N-Q 1 filing977.htm PRIMARY DOCUMENT

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549


FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY


Investment Company Act file number   811-649



Fidelity Puritan Trust
(Exact name of registrant as specified in charter)




245 Summer St., Boston, Massachusetts 02210
(Address of principal executive offices)       (Zip code)


Marc Bryant, Secretary

245 Summer St.

Boston, Massachusetts  02210
(Name and address of agent for service)


Registrant's telephone number, including area code:

617-563-7000



 

Date of fiscal year end:

August 31

 

 

Date of reporting period:

November 30, 2015


Item 1.

Schedule of Investments




Quarterly Holdings Report
for

Fidelity® Balanced Fund

November 30, 2015







BAL-QTLY-0116
1.809104.111





Investments November 30, 2015 (Unaudited)

Showing Percentage of Net Assets

Common Stocks - 65.0%   
 Shares Value (000s) 
CONSUMER DISCRETIONARY - 9.6%   
Auto Components - 0.3%   
Delphi Automotive PLC 935,375 $82,201 
Automobiles - 0.3%   
Tesla Motors, Inc. (a) 316,900 72,969 
Diversified Consumer Services - 0.2%   
2U, Inc. (a) 810,399 19,547 
H&R Block, Inc. 1,190,800 43,690 
  63,237 
Hotels, Restaurants & Leisure - 1.1%   
Fiesta Restaurant Group, Inc. (a) 590,200 22,681 
Hilton Worldwide Holdings, Inc. 5,171,064 120,072 
Las Vegas Sands Corp. 990,700 43,650 
Starbucks Corp. 1,949,174 119,660 
Tuniu Corp. Class A sponsored ADR (a) 204,293 3,175 
  309,238 
Household Durables - 0.2%   
Lennar Corp. Class A 729,461 37,356 
PulteGroup, Inc. 1,373,270 26,751 
  64,107 
Internet & Catalog Retail - 1.3%   
Amazon.com, Inc. (a) 407,300 270,773 
Liberty Interactive Corp. QVC Group Series A (a) 1,296,198 34,323 
Travelport Worldwide Ltd. (b) 5,980,862 79,605 
  384,701 
Media - 2.6%   
Bona Film Group Ltd. sponsored ADR (a) 864,935 10,993 
Charter Communications, Inc. Class A (a)(b) 699,400 131,040 
Comcast Corp. Class A 428,607 26,085 
DreamWorks Animation SKG, Inc. Class A (a)(b) 200,233 4,934 
ITV PLC 38,105,800 155,530 
Legend Pictures LLC (a)(c)(d) 8,571 18,819 
Manchester United PLC 1,835,900 33,781 
MDC Partners, Inc. Class A 2,082,399 44,876 
MSG Network, Inc. Class A (a) 651,089 12,879 
The Madison Square Garden Co. (a) 368,529 59,871 
The Walt Disney Co. 2,136,300 242,406 
  741,214 
Multiline Retail - 0.3%   
B&M European Value Retail S.A. 15,461,831 73,773 
Specialty Retail - 2.3%   
AutoZone, Inc. (a) 108,172 84,782 
Home Depot, Inc. 1,280,746 171,466 
L Brands, Inc. 1,674,883 159,801 
Michaels Companies, Inc. (a) 1,081,444 24,019 
Ross Stores, Inc. 2,086,755 108,532 
Staples, Inc. 1,700,517 20,525 
TJX Companies, Inc. 1,200,100 84,727 
  653,852 
Textiles, Apparel & Luxury Goods - 1.0%   
NIKE, Inc. Class B 1,467,625 194,137 
VF Corp. 1,418,365 91,768 
  285,905 
TOTAL CONSUMER DISCRETIONARY  2,731,197 
CONSUMER STAPLES - 6.2%   
Beverages - 1.4%   
Anheuser-Busch InBev SA NV 86,444 11,114 
Constellation Brands, Inc. Class A (sub. vtg.) 483,600 67,830 
Monster Beverage Corp. 390,700 60,406 
The Coca-Cola Co. 6,070,661 258,732 
  398,082 
Food & Staples Retailing - 1.3%   
CVS Health Corp. 1,951,485 183,615 
Kroger Co. 2,916,008 109,817 
Sprouts Farmers Market LLC (a) 750,400 18,107 
Wal-Mart Stores, Inc. 392,490 23,094 
Whole Foods Market, Inc. 1,423,176 41,486 
  376,119 
Food Products - 0.7%   
Blue Buffalo Pet Products, Inc. (a)(b) 283,200 5,089 
Keurig Green Mountain, Inc. 1,079,582 56,570 
Mead Johnson Nutrition Co. Class A 1,001,431 80,705 
Nestle SA 88,295 6,544 
The Hershey Co. 420,400 36,285 
  185,193 
Household Products - 0.9%   
Colgate-Palmolive Co. 2,364,200 155,281 
Procter & Gamble Co. 1,236,293 92,524 
  247,805 
Personal Products - 0.2%   
Estee Lauder Companies, Inc. Class A 626,132 52,670 
Nu Skin Enterprises, Inc. Class A 467,338 16,296 
  68,966 
Tobacco - 1.7%   
Altria Group, Inc. 3,903,813 224,860 
British American Tobacco PLC sponsored ADR 1,698,900 196,631 
Philip Morris International, Inc. 642,900 56,183 
Reynolds American, Inc. 101,100 4,676 
  482,350 
TOTAL CONSUMER STAPLES  1,758,515 
ENERGY - 4.5%   
Energy Equipment & Services - 1.0%   
Baker Hughes, Inc. 705,300 38,136 
Dril-Quip, Inc. (a) 229,069 14,457 
Halliburton Co. 1,082,211 43,126 
Independence Contract Drilling, Inc. (a) 1,082,133 6,601 
Oceaneering International, Inc. 455,491 19,923 
Schlumberger Ltd. 2,208,400 170,378 
  292,621 
Oil, Gas & Consumable Fuels - 3.5%   
Anadarko Petroleum Corp. 1,771,602 106,119 
Apache Corp. 779,000 38,311 
Black Stone Minerals LP 1,217,900 19,584 
Cabot Oil & Gas Corp. 1,666,850 31,387 
Chevron Corp. 1,561,505 142,597 
Cimarex Energy Co. 241,802 28,779 
EOG Resources, Inc. 779,316 65,018 
Exxon Mobil Corp. 1,572,378 128,400 
Kinder Morgan, Inc. 261,600 6,166 
Memorial Resource Development Corp. (a) 1,454,271 23,690 
Noble Energy, Inc. 2,397,230 87,906 
Parsley Energy, Inc. Class A (a) 1,580,330 31,053 
Phillips 66 Co. 969,317 88,722 
Pioneer Natural Resources Co. 394,300 57,075 
PrairieSky Royalty Ltd. (b) 811,100 15,579 
PrairieSky Royalty Ltd. rights (a)(e) 590,737 11,147 
SM Energy Co. 950,800 27,925 
Suncor Energy, Inc. 2,314,200 63,944 
Synergy Resources Corp. (a)(b) 674,100 7,678 
  981,080 
TOTAL ENERGY  1,273,701 
FINANCIALS - 10.0%   
Banks - 4.4%   
Bank of America Corp. 14,420,408 251,348 
Citigroup, Inc. 4,240,112 229,348 
Comerica, Inc. 976,800 45,275 
Huntington Bancshares, Inc. 3,556,400 41,574 
JPMorgan Chase & Co. 4,782,954 318,927 
M&T Bank Corp. 424,300 53,178 
Regions Financial Corp. 3,264,600 33,103 
Synovus Financial Corp. 881,820 29,435 
U.S. Bancorp 3,155,447 138,493 
Wells Fargo & Co. 1,598,900 88,099 
Zions Bancorporation 872,400 26,137 
  1,254,917 
Capital Markets - 1.2%   
Artisan Partners Asset Management, Inc. 28,449 1,112 
Bank of New York Mellon Corp. 1,309,700 57,417 
BlackRock, Inc. Class A 181,176 65,897 
E*TRADE Financial Corp. (a) 1,335,249 40,632 
Goldman Sachs Group, Inc. 554,200 105,309 
Invesco Ltd. 763,213 25,713 
Northern Trust Corp. 555,819 41,653 
Oaktree Capital Group LLC Class A 286,697 13,999 
PJT Partners, Inc. (a) 4,895 115 
  351,847 
Consumer Finance - 1.3%   
Capital One Financial Corp. 3,606,201 283,123 
Navient Corp. 2,261,534 26,935 
OneMain Holdings, Inc. (a) 438,600 21,255 
SLM Corp. (a) 5,170,634 34,928 
  366,241 
Diversified Financial Services - 0.6%   
Berkshire Hathaway, Inc.:   
Class A (a) 129 25,975 
Class B (a) 562,700 75,452 
IntercontinentalExchange, Inc. 207,162 53,829 
KBC Ancora 398,674 15,768 
  171,024 
Insurance - 1.1%   
Direct Line Insurance Group PLC 6,351,844 39,395 
Fairfax Financial Holdings Ltd. (sub. vtg.) 19,000 9,122 
Marsh & McLennan Companies, Inc. 998,177 55,199 
MetLife, Inc. 952,647 48,671 
Principal Financial Group, Inc. 470,300 24,202 
The Chubb Corp. 859,600 112,204 
Unum Group 616,200 22,602 
  311,395 
Real Estate Investment Trusts - 1.2%   
Altisource Residential Corp. Class B 1,916,717 25,377 
American Tower Corp. 240,500 23,901 
Boston Properties, Inc. 329,497 41,184 
Crown Castle International Corp. 155,645 13,371 
Digital Realty Trust, Inc. 429,300 30,957 
Duke Realty LP 1,382,300 28,130 
Extra Space Storage, Inc. 249,700 20,912 
FelCor Lodging Trust, Inc. 1,312,100 10,523 
Outfront Media, Inc. 574,962 13,138 
Store Capital Corp. 1,528,800 34,795 
Sun Communities, Inc. 687,615 45,967 
Ventas, Inc. 789,000 42,085 
VEREIT, Inc. 2,543,900 21,191 
  351,531 
Real Estate Management & Development - 0.2%   
CBRE Group, Inc. (a) 1,353,503 50,716 
TOTAL FINANCIALS  2,857,671 
HEALTH CARE - 9.6%   
Biotechnology - 3.1%   
AbbVie, Inc. 2,199,068 127,876 
Alexion Pharmaceuticals, Inc. (a) 533,604 95,216 
Amgen, Inc. 1,280,858 206,346 
Baxalta, Inc. 1,868,800 64,249 
Biogen, Inc. (a) 117,285 33,644 
BioMarin Pharmaceutical, Inc. (a) 243,498 23,222 
Celgene Corp. (a) 1,120,200 122,606 
Gilead Sciences, Inc. 1,717,428 181,979 
Vertex Pharmaceuticals, Inc. (a) 124,405 16,093 
  871,231 
Health Care Equipment & Supplies - 2.1%   
Abbott Laboratories 2,186,200 98,204 
Boston Scientific Corp. (a) 7,833,002 143,187 
Edwards Lifesciences Corp. (a) 427,282 69,647 
Medtronic PLC 3,211,324 241,941 
The Cooper Companies, Inc. 185,737 27,164 
Wright Medical Group NV (a) 1,187,800 25,443 
  605,586 
Health Care Providers & Services - 1.8%   
Brookdale Senior Living, Inc. (a) 267,503 6,013 
Cigna Corp. 864,860 116,739 
HCA Holdings, Inc. (a) 659,979 44,918 
Henry Schein, Inc. (a) 467,204 73,108 
McKesson Corp. 538,248 101,917 
UnitedHealth Group, Inc. 1,445,200 162,888 
  505,583 
Life Sciences Tools & Services - 0.5%   
Agilent Technologies, Inc. 1,339,500 56,018 
Thermo Fisher Scientific, Inc. 659,697 91,302 
  147,320 
Pharmaceuticals - 2.1%   
Allergan PLC (a) 744,143 233,579 
Bristol-Myers Squibb Co. 3,264,741 218,770 
Endo Health Solutions, Inc. (a) 799,100 49,129 
Horizon Pharma PLC (a) 1,414,800 30,461 
Teva Pharmaceutical Industries Ltd. sponsored ADR 1,054,000 66,328 
  598,267 
TOTAL HEALTH CARE  2,727,987 
INDUSTRIALS - 5.8%   
Electrical Equipment - 1.4%   
AMETEK, Inc. 7,203,748 406,724 
Industrial Conglomerates - 3.1%   
Danaher Corp. 4,784,266 461,155 
Roper Technologies, Inc. 2,181,714 422,140 
  883,295 
Machinery - 0.8%   
WABCO Holdings, Inc. (a) 738,165 79,338 
Wabtec Corp. 1,795,659 143,868 
  223,206 
Road & Rail - 0.5%   
J.B. Hunt Transport Services, Inc. 1,612,431 126,157 
Trading Companies & Distributors - 0.0%   
AerCap Holdings NV (a) 141,000 6,407 
TOTAL INDUSTRIALS  1,645,789 
INFORMATION TECHNOLOGY - 13.4%   
Communications Equipment - 0.7%   
Cisco Systems, Inc. 2,641,199 71,973 
CommScope Holding Co., Inc. (a) 250,000 7,155 
QUALCOMM, Inc. 2,147,244 104,764 
  183,892 
Electronic Equipment & Components - 0.1%   
Samsung SDI Co. Ltd. 157,765 16,321 
Trimble Navigation Ltd. (a) 706,688 16,183 
  32,504 
Internet Software & Services - 4.4%   
58.com, Inc. ADR (a) 392,518 23,634 
Alibaba Group Holding Ltd. sponsored ADR (a) 2,879,700 242,125 
Alphabet, Inc.:   
Class A (a) 27,500 20,978 
Class C 710,524 527,635 
Cvent, Inc. (a) 1,713,335 61,903 
Facebook, Inc. Class A (a) 2,626,207 273,756 
Just Dial Ltd. 1,152,567 16,294 
New Relic, Inc. 342,010 12,863 
Opower, Inc. (a)(b)(f) 2,811,143 26,397 
Shopify, Inc. Class A 17,294 456 
Tencent Holdings Ltd. 1,413,500 28,090 
Yahoo!, Inc. (a) 510,900 17,274 
  1,251,405 
IT Services - 0.7%   
Alliance Data Systems Corp. (a) 86,700 24,870 
Blackhawk Network Holdings, Inc. (a) 1,034,802 48,998 
Fidelity National Information Services, Inc. 790,500 50,331 
Global Payments, Inc. 438,200 31,046 
Sabre Corp. 1,136,821 33,263 
The Western Union Co. 205,400 3,874 
Worldline SA (a)(g) 585,204 15,059 
  207,441 
Semiconductors & Semiconductor Equipment - 2.2%   
Broadcom Corp. Class A 655,700 35,821 
Intersil Corp. Class A 1,657,860 24,006 
Marvell Technology Group Ltd. 9,570,127 84,791 
Maxim Integrated Products, Inc. 923,400 35,800 
Micron Technology, Inc. (a) 2,470,911 39,362 
NVIDIA Corp. 1,080,173 34,263 
NXP Semiconductors NV (a) 1,148,600 107,348 
Qorvo, Inc. (a) 4,343,299 252,215 
Semtech Corp. (a) 900,200 18,094 
  631,700 
Software - 2.3%   
Activision Blizzard, Inc. 635,441 23,931 
Adobe Systems, Inc. (a) 382,467 34,980 
Autodesk, Inc. (a) 2,308,090 146,494 
Electronic Arts, Inc. (a) 1,888,200 128,001 
Fleetmatics Group PLC (a) 308,853 18,439 
HubSpot, Inc. (a) 72,891 3,951 
Imperva, Inc. (a) 141,300 10,545 
Microsoft Corp. 1,962,687 106,672 
Salesforce.com, Inc. (a) 1,431,874 114,106 
Varonis Systems, Inc. (a)(b) 759,685 13,560 
VMware, Inc. Class A (a)(b) 164,600 10,108 
Zendesk, Inc. (a) 1,178,162 30,173 
  640,960 
Technology Hardware, Storage & Peripherals - 3.0%   
Apple, Inc. 4,578,714 541,657 
EMC Corp. 3,395,800 86,050 
HP, Inc. 7,901,183 99,081 
SanDisk Corp. 980,200 72,407 
Western Digital Corp. 882,500 55,077 
  854,272 
TOTAL INFORMATION TECHNOLOGY  3,802,174 
MATERIALS - 2.7%   
Chemicals - 2.3%   
E.I. du Pont de Nemours & Co. 1,385,900 93,327 
Eastman Chemical Co. 817,582 59,397 
Ecolab, Inc. 2,163,110 257,756 
LyondellBasell Industries NV Class A 663,122 63,540 
Monsanto Co. 880,346 83,774 
PPG Industries, Inc. 559,700 59,183 
W.R. Grace & Co. (a) 324,701 31,892 
  648,869 
Construction Materials - 0.1%   
Eagle Materials, Inc. 409,300 28,274 
Containers & Packaging - 0.3%   
Graphic Packaging Holding Co. 1,669,968 22,828 
WestRock Co. 1,148,180 58,132 
  80,960 
TOTAL MATERIALS  758,103 
TELECOMMUNICATION SERVICES - 1.4%   
Diversified Telecommunication Services - 1.4%   
AT&T, Inc. 6,071,464 204,426 
CenturyLink, Inc. 582,064 15,675 
Cogent Communications Group, Inc. 402,168 13,497 
Frontier Communications Corp. (b) 807,500 4,029 
inContact, Inc. (a)(b) 1,600,681 15,799 
Level 3 Communications, Inc. (a) 792,109 40,263 
Verizon Communications, Inc. 2,310,736 105,023 
  398,712 
Wireless Telecommunication Services - 0.0%   
T-Mobile U.S., Inc. (a) 84,900 3,014 
Telephone & Data Systems, Inc. 255,216 7,220 
  10,234 
TOTAL TELECOMMUNICATION SERVICES  408,946 
UTILITIES - 1.8%   
Electric Utilities - 1.0%   
Edison International 668,827 39,702 
Exelon Corp. 3,028,000 82,695 
NextEra Energy, Inc. 996,500 99,510 
PPL Corp. 1,821,100 61,990 
  283,897 
Independent Power and Renewable Electricity Producers - 0.1%   
NRG Energy, Inc. 1,460,146 18,047 
NRG Yield, Inc. Class C (b) 533,625 7,545 
  25,592 
Multi-Utilities - 0.7%   
Dominion Resources, Inc. 1,043,639 70,310 
DTE Energy Co. 65,900 5,304 
NiSource, Inc. 801,982 15,390 
PG&E Corp. 856,229 45,149 
Sempra Energy 681,631 67,638 
  203,791 
TOTAL UTILITIES  513,280 
TOTAL COMMON STOCKS   
(Cost $15,160,736)  18,477,363 
Convertible Preferred Stocks - 0.0%   
ENERGY - 0.0%   
Oil, Gas & Consumable Fuels - 0.0%   
Southwestern Energy Co. Series B 6.25% 416,700 10,022 
INFORMATION TECHNOLOGY - 0.0%   
Software - 0.0%   
MongoDB, Inc. Series F, 8.00% (a)(d) 281,270 2,188 
TOTAL CONVERTIBLE PREFERRED STOCKS   
(Cost $25,539)  12,210 
 Principal Amount (000s) Value (000s) 
Nonconvertible Bonds - 14.3%   
CONSUMER DISCRETIONARY - 0.8%   
Automobiles - 0.3%   
General Motors Co.:   
3.5% 10/2/18 5,595 5,674 
6.25% 10/2/43 921 986 
General Motors Financial Co., Inc.:   
2.625% 7/10/17 1,780 1,786 
3% 9/25/17 4,056 4,087 
3.15% 1/15/20 19,000 18,853 
3.25% 5/15/18 2,895 2,922 
3.5% 7/10/19 41,541 41,912 
4% 1/15/25 7,674 7,409 
4.25% 5/15/23 3,220 3,234 
4.75% 8/15/17 3,095 3,211 
Volkswagen International Finance NV 2.375% 3/22/17 (g) 1,830 1,815 
  91,889 
Diversified Consumer Services - 0.0%   
Ingersoll-Rand Global Holding Co. Ltd. 2.875% 1/15/19 617 627 
Media - 0.5%   
21st Century Fox America, Inc.:   
6.15% 2/15/41 6,333 7,342 
7.75% 12/1/45 9,421 12,710 
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.:   
4.464% 7/23/22 (g) 10,261 10,378 
4.908% 7/23/25 (g) 6,898 7,006 
Discovery Communications LLC 5.05% 6/1/20 204 219 
Thomson Reuters Corp.:   
1.3% 2/23/17 2,082 2,072 
3.85% 9/29/24 5,214 5,151 
Time Warner Cable, Inc.:   
4% 9/1/21 10,989 11,286 
4.5% 9/15/42 1,681 1,369 
5.5% 9/1/41 3,051 2,808 
5.85% 5/1/17 1,829 1,918 
5.875% 11/15/40 7,066 6,836 
6.55% 5/1/37 29,485 29,874 
6.75% 7/1/18 1,974 2,176 
7.3% 7/1/38 7,024 7,611 
8.25% 4/1/19 11,974 13,863 
Time Warner, Inc. 2.1% 6/1/19 12,500 12,446 
Viacom, Inc.:   
2.5% 9/1/18 809 811 
3.5% 4/1/17 264 269 
  136,145 
TOTAL CONSUMER DISCRETIONARY  228,661 
CONSUMER STAPLES - 0.6%   
Beverages - 0.0%   
SABMiller Holdings, Inc. 2.45% 1/15/17 (g) 2,353 2,376 
Food & Staples Retailing - 0.1%   
CVS Health Corp.:   
3.5% 7/20/22 4,494 4,616 
3.875% 7/20/25 9,000 9,232 
Kroger Co. 3.3% 1/15/21 6,190 6,298 
Walgreens Boots Alliance, Inc.:   
2.7% 11/18/19 3,939 3,946 
3.3% 11/18/21 4,671 4,656 
  28,748 
Food Products - 0.1%   
Cargill, Inc. 6% 11/27/17 (g) 572 618 
ConAgra Foods, Inc. 1.9% 1/25/18 2,279 2,268 
William Wrigley Jr. Co.:   
1.4% 10/21/16 (g) 3,710 3,720 
2% 10/20/17 (g) 5,313 5,344 
  11,950 
Tobacco - 0.4%   
Altria Group, Inc.:   
2.625% 1/14/20 12,900 12,983 
4% 1/31/24 3,615 3,777 
Imperial Tobacco Finance PLC:   
3.75% 7/21/22 (g) 8,553 8,668 
4.25% 7/21/25 (g) 8,553 8,709 
Reynolds American, Inc.:   
2.3% 6/12/18 3,810 3,859 
3.25% 6/12/20 3,150 3,227 
3.25% 11/1/22 3,376 3,356 
4% 6/12/22 5,830 6,065 
4.45% 6/12/25 12,834 13,484 
4.85% 9/15/23 8,000 8,616 
5.7% 8/15/35 2,194 2,414 
5.85% 8/15/45 16,830 18,849 
6.15% 9/15/43 14,000 16,026 
6.75% 6/15/17 4,975 5,343 
7.25% 6/15/37 7,569 9,275 
  124,651 
TOTAL CONSUMER STAPLES  167,725 
ENERGY - 2.0%   
Energy Equipment & Services - 0.2%   
DCP Midstream LLC:   
4.75% 9/30/21 (g) 6,909 5,943 
5.35% 3/15/20 (g) 6,814 6,347 
El Paso Pipeline Partners Operating Co. LLC:   
5% 10/1/21 2,791 2,651 
6.5% 4/1/20 2,608 2,763 
Halliburton Co.:   
3.8% 11/15/25 4,660 4,694 
4.85% 11/15/35 4,069 4,110 
5% 11/15/45 5,575 5,675 
Noble Holding International Ltd.:   
3.05% 3/1/16 914 918 
4% 3/16/18 617 583 
5.95% 4/1/25 3,936 3,155 
6.95% 4/1/45 3,799 2,748 
Transocean, Inc. 5.55% 12/15/16 (h) 4,522 4,499 
  44,086 
Oil, Gas & Consumable Fuels - 1.8%   
Anadarko Petroleum Corp. 6.375% 9/15/17 15,653 16,750 
BP Capital Markets PLC:   
4.5% 10/1/20 1,336 1,462 
4.742% 3/11/21 6,000 6,643 
Canadian Natural Resources Ltd. 1.75% 1/15/18 2,851 2,801 
Cenovus Energy, Inc. 5.7% 10/15/19 6,698 7,235 
Columbia Pipeline Group, Inc.:   
2.45% 6/1/18 (g) 1,617 1,608 
3.3% 6/1/20 (g) 7,911 7,822 
4.5% 6/1/25 (g) 2,416 2,314 
DCP Midstream Operating LP:   
2.5% 12/1/17 3,027 2,812 
2.7% 4/1/19 5,369 4,757 
3.875% 3/15/23 2,761 2,265 
4.95% 4/1/22 1,267 1,138 
5.6% 4/1/44 2,216 1,674 
Duke Energy Field Services 6.45% 11/3/36 (g) 6,493 5,137 
El Paso Natural Gas Co. 5.95% 4/15/17 1,572 1,626 
Empresa Nacional de Petroleo 4.375% 10/30/24 (g) 5,615 5,560 
Enable Midstream Partners LP:   
2.4% 5/15/19 (g) 1,957 1,798 
3.9% 5/15/24 (g) 2,064 1,615 
Enbridge Energy Partners LP:   
4.2% 9/15/21 8,103 7,937 
4.375% 10/15/20 5,808 5,840 
Gulfstream Natural Gas System LLC 6.95% 6/1/16 (g) 780 798 
Kinder Morgan, Inc. 2% 12/1/17 2,620 2,541 
Marathon Petroleum Corp. 5.125% 3/1/21 4,415 4,781 
Motiva Enterprises LLC 5.75% 1/15/20 (g) 1,252 1,361 
MPLX LP 4% 2/15/25 1,190 1,078 
Nakilat, Inc. 6.067% 12/31/33 (g) 2,490 2,793 
Nexen, Inc. 6.2% 7/30/19 2,252 2,494 
Pemex Project Funding Master Trust 5.75% 3/1/18 25,063 26,510 
Petrobras Global Finance BV:   
1.9896% 5/20/16 (h) 6,590 6,473 
3% 1/15/19 18,609 15,092 
3.25% 3/17/17 21,613 20,208 
4.375% 5/20/23 4,137 2,886 
4.875% 3/17/20 23,870 19,208 
5.625% 5/20/43 22,261 14,138 
7.25% 3/17/44 30,172 21,454 
Petrobras International Finance Co. Ltd.:   
3.875% 1/27/16 7,288 7,252 
5.375% 1/27/21 47,072 37,526 
5.75% 1/20/20 17,949 14,960 
5.875% 3/1/18 3,468 3,165 
7.875% 3/15/19 7,382 6,854 
Petroleos Mexicanos:   
3.5% 7/18/18 8,047 8,105 
3.5% 7/23/20 (g) 8,815 8,693 
3.5% 1/30/23 5,005 4,592 
4.5% 1/23/26 (g) 11,915 11,233 
4.875% 1/24/22 1,430 1,434 
4.875% 1/18/24 7,021 6,896 
5.5% 1/21/21 13,423 14,077 
5.5% 6/27/44 19,723 16,271 
5.625% 1/23/46 (g) 11,673 9,805 
6% 3/5/20 4,797 5,167 
6.375% 1/23/45 26,396 24,482 
6.5% 6/2/41 8,420 7,943 
8% 5/3/19 3,943 4,471 
Phillips 66 Co.:   
2.95% 5/1/17 1,844 1,879 
4.3% 4/1/22 6,383 6,711 
Phillips 66 Partners LP 2.646% 2/15/20 652 630 
Plains All American Pipeline LP/PAA Finance Corp. 6.125% 1/15/17 1,940 2,015 
Shell International Finance BV 4.375% 5/11/45 18,896 18,791 
Southeast Supply Header LLC 4.25% 6/15/24 (g) 5,790 5,579 
Southwestern Energy Co.:   
3.3% 1/23/18 3,081 2,943 
4.05% 1/23/20 5,591 4,954 
4.95% 1/23/25 4,632 3,816 
Spectra Energy Capital, LLC 5.65% 3/1/20 1,087 1,159 
Spectra Energy Partners, LP:   
2.95% 6/15/16 1,472 1,482 
4.6% 6/15/21 1,816 1,885 
Suncor Energy, Inc. 6.1% 6/1/18 623 680 
The Williams Companies, Inc.:   
3.7% 1/15/23 5,046 4,060 
4.55% 6/24/24 25,316 20,773 
Western Gas Partners LP 5.375% 6/1/21 10,614 11,071 
Williams Partners LP 4.3% 3/4/24 4,754 4,126 
  516,089 
TOTAL ENERGY  560,175 
FINANCIALS - 8.1%   
Banks - 3.9%   
Associated Banc-Corp. 5.125% 3/28/16 2,238 2,259 
Banco Nacional de Desenvolvimento Economico e Social:   
3.375% 9/26/16 (g) 6,350 6,318 
4% 4/14/19 (g) 18,318 17,356 
5.5% 7/12/20 (g) 21,376 20,842 
5.75% 9/26/23 (g) 5,809 5,373 
6.369% 6/16/18 (g) 12,537 12,662 
6.5% 6/10/19 (g) 2,097 2,118 
Bank of America Corp.:   
1.35% 11/21/16 5,398 5,411 
1.95% 5/12/18 8,000 8,034 
2.6% 1/15/19 57,427 58,061 
3.875% 3/22/17 944 973 
3.95% 4/21/25 10,000 9,892 
4.2% 8/26/24 7,745 7,821 
4.25% 10/22/26 6,748 6,771 
5.625% 10/14/16 22,550 23,410 
5.75% 12/1/17 19,000 20,449 
6.5% 8/1/16 1,220 1,263 
Bank of Tokyo-Mitsubishi UFJ Ltd.:   
1.7% 3/5/18 (g) 20,793 20,649 
2.3% 3/5/20 (g) 10,090 9,989 
Barclays PLC:   
2% 3/16/18 16,700 16,640 
2.75% 11/8/19 5,728 5,734 
BB&T Corp. 3.95% 3/22/22 1,805 1,897 
Capital One NA 2.95% 7/23/21 8,837 8,804 
Citigroup, Inc.:   
1.3% 11/15/16 663 664 
1.55% 8/14/17 26,000 25,955 
1.7% 4/27/18 8,422 8,387 
1.75% 5/1/18 21,658 21,571 
1.8% 2/5/18 17,419 17,409 
1.85% 11/24/17 13,884 13,891 
2.15% 7/30/18 17,815 17,920 
2.5% 7/29/19 26,091 26,318 
2.55% 4/8/19 24,266 24,557 
3.875% 3/26/25 17,000 16,712 
4.05% 7/30/22 17,500 18,056 
4.3% 11/20/26 14,000 14,114 
6% 8/15/17 15,053 16,191 
Citizens Financial Group, Inc. 4.15% 9/28/22 (g) 6,485 6,557 
Credit Suisse AG 6% 2/15/18 17,158 18,537 
Credit Suisse Group Funding Guernsey Ltd.:   
2.75% 3/26/20 (g) 8,440 8,404 
3.75% 3/26/25 (g) 8,440 8,250 
3.8% 9/15/22 (g) 13,270 13,375 
Credit Suisse New York Branch 5.4% 1/14/20 1,450 1,606 
Discover Bank 7% 4/15/20 4,144 4,742 
Fifth Third Bancorp:   
2.875% 7/27/20 43,000 43,154 
3.5% 3/15/22 638 650 
4.5% 6/1/18 584 618 
5.45% 1/15/17 4,032 4,208 
HBOS PLC 6.75% 5/21/18 (g) 560 615 
HSBC Holdings PLC 4.25% 3/14/24 3,415 3,459 
Huntington Bancshares, Inc. 7% 12/15/20 3,353 3,930 
Huntington National Bank:   
1.7% 2/26/18 37,500 37,208 
2.2% 4/1/19 3,200 3,177 
2.4% 4/1/20 40,000 39,519 
Intesa Sanpaolo SpA:   
2.375% 1/13/17 18,700 18,786 
3.125% 1/15/16 20,275 20,328 
5.017% 6/26/24 (g) 5,410 5,417 
JPMorgan Chase & Co.:   
2.75% 6/23/20 10,395 10,522 
3.875% 9/10/24 26,780 26,922 
4.125% 12/15/26 113,135 114,482 
KeyCorp. 5.1% 3/24/21 628 692 
Rabobank Nederland 4.375% 8/4/25 13,516 13,808 
Regions Bank 6.45% 6/26/37 12,100 14,429 
Regions Financial Corp. 2% 5/15/18 7,953 7,919 
Royal Bank of Scotland Group PLC:   
5.125% 5/28/24 65,325 67,200 
6% 12/19/23 12,648 13,779 
6.1% 6/10/23 9,334 10,159 
6.125% 12/15/22 39,429 43,382 
SunTrust Banks, Inc.:   
2.35% 11/1/18 3,000 3,020 
3.5% 1/20/17 4,862 4,967 
The Toronto Dominion Bank 1.625% 3/13/18 20,247 20,275 
Wells Fargo & Co.:   
4.1% 6/3/26 15,000 15,250 
4.48% 1/16/24 6,481 6,873 
  1,110,690 
Capital Markets - 1.6%   
Affiliated Managers Group, Inc.:   
3.5% 8/1/25 8,929 8,530 
4.25% 2/15/24 2,464 2,525 
Deutsche Bank AG 4.5% 4/1/25 18,715 17,657 
Goldman Sachs Group, Inc.:   
1.748% 9/15/17 24,600 24,590 
2.55% 10/23/19 85,599 86,435 
2.6% 4/23/20 1,000 1,005 
2.625% 1/31/19 30,072 30,617 
2.9% 7/19/18 10,319 10,584 
5.95% 1/18/18 5,343 5,801 
6.15% 4/1/18 3,993 4,379 
6.25% 9/1/17 23,534 25,415 
Lazard Group LLC:   
4.25% 11/14/20 5,286 5,519 
6.85% 6/15/17 1,319 1,407 
Merrill Lynch & Co., Inc. 6.4% 8/28/17 30,624 33,076 
Morgan Stanley:   
1.875% 1/5/18 7,156 7,184 
2.125% 4/25/18 18,100 18,238 
2.5% 1/24/19 43,150 43,841 
2.65% 1/27/20 2,659 2,679 
4.875% 11/1/22 8,674 9,381 
5.45% 1/9/17 52,060 54,388 
5.625% 9/23/19 547 609 
5.95% 12/28/17 301 326 
6.625% 4/1/18 1,804 1,997 
Peachtree Corners Funding Trust 3.976% 2/15/25 (g) 10,000 10,029 
UBS AG Stamford Branch:   
1.375% 6/1/17 6,466 6,446 
1.8% 3/26/18 12,466 12,480 
2.375% 8/14/19 12,750 12,811 
UBS Group Funding Ltd. 4.125% 9/24/25 (g) 9,717 9,742 
  447,691 
Consumer Finance - 0.6%   
Capital One Financial Corp. 2.45% 4/24/19 5,260 5,304 
Discover Financial Services:   
3.85% 11/21/22 2,701 2,692 
5.2% 4/27/22 2,488 2,679 
6.45% 6/12/17 13,316 14,178 
Ford Motor Credit Co. LLC:   
1.5% 1/17/17 19,067 19,001 
2.145% 1/9/18 25,000 24,913 
2.375% 3/12/19 19,600 19,325 
2.875% 10/1/18 11,000 11,080 
5% 5/15/18 10,000 10,556 
5.875% 8/2/21 12,574 14,128 
Hyundai Capital America:   
1.45% 2/6/17 (g) 6,312 6,285 
1.875% 8/9/16 (g) 1,605 1,608 
2.125% 10/2/17 (g) 2,357 2,352 
2.55% 2/6/19 (g) 6,671 6,641 
2.875% 8/9/18 (g) 2,848 2,886 
Synchrony Financial:   
1.875% 8/15/17 1,554 1,550 
3% 8/15/19 2,283 2,294 
3.75% 8/15/21 8,466 8,530 
4.25% 8/15/24 3,469 3,468 
  159,470 
Diversified Financial Services - 0.0%   
Brixmor Operating Partnership LP 3.875% 8/15/22 5,986 5,953 
IntercontinentalExchange, Inc.:   
2.75% 12/1/20 3,082 3,092 
3.75% 12/1/25 5,510 5,559 
  14,604 
Insurance - 0.7%   
ACE INA Holdings, Inc.:   
2.875% 11/3/22 5,658 5,625 
3.35% 5/3/26 4,560 4,548 
4.35% 11/3/45 4,633 4,644 
AFLAC, Inc. 2.4% 3/16/20 8,000 8,043 
AIA Group Ltd. 2.25% 3/11/19 (g) 1,416 1,413 
American International Group, Inc.:   
3.75% 7/10/25 14,847 14,845 
4.875% 6/1/22 4,860 5,302 
5.6% 10/18/16 5,560 5,772 
Aon Corp.:   
3.125% 5/27/16 4,743 4,794 
5% 9/30/20 129 142 
Five Corners Funding Trust 4.419% 11/15/23 (g) 9,345 9,828 
Great-West Life & Annuity Insurance Co. 7.153% 5/16/46 (g)(h) 2,508 2,524 
Hartford Financial Services Group, Inc. 5.375% 3/15/17 685 717 
Liberty Mutual Group, Inc.:   
4.25% 6/15/23 (g) 6,498 6,643 
5% 6/1/21 (g) 8,525 9,168 
Marsh & McLennan Companies, Inc. 4.8% 7/15/21 4,819 5,260 
Massachusetts Mutual Life Insurance Co.:   
4.5% 4/15/65 (g) 9,547 8,692 
5.375% 12/1/41 (g) 3,576 3,864 
Metropolitan Life Global Funding I 1.875% 6/22/18 (g) 7,075 7,089 
Northwestern Mutual Life Insurance Co. 6.063% 3/30/40 (g) 4,915 5,939 
Pacific Life Insurance Co. 9.25% 6/15/39 (g) 3,967 5,798 
Pacific LifeCorp:   
5.125% 1/30/43 (g) 7,709 7,888 
6% 2/10/20 (g) 9,721 10,879 
Prudential Financial, Inc.:   
2.3% 8/15/18 888 896 
4.5% 11/16/21 1,764 1,917 
7.375% 6/15/19 2,520 2,943 
Symetra Financial Corp. 6.125% 4/1/16 (g) 8,408 8,523 
Teachers Insurance & Annuity Association of America 4.9% 9/15/44 (g) 8,243 8,480 
TIAA Asset Management Finance LLC:   
2.95% 11/1/19 (g) 1,938 1,954 
4.125% 11/1/24 (g) 2,810 2,840 
Unum Group:   
3.875% 11/5/25 8,630 8,521 
5.625% 9/15/20 3,860 4,271 
5.75% 8/15/42 8,065 8,897 
7.125% 9/30/16 2,076 2,170 
  190,829 
Real Estate Investment Trusts - 0.8%   
Alexandria Real Estate Equities, Inc.:   
2.75% 1/15/20 1,369 1,354 
4.6% 4/1/22 2,035 2,121 
American Campus Communities Operating Partnership LP 3.75% 4/15/23 1,759 1,726 
American Tower Corp. 2.8% 6/1/20 8,000 7,959 
AvalonBay Communities, Inc. 3.625% 10/1/20 2,800 2,919 
Camden Property Trust 2.95% 12/15/22 2,417 2,339 
CommonWealth REIT 5.875% 9/15/20 1,166 1,260 
Corporate Office Properties LP:   
3.7% 6/15/21 4,267 4,157 
5% 7/1/25 4,089 3,970 
DDR Corp.:   
3.625% 2/1/25 3,723 3,541 
4.25% 2/1/26 3,429 3,419 
4.625% 7/15/22 4,470 4,628 
4.75% 4/15/18 6,131 6,438 
7.5% 4/1/17 8,836 9,468 
9.625% 3/15/16 1,851 1,894 
Digital Delta Holdings LLC:   
3.4% 10/1/20 (g) 9,100 9,139 
4.75% 10/1/25 (g) 6,539 6,614 
Duke Realty LP:   
3.625% 4/15/23 3,152 3,087 
3.75% 12/1/24 2,549 2,483 
3.875% 10/15/22 5,452 5,484 
4.375% 6/15/22 3,753 3,877 
5.95% 2/15/17 346 363 
6.75% 3/15/20 1,339 1,535 
8.25% 8/15/19 2,643 3,148 
Equity One, Inc.:   
3.75% 11/15/22 8,200 7,959 
