% 7/1/50  | 605000  | 584877  |
|  5% 7/1/40  | 315000  | 346428  |
|  Montgomery County Econ. Dev. Rev. Series 2018 A, 5.375% 7/1/48  | 915000  | 790466  |
|  Prince Georges County Ctfs. of Prtn. Series 2021:  |  |  |
|  5% 10/1/27  | 1740000  | 1914200  |
|  5% 10/1/28  | 2545000  | 2839016  |
|  Prince Georges County Rev. Auth. Spl. Oblig. (Suitland-Naylor Road Proj.) Series 2016:  |  |  |
|  4.75% 7/1/36 (f)  | 245000  | 245130  |
|  5% 7/1/46 (f)  | 350000  | 350168  |
|  Prince Georges County Spl. Oblig. (Westphalia Town Ctr. Proj.) Series 2018:  |  |  |
|  5.125% 7/1/39 (f)  | 115000  | 111682  |
|  5.25% 7/1/48 (f)  | 115000  | 110660  |
|  Rockville Mayor & Council Econ. Dev.:  |  |  |
|  (Ingleside at King Farm Proj.):  |  |  |
|  Series 2017 A1, 5% 11/1/31 <br>| 210000  | 201811  |
|  Series 2017 A2: <br>|  |  |
|  5% 11/1/29 <br>| 70000  | 68241  |
|  5% 11/1/31 <br>| 85000  | 81686  |
|  5% 11/1/32 <br>| 70000  | 66783  |
|  Series 2017 B: <br>|  |  |
|  4.25% 11/1/37 <br>| 55000  | 45172  |
|  4.5% 11/1/43 <br>| 275000  | 225070  |
|  5% 11/1/47 <br>| 1005000  | 866572  |
|  (Rfdg.-Ingleside King Farm Proj.) Series 2017:  |  |  |
|  5% 11/1/35 <br>| 140000  | 130756  |
|  5% 11/1/37 <br>| 315000  | 290352  |
|  5% 11/1/42 <br>| 1280000  | 1137779  |
|  Washington County Econ. Dev. Rev. (Homewood Maryland Obligated Group Proj.) Series 2021:  |  |  |
|  4% 5/1/26  | 245000  | 237165  |
|  4% 5/1/27  | 255000  | 243156  |
|  4% 5/1/30  | 285000  | 258436  |
|  4% 5/1/31  | 155000  | 138342  |
|  4% 5/1/36  | 985000  | 819620  |
|  4% 5/1/42  | 2010000  | 1548706  |
|  Washington Metropolitan Area Transit Auth.:  |  |  |
|  Series 2020 A:  |  |  |
|  4% 7/15/40 <br>| 180000  | 180482  |
|  5% 7/15/38 <br>| 740000  | 809333  |
|  5% 7/15/39 <br>| 1625000  | 1768081  |
|  Series 2021 A:  |  |  |
|  4% 7/15/46 <br>| 3925000  | 3774645  |
|  5% 7/15/41 <br>| 895000  | 973784  |
|  Westminster Proj. Rev.:  |  |  |
|  Series 2014 A:  |  |  |
|  5% 7/1/24 <br>| 120000  | 120794  |
|  6.25% 7/1/44 <br>| 510000  | 515840  |
|  Series 2014:  |  |  |
|  5.125% 7/1/34 (Pre-Refunded to 7/1/24 @ 100) <br>| 635000  | 657943  |
|  5.5% 7/1/44 (Pre-Refunded to 7/1/24 @ 100) <br>| 635000  | 661599  |
|  TOTAL MARYLAND  |  | 149263042  |
| Massachusetts - 1.6%  |  |  |
|  Boston Gen. Oblig. Series 2022 A:  |  |  |
|  5% 11/1/37  | 685000  | 795804  |
|  5% 11/1/41  | 1585000  | 1806524  |
|  Massachusetts Bay Trans. Auth. Sales Tax Rev.:  |  |  |
|  Series 2015 A, 5% 7/1/45  | 360000  | 371769  |
|  Series 2021 A1, 5% 7/1/34  | 2640000  | 3013421  |
|  Series 2021 A2:  |  |  |
|  5% 7/1/41 <br>| 1385000  | 1500829  |
|  5% 7/1/42 <br>| 480000  | 519363  |
|  Massachusetts Clean Wtr. Trust Series 2021 23A, 5% 2/1/39  | 1965000  | 2216900  |
|  Massachusetts Commonwealth Trans. Fund Rev.:  |  |  |
|  (Accelerated Bridge Prog.):  |  |  |
|  Series 2013 A, 5% 6/1/23 <br>| 560000  | 566808  |
|  Series 2014 A, 5% 6/1/44 <br>| 2000000  | 2039581  |
|  (Rail Enhacement Prog.) Series 2022 A, 5% 6/1/50  | 4000000  | 4344364  |
|  (Rail Enhancement Prog.) Series 2021 B, 5% 6/1/37  | 3900000  | 4232329  |
|  Series 2017 A, 5% 6/1/43  | 1980000  | 2097117  |
|  Series 2021 A:  |  |  |
|  4% 6/1/50 <br>| 1300000  | 1260991  |
|  5% 6/1/51 <br>| 6265000  | 6734762  |
|  Series 2022 B, 5% 6/1/52  | 1000000  | 1090298  |
|  Massachusetts Dept. of Trans. Metropolitan Hwy. Sys. Rev.:  |  |  |
|  Bonds Series 2019 A, 5%, tender 1/1/23 (b)  | 335000  | 335661  |
|  Series 2019 A, 5% 1/1/32  | 2315000  | 2582925  |
|  Series 2019 C, 5% 1/1/33  | 930000  | 1037546  |
|  Massachusetts Dev. Fin. Agcy. Rev.:  |  |  |
|  (Lesley Univ. Proj.) Series 2016, 5% 7/1/39  | 255000  | 257631  |
|  (Newbridge On The Charles Proj.) Series 2017:  |  |  |
|  5% 10/1/37 (f) <br>| 635000  | 654725  |
|  5% 10/1/47 (f) <br>| 1255000  | 1276988  |
|  5% 10/1/57 (f) <br>| 2930000  | 2966140  |
|  (Partners Healthcare Sys., Inc. Proj.):  |  |  |
|  Series 2017 S: <br>|  |  |
|  5% 7/1/30 <br>| 475000  | 518575  |
|  5% 7/1/32 <br>| 270000  | 293823  |
|  5% 7/1/34 <br>| 510000  | 549769  |
|  Series 2017, 4% 7/1/41 <br>| 1215000  | 1186505  |
|  (UMass Memorial Health Care Proj.) Series K, 5% 7/1/38  | 275000  | 279958  |
|  (Univ. of Massachusetts Health Cr., Inc. Proj.) Series 2017 L:  |  |  |
|  4% 7/1/44 <br>| 680000  | 608472  |
|  5% 7/1/44 <br>| 250000  | 252639  |
|  (Wentworth Institute of Technology Proj.) Series 2017:  |  |  |
|  5% 10/1/27 <br>| 125000  | 131201  |
|  5% 10/1/28 <br>| 125000  | 131087  |
|  5% 10/1/29 <br>| 135000  | 141309  |
|  5% 10/1/30 <br>| 65000  | 67895  |
|  5% 10/1/31 <br>| 150000  | 156198  |
|  5% 10/1/32 <br>| 155000  | 160902  |
|  5% 10/1/33 <br>| 75000  | 77573  |
|  5% 10/1/46 <br>| 240000  | 243002  |
|  Caregroup, Inc. Series 2015 H-1, 5% 7/1/25  | 90000  | 94543  |
|  Series 1999 P, 5.45% 5/15/59 (Assured Guaranty Corp. Insured)  | 355000  | 402477  |
|  Series 2014 F:  |  |  |
|  5.625% 7/15/36 <br>| 85000  | 85760  |
|  5.75% 7/15/43 <br>| 920000  | 927608  |
|  Series 2015 D, 5% 7/1/44  | 145000  | 145760  |
|  Series 2015 F, 5% 8/15/30  | 210000  | 218991  |
|  Series 2015:  |  |  |
|  5% 4/15/25 <br>| 45000  | 45516  |
|  5% 1/1/31 <br>| 190000  | 194762  |
|  5% 5/1/41 <br>| 250000  | 254062  |
|  Series 2016 A:  |  |  |
|  5% 1/1/47 <br>| 390000  | 392869  |
|  5.25% 1/1/42 <br>| 50000  | 51103  |
|  Series 2016 B, 4% 10/1/46  | 165000  | 140162  |
|  Series 2016:  |  |  |
|  5% 10/1/29 <br>| 120000  | 126706  |
|  5% 10/1/30 <br>| 185000  | 195337  |
|  5% 7/1/31 <br>| 205000  | 213314  |
|  5% 10/1/31 <br>| 200000  | 210889  |
|  5% 7/1/36 <br>| 305000  | 313044  |
|  5% 1/1/40 <br>| 530000  | 554155  |
|  5% 10/1/43 <br>| 1810000  | 1814696  |
|  5% 7/1/46 <br>| 465000  | 469409  |
|  5% 10/1/48 <br>| 1225000  | 1097530  |
|  Series 2017 A, 5% 1/1/36  | 155000  | 159962  |
|  Series 2017 B:  |  |  |
|  5% 7/1/42 <br>| 580000  | 580934  |
|  5% 9/1/42 <br>| 2135000  | 2204971  |
|  Series 2017:  |  |  |
|  5% 7/1/33 <br>| 125000  | 129938  |
|  5% 7/1/34 <br>| 150000  | 155271  |
|  5% 7/1/47 <br>| 60000  | 60706  |
|  Series 2018 J1, 5% 7/1/48  | 640000  | 651000  |
|  Series 2018:  |  |  |
|  5% 11/15/38 (f) <br>| 380000  | 389213  |
|  5% 1/1/43 <br>| 85000  | 86203  |
|  5% 10/1/48 <br>| 250000  | 217952  |
|  5% 10/1/54 <br>| 400000  | 341455  |
|  5.125% 11/15/46 (f) <br>| 820000  | 835424  |
|  Series 2019 A:  |  |  |
|  4% 7/1/44 <br>| 475000  | 417378  |
|  5% 7/1/44 <br>| 615000  | 615616  |
|  Series 2019 K:  |  |  |
|  5% 7/1/25 <br>| 55000  | 57776  |
|  5% 7/1/26 <br>| 70000  | 74592  |
|  5% 7/1/27 <br>| 85000  | 91587  |
|  5% 7/1/31 <br>| 240000  | 260441  |
|  5% 7/1/32 <br>| 240000  | 259837  |
|  Series 2019:  |  |  |
|  5% 7/1/25 <br>| 40000  | 41424  |
|  5% 7/1/26 <br>| 25000  | 26156  |
|  5% 7/1/28 <br>| 35000  | 37290  |
|  5% 7/1/29 <br>| 30000  | 32157  |
|  5% 9/1/59 <br>| 3760000  | 3853694  |
|  Series 2020 A:  |  |  |
|  4% 7/1/45 <br>| 3055000  | 2689608  |
|  5% 10/15/29 <br>| 3530000  | 4062129  |
|  5% 10/15/30 <br>| 3530000  | 4129284  |
|  Series 2020 C:  |  |  |
|  4% 10/1/45 (Assured Guaranty Muni. Corp. Insured) <br>| 400000  | 365188  |
|  5% 10/1/32 (Assured Guaranty Muni. Corp. Insured) <br>| 180000  | 195922  |
|  5% 10/1/33 (Assured Guaranty Muni. Corp. Insured) <br>| 110000  | 118838  |
|  Series 2021 V, 5% 7/1/55  | 4180000  | 4782327  |
|  Series 2021:  |  |  |
|  4% 9/1/48 <br>| 335000  | 272558  |
|  5% 7/1/41 (f) <br>| 250000  | 216912  |
|  Series 2022 B, 5% 11/15/32  | 1375000  | 1656947  |
|  Series 2022:  |  |  |
|  5% 10/1/38 <br>| 1000000  | 1103639  |
|  5% 10/1/44 <br>| 3500000  | 3743815  |
|  5.125% 1/1/40 <br>| 105000  | 96100  |
|  5.25% 1/1/50 <br>| 655000  | 580838  |
|  Series BB1, 5% 10/1/46  | 1205000  | 1267054  |
|  Series J2, 5% 7/1/53  | 7175000  | 7221380  |
|  Series M:  |  |  |
|  4% 10/1/50 <br>| 3070000  | 2601083  |
|  5% 10/1/45 <br>| 2315000  | 2359970  |
|  Series N 2016, 5% 12/1/41  | 1000000  | 1023149  |
|  Massachusetts Edl. Fing. Auth. Rev.:  |  |  |
|  Series 2012 J:  |  |  |
|  4.7% 7/1/26 (d) <br>| 115000  | 115071  |
|  4.9% 7/1/28 (d) <br>| 120000  | 120078  |
|  Series 2016 J, 3.5% 7/1/33 (d)  | 450000  | 417645  |
|  Series 2016, 5% 7/1/24 (d)  | 990000  | 1016590  |
|  Series 2017 A, 3.625% 7/1/32 (d)  | 795000  | 769314  |
|  Series 2018 C, 4.125% 7/1/46 (d)  | 2180000  | 1880073  |
|  Series 2019 B:  |  |  |
|  3% 7/1/35 (d) <br>| 485000  | 484973  |
|  5% 7/1/27 (d) <br>| 475000  | 502456  |
|  Series 2019 C, 3.75% 7/1/47 (d)  | 1955000  | 1633675  |
|  Series 2020 B, 2.625% 7/1/36 (d)  | 170000  | 160756  |
|  Series 2021 B, 2% 7/1/37 (d)  | 90000  | 73959  |
|  Series 2021 C, 3% 7/1/51 (d)  | 395000  | 265853  |
|  Series 2022 C, 4.125% 7/1/52 (d)  | 2210000  | 1842789  |
|  Massachusetts Gen. Oblig.:  |  |  |
|  Series 2004 A, 5.5% 8/1/30  | 1305000  | 1550615  |
|  Series 2016 H, 5% 12/1/26  | 2135000  | 2325465  |
|  Series 2017 A, 5% 4/1/37  | 300000  | 319504  |
|  Series 2018 B, 5% 7/1/30  | 500000  | 578077  |
|  Series 2019 A, 5% 1/1/49  | 705000  | 747759  |
|  Series 2019 C, 5% 5/1/49  | 1205000  | 1281620  |
|  Series 2019 D, 3% 5/1/35  | 750000  | 701230  |
|  Series 2020 C, 3% 3/1/49  | 585000  | 449834  |
|  Series 2021 B, 3% 4/1/49  | 2750000  | 2113812  |
|  Series 2022 B, 3% 2/1/48  | 4000000  | 3099679  |
|  Series D, 5% 7/1/45  | 500000  | 542280  |
|  Series E:  |  |  |
|  5% 11/1/45 <br>| 1125000  | 1223734  |
|  5% 11/1/50 <br>| 220000  | 236572  |
|  Massachusetts Hsg. Fin. Auth.:  |  |  |
|  Series 2021 221, 3% 12/1/50  | 820000  | 793068  |
|  Series 2021 223, 3% 6/1/47  | 2185000  | 2111046  |
|  Massachusetts Muni. Wholesale Elec. Co. Series 2021 A, 4% 7/1/46  | 480000  | 442209  |
|  Massachusetts Port Auth. Rev.:  |  |  |
|  Series 2016 A:  |  |  |
|  5% 7/1/33 <br>| 255000  | 272314  |
|  5% 7/1/34 <br>| 130000  | 138403  |
|  5% 7/1/38 <br>| 190000  | 200554  |
|  Series 2016 B, 5% 7/1/43 (d)  | 1045000  | 1068551  |
|  Series 2019 A:  |  |  |
|  5% 7/1/34 (d) <br>| 1005000  | 1076487  |
|  5% 7/1/35 (d) <br>| 1000000  | 1065861  |
|  5% 7/1/36 (d) <br>| 170000  | 180575  |
|  5% 7/1/37 (d) <br>| 835000  | 882239  |
|  5% 7/1/38 (d) <br>| 1045000  | 1101174  |
|  5% 7/1/39 (d) <br>| 2060000  | 2163193  |
|  5% 7/1/40 (d) <br>| 1790000  | 1872552  |
|  Series 2021 E:  |  |  |
|  5% 7/1/37 (d) <br>| 2895000  | 3100673  |
|  5% 7/1/41 (d) <br>| 4915000  | 5176626  |
|  5% 7/1/46 (d) <br>| 2680000  | 2792249  |
|  5% 7/1/51 (d) <br>| 6355000  | 6569962  |
|  Massachusetts Port Auth. Spl. Facilities Rev.:  |  |  |
|  (BOSfuel Proj.) Series 2019 A:  |  |  |
|  5% 7/1/35 (d) <br>| 105000  | 110357  |
|  5% 7/1/36 (d) <br>| 210000  | 219960  |
|  5% 7/1/37 (d) <br>| 305000  | 318309  |
|  5% 7/1/38 (d) <br>| 35000  | 36430  |
|  (Bosfuel Proj.) Series 2019 A, 5% 7/1/49 (d)  | 1050000  | 1065215  |
|  Massachusetts School Bldg. Auth. Dedicated Sales Tax Rev.:  |  |  |
|  Series 2015 C:  |  |  |
|  5% 8/15/31 <br>| 240000  | 253688  |
|  5% 8/15/31 (Pre-Refunded to 8/15/25 @ 100) <br>| 345000  | 366323  |
|  Series 2016 B, 5% 11/15/33  | 1125000  | 1209915  |
|  Massachusetts State College Bldg. Auth. Rev. Series 2014 A, 5% 5/1/31 (Pre-Refunded to 5/1/23 @ 100)  | 510000  | 515323  |
|  Massachusetts Wtr. Resources Auth. Wtr. & Swr. Rev.:  |  |  |
|  Series 2007 B, 5.25% 8/1/29  | 900000  | 1036281  |
|  Series 2016 C, 4% 8/1/40  | 2710000  | 2726397  |
|  Natick Gen. Oblig. Series 2018, 4% 7/15/36  | 450000  | 460471  |
|  Univ. of Massachusetts Bldg. Auth. Rev. Series 2017 3, 5% 11/1/36  | 1895000  | 2031477  |
|  TOTAL MASSACHUSETTS  |  | 170329090  |
| Michigan - 1.0%  |  |  |
|  Calhoun County Hosp. Fin. Auth. Rev. Series 2016:  |  |  |
|  5% 2/15/37  | 140000  | 141508  |
|  5% 2/15/41  | 800000  | 801665  |
|  5% 2/15/47  | 2235000  | 2183223  |
|  Detroit Downtown Dev. Auth. Tax:  |  |  |
|  Series 2018 A:  |  |  |
|  5% 7/1/43 <br>| 1335000  | 1340954  |
|  5% 7/1/48 (Assured Guaranty Muni. Corp. Insured) <br>| 1645000  | 1652337  |
|  Series A, 5% 7/1/37 (Assured Guaranty Muni. Corp. Insured)  | 355000  | 360966  |
|  Detroit Gen. Oblig.:  |  |  |
|  Series 2018:  |  |  |
|  5% 4/1/27 <br>| 235000  | 243900  |
|  5% 4/1/29 <br>| 105000  | 108904  |
|  5% 4/1/30 <br>| 95000  | 98477  |
|  5% 4/1/31 <br>| 105000  | 108734  |
|  5% 4/1/32 <br>| 120000  | 124021  |
|  5% 4/1/33 <br>| 170000  | 175293  |
|  5% 4/1/37 <br>| 295000  | 299491  |
|  5% 4/1/38 <br>| 195000  | 197531  |
|  Series 2020:  |  |  |
|  5.5% 4/1/32 <br>| 175000  | 187859  |
|  5.5% 4/1/34 <br>| 95000  | 101044  |
|  5.5% 4/1/36 <br>| 130000  | 136916  |
|  5.5% 4/1/38 <br>| 290000  | 303123  |
|  5.5% 4/1/40 <br>| 205000  | 212608  |
|  5.5% 4/1/45 <br>| 145000  | 148681  |
|  5.5% 4/1/50 <br>| 295000  | 300770  |
|  Series 2021 A:  |  |  |
|  5% 4/1/46 <br>| 500000  | 488657  |
|  5% 4/1/50 <br>| 585000  | 565117  |
|  Detroit School District School Bldg. and Site Impt. Series 2020 A:  |  |  |
|  5% 5/1/30  | 205000  | 230680  |
|  5% 5/1/31  | 255000  | 285611  |
|  5% 5/1/32  | 395000  | 438500  |
|  5% 5/1/34  | 745000  | 815330  |
|  5% 5/1/36  | 210000  | 227568  |
|  5% 5/1/37  | 230000  | 248101  |
|  5% 5/1/38  | 60000  | 64531  |
|  Downriver Util. Wastewtr. Auth. Swr. Sys. Rev. Series 2018:  |  |  |
|  5% 4/1/36 (Assured Guaranty Muni. Corp. Insured)  | 105000  | 112569  |
|  5% 4/1/38 (Assured Guaranty Muni. Corp. Insured)  | 95000  | 101250  |
|  Flint Hosp. Bldg. Auth. Rev. Series 2020:  |  |  |
|  4% 7/1/41  | 70000  | 60387  |
|  5% 7/1/25  | 30000  | 30926  |
|  5% 7/1/26  | 25000  | 26019  |
|  5% 7/1/27  | 40000  | 42019  |
|  5% 7/1/28  | 60000  | 63584  |
|  Gerald R. Ford Int'l. Arpt. Auth. Rev. Series 2021, 5% 1/1/51 (d)  | 895000  | 947904  |
|  Grand Rapids Econ. Dev. Corp. Econ. Dev. Rev. (Beacon Hill at Eastgate Proj.) Series 2017 A:  |  |  |
|  5% 11/1/32  | 300000  | 277387  |
|  5% 11/1/37  | 165000  | 146197  |
|  5% 11/1/47  | 390000  | 319504  |
|  5% 11/1/52  | 165000  | 131263  |
|  Grand Rapids Pub. Schools Series 2019, 5% 11/1/26 (Assured Guaranty Muni. Corp. Insured)  | 60000  | 64372  |
|  Grand Traverse County Hosp. Fin. Auth. Series 2021, 3% 7/1/51  | 1625000  | 1146414  |
|  Great Lakes Wtr. Auth. Sew Disp. Sys.:  |  |  |
|  Series 2016 B, 5% 7/1/34  | 790000  | 843275  |
|  Series 2016 C:  |  |  |
|  5% 7/1/30 <br>| 135000  | 144017  |
|  5% 7/1/36 <br>| 4345000  | 4556769  |
|  Series 2018 A:  |  |  |
|  5% 7/1/43 <br>| 380000  | 402081  |
|  5% 7/1/48 <br>| 1645000  | 1701866  |
|  Series 2022 A, 5.25% 7/1/47  | 3225000  | 3469090  |
|  Great Lakes Wtr. Auth. Wtr. Supply Sys. Rev.:  |  |  |
|  Series 2016 A, 5% 7/1/46  | 4265000  | 4437893  |
|  Series 2016 B:  |  |  |
|  5% 7/1/46 <br>| 1225000  | 1283442  |
|  5% 7/1/46 <br>| 3205000  | 3328393  |
|  Series 2016 C:  |  |  |
|  5% 7/1/35 <br>| 650000  | 686637  |
|  5.25% 7/1/34 <br>| 1525000  | 1628392  |
|  Series 2016 D, 5% 7/1/36  | 670000  | 702655  |
|  Series 2022 A, 5.25% 7/1/47  | 3000000  | 3227061  |
|  Jackson County Series 2019:  |  |  |
|  4% 5/1/32 (Build America Mutual Assurance Insured)  | 120000  | 126309  |
|  4% 5/1/33 (Build America Mutual Assurance Insured)  | 125000  | 130662  |
|  Kalamazoo Hosp. Fin. Auth. Hosp. Facilities Rev. Series 2016, 5% 5/15/28  | 365000  | 383147  |
|  Karegnondi Wtr. Auth. Genesee, Lapeer and Sanilac Wtr. Supply Sys. Series 2014 A, 5.25% 11/1/40  | 2810000  | 2833043  |
|  Kentwood Econ. Dev. Corp. Series 2022:  |  |  |
|  4% 11/15/31  | 265000  | 245512  |
|  4% 11/15/43  | 365000  | 294650  |
|  Lake Orion Cmnty. School District Series 2019, 5% 5/1/24  | 30000  | 30953  |
|  Lansing Cmnty. College Series 2019, 5% 5/1/44  | 325000  | 352005  |
|  Livonia Pub. School District Series 2006 II, 5% 5/1/40 (Assured Guaranty Muni. Corp. Insured)  | 500000  | 529602  |
|  Michigan Bldg. Auth. Rev.:  |  |  |
|  (Facilities Prog.):  |  |  |
|  Series 1A, 5.25% 10/15/47 <br>| 990000  | 1003745  |
|  Series 2019 I, 4% 10/15/49 <br>| 595000  | 573166  |
|  Series 2015 I:  |  |  |
|  5% 4/15/30 <br>| 580000  | 613198  |
|  5% 4/15/30 (Pre-Refunded to 10/15/25 @ 100) <br>| 30000  | 31918  |
|  Series 2022 I, 4% 10/15/52  | 370000  | 352956  |
|  Michigan Fin. Auth. Rev.:  |  |  |
|  (Charter County of Wayne Criminal Justice Ctr. Proj.) Series 2018:  |  |  |
|  4% 11/1/48 <br>| 250000  | 235893  |
|  5% 11/1/43 <br>| 485000  | 509705  |
|  (College for Creative Studies Proj.) Series 2015, 5% 12/1/45  | 250000  | 250217  |
|  (Henry Ford Health Sys. Proj.) Series 2016, 5% 11/15/25  | 270000  | 284190  |
|  (Local Govt. Ln. Prog.) Series 2014 D, 5% 7/1/37 (Assured Guaranty Muni. Corp. Insured)  | 120000  | 122479  |
|  (Trinity Health Proj.) Series 2017, 5% 12/1/37  | 65000  | 68240  |
|  Bonds:  |  |  |
|  Series 2015 D1, 1.2%, tender 4/13/28 (b) <br>| 540000  | 471047  |
|  Series 2015 D2, 1.2%, tender 4/13/28 (b) <br>| 680000  | 600786  |
|  Series 2019 MI2, 5%, tender 2/1/25 (b) <br>| 45000  | 46791  |
|  Series 2013 MI2, 4% 12/1/36  | 1120000  | 1116425  |
|  Series 2014 C3, 5% 7/1/33 (Assured Guaranty Muni. Corp. Insured)  | 250000  | 257065  |
|  Series 2014 C7, 5% 7/1/32  | 370000  | 379477  |
|  Series 2014 D1, 5% 7/1/35 (Assured Guaranty Muni. Corp. Insured)  | 50000  | 51141  |
|  Series 2014 D6, 5% 7/1/36  | 950000  | 971239  |
|  Series 2014 F:  |  |  |
|  3.875% 10/1/23 <br>| 145000  | 144940  |
|  4% 10/1/24 <br>| 180000  | 180081  |
|  Series 2015 B, 5% 5/15/35  | 1475000  | 1516487  |
|  Series 2015 C:  |  |  |
|  5% 7/1/33 <br>| 170000  | 175670  |
|  5% 7/1/34 <br>| 580000  | 597902  |
|  5% 7/1/35 <br>| 2055000  | 2115875  |
|  Series 2015 D1, 5% 7/1/34  | 240000  | 247408  |
|  Series 2015 D2, 5% 7/1/34  | 1210000  | 1247647  |
|  Series 2015 MI, 5% 12/1/24  | 540000  | 563364  |
|  Series 2015, 5% 11/15/28  | 90000  | 93386  |
|  Series 2016:  |  |  |
|  5% 11/15/26 <br>| 55000  | 58705  |
|  5% 11/15/32 <br>| 270000  | 281851  |
|  5% 11/15/34 <br>| 950000  | 984753  |
|  5% 11/15/37 <br>| 1030000  | 1061114  |
|  5% 11/15/41 <br>| 520000  | 531146  |
|  Series 2017 MI:  |  |  |
|  5% 12/1/30 <br>| 210000  | 227350  |
|  5% 12/1/31 <br>| 425000  | 458360  |
|  Series 2019 A:  |  |  |
|  3% 12/1/49 <br>| 1715000  | 1243059  |
|  4% 12/1/49 <br>| 50000  | 46931  |
|  4% 11/15/50 <br>| 1035000  | 921744  |
|  5% 2/15/37 <br>| 410000  | 433314  |
|  5% 2/15/38 <br>| 590000  | 621859  |
|  5% 2/15/39 <br>| 1750000  | 1841127  |
|  5% 12/1/41 <br>| 540000  | 562547  |
|  5% 11/15/48 <br>| 110000  | 111691  |
|  Series 2019 MI1, 5% 12/1/48  | 785000  | 797757  |
|  Series 2020 A, 4% 6/1/49  | 715000  | 591443  |
|  Series 2020 B, 0% 6/1/45  | 1200000  | 252833  |
|  Series 2020 B1, 5% 6/1/49  | 1250000  | 1246538  |
|  Series 2020 B2, 0% 6/1/65  | 3750000  | 316856  |
|  Series 2020, 5% 6/1/40  | 30000  | 30474  |
|  Series 2021:  |  |  |
|  4% 9/1/39 <br>| 425000  | 397432  |
|  4% 9/1/40 <br>| 425000  | 393815  |
|  4% 9/1/41 <br>| 355000  | 326138  |
|  Series 2022 A, 5% 12/1/32  | 1705000  | 1919876  |
|  Series 2022, 5% 4/15/28  | 1250000  | 1377127  |
|  Michigan Hosp. Fin. Auth. Rev. Series 2008 C:  |  |  |
|  5% 12/1/32  | 175000  | 188813  |
|  5% 12/1/32 (Pre-Refunded to 12/1/27 @ 100)  | 20000  | 22066  |
|  Michigan Hsg. Dev. Auth. Single Family Mtg. Rev. Series A, 3.5% 12/1/50  | 425000  | 419090  |
|  Michigan Strategic Fund Ltd. Oblig. Rev.:  |  |  |
|  (I-75 Impt. Proj.) Series 2018:  |  |  |
|  4.125% 6/30/35 (Assured Guaranty Muni. Corp. Insured) (d) <br>| 1030000  | 990623  |
|  5% 12/31/43 (d) <br>| 1855000  | 1821054  |
|  5% 6/30/48 (d) <br>| 1465000  | 1408528  |
|  Bonds (Consumer Energy Co. Proj.) Series 2019, 1.8%, tender 10/1/24 (b)(d)  | 3255000  | 3146354  |
|  Series 2016, 5% 11/15/42  | 250000  | 242021  |
|  Michigan Tobacco Settlement Fin. Auth. Tobacco Settlement Asset Rev.:  |  |  |
|  Series 2007 B, 0% 6/1/52  | 3580000  | 388351  |
|  Series 2008, 0% 6/1/46  | 7000000  | 791867  |
|  Michigan Trunk Line Fund Rev. Series 2021 A, 4% 11/15/44  | 1000000  | 987059  |
|  Oakland Univ. Rev.:  |  |  |
|  Series 2016, 5% 3/1/41  | 50000  | 51719  |
|  Series 2019 A, 5% 3/1/31  | 35000  | 38597  |
|  Series 2019:  |  |  |
|  5% 3/1/32 <br>| 40000  | 43890  |
|  5% 3/1/33 <br>| 40000  | 43544  |
|  5% 3/1/34 <br>| 45000  | 48645  |
|  5% 3/1/35 <br>| 45000  | 48383  |
|  5% 3/1/36 <br>| 50000  | 53564  |
|  5% 3/1/37 <br>| 60000  | 63958  |
|  5% 3/1/38 <br>| 85000  | 90133  |
|  5% 3/1/39 <br>| 60000  | 63412  |
|  5% 3/1/40 <br>| 720000  | 758180  |
|  5% 3/1/41 <br>| 760000  | 798486  |
|  5% 3/1/44 <br>| 1485000  | 1552088  |
|  5% 3/1/50 <br>| 2400000  | 2491732  |
|  Portage Pub. Schools Series 2016:  |  |  |
|  5% 11/1/30  | 345000  | 367960  |
|  5% 11/1/31  | 305000  | 324074  |
|  5% 11/1/33  | 55000  | 58183  |
|  5% 11/1/36  | 100000  | 105192  |
|  5% 11/1/37  | 55000  | 57819  |
|  Royal Oak Hosp. Fin. Auth. Hosp. Rev. Series 2014 D, 5% 9/1/23 (Escrowed to Maturity)  | 35000  | 35639  |
|  Univ. of Michigan Rev. Series 2020 A:  |  |  |
|  4% 4/1/45  | 1060000  | 1058458  |
|  5% 4/1/50  | 255000  | 277901  |
|  Warren Consolidated School District Series 2016:  |  |  |
|  5% 5/1/28  | 230000  | 245693  |
|  5% 5/1/29  | 235000  | 250640  |
|  Wayne County Arpt. Auth. Rev.:  |  |  |
|  Series 2012 A, 5% 12/1/42  | 305000  | 305097  |
|  Series 2014 B:  |  |  |
|  5% 12/1/39 (Build America Mutual Assurance Insured) <br>| 130000  | 132841  |
|  5% 12/1/44 <br>| 525000  | 528168  |
|  Series 2014 C:  |  |  |
|  5% 12/1/39 (d) <br>| 100000  | 100845  |
|  5% 12/1/44 (d) <br>| 215000  | 215040  |
|  Series 2015 D:  |  |  |
|  5% 12/1/30 <br>| 75000  | 78914  |
|  5% 12/1/31 <br>| 130000  | 136615  |
|  5% 12/1/40 (Assured Guaranty Muni. Corp. Insured) <br>| 1515000  | 1558676  |
|  5% 12/1/45 (Assured Guaranty Muni. Corp. Insured) <br>| 90000  | 91502  |
|  Series 2015 G:  |  |  |
|  5% 12/1/28 (d) <br>| 670000  | 695878  |
|  5% 12/1/31 <br>| 85000  | 89325  |
|  5% 12/1/32 <br>| 85000  | 89228  |
|  5% 12/1/33 <br>| 110000  | 115247  |
|  Series 2015, 5% 12/1/29  | 90000  | 94881  |
|  Series 2017 A:  |  |  |
|  4% 12/1/33 (Assured Guaranty Muni. Corp. Insured) <br>| 180000  | 181666  |
|  4% 12/1/34 (Assured Guaranty Muni. Corp. Insured) <br>| 150000  | 150848  |
|  4% 12/1/35 (Assured Guaranty Muni. Corp. Insured) <br>| 145000  | 145216  |
|  4% 12/1/36 (Assured Guaranty Muni. Corp. Insured) <br>| 150000  | 149680  |
|  5% 12/1/28 <br>| 35000  | 38093  |
|  5% 12/1/29 <br>| 30000  | 32632  |
|  5% 12/1/30 <br>| 40000  | 43375  |
|  5% 12/1/31 <br>| 45000  | 48701  |
|  5% 12/1/32 <br>| 45000  | 48616  |
|  5% 12/1/33 <br>| 20000  | 21540  |
|  5% 12/1/34 <br>| 85000  | 90902  |
|  5% 12/1/35 <br>| 80000  | 85093  |
|  5% 12/1/37 <br>| 30000  | 31635  |
|  5% 12/1/37 <br>| 70000  | 73814  |
|  Series 2017 B:  |  |  |
|  5% 12/1/29 (d) <br>| 75000  | 79406  |
|  5% 12/1/30 (d) <br>| 85000  | 89756  |
|  5% 12/1/31 (d) <br>| 100000  | 105202  |
|  5% 12/1/32 (d) <br>| 65000  | 68264  |
|  5% 12/1/32 (d) <br>| 80000  | 84017  |
|  5% 12/1/34 (d) <br>| 75000  | 78145  |
|  5% 12/1/35 (d) <br>| 80000  | 83089  |
|  5% 12/1/37 (d) <br>| 100000  | 103424  |
|  5% 12/1/42 (d) <br>| 120000  | 122609  |
|  Series 2017 C, 5% 12/1/28  | 60000  | 65303  |
|  Series 2018 B, 5% 12/1/48 (d)  | 705000  | 714985  |
|  Series 2018 D:  |  |  |
|  5% 12/1/29 (d) <br>| 565000  | 604131  |
|  5% 12/1/31 (d) <br>| 530000  | 563650  |
|  5% 12/1/32 (d) <br>| 550000  | 582531  |
|  Series 2021 A, 5% 12/1/46  | 810000  | 860761  |
|  Wayne County Arpt. Rev. Series 2017 C, 5% 12/1/37 (Assured Guaranty Muni. Corp. Insured) (d)(f)  | 2950000  | 3050996  |
|  TOTAL MICHIGAN  |  | 111221680  |
| Minnesota - 0.3%  |  |  |
|  Apple Valley Sr. Living (Minnesota Sr. Living LLC Proj.):  |  |  |
|  Series 2016 B, 5% 1/1/47  | 565000  | 332273  |
|  Series 2016 D, 7.25% 1/1/52  | 610000  | 383119  |
|  City of White Bear Lake (YMCA of Greater Twin Cities Proj.) Series 2018:  |  |  |
|  5% 6/1/23  | 35000  | 35287  |
|  5% 6/1/27  | 30000  | 31516  |
|  Deephaven Charter School Lease Rev. Series 2017 A:  |  |  |
|  5% 10/1/37  | 70000  | 62992  |
|  5% 10/1/49  | 140000  | 116884  |
|  Duluth Econ. Dev. Auth. Series 2021 A:  |  |  |
|  4% 7/1/31  | 215000  | 199005  |
|  4% 7/1/36  | 355000  | 302375  |
|  4% 7/1/41  | 145000  | 116826  |
|  Duluth Econ. Dev. Auth. Health Care Facilities Rev.:  |  |  |
|  Series 2018 A:  |  |  |
|  4.25% 2/15/43 <br>| 595000  | 567540  |
|  4.25% 2/15/48 <br>| 700000  | 650204  |
|  5% 2/15/43 <br>| 570000  | 580329  |
|  5% 2/15/48 <br>| 1075000  | 1085408  |
|  5% 2/15/53 <br>| 700000  | 703273  |
|  5% 2/15/58 <br>| 660000  | 661584  |
|  Series 2018, 5.25% 2/15/58  | 1250000  | 1266606  |
|  Duluth Independent School District #709 Ctfs. of Prtn.:  |  |  |
|  Series 2019 A:  |  |  |
|  4% 3/1/32 <br>| 240000  | 223400  |
|  4.2% 3/1/34 <br>| 65000  | 60352  |
|  Series 2019 B:  |  |  |
|  5% 2/1/25 <br>| 50000  | 52097  |
|  5% 2/1/26 <br>| 160000  | 169542  |
|  5% 2/1/28 <br>| 45000  | 48927  |
|  Hennepin County Reg'l. Railroad Auth. Series 2019, 5% 12/1/28  | 135000  | 152978  |
|  Maple Grove Health Care Sys. Rev.:  |  |  |
|  Series 2015:  |  |  |
|  5% 9/1/27 <br>| 70000  | 72445  |
|  5% 9/1/29 <br>| 345000  | 355426  |
|  Series 2017:  |  |  |
|  5% 5/1/23 <br>| 30000  | 30261  |
|  5% 5/1/24 <br>| 65000  | 66717  |
|  5% 5/1/25 <br>| 100000  | 103678  |
|  Metropolitan Council Gen. Oblig. Rev.:  |  |  |
|  Series 2019 A, 3% 3/1/29  | 650000  | 647719  |
|  Series 2021 B, 5% 12/1/23  | 1115000  | 1141539  |
|  Minneapolis & Saint Paul Hsg. & Redev. Auth. Health Care Sys. Rev. (Allina Health Sys. Proj.) Series 2017 A, 5% 11/15/25  | 75000  | 79507  |
|  Minneapolis & Saint Paul Metropolitan Arpts. Commission Arpt. Rev.:  |  |  |
|  Series 2016 C:  |  |  |
|  5% 1/1/41 <br>| 530000  | 550309  |
|  5% 1/1/46 <br>| 640000  | 660741  |
|  Series 2022 B:  |  |  |
|  5% 1/1/35 (d) <br>| 645000  | 689610  |
|  5% 1/1/37 (d) <br>| 1580000  | 1669343  |
|  Minneapolis Taxable Charter Schools Lease Rev. (Twin cities Int'l. Schools Proj.) Series 2017 A, 5% 12/1/47 (f)  | 250000  | 229007  |
|  Minnesota Higher Ed. Facilities Auth. Rev.:  |  |  |
|  Series 2016 A, 5% 5/1/46  | 95000  | 86458  |
|  Series 2018 A:  |  |  |
|  5% 10/1/29 <br>| 55000  | 58957  |
|  5% 10/1/30 <br>| 90000  | 96278  |
|  5% 10/1/32 <br>| 40000  | 42491  |
|  5% 10/1/33 <br>| 50000  | 52859  |
|  5% 10/1/45 <br>| 260000  | 265922  |
|  Minnesota Hsg. Fin. Agcy.:  |  |  |
|  Series 2011, 5% 8/1/31  | 55000  | 55116  |
|  Series 2015 A, 4% 1/1/41 (d)  | 50000  | 49949  |
|  Series 2018 E, 4.25% 1/1/49  | 210000  | 211407  |
|  Series 2021 D, 3% 1/1/52  | 1435000  | 1383980  |
|  Series 2021, 3% 7/1/51  | 1405000  | 1359392  |
|  Series B, 4% 8/1/41  | 75000  | 73520  |
|  Series D:  |  |  |
|  4% 8/1/38 <br>| 135000  | 135434  |
|  4% 8/1/40 <br>| 145000  | 143359  |
|  4% 8/1/41 <br>| 95000  | 93126  |
|  4% 8/1/43 <br>| 110000  | 105756  |
|  Minnesota Muni. Gas Agcy. Rev. Series 2022 A, 4% 12/1/26  | 570000  | 573897  |
|  Minnesota Office of Higher Ed. Series 2020, 2.65% 11/1/38 (d)  | 540000  | 441332  |
|  Minnesota Pub. Facilities Auth. Rev. Series 2016 A, 5% 3/1/31  | 1220000  | 1308158  |
|  Moorhead Edl. Facilities Rev. (The Concordia College Corp. Proj.) Series 2016, 5% 12/1/25  | 145000  | 148627  |
|  Rice County Minn Series 2022 A, 5% 2/1/44  | 580000  | 647198  |
|  Rochester Health Cr.&Hsg. Rev. Series 2013 A, 6.875% 12/1/48  | 290000  | 292978  |
|  Rochester Health Care Facilities Rev. Series 2022:  |  |  |
|  4% 11/15/39  | 750000  | 767168  |
|  5% 11/15/57  | 1260000  | 1357708  |
|  Saint Cloud Health Care Rev. Series 2019:  |  |  |
|  4% 5/1/49  | 230000  | 208014  |
|  5% 5/1/48  | 285000  | 291322  |
|  Shakopee Independent School District #720 Series 2022 D, 5% 2/1/23  | 550000  | 552277  |
|  Shakopee Sr. Hsg. Rev. Bonds Series 2018, 5.85%, tender 11/1/25 (b)(f)  | 1070000  | 1053398  |
|  St. Paul Hsg. & Redev. Auth. Health Care Facilities Rev. Series 2015 A, 5% 7/1/29  | 145000  | 150296  |
|  Western Minnesota Muni. Pwr. Agcy. Pwr. Supply Rev. Series 2014 A, 5% 1/1/46 (Pre-Refunded to 1/1/24 @ 100)  | 1920000  | 1968733  |
|  White Bear Lake Independent School District #624 Gen. Oblig. Series 2020 A, 3% 2/1/43  | 500000  | 409839  |
|  Woodbury Charter School Lease Rev. (Woodbury Leadership Academy Proj.) Series 2021 A:  |  |  |
|  4% 7/1/41  | 120000  | 95510  |
|  4% 7/1/51  | 95000  | 68768  |
|  4% 7/1/56  | 80000  | 55773  |
|  TOTAL MINNESOTA  |  | 28703819  |
| Mississippi - 0.2%  |  |  |
|  Mississippi Bus. Fin. Corp. Rev. (Sys. Energy Resources, Inc. Proj.) Series 2021, 2.375% 6/1/44  | 250000  | 165156  |
|  Mississippi Bus. finance Corp. Exempt Facilities Rev. Bonds (Enviva, Inc. Proj.) Series 2022, 7.75%, tender 7/15/32 (b)(d)  | 6600000  | 6620459  |
|  Mississippi Dev. Bank Series 2010 A, 5.25% 1/1/34  | 520000  | 601563  |
|  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) <br>| 240000  | 247265  |
|  6.875% 12/1/40 (Assured Guaranty Muni. Corp. Insured) <br>| 105000  | 107787  |
|  (Jackson, Mississippi Sales Tax Rev. Infrastructure Proj.):  |  |  |
|  Series 2019 A, 5% 9/1/26 <br>| 210000  | 224338  |
|  Series 2020, 5% 9/1/25 <br>| 85000  | 89385  |
|  (Vicksburg Warren School District Gen. Oblig. Bond Proj.) Series 2019, 5% 3/1/48  | 850000  | 871653  |
|  Mississippi Gen. Oblig. Series 2016 B:  |  |  |
|  5% 12/1/25  | 120000  | 128133  |
|  5% 12/1/32 (Pre-Refunded to 12/1/26 @ 100)  | 530000  | 575813  |
|  5% 12/1/33 (Pre-Refunded to 12/1/26 @ 100)  | 530000  | 575813  |
|  5% 12/1/34 (Pre-Refunded to 12/1/26 @ 100)  | 1065000  | 1157058  |
|  Mississippi Home Corp.:  |  |  |
|  Series 2018 A, 4% 12/1/44  | 255000  | 255174  |
|  Series 2021 B:  |  |  |
|  3% 6/1/51 <br>| 2040000  | 1971724  |
|  5% 6/1/27 <br>| 510000  | 552214  |
|  5% 6/1/28 <br>| 40000  | 43878  |
|  Mississippi Hosp. Equip. & Facilities Auth.:  |  |  |
|  (Forest County Gen. Hosp. Rfdg. Proj.) Series 2019 A:  |  |  |
|  4% 1/1/36 <br>| 180000  | 179428  |
|  4% 1/1/37 <br>| 160000  | 157076  |
|  4% 1/1/39 <br>| 160000  | 155325  |
|  4% 1/1/40 <br>| 90000  | 86752  |
|  Bonds Series II, 5%, tender 3/1/27 (b)  | 40000  | 41804  |
|  Series 2016 A, 5% 9/1/46  | 405000  | 400091  |
|  Series 2020 IV:  |  |  |
|  5% 10/1/33 <br>| 70000  | 74647  |
|  5% 10/1/35 <br>| 255000  | 267534  |
|  Series I:  |  |  |
|  5% 10/1/23 <br>| 35000  | 35568  |
|  5% 10/1/24 <br>| 35000  | 36140  |
|  5% 10/1/26 <br>| 40000  | 42384  |
|  5% 10/1/28 <br>| 65000  | 70293  |
|  Series IV, 5% 10/1/39  | 180000  | 185739  |
|  Mississippi State Univ. Edl. Bldg. Corp. Rev. (Mississippi State Univ. Rfdg. and Impt. Proj.) Series 2013, 5.25% 8/1/38 (Pre-Refunded to 8/1/23 @ 100)  | 265000  | 269768  |
|  Univ. of Southern Mississippi Edl. Bldg. Corp. Rev. (Facilities Refing. Proj.) Series 2015 A, 5% 3/1/28  | 230000  | 240196  |
|  TOTAL MISSISSIPPI  |  | 16430158  |
| Missouri - 0.6%  |  |  |
|  Cape Girardeau County Indl. Dev. Auth.:  |  |  |
|  (Southeast Hosp. Proj.) Series 2017 A:  |  |  |
|  5% 3/1/29 <br>| 80000  | 82991  |
|  5% 3/1/30 <br>| 85000  | 87969  |
|  5% 3/1/31 <br>| 200000  | 206446  |
|  5% 3/1/36 <br>| 390000  | 398038  |
|  Series 2021, 4% 3/1/46  | 240000  | 201930  |
|  Conley Road Trans. Dev. District Series 2017, 5.375% 5/1/47  | 245000  | 225199  |
|  Hanley Road Corridor Trans. Dev. District Series 2020:  |  |  |
|  1.625% 10/1/33  | 70000  | 69427  |
|  2% 10/1/39  | 180000  | 173429  |
|  Kansas City Indl. Dev. Auth.:  |  |  |
|  (Kansas City Int'l. Arpt. Term. Modernization Proj.):  |  |  |
|  Series 2019 B: <br>|  |  |
|  5% 3/1/37 (d) <br>| 1085000  | 1130215  |
|  5% 3/1/38 (d) <br>| 355000  | 368852  |
|  5% 3/1/46 (d) <br>| 3170000  | 3215951  |
|  5% 3/1/49 (Assured Guaranty Muni. Corp. Insured) (d) <br>| 755000  | 769525  |
|  5% 3/1/54 (d) <br>| 705000  | 707742  |
|  5% 3/1/55 (Assured Guaranty Muni. Corp. Insured) (d) <br>| 6075000  | 6134405  |
|  Series 2020 A, 4% 3/1/50 (d) <br>| 1585000  | 1387886  |
|  (Kansas City Int'l. Arpt. Term. modernization Proj.) Series 2020 A, 4% 3/1/50 (Assured Guaranty Muni. Corp. Insured) (d)  | 350000  | 309865  |
|  (Kansas City Int'l. Arpt. Term. Modernization Proj.) Series 2020 A:  |  |  |
|  4% 3/1/57 (Assured Guaranty Muni. Corp. Insured) (d) <br>| 2635000  | 2264278  |
|  5% 3/1/57 (Assured Guaranty Muni. Corp. Insured) (d) <br>| 2465000  | 2487859  |
|  Kansas City Land Clearance for Redev. Auth. Series 2018 B, 5% 2/1/40 (f)  | 300000  | 228706  |
|  Kansas City San. Swr. Sys. Rev. Series 2018 B:  |  |  |
|  5% 1/1/26  | 15000  | 15996  |
|  5% 1/1/28  | 30000  | 33175  |
|  5% 1/1/33  | 25000  | 27524  |
|  Kansas City Spl. Oblig. (Downtown Arena Proj.) Series 2016 E, 5% 4/1/40  | 1050000  | 1074337  |
|  Kansas City Wtr. Rev. Series 2020 A:  |  |  |
|  4% 12/1/32  | 45000  | 47377  |
|  4% 12/1/34  | 25000  | 25999  |
|  4% 12/1/36  | 45000  | 46241  |
|  4% 12/1/37  | 30000  | 30717  |
|  4% 12/1/39  | 70000  | 71188  |
|  4% 12/1/40  | 30000  | 30410  |
|  5% 12/1/28  | 35000  | 39289  |
|  5% 12/1/29  | 20000  | 22790  |
|  5% 12/1/30  | 40000  | 46324  |
|  5% 12/1/35  | 40000  | 45447  |
|  Kirkwood Indl. Dev. Retirement Commission Series 2017 A:  |  |  |
|  5.25% 5/15/37  | 280000  | 251138  |
|  5.25% 5/15/42  | 240000  | 207136  |
|  5.25% 5/15/50  | 565000  | 464553  |
|  Maryland Heights Indl. Dev. Auth. Rev. (Saint Louis Cmnty. Ice Ctr. Proj.) Series 2018 A, 5% 3/15/49  | 250000  | 207131  |
|  Metropolitan St. Louis Swr. District Wastewtr. Sys. Rev. Series 2022 B, 5.25% 5/1/52  | 1215000  | 1353753  |
|  Missouri Dev. Fin. Board Infrastructure Facilities Rev.:  |  |  |
|  (City of Independence, Missouri - Crackerneck Creek Proj.) Series 2021:  |  |  |
|  4% 3/1/37 <br>| 80000  | 73892  |
|  4% 3/1/41 <br>| 100000  | 89302  |
|  Series 2021:  |  |  |
|  4% 3/1/36 <br>| 255000  | 238966  |
|  4% 3/1/51 <br>| 290000  | 243294  |
|  Missouri Health & Edl. Facilities Auth. Rev.:  |  |  |
|  (Lutheran Sr. Svcs. Proj.) Series 2016 B, 5% 2/1/46  | 915000  | 854285  |
|  (Lutheran Sr. Svcs. Projs.):  |  |  |
|  Series 2016 B: <br>|  |  |
|  5% 2/1/34 <br>| 195000  | 193179  |
|  5% 2/1/35 <br>| 155000  | 153045  |
|  Series 2021, 4% 2/1/42 <br>| 250000  | 201069  |
|  Series 2019 A, 5% 2/1/42  | 675000  | 655509  |
|  Missouri Health & Edl. Facilities Rev.:  |  |  |
|  Series 2014 A, 5% 6/1/31 (Pre-Refunded to 6/1/24 @ 100)  | 555000  | 573047  |
|  Series 2014, 5% 10/1/39 (Pre-Refunded to 10/1/23 @ 100)  | 155000  | 158120  |
|  Series 2015 B:  |  |  |
|  3.125% 2/1/27 <br>| 140000  | 139424  |
|  3.25% 2/1/28 <br>| 140000  | 139692  |
|  5% 2/1/29 <br>| 150000  | 155164  |
|  5% 2/1/31 <br>| 315000  | 325130  |
|  5% 2/1/33 <br>| 350000  | 359932  |
|  5% 2/1/34 <br>| 175000  | 179713  |
|  5% 2/1/36 <br>| 395000  | 404408  |
|  Series 2017 A, 5% 10/1/42  | 150000  | 157980  |
|  Series 2018 A:  |  |  |
|  5% 6/1/30 <br>| 1065000  | 1163602  |
|  5% 6/1/31 <br>| 675000  | 736451  |
|  Series 2019 A:  |  |  |
|  4% 2/15/44 <br>| 490000  | 467694  |
|  4% 10/1/48 <br>| 425000  | 400517  |
|  4% 2/15/49 <br>| 1065000  | 995872  |
|  4% 2/15/54 <br>| 970000  | 880549  |
|  5% 10/1/46 <br>| 265000  | 282916  |
|  Series 2020, 4% 6/1/53  | 1250000  | 1117058  |
|  Series 2022 A, 5% 6/1/27  | 1300000  | 1401363  |
|  Missouri Hsg. Dev. Commission Single Family Mtg. Rev.:  |  |  |
|  (First Place Homeownership Ln. Prog.):  |  |  |
|  Series 2018 A, 4.25% 5/1/49 <br>| 775000  | 780203  |
|  Series 2018 B, 4.75% 5/1/49 <br>| 405000  | 412921  |
|  Series 2019 A, 4.25% 5/1/47 <br>| 140000  | 141001  |
|  Series 2015 A, 3.75% 5/1/38  | 60000  | 59869  |
|  Series 2019, 4% 5/1/50  | 135000  | 135063  |
|  Series 2021 A, 3% 5/1/52  | 3125000  | 3015118  |
|  Missouri Joint Muni. Elec. Util. Commission Pwr. Proj. Rev.:  |  |  |
|  (Iatan 2 Proj.) Series 2014 A, 5% 1/1/33  | 590000  | 600353  |
|  (Plum Point Proj.) Series 2014 A, 5% 1/1/33  | 1475000  | 1515083  |
|  (Prarie State Proj.) Series 2016 A, 5% 12/1/40  | 2500000  | 2575183  |
|  Plaza at Noah's Ark Cmnty. Impt. District Series 2021:  |  |  |
|  3% 5/1/30  | 65000  | 57286  |
|  3.125% 5/1/35  | 45000  | 36677  |
|  Saint Louis Arpt. Rev.:  |  |  |
|  Series 2019 A:  |  |  |
|  5% 7/1/44 <br>| 80000  | 83271  |
|  5% 7/1/49 <br>| 65000  | 67241  |
|  Series 2019 C:  |  |  |
|  5% 7/1/26 <br>| 90000  | 95936  |
|  5% 7/1/27 <br>| 155000  | 167767  |
|  Series A, 5.25% 7/1/26 (Assured Guaranty Muni. Corp. Insured)  | 350000  | 376030  |
|  Saint Louis County Indl. Dev. Auth. Sr. Living Facilities Rev.:  |  |  |
|  Series 2015 A:  |  |  |
|  5% 12/1/35 <br>| 280000  | 272437  |
|  5.125% 12/1/45 <br>| 545000  | 512422  |
|  Series 2017, 5% 9/1/48  | 2140000  | 1809175  |
|  Series 2018 A:  |  |  |
|  5% 9/1/38 <br>| 890000  | 809347  |
|  5.125% 9/1/48 <br>| 3085000  | 2657317  |
|  5.25% 9/1/53 <br>| 3485000  | 3006869  |
|  Saint Louis Muni. Fin. Corp. Leasehold Rev.:  |  |  |
|  (Convention Ctr. Expansion And Impt. Projs.) Series 2020, 5% 10/1/49 (Assured Guaranty Muni. Corp. Insured)  | 750000  | 767987  |
|  (Convetion Ctr. Expansion and Impt. Projs.) Series 2020, 5% 10/1/45 (Assured Guaranty Muni. Corp. Insured)  | 770000  | 794119  |
|  St Louis Indl. Dev. Auth. Dev. Fing. Rev. (Ballpark Village Dev. Proj.) Series 2017 A:  |  |  |
|  3.875% 11/15/29  | 195000  | 167916  |
|  4.375% 11/15/35  | 710000  | 567539  |
|  4.75% 11/15/47  | 1045000  | 776013  |
|  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  | 1750000  | 1788108  |
|  (Nat'l. Geospatial-Intelligence Agcy. Site Impt. Proj.) Series 2017 A:  |  |  |
|  5.125% 6/1/46 <br>| 735000  | 746853  |
|  5.375% 6/1/43 <br>| 2060000  | 2124292  |
|  St. Louis County Indl. Dev. Auth. Health Facilities Rev. Series 2015 A:  |  |  |
|  5% 8/15/30  | 165000  | 159361  |
|  5% 8/15/35  | 95000  | 88307  |
|  5.125% 8/15/45  | 295000  | 256737  |
|  The Indl. Dev. Auth. of Hannibal (Hannibal Reg'l. Healthcare Sys. Proj.) Series 2017:  |  |  |
|  5% 10/1/42  | 190000  | 193253  |
|  5% 10/1/47  | 120000  | 121437  |
|  TOTAL MISSOURI  |  | 64970902  |
| Montana - 0.1%  |  |  |
|  Kalispell Hsg. and Healthcare Facilities Rev. (Immanuel Lutheran Corp. Proj.) Series 2017 A:  |  |  |
|  5.25% 5/15/37  | 95000  | 85208  |
|  5.25% 5/15/47  | 1020000  | 838004  |
|  5.25% 5/15/52  | 1060000  | 839749  |
|  Montana Board Hsg. Single Family:  |  |  |
|  Series 2017 B, 4% 12/1/48 (d)  | 90000  | 89880  |
|  Series 2019 B, 4% 6/1/50  | 85000  | 85008  |
|  Series 2020 B, 4% 12/1/50  | 875000  | 875352  |
|  Montana Board of Hsg. Series 2014 A2, 3% 12/1/43 (d)  | 75000  | 74507  |
|  Montana Board of Regents Higher Ed. Rev. Series 2022, 5.25% 11/15/52  | 3000000  | 3327318  |
|  Montana Facility Fin. Auth.:  |  |  |
|  (Montana Children's Home and Hosp. Proj.) Series 2020 A, 4% 7/1/50  | 250000  | 205166  |
|  Series 2018 B, 5% 7/1/48  | 250000  | 253194  |
|  Series 2021 A, 3% 6/1/50  | 1750000  | 1208365  |
|  Yellowstone County School District # 26 Series 2018:  |  |  |
|  5% 7/1/30  | 250000  | 277446  |
|  5% 7/1/31  | 500000  | 554073  |
|  5% 7/1/32  | 500000  | 552954  |
|  TOTAL MONTANA  |  | 9266224  |
| Nebraska - 0.3%  |  |  |
|  Central Plains Energy Proj. Gas Supply Bonds Series 2019, 4%, tender 8/1/25 (b)  | 5775000  | 5796436  |
|  Central Plains Energy Proj. Rev.:  |  |  |
|  (Proj. No. 3) Series 2017 A, 5% 9/1/30  | 490000  | 520697  |
|  Bonds:  |  |  |
|  (Proj. No. 4) Series 2018 A, 5%, tender 1/1/24 (b) <br>| 3000000  | 3027688  |
|  Series 2022 1, 5%, tender 10/1/29 (b) <br>| 4255000  | 4362181  |
|  Series 2017 A:  |  |  |
|  5% 9/1/31 <br>| 345000  | 367746  |
|  5% 9/1/34 <br>| 180000  | 190200  |
|  5% 9/1/37 <br>| 350000  | 363983  |
|  Douglas County Hosp. Auth. #2 Health Facilities Rev.:  |  |  |
|  Series 2020 A:  |  |  |
|  4% 11/15/39 <br>| 290000  | 282926  |
|  4% 11/15/50 <br>| 240000  | 221510  |
|  Series 2020, 4% 11/15/37  | 255000  | 251530  |
|  Douglas County Neb Edl. Facilities Rev.:  |  |  |
|  (Creighton Univ. Proj.) Series 2017:  |  |  |
|  4% 7/1/33 <br>| 45000  | 45590  |
|  4% 7/1/34 <br>| 120000  | 121104  |
|  5% 7/1/36 <br>| 85000  | 89916  |
|  (Creighton Univ. Projs.) Series 2021 A, 3% 7/1/51  | 785000  | 537754  |
|  Lincoln Elec. Sys. Rev. Series 2018:  |  |  |
|  5% 9/1/31  | 110000  | 119142  |
|  5% 9/1/32  | 210000  | 227363  |
|  5% 9/1/33  | 125000  | 135167  |
|  Nebraska Invt. Fin. Auth. Single Family Hsg. Rev.:  |  |  |
|  Series 2014 A, 4% 9/1/44  | 95000  | 95077  |
|  Series 2018 C, 4% 9/1/48  | 425000  | 425290  |
|  Series 2019 B, 4% 9/1/49 (d)  | 325000  | 323006  |
|  Series 2019 E, 3.75% 9/1/49 (d)  | 335000  | 331725  |
|  Series 2020 A, 3.5% 9/1/50  | 75000  | 73873  |
|  Nebraska Pub. Pwr. District Rev.:  |  |  |
|  Series 2016 A:  |  |  |
|  5% 1/1/32 <br>| 95000  | 99760  |
|  5% 1/1/34 <br>| 55000  | 57640  |
|  Series 2016 B:  |  |  |
|  5% 1/1/32 <br>| 280000  | 294028  |
|  5% 1/1/37 <br>| 300000  | 313150  |
|  5% 1/1/40 <br>| 140000  | 145887  |
|  Series 2016 D, 5% 1/1/46  | 965000  | 1003577  |
|  Series 2021 A:  |  |  |
|  5% 1/1/27 <br>| 100000  | 108246  |
|  5% 1/1/30 <br>| 120000  | 134616  |
|  5% 1/1/31 <br>| 310000  | 351214  |
|  5% 1/1/32 <br>| 330000  | 372515  |
|  5% 1/1/33 <br>| 105000  | 118117  |
|  Series 2021 B:  |  |  |
|  5% 1/1/29 <br>| 215000  | 238614  |
|  5% 1/1/30 <br>| 205000  | 229968  |
|  5% 1/1/31 <br>| 160000  | 181272  |
|  5% 1/1/32 <br>| 170000  | 191902  |
|  5% 1/1/33 <br>| 165000  | 185612  |
|  Omaha Arpt. Auth. Arpt. Rev. Series 2017 A:  |  |  |
|  5% 12/15/22 (d)  | 90000  | 90064  |
|  5% 12/15/25 (d)  | 50000  | 52532  |
|  5% 12/15/26 (d)  | 175000  | 185717  |
|  5% 12/15/27 (d)  | 120000  | 126892  |
|  5% 12/15/30 (d)  | 185000  | 194837  |
|  5% 12/15/31 (d)  | 95000  | 99890  |
|  5% 12/15/33 (d)  | 100000  | 104376  |
|  5% 12/15/35 (d)  | 245000  | 253592  |
|  5% 12/15/36 (d)  | 60000  | 61985  |
|  Omaha Pub. Pwr. District Elec. Rev.:  |  |  |
|  Series 2021 A:  |  |  |
|  4% 2/1/51 <br>| 2000000  | 1925179  |
|  4% 2/1/51 <br>| 2500000  | 2406474  |
|  5% 2/1/46 <br>| 2225000  | 2422896  |
|  Series 2022 A, 5% 2/1/47  | 2500000  | 2754960  |
|  TOTAL NEBRASKA  |  | 32615416  |
| Nevada - 0.4%  |  |  |
|  Carson City Hosp. Rev. (Carson Tahoe Hosp. Proj.) Series 2017:  |  |  |
|  5% 9/1/37  | 150000  | 152889  |
|  5% 9/1/42  | 370000  | 376076  |
|  Clark County Arpt. Rev.:  |  |  |
|  Series 2014 A2, 5% 7/1/30  | 370000  | 382158  |
|  Series 2019 A, 5% 7/1/26  | 1445000  | 1552493  |
|  Series 2021 B, 5% 7/1/26 (d)  | 2290000  | 2409220  |
|  Clark County Fuel Tax:  |  |  |
|  Series 2018 A, 5% 5/1/48  | 4820000  | 5073729  |
|  Series 2018, 4% 12/1/35  | 950000  | 973075  |
|  Clark County Hwy. Impt. Rev. Series 2022, 4% 7/1/40 (Assured Guaranty Muni. Corp. Insured)  | 2500000  | 2473825  |
|  Clark County Poll. Cont. Rev. Bonds Series 2017, 1.65%, tender 3/31/23 (b)  | 730000  | 726562  |
|  Clark County School District:  |  |  |
|  Series 2015 C:  |  |  |
|  4% 6/15/32 <br>| 750000  | 765505  |
|  5% 6/15/26 <br>| 190000  | 202399  |
|  Series 2016 B, 5% 6/15/26  | 105000  | 112908  |
|  Series 2017 A:  |  |  |
|  5% 6/15/24 <br>| 15000  | 15536  |
|  5% 6/15/25 <br>| 380000  | 401549  |
|  5% 6/15/26 <br>| 15000  | 16130  |
|  Series 2020 A:  |  |  |
|  4% 6/15/37 (Assured Guaranty Muni. Corp. Insured) <br>| 190000  | 193173  |
|  4% 6/15/39 (Assured Guaranty Muni. Corp. Insured) <br>| 420000  | 421409  |
|  4% 6/15/40 (Assured Guaranty Muni. Corp. Insured) <br>| 25000  | 24943  |
|  Series 2021 B, 3% 6/15/36  | 2025000  | 1767270  |
|  Series A, 5% 6/15/27  | 85000  | 92655  |
|  Director of the State of Nevada Dept. of Bus. & Industry Charter School Lease Rev.:  |  |  |
|  Series 2015 A:  |  |  |
|  5% 12/15/35 (f) <br>| 130000  | 128405  |
|  5.125% 12/15/45 (f) <br>| 160000  | 151017  |
|  Series 2018 A:  |  |  |
|  5% 12/15/38 (f) <br>| 150000  | 146086  |
|  5% 12/15/48 (f) <br>| 585000  | 536440  |
|  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)  | 245000  | 255263  |
|  5.5% 1/1/39 (Pre-Refunded to 7/1/24 @ 100)  | 370000  | 385499  |
|  5.5% 1/1/44 (Pre-Refunded to 7/1/24 @ 100)  | 525000  | 546992  |
|  Las Vegas Convention & Visitors Auth.:  |  |  |
|  Series 2017 A, 4% 7/1/40  | 250000  | 244923  |
|  Series 2017 B, 4% 7/1/39  | 250000  | 247263  |
|  Series 2018 B:  |  |  |
|  4% 7/1/49 <br>| 3625000  | 3268842  |
|  5% 7/1/43 <br>| 3980000  | 4128204  |
|  Series 2019 B, 5% 7/1/33  | 620000  | 678583  |
|  Series 2022 B, 5.25% 7/1/49  | 560000  | 604116  |
|  Las Vegas Redev. Agcy., Tax Increment Rev. Series 2016:  |  |  |
|  5% 6/15/30  | 60000  | 62447  |
|  5% 6/15/40  | 1580000  | 1615365  |
|  5% 6/15/45  | 1870000  | 1905750  |
|  Las Vegas Valley Wtr. District Wtr. Impt. Gen. Oblig.:  |  |  |
|  Series 2015, 5% 6/1/33  | 1000000  | 1038521  |
|  Series 2016 A, 5% 6/1/46  | 1640000  | 1702862  |
|  Series 2016 B:  |  |  |
|  5% 6/1/34 <br>| 420000  | 445845  |
|  5% 6/1/36 <br>| 700000  | 739506  |
|  Nevada Hsg. Division Single Family Mtg. Rev.:  |  |  |
|  Series 2019 A, 4% 4/1/49  | 120000  | 120063  |
|  Series 2019 B, 4% 10/1/49  | 240000  | 240125  |
|  Series 2021 A, 3% 4/1/51  | 640000  | 616989  |
|  Series 2021 B, 3% 10/1/51  | 6535000  | 6233950  |
|  Reno Cap. Impt. Rev. Series 2019 A1, 4% 6/1/46 (Assured Guaranty Muni. Corp. Insured)  | 250000  | 233611  |
|  Reno Sales Tax Rev.:  |  |  |
|  (Retrac-Reno Trans. Rail Access Corridor Proj.) Series 2018 A:  |  |  |
|  5% 6/1/36 <br>| 35000  | 36901  |
|  5% 6/1/37 <br>| 70000  | 73537  |
|  5% 6/1/48 <br>| 70000  | 72469  |
|  (ReTRAC-Reno Trans. Rail Access Corridor Proj.) Series 2018 B, 4% 6/1/48 (Assured Guaranty Muni. Corp. Insured)  | 95000  | 87103  |
|  (Retrac-Reno Trans. Rail Access Corridor Proj.):  |  |  |
|  Series 2018 B: <br>|  |  |
|  4.125% 6/1/58 (Assured Guaranty Muni. Corp. Insured) <br>| 120000  | 109998  |
|  5% 6/1/33 (Assured Guaranty Muni. Corp. Insured) <br>| 25000  | 26971  |
|  5% 6/1/38 (Assured Guaranty Muni. Corp. Insured) <br>| 35000  | 37156  |
|  Series 2018 C, 0% 7/1/58 (f) <br>| 4500000  | 528782  |
|  Sparks Tourism Impt. District No. 1 Sr. Sales Tax Anticipation Rev. Series 2019 A, 2.5% 6/15/24 (f)  | 205000  | 198198  |
|  Tahoe-Douglas Visitors Auth. Series 2020, 5% 7/1/51  | 170000  | 165220  |
|  TOTAL NEVADA  |  | 45746506  |
| New Hampshire - 0.4%  |  |  |
|  Nat'l. Fin. Auth. Hosp. Rev.:  |  |  |
|  (St. Luke's Univ. Health Network Proj.) Series 2021 B, 5% 8/15/26  | 465000  | 497257  |
|  (St. Lukes Univ. Health Network Proj.) Series 2021 B, 3% 8/15/51 (Assured Guaranty Muni. Corp. Insured)  | 1755000  | 1243310  |
|  Nat'l. Fin. Auth. Rev.:  |  |  |
|  (The Lawrenceville School Proj.) Series 2021 A, 4% 7/1/51  | 2140000  | 1996723  |
|  (The Vista Proj.) Series 2019 A:  |  |  |
|  5.25% 7/1/39 (f) <br>| 220000  | 200652  |
|  5.625% 7/1/46 (f) <br>| 125000  | 115277  |
|  5.75% 7/1/54 (f) <br>| 310000  | 284758  |
|  Bonds Series 2020 B, 3.75%, tender 7/2/40 (b)(d)(f)  | 1195000  | 965850  |
|  Nat'l. Fin. Auth. Solid Bonds (Waste Mgmt., Inc. Proj.):  |  |  |
|  Series 2019 A2, 2.15%, tender 7/1/24 (b)(d)  | 600000  | 579594  |
|  Series 2019 A3, 2.15%, tender 7/1/24 (b)(d)  | 965000  | 932180  |
|  Nat'l. Fin. Auth. Sr. Living Rev. (Springpoint Sr. Living Proj.) Series 2021, 4% 1/1/41  | 220000  | 186076  |
|  Nat'l. Finnance Auth.:  |  |  |
|  Series 2020 1, 4.125% 1/20/34  | 3892025  | 3751973  |
|  Series 2022 1, 4.375% 9/20/36  | 2613497  | 2501026  |
|  New Hampshire Bus. Fin. Auth. Wtr. Facility (Pennichuck Wtr. Works, Inc. Proj.) Series 2020 A, 4% 4/1/50 (d)  | 750000  | 661421  |
|  New Hampshire Health & Ed. Facilities Auth.:  |  |  |
|  (Dartmouth-Hitchcock Oblgtd Grp Proj.) Series 2018 A:  |  |  |
|  5% 8/1/28 <br>| 150000  | 160810  |
|  5% 8/1/29 <br>| 130000  | 138645  |
|  5% 8/1/30 <br>| 120000  | 127509  |
|  (Dartmouth-Hitchcock Oblgtd Grp Proj.):  |  |  |
|  Series 2018 A: <br>|  |  |
|  5% 8/1/31 <br>| 75000  | 79574  |
|  5% 8/1/32 <br>| 15000  | 15885  |
|  5% 8/1/34 <br>| 190000  | 199789  |
|  5% 8/1/36 <br>| 110000  | 114912  |
|  5% 8/1/37 <br>| 135000  | 140642  |
|  Series 2018, 5% 8/1/35 <br>| 155000  | 162360  |
|  (Partners Healthcare Sys., Inc. Proj.) Series 2017:  |  |  |
|  5% 7/1/30 <br>| 310000  | 338438  |
|  5% 7/1/32 <br>| 465000  | 506028  |
|  5% 7/1/33 <br>| 425000  | 459652  |
|  5% 7/1/34 <br>| 650000  | 700686  |
|  5% 7/1/35 <br>| 680000  | 729152  |
|  5% 7/1/36 <br>| 715000  | 762518  |
|  5% 7/1/37 <br>| 630000  | 668417  |
|  5% 7/1/41 <br>| 115000  | 117988  |
|  Series 2017 A:  |  |  |
|  6.125% 7/1/37 (f)(h) <br>| 200349  | 44077  |
|  6.125% 7/1/52 (f)(h) <br>| 492524  | 108355  |
|  6.25% 7/1/42 (f)(h) <br>| 300523  | 66115  |
|  Series 2017:  |  |  |
|  5% 7/1/36 <br>| 65000  | 66039  |
|  5% 7/1/44 <br>| 1855000  | 1842836  |
|  New Hampshire Health & Ed. Facilities Auth. Rev.:  |  |  |
|  Series 2012:  |  |  |
|  4% 7/1/23 <br>| 55000  | 55033  |
|  4% 7/1/32 <br>| 385000  | 381105  |
|  5% 7/1/24 <br>| 120000  | 120156  |
|  5% 7/1/25 <br>| 145000  | 145178  |
|  5% 7/1/27 <br>| 60000  | 60062  |
|  Series 2016:  |  |  |
|  4% 10/1/38 <br>| 360000  | 336077  |
|  5% 10/1/23 <br>| 10000  | 10162  |
|  5% 10/1/24 <br>| 260000  | 268378  |
|  5% 10/1/25 <br>| 255000  | 267462  |
|  5% 10/1/28 <br>| 170000  | 178340  |
|  5% 10/1/29 <br>| 810000  | 846380  |
|  5% 10/1/31 <br>| 630000  | 656260  |
|  5% 10/1/32 <br>| 290000  | 301670  |
|  5% 10/1/33 <br>| 490000  | 508571  |
|  5% 10/1/36 <br>| 115000  | 115952  |
|  5% 10/1/38 <br>| 1120000  | 1134702  |
|  5% 10/1/40 <br>| 545000  | 547034  |
|  5% 10/1/46 <br>| 860000  | 852336  |
|  New Hampshire Nat'l. Fin. Auth. Series 2022 2, 4% 10/20/36  | 10239493  | 9434255  |
|  TOTAL NEW HAMPSHIRE  |  | 37685637  |
| New Jersey - 3.5%  |  |  |
|  Atlantic City Board of Ed. Series 2021:  |  |  |
|  4% 4/1/29  | 40000  | 42316  |
|  4% 4/1/30  | 35000  | 36846  |
|  4% 4/1/31  | 30000  | 31397  |
|  4% 4/1/32  | 60000  | 62473  |
|  4% 4/1/34  | 55000  | 56515  |
|  Atlantic City Gen. Oblig.:  |  |  |
|  Series 2017 A:  |  |  |
|  5% 3/1/32 <br>| 1050000  | 1124207  |
|  5% 3/1/42 <br>| 125000  | 129785  |
|  Series 2017 B:  |  |  |
|  5% 3/1/32 <br>| 855000  | 915426  |
|  5% 3/1/37 <br>| 355000  | 372642  |
|  Atlantic County Impt. Auth.:  |  |  |
|  (Atlantic City Campus Phase II Proj.) Series 2021 A:  |  |  |
|  4% 7/1/38 (Assured Guaranty Muni. Corp. Insured) <br>| 50000  | 48361  |
|  4% 7/1/39 (Assured Guaranty Muni. Corp. Insured) <br>| 45000  | 43294  |
|  4% 7/1/40 (Assured Guaranty Muni. Corp. Insured) <br>| 65000  | 61507  |
|  4% 7/1/53 (Assured Guaranty Muni. Corp. Insured) <br>| 740000  | 675975  |
|  5% 7/1/33 (Assured Guaranty Muni. Corp. Insured) <br>| 30000  | 33532  |
|  5% 7/1/35 (Assured Guaranty Muni. Corp. Insured) <br>| 30000  | 33224  |
|  (Atlantic City Campus Proj.) Series 2016 A:  |  |  |
|  5% 7/1/28 (Assured Guaranty Muni. Corp. Insured) <br>| 125000  | 133112  |
|  5% 7/1/30 (Assured Guaranty Muni. Corp. Insured) <br>| 305000  | 324624  |
|  5% 7/1/31 (Assured Guaranty Muni. Corp. Insured) <br>| 500000  | 531820  |
|  5% 7/1/32 (Assured Guaranty Muni. Corp. Insured) <br>| 150000  | 159435  |
|  5% 7/1/33 (Assured Guaranty Muni. Corp. Insured) <br>| 160000  | 169746  |
|  Camden County Impt. Auth. (KIPP Cooper Norcross Academy 2022 Proj.) Series 2022:  |  |  |
|  6% 6/15/42  | 60000  | 64096  |
|  6% 6/15/47  | 165000  | 174039  |
|  6% 6/15/52  | 155000  | 162275  |
|  6% 6/15/62  | 510000  | 528867  |
|  Camden County Impt. Auth. Charter School Rev. (Camden Prep High School Proj.) Series 2022:  |  |  |
|  5% 7/15/52 (f)  | 435000  | 424115  |
|  5% 7/15/62 (f)  | 80000  | 75214  |
|  Camden County Impt. Auth. Health Care Redev. Rev. Series 2014 A, 5% 2/15/26  | 65000  | 65722  |
|  Casino Reinvestment Dev. Auth. N Series 2014, 5% 11/1/32 (Assured Guaranty Muni. Corp. Insured)  | 115000  | 118655  |
|  Edison Township Gen. Oblig. Series 2021, 2% 3/15/36  | 700000  | 538802  |
|  Essex County Impt. Auth. (CHF-Newark, L.L.C. - NJIT Student Hsg. Proj.) Series 2021 A, 4% 8/1/46  | 355000  | 335836  |
|  Essex County Impt. Auth. Charter School Rev.:  |  |  |
|  (North Star Academy Charter School of Newark, Inc. - 2020 Proj.) Series 2020, 4% 7/15/60 (f)  | 300000  | 238910  |
|  (North Star Academy Charter School of Newark, New Jersey Hazelwood & Broad Proj.) Series 2020 A, 4% 8/1/60 (f)  | 250000  | 199069  |
|  (The Friends o Team Charter Schools, Inc. - 2021 Proj.) Series 2021, 4% 6/15/46  | 275000  | 237610  |
|  (The Friends of Team Charter Schools, Inc. - 2021 Proj.) Series 2021, 4% 6/15/56  | 365000  | 298027  |
|  Hudson County Impt. Auth. (Hudson County Courthouse Proj.) Series 2020, 4% 10/1/33  | 590000  | 623601  |
|  Jersey City Redev. Agcy. (Bayfront Redev. Proj.) Series 2022, 4% 12/15/31  | 1815000  | 1912066  |
|  Monmouth County Impt. Lease Rev. Series 2021, 5% 10/1/23  | 1505000  | 1538054  |
|  New Brunswick Parking Auth. Rev.:  |  |  |
|  Series 2016 A:  |  |  |
|  5% 9/1/29 <br>| 250000  | 268152  |
|  5% 9/1/30 <br>| 750000  | 803612  |
|  5% 9/1/31 <br>| 800000  | 855547  |
|  5% 9/1/39 <br>| 965000  | 1011826  |
|  Series 2017, 5% 9/1/42  | 540000  | 568852  |
|  New Jersey Econ. Dev. Auth.:  |  |  |
|  (White Horse HMT Urban Renewal LLC Proj.) Series 2020, 5% 1/1/40 (f)  | 160000  | 120938  |
|  Series 2013, 5% 3/1/27  | 540000  | 542376  |
|  Series 2020 A:  |  |  |
|  4% 11/1/38 <br>| 295000  | 284527  |
|  4% 11/1/44 <br>| 3520000  | 3224203  |
|  5% 11/1/32 <br>| 565000  | 614764  |
|  Series A:  |  |  |
|  5% 11/1/31 <br>| 1775000  | 1939225  |
|  5% 11/1/34 <br>| 1325000  | 1417897  |
|  5% 11/1/36 <br>| 2075000  | 2186927  |
|  Series QQQ:  |  |  |
|  4% 6/15/34 <br>| 45000  | 45078  |
|  4% 6/15/36 <br>| 60000  | 58796  |
|  4% 6/15/39 <br>| 55000  | 52273  |
|  4% 6/15/41 <br>| 55000  | 51398  |
|  4% 6/15/46 <br>| 1790000  | 1630001  |
|  4% 6/15/50 <br>| 840000  | 756542  |
|  5% 6/15/31 <br>| 60000  | 66409  |
|  5% 6/15/33 <br>| 10000  | 10960  |
|  New Jersey Econ. Dev. Auth. Energy Facility Rev. (Umm Energy Partners, LLC Proj.) Series 2012 A:  |  |  |
|  5% 6/15/37 (d)  | 175000  | 175021  |
|  5.125% 6/15/43 (d)  | 245000  | 245019  |
|  New Jersey Econ. Dev. Auth. Lease Rev.:  |  |  |
|  (State House Proj.) Series 2017 B:  |  |  |
|  5% 6/15/26 <br>| 65000  | 69061  |
|  5% 6/15/35 <br>| 35000  | 36930  |
|  (State House Proj.) Series 2017 B, 5% 6/15/43  | 810000  | 828912  |
|  Series 2018 A:  |  |  |
|  5% 6/15/33 <br>| 1555000  | 1653494  |
|  5% 6/15/42 <br>| 1675000  | 1710124  |
|  Series 2018 C, 5% 6/15/42  | 970000  | 990340  |
|  New Jersey Econ. Dev. Auth. Motor Vehicle Rev.:  |  |  |
|  Series 2017 A:  |  |  |
|  5% 7/1/28 <br>| 1970000  | 2098174  |
|  5% 7/1/33 <br>| 100000  | 104205  |
|  Series 2017 B, 3.125% 7/1/29  | 180000  | 176412  |
|  New Jersey Econ. Dev. Auth. Rev.:  |  |  |
|  (Black Horse EHT Urban Renewal LLC Proj.) Series 2019 A, 5% 10/1/39 (f)  | 130000  | 99203  |
|  (Goethals Bridge Replacement Proj.) Series 2013:  |  |  |
|  5.125% 1/1/34 (d) <br>| 1600000  | 1602705  |
|  5.375% 1/1/43 (d) <br>| 1695000  | 1697558  |
|  (Lions Gate Proj.) Series 2014:  |  |  |
|  4.375% 1/1/24 <br>| 70000  | 69348  |
|  4.875% 1/1/29 <br>| 145000  | 138918  |
|  5% 1/1/34 <br>| 280000  | 258626  |
|  5.25% 1/1/44 <br>| 685000  | 609715  |
|  (Provident Group - Rowan Properties L.L.C. - Rowan Univ. Student Hsg. Proejct) Series 2015 A, 5% 1/1/48  | 2065000  | 1768430  |
|  (Provident Group - Rowan Properties L.L.C. - Rowan Univ. Student Hsg. Proj.) Series 2015 A, 5% 1/1/30  | 510000  | 492097  |
|  (Provident Group - Rowan Properties LLC - Rowan Univ. Student Hsg. Proj.) Series 2015 A, 5% 1/1/35  | 335000  | 309573  |
|  (Provident Montclair Proj.) Series 2017:  |  |  |
|  5% 6/1/25 (Assured Guaranty Muni. Corp. Insured) <br>| 65000  | 68072  |
|  5% 6/1/28 (Assured Guaranty Muni. Corp. Insured) <br>| 5000  | 5335  |
|  5% 6/1/29 (Assured Guaranty Muni. Corp. Insured) <br>| 5000  | 5321  |
|  (The Goethals Bridge Replacement Proj.) Series 2013:  |  |  |
|  5% 1/1/28 (d) <br>| 100000  | 100368  |
|  5% 1/1/31 (Assured Guaranty Muni. Corp. Insured) (d) <br>| 1015000  | 1018981  |
|  5.125% 1/1/39 (Assured Guaranty Muni. Corp. Insured) (d) <br>| 360000  | 360640  |
|  5.125% 7/1/42 (Assured Guaranty Muni. Corp. Insured) (d) <br>| 655000  | 655482  |
|  5.5% 1/1/27 (d) <br>| 100000  | 100966  |
|  5.625% 1/1/52 (d) <br>| 2990000  | 2999814  |
|  Series 1997 A, 0% 7/1/26 (Escrowed to Maturity)  | 350000  | 314368  |
|  Series 2005 N1, 5.5% 9/1/26 (AMBAC Insured)  | 750000  | 813003  |
|  Series 2013 I:  |  |  |
|  SIFMA Municipal Swap Index + 1.550% 3.45% 9/1/27 (b)(c) <br>| 5315000  | 5317339  |
|  SIFMA Municipal Swap Index + 1.600% 3.5% 3/1/28 (b)(c) <br>| 4820000  | 4822105  |
