N-Q 1 Main.htm

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 811-2105

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

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

Scott C. Goebel, 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:	May 31, 2015

Item 1. Schedule of Investments

Investments May 31, 2015 (Unaudited)

Quarterly Holdings Report

for

Advisor Series Short-Term
Credit Fund

May 31, 2015

1.9863257.100

ASS1-QTLY-0715

Investments May 31, 2015 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 59.9%
	Principal Amount		Value
CONSUMER DISCRETIONARY - 4.9%
Automobiles - 2.8%
American Honda Finance Corp.:
0.95% 5/5/17	$ 715,000		$ 715,240
1.125% 10/7/16	272,000		273,353
Daimler Finance North America LLC:
1.25% 1/11/16 (b)	395,000		396,243
1.375% 8/1/17 (b)	358,000		358,095
1.45% 8/1/16 (b)	311,000		312,890
1.65% 3/2/18 (b)	179,000		179,454
1.65% 5/18/18 (b)	500,000		500,357
General Motors Financial Co., Inc. 2.4% 4/10/18	799,000		798,767
Volkswagen Group of America Finance LLC:
1.25% 5/23/17 (b)	358,000		358,715
1.65% 5/22/18 (b)	500,000		501,299
Volkswagen International Finance NV 2.125% 11/20/18 (b)	500,000		507,792
			4,902,205
Media - 2.1%
COX Communications, Inc. 6.25% 6/1/18 (b)	89,000		100,451
DIRECTV Holdings LLC/DIRECTV Financing, Inc. 2.4% 3/15/17	858,000		870,735
NBCUniversal Enterprise, Inc. 1.974% 4/15/19 (b)	1,000,000		1,002,707
Thomson Reuters Corp. 0.875% 5/23/16	95,000		94,962
Time Warner Cable, Inc. 5.85% 5/1/17	675,000		724,634
Time Warner, Inc. 6.875% 6/15/18	500,000		574,096
Viacom, Inc. 2.2% 4/1/19	179,000		178,340
Walt Disney Co. 1.1% 12/1/17	174,000		174,119
			3,720,044
TOTAL CONSUMER DISCRETIONARY			8,622,249
CONSUMER STAPLES - 2.2%
Beverages - 0.3%
Heineken NV 1.4% 10/1/17 (b)	99,000		99,221
SABMiller Holdings, Inc. 2.45% 1/15/17 (b)	476,000		485,016
			584,237
Food & Staples Retailing - 0.4%
CVS Health Corp. 2.25% 8/12/19	500,000		503,312
Nonconvertible Bonds - continued
	Principal Amount		Value
CONSUMER STAPLES - continued
Food & Staples Retailing - continued
Walgreen Co. 1.8% 9/15/17	$ 121,000		$ 121,886
Walgreens Boots Alliance, Inc. 1.75% 11/17/17	46,000		46,318
			671,516
Food Products - 1.2%
General Mills, Inc.:
0.875% 1/29/16	173,000		173,195
1.4% 10/20/17	447,000		447,288
The J.M. Smucker Co. 1.75% 3/15/18 (b)	1,116,000		1,117,196
Tyson Foods, Inc. 2.65% 8/15/19	179,000		182,359
William Wrigley Jr. Co. 1.4% 10/21/16 (b)	121,000		121,410
			2,041,448
Tobacco - 0.3%
Reynolds American, Inc.:
1.05% 10/30/15	222,000		221,902
6.75% 6/15/17	294,000		323,596
			545,498
TOTAL CONSUMER STAPLES			3,842,699
ENERGY - 4.6%
Energy Equipment & Services - 0.2%
Nabors Industries, Inc. 2.35% 9/15/16	102,000		102,349
Noble Holding International Ltd. 4% 3/16/18	12,000		12,324
Petrofac Ltd. 3.4% 10/10/18 (b)	322,000		320,687
			435,360
Oil, Gas & Consumable Fuels - 4.4%
BG Energy Capital PLC 2.875% 10/15/16 (b)	241,000		246,844
BP Capital Markets PLC:
1.375% 5/10/18	1,195,000		1,192,255
2.248% 11/1/16	236,000		240,526
Canadian Natural Resources Ltd. 1.75% 1/15/18	74,000		73,530
Columbia Pipeline Group, Inc. 2.45% 6/1/18 (b)	33,000		33,297
ConocoPhillips Co. 1.5% 5/15/18	1,370,000		1,372,163
Enbridge, Inc.:
0.7116% 6/2/17 (c)	317,000		313,257
0.9242% 10/1/16 (c)	447,000		447,637
Enterprise Products Operating LP:
1.65% 5/7/18	74,000		74,073
2.55% 10/15/19	35,000		35,418
Nonconvertible Bonds - continued
	Principal Amount		Value
ENERGY - continued
Oil, Gas & Consumable Fuels - continued
Marathon Petroleum Corp. 3.5% 3/1/16	$ 304,000		$ 309,745
Petro-Canada 6.05% 5/15/18	179,000		201,140
Petrobras Global Finance BV:
2% 5/20/16	358,000		353,024
3.25% 3/17/17	268,000		264,907
Petrobras International Finance Co. Ltd. 3.875% 1/27/16	206,000		206,824
Petroleos Mexicanos 3.125% 1/23/19	30,000		30,531
Phillips 66 Co. 2.95% 5/1/17	116,000		119,506
Schlumberger Investment SA 1.25% 8/1/17 (b)	268,000		268,157
Shell International Finance BV 2.125% 5/11/20	266,000		267,108
Southwestern Energy Co. 3.3% 1/23/18	69,000		70,934
Spectra Energy Partners, LP 2.95% 6/15/16	56,000		56,985
Total Capital International SA 1% 1/10/17	537,000		538,901
TransCanada PipeLines Ltd.:
0.9531% 6/30/16 (c)	716,000		717,601
1.875% 1/12/18	358,000		361,704
			7,796,067
TOTAL ENERGY			8,231,427
FINANCIALS - 33.7%
Banks - 18.1%
ABN AMRO Bank NV 1.079% 10/28/16 (b)(c)	815,000		820,020
Australia & New Zealand Banking Group Ltd. 1.25% 1/10/17	291,000		292,004
Bank of America Corp.:
1.25% 1/11/16	751,000		752,748
2% 1/11/18	191,000		192,306
2.6% 1/15/19	3,250,000		3,300,495
Bank of America NA 1.25% 2/14/17	551,000		551,531
Bank of Montreal 1.4% 4/10/18	700,000		700,385
Bank of Nova Scotia 1.375% 12/18/17	191,000		190,965
Bank of Tokyo-Mitsubishi UFJ Ltd.:
1% 2/26/16 (b)	393,000		393,371
1.45% 9/8/17 (b)	250,000		249,377
1.55% 9/9/16 (b)	205,000		206,102
1.7% 3/5/18 (b)	358,000		358,572
Barclays Bank PLC:
2.5% 2/20/19	316,000		321,785
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Banks - continued
Barclays Bank PLC: - continued
5% 9/22/16	$ 358,000		$ 376,425
Barclays PLC 2% 3/16/18	850,000		854,434
BNP Paribas 2.375% 9/14/17	370,000		377,125
Branch Banking & Trust Co. 1.45% 10/3/16	537,000		541,035
Capital One Bank NA:
1.2% 2/13/17	354,000		352,745
1.3% 6/5/17	268,000		267,144
Capital One NA 1.65% 2/5/18	268,000		266,814
Citigroup, Inc.:
1.237% 7/25/16 (c)	358,000		359,495
1.3% 11/15/16	314,000		314,620
1.55% 8/14/17	895,000		894,662
1.7% 4/27/18	500,000		497,327
1.8% 2/5/18	351,000		351,361
1.85% 11/24/17	179,000		180,159
2.4% 2/18/20	241,000		240,454
2.5% 9/26/18	300,000		305,265
2.5% 7/29/19	175,000		176,233
Citizens Bank NA:
1.6% 12/4/17	358,000		359,085
2.45% 12/4/19	270,000		272,253
Commonwealth Bank of Australia 1.125% 3/13/17	384,000		385,097
Credit Suisse New York Branch:
0.772% 5/26/17 (c)	358,000		357,394
1.375% 5/26/17	895,000		895,571
1.7% 4/27/18	350,000		348,423
1.75% 1/29/18	358,000		358,089
Discover Bank 2% 2/21/18	447,000		447,523
Fifth Third Bancorp 4.5% 6/1/18	223,000		239,774
Fifth Third Bank 0.9% 2/26/16	393,000		393,278
HSBC U.S.A., Inc.:
1.5% 11/13/17	179,000		178,862
1.625% 1/16/18	172,000		172,637
1.7% 3/5/18	216,000		216,461
Intesa Sanpaolo SpA 2.375% 1/13/17	447,000		450,830
JPMorgan Chase & Co.:
1.35% 2/15/17	1,432,000		1,436,266
2% 8/15/17	358,000		362,461
La Caisse Centrale 1.75% 1/29/18 (b)	268,000		268,205
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Banks - continued
Lloyds Bank PLC 1.75% 3/16/18	$ 268,000		$ 268,724
Manufacturers & Traders Trust Co. 1.4% 7/25/17	358,000		358,745
Marshall & Ilsley Bank 5% 1/17/17	15,000		15,784
Mitsubishi UFJ Trust & Banking Corp. 1.6% 10/16/17 (b)	268,000		268,109
Mizuho Bank Ltd.:
0.7168% 9/25/17 (b)(c)	358,000		357,333
1.55% 10/17/17 (b)	587,000		586,582
MUFG Americas Holdings Corp. 1.625% 2/9/18	51,000		50,993
Nordea Bank AB 0.875% 5/13/16 (b)	293,000		293,501
Regions Financial Corp.:
2% 5/15/18	196,000		195,999
5.75% 6/15/15	205,000		205,346
Royal Bank of Canada:
1.2% 1/23/17	225,000		226,050
1.5% 1/16/18	395,000		395,604
2.2% 7/27/18	179,000		182,561
Royal Bank of Scotland Group PLC:
1.2131% 3/31/17 (c)	393,000		393,267
2.55% 9/18/15	1,398,000		1,404,501
Sumitomo Mitsui Banking Corp.:
1.3% 1/10/17	447,000		447,655
1.45% 7/19/16	447,000		449,238
1.75% 1/16/18	358,000		359,461
1.8% 7/18/17	352,000		355,363
SunTrust Banks, Inc.:
3.5% 1/20/17	259,000		267,852
5% 9/1/15	189,000		190,941
Wachovia Corp. 0.6182% 10/28/15 (c)	358,000		358,083
Wells Fargo & Co. 2.15% 1/15/19	1,000,000		1,012,867
Wells Fargo Bank NA 0.486% 5/16/16 (c)	805,000		803,813
Westpac Banking Corp.:
1.5% 12/1/17	358,000		359,498
2% 8/14/17	402,000		408,931
			32,043,969
Capital Markets - 6.3%
Deutsche Bank AG London Branch 1.4% 2/13/17	895,000		895,559
Goldman Sachs Group, Inc.:
1.748% 9/15/17	626,000		625,243
2.375% 1/22/18	1,393,000		1,413,874
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Capital Markets - continued
Goldman Sachs Group, Inc.: - continued
2.55% 10/23/19	$ 180,000		$ 181,072
2.625% 1/31/19	268,000		273,060
JPMorgan Chase & Co.:
0.902% 2/26/16 (c)	179,000		179,407
1.7% 3/1/18	3,179,000		3,186,404
Lazard Group LLC 6.85% 6/15/17	5,000		5,483
Morgan Stanley:
1.75% 2/25/16	369,000		371,635
1.875% 1/5/18	1,679,000		1,685,545
5.45% 1/9/17	608,000		646,495
UBS AG Stamford Branch:
0.9694% 3/26/18 (c)	1,000,000		1,002,212
1.375% 8/14/17	352,000		351,640
1.8% 3/26/18	256,000		256,137
			11,073,766
Consumer Finance - 5.6%
American Express Credit Corp.:
1.125% 6/5/17	447,000		446,009
1.3% 7/29/16	200,000		201,050
2.8% 9/19/16	173,000		177,214
Capital One Financial Corp. 0.9198% 11/6/15 (c)	179,000		179,267
Discover Financial Services 6.45% 6/12/17	563,000		615,863
Ford Motor Credit Co. LLC:
1.684% 9/8/17	358,000		357,378
2.145% 1/9/18	1,858,000		1,876,556
3% 6/12/17	528,000		541,475
General Electric Capital Corp.:
1.5% 7/12/16	1,790,000		1,806,529
2.3% 1/14/19	1,750,000		1,789,064
Hyundai Capital America:
1.45% 2/6/17 (b)	250,000		249,742
1.875% 8/9/16 (b)	52,000		52,472
2.125% 10/2/17 (b)	265,000		267,789
2.875% 8/9/18 (b)	127,000		131,183
Hyundai Capital America Mtn Be 144A 2% 3/19/18 (b)	179,000		180,066
John Deere Capital Corp. 1.3% 3/12/18	1,000,000		1,000,808
Synchrony Financial 1.875% 8/15/17	42,000		42,150
			9,914,615
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Diversified Financial Services - 0.4%
AIG Global Funding 1.65% 12/15/17 (b)	$ 268,000		$ 269,246
Berkshire Hathaway Finance Corp. 1.6% 5/15/17	238,000		241,434
Berkshire Hathaway, Inc. 1.55% 2/9/18	198,000		200,138
			710,818
Insurance - 2.4%
American International Group, Inc.:
2.3% 7/16/19	432,000		434,728
5.85% 1/16/18	221,000		244,755
Aon Corp. 3.125% 5/27/16	223,000		227,837
Assurant, Inc. 2.5% 3/15/18	600,000		609,704
Marsh & McLennan Companies, Inc. 2.55% 10/15/18	210,000		214,323
MetLife, Inc.:
1.756% 12/15/17	83,000		83,958
1.903% 12/15/17	36,000		36,235
Metropolitan Life Global Funding I:
1.3% 4/10/17 (b)	716,000		717,669
1.5% 1/10/18 (b)	458,000		457,764
Pricoa Global Funding I 1.15% 11/25/16 (b)	196,000		196,426
Principal Life Global Funding II 2.2% 4/8/20 (b)	430,000		430,372
Prudential Financial, Inc. 2.3% 8/15/18	565,000		574,798
TIAA Asset Management Finance LLC 2.95% 11/1/19 (b)	51,000		51,950
			4,280,519
Real Estate Investment Trusts - 0.5%
Boston Properties, Inc. 3.7% 11/15/18	500,000		530,861
DDR Corp. 9.625% 3/15/16	59,000		62,902
ERP Operating LP 2.375% 7/1/19	114,000		115,192
Health Care REIT, Inc. 2.25% 3/15/18	61,000		61,791
Select Income (REIT) 2.85% 2/1/18	86,000		87,190
Simon Property Group LP 2.15% 9/15/17	89,000		90,870
			948,806
Real Estate Management & Development - 0.4%
Mack-Cali Realty LP 2.5% 12/15/17	137,000		137,577
Ventas Realty LP:
1.25% 4/17/17	88,000		87,947
1.55% 9/26/16	51,000		51,310
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Real Estate Management & Development - continued
Ventas Realty LP/Ventas Capital Corp. 2% 2/15/18	$ 124,000		$ 125,170
Washington Prime Group LP 3.85% 4/1/20 (b)	259,000		262,791
			664,795
TOTAL FINANCIALS			59,637,288
HEALTH CARE - 3.5%
Biotechnology - 0.4%
Amgen, Inc.:
0.6635% 5/22/17 (c)	358,000		358,450
1.25% 5/22/17	356,000		355,777
			714,227
Health Care Equipment & Supplies - 0.5%
Becton, Dickinson & Co. 1.8% 12/15/17	246,000		247,691
Medtronic, Inc. 1.5% 3/15/18 (b)	296,000		296,561
Zimmer Holdings, Inc. 2% 4/1/18	340,000		342,517
			886,769
Health Care Providers & Services - 0.3%
Express Scripts Holding Co. 1.25% 6/2/17	445,000		444,194
WellPoint, Inc. 1.875% 1/15/18	115,000		115,615
			559,809
Life Sciences Tools & Services - 0.0%
Thermo Fisher Scientific, Inc. 1.3% 2/1/17	55,000		54,989
Pharmaceuticals - 2.3%
AbbVie, Inc.:
1.2% 11/6/15	393,000		393,761
1.75% 11/6/17	333,000		334,165
1.8% 5/14/18	462,000		462,460
2.5% 5/14/20	273,000		272,798
Actavis Funding SCS:
1.3477% 3/12/18 (c)	447,000		451,765
2.35% 3/12/18	858,000		867,677
3% 3/12/20	149,000		150,884
Bayer U.S. Finance LLC 1.5% 10/6/17 (b)	372,000		374,549
Mylan, Inc. 1.35% 11/29/16	65,000		64,950
Nonconvertible Bonds - continued
	Principal Amount		Value
HEALTH CARE - continued
Pharmaceuticals - continued
Zoetis, Inc.:
1.15% 2/1/16	$ 175,000		$ 175,164
1.875% 2/1/18	531,000		530,925
			4,079,098
TOTAL HEALTH CARE			6,294,892
INDUSTRIALS - 0.2%
Aerospace & Defense - 0.1%
L-3 Communications Corp. 1.5% 5/28/17	177,000		175,550
Electrical Equipment - 0.1%
ABB Finance (U.S.A.), Inc. 1.625% 5/8/17	91,000		91,915
Trading Companies & Distributors - 0.0%
Air Lease Corp. 2.125% 1/15/18	88,000		87,450
TOTAL INDUSTRIALS			354,915
INFORMATION TECHNOLOGY - 1.2%
Communications Equipment - 0.3%
Cisco Systems, Inc. 1.1% 3/3/17	483,000		485,493
Electronic Equipment & Components - 0.6%
Amphenol Corp. 1.55% 9/15/17	304,000		304,936
Tyco Electronics Group SA:
2.375% 12/17/18	40,000		40,633
6.55% 10/1/17	604,000		673,176
			1,018,745
IT Services - 0.3%
The Western Union Co.:
2.875% 12/10/17	199,000		204,458
3.65% 8/22/18	388,000		404,175
			608,633
TOTAL INFORMATION TECHNOLOGY			2,112,871
MATERIALS - 1.5%
Chemicals - 1.2%
Chevron Phillips Chemical Co. LLC / Chevron Phillips Chemical Co. LP 1.7% 5/1/18 (b)	1,120,000		1,124,123
Nonconvertible Bonds - continued
	Principal Amount		Value
MATERIALS - continued
Chemicals - continued
Ecolab, Inc.:
1.45% 12/8/17	$ 106,000		$ 105,656
1.55% 1/12/18	858,000		859,103
			2,088,882
Metals & Mining - 0.3%
Anglo American Capital PLC 1.2253% 4/15/16 (b)(c)	210,000		209,897
Freeport-McMoRan, Inc. 2.3% 11/14/17	119,000		119,162
Rio Tinto Finance (U.S.A.) PLC 1.1107% 6/17/16 (c)	179,000		179,498
			508,557
TOTAL MATERIALS			2,597,439
TELECOMMUNICATION SERVICES - 4.8%
Diversified Telecommunication Services - 3.7%
AT&T, Inc.:
1.4% 12/1/17	1,196,000		1,195,059
2.45% 6/30/20	186,000		184,098
2.95% 5/15/16	214,000		217,709
BellSouth Corp. 4.821% 4/26/16 (b)(c)	500,000		516,173
British Telecommunications PLC:
1.25% 2/14/17	500,000		500,398
1.625% 6/28/16	330,000		332,265
2.35% 2/14/19	386,000		391,465
CenturyLink, Inc. 5.15% 6/15/17	196,000		204,330
Deutsche Telekom International Financial BV:
3.125% 4/11/16 (b)	216,000		220,341
5.75% 3/23/16	358,000		371,419
Verizon Communications, Inc.:
1.35% 6/9/17	1,278,000		1,277,183
2% 11/1/16	488,000		494,770
2.5% 9/15/16	671,000		682,568
			6,587,778
Wireless Telecommunication Services - 1.1%
America Movil S.A.B. de CV:
1.2677% 9/12/16 (c)	214,000		214,620
2.375% 9/8/16	274,000		278,113
Nonconvertible Bonds - continued
	Principal Amount		Value
TELECOMMUNICATION SERVICES - continued
Wireless Telecommunication Services - continued
Vodafone Group PLC:
1.5% 2/19/18	$ 1,179,000		$ 1,171,836
1.625% 3/20/17	258,000		258,649
			1,923,218
TOTAL TELECOMMUNICATION SERVICES			8,510,996
UTILITIES - 3.3%
Electric Utilities - 2.6%
American Electric Power Co., Inc. 1.65% 12/15/17	274,000		274,577
Duke Energy Corp.:
0.6508% 4/3/17 (c)	320,000		320,510
1.625% 8/15/17	457,000		460,583
Eversource Energy 1.45% 5/1/18	52,000		51,735
FirstEnergy Corp. 2.75% 3/15/18	534,000		544,470
LG&E and KU Energy LLC 2.125% 11/15/15	417,000		419,058
NextEra Energy Capital Holdings, Inc. 1.586% 6/1/17	341,000		342,362
Pacific Gas & Electric Co. 5.625% 11/30/17	317,000		348,231
Public Service Electric & Gas Co. 2.3% 9/15/18	1,000,000		1,027,629
TECO Finance, Inc. 0.8712% 4/10/18 (c)	400,000		401,914
Xcel Energy, Inc. 0.75% 5/9/16	393,000		392,036
			4,583,105
Independent Power and Renewable Electricity Producers - 0.1%
Southern Power Co. 1.5% 6/1/18	264,000		263,537
Multi-Utilities - 0.6%
Dominion Resources, Inc.:
1.4% 9/15/17	151,000		151,330
1.95% 8/15/16	151,000		152,684
2.5731% 9/30/66 (c)	239,000		219,877
MidAmerican Energy Holdings, Co. 1.1% 5/15/17	468,000		467,709
			991,600
TOTAL UTILITIES			5,838,242
TOTAL NONCONVERTIBLE BONDS (Cost $106,056,940)		106,043,018
U.S. Government and Government Agency Obligations - 9.7%
	Principal Amount		Value
U.S. Government Agency Obligations - 0.2%
Fannie Mae:
0.875% 2/8/18	$ 241,000		$ 240,797
1.625% 11/27/18	122,000		123,780
1.875% 9/18/18	66,000		67,616
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS			432,193
U.S. Treasury Obligations - 9.5%
U.S. Treasury Notes:
0.875% 10/15/17	1,519,500		1,523,773
1% 5/15/18	14,312,000		14,341,065
1.375% 2/28/19	860,400		865,710
TOTAL U.S. TREASURY OBLIGATIONS			16,730,548
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $17,143,316)		17,162,741
U.S. Government Agency - Mortgage Securities - 2.6%

Fannie Mae - 1.4%
2.152% 11/1/34 (c)	34,688		36,984
2.211% 10/1/35 (c)	73,164		78,134
2.23% 1/1/40 (c)	66,037		70,804
2.245% 2/1/35 (c)	65,474		69,365
2.271% 3/1/40 (c)	37,281		39,819
2.274% 11/1/36 (c)	78,947		84,106
2.31% 12/1/39 (c)	16,043		17,180
2.346% 5/1/35 (c)	57,250		61,033
2.361% 4/1/35 (c)	19,490		20,752
2.384% 7/1/35 (c)	203,803		217,606
2.391% 12/1/33 (c)	32,977		35,357
2.428% 12/1/34 (c)	31,031		33,248
2.456% 3/1/40 (c)	52,850		56,360
2.537% 10/1/41 (c)	90,396		96,922
2.542% 6/1/42 (c)	26,161		27,138
2.691% 2/1/42 (c)	147,556		153,652
2.693% 9/1/41 (c)	121,277		130,032
2.738% 8/1/41 (c)	128,375		137,642
2.765% 1/1/42 (c)	133,035		138,723
2.96% 11/1/40 (c)	16,613		17,469
U.S. Government Agency - Mortgage Securities - continued
	Principal Amount		Value
Fannie Mae - continued
2.979% 8/1/41 (c)	$ 24,521		$ 26,291
2.982% 9/1/41 (c)	19,806		20,806
3.237% 7/1/41 (c)	29,703		31,498
3.308% 10/1/41 (c)	15,826		16,679
3.554% 7/1/41 (c)	30,903		32,816
4.5% 6/1/19 to 7/1/20	46,619		48,733
5.5% 11/1/17 to 11/1/34	659,940		736,871
6.5% 1/1/16 to 6/1/16	385		393
7% 1/1/16 to 11/1/18	1,748		1,812
TOTAL FANNIE MAE			2,438,225
Freddie Mac - 1.2%
2.164% 11/1/35 (c)	46,177		48,975
2.35% 8/1/36 (c)	23,945		25,516
2.402% 10/1/42 (c)	159,464		168,228
2.973% 8/1/41 (c)	66,482		71,282
3% 8/1/21	177,037		184,956
3.13% 9/1/41 (c)	42,442		45,506
3.133% 4/1/40 (c)	38,394		40,839
3.231% 9/1/41 (c)	19,121		20,088
3.242% 4/1/41 (c)	18,503		19,530
3.296% 6/1/41 (c)	21,098		22,348
3.47% 5/1/41 (c)	21,749		22,958
3.5% 8/1/26	492,623		525,086
3.502% 4/1/40 (c)	35,686		38,260
3.622% 6/1/41 (c)	29,759		31,607
3.705% 5/1/41 (c)	26,051		27,688
4% 6/1/24 to 4/1/26	596,281		637,950
4.5% 8/1/18 to 11/1/18	142,625		148,727
8.5% 5/1/26 to 7/1/28	7,199		8,593
TOTAL FREDDIE MAC			2,088,137
Ginnie Mae - 0.0%
5.5% 6/15/35	59,952		68,813
7% 1/15/25 to 6/15/32	35,245		41,539
TOTAL GINNIE MAE			110,352
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $4,629,924)		4,636,714
Asset-Backed Securities - 15.8%
	Principal Amount		Value
Accredited Mortgage Loan Trust:
Series 2003-3 Class A1, 5.21% 1/25/34 (AMBAC Insured)	$ 48,257		$ 46,989
Series 2005-1 Class M1, 0.6513% 4/25/35 (c)	14,969		13,374
Ally Auto Receivables Trust:
Series 2013-SN1 Class A3, 0.72% 5/20/16	37,315		37,319
Series 2014-SN1 Class A3, 0.75% 2/21/17	236,000		236,009
Ally Master Owner Trust:
Series 2012-4 Class A, 1.72% 7/15/19	118,000		119,096
Series 2012-5 Class A, 1.54% 9/15/19	499,000		501,275
Series 2014-3 Class A, 1.33% 3/15/19	854,000		856,391
Series 2014-4 Class A2, 1.43% 6/17/19	429,000		430,793
Series 2014-5 Class A2, 1.6% 10/15/19	447,000		449,409
Series 2015-3 Class A, 1.6% 5/15/20	350,000		350,438
American Express Credit Account Master Trust:
Series 2013-3 Class A, 0.98% 5/15/19	371,000		371,707
Series 2014-2 Class A, 1.26% 1/15/20	350,000		351,658
Series 2014-3 Class A, 1.49% 4/15/20	537,114		541,222
Series 2014-4 Class A, 1.43% 6/15/20	447,000		449,222
AmeriCredit Automobile Receivables T Series 2014-4 Class A3, 1.27% 7/8/19	90,000		90,198
AmeriCredit Automobile Receivables Trust:
Series 2013-1 Class A3, 0.61% 10/10/17	161,143		161,124
Series 2013-5 Class A3, 0.9% 9/10/18	292,000		292,303
Series 2014-1 Class A3, 0.9% 2/8/19	185,000		184,925
Series 2014-2 Class A3, 0.94% 2/8/19	354,000		353,202
Americredit Automobile Receivables Trust Series 2015-2 Class A3, 1.27% 1/8/20	400,000		399,810
Argent Securities, Inc. pass-thru certificates Series 2003-W7 Class A2, 0.9613% 3/25/34 (c)	14,781		13,826
Bank of America Credit Card Master Trust Series 2015-A2 Class A, 1.36% 9/15/20	447,000		447,136
BMV Vehicle Lease Trust Series 2014-1 Class A3, 0.73% 2/21/17	268,000		268,129
BMW Vehicle Lease Trust Series 2015-1 Class A3, 1.24% 12/20/17	268,000		268,645
Capital Auto Receivables Asset Trust:
Series 2014-2 Class A2, 0.91% 4/20/17	268,000		268,300
Series 2014-3 Class A2, 1.18% 12/20/17	262,000		262,474
Series 2015-1 Class A2, 1.42% 6/20/18	263,000		264,015
Series 2015-2 Class A2, 1.39% 9/20/18	185,000		185,028
Capital One Multi-Asset Execution Trust:
Series 2013-A1 Class A1, 0.63% 11/15/18	402,000		402,192
Asset-Backed Securities - continued
	Principal Amount		Value
Capital One Multi-Asset Execution Trust: - continued
Series 2013-A3 Class A3, 0.96% 9/16/19	$ 179,000		$ 179,291
Series 2014-A5 Class A, 1.48% 7/15/20	431,000		433,923
Carmax Auto Owner Trust:
Series 2013-3 Class A3, 0.97% 4/16/18	192,576		193,001
Series 2014-4 Class A3, 1.25% 11/15/19	270,000		270,579
CFC LLC Series 2014-1A Class A, 1.46% 12/17/18 (b)	87,085		86,966
Chase Issuance Trust:
Series 2013-A8 Class A8, 1.01% 10/15/18	214,000		214,642
Series 2014-A1 Class A, 1.15% 1/15/19	268,000		269,086
Series 2014-A7 Class A, 1.38% 11/15/19	449,000		450,692
Series 2015-A2, Class A, 1.59% 2/18/20	268,000		270,047
Chrysler Capital Auto Receivables Trust Series 2015-AA Class A3, 1.22% 7/15/19 (b)	500,000		499,957
CIT Equipment Collateral:
Series 2013-VT1 Class A3, 1.13% 7/20/20 (b)	447,595		448,443
Series 2014-VT1 Class A3, 1.5% 10/21/19 (b)	270,347		270,744
Citibank Credit Card Issuance Trust:
Series 2013-A6 Class A6, 1.32% 9/7/18	596,000		600,258
Series 2014-A2 Class A2, 1.02% 2/22/19	386,000		386,418
Series 2014-A4 Class A4, 1.23% 4/24/19	358,000		358,975
Series 2014-A8 Class A8, 1.73% 4/9/20	345,000		348,600
Countrywide Home Loans, Inc.:
Series 2003-BC1 Class B1, 5.4348% 3/25/32 (MGIC Investment Corp. Insured) (c)	1,524		1,330
Series 2004-2 Class 3A4, 0.6848% 7/25/34 (c)	11,176		9,777
Series 2004-4 Class M2, 0.9798% 6/25/34 (c)	2,474		2,242
Dell Equipment Finance Trust:
Series 2014-1 Class A3, 0.94% 6/22/20 (b)	179,000		179,168
Series 2015-1 Class A3, 1.3% 3/23/20 (b)	200,000		199,922
Discover Card Master Trust:
Series 2013-A5 Class A5, 1.04% 4/15/19	402,000		403,108
Series 2014-A3 Class A3, 1.22% 10/15/19	358,000		358,832
Series 2014-A5 Class A, 1.39% 4/15/20	359,000		360,595
Enterprise Fleet Financing LLC:
Series 2014-1 Class A2, 0.87% 9/20/19 (b)	284,447		284,514
Series 2014-2 Class A2, 1.05% 3/20/20 (b)	537,000		537,633
Series 2015-1 Class A2, 1.3% 9/20/20 (b)	358,000		358,608
Fannie Mae Series 2004-T5:
Class AB1, 0.7411% 5/28/35 (c)	28,584		26,568
Class AB3, 1.0669% 5/28/35 (c)	12,075		11,176
Ford Credit Auto Lease Trust Series 2015-A Class A3, 1.13% 6/15/18	442,000		442,077
Asset-Backed Securities - continued
	Principal Amount		Value
Ford Credit Floorplan Master Owner Trust:
Series 2012-5 Class A, 1.49% 9/15/19	$ 984,000		$ 988,045
Series 2014-1 Class A1, 1.2% 2/15/19	425,000		425,987
Series 2014-4 Class A1, 1.4% 8/15/19	351,000		351,982
Fremont Home Loan Trust Series 2004-D:
Class M4, 1.6063% 11/25/34 (c)	18,672		6,963
Class M5, 1.6813% 11/25/34 (c)	6,903		111
GE Equipment Transportation LLC:
Series 2012-2 Class A3, 0.62% 7/25/16	27,858		27,859
Series 2014-1 Class A3, 0.97% 4/23/18	262,648		262,735
GM Financial Automobile Leasing Trust:
Series 2014-1A Class A3, 1.01% 5/22/17 (b)	270,000		270,321
Series 2014-2A Class A3, 1.22% 1/22/18 (b)	340,000		340,212
Series 2015-1 Class A3, 1.53% 9/20/18	297,000		298,001
GMF Floorplan Owner Revolving Trust Series 2015-1 Class A1, 1.65% 5/15/20 (b)	315,000		315,341
Home Equity Asset Trust:
Series 2003-3 Class M1, 1.4748% 8/25/33 (c)	10,593		10,181
Series 2003-5 Class A2, 0.8848% 12/25/33 (c)	7,906		7,540
Series 2004-1 Class M2, 1.8848% 6/25/34 (c)	9,928		9,003
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.3713% 1/25/37 (c)	28,130		17,929
Hyundai Auto Lease Securitization Trust:
Series 2014-B Class A3, 0.98% 11/15/17 (b)	358,000		358,642
Series 2015-A Class A3, 1.42% 9/17/18 (b)	268,000		268,857
Hyundai Floorplan Master Owner Trust Series 2013-1A Class A, 0.5356% 5/15/18 (b)(c)	300,000		300,061
John Deere Owner Trust Series 2013-A Class A3, 0.6% 3/15/17	142,843		142,896
KeyCorp Student Loan Trust Series 1999-A Class A2, 0.5986% 12/27/29 (c)	3,777		3,764
Mercedes-Benz Auto Lease Trust Series 2015-A Class A3, 1.1% 8/15/17	355,000		356,285
Mercedes-Benz Master Owner Trust:
Series 2012-AA Class A, 0.79% 11/15/17 (b)	852,000		853,058
Series 2015-AA Class A, 0.5002% 4/15/19 (b)(c)	431,000		431,000
Merrill Lynch Mortgage Investors Trust:
Series 2006-FM1 Class A2B, 0.2913% 4/25/37 (c)	7,001		6,610
Series 2006-OPT1 Class A1A, 0.7048% 6/25/35 (c)	19,682		18,989
Morgan Stanley ABS Capital I Trust:
Series 2004-HE6 Class A2, 0.8648% 8/25/34 (c)	24,849		23,090
Series 2004-NC8 Class M6, 2.0563% 9/25/34 (c)	9,305		8,237
Asset-Backed Securities - continued
	Principal Amount		Value
Nissan Auto Lease Trust Series 2014-A Class A3, 0.8% 2/15/17	$ 192,000		$ 192,132
Nissan Master Owner Trust Receivables Series 2015-A Class A2, 1.44% 1/15/20	358,000		358,555
Northstar Education Finance, Inc., Delaware Series 2005-1 Class A5, 1.0066% 10/30/45 (c)	81,619		81,296
Park Place Securities, Inc.:
Series 2004-WCW1:
Class M3, 2.0598% 9/25/34 (c)	142,806		134,413
Class M4, 2.3598% 9/25/34 (c)	194,565		91,193
Series 2005-WCH1 Class M4, 1.4298% 1/25/36 (c)	33,532		29,955
Santander Drive Auto Receivables Trust:
Series 2013-4 Class A3, 1.11% 12/15/17	101,895		102,006
Series 2014-4 Class B, 1.82% 5/15/19	164,000		164,205
SLM Private Credit Student Loan Trust:
Series 2004-A Class C, 1.2206% 6/15/33 (c)	120,554		116,829
Series 2004-B:
Class A2, 0.4706% 6/15/21 (c)	98,058		97,559
Class C, 1.1406% 9/15/33 (c)	156,493		150,416
SLM Student Loan Trust:
Series 2012-7 Class A2, 0.4648% 9/25/19 (c)	347,192		346,859
Series 2013-1 Class A2, 0.4348% 9/25/19 (c)	270,858		270,441
Synchrony Credit Card Master Note Trust Series 2015-2 Class A, 1.6% 4/15/21	350,000		350,766
Terwin Mortgage Trust Series 2003-4HE Class A1, 1.0448% 9/25/34 (c)	15,559		13,526
Volkswagen Auto Lease Trust:
Series 2014-A Class A3, 0.8% 4/20/17	289,000		289,147
Series 2015-A Class A3, 1.25% 12/20/17	179,000		179,367
Volkswagen Auto Loan Enhanced Trust:
Series 2013-2 Class A3, 0.7% 4/20/18	401,000		400,741
Series 2014-1 Class A3, 0.91% 10/22/18	237,000		237,310
Volkswagen Credit Auto Master Trust Series 2014-1A Class A2, 1.4% 7/22/19 (b)	222,000		222,982
Volvo Financial Equipment LLC Series 2015-1A Class A3, 1.51% 6/17/19 (b)	281,000		281,971
Whinstone Capital Management Ltd. Series 1A Class B3, 2.077% 10/25/44 (b)(c)	248,994		248,552
World Omni Auto Receivables Trust Series 2014-B Class A3, 1.14% 1/15/20	329,000		328,455
TOTAL ASSET-BACKED SECURITIES (Cost $27,848,866)		27,865,756
Collateralized Mortgage Obligations - 2.0%
	Principal Amount		Value
Private Sponsor - 0.9%
Credit Suisse Mortgage Trust Series 2012-2R Class 1A1, 2.5861% 5/27/35 (b)(c)	$ 139,086		$ 143,172
Granite Master Issuer PLC floater:
Series 2006-1A:
Class A5, 0.324% 12/20/54 (b)(c)	238,232		236,731
Class C2, 1.384% 12/20/54 (b)(c)	136,000		133,838
Series 2006-2:
Class A4, 0.264% 12/20/54 (c)	46,730		46,421
Class C1, 1.124% 12/20/54 (c)	582,000		570,476
Series 2007-2 Class 3A1, 0.3634% 12/17/54 (c)	17,734		17,639
Granite Mortgages Series 2003-2 Class 1A3, 0.7751% 7/20/43 (c)	68,352		68,280
Granite Mortgages PLC floater:
Series 2003-3:
Class 1A3, 0.6751% 1/20/44 (c)	11,949		11,930
Class 1C, 2.7251% 1/20/44 (c)	9,676		9,680
Series 2004-1 Class 2A1, 0.5903% 3/20/44 (c)	202,247		201,603
Series 2004-3 Class 2A1, 0.5503% 9/20/44 (c)	119,386		119,041
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.3548% 2/25/37 (c)	15,103		13,774
TOTAL PRIVATE SPONSOR			1,572,585
U.S. Government Agency - 1.1%
Fannie Mae:
floater Series 2008-76 Class EF, 0.6848% 9/25/23 (c)	14,803		14,854
floater planned amortization class Series 2005-90 Class FC, 0.4348% 10/25/35 (c)	85,788		85,954
pass-thru certificates Series 2012-127 Class DH, 4% 11/25/27	138,178		146,943
planned amortization class Series 2012-94 Class E, 3% 6/25/22	91,803		94,817
sequential payer:
Series 2001-40 Class Z, 6% 8/25/31	31,856		36,235
Series 2009-31 Class A, 4% 2/25/24	19,443		20,081
Series 2010-135 Class DE, 2.25% 4/25/24	86,250		87,888
Series 2011-16 Class FB, 0.3348% 3/25/31 (c)	201,784		202,039
Series 2010-123 Class DL, 3.5% 11/25/25	32,947		33,906
Series 2010-143 Class B, 3.5% 12/25/25	61,140		63,362
Series 2011-23 Class AB, 2.75% 6/25/20	48,841		49,906
Collateralized Mortgage Obligations - continued
	Principal Amount		Value
U.S. Government Agency - continued
Fannie Mae: - continued
target amortization Series 2008-29 Class BG 4.7% 12/25/35	$ 29,284		$ 30,442
Freddie Mac:
floater planned amortization class Series 3117 Class JF, 0.4815% 2/15/36 (c)	84,654		84,955
pass-thru certificates Series 2011-3938 Class BE, 2% 10/15/21	184,940		188,261
planned amortization class:
Series 3081 Class CP 5.5% 10/15/34	19,737		19,803
Series 3820 Class DA, 4% 11/15/35	106,249		112,838
Series 3949 Class MK, 4.5% 10/15/34	85,331		92,906
Series 4221-CLS Class GA, 1.4% 7/15/23	385,251		385,139
Ginnie Mae guaranteed REMIC pass-thru certificates:
floater planned amortization class Series 2005-47 Class FX, 0.334% 5/20/34 (c)	205,847		205,695
floater sequential payer:
Series 2010-120 Class FB 0.484% 9/20/35 (c)	56,429		56,482
Series 2011-150 Class D, 3% 4/20/37	14,724		14,941
TOTAL U.S. GOVERNMENT AGENCY			2,027,447
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $3,607,920)		3,600,032
Commercial Mortgage Securities - 9.3%

Asset Securitization Corp. Series 1997-D5 Class PS1, 1.5708% 2/14/43 (c)(d)	42,583		646
Banc of America Commercial Mortgage Trust:
sequential payer Series 2006-4 Class A4, 5.634% 7/10/46	181,838		187,390
Series 2006-4 Class A1A, 5.617% 7/10/46 (c)	319,026		331,977
Barclays Commercial Mortgage Securities LLC floater Series 2015-RRI Class A, 1.38% 5/15/32 (b)(c)	232,000		231,549
Bayview Commercial Asset Trust:
floater:
Series 2005-4A:
Class A2, 0.5748% 1/25/36 (b)(c)	92,105		81,849
Class M1, 0.6348% 1/25/36 (b)(c)	28,969		23,257
Series 2007-1 Class A2, 0.4548% 3/25/37 (b)(c)	46,285		38,935
Series 2007-4A Class A2, 0.7313% 9/25/37 (b)(c)	117,673		50,545
Commercial Mortgage Securities - continued
	Principal Amount		Value
Bayview Commercial Asset Trust: - continued
Series 2006-2A Class IO, 0% 7/25/36 (b)(c)(d)	$ 950,401		$ 0
Bear Stearns Commercial Mortgage Securities Trust:
sequential payer:
Series 2005-PWR8 Class A4, 4.674% 6/11/41	15,931		15,914
Series 2006-PW13 Class A1A, 5.533% 9/11/41	303,397		316,543
Series 2006-PW14 Class A1A, 5.189% 12/11/38	112,881		118,548
Series 2006-T22 Class A1A, 5.7581% 4/12/38 (c)	288,084		295,062
Series 2006-PW12 Class A1A, 5.8805% 9/11/38 (c)	231,945		239,719
CD Commercial Mortgage Trust Series 2007-CD5 Class A1A, 5.8% 11/15/44	194,517		209,880
CDGJ Commercial Mortgage Trust Series 2014-BXCH Class A, 1.5745% 12/15/27 (b)(c)	358,076		358,749
Citigroup Commercial Mortgage Trust:
sequential payer Series 2006-C5 Class A4, 5.431% 10/15/49	103,305		108,039
Series 2013-GC11 Class A1, 0.754% 4/10/46	92,215		91,838
Citigroup/Deutsche Bank Commercial Mortgage Trust:
sequential payer Series 2006-CD2 Class A4, 5.4787% 1/15/46 (c)	60,381		60,948
Series 2005-CD1 Class A4, 5.3959% 7/15/44 (c)	75,588		75,830
Series 2006-CD2 Class A1B, 5.4797% 1/15/46 (c)	489,657		498,108
COMM Mortgage Trust:
floater Series 2014-KYO Class A, 1.08% 6/11/27 (b)(c)	447,595		447,028
Series 2013-CR9 Class A1, 1.344% 7/10/45	61,099		61,226
COMM Mortgage Trust pass-thru certificates:
sequential payer:
Series 2006-C7 Class A1A, 5.9288% 6/10/46 (c)	406,701		420,404
Series 2006-C8 Class A1A, 5.292% 12/10/46	330,154		348,607
Series 2006-C7 Class A4, 5.9398% 6/10/46 (c)	89,370		91,958
Commercial Mortgage Trust pass-thru certificates sequential payer Series 2012-CR2 Class A1, 0.824% 8/15/45	40,058		40,090
CSMC Trust floater Series 2014-ICE:
Class A, 0.976% 4/15/27 (b)(c)	245,000		244,228
Class B, 1.376% 4/15/27 (b)(c)	215,000		214,187
Extended Stay America Trust floater Series 2013-ESFL:
Class A1FL, 0.981% 12/5/31 (b)(c)	150,739		150,293
Class A2FL, 0.881% 12/5/31 (b)(c)	207,000		206,174
Freddie Mac:
pass-thru certificates Series K708 Class A1, 1.67% 10/25/18	127,215		128,219
Commercial Mortgage Securities - continued
	Principal Amount		Value
Freddie Mac: - continued
Series K707 Class A1, 1.615% 9/25/18	$ 222,717		$ 224,702
GAHR Commercial Mortgage Trust floater Series 2015-NRF Class AFL1, 1.4815% 12/15/16 (b)(c)	430,076		431,184
GE Capital Commercial Mortgage Corp.:
sequential payer:
Series 2006-C1 Class A4, 5.4499% 3/10/44 (c)	301,174		305,226
Series 2007-C1 Class A4, 5.543% 12/10/49	95,248		99,632
Series 2006-C1 Class A1A, 5.4499% 3/10/44 (c)	176,156		178,951
GMAC Commercial Mortgage Securities, Inc. Series 2004-C2 Class A4, 5.301% 8/10/38	1,457		1,459
GS Mortgage Securities Corp. II Series 2006-GG6:
Class A1A, 5.556% 4/10/38 (c)	168,516		170,779
Class A4, 5.553% 4/10/38 (c)	272,496		274,770
GS Mortgage Securities Trust:
floater Series 2014-GSFL Class A, 1.1815% 7/15/31 (b)(c)	118,523		118,574
sequential payer Series 2006-GG8:
Class A1A, 5.547% 11/10/39	171,754		180,048
Class A4, 5.56% 11/10/39	253,544		264,225
Series 2011-GC5 Class A1, 1.468% 8/10/44	14,302		14,313
Series 2012-GC6 Class A1, 1.282% 1/10/45	18,170		18,212
Series 2013-GC12 Class A1, 0.742% 6/10/46 (c)	95,767		95,311
Hilton U.S.A. Trust floater Series 2013-HLF Class AFL, 1.1735% 11/5/30 (b)(c)	192,166		192,331
Hyatt Hotel Portfolio Trust floater Series 2015-HYT Class A, 1.432% 11/15/29 (b)(c)	160,000		160,181
JPMorgan Chase Commercial Mortgage Securities Trust:
floater:
Series 2014-BXH Class A, 1.0856% 4/15/27 (b)(c)	268,000		268,056
Series 2014-FL5 Class A, 1.1615% 7/15/31 (b)(c)	304,000		303,288
sequential payer:
Series 2006-CB16 Class A1A, 5.546% 5/12/45	331,230		346,212
Series 2006-LDP8 Class A4, 5.399% 5/15/45	317,381		328,418
Series 2006-LDP7 Class A1A, 6.057% 4/15/45 (c)	372,667		388,152
Series 2013-C13 Class A1, 1.3029% 1/15/46	334,574		335,228
LB-UBS Commercial Mortgage Trust:
sequential payer:
Series 2006-C1 Class A4, 5.156% 2/15/31	228,869		231,543
Series 2006-C6 Class A4, 5.372% 9/15/39	77,165		80,525
Series 2007-C1 Class A4, 5.424% 2/15/40	353,866		373,362
Series 2007-C7 Class A3, 5.866% 9/15/45	151,966		165,911
Commercial Mortgage Securities - continued
	Principal Amount		Value
Merrill Lynch Mortgage Trust:
Series 2005-CKI1 Class A1A, 5.4484% 11/12/37 (c)	$ 86,600		$ 87,556
Series 2006-C2 Class A1A, 5.739% 8/12/43 (c)	273,615		285,556
Merrill Lynch-CFC Commercial Mortgage Trust sequential payer Series 2007-5 Class A4, 5.378% 8/12/48	976,607		1,020,649
Morgan Stanley BAML Trust Series 2012-C5 Class A1, 0.916% 8/15/45	81,255		81,337
Morgan Stanley Capital I Trust:
sequential payer:
Series 2007-IQ13 Class A1A, 5.312% 3/15/44	102,747		108,928
Series 2007-IQ14 Class A2, 5.61% 4/15/49	65,210		65,881
Series 2012-C4 Class A1, 1.085% 3/15/45	73,514		73,697
Series 2006-HQ9 Class A4, 5.731% 7/12/44 (c)	219,385		226,009
Series 2007-T27 Class A1A, 5.8266% 6/11/42 (c)	338,568		363,401
SCG Trust Series 2013-SRP1 Class A, 1.5815% 11/15/26 (b)(c)	210,000		210,086
UBS Commercial Mortgage Trust Series 2012-C1 Class A1, 1.032% 5/10/45	22,702		22,730
UBS-Barclays Commercial Mortgage Trust sequential payer Series 2013-C6 Class A1, 0.805% 4/10/46	81,169		80,886
Wachovia Bank Commercial Mortgage Trust:
sequential payer:
Series 2006-C29:
Class A1A, 5.297% 11/15/48	464,316		489,127
Class A4, 5.308% 11/15/48	83,534		87,266
Series 2007-C31 Class A4, 5.509% 4/15/47	54,606		57,291
Series 2006-C23:
Class A1A, 5.422% 1/15/45	482,040		490,522
Class A5, 5.416% 1/15/45 (c)	409,997		417,657
Series 2006-C24 Class A1A, 5.557% 3/15/45 (c)	259,769		265,607
Series 2006-C26 Class A1A, 6.009% 6/15/45 (c)	302,966		314,600
Series 2006-C27 Class A3, 5.765% 7/15/45 (c)	203,535		210,208
Series 2007-C31A Class A2, 5.421% 4/15/47	13,955		13,944
WF-RBS Commercial Mortgage Trust Series 2013-C13 Class A1, 0.778% 5/15/45	56,566		56,343
WFCG Commercial Mortgage Trust floater Series 2015-BXRP Class A, 1.322% 11/15/29 (b)(c)	250,000		249,774
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $16,596,549)		16,517,388
Foreign Government and Government Agency Obligations - 0.1%
	Principal Amount		Value
Banco Nacional de Desenvolvimento Economico e Social 3.375% 9/26/16 (b) (Cost $208,692)	$ 208,000		$ 210,860
Supranational Obligations - 0.1%

International Bank for Reconstruction & Development 1% 6/15/18 (Cost $150,749)	151,000		150,943

Money Market Funds - 0.5%
	Shares
Fidelity Cash Central Fund, 0.15% (a) (Cost $842,908)	842,908		842,908
TOTAL INVESTMENT PORTFOLIO - 100.0% (Cost $177,085,864)			177,030,360
NET OTHER ASSETS (LIABILITIES) - 0.0%			7,486
NET ASSETS - 100%		$ 177,037,846

Legend

(a) 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.

(b) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $28,181,938 or 15.9% of net assets.

(d) 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.

Affiliated Central Funds

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

Fund	Income earned
Fidelity Cash Central Fund	$ 1,341

Other Information

The following is a summary of the inputs used, as of May 31, 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. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section at the end of this listing.

Valuation Inputs at Reporting Date:
Description	Total	Level 1	Level 2	Level 3
Investments in Securities:
Corporate Bonds	$ 106,043,018	$ -	$ 106,043,018	$ -
U.S. Government and Government Agency Obligations	17,162,741	-	17,162,741	-
U.S. Government Agency - Mortgage Securities	4,636,714	-	4,636,714	-
Asset-Backed Securities	27,865,756	-	27,858,682	7,074
Collateralized Mortgage Obligations	3,600,032	-	3,600,032	-
Commercial Mortgage Securities	16,517,388	-	16,517,388	-
Foreign Government and Government Agency Obligations	210,860	-	210,860	-
Supranational Obligations	150,943	-	150,943	-
Money Market Funds	842,908	842,908	-	-
Total Investments in Securities:	$ 177,030,360	$ 842,908	$ 176,180,378	$ 7,074

During the period, certain investment companies managed by FMR or its affiliates (Investing Funds) completed exchanges in-kind with the Fund. The Investing Funds delivered investments, including accrued interest, valued at $173,434,551 in exchange for 17,343,455 shares of the Fund. The Fund recognized no gain or loss for federal income tax purposes.

Income Tax Information

At May 31, 2015, the cost of investment securities for income tax purposes was $177,076,590. Net unrealized depreciation aggregated $46,230, of which $193,097 related to appreciated investment securities and $239,327 related to depreciated investment securities.

Investment Valuation

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:

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, foreign government and government agency obligations, supranational obligation 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.

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.

Quarterly 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.

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 Report

Investments May 31, 2015 (Unaudited)

Quarterly Holdings Report

for

Fidelity ® Conservative
Income Bond Fund

May 31, 2015

1.924094.104

FCV-QTLY-0715

Investments May 31, 2015 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 70.4%
	Principal Amount		Value
CONSUMER DISCRETIONARY - 0.8%
Automobiles - 0.8%
Daimler Finance North America LLC:
0.6816% 3/2/18 (b)(c)	$ 20,000,000		$ 20,021,760
0.9582% 8/1/16 (b)(c)	10,995,000		11,057,133
			31,078,893
ENERGY - 1.6%
Oil, Gas & Consumable Fuels - 1.6%
BP Capital Markets PLC 0.6098% 11/6/15 (c)	20,000,000		20,015,500
Enbridge, Inc. 0.7116% 6/2/17 (c)	12,465,000		12,317,826
Total Capital Canada Ltd. 0.6553% 1/15/16 (c)	15,000,000		15,033,585
TransCanada PipeLines Ltd. 0.9531% 6/30/16 (c)	14,084,000		14,115,492
			61,482,403
FINANCIALS - 61.5%
Banks - 50.8%
ABN AMRO Bank N.V. Amsterdam BRH 0.6736% 6/6/16 (b)(c)	49,100,000		49,055,565
ABN AMRO Bank NV:
1.079% 10/28/16 (b)(c)	67,659,000		68,075,779
1.375% 1/22/16 (b)	19,730,000		19,797,477
Bank of America Corp.:
0.537% 10/14/16 (c)	14,170,000		14,123,678
0.892% 8/25/17 (c)	18,000,000		18,001,818
1.0846% 3/22/16 (c)	51,140,000		51,315,819
1.25% 1/11/16	7,419,000		7,436,271
1.5% 10/9/15	33,073,000		33,157,865
Bank of America NA:
0% 6/5/17 (c)	20,000,000		20,015,800
0.696% 5/8/17 (c)	5,000,000		4,995,610
0.745% 11/14/16 (c)	27,025,000		27,046,080
Bank of Montreal 0.7366% 9/11/15 (c)	30,290,000		30,328,680
Bank of Tokyo-Mitsubishi UFJ Ltd.:
0.5736% 9/8/17 (b)(c)	8,200,000		8,174,186
0.732% 2/26/16 (b)(c)	47,000,000		47,044,274
0.8152% 3/5/18 (b)(c)	10,000,000		10,013,600
0.8736% 9/9/16 (b)(c)	7,550,000		7,566,127
Banque Federative du Credit Mutuel SA:
1.1251% 1/20/17 (b)(c)	48,200,000		48,517,252
1.129% 10/28/16 (b)(c)	87,275,000		87,866,026
Barclays Bank PLC 5% 9/22/16	54,000,000		56,779,164
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Banks - continued
BB&T Corp. 3.2% 3/15/16	$ 6,421,000		$ 6,535,929
BNP Paribas SA 0.8577% 12/12/16 (c)	35,000,000		35,153,720
BPCE SA:
0.846% 11/18/16 (c)	12,900,000		12,928,238
1.1289% 2/10/17 (c)	27,875,000		28,049,525
1.527% 4/25/16 (c)	132,245,000		133,332,847
1.7% 4/25/16	16,710,000		16,812,265
Branch Banking & Trust Co. 0.6916% 12/1/16 (c)	10,000,000		10,010,690
Capital One Bank NA 0.7766% 2/13/17 (c)	12,000,000		11,990,952
Capital One NA:
0.7146% 3/22/16 (c)	10,000,000		10,008,790
0.9588% 2/5/18 (c)	14,575,000		14,624,205
Citigroup, Inc.:
0.9539% 11/15/16 (c)	18,000,000		18,040,518
0.967% 4/27/18 (c)	10,000,000		9,991,400
1.0642% 4/1/16 (c)	58,049,000		58,216,413
1.237% 7/25/16 (c)	40,000,000		40,167,040
1.25% 1/15/16	29,095,000		29,186,067
1.3% 4/1/16	3,000,000		3,007,434
2.25% 8/7/15	17,500,000		17,549,263
4.587% 12/15/15	10,000,000		10,202,900
Commonwealth Bank of Australia:
0.7703% 9/20/16 (b)(c)	17,000,000		17,076,670
1.0702% 9/18/15 (b)(c)	30,000,000		30,067,050
Credit Agricole SA:
1.1208% 10/3/16 (b)(c)	10,000,000		10,052,730
1.4353% 4/15/16 (b)(c)	29,580,000		29,784,250
1.625% 4/15/16 (b)	5,250,000		5,278,035
Credit Suisse New York Branch 0.772% 5/26/17 (c)	18,000,000		17,969,544
Fifth Third Bancorp 3.625% 1/25/16	10,000,000		10,176,730
Fifth Third Bank:
0.786% 11/18/16 (c)	49,825,000		49,974,475
0.9% 2/26/16	30,295,000		30,316,419
HSBC U.S.A., Inc. 0.7152% 3/3/17 (c)	30,000,000		30,026,040
Huntington National Bank 0.7025% 4/24/17 (c)	20,000,000		19,948,040
ING Bank NV:
0.6108% 1/4/16 (b)(c)	46,850,000		46,875,721
1.2136% 3/7/16 (b)(c)	41,934,000		42,131,258
1.9068% 9/25/15 (b)(c)	27,832,000		27,954,516
2% 9/25/15 (b)	7,650,000		7,685,320
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Banks - continued
ING Bank NV: - continued
4% 3/15/16 (b)	$ 3,000,000		$ 3,070,230
Ing Bank NV Mtn Be 144A 0.8206% 3/16/18 (b)(c)	10,000,000		9,997,200
Intesa Sanpaolo SpA:
2.375% 1/13/17	3,000,000		3,025,707
3.125% 1/15/16	25,375,000		25,678,384
JPMorgan Chase & Co.:
2.6% 1/15/16	20,140,000		20,367,642
3.4% 6/24/15	36,896,000		36,956,952
3.45% 3/1/16	42,000,000		42,827,610
KeyBank NA 0.772% 11/25/16 (c)	24,307,000		24,347,520
Lloyds Bank PLC 0.825% 5/14/18 (c)	30,000,000		30,042,930
Manufacturers & Traders Trust Co. 0.5636% 3/7/16 (c)	24,780,000		24,791,250
Mizuho Bank Ltd. 0.9094% 3/26/18 (b)(c)	25,000,000		25,055,350
MUFG Union Bank NA 1.0194% 9/26/16 (c)	25,715,000		25,828,712
PNC Bank NA 0.7035% 6/1/18 (c)	15,000,000		15,000,000
PNC Funding Corp. 4.25% 9/21/15	7,267,000		7,343,347
Royal Bank of Canada 0.7236% 9/9/16 (c)	15,000,000		15,058,635
Royal Bank of Scotland Group PLC 1.2131% 3/31/17 (c)	12,255,000		12,263,333
Royal Bank of Scotland PLC 3.95% 9/21/15	25,000,000		25,238,200
Societe Generale 3.1% 9/14/15 (b)	16,272,000		16,377,931
Sumitomo Mitsui Banking Corp.:
0.8556% 1/16/18 (c)	20,000,000		20,028,620
0.9451% 7/19/16 (c)	15,000,000		15,050,280
Sumitomo Mitsui Trust Bank Ltd. 1.0507% 9/16/16 (b)(c)	5,000,000		5,022,320
The Toronto Dominion Bank 0.7236% 9/9/16 (c)	20,000,000		20,070,600
Wells Fargo & Co.:
1.1894% 6/26/15 (c)	19,593,000		19,606,225
1.25% 7/20/16	9,395,000		9,428,474
Wells Fargo Bank NA 0.5551% 7/20/15 (c)	15,000,000		15,004,560
Westpac Banking Corp. 1.0268% 9/25/15 (c)	50,000,000		50,113,950
			1,968,032,027
Capital Markets - 7.8%
Deutsche Bank AG London Branch:
0.6021% 10/9/15 (c)	45,000,000		45,010,215
0.7535% 5/30/17 (c)	25,000,000		24,985,200
0.8866% 2/13/17 (c)	41,195,000		41,287,854
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Capital Markets - continued
JPMorgan Chase & Co.:
0.902% 2/26/16 (c)	$ 10,000,000		$ 10,022,760
0.9353% 10/15/15 (c)	20,000,000		20,034,620
1.1% 10/15/15	8,515,000		8,523,575
1.125% 2/26/16	8,906,000		8,921,853
Morgan Stanley:
0.7251% 10/18/16 (c)	13,607,000		13,619,981
1.0108% 1/5/18 (c)	22,630,000		22,722,534
1.532% 2/25/16 (c)	5,400,000		5,437,325
4% 7/24/15	5,000,000		5,024,575
UBS AG Stamford Branch:
0.7694% 9/26/16 (c)	25,000,000		25,039,025
0.8428% 6/1/17 (c)	30,000,000		30,011,982
0.9694% 3/26/18 (c)	40,000,000		40,088,480
			300,729,979
Consumer Finance - 2.8%
American Express Credit Corp.:
0.7266% 11/13/15 (c)	20,000,000		20,023,260
0.789% 7/29/16 (c)	10,000,000		10,026,130
1.3677% 6/12/15 (c)	15,000,000		15,004,395
2.75% 9/15/15	36,852,000		37,079,266
Caterpillar Financial Services Corp. 0.522% 2/26/16 (c)	7,283,000		7,295,891
General Electric Capital Corp.:
0.8738% 1/8/16 (c)	5,271,000		5,289,375
0.9259% 7/12/16 (c)	15,000,000		15,107,655
			109,825,972
Insurance - 0.1%
Metropolitan Life Global Funding I 0.8053% 7/15/16 (b)(c)	5,000,000		5,024,430
TOTAL FINANCIALS			2,383,612,408
Nonconvertible Bonds - continued
	Principal Amount		Value
HEALTH CARE - 1.0%
Pharmaceuticals - 1.0%
Actavis Funding SCS:
1.1427% 9/1/16 (c)	$ 25,000,000		$ 25,097,225
1.3477% 3/12/18 (c)	14,444,000		14,597,959
			39,695,184
INFORMATION TECHNOLOGY - 1.4%
Electronic Equipment & Components - 0.6%
Tyco Electronics Group SA 0.479% 1/29/16 (c)	25,000,000		24,997,950
IT Services - 0.8%
The Western Union Co.:
1.281% 8/21/15 (c)	15,000,000		15,017,445
5.93% 10/1/16	13,200,000		13,956,188
			28,973,633
TOTAL INFORMATION TECHNOLOGY			53,971,583
MATERIALS - 1.3%
Metals & Mining - 1.3%
Anglo American Capital PLC 1.2253% 4/15/16 (b)(c)	6,263,000		6,259,919
Rio Tinto Finance (U.S.A.) PLC:
0.8194% 6/19/15 (c)	35,000,000		35,002,905
1.1107% 6/17/16 (c)	10,800,000		10,830,067
			52,092,891
TELECOMMUNICATION SERVICES - 2.3%
Diversified Telecommunication Services - 2.3%
AT&T, Inc.:
0.6649% 2/12/16 (c)	2,031,000		2,031,120
0.9% 2/12/16	11,042,000		11,049,012
BellSouth Corp. 4.821% 4/26/16 (b)(c)	35,000,000		36,132,110
Verizon Communications, Inc. 1.8006% 9/15/16 (c)	40,000,000		40,591,680
			89,803,922
UTILITIES - 0.5%
Electric Utilities - 0.5%
Duke Energy Corp. 2.15% 11/15/16	18,285,000		18,604,914
TOTAL NONCONVERTIBLE BONDS (Cost $2,726,726,719)		2,730,342,198
Municipal Securities - 12.0%
	Principal Amount		Value
Berkeley County Indl. Dev. Rev. (Nucor Corp. Proj.) Series 1995, 0.35% 6/5/15, VRDN (c)(d)	$ 200,000		$ 200,000
California Poll. Cont. Fing. Auth. Solid Waste Disp. Rev. Bonds (Republic Svcs., Inc. Proj.) Series 2010 A, 0.5%, tender 8/3/15 (b)(c)(d)	4,000,000		4,000,000
Darlington County Indl. Dev. Rev. (Nucor Corp. Proj.) Series 2003 A, 0.27% 6/5/15, VRDN (c)(d)	8,250,000		8,250,000
Decatur Indl. Dev. Board Exempt Facilities Rev. (Nucor Steel Decatur LLC Proj.) Series 2003 A, 0.35% 6/5/15, VRDN (c)(d)	23,160,000		23,160,000
District of Columbia Hsg. Fin. Agcy. Multi-family Hsg. Rev. (WDC I LP Dev. Proj.) Series 2000, 0.32% 6/5/15, LOC SunTrust Banks, Inc., VRDN (c)(d)	6,525,000		6,525,000
Hertford County Indl. Facilities Poll. Cont. Fing. Auth. (Nucor Corp. Proj.) Series 2000 A, 0.35% 6/5/15, VRDN (c)(d)	8,500,000		8,500,000
Indiana Dev. Fin. Auth. Envir. Rev. (PSI Energy Proj.) Series 2003 B, 0.25% 6/5/15, VRDN (c)(d)	9,950,000		9,950,000
Los Angeles Reg'l. Arpts. Impt. Rev. (Compagne Nationale Air France Int'l. Arpt. Proj.) Series 1991, 0.36% 6/4/15, LOC Societe Generale, VRDN (c)(d)	1,425,000		1,425,000
Memphis-Shelby County Indl. Dev. Board Facilities Rev. Series 2007, 0.35% 6/5/15, VRDN (c)(d)	3,000,000		3,000,000
New Jersey Econ. Dev. Auth. Rev. 1.456% 6/15/15	38,665,000		38,676,213
New York Metropolitan Trans. Auth. Rev. Participating VRDN Series ROC II R 11711, 0.3% 6/5/15 (Liquidity Facility Citibank NA) (c)(e)	23,300,000		23,300,000
Phoenix Indl. Solid Waste Disp. Rev. Bonds (Republic Svc., Inc. Proj.) Series 2013, 0.53%, tender 8/3/15 (c)(d)	21,000,000		20,998,950
Port Arthur Navigation District Envir. Facilities Rev. (Motiva Enterprises LLC Proj.):
Series 2001 A, 0.36% 6/1/15, VRDN (c)	50,375,000		50,375,000
Series 2009 B, 0.35% 6/1/15, VRDN (c)	2,300,000		2,300,000
Series 2009 C, 0.35% 6/1/15, VRDN (c)	14,700,000		14,700,000
Series 2010 C, 0.35% 6/1/15, VRDN (c)	66,600,000		66,600,000
Series 2010 D, 0.36% 6/1/15, VRDN (c)	60,000,000		60,000,000
Saint James Parish Gen. Oblig. (Nucor Steel Louisiana LLC Proj.):
Series 2010 A1, 0.35% 6/5/15, VRDN (c)	11,550,000		11,550,000
Series 2010 B1, 0.28% 6/5/15, VRDN (c)	97,100,000		97,100,000
Municipal Securities - continued
	Principal Amount		Value
Stanton County Indl. Dev. Rev. Series 1998, 0.35% 6/5/15, VRDN (c)(d)	$ 1,200,000		$ 1,200,000
Washington Health Care Facilities Auth. Rev. Participating VRDN Series MS 3354, 0.3% 6/5/15 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (c)(e)	13,555,000		13,555,000
TOTAL MUNICIPAL SECURITIES (Cost $465,365,136)		465,365,163
Supranational Obligations - 0.4%

KeyBank NA 0.8035% 6/1/18 (c) (Cost $15,000,000)	15,000,000		14,995,560
Certificates of Deposit - 5.5%

Bank of Nova Scotia yankee 0.7066% 9/11/15 (c)	15,000,000		15,015,015
Barclays Bank PLC yankee 0.6298% 11/6/15 (c)	30,000,000		29,994,810
Credit Agricole CIB yankee 0.78% 6/3/16	50,000,000		49,999,275
Credit Suisse AG yankee:
0% 12/1/15 (c)	50,000,000		49,994,900
0.6136% 6/6/16 (c)	30,000,000		29,993,880
Nordea Bank Finland PLC yankee 0.4743% 11/14/16 (c)	40,000,000		39,993,280
TOTAL CERTIFICATES OF DEPOSIT (Cost $214,992,918)		214,991,160
Commercial Paper - 3.6%

ABN AMRO Funding U.S.A. LLC 0.18% 6/5/15	10,000,000		9,999,747
Gotham Funding Corp. yankee 0.17% 6/5/15 (Liquidity Facility Bank of Tokyo-Mitsubishi UFJ Ltd.)	4,400,000		4,399,880
Manhattan Asset Funding Co. LLC yankee 0.18% 6/3/15 (Liquidity Facility Sumitomo Mitsui Banking Corp.)	15,000,000		14,999,720
Mitsubishi UFJ Trust & Banking Corp. yankee:
0.18% 6/24/15	18,100,000		18,096,746
0.19% 6/10/15	30,000,000		29,997,561
Sheffield Receivables Corp. yankee:
0.17% 7/8/15	15,000,000		14,997,050
Commercial Paper - continued
	Principal Amount		Value
Sheffield Receivables Corp. yankee: - continued
0.19% 6/1/15	$ 15,000,000		$ 14,999,838
0.19% 7/8/15	30,000,000		29,994,100
TOTAL COMMERCIAL PAPER (Cost $137,488,040)		137,484,642

Money Market Funds - 1.4%
	Shares
Fidelity Cash Central Fund, 0.15% (a) (Cost $55,732,219)	55,732,219		55,732,219
Cash Equivalents - 9.7%
	Maturity Amount
With:
Credit Suisse Securities (U.S.A.) LLC at 0.8%, dated:
1/6/15 due 7/6/15 (Collateralized by U.S. Government Obligations valued at $20,665,937, 5.82% - 6.87%, 01/25/24 - 02/25/43)	$ 20,080,444		20,004,400
2/27/15 due 8/26/15 (Collateralized by U.S. Government Obligations valued at $51,604,311, 4.56% - 6.76%, 06/15/35 - 12/15/44)	50,200,000		50,018,000
Mizuho Securities U.S.A., Inc. at 1.4%, dated:
2/26/15 due 8/25/15 (Collateralized by Corporate Obligations valued at $37,939,650, 0.33% - 1.22%, 08/25/35 - 08/25/46)	35,245,000		35,021,378
3/12/15 due 9/8/15 (Collateralized by Corporate Obligations valued at $70,421,130, 0.36% - 5.33%, 12/25/34 - 09/25/41)	65,455,000		65,039,527
4/13/15 due 10/9/15 (Collateralized by Corporate Obligations valued at $64,923,480, 0.28% - 5.29%, 02/25/35 - 01/25/37)	60,417,667		60,031,800
Morgan Stanley & Co., Inc. at:
0.86%, dated 3/5/15 due 3/4/16 (Collateralized by Equity Securities valued at $27,060,894)	25,217,986		24,998,075
Cash Equivalents - continued
	Maturity Amount		Value
With: - continued
Morgan Stanley & Co., Inc. at:
0.91%, dated:
12/16/14 due 12/15/15 (Collateralized by Mortgage Loan Obligations valued at $100,196,963, 0.00% - 7.44%, 08/14/27 - 03/29/51)	$ 95,874,106		$ 94,994,965
3/5/15 due 3/4/16 (Collateralized by Corporate Obligations valued at $27,064,193, 5.5% - 14.0%, 12/15/16 - 06/01/32)	25,230,660		24,998,050
TOTAL CASH EQUIVALENTS (Cost $375,000,000)		375,106,195
TOTAL INVESTMENT PORTFOLIO - 103.0% (Cost $3,990,305,032)			3,994,017,137
NET OTHER ASSETS (LIABILITIES) - (3.0)%			(117,970,177)
NET ASSETS - 100%		$ 3,876,046,960

Security Type Abbreviations
VRDN	-	Variable Rate Demand Note (A debt instrument that is payable upon demand, either daily, weekly or monthly)

Legend

(d) Private activity obligations whose interest is subject to the federal alternative minimum tax for individuals.