6% 9/15/17 876 931 
6.25% 1/15/17 663 693 
ERP Operating LP 5.75% 6/15/17 2,042 2,169 
Federal Realty Investment Trust 5.9% 4/1/20 1,971 2,234 
HCP, Inc.:   
3.15% 8/1/22 7,000 6,674 
3.875% 8/15/24 13,000 12,639 
Health Care REIT, Inc.:   
2.25% 3/15/18 2,600 2,599 
4% 6/1/25 6,098 6,016 
4.125% 4/1/19 13,700 14,367 
4.7% 9/15/17 843 883 
HRPT Properties Trust:   
6.25% 6/15/17 996 1,033 
6.65% 1/15/18 676 719 
Lexington Corporate Properties Trust 4.4% 6/15/24 2,249 2,248 
Omega Healthcare Investors, Inc.:   
4.5% 1/15/25 2,128 2,086 
4.5% 4/1/27 (g) 34,977 33,322 
4.95% 4/1/24 2,101 2,124 
5.25% 1/15/26 (g) 10,420 10,707 
Retail Opportunity Investments Partnership LP:   
4% 12/15/24 1,583 1,501 
5% 12/15/23 1,140 1,173 
Weingarten Realty Investors 3.375% 10/15/22 1,228 1,196 
WP Carey, Inc. 4% 2/1/25 9,404 9,036 
  215,232 
Real Estate Management & Development - 0.5%   
BioMed Realty LP:   
2.625% 5/1/19 3,585 3,494 
3.85% 4/15/16 11,312 11,390 
4.25% 7/15/22 2,970 2,858 
6.125% 4/15/20 2,611 2,804 
Brandywine Operating Partnership LP:   
3.95% 2/15/23 7,304 7,139 
4.1% 10/1/24 6,548 6,358 
4.55% 10/1/29 6,548 6,353 
4.95% 4/15/18 4,846 5,085 
5.7% 5/1/17 309 324 
6% 4/1/16 2,770 2,810 
Digital Realty Trust LP:   
3.95% 7/1/22 5,752 5,705 
5.25% 3/15/21 4,138 4,470 
Essex Portfolio LP 5.5% 3/15/17 3,921 4,100 
Liberty Property LP:   
3.375% 6/15/23 3,313 3,154 
4.125% 6/15/22 3,219 3,254 
4.75% 10/1/20 8,747 9,343 
5.5% 12/15/16 2,529 2,628 
Mack-Cali Realty LP:   
2.5% 12/15/17 4,556 4,522 
3.15% 5/15/23 7,438 6,438 
4.5% 4/18/22 2,016 1,948 
5.8% 1/15/16 5,020 5,043 
7.75% 8/15/19 2,476 2,767 
Mid-America Apartments LP:   
4% 11/15/25 2,248 2,242 
4.3% 10/15/23 1,248 1,270 
Post Apartment Homes LP 3.375% 12/1/22 1,364 1,328 
Prime Property Funding, Inc. 5.7% 4/15/17 (g) 4,226 4,384 
Reckson Operating Partnership LP 6% 3/31/16 1,949 1,975 
Regency Centers LP 5.875% 6/15/17 1,329 1,407 
Tanger Properties LP:   
3.75% 12/1/24 4,790 4,722 
3.875% 12/1/23 2,716 2,724 
6.125% 6/1/20 9,597 10,900 
Ventas Realty LP:   
1.25% 4/17/17 3,126 3,107 
1.55% 9/26/16 1,068 1,071 
3.5% 2/1/25 2,214 2,121 
3.75% 5/1/24 7,900 7,788 
4.125% 1/15/26 2,782 2,780 
4.375% 2/1/45 1,322 1,219 
Ventas Realty LP/Ventas Capital Corp.:   
2% 2/15/18 4,056 4,052 
4% 4/30/19 1,999 2,089 
  157,166 
TOTAL FINANCIALS  2,295,682 
HEALTH CARE - 0.8%   
Biotechnology - 0.2%   
AbbVie, Inc.:   
1.75% 11/6/17 6,470 6,493 
1.8% 5/14/18 21,902 21,877 
3.2% 11/6/22 8,127 8,053 
3.6% 5/14/25 12,082 11,973 
Amgen, Inc. 1.25% 5/22/17 13,051 13,017 
  61,413 
Health Care Providers & Services - 0.3%   
Express Scripts Holding Co.:   
3.9% 2/15/22 1,915 1,984 
4.75% 11/15/21 17,355 18,838 
HCA Holdings, Inc.:   
3.75% 3/15/19 11,874 11,993 
4.25% 10/15/19 20,200 20,554 
4.75% 5/1/23 375 372 
5.875% 3/15/22 450 483 
6.5% 2/15/20 12,966 14,344 
McKesson Corp. 2.284% 3/15/19 6,400 6,411 
Medco Health Solutions, Inc. 4.125% 9/15/20 5,031 5,305 
UnitedHealth Group, Inc.:   
3.35% 7/15/22 3,113 3,198 
3.75% 7/15/25 8,581 8,900 
WellPoint, Inc. 1.875% 1/15/18 195 196 
  92,578 
Life Sciences Tools & Services - 0.1%   
Thermo Fisher Scientific, Inc.:   
1.3% 2/1/17 1,745 1,741 
2.4% 2/1/19 1,100 1,104 
3.3% 2/15/22 13,389 13,417 
  16,262 
Pharmaceuticals - 0.2%   
Actavis Funding SCS:   
1.3% 6/15/17 12,949 12,855 
2.45% 6/15/19 3,839 3,826 
3% 3/12/20 7,106 7,195 
3.45% 3/15/22 12,371 12,512 
Mylan, Inc. 1.35% 11/29/16 2,039 2,026 
Perrigo Co. PLC:   
1.3% 11/8/16 1,664 1,653 
2.3% 11/8/18 1,780 1,758 
Perrigo Finance PLC:   
3.5% 12/15/21 1,752 1,721 
3.9% 12/15/24 2,611 2,532 
4.9% 12/15/44 1,145 1,064 
Watson Pharmaceuticals, Inc. 1.875% 10/1/17 2,149 2,152 
Zoetis, Inc. 1.875% 2/1/18 992 984 
  50,278 
TOTAL HEALTH CARE  220,531 
INDUSTRIALS - 0.2%   
Aerospace & Defense - 0.0%   
BAE Systems Holdings, Inc. 6.375% 6/1/19 (g) 5,000 5,607 
Airlines - 0.1%   
Continental Airlines, Inc.:   
6.648% 3/15/19 1,273 1,308 
6.9% 7/2/19 515 532 
Southwest Airlines Co. 2.75% 11/6/19 14,700 14,897 
U.S. Airways pass-thru trust certificates:   
6.85% 1/30/18 1,843 1,953 
8.36% 1/20/19 1,129 1,207 
  19,897 
Machinery - 0.0%   
Ingersoll-Rand Luxembourg Finance SA 2.625% 5/1/20 1,829 1,809 
Trading Companies & Distributors - 0.1%   
Air Lease Corp.:   
2.125% 1/15/18 3,319 3,270 
2.625% 9/4/18 8,396 8,326 
3.75% 2/1/22 7,839 7,737 
3.875% 4/1/21 6,320 6,383 
4.25% 9/15/24 5,492 5,382 
4.75% 3/1/20 5,518 5,818 
  36,916 
TOTAL INDUSTRIALS  64,229 
INFORMATION TECHNOLOGY - 0.2%   
Electronic Equipment & Components - 0.0%   
Tyco Electronics Group SA:   
2.375% 12/17/18 1,262 1,268 
6.55% 10/1/17 1,119 1,217 
  2,485 
IT Services - 0.0%   
Xerox Corp. 2.95% 3/15/17 1,143 1,155 
Technology Hardware, Storage & Peripherals - 0.2%   
Apple, Inc. 4.375% 5/13/45 18,876 18,968 
Hewlett Packard Enterprise Co.:   
3.6% 10/15/20 (g) 8,781 8,851 
4.9% 10/15/25 (g) 8,781 8,670 
6.35% 10/15/45 (g) 8,781 8,430 
  44,919 
TOTAL INFORMATION TECHNOLOGY  48,559 
MATERIALS - 0.1%   
Metals & Mining - 0.1%   
BHP Billiton Financial (U.S.A.) Ltd.:   
6.25% 10/19/75 (g)(h) 3,645 3,664 
6.75% 10/19/75 (g)(h) 9,054 9,031 
Corporacion Nacional del Cobre de Chile (Codelco):   
3.875% 11/3/21 (g) 8,722 8,577 
4.5% 8/13/23 (Reg. S) 10,600 10,453 
4.875% 11/4/44 (g) 2,152 1,795 
4.875% 11/4/44 (Reg. S) 5,050 4,211 
  37,731 
TELECOMMUNICATION SERVICES - 0.7%   
Diversified Telecommunication Services - 0.7%   
AT&T, Inc. 2.45% 6/30/20 5,759 5,664 
BellSouth Capital Funding Corp. 7.875% 2/15/30 61 73 
CenturyLink, Inc.:   
5.15% 6/15/17 487 502 
6% 4/1/17 3,467 3,580 
6.15% 9/15/19 4,463 4,586 
Embarq Corp. 7.995% 6/1/36 53,896 56,634 
Verizon Communications, Inc.:   
2.625% 2/21/20 9,818 9,910 
4.5% 9/15/20 45,631 49,545 
5.012% 8/21/54 23,143 21,935 
6.1% 4/15/18 4,897 5,393 
6.25% 4/1/37 4,611 5,219 
6.4% 9/15/33 6,073 7,091 
6.55% 9/15/43 26,871 32,453 
  202,585 
Wireless Telecommunication Services - 0.0%   
America Movil S.A.B. de CV 2.375% 9/8/16 371 374 
TOTAL TELECOMMUNICATION SERVICES  202,959 
UTILITIES - 0.8%   
Electric Utilities - 0.7%   
AmerenUE 6.4% 6/15/17 1,518 1,630 
American Transmission Systems, Inc. 5% 9/1/44 (g) 1,612 1,633 
Duquesne Light Holdings, Inc.:   
5.9% 12/1/21 (g) 5,539 6,227 
6.4% 9/15/20 (g) 14,254 16,230 
Edison International 3.75% 9/15/17 4,499 4,654 
Entergy Corp. 4% 7/15/22 8,700 8,917 
Eversource Energy 1.45% 5/1/18 1,676 1,651 
Exelon Corp.:   
1.55% 6/9/17 1,687 1,682 
3.95% 6/15/25 7,948 8,055 
FirstEnergy Corp.:   
2.75% 3/15/18 11,918 11,968 
4.25% 3/15/23 27,079 27,470 
7.375% 11/15/31 43,919 53,007 
FirstEnergy Solutions Corp. 6.05% 8/15/21 12,120 12,929 
IPALCO Enterprises, Inc. 3.45% 7/15/20 13,932 13,723 
LG&E and KU Energy LLC 3.75% 11/15/20 1,034 1,072 
Nevada Power Co. 6.5% 8/1/18 2,642 2,947 
NV Energy, Inc. 6.25% 11/15/20 1,957 2,237 
Pennsylvania Electric Co. 6.05% 9/1/17 618 662 
Progress Energy, Inc. 4.4% 1/15/21 405 430 
TECO Finance, Inc.:   
4% 3/15/16 1,828 1,842 
5.15% 3/15/20 164 179 
West Penn Power Co. 5.95% 12/15/17 (g) 6,500 7,000 
  186,145 
Gas Utilities - 0.0%   
Southern Natural Gas Co. 5.9% 4/1/17 (g) 357 366 
Southern Natural Gas Co./Southern Natural Issuing Corp. 4.4% 6/15/21 2,473 2,451 
Texas Eastern Transmission LP 6% 9/15/17 (g) 1,301 1,387 
  4,204 
Multi-Utilities - 0.1%   
Dominion Resources, Inc.:   
2.6266% 9/30/66 (h) 20,448 15,945 
7.5% 6/30/66 (h) 5,485 4,766 
NiSource Finance Corp.:   
5.45% 9/15/20 6,455 7,114 
6.4% 3/15/18 1,206 1,323 
6.8% 1/15/19 4,065 4,588 
PG&E Corp. 2.4% 3/1/19 931 933 
Puget Energy, Inc. 6% 9/1/21 813 924 
Wisconsin Energy Corp. 6.25% 5/15/67 (h) 4,882 4,003 
  39,596 
TOTAL UTILITIES  229,945 
TOTAL NONCONVERTIBLE BONDS   
(Cost $4,081,896)  4,056,197 
U.S. Government and Government Agency Obligations - 4.7%   
U.S. Treasury Inflation-Protected Obligations - 0.9%   
U.S. Treasury Inflation-Indexed Bonds:   
0.75% 2/15/45 $118,646 $105,980 
1.375% 2/15/44 99,536 103,729 
U.S. Treasury Inflation-Indexed Notes 0.25% 1/15/25 63,317 61,102 
TOTAL U.S. TREASURY INFLATION-PROTECTED OBLIGATIONS  270,811 
U.S. Treasury Obligations - 3.8%   
U.S. Treasury Bills, yield at date of purchase 0.1% 1/28/16 (i) 5,580 5,579 
U.S. Treasury Bonds:   
2.875% 8/15/45 43,600 42,628 
3% 5/15/45 252,075 252,420 
U.S. Treasury Notes:   
1% 8/31/16 300,000 300,820 
1.625% 6/30/20 30,635 30,637 
1.625% 11/30/20 124,293 124,142 
2% 8/15/25 6,300 6,177 
2.125% 5/15/25 (j) 307,462 305,012 
TOTAL U.S. TREASURY OBLIGATIONS  1,067,415 
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS   
(Cost $1,358,508)  1,338,226 
U.S. Government Agency - Mortgage Securities - 1.1%   
Fannie Mae - 0.6%   
2.302% 6/1/36 (h) 154 162 
2.5% 9/1/27 to 4/1/43 12,517 12,655 
2.5% 12/1/30 (e) 3,700 3,749 
2.628% 7/1/37 (h) 269 286 
3% 1/1/43 to 9/1/45 25,025 25,183 
3.5% 7/1/30 to 9/1/45 40,408 42,152 
3.5% 12/1/45 2,400 2,486 
3.5% 12/1/45 (e) 9,900 10,254 
4% 5/1/43 to 7/1/45 21,667 23,055 
4% 12/1/45 (e) 300 318 
4.5% 12/1/23 to 4/1/45 25,951 28,196 
5% 9/1/23 to 11/1/44 8,672 9,592 
5.5% 9/1/24 to 9/1/41 16,796 18,706 
6% 6/1/35 to 8/1/37 4,221 4,805 
6.5% 7/1/32 to 8/1/36 863 1,004 
TOTAL FANNIE MAE  182,603 
Freddie Mac - 0.3%   
3% 3/1/45 to 7/1/45 17,992 18,073 
3.176% 10/1/35 (h) 148 158 
3.5% 4/1/43 to 6/1/45 19,568 20,266 
4% 6/1/24 to 7/1/45 23,406 24,893 
4.5% 7/1/25 to 4/1/41 10,722 11,603 
5% 3/1/19 to 7/1/41 4,466 4,894 
5.5% 1/1/34 to 3/1/40 1,040 1,166 
6% 7/1/37 to 8/1/37 259 294 
6.5% 3/1/36 659 766 
TOTAL FREDDIE MAC  82,113 
Ginnie Mae - 0.2%   
3% 6/20/45 3,240 3,296 
3.5% 7/20/42 to 8/20/45 26,136 27,326 
4% 9/20/40 to 7/20/45 11,842 12,603 
4.5% 4/20/41 2,560 2,766 
5% 5/15/39 951 1,055 
5.5% 12/15/31 to 1/15/39 2,179 2,466 
TOTAL GINNIE MAE  49,512 
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES   
(Cost $312,963)  314,228 
Asset-Backed Securities - 0.4%   
Accredited Mortgage Loan Trust Series 2005-1 Class M1, 0.926% 4/25/35 (h) $729 $659 
ACE Securities Corp. Home Equity Loan Trust Series 2004-HE1 Class M2, 1.847% 3/25/34 (h) 278 267 
AmeriCredit Automobile Receivables Trust Series 2013-4:   
Class C, 2.72% 9/9/19 1,410 1,423 
Class D, 3.31% 10/8/19 880 895 
Ameriquest Mortgage Securities, Inc. pass-thru certificates:   
Series 2003-10 Class M1, 1.247% 12/25/33 (h) 52 48 
Series 2004-R2 Class M3, 1.022% 4/25/34 (h) 99 75 
Argent Securities, Inc. pass-thru certificates:   
Series 2003-W7 Class A2, 1.001% 3/25/34 (h) 53 48 
Series 2004-W11 Class M2, 1.247% 11/25/34 (h) 616 599 
Series 2004-W7 Class M1, 1.022% 5/25/34 (h) 1,600 1,497 
Series 2006-W4 Class A2C, 0.357% 5/25/36 (h) 1,265 449 
Asset Backed Securities Corp. Home Equity Loan Trust:   
Series 2004-HE2 Class M1, 1.022% 4/25/34 (h) 1,860 1,686 
Series 2006-HE2 Class M1, 0.591% 3/25/36 (h) 20 0 
Carrington Mortgage Loan Trust Series 2007-RFC1 Class A3, 0.337% 12/25/36 (h) 1,978 1,327 
Countrywide Home Loans, Inc.:   
Series 2004-3 Class M4, 1.676% 4/25/34 (h) 73 66 
Series 2004-4 Class M2, 0.992% 6/25/34 (h) 110 100 
Series 2004-7 Class AF5, 5.868% 1/25/35 1,662 1,727 
Fannie Mae Series 2004-T5 Class AB3, 1.0288% 5/28/35 (h) 43 40 
Fieldstone Mortgage Investment Corp. Series 2004-3 Class M5, 2.372% 8/25/34 (h) 319 301 
First Franklin Mortgage Loan Trust Series 2004-FF2 Class M3, 1.022% 3/25/34 (h) 11 10 
Fremont Home Loan Trust Series 2005-A:   
Class M3, 0.932% 1/25/35 (h) 1,041 909 
Class M4, 1.217% 1/25/35 (h) 381 208 
GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 0.7732% 2/25/47 (g)(h) 1,335 1,202 
GE Business Loan Trust Series 2006-2A:   
Class A, 0.377% 11/15/34 (g)(h) 727 690 
Class B, 0.477% 11/15/34 (g)(h) 262 244 
Class C, 0.577% 11/15/34 (g)(h) 436 388 
Class D, 0.947% 11/15/34 (g)(h) 166 139 
Home Equity Asset Trust:   
Series 2003-2 Class M1, 1.541% 8/25/33 (h) 268 252 
Series 2003-3 Class M1, 1.511% 8/25/33 (h) 492 470 
Series 2003-5 Class A2, 0.921% 12/25/33 (h) 36 34 
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.387% 1/25/37 (h) 1,642 1,055 
Invitation Homes Trust Series 2015-SFR3 Class E, 3.9468% 8/17/32 (g)(h) 2,593 2,549 
JPMorgan Mortgage Acquisition Trust:   
Series 2006-NC2 Class M2, 0.521% 7/25/36 (h) 2,738 1,213 
Series 2007-CH1 Class AV4, 0.327% 11/25/36 (h) 224 223 
KeyCorp Student Loan Trust:   
Series 1999-A Class A2, 0.6564% 12/27/29 (h) 119 118 
Series 2006-A Class 2C, 1.4764% 3/27/42 (h) 2,909 1,464 
MASTR Asset Backed Securities Trust Series 2007-HE1 Class M1, 0.497% 5/25/37 (h) 358 4 
Meritage Mortgage Loan Trust Series 2004-1 Class M1, 0.947% 7/25/34 (h) 115 96 
Merrill Lynch Mortgage Investors Trust:   
Series 2003-OPT1 Class M1, 1.172% 7/25/34 (h) 303 278 
Series 2006-FM1 Class A2B, 0.331% 4/25/37 (h) 265 263 
Series 2006-OPT1 Class A1A, 0.717% 6/25/35 (h) 1,673 1,616 
Morgan Stanley ABS Capital I Trust:   
Series 2004-HE6 Class A2, 0.877% 8/25/34 (h) 63 58 
Series 2005-NC1 Class M1, 0.857% 1/25/35 (h) 293 275 
Series 2005-NC2 Class B1, 1.952% 3/25/35 (h) 214 4 
New Century Home Equity Loan Trust Series 2005-4 Class M2, 0.707% 9/25/35 (h) 1,566 1,393 
Park Place Securities, Inc.:   
Series 2004-WCW1:   
Class M3, 2.072% 9/25/34 (h) 585 548 
Class M4, 2.372% 9/25/34 (h) 750 482 
Series 2005-WCH1 Class M4, 1.442% 1/25/36 (h) 1,620 1,444 
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 0.997% 4/25/33 (h) 6 5 
Santander Drive Auto Receivables Trust:   
Series 2014-1 Class C, 2.36% 4/15/20 9,000 9,019 
Series 2014-2 Class C, 2.33% 11/15/19 6,409 6,447 
Series 2014-3:   
Class B, 1.45% 5/15/19 22,594 22,584 
Class C, 2.13% 8/17/20 22,594 22,672 
Series 2014-4 Class C, 2.6% 11/16/20 3,645 3,662 
Saxon Asset Securities Trust Series 2004-1 Class M1, 0.992% 3/25/35 (h) 838 775 
SLM Private Credit Student Loan Trust Series 2004-A Class C, 1.2872% 6/15/33 (h) 691 672 
Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1.946% 9/25/34 (h) 45 39 
Terwin Mortgage Trust Series 2003-4HE Class A1, 1.057% 9/25/34 (h) 32 28 
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 0.8871% 4/6/42 (g)(h) 2,206 1,125 
Whinstone Capital Management Ltd. Series 1A Class B3, 2.1199% 10/25/44 (g)(h) 1,964 1,963 
TOTAL ASSET-BACKED SECURITIES   
(Cost $87,814)  97,827 
Collateralized Mortgage Obligations - 0.1%   
Private Sponsor - 0.1%   
Bear Stearns ALT-A Trust floater Series 2005-1 Class A1, 0.781% 1/25/35 (h) 1,117 1,087 
Citigroup Mortgage Loan Trust sequential payer Series 2012-A Class A, 2.5% 6/25/51 (g) 2,492 2,452 
First Horizon Mortgage pass-thru Trust Series 2004-AR5 Class 2A1, 2.6605% 10/25/34 (h) 497 498 
Granite Master Issuer PLC floater:   
Series 2006-3 Class M2, 0.7668% 12/20/54 (h) 5,460 5,455 
Series 2006-4 Class M1, 0.5468% 12/20/54 (h) 1,198 1,197 
Series 2007-1:   
Class 1M1, 0.5068% 12/20/54 (h) 1,611 1,609 
Class 2M1, 0.7068% 12/20/54(h) 2,067 2,065 
Series 2007-2 Class 2C1, 1.0573% 12/17/54 (h) 2,864 2,860 
Granite Mortgages PLC floater Series 2003-3 Class 1C, 2.7672% 1/20/44 (h) 472 471 
JPMorgan Mortgage Trust sequential payer Series 2006-A5 Class 3A5, 2.5863% 8/25/36 (h) 1,125 952 
MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 0.407% 5/25/47 (h) 394 363 
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.391% 2/25/37 (h) 824 738 
Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 0.487% 7/25/35 (h) 1,013 960 
RESI Finance LP/RESI Finance DE Corp. floater Series 2003-B:   
Class B5, 2.5469% 6/10/35 (g)(h) 382 347 
Class B6, 3.0469% 6/10/35 (g)(h) 81 74 
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 1.3234% 7/20/34 (h) 25 25 
Structured Asset Securities Corp. Series 2003-15A Class 4A, 2.5832% 4/25/33 (h) 99 98 
TBW Mortgage-Backed pass-thru certificates floater Series 2006-4 Class A3, 0.397% 9/25/36 (h) 1,522 1,449 
Thornburg Mortgage Securities Trust floater Series 2003-4 Class A1, 0.837% 9/25/43 (h) 2,018 1,949 
TOTAL PRIVATE SPONSOR  24,649 
U.S. Government Agency - 0.0%   
Ginnie Mae guaranteed REMIC pass-thru certificates Series 2015-H21 Class JA, 2.5% 6/20/65 (k) 13,193 13,405 
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS   
(Cost $28,535)  38,054 
Commercial Mortgage Securities - 2.0%   
Asset Securitization Corp. Series 1997-D5 Class PS1, 1.4559% 2/14/43 (h)(l) 283 3 
Banc of America Commercial Mortgage Trust:   
sequential payer:   
Series 2006-3 Class A4, 5.889% 7/10/44 (h) 18,263 18,371 
Series 2006-6 Class A3, 5.369% 10/10/45 2,074 2,081 
Series 2007-2 Class A4, 5.6199% 4/10/49 (h) 25,995 26,823 
Series 2007-3 Class A4, 5.5616% 6/10/49 (h) 2,548 2,640 
Banc of America Commercial Mortgage, Inc. sequential payer Series 2001-1 Class A4, 5.451% 1/15/49 4,152 4,292 
Barclays Commercial Mortgage Securities LLC floater Series 2015-RRI:   
Class B, 1.7958% 5/15/32 (g)(h) 7,236 7,166 
Class C, 2.2458% 5/15/32 (g)(h) 6,417 6,331 
Class D, 3.0958% 5/15/32 (g)(h) 3,365 3,320 
Bayview Commercial Asset Trust:   
floater:   
Series 2003-2 Class M1, 1.496% 12/25/33 (g)(h) 35 32 
Series 2005-3A:   
Class A2, 0.621% 11/25/35 (g)(h) 318 283 
Class M1, 0.661% 11/25/35 (g)(h) 42 36 
Class M2, 0.711% 11/25/35 (g)(h) 53 43 
Class M3, 0.731% 11/25/35 (g)(h) 47 37 
Class M4, 0.821% 11/25/35 (g)(h) 59 45 
Series 2005-4A:   
Class A2, 0.611% 1/25/36 (g)(h) 828 733 
Class B1, 1.621% 1/25/36 (g)(h) 35 22 
Class M1, 0.671% 1/25/36 (g)(h) 267 217 
Class M2, 0.691% 1/25/36 (g)(h) 80 63 
Class M3, 0.721% 1/25/36 (g)(h) 117 88 
Class M4, 0.831% 1/25/36 (g)(h) 65 48 
Class M5, 0.871% 1/25/36 (g)(h) 65 48 
Class M6, 0.921% 1/25/36 (g)(h) 69 46 
Series 2006-1:   
Class A2, 0.581% 4/25/36 (g)(h) 133 115 
Class M1, 0.601% 4/25/36 (g)(h) 47 38 
Class M2, 0.621% 4/25/36 (g)(h) 50 40 
Class M3, 0.641% 4/25/36 (g)(h) 43 34 
Class M4, 0.741% 4/25/36 (g)(h) 24 19 
Class M5, 0.781% 4/25/36 (g)(h) 24 17 
Class M6, 0.861% 4/25/36 (g)(h) 47 33 
Series 2006-2A:   
Class M1, 0.531% 7/25/36 (g)(h) 116 92 
Class M2, 0.551% 7/25/36 (g)(h) 82 65 
Class M3, 0.571% 7/25/36 (g)(h) 68 54 
Class M4, 0.641% 7/25/36 (g)(h) 46 36 
Class M5, 0.691% 7/25/36 (g)(h) 57 42 
Series 2006-3A Class M4, 0.651% 10/25/36 (g)(h) 35 3 
Series 2006-4A:   
Class A2, 0.491% 12/25/36 (g)(h) 2,496 2,108 
Class M1, 0.511% 12/25/36 (g)(h) 166 129 
Class M2, 0.531% 12/25/36 (g)(h) 111 72 
Class M3, 0.561% 12/25/36 (g)(h) 111 66 
Series 2007-1 Class A2, 0.491% 3/25/37 (g)(h) 500 418 
Series 2007-2A:   
Class A1, 0.491% 7/25/37 (g)(h) 517 445 
Class A2, 0.541% 7/25/37 (g)(h) 485 388 
Class M1, 0.591% 7/25/37 (g)(h) 170 130 
Class M2, 0.631% 7/25/37 (g)(h) 93 66 
Class M3, 0.711% 7/25/37 (g)(h) 72 44 
Series 2007-3:   
Class A2, 0.511% 7/25/37 (g)(h) 510 414 
Class M1, 0.531% 7/25/37 (g)(h) 102 77 
Class M2, 0.561% 7/25/37 (g)(h) 108 78 
Class M3, 0.591% 7/25/37 (g)(h) 170 84 
Class M4, 0.721% 7/25/37 (g)(h) 268 88 
Class M5, 0.821% 7/25/37 (g)(h) 130 20 
Series 2007-4A Class M1, 1.147% 9/25/37 (g)(h) 181 38 
Series 2004-1, Class IO, 1.25% 4/25/34 (g)(l) 1,120 42 
Series 2006-3A, Class IO, 0% 10/25/36 (g)(h)(l) 15,859 0 
Bear Stearns Commercial Mortgage Securities Trust:   
sequential payer:   
Series 2007-PW16 Class A4, 5.7049% 6/11/40 (h) 623 646 
Series 2007-PW18 Class A4, 5.7% 6/11/50 5,724 5,997 
Series 2006-T22 Class A4, 5.6179% 4/12/38 (h) 79 79 
Series 2007-PW18 Class X2, 0.3004% 6/11/50 (g)(h)(l) 60,489 0 
C-BASS Trust floater Series 2006-SC1 Class A, 0.491% 5/25/36 (g)(h) 239 230 
CDGJ Commercial Mortgage Trust Series 2014-BXCH Class DPA, 3.1958% 12/15/27 (g)(h) 2,953 2,930 
Citigroup Commercial Mortgage Trust Series 2007-C6 Class A4, 5.7114% 12/10/49 (h) 4,371 4,569 
Citigroup/Deutsche Bank Commercial Mortgage Trust sequential payer:   
Series 2006-CD3 Class A5, 5.617% 10/15/48 1,524 1,547 
Series 2007-CD4 Class A4, 5.322% 12/11/49 11,593 11,848 
COMM Mortgage Trust pass-thru certificates floater Series 2005-F10A Class J, 1.047% 4/15/17 (g)(h) 138 139 
Credit Suisse Commercial Mortgage Trust:   
sequential payer:   
Series 2006-C4 Class A3, 5.467% 9/15/39 1,260 1,281 
Series 2007-C2 Class A2, 5.448% 1/15/49 (h) 25 25 
Series 2007-C3 Class A4, 5.699% 6/15/39 (h) 462 480 
Series 2007-C5 Class A4, 5.695% 9/15/40 (h) 1,143 1,187 
Credit Suisse First Boston Mortgage Securities Corp. Series 2001-CKN5 Class AX, 0% 9/15/34 (g)(h)(l) 1 0 
CSMC Series 2015-TOWN:   
Class B, 2.097% 3/15/17 (g)(h) 1,574 1,564 
Class C, 2.4458% 3/15/17 (g)(h) 1,534 1,523 
Class D, 3.397% 3/15/17 (g)(h) 2,321 2,299 
Extended Stay America Trust floater Series 2013-ESFL:   
Class BFL, 1.293% 12/5/31 (g)(h) 977 977 
Class CFL, 1.693% 12/5/31 (g)(h) 693 693 
GAHR Commercial Mortgage Trust Series 2015-NRF:   
Class BFX, 3.4949% 12/15/19 (g)(h) 7,930 7,972 
Class CFX, 3.4949% 12/15/19 (g)(h) 6,656 6,581 
Class DFX, 3.4949% 12/15/19 (g)(h) 5,641 5,467 
GE Capital Commercial Mortgage Corp. sequential payer Series 2007-C1 Class A4, 5.543% 12/10/49 21,243 21,941 
Greenwich Capital Commercial Funding Corp.:   
sequential payer Series 2007-GG9 Class A4, 5.444% 3/10/39 28,625 29,511 
Series 2006-GG7 Class A4, 5.8193% 7/10/38 (h) 9,824 9,891 
GS Mortgage Securities Trust sequential payer Series 2006-GG8:   
Class A1A, 5.547% 11/10/39 2,385 2,435 
Class A4, 5.56% 11/10/39 14,041 14,093 
Hilton U.S.A. Trust Series 2013-HLT:   
Class CFX, 3.7141% 11/5/30 (g) 1,380 1,374 
Class DFX, 4.4065% 11/5/30 (g) 12,899 12,899 
JPMorgan Chase Commercial Mortgage Securities Trust:   
floater:   
Series 2006-FL2A:   
Class E, 0.477% 11/15/18 (g)(h) 131 128 
Class F, 0.527% 11/15/18 (g)(h) 383 368 
Class G, 0.557% 11/15/18 (g)(h) 332 318 
Class H, 0.697% 11/15/18 (g)(h) 255 244 
Series 2014-BXH:   
Class C, 1.847% 4/15/27 (g)(h) 2,117 2,115 
Class D, 2.447% 4/15/27 (g)(h) 4,512 4,502 
sequential payer:   
Series 2006-CB16 Class A4, 5.552% 5/12/45 2,182 2,214 
Series 2006-CB17 Class A4, 5.429% 12/12/43 8,557 8,734 
Series 2006-LDP8:   
Class A1A, 5.397% 5/15/45 2,469 2,509 
Class A4, 5.399% 5/15/45 750 755 
Series 2006-LDP9 Class A3, 5.336% 5/15/47 10,732 10,975 
Series 2007-CB18 Class A4, 5.44% 6/12/47 4,014 4,131 
Series 2007-CB19 Class A4, 5.695% 2/12/49 (h) 4,621 4,802 
Series 2007-LD11 Class A4, 5.7741% 6/15/49 (h) 34,884 35,887 
Series 2007-LDPX Class A3, 5.42% 1/15/49 17,127 17,618 
Series 2006-LDP7 Class A4, 6.1047% 4/15/45 (h) 2,868 2,884 
Series 2007-LDP10 Class CS, 5.466% 1/15/49 (h) 72 0 
LB Commercial Conduit Mortgage Trust sequential payer Series 2007-C3 Class A4, 6.0966% 7/15/44 (h) 3,230 3,384 
LB-UBS Commercial Mortgage Trust:   
sequential payer:   
Series 2006-C6 Class A4, 5.372% 9/15/39 586 597 
Series 2006-C7 Class A2, 5.3% 11/15/38 404 405 
Series 2007-C1 Class A4, 5.424% 2/15/40 3,861 3,965 
Series 2007-C2 Class A3, 5.43% 2/15/40 2,375 2,454 
Series 2007-C6 Class A4, 5.858% 7/15/40 (h) 1,287 1,329 
Series 2007-C7 Class A3, 5.866% 9/15/45 2,911 3,091 
Merrill Lynch Mortgage Trust:   
Series 2005-LC1 Class F, 5.414% 1/12/44 (g)(h) 1,143 1,140 
Series 2008-C1 Class A4, 5.69% 2/12/51 1,997 2,111 
Merrill Lynch-CFC Commercial Mortgage Trust:   
sequential payer:   
Series 2006-4 Class ASB, 5.133% 12/12/49 (h) 19 19 
Series 2007-5 Class A4, 5.378% 8/12/48 7,427 7,628 
Series 2007-6 Class A4, 5.485% 3/12/51 (h) 10,897 11,274 
Series 2007-7 Class A4, 5.7427% 6/12/50 (h) 4,263 4,451 
Series 2007-6 Class B, 5.635% 3/12/51 (h) 1,314 411 
Series 2007-8 Class A3, 5.8772% 8/12/49 (h) 1,133 1,187 
Morgan Stanley Capital I Trust:   
floater:   
Series 2006-XLF Class C, 1.397% 7/15/19 (g)(h) 393 393 
Series 2007-XLFA:   
Class D, 0.3858% 10/15/20 (g)(h) 306 305 
Class E, 0.4458% 10/15/20 (g)(h) 916 914 
Class F, 0.4958% 10/15/20 (g)(h) 550 549 
Class G, 0.5358% 10/15/20 (g)(h) 680 678 
Class H, 0.6258% 10/15/20 (g)(h) 428 424 
Class J, 0.7758% 10/15/20 (g)(h) 247 241 
sequential payer:   
Series 2007-HQ11 Class A31, 5.439% 2/12/44 72 72 
Series 2007-IQ15 Class A4, 5.9171% 6/11/49 (h) 25,999 27,172 
Series 2006-IQ11 Class A4, 5.7565% 10/15/42 (h) 120 120 
Series 2007-IQ14:   
Class A4, 5.692% 4/15/49 10,971 11,376 
Class AAB, 5.654% 4/15/49 975 986 
Salomon Brothers Mortgage Securities VII, Inc. Series 2006-C2 Class H, 6.308% 7/18/33 (g) 169 52 
Wachovia Bank Commercial Mortgage Trust:   
floater Series 2006-WL7A Class J, 0.7993% 9/15/21 (g)(h) 323 307 
sequential payer:   
Series 2007-C30 Class A5, 5.342% 12/15/43 37,013 38,141 
Series 2007-C31:   
Class A4, 5.509% 4/15/47 46,948 48,829 
Class A5, 5.5% 4/15/47 5,339 5,528 
Series 2007-C32 Class A3, 5.7127% 6/15/49 (h) 4,600 4,747 
Series 2007-C33:   
Class A4, 5.9524% 2/15/51 (h) 27,494 28,544 
Class A5, 5.9524% 2/15/51 (h) 870 923 
Series 2005-C22 Class B, 5.3981% 12/15/44 (h) 2,914 2,908 
Series 2006-C27 Class A1A, 5.749% 7/15/45 (h) 11,941 12,072 
Series 2007-C30:   
Class C, 5.483% 12/15/43 (h) 3,942 4,035 
Class D, 5.513% 12/15/43 (h) 2,102 2,097 
TOTAL COMMERCIAL MORTGAGE SECURITIES   
(Cost $563,145)  561,284 
Municipal Securities - 1.4%   
California Gen. Oblig.:   
Series 2009, 7.35% 11/1/39 $1,255 $1,790 
7.3% 10/1/39 18,960 26,846 
7.5% 4/1/34 8,780 12,450 
7.55% 4/1/39 21,130 31,207 
7.6% 11/1/40 32,050 48,174 
7.625% 3/1/40 2,920 4,301 
Chicago Gen. Oblig.:   
(Taxable Proj.):   
Series 2008 B, 5.63% 1/1/22 1,360 1,346 
Series 2010 C1, 7.781% 1/1/35 13,980 15,469 
Series 2012 B, 5.432% 1/1/42 6,845 6,042 
6.05% 1/1/29 475 456 
6.314% 1/1/44 14,335 13,926 
Illinois Fin. Auth. Rev. Series 2013 A, 4.545% 10/1/18 38,500 39,279 
Illinois Gen. Oblig.:   
Series 2003:   
4.35% 6/1/18 4,370 4,451 
4.95% 6/1/23 8,975 9,023 
5.1% 6/1/33 109,615 103,970 
Series 2010 5, 6.2% 7/1/21 4,120 4,434 
Series 2010-1, 6.63% 2/1/35 17,960 18,587 
Series 2010-3:   
5.547% 4/1/19 185 196 
6.725% 4/1/35 10,580 11,118 
7.35% 7/1/35 5,140 5,637 
Series 2011:   
4.961% 3/1/16 580 586 
5.365% 3/1/17 215 222 
5.665% 3/1/18 9,625 10,117 
5.877% 3/1/19 26,600 28,532 
Series 2013:   
1.28% 12/1/15 4,975 4,975 
4% 12/1/20 7,040 7,040 
TOTAL MUNICIPAL SECURITIES   
(Cost $405,178)  410,174 
Foreign Government and Government Agency Obligations - 0.0%   
Brazilian Federative Republic 4.875% 1/22/21 $3,000 $2,904 
Italian Republic 5.375% 6/12/17 4,630 4,894 
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS   
(Cost $7,926)  7,798 
Bank Notes - 0.4%   
Bank of America NA:   
1.65% 3/26/18 $11,537 $11,520 
5.3% 3/15/17 16,651 17,410 
Capital One NA 1.65% 2/5/18 8,000 7,935 
Discover Bank:   
(Delaware) 3.2% 8/9/21 9,774 9,682 
3.1% 6/4/20 11,505 11,626 
8.7% 11/18/19 745 883 
Huntington National Bank 1.3% 11/20/16 4,131 4,131 
Marshall & Ilsley Bank 5% 1/17/17 10,492 10,854 
Regions Bank 7.5% 5/15/18 13,814 15,436 
Wachovia Bank NA 6% 11/15/17 8,083 8,767 
TOTAL BANK NOTES   
(Cost $96,698)  98,244 
Preferred Securities - 0.0%   
FINANCIALS - 0.0%   
Diversified Financial Services - 0.0%   
MUFG Capital Finance 1 Ltd. 6.346%(h)(m) $ $ 
(Cost $1,362) 1,204 1,260 
 Shares Value (000s) 
Fixed-Income Funds - 7.8%   
Fidelity High Income Central Fund 2 (n) 6,372,306 668,646 
Fidelity Mortgage Backed Securities Central Fund (n) 14,314,613 1,560,007 
TOTAL FIXED-INCOME FUNDS   
(Cost $2,153,741)  2,228,653 
Money Market Funds - 3.0%   
Fidelity Cash Central Fund, 0.18% (o) 739,724,268 739,724 
Fidelity Securities Lending Cash Central Fund, 0.22% (o)(p) 116,362,300 116,362 
TOTAL MONEY MARKET FUNDS   
(Cost $856,086)  856,086 
TOTAL INVESTMENT PORTFOLIO - 100.2%   
(Cost $25,140,127)  28,497,604 
NET OTHER ASSETS (LIABILITIES) - (0.2)%  (57,443) 
NET ASSETS - 100%  $28,440,161 