|  Series 2013 NN, 5% 3/1/29 (Pre-Refunded to 3/1/23 @ 100)  | 2410000  | 2425118  |
|  Series 2013, 5% 3/1/24  | 2190000  | 2200996  |
|  Series 2014 PP, 5% 6/15/26  | 1175000  | 1207868  |
|  Series 2014 RR, 5% 6/15/32 (Pre-Refunded to 6/15/24 @ 100)  | 190000  | 196915  |
|  Series 2014 UU, 5% 6/15/30 (Pre-Refunded to 6/15/24 @ 100)  | 230000  | 238194  |
|  Series 2015 WW, 5.25% 6/15/30 (Pre-Refunded to 6/15/25 @ 100)  | 3135000  | 3336722  |
|  Series 2015 XX, 5.25% 6/15/27  | 2065000  | 2168942  |
|  Series 2016 A, 5% 7/15/27  | 65000  | 69038  |
|  Series 2016 AAA, 5% 6/15/41  | 140000  | 142593  |
|  Series 2016 BBB:  |  |  |
|  5.5% 6/15/30 (Pre-Refunded to 12/15/26 @ 100) <br>| 15000  | 16666  |
|  5.5% 6/15/31 (Pre-Refunded to 12/15/26 @ 100) <br>| 940000  | 1044410  |
|  Series 2017 DDD:  |  |  |
|  5% 6/15/34 <br>| 130000  | 136474  |
|  5% 6/15/35 <br>| 105000  | 109476  |
|  5% 6/15/42 <br>| 605000  | 616550  |
|  Series 2018 EEE:  |  |  |
|  5% 6/15/28 <br>| 40000  | 43561  |
|  5% 6/15/34 <br>| 95000  | 101126  |
|  Series 2018, 5% 1/1/39  | 495000  | 449588  |
|  Series 2019 LLL:  |  |  |
|  5% 6/15/36 <br>| 250000  | 264009  |
|  5% 6/15/49 <br>| 250000  | 254289  |
|  Series LLL:  |  |  |
|  4% 6/15/44 <br>| 190000  | 174160  |
|  4% 6/15/49 <br>| 330000  | 297886  |
|  5% 6/15/44 <br>| 805000  | 824644  |
|  Series MMM:  |  |  |
|  4% 6/15/35 <br>| 75000  | 74171  |
|  4% 6/15/36 <br>| 75000  | 73495  |
|  New Jersey Econ. Dev. Auth. School Rev. Series 2019 A, 5% 6/15/49 (f)  | 100000  | 90861  |
|  New Jersey Econ. Dev. Auth. Spl. Facilities Rev.:  |  |  |
|  (Continental Airlines, Inc. Proj.):  |  |  |
|  Series 2000 A, 5.625% 11/15/30 (d) <br>| 445000  | 447530  |
|  Series 2000 B, 5.625% 11/15/30 (d) <br>| 4675000  | 4701576  |
|  Series 2003, 5.5% 6/1/33 (d) <br>| 1205000  | 1208363  |
|  (Port Newark Container Term. LLC. Proj.) Series 2017:  |  |  |
|  5% 10/1/37 (d) <br>| 3840000  | 3864285  |
|  5% 10/1/47 (d) <br>| 4585000  | 4488913  |
|  Series 1999:  |  |  |
|  5.125% 9/15/23 (d) <br>| 40000  | 40093  |
|  5.25% 9/15/29 (d) <br>| 1480000  | 1484208  |
|  New Jersey Econ. Dev. Auth. Wtr. Facilities Rev.:  |  |  |
|  (Middlesex Wtr. Co. Proj.):  |  |  |
|  Series 2012 A, 5% 10/1/23 <br>| 725000  | 738031  |
|  Series 2019, 5% 8/1/59 (d) <br>| 580000  | 585342  |
|  (New Jersey-American Wtr. Co., Inc. Proj.) Series 2020 E, 0.85% 12/1/25 (d)  | 415000  | 379636  |
|  Bonds (New Jersey-American Wtr. Co., Inc.) Series 2020, 1.2%, tender 6/1/23 (b)(d)  | 5650000  | 5594856  |
|  New Jersey Edl. Facilities Auth. Rev. Series 2022 A:  |  |  |
|  5% 7/1/30 (Assured Guaranty Muni. Corp. Insured)  | 160000  | 178592  |
|  5% 7/1/31 (Assured Guaranty Muni. Corp. Insured)  | 160000  | 180339  |
|  5% 7/1/32 (Assured Guaranty Muni. Corp. Insured)  | 210000  | 238586  |
|  5% 7/1/33 (Assured Guaranty Muni. Corp. Insured)  | 95000  | 106219  |
|  New Jersey Edl. Facility:  |  |  |
|  Series 2016 A:  |  |  |
|  5% 7/1/29 <br>| 750000  | 793328  |
|  5% 7/1/29 <br>| 145000  | 151134  |
|  5% 7/1/30 <br>| 750000  | 793297  |
|  5% 7/1/31 <br>| 255000  | 264909  |
|  5% 7/1/32 <br>| 295000  | 306051  |
|  Series A, 5% 7/1/45  | 845000  | 863160  |
|  New Jersey Gen. Oblig.:  |  |  |
|  Series 2020 A:  |  |  |
|  4% 6/1/30 <br>| 2925000  | 3081330  |
|  4% 6/1/31 <br>| 4390000  | 4649585  |
|  4% 6/1/32 <br>| 625000  | 661146  |
|  5% 6/1/25 <br>| 2500000  | 2636659  |
|  5% 6/1/26 <br>| 2055000  | 2208259  |
|  5% 6/1/27 <br>| 575000  | 628922  |
|  5% 6/1/28 <br>| 6580000  | 7302168  |
|  5% 6/1/29 <br>| 1040000  | 1168817  |
|  Series 2021:  |  |  |
|  5% 6/1/38 <br>| 1000000  | 1089770  |
|  5% 6/1/41 <br>| 1240000  | 1335997  |
|  New Jersey Health Care Facilities Fing. Auth. Rev.:  |  |  |
|  (Hosp. Asset Transformation Prog.) Series 2017:  |  |  |
|  5% 10/1/31 <br>| 445000  | 472987  |
|  5% 10/1/32 <br>| 445000  | 473656  |
|  5% 10/1/33 <br>| 375000  | 399618  |
|  5% 10/1/34 <br>| 380000  | 401305  |
|  5% 10/1/35 <br>| 335000  | 351170  |
|  5% 10/1/36 <br>| 390000  | 403964  |
|  5% 10/1/37 <br>| 645000  | 664016  |
|  Bonds:  |  |  |
|  Series 2019 B2, 5%, tender 7/1/25 (b) <br>| 105000  | 110034  |
|  Series 2019 B3, 5%, tender 7/1/26 (b) <br>| 110000  | 117216  |
|  Series 2013 A, 5.5% 7/1/43  | 565000  | 570467  |
|  Series 2014 A, 5% 7/1/44  | 985000  | 993595  |
|  Series 2015 A, 5% 7/1/46 (Assured Guaranty Muni. Corp. Insured)  | 2250000  | 2272782  |
|  Series 2016 A:  |  |  |
|  5% 7/1/25 (Escrowed to Maturity) <br>| 60000  | 63320  |
|  5% 7/1/25 (Escrowed to Maturity) <br>| 275000  | 289863  |
|  5% 7/1/26 (Escrowed to Maturity) <br>| 135000  | 145090  |
|  5% 7/1/26 (Escrowed to Maturity) <br>| 50000  | 53649  |
|  5% 7/1/27 <br>| 90000  | 96513  |
|  5% 7/1/27 (Pre-Refunded to 7/1/26 @ 100) <br>| 75000  | 80473  |
|  5% 7/1/28 <br>| 45000  | 48236  |
|  5% 7/1/28 (Pre-Refunded to 7/1/26 @ 100) <br>| 40000  | 42919  |
|  5% 7/1/29 (Pre-Refunded to 7/1/26 @ 100) <br>| 85000  | 91353  |
|  5% 7/1/29 (Pre-Refunded to 7/1/26 @ 100) <br>| 60000  | 64379  |
|  5% 7/1/30 <br>| 175000  | 187057  |
|  5% 7/1/30 (Pre-Refunded to 7/1/26 @ 100) <br>| 100000  | 107298  |
|  5% 7/1/43 <br>| 3425000  | 3498769  |
|  Series 2016:  |  |  |
|  4% 7/1/48 <br>| 470000  | 394171  |
|  5% 7/1/28 <br>| 75000  | 77347  |
|  5% 7/1/41 <br>| 565000  | 567500  |
|  Series 2017 A:  |  |  |
|  5% 7/1/37 <br>| 420000  | 444930  |
|  5% 7/1/38 <br>| 1200000  | 1267195  |
|  5.25% 7/1/57 <br>| 590000  | 609701  |
|  Series 2019:  |  |  |
|  4% 7/1/35 <br>| 140000  | 140829  |
|  5% 7/1/31 <br>| 140000  | 150393  |
|  Series 2021 A:  |  |  |
|  4% 7/1/45 <br>| 1475000  | 1407399  |
|  4% 7/1/51 <br>| 2610000  | 2396420  |
|  Series 2021, 3% 7/1/39  | 1520000  | 1256870  |
|  New Jersey Higher Ed. Student Assistance Auth. Student Ln. Rev.:  |  |  |
|  Series 2014 A1 1, 5% 12/1/22 (d)  | 590000  | 590000  |
|  Series 2017 1A, 5% 12/1/26 (d)  | 645000  | 680454  |
|  Series 2018 B:  |  |  |
|  5% 12/1/25 (d) <br>| 510000  | 533312  |
|  5% 12/1/26 (d) <br>| 740000  | 782940  |
|  Series 2019 A:  |  |  |
|  5% 12/1/23 <br>| 235000  | 240243  |
|  5% 12/1/24 <br>| 160000  | 166290  |
|  5% 12/1/25 <br>| 310000  | 327797  |
|  Series 2019 B, 3.25% 12/1/39 (d)  | 1215000  | 1094274  |
|  Series 2020 B, 3.5% 12/1/39 (d)  | 1675000  | 1621295  |
|  Series 2020:  |  |  |
|  5% 12/1/24 (d) <br>| 1025000  | 1057040  |
|  5% 12/1/24 (d) <br>| 485000  | 500160  |
|  5% 12/1/27 (d) <br>| 405000  | 431257  |
|  5% 12/1/28 (d) <br>| 705000  | 761036  |
|  Series 2021 A:  |  |  |
|  5% 12/1/28 (d) <br>| 85000  | 91186  |
|  5% 12/1/29 (d) <br>| 115000  | 124278  |
|  Series 2021 B:  |  |  |
|  2.5% 12/1/40 (d) <br>| 455000  | 370293  |
|  5% 12/1/28 (d) <br>| 305000  | 327197  |
|  5% 12/1/29 (d) <br>| 300000  | 324780  |
|  Series 2021 C, 3.25% 12/1/51 (d)  | 185000  | 130861  |
|  Series 2022 A, 5% 12/1/26 (d)  | 495000  | 521831  |
|  Series 2022 B:  |  |  |
|  4% 12/1/41 (d) <br>| 3130000  | 3069337  |
|  5% 12/1/26 (d) <br>| 5050000  | 5323733  |
|  New Jersey Hsg. & Mtg. Fin. Agcy. Rev.:  |  |  |
|  Series 2019 C, 4.75% 10/1/50  | 780000  | 795563  |
|  Series 2021 H, 3% 10/1/52  | 2235000  | 2126815  |
|  New Jersey Institute of Technology Series 2015 A:  |  |  |
|  5% 7/1/40  | 1030000  | 1066411  |
|  5% 7/1/45  | 4215000  | 4348240  |
|  New Jersey Tobacco Settlement Fing. Corp.:  |  |  |
|  Series 2018 A:  |  |  |
|  5% 6/1/28 <br>| 65000  | 67925  |
|  5% 6/1/30 <br>| 500000  | 521537  |
|  5% 6/1/32 <br>| 640000  | 665260  |
|  5% 6/1/33 <br>| 1440000  | 1492249  |
|  5% 6/1/34 <br>| 640000  | 660194  |
|  5% 6/1/35 <br>| 630000  | 647154  |
|  5% 6/1/36 <br>| 800000  | 819540  |
|  5% 6/1/46 <br>| 250000  | 244923  |
|  5.25% 6/1/46 <br>| 2995000  | 3016297  |
|  Series 2018 B, 5% 6/1/46  | 12400000  | 11984230  |
|  New Jersey Tpk. Auth. Tpk. Rev.:  |  |  |
|  Series 2014 A, 5% 1/1/28  | 1175000  | 1214054  |
|  Series 2015 E:  |  |  |
|  5% 1/1/34 <br>| 605000  | 628419  |
|  5% 1/1/45 <br>| 985000  | 1008606  |
|  Series 2016 A, 5% 1/1/35  | 1180000  | 1241793  |
|  Series 2017 D1, 1 month U.S. LIBOR + 0.700% 3.337% 1/1/24 (b)(c)  | 4100000  | 4117154  |
|  Series 2017 G, 5% 1/1/36  | 5365000  | 5774934  |
|  Series 2019 A, 5% 1/1/48  | 1205000  | 1271695  |
|  Series 2021 A:  |  |  |
|  4% 1/1/42 <br>| 3570000  | 3527113  |
|  4% 1/1/51 <br>| 5195000  | 4904125  |
|  Series 2022 B, 5.25% 1/1/52  | 6700000  | 7350780  |
|  Series D, 5% 1/1/28  | 595000  | 638178  |
|  New Jersey Trans. Trust Fund Auth.:  |  |  |
|  (Trans. Prog.) Series 2019 AA:  |  |  |
|  5% 6/15/46 <br>| 2130000  | 2167914  |
|  5.25% 6/15/43 <br>| 14800000  | 15370558  |
|  Series 2006 C:  |  |  |
|  0% 12/15/27 (Nat'l. Pub. Fin. Guarantee Corp. Insured) <br>| 2470000  | 2042189  |
|  0% 12/15/28 <br>| 2585000  | 2031871  |
|  0% 12/15/29 (Assured Guaranty Muni. Corp. Insured) <br>| 3350000  | 2571909  |
|  0% 12/15/30 (FGIC Insured) <br>| 2560000  | 1845629  |
|  0% 12/15/31 (FGIC Insured) <br>| 2420000  | 1661167  |
|  0% 12/15/32 (Assured Guaranty Muni. Corp. Insured) <br>| 710000  | 473960  |
|  0% 12/15/34 <br>| 2600000  | 1556723  |
|  0% 12/15/35 <br>| 795000  | 431718  |
|  0% 12/15/36 (AMBAC Insured) <br>| 2075000  | 1063112  |
|  Series 2008 A:  |  |  |
|  0% 12/15/28 <br>| 2110000  | 1653611  |
|  0% 12/15/37 <br>| 5335000  | 2560336  |
|  Series 2009 A, 0% 12/15/39  | 2850000  | 1205987  |
|  Series 2010 A, 0% 12/15/27  | 2150000  | 1764490  |
|  Series 2014 BB2:  |  |  |
|  5% 6/15/33 <br>| 3085000  | 3396907  |
|  5% 6/15/34 <br>| 320000  | 347905  |
|  Series 2015 AA:  |  |  |
|  5% 6/15/45 <br>| 1205000  | 1216116  |
|  5.25% 6/15/41 <br>| 3205000  | 3269443  |
|  Series 2016 A:  |  |  |
|  5% 6/15/27 <br>| 1235000  | 1305014  |
|  5% 6/15/28 <br>| 1525000  | 1609235  |
|  5% 6/15/29 <br>| 470000  | 495243  |
|  Series 2018 A:  |  |  |
|  5% 6/15/28 <br>| 500000  | 527618  |
|  5% 6/15/29 <br>| 1630000  | 1717544  |
|  5% 6/15/31 <br>| 2490000  | 2614408  |
|  5% 12/15/32 <br>| 205000  | 220931  |
|  5% 12/15/34 <br>| 140000  | 148617  |
|  Series 2019 BB:  |  |  |
|  4% 6/15/36 <br>| 1870000  | 1832478  |
|  4% 6/15/38 <br>| 205000  | 197847  |
|  4% 6/15/50 <br>| 1395000  | 1256399  |
|  5% 6/15/44 <br>| 4270000  | 4361329  |
|  Series 2021 A:  |  |  |
|  4% 6/15/34 <br>| 1155000  | 1157117  |
|  4% 6/15/35 <br>| 365000  | 360964  |
|  4% 6/15/36 <br>| 1530000  | 1499300  |
|  4% 6/15/38 <br>| 1795000  | 1732366  |
|  5% 6/15/32 <br>| 200000  | 221395  |
|  5% 6/15/33 <br>| 345000  | 379881  |
|  Series 2022 A:  |  |  |
|  4% 6/15/39 <br>| 995000  | 945661  |
|  4% 6/15/40 <br>| 1600000  | 1509703  |
|  4% 6/15/41 <br>| 3250000  | 3037130  |
|  4% 6/15/42 <br>| 675000  | 628019  |
|  Series 2022 AA:  |  |  |
|  5% 6/15/29 <br>| 1150000  | 1262274  |
|  5% 6/15/30 <br>| 4685000  | 5183906  |
|  5% 6/15/31 <br>| 305000  | 339324  |
|  5% 6/15/32 <br>| 1665000  | 1860701  |
|  5% 6/15/33 <br>| 955000  | 1061056  |
|  5% 6/15/35 <br>| 1345000  | 1454776  |
|  5% 6/15/36 <br>| 2155000  | 2311058  |
|  5% 6/15/37 <br>| 1995000  | 2115667  |
|  5% 6/15/38 <br>| 250000  | 263962  |
|  Series 2022 BB:  |  |  |
|  4% 6/15/42 <br>| 300000  | 279120  |
|  4% 6/15/46 <br>| 5220000  | 4753410  |
|  4% 6/15/50 <br>| 4255000  | 3832243  |
|  Series 2022 CC, 5.5% 6/15/50  | 3680000  | 3948125  |
|  Series A:  |  |  |
|  0% 12/15/31 <br>| 110000  | 74512  |
|  4% 12/15/39 <br>| 120000  | 114227  |
|  4.25% 12/15/38 <br>| 300000  | 297916  |
|  5% 12/15/24 <br>| 1805000  | 1875424  |
|  5% 12/15/25 <br>| 855000  | 903378  |
|  5% 12/15/26 <br>| 750000  | 802655  |
|  5% 12/15/27 <br>| 3640000  | 3947320  |
|  Series AA:  |  |  |
|  4% 6/15/36 <br>| 670000  | 656556  |
|  4% 6/15/37 <br>| 1120000  | 1088352  |
|  4% 6/15/38 <br>| 755000  | 728655  |
|  4% 6/15/39 <br>| 65000  | 61777  |
|  4% 6/15/40 <br>| 340000  | 320812  |
|  4% 6/15/45 <br>| 10215000  | 9331354  |
|  4% 6/15/50 <br>| 4975000  | 4480707  |
|  5% 6/15/35 <br>| 225000  | 240910  |
|  5% 6/15/36 <br>| 375000  | 398545  |
|  5% 6/15/37 <br>| 470000  | 494671  |
|  5% 6/15/38 <br>| 1075000  | 1127121  |
|  5% 6/15/39 <br>| 1025000  | 1069585  |
|  5% 6/15/40 <br>| 225000  | 233739  |
|  5% 6/15/44 <br>| 1300000  | 1302767  |
|  5% 6/15/50 <br>| 865000  | 881332  |
|  Series BB:  |  |  |
|  4% 6/15/44 <br>| 1805000  | 1654525  |
|  5% 6/15/33 <br>| 3035000  | 3261463  |
|  Newark Gen. Oblig.:  |  |  |
|  Series 2020 A:  |  |  |
|  5% 10/1/24 <br>| 160000  | 165937  |
|  5% 10/1/26 <br>| 195000  | 209233  |
|  5% 10/1/28 <br>| 120000  | 132505  |
|  Series 2020 B:  |  |  |
|  5% 10/1/23 <br>| 210000  | 213670  |
|  5% 10/1/25 <br>| 105000  | 110832  |
|  Newark Port Auth. Hsg. Auth. Rev. Series 2007, 5.25% 1/1/26 (Nat'l. Pub. Fin. Guarantee Corp. Insured)  | 65000  | 68107  |
|  Rutgers State Univ. Rev.:  |  |  |
|  Series 2016 M, 5% 5/1/33  | 965000  | 1018290  |
|  Series Q, 5% 5/1/23  | 15000  | 15152  |
|  South Jersey Port Corp. Rev.:  |  |  |
|  (New Jersey Gen. Oblig. Proj.) Series 2017 B:  |  |  |
|  5% 1/1/42 (d) <br>| 175000  | 175310  |
|  5% 1/1/48 (d) <br>| 2075000  | 2035366  |
|  Series 2017 A, 5% 1/1/49  | 410000  | 416219  |
|  South Jersey Trans. Auth. Trans. Sys. Rev.:  |  |  |
|  Series 2019 A:  |  |  |
|  5% 11/1/31 (Assured Guaranty Muni. Corp. Insured) <br>| 275000  | 298683  |
|  5% 11/1/32 (Assured Guaranty Muni. Corp. Insured) <br>| 540000  | 585151  |
|  5% 11/1/33 (Assured Guaranty Muni. Corp. Insured) <br>| 150000  | 161710  |
|  Series 2020 A:  |  |  |
|  4% 11/1/50 <br>| 600000  | 547695  |
|  5% 11/1/45 <br>| 250000  | 257403  |
|  Series 2022 A:  |  |  |
|  4.625% 11/1/47 <br>| 500000  | 494635  |
|  5% 11/1/37 <br>| 500000  | 541738  |
|  5% 11/1/41 <br>| 1355000  | 1405075  |
|  5.25% 11/1/52 <br>| 740000  | 794037  |
|  The Board of Ed. of Newark Series 2021:  |  |  |
|  4% 7/15/34 (Build America Mutual Assurance Insured)  | 80000  | 81954  |
|  4% 7/15/36 (Build America Mutual Assurance Insured)  | 78000  | 78376  |
|  The Poll. Cont. Fin. Auth. of Gloucester County Poll. Cont. Rev. (Logan Proj.) Series 2014 A, 5% 12/1/24 (d)  | 355000  | 360597  |
|  Union County Impt. Auth. Solid Waste Disp. Rev. (Aries Linden, LLC Proj.) Series 2019, 6.75% 12/1/41 (d)(f)  | 460000  | 383644  |
|  TOTAL NEW JERSEY  |  | 378346265  |
| New Mexico - 0.1%  |  |  |
|  Albuquerque Wtr. Util. Auth.:  |  |  |
|  Series 2017, 5% 7/1/33  | 490000  | 528404  |
|  Series 2018, 5% 7/1/28  | 65000  | 69973  |
|  Farmington Poll. Cont. Rev. Bonds (Pub. Svc. Co. of New Mexico San Juan Proj.) Series 2010 C, 1.15%, tender 6/1/24 (b)  | 590000  | 568216  |
|  Los Ranchos de Albuquerque Edl. Facilities Rev. (Albuquerque Academy Proj.) Series 2020, 4% 9/1/40  | 110000  | 106983  |
|  New Mexico Edl. Assistance Foundation:  |  |  |
|  Series 2021 1A:  |  |  |
|  5% 9/1/23 (d) <br>| 1280000  | 1296786  |
|  5% 9/1/24 (d) <br>| 705000  | 725173  |
|  5% 9/1/26 (d) <br>| 2280000  | 2410808  |
|  5% 9/1/27 (d) <br>| 1075000  | 1148796  |
|  5% 9/1/29 (d) <br>| 425000  | 464375  |
|  Series 2021 B, 2.106% 9/1/51  | 1240000  | 1178636  |
|  New Mexico Hosp. Equip. Ln. Council Rev.:  |  |  |
|  Bonds Series 2019 B, 5%, tender 8/1/25 (b)  | 95000  | 99416  |
|  Series 2017 A, 4% 8/1/37  | 500000  | 499831  |
|  New Mexico Mtg. Fin. Auth.:  |  |  |
|  Series 2018 A1, 4% 1/1/49  | 215000  | 215132  |
|  Series 2018 C, 4% 1/1/49  | 445000  | 445303  |
|  Series 2019 C, 4% 1/1/50  | 55000  | 55028  |
|  Series 2019 D, 3.75% 1/1/50  | 350000  | 347794  |
|  New Mexico Muni. Energy Acquisition Auth. Gas Supply Rev.:  |  |  |
|  Bonds Series 2019 A, 5%, tender 5/1/25 (b)  | 320000  | 328005  |
|  Series 2019 A:  |  |  |
|  4% 5/1/23 <br>| 40000  | 40120  |
|  4% 11/1/23 <br>| 15000  | 15073  |
|  4% 5/1/24 <br>| 45000  | 45261  |
|  Santa Fe Retirement Fac. Series 2019 A:  |  |  |
|  5% 5/15/34  | 120000  | 111474  |
|  5% 5/15/39  | 90000  | 80150  |
|  5% 5/15/44  | 95000  | 80971  |
|  5% 5/15/49  | 215000  | 177793  |
|  TOTAL NEW MEXICO  |  | 11039501  |
| New York - 6.4%  |  |  |
|  Brookhaven Loc Dev. Corp. (Active Retirement Cmnty., Inc. D/B/A Jeffersons Ferry Proj.) Series 2016, 5.25% 11/1/36  | 210000  | 214453  |
|  Brooklyn Arena Local Dev. Corp. Series 2016 A, 5% 7/15/42  | 1415000  | 1291035  |
|  Broome County Local Dev. Corp. Rev. (United Health Svcs. Hospitals, Inc. Proj.) Series 2020:  |  |  |
|  3% 4/1/36 (Assured Guaranty Muni. Corp. Insured)  | 380000  | 319510  |
|  3% 4/1/37 (Assured Guaranty Muni. Corp. Insured)  | 320000  | 264394  |
|  4% 4/1/34 (Assured Guaranty Muni. Corp. Insured)  | 210000  | 211299  |
|  4% 4/1/38 (Assured Guaranty Muni. Corp. Insured)  | 265000  | 259325  |
|  4% 4/1/39 (Assured Guaranty Muni. Corp. Insured)  | 285000  | 277560  |
|  5% 4/1/31 (Assured Guaranty Muni. Corp. Insured)  | 195000  | 215002  |
|  5% 4/1/32 (Assured Guaranty Muni. Corp. Insured)  | 210000  | 230218  |
|  5% 4/1/33 (Assured Guaranty Muni. Corp. Insured)  | 220000  | 239854  |
|  Build NYC Resource Corp. Rev.:  |  |  |
|  (Albert Einstein School of Medicine, Inc. Proj.) Series 2015, 5.5% 9/1/45 (f)  | 1475000  | 1481981  |
|  (Friends of Hellenic Classical Charter Schools, Inc. Proj.):  |  |  |
|  Series 2021 A: <br>|  |  |
|  5% 12/1/51 (f) <br>| 130000  | 107764  |
|  5% 12/1/55 (f) <br>| 100000  | 81093  |
|  Series 2021 A1, 5% 12/1/41 (f) <br>| 115000  | 100650  |
|  (Grand Concourse Academy Charter School Proj.):  |  |  |
|  Series 2022 A, 5% 7/1/52 <br>| 80000  | 79562  |
|  Series 2022 B, 5% 7/1/62 <br>| 595000  | 571671  |
|  (Richmond Preparatory Charter School Proj.) Series 2021 A, 5% 6/1/51 (f)  | 350000  | 310302  |
|  (Shefa School Proj.) Series 2021 A, 5% 6/15/51 (f)  | 1910000  | 1735033  |
|  Build NYC Resource Corp. Solid Waste Disp. Rev. (Pratt Paper NY, Inc. Proj.) Series 2014, 5% 1/1/35 (d)(f)  | 2200000  | 2224147  |
|  City of Long Beach Series 2022 B, 4.625% 7/15/52  | 2230000  | 2203175  |
|  Dorm. Auth. New York Univ. Rev.:  |  |  |
|  (Fordham Univ. Proj.) Series 2017:  |  |  |
|  4% 7/1/33 <br>| 150000  | 153492  |
|  4% 7/1/34 <br>| 150000  | 152771  |
|  (Memorial Sloan-Kettring Cancer Ctr.) Series 2017 1, 5% 7/1/42  | 85000  | 88851  |
|  Series 2011 A, 5% 10/1/25  | 15000  | 15025  |
|  Series 2016 A:  |  |  |
|  5% 7/1/25 <br>| 5000  | 5201  |
|  5% 7/1/32 <br>| 140000  | 145333  |
|  5% 7/1/37 <br>| 765000  | 782157  |
|  Series 2017 A, 5% 7/1/46 (Pre-Refunded to 7/1/27 @ 100)  | 80000  | 87665  |
|  Series 2017:  |  |  |
|  5% 12/1/23 (f) <br>| 100000  | 101225  |
|  5% 12/1/24 (f) <br>| 100000  | 101731  |
|  5% 12/1/25 (f) <br>| 100000  | 102193  |
|  5% 12/1/27 (f) <br>| 2200000  | 2248657  |
|  5% 12/1/30 (f) <br>| 200000  | 203937  |
|  5% 12/1/31 (f) <br>| 200000  | 203901  |
|  5% 12/1/34 (f) <br>| 300000  | 301385  |
|  5% 12/1/36 (f) <br>| 200000  | 200878  |
|  5% 12/1/37 (f) <br>| 105000  | 105240  |
|  Dutchess County Local Dev. Corp. Rev. (Bard College Proj.) Series 2020 A, 5% 7/1/51 (f)  | 300000  | 270925  |
|  Erie County Tobacco Asset Securitization Corp.:  |  |  |
|  Series 2005 B, 0% 6/1/47  | 2000000  | 405942  |
|  Series 2006 A, 0% 6/1/60 (f)  | 10070000  | 549148  |
|  Glen Cove Local Econ. Assistance Corp. Rev. (Garvies Point Pub. Impt. Proj.):  |  |  |
|  Series 2016 A, 5% 1/1/56  | 1125000  | 955469  |
|  Series 2016 B, 0% 1/1/45  | 6975000  | 1680740  |
|  Series 2016 C, 0% 1/1/55 (e)  | 1645000  | 1360923  |
|  Hudson Yards Infrastructure Corp. New York Rev.:  |  |  |
|  Series 2017 A:  |  |  |
|  5% 2/15/33 <br>| 200000  | 214860  |
|  5% 2/15/35 <br>| 1445000  | 1540614  |
|  5% 2/15/39 <br>| 650000  | 682771  |
|  5% 2/15/42 <br>| 785000  | 820322  |
|  Series 2022 A, 4% 2/15/37  | 300000  | 303152  |
|  Huntington Local Dev. Corp. Rev. (Gurwin Independent Hsg., Inc. / Fountaingate Gardens Proj.) Series 2021 B, 4% 7/1/27  | 250000  | 237316  |
|  Jefferson County Civic Facility Dev. Corp. Rev. (Samaritan Med. Ctr. Proj.) Series 2017 A, 4% 11/1/32  | 100000  | 92947  |
|  Liberty Dev. Corp. Rev. Series 2005, 5.25% 10/1/35  | 6085000  | 6678662  |
|  Long Island Pwr. Auth. Elec. Sys. Rev.:  |  |  |
|  Bonds:  |  |  |
|  Series 2019 B, 1.65%, tender 9/1/24 (b) <br>| 165000  | 159329  |
|  Series 2021 B, 1.5%, tender 9/1/26 (b) <br>| 1510000  | 1371614  |
|  Series 2014 A:  |  |  |
|  5% 9/1/34 <br>| 390000  | 401629  |
|  5% 9/1/39 <br>| 1000000  | 1026042  |
|  Series 2015 B, 5% 9/1/45  | 900000  | 937246  |
|  Series 2017:  |  |  |
|  5% 9/1/33 <br>| 30000  | 32445  |
|  5% 9/1/35 <br>| 110000  | 117906  |
|  5% 9/1/36 <br>| 65000  | 69412  |
|  5% 9/1/47 <br>| 195000  | 202930  |
|  Series 2018, 5% 9/1/36  | 15000  | 16099  |
|  Series 2019 A, 4% 9/1/38  | 1000000  | 996756  |
|  MTA Hudson Rail Yards Trust Oblig. Series 2016 A, 5% 11/15/56  | 4340000  | 4337110  |
|  Nassau County Gen. Oblig. Series 2018 B, 5% 7/1/42 (Assured Guaranty Muni. Corp. Insured)  | 120000  | 126195  |
|  Nassau County Indl. Dev. Agcy.:  |  |  |
|  Series 2021 A, 9% 1/1/41 (f)  | 1580000  | 1315333  |
|  Series 2021 B, 5% 1/1/58 (i)  | 3260000  | 1601389  |
|  New York City Edl. Construction Fund Series 2021 B, 5% 4/1/46  | 2235000  | 2372710  |
|  New York City Gen. Oblig.:  |  |  |
|  Series 2014 J, 5% 8/1/30  | 1275000  | 1318880  |
|  Series 2017 A, 4% 8/1/32  | 1000000  | 1035847  |
|  Series 2017 B:  |  |  |
|  5% 12/1/37 <br>| 545000  | 577043  |
|  5% 12/1/41 <br>| 1350000  | 1413942  |
|  Series 2018 B1:  |  |  |
|  5% 10/1/38 <br>| 750000  | 798524  |
|  5.25% 10/1/33 <br>| 1000000  | 1097927  |
|  Series 2018 E1, 5% 3/1/44  | 605000  | 634222  |
|  Series 2018 F, 5% 4/1/45  | 1000000  | 1048033  |
|  Series 2019 A1:  |  |  |
|  3% 8/1/36 <br>| 1350000  | 1219655  |
|  4% 8/1/40 <br>| 1445000  | 1431705  |
|  Series 2019 D1, 5% 12/1/42  | 1475000  | 1561082  |
|  Series 2020 A, 4% 8/1/44  | 1000000  | 967677  |
|  Series 2020 A1, 5% 8/1/27  | 1575000  | 1729123  |
|  Series 2020 C, 5% 8/1/42  | 500000  | 540607  |
|  Series 2020 D1, 4% 3/1/50  | 2000000  | 1887262  |
|  Series 2021 A1:  |  |  |
|  3% 8/1/50 <br>| 500000  | 382035  |
|  4% 8/1/38 <br>| 1150000  | 1150663  |
|  5% 8/1/32 <br>| 1000000  | 1150582  |
|  Series 2021 F1:  |  |  |
|  4% 3/1/40 <br>| 595000  | 590112  |
|  5% 3/1/37 <br>| 960000  | 1056363  |
|  5% 3/1/39 <br>| 960000  | 1045642  |
|  5% 3/1/42 <br>| 725000  | 781310  |
|  5% 3/1/43 <br>| 750000  | 806408  |
|  Series 2022 A1, 5% 8/1/47  | 2455000  | 2624179  |
|  Series 2022 D, 4.5% 5/1/49  | 500000  | 509869  |
|  Series 2022 D1:  |  |  |
|  4.25% 5/1/40 <br>| 750000  | 760736  |
|  5.5% 5/1/44 <br>| 925000  | 1039102  |
|  5.5% 5/1/46 <br>| 625000  | 696987  |
|  Series 2023 A, 5% 9/1/37  | 500000  | 557844  |
|  Series A:  |  |  |
|  5% 8/1/26 <br>| 705000  | 761850  |
|  5% 8/1/39 <br>| 1130000  | 1217906  |
|  Series B, 5% 10/1/42  | 2885000  | 3086175  |
|  New York City Hsg. Dev. Corp. Multi-family Mtg. Rev.:  |  |  |
|  Series 2014 E, 3.5% 2/15/48  | 1247985  | 1213953  |
|  Series 2014 F, 4.5% 2/15/48  | 6161389  | 6068814  |
|  New York City Hsg. Dev. Corp. Multifamily Hsg. Bonds:  |  |  |
|  Series 2021 C2, 0.7%, tender 7/1/25 (b)  | 935000  | 867150  |
|  Series 2021 K2, 0.9%, tender 1/1/26 (b)  | 6315000  | 5786257  |
|  Series 2021, 0.6%, tender 7/1/25 (b)  | 1315000  | 1212392  |
|  New York City Indl. Dev. Agcy. Series 2012 A, 5% 7/1/28 (d)  | 530000  | 530215  |
|  New York City Indl. Dev. Agcy. Rev.:  |  |  |
|  (Yankee Stadium Proj.) Series 2020 A:  |  |  |
|  3% 3/1/49 (Assured Guaranty Muni. Corp. Insured) <br>| 500000  | 370064  |
|  4% 3/1/45 <br>| 615000  | 554659  |
|  4% 3/1/45 (Assured Guaranty Muni. Corp. Insured) <br>| 1455000  | 1355512  |
|  Series 2020 A, 3% 3/1/49  | 250000  | 185032  |
|  New York City Muni. Wtr. Fin. Auth. Wtr. & Swr. Sys. Rev.:  |  |  |
|  Series 2013 2, 5% 6/15/47  | 255000  | 257087  |
|  Series 2017 CC1, 5% 6/15/46  | 1495000  | 1547309  |
|  Series 2018 AA, 5% 6/15/37  | 1000000  | 1068774  |
|  Series 2018 CC, 5% 6/15/48  | 3095000  | 3248896  |
|  Series 2018 DD1, 5% 6/15/48  | 500000  | 527118  |
|  Series 2018 EE, 5% 6/15/40  | 1000000  | 1067257  |
|  Series 2018 FF, 5% 6/15/38  | 1000000  | 1071229  |
|  Series 2020, 4% 6/15/43  | 650000  | 641660  |
|  Series 2021 AA1:  |  |  |
|  3% 6/15/50 <br>| 4325000  | 3304180  |
|  4% 6/15/50 <br>| 5540000  | 5260571  |
|  Series 2021 BB1, 3% 6/15/44  | 1615000  | 1308169  |
|  Series 2021 CC1, 5% 6/15/51  | 2000000  | 2137502  |
|  Series 2021 DD, 4% 6/15/36  | 1285000  | 1311502  |
|  Series 2022 AA1, 5.25% 6/15/52  | 11150000  | 12277634  |
|  Series 2022 CC1, 5% 6/15/52  | 1060000  | 1135097  |
|  Series 2022 CC2, 5% 6/15/26  | 395000  | 412562  |
|  Series 2022 EE, 5% 6/15/45  | 10100000  | 10952751  |
|  Series BB, 5% 6/15/49  | 1585000  | 1685304  |
|  Series FF2, 4% 6/15/41  | 725000  | 723805  |
|  Series GG 1, 5% 6/15/48  | 13665000  | 14540836  |
|  New York City Transitional Fin. Auth. Bldg. Aid Rev.:  |  |  |
|  (New York State Gen. Oblig. Proj.) Series 2015 S-1, 5% 7/15/35  | 450000  | 464013  |
|  Series 2015 S1:  |  |  |
|  5% 7/15/33 <br>| 750000  | 775997  |
|  5% 7/15/36 <br>| 1050000  | 1080313  |
|  Series 2015 S2, 5% 7/15/35  | 215000  | 222975  |
|  Series 2016 S1, 5% 7/15/43  | 925000  | 959608  |
|  Series 2018 S2, 5% 7/15/35  | 70000  | 75495  |
|  Series 2018 S3, 5% 7/15/43  | 1690000  | 1781804  |
|  Series 2019 S1, 5% 7/15/45  | 1000000  | 1051914  |
|  Series 2019 S3, 5% 7/15/37  | 305000  | 325215  |
|  Series 2020 S1:  |  |  |
|  3% 7/15/49 <br>| 2500000  | 1931640  |
|  4% 7/15/40 <br>| 1045000  | 1030620  |
|  Series 2022 S1, 4% 7/15/35  | 500000  | 510983  |
|  Series 2022 S1A, 4% 7/15/36  | 500000  | 506906  |
|  New York City Transitional Fin. Auth. Rev.:  |  |  |
|  Series 2014 A1, 5% 11/1/42  | 1220000  | 1232651  |
|  Series 2016 A, 5% 5/1/40  | 110000  | 114557  |
|  Series 2017 A, 5% 8/1/34  | 900000  | 970119  |
|  Series 2017 A1, 5% 5/1/33  | 1025000  | 1088758  |
|  Series 2017 B, 5% 8/1/40  | 110000  | 114838  |
|  Series 2017 B1, 4% 8/1/41  | 1390000  | 1357280  |
|  Series 2017 F, 5% 5/1/32  | 500000  | 543800  |
|  Series 2018 A2, 5% 8/1/39  | 1530000  | 1622320  |
|  Series 2018 B, 5% 8/1/45  | 8285000  | 8702366  |
|  Series 2018 C3, 4% 5/1/44  | 1495000  | 1438692  |
|  Series 2019 A, 5% 8/1/40  | 1200000  | 1281511  |
|  Series 2019 B1:  |  |  |
|  5% 8/1/34 <br>| 110000  | 121208  |
|  5% 8/1/36 <br>| 2050000  | 2226145  |
|  5% 8/1/38 <br>| 1475000  | 1585335  |
|  Series 2019 C, 4% 11/1/42  | 625000  | 607468  |
|  Series 2019 C1, 4% 11/1/40  | 1150000  | 1132571  |
|  Series 2020 A3, 4% 5/1/44  | 815000  | 784304  |
|  Series 2020 B1:  |  |  |
|  4% 11/1/39 <br>| 1000000  | 993593  |
|  4% 11/1/41 <br>| 2200000  | 2147791  |
|  Series 2020 C1:  |  |  |
|  4% 5/1/36 <br>| 425000  | 430490  |
|  4% 5/1/37 <br>| 485000  | 487189  |
|  4% 5/1/38 <br>| 595000  | 594961  |
|  4% 5/1/39 <br>| 745000  | 740326  |
|  4% 5/1/45 <br>| 845000  | 809959  |
|  Series 2021 A:  |  |  |
|  4% 11/1/34 <br>| 210000  | 216387  |
|  4% 11/1/38 <br>| 700000  | 699954  |
|  Series 2021 C:  |  |  |
|  4% 5/1/40 <br>| 500000  | 492567  |
|  4% 5/1/41 <br>| 1600000  | 1562698  |
|  4% 5/1/45 <br>| 3635000  | 3484261  |
|  Series 2021 C1, 4% 5/1/39  | 1475000  | 1465745  |
|  Series 2021 D1, 4% 11/1/44  | 1885000  | 1812995  |
|  Series 2021 E1:  |  |  |
|  4% 2/1/46 <br>| 2250000  | 2145809  |
|  5% 2/1/37 <br>| 930000  | 1028090  |
|  Series 2021 F1:  |  |  |
|  4% 11/1/36 <br>| 145000  | 146696  |
|  4% 11/1/37 <br>| 440000  | 442093  |
|  5% 11/1/23 <br>| 5000000  | 5112106  |
|  Series 2021, 4% 11/1/38  | 790000  | 789948  |
|  Series 2022 A, 5.25% 8/1/40  | 500000  | 558574  |
|  Series 2022 A1:  |  |  |
|  4% 11/1/37 <br>| 1000000  | 1004994  |
|  5% 11/1/28 <br>| 540000  | 608179  |
|  Series 2022 C1:  |  |  |
|  4% 2/1/38 <br>| 690000  | 689945  |
|  4% 2/1/40 <br>| 500000  | 492633  |
|  4% 2/1/41 <br>| 1635000  | 1597202  |
|  Series 2022 F1, 5% 2/1/47  | 1000000  | 1072208  |
|  Series A, 4% 11/1/35  | 210000  | 213117  |
|  Series C1, 4% 5/1/40  | 800000  | 788107  |
|  Series E, 5% 2/1/43  | 395000  | 414584  |
|  New York City Trust Cultural Resources Rev. Series 2021, 5% 7/1/31  | 2630000  | 3080078  |
|  New York Convention Ctr. Dev. Corp. Rev.:  |  |  |
|  Series 2015:  |  |  |
|  5% 11/15/28 <br>| 400000  | 418085  |
|  5% 11/15/29 <br>| 280000  | 291832  |
|  Series 2016 B, 0% 11/15/55  | 410000  | 76863  |
|  New York Dorm. Auth. Personal Income Tax Rev.:  |  |  |
|  Series 2012 A, 5% 12/15/25 (Pre-Refunded to 12/15/22 @ 100)  | 1065000  | 1066016  |
|  Series 2015 E, 5% 3/15/34  | 6525000  | 6857062  |
|  New York Dorm. Auth. Rev.:  |  |  |
|  Bonds:  |  |  |
|  Series 2019 B2, 5%, tender 5/1/24 (b) <br>| 55000  | 55988  |
|  Series 2019 B3, 5%, tender 5/1/26 (b) <br>| 40000  | 41940  |
|  Series 2019 D, 5% 7/1/35  | 125000  | 149199  |
|  Series 2020 A:  |  |  |
|  4% 7/1/50 <br>| 4630000  | 4259713  |
|  4% 7/1/53 <br>| 250000  | 226687  |
|  5% 10/1/29 (Assured Guaranty Muni. Corp. Insured) <br>| 725000  | 811908  |
|  5% 10/1/30 (Assured Guaranty Muni. Corp. Insured) <br>| 1400000  | 1566999  |
|  5% 10/1/30 (Pre-Refunded to 10/1/28 @ 100) <br>| 5000  | 5595  |
|  5% 7/1/32 <br>| 110000  | 123826  |
|  5% 10/1/32 (Assured Guaranty Muni. Corp. Insured) <br>| 965000  | 1075784  |
|  5% 10/1/33 (Assured Guaranty Muni. Corp. Insured) <br>| 300000  | 333336  |
|  5% 10/1/34 (Assured Guaranty Muni. Corp. Insured) <br>| 420000  | 461867  |
|  5% 7/1/36 <br>| 235000  | 256160  |
|  5% 7/1/40 <br>| 270000  | 290323  |
|  Series 2021 A:  |  |  |
|  4% 7/1/29 <br>| 90000  | 92377  |
|  4% 7/1/30 <br>| 180000  | 184648  |
|  4% 7/1/31 <br>| 210000  | 215565  |
|  4% 7/1/32 <br>| 230000  | 235392  |
|  5% 7/1/27 <br>| 35000  | 37527  |
|  5% 7/1/28 <br>| 35000  | 37951  |
|  Series 2022 1B, 4% 7/1/51  | 3000000  | 2862394  |
|  Series 2022 A:  |  |  |
|  4% 5/1/45 <br>| 1185000  | 1111477  |
|  5% 7/1/33 <br>| 40000  | 43369  |
|  5% 7/1/34 <br>| 80000  | 86452  |
|  5% 7/1/36 <br>| 50000  | 53216  |
|  5% 10/1/36 <br>| 2830000  | 3120214  |
|  5% 7/15/37 <br>| 340000  | 350654  |
|  5% 7/1/38 <br>| 105000  | 110800  |
|  5% 7/1/40 <br>| 65000  | 67401  |
|  5% 7/1/41 <br>| 65000  | 67338  |
|  5% 7/1/42 <br>| 70000  | 72536  |
|  5% 7/15/42 <br>| 960000  | 979854  |
|  5% 7/15/50 <br>| 2485000  | 2502850  |
|  5% 5/1/52 <br>| 2000000  | 2084477  |
|  Series 2022:  |  |  |
|  4% 7/1/36 <br>| 1065000  | 1074581  |
|  4% 7/1/38 <br>| 345000  | 342501  |
|  4% 7/1/40 <br>| 565000  | 550862  |
|  5% 7/1/30 <br>| 105000  | 111471  |
|  5% 7/1/31 <br>| 110000  | 116303  |
|  5% 7/1/34 <br>| 705000  | 796221  |
|  5% 7/1/35 <br>| 705000  | 790736  |
|  5% 7/1/37 <br>| 1165000  | 1295110  |
|  5% 7/1/38 <br>| 55000  | 56003  |
|  5% 7/1/39 <br>| 85000  | 86143  |
|  5% 7/1/39 <br>| 355000  | 391606  |
|  5% 7/1/40 <br>| 190000  | 191572  |
|  5% 7/1/41 <br>| 200000  | 200708  |
|  5% 7/1/41 <br>| 630000  | 688630  |
|  5% 7/1/42 <br>| 105000  | 105160  |
|  5% 7/1/57 <br>| 5705000  | 5438637  |
|  New York Dorm. Auth. Sales Tax Rev.:  |  |  |
|  Series 2016 A:  |  |  |
|  5% 3/15/32 <br>| 110000  | 118477  |
|  5% 3/15/35 <br>| 1785000  | 1909967  |
|  Series 2017 A, 5% 3/15/39  | 460000  | 486046  |
|  Series 2018 A:  |  |  |
|  5% 3/15/40 <br>| 2450000  | 2601489  |
|  5% 3/15/42 <br>| 395000  | 417694  |
|  5% 3/15/43 <br>| 2410000  | 2544482  |
|  Series 2018 C:  |  |  |
|  5% 3/15/38 <br>| 465000  | 496281  |
|  5% 3/15/40 <br>| 1650000  | 1752023  |
|  5% 3/15/41 <br>| 1650000  | 1746956  |
|  Series 2018 E:  |  |  |
|  5% 3/15/40 <br>| 750000  | 800317  |
|  5% 3/15/44 <br>| 495000  | 523986  |
|  New York Envir. Facilities Corp. Clean Wtr. & Drinking Wtr. Series 2019 B, 3% 6/15/38  | 615000  | 537454  |
|  New York Liberty Dev. Corp.:  |  |  |
|  (3 World Trade Ctr. Proj.) Series 2014:  |  |  |
|  5% 11/15/44 (f) <br>| 9320000  | 8775192  |
|  5.15% 11/15/34 (f) <br>| 1840000  | 1823765  |
|  5.375% 11/15/40 (f) <br>| 6365000  | 6367721  |
|  (7 World Trade Ctr. Proj.) Series 2022 A, 3.25% 9/15/52  | 500000  | 377304  |
|  (Bank of America Tower at One Bryant Park Proj.) Series 2019 1, 2.45% 9/15/69  | 1300000  | 1191774  |
|  (Bank of America Tower At One Bryant Park Proj.) Series 2019 3, 2.8% 9/15/69  | 840000  | 757919  |
|  (World Trade Ctr. Proj.) Series 2014, 7.25% 11/15/44 (f)  | 2000000  | 2020087  |
|  Series 2021 1WTC, 3% 2/15/42  | 1765000  | 1374635  |
|  Series 2021 A, 3% 11/15/51  | 250000  | 183924  |
|  Series 2021:  |  |  |
|  2.75% 2/15/44 <br>| 250000  | 181907  |
|  4% 2/15/43 <br>| 500000  | 478563  |
|  4% 2/15/43 <br>| 1000000  | 956737  |
|  4% 2/15/43 <br>| 1325000  | 1232640  |
|  New York Metropolitan Trans. Auth. Dedicated Tax Fund Rev.:  |  |  |
|  Series 2012 A, 0% 11/15/32  | 355000  | 240447  |
|  Series 2016 A, 5.25% 11/15/31  | 1475000  | 1596276  |
|  Series 2016 B1, 5% 11/15/36  | 1300000  | 1360620  |
|  Series 2017 A, 5% 11/15/47  | 1805000  | 1866755  |
|  Series 2022 A, 5% 11/15/46  | 1880000  | 2003862  |
|  New York Metropolitan Trans. Auth. Rev.:  |  |  |
|  Bonds:  |  |  |
|  Series 2002 D2: <br>|  |  |
|  0.550% x U.S. Secured Overnight Fin. Rate (SOFR) Index 3.096%, tender 4/1/24 (Assured Guaranty Muni. Corp. Insured) (b)(c) <br>| 495000  | 486311  |
|  0.550% x U.S. Secured Overnight Fin. Rate (SOFR) Index 3.103%, tender 4/1/24 (Assured Guaranty Muni. Corp. Insured) (b)(c) <br>| 4220000  | 4145925  |
|  Series 2015 A2, 5%, tender 5/15/30 (b) <br>| 2195000  | 2320771  |
|  Series 2006 B, 5.25% 11/15/26 (Assured Guaranty Muni. Corp. Insured)  | 1180000  | 1278850  |
|  Series 2012 D, 5% 11/15/25  | 530000  | 530546  |
|  Series 2013 C:  |  |  |
|  5% 11/15/38 <br>| 800000  | 800897  |
|  5% 11/15/42 <br>| 975000  | 962641  |
|  Series 2014 B:  |  |  |
|  5% 11/15/44 <br>| 1215000  | 1193708  |
|  5.25% 11/15/35 <br>| 500000  | 504470  |
|  Series 2015 A1:  |  |  |
|  5% 11/15/29 <br>| 375000  | 381740  |
|  5% 11/15/40 <br>| 500000  | 498520  |
|  5% 11/15/45 <br>| 905000  | 887521  |
|  Series 2015 B, 5% 11/15/40  | 250000  | 248383  |
|  Series 2015 D1, 5% 11/15/26  | 500000  | 514848  |
|  Series 2015 F, 5% 11/15/24  | 330000  | 339456  |
|  Series 2016 A1:  |  |  |
|  5% 11/15/24 <br>| 350000  | 360029  |
|  5% 11/15/41 <br>| 500000  | 494290  |
|  Series 2016 A2, 5% 11/15/27  | 250000  | 260369  |
|  Series 2016 C 2A, 4% 11/15/38  | 360000  | 324538  |
|  Series 2016 C1, 5% 11/15/56  | 110000  | 106620  |
|  Series 2016 D, 5% 11/15/27  | 250000  | 260351  |
|  Series 2017 A, 4% 11/15/37  | 785000  | 715620  |
|  Series 2017 A1, 5% 11/15/51  | 480000  | 469239  |
|  Series 2017 C-2:  |  |  |
|  0% 11/15/29 <br>| 125000  | 95034  |
|  0% 11/15/33 <br>| 315000  | 196571  |
|  Series 2017 C1:  |  |  |
|  5% 11/15/30 <br>| 2380000  | 2460486  |
|  5% 11/15/34 <br>| 95000  | 97078  |
|  Series 2017 D:  |  |  |
|  5% 11/15/30 <br>| 5980000  | 6182230  |
|  5% 11/15/33 <br>| 345000  | 353958  |
|  5% 11/15/35 <br>| 130000  | 132449  |
|  Series 2019 C:  |  |  |
|  5% 11/15/42 <br>| 250000  | 246831  |
|  5% 11/15/44 <br>| 1600000  | 1686317  |
|  Series 2020 A:  |  |  |
|  5% 2/1/23 <br>| 850000  | 852391  |
|  5% 11/15/47 <br>| 850000  | 831710  |
|  Series 2020 A1:  |  |  |
|  4% 11/15/46 <br>| 500000  | 422399  |
|  4% 11/15/50 (Assured Guaranty Muni. Corp. Insured) <br>| 450000  | 402813  |
|  4% 11/15/54 (Assured Guaranty Muni. Corp. Insured) <br>| 250000  | 220422  |
|  5% 11/15/49 <br>| 2750000  | 2692231  |
|  Series 2020 C1:  |  |  |
|  4.75% 11/15/45 <br>| 480000  | 466642  |
|  5% 11/15/50 <br>| 3000000  | 2934929  |
|  5.25% 11/15/55 <br>| 1280000  | 1291238  |
|  Series 2020 D:  |  |  |
|  4% 11/15/46 <br>| 11005000  | 9297000  |
|  4% 11/15/47 <br>| 380000  | 319277  |
|  4% 11/15/50 <br>| 2600000  | 2150465  |
|  5% 11/15/43 <br>| 360000  | 354655  |
|  5% 11/15/44 <br>| 2050000  | 2014075  |
|  Series 2020 E:  |  |  |
|  4% 11/15/45 <br>| 2350000  | 1995807  |
|  5% 11/15/29 <br>| 725000  | 755952  |
|  5% 11/15/33 <br>| 540000  | 559410  |
|  Series 2021 A1, 4% 11/15/45  | 250000  | 212320  |
|  Series D1, 5% 11/1/25  | 130000  | 130135  |
|  New York Pwr. Auth. Series 2022 A, 4% 11/15/47 (Assured Guaranty Muni. Corp. Insured)  | 420000  | 404656  |
|  New York State Dorm. Auth.:  |  |  |
|  Series 2012 A:  |  |  |
|  4% 3/15/37 <br>| 1000000  | 1010320  |
|  5% 12/15/22 <br>| 4195000  | 4198941  |
|  Series 2017 A:  |  |  |
|  5% 2/15/31 <br>| 65000  | 70547  |
|  5% 2/15/38 <br>| 835000  | 880163  |
|  Series 2017, 5% 2/15/41  | 2265000  | 2374693  |
|  Series 2019 A:  |  |  |
|  5% 3/15/36 <br>| 1000000  | 1093832  |
|  5% 3/15/45 <br>| 2450000  | 2608712  |
|  Series 2019 D:  |  |  |
|  3% 2/15/49 <br>| 3295000  | 2538948  |
|  4% 2/15/37 <br>| 1010000  | 1019236  |
|  4% 2/15/39 <br>| 1615000  | 1616681  |
|  4% 2/15/40 <br>| 4085000  | 4044570  |
|  Series 2019 E, 5% 2/15/35  | 405000  | 449629  |
|  Series 2020 A:  |  |  |
|  3% 3/15/39 <br>| 1500000  | 1289276  |
|  3% 3/15/49 <br>| 250000  | 192563  |
|  4% 3/15/36 <br>| 435000  | 441023  |
|  4% 3/15/43 <br>| 895000  | 870332  |
|  Series 2021 A, 4% 3/15/41  | 260000  | 255266  |
|  Series 2021 E:  |  |  |
|  3% 3/15/41 <br>| 950000  | 790875  |
|  3% 3/15/50 <br>| 3275000  | 2504613  |
|  4% 3/15/38 <br>| 2000000  | 2016865  |
|  4% 3/15/42 <br>| 4925000  | 4815046  |
|  4% 3/15/45 <br>| 5640000  | 5422468  |
|  4% 3/15/47 <br>| 260000  | 247237  |
|  Series 2022 A:  |  |  |
|  4% 3/15/34 <br>| 795000  | 826457  |
|  4% 3/15/35 <br>| 2150000  | 2204386  |
|  4% 3/15/39 <br>| 1745000  | 1747271  |
|  4% 3/15/49 <br>| 550000  | 519142  |
|  5% 3/15/41 <br>| 1000000  | 1090437  |
|  5% 3/15/46 <br>| 3180000  | 3417316  |
|  New York State Gen. Oblig. Series 2021 A, 3% 3/15/34  | 380000  | 358076  |
|  New York State Hsg. Fin. Agcy. Rev.:  |  |  |
|  Bonds Series 2021 J2:  |  |  |
|  1%, tender 11/1/26 (b) <br>| 915000  | 821656  |
|  1.1%, tender 5/1/27 (b) <br>| 3395000  | 3017100  |
|  Series 2020 L2, 0.75% 11/1/25  | 1705000  | 1572540  |
|  Series 2020 M2, 0.75% 11/1/25  | 740000  | 682510  |
|  Series J, 0.75% 5/1/25  | 995000  | 931770  |
|  New York State Mtg. Agcy. Homeowner Mtg. Series 221, 3.5% 10/1/32 (d)  | 130000  | 127180  |
|  New York State Urban Dev. Corp.:  |  |  |
|  Series 2020 A:  |  |  |
|  4% 3/15/39 <br>| 1280000  | 1268972  |
|  4% 3/15/45 <br>| 80000  | 76030  |
|  4% 3/15/49 <br>| 505000  | 470677  |
|  Series 2020 C:  |  |  |
|  3% 3/15/40 <br>| 1500000  | 1260604  |
|  4% 3/15/42 <br>| 2135000  | 2065322  |
|  4% 3/15/49 <br>| 2175000  | 2027174  |
|  5% 3/15/43 <br>| 320000  | 343581  |
|  5% 3/15/47 <br>| 2115000  | 2253974  |
|  Series 2020 E:  |  |  |
|  4% 3/15/37 <br>| 2930000  | 2936723  |
|  4% 3/15/39 <br>| 1215000  | 1204532  |
|  4% 3/15/43 <br>| 250000  | 240465  |
|  4% 3/15/44 <br>| 8095000  | 7736460  |
|  4% 3/15/45 <br>| 6525000  | 6201209  |
|  4% 3/15/46 <br>| 500000  | 472555  |
|  Series 2022 A, 5% 3/15/43  | 10000000  | 10859308  |
|  New York State Urban Eev Corp.:  |  |  |
|  Series 2019 A:  |  |  |
|  4% 3/15/42 <br>| 900000  | 881076  |
|  5% 3/15/36 <br>| 895000  | 981525  |
|  5% 3/15/37 <br>| 3405000  | 3716840  |
|  Series 2021 A:  |  |  |
|  3% 3/15/41 <br>| 1000000  | 833841  |
|  3% 3/15/42 <br>| 1000000  | 825524  |
|  4% 3/15/37 <br>| 500000  | 504309  |
|  5% 3/15/25 <br>| 1900000  | 1999821  |
|  New York Thruway Auth. Gen. Rev.:  |  |  |
|  Series 2016 A, 5% 1/1/46  | 3260000  | 3339632  |
|  Series 2019 B:  |  |  |
|  4% 1/1/38 <br>| 3400000  | 3362302  |
|  4% 1/1/39 <br>| 1625000  | 1603102  |
|  4% 1/1/41 <br>| 1000000  | 963124  |
|  4% 1/1/45 <br>| 4085000  | 3843720  |
|  4% 1/1/45 <br>| 1050000  | 994757  |
|  Series 2020 N:  |  |  |
|  5% 1/1/34 <br>| 1075000  | 1187091  |
|  5% 1/1/35 <br>| 750000  | 820957  |
|  5% 1/1/36 <br>| 1600000  | 1741860  |
|  New York Thruway Auth. Personal Income Tax Rev.:  |  |  |
|  Series 2021 A1:  |  |  |
|  3% 3/15/48 <br>| 400000  | 309214  |
|  3% 3/15/51 <br>| 1500000  | 1134668  |
|  4% 3/15/53 <br>| 2000000  | 1833707  |
|  Series 2022 A, 5% 3/15/34  | 2250000  | 2590580  |
|  Series 2022 C, 4.125% 3/15/57  | 2310000  | 2157131  |
|  New York Trans. Dev. Corp.:  |  |  |
|  (American Airlines, Inc. John F. Kennedy Int'l. Arpt. Proj.):  |  |  |
|  Series 2016: <br>|  |  |
|  5% 8/1/26 (d) <br>| 1705000  | 1705088  |
|  5% 8/1/31 (d) <br>| 2635000  | 2634987  |
|  Series 2020: <br>|  |  |
|  5.25% 8/1/31 (d) <br>| 885000  | 904465  |
|  5.375% 8/1/36 (d) <br>| 1210000  | 1223153  |
|  (Delta Air Lines, Inc. - Laguardia Arpt. Terminals C&D Redev. Proj.) Series 2020:  |  |  |
|  4.375% 10/1/45 (d) <br>| 3885000  | 3536691  |
|  5% 10/1/40 (d) <br>| 1025000  | 1021337  |
|  (Delta Air Lines, Inc. Laguardia Arpt. Terminals C&D Redev. Proj.) Series 2018, 4% 1/1/36 (d)  | 280000  | 260484  |
|  (Delta Air Lines, Inc. LaGuardia Arpt. Terminals C&D Redev. Proj.) Series 2018, 5% 1/1/30 (d)  | 435000  | 442317  |
|  (Delta Air Lines, Inc. Laguardia Arpt. Terminals C&D Redev. Proj.) Series 2018:  |  |  |
|  5% 1/1/31 (d) <br>| 1735000  | 1762554  |
|  5% 1/1/32 (d) <br>| 4005000  | 4060085  |
|  5% 1/1/33 (d) <br>| 260000  | 263010  |
|  5% 1/1/34 (d) <br>| 885000  | 891817  |
|  5% 1/1/36 (d) <br>| 710000  | 712619  |
|  (Delta Airlines, Inc. LaGuardia Arpt. Terminals C&D Redev. Proj.) Series 2020, 5% 10/1/35 (d)  | 2810000  | 2831539  |
|  (Laguardia Arpt. Term. B Redev. Proj.) Series 2016 A:  |  |  |
|  5% 7/1/34 (d) <br>| 520000  | 526845  |
|  5% 7/1/46 (d) <br>| 12225000  | 12127569  |
|  (Laguardia Arpt. Term. Redev. Proj.) Series 2016 A, 5% 7/1/41 (d)  | 1275000  | 1277583  |
|  (New York State Thruway Svc. Areas Proj.) Series 2021:  |  |  |
|  4% 10/31/46 (d) <br>| 3885000  | 3332829  |
|  4% 4/30/53 (d) <br>| 825000  | 668575  |
|  (Term. 4 JFK Int'l. Arpt. Proj.):  |  |  |
|  Series 2020 A: <br>|  |  |
|  4% 12/1/38 (d) <br>| 40000  | 35956  |
|  5% 12/1/35 (d) <br>| 65000  | 65998  |
|  Series 2020 C: <br>|  |  |
|  4% 12/1/40 <br>| 480000  | 434055  |
|  5% 12/1/29 <br>| 120000  | 127174  |
|  5% 12/1/30 <br>| 100000  | 106355  |
|  5% 12/1/31 <br>| 110000  | 116647  |
|  5% 12/1/32 <br>| 375000  | 396639  |
|  5% 12/1/34 <br>| 295000  | 308354  |
|  5% 12/1/35 <br>| 480000  | 499344  |
|  5% 12/1/37 <br>| 290000  | 299793  |
|  (Term. 4 John F. Kennedy Int'l. Arpt. Proj.):  |  |  |
|  Series 2020 A: <br>|  |  |
|  4% 12/1/39 (d) <br>| 105000  | 93598  |
|  5% 12/1/30 (d) <br>| 75000  | 78307  |
|  5% 12/1/34 (d) <br>| 135000  | 137905  |
|  5% 12/1/36 (d) <br>| 5000  | 5059  |
|  5% 12/1/37 (d) <br>| 105000  | 105669  |
|  Series 2022: <br>|  |  |
|  5% 12/1/32 (d) <br>| 995000  | 1035930  |
|  5% 12/1/33 (d) <br>| 1545000  | 1599725  |
|  5% 12/1/34 (d) <br>| 1685000  | 1728419  |
|  5% 12/1/35 (d) <br>| 845000  | 860525  |
|  5% 12/1/36 (d) <br>| 575000  | 583131  |
|  5% 12/1/37 (d) <br>| 1535000  | 1541874  |
|  5% 12/1/38 (d) <br>| 3720000  | 3746101  |
|  5% 12/1/39 (d) <br>| 3600000  | 3613358  |
|  5% 12/1/40 (d) <br>| 2885000  | 2871368  |
|  5% 12/1/41 (d) <br>| 3915000  | 3866504  |
|  5% 12/1/42 (d) <br>| 1820000  | 1790798  |
|  Series 2016 A:  |  |  |
|  4% 7/1/31 (d) <br>| 1050000  | 1050811  |
|  4% 7/1/35 (Assured Guaranty Muni. Corp. Insured) (d) <br>| 2350000  | 2260590  |
|  Series 2021:  |  |  |
|  2.25% 8/1/26 (d) <br>| 350000  | 326964  |
|  3% 8/1/31 (d) <br>| 565000  | 504327  |
|  Series 2022:  |  |  |
|  5% 12/1/27 (d) <br>| 500000  | 533123  |
|  5% 12/1/28 (d) <br>| 500000  | 533612  |
|  5% 12/1/30 (d) <br>| 1000000  | 1044099  |
|  New York Urban Dev. Corp. Rev.:  |  |  |
|  (New York State Gen. Oblig. Proj.) Series 2017 A, 5% 3/15/34  | 970000  | 1036688  |
|  Gen. Oblig. (New York State Gen. Oblig. Proj.) Series 2017 A, 5% 3/15/32  | 830000  | 894281  |
|  Series 2016 A, 5% 3/15/30  | 1300000  | 1381051  |
|  Series 2017 C:  |  |  |
|  4% 3/15/43 <br>| 3440000  | 3308792  |
|  4% 3/15/45 <br>| 3155000  | 2998439  |
|  Series 2019 A:  |  |  |
|  5% 3/15/37 <br>| 365000  | 393976  |
|  5% 3/15/43 <br>| 1075000  | 1140069  |
|  Niagara Area Dev. Corp. Rev. (Catholic Health Sys., Inc. Proj.) Series 2022:  |  |  |
|  4.5% 7/1/52  | 2180000  | 1434698  |
|  5% 7/1/52  | 325000  | 233383  |
|  Oneida County Local Dev. Corp. Rev. (Mohawk Valley Health Sys. Proj.) Series 2019 A:  |  |  |
|  3% 12/1/44 (Assured Guaranty Muni. Corp. Insured)  | 250000  | 190069  |
|  4% 12/1/32 (Assured Guaranty Muni. Corp. Insured)  | 55000  | 55857  |
|  5% 12/1/25 (Assured Guaranty Muni. Corp. Insured)  | 35000  | 35678  |
|  5% 12/1/26 (Assured Guaranty Muni. Corp. Insured)  | 105000  | 107002  |
|  5% 12/1/30 (Assured Guaranty Muni. Corp. Insured)  | 85000  | 94011  |
|  Onondaga Civic Dev. Corp. (Le Moyne College Proj.) Series 2018, 5% 1/1/43  | 120000  | 121807  |
|  Onondaga County Trust for Cultural Resources Rev. Series 2019:  |  |  |
|  4% 12/1/41  | 800000  | 785718  |
|  4% 12/1/49  | 2250000  | 2114910  |
|  5% 12/1/43  | 2550000  | 2770260  |
|  Orange County N Y Fdg Corp. Assistance (The Hamlet at Wallkill Assisted Living Proj.) Series 2012, 6.5% 1/1/46  | 665000  | 534197  |
|  Port Auth. of New York & New Jersey:  |  |  |
|  Series 2020 221:  |  |  |
|  4% 7/15/50 (d) <br>| 4045000  | 3636106  |
|  4% 7/15/55 (d) <br>| 3870000  | 3385876  |
|  Series 2020 222, 4% 7/15/39  | 900000  | 903936  |
|  Series 2021 226:  |  |  |
|  5% 10/15/38 (d) <br>| 635000  | 664582  |
|  5% 10/15/39 (d) <br>| 470000  | 489362  |
|  5% 10/15/40 (d) <br>| 725000  | 751219  |
|  5% 10/15/41 (d) <br>| 420000  | 433255  |
|  Series 2022 231, 5.5% 8/1/39 (d)  | 1110000  | 1232671  |
|  Series 2022 234, 5.25% 8/1/47 (d)  | 1600000  | 1702360  |
|  Rockland County Gen. Oblig. Series 2014 A, 4% 3/1/23 (Assured Guaranty Muni. Corp. Insured)  | 140000  | 140543  |
|  Schenectady County Cap. Resources Corp. Rev.:  |  |  |
|  (Union College Proj.) Series 2017, 5% 1/1/40  | 1895000  | 1967786  |
|  Series 2022, 5.25% 7/1/52  | 145000  | 155654  |
|  Suffolk County Econ. Dev. Corp. Rev. Series 2021:  |  |  |
|  4.625% 11/1/31 (f)  | 150000  | 128719  |
|  5.125% 11/1/41 (f)  | 290000  | 236059  |
|  5.375% 11/1/54 (f)  | 870000  | 688621  |
|  Suffolk County Gen. Oblig. Series 2019 A, 4% 4/1/32  | 500000  | 516586  |
|  Suffolk County Wtr. Auth. Wtrwks. Rev. Series 2012 A, 3.75% 6/1/36  | 2000000  | 2000744  |
|  Suffolk Tobacco Asset Securitization Corp.:  |  |  |
|  Series 2021 B1, 4% 6/1/50  | 185000  | 185135  |
|  Series 2021 B2, 0% 6/1/66  | 1810000  | 189180  |
|  Syracuse Indl. Dev. Auth. Pilot Rev. (Carousel Ctr. Proj.) Series 2016 A:  |  |  |
|  5% 1/1/28 (d)  | 355000  | 307118  |
|  5% 1/1/29 (d)  | 520000  | 436770  |
|  5% 1/1/30 (d)  | 395000  | 322057  |
|  5% 1/1/31 (d)  | 490000  | 388676  |
|  5% 1/1/32 (d)  | 910000  | 704020  |
|  5% 1/1/33 (d)  | 805000  | 606406  |
|  5% 1/1/34 (d)  | 720000  | 530626  |
|  5% 1/1/35 (d)  | 960000  | 695507  |
|  5% 1/1/36 (d)  | 310000  | 219946  |
|  Tobacco Settlement Asset Securitization Corp. Series 2017 A:  |  |  |
|  5% 6/1/34  | 1000000  | 1026295  |
|  5% 6/1/35  | 350000  | 358296  |
|  5% 6/1/41  | 575000  | 581640  |
|  Tompkins County Dev. Corp. Continuing Care Retirement Cmnty. Rev.:  |  |  |
|  (Kendal at Itchaca, Inc. Proj.) Series 2014 A, 5% 7/1/29  | 125000  | 126110  |
|  (Kendal at Ithaca, Inc. Proj.) Series 2014 A, 5% 7/1/34  | 235000  | 236017  |
|  (Kendal at Ithaca, Inc. Proj.) Series 2014 A, 5% 7/1/44  | 255000  | 251676  |
|  Triborough Brdg & Tunl Auth. Series 2022 A, 5.25% 5/15/52  | 2500000  | 2744653  |
|  Triborough Bridge & Tunnel Auth.:  |  |  |
|  Series 2021 A1, 5% 5/15/51  | 7500000  | 7967203  |
|  Series 2021 B, 4% 5/15/56  | 115000  | 107067  |
|  Series 2021 C 1A, 5% 5/15/51  | 4745000  | 5058744  |
|  Series 2021 C3:  |  |  |
|  3% 5/15/51 <br>| 1000000  | 754053  |
|  4% 5/15/51 <br>| 2330000  | 2205050  |
|  Series 2022 A, 5% 5/15/57  | 575000  | 612166  |
|  Series 2022 D2:  |  |  |
|  5.25% 5/15/47 <br>| 2850000  | 3157784  |
|  5.5% 5/15/52 <br>| 2500000  | 2841541  |
|  Triborough Bridge & Tunnel Auth. Revs.:  |  |  |
|  Series 2012 B, 5% 11/15/25  | 590000  | 591208  |
|  Series 2015 A, 5.25% 11/15/45  | 605000  | 624920  |
|  Series 2017 B:  |  |  |
|  5% 11/15/35 <br>| 900000  | 961562  |
|  5% 11/15/37 <br>| 500000  | 530611  |
|  Series 2017 C2, 5% 11/15/42  | 2480000  | 2606388  |
|  Series 2018 A:  |  |  |
|  5% 11/15/44 <br>| 255000  | 267633  |
|  5% 11/15/46 <br>| 2200000  | 2308106  |
|  Series 2019 A:  |  |  |
|  5% 11/15/42 <br>| 930000  | 992261  |
|  5% 11/15/49 <br>| 1100000  | 1161971  |
|  Series 2019 C, 4% 11/15/41  | 3500000  | 3452954  |
|  Series 2020 A:  |  |  |
|  4% 11/15/54 <br>| 1510000  | 1383747  |
|  5% 11/15/49 <br>| 3710000  | 3937063  |
|  Troy Cap. Resource Corp. Rev. (Rensselaer Polytechnic Institute Proj.) Series 2020 A:  |  |  |
|  5% 9/1/36  | 240000  | 254088  |
|  5% 9/1/39  | 800000  | 837993  |
|  Westchester County Local Dev. Co.:  |  |  |
|  (Kendal On Hudson Proj.) Series 2022 B, 5% 1/1/51  | 500000  | 472964  |
|  Series 2014 A, 5.5% 5/1/42  | 3480000  | 3494858  |
|  Yonkers Gen. Oblig.:  |  |  |
|  Series 2022 C:  |  |  |
|  5% 3/15/34 (Assured Guaranty Muni. Corp. Insured) <br>| 320000  | 360008  |
|  5% 3/15/35 (Assured Guaranty Muni. Corp. Insured) <br>| 335000  | 373252  |
|  Series 2022 D, 4% 3/15/42  | 510000  | 497090  |
|  Series D 2022, 5% 3/15/35  | 260000  | 291656  |
|  TOTAL NEW YORK  |  | 689929954  |
| New York And New Jersey - 0.3%  |  |  |
|  Port Auth. of New York & New Jersey:  |  |  |
|  (H. Lee Moffitt Cancer Ctr. Proj.) Series 2016, 5% 11/15/41  | 320000  | 334769  |
|  Series 194, 5.25% 10/15/55  | 860000  | 891183  |
|  Series 198, 5% 11/15/46  | 1205000  | 1260616  |
|  Series 2013 178, 5% 12/1/28 (d)  | 750000  | 761394  |
|  Series 2015 193, 5% 10/15/30 (d)  | 1325000  | 1368865  |
|  Series 2015 194:  |  |  |
|  5% 10/15/34 <br>| 2410000  | 2531981  |
|  5% 10/15/41 <br>| 7625000  | 7890028  |
|  Series 2019 218, 4% 11/1/41 (d)  | 2200000  | 2070164  |
|  Series 2021 223:  |  |  |
|  4% 7/15/40 (d) <br>| 175000  | 166471  |
|  4% 7/15/46 (d) <br>| 7110000  | 6516823  |
|  Series 2021 226:  |  |  |
|  5% 10/15/33 (d) <br>| 145000  | 156337  |
|  5% 10/15/36 (d) <br>| 230000  | 243089  |
|  Series 2022 231, 5.5% 8/1/47 (d)  | 3980000  | 4318668  |
|  Series 214:  |  |  |
|  4% 9/1/37 (d) <br>| 470000  | 458070  |
|  4% 9/1/39 (d) <br>| 195000  | 188001  |
|  4% 9/1/43 (d) <br>| 890000  | 829697  |
|  Series 218, 5% 11/1/44 (d)  | 500000  | 511415  |
|  Series 221, 4% 7/15/45 (d)  | 305000  | 281331  |
|  Series 223:  |  |  |
|  4% 7/15/35 (d) <br>| 220000  | 219785  |
|  4% 7/15/36 (d) <br>| 135000  | 133319  |
|  4% 7/15/38 (d) <br>| 595000  | 577440  |
|  4% 7/15/39 (d) <br>| 1130000  | 1089671  |
|  TOTAL NEW YORK AND NEW JERSEY  |  | 32799117  |
| Non-State Specific - 0.0%  |  |  |
|  Frete 2021-Ml12 Trust Series 2021, 1.3004% 7/25/41 (b)  | 3414458  | 326124  |
| North Carolina - 0.7%  |  |  |
|  Charlotte Ctfs. of Prtn. (Convention Facility Projs.) Series 2019 A:  |  |  |
|  4% 6/1/39  | 55000  | 55778  |
|  4% 6/1/49  | 110000  | 108051  |
|  5% 6/1/46  | 980000  | 1050761  |
|  Charlotte Int'l. Arpt. Rev.:  |  |  |
|  Series 2017 A:  |  |  |
|  5% 7/1/30 <br>| 185000  | 201653  |
|  5% 7/1/33 <br>| 185000  | 199687  |
|  5% 7/1/35 <br>| 110000  | 117324  |
|  5% 7/1/37 <br>| 425000  | 450042  |
|  5% 7/1/42 <br>| 160000  | 167591  |
|  Series 2017 B:  |  |  |
|  5% 7/1/23 (d) <br>| 20000  | 20235  |
|  5% 7/1/25 (d) <br>| 10000  | 10436  |
|  5% 7/1/26 (d) <br>| 10000  | 10552  |
|  5% 7/1/27 (d) <br>| 25000  | 26619  |
|  5% 7/1/28 (d) <br>| 20000  | 21232  |
|  5% 7/1/29 (d) <br>| 30000  | 31815  |
|  5% 7/1/30 (d) <br>| 30000  | 31801  |
|  5% 7/1/31 (d) <br>| 60000  | 63523  |
|  5% 7/1/32 (d) <br>| 60000  | 63338  |
|  5% 7/1/33 (d) <br>| 65000  | 68289  |
|  5% 7/1/34 (d) <br>| 65000  | 67891  |
|  5% 7/1/35 (d) <br>| 45000  | 46833  |
|  5% 7/1/36 (d) <br>| 40000  | 41526  |
|  5% 7/1/37 (d) <br>| 45000  | 46498  |
|  5% 7/1/42 (d) <br>| 145000  | 148211  |
|  Series 2017 C:  |  |  |
|  4% 7/1/32 <br>| 175000  | 178086  |
|  4% 7/1/36 <br>| 85000  | 85430  |
|  4% 7/1/37 <br>| 85000  | 85200  |
|  Series 2019 A:  |  |  |
|  4% 7/1/44 <br>| 400000  | 384317  |
|  5% 7/1/49 <br>| 1805000  | 1904155  |
|  Series 2019 B:  |  |  |
|  4% 7/1/44 (d) <br>| 550000  | 512990  |
|  5% 7/1/49 (d) <br>| 565000  | 576387  |
|  Durham Hsg. Auth. MultiFamily Hsg. Rev. Bonds Series 2020, 0.3%, tender 6/1/23 (b)  | 405000  | 399400  |
|  Greater Asheville Reg'l. Arpt. Auth. Series 2022 A, 5.5% 7/1/47 (Assured Guaranty Muni. Corp. Insured) (d)  | 4170000  | 4455228  |
|  Mecklenburg County Gen. Oblig.:  |  |  |
|  Series 2016 A, 5% 9/1/25  | 975000  | 1037495  |
|  Series 2017 A, 5% 4/1/25  | 305000  | 321745  |
|  New Hanover County Hosp. Rev. Series 2017:  |  |  |
|  5% 10/1/27 (Escrowed to Maturity)  | 65000  | 71817  |
|  5% 10/1/42 (Pre-Refunded to 10/1/27 @ 100)  | 30000  | 33146  |
|  5% 10/1/47 (Pre-Refunded to 10/1/27 @ 100)  | 400000  | 441951  |
|  North Carolina Cap. Facilities Fin. Agcy. Edl. Facilities Rev. Series 2021:  |  |  |
|  4% 5/1/32  | 210000  | 214177  |
|  5% 5/1/29  | 110000  | 120635  |
|  5% 5/1/30  | 115000  | 127000  |
|  5% 5/1/31  | 210000  | 233428  |
|  North Carolina Dept. of Trans. Private Activity Rev. (I-77 Hot Lanes Proj.) Series 2015, 5% 6/30/54 (d)  | 250000  | 250256  |
|  North Carolina Hsg. Fin. Agcy. Home Ownership Rev.:  |  |  |
|  Series 2020 44, 4% 7/1/50  | 305000  | 305147  |
|  Series 2021 46A, 3% 7/1/51  | 2945000  | 2847737  |
|  Series 2022 49:  |  |  |
|  5% 7/1/47 <br>| 325000  | 332751  |
|  6% 7/1/53 <br>| 1000000  | 1086409  |
|  North Carolina Ltd. Oblig. Series 2019 A, 5% 5/1/32  | 725000  | 814766  |
|  North Carolina Med. Care Commission Health Care Facilities Rev.:  |  |  |
|  Bonds:  |  |  |
|  Series 2019 B, 2.2%, tender 12/1/22 (b) <br>| 1270000  | 1270000  |
|  Series 2019 C, 2.55%, tender 6/1/26 (b) <br>| 2190000  | 2136257  |
|  Series 2015:  |  |  |
|  5% 10/1/25 <br>| 410000  | 413872  |
|  5% 10/1/30 <br>| 320000  | 318749  |
|  5% 10/1/35 <br>| 870000  | 852200  |
|  5% 6/1/40 <br>| 3730000  | 3771808  |
|  5% 6/1/45 <br>| 3885000  | 3933176  |
|  Series 2019 A:  |  |  |
|  4% 11/1/52 <br>| 665000  | 604557  |
|  5% 12/1/29 <br>| 80000  | 86075  |
|  5% 12/1/30 <br>| 80000  | 86031  |
|  5% 12/1/32 <br>| 60000  | 64245  |
|  5% 12/1/33 <br>| 45000  | 48009  |
|  Series 2020 A:  |  |  |
|  3% 7/1/45 <br>| 1130000  | 856499  |
|  5% 10/1/40 <br>| 195000  | 193623  |
|  5% 10/1/45 <br>| 185000  | 179834  |
|  5% 10/1/50 <br>| 115000  | 110161  |
|  Series 2021 A:  |  |  |
|  4% 3/1/29 <br>| 55000  | 51458  |
|  4% 3/1/36 <br>| 335000  | 280307  |
|  4% 3/1/41 <br>| 95000  | 74808  |
|  4% 3/1/51 <br>| 1585000  | 1117820  |
|  Series 2021 C:  |  |  |
|  4% 3/1/36 <br>| 445000  | 372348  |
|  4% 3/1/42 <br>| 730000  | 564603  |
|  North Carolina Med. Care Commission Retirement Facilities Rev.:  |  |  |
|  (Salemtowne Proj.) Series 2015:  |  |  |
|  5.25% 10/1/35 <br>| 295000  | 288783  |
|  5.25% 10/1/37 <br>| 130000  | 125573  |
|  5.375% 10/1/45 <br>| 1655000  | 1564462  |
|  (The Forest at Duke Proj.) Series 2021, 4% 9/1/51  | 1450000  | 1162415  |
|  (The Pines at Davidson Proj.) Series 2019 A, 5% 1/1/49  | 250000  | 246761  |
|  Series 2013, 6.25% 7/1/35 (Pre-Refunded to 7/1/23 @ 100)  | 635000  | 648092  |
|  Series 2015 A, 5% 9/1/37 (Pre-Refunded to 9/1/24 @ 100)  | 315000  | 327665  |
|  Series 2015:  |  |  |
|  4.7% 7/1/37 <br>| 385000  | 346497  |
|  4.875% 7/1/40 <br>| 755000  | 674029  |
|  5% 7/1/45 <br>| 625000  | 547518  |
|  Series 2016:  |  |  |
|  5% 10/1/31 <br>| 245000  | 238338  |
|  5% 10/1/37 <br>| 220000  | 206803  |
|  Series 2017 A:  |  |  |
|  5% 7/1/47 <br>| 165000  | 142783  |
|  5% 10/1/47 (Pre-Refunded to 10/1/23 @ 103) <br>| 250000  | 262164  |
|  Series 2017 C:  |  |  |
|  5% 9/1/41 (Pre-Refunded to 9/1/23 @ 103) <br>| 310000  | 324668  |
|  5% 9/1/46 (Pre-Refunded to 9/1/23 @ 103) <br>| 285000  | 298485  |
|  Series 2019 A:  |  |  |
|  5% 7/1/39 <br>| 420000  | 403062  |
|  5% 7/1/44 <br>| 615000  | 574926  |
|  5% 7/1/49 <br>| 295000  | 269900  |
|  Series 2021 A:  |  |  |
|  4% 9/1/41 <br>| 150000  | 119669  |
|  4% 9/1/47 <br>| 135000  | 101114  |
|  4% 9/1/51 <br>| 135000  | 98361  |
|  4% 1/1/52 <br>| 370000  | 280308  |
|  Series 2021, 4% 9/1/46  | 150000  | 123998  |
|  North Carolina Muni. Pwr. Agcy. #1 Catawba Elec. Rev.:  |  |  |
|  Series 2015 A, 5% 1/1/28  | 2255000  | 2391267  |
|  Series 2015 C, 5% 1/1/29  | 445000  | 471538  |
|  North Carolina Tpk. Auth. Monroe Expressway Toll Rev. Series 2016 A:  |  |  |
|  5% 7/1/42  | 595000  | 604534  |
|  5% 7/1/47  | 1670000  | 1688557  |
|  5% 7/1/51  | 3535000  | 3567177  |
|  5% 7/1/54  | 3055000  | 3080207  |
|  North Carolina Tpk. Auth. Triangle Expressway Sys.:  |  |  |
|  Series 2017:  |  |  |
|  5% 1/1/30 <br>| 205000  | 211842  |