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

(f) The maturity amount is based on the rate at period end.

Affiliated Central Funds

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

Fund	Income earned
Fidelity Cash Central Fund	$ 160,799

Other Information

Valuation Inputs at Reporting Date:
Description	Total	Level 1	Level 2	Level 3
Investments in Securities:
Corporate Bonds	$ 2,730,342,198	$ -	$ 2,730,342,198	$ -
Municipal Securities	465,365,163	-	465,365,163	-
Supranational Obligations	14,995,560	-	14,995,560	-
Certificates of Deposit	214,991,160	-	214,991,160	-
Commercial Paper	137,484,642	-	137,484,642	-
Money Market Funds	55,732,219	55,732,219	-	-
Cash Equivalents	375,106,195	-	375,106,195	-
Total Investments in Securities:	$ 3,994,017,137	$ 55,732,219	$ 3,938,284,918	$ -

Income Tax Information

At May 31, 2015, the cost of investment securities for income tax purposes was $3,990,326,594. Net unrealized appreciation aggregated $3,690,543, of which $4,263,516 related to appreciated investment securities and $572,973 related to depreciated investment securities.

Investment Valuation

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, municipal securities, supranational obligations, commercial paper and certificates of deposit are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices.

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

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. Short-term securities with remaining maturities of sixty days or less may be valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.

For additional information on the Fund's policy regarding valuation of investments and other significant accounting policies, please refer to the Fund's most recent semiannual or annual shareholder report.

Quarterly 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 Report

Investments May 31, 2015 (Unaudited)

Quarterly Holdings Report

for

Fidelity ® Corporate Bond Fund

May 31, 2015

1.907009.105

CBD-QTLY-0715

Investments May 31, 2015 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 88.4%
	Principal Amount		Value
CONSUMER DISCRETIONARY - 7.6%
Automobiles - 1.6%
Ford Motor Co. 4.75% 1/15/43	$ 3,184,000		$ 3,223,803
General Motors Co.:
5% 4/1/35	2,537,000		2,553,156
5.2% 4/1/45	4,206,000		4,270,659
Volkswagen Group of America Finance LLC 1.25% 5/23/17 (b)	6,650,000		6,663,287
Volkswagen International Finance NV 2.375% 3/22/17 (b)	2,050,000		2,092,814
			18,803,719
Diversified Consumer Services - 0.0%
Ingersoll-Rand Global Holding Co. Ltd. 5.75% 6/15/43	396,000		451,052
Household Durables - 1.3%
D.R. Horton, Inc.:
3.75% 3/1/19	4,500,000		4,522,500
4% 2/15/20	5,000,000		5,025,000
Toll Brothers Finance Corp. 4.375% 4/15/23	5,750,000		5,836,250
			15,383,750
Internet & Catalog Retail - 0.4%
Amazon.com, Inc. 4.8% 12/5/34	5,101,000		5,262,941
Media - 3.5%
21st Century Fox America, Inc.:
6.15% 2/15/41	4,800,000		5,759,731
6.9% 8/15/39	300,000		391,063
7.75% 12/1/45	111,000		156,677
Comcast Corp.:
4.65% 7/15/42	2,200,000		2,286,970
6.4% 3/1/40	1,150,000		1,474,283
DIRECTV Holdings LLC/DIRECTV Financing, Inc. 3.5% 3/1/16	220,000		224,213
Discovery Communications LLC 4.875% 4/1/43	5,108,000		4,808,651
NBCUniversal, Inc. 5.15% 4/30/20	3,625,000		4,123,361
Thomson Reuters Corp. 1.3% 2/23/17	305,000		305,091
Time Warner Cable, Inc.:
4.5% 9/15/42	773,000		667,439
5.5% 9/1/41	623,000		599,632
5.875% 11/15/40	1,648,000		1,662,245
6.55% 5/1/37	2,531,000		2,722,336
6.75% 7/1/18	700,000		785,371
7.3% 7/1/38	1,188,000		1,379,753
Nonconvertible Bonds - continued
	Principal Amount		Value
CONSUMER DISCRETIONARY - continued
Media - continued
Time Warner Cable, Inc.: - continued
8.25% 4/1/19	$ 1,856,000		$ 2,199,419
Time Warner, Inc.:
2.1% 6/1/19	3,000,000		2,993,052
4.75% 3/29/21	1,750,000		1,927,074
6.2% 3/15/40	1,700,000		2,004,433
Viacom, Inc.:
2.5% 9/1/18	5,496,000		5,579,209
3.5% 4/1/17	34,000		35,295
			42,085,298
Specialty Retail - 0.8%
AutoZone, Inc. 3.7% 4/15/22	253,000		262,748
Home Depot, Inc. 5.95% 4/1/41	941,000		1,184,985
Lowe's Companies, Inc. 5.125% 11/15/41	650,000		747,668
TJX Companies, Inc. 2.75% 6/15/21	694,000		709,299
Turlock Corp. 1.5% 11/2/17	7,000,000		7,032,767
			9,937,467
TOTAL CONSUMER DISCRETIONARY			91,924,227
CONSUMER STAPLES - 5.1%
Beverages - 1.7%
Anheuser-Busch InBev Finance, Inc. 2.15% 2/1/19	5,000,000		5,055,325
Constellation Brands, Inc.:
3.75% 5/1/21	2,000,000		2,012,500
4.25% 5/1/23	3,315,000		3,348,150
Heineken NV:
1.4% 10/1/17 (b)	287,000		287,640
4% 10/1/42 (b)	96,000		90,270
PepsiCo, Inc. 4.25% 10/22/44	6,629,000		6,630,193
SABMiller Holdings, Inc. 2.45% 1/15/17 (b)	2,655,000		2,705,291
			20,129,369
Food & Staples Retailing - 1.2%
Wal-Mart Stores, Inc. 3.3% 4/22/24	10,000,000		10,297,540
Walgreen Co.:
3.1% 9/15/22	3,607,000		3,567,907
4.4% 9/15/42	124,000		116,515
Nonconvertible Bonds - continued
	Principal Amount		Value
CONSUMER STAPLES - continued
Food & Staples Retailing - continued
Walgreens Boots Alliance, Inc.:
3.3% 11/18/21	$ 691,000		$ 698,230
3.8% 11/18/24	528,000		528,495
			15,208,687
Food Products - 1.2%
ConAgra Foods, Inc. 1.9% 1/25/18	285,000		285,033
General Mills, Inc.:
1.4% 10/20/17	7,500,000		7,504,830
2.2% 10/21/19	5,000,000		5,024,790
The J.M. Smucker Co. 2.5% 3/15/20 (b)	1,642,000		1,654,479
			14,469,132
Tobacco - 1.0%
Altria Group, Inc.:
2.85% 8/9/22	2,500,000		2,449,225
4% 1/31/24	529,000		547,472
4.125% 9/11/15	2,100,000		2,120,696
Philip Morris International, Inc. 4.375% 11/15/41	2,100,000		2,072,822
Reynolds American, Inc.:
1.05% 10/30/15	660,000		659,710
3.25% 11/1/22	3,304,000		3,250,855
4.75% 11/1/42	470,000		440,654
6.75% 6/15/17	384,000		422,655
			11,964,089
TOTAL CONSUMER STAPLES			61,771,277
ENERGY - 11.2%
Energy Equipment & Services - 2.2%
DCP Midstream LLC:
4.75% 9/30/21 (b)	158,000		153,342
5.35% 3/15/20 (b)	10,096,000		10,286,501
5.85% 5/21/43 (b)(d)	7,500,000		6,225,000
El Paso Pipeline Partners Operating Co. LLC 6.5% 4/1/20	658,000		757,896
Ensco PLC:
5.2% 3/15/25	1,787,000		1,838,641
5.75% 10/1/44	561,000		538,070
Noble Holding International Ltd.:
2.5% 3/15/17	125,000		125,156
Nonconvertible Bonds - continued
	Principal Amount		Value
ENERGY - continued
Energy Equipment & Services - continued
Noble Holding International Ltd.: - continued
3.05% 3/1/16	$ 450,000		$ 453,789
5.95% 4/1/25	5,000,000		5,053,045
Transocean, Inc. 6.5% 11/15/20	930,000		889,894
			26,321,334
Oil, Gas & Consumable Fuels - 9.0%
Anadarko Petroleum Corp.:
5.95% 9/15/16	393,000		416,474
6.375% 9/15/17	3,626,000		4,004,620
Apache Corp. 4.75% 4/15/43	3,233,000		3,114,963
Boardwalk Pipelines LP 4.95% 12/15/24	4,120,000		4,142,054
BP Capital Markets PLC 2.521% 1/15/20	1,719,000		1,751,744
Cenovus Energy, Inc.:
3.8% 9/15/23	5,000,000		5,000,505
5.7% 10/15/19	1,189,000		1,335,435
Chesapeake Energy Corp.:
6.125% 2/15/21	305,000		310,338
6.625% 8/15/20	4,675,000		4,884,440
DCP Midstream Operating LP:
2.5% 12/1/17	370,000		359,837
2.7% 4/1/19	64,000		60,721
3.875% 3/15/23	222,000		211,866
4.95% 4/1/22	1,925,000		1,966,934
5.6% 4/1/44	340,000		318,396
Devon Energy Corp. 2.25% 12/15/18	910,000		918,762
Duke Energy Field Services 5.375% 10/15/15 (b)	54,000		54,473
El Paso Natural Gas Co. 5.95% 4/15/17	492,000		527,963
Enbridge Energy Partners LP 4.2% 9/15/21	140,000		146,211
EnLink Midstream Partners LP 2.7% 4/1/19	1,021,000		1,018,722
Enterprise Products Operating LP:
1.25% 8/13/15	387,000		387,573
2.55% 10/15/19	163,000		164,947
3.75% 2/15/25	547,000		555,363
4.85% 3/15/44	2,023,000		2,023,267
4.95% 10/15/54	2,437,000		2,383,681
Marathon Petroleum Corp. 3.5% 3/1/16	150,000		152,835
ONEOK Partners LP 2% 10/1/17	2,822,000		2,822,466
Petro-Canada 6.05% 5/15/18	4,470,000		5,022,876
Petrobras Global Finance BV 7.25% 3/17/44	1,015,000		999,877
Nonconvertible Bonds - continued
	Principal Amount		Value
ENERGY - continued
Oil, Gas & Consumable Fuels - continued
Petrobras International Finance Co. Ltd.:
3.875% 1/27/16	$ 39,000		$ 39,156
5.375% 1/27/21	652,000		636,026
5.75% 1/20/20	3,652,000		3,647,983
Petroleos Mexicanos:
3.5% 7/18/18	959,000		994,186
4.25% 1/15/25 (b)	5,000,000		4,972,500
4.875% 1/18/24	80,000		83,430
5.5% 1/21/21	545,000		596,290
5.5% 6/27/44	2,899,000		2,823,626
6% 3/5/20	116,000		131,057
6.375% 1/23/45	937,000		1,016,458
6.5% 6/2/41	2,926,000		3,203,970
Phillips 66 Co.:
2.95% 5/1/17	2,767,000		2,850,641
4.3% 4/1/22	300,000		322,493
4.65% 11/15/34	3,750,000		3,797,828
Plains All American Pipeline LP/PAA Finance Corp. 3.6% 11/1/24	5,000,000		4,910,515
Shell International Finance BV:
2.125% 5/11/20	1,829,000		1,836,618
3.25% 5/11/25	5,898,000		5,969,089
Southeast Supply Header LLC 4.25% 6/15/24 (b)	667,000		668,572
Southwestern Energy Co. 4.95% 1/23/25	6,272,000		6,501,725
Spectra Energy Capital, LLC 5.65% 3/1/20	56,000		61,474
Spectra Energy Partners, LP:
2.95% 6/15/16	452,000		459,953
4.6% 6/15/21	414,000		447,199
Talisman Energy, Inc. 3.75% 2/1/21	3,635,000		3,598,148
The Williams Companies, Inc. 5.75% 6/24/44	4,911,000		4,980,942
Western Gas Partners LP:
2.6% 8/15/18	858,000		870,868
5.375% 6/1/21	1,273,000		1,410,607
Williams Partners LP:
3.35% 8/15/22	2,500,000		2,442,265
4% 9/15/25	5,000,000		4,917,695
4.3% 3/4/24	491,000		502,306
			109,750,963
TOTAL ENERGY			136,072,297
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - 41.7%
Banks - 18.9%
Associated Banc-Corp. 5.125% 3/28/16	$ 575,000		$ 592,332
Bank of America Corp.:
2.65% 4/1/19	1,524,000		1,550,661
3.95% 4/21/25	4,128,000		4,081,932
4% 1/22/25	3,277,000		3,259,265
4.2% 8/26/24	10,942,000		11,093,798
5.75% 12/1/17	3,000,000		3,290,313
6.5% 8/1/16	1,240,000		1,314,080
Bank of America NA 1.25% 2/14/17	1,027,000		1,027,989
Barclays Bank PLC 2.5% 2/20/19	400,000		407,322
Barclays PLC 3.65% 3/16/25	4,116,000		4,028,551
BNP Paribas SA 4.25% 10/15/24	6,500,000		6,622,870
BPCE SA 5.15% 7/21/24 (b)	6,475,000		6,786,312
Branch Banking & Trust Co. 2.85% 4/1/21	3,282,000		3,357,089
Capital One Bank NA 2.3% 6/5/19	5,000,000		5,001,745
Capital One NA 2.95% 7/23/21	1,050,000		1,051,100
CIT Group, Inc. 3.875% 2/19/19	1,425,000		1,428,563
Citigroup, Inc.:
1.55% 8/14/17	3,821,000		3,819,556
2.5% 7/29/19	4,000,000		4,028,176
4.05% 7/30/22	316,000		328,984
4.45% 1/10/17	1,250,000		1,310,768
5.3% 5/6/44	2,300,000		2,475,460
5.5% 9/13/25	1,317,000		1,465,267
6.125% 5/15/18	640,000		716,522
6.675% 9/13/43	467,000		590,660
Citizens Financial Group, Inc. 4.15% 9/28/22 (b)	517,000		534,528
Credit Agricole SA 4.375% 3/17/25 (b)	3,636,000		3,610,621
Credit Suisse AG 6% 2/15/18	122,000		134,690
Credit Suisse New York Branch:
3% 10/29/21	1,550,000		1,559,354
3.625% 9/9/24	3,230,000		3,280,042
Discover Bank:
2% 2/21/18	3,900,000		3,904,567
7% 4/15/20	2,391,000		2,805,466
Fifth Third Bancorp:
4.3% 1/16/24	4,001,000		4,181,857
5.45% 1/15/17	1,232,000		1,311,862
8.25% 3/1/38	3,848,000		5,597,536
HSBC Bank U.S.A. N.A. 4.875% 8/24/20	725,000		811,432
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Banks - continued
HSBC Holdings PLC 6.5% 9/15/37	$ 100,000		$ 124,388
Huntington Bancshares, Inc. 7% 12/15/20	1,087,000		1,299,215
Intesa Sanpaolo SpA 5.017% 6/26/24 (b)	7,245,000		7,254,708
JPMorgan Chase & Co.:
3.875% 2/1/24	5,000,000		5,198,450
3.875% 9/10/24	5,237,000		5,255,837
4.125% 12/15/26	13,085,000		13,177,001
JPMorgan Chase Bank 6% 10/1/17	10,850,000		11,946,197
KeyBank NA 1.65% 2/1/18	501,000		502,427
KeyCorp. 5.1% 3/24/21	2,081,000		2,342,881
Marshall & Ilsley Bank:
4.85% 6/16/15	1,222,000		1,223,886
5% 1/17/17	1,027,000		1,080,650
Mitsubishi UFJ Trust & Banking Corp.:
1.6% 10/16/17 (b)	7,000,000		7,002,842
2.45% 10/16/19 (b)	7,000,000		7,083,881
Mizuho Bank Ltd. 1.55% 10/17/17 (b)	4,377,000		4,373,884
MUFG Americas Holdings Corp. 0.8489% 2/9/18 (d)	9,000,000		9,011,394
Rabobank Nederland 4.625% 12/1/23	4,531,000		4,805,968
Regions Bank:
6.45% 6/26/37	2,611,000		3,185,681
7.5% 5/15/18	7,499,000		8,649,002
Regions Financial Corp.:
2% 5/15/18	558,000		557,996
5.75% 6/15/15	1,655,000		1,657,795
Royal Bank of Scotland Group PLC:
2.55% 9/18/15	652,000		655,032
5.125% 5/28/24	3,640,000		3,736,744
6% 12/19/23	5,228,000		5,664,141
6.1% 6/10/23	1,000,000		1,088,249
6.125% 12/15/22	5,972,000		6,574,945
SunTrust Banks, Inc. 2.5% 5/1/19	5,184,000		5,255,897
Wachovia Bank NA 6% 11/15/17	405,000		448,964
Wells Fargo & Co.:
4.48% 1/16/24	7,539,000		8,091,390
4.65% 11/4/44	4,700,000		4,700,827
			229,311,542
Capital Markets - 6.5%
Blackstone Holdings Finance Co. LLC 4.45% 7/15/45 (b)	8,385,000		7,971,368
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Capital Markets - continued
Charles Schwab Corp. 2.2% 7/25/18	$ 3,166,000		$ 3,230,137
Deutsche Bank AG 4.5% 4/1/25	2,916,000		2,846,144
Goldman Sachs Group, Inc.:
2.375% 1/22/18	3,994,000		4,053,850
2.55% 10/23/19	6,476,000		6,514,584
2.9% 7/19/18	4,240,000		4,364,185
3.625% 2/7/16	1,275,000		1,298,922
3.75% 5/22/25	6,000,000		6,044,958
5.25% 7/27/21	1,227,000		1,383,823
5.95% 1/18/18	178,000		196,756
6.15% 4/1/18	204,000		227,633
Lazard Group LLC 6.85% 6/15/17	31,000		33,997
Merrill Lynch &Co., Inc. 6.11% 1/29/37	2,269,000		2,631,500
Morgan Stanley:
2.125% 4/25/18	2,560,000		2,580,086
3.7% 10/23/24	1,685,000		1,713,352
3.75% 2/25/23	1,168,000		1,203,715
4.3% 1/27/45	948,000		914,271
4.875% 11/1/22	9,466,000		10,198,110
5% 11/24/25	846,000		910,457
5.5% 7/28/21	1,222,000		1,399,010
5.625% 9/23/19	329,000		371,988
5.75% 1/25/21	557,000		642,820
6.625% 4/1/18	153,000		173,077
Peachtree Corners Funding Trust 3.976% 2/15/25 (b)	7,500,000		7,583,063
TD Ameritrade Holding Corp.:
2.95% 4/1/22	3,470,000		3,501,934
3.625% 4/1/25	6,550,000		6,779,165
			78,768,905
Consumer Finance - 2.5%
Ally Financial, Inc.:
4.125% 2/13/22	5,560,000		5,421,000
4.75% 9/10/18	4,500,000		4,657,500
Discover Financial Services:
3.85% 11/21/22	2,538,000		2,587,082
5.2% 4/27/22	2,355,000		2,576,163
6.45% 6/12/17	107,000		117,047
Ford Motor Credit Co. LLC:
1.5% 1/17/17	599,000		599,598
2.597% 11/4/19	4,950,000		4,971,815
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Consumer Finance - continued
General Electric Capital Corp. 5.875% 1/14/38	$ 150,000		$ 187,493
Hyundai Capital America:
1.625% 10/2/15 (b)	178,000		178,414
2.125% 10/2/17 (b)	197,000		199,074
2.55% 2/6/19 (b)	3,163,000		3,214,633
2.875% 8/9/18 (b)	4,930,000		5,092,389
			29,802,208
Diversified Financial Services - 2.4%
Berkshire Hathaway Finance Corp. 4.4% 5/15/42	107,000		111,468
CME Group, Inc. 5.3% 9/15/43	3,050,000		3,575,353
ING U.S., Inc.:
5.5% 7/15/22	2,028,000		2,317,428
5.7% 7/15/43	2,607,000		3,073,450
McGraw Hill Financial, Inc. 4% 6/15/25 (b)	6,038,000		6,097,547
Moody's Corp.:
2.75% 7/15/19	6,920,000		7,028,346
4.5% 9/1/22	6,500,000		7,001,280
			29,204,872
Insurance - 6.4%
AIA Group Ltd. 3.2% 3/11/25 (b)	6,617,000		6,564,448
American International Group, Inc.:
4.375% 1/15/55	2,685,000		2,522,426
4.5% 7/16/44	5,833,000		5,801,152
Aon Corp.:
3.125% 5/27/16	1,609,000		1,643,898
6.25% 9/30/40	253,000		315,223
Aon PLC:
3.5% 6/14/24	2,830,000		2,842,435
4.75% 5/15/45	6,000,000		6,067,974
Assurant, Inc. 2.5% 3/15/18	3,842,000		3,904,141
Five Corners Funding Trust 4.419% 11/15/23 (b)	4,111,000		4,324,369
Great-West Life & Annuity Insurance Co. 7.153% 5/16/46 (b)(d)	66,000		66,660
Hartford Financial Services Group, Inc.:
4.3% 4/15/43	1,211,000		1,192,817
8.125% 6/15/38 (d)	4,915,000		5,541,663
Liberty Mutual Group, Inc. 4.95% 5/1/22 (b)	5,250,000		5,723,928
Marsh & McLennan Companies, Inc.:
4.05% 10/15/23	2,306,000		2,441,330
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Insurance - continued
Marsh & McLennan Companies, Inc.: - continued
4.8% 7/15/21	$ 1,643,000		$ 1,830,862
Massachusetts Mutual Life Insurance Co.:
4.5% 4/15/65 (b)	2,264,000		2,096,120
5.375% 12/1/41 (b)	148,000		168,645
Metropolitan Life Global Funding I 1.3% 4/10/17 (b)	6,837,000		6,852,937
Pacific LifeCorp:
5.125% 1/30/43 (b)	1,285,000		1,379,647
6% 2/10/20 (b)	902,000		1,026,585
Prudential Financial, Inc.:
5.625% 5/12/41	1,170,000		1,318,191
5.625% 6/15/43 (d)	5,000,000		5,306,250
Symetra Financial Corp. 6.125% 4/1/16 (b)	615,000		635,483
TIAA Asset Management Finance LLC:
2.95% 11/1/19 (b)	287,000		292,349
4.125% 11/1/24 (b)	415,000		429,134
Unum Group:
5.625% 9/15/20	1,846,000		2,094,232
5.75% 8/15/42	3,748,000		4,292,401
7.125% 9/30/16	106,000		113,979
UnumProvident Finance Co. PLC 6.85% 11/15/15 (b)	991,000		1,017,056
			77,806,335
Real Estate Investment Trusts - 1.9%
Alexandria Real Estate Equities, Inc. 4.6% 4/1/22	94,000		100,093
AvalonBay Communities, Inc. 4.2% 12/15/23	4,553,000		4,872,534
Boston Properties, Inc. 3.85% 2/1/23	738,000		772,506
Camden Property Trust 4.25% 1/15/24	758,000		801,297
CommonWealth REIT 5.875% 9/15/20	1,260,000		1,395,390
DDR Corp.:
4.625% 7/15/22	391,000		418,682
4.75% 4/15/18	1,764,000		1,885,718
7.5% 4/1/17	4,000,000		4,412,116
9.625% 3/15/16	214,000		228,153
Duke Realty LP:
3.875% 10/15/22	403,000		416,490
4.375% 6/15/22	206,000		218,435
5.5% 3/1/16	1,300,000		1,342,569
6.75% 3/15/20	1,295,000		1,524,885
Equity One, Inc. 3.75% 11/15/22	3,000,000		3,007,059
ERP Operating LP 2.375% 7/1/19	490,000		495,121
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Real Estate Investment Trusts - continued
Health Care REIT, Inc.:
2.25% 3/15/18	$ 324,000		$ 328,201
4.7% 9/15/17	548,000		585,517
Lexington Corporate Properties Trust 4.4% 6/15/24	250,000		255,007
Retail Opportunity Investments Partnership LP 5% 12/15/23	167,000		179,194
			23,238,967
Real Estate Management & Development - 3.1%
BioMed Realty LP:
2.625% 5/1/19	4,914,000		4,933,563
3.85% 4/15/16	914,000		933,151
4.25% 7/15/22	170,000		176,168
Brandywine Operating Partnership LP:
3.95% 2/15/23	2,017,000		2,028,931
4.1% 10/1/24	3,000,000		3,017,451
4.55% 10/1/29	2,014,000		2,052,210
4.95% 4/15/18	290,000		310,831
6% 4/1/16	211,000		219,179
Corporate Office Properties LP 3.7% 6/15/21	476,000		475,222
Essex Portfolio LP 5.5% 3/15/17	3,479,000		3,729,137
Liberty Property LP:
3.375% 6/15/23	1,087,000		1,065,384
4.125% 6/15/22	1,832,000		1,898,641
4.4% 2/15/24	1,039,000		1,089,617
4.75% 10/1/20	752,000		816,373
5.5% 12/15/16	2,436,000		2,579,108
6.625% 10/1/17	1,960,000		2,169,512
Mack-Cali Realty LP:
2.5% 12/15/17	488,000		490,057
3.15% 5/15/23	922,000		826,768
4.5% 4/18/22	94,000		93,940
7.75% 8/15/19	126,000		146,039
Mid-America Apartments LP 4.3% 10/15/23	180,000		189,026
Post Apartment Homes LP 3.375% 12/1/22	4,905,000		4,840,058
Prime Property Funding, Inc. 5.7% 4/15/17 (b)	276,000		291,784
Reckson Operating Partnership LP 6% 3/31/16	286,000		297,341
Regency Centers LP:
3.75% 6/15/24	493,000		500,666
5.25% 8/1/15	249,000		250,797
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Real Estate Management & Development - continued
Tanger Properties LP:
3.875% 12/1/23	$ 398,000		$ 408,257
6.125% 6/1/20	661,000		762,627
Ventas Realty LP/Ventas Capital Corp. 2% 2/15/18	508,000		512,792
			37,104,630
TOTAL FINANCIALS			505,237,459
HEALTH CARE - 5.9%
Biotechnology - 1.1%
Amgen, Inc.:
2.2% 5/22/19	5,630,000		5,657,047
3.125% 5/1/25	7,750,000		7,541,231
			13,198,278
Health Care Equipment & Supplies - 0.7%
Becton, Dickinson & Co.:
3.734% 12/15/24	3,246,000		3,311,521
4.685% 12/15/44	288,000		291,957
Medtronic, Inc. 3.15% 3/15/22 (b)	4,650,000		4,750,580
			8,354,058
Health Care Providers & Services - 0.8%
Express Scripts Holding Co. 4.75% 11/15/21	3,000,000		3,317,649
Express Scripts, Inc. 3.125% 5/15/16	1,696,000		1,729,515
UnitedHealth Group, Inc.:
3.95% 10/15/42	132,000		127,519
4.25% 3/15/43	2,500,000		2,541,010
4.625% 11/15/41	965,000		1,024,485
WellPoint, Inc.:
1.875% 1/15/18	288,000		289,540
2.375% 2/15/17	810,000		825,793
			9,855,511
Life Sciences Tools & Services - 0.2%
Thermo Fisher Scientific, Inc.:
3.3% 2/15/22	1,980,000		2,002,182
4.15% 2/1/24	248,000		259,878
5.3% 2/1/44	103,000		115,036
			2,377,096
Nonconvertible Bonds - continued
	Principal Amount		Value
HEALTH CARE - continued
Pharmaceuticals - 3.1%
AbbVie, Inc.:
1.75% 11/6/17	$ 999,000		$ 1,002,494
2.5% 5/14/20	1,885,000		1,883,607
3.2% 11/6/22	1,183,000		1,186,222
3.6% 5/14/25	1,758,000		1,768,349
4.4% 11/6/42	627,000		605,780
4.5% 5/14/35	1,694,000		1,698,618
Actavis Funding SCS 4.55% 3/15/35	5,473,000		5,403,252
Bayer U.S. Finance LLC:
1.5% 10/6/17 (b)	1,706,000		1,717,688
2.375% 10/8/19 (b)	567,000		574,364
3% 10/8/21 (b)	414,000		422,143
3.375% 10/8/24 (b)	286,000		290,055
Johnson & Johnson 4.5% 12/5/43	3,200,000		3,526,170
Merck & Co., Inc. 2.35% 2/10/22	10,000,000		9,872,360
Watson Pharmaceuticals, Inc. 1.875% 10/1/17	7,416,000		7,435,771
Zoetis, Inc. 1.875% 2/1/18	123,000		122,983
			37,509,856
TOTAL HEALTH CARE			71,294,799
INDUSTRIALS - 2.5%
Aerospace & Defense - 0.3%
BAE Systems Holdings, Inc. 3.8% 10/7/24 (b)	508,000		523,601
L-3 Communications Corp. 3.95% 5/28/24	3,000,000		2,969,121
			3,492,722
Airlines - 0.0%
Aviation Capital Group Corp. 4.625% 1/31/18 (b)	549,000		572,486
Continental Airlines, Inc. 6.648% 3/15/19	33,792		35,036
U.S. Airways pass-thru trust certificates:
6.85% 1/30/18	50,141		53,086
8.36% 1/20/19	36,450		39,457
			700,065
Industrial Conglomerates - 1.4%
General Electric Co.:
2.7% 10/9/22	5,000,000		4,998,930
4.125% 10/9/42	434,000		432,310
Nonconvertible Bonds - continued
	Principal Amount		Value
INDUSTRIALS - continued
Industrial Conglomerates - continued
Roper Industries, Inc.:
1.85% 11/15/17	$ 4,079,000		$ 4,107,586
2.05% 10/1/18	7,475,000		7,483,275
			17,022,101
Machinery - 0.1%
Ingersoll-Rand Luxembourg Finance SA:
2.625% 5/1/20	270,000		271,271
4.65% 11/1/44	559,000		556,202
			827,473
Road & Rail - 0.3%
Burlington Northern Santa Fe LLC:
4.15% 4/1/45	1,008,000		957,654
4.4% 3/15/42	2,500,000		2,523,755
			3,481,409
Trading Companies & Distributors - 0.4%
Air Lease Corp.:
2.125% 1/15/18	408,000		405,450
3.75% 2/1/22	1,086,000		1,094,258
3.875% 4/1/21	3,305,000		3,404,150
			4,903,858
TOTAL INDUSTRIALS			30,427,628
INFORMATION TECHNOLOGY - 1.9%
Communications Equipment - 0.2%
Cisco Systems, Inc. 2.9% 3/4/21	2,273,000		2,368,398
Electronic Equipment & Components - 0.6%
Amphenol Corp.:
1.55% 9/15/17	1,404,000		1,408,322
3.125% 9/15/21	264,000		267,933
Tyco Electronics Group SA:
2.375% 12/17/18	185,000		187,926
6.55% 10/1/17	4,758,000		5,302,934
			7,167,115
Nonconvertible Bonds - continued
	Principal Amount		Value
INFORMATION TECHNOLOGY - continued
IT Services - 0.1%
The Western Union Co.:
2.375% 12/10/15	$ 358,000		$ 359,377
2.875% 12/10/17	926,000		951,397
			1,310,774
Software - 0.7%
Oracle Corp.:
3.25% 5/15/30	4,148,000		3,949,738
4.375% 5/15/55	4,148,000		3,978,861
5.375% 7/15/40	240,000		269,111
			8,197,710
Technology Hardware, Storage & Peripherals - 0.3%
Apple, Inc. 3.2% 5/13/25	3,897,000		3,930,768
TOTAL INFORMATION TECHNOLOGY			22,974,765
MATERIALS - 1.9%
Chemicals - 0.6%
Chevron Phillips Chemical Co. LLC / Chevron Phillips Chemical Co. LP 1.7% 5/1/18 (b)	5,220,000		5,239,215
Ecolab, Inc. 1.45% 12/8/17	434,000		432,591
Monsanto Co. 4.7% 7/15/64	1,925,000		1,727,125
			7,398,931
Metals & Mining - 1.3%
Alcoa, Inc.:
5.125% 10/1/24	543,000		579,653
5.4% 4/15/21	4,548,000		4,945,950
Anglo American Capital PLC 4.125% 4/15/21 (b)	5,693,000		5,794,535
Corporacion Nacional del Cobre de Chile (Codelco):
4.875% 11/4/44 (b)	200,000		201,825
5.625% 10/18/43 (b)	425,000		477,479
Freeport-McMoRan, Inc. 3.875% 3/15/23	3,625,000		3,405,111
Vale Overseas Ltd. 6.25% 1/23/17	104,000		110,826
			15,515,379
TOTAL MATERIALS			22,914,310
Nonconvertible Bonds - continued
	Principal Amount		Value
TELECOMMUNICATION SERVICES - 4.4%
Diversified Telecommunication Services - 3.4%
AT&T, Inc.:
4.5% 5/15/35	$ 4,270,000		$ 4,031,205
4.75% 5/15/46	2,316,000		2,194,269
5.55% 8/15/41	2,700,000		2,846,651
British Telecommunications PLC:
1.25% 2/14/17	1,064,000		1,064,847
1.625% 6/28/16	435,000		437,985
2.35% 2/14/19	4,623,000		4,688,457
Verizon Communications, Inc.:
2.45% 11/1/22	634,000		605,147
3.5% 11/1/21	1,420,000		1,474,485
4.5% 9/15/20	13,827,000		15,072,204
4.6% 4/1/21	460,000		503,424
5.012% 8/21/54	6,001,000		5,675,128
6.4% 9/15/33	1,509,000		1,780,620
6.55% 9/15/43	999,000		1,207,941
			41,582,363
Wireless Telecommunication Services - 1.0%
America Movil S.A.B. de CV 2.375% 9/8/16	1,450,000		1,471,765
Rogers Communications, Inc. 4.1% 10/1/23	4,398,000		4,608,150
Vodafone Group PLC 5.625% 2/27/17	5,000,000		5,353,940
			11,433,855
TOTAL TELECOMMUNICATION SERVICES			53,016,218
UTILITIES - 6.2%
Electric Utilities - 3.3%
AmerenUE 6.4% 6/15/17	133,000		147,100
American Electric Power Co., Inc.:
1.65% 12/15/17	2,173,000		2,177,572
2.95% 12/15/22	4,000,000		3,968,452
Cleveland Electric Illuminating Co. 5.7% 4/1/17	223,000		238,825
DPL, Inc. 6.75% 10/1/19 (b)	3,400,000		3,655,000
Duke Energy Carolinas LLC 4.25% 12/15/41	106,000		108,895
Duke Energy Corp.:
1.625% 8/15/17	5,685,000		5,729,576
2.1% 6/15/18	414,000		421,683
Duke Energy Industries, Inc. 4.9% 7/15/43	3,000,000		3,352,455
Nonconvertible Bonds - continued
	Principal Amount		Value
UTILITIES - continued
Electric Utilities - continued
Duquesne Light Holdings, Inc.:
5.9% 12/1/21 (b)	$ 500,000		$ 580,481
6.4% 9/15/20 (b)	1,310,000		1,538,582
Eversource Energy 1.45% 5/1/18	208,000		206,938
Exelon Corp. 4.9% 6/15/15	2,500,000		2,503,565
FirstEnergy Corp.:
2.75% 3/15/18	699,000		712,705
4.25% 3/15/23	1,919,000		1,972,815
7.375% 11/15/31	6,145,000		7,705,603
Florida Power & Light Co. 5.69% 3/1/40	1,000,000		1,263,647
Nevada Power Co.:
6.5% 8/1/18	70,000		80,600
6.65% 4/1/36	500,000		662,332
Pepco Holdings, Inc. 2.7% 10/1/15	2,228,000		2,237,012
Tampa Electric Co. 6.55% 5/15/36	500,000		662,744
TECO Finance, Inc. 5.15% 3/15/20	114,000		128,002
Xcel Energy, Inc. 4.8% 9/15/41	554,000		596,995
			40,651,579
Gas Utilities - 0.2%
Boston Gas Co. 4.487% 2/15/42 (b)	2,000,000		2,101,002
Southern Natural Gas Co./Southern Natural Issuing Corp. 4.4% 6/15/21	18,000		18,765
			2,119,767
Independent Power and Renewable Electricity Producers - 0.3%
TransAlta Corp. 1.9% 6/3/17	3,700,000		3,690,458
Multi-Utilities - 2.4%
Dominion Resources, Inc.:
1.95% 8/15/16	1,612,000		1,629,975
2.5731% 9/30/66 (d)	7,158,000		6,585,274
7.5% 6/30/66 (d)	145,000		146,450
MidAmerican Energy Holdings, Co. 1.1% 5/15/17	7,200,000		7,195,529
NiSource Finance Corp.:
5.25% 2/15/43	234,000		259,838
5.95% 6/15/41	1,493,000		1,814,780
6.4% 3/15/18	24,000		27,130
Puget Energy, Inc.:
3.65% 5/15/25 (b)	2,935,000		2,952,516
5.625% 7/15/22	4,240,000		4,826,990
6.5% 12/15/20	613,000		729,172
Nonconvertible Bonds - continued
	Principal Amount		Value
UTILITIES - continued
Multi-Utilities - continued
Sempra Energy:
2.3% 4/1/17	$ 3,024,000		$ 3,081,604
2.875% 10/1/22	224,000		222,195
Wisconsin Energy Corp. 6.25% 5/15/67 (d)	117,000		112,759
			29,584,212
TOTAL UTILITIES			76,046,016
TOTAL NONCONVERTIBLE BONDS (Cost $1,054,811,046)		1,071,678,996
U.S. Treasury Obligations - 1.3%

U.S. Treasury Bonds 2.5% 2/15/45 (Cost $16,606,313)	17,393,000		16,017,853
Municipal Securities - 1.6%

American Muni. Pwr., Inc. Rev. (Combined Hydroelectric Proj.) Series 2010 B, 8.084% 2/15/50	280,000		433,686
California Gen. Oblig.:
Series 2009, 7.35% 11/1/39	40,000		58,444
7.3% 10/1/39	1,485,000		2,141,667
7.5% 4/1/34	1,165,000		1,683,006
7.55% 4/1/39	730,000		1,102,088
7.6% 11/1/40	5,750,000		8,809,058
7.625% 3/1/40	70,000		105,546
Chicago Gen. Oblig.:
(Taxable Proj.):
Series 2010 C1, 7.781% 1/1/35	2,690,000		2,819,819
Series 2012 B, 5.432% 1/1/42	160,000		134,822
6.314% 1/1/44	2,280,000		2,056,879
TOTAL MUNICIPAL SECURITIES (Cost $18,567,236)		19,345,015
Foreign Government and Government Agency Obligations - 0.5%

Brazilian Federative Republic 4.25% 1/7/25	885,000		870,840
Chilean Republic 3.25% 9/14/21	155,000		164,223
Foreign Government and Government Agency Obligations - continued
	Principal Amount		Value
United Mexican States:
4.75% 3/8/44	$ 4,516,000		$ 4,550,999
5.55% 1/21/45	33,000		37,084
6.05% 1/11/40	116,000		138,040
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $6,053,395)		5,761,186

Fixed-Income Funds - 4.8%
	Shares
Fidelity Specialized High Income Central Fund (e) (Cost $57,568,978)	548,619	58,148,145

Preferred Securities - 0.9%
	Principal Amount
FINANCIALS - 0.9%
Banks - 0.9%
Barclays Bank PLC 7.625% 11/21/22	$ 10,010,000		11,659,440
Diversified Financial Services - 0.0%
MUFG Capital Finance 1 Ltd. 6.346% (c)(d)	102,000		109,248
TOTAL PREFERRED SECURITIES (Cost $11,719,404)		11,768,688

Money Market Funds - 1.6%
	Shares
Fidelity Cash Central Fund, 0.15% (a) (Cost $19,109,355)	19,109,355		19,109,355
TOTAL INVESTMENT PORTFOLIO - 99.1% (Cost $1,184,435,727)			1,201,829,238
NET OTHER ASSETS (LIABILITIES) - 0.9%			10,382,320
NET ASSETS - 100%		$ 1,212,211,558

Legend

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

(e) 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 and/or advisor.fidelity.com. In addition, each Fidelity Central Fund's financial statements, are available on the SEC's website or upon request.

Affiliated Central Funds

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

Fund	Income earned
Fidelity Cash Central Fund	$ 41,342
Fidelity Specialized High Income Central Fund	2,047,465
Total	$ 2,088,807

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	Value, beginning of period	Purchases	Sales Proceeds	Value, end of period	% ownership, end of period
Fidelity Specialized High Income Central Fund	$ 26,224,559	$ 32,067,287	$ -	$ 58,148,145	7.4%

Other Information

Valuation Inputs at Reporting Date:
Description	Total	Level 1	Level 2	Level 3
Investments in Securities:
Corporate Bonds	$ 1,071,678,996	$ -	$ 1,071,678,996	$ -
U.S. Government and Government Agency Obligations	16,017,853	-	16,017,853	-
Municipal Securities	19,345,015	-	19,345,015	-
Foreign Government and Government Agency Obligations	5,761,186	-	5,761,186	-
Fixed-Income Funds	58,148,145	58,148,145	-	-
Preferred Securities	11,768,688	-	11,768,688	-
Money Market Funds	19,109,355	19,109,355	-	-
Total Investments in Securities:	$ 1,201,829,238	$ 77,257,500	$ 1,124,571,738	$ -

Income Tax Information

At May 31, 2015, the cost of investment securities for income tax purposes was $1,183,923,951. Net unrealized appreciation aggregated $17,905,287, of which $28,445,611 related to appreciated investment securities and $10,540,324 related to depreciated investment securities.

Investment Valuation

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, 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.

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.

Quarterly 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 Report

Investments May 31, 2015 (Unaudited)

Quarterly Holdings Report

for

Fidelity ® Intermediate Bond Fund

May 31, 2015

1.804838.111

IBF-QTLY-0715

Investments May 31, 2015 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 46.0%
	Principal Amount (000s)		Value (000s)
CONSUMER DISCRETIONARY - 4.1%
Automobiles - 1.1%
Daimler Finance North America LLC:
1.45% 8/1/16 (b)	$ 2,380		$ 2,394
2.25% 9/3/19 (b)	17,149		17,231
General Motors Financial Co., Inc.:
2.4% 4/10/18	6,610		6,608
3.15% 1/15/20	6,680		6,681
Volkswagen Group of America Finance LLC 2.125% 5/23/19 (b)	3,670		3,692
			36,606
Household Durables - 0.4%
D.R. Horton, Inc. 4% 2/15/20	8,000		8,040
Toll Brothers Finance Corp. 4% 12/31/18	5,175		5,304
			13,344
Media - 2.2%
21st Century Fox America, Inc. 6.9% 3/1/19	5,426		6,382
Comcast Corp.:
4.95% 6/15/16	2,432		2,539
5.15% 3/1/20	4,685		5,327
5.7% 5/15/18	355		399
COX Communications, Inc. 6.25% 6/1/18 (b)	4,000		4,515
DIRECTV Holdings LLC/DIRECTV Financing, Inc.:
2.4% 3/15/17	4,504		4,571
5.875% 10/1/19	287		327
Discovery Communications LLC 3.25% 4/1/23	563		547
NBCUniversal, Inc. 5.15% 4/30/20	6,800		7,735
Time Warner Cable, Inc.:
5.85% 5/1/17	8,733		9,375
6.75% 7/1/18	7,189		8,066
8.25% 4/1/19	2,550		3,022
Time Warner, Inc.:
4.875% 3/15/20	5,060		5,603
5.875% 11/15/16	5,025		5,365
Viacom, Inc.:
3.5% 4/1/17	3,145		3,265
6.125% 10/5/17	3,071		3,380
			70,418
Specialty Retail - 0.4%
AutoZone, Inc. 3.7% 4/15/22	3,290		3,417
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
CONSUMER DISCRETIONARY - continued
Specialty Retail - continued
Lowe's Companies, Inc. 4.625% 4/15/20	$ 4,793		$ 5,316
TJX Companies, Inc. 2.75% 6/15/21	3,201		3,272
			12,005
TOTAL CONSUMER DISCRETIONARY			132,373
CONSUMER STAPLES - 2.0%
Beverages - 0.9%
Anheuser-Busch InBev Finance, Inc. 2.15% 2/1/19	6,585		6,658
Heineken NV 2.75% 4/1/23 (b)	2,186		2,148
PepsiCo, Inc. 7.9% 11/1/18	5,580		6,738
SABMiller Holdings, Inc.:
2.2% 8/1/18 (b)	3,580		3,620
2.45% 1/15/17 (b)	8,430		8,590
			27,754
Food & Staples Retailing - 0.2%
CVS Health Corp. 4.125% 5/15/21	4,367		4,759
Walgreen Co. 3.1% 9/15/22	2,519		2,492
			7,251
Food Products - 0.5%
Cargill, Inc.:
3.25% 11/15/21 (b)	4,000		4,163
6% 11/27/17 (b)	781		867
Kraft Foods Group, Inc. 2.25% 6/5/17	4,150		4,216
Tyson Foods, Inc. 2.65% 8/15/19	3,500		3,566
William Wrigley Jr. Co. 2% 10/20/17 (b)	2,937		2,974
			15,786
Tobacco - 0.4%
Philip Morris International, Inc. 4.5% 3/26/20	6,800		7,540
Reynolds American, Inc.:
3.25% 11/1/22	2,145		2,110
6.75% 6/15/17	3,818		4,202
			13,852
TOTAL CONSUMER STAPLES			64,643
ENERGY - 6.1%
Energy Equipment & Services - 0.7%
DCP Midstream LLC 5.35% 3/15/20 (b)	4,118		4,196
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
ENERGY - continued
Energy Equipment & Services - continued
El Paso Pipeline Partners Operating Co. LLC 6.5% 4/1/20	$ 5,067		$ 5,836
Halliburton Co. 6.15% 9/15/19	2,601		3,024
Nabors Industries, Inc. 2.35% 9/15/16	1,770		1,776
Noble Holding International Ltd.:
2.5% 3/15/17	1,741		1,743
4% 3/16/18	243		250
5.95% 4/1/25	1,552		1,568
Petrofac Ltd. 3.4% 10/10/18 (b)	4,400		4,382
			22,775
Oil, Gas & Consumable Fuels - 5.4%
Anadarko Petroleum Corp.:
5.95% 9/15/16	373		395
6.375% 9/15/17	3,957		4,370
BG Energy Capital PLC 2.875% 10/15/16 (b)	4,300		4,404
Boardwalk Pipelines LP 4.95% 12/15/24	4,140		4,162
BP Capital Markets PLC:
2.315% 2/13/20	4,980		5,012
2.521% 1/15/20	3,410		3,475
3.2% 3/11/16	4,270		4,354
3.245% 5/6/22	4,160		4,220
Canadian Natural Resources Ltd. 3.9% 2/1/25	3,400		3,430
Cenovus Energy, Inc. 5.7% 10/15/19	7,250		8,143
Columbia Pipeline Group, Inc. 3.3% 6/1/20 (b)	2,172		2,193
ConocoPhillips Co. 2.2% 5/15/20	2,031		2,035
DCP Midstream Operating LP:
2.5% 12/1/17	1,922		1,869
2.7% 4/1/19	1,120		1,063
3.875% 3/15/23	3,530		3,369
Devon Energy Corp. 2.25% 12/15/18	3,355		3,387
Duke Energy Field Services 5.375% 10/15/15 (b)	1,581		1,595
El Paso Natural Gas Co. 5.95% 4/15/17	178		191
Enbridge Energy Partners LP 4.2% 9/15/21	4,308		4,499
Enterprise Products Operating LP:
2.55% 10/15/19	693		701
4.05% 2/15/22	4,350		4,588
Gulfstream Natural Gas System LLC 6.95% 6/1/16 (b)	170		178
Kinder Morgan Energy Partners LP 2.65% 2/1/19	4,636		4,633
Kinder Morgan, Inc. 2% 12/1/17	1,246		1,249
Marathon Petroleum Corp. 3.5% 3/1/16	5,906		6,018
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
ENERGY - continued
Oil, Gas & Consumable Fuels - continued
MPLX LP 4% 2/15/25	$ 500		$ 499
Petro-Canada 6.05% 5/15/18	1,874		2,106
Petrobras Global Finance BV 4.375% 5/20/23	8,700		7,765
Petroleos Mexicanos:
3.125% 1/23/19	521		530
3.5% 1/30/23	3,205		3,097
4.875% 1/24/22	4,300		4,520
4.875% 1/18/24	3,680		3,838
Phillips 66 Co. 2.95% 5/1/17	8,400		8,654
Plains All American Pipeline LP/PAA Finance Corp.:
2.6% 12/15/19	4,350		4,358
3.95% 9/15/15	2,551		2,574
5.75% 1/15/20	6,268		7,104
Schlumberger Investment SA 1.25% 8/1/17 (b)	6,000		6,004
Shell International Finance BV 2.125% 5/11/20	4,895		4,915
Southeast Supply Header LLC 4.25% 6/15/24 (b)	3,066		3,073
Southwestern Energy Co. 4.05% 1/23/20	2,364		2,448
Spectra Energy Capital, LLC 5.65% 3/1/20	237		260
Suncor Energy, Inc. 6.1% 6/1/18	5,571		6,243
The Williams Companies, Inc.:
3.7% 1/15/23	1,003		977
4.55% 6/24/24	4,547		4,644
Total Capital International SA 2.125% 1/10/19	8,195		8,339
Transcontinental Gas Pipe Line Corp. 6.4% 4/15/16	1,717		1,794
Western Gas Partners LP:
2.6% 8/15/18	3,512		3,565
5.375% 6/1/21	4,300		4,765
Williams Partners LP 4.3% 3/4/24	4,990		5,105
			176,710
TOTAL ENERGY			199,485
FINANCIALS - 22.3%
Banks - 10.3%
Australia & New Zealand Banking Group Ltd. 1.875% 10/6/17	4,100		4,157
Bank of America Corp.:
2% 1/11/18	3,000		3,021
2.65% 4/1/19	7,598		7,731
3.875% 3/22/17	326		340
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Banks - continued
Bank of America Corp.: - continued
4.2% 8/26/24	$ 3,440		$ 3,488
4.25% 10/22/26	3,412		3,426
5.75% 12/1/17	6,840		7,502
5.875% 1/5/21	5,905		6,812
Bank of America NA 5.3% 3/15/17	1,267		1,349
Bank of Montreal 2.5% 1/11/17	4,210		4,322
Bank of Nova Scotia 2.8% 7/21/21	3,440		3,509
Bank of Tokyo-Mitsubishi UFJ Ltd.:
1.65% 2/26/18 (b)	4,760		4,760
2.3% 3/5/20 (b)	3,320		3,334
Barclays Bank PLC 2.5% 2/20/19	2,100		2,138
Barclays PLC 2.75% 11/8/19	2,863		2,894
BNP Paribas 2.375% 9/14/17	6,400		6,523
BNP Paribas SA 2.45% 3/17/19	3,370		3,429
Capital One Bank NA 2.25% 2/13/19	6,545		6,554
Capital One NA 2.95% 7/23/21	3,430		3,434
CIT Group, Inc. 3.875% 2/19/19	7,345		7,363
Citigroup, Inc.:
1.75% 5/1/18	6,000		5,997
2.55% 4/8/19	11,680		11,838
6.125% 5/15/18	100		112
Citizens Bank NA 2.45% 12/4/19	6,790		6,847
Citizens Financial Group, Inc. 4.15% 9/28/22 (b)	1,271		1,314
Comerica, Inc. 2.125% 5/23/19	2,052		2,048
Commonwealth Bank of Australia:
1.125% 3/13/17	5,000		5,014
2.25% 3/13/19	8,340		8,443
2.3% 9/6/19	3,440		3,468
Credit Suisse AG 6% 2/15/18	9,794		10,813
Credit Suisse New York Branch 3% 10/29/21	3,500		3,521
Discover Bank 2% 2/21/18	8,400		8,410
Fifth Third Bancorp 4.5% 6/1/18	440		473
HBOS PLC 6.75% 5/21/18 (b)	3,004		3,350
HSBC Bank PLC 1.5% 5/15/18 (b)	3,890		3,877
HSBC Holdings PLC:
4% 3/30/22	3,778		4,045
5.1% 4/5/21	4,270		4,832
HSBC U.S.A., Inc. 2.625% 9/24/18	1,804		1,853
Huntington Bancshares, Inc. 7% 12/15/20	1,204		1,439
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Banks - continued
Huntington National Bank 2.2% 4/1/19	$ 4,985		$ 4,979
Intesa Sanpaolo SpA 2.375% 1/13/17	6,760		6,818
JPMorgan Chase & Co.:
2.2% 10/22/19	8,475		8,452
2.35% 1/28/19	7,995		8,090
3.875% 9/10/24	5,168		5,187
4.125% 12/15/26	5,070		5,106
4.5% 1/24/22	4,210		4,596
JPMorgan Chase Bank 6% 10/1/17	12,071		13,291
KeyBank NA 1.65% 2/1/18	2,625		2,632
KeyCorp. 5.1% 3/24/21	4,303		4,845
Marshall & Ilsley Bank 5% 1/17/17	5,254		5,528
Mitsubishi UFJ Trust & Banking Corp. 2.45% 10/16/19 (b)	5,070		5,131
Mizuho Bank Ltd.:
1.55% 10/17/17 (b)	7,500		7,495
2.4% 3/26/20 (b)	6,705		6,744
MUFG Americas Holdings Corp.:
1.625% 2/9/18	977		977
2.25% 2/10/20	3,292		3,282
Nordea Bank AB 2.375% 4/4/19 (b)	3,360		3,406
PNC Bank NA 2.2% 1/28/19	3,285		3,319
Rabobank Nederland New York Branch 2.25% 1/14/19	6,560		6,656
Regions Bank 7.5% 5/15/18	1,200		1,384
Regions Financial Corp.:
2% 5/15/18	3,910		3,910
5.75% 6/15/15	31		31
Royal Bank of Canada 1.5% 1/16/18	8,080		8,092
Royal Bank of Scotland Group PLC 5.125% 5/28/24	5,130		5,266
Sumitomo Mitsui Banking Corp. 2.45% 1/10/19	4,000		4,072
SunTrust Bank 2.75% 5/1/23	4,300		4,210
The Toronto Dominion Bank 2.625% 9/10/18	5,842		6,054
U.S. Bank NA 1.35% 1/26/18	5,010		5,019
Wachovia Bank NA 6% 11/15/17	5,655		6,269
Wells Fargo & Co.:
2.15% 1/15/19	5,077		5,142
3% 1/22/21	6,034		6,201
			335,964
Capital Markets - 3.2%
BlackRock, Inc. 4.25% 5/24/21	3,460		3,822
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Capital Markets - continued
Deutsche Bank AG London Branch 2.5% 2/13/19	$ 8,876		$ 9,006
Goldman Sachs Group, Inc.:
2.375% 1/22/18	4,020		4,080
2.625% 1/31/19	7,920		8,070
5.95% 1/18/18	10,163		11,234
6.15% 4/1/18	3,044		3,397
Lazard Group LLC:
4.25% 11/14/20	1,723		1,829
6.85% 6/15/17	935		1,025
Merrill Lynch & Co., Inc.:
6.4% 8/28/17	1,406		1,549
6.875% 4/25/18	5,859		6,672
Morgan Stanley:
2.125% 4/25/18	3,910		3,941
2.375% 7/23/19	3,430		3,447
2.5% 1/24/19	9,985		10,108
2.65% 1/27/20	5,010		5,060
4.875% 11/1/22	3,010		3,243
5.45% 1/9/17	1,019		1,084
5.625% 9/23/19	933		1,055
5.75% 1/25/21	4,378		5,053
5.95% 12/28/17	2,475		2,734
6.625% 4/1/18	653		739
7.3% 5/13/19	3,668		4,346
UBS AG Stamford Branch:
1.375% 6/1/17	2,431		2,424
1.8% 3/26/18	4,881		4,884
2.375% 8/14/19	5,170		5,202
			104,004
Consumer Finance - 1.1%
Capital One Financial Corp. 2.45% 4/24/19	2,760		2,785
Discover Financial Services:
3.85% 11/21/22	196		200
5.2% 4/27/22	710		777
6.45% 6/12/17	2,977		3,257
Ford Motor Credit Co. LLC:
1.7% 5/9/16	4,000		4,023
4.25% 9/20/22	4,080		4,335
General Electric Capital Corp. 6.375% 11/15/67 (d)	5,670		6,180
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Consumer Finance - continued
Hyundai Capital America:
2.125% 10/2/17 (b)	$ 1,463		$ 1,478
2.55% 2/6/19 (b)	2,513		2,554
2.875% 8/9/18 (b)	1,665		1,720
Hyundai Capital America Mtn Be 144A 2.6% 3/19/20 (b)	6,620		6,678
Synchrony Financial:
1.875% 8/15/17	822		825
3% 8/15/19	1,208		1,230
			36,042
Diversified Financial Services - 0.1%
Brixmor Operating Partnership LP 3.85% 2/1/25	2,929		2,904
Insurance - 2.7%
AIA Group Ltd. 2.25% 3/11/19 (b)	743		743
American International Group, Inc.:
4.875% 6/1/22	4,038		4,500
5.85% 1/16/18	4,037		4,471
Aon Corp. 5% 9/30/20	4,000		4,457
Great-West Life & Annuity Insurance Co. 7.153% 5/16/46 (b)(d)	1,929		1,948
Hartford Financial Services Group, Inc.:
5.125% 4/15/22	1,889		2,118
5.375% 3/15/17	149		160
Liberty Mutual Group, Inc. 5% 6/1/21 (b)	4,280		4,707
Marsh & McLennan Companies, Inc.:
2.55% 10/15/18	3,559		3,632
4.8% 7/15/21	3,265		3,638
Metropolitan Life Global Funding I:
1.5% 1/10/18 (b)	9,444		9,439
2.3% 4/10/19 (b)	8,370		8,469
Pacific LifeCorp 6% 2/10/20 (b)	2,213		2,519
Prudential Financial, Inc.:
3.5% 5/15/24	3,345		3,374
4.5% 11/15/20	4,820		5,323
Symetra Financial Corp. 6.125% 4/1/16 (b)	6,640		6,861
Teachers Insurance & Annuity Association of America 4.9% 9/15/44 (b)	4,303		4,586
TIAA Asset Management Finance LLC 2.95% 11/1/19 (b)	980		998
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Insurance - continued
Unum Group:
4% 3/15/24	$ 3,330		$ 3,452
5.625% 9/15/20	5,021		5,696
7.125% 9/30/16	4,802		5,163
			86,254
Real Estate Investment Trusts - 2.7%
Alexandria Real Estate Equities, Inc.:
2.75% 1/15/20	723		722
4.6% 4/1/22	1,262		1,344
AvalonBay Communities, Inc.:
3.625% 10/1/20	1,583		1,670
4.2% 12/15/23	6,745		7,218
Boston Properties, Inc. 3.85% 2/1/23	3,900		4,082
Camden Property Trust 4.25% 1/15/24	2,807		2,967
DDR Corp.:
3.625% 2/1/25	1,578		1,546
4.625% 7/15/22	1,318		1,411
4.75% 4/15/18	3,000		3,207
7.5% 4/1/17	2,748		3,031
Duke Realty LP:
3.625% 4/15/23	1,976		1,997
3.875% 10/15/22	3,009		3,110
6.75% 3/15/20	291		343
8.25% 8/15/19	57		70
Equity One, Inc.:
3.75% 11/15/22	8,200		8,219
6% 9/15/17	3,451		3,761
6.25% 1/15/17	545		584
ERP Operating LP:
3.375% 6/1/25	4,900		4,935
4.625% 12/15/21	3,194		3,524
4.75% 7/15/20	2,996		3,331
Federal Realty Investment Trust 5.9% 4/1/20	42		48
HCP, Inc. 4.25% 11/15/23	5,100		5,238
Health Care REIT, Inc.:
2.25% 3/15/18	1,651		1,672
4% 6/1/25	3,694		3,745
HRPT Properties Trust:
6.25% 6/15/17	1,361		1,449
6.65% 1/15/18	792		855
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Real Estate Investment Trusts - continued
Kimco Realty Corp. 3.2% 5/1/21	$ 5,040		$ 5,142
Lexington Corporate Properties Trust 4.4% 6/15/24	1,190		1,214
Omega Healthcare Investors, Inc.:
4.5% 1/15/25 (b)	1,111		1,110
4.5% 4/1/27 (b)	3,298		3,239
4.95% 4/1/24	1,104		1,151
Select Income (REIT) 2.85% 2/1/18	1,609		1,631
Simon Property Group LP 2.2% 2/1/19	3,118		3,165
			86,731
Real Estate Management & Development - 2.2%
BioMed Realty LP:
3.85% 4/15/16	8,587		8,767
6.125% 4/15/20	1,521		1,735
Brandywine Operating Partnership LP:
3.95% 2/15/23	4,106		4,130
5.7% 5/1/17	2,338		2,504
Corporate Office Properties LP 3.7% 6/15/21	2,256		2,252
Essex Portfolio LP:
3.875% 5/1/24	2,403		2,481
5.5% 3/15/17	3,558		3,814
Liberty Property LP:
4.125% 6/15/22	1,971		2,043
4.75% 10/1/20	7,111		7,720
5.5% 12/15/16	1,941		2,055
6.625% 10/1/17	2,744		3,037
Mack-Cali Realty LP:
2.5% 12/15/17	2,891		2,903
4.5% 4/18/22	1,234		1,233
7.75% 8/15/19	539		625
Mid-America Apartments LP 4.3% 10/15/23	696		731
Post Apartment Homes LP 3.375% 12/1/22	2,705		2,669
Prime Property Funding, Inc. 5.7% 4/15/17 (b)	2,195		2,321
Regency Centers LP:
3.75% 6/15/24	2,349		2,386
5.875% 6/15/17	1,727		1,877
Tanger Properties LP:
3.75% 12/1/24	2,350		2,370
6.125% 6/1/20	4,208		4,855
Ventas Realty LP 1.25% 4/17/17	1,643		1,642
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Real Estate Management & Development - continued
Ventas Realty LP/Ventas Capital Corp. 2% 2/15/18	$ 2,589		$ 2,613
Washington Prime Group LP 3.85% 4/1/20 (b)	4,940		5,012
			71,775
TOTAL FINANCIALS			723,674
HEALTH CARE - 2.9%
Biotechnology - 0.3%
Amgen, Inc.:
2.125% 5/1/20	3,530		3,484
2.2% 5/22/19	2,820		2,834
5.85% 6/1/17	3,264		3,555
Celgene Corp. 2.45% 10/15/15	472		475
			10,348
Health Care Equipment & Supplies - 0.4%
Becton, Dickinson & Co. 2.675% 12/15/19	1,021		1,036
Medtronic, Inc. 2.5% 3/15/20 (b)	6,790		6,883
Zimmer Holdings, Inc. 1.45% 4/1/17	6,268		6,286
			14,205
Health Care Providers & Services - 1.2%
Aetna, Inc. 2.75% 11/15/22	597		591
Express Scripts Holding Co. 2.25% 6/15/19	5,140		5,133
Express Scripts, Inc. 3.125% 5/15/16	3,905		3,982
McKesson Corp. 2.284% 3/15/19	3,330		3,351
Medco Health Solutions, Inc. 2.75% 9/15/15	8,204		8,252
UnitedHealth Group, Inc.:
1.4% 10/15/17	840		846
2.75% 2/15/23	684		683
3.875% 10/15/20	5,296		5,762
WellPoint, Inc.:
3.125% 5/15/22	4,290		4,285
4.35% 8/15/20	5,502		6,030
			38,915
Life Sciences Tools & Services - 0.1%
Thermo Fisher Scientific, Inc.:
3.3% 2/15/22	3,414		3,452
4.15% 2/1/24	918		962
			4,414
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
HEALTH CARE - continued
Pharmaceuticals - 0.9%
AbbVie, Inc.:
2.5% 5/14/20	$ 5,045		$ 5,041
2.9% 11/6/22	4,110		4,040
3.2% 11/6/22	3,165		3,174
Actavis Funding SCS:
2.35% 3/12/18	5,020		5,077
3% 3/12/20	2,840		2,876
Bayer U.S. Finance LLC:
2.375% 10/8/19 (b)	2,417		2,448
3% 10/8/21 (b)	1,764		1,799
Perrigo Co. PLC 1.3% 11/8/16	911		910
Perrigo Finance PLC 3.5% 12/15/21	833		850
Zoetis, Inc. 3.25% 2/1/23	1,553		1,520
			27,735
TOTAL HEALTH CARE			95,617
INDUSTRIALS - 1.4%
Aerospace & Defense - 0.1%
BAE Systems Holdings, Inc. 3.8% 10/7/24 (b)	2,162		2,228
Airlines - 0.1%
Continental Airlines, Inc.:
6.648% 3/15/19	981		1,017
6.795% 2/2/20	40		42
6.9% 7/2/19	419		441
U.S. Airways pass-thru trust certificates:
6.85% 1/30/18	1,452		1,537
8.36% 1/20/19	1,056		1,144
			4,181
Industrial Conglomerates - 0.6%
Covidien International Finance SA 6% 10/15/17	3,234		3,587
General Electric Co.:
2.7% 10/9/22	3,340		3,339
3.375% 3/11/24	5,802		6,056
Roper Industries, Inc. 2.05% 10/1/18	5,730		5,736
			18,718
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
INDUSTRIALS - continued
Machinery - 0.3%
Deere & Co. 2.6% 6/8/22	$ 8,200		$ 8,180
Ingersoll-Rand Luxembourg Finance SA 2.625% 5/1/20	924		928
			9,108
Road & Rail - 0.1%
Burlington Northern Santa Fe LLC 3.45% 9/15/21	4,262		4,480
Trading Companies & Distributors - 0.2%
Air Lease Corp.:
3.875% 4/1/21	3,200		3,296
4.75% 3/1/20	2,913		3,110
			6,406
TOTAL INDUSTRIALS			45,121
INFORMATION TECHNOLOGY - 1.3%
Electronic Equipment & Components - 0.1%
Amphenol Corp. 3.125% 9/15/21	1,119		1,136
Tyco Electronics Group SA 6.55% 10/1/17	2,606		2,904
			4,040
IT Services - 0.2%
MasterCard, Inc. 3.375% 4/1/24	4,969		5,174
Software - 0.5%
Oracle Corp.:
2.5% 5/15/22	8,220		8,096
3.875% 7/15/20	6,900		7,522
			15,618
Technology Hardware, Storage & Peripherals - 0.5%
Apple, Inc.:
1% 5/3/18	11,730		11,626
2.85% 5/6/21	5,040		5,178
			16,804
TOTAL INFORMATION TECHNOLOGY			41,636
MATERIALS - 1.2%
Chemicals - 0.6%
Albemarle Corp. U.S. 3% 12/1/19	4,421		4,456
Chevron Phillips Chemical Co. LLC / Chevron Phillips Chemical Co. LP 2.45% 5/1/20 (b)	2,969		2,995
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
MATERIALS - continued
Chemicals - continued
Ecolab, Inc. 1.45% 12/8/17	$ 2,207		$ 2,200
The Dow Chemical Co. 4.125% 11/15/21	4,063		4,343
The Mosaic Co. 4.25% 11/15/23	5,095		5,370
			19,364
Metals & Mining - 0.6%
Anglo American Capital PLC:
4.125% 4/15/21 (b)	3,440		3,501
9.375% 4/8/19 (b)	3,822		4,727
Corporacion Nacional del Cobre de Chile (Codelco) 3.875% 11/3/21 (b)	4,300		4,516
Freeport-McMoRan, Inc. 3.875% 3/15/23	5,260		4,941
Vale Overseas Ltd. 6.25% 1/23/17	3,005		3,202
			20,887
TOTAL MATERIALS			40,251
TELECOMMUNICATION SERVICES - 1.3%
Diversified Telecommunication Services - 0.9%
AT&T, Inc.:
2.45% 6/30/20	2,237		2,214
3% 6/30/22	4,920		4,837
3.4% 5/15/25	4,920		4,767
British Telecommunications PLC:
1.625% 6/28/16	2,146		2,161
2.35% 2/14/19	1,992		2,020
CenturyLink, Inc. 6.15% 9/15/19	3,860		4,169
Deutsche Telekom International Financial BV 3.125% 4/11/16 (b)	6,407		6,536
Verizon Communications, Inc. 5.15% 9/15/23	4,000		4,468
			31,172
Wireless Telecommunication Services - 0.4%
America Movil S.A.B. de CV 2.375% 9/8/16	4,330		4,395
Rogers Communications, Inc. 4.1% 10/1/23	3,500		3,667
Vodafone Group PLC 1.5% 2/19/18	4,000		3,976
			12,038
TOTAL TELECOMMUNICATION SERVICES			43,210
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
UTILITIES - 3.4%
Electric Utilities - 1.9%
AmerenUE 6.4% 6/15/17	$ 3,867		$ 4,277
Commonwealth Edison Co. 4% 8/1/20	4,400		4,771
Duquesne Light Holdings, Inc. 6.4% 9/15/20 (b)	369		433
Edison International 3.75% 9/15/17	2,938		3,097
Eversource Energy 2.8% 5/1/23	4,679		4,577
FirstEnergy Corp.:
2.75% 3/15/18	3,372		3,438
4.25% 3/15/23	4,000		4,112
LG&E and KU Energy LLC 3.75% 11/15/20	19		20
Nevada Power Co.:
6.5% 5/15/18	6,784		7,749
6.5% 8/1/18	2,033		2,341
Pacific Gas & Electric Co.:
3.25% 9/15/21	662		689
3.25% 6/15/23	3,750		3,823
Pennsylvania Electric Co. 6.05% 9/1/17	844		924
PPL Capital Funding, Inc. 4.2% 6/15/22	4,268		4,548
Progress Energy, Inc. 4.4% 1/15/21	4,958		5,389
Tampa Electric Co. 5.4% 5/15/21	1,635		1,893
TECO Finance, Inc. 5.15% 3/15/20	1,709		1,919
Virginia Electric & Power Co. 3.45% 2/15/24	4,960		5,173
Wisconsin Electric Power Co. 2.95% 9/15/21	768		791
			59,964
Gas Utilities - 0.2%
Southern Natural Gas Co./Southern Natural Issuing Corp. 4.4% 6/15/21	1,325		1,381
Texas Eastern Transmission LP 6% 9/15/17 (b)	5,603		6,143
			7,524
Independent Power and Renewable Electricity Producers - 0.1%
Southern Power Co. 2.375% 6/1/20	2,294		2,301
Multi-Utilities - 1.2%
Ameren Illinois Co. 6.125% 11/15/17	455		507
Consolidated Edison Co. of New York, Inc. 4.45% 6/15/20	4,620		5,129
Dominion Resources, Inc.:
2.5731% 9/30/66 (d)	4,542		4,179
7.5% 6/30/66 (d)	4,221		4,263
NiSource Finance Corp.:
3.85% 2/15/23	4,300		4,508
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
UTILITIES - continued
Multi-Utilities - continued
NiSource Finance Corp.: - continued
5.45% 9/15/20	$ 313		$ 358
6.4% 3/15/18	684		773
PG&E Corp. 2.4% 3/1/19	489		494
San Diego Gas & Electric Co. 3% 8/15/21	4,615		4,795
Sempra Energy:
2.3% 4/1/17	9,715		9,900
2.875% 10/1/22	1,677		1,663
Wisconsin Energy Corp. 6.25% 5/15/67 (d)	3,383		3,260
			39,829
TOTAL UTILITIES			109,618
TOTAL NONCONVERTIBLE BONDS (Cost $1,434,174)		1,495,628
U.S. Government and Government Agency Obligations - 31.9%