TBA Sale Commitments

TBA Sale Commitments   
 Principal Amount (000s) Value (000s) 
Fannie Mae   
3% 12/1/45 $(3,000) $(3,013) 
3.5% 12/1/45 (2,400) (2,486) 
3.5% 12/1/45 (2,400) (2,486) 
4.5% 12/1/45 (900) (973) 
TOTAL TBA SALE COMMITMENTS   
(Proceeds $8,940)  $(8,958) 

Futures Contracts    
 Expiration Date Underlying Face Amount at Value (000s) Unrealized Appreciation/(Depreciation) (000s) 
Purchased    
Equity Index Contracts    
783 CME E-mini S&P 500 Index Contracts (United States) Dec. 2015 81,424 $4,052 

The face value of futures purchased as a percentage of Net Assets is 0.3%

Swaps

Underlying Reference Rating(1) Expiration Date Clearinghouse/Counterparty Fixed Payment Received/(Paid) Notional Amount (000s)(2) Value (000s)(1) Upfront Premium Received/(Paid) (000s) Unrealized Appreciation/(Depreciation) (000s) 
Credit Default Swaps         
Sell Protection         
Ameriquest Mortgage Securities Inc Series 2004-R11 Class M9 C Dec. 2034 Bank of America 4.25% USD $115 $(110) $0 $(110) 

 (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.


Legend

 (a) Non-income producing

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

 (c) Investment is owned by an entity that is treated as a corporation for U.S. tax purposes and is wholly-owned by the Fund.

 (d) Restricted securities - 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 $21,007,000 or 0.1% of net assets.

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

 (f) Affiliated company

 (g) 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 $665,075,000 or 2.3% of net assets.

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

 (i) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $3,810,000.

 (j) Security or a portion of the security has been segregated as collateral for open over-the-counter (OTC) swaps. At period end, the value of securities pledged amounted to $175,000.

 (k) 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.

 (l) Security represents right to receive monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period.

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

 (n) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-Q and is available upon request or at the SEC's website at www.sec.gov. An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.

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

 (p) Includes investment made with cash collateral received from securities on loan.


Additional information on each restricted holding is as follows:

Security Acquisition Date Acquisition Cost (000s) 
Legend Pictures LLC 9/23/10 $6,428 
MongoDB, Inc. Series F, 8.00% 10/2/13 $4,704 

Affiliated Central Funds

Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:

Fund Income earned 
 (Amounts in thousands) 
Fidelity Cash Central Fund $287 
Fidelity High Income Central Fund 2 10,962 
Fidelity Mortgage Backed Securities Central Fund 9,177 
Fidelity Securities Lending Cash Central Fund 321 
Total $20,747 

Additional information regarding the Fund's fiscal year to date purchases and sales, including the ownership percentage, of the non Money Market Central Funds is as follows:

Fund (Amounts in thousands) Value, beginning of period Purchases Sales Proceeds Value, end of period % ownership, end of period 
Fidelity High Income Central Fund 2 $699,679 $-- $-- $668,646 87.6% 
Fidelity Mortgage Backed Securities Central Fund 1,563,842 149,727 150,041 1,560,007 28.2% 
Total $2,263,521 $149,727 $150,041 $2,228,653  

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 (Amounts in thousands) Value, beginning of period Purchases Sales Proceeds Dividend Income Value, end of period 
Opower, Inc. $25,294 $181 $-- $-- $26,397 
Total $25,294 $181 $-- $-- $26,397 

Investment Valuation

The following is a summary of the inputs used, as of November 30, 2015, 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. Additional information on valuation inputs, and their aggregation into the levels used below, is provided later in this section.

 Valuation Inputs at Reporting Date: 
Description Total Level 1 Level 2 Level 3 
(Amounts in thousands)     
Investments in Securities:     
Equities:     
Consumer Discretionary $2,731,197 $2,712,378 $-- $18,819 
Consumer Staples 1,758,515 1,740,857 17,658 -- 
Energy 1,283,723 1,272,576 11,147 -- 
Financials 2,857,671 2,857,671 -- -- 
Health Care 2,727,987 2,727,987 -- -- 
Industrials 1,645,789 1,645,789 -- -- 
Information Technology 3,804,362 3,774,084 28,090 2,188 
Materials 758,103 758,103 -- -- 
Telecommunication Services 408,946 408,946 -- -- 
Utilities 513,280 513,280 -- -- 
Corporate Bonds 4,056,197 -- 4,056,197 -- 
U.S. Government and Government Agency Obligations 1,338,226 -- 1,338,226 -- 
U.S. Government Agency - Mortgage Securities 314,228 -- 314,228 -- 
Asset-Backed Securities 97,827 -- 95,489 2,338 
Collateralized Mortgage Obligations 38,054 -- 38,054 -- 
Commercial Mortgage Securities 561,284 -- 561,229 55 
Municipal Securities 410,174 -- 410,174 -- 
Foreign Government and Government Agency Obligations 7,798 -- 7,798 -- 
Bank Notes 98,244 -- 98,244 -- 
Preferred Securities 1,260 -- 1,260 -- 
Fixed-Income Funds 2,228,653 2,228,653 -- -- 
Money Market Funds 856,086 856,086 -- -- 
Total Investments in Securities: $28,497,604 $21,496,410 $6,977,794 $23,400 
Derivative Instruments:     
Assets     
Futures Contracts $4,052 $4,052 $-- $-- 
Total Assets $4,052 $4,052 $-- $-- 
Liabilities     
Swaps $(110) $-- $(110) $-- 
Total Liabilities $(110) $-- $(110) $-- 
Total Derivative Instruments: $3,942 $4,052 $(110) $-- 
Other Financial Instruments:     
TBA Sale Commitments $(8,958) $-- $(8,958) $-- 
Total Other Financial Instruments: $(8,958) $-- $(8,958) $-- 

Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Security transactions are accounted for as of trade date. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fidelity Management & Research Company (FMR) Fair Value Committee (the Committee). In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund’s valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee. The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels: Level 1 - quoted prices in active markets for identical investments: Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds etc.): Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available). Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the Fund's investments by major category are as follows:

Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. Utilizing these techniques may result in transfers between Level 1 and Level 2. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Corporate bonds, bank notes, foreign government and government agency obligations, municipal securities, preferred securities and U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker supplied prices. Asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities are valued by pricing vendors who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker supplied prices.