|  5% 1/1/31 (Assured Guaranty Muni. Corp. Insured) <br>| 340000  | 362356  |
|  5% 1/1/32 <br>| 580000  | 598111  |
|  5% 1/1/39 (Assured Guaranty Muni. Corp. Insured) <br>| 170000  | 177231  |
|  Series 2018:  |  |  |
|  5% 1/1/36 (Assured Guaranty Muni. Corp. Insured) <br>| 3195000  | 3427986  |
|  5% 1/1/40 <br>| 2415000  | 2450259  |
|  Series 2019:  |  |  |
|  4% 1/1/55 <br>| 180000  | 149988  |
|  5% 1/1/43 <br>| 850000  | 861450  |
|  5% 1/1/44 <br>| 315000  | 318733  |
|  5% 1/1/49 <br>| 2575000  | 2591618  |
|  5% 1/1/49 (Assured Guaranty Muni. Corp. Insured) <br>| 630000  | 647727  |
|  Northern Hosp. District Surry County Series 2017:  |  |  |
|  5% 10/1/27  | 320000  | 334620  |
|  5% 10/1/31  | 265000  | 272318  |
|  5% 10/1/33  | 290000  | 295418  |
|  Raleigh Durham Arpt. Auth. Arpt. Rev. Series 2020 A:  |  |  |
|  5% 5/1/27 (d)  | 295000  | 313474  |
|  5% 5/1/28 (d)  | 400000  | 428761  |
|  5% 5/1/29 (d)  | 315000  | 340913  |
|  5% 5/1/30 (d)  | 265000  | 289564  |
|  5% 5/1/31 (d)  | 285000  | 310366  |
|  5% 5/1/32 (d)  | 210000  | 227949  |
|  5% 5/1/33 (d)  | 210000  | 226508  |
|  5% 5/1/34 (d)  | 635000  | 679129  |
|  5% 5/1/35 (d)  | 295000  | 313666  |
|  Univ. of North Carolina at Chapel Hill Rev. Series 2021 B:  |  |  |
|  5% 12/1/36  | 530000  | 606297  |
|  5% 12/1/38  | 620000  | 703004  |
|  Univ. of North Carolina Hosp. at Chapel Hill Rev. Series 2016, 5% 2/1/46  | 60000  | 61656  |
|  TOTAL NORTH CAROLINA  |  | 75636377  |
| North Dakota - 0.2%  |  |  |
|  Cass County Health Care Facilities Rev. Series 2018 B, 5.25% 2/15/53  | 250000  | 255505  |
|  Grand Forks Health Care Sys. Rev. Series 2021:  |  |  |
|  3% 12/1/46  | 500000  | 369951  |
|  4% 12/1/35  | 1270000  | 1207020  |
|  4% 12/1/36  | 805000  | 758028  |
|  4% 12/1/37  | 970000  | 903485  |
|  4% 12/1/38  | 885000  | 814466  |
|  5% 12/1/33  | 1325000  | 1411412  |
|  5% 12/1/34  | 1590000  | 1686400  |
|  North Dakota Hsg. Fin. Agcy.:  |  |  |
|  Series 2021 A, 3% 1/1/52  | 2670000  | 2580855  |
|  Series 2021 B, 3% 7/1/52  | 2115000  | 2018084  |
|  Univ. of North Dakota Series 2021 A, 3% 6/1/61 (Assured Guaranty Muni. Corp. Insured)  | 2395000  | 1597832  |
|  Univ. of North Dakota Hsg. and Auxiliary Facilities Rev. Series 2019 A:  |  |  |
|  4% 4/1/39 (Assured Guaranty Muni. Corp. Insured)  | 495000  | 481463  |
|  4% 4/1/44 (Assured Guaranty Muni. Corp. Insured)  | 750000  | 689178  |
|  Ward County Health Care Facility Rev. Series 2017 C:  |  |  |
|  5% 6/1/34  | 830000  | 795426  |
|  5% 6/1/38  | 770000  | 715243  |
|  5% 6/1/48  | 740000  | 652315  |
|  5% 6/1/53  | 315000  | 273214  |
|  TOTAL NORTH DAKOTA  |  | 17209877  |
| Ohio - 1.8%  |  |  |
|  Akron Bath Copley Hosp. District Rev.:  |  |  |
|  Series 2016, 5.25% 11/15/46  | 2695000  | 2724794  |
|  Series 2020, 5% 11/15/31  | 25000  | 26840  |
|  Allen County Hosp. Facilities Rev.:  |  |  |
|  (Mercy Health) Series 2017 A:  |  |  |
|  5% 8/1/25 <br>| 365000  | 384355  |
|  5% 8/1/26 <br>| 245000  | 262366  |
|  5% 8/1/27 <br>| 305000  | 331087  |
|  5% 8/1/28 <br>| 345000  | 376338  |
|  5% 8/1/29 <br>| 640000  | 696084  |
|  5% 8/1/30 <br>| 515000  | 558573  |
|  Series 2020 A, 4% 12/1/40  | 2825000  | 2747100  |
|  American Muni. Pwr., Inc. (Solar Electricity Prepayment Proj.) Series 2019 A:  |  |  |
|  5% 2/15/38  | 85000  | 89909  |
|  5% 2/15/39  | 55000  | 57984  |
|  5% 2/15/44  | 175000  | 182274  |
|  American Muni. Pwr., Inc. Rev.:  |  |  |
|  (Greenup Hydroelectric Proj.):  |  |  |
|  Series 2016 A, 5% 2/15/41 <br>| 290000  | 297043  |
|  Series 2016, 5% 2/15/46 <br>| 1675000  | 1706119  |
|  Series 2019 C, 4% 2/15/39  | 1000000  | 969925  |
|  Series 2021 A:  |  |  |
|  4% 2/15/34 <br>| 2475000  | 2533980  |
|  4% 2/15/36 <br>| 480000  | 479277  |
|  4% 2/15/38 <br>| 1675000  | 1637500  |
|  5% 2/15/33 <br>| 1320000  | 1479854  |
|  5% 2/15/35 <br>| 845000  | 939132  |
|  Buckeye Tobacco Settlement Fing. Auth.:  |  |  |
|  Series 2020 A2:  |  |  |
|  3% 6/1/48 <br>| 855000  | 612193  |
|  4% 6/1/37 <br>| 1245000  | 1181575  |
|  4% 6/1/38 <br>| 760000  | 715614  |
|  4% 6/1/39 <br>| 1365000  | 1272563  |
|  4% 6/1/48 <br>| 2615000  | 2274996  |
|  5% 6/1/27 <br>| 125000  | 131427  |
|  5% 6/1/29 <br>| 230000  | 245931  |
|  5% 6/1/32 <br>| 1650000  | 1764248  |
|  5% 6/1/33 <br>| 5475000  | 5829888  |
|  5% 6/1/34 <br>| 70000  | 74126  |
|  5% 6/1/35 <br>| 95000  | 100078  |
|  5% 6/1/36 <br>| 750000  | 786772  |
|  Series 2020 B2, 5% 6/1/55  | 41135000  | 37688985  |
|  Chillicothe Hosp. Facilities Rev. (Adena Health Sys. Oblig. Group Proj.) Series 2017, 5% 12/1/47  | 770000  | 779898  |
|  Cleveland Arpt. Sys. Rev.:  |  |  |
|  Series 2016 A:  |  |  |
|  5% 1/1/25 (Assured Guaranty Muni. Corp. Insured) <br>| 45000  | 46884  |
|  5% 1/1/26 (Assured Guaranty Muni. Corp. Insured) <br>| 30000  | 31185  |
|  5% 1/1/27 (Assured Guaranty Muni. Corp. Insured) <br>| 120000  | 124668  |
|  5% 1/1/31 (Assured Guaranty Muni. Corp. Insured) <br>| 55000  | 57015  |
|  Series 2018 B, 5% 1/1/48  | 1750000  | 1803489  |
|  Cleveland Income Tax Rev. Series 2018 A:  |  |  |
|  5% 10/1/35  | 110000  | 119152  |
|  5% 10/1/37  | 70000  | 75441  |
|  5% 10/1/38  | 85000  | 91403  |
|  Cleveland-Cuyahoga County Port Auth.:  |  |  |
|  (Centers for Dialysis Care Proj.) Series 2017 A, 5% 12/1/42  | 250000  | 250446  |
|  (Flats East Bank Proj.):  |  |  |
|  Series 2021 A, 4% 12/1/55 (f) <br>| 175000  | 136260  |
|  Series 2021 B, 4.5% 12/1/55 (f) <br>| 100000  | 78049  |
|  (Playhouse Square Foundation Proj.) Series 2018:  |  |  |
|  5.5% 12/1/43 <br>| 240000  | 243422  |
|  5.5% 12/1/53 <br>| 1370000  | 1379027  |
|  (The Cleveland Museum of Natural History Proj.) Series 2021:  |  |  |
|  4% 7/1/40 <br>| 85000  | 83287  |
|  4% 7/1/41 <br>| 105000  | 102727  |
|  4% 7/1/46 <br>| 220000  | 198088  |
|  4% 7/1/51 <br>| 295000  | 259800  |
|  Cleveland-Cuyahoga County Port Auth. Rev. (Euclid Avenue Dev. Corp. Proj.):  |  |  |
|  Series 2019, 4% 8/1/44  | 300000  | 276695  |
|  Series 2022 A:  |  |  |
|  5% 8/1/39 <br>| 1145000  | 1201072  |
|  5.25% 8/1/40 <br>| 1205000  | 1282874  |
|  5.25% 8/1/41 <br>| 1270000  | 1350805  |
|  5.25% 8/1/42 <br>| 1340000  | 1420214  |
|  Columbus City School District Series 2016 A:  |  |  |
|  5% 12/1/29  | 255000  | 273929  |
|  5% 12/1/32  | 55000  | 58723  |
|  Columbus Gen. Oblig. Series 2016 2, 5% 7/1/25  | 120000  | 127193  |
|  Cuyahoga County Hosp. Rev. Series 2017:  |  |  |
|  4.75% 2/15/47  | 865000  | 836159  |
|  5% 2/15/37  | 250000  | 255753  |
|  5% 2/15/42  | 840000  | 850754  |
|  5% 2/15/52  | 250000  | 250117  |
|  5% 2/15/57  | 670000  | 645988  |
|  5.25% 2/15/47  | 525000  | 528332  |
|  5.5% 2/15/52  | 4220000  | 4281909  |
|  5.5% 2/15/57  | 6505000  | 6593070  |
|  Cuyahoga Metropolitan Hsg. Auth. (2045 Initiative Proj.) Series 2021, 2% 12/1/31  | 620000  | 539704  |
|  Fairfield County Hosp. Facilities Rev. (Fairfield Med. Ctr. Proj.) Series 2013:  |  |  |
|  4.25% 6/15/24  | 25000  | 25031  |
|  5% 6/15/25  | 5000  | 5023  |
|  5% 6/15/26  | 5000  | 5021  |
|  5% 6/15/27  | 5000  | 5019  |
|  5% 6/15/28  | 5000  | 5017  |
|  5.25% 6/15/43  | 280000  | 273027  |
|  Franklin County Convention Facilities Auth. (Greater Columbus Convention Ctr. Hotel Expansion Proj.) Series 2019:  |  |  |
|  5% 12/1/44  | 2015000  | 1993812  |
|  5% 12/1/51  | 2955000  | 2850066  |
|  Franklin County Convention Facilities Authorities (Greater Columbus Convention Ctr. Hotel Expansion Proj.) Series 2019:  |  |  |
|  5% 12/1/46  | 775000  | 832266  |
|  5% 12/1/51  | 1165000  | 1245060  |
|  Franklin County Hosp. Facilities Rev.:  |  |  |
|  (Ohiohealth Corp. Proj.) Series 2015, 5% 5/15/40  | 810000  | 821161  |
|  Bonds (U.S. Health Corp. of Columbus Proj.) Series 2011 B, 5%, tender 5/15/23 (b)  | 15000  | 15145  |
|  Series 2018 A, 4% 5/15/47  | 880000  | 844366  |
|  Franklin County Rev. (Trinity Health Proj.) Series 2017, 5% 12/1/47  | 1205000  | 1222633  |
|  Greater Cincinnati Elderly Hsg. Dev. Corp. Series 1994 A, 6.6% 8/1/25  | 50000  | 50196  |
|  Hamilton County Healthcare Rev.:  |  |  |
|  (Life Enriching Cmntys. Proj.):  |  |  |
|  Series 2016: <br>|  |  |
|  5% 1/1/36 <br>| 440000  | 424021  |
|  5% 1/1/51 <br>| 65000  | 58079  |
|  Series 2017 A, 5% 1/1/52 <br>| 295000  | 262768  |
|  (Life Enriching Communitites Proj.) Series 2016, 5% 1/1/46  | 1240000  | 1127799  |
|  Hamilton County Hosp. Facilities Rev. (Trihealth, Inc. Obligated Group Proj.) Series 2017 A, 5% 8/15/33  | 55000  | 57756  |
|  Indian Creek Loc Scd Series 2018 A, 5% 11/1/45  | 320000  | 339121  |
|  Lake County Hosp. Facilities Rev. Series 2015, 5% 8/15/27 (Pre-Refunded to 8/15/25 @ 100)  | 5000  | 5289  |
|  Lancaster Port Auth. Gas Rev. Bonds Series 2019, 5%, tender 2/1/25 (b)  | 3665000  | 3753785  |
|  Marion County Health Care Rev. Series 2019:  |  |  |
|  5% 12/1/39  | 230000  | 210280  |
|  5.125% 12/1/49  | 255000  | 223512  |
|  Miami County Hosp. Facilities Rev. (Kettering Health Network Obligated Group Proj.) Series 2019:  |  |  |
|  5% 8/1/23  | 30000  | 30397  |
|  5% 8/1/45  | 230000  | 235568  |
|  5% 8/1/49  | 2100000  | 2138152  |
|  Middleburg Heights Hosp. Rev.:  |  |  |
|  Series 2020 A, 4% 8/1/47  | 370000  | 328392  |
|  Series 2021 A, 4% 8/1/41  | 2005000  | 1859072  |
|  Montgomery County Hosp. Rev.:  |  |  |
|  (Kettering Health Network Obligated Group Proj.) Series 2021:  |  |  |
|  4% 8/1/51 <br>| 800000  | 712314  |
|  5% 8/1/30 <br>| 990000  | 1075975  |
|  Series 2019 A:  |  |  |
|  4% 11/15/38 <br>| 485000  | 450259  |
|  4% 11/15/45 <br>| 225000  | 195602  |
|  5% 11/15/34 <br>| 210000  | 218751  |
|  Muskingum County Hosp. Facilities (Genesis Healthcare Sys. Obligated Group Proj.) Series 2013:  |  |  |
|  4% 2/15/23  | 70000  | 70060  |
|  5% 2/15/27  | 10000  | 10005  |
|  5% 2/15/33  | 540000  | 540118  |
|  5% 2/15/44  | 705000  | 667049  |
|  Northeast Ohio Med. Univ. Series 2021 A:  |  |  |
|  4% 12/1/35  | 25000  | 24050  |
|  4% 12/1/45  | 20000  | 17660  |
|  Ohio Air Quality Dev. Auth. Exempt Facilities Rev.:  |  |  |
|  (AMG Vanadium Proj.) Series 2019, 5% 7/1/49 (d)(f)  | 2420000  | 2229735  |
|  (Pratt Paper (OH), LLC Proj.) Series 2017:  |  |  |
|  4.25% 1/15/38 (d)(f) <br>| 100000  | 92908  |
|  4.5% 1/15/48 (d)(f) <br>| 740000  | 651744  |
|  (Pratt Paper, LLC Proj.) Series 2017, 3.75% 1/15/28 (d)(f)  | 1610000  | 1575428  |
|  Ohio Air Quality Dev. Auth. Rev.:  |  |  |
|  (Ohio Valley Elec. Corp. Proj.) Series 2019 A, 3.25% 9/1/29  | 1800000  | 1653602  |
|  Bonds:  |  |  |
|  (American Elec. Co. Proj.): <br>|  |  |
|  Series 2005 D, 2.1%, tender 10/1/24 (b)(d) <br>| 5965000  | 5743130  |
|  Series 2007 B, 2.5%, tender 10/1/29 (b)(d) <br>| 360000  | 318453  |
|  Series 2014 B, 2.6%, tender 10/1/29 (b)(d) <br>| 985000  | 877063  |
|  (American Elec. Pwr. Co. Proj.): <br>|  |  |
|  Series 2005 C, 2.1%, tender 10/1/24 (b)(d) <br>| 835000  | 803942  |
|  Series 2014 C, 2.1%, tender 10/1/24 (b)(d) <br>| 1790000  | 1723420  |
|  (Duke Energy Corp. Proj.) Series 2022 B, 4%, tender 6/1/27 (b) <br>| 835000  | 836093  |
|  Series 2022 B, 4.25%, tender 6/1/27 (b)(d) <br>| 1975000  | 1964787  |
|  Ohio Gen. Oblig.:  |  |  |
|  Series 2021 A:  |  |  |
|  5% 3/1/29 <br>| 470000  | 530542  |
|  5% 3/1/29 <br>| 630000  | 711153  |
|  5% 3/1/30 <br>| 570000  | 651551  |
|  5% 3/1/30 <br>| 855000  | 977326  |
|  Series 2021 B:  |  |  |
|  5% 2/1/29 <br>| 1140000  | 1285130  |
|  5% 2/1/30 <br>| 950000  | 1084564  |
|  Series 2021 C:  |  |  |
|  5% 3/15/29 <br>| 1425000  | 1609561  |
|  5% 3/15/30 <br>| 1425000  | 1629826  |
|  Ohio Higher Ed. Facilities Commission Healthcare Rev. Series 2018, 5.25% 1/1/48  | 250000  | 200857  |
|  Ohio Higher Edl. Facility Commission Rev.:  |  |  |
|  (Case Western Reserve Univ. Proj.) Series 2016, 5% 12/1/22  | 45000  | 45000  |
|  (Kenyon College 2020 Proj.) Series 2020:  |  |  |
|  4% 7/1/40 <br>| 45000  | 41960  |
|  5% 7/1/35 <br>| 170000  | 183129  |
|  5% 7/1/42 <br>| 290000  | 305704  |
|  (Kenyon College, Oh. Proj.) Series 2017, 5% 7/1/42  | 110000  | 114329  |
|  (The Univ. of Findlay 2019 Proj.) Series 2019, 5% 3/1/44  | 250000  | 246762  |
|  (Tiffin Univ. 2019 Proj.) Series 2019, 4% 11/1/49  | 250000  | 185494  |
|  (Univ. of Dayton 2018 Proj.) Series 2018 B, 5% 12/1/34  | 130000  | 138175  |
|  (Univ. of Dayton Proj.) Series 2018 B, 5% 12/1/36  | 1070000  | 1130440  |
|  Series 2016, 5% 11/1/41  | 640000  | 655434  |
|  Series 2019, 4% 10/1/44  | 100000  | 90145  |
|  Series 2022:  |  |  |
|  5.125% 12/1/42 <br>| 305000  | 309428  |
|  5.375% 12/1/52 <br>| 310000  | 315264  |
|  Ohio Hosp. Facilities Rev.:  |  |  |
|  Series 2017 A:  |  |  |
|  4% 1/1/39 <br>| 1500000  | 1508019  |
|  5% 1/1/29 <br>| 760000  | 836405  |
|  5% 1/1/31 <br>| 10000  | 10993  |
|  Series 2019 B, 4% 1/1/41  | 750000  | 748774  |
|  Series 2021 B:  |  |  |
|  5% 1/1/25 <br>| 845000  | 883337  |
|  5% 1/1/26 <br>| 990000  | 1054859  |
|  5% 1/1/27 <br>| 2295000  | 2486095  |
|  Ohio Hosp. Rev.:  |  |  |
|  Series 2020 A:  |  |  |
|  4% 1/15/38 <br>| 150000  | 141798  |
|  4% 1/15/39 <br>| 280000  | 263316  |
|  4% 1/15/50 <br>| 245000  | 213969  |
|  5% 1/15/50 <br>| 2710000  | 2762724  |
|  Series 2020:  |  |  |
|  3% 1/15/45 <br>| 2150000  | 1597387  |
|  4% 11/15/36 <br>| 135000  | 126223  |
|  4% 11/15/38 <br>| 130000  | 119447  |
|  4% 11/15/40 <br>| 125000  | 112912  |
|  5% 11/15/34 <br>| 180000  | 189648  |
|  Series 2021 E:  |  |  |
|  4% 1/15/37 <br>| 480000  | 457603  |
|  4% 1/15/41 <br>| 320000  | 297497  |
|  Ohio Hsg. Fin. Agcy. Multi-family Hsg. Rev. (Sanctuary at Springboro Proj.) Series 2017, 5.45% 1/1/38 (f)  | 250000  | 194892  |
|  Ohio Hsg. Fin. Agcy. Residential Mtg. Rev.:  |  |  |
|  (Mtg. Backed Securities Prog.) Series 2019 B, 4.5% 3/1/50  | 115000  | 116497  |
|  (Mtg.-Backed Securities Prog.) Series 2018 A, 4.5% 9/1/48  | 640000  | 647876  |
|  Ohio Major New State Infrastructure Rev. Series 2021 1A:  |  |  |
|  5% 12/15/29  | 1415000  | 1609444  |
|  5% 12/15/30  | 1270000  | 1465536  |
|  5% 12/15/31  | 90000  | 104870  |
|  5% 12/15/32  | 110000  | 130013  |
|  Ohio Private Activity Rev. (Portsmouth Bypass Proj.):  |  |  |
|  Series 2015 A, 5% 12/31/35 (Assured Guaranty Muni. Corp. Insured) (d)  | 1650000  | 1683372  |
|  Series 2015:  |  |  |
|  5% 12/31/39 (d) <br>| 565000  | 566425  |
|  5% 6/30/53 (d) <br>| 400000  | 397780  |
|  Ohio Spl. Oblig. Series 2020 A, 5% 2/1/26  | 75000  | 80222  |
|  Ohio State Univ. Gen. Receipts Series 2021 A, 4% 12/1/48  | 2400000  | 2314922  |
|  Ohio Tpk. Commission Tpk. Rev.:  |  |  |
|  (Infrastructure Proj.) Series 2005 A, 0% 2/15/42  | 645000  | 268861  |
|  (Infrastructure Projs.):  |  |  |
|  Series 2013 A1, 5% 2/15/28 <br>| 35000  | 35181  |
|  Series 2022 A, 5% 2/15/39 <br>| 585000  | 660119  |
|  Series A, 5% 2/15/51  | 6640000  | 7182319  |
|  Ohio Wtr. Dev. Auth. Wtr. Poll. Cont. Rev.:  |  |  |
|  Series 2020 B, 5% 12/1/24  | 75000  | 78543  |
|  Series 2021 A, 4% 12/1/46  | 600000  | 596522  |
|  Ross County Hosp. Facilities Rev. (Adena Health Sys. Obligated Group Proj.) Series 2019:  |  |  |
|  5% 12/1/22  | 25000  | 25000  |
|  5% 12/1/23  | 30000  | 30580  |
|  5% 12/1/24  | 35000  | 36238  |
|  5% 12/1/25  | 30000  | 31546  |
|  5% 12/1/26  | 40000  | 42660  |
|  Scioto County Hosp. Facilities Rev.:  |  |  |
|  Series 2016:  |  |  |
|  5% 2/15/26 <br>| 125000  | 130860  |
|  5% 2/15/27 <br>| 105000  | 109677  |
|  5% 2/15/29 <br>| 340000  | 353517  |
|  5% 2/15/34 <br>| 55000  | 56471  |
|  Series 2019, 5% 2/15/29  | 780000  | 812795  |
|  Toledo Hosp. 6.015% 11/15/48  | 500000  | 361875  |
|  Toledo Wtrwks. Rev. Series 2013, 5% 11/15/38 (Pre-Refunded to 5/15/23 @ 100)  | 240000  | 242743  |
|  Toledo-Lucas County Port Auth.:  |  |  |
|  (Univ. of Toledo Parking Proj.) Series 2021, 4% 1/1/57  | 250000  | 184566  |
|  Series 2014 A, 5% 7/1/46  | 250000  | 229262  |
|  Univ. of Akron Gen. Receipts:  |  |  |
|  Series 2016 A, 5% 1/1/35  | 545000  | 561505  |
|  Series 2019 A:  |  |  |
|  4% 1/1/28 <br>| 205000  | 212442  |
|  5% 1/1/26 <br>| 115000  | 120349  |
|  5% 1/1/30 <br>| 100000  | 109645  |
|  Univ. of Cincinnati Gen. Receipts Series 2016 C:  |  |  |
|  5% 6/1/41  | 320000  | 333650  |
|  5% 6/1/46  | 500000  | 518336  |
|  Washington County Hosp. Rev. Series 2022:  |  |  |
|  6% 12/1/28  | 660000  | 667659  |
|  6% 12/1/29  | 700000  | 709497  |
|  6% 12/1/30  | 740000  | 749769  |
|  6% 12/1/31  | 790000  | 797873  |
|  Wood County Hosp. Facilities Rev. (Wood County Hosp. Proj.) Series 2012, 5% 12/1/32 (Pre-Refunded to 12/1/22 @ 100)  | 80000  | 80000  |
|  TOTAL OHIO  |  | 193386133  |
| Oklahoma - 0.2%  |  |  |
|  Catoosa Indl. Auth. Series 2018, 4% 10/1/28  | 20000  | 19045  |
|  Garfield County Edl. Facilities Auth. (Enid Pub. Schools Proj.) Series 2016 A:  |  |  |
|  5% 9/1/28  | 750000  | 802306  |
|  5% 9/1/29  | 750000  | 800386  |
|  Lincoln County Edl. Facilities Rev. (Stroud Pub. Schools Proj.) Series 2016:  |  |  |
|  5% 9/1/28  | 500000  | 528867  |
|  5% 9/1/29  | 250000  | 263532  |
|  Norman Reg'l. Hosp. Auth. Hosp. Rev. Series 2019:  |  |  |
|  4% 9/1/45  | 1165000  | 988046  |
|  5% 9/1/45  | 500000  | 503960  |
|  Oklahoma City Arpt. Trust Series 33, 5% 7/1/47 (d)  | 275000  | 278886  |
|  Oklahoma City Pub. Property Auth. Hotel Tax Rev. Series 2015:  |  |  |
|  5% 10/1/24  | 60000  | 62445  |
|  5% 10/1/28  | 155000  | 164694  |
|  5% 10/1/29  | 170000  | 180488  |
|  5% 10/1/32  | 60000  | 63366  |
|  5% 10/1/36  | 120000  | 126564  |
|  5% 10/1/39  | 245000  | 258129  |
|  Oklahoma County Fin. Auth. Rev.:  |  |  |
|  (Epworth Villa Proj.):  |  |  |
|  Series 2004 B, 5.75% 4/1/27 (b) <br>| 90000  | 49500  |
|  Series 2005 B, 6% 4/1/30 (b) <br>| 115000  | 63250  |
|  Series 2012 A: <br>|  |  |
|  5% 4/1/33 <br>| 435000  | 239250  |
|  5.125% 4/1/42 <br>| 420000  | 231000  |
|  Series 2005 A, 5.875% 4/1/30  | 550000  | 302500  |
|  Oklahoma Dev. Fin. Auth. Health Sys. Rev. (OU Medicine Proj.) Series 2018 B:  |  |  |
|  5% 8/15/29  | 30000  | 29549  |
|  5% 8/15/33  | 170000  | 162461  |
|  5% 8/15/38  | 240000  | 215024  |
|  5.25% 8/15/43  | 80000  | 73477  |
|  5.25% 8/15/48  | 1490000  | 1327458  |
|  5.5% 8/15/52  | 2110000  | 1933410  |
|  5.5% 8/15/57  | 1945000  | 1762916  |
|  Oklahoma Dev. Fin. Auth. Rev.:  |  |  |
|  (Oklahoma City Univ. Proj.) Series 2019:  |  |  |
|  5% 8/1/26 <br>| 25000  | 25515  |
|  5% 8/1/44 <br>| 570000  | 555976  |
|  Series 2015, 5% 7/1/42  | 315000  | 265837  |
|  Oklahoma Hsg. Fin. Agcy. Single Family Mtg. Rev. (Homeownership Ln. Prog.) Series 2018 A, 4.75% 9/1/48  | 350000  | 356649  |
|  Oklahoma Tpk. Auth. Tpk. Rev. Series 2017 C:  |  |  |
|  4% 1/1/42  | 500000  | 501461  |
|  5% 1/1/47  | 385000  | 400552  |
|  Payne County Econ. Dev. Auth. Series 2016 A, 6.875% 11/1/46  | 455845  | 1140  |
|  Tulsa Indl. Auth. Rev. (Montereau, Inc. Proj.) Series 2017:  |  |  |
|  5% 11/15/31  | 265000  | 266609  |
|  5.25% 11/15/37  | 175000  | 176665  |
|  5.25% 11/15/45  | 1455000  | 1451109  |
|  Tulsa Int'l. Arpt. Gen. Rev. Series 2015 A, 5% 6/1/45 (Pre-Refunded to 6/1/24 @ 100) (d)  | 160000  | 164727  |
|  Tulsa Muni. Arpt. Trust Rev. Series 2001 B, 5.5% 12/1/35 (d)  | 1550000  | 1553001  |
|  Weatherford Indl. Trust Edl. Facilities Lease Rev. (Weatherford Pub. Schools Proj.) Series 2019, 5% 3/1/33  | 500000  | 542832  |
|  TOTAL OKLAHOMA  |  | 17692582  |
| Oregon - 0.4%  |  |  |
|  Beaverton School District Series 2022 A:  |  |  |
|  0% 6/15/37  | 8000000  | 4342908  |
|  0% 6/15/38  | 5000000  | 2565317  |
|  0% 6/15/39  | 5000000  | 2417920  |
|  0% 6/15/40  | 5000000  | 2272920  |
|  0% 6/15/41  | 1250000  | 536085  |
|  Clackamas County Hosp. Facility Auth.:  |  |  |
|  (Willamette View, Inc.) Series 2017 A, 5% 11/15/47  | 195000  | 180848  |
|  (Williamette View Proj.) Series 2017 A, 5% 11/15/32  | 135000  | 134265  |
|  (Williamette View, Inc.) Series 2017 A:  |  |  |
|  5% 11/15/37 <br>| 70000  | 68059  |
|  5% 11/15/52 <br>| 210000  | 192080  |
|  Medford Hosp. Facilities Auth. Rev.:  |  |  |
|  (Asante Projs.) Series 2020 A:  |  |  |
|  4% 8/15/50 <br>| 320000  | 292255  |
|  5% 8/15/36 <br>| 85000  | 91255  |
|  5% 8/15/38 <br>| 235000  | 250588  |
|  5% 8/15/45 <br>| 725000  | 756019  |
|  Series 2013 A, 5% 10/1/42  | 250000  | 251806  |
|  Multnomah County Hosp. Facilities Auth. Rev.:  |  |  |
|  Series 2021 B1, 1.2% 6/1/28  | 165000  | 140193  |
|  Series 2021 B2, 0.95% 6/1/27  | 435000  | 379243  |
|  Series 2021 C, 1.25% 6/1/26  | 210000  | 189127  |
|  Oregon Facilities Auth. Rev.:  |  |  |
|  (Legacy Health Proj.) Series 2016 A, 5% 6/1/46  | 3385000  | 3443809  |
|  Series 2020 A, 5% 10/1/40  | 160000  | 162892  |
|  Series 2022 A, 5% 6/1/52  | 2200000  | 2278145  |
|  Series 2022 B, 5% 6/1/30  | 675000  | 747053  |
|  Oregon Health and Science Univ. Spl. Rev. Series 2016 B, 5% 7/1/34  | 1600000  | 1692700  |
|  Oregon State Hsg. & Cmnty. Svcs. Dept.:  |  |  |
|  (Single Family Mtg. Prog.) Series A, 3.5% 1/1/51  | 555000  | 546911  |
|  Series 2019 A, 4% 7/1/50  | 1780000  | 1781215  |
|  Polk Marion & Benton School District # 13J Series B, 0% 12/15/38  | 120000  | 61325  |
|  Port of Portland Arpt. Rev.:  |  |  |
|  Series 2017 24B, 5% 7/1/42 (d)  | 1170000  | 1191141  |
|  Series 2020 26B:  |  |  |
|  5% 7/1/37 <br>| 170000  | 185042  |
|  5% 7/1/40 <br>| 145000  | 155571  |
|  Series 2020 26C, 5% 7/1/28 (d)  | 265000  | 283163  |
|  Series 2020 27A:  |  |  |
|  4% 7/1/39 (d) <br>| 1475000  | 1395629  |
|  5% 7/1/45 (d) <br>| 1895000  | 1947911  |
|  Series 2020, 5% 7/1/37 (d)  | 1200000  | 1262318  |
|  Series 2022 28:  |  |  |
|  5% 7/1/41 (d) <br>| 4240000  | 4425993  |
|  5% 7/1/52 (d) <br>| 3555000  | 3640372  |
|  Salem Hosp. Facility Auth. Rev.:  |  |  |
|  (Cap. Manor Proj.) Series 2022:  |  |  |
|  4% 5/15/40 <br>| 100000  | 82323  |
|  4% 5/15/47 <br>| 660000  | 505763  |
|  4% 5/15/57 <br>| 135000  | 96622  |
|  (Salem Health Projs.) Series 2019 A, 3% 5/15/49  | 1460000  | 1058214  |
|  Series 2016 A, 4% 5/15/41  | 620000  | 596263  |
|  Sherwood School District No. 88J Washington, Clackamas, and Yamhill Counties Gen. Oblig. Series 2017 B:  |  |  |
|  5% 6/15/30  | 850000  | 930716  |
|  5% 6/15/33  | 370000  | 402008  |
|  Washington, Multnomah & Yamhill County School District #1J Series 2017:  |  |  |
|  5% 6/15/33  | 60000  | 65191  |
|  5% 6/15/35  | 175000  | 188827  |
|  5% 6/15/36  | 170000  | 182613  |
|  5% 6/15/38  | 170000  | 181798  |
|  Yamhill County Hosp. Auth. Rev.:  |  |  |
|  Series 2016 A:  |  |  |
|  4% 11/15/26 <br>| 40000  | 38139  |
|  5% 11/15/31 <br>| 50000  | 47436  |
|  5% 11/15/36 <br>| 65000  | 58970  |
|  5% 11/15/46 <br>| 185000  | 154661  |
|  Series 2021 A:  |  |  |
|  5% 11/15/36 <br>| 155000  | 137926  |
|  5% 11/15/46 <br>| 365000  | 297439  |
|  5% 11/15/51 <br>| 155000  | 123152  |
|  5% 11/15/56 <br>| 855000  | 660255  |
|  Series 2021 B1, 2.5% 11/15/28  | 185000  | 163456  |
|  Series 2021 B2, 2.125% 11/15/27  | 70000  | 62289  |
|  Series 2021 B3, 1.75% 11/15/26  | 105000  | 96767  |
|  TOTAL OREGON  |  | 46392906  |
| Pennsylvania - 3.1%  |  |  |
|  Aliquippa Muni. Wtr. Auth. Series 2021:  |  |  |
|  4% 11/15/51  | 320000  | 293672  |
|  4% 11/15/55  | 340000  | 309232  |
|  Allegheny County Arpt. Auth. Rev.:  |  |  |
|  Series 2021 A:  |  |  |
|  4% 1/1/46 (Assured Guaranty Muni. Corp. Insured) (d) <br>| 250000  | 225895  |
|  4% 1/1/56 (d) <br>| 750000  | 650392  |
|  5% 1/1/51 (d) <br>| 6560000  | 6682179  |
|  5% 1/1/56 (d) <br>| 3980000  | 4033838  |
|  Series 2021 B:  |  |  |
|  5% 1/1/51 <br>| 830000  | 862412  |
|  5% 1/1/56 <br>| 700000  | 720335  |
|  Allegheny County Hosp. Dev. Auth. Rev.:  |  |  |
|  Series 2018 A:  |  |  |
|  4% 4/1/44 <br>| 1410000  | 1281638  |
|  4% 4/1/44 <br>| 400000  | 376407  |
|  5% 4/1/47 <br>| 230000  | 232791  |
|  Series 2019 A:  |  |  |
|  4% 7/15/36 <br>| 140000  | 138978  |
|  4% 7/15/37 <br>| 1085000  | 1066943  |
|  4% 7/15/39 <br>| 1325000  | 1271623  |
|  Allegheny County Indl. Dev. Auth. Enviromental Impt. Rev. (United States Steel Corp. Proj.) Series 2019, 4.875% 11/1/24  | 170000  | 170254  |
|  Allegheny County Indl. Dev. Auth. Rev. Series 2021:  |  |  |
|  3.5% 12/1/31  | 530000  | 427354  |
|  4% 12/1/41  | 935000  | 663575  |
|  4.25% 12/1/50  | 1040000  | 699414  |
|  Allentown Neighborhood Impt. Zone Dev. Auth. Tax Rev.:  |  |  |
|  (615 Waterfront Proj.) Series 2021, 6% 5/1/42 (f)  | 300000  | 298987  |
|  (City Ctr. Proj.) Series 2018, 5.125% 5/1/32 (f)  | 300000  | 288395  |
|  (City Ctr. Rfdg. Proj.):  |  |  |
|  Series 2017: <br>|  |  |
|  5% 5/1/27 (f) <br>| 1505000  | 1491735  |
|  5% 5/1/32 (f) <br>| 490000  | 475820  |
|  5% 5/1/42 (f) <br>| 1665000  | 1506427  |
|  Series 2018: <br>|  |  |
|  5% 5/1/33 (f) <br>| 490000  | 472153  |
|  5% 5/1/42 (f) <br>| 1150000  | 1040475  |
|  5.375% 5/1/42 (f) <br>| 1340000  | 1250602  |
|  Series 2022:  |  |  |
|  5% 5/1/28 <br>| 25000  | 26157  |
|  5% 5/1/30 <br>| 25000  | 26155  |
|  5% 5/1/31 <br>| 95000  | 99309  |
|  5% 5/1/32 <br>| 135000  | 140527  |
|  5% 5/1/33 <br>| 115000  | 118976  |
|  5% 5/1/34 <br>| 105000  | 107767  |
|  5% 5/1/35 <br>| 120000  | 122118  |
|  5% 5/1/42 <br>| 2420000  | 2364284  |
|  5.25% 5/1/42 (f) <br>| 1420000  | 1314539  |
|  Allentown School District Series 2019 C:  |  |  |
|  4% 2/1/35  | 245000  | 246104  |
|  4% 2/1/36  | 230000  | 230145  |
|  Armstrong School District Series 2019 A:  |  |  |
|  4% 3/15/35  | 105000  | 106927  |
|  4% 3/15/36  | 225000  | 228486  |
|  4% 3/15/37  | 105000  | 106061  |
|  4% 3/15/38  | 105000  | 105700  |
|  4% 3/15/41  | 530000  | 528229  |
|  Beaver County Econ. Dev. Auth. Series 2020:  |  |  |
|  4% 11/15/35  | 485000  | 496974  |
|  4% 11/15/36  | 180000  | 183188  |
|  Berks County Indl. Dev. Auth. Health Sys. Rev.:  |  |  |
|  (Tower Health Proj.) Series 2017:  |  |  |
|  5% 11/1/28 <br>| 240000  | 208722  |
|  5% 11/1/37 <br>| 200000  | 148367  |
|  5% 11/1/47 <br>| 310000  | 210034  |
|  (Tower Heatlh Proj.) Series 2017:  |  |  |
|  5% 11/1/29 <br>| 840000  | 715987  |
|  5% 11/1/30 <br>| 430000  | 357223  |
|  Berks County Muni. Auth. Rev.:  |  |  |
|  (The Reading Hosp. and Med. Ctr. Proj.) Series 2012, 5% 11/1/44  | 1635000  | 1140070  |
|  Bonds (Tower Health Proj.):  |  |  |
|  Series 2020 B2, 5%, tender 2/1/27 (b) <br>| 2110000  | 1892808  |
|  Series 2020 B3, 5%, tender 2/1/30 (b) <br>| 895000  | 747216  |
|  Bucks County Indl. Dev. Auth. Hosp. Rev.:  |  |  |
|  (Grand View Hosp. Proj.) Series 2021, 4% 7/1/51  | 250000  | 182053  |
|  (St. Luke's Univ. Health Network Proj.) Series 2019:  |  |  |
|  4% 8/15/44 <br>| 190000  | 173817  |
|  4% 8/15/50 <br>| 955000  | 830221  |
|  Series 2021:  |  |  |
|  5% 7/1/32 <br>| 355000  | 364743  |
|  5% 7/1/34 <br>| 40000  | 40531  |
|  5% 7/1/36 <br>| 40000  | 39968  |
|  5% 7/1/37 <br>| 80000  | 78836  |
|  5% 7/1/38 <br>| 1035000  | 1014084  |
|  5% 7/1/39 <br>| 165000  | 160419  |
|  Butler County Hosp. Auth. Hosp. Rev. (Butler Health Sys. Proj.) Series 2015 A:  |  |  |
|  5% 7/1/35  | 2935000  | 2956995  |
|  5% 7/1/39  | 670000  | 666056  |
|  Cambria County Gen. Oblig. Series 2020 B:  |  |  |
|  4% 8/1/32 (Assured Guaranty Muni. Corp. Insured)  | 45000  | 46568  |
|  4% 8/1/33 (Assured Guaranty Muni. Corp. Insured)  | 55000  | 56778  |
|  4% 8/1/35 (Assured Guaranty Muni. Corp. Insured)  | 65000  | 66177  |
|  4% 8/1/36 (Assured Guaranty Muni. Corp. Insured)  | 35000  | 35389  |
|  Canon McMillan School District Series 2019:  |  |  |
|  4% 6/1/46  | 625000  | 598777  |
|  4% 6/1/48  | 925000  | 878394  |
|  Cap. Region Wtr. Wtr. Rev. Series 2018:  |  |  |
|  5% 7/15/26  | 55000  | 58896  |
|  5% 7/15/27  | 120000  | 130391  |
|  5% 7/15/29  | 190000  | 208309  |
|  5% 7/15/32  | 120000  | 131282  |
|  5% 7/15/38  | 55000  | 59552  |
|  Chartiers Valley School District Series 2021 A, 3% 10/15/49  | 3585000  | 2658248  |
|  Chester County Health & Ed. Auth. Rev. (Simpson Sr. Svcs. Proj.) Series 2019, 5% 12/1/51  | 420000  | 352056  |
|  Chester County Indl. Dev. Auth. Rev.:  |  |  |
|  (Collegium Charter School Proj.) Series 2022, 5.875% 10/15/47 (f)  | 1560000  | 1512330  |
|  (Longwood Gardens, Inc. Proj.) Series 2021:  |  |  |
|  4% 12/1/46 <br>| 850000  | 791498  |
|  4% 12/1/51 <br>| 1000000  | 927011  |
|  Series 2017 A:  |  |  |
|  4.75% 12/15/37 <br>| 235000  | 232441  |
|  5% 12/15/47 <br>| 110000  | 109869  |
|  5% 12/15/51 <br>| 135000  | 133579  |
|  Chichester School District Series 2022:  |  |  |
|  4% 9/15/30  | 180000  | 190117  |
|  4% 9/15/31  | 105000  | 110462  |
|  4% 9/15/32  | 105000  | 110360  |
|  Coatesville Area School District Series 2017, 5% 8/1/23 (Assured Guaranty Muni. Corp. Insured)  | 25000  | 25377  |
|  Commonwealth Fing. Auth. Rev.:  |  |  |
|  Series 2015 B1, 5% 6/1/25  | 440000  | 462637  |
|  Series 2019 B, 5% 6/1/26  | 45000  | 48046  |
|  Series 2020 A:  |  |  |
|  5% 6/1/26 <br>| 1235000  | 1318597  |
|  5% 6/1/28 <br>| 670000  | 736728  |
|  5% 6/1/29 <br>| 110000  | 122453  |
|  5% 6/1/32 <br>| 190000  | 210562  |
|  Commonwealth Fing. Auth. Tobacco:  |  |  |
|  Series 2018 A, 5% 6/1/31  | 1050000  | 1151032  |
|  Series 2018:  |  |  |
|  4% 6/1/39 (Assured Guaranty Muni. Corp. Insured) <br>| 1050000  | 1052443  |
|  5% 6/1/31 <br>| 480000  | 523650  |
|  5% 6/1/32 <br>| 735000  | 799455  |
|  5% 6/1/33 <br>| 265000  | 287343  |
|  5% 6/1/34 <br>| 250000  | 269906  |
|  Cumberland County Muni. Auth. Rev.:  |  |  |
|  Series 2015:  |  |  |
|  4% 1/1/33 <br>| 165000  | 156825  |
|  4% 1/1/33 (Pre-Refunded to 1/1/25 @ 100) <br>| 225000  | 230781  |
|  4% 1/1/33 (Pre-Refunded to 1/1/25 @ 100) <br>| 65000  | 66670  |
|  5% 1/1/23 <br>| 100000  | 100097  |
|  5% 1/1/23 (Escrowed to Maturity) <br>| 65000  | 65128  |
|  5% 1/1/23 (Escrowed to Maturity) <br>| 25000  | 25049  |
|  5% 1/1/38 <br>| 1230000  | 1239366  |
|  5% 1/1/38 (Pre-Refunded to 1/1/25 @ 100) <br>| 1005000  | 1051428  |
|  5% 1/1/38 (Pre-Refunded to 1/1/25 @ 100) <br>| 240000  | 251087  |
|  Series 2019:  |  |  |
|  4% 11/1/35 <br>| 240000  | 239494  |
|  4% 11/1/37 <br>| 480000  | 473475  |
|  4% 11/1/49 <br>| 910000  | 820953  |
|  Series 2021 A:  |  |  |
|  4.5% 1/1/36 (f) <br>| 555000  | 483914  |
|  4.5% 1/1/40 (f) <br>| 1945000  | 1637647  |
|  4.5% 1/1/41 (f) <br>| 590000  | 491979  |
|  Dallas Area Muni. Auth. Univ. Rev. (Misericordia Univ. Proj.) Series 2019, 5% 5/1/48  | 105000  | 98591  |
|  Dauphin County Gen. Auth. (Pinnacle Health Sys. Proj.) Series 2016 A:  |  |  |
|  5% 6/1/28  | 130000  | 136541  |
|  5% 6/1/29  | 215000  | 224988  |
|  5% 6/1/34  | 75000  | 77673  |
|  Dauphin County Gen. Auth. Rev. (The Harrisburg Univ. of Science and Technology Proj.):  |  |  |
|  Series 2017:  |  |  |
|  5% 10/15/34 (f) <br>| 300000  | 285524  |
|  5.125% 10/15/41 (f) <br>| 300000  | 273726  |
|  Series 2020:  |  |  |
|  5.875% 10/15/40 (f) <br>| 300000  | 300049  |
|  6.25% 10/15/53 (f) <br>| 300000  | 301725  |
|  Dauphin County Indl. Dev. Auth. Series 1992 A, 6.9% 6/1/24 (d)  | 580000  | 612545  |
|  Delaware County Auth. Rev.:  |  |  |
|  (Cabrini College) Series 2017, 5% 7/1/47  | 2075000  | 1925889  |
|  Series 2017:  |  |  |
|  5% 7/1/26 <br>| 65000  | 65481  |
|  5% 7/1/28 <br>| 250000  | 251703  |
|  5% 7/1/29 <br>| 965000  | 971785  |
|  5% 7/1/30 <br>| 90000  | 90592  |
|  Delaware Valley Reg'l. Fin. Auth. Local Govt. Rev. Series 2007 C, 3 month U.S. LIBOR + 0.750% 2.815% 6/1/37 (b)(c)  | 1560000  | 1332037  |
|  Doylestown Hosp. Auth. Hosp. Rev.:  |  |  |
|  Series 2016 A, 5% 7/1/46  | 220000  | 186178  |
|  Series 2019:  |  |  |
|  4% 7/1/45 <br>| 120000  | 86918  |
|  5% 7/1/49 <br>| 1965000  | 1639358  |
|  Dubois Hosp. Auth. Hosp. Rev. (Penn Highlands Healthcare Proj.) Series 2018:  |  |  |
|  4% 7/15/33  | 305000  | 303201  |
|  4% 7/15/35  | 315000  | 308878  |
|  4% 7/15/37  | 605000  | 583983  |
|  5% 7/15/25  | 50000  | 51918  |
|  5% 7/15/26  | 150000  | 157568  |
|  5% 7/15/27  | 260000  | 275140  |
|  5% 7/15/28  | 190000  | 202034  |
|  5% 7/15/29  | 200000  | 211762  |
|  5% 7/15/30  | 270000  | 285092  |
|  5% 7/15/31  | 185000  | 194800  |
|  5% 7/15/32  | 190000  | 199695  |
|  5% 7/15/34  | 210000  | 219198  |
|  5% 7/15/36  | 610000  | 631673  |
|  5% 7/15/38  | 730000  | 743803  |
|  5% 7/15/43  | 850000  | 866750  |
|  East Hempfield Township Indl. Dev. Auth. Rev.:  |  |  |
|  Series 2014:  |  |  |
|  5% 7/1/34 (Pre-Refunded to 7/1/24 @ 100) <br>| 140000  | 144790  |
|  5% 7/1/39 (Pre-Refunded to 7/1/24 @ 100) <br>| 240000  | 248211  |
|  5% 7/1/46 (Pre-Refunded to 7/1/24 @ 100) <br>| 270000  | 279237  |
|  Series 2015:  |  |  |
|  5% 7/1/30 (Pre-Refunded to 7/1/25 @ 100) <br>| 190000  | 200755  |
|  5% 7/1/35 (Pre-Refunded to 7/1/25 @ 100) <br>| 250000  | 264151  |
|  5% 7/1/47 (Pre-Refunded to 7/1/25 @ 100) <br>| 1705000  | 1801513  |
|  Erie Higher Ed. Bldg. Auth. Series 2016:  |  |  |
|  5% 9/15/37 (f)  | 160000  | 150419  |
|  5% 9/15/37 (Pre-Refunded to 9/15/26 @ 100) (f)  | 35000  | 37426  |
|  Erie School District Gen. Oblig. Series 2019 A, 5% 4/1/34  | 175000  | 192478  |
|  Erie Wtr. Auth. Rev. Series 2016, 5% 12/1/43 (Pre-Refunded to 12/1/26 @ 100)  | 480000  | 522441  |
|  Franklin County Indl. Dev. Auth. (Menno-Haven, Inc. Proj.) Series 2018:  |  |  |
|  5% 12/1/38  | 295000  | 255087  |
|  5% 12/1/43  | 170000  | 142375  |
|  5% 12/1/48  | 185000  | 151595  |
|  5% 12/1/53  | 195000  | 155978  |
|  Geisinger Auth. Health Sys. Rev. Series 2020 A, 4% 4/1/39  | 705000  | 684164  |
|  Huntingdon County Gen. Auth. Rev. (Aicup Fing. Prog. - Juniata College Proj.) Series 2016 OO2, 5% 5/1/46  | 250000  | 255668  |
|  Lancaster County Hosp. Auth. Health Ctr. Rev.:  |  |  |
|  Series 2015:  |  |  |
|  5.25% 7/1/35 <br>| 35000  | 34118  |
|  5.5% 7/1/45 <br>| 140000  | 132887  |
|  Series 2021:  |  |  |
|  5% 11/1/46 <br>| 3615000  | 3695811  |
|  5% 11/1/51 <br>| 185000  | 188351  |
|  Lehigh County Auth. Wtr. and Swr. Rev.:  |  |  |
|  Series 2013 A, 5% 12/1/43 (Pre-Refunded to 12/1/23 @ 100)  | 1100000  | 1126401  |
|  Series 2013 B, 0% 12/1/36  | 2580000  | 1401036  |
|  Lehigh County Gen. Purp. Auth. Rev. (Muhlenberg College Proj.) Series 2017, 5% 2/1/39  | 315000  | 321711  |
|  Lehigh County Gen. Purp. Hosp. Rev. Series 2019 A:  |  |  |
|  4% 7/1/37  | 110000  | 108411  |
|  4% 7/1/38  | 120000  | 116599  |
|  4% 7/1/39  | 140000  | 135013  |
|  4% 7/1/49  | 4195000  | 3773236  |
|  5% 7/1/23  | 60000  | 60739  |
|  5% 7/1/24  | 110000  | 113470  |
|  5% 7/1/26  | 120000  | 127621  |
|  5% 7/1/27  | 130000  | 139729  |
|  5% 7/1/28  | 135000  | 146668  |
|  5% 7/1/44  | 140000  | 142032  |
|  Luzerne County Series 2017 A:  |  |  |
|  5% 12/15/23 (Assured Guaranty Muni. Corp. Insured)  | 140000  | 143167  |
|  5% 12/15/24 (Assured Guaranty Muni. Corp. Insured)  | 145000  | 150949  |
|  5% 12/15/26 (Assured Guaranty Muni. Corp. Insured)  | 130000  | 139996  |
|  5% 12/15/29 (Assured Guaranty Muni. Corp. Insured)  | 335000  | 368861  |
|  Lycoming County Auth. College Rev. (Pennsylvania College of Technology) Series 2021 A, 5% 7/1/30  | 425000  | 475901  |
|  Maxatawny Township Muni. Auth. Rev. Series 2022 A:  |  |  |
|  4.5% 1/1/45  | 545000  | 478957  |
|  5% 1/1/39  | 60000  | 59735  |
|  5% 1/1/40  | 205000  | 203133  |
|  5% 1/1/41  | 150000  | 147714  |
|  5% 1/1/42  | 155000  | 151821  |
|  Monroe County Hosp. Auth. Rev. Series 2016:  |  |  |
|  5% 7/1/26  | 120000  | 126828  |
|  5% 7/1/27  | 120000  | 126631  |
|  5% 7/1/28  | 120000  | 126164  |
|  5% 7/1/34  | 450000  | 460802  |
|  5% 7/1/36  | 655000  | 666608  |
|  Monroeville Fin. Auth. UPMC Rev. Series 2012, 5% 2/15/26  | 95000  | 100697  |
|  Montgomery County Higher Ed. & Health Auth. Rev.:  |  |  |
|  (Philadelphia Presbytery Homes, Inc. Proj.) Series 2017, 4% 12/1/48  | 400000  | 311991  |
|  Series 2014 A:  |  |  |
|  5% 10/1/23 <br>| 180000  | 182034  |
|  5% 10/1/24 <br>| 140000  | 142709  |
|  5% 10/1/25 <br>| 125000  | 125993  |
|  5% 10/1/27 <br>| 60000  | 60381  |
|  Series 2016 A:  |  |  |
|  5% 10/1/28 <br>| 185000  | 186619  |
|  5% 10/1/29 <br>| 325000  | 327687  |
|  5% 10/1/30 <br>| 245000  | 246853  |
|  5% 10/1/31 <br>| 555000  | 558449  |
|  5% 10/1/32 <br>| 10000  | 10048  |
|  5% 10/1/36 <br>| 1255000  | 1241193  |
|  5% 10/1/40 <br>| 795000  | 768518  |
|  Series 2018 A:  |  |  |
|  5% 9/1/32 <br>| 560000  | 602300  |
|  5% 9/1/33 <br>| 425000  | 454541  |
|  5% 9/1/34 <br>| 810000  | 859839  |
|  5% 9/1/37 <br>| 740000  | 774031  |
|  5% 9/1/43 <br>| 710000  | 721895  |
|  Series 2019:  |  |  |
|  4% 9/1/36 <br>| 50000  | 48875  |
|  4% 9/1/37 <br>| 50000  | 48517  |
|  4% 9/1/38 <br>| 110000  | 105999  |
|  4% 9/1/39 <br>| 70000  | 66923  |
|  4% 9/1/44 <br>| 725000  | 667494  |
|  4% 9/1/49 <br>| 1000000  | 897626  |
|  4% 9/1/49 <br>| 400000  | 352869  |
|  4% 9/1/51 <br>| 805000  | 702816  |
|  5% 9/1/23 <br>| 30000  | 30442  |
|  5% 9/1/24 <br>| 45000  | 46388  |
|  5% 9/1/31 <br>| 145000  | 158010  |
|  Series 2020:  |  |  |
|  5% 4/1/23 <br>| 25000  | 25116  |
|  5% 4/1/24 <br>| 25000  | 25423  |
|  5% 4/1/25 <br>| 20000  | 20535  |
|  5% 4/1/26 <br>| 20000  | 20697  |
|  5% 4/1/27 <br>| 40000  | 41725  |
|  Series 2022 B, 5% 5/1/57  | 250000  | 250073  |
|  Series 2022, 3.125% 5/1/53 (Assured Guaranty Muni. Corp. Insured)  | 650000  | 472173  |
|  Montgomery County Indl. Dev. Auth. Series 2015 A:  |  |  |
|  5.25% 1/15/36 (Pre-Refunded to 1/15/25 @ 100)  | 70000  | 73428  |
|  5.25% 1/15/45 (Pre-Refunded to 1/15/25 @ 100)  | 3510000  | 3681911  |
|  Montgomery County Indl. Dev. Auth. Rev.:  |  |  |
|  Series 2015:  |  |  |
|  5.25% 1/1/40 <br>| 490000  | 467647  |
|  5.375% 1/1/50 <br>| 2185000  | 2016883  |
|  Series 2016, 5% 11/15/36  | 250000  | 249993  |
|  Series 2020 C, 5% 11/15/45  | 650000  | 625098  |
|  Moon Indl. Dev. Auth. Rev. Series 2015, 6.125% 7/1/50  | 580000  | 488752  |
|  Northampton County Gen. Purp. Auth. Hosp. Rev.:  |  |  |
|  (St. Luke's Univ. Health Network Proj.):  |  |  |
|  Series 2016 A, 5% 8/15/36 <br>| 90000  | 92800  |
|  Series 2018 A, 4% 8/15/48 <br>| 1950000  | 1800581  |
|  Series 2016 A, 5% 8/15/46  | 3650000  | 3668344  |
|  Northeastern Pennsylvania Hosp. and Ed. Auth. (King's College Proj.) Series 2019:  |  |  |
|  5% 5/1/32  | 95000  | 97926  |
|  5% 5/1/33  | 125000  | 128556  |
|  5% 5/1/44  | 275000  | 272493  |
|  5% 5/1/49  | 170000  | 166084  |
|  Pennsylvania Ctfs. Prtn. Series 2018 A:  |  |  |
|  5% 7/1/35  | 40000  | 43306  |
|  5% 7/1/36  | 55000  | 59353  |
|  5% 7/1/37  | 45000  | 48484  |
|  5% 7/1/38  | 40000  | 42925  |
|  5% 7/1/43  | 110000  | 115902  |
|  Pennsylvania Econ. Dev.:  |  |  |
|  Series 2013 B2:  |  |  |
|  0% 1/1/35 <br>| 320000  | 182125  |
|  0% 1/1/36 <br>| 340000  | 181163  |
|  0% 1/1/37 <br>| 325000  | 161857  |
|  0% 1/1/38 <br>| 335000  | 156975  |
|  0% 1/1/39 <br>| 370000  | 163022  |
|  0% 1/1/40 <br>| 355000  | 146973  |
|  0% 1/1/41 <br>| 340000  | 132219  |
|  0% 1/1/42 <br>| 325000  | 119361  |
|  0% 1/1/43 <br>| 310000  | 107320  |
|  0% 1/1/46 <br>| 745000  | 220361  |
|  0% 1/1/47 <br>| 775000  | 216415  |
|  Series 2013, 0% 1/1/49  | 1555000  | 268604  |
|  Pennsylvania Econ. Dev. Fing. Auth.:  |  |  |
|  Series 2017 A, 4% 11/15/36  | 500000  | 495356  |
|  Series 2020 A:  |  |  |
|  5% 4/15/24 <br>| 35000  | 36011  |
|  5% 4/15/25 <br>| 50000  | 52365  |
|  5% 4/15/26 <br>| 160000  | 170046  |
|  Series 2020:  |  |  |
|  4% 1/1/26 <br>| 235000  | 237057  |
|  4% 1/1/27 <br>| 160000  | 160866  |
|  4% 1/1/28 <br>| 165000  | 165272  |
|  4% 1/1/31 <br>| 40000  | 39848  |
|  Pennsylvania Econ. Dev. Fing. Auth. Solid Waste Disp. Rev.:  |  |  |
|  (Covanta Proj.) Series 2019 A, 3.25% 8/1/39 (d)(f)  | 580000  | 438769  |
|  Bonds:  |  |  |
|  (Consol Energy, Inc. Proj.) Series 2021 A, 9%, tender 4/13/28 (b)(d)(f) <br>| 1620000  | 1843952  |
|  (Waste Mgmt., Inc. Proj.) Series 2013, 4%, tender 2/1/23 (b)(d) <br>| 3000000  | 3003493  |
|  (Waste Mgmt., Inc. Proj.) Series 2017 A, 0.58%, tender 8/1/24 (b)(d) <br>| 430000  | 403918  |
|  Series 2011, 2.15%, tender 7/1/24 (b)(d) <br>| 3955000  | 3820490  |
|  Pennsylvania Gen. Oblig. Series 2013 1:  |  |  |
|  4% 4/1/31  | 875000  | 878159  |
|  4% 4/1/32  | 1500000  | 1505191  |
|  Pennsylvania Higher Ed. Assistance Agcy. Rev.:  |  |  |
|  Series 2021 A:  |  |  |
|  2.625% 6/1/42 (d) <br>| 295000  | 244580  |
|  5% 6/1/30 (d) <br>| 50000  | 52957  |
|  Series 2022 A, 4.5% 6/1/43 (d)  | 230000  | 227182  |
|  Pennsylvania Higher Edl. Facilities Auth. Rev.:  |  |  |
|  (Drexel Univ. Proj.):  |  |  |
|  Series 2016, 5% 5/1/35 <br>| 515000  | 532850  |
|  Series 2017: <br>|  |  |
|  5% 5/1/35 <br>| 150000  | 156188  |
|  5% 5/1/37 <br>| 190000  | 196656  |
|  5% 5/1/41 <br>| 860000  | 880921  |
|  Series 2007 A, 3 month U.S. LIBOR + 0.650% 3.166% 7/1/39 (XL Cap. Assurance, Inc. Insured) (b)(c)  | 1180000  | 1032257  |
|  Series 2012, 5% 11/1/42  | 90000  | 90017  |
|  Series 2014, 5% 7/15/38  | 335000  | 338456  |
|  Series 2015 A, 5% 9/1/39  | 440000  | 448463  |
|  Series 2016:  |  |  |
|  5% 5/1/28 <br>| 60000  | 63110  |
|  5% 5/1/29 <br>| 55000  | 57823  |
|  5% 5/1/31 <br>| 55000  | 57487  |
|  5% 5/1/32 <br>| 150000  | 156185  |
|  5% 5/1/33 <br>| 210000  | 218236  |
|  5% 5/1/34 <br>| 105000  | 108993  |
|  Series 2018 A, 5% 2/15/48  | 1625000  | 1714139  |
|  Series 2019 A:  |  |  |
|  5% 3/1/38 <br>| 210000  | 221016  |
|  5% 3/1/39 <br>| 50000  | 52308  |
|  Series 2019:  |  |  |
|  4% 8/15/49 <br>| 2875000  | 2751725  |
|  5% 8/15/49 <br>| 250000  | 259781  |
|  Series 2020:  |  |  |
|  5% 6/15/23 <br>| 4585000  | 4642091  |
|  5% 6/15/25 (Assured Guaranty Muni. Corp. Insured) <br>| 2500000  | 2635479  |
|  Series 2021 A, 4% 8/15/43  | 960000  | 942320  |
|  Series 2022 B, 4% 8/15/42  | 375000  | 369486  |
|  Pennsylvania Hsg. Fin. Agcy.:  |  |  |
|  Series 2020 13 2A, 3.5% 4/1/51  | 300000  | 297243  |
|  Series 2021 134 A, 3% 10/1/49  | 2870000  | 2798182  |
|  Series 2021 134B, 5% 4/1/27 (d)  | 945000  | 998865  |
|  Series 2021 135A, 3% 10/1/51  | 2005000  | 1954098  |
|  Series 2021 135B:  |  |  |
|  5% 4/1/28 (d) <br>| 500000  | 536730  |
|  5% 4/1/29 (d) <br>| 510000  | 553297  |
|  5% 10/1/29 (d) <br>| 510000  | 556115  |
|  5% 4/1/30 (d) <br>| 515000  | 564374  |
|  5% 10/1/30 (d) <br>| 295000  | 324860  |
|  Series 2021 137, 3% 10/1/51  | 3020000  | 2868202  |
|  Pennsylvania Pub. School Bldg. Auth. School Rev. (The School District of The City of Harrisburg Proj.) Series 2016 A:  |  |  |
|  5% 12/1/29  | 270000  | 284121  |
|  5% 12/1/29 (Pre-Refunded to 12/1/26 @ 100)  | 45000  | 48801  |
|  Pennsylvania State Univ.:  |  |  |
|  Series 2019 A, 5% 9/1/48  | 1390000  | 1487861  |
|  Series 2020 A, 4% 9/1/50  | 95000  | 91979  |
|  Pennsylvania Tpk. Commission Oil Franchise Tax Rev. Series 2021 A, 4% 12/1/51  | 2245000  | 2119939  |
|  Pennsylvania Tpk. Commission Tpk. Rev.:  |  |  |
|  Series 2015 A1, 5% 12/1/40  | 2000000  | 2052334  |
|  Series 2016, 5% 6/1/36  | 130000  | 134489  |
|  Series 2017 A1:  |  |  |
|  5% 12/1/42 <br>| 600000  | 624748  |
|  5% 12/1/47 <br>| 960000  | 991748  |
|  Series 2018 A2:  |  |  |
|  5% 12/1/43 <br>| 245000  | 256713  |
|  5% 12/1/48 <br>| 2590000  | 2682730  |
|  Series 2019 A:  |  |  |
|  5% 12/1/34 <br>| 1095000  | 1185954  |
|  5% 12/1/44 <br>| 1070000  | 1135421  |
|  Series 2021 A:  |  |  |
|  4% 12/1/39 <br>| 1205000  | 1205647  |
|  4% 12/1/43 <br>| 190000  | 184917  |
|  4% 12/1/46 <br>| 320000  | 304890  |
|  4% 12/1/50 <br>| 1070000  | 946170  |
|  4% 12/1/51 <br>| 250000  | 237657  |
|  5% 12/1/47 <br>| 1870000  | 1962585  |
|  Series 2021 B:  |  |  |
|  4% 12/1/46 <br>| 950000  | 905143  |
|  4% 12/1/51 <br>| 400000  | 356523  |
|  5% 12/1/46 <br>| 6355000  | 6688284  |
|  Series 2021 C:  |  |  |
|  4% 12/1/51 <br>| 1225000  | 1154831  |
|  5% 12/1/27 <br>| 530000  | 583455  |
|  5% 12/1/28 <br>| 510000  | 570403  |
|  Series 2022 B, 5.25% 12/1/52  | 1575000  | 1690846  |
|  Philadelphia Arpt. Rev.:  |  |  |
|  Series 2017 A:  |  |  |
|  5% 7/1/25 <br>| 120000  | 125874  |
|  5% 7/1/26 <br>| 120000  | 127914  |
|  5% 7/1/27 <br>| 100000  | 108237  |
|  5% 7/1/28 <br>| 30000  | 32454  |
|  5% 7/1/29 <br>| 30000  | 32434  |
|  5% 7/1/30 <br>| 30000  | 32340  |
|  5% 7/1/31 <br>| 35000  | 37683  |
|  5% 7/1/32 <br>| 30000  | 32245  |
|  5% 7/1/33 <br>| 35000  | 37531  |
|  5% 7/1/42 <br>| 135000  | 139685  |
|  Series 2017 B:  |  |  |
|  5% 7/1/23 (d) <br>| 185000  | 186903  |
|  5% 7/1/26 (d) <br>| 365000  | 382372  |
|  5% 7/1/27 (d) <br>| 305000  | 323026  |
|  5% 7/1/28 (d) <br>| 365000  | 386052  |
|  5% 7/1/29 (d) <br>| 270000  | 284702  |
|  5% 7/1/32 (d) <br>| 365000  | 382172  |
|  5% 7/1/33 (d) <br>| 1170000  | 1222190  |
|  5% 7/1/34 (d) <br>| 535000  | 556744  |
|  5% 7/1/37 (d) <br>| 545000  | 562229  |
|  5% 7/1/42 (d) <br>| 1640000  | 1670875  |
|  5% 7/1/42 (d) <br>| 2385000  | 2433854  |
|  5% 7/1/47 (d) <br>| 4355000  | 4399484  |
|  Series 2021:  |  |  |
|  4% 7/1/46 (d) <br>| 500000  | 451214  |
|  5% 7/1/26 (d) <br>| 9065000  | 9496437  |
|  5% 7/1/27 (d) <br>| 12490000  | 13228174  |
|  5% 7/1/28 (d) <br>| 1325000  | 1416506  |
|  5% 7/1/34 (d) <br>| 2650000  | 2837039  |
|  5% 7/1/35 (d) <br>| 1425000  | 1516232  |
|  5% 7/1/51 (d) <br>| 2400000  | 2448653  |
|  Philadelphia Auth. for Indl. Dev.:  |  |  |
|  (First Philadelphia Preparatory Charter School Proj.) Series 2014 A, 7.25% 6/15/43  | 300000  | 312287  |
|  (Saint Joseph's Univ. Proj.) Series 2022:  |  |  |
|  5.25% 11/1/52 <br>| 1500000  | 1542494  |
|  5.5% 11/1/60 <br>| 1915000  | 1988209  |
|  Series 2015 1, 5% 4/1/33  | 35000  | 36206  |
|  Series 2016 2, 5% 4/1/34  | 2265000  | 2337896  |
|  Series 2016 A, 5.375% 8/1/51  | 325000  | 330211  |
|  Series 2016 B:  |  |  |
|  5.625% 8/1/36 <br>| 65000  | 65539  |
|  5.75% 8/1/46 <br>| 215000  | 215332  |
|  6% 8/1/51 <br>| 250000  | 252425  |
|  Series 2017 A:  |  |  |
|  5% 9/1/35 <br>| 220000  | 230351  |
|  5% 9/1/42 <br>| 2305000  | 2348124  |
|  Series 2017 I:  |  |  |
|  5% 12/1/37 <br>| 440000  | 456226  |
|  5% 12/1/58 <br>| 1770000  | 1774093  |
|  5.5% 12/1/58 (f) <br>| 105000  | 93096  |
|  Series 2017:  |  |  |
|  5% 3/15/45 (f) <br>| 250000  | 225139  |
|  5% 11/1/47 <br>| 1645000  | 1657340  |
|  Series 2022 A:  |  |  |
|  5.25% 6/15/52 <br>| 100000  | 90700  |
|  5.375% 6/15/57 <br>| 145000  | 130499  |
|  Philadelphia Auth. for Indl. Dev. Sr. Living Facilities Rev. Series 2017 A:  |  |  |
|  5% 7/1/37  | 560000  | 498200  |
|  5% 7/1/42  | 710000  | 606105  |
|  5% 7/1/49  | 860000  | 707518  |
|  Philadelphia Auth. Indl. Dev. Lease Rev. Series 2019, 5% 10/1/30  | 1625000  | 1824958  |
|  Philadelphia Gas Works Rev.:  |  |  |
|  Series 16 A, 4% 8/1/45 (Assured Guaranty Muni. Corp. Insured)  | 130000  | 124909  |
|  Series 2015:  |  |  |
|  5% 8/1/26 <br>| 55000  | 57643  |
|  5% 8/1/27 <br>| 55000  | 57600  |
|  5% 8/1/28 <br>| 110000  | 115142  |
|  Series 2016, 5% 10/1/33  | 620000  | 662007  |
|  Philadelphia Gen. Oblig.:  |  |  |
|  Series 2019 A, 5% 8/1/26  | 75000  | 80208  |
|  Series 2019 B:  |  |  |
|  5% 2/1/32 <br>| 1120000  | 1213331  |
|  5% 2/1/33 <br>| 90000  | 97145  |
|  5% 2/1/34 <br>| 145000  | 157523  |
|  5% 2/1/35 <br>| 995000  | 1066690  |
|  5% 2/1/36 <br>| 720000  | 771910  |
|  5% 2/1/37 <br>| 685000  | 729939  |
|  5% 2/1/38 <br>| 540000  | 573873  |
|  Series 2021 A, 5% 5/1/32  | 500000  | 558793  |
|  Philadelphia Hospitals & Higher Ed. Facilities Auth. Health Systems Rev. Series 2022:  |  |  |
|  5% 7/1/35 (Assured Guaranty Muni. Corp. Insured)  | 370000  | 400216  |
|  5% 7/1/36 (Assured Guaranty Muni. Corp. Insured)  | 530000  | 570601  |
|  Philadelphia Hospitals & Higher Ed. Facilities Auth. Hosp. Rev. Series 2017:  |  |  |
|  5% 7/1/28  | 705000  | 739287  |
|  5% 7/1/30  | 140000  | 144988  |
|  Philadelphia Redev. Auth. Rev. Series 2012, 5% 4/15/24  | 405000  | 408228  |
|  Philadelphia School District:  |  |  |
|  Series 2015 A:  |  |  |
|  5% 9/1/30 <br>| 650000  | 681953  |
|  5% 9/1/34 <br>| 195000  | 203174  |
|  5% 9/1/35 <br>| 290000  | 301692  |
|  Series 2016 D:  |  |  |
|  5% 9/1/25 <br>| 1070000  | 1124907  |
|  5% 9/1/26 <br>| 1115000  | 1186248  |
|  5% 9/1/27 <br>| 1180000  | 1260136  |
|  5% 9/1/28 <br>| 985000  | 1051173  |
|  Series 2016 F:  |  |  |
|  5% 9/1/28 <br>| 1700000  | 1809867  |
|  5% 9/1/29 <br>| 1300000  | 1381651  |
|  5% 9/1/37 <br>| 215000  | 221898  |
|  Series 2016, 5% 9/1/38  | 50000  | 51517  |
|  Series 2018 A:  |  |  |
|  5% 9/1/26 <br>| 90000  | 95849  |
|  5% 9/1/33 <br>| 65000  | 70183  |
|  5% 9/1/34 <br>| 80000  | 85948  |
|  5% 9/1/35 <br>| 55000  | 58848  |
|  5% 9/1/36 <br>| 310000  | 330729  |
|  5% 9/1/37 <br>| 215000  | 228736  |
|  5% 9/1/38 <br>| 290000  | 307794  |
|  Series 2018 B, 5% 9/1/43  | 635000  | 667182  |
|  Series 2019 A:  |  |  |
|  4% 9/1/35 <br>| 1135000  | 1147603  |
|  4% 9/1/36 <br>| 440000  | 438397  |
|  4% 9/1/37 <br>| 260000  | 258091  |
|  4% 9/1/38 <br>| 375000  | 369908  |
|  4% 9/1/39 <br>| 210000  | 206053  |
|  5% 9/1/23 <br>| 40000  | 40706  |
|  5% 9/1/26 <br>| 130000  | 138307  |
|  5% 9/1/30 <br>| 1050000  | 1155872  |
|  5% 9/1/31 <br>| 830000  | 911799  |
|  5% 9/1/32 <br>| 65000  | 71240  |
|  5% 9/1/33 <br>| 115000  | 126494  |
|  5% 9/1/33 <br>| 385000  | 420450  |
|  5% 9/1/34 <br>| 480000  | 520700  |
|  5% 9/1/44 <br>| 1925000  | 2036577  |
|  Series 2019 B:  |  |  |
|  5% 9/1/25 <br>| 85000  | 89408  |
|  5% 9/1/26 <br>| 70000  | 74549  |
|  Series F, 5% 9/1/30  | 825000  | 873824  |
|  Philadelphia Wtr. & Wastewtr. Rev.:  |  |  |
|  Series 2015 A, 5% 7/1/45 (Pre-Refunded to 7/1/24 @ 100)  | 1445000  | 1498987  |
|  Series 2018 A:  |  |  |
|  5% 10/1/34 <br>| 2535000  | 2770731  |
|  5% 10/1/43 <br>| 1205000  | 1265587  |
|  Series 2020 A, 5% 11/1/45  | 1000000  | 1060294  |
|  Series 2022 C, 5.5% 6/1/52  | 1220000  | 1338602  |
|  Pittsburgh & Allegheny County Parking Sys. Series 2017:  |  |  |
|  5% 12/15/35  | 65000  | 69376  |
|  5% 12/15/37  | 30000  | 31971  |
|  Pittsburgh Wtr. & Swr. Auth. Wtr. & Swr. Sys. Rev.:  |  |  |
|  Series 2013 B, 5.25% 9/1/40  | 500000  | 506618  |
|  Series 2019 A:  |  |  |
|  5% 9/1/38 (Assured Guaranty Muni. Corp. Insured) <br>| 480000  | 519005  |
|  5% 9/1/44 (Assured Guaranty Muni. Corp. Insured) <br>| 430000  | 455967  |
|  Series 2019 B, 5% 9/1/32 (Assured Guaranty Muni. Corp. Insured)  | 270000  | 313720  |
|  Pocono Mountains Indl. Park Auth. (St. Luke's Hosp. - Monroe Proj.) Series 2015 A, 5% 8/15/40  | 100000  | 101114  |
|  Reading School District Series 2019, 4% 4/1/44  | 200000  | 195311  |
|  Scranton Redev. Auth. Series 2016 A, 5% 11/15/28  | 220000  | 209962  |
|  South Western School District York Series 2022, 4.25% 11/15/49  | 3000000  | 2975748  |
|  Southcentral Pennsylvania Gen. Auth. Rev.:  |  |  |
|  (York Academy Reg'l. Charter School Proj.) Series 2018 A, 6.5% 7/15/48 (f)  | 300000  | 309924  |
|  Series 2019 A:  |  |  |
|  4% 6/1/44 <br>| 435000  | 417997  |
|  4% 6/1/49 <br>| 2170000  | 2028419  |
|  5% 6/1/44 <br>| 755000  | 787729  |
|  5% 6/1/49 <br>| 1205000  | 1249581  |
|  State Pub. School Bldg. Auth. (Northampton County Area Cmnty. College Proj.) Series 2022:  |  |  |
|  4% 6/15/31  | 190000  | 200484  |
|  4% 6/15/32  | 125000  | 131395  |
|  4% 6/15/33  | 135000  | 140630  |
|  4% 6/15/34  | 135000  | 140295  |
|  5% 6/15/30  | 130000  | 145494  |
|  State Pub. School Bldg. Auth. College Rev. (Cmnty. College of Philadelphia Proj.) Series 2015, 5% 6/15/28  | 750000  | 782030  |
|  State Pub. School Bldg. Auth. Lease Rev. (The School District of Philadelphia Proj.):  |  |  |
|  Series 2015 A, 5% 6/1/26  | 195000  | 202927  |
|  Series 2016 A:  |  |  |
|  5% 6/1/30 <br>| 425000  | 446742  |
|  5% 6/1/31 <br>| 3870000  | 4062101  |
|  5% 6/1/32 (Assured Guaranty Muni. Corp. Insured) <br>| 3200000  | 3353989  |
|  5% 6/1/33 <br>| 7280000  | 7613799  |
|  Trinity Area School District Series 2021:  |  |  |
|  4% 11/1/41  | 125000  | 122564  |
|  4% 11/1/43  | 130000  | 127632  |
|  4% 11/1/46  | 225000  | 217361  |
|  4% 11/1/51  | 320000  | 303716  |
|  Union County Hosp. Auth. Rev. Series 2018 B:  |  |  |
|  5% 8/1/33  | 55000  | 58415  |
|  5% 8/1/38  | 180000  | 186238  |
|  5% 8/1/43  | 680000  | 691255  |
|  5% 8/1/48  | 1410000  | 1417303  |
|  Univ. of Pittsburgh Commonwealth Sys. of Higher Ed. Series 2019, 2.26% 2/15/24 (b)  | 1205000  | 1204582  |
|  Upper Darby School District Series 2021 A:  |  |  |
|  4% 4/1/46  | 125000  | 120571  |
|  4% 4/1/51  | 500000  | 475489  |
|  Washington Redev. Auth. (Victory Centre Tax Increment Fing. Proj.) Series 2018:  |  |  |
|  4% 7/1/23  | 5000  | 4984  |
|  5% 7/1/35  | 15000  | 14523  |
|  West Shore Area Auth. Rev. (Messiah Village Proj.) Series 2015 A:  |  |  |
|  5% 7/1/30  | 95000  | 95042  |
|  5% 7/1/35  | 90000  | 88839  |
|  TOTAL PENNSYLVANIA  |  | 336820850  |
| Puerto Rico - 2.2%  |  |  |
|  Children's Trust Fund Tobacco Settlement:  |  |  |
|  Series 2002, 5.625% 5/15/43  | 900000  | 900235  |
|  Series 2005 A, 0% 5/15/50  | 2000000  | 346603  |
|  Series 2008 B, 0% 5/15/57  | 2000000  | 103764  |
|  GDB Debt Recovery Auth. Series 2018, 7.5% 8/20/40  | 2946910  | 2460670  |
|  Puerto Rico Commonwealth Aqueduct & Swr. Auth.:  |  |  |
|  Series 2008 A, 6.125% 7/1/24  | 165000  | 168273  |
|  Series 2020 A:  |  |  |
|  5% 7/1/25 (f) <br>| 3185000  | 3220953  |
|  5% 7/1/30 (f) <br>| 4060000  | 4098083  |
|  5% 7/1/35 (f) <br>| 3815000  | 3776243  |
|  5% 7/1/47 (f) <br>| 19605000  | 18745468  |
|  Series 2021 A:  |  |  |
|  4% 7/1/42 (f) <br>| 1705000  | 1439847  |
|  5% 7/1/33 (f) <br>| 760000  | 761545  |
|  Series 2021 B:  |  |  |
|  4% 7/1/42 (f) <br>| 1785000  | 1507406  |
|  4% 7/1/47 (f) <br>| 1550000  | 1270888  |
|  5% 7/1/25 (f) <br>| 485000  | 490475  |
|  5% 7/1/29 (f) <br>| 1560000  | 1575444  |
|  5% 7/1/33 (f) <br>| 1445000  | 1447938  |
|  5% 7/1/37 (f) <br>| 2200000  | 2161050  |
|  Series 2021 C, 3.5% 7/1/26 (f)  | 250000  | 233786  |
|  Series 2022 A:  |  |  |
|  4% 7/1/42 (f) <br>| 6395000  | 5400482  |
|  4% 7/1/47 (f) <br>| 780000  | 639544  |
|  5% 7/1/25 (f) <br>| 760000  | 768579  |
|  5% 7/1/28 (f) <br>| 775000  | 783235  |
|  5% 7/1/29 (f) <br>| 540000  | 545346  |
|  5% 7/1/33 (f) <br>| 6425000  | 6438627  |
|  5% 7/1/37 (f) <br>| 6865000  | 6743457  |
|  Puerto Rico Commonwealth Hwy. & Trans. Auth. Hwy. Rev.:  |  |  |
|  Series 2007 CC, 5.5% 7/1/29  | 250000  | 254116  |
|  Series 2007, 5.5% 7/1/28 (Nat'l. Pub. Fin. Guarantee Corp. Insured)  | 250000  | 253714  |
|  Puerto Rico Commonwealth Hwy. & Trans. Auth. Trans. Rev.:  |  |  |
|  Series 1998 A, 5% 7/1/38 (Nat'l. Pub. Fin. Guarantee Corp. Insured)  | 120000  | 119181  |
|  Series 2002 D, 5% 7/1/32 (Assured Guaranty Muni. Corp. Insured)  | 1065000  | 1057032  |
|  Series 2004 J, 5% 7/1/29 (Nat'l. Pub. Fin. Guarantee Corp. Insured)  | 75000  | 74643  |
|  Series 2007 N, 5.25% 7/1/30 (AMBAC Insured)  | 1140000  | 1129971  |
|  Series 2007:  |  |  |
|  5% 7/1/32 (Assured Guaranty Corp. Insured) <br>| 140000  | 139307  |
|  5.25% 7/1/31 (AMBAC Insured) <br>| 670000  | 661039  |
|  5.25% 7/1/33 (Nat'l. Pub. Fin. Guarantee Corp. Insured) <br>| 250000  | 248561  |
|  Series A, 4.75% 7/1/38 (Nat'l. Pub. Fin. Guarantee Corp. Insured)  | 1250000  | 1198882  |
|  Puerto Rico Commonwealth Pub. Impt. Gen. Oblig.:  |  |  |
|  Series 2021 A1:  |  |  |
|  0% 7/1/24 <br>| 872188  | 801125  |
|  0% 7/1/33 <br>| 9305725  | 5092374  |
|  4% 7/1/33 <br>| 9786612  | 8506175  |
|  4% 7/1/35 <br>| 5779553  | 4914864  |
|  4% 7/1/37 <br>| 3528098  | 2939410  |
|  4% 7/1/46 <br>| 2816922  | 2166635  |
|  5.25% 7/1/23 <br>| 1165194  | 1170101  |
|  5.625% 7/1/27 <br>| 6056249  | 6195551  |
|  5.625% 7/1/29 <br>| 6803996  | 6963081  |
|  5.75% 7/1/31 <br>| 5593928  | 5734402  |
|  Series 2022 A1:  |  |  |
|  4% 7/1/41 <br>| 2708018  | 2168542  |
|  5.375% 7/1/25 <br>| 7465126  | 7567468  |
|  Series 2022, 0% 11/1/43 (b)  | 13723142  | 6244030  |
|  Puerto Rico Elec. Pwr. Auth. Pwr. Rev.:  |  |  |
|  Series 2003 NN, 4.75% 7/1/33 (Nat'l. Pub. Fin. Guarantee Corp. Insured)  | 45000  | 42936  |
|  Series 2004 PP, 5% 7/1/25 (FGIC Insured)  | 40000  | 40160  |
|  Series 2004:  |  |  |
|  5% 7/1/23 (Nat'l. Pub. Fin. Guarantee Corp. Insured) <br>| 250000  | 251334  |
|  5% 7/1/24 (Nat'l. Pub. Fin. Guarantee Corp. Insured) <br>| 280000  | 281118  |
|  Series 2005 RR, 5% 7/1/28 (CIFG North America Insured)  | 20000  | 20133  |
|  Series 2005 SS:  |  |  |
|  4.375% 7/1/30 <br>| 95000  | 91342  |
|  5% 7/1/24 (Nat'l. Pub. Fin. Guarantee Corp. Insured) <br>| 705000  | 707815  |
|  Series 2007 UU:  |  |  |
|  3 month U.S. LIBOR + 0.520% 2.046% 7/1/29 (Assured Guaranty Muni. Corp. Insured) (b)(c) <br>| 250000  | 234257  |
|  4.25% 7/1/27 (CIFG North America Insured) <br>| 295000  | 286366  |
|  5% 7/1/23 (Assured Guaranty Muni. Corp. Insured) <br>| 250000  | 251667  |
|  Series 2007 V, 5.25% 7/1/26 (Nat'l. Pub. Fin. Guarantee Corp. Insured)  | 475000  | 476529  |