U.S. Government Agency Obligations - 3.2%
Fannie Mae:
1.5% 6/22/20	30,194		30,030
1.75% 11/26/19	14,259		14,413
1.875% 9/18/18	30,174		30,913
Freddie Mac:
0.75% 7/14/17	566		566
0.75% 1/12/18	11,047		11,006
1% 9/29/17	17,110		17,174
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS			104,102
U.S. Treasury Obligations - 28.7%
U.S. Treasury Notes:
0.875% 4/30/17 (c)	112,760		113,394
0.875% 10/15/17	5,230		5,245
1% 5/15/18	61		61
1% 5/31/18	68,810		68,896
1.5% 12/31/18	21,300		21,560
1.5% 1/31/19	18,618		18,833
1.625% 4/30/19	179,918		182,518
1.625% 6/30/19	61,324		62,115
U.S. Government and Government Agency Obligations - continued
	Principal Amount (000s)		Value (000s)
U.S. Treasury Obligations - continued
U.S. Treasury Notes: - continued
1.75% 2/28/22	$ 190,980		$ 189,584
2.25% 3/31/21	102,230		105,361
2.375% 8/15/24	160,980		164,766
TOTAL U.S. TREASURY OBLIGATIONS			932,333
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $1,024,719)		1,036,435
U.S. Government Agency - Mortgage Securities - 1.6%

Fannie Mae - 0.8%
2.271% 3/1/40 (d)	734		783
2.274% 11/1/36 (d)	755		804
2.31% 12/1/39 (d)	314		336
2.361% 4/1/35 (d)	1,846		1,965
2.384% 7/1/35 (d)	387		413
2.391% 12/1/33 (d)	3,174		3,403
2.542% 6/1/42 (d)	465		482
2.96% 11/1/40 (d)	269		283
2.982% 9/1/41 (d)	321		337
3.059% 10/1/41 (d)	121		126
3.237% 7/1/41 (d)	516		547
3.308% 10/1/41 (d)	256		270
3.554% 7/1/41 (d)	525		558
5.5% 10/1/17 to 6/1/36	10,863		11,979
6.5% 8/1/16 to 8/1/36	3,628		4,236
7% 7/1/25 to 2/1/32	14		16
7.5% 11/1/22 to 8/1/29	167		193
TOTAL FANNIE MAE			26,731
Freddie Mac - 0.7%
3% 8/1/21	3,389		3,540
3.231% 9/1/41 (d)	310		325
3.242% 4/1/41 (d)	329		347
3.296% 6/1/41 (d)	372		394
3.47% 5/1/41 (d)	354		374
3.622% 6/1/41 (d)	516		548
3.705% 5/1/41 (d)	444		472
U.S. Government Agency - Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Freddie Mac - continued
4.5% 8/1/18	$ 1,737		$ 1,811
5% 3/1/19	2,430		2,548
5.5% 3/1/34 to 7/1/35	11,090		12,538
7.5% 7/1/27 to 1/1/33	44		52
TOTAL FREDDIE MAC			22,949
Ginnie Mae - 0.1%
7% 1/15/28 to 11/15/32	2,200		2,599
7.5% 3/15/28	0*		0*
8% 7/15/17 to 5/15/22	176		184
TOTAL GINNIE MAE			2,783
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $50,542)		52,463
Asset-Backed Securities - 5.2%

Accredited Mortgage Loan Trust Series 2005-1 Class M1, 0.6513% 4/25/35 (d)	299		267
ACE Securities Corp. Home Equity Loan Trust Series 2004-HE1 Class M2, 1.8348% 3/25/34 (d)	220		212
Ally Master Owner Trust:
Series 2012-4 Class A, 1.72% 7/15/19	2,004		2,023
Series 2012-5 Class A, 1.54% 9/15/19	8,500		8,539
Series 2014-4 Class A2, 1.43% 6/17/19	6,850		6,879
Series 2014-5 Class A2, 1.6% 10/15/19	650		654
Series 2015-3 Class A, 1.6% 5/15/20	8,120		8,130
American Express Credit Account Master Trust:
Series 2013-3 Class A, 0.98% 5/15/19	6,251		6,263
Series 2014-3 Class A, 1.49% 4/15/20	12,338		12,433
AmeriCredit Automobile Receivables Trust Series 2013-5 Class A3, 0.9% 9/10/18	4,923		4,928
Ameriquest Mortgage Securities, Inc. pass-thru certificates:
Series 2003-10 Class M1, 1.2238% 12/25/33 (d)	23		21
Series 2004-R2 Class M3, 1.0063% 4/25/34 (d)	40		29
Argent Securities, Inc. pass-thru certificates:
Series 2003-W7 Class A2, 0.9613% 3/25/34 (d)	22		20
Series 2004-W11 Class M2, 1.2348% 11/25/34 (d)	253		247
Series 2004-W7 Class M1, 1.0063% 5/25/34 (d)	968		927
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Argent Securities, Inc. pass-thru certificates: - continued
Series 2006-W4 Class A2C, 0.3448% 5/25/36 (d)	$ 525		$ 189
Asset Backed Securities Corp. Home Equity Loan Trust:
Series 2004-HE2 Class M1, 1.0098% 4/25/34 (d)	787		721
Series 2006-HE2 Class M1, 0.5513% 3/25/36 (d)	17		1
Bear Stearns Asset Backed Securities I Trust Series 2005-HE2 Class M2, 1.3098% 2/25/35 (d)	1,837		1,596
Capital One Multi-Asset Execution Trust:
Series 2013-A3 Class A3, 0.96% 9/16/19	9,503		9,518
Series 2014-A5 Class A, 1.48% 7/15/20	10,190		10,259
Carrington Mortgage Loan Trust Series 2007-RFC1 Class A3, 0.3213% 12/25/36 (d)	812		539
CFC LLC Series 2013-2A Class A, 1.75% 11/15/17 (b)	792		793
Chase Issuance Trust Series 2014-A7 Class A, 1.38% 11/15/19	8,520		8,552
Countrywide Home Loans, Inc.:
Series 2004-3 Class M4, 1.6398% 4/25/34 (d)	33		28
Series 2004-4 Class M2, 0.9798% 6/25/34 (d)	49		45
Discover Card Master Trust Series 2014-A5 Class A, 1.39% 4/15/20	11,890		11,943
Fannie Mae Series 2004-T5 Class AB3, 1.0669% 5/28/35 (d)	18		16
Fieldstone Mortgage Investment Corp. Series 2004-3 Class M5, 2.3563% 8/25/34 (d)	208		193
Ford Credit Auto Owner Trust:
Series 2014-2 Class A, 2.31% 4/15/26 (b)	12,535		12,734
Series 2015-1 Class A, 2.12% 7/15/26 (b)	7,657		7,700
Ford Credit Floorplan Master Owner Trust:
Series 2012-2 Class A, 1.92% 1/15/19	8,690		8,820
Series 2012-5 Class A, 1.49% 9/15/19	8,350		8,384
Series 2013-1 Class A1, 0.85% 1/15/18	8,690		8,701
Fremont Home Loan Trust Series 2005-A:
Class M3, 0.9163% 1/25/35 (d)	427		361
Class M4, 1.2013% 1/25/35 (d)	157		100
GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 0.662% 2/25/47 (b)(d)	748		698
GE Business Loan Trust:
Series 2003-1 Class A, 0.6156% 4/15/31 (b)(d)	15		15
Series 2006-2A:
Class A, 0.3656% 11/15/34 (b)(d)	676		647
Class B, 0.4656% 11/15/34 (b)(d)	245		227
Class C, 0.5656% 11/15/34 (b)(d)	406		345
Class D, 0.9356% 11/15/34 (b)(d)	154		127
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
GMF Floorplan Owner Revolving Trust Series 2015-1 Class A1, 1.65% 5/15/20 (b)	$ 5,774		$ 5,780
GSAMP Trust Series 2004-AR1 Class B4, 5.5% 6/25/34 (b)	218		7
Home Equity Asset Trust:
Series 2003-2 Class M1, 1.5048% 8/25/33 (d)	204		192
Series 2003-3 Class M1, 1.4748% 8/25/33 (d)	210		202
Series 2003-5 Class A2, 0.8848% 12/25/33 (d)	15		14
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.3713% 1/25/37 (d)	766		488
JPMorgan Mortgage Acquisition Trust:
Series 2006-NC2 Class M2, 0.4813% 7/25/36 (d)	141		64
Series 2007-CH1 Class AV4, 0.3113% 11/25/36 (d)	297		295
KeyCorp Student Loan Trust:
Series 1999-A Class A2, 0.5986% 12/27/29 (d)	75		75
Series 2006-A Class 2C, 1.4186% 3/27/42 (d)	2,280		1,140
MASTR Asset Backed Securities Trust Series 2007-HE1 Class M1, 0.4848% 5/25/37 (d)	168		2
Meritage Mortgage Loan Trust Series 2004-1 Class M1, 0.9348% 7/25/34 (d)	89		68
Merrill Lynch Mortgage Investors Trust:
Series 2003-OPT1 Class M1, 1.1598% 7/25/34 (d)	254		232
Series 2006-FM1 Class A2B, 0.2913% 4/25/37 (d)	191		180
Series 2006-OPT1 Class A1A, 0.7048% 6/25/35 (d)	1,059		1,022
Morgan Stanley ABS Capital I Trust:
Series 2004-HE6 Class A2, 0.8648% 8/25/34 (d)	26		24
Series 2004-HE7 Class B3, 5.4313% 8/25/34 (d)	186		43
Series 2005-NC1 Class M1, 0.8448% 1/25/35 (d)	145		136
Series 2005-NC2 Class B1, 1.9363% 3/25/35 (d)	110		2
New Century Home Equity Loan Trust Series 2005-4 Class M2, 0.6948% 9/25/35 (d)	642		563
Park Place Securities, Inc.:
Series 2004-WCW1:
Class M3, 2.0598% 9/25/34 (d)	240		226
Class M4, 2.3598% 9/25/34 (d)	308		144
Series 2005-WCH1 Class M4, 1.4298% 1/25/36 (d)	665		594
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 0.9848% 4/25/33 (d)	2		2
Santander Drive Auto Receivables Trust:
Series 2013-4 Class B, 2.16% 1/15/20	1,940		1,958
Series 2014-4 Class B, 1.82% 5/15/19	3,216		3,220
Saxon Asset Securities Trust Series 2004-1 Class M1, 0.9688% 3/25/35 (d)	381		349
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
SLM Private Credit Student Loan Trust Series 2004-A Class C, 1.2206% 6/15/33 (d)	$ 327		$ 317
Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1.9098% 9/25/34 (d)	32		28
Terwin Mortgage Trust Series 2003-4HE Class A1, 1.0448% 9/25/34 (d)	168		146
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 0.8308% 4/6/42 (b)(d)	1,820		983
Volkswagen Auto Loan Enhanced Trust Series 2013-2 Class A4, 1.16% 3/20/20	4,957		4,949
Whinstone Capital Management Ltd. Series 1A Class B3, 2.077% 10/25/44 (b)(d)	806		805
TOTAL ASSET-BACKED SECURITIES (Cost $162,130)		169,074
Collateralized Mortgage Obligations - 3.3%

Private Sponsor - 0.7%
Granite Master Issuer PLC floater:
Series 2005-4 Class C2, 1.284% 12/20/54 (d)	151		149
Series 2006-1A:
Class A5, 0.324% 12/20/54 (b)(d)	3,797		3,773
Class C2, 1.384% 12/20/54 (b)(d)	3,085		3,036
Series 2006-2 Class C1, 1.124% 12/20/54 (d)	2,445		2,397
Series 2006-3 Class C2, 1.184% 12/20/54 (d)	506		497
Series 2006-4:
Class B1, 0.364% 12/20/54 (d)	2,386		2,352
Class C1, 0.944% 12/20/54 (d)	1,459		1,422
Class M1, 0.524% 12/20/54 (d)	629		612
Series 2007-1:
Class 1C1, 0.784% 12/20/54 (d)	1,115		1,077
Class 1M1, 0.484% 12/20/54 (d)	754		731
Class 2C1, 1.044% 12/20/54 (d)	506		496
Class 2M1, 0.684% 12/20/54 (d)	969		948
Series 2007-2 Class 2C1, 1.0434% 12/17/54 (d)	1,341		1,313
Granite Mortgages Series 2003-2 Class 1A3, 0.7751% 7/20/43 (d)	616		616
Granite Mortgages PLC floater:
Series 2003-3 Class 1C, 2.7251% 1/20/44 (d)	194		194
Series 2004-1 Class 2A1, 0.5903% 3/20/44 (d)	3,120		3,110
MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 0.3948% 5/25/47 (d)	190		178
Collateralized Mortgage Obligations - continued
	Principal Amount (000s)		Value (000s)
Private Sponsor - continued
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.3548% 2/25/37 (d)	$ 409		$ 373
RESI Finance LP/RESI Finance DE Corp. floater Series 2003-B:
Class B5, 2.531% 6/10/35 (b)(d)	261		238
Class B6, 3.031% 6/10/35 (b)(d)	72		67
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 1.2236% 7/20/34 (d)	11		11
TOTAL PRIVATE SPONSOR			23,590
U.S. Government Agency - 2.6%
Fannie Mae:
pass-thru certificates Series 2012-127 Class DH, 4% 11/25/27	2,921		3,106
planned amortization class:
Series 2002-9 Class PC, 6% 3/25/17	31		32
Series 2015-28 Class P, 2.5% 5/25/45	19,830		20,296
Series 2010-123 Class DL, 3.5% 11/25/25	731		753
Series 2010-143 Class B, 3.5% 12/25/25	1,349		1,398
Series 2013-16 Class GP, 3% 3/25/33	17,127		17,928
Series 2015-28 Class JE, 3% 5/25/45	15,307		15,952
Freddie Mac:
planned amortization class:
Series 2356 Class GD, 6% 9/15/16	94		97
Series 2363 Class PF, 6% 9/15/16	91		93
Series 2425 Class JH, 6% 3/15/17	137		142
Series 3820 Class DA, 4% 11/15/35	2,224		2,362
Series 4176 Class BA, 3% 2/15/33	3,243		3,367
Series 3777 Class AC, 3.5% 12/15/25	4,089		4,334
Series 3949 Class MK, 4.5% 10/15/34	1,793		1,953
Series 4181 Class LA, 3% 3/15/37	4,706		4,891
Series 4221-CLS Class GA, 1.4% 7/15/23	7,425		7,423
Ginnie Mae guaranteed REMIC pass-thru certificates floater sequential payer Series 2011-150 Class D, 3% 4/20/37	259		263
TOTAL U.S. GOVERNMENT AGENCY			84,390
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $94,844)		107,980
Commercial Mortgage Securities - 7.1%
	Principal Amount (000s)		Value (000s)
7 WTC Depositor LLC Trust Series 2012-7WTC Class A, 4.0824% 3/13/31 (b)	$ 3,568		$ 3,672
Asset Securitization Corp. Series 1997-D5 Class PS1, 1.5708% 2/14/43 (d)(f)	315		5
Banc of America Commercial Mortgage Trust:
sequential payer:
Series 2006-2 Class AAB, 5.8986% 5/10/45 (d)	36		36
Series 2006-6 Class A3, 5.369% 10/10/45	2,414		2,442
Series 2006-4 Class A1A, 5.617% 7/10/46 (d)	5,748		5,981
Series 2006-6 Class E, 5.619% 10/10/45 (b)	697		105
Series 2007-3:
Class A3, 5.7354% 6/10/49 (d)	1,434		1,434
Class A4, 5.7354% 6/10/49 (d)	2,153		2,282
Bayview Commercial Asset Trust:
floater:
Series 2003-2 Class M1, 1.4598% 12/25/33 (b)(d)	25		23
Series 2005-4A:
Class A2, 0.5748% 1/25/36 (b)(d)	365		325
Class B1, 1.5848% 1/25/36 (b)(d)	24		14
Class M1, 0.6348% 1/25/36 (b)(d)	118		95
Class M2, 0.6548% 1/25/36 (b)(d)	56		44
Class M3, 0.6848% 1/25/36 (b)(d)	52		39
Class M4, 0.7948% 1/25/36 (b)(d)	45		33
Class M5, 0.8348% 1/25/36 (b)(d)	45		33
Class M6, 0.8848% 1/25/36 (b)(d)	48		32
Series 2006-3A Class M4, 0.6148% 10/25/36 (b)(d)	30		3
Series 2007-1 Class A2, 0.4548% 3/25/37 (b)(d)	294		247
Series 2007-2A:
Class A1, 0.4548% 7/25/37 (b)(d)	299		261
Class A2, 0.5048% 7/25/37 (b)(d)	280		237
Class M1, 0.5548% 7/25/37 (b)(d)	130		98
Class M2, 0.5948% 7/25/37 (b)(d)	71		46
Class M3, 0.6748% 7/25/37 (b)(d)	54		22
Series 2007-3:
Class A2, 0.4748% 7/25/37 (b)(d)	230		192
Class M1, 0.4948% 7/25/37 (b)(d)	78		59
Class M2, 0.5248% 7/25/37 (b)(d)	83		56
Class M3, 0.5548% 7/25/37 (b)(d)	131		53
Class M4, 0.6848% 7/25/37 (b)(d)	156		45
Class M5, 0.7848% 7/25/37 (b)(d)	99		17
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Bayview Commercial Asset Trust: - continued
floater:
Series 2007-4A Class M1, 1.1313% 9/25/37 (b)(d)	$ 152		$ 31
Series 2007-5A, Class IO, 4.186% 10/25/37 (b)(d)(f)	3,228		40
Bear Stearns Commercial Mortgage Securities Trust:
sequential payer:
Series 2006-PW13 Class A1A, 5.533% 9/11/41	5,212		5,438
Series 2006-T22 Class A1A, 5.7581% 4/12/38 (d)	5,353		5,483
Series 2006-PW12 Class A1A, 5.8805% 9/11/38 (d)	4,515		4,666
Series 2007-PW18 Class X2, 0.4438% 6/11/50 (b)(d)(f)	55,564		124
Series 2007-T28 Class X2, 0.3068% 9/11/42 (b)(d)(f)	34,606		26
C-BASS Trust floater Series 2006-SC1 Class A, 0.4513% 5/25/36 (b)(d)	153		146
CD Commercial Mortgage Trust Series 2007-CD5 Class A1A, 5.8% 11/15/44	6,013		6,488
CGBAM Commercial Mortgage Trust Series 2015-SMRT:
Class A, 2.808% 4/10/28 (b)	4,927		5,049
Class D, 3.768% 4/10/28 (b)(d)	1,568		1,607
Citigroup Commercial Mortgage Trust:
sequential payer Series 2006-C5 Class A1A, 5.425% 10/15/49	1,913		2,007
Series 2013-GC11 Class A1, 0.754% 4/10/46	1,827		1,819
Citigroup/Deutsche Bank Commercial Mortgage Trust:
sequential payer Series 2007-CD4 Class A3, 5.293% 12/11/49	110		111
Series 2006-CD2 Class A1B, 5.4797% 1/15/46 (d)	8,677		8,827
Cobalt CMBS Commercial Mortgage Trust Series 2007-C2 Class B, 5.617% 4/15/47 (d)	1,348		1,318
COMM Mortgage Trust:
Series 2013-LC6 Class ASB, 2.478% 1/10/46	7,820		7,927
Series 2014-UBS3 Class A2, 2.844% 6/10/47	6,830		7,077
COMM Mortgage Trust pass-thru certificates:
floater Series 2005-F10A Class J, 1.0356% 4/15/17 (b)(d)	57		57
sequential payer:
Series 2006-C7 Class A1A, 5.9288% 6/10/46 (d)	4,361		4,508
Series 2006-C8 Class A4, 5.306% 12/10/46	4,933		5,169
Credit Suisse Commercial Mortgage Trust sequential payer:
Series 2007-C2 Class A3, 5.542% 1/15/49 (d)	2,414		2,556
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Credit Suisse Commercial Mortgage Trust sequential payer: - continued
Series 2007-C3 Class A4, 5.8901% 6/15/39 (d)	$ 431		$ 459
Credit Suisse First Boston Mortgage Securities Corp. Series 2001-CKN5 Class AX, 0% 9/15/34 (b)(d)(f)	3		0
CSMC Series 2015-TOWN:
Class B, 2.0815% 3/15/17 (b)(d)	615		615
Class C, 2.4315% 3/15/17 (b)(d)	599		599
Class D, 3.3815% 3/15/17 (b)(d)	907		908
Extended Stay America Trust floater Series 2013-ESFL:
Class A1FL, 0.981% 12/5/31 (b)(d)	3,024		3,015
Class A2FL, 0.881% 12/5/31 (b)(d)	4,180		4,163
GAHR Commercial Mortgage Trust Series 2015-NRF:
Class BFX, 3.3822% 12/15/19 (b)	6,240		6,371
Class CFX, 3.3822% 12/15/19 (b)	2,801		2,813
GE Capital Commercial Mortgage Corp.:
sequential payer Series 2007-C1 Class A4, 5.543% 12/10/49	8,174		8,550
Series 2006-C1 Class A1A, 5.4499% 3/10/44 (d)	3,273		3,325
Greenwich Capital Commercial Funding Corp. sequential payer Series 2007-GG9 Class A4, 5.444% 3/10/39	6,514		6,874
GS Mortgage Securities Corp. II Series 2006-GG6 Class A1A, 5.556% 4/10/38 (d)	2,912		2,951
GS Mortgage Securities Corp. Trust Series 2013-C, 2.974% 1/10/30 (b)	1,030		1,047
GS Mortgage Securities Trust:
sequential payer Series 2006-GG8 Class A1A, 5.547% 11/10/39	1,722		1,805
Series 2011-GC5 Class A1, 1.468% 8/10/44	275		275
Series 2012-GC6 Class A1, 1.282% 1/10/45	321		322
Hilton U.S.A. Trust Series 2013-HLT:
Class CFX, 3.7141% 11/5/30 (b)	750		760
Class DFX, 4.4065% 11/5/30 (b)	5,778		5,871
JPMorgan Chase Commercial Mortgage Securities Trust:
floater Series 2006-FL2A:
Class E, 0.4656% 11/15/18 (b)(d)	76		75
Class F, 0.5156% 11/15/18 (b)(d)	201		196
Class G, 0.5456% 11/15/18 (b)(d)	174		168
Class H, 0.6856% 11/15/18 (b)(d)	134		129
sequential payer:
Series 2006-CB16 Class A4, 5.552% 5/12/45	1,153		1,187
Series 2006-LDP8 Class A1A, 5.397% 5/15/45	678		704
Series 2007-LD11 Class A4, 5.9618% 6/15/49 (d)	139		148
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
JPMorgan Chase Commercial Mortgage Securities Trust: - continued
sequential payer:
Series 2007-LDPX Class A3, 5.42% 1/15/49	$ 3,101		$ 3,272
Series 2006-LDP7 Class A1A, 6.057% 4/15/45 (d)	6,729		7,009
LB-UBS Commercial Mortgage Trust:
sequential payer:
Series 2006-C7 Class A2, 5.3% 11/15/38	492		495
Series 2007-C1 Class A4, 5.424% 2/15/40	149		158
Series 2007-C2 Class A3, 5.43% 2/15/40	475		503
Series 2007-C7 Class A3, 5.866% 9/15/45	2,001		2,185
Merrill Lynch Mortgage Trust:
Series 2005-CKI1 Class A1A, 5.4484% 11/12/37 (d)	1,550		1,567
Series 2005-LC1 Class F, 5.6028% 1/12/44 (b)(d)	1,050		1,036
Series 2006-C2 Class A1A, 5.739% 8/12/43 (d)	4,714		4,919
Merrill Lynch-CFC Commercial Mortgage Trust:
sequential payer:
Series 2006-4 Class ASB, 5.133% 12/12/49 (d)	196		198
Series 2007-5 Class A4, 5.378% 8/12/48	44		46
Series 2007-9 Class A4, 5.7% 9/12/49	315		337
Series 2007-6 Class B, 5.635% 3/12/51 (d)	1,207		376
Series 2007-7 Class B, 5.9342% 6/12/50 (d)	43		2
Morgan Stanley Capital I Trust:
floater:
Series 2006-XLF Class C, 1.386% 7/15/19 (b)(d)	161		161
Series 2007-XLFA:
Class D, 0.3715% 10/15/20 (b)(d)	299		296
Class E, 0.4315% 10/15/20 (b)(d)	376		372
Class F, 0.4815% 10/15/20 (b)(d)	225		222
Class G, 0.5215% 10/15/20 (b)(d)	279		273
Class H, 0.6115% 10/15/20 (b)(d)	176		169
Class J, 0.7615% 10/15/20 (b)(d)	101		92
Series 2006-HQ9 Class A4, 5.731% 7/12/44 (d)	3,258		3,357
Series 2006-IQ11 Class A1A, 5.8201% 10/15/42 (d)	5,674		5,811
Providence Place Group Ltd. Partnership sequential payer Series 2000-C1 Class A1, 7.75% 7/20/16 (b)	249		256
Salomon Brothers Mortgage Securities VII, Inc. Series 2006-C2 Class H, 6.308% 7/18/33 (b)	159		52
SCG Trust Series 2013-SRP1 Class A, 1.5815% 11/15/26 (b)(d)	3,591		3,592
UBS Commercial Mortgage Trust Series 2012-C1 Class A2, 2.18% 5/10/45	3,460		3,516
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Wachovia Bank Commercial Mortgage Trust:
floater Series 2006-WL7A:
Class G, 0.5456% 9/15/21 (b)(d)	$ 71		$ 70
Class J, 0.7856% 9/15/21 (b)(d)	178		169
sequential payer:
Series 2006-C29 Class A1A, 5.297% 11/15/48	2,717		2,863
Series 2007-C30 Class A5, 5.342% 12/15/43	9,961		10,502
Series 2007-C32 Class A3, 5.9027% 6/15/49 (d)	2,049		2,180
Series 2007-C33 Class A5, 6.1503% 2/15/51 (d)	799		868
Series 2006-C23 Class A1A, 5.422% 1/15/45	5,805		5,907
Series 2006-C24 Class A1A, 5.557% 3/15/45 (d)	3,143		3,214
Series 2006-C25 Class A1A, 5.7074% 5/15/43 (d)	4,574		4,717
Series 2006-C26 Class A1A, 6.009% 6/15/45 (d)	3,806		3,952
Series 2006-C27 Class A1A, 5.749% 7/15/45 (d)	3,066		3,188
Series 2007-C31 Class C, 5.8609% 4/15/47 (d)	332		325
Series 2007-C31A Class A2, 5.421% 4/15/47	451		451
WF-RBS Commercial Mortgage Trust Series 2013-C11 Class ASB, 2.63% 3/15/45	8,690		8,890
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $226,654)		229,303
Municipal Securities - 0.4%

Illinois Gen. Oblig. Series 2011, 5.877% 3/1/19 (Cost $11,658)	10,620		11,528
Foreign Government and Government Agency Obligations - 0.8%

New Brunswick Province 2.75% 6/15/18	8,700		9,102
Ontario Province 1.875% 5/21/20	16,270		16,340
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $24,951)		25,442
Supranational Obligations - 0.2%

International Bank for Reconstruction & Development 1% 6/15/18 (Cost $5,808)	5,818		5,816
Bank Notes - 0.3%
	Principal Amount (000s)		Value (000s)
Discover Bank (Delaware) 3.2% 8/9/21	$ 3,500		$ 3,490
Fifth Third Bank 2.875% 10/1/21	3,440		3,448
Union Bank NA 2.125% 6/16/17	4,300		4,366
TOTAL BANK NOTES (Cost $11,211)		11,304

Fixed-Income Funds - 2.4%
	Shares
Fidelity Specialized High Income Central Fund (e) (Cost $75,707)	734,839		77,886
Money Market Funds - 0.6%

Fidelity Cash Central Fund, 0.15% (a) (Cost $19,609)	19,608,749		$ 19,609
TOTAL INVESTMENT PORTFOLIO - 99.8% (Cost $3,142,007)			3,242,468
NET OTHER ASSETS (LIABILITIES) - 0.2%			7,534
NET ASSETS - 100%		$ 3,250,002

Swaps
Credit Default Swaps
Underlying Reference	Rating (1)	Expiration Date	Clearinghouse/ Counterparty	Fixed Payment Received/ (Paid)	Notional Amount (2) (000s)	Value (1) (000s)	Upfront Premium Received/ (Paid) (000s)	Unrealized Appreciation/ (Depreciation) (000s)
Sell Protection
Morgan Stanley ABS Capital I Inc Series 2004-NC8 Class B3	C	Oct. 2034	Merrill Lynch International	4.60%	$ 185	$ (42)	$ 0	$ (42)

(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

(c) Security or a portion of the security has been segregated as collateral for open bi-lateral over-the-counter (OTC) swaps. At period end, the value of securities pledged amounted to $741,000.

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

(e) 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.

(f) 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.

* Amount represents less than $1,000.

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	$ 28
Fidelity Specialized High Income Central Fund	2,815
Total	$ 2,843

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 Specialized High Income Central Fund	$ 40,820	$ 37,808	$ -	$ 77,886	10.2%

Other Information

Valuation Inputs at Reporting Date:
Description (Amounts in thousands)	Total	Level 1	Level 2	Level 3
Investments in Securities:
Corporate Bonds	$ 1,495,628	$ -	$ 1,495,628	$ -
U.S. Government and Government Agency Obligations	1,036,435	-	1,036,435	-
U.S. Government Agency - Mortgage Securities	52,463	-	52,463	-
Asset-Backed Securities	169,074	-	168,048	1,026
Collateralized Mortgage Obligations	107,980	-	107,980	-
Commercial Mortgage Securities	229,303	-	229,159	144
Municipal Securities	11,528	-	11,528	-
Foreign Government and Government Agency Obligations	25,442	-	25,442	-
Supranational Obligations	5,816	-	5,816	-
Bank Notes	11,304	-	11,304	-
Fixed-Income Funds	77,886	77,886	-	-
Money Market Funds	19,609	19,609	-	-
Total Investments in Securities:	$ 3,242,468	$ 97,495	$ 3,143,803	$ 1,170
Derivative Instruments:
Liabilities
Swaps	$ (42)	$ -	$ (42)	$ -

Income Tax Information

At May 31, 2015, the cost of investment securities for income tax purposes was $3,171,666,000. Net unrealized appreciation aggregated $70,802,000, of which $86,822,000 related to appreciated investment securities and $16,020,000 related to depreciated investment securities.

Investment Valuation

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, supranational obligations and U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices.

Asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities are valued by pricing vendors who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Swaps are marked-to-market daily based on valuations from third party pricing vendors, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities and swaps 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.

Credit Risk.

The Fund invests a portion of its assets in structured securities of issuers backed by commercial and residential mortgage loans, credit card receivables and automotive loans. The value and related income of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults.

Quarterly 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 Report

Investments May 31, 2015 (Unaudited)

Quarterly Holdings Report

for

Fidelity ® Investment Grade Bond Fund

May 31, 2015

1.804978.111

IGB-QTLY-0715

Investments May 31, 2015 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 37.0%
	Principal Amount (000s)		Value (000s)
CONSUMER DISCRETIONARY - 3.1%
Automobiles - 0.6%
General Motors Co. 3.5% 10/2/18	$ 5,025		$ 5,165
General Motors Financial Co., Inc.:
2.625% 7/10/17	1,605		1,628
3% 9/25/17	3,673		3,751
3.25% 5/15/18	2,630		2,693
3.5% 7/10/19	5,942		6,065
4.25% 5/15/23	2,950		3,021
4.375% 9/25/21	11,530		12,009
4.75% 8/15/17	2,790		2,949
			37,281
Diversified Consumer Services - 0.1%
Ingersoll-Rand Global Holding Co. Ltd. 4.25% 6/15/23	4,447		4,707
Household Durables - 0.2%
D.R. Horton, Inc. 4% 2/15/20	15,500		15,578
Media - 2.0%
21st Century Fox America, Inc. 7.75% 12/1/45	4,525		6,387
DIRECTV Holdings LLC/DIRECTV Financing, Inc. 5.875% 10/1/19	6,291		7,177
Discovery Communications LLC 3.25% 4/1/23	954		926
Time Warner Cable, Inc.:
4% 9/1/21	27,833		28,700
4.5% 9/15/42	7,225		6,238
5.5% 9/1/41	3,321		3,196
5.875% 11/15/40	7,141		7,203
6.55% 5/1/37	8,170		8,788
6.75% 7/1/18	5,587		6,268
7.3% 7/1/38	8,218		9,544
8.25% 4/1/19	10,913		12,932
Time Warner, Inc.:
4.9% 6/15/42	15,000		15,343
6.2% 3/15/40	5,000		5,895
Viacom, Inc. 4.25% 9/1/23	13,340		13,780
			132,377
Multiline Retail - 0.2%
Family Tree Escrow LLC 5.25% 3/1/20 (c)	15,000		15,731
TOTAL CONSUMER DISCRETIONARY			205,674
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
CONSUMER STAPLES - 1.5%
Beverages - 0.6%
Constellation Brands, Inc.:
3.75% 5/1/21	$ 13,390		$ 13,474
3.875% 11/15/19	351		359
4.75% 11/15/24	8,249		8,548
6% 5/1/22	13,370		15,075
SABMiller Holdings, Inc. 3.75% 1/15/22 (c)	3,930		4,101
			41,557
Food & Staples Retailing - 0.1%
Walgreens Boots Alliance, Inc.:
3.3% 11/18/21	4,181		4,225
3.8% 11/18/24	3,194		3,197
			7,422
Food Products - 0.0%
ConAgra Foods, Inc. 1.9% 1/25/18	2,478		2,478
Tobacco - 0.8%
Altria Group, Inc.:
4.75% 5/5/21	6,000		6,644
9.25% 8/6/19	1,776		2,257
Reynolds American, Inc.:
3.25% 11/1/22	14,892		14,652
4.75% 11/1/42	4,468		4,189
6.15% 9/15/43	2,440		2,742
6.75% 6/15/17	7,156		7,876
7.25% 6/15/37	9,654		12,086
			50,446
TOTAL CONSUMER STAPLES			101,903
ENERGY - 6.5%
Energy Equipment & Services - 0.3%
DCP Midstream LLC:
4.75% 9/30/21 (c)	4,849		4,706
5.35% 3/15/20 (c)	4,973		5,067
5.85% 5/21/43 (c)(g)	9,697		8,049
El Paso Pipeline Partners Operating Co. LLC 5% 10/1/21	3,162		3,398
			21,220
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
ENERGY - continued
Oil, Gas & Consumable Fuels - 6.2%
Chesapeake Energy Corp.:
5.75% 3/15/23	$ 9,470		$ 9,352
6.125% 2/15/21	14,880		15,140
6.625% 8/15/20	27,305		28,528
7.25% 12/15/18	14,500		15,624
Columbia Pipeline Group, Inc.:
2.45% 6/1/18 (c)	1,237		1,248
3.3% 6/1/20 (c)	4,427		4,470
4.5% 6/1/25 (c)	1,849		1,873
5.8% 6/1/45 (c)	2,321		2,391
DCP Midstream Operating LP:
2.5% 12/1/17	3,219		3,131
2.7% 4/1/19	1,510		1,433
3.875% 3/15/23	6,765		6,456
5.6% 4/1/44	5,868		5,495
El Paso Corp. 6.5% 9/15/20	16,220		18,777
Empresa Nacional de Petroleo 4.375% 10/30/24 (c)	5,030		5,167
Enable Midstream Partners LP:
2.4% 5/15/19 (c)	1,789		1,732
3.9% 5/15/24 (c)	1,887		1,798
Enbridge Energy Partners LP 4.2% 9/15/21	5,694		5,947
Kinder Morgan, Inc.:
3.05% 12/1/19	11,838		11,889
4.3% 6/1/25	12,912		12,909
Marathon Petroleum Corp. 5.125% 3/1/21	3,437		3,825
MPLX LP 4% 2/15/25	949		948
Nakilat, Inc. 6.067% 12/31/33 (c)	2,634		3,087
Petro-Canada 6.05% 5/15/18	1,963		2,206
Petrobras Global Finance BV:
5.625% 5/20/43	6,485		5,339
7.25% 3/17/44	69,211		68,180
Petroleos Mexicanos:
4.875% 1/18/24	4,376		4,564
5.5% 6/27/44	38,697		37,691
6.375% 1/23/45	13,790		14,959
6.5% 6/2/41	34,664		37,957
Phillips 66 Co. 4.3% 4/1/22	4,638		4,986
Plains All American Pipeline LP/PAA Finance Corp. 3.65% 6/1/22	777		796
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
ENERGY - continued
Oil, Gas & Consumable Fuels - continued
Southwestern Energy Co.:
3.3% 1/23/18	$ 2,442		$ 2,510
4.05% 1/23/20	4,431		4,588
4.95% 1/23/25	27,840		28,860
Spectra Energy Capital, LLC 3.3% 3/15/23	6,000		5,634
Spectra Energy Partners, LP:
2.95% 9/25/18	1,066		1,096
4.6% 6/15/21	1,124		1,214
The Williams Companies, Inc.:
3.7% 1/15/23	1,754		1,709
4.55% 6/24/24	19,170		19,578
Western Gas Partners LP 5.375% 6/1/21	6,966		7,719
Williams Partners LP:
4.125% 11/15/20	1,029		1,087
4.3% 3/4/24	4,326		4,426
			416,319
TOTAL ENERGY			437,539
FINANCIALS - 17.2%
Banks - 8.8%
Banco Nacional de Desenvolvimento Economico e Social 4% 4/14/19 (c)	6,280		6,380
Bank of America Corp.:
3.3% 1/11/23	26,509		26,512
3.875% 3/22/17	3,343		3,489
3.95% 4/21/25	24,889		24,611
4% 1/22/25	50,434		50,161
4.1% 7/24/23	3,096		3,243
4.25% 10/22/26	6,065		6,090
5.65% 5/1/18	3,745		4,130
5.75% 12/1/17	9,833		10,785
5.875% 1/5/21	2,580		2,976
Bank of America NA 5.3% 3/15/17	3,698		3,936
Barclays Bank PLC 2.5% 2/20/19	3,600		3,666
Barclays PLC 2.75% 11/8/19	5,118		5,173
Capital One NA 2.95% 7/23/21	8,151		8,160
Citigroup, Inc.:
1.85% 11/24/17	12,208		12,287
4.05% 7/30/22	2,865		2,983
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Banks - continued
Citigroup, Inc.: - continued
4.5% 1/14/22	$ 6,932		$ 7,574
5.3% 5/6/44	11,751		12,647
5.5% 9/13/25	2,420		2,692
6.125% 5/15/18	3,326		3,724
Citizens Financial Group, Inc. 4.15% 9/28/22 (c)	5,760		5,955
Credit Suisse AG 6% 2/15/18	8,864		9,786
Credit Suisse Group Funding Guernsey Ltd. 3.75% 3/26/25 (c)	21,098		20,828
Credit Suisse New York Branch 1.7% 4/27/18	65,523		65,228
Discover Bank:
4.2% 8/8/23	4,147		4,254
7% 4/15/20	6,703		7,865
8.7% 11/18/19	1,409		1,723
Fifth Third Bancorp:
4.5% 6/1/18	2,054		2,208
8.25% 3/1/38	2,385		3,469
HBOS PLC 6.75% 5/21/18 (c)	3,056		3,408
HSBC Holdings PLC:
4.25% 3/14/24	3,112		3,240
5.25% 3/14/44	2,255		2,461
Huntington Bancshares, Inc. 7% 12/15/20	1,597		1,909
ING Bank NV 5.8% 9/25/23 (c)	2,826		3,185
JPMorgan Chase & Co.:
2.2% 10/22/19	2,700		2,693
2.35% 1/28/19	2,547		2,577
3.25% 9/23/22	25,741		25,994
3.875% 9/10/24	15,129		15,183
4.125% 12/15/26	18,426		18,556
4.25% 10/15/20	2,763		2,993
4.35% 8/15/21	18,417		19,975
4.625% 5/10/21	2,717		2,990
4.95% 3/25/20	11,055		12,312
KeyBank NA 6.95% 2/1/28	1,344		1,763
Marshall & Ilsley Bank 5% 1/17/17	6,983		7,348
Regions Bank:
6.45% 6/26/37	9,230		11,262
7.5% 5/15/18	18,321		21,131
Regions Financial Corp. 2% 5/15/18	6,934		6,934
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Banks - continued
Royal Bank of Scotland Group PLC:
5.125% 5/28/24	$ 27,664		$ 28,399
6% 12/19/23	25,238		27,343
6.1% 6/10/23	8,465		9,212
6.125% 12/15/22	13,328		14,674
Societe Generale 4.25% 4/14/25 (c)	17,200		16,570
Wells Fargo & Co. 4.48% 1/16/24	4,327		4,644
			589,291
Capital Markets - 3.1%
Affiliated Managers Group, Inc. 4.25% 2/15/24	2,258		2,372
Deutsche Bank AG 4.5% 4/1/25	12,526		12,226
Goldman Sachs Group, Inc.:
1.748% 9/15/17	17,322		17,301
2.625% 1/31/19	13,825		14,086
2.9% 7/19/18	9,276		9,548
5.25% 7/27/21	5,652		6,374
5.75% 1/24/22	7,392		8,512
5.95% 1/18/18	4,817		5,325
6.75% 10/1/37	15,413		18,852
Lazard Group LLC:
4.25% 11/14/20	4,700		4,988
6.85% 6/15/17	607		666
Morgan Stanley:
2.125% 4/25/18	9,946		10,024
2.375% 7/23/19	12,012		12,070
3.7% 10/23/24	10,321		10,495
3.75% 2/25/23	8,227		8,479
3.875% 4/29/24	9,504		9,769
4.875% 11/1/22	19,366		20,864
5% 11/24/25	12,124		13,048
5.75% 1/25/21	10,138		11,700
6.625% 4/1/18	7,981		9,028
			205,727
Consumer Finance - 0.4%
Discover Financial Services:
3.85% 11/21/22	4,866		4,960
3.95% 11/6/24	4,069		4,084
5.2% 4/27/22	4,096		4,481
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Consumer Finance - continued
Hyundai Capital America:
1.875% 8/9/16 (c)	$ 1,594		$ 1,608
2.125% 10/2/17 (c)	1,850		1,869
Synchrony Financial:
1.875% 8/15/17	1,427		1,432
3% 8/15/19	2,095		2,132
3.75% 8/15/21	3,164		3,241
4.25% 8/15/24	3,185		3,259
			27,066
Diversified Financial Services - 0.2%
MSCI, Inc. 5.25% 11/15/24 (c)	10,000		10,438
Insurance - 1.4%
AIA Group Ltd. 2.25% 3/11/19 (c)	1,290		1,289
American International Group, Inc. 5.6% 10/18/16	5,665		6,001
Aon Corp. 5% 9/30/20	2,135		2,379
Five Corners Funding Trust 4.419% 11/15/23 (c)	5,900		6,206
Great-West Life & Annuity Insurance Co. 7.153% 5/16/46 (c)(g)	10,398		10,502
Hartford Financial Services Group, Inc. 5.125% 4/15/22	5,844		6,552
Liberty Mutual Group, Inc. 5% 6/1/21 (c)	5,273		5,799
Marsh & McLennan Companies, Inc. 4.8% 7/15/21	2,941		3,277
Massachusetts Mutual Life Insurance Co. 4.5% 4/15/65 (c)	12,109		11,211
Pacific Life Insurance Co. 9.25% 6/15/39 (c)	4,853		7,333
Pacific LifeCorp:
5.125% 1/30/43 (c)	8,278		8,888
6% 2/10/20 (c)	422		480
Prudential Financial, Inc.:
4.5% 11/16/21	2,796		3,076
5.375% 5/15/45 (g)	6,834		6,881
Symetra Financial Corp. 6.125% 4/1/16 (c)	4,900		5,063
TIAA Asset Management Finance LLC:
2.95% 11/1/19 (c)	1,736		1,768
4.125% 11/1/24 (c)	2,517		2,603
Unum Group 5.625% 9/15/20	4,155		4,714
			94,022
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Real Estate Investment Trusts - 1.9%
Alexandria Real Estate Equities, Inc.:
2.75% 1/15/20	$ 1,267		$ 1,265
4.6% 4/1/22	1,475		1,571
American Campus Communities Operating Partnership LP 3.75% 4/15/23	1,860		1,870
AvalonBay Communities, Inc. 3.625% 10/1/20	2,721		2,870
Camden Property Trust:
2.95% 12/15/22	2,605		2,547
4.25% 1/15/24	4,889		5,168
DDR Corp.:
3.625% 2/1/25	2,957		2,897
4.625% 7/15/22	9,008		9,646
4.75% 4/15/18	4,483		4,792
7.5% 4/1/17	2,623		2,893
Duke Realty LP:
3.625% 4/15/23	3,352		3,388
3.875% 10/15/22	9,433		9,749
4.375% 6/15/22	2,822		2,992
5.5% 3/1/16	5,038		5,203
5.95% 2/15/17	141		152
6.5% 1/15/18	5,065		5,684
Equity One, Inc.:
3.75% 11/15/22	12,000		12,028
6% 9/15/17	3,423		3,730
6.25% 1/15/17	2,422		2,597
ERP Operating LP 4.625% 12/15/21	7,320		8,075
Federal Realty Investment Trust 5.9% 4/1/20	1,389		1,603
Highwoods/Forsyth LP 3.2% 6/15/21	3,528		3,578
HRPT Properties Trust 6.65% 1/15/18	2,600		2,805
Lexington Corporate Properties Trust 4.4% 6/15/24	2,058		2,099
Omega Healthcare Investors, Inc.:
4.5% 1/15/25 (c)	1,964		1,963
4.95% 4/1/24	1,915		1,996
Retail Opportunity Investments Partnership LP:
4% 12/15/24	1,392		1,400
5% 12/15/23	1,073		1,151
Weingarten Realty Investors 3.375% 10/15/22	990		975
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Real Estate Investment Trusts - continued
WP Carey, Inc.:
4% 2/1/25	$ 7,432		$ 7,229
4.6% 4/1/24	11,566		11,856
			125,772
Real Estate Management & Development - 1.4%
BioMed Realty LP:
2.625% 5/1/19	3,275		3,288
3.85% 4/15/16	7,140		7,290
6.125% 4/15/20	1,872		2,136
Brandywine Operating Partnership LP:
3.95% 2/15/23	14,620		14,706
4.1% 10/1/24	6,040		6,075
4.95% 4/15/18	4,806		5,151
5.7% 5/1/17	2,243		2,402
Essex Portfolio LP 3.875% 5/1/24	4,176		4,312
Liberty Property LP:
3.375% 6/15/23	3,567		3,496
4.125% 6/15/22	2,421		2,509
6.625% 10/1/17	3,709		4,105
Mack-Cali Realty LP:
2.5% 12/15/17	4,581		4,600
3.15% 5/15/23	7,757		6,956
4.5% 4/18/22	1,473		1,472
Mid-America Apartments LP:
4.3% 10/15/23	1,200		1,260
5.5% 10/1/15	5,995		6,084
6.05% 9/1/16	4,436		4,685
Post Apartment Homes LP 3.375% 12/1/22	1,090		1,076
Tanger Properties LP:
3.75% 12/1/24	4,213		4,248
3.875% 12/1/23	2,574		2,640
6.125% 6/1/20	4,725		5,451
Ventas Realty LP/Ventas Capital Corp. 4% 4/30/19	2,018		2,145
			96,087
TOTAL FINANCIALS			1,148,403
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
HEALTH CARE - 0.7%
Health Care Providers & Services - 0.4%
Express Scripts Holding Co. 4.75% 11/15/21	$ 6,337		$ 7,008
HCA Holdings, Inc.:
3.75% 3/15/19	4,831		4,903
4.75% 5/1/23	300		311
5.875% 3/15/22	355		397
6.5% 2/15/20	4,514		5,039
WellPoint, Inc. 3.3% 1/15/23	9,384		9,398
			27,056
Pharmaceuticals - 0.3%
AbbVie, Inc.:
1.75% 11/6/17	6,181		6,203
4.7% 5/14/45	6,560		6,635
Perrigo Finance PLC 3.5% 12/15/21	1,504		1,535
Watson Pharmaceuticals, Inc. 1.875% 10/1/17	1,741		1,746
Zoetis, Inc. 3.25% 2/1/23	2,627		2,570
			18,689
TOTAL HEALTH CARE			45,745
INDUSTRIALS - 0.5%
Airlines - 0.1%
Continental Airlines, Inc.:
6.545% 8/2/20	825		896
6.795% 2/2/20	86		91
U.S. Airways pass-thru trust certificates:
6.85% 1/30/18	1,605		1,700
8.36% 1/20/19	5,298		5,735
			8,422
Building Products - 0.0%
Masco Corp. 4.45% 4/1/25	2,260		2,319
Trading Companies & Distributors - 0.3%
Air Lease Corp.:
2.125% 1/15/18	3,060		3,041
3.75% 2/1/22	6,348		6,396
3.875% 4/1/21	5,850		6,026
4.25% 9/15/24	5,062		5,125
			20,588
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
INDUSTRIALS - continued
Transportation Infrastructure - 0.1%
BNSF Funding Trust I 6.613% 12/15/55 (g)	$ 2,984		$ 3,417
TOTAL INDUSTRIALS			34,746
INFORMATION TECHNOLOGY - 0.1%
Electronic Equipment & Components - 0.1%
Tyco Electronics Group SA:
2.375% 12/17/18	1,194		1,213
6.55% 10/1/17	2,421		2,698
			3,911
MATERIALS - 2.1%
Chemicals - 0.1%
The Dow Chemical Co. 4.125% 11/15/21	4,654		4,975
Metals & Mining - 2.0%
Alcoa, Inc.:
5.125% 10/1/24	20,085		21,441
5.4% 4/15/21	9,855		10,717
Anglo American Capital PLC:
3.625% 5/14/20 (c)	6,478		6,524
4.125% 4/15/21 (c)	6,319		6,432
4.875% 5/14/25 (c)	11,378		11,348
Barrick Gold Corp.:
3.85% 4/1/22	3,840		3,803
4.1% 5/1/23	62,150		61,495
Corporacion Nacional del Cobre de Chile (Codelco):
3.875% 11/3/21 (c)	5,087		5,342
4.5% 8/13/23 (c)	2,306		2,484
4.875% 11/4/44 (c)	2,741		2,766
Freeport-McMoRan, Inc. 3.875% 3/15/23	3,347		3,144
			135,496
TOTAL MATERIALS			140,471
TELECOMMUNICATION SERVICES - 3.5%
Diversified Telecommunication Services - 3.4%
AT&T, Inc. 5.55% 8/15/41	27,220		28,698
BellSouth Capital Funding Corp. 7.875% 2/15/30	222		282
CenturyLink, Inc.:
5.15% 6/15/17	528		550
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
TELECOMMUNICATION SERVICES - continued
Diversified Telecommunication Services - continued
CenturyLink, Inc.: - continued
6% 4/1/17	$ 1,320		$ 1,403
6.15% 9/15/19	3,260		3,521
Embarq Corp.:
7.082% 6/1/16	4,231		4,459
7.995% 6/1/36	11,427		13,112
Verizon Communications, Inc.:
3.45% 3/15/21	15,886		16,450
4.5% 9/15/20	60,362		65,798
5.012% 8/21/54	40,410		38,216
6.1% 4/15/18	6,019		6,765
6.55% 9/15/43	40,272		48,695
			227,949
Wireless Telecommunication Services - 0.1%
America Movil S.A.B. de CV 3.125% 7/16/22	3,499		3,514
TOTAL TELECOMMUNICATION SERVICES			231,463
UTILITIES - 1.8%
Electric Utilities - 1.1%
American Transmission Systems, Inc. 5% 9/1/44 (c)	2,220		2,372
Duquesne Light Holdings, Inc.:
5.9% 12/1/21 (c)	8,443		9,802
6.4% 9/15/20 (c)	11,231		13,191
Edison International 3.75% 9/15/17	3,716		3,917
FirstEnergy Corp.:
4.25% 3/15/23	9,775		10,049
7.375% 11/15/31	13,700		17,179
FirstEnergy Solutions Corp. 6.05% 8/15/21	9,083		10,027
Pennsylvania Electric Co. 6.05% 9/1/17	4,923		5,392
			71,929
Gas Utilities - 0.0%
Southern Natural Gas Co. 5.9% 4/1/17 (c)	2,894		3,097
Southern Natural Gas Co./Southern Natural Issuing Corp. 4.4% 6/15/21	1,522		1,587
			4,684
Multi-Utilities - 0.7%
Dominion Resources, Inc.:
2.5731% 9/30/66 (g)	12,726		11,708
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
UTILITIES - continued
Multi-Utilities - continued
Dominion Resources, Inc.: - continued
7.5% 6/30/66 (g)	$ 3,654		$ 3,691
NiSource Finance Corp.:
5.45% 9/15/20	1,461		1,672
5.95% 6/15/41	4,935		5,999
Puget Energy, Inc.:
5.625% 7/15/22	7,175		8,168
6% 9/1/21	6,916		8,077
6.5% 12/15/20	2,216		2,636
Wisconsin Energy Corp. 6.25% 5/15/67 (g)	4,001		3,856
			45,807
TOTAL UTILITIES			122,420
TOTAL NONCONVERTIBLE BONDS (Cost $2,402,995)		2,472,275
U.S. Government and Government Agency Obligations - 23.4%