Swaps are marked-to-market daily based on valuations from third party pricing vendors, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities.

When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy.

Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day and are categorized as Level 1 in the hierarchy.

Other Information

Income Tax Information

At November 30, 2015, the cost of investment securities for income tax purposes was $25,182,720,000. Net unrealized appreciation aggregated $3,314,884,000, of which $4,237,374,000 related to appreciated investment securities and $922,490,000 related to depreciated investment securities.

For additional information on the Fund's significant accounting policies, please refer to the Fund's most recent semiannual or annual shareholder report.





The fund's schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please see the fund's most recent prospectus and annual report.

Third party trademarks and service marks are the property of their respective owners. All other trademarks and service marks are the property of FMR LLC or an affiliate.

Quarterly Holdings Report
for

Fidelity® Puritan® Fund

November 30, 2015







PUR-QTLY-0116
1.809105.111





Investments November 30, 2015 (Unaudited)

Showing Percentage of Net Assets

Common Stocks - 65.0%   
 Shares Value (000s) 
CONSUMER DISCRETIONARY - 11.8%   
Auto Components - 0.1%   
Chassix Holdings, Inc. 18,330 $423 
Delphi Automotive PLC 397,193 34,905 
  35,328 
Automobiles - 0.5%   
Brilliance China Automotive Holdings Ltd. 10,096,000 12,839 
Chongqing Changan Automobile Co. Ltd. (B Shares) 6,710,778 12,983 
General Motors Co. 945,514 34,228 
General Motors Co.:   
warrants 7/10/16 (a) 8,394 221 
warrants 7/10/19 (a) 8,394 152 
Tesla Motors, Inc. (a) 224,500 51,693 
  112,116 
Diversified Consumer Services - 0.0%   
Houghton Mifflin Harcourt Co. warrants 6/22/19 (a)(b) 1,945 19 
Hotels, Restaurants & Leisure - 2.2%   
ARAMARK Holdings Corp. 150,000 4,893 
Domino's Pizza, Inc. 284,200 30,543 
Extended Stay America, Inc. unit 150,000 2,567 
Hilton Worldwide Holdings, Inc. 1,318,800 30,623 
McDonald's Corp. 858,900 98,052 
Starbucks Corp. 3,435,600 210,911 
Station Holdco LLC (a)(b)(c) 1,194,419 4,157 
Station Holdco LLC (a)(b)(d) 9,088 32 
Station Holdco LLC:   
unit (a)(b)(d) 2,660 2 
warrants 6/15/18 (a)(b)(c) 75,658 43 
Vail Resorts, Inc. 957,527 115,478 
Wyndham Worldwide Corp. 922,800 70,059 
  567,360 
Household Durables - 0.2%   
PulteGroup, Inc. 3,032,200 59,067 
Internet & Catalog Retail - 1.7%   
Amazon.com, Inc. (a) 408,400 271,504 
Expedia, Inc. 162,600 20,018 
Netflix, Inc. (a) 585,600 72,222 
Priceline Group, Inc. (a) 25,800 32,220 
Spotify Technology SA (a)(b) 15,262 24,450 
  420,414 
Media - 3.8%   
AMC Networks, Inc. Class A (a) 53,800 4,374 
Charter Communications, Inc. Class A (a)(e) 292,000 54,709 
Comcast Corp. Class A (special) (non-vtg.) (e) 2,605,500 159,040 
Cumulus Media, Inc. Class A (a) 398,000 158 
Legend Pictures LLC (a)(b)(c) 49,141 107,897 
Lions Gate Entertainment Corp. (e) 1,870,900 63,498 
Live Nation Entertainment, Inc. (a) 1,624,600 41,249 
Publicis Groupe SA 36,972 2,332 
Starz Series A (a) 1,043,000 36,797 
The Walt Disney Co. 1,617,490 183,537 
Time Warner Cable, Inc. 350,900 64,836 
Time Warner, Inc. 836,400 58,531 
Tribune Media Co. Class A 13,773 537 
Tribune Publishing Co. 3,443 35 
Vertis Holdings, Inc. (a) 1,934 0 
Vice Holding, Inc. 88,730 182,619 
Vivendi SA 390,024 8,193 
  968,342 
Specialty Retail - 1.7%   
Home Depot, Inc. 2,052,200 274,749 
L Brands, Inc. 674,000 64,306 
TJX Companies, Inc. 947,200 66,872 
Ulta Salon, Cosmetics & Fragrance, Inc. (a) 161,700 27,004 
  432,931 
Textiles, Apparel & Luxury Goods - 1.6%   
Brunello Cucinelli SpA (e) 1,407,200 24,517 
Christian Dior SA (e) 202,800 37,111 
Hermes International SCA 81,100 28,555 
lululemon athletica, Inc. (a) 522,300 24,976 
Luxottica Group SpA 81,800 5,471 
Michael Kors Holdings Ltd. (a) 129,061 5,552 
NIKE, Inc. Class B 1,403,100 185,602 
Ralph Lauren Corp. 226,500 28,134 
Ted Baker PLC 302,900 14,954 
Tory Burch LLC (b)(c) 324,840 18,629 
Tory Burch LLC Class A unit (b)(c) 702,741 36,936 
  410,437 
TOTAL CONSUMER DISCRETIONARY  3,006,014 
CONSUMER STAPLES - 5.0%   
Beverages - 1.8%   
Anheuser-Busch InBev SA NV ADR 287,800 36,971 
Constellation Brands, Inc. Class A (sub. vtg.) 1,088,100 152,617 
Kweichow Moutai Co. Ltd. 546,469 18,304 
Molson Coors Brewing Co. Class B 484,800 44,616 
Monster Beverage Corp. 523,100 80,876 
The Coca-Cola Co. 3,123,000 133,102 
  466,486 
Food & Staples Retailing - 1.3%   
Costco Wholesale Corp. 578,500 93,381 
CVS Health Corp. 1,748,800 164,545 
Walgreens Boots Alliance, Inc. 853,100 71,686 
  329,612 
Food Products - 0.7%   
Keurig Green Mountain, Inc. 300,400 15,741 
Mead Johnson Nutrition Co. Class A 234,000 18,858 
Mondelez International, Inc. 2,533,100 110,595 
The Kraft Heinz Co. 430,200 31,701 
WhiteWave Foods Co. (a) 90,000 3,657 
  180,552 
Household Products - 0.1%   
Kimberly-Clark Corp. 255,800 30,479 
Personal Products - 0.4%   
Estee Lauder Companies, Inc. Class A 1,178,400 99,127 
L'Oreal SA 10,600 1,877 
  101,004 
Tobacco - 0.7%   
Reynolds American, Inc. 3,758,084 173,811 
TOTAL CONSUMER STAPLES  1,281,944 
ENERGY - 2.9%   
Energy Equipment & Services - 0.8%   
Aspen Aerogels, Inc. (a) 973,128 6,325 
Baker Hughes, Inc. 300,700 16,259 
Cameron International Corp. (a) 389,500 26,599 
Schlumberger Ltd. 1,870,600 144,317 
  193,500 
Oil, Gas & Consumable Fuels - 2.1%   
Anadarko Petroleum Corp. 14,400 863 
Apache Corp. 748,600 36,816 
Cabot Oil & Gas Corp. 1,397,900 26,322 
Chevron Corp. 1,768,300 161,481 
Cimarex Energy Co. 307,400 36,587 
Columbia Pipeline Group, Inc. 37,320 715 
EQT Corp. 217,900 12,468 
Golar LNG Ltd. 545,000 14,906 
Imperial Oil Ltd. 1,965,800 63,856 
Kinder Morgan, Inc. 1,707,000 40,234 
Memorial Resource Development Corp. (a) 1,702,000 27,726 
Noble Energy, Inc. 724,499 26,567 
Suncor Energy, Inc. 2,987,300 82,542 
The Williams Companies, Inc. 377,600 13,805 
  544,888 
TOTAL ENERGY  738,388 
FINANCIALS - 11.5%   
Banks - 6.0%   
Bank of America Corp. 12,866,300 224,260 
CIT Group, Inc. 549,100 23,589 
Citigroup, Inc. 5,010,140 270,998 
First Republic Bank 50,000 3,443 
Hanhzhou Hikvision Digital Technology Co. Ltd. ELS (BNP Paribas Arbitrage Warrant Program) warrants 10/21/16 (a)(f) 5,195,300 27,275 
JPMorgan Chase & Co. 4,775,723 318,445 
M&T Bank Corp. 457,400 57,326 
Prosperity Bancshares, Inc. 797,927 44,213 
Regions Financial Corp. 5,303,800 53,781 
SunTrust Banks, Inc. 2,158,500 93,722 
TCF Financial Corp. 258,400 3,959 
U.S. Bancorp 3,095,400 135,857 
Wells Fargo & Co. 5,195,940 286,296 
  1,543,164 
Capital Markets - 1.1%   
E*TRADE Financial Corp. (a) 2,255,500 68,635 
Goldman Sachs Group, Inc. 413,700 78,611 
Invesco Ltd. 1,603,600 54,025 
Motors Liquidation Co. GUC Trust (a) 28,150 372 
PJT Partners, Inc. (a) 60,505 1,418 
The Blackstone Group LP 2,406,829 75,165 
  278,226 
Consumer Finance - 0.2%   
Capital One Financial Corp. 536,000 42,081 
LendingClub Corp. (e) 810,600 9,743 
  51,824 
Diversified Financial Services - 1.2%   
Berkshire Hathaway, Inc. Class B (a) 1,385,900 185,835 
McGraw Hill Financial, Inc. 625,900 60,381 
Moody's Corp. 482,800 49,786 
  296,002 
Insurance - 1.5%   
ACE Ltd. 1,376,500 158,091 
MetLife, Inc. 1,852,600 94,649 
The Chubb Corp. 477,400 62,315 
The Travelers Companies, Inc. 571,000 65,419 
  380,474 
Real Estate Investment Trusts - 1.4%   
American Tower Corp. 1,599,700 158,978 
Boston Properties, Inc. 283,400 35,422 
Public Storage 450,600 108,171 
Simon Property Group, Inc. 329,200 61,310 
  363,881 
Real Estate Management & Development - 0.1%   
CBRE Group, Inc. (a) 961,800 36,039 
TOTAL FINANCIALS  2,949,610 
HEALTH CARE - 10.9%   
Biotechnology - 3.7%   
AbbVie, Inc. 2,237,100 130,087 
ACADIA Pharmaceuticals, Inc. (a) 1,662,304 63,084 
Acceleron Pharma, Inc. (a) 130,400 5,590 
Alexion Pharmaceuticals, Inc. (a) 395,600 70,591 
Amgen, Inc. 1,805,200 290,818 
Asterias Biotherapeutics, Inc. (a)(e) 130,874 628 
Biogen, Inc. (a) 66,300 19,019 
BioMarin Pharmaceutical, Inc. (a) 173,900 16,585 
Celgene Corp. (a) 497,000 54,397 
Genmab A/S (a) 466,200 60,082 
Geron Corp. (a)(e) 3,139,900 16,013 
Gilead Sciences, Inc. 657,200 69,637 
Grifols SA ADR 45,780 1,591 
Macrogenics, Inc. (a) 226,200 7,822 
Neurocrine Biosciences, Inc. (a) 579,100 31,486 
Puma Biotechnology, Inc. (a) 158,500 11,935 
Spark Therapeutics, Inc. 178,800 10,333 
Vertex Pharmaceuticals, Inc. (a) 654,300 84,640 
XOMA Corp. (a)(e) 1,530,200 2,035 
  946,373 
Health Care Equipment & Supplies - 2.4%   
Boston Scientific Corp. (a) 7,346,200 134,289 
Corindus Vascular Robotics, Inc. (e)(g) 1,315,800 4,211 
Corindus Vascular Robotics, Inc. (a)(b)(g) 5,000,000 16,000 
Medtronic PLC 4,236,286 319,162 
Nevro Corp. 331,353 20,007 
St. Jude Medical, Inc. 951,400 60,033 
Zimmer Biomet Holdings, Inc. 564,000 56,970 
  610,672 
Health Care Providers & Services - 0.6%   
Cigna Corp. 195,400 26,375 
HCA Holdings, Inc. (a) 67,000 4,560 
Legend Acquisition, Inc. (a) 2,509 38 
Legend Acquisition, Inc.:   
Class A warrants (a) 17,259 0 
Class B warrants (a) 22,759 0 
McKesson Corp. 628,800 119,063 
  150,036 
Health Care Technology - 0.0%   
CareView Communications, Inc. (a)(e)(g) 10,425,300 2,814 
Life Sciences Tools & Services - 0.2%   
Agilent Technologies, Inc. 829,655 34,696 
Illumina, Inc. (a) 1,862 342 
  35,038 
Pharmaceuticals - 4.0%   
Allergan PLC (a) 1,109,589 348,289 
Bristol-Myers Squibb Co. 1,879,700 125,959 
Endo Health Solutions, Inc. (a) 792,100 48,698 
Jazz Pharmaceuticals PLC (a) 114,600 16,799 
Johnson & Johnson 740,900 75,009 
Mallinckrodt PLC (a) 8,900 604 
Merck & Co., Inc. 317,300 16,820 
Pfizer, Inc. 4,234,400 138,761 
Prestige Brands Holdings, Inc. (a) 581,402 29,588 
Shire PLC sponsored ADR 269,100 56,070 
Teva Pharmaceutical Industries Ltd. sponsored ADR 1,721,700 108,347 
The Medicines Company (a) 618,500 25,983 
TherapeuticsMD, Inc. (a) 5,042,814 37,872 
  1,028,799 
TOTAL HEALTH CARE  2,773,732 
INDUSTRIALS - 4.8%   
Aerospace & Defense - 2.1%   
BAE Systems PLC 3,064,300 23,834 
BWX Technologies, Inc. 1,066,100 32,463 
Esterline Technologies Corp. (a) 28,400 2,700 
General Dynamics Corp. 821,100 120,258 
Honeywell International, Inc. 268,100 27,869 
Orbital ATK, Inc. 662,215 56,891 
Raytheon Co. 251,100 31,144 
Rockwell Collins, Inc. 979,900 90,817 
The Boeing Co. 543,900 79,110 
TransDigm Group, Inc. (a) 257,600 60,441 
  525,527 
Air Freight & Logistics - 0.4%   
FedEx Corp. 623,200 98,802 
Building Products - 0.2%   
Lennox International, Inc. 333,400 45,316 
Masonite International Corp. (a) 5,358 353 
Masonite International Corp. warrants 6/9/16 (a) 19,485 244 
  45,913 
Commercial Services & Supplies - 0.0%   
WP Rocket Holdings, Inc. (a)(b) 5,819,318 349 
Electrical Equipment - 0.1%   
AMETEK, Inc. 369,500 20,862 
SolarCity Corp. (a)(e) 89,800 2,583 
  23,445 
Industrial Conglomerates - 1.7%   
Danaher Corp. 932,700 89,903 
General Electric Co. 11,188,100 334,972 
  424,875 
Machinery - 0.2%   
Deere & Co. (e) 786,200 62,558 
Road & Rail - 0.1%   
J.B. Hunt Transport Services, Inc. 12,500 978 
Norfolk Southern Corp. 370,200 35,191 
  36,169 
Trading Companies & Distributors - 0.0%   
United Rentals, Inc. (a) 22,500 1,770 
TOTAL INDUSTRIALS  1,219,408 
INFORMATION TECHNOLOGY - 15.6%   
Communications Equipment - 0.7%   
Cisco Systems, Inc. 5,604,800 152,731 
QUALCOMM, Inc. 750,500 36,617 
  189,348 
Electronic Equipment & Components - 0.3%   
Amphenol Corp. Class A 677,600 37,302 
Arrow Electronics, Inc. (a) 88,800 5,023 
CDW Corp. 100,000 4,317 
E Ink Holdings, Inc. GDR (a)(f) 140,100 648 
Keysight Technologies, Inc. (a) 637,727 19,648 
  66,938 
Internet Software & Services - 4.4%   
58.com, Inc. ADR (a) 47,700 2,872 
Alibaba Group Holding Ltd. sponsored ADR (a) 1,078,300 90,663 
Alphabet, Inc. Class C 792,883 588,795 
eBay, Inc. (a) 602,100 17,816 
Facebook, Inc. Class A (a) 3,269,560 340,819 
GoDaddy, Inc. (a) 87,500 2,719 
Gogo, Inc. (a)(e) 1,273,698 22,863 
Mail.Ru Group Ltd.:   
GDR (a)(f) 77,400 1,780 
GDR (Reg. S) (a) 5,300 122 
NAVER Corp. 44 24 
Pandora Media, Inc. (a) 23,894 330 
Tencent Holdings Ltd. 28,500 566 
Viggle, Inc. (a)(f) 56,268 26 
Yahoo!, Inc. (a) 720,500 24,360 
Youku Tudou, Inc. ADR (a) 974,200 26,177 
  1,119,932 
IT Services - 3.2%   
Accenture PLC Class A 1,141,700 122,413 
Cognizant Technology Solutions Corp. Class A (a) 3,059,600 197,589 
Fidelity National Information Services, Inc. 71,379 4,545 
MasterCard, Inc. Class A 1,200,500 117,553 
VeriFone Systems, Inc. (a) 860,700 24,685 
Visa, Inc. Class A 4,503,100 355,790 
  822,575 
Semiconductors & Semiconductor Equipment - 1.8%   
Altera Corp. 655,700 34,621 
Analog Devices, Inc. 477,600 29,434 
Avago Technologies Ltd. 425,700 55,533 
Broadcom Corp. Class A 1,523,800 83,245 
Cree, Inc. (a)(e) 592,700 16,382 
Cypress Semiconductor Corp. 1,614 17 
Freescale Semiconductor, Inc. (a) 94,000 3,658 
Lam Research Corp. 3,366 263 
Maxim Integrated Products, Inc. 1,727,800 66,987 
NXP Semiconductors NV (a) 989,300 92,460 
Qorvo, Inc. (a) 403,000 23,402 
Skyworks Solutions, Inc. 149,300 12,395 
Texas Instruments, Inc. 517,700 30,089 
  448,486 
Software - 2.8%   
Activision Blizzard, Inc. 1,712,100 64,478 
Adobe Systems, Inc. (a) 1,030,900 94,286 
Autodesk, Inc. (a) 794,800 50,446 
Citrix Systems, Inc. (a) 215,400 16,515 
Electronic Arts, Inc. (a) 306,400 20,771 
Microsoft Corp. 2,984,230 162,193 
Mobileye NV (a)(e) 991,840 43,244 
Oracle Corp. 3,731,300 145,409 
Red Hat, Inc. (a) 198,000 16,119 
Salesforce.com, Inc. (a) 1,165,300 92,863 
Workday, Inc. Class A (a) 174,300 14,591 
  720,915 
Technology Hardware, Storage & Peripherals - 2.4%   
Apple, Inc. 4,997,100 591,143 
Hewlett Packard Enterprise Co. 721,300 10,719 
HP, Inc. 721,300 9,045 
SanDisk Corp. 214,700 15,860 
  626,767 
TOTAL INFORMATION TECHNOLOGY  3,994,961 
MATERIALS - 1.4%   
Chemicals - 1.4%   
Ashland, Inc. 24 3 
CF Industries Holdings, Inc. 275,230 12,699 
E.I. du Pont de Nemours & Co. 1,433,175 96,510 
Ecolab, Inc. 557,700 66,456 
Huntsman Corp. 1,325 17 
Intrepid Potash, Inc. (a)(e) 274,386 985 
LyondellBasell Industries NV Class A 578,298 55,413 
Monsanto Co. 481,800 45,848 
Potash Corp. of Saskatchewan, Inc. 551,000 11,152 
The Chemours Co. LLC 395,195 2,470 
The Dow Chemical Co. 1,047,700 54,617 
Trinseo SA (a) 54,900 1,568 
Westlake Chemical Partners LP 40,900 637 
  348,375 
Construction Materials - 0.0%   
Eagle Materials, Inc. 199,200 13,761 
Metals & Mining - 0.0%   
AngloGold Ashanti Ltd. sponsored ADR (a) 57,230 366 
TOTAL MATERIALS  362,502 
TELECOMMUNICATION SERVICES - 0.6%   
Diversified Telecommunication Services - 0.6%   
AT&T, Inc. 4,209,576 141,736 
Broadview Networks Holdings, Inc. (a) 123,987 186 
Iliad SA 38,023 8,481 
  150,403 
UTILITIES - 0.5%   
Electric Utilities - 0.3%   
Edison International 705,307 41,867 
NextEra Energy, Inc. 302,600 30,218 
PPL Corp. 410,800 13,984 
  86,069 
Independent Power and Renewable Electricity Producers - 0.1%   
Dynegy, Inc. (a) 1,371,900 22,115 
NRG Yield, Inc. Class C 120,600 1,705 
Talen Energy Corp. (a) 2,566 20 
  23,840 
Multi-Utilities - 0.1%   
Sempra Energy 184,400 18,298 
TOTAL UTILITIES  128,207 
TOTAL COMMON STOCKS   
(Cost $12,396,166)  16,605,169 
Preferred Stocks - 0.5%   
Convertible Preferred Stocks - 0.5%   
CONSUMER DISCRETIONARY - 0.2%   
Household Durables - 0.1%   
Blu Homes, Inc. Series A, 5.00% (a)(b) 1,082,251 4,675 
Roku, Inc. Series F, 8.00% (a)(b) 5,520,836 8,441 
  13,116 
Internet & Catalog Retail - 0.0%   
The Honest Co., Inc. Series D (b) 196,700 9,000 
Specialty Retail - 0.1%   
Moda Operandi, Inc. Series E (b) 508,444 20,948 
TOTAL CONSUMER DISCRETIONARY  43,064 
ENERGY - 0.0%   
Oil, Gas & Consumable Fuels - 0.0%   
Southwestern Energy Co. Series B 6.25% 27,400 659 
FINANCIALS - 0.0%   
Real Estate Investment Trusts - 0.0%   
American Tower Corp. 5.50% 21,106 2,157 
HEALTH CARE - 0.0%   
Pharmaceuticals - 0.0%   
Allergan PLC 5.50% 6,800 7,122 
INFORMATION TECHNOLOGY - 0.3%   
Internet Software & Services - 0.3%   
Uber Technologies, Inc. Series D, 8.00%(a)(b) 1,611,548 63,882 
Software - 0.0%   
Deem, Inc. (a)(b) 2,497,881 6,794 
TOTAL INFORMATION TECHNOLOGY  70,676 
TOTAL CONVERTIBLE PREFERRED STOCKS  123,678 
Nonconvertible Preferred Stocks - 0.0%   
CONSUMER DISCRETIONARY - 0.0%   
Textiles, Apparel & Luxury Goods - 0.0%   
C. Wonder LLC Class A-1 (a)(b)(c) 619,047 0 
FINANCIALS - 0.0%   
Capital Markets - 0.0%   
GMAC Capital Trust I Series 2, 8.125% 294,279 7,504 
Consumer Finance - 0.0%   
Ally Financial, Inc. 7.00% (f) 4,427 4,458 
TOTAL FINANCIALS  11,962 
TOTAL NONCONVERTIBLE PREFERRED STOCKS  11,962 
TOTAL PREFERRED STOCKS   
(Cost $110,794)  135,640 
 Principal Amount (000s) Value (000s) 
Corporate Bonds - 16.9%   
Convertible Bonds - 0.0%   
CONSUMER DISCRETIONARY - 0.0%   
Media - 0.0%   
Liberty Media Corp.:   
3.5% 1/15/31 620 330 
3.5% 1/15/31 (f) 4,584 2,441 
  2,771 
Nonconvertible Bonds - 16.9%   
CONSUMER DISCRETIONARY - 1.7%   
Auto Components - 0.1%   
Gates Global LLC / Gates Global Co. 6% 7/15/22 (f) 1,260 926 
Schaeffler Holding Finance BV:   
6.25% 11/15/19 pay-in-kind (f)(h) 1,405 1,486 
6.75% 11/15/22 pay-in-kind (f)(h) 650 707 
6.875% 8/15/18 pay-in-kind (f)(h) 1,565 1,618 
Tenneco, Inc. 6.875% 12/15/20 2,415 2,500 
ZF North America Capital, Inc.:   
4% 4/29/20 (f) 5,045 5,064 
4.5% 4/29/22 (f) 4,105 4,028 
  16,329 
Automobiles - 0.3%   
Ford Motor Co. 4.75% 1/15/43 10,000 9,594 
General Motors Co.:   
3.5% 10/2/18 4,530 4,594 
6.25% 10/2/43 763 817 
General Motors Financial Co., Inc.:   
2.4% 4/10/18 6,449 6,421 
2.625% 7/10/17 1,445 1,450 
3% 9/25/17 3,320 3,345 
3.15% 1/15/20 12,000 11,907 
3.25% 5/15/18 3,070 3,099 
3.5% 7/10/19 17,868 18,028 
4% 1/15/25 6,368 6,148 
4.25% 5/15/23 3,285 3,300 
4.375% 9/25/21 11,267 11,512 
4.75% 8/15/17 2,505 2,599 
Volkswagen International Finance NV 2.375% 3/22/17 (f) 1,515 1,502 
  84,316 
Distributors - 0.0%   
American Tire Distributors, Inc. 10.25% 3/1/22 (f) 2,265 2,225 
LKQ Corp. 4.75% 5/15/23 265 256 
  2,481 
Diversified Consumer Services - 0.0%   
Ingersoll-Rand Global Holding Co. Ltd. 2.875% 1/15/19 554 563 
Laureate Education, Inc. 9.25% 9/1/19 (f)(h) 11,565 8,847 
Service Corp. International 5.375% 1/15/22 505 528 
  9,938 
Hotels, Restaurants & Leisure - 0.2%   
1011778 BC ULC/New Red Finance, Inc. 4.625% 1/15/22 (f) 1,175 1,187 
24 Hour Holdings III LLC 8% 6/1/22 (f) 510 427 
Caesars Growth Properties Holdings LLC/Caesars Growth Properties Finance, Inc. 9.375% 5/1/22 4,300 3,548 
Choice Hotels International, Inc. 5.75% 7/1/22 390 417 
Chukchansi Economic Development Authority 9.75% 5/30/20 (f)(i) 2,861 1,645 
Eldorado Resorts, Inc. 7% 8/1/23 (f) 3,590 3,606 
FelCor Lodging LP 6% 6/1/25 620 639 
Golden Nugget Escrow, Inc. 8.5% 12/1/21 (f) 5,680 5,836 
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp. 5.625% 10/15/21 3,401 3,541 
Isle of Capri Casinos, Inc. 5.875% 3/15/21 475 495 
Landry's Acquisition Co. 9.375% 5/1/20 (f) 875 929 
Landry's Holdings II, Inc. 10.25% 1/1/18 (f) 900 917 
MGM Mirage, Inc.:   
6% 3/15/23 1,630 1,615 
7.5% 6/1/16 2,855 2,930 
NAI Entertainment Holdings LLC/NAI Entertainment Finance Corp. 5% 8/1/18 (f) 865 875 
Paris Las Vegas Holding LLC/Harrah's Las Vegas LLC/Flamingo Las Vegas Holdings, Inc. 11% 10/1/21 4,650 4,255 
Playa Resorts Holding BV 8% 8/15/20(f) 90 91 
Scientific Games Corp.:   
7% 1/1/22 (f) 1,360 1,312 
10% 12/1/22 3,320 2,556 
Studio City Finance Ltd. 8.5% 12/1/20 (f) 1,000 993 
Waterford Gaming LLC/Waterford Gaming Finance Corp. 8.625% 3/31/15 (f)(i) 534 0 
Wynn Macau Ltd. 5.25% 10/15/21 (f) 605 545 
  38,359 
Household Durables - 0.1%   
Beazer Homes U.S.A., Inc. 7.25% 2/1/23 775 721 
Brookfield Residential Properties, Inc./Brookfield Residential U.S. Corp. 6.125% 7/1/22 (f) 785 738 
Brookfield Residential Properties, Inc. 6.5% 12/15/20 (f) 620 601 
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA:   
5.75% 10/15/20 4,574 4,688 
8.25% 2/15/21 (h) 1,485 1,489 
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 5.875% 4/15/23 (f) 1,395 1,386 
William Lyon Homes, Inc.:   
5.75% 4/15/19 470 470 
7% 8/15/22 1,835 1,867 
7% 8/15/22 (f) 750 763 
8.5% 11/15/20 1,310 1,395 
Woodside Homes Co. LLC/Woodside Homes Finance, Inc. 6.75% 12/15/21 (f) 1,350 1,191 
  15,309 
Internet & Catalog Retail - 0.0%   
Netflix, Inc. 5.5% 2/15/22 (f) 5,000 5,175 
Zayo Group LLC/Zayo Capital, Inc. 6% 4/1/23 (f) 2,475 2,382 
  7,557 
Media - 1.0%   
21st Century Fox America, Inc.:   
6.15% 2/15/41 4,745 5,501 
7.75% 12/1/45 8,012 10,809 
Altice SA:   
5.375% 7/15/23 (f) 2,375 2,375 
7.625% 2/15/25 (f) 4,905 4,292 
7.75% 5/15/22 (f) 10,065 9,411 
7.75% 7/15/25 (f) 1,665 1,598 
7.75% 7/15/25 (f) 1,495 1,439 
AMC Entertainment, Inc. 5.75% 6/15/25 2,345 2,363 
AMC Networks, Inc. 7.75% 7/15/21 340 361 
Anna Merger Sub, Inc. 7.75% 10/1/22 (f) 1,810 1,670 
Cable One, Inc. 5.75% 6/15/22 (f) 895 897 
CBS Outdoor Americas Capital LLC/CBS Outdoor Americas Capital Corp.:   
5.25% 2/15/22 275 282 
5.625% 2/15/24 295 304 
CCO Holdings LLC/CCO Holdings Capital Corp.:   
5.125% 2/15/23 1,580 1,571 
5.25% 3/15/21 3,375 3,493 
5.75% 9/1/23 945 967 
5.75% 1/15/24 4,235 4,350 
5.875% 5/1/27 (f) 3,385 3,360 
CCOH Safari LLC 5.75% 2/15/26 (f) 5,010 5,035 
Cequel Communications Escrow I LLC/Cequel Communications Escrow Capital Corp. 6.375% 9/15/20 (f) 325 318 
Cequel Communications Holdings I LLC/Cequel Capital Corp. 5.125% 12/15/21 (f) 3,345 3,090 
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.:   
4.464% 7/23/22 (f) 7,702 7,790 