|  Series 2007 VV:  |  |  |
|  5.25% 7/1/25 (Nat'l. Pub. Fin. Guarantee Corp. Insured) <br>| 55000  | 55213  |
|  5.25% 7/1/29 (Nat'l. Pub. Fin. Guarantee Corp. Insured) <br>| 490000  | 491305  |
|  5.25% 7/1/30 (FGIC Insured) <br>| 655000  | 655685  |
|  5.25% 7/1/34 (FGIC Insured) <br>| 95000  | 94189  |
|  Series 2007:  |  |  |
|  5% 7/1/17 <br>| 10000  | 7350  |
|  5% 7/1/20 <br>| 155000  | 113925  |
|  5% 7/1/21 <br>| 415000  | 305025  |
|  5% 7/1/23 <br>| 360000  | 265500  |
|  5% 7/1/24 <br>| 205000  | 205818  |
|  5% 7/1/24 <br>| 625000  | 460938  |
|  5% 7/1/24 (Assured Guaranty Muni. Corp. Insured) <br>| 250000  | 251667  |
|  5% 7/1/25 <br>| 195000  | 143813  |
|  5% 7/1/26 <br>| 5000  | 4988  |
|  5% 7/1/26 <br>| 240000  | 177000  |
|  5% 7/1/27 <br>| 740000  | 545750  |
|  5% 7/1/32 <br>| 1045000  | 770688  |
|  5% 7/1/37 <br>| 4730000  | 3488375  |
|  Series 2008 WW:  |  |  |
|  5% 7/1/28 <br>| 425000  | 313438  |
|  5.25% 7/1/25 <br>| 170000  | 125800  |
|  5.25% 7/1/33 <br>| 1165000  | 862100  |
|  5.375% 7/1/22 <br>| 75000  | 55594  |
|  5.5% 7/1/18 <br>| 130000  | 96363  |
|  5.5% 7/1/38 <br>| 1250000  | 929688  |
|  Series 2010 AAA:  |  |  |
|  5.25% 7/1/21 <br>| 180000  | 132750  |
|  5.25% 7/1/25 <br>| 15000  | 11100  |
|  5.25% 7/1/27 <br>| 205000  | 151700  |
|  5.25% 7/1/29 <br>| 705000  | 521700  |
|  5.25% 7/1/30 <br>| 85000  | 62900  |
|  Series 2010 BBB, 5.4% 7/1/28  | 250000  | 185000  |
|  Series 2010 CCC:  |  |  |
|  4.625% 7/1/25 <br>| 5000  | 3669  |
|  5% 7/1/21 <br>| 125000  | 91875  |
|  5% 7/1/24 <br>| 240000  | 177000  |
|  5% 7/1/27 <br>| 50000  | 36875  |
|  5% 7/1/28 <br>| 150000  | 110625  |
|  5.25% 7/1/26 <br>| 280000  | 207200  |
|  5.25% 7/1/27 <br>| 2040000  | 1509600  |
|  5.25% 7/1/28 <br>| 545000  | 403300  |
|  Series 2010 DDD:  |  |  |
|  3.3% 7/1/19 <br>| 5000  | 3600  |
|  3.625% 7/1/21 <br>| 105000  | 75600  |
|  3.625% 7/1/23 (Assured Guaranty Muni. Corp. Insured) <br>| 95000  | 94339  |
|  3.65% 7/1/24 (Assured Guaranty Muni. Corp. Insured) <br>| 405000  | 397387  |
|  5% 7/1/20 <br>| 90000  | 66150  |
|  5% 7/1/21 <br>| 1705000  | 1253175  |
|  5% 7/1/22 <br>| 1375000  | 1010625  |
|  Series 2010 EEE:  |  |  |
|  5.95% 7/1/30 <br>| 650000  | 482625  |
|  6.05% 7/1/32 <br>| 805000  | 597713  |
|  6.25% 7/1/40 <br>| 250000  | 185625  |
|  Series 2010 XX:  |  |  |
|  4.75% 7/1/26 <br>| 60000  | 44025  |
|  5.25% 7/1/27 <br>| 55000  | 40700  |
|  5.25% 7/1/35 <br>| 640000  | 473600  |
|  5.25% 7/1/40 <br>| 4930000  | 3648200  |
|  5.75% 7/1/36 <br>| 355000  | 265363  |
|  Series 2010 YY, 6.125% 7/1/40  | 1100000  | 816750  |
|  Series 2010 ZZ:  |  |  |
|  3.7% 7/1/17 <br>| 35000  | 25200  |
|  4.75% 7/1/27 <br>| 50000  | 36688  |
|  5% 7/1/17 <br>| 65000  | 47775  |
|  5% 7/1/18 <br>| 520000  | 382200  |
|  5% 7/1/19 <br>| 350000  | 257250  |
|  5% 7/1/28 <br>| 50000  | 36875  |
|  5.25% 7/1/19 <br>| 475000  | 350313  |
|  5.25% 7/1/23 <br>| 895000  | 662300  |
|  5.25% 7/1/24 <br>| 280000  | 207200  |
|  5.25% 7/1/26 <br>| 1310000  | 969400  |
|  Series 2012 A:  |  |  |
|  5% 7/1/29 <br>| 4885000  | 3602688  |
|  5% 7/1/42 <br>| 4230000  | 3119625  |
|  5.05% 7/1/42 <br>| 530000  | 389550  |
|  Series 2013 A:  |  |  |
|  6.75% 7/1/36 <br>| 2305000  | 1740275  |
|  7% 7/1/43 <br>| 250000  | 188750  |
|  Puerto Rico Indl. Tourist Edl., Med. and Envir. Fing. Auth. Series 2000 A, 5% 7/1/33 (Nat'l. Pub. Fin. Guarantee Corp. Insured)  | 560000  | 545545  |
|  Puerto Rico Muni. Fin. Agcy. Series 2002 A, 5% 8/1/27 (Assured Guaranty Muni. Corp. Insured)  | 40000  | 40267  |
|  Puerto Rico Sales Tax Fing. Corp. Sales Tax Rev.:  |  |  |
|  Series 2018 A1:  |  |  |
|  0% 7/1/24 <br>| 23000  | 21356  |
|  0% 7/1/27 <br>| 4414000  | 3552100  |
|  0% 7/1/29 <br>| 1772000  | 1286926  |
|  0% 7/1/31 <br>| 7794000  | 5052064  |
|  0% 7/1/33 <br>| 6585000  | 3795156  |
|  0% 7/1/46 <br>| 33558000  | 8415511  |
|  0% 7/1/51 <br>| 3590000  | 671015  |
|  4.55% 7/1/40 <br>| 610000  | 566587  |
|  4.75% 7/1/53 <br>| 15204000  | 13853952  |
|  5% 7/1/58 <br>| 24951000  | 23611398  |
|  Series 2019 A1, 4.5% 7/1/34  | 3159000  | 2974331  |
|  Series 2019 A2:  |  |  |
|  4.329% 7/1/40 <br>| 4277000  | 3863929  |
|  4.329% 7/1/40 <br>| 831000  | 750742  |
|  4.536% 7/1/53 <br>| 448000  | 389751  |
|  4.784% 7/1/58 <br>| 1874000  | 1708352  |
|  Univ. of Puerto Rico Series 2006 P, 5% 6/1/25  | 70000  | 70279  |
|  TOTAL PUERTO RICO  |  | 240978135  |
| Rhode Island - 0.1%  |  |  |
|  Providence Gen. Oblig. Series 2013 A, 5% 1/15/25 (Pre-Refunded to 1/15/23 @ 100)  | 285000  | 285852  |
|  Rhode Island Health & Edl. Bldg. Corp. Higher Ed. Facilities Rev.:  |  |  |
|  Series 2013 A:  |  |  |
|  5.5% 9/1/28 (Pre-Refunded to 9/1/23 @ 100) <br>| 420000  | 429085  |
|  6% 9/1/33 (Pre-Refunded to 9/1/23 @ 100) <br>| 565000  | 579212  |
|  Series 2016 B:  |  |  |
|  5% 9/1/31 <br>| 270000  | 260597  |
|  5% 9/1/36 <br>| 1560000  | 1427788  |
|  Series 2016:  |  |  |
|  5% 5/15/26 <br>| 375000  | 388107  |
|  5% 5/15/34 <br>| 385000  | 390040  |
|  5% 5/15/39 <br>| 1915000  | 1923230  |
|  Rhode Island Health and Edl. Bldg. Corp. Higher Ed. Facility Rev.:  |  |  |
|  Series 2009 B, 5.25% 9/15/29  | 285000  | 285347  |
|  Series 2021 B:  |  |  |
|  4% 11/1/37 <br>| 140000  | 138558  |
|  4% 11/1/38 <br>| 145000  | 142641  |
|  4% 11/1/39 <br>| 180000  | 176255  |
|  4% 11/1/40 <br>| 190000  | 184772  |
|  4% 11/1/41 <br>| 35000  | 33947  |
|  5% 11/1/28 <br>| 70000  | 76829  |
|  5% 11/1/29 <br>| 80000  | 88654  |
|  5% 11/1/30 <br>| 80000  | 89695  |
|  5% 11/1/31 <br>| 85000  | 96133  |
|  5% 11/1/32 <br>| 90000  | 101644  |
|  5% 11/1/33 <br>| 90000  | 100998  |
|  5% 11/1/34 <br>| 95000  | 106173  |
|  5% 11/1/35 <br>| 105000  | 116706  |
|  5% 11/1/36 <br>| 110000  | 121777  |
|  Rhode Island Hsg. & Mtg. Fin. Corp.:  |  |  |
|  Series 2019 70, 4% 10/1/49  | 245000  | 245149  |
|  Series 2021 74, 3% 4/1/49  | 1840000  | 1782433  |
|  Rhode Island Hsg. & Mtg. Fin. Corp. Rev. Series 72 A, 3.5% 10/1/50  | 405000  | 399350  |
|  Rhode Island Student Ln. Auth. Student Ln. Rev.:  |  |  |
|  Series 2016 A, 5% 12/1/22 (d)  | 145000  | 145000  |
|  Series 2020 A, 3.625% 12/1/37 (d)  | 785000  | 744049  |
|  Series 2021 A:  |  |  |
|  2.25% 12/1/39 (d) <br>| 530000  | 447127  |
|  5% 12/1/28 (d) <br>| 185000  | 198980  |
|  5% 12/1/29 (d) <br>| 145000  | 157443  |
|  5% 12/1/30 (d) <br>| 135000  | 147431  |
|  Series 2022 1, 4.125% 12/1/41 (d)  | 1395000  | 1340285  |
|  Series A:  |  |  |
|  3.5% 12/1/34 (d) <br>| 420000  | 412388  |
|  5% 12/1/24 (d) <br>| 540000  | 558042  |
|  5% 12/1/28 (d) <br>| 1200000  | 1303489  |
|  Tobacco Settlement Fing. Corp. Series 2007 A, 0% 6/1/52  | 2300000  | 372194  |
|  TOTAL RHODE ISLAND  |  | 15797400  |
| South Carolina - 0.7%  |  |  |
|  Charleston County Arpt. District Series 2019:  |  |  |
|  5% 7/1/43  | 445000  | 466236  |
|  5% 7/1/48  | 790000  | 820183  |
|  Connector 2000 Assoc., Inc. Toll Road Rev. Series 2011 A1:  |  |  |
|  0% 1/1/32  | 2084596  | 1067378  |
|  0% 1/1/42  | 6087835  | 1365915  |
|  0% 7/22/51  | 13651352  | 1363206  |
|  Horry County S C Ltd. Oblig. Series 2022, 4.5% 9/1/52  | 3500000  | 3523008  |
|  Lexington County Health Svcs. District, Inc. Hosp. Rev. Series 2017, 5% 11/1/28  | 135000  | 144904  |
|  North Charleston Ltd. Oblig. Series 2017 A, 5% 10/1/40  | 825000  | 865334  |
|  Patriots Energy Group Fing. Agcy. Bonds Series 2018 A, 4%, tender 2/1/24 (b)  | 2260000  | 2268178  |
|  Rock Hill Util. Sys. Rev. Series 2019 A, 4% 1/1/49  | 925000  | 871967  |
|  Scago Edl. Facilities Corp. for Colleton School District (School District of Colleton County Proj.) Series 2015:  |  |  |
|  5% 12/1/25  | 330000  | 345900  |
|  5% 12/1/28  | 690000  | 721976  |
|  South Carolina Hsg. Fin. & Dev. Auth. Mtg. Rev.:  |  |  |
|  Series 2019 A, 4% 1/1/50  | 425000  | 425094  |
|  Series 2022 A:  |  |  |
|  5% 1/1/29 <br>| 15000  | 16481  |
|  5% 7/1/29 <br>| 30000  | 33169  |
|  5% 1/1/30 <br>| 30000  | 33211  |
|  5% 7/1/30 <br>| 30000  | 33422  |
|  5% 1/1/31 <br>| 30000  | 33467  |
|  5% 7/1/31 <br>| 30000  | 33575  |
|  Series 2022 B, 5% 1/1/52  | 3180000  | 3313510  |
|  South Carolina Jobs-Econ. Dev. Auth.:  |  |  |
|  (Green Charter Schools Proj.) Series 2021 A, 4% 6/1/36 (f)  | 100000  | 83062  |
|  Series 2016, 5.25% 7/1/47  | 1795000  | 1835523  |
|  Series 2017:  |  |  |
|  5% 4/1/47 <br>| 445000  | 372470  |
|  5% 4/1/52 <br>| 255000  | 208851  |
|  Series 2018 A:  |  |  |
|  5% 5/1/35 <br>| 640000  | 669125  |
|  5% 5/1/36 <br>| 1475000  | 1537434  |
|  5% 4/1/48 <br>| 210000  | 174960  |
|  5% 5/1/48 <br>| 1425000  | 1446120  |
|  Series 2019 C:  |  |  |
|  5% 7/1/32 <br>| 1305000  | 1397062  |
|  5% 7/1/33 <br>| 965000  | 1029768  |
|  South Carolina Jobs-Econ. Dev. Auth. Econ. Dev. Rev.:  |  |  |
|  Series 2017, 5.25% 11/15/47  | 250000  | 233536  |
|  Series 2022 A, 4% 4/1/52  | 200000  | 180688  |
|  South Carolina Jobs-Econ. Dev. Auth. Hosp. Impt. Rev. Series 2020 A, 4% 12/1/44  | 1310000  | 1215520  |
|  South Carolina Jobs-Econ. Dev. Auth. Solid Waste Disp. Rev.:  |  |  |
|  (Repower South Berkeley, LLC Proj.) Series 2017:  |  |  |
|  6% 2/1/35 (d)(f) <br>| 890000  | 356000  |
|  6.25% 2/1/45 (d)(f) <br>| 1795000  | 718000  |
|  Series 2019, 8% 12/6/29  | 280000  | 228658  |
|  South Carolina Jobs-Economoc Dev. Auth. Retirement Cmnty. Rev. Series 2018 C, 5% 11/15/47  | 570000  | 551059  |
|  South Carolina Ports Auth. Ports Rev.:  |  |  |
|  Series 2015:  |  |  |
|  5.25% 7/1/50 (Pre-Refunded to 7/1/25 @ 100) (d) <br>| 655000  | 690266  |
|  5.25% 7/1/55 (Pre-Refunded to 7/1/25 @ 100) (d) <br>| 135000  | 142269  |
|  Series 2018:  |  |  |
|  5% 7/1/37 (d) <br>| 180000  | 187158  |
|  5% 7/1/38 (d) <br>| 385000  | 399386  |
|  5% 7/1/43 (d) <br>| 965000  | 990320  |
|  5% 7/1/48 (d) <br>| 665000  | 678395  |
|  Series 2019 B:  |  |  |
|  4% 7/1/35 (d) <br>| 725000  | 720964  |
|  4% 7/1/37 (d) <br>| 1125000  | 1091934  |
|  4% 7/1/39 (d) <br>| 1115000  | 1055067  |
|  5% 7/1/44 (d) <br>| 1705000  | 1753037  |
|  South Carolina Pub. Svc. Auth. Rev.:  |  |  |
|  Series 2014 A, 5% 12/1/49  | 500000  | 500996  |
|  Series 2014 C, 5% 12/1/26  | 5000  | 5164  |
|  Series 2015 C, 5% 12/1/22  | 1030000  | 1030000  |
|  Series 2015 E, 5.25% 12/1/55  | 745000  | 749393  |
|  Series 2016 A:  |  |  |
|  5% 12/1/29 <br>| 365000  | 382732  |
|  5% 12/1/32 <br>| 1000000  | 1063030  |
|  5% 12/1/33 <br>| 15000  | 15552  |
|  5% 12/1/38 <br>| 35000  | 35571  |
|  Series 2016 B:  |  |  |
|  5% 12/1/31 <br>| 135000  | 141589  |
|  5% 12/1/35 <br>| 205000  | 211382  |
|  5% 12/1/36 <br>| 305000  | 312764  |
|  5% 12/1/41 <br>| 1835000  | 1866035  |
|  5% 12/1/46 <br>| 1250000  | 1264067  |
|  5% 12/1/56 <br>| 240000  | 239395  |
|  Series 2016 C:  |  |  |
|  5% 12/1/24 <br>| 30000  | 31120  |
|  5% 12/1/25 <br>| 35000  | 36763  |
|  5% 12/1/26 <br>| 55000  | 58487  |
|  Series 2020 A:  |  |  |
|  4% 12/1/40 <br>| 250000  | 244340  |
|  5% 12/1/31 <br>| 350000  | 389549  |
|  Series 2021 B:  |  |  |
|  4% 12/1/47 <br>| 1000000  | 945773  |
|  5% 12/1/51 <br>| 2835000  | 2857579  |
|  Series 2022 A:  |  |  |
|  4% 12/1/52 <br>| 860000  | 784667  |
|  5% 12/1/36 <br>| 1500000  | 1621246  |
|  Series 2022 B, 4% 12/1/29  | 491000  | 505148  |
|  Series 2022 E:  |  |  |
|  5% 12/1/52 (Assured Guaranty Muni. Corp. Insured) <br>| 2000000  | 2049751  |
|  5.5% 12/1/42 (Assured Guaranty Muni. Corp. Insured) <br>| 750000  | 827691  |
|  Series A, 5% 12/1/23  | 970000  | 988754  |
|  Series B, 5% 12/1/24  | 160000  | 165974  |
|  South Carolina Student Ln. Corp. Series 2020 A:  |  |  |
|  2.641% 12/1/26  | 1705000  | 1537963  |
|  2.771% 12/1/27  | 790000  | 699049  |
|  2.923% 12/1/28  | 585000  | 509707  |
|  2.993% 12/1/29  | 380000  | 324602  |
|  3.043% 12/1/30  | 120000  | 100436  |
|  3.593% 12/1/39  | 885000  | 688652  |
|  South Carolina Trans. Infrastructure Bank Rev. Series 2017 A:  |  |  |
|  5% 10/1/35 (Assured Guaranty Muni. Corp. Insured)  | 800000  | 860796  |
|  5% 10/1/36  | 1550000  | 1660177  |
|  Spartanburg County Reg'l. Health:  |  |  |
|  Series 2017 A:  |  |  |
|  4% 4/15/43 <br>| 2835000  | 2578977  |
|  4% 4/15/48 <br>| 1975000  | 1745221  |
|  5% 4/15/48 <br>| 7110000  | 7248309  |
|  Series 2020 A, 4% 4/15/45 (Assured Guaranty Muni. Corp. Insured)  | 230000  | 218248  |
|  Univ. of South Carolina Higher Ed. Rev. (Campus Village Proj.) Series 2021 A, 4% 5/1/51  | 700000  | 657855  |
|  TOTAL SOUTH CAROLINA  |  | 75847250  |
| South Dakota - 0.1%  |  |  |
|  Sioux Falls Health Facilities Rev. (Dow Rummel Village Proj.) Series 2017:  |  |  |
|  5% 11/1/28  | 200000  | 195197  |
|  5% 11/1/30  | 215000  | 207099  |
|  5% 11/1/32  | 195000  | 185044  |
|  5% 11/1/42  | 280000  | 246514  |
|  South Dakota Conservancy District Rev. Series 2018, 5% 8/1/38  | 500000  | 545173  |
|  South Dakota Edl. Enhancement Fdg. Corp. Rev.:  |  |  |
|  Series 2013 B:  |  |  |
|  5% 6/1/24 (Pre-Refunded to 6/1/23 @ 100) <br>| 210000  | 212522  |
|  5% 6/1/25 (Pre-Refunded to 6/1/23 @ 100) <br>| 210000  | 212522  |
|  5% 6/1/26 (Pre-Refunded to 6/1/23 @ 100) <br>| 295000  | 298542  |
|  Series 2021:  |  |  |
|  0.961% 6/1/24 <br>| 425000  | 400339  |
|  1.245% 6/1/25 <br>| 745000  | 678121  |
|  1.495% 6/1/26 <br>| 530000  | 467720  |
|  South Dakota Health & Edl. Facilities Auth. Rev.:  |  |  |
|  (Avera Health Proj.) Series 2017, 5% 7/1/31  | 80000  | 86381  |
|  Bonds Series 2019 A, 5%, tender 7/1/24 (b)  | 100000  | 102703  |
|  Series 2017:  |  |  |
|  5% 7/1/26 <br>| 35000  | 37259  |
|  5% 7/1/28 <br>| 35000  | 38034  |
|  5% 7/1/29 <br>| 70000  | 76023  |
|  5% 7/1/30 <br>| 45000  | 48850  |
|  5% 7/1/35 <br>| 40000  | 42177  |
|  5% 9/1/40 <br>| 670000  | 686714  |
|  Series 2020 A, 3% 9/1/45  | 1465000  | 1092777  |
|  TOTAL SOUTH DAKOTA  |  | 5859711  |
| State Is Blank - 0.0%  |  |  |
|  Toll Road Investors Partnership II, LP 0% 2/15/25 (f)  | 1704000  | 1461086  |
| Tennessee - 0.9%  |  |  |
|  Blount County Health & Edl. Facilities Board Rev. Series 2016 A, 5% 1/1/47  | 1150000  | 699469  |
|  Chattanooga Health Ed. & Hsg. Facility Board Rev.:  |  |  |
|  (CDFI Phase I, LLC - Univ. of Tennessee at Chattanooga Proj.) Series 2015, 5% 10/1/35  | 385000  | 385376  |
|  Series 2013 A, 5.25% 1/1/45 (Pre-Refunded to 1/1/23 @ 100)  | 2095000  | 2099380  |
|  Series 2019 A1:  |  |  |
|  4% 8/1/44 <br>| 1680000  | 1457183  |
|  5% 8/1/25 <br>| 40000  | 41755  |
|  Series 2019 A2:  |  |  |
|  5% 8/1/37 <br>| 50000  | 51881  |
|  5% 8/1/44 <br>| 210000  | 212717  |
|  Chattanooga-Hamilton County Hosp. Auth. Rev. Series 2014 A, 5% 10/1/44  | 250000  | 250459  |
|  Clarksville Wtr. Swr.&Gas Rev. Series 2021 A, 4% 2/1/51  | 4000000  | 3767880  |
|  Greeneville Health & Edl. Facilities Board Series 2018 A, 5% 7/1/36  | 960000  | 991652  |
|  Jackson Hosp. Rev. Series 2018 A:  |  |  |
|  5% 4/1/27  | 40000  | 42644  |
|  5% 4/1/28  | 25000  | 26862  |
|  5% 4/1/41  | 1375000  | 1389964  |
|  5% 4/1/41 (Pre-Refunded to 10/1/28 @ 100)  | 65000  | 72325  |
|  Knox County Health Edl. & Hsg. Facilities:  |  |  |
|  Series 2012 A, 5% 1/1/26  | 385000  | 385520  |
|  Series 2016 A, 5% 1/1/42  | 1495000  | 1521455  |
|  Knox County Health Edl. & Hsg. Facilities Board Rev.:  |  |  |
|  Series 2017:  |  |  |
|  5% 4/1/30 <br>| 165000  | 171860  |
|  5% 4/1/36 <br>| 595000  | 609973  |
|  Series 2020 A:  |  |  |
|  5% 9/1/30 <br>| 1545000  | 1616049  |
|  5% 9/1/40 <br>| 3525000  | 3562894  |
|  Memphis-Shelby County Arpt. Auth. Arpt. Rev.:  |  |  |
|  Series 2018, 5% 7/1/37 (d)  | 565000  | 583211  |
|  Series 2021 A:  |  |  |
|  5% 7/1/31 (d) <br>| 50000  | 54405  |
|  5% 7/1/32 (d) <br>| 245000  | 265069  |
|  5% 7/1/33 (d) <br>| 370000  | 398708  |
|  5% 7/1/34 (d) <br>| 785000  | 840406  |
|  5% 7/1/35 (d) <br>| 825000  | 877819  |
|  5% 7/1/36 (d) <br>| 870000  | 921747  |
|  5% 7/1/37 (d) <br>| 910000  | 959773  |
|  5% 7/1/38 (d) <br>| 960000  | 1009146  |
|  5% 7/1/39 (d) <br>| 1005000  | 1051881  |
|  5% 7/1/40 (d) <br>| 415000  | 432313  |
|  Metropolitan Govt. Nashville & Davidson County Wtr. & Swr. Sys. Rev.:  |  |  |
|  Series 2017 A, 5% 7/1/42  | 480000  | 508771  |
|  Series 2017 B:  |  |  |
|  5% 7/1/42 <br>| 600000  | 635964  |
|  5% 7/1/46 <br>| 950000  | 1000017  |
|  Metropolitan Govt. of Nashville & Davidson County:  |  |  |
|  Series 2019, 5% 10/1/34  | 35000  | 35654  |
|  Series 2021, 4% 5/1/51  | 400000  | 351288  |
|  Metropolitan Nashville Arpt. Auth. Rev.:  |  |  |
|  Series 2015 B, 4% 7/1/25 (d)  | 310000  | 314375  |
|  Series 2019 B:  |  |  |
|  4% 7/1/49 (d) <br>| 2500000  | 2221852  |
|  5% 7/1/27 (d) <br>| 435000  | 460709  |
|  5% 7/1/28 (d) <br>| 675000  | 721617  |
|  5% 7/1/35 (d) <br>| 360000  | 380756  |
|  5% 7/1/38 (d) <br>| 2325000  | 2432267  |
|  5% 7/1/44 (d) <br>| 2560000  | 2629777  |
|  5% 7/1/49 (d) <br>| 1180000  | 1203791  |
|  5% 7/1/54 (d) <br>| 5300000  | 5357926  |
|  Series 2022 B:  |  |  |
|  5.5% 7/1/41 (d) <br>| 375000  | 406227  |
|  5.5% 7/1/52 (d) <br>| 2580000  | 2750686  |
|  Nashville and Davidson County Metropolitan Govt. Gen. Oblig.:  |  |  |
|  Series 2021 C, 5% 1/1/30  | 8475000  | 9669254  |
|  Series 2022 A, 4% 1/1/40  | 250000  | 253415  |
|  Nashville and Davidson County Metropolitan Govt. Health & Edl. Facilities Board Rev.:  |  |  |
|  (Lipscomb Univ. Proj.):  |  |  |
|  Series 2016 A, 5% 10/1/45 <br>| 300000  | 300087  |
|  Series 2019 A: <br>|  |  |
|  4% 10/1/49 <br>| 1000000  | 818593  |
|  5.25% 10/1/58 <br>| 765000  | 767751  |
|  Series 2016 A:  |  |  |
|  5% 7/1/35 <br>| 1400000  | 1442615  |
|  5% 7/1/40 <br>| 460000  | 469337  |
|  5% 7/1/46 <br>| 3905000  | 3956142  |
|  New Memphis Arena Bldg. Auth. (City of Memphis Proj.) Series 2021:  |  |  |
|  0% 4/1/32  | 120000  | 82030  |
|  0% 4/1/33  | 170000  | 110450  |
|  0% 4/1/34  | 100000  | 61742  |
|  0% 4/1/35  | 130000  | 75567  |
|  0% 4/1/36  | 125000  | 68489  |
|  0% 4/1/37  | 150000  | 77705  |
|  0% 4/1/38  | 125000  | 61409  |
|  Shelby County Health Edl. & Hsg. Facilities Board Rev. (Methodist Le Bonheur Health Proj.) Series 2017 A:  |  |  |
|  5% 5/1/25  | 75000  | 78272  |
|  5% 5/1/27  | 70000  | 75125  |
|  5% 5/1/29  | 70000  | 75824  |
|  5% 5/1/30  | 135000  | 146164  |
|  5% 5/1/31  | 70000  | 75416  |
|  Shelby County Health Edl. & Hsg. Facility Board Residential Care Facilitiy Mtg. Rev. Series 2014:  |  |  |
|  5% 12/1/34  | 70000  | 69007  |
|  5.25% 12/1/44  | 165000  | 160800  |
|  5.25% 12/1/49  | 470000  | 450389  |
|  Tennergy Corp. Gas Rev. Bonds:  |  |  |
|  Series 2019 A, 5%, tender 10/1/24 (b)  | 130000  | 132716  |
|  Series 2022 A, 5.5%, tender 12/1/30 (b)  | 5150000  | 5378815  |
|  Tennessee Energy Acquisition Corp.:  |  |  |
|  Bonds:  |  |  |
|  (Gas Rev. Proj.) Series A, 4%, tender 5/1/23 (b) <br>| 375000  | 375553  |
|  Series 2018, 4%, tender 11/1/25 (b) <br>| 8265000  | 8226494  |
|  Series 2021 A, 5%, tender 11/1/31 (b) <br>| 225000  | 231919  |
|  Series 2006 A:  |  |  |
|  5.25% 9/1/23 <br>| 505000  | 509223  |
|  5.25% 9/1/24 <br>| 1995000  | 2029525  |
|  5.25% 9/1/26 <br>| 2270000  | 2341656  |
|  Tennessee Hsg. Dev. Agcy. Residential:  |  |  |
|  Series 2014 2C, 4% 1/1/45  | 70000  | 70116  |
|  Series 2018 1, 4% 1/1/43  | 295000  | 295221  |
|  Series 2018 3, 4.25% 7/1/49  | 360000  | 362129  |
|  Series 2018, 4.5% 7/1/49  | 625000  | 632676  |
|  Series 2019 1, 3.75% 7/1/39  | 185000  | 180527  |
|  Series 2021 1, 3% 7/1/51  | 2130000  | 2062866  |
|  Series 2021 3A, 3% 1/1/52  | 855000  | 822952  |
|  Series 2022 1:  |  |  |
|  5% 7/1/28 <br>| 425000  | 465361  |
|  5% 1/1/29 <br>| 230000  | 252181  |
|  5% 7/1/29 <br>| 400000  | 441259  |
|  5% 1/1/30 <br>| 465000  | 514464  |
|  5% 7/1/30 <br>| 470000  | 522947  |
|  5% 1/1/31 <br>| 220000  | 244435  |
|  5% 7/1/31 <br>| 500000  | 557620  |
|  TOTAL TENNESSEE  |  | 94159691  |
| Texas - 3.8%  |  |  |
|  Aldine Independent School District Series 2016, 4% 2/15/31  | 520000  | 532208  |
|  Argyle Independent School District Series 2022, 5% 8/15/47  | 975000  | 1070957  |
|  Arlington Higher Ed. Fin. Corp.:  |  |  |
|  Bonds Series 2021, 4.5%, tender 6/15/26 (b)(f)  | 200000  | 191298  |
|  Series 2017 A, 5% 12/1/47  | 565000  | 595454  |
|  Series 2019:  |  |  |
|  5% 8/15/28 <br>| 135000  | 149397  |
|  5% 8/15/29 <br>| 125000  | 140252  |
|  5% 8/15/30 <br>| 180000  | 201606  |
|  5% 8/15/31 <br>| 130000  | 145066  |
|  5% 8/15/32 <br>| 130000  | 145312  |
|  Series 2022:  |  |  |
|  5% 8/15/47 <br>| 785000  | 848338  |
|  5% 8/15/57 <br>| 1190000  | 1228203  |
|  Arlington Independent School District Series 2022, 5% 2/15/36  | 345000  | 389263  |
|  Arlington Spl. Tax Rev. Series 2018 A:  |  |  |
|  5% 2/15/37 (Assured Guaranty Muni. Corp. Insured)  | 255000  | 269769  |
|  5% 2/15/38 (Assured Guaranty Muni. Corp. Insured)  | 205000  | 215906  |
|  5% 2/15/43 (Assured Guaranty Muni. Corp. Insured)  | 3170000  | 3312404  |
|  5% 2/15/48 (Assured Guaranty Muni. Corp. Insured)  | 1760000  | 1831258  |
|  Austin Arpt. Sys. Rev.:  |  |  |
|  Series 2014:  |  |  |
|  5% 11/15/26 (d) <br>| 120000  | 123475  |
|  5% 11/15/27 (d) <br>| 150000  | 154319  |
|  5% 11/15/28 (d) <br>| 185000  | 189988  |
|  5% 11/15/39 (d) <br>| 1685000  | 1702034  |
|  5% 11/15/44 (d) <br>| 2665000  | 2665424  |
|  Series 2017 B:  |  |  |
|  5% 11/15/28 (d) <br>| 120000  | 126328  |
|  5% 11/15/30 (d) <br>| 185000  | 194175  |
|  5% 11/15/32 (d) <br>| 150000  | 156584  |
|  5% 11/15/35 (d) <br>| 150000  | 154911  |
|  5% 11/15/36 (d) <br>| 255000  | 262842  |
|  5% 11/15/37 (d) <br>| 175000  | 180094  |
|  5% 11/15/41 (d) <br>| 1395000  | 1415802  |
|  Series 2019 B:  |  |  |
|  5% 11/15/31 (d) <br>| 965000  | 1041023  |
|  5% 11/15/36 (d) <br>| 1150000  | 1208643  |
|  5% 11/15/44 (d) <br>| 2320000  | 2370490  |
|  5% 11/15/48 (d) <br>| 1450000  | 1473276  |
|  Series 2022:  |  |  |
|  5% 11/15/39 (d) <br>| 1260000  | 1330520  |
|  5% 11/15/52 (d) <br>| 2825000  | 2885939  |
|  5.25% 11/15/47 (d) <br>| 2815000  | 2957839  |
|  Austin Convention Enterprises, Inc.:  |  |  |
|  Series 2017 A:  |  |  |
|  5% 1/1/28 <br>| 125000  | 128176  |
|  5% 1/1/29 <br>| 150000  | 153608  |
|  5% 1/1/30 <br>| 290000  | 296724  |
|  5% 1/1/31 <br>| 630000  | 644308  |
|  5% 1/1/32 <br>| 470000  | 479723  |
|  5% 1/1/33 <br>| 440000  | 448090  |
|  5% 1/1/34 <br>| 885000  | 900171  |
|  Series 2017 B:  |  |  |
|  5% 1/1/23 <br>| 70000  | 69999  |
|  5% 1/1/26 <br>| 410000  | 410609  |
|  5% 1/1/28 <br>| 135000  | 135028  |
|  5% 1/1/29 <br>| 160000  | 159666  |
|  5% 1/1/30 <br>| 95000  | 94647  |
|  5% 1/1/32 <br>| 315000  | 311613  |
|  5% 1/1/34 <br>| 490000  | 480830  |
|  Austin Wtr. & Wastewtr. Sys. Rev.:  |  |  |
|  Series 2012, 5% 11/15/27  | 380000  | 380756  |
|  Series 2016, 5% 11/15/33  | 130000  | 139561  |
|  Belton Independent School District Series 2022, 4% 2/15/52  | 605000  | 591538  |
|  Bexar County Health Facilities Dev. Corp. Rev. Series 2016, 4% 7/15/36  | 280000  | 235791  |
|  Bexar County Hosp. District Series 2018, 4% 2/15/37  | 500000  | 503970  |
|  Board of Managers, Joint Guadalupe County, City of Seguin Hosp. Series 2015:  |  |  |
|  5% 12/1/28  | 195000  | 198480  |
|  5% 12/1/29  | 500000  | 508455  |
|  5% 12/1/30  | 240000  | 243791  |
|  5% 12/1/40  | 965000  | 950346  |
|  5% 12/1/45  | 935000  | 907687  |
|  5.25% 12/1/35  | 290000  | 293548  |
|  Brazos Higher Ed. Auth.:  |  |  |
|  Series 2020 1A, 2.35% 4/1/40 (d)  | 10000  | 9916  |
|  Series 2020 1B, 3% 4/1/40 (d)  | 190000  | 143891  |
|  Series 2021 A, 3.414% 4/1/40  | 15000  | 14958  |
|  Calhoun County Navigation Indl. Dev. Auth. (Max Midstream Texas, LLC Proj.):  |  |  |
|  Series 2021 A, 3.625% 7/1/26 (d)(f)  | 400000  | 359394  |
|  Series 2021 B, 6.5% 7/1/26 (f)  | 300000  | 280127  |
|  Central Reg'l. Mobility Auth.:  |  |  |
|  Series 2015 A:  |  |  |
|  5% 1/1/28 <br>| 325000  | 338771  |
|  5% 1/1/31 (Pre-Refunded to 7/1/25 @ 100) <br>| 55000  | 58254  |
|  5% 1/1/32 (Pre-Refunded to 7/1/25 @ 100) <br>| 120000  | 127101  |
|  5% 1/1/40 (Pre-Refunded to 7/1/25 @ 100) <br>| 1670000  | 1768817  |
|  5% 1/1/45 (Pre-Refunded to 7/1/25 @ 100) <br>| 1085000  | 1149201  |
|  Series 2016, 4% 1/1/41  | 250000  | 235745  |
|  Series 2018, 5% 1/1/25  | 65000  | 67467  |
|  Series 2020 A, 5% 1/1/49  | 220000  | 227402  |
|  Series 2020 B:  |  |  |
|  4% 1/1/34 <br>| 20000  | 20278  |
|  4% 1/1/35 <br>| 15000  | 15110  |
|  4% 1/1/36 <br>| 15000  | 15044  |
|  4% 1/1/37 <br>| 20000  | 19909  |
|  4% 1/1/38 <br>| 30000  | 29696  |
|  4% 1/1/39 <br>| 40000  | 39243  |
|  4% 1/1/40 <br>| 15000  | 14583  |
|  5% 1/1/27 <br>| 15000  | 15998  |
|  5% 1/1/28 <br>| 15000  | 16203  |
|  5% 1/1/29 <br>| 55000  | 60050  |
|  5% 1/1/30 <br>| 25000  | 27510  |
|  5% 1/1/31 <br>| 15000  | 16464  |
|  5% 1/1/32 <br>| 15000  | 16401  |
|  5% 1/1/33 <br>| 20000  | 21813  |
|  5% 1/1/45 <br>| 100000  | 104357  |
|  Series 2020 E, 4% 1/1/50  | 1205000  | 1101552  |
|  Series 2020 G, 4% 1/1/45  | 1070000  | 980192  |
|  Series 2021 B:  |  |  |
|  4% 1/1/40 <br>| 105000  | 102078  |
|  4% 1/1/41 <br>| 80000  | 76880  |
|  4% 1/1/51 <br>| 1565000  | 1424751  |
|  5% 1/1/30 <br>| 65000  | 71526  |
|  5% 1/1/32 <br>| 80000  | 88386  |
|  5% 1/1/34 <br>| 70000  | 76693  |
|  5% 1/1/39 <br>| 105000  | 112092  |
|  5% 1/1/46 <br>| 3340000  | 3477701  |
|  Series 2021 C, 5% 1/1/27  | 2780000  | 2935269  |
|  Clifton Higher Ed. Fin. Corp. Ed. Rev.:  |  |  |
|  Series 2018 D, 6.125% 8/15/48  | 2250000  | 2287470  |
|  Series 2021 T, 4% 8/15/47  | 250000  | 227696  |
|  Series 2022, 4.25% 8/15/52  | 750000  | 753554  |
|  College of the Mainland Series 2020, 4% 8/15/44  | 475000  | 468161  |
|  Collin County Series 2019, 5% 2/15/26  | 150000  | 160894  |
|  Collin County Cmnty. College District Series 2018, 3.5% 8/15/37  | 500000  | 470541  |
|  Conroe Local Govt. Corp. Hotel Rev. Series 2021 C:  |  |  |
|  4% 10/1/41  | 60000  | 58753  |
|  4% 10/1/46  | 70000  | 65593  |
|  4% 10/1/50  | 50000  | 46016  |
|  Conroe Local Govt. Hotel Rev.:  |  |  |
|  Series 2021 A:  |  |  |
|  2.5% 10/1/31 <br>| 90000  | 74844  |
|  4% 10/1/50 <br>| 540000  | 434743  |
|  Series 2021 B:  |  |  |
|  3.5% 10/1/31 (f) <br>| 45000  | 37844  |
|  5% 10/1/50 (f) <br>| 390000  | 320529  |
|  Dallas Area Rapid Transit Sales Tax Rev.:  |  |  |
|  Series 2020 A, 5% 12/1/45  | 1180000  | 1274053  |
|  Series 2021 B, 5% 12/1/47  | 1470000  | 1588748  |
|  Dallas Fort Worth Int'l. Arpt. Rev.:  |  |  |
|  Series 2013 F, 5.25% 11/1/30  | 605000  | 617107  |
|  Series 2014 A:  |  |  |
|  5% 11/1/32 (d) <br>| 1160000  | 1170875  |
|  5.25% 11/1/30 (d) <br>| 1785000  | 1807000  |
|  Series 2020 B:  |  |  |
|  4% 11/1/34 <br>| 280000  | 282542  |
|  4% 11/1/35 <br>| 250000  | 251837  |
|  4% 11/1/35 <br>| 2460000  | 2478077  |
|  Series 2021 B:  |  |  |
|  4% 11/1/45 <br>| 2000000  | 1901944  |
|  5% 11/1/43 <br>| 200000  | 212569  |
|  Dallas Hotel Occupancy Tax Series 2021:  |  |  |
|  4% 8/15/29  | 435000  | 439722  |
|  4% 8/15/30  | 485000  | 489514  |
|  4% 8/15/31  | 245000  | 246713  |
|  4% 8/15/32  | 200000  | 200819  |
|  4% 8/15/33  | 200000  | 200104  |
|  4% 8/15/36  | 625000  | 614612  |
|  4% 8/15/38  | 500000  | 486664  |
|  Dallas Independent School District Series 2019:  |  |  |
|  5% 2/15/24  | 45000  | 46271  |
|  5% 2/15/25  | 65000  | 68168  |
|  Dallas Wtrwks. & Swr. Sys. Rev. Series 2017, 5% 10/1/46  | 3375000  | 3552339  |
|  Danbury Higher Ed. Auth., Inc. Series 2019 A, 4% 8/15/49  | 250000  | 203208  |
|  Denton County Gen. Oblig. Series 2020, 4% 5/15/27  | 125000  | 131090  |
|  Denton Independent School District Bonds Series 2014 B:  |  |  |
|  2%, tender 8/1/24 (b)  | 5000  | 4953  |
|  2%, tender 8/1/24 (b)  | 35000  | 34155  |
|  Eagle Pass Rev.:  |  |  |
|  Series 2021, 5% 3/1/29 (Assured Guaranty Muni. Corp. Insured)  | 50000  | 55862  |
|  Series 2021:  |  |  |
|  4% 3/1/32 (Assured Guaranty Muni. Corp. Insured) <br>| 70000  | 74621  |
|  4% 3/1/33 (Assured Guaranty Muni. Corp. Insured) <br>| 60000  | 63521  |
|  4% 3/1/34 (Assured Guaranty Muni. Corp. Insured) <br>| 55000  | 57653  |
|  4% 3/1/35 (Assured Guaranty Muni. Corp. Insured) <br>| 50000  | 51880  |
|  4% 3/1/36 (Assured Guaranty Muni. Corp. Insured) <br>| 60000  | 61668  |
|  4% 3/1/38 (Assured Guaranty Muni. Corp. Insured) <br>| 100000  | 101198  |
|  5% 3/1/30 (Assured Guaranty Muni. Corp. Insured) <br>| 40000  | 45302  |
|  5% 3/1/31 (Assured Guaranty Muni. Corp. Insured) <br>| 70000  | 80255  |
|  East Montgomery County Muni. Util. District No. 3 Series 2022, 4.375% 8/15/45  | 1325000  | 1267118  |
|  Ector County Hosp. District Series 2020:  |  |  |
|  5% 9/15/23  | 180000  | 182091  |
|  5% 9/15/25  | 90000  | 92949  |
|  5% 9/15/26  | 135000  | 140763  |
|  5% 9/15/27  | 210000  | 220076  |
|  5% 9/15/28  | 225000  | 236448  |
|  5% 9/15/29  | 145000  | 152488  |
|  5% 9/15/30  | 170000  | 179760  |
|  5% 9/15/31  | 230000  | 241216  |
|  El Paso Gen. Oblig. Series 2016, 4% 8/15/42  | 2700000  | 2698104  |
|  El Paso Independent School District Series 2020:  |  |  |
|  5% 8/15/25  | 530000  | 562600  |
|  5% 8/15/26  | 920000  | 995230  |
|  Elgin Combination Tax and Rev. Series 2021:  |  |  |
|  4% 7/15/31 (Assured Guaranty Muni. Corp. Insured)  | 40000  | 42370  |
|  4% 7/15/32 (Assured Guaranty Muni. Corp. Insured)  | 45000  | 47462  |
|  4% 7/15/33 (Assured Guaranty Muni. Corp. Insured)  | 50000  | 52079  |
|  4% 7/15/34 (Assured Guaranty Muni. Corp. Insured)  | 85000  | 87647  |
|  4% 7/15/35 (Assured Guaranty Muni. Corp. Insured)  | 110000  | 112156  |
|  4% 7/15/36 (Assured Guaranty Muni. Corp. Insured)  | 70000  | 70797  |
|  4% 7/15/38 (Assured Guaranty Muni. Corp. Insured)  | 120000  | 119898  |
|  Forney Independent School District Series 2019, 5% 2/15/49  | 395000  | 417311  |
|  Fort Bend County Indl. Dev. Corp. (NRG Energy, Inc. Proj.) Series 2012 B, 4.75% 11/1/42  | 705000  | 679526  |
|  Fort Bend Grand Parkway Toll Road Auth. Series 2021, 3% 3/1/46  | 495000  | 392022  |
|  Fort Bend Independent School District Bonds Series 2021 B, 0.72%, tender 8/1/26 (b)  | 1270000  | 1138433  |
|  Fort Worth Gen. Oblig. Series 2016:  |  |  |
|  5% 3/1/25  | 65000  | 68287  |
|  5% 3/1/27  | 65000  | 69478  |
|  Fredericksburg Tex Independent School D Series 2022, 4% 2/15/52  | 1080000  | 1006702  |
|  Galveston County Tex Muni. Util. Di Series 2022, 4.5% 6/1/44 (Assured Guaranty Muni. Corp. Insured)  | 1550000  | 1552351  |
|  Garland Elec. Util. Sys. Rev. Series 2021 A:  |  |  |
|  4% 3/1/46  | 100000  | 96674  |
|  4% 3/1/51  | 125000  | 118362  |
|  Georgetown Util. Sys. Rev. Series 2022, 5.25% 8/15/52 (Assured Guaranty Muni. Corp. Insured)  | 1500000  | 1631340  |
|  Grand Parkway Trans. Corp.:  |  |  |
|  Series 2013 C, 5.125% 10/1/43  | 480000  | 482027  |
|  Series 2013, 0% 10/1/34 (e)  | 1205000  | 1290969  |
|  Series 2018 A:  |  |  |
|  5% 10/1/36 <br>| 280000  | 301503  |
|  5% 10/1/37 <br>| 560000  | 600987  |
|  5% 10/1/38 <br>| 390000  | 417219  |
|  5% 10/1/43 <br>| 305000  | 321849  |
|  Series 2020 C, 4% 10/1/49  | 160000  | 145725  |
|  Series 2020, 4% 10/1/49  | 1750000  | 1648456  |
|  Greater Texas Cultural Ed. Facilities Fin. Corp. (Epicenter Multipurpose Facilities Proj.) Series 2021 A:  |  |  |
|  5% 3/1/31  | 105000  | 117690  |
|  5% 3/1/32  | 160000  | 177593  |
|  5% 3/1/33  | 170000  | 186813  |
|  Gulf Coast Indl. Dev. Auth. Solid Waste Disp. Rev.:  |  |  |
|  (Citgo Petroleum Corp. Proj.) Series 1995, 4.875% 5/1/25 (d)  | 2070000  | 2070046  |
|  Series 1998, 8% 4/1/28 (d)  | 1205000  | 1205998  |
|  Harlandale Independent School District Bonds Series 2021, 2%, tender 8/15/24 (b)  | 850000  | 836581  |
|  Harlingen Econ. Dev. Corp. Series 2019 A:  |  |  |
|  4% 2/15/30  | 245000  | 256325  |
|  4% 2/15/31  | 325000  | 340492  |
|  Harris County Cultural Ed. Facilities Fin. Corp. Rev.:  |  |  |
|  (Brazos Presbyterian Homes, Inc. Proj.) Series 2013 A:  |  |  |
|  5% 1/1/38 <br>| 70000  | 63372  |
|  5% 1/1/43 <br>| 70000  | 61077  |
|  (Texas Childrens Hosp., Proj.) Series 2015-1 5% 10/1/29  | 160000  | 168351  |
|  Series 2013 B:  |  |  |
|  6.375% 1/1/33 <br>| 485000  | 485479  |
|  7% 1/1/48 (Pre-Refunded to 1/1/23 @ 100) <br>| 740000  | 742638  |
|  Series 2016 A, 5% 7/1/38  | 500000  | 514487  |
|  Series 2019 A:  |  |  |
|  4% 10/1/35 <br>| 335000  | 340299  |
|  4% 10/1/36 <br>| 595000  | 602390  |
|  4% 10/1/37 <br>| 805000  | 812511  |
|  4% 10/1/38 <br>| 670000  | 672345  |
|  Series 2021 A:  |  |  |
|  3% 10/1/51 <br>| 1975000  | 1403035  |
|  4% 10/1/42 <br>| 2410000  | 2348870  |
|  Series 2022 A, 4.125% 7/1/52  | 2125000  | 2006781  |
|  Harris County Cultural Ed. Facilities Fin. Corp. Thermal Util. Rev. (Teco Proj.) Series 2017:  |  |  |
|  5% 11/15/31  | 195000  | 213537  |
|  5% 11/15/33  | 1940000  | 2114329  |
|  Harris County Flood Cont. District Series 2021 A:  |  |  |
|  5% 10/1/28  | 1200000  | 1346859  |
|  5% 10/1/29  | 1200000  | 1367099  |
|  Harris County Gen. Oblig. Series 2002:  |  |  |
|  0% 8/15/25 (Nat'l. Pub. Fin. Guarantee Corp. Insured)  | 365000  | 337080  |
|  0% 8/15/28 (Nat'l. Pub. Fin. Guarantee Corp. Insured)  | 605000  | 506699  |
|  Harris County Health Facilities Dev. Corp. Rev. Series 1997 B, 5.75% 7/1/27 (Escrowed to Maturity)  | 425000  | 456335  |
|  Harris County Toll Road Rev.:  |  |  |
|  (Harris County Toll Road Auth. Proj.) Series 2018 A, 5% 8/15/33  | 110000  | 120163  |
|  Series 2018 A:  |  |  |
|  5% 8/15/27 <br>| 455000  | 498601  |
|  5% 8/15/43 <br>| 1445000  | 1535695  |
|  Harris County-Houston Sports Auth. Rev.:  |  |  |
|  Series 2001 A, 0% 11/15/38 (Nat'l. Pub. Fin. Guarantee Corp. Insured)  | 800000  | 340018  |
|  Series 2014 A, 0% 11/15/41 (Assured Guaranty Muni. Corp. Insured)  | 190000  | 77146  |
|  Series 2014 C:  |  |  |
|  5% 11/15/32 <br>| 45000  | 46140  |
|  5% 11/15/33 <br>| 115000  | 117763  |
|  Series 2014:  |  |  |
|  0% 11/15/46 (Assured Guaranty Muni. Corp. Insured) <br>| 480000  | 148171  |
|  5% 11/15/27 (Assured Guaranty Muni. Corp. Insured) <br>| 965000  | 996289  |
|  Hays Consolidated Independent School District Series 2022, 4% 2/15/47  | 1500000  | 1483086  |
|  Hidalgo County Reginal Mobility Auth. Series 2022 A:  |  |  |
|  4% 12/1/38  | 385000  | 353785  |
|  4% 12/1/39  | 85000  | 77520  |
|  4% 12/1/40  | 85000  | 76915  |
|  4% 12/1/41  | 195000  | 175024  |
|  Houston Arpt. Sys. Rev.:  |  |  |
|  (United Airlines, Inc. Technical Operations Ctr. Proj.) Series 2018, 5% 7/15/28 (d)  | 1785000  | 1806741  |
|  (United Airlines, Inc. Term. E Proj.):  |  |  |
|  Series 2020 A, 5% 7/1/27 (d) <br>| 140000  | 141822  |
|  Series 2021 A, 4% 7/1/41 (d) <br>| 1495000  | 1252088  |
|  (United Airlines, Inc. Term. Impt. Projs.):  |  |  |
|  Series 2015 B1: <br>|  |  |
|  5% 7/15/30 (d) <br>| 1580000  | 1588765  |
|  5% 7/15/35 (d) <br>| 2085000  | 2050393  |
|  Series 2020 B2, 5% 7/15/27 (d) <br>| 190000  | 192490  |
|  Series 2021 B1, 4% 7/15/41 (d) <br>| 2310000  | 1934177  |
|  (United Airlines, Inc., Term. E Proj.) Series 2014, 4.75% 7/1/24 (d)  | 230000  | 230359  |
|  Series 2018 A:  |  |  |
|  5% 7/1/36 (d) <br>| 325000  | 338331  |
|  5% 7/1/37 (d) <br>| 630000  | 653783  |
|  5% 7/1/41 (d) <br>| 3080000  | 3159329  |
|  Series 2018 C:  |  |  |
|  5% 7/1/29 (d) <br>| 245000  | 260969  |
|  5% 7/1/30 (d) <br>| 260000  | 276123  |
|  5% 7/1/31 (d) <br>| 1070000  | 1134686  |
|  5% 7/1/32 (d) <br>| 1315000  | 1388995  |
|  Series 2018 D:  |  |  |
|  5% 7/1/29 <br>| 105000  | 115453  |
|  5% 7/1/30 <br>| 140000  | 153477  |
|  5% 7/1/31 <br>| 125000  | 136497  |
|  5% 7/1/32 <br>| 110000  | 119875  |
|  5% 7/1/39 <br>| 535000  | 565548  |
|  Series 2021 A:  |  |  |
|  4% 7/1/37 (d) <br>| 420000  | 405442  |
|  4% 7/1/38 (d) <br>| 480000  | 460051  |
|  4% 7/1/41 (d) <br>| 480000  | 453303  |
|  4% 7/1/46 (d) <br>| 1675000  | 1527190  |
|  Houston City of Higher Ed. Fin. Corp. (Houston Baptist Univ. Proj.) Series 2021:  |  |  |
|  3.375% 10/1/37  | 50000  | 41827  |
|  4% 10/1/51  | 170000  | 138177  |
|  Houston Convention and Entertainment Facilities Dept. Hotel Occupancy Tax and Spl. Rev. Series 2019, 5% 9/1/33  | 50000  | 53987  |
|  Houston Gen. Oblig. Series 2017 A:  |  |  |
|  5% 3/1/28  | 655000  | 711313  |
|  5% 3/1/31  | 645000  | 698128  |
|  5% 3/1/32  | 240000  | 259040  |
|  Houston Util. Sys. Rev.:  |  |  |
|  Series 2014 D, 5% 11/15/44  | 725000  | 745248  |
|  Series 2016 B, 5% 11/15/33  | 420000  | 451215  |
|  Series 2017 B, 5% 11/15/35  | 65000  | 70276  |
|  Series 2020 C:  |  |  |
|  4% 11/15/43 <br>| 2470000  | 2387353  |
|  4% 11/15/49 <br>| 2470000  | 2318291  |
|  5% 11/15/28 <br>| 155000  | 173237  |
|  5% 11/15/45 <br>| 2470000  | 2652521  |
|  Series 2021 A:  |  |  |
|  5% 11/15/26 <br>| 25000  | 27100  |
|  5% 11/15/28 <br>| 100000  | 111882  |
|  Irving Hosp. Auth. Hosp. Rev. Series 2017 A:  |  |  |
|  5% 10/15/28  | 55000  | 57814  |
|  5% 10/15/30  | 230000  | 240005  |
|  5% 10/15/32  | 120000  | 124812  |
|  5% 10/15/33  | 60000  | 62272  |
|  5% 10/15/34  | 95000  | 98261  |
|  5% 10/15/35  | 95000  | 98014  |
|  5% 10/15/36  | 80000  | 82255  |
|  5% 10/15/37  | 140000  | 143527  |
|  5% 10/15/38  | 195000  | 199603  |
|  5% 10/15/44  | 565000  | 573102  |
|  Irving Hotel Occupancy Tax Rev. Series 2019:  |  |  |
|  5% 8/15/35  | 30000  | 31129  |
|  5% 8/15/37  | 45000  | 46227  |
|  5% 8/15/38  | 50000  | 51196  |
|  5% 8/15/43  | 90000  | 90743  |
|  Kaufman County Tex Fresh Wtr. Sup Series 2022, 4.5% 9/1/45  | 1575000  | 1571888  |
|  Love Field Arpt. Modernization Corp. (Southwest Airlines Co. Love Field Modernization Prog. Proj.) Series 2012, 5% 11/1/28 (d)  | 965000  | 965961  |
|  Love Field Arpt. Modernization Rev.:  |  |  |
|  Series 2015:  |  |  |
|  5% 11/1/26 (d) <br>| 120000  | 125106  |
|  5% 11/1/27 (d) <br>| 260000  | 270991  |
|  5% 11/1/28 (d) <br>| 405000  | 420233  |
|  5% 11/1/29 (d) <br>| 245000  | 254053  |
|  5% 11/1/32 (d) <br>| 450000  | 464854  |
|  Series 2017:  |  |  |
|  5% 11/1/24 (d) <br>| 120000  | 123829  |
|  5% 11/1/25 (d) <br>| 120000  | 125276  |
|  5% 11/1/26 (d) <br>| 120000  | 126745  |
|  5% 11/1/27 (d) <br>| 120000  | 126701  |
|  5% 11/1/28 (d) <br>| 210000  | 220426  |
|  5% 11/1/29 (d) <br>| 150000  | 157316  |
|  5% 11/1/30 (d) <br>| 120000  | 125808  |
|  5% 11/1/31 (d) <br>| 270000  | 282650  |
|  5% 11/1/32 (d) <br>| 315000  | 328715  |
|  5% 11/1/33 (d) <br>| 290000  | 301370  |
|  5% 11/1/34 (d) <br>| 120000  | 124236  |
|  5% 11/1/36 (d) <br>| 290000  | 298856  |
|  Lower Colorado River Auth. Rev.:  |  |  |
|  (LCRA Transmission Svcs. Corp. Proj.):  |  |  |
|  Series 2018: <br>|  |  |
|  5% 5/15/33 <br>| 250000  | 272913  |
|  5% 5/15/35 <br>| 120000  | 129187  |
|  5% 5/15/43 <br>| 95000  | 98701  |
|  5% 5/15/48 <br>| 110000  | 113349  |
|  Series 2020: <br>|  |  |
|  5% 5/15/25 <br>| 705000  | 740313  |
|  5% 5/15/26 <br>| 890000  | 951052  |
|  5% 5/15/27 <br>| 1060000  | 1148767  |
|  5% 5/15/28 <br>| 145000  | 159414  |
|  Series 2015 B:  |  |  |
|  5% 5/15/30 <br>| 250000  | 261698  |
|  5% 5/15/31 <br>| 400000  | 418180  |
|  Series 2015 D:  |  |  |
|  5% 5/15/28 <br>| 270000  | 283200  |
|  5% 5/15/30 <br>| 605000  | 633310  |
|  Series 2021, 5% 5/15/51  | 400000  | 422397  |
|  Lubbock Elec. Lt. & Pwr. Sys. Rev. Series 2021:  |  |  |
|  4% 4/15/34  | 365000  | 372955  |
|  5% 4/15/32  | 320000  | 359312  |
|  5% 4/15/33  | 375000  | 418959  |
|  Matagorda County Navigation District No. 1 Poll. Cont. Rev.:  |  |  |
|  (AEP Texas Central Co. Proj.) Series 2008 2, 4% 6/1/30  | 845000  | 840322  |
|  (Central Pwr. and Lt. Co. Proj.) Series 2001 A, 2.6% 11/1/29  | 1205000  | 1076176  |
|  Bonds (Central Pwr. and Lt. Co. Proj.) Series 1996, 0.9%, tender 9/1/23 (b)(d)  | 560000  | 549819  |
|  Midlothian Independent School District Bonds Series 2013 C, 2%, tender 8/1/24 (b)  | 35000  | 34199  |
|  Mission Econ. Dev. Corp. Rev. (Natgasoline Proj.) Series 2018, 4.625% 10/1/31 (d)(f)  | 3080000  | 2978944  |
|  Montgomery County Toll Road Auth. Series 2018:  |  |  |
|  5% 9/15/32  | 105000  | 106968  |
|  5% 9/15/33  | 105000  | 106765  |
|  5% 9/15/34  | 110000  | 111701  |
|  5% 9/15/35  | 280000  | 283669  |
|  5% 9/15/36  | 415000  | 419710  |
|  5% 9/15/37  | 410000  | 413972  |
|  5% 9/15/38  | 305000  | 307498  |
|  5% 9/15/43  | 905000  | 909301  |
|  5% 9/15/48  | 1595000  | 1597919  |
|  New Braunfels Util. Rev. Series 2022, 5% 7/1/53  | 1000000  | 1078452  |
|  New Hope Cultural Ed. Facilities:  |  |  |
|  (Cardinal Bay, Inc. - Village on the Park/Carriage Inn Proj.) Series 2016 A1, 5% 7/1/46  | 30000  | 21000  |
|  Series 2019 A1, 5% 12/1/39  | 255000  | 234170  |
|  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)  | 800000  | 803035  |
|  Series 2018 A1, 5% 7/1/38 (Assured Guaranty Muni. Corp. Insured)  | 100000  | 102210  |
|  New Hope Cultural Ed. Facilities Fin. (Texas A&M Univ. Cain Hall Redev. Proj.) Series 2016 A1, 5% 4/1/46  | 1325000  | 1378713  |
|  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) <br>| 125000  | 128627  |
|  5% 4/1/30 (Pre-Refunded to 4/1/25 @ 100) <br>| 145000  | 152120  |
|  5% 4/1/35 (Pre-Refunded to 4/1/25 @ 100) <br>| 410000  | 430134  |
|  5% 4/1/47 (Pre-Refunded to 4/1/25 @ 100) <br>| 1645000  | 1725780  |
|  (CHF Collegiate Hsg. College Station I, LLC Texas A&M Univ. Proj.):  |  |  |
|  Series 2014 A: <br>|  |  |
|  5% 4/1/29 <br>| 820000  | 814678  |
|  5% 4/1/46 <br>| 2200000  | 1960863  |
|  Series 2017 A, 5% 4/1/46 <br>| 440000  | 442061  |
|  (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) <br>| 240000  | 260704  |
|  5% 4/1/42 (Pre-Refunded to 4/1/27 @ 100) <br>| 280000  | 304154  |
|  (CHF-Collegiate Hsg. Island Campus, L.L.C. - Texas A&M Univ. - Corpus Christi Island Campus Proj.) Series 2017 A, 5% 4/1/29 (Pre-Refunded to 4/1/27 @ 100)  | 50000  | 54313  |
|  (Childrens Med. Ctr. of Dallas) Series 2017 A:  |  |  |
|  5% 8/15/27 <br>| 90000  | 98044  |
|  5% 8/15/28 <br>| 85000  | 92077  |
|  5% 8/15/29 <br>| 245000  | 265239  |
|  5% 8/15/47 <br>| 345000  | 353563  |
|  Series 2020 A, 5% 7/1/57  | 1405000  | 1137307  |
|  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) <br>| 80000  | 84702  |
|  5% 11/15/46 (Pre-Refunded to 11/15/24 @ 102) <br>| 595000  | 629972  |
|  (MRC Sr. Living - The Langford Proj.) Series 2016 A:  |  |  |
|  5.375% 11/15/36 <br>| 70000  | 62490  |
|  5.5% 11/15/46 <br>| 140000  | 117756  |
|  5.5% 11/15/52 <br>| 140000  | 114860  |
|  (Presbyterian Village North Proj.) Series 2018:  |  |  |
|  5% 10/1/31 <br>| 140000  | 128874  |
|  5% 10/1/32 <br>| 65000  | 59183  |
|  5% 10/1/33 <br>| 220000  | 198574  |
|  5% 10/1/34 <br>| 140000  | 125183  |
|  5% 10/1/35 <br>| 295000  | 261329  |
|  5% 10/1/39 <br>| 210000  | 178607  |
|  5.25% 10/1/49 <br>| 1365000  | 1131600  |
|  Series 2018 A, 5.5% 7/1/54  | 1160000  | 911819  |
|  Series 2021 B, 2% 11/15/61 (i)  | 1304655  | 600524  |
|  New Hope Cultural Edl. Facilities Fin. Corp.:  |  |  |
|  Series 2020 A:  |  |  |
|  5% 8/15/40 (f) <br>| 250000  | 233802  |
|  5% 8/15/50 (f) <br>| 250000  | 220696  |
|  Series 2021:  |  |  |
|  4% 8/15/41 (f) <br>| 250000  | 206006  |
|  4% 8/15/56 (f) <br>| 250000  | 182823  |
|  Newark Higher Ed. Fin. Corp.:  |  |  |
|  (Abilene Christian Univ. Proj.) Series 2016 A:  |  |  |
|  5% 4/1/27 <br>| 90000  | 94649  |
|  5% 4/1/28 <br>| 100000  | 105099  |
|  5% 4/1/29 <br>| 115000  | 120806  |
|  5% 4/1/30 <br>| 415000  | 435792  |
|  Series 2021 A:  |  |  |
|  4% 8/15/31 <br>| 310000  | 287493  |
|  4% 8/15/41 <br>| 405000  | 325602  |
|  Series 2022, 4% 6/15/52  | 370000  | 356519  |
|  North East Texas Independent School District Bonds Series 2019, 2.2%, tender 8/1/24 (b)  | 20000  | 19680  |
|  North East Texas Reg'l. Mobility Auth. Series 2016 B, 5% 1/1/46  | 250000  | 244038  |
|  North Texas Tollway Auth. Rev.:  |  |  |
|  (Sr. Lien Proj.) Series 2017 A:  |  |  |
|  5% 1/1/30 <br>| 80000  | 84764  |
|  5% 1/1/31 <br>| 120000  | 127027  |
|  5% 1/1/33 <br>| 145000  | 155189  |
|  5% 1/1/34 <br>| 240000  | 256169  |
|  5% 1/1/34 <br>| 365000  | 421303  |
|  5% 1/1/35 <br>| 345000  | 366798  |
|  5% 1/1/36 <br>| 795000  | 841469  |
|  5% 1/1/37 <br>| 2710000  | 2853482  |
|  (Sub Lien Proj.) Series 2017 B:  |  |  |
|  5% 1/1/30 <br>| 70000  | 73830  |
|  5% 1/1/31 <br>| 90000  | 94917  |
|  5% 1/1/33 <br>| 85000  | 90136  |
|  Series 2014:  |  |  |
|  5% 1/1/23 (Escrowed to Maturity) <br>| 20000  | 20041  |
|  5% 1/1/24 <br>| 10000  | 10262  |
|  Series 2015 A:  |  |  |
|  5% 1/1/32 <br>| 490000  | 508515  |
|  5% 1/1/35 <br>| 250000  | 257554  |
|  5% 1/1/38 <br>| 925000  | 953703  |
|  Series 2015 B:  |  |  |
|  5% 1/1/40 <br>| 2945000  | 2951056  |
|  5% 1/1/45 <br>| 3150000  | 3224224  |
|  Series 2016 A:  |  |  |
|  4% 1/1/39 <br>| 1205000  | 1191301  |
|  5% 1/1/30 <br>| 50000  | 52977  |
|  5% 1/1/32 <br>| 170000  | 179574  |
|  5% 1/1/36 <br>| 150000  | 156864  |
|  5% 1/1/39 <br>| 855000  | 887750  |
|  Series 2017 A:  |  |  |
|  5% 1/1/38 <br>| 45000  | 45062  |
|  5% 1/1/38 (Pre-Refunded to 1/1/23 @ 100) <br>| 350000  | 350691  |
|  5% 1/1/39 <br>| 4225000  | 4468626  |
|  Series 2018:  |  |  |
|  0% 1/1/29 (Assured Guaranty Corp. Insured) <br>| 845000  | 670545  |
|  4% 1/1/37 <br>| 1500000  | 1503717  |
|  4% 1/1/38 <br>| 3205000  | 3190879  |
|  5% 1/1/35 <br>| 30000  | 31719  |
|  Series 2019 A, 5% 1/1/38  | 320000  | 342811  |
|  Series 2019 B, 5% 1/1/25  | 40000  | 41790  |
|  Series 2020 A, 3% 1/1/38  | 2000000  | 1714727  |
|  Series 2021 B:  |  |  |
|  3% 1/1/46 <br>| 500000  | 398076  |
|  3% 1/1/51 <br>| 2000000  | 1467513  |
|  4% 1/1/33 <br>| 130000  | 134676  |
|  Series 2022 A:  |  |  |
|  4.125% 1/1/39 <br>| 500000  | 500833  |
|  4.125% 1/1/40 <br>| 1250000  | 1243105  |
|  5% 1/1/40 <br>| 2900000  | 3098347  |
|  5.25% 1/1/38 <br>| 1000000  | 1115297  |
|  Northlake Tex Muni. Mgmt. District # Series 2022:  |  |  |
|  4.125% 3/1/48  | 1340000  | 1242420  |
|  4.25% 3/1/46  | 1230000  | 1177675  |
|  Pasadena Independent School District Bonds Series 2015 B, 1.5%, tender 8/15/24 (b)  | 150000  | 146860  |
|  Peaster Tex Independent School District Series 2021, 3% 8/15/51  | 710000  | 555886  |
|  Port Arthur Series 2021:  |  |  |
|  4% 2/15/33  | 145000  | 150039  |
|  4% 2/15/35  | 130000  | 131897  |
|  4% 2/15/37  | 170000  | 169997  |
|  4% 2/15/38  | 85000  | 84282  |
|  4% 2/15/39  | 60000  | 59295  |
|  4% 2/15/40  | 70000  | 68615  |
|  4% 2/15/41  | 70000  | 68238  |
|  5% 2/15/29  | 80000  | 88651  |
|  5% 2/15/30  | 75000  | 84011  |
|  5% 2/15/31  | 80000  | 89299  |
|  Port Beaumont Indl. Dev. Auth. Facility Rev. (Jefferson Gulf Coast Energy Proj.) Series 2021 B, 4.1% 1/1/28 (f)  | 4000000  | 3266172  |
|  Port Beaumont Navigation District (Jefferson Gulf Coast Energy Proj.) Series 2020 B, 6% 1/1/25 (f)  | 2010000  | 1881242  |
|  Port Beaumont Navigation District Dock Facility Rev. (Jefferson Gulf Coast Energy Proj.):  |  |  |
|  Series 2020 A:  |  |  |
|  3.625% 1/1/35 (f) <br>| 970000  | 788536  |
|  4% 1/1/50 (f) <br>| 1080000  | 792571  |
|  Series 2021 A:  |  |  |
|  2.75% 1/1/36 (d)(f) <br>| 100000  | 71931  |
|  3% 1/1/50 (d)(f) <br>| 1335000  | 802100  |
|  Port of Port Arthur Navigation District Series 2017, 4% 3/1/47 (d)  | 250000  | 238248  |
|  Prosper Independent School District Series 2018, 5% 2/15/48  | 1000000  | 1064075  |
|  Red River Ed. Fin. Corp. (Houston Baptist Univ. Proj.) Series 2017, 5.5% 10/1/46  | 1185000  | 1210801  |
|  Rockwall Independent School District Series 2016, 5% 2/15/46 (Pre-Refunded to 2/15/25 @ 100)  | 245000  | 257217  |
|  Sabine-Neches Tex Nav District Series 2022, 5.25% 2/15/52  | 5000000  | 5427453  |
|  San Antonio Arpt. Sys. Rev. Series 2019 A:  |  |  |
|  5% 7/1/30 (d)  | 110000  | 117901  |
|  5% 7/1/31 (d)  | 85000  | 91464  |
|  5% 7/1/31 (d)  | 80000  | 85601  |
|  5% 7/1/32 (d)  | 95000  | 101189  |
|  5% 7/1/32 (d)  | 85000  | 90996  |
|  San Antonio Edl. Facilities Corp. Rev. Series 2021 A, 4% 4/1/51  | 250000  | 197985  |
|  San Antonio Elec. & Gas Sys. Rev.:  |  |  |
|  Bonds:  |  |  |
|  Series 2018, 2.75%, tender 12/1/22 (b) <br>| 90000  | 90000  |
|  Series 2020, 1.75%, tender 12/1/25 (b) <br>| 690000  | 654350  |
|  Series 2012, 5.25% 2/1/24  | 305000  | 314217  |
|  Series 2015, 5% 2/1/31  | 1280000  | 1359105  |
|  Series 2016, 4% 2/1/28  | 685000  | 710534  |
|  Series 2017:  |  |  |
|  5% 2/1/32 <br>| 70000  | 76104  |
|  5% 2/1/34 <br>| 85000  | 91947  |
|  Series 2022, 5% 2/1/29  | 750000  | 837365  |
|  San Antonio Independent School District Series 2016, 5% 8/15/31  | 635000  | 685062  |
|  San Antonio Wtr. Sys. Rev.:  |  |  |
|  Bonds Series 2019 A, 2.625%, tender 5/1/24 (b)  | 665000  | 663532  |
|  Series 2020 A, 5% 5/15/50  | 1505000  | 1612685  |
|  Series 2022 B, 5.25% 5/15/52  | 5000000  | 5543695  |
|  Southwest Higher Ed. Auth. Rev.:  |  |  |
|  (Southern Methodist Univ. Proj.) Series 2013 A, 4% 10/1/42  | 750000  | 719984  |
|  (Southern Methodist Univ., TX. Proj.) Series 2017:  |  |  |
|  5% 10/1/29 <br>| 55000  | 60405  |
|  5% 10/1/30 <br>| 85000  | 93352  |
|  5% 10/1/31 <br>| 80000  | 87524  |
|  5% 10/1/32 <br>| 40000  | 43687  |
|  5% 10/1/39 <br>| 150000  | 160792  |
|  5% 10/1/40 <br>| 120000  | 128370  |
|  5% 10/1/41 <br>| 85000  | 90880  |
|  Tarrant County Series 2022, 5% 7/15/35  | 110000  | 124990  |
|  Tarrant County Cultural Ed. Facilities Fin. Corp. Hosp. Rev.:  |  |  |
|  (Baylor Scott & White Health Proj.) Series 2022 D, 5% 11/15/51  | 1310000  | 1381470  |
|  Series 2015, 5% 9/1/30  | 280000  | 287193  |
|  Series 2020, 5% 12/1/24  | 35000  | 36494  |
|  Series 2022:  |  |  |
|  4% 10/1/41 <br>| 480000  | 469860  |
|  4% 10/1/42 <br>| 80000  | 76514  |
|  4% 10/1/47 <br>| 1085000  | 1026331  |
|  4% 10/1/52 <br>| 190000  | 176376  |
|  5% 10/1/36 <br>| 35000  | 38355  |
|  5% 10/1/40 <br>| 130000  | 135906  |
|  Tarrant County Cultural Ed. Facilities Fin. Corp. Retirement Facility Rev.:  |  |  |
|  (Barton Creek Sr. Living Ctr., Inc. Querencia Proj.) Series 2015:  |  |  |
|  5% 11/15/30 <br>| 245000  | 247322  |
|  5% 11/15/35 <br>| 295000  | 295419  |
|  5% 11/15/40 <br>| 320000  | 315476  |
|  (Buckner Retirement Svcs., Inc. Proj.):  |  |  |
|  Series 2016 A: <br>|  |  |
|  5% 11/15/26 <br>| 250000  | 260326  |
|  5% 11/15/27 <br>| 210000  | 218370  |
|  5% 11/15/28 <br>| 170000  | 176422  |
|  5% 11/15/29 <br>| 235000  | 243499  |
|  5% 11/15/30 <br>| 360000  | 372889  |
|  5% 11/15/37 <br>| 675000  | 689221  |
|  Series 2016 B, 5% 11/15/46 <br>| 1900000  | 1912947  |
|  (Buckner Retirement Svcs., Inc.) Series 2016 B, 5% 11/15/40  | 965000  | 980169  |
|  (Buckner Sr. Living - Ventana Proj.) Series 2017 A, 6.625% 11/15/37  | 260000  | 264131  |
|  (Northwest Sr. Hsg. Corp. Edgemere Proj.):  |  |  |
|  Series 2015 A, 5% 11/15/45 (h) <br>| 2300000  | 920000  |
|  Series 2017, 5.25% 11/15/47 <br>| 285000  | 114000  |
|  Series 2020, 5.75% 12/1/54  | 3043304  | 2137465  |
|  Tarrant County Cultural Ed. Facilities Fin. Corp. Rev.:  |  |  |
|  (Trinity Terrace Proj.) Series 2014 A1, 5% 10/1/44  | 165000  | 165217  |
|  Series 2016 A:  |  |  |
|  4% 2/15/35 <br>| 605000  | 607667  |
|  5% 2/15/41 <br>| 1320000  | 1349756  |
|  5% 2/15/47 <br>| 4055000  | 4122031  |
|  Series 2018 B, 5% 7/1/43  | 80000  | 81964  |
|  Series 2022 A, 4% 7/1/53  | 2455000  | 2212359  |
|  Temple Reinvestment Zone # One Tax Increment Rev. Series 2021 A:  |  |  |
|  4% 8/1/31  | 45000  | 47426  |
|  4% 8/1/33  | 40000  | 41515  |
|  4% 8/1/34  | 50000  | 51590  |
|  4% 8/1/37  | 40000  | 40362  |
|  4% 8/1/38  | 35000  | 35087  |
|  4% 8/1/41  | 40000  | 38578  |
|  Texas Dept. of Hsg. & Cmnty. Affairs Residential Mtg. Rev. Series 2022 A, 3.5% 7/1/52  | 1595000  | 1552858  |
|  Texas Dept. of Hsg. & Cmnty. Affairs Single Family Mtg. Rev.:  |  |  |
|  Series 2019 A, 4% 3/1/50  | 895000  | 894872  |
|  Series 2021 A, 3% 3/1/52  | 2910000  | 2782368  |
|  Series 2022 A, 5.5% 9/1/52  | 1280000  | 1365832  |
|  Series A, 3.5% 3/1/51  | 860000  | 843969  |
|  Texas Gen. Oblig.:  |  |  |
|  Series 2015 A, 3.3% 10/1/29  | 1125000  | 1135300  |
|  Series 2016, 5% 4/1/23  | 2500000  | 2521978  |
|  Series 2022 B, 5% 8/1/39  | 1240000  | 1292796  |
|  Texas Muni. Gas Acquisition & Supply Corp. I Gas Supply Rev. Series 2008 D, 6.25% 12/15/26  | 7895000  | 8249004  |
|  Texas Muni. Gas Acquisition And Supply Corp. Series 2021:  |  |  |
|  5% 12/15/26  | 1000000  | 1029241  |
|  5% 12/15/27  | 500000  | 516317  |
|  5% 12/15/30  | 390000  | 407483  |
|  5% 12/15/31  | 1985000  | 2076375  |
|  5% 12/15/32  | 175000  | 183186  |
|  Texas Muni. Gas Acquisition and Supply Corp. II Gas Supply Rev. Series 2012 C, 2.863% 9/15/27 (b)  | 4690000  | 4472100  |
|  Texas Muni. Pwr. Agcy. Rev. Series 2021, 3% 9/1/39 (Assured Guaranty Muni. Corp. Insured)  | 200000  | 164256  |
|  Texas Private Activity Bond Surface Trans. Corp.:  |  |  |
|  (Blueridge Trans. Group, LLC SH 288 Toll Lanes Proj.) Series 2016:  |  |  |
|  5% 12/31/45 (d) <br>| 1030000  | 1039913  |
|  5% 12/31/50 (d) <br>| 5145000  | 5173248  |
|  5% 12/31/55 (d) <br>| 1425000  | 1428749  |
|  (LBJ Infrastructure Group LLC I-635 Managed Lanes Proj.) Series 2020 A:  |  |  |
|  4% 6/30/35 <br>| 270000  | 256468  |
|  4% 6/30/36 <br>| 555000  | 522281  |
|  4% 12/31/36 <br>| 115000  | 107748  |
|  4% 6/30/37 <br>| 410000  | 381890  |
|  4% 12/31/37 <br>| 225000  | 209204  |
|  4% 6/30/38 <br>| 135000  | 124495  |
|  4% 12/31/38 <br>| 125000  | 115062  |
|  4% 6/30/39 <br>| 1270000  | 1161181  |
|  4% 12/31/39 <br>| 110000  | 100388  |
|  4% 6/30/40 <br>| 1060000  | 957677  |
|  (LBJ Infrastucutre Group LLC I-635 Managed Lanes Proj.) Series 2020 A, 4% 12/31/35  | 880000  | 831719  |
|  (NTE Mobility Partners LLC North Tarrant Express Managed Lanes Proj.) Series 2019 A, 4% 12/31/38  | 1000000  | 916259  |
|  (NTE Mobility Partners Segments 3 LLC Segment 3C Proj.) Series 2019, 5% 6/30/58 (d)  | 14520000  | 14352692  |
|  Series 2013:  |  |  |
|  6.75% 6/30/43 (d) <br>| 2965000  | 3027282  |
|  7% 12/31/38 (d) <br>| 750000  | 767960  |
|  Texas Pub. Fin. Auth. Lease Rev. Series 2019:  |  |  |
|  4% 2/1/38  | 1205000  | 1218723  |
|  5% 2/1/25  | 75000  | 78724  |
|  Texas Pub. Fin. Auth. Rev. Series 2016, 5% 5/1/28  | 210000  | 220885  |
|  Texas St Technical College Sys.:  |  |  |
|  Series 2022 A:  |  |  |
|  5.75% 8/1/47 <br>| 580000  | 658255  |
|  6% 8/1/54 (Assured Guaranty Muni. Corp. Insured) <br>| 555000  | 637189  |
|  Series 2022, 5.5% 8/1/42 (Assured Guaranty Muni. Corp. Insured)  | 1405000  | 1584572  |
|  Texas State Univ. Sys. Fing. Rev.:  |  |  |
|  Series 2017 A:  |  |  |
|  5% 3/15/31 <br>| 505000  | 550532  |
|  5% 3/15/32 <br>| 1065000  | 1159095  |
|  Series 2019 A:  |  |  |
|  4% 3/15/34 <br>| 125000  | 129393  |
|  4% 3/15/35 <br>| 110000  | 112578  |
|  5% 3/15/25 <br>| 95000  | 99905  |
|  Texas Tpk. Auth. Central Texas Tpk. Sys. Rev. Series 2002, 0% 8/15/28  | 5000000  | 4110782  |
|  Texas Trans. Commission:  |  |  |
|  Series 2019 A:  |  |  |
|  0% 8/1/37 <br>| 95000  | 44288  |
|  0% 8/1/38 <br>| 70000  | 30754  |
|  0% 8/1/39 <br>| 80000  | 33015  |
|  0% 8/1/40 <br>| 80000  | 30891  |
|  0% 8/1/41 <br>| 250000  | 90442  |
|  0% 8/1/43 <br>| 175000  | 56090  |
|  5% 8/1/57 <br>| 4350000  | 4364465  |
|  Series 2021 A, 0% 8/1/42  | 215000  | 73281  |
|  Texas Trans. Commission Central Texas Tpk. Sys. Rev.:  |  |  |
|  Series 2015 C:  |  |  |
|  5% 8/15/34 <br>| 1000000  | 1019676  |
|  5% 8/15/37 <br>| 3280000  | 3333677  |
|  5% 8/15/42 <br>| 3915000  | 3960619  |
|  Series 2020 A, 5% 8/15/39  | 2105000  | 2258755  |
|  Texas Trans. Commission Hwy. Impt. Gen. Oblig. Bonds Series 2014 B, 0.65%, tender 4/1/26 (b)  | 7715000  | 7076564  |
|  Texas Wtr. Dev. Board Rev.:  |  |  |
|  Series 2015 A, 5% 10/15/45  | 500000  | 521116  |
|  Series 2018 A, 5% 10/15/43  | 1480000  | 1580813  |
|  Series 2018 B, 5% 4/15/49  | 170000  | 181184  |
|  Series 2020, 5% 8/1/30  | 705000  | 815071  |
|  Series 2022, 5% 8/1/41  | 1000000  | 1119208  |
|  Univ. of Houston Univ. Revs. Series 2017 A:  |  |  |
|  5% 2/15/33  | 680000  | 721209  |
|  5% 2/15/34  | 605000  | 640145  |
|  5% 2/15/36  | 365000  | 384833  |
|  Univ. of North Texas Univ. Rev. Series 2017 A, 5% 4/15/32  | 255000  | 275183  |
|  Univ. of Texas Board of Regents Sys. Rev.:  |  |  |
|  Series 2016 J, 5% 8/15/28  | 1065000  | 1149743  |
|  Series 2019 B, 5% 8/15/49  | 2510000  | 2883167  |
|  Series 2020 C, 5% 8/15/31  | 2120000  | 2486356  |
|  Univ. of Texas Permanent Univ. Fund Rev. Series 2016 B, 5% 7/1/29  | 300000  | 322635  |
|  Van Alstyne Independent School District Series 2022, 5% 2/15/47  | 900000  | 993965  |
|  Weatherford Independent School District Series 2002, 0% 2/15/33  | 850000  | 588885  |
|  West Harris County Reg'l. Wtr. Auth. Wtr. Sys. Rev. Series 2019, 4% 12/15/49  | 905000  | 811792  |
|  White Settlement Independent School District Series 2022, 4% 8/15/52  | 540000  | 520019  |