U.S. Treasury Inflation-Protected Obligations - 2.4%
U.S. Treasury Inflation-Indexed Bonds:
0.75% 2/15/45	143,744		136,748
1.375% 2/15/44	24,011		26,603
TOTAL U.S. TREASURY INFLATION-PROTECTED OBLIGATIONS			163,351
U.S. Treasury Obligations - 21.0%
U.S. Treasury Bonds 2.5% 2/15/45	70,150		64,604
U.S. Treasury Notes:
0.5% 2/28/17 (e)(f)	45,256		45,235
0.625% 12/31/16	646,040		647,502
0.75% 4/15/18	301,859		300,444
0.875% 10/15/17	170,819		171,299
1.375% 3/31/20	65,250		64,995
U.S. Government and Government Agency Obligations - continued
	Principal Amount (000s)		Value (000s)
U.S. Treasury Obligations - continued
U.S. Treasury Notes: - continued
1.375% 4/30/20 (b)	$ 60,000		$ 59,700
2.125% 5/15/25	45,000		45,028
TOTAL U.S. TREASURY OBLIGATIONS			1,398,807
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $1,568,112)		1,562,158
U.S. Government Agency - Mortgage Securities - 0.9%

Fannie Mae - 0.6%
2.053% 6/1/36 (g)	117		126
2.389% 7/1/37 (g)	201		216
2.424% 2/1/35 (g)	1,818		1,949
2.5% 4/1/27 to 3/1/43	2,304		2,352
3% 10/1/42 to 1/1/43	3,445		3,501
3% 6/1/45 (d)	700		709
3.5% 11/1/25 to 7/1/43	8,338		8,731
3.5% 6/1/30 (d)	100		106
4% 8/1/32 to 8/1/42	4,435		4,769
4.5% 4/1/41 to 10/1/44	14,093		15,419
5.5% 9/1/23 to 4/1/39	1,214		1,381
6% 3/1/22	44		48
TOTAL FANNIE MAE			39,307
Freddie Mac - 0.2%
3.115% 10/1/35 (g)	140		150
4% 6/1/33	1,704		1,840
4.5% 7/1/25 to 3/1/44	2,960		3,214
5% 1/1/41 to 7/1/41	2,827		3,163
5.5% 11/1/33 to 8/1/38	284		322
6% 7/1/37 to 8/1/37	768		877
6.5% 9/1/39	864		995
TOTAL FREDDIE MAC			10,561
Ginnie Mae - 0.1%
3% 3/20/45	1,887		1,934
3.5% 3/15/42 to 4/20/45	2,538		2,668
U.S. Government Agency - Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Ginnie Mae - continued
4% 11/20/40 to 11/20/41	$ 1,578		$ 1,696
4.5% 5/20/41	994		1,088
5% 4/15/40	1,473		1,667
TOTAL GINNIE MAE			9,053
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $57,935)		58,921
Asset-Backed Securities - 1.6%

Accredited Mortgage Loan Trust Series 2005-1 Class M1, 0.6513% 4/25/35 (g)	421		376
ACE Securities Corp. Home Equity Loan Trust Series 2004-HE1 Class M2, 1.8348% 3/25/34 (g)	136		130
Airspeed Ltd. Series 2007-1A Class C1, 2.6856% 6/15/32 (c)(g)	4,981		2,242
Ameriquest Mortgage Securities, Inc. pass-thru certificates:
Series 2003-10 Class M1, 1.2238% 12/25/33 (g)	32		30
Series 2004-R2 Class M3, 1.0063% 4/25/34 (g)	57		40
Argent Securities, Inc. pass-thru certificates:
Series 2003-W7 Class A2, 0.9613% 3/25/34 (g)	30		28
Series 2004-W7 Class M1, 1.0063% 5/25/34 (g)	808		774
Series 2006-W4 Class A2C, 0.3448% 5/25/36 (g)	738		265
Capital Auto Receivables Asset Trust Series 2014-2 Class D, 2.81% 8/20/19	2,369		2,386
Carrington Mortgage Loan Trust Series 2007-RFC1 Class A3, 0.3213% 12/25/36 (g)	1,140		757
Countrywide Home Loans, Inc.:
Series 2003-BC1 Class B1, 5.4348% 3/25/32 (MGIC Investment Corp. Insured) (g)	16		14
Series 2004-3 Class M4, 1.6398% 4/25/34 (g)	46		39
Series 2004-4 Class M2, 0.9798% 6/25/34 (g)	69		63
Series 2004-7 Class AF5, 5.868% 1/25/35	1,830		1,877
Fannie Mae Series 2004-T5 Class AB3, 1.0669% 5/28/35 (g)	25		23
Fieldstone Mortgage Investment Corp. Series 2004-3 Class M5, 2.3563% 8/25/34 (g)	231		215
First Franklin Mortgage Loan Trust Series 2004-FF2 Class M3, 1.0098% 3/25/34 (g)	8		7
Fremont Home Loan Trust Series 2005-A Class M4, 1.2013% 1/25/35 (g)	220		141
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 0.662% 2/25/47 (c)(g)	$ 1,116		$ 1,041
GE Business Loan Trust:
Series 2003-1 Class A, 0.6156% 4/15/31 (c)(g)	21		21
Series 2006-2A:
Class A, 0.3656% 11/15/34 (c)(g)	516		494
Class B, 0.4656% 11/15/34 (c)(g)	187		173
Class C, 0.5656% 11/15/34 (c)(g)	310		263
Class D, 0.9356% 11/15/34 (c)(g)	148		122
Grain Spectrum Funding II LLC Series 2014-1 3.29% 10/10/34 (c)	5,185		5,172
GSAMP Trust Series 2004-AR1 Class B4, 5.5% 6/25/34 (c)	235		8
Home Equity Asset Trust:
Series 2003-2 Class M1, 1.5048% 8/25/33 (g)	126		119
Series 2003-3 Class M1, 1.4748% 8/25/33 (g)	295		284
Series 2003-5 Class A2, 0.8848% 12/25/33 (g)	21		20
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.3713% 1/25/37 (g)	913		582
JPMorgan Mortgage Acquisition Trust Series 2007-CH1 Class AV4, 0.3113% 11/25/36 (g)	355		352
KeyCorp Student Loan Trust:
Series 1999-A Class A2, 0.5986% 12/27/29 (g)	106		105
Series 2006-A Class 2C, 1.4186% 3/27/42 (g)	1,605		803
MASTR Asset Backed Securities Trust Series 2007-HE1 Class M1, 0.4848% 5/25/37 (g)	236		2
Meritage Mortgage Loan Trust Series 2004-1 Class M1, 0.9348% 7/25/34 (g)	55		42
Merrill Lynch Mortgage Investors Trust:
Series 2003-OPT1 Class M1, 1.1598% 7/25/34 (g)	176		161
Series 2006-FM1 Class A2B, 0.2913% 4/25/37 (g)	227		214
Series 2006-OPT1 Class A1A, 0.7048% 6/25/35 (g)	961		927
Morgan Stanley ABS Capital I Trust:
Series 2004-HE6 Class A2, 0.8648% 8/25/34 (g)	36		34
Series 2004-NC6 Class M3, 2.3598% 7/25/34 (g)	374		321
Series 2004-NC8 Class M6, 2.0563% 9/25/34 (g)	63		56
Series 2005-NC1 Class M1, 0.8448% 1/25/35 (g)	204		191
Series 2005-NC2 Class B1, 1.9363% 3/25/35 (g)	154		3
New Century Home Equity Loan Trust Series 2005-4 Class M2, 0.6948% 9/25/35 (g)	903		792
Park Place Securities, Inc. Series 2004-WCW1:
Class M3, 2.0598% 9/25/34 (g)	337		318
Class M4, 2.3598% 9/25/34 (g)	433		203
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 0.9848% 4/25/33 (g)	$ 3		$ 3
Santander Drive Auto Receivables Trust:
Series 2013-5 Class D, 2.73% 10/15/19	6,198		6,277
Series 2014-1 Class D, 2.91% 4/15/20	6,070		6,138
Series 2014-4:
Class C, 2.6% 11/16/20	3,358		3,404
Class D, 3.1% 11/16/20	5,782		5,880
SLM Private Credit Student Loan Trust Series 2004-A Class C, 1.2206% 6/15/33 (g)	460		446
Springcastle SPV Series 2014-AA Class A, 2.7% 5/25/23 (c)	8,381		8,426
Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1.9098% 9/25/34 (g)	35		31
Terwin Mortgage Trust Series 2003-4HE Class A1, 1.0448% 9/25/34 (g)	18		16
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 0.8308% 4/6/42 (c)(g)	1,761		951
Truman Capital Mortgage Loan Trust:
Series 2014-NPL2 Class A1, 3.125% 6/25/54 (c)	3,697		3,683
Series 2014-NPL3 Class A1, 3.125% 4/25/53 (c)	4,484		4,467
Vericrest Opportunity Loan Transferee Series 2014-NPL9 Class A1, 3.375% 11/25/54 (c)	6,341		6,339
Vericrest Opportunity Loan Trust:
Series 2014-NP10 Class A1, 3.375% 10/25/54 (c)	6,221		6,221
Series 2014-NP11 Class A1, 3.875% 4/25/55 (c)	9,233		9,268
Series 2014-NPL7 Class A1, 3.125% 8/27/57 (c)	22,289		22,320
TOTAL ASSET-BACKED SECURITIES (Cost $104,242)		106,100
Collateralized Mortgage Obligations - 0.3%

Private Sponsor - 0.3%
CSMC Series 2014-3R:
Class 2A1, 0.8738% 5/27/37 (c)(g)	10,758		10,146
Class AA1, 0.4263% 5/27/37 (c)(g)	6,554		6,063
First Horizon Mortgage pass-thru Trust Series 2004-AR5 Class 2A1, 2.551% 10/25/34 (g)	297		298
Granite Mortgages PLC floater Series 2003-3 Class 1C, 2.7251% 1/20/44 (g)	341		341
JPMorgan Mortgage Trust sequential payer Series 2006-A5 Class 3A5, 2.4683% 8/25/36 (g)	670		573
Collateralized Mortgage Obligations - continued
	Principal Amount (000s)		Value (000s)
Private Sponsor - continued
MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 0.3948% 5/25/47 (g)	$ 267		$ 250
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.3548% 2/25/37 (g)	488		445
Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 0.4748% 7/25/35 (g)	724		683
RESI Finance LP/RESI Finance DE Corp. floater Series 2003-B:
Class B5, 2.531% 6/10/35 (c)(g)	237		216
Class B6, 3.031% 6/10/35 (c)(g)	314		290
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 1.2236% 7/20/34 (g)	15		15
Structured Asset Securities Corp. Series 2003-15A Class 4A, 2.5122% 4/25/33 (g)	104		104
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $18,822)		19,424
Commercial Mortgage Securities - 6.6%

Asset Securitization Corp. Series 1997-D5 Class PS1, 1.5708% 2/14/43 (g)(i)	358		5
Banc of America Commercial Mortgage Trust:
sequential payer:
Series 2006-2 Class AAB, 5.8986% 5/10/45 (g)	32		32
Series 2006-3 Class A4, 5.889% 7/10/44	4,379		4,527
Series 2006-6 Class A3, 5.369% 10/10/45	2,190		2,215
Series 2006-6 Class E, 5.619% 10/10/45 (c)	633		95
Series 2007-2 Class A4, 5.7822% 4/10/49 (g)	4,000		4,210
Series 2007-3:
Class A3, 5.7354% 6/10/49 (g)	1,301		1,300
Class A4, 5.7354% 6/10/49 (g)	2,283		2,420
Bayview Commercial Asset Trust floater:
Series 2003-2 Class M1, 1.4598% 12/25/33 (c)(g)	28		25
Series 2005-3A:
Class A2, 0.5848% 11/25/35 (c)(g)	209		188
Class M1, 0.6248% 11/25/35 (c)(g)	56		49
Class M2, 0.6748% 11/25/35 (c)(g)	42		34
Class M3, 0.6948% 11/25/35 (c)(g)	38		29
Class M4, 0.7848% 11/25/35 (c)(g)	47		36
Series 2005-4A:
Class A2, 0.5748% 1/25/36 (c)(g)	514		456
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Bayview Commercial Asset Trust floater: - continued
Series 2005-4A: - continued
Class B1, 1.5848% 1/25/36 (c)(g)	$ 27		$ 16
Class M1, 0.6348% 1/25/36 (c)(g)	166		133
Class M2, 0.6548% 1/25/36 (c)(g)	62		49
Class M3, 0.6848% 1/25/36 (c)(g)	91		68
Class M4, 0.7948% 1/25/36 (c)(g)	50		37
Class M5, 0.8348% 1/25/36 (c)(g)	50		36
Class M6, 0.8848% 1/25/36 (c)(g)	54		35
Series 2006-1:
Class A2, 0.5448% 4/25/36 (c)(g)	104		93
Class M1, 0.5648% 4/25/36 (c)(g)	63		51
Class M2, 0.5848% 4/25/36 (c)(g)	67		53
Class M3, 0.6048% 4/25/36 (c)(g)	57		45
Class M4, 0.7048% 4/25/36 (c)(g)	33		26
Class M5, 0.7448% 4/25/36 (c)(g)	32		22
Class M6, 0.8248% 4/25/36 (c)(g)	63		44
Series 2006-2A:
Class M1, 0.4948% 7/25/36 (c)(g)	91		69
Class M2, 0.5148% 7/25/36 (c)(g)	64		48
Class M3, 0.5348% 7/25/36 (c)(g)	53		38
Class M4, 0.6048% 7/25/36 (c)(g)	61		42
Class M5, 0.6548% 7/25/36 (c)(g)	44		29
Series 2006-3A Class M4, 0.6148% 10/25/36 (c)(g)	33		3
Series 2006-4A:
Class A2, 0.4548% 12/25/36 (c)(g)	1,558		1,353
Class M1, 0.4748% 12/25/36 (c)(g)	125		96
Class M2, 0.4948% 12/25/36 (c)(g)	84		55
Class M3, 0.5248% 12/25/36 (c)(g)	85		48
Series 2007-1 Class A2, 0.4548% 3/25/37 (c)(g)	328		276
Series 2007-2A:
Class A1, 0.4548% 7/25/37 (c)(g)	943		824
Class A2, 0.5048% 7/25/37 (c)(g)	883		747
Class M1, 0.5548% 7/25/37 (c)(g)	301		226
Class M2, 0.5948% 7/25/37 (c)(g)	196		126
Class M3, 0.6748% 7/25/37 (c)(g)	150		60
Series 2007-3:
Class A2, 0.4748% 7/25/37 (c)(g)	323		270
Class M1, 0.4948% 7/25/37 (c)(g)	171		130
Class M2, 0.5248% 7/25/37 (c)(g)	183		122
Class M3, 0.5548% 7/25/37 (c)(g)	295		119
Class M4, 0.6848% 7/25/37 (c)(g)	464		134
Class M5, 0.7848% 7/25/37 (c)(g)	217		36
Series 2007-4A Class M1, 1.1313% 9/25/37 (c)(g)	161		33
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Bear Stearns Commercial Mortgage Securities Trust:
Series 2006-T22 Class A4, 5.7581% 4/12/38 (g)	$ 119		$ 122
Series 2007-PW18 Class X2, 0.4438% 6/11/50 (c)(g)(i)	63,160		140
Series 2007-T28 Class X2, 0.3068% 9/11/42 (c)(g)(i)	39,337		29
C-BASS Trust floater Series 2006-SC1 Class A, 0.4513% 5/25/36 (c)(g)	215		204
CDGJ Commercial Mortgage Trust Series 2014-BXCH Class DPA, 3.1745% 12/15/27 (c)(g)	2,535		2,540
Citigroup/Deutsche Bank Commercial Mortgage Trust sequential payer:
Series 2006-CD3 Class A5, 5.617% 10/15/48	2,229		2,316
Series 2007-CD4 Class A3, 5.293% 12/11/49	100		100
Cobalt CMBS Commercial Mortgage Trust Series 2007-C2 Class B, 5.617% 4/15/47 (g)	1,223		1,195
COMM Mortgage Trust pass-thru certificates floater Series 2005-F10A Class J, 1.0356% 4/15/17 (c)(g)	100		100
Credit Suisse Commercial Mortgage Trust:
sequential payer Series 2007-C3 Class A4, 5.8901% 6/15/39 (g)	9,738		10,377
Series 2007-C5 Class A4, 5.695% 9/15/40 (g)	991		1,058
Credit Suisse First Boston Mortgage Securities Corp. Series 2001-CKN5 Class AX, 0% 9/15/34 (c)(g)(i)	3		0*
GE Capital Commercial Mortgage Corp. sequential payer Series 2007-C1 Class A4, 5.543% 12/10/49	13,416		14,034
Greenwich Capital Commercial Funding Corp.:
sequential payer Series 2007-GG9 Class A4, 5.444% 3/10/39	18,590		19,617
Series 2006-GG7 Class A4, 6.0136% 7/10/38 (g)	3,094		3,187
GS Mortgage Securities Trust sequential payer Series 2006-GG8 Class A1A, 5.547% 11/10/39	2,260		2,369
Hilton U.S.A. Trust Series 2013-HLT:
Class CFX, 3.7141% 11/5/30 (c)	1,300		1,317
Class DFX, 4.4065% 11/5/30 (c)	11,967		12,159
JPMorgan Chase Commercial Mortgage Securities Trust:
floater Series 2006-FL2A:
Class E, 0.4656% 11/15/18 (c)(g)	108		106
Class F, 0.5156% 11/15/18 (c)(g)	227		221
Class G, 0.5456% 11/15/18 (c)(g)	198		191
Class H, 0.6856% 11/15/18 (c)(g)	190		182
sequential payer:
Series 2006-CB17 Class A4, 5.429% 12/12/43	4,326		4,523
Series 2007-CB18 Class A4, 5.44% 6/12/47	12,730		13,444
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
JPMorgan Chase Commercial Mortgage Securities Trust: - continued
sequential payer: - continued
Series 2007-LD11 Class A4, 5.9618% 6/15/49 (g)	$ 97,451		$ 103,522
Series 2007-CB19:
Class B, 5.8851% 2/12/49 (g)	93		24
Class C, 5.8851% 2/12/49 (g)	245		18
Class D, 5.8851% 2/12/49 (g)	257		12
Series 2007-LDP10 Class CS, 5.466% 1/15/49 (g)	63		1
LB Commercial Conduit Mortgage Trust sequential payer Series 2007-C3 Class A4, 6.1102% 7/15/44 (g)	3,744		4,019
LB-UBS Commercial Mortgage Trust sequential payer Series 2006-C7 Class A2, 5.3% 11/15/38	446		449
Merrill Lynch Mortgage Trust:
Series 2005-LC1 Class F, 5.6028% 1/12/44 (c)(g)	953		941
Series 2007-C1 Class A4, 6.0289% 6/12/50 (g)	4,145		4,407
Series 2008-C1 Class A4, 5.69% 2/12/51	1,703		1,845
Merrill Lynch-CFC Commercial Mortgage Trust:
sequential payer:
Series 2006-4:
Class A3, 5.172% 12/12/49 (g)	2,625		2,738
Class ASB, 5.133% 12/12/49 (g)	177		179
Series 2007-6 Class A4, 5.485% 3/12/51 (g)	26,699		28,304
Series 2007-7 Class A4, 5.81% 6/12/50 (g)	5,040		5,393
Series 2007-6 Class B, 5.635% 3/12/51 (g)	1,095		341
Series 2007-7 Class B, 5.9342% 6/12/50 (g)	577		27
Series 2007-8 Class A3, 6.0766% 8/12/49 (g)	944		1,020
Morgan Stanley Capital I Trust:
floater:
Series 2006-XLF Class C, 1.386% 7/15/19 (c)(g)	227		227
Series 2007-XLFA:
Class D, 0.3715% 10/15/20 (c)(g)	420		417
Class E, 0.4315% 10/15/20 (c)(g)	528		522
Class F, 0.4815% 10/15/20 (c)(g)	397		392
Class G, 0.5215% 10/15/20 (c)(g)	491		482
Class H, 0.6115% 10/15/20 (c)(g)	309		297
Class J, 0.7615% 10/15/20 (c)(g)	179		163
sequential payer Series 2007-IQ15 Class A4, 6.1037% 6/11/49 (g)	22,352		24,057
Series 2007-HQ12 Class A4, 5.8611% 4/12/49 (g)	5,793		5,785
Series 2007-IQ14:
Class A4, 5.6859% 4/15/49	19,062		20,266
Class B, 5.9059% 4/15/49 (g)	269		18
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Salomon Brothers Mortgage Securities VII, Inc. Series 2006-C2 Class H, 6.308% 7/18/33 (c)	$ 182		$ 59
Wachovia Bank Commercial Mortgage Trust:
floater Series 2006-WL7A:
Class G, 0.5456% 9/15/21 (c)(g)	100		99
Class J, 0.7856% 9/15/21 (c)(g)	314		298
sequential payer:
Series 2007-C30 Class A5, 5.342% 12/15/43	30,892		32,571
Series 2007-C31 Class A4, 5.509% 4/15/47	32,250		33,836
Series 2007-C32 Class A3, 5.9027% 6/15/49 (g)	16,199		17,237
Series 2007-C33 Class A4, 6.1503% 2/15/51 (g)	31,250		32,966
Series 2005-C22 Class B, 5.5288% 12/15/44 (g)	2,428		2,416
Series 2007-C31 Class C, 5.8609% 4/15/47 (g)	4,515		4,426
Series 2007-C31A Class A2, 5.421% 4/15/47	276		276
Series 2007-C32:
Class D, 5.9027% 6/15/49 (g)	823		605
Class E, 5.9027% 6/15/49 (g)	1,297		770
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $447,825)		442,169
Municipal Securities - 1.9%

Beaver County Indl. Dev. Auth. Poll. Cont. Rev. Bonds (FirstEnergy Nuclear Generation Corp. Proj.) Series 2005 A, 3.375%, tender 7/1/15 (g)	1,835		1,839
Chicago Gen. Oblig.:
(Taxable Proj.):
Series 2010 C1, 7.781% 1/1/35	1,510		1,583
Series 2012 B, 5.432% 1/1/42	5,580		4,702
6.314% 1/1/44	29,170		26,315
Illinois Gen. Oblig.:
Series 2003:
4.35% 6/1/18	3,515		3,622
4.95% 6/1/23	6,000		6,171
5.1% 6/1/33	40,020		37,714
Series 2010-1, 6.63% 2/1/35	4,420		4,606
Series 2010-3:
6.725% 4/1/35	5,880		6,186
7.35% 7/1/35	3,010		3,300
Series 2011:
5.365% 3/1/17	195		204
5.665% 3/1/18	5,145		5,527
5.877% 3/1/19	13,395		14,540
Municipal Securities - continued
	Principal Amount (000s)		Value (000s)
Illinois Gen. Oblig.: - continued
Series 2013:
1.84% 12/1/16	$ 4,160		$ 4,194
3.6% 12/1/19	3,585		3,560
TOTAL MUNICIPAL SECURITIES (Cost $131,265)		124,063
Foreign Government and Government Agency Obligations - 0.4%

Banco Nacional de Desenvolvimento Economico e Social:
3.375% 9/26/16 (c)	6,150		6,235
5.75% 9/26/23 (c)	5,628		5,898
Brazilian Federative Republic 4.25% 1/7/25	5,790		5,697
United Mexican States 3.5% 1/21/21	6,991		7,208
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $24,484)		25,038
Bank Notes - 0.1%

Discover Bank (Delaware) 3.2% 8/9/21 (Cost $8,959)	8,981		8,955

Fixed-Income Funds - 24.2%
	Shares
Fidelity Mortgage Backed Securities Central Fund (h)	10,846,879		1,190,553
Fidelity Specialized High Income Central Fund (h)	4,019,070		425,981
TOTAL FIXED-INCOME FUNDS (Cost $1,565,607)		1,616,534

Preferred Securities - 0.2%
	Principal Amount (000s)
FINANCIALS - 0.2%
Banks - 0.2%
Barclays Bank PLC 7.625% 11/21/22 (Cost $11,925)	$ 10,602	12,349

Money Market Funds - 3.3%
	Shares		Value (000s)
Fidelity Cash Central Fund, 0.15% (a) (Cost $221,514)	221,513,907		$ 221,514
Cash Equivalents - 0.7%
	Maturity Amount (000s)
Investments in repurchase agreements in a joint trading account at 0.11%, dated 5/29/15 due 6/1/15 (Collateralized by U.S. Government Obligations) # (Cost $43,541)	43,541		43,541
TOTAL INVESTMENT PORTFOLIO - 100.6% (Cost $6,607,226)			6,713,041
NET OTHER ASSETS (LIABILITIES) - (0.6)%			(39,109)
NET ASSETS - 100%		$ 6,673,932
TBA Sale Commitments
	Principal Amount (000s)
Fannie Mae
4.5% 6/1/45 (Proceeds $15,096)	$ (13,900)		(15,112)

Quarterly Report

Swaps
Credit Default 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)
Buy Protection
Deutsche Bank AG		Dec. 2018	Credit Suisse International	(1%)	$ 6,500	$ (103)	$ (238)	$ (341)
Deutsche Bank AG		Mar. 2019	JPMorgan Chase Bank, N.A.	(1%)	4,085	(65)	(179)	(244)
National Australia Bank Ltd		Dec. 2018	Credit Suisse International	(1%)	6,500	(128)	(395)	(523)
National Australia Bank Ltd		Dec. 2018	Credit Suisse International	(1%)	6,500	(128)	(340)	(468)
Societe Generale		Dec. 2017	Credit Suisse International	(3%)	3,825	(266)	30	(236)
Societe Generale		Dec. 2017	Credit Suisse International	(3%)	3,823	(266)	80	(186)
UFJ Finance Aruba AEC		Mar. 2018	Credit Suisse International	(1%)	5,500	(112)	(69)	(181)
UFJ Finance Aruba AEC		Mar. 2018	Credit Suisse International	(1%)	3,823	(78)	(108)	(186)
TOTAL BUY PROTECTION						(1,146)	(1,219)	(2,365)
Sell Protection
Countrywide Home Loans Inc Series 2003-BC1 Class B1	Ca	Apr. 2032	Merrill Lynch International	4.29%	50	(7)	0	(7)
Morgan Stanley ABS Capital I Inc Series 2004-NC8 Class B3	C	Oct. 2034	Merrill Lynch International	4.60%	258	(58)	0	(58)
Swaps - continued
Credit Default Swaps - continued
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)
Sell Protection - continued
Morgan Stanley ABS Capital I Inc Series 2004-NC8 Class M6	C	Oct. 2034	Barclays Bank PLC	1.475%	$ 348	$ (41)	$ 0	$ (41)
TOTAL SELL PROTECTION						(106)	0	(106)
TOTAL CREDIT DEFAULT SWAPS						$ (1,252)	$ (1,219)	$ (2,471)

(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.

Quarterly Report

Investments (Unaudited) - continued

Legend

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

(c) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $383,773,000 or 5.8% of net assets.

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

(e) Security or a portion of the security has been segregated as collateral for open bi-lateral over-the-counter (OTC) swaps. At period end, the value of securities pledged amounted to $2,464,000.

(f) Security or a portion of the security has been segregated as collateral for mortgage-backed or asset-backed securities purchased on a delayed delivery or when-issued basis. At period end, the value of securities pledged amounted to $11,994.

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

(h) 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 and/or advisor.fidelity.com. In addition, each Fidelity Central Fund's financial statements, are available on the SEC's website or upon request.

(i) 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.

* Amount represents less than $1000.

# Additional information on each counterparty to the repurchase agreement is as follows:

Repurchase Agreement / Counterparty	Value (000s)
$43,541,000 due 6/01/15 at 0.11%
Bank of America NA	$ 1,362
Commerz Markets LLC	10,141
Merrill Lynch, Pierce, Fenner & Smith, Inc.	29,368
RBS Securities, Inc.	2,670
	$ 43,541

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	$ 142
Fidelity Mortgage Backed Securities Central Fund	20,744
Fidelity Specialized High Income Central Fund	15,444
Total	$ 36,330

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	$ 1,156,163	$ 20,821	$ -	$ 1,190,553	26.3%
Fidelity Specialized High Income Central Fund	356,070	75,551	-	425,981	54.1%
Total	$ 1,512,233	$ 96,372	$ -	$ 1,616,534

Other Information

Valuation Inputs at Reporting Date:
Description (Amounts in thousands)	Total	Level 1	Level 2	Level 3
Investments in Securities:
Corporate Bonds	$ 2,472,275	$ -	$ 2,472,275	$ -
U.S. Government and Government Agency Obligations	1,562,158	-	1,562,158	-
U.S. Government Agency - Mortgage Securities	58,921	-	58,921	-
Asset-Backed Securities	106,100	-	105,149	951
Collateralized Mortgage Obligations	19,424	-	19,424	-
Commercial Mortgage Securities	442,169	-	441,947	222
Municipal Securities	124,063	-	124,063	-
Foreign Government and Government Agency Obligations	25,038	-	25,038	-
Bank Notes	8,955	-	8,955	-
Fixed-Income Funds	1,616,534	1,616,534	-	-
Preferred Securities	12,349	-	12,349	-
Money Market Funds	221,514	221,514	-	-
Cash Equivalents	43,541	-	43,541	-
Total Investments in Securities:	$ 6,713,041	$ 1,838,048	$ 4,873,820	$ 1,173
Derivative Instruments:
Liabilities
Swaps	$ (1,252)	$ -	$ (1,252)	$ -
Other Financial Instruments:
TBA Sale Commitments	$ (15,112)	$ -	$ (15,112)	$ -

Income Tax Information

At May 31, 2015, the cost of investment securities for income tax purposes was $6,628,022,000. Net unrealized appreciation aggregated $85,019,000, of which $162,326,000 related to appreciated investment securities and $77,307,000 related to depreciated investment securities.

Investment Valuation

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, foreign government and government agency obligations, and municipal securities, and preferred securities, U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices.

Asset backed securities, collateralized mortgage obligations, commercial mortgage securities, and U.S. government agency mortgage securities are valued by pricing vendors who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Swaps are marked-to-market daily based on valuations from third party pricing vendors, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Credit Risk.

Quarterly 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 Report

Investments May 31, 2015 (Unaudited)

Quarterly Holdings Report

for

Fidelity ® Series Investment Grade
Bond Fund

May 31, 2015

1.873112.106

LIG-QTLY-0715

Investments May 31, 2015 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 43.3%
	Principal Amount		Value
CONSUMER DISCRETIONARY - 3.1%
Automobiles - 0.7%
Daimler Finance North America LLC 1.45% 8/1/16 (d)	$ 17,512,000		$ 17,618,438
General Motors Co.:
3.5% 10/2/18	15,850,000		16,290,630
6.25% 10/2/43	2,624,000		3,021,838
General Motors Financial Co., Inc.:
2.4% 4/10/18	50,000,000		49,985,400
2.625% 7/10/17	5,075,000		5,147,055
3% 9/25/17	11,621,000		11,868,155
3.25% 5/15/18	8,305,000		8,502,410
3.5% 7/10/19	18,875,000		19,265,071
4.25% 5/15/23	9,285,000		9,509,641
4.375% 9/25/21	41,737,000		43,470,087
4.75% 8/15/17	8,785,000		9,286,167
			193,964,892
Diversified Consumer Services - 0.1%
Ingersoll-Rand Global Holding Co. Ltd.:
2.875% 1/15/19	2,684,000		2,744,658
4.25% 6/15/23	18,902,000		20,005,877
			22,750,535
Media - 2.3%
21st Century Fox America, Inc.:
6.15% 3/1/37	8,831,000		10,605,024
6.15% 2/15/41	34,925,000		41,908,044
7.75% 12/1/45	10,133,000		14,302,811
Comcast Corp.:
3.6% 3/1/24	43,000,000		44,407,777
4.6% 8/15/45	51,872,000		53,596,848
4.95% 6/15/16	9,131,000		9,533,221
5.9% 3/15/16	3,813,000		3,967,449
DIRECTV Holdings LLC/DIRECTV Financing, Inc. 5.875% 10/1/19	16,408,000		18,719,165
Discovery Communications LLC:
3.25% 4/1/23	3,681,000		3,574,571
6.35% 6/1/40	10,151,000		11,543,321
NBCUniversal, Inc. 5.15% 4/30/20	28,753,000		32,705,934
Thomson Reuters Corp.:
1.3% 2/23/17	8,556,000		8,558,541
3.85% 9/29/24	18,774,000		19,152,033
Nonconvertible Bonds - continued
	Principal Amount		Value
CONSUMER DISCRETIONARY - continued
Media - continued
Time Warner Cable, Inc.:
4% 9/1/21	$ 38,151,000		$ 39,339,137
4.5% 9/15/42	32,190,000		27,794,134
5.5% 9/1/41	14,842,000		14,285,291
5.85% 5/1/17	7,927,000		8,509,888
5.875% 11/15/40	9,556,000		9,638,602
6.55% 5/1/37	40,036,000		43,062,601
6.75% 7/1/18	23,280,000		26,119,206
7.3% 7/1/38	30,237,000		35,117,494
8.25% 4/1/19	42,627,000		50,514,359
Time Warner, Inc.:
4.9% 6/15/42	21,000,000		21,480,648
5.875% 11/15/16	4,039,000		4,312,485
6.2% 3/15/40	15,555,000		18,340,558
6.5% 11/15/36	6,573,000		7,921,037
Viacom, Inc.:
2.5% 9/1/18	3,555,000		3,608,823
3.5% 4/1/17	15,103,000		15,678,122
			598,297,124
TOTAL CONSUMER DISCRETIONARY			815,012,551
CONSUMER STAPLES - 1.3%
Beverages - 0.2%
Heineken NV:
1.4% 10/1/17 (d)	12,431,000		12,458,721
2.75% 4/1/23 (d)	12,988,000		12,764,490
SABMiller Holdings, Inc. 3.75% 1/15/22 (d)	16,792,000		17,523,896
			42,747,107
Food & Staples Retailing - 0.3%
CVS Health Corp.:
2.25% 12/5/18	18,014,000		18,354,140
4% 12/5/23	18,015,000		18,889,862
Walgreens Boots Alliance, Inc.:
1.75% 11/17/17	6,303,000		6,346,579
2.7% 11/18/19	14,218,000		14,423,322
3.3% 11/18/21	16,863,000		17,039,438
3.8% 11/18/24	12,880,000		12,892,069
			87,945,410
Nonconvertible Bonds - continued
	Principal Amount		Value
CONSUMER STAPLES - continued
Food Products - 0.0%
ConAgra Foods, Inc. 1.9% 1/25/18	$ 8,922,000		$ 8,923,044
Tobacco - 0.8%
Altria Group, Inc.:
2.85% 8/9/22	31,563,000		30,921,955
4% 1/31/24	15,944,000		16,500,733
4.25% 8/9/42	26,526,000		24,364,927
9.25% 8/6/19	1,547,000		1,966,149
Philip Morris International, Inc. 5.65% 5/16/18	2,251,000		2,518,421
Reynolds American, Inc.:
3.25% 11/1/22	47,809,000		47,039,992
4.75% 11/1/42	48,462,000		45,436,130
6.15% 9/15/43	11,136,000		12,516,452
6.75% 6/15/17	10,391,000		11,437,010
7.25% 6/15/37	15,680,000		19,629,729
			212,331,498
TOTAL CONSUMER STAPLES			351,947,059
ENERGY - 7.1%
Energy Equipment & Services - 0.8%
DCP Midstream LLC:
4.75% 9/30/21 (d)	21,176,000		20,551,732
5.35% 3/15/20 (d)	39,799,000		40,549,967
6.75% 9/15/37 (d)	2,991,000		3,000,960
El Paso Pipeline Partners Operating Co. LLC:
4.1% 11/15/15	17,654,000		17,892,947
5% 10/1/21	13,430,000		14,432,335
6.5% 4/1/20	2,078,000		2,393,476
Ensco PLC:
5.2% 3/15/25	32,677,000		33,621,300
5.75% 10/1/44	12,542,000		12,029,358
Noble Holding International Ltd.:
4% 3/16/18	1,918,000		1,969,861
5.95% 4/1/25	32,232,000		32,573,949
6.95% 4/1/45	11,807,000		11,446,190
Transocean, Inc. 5.05% 12/15/16	13,734,000		14,249,025
			204,711,100
Oil, Gas & Consumable Fuels - 6.3%
Anadarko Petroleum Corp. 6.375% 9/15/17	62,765,000		69,318,796
Nonconvertible Bonds - continued
	Principal Amount		Value
ENERGY - continued
Oil, Gas & Consumable Fuels - continued
BP Capital Markets PLC:
1.674% 2/13/18	$ 25,503,000		$ 25,713,935
2.315% 2/13/20	51,007,000		51,332,782
3.535% 11/4/24	26,060,000		26,282,422
3.814% 2/10/24	22,007,000		22,866,329
4.5% 10/1/20	9,929,000		10,986,200
4.742% 3/11/21	12,000,000		13,519,272
Canadian Natural Resources Ltd. 1.75% 1/15/18	10,142,000		10,077,568
Cenovus Energy, Inc. 5.7% 10/15/19	26,560,000		29,831,076
Columbia Pipeline Group, Inc.:
2.45% 6/1/18 (d)	4,897,000		4,941,000
3.3% 6/1/20 (d)	17,482,000		17,651,453
4.5% 6/1/25 (d)	7,318,000		7,411,524
5.8% 6/1/45 (d)	9,183,000		9,461,520
ConocoPhillips Co. 5.75% 2/1/19	12,956,000		14,765,539
DCP Midstream Operating LP:
2.5% 12/1/17	11,492,000		11,176,338
2.7% 4/1/19	2,202,000		2,089,185
3.875% 3/15/23	38,871,000		37,096,617
Duke Energy Field Services:
5.375% 10/15/15 (d)	1,706,000		1,720,928
6.45% 11/3/36 (d)	7,882,000		7,721,538
El Paso Corp. 6.5% 9/15/20	21,920,000		25,375,491
El Paso Natural Gas Co. 5.95% 4/15/17	1,304,000		1,399,317
Empresa Nacional de Petroleo 4.375% 10/30/24 (d)	16,015,000		16,451,104
Enable Midstream Partners LP:
2.4% 5/15/19 (d)	6,935,000		6,712,858
3.9% 5/15/24 (d)	7,314,000		6,968,589
Enbridge Energy Partners LP 4.2% 9/15/21	24,752,000		25,850,122
Enterprise Products Operating LP:
2.55% 10/15/19	4,990,000		5,049,591
3.75% 2/15/25	16,764,000		17,020,288
Gulfstream Natural Gas System LLC 6.95% 6/1/16 (d)	9,551,000		10,010,728
Marathon Petroleum Corp. 5.125% 3/1/21	20,728,000		23,069,186
Motiva Enterprises LLC 5.75% 1/15/20 (d)	6,844,000		7,568,410
MPLX LP 4% 2/15/25	3,838,000		3,832,316
Nakilat, Inc. 6.067% 12/31/33 (d)	5,435,000		6,370,717
Petro-Canada 6.05% 5/15/18	2,920,000		3,281,163
Petrobras Global Finance BV:
3% 1/15/19	2,773,000		2,592,616
Nonconvertible Bonds - continued
	Principal Amount		Value
ENERGY - continued
Oil, Gas & Consumable Fuels - continued
Petrobras Global Finance BV: - continued
3.25% 3/17/17	$ 44,873,000		$ 44,355,166
4.375% 5/20/23	69,514,000		62,041,245
4.875% 3/17/20	47,054,000		45,684,258
5.625% 5/20/43	47,507,000		39,112,988
Petrobras International Finance Co. Ltd.:
3.875% 1/27/16	17,613,000		17,683,452
5.375% 1/27/21	81,955,000		79,947,103
5.75% 1/20/20	37,518,000		37,476,730
7.875% 3/15/19	14,377,000		15,473,965
Petroleos Mexicanos:
3.125% 1/23/19	3,563,000		3,626,065
3.5% 7/18/18	34,560,000		35,828,006
3.5% 7/23/20 (d)	22,730,000		23,045,720
3.5% 1/30/23	28,927,000		27,950,714
4.5% 1/23/26 (d)	25,619,000		25,683,048
4.875% 1/24/22	17,019,000		17,891,224
4.875% 1/18/24	25,208,000		26,288,667
5.5% 1/21/21	21,149,000		23,139,332
5.5% 6/27/44	65,642,000		63,935,308
5.625% 1/23/46 (d)	24,828,000		24,539,995
6% 3/5/20	10,740,000		12,134,052
6.375% 1/23/45	22,458,000		24,362,438
6.5% 6/2/41	47,555,000		52,072,725
8% 5/3/19	13,934,000		16,518,757
Phillips 66 Co. 4.3% 4/1/22	21,152,000		22,737,914
Phillips 66 Partners LP 2.646% 2/15/20	2,101,000		2,090,854
Plains All American Pipeline LP/PAA Finance Corp.:
3.65% 6/1/22	23,890,000		24,482,806
3.85% 10/15/23	20,000,000		20,183,540
6.125% 1/15/17	5,000,000		5,364,765
Shell International Finance BV:
3.25% 5/11/25	26,300,000		26,616,994
4.375% 5/11/45	26,300,000		26,769,455
Southwestern Energy Co.:
3.3% 1/23/18	9,962,000		10,241,245
4.05% 1/23/20	18,075,000		18,716,735
Spectra Energy Capital, LLC 5.65% 3/1/20	15,101,000		16,577,244
Spectra Energy Partners, LP:
2.95% 6/15/16	3,790,000		3,856,689
Nonconvertible Bonds - continued
	Principal Amount		Value
ENERGY - continued
Oil, Gas & Consumable Fuels - continued
Spectra Energy Partners, LP: - continued
2.95% 9/25/18	$ 4,862,000		$ 4,999,463
4.6% 6/15/21	4,954,000		5,351,271
Suncor Energy, Inc. 6.1% 6/1/18	9,550,000		10,701,768
The Williams Companies, Inc.:
3.7% 1/15/23	18,174,000		17,704,293
4.55% 6/24/24	86,182,000		88,016,125
Transcontinental Gas Pipe Line Corp. 6.4% 4/15/16	2,800,000		2,925,840
Western Gas Partners LP:
2.6% 8/15/18	26,355,000		26,750,272
5.375% 6/1/21	29,916,000		33,149,830
Williams Partners LP:
4.125% 11/15/20	4,302,000		4,542,882
4.3% 3/4/24	17,006,000		17,397,580
			1,643,485,041
TOTAL ENERGY			1,848,196,141
FINANCIALS - 22.1%
Banks - 9.0%
Banco Nacional de Desenvolvimento Economico e Social 4% 4/14/19 (d)	24,345,000		24,733,303
Bank of America Corp.:
2.25% 4/21/20	30,000,000		29,648,940
2.6% 1/15/19	45,756,000		46,466,911
2.65% 4/1/19	10,784,000		10,972,655
3.3% 1/11/23	63,450,000		63,457,233
3.875% 3/22/17	52,391,000		54,683,683
3.95% 4/21/25	33,300,000		32,928,372
4% 1/22/25	50,000,000		49,729,400
4.1% 7/24/23	26,666,000		27,928,822
4.2% 8/26/24	27,400,000		27,780,120
4.25% 10/22/26	24,664,000		24,767,194
5.65% 5/1/18	16,400,000		18,086,740
5.75% 12/1/17	32,792,000		35,965,315
5.875% 1/5/21	9,805,000		11,310,234
6.5% 8/1/16	11,950,000		12,663,917
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Banks - continued
Bank of America NA:
1.65% 3/26/18	$ 36,584,000		$ 36,583,634
1.75% 6/5/18	130,414,000		130,300,540
5.3% 3/15/17	11,902,000		12,668,060
Barclays Bank PLC 2.5% 2/20/19	14,300,000		14,561,776
Barclays PLC 2.75% 11/8/19	20,644,000		20,864,271
Capital One NA:
1.65% 2/5/18	25,752,000		25,638,047
2.95% 7/23/21	31,087,000		31,119,579
Citigroup, Inc.:
1.3% 11/15/16	40,887,000		40,967,711
1.7% 4/27/18	159,351,000		158,499,110
1.85% 11/24/17	50,965,000		51,294,896
2.4% 2/18/20	81,119,000		80,935,265
2.5% 7/29/19	70,347,000		70,842,524
4.05% 7/30/22	10,740,000		11,181,285
5.3% 5/6/44	45,369,000		48,830,065
5.5% 9/13/25	11,022,000		12,262,846
6.125% 5/15/18	9,716,000		10,877,703
Citizens Financial Group, Inc. 4.15% 9/28/22 (d)	24,215,000		25,035,961
Credit Suisse AG 6% 2/15/18	27,227,000		30,058,989
Credit Suisse Group Funding Guernsey Ltd.:
2.75% 3/26/20 (d)	26,632,000		26,612,559
3.75% 3/26/25 (d)	26,750,000		26,407,199
Discover Bank:
4.2% 8/8/23	35,498,000		36,416,511
7% 4/15/20	9,043,000		10,610,550
8.7% 11/18/19	3,837,000		4,692,824
Fifth Third Bancorp:
4.5% 6/1/18	2,562,000		2,754,711
8.25% 3/1/38	12,528,000		18,223,993
HBOS PLC 6.75% 5/21/18 (d)	4,594,000		5,123,739
HSBC Holdings PLC 4.25% 3/14/24	12,220,000		12,721,289
HSBC U.S.A., Inc. 1.625% 1/16/18	21,531,000		21,610,751
Huntington Bancshares, Inc. 7% 12/15/20	4,459,000		5,329,531
JPMorgan Chase & Co.:
1.625% 5/15/18	26,730,000		26,657,107
2.2% 10/22/19	22,906,000		22,843,146
2.35% 1/28/19	21,611,000		21,867,652
3.15% 7/5/16	25,000,000		25,571,675
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Banks - continued
JPMorgan Chase & Co.: - continued
3.25% 9/23/22	$ 53,888,000		$ 54,418,420
3.875% 9/10/24	58,432,000		58,642,180
4.125% 12/15/26	75,621,000		76,152,691
4.25% 10/15/20	40,500,000		43,866,644
4.35% 8/15/21	62,606,000		67,903,156
4.625% 5/10/21	10,326,000		11,364,228
4.95% 3/25/20	8,235,000		9,171,295
JPMorgan Chase Bank 6% 10/1/17	6,068,000		6,681,062
KeyBank NA:
1.65% 2/1/18	16,646,000		16,693,408
5.45% 3/3/16	10,925,000		11,293,904
6.95% 2/1/28	3,200,000		4,196,970
Marshall & Ilsley Bank:
4.85% 6/16/15	7,539,000		7,550,633
5% 1/17/17	25,252,000		26,571,164
Regions Bank:
6.45% 6/26/37	40,184,000		49,028,498
7.5% 5/15/18	55,802,000		64,359,460
Regions Financial Corp.:
2% 5/15/18	28,255,000		28,254,802
5.75% 6/15/15	3,253,000		3,258,494
Royal Bank of Scotland Group PLC:
5.125% 5/28/24	45,938,000		47,158,940
6% 12/19/23	30,612,000		33,165,775
6.1% 6/10/23	35,599,000		38,740,576
6.125% 12/15/22	49,538,000		54,539,456
Wachovia Bank NA 6% 11/15/17	6,320,000		7,006,049
Wachovia Corp.:
5.75% 6/15/17	2,050,000		2,237,788
5.75% 2/1/18	4,000,000		4,444,528
Wells Fargo & Co.:
1.25% 7/20/16	34,000,000		34,121,142
3.676% 6/15/16	26,564,000		27,339,828
4.48% 1/16/24	16,709,000		17,933,285
			2,357,182,714
Capital Markets - 4.2%
Affiliated Managers Group, Inc.:
3.5% 8/1/25	28,809,000		28,400,834
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Capital Markets - continued
Affiliated Managers Group, Inc.: - continued
4.25% 2/15/24	$ 21,448,000		$ 22,532,904
Deutsche Bank AG 4.5% 4/1/25	53,311,000		52,033,882
Deutsche Bank AG London Branch 1.875% 2/13/18	51,007,000		51,106,566
Goldman Sachs Group, Inc.:
1.748% 9/15/17	80,000,000		79,903,200
2.55% 10/23/19	24,803,000		24,950,776
2.6% 4/23/20	20,000,000		20,053,140
2.625% 1/31/19	94,162,000		95,939,967
2.9% 7/19/18	39,857,000		41,024,372
3.75% 5/22/25	52,050,000		52,440,011
3.85% 7/8/24	25,000,000		25,473,975
5.25% 7/27/21	17,979,000		20,276,896
5.95% 1/18/18	9,760,000		10,788,392
6% 6/15/20	16,000,000		18,460,400
6.15% 4/1/18	10,942,000		12,209,631
Lazard Group LLC:
4.25% 11/14/20	20,221,000		21,460,507
6.85% 6/15/17	1,877,000		2,058,436
Merrill Lynch & Co., Inc. 6.875% 4/25/18	9,961,000		11,343,886
Morgan Stanley:
1.875% 1/5/18	25,133,000		25,230,968
2.125% 4/25/18	26,580,000		26,788,547
2.375% 7/23/19	71,117,000		71,463,198
3.7% 10/23/24	61,950,000		62,992,371
3.75% 2/25/23	29,016,000		29,903,251
3.875% 4/29/24	50,000,000		51,392,050
4.1% 5/22/23	20,000,000		20,508,760
4.875% 11/1/22	39,633,000		42,698,256
5% 11/24/25	6,349,000		6,832,730
5.45% 1/9/17	27,643,000		29,393,189
5.625% 9/23/19	16,919,000		19,129,670
5.75% 1/25/21	26,624,000		30,726,093
6.625% 4/1/18	9,869,000		11,164,060
7.3% 5/13/19	22,127,000		26,219,765
UBS AG Stamford Branch:
1.375% 6/1/17	19,567,000		19,506,734
1.8% 3/26/18	39,521,000		39,542,144
			1,103,949,561
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Consumer Finance - 1.6%
Discover Financial Services:
3.75% 3/4/25	$ 20,000,000		$ 19,538,580
3.85% 11/21/22	38,277,000		39,017,239
3.95% 11/6/24	16,412,000		16,470,952
5.2% 4/27/22	16,852,000		18,434,605
6.45% 6/12/17	16,773,000		18,347,901
Ford Motor Credit Co. LLC:
1.5% 1/17/17	17,207,000		17,224,173
1.7% 5/9/16	41,347,000		41,582,554
2.875% 10/1/18	27,070,000		27,722,820
General Electric Capital Corp.:
1% 12/11/15	19,830,000		19,888,380
2.95% 5/9/16	5,375,000		5,494,223
3.5% 6/29/15	5,553,000		5,566,588
4.625% 1/7/21	21,916,000		24,514,032
4.65% 10/17/21	8,866,000		9,959,160
5.625% 9/15/17	3,505,000		3,849,699
5.625% 5/1/18	10,000,000		11,182,670
6% 8/7/19	22,000,000		25,566,266
Hyundai Capital America:
1.45% 2/6/17 (d)	29,291,000		29,260,772
1.625% 10/2/15 (d)	21,346,000		21,395,672
1.875% 8/9/16 (d)	7,052,000		7,116,074
2.125% 10/2/17 (d)	8,655,000		8,746,103
2.875% 8/9/18 (d)	12,509,000		12,921,034
Synchrony Financial:
1.875% 8/15/17	5,478,000		5,497,573
3% 8/15/19	8,044,000		8,187,425
3.75% 8/15/21	12,146,000		12,442,156
4.25% 8/15/24	12,226,000		12,511,269
			422,437,920
Diversified Financial Services - 0.3%
Brixmor Operating Partnership LP 3.85% 2/1/25	22,346,000		22,152,819
General Electric Capital Corp. 5.3% 2/11/21	19,600,000		22,536,609
ING U.S., Inc. 5.5% 7/15/22	17,487,000		19,982,675
			64,672,103
Insurance - 2.5%
AIA Group Ltd. 2.25% 3/11/19 (d)	5,074,000		5,070,788
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Insurance - continued
American International Group, Inc.:
2.3% 7/16/19	$ 10,789,000		$ 10,857,122
3.875% 1/15/35	29,736,000		28,001,261
4.875% 6/1/22	8,077,000		9,000,258
5.6% 10/18/16	24,154,000		25,588,458
Aon Corp.:
3.125% 5/27/16	20,350,000		20,791,371
3.5% 9/30/15	6,878,000		6,941,683
5% 9/30/20	5,687,000		6,337,235
Five Corners Funding Trust 4.419% 11/15/23 (d)	24,590,000		25,866,270
Great-West Life & Annuity Insurance Co. 7.153% 5/16/46 (d)(h)	11,133,000		11,244,330
Hartford Financial Services Group, Inc.:
5.125% 4/15/22	27,603,000		30,945,502
5.375% 3/15/17	546,000		584,962
Liberty Mutual Group, Inc.:
5% 6/1/21 (d)	23,174,000		25,484,865
6.7% 8/15/16 (d)	6,494,000		6,919,552
Marsh & McLennan Companies, Inc. 4.8% 7/15/21	13,119,000		14,619,040
Massachusetts Mutual Life Insurance Co.:
4.5% 4/15/65 (d)	49,265,000		45,611,902
5.375% 12/1/41 (d)	6,352,000		7,238,047
MetLife, Inc.:
1.903% 12/15/17	5,102,000		5,135,362
3.048% 12/15/22	21,302,000		21,416,669
4.368% 9/15/23	23,681,000		25,564,634
4.75% 2/8/21	6,004,000		6,752,014
6.75% 6/1/16	9,220,000		9,753,976
Metropolitan Life Global Funding I:
1.875% 6/22/18 (d)	22,959,000		23,173,644
3% 1/10/23 (d)	15,204,000		15,205,824
Pacific Life Insurance Co. 9.25% 6/15/39 (d)	11,401,000		17,226,432
Pacific LifeCorp:
5.125% 1/30/43 (d)	30,812,000		33,081,458
6% 2/10/20 (d)	17,699,000		20,143,604
Pricoa Global Funding I 1.6% 5/29/18 (d)	4,564,000		4,564,735
Prudential Financial, Inc.:
2.3% 8/15/18	3,901,000		3,968,651
4.5% 11/16/21	12,469,000		13,716,237
4.75% 9/17/15	13,500,000		13,660,502
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Insurance - continued
Prudential Financial, Inc.: - continued
5.375% 5/15/45 (h)	$ 27,275,000		$ 27,462,516
7.375% 6/15/19	3,820,000		4,577,177
Symetra Financial Corp. 6.125% 4/1/16 (d)	11,250,000		11,624,693
Teachers Insurance & Annuity Association of America 4.9% 9/15/44 (d)	29,603,000		31,549,249
TIAA Asset Management Finance LLC:
2.95% 11/1/19 (d)	7,063,000		7,194,633
4.125% 11/1/24 (d)	10,239,000		10,587,710
Unum Group:
5.625% 9/15/20	18,528,000		21,019,460
5.75% 8/15/42	30,555,000		34,993,144
7.125% 9/30/16	1,654,000		1,778,507
			645,253,477
Real Estate Investment Trusts - 2.4%
Alexandria Real Estate Equities, Inc.:
2.75% 1/15/20	4,816,000		4,809,527
4.6% 4/1/22	6,540,000		6,963,916
American Campus Communities Operating Partnership LP 3.75% 4/15/23	7,324,000		7,363,616
AvalonBay Communities, Inc.:
3.625% 10/1/20	12,415,000		13,094,870
4.2% 12/15/23	20,000,000		21,403,620
Boston Properties, Inc. 3.85% 2/1/23	27,063,000		28,328,358
Camden Property Trust:
2.95% 12/15/22	9,284,000		9,076,066
4.25% 1/15/24	20,255,000		21,411,966
DDR Corp.:
3.625% 2/1/25	12,010,000		11,766,629
4.625% 7/15/22	16,238,000		17,387,602
4.75% 4/15/18	21,321,000		22,792,170
7.5% 4/1/17	9,638,000		10,630,994
9.625% 3/15/16	7,551,000		8,050,385
Duke Realty LP:
3.625% 4/15/23	22,930,000		23,177,277
3.75% 12/1/24	9,068,000		9,204,428
3.875% 10/15/22	20,422,000		21,105,626
4.375% 6/15/22	13,477,000		14,290,526
5.5% 3/1/16	10,207,000		10,541,228
5.95% 2/15/17	828,000		890,247
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Real Estate Investment Trusts - continued
Duke Realty LP: - continued
6.5% 1/15/18	$ 12,019,000		$ 13,487,493
6.75% 3/15/20	1,066,000		1,255,233
8.25% 8/15/19	5,060,000		6,184,059
Equity One, Inc.:
3.75% 11/15/22	30,646,000		30,718,110
6% 9/15/17	4,090,000		4,457,335
6.25% 1/15/17	3,237,000		3,470,420
Equity Residential 5.125% 3/15/16	8,850,000		9,145,395
ERP Operating LP:
2.375% 7/1/19	14,895,000		15,050,683
4.625% 12/15/21	31,142,000		34,355,948
4.75% 7/15/20	31,427,000		34,946,070
5.375% 8/1/16	4,428,000		4,655,130
5.75% 6/15/17	24,188,000		26,334,709
Federal Realty Investment Trust 5.9% 4/1/20	3,969,000		4,581,012
HCP, Inc. 3.75% 2/1/16	14,496,000		14,762,248
Health Care REIT, Inc.:
2.25% 3/15/18	10,222,000		10,354,538
4.7% 9/15/17	3,736,000		3,991,770
HRPT Properties Trust:
6.25% 6/15/17	861,000		916,663
6.65% 1/15/18	3,483,000		3,758,098
Lexington Corporate Properties Trust 4.4% 6/15/24	7,941,000		8,100,042
Omega Healthcare Investors, Inc.:
4.5% 1/15/25 (d)	7,527,000		7,521,430
4.5% 4/1/27 (d)	73,646,000		72,328,473
4.95% 4/1/24	7,519,000		7,838,843
Retail Opportunity Investments Partnership LP:
4% 12/15/24	5,631,000		5,664,685
5% 12/15/23	4,225,000		4,533,488
Simon Property Group LP 4.125% 12/1/21	13,242,000		14,481,504
Weingarten Realty Investors 3.375% 10/15/22	4,634,000		4,566,126
WP Carey, Inc. 4% 2/1/25	30,215,000		29,391,279
			639,139,835
Real Estate Management & Development - 2.1%
BioMed Realty LP:
2.625% 5/1/19	12,739,000		12,789,714
3.85% 4/15/16	27,899,000		28,483,568
4.25% 7/15/22	10,332,000		10,706,866
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Real Estate Management & Development - continued
BioMed Realty LP: - continued
6.125% 4/15/20	$ 5,563,000		$ 6,346,982
Brandywine Operating Partnership LP:
3.95% 2/15/23	24,708,000		24,854,148
4.1% 10/1/24	24,424,000		24,566,074
4.55% 10/1/29	22,620,000		23,049,147
4.95% 4/15/18	19,325,000		20,713,153
5.7% 5/1/17	6,890,000		7,378,735
6% 4/1/16	6,664,000		6,922,317
Digital Realty Trust LP 5.25% 3/15/21	10,656,000		11,811,867
Essex Portfolio LP 5.5% 3/15/17	8,105,000		8,687,741
Liberty Property LP:
3.375% 6/15/23	12,723,000		12,469,990
3.75% 4/1/25	17,751,000		17,645,133
4.125% 6/15/22	11,558,000		11,978,434
4.4% 2/15/24	32,513,000		34,096,936
4.75% 10/1/20	17,245,000		18,721,224
5.5% 12/15/16	4,865,000		5,150,804
6.625% 10/1/17	12,549,000		13,890,413
Mack-Cali Realty LP:
2.5% 12/15/17	17,302,000		17,374,928
3.15% 5/15/23	41,165,000		36,913,149
4.5% 4/18/22	7,126,000		7,121,446
7.75% 8/15/19	2,973,000		3,445,835
Mid-America Apartments LP:
4.3% 10/15/23	5,535,000		5,812,547
5.5% 10/1/15	12,454,000		12,638,170
6.05% 9/1/16	3,862,000		4,078,616
Post Apartment Homes LP 3.375% 12/1/22	4,560,000		4,499,626
Prime Property Funding, Inc. 5.7% 4/15/17 (d)	2,366,000		2,501,309
Reckson Operating Partnership LP 6% 3/31/16	8,396,000		8,728,935
Regency Centers LP:
5.25% 8/1/15	10,361,000		10,435,786
5.875% 6/15/17	4,455,000		4,841,779
Tanger Properties LP:
3.75% 12/1/24	17,037,000		17,179,549
3.875% 12/1/23	10,722,000		10,998,317
6.125% 6/1/20	24,577,000		28,355,665
Ventas Realty LP:
1.55% 9/26/16	18,423,000		18,535,030
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Real Estate Management & Development - continued
Ventas Realty LP: - continued
3.5% 2/1/25	$ 7,197,000		$ 7,070,340
Ventas Realty LP/Ventas Capital Corp.:
2% 2/15/18	15,576,000		15,722,944
4% 4/30/19	8,644,000		9,187,855
Washington Prime Group LP 3.85% 4/1/20 (d)	20,000,000		20,292,746
			545,997,818
TOTAL FINANCIALS			5,778,633,428
HEALTH CARE - 2.1%
Biotechnology - 0.2%
Amgen, Inc.:
1.25% 5/22/17	23,000,000		22,985,602
2.2% 5/22/19	24,334,000		24,450,901
			47,436,503
Health Care Equipment & Supplies - 0.0%
Becton, Dickinson & Co. 2.675% 12/15/19	7,549,000		7,663,390
Health Care Providers & Services - 0.3%
Express Scripts Holding Co. 4.75% 11/15/21	36,410,000		40,265,200
Medco Health Solutions, Inc.:
2.75% 9/15/15	3,314,000		3,333,410
4.125% 9/15/20	11,062,000		11,894,792
UnitedHealth Group, Inc. 2.75% 2/15/23	4,066,000		4,060,877
WellPoint, Inc. 3.3% 1/15/23	21,022,000		21,052,524
			80,606,803
Life Sciences Tools & Services - 0.1%
Thermo Fisher Scientific, Inc.:
1.3% 2/1/17	6,468,000		6,466,674
2.4% 2/1/19	4,078,000		4,106,362
4.15% 2/1/24	6,266,000		6,566,123
			17,139,159
Pharmaceuticals - 1.5%
AbbVie, Inc.:
1.75% 11/6/17	24,562,000		24,647,893
2.9% 11/6/22	25,191,000		24,763,534
3.6% 5/14/25	37,733,000		37,955,134
4.5% 5/14/35	36,362,000		36,461,123
Nonconvertible Bonds - continued
	Principal Amount		Value
HEALTH CARE - continued
Pharmaceuticals - continued
AbbVie, Inc.: - continued
4.7% 5/14/45	$ 36,299,000		$ 36,712,083
Actavis Funding SCS:
3% 3/12/20	22,207,000		22,487,852
3.45% 3/15/22	25,461,000		25,645,949
3.8% 3/15/25	24,687,000		24,808,509
4.75% 3/15/45	24,278,000		23,919,535
Bayer U.S. Finance LLC:
2.375% 10/8/19 (d)	17,401,000		17,627,004
3% 10/8/21 (d)	12,703,000		12,952,843
3.375% 10/8/24 (d)	5,667,000		5,747,352
Mylan, Inc. 1.35% 11/29/16	8,049,000		8,042,826
Perrigo Co. PLC:
1.3% 11/8/16	7,040,000		7,034,790
2.3% 11/8/18	7,532,000		7,571,581
Perrigo Finance PLC:
3.5% 12/15/21	6,081,000		6,205,454
3.9% 12/15/24	9,061,000		9,225,339
4.9% 12/15/44	3,975,000		4,000,337
Pfizer, Inc. 6.2% 3/15/19	10,000,000		11,569,840
Watson Pharmaceuticals, Inc. 1.875% 10/1/17	8,155,000		8,176,741
Zoetis, Inc.:
1.875% 2/1/18	3,884,000		3,883,452
3.25% 2/1/23	33,171,000		32,457,525
			391,896,696
TOTAL HEALTH CARE			544,742,551
INDUSTRIALS - 0.6%
Aerospace & Defense - 0.1%
BAE Systems Holdings, Inc.:
3.8% 10/7/24 (d)	15,580,000		16,058,477
6.375% 6/1/19 (d)	9,485,000		10,924,320
			26,982,797
Airlines - 0.1%
Continental Airlines, Inc.:
6.545% 8/2/20	718,654		779,740
6.648% 3/15/19	1,057,274		1,096,182
6.795% 2/2/20	100,378		106,149
6.9% 7/2/19	451,064		475,286
Nonconvertible Bonds - continued
	Principal Amount		Value
INDUSTRIALS - continued
Airlines - continued
U.S. Airways pass-thru trust certificates:
6.85% 1/30/18	$ 2,962,620		$ 3,136,674
8.36% 1/20/19	5,751,371		6,225,859
			11,819,890
Industrial Conglomerates - 0.0%
General Electric Co. 5.25% 12/6/17	8,512,000		9,345,265
Trading Companies & Distributors - 0.4%
Air Lease Corp.:
2.125% 1/15/18	11,932,000		11,857,425
3.75% 2/1/22	25,484,000		25,677,780
3.875% 4/1/21	22,238,000		22,905,140
4.25% 9/15/24	19,743,000		19,989,788
4.75% 3/1/20	19,421,000		20,731,918
			101,162,051
Transportation Infrastructure - 0.0%
BNSF Funding Trust I 6.613% 12/15/55 (h)	2,599,000		2,975,855
TOTAL INDUSTRIALS			152,285,858
INFORMATION TECHNOLOGY - 0.3%
Electronic Equipment & Components - 0.1%
Amphenol Corp. 3.125% 9/15/21	7,717,000		7,831,960
Tyco Electronics Group SA:
2.375% 12/17/18	4,946,000		5,024,216
6.55% 10/1/17	3,075,000		3,427,180
			16,283,356
Technology Hardware, Storage & Peripherals - 0.2%
Apple, Inc.:
3.2% 5/13/25	26,300,000		26,527,890
4.375% 5/13/45	26,300,000		26,502,799
			53,030,689
TOTAL INFORMATION TECHNOLOGY			69,314,045
Nonconvertible Bonds - continued
	Principal Amount		Value
MATERIALS - 0.5%
Chemicals - 0.1%
The Dow Chemical Co.:
4.125% 11/15/21	$ 19,768,000		$ 21,132,546
4.25% 11/15/20	10,672,000		11,543,902
			32,676,448
Metals & Mining - 0.4%
Corporacion Nacional del Cobre de Chile (Codelco):
3.875% 11/3/21 (d)	22,911,000		24,060,193
4.875% 11/4/44 (d)	12,375,000		12,487,922
Freeport-McMoRan, Inc. 2.3% 11/14/17	16,405,000		16,427,344
Rio Tinto Finance (U.S.A.) PLC 2.25% 12/14/18	27,416,000		27,693,532
Vale Overseas Ltd.:
4.375% 1/11/22	22,000,000		21,620,060
6.25% 1/23/17	3,240,000		3,452,641
			105,741,692
TOTAL MATERIALS			138,418,140
TELECOMMUNICATION SERVICES - 2.9%
Diversified Telecommunication Services - 2.7%
AT&T, Inc.:
2.45% 6/30/20	18,005,000		17,820,917
3% 6/30/22	46,645,000		45,856,093
3.4% 5/15/25	51,500,000		49,896,445
4.75% 5/15/46	49,954,000		47,328,368
4.8% 6/15/44	13,400,000		12,699,703
6.3% 1/15/38	40,737,000		46,248,472
BellSouth Capital Funding Corp. 7.875% 2/15/30	193,000		245,395
CenturyLink, Inc.:
5.15% 6/15/17	1,983,000		2,067,278
6% 4/1/17	4,959,000		5,268,938
6.15% 9/15/19	12,036,000		12,998,880
Embarq Corp.:
7.082% 6/1/16	16,472,000		17,358,144
7.995% 6/1/36	7,935,000		9,105,413
Verizon Communications, Inc.:
1.35% 6/9/17	35,777,000		35,754,139
2.625% 2/21/20	36,216,000		36,494,646
4.5% 9/15/20	64,976,000		70,827,479
5.012% 8/21/54	134,559,000		127,252,043
6.35% 4/1/19	7,155,000		8,238,832
Nonconvertible Bonds - continued
	Principal Amount		Value
TELECOMMUNICATION SERVICES - continued
Diversified Telecommunication Services - continued
Verizon Communications, Inc.: - continued
6.4% 9/15/33	$ 26,916,000		$ 31,760,880
6.55% 9/15/43	109,182,000		132,017,415
			709,239,480
Wireless Telecommunication Services - 0.2%
America Movil S.A.B. de CV:
2.375% 9/8/16	29,726,000		30,172,187
3.125% 7/16/22	16,205,000		16,275,492
			46,447,679
TOTAL TELECOMMUNICATION SERVICES			755,687,159
UTILITIES - 3.3%
Electric Utilities - 1.9%
AmerenUE 6.4% 6/15/17	5,870,000		6,492,308
American Electric Power Co., Inc.:
1.65% 12/15/17	10,104,000		10,125,259
2.95% 12/15/22	9,568,000		9,492,537
American Transmission Systems, Inc. 5% 9/1/44 (d)	8,694,000		9,290,148
Dayton Power & Light Co. 1.875% 9/15/16	9,233,000		9,321,249
Duquesne Light Holdings, Inc.:
5.9% 12/1/21 (d)	15,117,000		17,550,247
6.4% 9/15/20 (d)	34,900,000		40,989,701
Edison International 3.75% 9/15/17	9,811,000		10,342,580
Eversource Energy:
1.45% 5/1/18	7,067,000		7,030,930
2.8% 5/1/23	32,099,000		31,399,081
FirstEnergy Corp.:
2.75% 3/15/18	55,449,000		56,536,189
4.25% 3/15/23	66,372,000		68,233,270
7.375% 11/15/31	30,718,000		38,519,235
FirstEnergy Solutions Corp. 6.05% 8/15/21	48,231,000		53,245,095
LG&E and KU Energy LLC:
2.125% 11/15/15	11,341,000		11,396,968
3.75% 11/15/20	2,232,000		2,358,282
Nevada Power Co. 6.5% 5/15/18	15,159,000		17,314,382
NV Energy, Inc. 6.25% 11/15/20	7,075,000		8,301,409
Pennsylvania Electric Co. 6.05% 9/1/17	4,822,000		5,281,599
Pepco Holdings, Inc. 2.7% 10/1/15	10,408,000		10,450,100
PPL Capital Funding, Inc. 3.4% 6/1/23	15,470,000		15,630,316
Nonconvertible Bonds - continued
	Principal Amount		Value
UTILITIES - continued
Electric Utilities - continued
Progress Energy, Inc. 4.4% 1/15/21	$ 40,776,000		$ 44,322,370
TECO Finance, Inc.:
4% 3/15/16	9,634,000		9,881,122
5.15% 3/15/20	11,097,000		12,459,967
			505,964,344
Gas Utilities - 0.1%
Southern Natural Gas Co. 5.9% 4/1/17 (d)	2,827,000		3,025,594
Southern Natural Gas Co./Southern Natural Issuing Corp. 4.4% 6/15/21	6,702,000		6,986,694
Texas Eastern Transmission LP 6% 9/15/17 (d)	12,691,000		13,913,042
			23,925,330
Multi-Utilities - 1.3%
Dominion Resources, Inc.:
2.5731% 9/30/66 (h)	66,502,000		61,181,042
7.5% 6/30/66 (h)	7,991,000		8,070,910
MidAmerican Energy Holdings, Co.:
1.1% 5/15/17	37,668,000		37,644,608
2% 11/15/18	29,001,000		29,313,022
NiSource Finance Corp.:
5.25% 2/15/43	23,297,000		25,869,408
5.45% 9/15/20	21,013,000		24,050,198
5.8% 2/1/42	11,523,000		13,869,763
5.95% 6/15/41	21,763,000		26,453,492
6.4% 3/15/18	4,848,000		5,480,271
6.8% 1/15/19	6,774,000		7,876,672
PG&E Corp. 2.4% 3/1/19	3,334,000		3,368,947
Puget Energy, Inc.:
6% 9/1/21	26,400,000		30,833,378
6.5% 12/15/20	8,451,000		10,052,583
Sempra Energy:
2.3% 4/1/17	24,264,000		24,726,205
2.875% 10/1/22	9,886,000		9,806,329
Wisconsin Energy Corp. 6.25% 5/15/67 (h)	13,102,000		12,627,053
			331,223,881
TOTAL UTILITIES			861,113,555
TOTAL NONCONVERTIBLE BONDS (Cost $10,948,227,498)		11,315,350,487
U.S. Government and Government Agency Obligations - 24.2%
	Principal Amount		Value
U.S. Treasury Inflation-Protected Obligations - 3.0%
U.S. Treasury Inflation-Indexed Bonds:
0.75% 2/15/45	$ 130,211,921		$ 123,873,778
1.375% 2/15/44	259,644,956		287,676,057
U.S. Treasury Inflation-Indexed Notes:
0.125% 7/15/24	358,645,000		352,676,419
0.25% 1/15/25	25,000,000		24,805,105
TOTAL U.S. TREASURY INFLATION-PROTECTED OBLIGATIONS			789,031,359
U.S. Treasury Obligations - 21.2%
U.S. Treasury Bonds 3% 5/15/45	752,081,000		770,295,650
U.S. Treasury Notes:
0.75% 2/28/18	122,700,000		122,278,157
0.875% 10/15/17	816,830,000		819,126,926
0.875% 1/31/18	582,288,000		582,651,930
1% 5/15/18 (c)	1,245,283,000		1,247,812,155
1% 5/31/18	158,315,000		158,512,894
1.25% 10/31/18	745,606,000		749,159,558
1.375% 7/31/18	526,209,000		532,087,807
1.375% 9/30/18	86,771,000		87,618,406
1.375% 4/30/20 (c)	177,020,000		176,134,900
1.5% 12/31/18	80,651,000		81,633,974
2% 2/15/25 (c)	199,850,000		197,867,088
TOTAL U.S. TREASURY OBLIGATIONS			5,525,179,445
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $6,290,609,878)		6,314,210,804
U.S. Government Agency - Mortgage Securities - 21.9%