4.908% 7/23/25 (f) 5,177 5,258 
Cinemark U.S.A., Inc.:   
4.875% 6/1/23 1,275 1,250 
5.125% 12/15/22 355 355 
Clear Channel Communications, Inc. 5.5% 12/15/16 5,015 4,363 
Clear Channel Worldwide Holdings, Inc.:   
Series A:   
6.5% 11/15/22 755 732 
7.625% 3/15/20 585 559 
Series B, 6.5% 11/15/22 2,040 2,015 
7.625% 3/15/20 4,105 3,982 
Columbus International, Inc. 7.375% 3/30/21 (f) 7,655 8,066 
Discovery Communications LLC 5.05% 6/1/20 168 180 
DISH DBS Corp.:   
5% 3/15/23 2,675 2,314 
5.875% 7/15/22 2,655 2,466 
6.75% 6/1/21 3,515 3,537 
Lamar Media Corp.:   
5.375% 1/15/24 630 647 
5.875% 2/1/22 525 550 
Lions Gate Entertainment Corp. 5.25% 8/1/18 2,415 2,493 
McGraw-Hill Global Education Holdings LLC/McGraw-Hill Global Education Finance 9.75% 4/1/21 (h) 6,635 7,240 
MDC Partners, Inc. 6.75% 4/1/20 (f) 6,965 7,126 
MHGE Parent LLC / MHGE Parent Finance, Inc. 8.5% 8/1/19 pay-in-kind (f)(h) 9,800 9,825 
National CineMedia LLC:   
6% 4/15/22 2,600 2,691 
7.875% 7/15/21 1,380 1,435 
Nielsen Finance LLC/Nielsen Finance Co. 5% 4/15/22 (f) 685 681 
Numericable Group SA:   
4.875% 5/15/19 (f) 4,535 4,524 
6% 5/15/22 (f) 13,815 13,642 
6.25% 5/15/24 (f) 660 650 
Outfront Media Capital LLC / Corp. 5.625% 2/15/24 (f) 375 387 
RCN Telecom Services LLC/RCN Capital Corp. 8.5% 8/15/20 (f) 2,775 2,831 
Regal Entertainment Group:   
5.75% 3/15/22 1,230 1,248 
5.75% 6/15/23 755 755 
Sirius XM Radio, Inc.:   
5.375% 4/15/25 (f) 1,490 1,475 
5.75% 8/1/21 (f) 2,580 2,667 
Starz LLC/Starz Finance Corp. 5% 9/15/19 5,000 5,088 
Thomson Reuters Corp.:   
1.3% 2/23/17 1,794 1,786 
3.85% 9/29/24 4,335 4,283 
Time Warner Cable, Inc.:   
4% 9/1/21 9,654 9,915 
4.5% 9/15/42 1,279 1,041 
5.5% 9/1/41 2,304 2,120 
5.85% 5/1/17 1,621 1,700 
6.55% 5/1/37 10,296 10,432 
6.75% 7/1/18 1,581 1,743 
7.3% 7/1/38 3,823 4,142 
8.25% 4/1/19 10,176 11,782 
Time Warner, Inc. 2.1% 6/1/19 10,446 10,401 
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH 5.5% 1/15/23 (f) 1,340 1,347 
UPCB Finance VI Ltd. 6.875% 1/15/22 (f) 1,125 1,194 
Viacom, Inc.:   
2.5% 9/1/18 714 716 
3.5% 4/1/17 219 223 
Virgin Media Secured Finance PLC 5.25% 1/15/26 (f) 7,830 7,673 
WaveDivision Escrow LLC/WaveDivision Escrow Corp. 8.125% 9/1/20 (f) 1,060 1,034 
Ziggo Bond Finance BV 5.875% 1/15/25 (f) 1,120 1,053 
  244,893 
Multiline Retail - 0.0%   
JC Penney Corp., Inc.:   
5.65% 6/1/20 1,357 1,167 
5.75% 2/15/18 400 375 
7.4% 4/1/37 440 306 
8.125% 10/1/19 2,160 2,063 
  3,911 
Specialty Retail - 0.0%   
L Brands, Inc. 6.875% 11/1/35 (f) 1,800 1,845 
PETCO Animal Supplies, Inc. 9.25% 12/1/18 (f) 3,260 3,350 
Sally Holdings LLC 5.625% 12/1/25 (j) 1,575 1,597 
Sonic Automotive, Inc.:   
5% 5/15/23 195 187 
7% 7/15/22 885 934 
  7,913 
TOTAL CONSUMER DISCRETIONARY  431,006 
CONSUMER STAPLES - 0.7%   
Beverages - 0.0%   
SABMiller Holdings, Inc. 2.45% 1/15/17 (f) 1,947 1,966 
Food & Staples Retailing - 0.2%   
C&S Group Enterprises LLC 5.375% 7/15/22 (f) 3,435 3,057 
CVS Health Corp.:   
3.5% 7/20/22 3,373 3,465 
3.875% 7/20/25 6,000 6,154 
ESAL GmbH 6.25% 2/5/23 (f) 3,005 2,870 
Kroger Co. 3.3% 1/15/21 6,000 6,105 
Minerva Luxembourg SA 7.75% 1/31/23 (f) 6,275 6,134 
Rite Aid Corp.:   
6.75% 6/15/21 1,995 2,125 
6.875% 12/15/28 (f)(h) 3,505 4,101 
7.7% 2/15/27 3,085 3,802 
9.25% 3/15/20 1,330 1,421 
Tops Holding LLC / Tops Markets II Corp. 8% 6/15/22 (f) 2,955 2,955 
Walgreens Boots Alliance, Inc.:   
2.7% 11/18/19 3,161 3,167 
3.3% 11/18/21 3,750 3,738 
  49,094 
Food Products - 0.2%   
Cargill, Inc. 6% 11/27/17 (f) 417 451 
ConAgra Foods, Inc. 1.9% 1/25/18 2,064 2,054 
Darling International, Inc. 5.375% 1/15/22 745 730 
FAGE Dairy Industry SA/FAGE U.S.A. Dairy Industry, Inc. 9.875% 2/1/20 (f) 2,877 3,003 
H.J. Heinz Co. 4.875% 2/15/25 (f) 814 867 
JBS Investments GmbH:   
7.25% 4/3/24 (f) 1,090 1,120 
7.75% 10/28/20 (f) 2,850 2,950 
JBS U.S.A. LLC/JBS U.S.A. Finance, Inc.:   
5.75% 6/15/25 (f) 6,075 5,793 
5.875% 7/15/24 (f) 1,370 1,349 
Post Holdings, Inc.:   
6% 12/15/22 (f) 2,620 2,584 
6.75% 12/1/21 (f) 1,900 1,929 
7.75% 3/15/24 (f) 6,115 6,344 
8% 7/15/25 (f) 555 581 
William Wrigley Jr. Co.:   
1.4% 10/21/16 (f) 3,217 3,226 
2% 10/20/17 (f) 4,607 4,634 
  37,615 
Household Products - 0.0%   
Spectrum Brands Holdings, Inc.:   
5.75% 7/15/25 (f) 1,435 1,480 
6.375% 11/15/20 350 375 
6.625% 11/15/22 415 443 
  2,298 
Personal Products - 0.0%   
Prestige Brands, Inc.:   
5.375% 12/15/21 (f) 1,660 1,602 
8.125% 2/1/20 220 229 
Revlon Consumer Products Corp. 5.75% 2/15/21 1,105 1,094 
  2,925 
Tobacco - 0.3%   
Altria Group, Inc.:   
2.625% 1/14/20 4,950 4,982 
4% 1/31/24 3,123 3,263 
Imperial Tobacco Finance PLC:   
3.75% 7/21/22 (f) 6,420 6,506 
4.25% 7/21/25 (f) 6,420 6,537 
Reynolds American, Inc.:   
2.3% 6/12/18 2,859 2,895 
3.25% 6/12/20 2,364 2,422 
3.25% 11/1/22 2,999 2,981 
4% 6/12/22 4,375 4,551 
4.45% 6/12/25 9,633 10,121 
4.75% 11/1/42 8,000 7,723 
4.85% 9/15/23 7,000 7,539 
5.7% 8/15/35 1,646 1,811 
5.85% 8/15/45 12,632 14,147 
6.75% 6/15/17 3,979 4,273 
7.25% 6/15/37 6,101 7,476 
  87,227 
TOTAL CONSUMER STAPLES  181,125 
ENERGY - 2.4%   
Energy Equipment & Services - 0.2%   
DCP Midstream LLC:   
4.75% 9/30/21 (f) 5,634 4,846 
5.35% 3/15/20 (f) 5,174 4,819 
El Paso Pipeline Partners Operating Co. LLC:   
5% 10/1/21 2,280 2,166 
6.5% 4/1/20 2,264 2,399 
Forum Energy Technologies, Inc. 6.25% 10/1/21 1,510 1,321 
Gulfmark Offshore, Inc. 6.375% 3/15/22 1,485 891 
Halliburton Co.:   
3.8% 11/15/25 3,469 3,494 
4.85% 11/15/35 3,029 3,059 
5% 11/15/45 4,151 4,225 
Hornbeck Offshore Services, Inc.:   
5% 3/1/21 25 19 
5.875% 4/1/20 2,439 1,939 
Noble Holding International Ltd.:   
3.05% 3/1/16 756 759 
4% 3/16/18 470 444 
5.95% 4/1/25 2,995 2,401 
6.95% 4/1/45 2,891 2,091 
Pacific Drilling V Ltd. 7.25% 12/1/17 (f) 2,355 1,519 
Summit Midstream Holdings LLC 7.5% 7/1/21 500 475 
Transocean, Inc.:   
5.55% 12/15/16 (h) 3,719 3,700 
6% 3/15/18 2,060 1,967 
6.875% 12/15/21 4,240 3,184 
Unit Corp. 6.625% 5/15/21 3,635 2,817 
  48,535 
Oil, Gas & Consumable Fuels - 2.2%   
Access Midstream Partners LP/ACMP Finance Corp. 4.875% 5/15/23 1,680 1,478 
Alpha Natural Resources, Inc. 9.75% 4/15/18 (i) 1,099 23 
American Energy-Permian Basin LLC/ AEPB Finance Corp.:   
6.8341% 8/1/19 (f)(h) 1,345 572 
7.125% 11/1/20 (f) 2,075 913 
7.375% 11/1/21 (f) 1,475 649 
Anadarko Petroleum Corp. 6.375% 9/15/17 20,246 21,665 
Antero Resources Corp.:   
5.125% 12/1/22 7,435 6,766 
5.625% 6/1/23 (f) 1,270 1,178 
Blue Racer Mistream LLC / Blue Racer Finance Corp. 6.125% 11/15/22 (f) 5,000 4,450 
BP Capital Markets PLC:   
4.5% 10/1/20 1,106 1,210 
4.742% 3/11/21 4,210 4,661 
California Resources Corp.:   
5% 1/15/20 665 424 
5.5% 9/15/21 4,110 2,466 
6% 11/15/24 2,040 1,224 
Canadian Natural Resources Ltd. 1.75% 1/15/18 2,250 2,210 
Carrizo Oil & Gas, Inc. 6.25% 4/15/23 910 830 
Cenovus Energy, Inc. 5.7% 10/15/19 5,158 5,571 
Chesapeake Energy Corp.:   
4.875% 4/15/22 550 233 
5.375% 6/15/21 1,340 586 
5.75% 3/15/23 1,875 797 
6.125% 2/15/21 2,015 856 
6.875% 11/15/20 100 47 
Citgo Holding, Inc. 10.75% 2/15/20 (f) 2,315 2,327 
Columbia Pipeline Group, Inc.:   
2.45% 6/1/18 (f) 1,213 1,207 
3.3% 6/1/20 (f) 5,938 5,871 
4.5% 6/1/25 (f) 1,813 1,736 
CONSOL Energy, Inc. 8% 4/1/23 (f) 5,000 3,525 
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.:   
6.125% 3/1/22 895 765 
6.25% 4/1/23 (f) 1,150 972 
CrownRock LP/CrownRock Finance, Inc. 7.75% 2/15/23 (f) 965 982 
CVR Refining LLC/Coffeyville Finance, Inc. 6.5% 11/1/22 4,035 3,974 
DCP Midstream Operating LP:   
2.5% 12/1/17 2,677 2,486 
2.7% 4/1/19 4,139 3,667 
3.875% 3/15/23 2,327 1,909 
4.95% 4/1/22 1,048 941 
5.6% 4/1/44 1,686 1,274 
Denbury Resources, Inc. 4.625% 7/15/23 4,625 2,683 
Diamondback Energy, Inc. 7.625% 10/1/21 935 993 
Duke Energy Field Services 6.45% 11/3/36 (f) 3,753 2,969 
El Paso Natural Gas Co. 5.95% 4/15/17 1,260 1,303 
Empresa Nacional de Petroleo 4.375% 10/30/24 (f) 4,545 4,500 
Enable Midstream Partners LP:   
2.4% 5/15/19 (f) 1,656 1,521 
3.9% 5/15/24 (f) 1,746 1,366 
Enbridge Energy Partners LP:   
4.2% 9/15/21 6,629 6,494 
4.375% 10/15/20 4,351 4,375 
EP Energy LLC/Everest Acquisition Finance, Inc.:   
6.375% 6/15/23 1,660 1,270 
7.75% 9/1/22 2,190 1,719 
9.375% 5/1/20 9,120 7,752 
Gibson Energy, Inc. 6.75% 7/15/21 (f) 160 155 
Global Partners LP/GLP Finance Corp.:   
6.25% 7/15/22 305 275 
7% 6/15/23 1,420 1,299 
Gulfstream Natural Gas System LLC 6.95% 6/1/16 (f) 677 693 
Halcon Resources Corp. 8.625% 2/1/20 (f) 565 445 
Hilcorp Energy I LP/Hilcorp Finance Co.:   
5% 12/1/24 (f) 1,265 1,138 
5.75% 10/1/25 (f) 6,625 6,078 
7.625% 4/15/21 (f) 4,201 4,285 
Kodiak Oil & Gas Corp. 8.125% 12/1/19 1,325 1,383 
Laredo Petroleum, Inc.:   
5.625% 1/15/22 1,740 1,627 
6.25% 3/15/23 1,650 1,584 
LINN Energy LLC/LINN Energy Finance Corp.:   
6.5% 5/15/19 3,390 915 
6.5% 9/15/21 405 69 
7.75% 2/1/21 20 4 
Marathon Petroleum Corp. 5.125% 3/1/21 3,173 3,436 
Motiva Enterprises LLC 5.75% 1/15/20 (f) 3,614 3,929 
MPLX LP 4% 2/15/25 962 871 
Nakilat, Inc. 6.067% 12/31/33 (f) 1,839 2,062 
Nexen, Inc. 6.2% 7/30/19 1,865 2,065 
Noble Energy, Inc. 5.875% 6/1/24 700 702 
Northern Tier Energy LLC/Northern Tier Finance Corp. 7.125% 11/15/20 3,975 4,055 
Oasis Petroleum, Inc. 6.875% 3/15/22 595 510 
PBF Holding Co. LLC/PBF Finance Corp. 7% 11/15/23 (f) 2,850 2,850 
Peabody Energy Corp.:   
6.25% 11/15/21 2,010 317 
10% 3/15/22 (f) 1,380 328 
Pemex Project Funding Master Trust 5.75% 3/1/18 21,220 22,445 
Petrobras Global Finance BV:   
1.9896% 5/20/16 (h) 5,357 5,262 
3% 1/15/19 22,701 18,411 
3.25% 3/17/17 22,344 20,892 
4.375% 5/20/23 3,648 2,544 
4.875% 3/17/20 20,511 16,505 
5.625% 5/20/43 11,155 7,084 
7.25% 3/17/44 28,868 20,527 
Petrobras International Finance Co. Ltd.:   
3.5% 2/6/17 15,000 14,194 
3.875% 1/27/16 5,238 5,212 
5.375% 1/27/21 10,725 8,550 
5.75% 1/20/20 16,310 13,594 
5.875% 3/1/18 2,803 2,558 
7.875% 3/15/19 5,564 5,166 
Petroleos Mexicanos:   
3.5% 7/18/18 7,105 7,156 
3.5% 7/23/20 (f) 7,125 7,026 
3.5% 1/30/23 4,530 4,156 
4.5% 1/23/26 (f) 6,398 6,032 
4.875% 1/24/22 2,315 2,322 
4.875% 1/18/24 5,974 5,868 
5.5% 1/21/21 12,842 13,468 
5.5% 6/27/44 22,702 18,729 
5.625% 1/23/46 (f) 6,203 5,211 
6% 3/5/20 4,075 4,390 
6.375% 1/23/45 13,324 12,358 
6.5% 6/2/41 7,783 7,342 
8% 5/3/19 3,283 3,723 
Phillips 66 Co.:   
2.95% 5/1/17 1,527 1,556 
4.3% 4/1/22 5,338 5,612 
Phillips 66 Partners LP 2.646% 2/15/20 527 510 
Plains All American Pipeline LP/PAA Finance Corp. 6.125% 1/15/17 1,880 1,952 
Range Resources Corp. 4.875% 5/15/25 (f) 2,265 1,993 
Rice Energy, Inc.:   
6.25% 5/1/22 2,710 2,304 
7.25% 5/1/23 (f) 1,030 896 
Rose Rock Midstream LP/ Rose Rock Finance Corp. 5.625% 7/15/22 635 533 
RSP Permian, Inc. 6.625% 10/1/22 525 522 
Sabine Pass Liquefaction LLC:   
5.625% 4/15/23 2,585 2,385 
5.625% 3/1/25 (f) 6,075 5,574 
5.75% 5/15/24 8,830 8,146 
SemGroup Corp. 7.5% 6/15/21 2,610 2,414 
Shell International Finance BV 4.375% 5/11/45 6,392 6,356 
SM Energy Co. 5.625% 6/1/25 675 602 
Southeast Supply Header LLC 4.25% 6/15/24 (f) 4,893 4,714 
Southwestern Energy Co.:   
3.3% 1/23/18 2,491 2,379 
4.05% 1/23/20 4,519 4,004 
4.95% 1/23/25 3,470 2,859 
Spectra Energy Capital, LLC 5.65% 3/1/20 944 1,007 
Spectra Energy Partners, LP:   
2.95% 6/15/16 1,059 1,066 
4.6% 6/15/21 1,296 1,345 
Suncor Energy, Inc. 6.1% 6/1/18 7,771 8,480 
Sunoco LP / Sunoco Finance Corp.:   
5.5% 8/1/20 (f) 6,670 6,753 
6.375% 4/1/23 (f) 965 977 
Targa Resources Partners LP/Targa Resources Partners Finance Corp.:   
5% 1/15/18 (f) 4,580 4,500 
6.375% 8/1/22 570 554 
6.75% 3/15/24 (f) 7,000 6,650 
Teekay Corp.:   
8.5% 1/15/20 (f) 1,730 1,695 
8.5% 1/15/20 120 118 
Teine Energy Ltd. 6.875% 9/30/22 (f) 5,104 4,594 
The Williams Companies, Inc.:   
3.7% 1/15/23 4,147 3,337 
4.55% 6/24/24 19,902 16,330 
Western Gas Partners LP 5.375% 6/1/21 7,807 8,143 
Western Refining Logistics LP/WNRL Finance Co. 7.5% 2/15/23 585 589 
Western Refining, Inc. 6.25% 4/1/21 550 547 
Whiting Petroleum Corp. 5.75% 3/15/21 565 514 
Williams Partners LP 4.3% 3/4/24 4,038 3,505 
WPX Energy, Inc.:   
7.5% 8/1/20 1,140 1,074 
8.25% 8/1/23 1,715 1,604 
  557,883 
TOTAL ENERGY  606,418 
FINANCIALS - 7.6%   
Banks - 3.1%   
Associated Banc-Corp. 5.125% 3/28/16 1,852 1,870 
Banco Nacional de Desenvolvimento Economico e Social:   
3.375% 9/26/16 (f) 5,555 5,527 
4% 4/14/19 (f) 21,750 20,608 
5.5% 7/12/20 (f) 16,673 16,256 
5.75% 9/26/23 (f) 5,082 4,701 
6.369% 6/16/18 (f) 10,462 10,567 
6.5% 6/10/19 (f) 1,763 1,781 
Bank of America Corp.:   
1.35% 11/21/16 4,652 4,663 
1.95% 5/12/18 6,000 6,025 
2.6% 1/15/19 66,110 66,840 
2.65% 4/1/19 28,149 28,470 
3.875% 3/22/17 781 805 
3.95% 4/21/25 8,200 8,111 
4.2% 8/26/24 6,463 6,527 
4.25% 10/22/26 5,465 5,484 
5.75% 12/1/17 6,075 6,538 
6.5% 8/1/16 1,010 1,046 
Barclays PLC 2.75% 11/8/19 4,598 4,603 
BB&T Corp. 3.95% 3/22/22 1,495 1,571 
Capital One NA 2.95% 7/23/21 7,402 7,374 
CIT Group, Inc.:   
5% 8/15/22 4,195 4,284 
5% 8/1/23 2,755 2,800 
5.25% 3/15/18 3,215 3,336 
5.375% 5/15/20 2,805 2,959 
5.5% 2/15/19 (f) 5,285 5,536 
Citigroup, Inc.:   
1.3% 11/15/16 5,354 5,362 
1.7% 4/27/18 6,410 6,383 
1.75% 5/1/18 18,342 18,268 
1.85% 11/24/17 30,961 30,976 
2.4% 2/18/20 10,000 9,972 
2.5% 7/29/19 32,442 32,725 
2.55% 4/8/19 14,645 14,821 
4.05% 7/30/22 14,700 15,167 
4.3% 11/20/26 12,000 12,098 
6% 8/15/17 12,747 13,711 
Citizens Financial Group, Inc. 4.15% 9/28/22 (f) 5,782 5,846 
Credit Suisse AG 6% 2/15/18 12,547 13,556 
Credit Suisse Group Funding Guernsey Ltd.:   
2.75% 3/26/20 (f) 6,421 6,394 
3.75% 3/26/25 (f) 6,420 6,275 
3.8% 9/15/22 (f) 9,940 10,018 
Credit Suisse New York Branch 5.4% 1/14/20 1,200 1,329 
Discover Bank 7% 4/15/20 3,075 3,519 
Fifth Third Bancorp:   
3.5% 3/15/22 529 539 
4.5% 6/1/18 418 442 
5.45% 1/15/17 1,848 1,929 
HBOS PLC 6.75% 5/21/18 (f) 408 448 
HSBC Holdings PLC 4.25% 3/14/24 2,900 2,937 
Huntington Bancshares, Inc. 7% 12/15/20 2,561 3,002 
Huntington National Bank:   
2% 6/30/18 13,000 12,976 
2.2% 4/1/19 2,700 2,681 
Intesa Sanpaolo SpA:   
2.375% 1/13/17 28,255 28,385 
3.125% 1/15/16 18,292 18,340 
5.017% 6/26/24 (f) 4,062 4,068 
JPMorgan Chase & Co.:   
3.875% 9/10/24 13,647 13,719 
4.125% 12/15/26 91,465 92,554 
KeyCorp. 5.1% 3/24/21 519 572 
Rabobank Nederland 4.375% 8/4/25 9,821 10,033 
Regions Bank 6.45% 6/26/37 10,147 12,100 
Regions Financial Corp. 2% 5/15/18 7,154 7,124 
Royal Bank of Scotland Group PLC:   
5.125% 5/28/24 49,264 50,678 
6% 12/19/23 13,834 15,071 
6.1% 6/10/23 7,367 8,018 
6.125% 12/15/22 35,362 38,907 
Sumitomo Mitsui Banking Corp. 1.3% 1/10/17 5,250 5,240 
SunTrust Banks, Inc.:   
2.35% 11/1/18 2,500 2,517 
3.5% 1/20/17 4,123 4,212 
Wells Fargo & Co.:   
4.1% 6/3/26 13,000 13,216 
4.48% 1/16/24 5,192 5,506 
  789,916 
Capital Markets - 1.4%   
Affiliated Managers Group, Inc.:   
3.5% 8/1/25 7,219 6,897 
4.25% 2/15/24 2,095 2,147 
Deutsche Bank AG 4.5% 4/1/25 14,192 13,389 
Goldman Sachs Group, Inc.:   
1.748% 9/15/17 16,000 15,994 
2.375% 1/22/18 10,000 10,128 
2.55% 10/23/19 70,000 70,683 
2.6% 4/23/20 1,300 1,306 
2.625% 1/31/19 25,103 25,558 
5.95% 1/18/18 4,242 4,606 
6.15% 4/1/18 3,466 3,801 
6.25% 9/1/17 19,047 20,569 
Lazard Group LLC:   
4.25% 11/14/20 4,447 4,643 
6.85% 6/15/17 1,063 1,134 
Merrill Lynch & Co., Inc. 6.4% 8/28/17 4,204 4,541 
Morgan Stanley:   
1.875% 1/5/18 13,596 13,650 
2.125% 4/25/18 16,388 16,513 
2.5% 1/24/19 97,536 99,099 
4.875% 11/1/22 7,232 7,822 
5.625% 9/23/19 453 504 
5.95% 12/28/17 250 271 
6.625% 4/1/18 1,494 1,654 
Peachtree Corners Funding Trust 3.976% 2/15/25 (f) 7,000 7,020 
UBS AG Stamford Branch:   
1.375% 6/1/17 4,854 4,839 
1.8% 3/26/18 9,485 9,495 
2.375% 8/14/19 10,750 10,801 
UBS Group Funding Ltd. 4.125% 9/24/25 (f) 7,279 7,298 
  364,362 
Consumer Finance - 1.2%   
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust:   
2.75% 5/15/17 7,625 7,587 
3.75% 5/15/19 2,125 2,128 
4.5% 5/15/21 2,325 2,374 
4.625% 10/30/20 3,685 3,786 
5% 10/1/21 1,555 1,613 
Ally Financial, Inc.:   
3.5% 1/27/19 2,025 2,012 
4.625% 5/19/22 1,365 1,396 
4.75% 9/10/18 2,295 2,368 
5.75% 11/20/25 1,335 1,344 
6.25% 12/1/17 1,800 1,899 
Capital One Financial Corp. 2.45% 4/24/19 4,470 4,507 
Discover Financial Services:   
3.85% 11/21/22 1,983 1,976 
5.2% 4/27/22 2,146 2,310 
6.45% 6/12/17 10,512 11,193 
Ford Motor Credit Co. LLC:   
1.461% 3/27/17 32,000 31,736 
1.5% 1/17/17 16,012 15,956 
2.375% 3/12/19 17,400 17,156 
2.5% 1/15/16 14,000 14,029 
2.875% 10/1/18 8,500 8,562 
3% 6/12/17 5,430 5,496 
5% 5/15/18 8,500 8,973 
5.875% 8/2/21 10,438 11,728 
General Motors Acceptance Corp. 8% 11/1/31 6,130 7,387 
GMAC LLC:   
8% 12/31/18 19,035 21,199 
8% 11/1/31 19,491 23,243 
Hyundai Capital America:   
1.45% 2/6/17 (f) 5,366 5,343 
1.875% 8/9/16 (f) 1,338 1,341 
2.125% 10/2/17 (f) 2,063 2,059 
2.55% 2/6/19 (f) 5,366 5,342 
2.875% 8/9/18 (f) 2,511 2,544 
Navient Corp.:   
5% 10/26/20 1,140 1,026 
5.875% 10/25/24 7,190 6,129 
SLM Corp.:   
4.875% 6/17/19 5,955 5,568 
5.5% 1/15/19 2,150 2,068 
5.5% 1/25/23 4,610 3,965 
6.125% 3/25/24 9,585 8,267 
7.25% 1/25/22 5,140 4,883 
8% 3/25/20 5,930 6,019 
8.45% 6/15/18 9,890 10,380 
Synchrony Financial:   
1.875% 8/15/17 1,300 1,297 
3% 8/15/19 1,910 1,919 
3.75% 8/15/21 7,084 7,137 
4.25% 8/15/24 2,903 2,902 
  290,147 
Diversified Financial Services - 0.0%   
Icahn Enterprises LP/Icahn Enterprises Finance Corp.:   
4.875% 3/15/19 2,280 2,280 
5.875% 2/1/22 2,725 2,768 
6% 8/1/20 2,230 2,294 
MSCI, Inc. 5.75% 8/15/25 (f) 870 903 
  8,245 
Insurance - 0.7%   
ACE INA Holdings, Inc.:   
2.875% 11/3/22 4,232 4,207 
3.35% 5/3/26 3,411 3,402 
4.35% 11/3/45 3,465 3,473 
AIA Group Ltd. 2.25% 3/11/19 (f) 1,203 1,200 
Alliant Holdings Co.-Issuer, Inc. / Wayne Merger Sub, LLC 8.25% 8/1/23 (f) 5,010 4,921 
American International Group, Inc.:   
3.75% 7/10/25 11,144 11,143 
4.875% 6/1/22 5,467 5,964 
5.6% 10/18/16 4,975 5,165 
5.85% 1/16/18 12,000 13,011 
Aon Corp.:   
3.125% 5/27/16 3,402 3,439 
5% 9/30/20 107 118 
Five Corners Funding Trust 4.419% 11/15/23 (f) 8,055 8,471 
Great-West Life & Annuity Insurance Co. 7.153% 5/16/46 (f)(h) 2,008 2,021 
Hartford Financial Services Group, Inc. 5.375% 3/15/17 595 623 
Hockey Merger Sub 2, Inc. 7.875% 10/1/21 (f) 1,675 1,608 
Liberty Mutual Group, Inc.:   
4.25% 6/15/23 (f) 2,655 2,714 
5% 6/1/21 (f) 6,063 6,520 
Marsh & McLennan Companies, Inc. 4.8% 7/15/21 3,441 3,756 
Massachusetts Mutual Life Insurance Co.:   
4.5% 4/15/65 (f) 7,265 6,614 
5.375% 12/1/41 (f) 2,993 3,234 
Metropolitan Life Global Funding I 1.875% 6/22/18 (f) 6,476 6,489 
Northwestern Mutual Life Insurance Co. 6.063% 3/30/40 (f) 3,585 4,332 
Pacific Life Insurance Co. 9.25% 6/15/39 (f) 3,048 4,455 
Pacific LifeCorp:   
5.125% 1/30/43 (f) 6,960 7,122 
6% 2/10/20 (f) 8,215 9,194 
Prudential Financial, Inc.:   
2.3% 8/15/18 783 790 
4.5% 11/16/21 1,461 1,587 
7.375% 6/15/19 1,880 2,195 
Symetra Financial Corp. 6.125% 4/1/16 (f) 6,715 6,807 
Teachers Insurance & Annuity Association of America 4.9% 9/15/44 (f) 6,853 7,050 
TIAA Asset Management Finance LLC:   
2.95% 11/1/19 (f) 1,569 1,582 
4.125% 11/1/24 (f) 2,275 2,300 
Unum Group:   
3.875% 11/5/25 6,457 6,376 
5.625% 9/15/20 2,879 3,185 
5.75% 8/15/42 7,108 7,841 
7.125% 9/30/16 1,802 1,883 
  164,792 
Real Estate Investment Trusts - 0.7%   
Alexandria Real Estate Equities, Inc.:   
2.75% 1/15/20 1,148 1,135 
4.6% 4/1/22 1,705 1,777 
American Campus Communities Operating Partnership LP 3.75% 4/15/23 1,587 1,558 
American Tower Corp. 2.8% 6/1/20 6,000 5,970 
AvalonBay Communities, Inc. 3.625% 10/1/20 2,452 2,556 
Camden Property Trust 2.95% 12/15/22 2,154 2,085 
CommonWealth REIT 5.875% 9/15/20 991 1,071 
Communications Sales & Leasing, Inc. 6% 4/15/23 (f) 605 572 
Corporate Office Properties LP:   
3.7% 6/15/21 3,614 3,521 
5% 7/1/25 3,069 2,980 
CTR Partnership LP/CareTrust Capital Corp. 5.875% 6/1/21 205 208 
DDR Corp.:   
3.625% 2/1/25 3,010 2,863 
4.25% 2/1/26 2,564 2,557 
4.625% 7/15/22 3,877 4,014 
4.75% 4/15/18 4,595 4,825 
7.5% 4/1/17 4,966 5,321 
9.625% 3/15/16 1,670 1,708 
Digital Delta Holdings LLC:   
3.4% 10/1/20 (f) 6,817 6,846 
4.75% 10/1/25 (f) 4,899 4,955 
Duke Realty LP:   
3.625% 4/15/23 2,844 2,785 
3.75% 12/1/24 2,012 1,960 
3.875% 10/15/22 4,799 4,827 
4.375% 6/15/22 3,202 3,308 
5.95% 2/15/17 291 305 
6.75% 3/15/20 1,161 1,331 
8.25% 8/15/19 1,838 2,189 
Equity One, Inc.:   
3.75% 11/15/22 7,300 7,086 
6% 9/15/17 666 708 
6.25% 1/15/17 530 554 
ERP Operating LP 5.75% 6/15/17 1,446 1,536 
Federal Realty Investment Trust 5.9% 4/1/20 1,379 1,563 
HCP, Inc.:   
3.15% 8/1/22 8,000 7,627 
3.875% 8/15/24 11,000 10,695 
Health Care REIT, Inc.:   
2.25% 3/15/18 12,327 12,322 
4% 6/1/25 4,568 4,507 
4.125% 4/1/19 11,300 11,850 
4.7% 9/15/17 744 780 
HRPT Properties Trust:   
6.25% 6/15/17 726 753 
6.65% 1/15/18 490 521 
Lexington Corporate Properties Trust 4.4% 6/15/24 1,905 1,904 
Omega Healthcare Investors, Inc.:   
4.5% 1/15/25 1,769 1,734 
4.5% 4/1/27 (f) 21,587 20,565 
4.95% 4/1/24 1,785 1,805 
5.25% 1/15/26 (f) 7,807 8,022 
5.875% 3/15/24 3,200 3,324 
Retail Opportunity Investments Partnership LP:   
4% 12/15/24 1,250 1,185 
5% 12/15/23 980 1,008 
Weingarten Realty Investors 3.375% 10/15/22 1,098 1,070 
WP Carey, Inc. 4% 2/1/25 7,547 7,251 
  181,597 
Real Estate Management & Development - 0.5%   
BioMed Realty LP:   
2.625% 5/1/19 2,987 2,911 
3.85% 4/15/16 8,385 8,443 
4.25% 7/15/22 2,511 2,416 
6.125% 4/15/20 1,822 1,956 
Brandywine Operating Partnership LP:   
3.95% 2/15/23 6,445 6,300 
4.1% 10/1/24 5,444 5,286 
4.55% 10/1/29 5,444 5,282 
4.95% 4/15/18 4,256 4,466 
5.7% 5/1/17 268 281 
6% 4/1/16 2,467 2,503 
CBRE Group, Inc.:   
5% 3/15/23 3,950 3,977 
5.25% 3/15/25 2,580 2,628 