|  Woodloch Health Facilities Dev. Corp. (Inspired Living at Lewisville Proj.):  |  |  |
|  Series 2016 A1, 6.75% 12/1/51 (f)  | 615000  | 370538  |
|  Series 2016 B, 10% 12/1/51  | 205000  | 10250  |
|  TOTAL TEXAS  |  | 407137431  |
| Utah - 0.6%  |  |  |
|  Intermountain Pwr. Agcy. Pwr. Supply Rev. Series 2022 A:  |  |  |
|  4% 7/1/36  | 3295000  | 3386775  |
|  5% 7/1/32  | 1500000  | 1740378  |
|  5% 7/1/33  | 1000000  | 1155555  |
|  5% 7/1/45  | 1750000  | 1914606  |
|  Mida Golf & Equestrian Ctr. Pub. Infrastructure District Series 2021, 4.5% 6/1/51 (f)  | 300000  | 224528  |
|  Mida Mountain Village Pub. Infrastructure Series 2020 A, 5% 8/1/50 (f)  | 250000  | 224314  |
|  Military Installation Dev. Auth. Utah Tax Allocation Rev.:  |  |  |
|  Series 2021 A1, 4% 6/1/52  | 900000  | 661322  |
|  Series 2021 A2, 4% 6/1/52  | 1805000  | 1304631  |
|  Park City School District (Utah School Bond Guaranty Prog.) Series 2022, 5% 2/1/33  | 325000  | 379379  |
|  Salt Lake City Arpt. Rev.:  |  |  |
|  Series 2017 A:  |  |  |
|  5% 7/1/25 (d) <br>| 245000  | 254643  |
|  5% 7/1/27 (d) <br>| 515000  | 545437  |
|  5% 7/1/29 (d) <br>| 450000  | 474698  |
|  5% 7/1/30 (d) <br>| 335000  | 353225  |
|  5% 7/1/31 (d) <br>| 640000  | 672886  |
|  5% 7/1/33 (d) <br>| 485000  | 506634  |
|  5% 7/1/35 (d) <br>| 485000  | 502498  |
|  5% 7/1/36 (d) <br>| 1810000  | 1867583  |
|  5% 7/1/37 (d) <br>| 2500000  | 2572739  |
|  5% 7/1/42 (d) <br>| 5930000  | 6036732  |
|  5% 7/1/47 (d) <br>| 6595000  | 6673188  |
|  Series 2017 B:  |  |  |
|  5% 7/1/34 <br>| 90000  | 95945  |
|  5% 7/1/35 <br>| 85000  | 90104  |
|  5% 7/1/36 <br>| 85000  | 89695  |
|  5% 7/1/37 <br>| 55000  | 57766  |
|  5% 7/1/47 <br>| 380000  | 390490  |
|  Series 2018 A:  |  |  |
|  5% 7/1/33 (d) <br>| 1170000  | 1232408  |
|  5% 7/1/43 (d) <br>| 2250000  | 2301228  |
|  5.25% 7/1/48 (d) <br>| 1860000  | 1909079  |
|  Series 2021 A:  |  |  |
|  4% 7/1/41 (d) <br>| 1000000  | 944381  |
|  4% 7/1/51 (d) <br>| 2000000  | 1804439  |
|  5% 7/1/32 (d) <br>| 1000000  | 1083434  |
|  5% 7/1/34 (d) <br>| 1000000  | 1070581  |
|  5% 7/1/46 (d) <br>| 500000  | 513032  |
|  5% 7/1/51 (d) <br>| 1675000  | 1693628  |
|  Series 2021 B:  |  |  |
|  5% 7/1/46 <br>| 470000  | 493110  |
|  5% 7/1/51 <br>| 1880000  | 1961259  |
|  Salt Lake City Pub. Utils. Rev. Series 2022, 5% 2/1/52  | 1375000  | 1513293  |
|  UIPA Crossroad Pub. Infrastructure District Series 2021:  |  |  |
|  4.125% 6/1/41 (f)  | 1000000  | 849730  |
|  4.375% 6/1/52 (f)  | 1520000  | 1239561  |
|  Utah Charter School Fin. Auth.:  |  |  |
|  (Spectrum Academy Proj.) Series 2020:  |  |  |
|  4% 4/15/45 <br>| 375000  | 335080  |
|  4% 4/15/50 <br>| 250000  | 217134  |
|  (Syracuse Arts Academy Proj.) Series 2017:  |  |  |
|  5% 4/15/42 <br>| 1165000  | 1183718  |
|  5% 4/15/47 <br>| 905000  | 915335  |
|  (Utah Charter Academies Proj.) Series 2018:  |  |  |
|  5% 10/15/43 <br>| 275000  | 280783  |
|  5% 10/15/48 <br>| 290000  | 294412  |
|  Series 2017, 5% 4/15/37  | 210000  | 215133  |
|  Series 2019 A:  |  |  |
|  5% 4/15/39 <br>| 60000  | 62375  |
|  5% 4/15/44 <br>| 55000  | 56475  |
|  5% 4/15/49 <br>| 390000  | 398068  |
|  Series 2020 A, 4% 10/15/54  | 250000  | 211913  |
|  Utah County Hosp. Rev.:  |  |  |
|  Series 2014 A, 5% 5/15/45  | 500000  | 508821  |
|  Series 2016 B, 5% 5/15/46  | 1000000  | 1036243  |
|  Series 2020 A:  |  |  |
|  5% 5/15/43 <br>| 1065000  | 1137779  |
|  5% 5/15/50 <br>| 705000  | 729590  |
|  Utah Gen. Oblig. Series 2020:  |  |  |
|  3% 7/1/33  | 250000  | 245854  |
|  5% 7/1/26  | 65000  | 70296  |
|  Utah Hsg. Corp.:  |  |  |
|  Series 2019 G, 4.5% 7/21/49  | 179751  | 180345  |
|  Series 2019 H, 4.5% 8/21/49  | 97149  | 97471  |
|  Series 2019 I, 4% 9/21/49  | 171950  | 172215  |
|  Series 2020 B, 3.5% 2/21/50  | 263407  | 258996  |
|  Series 2021 I, 2.5% 8/21/51  | 766775  | 733428  |
|  Series 2021 J, 2.5% 9/21/51  | 2977939  | 2834736  |
|  Utah Infrastructure Agcy.:  |  |  |
|  Series 2017 A:  |  |  |
|  5% 10/15/34 <br>| 250000  | 253535  |
|  5% 10/15/40 <br>| 250000  | 250197  |
|  Series 2018 A, 5.375% 10/15/40  | 250000  | 254205  |
|  Series 2019:  |  |  |
|  4% 10/15/24 <br>| 365000  | 363082  |
|  4% 10/15/30 <br>| 490000  | 468874  |
|  4% 10/15/34 <br>| 240000  | 219897  |
|  4% 10/15/39 <br>| 420000  | 362017  |
|  5% 10/15/25 <br>| 270000  | 274890  |
|  Series 2021, 3% 10/15/45  | 490000  | 322554  |
|  Series 2022, 5% 10/15/46  | 410000  | 400044  |
|  Weber Basin Wtr. Conservancy District Series 2019 A, 5% 10/1/44  | 750000  | 806934  |
|  TOTAL UTAH  |  | 66937343  |
| Vermont - 0.1%  |  |  |
|  Univ. of Vermont and State Agricultural College:  |  |  |
|  Series 2015, 4.125% 10/1/45  | 1000000  | 962541  |
|  Series 2019 A, 5% 10/1/49  | 600000  | 638087  |
|  Vermont Econ. Dev. Auth. Soli Bonds Series 2013, 4.625%, tender 4/3/28 (b)(d)(f)  | 220000  | 212963  |
|  Vermont Edl. & Health Bldg. Fin. Agcy. Rev.:  |  |  |
|  (Champlain College Proj.) Series 2016 A:  |  |  |
|  5% 10/15/41 <br>| 695000  | 695138  |
|  5% 10/15/46 <br>| 845000  | 832450  |
|  (Middlebury College Proj.) Series 2020, 5% 11/1/49  | 1500000  | 1595327  |
|  Vermont Hsg. Fin. Agcy.:  |  |  |
|  Series 2021 B, 3% 11/1/51  | 984000  | 934190  |
|  Series A, 3.75% 11/1/50  | 99000  | 98367  |
|  Vermont Student Assistant Corp. Ed. Ln. Rev.:  |  |  |
|  Series 2018 A:  |  |  |
|  3.625% 6/15/29 (d) <br>| 55000  | 54461  |
|  3.75% 6/15/30 (d) <br>| 60000  | 59435  |
|  4% 6/15/33 (d) <br>| 55000  | 54564  |
|  4% 6/15/34 (d) <br>| 60000  | 59506  |
|  Series 2018 B, 4.375% 6/15/46 (d)  | 160000  | 135686  |
|  Series 2019 A:  |  |  |
|  3% 6/15/35 (d) <br>| 1495000  | 1339538  |
|  5% 6/15/27 (d) <br>| 705000  | 742391  |
|  5% 6/15/29 (d) <br>| 1200000  | 1255366  |
|  Series 2019 B, 4% 6/15/47 (d)  | 265000  | 213697  |
|  Series 2019, 3.375% 6/15/36 (d)  | 820000  | 786162  |
|  Series 2020 A, 5% 6/15/28 (d)  | 705000  | 735748  |
|  Series 2021 A:  |  |  |
|  2.375% 6/15/39 (d) <br>| 245000  | 215878  |
|  5% 6/15/29 (d) <br>| 105000  | 111323  |
|  5% 6/15/31 (d) <br>| 120000  | 127840  |
|  Series 2022 A, 4.375% 6/15/40 (d)  | 440000  | 432311  |
|  TOTAL VERMONT  |  | 12292969  |
| Virgin Islands - 0.2%  |  |  |
|  Matching Fund Spl. Purp. Securitization Corp. Series 2022 A:  |  |  |
|  5% 10/1/25  | 75000  | 76541  |
|  5% 10/1/26  | 365000  | 374299  |
|  5% 10/1/30  | 2200000  | 2265595  |
|  5% 10/1/32  | 2200000  | 2263054  |
|  5% 10/1/39  | 10305000  | 10367789  |
|  Virgin Islands Pub. Fin. Auth.:  |  |  |
|  Series 2012 A, 5% 10/1/32  | 400000  | 377037  |
|  Series 2014 C:  |  |  |
|  5% 10/1/30 (f) <br>| 400000  | 382309  |
|  5% 10/1/39 <br>| 1000000  | 1009287  |
|  5% 10/1/39 (f) <br>| 300000  | 271441  |
|  TOTAL VIRGIN ISLANDS  |  | 17387352  |
| Virginia - 1.3%  |  |  |
|  Amelia County Indl. Dev. Auth. Solid Waste Disp. Rev. Bonds (Waste Mgmt., Inc. Proj.) Series 2002, 1.45%, tender 4/1/27 (b)(d)  | 180000  | 157962  |
|  Arlington County IDA Hosp. Facilities Series 2020:  |  |  |
|  4% 7/1/38  | 205000  | 205656  |
|  4% 7/1/45  | 1000000  | 958349  |
|  5% 7/1/27  | 240000  | 256695  |
|  5% 7/1/36  | 480000  | 518341  |
|  Arlington County Indl. Rev. (County Projs.) Series 2017, 5% 2/15/43  | 400000  | 428066  |
|  Charles City County Solid Wt Rev. Bonds Series 2002, 1.45%, tender 4/1/27 (b)(d)  | 85000  | 74593  |
|  Chesapeake Bay Bridge and Tunnel District Gen. Resolution Rev. Series 2016:  |  |  |
|  5% 7/1/41 (Assured Guaranty Muni. Corp. Insured)  | 1265000  | 1301555  |
|  5% 7/1/46  | 4380000  | 4422966  |
|  5% 7/1/51  | 2985000  | 2996565  |
|  Chesapeake Gen. Oblig. Series 2020 A:  |  |  |
|  5% 8/1/34  | 65000  | 74135  |
|  5% 8/1/35  | 75000  | 85074  |
|  Chesapeake Trans. Sys. Toll Road Rev. Series 2012 B, 0% 7/15/40 (e)  | 1055000  | 1062375  |
|  Embrey Mill Cmnty. Dev. Auth. Series 2013, 7.25% 3/1/43 (Pre-Refunded to 3/1/23 @ 100)  | 445000  | 449843  |
|  Fairfax County Econ. Dev. Auth. Residential Care Facility Rev. Series 2013 A:  |  |  |
|  5% 12/1/32 (Pre-Refunded to 12/1/23 @ 100)  | 230000  | 235291  |
|  5% 12/1/42 (Pre-Refunded to 12/1/23 @ 100)  | 395000  | 404087  |
|  5% 12/1/47 (Pre-Refunded to 12/1/23 @ 100)  | 280000  | 286441  |
|  Fairfax County Indl. Dev. Auth. (Inova Health Sys. Proj.):  |  |  |
|  Series 2014 A, 5% 5/15/44  | 1475000  | 1489774  |
|  Series 2016 A, 5% 5/15/31  | 590000  | 631790  |
|  Series 2018 A, 4% 5/15/48  | 1665000  | 1586654  |
|  Fairfax County Redev. & Hsg. Auth. Rev. Series 2019:  |  |  |
|  5% 10/1/35  | 830000  | 903190  |
|  5% 10/1/37  | 850000  | 918637  |
|  Farmville Indl. Edl. Facilities Rev. (Longwood Univ. Student Hsg. Projs.):  |  |  |
|  Series 2018 A:  |  |  |
|  5% 1/1/48 <br>| 250000  | 236337  |
|  5% 1/1/55 <br>| 700000  | 650472  |
|  Series 2020 A, 5% 1/1/59  | 250000  | 229376  |
|  Freddie Mac Series 2022-ML13 Class XCA, 0.9531% 7/25/36 (b)(f)  | 10056730  | 628093  |
|  Fredericksburg Econ. Dev. Auth. Rev. Series 2014:  |  |  |
|  5% 6/15/25  | 570000  | 587660  |
|  5% 6/15/26  | 110000  | 113144  |
|  5% 6/15/30  | 150000  | 153071  |
|  Greater Richmond Convention Ctr. Auth. Hotel Tax Rev. Series 2015, 5% 6/15/31 (Pre-Refunded to 6/15/25 @ 100)  | 1370000  | 1442902  |
|  Hampton Roads Trans. Accountability Commission:  |  |  |
|  Series 2018 A, 5.5% 7/1/57 (Pre-Refunded to 1/1/28 @ 100)  | 5965000  | 6773072  |
|  Series 2020 A:  |  |  |
|  5% 7/1/45 <br>| 1000000  | 1085248  |
|  5% 7/1/60 <br>| 1030000  | 1106119  |
|  Series 2022 A, 4% 7/1/52  | 1000000  | 961409  |
|  Henrico County Econ. Dev. Auth. Residential Care Facility Rev. Series 2022 A:  |  |  |
|  5% 10/1/47  | 575000  | 600471  |
|  5% 10/1/52  | 605000  | 626082  |
|  Indl. Dev. Auth. Botetourt County Residential Care Facility Rev. Series 2014 A, 6% 7/1/34  | 1030000  | 1055170  |
|  James City County Econ. Dev. Auth. Residential Care Facility Rev. Series 2013 A, 6% 6/1/43 (Pre-Refunded to 6/1/23 @ 100)  | 318093  | 322967  |
|  King George County Indl. Dev. Auth. Solid Waste Disp. Fac. Rev. (King George Landfill, Inc. Proj.) Series 2003 A, 2.5% 6/1/23 (b)(d)  | 310000  | 309083  |
|  Louisa Indl. Dev. Auth. Poll. Cont. Rev. Bonds (Virginia Elec. and Pwr. Co. Proj.) Series 2008 B, 0.75%, tender 9/2/25 (b)  | 885000  | 804593  |
|  Lynchburg Econ. Dev. Series 2021:  |  |  |
|  3% 1/1/51  | 1310000  | 906827  |
|  4% 1/1/55  | 1610000  | 1409634  |
|  Lynchburg Econ. Dev. Auth. (Randolph College Projs.) Series 2018, 5% 9/1/48  | 250000  | 253269  |
|  Norfolk Econ. Dev. Auth. Hosp. Facilities Rev. Bonds Series 2018 A, 5%, tender 11/1/28 (b)  | 145000  | 158492  |
|  Norfolk Redev. & Hsg. Auth. Rev.:  |  |  |
|  (Fort Norfolk Retirement Cmnty., Inc. Harbors Edge Proj.) Series 2014:  |  |  |
|  5% 1/1/35 <br>| 565000  | 547057  |
|  5% 1/1/46 <br>| 725000  | 661130  |
|  5.375% 1/1/35 <br>| 880000  | 881071  |
|  5.375% 1/1/46 <br>| 600000  | 579587  |
|  Series 2019 A, 5% 1/1/49  | 455000  | 410294  |
|  Peninsula Ccda Spl. Oblig. Series 2018, 4.5% 9/1/45 (f)  | 205000  | 170461  |
|  Richmond Pub. Util. Rev. Series 2013 A, 5% 1/15/38 (Pre-Refunded to 1/15/23 @ 100)  | 60000  | 60183  |
|  Roanoke Econ. Dev. Auth. Edl. Facilities Series 2018 A:  |  |  |
|  4% 9/1/48  | 250000  | 216086  |
|  5% 9/1/27  | 30000  | 31562  |
|  Salem Econ. Dev. Auth. Series 2020:  |  |  |
|  4% 4/1/38  | 20000  | 18584  |
|  4% 4/1/39  | 15000  | 13840  |
|  4% 4/1/40  | 20000  | 18285  |
|  4% 4/1/45  | 50000  | 44430  |
|  5% 4/1/24  | 20000  | 20404  |
|  5% 4/1/26  | 20000  | 20849  |
|  5% 4/1/27  | 20000  | 21017  |
|  5% 4/1/28  | 30000  | 31740  |
|  5% 4/1/29  | 35000  | 37235  |
|  5% 4/1/49  | 65000  | 66192  |
|  Stafford County Econ. Dev. Auth. Hosp. Facilities Rev.:  |  |  |
|  (Mary Washington Hosp. Proj.) Series 2016, 3% 6/15/29  | 100000  | 96298  |
|  Series 2016:  |  |  |
|  4% 6/15/37 <br>| 110000  | 104644  |
|  5% 6/15/27 <br>| 185000  | 195108  |
|  5% 6/15/28 <br>| 55000  | 57794  |
|  5% 6/15/30 <br>| 80000  | 83452  |
|  5% 6/15/33 <br>| 210000  | 217048  |
|  5% 6/15/34 <br>| 100000  | 103052  |
|  5% 6/15/35 <br>| 455000  | 466934  |
|  5% 6/15/36 <br>| 665000  | 680642  |
|  Tobacco Settlement Fing. Corp.:  |  |  |
|  Series 2007 A1, 6.706% 6/1/46  | 775000  | 705364  |
|  Series 2007 C1, 0% 6/1/47  | 3795000  | 908908  |
|  Toll Road Investors Partnership II, LP:  |  |  |
|  0% 2/15/26 (f)  | 1295000  | 1037018  |
|  0% 2/15/27 (f)  | 181000  | 133870  |
|  0% 2/15/28 (f)  | 528000  | 363205  |
|  0% 2/15/33 (f)  | 790000  | 387169  |
|  0% 2/15/43 (f)  | 5412904  | 1306415  |
|  Univ. of Virginia Gen. Rev. Series 2017 A, 5% 4/1/47  | 2710000  | 2882183  |
|  Virginia College Bldg. Auth. Edl. Facilities Rev.:  |  |  |
|  (21St Century Collage and Equip. Programs) Series 2021 A:  |  |  |
|  4% 2/1/34 <br>| 4345000  | 4572666  |
|  4% 2/1/35 <br>| 6250000  | 6530364  |
|  (Marymount Univ. Proj.):  |  |  |
|  Series 2015 A: <br>|  |  |
|  5% 7/1/23 (f) <br>| 195000  | 196035  |
|  5% 7/1/24 (f) <br>| 210000  | 212664  |
|  5% 7/1/25 (f) <br>| 215000  | 219052  |
|  5% 7/1/30 (f) <br>| 665000  | 674285  |
|  5% 7/1/35 (f) <br>| 200000  | 200856  |
|  5% 7/1/45 (f) <br>| 440000  | 422943  |
|  Series 2015 B: <br>|  |  |
|  5% 7/1/45 (f) <br>| 845000  | 812285  |
|  5.25% 7/1/30 (f) <br>| 380000  | 388063  |
|  5.25% 7/1/35 (f) <br>| 405000  | 409651  |
|  (Regent Univ. Proj.) Series 2021:  |  |  |
|  5% 6/1/27 <br>| 80000  | 82473  |
|  5% 6/1/28 <br>| 85000  | 87885  |
|  5% 6/1/29 <br>| 85000  | 88025  |
|  Series 2001, 5.75% 1/1/34  | 65000  | 80561  |
|  Virginia Commonwealth Trans. Board Rev.:  |  |  |
|  (Virginia Gen. Oblig. Proj.) Series 2017 A:  |  |  |
|  5% 5/15/32 <br>| 130000  | 143306  |
|  5% 5/15/33 <br>| 110000  | 120974  |
|  Series 2022, 4% 5/15/36  | 1310000  | 1353652  |
|  Virginia Commonwealth Univ. Health Sys. Auth. Series 2017 A, 4% 7/1/40  | 2805000  | 2759583  |
|  Virginia Hsg. Dev. Auth. Series 2022 G, 5.15% 11/1/52  | 1350000  | 1380394  |
|  Virginia Port Auth. Port Facilities Rev. Series 2016 B:  |  |  |
|  5% 7/1/41 (d)  | 1530000  | 1592301  |
|  5% 7/1/45 (d)  | 2345000  | 2434354  |
|  Virginia Pub. Bldg. Auth. Pub. Facilities Rev. Series 2019 A, 4% 8/1/36  | 1625000  | 1667768  |
|  Virginia Small Bus. Fing. Auth.:  |  |  |
|  (95 Express Lanes LLC Proj.) Series 2022:  |  |  |
|  4% 7/1/39 (d) <br>| 600000  | 540905  |
|  4% 1/1/40 (d) <br>| 440000  | 392629  |
|  4% 1/1/41 (d) <br>| 215000  | 189539  |
|  4% 1/1/48 (d) <br>| 8335000  | 6946123  |
|  5% 7/1/33 (d) <br>| 820000  | 864912  |
|  5% 7/1/34 (d) <br>| 270000  | 282034  |
|  5% 7/1/35 (d) <br>| 305000  | 316561  |
|  5% 1/1/36 (d) <br>| 335000  | 346824  |
|  5% 7/1/37 (d) <br>| 190000  | 195402  |
|  (Elizabeth River Crossings OPCO, LLC Proj.) Series 2022, 4% 7/1/32 (d)  | 445000  | 439804  |
|  (Elizabeth River Crossings OpCo, LLC Proj.) Series 2022:  |  |  |
|  4% 1/1/35 (d) <br>| 2635000  | 2546465  |
|  4% 7/1/35 (d) <br>| 1740000  | 1673798  |
|  4% 1/1/36 (d) <br>| 470000  | 449577  |
|  4% 1/1/37 (d) <br>| 4355000  | 4106679  |
|  4% 1/1/38 (d) <br>| 2935000  | 2741764  |
|  4% 1/1/39 (d) <br>| 1180000  | 1088426  |
|  4% 1/1/40 (d) <br>| 6230000  | 5693977  |
|  (I-495 Hot Lanes Proj.) Series 2022:  |  |  |
|  5% 12/31/42 (d) <br>| 1000000  | 1043487  |
|  5% 12/31/47 (d) <br>| 6260000  | 6455718  |
|  (Transform 66 P3 Proj.) Series 2017:  |  |  |
|  5% 12/31/47 (d) <br>| 360000  | 360716  |
|  5% 12/31/49 (d) <br>| 1845000  | 1845074  |
|  5% 12/31/52 (d) <br>| 3560000  | 3537928  |
|  5% 12/31/56 (d) <br>| 14960000  | 14766418  |
|  Series 2014, 5.25% 10/1/29  | 130000  | 135660  |
|  Series 2020 A:  |  |  |
|  4% 1/1/45 <br>| 400000  | 354236  |
|  5% 1/1/33 <br>| 400000  | 428674  |
|  5% 1/1/35 <br>| 655000  | 695668  |
|  Virginia Small Bus. Fing. Auth. Health Care Facilities Rev. Series 2020 A, 4% 12/1/49  | 2460000  | 2246646  |
|  West Point Indl. Dev. Auth. Series 1994 A, 6.375% 3/1/19 (d)  | 115000  | 12  |
|  Winchester Econ. Dev. Auth. Series 2015:  |  |  |
|  5% 1/1/31  | 305000  | 320106  |
|  5% 1/1/34  | 185000  | 192187  |
|  5% 1/1/35  | 185000  | 191334  |
|  5% 1/1/44  | 260000  | 261020  |
|  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)  | 580000  | 555102  |
|  York County Econ. Dev. Auth. Poll. Cont. Rev. Bonds (Virginia Elec. and Pwr. Co. Proj.) Series 2009 A, 1.9%, tender 6/1/23 (b)  | 20000  | 19791  |
|  TOTAL VIRGINIA  |  | 142095977  |
| Washington - 1.5%  |  |  |
|  Adams County Pub. Hosp. District No. 2 Series 2014, 5.125% 12/1/44  | 375000  | 375317  |
|  Central Puget Sound Reg'l. Trans. Auth. Sales & Use Tax Rev. Series 2016 S1, 5% 11/1/41  | 2775000  | 2929942  |
|  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)  | 85000  | 70888  |
|  Energy Northwest Elec. Rev.:  |  |  |
|  Series 2014 C, 5% 7/1/28  | 1010000  | 1045824  |
|  Series 2020 A:  |  |  |
|  5% 7/1/33 <br>| 1105000  | 1250970  |
|  5% 7/1/34 <br>| 530000  | 596453  |
|  5% 7/1/35 <br>| 500000  | 559548  |
|  5% 7/1/36 <br>| 705000  | 785890  |
|  5% 7/1/37 <br>| 700000  | 777102  |
|  Series 2021 A:  |  |  |
|  4% 7/1/42 <br>| 2805000  | 2813397  |
|  5% 7/1/41 <br>| 5015000  | 5535969  |
|  Series 2022 A, 5% 7/1/36  | 2475000  | 2822955  |
|  Everett Hsg. Auth. Rev. (Huntington Park Apts. Proj.) Series 2022, 4% 7/1/37  | 2700000  | 2572652  |
|  Grays Hbr. County Gen. Oblig. Series 2018:  |  |  |
|  5% 12/15/33  | 400000  | 418432  |
|  5% 12/15/38  | 510000  | 525777  |
|  5% 12/15/48  | 985000  | 1003152  |
|  King County Hsg. Auth. Rev. Series 2021:  |  |  |
|  4% 6/1/26  | 400000  | 409859  |
|  4% 6/1/28  | 255000  | 262225  |
|  4% 12/1/29  | 45000  | 46381  |
|  Pend Oreille Pub. Util. District Series 2018, 5% 1/1/48  | 250000  | 253277  |
|  Port of Seattle Rev.:  |  |  |
|  Series 2013, 5% 7/1/28 (d)  | 1000000  | 1010632  |
|  Series 2015 B, 5% 3/1/25  | 225000  | 233342  |
|  Series 2016 B:  |  |  |
|  5% 10/1/28 (d) <br>| 425000  | 446584  |
|  5% 10/1/30 (d) <br>| 245000  | 255635  |
|  Series 2016:  |  |  |
|  5% 2/1/25 <br>| 70000  | 73190  |
|  5% 2/1/28 <br>| 110000  | 117073  |
|  Series 2017 C, 5% 5/1/42 (d)  | 2050000  | 2094058  |
|  Series 2019 A, 4% 4/1/44 (d)  | 1380000  | 1230782  |
|  Series 2019:  |  |  |
|  5% 4/1/33 (d) <br>| 905000  | 961980  |
|  5% 4/1/34 (d) <br>| 965000  | 1021132  |
|  5% 4/1/35 (d) <br>| 5300000  | 5578838  |
|  5% 4/1/37 (d) <br>| 2135000  | 2229847  |
|  5% 4/1/44 (d) <br>| 2025000  | 2076759  |
|  Series 2021 C:  |  |  |
|  5% 8/1/24 (d) <br>| 2735000  | 2814721  |
|  5% 8/1/25 (d) <br>| 1795000  | 1875627  |
|  5% 8/1/26 (d) <br>| 2390000  | 2528709  |
|  5% 8/1/27 (d) <br>| 950000  | 1014191  |
|  5% 8/1/28 (d) <br>| 2650000  | 2847876  |
|  5% 8/1/38 (d) <br>| 800000  | 843637  |
|  5% 8/1/46 (d) <br>| 500000  | 510974  |
|  Series 2022 B:  |  |  |
|  4% 8/1/47 (d) <br>| 320000  | 279592  |
|  5% 8/1/40 (d) <br>| 2000000  | 2098303  |
|  5% 8/1/41 (d) <br>| 1000000  | 1044150  |
|  Seattle Hsg. Auth. Rev. (Northgate Plaza Proj.) Series 2021, 1% 6/1/26  | 1760000  | 1616415  |
|  Spokane Pub. Facilities District Hotel/Motel Tax & Sales/Use Tax Rev.:  |  |  |
|  Series 2013 B:  |  |  |
|  5% 12/1/25 (Pre-Refunded to 6/1/23 @ 100) <br>| 680000  | 687996  |
|  5% 12/1/27 (Pre-Refunded to 6/1/23 @ 100) <br>| 500000  | 505880  |
|  Series 2017, 5% 12/1/38  | 75000  | 77691  |
|  Tacoma Elec. Sys. Rev. Series 2017:  |  |  |
|  5% 1/1/37  | 55000  | 58488  |
|  5% 1/1/38  | 55000  | 58444  |
|  Univ. of Washington Univ. Revs.:  |  |  |
|  Series 2015 C, 4% 12/1/30  | 1185000  | 1222801  |
|  Series 2020 A, 4% 4/1/39  | 250000  | 248138  |
|  Washington Convention Ctr. Pub. Facilities:  |  |  |
|  Series 2018, 4% 7/1/58  | 385000  | 296910  |
|  Series 2021 A, 5% 7/1/58  | 250000  | 243682  |
|  Series 2021 B:  |  |  |
|  3% 7/1/43 <br>| 500000  | 362867  |
|  3% 7/1/48 <br>| 250000  | 162532  |
|  3% 7/1/58 (Assured Guaranty Muni. Corp. Insured) <br>| 5615000  | 3644389  |
|  4% 7/1/58 <br>| 250000  | 192799  |
|  Series 2021, 4% 7/1/31  | 2800000  | 2525043  |
|  Washington Gen. Oblig.:  |  |  |
|  Series 2013 D, 4% 7/1/29  | 600000  | 604120  |
|  Series 2014 E:  |  |  |
|  5% 2/1/33 <br>| 1250000  | 1281170  |
|  5% 2/1/37 <br>| 2560000  | 2614660  |
|  5% 2/1/39 <br>| 1705000  | 1739244  |
|  Series 2016 C, 5% 2/1/39  | 165000  | 173008  |
|  Series 2017 D:  |  |  |
|  5% 2/1/33 <br>| 545000  | 590116  |
|  5% 2/1/35 <br>| 30000  | 32252  |
|  Series 2018 C:  |  |  |
|  5% 8/1/30 <br>| 810000  | 890381  |
|  5% 2/1/41 <br>| 65000  | 69622  |
|  Series 2018 D, 5% 8/1/33  | 305000  | 332612  |
|  Series 2020 A:  |  |  |
|  5% 8/1/40 <br>| 500000  | 546691  |
|  5% 8/1/44 <br>| 750000  | 818174  |
|  Series 2020 C:  |  |  |
|  5% 2/1/29 <br>| 735000  | 830796  |
|  5% 2/1/39 <br>| 5900000  | 6494502  |
|  Series 2020 R, 4% 7/1/29  | 1375000  | 1478127  |
|  Series 2021 A, 5% 8/1/43  | 60000  | 65609  |
|  Series 2021 C, 4% 8/1/36  | 560000  | 576426  |
|  Series 2021 E:  |  |  |
|  5% 6/1/37 <br>| 330000  | 372770  |
|  5% 6/1/43 <br>| 1640000  | 1801398  |
|  Series 2021 F:  |  |  |
|  5% 6/1/36 <br>| 2675000  | 3036416  |
|  5% 6/1/39 <br>| 305000  | 340217  |
|  5% 6/1/40 <br>| 3535000  | 3924519  |
|  Series 2021 R, 4% 7/1/41  | 3470000  | 3486805  |
|  Series 2022 A:  |  |  |
|  5% 8/1/35 <br>| 7700000  | 8789547  |
|  5% 8/1/42 <br>| 5000000  | 5524945  |
|  Series 2022 D:  |  |  |
|  4% 7/1/36 <br>| 2050000  | 2116255  |
|  4% 7/1/37 <br>| 1425000  | 1463512  |
|  Series 2022 RB, 5% 2/1/29  | 530000  | 599077  |
|  Series 2023 A:  |  |  |
|  5% 8/1/35 <br>| 1500000  | 1733285  |
|  5% 8/1/44 <br>| 765000  | 846465  |
|  Series R-2017 A:  |  |  |
|  5% 8/1/27 <br>| 55000  | 59435  |
|  5% 8/1/28 <br>| 55000  | 59395  |
|  5% 8/1/30 <br>| 300000  | 323647  |
|  Washington Health Care Facilities Auth. Rev.:  |  |  |
|  (Overlake Hosp. Med. Ctr., WA. Proj.) Series 2017 B:  |  |  |
|  5% 7/1/25 <br>| 100000  | 104490  |
|  5% 7/1/27 <br>| 185000  | 197302  |
|  5% 7/1/28 <br>| 230000  | 246350  |
|  5% 7/1/29 <br>| 115000  | 122543  |
|  5% 7/1/30 <br>| 105000  | 111330  |
|  5% 7/1/31 <br>| 180000  | 190594  |
|  5% 7/1/32 <br>| 245000  | 258940  |
|  5% 7/1/33 <br>| 345000  | 363698  |
|  5% 7/1/34 <br>| 230000  | 241240  |
|  5% 7/1/35 <br>| 130000  | 135818  |
|  5% 7/1/36 <br>| 125000  | 130237  |
|  5% 7/1/42 <br>| 1715000  | 1752774  |
|  (Providence Health Systems Proj.):  |  |  |
|  Series 2012 A, 5% 10/1/25 <br>| 625000  | 628510  |
|  Series 2018 B: <br>|  |  |
|  5% 10/1/30 <br>| 65000  | 71213  |
|  5% 10/1/31 <br>| 85000  | 92470  |
|  5% 10/1/32 <br>| 60000  | 64811  |
|  5% 10/1/33 <br>| 140000  | 149966  |
|  (Virginia Mason Med. Ctr. Proj.) Series 2017:  |  |  |
|  5% 8/15/25 <br>| 15000  | 15494  |
|  5% 8/15/26 <br>| 15000  | 15650  |
|  5% 8/15/27 <br>| 105000  | 110607  |
|  (Virginia Mason Med. Ctr. Proj.) Series 2017:  |  |  |
|  5% 8/15/29 <br>| 125000  | 131245  |
|  5% 8/15/30 <br>| 55000  | 57722  |
|  Bonds Series 2019 B2, 5%, tender 8/1/25 (b)  | 965000  | 993189  |
|  Series 2015, 5% 1/1/27 (Pre-Refunded to 7/1/25 @ 100)  | 285000  | 301864  |
|  Series 2017 A, 4% 7/1/42  | 370000  | 357337  |
|  Series 2017 B, 4% 8/15/41  | 405000  | 390353  |
|  Series 2017:  |  |  |
|  4% 8/15/42 <br>| 1900000  | 1712264  |
|  5% 8/15/35 <br>| 400000  | 411857  |
|  5% 8/15/36 <br>| 30000  | 30788  |
|  5% 8/15/37 <br>| 365000  | 371045  |
|  Series 2019 A 1, 4% 8/1/44  | 180000  | 156127  |
|  Series 2019 A1:  |  |  |
|  5% 8/1/34 <br>| 105000  | 110469  |
|  5% 8/1/37 <br>| 55000  | 57069  |
|  Series 2019 A2:  |  |  |
|  5% 8/1/35 <br>| 160000  | 167528  |
|  5% 8/1/39 <br>| 65000  | 67029  |
|  5% 8/1/44 <br>| 825000  | 835674  |
|  Series 2020:  |  |  |
|  5% 9/1/38 <br>| 130000  | 136368  |
|  5% 9/1/45 <br>| 1240000  | 1276851  |
|  5% 9/1/50 <br>| 690000  | 704849  |
|  5% 9/1/55 <br>| 3705000  | 3777298  |
|  Washington Higher Ed. Facilities Auth. Rev.:  |  |  |
|  (Seattle Pacific Univ. Proj.) Series 2020 A, 5% 10/1/45  | 175000  | 175738  |
|  (Whitworth Univ. Proj.) Series 2016 A:  |  |  |
|  5% 10/1/25 <br>| 30000  | 31054  |
|  5% 10/1/26 <br>| 130000  | 135841  |
|  5% 10/1/27 <br>| 260000  | 272140  |
|  5% 10/1/28 <br>| 270000  | 282655  |
|  5% 10/1/34 <br>| 185000  | 190994  |
|  5% 10/1/35 <br>| 330000  | 339765  |
|  5% 10/1/36 <br>| 415000  | 426445  |
|  5% 10/1/40 <br>| 500000  | 509729  |
|  Washington Hsg. Fin. Commission:  |  |  |
|  Series 2021 1, 3.5% 12/20/35  | 5916473  | 5303094  |
|  Series 2021 1N, 3% 12/1/49  | 1455000  | 1408047  |
|  Washington Hsg. Fin. Commission Nonprofit Hsg. Rev.:  |  |  |
|  (Eliseo Proj.) Series 2021 A:  |  |  |
|  4% 1/1/41 (f) <br>| 300000  | 238090  |
|  4% 1/1/57 (f) <br>| 300000  | 211998  |
|  (Judson Park Proj.) Series 2018, 5% 7/1/48 (f)  | 295000  | 247548  |
|  (Presbyterian Retirement Cmntys. Northwest Projs.) Series 2016 A:  |  |  |
|  5% 1/1/46 (f) <br>| 455000  | 371165  |
|  5% 1/1/51 (f) <br>| 1735000  | 1378515  |
|  (The Hearthstone Proj.) Series 2018 A:  |  |  |
|  5% 7/1/48 (f) <br>| 405000  | 303767  |
|  5% 7/1/53 (f) <br>| 100000  | 73047  |
|  (Transforming Age Projs.) Series 2019 A, 5% 1/1/55 (f)  | 2350000  | 1823067  |
|  Series 2015 A, 7% 7/1/45 (Pre-Refunded to 7/1/25 @ 100) (f)  | 1205000  | 1315225  |
|  Whidbey Island Pub. Hosp. District Series 2013, 5.375% 12/1/39  | 250000  | 208536  |
|  TOTAL WASHINGTON  |  | 156060338  |
| West Virginia - 0.1%  |  |  |
|  Monongalia County West Commission Spl. District Excise Tax Rev.:  |  |  |
|  Series 2017 A:  |  |  |
|  5.5% 6/1/37 (f) <br>| 445000  | 448696  |
|  5.75% 6/1/43 (f) <br>| 445000  | 449555  |
|  Series 2021 A, 4.125% 6/1/43 (f)  | 610000  | 532108  |
|  Series 2021 B, 4.875% 6/1/43 (f)  | 220000  | 190795  |
|  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) <br>| 710000  | 633763  |
|  Series 2011 A, 1%, tender 9/1/25 (b)(d) <br>| 670000  | 611042  |
|  (Arch Resources Proj.) Series 2020, 5%, tender 7/1/25 (b)(d)  | 420000  | 418678  |
|  (Wheeling Pwr. Co. - Mitchell Proj.) Series 2013 A, 3%, tender 6/18/27 (b)(d)  | 975000  | 922210  |
|  West Virginia Hosp. Fin. Auth. Hosp. Rev.:  |  |  |
|  Series 2018 A:  |  |  |
|  4% 1/1/37 <br>| 250000  | 234875  |
|  4% 6/1/51 <br>| 1495000  | 1362310  |
|  4.125% 1/1/47 <br>| 300000  | 263011  |
|  5% 1/1/31 <br>| 200000  | 208772  |
|  5% 1/1/32 <br>| 160000  | 166634  |
|  5% 1/1/33 <br>| 105000  | 109116  |
|  Series 2019 A:  |  |  |
|  5% 9/1/38 <br>| 175000  | 179720  |
|  5% 9/1/39 <br>| 50000  | 51460  |
|  West Virginia Hsg. Dev. Fund Series 2018 A:  |  |  |
|  3.45% 11/1/33  | 135000  | 131290  |
|  3.75% 11/1/38  | 125000  | 119633  |
|  West Virginia Parkways Auth. Series 2021:  |  |  |
|  5% 6/1/25  | 705000  | 740748  |
|  5% 6/1/26  | 705000  | 753932  |
|  5% 6/1/27  | 705000  | 766137  |
|  5% 6/1/28  | 1060000  | 1170089  |
|  West Virginia Wtr. Dev. Auth. Series 2016 AII, 5% 11/1/33  | 140000  | 149137  |
|  Wheeling Combined Wtrwks. and Sewerage Sys. Series 2021 A:  |  |  |
|  4% 6/1/31  | 90000  | 96027  |
|  4% 6/1/32  | 55000  | 58266  |
|  4% 6/1/33  | 115000  | 121326  |
|  4% 6/1/35  | 135000  | 140581  |
|  4% 6/1/46  | 125000  | 120293  |
|  4% 6/1/51  | 90000  | 84280  |
|  TOTAL WEST VIRGINIA  |  | 11234484  |
| Wisconsin - 1.0%  |  |  |
|  Blue Ridge Healthcare Pub. Fin. Auth.:  |  |  |
|  Series 2019, 6.75% 11/1/24 (f)  | 300000  | 257628  |
|  Series 2020 A, 4% 1/1/45  | 220000  | 207953  |
|  Mount Pleasant Tax Increment Rev. Series 2018 A:  |  |  |
|  5% 4/1/43  | 420000  | 442581  |
|  5% 4/1/48  | 2890000  | 2981676  |
|  Pub. Fin. Auth. Charter School Rev. Series 2020 A:  |  |  |
|  4% 7/1/30 (f)  | 55000  | 50292  |
|  5% 7/1/40 (f)  | 100000  | 90738  |
|  5% 7/1/55 (f)  | 205000  | 173241  |
|  Pub. Fin. Auth. Edl. Facilities:  |  |  |
|  Series 2016, 5.5% 1/1/47  | 250000  | 251451  |
|  Series 2018 A:  |  |  |
|  5.25% 10/1/43 <br>| 1195000  | 1198902  |
|  5.25% 10/1/48 <br>| 1195000  | 1193901  |
|  Series 2022 A:  |  |  |
|  5.25% 3/1/42 <br>| 770000  | 777281  |
|  5.25% 3/1/47 <br>| 5650000  | 5662540  |
|  Pub. Fin. Auth. Edl. Rev. Series 2019:  |  |  |
|  5% 6/15/39  | 40000  | 40393  |
|  5% 6/15/49  | 130000  | 127002  |
|  5% 6/15/53  | 85000  | 82341  |
|  Pub. Fin. Auth. Health Care Sys. Rev. Series 2022 A:  |  |  |
|  4% 10/1/52  | 2030000  | 1826119  |
|  5% 10/1/52  | 2000000  | 2069693  |
|  Pub. Fin. Auth. Higher Edcuational Faclities Rev. (Gannon Univ. Proj.) Series 2017:  |  |  |
|  5% 5/1/42  | 135000  | 133848  |
|  5% 5/1/47  | 125000  | 121252  |
|  Pub. Fin. Auth. Hosp. Rev.:  |  |  |
|  (Renown Reg'l. Med. Ctr. Proj.) Series 2020 A:  |  |  |
|  5% 6/1/34 <br>| 420000  | 444472  |
|  5% 6/1/38 <br>| 600000  | 617360  |
|  Series 2019 A:  |  |  |
|  4% 10/1/49 <br>| 250000  | 220130  |
|  5% 10/1/44 <br>| 2100000  | 2135176  |
|  Series 2021 A, 4% 2/1/51  | 180000  | 152475  |
|  Pub. Fin. Auth. Hotel Rev. (Grand Hyatt San Antonio Hotel Acquisition Proj.) Series 2022 A:  |  |  |
|  5% 2/1/42  | 795000  | 765602  |
|  5% 2/1/52  | 1545000  | 1430027  |
|  5% 2/1/62  | 1265000  | 1145783  |
|  Pub. Fin. Auth. Hotel/Conference Ctr. Facilities Rev. Series 2021 A:  |  |  |
|  4% 9/1/36 (f)  | 400000  | 352280  |
|  4% 9/1/41 (f)  | 360000  | 297571  |
|  4% 9/1/51 (f)  | 670000  | 505281  |
|  4% 9/1/56 (f)  | 355000  | 260575  |
|  Pub. Fin. Auth. Ltd. Oblig.:  |  |  |
|  (American Dream @ Meadowlands Proj.) Series 2017 A, 6.25% 8/1/27 (f)  | 2810000  | 2303126  |
|  Series 2017, 5.625% 8/1/24 (f)  | 1105000  | 919222  |
|  Pub. Fin. Auth. Ltd. Oblig. Pilot Rev. (American Dream Meadowlands Proj.) Series 2017, 7% 12/1/50 (f)  | 1705000  | 1417966  |
|  Pub. Fin. Auth. Pub. Fin. Auth. Ed. Rev. Mountain Island Charter School:  |  |  |
|  Series 2015:  |  |  |
|  4.95% 3/1/30 (f) <br>| 25000  | 25250  |
|  5.25% 3/1/35 (f) <br>| 25000  | 25276  |
|  Series 2017 A, 5.125% 6/15/47 (f)  | 370000  | 332177  |
|  Series 2017:  |  |  |
|  5% 7/1/37 <br>| 115000  | 115406  |
|  5% 7/1/47 <br>| 280000  | 273092  |
|  5% 7/1/52 <br>| 605000  | 581901  |
|  Series 2019 A:  |  |  |
|  4% 6/15/29 (f) <br>| 130000  | 120764  |
|  5% 6/15/39 (f) <br>| 140000  | 128049  |
|  5% 6/15/49 (f) <br>| 245000  | 211217  |
|  Series 2022, 5% 1/1/42 (f)  | 500000  | 441130  |
|  Pub. Fin. Auth. Retirement Cmntys. Rev. Series 2020 A, 5% 11/15/41  | 635000  | 624297  |
|  Pub. Fin. Auth. Rev.:  |  |  |
|  (CFP3 - Eastern Michigan Univ. Student Hsg. Proj.) Series 2022 A1:  |  |  |
|  5.25% 7/1/42 <br>| 1775000  | 1869249  |
|  5.375% 7/1/47 <br>| 1350000  | 1414466  |
|  5.5% 7/1/52 <br>| 1490000  | 1559323  |
|  5.625% 7/1/55 <br>| 1140000  | 1194946  |
|  (Irving Convention Ctr. Hotel) Series 2017 A2, 7% 1/1/50 (f)  | 300000  | 326338  |
|  Series 2016 A, 5% 1/1/24 (d)  | 520000  | 524058  |
|  Series 2016 B, 5% 12/1/25 (d)  | 1140000  | 1160605  |
|  Series 2016 C, 4.3% 11/1/30 (d)  | 705000  | 692453  |
|  Series 2016 D, 4.05% 11/1/30  | 350000  | 338016  |
|  Pub. Fin. Auth. Spl. Facilities Rev.:  |  |  |
|  (Sky Harbour Cap. Llc Aviation Facilities Proj.) Series 2021, 4% 7/1/41 (d)  | 500000  | 384090  |
|  Series 2021, 4.25% 7/1/54 (d)  | 1930000  | 1391381  |
|  Pub. Fin. Auth. Sr. Living Rev.:  |  |  |
|  (Mary's Woods At Marylhurst, Inc. Proj.) Series 2017 A:  |  |  |
|  5% 5/15/25 (f) <br>| 130000  | 129022  |
|  5% 5/15/28 (f) <br>| 190000  | 184008  |
|  5.25% 5/15/37 (f) <br>| 350000  | 323264  |
|  5.25% 5/15/42 (f) <br>| 485000  | 433328  |
|  5.25% 5/15/47 (f) <br>| 850000  | 736543  |
|  5.25% 5/15/52 (f) <br>| 965000  | 820931  |
|  (Rose Villa Proj.) Series 2014 A:  |  |  |
|  5.125% 11/15/29 (Pre-Refunded to 11/15/24 @ 100) (f) <br>| 100000  | 104319  |
|  5.5% 11/15/34 (Pre-Refunded to 11/15/24 @ 100) (f) <br>| 95000  | 99775  |
|  5.75% 11/15/44 (Pre-Refunded to 11/15/24 @ 100) (f) <br>| 80000  | 84398  |
|  6% 11/15/49 (Pre-Refunded to 11/15/24 @ 100) (f) <br>| 155000  | 164162  |
|  Series 2019 A, 4% 1/1/46  | 500000  | 407679  |
|  Pub. Fin. Auth. Student Hsg.:  |  |  |
|  (Beyond Boone, LLC - Appalachian State Univ. Proj.) Series 2020 A:  |  |  |
|  4% 7/1/45 (Assured Guaranty Muni. Corp. Insured) <br>| 170000  | 149827  |
|  4% 7/1/50 (Assured Guaranty Muni. Corp. Insured) <br>| 145000  | 124359  |
|  4% 7/1/55 (Assured Guaranty Muni. Corp. Insured) <br>| 165000  | 139453  |
|  (CHF - Wilmington, L.L.C. - Univ. of North Carolina at Wilmington Proj.) Series 2018:  |  |  |
|  5% 7/1/48 (Assured Guaranty Muni. Corp. Insured) <br>| 1280000  | 1302001  |
|  5% 7/1/53 (Assured Guaranty Muni. Corp. Insured) <br>| 760000  | 770844  |
|  5% 7/1/58 (Assured Guaranty Muni. Corp. Insured) <br>| 1065000  | 1080196  |
|  (NC A&T Real Estate Estate Foundation, LLC Proj.) Series 2019 A, 5% 6/1/49  | 250000  | 227395  |
|  (Univ. of Hawai'i Foundation Proj.):  |  |  |
|  Series 2021 B, 5.25% 7/1/61 (f) <br>| 355000  | 261908  |
|  Series 2021, 4% 7/1/61 (f) <br>| 1505000  | 1032901  |
|  Series 2018, 5% 7/1/36 (Assured Guaranty Muni. Corp. Insured)  | 105000  | 109839  |
|  Series 2019 A, 5% 7/1/44 (Assured Guaranty Muni. Corp. Insured)  | 80000  | 81360  |
|  Series 2021 A1, 4% 7/1/51 (f)  | 575000  | 416839  |
|  Series 2021 A2, 5.35% 7/1/40 (f)  | 300000  | 249123  |
|  Series 2022 A, 5% 5/1/60 (f)  | 195000  | 166303  |
|  Series 2022 B, 9% 5/1/71 (f)  | 100000  | 101103  |
|  Pub. Fin. Auth. Wisconsin Arpt. Facilities Rev. Series 2012 B:  |  |  |
|  5% 7/1/42 (d)  | 635000  | 628001  |
|  5.25% 7/1/28 (d)  | 2265000  | 2265921  |
|  Pub. Fin. Auth. Wisconsin Retirement Facility Rev.:  |  |  |
|  Series 2018:  |  |  |
|  5% 10/1/43 (f) <br>| 1425000  | 1232363  |
|  5% 10/1/48 (f) <br>| 750000  | 628018  |
|  5% 10/1/53 (f) <br>| 1435000  | 1177511  |
|  Series 2021 A:  |  |  |
|  4% 10/1/46 <br>| 65000  | 52060  |
|  4% 10/1/51 <br>| 195000  | 150379  |
|  Series 2021 C, 4% 10/1/41  | 50000  | 41996  |
|  Series 2021, 4% 12/1/56  | 250000  | 210923  |
|  Roseman Univ. of Health:  |  |  |
|  (Church Home of Hartford, Inc. Proj.) Series 2015 A:  |  |  |
|  5% 9/1/30 (f) <br>| 150000  | 143665  |
|  5% 9/1/38 (f) <br>| 290000  | 261513  |
|  (Fargo-Moorhead Metropolitan Area Flood Risk Mgmt. Proj.) Series 2021, 4% 9/30/51 (d)  | 550000  | 433387  |
|  (Roseman Univ. of Health Sciences Proj.):  |  |  |
|  Series 2015, 5.875% 4/1/45 <br>| 300000  | 300714  |
|  Series 2020, 5% 4/1/40 (f) <br>| 425000  | 398930  |
|  (Searstone CCRC Proj.):  |  |  |
|  Series 2017 A: <br>|  |  |
|  5.513% 6/1/37 (b) <br>| 1150000  | 1211826  |
|  5.613% 6/1/47 (b) <br>| 1585000  | 1670990  |
|  5.688% 6/1/52 (b) <br>| 555000  | 585314  |
|  Series 2021 B2, 2.25% 6/1/27 (f) <br>| 310000  | 276968  |
|  Series 2023 A, 5% 6/1/52 <br>| 1140000  | 833392  |
|  (Ultimate Med. Academy Proj.) Series 2019 A, 5% 10/1/39 (f)  | 500000  | 460368  |
|  (Wonderful Foundations Charter School Portfolio Projs.):  |  |  |
|  Series 2020 A1, 5% 1/1/55 (f) <br>| 1050000  | 813437  |
|  Series 2020 B, 0% 1/1/60 (f) <br>| 300000  | 15239  |
|  Series 2020:  |  |  |
|  5% 1/1/40 <br>| 250000  | 248288  |
|  5% 1/1/45 <br>| 725000  | 705132  |
|  5% 4/1/50 (f) <br>| 295000  | 262008  |
|  Series 2021 A, 4.5% 6/1/56 (f)  | 8170000  | 6078064  |
|  Series 2021 B, 6.5% 6/1/56 (f)  | 1870000  | 1490104  |
|  Series 2021 C, 2.75% 6/1/26 (f)  | 250000  | 238094  |
|  Series 2022:  |  |  |
|  4% 4/1/32 (f) <br>| 520000  | 470711  |
|  4% 1/1/47 <br>| 100000  | 86359  |
|  4% 1/1/52 <br>| 105000  | 87509  |
|  Series 2023 A, 5% 6/1/37  | 510000  | 430326  |
|  Wisconsin Ctr. District Tax Rev.:  |  |  |
|  Series 2013 A:  |  |  |
|  5% 12/15/31 (Pre-Refunded to 12/15/22 @ 100) <br>| 500000  | 500444  |
|  5% 12/15/32 (Pre-Refunded to 12/15/22 @ 100) <br>| 250000  | 250222  |
|  Series 2020 C:  |  |  |
|  0% 12/15/31 (Assured Guaranty Muni. Corp. Insured) <br>| 100000  | 71182  |
|  0% 12/15/32 (Assured Guaranty Muni. Corp. Insured) <br>| 140000  | 95127  |
|  0% 12/15/33 (Assured Guaranty Muni. Corp. Insured) <br>| 135000  | 87110  |
|  0% 12/15/34 (Assured Guaranty Muni. Corp. Insured) <br>| 125000  | 76538  |
|  0% 12/15/35 (Assured Guaranty Muni. Corp. Insured) <br>| 160000  | 92606  |
|  0% 12/15/36 (Assured Guaranty Muni. Corp. Insured) <br>| 155000  | 84820  |
|  0% 12/15/37 (Assured Guaranty Muni. Corp. Insured) <br>| 155000  | 80174  |
|  0% 12/15/38 (Assured Guaranty Muni. Corp. Insured) <br>| 160000  | 78006  |
|  0% 12/15/39 (Assured Guaranty Muni. Corp. Insured) <br>| 150000  | 68977  |
|  0% 12/15/40 (Assured Guaranty Muni. Corp. Insured) <br>| 35000  | 15115  |
|  Series 2020 D:  |  |  |
|  0% 12/15/32 (Assured Guaranty Muni. Corp. Insured) <br>| 135000  | 92637  |
|  0% 12/15/33 (Assured Guaranty Muni. Corp. Insured) <br>| 210000  | 137127  |
|  0% 12/15/34 (Assured Guaranty Muni. Corp. Insured) <br>| 200000  | 124060  |
|  0% 12/15/35 (Assured Guaranty Muni. Corp. Insured) <br>| 300000  | 176092  |
|  0% 12/15/36 (Assured Guaranty Muni. Corp. Insured) <br>| 310000  | 172223  |
|  0% 12/15/37 (Assured Guaranty Muni. Corp. Insured) <br>| 505000  | 265475  |
|  0% 12/15/38 (Assured Guaranty Muni. Corp. Insured) <br>| 545000  | 270334  |
|  0% 12/15/39 (Assured Guaranty Muni. Corp. Insured) <br>| 595000  | 278668  |
|  0% 12/15/40 (Assured Guaranty Muni. Corp. Insured) <br>| 255000  | 112276  |
|  Wisconsin Gen. Oblig.:  |  |  |
|  Series 2014 4, 5% 5/1/25  | 80000  | 83583  |
|  Series 2021 A:  |  |  |
|  5% 5/1/33 <br>| 35000  | 38779  |
|  5% 5/1/36 <br>| 4785000  | 5240036  |
|  Series 2022 A, 5% 5/1/34  | 255000  | 294296  |
|  Wisconsin Health & Edl. Facilities:  |  |  |
|  (Ascension Health Cr. Group Proj.) Series 2016 A, 5% 11/15/36  | 605000  | 627920  |
|  (Saint John's Cmntys., Inc. Proj.) Series 2018 A:  |  |  |
|  5% 9/15/40 (Pre-Refunded to 9/15/23 @ 100) <br>| 235000  | 239235  |
|  5% 9/15/45 (Pre-Refunded to 9/15/23 @ 100) <br>| 315000  | 320676  |
|  5% 9/15/50 (Pre-Refunded to 9/15/23 @ 100) <br>| 1615000  | 1644103  |
|  Series 2014:  |  |  |
|  4% 5/1/33 <br>| 505000  | 505302  |
|  5% 5/1/25 <br>| 45000  | 45979  |
|  Series 2015, 5% 12/15/44  | 435000  | 437918  |
|  Series 2016 A:  |  |  |
|  5% 2/15/28 <br>| 290000  | 301670  |
|  5% 2/15/29 <br>| 375000  | 388875  |
|  5% 2/15/30 <br>| 415000  | 429688  |
|  Series 2017 A:  |  |  |
|  5% 9/1/29 (Pre-Refunded to 9/1/27 @ 100) <br>| 705000  | 769538  |
|  5% 9/1/30 (Pre-Refunded to 9/1/27 @ 100) <br>| 70000  | 76408  |
|  5% 9/1/31 (Pre-Refunded to 9/1/27 @ 100) <br>| 120000  | 130985  |
|  5% 9/1/32 (Pre-Refunded to 9/1/27 @ 100) <br>| 60000  | 65493  |
|  5% 9/1/33 (Pre-Refunded to 9/1/27 @ 100) <br>| 210000  | 229224  |
|  5% 9/1/35 (Pre-Refunded to 9/1/27 @ 100) <br>| 230000  | 251055  |
|  Series 2017 C:  |  |  |
|  4% 2/15/42 <br>| 625000  | 558482  |
|  5% 2/15/47 <br>| 170000  | 170958  |
|  Series 2017:  |  |  |
|  5% 6/1/37 <br>| 155000  | 144826  |
|  5% 6/1/41 <br>| 235000  | 214340  |
|  Series 2018, 5% 4/1/34  | 1545000  | 1666075  |
|  Series 2019 A:  |  |  |
|  2.25% 11/1/26 <br>| 10000  | 9999  |
|  5% 11/1/25 <br>| 15000  | 14855  |
|  5% 11/1/26 <br>| 250000  | 245984  |
|  5% 11/1/29 <br>| 10000  | 9654  |
|  5% 12/1/30 <br>| 40000  | 43202  |
|  5% 12/1/31 <br>| 20000  | 21544  |
|  5% 12/1/32 <br>| 20000  | 21469  |
|  5% 12/1/33 <br>| 20000  | 21380  |
|  5% 12/1/34 <br>| 20000  | 21330  |
|  5% 12/1/35 <br>| 30000  | 31765  |
|  5% 11/1/39 <br>| 405000  | 360338  |
|  5% 7/1/44 <br>| 30000  | 30401  |
|  5% 11/1/46 <br>| 1140000  | 963013  |
|  5% 7/1/49 <br>| 755000  | 760368  |
|  5% 11/1/54 <br>| 1745000  | 1418320  |
|  Series 2019 B, 5% 7/1/38  | 25000  | 25582  |
|  Series 2019 B1, 2.825% 11/1/28  | 335000  | 297608  |
|  Series 2019 B2, 2.55% 11/1/27  | 210000  | 198060  |
|  Series 2019:  |  |  |
|  5% 10/1/24 <br>| 15000  | 15568  |
|  5% 10/1/26 <br>| 35000  | 37541  |
|  5% 10/1/30 <br>| 285000  | 312398  |
|  5% 10/1/32 <br>| 600000  | 652774  |
|  Series 2020 A:  |  |  |
|  4% 2/15/36 (Assured Guaranty Muni. Corp. Insured) <br>| 255000  | 252973  |
|  4% 2/15/37 (Assured Guaranty Muni. Corp. Insured) <br>| 230000  | 226007  |
|  Wisconsin Health & Edl. Facilities Auth. Rev.:  |  |  |
|  Series 2012, 5% 6/1/39  | 65000  | 65025  |
|  Series 2021:  |  |  |
|  4% 1/1/37 <br>| 485000  | 404230  |
|  4% 1/1/47 <br>| 595000  | 443186  |
|  4% 1/1/57 <br>| 1040000  | 726991  |
|  Series 2022:  |  |  |
|  4% 9/15/36 <br>| 105000  | 91760  |
|  4% 9/15/41 <br>| 105000  | 87775  |
|  4% 9/15/45 <br>| 90000  | 71881  |
|  Wisconsin Hsg. & Econ. Dev. Auth.:  |  |  |
|  Series 2021 A, 3% 3/1/52  | 55000  | 53033  |
|  Series 2021 C, 3% 9/1/52  | 1140000  | 1097068  |
|  Wisconsin Hsg. & Econ. Dev. Auth. Hsg. Rev. Bonds Series 2021 C:  |  |  |
|  0.61%, tender 5/1/24 (b)  | 205000  | 196802  |
|  0.81%, tender 5/1/25 (b)  | 685000  | 641657  |
|  TOTAL WISCONSIN  |  | 105855950  |
| Wyoming - 0.0%  |  |  |
|  Laramie County Hosp. Rev. (Cheyenne Reg'l. Med. Ctr. Proj.) Series 2021:  |  |  |
|  4% 5/1/35  | 45000  | 44935  |
|  4% 5/1/37  | 40000  | 39299  |
|  Wyoming Cmnty. Dev. Auth. Hsg. Rev.:  |  |  |
|  Series 2019 3, 3.75% 12/1/49  | 140000  | 139570  |
|  Series 2022 1, 3.5% 6/1/52  | 1095000  | 1068327  |
|  TOTAL WYOMING  |  | 1292131  |
| <br> **TOTAL MUNICIPAL BONDS** <br> (Cost $7,001,836,558)  |  | <br> **6754145502**  |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **Municipal Notes - 1.3%**  | &nbsp;&nbsp; **Municipal Notes - 1.3%**  | &nbsp;&nbsp; **Municipal Notes - 1.3%**  |
|  | Principal <br> Amount (a) <br>| Value ($) <br>|
| Alabama - 0.0%  |  |  |
|  Columbia Indl. Dev. Board Poll. Cont. Rev. (Alabama Pwr. Co. Proj.) Series 2014 B, 1.1% 12/1/22, VRDN (b)  | 2640000  | 2640000  |
|  Walker County Econ. & Indl. Dev. Auth. Solid Waste Disp. Rev. (Alabama Pwr. Co. Plant Gorgas Proj.) Series 2007, 1.45% 12/1/22, VRDN (b)(d)  | 200000  | 200000  |
|  West Jefferson Indl. Dev. Board Solid Waste Disp. Rev. (Alabama Pwr. Co. Miller Plant Proj.) Series 2008, 1.45% 12/1/22, VRDN (b)(d)  | 1500000  | 1500000  |
|  TOTAL ALABAMA  |  | 4340000  |
| Alaska - 0.0%  |  |  |
|  Valdez Marine Term. Rev. (Exxon Pipeline Co. Proj.) Series 1993 C, 1% 12/1/22, VRDN (b)  | 300000  | 300000  |
| Arizona - 0.0%  |  |  |
|  Arizona Health Facilities Auth. Rev. Series 2015 C, 1% 12/1/22, LOC Bank of America NA, VRDN (b)  | 1500000  | 1500000  |
|  Phoenix Indl. Dev. Auth. Health Care Facilities Series 2014 B, 0.97% 12/1/22 (Liquidity Facility Northern Trust Co.), VRDN (b)  | 1600000  | 1600000  |
|  TOTAL ARIZONA  |  | 3100000  |
| California - 0.0%  |  |  |
|  Los Angeles Dept. of Wtr. & Pwr. Rev. Series 2021 A1, 0.6% 12/1/22 (Liquidity Facility Royal Bank of Canada), VRDN (b)  | 900000  | 900000  |
| Colorado - 0.0%  |  |  |
|  Colorado Univ. Co. Hosp. Auth. Rev. Series 2018 B, 1.8% 12/7/22, VRDN (b)  | 1800000  | 1800000  |
| Delaware - 0.1%  |  |  |
|  Univ. of Delaware Rev. Series 2005, 1% 12/1/22 (Liquidity Facility TD Banknorth, NA), VRDN (b)  | 5445000  | 5445000  |
| District Of Columbia - 0.0%  |  |  |
|  District of Columbia Rev. (Medlantic/Helix Proj.) Series 1998 A Tranche III, 1.93% 12/7/22, LOC PNC Bank NA, VRDN (b)  | 845000  | 845000  |
|  Metropolitan Washington DC Arpts. Auth. Sys. Rev. Series 2009 D1, 1.88% 12/7/22, LOC TD Banknorth, NA, VRDN (b)  | 350000  | 350000  |
|  TOTAL DISTRICT OF COLUMBIA  |  | 1195000  |
| Florida - 0.1%  |  |  |
|  Florida Gulf Coast Univ. Fing. Corp. Cap. Impt. Rev. Series 2008 A, 1.88% 12/7/22, LOC Wells Fargo Bank NA, VRDN (b)  | 800000  | 800000  |
|  Hillsborough County Indl. Dev. Auth.:  |  |  |
|  Series 2020 B, 1% 12/1/22, LOC TD Banknorth, NA, VRDN (b)  | 800000  | 800000  |
|  Series 2020 C, 1.8% 12/7/22, LOC TD Banknorth, NA, VRDN (b)  | 1390000  | 1390000  |
|  Series 2020 D, 0.95% 12/1/22, LOC TD Banknorth, NA, VRDN (b)  | 800000  | 800000  |
|  Orange County Health Facilities Auth. Rev. (Orlando Reg'l. Health Care Sys. Proj.) Series 2008 E, 1.8% 12/7/22, LOC TD Banknorth, NA, VRDN (b)  | 1860000  | 1860000  |
|  TOTAL FLORIDA  |  | 5650000  |
| Georgia - 0.1%  |  |  |
|  Burke County Indl. Dev. Auth. Poll. Cont. Rev. (Georgia Pwr. Co. Plant Vogtle Proj.):  |  |  |
|  First Series 2009, 1.4% 12/1/22, VRDN (b)  | 1300000  | 1300000  |
|  Series 2008, 1.7% 12/1/22, VRDN (b)  | 1600000  | 1600000  |
|  Series 2012, 1.45% 12/1/22, VRDN (b)(d)  | 3950000  | 3950000  |
|  Series 2018, 1.6% 12/1/22, VRDN (b)  | 1300000  | 1300000  |
|  TOTAL GEORGIA  |  | 8150000  |
| Idaho - 0.0%  |  |  |
|  Idaho Health Facilities Auth. Rev. (St. Luke's Health Sys. Proj.) Series 2018 C, 1.06% 12/1/22, LOC U.S. Bank NA, Cincinnati, VRDN (b)  | 2400000  | 2400000  |
| Illinois - 0.0%  |  |  |
|  Deutsche Bank Spears/Lifers Trust Participating VRDN Series 2015 XF 10 09, 1.94% 12/7/22 (Assured Guaranty Muni. Corp. Insured), LOC Barclays Bank PLC, (Liquidity Facility Barclays Bank PLC) (b)(j)(k)  | 900000  | 900000  |
|  Illinois Dev. Fin. Auth. Rev. (Chicago Horticultural Society Proj.) Series 1999, 1.8% 12/7/22, LOC JPMorgan Chase Bank, VRDN (b)  | 300000  | 300000  |
|  Illinois Hsg. Dev. Auth. Multi-family Hsg. Rev. Series 2007, 1.95% 12/7/22, LOC U.S. Bank NA, Cincinnati, VRDN (b)(d)  | 870000  | 870000  |
|  Southwestern Illinois Dev. Auth. Solid Waste Disp. Rev. Series 2002, 1.95% 12/7/22, LOC JPMorgan Chase Bank, VRDN (b)(d)  | 2100000  | 2100000  |
|  TOTAL ILLINOIS  |  | 4170000  |
| Indiana - 0.0%  |  |  |
|  Indiana Muni. Pwr. Agcy. Pwr. Supply Sys. Rev. Series B, 1.06% 12/1/22, LOC U.S. Bank NA, Cincinnati, VRDN (b)  | 2100000  | 2100000  |
| Iowa - 0.0%  |  |  |
|  Iowa Fin. Auth. Rev. Series 2018 E, 0.95% 12/1/22, LOC JPMorgan Chase Bank, VRDN (b)  | 390000  | 390000  |
| Kentucky - 0.0%  |  |  |
|  Kentucky Econ. Dev. Fin. Auth. Hosp. Rev. (St. Elizabeth Med. Ctr., Inc. Proj.) Series 2009 B, 1.8% 12/7/22, LOC TD Banknorth, NA, VRDN (b)  | 2545000  | 2545000  |
|  Louisville & Jefferson County Reg'l. Arpt. Auth. Spl. Facilities Rev. (UPS Worldwide Forwarding, Inc. Proj.) Series 1999 B, 1.15% 12/1/22, VRDN (b)(d)  | 300000  | 300000  |
|  Meade County Indl. Bldg. Rev. (Nucor Steel Brandenburg Proj.) Series 2020 A1, 1.83% 12/1/22, VRDN (b)(d)  | 300000  | 300000  |
|  TOTAL KENTUCKY  |  | 3145000  |
| Michigan - 0.0%  |  |  |
|  Michigan Bldg. Auth. Rev. Series 2020 III, 1.96% 1/2/24, VRDN (b)  | 100000  | 100000  |
| Minnesota - 0.0%  |  |  |
|  Hennepin County Gen. Oblig. Series 2018 B, 1.88% 12/7/22 (Liquidity Facility TD Banknorth, NA), VRDN (b)  | 2000000  | 2000000  |
| Mississippi - 0.2%  |  |  |
|  Mississippi Bus. Fin. Corp.:  |  |  |
|  (Chevron U.S.A., Inc. Proj.):  |  |  |
|  Series 2007 B, 1% 1/3/23, VRDN (b) <br>| 750000  | 750000  |
|  Series 2011 A, 1% 12/1/22, VRDN (b) <br>| 1560000  | 1560000  |
|  Series 2011 D, 1% 12/1/22, VRDN (b) <br>| 2560000  | 2560000  |
|  (Chevron U.S.A., Inc. Proj.):  |  |  |
|  Series 2009 B, 1% 12/1/22, VRDN (b) <br>| 1260000  | 1260000  |
|  Series 2010, 1% 12/1/22, VRDN (b) <br>| 755000  | 755000  |
|  Series 2009 E, 1% 12/1/22, VRDN (b)  | 950000  | 950000  |
|  Series 2010 G, 1% 12/1/22, VRDN (b)  | 990000  | 990000  |
|  Series 2010 K. 1% 12/1/22, VRDN (b)  | 1825000  | 1825000  |
|  Series 2011 G, 1% 12/1/22, VRDN (b)  | 3595000  | 3595000  |
|  Mississippi Bus. Fin. Corp. Solid Waste Disp. Rev. (Gulf Pwr. Co. Proj.) Series 2012, 1.2% 12/1/22, VRDN (b)(d)  | 900000  | 900000  |
|  Mississippi Dev. Bank Spl. Oblig. Series 2009, 1% 12/1/22, VRDN (b)  | 500000  | 500000  |
|  TOTAL MISSISSIPPI  |  | 15645000  |
| Missouri - 0.0%  |  |  |
|  Missouri Health & Edl. Facilities Auth. Health Facilities Rev. (BJC Health Sys. Proj.) Series 2008 C, 1.86% 12/7/22, VRDN (b)  | 1445000  | 1445000  |
|  Missouri Health & Edl. Facilities Rev.:  |  |  |
|  (Saint Louis Univ. Proj.) Series 2008 B2, 1.05% 12/1/22, LOC Wells Fargo Bank NA, VRDN (b)  | 465000  | 465000  |
|  Participating VRDN Series Floaters 14, 1.94% 12/7/22 (Liquidity Facility Barclays Bank PLC) (b)(j)(k)  | 1750000  | 1750000  |
|  TOTAL MISSOURI  |  | 3660000  |
| Nevada - 0.0%  |  |  |
|  Clark County Arpt. Rev. Series 2008 C2, 1.9% 12/7/22, LOC State Street Bank & Trust Co., Boston, VRDN (b)(d)  | 200000  | 200000  |
|  Clark County Fuel Tax Series 2008 A, 2% 12/7/22 (Liquidity Facility Landesbank Baden-Wurttemberg), VRDN (b)(d)  | 500000  | 500000  |
|  TOTAL NEVADA  |  | 700000  |
| New Jersey - 0.0%  |  |  |
|  New Jersey Health Care Facilities Fing. Auth. Rev. (Hosp. Cap. Asset Fing. Prog.) Series 1985 B, 1.86%, LOC TD Banknorth, NA, VRDN (b)  | 2195000  | 2195000  |
| New York - 0.2%  |  |  |
|  New York City Gen. Oblig.:  |  |  |
|  Series 2006 I4, 1% 12/1/22 (Liquidity Facility TD Banknorth, NA), VRDN (b)  | 1610000  | 1610000  |
|  Series 2012 2, 1.96% 12/8/22, VRDN (b)  | 250000  | 250000  |
|  Series 2014 D4, 1% 12/1/22, LOC TD Banknorth, NA, VRDN (b)  | 1200000  | 1200000  |
|  New York City Muni. Wtr. Fin. Auth. Wtr. & Swr. Sys. Rev.:  |  |  |
|  Series 2008 BB, 1% 12/1/22 (Liquidity Facility Bank of America NA), VRDN (b)  | 1700000  | 1700000  |
|  Series 2011 DD-1, 1% 12/1/22 (Liquidity Facility TD Banknorth, NA), VRDN (b)  | 2270000  | 2270000  |
|  Series 2014 AA, 1% 12/1/22 (Liquidity Facility TD Banknorth, NA), VRDN (b)  | 2990000  | 2990000  |
|  New York City Transitional Fin. Auth. Rev. Series 2003 A4, 1% 12/1/22 (Liquidity Facility TD Banknorth, NA), VRDN (b)  | 3140000  | 3140000  |
|  New York Metropolitan Trans. Auth. Rev. Series 2012 G2, 1.85% 12/7/22, LOC TD Banknorth, NA, VRDN (b)  | 2545000  | 2545000  |
|  New York State Hsg. Fin. Agcy. Rev. Series 2020 I, 3.85% 12/7/22 (Liquidity Facility TD Banknorth, NA), VRDN (b)  | 1900000  | 1900000  |
|  TOTAL NEW YORK  |  | 17605000  |
| Non-State Specific - 0.0%  |  |  |
|  Fed. Home Ln. Mtg. Corp. Series 2018 M46, 2.625% 12/7/22 (Liquidity Facility Freddie Mac), VRDN (b)(f)  | 3650000  | 2996508  |
| North Carolina - 0.0%  |  |  |
|  Charlotte-Mecklenburg Hosp. Auth. Health Care Sys. Rev.:  |  |  |
|  (Carolinas Healthcare Sys. Proj.) Series 2007 B, 1% 12/1/22 (Liquidity Facility JPMorgan Chase Bank), VRDN (b)  | 900000  | 900000  |
|  (Carolinas Healthcare Sys.) Series 2007 C, 1% 12/1/22 (Liquidity Facility JPMorgan Chase Bank), VRDN (b)  | 1100000  | 1100000  |
|  TOTAL NORTH CAROLINA  |  | 2000000  |
| Ohio - 0.1%  |  |  |
|  Allen County Hosp. Facilities Rev. (Catholic Healthcare Partners Proj.) Series 2010 C, 1.02% 12/1/22, LOC Bank of Montreal, VRDN (b)  | 2900000  | 2900000  |
|  Ohio Higher Edl. Facility Commission Rev. (Cleveland Clinic Foundation Proj.) Series 2008 B4, 0.95% 12/1/22 (Liquidity Facility Barclays Bank PLC), VRDN (b)  | 2900000  | 2900000  |
|  TOTAL OHIO  |  | 5800000  |
| Oregon - 0.1%  |  |  |
|  Oregon Facilities Auth. Rev. Series 2018 B, 1% 12/1/22, LOC TD Banknorth, NA, VRDN (b)  | 7435000  | 7435000  |
| Pennsylvania - 0.0%  |  |  |
|  Haverford Township School District Series 2009, 1.86% 12/7/22, LOC TD Banknorth, NA, VRDN (b)  | 670000  | 670000  |
|  Philadelphia Auth. for Indl. Dev. Rev. Series 2003, 1.86% 12/7/22, LOC Commerce Bank NA, VRDN (b)  | 2500000  | 2500000  |
|  TOTAL PENNSYLVANIA  |  | 3170000  |
| Texas - 0.2%  |  |  |
|  Gulf Coast Waste Disp. Auth. Envir. Facilities Rev. Series 2001 A, 1.05% 12/1/22, VRDN (b)(d)  | 100000  | 100000  |
|  Harris County Cultural Ed. Facilities Fin. Corp. Rev. Series 2020 B, 1% 12/1/22, VRDN (b)  | 2200000  | 2200000  |
|  Harris County Health Facilities Dev. Corp. Rev. (Methodist Hosp. Proj.):  |  |  |
|  Series 2008 A2, 1% 12/1/22, VRDN (b)  | 4900000  | 4900000  |
|  Series A1, 1% 12/1/22, VRDN (b)  | 7210000  | 7210000  |
|  Lower Neches Valley Auth. Indl. Dev. Corp. Exempt Facilities Rev. (ExxonMobil Proj.):  |  |  |
|  Series 2001 A, 1% 12/1/22, VRDN (b)  | 400000  | 400000  |
|  Series 2001 B, 1.05% 12/1/22, VRDN (b)(d)  | 1155000  | 1155000  |
|  Series 2001 B2, 1.05% 12/1/22, VRDN (b)(d)  | 1180000  | 1180000  |
|  Tarrant County Cultural Ed. Facilities Fin. Corp. Hosp. Rev. (Baylor Health Care Sys. Proj.) Series 2011 C, 1% 12/1/22, LOC TD Banknorth, NA, VRDN (b)  | 350000  | 350000  |
|  TOTAL TEXAS  |  | 17495000  |
| Utah - 0.1%  |  |  |
|  Murray City Hosp. Rev. (IHC Health Svcs., Inc. Proj.) Series 2005 B, 1% 12/1/22 (Liquidity Facility JPMorgan Chase Bank), VRDN (b)  | 955000  | 955000  |
|  Utah County Hosp. Rev. Series 2018 C, 1% 12/1/22 (Liquidity Facility TD Banknorth, NA), VRDN (b)  | 5000000  | 5000000  |
|  TOTAL UTAH  |  | 5955000  |
| Virginia - 0.1%  |  |  |
|  Albemarle County Econ. Dev. Auth. Hosp. Rev. Series 2018 A, 1% 12/1/22 (Liquidity Facility TD Banknorth, NA), VRDN (b)  | 4025000  | 4025000  |
|  Lynchburg Econ. Dev. Series 2017 B, 1% 12/1/22, LOC Truist Bank, VRDN (b)  | 4100000  | 4100000  |
|  Virginia College Bldg. Auth. Edl. Facilities Rev. (Univ. of Richmond Proj.) Series 2006, 1.1% 12/1/22 (Liquidity Facility Wells Fargo Bank NA), VRDN (b)  | 110000  | 110000  |
|  TOTAL VIRGINIA  |  | 8235000  |
| Washington - 0.0%  |  |  |
|  King County Gen. Oblig. Series 2019, 1.05% 12/1/22, VRDN (b)  | 200000  | 200000  |
| <br> **TOTAL MUNICIPAL NOTES** <br> (Cost $138,617,099)  |  | <br> **138276508**  |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **Municipal Bond Funds - 31.2%**  | &nbsp;&nbsp; **Municipal Bond Funds - 31.2%**  | &nbsp;&nbsp; **Municipal Bond Funds - 31.2%**  |
|  | Shares  | Value ($) <br>|
|  Allspring Municipal Bond Fund - Class Admin  | 69792848  | 670709271  |
|  BlackRock National Municipal Fund Investor A Shares  | 32292923  | 321637516  |
|  DWS Managed Municipal Bond Fund - Class S  | 44351859  | 352597276  |
|  DWS Strategic High Yield Tax-Free Fund Class S  | 1822203  | 18641132  |
|  Franklin Federal Tax-Free Income Fund - Class R6  | 44423514  | 470000780  |
|  iShares S&P National Municipal Bond ETF  | 1663928  | 176742432  |
|  MainStay MacKay High Yield Municipal Bond Fund Class A  | 7295659  | 83097557  |
|  MainStay MacKay Tax Free Bond Fund Class A  | 39952689  | 371560012  |
|  Nuveen AMT-Free Quality Municipal Income Fund Preferred Shares 2.35% (b)(l)  | 600000  | 600000  |
|  Nuveen California AMT-Free Quality Municipal Income Fund Preferred Shares 2.35% (b)(f)(l)  | 900000  | 900000  |
|  Nuveen NY AMT-Free Quality Municipal Income Fund Preferred Shares 2.35% (b)(f)(l)  | 1500000  | 1500000  |
| T. Rowe Price Summit Municipal Income Fund Investor Class  | 37026  | 405068  |
| T. Rowe Price Tax-Free High Yield Fund  | 11340191  | 120999839  |
| T. Rowe Price Tax-Free Income Fund - I Class  | 246  | 2256  |
|  Vanguard High-Yield Tax-Exempt Fund Admiral Shares  | 215  | 2215  |
|  Vanguard Long-Term Tax-Exempt Fund Admiral Shares  | 70173199  | 743835883  |
| <br> **TOTAL MUNICIPAL BOND FUNDS** <br> (Cost $3,458,374,188)  |  | **3333231237**  |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **Money Market Funds - 3.8%**  | &nbsp;&nbsp; **Money Market Funds - 3.8%**  | &nbsp;&nbsp; **Money Market Funds - 3.8%**  |
|  | Principal <br> Amount (a) <br>| Value ($) <br>|
|  Fidelity Investments Money Market Government Portfolio Class I 3.56% (m)(n)  | 1  | 1  |
|  Fidelity Investments Money Market Government Portfolio Institutional Class 3.60% (m)(n)  | 314406824  | 314406824  |
|  Fidelity Municipal Cash Central Fund 1.32% (o)(p)  | 51309619  | 51319881  |
|  Fidelity SAI Municipal Money Market Fund 1.83% (m)(n)  | 2521  | 2522  |
|  Invesco Government & Agency Portfolio Institutional Class 3.09% (m)  | 43252798  | 43252798  |
| <br> **TOTAL MONEY MARKET FUNDS** <br> (Cost $408,982,026)  |  | **408982026**  |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 99.4%** <br> (Cost $11,007,809,871) <br>| <br>**10634635273**  |
| **NET OTHER ASSETS (LIABILITIES) - 0.6%**  | **67826450**  |
| **NET ASSETS - 100.0%**  | **10702461723**  |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp; **Futures Contracts**  | &nbsp;&nbsp; **Futures Contracts**  | &nbsp;&nbsp; **Futures Contracts**  | &nbsp;&nbsp; **Futures Contracts**  | &nbsp;&nbsp; **Futures Contracts**  | &nbsp;&nbsp; **Futures Contracts**  |
|  | Number <br> of contracts  | Expiration <br> Date  | Notional <br> Amount ($) <br>| Value ($) <br>| Unrealized <br> Appreciation/ <br> (Depreciation) ($) <br>|
| Sold  |  |  |  |  |  |
| Treasury Contracts  |  |  |  |  |  |
| CBOT 10-Year U.S. Treasury Note Contracts (United States)  | 590  | Mar 2023  | 66965000  | (433857)  | (433857)  |
| CBOT Long Term U.S. Treasury Bond Contracts (United States)  | 78  | Mar 2023  | 9906000  | (46323)  | (46323)  |
| **TOTAL FUTURES CONTRACTS**  |  |  |  |  | **(480180)**  |
| The notional amount of futures sold as a percentage of Net Assets is 0.7%  | The notional amount of futures sold as a percentage of Net Assets is 0.7%  | The notional amount of futures sold as a percentage of Net Assets is 0.7%  | The notional amount of futures sold as a percentage of Net Assets is 0.7%  | The notional amount of futures sold as a percentage of Net Assets is 0.7%  | The notional amount of futures sold as a percentage of Net Assets is 0.7%  |