Fannie Mae - 13.6%
1.75% 10/1/34 (h)	9,027		9,414
1.85% 10/1/33 (h)	99,430		103,457
1.865% 10/1/35 (h)	47,387		50,022
1.88% 1/1/35 (h)	708,986		744,113
1.88% 1/1/35 (h)	6,911		7,207
1.885% 2/1/33 (h)	58,249		60,659
U.S. Government Agency - Mortgage Securities - continued
	Principal Amount		Value
Fannie Mae - continued
1.91% 12/1/34 (h)	$ 210,010		$ 219,221
1.91% 3/1/35 (h)	138,115		144,207
1.93% 10/1/33 (h)	74,714		77,993
1.94% 7/1/35 (h)	74,984		78,981
2.045% 1/1/35 (h)	482,420		507,780
2.05% 3/1/35 (h)	18,694		19,330
2.053% 6/1/36 (h)	293,350		313,657
2.058% 4/1/37 (h)	268,628		285,087
2.094% 5/1/36 (h)	402,003		425,480
2.105% 7/1/34 (h)	138,630		146,952
2.115% 12/1/34 (h)	30,648		32,287
2.14% 9/1/36 (h)	176,150		188,865
2.142% 9/1/36 (h)	227,460		243,880
2.19% 3/1/37 (h)	56,890		60,350
2.22% 5/1/35 (h)	611,535		649,968
2.232% 3/1/33 (h)	241,168		254,632
2.27% 6/1/47 (h)	320,580		343,722
2.271% 3/1/40 (h)	1,127,256		1,204,016
2.274% 11/1/36 (h)	743,209		791,775
2.31% 12/1/39 (h)	660,328		707,137
2.318% 7/1/35 (h)	431,489		458,696
2.335% 9/1/35 (h)	286,369		307,042
2.372% 5/1/36 (h)	476,309		508,859
2.389% 7/1/37 (h)	285,086		305,665
2.391% 12/1/33 (h)	2,109,836		2,262,141
2.421% 10/1/33 (h)	306,181		327,434
2.432% 6/1/36 (h)	953,050		1,020,366
2.457% 9/1/36 (h)	853,970		915,616
2.458% 3/1/35 (h)	208,126		223,150
2.5% 3/1/27 to 8/1/43	261,377,183		266,034,464
2.53% 9/1/37 (h)	69,729		74,762
2.542% 6/1/42 (h)	3,594,842		3,729,203
2.585% 7/1/34 (h)	535,391		574,040
2.6% 5/1/35 (h)	178,580		191,472
2.691% 2/1/42 (h)	3,825,365		3,983,387
2.765% 1/1/42 (h)	3,429,495		3,576,140
2.96% 11/1/40 (h)	2,094,790		2,202,738
2.982% 9/1/41 (h)	2,486,363		2,611,798
2.992% 8/1/41 (h)	3,012,261		3,135,927
3% 4/1/42 to 9/1/43	335,440,639		340,845,698
3% 6/1/45 (e)	14,400,000		14,584,499
U.S. Government Agency - Mortgage Securities - continued
	Principal Amount		Value
Fannie Mae - continued
3% 6/1/45	$ 255,700,000		$ 258,976,131
3% 6/1/45	64,200,000		65,022,556
3% 6/1/45	128,300,000		129,943,831
3% 6/1/45	63,200,000		64,009,744
3% 6/1/45	39,200,000		39,702,246
3% 6/1/45	14,400,000		14,584,499
3% 6/1/45	15,400,000		15,597,311
3% 6/1/45	22,200,000		22,484,435
3% 6/1/45	46,214,000		46,806,112
3% 6/1/45	45,686,000		46,271,347
3.059% 10/1/41 (h)	990,448		1,029,216
3.237% 7/1/41 (h)	3,954,923		4,193,907
3.308% 10/1/41 (h)	1,999,435		2,107,144
3.357% 9/1/41 (h)	863,033		925,334
3.461% 12/1/40 (h)	34,464,087		36,671,578
3.5% 9/1/25 to 7/1/44	607,005,280		636,982,429
3.5% 6/1/30 (e)	1,200,000		1,272,622
3.5% 6/1/45 (e)	44,600,000		46,579,121
3.5% 6/1/45 (e)	38,400,000		40,103,996
3.5% 6/1/45 (e)	47,300,000		49,398,933
3.5% 7/1/45 (e)	47,300,000		49,260,367
3.5% 7/1/45 (e)	38,400,000		39,991,503
3.5% 7/1/45 (e)	44,600,000		46,448,465
3.554% 7/1/41 (h)	4,021,586		4,270,450
4% 9/1/24 to 1/1/44	419,974,099		451,501,897
4% 6/1/45 (e)	124,800,000		133,243,494
4% 6/1/45 (e)	75,100,000		80,180,981
4.5% 4/1/21 to 2/1/45	284,476,597		310,330,692
4.5% 6/1/45 (e)	4,700,000		5,109,781
4.5% 6/1/45	21,800,000		23,700,688
5% 3/1/18 to 1/1/40	8,309,515		9,238,109
5.204% 7/1/37 (h)	85,765		91,769
5.5% 10/1/17 to 3/1/41	114,562,567		129,410,052
5.565% 8/1/46 (h)	79,299		84,787
6% 2/1/17 to 1/1/42	55,573,112		63,701,018
6.5% 8/1/15 to 4/1/37	25,288,511		29,338,525
7% 12/1/15 to 7/1/37	4,238,739		4,937,592
7.5% 1/1/16 to 2/1/32	1,844,578		2,175,780
8% 12/1/17 to 3/1/37	31,965		38,611
8.5% 9/1/15 to 7/1/31	15,538		18,512
U.S. Government Agency - Mortgage Securities - continued
	Principal Amount		Value
Fannie Mae - continued
9.5% 4/1/16 to 2/1/25	$ 47,558		$ 52,121
10.5% 8/1/20	2,063		2,298
TOTAL FANNIE MAE			3,561,333,273
Freddie Mac - 3.5%
1.5% 8/1/37 (h)	81,051		83,635
1.82% 3/1/35 (h)	244,240		253,898
1.825% 3/1/37 (h)	39,280		41,083
1.852% 1/1/36 (h)	209,551		220,981
1.914% 3/1/36 (h)	556,221		582,759
1.981% 12/1/35 (h)	600,317		633,522
2.022% 2/1/37 (h)	408,459		428,899
2.03% 4/1/35 (h)	827,168		867,743
2.05% 6/1/37 (h)	67,223		70,697
2.055% 11/1/35 (h)	517,704		550,809
2.095% 8/1/37 (h)	172,298		182,210
2.105% 3/1/36 (h)	497,046		523,569
2.121% 5/1/37 (h)	166,576		177,976
2.182% 6/1/33 (h)	571,794		604,675
2.333% 4/1/37 (h)	208,861		223,938
2.346% 10/1/36 (h)	857,811		917,197
2.351% 10/1/35 (h)	303,822		322,019
2.364% 4/1/36 (h)	539,406		576,752
2.373% 1/1/35 (h)	44,500		47,712
2.375% 5/1/37 (h)	157,845		169,100
2.385% 6/1/37 (h)	71,000		76,125
2.402% 10/1/42 (h)	4,306,495		4,543,193
2.415% 6/1/37 (h)	616,769		661,293
2.42% 6/1/36 (h)	154,179		165,309
2.442% 6/1/33 (h)	1,812,386		1,943,219
2.448% 6/1/37 (h)	128,662		136,910
2.545% 7/1/36 (h)	193,095		207,034
2.548% 3/1/35 (h)	2,666,440		2,858,925
2.595% 4/1/37 (h)	18,936		20,303
2.723% 3/1/33 (h)	23,324		25,007
2.757% 12/1/36 (h)	704,864		755,747
2.776% 11/1/35 (h)	264,467		283,558
3% 8/1/42 to 7/1/43	88,909,319		90,302,904
3.08% 9/1/41 (h)	4,994,365		5,231,567
3.115% 10/1/35 (h)	342,934		367,690
U.S. Government Agency - Mortgage Securities - continued
	Principal Amount		Value
Freddie Mac - continued
3.231% 9/1/41 (h)	$ 2,389,678		$ 2,510,541
3.242% 4/1/41 (h)	2,535,554		2,676,229
3.296% 6/1/41 (h)	2,855,394		3,024,572
3.299% 7/1/41 (h)	2,601,925		2,741,185
3.422% 12/1/40 (h)	18,207,603		19,259,821
3.47% 5/1/41 (h)	2,732,053		2,883,906
3.5% 10/1/41 to 11/1/44 (f)	231,232,007		241,957,283
3.622% 6/1/41 (h)	3,936,153		4,180,544
3.705% 5/1/41 (h)	3,434,752		3,650,578
4% 7/1/24 to 8/1/44	211,520,402		227,567,637
4.5% 6/1/25 to 8/1/44 (g)	98,824,694		108,306,429
5% 3/1/19 to 7/1/41	83,497,903		93,548,878
5.141% 4/1/38 (h)	731,967		783,205
5.5% 10/1/17 to 4/1/41	37,433,670		42,193,463
6% 7/1/16 to 12/1/37	7,981,632		9,096,707
6.5% 7/1/15 to 9/1/39	13,661,191		15,707,671
7% 6/1/21 to 9/1/36	3,870,733		4,526,408
7.5% 6/1/15 to 1/1/33	100,577		118,238
8% 7/1/16 to 1/1/37	120,561		146,170
8.5% 5/1/17 to 1/1/28	122,970		146,844
9% 5/1/17 to 10/1/20	466		494
9.5% 5/1/21 to 7/1/21	1,301		1,430
10% 11/15/18 to 8/1/21	512		563
11% 11/1/15 to 9/1/20	618		636
12.5% 6/1/19	3		3
TOTAL FREDDIE MAC			900,087,393
Ginnie Mae - 4.8%
3% 4/15/42 to 5/15/45	141,084,794		144,649,126
3% 6/1/45 (e)	105,000,000		107,504,555
3.5% 11/15/40 to 5/20/45	237,805,711		249,803,794
3.5% 6/1/45 (e)	56,700,000		59,518,500
3.5% 6/1/45 (e)	67,000,000		70,330,503
3.5% 7/1/45 (e)	56,700,000		59,354,603
4% 2/15/39 to 8/15/43	146,481,018		157,820,252
4% 6/1/45 (e)	24,500,000		26,086,757
4% 6/1/45 (e)	22,200,000		23,637,796
4.39% 6/20/63 (l)	920,252		1,009,758
4.5% 6/20/33 to 8/15/41	210,459,044		231,266,124
4.505% 2/20/63 (l)	855,309		938,585
5% 12/15/32 to 9/15/41	71,579,462		80,941,891
U.S. Government Agency - Mortgage Securities - continued
	Principal Amount		Value
Ginnie Mae - continued
5.5% 12/20/28 to 9/15/39	$ 16,154,252		$ 18,531,510
6% 10/15/30 to 5/15/40	12,080,866		13,876,389
6.5% 3/20/31 to 10/15/38	1,096,880		1,279,238
7% 10/15/22 to 3/15/33	4,929,253		5,822,620
7.5% 1/15/17 to 9/15/31	1,690,499		1,987,701
8% 8/15/16 to 11/15/29	678,639		779,815
8.5% 10/15/21 to 1/15/31	103,744		124,377
9% 8/15/19 to 1/15/23	5,682		6,365
9.5% 12/15/20 to 2/15/25	2,396		2,705
10.5% 3/20/16 to 1/20/18	6,723		7,194
11% 9/20/15 to 9/20/19	2,901		3,282
TOTAL GINNIE MAE			1,255,283,440
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $5,660,939,750)		5,716,704,106
Asset-Backed Securities - 0.6%

Accredited Mortgage Loan Trust Series 2005-1 Class M1, 0.6513% 4/25/35 (h)	562,768		502,817
ACE Securities Corp. Home Equity Loan Trust Series 2004-HE1 Class M2, 1.8348% 3/25/34 (h)	260,087		249,621
Airspeed Ltd. Series 2007-1A Class C1, 2.6856% 6/15/32 (d)(h)	3,461,270		1,557,572
Ally Master Owner Trust Series 2012-3 Class A2, 1.21% 6/15/17	23,260,000		23,266,257
Ameriquest Mortgage Securities, Inc. pass-thru certificates:
Series 2003-10 Class M1, 1.2238% 12/25/33 (h)	41,329		38,148
Series 2004-R2 Class M3, 1.0063% 4/25/34 (h)	73,246		52,047
Argent Securities, Inc. pass-thru certificates:
Series 2003-W7 Class A2, 0.9613% 3/25/34 (h)	40,480		37,864
Series 2004-W11 Class M2, 1.2348% 11/25/34 (h)	457,000		446,366
Series 2004-W7 Class M1, 1.0063% 5/25/34 (h)	1,310,000		1,255,524
Series 2006-W4 Class A2C, 0.3448% 5/25/36 (h)	950,555		342,054
Asset Backed Securities Corp. Home Equity Loan Trust:
Series 2004-HE2 Class M1, 1.0098% 4/25/34 (h)	1,475,270		1,350,294
Series 2006-HE2 Class M1, 0.5513% 3/25/36 (h)	20,441		1,702
Bear Stearns Asset Backed Securities I Trust Series 2005-HE2 Class M2, 1.3098% 2/25/35 (h)	1,218,074		1,057,952
Asset-Backed Securities - continued
	Principal Amount		Value
Capital Auto Receivables Trust Series 2013-3 Class A3, 1.31% 12/20/17	$ 28,030,000		$ 28,142,204
Carrington Mortgage Loan Trust Series 2007-RFC1 Class A3, 0.3213% 12/25/36 (h)	1,471,000		976,465
CFC LLC:
Series 2013-1A Class A, 1.65% 7/17/17 (d)	282,519		282,617
Series 2013-2A Class A, 1.75% 11/15/17 (d)	6,724,764		6,734,313
Countrywide Home Loans, Inc.:
Series 2004-3 Class M4, 1.6398% 4/25/34 (h)	60,466		51,471
Series 2004-4 Class M2, 0.9798% 6/25/34 (h)	92,311		83,644
Series 2004-7 Class AF5, 5.868% 1/25/35	8,439,146		8,656,548
Fannie Mae Series 2004-T5 Class AB3, 1.0669% 5/28/35 (h)	31,732		29,369
Fieldstone Mortgage Investment Corp. Series 2004-3 Class M5, 2.3563% 8/25/34 (h)	160,000		148,842
First Franklin Mortgage Loan Trust Series 2004-FF2 Class M3, 1.0098% 3/25/34 (h)	10,906		10,341
Ford Credit Floorplan Master Owner Trust Series 2013-3 Class A1, 0.79% 6/15/17	53,380,000		53,384,164
Fremont Home Loan Trust Series 2005-A:
Class M3, 0.9163% 1/25/35 (h)	801,000		677,043
Class M4, 1.2013% 1/25/35 (h)	282,636		180,800
GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 0.662% 2/25/47 (d)(h)	1,227,444		1,145,139
GE Business Loan Trust:
Series 2003-1 Class A, 0.6156% 4/15/31 (d)(h)	27,645		27,645
Series 2006-2A:
Class A, 0.3656% 11/15/34 (d)(h)	886,044		847,584
Class B, 0.4656% 11/15/34 (d)(h)	320,336		296,959
Class C, 0.5656% 11/15/34 (d)(h)	531,349		451,646
Class D, 0.9356% 11/15/34 (d)(h)	201,989		166,140
GSAMP Trust Series 2004-AR1 Class B4, 5.5% 6/25/34 (d)	349,931		11,626
Home Equity Asset Trust:
Series 2003-2 Class M1, 1.5048% 8/25/33 (h)	241,085		227,049
Series 2003-3 Class M1, 1.4748% 8/25/33 (h)	393,525		378,209
Series 2003-5 Class A2, 0.8848% 12/25/33 (h)	27,804		26,515
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.3713% 1/25/37 (h)	1,292,000		823,485
JPMorgan Mortgage Acquisition Trust:
Series 2006-NC2 Class M2, 0.4813% 7/25/36 (h)	166,707		75,224
Series 2007-CH1 Class AV4, 0.3113% 11/25/36 (h)	488,055		484,140
KeyCorp Student Loan Trust:
Series 1999-A Class A2, 0.5986% 12/27/29 (h)	141,060		140,567
Asset-Backed Securities - continued
	Principal Amount		Value
KeyCorp Student Loan Trust: - continued
Series 2006-A Class 2C, 1.4186% 3/27/42 (h)	$ 2,867,000		$ 1,433,500
MASTR Asset Backed Securities Trust Series 2007-HE1 Class M1, 0.4848% 5/25/37 (h)	305,466		2,968
Meritage Mortgage Loan Trust Series 2004-1 Class M1, 0.9348% 7/25/34 (h)	105,313		80,313
Merrill Lynch Mortgage Investors Trust:
Series 2003-OPT1 Class M1, 1.1598% 7/25/34 (h)	315,563		287,439
Series 2006-FM1 Class A2B, 0.2913% 4/25/37 (h)	321,268		303,291
Series 2006-OPT1 Class A1A, 0.7048% 6/25/35 (h)	1,520,828		1,467,325
Morgan Stanley ABS Capital I Trust:
Series 2004-HE6 Class A2, 0.8648% 8/25/34 (h)	48,462		45,032
Series 2005-NC1 Class M1, 0.8448% 1/25/35 (h)	262,480		245,877
Series 2005-NC2 Class B1, 1.9363% 3/25/35 (h)	198,666		4,343
New Century Home Equity Loan Trust Series 2005-4 Class M2, 0.6948% 9/25/35 (h)	1,164,000		1,020,783
Park Place Securities, Inc.:
Series 2004-WCW1:
Class M3, 2.0598% 9/25/34 (h)	435,000		409,434
Class M4, 2.3598% 9/25/34 (h)	558,000		261,535
Series 2005-WCH1 Class M4, 1.4298% 1/25/36 (h)	1,245,000		1,112,200
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 0.9848% 4/25/33 (h)	4,173		3,907
Santander Drive Auto Receivables Trust Series 2014-4 Class C, 2.6% 11/16/20	13,091,000		13,269,182
Saxon Asset Securities Trust Series 2004-1 Class M1, 0.9688% 3/25/35 (h)	692,096		634,670
SLM Private Credit Student Loan Trust Series 2004-A Class C, 1.2206% 6/15/33 (h)	595,915		577,501
Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1.9098% 9/25/34 (h)	24,298		21,360
Terwin Mortgage Trust Series 2003-4HE Class A1, 1.0448% 9/25/34 (h)	115,176		100,129
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 0.8308% 4/6/42 (d)(h)	2,398,344		1,295,106
Whinstone Capital Management Ltd. Series 1A Class B3, 2.077% 10/25/44 (d)(h)	1,459,789		1,457,193
TOTAL ASSET-BACKED SECURITIES (Cost $146,830,441)		158,651,055
Collateralized Mortgage Obligations - 2.4%
	Principal Amount		Value
Private Sponsor - 0.1%
Bear Stearns ALT-A Trust floater Series 2005-1 Class A1, 0.7448% 1/25/35 (h)	$ 985,204		$ 958,608
First Horizon Mortgage pass-thru Trust Series 2004-AR5 Class 2A1, 2.551% 10/25/34 (h)	258,780		259,573
Granite Master Issuer PLC floater:
Series 2005-4 Class C2, 1.284% 12/20/54 (h)	178,650		175,488
Series 2006-1A Class C2, 1.384% 12/20/54 (d)(h)	5,526,000		5,438,137
Series 2006-2 Class C1, 1.124% 12/20/54 (h)	4,563,000		4,472,653
Series 2006-3 Class C2, 1.184% 12/20/54 (h)	922,000		904,851
Series 2006-4:
Class C1, 0.944% 12/20/54 (h)	2,331,000		2,272,259
Class M1, 0.524% 12/20/54 (h)	1,006,000		978,335
Series 2007-1:
Class 1C1, 0.784% 12/20/54 (h)	1,847,000		1,784,571
Class 1M1, 0.484% 12/20/54 (h)	1,238,000		1,199,622
Class 2C1, 1.044% 12/20/54 (h)	842,000		824,571
Class 2M1, 0.684% 12/20/54 (h)	1,589,000		1,555,154
Series 2007-2 Class 2C1, 1.0434% 12/17/54 (h)	2,199,000		2,153,261
Granite Mortgages PLC floater Series 2003-3 Class 1C, 2.7251% 1/20/44 (h)	365,737		365,889
JPMorgan Mortgage Trust sequential payer Series 2006-A5 Class 3A5, 2.4683% 8/25/36 (h)	583,973		499,248
MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 0.3948% 5/25/47 (h)	355,396		332,925
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.3548% 2/25/37 (h)	690,786		630,009
Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 0.4748% 7/25/35 (h)	965,623		910,786
RESI Finance LP/RESI Finance DE Corp. floater Series 2003-B:
Class B5, 2.531% 6/10/35 (d)(h)	369,293		336,264
Class B6, 3.031% 6/10/35 (d)(h)	344,990		318,505
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 1.2236% 7/20/34 (h)	19,561		19,183
Structured Asset Securities Corp. Series 2003-15A Class 4A, 2.5122% 4/25/33 (h)	90,987		90,905
TOTAL PRIVATE SPONSOR			26,480,797
Collateralized Mortgage Obligations - continued
	Principal Amount		Value
U.S. Government Agency - 2.3%
Fannie Mae:
floater:
Series 2002-18 Class FD, 0.9848% 2/25/32 (h)	$ 81,166		$ 82,432
Series 2002-39 Class FD, 1.1834% 3/18/32 (h)	129,143		131,906
Series 2002-60 Class FV, 1.1848% 4/25/32 (h)	167,339		171,299
Series 2002-63 Class FN, 1.1848% 10/25/32 (h)	232,477		237,844
Series 2002-7 Class FC, 0.9348% 1/25/32 (h)	85,956		87,862
Series 2002-94 Class FB, 0.5848% 1/25/18 (h)	125,427		125,813
Series 2003-118 Class S, 7.9153% 12/25/33 (h)(i)(k)	2,739,297		644,052
Series 2006-104 Class GI, 6.4953% 11/25/36 (h)(i)(k)	1,970,677		454,164
Series 2006-33 Class CF, 0.4848% 5/25/36 (h)	1,707,103		1,710,850
Series 2007-53 Class FB, 0.5848% 6/25/37 (h)	9,123,851		9,148,505
Series 2007-57 Class FA, 0.4148% 6/25/37 (h)	2,110,903		2,111,248
Series 2008-76 Class EF, 0.6848% 9/25/23 (h)	1,168,217		1,172,168
planned amortization class:
Series 1992-168 Class KB, 7% 10/25/22	128,303		141,242
Series 1993-207 Class H, 6.5% 11/25/23	1,576,584		1,771,229
Series 1994-23 Class PZ, 6% 2/25/24	4,294,563		4,758,201
Series 1996-28 Class PK, 6.5% 7/25/25	512,449		575,886
Series 1999-17 Class PG, 6% 4/25/29	1,361,550		1,498,625
Series 1999-32 Class PL, 6% 7/25/29	1,174,129		1,295,600
Series 1999-33 Class PK, 6% 7/25/29	730,775		808,107
Series 2001-52 Class YZ, 6.5% 10/25/31	90,354		102,518
Series 2002-9 Class PC, 6% 3/25/17	20,719		21,405
Series 2003-28 Class KG, 5.5% 4/25/23	934,872		1,025,185
Series 2004-21 Class QE, 4.5% 11/25/32	169,044		173,833
Series 2005-102 Class CO, 11/25/35 (j)	745,302		684,938
Series 2005-73 Class SA, 17.0697% 8/25/35 (h)(k)	344,119		434,194
Series 2005-81 Class PC, 5.5% 9/25/35	946,559		1,108,034
Series 2006-105 Class MD, 5.5% 6/25/35	1,051,800		1,075,098
Series 2006-12 Class BO, 10/25/35 (j)	3,153,909		3,085,326
Series 2006-37 Class OW, 5/25/36 (j)	391,401		350,628
Series 2006-45 Class OP, 6/25/36 (j)	985,011		876,285
Series 2006-62 Class KP, 4/25/36 (j)	1,357,907		1,205,087
Series 2011-117 Class PF, 0.5348% 7/25/39 (h)	1,877,865		1,887,260
sequential payer:
Series 1997-41 Class J, 7.5% 6/18/27	274,457		322,407
Series 1999-25 Class Z, 6% 6/25/29	1,059,012		1,201,939
Series 2001-20 Class Z, 6% 5/25/31	1,363,216		1,504,535
Collateralized Mortgage Obligations - continued
	Principal Amount		Value
U.S. Government Agency - continued
Fannie Mae: - continued
sequential payer:
Series 2001-31 Class ZC, 6.5% 7/25/31	$ 744,401		$ 861,769
Series 2002-16 Class ZD, 6.5% 4/25/32	372,200		433,816
Series 2002-74 Class SV, 7.3653% 11/25/32 (h)(i)	1,654,208		305,575
Series 2002-79 Class Z, 5.5% 11/25/22	1,914,269		2,162,441
Series 2010-50 Class FA, 0.5348% 1/25/24 (h)	76,678		76,682
Series 2012-67 Class AI, 4.5% 7/25/27 (i)	5,146,380		692,525
Series 06-116 Class SG, 6.4553% 12/25/36 (h)(i)(k)	1,344,507		255,348
Series 07-40 Class SE, 6.2553% 5/25/37 (h)(i)(k)	833,416		133,250
Series 1993-165 Class SH, 19.2772% 9/25/23 (h)(k)	62,880		85,138
Series 2003-21 Class SK, 7.9153% 3/25/33 (h)(i)(k)	240,019		65,261
Series 2003-35 Class TQ, 7.3153% 5/25/18 (h)(i)(k)	126,447		8,766
Series 2005-72 Class ZC, 5.5% 8/25/35	7,922,670		8,960,265
Series 2007-57 Class SA, 39.5115% 6/25/37 (h)(k)	631,905		1,263,396
Series 2007-66:
Class FB, 0.5848% 7/25/37 (h)	2,515,545		2,533,243
Class SA, 38.4915% 7/25/37 (h)(k)	956,356		1,843,586
Class SB, 38.4915% 7/25/37 (h)(k)	419,257		794,642
Series 2008-12 Class SG, 6.1653% 3/25/38 (h)(i)(k)	5,770,870		1,053,221
Series 2009-114 Class AI, 5% 12/25/23 (i)	1,168,718		52,638
Series 2009-16 Class SA, 6.0653% 3/25/24 (h)(i)(k)	742,993		30,459
Series 2009-76 Class MI, 5.5% 9/25/24 (i)	573,746		29,781
Series 2009-85 Class IB, 4.5% 8/25/24 (i)	601,514		48,974
Series 2009-93 Class IC, 4.5% 9/25/24 (i)	916,553		72,622
Series 2010-112 Class SG, 6.1753% 6/25/21 (h)(i)(k)	828,037		62,988
Series 2010-12 Class AI, 5% 12/25/18 (i)	2,365,160		131,883
Series 2010-135 Class LS, 5.8653% 12/25/40 (h)(i)(k)	5,136,721		899,946
Series 2010-139 Class NI, 4.5% 2/25/40 (i)	5,095,754		723,022
Series 2010-17 Class DI, 4.5% 6/25/21 (i)	612,251		36,663
Series 2010-23:
Class AI, 5% 12/25/18 (i)	1,010,387		53,158
Class HI, 4.5% 10/25/18 (i)	678,346		34,712
Series 2010-29 Class LI, 4.5% 6/25/19 (i)	2,144,742		103,511
Series 2010-97 Class CI, 4.5% 8/25/25 (i)	1,954,111		146,449
Series 2011-39 Class ZA, 6% 11/25/32	3,456,850		3,891,103
Series 2011-67 Class AI, 4% 7/25/26 (i)	1,589,409		174,566
Series 2011-83 Class DI, 6% 9/25/26 (i)	2,589,868		357,047
Series 2013-N1 Class A, 6.5353% 6/25/35 (h)(i)(k)	4,029,757		871,084
Collateralized Mortgage Obligations - continued
	Principal Amount		Value
U.S. Government Agency - continued
Fannie Mae Stripped Mortgage-Backed Securities:
Series 339:
Class 29, 5.5% 8/25/18 (i)	$ 369,430		$ 20,268
Class 5, 5.5% 7/25/33 (i)	773,837		155,596
Series 343 Class 16, 5.5% 5/25/34 (i)	625,870		120,571
Series 348 Class 14, 6.5% 8/25/34 (h)(i)	438,946		97,507
Series 351:
Class 12, 5.5% 4/25/34 (h)(i)	307,213		59,832
Class 13, 6% 3/25/34 (i)	409,282		83,361
Series 359 Class 19, 6% 7/25/35 (h)(i)	290,688		61,472
Series 384 Class 6, 5% 7/25/37 (i)	3,741,549		731,911
Freddie Mac:
floater:
Series 2412 Class FK, 0.9815% 1/15/32 (h)	65,231		66,223
Series 2423 Class FA, 1.0815% 3/15/32 (h)	93,645		95,489
Series 2424 Class FM, 1.1815% 3/15/32 (h)	120,470		123,294
Series 2432:
Class FE, 1.0815% 6/15/31 (h)	162,691		165,949
Class FG, 1.0815% 3/15/32 (h)	55,982		57,061
Series 3346 Class FA, 0.4115% 2/15/19 (h)	515,646		516,252
Series 3830 Class FD, 0.5415% 3/15/41 (h)	9,207,503		9,252,997
floater planned amortization class Series 3153 Class FX, 0.5315% 5/15/36 (h)	3,453,949		3,465,566
floater target amortization class Series 3366 Class FD, 0.4315% 5/15/37 (h)	3,933,636		3,931,263
planned amortization class:
Series 2006-15 Class OP, 3/25/36 (j)	2,560,595		2,405,875
Series 2095 Class PE, 6% 11/15/28	1,443,031		1,597,722
Series 2101 Class PD, 6% 11/15/28	137,542		151,539
Series 2121 Class MG, 6% 2/15/29	601,034		663,229
Series 2131 Class BG, 6% 3/15/29	3,985,557		4,410,065
Series 2137 Class PG, 6% 3/15/29	649,879		717,589
Series 2154 Class PT, 6% 5/15/29	977,830		1,078,565
Series 2162 Class PH, 6% 6/15/29	251,243		276,270
Series 2356 Class GD, 6% 9/15/16	62,596		64,273
Series 2363 Class PF, 6% 9/15/16	60,570		61,988
Series 2425 Class JH, 6% 3/15/17	199,706		206,840
Series 2520 Class BE, 6% 11/15/32	1,386,129		1,532,282
Series 2585 Class KS, 7.4185% 3/15/23 (h)(i)(k)	98,120		14,911
Series 2693 Class MD, 5.5% 10/15/33	3,686,214		4,182,485
Series 2802 Class OB, 6% 5/15/34	2,838,451		3,182,787
Collateralized Mortgage Obligations - continued
	Principal Amount		Value
U.S. Government Agency - continued
Freddie Mac: - continued
planned amortization class:
Series 2937 Class KC, 4.5% 2/15/20	$ 3,776,924		$ 3,966,674
Series 2962 Class BE, 4.5% 4/15/20	3,751,658		3,963,445
Series 3002 Class NE, 5% 7/15/35	3,902,144		4,318,544
Series 3110 Class OP, 9/15/35 (j)	1,829,674		1,761,649
Series 3119 Class PO, 2/15/36 (j)	2,802,708		2,457,712
Series 3121 Class KO, 3/15/36 (j)	584,690		520,463
Series 3123 Class LO, 3/15/36 (j)	1,681,046		1,492,646
Series 3145 Class GO, 4/15/36 (j)	1,597,322		1,471,920
Series 3189 Class PD, 6% 7/15/36	3,350,381		3,868,119
Series 3225 Class EO, 10/15/36 (j)	1,048,755		932,821
Series 3258 Class PM, 5.5% 12/15/36	1,644,252		1,858,253
Series 3415 Class PC, 5% 12/15/37	1,541,214		1,669,378
Series 3786 Class HI, 4% 3/15/38 (i)	4,510,866		536,274
Series 3806 Class UP, 4.5% 2/15/41	8,606,670		9,361,694
Series 3832 Class PE, 5% 3/15/41	5,254,507		6,033,743
sequential payer:
Series 2135 Class JE, 6% 3/15/29	277,110		305,639
Series 2274 Class ZM, 6.5% 1/15/31	306,659		354,727
Series 2281 Class ZB, 6% 3/15/30	787,465		865,007
Series 2303 Class ZV, 6% 4/15/31	326,862		362,035
Series 2357 Class ZB, 6.5% 9/15/31	2,316,795		2,700,292
Series 2502 Class ZC, 6% 9/15/32	709,136		788,570
Series 2519 Class ZD, 5.5% 11/15/32	1,283,032		1,403,031
Series 2546 Class MJ, 5.5% 3/15/23	600,489		645,595
Series 2601 Class TB, 5.5% 4/15/23	282,776		318,044
Series 2998 Class LY, 5.5% 7/15/25	724,066		799,754
Series 4302 Class DA, 3% 7/15/39	22,076,525		23,007,448
Series 06-3115 Class SM, 6.4185% 2/15/36 (h)(i)(k)	1,106,824		183,829
Series 2013-4281 Class AI, 4% 12/15/28 (i)	17,383,751		2,026,026
Series 2844:
Class SC, 45.5936% 8/15/24 (h)(k)	38,362		67,353
Class SD, 84.0372% 8/15/24 (h)(k)	56,438		137,759
Series 2935 Class ZK, 5.5% 2/15/35	9,694,415		11,139,981
Series 2947 Class XZ, 6% 3/15/35	3,906,417		4,422,692
Series 3055 Class CS, 6.4085% 10/15/35 (h)(i)	1,594,451		306,380
Series 3244 Class SG, 6.4785% 11/15/36 (h)(i)(k)	3,594,269		677,023
Series 3274 Class SM, 6.2485% 2/15/37 (h)(i)	1,841,890		257,149
Series 3284 Class CI, 5.9385% 3/15/37 (h)(i)	8,556,019		1,528,770
Series 3287 Class SD, 6.5685% 3/15/37 (h)(i)(k)	5,575,985		1,287,952
Series 3297 Class BI, 6.5785% 4/15/37 (h)(i)(k)	8,071,043		1,615,052
Collateralized Mortgage Obligations - continued
	Principal Amount		Value
U.S. Government Agency - continued
Freddie Mac: - continued
Series 3336 Class LI, 6.3985% 6/15/37 (h)(i)	$ 3,090,445		$ 480,235
Series 3772 Class BI, 4.5% 10/15/18 (i)	2,483,256		130,098
Series 3949 Class MK, 4.5% 10/15/34	2,791,829		3,039,689
Series 4181 Class LA, 3% 3/15/37	7,912,885		8,224,535
Series 4471 Class PA 4% 12/15/40	36,490,560		38,953,673
target amortization class Series 2156 Class TC, 6.25% 5/15/29	829,880		914,616
Freddie Mac Manufactured Housing participation certificates guaranteed:
floater Series 1686 Class FA, 1.0815% 2/15/24 (h)	334,112		338,489
sequential payer:
Series 2043 Class ZH, 6% 4/15/28	635,435		701,334
Series 2056 Class Z, 6% 5/15/28	1,124,843		1,241,723
Ginnie Mae guaranteed REMIC pass-thru certificates:
floater:
Series 2007-37 Class TS, 6.5075% 6/16/37 (h)(i)(k)	1,550,046		253,346
Series 2010-H03 Class FA, 0.7315% 3/20/60 (h)(l)	16,383,099		16,426,531
Series 2010-H17 Class FA, 0.5115% 7/20/60 (h)(l)	1,799,916		1,791,829
Series 2010-H18 Class AF, 0.4776% 9/20/60 (h)(l)	2,109,674		2,097,079
Series 2010-H19 Class FG, 0.4776% 8/20/60 (h)(l)	2,565,328		2,550,236
Series 2010-H27 Series FA, 0.5576% 12/20/60 (h)(l)	4,269,003		4,261,443
Series 2011-H05 Class FA, 0.6776% 12/20/60 (h)(l)	6,888,846		6,901,948
Series 2011-H07 Class FA, 0.6776% 2/20/61 (h)(l)	12,955,272		12,977,632
Series 2011-H12 Class FA, 0.6676% 2/20/61 (h)(l)	17,547,043		17,571,802
Series 2011-H13 Class FA, 0.6776% 4/20/61 (h)(l)	6,688,402		6,700,916
Series 2011-H14:
Class FB, 0.6776% 5/20/61 (h)(l)	8,866,844		8,885,926
Class FC, 0.6776% 5/20/61 (h)(l)	7,093,306		7,107,514
Series 2011-H17 Class FA, 0.7076% 6/20/61 (h)(l)	9,392,272		9,418,739
Series 2011-H21 Class FA, 0.7776% 10/20/61 (h)(l)	10,370,262		10,428,512
Collateralized Mortgage Obligations - continued
	Principal Amount		Value
U.S. Government Agency - continued
Ginnie Mae guaranteed REMIC pass-thru certificates: - continued
Series 2012-6 Class FG, 0.5825% 4/16/40 (h)	$ 6,378,594		$ 6,405,495
Series 2012-H01 Class FA, 0.8776% 11/20/61 (h)(l)	8,781,651		8,867,992
Series 2012-H03 Class FA, 0.8776% 1/20/62 (h)(l)	5,493,059		5,546,913
Series 2012-H06 Class FA, 0.8076% 1/20/62 (h)(l)	8,530,027		8,589,293
Series 2012-H07 Class FA, 0.8076% 3/20/62 (h)(l)	5,030,409		5,074,239
Series 2012-H23 Class WA, 0.6976% 10/20/62 (h)(l)	1,402,885		1,407,158
Series 2012-H26, Class CA, 0.7076% 7/20/60 (h)(l)	19,286,788		19,377,089
Series 2013-H07 Class BA, 0.5376% 3/20/63 (h)(l)	1,619,269		1,609,218
Series 2014-H03 Class FA, 0.7776% 1/20/64 (h)(l)	8,052,398		8,103,402
Series 2014-H05 Class FB, 0.7776% 12/20/63 (h)(l)	19,583,069		19,716,411
Series 2014-H11 Class BA, 0.6776% 6/20/64 (h)(l)	6,801,664		6,816,587
Series 2015-H07 Class FA, 0.3% 3/20/65 (h)(l)	32,841,768		32,833,624
planned amortization class:
Series 1993-13 Class PD, 6% 5/20/29	1,354,357		1,555,193
Series 1997-8 Class PE, 7.5% 5/16/27	560,567		665,222
Series 2011-136 Class WI, 4.5% 5/20/40 (i)	3,486,560		525,465
sequential payer Series 2004-24 Class ZM, 5% 4/20/34	5,522,272		6,203,402
Series 2004-32 Class GS, 6.3167% 5/16/34 (h)(i)(k)	809,195		176,163
Series 2004-73 Class AL, 7.0167% 8/17/34 (h)(i)(k)	967,823		211,070
Series 2007-35 Class SC, 39.105% 6/16/37 (h)(k)	68,375		131,329
Series 2010-14 Class SN, 5.7675% 2/16/40 (h)(i)(k)	6,161,721		1,100,729
Series 2010-H10 Class FA, 0.5115% 5/20/60 (h)(l)	5,618,987		5,592,353
Series 2012-76 Class GS, 6.5175% 6/16/42 (h)(i)(k)	3,345,893		709,701
Series 2012-97 Class JS, 6.0675% 8/16/42 (h)(i)(k)	10,640,040		1,876,266
Series 2013-124:
Class ES, 8.4213% 4/20/39 (h)(k)	8,466,918		9,791,973
Collateralized Mortgage Obligations - continued
	Principal Amount		Value
U.S. Government Agency - continued
Ginnie Mae guaranteed REMIC pass-thru certificates: - continued
Class ST, 8.5547% 8/20/39 (h)(k)	$ 15,905,101		$ 18,373,938
Series 2015-H13 Class FL, 0.3% 3/20/65 (h)(l)	55,980,000		55,980,000
TOTAL U.S. GOVERNMENT AGENCY			598,837,780
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $598,319,365)		625,318,577
Commercial Mortgage Securities - 7.3%

Asset Securitization Corp. Series 1997-D5 Class PS1, 1.5708% 2/14/43 (h)(i)	451,964		6,853
Banc of America Commercial Mortgage Trust:
sequential payer:
Series 2006-2 Class AAB, 5.8986% 5/10/45 (h)	51,078		51,085
Series 2006-3 Class A4, 5.889% 7/10/44	21,951,837		22,690,428
Series 2006-5 Class A2, 5.317% 9/10/47	538,528		538,559
Series 2006-6 Class A3, 5.369% 10/10/45	3,468,000		3,507,962
Series 2006-6 Class E, 5.619% 10/10/45 (d)	1,002,000		150,470
Series 2007-3:
Class A3, 5.7354% 6/10/49 (h)	2,060,379		2,059,277
Class A4, 5.7354% 6/10/49 (h)	3,615,000		3,832,168
Banc of America Commercial Mortgage, Inc. sequential payer Series 2001-1 Class A4, 5.451% 1/15/49	17,776,517		18,804,213
Bayview Commercial Asset Trust:
floater:
Series 2003-2 Class M1, 1.4598% 12/25/33 (d)(h)	19,356		17,417
Series 2005-4A:
Class A2, 0.5748% 1/25/36 (d)(h)	661,953		588,244
Class B1, 1.5848% 1/25/36 (d)(h)	18,549		11,046
Class M1, 0.6348% 1/25/36 (d)(h)	213,450		171,361
Class M2, 0.6548% 1/25/36 (d)(h)	43,204		33,752
Class M3, 0.6848% 1/25/36 (d)(h)	93,610		69,789
Class M4, 0.7948% 1/25/36 (d)(h)	34,975		25,462
Class M5, 0.8348% 1/25/36 (d)(h)	34,975		25,151
Class M6, 0.8848% 1/25/36 (d)(h)	37,032		24,249
Series 2006-3A Class M4, 0.6148% 10/25/36 (d)(h)	23,004		2,431
Series 2007-1 Class A2, 0.4548% 3/25/37 (d)(h)	467,073		392,906
Commercial Mortgage Securities - continued
	Principal Amount		Value
Bayview Commercial Asset Trust: - continued
Series 2007-2A:
Class A1, 0.4548% 7/25/37 (d)(h)	$ 1,004,769		$ 877,832
Class A2, 0.5048% 7/25/37 (d)(h)	941,315		796,334
Class M1, 0.5548% 7/25/37 (d)(h)	288,425		216,663
Class M2, 0.5948% 7/25/37 (d)(h)	150,506		96,784
Class M3, 0.6748% 7/25/37 (d)(h)	115,178		45,949
Series 2007-3:
Class A2, 0.4748% 7/25/37 (d)(h)	416,474		347,925
Class M1, 0.4948% 7/25/37 (d)(h)	165,609		125,727
Class M2, 0.5248% 7/25/37 (d)(h)	176,549		117,994
Class M3, 0.5548% 7/25/37 (d)(h)	284,817		115,038
Class M4, 0.6848% 7/25/37 (d)(h)	499,844		143,914
Class M5, 0.7848% 7/25/37 (d)(h)	210,061		35,200
Series 2007-4A Class M1, 1.1313% 9/25/37 (d)(h)	144,998		29,626
Series 2006-3A, Class IO, 0% 10/25/36 (d)(h)(i)	10,905,056		1
Series 2007-5A, Class IO, 4.186% 10/25/37 (d)(h)(i)	4,636,599		57,509
Bear Stearns Commercial Mortgage Securities Trust:
sequential payer:
Series 2007-PW15 Class A4, 5.331% 2/11/44	8,496,446		8,990,157
Series 2007-PW16 Class A4, 5.8965% 6/11/40 (h)	2,484,000		2,665,262
Series 2007-PW18 Class A4, 5.7% 6/11/50	20,000,000		21,471,160
Series 2006-T22 Class A4, 5.7581% 4/12/38 (h)	189,072		192,904
Series 2007-PW18 Class X2, 0.4438% 6/11/50 (d)(h)(i)	79,824,056		177,449
Series 2007-T28 Class X2, 0.3068% 9/11/42 (d)(h)(i)	49,715,730		37,038
C-BASS Trust floater Series 2006-SC1 Class A, 0.4513% 5/25/36 (d)(h)	277,767		263,541
CDGJ Commercial Mortgage Trust Series 2014-BXCH Class DPA, 3.1745% 12/15/27 (d)(h)	10,251,000		10,272,117
Citigroup/Deutsche Bank Commercial Mortgage Trust sequential payer Series 2007-CD4:
Class A3, 5.293% 12/11/49	157,652		158,832
Class A4, 5.322% 12/11/49	123,188,500		128,893,113
Cobalt CMBS Commercial Mortgage Trust Series 2007-C2 Class B, 5.617% 4/15/47 (h)	1,937,000		1,893,183
COMM Mortgage Trust pass-thru certificates:
floater Series 2005-F10A Class J, 1.0356% 4/15/17 (d)(h)	103,547		103,569
Commercial Mortgage Securities - continued
	Principal Amount		Value
COMM Mortgage Trust pass-thru certificates: - continued
sequential payer Series 2006-C7 Class A1A, 5.9288% 6/10/46 (h)	$ 51,161,908		$ 52,885,706
Credit Suisse Commercial Mortgage Trust:
sequential payer:
Series 2007-C2 Class A2, 5.448% 1/15/49 (h)	26,136		26,183
Series 2007-C3 Class A4, 5.8901% 6/15/39 (h)	30,705,739		32,719,175
Series 2007-C5 Class A4, 5.695% 9/15/40 (h)	19,378,000		20,686,325
Credit Suisse First Boston Mortgage Securities Corp. Series 2001-CKN5 Class AX, 0% 9/15/34 (d)(h)(i)	3,519		0
CSMC Series 2015-TOWN:
Class B, 2.0815% 3/15/17 (d)(h)	4,988,000		4,991,362
Class C, 2.4315% 3/15/17 (d)(h)	4,859,000		4,862,265
Class D, 3.3815% 3/15/17 (d)(h)	7,352,000		7,356,918
Freddie Mac:
pass thru-certificates floater Series KF01 Class A, 0.5313% 4/25/19 (h)	2,880,138		2,865,976
sequential payer:
Series K033 Class A2, 3.06% 7/25/23	51,805,435		53,950,372
Series K034 Class A2, 3.531% 7/25/23	25,768,438		27,804,583
Series K042 Class A1, 2.267% 6/25/24	17,300,327		17,505,218
Series K716 Class A2, 3.13% 6/25/21	7,704,556		8,168,547
Freddie Mac Multi-family Strutured Pass-thru Certificates sequential payer Series K718 Class A2, 2.791% 1/25/22	31,800,000		32,996,027
GAHR Commercial Mortgage Trust Series 2015-NRF:
Class BFX, 3.3822% 12/15/19 (d)	25,600,000		26,139,973
Class CFX, 3.3822% 12/15/19 (d)	21,481,000		21,573,143
Class DFX, 3.3822% 12/15/19 (d)	18,206,000		18,110,852
GE Capital Commercial Mortgage Corp. sequential payer Series 2007-C1 Class A4, 5.543% 12/10/49	76,105,705		79,608,775
Greenwich Capital Commercial Funding Corp.:
sequential payer Series 2007-GG9 Class A4, 5.444% 3/10/39	27,514,575		29,035,828
Series 2006-GG7 Class A4, 6.0136% 7/10/38 (h)	18,606,872		19,169,804
GS Mortgage Securities Corp. Trust:
Series 2013-C, 2.974% 1/10/30 (d)	6,810,000		6,924,742
Series 2013-XA1, 1.4526% 1/10/30 (d)(h)(i)	123,825,712		3,900,398
Series 2013-XB1, 0.7741% 1/10/30 (d)(h)(i)	120,531,000		1,924,374
GS Mortgage Securities Trust sequential payer Series 2006-GG8 Class A4, 5.56% 11/10/39	6,145,377		6,404,264
Hilton U.S.A. Trust Series 2013-HLT:
Class CFX, 3.7141% 11/5/30 (d)	5,290,000		5,359,069
Commercial Mortgage Securities - continued
	Principal Amount		Value
Hilton U.S.A. Trust Series 2013-HLT: - continued
Class DFX, 4.4065% 11/5/30 (d)	$ 47,644,000		$ 48,410,359
JPMorgan Chase Commercial Mortgage Securities Trust:
floater Series 2006-FL2A:
Class E, 0.4656% 11/15/18 (d)(h)	121,518		120,276
Class F, 0.5156% 11/15/18 (d)(h)	320,945		311,999
Class G, 0.5456% 11/15/18 (d)(h)	279,111		269,275
Class H, 0.6856% 11/15/18 (d)(h)	214,234		205,689
sequential payer:
Series 2006-CB16:
Class A1A, 5.546% 5/12/45	37,655,914		39,359,091
Class A4, 5.552% 5/12/45	9,096,228		9,359,245
Series 2006-CB17 Class A4, 5.429% 12/12/43	17,762,040		18,568,473
Series 2006-LDP8 Class A1A, 5.397% 5/15/45	15,081,775		15,672,287
Series 2007-CB18 Class A4, 5.44% 6/12/47	15,034,481		15,877,013
Series 2007-CB19 Class A4, 5.8851% 2/12/49 (h)	47,976,000		51,231,004
Series 2007-LD11 Class A4, 5.9618% 6/15/49 (h)	109,185,368		115,987,289
Series 2007-LDPX Class A3, 5.42% 1/15/49	25,768,922		27,188,275
Series 2006-LDP7 Class A4, 6.057% 4/15/45 (h)	35,083,053		36,049,065
Series 2007-CB20 Class A1A, 5.746% 2/12/51	78,084,512		84,237,416
Series 2007-LDP10 Class CS, 5.466% 1/15/49 (h)	100,497		1,514
LB Commercial Conduit Mortgage Trust sequential payer Series 2007-C3 Class A4, 6.1102% 7/15/44 (h)	1,397,202		1,499,477
LB-UBS Commercial Mortgage Trust:
sequential payer:
Series 2006-C6 Class A4, 5.372% 9/15/39	780,000		813,965
Series 2006-C7 Class A2, 5.3% 11/15/38	705,868		711,236
Series 2007-C1 Class A4, 5.424% 2/15/40	43,297,965		45,683,466
Series 2007-C2 Class A3, 5.43% 2/15/40	3,788,734		4,015,971
Series 2007-C6 Class A4, 5.858% 7/15/40 (h)	3,639,692		3,807,245
Series 2007-C7 Class A3, 5.866% 9/15/45	48,804,719		53,283,431
Merrill Lynch Mortgage Trust:
Series 2005-LC1 Class F, 5.6028% 1/12/44 (d)(h)	1,509,000		1,489,258
Series 2007-C1:
Class A3, 6.0289% 6/12/50 (h)	1,417,734		1,425,690
Class A4, 6.0289% 6/12/50 (h)	54,971,000		58,439,725
Series 2008-C1 Class A4, 5.69% 2/12/51	2,696,449		2,919,890
Merrill Lynch-CFC Commercial Mortgage Trust:
sequential payer:
Series 2006-4:
Class A3, 5.172% 12/12/49 (h)	2,747,212		2,865,991
Class ASB, 5.133% 12/12/49 (h)	280,958		283,855
Series 2007-5 Class A4, 5.378% 8/12/48	45,108,369		47,142,622
Commercial Mortgage Securities - continued
	Principal Amount		Value
Merrill Lynch-CFC Commercial Mortgage Trust: - continued
Series 2007-6:
Class A2, 5.331% 3/12/51	$ 7,244,338		$ 7,323,823
Class A4, 5.485% 3/12/51 (h)	24,350,000		25,813,459
Series 2007-7 Class A4, 5.81% 6/12/50 (h)	5,959,910		6,377,145
Series 2007-9:
Class A4, 5.7% 9/12/49	185,000		198,131
Class ASB, 5.644% 9/12/49	4,294,263		4,294,040
Series 2007-6 Class B, 5.635% 3/12/51 (h)	1,734,000		540,710
Series 2007-7 Class B, 5.9342% 6/12/50 (h)	530,211		24,794
Series 2007-8 Class A3, 6.0766% 8/12/49 (h)	1,496,000		1,616,410
Morgan Stanley Capital I Trust:
floater:
Series 2006-XLF Class C, 1.386% 7/15/19 (d)(h)	291,739		291,943
Series 2007-XLFA:
Class D, 0.3715% 10/15/20 (d)(h)	4,087,035		4,053,350
Class E, 0.4315% 10/15/20 (d)(h)	8,181,000		8,095,091
Class F, 0.4815% 10/15/20 (d)(h)	9,173,000		9,052,274
Class G, 0.5215% 10/15/20 (d)(h)	505,000		495,353
Class H, 0.6115% 10/15/20 (d)(h)	318,000		305,565
Class J, 0.7615% 10/15/20 (d)(h)	183,596		167,237
sequential payer Series 2007-HQ11 Class A31, 5.439% 2/12/44	1,361,460		1,360,540
Series 2006-IQ11 Class A4, 5.8301% 10/15/42 (h)	394,710		398,102
Series 2007-IQ14:
Class A4, 5.6859% 4/15/49	2,601,000		2,765,326
Class AAB, 5.654% 4/15/49	1,824,432		1,857,792
Class B, 5.9059% 4/15/49 (h)	426,000		28,870
Providence Place Group Ltd. Partnership sequential payer Series 2000-C1 Class A1, 7.75% 7/20/16 (d)	836,615		860,877
Salomon Brothers Mortgage Securities VII, Inc. Series 2006-C2 Class H, 6.308% 7/18/33 (d)	229,412		74,640
Wachovia Bank Commercial Mortgage Trust:
floater Series 2006-WL7A:
Class G, 0.5456% 9/15/21 (d)(h)	128,985		127,105
Class J, 0.7856% 9/15/21 (d)(h)	323,000		306,584
sequential payer:
Series 2006-C29 Class A1A, 5.297% 11/15/48	21,542,456		22,693,578
Series 2007-C30 Class A5, 5.342% 12/15/43	80,574,818		84,953,181
Series 2007-C31 Class A4, 5.509% 4/15/47	90,736,867		95,198,489
Series 2007-C32 Class A3, 5.9027% 6/15/49 (h)	69,892,000		74,370,071
Commercial Mortgage Securities - continued
	Principal Amount		Value
Wachovia Bank Commercial Mortgage Trust: - continued
Series 2007-C33:
Class A4, 6.1503% 2/15/51 (h)	$ 73,941,892		$ 78,002,189
Class A5, 6.1503% 2/15/51 (h)	12,818,000		13,917,310
Series 2005-C22 Class B, 5.5288% 12/15/44 (h)	3,845,000		3,825,514
Series 2006-C27 Class A1A, 5.749% 7/15/45 (h)	54,191,393		56,351,408
Series 2007-C31 Class C, 5.8609% 4/15/47 (h)	4,147,000		4,064,806
Series 2007-C31A Class A2, 5.421% 4/15/47	1,333,521		1,332,461
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $1,870,171,999)		1,914,465,783
Municipal Securities - 2.3%

Beaver County Indl. Dev. Auth. Poll. Cont. Rev. Bonds (FirstEnergy Nuclear Generation Corp. Proj.) Series 2005 A, 3.375%, tender 7/1/15 (h)	5,700,000		5,711,286
California Gen. Oblig.:
Series 2009, 7.35% 11/1/39	4,580,000		6,691,792
7.3% 10/1/39	39,940,000		57,601,468
7.5% 4/1/34	18,570,000		26,826,965
7.6% 11/1/40	39,105,000		59,909,251
7.625% 3/1/40	9,470,000		14,278,866
Chicago Gen. Oblig.:
(Taxable Proj.):
Series 2008 B, 5.63% 1/1/22	5,105,000		5,172,539
Series 2010 C1, 7.781% 1/1/35	28,545,000		29,922,582
Series 2012 B, 5.432% 1/1/42	7,305,000		6,155,485
6.314% 1/1/44	33,980,000		30,654,717
Illinois Gen. Oblig.:
Series 2003:
4.35% 6/1/18	13,920,000		14,343,168
4.95% 6/1/23	20,310,000		20,888,226
5.1% 6/1/33	126,140,000		118,870,552
Series 2010-1, 6.63% 2/1/35	21,560,000		22,464,873
Series 2010-3:
5.547% 4/1/19	655,000		699,049
6.725% 4/1/35	31,715,000		33,362,911
7.35% 7/1/35	14,750,000		16,171,753
Series 2011:
4.961% 3/1/16	2,090,000		2,153,473
5.365% 3/1/17	770,000		806,236
Municipal Securities - continued
	Principal Amount		Value
Illinois Gen. Oblig.: - continued
5.665% 3/1/18	$ 26,580,000		$ 28,551,439
5.877% 3/1/19	70,360,000		76,375,780
Series 2013:
2.69% 12/1/17	6,955,000		6,915,148
3.14% 12/1/18	7,215,000		7,159,517
TOTAL MUNICIPAL SECURITIES (Cost $585,328,917)		591,687,076
Foreign Government and Government Agency Obligations - 0.5%

Banco Nacional de Desenvolvimento Economico e Social:
3.375% 9/26/16 (d)	28,250,000		28,638,438
5.75% 9/26/23 (d)	25,847,000		27,087,656
Brazilian Federative Republic:
4.25% 1/7/25	26,790,000		26,361,360
5.625% 1/7/41	27,107,000		27,513,605
United Mexican States 4.75% 3/8/44	26,992,000		27,201,188
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $136,262,148)		136,802,247
Bank Notes - 0.1%

Discover Bank (Delaware) 3.2% 8/9/21 (Cost $34,384,335)	34,467,000		34,368,287

Money Market Funds - 2.7%
	Shares
Fidelity Cash Central Fund, 0.15% (a) (Cost $711,675,686)	711,675,686		711,675,686
Cash Equivalents - 1.8%
	Maturity Amount		Value
Investments in repurchase agreements in a joint trading account at 0.11%, dated 5/29/15 due 6/1/15 (Collateralized by U.S. Government Obligations) # (b) (Cost $474,630,000)	$ 474,634,200		$ 474,630,000
TOTAL INVESTMENT PORTFOLIO - 107.1% (Cost $27,457,380,017)		27,993,864,108
NET OTHER ASSETS (LIABILITIES) - (7.1)%			(1,865,631,970)
NET ASSETS - 100%		$ 26,128,232,138
TBA Sale Commitments
	Principal Amount
Fannie Mae
2.5% 6/1/30	$ (6,200,000)		(6,334,657)
3% 6/1/45	(29,800,000)		(30,181,810)
3% 6/1/45	(64,200,000)		(65,022,556)
3% 6/1/45	(128,300,000)		(129,943,831)
3% 6/1/45	(63,200,000)		(64,009,744)
3% 6/1/45	(64,200,000)		(65,022,556)
3% 6/1/45	(128,300,000)		(129,943,831)
3% 6/1/45	(63,200,000)		(64,009,744)
3% 6/1/45	(14,400,000)		(14,584,499)
3% 6/1/45	(15,400,000)		(15,597,311)
3.5% 6/1/45	(47,300,000)		(49,398,933)
3.5% 6/1/45	(38,400,000)		(40,103,996)
3.5% 6/1/45	(44,600,000)		(46,579,121)
4.5% 6/1/45	(4,700,000)		(5,109,781)
TOTAL FANNIE MAE			(725,842,370)
Ginnie Mae
3% 6/1/45	(32,200,000)		(32,947,936)
3.5% 6/1/45	(56,700,000)		(59,518,500)
TOTAL GINNIE MAE			(92,466,436)
TOTAL TBA SALE COMMITMENTS (Proceeds $815,286,051)		$ (818,308,806)

Swaps
Interest Rate Swaps
Clearinghouse/ Counterparty(1)	Expiration Date	Notional Amount	Payment Received	Payment Paid	Value	Upfront Premium Received/ (Paid)(2)	Unrealized Appreciation/ (Depreciation)
LCH	Jun. 2020	$ 71,900,000	3-month LIBOR	2.25%	$ (55,149)	$ 0	$ (55,149)
CME	Jun. 2025	74,000,000	3-month LIBOR	2.75%	(607,184)	0	(607,184)
CME	Jun. 2045	30,400,000	3-month LIBOR	3.25%	74,574	0	74,574
TOTAL INTEREST RATE SWAPS					$ (587,759)	$ 0	$ (587,759)

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

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

Legend

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

(d) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $1,344,383,288 or 5.1% of net assets.