Digital Realty Trust LP:   
3.95% 7/1/22 4,317 4,281 
5.25% 3/15/21 2,876 3,107 
Essex Portfolio LP 5.5% 3/15/17 3,414 3,570 
Howard Hughes Corp. 6.875% 10/1/21 (f) 1,690 1,728 
Kennedy-Wilson, Inc. 5.875% 4/1/24 795 785 
Liberty Property LP:   
3.375% 6/15/23 2,951 2,809 
4.125% 6/15/22 2,746 2,776 
4.75% 10/1/20 6,595 7,044 
5.5% 12/15/16 2,022 2,101 
Mack-Cali Realty LP:   
2.5% 12/15/17 4,037 4,007 
3.15% 5/15/23 6,708 5,806 
4.5% 4/18/22 1,689 1,632 
5.8% 1/15/16 4,250 4,270 
7.75% 8/15/19 2,149 2,402 
Mid-America Apartments LP:   
4% 11/15/25 1,682 1,678 
4.3% 10/15/23 1,086 1,105 
Post Apartment Homes LP 3.375% 12/1/22 1,196 1,164 
Prime Property Funding, Inc. 5.7% 4/15/17 (f) 3,471 3,601 
Realogy Group LLC/Realogy Co.-Issuer Corp. 4.5% 4/15/19 (f) 1,760 1,822 
Realogy Group LLC/Sunshine Group Florida Ltd. 3.375% 5/1/16 (f) 2,125 2,133 
Reckson Operating Partnership LP 6% 3/31/16 1,675 1,697 
Regency Centers LP 5.875% 6/15/17 1,084 1,147 
Tanger Properties LP:   
3.75% 12/1/24 3,781 3,727 
3.875% 12/1/23 2,341 2,348 
6.125% 6/1/20 7,035 7,990 
Ventas Realty LP:   
1.25% 4/17/17 2,655 2,639 
1.55% 9/26/16 921 924 
3.5% 2/1/25 1,837 1,760 
4.125% 1/15/26 2,088 2,086 
4.375% 2/1/45 1,098 1,013 
Ventas Realty LP/Ventas Capital Corp.:   
2% 2/15/18 3,611 3,608 
4% 4/30/19 1,771 1,851 
Weekley Homes LLC/Weekley Finance Corp. 6% 2/1/23 510 477 
  135,537 
TOTAL FINANCIALS  1,934,596 
HEALTH CARE - 1.1%   
Biotechnology - 0.1%   
AbbVie, Inc.:   
1.75% 11/6/17 5,738 5,758 
3.6% 5/14/25 6,397 6,339 
AMAG Pharmaceuticals, Inc. 7.875% 9/1/23 (f) 1,225 1,020 
Amgen, Inc. 1.25% 5/22/17 11,041 11,012 
  24,129 
Health Care Equipment & Supplies - 0.0%   
Alere, Inc. 6.375% 7/1/23 (f) 625 633 
Health Care Providers & Services - 0.6%   
Acadia Healthcare Co., Inc. 5.625% 2/15/23 680 669 
Community Health Systems, Inc.:   
5.125% 8/1/21 840 848 
6.875% 2/1/22 1,115 1,079 
DaVita HealthCare Partners, Inc.:   
5% 5/1/25 2,315 2,222 
5.125% 7/15/24 2,535 2,529 
5.75% 8/15/22 1,215 1,259 
Express Scripts Holding Co.:   
3.9% 2/15/22 1,585 1,642 
4.75% 11/15/21 14,348 15,574 
HCA Holdings, Inc.:   
3.75% 3/15/19 9,592 9,688 
4.25% 10/15/19 3,850 3,917 
4.75% 5/1/23 3,020 2,997 
5% 3/15/24 1,755 1,768 
5.375% 2/1/25 9,835 9,663 
5.875% 3/15/22 10,110 10,843 
5.875% 5/1/23 2,555 2,638 
5.875% 2/15/26 3,550 3,599 
6.25% 2/15/21 1,415 1,503 
6.5% 2/15/20 20,898 23,118 
7.5% 2/15/22 3,250 3,632 
HealthSouth Corp.:   
5.125% 3/15/23 800 770 
5.75% 11/1/24 3,005 2,900 
5.75% 11/1/24 (f) 890 859 
5.75% 9/15/25 (f) 5,825 5,577 
Kindred Healthcare, Inc. 8.75% 1/15/23 180 170 
McKesson Corp. 2.284% 3/15/19 5,400 5,409 
Medco Health Solutions, Inc. 4.125% 9/15/20 3,728 3,931 
Molina Healthcare, Inc. 5.375% 11/15/22 (f) 1,695 1,703 
Quintiles Transnational Corp. 4.875% 5/15/23 (f) 1,070 1,073 
Sabra Health Care LP/Sabra Capital Corp. 5.5% 2/1/21 625 645 
Team Health, Inc. 7.25% 12/15/23 (f) 2,500 2,575 
Tenet Healthcare Corp.:   
4.375% 10/1/21 2,040 2,004 
4.5% 4/1/21 1,030 1,017 
5% 3/1/19 16,690 16,064 
6% 10/1/20 1,145 1,217 
6.75% 6/15/23 7,355 6,877 
8.125% 4/1/22 4,590 4,576 
UnitedHealth Group, Inc.:   
3.35% 7/15/22 2,324 2,388 
3.75% 7/15/25 6,406 6,644 
WellPoint, Inc. 1.875% 1/15/18 161 161 
  165,748 
Health Care Technology - 0.0%   
Emdeon, Inc. 6% 2/15/21 (f) 1,155 1,102 
IMS Health, Inc. 6% 11/1/20 (f) 715 731 
  1,833 
Life Sciences Tools & Services - 0.0%   
Thermo Fisher Scientific, Inc.:   
1.3% 2/1/17 1,499 1,496 
2.4% 2/1/19 945 948 
  2,444 
Pharmaceuticals - 0.4%   
Actavis Funding SCS:   
1.3% 6/15/17 10,935 10,856 
2.45% 6/15/19 3,241 3,230 
3% 3/12/20 5,472 5,541 
3.45% 3/15/22 9,527 9,636 
Endo Finance LLC 5.375% 1/15/23 (f) 350 331 
Endo Finance LLC/Endo Ltd./Endo Finco, Inc.:   
6% 7/15/23 (f) 4,625 4,452 
6% 2/1/25 (f) 4,195 3,985 
Forest Laboratories, Inc. 4.375% 2/1/19 (f) 2,160 2,278 
Horizon Pharma Financing, Inc. 6.625% 5/1/23 (f) 200 172 
JLL/Delta Dutch Newco BV 7.5% 2/1/22 (f) 8,675 8,762 
JLL/Delta Dutch Pledgeco BV 8.75% 5/1/20 pay-in-kind (f)(h) 5,090 5,084 
Mylan, Inc. 1.35% 11/29/16 1,757 1,746 
Perrigo Co. PLC:   
1.3% 11/8/16 1,437 1,428 
2.3% 11/8/18 1,537 1,518 
Perrigo Finance PLC:   
3.5% 12/15/21 1,350 1,326 
3.9% 12/15/24 2,011 1,951 
4.9% 12/15/44 883 821 
Pinnacle Merger Sub, Inc. 9.5% 10/1/23 (f) 498 554 
Valeant Pharmaceuticals International, Inc.:   
5.375% 3/15/20 (f) 5,310 4,752 
5.5% 3/1/23 (f) 1,750 1,501 
5.625% 12/1/21 (f) 810 707 
5.875% 5/15/23 (f) 8,150 7,050 
6.125% 4/15/25 (f) 10,225 8,845 
6.75% 8/15/18 (f) 3,620 3,530 
7.5% 7/15/21 (f) 1,540 1,455 
VPI Escrow Corp. 6.375% 10/15/20 (f) 1,445 1,324 
Watson Pharmaceuticals, Inc. 1.875% 10/1/17 1,940 1,943 
Zoetis, Inc. 1.875% 2/1/18 898 890 
  95,668 
TOTAL HEALTH CARE  290,455 
INDUSTRIALS - 0.6%   
Aerospace & Defense - 0.1%   
BAE Systems Holdings, Inc. 6.375% 6/1/19 (f) 3,650 4,093 
DigitalGlobe, Inc. 5.25% 2/1/21 (f) 260 221 
TransDigm, Inc.:   
6% 7/15/22 1,155 1,135 
6.5% 7/15/24 1,135 1,118 
6.5% 5/15/25 (f) 7,335 7,207 
  13,774 
Airlines - 0.0%   
Continental Airlines, Inc.:   
pass-thru trust certificates:   
8.388% 5/1/22 6 7 
9.798% 4/1/21 2,035 2,248 
6.125% 4/29/18 415 430 
6.648% 3/15/19 1,020 1,048 
6.9% 7/2/19 413 426 
U.S. Airways pass-thru trust certificates:   
6.85% 1/30/18 1,476 1,564 
8.36% 1/20/19 905 967 
  6,690 
Building Products - 0.1%   
Builders FirstSource, Inc. 10.75% 8/15/23 (f) 5,000 5,125 
HD Supply, Inc. 5.25% 12/15/21 (f) 1,985 2,062 
HMAN Finance Sub Corp. 6.375% 7/15/22 (f) 510 454 
Nortek, Inc. 8.5% 4/15/21 925 957 
Shea Homes Ltd. Partnershp/Corp.:   
5.875% 4/1/23 (f) 440 454 
6.125% 4/1/25 (f) 440 454 
USG Corp.:   
5.875% 11/1/21 (f) 255 268 
6.3% 11/15/16 170 175 
7.875% 3/30/20 (f) 905 949 
9.75% 1/15/18 (h) 975 1,094 
  11,992 
Commercial Services & Supplies - 0.1%   
ADT Corp. 6.25% 10/15/21 1,140 1,191 
APX Group, Inc.:   
6.375% 12/1/19 16,045 15,323 
8.75% 12/1/20 12,565 10,366 
Cenveo Corp. 6% 8/1/19 (f) 730 544 
Clean Harbors, Inc. 5.125% 6/1/21 740 742 
Covanta Holding Corp.:   
6.375% 10/1/22 875 908 
7.25% 12/1/20 775 807 
Garda World Security Corp.:   
7.25% 11/15/21 (f) 525 467 
7.25% 11/15/21 (f) 3,295 2,933 
LBC Tank Terminals Holding Netherlands BV 6.875% 5/15/23 (f) 215 218 
TMS International Corp. 7.625% 10/15/21 (f) 255 224 
  33,723 
Machinery - 0.0%   
Blueline Rent Finance Corp./Volvo 7% 2/1/19 (f) 475 431 
Ingersoll-Rand Luxembourg Finance SA 2.625% 5/1/20 1,481 1,465 
Schaeffler Finance BV:   
4.25% 5/15/21 (f) 1,760 1,764 
4.75% 5/15/21 (f) 3,160 3,207 
Shale-Inland Holdings LLC/Shale-Inland Finance Corp. 8.75% 11/15/19 (f) 950 684 
TRAC Intermodal LLC/TRAC Intermodal Corp. 11% 8/15/19 455 494 
  8,045 
Marine - 0.0%   
Navios Maritime Acquisition Corp./Navios Acquisition Finance U.S., Inc. 8.125% 11/15/21 (f) 630 589 
Navios Maritime Holdings, Inc.:   
7.375% 1/15/22 (f) 3,065 2,299 
8.125% 2/15/19 975 658 
Navios South American Logistics, Inc./Navios Logistics Finance U.S., Inc. 7.25% 5/1/22 (f) 700 560 
Ultrapetrol (Bahamas) Ltd. 8.875% 6/15/21 755 408 
  4,514 
Professional Services - 0.0%   
FTI Consulting, Inc. 6% 11/15/22 2,405 2,513 
Road & Rail - 0.0%   
Hertz Corp.:   
5.875% 10/15/20 1,120 1,154 
6.25% 10/15/22 800 832 
Jurassic Holdings III, Inc. 6.875% 2/15/21 (Reg. S) (f) 1,245 766 
  2,752 
Trading Companies & Distributors - 0.3%   
Air Lease Corp.:   
2.125% 1/15/18 2,759 2,718 
2.625% 9/4/18 6,100 6,049 
3.75% 2/1/22 6,505 6,420 
3.875% 4/1/21 5,301 5,354 
4.25% 9/15/24 4,566 4,475 
4.75% 3/1/20 4,617 4,868 
Aircastle Ltd. 5.5% 2/15/22 1,340 1,404 
Ashtead Capital, Inc. 5.625% 10/1/24 (f) 1,825 1,857 
International Lease Finance Corp.:   
3.875% 4/15/18 4,400 4,439 
5.75% 5/15/16 1,840 1,868 
5.875% 8/15/22 4,385 4,739 
6.25% 5/15/19 3,035 3,263 
7.125% 9/1/18 (f) 5,560 6,102 
8.25% 12/15/20 4,165 4,967 
8.625% 1/15/22 3,910 4,780 
NES Rentals Holdings, Inc. 7.875% 5/1/18 (f) 365 352 
United Rentals North America, Inc.:   
4.625% 7/15/23 1,220 1,212 
5.5% 7/15/25 975 975 
  65,842 
TOTAL INDUSTRIALS  149,845 
INFORMATION TECHNOLOGY - 0.3%   
Communications Equipment - 0.0%   
Alcatel-Lucent U.S.A., Inc.:   
4.625% 7/1/17 (f) 395 405 
6.75% 11/15/20 (f) 1,205 1,275 
Hughes Satellite Systems Corp. 6.5% 6/15/19 5,408 5,854 
Lucent Technologies, Inc.:   
6.45% 3/15/29 5,541 5,680 
6.5% 1/15/28 1,110 1,116 
  14,330 
Electronic Equipment & Components - 0.0%   
Anixter International, Inc. 5.625% 5/1/19 705 746 
Sanmina Corp. 4.375% 6/1/19 (f) 1,295 1,318 
Tyco Electronics Group SA:   
2.375% 12/17/18 1,087 1,092 
6.55% 10/1/17 815 886 
  4,042 
Internet Software & Services - 0.0%   
CyrusOne LP/CyrusOne Finance Corp. 6.375% 11/15/22 885 923 
Rackspace Hosting, Inc. 6.5% 1/15/24 (f) 1,780 1,780 
VeriSign, Inc. 4.625% 5/1/23 1,225 1,210 
  3,913 
IT Services - 0.0%   
CDW LLC/CDW Finance Corp. 6% 8/15/22 1,670 1,762 
Global Cash Access, Inc. 10% 1/15/22 (f) 565 499 
Xerox Corp. 2.95% 3/15/17 947 957 
  3,218 
Semiconductors & Semiconductor Equipment - 0.1%   
Entegris, Inc. 6% 4/1/22 (f) 365 372 
Micron Technology, Inc.:   
5.25% 1/15/24 (f) 2,494 2,319 
5.5% 2/1/25 1,695 1,572 
5.875% 2/15/22 880 885 
NXP BV/NXP Funding LLC 5.75% 2/15/21 (f) 1,595 1,667 
Qorvo, Inc.:   
6.75% 12/1/23 (f) 4,050 4,141 
7% 12/1/25 (f) 3,555 3,653 
Sensata Technologies UK Financing Co. PLC 6.25% 2/15/26 (f) 2,675 2,755 
  17,364 
Software - 0.1%   
Activision Blizzard, Inc. 6.125% 9/15/23 (f) 1,255 1,371 
Blue Coat Systems, Inc. 8.375% 6/1/23 (f) 7,710 7,864 
BMC Software Finance, Inc. 8.125% 7/15/21 (f) 2,645 2,050 
BMC Software, Inc. 7.25% 6/1/18 395 361 
Boxer Parent Co., Inc. 9% 10/15/19 pay-in-kind (f)(h) 1,720 1,262 
Ensemble S Merger Sub, Inc. 9% 9/30/23 (f) 2,605 2,585 
  15,493 
Technology Hardware, Storage & Peripherals - 0.1%   
Apple, Inc. 4.375% 5/13/45 6,392 6,423 
Hewlett Packard Enterprise Co.:   
3.6% 10/15/20 (f) 6,577 6,629 
4.9% 10/15/25 (f) 6,577 6,494 
6.35% 10/15/45 (f) 6,577 6,314 
  25,860 
TOTAL INFORMATION TECHNOLOGY  84,220 
MATERIALS - 0.3%   
Chemicals - 0.1%   
Blue Cube Spinco, Inc.:   
9.75% 10/15/23 (f) 1,790 1,951 
10% 10/15/25 (f) 960 1,061 
Evolution Escrow Issuer LLC 7.5% 3/15/22 (f) 2,562 1,704 
LSB Industries, Inc. 7.75% 8/1/19 425 366 
Platform Specialty Products Corp. 6.5% 2/1/22 (f) 3,125 2,719 
PolyOne Corp. 5.25% 3/15/23 1,360 1,346 
PSPC Escrow II Corp. 10.375% 5/1/21 (f) 480 490 
SPCM SA 6% 1/15/22 (f) 555 561 
The Chemours Company LLC:   
6.625% 5/15/23 (f) 1,985 1,494 
7% 5/15/25 (f) 505 377 
Tronox Finance LLC 6.375% 8/15/20 2,105 1,405 
U.S. Coatings Acquisition, Inc./Flash Dutch 2 BV 7.375% 5/1/21 (f) 585 622 
W. R. Grace & Co.-Conn.:   
5.125% 10/1/21 (f) 885 892 
5.625% 10/1/24 (f) 355 361 
  15,349 
Construction Materials - 0.0%   
CEMEX Finance LLC 6% 4/1/24 (f) 1,600 1,472 
Prince Mineral Holding Corp. 11.5% 12/15/19 (f) 405 312 
  1,784 
Containers & Packaging - 0.0%   
Ardagh Finance Holdings SA 8.625% 6/15/19 pay-in-kind (f)(h) 877 879 
Ardagh Packaging Finance PLC 9.125% 10/15/20 (f) 685 719 
Ardagh Packaging Finance PLC/Ardagh MP Holdings U.S.A., Inc.:   
6.25% 1/31/19 (f) 680 678 
6.75% 1/31/21 (f) 785 791 
7% 11/15/20 (f) 126 126 
9.125% 10/15/20 (f) 690 724 
Consolidated Container Co. LLC/Consolidated Container Capital, Inc. 10.125% 7/15/20 (f) 2,135 1,815 
Crown Americas LLC/Crown Americas Capital Corp. III 6.25% 2/1/21 2,040 2,109 
Owens-Illinois, Inc. 7.8% 5/15/18 350 389 
Sealed Air Corp. 6.5% 12/1/20 (f) 1,065 1,182 
  9,412 
Metals & Mining - 0.2%   
BHP Billiton Financial (U.S.A.) Ltd.:   
6.25% 10/19/75 (f)(h) 2,727 2,741 
6.75% 10/19/75 (f)(h) 6,773 6,756 
Bluescope Steel Ltd./Bluescope Steel Finance 7.125% 5/1/18 (f) 255 249 
Cliffs Natural Resources, Inc. 8.25% 3/31/20 (f) 1,410 1,153 
Corporacion Nacional del Cobre de Chile (Codelco):   
3.875% 11/3/21 (f) 7,189 7,070 
4.5% 8/13/23 (Reg. S) 8,600 8,481 
4.875% 11/4/44 (f) 1,735 1,447 
4.875% 11/4/44 (Reg. S) 4,000 3,336 
JMC Steel Group, Inc. 8.25% 3/15/18 (f) 5,635 3,828 
Murray Energy Corp. 11.25% 4/15/21 (f) 4,670 1,039 
New Gold, Inc.:   
6.25% 11/15/22 (f) 615 524 
7% 4/15/20 (f) 345 321 
Ryerson, Inc./Joseph T Ryerson & Son, Inc.:   
9% 10/15/17 3,375 2,843 
11.25% 10/15/18 755 627 
Signode Industrial Group Lux SA/Signode Industrial Group U.S., Inc. 6.375% 5/1/22 (f) 595 544 
Walter Energy, Inc.:   
9.5% 10/15/19 (f)(i) 1,115 346 
12% 4/1/20 pay-in-kind (f)(h)(i) 912 9 
  41,314 
Paper & Forest Products - 0.0%   
Clearwater Paper Corp. 4.5% 2/1/23 1,250 1,194 
TOTAL MATERIALS  69,053 
TELECOMMUNICATION SERVICES - 1.1%   
Diversified Telecommunication Services - 0.8%   
Altice Financing SA:   
6.5% 1/15/22 (f) 2,300 2,312 
6.625% 2/15/23 (f) 2,620 2,599 
7.875% 12/15/19 (f) 550 573 
Altice Finco SA:   
8.125% 1/15/24 (f) 315 300 
9.875% 12/15/20 (f) 585 620 
AT&T, Inc. 2.45% 6/30/20 4,383 4,311 
BellSouth Capital Funding Corp. 7.875% 2/15/30 68 81 
Broadview Networks Holdings, Inc. 10.5% 11/15/17 1,908 1,764 
CenturyLink, Inc.:   
5.15% 6/15/17 440 453 
6% 4/1/17 3,101 3,202 
6.15% 9/15/19 3,331 3,423 
Eileme 2 AB 11.625% 1/31/20 (f) 1,725 1,844 
Embarq Corp.:   
7.082% 6/1/16 3,728 3,821 
7.995% 6/1/36 37,546 39,453 
FairPoint Communications, Inc. 8.75% 8/15/19 (f) 1,340 1,365 
Frontier Communications Corp.:   
8.875% 9/15/20 (f) 850 852 
10.5% 9/15/22 (f) 1,400 1,388 
GCI, Inc. 6.875% 4/15/25 1,350 1,397 
Intelsat Luxembourg SA:   
7.75% 6/1/21 4,960 1,934 
8.125% 6/1/23 1,090 409 
Level 3 Communications, Inc. 5.75% 12/1/22 1,295 1,308 
Level 3 Financing, Inc.:   
5.375% 8/15/22 2,110 2,124 
6.125% 1/15/21 1,405 1,472 
7% 6/1/20 1,460 1,542 
Lynx I Corp. 5.375% 4/15/21 (f) 693 714 
Lynx II Corp. 6.375% 4/15/23 (f) 652 667 
Sable International Finance Ltd. 6.875% 8/1/22 (f) 1,915 1,925 
Sprint Capital Corp.:   
6.875% 11/15/28 3,795 2,732 
6.9% 5/1/19 8,975 7,988 
8.75% 3/15/32 1,500 1,172 
UPCB Finance IV Ltd. 5.375% 1/15/25 (f) 5,000 4,838 
Verizon Communications, Inc.:   
2.625% 2/21/20 8,000 8,075 
4.5% 9/15/20 38,502 41,805 
5.012% 8/21/54 19,396 18,384 
6.1% 4/15/18 1,909 2,102 
6.25% 4/1/37 3,729 4,221 
6.4% 9/15/33 5,323 6,216 
6.55% 9/15/43 13,650 16,486 
Virgin Media Finance PLC 6% 10/15/24 (f) 3,370 3,353 
Wind Acquisition Finance SA 4.75% 7/15/20 (f) 1,670 1,666 
  200,891 
Wireless Telecommunication Services - 0.3%   
America Movil S.A.B. de CV 2.375% 9/8/16 307 309 
Clearwire Communications LLC/Clearwire Finance, Inc. 14.75% 12/1/16 (f) 3,050 3,397 
Digicel Group Ltd.:   
6% 4/15/21 (f) 2,805 2,503 
7.125% 4/1/22 (f) 2,000 1,611 
8.25% 9/30/20 (f) 4,820 4,187 
Intelsat Jackson Holdings SA:   
5.5% 8/1/23 2,315 1,725 
6.625% 12/15/22 (Reg. S) 5,045 3,052 
7.5% 4/1/21 3,895 3,233 
Neptune Finco Corp.:   
6.625% 10/15/25 (f) 1,460 1,513 
10.125% 1/15/23 (f) 7,200 7,524 
10.875% 10/15/25 (f) 4,485 4,743 
SBA Communications Corp. 5.625% 10/1/19 1,870 1,952 
Sprint Communications, Inc.:   
6% 11/15/22 13,365 10,024 
9% 11/15/18 (f) 6,595 7,123 
Sprint Corp.:   
7.125% 6/15/24 4,965 3,798 
7.25% 9/15/21 2,575 2,086 
7.875% 9/15/23 2,950 2,375 
T-Mobile U.S.A., Inc.:   
5.25% 9/1/18 695 708 
6% 3/1/23 2,590 2,603 
6.25% 4/1/21 565 579 
6.464% 4/28/19 420 432 
6.5% 1/15/24 7,235 7,289 
6.5% 1/15/26 2,425 2,418 
6.542% 4/28/20 1,475 1,523 
6.625% 4/1/23 15,005 15,390 
6.633% 4/28/21 1,335 1,380 
6.731% 4/28/22 985 1,015 
6.836% 4/28/23 385 396 
  94,888 
TOTAL TELECOMMUNICATION SERVICES  295,779 
UTILITIES - 1.1%   
Electric Utilities - 0.7%   
AmerenUE 6.4% 6/15/17 4,026 4,324 
American Transmission Systems, Inc. 5% 9/1/44 (f) 1,340 1,357 
Duquesne Light Holdings, Inc.:   
5.9% 12/1/21 (f) 3,934 4,423 
6.4% 9/15/20 (f) 10,769 12,262 
Edison International 3.75% 9/15/17 3,355 3,471 
Entergy Corp. 4% 7/15/22 6,500 6,662 
Eversource Energy 1.45% 5/1/18 1,511 1,489 
Exelon Corp.:   
1.55% 6/9/17 1,266 1,262 
3.95% 6/15/25 5,966 6,047 
FirstEnergy Corp.:   
2.75% 3/15/18 10,020 10,062 
4.25% 3/15/23 23,348 23,685 
7.375% 11/15/31 31,788 38,366 
FirstEnergy Solutions Corp. 6.05% 8/15/21 9,830 10,486 
InterGen NV 7% 6/30/23 (f) 9,075 7,532 
IPALCO Enterprises, Inc. 3.45% 7/15/20 10,457 10,300 
LG&E and KU Energy LLC 3.75% 11/15/20 745 772 
Nevada Power Co.:   
6.5% 5/15/18 5,100 5,715 
6.5% 8/1/18 1,191 1,328 
NSG Holdings II, LLC 7.75% 12/15/25 (f) 4,708 5,167 
NV Energy, Inc. 6.25% 11/15/20 1,666 1,904 
Pennsylvania Electric Co. 6.05% 9/1/17 450 482 
Progress Energy, Inc. 4.4% 1/15/21 336 357 
RJS Power Holdings LLC 5.125% 7/15/19 (f) 2,150 1,940 
TECO Finance, Inc.:   
4% 3/15/16 1,242 1,251 
5.15% 3/15/20 2,029 2,212 
West Penn Power Co. 5.95% 12/15/17 (f) 10,500 11,307 
  174,163 
Gas Utilities - 0.0%   
AmeriGas Finance LLC/AmeriGas Finance Corp. 7% 5/20/22 1,785 1,839 
Southern Natural Gas Co. 5.9% 4/1/17 (f) 260 267 
Southern Natural Gas Co./Southern Natural Issuing Corp. 4.4% 6/15/21 1,753 1,737 
Texas Eastern Transmission LP 6% 9/15/17 (f) 948 1,010 
  4,853 
Independent Power and Renewable Electricity Producers - 0.2%   
Calpine Corp.:   
5.375% 1/15/23 1,475 1,375 
5.75% 1/15/25 635 595 
6% 1/15/22 (f) 1,115 1,157 
7.875% 1/15/23 (f) 2,470 2,621 
Dynegy, Inc.:   
6.75% 11/1/19 1,075 1,050 
7.375% 11/1/22 4,055 3,909 
7.625% 11/1/24 3,465 3,292 
Energy Future Intermediate Holding Co. LLC/Energy Future Intermediate Holding Finance, Inc.:   
11% 10/1/21 (i) 9,678 10,259 
12.25% 3/1/22 (f)(i) 13,357 14,242 
NRG Energy, Inc. 6.625% 3/15/23 6,445 5,929 
PPL Energy Supply LLC 6.5% 6/1/25 (f) 1,100 946 
TerraForm Power Operating LLC:   
5.875% 2/1/23 (f) 4,015 2,991 
6.125% 6/15/25 (f) 435 309 
TXU Corp.:   
5.55% 11/15/14 (i) 61 60 
6.5% 11/15/24 (i) 3,550 3,479 
6.55% 11/15/34 (i) 7,200 7,056 
  59,270 
Multi-Utilities - 0.2%   
Dominion Resources, Inc.:   
2.6266% 9/30/66 (h) 19,347 15,087 
7.5% 6/30/66 (h) 2,474 2,150 
NiSource Finance Corp.:   
5.45% 9/15/20 5,259 5,796 
6.4% 3/15/18 983 1,078 
6.8% 1/15/19 2,710 3,059 
PG&E Corp. 2.4% 3/1/19 791 793 
Puget Energy, Inc. 6% 9/1/21 691 785 
Sempra Energy 2.3% 4/1/17 5,903 5,949 
Wisconsin Energy Corp. 6.25% 5/15/67 (h) 3,876 3,178 
  37,875 
TOTAL UTILITIES  276,161 
TOTAL NONCONVERTIBLE BONDS  4,318,658 
TOTAL CORPORATE BONDS   
(Cost $4,379,857)  4,321,429 
U.S. Government and Government Agency Obligations - 4.2%   
U.S. Treasury Inflation-Protected Obligations - 0.7%   
U.S. Treasury Inflation-Indexed Bonds:   
0.75% 2/15/45 $85,195 $76,100 
1.375% 2/15/44 71,934 74,964 
U.S. Treasury Inflation-Indexed Notes 0.25% 1/15/25 44,062 42,521 
TOTAL U.S. TREASURY INFLATION-PROTECTED OBLIGATIONS  193,585 
U.S. Treasury Obligations - 3.5%   
U.S. Treasury Bonds 2.875% 8/15/45 249,419 243,855 
U.S. Treasury Notes:   
0.5% 8/31/16 96,300 96,217 
0.625% 8/15/16 50,000 50,010 
1% 8/31/16 200,000 200,547 
1% 8/15/18 32,700 32,549 
1.625% 6/30/20 60,496 60,501 
2% 8/15/25 206,514 202,489 
TOTAL U.S. TREASURY OBLIGATIONS  886,168 
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS   
(Cost $1,104,962)  1,079,753 
U.S. Government Agency - Mortgage Securities - 0.9%   
Fannie Mae - 0.5%   
2.302% 6/1/36 (h) 125 131 
2.5% 1/1/28 to 4/1/43 9,460 9,563 
2.5% 12/1/30 (j) 2,600 2,634 
2.628% 7/1/37 (h) 208 221 
3% 5/1/27 to 11/1/45 16,770 16,875 
3.5% 11/1/25 to 8/1/45 25,789 26,897 
3.5% 12/1/45 (j) 7,000 7,251 
3.5% 12/1/45 400 414 
4% 11/1/40 to 7/1/45 19,020 20,242 
4.5% 11/1/19 to 4/1/45 19,121 20,756 
5% 4/1/41 to 10/1/41 3,107 3,435 
5.5% 5/1/25 to 4/1/39 2,376 2,670 
6% 7/1/35 to 8/1/37 2,498 2,844 
6.5% 7/1/32 to 8/1/36 431 502 
TOTAL FANNIE MAE  114,435 
Freddie Mac - 0.3%   
3% 3/1/45 to 7/1/45 13,788 13,850 
3.176% 10/1/35 (h) 119 126 
3.5% 8/1/42 to 6/1/45 13,979 14,478 
4% 6/1/24 to 8/1/44 13,404 14,247 
4.5% 3/1/41 to 4/1/41 6,717 7,272 
5% 3/1/19 to 7/1/41 2,764 3,013 
5.5% 1/1/38 to 6/1/41 7,909 8,853 
6% 7/1/37 to 8/1/37 219 249 
6.5% 3/1/36 1,646 1,914 
TOTAL FREDDIE MAC  64,002 
Ginnie Mae - 0.1%   
3% 6/20/45 1,178 1,199 
3.5% 7/20/42 to 8/20/45 18,032 18,854 
4% 8/15/39 to 7/20/45 8,328 8,865 
4.5% 4/20/41 2,327 2,515 
5% 2/15/39 to 5/15/39 703 781 
5.5% 6/15/35 to 9/15/39 2,356 2,671 
TOTAL GINNIE MAE  34,885 
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES   
(Cost $212,465)  213,322 
Asset-Backed Securities - 0.3%   
Accredited Mortgage Loan Trust Series 2005-1 Class M1, 0.926% 4/25/35 (h) $504 $456 
ACE Securities Corp. Home Equity Loan Trust Series 2004-HE1 Class M2, 1.847% 3/25/34 (h) 193 185 
AmeriCredit Automobile Receivables Trust Series 2013-4:   
Class C, 2.72% 9/9/19 1,240 1,252 
Class D, 3.31% 10/8/19 770 783 
Ameriquest Mortgage Securities, Inc. pass-thru certificates:   
Series 2003-10 Class M1, 1.247% 12/25/33 (h) 36 33 
Series 2004-R2 Class M3, 1.022% 4/25/34 (h) 68 52 
Argent Securities, Inc. pass-thru certificates:   
Series 2003-W7 Class A2, 1.001% 3/25/34 (h) 36 33 
Series 2004-W11 Class M2, 1.247% 11/25/34 (h) 426 414 
Series 2004-W7 Class M1, 1.022% 5/25/34 (h) 1,108 1,037 
Series 2006-W4 Class A2C, 0.357% 5/25/36 (h) 875 310 
Asset Backed Securities Corp. Home Equity Loan Trust:   
Series 2004-HE2 Class M1, 1.022% 4/25/34 (h) 1,286 1,166 
Series 2006-HE2 Class M1, 0.591% 3/25/36 (h) 14 0 
Carrington Mortgage Loan Trust Series 2007-RFC1 Class A3, 0.337% 12/25/36 (h) 1,368 918 
Countrywide Home Loans, Inc.:   
Series 2004-3 Class M4, 1.676% 4/25/34 (h) 50 46 
Series 2004-4 Class M2, 0.992% 6/25/34 (h) 76 69 
Series 2004-7 Class AF5, 5.868% 1/25/35 1,444 1,500 
Fannie Mae Series 2004-T5 Class AB3, 1.0288% 5/28/35 (h) 30 27 
Fieldstone Mortgage Investment Corp. Series 2004-3 Class M5, 2.372% 8/25/34 (h) 221 208 
First Franklin Mortgage Loan Trust Series 2004-FF2 Class M3, 1.022% 3/25/34 (h) 8 7 
Fremont Home Loan Trust Series 2005-A:   
Class M3, 0.932% 1/25/35 (h) 720 629 