---

**Security Type Abbreviations**

ETF - EXCHANGE-TRADED FUND <br> 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 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.

(f) 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 $355,875,608 or 3.3% of net assets.

(g) Level 3 security

(h) Non-income producing - Security is in default.

(i) 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.

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

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

(l) Non-income producing

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

(n) Affiliated Fund

(o) Information in this report regarding holdings by state and security types does not reflect the holdings of the Fidelity Municipal Cash Central Fund.

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

**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, <br> beginning <br> of period ($)  | Purchases ($)  | Sales <br> Proceeds ($)  | Dividend <br> Income ($)  | Realized <br> Gain (loss) ($)  | Change in <br> Unrealized <br> appreciation <br> (depreciation) ($)  | Value, <br> end <br> of period ($)  | % ownership, <br> end <br> of period  |
|  Fidelity Municipal Cash Central Fund 1.32%  | -  | 182138881  | 130819000  | 257125  | -  | -  | 51319881  | 2.1%  |
| Total  | -  | 182138881  | 130819000  | 257125  | -  | -  | 51319881  |  |

---

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

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, <br> beginning <br> of period ($)  | Purchases ($)  | Sales <br> Proceeds ($)  | Dividend <br> Income ($)  | Realized <br> Gain (loss) ($)  | Change in <br> Unrealized <br> appreciation <br> (depreciation) ($)  | Value, <br> end <br> of period ($)  |
|  Fidelity Advisor Municipal Income Fund Class Z  | 52540757  | 191281  | 52140429  | 312152  | (1514743)  | 923134  | -  |
|  Fidelity Investments Money Market Government Portfolio Class I 3.56%  | 19197461  | 123138348  | 142335808  | 12901  | -  | -  | 1  |
|  Fidelity Investments Money Market Government Portfolio Institutional Class 3.60%  | 297808048  | 2796128333  | 2779529557  | 1855255  | -  | -  | 314406824  |
|  Fidelity SAI Municipal Income Fund  | 1562415414  | -  | 1513520897  | 1817192  | (148009284)  | 99114767  | -  |
|  Fidelity SAI Municipal Money Market Fund 1.83%  | 2502  | 19  | -  | 19  | -  | 1  | 2522  |
|  Fidelity SAI Tax-Free Bond Fund  | 132748349  | 2750000  | 131430855  | 152269  | (10484956)  | 6417462  | -  |
|  Fidelity Tax-Free Bond Fund  | 186324548  | -  | 180390645  | 356680  | (9650202)  | 3716299  | -  |
|  | 2251037079  | 2922207981  | 4799348191  | 4506468  | (169659185)  | 110171663  | 314409347  |

---

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

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, 2022, 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:**  | **Valuation Inputs at Reporting Date:**  | **Valuation Inputs at Reporting Date:**  | **Valuation Inputs at Reporting Date:**  | **Valuation Inputs at Reporting Date:**  |
| **Description**  | **Total ($)**  | **Level 1 ($)**  | **Level 2 ($)**  | **Level 3 ($)**  |
| **<u>Investments in Securities:</u>**  |  |  |  |  |
|  Municipal Securities  | 6892422010  | -  | 6892422008  | 2  |
|  Municipal Bond Funds  | 3333231237  | 3330231237  | 3000000  | -  |
|  Money Market Funds  | 408982026  | 408982026  | -  | -  |
| **Total Investments in Securities:**  | 10634635273  | 3739213263  | 6895422008  | 2  |
| **<u>Derivative Instruments:</u>**  |  |  |  |  |
|  **Liabilities**  |  |  |  |  |
| Futures Contracts  | (480180)  | (480180)  | -  | -  |
| Total Liabilities  | (480180)  | (480180)  | -  | -  |
| **Total Derivative Instruments:**  | (480180)  | (480180)  | -  | -  |

---

**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, 2022. 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** <br>| **Value**  | **Value**  |
|  | **Asset ($)**  | **Liability ($)**  |
| **Interest Rate Risk**  |  |  |
| Futures Contracts (a)  | 0  | (480180)  |
| **Total Interest Rate Risk**  | 0  | (480180)  |
| **Total Value of Derivatives**  | 0  | (480180)  |

---

(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).

**Financial Statements** **(Unaudited)**

---

| | | |
|:---|:---|:---|
| **Statement of Assets and Liabilities**  | **Statement of Assets and Liabilities**  | **Statement of Assets and Liabilities**  |
|  |  | **November 30, 2022** <br> **(Unaudited)**  |
| **Assets**  |  |  |
| Investment in securities, at value - See accompanying schedule:  |  |  |
|  Unaffiliated issuers (cost $10,642,080,643)  | $10268906045  |  |
|  Fidelity Central Funds (cost $51,319,881)  | 51319881  |  |
|  Other affiliated issuers (cost $314,409,347)  | 314409347  |  |
|  Total Investment in Securities (cost $11,007,809,871)  |  | $10634635273  |
|  Segregated cash with brokers for derivative instruments  |  | 1515600  |
|  Cash  |  | 99954  |
| Receivable for investments sold  |  | 7531359  |
|  Receivable for fund shares sold  |  | 64586290  |
|  Dividends receivable  |  | 450052  |
|  Interest receivable  |  | 95242915  |
|  Distributions receivable from Fidelity Central Funds  |  | 59624  |
|  Prepaid expenses  |  | 6014  |
| **Total assets**  |  | 10804127081  |
| **Liabilities**  |  |  |
|  Payable for investments purchased  |  |  |
|  Regular delivery  | $38198518  |  |
|  Delayed delivery  | 17212076  |  |
|  Payable for fund shares redeemed  | 16591220  |  |
|  Distributions payable  | 28479468  |  |
|  Accrued management fee  | 679480  |  |
|  Payable for daily variation margin on futures contracts  | 344449  |  |
|  Other payables and accrued expenses  | 160147  |  |
| **Total Liabilities**  |  | 101665358  |
| **Net Assets**  |  | $10702461723  |
|  Net Assets consist of:  |  |  |
|  Paid in capital  |  | $12044799546  |
|  Total accumulated earnings (loss)  |  | (1342337823)  |
|  **Net Assets**  |  | $10702461723  |
|  **Net Asset Value** , offering price and redemption price per share ($10,702,461,723 ÷ 1,233,018,344 shares)  |  | $8.68  |

---

---

| | | |
|:---|:---|:---|
| **Statement of Operations**  | **Statement of Operations**  | **Statement of Operations**  |
|  |  | **Six months ended** <br> **November 30, 2022** <br> **(Unaudited)**  |
|  **Investment Income**  |  |  |
| Dividends:  |  |  |
| Unaffiliated issuers  |  | $52134602  |
| Affiliated issuers  |  | $4505825  |
| Interest  |  | 116168854  |
| Income from Fidelity Central Funds  |  | 257125  |
| **Total Income**  |  | 173066406  |
|  **Expenses**  |  |  |
| Management fee  | $16936217  |  |
| Custodian fees and expenses  | 44488  |  |
| Independent trustees' fees and expenses  | 36664  |  |
| Registration fees  | 822575  |  |
| Audit  | 57670  |  |
| Legal  | 9053  |  |
| Miscellaneous  | 20498  |  |
| Total expenses before reductions  | 17927165  |  |
| Expense reductions  | (13028972)  |  |
| Total expenses after reductions  |  | 4898193  |
| **Net Investment income (loss)**  |  | 168168213  |
| **Realized and Unrealized Gain (Loss)**  |  |  |
| Net realized gain (loss) on:  |  |  |
| Investment Securities:  |  |  |
| Unaffiliated issuers  | (515808441)  |  |
| Affiliated issuers  | (169659185)  |  |
| Futures contracts  | 7778275  |  |
| Capital gain distributions from underlying funds:  |  |  |
| Affiliated issuers  | 643  |  |
| Total net realized gain (loss)  |  | (677688708)  |
| Change in net unrealized appreciation (depreciation) on:  |  |  |
| Investment Securities:  |  |  |
| Unaffiliated issuers  | 87542685  |  |
| Affiliated issuers  | 110171663  |  |
| Futures contracts  | (1184292)  |  |
| Total change in net unrealized appreciation (depreciation)  |  | 196530056  |
| **Net gain (loss)**  |  | (481158652)  |
| **Net increase (decrease) in net assets resulting from operations**  |  | $(312990439)  |

---

---

| | | |
|:---|:---|:---|
| **Statement of Changes in Net Assets**  | **Statement of Changes in Net Assets**  | **Statement of Changes in Net Assets**  |
|  | **Six months ended** <br> **November 30, 2022** <br> **(Unaudited)**  | **For the period June 17, 2021 (commencement of operations) through May 31, 2022**  |
| **Increase (Decrease) in Net Assets**  |  |  |
| Operations  |  |  |
| &nbsp;&nbsp; Net investment income (loss)  | $168168213  | $113840575  |
| &nbsp;&nbsp; Net realized gain (loss)  | (677688708) <br>| (293471519) <br>|
| &nbsp;&nbsp; Change in net unrealized appreciation (depreciation)  | 196530056  | (570184834) <br>|
| &nbsp;&nbsp; **Net increase (decrease) in net assets resulting from operations**  | (312990439) <br>| (749815778) <br>|
| Distributions to shareholders  | (165916532) <br>| (113615112) <br>|
| Share transactions  |  |  |
| &nbsp;&nbsp; Proceeds from sales of shares  | 15394351869  | 15753905938  |
| Reinvestment of distributions  | 622 <br>| 111103 <br>|
| &nbsp;&nbsp; Cost of shares redeemed  | (15373680602)  | (3729889346)  |
| **Net increase (decrease) in net assets resulting from share transactions**  | 20671889 <br>| 12024127695 <br>|
| &nbsp;&nbsp; **Total increase (decrease) in net assets**  | (458235082) <br>| 11160696805 <br>|
| **Net Assets**  |  |  |
| &nbsp;&nbsp; Beginning of period  | 11160696805  | - <br>|
| &nbsp;&nbsp; End of period  | $10702461723  | $11160696805  |
| **Other Information**  |  |  |
| Shares  |  |  |
| &nbsp;&nbsp; Sold  | 1766300240  | 1647644902  |
| Issued in reinvestment of distributions  | 72 <br>| 11205 <br>|
| &nbsp;&nbsp; Redeemed  | (1768722313)  | (412215762)  |
| &nbsp;&nbsp; Net increase (decrease)  | (2422001)  | 1235440345  |

---

**Financial Highlights** 

 **Strategic Advisers® Municipal Bond Fund** <br>

---

| | | |
|:---|:---|:---|
|  | **Six months ended** <br> **(Unaudited) November 30, 2022**  | **Years ended May 31, 2022** <sup>A</sup>  |
| **Selected Per-Share Data**  |  |  |
| Net asset value, beginning of period  | $9.03  | $10.00  |
| Income from Investment Operations  |  |  |
| Net investment income (loss) <sup>B,C</sup>  | .140  | .202  |
| Net realized and unrealized gain (loss)  | (.352)  | (.984)  |
| Total from investment operations  | (.212)  | (.782)  |
| Distributions from net investment income  | (.138)  | (.187)  |
| Distributions from net realized gain  | -  | (.001)  |
| Total distributions  | (.138)  | (.188)  |
| Net asset value, end of period  | $8.68  | $9.03  |
| **Total Return** <sup>D,E</sup>  | (2.33)%  | (7.92)%  |
| **Ratios to Average Net Assets** <sup>C,F,G</sup>  |  |  |
| Expenses before reductions  | .34% <sup>H</sup>  | .31% <sup>H</sup>  |
| Expenses net of fee waivers, if any  | .09% <sup>H</sup>  | .06% <sup>H</sup>  |
| Expenses net of all reductions  | .09% <sup>H</sup>  | .06% <sup>H</sup>  |
| Net investment income (loss)  | 3.22% <sup>H</sup>  | 2.27% <sup>H</sup>  |
| **Supplemental Data**  |  |  |
| Net assets, end of period (000 omitted)  | $10702462  | $11160697  |
| Portfolio turnover rate <sup>I</sup>  | 208% <sup>H</sup>  | 134% <sup>H</sup>  |

---

<sup>A</sup> *For the period June 17, 2021 (commencement of operations) through May 31, 2022.*

<sup>B</sup> *Calculated based on average shares outstanding during the period.*

<sup>C</sup> *Net 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.*

<sup>D</sup> *Total returns for periods of less than one year are not annualized.*

<sup>E</sup> *Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.*

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

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

<sup>H</sup> *Annualized.*

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

**Notes to Financial Statements** **(Unaudited)**

For the period ended November 30, 2022

**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, 2022 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.

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**  | $48172176  |
| **Gross unrealized depreciation**  | <u>(560412726)</u>  |
| **Net unrealized appreciation (depreciation)**  | <u>$(512240550)</u>  |
| **Tax cost**  | <u>$11146395643</u>  |

---

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  | <u>$(263015470)</u>  |

---

**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):

<br> 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**  | 10625018385  | 10796288438  |

---

**Unaffiliated Exchanges In-Kind.** During the period, the fund redeemed shares of Western Asset Managed Municipals Fund Class A and MFS Municipal Income Fund Class A in exchange for investments as noted in the following table. The Fund had a net realized loss $169,442,496 on the Fund's redemptions of Western Asset Managed Municipals Fund Class A and MFS Municipal Income 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 ($)**  | **New realized gain (loss) ($)**  | **Shares redeemed**  |
| **Western Asset Managed Municipals Fund Class A**  | 1069484120  | (73318008)  | 70038253  |
| **MFS Municipal Income Fund Class A**  | 1158725927  | (96124488)  | 140451627  |

---

**Prior Fiscal Year Unaffiliated Exchanges In-Kind.** During the prior period, the Fund redeemed shares of Delaware Tax-Free U.S.A. Fund Class A, MainStay MacKay High Yield Municipal Bond Fund Class A, MainStay MacKay Tax Free Bond Fund Class A, T. Rowe Price Summit Municipal Income Fund Investor Class, and T. Rowe Price Tax-Free High Yield Fund in exchange for investments as noted in the following table. The Fund had net realized gain (loss) on the Fund's redemptions of Delaware Tax-Free U.S.A. Fund Class A, MainStay MacKay High Yield Municipal Bond Fund Class A, MainStay MacKay Tax Free Bond Fund Class A, T. Rowe Price Summit Municipal Income Fund Investor Class, and T. Rowe Price Tax-Free High Yield Fund as noted in the following table. The Fund recognized a net loss on the exchanges for federal income tax purposes.

---

| | | | |
|:---|:---|:---|:---|
| **Fund Name**  | **Value of Investments ($)**  | **Net realized gain (loss)** <br> **($)**  | **Shares redeemed**  |
| **Delaware Tax-Free U.S.A. Fund Class A**  | 266484556  | (10751832)  | 23070010  |
| **MainStay MacKay High Yield Municipal Bond Fund Class A**  | 294446031  | (9805845)  | 22519084  |
| **MainStay MacKay Tax Free Bond Fund Class A**  | 930537398  | (8482561)  | 88883334  |
| **T. Rowe Price Summit Municipal Income Fund Investor Class**  | 958244485  | (27712297)  | 79943332  |
| **T. Rowe Price Tax-Free High Yield Fund**  | 818347627  | (19277866)  | 67546117  |
| **Total**  | 3268060097  | (76030401)  | 281961877  |

---

**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.

**Affiliated Exchanges In-Kind.** During the 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 valued at $1,822,592,468. 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): Affiliated 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 ($)**  | **New realized gain (loss) ($)**  | **Shares redeemed**  |
| **Fidelity Tax-Free Bond Fund**  | 180390645  | (9650202)  | 16954008  |
| **Fidelity SAI Municipal Income Fund**  | 1510770968  | (147856951)  | 157700519  |
| **Fidelity SAI Tax-Free Bond Fund**  | 131430855  | (10484956)  | 13577568  |

---

**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.

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| | | | | |
|:---|:---|:---|:---|:---|
| **Fidelity Central Fund**  | **Investment Manager**  | **Investment Objective**  | **Investment Practices**  | **Expense Ratio** <sup>A</sup>  |
| 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%  |

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<sup>A</sup> *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.

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| | |
|:---|:---|
|  | **Amount**  |
| **Strategic Advisers Municipal Bond Fund**  | $9709  |

---

**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, 2025. During the period, this waiver reduced the Fund's management fee by $13,013,876.

Through arrangements with the Fund's custodian and transfer agent, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses by $14,929 and $167, respectively.

**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.

**Shareholder Expense Example**

As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (June 1, 2022 to November 30, 2022). <br>

***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.

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| | | | | |
|:---|:---|:---|:---|:---|
|  | **Annualized Expense Ratio-** <sup>A</sup>  | **Beginning Account Value June 1, 2022**  | **Ending Account Value November 30, 2022**  | **Expenses Paid During Period-** <sup>C</sup> **June 1, 2022 to November 30, 2022**  |
| **Strategic Advisers® Municipal Bond Fund**  | .09%  |  |  |  |
| **Actual**  |  | $1000  | $976.70  | $.45  |
| **Hypothetical-** <sup>B</sup>  |  | $1000  | $1024.62  | $.46  |

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*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/ 365 (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), votes at a meeting on the renewal of the 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 2022 meeting, the Board, including the Independent Trustees, unanimously determined to renew the fund's Advisory Contracts. In reaching its determination to renew the fund's Advisory Contracts, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness relative to peer funds of the fund's management fee and total expenses; (iii) the total costs of the services provided by and the profits, if any, realized by Strategic Advisers from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and are realized as the fund grows and whether any economies of scale are appropriately shared with fund shareholders.

In considering whether to renew the Advisory Contracts for the fund, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts is in the best interests of the fund and its shareholders. In addition, the Board concluded that the renewal of each Sub-Advisory Agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees charged under the Advisory Contracts bear a reasonable relationship to the services rendered. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board throughout the year.

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

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

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

<u>Resources Dedicated to Investment Management and Support Services</u> . 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.

<u>Shareholder and Administrative Services.</u> 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.

<u>Investment Performance</u> . The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions. As the fund recently commenced operations, the Board did not believe that it was appropriate to assign significant weight to its limited investment performance.

**Competitiveness of Management Fee and Total Fund Expenses** <u>.</u> 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.

<u>Management Fee.</u> The Board considered two proprietary management fee comparisons. The group of Lipper funds used by the Board for management fee comparisons is referred to as the "Total Mapped Group." The Total Mapped Group comparison focuses on a fund's standing in terms of gross management fees before expense reimbursements or caps relative to the total universe of funds with comparable investment mandates, regardless of whether their management fee structures also are comparable. Funds with comparable investment mandates offer exposure to similar types of securities. Funds with comparable management fee structures have similar management fee contractual arrangements (e.g., flat rate charged for advisory services, all-inclusive fee rate, etc.). "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a hypothetical TMG % of 20% would mean that 80% of the funds in the Total Mapped Group had higher, and 20% had lower, management fees than the fund. The fund's actual TMG % and the number of funds in the Total Mapped Group are in the chart below. The Board also compared the fund's management fee to an "Asset-Size Peer Group" (ASPG), which is a sub-set of the competitive funds in the Total Mapped Group. The ASPG comparison focuses on a fund's standing relative to non-Fidelity funds within the Total Mapped Group that are similar in size and management fee structure. For example, if a fund is in the first quartile of the ASPG, the fund's management fee ranks in the least expensive or lowest 25% of funds in the ASPG. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee structures, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee rate ranked, is also included in the chart and was considered by the Board.

![](img88000_7.jpg)

The Board noted that the fund's management fee rate ranked below the median of its Total Mapped Group and below the median of its ASPG for the 12-month period ended December 31, 2021.

Based on its review, the Board concluded that the fund's management fee bears a reasonable relationship to the services rendered.

<u>Total Expenses.</u> In its review of the fund's total expenses, the Board considered the fund's management fee rate as well as other fund expenses, as applicable, such as expenses from holding Fidelity and non-Fidelity mutual funds and ETFs, pricing and bookkeeping fees, and custodial, legal, and audit fees. The Board also noted the effects of any waivers and reimbursements on fees and expenses. The Board further noted that the fund's total expenses were compared to those funds and classes in the Total Mapped Group (used by the Board for management fee comparisons) that have similar sales load structures. This comparison, which is a proxy for comparing funds by distribution channel, showed the fund's position relative to competitive funds with similar sales load structures. The Board noted that the fund's total expense ratio ranked below the fund's similar sales load structure group competitive median for the 12-month period ended December 31, 2021.

<u>Fees Charged to Other Clients</u> . The Board also considered fee structures paid by the Investment Advisers' other clients, such as other funds advised or subadvised by the Investment Advisers, pension plan clients, and other institutional clients with similar investment mandates.

Based on its review of the total expense ratios and fees charged to other clients of Strategic Advisers or its affiliates and each Sub-Adviser, the Board concluded that the total expenses of the fund were reasonable in light of the services that the fund and its shareholders receive and the other factors considered.

**Costs of the Services and Profitability.** The Board considered information regarding the revenues earned and the expenses incurred by Strategic Advisers and its affiliates in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and servicing the fund's shareholders.

On an annual basis, Strategic Advisers presents to the Board information about the profitability of its relationships with the fund. Strategic Advisers calculates profitability information for the fund using a series of detailed revenue and cost allocation methodologies. The Board reviews any significant changes from the prior year's methodologies. Strategic Advisers noted that, to the extent possible, it employs the same corporate reporting of revenues and expenses as those used by other Fidelity funds.

A public accounting firm has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. The engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's mutual fund business, and completion of agreed-upon procedures in respect of the mathematical accuracy of certain fund profitability information and its conformity to established allocation methodologies. After considering the reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.

The Board also reviewed Fidelity's non-fund businesses and potential indirect benefits such businesses may have received as a result of their association with Fidelity's mutual fund business (i.e., fall-out benefits) as well as cases where Fidelity's affiliates may benefit from the fund's business. The Board noted that changes to fall-out benefits year-over-year reflect business developments at Fidelity's various businesses.

The Board considered the costs of the services provided by and the profits realized, if any, by Strategic Advisers and its affiliates in connection with the operation of the fund and was satisfied that the profitability was not excessive.

The Board also considered information regarding the profitability of the Sub-Advisers' respective relationships with the fund and the potential fall-out benefits, if any, that may accrue to the Sub-Advisers as a result of their respective relationships with the fund. The Board noted the difficulty in evaluating a Sub-Adviser's costs and the profitability of a Sub-Advisory Agreement to a Sub-Adviser because of, among other things, differences in the type and content of information provided by each Sub-Adviser due to differences in business models, cost accounting methods, and profitability calculation methodologies among the Sub-Advisers. Accordingly, the Board considered profitability information provided by the Sub-Advisers in light of the nature of the relationships between Strategic Advisers and the Sub-Advisers with respect to the negotiation of sub-advisory fees.

**Possible Economies of Scale** . The Board considered whether there have been economies of scale in respect of the management of the Strategic Advisers funds, whether the Strategic Advisers funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale as assets grow through increased services to the fund, through waivers or reimbursements, or through fee or expense ratio reductions. The Board considered that certain of the fund's Sub-Advisory Agreements provide for breakpoints as the fund's assets grow and noted that any potential decline in sub-advisory fees under such contracts would accrue directly to the fund. The Board also took Strategic Advisers' management fee waiver into consideration.

**Conclusion** . Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee arrangements bear a reasonable relationship to the services rendered and that the fund's Advisory Contracts should be renewed 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.

![](img88000_2.jpg) <br>

1.9903615.101 SAM-SANN-0123

**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, 2022**

![](img87989_1.jpg)

![](img87989_2.jpg)

**Contents**

---

| |
|:---|
| **[Investment Summary](#Sec_InvestmentSummary3080)** |
| **[Schedule of Investments](#Sec_ScheduleOfInvestments3080)** |
| **[Financial Statements](#Sec_FinancialStatements3080)** |
| **[Notes to Financial Statements](#Sec_Notes to Financial Statements)** |
| **[Shareholder Expense Example](#Sec_Shareholder Expense Example)** |
| **[Board Approval of Amended Sub-Advisory Agreement](#Sec_Board Approval of Investment Advisory Contracts and Management Fees)** |

---

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.© 2023 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.*

**Investment Summary November 30, 2022 (Unaudited)**

The information in the following table is based on the direct Investments of the Fund.

---

| | |
|:---|:---|
| &nbsp;&nbsp; **Top Holdings (% of Fund's net assets)**  | &nbsp;&nbsp; **Top Holdings (% of Fund's net assets)**  |
| (excluding cash equivalents)  | (excluding cash equivalents)  |
| Fidelity SAI U.S. Quality Index Fund  | 13.0  |
| Fidelity Growth Company Fund  | 8.9  |
| Fidelity Contrafund  | 6.5  |
| Fidelity Magellan Fund  | 6.0  |
| Fidelity Large Cap Value Enhanced Index Fund  | 4.6  |
| Fidelity SAI U.S. Low Volatility Index Fund  | 3.9  |
| Fidelity SAI U.S. Momentum Index Fund  | 2.6  |
| Fidelity Blue Chip Growth Fund  | 1.7  |
| Microsoft Corp.  | 1.7  |
| Fidelity SAI U.S. Large Cap Index Fund  | 1.7  |
|  | 50.6  |

---

---

| | |
|:---|:---|
| &nbsp;&nbsp; **Market Sectors (% of Fund's net assets)**  | &nbsp;&nbsp; **Market Sectors (% of Fund's net assets)**  |
| (Stocks Only)  | (Stocks Only)  |
| Financials  | 60.3  |
| Information Technology  | 8.2  |
| Health Care  | 7.1  |
| Industrials  | 5.7  |
| Consumer Discretionary  | 3.8  |
| Energy  | 3.7  |
| Communication Services  | 2.9  |
| Consumer Staples  | 2.7  |
| Materials  | 1.7  |
| Utilities  | 1.6  |
| Real Estate  | 0.9  |
| Investment Companies  | 0.0  |

---

*Percentages shown as 0.0% may reflect amounts less than 0.05%.*

---

| |
|:---|
| &nbsp;&nbsp; **Asset Allocation (% of Fund's net assets)**  |
| ![](img87989_5.jpg) <br>|
| *Foreign investments - 4.8%*  |