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

(f) Security or a portion of the security was pledged to cover margin requirements for centrally cleared OTC swaps. At period end, the value of securities pledged amounted to $10,558,310.

(g) Security or a portion of the security has been segregated as collateral for mortgage-backed or asset-backed securities purchased on a delayed delivery or when-issued basis. At period end, the value of securities pledged amounted to $2,485,302.

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

(i) 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.

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

(k) Coupon is inversely indexed to a floating interest rate multiplied by a specified factor. The price may be considerably more volatile than the price of a comparable fixed rate security.

(l) Represents an investment in an underlying pool of reverse mortgages which typically do not require regular principal and interest payments as repayment is deferred until a maturity event.

# Additional information on each counterparty to the repurchase agreement is as follows:

Repurchase Agreement / Counterparty	Value
$474,630,000 due 6/01/15 at 0.11%
Bank of America NA	$ 14,849,267
Commerz Markets LLC	110,541,421
Merrill Lynch, Pierce, Fenner & Smith, Inc.	320,136,036
RBS Securities, Inc.	29,103,276
	$ 474,630,000

Affiliated Central Funds

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

Fund	Income earned
Fidelity Cash Central Fund	$ 819,605
Fidelity Mortgage Backed Securities Central Fund	9,430,603
Total	$ 10,250,208

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	Value, beginning of period	Purchases	Sales Proceeds*	Value, end of period	% ownership, end of period
Fidelity Mortgage Backed Securities Central Fund	$ 4,712,836,075	$ -	$ 4,692,827,748	$ -	0.0%

* Includes the value of shares redeemed through in-kind transactions.

Other Information

Valuation Inputs at Reporting Date:
Description	Total	Level 1	Level 2	Level 3
Investments in Securities:
Corporate Bonds	$ 11,315,350,487	$ -	$ 11,315,350,487	$ -
U.S. Government and Government Agency Obligations	6,314,210,804	-	6,314,210,804	-
U.S. Government Agency - Mortgage Securities	5,716,704,106	-	5,716,704,106	-
Asset-Backed Securities	158,651,055	-	157,355,949	1,295,106
Collateralized Mortgage Obligations	625,318,577	-	625,318,577	-
Commercial Mortgage Securities	1,914,465,783	-	1,914,223,905	241,878
Municipal Securities	591,687,076	-	591,687,076	-
Foreign Government and Government Agency Obligations	136,802,247	-	136,802,247	-
Bank Notes	34,368,287	-	34,368,287	-
Money Market Funds	711,675,686	711,675,686	-	-
Cash Equivalents	474,630,000	-	474,630,000	-
Total Investments in Securities:	$ 27,993,864,108	$ 711,675,686	$ 27,280,651,438	$ 1,536,984
Derivative Instruments:
Swaps	$ (587,759)	$ -	$ (587,759)	$ -
Other Financial Instruments:
TBA Sale Commitments	$ (818,308,806)	$ -	$ (818,308,806)	$ -

Income Tax Information

At May 31, 2015, the cost of investment securities for income tax purposes was $27,404,224,843. Net unrealized appreciation aggregated $589,639,265, of which $752,314,840 related to appreciated investment securities and $162,675,575 related to depreciated investment securities.

Investment Valuation

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, 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.

Quarterly 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 Report

Investments May 31, 2015 (Unaudited)

Quarterly Holdings Report

for

Series Short-Term
Credit Fund

May 31, 2015

1.9863241.100

SS1-QTLY-0715

Investments May 31, 2015 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 67.7%
	Principal Amount		Value
CONSUMER DISCRETIONARY - 4.8%
Automobiles - 2.5%
American Honda Finance Corp. 0.95% 5/5/17	$ 7,210,000		$ 7,212,423
Daimler Finance North America LLC:
1.375% 8/1/17 (b)	5,176,000		5,177,377
1.45% 8/1/16 (b)	1,799,000		1,809,934
1.65% 3/2/18 (b)	3,047,000		3,054,724
1.65% 5/18/18 (b)	3,000,000		3,002,142
General Motors Financial Co., Inc. 2.4% 4/10/18	9,850,000		9,847,124
Volkswagen Group of America Finance LLC:
1.25% 5/23/17 (b)	4,784,000		4,793,558
1.65% 5/22/18 (b)	2,000,000		2,005,194
Volkswagen International Finance NV:
1.6% 11/20/17 (b)	2,785,000		2,799,975
2.375% 3/22/17 (b)	2,572,000		2,625,716
			42,328,167
Media - 2.3%
COX Communications, Inc. 6.25% 6/1/18 (b)	613,000		691,872
DIRECTV Holdings LLC/DIRECTV Financing, Inc. 2.4% 3/15/17	6,571,000		6,668,533
NBCUniversal Enterprise, Inc. 1.974% 4/15/19 (b)	10,000,000		10,027,070
Thomson Reuters Corp. 0.875% 5/23/16	1,336,000		1,335,467
Time Warner Cable, Inc. 5.85% 5/1/17	7,442,000		7,989,225
Time Warner, Inc. 6.875% 6/15/18	5,000,000		5,740,955
Viacom, Inc. 2.2% 4/1/19	3,047,000		3,035,763
Walt Disney Co. 1.1% 12/1/17	2,321,000		2,322,583
			37,811,468
TOTAL CONSUMER DISCRETIONARY			80,139,635
CONSUMER STAPLES - 2.3%
Beverages - 0.4%
Heineken NV 1.4% 10/1/17 (b)	1,364,000		1,367,042
SABMiller Holdings, Inc. 2.45% 1/15/17 (b)	5,722,000		5,830,386
			7,197,428
Food & Staples Retailing - 0.3%
CVS Health Corp. 2.25% 8/12/19	2,680,000		2,697,750
Walgreen Co. 1.8% 9/15/17	1,698,000		1,710,438
Walgreens Boots Alliance, Inc. 1.75% 11/17/17	586,000		590,052
			4,998,240
Nonconvertible Bonds - continued
	Principal Amount		Value
CONSUMER STAPLES - continued
Food Products - 1.4%
ConAgra Foods, Inc. 1.3% 1/25/16	$ 7,568,000		$ 7,582,258
General Mills, Inc. 1.4% 10/20/17	3,154,000		3,156,031
The J.M. Smucker Co. 1.75% 3/15/18 (b)	8,044,000		8,052,623
Tyson Foods, Inc. 2.65% 8/15/19	2,471,000		2,517,368
William Wrigley Jr. Co. 1.4% 10/21/16 (b)	1,610,000		1,615,453
			22,923,733
Tobacco - 0.2%
Reynolds American, Inc. 6.75% 6/15/17	3,586,000		3,946,985
TOTAL CONSUMER STAPLES			39,066,386
ENERGY - 5.4%
Energy Equipment & Services - 0.4%
Nabors Industries, Inc. 2.35% 9/15/16	1,381,000		1,385,726
Noble Holding International Ltd. 4% 3/16/18	170,000		174,597
Petrofac Ltd. 3.4% 10/10/18 (b)	4,728,000		4,708,714
			6,269,037
Oil, Gas & Consumable Fuels - 5.0%
BG Energy Capital PLC 2.875% 10/15/16 (b)	2,730,000		2,796,197
BP Capital Markets PLC:
1.375% 5/10/18	2,745,000		2,738,695
1.846% 5/5/17	3,047,000		3,091,727
2.248% 11/1/16	2,776,000		2,829,241
Canadian Natural Resources Ltd. 1.75% 1/15/18	935,000		929,060
Columbia Pipeline Group, Inc. 2.45% 6/1/18 (b)	314,000		316,821
ConocoPhillips Co. 1.5% 5/15/18	8,000,000		8,012,632
DCP Midstream Operating LP 2.7% 4/1/19	238,000		225,807
Enbridge, Inc.:
0.7116% 6/2/17 (c)	4,266,000		4,215,631
0.9242% 10/1/16 (c)	5,485,000		5,492,816
Enterprise Products Operating LP:
1.65% 5/7/18	748,000		748,741
2.55% 10/15/19	476,000		481,684
Kinder Morgan, Inc.:
2% 12/1/17	832,000		833,771
3.05% 12/1/19	1,606,000		1,612,895
Marathon Petroleum Corp. 3.5% 3/1/16	3,622,000		3,690,445
Petro-Canada 6.05% 5/15/18	3,047,000		3,423,871
Nonconvertible Bonds - continued
	Principal Amount		Value
ENERGY - continued
Oil, Gas & Consumable Fuels - continued
Petrobras Global Finance BV:
2% 5/20/16	$ 7,116,000		$ 7,017,088
3.25% 3/17/17	3,047,000		3,011,838
Petrobras International Finance Co. Ltd. 3.875% 1/27/16	2,503,000		2,513,012
Petroleos Mexicanos 3.125% 1/23/19	405,000		412,169
Phillips 66 Co. 2.95% 5/1/17	1,219,000		1,255,848
Schlumberger Investment SA 1.25% 8/1/17 (b)	4,003,000		4,005,346
Shell International Finance BV 2.125% 5/11/20	2,509,000		2,519,450
Southwestern Energy Co. 3.3% 1/23/18	879,000		903,639
Spectra Energy Partners, LP 2.95% 6/15/16	1,257,000		1,279,118
Total Capital International SA 1% 1/10/17	7,634,000		7,661,024
TransCanada PipeLines Ltd.:
0.9531% 6/30/16 (c)	6,186,000		6,199,832
1.875% 1/12/18	4,751,000		4,800,154
			83,018,552
TOTAL ENERGY			89,287,589
FINANCIALS - 38.3%
Banks - 20.2%
Australia & New Zealand Banking Group Ltd.:
1.25% 1/10/17	3,763,000		3,775,982
1.875% 10/6/17	1,523,000		1,544,281
Bank of America Corp.:
1.25% 1/11/16	3,553,000		3,561,271
2% 1/11/18	5,044,000		5,078,501
2.6% 1/15/19	25,295,000		25,688,008
3.875% 3/22/17	4,571,000		4,771,032
Bank of America NA:
1.25% 2/14/17	4,882,000		4,886,701
5.3% 3/15/17	591,000		629,039
Bank of Nova Scotia 1.375% 12/18/17	2,540,000		2,539,538
Bank of Tokyo-Mitsubishi UFJ Ltd.:
1% 2/26/16 (b)	5,485,000		5,490,183
1.45% 9/8/17 (b)	4,571,000		4,559,600
1.55% 9/9/16 (b)	3,053,000		3,069,419
1.7% 3/5/18 (b)	7,618,000		7,630,181
Barclays Bank PLC 2.5% 2/20/19	3,946,000		4,018,235
Barclays PLC 2% 3/16/18	6,000,000		6,031,296
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Banks - continued
BNP Paribas 2.375% 9/14/17	$ 5,586,000		$ 5,693,575
BPCE SA 1.625% 2/10/17	3,047,000		3,067,808
Capital One Bank NA:
0.7766% 2/13/17 (c)	3,047,000		3,044,703
1.15% 11/21/16	1,817,000		1,819,934
1.2% 2/13/17	4,450,000		4,434,220
1.3% 6/5/17	4,265,000		4,251,373
Capital One NA:
1.5% 9/5/17	3,078,000		3,065,614
1.65% 2/5/18	4,571,000		4,550,773
Citigroup, Inc.:
0.5336% 6/9/16 (c)	2,133,000		2,124,807
1.237% 7/25/16 (c)	1,240,000		1,245,178
1.3% 11/15/16	4,177,000		4,185,245
1.55% 8/14/17	12,190,000		12,185,392
1.85% 11/24/17	3,047,000		3,066,723
2.4% 2/18/20	2,933,000		2,926,357
2.5% 9/26/18	5,000,000		5,087,750
2.5% 7/29/19	2,438,000		2,455,173
Citizens Bank NA 1.6% 12/4/17	4,571,000		4,584,850
Credit Suisse New York Branch:
0.772% 5/26/17 (c)	3,047,000		3,041,844
1.375% 5/26/17	9,386,000		9,391,988
1.75% 1/29/18	6,095,000		6,096,512
Discover Bank 2% 2/21/18	6,220,000		6,227,284
Fifth Third Bancorp 4.5% 6/1/18	2,133,000		2,293,442
Fifth Third Bank 0.9% 2/26/16	6,287,000		6,291,445
HSBC Bank PLC 1.5% 5/15/18 (b)	2,730,000		2,720,587
HSBC U.S.A., Inc.:
1.5% 11/13/17	2,438,000		2,436,115
1.625% 1/16/18	2,287,000		2,295,471
1.7% 3/5/18	3,047,000		3,053,508
Ing Bank NV Mtn Be 144A 1.8% 3/16/18 (b)	2,438,000		2,453,867
Intesa Sanpaolo SpA:
2.375% 1/13/17	6,748,000		6,805,824
3.125% 1/15/16	3,047,000		3,083,430
JPMorgan Chase & Co.:
1.35% 2/15/17	17,096,000		17,146,929
2.2% 10/22/19	1,459,000		1,454,997
2.35% 1/28/19	1,088,000		1,100,921
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Banks - continued
KeyBank NA:
1.65% 2/1/18	$ 1,763,000		$ 1,768,021
2.5% 12/15/19	1,749,000		1,775,237
La Caisse Centrale 1.75% 1/29/18 (b)	3,047,000		3,049,331
Lloyds Bank PLC 1.75% 3/16/18	2,605,000		2,612,036
Manufacturers & Traders Trust Co. 1.4% 7/25/17	4,784,000		4,793,960
Marshall & Ilsley Bank 5% 1/17/17	209,000		219,918
Mitsubishi UFJ Trust & Banking Corp. 1.6% 10/16/17 (b)	3,480,000		3,481,413
Mizuho Bank Ltd.:
0.7168% 9/25/17 (b)(c)	4,571,000		4,562,489
1.55% 10/17/17 (b)	7,882,000		7,876,388
MUFG Americas Holdings Corp. 1.625% 2/9/18	680,000		679,904
MUFG Union Bank NA 1.5% 9/26/16	1,809,000		1,821,535
PNC Bank NA 1.5% 2/23/18	3,047,000		3,054,852
Regions Financial Corp. 2% 5/15/18	2,733,000		2,732,981
Royal Bank of Canada:
1.5% 1/16/18	5,205,000		5,212,964
2.2% 7/27/18	2,742,000		2,796,555
Royal Bank of Scotland Group PLC:
1.2131% 3/31/17 (c)	8,504,000		8,509,783
2.55% 9/18/15	12,705,000		12,764,078
Sumitomo Mitsui Banking Corp.:
1.3% 1/10/17	6,095,000		6,103,929
1.45% 7/19/16	5,500,000		5,527,533
1.75% 1/16/18	3,047,000		3,059,435
1.8% 7/18/17	4,022,000		4,060,422
SunTrust Banks, Inc. 3.5% 1/20/17	3,109,000		3,215,259
Union Bank NA 3% 6/6/16	3,047,000		3,110,451
Wells Fargo & Co. 1.5% 1/16/18	6,095,000		6,124,683
Westpac Banking Corp.:
1.5% 12/1/17	4,571,000		4,590,120
2% 8/14/17	4,742,000		4,823,757
			335,283,940
Capital Markets - 7.7%
Deutsche Bank AG London Branch 1.4% 2/13/17	10,666,000		10,672,666
Goldman Sachs Group, Inc.:
1.748% 9/15/17	7,618,000		7,608,782
2.375% 1/22/18	15,673,000		15,907,860
2.625% 1/31/19	3,047,000		3,104,533
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Capital Markets - continued
JPMorgan Chase & Co. 1.7% 3/1/18	$ 45,666,000		$ 45,772,347
Lazard Group LLC 6.85% 6/15/17	89,000		97,603
Morgan Stanley:
1.75% 2/25/16	6,095,000		6,138,518
1.875% 1/5/18	23,047,000		23,136,837
5.45% 1/9/17	4,876,000		5,184,719
UBS AG Stamford Branch:
0.9694% 3/26/18 (c)	3,000,000		3,006,636
1.375% 8/14/17	4,735,000		4,730,151
1.8% 3/26/18	3,416,000		3,417,828
			128,778,480
Consumer Finance - 5.4%
American Express Credit Corp.:
1.125% 6/5/17	6,186,000		6,172,292
1.3% 7/29/16	2,742,000		2,756,396
American Honda Finance Corp. 1.5% 9/11/17 (b)	1,571,000		1,584,624
Discover Financial Services 6.45% 6/12/17	7,272,000		7,954,804
Ford Motor Credit Co. LLC:
1.461% 3/27/17	2,438,000		2,437,715
1.684% 9/8/17	4,638,000		4,629,939
1.7% 5/9/16	3,047,000		3,064,359
2.145% 1/9/18	18,047,000		18,227,235
3% 6/12/17	8,463,000		8,678,976
General Electric Capital Corp.:
2.3% 1/14/19	5,000,000		5,111,610
3.35% 10/17/16	8,089,000		8,375,286
Hyundai Capital America:
1.45% 2/6/17 (b)	3,160,000		3,156,739
1.875% 8/9/16 (b)	722,000		728,560
2.125% 10/2/17 (b)	2,970,000		3,001,262
Hyundai Capital America Mtn Be 144A 2% 3/19/18 (b)	3,047,000		3,065,154
John Deere Capital Corp. 1.3% 3/12/18	10,000,000		10,008,080
Synchrony Financial 1.875% 8/15/17	565,000		567,019
			89,520,050
Diversified Financial Services - 0.6%
AIG Global Funding 1.65% 12/15/17 (b)	3,047,000		3,061,172
Berkshire Hathaway Finance Corp. 1.6% 5/15/17	3,047,000		3,090,965
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Diversified Financial Services - continued
Berkshire Hathaway, Inc. 1.55% 2/9/18	$ 2,660,000		$ 2,688,720
IntercontinentalExchange Group, Inc. 2.5% 10/15/18	1,883,000		1,937,055
			10,777,912
Insurance - 2.5%
American International Group, Inc.:
2.3% 7/16/19	5,696,000		5,731,965
5.85% 1/16/18	2,077,000		2,300,253
Assurant, Inc. 2.5% 3/15/18	3,747,000		3,807,604
Marsh & McLennan Companies, Inc. 2.55% 10/15/18	2,802,000		2,859,688
MetLife, Inc.:
1.756% 12/15/17	1,142,000		1,155,179
1.903% 12/15/17	490,000		493,204
Metropolitan Life Global Funding I:
1.3% 4/10/17 (b)	4,571,000		4,581,655
1.5% 1/10/18 (b)	6,073,000		6,069,872
Pricoa Global Funding I 1.15% 11/25/16 (b)	1,837,000		1,840,988
Principal Life Global Funding II 2.2% 4/8/20 (b)	5,780,000		5,785,000
Prudential Financial, Inc. 2.3% 8/15/18	4,880,000		4,964,629
Symetra Financial Corp. 6.125% 4/1/16 (b)	1,305,000		1,348,464
TIAA Asset Management Finance LLC 2.95% 11/1/19 (b)	658,000		670,263
			41,608,764
Real Estate Investment Trusts - 1.0%
Boston Properties, Inc. 3.7% 11/15/18	5,214,000		5,535,813
DDR Corp. 9.625% 3/15/16	797,000		849,710
Equity One, Inc. 6.25% 1/15/17	109,000		116,860
ERP Operating LP 2.375% 7/1/19	1,567,000		1,583,378
HCP, Inc. 3.75% 2/1/16	1,478,000		1,505,146
Health Care Property Investors, Inc. 6% 1/30/17	3,594,000		3,865,394
Health Care REIT, Inc.:
2.25% 3/15/18	1,081,000		1,095,016
4.7% 9/15/17	375,000		400,673
Select Income (REIT) 2.85% 2/1/18	1,091,000		1,106,095
Simon Property Group LP 2.15% 9/15/17	914,000		933,204
			16,991,289
Real Estate Management & Development - 0.9%
Brandywine Operating Partnership LP 6% 4/1/16	1,802,000		1,871,851
Essex Portfolio LP 5.5% 3/15/17	2,274,000		2,437,498
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Real Estate Management & Development - continued
Mack-Cali Realty LP:
2.5% 12/15/17	$ 1,847,000		$ 1,854,785
5.8% 1/15/16	385,000		394,516
Ventas Realty LP:
1.25% 4/17/17	1,167,000		1,166,302
1.55% 9/26/16	1,147,000		1,153,975
Ventas Realty LP/Ventas Capital Corp. 2% 2/15/18	1,652,000		1,667,585
Washington Prime Group LP 3.85% 4/1/20 (b)	3,571,000		3,623,270
			14,169,782
TOTAL FINANCIALS			637,130,217
HEALTH CARE - 4.1%
Biotechnology - 0.5%
Amgen, Inc.:
1.25% 5/22/17	4,784,000		4,781,005
2.2% 5/22/19	3,596,000		3,613,275
			8,394,280
Health Care Equipment & Supplies - 0.7%
Becton, Dickinson & Co. 1.8% 12/15/17	3,087,000		3,108,223
Medtronic, Inc. 1.5% 3/15/18 (b)	3,718,000		3,725,042
Zimmer Holdings, Inc. 2% 4/1/18	4,522,000		4,555,481
			11,388,746
Health Care Providers & Services - 0.5%
Express Scripts Holding Co. 1.25% 6/2/17	6,015,000		6,004,101
WellPoint, Inc. 1.875% 1/15/18	1,385,000		1,392,404
			7,396,505
Life Sciences Tools & Services - 0.0%
Thermo Fisher Scientific, Inc. 1.3% 2/1/17	718,000		717,853
Pharmaceuticals - 2.4%
AbbVie, Inc.:
1.75% 11/6/17	4,470,000		4,485,632
1.8% 5/14/18	4,368,000		4,372,346
2.5% 5/14/20	2,500,000		2,498,153
Actavis Funding SCS:
1.3477% 3/12/18 (c)	6,095,000		6,159,967
2.35% 3/12/18	6,095,000		6,163,746
3% 3/12/20	1,980,000		2,005,041
Nonconvertible Bonds - continued
	Principal Amount		Value
HEALTH CARE - continued
Pharmaceuticals - continued
Bayer U.S. Finance LLC:
1.5% 10/6/17 (b)	$ 5,036,000		$ 5,070,502
2.375% 10/8/19 (b)	1,673,000		1,694,729
Mylan, Inc. 1.35% 11/29/16	850,000		849,348
Perrigo Co. PLC 1.3% 11/8/16	717,000		716,469
Watson Pharmaceuticals, Inc. 1.875% 10/1/17	895,000		897,386
Zoetis, Inc.:
1.15% 2/1/16	2,310,000		2,312,160
1.875% 2/1/18	2,412,000		2,411,660
			39,637,139
TOTAL HEALTH CARE			67,534,523
INDUSTRIALS - 0.3%
Aerospace & Defense - 0.1%
L-3 Communications Corp. 1.5% 5/28/17	2,197,000		2,179,007
Airlines - 0.0%
Continental Airlines, Inc. 6.795% 2/2/20	10,743		11,361
Electrical Equipment - 0.1%
ABB Finance (U.S.A.), Inc. 1.625% 5/8/17	1,040,000		1,050,454
Trading Companies & Distributors - 0.1%
Air Lease Corp. 2.125% 1/15/18	1,198,000		1,190,513
TOTAL INDUSTRIALS			4,431,335
INFORMATION TECHNOLOGY - 2.1%
Communications Equipment - 0.4%
Cisco Systems, Inc. 1.1% 3/3/17	6,186,000		6,217,932
Electronic Equipment & Components - 0.9%
Amphenol Corp. 1.55% 9/15/17	4,124,000		4,136,694
Tyco Electronics Group SA:
2.375% 12/17/18	526,000		534,318
6.55% 10/1/17	10,064,000		11,216,630
			15,887,642
IT Services - 0.8%
The Western Union Co.:
1.281% 8/21/15 (c)	7,594,000		7,602,832
Nonconvertible Bonds - continued
	Principal Amount		Value
INFORMATION TECHNOLOGY - continued
IT Services - continued
The Western Union Co.: - continued
2.875% 12/10/17	$ 3,749,000		$ 3,851,824
3.65% 8/22/18	1,415,000		1,473,989
			12,928,645
TOTAL INFORMATION TECHNOLOGY			35,034,219
MATERIALS - 1.8%
Chemicals - 1.3%
Chevron Phillips Chemical Co. LLC / Chevron Phillips Chemical Co. LP 1.7% 5/1/18 (b)	10,850,000		10,889,939
Ecolab, Inc.:
1.45% 12/8/17	1,409,000		1,404,425
1.55% 1/12/18	6,598,000		6,606,478
Sherwin-Williams Co. 1.35% 12/15/17	2,620,000		2,619,851
			21,520,693
Metals & Mining - 0.5%
Anglo American Capital PLC 1.2253% 4/15/16 (b)(c)	2,783,000		2,781,631
Freeport-McMoRan, Inc. 2.3% 11/14/17	1,511,000		1,513,058
Rio Tinto Finance (U.S.A.) PLC:
1.1107% 6/17/16 (c)	2,133,000		2,138,938
1.625% 8/21/17	2,651,000		2,657,800
			9,091,427
TOTAL MATERIALS			30,612,120
TELECOMMUNICATION SERVICES - 4.8%
Diversified Telecommunication Services - 4.1%
AT&T, Inc.:
1.4% 12/1/17	12,620,000		12,610,068
2.45% 6/30/20	1,944,000		1,924,125
2.95% 5/15/16	5,049,000		5,136,504
British Telecommunications PLC:
1.25% 2/14/17	5,562,000		5,566,427
1.625% 6/28/16	4,211,000		4,239,900
2.35% 2/14/19	2,499,000		2,534,383
CenturyLink, Inc. 5.15% 6/15/17	3,395,000		3,539,288
Deutsche Telekom International Financial BV 3.125% 4/11/16 (b)	2,633,000		2,685,918
Nonconvertible Bonds - continued
	Principal Amount		Value
TELECOMMUNICATION SERVICES - continued
Diversified Telecommunication Services - continued
Verizon Communications, Inc.:
1.35% 6/9/17	$ 15,000,000		$ 14,990,415
2% 11/1/16	5,508,000		5,584,407
2.5% 9/15/16	8,731,000		8,881,522
			67,692,957
Wireless Telecommunication Services - 0.7%
America Movil S.A.B. de CV:
1.2677% 9/12/16 (c)	3,139,000		3,148,094
2.375% 9/8/16	3,677,000		3,732,192
Vodafone Group PLC 1.5% 2/19/18	4,438,000		4,411,035
			11,291,321
TOTAL TELECOMMUNICATION SERVICES			78,984,278
UTILITIES - 3.8%
Electric Utilities - 2.2%
American Electric Power Co., Inc. 1.65% 12/15/17	3,772,000		3,779,936
Cleveland Electric Illuminating Co. 5.7% 4/1/17	805,000		862,124
Duke Energy Corp.:
0.6508% 4/3/17 (c)	4,109,000		4,115,554
1.625% 8/15/17	5,505,000		5,548,165
2.1% 6/15/18	2,129,000		2,168,512
Eversource Energy 1.45% 5/1/18	726,000		722,295
FirstEnergy Corp. 2.75% 3/15/18	7,608,000		7,757,170
NextEra Energy Capital Holdings, Inc. 1.586% 6/1/17	3,440,000		3,453,743
Pacific Gas & Electric Co. 5.625% 11/30/17	4,213,000		4,628,061
Xcel Energy, Inc. 1.2% 6/1/17	3,347,000		3,350,802
			36,386,362
Independent Power and Renewable Electricity Producers - 0.1%
Southern Power Co. 1.5% 6/1/18	2,491,000		2,486,628
Multi-Utilities - 1.5%
Dominion Resources, Inc.:
1.4% 9/15/17	1,648,000		1,651,604
1.95% 8/15/16	1,821,000		1,841,306
2.5% 12/1/19	2,438,000		2,464,418
2.5731% 9/30/66 (c)	2,319,000		2,133,452
Nonconvertible Bonds - continued
	Principal Amount		Value
UTILITIES - continued
Multi-Utilities - continued
MidAmerican Energy Holdings, Co. 1.1% 5/15/17	$ 8,517,000		$ 8,511,711
Sempra Energy 2.3% 4/1/17	7,873,000		8,022,973
			24,625,464
TOTAL UTILITIES			63,498,454
TOTAL NONCONVERTIBLE BONDS (Cost $1,125,580,757)		1,125,718,756
U.S. Government and Government Agency Obligations - 0.6%

U.S. Government Agency Obligations - 0.1%
Fannie Mae:
0.875% 2/8/18	127,000		126,893
1.625% 11/27/18	837,000		849,213
1.875% 9/18/18	451,000		462,045
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS			1,438,151
U.S. Treasury Obligations - 0.5%
U.S. Treasury Notes 1.375% 2/28/19	8,726,300		8,780,159
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $10,206,544)		10,218,310
U.S. Government Agency - Mortgage Securities - 3.1%

Fannie Mae - 1.8%
2.152% 11/1/34 (c)	281,244		299,861
2.211% 10/1/35 (c)	1,837,917		1,962,765
2.23% 1/1/40 (c)	629,053		674,464
2.245% 2/1/35 (c)	480,000		508,524
2.271% 3/1/40 (c)	445,519		475,857
2.274% 11/1/36 (c)	614,395		654,544
2.3% 2/1/40 (c)	1,092,139		1,163,645
2.31% 12/1/39 (c)	151,048		161,756
2.317% 1/1/40 (c)	1,177,529		1,258,003
2.346% 5/1/35 (c)	467,742		498,657
2.361% 4/1/35 (c)	721,832		768,559
U.S. Government Agency - Mortgage Securities - continued
	Principal Amount		Value
Fannie Mae - continued
2.384% 7/1/35 (c)	$ 421,434		$ 449,978
2.391% 12/1/33 (c)	223,225		239,340
2.428% 12/1/34 (c)	252,289		270,315
2.435% 2/1/40 (c)	304,387		326,121
2.456% 3/1/40 (c)	520,907		555,494
2.488% 11/1/34 (c)	2,029,263		2,175,616
2.537% 10/1/41 (c)	993,687		1,065,419
2.542% 6/1/42 (c)	368,391		382,160
2.691% 2/1/42 (c)	1,984,924		2,066,919
2.693% 9/1/41 (c)	1,413,901		1,515,968
2.765% 1/1/42 (c)	1,786,699		1,863,098
2.96% 11/1/40 (c)	214,922		225,998
2.979% 8/1/41 (c)	294,262		315,504
2.982% 9/1/41 (c)	252,859		265,616
3.059% 10/1/41 (c)	100,826		104,773
3.237% 7/1/41 (c)	404,483		428,925
3.308% 10/1/41 (c)	204,740		215,769
3.554% 7/1/41 (c)	413,972		439,590
5.5% 10/1/17 to 11/1/34	6,790,893		7,637,433
6.5% 1/1/16 to 8/1/17	31,461		32,865
7% 10/1/15 to 11/1/18	18,608		19,238
7.5% 11/1/31	788		935
TOTAL FANNIE MAE			29,023,709
Freddie Mac - 1.3%
2.164% 11/1/35 (c)	327,443		347,278
2.35% 8/1/36 (c)	215,322		229,446
2.402% 10/1/42 (c)	2,162,122		2,280,959
2.527% 2/1/40 (c)	581,526		624,989
2.973% 8/1/41 (c)	775,995		832,012
3% 8/1/21	2,065,699		2,158,091
3.13% 9/1/41 (c)	499,940		536,030
3.133% 4/1/40 (c)	380,964		405,229
3.231% 9/1/41 (c)	244,114		256,461
3.242% 4/1/41 (c)	260,559		275,015
3.296% 6/1/41 (c)	292,829		310,179
3.47% 5/1/41 (c)	280,751		296,356
3.5% 8/1/26	6,361,353		6,780,556
3.502% 4/1/40 (c)	350,587		375,875
3.622% 6/1/41 (c)	402,578		427,573
3.705% 5/1/41 (c)	352,424		374,569
U.S. Government Agency - Mortgage Securities - continued
	Principal Amount		Value
Freddie Mac - continued
4% 9/1/25 to 4/1/26	$ 2,314,161		$ 2,488,242
4.5% 8/1/18 to 11/1/18	1,726,598		1,800,503
5% 4/1/20	763,158		801,795
8.5% 5/1/27 to 7/1/28	52,968		64,263
TOTAL FREDDIE MAC			21,665,421
Ginnie Mae - 0.0%
7% 11/15/27 to 8/15/32	378,375		445,169
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $51,053,026)		51,134,299
Asset-Backed Securities - 12.8%

Accredited Mortgage Loan Trust:
Series 2003-3 Class A1, 5.21% 1/25/34 (AMBAC Insured)	375,243		365,388
Series 2005-1 Class M1, 0.6513% 4/25/35 (c)	136,148		121,644
ACE Securities Corp. Home Equity Loan Trust:
Series 2004-HE1 Class M2, 1.8348% 3/25/34 (c)	21,703		20,830
Series 2006-OP1 Class M1, 0.4648% 4/25/36 (c)	2,438,062		614,046
Ally Master Owner Trust:
Series 2012-4 Class A, 1.72% 7/15/19	1,545,000		1,559,353
Series 2012-5 Class A, 1.54% 9/15/19	7,047,000		7,079,134
Series 2014-3 Class A, 1.33% 3/15/19	11,080,000		11,111,024
Series 2014-4 Class A2, 1.43% 6/17/19	4,556,000		4,575,044
Series 2014-5 Class A2, 1.6% 10/15/19	9,142,000		9,191,275
Series 2015-3 Class A, 1.6% 5/15/20	3,340,000		3,344,175
American Express Credit Account Master Trust Series 2014-3 Class A, 1.49% 4/15/20	6,095,157		6,141,779
AmeriCredit Automobile Receivables T Series 2014-4 Class A3, 1.27% 7/8/19	1,137,000		1,139,496
AmeriCredit Automobile Receivables Trust:
Series 2014-1 Class A3, 0.9% 2/8/19	2,350,000		2,349,046
Series 2014-2 Class A3, 0.94% 2/8/19	4,778,000		4,767,235
Americredit Automobile Receivables Trust Series 2015-2 Class A3, 1.27% 1/8/20	2,000,000		1,999,052
Ameriquest Mortgage Securities, Inc. pass-thru certificates Series 2004-R2 Class M3, 1.0063% 4/25/34 (c)	18,431		13,097
Argent Securities, Inc. pass-thru certificates:
Series 2003-W7 Class A2, 0.9613% 3/25/34 (c)	115,119		107,679
Asset-Backed Securities - continued
	Principal Amount		Value
Argent Securities, Inc. pass-thru certificates: - continued
Series 2004-W7 Class M1, 1.0063% 5/25/34 (c)	$ 69,180		$ 66,303
Series 2006-W4 Class A2C, 0.3448% 5/25/36 (c)	239,128		86,049
Capital Auto Receivables Asset Trust:
Series 2014-3 Class A2, 1.18% 12/20/17	3,554,000		3,560,426
Series 2015-1 Class A2, 1.42% 6/20/18	3,047,000		3,058,764
Series 2015-2 Class A2, 1.39% 9/20/18	1,744,000		1,744,262
Capital One Multi-Asset Execution Trust Series 2014-A5 Class A, 1.48% 7/15/20	5,836,000		5,875,574
Carmax Auto Owner Trust Series 2015-1 Class A3, 1.38% 11/15/19	2,295,000		2,304,139
Carrington Mortgage Loan Trust Series 2007-RFC1 Class A3, 0.3213% 12/25/36 (c)	369,893		245,539
CFC LLC:
Series 2013-1A Class A, 1.65% 7/17/17 (b)	28,944		28,954
Series 2013-2A Class A, 1.75% 11/15/17 (b)	622,157		623,040
Series 2014-1A Class A, 1.46% 12/17/18 (b)	1,334,005		1,332,176
Chase Issuance Trust:
Series 2014-A7 Class A, 1.38% 11/15/19	5,725,000		5,746,578
Series 2015-A2, Class A, 1.59% 2/18/20	3,047,000		3,070,276
CIT Equipment Collateral:
Series 2013-VT1 Class A3, 1.13% 7/20/20 (b)	5,397,261		5,407,483
Series 2014-VT1 Class A3, 1.5% 10/21/19 (b)	3,404,145		3,409,142
Citibank Credit Card Issuance Trust Series 2014-A8 Class A8, 1.73% 4/9/20	6,095,000		6,158,601
Countrywide Home Loans, Inc.:
Series 2004-2 Class 3A4, 0.6848% 7/25/34 (c)	91,880		80,383
Series 2004-3 Class M4, 1.6398% 4/25/34 (c)	14,991		12,761
Series 2004-4 Class M2, 0.9798% 6/25/34 (c)	22,364		20,264
Dell Equipment Finance Trust:
Series 2014-1 Class A3, 0.94% 6/22/20 (b)	2,590,000		2,592,427
Series 2015-1 Class A3, 1.3% 3/23/20 (b)	1,000,000		999,608
Discover Card Master Trust Series 2014-A5 Class A, 1.39% 4/15/20	4,571,000		4,591,304
Enterprise Fleet Financing LLC:
Series 2014-1 Class A2, 0.87% 9/20/19 (b)	3,147,189		3,147,928
Series 2014-2 Class A2, 1.05% 3/20/20 (b)	4,571,000		4,576,385
Series 2015-1 Class A2, 1.3% 9/20/20 (b)	4,571,000		4,578,766
Fannie Mae Series 2004-T5:
Class AB1, 0.7411% 5/28/35 (c)	193,359		179,720
Class AB3, 1.0669% 5/28/35 (c)	83,201		77,006
Ford Credit Floorplan Master Owner Trust:
Series 2012-5 Class A, 1.49% 9/15/19	14,971,000		15,032,546
Asset-Backed Securities - continued
	Principal Amount		Value
Ford Credit Floorplan Master Owner Trust: - continued
Series 2014-1 Class A1, 1.2% 2/15/19	$ 6,260,000		$ 6,274,536
Series 2014-4 Class A1, 1.4% 8/15/19	5,194,000		5,208,533
Series 2015-1 Class A1, 1.42% 1/15/20	3,809,000		3,811,830
Fremont Home Loan Trust:
Series 2004-D:
Class M4, 1.6063% 11/25/34 (c)	124,981		46,609
Class M5, 1.6813% 11/25/34 (c)	46,282		744
Series 2005-A:
Class M3, 0.9163% 1/25/35 (c)	194,673		164,547
Class M4, 1.2013% 1/25/35 (c)	71,232		45,566
GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 0.662% 2/25/47 (b)(c)	267,862		249,901
GE Business Loan Trust Series 2003-1 Class A, 0.6156% 4/15/31 (b)(c)	6,952		6,952
GE Equipment Small Ticket LLC Series 2013-1A Class A3, 1.02% 2/24/17 (b)	2,813,325		2,817,978
GE Equipment Transportation LLC:
Series 2012-2:
Class A3, 0.62% 7/25/16	238,916		238,924
Class A4, 0.92% 9/25/17	2,697,107		2,701,236
Series 2014-1 Class A3, 0.97% 4/23/18	3,580,295		3,581,477
Series 2015-1 Class A3, 1.28% 2/25/19	2,895,199		2,900,025
GM Financial Automobile Leasing Trust:
Series 2014-2A Class A3, 1.22% 1/22/18 (b)	4,720,000		4,722,945
Series 2015-1 Class A3, 1.53% 9/20/18	3,959,000		3,972,342
GMF Floorplan Owner Revolving Trust Series 2015-1 Class A1, 1.65% 5/15/20 (b)	2,972,000		2,975,213
Home Equity Asset Trust:
Series 2003-2 Class M1, 1.5048% 8/25/33 (c)	20,189		19,014
Series 2003-3 Class M1, 1.4748% 8/25/33 (c)	95,668		91,945
Series 2003-5 Class A2, 0.8848% 12/25/33 (c)	62,458		59,563
Series 2004-1 Class M2, 1.8848% 6/25/34 (c)	79,336		71,947
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.3713% 1/25/37 (c)	274,769		175,130
Hyundai Auto Lease Securitization Trust Series 2015-A Class A3, 1.42% 9/17/18 (b)	4,093,000		4,106,085
John Deere Owner Trust Series 2013-A Class A3, 0.6% 3/15/17	1,786,609		1,787,272
JPMorgan Mortgage Acquisition Trust Series 2007-CH1 Class AV4, 0.3113% 11/25/36 (c)	116,270		115,337
KeyCorp Student Loan Trust:
Series 1999-A Class A2, 0.5986% 12/27/29 (c)	34,231		34,111
Asset-Backed Securities - continued
	Principal Amount		Value
KeyCorp Student Loan Trust: - continued
Series 2006-A Class 2C, 1.4186% 3/27/42 (c)	$ 157,000		$ 78,500
Long Beach Mortgage Loan Trust Series 2006-6 Class 2A3, 0.3313% 7/25/36 (c)	2,498,594		1,320,737
Meritage Mortgage Loan Trust Series 2004-1 Class M1, 0.9348% 7/25/34 (c)	8,819		6,726
Merrill Lynch Mortgage Investors Trust:
Series 2003-OPT1 Class M1, 1.1598% 7/25/34 (c)	22,723		20,698
Series 2006-FM1 Class A2B, 0.2913% 4/25/37 (c)	68,357		64,532
Series 2006-OPT1 Class A1A, 0.7048% 6/25/35 (c)	243,878		235,298
Morgan Stanley ABS Capital I Trust:
Series 2004-HE6 Class A2, 0.8648% 8/25/34 (c)	111,970		104,045
Series 2005-NC1 Class M1, 0.8448% 1/25/35 (c)	66,054		61,876
Series 2005-NC2 Class B1, 1.9363% 3/25/35 (c)	50,037		1,094
Series 2006-NC4 Class A2D, 0.4248% 6/25/36 (c)	2,174,447		1,558,458
Nissan Master Owner Trust Receivables Series 2015-A Class A2, 1.44% 1/15/20	4,571,000		4,578,085
Northstar Education Finance, Inc., Delaware Series 2005-1 Class A5, 1.0066% 10/30/45 (c)	537,659		535,535
Park Place Securities, Inc.:
Series 2004-WCW1:
Class M3, 2.0598% 9/25/34 (c)	1,008,386		949,121
Class M4, 2.3598% 9/25/34 (c)	140,224		65,723
Series 2005-WCH1 Class M4, 1.4298% 1/25/36 (c)	302,836		270,533
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 0.9848% 4/25/33 (c)	1,048		981
Santander Drive Auto Receivables Trust Series 2014-4 Class B, 1.82% 5/15/19	2,226,000		2,228,785
Saxon Asset Securities Trust Series 2004-1 Class M1, 0.9688% 3/25/35 (c)	173,136		158,770
SLM Private Credit Student Loan Trust:
Series 2004-A:
Class B, 0.8506% 6/15/33 (c)	319,622		311,948
Class C, 1.2206% 6/15/33 (c)	1,004,429		973,391
Series 2004-B:
Class A2, 0.4706% 6/15/21 (c)	761,017		757,145
Class C, 1.1406% 9/15/33 (c)	1,205,915		1,159,088
SLM Student Loan Trust Series 2013-1 Class A2, 0.4348% 9/25/19 (c)	3,095,403		3,090,630
Synchrony Credit Card Master Note Trust Series 2015-2 Class A, 1.6% 4/15/21	3,600,000		3,607,880
Terwin Mortgage Trust Series 2003-4HE Class A1, 1.0448% 9/25/34 (c)	117,662		102,290
Asset-Backed Securities - continued
	Principal Amount		Value
Volkswagen Auto Lease Trust Series 2015-A Class A3, 1.25% 12/20/17	$ 3,047,000		$ 3,053,243
Volkswagen Credit Auto Master Trust Series 2014-1A Class A2, 1.4% 7/22/19 (b)	2,968,000		2,981,130
Volvo Financial Equipment LLC Series 2015-1A Class A3, 1.51% 6/17/19 (b)	3,732,000		3,744,894
Whinstone Capital Management Ltd. Series 1A Class B3, 2.077% 10/25/44 (b)(c)	1,702,396		1,699,369
TOTAL ASSET-BACKED SECURITIES (Cost $212,718,506)		213,005,968
Collateralized Mortgage Obligations - 3.3%

Private Sponsor - 2.1%
BCAP LLC II Trust Series 2012-RR10 Class 5A5, 0.4381% 4/26/36 (b)(c)	1,201,543		1,168,357
Credit Suisse Mortgage Trust:
Series 2011-17R Class 2A1, 3.4% 12/27/37 (b)(c)	446,657		449,972
Series 2012-2R Class 1A1, 2.5861% 5/27/35 (b)(c)	1,702,642		1,752,670
Granite Master Issuer PLC floater:
Series 2006-1A:
Class A5, 0.324% 12/20/54 (b)(c)	4,307,938		4,280,798
Class C2, 1.384% 12/20/54 (b)(c)	1,270,000		1,249,807
Series 2006-2:
Class A4, 0.264% 12/20/54 (c)	614,218		610,164
Class C1, 1.124% 12/20/54 (c)	4,598,000		4,506,960
Class M2, 0.644% 12/20/54 (c)	914,000		892,430
Series 2006-3 Class C2, 1.184% 12/20/54 (c)	2,014,000		1,976,540
Series 2006-4:
Class A4, 0.284% 12/20/54 (c)	1,116,539		1,109,393
Class B1, 0.364% 12/20/54 (c)	4,073,000		4,015,163
Class C1, 0.944% 12/20/54 (c)	2,490,000		2,427,252
Class M1, 0.524% 12/20/54 (c)	1,073,000		1,043,493
Series 2007-1:
Class 1C1, 0.784% 12/20/54 (c)	408,000		394,210
Class 1M1, 0.484% 12/20/54 (c)	268,000		259,692
Class 2C1, 1.044% 12/20/54 (c)	185,000		181,171
Class 2M1, 0.684% 12/20/54 (c)	344,000		336,673
Class 3A1, 0.384% 12/20/54 (c)	1,138,963		1,133,041
Series 2007-2:
Class 2C1, 1.0434% 12/17/54 (c)	477,000		467,078
Class 3A1, 0.3634% 12/17/54 (c)	237,583		236,300
Collateralized Mortgage Obligations - continued
	Principal Amount		Value
Private Sponsor - continued
Granite Mortgages Series 2003-2 Class 1A3, 0.7751% 7/20/43 (c)	$ 934,636		$ 933,655
Granite Mortgages PLC floater:
Series 2003-3:
Class 1A3, 0.6751% 1/20/44 (c)	225,789		225,430
Class 1C, 2.7251% 1/20/44 (c)	805,654		805,989
Series 2004-1 Class 2A1, 0.5903% 3/20/44 (c)	3,321,686		3,311,103
Series 2004-3 Class 2A1, 0.5503% 9/20/44 (c)	945,571		942,839
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.3548% 2/25/37 (c)	147,209		134,257
RESI Finance LP/RESI Finance DE Corp. floater Series 2003-B Class B5, 2.531% 6/10/35 (b)(c)	60,215		54,829
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 1.2236% 7/20/34 (c)	4,922		4,827
TOTAL PRIVATE SPONSOR			34,904,093
U.S. Government Agency - 1.2%
Fannie Mae:
floater Series 2008-76 Class EF, 0.6848% 9/25/23 (c)	149,452		149,958
pass-thru certificates Series 2012-127 Class DH, 4% 11/25/27	1,868,648		1,987,191
planned amortization class Series 2012-94 Class E, 3% 6/25/22	1,039,721		1,073,853
sequential payer:
Series 2001-40 Class Z, 6% 8/25/31	205,699		233,970
Series 2009-31 Class A, 4% 2/25/24	235,415		243,143
Series 2010-135 Class DE, 2.25% 4/25/24	996,238		1,015,165
Series 2010-123 Class DL, 3.5% 11/25/25	378,090		389,090
Series 2010-143 Class B, 3.5% 12/25/25	701,206		726,695
Series 2011-23 Class AB, 2.75% 6/25/20	552,313		564,353
Series 2011-88 Class AB, 2.5% 9/25/26	706,564		720,856
Freddie Mac:
pass-thru certificates Series 2011-3938 Class BE, 2% 10/15/21	2,579,416		2,625,729
planned amortization class:
Series 2382 Class MB, 6% 11/15/16	67,447		69,458
Series 3763 Class QA, 4% 4/15/34	1,305,839		1,358,980
Series 3820 Class DA, 4% 11/15/35	1,425,781		1,514,202
Series 3949 Class MK, 4.5% 10/15/34	1,147,229		1,249,081
Collateralized Mortgage Obligations - continued
	Principal Amount		Value
U.S. Government Agency - continued
Freddie Mac: - continued
Series 4221-CLS Class GA, 1.4% 7/15/23	$ 5,388,560		$ 5,386,988
Ginnie Mae guaranteed REMIC pass-thru certificates floater sequential payer Series 2011-150 Class D, 3% 4/20/37	169,647		172,149
TOTAL U.S. GOVERNMENT AGENCY			19,480,861
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $54,541,152)		54,384,954
Commercial Mortgage Securities - 11.7%

Asset Securitization Corp. Series 1997-D5 Class PS1, 1.5708% 2/14/43 (c)(d)	422,632		6,408
Banc of America Commercial Mortgage Trust:
sequential payer Series 2006-4 Class A4, 5.634% 7/10/46	2,044,250		2,106,669
Series 2006-4 Class A1A, 5.617% 7/10/46 (c)	4,332,081		4,507,946
Barclays Commercial Mortgage Securities LLC floater Series 2015-RRI Class A, 1.38% 5/15/32 (b)(c)	2,183,000		2,178,752
Bayview Commercial Asset Trust:
floater:
Series 2005-4A:
Class A2, 0.5748% 1/25/36 (b)(c)	683,773		607,634
Class B1, 1.5848% 1/25/36 (b)(c)	25,762		15,341
Class M1, 0.6348% 1/25/36 (b)(c)	218,296		175,252
Class M2, 0.6548% 1/25/36 (b)(c)	70,975		55,447
Class M3, 0.6848% 1/25/36 (b)(c)	94,069		70,132
Class M4, 0.7948% 1/25/36 (b)(c)	52,201		38,002
Class M5, 0.8348% 1/25/36 (b)(c)	52,201		37,539
Class M6, 0.8848% 1/25/36 (b)(c)	53,010		34,711
Series 2007-1 Class A2, 0.4548% 3/25/37 (b)(c)	424,635		357,207
Series 2007-2A:
Class A1, 0.4548% 7/25/37 (b)(c)	82,177		71,795
Class A2, 0.5048% 7/25/37 (b)(c)	77,023		65,160
Series 2007-3:
Class A2, 0.4748% 7/25/37 (b)(c)	104,743		87,503
Class M1, 0.4948% 7/25/37 (b)(c)	78,892		59,894
Class M2, 0.5248% 7/25/37 (b)(c)	84,620		56,555
Class M3, 0.5548% 7/25/37 (b)(c)	137,313		55,461
Class M4, 0.6848% 7/25/37 (b)(c)	215,361		62,006
Commercial Mortgage Securities - continued
	Principal Amount		Value
Bayview Commercial Asset Trust: - continued
floater:
Series 2007-3:
Class M5, 0.7848% 7/25/37 (b)(c)	$ 100,816		$ 16,894
Series 2007-4A:
Class A2, 0.7313% 9/25/37 (b)(c)	1,040,827		447,076
Class M1, 1.1313% 9/25/37 (b)(c)	154,913		31,652
Series 2006-2A Class IO, 0% 7/25/36 (b)(c)(d)	7,037,640		1
Bear Stearns Commercial Mortgage Securities Trust:
sequential payer:
Series 2005-PWR8 Class A4, 4.674% 6/11/41	180,575		180,385
Series 2006-PW14 Class A1A, 5.189% 12/11/38	1,510,963		1,586,821
Series 2006-PW12 Class A1A, 5.8805% 9/11/38 (c)	3,234,184		3,342,584
C-BASS Trust floater Series 2006-SC1 Class A, 0.4513% 5/25/36 (b)(c)	643,953		610,974
CD Commercial Mortgage Trust Series 2007-CD5 Class A1A, 5.8% 11/15/44	2,927,554		3,158,781
CDGJ Commercial Mortgage Trust Series 2014-BXCH Class A, 1.5745% 12/15/27 (b)(c)	3,352,336		3,358,638
Citigroup Commercial Mortgage Trust sequential payer Series 2006-C5 Class A4, 5.431% 10/15/49	1,485,085		1,553,135
Citigroup/Deutsche Bank Commercial Mortgage Trust:
sequential payer Series 2006-CD2 Class A4, 5.4787% 1/15/46 (c)	804,637		812,199
Series 2005-CD1 Class A4, 5.3959% 7/15/44 (c)	1,015,260		1,018,510
Series 2006-CD2 Class A1B, 5.4797% 1/15/46 (c)	6,638,302		6,752,872
COMM Mortgage Trust floater Series 2014-KYO Class A, 1.08% 6/11/27 (b)(c)	6,704,673		6,696,178
COMM Mortgage Trust pass-thru certificates:
floater Series 2005-F10A Class J, 1.0356% 4/15/17 (b)(c)	25,884		25,889
sequential payer:
Series 2006-C7 Class A1A, 5.9288% 6/10/46 (c)	5,506,339		5,691,864
Series 2006-C8:
Class A1A, 5.292% 12/10/46	3,579,026		3,779,061
Class A4, 5.306% 12/10/46	4,224,389		4,426,589
Commercial Mortgage Trust pass-thru certificates sequential payer Series 2012-CR2 Class A1, 0.824% 8/15/45	555,522		555,961
CSMC Trust floater Series 2014-ICE:
Class A, 0.976% 4/15/27 (b)(c)	3,295,000		3,284,621
Class B, 1.376% 4/15/27 (b)(c)	2,893,000		2,882,062
Del Coronado Trust floater Series 2013-HDC Class A, 0.976% 3/15/26 (b)(c)	1,523,000		1,522,915
Commercial Mortgage Securities - continued
	Principal Amount		Value
Extended Stay America Trust floater Series 2013-ESFL:
Class A1FL, 0.981% 12/5/31 (b)(c)	$ 1,992,784		$ 1,986,887
Class A2FL, 0.881% 12/5/31 (b)(c)	2,745,000		2,734,045
Freddie Mac sequential payer Series K501 Class A1, 1.337% 6/25/16	190,196		190,766
GAHR Commercial Mortgage Trust floater Series 2015-NRF Class AFL1, 1.4815% 12/15/16 (b)(c)	5,398,367		5,412,271
GE Capital Commercial Mortgage Corp.:
sequential payer Series 2006-C1 Class A4, 5.4499% 3/10/44 (c)	3,443,790		3,490,120
Series 2006-C1 Class A1A, 5.4499% 3/10/44 (c)	2,460,792		2,499,833
GMAC Commercial Mortgage Securities, Inc. Series 2004-C2 Class A4, 5.301% 8/10/38	17,137		17,153
GS Mortgage Securities Corp. II Series 2006-GG6:
Class A1A, 5.556% 4/10/38 (c)	2,263,603		2,293,992
Class A4, 5.553% 4/10/38 (c)	3,685,132		3,715,881
GS Mortgage Securities Corp. Trust Series 2013-C, 2.974% 1/10/30 (b)	710,000		721,963
GS Mortgage Securities Trust:
floater Series 2014-GSFL Class A, 1.1815% 7/15/31 (b)(c)	1,590,531		1,591,217
sequential payer Series 2006-GG8:
Class A1A, 5.547% 11/10/39	2,301,807		2,412,970
Class A4, 5.56% 11/10/39	1,712,006		1,784,128
Series 2011-GC5 Class A1, 1.468% 8/10/44	170,633		170,760
Series 2012-GC6 Class A1, 1.282% 1/10/45	204,909		205,383
Hilton U.S.A. Trust:
floater Series 2013-HLF Class AFL, 1.1735% 11/5/30 (b)(c)	2,508,009		2,510,163
Series 2013-HLT Class DFX, 4.4065% 11/5/30 (b)	658,000		668,584
Hyatt Hotel Portfolio Trust floater Series 2015-HYT Class A, 1.432% 11/15/29 (b)(c)	2,039,000		2,041,302
JPMorgan Chase Commercial Mortgage Securities Trust:
floater:
Series 2006-FL2A:
Class F, 0.5156% 11/15/18 (b)(c)	55,500		53,953
Class G, 0.5456% 11/15/18 (b)(c)	48,245		46,545
Series 2014-BXH Class A, 1.0856% 4/15/27 (b)(c)	4,266,000		4,266,887
Series 2014-FL5 Class A, 1.1615% 7/15/31 (b)(c)	3,108,000		3,100,718
sequential payer:
Series 2006-CB16 Class A1A, 5.546% 5/12/45	4,446,925		4,648,059
Series 2006-LDP8 Class A4, 5.399% 5/15/45	4,119,268		4,262,520
Series 2013-C10, Class A1, 0.7302% 12/15/47	839,327		836,487
Commercial Mortgage Securities - continued
	Principal Amount		Value
JPMorgan Chase Commercial Mortgage Securities Trust: - continued
Series 2006-LDP7 Class A1A, 6.057% 4/15/45 (c)	$ 5,069,023		$ 5,279,646
LB-UBS Commercial Mortgage Trust:
sequential payer:
Series 2006-C1 Class A4, 5.156% 2/15/31	2,145,032		2,170,086
Series 2006-C6 Class A4, 5.372% 9/15/39	1,023,376		1,067,939
Series 2007-C1 Class A4, 5.424% 2/15/40	5,050,521		5,328,779
Series 2007-C7 Class A3, 5.866% 9/15/45	1,961,053		2,141,015
Merrill Lynch Mortgage Trust:
Series 2005-CKI1 Class A1A, 5.4484% 11/12/37 (c)	1,168,366		1,181,263
Series 2006-C2 Class A1A, 5.739% 8/12/43 (c)	3,678,274		3,838,809
Morgan Stanley BAML Trust Series 2012-C5 Class A1, 0.916% 8/15/45	924,508		925,442
Morgan Stanley Capital I Trust:
floater Series 2007-XLFA:
Class D, 0.3715% 10/15/20 (b)(c)	573,273		568,548
Class E, 0.4315% 10/15/20 (b)(c)	171,273		169,474
Class F, 0.4815% 10/15/20 (b)(c)	102,785		101,432
Class G, 0.5215% 10/15/20 (b)(c)	127,058		124,631
sequential payer:
Series 2007-IQ13 Class A1A, 5.312% 3/15/44	1,401,833		1,486,155
Series 2007-IQ14 Class A2, 5.61% 4/15/49	569,651		575,513
Series 2012-C4 Class A1, 1.085% 3/15/45	832,937		835,004
Series 2006-HQ9 Class A4, 5.731% 7/12/44 (c)	2,929,797		3,018,253
Series 2006-IQ11 Class A1A, 5.8201% 10/15/42 (c)	4,465,164		4,573,118
Series 2007-T27 Class A1A, 5.8266% 6/11/42 (c)	4,351,945		4,671,151
SCG Trust Series 2013-SRP1 Class A, 1.5815% 11/15/26 (b)(c)	2,729,000		2,730,122
UBS Commercial Mortgage Trust Series 2012-C1 Class A1, 1.032% 5/10/45	259,534		259,847
Wachovia Bank Commercial Mortgage Trust:
floater Series 2006-WL7A Class G, 0.5456% 9/15/21 (b)(c)	32,430		31,958
sequential payer Series 2006-C29:
Class A1A, 5.297% 11/15/48	6,179,269		6,509,458
Class A4, 5.308% 11/15/48	1,049,438		1,096,319
Series 2006-C23:
Class A1A, 5.422% 1/15/45	6,505,380		6,619,842
Class A5, 5.416% 1/15/45 (c)	4,678,033		4,765,433
Series 2006-C24 Class A1A, 5.557% 3/15/45 (c)	3,471,388		3,549,407
Series 2006-C25 Class A1A, 5.7074% 5/15/43 (c)	3,209,701		3,310,264
Commercial Mortgage Securities - continued
	Principal Amount		Value
Wachovia Bank Commercial Mortgage Trust: - continued
Series 2006-C26 Class A1A, 6.009% 6/15/45 (c)	$ 4,069,903		$ 4,226,188
Series 2007-C31A Class A2, 5.421% 4/15/47	247,072		246,876
Wells Fargo Commercial Mortgage Trust Series 2013-LC12 Class A1, 1.676% 7/15/46	3,815,772		3,829,409
WF-RBS Commercial Mortgage Trust:
sequential payer Series 2011-C5 Class A1, 1.456% 11/15/44	217,992		218,752
Series 2012-C8 Class A1, 0.864% 8/15/45	880,511		880,780
Series 2013-C13 Class A1, 0.778% 5/15/45	790,352		787,234
Series 2013-C14 Class A1, 0.836% 6/15/46	886,029		883,589
WFCG Commercial Mortgage Trust floater Series 2015-BXRP Class A, 1.322% 11/15/29 (b)(c)	3,000,000		2,997,282
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $195,811,395)		195,046,681
Foreign Government and Government Agency Obligations - 0.2%

Banco Nacional de Desenvolvimento Economico e Social 3.375% 9/26/16 (b) (Cost $2,811,324)	2,802,000		2,840,528
Supranational Obligations - 0.0%

International Bank for Reconstruction & Development 1% 6/15/18 (Cost $651,914)	653,000		652,754

Money Market Funds - 1.4%
	Shares
Fidelity Cash Central Fund, 0.15% (a) (Cost $22,521,134)	22,521,134		22,521,134
TOTAL INVESTMENT PORTFOLIO - 100.8% (Cost $1,675,895,752)			1,675,523,384
NET OTHER ASSETS (LIABILITIES) - (0.8)%			(13,441,959)
NET ASSETS - 100%		$ 1,662,081,425

Legend

(d) 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.