Class M4, 1.217% 1/25/35 (h) 264 144 
GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 0.7732% 2/25/47 (f)(h) 924 832 
GE Business Loan Trust Series 2006-2A:   
Class A, 0.377% 11/15/34 (f)(h) 504 479 
Class B, 0.477% 11/15/34 (f)(h) 182 170 
Class C, 0.577% 11/15/34 (f)(h) 302 269 
Class D, 0.947% 11/15/34 (f)(h) 115 97 
Home Equity Asset Trust:   
Series 2003-2 Class M1, 1.541% 8/25/33 (h) 186 174 
Series 2003-3 Class M1, 1.511% 8/25/33 (h) 340 325 
Series 2003-5 Class A2, 0.921% 12/25/33 (h) 25 23 
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.387% 1/25/37 (h) 1,137 730 
Invitation Homes Trust Series 2015-SFR3 Class E, 3.9468% 8/17/32 (f)(h) 1,947 1,914 
JPMorgan Mortgage Acquisition Trust:   
Series 2006-NC2 Class M2, 0.521% 7/25/36 (h) 2,146 951 
Series 2007-CH1 Class AV4, 0.327% 11/25/36 (h) 155 155 
KeyCorp Student Loan Trust:   
Series 1999-A Class A2, 0.6564% 12/27/29 (h) 82 82 
Series 2006-A Class 2C, 1.4764% 3/27/42 (h) 2,016 1,015 
MASTR Asset Backed Securities Trust Series 2007-HE1 Class M1, 0.497% 5/25/37 (h) 247 3 
Meritage Mortgage Loan Trust Series 2004-1 Class M1, 0.947% 7/25/34 (h) 79 66 
Merrill Lynch Mortgage Investors Trust:   
Series 2003-OPT1 Class M1, 1.172% 7/25/34 (h) 210 193 
Series 2006-FM1 Class A2B, 0.331% 4/25/37 (h) 183 182 
Series 2006-OPT1 Class A1A, 0.717% 6/25/35 (h) 1,158 1,119 
Morgan Stanley ABS Capital I Trust:   
Series 2004-HE6 Class A2, 0.877% 8/25/34 (h) 44 40 
Series 2005-NC1 Class M1, 0.857% 1/25/35 (h) 202 190 
Series 2005-NC2 Class B1, 1.952% 3/25/35 (h) 148 2 
New Century Home Equity Loan Trust Series 2005-4 Class M2, 0.707% 9/25/35 (h) 1,083 963 
Park Place Securities, Inc.:   
Series 2004-WCW1:   
Class M3, 2.072% 9/25/34 (h) 405 379 
Class M4, 2.372% 9/25/34 (h) 519 334 
Series 2005-WCH1 Class M4, 1.442% 1/25/36 (h) 1,120 999 
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 0.997% 4/25/33 (h) 4 4 
Santander Drive Auto Receivables Trust:   
Series 2014-2 Class C, 2.33% 11/15/19 5,443 5,475 
Series 2014-3:   
Class B, 1.45% 5/15/19 19,055 19,046 
Class C, 2.13% 8/17/20 19,051 19,116 
Series 2014-4 Class C, 2.6% 11/16/20 3,030 3,044 
Saxon Asset Securities Trust Series 2004-1 Class M1, 0.992% 3/25/35 (h) 579 536 
SLM Private Credit Student Loan Trust Series 2004-A Class C, 1.2872% 6/15/33 (h) 478 464 
Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1.946% 9/25/34 (h) 31 27 
Terwin Mortgage Trust Series 2003-4HE Class A1, 1.057% 9/25/34 (h) 22 19 
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 0.8871% 4/6/42 (f)(h) 1,530 780 
Whinstone Capital Management Ltd. Series 1A Class B3, 2.1199% 10/25/44 (f)(h) 1,358 1,358 
TOTAL ASSET-BACKED SECURITIES   
(Cost $64,045)  70,824 
Collateralized Mortgage Obligations - 0.1%   
Private Sponsor - 0.1%   
Bear Stearns ALT-A Trust floater Series 2005-1 Class A1, 0.781% 1/25/35 (h) 773 752 
Citigroup Mortgage Loan Trust sequential payer Series 2012-A Class A, 2.5% 6/25/51 (f) 2,141 2,107 
First Horizon Mortgage pass-thru Trust Series 2004-AR5 Class 2A1, 2.6605% 10/25/34 (h) 408 409 
Granite Master Issuer PLC floater:   
Series 2006-3 Class M2, 0.7668% 12/20/54 (h) 4,540 4,535 
Series 2006-4 Class M1, 0.5468% 12/20/54 (h) 829 828 
Series 2007-1:   
Class 1M1, 0.5068% 12/20/54 (h) 1,114 1,113 
Class 2M1, 0.7068% 12/20/54 (h) 1,431 1,430 
Series 2007-2 Class 2C1, 1.0573% 12/17/54 (h) 1,981 1,978 
Granite Mortgages PLC floater Series 2003-3 Class 1C, 2.7672% 1/20/44 (h) 326 326 
JPMorgan Mortgage Trust sequential payer Series 2006-A5 Class 3A5, 2.5863% 8/25/36 (h) 915 775 
MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 0.407% 5/25/47 (h) 272 251 
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.391% 2/25/37 (h) 570 510 
Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 0.487% 7/25/35 (h) 701 664 
RESI Finance LP/RESI Finance DE Corp. floater Series 2003-B:   
Class B5, 2.5469% 6/10/35 (f)(h) 265 241 
Class B6, 3.0469% 6/10/35 (f)(h) 56 51 
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 1.3234% 7/20/34 (h) 17 17 
Structured Asset Securities Corp. Series 2003-15A Class 4A, 2.5832% 4/25/33 (h) 80 80 
TBW Mortgage-Backed pass-thru certificates floater Series 2006-4 Class A3, 0.397% 9/25/36 (h) 1,053 1,002 
Thornburg Mortgage Securities Trust floater Series 2003-4 Class A1, 0.837% 9/25/43 (h) 1,820 1,757 
TOTAL COLLATERIZED MORTGAGE OBLIGATIONS   
(Cost $11,924)  18,826 
Commercial Mortgage Securities - 1.6%   
Asset Securitization Corp. Series 1997-D5 Class PS1, 1.4559% 2/14/43 (h)(k) 196 2 
Banc of America Commercial Mortgage Trust:   
sequential payer:   
Series 2006-3 Class A4, 5.889% 7/10/44 (h) 6,785 6,825 
Series 2006-6 Class A3, 5.369% 10/10/45 1,439 1,444 
Series 2007-3 Class A4, 5.5616% 6/10/49 (h) 13,438 13,922 
Banc of America Commercial Mortgage, Inc. sequential payer Series 2001-1 Class A4, 5.451% 1/15/49 1,757 1,816 
Bayview Commercial Asset Trust:   
floater:   
Series 2003-2 Class M1, 1.496% 12/25/33 (f)(h) 24 22 
Series 2005-3A:   
Class A2, 0.621% 11/25/35 (f)(h) 220 196 
Class M1, 0.661% 11/25/35 (f)(h) 29 25 
Class M2, 0.711% 11/25/35 (f)(h) 37 29 
Class M3, 0.731% 11/25/35 (f)(h) 33 25 
Class M4, 0.821% 11/25/35 (f)(h) 41 31 
Series 2005-4A:   
Class A2, 0.611% 1/25/36 (f)(h) 573 507 
Class B1, 1.621% 1/25/36 (f)(h) 24 15 
Class M1, 0.671% 1/25/36 (f)(h) 185 150 
Class M2, 0.691% 1/25/36 (f)(h) 55 44 
Class M3, 0.721% 1/25/36 (f)(h) 81 61 
Class M4, 0.831% 1/25/36 (f)(h) 45 33 
Class M5, 0.871% 1/25/36 (f)(h) 45 33 
Class M6, 0.921% 1/25/36 (f)(h) 48 32 
Series 2006-1:   
Class A2, 0.581% 4/25/36 (f)(h) 92 80 
Class M1, 0.601% 4/25/36 (f)(h) 33 26 
Class M2, 0.621% 4/25/36 (f)(h) 35 28 
Class M3, 0.641% 4/25/36 (f)(h) 30 24 
Class M4, 0.741% 4/25/36 (f)(h) 17 13 
Class M5, 0.781% 4/25/36 (f)(h) 16 12 
Class M6, 0.861% 4/25/36 (f)(h) 33 23 
Series 2006-2A:   
Class M1, 0.531% 7/25/36 (f)(h) 81 64 
Class M2, 0.551% 7/25/36 (f)(h) 57 45 
Class M3, 0.571% 7/25/36 (f)(h) 47 37 
Class M4, 0.641% 7/25/36 (f)(h) 32 25 
Class M5, 0.691% 7/25/36 (f)(h) 39 29 
Series 2006-3A Class M4, 0.651% 10/25/36 (f)(h) 24 2 
Series 2006-4A:   
Class A2, 0.491% 12/25/36 (f)(h) 1,727 1,459 
Class M1, 0.511% 12/25/36 (f)(h) 115 89 
Class M2, 0.531% 12/25/36 (f)(h) 76 50 
Class M3, 0.561% 12/25/36 (f)(h) 78 46 
Series 2007-1 Class A2, 0.491% 3/25/37 (f)(h) 346 290 
Series 2007-2A:   
Class A1, 0.491% 7/25/37 (f)(h) 359 308 
Class A2, 0.541% 7/25/37 (f)(h) 336 269 
Class M1, 0.591% 7/25/37 (f)(h) 118 90 
Class M2, 0.631% 7/25/37 (f)(h) 65 45 
Class M3, 0.711% 7/25/37 (f)(h) 50 31 
Series 2007-3:   
Class A2, 0.511% 7/25/37 (f)(h) 353 286 
Class M1, 0.531% 7/25/37 (f)(h) 70 53 
Class M2, 0.561% 7/25/37 (f)(h) 75 54 
Class M3, 0.591% 7/25/37 (f)(h) 118 58 
Class M4, 0.721% 7/25/37 (f)(h) 185 61 
Class M5, 0.821% 7/25/37 (f)(h) 90 14 
Series 2007-4A Class M1, 1.147% 9/25/37 (f)(h) 125 26 
Series 2004-1, Class IO, 1.25% 4/25/34 (f)(k) 777 29 
Series 2006-3A, Class IO, 0% 10/25/36 (f)(h)(k) 15,306 0 
Bear Stearns Commercial Mortgage Securities Trust:   
sequential payer:   
Series 2007-PW16 Class A4, 5.7049% 6/11/40 (h) 433 449 
Series 2007-PW18 Class A4, 5.7% 6/11/50 4,307 4,512 
Series 2006-T22 Class A4, 5.6179% 4/12/38 (h) 55 55 
Series 2007-PW18 Class X2, 0.3004% 6/11/50 (f)(h)(k) 41,984 0 
Berkeley Federal Bank & Trust FSB Series 1994-1 Class B, 0% 8/1/24 (f)(h) 99 75 
C-BASS Trust floater Series 2006-SC1 Class A, 0.491% 5/25/36 (f)(h) 166 159 
CDGJ Commercial Mortgage Trust Series 2014-BXCH Class DPA, 3.1958% 12/15/27 (f)(h) 2,276 2,258 
CGBAM Commercial Mortgage Trust Series 2015-SMRT Class D, 3.768% 4/10/28 (f)(h) 1,100 1,119 
Citigroup Commercial Mortgage Trust Series 2007-C6 Class A4, 5.7114% 12/10/49 (h) 3,035 3,172 
Citigroup/Deutsche Bank Commercial Mortgage Trust sequential payer Series 2007-CD4 Class A4, 5.322% 12/11/49 7,671 7,840 
COMM Mortgage Trust pass-thru certificates floater Series 2005-F10A Class J, 1.047% 4/15/17 (f)(h) 96 96 
Credit Suisse Commercial Mortgage Trust:   
sequential payer:   
Series 2006-C4 Class A3, 5.467% 9/15/39 874 888 
Series 2007-C2 Class A2, 5.448% 1/15/49 (h) 18 18 
Series 2007-C3 Class A4, 5.699% 6/15/39 (h) 322 334 
Series 2007-C5 Class A4, 5.695% 9/15/40 (h) 793 823 
Credit Suisse First Boston Mortgage Securities Corp. Series 2001-CKN5 Class AX, 0% 9/15/34 (f)(h)(k) 1 0 
CSMC Series 2015-TOWN:   
Class B, 2.097% 3/15/17 (f)(h) 1,198 1,191 
Class C, 2.4458% 3/15/17 (f)(h) 1,167 1,159 
Class D, 3.397% 3/15/17 (f)(h) 1,766 1,749 
Extended Stay America Trust floater Series 2013-ESFL:   
Class BFL, 1.293% 12/5/31 (f)(h) 883 883 
Class CFL, 1.693% 12/5/31 (f)(h) 643 643 
GAHR Commercial Mortgage Trust Series 2015-NRF:   
Class BFX, 3.4949% 12/15/19 (f)(h) 6,410 6,444 
Class CFX, 3.4949% 12/15/19 (f)(h) 5,380 5,319 
Class DFX, 3.4949% 12/15/19 (f)(h) 4,559 4,418 
GE Capital Commercial Mortgage Corp. sequential payer Series 2007-C1 Class A4, 5.543% 12/10/49 10,052 10,382 
Greenwich Capital Commercial Funding Corp.:   
sequential payer Series 2007-GG9 Class A4, 5.444% 3/10/39 24,169 24,916 
Series 2006-GG7 Class A4, 5.8193% 7/10/38 (h) 6,646 6,692 
GS Mortgage Securities Trust sequential payer Series 2006-GG8:   
Class A1A, 5.547% 11/10/39 2,048 2,091 
Class A4, 5.56% 11/10/39 3,304 3,316 
Hilton U.S.A. Trust Series 2013-HLT:   
Class CFX, 3.7141% 11/5/30 (f) 1,180 1,175 
Class DFX, 4.4065% 11/5/30 (f) 11,029 11,029 
JPMorgan Chase Commercial Mortgage Securities Trust:   
floater:   
Series 2006-FL2A:   
Class E, 0.477% 11/15/18 (f)(h) 91 89 
Class F, 0.527% 11/15/18 (f)(h) 265 254 
Class G, 0.557% 11/15/18 (f)(h) 230 220 
Class H, 0.697% 11/15/18 (f)(h) 176 168 
Series 2014-BXH:   
Class C, 1.847% 4/15/27 (f)(h) 1,775 1,773 
Class D, 2.447% 4/15/27 (f)(h) 3,781 3,773 
sequential payer:   
Series 2006-CB17 Class A4, 5.429% 12/12/43 2,096 2,140 
Series 2006-LDP8:   
Class A1A, 5.397% 5/15/45 1,622 1,648 
Class A4, 5.399% 5/15/45 520 524 
Series 2006-LDP9 Class A3, 5.336% 5/15/47 14,335 14,660 
Series 2007-CB19 Class A4, 5.695% 2/12/49 (h) 3,209 3,335 
Series 2007-LD11 Class A4, 5.7741% 6/15/49 (h) 31,964 32,883 
Series 2007-LDPX Class A3, 5.42% 1/15/49 13,750 14,144 
Series 2006-LDP7 Class A4, 6.1047% 4/15/45 (h) 1,051 1,057 
Series 2007-LDP10 Class CS, 5.466% 1/15/49 (h) 50 0 
LB Commercial Conduit Mortgage Trust sequential payer Series 2007-C3 Class A4, 6.0966% 7/15/44 (h) 726 761 
LB Multi-family Mortgage Trust Series 1991-4 Class A1, 7.125% 4/25/21 (h) 1 1 
LB-UBS Commercial Mortgage Trust:   
sequential payer:   
Series 2006-C6 Class A4, 5.372% 9/15/39 407 414 
Series 2006-C7 Class A2, 5.3% 11/15/38 280 281 
Series 2007-C1 Class A4, 5.424% 2/15/40 12,353 12,683 
Series 2007-C2 Class A3, 5.43% 2/15/40 1,609 1,662 
Series 2007-C6 Class A4, 5.858% 7/15/40 (h) 893 923 
Series 2007-C7 Class A3, 5.866% 9/15/45 1,360 1,444 
Merrill Lynch Mortgage Trust:   
Series 2005-LC1 Class F, 5.414% 1/12/44 (f)(h) 793 791 
Series 2008-C1 Class A4, 5.69% 2/12/51 1,386 1,465 
Merrill Lynch-CFC Commercial Mortgage Trust:   
sequential payer:   
Series 2006-4 Class ASB, 5.133% 12/12/49 (h) 13 13 
Series 2007-5 Class A4, 5.378% 8/12/48 6,608 6,786 
Series 2007-6 Class A4, 5.485% 3/12/51 (h) 7,400 7,656 
Series 2007-7 Class A4, 5.7427% 6/12/50 (h) 2,959 3,089 
Series 2007-6 Class B, 5.635% 3/12/51 (h) 912 285 
Series 2007-8 Class A3, 5.8772% 8/12/49 (h) 787 825 
Morgan Stanley Capital I Trust:   
floater:   
Series 2006-XLF Class C, 1.397% 7/15/19 (f)(h) 272 272 
Series 2007-XLFA:   
Class D, 0.3858% 10/15/20 (f)(h) 211 211 
Class E, 0.4458% 10/15/20 (f)(h) 634 632 
Class F, 0.4958% 10/15/20 (f)(h) 380 379 
Class G, 0.5358% 10/15/20 (f)(h) 470 469 
Class H, 0.6258% 10/15/20 (f)(h) 296 293 
Class J, 0.7758% 10/15/20 (f)(h) 171 167 
sequential payer:   
Series 2007-HQ11 Class A31, 5.439% 2/12/44 50 50 
Series 2007-IQ15 Class A4, 5.9171% 6/11/49 (h) 26,309 27,496 
Series 2006-IQ11 Class A4, 5.7565% 10/15/42 (h) 83 83 
Series 2007-IQ14:   
Class A4, 5.692% 4/15/49 1,368 1,418 
Class AAB, 5.654% 4/15/49 734 743 
Salomon Brothers Mortgage Securities VII, Inc. Series 2006-C2 Class H, 6.308% 7/18/33 (f) 118 36 
Wachovia Bank Commercial Mortgage Trust:   
floater Series 2006-WL7A Class J, 0.7993% 9/15/21 (f)(h) 223 212 
sequential payer:   
Series 2007-C30 Class A5, 5.342% 12/15/43 15,721 16,200 
Series 2007-C31:   
Class A4, 5.509% 4/15/47 47,617 49,525 
Class A5, 5.5% 4/15/47 20,438 21,163 
Series 2007-C33:   
Class A4, 5.9524% 2/15/51 (h) 22,411 23,266 
Class A5, 5.9524% 2/15/51 (h) 10,259 10,882 
Series 2005-C22 Class B, 5.3981% 12/15/44 (h) 2,022 2,018 
Series 2006-C27 Class A1A, 5.749% 7/15/45 (h) 7,843 7,929 
Series 2007-C30:   
Class C, 5.483% 12/15/43 (h) 2,736 2,801 
Class D, 5.513% 12/15/43 (h) 1,459 1,455 
TOTAL COMMERCIAL MORTGAGE SECURITIES   
(Cost $420,374)  415,530 
Municipal Securities - 1.3%   
California Gen. Oblig.:   
Series 2009, 7.35% 11/1/39 $1,095 $1,562 
7.3% 10/1/39 16,765 23,738 
7.5% 4/1/34 7,195 10,202 
7.55% 4/1/39 27,365 40,416 
7.6% 11/1/40 16,125 24,237 
7.625% 3/1/40 2,445 3,601 
Chicago Gen. Oblig.:   
(Taxable Proj.):   
Series 2008 B, 5.63% 1/1/22 1,170 1,158 
Series 2010 C1, 7.781% 1/1/35 6,325 6,999 
Series 2012 B, 5.432% 1/1/42 3,515 3,103 
6.05% 1/1/29 400 384 
6.314% 1/1/44 12,335 11,983 
Illinois Fin. Auth. Rev. Series 2013 A, 4.545% 10/1/18 32,000 32,647 
Illinois Gen. Oblig.:   
Series 2003:   
4.35% 6/1/18 3,385 3,448 
4.95% 6/1/23 1,700 1,709 
5.1% 6/1/33 70,725 67,083 
Series 2010 5, 6.2% 7/1/21 1,915 2,061 
Series 2010-1, 6.63% 2/1/35 25,440 26,328 
Series 2010-3:   
5.547% 4/1/19 155 164 
6.725% 4/1/35 11,505 12,090 
7.35% 7/1/35 4,495 4,929 
Series 2011:   
4.961% 3/1/16 495 500 
5.365% 3/1/17 185 191 
5.665% 3/1/18 8,840 9,292 
5.877% 3/1/19 19,390 20,798 
Series 2013:   
1.28% 12/1/15 4,270 4,270 
4% 12/1/20 6,040 6,040 
TOTAL MUNICIPAL SECURITIES   
(Cost $316,253)  318,933 
Foreign Government and Government Agency Obligations - 0.0%   
Italian Republic 5.375% 6/12/17
(Cost $4,222) 		$4,115 $4,350 
Bank Loan Obligations - 0.6%   
CONSUMER DISCRETIONARY - 0.2%   
Auto Components - 0.0%   
Chassix, Inc. term loan 12% 7/29/19 235 235 
Diversified Consumer Services - 0.0%   
KC Mergersub, Inc. Tranche 1LN, term loan 6% 8/13/22 (h) 5,175 5,065 
Laureate Education, Inc. Tranche B, term loan 5% 6/16/18 (h) 12,746 10,802 
Wash Multifamily Acquisition, Inc. Tranche B 1LN, term loan 4.25% 5/14/22 (h) 214 210 
  16,077 
Hotels, Restaurants & Leisure - 0.1%   
Caesars Entertainment Resort Properties LLC Tranche B 1LN, term loan 7% 10/11/20 (h) 5,931 5,536 
Caesars Growth Properties Holdings, LLC Tranche 1LN, term loan 6.25% 5/8/21 (h) 2,301 2,053 
Fantasy Springs Resort Casino term loan 12% 8/6/12 (h)(i) 8,486 5,941 
Landry's Restaurants, Inc. Tranche B, term loan 4% 4/24/18 (h) 3,540 3,535 
Station Casinos LLC Tranche B, term loan 4.25% 3/1/20 (h) 1,560 1,547 
  18,612 
Household Durables - 0.0%   
Serta Simmons Holdings, LLC Tranche B, term loan 4.25% 10/1/19 (h) 1,554 1,544 
Media - 0.1%   
CDS U.S. Intermediate Holdings, Inc. Tranche B 1LN, term loan 5% 7/8/22 (h) 165 163 
CSC Holdings LLC Tranche B, term loan 5% 10/9/22 (h) 6,495 6,472 
Cumulus Media Holdings, Inc. Tranch B 1LN, term loan 4.25% 12/23/20 (h) 3,187 2,331 
Liberty Cablevision of Puerto Rico:   
Tranche 1LN, term loan 4.5% 1/7/22 (h) 110 107 
Tranche 2LN, term loan 7.75% 7/7/23 (h) 435 420 
McGraw-Hill School Education Tranche B, term loan 6.25% 12/18/19 (h) 3,576 3,558 
Numericable LLC Tranche B 6LN, term loan 4.75% 2/10/23 (h) 6,170 6,035 
Univision Communications, Inc. Tranche C 4LN, term loan 4% 3/1/20 (h) 727 715 
  19,801 
TOTAL CONSUMER DISCRETIONARY  56,269 
CONSUMER STAPLES - 0.0%   
Personal Products - 0.0%   
Revlon Consumer Products Corp. term loan 4% 8/19/19 (h) 1,084 1,079 
ENERGY - 0.0%   
Energy Equipment & Services - 0.0%   
Drillships Ocean Ventures, Inc. Tranche B, term loan 5.5% 7/25/21 (h) 2,931 1,662 
Pacific Drilling SA Tranche B, term loan 4.5% 6/3/18 (h) 377 206 
  1,868 
Oil, Gas & Consumable Fuels - 0.0%   
American Energy-Marcellus LLC Tranche B 1LN, term loan 5.25% 8/4/20 (h) 1,675 563 
Citgo Holding, Inc. Tranche B, term loan 9.5% 5/12/18 (h) 625 625 
  1,188 
TOTAL ENERGY  3,056 
FINANCIALS - 0.0%   
Capital Markets - 0.0%   
HarbourVest Partners LLC Tranche B, term loan 3.25% 2/4/21 (h) 198 196 
Real Estate Management & Development - 0.0%   
DTZ U.S. Borrower LLC Tranche 2LN, term loan 9.25% 11/4/22 (h) 530 525 
Realogy Corp. Credit-Linked Deposit 4.4463% 10/10/16 (h) 563 554 
  1,079 
Thrifts & Mortgage Finance - 0.0%   
Ocwen Loan Servicing, LLC Tranche B, term loan 5.5% 2/15/18 (h) 677 676 
TOTAL FINANCIALS  1,951 
HEALTH CARE - 0.1%   
Health Care Equipment & Supplies - 0.0%   
American Renal Holdings, Inc.:   
Tranche 2LN, term loan 8.5% 2/20/20 (h) 2,195 2,189 
Tranche B 1LN, term loan 4.5% 8/20/19 (h) 1,963 1,936 
  4,125 
Health Care Providers & Services - 0.1%   
DaVita HealthCare Partners, Inc. Tranche B, term loan 3.5% 6/24/21 (h) 3,150 3,132 
Dialysis Newco, Inc.:   
Tranche 2LN, term loan 7.75% 10/22/21 (h) 665 668 
Tranche B 1LN, term loan 4.5% 4/23/21 (h) 6,984 6,956 
U.S. Renal Care, Inc.:   
Tranche 2LN, term loan 11/17/23 (l) 2,375 2,339 
Tranche 2LN, term loan 9.75% 1/3/20 (h) 5,065 5,103 
Tranche B 1LN, term loan 11/17/22 (l) 5,940 5,895 
Tranche B 2LN, term loan 4.25% 7/3/19 (h) 1,770 1,763 
  25,856 
Life Sciences Tools & Services - 0.0%   
Patheon, Inc. Tranche B, term loan 4.25% 3/11/21 (h) 1,333 1,289 
Pharmaceuticals - 0.0%   
Horizon Pharmaceuticals, Inc. Tranche B, term loan 4.5% 5/7/21 (h) 415 378 
TOTAL HEALTH CARE  31,648 
INDUSTRIALS - 0.0%   
Aerospace & Defense - 0.0%   
TransDigm, Inc. Tranche D, term loan 3.75% 6/4/21 (h) 1,304 1,269 
Building Products - 0.0%   
PriSo Acquisition Corp. Tranche B, term loan 4.5% 5/8/22 (h) 3,871 3,755 
Commercial Services & Supplies - 0.0%   
The Brickman Group, Ltd. Tranche B 1LN, term loan 4% 12/18/20 (h) 1,708 1,660 
Electrical Equipment - 0.0%   
Atlantic Power Ltd. Partnership Tranche B LN, term loan 4.75% 2/24/21 (h) 202 201 
TOTAL INDUSTRIALS  6,885 
INFORMATION TECHNOLOGY - 0.1%   
IT Services - 0.0%   
First Data Corp. Tranche B, term loan 3.7115% 3/24/18 (h) 4,690 4,637 
Semiconductors & Semiconductor Equipment - 0.0%   
Freescale Semiconductor, Inc. Tranche B 4LN, term loan 4.25% 3/1/20 (h) 2,299 2,295 
Software - 0.1%   
Kronos, Inc.:   
Tranche 2LN, term loan 9.75% 4/30/20 (h) 2,250 2,273 
Tranche B 1LN, term loan 4.5% 10/30/19 (h) 1,167 1,159 
Renaissance Learning, Inc.:   
Tranche 1LN, term loan 4.5% 4/9/21 (h) 576 552 
Tranche 2LN, term loan 8% 4/9/22 (h) 3,830 3,613 
  7,597 
TOTAL INFORMATION TECHNOLOGY  14,529 
MATERIALS - 0.1%   
Chemicals - 0.1%   
American Rock Salt Co. LLC Tranche B 1LN, term loan 4.75% 5/20/21 (h) 1,412 1,371 
Arizona Chem U.S., Inc. Tranche B 1LN, term loan 4.5% 6/12/21 (h) 135 135 
MacDermid, Inc. Tranche B 3LN, term loan 7/7/20 (l) 2,265 2,202 
PolyOne Corp. Tranche B, term loan 3.75% 11/12/22 (h) 7,000 6,985 
  10,693 
Containers & Packaging - 0.0%   
Anchor Glass Container Corp. Tranche B, term loan 4.5% 7/1/22 (h) 540 537 
Berry Plastics Corp. Tranche E, term loan 3.75% 1/6/21(h) 1,069 1,056 
  1,593 
Metals & Mining - 0.0%   
Murray Energy Corp. Tranche B 2LN, term loan 7.5% 4/16/20 (h) 3,362 2,240 
TOTAL MATERIALS  14,526 
TELECOMMUNICATION SERVICES - 0.0%   
Diversified Telecommunication Services - 0.0%   
LTS Buyer LLC Tranche 2LN, term loan 8% 4/12/21 (h) 41 40 
UTILITIES - 0.1%   
Gas Utilities - 0.0%   
EP Energy LLC Tranche B 3LN, term loan 3.5% 5/24/18 (h) 487 439 
Independent Power and Renewable Electricity Producers - 0.1%   
Energy Future Holdings Corp. Tranche 1LN, term loan 4.25% 6/19/16 (h) 25,472 25,364 
TOTAL UTILITIES  25,803 
TOTAL BANK LOAN OBLIGATIONS   
(Cost $163,051)  155,786 
Bank Notes - 0.3%   
Bank of America NA:   
1.65% 3/26/18 $8,527 $8,515 
5.3% 3/15/17 14,681 15,350 
Capital One NA 1.65% 2/5/18 6,500 6,447 
Discover Bank:   
(Delaware) 3.2% 8/9/21 8,178 8,101 
3.1% 6/4/20 8,635 8,726 
8.7% 11/18/19 532 630 
Huntington National Bank 1.3% 11/20/16 3,560 3,560 
Marshall & Ilsley Bank 5% 1/17/17 7,888 8,160 
Regions Bank 7.5% 5/15/18 11,552 12,909 
Wachovia Bank NA 6% 11/15/17 7,010 7,603 
TOTAL BANK NOTES   
(Cost $78,749)  80,001 
Preferred Securities - 0.4%   
FINANCIALS - 0.4%   
Banks - 0.4%   
Bank of America Corp.:   
5.2% (h)(m) $6,665 $6,409 
6.1% (h)(m) 1,680 1,711 
Barclays Bank PLC 7.625% 11/21/22 10,805 12,233 
Citigroup, Inc.:   
5.35% (h)(m) 14,740 13,898 
5.9% (h)(m) 920 923 
5.95% (h)(m) 1,325 1,330 
5.95% (h)(m) 5,000 5,048 
6.125% (h)(m) 1,670 1,701 
Credit Agricole SA 6.625% (f)(h)(m) 10,000 9,992 
JPMorgan Chase & Co.:   
5.15% (h)(m) 5,940 5,728 
6% (h)(m) 21,680 22,192 
Royal Bank of Scotland Group PLC:   
7.5% (h)(m) 2,245 2,367 
8% (h)(m) 10,980 11,734 
Wells Fargo & Co. 5.875% (h)(m) 1,095 1,184 
  96,450 
Capital Markets - 0.0%   
Goldman Sachs Group, Inc. 5.375% (h)(m) 4,850 4,859 
Diversified Financial Services - 0.0%   
MUFG Capital Finance 1 Ltd. 6.346% (h)(m) 996 1,043 
TOTAL PREFERRED SECURITIES   
(Cost $101,808)  102,352 
 Shares Value (000s) 
Fixed-Income Funds - 4.7%   
Fidelity Mortgage Backed Securities Central Fund (n)   
(Cost $1,148,763) 11,054,357 1,204,704 
Other - 0.0%   
Other - 0.0%   
Tribune Co. Claim (a)   
(Cost $11) 11,084 11 
Money Market Funds - 4.6%   
Fidelity Cash Central Fund, 0.18% (o) 990,455,422 990,455 
Fidelity Securities Lending Cash Central Fund, 0.22% (o)(p) 187,044,996 187,045 
TOTAL MONEY MARKET FUNDS   
(Cost $1,177,500)  1,177,500 
TOTAL INVESTMENT PORTFOLIO - 101.4%   
(Cost $21,690,944)  25,904,130 
NET OTHER ASSETS (LIABILITIES) - (1.4)%  (351,468) 
NET ASSETS - 100%  $25,552,662 