---

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

**Schedule of Investments November 30, 2022 (Unaudited)**

Showing Percentage of Net Assets

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **Common Stocks - 45.1%**  | &nbsp;&nbsp; **Common Stocks - 45.1%**  | &nbsp;&nbsp; **Common Stocks - 45.1%**  |
|  | Shares  | Value ($) <br>|
| COMMUNICATION SERVICES - 2.9%  |  |  |
| Diversified Telecommunication Services - 0.1%  |  |  |
|  Cellnex Telecom SA (a)  | 328900  | 11310393  |
|  Cogent Communications Group, Inc.  | 48890  | 2838065  |
|  EchoStar Holding Corp. Class A (b)(c)  | 66003  | 1148452  |
|  Liberty Global PLC Class C (b)  | 736500  | 15230820  |
|  Verizon Communications, Inc.  | 379109  | 14777669  |
|  |  | 45305399  |
| Entertainment - 0.6%  |  |  |
|  Activision Blizzard, Inc.  | 1876144  | 138740849  |
|  Cinemark Holdings, Inc. (b)(c)  | 378400  | 5150024  |
|  IMAX Corp. (b)  | 1302860  | 22005305  |
|  International Games Systems Co. Ltd.  | 471000  | 6002657  |
|  Liberty Media Corp. Liberty Liberty Formula One Series C (b)  | 276700  | 16862098  |
|  Netflix, Inc. (b)  | 265900  | 81240427  |
|  Nintendo Co. Ltd. ADR  | 963015  | 10333151  |
|  Sciplay Corp. (A Shares) (b)  | 43721  | 700410  |
|  Sea Ltd. ADR (b)  | 210200  | 12269374  |
|  Take-Two Interactive Software, Inc. (b)  | 127998  | 13528109  |
|  The Walt Disney Co. (b)  | 804722  | 78758142  |
|  Universal Music Group NV  | 1577883  | 37523286  |
|  Warner Bros Discovery, Inc. (b)  | 571358  | 6513481  |
|  |  | 429627313  |
| Interactive Media & Services - 1.3%  |  |  |
|  Alphabet, Inc.:  |  |  |
|  Class A (b)  | 5276940  | 532918171  |
|  Class C (b)  | 1638740  | 166250173  |
|  Cars.com, Inc. (b)  | 465700  | 6883046  |
|  Match Group, Inc. (b)  | 30600  | 1547136  |
|  Meta Platforms, Inc. Class A (b)  | 1642400  | 193967440  |
|  QuinStreet, Inc. (b)  | 166653  | 2371472  |
|  Snap, Inc. Class A (b)  | 2690400  | 27738024  |
|  Tongdao Liepin Group (b)  | 668269  | 675193  |
|  Ziff Davis, Inc. (b)  | 258363  | 23836570  |
|  ZIGExN Co. Ltd.  | 938100  | 2463253  |
|  |  | 958650478  |
| Media - 0.8%  |  |  |
|  Altice U.S.A., Inc. Class A (b)  | 502000  | 2289120  |
|  Charter Communications, Inc. Class A (b)  | 206600  | 80840514  |
|  Comcast Corp. Class A  | 9521001  | 348849477  |
|  iHeartMedia, Inc. (b)  | 1206154  | 9697478  |
|  Interpublic Group of Companies, Inc.  | 1120925  | 38514983  |
|  Liberty Broadband Corp.:  |  |  |
|  Class A (b)  | 205700  | 18554140  |
|  Class C (b)  | 165200  | 15010072  |
|  Nexstar Broadcasting Group, Inc. Class A  | 25100  | 4757956  |
|  Pico Far East Holdings Ltd.  | 1000000  | 144009  |
|  Sirius XM Holdings, Inc. (c)  | 363272  | 2357635  |
|  TechTarget, Inc. (b)  | 156870  | 7162684  |
|  The New York Times Co. Class A  | 379000  | 13890350  |
|  Thryv Holdings, Inc. (b)(c)  | 342381  | 6566868  |
|  |  | 548635286  |
| Wireless Telecommunication Services - 0.1%  |  |  |
|  Gogo, Inc. (b)  | 175860  | 2759243  |
|  T-Mobile U.S., Inc. (b)  | 292375  | 44283118  |
|  |  | 47042361  |
|  TOTAL COMMUNICATION SERVICES  |  | 2029260837  |
| CONSUMER DISCRETIONARY - 3.8%  |  |  |
| Auto Components - 0.2%  |  |  |
|  Adient PLC (b)  | 1293001  | 50349459  |
|  Akwel  | 5700  | 98434  |
|  Autoliv, Inc.  | 126958  | 11223087  |
|  BorgWarner, Inc.  | 442603  | 18815054  |
|  Brembo SpA  | 212700  | 2490113  |
|  Cie Automotive SA  | 186000  | 4740166  |
|  Compagnie Plastic Omnium SA  | 103600  | 1622187  |
|  DaikyoNishikawa Corp.  | 604000  | 2609759  |
|  Gentex Corp.  | 416126  | 12026041  |
|  Gentherm, Inc. (b)  | 56558  | 4048987  |
|  Lear Corp.  | 261748  | 37754532  |
|  Murakami Corp.  | 19800  | 334664  |
|  Patrick Industries, Inc. (c)  | 208990  | 11688811  |
|  |  | 157801294  |
| Automobiles - 0.2%  |  |  |
|  Ferrari NV  | 49500  | 11040975  |
|  General Motors Co.  | 153246  | 6215658  |
|  Harley-Davidson, Inc.  | 146000  | 6880980  |
|  Tesla, Inc. (b)  | 744300  | 144915210  |
|  |  | 169052823  |
| Distributors - 0.1%  |  |  |
|  Arata Corp.  | 71900  | 2113616  |
|  Harima-Kyowa Co. Ltd.  | 25100  | 284552  |
|  LKQ Corp.  | 902993  | 49059610  |
|  Yagi & Co. Ltd.  | 17945  | 144891  |
|  |  | 51602669  |
| Diversified Consumer Services - 0.2%  |  |  |
|  Adtalem Global Education, Inc. (b)  | 317866  | 13223226  |
|  Carriage Services, Inc.  | 24021  | 604128  |
|  European Wax Center, Inc. (c)  | 166230  | 2410335  |
|  Grand Canyon Education, Inc. (b)  | 75159  | 8498228  |
|  H&R Block, Inc.  | 2418800  | 105725748  |
|  Heian Ceremony Service Co. Ltd.  | 98988  | 540871  |
|  Laureate Education, Inc. Class A (c)  | 2000570  | 20965974  |
|  OneSpaWorld Holdings Ltd. (b)  | 316120  | 3151716  |
|  Perdoceo Education Corp. (b)  | 121938  | 1749810  |
|  Service Corp. International  | 281721  | 20128965  |
|  WW International, Inc. (b)(c)  | 90577  | 374083  |
|  |  | 177373084  |
| Hotels, Restaurants & Leisure - 0.7%  |  |  |
|  ARAMARK Holdings Corp.  | 751200  | 31249920  |
|  Betsson AB (B Shares)  | 166700  | 1364911  |
|  Booking Holdings, Inc. (b)  | 51867  | 107854833  |
|  Bowlero Corp. Class A (b)  | 111580  | 1557657  |
|  Brinker International, Inc. (b)  | 312600  | 10456470  |
|  Caesars Entertainment, Inc. (b)  | 348100  | 17686961  |
|  Choice Hotels International, Inc.  | 58418  | 7198266  |
|  Churchill Downs, Inc.  | 101300  | 22484548  |
|  Domino's Pizza, Inc.  | 120017  | 46654208  |
|  El Pollo Loco Holdings, Inc.  | 169210  | 1844389  |
|  Everi Holdings, Inc. (b)  | 274403  | 4588018  |
|  Expedia, Inc. (b)  | 120066  | 12827851  |
|  Jack in the Box, Inc.  | 19940  | 1441662  |
|  Light & Wonder, Inc. Class A (b)  | 39100  | 2532507  |
|  Marriott International, Inc. Class A  | 449400  | 74308290  |
|  McDonald's Corp.  | 112000  | 30552480  |
|  NeoGames SA (b)  | 334530  | 4619859  |
|  Noodles & Co. (b)  | 288820  | 1591398  |
|  Penn Entertainment, Inc. (b)  | 346500  | 12193335  |
|  Planet Fitness, Inc. (b)  | 259900  | 20365764  |
|  Ruth's Hospitality Group, Inc.  | 587510  | 10287300  |
|  Starbucks Corp.  | 83802  | 8564564  |
|  Wingstop, Inc. (c)  | 79427  | 13145963  |
|  Wyndham Hotels & Resorts, Inc.  | 391648  | 28715631  |
|  |  | 474086785  |
| Household Durables - 0.3%  |  |  |
|  Cavco Industries, Inc. (b)  | 14526  | 3335605  |
|  Cuckoo Holdings Co. Ltd.  | 40045  | 499604  |
|  D.R. Horton, Inc.  | 203200  | 17475200  |
|  Ethan Allen Interiors, Inc. (c)  | 37405  | 1064172  |
|  FJ Next Co. Ltd.  | 112000  | 787826  |
|  Helen of Troy Ltd. (b)  | 195450  | 19259643  |
|  Lennar Corp. Class A  | 355300  | 31205999  |
|  LGI Homes, Inc. (b)(c)  | 29150  | 2895761  |
|  Mohawk Industries, Inc. (b)  | 348206  | 35283714  |
|  Pressance Corp.  | 305900  | 3563116  |
|  PulteGroup, Inc.  | 876333  | 39242192  |
|  Skyline Champion Corp. (b)  | 93897  | 4881705  |
|  Sony Group Corp. sponsored ADR  | 103900  | 8630973  |
|  Taylor Morrison Home Corp. (b)  | 107480  | 3266317  |
|  Tempur Sealy International, Inc.  | 777180  | 24691009  |
|  Toll Brothers, Inc.  | 194958  | 9340438  |
|  TopBuild Corp. (b)  | 67602  | 10416116  |
|  TRI Pointe Homes, Inc. (b)  | 138680  | 2557259  |
|  Vistry Group PLC  | 561463  | 4210001  |
|  Whirlpool Corp.  | 24852  | 3641564  |
|  |  | 226248214  |
| Internet & Direct Marketing Retail - 0.6%  |  |  |
|  Amazon.com, Inc. (b)  | 3535900  | 341355786  |
|  ASKUL Corp.  | 332500  | 3844663  |
|  eBay, Inc.  | 1155600  | 52510464  |
|  PetMed Express, Inc. (c)  | 35646  | 705791  |
|  Revolve Group, Inc. (b)(c)  | 67202  | 1775477  |
|  Takkt AG  | 158494  | 2210941  |
|  Uber Technologies, Inc. (b)  | 536400  | 15630696  |
|  |  | 418033818  |
| Leisure Products - 0.0%  |  |  |
|  Malibu Boats, Inc. Class A (b)  | 36350  | 2097759  |
|  Sturm, Ruger & Co., Inc. (c)  | 31221  | 1714970  |
|  YETI Holdings, Inc. (b)  | 149404  | 6706746  |
|  |  | 10519475  |
| Multiline Retail - 0.3%  |  |  |
|  B&M European Value Retail SA  | 1270900  | 6296105  |
|  Big Lots, Inc. (c)  | 272533  | 5314394  |
|  Dillard's, Inc. Class A (c)  | 6562  | 2360351  |
|  Dollar General Corp.  | 558500  | 142797280  |
|  Europris ASA (a)  | 960181  | 6102279  |
|  Max Stock Ltd.  | 99100  | 159754  |
|  Next PLC  | 70000  | 5002692  |
|  Nordstrom, Inc. (c)  | 338600  | 7100442  |
|  Ollie's Bargain Outlet Holdings, Inc. (b)(c)  | 6630  | 403767  |
|  Target Corp.  | 80800  | 13499256  |
|  |  | 189036320  |
| Specialty Retail - 0.9%  |  |  |
|  Academy Sports & Outdoors, Inc.  | 260225  | 13136158  |
|  Advance Auto Parts, Inc.  | 44674  | 6745327  |
|  America's Car Mart, Inc. (b)(c)  | 14070  | 1023733  |
|  American Eagle Outfitters, Inc.  | 133590  | 2113394  |
|  Arcland Sakamoto Co. Ltd.  | 100000  | 1092333  |
|  AutoNation, Inc. (b)(c)  | 63159  | 7826032  |
|  AutoZone, Inc. (b)  | 3900  | 10058100  |
|  Bath & Body Works, Inc.  | 423264  | 17988720  |
|  Burlington Stores, Inc. (b)  | 163600  | 32013248  |
|  Dick's Sporting Goods, Inc. (c)  | 189696  | 22683848  |
|  Five Below, Inc. (b)  | 107100  | 17228106  |
|  Foot Locker, Inc.  | 199907  | 7956299  |
|  Group 1 Automotive, Inc. (c)  | 29475  | 5698697  |
|  Haverty Furniture Companies, Inc. (c)  | 24604  | 775764  |
|  Industria de Diseno Textil SA  | 482000  | 12582037  |
|  JD Sports Fashion PLC  | 4018994  | 6194556  |
|  Lookers PLC  | 465231  | 451681  |
|  Lowe's Companies, Inc.  | 824508  | 175249175  |
|  Maisons du Monde SA (a)(c)  | 433700  | 5342275  |
|  Monro, Inc. (c)  | 59473  | 2704237  |
|  Murphy U.S.A., Inc.  | 39518  | 11689820  |
|  National Vision Holdings, Inc. (b)  | 137810  | 5575793  |
|  Penske Automotive Group, Inc. (c)  | 52053  | 6582102  |
|  Pets At Home Group PLC  | 1341200  | 4270122  |
|  Rent-A-Center, Inc. (c)  | 108070  | 2603406  |
|  Ross Stores, Inc.  | 503700  | 59270379  |
|  Sally Beauty Holdings, Inc. (b)  | 368000  | 4327680  |
|  The Buckle, Inc.  | 52400  | 2302980  |
|  The Home Depot, Inc.  | 188300  | 61007317  |
|  The Hour Glass Ltd.  | 1760100  | 2773539  |
|  TJX Companies, Inc.  | 986900  | 79001345  |
|  Victoria's Secret & Co. (b)  | 134600  | 6191600  |
|  WH Smith PLC  | 260300  | 4444291  |
|  Williams-Sonoma, Inc. (c)  | 195387  | 22840740  |
|  |  | 621744834  |
| Textiles, Apparel & Luxury Goods - 0.3%  |  |  |
|  Capri Holdings Ltd. (b)  | 164000  | 9405400  |
|  Crocs, Inc. (b)  | 220300  | 22250300  |
|  Deckers Outdoor Corp. (b)  | 13145  | 5243278  |
|  Embry Holdings Ltd. (b)  | 111000  | 7138  |
|  Kontoor Brands, Inc. (c)  | 302676  | 13151272  |
|  NIKE, Inc. Class B  | 310300  | 34036807  |
|  PVH Corp.  | 602100  | 40449078  |
|  Rocky Brands, Inc. (c)  | 206555  | 5841375  |
|  Sitoy Group Holdings Ltd.  | 1699000  | 122290  |
|  Skechers U.S.A., Inc. Class A (sub. vtg.) (b)  | 75610  | 3188474  |
|  Steven Madden Ltd.  | 89580  | 3094093  |
|  Tapestry, Inc.  | 1057000  | 39922890  |
|  Wolverine World Wide, Inc.  | 65930  | 738416  |
|  |  | 177450811  |
|  TOTAL CONSUMER DISCRETIONARY  |  | 2672950127  |
| CONSUMER STAPLES - 2.7%  |  |  |
| Beverages - 0.7%  |  |  |
|  Coca-Cola European Partners PLC  | 744500  | 39525505  |
|  Constellation Brands, Inc. Class A (sub. vtg.)  | 347200  | 89351920  |
|  Diageo PLC sponsored ADR (c)  | 210205  | 39213743  |
|  Keurig Dr. Pepper, Inc.  | 645500  | 24961485  |
|  Monster Beverage Corp. (b)  | 751600  | 77309576  |
|  National Beverage Corp. (c)  | 41368  | 2131693  |
|  Primo Water Corp. (c)  | 177790  | 2782414  |
|  The Coca-Cola Co.  | 2918786  | 185663977  |
|  Yantai Changyu Pioneer Wine Co. Ltd. (B Shares)  | 273321  | 401554  |
|  |  | 461341867  |
| Food & Staples Retailing - 0.7%  |  |  |
|  Acomo NV  | 107400  | 2189298  |
|  Alimentation Couche-Tard, Inc. Class A (multi-vtg.) (c)  | 429700  | 19575524  |
|  Belc Co. Ltd.  | 10400  | 433583  |
|  BJ's Wholesale Club Holdings, Inc. (b)  | 146641  | 11033269  |
|  Costco Wholesale Corp.  | 272100  | 146729925  |
|  G-7 Holdings, Inc.  | 366200  | 4091160  |
|  Ingles Markets, Inc. Class A  | 25450  | 2572995  |
|  OM2 Network Co. Ltd.  | 25200  | 194434  |
|  Performance Food Group Co. (b)  | 796789  | 48588193  |
|  PriceSmart, Inc.  | 40949  | 2909017  |
|  Sprouts Farmers Market LLC (b)  | 1278850  | 43902921  |
|  Sysco Corp.  | 614955  | 53199757  |
|  U.S. Foods Holding Corp. (b)  | 2536925  | 92800717  |
|  United Natural Foods, Inc. (b)  | 137940  | 6576979  |
|  Walgreens Boots Alliance, Inc.  | 210630  | 8741145  |
|  Walmart, Inc.  | 329500  | 50222390  |
|  Weis Markets, Inc.  | 29089  | 2536852  |
|  YAKUODO Holdings Co. Ltd.  | 40300  | 760287  |
|  |  | 497058446  |
| Food Products - 0.5%  |  |  |
|  Armanino Foods of Distinction  | 10000  | 36000  |
|  Bunge Ltd.  | 761200  | 79804208  |
|  Flowers Foods, Inc.  | 353787  | 10631299  |
|  Freshpet, Inc. (b)(c)  | 285880  | 19159678  |
|  Hostess Brands, Inc. Class A (b)  | 513310  | 13551384  |
|  Ingredion, Inc.  | 113388  | 11108622  |
|  John B. Sanfilippo & Son, Inc.  | 15101  | 1278904  |
|  Kaneko Seeds Co. Ltd.  | 58100  | 603579  |
|  Lancaster Colony Corp.  | 33785  | 6998225  |
|  LDC SA  | 10059  | 1100302  |
|  Local Bounti Corp. (b)(c)  | 408447  | 857739  |
|  Mondelez International, Inc.  | 1722200  | 116437942  |
|  Nomad Foods Ltd. (b)  | 242100  | 4234329  |
|  Pickles Holdings Co. Ltd.  | 100000  | 788542  |
|  S Foods, Inc.  | 205800  | 4378615  |
|  Sovos Brands, Inc. (b)  | 112220  | 1614846  |
|  SunOpta, Inc. (b)(c)  | 1270900  | 11882915  |
|  The J.M. Smucker Co.  | 396700  | 61095767  |
|  Tootsie Roll Industries, Inc. (c)  | 30340  | 1363783  |
|  TreeHouse Foods, Inc. (b)  | 89970  | 4447217  |
|  Tyson Foods, Inc. Class A  | 468000  | 31019040  |
|  Whole Earth Brands, Inc. Class A (b)  | 577350  | 2499926  |
|  |  | 384892862  |
| Household Products - 0.5%  |  |  |
|  Central Garden & Pet Co. Class A (non-vtg.) (b)  | 19070  | 745065  |
|  Colgate-Palmolive Co.  | 3000  | 232440  |
|  Procter & Gamble Co.  | 1609400  | 240058104  |
|  Reckitt Benckiser Group PLC  | 564000  | 40474618  |
|  Spectrum Brands Holdings, Inc.  | 665013  | 35425243  |
|  The Clorox Co.  | 212100  | 31528665  |
|  Transaction Co. Ltd.  | 49100  | 461320  |
|  WD-40 Co. (c)  | 24277  | 4066398  |
|  |  | 352991853  |
| Personal Products - 0.2%  |  |  |
|  Estee Lauder Companies, Inc. Class A  | 386200  | 91062098  |
|  Haleon PLC ADR (b)  | 2709959  | 18671618  |
|  Hengan International Group Co. Ltd.  | 403500  | 1859912  |
|  Herbalife Nutrition Ltd. (b)  | 167954  | 2942554  |
|  MediFast, Inc.  | 19771  | 2492135  |
|  Nu Skin Enterprises, Inc. Class A  | 89013  | 3712732  |
|  The Beauty Health Co. (b)(c)  | 669347  | 7195480  |
|  Unilever PLC sponsored ADR (c)  | 411700  | 20741446  |
|  USANA Health Sciences, Inc. (b)  | 20411  | 1123421  |
|  |  | 149801396  |
| Tobacco - 0.1%  |  |  |
|  Altria Group, Inc.  | 1539881  | 71727657  |
|  KT&G Corp.  | 40099  | 3076548  |
|  Vector Group Ltd.  | 233485  | 2591684  |
|  |  | 77395889  |
|  TOTAL CONSUMER STAPLES  |  | 1923482313  |
| ENERGY - 3.6%  |  |  |
| Energy Equipment & Services - 0.2%  |  |  |
|  Baker Hughes Co. Class A  | 53900  | 1564178  |
|  Expro Group Holdings NV (b)  | 2457200  | 42681564  |
|  Halliburton Co.  | 147200  | 5577408  |
|  Liberty Oilfield Services, Inc. Class A  | 220009  | 3636749  |
|  Natural Gas Services Group, Inc. (b)  | 168491  | 1861826  |
|  Nextier Oilfield Solutions, Inc. (b)  | 264760  | 2697904  |
|  Oceaneering International, Inc. (b)  | 311560  | 4732596  |
|  Schlumberger Ltd.  | 840000  | 43302000  |
|  TechnipFMC PLC (b)  | 320200  | 3970480  |
|  Weatherford International PLC (b)  | 1041400  | 45196760  |
|  |  | 155221465  |
| Oil, Gas & Consumable Fuels - 3.4%  |  |  |
|  Antero Resources Corp. (b)(c)  | 1653540  | 60436887  |
|  Baytex Energy Corp. (b)(c)  | 920400  | 4700701  |
|  California Resources Corp. (c)  | 57680  | 2617518  |
|  Canadian Natural Resources Ltd.  | 1013500  | 60509374  |
|  Cenovus Energy, Inc.:  |  |  |
|  warrants 1/1/26 (b)  | 117180  | 1757940  |
| (Canada)  | 5431154  | 108005330  |
|  China Petroleum & Chemical Corp. (H Shares)  | 7586000  | 3581307  |
|  Civitas Resources, Inc.  | 95065  | 6403578  |
|  CNX Resources Corp. (b)  | 651200  | 11311344  |
|  ConocoPhillips Co.  | 807200  | 99697272  |
|  CONSOL Energy, Inc.  | 56784  | 4397921  |
|  CVR Energy, Inc. (c)  | 53370  | 1966685  |
|  Diamondback Energy, Inc.  | 172600  | 25548252  |
|  Eco Atlantic Oil & Gas Ltd. (b)  | 2271000  | 607784  |
|  Enterprise Products Partners LP  | 166100  | 4120941  |
|  EQT Corp.  | 263600  | 11179276  |
|  Equinor ASA sponsored ADR (c)  | 995800  | 38318384  |
|  Exxon Mobil Corp. (d)  | 9999045  | 1113293670  |
|  Genesis Energy LP  | 363035  | 3837280  |
|  Golar LNG Ltd. (b)  | 116180  | 2912633  |
|  Hess Corp.  | 1638163  | 235748037  |
|  HF Sinclair Corp.  | 244600  | 15248364  |
|  Imperial Oil Ltd. (c)  | 1465700  | 83388485  |
|  Kosmos Energy Ltd. (b)  | 9072028  | 60328986  |
|  Magnolia Oil & Gas Corp. Class A  | 625570  | 16314866  |
|  MEG Energy Corp. (b)  | 2658325  | 37844793  |
|  Motor Oil (HELLAS) Corinth Refineries SA  | 44600  | 900300  |
|  National Energy Services Reunited Corp. (b)  | 298510  | 1907479  |
|  Northern Oil & Gas, Inc.  | 71990  | 2619716  |
|  Occidental Petroleum Corp.  | 840100  | 58378549  |
|  Oil & Natural Gas Corp. Ltd.  | 2011500  | 3527168  |
|  Ovintiv, Inc. (c)  | 1119850  | 62442836  |
|  Parex Resources, Inc.  | 1632800  | 23378603  |
|  PDC Energy, Inc.  | 249000  | 18505680  |
|  Phillips 66 Co.  | 420768  | 45628082  |
|  Range Resources Corp.  | 738460  | 21319340  |
|  Sinopec Kantons Holdings Ltd.  | 2606000  | 891060  |
|  Southwestern Energy Co. (b)  | 3153884  | 21824877  |
|  Star Petroleum Refining PCL (For. Reg.)  | 2366800  | 785238  |
|  TotalEnergies SE sponsored ADR  | 244020  | 15231728  |
|  Tourmaline Oil Corp. (c)  | 1223000  | 74435572  |
|  Valero Energy Corp.  | 255500  | 34139910  |
|  Vertex Energy, Inc. (b)(c)  | 174000  | 1442460  |
|  |  | 2401436206  |
|  TOTAL ENERGY  |  | 2556657671  |
| FINANCIALS - 7.1%  |  |  |
| Banks - 3.6%  |  |  |
|  AIB Group PLC  | 1217800  | 3954531  |
|  Associated Banc-Corp.  | 2378816  | 58518874  |
|  Bancorp, Inc., Delaware (b)  | 868296  | 26022831  |
|  Bank of America Corp.  | 15517656  | 587343280  |
|  Bank7 Corp.  | 10000  | 278000  |
|  BankUnited, Inc.  | 883718  | 32450125  |
|  Bar Harbor Bankshares  | 101400  | 3069378  |
|  BNP Paribas SA  | 193427  | 10869050  |
|  Byline Bancorp, Inc.  | 95020  | 2165506  |
|  Cadence Bank (c)  | 723540  | 20866894  |
|  Camden National Corp. (c)  | 84400  | 3695032  |
|  Citizens Financial Group, Inc.  | 332072  | 14073211  |
|  Comerica, Inc.  | 244472  | 17538421  |
|  Cullen/Frost Bankers, Inc.  | 138800  | 20135716  |
|  Customers Bancorp, Inc. (b)  | 50754  | 1637832  |
|  DNB Bank ASA  | 144700  | 2825433  |
|  Eurobank Ergasias Services and Holdings SA (b)  | 8723411  | 10060611  |
|  First Bancorp, Puerto Rico (c)  | 327600  | 5038488  |
|  First Foundation, Inc.  | 623130  | 8730051  |
|  First Interstate Bancsystem, Inc. (c)  | 140390  | 6123812  |
|  First Northwest Bancorp  | 164023  | 2399656  |
|  FNB Corp., Pennsylvania  | 1309500  | 18463950  |
|  Hanmi Financial Corp.  | 187315  | 5066871  |
|  Independent Bank Corp.  | 113320  | 2780873  |
|  JPMorgan Chase & Co.  | 2404784  | 332293053  |
|  M&T Bank Corp.  | 644232  | 109532325  |
|  NatWest Group PLC  | 1312300  | 4173522  |
|  Nicolet Bankshares, Inc. (b)(c)  | 46600  | 3854752  |
|  Orrstown Financial Services, Inc.  | 113366  | 3050679  |
|  PacWest Bancorp  | 1178519  | 30782916  |
|  Pathward Financial, Inc.  | 52061  | 2266215  |
|  Piraeus Financial Holdings SA (b)  | 3013900  | 4488486  |
|  Plumas Bancorp  | 145000  | 5147500  |
|  PNC Financial Services Group, Inc.  | 1002444  | 168671227  |
|  Preferred Bank, Los Angeles  | 24900  | 1882191  |
|  Professional Holdings Corp. (A Shares) (b)  | 80582  | 2415043  |
|  QCR Holdings, Inc.  | 133900  | 7044479  |
|  Signature Bank  | 254591  | 35515445  |
|  Societe Generale Series A  | 443417  | 11160379  |
|  Sumitomo Mitsui Financial Group, Inc.  | 191500  | 6499653  |
|  Synovus Financial Corp.  | 250250  | 10543033  |
|  The Bank of NT Butterfield & Son Ltd.  | 49522  | 1723366  |
|  The Bank of Princeton  | 5000  | 162750  |
|  Truist Financial Corp.  | 1148242  | 53749208  |
|  U.S. Bancorp  | 1841620  | 83591132  |
|  UniCredit SpA  | 906608  | 12382388  |
|  Union Bankshares, Inc. (c)  | 30712  | 758586  |
|  United Community Bank, Inc. (c)  | 391968  | 15274993  |
|  Univest Corp. of Pennsylvania  | 448150  | 12642312  |
|  Washington Trust Bancorp, Inc.  | 108700  | 5408912  |
|  Webster Financial Corp.  | 530641  | 28835032  |
|  Wells Fargo & Co.  | 14963351  | 717492680  |
|  West Bancorp., Inc.  | 77400  | 1860696  |
|  Western Alliance Bancorp.  | 211688  | 14509096  |
|  Wintrust Financial Corp.  | 63260  | 5783862  |
|  |  | 2557604337  |
| Capital Markets - 1.1%  |  |  |
|  Affiliated Managers Group, Inc.  | 303300  | 48655386  |
|  Artisan Partners Asset Management, Inc. (c)  | 119491  | 4145143  |
|  Banca Generali SpA  | 101100  | 3428488  |
|  Bank of New York Mellon Corp.  | 1450945  | 66598376  |
|  BlackRock, Inc. Class A  | 187269  | 134084604  |
|  Bridge Investment Group Holdings, Inc.  | 44355  | 676414  |
|  Cboe Global Markets, Inc.  | 45000  | 5707800  |
|  CI Financial Corp.  | 339600  | 3592542  |
|  Cohen & Steers, Inc.  | 44884  | 2973565  |
|  Cowen Group, Inc. Class A  | 28410  | 1098331  |
|  Diamond Hill Investment Group, Inc.  | 5622  | 1000491  |
|  Donnelley Financial Solutions, Inc. (b)  | 49597  | 1893613  |
|  Evercore, Inc. Class A  | 72057  | 8299525  |
|  Federated Hermes, Inc.  | 412789  | 15669470  |
|  Focus Financial Partners, Inc. Class A (b)  | 155210  | 5922814  |
|  Goldman Sachs Group, Inc.  | 38817  | 14989185  |
|  GQG Partners, Inc. unit  | 1151700  | 1176962  |
|  Hamilton Lane, Inc. Class A  | 61941  | 4576201  |
|  Houlihan Lokey  | 88487  | 8702696  |
|  Intercontinental Exchange, Inc.  | 233580  | 25299050  |
|  Invesco Ltd.  | 584300  | 11165973  |
|  KKR & Co. LP  | 741007  | 38473083  |
|  Lazard Ltd. Class A (c)  | 834302  | 30543796  |
|  LPL Financial  | 56100  | 13279431  |
|  Moelis & Co. Class A (c)  | 115151  | 4976826  |
|  Morgan Stanley  | 429512  | 39974682  |
|  Northern Trust Corp.  | 1134066  | 105592885  |
|  Patria Investments Ltd. (c)  | 166563  | 2273585  |
|  Perella Weinberg Partners Class A (c)  | 462900  | 4429953  |
|  PJT Partners, Inc.  | 43670  | 3363027  |
|  Rathbone Brothers PLC  | 134000  | 3436042  |
|  Raymond James Financial, Inc.  | 260159  | 30412587  |
|  SEI Investments Co.  | 185147  | 11530955  |
|  State Street Corp.  | 993357  | 79140752  |
|  StepStone Group, Inc. Class A  | 324272  | 9721675  |
|  Van Lanschot Kempen NV (Bearer)  | 5800  | 139255  |
|  Victory Capital Holdings, Inc.  | 27808  | 806432  |
|  Virtu Financial, Inc. Class A  | 396937  | 8804063  |
|  Virtus Investment Partners, Inc.  | 36060  | 6993476  |
|  |  | 763549134  |
| Consumer Finance - 0.3%  |  |  |
|  Aeon Credit Service (Asia) Co. Ltd.  | 2930000  | 1794542  |
|  American Express Co.  | 177295  | 27939919  |
|  Atlanticus Holdings Corp. (b)(c)  | 9518  | 274118  |
|  Capital One Financial Corp.  | 205947  | 21261968  |
|  Credit Acceptance Corp. (b)(c)  | 13300  | 6303668  |
|  Discover Financial Services  | 375390  | 40677260  |
|  FirstCash Holdings, Inc.  | 377780  | 35458431  |
|  OneMain Holdings, Inc.  | 1060349  | 41735337  |
|  Shriram Transport Finance Co. Ltd.  | 210246  | 3502219  |
|  SLM Corp.  | 477873  | 8343663  |
|  Synchrony Financial  | 199336  | 7491047  |
|  |  | 194782172  |
| Diversified Financial Services - 0.6%  |  |  |
|  Acacia Research Corp. (b)  | 81216  | 335422  |
|  Berkshire Hathaway, Inc.:  |  |  |
|  Class A (b)  | 2  | 960560  |
|  Class B (b)  | 1074248  | 342255413  |
|  BFF Bank SpA (a)  | 693800  | 5433059  |
|  Cannae Holdings, Inc. (b)  | 1053940  | 24419790  |
|  Jackson Financial, Inc.  | 153272  | 5724709  |
|  Sunrisemezz Ltd. (b)  | 430557  | 53554  |
|  Zenkoku Hosho Co. Ltd.  | 53600  | 1995742  |
|  |  | 381178249  |
| Insurance - 1.2%  |  |  |
|  American Financial Group, Inc.  | 112715  | 16030327  |
|  Arthur J. Gallagher & Co.  | 145658  | 29001964  |
|  ASR Nederland NV  | 137300  | 6284046  |
|  Assurant, Inc.  | 195130  | 25019569  |
|  BRP Group, Inc. (b)(c)  | 680400  | 20439216  |
|  Chubb Ltd.  | 701366  | 154012960  |
|  Db Insurance Co. Ltd.  | 145700  | 7002463  |
|  Enstar Group Ltd. (b)  | 17570  | 3830084  |
|  Erie Indemnity Co. Class A  | 42500  | 12001575  |
|  First American Financial Corp.  | 187025  | 10220916  |
|  Globe Life, Inc.  | 206453  | 24766102  |
|  Hartford Financial Services Group, Inc.  | 474729  | 36255054  |
|  Hyundai Fire & Marine Insurance Co. Ltd.  | 157600  | 3675790  |
|  Kinsale Capital Group, Inc. (c)  | 36548  | 11264459  |
|  Marsh & McLennan Companies, Inc.  | 363867  | 63014487  |
|  NN Group NV  | 131103  | 5602878  |
|  Primerica, Inc.  | 244329  | 36412351  |
|  Prudential PLC  | 156007  | 1855702  |
|  Reinsurance Group of America, Inc.  | 279210  | 40317924  |
|  Selective Insurance Group, Inc.  | 86800  | 8343216  |
|  Talanx AG  | 145341  | 6461510  |
|  The Travelers Companies, Inc.  | 1312628  | 249149921  |
|  White Mountains Insurance Group Ltd. (c)  | 6750  | 9172305  |
|  Willis Towers Watson PLC  | 355600  | 87534496  |
|  |  | 867669315  |
| Mortgage Real Estate Investment Trusts - 0.1%  |  |  |
|  AGNC Investment Corp.  | 1073270  | 10721967  |
|  Annaly Capital Management, Inc.  | 334200  | 7242114  |
|  MFA Financial, Inc.  | 711000  | 7948980  |
|  Redwood Trust, Inc.  | 380880  | 3008952  |
|  Rithm Capital Corp.  | 4912000  | 44453600  |
|  |  | 73375613  |
| Thrifts & Mortgage Finance - 0.2%  |  |  |
|  Bridgewater Bancshares, Inc. (b)  | 203750  | 3926263  |
|  Essent Group Ltd. (c)  | 1033603  | 41437144  |
|  Federal Agricultural Mortgage Corp. Class C (non-vtg.)  | 35200  | 4429920  |
|  Greene County Bancorp, Inc.  | 79200  | 6040584  |
|  MGIC Investment Corp.  | 3388105  | 46518682  |
|  NMI Holdings, Inc. (b)  | 588554  | 12671568  |
|  Radian Group, Inc.  | 848442  | 16604010  |
|  Southern Missouri Bancorp, Inc.  | 76600  | 3972476  |
|  UWM Holdings Corp. Class A (c)  | 326900  | 1454705  |
|  |  | 137055352  |
|  TOTAL FINANCIALS  |  | 4975214172  |
| HEALTH CARE - 7.0%  |  |  |
| Biotechnology - 1.0%  |  |  |
|  AbbVie, Inc.  | 150000  | 24177000  |
|  ADC Therapeutics SA (b)(c)  | 148950  | 545157  |
|  Agios Pharmaceuticals, Inc. (b)  | 9798  | 295312  |
|  Alnylam Pharmaceuticals, Inc. (b)  | 99200  | 21882528  |
|  Amgen, Inc.  | 114200  | 32706880  |
|  Arcutis Biotherapeutics, Inc. (b)  | 281606  | 4852071  |
|  Argenx SE ADR (b)  | 110570  | 44003543  |
|  Ascendis Pharma A/S sponsored ADR (b)(c)  | 132513  | 16307050  |
|  Avid Bioservices, Inc. (b)(c)  | 367390  | 5753327  |
|  Beam Therapeutics, Inc. (b)(c)  | 70000  | 3233300  |
|  BioCryst Pharmaceuticals, Inc. (b)  | 197130  | 2633657  |
|  Biogen, Inc. (b)  | 20000  | 6103400  |
|  Blueprint Medicines Corp. (b)  | 825048  | 39429044  |
|  Celldex Therapeutics, Inc. (b)  | 596912  | 22139466  |
|  Century Therapeutics, Inc. (b)  | 20140  | 211470  |
|  Cerevel Therapeutics Holdings (b)(c)  | 85170  | 2466523  |
|  Crinetics Pharmaceuticals, Inc. (b)  | 153900  | 2750193  |
|  Cytokinetics, Inc. (b)(c)  | 697370  | 29638225  |
|  Day One Biopharmaceuticals, Inc. (b)  | 928989  | 19722436  |
|  Erasca, Inc. (b)(c)  | 379957  | 2868675  |
|  Essex Bio-Technology Ltd.  | 320000  | 138683  |
|  Fusion Pharmaceuticals, Inc. (b)(c)  | 1900  | 4313  |
|  Generation Bio Co. (b)  | 740  | 3944  |
|  Gilead Sciences, Inc.  | 136040  | 11948393  |
|  Insmed, Inc. (b)(c)  | 221600  | 4097384  |
|  Instil Bio, Inc. (b)(c)  | 171040  | 227483  |
|  Kalvista Pharmaceuticals, Inc. (b)(c)  | 146600  | 790174  |
|  Karuna Therapeutics, Inc. (b)  | 40000  | 9412400  |
|  Keros Therapeutics, Inc. (b)  | 13330  | 664367  |
|  Kinnate Biopharma, Inc. (b)  | 1670  | 13226  |
|  Legend Biotech Corp. ADR (b)  | 310000  | 15968100  |
|  Poseida Therapeutics, Inc. (b)(c)  | 3190  | 14546  |
|  Prelude Therapeutics, Inc. (b)(c)  | 360616  | 2405309  |
|  PTC Therapeutics, Inc. (b)(c)  | 358110  | 14857984  |
|  RAPT Therapeutics, Inc. (b)  | 868140  | 15348715  |
|  Regeneron Pharmaceuticals, Inc. (b)  | 210100  | 157932170  |
|  Relay Therapeutics, Inc. (b)(c)  | 449210  | 8346322  |
|  Repare Therapeutics, Inc. (b)(c)  | 109090  | 1748713  |
|  Repligen Corp. (b)  | 87200  | 15594848  |
|  Sarepta Therapeutics, Inc. (b)  | 100000  | 12281000  |
|  Scholar Rock Holding Corp. (b)  | 810  | 6294  |
|  Seagen, Inc. (b)  | 64000  | 7768960  |
|  Shattuck Labs, Inc. (b)  | 7120  | 16162  |
|  Stoke Therapeutics, Inc. (b)(c)  | 319511  | 2409113  |
|  United Therapeutics Corp. (b)  | 37200  | 10411908  |
|  Vaxcyte, Inc. (b)  | 141000  | 6494460  |
|  Vertex Pharmaceuticals, Inc. (b)  | 303300  | 95964120  |
|  Verve Therapeutics, Inc. (b)(c)  | 232640  | 5404227  |
|  Xencor, Inc. (b)  | 270000  | 8024400  |
|  Zentalis Pharmaceuticals, Inc. (b)(c)  | 217200  | 4804464  |
|  |  | 694821439  |
| Health Care Equipment & Supplies - 0.9%  |  |  |
|  Abbott Laboratories  | 37900  | 4077282  |
|  Atrion Corp. (c)  | 2450  | 1481760  |
|  Axonics Modulation Technologies, Inc. (b)  | 671970  | 46016506  |
|  Becton, Dickinson & Co.  | 75125  | 18731668  |
|  Boston Scientific Corp. (b)  | 4369109  | 197789564  |
|  Cutera, Inc. (b)(c)  | 571960  | 27213857  |
|  Enovis Corp. (b)  | 83519  | 4520883  |
|  Envista Holdings Corp. (b)  | 494281  | 16864868  |
|  Globus Medical, Inc. (b)  | 134695  | 9952614  |
|  InBody Co. Ltd.  | 31800  | 458095  |
|  Inogen, Inc. (b)  | 58280  | 1300810  |
|  Inspire Medical Systems, Inc. (b)  | 32000  | 7730240  |
|  Insulet Corp. (b)  | 169000  | 50593530  |
|  Intuitive Surgical, Inc. (b)  | 60000  | 16223400  |
|  iRhythm Technologies, Inc. (b)  | 1909  | 208176  |
|  Koninklijke Philips Electronics NV (depositary receipt) (NY Reg.)  | 405391  | 6097081  |
|  LeMaitre Vascular, Inc. (c)  | 32709  | 1532417  |
|  Masimo Corp. (b)  | 180000  | 26089200  |
|  Meridian Bioscience, Inc. (b)  | 77254  | 2472128  |
|  Neogen Corp. (b)  | 191149  | 3165427  |
|  Nevro Corp. (b)  | 210000  | 9809100  |
|  Omnicell, Inc. (b)  | 66380  | 3425872  |
|  Penumbra, Inc. (b)  | 262000  | 54891620  |
|  ResMed, Inc.  | 120000  | 27624000  |
|  Stryker Corp.  | 90000  | 21050100  |
|  Tandem Diabetes Care, Inc. (b)  | 726270  | 30539654  |
|  Utah Medical Products, Inc.  | 6043  | 538190  |
|  Value Added Technology Co. Ltd.  | 78700  | 1967538  |
|  Vieworks Co. Ltd.  | 237500  | 5833676  |
|  ViewRay, Inc. (b)  | 754929  | 3638758  |
|  |  | 601838014  |
| Health Care Providers & Services - 3.0%  |  |  |
|  Acadia Healthcare Co., Inc. (b)  | 59900  | 5334694  |
|  AdaptHealth Corp. (b)(c)  | 682638  | 15229654  |
|  Addus HomeCare Corp. (b)  | 50140  | 5529439  |
|  agilon health, Inc. (b)(c)  | 2428500  | 42644460  |
|  Alignment Healthcare, Inc. (b)  | 550486  | 7321464  |
|  AMN Healthcare Services, Inc. (b)  | 97907  | 12111096  |
|  Cardinal Health, Inc.  | 634527  | 50870030  |
|  Centene Corp. (b)  | 2788400  | 242730220  |
|  Chemed Corp.  | 26567  | 13814840  |
|  Cigna Corp.  | 1209975  | 397948678  |
|  Corvel Corp. (b)  | 16557  | 2532724  |
|  CVS Health Corp.  | 725193  | 73882663  |
|  Elevance Health, Inc.  | 254834  | 135806135  |
|  Guardant Health, Inc. (b)  | 791050  | 41403557  |
|  HCA Holdings, Inc.  | 85000  | 20418700  |
|  HealthEquity, Inc. (b)  | 50500  | 3205740  |
|  Henry Schein, Inc. (b)  | 245023  | 19827261  |
|  Humana, Inc.  | 344000  | 189165600  |
|  Laboratory Corp. of America Holdings  | 50000  | 12035000  |
|  LHC Group, Inc. (b)  | 21280  | 3477365  |
|  LifeStance Health Group, Inc. (b)(c)  | 1059348  | 5392081  |
|  McKesson Corp. (d)  | 251374  | 95944428  |
|  Modivcare, Inc. (b)  | 25680  | 1977360  |
|  Molina Healthcare, Inc. (b)  | 67000  | 22563590  |
|  National Research Corp. Class A  | 24120  | 934409  |
|  Oak Street Health, Inc. (b)(c)  | 1327500  | 28700550  |
|  Option Care Health, Inc. (b)  | 164430  | 4950987  |
|  Owens & Minor, Inc.  | 661890  | 13641553  |
|  Quest Diagnostics, Inc.  | 3700  | 561771  |
|  R1 Rcm, Inc. (b)  | 669480  | 6058794  |
|  Sinopharm Group Co. Ltd. (H Shares)  | 3916000  | 9290365  |
|  Surgery Partners, Inc. (b)(c)  | 906050  | 25650276  |
|  Tenet Healthcare Corp. (b)  | 808290  | 37326832  |
|  Tokai Corp.  | 64500  | 880202  |
|  U.S. Physical Therapy, Inc.  | 21977  | 1899033  |
|  UnitedHealth Group, Inc.  | 972430  | 532658257  |
|  Universal Health Services, Inc. Class B  | 296077  | 38741675  |
|  |  | 2122461483  |
| Health Care Technology - 0.0%  |  |  |
|  Doximity, Inc. (b)(c)  | 384595  | 13072384  |
|  Evolent Health, Inc. (b)  | 207970  | 5987456  |
|  Health Catalyst, Inc. (b)  | 37880  | 396982  |
|  Phreesia, Inc. (b)  | 378210  | 10521802  |
|  Simulations Plus, Inc.  | 26749  | 1085742  |
|  |  | 31064366  |
| Life Sciences Tools & Services - 0.5%  |  |  |
|  Agilent Technologies, Inc.  | 45000  | 6974100  |
|  Bruker Corp.  | 894812  | 60319277  |
|  Danaher Corp.  | 462200  | 126370102  |
|  ICON PLC (b)  | 28500  | 6140040  |
|  IQVIA Holdings, Inc. (b)  | 118000  | 25726360  |
|  Lonza Group AG  | 18000  | 9469665  |
|  Maravai LifeSciences Holdings, Inc. (b)  | 129441  | 1926082  |
|  Medpace Holdings, Inc. (b)  | 47773  | 10027075  |
|  Sartorius Stedim Biotech  | 41000  | 13993432  |
|  Seer, Inc. (b)  | 820  | 5297  |
|  Syneos Health, Inc. (b)  | 186840  | 6591715  |
|  Thermo Fisher Scientific, Inc.  | 170000  | 95237400  |
|  West Pharmaceutical Services, Inc.  | 70000  | 16426200  |
|  |  | 379206745  |
| Pharmaceuticals - 1.6%  |  |  |
|  Arvinas Holding Co. LLC (b)(c)  | 733140  | 30088066  |
|  AstraZeneca PLC:  |  |  |
|  (United Kingdom)  | 320000  | 43309009  |
|  sponsored ADR  | 1376320  | 93548470  |
|  Bayer AG  | 268708  | 15594980  |
|  Bristol-Myers Squibb Co.  | 4305661  | 345658465  |
|  Catalent, Inc. (b)  | 142890  | 7163076  |
|  Daito Pharmaceutical Co. Ltd.  | 55500  | 1051612  |
|  Dawnrays Pharmaceutical Holdings Ltd.  | 2354000  | 337868  |
|  DICE Therapeutics, Inc. (b)  | 112050  | 3900461  |
|  Edgewise Therapeutics, Inc. (b)  | 249590  | 2233831  |
|  Eli Lilly & Co.  | 374300  | 138895244  |
|  Faes Farma SA  | 105263  | 404605  |
|  Genomma Lab Internacional SA de CV  | 1000000  | 808542  |
|  GH Research PLC (b)(c)  | 109390  | 1196727  |
|  GSK PLC sponsored ADR  | 1508227  | 52169572  |
|  Jazz Pharmaceuticals PLC (b)  | 55900  | 8771269  |
|  Johnson & Johnson  | 501889  | 89336242  |
|  Merck & Co., Inc.  | 150000  | 16518000  |
|  Organon & Co.  | 450189  | 11713918  |
|  Pliant Therapeutics, Inc. (b)  | 58900  | 1082582  |
|  Roche Holding AG (participation certificate)  | 339696  | 110952830  |
|  Royalty Pharma PLC  | 1020000  | 44849400  |
|  Sanofi SA sponsored ADR  | 1590950  | 72149583  |
|  UCB SA  | 75000  | 6053741  |
|  Ventyx Biosciences, Inc. (b)  | 80640  | 2337754  |
|  Viatris, Inc.  | 63300  | 698199  |
|  |  | 1100824046  |
|  TOTAL HEALTH CARE  |  | 4930216093  |
| INDUSTRIALS - 5.7%  |  |  |
| Aerospace & Defense - 1.2%  |  |  |
|  Airbus Group NV  | 517398  | 59394981  |
|  Cadre Holdings, Inc.  | 441310  | 11447581  |
|  General Dynamics Corp.  | 84927  | 21434726  |
|  HEICO Corp. Class A  | 253646  | 32157240  |
|  Huntington Ingalls Industries, Inc.  | 93131  | 21602667  |
|  Kratos Defense & Security Solutions, Inc. (b)  | 205180  | 1953314  |
|  L3Harris Technologies, Inc. (c)  | 255400  | 57996232  |
|  Lockheed Martin Corp.  | 387800  | 188156682  |
|  Mercury Systems, Inc. (b)  | 61200  | 3110184  |
|  MTU Aero Engines AG  | 30800  | 6494589  |
|  Northrop Grumman Corp.  | 232400  | 123936596  |
|  Raytheon Technologies Corp.  | 79568  | 7854953  |
|  Safran SA  | 49400  | 6105133  |
|  The Boeing Co. (b)  | 1686197  | 301626919  |
|  V2X, Inc. (b)  | 247100  | 9985311  |
|  Woodward, Inc.  | 107427  | 10291507  |
|  |  | 863548615  |
| Air Freight & Logistics - 0.3%  |  |  |
|  Air Transport Services Group, Inc. (b)  | 694500  | 19473780  |
|  Compania de Distribucion Integral Logista Holdings SA  | 90400  | 2132190  |
|  Deutsche Post AG  | 247900  | 9903172  |
|  FedEx Corp.  | 191183  | 34837366  |
|  Onelogix Group Ltd. (b)  | 574686  | 105445  |
|  United Parcel Service, Inc. Class B  | 607660  | 115291332  |
|  |  | 181743285  |
| Airlines - 0.1%  |  |  |
|  Copa Holdings SA Class A (b)(c)  | 17300  | 1515999  |
|  Delta Air Lines, Inc. (b)  | 601200  | 21264444  |
|  Jet2 PLC  | 321579  | 3967065  |
|  JetBlue Airways Corp. (b)  | 1906100  | 15172556  |
|  Ryanair Holdings PLC sponsored ADR (b)  | 49500  | 3746655  |
|  SkyWest, Inc. (b)  | 53750  | 991688  |
|  Spirit Airlines, Inc. (b)  | 79170  | 1718781  |
|  Sun Country Airlines Holdings, Inc. (b)(c)  | 115120  | 2325424  |
|  |  | 50702612  |
| Building Products - 0.4%  |  |  |
|  A.O. Smith Corp.  | 230773  | 14017152  |
|  Allegion PLC  | 155826  | 17709625  |
|  Builders FirstSource, Inc. (b)  | 356743  | 22806580  |
|  Carlisle Companies, Inc.  | 154420  | 40629446  |
|  Fortune Brands Home & Security, Inc.  | 144129  | 9417389  |
|  Hayward Holdings, Inc. (b)(c)  | 1126020  | 10753491  |
|  Johnson Controls International PLC  | 139493  | 9267915  |
|  KVK Corp.  | 1000  | 11379  |
|  Masonite International Corp. (b)  | 111800  | 8415186  |
|  Nihon Dengi Co. Ltd.  | 28200  | 644530  |
|  Nihon Flush Co. Ltd.  | 104578  | 736022  |
|  Trane Technologies PLC  | 630600  | 112511652  |
|  Trex Co., Inc. (b)  | 200901  | 9219347  |
|  UFP Industries, Inc.  | 31460  | 2575316  |
|  |  | 258715030  |
| Commercial Services & Supplies - 0.1%  |  |  |
|  ACV Auctions, Inc. Class A (b)  | 620800  | 5487872  |
|  Casella Waste Systems, Inc. Class A (b)  | 63030  | 5426253  |
|  CoreCivic, Inc. (b)  | 204732  | 2718841  |
|  Ennis, Inc.  | 45882  | 1065839  |
|  Millerknoll, Inc. (c)  | 76490  | 1559631  |
|  Montrose Environmental Group, Inc. (b)(c)  | 75250  | 3473540  |
|  Rollins, Inc.  | 402048  | 16258821  |
|  Tetra Tech, Inc.  | 95276  | 14728717  |
|  The Brink's Co.  | 309470  | 18490833  |
|  The GEO Group, Inc. (b)  | 351180  | 4150948  |
|  UniFirst Corp.  | 25970  | 5031947  |
|  VSE Corp.  | 123000  | 6031920  |
|  |  | 84425162  |
| Construction & Engineering - 0.1%  |  |  |
|  Boustead Projs. Pte Ltd.  | 2180500  | 1240467  |
|  Comfort Systems U.S.A., Inc.  | 60300  | 7643628  |
|  Dycom Industries, Inc. (b)  | 47170  | 4299074  |
|  EMCOR Group, Inc.  | 90771  | 14060428  |
|  IES Holdings, Inc. (b)  | 4910  | 166056  |
|  Meisei Industrial Co. Ltd.  | 215000  | 1135025  |
|  MYR Group, Inc. (b)  | 28714  | 2743048  |
|  Raiznext Corp.  | 201000  | 1843715  |
|  Totetsu Kogyo Co. Ltd.  | 107100  | 1991449  |
|  Watanabe Sato Co. Ltd.  | 3500  | 61348  |
|  Willscot Mobile Mini Holdings (b)  | 911300  | 43933773  |
|  |  | 79118011  |
| Electrical Equipment - 0.7%  |  |  |
|  Acuity Brands, Inc.  | 248025  | 46700627  |
|  AMETEK, Inc.  | 1017200  | 144869624  |
|  AQ Group AB  | 83000  | 2318305  |
|  Array Technologies, Inc. (b)  | 134740  | 2821456  |
|  Atkore, Inc. (b)  | 150672  | 18404585  |
|  Eaton Corp. PLC  | 81200  | 13272140  |
|  Emerson Electric Co.  | 887100  | 84957567  |
|  GrafTech International Ltd.  | 1028200  | 5552280  |
|  Hubbell, Inc. Class B  | 176396  | 44815168  |
|  nVent Electric PLC  | 286663  | 11469387  |
|  Regal Rexnord Corp.  | 421900  | 55315309  |
|  Shoals Technologies Group, Inc. (b)  | 144840  | 4196015  |
|  Vertiv Holdings Co. (c)  | 1708404  | 23661395  |
|  Vertiv Holdings LLC (b)(e)  | 600000  | 8310000  |
|  |  | 466663858  |
| Industrial Conglomerates - 0.7%  |  |  |
|  3M Co.  | 65103  | 8201025  |
|  DCC PLC (United Kingdom)  | 82900  | 4414623  |
|  General Electric Co.  | 5224045  | 449111149  |
|  Mytilineos SA  | 124000  | 2339739  |
|  Siemens AG  | 233800  | 32424516  |
|  |  | 496491052  |
| Machinery - 1.2%  |  |  |
|  AGCO Corp.  | 212100  | 28149912  |
|  Albany International Corp. Class A  | 36300  | 3679731  |
|  Allison Transmission Holdings, Inc.  | 172317  | 7719802  |
|  Barnes Group, Inc.  | 79277  | 3376407  |
|  Beijer Alma AB (B Shares)  | 120100  | 1929801  |
|  Caterpillar, Inc.  | 446300  | 105509783  |
|  Chart Industries, Inc. (b)  | 98360  | 14064496  |
|  Columbus McKinnon Corp. (NY Shares)  | 264770  | 8533537  |
|  Crane Holdings Co.  | 427901  | 45331832  |
|  Cummins, Inc.  | 28942  | 7269073  |
|  Daiwa Industries Ltd.  | 317400  | 2849537  |
|  Donaldson Co., Inc.  | 219303  | 13359939  |
|  Ebara Jitsugyo Co. Ltd.  | 19800  | 326460  |
|  EnPro Industries, Inc.  | 9500  | 1128600  |
|  ESAB Corp.  | 515533  | 24405332  |
|  Estic Corp.  | 17500  | 113933  |
|  Federal Signal Corp.  | 152360  | 7403172  |
|  Flowserve Corp.  | 1310531  | 41098252  |
|  Fortive Corp.  | 2198324  | 148496786  |
|  Gorman-Rupp Co.  | 40183  | 1112265  |
|  Graco, Inc.  | 289600  | 20263312  |
|  Hy-Lok Corp.  | 61216  | 1090523  |
|  IDEX Corp.  | 183227  | 43514580  |
|  ITT, Inc.  | 780150  | 65938278  |
|  John Bean Technologies Corp.  | 51350  | 4717011  |
|  JOST Werke AG (a)  | 89400  | 4963521  |
|  Lincoln Electric Holdings, Inc.  | 103113  | 15248350  |
|  Mueller Industries, Inc.  | 101031  | 6947902  |
|  Nordson Corp.  | 95638  | 22617431  |
|  NORMA Group AG  | 85768  | 1501642  |
|  Omega Flex, Inc. (c)  | 5369  | 516015  |
|  Oshkosh Corp.  | 779700  | 71786979  |
|  Otis Worldwide Corp.  | 112104  | 8754201  |
|  Parker Hannifin Corp.  | 43600  | 13033784  |
|  Pentair PLC  | 656400  | 30043428  |
|  Sakura Rubber Co. Ltd.  | 9800  | 191375  |
|  Snap-On, Inc.  | 94729  | 22791797  |
|  Stanley Black & Decker, Inc. (c)  | 217732  | 17793059  |
|  Toro Co.  | 135856  | 15078657  |
|  Watts Water Technologies, Inc. Class A  | 48691  | 7715089  |
|  Westinghouse Air Brake Tech Co.  | 147514  | 14912190  |
|  |  | 855277774  |
| Marine - 0.0%  |  |  |
|  Genco Shipping & Trading Ltd.  | 222600  | 3301158  |
| Professional Services - 0.3%  |  |  |
|  Alight, Inc. Class A (b)  | 467300  | 4032799  |
|  Altech Corp.  | 57500  | 878508  |
|  ASGN, Inc. (b)  | 316140  | 28642284  |
|  Barrett Business Services, Inc.  | 39477  | 3881773  |
|  CACI International, Inc. Class A (b)  | 163000  | 50904900  |
|  CBIZ, Inc. (b)  | 31710  | 1574402  |
|  CRA International, Inc.  | 116019  | 14300502  |
|  Creek & River Co. Ltd.  | 20000  | 302534  |
|  Dun & Bradstreet Holdings, Inc.  | 210124  | 2828269  |
|  Equifax, Inc.  | 22700  | 4480299  |
|  Exponent, Inc.  | 91976  | 9511238  |
|  First Advantage Corp. (b)  | 110080  | 1464064  |
|  Franklin Covey Co. (b)  | 22377  | 1162709  |
|  Heidrick & Struggles International, Inc.  | 33347  | 990406  |
|  ICF International, Inc.  | 105470  | 11429784  |
|  Insperity, Inc.  | 118081  | 13998503  |
|  KBR, Inc.  | 403280  | 20837478  |
|  Kforce, Inc.  | 280474  | 16567599  |
|  Mastech Digital, Inc. (b)(c)  | 30000  | 415500  |
|  Quick Co. Ltd.  | 180800  | 2761914  |
|  Robert Half International, Inc.  | 196140  | 15451909  |
|  Science Applications International Corp.  | 40120  | 4417613  |
|  SHL-JAPAN Ltd.  | 27600  | 531473  |
|  TriNet Group, Inc. (b)  | 118773  | 8607479  |
|  WDB Holdings Co. Ltd.  | 22300  | 387399  |
|  Will Group, Inc.  | 187400  | 1871698  |
|  |  | 222233036  |
| Road & Rail - 0.4%  |  |  |
|  ArcBest Corp.  | 43407  | 3592797  |
|  CSX Corp.  | 3729500  | 121917355  |
|  Daqin Railway Co. Ltd. (A Shares)  | 926141  | 896601  |
|  Knight-Swift Transportation Holdings, Inc. Class A  | 718885  | 39847796  |
|  Landstar System, Inc.  | 264119  | 45687305  |
|  NANSO Transport Co. Ltd.  | 11000  | 98212  |
|  Nikkon Holdings Co. Ltd.  | 48200  | 854752  |
|  Old Dominion Freight Lines, Inc.  | 144100  | 43606101  |
|  RXO, Inc. (b)  | 287836  | 5468884  |
|  Saia, Inc. (b)  | 16960  | 4131286  |
|  Stef SA  | 50734  | 4472823  |
|  XPO Logistics, Inc. (b)  | 267651  | 10336682  |
|  |  | 280910594  |
| Trading Companies & Distributors - 0.2%  |  |  |
|  AerCap Holdings NV (b)  | 67500  | 4144500  |
|  Air Lease Corp. Class A  | 516600  | 19951092  |
|  Applied Industrial Technologies, Inc.  | 97320  | 12893927  |
|  Beacon Roofing Supply, Inc. (b)  | 231539  | 13519562  |
|  Beijer Ref AB (B Shares)  | 86700  | 1505540  |
|  Boise Cascade Co.  | 70073  | 5188205  |
|  Ferguson PLC (c)  | 58300  | 6834509  |
|  Green Cross Co. Ltd.  | 28200  | 208604  |
|  Itochu Corp.  | 307800  | 9667100  |
|  Kamei Corp.  | 149800  | 1316684  |
|  Mitani Shoji Co. Ltd.  | 272500  | 2793156  |
|  Momentum Group Komponenter & Tjanster AB (b)  | 162700  | 873654  |
|  MSC Industrial Direct Co., Inc. Class A  | 83779  | 7190752  |
|  Rush Enterprises, Inc. Class A  | 121300  | 6250589  |
|  Shinsho Corp.  | 29700  | 979597  |
|  Totech Corp.  | 18400  | 440999  |
|  Univar Solutions, Inc. (b)  | 975300  | 32311689  |
|  Watsco, Inc. (c)  | 58860  | 15832163  |
|  |  | 141902322  |
| Transportation Infrastructure - 0.0%  |  |  |
|  Isewan Terminal Service Co. Ltd.  | 54800  | 269077  |
|  Qingdao Port International Co. Ltd. (H Shares) (a)  | 4884814  | 2315358  |
|  |  | 2584435  |
|  TOTAL INDUSTRIALS  |  | 3987616944  |
| INFORMATION TECHNOLOGY - 8.1%  |  |  |
| Communications Equipment - 0.2%  |  |  |
|  Cisco Systems, Inc.  | 1952400  | 97073328  |
|  Juniper Networks, Inc.  | 573460  | 19061810  |
|  Lumentum Holdings, Inc. (b)  | 74360  | 4085338  |
|  NetScout Systems, Inc. (b)  | 131171  | 4890055  |
|  |  | 125110531  |
| Electronic Equipment & Components - 0.4%  |  |  |
|  Advanced Energy Industries, Inc.  | 161770  | 14986373  |
|  Amphenol Corp. Class A  | 465400  | 37432122  |
|  Avnet, Inc.  | 532300  | 24043991  |
|  Badger Meter, Inc.  | 51977  | 6019976  |
|  Belden, Inc. (c)  | 78586  | 6321458  |
|  CDW Corp.  | 86700  | 16355088  |
|  Cognex Corp.  | 567652  | 28257717  |
|  Coherent Corp. (b)  | 205720  | 7543752  |
|  CTS Corp. (c)  | 54849  | 2331083  |
|  Daido Signal Co. Ltd.  | 86448  | 278248  |
|  Daiwabo Holdings Co. Ltd.  | 160000  | 2552699  |
|  Elematec Corp.  | 60000  | 675494  |
|  Fabrinet (b)  | 97016  | 12942905  |
|  Flex Ltd. (b)  | 348300  | 7655634  |
|  Insight Enterprises, Inc. (b)  | 230037  | 23903145  |
|  IPG Photonics Corp. (b)  | 60901  | 5543818  |
|  Jabil, Inc.  | 116800  | 8431792  |
|  Kingboard Chemical Holdings Ltd.  | 707000  | 2340487  |
|  Makus, Inc.  | 287084  | 1950436  |
|  Maruwa Ceramic Co. Ltd.  | 15100  | 2098382  |
|  Methode Electronics, Inc. Class A  | 210000  | 9592800  |
|  Mirion Technologies, Inc. (b)(e)  | 1430613  | 9127311  |
|  Napco Security Technologies, Inc.  | 51446  | 1357145  |
|  Redington (India) Ltd.  | 1034288  | 2296400  |
|  Riken Keiki Co. Ltd.  | 17700  | 653485  |
|  Sanmina Corp. (b)  | 108022  | 7139174  |
|  TD SYNNEX Corp.  | 124300  | 12715890  |
|  TE Connectivity Ltd.  | 137200  | 17303664  |
|  Thinking Electronic Industries Co. Ltd.  | 351000  | 1387144  |
|  Tripod Technology Corp.  | 582000  | 1843692  |
|  TTM Technologies, Inc. (b)  | 416960  | 6700547  |
|  Vontier Corp.  | 150000  | 2944500  |
|  |  | 284726352  |
| IT Services - 1.7%  |  |  |
|  Accenture PLC Class A  | 72300  | 21757239  |
|  Affirm Holdings, Inc. (b)(c)  | 147000  | 2046240  |
|  Amadeus IT Holding SA Class A (b)  | 253100  | 13684488  |
|  Amdocs Ltd.  | 974431  | 86587939  |
|  Avant Group Corp.  | 180500  | 1993708  |
|  Block, Inc. Class A (b)  | 368900  | 25000353  |
|  Capgemini SA  | 279100  | 50460575  |
|  Cass Information Systems, Inc.  | 20030  | 870904  |
|  Cognizant Technology Solutions Corp. Class A  | 1551600  | 96525036  |
|  Concentrix Corp.  | 217064  | 26564292  |
|  CSG Systems International, Inc.  | 55155  | 3410785  |
|  Dlocal Ltd. (b)(c)  | 651900  | 9517740  |
|  DTS Corp.  | 109500  | 2642164  |
|  DXC Technology Co. (b)  | 144720  | 4293842  |
|  E-Credible Co. Ltd.  | 46500  | 621363  |
|  Edenred SA  | 443459  | 24363190  |
|  Enea AB (b)(c)  | 27900  | 214645  |
|  EPAM Systems, Inc. (b)  | 58100  | 21414498  |
|  EVERTEC, Inc.  | 105280  | 3555306  |
|  EVO Payments, Inc. Class A (b)  | 80720  | 2721071  |
|  ExlService Holdings, Inc. (b)  | 116927  | 21888734  |
|  Fidelity National Information Services, Inc.  | 340757  | 24732143  |
|  Fiserv, Inc. (b)  | 35700  | 3725652  |
|  Future Corp.  | 27500  | 341178  |
|  Genpact Ltd.  | 1455856  | 67129520  |
|  Global Payments, Inc.  | 34400  | 3570032  |
|  GoDaddy, Inc. (b)  | 236200  | 18690506  |
|  Hackett Group, Inc.  | 50502  | 1166596  |
|  IBM Corp.  | 58082  | 8648410  |
|  MasterCard, Inc. Class A  | 167186  | 59585090  |
|  Maximus, Inc. (c)  | 742590  | 52204077  |
|  MongoDB, Inc. Class A (b)  | 262200  | 40035318  |
|  Paya Holdings, Inc. (b)  | 149855  | 1395150  |
|  PayPal Holdings, Inc. (b)  | 269000  | 21092290  |
|  Perficient, Inc. (b)  | 148402  | 10543962  |
|  Sabre Corp. (b)  | 1056200  | 6453382  |
|  Snowflake, Inc. (b)  | 76200  | 10888980  |
|  TDC Soft, Inc.  | 182200  | 1955398  |
|  The Western Union Co.  | 685207  | 10045135  |
|  Twilio, Inc. Class A (b)  | 319500  | 15661890  |
|  Unisys Corp. (b)  | 714520  | 3072436  |
|  Verra Mobility Corp. (b)  | 776650  | 12309903  |
|  Visa, Inc. Class A  | 1498274  | 325125458  |
|  WEX, Inc. (b)  | 212852  | 36001787  |
|  Wix.com Ltd. (b)  | 145900  | 13202491  |
|  WNS Holdings Ltd. sponsored ADR (b)  | 202905  | 17108950  |
|  Worldline SA (a)(b)  | 275100  | 13031823  |
|  |  | 1197851669  |
| Semiconductors & Semiconductor Equipment - 1.3%  |  |  |
|  Advanced Micro Devices, Inc. (b)  | 176400  | 13693932  |
|  Allegro MicroSystems LLC (b)  | 93637  | 2915856  |
|  Amkor Technology, Inc.  | 170640  | 4781333  |
|  Analog Devices, Inc.  | 65426  | 11247384  |
|  Applied Materials, Inc.  | 207918  | 22787813  |
|  ASML Holding NV (Netherlands)  | 41100  | 25092378  |
|  Cirrus Logic, Inc. (b)  | 173350  | 12950979  |
|  Diodes, Inc. (b)  | 123330  | 11374726  |
|  FormFactor, Inc. (b)  | 138399  | 3192865  |
|  Ichor Holdings Ltd. (b)  | 19070  | 567905  |
|  Intel Corp.  | 692322  | 20818123  |
|  Kulicke & Soffa Industries, Inc. (c)  | 104831  | 5026646  |
|  Lam Research Corp.  | 146100  | 69014718  |
|  Lattice Semiconductor Corp. (b)  | 233344  | 16994444  |
|  MACOM Technology Solutions Holdings, Inc. (b)  | 87890  | 6037164  |
|  Marvell Technology, Inc.  | 924911  | 43026860  |
|  MaxLinear, Inc. Class A (b)  | 47930  | 1754238  |
|  MediaTek, Inc.  | 573000  | 13893741  |
|  Microchip Technology, Inc.  | 682200  | 54023418  |
|  Micron Technology, Inc.  | 1148150  | 66190848  |
|  MKS Instruments, Inc.  | 119000  | 9979340  |
|  Nova Ltd. (b)(c)  | 51160  | 4377761  |
|  NVE Corp.  | 8565  | 545676  |
|  NVIDIA Corp.  | 1189236  | 201254408  |
|  NXP Semiconductors NV  | 272942  | 47994121  |
|  Onto Innovation, Inc. (b)  | 49770  | 3979112  |
|  Parade Technologies Ltd.  | 172000  | 4529603  |
|  Power Integrations, Inc. (c)  | 103517  | 8331048  |
|  Qualcomm, Inc.  | 646675  | 81797921  |
|  Renesas Electronics Corp. (b)  | 3801200  | 37281056  |
|  Semtech Corp. (b)  | 112520  | 3458865  |
|  Silergy Corp.  | 421000  | 6338083  |
|  Silicon Laboratories, Inc. (b)  | 64934  | 9444001  |
|  SiTime Corp. (b)  | 31220  | 3292461  |
|  Sitronix Technology Corp.  | 20000  | 126050  |
|  SMART Global Holdings, Inc. (b)(c)  | 273670  | 4627760  |
|  SolarEdge Technologies, Inc. (b)  | 146300  | 43723218  |
|  Synaptics, Inc. (b)  | 16020  | 1697639  |
|  Taiwan Semiconductor Manufacturing Co. Ltd.  | 3142000  | 50634546  |
|  Topco Scientific Co. Ltd.  | 881000  | 4908291  |
|  Universal Display Corp.  | 73892  | 8321717  |
|  |  | 942028048  |
| Software - 3.1%  |  |  |
|  Adobe, Inc. (b)  | 363710  | 125454490  |
|  Altair Engineering, Inc. Class A (b)  | 23760  | 1165903  |
|  American Software, Inc. Class A  | 56264  | 833270  |
|  Aspen Technology, Inc. (b)  | 101678  | 23436779  |
|  Autodesk, Inc. (b)  | 272267  | 54984321  |
|  Black Knight, Inc. (b)  | 48200  | 2987918  |
|  Blackbaud, Inc. (b)  | 344917  | 20443231  |
|  CCC Intelligent Solutions Holdings, Inc. (b)(e)  | 134385  | 1236342  |
|  Ceridian HCM Holding, Inc. (b)  | 314500  | 21524380  |
|  Check Point Software Technologies Ltd. (b)  | 39100  | 5193653  |
|  Consensus Cloud Solutions, Inc. (b)  | 28148  | 1598525  |
|  Coupa Software, Inc. (b)  | 191200  | 12091488  |
|  Cresco Ltd.  | 317400  | 4035829  |
|  Cvent Holding Corp. (b)(e)  | 267744  | 1499366  |
|  Dolby Laboratories, Inc. Class A  | 115042  | 8613195  |
|  DoubleVerify Holdings, Inc. (b)  | 101700  | 2664540  |
|  Dropbox, Inc. Class A (b)  | 247349  | 5827542  |
|  Dynatrace, Inc. (b)  | 263602  | 10214578  |
|  Elastic NV (b)  | 693486  | 42434408  |
|  Envestnet, Inc. (b)  | 100  | 5902  |
|  Five9, Inc. (b)  | 474383  | 30412694  |
|  HubSpot, Inc. (b)  | 85100  | 25787853  |
|  Intuit, Inc.  | 185900  | 75770981  |
|  LivePerson, Inc. (b)  | 235450  | 2764183  |
|  Manhattan Associates, Inc. (b)  | 112017  | 14107421  |
|  Microsoft Corp.  | 4701202  | 1199464678  |
|  Model N, Inc. (b)  | 19360  | 752717  |
|  New Relic, Inc. (b)(c)  | 171900  | 9672813  |
|  NortonLifeLock, Inc.  | 3184400  | 73113824  |
|  Open Text Corp.  | 745100  | 21891038  |
|  Open Text Corp. (c)  | 125400  | 3682340  |
|  Paylocity Holding Corp. (b)  | 70442  | 15344381  |
|  PTC, Inc. (b)  | 230543  | 29327375  |
|  Qualys, Inc. (b)  | 98839  | 12188825  |
|  Rapid7, Inc. (b)  | 72210  | 2122974  |
|  Salesforce.com, Inc. (b)  | 585770  | 93869643  |
|  SAP SE sponsored ADR (c)  | 484555  | 53722613  |
|  Sinosoft Tech Group Ltd. (b)  | 4403000  | 193636  |
|  SolarWinds, Inc. (b)  | 79680  | 696403  |
|  Synopsys, Inc. (b)  | 117500  | 39895950  |
|  System Information Co. Ltd.  | 48000  | 315514  |
|  System Research Co. Ltd.  | 147000  | 2176932  |
|  Telos Corp. (b)  | 144530  | 592573  |
|  Tenable Holdings, Inc. (b)  | 978218  | 37348363  |
|  Varonis Systems, Inc. (b)  | 261100  | 5545764  |
|  VMware, Inc. Class A  | 196688  | 23895625  |
|  Workday, Inc. Class A (b)  | 138023  | 23174062  |
|  Workiva, Inc. (b)  | 203700  | 16410072  |
|  Zuora, Inc. (b)  | 581770  | 4467994  |
|  |  | 2164954901  |
| Technology Hardware, Storage & Peripherals - 1.4%  |  |  |
|  Apple, Inc.  | 6139157  | 908779411  |
|  Avid Technology, Inc. (b)  | 97410  | 2735273  |
|  Dell Technologies, Inc.  | 378353  | 16946431  |
|  Elecom Co. Ltd.  | 66800  | 713397  |
|  MCJ Co. Ltd.  | 672000  | 4715391  |
|  Pure Storage, Inc. Class A (b)  | 108510  | 3167407  |
|  Samsung Electronics Co. Ltd.  | 101720  | 4941948  |
|  Seagate Technology Holdings PLC  | 306000  | 16208820  |
|  TSC Auto ID Technology Corp.  | 43000  | 267796  |
|  Western Digital Corp. (b)  | 216800  | 7967400  |
|  |  | 966443274  |
|  TOTAL INFORMATION TECHNOLOGY  |  | 5681114775  |
| MATERIALS - 1.7%  |  |  |
| Chemicals - 0.9%  |  |  |
|  Air Products & Chemicals, Inc.  | 97700  | 30302632  |
|  Ashland, Inc.  | 52050  | 5822834  |
|  Axalta Coating Systems Ltd. (b)  | 383400  | 10290456  |
|  Balchem Corp.  | 57009  | 8026867  |
| C. Uyemura & Co. Ltd.  | 77700  | 3959166  |
|  Cabot Corp.  | 325300  | 23948586  |
|  Celanese Corp. Class A  | 65500  | 7028150  |
|  CF Industries Holdings, Inc.  | 183228  | 19823437  |
|  Chase Corp.  | 13195  | 1253525  |
|  Chemtrade Logistics Income Fund  | 254600  | 1754557  |
|  Corteva, Inc.  | 237100  | 15923636  |
|  DuPont de Nemours, Inc.  | 2158775  | 152215225  |
|  Ecolab, Inc.  | 76300  | 11432029  |
|  Element Solutions, Inc. (c)  | 1065670  | 20844505  |
|  Huntsman Corp.  | 364754  | 10132866  |
|  International Flavors & Fragrances, Inc.  | 326421  | 34541870  |
|  Linde PLC  | 193800  | 65209824  |
|  LyondellBasell Industries NV Class A  | 317400  | 26982174  |
|  Minerals Technologies, Inc.  | 56667  | 3416453  |
|  Olin Corp.  | 715870  | 40790273  |
|  Quaker Houghton (c)  | 22940  | 4514363  |
|  Scientex Bhd  | 1245100  | 943893  |
|  Scientex Bhd warrants 1/14/26 (b)  | 118080  | 19058  |
|  Sensient Technologies Corp.  | 74660  | 5577849  |
|  Sherwin-Williams Co.  | 74800  | 18638664  |
|  Sisecam Resources LP  | 25000  | 545250  |
|  Soulbrain Co. Ltd.  | 22500  | 3739805  |
|  The Chemours Co. LLC  | 887900  | 27569295  |
|  The Mosaic Co.  | 251300  | 12891690  |
|  The Scotts Miracle-Gro Co. Class A (c)  | 152600  | 8534918  |
|  Tronox Holdings PLC  | 1464151  | 20688454  |
|  Valvoline, Inc.  | 703987  | 23217491  |
|  Westlake Corp.  | 28400  | 3057260  |
|  |  | 623637055  |
| Construction Materials - 0.1%  |  |  |
|  Eagle Materials, Inc.  | 210477  | 28696434  |
|  Martin Marietta Materials, Inc.  | 24100  | 8832168  |
|  RHI Magnesita NV  | 63000  | 1678198  |
|  Summit Materials, Inc. (b)  | 150030  | 4544409  |
|  Vertex Corp.  | 33600  | 321459  |
|  Vicat SA  | 27826  | 668780  |
|  Vulcan Materials Co.  | 51400  | 9423162  |
|  Wienerberger AG  | 220613  | 5833615  |
|  |  | 59998225  |
| Containers & Packaging - 0.1%  |  |  |
|  Aptargroup, Inc.  | 162790  | 17278531  |
|  Crown Holdings, Inc.  | 82750  | 6802878  |
|  Greif, Inc. Class A  | 353800  | 24875678  |
|  Mayr-Melnhof Karton AG (c)  | 23400  | 3973977  |
|  Sealed Air Corp.  | 132200  | 7037006  |
|  Silgan Holdings, Inc.  | 30000  | 1587000  |
|  Vidrala SA  | 5250  | 437723  |
|  |  | 61992793  |
| Metals & Mining - 0.6%  |  |  |
|  Alcoa Corp.  | 418600  | 20984418  |
|  Arconic Corp. (b)  | 329880  | 7861040  |
|  Commercial Metals Co.  | 671437  | 33048129  |
|  First Quantum Minerals Ltd.  | 2805600  | 66701177  |
|  Freeport-McMoRan, Inc.  | 3195417  | 127177597  |
|  Glencore PLC  | 5865300  | 40025484  |
|  Lundin Mining Corp. (c)  | 6158200  | 37906476  |
|  Mount Gibson Iron Ltd. (b)  | 12253674  | 3848990  |
|  Newmont Corp.  | 377600  | 17924672  |
|  Reliance Steel & Aluminum Co.  | 158657  | 33522638  |
|  Rio Tinto PLC sponsored ADR (c)  | 10000  | 686400  |
|  Royal Gold, Inc.  | 116501  | 13086557  |
|  Steel Dynamics, Inc.  | 318138  | 33064082  |
|  |  | 435837660  |
| Paper & Forest Products - 0.0%  |  |  |
|  Stella-Jones, Inc.  | 55600  | 1973270  |
|  Sylvamo Corp.  | 62563  | 3384033  |
|  |  | 5357303  |
|  TOTAL MATERIALS  |  | 1186823036  |
| REAL ESTATE - 0.9%  |  |  |
| Equity Real Estate Investment Trusts (REITs) - 0.8%  |  |  |
|  Alexanders, Inc.  | 3803  | 928845  |
|  Alexandria Real Estate Equities, Inc.  | 6700  | 1042587  |
|  American Homes 4 Rent Class A  | 738100  | 24408967  |
|  American Tower Corp.  | 274099  | 60644404  |
|  Apartment Income (REIT) Corp.  | 924560  | 35179508  |
|  Apple Hospitality (REIT), Inc.  | 1178500  | 20105210  |
|  Armada Hoffler Properties, Inc.  | 261440  | 3176496  |
|  Corporate Office Properties Trust (SBI)  | 414800  | 11518996  |
|  Crown Castle International Corp.  | 227500  | 32175325  |
|  CubeSmart  | 137600  | 5695264  |
|  Douglas Emmett, Inc.  | 143320  | 2482302  |
|  Elme Communities (SBI) (c)  | 245400  | 4849104  |
|  Equinix, Inc.  | 50195  | 34667177  |
|  Equity Lifestyle Properties, Inc.  | 302500  | 20092050  |
|  Essex Property Trust, Inc.  | 42200  | 9300036  |
|  Gaming & Leisure Properties  | 558000  | 29356380  |
|  Host Hotels & Resorts, Inc.  | 1015500  | 19233570  |
|  Invitation Homes, Inc.  | 530300  | 17303689  |
|  Kilroy Realty Corp.  | 4100  | 177202  |
|  Life Storage, Inc.  | 31200  | 3353688  |
|  LXP Industrial Trust (REIT)  | 3499211  | 37651510  |
|  Mid-America Apartment Communities, Inc.  | 82500  | 13602600  |
|  Plymouth Industrial REIT, Inc.  | 1353460  | 28016622  |
|  Postal Realty Trust, Inc.  | 86170  | 1334773  |
|  Prologis (REIT), Inc.  | 271100  | 31932869  |
|  RLJ Lodging Trust  | 968090  | 11733251  |
|  Sabra Health Care REIT, Inc.  | 289090  | 3732152  |
|  Simon Property Group, Inc.  | 366735  | 43802828  |
|  Spirit Realty Capital, Inc.  | 72480  | 3002122  |
|  Universal Health Realty Income Trust (SBI)  | 22730  | 1193098  |
|  Urban Edge Properties  | 248970  | 3916298  |
|  Ventas, Inc.  | 267300  | 12437469  |
|  Welltower, Inc.  | 261110  | 18546643  |
|  |  | 546593035  |
| Real Estate Management & Development - 0.1%  |  |  |
|  Arealink Co. Ltd.  | 26800  | 376722  |
|  CBRE Group, Inc. (b)  | 454200  | 36154320  |
|  Cushman & Wakefield PLC (b)(c)  | 1971699  | 22516803  |
|  Douglas Elliman, Inc.  | 122419  | 504366  |
|  Jones Lang LaSalle, Inc. (b)  | 113707  | 19122106  |
|  Newmark Group, Inc.  | 2297800  | 19485344  |
|  WeWork, Inc. (b)  | 699200  | 1929792  |
|  |  | 100089453  |
|  TOTAL REAL ESTATE  |  | 646682488  |
| UTILITIES - 1.6%  |  |  |
| Electric Utilities - 1.3%  |  |  |
|  Allete, Inc.  | 500150  | 33109930  |
|  Constellation Energy Corp.  | 1408255  | 135361471  |
|  Duke Energy Corp.  | 346200  | 34595766  |
|  Edison International  | 239600  | 15971736  |
|  Entergy Corp.  | 148300  | 17242841  |
|  Evergy, Inc.  | 1222564  | 72388014  |
|  Exelon Corp.  | 1082466  | 44781618  |
|  FirstEnergy Corp.  | 451900  | 18636356  |
|  IDACORP, Inc.  | 327001  | 36143421  |
|  NextEra Energy, Inc.  | 1337300  | 113269310  |
|  OGE Energy Corp.  | 607900  | 24595634  |
|  PG&E Corp. (b)(c)  | 12697866  | 199356496  |
|  Pinnacle West Capital Corp.  | 83200  | 6516224  |
|  Portland General Electric Co. (c)  | 689200  | 33929316  |
|  PPL Corp.  | 802100  | 23677992  |
|  Southern Co.  | 1912966  | 129393020  |
|  |  | 938969145  |
| Gas Utilities - 0.0%  |  |  |
|  Brookfield Infrastructure Corp. A Shares (c)  | 312400  | 14645312  |
|  China Resource Gas Group Ltd.  | 262200  | 930977  |
|  New Jersey Resources Corp. (c)  | 103060  | 5127235  |
|  |  | 20703524  |
| Independent Power and Renewable Electricity Producers - 0.1%  |  |  |
|  Brookfield Renewable Corp.  | 110870  | 3615471  |
|  Clearway Energy, Inc. Class C (c)  | 51690  | 1831894  |
|  Sunnova Energy International, Inc. (b)(c)  | 140540  | 3208528  |
|  The AES Corp.  | 1986600  | 57452472  |
|  |  | 66108365  |
| Multi-Utilities - 0.2%  |  |  |
|  Consolidated Edison, Inc.  | 72700  | 7127508  |
|  Dominion Energy, Inc.  | 1274517  | 77885734  |
|  NiSource, Inc.  | 410600  | 11472164  |
|  Public Service Enterprise Group, Inc.  | 103300  | 6254815  |
|  Sempra Energy  | 156000  | 25925640  |
|  |  | 128665861  |
|  TOTAL UTILITIES  |  | 1154446895  |
| <br> **TOTAL COMMON STOCKS** <br> (Cost $26,437,333,349)  |  | <br> **31744465351**  |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **Nonconvertible Preferred Stocks - 0.1%**  | &nbsp;&nbsp; **Nonconvertible Preferred Stocks - 0.1%**  | &nbsp;&nbsp; **Nonconvertible Preferred Stocks - 0.1%**  |
|  | Shares  | Value ($) <br>|
| INDUSTRIALS - 0.0%  |  |  |
| Aerospace & Defense - 0.0%  |  |  |
|  Embraer SA sponsored ADR (b)  | 788200  | 8370684  |
| INFORMATION TECHNOLOGY - 0.1%  |  |  |
| Technology Hardware, Storage & Peripherals - 0.1%  |  |  |
|  Samsung Electronics Co. Ltd.  | 1668900  | 72564391  |
| <br> **TOTAL NONCONVERTIBLE PREFERRED STOCKS** <br> (Cost $82,671,479)  |  | <br> **80935075**  |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **Nonconvertible Bonds - 0.5%**  | &nbsp;&nbsp; **Nonconvertible Bonds - 0.5%**  | &nbsp;&nbsp; **Nonconvertible Bonds - 0.5%**  |
|  | Principal <br> Amount (f) <br>| Value ($) <br>|
| COMMUNICATION SERVICES - 0.0%  |  |  |
| Diversified Telecommunication Services - 0.0%  |  |  |
|  AT&T, Inc.:  |  |  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.640% 3.9758% 3/25/24 (g)(h)  | 1000000  | 992592  |
|  0.9% 3/25/24  | 3000000  | 2847750  |
|  NTT Finance Corp. 0.583% 3/1/24 (a)  | 2000000  | 1893102  |
|  Verizon Communications, Inc. 0.75% 3/22/24  | 1000000  | 950662  |
|  |  | 6684106  |
| Media - 0.0%  |  |  |
|  Comcast Corp. 3.7% 4/15/24  | 2000000  | 1971716  |
|  Magallanes, Inc. 3.638% 3/15/25 (a)  | 3000000  | 2864523  |
|  |  | 4836239  |
| Wireless Telecommunication Services - 0.0%  |  |  |
|  T-Mobile U.S.A., Inc. 3.5% 4/15/25  | 2000000  | 1936412  |
|  TOTAL COMMUNICATION SERVICES  |  | 13456757  |
| CONSUMER DISCRETIONARY - 0.0%  |  |  |
| Automobiles - 0.0%  |  |  |
|  BMW U.S. Capital LLC U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.840% 4.2131% 4/1/25 (a)(g)(h)  | 1000000  | 994163  |
|  Daimler Finance North America LLC:  |  |  |
|  0.75% 3/1/24 (a)  | 2500000  | 2366383  |
|  5.5% 11/27/24 (a)  | 1000000  | 1006919  |
|  General Motors Financial Co., Inc.:  |  |  |
|  1.2% 10/15/24  | 3000000  | 2768775  |
|  1.7% 8/18/23  | 2000000  | 1946969  |
|  3.95% 4/13/24  | 3000000  | 2949203  |
|  4.35% 4/9/25  | 3000000  | 2936162  |
|  Volkswagen Group of America Finance LLC 3.95% 6/6/25 (a)  | 3000000  | 2915286  |
|  |  | 17883860  |
| Multiline Retail - 0.0%  |  |  |
|  Dollar General Corp. 4.25% 9/20/24  | 3000000  | 2955435  |
| Specialty Retail - 0.0%  |  |  |
|  AutoZone, Inc. 3.625% 4/15/25  | 3000000  | 2917484  |
|  TOTAL CONSUMER DISCRETIONARY  |  | 23756779  |
| CONSUMER STAPLES - 0.0%  |  |  |
| Beverages - 0.0%  |  |  |
|  Constellation Brands, Inc. 3.6% 5/9/24  | 3000000  | 2940925  |
| Food & Staples Retailing - 0.0%  |  |  |
|  7-Eleven, Inc. 0.8% 2/10/24 (a)  | 2000000  | 1897459  |
| Food Products - 0.0%  |  |  |
|  JDE Peet's BV 0.8% 9/24/24 (a)  | 2000000  | 1823756  |
| Tobacco - 0.0%  |  |  |
|  BAT Capital Corp. 3.222% 8/15/24  | 3000000  | 2893334  |
|  Imperial Tobacco Finance PLC 3.5% 7/26/26 (a)  | 1000000  | 920813  |
|  Philip Morris International, Inc.:  |  |  |
|  2.875% 5/1/24  | 3000000  | 2910494  |
|  5.125% 11/15/24  | 2200000  | 2199368  |
|  Reynolds American, Inc. 4.45% 6/12/25  | 3000000  | 2946006  |
|  |  | 11870015  |
|  TOTAL CONSUMER STAPLES  |  | 18532155  |
| ENERGY - 0.1%  |  |  |
| Oil, Gas & Consumable Fuels - 0.1%  |  |  |
|  Canadian Natural Resources Ltd. 2.05% 7/15/25  | 1000000  | 933347  |
|  DCP Midstream Operating LP 5.375% 7/15/25  | 3000000  | 2962733  |
|  Enbridge, Inc.:  |  |  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.630% 4.4322% 2/16/24 (g)(h)  | 3000000  | 2970690  |
|  4% 10/1/23  | 3000000  | 2966174  |
|  Energy Transfer LP:  |  |  |
|  2.9% 5/15/25  | 2000000  | 1886396  |
|  4.25% 4/1/24  | 3000000  | 2940161  |
|  5.875% 1/15/24  | 3000000  | 3011482  |
|  EQT Corp. 5.678% 10/1/25  | 3000000  | 2991780  |
|  MPLX LP:  |  |  |
|  4% 2/15/25  | 2000000  | 1941691  |
|  4.5% 7/15/23  | 3000000  | 2981921  |
|  Phillips 66 Co. 3.85% 4/9/25  | 2000000  | 1955742  |
|  Plains All American Pipeline LP/PAA Finance Corp. 3.85% 10/15/23  | 3000000  | 2959851  |
|  The Williams Companies, Inc.:  |  |  |
|  3.9% 1/15/25  | 3000000  | 2930160  |
|  4.55% 6/24/24  | 3000000  | 2968974  |
|  |  | 36401102  |
| FINANCIALS - 0.3%  |  |  |
| Banks - 0.2%  |  |  |
|  Bank of America Corp.:  |  |  |
|  0.81% 10/24/24 (g)  | 3000000  | 2865715  |
|  3.366% 1/23/26 (g)  | 3000000  | 2869043  |
|  3.458% 3/15/25 (g)  | 3000000  | 2920400  |
|  3.95% 4/21/25  | 3000000  | 2931950  |
|  Barclays PLC:  |  |  |
|  1.007% 12/10/24 (g)  | 3000000  | 2836916  |
|  2.852% 5/7/26 (g)  | 1000000  | 922015  |
|  3.932% 5/7/25 (g)  | 3000000  | 2893799  |
|  Canadian Imperial Bank of Commerce 3.945% 8/4/25  | 2000000  | 1945564  |
|  Citigroup, Inc.:  |  |  |
|  0.981% 5/1/25 (g)  | 2000000  | 1865792  |
|  3.106% 4/8/26 (g)  | 2000000  | 1897057  |
|  Citizens Bank NA 4.119% 5/23/25 (g)  | 3000000  | 2951783  |
|  DNB Bank ASA 2.968% 3/28/25 (a)(g)  | 3000000  | 2893588  |
|  Fifth Third Bancorp 2.375% 1/28/25  | 3000000  | 2832207  |
|  HSBC Holdings PLC:  |  |  |
|  0.976% 5/24/25 (g)  | 3000000  | 2759687  |
|  1.162% 11/22/24 (g)  | 3000000  | 2840534  |
|  3.803% 3/11/25 (g)  | 3000000  | 2905468  |
|  Huntington National Bank 5.699% 11/18/25 (g)  | 1792000  | 1794874  |
|  Intesa Sanpaolo SpA 3.25% 9/23/24 (a)  | 3000000  | 2823358  |
|  JPMorgan Chase & Co.:  |  |  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.920% 4.72% 2/24/26 (g)(h)  | 3000000  | 2936070  |
|  0.563% 2/16/25 (g)  | 3000000  | 2815081  |
|  3.22% 3/1/25 (g)  | 3000000  | 2920799  |
|  3.845% 6/14/25 (g)  | 3000000  | 2945811  |
|  4.023% 12/5/24 (g)  | 3000000  | 2963918  |
|  KeyBank NA U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.320% 3.5228% 6/14/24 (g)(h)  | 3000000  | 2967916  |
|  Mitsubishi UFJ Financial Group, Inc. 0.953% 7/19/25 (g)  | 2000000  | 1854825  |
|  Mizuho Financial Group, Inc.:  |  |  |
|  0.849% 9/8/24 (g)  | 3000000  | 2882028  |
|  2.226% 5/25/26 (g)  | 2000000  | 1839124  |
|  NatWest Group PLC 3.875% 9/12/23  | 1500000  | 1481913  |
|  NatWest Markets PLC:  |  |  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.450% 4.7558% 3/22/25 (a)(g)(h)  | 2000000  | 1976135  |
|  0.8% 8/12/24 (a)  | 3000000  | 2768272  |
|  Rabobank Nederland New York Branch 3.875% 8/22/24  | 2000000  | 1966044  |
|  Royal Bank of Canada 2.55% 7/16/24  | 2000000  | 1924337  |
|  Santander Holdings U.S.A., Inc.:  |  |  |
|  3.5% 6/7/24  | 3000000  | 2910923  |
|  4.26% 6/9/25 (g)  | 3000000  | 2903664  |
|  Societe Generale:  |  |  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.050% 4.5802% 1/21/26 (a)(g)(h)  | 3000000  | 2875200  |
|  3.875% 3/28/24 (a)  | 3000000  | 2930141  |
|  The Toronto-Dominion Bank 1.2% 6/3/26  | 1000000  | 883342  |
|  Truist Financial Corp. U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.400% 3.5488% 6/9/25 (g)(h)  | 3000000  | 2930760  |
|  Wells Fargo & Co.:  |  |  |
|  0.805% 5/19/25 (g)  | 2500000  | 2330075  |
|  2.406% 10/30/25 (g)  | 3000000  | 2827254  |
|  3% 2/19/25  | 3000000  | 2887733  |
|  |  | 103471115  |
| Capital Markets - 0.1%  |  |  |
|  Bank of New York, New York 5.224% 11/21/25 (g)  | 690000  | 690489  |
|  Deutsche Bank AG New York Branch:  |  |  |
|  1.447% 4/1/25 (g)  | 3000000  | 2767617  |
|  3.961% 11/26/25 (g)  | 3000000  | 2837593  |
|  Goldman Sachs Group, Inc.:  |  |  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.700% 4.2419% 1/24/25 (g)(h)  | 2000000  | 1963920  |
|  1.757% 1/24/25 (g)  | 2000000  | 1906426  |
|  3.625% 2/20/24  | 2000000  | 1966147  |
|  Moody's Corp.:  |  |  |
|  3.75% 3/24/25  | 3000000  | 2923313  |
|  4.875% 2/15/24  | 3000000  | 2992845  |
|  Morgan Stanley:  |  |  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.620% 4.2335% 1/24/25 (g)(h)  | 3000000  | 2952000  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.160% 4.6876% 4/17/25 (g)(h)  | 2000000  | 1983312  |
|  0.79% 5/30/25 (g)  | 3000000  | 2779753  |
|  0.791% 1/22/25 (g)  | 3000000  | 2821553  |
|  3.62% 4/17/25 (g)  | 3000000  | 2923919  |
|  UBS Group AG:  |  |  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.580% 5.3785% 5/12/26 (a)(g)(h)  | 2000000  | 1996260  |
|  4.49% 8/5/25 (a)(g)  | 2000000  | 1958884  |
|  |  | 35464031  |
| Consumer Finance - 0.0%  |  |  |
|  AerCap Ireland Capital Ltd./AerCap Global Aviation Trust:  |  |  |
|  1.15% 10/29/23  | 2000000  | 1911247  |
|  1.65% 10/29/24  | 3000000  | 2760497  |
|  1.75% 1/30/26  | 1000000  | 882263  |
|  Ally Financial, Inc.:  |  |  |
|  3.875% 5/21/24  | 3000000  | 2918629  |
|  5.125% 9/30/24  | 3000000  | 2976305  |
|  5.8% 5/1/25  | 2000000  | 2008255  |
|  7.1% 11/15/27  | 1620000  | 1666002  |
|  Capital One Financial Corp.:  |  |  |
|  1.343% 12/6/24 (g)  | 2000000  | 1908227  |
|  3.3% 10/30/24  | 3000000  | 2904641  |
|  4.166% 5/9/25 (g)  | 2000000  | 1945669  |
|  4.985% 7/24/26 (g)  | 1000000  | 991268  |
|  Synchrony Financial:  |  |  |
|  4.5% 7/23/25  | 3000000  | 2872331  |
|  4.875% 6/13/25  | 3000000  | 2902069  |
|  |  | 28647403  |
| Diversified Financial Services - 0.0%  |  |  |
|  AIG Global Funding 0.9% 9/22/25 (a)  | 2000000  | 1784090  |
|  Athene Global Funding 1.716% 1/7/25 (a)  | 3000000  | 2778478  |
|  Jackson Financial, Inc. 1.125% 11/22/23  | 2000000  | 1917718  |
|  |  | 6480286  |
| Insurance - 0.0%  |  |  |
|  American International Group, Inc. 4.125% 2/15/24  | 3000000  | 2963533  |
|  Equitable Financial Life Global Funding 1.1% 11/12/24 (a)  | 3000000  | 2769380  |
|  Marsh & McLennan Companies, Inc. 3.875% 3/15/24  | 3000000  | 2959291  |
|  |  | 8692204  |
|  TOTAL FINANCIALS  |  | 182755039  |
| HEALTH CARE - 0.1%  |  |  |
| Health Care Equipment & Supplies - 0.1%  |  |  |
|  Becton, Dickinson & Co. 3.363% 6/6/24  | 3000000  | 2930077  |
|  Boston Scientific Corp.:  |  |  |
|  1.9% 6/1/25  | 3000000  | 2799525  |
|  3.45% 3/1/24  | 3000000  | 2946300  |
|  |  | 8675902  |
| Health Care Providers & Services - 0.0%  |  |  |
|  Cigna Corp. 0.613% 3/15/24  | 3000000  | 2838751  |
|  Humana, Inc. 0.65% 8/3/23  | 3000000  | 2911246  |
|  |  | 5749997  |
| Life Sciences Tools & Services - 0.0%  |  |  |
|  PerkinElmer, Inc. 0.85% 9/15/24  | 3000000  | 2772322  |
| Pharmaceuticals - 0.0%  |  |  |
|  Bristol-Myers Squibb Co. 2.9% 7/26/24  | 3000000  | 2917825  |
|  GSK Consumer Healthcare Capital 3.125% 3/24/25  | 1000000  | 958013  |
|  Viatris, Inc. 1.65% 6/22/25  | 3000000  | 2715725  |
|  |  | 6591563  |
|  TOTAL HEALTH CARE  |  | 23789784  |
| INDUSTRIALS - 0.0%  |  |  |
| Aerospace & Defense - 0.0%  |  |  |
|  The Boeing Co.:  |  |  |
|  1.95% 2/1/24  | 3000000  | 2886296  |
|  4.875% 5/1/25  | 3000000  | 2972173  |
|  |  | 5858469  |
| Building Products - 0.0%  |  |  |
|  Carrier Global Corp. 2.242% 2/15/25  | 3000000  | 2829903  |
| Machinery - 0.0%  |  |  |
|  Otis Worldwide Corp. 2.056% 4/5/25  | 3000000  | 2810456  |
|  Parker Hannifin Corp. 3.65% 6/15/24  | 1500000  | 1466287  |
|  |  | 4276743  |
| Road & Rail - 0.0%  |  |  |
|  Canadian Pacific Railway Co. 1.35% 12/2/24  | 3000000  | 2793617  |
| Trading Companies & Distributors - 0.0%  |  |  |
|  Air Lease Corp.:  |  |  |
|  2.3% 2/1/25  | 3000000  | 2792589  |
|  3.375% 7/1/25  | 3000000  | 2831039  |
|  |  | 5623628  |
|  TOTAL INDUSTRIALS  |  | 21382360  |
| INFORMATION TECHNOLOGY - 0.0%  |  |  |
| Software - 0.0%  |  |  |
|  Roper Technologies, Inc.:  |  |  |
|  1% 9/15/25  | 2000000  | 1799030  |
|  2.35% 9/15/24  | 2000000  | 1914023  |
|  VMware, Inc. 1% 8/15/24  | 2000000  | 1862256  |
|  |  | 5575309  |
| MATERIALS - 0.0%  |  |  |
| Chemicals - 0.0%  |  |  |
|  Celanese U.S. Holdings LLC 5.9% 7/5/24  | 3000000  | 2981657  |
|  Nutrien Ltd. 5.9% 11/7/24  | 496000  | 501729  |
|  |  | 3483386  |
| REAL ESTATE - 0.0%  |  |  |
| Equity Real Estate Investment Trusts (REITs) - 0.0%  |  |  |
|  Federal Realty Investment Trust 3.95% 1/15/24  | 3000000  | 2958922  |
|  Omega Healthcare Investors, Inc.:  |  |  |
|  4.375% 8/1/23  | 3000000  | 2960778  |
|  4.5% 1/15/25  | 3000000  | 2917633  |
|  Ventas Realty LP 3.5% 4/15/24  | 3000000  | 2915805  |
|  WP Carey, Inc. 4.6% 4/1/24  | 3000000  | 2981885  |
|  |  | 14735023  |
| UTILITIES - 0.0%  |  |  |
| Electric Utilities - 0.0%  |  |  |
|  Mississippi Power Co. U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.300% 3.656% 6/28/24 (g)(h)  | 2000000  | 1954388  |
|  Tampa Electric Co. 3.875% 7/12/24  | 2000000  | 1953742  |
|  |  | 3908130  |
| Independent Power and Renewable Electricity Producers - 0.0%  |  |  |
|  The AES Corp. 3.3% 7/15/25 (a)  | 2000000  | 1871851  |
| Multi-Utilities - 0.0%  |  |  |
|  CenterPoint Energy, Inc. U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.650% 4.4485% 5/13/24 (g)(h)  | 3000000  | 2956947  |
|  DTE Energy Co. 4.22% 11/1/24  | 3000000  | 2953877  |
|  NiSource, Inc. 0.95% 8/15/25  | 3000000  | 2705155  |
|  |  | 8615979  |
|  TOTAL UTILITIES  |  | 14395960  |
| <br> **TOTAL NONCONVERTIBLE BONDS** <br> (Cost $356,189,776)  |  | <br> **358263654**  |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **Equity Funds - 52.9%**  | &nbsp;&nbsp; **Equity Funds - 52.9%**  | &nbsp;&nbsp; **Equity Funds - 52.9%**  |
|  | Shares  | Value ($) <br>|
| Large Blend Funds - 5.6%  |  |  |
|  Fidelity SAI U.S. Large Cap Index Fund (i)  | 64058262  | 1181874927  |
|  Fidelity SAI U.S. Low Volatility Index Fund (i)  | 154928084  | 2771663423  |
|  iShares S&P 500 Index ETF  | 43677  | 17877870  |
|  TOTAL LARGE BLEND FUNDS  |  | 3971416220  |
| Large Growth Funds - 38.7%  |  |  |
|  Fidelity Blue Chip Growth Fund (i)  | 9691902  | 1205091064  |
|  Fidelity Contrafund (i)  | 323557451  | 4558924488  |
|  Fidelity Growth Company Fund (i)  | 236372450  | 6259142486  |
|  Fidelity Magellan Fund (i)  | 369563401  | 4261066018  |
|  Fidelity SAI U.S. Momentum Index Fund (i)  | 127014265  | 1865839553  |
|  Fidelity SAI U.S. Quality Index Fund (i)  | 563669954  | 9120179832  |
|  TOTAL LARGE GROWTH FUNDS  |  | 27270243441  |
| Large Value Funds - 5.7%  |  |  |
|  Fidelity Large Cap Value Enhanced Index Fund (i)  | 206784757  | 3227910063  |
|  Fidelity SAI U.S. Value Index Fund (i)  | 66389736  | 756179089  |
|  TOTAL LARGE VALUE FUNDS  |  | 3984089152  |
| Mid-Cap Blend Funds - 0.9%  |  |  |
|  Fidelity SAI Small-Mid Cap 500 Index Fund (i)  | 116126400  | 658436687  |
| Mid-Cap Growth Funds - 0.2%  |  |  |
|  Fidelity Extended Market Index Fund (i)  | 1563356  | 106808480  |
| Small Blend Funds - 0.9%  |  |  |
|  Fidelity Small Cap Discovery Fund (i)  | 24611610  | 605937836  |
|  Fidelity Small Cap Index Fund (i)  | 468342  | 11001346  |
|  TOTAL SMALL BLEND FUNDS  |  | 616939182  |
| Small Growth Funds - 0.9%  |  |  |
|  Fidelity Advisor Small Cap Growth Fund Class Z (i)  | 26480430  | 669160475  |
| <br> **TOTAL EQUITY FUNDS** <br> (Cost $36,131,435,534)  |  | <br> **37277093637**  |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **Other - 0.0%**  | &nbsp;&nbsp; **Other - 0.0%**  | &nbsp;&nbsp; **Other - 0.0%**  |
|  | Shares  | Value ($) <br>|
| Commodity Funds - Broad Basket - 0.0%  |  |  |
|  Fidelity SAI Inflation-Focused Fund (i)  | 1294903  | 13363396  |
| Other - 0.0%  |  |  |
|  BX Commercial Mortgage Trust floater Series 2022-LP2 Class A, CME Term SOFR 1 Month Index + 1.010% 4.8072% 2/15/39 (a)(g)(h)  | 2334563  | 2239558  |
|  BX Trust floater, sequential payer Series 2019-XL Class A, CME Term SOFR 1 Month Index + 1.030% 4.8287% 10/15/36 (a)(g)(h)  | 1133139  | 1113174  |
|  CAMB Commercial Mortgage Trust floater Series 2019-LIFE Class A, 1 month U.S. LIBOR + 1.070% 4.943% 12/15/37 (a)(g)(h)  | 1200000  | 1174407  |
|  Citizens Bank NA 2.25% 4/28/25  | 3000000  | 2792357  |
|  Truist Bank:  |  |  |
|  1.5% 3/10/25  | 2000000  | 1852913  |
|  3.689% 8/2/24 (g)  | 3000000  | 2976096  |
|  TOTAL OTHER  |  | 12148505  |
| <br> **TOTAL OTHER** <br> (Cost $23,422,199)  |  | <br> **25511901**  |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **U.S. Treasury Obligations - 0.3%**  | &nbsp;&nbsp; **U.S. Treasury Obligations - 0.3%**  | &nbsp;&nbsp; **U.S. Treasury Obligations - 0.3%**  |
|  | Principal <br> Amount (f) <br>| Value ($) <br>|
|  U.S. Treasury Bills, yield at date of purchase 3.85% to 3.96% 1/19/23  | 83000000  | 82558561  |
|  U.S. Treasury Notes:  |  |  |
|  0.125% 8/31/23  | 57000000  | 55067344  |
|  4.25% 9/30/24  | 44000000  | 43867656  |
| <br> **TOTAL U.S. TREASURY OBLIGATIONS** <br> (Cost $181,409,266)  |  | **181493561**  |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **Money Market Funds - 2.3%**  | &nbsp;&nbsp; **Money Market Funds - 2.3%**  | &nbsp;&nbsp; **Money Market Funds - 2.3%**  |
|  | Shares  | Value ($) <br>|
|  Fidelity Cash Central Fund 3.86% (j)  | 763992478  | 764145277  |
|  Fidelity Securities Lending Cash Central Fund 3.86% (j)(k)  | 845469567  | 845554114  |
| <br> **TOTAL MONEY MARKET FUNDS** <br> (Cost $1,609,695,628)  |  | **1609699391**  |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 101.2%** <br> (Cost $64,822,157,231) <br>| <br>**71277462570**  |
| **NET OTHER ASSETS (LIABILITIES) - (1.2)%** (l)  | **(855589954)**  |
| **NET ASSETS - 100.0%**  | **70421872616**  |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp; **Futures Contracts**  | &nbsp;&nbsp; **Futures Contracts**  | &nbsp;&nbsp; **Futures Contracts**  | &nbsp;&nbsp; **Futures Contracts**  | &nbsp;&nbsp; **Futures Contracts**  | &nbsp;&nbsp; **Futures Contracts**  |
|  | Number <br> of contracts  | Expiration <br> Date  | Notional <br> Amount ($) <br>| Value ($) <br>| Unrealized <br> Appreciation/ <br> (Depreciation) ($) <br>|
| Purchased  |  |  |  |  |  |
| Equity Index Contracts  |  |  |  |  |  |
| CME E-mini Russell 2000 Index Contracts (United States)  | 12  | Dec 2022  | 1132500  | 73142  | 73142  |
| CME E-mini S&P 500 Index Contracts (United States)  | 219  | Dec 2022  | 44689688  | (54852)  | (54852)  |
| CME E-mini S&P MidCap 400 Index Contracts (United States)  | 11  | Dec 2022  | 2837780  | 152291  | 152291  |
| **TOTAL FUTURES CONTRACTS**  |  |  |  |  | **170581**  |
| The notional amount of futures purchased as a percentage of Net Assets is 0.1%  | The notional amount of futures purchased as a percentage of Net Assets is 0.1%  | The notional amount of futures purchased as a percentage of Net Assets is 0.1%  | The notional amount of futures purchased as a percentage of Net Assets is 0.1%  | The notional amount of futures purchased as a percentage of Net Assets is 0.1%  | The notional amount of futures purchased as a percentage of Net Assets is 0.1%  |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Written Options**  | **Written Options**  | **Written Options**  | **Written Options**  | **Written Options**  | **Written Options**  | **Written Options**  |
|  | Counterparty  | Number <br> of Contracts  | Notional <br> Amount ($)  | Exercise <br> Price ($)  | Expiration <br> Date  | Value ($)  |
| Call Options  |  |  |  |  |  |  |
| Exxon Mobil Corp.  | Chicago Board Options Exchange  | 2600  | 28948400  | 110.00  | 01/20/23  | (1573000)  |
| McKesson Corp.  | Chicago Board Options Exchange  | 100  | 3816800  | 380.00  | 01/20/23  | (163000)  |
| **TOTAL WRITTEN OPTIONS**  |  |  |  |  |  | **(1736000)**  |

---

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Total Return Swaps**  | **Total Return Swaps**  | **Total Return Swaps**  | **Total Return Swaps**  | **Total Return Swaps**  | **Total Return Swaps**  | **Total Return Swaps**  | **Total Return Swaps**  | **Total Return Swaps**  | **Total Return Swaps**  | **Total Return Swaps**  |
| Underlying Reference  | Pay/ <br> Receive <br> Reference  | Reference <br> Payment <br> Frequency  | Financing <br> Rate  | Financing <br> Frequency  | Counterparty  | Maturity <br> Date  | Notional <br> Amount <br> ($)  | Value ($) <br>| Upfront <br> Premium <br> Received/ <br> (Paid) ($) <br>| Unrealized <br> Appreciation/ <br> (Depreciation) ($) <br>|
| S&P 500 Total Return  | Receives  | Monthly  | U.S. Secured Overnight Fin. Rate (SOFR) Index plus 33.5 basis points  | Monthly  | Bank of America, N.A.  | Nov 2023  | 194998544  | 6088072  | 0  | 6088072  |
| S&P 500 Total Return  | Receives  | Monthly  | U.S. Secured Overnight Fin. Rate (SOFR) Index plus 28 basis points  | Monthly  | Goldman Sachs Intl.  | Nov 2023  | 195000819  | 18783983  | 0  | 18783983  |
| S&P 500 Total Return  | Receives  | Monthly  | U.S. Secured Overnight Fin. Rate (SOFR) Index plus 29 basis points  | Monthly  | Morgan Stanley Capital Services LLC  | May 2023  | 195000719  | 11301690  | 0  | 11301690  |
| **TOTAL RETURN SWAPS**  |  |  |  |  |  |  |  | **36173745**  | **0**  | **36173745**  |

---

**Security Type Abbreviations**

ETF - EXCHANGE-TRADED FUND

**Legend**

(a) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $99,133,888 or 0.1% of net assets.

(b) Non-income producing

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

(d) Security or a portion of the security is pledged as collateral for call options written. At period end, the value of securities pledged amounted to $32,765,200.

(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 $20,173,019 or 0.0% of net assets.

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

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

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

(i) Affiliated Fund

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

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

(l) Includes $2,540,080 of cash collateral to cover margin requirements for futures contracts.

---

| | | |
|:---|:---|:---|
| Additional information on each restricted holding is as follows:  | Additional information on each restricted holding is as follows:  | Additional information on each restricted holding is as follows:  |
| Security  | Acquisition Date  | Acquisition Cost ($) <br>|
| CCC Intelligent Solutions Holdings, Inc.  | 2/02/21  | 1343850  |
| Cvent Holding Corp.  | 7/23/21  | 2677440  |
| Mirion Technologies, Inc.  | 6/16/21  | 14306130  |
| Vertiv Holdings LLC  | 2/06/20  | 6000000  |

---

**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, <br> beginning <br> of period ($)  | Purchases ($)  | Sales <br> Proceeds ($)  | Dividend <br> Income ($)  | Realized <br> Gain (loss) ($)  | Change in <br> Unrealized <br> appreciation <br> (depreciation) ($)  | Value, <br> end <br> of period ($)  | % ownership, <br> end <br> of period  |
|  Fidelity Cash Central Fund 3.86%  | 699065513  | 2705160680  | 2640080916  | 8369332  | -  | -  | 764145277  | 1.6%  |
|  Fidelity Securities Lending Cash Central Fund 3.86%  | 538532731  | 1968233731  | 1661212348  | 1000240  | -  | -  | 845554114  | 2.6%  |
| Total  | 1237598244  | 4673394411  | 4301293264  | 9369572  | -  | -  | 1609699391  |  |

---

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

Amount for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.

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, <br> beginning <br> of period ($)  | Purchases ($)  | Sales <br> Proceeds ($)  | Dividend <br> Income ($)  | Realized <br> Gain (loss) ($)  | Change in <br> Unrealized <br> appreciation <br> (depreciation) ($)  | Value, <br> end <br> of period ($)  |
|  Fidelity Advisor Small Cap Growth Fund Class Z  | 645592892  | -  | -  | -  | -  | 23567583  | 669160475  |
|  Fidelity Blue Chip Growth Fund  | 728703693  | 484187106  | -  | 3542580  | -  | (7799735)  | 1205091064  |
|  Fidelity Contrafund  | 4252277077  | 421305885  | -  | -  | -  | (114658474)  | 4558924488  |
|  Fidelity Extended Market Index Fund  | 9653628  | 100000000  | -  | -  | -  | (2845148)  | 106808480  |
|  Fidelity Growth Company Fund  | 5757358880  | 499225773  | -  | -  | -  | 2557833  | 6259142486  |
|  Fidelity Large Cap Value Enhanced Index Fund  | 3223774368  | -  | -  | -  | -  | 4135695  | 3227910063  |
|  Fidelity Magellan Fund  | 3775907772  | 471598334  | -  | -  | -  | 13559912  | 4261066018  |
|  Fidelity SAI Inflation-Focused Fund  | 15530401  | 1288917  | -  | 1288918  | -  | (3455922)  | 13363396  |
|  Fidelity SAI Small-Mid Cap 500 Index Fund  | -  | 628784984  | -  | -  | -  | 29651703  | 658436687  |
|  Fidelity SAI U.S. Large Cap Index Fund  | 1226602131  | 3336901144  | 3335236058  | 79013547  | (28616323)  | (17775967)  | 1181874927  |
|  Fidelity SAI U.S. Low Volatility Index Fund  | 3443908174  | 52977222  | 725000000  | -  | (43277211)  | 43055238  | 2771663423  |
|  Fidelity SAI U.S. Momentum Index Fund  | 2661523137  | 52114812  | 925000000  | 16668651  | (172989684)  | 250191288  | 1865839553  |
|  Fidelity SAI U.S. Quality Index Fund  | 8581412523  | 679475614  | -  | 63486631  | -  | (140708305)  | 9120179832  |
|  Fidelity SAI U.S. Value Index Fund  | 2398664563  | 212866974  | 1425000000  | 212866975  | (15950871)  | (414401577)  | 756179089  |
|  Fidelity Small Cap Discovery Fund  | 614067483  | 43572370  | -  | 43572370  | -  | (51702017)  | 605937836  |
|  Fidelity Small Cap Index Fund  | 10781226  | -  | -  | -  | -  | 220120  | 11001346  |
|  | 37345757948  | 6984299135  | 6410236058  | 420439672  | (260834089)  | (386407773)  | 37272579163  |

---

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

Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.

**Other Affiliated Issuers**

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

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| Affiliate  | Value, <br> beginning <br> of period ($)  | Purchases ($)  | Sales <br> Proceeds ($)  | Dividend <br> Income ($)  | Realized <br> Gain (loss) ($)  | Change in <br> Unrealized <br> appreciation <br> (depreciation) ($)  | Value, <br> end <br> of period ($)  |
|  RAPT Therapeutics, Inc.  | 24319206  | 1144515  | 19232088  | -  | (6384178)  | 15501260  | -  |
| Total  | 24319206  | 1144515  | 19232088  | -  | (6384178)  | 15501260  | -  |

---

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, 2022, 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:**  | **Valuation Inputs at Reporting Date:**  | **Valuation Inputs at Reporting Date:**  | **Valuation Inputs at Reporting Date:**  | **Valuation Inputs at Reporting Date:**  |
| **Description**  | **Total ($)**  | **Level 1 ($)**  | **Level 2 ($)**  | **Level 3 ($)**  |
| **<u>Investments in Securities:</u>**  |  |  |  |  |
|  **Equities:**  |  |  |  |  |
| Communication Services  | 2029260837  | 1971142046  | 58118791  | -  |
| Consumer Discretionary  | 2672950127  | 2586808474  | 86141653  | -  |
| Consumer Staples  | 1923482313  | 1862668561  | 60813752  | -  |
| Energy  | 2556657671  | 2546972598  | 9685073  | -  |
| Financials  | 4975214172  | 4856957867  | 118256305  | -  |
| Health Care  | 4930216093  | 4710479792  | 219736301  | -  |
| Industrials  | 3995987628  | 3812436905  | 183550723  | -  |
| Information Technology  | 5753679166  | 5395565585  | 358113581  | -  |
| Materials  | 1186823036  | 1121372888  | 65450148  | -  |
| Real Estate  | 646682488  | 646305766  | 376722  | -  |
| Utilities  | 1154446895  | 1153515918  | 930977  | -  |
|  Corporate Bonds  | 358263654  | -  | 358263654  | -  |
|  Equity Funds  | 37277093637  | 37277093637  | -  | -  |
|  Other  | 25511901  | 13363396  | 12148505  | -  |
|  Other Short-Term Investments and Net Other Assets  | 181493561  | -  | 181493561  | -  |
|  Money Market Funds  | 1609699391  | 1609699391  | -  | -  |
| **Total Investments in Securities:**  | 71277462570  | 69564382824  | 1713079746  | -  |
| **<u>Derivative Instruments:</u>**  |  |  |  |  |
|  **Assets**  |  |  |  |  |
| Futures Contracts  | 225433  | 225433  | -  | -  |
| Swaps  | 36173745  | -  | 36173745  | -  |
| Total Assets  | 36399178  | 225433  | 36173745  | -  |
|  **Liabilities**  |  |  |  |  |
| Futures Contracts  | (54852)  | (54852)  | -  | -  |
| Written Options  | (1736000)  | (1736000)  | -  | -  |
| Total Liabilities  | (1790852)  | (1790852)  | -  | -  |
| **Total Derivative Instruments:**  | 34608327  | (1565419)  | 36173745  | -  |

---

**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, 2022. 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** <br>| **Value**  | **Value**  |
|  | **Asset ($)**  | **Liability ($)**  |
| **Equity Risk**  |  |  |
| Futures Contracts (a)  | 225433  | (54852)  |
| Swaps (b)  | 36173745  | 0  |
| Written Options (c)  | 0  | (1736000)  |
| **Total Equity Risk**  | 36399178  | (1790852)  |
| **Total Value of Derivatives**  | 36399178  | (1790852)  |

---

(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.