Affiliated Central Funds

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

Fund	Income earned
Fidelity Cash Central Fund	$ 11,156

Other Information

Valuation Inputs at Reporting Date:
Description	Total	Level 1	Level 2	Level 3
Investments in Securities:
Corporate Bonds	$ 1,125,718,756	$ -	$ 1,125,718,756	$ -
U.S. Government and Government Agency Obligations	10,218,310	-	10,218,310	-
U.S. Government Agency - Mortgage Securities	51,134,299	-	51,134,299	-
Asset-Backed Securities	213,005,968	-	212,958,615	47,353
Collateralized Mortgage Obligations	54,384,954	-	54,384,954	-
Commercial Mortgage Securities	195,046,681	-	195,046,680	1
Foreign Government and Government Agency Obligations	2,840,528	-	2,840,528	-
Supranational Obligations	652,754	-	652,754	-
Money Market Funds	22,521,134	22,521,134	-	-
Total Investments in Securities:	$ 1,675,523,384	$ 22,521,134	$ 1,652,954,896	$ 47,354

During the period, certain investment companies managed by FMR or its affiliates (Investing Funds) completed exchanges in-kind with the Fund. The Investing Funds delivered investments, including accrued interest, valued at $2,312,877,096 in exchange for 231,287,710 shares of the Fund. The Fund recognized no gain or loss for federal income tax purposes.

Income Tax Information

At May 31, 2015, the cost of investment securities for income tax purposes was $1,675,760,731. Net unrealized depreciation aggregated $237,347, of which $2,171,723 related to appreciated investment securities and $2,409,070 related to depreciated investment securities.

Investment Valuation

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, foreign government and government agency obligations, supranational obligations 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.

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.

Quarterly Report

Investments May 31, 2015 (Unaudited)

Quarterly Holdings Report

for

Fidelity ® Short-Term Bond Fund

May 31, 2015

1.804842.111

STP-QTLY-0715

Investments May 31, 2015 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 45.9%
	Principal Amount (000s)		Value (000s)
CONSUMER DISCRETIONARY - 3.0%
Automobiles - 1.7%
American Honda Finance Corp. 0.95% 5/5/17	$ 10,565		$ 10,569
Daimler Finance North America LLC:
1.25% 1/11/16 (d)	6,953		6,975
1.375% 8/1/17 (d)	11,809		11,812
1.45% 8/1/16 (d)	4,107		4,132
1.65% 3/2/18 (d)	6,953		6,971
1.65% 5/18/18 (d)	10,000		10,007
General Motors Financial Co., Inc. 2.4% 4/10/18	12,000		11,996
Volkswagen Group of America Finance LLC:
1.25% 5/23/17 (d)	10,916		10,938
1.65% 5/22/18 (d)	5,300		5,314
Volkswagen International Finance NV:
1.6% 11/20/17 (d)	6,354		6,388
2.375% 3/22/17 (d)	5,868		5,991
			91,093
Media - 1.3%
COX Communications, Inc. 6.25% 6/1/18 (d)	1,399		1,579
DIRECTV Holdings LLC/DIRECTV Financing, Inc. 2.4% 3/15/17	10,429		10,584
NBCUniversal Enterprise, Inc. 0.8123% 4/15/16 (d)(f)	13,905		13,949
Thomson Reuters Corp. 0.875% 5/23/16	3,051		3,050
Time Warner Cable, Inc. 5.85% 5/1/17	14,418		15,478
Time Warner, Inc. 6.875% 6/15/18	8,000		9,186
Viacom, Inc. 2.2% 4/1/19	6,953		6,927
Walt Disney Co. 1.1% 12/1/17	5,295		5,299
			66,052
TOTAL CONSUMER DISCRETIONARY			157,145
CONSUMER STAPLES - 1.5%
Beverages - 0.3%
Heineken NV 1.4% 10/1/17 (d)	3,112		3,119
SABMiller Holdings, Inc. 2.45% 1/15/17 (d)	13,054		13,301
			16,420
Food & Staples Retailing - 0.1%
Walgreen Co. 1.8% 9/15/17	3,874		3,902
Walgreens Boots Alliance, Inc. 1.75% 11/17/17	1,339		1,348
			5,250
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
CONSUMER STAPLES - continued
Food Products - 0.8%
ConAgra Foods, Inc. 1.3% 1/25/16	$ 17,266		$ 17,299
General Mills, Inc.:
0.875% 1/29/16	5,323		5,329
1.4% 10/20/17	7,196		7,201
The J.M. Smucker Co. 1.75% 3/15/18 (d)	3,523		3,527
Tyson Foods, Inc. 2.65% 8/15/19	5,639		5,745
William Wrigley Jr. Co. 1.4% 10/21/16 (d)	3,673		3,685
			42,786
Tobacco - 0.3%
Reynolds American, Inc.:
1.05% 10/30/15	6,819		6,816
6.75% 6/15/17	8,181		9,005
			15,821
TOTAL CONSUMER STAPLES			80,277
ENERGY - 3.8%
Energy Equipment & Services - 0.3%
Nabors Industries, Inc. 2.35% 9/15/16	3,152		3,163
Noble Holding International Ltd. 4% 3/16/18	389		400
Petrofac Ltd. 3.4% 10/10/18 (d)	10,787		10,743
			14,306
Oil, Gas & Consumable Fuels - 3.5%
BG Energy Capital PLC 2.875% 10/15/16 (d)	6,229		6,380
BP Capital Markets PLC:
1.375% 5/10/18	6,265		6,251
1.846% 5/5/17	6,953		7,055
2.248% 11/1/16	6,334		6,455
Canadian Natural Resources Ltd. 1.75% 1/15/18	2,135		2,121
Columbia Pipeline Group, Inc. 2.45% 6/1/18 (d)	993		1,002
ConocoPhillips Co. 1.5% 5/15/18	10,000		10,016
DCP Midstream Operating LP 2.7% 4/1/19	544		516
Enbridge, Inc.:
0.7116% 6/2/17 (f)	9,732		9,617
0.9242% 10/1/16 (f)	12,515		12,533
Enterprise Products Operating LP:
1.65% 5/7/18	2,186		2,188
2.55% 10/15/19	1,089		1,102
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
ENERGY - continued
Oil, Gas & Consumable Fuels - continued
Kinder Morgan, Inc.:
2% 12/1/17	$ 1,900		$ 1,904
3.05% 12/1/19	3,665		3,681
Marathon Petroleum Corp. 3.5% 3/1/16	8,263		8,419
Petro-Canada 6.05% 5/15/18	6,953		7,813
Petrobras Global Finance BV:
2% 5/20/16	16,234		16,008
3.25% 3/17/17	6,953		6,873
Petrobras International Finance Co. Ltd. 3.875% 1/27/16	5,713		5,736
Petroleos Mexicanos 3.125% 1/23/19	924		940
Phillips 66 Co. 2.95% 5/1/17	2,781		2,865
Schlumberger Investment SA 1.25% 8/1/17 (d)	9,133		9,138
Shell International Finance BV 2.125% 5/11/20	7,883		7,916
Southwestern Energy Co. 3.3% 1/23/18	2,006		2,062
Spectra Energy Partners, LP 2.95% 6/15/16	2,869		2,919
Total Capital International SA 1% 1/10/17	17,416		17,478
TransCanada PipeLines Ltd.:
0.9531% 6/30/16 (f)	14,114		14,146
1.875% 1/12/18	10,839		10,951
			184,085
TOTAL ENERGY			198,391
FINANCIALS - 25.9%
Banks - 15.9%
ABN AMRO Bank NV 1.079% 10/28/16 (d)(f)	10,429		10,493
Australia & New Zealand Banking Group Ltd.:
1.25% 1/10/17	8,587		8,617
1.875% 10/6/17	3,477		3,526
Bank of America Corp.:
1.25% 1/11/16	12,670		12,699
2% 1/11/18	11,269		11,346
2.6% 1/15/19	7,519		7,636
3.875% 3/22/17	10,429		10,885
Bank of America NA:
1.25% 2/14/17	11,138		11,149
1.75% 6/5/18	10,000		9,991
5.3% 3/15/17	1,350		1,437
Bank of Montreal 1.4% 4/10/18	6,000		6,003
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Banks - continued
Bank of Nova Scotia 1.375% 12/18/17	$ 5,796		$ 5,795
Bank of Tokyo-Mitsubishi UFJ Ltd.:
1% 2/26/16 (d)	12,515		12,527
1.45% 9/8/17 (d)	10,429		10,403
1.55% 9/9/16 (d)	6,967		7,004
1.7% 3/5/18 (d)	17,382		17,410
Barclays Bank PLC:
2.5% 2/20/19	9,004		9,169
5% 9/22/16	10,429		10,966
Barclays PLC 2% 3/16/18	5,150		5,177
BNP Paribas 2.375% 9/14/17	12,744		12,989
BPCE SA 1.625% 2/10/17	6,953		7,000
Branch Banking & Trust Co. 1.45% 10/3/16	13,905		14,009
Capital One Bank NA:
0.7766% 2/13/17 (f)	6,953		6,948
1.15% 11/21/16	4,148		4,155
1.2% 2/13/17	10,153		10,117
1.3% 6/5/17	9,732		9,701
Capital One NA:
1.5% 9/5/17	7,022		6,994
1.65% 2/5/18	10,429		10,383
Citigroup, Inc.:
0.5336% 6/9/16 (f)	4,867		4,848
1.237% 7/25/16 (f)	2,830		2,842
1.3% 11/15/16	9,531		9,550
1.55% 8/14/17	27,810		27,799
1.7% 4/27/18	5,000		4,973
1.85% 11/24/17	6,953		6,998
2.5% 9/26/18	11,000		11,193
2.5% 7/29/19	5,562		5,601
Citizens Bank NA 1.6% 12/4/17	10,429		10,461
Commonwealth Bank of Australia 1.125% 3/13/17	11,166		11,198
Credit Suisse New York Branch:
0.772% 5/26/17 (f)	6,953		6,941
1.375% 5/26/17	21,414		21,428
1.75% 1/29/18	13,905		13,908
Discover Bank 2% 2/21/18	14,190		14,207
Fifth Third Bancorp 4.5% 6/1/18	4,867		5,233
Fifth Third Bank 0.9% 2/26/16	14,343		14,353
HSBC Bank PLC 1.5% 5/15/18 (d)	6,230		6,209
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Banks - continued
HSBC U.S.A., Inc.:
1.5% 11/13/17	$ 5,562		$ 5,558
1.625% 1/16/18	5,220		5,239
1.7% 3/5/18	6,953		6,968
Ing Bank NV Mtn Be 144A 1.8% 3/16/18 (d)	5,562		5,598
Intesa Sanpaolo SpA:
2.375% 1/13/17	15,397		15,529
3.125% 1/15/16	6,953		7,036
JPMorgan Chase & Co.:
1.35% 2/15/17	39,004		39,120
2.2% 10/22/19	3,329		3,320
2.35% 1/28/19	2,485		2,515
KeyBank NA:
1.65% 2/1/18	4,023		4,034
2.5% 12/15/19	3,993		4,053
La Caisse Centrale 1.75% 1/29/18 (d)	6,953		6,958
Lloyds Bank PLC 1.75% 3/16/18	5,945		5,961
Manufacturers & Traders Trust Co. 1.4% 7/25/17	10,916		10,939
Marshall & Ilsley Bank 5% 1/17/17	477		502
Mitsubishi UFJ Trust & Banking Corp. 1.6% 10/16/17 (d)	7,940		7,943
Mizuho Bank Ltd.:
0.7168% 9/25/17 (d)(f)	10,429		10,410
1.55% 10/17/17 (d)	17,983		17,970
MUFG Americas Holdings Corp. 1.625% 2/9/18	1,552		1,552
MUFG Union Bank NA 1.5% 9/26/16	4,128		4,157
Nordea Bank AB 0.875% 5/13/16 (d)	9,484		9,500
PNC Bank NA:
1.15% 11/1/16	6,928		6,941
1.5% 2/23/18	6,953		6,971
Regions Bank 7.5% 5/15/18	744		858
Regions Financial Corp. 2% 5/15/18	6,237		6,237
Royal Bank of Canada:
1.2% 1/23/17	6,933		6,965
1.5% 1/16/18	11,875		11,893
2.2% 7/27/18	6,258		6,383
Royal Bank of Scotland Group PLC:
1.2131% 3/31/17 (f)	29,971		29,991
2.55% 9/18/15	28,985		29,120
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Banks - continued
Sumitomo Mitsui Banking Corp.:
1.3% 1/10/17	$ 13,905		$ 13,925
1.45% 7/19/16	12,550		12,613
1.75% 1/16/18	6,953		6,981
1.8% 7/18/17	9,178		9,266
SunTrust Banks, Inc.:
3.5% 1/20/17	7,094		7,336
5% 9/1/15	4,914		4,964
Union Bank NA 3% 6/6/16	6,953		7,098
Wells Fargo & Co. 1.5% 1/16/18	13,905		13,973
Wells Fargo Bank NA 0.486% 5/16/16 (f)	7,659		7,648
Westpac Banking Corp.:
1.2% 5/19/17	17,382		17,442
1.5% 12/1/17	10,429		10,473
2% 8/14/17	10,819		11,006
			835,217
Capital Markets - 3.1%
Deutsche Bank AG London Branch 1.4% 2/13/17	24,334		24,349
Goldman Sachs Group, Inc.:
0.7146% 3/22/16 (f)	9,734		9,729
0.9535% 5/22/17 (f)	10,000		10,002
1.748% 9/15/17	17,382		17,361
2.375% 1/22/18	11,882		12,060
2.625% 1/31/19	6,953		7,084
JPMorgan Chase & Co. 1.7% 3/1/18	24,334		24,391
Lazard Group LLC 6.85% 6/15/17	205		225
Morgan Stanley:
1.75% 2/25/16	13,905		14,004
1.875% 1/5/18	6,953		6,980
2.375% 7/23/19	5,030		5,054
5.45% 1/9/17	11,124		11,828
UBS AG Stamford Branch:
1.375% 6/1/17	3,960		3,948
1.375% 8/14/17	10,805		10,794
1.8% 3/26/18	7,793		7,797
			165,606
Consumer Finance - 3.6%
American Express Credit Corp.:
1.125% 6/5/17	14,114		14,083
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Consumer Finance - continued
American Express Credit Corp.: - continued
1.3% 7/29/16	$ 6,258		$ 6,291
2.8% 9/19/16	3,808		3,901
American Honda Finance Corp. 1.5% 9/11/17 (d)	3,585		3,616
Capital One Financial Corp. 0.9198% 11/6/15 (f)	5,562		5,570
Discover Financial Services 6.45% 6/12/17	16,591		18,149
Ford Motor Credit Co. LLC:
1.461% 3/27/17	5,562		5,561
1.684% 9/8/17	10,582		10,564
1.7% 5/9/16	6,953		6,993
2.145% 1/9/18	6,953		7,022
3% 6/12/17	19,307		19,800
General Electric Capital Corp.:
1.5% 7/12/16	26,736		26,983
2.9% 1/9/17	16,084		16,611
3.35% 10/17/16	18,456		19,109
Hyundai Capital America:
1.45% 2/6/17 (d)	7,209		7,202
1.875% 8/9/16 (d)	1,650		1,665
2.125% 10/2/17 (d)	7,941		8,025
Hyundai Capital America Mtn Be 144A 2% 3/19/18 (d)	6,953		6,994
Synchrony Financial 1.875% 8/15/17	1,289		1,294
			189,433
Diversified Financial Services - 0.6%
AIG Global Funding 1.65% 12/15/17 (d)	6,953		6,985
Berkshire Hathaway Finance Corp.:
0.5759% 1/12/18 (f)	6,953		6,974
1.6% 5/15/17	6,953		7,053
Berkshire Hathaway, Inc. 1.55% 2/9/18	6,071		6,137
IntercontinentalExchange Group, Inc. 2.5% 10/15/18	4,297		4,420
			31,569
Insurance - 1.5%
American International Group, Inc.:
2.3% 7/16/19	12,995		13,077
5.85% 1/16/18	6,539		7,242
Aon Corp. 3.5% 9/30/15	4,711		4,755
Assurant, Inc. 2.5% 3/15/18	6,953		7,065
Marsh & McLennan Companies, Inc. 2.55% 10/15/18	6,393		6,525
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Insurance - continued
MetLife, Inc.:
1.756% 12/15/17	$ 2,606		$ 2,636
1.903% 12/15/17	1,118		1,125
Metropolitan Life Global Funding I:
1.3% 4/10/17 (d)	10,429		10,453
1.5% 1/10/18 (d)	13,857		13,850
Pricoa Global Funding I 1.15% 11/25/16 (d)	4,193		4,202
Prudential Financial, Inc. 2.3% 8/15/18	5,774		5,874
Symetra Financial Corp. 6.125% 4/1/16 (d)	2,979		3,078
TIAA Asset Management Finance LLC 2.95% 11/1/19 (d)	1,504		1,532
			81,414
Real Estate Investment Trusts - 0.6%
Boston Properties, Inc. 3.7% 11/15/18	3,425		3,636
DDR Corp. 9.625% 3/15/16	1,821		1,941
Equity One, Inc. 6.25% 1/15/17	250		268
ERP Operating LP 2.375% 7/1/19	3,575		3,612
HCP, Inc. 3.75% 2/1/16	3,372		3,434
Health Care Property Investors, Inc. 6% 1/30/17	8,202		8,821
Health Care REIT, Inc.:
2.25% 3/15/18	2,467		2,499
4.7% 9/15/17	857		916
Select Income (REIT) 2.85% 2/1/18	2,492		2,526
Simon Property Group LP 2.15% 9/15/17	2,086		2,130
			29,783
Real Estate Management & Development - 0.6%
Brandywine Operating Partnership LP 6% 4/1/16	4,114		4,273
Essex Portfolio LP 5.5% 3/15/17	5,190		5,563
Mack-Cali Realty LP:
2.5% 12/15/17	4,214		4,232
5.8% 1/15/16	879		901
Ventas Realty LP:
1.25% 4/17/17	2,663		2,661
1.55% 9/26/16	2,618		2,634
Ventas Realty LP/Ventas Capital Corp. 2% 2/15/18	3,769		3,805
Washington Prime Group LP 3.85% 4/1/20 (d)	8,149		8,268
			32,337
TOTAL FINANCIALS			1,365,359
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
HEALTH CARE - 3.2%
Biotechnology - 0.4%
Amgen, Inc.:
1.25% 5/22/17	$ 10,916		$ 10,909
2.2% 5/22/19	8,204		8,243
			19,152
Health Care Equipment & Supplies - 0.5%
Becton, Dickinson & Co. 1.8% 12/15/17	7,045		7,093
Medtronic, Inc. 1.5% 3/15/18 (d)	8,483		8,499
Zimmer Holdings, Inc. 2% 4/1/18	10,317		10,393
			25,985
Health Care Providers & Services - 0.3%
Express Scripts Holding Co. 1.25% 6/2/17	13,725		13,700
WellPoint, Inc. 1.875% 1/15/18	3,160		3,177
			16,877
Life Sciences Tools & Services - 0.0%
Thermo Fisher Scientific, Inc. 1.3% 2/1/17	1,639		1,639
Pharmaceuticals - 2.0%
AbbVie, Inc.:
1.2% 11/6/15	13,975		14,002
1.75% 11/6/17	10,200		10,236
1.8% 5/14/18	13,720		13,734
2.5% 5/14/20	8,000		7,994
Actavis Funding SCS:
1.3477% 3/12/18 (f)	13,905		14,053
2.35% 3/12/18	13,905		14,062
3% 3/12/20	4,517		4,574
Bayer U.S. Finance LLC:
1.5% 10/6/17 (d)	11,490		11,569
2.375% 10/8/19 (d)	3,818		3,868
Mylan, Inc. 1.35% 11/29/16	1,940		1,939
Perrigo Co. PLC 1.3% 11/8/16	1,638		1,637
Watson Pharmaceuticals, Inc. 1.875% 10/1/17	2,042		2,047
Zoetis, Inc.:
1.15% 2/1/16	5,270		5,275
1.875% 2/1/18	940		940
			105,930
TOTAL HEALTH CARE			169,583
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
INDUSTRIALS - 0.2%
Aerospace & Defense - 0.1%
L-3 Communications Corp. 1.5% 5/28/17	$ 5,013		$ 4,972
Airlines - 0.0%
Continental Airlines, Inc. 6.795% 2/2/20	25		26
Electrical Equipment - 0.0%
ABB Finance (U.S.A.), Inc. 1.625% 5/8/17	2,375		2,399
Trading Companies & Distributors - 0.1%
Air Lease Corp. 2.125% 1/15/18	2,733		2,716
TOTAL INDUSTRIALS			10,113
INFORMATION TECHNOLOGY - 1.5%
Communications Equipment - 0.3%
Cisco Systems, Inc. 1.1% 3/3/17	14,114		14,187
Electronic Equipment & Components - 0.7%
Amphenol Corp. 1.55% 9/15/17	9,409		9,438
Tyco Electronics Group SA:
2.375% 12/17/18	1,203		1,222
6.55% 10/1/17	22,961		25,591
			36,251
IT Services - 0.5%
The Western Union Co.:
1.281% 8/21/15 (f)	17,326		17,346
2.875% 12/10/17	8,554		8,789
3.65% 8/22/18	3,229		3,364
			29,499
TOTAL INFORMATION TECHNOLOGY			79,937
MATERIALS - 1.1%
Chemicals - 0.7%
Chevron Phillips Chemical Co. LLC / Chevron Phillips Chemical Co. LP 1.7% 5/1/18 (d)	15,080		15,136
Ecolab, Inc.:
1.45% 12/8/17	3,216		3,206
1.55% 1/12/18	10,492		10,505
Sherwin-Williams Co. 1.35% 12/15/17	5,980		5,980
			34,827
Metals & Mining - 0.4%
Anglo American Capital PLC 1.2253% 4/15/16 (d)(f)	6,350		6,347
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
MATERIALS - continued
Metals & Mining - continued
Freeport-McMoRan, Inc. 2.3% 11/14/17	$ 3,449		$ 3,454
Rio Tinto Finance (U.S.A.) PLC:
1.1107% 6/17/16 (f)	4,867		4,881
1.625% 8/21/17	6,049		6,065
			20,747
TOTAL MATERIALS			55,574
TELECOMMUNICATION SERVICES - 2.4%
Diversified Telecommunication Services - 2.0%
AT&T, Inc.:
1.4% 12/1/17	5,980		5,975
2.45% 6/30/20	5,486		5,430
2.95% 5/15/16	11,521		11,721
BellSouth Corp. 4.821% 4/26/16 (d)(f)	8,500		8,775
British Telecommunications PLC:
1.25% 2/14/17	12,690		12,700
1.625% 6/28/16	9,608		9,674
2.35% 2/14/19	5,701		5,782
CenturyLink, Inc. 5.15% 6/15/17	7,745		8,074
Deutsche Telekom International Financial BV 3.125% 4/11/16 (d)	6,007		6,128
Verizon Communications, Inc.:
2% 11/1/16	12,568		12,742
2.5% 9/15/16	19,918		20,261
			107,262
Wireless Telecommunication Services - 0.4%
America Movil S.A.B. de CV:
1.2677% 9/12/16 (f)	7,161		7,182
2.375% 9/8/16	8,389		8,515
Vodafone Group PLC 1.5% 2/19/18	5,562		5,528
			21,225
TOTAL TELECOMMUNICATION SERVICES			128,487
UTILITIES - 3.3%
Electric Utilities - 2.0%
American Electric Power Co., Inc. 1.65% 12/15/17	8,606		8,624
Cleveland Electric Illuminating Co. 5.7% 4/1/17	1,839		1,969
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
UTILITIES - continued
Electric Utilities - continued
Duke Energy Corp.:
0.6508% 4/3/17 (f)	$ 9,375		$ 9,390
1.625% 8/15/17	3,436		3,463
2.1% 6/15/18	4,858		4,948
Eversource Energy 1.45% 5/1/18	1,658		1,650
FirstEnergy Corp. 2.75% 3/15/18	17,614		17,959
LG&E and KU Energy LLC 2.125% 11/15/15	10,894		10,948
NextEra Energy Capital Holdings, Inc. 1.586% 6/1/17	10,054		10,094
Pacific Gas & Electric Co. 5.625% 11/30/17	9,614		10,561
TECO Finance, Inc.:
0.8712% 4/10/18 (f)	10,800		10,852
4% 3/15/16	2,677		2,746
Xcel Energy, Inc. 0.75% 5/9/16	13,905		13,871
			107,075
Independent Power and Renewable Electricity Producers - 0.2%
Southern Power Co. 1.5% 6/1/18	7,838		7,824
Multi-Utilities - 1.1%
Dominion Resources, Inc.:
1.4% 9/15/17	3,761		3,769
1.95% 8/15/16	4,155		4,201
2.5% 12/1/19	5,562		5,622
2.5731% 9/30/66 (f)	5,292		4,869
MidAmerican Energy Holdings, Co. 1.1% 5/15/17	19,433		19,421
Sempra Energy 2.3% 4/1/17	17,962		18,304
			56,186
TOTAL UTILITIES			171,085
TOTAL NONCONVERTIBLE BONDS (Cost $2,406,948)		2,415,951
U.S. Government and Government Agency Obligations - 22.2%

U.S. Government Agency Obligations - 1.2%
Fannie Mae:
0.875% 2/8/18	1,290		1,289
1.625% 11/27/18	1,911		1,939
1.875% 9/18/18	1,032		1,057
U.S. Government and Government Agency Obligations - continued
	Principal Amount (000s)		Value (000s)
U.S. Government Agency Obligations - continued
Freddie Mac:
0.5% 1/27/17	$ 47,854		$ 47,772
0.75% 1/12/18	2,578		2,568
1% 9/29/17	6,552		6,576
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS			61,201
U.S. Treasury Obligations - 21.0%
U.S. Treasury Notes:
0.5% 7/31/17	441,479		439,961
0.875% 5/15/17	1,371		1,379
0.875% 10/15/17	130,811		131,179
1% 5/15/18 (c)	507,961		509,006
1.375% 2/28/19	22,189		22,326
TOTAL U.S. TREASURY OBLIGATIONS			1,103,851
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $1,160,807)		1,165,052
U.S. Government Agency - Mortgage Securities - 2.7%

Fannie Mae - 1.8%
2.152% 11/1/34 (f)	642		684
2.211% 10/1/35 (f)	4,193		4,478
2.23% 1/1/40 (f)	1,435		1,539
2.245% 2/1/35 (f)	1,095		1,160
2.271% 3/1/40 (f)	1,016		1,086
2.274% 11/1/36 (f)	1,402		1,493
2.3% 2/1/40 (f)	2,491		2,655
2.31% 12/1/39 (f)	345		369
2.317% 1/1/40 (f)	2,686		2,870
2.346% 5/1/35 (f)	1,067		1,138
2.361% 4/1/35 (f)	1,647		1,753
2.384% 7/1/35 (f)	961		1,027
2.391% 12/1/33 (f)	509		546
2.428% 12/1/34 (f)	576		617
2.435% 2/1/40 (f)	694		744
2.456% 3/1/40 (f)	1,188		1,267
2.488% 11/1/34 (f)	4,629		4,963
2.537% 10/1/41 (f)	2,267		2,431
U.S. Government Agency - Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Fannie Mae - continued
2.542% 6/1/42 (f)	$ 840		$ 872
2.691% 2/1/42 (f)	4,528		4,715
2.693% 9/1/41 (f)	3,226		3,458
2.765% 1/1/42 (f)	4,076		4,250
2.96% 11/1/40 (f)	490		516
2.979% 8/1/41 (f)	671		720
2.982% 9/1/41 (f)	577		606
3.059% 10/1/41 (f)	230		239
3.237% 7/1/41 (f)	923		979
3.308% 10/1/41 (f)	467		492
3.5% 1/1/26 to 9/1/29	25,432		27,162
3.554% 7/1/41 (f)	944		1,003
5.5% 10/1/17 to 11/1/34	15,516		17,449
6.5% 1/1/16 to 8/1/17	72		75
7% 10/1/15 to 11/1/18	43		45
7.5% 11/1/31	2		2
TOTAL FANNIE MAE			93,403
Freddie Mac - 0.9%
2.164% 11/1/35 (f)	747		792
2.35% 8/1/36 (f)	491		523
2.402% 10/1/42 (f)	4,932		5,204
2.527% 2/1/40 (f)	1,327		1,426
2.973% 8/1/41 (f)	1,770		1,898
3% 8/1/21	4,712		4,923
3.13% 9/1/41 (f)	1,141		1,223
3.133% 4/1/40 (f)	869		924
3.231% 9/1/41 (f)	557		585
3.242% 4/1/41 (f)	594		627
3.296% 6/1/41 (f)	668		708
3.47% 5/1/41 (f)	640		676
3.5% 8/1/26	14,512		15,468
3.502% 4/1/40 (f)	800		857
3.622% 6/1/41 (f)	918		975
3.705% 5/1/41 (f)	804		855
4% 9/1/25 to 4/1/26	5,279		5,676
4.5% 8/1/18 to 11/1/18	3,939		4,107
U.S. Government Agency - Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Freddie Mac - continued
5% 4/1/20	$ 1,741		$ 1,829
8.5% 5/1/27 to 7/1/28	121		147
TOTAL FREDDIE MAC			49,423
Ginnie Mae - 0.0%
7% 11/15/27 to 8/15/32	867		1,021
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $140,779)		143,847
Asset-Backed Securities - 15.5%

Accredited Mortgage Loan Trust:
Series 2003-3 Class A1, 5.21% 1/25/34 (AMBAC Insured)	856		834
Series 2005-1 Class M1, 0.6513% 4/25/35 (f)	311		278
ACE Securities Corp. Home Equity Loan Trust:
Series 2004-HE1 Class M2, 1.8348% 3/25/34 (f)	50		48
Series 2006-OP1 Class M1, 0.4648% 4/25/36 (f)	5,562		1,401
Ally Auto Receivables Trust:
Series 2014-SN1 Class A3, 0.75% 2/21/17	6,831		6,831
Series 2015-SN1 Class A3, 1.21% 12/20/17	3,583		3,589
Ally Master Owner Trust:
Series 2012-4 Class A, 1.72% 7/15/19	3,525		3,558
Series 2012-5 Class A, 1.54% 9/15/19	16,078		16,151
Series 2014-1 Class A2, 1.29% 1/15/19	5,000		5,016
Series 2014-3 Class A, 1.33% 3/15/19	25,279		25,350
Series 2014-4 Class A2, 1.43% 6/17/19	10,394		10,437
Series 2014-5 Class A2, 1.6% 10/15/19	20,858		20,970
Series 2015-3 Class A, 1.6% 5/15/20	10,590		10,603
American Express Credit Account Master Trust:
Series 2014-2 Class A, 1.26% 1/15/20	10,945		10,997
Series 2014-3 Class A, 1.49% 4/15/20	13,905		14,011
AmeriCredit Automobile Receivables T Series 2014-4 Class A3, 1.27% 7/8/19	2,597		2,603
AmeriCredit Automobile Receivables Trust:
Series 2013-1 Class A3, 0.61% 10/10/17	4,853		4,853
Series 2013-5 Class A3, 0.9% 9/10/18	8,852		8,861
Series 2014-1 Class A3, 0.9% 2/8/19	5,363		5,361
Series 2014-2 Class A3, 0.94% 2/8/19	10,902		10,877
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Americredit Automobile Receivables Trust Series 2015-2 Class A3, 1.27% 1/8/20	$ 8,000		$ 7,996
Ameriquest Mortgage Securities, Inc. pass-thru certificates Series 2004-R2 Class M3, 1.0063% 4/25/34 (f)	42		30
Argent Securities, Inc. pass-thru certificates:
Series 2003-W7 Class A2, 0.9613% 3/25/34 (f)	263		246
Series 2004-W7 Class M1, 1.0063% 5/25/34 (f)	158		151
Series 2006-W4 Class A2C, 0.3448% 5/25/36 (f)	546		196
Asset Backed Securities Corp. Home Equity Loan Trust Series 2006-HE2 Class M1, 0.5513% 3/25/36 (f)	6		0*
Bank of America Credit Card Master Trust Series 2015-A2 Class A, 1.36% 9/15/20	10,711		10,714
BMV Vehicle Lease Trust Series 2014-1 Class A3, 0.73% 2/21/17	8,343		8,347
Capital Auto Receivables Asset Trust:
Series 2014-2 Class A2, 0.91% 4/20/17	8,343		8,352
Series 2014-3 Class A2, 1.18% 12/20/17	8,109		8,124
Series 2015-1 Class A2, 1.42% 6/20/18	6,953		6,980
Series 2015-2 Class A2, 1.39% 9/20/18	5,488		5,489
Capital One Multi-Asset Execution Trust:
Series 2013-A1 Class A1, 0.63% 11/15/18	21,399		21,409
Series 2013-A3 Class A3, 0.96% 9/16/19	9,123		9,138
Series 2014-A5 Class A, 1.48% 7/15/20	13,314		13,404
Series 2015-A1 Class A, 1.39% 1/15/21	15,180		15,185
Carmax Auto Owner Trust Series 2015-1 Class A3, 1.38% 11/15/19	5,237		5,258
Carrington Mortgage Loan Trust Series 2007-RFC1 Class A3, 0.3213% 12/25/36 (f)	844		560
CFC LLC:
Series 2013-1A Class A, 1.65% 7/17/17 (d)	66		66
Series 2013-2A Class A, 1.75% 11/15/17 (d)	1,420		1,422
Series 2014-1A Class A, 1.46% 12/17/18 (d)	3,045		3,040
Chase Issuance Trust:
Series 2013-A8 Class A8, 1.01% 10/15/18	6,953		6,974
Series 2014-A7 Class A, 1.38% 11/15/19	13,063		13,112
Series 2015-A2, Class A, 1.59% 2/18/20	6,953		7,006
Chrysler Capital Auto Receivables Trust Series 2015-AA Class A3, 1.22% 7/15/19 (d)	11,350		11,349
CIT Equipment Collateral:
Series 2013-VT1 Class A3, 1.13% 7/20/20 (d)	12,313		12,336
Series 2014-VT1 Class A3, 1.5% 10/21/19 (d)	7,766		7,777
Citibank Credit Card Issuance Trust:
Series 2013-A6 Class A6, 1.32% 9/7/18	19,370		19,508
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Citibank Credit Card Issuance Trust: - continued
Series 2014-A2 Class A2, 1.02% 2/22/19	$ 11,159		$ 11,171
Series 2014-A4 Class A4, 1.23% 4/24/19	10,881		10,911
Series 2014-A8 Class A8, 1.73% 4/9/20	13,905		14,050
Countrywide Home Loans, Inc.:
Series 2004-2 Class 3A4, 0.6848% 7/25/34 (f)	210		183
Series 2004-3 Class M4, 1.6398% 4/25/34 (f)	34		29
Series 2004-4 Class M2, 0.9798% 6/25/34 (f)	51		46
Dell Equipment Finance Trust:
Series 2014-1 Class A3, 0.94% 6/22/20 (d)	5,910		5,916
Series 2015-1 Class A3, 1.3% 3/23/20 (d)	5,000		4,998
Discover Card Master Trust:
Series 2013-A5 Class A5, 1.04% 4/15/19	12,156		12,189
Series 2014-A3 Class A3, 1.22% 10/15/19	10,881		10,906
Series 2014-A5 Class A, 1.39% 4/15/20	10,429		10,475
Enterprise Fleet Financing LLC:
Series 2014-1 Class A2, 0.87% 9/20/19 (d)	7,182		7,184
Series 2014-2 Class A2, 1.05% 3/20/20 (d)	10,429		10,441
Series 2015-1 Class A2, 1.3% 9/20/20 (d)	10,429		10,447
Fannie Mae Series 2004-T5:
Class AB1, 0.7411% 5/28/35 (f)	441		410
Class AB3, 1.0669% 5/28/35 (f)	190		176
Fieldstone Mortgage Investment Corp. Series 2004-3 Class M5, 2.3563% 8/25/34 (f)	196		182
Ford Credit Auto Lease Trust Series 2015-A Class A3, 1.13% 6/15/18	8,000		8,001
Ford Credit Floorplan Master Owner Trust:
Series 2012-2 Class A, 1.92% 1/15/19	7,294		7,403
Series 2012-5 Class A, 1.49% 9/15/19	34,154		34,294
Series 2014-1 Class A1, 1.2% 2/15/19	14,283		14,316
Series 2014-4 Class A1, 1.4% 8/15/19	11,850		11,883
Series 2015-1 Class A1, 1.42% 1/15/20	8,691		8,697
Fremont Home Loan Trust:
Series 2004-D:
Class M4, 1.6063% 11/25/34 (f)	285		106
Class M5, 1.6813% 11/25/34 (f)	106		2
Series 2005-A:
Class M3, 0.9163% 1/25/35 (f)	444		375
Class M4, 1.2013% 1/25/35 (f)	163		104
GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 0.662% 2/25/47 (d)(f)	612		571
GE Business Loan Trust:
Series 2003-1 Class A, 0.6156% 4/15/31 (d)(f)	16		16
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
GE Business Loan Trust: - continued
Series 2006-2A:
Class A, 0.3656% 11/15/34 (d)(f)	$ 108		$ 103
Class B, 0.4656% 11/15/34 (d)(f)	39		36
Class C, 0.5656% 11/15/34 (d)(f)	65		55
Class D, 0.9356% 11/15/34 (d)(f)	25		20
GE Equipment Small Ticket LLC Series 2013-1A Class A3, 1.02% 2/24/17 (d)	6,418		6,429
GE Equipment Transportation LLC:
Series 2012-2:
Class A3, 0.62% 7/25/16	545		545
Class A4, 0.92% 9/25/17	6,153		6,162
Series 2014-1 Class A3, 0.97% 4/23/18	8,168		8,170
Series 2015-1 Class A3, 1.28% 2/25/19	6,605		6,616
GM Financial Automobile Leasing Trust:
Series 2014-1A Class A3, 1.01% 5/22/17 (d)	8,860		8,871
Series 2014-2A Class A3, 1.22% 1/22/18 (d)	10,790		10,797
Series 2015-1 Class A3, 1.53% 9/20/18	9,034		9,064
GMF Floorplan Owner Revolving Trust Series 2015-1 Class A1, 1.65% 5/15/20 (d)	9,353		9,363
Home Equity Asset Trust:
Series 2003-2 Class M1, 1.5048% 8/25/33 (f)	46		43
Series 2003-3 Class M1, 1.4748% 8/25/33 (f)	218		210
Series 2003-5 Class A2, 0.8848% 12/25/33 (f)	142		136
Series 2004-1 Class M2, 1.8848% 6/25/34 (f)	181		164
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.3713% 1/25/37 (f)	627		400
Hyundai Auto Lease Securitization Trust:
Series 2014-B Class A3, 0.98% 11/15/17 (d)	13,502		13,526
Series 2015-A Class A3, 1.42% 9/17/18 (d)	9,338		9,368
Hyundai Floorplan Master Owner Trust Series 2013-1A Class A, 0.5356% 5/15/18 (d)(f)	11,309		11,311
John Deere Owner Trust Series 2013-A Class A3, 0.6% 3/15/17	4,076		4,078
JPMorgan Mortgage Acquisition Trust:
Series 2006-NC2 Class M2, 0.4813% 7/25/36 (f)	46		21
Series 2007-CH1 Class AV4, 0.3113% 11/25/36 (f)	265		263
KeyCorp Student Loan Trust:
Series 1999-A Class A2, 0.5986% 12/27/29 (f)	78		78
Series 2006-A Class 2C, 1.4186% 3/27/42 (f)	359		180
Long Beach Mortgage Loan Trust Series 2006-6 Class 2A3, 0.3313% 7/25/36 (f)	5,700		3,013
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
MASTR Asset Backed Securities Trust Series 2007-HE1 Class M1, 0.4848% 5/25/37 (f)	$ 252		$ 2
Mercedes-Benz Auto Lease Trust Series 2015-A Class A3, 1.1% 8/15/17	10,088		10,125
Mercedes-Benz Master Owner Trust Series 2015-AA Class A, 0.5002% 4/15/19 (d)(f)	13,090		13,090
Meritage Mortgage Loan Trust Series 2004-1 Class M1, 0.9348% 7/25/34 (f)	20		15
Merrill Lynch Mortgage Investors Trust:
Series 2003-OPT1 Class M1, 1.1598% 7/25/34 (f)	52		47
Series 2006-FM1 Class A2B, 0.2913% 4/25/37 (f)	156		147
Series 2006-OPT1 Class A1A, 0.7048% 6/25/35 (f)	556		537
Morgan Stanley ABS Capital I Trust:
Series 2004-HE6 Class A2, 0.8648% 8/25/34 (f)	255		237
Series 2005-NC1 Class M1, 0.8448% 1/25/35 (f)	151		141
Series 2005-NC2 Class B1, 1.9363% 3/25/35 (f)	114		2
Series 2006-NC4 Class A2D, 0.4248% 6/25/36 (f)	4,961		3,555
Nissan Auto Lease Trust Series 2014-A Class A3, 0.8% 2/15/17	5,997		6,001
Nissan Master Owner Trust Receivables Series 2015-A Class A2, 1.44% 1/15/20	10,429		10,445
Northstar Education Finance, Inc., Delaware Series 2005-1 Class A5, 1.0066% 10/30/45 (f)	1,227		1,222
Park Place Securities, Inc.:
Series 2004-WCW1:
Class M3, 2.0598% 9/25/34 (f)	2,300		2,165
Class M4, 2.3598% 9/25/34 (f)	320		150
Series 2005-WCH1 Class M4, 1.4298% 1/25/36 (f)	691		617
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 0.9848% 4/25/33 (f)	2		2
Santander Drive Auto Receivables Trust:
Series 2013-2 Class A3, 0.7% 9/15/17	1,345		1,345
Series 2013-4 Class A3, 1.11% 12/15/17	3,152		3,156
Series 2014-3 Class A3, 0.81% 7/16/18	9,039		9,036
Series 2014-4 Class B, 1.82% 5/15/19	5,080		5,086
Saxon Asset Securities Trust Series 2004-1 Class M1, 0.9688% 3/25/35 (f)	396		363
SLM Private Credit Student Loan Trust:
Series 2004-A:
Class B, 0.8506% 6/15/33 (f)	730		712
Class C, 1.2206% 6/15/33 (f)	2,293		2,222
Series 2004-B:
Class A2, 0.4706% 6/15/21 (f)	1,736		1,727
Class C, 1.1406% 9/15/33 (f)	2,752		2,646
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
SLM Student Loan Trust:
Series 2012-7 Class A2, 0.4648% 9/25/19 (f)	$ 10,665		$ 10,655
Series 2013-1 Class A2, 0.4348% 9/25/19 (f)	7,062		7,051
Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1.9098% 9/25/34 (f)	30		26
Synchrony Credit Card Master Note Trust Series 2015-2 Class A, 1.6% 4/15/21	10,500		10,523
Terwin Mortgage Trust Series 2003-4HE Class A1, 1.0448% 9/25/34 (f)	268		233
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 0.8308% 4/6/42 (d)(f)	272		147
Volkswagen Auto Lease Trust:
Series 2014-A Class A3, 0.8% 4/20/17	8,327		8,331
Series 2015-A Class A3, 1.25% 12/20/17	6,953		6,967
Volkswagen Auto Loan Enhanced Trust Series 2014-1 Class A3, 0.91% 10/22/18	7,187		7,196
Volkswagen Credit Auto Master Trust Series 2014-1A Class A2, 1.4% 7/22/19 (d)	6,774		6,804
Volvo Financial Equipment LLC Series 2015-1A Class A3, 1.51% 6/17/19 (d)	8,516		8,545
Whinstone Capital Management Ltd. Series 1A Class B3, 2.077% 10/25/44 (d)(f)	3,884		3,877
TOTAL ASSET-BACKED SECURITIES (Cost $821,312)		816,450
Collateralized Mortgage Obligations - 3.5%

Private Sponsor - 1.5%
BCAP LLC II Trust Series 2012-RR10 Class 5A5, 0.4381% 4/26/36 (d)(f)	2,741		2,665
Credit Suisse Mortgage Trust:
Series 2011-17R Class 2A1, 3.4% 12/27/37 (d)(f)	1,019		1,027
Series 2012-2R Class 1A1, 2.5861% 5/27/35 (d)(f)	3,884		3,998
Granite Master Issuer PLC floater:
Series 2005-4 Class C2, 1.284% 12/20/54 (f)	49		48
Series 2006-1A:
Class A5, 0.324% 12/20/54 (d)(f)	9,828		9,766
Class C2, 1.384% 12/20/54 (d)(f)	2,900		2,854
Series 2006-2:
Class A4, 0.264% 12/20/54 (f)	1,401		1,392
Class C1, 1.124% 12/20/54 (f)	10,492		10,284
Class M2, 0.644% 12/20/54 (f)	2,086		2,037
Series 2006-3 Class C2, 1.184% 12/20/54 (f)	4,597		4,511
Collateralized Mortgage Obligations - continued
	Principal Amount (000s)		Value (000s)
Private Sponsor - continued
Granite Master Issuer PLC floater: - continued
Series 2006-4:
Class A4, 0.284% 12/20/54 (f)	$ 2,548		$ 2,531
Class B1, 0.364% 12/20/54 (f)	9,293		9,161
Class C1, 0.944% 12/20/54 (f)	5,682		5,539
Class M1, 0.524% 12/20/54 (f)	2,448		2,381
Series 2007-1:
Class 1C1, 0.784% 12/20/54 (f)	932		900
Class 1M1, 0.484% 12/20/54 (f)	613		594
Class 2C1, 1.044% 12/20/54 (f)	425		416
Class 2M1, 0.684% 12/20/54 (f)	788		771
Class 3A1, 0.384% 12/20/54 (f)	2,598		2,585
Series 2007-2:
Class 2C1, 1.0434% 12/17/54 (f)	1,091		1,068
Class 3A1, 0.3634% 12/17/54 (f)	542		540
Granite Mortgages Series 2003-2 Class 1A3, 0.7751% 7/20/43 (f)	2,132		2,130
Granite Mortgages PLC floater:
Series 2003-3:
Class 1A3, 0.6751% 1/20/44 (f)	515		514
Class 1C, 2.7251% 1/20/44 (f)	1,838		1,839
Series 2004-1 Class 2A1, 0.5903% 3/20/44 (f)	7,578		7,554
Series 2004-3 Class 2A1, 0.5503% 9/20/44 (f)	2,157		2,151
MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 0.3948% 5/25/47 (f)	284		266
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.3548% 2/25/37 (f)	336		306
RESI Finance LP/RESI Finance DE Corp. floater Series 2003-B:
Class B5, 2.531% 6/10/35 (d)(f)	137		125
Class B6, 3.031% 6/10/35 (d)(f)	23		22
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 1.2236% 7/20/34 (f)	11		11
TOTAL PRIVATE SPONSOR			79,986
U.S. Government Agency - 2.0%
Fannie Mae:
floater:
Series 2008-76 Class EF, 0.6848% 9/25/23 (f)	341		342
Series 2010-86 Class FE, 0.6348% 8/25/25 (f)	1,247		1,256
Series 2013-9 Class FA, 0.5348% 3/25/42 (f)	10,573		10,607
Collateralized Mortgage Obligations - continued
	Principal Amount (000s)		Value (000s)
U.S. Government Agency - continued
Fannie Mae: - continued
floater planned amortization class Series 2005-90 Class FC, 0.4348% 10/25/35 (f)	$ 2,220		$ 2,225
pass-thru certificates Series 2012-127 Class DH, 4% 11/25/27	4,263		4,533
planned amortization class Series 2012-94 Class E, 3% 6/25/22	2,372		2,450
sequential payer:
Series 2001-40 Class Z, 6% 8/25/31	469		534
Series 2009-31 Class A, 4% 2/25/24	537		555
Series 2010-135 Class DE, 2.25% 4/25/24	2,273		2,316
Series 2011-16 Class FB, 0.3348% 3/25/31 (f)	5,557		5,564
Series 2010-123 Class DL, 3.5% 11/25/25	863		888
Series 2010-143 Class B, 3.5% 12/25/25	1,600		1,658
Series 2011-23 Class AB, 2.75% 6/25/20	1,260		1,287
Series 2011-88 Class AB, 2.5% 9/25/26	1,612		1,644
Freddie Mac:
floater:
Series 2711 Class FC, 1.0815% 2/15/33 (f)	3,548		3,616
Series 3879 Class AF, 0.6115% 6/15/41 (f)	5,351		5,383
floater planned amortization class:
Series 2953 Class LF, 0.4815% 12/15/34 (f)	1,383		1,388
Series 3117 Class JF, 0.4815% 2/15/36 (f)	2,180		2,187
floater sequential payer:
Series 3325:
Class FM, 0.6115% 5/15/37 (f)	2,108		2,119
Class FN, 0.6115% 5/15/37 (f)	2,108		2,119
Series 3943 Class EF 0.4315% 2/15/26 (f)	3,870		3,878
pass-thru certificates Series 2011-3938 Class BE, 2% 10/15/21	5,884		5,990
planned amortization class:
Series 2382 Class MB, 6% 11/15/16	154		158
Series 3763 Class QA, 4% 4/15/34	2,979		3,100
Series 3792 Class DF, 0.5815% 11/15/40 (f)	7,427		7,448
Series 3820 Class DA, 4% 11/15/35	3,253		3,454
Series 3949 Class MK, 4.5% 10/15/34	2,617		2,850
Series 4221-CLS Class GA, 1.4% 7/15/23	12,293		12,289
Ginnie Mae guaranteed REMIC pass-thru certificates:
floater:
Series 2009-116 Class KF, 0.7125% 12/16/39 (f)	1,600		1,614
Series 2012-113 Class FJ, 0.434% 1/20/42 (f)	3,696		3,697
Collateralized Mortgage Obligations - continued
	Principal Amount (000s)		Value (000s)
U.S. Government Agency - continued
Ginnie Mae guaranteed REMIC pass-thru certificates: - continued
floater planned amortization class Series 2005-47 Class FX, 0.334% 5/20/34 (f)	$ 6,228		$ 6,223
floater sequential payer:
Series 2010-120 Class FB 0.484% 9/20/35 (f)	1,485		1,487
Series 2011-150 Class D, 3% 4/20/37	387		393
TOTAL U.S. GOVERNMENT AGENCY			105,252
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $179,803)		185,238
Commercial Mortgage Securities - 9.8%

Asset Securitization Corp. Series 1997-D5 Class PS1, 1.5708% 2/14/43 (f)(g)	964		15
Banc of America Commercial Mortgage Trust:
sequential payer Series 2006-4 Class A4, 5.634% 7/10/46	5,478		5,645
Series 2006-4 Class A1A, 5.617% 7/10/46 (f)	9,883		10,284
Barclays Commercial Mortgage Securities LLC floater Series 2015-RRI Class A, 1.38% 5/15/32 (d)(f)	6,872		6,859
Bayview Commercial Asset Trust:
floater:
Series 2003-2 Class M1, 1.4598% 12/25/33 (d)(f)	24		21
Series 2005-4A:
Class A2, 0.5748% 1/25/36 (d)(f)	1,560		1,386
Class B1, 1.5848% 1/25/36 (d)(f)	59		35
Class M1, 0.6348% 1/25/36 (d)(f)	498		400
Class M2, 0.6548% 1/25/36 (d)(f)	162		126
Class M3, 0.6848% 1/25/36 (d)(f)	215		160
Class M4, 0.7948% 1/25/36 (d)(f)	119		87
Class M5, 0.8348% 1/25/36 (d)(f)	119		86
Class M6, 0.8848% 1/25/36 (d)(f)	121		79
Series 2006-3A Class M4, 0.6148% 10/25/36 (d)(f)	28		3
Series 2007-1 Class A2, 0.4548% 3/25/37 (d)(f)	969		815
Series 2007-2A:
Class A1, 0.4548% 7/25/37 (d)(f)	187		164
Class A2, 0.5048% 7/25/37 (d)(f)	176		149
Class M1, 0.5548% 7/25/37 (d)(f)	90		67
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Bayview Commercial Asset Trust: - continued
floater:
Series 2007-2A:
Class M2, 0.5948% 7/25/37 (d)(f)	$ 50		$ 32
Class M3, 0.6748% 7/25/37 (d)(f)	38		15
Series 2007-3:
Class A2, 0.4748% 7/25/37 (d)(f)	239		200
Class M1, 0.4948% 7/25/37 (d)(f)	180		137
Class M2, 0.5248% 7/25/37 (d)(f)	193		129
Class M3, 0.5548% 7/25/37 (d)(f)	313		127
Class M4, 0.6848% 7/25/37 (d)(f)	491		141
Class M5, 0.7848% 7/25/37 (d)(f)	230		39
Series 2007-4A:
Class A2, 0.7313% 9/25/37 (d)(f)	2,374		1,020
Class M1, 1.1313% 9/25/37 (d)(f)	353		72
Series 2006-2A Class IO, 0% 7/25/36 (d)(f)(g)	16,055		0
Bear Stearns Commercial Mortgage Securities Trust:
sequential payer:
Series 2005-PWR8 Class A4, 4.674% 6/11/41	412		412
Series 2006-PW13 Class A1A, 5.533% 9/11/41	9,282		9,684
Series 2006-PW14 Class A1A, 5.189% 12/11/38	3,447		3,620
Series 2006-T22 Class A1A, 5.7581% 4/12/38 (f)	9,138		9,359
Series 2006-PW12 Class A1A, 5.8805% 9/11/38 (f)	7,378		7,625
C-BASS Trust floater Series 2006-SC1 Class A, 0.4513% 5/25/36 (d)(f)	1,469		1,394
CD Commercial Mortgage Trust Series 2007-CD5 Class A1A, 5.8% 11/15/44	6,679		7,206
CDGJ Commercial Mortgage Trust Series 2014-BXCH Class A, 1.5745% 12/15/27 (d)(f)	7,648		7,662
Citigroup Commercial Mortgage Trust:
sequential payer Series 2006-C5 Class A4, 5.431% 10/15/49	3,388		3,543
Series 2013-GC11 Class A1, 0.754% 4/10/46	2,902		2,890
Citigroup/Deutsche Bank Commercial Mortgage Trust:
sequential payer Series 2006-CD2 Class A4, 5.4787% 1/15/46 (f)	1,836		1,853
Series 2005-CD1 Class A4, 5.3959% 7/15/44 (f)	2,316		2,324
Series 2006-CD2 Class A1B, 5.4797% 1/15/46 (f)	15,144		15,405
COMM Mortgage Trust floater Series 2014-KYO Class A, 1.08% 6/11/27 (d)(f)	15,295		15,276
COMM Mortgage Trust pass-thru certificates:
floater Series 2005-F10A Class J, 1.0356% 4/15/17 (d)(f)	59		59
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
COMM Mortgage Trust pass-thru certificates: - continued
sequential payer:
Series 2006-C7 Class A1A, 5.9288% 6/10/46 (f)	$ 12,562		$ 12,985
Series 2006-C8:
Class A1A, 5.292% 12/10/46	8,165		8,621
Class A4, 5.306% 12/10/46	9,637		10,098
Commercial Mortgage Trust pass-thru certificates sequential payer Series 2012-CR2 Class A1, 0.824% 8/15/45	1,267		1,268
CSMC Series 2015-TOWN:
Class B, 2.0815% 3/15/17 (d)(f)	1,412		1,413
Class C, 2.4315% 3/15/17 (d)(f)	1,376		1,377
Class D, 3.3815% 3/15/17 (d)(f)	2,081		2,082
CSMC Trust floater Series 2014-ICE:
Class A, 0.976% 4/15/27 (d)(f)	7,519		7,495
Class B, 1.376% 4/15/27 (d)(f)	6,601		6,576
Del Coronado Trust floater Series 2013-HDC Class A, 0.976% 3/15/26 (d)(f)	3,477		3,477
Extended Stay America Trust floater Series 2013-ESFL:
Class A1FL, 0.981% 12/5/31 (d)(f)	4,549		4,535
Class A2FL, 0.881% 12/5/31 (d)(f)	6,265		6,240
Freddie Mac:
pass-thru certificates Series K708 Class A1, 1.67% 10/25/18	2,834		2,856
sequential payer Series K501 Class A1, 1.337% 6/25/16	434		435
Series K707 Class A1, 1.615% 9/25/18	5,870		5,923
GAHR Commercial Mortgage Trust floater Series 2015-NRF Class AFL1, 1.4815% 12/15/16 (d)(f)	12,602		12,634
GE Capital Commercial Mortgage Corp.:
sequential payer Series 2006-C1 Class A4, 5.4499% 3/10/44 (f)	7,856		7,962
Series 2006-C1 Class A1A, 5.4499% 3/10/44 (f)	5,614		5,703
GMAC Commercial Mortgage Securities, Inc. Series 2004-C2 Class A4, 5.301% 8/10/38	39		39
GS Mortgage Securities Corp. II Series 2006-GG6:
Class A1A, 5.556% 4/10/38 (f)	5,164		5,233
Class A4, 5.553% 4/10/38 (f)	8,407		8,477
GS Mortgage Securities Corp. Trust Series 2013-C, 2.974% 1/10/30 (d)	1,620		1,647
GS Mortgage Securities Trust:
floater Series 2014-GSFL Class A, 1.1815% 7/15/31 (d)(f)	3,628		3,630
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
GS Mortgage Securities Trust: - continued
sequential payer Series 2006-GG8:
Class A1A, 5.547% 11/10/39	$ 5,251		$ 5,505
Class A4, 5.56% 11/10/39	3,906		4,070
Series 2011-GC5 Class A1, 1.468% 8/10/44	389		390
Series 2012-GC6 Class A1, 1.282% 1/10/45	467		469
Series 2013-GC12 Class A1, 0.742% 6/10/46 (f)	3,052		3,038
Hilton U.S.A. Trust:
floater Series 2013-HLF Class AFL, 1.1735% 11/5/30 (d)(f)	5,724		5,728
Series 2013-HLT Class DFX, 4.4065% 11/5/30 (d)	1,502		1,526
Hyatt Hotel Portfolio Trust floater Series 2015-HYT Class A, 1.432% 11/15/29 (d)(f)	4,653		4,658
JPMorgan Chase Commercial Mortgage Securities Trust:
floater:
Series 2006-FL2A:
Class E, 0.4656% 11/15/18 (d)(f)	69		68
Class F, 0.5156% 11/15/18 (d)(f)	127		123
Class G, 0.5456% 11/15/18 (d)(f)	110		106
Class H, 0.6856% 11/15/18 (d)(f)	121		117
Series 2014-BXH Class A, 1.0856% 4/15/27 (d)(f)	9,734		9,736
Series 2014-FL5 Class A, 1.1615% 7/15/31 (d)(f)	7,092		7,075
sequential payer:
Series 2006-CB16 Class A1A, 5.546% 5/12/45	10,145		10,604
Series 2006-LDP8 Class A4, 5.399% 5/15/45	9,397		9,724
Series 2013-C10, Class A1, 0.7302% 12/15/47	1,915		1,908
Series 13-LC11 Class A1, 0.7664% 4/15/46	5,636		5,609
Series 2006-LDP7 Class A1A, 6.057% 4/15/45 (f)	11,564		12,044
LB-UBS Commercial Mortgage Trust:
sequential payer:
Series 2006-C1 Class A4, 5.156% 2/15/31	4,893		4,951
Series 2006-C6 Class A4, 5.372% 9/15/39	2,335		2,436
Series 2007-C1 Class A4, 5.424% 2/15/40	11,522		12,157
Series 2007-C7 Class A3, 5.866% 9/15/45	4,474		4,884
Merrill Lynch Mortgage Trust:
Series 2005-CKI1 Class A1A, 5.4484% 11/12/37 (f)	2,665		2,695
Series 2006-C2 Class A1A, 5.739% 8/12/43 (f)	8,391		8,757
Merrill Lynch-CFC Commercial Mortgage Trust sequential payer Series 2007-5 Class A4, 5.378% 8/12/48	12,240		12,792
Morgan Stanley BAML Trust Series 2012-C5 Class A1, 0.916% 8/15/45	2,109		2,111
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Morgan Stanley Capital I Trust:
floater:
Series 2006-XLF Class C, 1.386% 7/15/19 (d)(f)	$ 241		$ 241
Series 2007-XLFA:
Class D, 0.3715% 10/15/20 (d)(f)	1,308		1,297
Class E, 0.4315% 10/15/20 (d)(f)	391		387
Class F, 0.4815% 10/15/20 (d)(f)	234		231
Class G, 0.5215% 10/15/20 (d)(f)	290		284
Class H, 0.6115% 10/15/20 (d)(f)	262		252
Class J, 0.7615% 10/15/20 (d)(f)	152		138
sequential payer:
Series 2007-IQ13 Class A1A, 5.312% 3/15/44	3,198		3,390
Series 2007-IQ14 Class A2, 5.61% 4/15/49	1,300		1,313
Series 2012-C4 Class A1, 1.085% 3/15/45	1,900		1,905
Series 2006-HQ9 Class A4, 5.731% 7/12/44 (f)	6,684		6,886
Series 2006-IQ11 Class A1A, 5.8201% 10/15/42 (f)	10,186		10,433
Series 2007-T27 Class A1A, 5.8266% 6/11/42 (f)	9,928		10,656
SCG Trust Series 2013-SRP1 Class A, 1.5815% 11/15/26 (d)(f)	6,227		6,230
UBS Commercial Mortgage Trust Series 2012-C1 Class A1, 1.032% 5/10/45	592		593
UBS-Barclays Commercial Mortgage Trust sequential payer Series 2013-C6 Class A1, 0.805% 4/10/46	2,580		2,571
Wachovia Bank Commercial Mortgage Trust:
floater Series 2006-WL7A:
Class G, 0.5456% 9/15/21 (d)(f)	74		73
Class J, 0.7856% 9/15/21 (d)(e)(f)	266		253
sequential payer Series 2006-C29:
Class A1A, 5.297% 11/15/48	14,097		14,850
Class A4, 5.308% 11/15/48	2,394		2,501
Series 2006-C23:
Class A1A, 5.422% 1/15/45	14,841		15,102
Class A5, 5.416% 1/15/45 (f)	10,672		10,871
Series 2006-C24 Class A1A, 5.557% 3/15/45 (f)	7,919		8,097
Series 2006-C25 Class A1A, 5.7074% 5/15/43 (f)	7,322		7,552
Series 2006-C26 Class A1A, 6.009% 6/15/45 (f)	9,285		9,641
Series 2006-C27 Class A3, 5.765% 7/15/45 (f)	6,239		6,443
Series 2007-C31A Class A2, 5.421% 4/15/47	564		563
Wells Fargo Commercial Mortgage Trust Series 2013-LC12 Class A1, 1.676% 7/15/46	8,705		8,736
WF-RBS Commercial Mortgage Trust:
sequential payer Series 2011-C5 Class A1, 1.456% 11/15/44	497		499
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
WF-RBS Commercial Mortgage Trust: - continued
Series 2012-C8 Class A1, 0.864% 8/15/45	$ 2,009		$ 2,009
Series 2013-C13 Class A1, 0.778% 5/15/45	1,803		1,796
Series 2013-C14 Class A1, 0.836% 6/15/46	2,021		2,016
WFCG Commercial Mortgage Trust floater Series 2015-BXRP Class A, 1.322% 11/15/29 (d)(f)	7,765		7,758
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $537,222)		516,159
Foreign Government and Government Agency Obligations - 0.1%

Banco Nacional de Desenvolvimento Economico e Social 3.375% 9/26/16 (d) (Cost $6,386)	6,393		6,481
Supranational Obligations - 0.2%

International Bank for Reconstruction & Development 1% 6/15/18	1,490		1,489
KeyBank NA 1.7% 6/1/18	7,948		7,948
TOTAL SUPRANATIONAL OBLIGATIONS (Cost $9,427)		9,437

Money Market Funds - 0.3%
	Shares
Fidelity Cash Central Fund, 0.15% (a) (Cost $17,061)	17,061,489		17,061
Cash Equivalents - 0.7%
	Maturity Amount (000s)
Investments in repurchase agreements in a joint trading account at 0.11%, dated 5/29/15 due 6/1/15 (Collateralized by U.S. Government Obligations) # (b) (Cost $34,714)	$ 34,714		34,714
TOTAL INVESTMENT PORTFOLIO - 100.9% (Cost $5,314,459)			5,310,390
NET OTHER ASSETS (LIABILITIES) - (0.9)%			(48,913)
NET ASSETS - 100%		$ 5,261,477

Swaps
Credit Default Swaps
Underlying Reference	Rating (1)	Expiration Date	Clearinghouse/ Counterparty	Fixed Payment Received/ (Paid)	Notional Amount (2) (000s)	Value (1) (000s)	Upfront Premium Received/ (Paid) (000s)	Unrealized Appreciation/ (Depreciation) (000s)
Sell Protection
Morgan Stanley ABS Capital I Inc Series 2004-NC8 Class B3	C	Oct. 2034	Merrill Lynch International	4.60%	$ 129	$ (29)	$ -	$ (29)

Legend

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

(e) Security or a portion of the security has been segregated as collateral for open bi-lateral over-the-counter (OTC) swaps. At period end, the value of securities pledged amounted to $99,000.

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

(g) 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.