TBA Sale Commitments

TBA Sale Commitments   
 Principal Amount (000s) Value (000s) 
Fannie Mae   
3% 12/1/45 $(1,400) $(1,407) 
3.5% 12/1/45 (400) (414) 
3.5% 12/1/45 (400) (414) 
4.5% 12/1/45 (1,000) (1,081) 
TOTAL TBA SALE COMMITMENTS   
(Proceeds $3,308)  $(3,316) 

Values shown as $0 may reflect amounts less than $500.

Legend

 (a) Non-income producing

 (b) Restricted securities - 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 $322,254,000 or 1.3% of net assets.

 (c) Investment is owned by an entity that is treated as a corporation for U.S. tax purposes and is wholly-owned by the Fund.

 (d) Investment is owned by an entity that is treated as a U.S. Corporation for tax purposes in which the Fund holds a percentage ownership.

 (e) Security or a portion of the security is on loan 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 $1,084,637,000 or 4.2% of net assets.

 (g) Affiliated company

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

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

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

 (k) Security represents right to receive monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period.

 (l) The coupon rate will be determined upon settlement of the loan after period end.

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

 (n) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-Q and is available upon request or at the SEC's website at www.sec.gov. An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.

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

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


Additional information on each restricted holding is as follows:

Security Acquisition Date Acquisition Cost (000s) 
Blu Homes, Inc. Series A, 5.00% 6/10/13 $5,000 
C. Wonder LLC Class A-1 12/27/12 - 6/25/13 $19,500 
Corindus Vascular Robotics, Inc. 9/12/14 $12,500 
Deem, Inc. 9/19/13 $8,065 
Houghton Mifflin Harcourt Co. warrants 6/22/19 6/22/12 $4 
Legend Pictures LLC 9/23/10 - 3/30/12 $37,645 
Moda Operandi, Inc. Series E 12/18/14 $20,000 
Roku, Inc. Series F, 8.00% 5/7/13 $5,000 
Spotify Technology SA 11/14/12 $15,028 
Station Holdco LLC 6/17/11 $1,131 
Station Holdco LLC 4/1/13 10 
Station Holdco LLC unit 4/1/13 $0 
Station Holdco LLC warrants 6/15/18 8/11/08 - 8/15/08 $6,416 
The Honest Co., Inc. Series D 8/3/15 $9,000 
Tory Burch LLC 12/31/12 $17,505 
Tory Burch LLC Class A unit 5/14/15 50,000 
Uber Technologies, Inc. Series D, 8.00% 6/6/14 $25,000 
WP Rocket Holdings, Inc. 6/24/11 - 2/2/15 $3,024 

Affiliated Central Funds

Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:

Fund Income earned 
 (Amounts in thousands) 
Fidelity Cash Central Fund $424 
Fidelity Mortgage Backed Securities Central Fund 7,349 
Fidelity Securities Lending Cash Central Fund 350 
Total $8,123 

Additional information regarding the Fund's fiscal year to date purchases and sales, including the ownership percentage, of the non Money Market Central Funds is as follows:

Fund (Amounts in thousands) Value, beginning of period Purchases Sales Proceeds Value, end of period % ownership, end of period 
Fidelity Mortgage Backed Securities Central Fund $1,199,354 $7,351 $-- $1,204,704 21.8% 
Total $1,199,354 $7,351 $-- $1,204,704  

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 (Amounts in thousands) Value, beginning of period Purchases Sales Proceeds Dividend Income Value, end of period 
CareView Communications, Inc. $3,440 $-- $-- $-- $2,814 
Corindus Vascular Robotics, Inc. 4,605 -- -- -- 4,211 
Corindus Vascular Robotics, Inc. 17,500 -- -- -- 16,000 
Total $25,545 $-- $-- $-- $23,025 

Investment Valuation

The following is a summary of the inputs used, as of November 30, 2015, 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. Additional information on valuation inputs, and their aggregation into the levels used below, is provided later in this section.

 Valuation Inputs at Reporting Date: 
Description Total Level 1 Level 2 Level 3 
(Amounts in thousands)     
Investments in Securities:     
Equities:     
Consumer Discretionary $3,049,078 $2,620,282 $10,544 $418,252 
Consumer Staples 1,281,944 1,281,944 -- -- 
Energy 739,047 739,047 -- -- 
Financials 2,963,729 2,931,996 31,733 -- 
Health Care 2,780,854 2,780,816 -- 38 
Industrials 1,219,408 1,194,981 23,834 593 
Information Technology 4,065,637 3,994,395 566 70,676 
Materials 362,502 362,502 -- -- 
Telecommunication Services 150,403 150,217 -- 186 
Utilities 128,207 128,207 -- -- 
Corporate Bonds 4,321,429 -- 4,321,429 -- 
U.S. Government and Government Agency Obligations 1,079,753 -- 1,079,753 -- 
U.S. Government Agency - Mortgage Securities 213,322 -- 213,322 -- 
Asset-Backed Securities 70,824 -- 69,093 1,731 
Collateralized Mortgage Obligations 18,826 -- 18,826 -- 
Commercial Mortgage Securities 415,530 -- 415,417 113 
Municipal Securities 318,933 -- 318,933 -- 
Foreign Government and Government Agency Obligations 4,350 -- 4,350 -- 
Bank Loan Obligations 155,786 -- 148,388 7,398 
Bank Notes 80,001 -- 80,001 -- 
Preferred Securities 102,352 -- 102,352 -- 
Fixed-Income Funds 1,204,704 1,204,704 -- -- 
Other 11 -- -- 11 
Money Market Funds 1,177,500 1,177,500 -- -- 
Total Investments in Securities: $25,904,130 $18,566,591 $6,838,541 $498,998 
Derivative Instruments:     
Liabilities     
Swaps $-- $-- $-- $-- 
Total Liabilities $-- $-- $-- $-- 
Total Derivative Instruments: $-- $-- $-- $-- 
Other Financial Instruments:     
TBA Sale Commitments $(3,316) $-- $(3,316) $-- 
Total Other Financial Instruments: $(3,316) $-- $(3,316) $-- 

The following is a reconciliation of Investments in Securities for which Level 3 inputs were used in determining value:

(Amounts in thousands)  
Investments in Securities:  
Equities - Consumer Discretionary  
Beginning Balance $393,746 
Net Realized Gain (Loss) on Investment Securities 6 
Net Unrealized Gain (Loss) on Investment Securities 24,440 
Cost of Purchases 65,071 
Proceeds of Sales (65,011) 
Amortization/Accretion -- 
Transfers into Level 3 -- 
Transfers out of Level 3 -- 
Ending Balance $418,252 
The change in unrealized gain (loss) for the period attributable to Level 3 securities held at November 30, 2015 $134,245 
Other Investments in Securities  
Beginning Balance $104,534 
Net Realized Gain (Loss) on Investment Securities 715 
Net Unrealized Gain (Loss) on Investment Securities 3,110 
Cost of Purchases 11 
Proceeds of Sales (28,992) 
Amortization/Accretion 25 
Transfers into Level 3 1,343 
Transfers out of Level 3 -- 
Ending Balance $80,746 
The change in unrealized gain (loss) for the period attributable to Level 3 securities held at November 30, 2015 $37 

The information used in the above reconciliations represents fiscal year to date activity for any Investments in Securities identified as using Level 3 inputs at either the beginning or the end of the current fiscal period. Transfers in or out of Level 3 represent the beginning value of any Security or Instrument where a change in the pricing level occurred from the beginning to the end of the period. The cost of purchases and the proceeds of sales may include securities received or delivered through corporate actions or exchanges.

Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Security transactions are accounted for as of trade date. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fidelity Management & Research Company (FMR) Fair Value Committee (the Committee). In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund’s valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee. The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels: Level 1 - quoted prices in active markets for identical investments: Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds etc.): Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available). Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the Fund's investments by major category are as follows:

Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. Utilizing these techniques may result in transfers between Level 1 and Level 2. 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. Equity securities, including restricted securities, for which observable inputs are not available, are valued using alternate valuation approaches, including the market approach and the income approach and are categorized as Level 3 in the hierarchy. The market approach generally consists of using comparable market transactions while the income approach generally consists of using the net present value of estimated future cash flows, adjusted as appropriate for liquidity, credit, market and/or other risk factors.

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Corporate bonds, bank notes, bank loan obligations, foreign government and government agency obligations, municipal securities, preferred securities and U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker supplied prices. Asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities are valued by pricing vendors who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker supplied prices.

When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities 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 each business day and are categorized as Level 1 in the hierarchy.

The following provides information on Level 3 securities held by the fund that were valued at period end based on unobservable inputs. These amounts exclude valuations provided by a broker.

Asset Type Fair Value at 11/30/15 Valuation Technique (s) Unobservable Input Amount or Range / Weighted Average Impact to Valuation from an Increase in Input* 
Asset-Backed Securities $1,731 Discounted cash flow Yield 8.3% - 12.0% / 8.6% Decrease 
Bank Loan Obligations $5,941 Last transaction price Transaction price $70.00 Increase 
Commercial Mortgage Securities $113 Discounted cash flow Discount rate 20.0% Decrease 
   Yield 10.0% Decrease 
   Spread 0.3% Decrease 
  Expected distribution Recovery rate 0.0% Increase 
Corporate Bonds $- Expected distribution Recovery rate 0.0% Increase 
Equities $489,745 Broker quoted Mid price $15.00 Increase 
  Discount cash flow Weighted average cost of capital 9.0% Decrease 
   Growth rate 3.5% Increase 
  Expected distribution Recovery rate 0.0% - 1.0% / 1.0% Increase 
  Last transaction price Transaction price $1.50 - $2,058.14 / $1,432.90 Increase 
   Adjusted transaction price $1,516.29 Increase 
  Market comparable EV/EBITDA multiple 8.4 - 17.5 / 14.9 Increase 
   Discount for lack of marketability 10.0% - 20.0% / 15.0% Decrease 
   EV/Sales multiple 2.3 - 3.9 / 2.7 Increase 
   Discount rate 8.0% - 15.0% / 8.4% Decrease 
   P/E multiple 12.9 Increase 
   Discount to comparable 20.0% Decrease 
  Parity Parity price $23.08 Increase 
  Recovery rate Liquidation percentage 54.0% Increase 
  Straight line Price of underlying $15.00 Increase 
   Strike price $40.00 - $47.50 / $44.27 Increase 
Other $11 Expected distribution Recovery rate 1.0% Increase 

* Represents the expected directional change in the fair value of the Level 3 investments that would result from an increase in the corresponding input. A decrease to the unobservable input would have the opposite effect. Significant changes in these inputs could result in significantly higher or lower fair value measurements.

Other Information

Income Tax Information

At November 30, 2015, the cost of investment securities for income tax purposes was $21,691,861,000. Net unrealized appreciation aggregated $4,212,269,000 of which $5,122,994,000 related to appreciated investment securities and $910,725,000 related to depreciated investment securities.

For additional information on the Fund's significant accounting policies, please refer to the Fund's most recent semiannual or annual shareholder report.





The fund's schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please see the fund's most recent prospectus and annual report.

Third party trademarks and service marks are the property of their respective owners. All other trademarks and service marks are the property of FMR LLC or an affiliate.

Item 2.

Controls and Procedures


(a)(i)  The President and Treasurer and the Chief Financial Officer have concluded that the Fidelity Puritan Trust’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 Trust’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the Trust’s internal control over financial reporting.


Item 3.

Exhibits


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.




 

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 Puritan Trust






By:

/s/Kenneth B. Robins

 

Kenneth B. Robins

 

President and Treasurer

 

 

Date:

January 28, 2016


Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.



By:

/s/Kenneth B. Robins

 

Kenneth B. Robins

 

President and Treasurer

 

 

Date:

January 28, 2016



 

By:

/s/Howard J. Galligan III

 

Howard J. Galligan III

 

Chief Financial Officer

 

 

Date:

January 28, 2016