**Financial Statements** **(Unaudited)**

---

| | | |
|:---|:---|:---|
| **Statement of Assets and Liabilities**  | **Statement of Assets and Liabilities**  | **Statement of Assets and Liabilities**  |
|  |  | **November 30, 2022** <br> **(Unaudited)**  |
| **Assets**  |  |  |
| Investment in securities, at value (including securities loaned of $841,855,358) - See accompanying schedule:  |  |  |
|  Unaffiliated issuers (cost $27,086,511,156)  | $32395184016  |  |
|  Fidelity Central Funds (cost $1,609,695,629)  | 1609699391  |  |
|  Other affiliated issuers (cost $36,125,950,446)  | 37272579163  |  |
|  Total Investment in Securities (cost $64,822,157,231)  |  | $71277462570  |
|  Segregated cash with brokers for derivative instruments  |  | 2540080  |
|  Cash  |  | 4161178  |
|  Foreign currency held at value (cost $624,245)  |  | 627828  |
| Receivable for investments sold  |  | 150909122  |
|  Receivable for fund shares sold  |  | 70190294  |
|  Dividends receivable  |  | 53347501  |
|  Interest receivable  |  | 2220799  |
|  Distributions receivable from Fidelity Central Funds  |  | 2190937  |
|  Receivable for daily variation margin on futures contracts  |  | 1392401  |
|  Bi-lateral OTC swaps, at value  |  | 36173745  |
|  Prepaid expenses  |  | 59121  |
| Other receivables  |  | 18588  |
| **Total assets**  |  | 71601294164  |
| **Liabilities**  |  |  |
|  Payable for investments purchased  | $288050241  |  |
|  Payable for fund shares redeemed  | 36345442  |  |
|  Accrued management fee  | 6884773  |  |
|  Written options, at value (premium received $1,110,678)  | 1736000  |  |
|  Other payables and accrued expenses  | 854606  |  |
|  Collateral on securities loaned  | 845550486  |  |
| **Total Liabilities**  |  | 1179421548  |
| **Net Assets**  |  | $70421872616  |
|  Net Assets consist of:  |  |  |
|  Paid in capital  |  | $64636585385  |
|  Total accumulated earnings (loss)  |  | 5785287231  |
|  **Net Assets**  |  | $70421872616  |
|  **Net Asset Value** , offering price and redemption price per share ($70,421,872,616 ÷ 5,559,588,731 shares)  |  | $12.67  |

---

---

| | | |
|:---|:---|:---|
| **Statement of Operations**  | **Statement of Operations**  | **Statement of Operations**  |
|  |  | **Six months ended** <br> **November 30, 2022** <br> **(Unaudited)**  |
|  **Investment Income**  |  |  |
| Dividends:  |  |  |
| Unaffiliated issuers  |  | $248648625  |
| Affiliated issuers  |  | $420439672  |
| Interest  |  | 1589361  |
| Income from Fidelity Central Funds (including $1,000,240 from security lending)  |  | 9369572  |
| **Total Income**  |  | 680047230  |
|  **Expenses**  |  |  |
| Management fee  | $122520120  |  |
| Custodian fees and expenses  | 236257  |  |
| Independent trustees' fees and expenses  | 224393  |  |
| Registration fees  | 1014817  |  |
| Audit  | 38366  |  |
| Legal  | 58513  |  |
| Interest  | 43010  |  |
| Miscellaneous  | 210902  |  |
| Total expenses before reductions  | 124346378  |  |
| Expense reductions  | (82420804)  |  |
| Total expenses after reductions  |  | 41925574  |
| **Net Investment income (loss)**  |  | 638121656  |
| **Realized and Unrealized Gain (Loss)**  |  |  |
| Net realized gain (loss) on:  |  |  |
| Investment Securities:  |  |  |
| Unaffiliated issuers(net of foreign taxes of $3,170)  | (341270711)  |  |
| Affiliated issuers  | (267218267)  |  |
| Foreign currency transactions  | 260167  |  |
| Futures contracts  | (3926773)  |  |
| Swaps  | 2911489  |  |
| Written options  | 637512  |  |
| Total net realized gain (loss)  |  | (608606583)  |
| Change in net unrealized appreciation (depreciation) on:  |  |  |
| Investment Securities:  |  |  |
| Unaffiliated issuers (net of increase in deferred foreign taxes of $25,646)  | 524537982  |  |
| Affiliated issuers  | (370906513)  |  |
| Assets and liabilities in foreign currencies  | 42988  |  |
| Futures contracts  | 3071528  |  |
| Swaps  | 36173745  |  |
| Written options  | (545334)  |  |
| Total change in net unrealized appreciation (depreciation)  |  | 192374396  |
| **Net gain (loss)**  |  | (416232187)  |
| **Net increase (decrease) in net assets resulting from operations**  |  | $221889469  |

---

---

| | | |
|:---|:---|:---|
| **Statement of Changes in Net Assets**  | **Statement of Changes in Net Assets**  | **Statement of Changes in Net Assets**  |
|  | **Six months ended** <br> **November 30, 2022** <br> **(Unaudited)**  | **Year ended** <br> **May 31, 2022**  |
| **Increase (Decrease) in Net Assets**  |  |  |
| Operations  |  |  |
| &nbsp;&nbsp; Net investment income (loss)  | $638121656  | $699094461  |
| &nbsp;&nbsp; Net realized gain (loss)  | (608606583) <br>| 4930460240 <br>|
| &nbsp;&nbsp; Change in net unrealized appreciation (depreciation)  | 192374396  | (9233265960) <br>|
| &nbsp;&nbsp; **Net increase (decrease) in net assets resulting from operations**  | 221889469 <br>| (3603711259) <br>|
| Distributions to shareholders  | (2974197160) <br>| (5208639221) <br>|
| Share transactions  |  |  |
| &nbsp;&nbsp; Proceeds from sales of shares  | 9750654368  | 29306308888  |
| Reinvestment of distributions  | 2906970034 <br>| 5100769766 <br>|
| &nbsp;&nbsp; Cost of shares redeemed  | (8348459966)  | (16843458876)  |
| **Net increase (decrease) in net assets resulting from share transactions**  | 4309164436 <br>| 17563619778 <br>|
| &nbsp;&nbsp; **Total increase (decrease) in net assets**  | 1556856745 <br>| 8751269298 <br>|
| **Net Assets**  |  |  |
| &nbsp;&nbsp; Beginning of period  | 68865015871  | 60113746573 <br>|
| &nbsp;&nbsp; End of period  | $70421872616  | $68865015871  |
| **Other Information**  |  |  |
| Shares  |  |  |
| &nbsp;&nbsp; Sold  | 801453518  | 2010560389  |
| Issued in reinvestment of distributions  | 243057695 <br>| 336660502 <br>|
| &nbsp;&nbsp; Redeemed  | (678235537)  | (1143166462)  |
| &nbsp;&nbsp; Net increase (decrease)  | 366275676  | 1204054429  |

---

**Financial Highlights** 

 **Strategic Advisers® Fidelity® U.S. Total Stock Fund** <br>

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Six months ended** <br> **(Unaudited) November 30, 2022**  | **Years ended May 31, 2022**  | **2021**  | **2020**  | **2019**  | **2018** <sup>A</sup>  |
| **Selected Per-Share Data**  |  |  |  |  |  |  |
| Net asset value, beginning of period  | $13.26  | $15.07  | $10.56  | $9.72  | $9.96  | $10.00  |
| Income from Investment Operations  |  |  |  |  |  |  |
| Net investment income (loss) <sup>B,C</sup>  | .12  | .15  | .14  | .16  | .18  | .01  |
| Net realized and unrealized gain (loss)  | (.14)  | (.75)  | 4.73  | 1.00  | (.20)  | (.05)  |
| Total from investment operations  | (.02)  | (.60)  | 4.87  | 1.16  | (.02)  | (.04)  |
| Distributions from net investment income  | (.03)  | (.12)  | (.18)  | (.17)  | (.09) <sup>D</sup>  | -  |
| Distributions from net realized gain  | (.54)  | (1.09)  | (.19)  | (.16)  | (.13) <sup>D</sup>  | -  |
| Total distributions  | (.57)  | (1.21)  | (.36) <sup>E</sup>  | (.32) <sup>E</sup>  | (.22)  | -  |
| Net asset value, end of period  | $12.67  | $13.26  | $15.07  | $10.56  | $9.72  | $9.96  |
| **Total Return** <sup>F,G</sup>  | .09%  | (4.85)%  | 46.63%  | 11.84%  | (.04)%  | (.40)%  |
| **Ratios to Average Net Assets** <sup>C,H,I</sup>  |  |  |  |  |  |  |
| Expenses before reductions  | .38% <sup>J</sup>  | .38%  | .38%  | .39%  | .42%  | .54% <sup>J</sup>  |
| Expenses net of fee waivers, if any  | .13% <sup>J</sup>  | .13%  | .13%  | .14%  | .17%  | .29% <sup>J,K</sup>  |
| Expenses net of all reductions  | .13% <sup>J</sup>  | .13%  | .13%  | .14%  | .17%  | .29% <sup>J,K</sup>  |
| Net investment income (loss)  | 1.93% <sup>J</sup>  | 1.03%  | 1.11%  | 1.55%  | 1.81%  | .55% <sup>J</sup>  |
| **Supplemental Data**  |  |  |  |  |  |  |
| Net assets, end of period (000 omitted)  | $70421873  | $68865016  | $60113747  | $33429994  | $22411704  | $16637411  |
| Portfolio turnover rate <sup>L</sup>  | 37% <sup>J</sup>  | 35%  | 46%  | 52%  | 61%  | 126% <sup>M,N</sup>  |

---

<sup>A</sup> *For the period March 20, 2018 (commencement of operations) through May 31, 2018.*

<sup>B</sup> *Calculated based on average shares outstanding during the period.*

<sup>C</sup> *Net 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.*

<sup>D</sup> *The amount shown reflects reclassifications related to book to tax differences that were made in the year shown.*

<sup>E</sup> *Total distributions per share do not sum due to rounding.*

<sup>F</sup> *Total returns for periods of less than one year are not annualized.*

<sup>G</sup> *Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.*

<sup>H</sup> *Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses.*

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

<sup>J</sup> *Annualized.*

<sup>K</sup> *Audit fees are not annualized.*

<sup>L</sup> *Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).*

<sup>M</sup> *Portfolio turnover rate excludes securities received or delivered in-kind.*

<sup>N</sup> *Amount not annualized.*

**Notes to Financial Statements** **(Unaudited)**

For the period ended November 30, 2022

**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, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. Corporate bonds, preferred securities 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. 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. Debt securities and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances. Exchange-Traded Funds (ETFs) are valued at their last sale price or official closing price as reported by a third party pricing 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. 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, 2022 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**  | $18449  |

---

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

Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.

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

Book-tax differences are primarily due to the short-term gain distributions from the underlying mutual funds or exchange-traded funds (ETFs), futures contracts, foreign currency transactions, certain foreign taxes, passive foreign investment companies (PFIC) 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**  | $10823491515  |
| **Gross unrealized depreciation**  | <u>(4556912761)</u>  |
| **Net unrealized appreciation (depreciation)**  | <u>$6266578754</u>  |
| **Tax cost**  | <u>$65047228142</u>  |

---

The Fund elected to defer to its next fiscal year approximately $509,105,569 of capital losses recognized during the period November 1, 2022 to May 31, 2022.

**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, 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 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. <br>|

---

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 OTC 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. 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 Fidelity U.S. Total Stock Fund**  |  |  |
| **Equity Risk**  |  |  |
| Futures Contracts  | (3926773)  | 3071528  |
| Written Options  | 637512  | (545334)  |
| Swaps  | <u>2911489</u>  | <u>36173745</u>  |
| **Total Equity Risk**  | <u>(377772)</u>  | <u>38699939</u>  |
| Totals  | <u>$(377772)</u>  | <u>$38699939</u>  |

---

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 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 on the Statement of Assets and Liabilities. When a written option is exercised, the premium is added to the proceeds from the sale of the underlying instrument in determining the gain or loss realized on that investment. When an option is closed, 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 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 present.

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

---

| | | |
|:---|:---|:---|
|  | **Purchases ($)**  | **Sales ($)**  |
| **Strategic Advisers Fidelity U.S. Total Stock Fund**  | 14008287759  | 12153724952  |

---

**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**  | $111748  |

---

**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**  | 370696768  | 315912618  | (51294959)  |

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

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| | |
|:---|:---|
|  | **Amount ($)**  |
| **Strategic Advisers Fidelity U.S. Total Stock Fund**  | 6105  |

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**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.

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| | | | | |
|:---|:---|:---|:---|:---|
| **Fidelity Central Fund**  | **Investment Manager**  | **Investment Objective**  | **Investment Practices**  | **Expense Ratio** <sup>A</sup>  |
| 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%  |

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<sup>A</sup> *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.

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| | |
|:---|:---|
|  | **Amount**  |
| **Strategic Advisers Fidelity U.S. Total Stock Fund**  | $58654  |

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**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:

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| | | | |
|:---|:---|:---|:---|
|  | **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**  | $103425  | $-  | $-  |

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**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:

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| | | | |
|:---|:---|:---|:---|
|  | **Average Loan Balance**  | **Weighted Average Interest Rate**  | **Interest Expense**  |
| **Strategic Advisers Fidelity U.S. Total Stock Fund**  | $109424000  | 2.83%  | $43010  |

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**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, 2025. During the period, this waiver reduced the Fund's management fee by $82,414,637.

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 $6,167.

**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.

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| | |
|:---|:---|
| **Fund**  | **Strategic Advisers Fidelity U.S. Total Stock Fund**  |
| Fidelity Growth Company Fund  | 15%  |
| Fidelity Large Cap Value Enhanced Index Fund  | 53%  |
| Fidelity Magellan Fund  | 17%  |
| Fidelity SAI Small-Mid Cap 500 Index Fund  | 64%  |
| Fidelity SAI U.S. Large Cap Index Fund  | 11%  |
| Fidelity SAI U.S. Low Volatility Index Fund  | 35%  |
| Fidelity SAI U.S. Momentum Index Fund  | 65%  |
| Fidelity SAI U.S. Quality Index Fund  | 80%  |
| Fidelity SAI U.S. Value Index Fund  | 54%  |
| Fidelity Small Cap Discovery Fund  | 21%  |
| Fidelity Small Cap Growth Fund  | 13%  |

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**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.

**Shareholder Expense Example**

As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (June 1, 2022 to November 30, 2022). <br>

***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.

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| | | | | |
|:---|:---|:---|:---|:---|
|  | **Annualized Expense Ratio-** <sup>A</sup>  | **Beginning Account Value June 1, 2022**  | **Ending Account Value November 30, 2022**  | **Expenses Paid During Period-** <sup>C</sup> **June 1, 2022 to November 30, 2022**  |
| **Strategic Advisers® Fidelity® U.S. Total Stock Fund**  | .13%  |  |  |  |
| **Actual**  |  | $1000  | $1000.90  | $.65  |
| **Hypothetical-** <sup>B</sup>  |  | $1000  | $1024.42  | $.66  |

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*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/ 365 (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 2022, the Board of Trustees, including the Independent Trustees (together, the Board) voted to approve an amendment to add a new investment mandate to and remove an existing mandate from the existing sub-advisory agreement among Strategic Advisers, Geode Capital Management, LLC (Geode or Sub-Adviser) and the Trust on behalf of the fund (Amended Sub-Advisory Agreement). The Board noted that no material contract terms are impacted by the Amended Sub-Advisory Agreement except for the amendment to the fee schedule to add and remove the investment mandates, as applicable. 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 does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the fees to be charged under the Amended Sub-Advisory Agreement bear a reasonable relationship to the services to be rendered. 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.** With respect to the new mandate, the Board considered the backgrounds of the investment personnel that will 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. The Board also considered the detailed information provided by Strategic Advisers and Geode with respect to the fund and the other funds it sub-advises in the June 2022 annual contract renewal materials, and the additional information regarding the new investment mandate provided by Strategic Advisers and Geode in the Board's May 2022 materials

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

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

<u>Investment Performance.</u> The Board considered model performance of the investment mandate to be used by Geode.

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 benefit the fund's shareholders.

**Competitiveness of Management Fee and Total Fund Expenses** . The Board considered the amount and nature of the fees to be paid by the fund to Strategic Advisers and by Strategic Advisers to the Sub-Adviser. The Board also considered the projected change in the fund's management fee and total operating expenses, if any, as a result of removing an existing mandate and adding the new investment mandate for the Sub-Adviser.

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 approval of the Amended Sub-Advisory Agreement will not initially result in any changes to the fund's management fee or total net expenses because assets were not allocated to the removed mandate and Strategic Advisers does not expect to allocate assets to the new mandate at this time.

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

**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 with respect to the new mandate, the Amended Sub-Advisory Agreement provides for breakpoints that have the potential to reduce sub-advisory fees paid to the Sub-Adviser as assets allocated to the Sub-Adviser grow.

**Conclusion** . Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the 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), votes at a meeting on the renewal of the management contract with Strategic Advisers LLC (Strategic Advisers), the sub-advisory agreements with FIAM LLC (FIAM), FIL Investment Advisors, and Geode Capital Management, LLC (each a Sub-Adviser and collectively, the Sub-Advisers) (collectively, the Sub-Advisory Agreements), and the sub-sub-advisory agreements with FMR Investment Management (UK) Limited, Fidelity Management & Research (Japan) Limited, Fidelity Management & Research (Hong Kong) Limited, and FIL Investment Advisors (UK) Limited (collectively, the Sub-Sub-Advisory Agreements and, together with the management contract and the Sub-Advisory Agreements, the Advisory Contracts) for the fund. Strategic Advisers and the Sub-Advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.

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

At its September 2022 meeting, the Board, including the Independent Trustees, unanimously determined to renew the fund's Advisory Contracts. In addition, the Board approved amendments to the Sub-Advisory Agreement with FIAM to add two new mandates (Amendments). The Board noted that one of the new mandates (once funded) is expected to slightly increase each of the fund's total management fee rate and total net expenses. The Board noted that the other mandate would not impact the fund's management fee rate or net expenses as it would not initially be funded. The Board noted that no other contract terms are impacted by the Amendments.

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

In considering whether to renew the Advisory Contracts for the fund and approve the Amendments, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts and the approval of the Amendments is in the best interests of the fund and its shareholders. In addition, the Board concluded that the renewal of each Sub-Advisory Agreement and the approval of each Amendment do not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees charged under the Advisory Contracts bear a reasonable relationship to the services rendered. The Board's decision to renew the Advisory Contracts and approve the Amendments was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board throughout the year.

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

<u>Resources Dedicated to Investment Management and Support Services.</u> 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.

<u>Shareholder and Administrative Services</u> . 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.

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

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

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

The following charts considered by the Board show, over the one- and three-year periods ended December 31, 2021, the cumulative total returns of the fund and the cumulative total returns of an appropriate benchmark index and peer group. The box within each chart shows the 25th percentile return (75% beaten, top of box) and the 75th percentile return (25% beaten, bottom of box) of the peer group. Returns shown above the box are in the first quartile and returns shown below the box are in the fourth quartile. The percentage beaten number noted below each chart corresponds to the percentile box and represents the percentage of funds in the peer group whose performance was equal to or lower than that of the fund.

![](img87989_6.jpg)

The Board reviewed the fund's relative investment performance against its peer group and noted that the performance of the fund was in the second quartile for the three-year period and in the third quartile for the one-year period ended December 31, 2021. The Board also noted that the fund had out-performed 33% and 70% of its peers for the one- and three-year periods, respectively, ended December 31, 2021. The Board also noted that the investment performance of the fund was higher than its benchmark for the three-year period and lower than its benchmark for the one-year period shown.

In approving the Amendments, the Board considered the historical investment performance of FIAM and its portfolio managers in managing accounts under similar investment mandates, as well as model performance of the investment mandates to be used by FIAM.

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.

<u>Management Fee.</u> The Board considered two proprietary management fee comparisons. The group of Lipper funds used by the Board for management fee comparisons is referred to as the "Total Mapped Group." The Total Mapped Group comparison focuses on a fund's standing in terms of gross management fees before expense reimbursements or caps relative to the total universe of funds with comparable investment mandates, regardless of whether their management fee structures also are comparable. Funds with comparable investment mandates offer exposure to similar types of securities. Funds with comparable management fee structures have similar management fee contractual arrangements (e.g., flat rate charged for advisory services, all-inclusive fee rate, etc.). "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a hypothetical TMG % of 20% would mean that 80% of the funds in the Total Mapped Group had higher, and 20% had lower, management fees than the fund. The fund's actual TMG %s and the number of funds in the Total Mapped Group are in the chart below. The Board also compared the fund's management fee to an "Asset-Size Peer Group" (ASPG), which is a sub-set of the competitive funds in the Total Mapped Group. The ASPG comparison focuses on a fund's standing relative to non-Fidelity funds within the Total Mapped Group that are similar in size and management fee structure. For example, if a fund is in the first quartile of the ASPG, the fund's management fee ranks in the least expensive or lowest 25% of funds in the ASPG. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee structures, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee rate ranked, is also included in the chart and was considered by the Board.

![](img87989_7.jpg)

The Board noted that the fund's management fee rate ranked below the median of its Total Mapped Group and below the median of its ASPG for the 12-month period ended December 31, 2021. The Board also noted that, after funding one of the new mandates with FIAM, it is expected that the fund's management fee rate will continue to rank below its competitive median.

Based on its review, the Board concluded that the fund's management fee bears a reasonable relationship to the services rendered.

<u>Total Expenses.</u> In its review of the fund's total expenses, the Board considered the fund's management fee rate as well as other fund expenses, as applicable, such as expenses from holding Fidelity and non-Fidelity mutual funds and ETFs, pricing and bookkeeping fees, and custodial, legal, and audit fees. The Board also noted the effects of any waivers and reimbursements on fees and expenses. The Board further noted that the fund's total expenses were compared to those funds and classes in the Total Mapped Group (used by the Board for management fee comparisons) that have similar sales load structures. This comparison, which is a proxy for comparing funds by distribution channel, showed the fund's position relative to competitive funds with similar sales load structures. The Board noted that the fund's total expense ratio ranked below the fund's similar sales load structure group competitive median for the 12-month period ended December 31, 2021.

<u>Fees Charged to Other Clients</u> . The Board also considered fee structures paid by the Investment Advisers' other clients, such as other funds advised or subadvised by the Investment Advisers, pension plan clients, and other institutional clients with similar investment mandates.

Based on its review of the total expense ratios and fees charged to other clients of Strategic Advisers or its affiliates and each Sub-Adviser, the Board concluded that the total expenses of the fund were reasonable in light of the services that the fund and its shareholders receive and the other factors considered.

**Costs of the Services and Profitability** . The Board considered information regarding the revenues earned and the expenses incurred by Strategic Advisers and its affiliates in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and servicing the fund's shareholders.

On an annual basis, Strategic Advisers presents to the Board information about the profitability of its relationships with the fund. Strategic Advisers calculates profitability information for the fund using a series of detailed revenue and cost allocation methodologies. The Board reviews any significant changes from the prior year's methodologies. Strategic Advisers noted that, to the extent possible, it employs the same corporate reporting of revenues and expenses as those used by other Fidelity funds.

A public accounting firm has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. The engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's mutual fund business, and completion of agreed-upon procedures in respect of the mathematical accuracy of certain fund profitability information and its conformity to established allocation methodologies. After considering the reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.

The Board also reviewed Fidelity's non-fund businesses and potential indirect benefits such businesses may have received as a result of their association with Fidelity's mutual fund business (i.e., fall-out benefits) as well as cases where Fidelity's affiliates may benefit from the fund's business. The Board noted that changes to fall-out benefits year-over-year reflect business developments at Fidelity's various businesses.

The Board considered the costs of the services provided by and the profits realized, if any, by Strategic Advisers and its affiliates in connection with the operation of the fund and was satisfied that the profitability was not excessive.

The Board also considered information regarding the profitability of the Sub-Advisers' respective relationships with the fund and the potential fall-out benefits, if any, that may accrue to the Sub-Advisers as a result of their respective relationships with the fund. The Board considered profitability information provided by the Sub-Advisers in light of the nature of the relationships between Strategic Advisers and the Sub-Advisers with respect to the negotiation of sub-advisory fees.

**Possible Economies of Scale** . The Board considered whether there have been economies of scale in respect of the management of the Strategic Advisers funds, whether the Strategic Advisers funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale as assets grow through increased services to the fund, through waivers or reimbursements, or through fee or expense ratio reductions. The Board considered that certain of the fund's Sub-Advisory Agreements provide for breakpoints as the fund's assets grow and noted that any potential decline in sub-advisory fees under such contracts would accrue directly to the fund. The Board also took Strategic Advisers' management fee waiver into consideration.

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

![](img87989_2.jpg) <br>

1.9887484.104 TSF-SANN-0123

**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, 2022**

![](img87990_1.jpg)

![](img87990_2.jpg)

**Contents**

---

| |
|:---|
| **[Investment Summary](#Sec_InvestmentSummary3310)** |
| **[Schedule of Investments](#Sec_ScheduleOfInvestments3310)** |
| **[Financial Statements](#Sec_FinancialStatements3310)** |
| **[Notes to Financial Statements](#Sec_Notes to Financial Statements)** |
| **[Shareholder Expense Example](#Sec_Shareholder Expense Example)** |
| **[Board Approval of Amended Sub-Advisory Agreement](#Sec_Board Approval of Investment Advisory Contracts and Management Fees)** |

---

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.© 2023 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.*

**Investment Summary November 30, 2022 (Unaudited)**

The information in the following table is based on the direct Investments of the Fund.

---

| | |
|:---|:---|
| &nbsp;&nbsp; **Top Holdings (% of Fund's net assets)**  | &nbsp;&nbsp; **Top Holdings (% of Fund's net assets)**  |
| (excluding cash equivalents)  | (excluding cash equivalents)  |
| Fidelity SAI Emerging Markets Value Index Fund  | 19.1  |
| Fidelity Advisor Emerging Markets Fund Class Z  | 10.4  |
| Fidelity SAI Emerging Markets Index Fund  | 9.4  |
| Fidelity SAI Emerging Markets Low Volatility Index Fund  | 7.2  |
| Taiwan Semiconductor Manufacturing Co. Ltd.  | 3.7  |
| Samsung Electronics Co. Ltd.  | 2.4  |
| Tencent Holdings Ltd.  | 2.3  |
| Meituan Class B  | 1.0  |
| Alibaba Group Holding Ltd.  | 0.9  |
| MediaTek, Inc.  | 0.7  |
|  | 57.1  |

---

---

| | |
|:---|:---|
| &nbsp;&nbsp; **Market Sectors (% of Fund's net assets)**  | &nbsp;&nbsp; **Market Sectors (% of Fund's net assets)**  |
| (Stocks Only)  | (Stocks Only)  |
| Financials  | 10.5  |
| Information Technology  | 10.1  |
| Consumer Discretionary  | 7.6  |
| Materials  | 4.0  |
| Communication Services  | 3.7  |
| Consumer Staples  | 2.9  |
| Industrials  | 2.8  |
| Energy  | 1.9  |
| Health Care  | 1.8  |
| Real Estate  | 0.3  |
| Utilities  | 0.3  |

---

---

| |
|:---|
| &nbsp;&nbsp; **Asset Allocation (% of Fund's net assets)**  |
| ![](img87990_5.jpg)  |

---

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

---

| |
|:---|
| &nbsp;&nbsp; **Geographic Diversification (% of Fund's net assets)**  |
| ![](img87990_6.jpg) <br>|
| *\* Includes Short-Term investments and Net Other Assets (Liabilities).* <br> *Percentages are based on country or territory of incorporation and are adjusted for the effect of futures contracts, if applicable.*  |

---

**Schedule of Investments November 30, 2022 (Unaudited)**

Showing Percentage of Net Assets

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **Common Stocks - 45.3%**  | &nbsp;&nbsp; **Common Stocks - 45.3%**  | &nbsp;&nbsp; **Common Stocks - 45.3%**  |
|  | Shares  | Value ($) <br>|
| COMMUNICATION SERVICES - 3.7%  |  |  |
| Diversified Telecommunication Services - 0.1%  |  |  |
|  PT Telkom Indonesia Persero Tbk  | 13365901  | 3448068  |
|  Saudi Telecom Co.  | 645136  | 6598518  |
|  Sitios Latinoamerica S.A.B. de CV (a)(b)  | 452776  | 203695  |
|  |  | 10250281  |
| Entertainment - 0.3%  |  |  |
|  Bilibili, Inc. ADR (a)(b)  | 174817  | 3034823  |
|  International Games Systems Co. Ltd.  | 297015  | 3785306  |
|  NetEase, Inc.  | 225400  | 3258977  |
|  NetEase, Inc. ADR (b)  | 212067  | 15082205  |
|  PVR Ltd. (a)  | 178000  | 4073583  |
|  |  | 29234894  |
| Interactive Media & Services - 2.5%  |  |  |
|  NAVER Corp.  | 94934  | 13953570  |
|  Tencent Holdings Ltd.  | 5225765  | 197619179  |
|  Yandex NV Series A (a)(c)  | 963690  | 3305303  |
|  |  | 214878052  |
| Wireless Telecommunication Services - 0.8%  |  |  |
|  America Movil S.A.B. de CV Series L  | 9329808  | 9076423  |
|  Bharti Airtel Ltd.  | 2177066  | 22768362  |
|  Far EasTone Telecommunications Co. Ltd.  | 1237000  | 2740839  |
|  MTN Group Ltd.  | 4372507  | 35639289  |
|  |  | 70224913  |
|  TOTAL COMMUNICATION SERVICES  |  | 324588140  |
| CONSUMER DISCRETIONARY - 7.6%  |  |  |
| Automobiles - 1.0%  |  |  |
|  Brilliance China Automotive Holdings Ltd. (a)  | 5700000  | 3279838  |
|  Eicher Motors Ltd.  | 94162  | 4041632  |
|  Guangzhou Automobile Group Co. Ltd. (H Shares)  | 40633433  | 29382401  |
|  Hyundai Motor Co.  | 197742  | 26048777  |
|  Kia Corp.  | 59220  | 3153475  |
|  Li Auto, Inc. ADR (a)(b)  | 823253  | 18111566  |
|  |  | 84017689  |
| Hotels, Restaurants & Leisure - 0.8%  |  |  |
|  MakeMyTrip Ltd. (a)(b)  | 231353  | 6868871  |
|  Shangri-La Asia Ltd. (a)  | 13890000  | 8646426  |
|  Trip.com Group Ltd. (a)  | 84600  | 2677431  |
|  Trip.com Group Ltd. ADR (a)  | 1425762  | 45553096  |
|  Yum China Holdings, Inc.  | 25526  | 1406993  |
|  Yum China Holdings, Inc. (Hong Kong)  | 52350  | 2935592  |
|  |  | 68088409  |
| Household Durables - 0.5%  |  |  |
|  Haier Smart Home Co. Ltd.  | 2432318  | 8095135  |
|  Haier Smart Home Co. Ltd. (A Shares)  | 10123795  | 35384578  |
|  |  | 43479713  |
| Internet & Direct Marketing Retail - 4.3%  |  |  |
|  Alibaba Group Holding Ltd. (a)  | 7333373  | 79810291  |
|  Alibaba Group Holding Ltd. sponsored ADR (a)  | 399883  | 35013755  |
|  JD.com, Inc.:  |  |  |
|  Class A  | 2015485  | 57537603  |
|  sponsored ADR  | 494142  | 28255040  |
|  Meituan Class B (a)(d)  | 3932922  | 84782257  |
|  Naspers Ltd. Class N  | 345832  | 53003639  |
|  Pinduoduo, Inc. ADR (a)  | 553496  | 45408812  |
|  |  | 383811397  |
| Specialty Retail - 0.2%  |  |  |
|  China Tourism Group Duty Free Corp. Ltd. (H Shares) (a)(d)  | 168262  | 4275454  |
|  Chow Tai Fook Jewellery Group Ltd.  | 1294600  | 2282846  |
|  Zhongsheng Group Holdings Ltd. Class H  | 2197000  | 11333920  |
|  |  | 17892220  |
| Textiles, Apparel & Luxury Goods - 0.8%  |  |  |
|  ECLAT Textile Co. Ltd.  | 1082000  | 16313641  |
|  Li Ning Co. Ltd.  | 6092757  | 48964427  |
|  Shenzhou International Group Holdings Ltd.  | 517718  | 4674016  |
|  |  | 69952084  |
|  TOTAL CONSUMER DISCRETIONARY  |  | 667241512  |
| CONSUMER STAPLES - 2.8%  |  |  |
| Beverages - 1.3%  |  |  |
|  China Resources Beer Holdings Co. Ltd.  | 4571628  | 31678018  |
|  Fomento Economico Mexicano S.A.B. de CV sponsored ADR  | 85759  | 6849571  |
|  Kweichow Moutai Co. Ltd. (A Shares)  | 220121  | 49959267  |
|  Thai Beverage PCL  | 13891870  | 6505900  |
|  Wuliangye Yibin Co. Ltd. (A Shares)  | 1106294  | 24788718  |
|  |  | 119781474  |
| Food & Staples Retailing - 0.7%  |  |  |
|  CP ALL PCL (For. Reg.)  | 9173475  | 17046975  |
|  Dino Polska SA (a)(d)  | 35649  | 2929938  |
|  Jeronimo Martins SGPS SA  | 279511  | 6236319  |
|  Laobaixing Pharmacy Chain JSC (A Shares)  | 477996  | 2810290  |
|  Shoprite Holdings Ltd.  | 781630  | 11406245  |
|  Wal-Mart de Mexico SA de CV Series V  | 6492143  | 25815135  |
|  |  | 66244902  |
| Food Products - 0.6%  |  |  |
|  China Mengniu Dairy Co. Ltd.  | 9285000  | 41760925  |
|  Gruma S.A.B. de CV Series B  | 357819  | 4466339  |
|  PT Indofood CBP Sukses Makmur Tbk  | 4691000  | 3011674  |
|  PT Indofood Sukses Makmur Tbk  | 5712400  | 2345680  |
|  |  | 51584618  |
| Personal Products - 0.1%  |  |  |
|  Hindustan Unilever Ltd.  | 186059  | 6151543  |
|  Proya Cosmetics Co. Ltd. (A Shares)  | 66740  | 1602189  |
|  |  | 7753732  |
| Tobacco - 0.1%  |  |  |
|  ITC Ltd.  | 1365669  | 5725339  |
|  TOTAL CONSUMER STAPLES  |  | 251090065  |
| ENERGY - 1.7%  |  |  |
| Energy Equipment & Services - 0.1%  |  |  |
|  Yantai Jereh Oilfield Services (A Shares)  | 631892  | 2810059  |
| Oil, Gas & Consumable Fuels - 1.6%  |  |  |
|  China Merchants Energy Shipping Co. Ltd. (A Shares)  | 3311755  | 3078441  |
|  Gazprom OAO (c)  | 5946277  | 948737  |
|  LUKOIL PJSC (c)  | 345667  | 163137  |
|  LUKOIL PJSC sponsored ADR (c)  | 499400  | 141275  |
|  OMV AG  | 263823  | 14001535  |
|  Petroleo Brasileiro SA - Petrobras (ON)  | 2432889  | 14247545  |
|  PT United Tractors Tbk  | 13743880  | 27033429  |
|  Reliance Industries Ltd.  | 722419  | 24318976  |
|  Reliance Industries Ltd. sponsored GDR (d)  | 109657  | 7297399  |
|  Saudi Arabian Oil Co. (d)  | 319490  | 2847088  |
|  TotalEnergies SE (b)  | 564324  | 35270304  |
|  Turkiye Petrol Rafinerileri A/S (a)  | 546000  | 14099678  |
|  |  | 143447544  |
|  TOTAL ENERGY  |  | 146257603  |
| FINANCIALS - 10.2%  |  |  |
| Banks - 7.1%  |  |  |
|  Absa Group Ltd.  | 2789968  | 33135200  |
|  Abu Dhabi Commercial Bank PJSC  | 2770600  | 7384545  |
|  Al Rajhi Bank  | 1081028  | 23148967  |
|  Alinma Bank  | 1713410  | 15724585  |
|  Axis Bank Ltd.  | 2439892  | 27143100  |
|  Axis Bank Ltd. GDR (Reg. S)  | 205037  | 11574626  |
|  Bangkok Bank PCL (For. Reg.)  | 1506503  | 6212716  |
|  BOC Hong Kong (Holdings) Ltd.  | 981500  | 3132945  |
|  Capitec Bank Holdings Ltd.  | 32568  | 3815928  |
|  China Construction Bank Corp. (H Shares)  | 35623717  | 21559475  |
|  China Merchants Bank Co. Ltd. (H Shares)  | 1692097  | 8594245  |
|  Credicorp Ltd. (United States) (b)  | 222384  | 34147063  |
|  CTBC Financial Holding Co. Ltd.  | 4369000  | 3293335  |
|  E.SUN Financial Holdings Co. Ltd.  | 13728168  | 11129463  |
|  Erste Group Bank AG  | 125222  | 3920876  |
|  First Abu Dhabi Bank PJSC  | 635235  | 3043788  |
|  Grupo Financiero Banorte S.A.B. de CV Series O  | 5753837  | 46015189  |
|  Hana Financial Group, Inc.  | 288138  | 9964617  |
|  HDFC Bank Ltd. (a)  | 1533611  | 30439410  |
|  HDFC Bank Ltd. sponsored ADR  | 861855  | 60821107  |
|  ICICI Bank Ltd.  | 3768580  | 44188795  |
|  ICICI Bank Ltd. sponsored ADR  | 1198553  | 28429677  |
|  Industrial & Commercial Bank of China Ltd. (H Shares)  | 59795982  | 29969685  |
|  Industrial Bank Co. Ltd. (A Shares)  | 298788  | 750141  |
|  Kasikornbank PCL (For. Reg.)  | 4254900  | 17597631  |
|  KB Financial Group, Inc.  | 364553  | 14636719  |
|  National Bank of Greece SA (a)  | 6136600  | 25246093  |
|  Nu Holdings Ltd. (b)  | 1033192  | 4597704  |
|  OTP Bank PLC  | 195499  | 5344427  |
|  Postal Savings Bank of China Co. Ltd.  | 1547200  | 979026  |
|  PT Bank Central Asia Tbk  | 56986620  | 33854539  |
|  PT Bank Mandiri (Persero) Tbk  | 42938295  | 28964540  |
|  PT Bank Rakyat Indonesia (Persero) Tbk  | 20379754  | 6483063  |
|  Sberbank of Russia (a)(c)  | 3314825  | 31076  |
|  Sberbank of Russia:  |  |  |
| (RTSX) (a)(c)  | 617111  | 5785  |
|  sponsored ADR (a)(c)  | 1653549  | 29433  |
|  SCB X PCL (For. Reg.)  | 784374  | 2363782  |
|  Shinhan Financial Group Co. Ltd.  | 171653  | 5031638  |
|  TCS Group Holding PLC GDR (a)(c)  | 267069  | 335051  |
|  The Saudi National Bank  | 495574  | 6775954  |
|  Woori Financial Group, Inc.  | 676430  | 6832722  |
|  |  | 626648661  |
| Capital Markets - 0.1%  |  |  |
|  East Money Information Co. Ltd. (A Shares)  | 845478  | 2240058  |
|  Hong Kong Exchanges and Clearing Ltd.  | 138400  | 5502440  |
|  Noah Holdings Ltd. sponsored ADR (a)  | 80375  | 1179101  |
|  |  | 8921599  |
| Consumer Finance - 0.3%  |  |  |
|  Kaspi.KZ JSC GDR (Reg. S)  | 355977  | 27413818  |
| Diversified Financial Services - 1.1%  |  |  |
|  Chailease Holding Co. Ltd.  | 5408966  | 35824721  |
|  Housing Development Finance Corp. Ltd.  | 1828256  | 60817717  |
|  |  | 96642438  |
| Insurance - 1.6%  |  |  |
|  AIA Group Ltd.  | 5030400  | 51081747  |
|  China Life Insurance Co. Ltd. (H Shares)  | 34677428  | 53158883  |
|  Db Insurance Co. Ltd.  | 186358  | 8956520  |
|  HDFC Standard Life Insurance Co. Ltd. (d)  | 1351347  | 9839329  |
|  Hyundai Fire & Marine Insurance Co. Ltd.  | 117150  | 2732353  |
|  Ping An Insurance Group Co. of China Ltd. (H Shares)  | 2909793  | 17965086  |
|  |  | 143733918  |
|  TOTAL FINANCIALS  |  | 903360434  |
| HEALTH CARE - 1.8%  |  |  |
| Biotechnology - 0.2%  |  |  |
|  InnoCare Pharma Ltd. (a)(d)  | 1028000  | 1418901  |
|  Innovent Biologics, Inc. (a)(d)  | 456500  | 1843495  |
|  Zai Lab Ltd. (a)  | 899850  | 3259384  |
|  Zai Lab Ltd. ADR (a)  | 337155  | 13000697  |
|  |  | 19522477  |
| Health Care Equipment & Supplies - 0.4%  |  |  |
|  Peijia Medical Ltd. (a)(d)  | 1320000  | 1326829  |
|  Shenzhen Mindray Bio-Medical Electronics Co. Ltd. (A Shares)  | 726726  | 33598999  |
|  |  | 34925828  |
| Health Care Providers & Services - 0.2%  |  |  |
|  Apollo Hospitals Enterprise Ltd.  | 76444  | 4463877  |
|  Dr Sulaiman Al Habib Medical Services Group Co.  | 167549  | 10340192  |
|  |  | 14804069  |
| Health Care Technology - 0.0%  |  |  |
|  Medlive Technology Co. Ltd. (d)  | 429500  | 541051  |
| Life Sciences Tools & Services - 0.2%  |  |  |
|  WuXi AppTec Co. Ltd. (H Shares) (d)  | 224416  | 2262873  |
|  Wuxi Biologics (Cayman), Inc. (a)(d)  | 2576447  | 16885353  |
|  |  | 19148226  |
| Pharmaceuticals - 0.8%  |  |  |
|  Hansoh Pharmaceutical Group Co. Ltd. (d)  | 11446000  | 21728961  |
|  Hypera SA  | 1232700  | 10556464  |
|  Richter Gedeon PLC  | 1772825  | 38095242  |
|  |  | 70380667  |
|  TOTAL HEALTH CARE  |  | 159322318  |
| INDUSTRIALS - 2.8%  |  |  |
| Aerospace & Defense - 0.3%  |  |  |
|  Korea Aerospace Industries Ltd.  | 568260  | 21338612  |
| Building Products - 0.0%  |  |  |
|  Zhejiang Weixing New Building Materials Co. Ltd. (A Shares)  | 939748  | 2889522  |
| Construction & Engineering - 0.6%  |  |  |
|  Larsen & Toubro Ltd.  | 2053061  | 52511811  |
|  Voltas Ltd.  | 93703  | 948250  |
|  |  | 53460061  |
| Electrical Equipment - 0.2%  |  |  |
|  Bharat Heavy Electricals Ltd.  | 11533600  | 11972404  |
|  Hongfa Technology Co. Ltd. (A Shares)  | 508972  | 2502199  |
|  Titan Wind Energy Suzhou Co. Ltd. (A Shares)  | 1704720  | 3436874  |
|  |  | 17911477  |
| Industrial Conglomerates - 0.0%  |  |  |
|  Industries Qatar QSC (a)  | 792635  | 3240842  |
| Machinery - 0.8%  |  |  |
|  HIWIN Technologies Corp.  | 2242112  | 13731551  |
|  Hyundai Mipo Dockyard Co. Ltd. (a)  | 197040  | 13267545  |
|  Shenzhen Inovance Technology Co. Ltd. (A Shares)  | 1230100  | 12318819  |
|  Sinoseal Holding Co. Ltd.  | 315095  | 1848455  |
|  Sinotruk Hong Kong Ltd.  | 6716459  | 8815767  |
|  Techtronic Industries Co. Ltd.  | 450500  | 5491667  |
|  Wuxi Lead Intelligent Equipment Co. Ltd. (A Shares)  | 234999  | 1472811  |
|  Zhejiang Sanhua Intelligent Controls Co. Ltd. (A Shares)  | 4795317  | 15162287  |
|  |  | 72108902  |
| Road & Rail - 0.6%  |  |  |
|  Localiza Rent a Car SA  | 3693262  | 42773189  |
|  Localiza Rent a Car SA ADR (a)  | 8658  | 95317  |
|  Vamos Locacao de Caminhoes Maquinas e Equipamentos SA  | 4560333  | 11652715  |
|  |  | 54521221  |
| Trading Companies & Distributors - 0.1%  |  |  |
|  BOC Aviation Ltd. Class A (d)  | 638400  | 5055122  |
| Transportation Infrastructure - 0.2%  |  |  |
|  Grupo Aeroportuario del Pacifico S.A.B. de CV Series B  | 685206  | 11057621  |
|  Grupo Aeroportuario del Sureste S.A.B. de CV Series B  | 146539  | 3625348  |
|  |  | 14682969  |
|  TOTAL INDUSTRIALS  |  | 245208728  |
| INFORMATION TECHNOLOGY - 10.1%  |  |  |
| Communications Equipment - 0.1%  |  |  |
|  Accton Technology Corp.  | 602000  | 5375280  |
| Electronic Equipment & Components - 0.7%  |  |  |
|  Delta Electronics, Inc.  | 316000  | 3135639  |
|  Hon Hai Precision Industry Co. Ltd. (Foxconn)  | 2771213  | 9105120  |
|  Lotes Co. Ltd.  | 90000  | 2557744  |
|  SINBON Electronics Co. Ltd.  | 464000  | 4112869  |
|  Sunny Optical Technology Group Co. Ltd.  | 1948490  | 23196514  |
|  Unimicron Technology Corp.  | 1816991  | 9386115  |
|  Yageo Corp.  | 916109  | 13976160  |
|  |  | 65470161  |
| IT Services - 0.7%  |  |  |
|  Infosys Ltd.  | 1250234  | 25431586  |
|  Infosys Ltd. sponsored ADR  | 1624011  | 33048624  |
|  Tata Consultancy Services Ltd.  | 117659  | 4944928  |
|  |  | 63425138  |
| Semiconductors & Semiconductor Equipment - 5.9%  |  |  |
|  ASML Holding NV (Netherlands)  | 17907  | 10932584  |
|  Daqo New Energy Corp. ADR (a)  | 211496  | 12036237  |
|  eMemory Technology, Inc.  | 326126  | 15971291  |
|  LONGi Green Energy Technology Co. Ltd.  | 663958  | 4337758  |
|  MediaTek, Inc.  | 2526286  | 61255781  |
|  Parade Technologies Ltd.  | 109252  | 2877141  |
|  Silergy Corp.  | 894690  | 13469406  |
|  SK Hynix, Inc.  | 724755  | 48366345  |
|  StarPower Semiconductor Ltd. (A Shares)  | 13900  | 670370  |
|  Taiwan Semiconductor Manufacturing Co. Ltd.  | 19973339  | 321878089  |
|  Taiwan Semiconductor Manufacturing Co. Ltd. sponsored ADR  | 355808  | 29524948  |
|  |  | 521319950  |
| Technology Hardware, Storage & Peripherals - 2.7%  |  |  |
|  Samsung Electronics Co. Ltd.  | 4341661  | 210934563  |
|  Samsung Electronics Co. Ltd. GDR (Reg. S)  | 21300  | 25301303  |
|  Wiwynn Corp.  | 116000  | 3359095  |
|  |  | 239594961  |
|  TOTAL INFORMATION TECHNOLOGY  |  | 895185490  |
| MATERIALS - 4.0%  |  |  |
| Chemicals - 0.8%  |  |  |
|  Hansol Chemical Co. Ltd.  | 33521  | 5518218  |
|  LG Chemical Ltd.  | 60966  | 35188738  |
|  PhosAgro PJSC (c)  | 88909  | 8341  |
|  PhosAgro PJSC:  |  |  |
|  GDR (c)  | 1718  | 35  |
|  GDR (Reg. S) (c)  | 1  | 0  |
|  PT Avia Avian Tbk  | 43860632  | 2148381  |
|  Shandong Sinocera Functional Material Co. Ltd. (A Shares)  | 367100  | 1433523  |
|  Solar Industries India Ltd.  | 511524  | 24546961  |
|  |  | 68844197  |
| Construction Materials - 0.4%  |  |  |
|  Beijing Oriental Yuhong Waterproof Technology Co. Ltd. (A Shares)  | 673186  | 3163026  |
|  CEMEX S.A.B. de CV sponsored ADR (a)  | 673500  | 3077895  |
|  JK Cement Ltd.  | 499800  | 18947549  |
|  Ultratech Cement Ltd.  | 129070  | 11257306  |
|  |  | 36445776  |
| Metals & Mining - 2.7%  |  |  |
|  AngloGold Ashanti Ltd.  | 182171  | 3325121  |
|  AngloGold Ashanti Ltd. sponsored ADR  | 344017  | 6305832  |
|  Barrick Gold Corp.  | 1831700  | 29893344  |
|  Endeavour Mining PLC  | 40758  | 865064  |
|  First Quantum Minerals Ltd.  | 1223796  | 29094894  |
|  Gold Fields Ltd.  | 277387  | 3080086  |
|  Gold Fields Ltd. sponsored ADR  | 457900  | 5105585  |
|  Grupo Mexico SA de CV Series B  | 2952205  | 12038949  |
|  Impala Platinum Holdings Ltd.  | 2724203  | 33057386  |
|  Industrias Penoles SA de CV  | 2404  | 32318  |
|  Novolipetsk Steel OJSC GDR (Reg. S) (c)  | 169976  | 21118  |
|  POSCO  | 230372  | 53319211  |
|  Sibanye-Stillwater Ltd.  | 848759  | 2361604  |
|  Southern Copper Corp. (b)  | 202430  | 12352279  |
|  Tata Steel Ltd.  | 11499004  | 15403776  |
|  Vale SA  | 502245  | 8295339  |
|  Vale SA sponsored ADR  | 417119  | 6882464  |
|  Zijin Mining Group Co. Ltd. (H Shares)  | 11081394  | 14707944  |
|  |  | 236142314  |
| Paper & Forest Products - 0.1%  |  |  |
|  Suzano Papel e Celulose SA  | 892276  | 9138807  |
|  Xianhe Co. Ltd. (A Shares)  | 412088  | 1685736  |
|  |  | 10824543  |
|  TOTAL MATERIALS  |  | 352256830  |
| REAL ESTATE - 0.3%  |  |  |
| Real Estate Management & Development - 0.3%  |  |  |
|  Ayala Land, Inc.  | 6928832  | 3924065  |
|  China Merchants Shekou Industrial Zone Holdings Co. Ltd. (A Shares)  | 1040600  | 2257916  |
|  China Resources Land Ltd.  | 1886000  | 8760315  |
|  KE Holdings, Inc. ADR (a)  | 881922  | 14922120  |
|  |  | 29864416  |
| UTILITIES - 0.3%  |  |  |
| Gas Utilities - 0.2%  |  |  |
|  ENN Energy Holdings Ltd.  | 368400  | 5220619  |
|  Kunlun Energy Co. Ltd.  | 14459561  | 11218385  |
|  |  | 16439004  |
| Independent Power and Renewable Electricity Producers - 0.1%  |  |  |
|  NTPC Ltd.  | 3943888  | 8362847  |
| Multi-Utilities - 0.0%  |  |  |
|  Dubai Electricity & Water Authority PJSC  | 132079  | 83783  |
|  TOTAL UTILITIES  |  | 24885634  |
| <br> **TOTAL COMMON STOCKS** <br> (Cost $4,076,220,041)  |  | <br> **3999261170**  |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **Nonconvertible Preferred Stocks - 0.6%**  | &nbsp;&nbsp; **Nonconvertible Preferred Stocks - 0.6%**  | &nbsp;&nbsp; **Nonconvertible Preferred Stocks - 0.6%**  |
|  | Shares  | Value ($) <br>|
| CONSUMER STAPLES - 0.1%  |  |  |
| Beverages - 0.1%  |  |  |
|  Ambev SA sponsored ADR  | 3243900  | 9893895  |
| ENERGY - 0.2%  |  |  |
| Oil, Gas & Consumable Fuels - 0.2%  |  |  |
|  Petroleo Brasileiro SA - Petrobras sponsored ADR  | 1613788  | 18865182  |
| FINANCIALS - 0.3%  |  |  |
| Banks - 0.3%  |  |  |
|  Banco Bradesco SA (PN)  | 360240  | 1081550  |
|  Itau Unibanco Holding SA  | 5254551  | 26326674  |
|  Itausa-Investimentos Itau SA (PN)  | 208310  | 356459  |
|  Sberbank of Russia (a)(c)  | 2462434  | 23253  |
|  Sberbank of Russia (Russia) (a)(c)  | 3791522  | 35804  |
|  |  | 27823740  |
| MATERIALS - 0.0%  |  |  |
| Chemicals - 0.0%  |  |  |
|  Braskem SA Class A  | 348700  | 1890876  |
| <br> **TOTAL NONCONVERTIBLE PREFERRED STOCKS** <br> (Cost $69,584,877)  |  | <br> **58473693**  |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **Equity Funds - 46.1%**  | &nbsp;&nbsp; **Equity Funds - 46.1%**  | &nbsp;&nbsp; **Equity Funds - 46.1%**  |
|  | Shares  | Value ($) <br>|
| Diversified Emerging Markets Funds - 46.1%  |  |  |
|  Fidelity Advisor Emerging Markets Fund Class Z (e)  | 28004799  | 920517733  |
|  Fidelity SAI Emerging Markets Index Fund (e)  | 64616899  | 830327147  |
|  Fidelity SAI Emerging Markets Low Volatility Index Fund (e)  | 61993983  | 631098752  |
|  Fidelity SAI Emerging Markets Value Index Fund (e)  | 143572608  | 1681235245  |
| <br> **TOTAL EQUITY FUNDS** <br> (Cost $4,452,112,840)  |  | <br> **4063178877**  |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **U.S. Treasury Obligations - 0.4%**  | &nbsp;&nbsp; **U.S. Treasury Obligations - 0.4%**  | &nbsp;&nbsp; **U.S. Treasury Obligations - 0.4%**  |
|  | Principal <br> Amount (f) <br>| Value ($) <br>|
|  U.S. Treasury Bills, yield at date of purchase 3.1% to 4.31% 12/15/22 to 3/2/23 (g) <br>(Cost $33,849,156) <br>| 34040000  | **33843899**  |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **Money Market Funds - 8.4%**  | &nbsp;&nbsp; **Money Market Funds - 8.4%**  | &nbsp;&nbsp; **Money Market Funds - 8.4%**  |
|  | Shares  | Value ($) <br>|
|  Fidelity Cash Central Fund 3.86% (h)  | 72572362  | 72586876  |
|  Fidelity Securities Lending Cash Central Fund 3.86% (h)(i)  | 72505581  | 72512832  |
|  Invesco Government & Agency Portfolio Institutional Class 3.09% (j)  | 593939006  | 593939006  |
| <br> **TOTAL MONEY MARKET FUNDS** <br> (Cost $739,018,571)  |  | **739038714**  |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 100.8%** <br> (Cost $9,370,785,485) <br>| <br>**8893796353**  |
| **NET OTHER ASSETS (LIABILITIES) - (0.8)%**  | **(73215324)**  |
| **NET ASSETS - 100.0%**  | **8820581029**  |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp; **Futures Contracts**  | &nbsp;&nbsp; **Futures Contracts**  | &nbsp;&nbsp; **Futures Contracts**  | &nbsp;&nbsp; **Futures Contracts**  | &nbsp;&nbsp; **Futures Contracts**  | &nbsp;&nbsp; **Futures Contracts**  |
|  | Number <br> of contracts  | Expiration <br> Date  | Notional <br> Amount ($) <br>| Value ($) <br>| Unrealized <br> Appreciation/ <br> (Depreciation) ($) <br>|
| Purchased  |  |  |  |  |  |
| Equity Index Contracts  |  |  |  |  |  |
| ICE E-mini MSCI Emerging Markets Index Contracts (United States)  | 11684  | Dec 2022  | 573976500  | 9193928  | 9193928  |
| The notional amount of futures purchased as a percentage of Net Assets is 6.5%  | The notional amount of futures purchased as a percentage of Net Assets is 6.5%  | The notional amount of futures purchased as a percentage of Net Assets is 6.5%  | The notional amount of futures purchased as a percentage of Net Assets is 6.5%  | The notional amount of futures purchased as a percentage of Net Assets is 6.5%  | The notional amount of futures purchased as a percentage of Net Assets is 6.5%  |

---

**Legend**

(a) Non-income producing

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

(c) Level 3 security

(d) Security 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 $163,034,050 or 1.8% of net assets.

(e) Affiliated Fund

(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 $29,862,901.

(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, <br> beginning <br> of period ($)  | Purchases ($)  | Sales <br> Proceeds ($)  | Dividend <br> Income ($)  | Realized <br> Gain (loss) ($)  | Change in <br> Unrealized <br> appreciation <br> (depreciation) ($)  | Value, <br> end <br> of period ($)  | % ownership, <br> end <br> of period  |
|  Fidelity Cash Central Fund 3.86%  | 120253538  | 409029568  | 456696230  | 1545371  | -  | -  | 72586876  | 0.1%  |
|  Fidelity Securities Lending Cash Central Fund 3.86%  | 38531257  | 361379000  | 327397425  | 142262  | -  | -  | 72512832  | 0.2%  |
| Total  | 158784795  | 770408568  | 784093655  | 1687633  | -  | -  | 145099708  |  |

---

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

Amount for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.

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, <br> beginning <br> of period ($)  | Purchases ($)  | Sales <br> Proceeds ($)  | Dividend <br> Income ($)  | Realized <br> Gain (loss) ($)  | Change in <br> Unrealized <br> appreciation <br> (depreciation) ($)  | Value, <br> end <br> of period ($)  |
|  Fidelity Advisor Emerging Markets Fund Class Z  | 976247283  | -  | -  | -  | -  | (55729550)  | 920517733  |
|  Fidelity SAI Emerging Markets Index Fund  | 748130649  | 167515609  | 50000000  | -  | (8988735)  | (26330376)  | 830327147  |
|  Fidelity SAI Emerging Markets Low Volatility Index Fund  | 670774901  | -  | -  | -  | -  | (39676149)  | 631098752  |
|  Fidelity SAI Emerging Markets Value Index Fund  | 1803271961  | 1  | -  | -  | -  | (122036717)  | 1681235245  |
|  | 4198424794  | 167515610  | 50000000  | -  | (8988735)  | (243772792)  | 4063178877  |

---

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

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, 2022, 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:**  | **Valuation Inputs at Reporting Date:**  | **Valuation Inputs at Reporting Date:**  | **Valuation Inputs at Reporting Date:**  | **Valuation Inputs at Reporting Date:**  |
| **Description**  | **Total ($)**  | **Level 1 ($)**  | **Level 2 ($)**  | **Level 3 ($)**  |
| **<u>Investments in Securities:</u>**  |  |  |  |  |
|  **Equities:**  |  |  |  |  |
| Communication Services  | 324588140  | 69634953  | 251647884  | 3305303  |
| Consumer Discretionary  | 667241512  | 180618133  | 486623379  | -  |
| Consumer Staples  | 260983960  | 58431185  | 202552775  | -  |
| Energy  | 165122785  | 50059493  | 113810143  | 1253149  |
| Financials  | 931184174  | 301327918  | 629395854  | 460402  |
| Health Care  | 159322318  | 71992595  | 87329723  | -  |
| Industrials  | 245208728  | 72445032  | 172763696  | -  |
| Information Technology  | 895185490  | 74609809  | 820575681  | -  |
| Materials  | 354147706  | 158031032  | 196087180  | 29494  |
| Real Estate  | 29864416  | 14922120  | 14942296  | -  |
| Utilities  | 24885634  | 83783  | 24801851  | -  |
|  Equity Funds  | 4063178877  | 4063178877  | -  | -  |
|  Other Short-Term Investments  | 33843899  | -  | 33843899  | -  |
|  Money Market Funds  | 739038714  | 739038714  | -  | -  |
| **Total Investments in Securities:**  | 8893796353  | 5854373644  | 3034374361  | 5048348  |
| **<u>Derivative Instruments:</u>**  |  |  |  |  |
|  **Assets**  |  |  |  |  |
| Futures Contracts  | 9193928  | 9193928  | -  | -  |
| Total Assets  | 9193928  | 9193928  | -  | -  |
| **Total Derivative Instruments:**  | 9193928  | 9193928  | -  | -  |

---

**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, 2022. 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** <br>| **Value**  | **Value**  |
|  | **Asset ($)**  | **Liability ($)**  |
| **Equity Risk**  |  |  |
| Futures Contracts (a)  | 9193928  | 0  |
| **Total Equity Risk**  | 9193928  | 0  |
| **Total Value of Derivatives**  | 9193928  | 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).

**Financial Statements** **(Unaudited)**

---

| | | |
|:---|:---|:---|
| **Statement of Assets and Liabilities**  | **Statement of Assets and Liabilities**  | **Statement of Assets and Liabilities**  |
|  |  | **November 30, 2022** <br> **(Unaudited)**  |
| **Assets**  |  |  |
| Investment in securities, at value (including securities loaned of $74,246,021) - See accompanying schedule:  |  |  |
|  Unaffiliated issuers (cost $4,773,593,080)  | $4685517768  |  |
|  Fidelity Central Funds (cost $145,079,565)  | 145099708  |  |
|  Other affiliated issuers (cost $4,452,112,840)  | 4063178877  |  |
|  Total Investment in Securities (cost $9,370,785,485)  |  | $8893796353  |
|  Cash  |  | 1505  |
|  Foreign currency held at value (cost $2,496,926)  |  | 2301249  |
| Receivable for investments sold  |  | 5084235  |
|  Receivable for fund shares sold  |  | 8574563  |
|  Dividends receivable  |  | 5132746  |
|  Interest receivable  |  | 1684671  |
|  Distributions receivable from Fidelity Central Funds  |  | 325795  |
|  Receivable for daily variation margin on futures contracts  |  | 15339280  |
|  Prepaid expenses  |  | 7880  |
| Other receivables  |  | 772265  |
| **Total assets**  |  | 8933020542  |
| **Liabilities**  |  |  |
|  Payable for investments purchased  | $23548459  |  |
|  Payable for fund shares redeemed  | 4935988  |  |
|  Accrued management fee  | 1426738  |  |
|  Deferred taxes  | 9733465  |  |
|  Other payables and accrued expenses  | 283088  |  |
|  Collateral on securities loaned  | 72511775  |  |
| **Total Liabilities**  |  | 112439513  |
| **Net Assets**  |  | $8820581029  |
|  Net Assets consist of:  |  |  |
|  Paid in capital  |  | $10026075669  |
|  Total accumulated earnings (loss)  |  | (1205494640)  |
|  **Net Assets**  |  | $8820581029  |
|  **Net Asset Value** , offering price and redemption price per share ($8,820,581,029 ÷ 797,373,862 shares)  |  | $11.06  |

---

---

| | | |
|:---|:---|:---|
| **Statement of Operations**  | **Statement of Operations**  | **Statement of Operations**  |
|  |  | **Six months ended** <br> **November 30, 2022** <br> **(Unaudited)**  |
|  **Investment Income**  |  |  |
| Dividends:  |  |  |
| Unaffiliated issuers  |  | $64469686  |
| Interest  |  | 5926282  |
| Income from Fidelity Central Funds (including $142,262 from security lending)  |  | 1687633  |
| Income before foreign taxes withheld  |  | 72083601  |
| Less foreign taxes withheld  |  | (6647545)  |
| **Total Income**  |  | 65436056  |
|  **Expenses**  |  |  |
| Management fee  | $19042410  |  |
| Custodian fees and expenses  | 364463  |  |
| Independent trustees' fees and expenses  | 28173  |  |
| Registration fees  | 234723  |  |
| Audit  | 33664  |  |
| Legal  | 6637  |  |
| Miscellaneous  | 27672  |  |
| Total expenses before reductions  | 19737742  |  |
| Expense reductions  | (10211626)  |  |
| Total expenses after reductions  |  | 9526116  |
| **Net Investment income (loss)**  |  | 55909940  |
| **Realized and Unrealized Gain (Loss)**  |  |  |
| Net realized gain (loss) on:  |  |  |
| Investment Securities:  |  |  |
| Unaffiliated issuers(net of foreign taxes of $1,355,284)  | (342008456)  |  |
| Affiliated issuers  | (8988735)  |  |
| Foreign currency transactions  | (2997960)  |  |
| Futures contracts  | (12858536)  |  |
| Total net realized gain (loss)  |  | (366853687)  |
| Change in net unrealized appreciation (depreciation) on:  |  |  |
| Investment Securities:  |  |  |
| Unaffiliated issuers (net of increase in deferred foreign taxes of $6,806,083)  | 42255295  |  |
| Affiliated issuers  | (243772792)  |  |
| Assets and liabilities in foreign currencies  | (124504)  |  |
| Futures contracts  | (2201442)  |  |
| Total change in net unrealized appreciation (depreciation)  |  | (203843443)  |
| **Net gain (loss)**  |  | (570697130)  |
| **Net increase (decrease) in net assets resulting from operations**  |  | $(514787190)  |

---

---

| | | |
|:---|:---|:---|
| **Statement of Changes in Net Assets**  | **Statement of Changes in Net Assets**  | **Statement of Changes in Net Assets**  |
|  | **Six months ended** <br> **November 30, 2022** <br> **(Unaudited)**  | **Year ended** <br> **May 31, 2022**  |
| **Increase (Decrease) in Net Assets**  |  |  |
| Operations  |  |  |
| &nbsp;&nbsp; Net investment income (loss)  | $55909940  | $166029265  |
| &nbsp;&nbsp; Net realized gain (loss)  | (366853687) <br>| (347098037) <br>|
| &nbsp;&nbsp; Change in net unrealized appreciation (depreciation)  | (203843443)  | (1937734177) <br>|
| &nbsp;&nbsp; **Net increase (decrease) in net assets resulting from operations**  | (514787190) <br>| (2118802949) <br>|
| Distributions to shareholders  | (13483919) <br>| (364306392) <br>|
| Share transactions  |  |  |
| &nbsp;&nbsp; Proceeds from sales of shares  | 1520954087  | 5475036336  |
| Reinvestment of distributions  | 13158675 <br>| 360403920 <br>|
| &nbsp;&nbsp; Cost of shares redeemed  | (1181484505)  | (1860049091)  |
| **Net increase (decrease) in net assets resulting from share transactions**  | 352628257 <br>| 3975391165 <br>|
| &nbsp;&nbsp; **Total increase (decrease) in net assets**  | (175642852) <br>| 1492281824 <br>|
| **Net Assets**  |  |  |
| &nbsp;&nbsp; Beginning of period  | 8996223881  | 7503942057 <br>|
| &nbsp;&nbsp; End of period  | $8820581029  | $8996223881  |
| **Other Information**  |  |  |
| Shares  |  |  |
| &nbsp;&nbsp; Sold  | 142565866  | 398993856  |
| Issued in reinvestment of distributions  | 1188679 <br>| 24964583 <br>|
| &nbsp;&nbsp; Redeemed  | (108047965)  | (140229335)  |
| &nbsp;&nbsp; Net increase (decrease)  | 35706580  | 283729104  |

---

**Financial Highlights** 

 **Strategic Advisers® Fidelity® Emerging Markets Fund** <br>

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Six months ended** <br> **(Unaudited) November 30, 2022**  | **Years ended May 31, 2022**  | **2021**  | **2020**  | **2019** <sup>A</sup>  |
| **Selected Per-Share Data**  |  |  |  |  |  |
| Net asset value, beginning of period  | $11.81  | $15.70  | $10.32  | $10.71  | $10.00  |
| Income from Investment Operations  |  |  |  |  |  |
| Net investment income (loss) <sup>B,C</sup>  | .07  | .26  | .15  | .26 <sup>D</sup>  | .18  |
| Net realized and unrealized gain (loss)  | (.80)  | (3.50)  | 5.34  | (.39)  | .67  |
| Total from investment operations  | (.73)  | (3.24)  | 5.49  | (.13)  | .85  |
| Distributions from net investment income  | (.02)  | (.24)  | (.11)  | (.26)  | (.14)  |
| Distributions from net realized gain  | -  | (.40)  | -  | -  | -  |
| Total distributions  | (.02)  | (.65) <sup>E</sup>  | (.11)  | (.26)  | (.14)  |
| Net asset value, end of period  | $11.06  | $11.81  | $15.70  | $10.32  | $10.71  |
| **Total Return** <sup>F,G</sup>  | (6.20)%  | (21.40)%  | 53.25%  | (1.58)%  | 8.63%  |
| **Ratios to Average Net Assets** <sup>C,H,I</sup>  |  |  |  |  |  |
| Expenses before reductions  | .48% <sup>J</sup>  | .50%  | .51%  | .49%  | .57% <sup>J</sup>  |
| Expenses net of fee waivers, if any  | .23% <sup>J</sup>  | .25%  | .25%  | .24%  | .32% <sup>J</sup>  |
| Expenses net of all reductions  | .23% <sup>J</sup>  | .25%  | .24%  | .23%  | .31% <sup>J</sup>  |
| Net investment income (loss)  | 1.37% <sup>J</sup>  | 1.89%  | 1.05%  | 2.35% <sup>D</sup>  | 2.82% <sup>J</sup>  |
| **Supplemental Data**  |  |  |  |  |  |
| Net assets, end of period (000 omitted)  | $8820581  | $8996224  | $7503942  | $2976388  | $1943853  |
| Portfolio turnover rate <sup>K</sup>  | 35% <sup>J</sup>  | 29%  | 47%  | 49%  | 125% <sup>J</sup>  |

---

<sup>A</sup> *For the period October 30, 2018 (commencement of operations) through May 31, 2019.*

<sup>B</sup> *Calculated based on average shares outstanding during the period.*

<sup>C</sup> *Net 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.*

<sup>D</sup> *Net investment income per share reflects one or more large, non-recurring dividend(s) which amounted to $.06 per share. Excluding such non-recurring dividend(s), the ratio of net investment income (loss) to average net assets would have been 1.80%.*

<sup>E</sup> *Total distributions per share do not sum due to rounding.*

<sup>F</sup> *Total returns for periods of less than one year are not annualized.*

<sup>G</sup> *Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.*

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

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

<sup>J</sup> *Annualized.*

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

**Notes to Financial Statements** **(Unaudited)**

For the period ended November 30, 2022

**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, 2022 is included at the end of the Fund's Schedule of Investments.

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

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

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

**Investment Transactions and Income.** For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and include proceeds received from litigation. Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of a fund include an amount in addition to trade execution, which may be rebated back to a fund. Any such rebates are included in net realized gain (loss) on investments in the Statement of Operations. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Income and capital gain distributions from any underlying mutual funds or exchange-traded funds (ETFs) are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain. Funds may file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. Any withholding tax reclaims income is included in the Statement of Operations in 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 to the short-term gain distributions from the underlying mutual funds or exchange-traded funds (ETFs), futures contracts, foreign currency transactions, certain foreign taxes, passive foreign investment companies (PFIC), 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**  | $685951950  |
| **Gross unrealized depreciation**  | <u>(1261694497)</u>  |
| **Net unrealized appreciation (depreciation)**  | <u>$(575742547)</u>  |
| **Tax cost**  | <u>$9478732828</u>  |

---

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  | $(46976565)  |
| Long-term  | <u>(17534415)</u>  |
| **Total capital loss carryforward**  | <u>$(64510980)</u>  |

---

The Fund elected to defer to its next fiscal year approximately $225,138,402 of capital losses recognized during the period November 1, 2021 to May 31, 2022.

**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:

---

| | |
|:---|:---|
| 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. <br>|

---

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.

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| | | |
|:---|:---|:---|
|  | **Purchases ($)**  | **Sales ($)**  |
| **Strategic Advisers Fidelity Emerging Markets Fund**  | 1562662654  | 1329131160  |

---

**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 .47% 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:

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| | |
|:---|:---|
|  | **Amount**  |
| **Strategic Advisers Fidelity Emerging Markets Fund**  | $4524  |

---

**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.

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| | | | |
|:---|:---|:---|:---|
|  | **Purchases ($)**  | **Sales ($)**  | **Realized Gain (Loss) ($)**  |
| **Strategic Advisers Fidelity Emerging Markets Fund**  | 6971816  | 8649450  | (5188414)  |

---

**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.

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| | | | | |
|:---|:---|:---|:---|:---|
| **Fidelity Central Fund**  | **Investment Manager**  | **Investment Objective**  | **Investment Practices**  | **Expense Ratio** <sup>A</sup>  |
| 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%  |

---

<sup>A</sup> *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.

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| | |
|:---|:---|
|  | **Amount**  |
| **Strategic Advisers Fidelity Emerging Markets Fund**  | $7481  |

---

**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:

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| | | | |
|:---|:---|:---|:---|
|  | **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**  | $15108  | $-  | $-  |

---

**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, 2025. During the period, this waiver reduced the Fund's management fee by $10,209,963.

Through arrangements with the Fund's custodian and transfer agent, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses by $1,570 and $93, respectively.

**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.

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| | |
|:---|:---|
| **Fund**  | **Strategic Advisers Fidelity Emerging Markets Fund**  |
| Fidelity Emerging Markets Fund  | 14%  |
| Fidelity SAI Emerging Markets Index Fund  | 22%  |
| Fidelity SAI Emerging Markets Low Volatility Index Fund  | 24%  |
| Fidelity SAI Emerging Markets Value Index Fund  | 61%  |

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**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.

**Shareholder Expense Example**

As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (June 1, 2022 to November 30, 2022). <br>

***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.

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| | | | | |
|:---|:---|:---|:---|:---|
|  | **Annualized Expense Ratio-** <sup>A</sup>  | **Beginning Account Value June 1, 2022**  | **Ending Account Value November 30, 2022**  | **Expenses Paid During Period-** <sup>C</sup> **June 1, 2022 to November 30, 2022**  |
| **Strategic Advisers® Fidelity® Emerging Markets Fund**  | .23%  |  |  |  |
| **Actual**  |  | $1000  | $938.00  | $1.12  |
| **Hypothetical-** <sup>B</sup>  |  | $1000  | $1023.92  | $1.17  |

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*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/ 365 (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 Emerging Markets Fund** 

In June 2022, the Board of Trustees, including the Independent Trustees (together, the Board) voted to approve an amendment to add a new investment mandate to and remove an existing mandate from the existing sub-advisory agreement among Strategic Advisers, Geode Capital Management, LLC (Geode or Sub-Adviser) and the Trust on behalf of the fund (Amended Sub-Advisory Agreement). The Board noted that no material contract terms are impacted by the Amended Sub-Advisory Agreement except for the amendment to the fee schedule to add and remove the investment mandates, as applicable. 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 does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the fees to be charged under the Amended Sub-Advisory Agreement bear a reasonable relationship to the services to be rendered. 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** . With respect to the new mandate, the Board considered the backgrounds of the investment personnel that will 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. The Board also considered the detailed information provided by Strategic Advisers and Geode with respect to the fund and the other funds it sub-advises in the June 2022 annual contract renewal materials, and the additional information regarding the new investment mandate provided by Strategic Advisers and Geode in the Board's May 2022 materials

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

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

<u>Investment Performance.</u> The Board considered model performance of the investment mandate to be used by Geode.

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 benefit the fund's shareholders.

**Competitiveness of Management Fee and Total Fund Expenses** . The Board considered the amount and nature of the fees to be paid by the fund to Strategic Advisers and by Strategic Advisers to the Sub-Adviser. The Board also considered the projected change in the fund's management fee and total operating expenses, if any, as a result of removing an existing mandate and adding the new investment mandate for the Sub-Adviser.

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 approval of the Amended Sub-Advisory Agreement will not initially result in any changes to the fund's management fee or total net expenses because assets were not allocated to the removed mandate and Strategic Advisers does not expect to allocate assets to the new mandate at this time.

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

**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 provides for breakpoints that have the potential to reduce sub-advisory fees paid to the Sub-Adviser as assets allocated to the Sub-Adviser grow.

**Conclusion** . Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the 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 Emerging Markets Fund** 

Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes at a meeting on the renewal of the management contract with Strategic Advisers LLC (Strategic Advisers), the sub-advisory agreements with FIAM LLC, FIL Investment Advisors, and Geode Capital Management, LLC (each a Sub-Adviser and collectively, the Sub-Advisers) (collectively, the Sub-Advisory Agreements), and the sub-sub-advisory agreements with FMR Investment Management (UK) Limited, Fidelity Management & Research (Japan) Limited, Fidelity Management & Research (Hong Kong) Limited, and FIL Investment Advisors (UK) Limited (collectively, the Sub-Sub-Advisory Agreements and, together with the management contract and the Sub-Advisory Agreements, the Advisory Contracts) for the fund. Strategic Advisers and the Sub-Advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.

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

At its September 2022 meeting, the Board, including the Independent Trustees, unanimously determined to renew the fund's Advisory Contracts. In reaching its determination to renew the fund's Advisory Contracts, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness relative to peer funds of the fund's management fee and total expenses; (iii) the total costs of the services provided by and the profits, if any, realized by Strategic Advisers from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and are realized as the fund grows and whether any economies of scale are appropriately shared with fund shareholders.

In considering whether to renew the Advisory Contracts for the fund, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts is in the best interests of the fund and its shareholders. In addition, the Board concluded that the renewal of each Sub-Advisory Agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees charged under the Advisory Contracts bear a reasonable relationship to the services rendered. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board throughout the year.

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

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

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

<u>Resources Dedicated to Investment Management and Support Services</u> . 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.

<u>Shareholder and Administrative Services</u> . 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.

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

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

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

The following charts considered by the Board show, over the one- and three-year periods ended December 31, 2021, the cumulative total returns of the fund and the cumulative total returns of an appropriate benchmark index and peer group. The box within each chart shows the 25th percentile return (75% beaten, top of box) and the 75th percentile return (25% beaten, bottom of box) of the peer group. Returns shown above the box are in the first quartile and returns shown below the box are in the fourth quartile. The percentage beaten number noted below each chart corresponds to the percentile box and represents the percentage of funds in the peer group whose performance was equal to or lower than that of the fund.

![](img87990_7.jpg)

The Board reviewed the fund's relative investment performance against its peer group and noted that the performance of the fund was in the second quartile for the one- and three-year periods ended December 31, 2021. The Board also noted that the fund had out-performed 52% and 74% of its peers for the one- and three-year periods ended December 31, 2021. The Board also noted that the investment performance of the fund was higher than its benchmark for the one- and three-year periods shown.

Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.

**Competitiveness of Management Fee and Total Fund Expenses** . The Board considered the amount and nature of fees paid to the Investment Advisers. The Board also considered information comparing the management fees and total expenses of the fund to those of other registered investment companies with investment objectives similar to those of the fund, as discussed below. The Board also noted Strategic Advisers' proposal to extend the management fee waiver and considered the fund's contractual maximum aggregate annual management fee rate. In considering the fund's management fee and management fee waiver and comparisons to other registered investment companies with investment objectives similar to those of the fund, the Board noted that shares of the fund are offered only to clients that participate in the Fidelity Portfolio Advisory Service managed account program.

<u>Management Fee</u> . The Board considered two proprietary management fee comparisons. The group of Lipper funds used by the Board for management fee comparisons is referred to as the "Total Mapped Group." The Total Mapped Group comparison focuses on a fund's standing in terms of gross management fees before expense reimbursements or caps relative to the total universe of funds with comparable investment mandates, regardless of whether their management fee structures also are comparable. Funds with comparable investment mandates offer exposure to similar types of securities. Funds with comparable management fee structures have similar management fee contractual arrangements (e.g., flat rate charged for advisory services, all-inclusive fee rate, etc.). "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a hypothetical TMG % of 20% would mean that 80% of the funds in the Total Mapped Group had higher, and 20% had lower, management fees than the fund. The fund's actual TMG %s and the number of funds in the Total Mapped Group are in the chart below. The Board also compared the fund's management fee to an "Asset-Size Peer Group" (ASPG), which is a sub-set of the competitive funds in the Total Mapped Group. The ASPG comparison focuses on a fund's standing relative to non-Fidelity funds within the Total Mapped Group that are similar in size and management fee structure. For example, if a fund is in the first quartile of the ASPG, the fund's management fee ranks in the least expensive or lowest 25% of funds in the ASPG. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee structures, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee rate ranked, is also included in the chart and was considered by the Board.

![](img87990_8.jpg)

The Board noted that the fund's management fee rate ranked below the median of its Total Mapped Group and below the median of its ASPG for the 12-month period ended December 31, 2021.

Based on its review, the Board concluded that the fund's management fee bears a reasonable relationship to the services rendered.

<u>Total Expenses.</u> In its review of the fund's total expenses, the Board considered the fund's management fee rate as well as other fund expenses, as applicable, such as expenses from holding Fidelity and non-Fidelity mutual funds and ETFs, pricing and bookkeeping fees, and custodial, legal, and audit fees. The Board also noted the effects of any waivers and reimbursements on fees and expenses. The Board further noted that the fund's total expenses were compared to those funds and classes in the Total Mapped Group (used by the Board for management fee comparisons) that have similar sales load structures. This comparison, which is a proxy for comparing funds by distribution channel, showed the fund's position relative to competitive funds with similar sales load structures. The Board noted that the fund's total expense ratio ranked below the fund's similar sales load structure group competitive median for the 12-month period ended December 31, 2021.

<u>Fees Charged to Other Clients</u> . The Board also considered fee structures paid by the Investment Advisers' other clients, such as other funds advised or subadvised by the Investment Advisers, pension plan clients, and other institutional clients with similar investment mandates.

Based on its review of the total expense ratios and fees charged to other clients of Strategic Advisers or its affiliates and each Sub-Adviser, the Board concluded that the total expenses of the fund were reasonable in light of the services that the fund and its shareholders receive and the other factors considered.

**Costs of the Services and Profitability** . The Board considered information regarding the revenues earned and the expenses incurred by Strategic Advisers and its affiliates in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and servicing the fund's shareholders.

On an annual basis, Strategic Advisers presents to the Board information about the profitability of its relationships with the fund. Strategic Advisers calculates profitability information for the fund using a series of detailed revenue and cost allocation methodologies. The Board reviews any significant changes from the prior year's methodologies. Strategic Advisers noted that, to the extent possible, it employs the same corporate reporting of revenues and expenses as those used by other Fidelity funds.

A public accounting firm has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. The engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's mutual fund business, and completion of agreed-upon procedures in respect of the mathematical accuracy of certain fund profitability information and its conformity to established allocation methodologies. After considering the reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.

The Board also reviewed Fidelity's non-fund businesses and potential indirect benefits such businesses may have received as a result of their association with Fidelity's mutual fund business (i.e., fall-out benefits) as well as cases where Fidelity's affiliates may benefit from the fund's business. The Board noted that changes to fall-out benefits year-over-year reflect business developments at Fidelity's various businesses.

The Board considered the costs of the services provided by and the profits realized, if any, by Strategic Advisers and its affiliates in connection with the operation of the fund and was satisfied that the profitability was not excessive.

The Board also considered information regarding the profitability of the Sub-Advisers' respective relationships with the fund and the potential fall-out benefits, if any, that may accrue to the Sub-Advisers as a result of their respective relationships with the fund. The Board considered profitability information provided by the Sub-Advisers in light of the nature of the relationships between Strategic Advisers and the Sub-Advisers with respect to the negotiation of sub-advisory fees.

**Possible Economies of Scale** . The Board considered whether there have been economies of scale in respect of the management of the Strategic Advisers funds, whether the Strategic Advisers funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale as assets grow through increased services to the fund, through waivers or reimbursements, or through fee or expense ratio reductions. The Board considered that certain of the fund's Sub-Advisory Agreements provide for breakpoints as the fund's assets grow and noted that any potential decline in sub-advisory fees under such contracts would accrue directly to the fund. The Board also took Strategic Advisers' management fee waiver into consideration.

**Conclusion** . Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee arrangements bear a reasonable relationship to the services rendered and that the fund's Advisory Contracts should be renewed because each agreement is in the best interests of the fund and its shareholders. 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.

![](img87990_2.jpg) <br>

1.9890708.104 STE-SANN-0123

Item 2.

<u>Code of Ethics</u>

Not applicable.

Item 3.

<u>Audit Committee Financial Expert</u>

Not applicable.

Item 4.

<u>Principal Accountant Fees and Services</u>

Not applicable.

Item 5.

<u>Audit Committee of Listed Registrants</u>

Not applicable.

Item 6.

<u>Investments</u>

(a) Not applicable.

(b) Not applicable

Item 7.

<u>Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies</u>

Not applicable.

Item 8.

<u>Portfolio Managers of Closed-End Management Investment Companies</u>

Not applicable.

Item 9.

<u>Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers</u>

Not applicable.

Item 10.

<u>Submission of Matters to a Vote of Security Holders</u>

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.

<u>Controls and Procedures</u>

(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.

<u>Disclosure of Securities Lending Activities for Closed-End Management</u>

<u>Investment Companies</u>

Not applicable.

Item 13.

<u>Exhibits</u>

(a) (1) Not applicable.

(a) (2) [Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT](ex99cert.htm) .

(a) (3) Not applicable.

(b) [Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT](ex99906cert.htm) .

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: | <u>/s/Stacie M. Smith</u> |
|  | Stacie M. Smith |
|  | President and Treasurer |
| Date: | January 20, 2023 |

---

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: | <u>/s/Stacie M. Smith</u> |
|  | Stacie M. Smith |
|  | President and Treasurer |
| Date: | January 20, 2023 |

---

---

| | |
|:---|:---|
| By: | <u>/s/John J. Burke III</u> |
|  | John J. Burke III |
|  | Chief Financial Officer |
| Date: | January 20, 2023 |

---

## Ex-99.Cert

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>Exhibit EX-99.CERT</u>

I, Stacie M. Smith, certify that:

1. I have reviewed this report on Form N-CSR of Fidelity Rutland Square Trust II;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a. Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b. Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;c. Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based upon such evaluation; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;d. Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and

5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a. All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b. Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.

Date:

January 20, 2023

---

| |
|:---|
| <u>/s/Stacie M. Smith</u> |
| Stacie M. Smith |
| President and Treasurer |

---

I, John J. Burke III, certify that:

1. I have reviewed this report on Form N-CSR of Fidelity Rutland Square Trust II;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a. Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; b.

Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;c. Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based upon such evaluation; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;d. Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and

5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a. All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b. Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.

Date:

January 20, 2023

---

| |
|:---|
| <u>/s/John J. Burke III</u> |
| John J. Burke III |
| Chief Financial Officer |

---

## Exhibit 99.906

Exhibit EX-99.906CERT

**Certification Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (subsections (a) and (b) of section 1350, chapter 63 of title 18, United States Code)**

In connection with the attached Report of Fidelity Rutland Square Trust II (the "Trust") on Form N-CSR to be filed with the Securities and Exchange Commission (the "Report"), each of the undersigned officers of the Trust does hereby certify that, to the best of such officer's knowledge:

&nbsp;&nbsp;&nbsp;&nbsp;1. The Report fully complies with the requirements of 13(a) or 15(d) of the Securities Exchange Act of 1934; and

&nbsp;&nbsp;&nbsp;&nbsp;2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Trust as of, and for, the periods presented in the Report.

Dated: January 20, 2023

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| |
|:---|
| <u>/s/Stacie M. Smith</u> |
| Stacie M. Smith |
| President and Treasurer |

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Dated: January 20, 2023

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| |
|:---|
| <u>/s/John J. Burke III</u> |
| John J. Burke III |
| Chief Financial Officer |

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A signed original of this written statement required by Section 906, or other document authenticating, acknowledging, or otherwise adopting the signature that appears in typed form within the electronic version of this written statement required by Section 906, has been provided to the Trust and will be retained by the Trust and furnished to the Securities and Exchange Commission or its staff upon request.

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