Repurchase Agreement / Counterparty	Value (Amounts in thousands)
$34,714,000 due 6/01/15 at 0.11%
Bank of America NA	$ 1,086
Commerz Markets LLC	8,085
Merrill Lynch, Pierce, Fenner & Smith, Inc.	23,414
RBS Securities, Inc.	2,129
	$ 34,714

* Amount represents less than $1,000.

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	$ 50

Other Information

Valuation Inputs at Reporting Date:
Description (Amounts in thousands)	Total	Level 1	Level 2	Level 3
Investments in Securities:
Corporate Bonds	$ 2,415,951	$ -	$ 2,415,951	$ -
U.S. Government and Government Agency Obligations	1,165,052	-	1,165,052	-
U.S. Government Agency - Mortgage Securities	143,847	-	143,847	-
Asset-Backed Securities	816,450	-	816,195	255
Collateralized Mortgage Obligations	185,238	-	185,238	-
Commercial Mortgage Securities	516,159	-	516,021	138
Foreign Government and Government Agency Obligations	6,481	-	6,481	-
Supranational Obligations	9,437	-	9,437	-
Money Market Funds	17,061	17,061	-	-
Cash Equivalents	34,714	-	34,714	-
Total Investments in Securities:	$ 5,310,390	$ 17,061	$ 5,292,936	$ 393
Derivative Instruments:
Liabilities
Swaps	$ (29)	$ -	$ (29)	$ -

During the period, 268,738,649 shares of the Fund held by affiliated entities were redeemed for cash and investments, including accrued interest, with a value of $2,312,877,000. The Fund recognized a net gain of $11,313,000 for book purposes and no gain or loss for federal income tax purposes.

Income Tax Information

At May 31, 2015, the cost of investment securities for income tax purposes was $5,310,641,000. Net unrealized depreciation aggregated $251,000, of which $33,655,000 related to appreciated investment securities and $33,906,000 related to depreciated investment securities.

Investment Valuation

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, foreign government and government agency obligations, supranational obligations, 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.

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.

Credit Risk.

Quarterly 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 Report

Investments May 31, 2015 (Unaudited)

Quarterly Holdings Report

for

Spartan® U.S. Bond Index Fund

May 31, 2015

1.816026.110

UBI-QTLY-0715

Investments May 31, 2015 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 25.2%
	Principal Amount (000s)		Value (000s)
CONSUMER DISCRETIONARY - 1.9%
Automobiles - 0.1%
American Honda Finance Corp.:
2.125% 10/10/18	$ 6,550		$ 6,680
2.15% 3/13/20	8,550		8,577
2.25% 8/15/19	7,650		7,757
Ford Motor Co. 4.75% 1/15/43	7,650		7,746
			30,760
Diversified Consumer Services - 0.1%
George Washington University 4.3% 9/15/44	2,000		1,964
Ingersoll-Rand Global Holding Co. Ltd. 2.875% 1/15/19	1,623		1,660
Massachusetts Institute of Technology 3.959% 7/1/38	4,725		4,887
Northwestern University 4.643% 12/1/44	3,350		3,715
President and Fellows of Harvard College 3.619% 10/1/37	1,000		981
Rice University 3.774% 5/15/55	1,900		1,797
Trustees of Princeton Univ. 5.7% 3/1/39	1,000		1,298
University Notre Dame du Lac 3.438% 2/15/45	3,330		3,164
University of Southern California 5.25% 10/1/2111	2,000		2,491
			21,957
Hotels, Restaurants & Leisure - 0.1%
McDonald's Corp.:
5.35% 3/1/18	2,317		2,559
6.3% 3/1/38	7,045		8,610
Metropolitan Museum of Art 3.4% 7/1/45	3,000		2,726
Starbucks Corp. 3.85% 10/1/23	1,875		2,028
Yum! Brands, Inc.:
4.25% 9/15/15	2,000		2,019
5.3% 9/15/19	2,000		2,185
			20,127
Media - 1.0%
21st Century Fox America, Inc.:
5.4% 10/1/43	3,875		4,334
5.65% 8/15/20	1,000		1,152
6.15% 3/1/37	3,955		4,750
6.9% 3/1/19	2,110		2,482
6.9% 8/15/39	2,000		2,607
7.75% 12/1/45	3,160		4,460
AOL Time Warner, Inc. 7.625% 4/15/31	3,250		4,340
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
CONSUMER DISCRETIONARY - continued
Media - continued
Comcast Corp.:
3.125% 7/15/22	$ 3,000		$ 3,033
3.375% 8/15/25	5,700		5,766
4.65% 7/15/42	4,000		4,158
4.75% 3/1/44	5,400		5,717
4.95% 6/15/16	1,862		1,944
5.7% 5/15/18	2,940		3,308
5.7% 7/1/19	8,500		9,786
6.4% 3/1/40	1,000		1,282
6.55% 7/1/39	3,000		3,862
6.95% 8/15/37	6,700		8,888
DIRECTV Holdings LLC/DIRECTV Financing, Inc.:
3.5% 3/1/16	4,400		4,484
5.875% 10/1/19	2,905		3,314
6.35% 3/15/40	1,000		1,133
6.375% 3/1/41	2,100		2,374
Discovery Communications LLC:
3.25% 4/1/23	2,338		2,270
4.875% 4/1/43	4,900		4,613
5.05% 6/1/20	3,200		3,554
NBCUniversal, Inc. 6.4% 4/30/40	3,000		3,849
Thomson Reuters Corp.:
1.3% 2/23/17	2,350		2,351
1.65% 9/29/17	8,000		8,010
4.7% 10/15/19	4,000		4,391
Time Warner Cable, Inc.:
4.5% 9/15/42	11,000		9,498
5.85% 5/1/17	5,801		6,228
6.75% 7/1/18	1,162		1,304
7.3% 7/1/38	4,000		4,646
8.75% 2/14/19	2,368		2,824
Time Warner, Inc.:
2.1% 6/1/19	3,000		2,993
3.15% 7/15/15	5,000		5,015
3.55% 6/1/24	3,000		3,002
3.6% 7/15/25	6,340		6,314
4% 1/15/22	1,000		1,050
4.65% 6/1/44	3,000		2,912
4.85% 7/15/45	3,000		3,005
5.875% 11/15/16	2,131		2,275
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
CONSUMER DISCRETIONARY - continued
Media - continued
Time Warner, Inc.: - continued
6.5% 11/15/36	$ 5,724		$ 6,898
Viacom, Inc.:
4.25% 9/1/23	7,775		8,032
4.375% 3/15/43	2,635		2,227
5.625% 9/15/19	1,000		1,119
6.125% 10/5/17	5,420		5,966
Walt Disney Co.:
1.125% 2/15/17	2,760		2,780
1.85% 5/30/19	1,500		1,511
2.55% 2/15/22	2,810		2,815
4.125% 6/1/44	2,000		2,024
5.5% 3/15/19	2,000		2,280
			198,930
Multiline Retail - 0.2%
Kohl's Corp. 4.75% 12/15/23	7,800		8,486
Macy's Retail Holdings, Inc.:
2.875% 2/15/23	4,750		4,660
4.3% 2/15/43	4,750		4,507
Target Corp.:
3.875% 7/15/20	3,000		3,262
4% 7/1/42	7,000		6,798
5.875% 7/15/16	2,100		2,223
7% 1/15/38	1,038		1,454
			31,390
Specialty Retail - 0.4%
Advance Auto Parts, Inc. 4.5% 12/1/23	3,750		3,955
AutoZone, Inc.:
3.125% 7/15/23	3,825		3,788
3.25% 4/15/25	4,000		3,933
3.7% 4/15/22	5,500		5,712
Home Depot, Inc.:
2.25% 9/10/18	5,000		5,132
3.75% 2/15/24	6,725		7,147
4.2% 4/1/43	1,575		1,577
4.875% 2/15/44	2,875		3,112
5.4% 3/1/16	6,400		6,636
5.875% 12/16/36	4,700		5,779
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
CONSUMER DISCRETIONARY - continued
Specialty Retail - continued
Lowe's Companies, Inc.:
1.625% 4/15/17	$ 10,300		$ 10,441
4.625% 4/15/20	2,000		2,218
4.65% 4/15/42	6,500		7,019
5.8% 4/15/40	2,000		2,437
O'Reilly Automotive, Inc. 3.85% 6/15/23	2,825		2,911
Turlock Corp.:
1.5% 11/2/17	4,775		4,797
2.75% 11/2/22	5,725		5,646
4% 11/2/32	1,900		1,888
4.15% 11/2/42	1,900		1,861
			85,989
TOTAL CONSUMER DISCRETIONARY			389,153
CONSUMER STAPLES - 1.7%
Beverages - 0.3%
Anheuser-Busch Companies, Inc. 6.45% 9/1/37	4,073		5,292
Anheuser-Busch InBev Finance, Inc.:
1.25% 1/17/18	4,725		4,729
2.625% 1/17/23	2,825		2,751
4.625% 2/1/44	5,750		5,961
Anheuser-Busch InBev Worldwide, Inc.:
2.5% 7/15/22	8,625		8,441
5.375% 1/15/20	1,500		1,710
8.2% 1/15/39	2,800		4,265
Diageo Capital PLC:
1.5% 5/11/17	1,700		1,714
5.75% 10/23/17	5,185		5,730
Dr. Pepper Snapple Group, Inc. 2% 1/15/20	2,850		2,819
PepsiCo, Inc.:
3.6% 8/13/42	3,000		2,728
4.25% 10/22/44	6,000		6,001
4.875% 11/1/40	2,300		2,522
7.9% 11/1/18	6,000		7,245
The Coca-Cola Co.:
1.5% 11/15/15	3,770		3,790
3.15% 11/15/20	3,700		3,913
			69,611
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
CONSUMER STAPLES - continued
Food & Staples Retailing - 0.4%
CVS Health Corp.:
2.25% 8/12/19	$ 3,750		$ 3,775
5.3% 12/5/43	4,391		5,002
5.75% 5/15/41	6,000		7,153
Kroger Co.:
3.9% 10/1/15	9,000		9,095
5.15% 8/1/43	2,725		3,000
Wal-Mart Stores, Inc.:
1.125% 4/11/18	7,900		7,888
2.8% 4/15/16	6,700		6,836
3.3% 4/22/24	19,000		19,565
5.625% 4/1/40	2,000		2,451
5.625% 4/15/41	4,600		5,543
6.5% 8/15/37	8,275		10,971
Walgreen Co.:
1.8% 9/15/17	1,900		1,914
3.1% 9/15/22	2,850		2,819
			86,012
Food Products - 0.4%
Campbell Soup Co. 2.5% 8/2/22	4,750		4,631
ConAgra Foods, Inc.:
1.9% 1/25/18	5,675		5,676
3.2% 1/25/23	11,249		10,886
General Mills, Inc.:
2.2% 10/21/19	7,000		7,035
5.65% 2/15/19	13,501		15,208
Kellogg Co.:
3.125% 5/17/22	1,875		1,882
3.25% 5/21/18	2,800		2,922
4.45% 5/30/16	2,000		2,069
Kraft Foods Group, Inc.:
3.5% 6/6/22	11,650		11,877
5% 6/4/42	2,825		2,908
The J.M. Smucker Co. 2.5% 3/15/20 (d)	5,700		5,743
Tyson Foods, Inc. 3.95% 8/15/24	7,575		7,854
Unilever Capital Corp. 2.2% 3/6/19	7,475		7,625
			86,316
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
CONSUMER STAPLES - continued
Household Products - 0.2%
Kimberly-Clark Corp.:
1.9% 5/22/19	$ 8,325		$ 8,363
2.4% 3/1/22	5,200		5,148
2.4% 6/1/23	8,000		7,824
Procter & Gamble Co.:
1.8% 11/15/15	5,000		5,032
1.9% 11/1/19	4,000		4,043
2.3% 2/6/22	4,700		4,721
3.1% 8/15/23	10,000		10,383
3.15% 9/1/15	4,500		4,529
			50,043
Personal Products - 0.1%
Colgate-Palmolive Co. 3.25% 3/15/24	10,000		10,421
Tobacco - 0.3%
Altria Group, Inc.:
2.85% 8/9/22	7,000		6,858
4.25% 8/9/42	9,780		8,983
Philip Morris International, Inc.:
3.875% 8/21/42	4,825		4,419
4.5% 3/26/20	2,000		2,218
4.875% 11/15/43	6,000		6,400
5.65% 5/16/18	6,789		7,596
6.375% 5/16/38	1,450		1,848
Reynolds American, Inc.:
3.25% 11/1/22	1,325		1,304
4.85% 9/15/23	1,800		1,951
6.75% 6/15/17	2,899		3,191
7.25% 6/15/37	7,220		9,039
			53,807
TOTAL CONSUMER STAPLES			356,210
ENERGY - 3.1%
Energy Equipment & Services - 0.2%
Baker Hughes, Inc. 5.125% 9/15/40	2,000		2,193
Cameron International Corp. 3.7% 6/15/24	7,575		7,510
El Paso Pipeline Partners Operating Co. LLC 4.7% 11/1/42	3,800		3,319
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
ENERGY - continued
Energy Equipment & Services - continued
Halliburton Co.:
6.15% 9/15/19	$ 2,000		$ 2,326
7.45% 9/15/39	1,500		2,075
Nabors Industries, Inc. 2.35% 9/15/16	7,475		7,501
Noble Holding International Ltd.:
2.5% 3/15/17	4,650		4,656
3.05% 3/1/16	1,020		1,029
4.625% 3/1/21	1,340		1,327
5.25% 3/15/42	3,100		2,463
Weatherford International Ltd. 7% 3/15/38	5,580		5,465
			39,864
Oil, Gas & Consumable Fuels - 2.9%
Anadarko Petroleum Corp.:
3.45% 7/15/24	5,000		5,020
6.2% 3/15/40	2,000		2,323
6.45% 9/15/36	2,675		3,196
Apache Corp. 5.1% 9/1/40	3,000		3,017
Boardwalk Pipelines LP 4.95% 12/15/24	4,750		4,775
BP Capital Markets PLC:
2.241% 9/26/18	4,775		4,880
2.315% 2/13/20	1,800		1,811
2.5% 11/6/22	3,000		2,911
2.521% 1/15/20	6,000		6,114
3.062% 3/17/22	3,750		3,782
3.125% 10/1/15	2,500		2,522
3.245% 5/6/22	7,750		7,862
4.5% 10/1/20	2,000		2,213
4.75% 3/10/19	1,000		1,102
Canadian Natural Resources Ltd.:
3.9% 2/1/25	1,875		1,891
5.7% 5/15/17	1,148		1,237
6.25% 3/15/38	6,850		8,059
Cenovus Energy, Inc.:
3% 8/15/22	1,700		1,634
3.8% 9/15/23	1,750		1,750
6.75% 11/15/39	2,000		2,364
Chevron Corp.:
1.104% 12/5/17	5,700		5,693
1.718% 6/24/18	7,525		7,599
1.961% 3/3/20	8,625		8,644
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
ENERGY - continued
Oil, Gas & Consumable Fuels - continued
Chevron Corp.: - continued
2.193% 11/15/19	$ 11,400		$ 11,592
Columbia Pipeline Group, Inc.:
3.3% 6/1/20 (d)	3,043		3,072
4.5% 6/1/25 (d)	3,325		3,367
ConocoPhillips Co.:
2.2% 5/15/20	5,830		5,841
3.35% 5/15/25	6,810		6,862
5.75% 2/1/19	2,902		3,307
6.5% 2/1/39	7,529		9,689
DCP Midstream Operating LP:
2.5% 12/1/17	5,700		5,543
3.875% 3/15/23	3,775		3,603
Devon Energy Corp.:
2.25% 12/15/18	5,750		5,805
3.25% 5/15/22	4,000		4,010
5.6% 7/15/41	2,875		3,127
El Paso Natural Gas Co. 5.95% 4/15/17	926		994
Enbridge Energy Partners LP:
4.2% 9/15/21	8,700		9,086
5.875% 12/15/16	1,000		1,063
6.5% 4/15/18	1,000		1,114
Enbridge, Inc. 3.5% 6/10/24	2,825		2,726
Encana Corp.:
3.9% 11/15/21	4,900		5,089
6.5% 2/1/38	5,000		5,623
Energy Transfer Partners LP:
3.6% 2/1/23	8,550		8,308
4.15% 10/1/20	4,500		4,690
Enterprise Products Operating LP:
3.7% 2/15/26	1,770		1,772
4.05% 2/15/22	9,325		9,835
4.85% 8/15/42	2,500		2,500
4.85% 3/15/44	5,000		5,001
5.7% 2/15/42	2,000		2,247
6.65% 4/15/18	2,000		2,270
7.55% 4/15/38	2,000		2,657
EOG Resources, Inc. 5.625% 6/1/19	1,000		1,142
Exxon Mobil Corp. 3.567% 3/6/45	6,650		6,308
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
ENERGY - continued
Oil, Gas & Consumable Fuels - continued
Hess Corp.:
3.5% 7/15/24	$ 3,800		$ 3,729
5.6% 2/15/41	3,400		3,617
8.125% 2/15/19	6,000		7,197
Kinder Morgan Energy Partners LP:
2.65% 2/1/19	3,425		3,422
3.5% 9/1/23	2,000		1,929
3.95% 9/1/22	7,000		7,056
5% 3/1/43	1,000		926
5.625% 9/1/41	1,000		964
6.55% 9/15/40	3,000		3,153
Kinder Morgan, Inc. 5.3% 12/1/34	8,550		8,299
Magellan Midstream Partners LP 6.55% 7/15/19	4,592		5,334
Marathon Petroleum Corp.:
3.5% 3/1/16	1,000		1,019
5.125% 3/1/21	1,000		1,113
6.5% 3/1/41	1,000		1,185
Nexen, Inc. 5.875% 3/10/35	3,710		4,242
Occidental Petroleum Corp.:
1.75% 2/15/17	2,000		2,026
2.7% 2/15/23	6,000		5,894
3.125% 2/15/22	2,000		2,041
ONEOK Partners LP:
3.2% 9/15/18	3,000		3,068
3.375% 10/1/22	5,000		4,797
Petro-Canada:
6.05% 5/15/18	3,650		4,101
6.8% 5/15/38	8,445		10,878
Petrobras Global Finance BV:
3% 1/15/19	2,850		2,665
4.375% 5/20/23	4,725		4,217
6.25% 3/17/24	1,900		1,887
7.25% 3/17/44	3,000		2,955
Petrobras International Finance Co. Ltd.:
5.375% 1/27/21	7,775		7,585
6.75% 1/27/41	1,675		1,567
7.875% 3/15/19	12,228		13,161
Petroleos Mexicanos:
3.125% 1/23/19	1,425		1,450
3.5% 7/18/18	5,925		6,142
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
ENERGY - continued
Oil, Gas & Consumable Fuels - continued
Petroleos Mexicanos: - continued
3.5% 7/23/20 (d)	$ 11,525		$ 11,685
3.5% 1/30/23	6,725		6,498
4.875% 1/24/22	18,010		18,933
5.5% 6/27/44	8,600		8,376
6.375% 1/23/45	3,000		3,254
Phillips 66 Co.:
4.875% 11/15/44	1,000		1,002
5.875% 5/1/42	9,500		10,739
Plains All American Pipeline LP/PAA Finance Corp.:
3.6% 11/1/24	7,200		7,071
3.95% 9/15/15	2,000		2,018
4.9% 2/15/45	1,900		1,862
5.75% 1/15/20	1,000		1,133
6.125% 1/15/17	1,795		1,926
6.65% 1/15/37	2,795		3,318
Shell International Finance BV:
1.125% 8/21/17	1,375		1,379
2.125% 5/11/20	8,300		8,335
2.375% 8/21/22	3,000		2,937
3.25% 5/11/25	4,160		4,210
4.375% 5/11/45	7,120		7,247
6.375% 12/15/38	4,200		5,435
Southwestern Energy Co. 4.05% 1/23/20	5,000		5,178
Spectra Energy Capital, LLC 5.65% 3/1/20	2,000		2,196
Spectra Energy Partners, LP:
2.95% 9/25/18	2,877		2,958
4.75% 3/15/24	4,825		5,238
Statoil ASA:
1.2% 1/17/18	5,575		5,574
1.95% 11/8/18	7,300		7,395
2.25% 11/8/19	8,000		8,122
3.7% 3/1/24	3,650		3,840
5.1% 8/17/40	2,000		2,268
Suncor Energy, Inc.:
6.1% 6/1/18	11,244		12,600
6.85% 6/1/39	2,000		2,591
Talisman Energy, Inc.:
5.5% 5/15/42	4,100		3,881
5.85% 2/1/37	2,000		1,976
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
ENERGY - continued
Oil, Gas & Consumable Fuels - continued
The Williams Companies, Inc.:
4.55% 6/24/24	$ 5,675		$ 5,796
5.75% 6/24/44	1,900		1,927
Total Capital Canada Ltd. 1.45% 1/15/18	2,625		2,636
Total Capital International SA:
1.55% 6/28/17	5,000		5,059
2.1% 6/19/19	4,275		4,326
2.7% 1/25/23	1,900		1,870
2.75% 6/19/21	6,000		6,108
2.875% 2/17/22	4,175		4,229
3.75% 4/10/24	2,000		2,110
TransCanada PipeLines Ltd.:
2.5% 8/1/22	5,000		4,844
3.4% 6/1/15	1,000		1,000
6.1% 6/1/40	6,700		8,039
Transcontinental Gas Pipe Line Co. LLC 4.45% 8/1/42	7,750		6,808
Valero Energy Corp. 6.625% 6/15/37	5,420		6,403
Western Gas Partners LP:
2.6% 8/15/18	4,375		4,441
4% 7/1/22	3,000		3,060
Williams Partners LP:
3.35% 8/15/22	2,800		2,735
3.9% 1/15/25	3,525		3,466
XTO Energy, Inc. 5.65% 4/1/16	1,189		1,239
			603,532
TOTAL ENERGY			643,396
FINANCIALS - 8.8%
Banks - 4.0%
American Express Bank FSB 6% 9/13/17	615		677
Australia & New Zealand Banking Group Ltd. 1.875% 10/6/17	4,750		4,816
Bank of America Corp.:
2% 1/11/18	3,550		3,574
2.6% 1/15/19	3,775		3,834
2.65% 4/1/19	17,925		18,239
4% 4/1/24	9,000		9,361
4% 1/22/25	6,000		5,968
4.1% 7/24/23	7,000		7,331
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Banks - continued
Bank of America Corp.: - continued
4.2% 8/26/24	$ 8,500		$ 8,618
4.25% 10/22/26	4,000		4,017
5% 5/13/21	4,000		4,453
5.7% 1/24/22	6,250		7,235
5.75% 12/1/17	5,855		6,422
5.875% 1/5/21	6,640		7,659
6.5% 8/1/16	15,000		15,896
Bank of America NA:
5.3% 3/15/17	3,500		3,725
6% 10/15/36	2,419		2,979
Bank of Montreal:
1.4% 9/11/17	2,875		2,889
2.375% 1/25/19	3,700		3,770
Bank of Nova Scotia:
2.05% 10/7/15	4,000		4,024
4.375% 1/13/21	1,000		1,102
Banque Centrale de Tunisie 2.452% 7/24/21	8,500		8,682
Barclays PLC:
2.75% 11/8/19	10,000		10,107
3.65% 3/16/25	8,525		8,344
BB&T Corp.:
1.6% 8/15/17	5,700		5,740
2.05% 6/19/18	1,900		1,926
BNP Paribas 3.6% 2/23/16	10,380		10,592
BNP Paribas SA:
2.375% 5/21/20	11,600		11,578
2.7% 8/20/18	4,900		5,042
BPCE SA:
2.25% 1/27/20	4,000		4,012
2.5% 7/15/19	12,100		12,268
4% 4/15/24	2,000		2,078
Branch Banking & Trust Co.:
1.45% 10/3/16	2,000		2,015
3.8% 10/30/26	8,000		8,300
Capital One Bank NA 3.375% 2/15/23	2,424		2,409
Capital One NA 2.4% 9/5/19	7,000		7,002
Citigroup, Inc.:
2.25% 8/7/15	1,800		1,805
2.5% 9/26/18	750		763
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Banks - continued
Citigroup, Inc.: - continued
2.5% 7/29/19	$ 7,400		$ 7,452
2.55% 4/8/19	3,700		3,750
3.375% 3/1/23	6,000		6,097
3.953% 6/15/16	1,450		1,494
5.3% 5/6/44	2,000		2,153
5.5% 9/13/25	5,000		5,563
5.875% 1/30/42	4,500		5,420
6.125% 5/15/18	1,769		1,981
6.125% 8/25/36	3,650		4,279
8.125% 7/15/39	8,000		12,007
8.5% 5/22/19	1,688		2,082
Comerica, Inc.:
3% 9/16/15	1,268		1,276
3.8% 7/22/26	3,650		3,614
Commonwealth Bank of Australia:
1.25% 9/18/15	4,750		4,761
1.9% 9/18/17	4,750		4,821
2.3% 3/12/20	7,550		7,584
Corporacion Andina de Fomento:
1.5% 8/8/17	2,825		2,828
3.75% 1/15/16	5,425		5,507
4.375% 6/15/22	14,100		15,455
Credit Suisse AG 6% 2/15/18	15,651		17,279
Credit Suisse Group Funding Guernsey Ltd. 4.875% 5/15/45 (d)	5,000		5,068
Credit Suisse New York Branch:
3% 10/29/21	3,000		3,018
3.625% 9/9/24	3,425		3,478
Discover Bank:
2% 2/21/18	7,375		7,384
4.2% 8/8/23	7,000		7,181
Export-Import Bank of Korea:
2.875% 1/21/25	7,600		7,557
4% 1/11/17	11,380		11,861
5% 4/11/22	6,170		7,048
Fifth Third Bancorp:
3.5% 3/15/22	1,650		1,708
3.625% 1/25/16	2,000		2,035
4.5% 6/1/18	824		886
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Banks - continued
Fifth Third Bancorp: - continued
8.25% 3/1/38	$ 2,079		$ 3,024
HSBC Holdings PLC:
4.875% 1/14/22	10,100		11,281
5.1% 4/5/21	2,800		3,169
6.5% 9/15/37	10,500		13,061
HSBC U.S.A., Inc.:
2.25% 6/23/19	6,625		6,606
2.625% 9/24/18	7,500		7,705
3.5% 6/23/24	7,000		7,215
Huntington Bancshares, Inc. 2.6% 8/2/18	4,675		4,754
Inter-American Development Bank 1.75% 4/14/22	1,875		1,849
Japan Bank International Cooperation:
1.75% 5/29/19	15,100		15,215
2.125% 2/10/25	2,000		1,960
JPMorgan Chase & Co.:
1.8% 1/25/18	16,250		16,372
2% 8/15/17	7,000		7,087
2.25% 1/23/20	8,875		8,828
2.35% 1/28/19	23,000		23,273
3.15% 7/5/16	1,500		1,534
3.25% 9/23/22	4,000		4,039
3.375% 5/1/23	1,900		1,883
3.4% 6/24/15	10,710		10,728
3.875% 9/10/24	7,725		7,753
4.125% 12/15/26	5,875		5,916
4.35% 8/15/21	2,000		2,169
4.5% 1/24/22	13,000		14,193
4.625% 5/10/21	1,500		1,651
4.95% 6/1/45	2,550		2,578
5.5% 10/15/40	5,700		6,605
5.6% 7/15/41	1,500		1,765
6.3% 4/23/19	10,000		11,528
JPMorgan Chase Bank 6% 10/1/17	7,075		7,790
KeyBank NA 2.5% 12/15/19	4,000		4,060
KeyCorp. 3.75% 8/13/15	7,000		7,042
Lloyds Bank PLC 3.5% 5/14/25	8,600		8,637
MUFG Union Bank NA 2.625% 9/26/18	2,750		2,823
Nordic Investment Bank 0.5% 4/14/16	8,450		8,452
Oesterreichische Kontrollbank 2.375% 10/1/21	4,725		4,843
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Banks - continued
PNC Bank NA 2.4% 10/18/19	$ 4,750		$ 4,809
PNC Financial Services Group, Inc. 3.9% 4/29/24	5,650		5,847
PNC Funding Corp.:
2.7% 9/19/16	11,300		11,525
6.7% 6/10/19	2,500		2,945
Rabobank (Netherlands) NV:
2.125% 10/13/15	1,000		1,005
3.95% 11/9/22	5,300		5,417
4.5% 1/11/21	1,000		1,107
5.25% 5/24/41	3,000		3,454
Regions Bank 7.5% 5/15/18	2,000		2,307
Regions Financial Corp. 2% 5/15/18	3,650		3,650
Royal Bank of Canada:
2.15% 3/6/20	6,575		6,621
2.3% 7/20/16	5,500		5,599
Royal Bank of Scotland PLC 6.125% 1/11/21	3,700		4,349
Societe Generale SA 2.625% 10/1/18	3,750		3,848
Sumitomo Mitsui Banking Corp.:
2.25% 7/11/19	5,725		5,751
2.45% 1/16/20	5,000		5,057
2.5% 7/19/18	4,351		4,445
3.4% 7/11/24	5,725		5,819
SunTrust Banks, Inc.:
2.35% 11/1/18	3,000		3,042
2.5% 5/1/19	2,000		2,028
Svenska Handelsbanken AB 2.5% 1/25/19	11,750		12,015
The Toronto Dominion Bank:
2.375% 10/19/16	1,200		1,226
2.5% 7/14/16	1,200		1,225
U.S. Bancorp 4.125% 5/24/21	3,000		3,293
Wachovia Corp. 5.75% 6/15/17	2,905		3,171
Wells Fargo & Co.:
1.5% 7/1/15	3,000		3,003
2.1% 5/8/17	2,725		2,780
3.3% 9/9/24	4,625		4,651
3.45% 2/13/23	3,675		3,723
3.9% 5/1/45	4,760		4,442
4.1% 6/3/26	3,225		3,321
4.48% 1/16/24	3,816		4,096
5.375% 11/2/43	1,850		2,042
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Banks - continued
Wells Fargo & Co.: - continued
5.606% 1/15/44	$ 11,380		$ 12,859
5.625% 12/11/17	5,972		6,599
Westpac Banking Corp.:
1.125% 9/25/15	2,000		2,005
2% 8/14/17	5,000		5,086
2.3% 5/26/20	3,000		3,001
4.875% 11/19/19	3,700		4,155
Zions Bancorp. 4.5% 6/13/23	207		216
			820,801
Capital Markets - 1.3%
Affiliated Managers Group, Inc. 3.5% 8/1/25	4,750		4,683
Bear Stearns Companies, Inc. 5.3% 10/30/15	1,159		1,181
BlackRock, Inc.:
1.375% 6/1/15	3,000		3,000
3.5% 3/18/24	2,900		3,011
4.25% 5/24/21	6,500		7,181
Deutsche Bank AG 4.5% 4/1/25	3,000		2,928
Eaton Vance Corp. 3.625% 6/15/23	2,825		2,899
Franklin Resources, Inc.:
1.375% 9/15/17	1,900		1,908
2.85% 3/30/25	3,800		3,730
Goldman Sachs Group, Inc.:
2.375% 1/22/18	9,950		10,099
2.55% 10/23/19	11,000		11,066
2.625% 1/31/19	12,850		13,093
2.9% 7/19/18	2,800		2,882
3.5% 1/23/25	5,000		4,948
3.625% 2/7/16	5,000		5,094
3.625% 1/22/23	9,000		9,160
3.85% 7/8/24	3,800		3,872
5.25% 7/27/21	4,500		5,075
5.625% 1/15/17	7,000		7,452
5.75% 1/24/22	4,300		4,952
5.95% 1/18/18	3,000		3,316
6% 6/15/20	1,650		1,904
6.15% 4/1/18	7,451		8,314
6.75% 10/1/37	14,860		18,176
Lazard Group LLC:
4.25% 11/14/20	2,650		2,812
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Capital Markets - continued
Lazard Group LLC: - continued
6.85% 6/15/17	$ 828		$ 908
Merrill Lynch & Co., Inc.:
6.4% 8/28/17	3,140		3,459
6.875% 4/25/18	6,991		7,962
Merrill Lynch &Co., Inc. 7.75% 5/14/38	4,175		5,697
Morgan Stanley:
2.125% 4/25/18	8,000		8,063
2.375% 7/23/19	7,550		7,587
2.5% 1/24/19	6,000		6,074
2.65% 1/27/20	11,000		11,110
3.7% 10/23/24	6,000		6,101
3.75% 2/25/23	6,775		6,982
3.875% 4/29/24	9,000		9,251
3.95% 4/23/27	5,210		5,076
4.3% 1/27/45	2,000		1,929
5.45% 1/9/17	236		251
5.5% 7/28/21	3,400		3,893
5.625% 9/23/19	2,000		2,261
5.75% 1/25/21	5,000		5,770
5.95% 12/28/17	5,745		6,347
6.375% 7/24/42	2,900		3,678
6.625% 4/1/18	5,055		5,718
7.25% 4/1/32	1,000		1,344
7.3% 5/13/19	3,000		3,555
State Street Corp. 2.875% 3/7/16	3,340		3,398
The Bank of New York Mellon Corp.:
2.3% 7/28/16	1,000		1,018
5.45% 5/15/19	2,000		2,263
UBS AG Stamford Branch:
5.75% 4/25/18	830		925
5.875% 12/20/17	2,034		2,248
			265,604
Consumer Finance - 1.5%
American Express Co.:
4.05% 12/3/42	6,975		6,573
7% 3/19/18	5,750		6,575
American Express Credit Corp.:
2.375% 3/24/17	3,825		3,906
2.75% 9/15/15	5,000		5,031
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Consumer Finance - continued
Capital One Financial Corp. 4.75% 7/15/21	$ 4,000		$ 4,419
Caterpillar Financial Services Corp.:
1.3% 3/1/18	3,650		3,651
2% 3/5/20	3,900		3,909
2.1% 6/9/19	1,600		1,618
2.25% 12/1/19	6,600		6,705
2.75% 6/24/15	1,500		1,502
2.85% 6/1/22	4,000		4,036
Discover Financial Services:
5.2% 4/27/22	1,000		1,094
6.45% 6/12/17	2,263		2,475
Ford Motor Credit Co. LLC:
2.375% 3/12/19	2,425		2,443
2.5% 1/15/16	3,750		3,787
2.875% 10/1/18	1,575		1,613
3% 6/12/17	3,000		3,077
3.219% 1/9/22	3,500		3,524
4.25% 2/3/17	7,600		7,963
4.25% 9/20/22	1,800		1,913
4.375% 8/6/23	4,000		4,264
5.875% 8/2/21	11,375		13,174
General Electric Capital Corp.:
1.6% 11/20/17	1,550		1,565
2.25% 11/9/15	6,228		6,279
2.95% 5/9/16	11,691		11,950
3.5% 6/29/15	12,081		12,111
4.65% 10/17/21	7,000		7,863
5.625% 9/15/17	7,044		7,737
5.625% 5/1/18	15,000		16,774
5.875% 1/14/38	15,625		19,530
6.15% 8/7/37	1,900		2,451
6.375% 11/15/67 (g)	9,000		9,810
6.875% 1/10/39	4,000		5,578
HSBC Finance Corp. 5.5% 1/19/16	11,200		11,532
John Deere Capital Corp.:
1.2% 10/10/17	1,550		1,553
1.3% 3/12/18	3,675		3,678
1.95% 12/13/18	4,825		4,894
1.95% 3/4/19	9,600		9,676
2.05% 3/10/20	7,675		7,708
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Consumer Finance - continued
John Deere Capital Corp.: - continued
2.25% 4/17/19	$ 10,250		$ 10,429
2.8% 1/27/23	5,000		4,992
Synchrony Financial:
2.7% 2/3/20	8,000		8,007
3% 8/15/19	5,675		5,776
Toyota Motor Credit Corp.:
0.875% 7/17/15	4,750		4,753
2.05% 1/12/17	9,000		9,189
2.1% 1/17/19	6,000		6,067
2.125% 7/18/19	10,400		10,517
2.15% 3/12/20	6,750		6,792
2.75% 5/17/21	2,600		2,666
			303,129
Diversified Financial Services - 0.5%
Berkshire Hathaway Finance Corp. 5.75% 1/15/40	5,000		6,214
Berkshire Hathaway, Inc.:
1.55% 2/9/18	4,575		4,624
4.5% 2/11/43	2,000		2,086
CME Group, Inc. 5.3% 9/15/43	2,800		3,282
Export Development Canada 1% 6/15/18	5,290		5,281
FMS Wertmanagement AoeR 1.125% 9/5/17	2,800		2,815
ING U.S., Inc. 5.7% 7/15/43	3,750		4,421
IntercontinentalExchange Group, Inc.:
2.5% 10/15/18	4,675		4,809
4% 10/15/23	3,750		3,989
International Finance Corp. 2.25% 4/11/16	5,700		5,792
KfW:
1% 1/26/18	11,500		11,511
1.75% 10/15/19	15,575		15,750
2% 5/2/25	3,825		3,734
2.5% 11/20/24	10,425		10,654
National Rural Utilities Cooperative Finance Corp. 3.875% 9/16/15	4,000		4,040
Ontario Province 2% 1/30/19	5,000		5,101
Svensk Exportkredit AB 1.75% 5/30/17	4,750		4,832
			98,935
Insurance - 0.7%
ACE INA Holdings, Inc. 5.9% 6/15/19	3,000		3,437
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Insurance - continued
American International Group, Inc.:
3.375% 8/15/20	$ 5,775		$ 6,005
4.5% 7/16/44	8,875		8,827
4.875% 6/1/22	9,000		10,029
5.05% 10/1/15	3,000		3,044
5.85% 1/16/18	2,000		2,215
6.4% 12/15/20	2,900		3,464
Aon Corp. 3.125% 5/27/16	8,000		8,174
Aon PLC:
3.5% 6/14/24	2,000		2,009
4% 11/27/23	3,000		3,135
4.6% 6/14/44	1,600		1,587
4.75% 5/15/45	5,880		5,947
Hartford Financial Services Group, Inc. 5.125% 4/15/22	4,750		5,325
Marsh & McLennan Companies, Inc.:
2.3% 4/1/17	5,000		5,087
2.35% 9/10/19	3,850		3,885
2.35% 3/6/20	4,750		4,762
2.55% 10/15/18	5,800		5,919
3.5% 6/3/24	1,900		1,926
4.05% 10/15/23	6,775		7,173
MetLife, Inc.:
4.125% 8/13/42	3,900		3,766
4.721% 12/15/44	5,000		5,266
5% 6/15/15	1,153		1,155
5.875% 2/6/41	2,400		2,955
7.717% 2/15/19	9,000		10,826
Prudential Financial, Inc.:
2.3% 8/15/18	4,900		4,985
5.1% 8/15/43	4,000		4,243
5.4% 6/13/35	447		494
5.5% 3/15/16	421		437
5.625% 5/12/41	2,000		2,253
5.7% 12/14/36	380		435
6.2% 11/15/40	2,400		2,883
7.375% 6/15/19	3,000		3,595
8.875% 6/15/38 (g)	2,944		3,453
The Chubb Corp.:
5.75% 5/15/18	4,175		4,701
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Insurance - continued
The Chubb Corp.: - continued
6.5% 5/15/38	$ 3,510		$ 4,737
The Travelers Companies, Inc. 6.25% 6/15/37	8,350		10,911
			159,045
Real Estate Investment Trusts - 0.5%
Alexandria Real Estate Equities, Inc.:
2.75% 1/15/20	3,788		3,783
3.9% 6/15/23	5,650		5,727
American Tower Corp. 3.4% 2/15/19	7,475		7,714
Boston Properties, Inc.:
3.125% 9/1/23	1,900		1,890
4.125% 5/15/21	2,100		2,278
DDR Corp.:
3.375% 5/15/23	2,825		2,772
4.625% 7/15/22	1,900		2,035
Duke Realty LP:
3.625% 4/15/23	2,750		2,780
3.75% 12/1/24	5,750		5,837
5.95% 2/15/17	630		677
6.5% 1/15/18	1,000		1,122
ERP Operating LP:
2.375% 7/1/19	5,750		5,810
3% 4/15/23	1,875		1,861
4.625% 12/15/21	5,700		6,288
Federal Realty Investment Trust 3% 8/1/22	4,750		4,743
HCP, Inc. 3.875% 8/15/24	7,575		7,590
Health Care REIT, Inc.:
2.25% 3/15/18	2,470		2,502
3.75% 3/15/23	8,660		8,758
HRPT Properties Trust:
6.25% 6/15/17	1,221		1,300
6.65% 1/15/18	612		660
Kimco Realty Corp. 6.875% 10/1/19	1,000		1,177
Omega Healthcare Investors, Inc.:
4.5% 1/15/25 (d)	4,750		4,746
4.5% 4/1/27 (d)	9,500		9,330
Simon Property Group LP:
2.8% 1/30/17	4,700		4,823
4.125% 12/1/21	3,200		3,500
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Real Estate Investment Trusts - continued
Simon Property Group LP: - continued
5.65% 2/1/20	$ 4,300		$ 4,957
Weingarten Realty Investors 3.5% 4/15/23	3,800		3,762
			108,422
Real Estate Management & Development - 0.3%
BioMed Realty LP 4.25% 7/15/22	3,000		3,109
Brandywine Operating Partnership LP 3.95% 2/15/23	3,800		3,822
Liberty Property LP:
3.375% 6/15/23	2,775		2,720
3.75% 4/1/25	4,750		4,722
4.4% 2/15/24	7,425		7,787
4.75% 10/1/20	1,000		1,086
5.5% 12/15/16	1,000		1,059
Mack-Cali Realty LP:
2.5% 12/15/17	3,825		3,841
3.15% 5/15/23	4,700		4,215
4.5% 4/18/22	4,210		4,207
Regency Centers LP:
5.25% 8/1/15	2,113		2,128
5.875% 6/15/17	1,046		1,137
Tanger Properties LP:
3.75% 12/1/24	6,500		6,554
6.125% 6/1/20	4,408		5,086
Ventas Realty LP:
3.5% 2/1/25	4,000		3,930
4.375% 2/1/45	3,000		2,845
Ventas Realty LP/Ventas Capital Corp. 2% 2/15/18	4,750		4,795
			63,043
TOTAL FINANCIALS			1,818,979
HEALTH CARE - 2.3%
Biotechnology - 0.2%
Amgen, Inc.:
2.2% 5/22/19	11,425		11,480
2.5% 11/15/16	2,000		2,041
3.125% 5/1/25	2,000		1,946
3.875% 11/15/21	9,600		10,206
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
HEALTH CARE - continued
Biotechnology - continued
Amgen, Inc.: - continued
5.15% 11/15/41	$ 11,150		$ 11,882
5.85% 6/1/17	2,928		3,189
			40,744
Health Care Equipment & Supplies - 0.3%
Baxter International, Inc.:
1.85% 6/15/18	8,000		8,059
4.5% 8/15/19	3,000		3,288
Becton, Dickinson & Co.:
2.675% 12/15/19	5,854		5,943
4.685% 12/15/44	10,180		10,320
Medtronic, Inc.:
2.5% 3/15/20 (d)	15,100		15,307
4.625% 3/15/45 (d)	10,425		10,814
			53,731
Health Care Providers & Services - 0.6%
Aetna, Inc.:
1.5% 11/15/17	1,958		1,967
4.125% 6/1/21	7,000		7,558
4.125% 11/15/42	4,411		4,323
Catholic Health Initiatives:
1.6% 11/1/17	2,750		2,753
4.35% 11/1/42	2,000		1,886
Childrens Hosp Medical Ctr 4.268% 5/15/44	3,320		3,344
Cigna Corp. 4% 2/15/22	4,600		4,906
Coventry Health Care, Inc. 5.95% 3/15/17	1,731		1,873
Express Scripts Holding Co.:
2.25% 6/15/19	3,800		3,795
3.9% 2/15/22	10,400		10,815
6.125% 11/15/41	3,000		3,648
Express Scripts, Inc. 7.25% 6/15/19	2,000		2,385
Kaiser Foundation Hospitals 4.875% 4/1/42	1,800		1,959
McKesson Corp.:
0.95% 12/4/15	2,850		2,853
1.4% 3/15/18	4,725		4,703
3.796% 3/15/24	5,000		5,154
4.883% 3/15/44	5,000		5,264
Medco Health Solutions, Inc. 2.75% 9/15/15	2,000		2,012
Memorial Sloan-Kettring Cancer Center 4.2% 7/1/55	3,000		2,855
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
HEALTH CARE - continued
Health Care Providers & Services - continued
New York & Presbyterian Hospital 4.024% 8/1/45	$ 3,500		$ 3,287
NYU Hospitals Center 4.784% 7/1/44	7,600		7,760
Partners Healthcare System, Inc. 4.117% 7/1/55	3,500		3,244
UnitedHealth Group, Inc.:
1.625% 3/15/19	4,878		4,850
2.3% 12/15/19	8,625		8,768
2.875% 12/15/21	2,575		2,614
4.375% 3/15/42	11,800		11,885
WellPoint, Inc.:
1.25% 9/10/15	1,575		1,578
1.875% 1/15/18	2,000		2,011
3.3% 1/15/23	2,000		2,003
4.625% 5/15/42	2,600		2,591
4.65% 1/15/43	2,000		2,032
5.8% 8/15/40	4,000		4,747
			131,423
Life Sciences Tools & Services - 0.1%
Thermo Fisher Scientific, Inc.:
2.4% 2/1/19	2,850		2,870
4.15% 2/1/24	4,379		4,589
5.3% 2/1/44	5,820		6,500
			13,959
Pharmaceuticals - 1.1%
AbbVie, Inc.:
1.2% 11/6/15	5,700		5,711
1.75% 11/6/17	5,700		5,720
2.5% 5/14/20	7,100		7,095
2.9% 11/6/22	5,700		5,603
3.6% 5/14/25	9,000		9,053
4.4% 11/6/42	4,775		4,613
4.7% 5/14/45	8,980		9,082
Actavis Funding SCS:
3% 3/12/20	22,800		23,088
3.45% 3/15/22	18,025		18,156
AstraZeneca PLC:
5.9% 9/15/17	4,505		4,983
6.45% 9/15/37	3,250		4,263
Bristol-Myers Squibb Co. 3.25% 8/1/42	2,800		2,438
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
HEALTH CARE - continued
Pharmaceuticals - continued
GlaxoSmithKline Capital, Inc.:
5.65% 5/15/18	$ 8,585		$ 9,641
6.375% 5/15/38	7,218		9,340
Johnson & Johnson:
4.5% 12/5/43	6,625		7,300
4.85% 5/15/41	4,260		4,977
Merck & Co., Inc.:
1.3% 5/18/18	7,000		7,016
1.85% 2/10/20	9,000		8,984
2.25% 1/15/16	1,000		1,011
2.4% 9/15/22	2,000		1,971
3.6% 9/15/42	2,000		1,878
3.7% 2/10/45	3,400		3,152
3.875% 1/15/21	1,000		1,085
5% 6/30/19	5,970		6,713
Mylan, Inc. 1.35% 11/29/16	5,295		5,291
Novartis Capital Corp.:
2.4% 9/21/22	3,750		3,701
3.7% 9/21/42	2,825		2,729
Perrigo Co. PLC:
2.3% 11/8/18	4,609		4,633
4% 11/15/23	5,000		5,144
Perrigo Finance PLC 4.9% 12/15/44	3,089		3,109
Pfizer, Inc.:
6.2% 3/15/19	4,000		4,628
7.2% 3/15/39	5,400		7,627
Sanofi SA 1.25% 4/10/18	7,550		7,556
Watson Pharmaceuticals, Inc.:
1.875% 10/1/17	3,125		3,133
3.25% 10/1/22	3,000		2,959
Zoetis, Inc.:
1.875% 2/1/18	1,000		1,000
3.25% 2/1/23	5,000		4,892
4.7% 2/1/43	5,000		4,895
			224,170
TOTAL HEALTH CARE			464,027
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
INDUSTRIALS - 1.5%
Aerospace & Defense - 0.4%
Boeing Capital Corp. 2.125% 8/15/16	$ 4,500		$ 4,575
General Dynamics Corp. 2.25% 7/15/16	2,400		2,447
Honeywell International, Inc. 5.375% 3/1/41	1,400		1,698
Lockheed Martin Corp.:
2.125% 9/15/16	3,000		3,049
4.85% 9/15/41	2,700		2,913
Northrop Grumman Corp.:
1.75% 6/1/18	6,900		6,904
3.85% 4/15/45	1,875		1,708
4.75% 6/1/43	4,000		4,172
Raytheon Co.:
3.125% 10/15/20	2,000		2,090
3.15% 12/15/24	8,900		9,063
4.875% 10/15/40	1,000		1,105
The Boeing Co.:
2.5% 3/1/25	4,600		4,466
6% 3/15/19	1,000		1,154
6.875% 3/15/39	3,300		4,727
United Technologies Corp.:
3.1% 6/1/22	2,875		2,951
4.5% 4/15/20	4,000		4,451
4.5% 6/1/42	7,380		7,628
5.7% 4/15/40	2,000		2,419
6.125% 2/1/19	4,000		4,599
			72,119
Air Freight & Logistics - 0.1%
FedEx Corp.:
2.3% 2/1/20	11,350		11,369
3.2% 2/1/25	3,820		3,780
United Parcel Service, Inc. 6.2% 1/15/38	2,500		3,213
			18,362
Airlines - 0.1%
American Airlines pass-thru trust equipment trust certificate 4.95% 7/15/24	3,434		3,690
Continental Airlines, Inc.:
4% 4/29/26	4,333		4,490
6.648% 3/15/19	751		778
6.9% 7/2/19	320		337
			9,295
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
INDUSTRIALS - continued
Commercial Services & Supplies - 0.1%
Republic Services, Inc.:
3.2% 3/15/25	$ 11,275		$ 11,072
5.5% 9/15/19	4,000		4,519
Waste Management, Inc. 2.9% 9/15/22	6,675		6,652
			22,243
Industrial Conglomerates - 0.3%
3M Co. 2% 6/26/22	4,000		3,914
Covidien International Finance SA:
2.95% 6/15/23	3,000		2,986
3.2% 6/15/22	2,150		2,206
6% 10/15/17	2,902		3,219
6.55% 10/15/37	4,250		5,645
Danaher Corp. 3.9% 6/23/21	2,900		3,138
General Electric Co.:
3.375% 3/11/24	5,500		5,741
4.5% 3/11/44	8,500		8,998
5.25% 12/6/17	18,540		20,355
Roper Industries, Inc. 2.05% 10/1/18	5,675		5,681
			61,883
Machinery - 0.1%
Caterpillar, Inc.:
2.6% 6/26/22	6,000		5,984
5.3% 9/15/35	7,000		8,011
Deere & Co. 5.375% 10/16/29	1,000		1,201
Ingersoll-Rand Luxembourg Finance SA:
2.625% 5/1/20	5,093		5,117
4.65% 11/1/44	6,000		5,970
			26,283
Road & Rail - 0.4%
Burlington Northern Santa Fe Corp. 4.7% 10/1/19	5,000		5,561
Burlington Northern Santa Fe LLC:
3% 3/15/23	2,800		2,800
3.05% 3/15/22	10,000		10,191
4.15% 4/1/45	1,700		1,615
4.375% 9/1/42	4,500		4,497
4.55% 9/1/44	3,000		3,039
4.9% 4/1/44	4,000		4,323
Canadian National Railway Co. 2.85% 12/15/21	5,000		5,122
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
INDUSTRIALS - continued
Road & Rail - continued
CSX Corp.:
3.4% 8/1/24	$ 4,625		$ 4,708
3.95% 5/1/50	2,000		1,838
4.1% 3/15/44	6,775		6,420
7.375% 2/1/19	10,000		11,872
Norfolk Southern Corp.:
3% 4/1/22	7,500		7,563
3.25% 12/1/21	5,000		5,165
3.95% 10/1/42	1,900		1,785
5.75% 1/15/16	10,000		10,284
Union Pacific Corp. 4.75% 9/15/41	2,800		3,068
			89,851
Trading Companies & Distributors - 0.0%
Air Lease Corp. 3.75% 2/1/22	3,820		3,849
TOTAL INDUSTRIALS			303,885
INFORMATION TECHNOLOGY - 1.3%
Communications Equipment - 0.1%
Cisco Systems, Inc.:
4.45% 1/15/20	2,000		2,221
4.95% 2/15/19	3,479		3,887
5.9% 2/15/39	12,416		15,079
			21,187
Electronic Equipment & Components - 0.1%
Corning, Inc. 4.75% 3/15/42	5,000		5,299
Tyco Electronics Group SA:
2.35% 8/1/19	5,000		5,029
2.375% 12/17/18	3,000		3,047
3.45% 8/1/24	3,650		3,718
6.55% 10/1/17	2,338		2,606
7.125% 10/1/37	2,475		3,329
			23,028
Internet Software & Services - 0.0%
Google, Inc. 3.625% 5/19/21	3,780		4,096
IT Services - 0.3%
IBM Corp.:
1.25% 2/6/17	11,250		11,351
1.95% 7/22/16	1,500		1,520
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
INFORMATION TECHNOLOGY - continued
IT Services - continued
IBM Corp.: - continued
3.625% 2/12/24	$ 10,000		$ 10,337
7.625% 10/15/18	13,000		15,559
Xerox Corp.:
2.75% 3/15/19	5,000		5,099
4.5% 5/15/21	4,000		4,312
5.625% 12/15/19	1,000		1,127
			49,305
Semiconductors & Semiconductor Equipment - 0.1%
Intel Corp. 3.3% 10/1/21	15,000		15,846
Texas Instruments, Inc. 1.75% 5/1/20	3,800		3,759
			19,605
Software - 0.5%
Microsoft Corp.:
2.5% 2/8/16	2,000		2,028
2.7% 2/12/25	17,175		16,789
3.625% 12/15/23	26,150		27,779
4.2% 6/1/19	2,000		2,205
5.3% 2/8/41	1,500		1,750
Oracle Corp.:
2.25% 10/8/19	4,725		4,790
2.5% 5/15/22	9,600		9,455
3.4% 7/8/24	4,725		4,838
4.3% 7/8/34	3,875		3,923
5.375% 7/15/40	12,500		14,016
5.75% 4/15/18	7,400		8,292
			95,865
Technology Hardware, Storage & Peripherals - 0.2%
Apple, Inc.:
2.1% 5/6/19	6,475		6,591
2.7% 5/13/22	6,650		6,691
3.2% 5/13/25	10,490		10,581
3.85% 5/4/43	13,000		12,147
Hewlett-Packard Co.:
3.3% 12/9/16	5,250		5,405
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
INFORMATION TECHNOLOGY - continued
Technology Hardware, Storage & Peripherals - continued
Hewlett-Packard Co.: - continued
4.3% 6/1/21	$ 2,780		$ 2,944
6% 9/15/41	1,500		1,574
			45,933
TOTAL INFORMATION TECHNOLOGY			259,019
MATERIALS - 1.3%
Chemicals - 0.6%
Air Products & Chemicals, Inc. 4.375% 8/21/19	1,000		1,090
Albemarle Corp. U.S. 3% 12/1/19	2,850		2,873
E.I. du Pont de Nemours & Co.:
3.625% 1/15/21	5,000		5,282
4.15% 2/15/43	4,000		3,958
4.625% 1/15/20	3,000		3,334
Ecolab, Inc.:
1% 8/9/15	4,750		4,754
1.45% 12/8/17	6,650		6,628
2.25% 1/12/20	3,775		3,772
5.5% 12/8/41	3,000		3,447
Lubrizol Corp. 8.875% 2/1/19	919		1,136
LYB International Finance BV:
4% 7/15/23	5,625		5,904
4.875% 3/15/44	5,850		5,873
LyondellBasell Industries NV 5% 4/15/19	3,000		3,288
Monsanto Co.:
2.125% 7/15/19	7,458		7,464
2.75% 7/15/21	6,357		6,335
2.85% 4/15/25	3,825		3,647
Potash Corp. of Saskatchewan, Inc.:
3.25% 12/1/17	3,800		3,972
3.75% 9/30/15	2,000		2,020
4.875% 3/30/20	1,500		1,668
5.625% 12/1/40	1,800		2,147
Praxair, Inc.:
2.2% 8/15/22	2,000		1,947
2.45% 2/15/22	4,650		4,598
3.25% 9/15/15	3,200		3,227
3.55% 11/7/42	2,000		1,805
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
MATERIALS - continued
Chemicals - continued
The Dow Chemical Co.:
3% 11/15/22	$ 4,900		$ 4,884
4.125% 11/15/21	7,700		8,232
8.55% 5/15/19	2,358		2,897
9.4% 5/15/39	3,000		4,670
The Mosaic Co. 5.625% 11/15/43	3,750		4,193
			115,045
Containers & Packaging - 0.0%
Bemis Co., Inc. 6.8% 8/1/19	3,000		3,514
Metals & Mining - 0.6%
Barrick Gold Corp.:
3.85% 4/1/22	8,000		7,922
5.25% 4/1/42	4,500		4,160
BHP Billiton Financial (U.S.A.) Ltd.:
2.05% 9/30/18	8,075		8,224
2.875% 2/24/22	9,300		9,301
5% 9/30/43	3,000		3,219
6.5% 4/1/19	2,500		2,920
Freeport-McMoRan, Inc.:
2.375% 3/15/18	10,425		10,382
3.1% 3/15/20	3,800		3,803
3.55% 3/1/22	5,125		4,839
3.875% 3/15/23	2,000		1,879
5.45% 3/15/43	3,000		2,618
Newmont Mining Corp.:
5.125% 10/1/19	1,000		1,095
6.25% 10/1/39	1,600		1,614
Nucor Corp.:
4% 8/1/23	3,000		3,112
5.2% 8/1/43	4,000		4,254
Rio Tinto Finance (U.S.A.) Ltd.:
2.25% 9/20/16	1,200		1,220
3.75% 9/20/21	3,200		3,348
6.5% 7/15/18	1,398		1,595
7.125% 7/15/28	2,000		2,595
Rio Tinto Finance (U.S.A.) PLC:
2.25% 12/14/18	3,000		3,030
2.875% 8/21/22	6,000		5,929
Southern Copper Corp.:
3.875% 4/23/25	3,670		3,591
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
MATERIALS - continued
Metals & Mining - continued
Southern Copper Corp.: - continued
5.25% 11/8/42	$ 5,775		$ 5,185
Teck Resources Ltd.:
4.75% 1/15/22	3,850		3,771
5.2% 3/1/42	5,200		4,181
Vale Overseas Ltd.:
4.375% 1/11/22	11,400		11,203
5.625% 9/15/19	6,210		6,649
6.25% 1/23/17	9,395		10,012
			131,651
Paper & Forest Products - 0.1%
International Paper Co.:
3.65% 6/15/24	4,725		4,747
3.8% 1/15/26	2,880		2,890
4.75% 2/15/22	11,500		12,649
			20,286
TOTAL MATERIALS			270,496
TELECOMMUNICATION SERVICES - 1.3%
Diversified Telecommunication Services - 1.0%
AT&T, Inc.:
2.4% 8/15/16	12,800		12,985
2.45% 6/30/20	5,360		5,305
3.4% 5/15/25	9,270		8,981
4.35% 6/15/45	24,760		22,170
5.55% 8/15/41	7,300		7,696
5.8% 2/15/19	4,000		4,512
6.3% 1/15/38	838		951
BellSouth Capital Funding Corp. 7.875% 2/15/30	131		167
British Telecommunications PLC:
2% 6/22/15	7,000		7,006
9.625% 12/15/30	4,515		7,096
Deutsche Telekom International Financial BV 6.75% 8/20/18	3,595		4,157
Orange SA:
2.125% 9/16/15	1,000		1,004
5.375% 7/8/19	4,000		4,506
Telefonica Emisiones S.A.U.:
3.992% 2/16/16	3,850		3,928
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
TELECOMMUNICATION SERVICES - continued
Diversified Telecommunication Services - continued
Telefonica Emisiones S.A.U.: - continued
5.462% 2/16/21	$ 2,700		$ 3,055
5.877% 7/15/19	2,000		2,279
6.421% 6/20/16	1,151		1,215
7.045% 6/20/36	2,600		3,350
Verizon Communications, Inc.:
2% 11/1/16	9,600		9,733
4.272% 1/15/36 (d)	24,278		22,526
4.4% 11/1/34	3,775		3,618
4.5% 9/15/20	23,600		25,725
4.75% 11/1/41	1,000		974
5.012% 8/21/54	12,557		11,875
6.25% 4/1/37	3,121		3,644
6.35% 4/1/19	6,000		6,909
6.55% 9/15/43	12,516		15,134
6.9% 4/15/38	6,025		7,563
Verizon Global Funding Corp. 5.85% 9/15/35	3,190		3,505
			211,569
Wireless Telecommunication Services - 0.3%
America Movil S.A.B. de CV:
3.125% 7/16/22	5,275		5,298
6.125% 11/15/37	8,365		10,029
Rogers Communications, Inc.:
4.1% 10/1/23	4,825		5,056
5.45% 10/1/43	5,775		6,387
Vodafone Group PLC:
1.25% 9/26/17	4,000		3,956
1.5% 2/19/18	7,700		7,653
2.5% 9/26/22	3,000		2,747
2.95% 2/19/23	6,900		6,481
5.45% 6/10/19	6,000		6,709
			54,316
TOTAL TELECOMMUNICATION SERVICES			265,885
UTILITIES - 2.0%
Electric Utilities - 1.4%
Alabama Power Co.:
3.75% 3/1/45	1,000		942
4.15% 8/15/44	4,650		4,706
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
UTILITIES - continued
Electric Utilities - continued
Alabama Power Co.: - continued
5.2% 6/1/41	$ 3,850		$ 4,497
AmerenUE:
3.9% 9/15/42	3,700		3,668
6.4% 6/15/17	2,959		3,273
American Electric Power Co., Inc.:
1.65% 12/15/17	4,000		4,008
2.95% 12/15/22	4,000		3,968
Appalachian Power Co. 4.45% 6/1/45	6,000		6,006
Baltimore Gas & Electric Co. 3.35% 7/1/23	2,850		2,955
Carolina Power & Light Co. 2.8% 5/15/22	4,350		4,388
CenterPoint Energy Houston Electric LLC 3.55% 8/1/42	1,900		1,757
Cleveland Electric Illuminating Co. 8.875% 11/15/18	2,000		2,444
Commonwealth Edison Co.:
3.1% 11/1/24	10,000		10,113
3.4% 9/1/21	1,000		1,053
3.7% 3/1/45	3,100		2,929
5.8% 3/15/18	9,945		11,128
Dayton Power & Light Co. 1.875% 9/15/16	3,750		3,786
Detroit Edison Co. 2.65% 6/15/22	8,000		7,983
Duke Energy Carolinas LLC:
3.75% 6/1/45	2,000		1,903
4% 9/30/42	3,750		3,695
5.25% 1/15/18	4,355		4,808
6% 1/15/38	3,450		4,432
Duke Energy Corp.:
2.1% 6/15/18	4,650		4,736
3.75% 4/15/24	6,000		6,262
3.95% 10/15/23	2,443		2,591
Duke Energy Progress, Inc.:
4.15% 12/1/44	1,800		1,825
4.375% 3/30/44	2,000		2,102
Edison International 3.75% 9/15/17	3,000		3,163
Florida Power & Light Co.:
3.25% 6/1/24	4,725		4,849
4.05% 10/1/44	5,419		5,420
Hydro-Quebec:
1.375% 6/19/17	1,000		1,009
2% 6/30/16	7,310		7,420
Indiana Michigan Power Co. 3.2% 3/15/23	2,775		2,811
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
UTILITIES - continued
Electric Utilities - continued
Mississippi Power Co. 4.25% 3/15/42	$ 1,840		$ 1,753
Nevada Power Co. 6.5% 8/1/18	1,555		1,790
Northern States Power Co.:
3.4% 8/15/42	2,000		1,827
4.125% 5/15/44	4,500		4,656
5.25% 3/1/18	10,500		11,525
Pacific Gas & Electric Co.:
2.45% 8/15/22	4,000		3,897
3.75% 8/15/42	5,900		5,618
5.4% 1/15/40	4,000		4,638
PacifiCorp:
3.6% 4/1/24	4,000		4,234
6% 1/15/39	6,193		7,912
Pennsylvania Electric Co. 6.05% 9/1/17	757		829
Potomac Electric Power Co. 6.5% 11/15/37	3,806		5,043
PPL Capital Funding, Inc.:
3.4% 6/1/23	2,675		2,703
4.2% 6/15/22	2,000		2,131
4.7% 6/1/43	1,800		1,895
Progress Energy, Inc.:
4.875% 12/1/19	1,700		1,890
6% 12/1/39	5,200		6,587
Public Service Co. of Colorado 2.9% 5/15/25	11,000		10,983
Public Service Electric & Gas Co.:
3.65% 9/1/42	2,825		2,640
4% 6/1/44	5,000		5,050
Puget Sound Energy, Inc. 4.3% 5/20/45	6,410		6,481
Tampa Electric Co.:
6.15% 5/15/37	6,260		8,054
6.55% 5/15/36	5,500		7,290
TECO Finance, Inc. 4% 3/15/16	2,875		2,949
Virginia Electric & Power Co.:
3.1% 5/15/25	4,000		4,044
3.45% 2/15/24	2,750		2,868
4.2% 5/15/45	2,400		2,400
4.45% 2/15/44	2,750		2,882
5% 6/30/19	5,000		5,609
6% 5/15/37	2,000		2,513
Wisconsin Electric Power Co.:
4.25% 6/1/44	4,700		4,881
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
UTILITIES - continued
Electric Utilities - continued
Wisconsin Electric Power Co.: - continued
6.25% 12/1/15	$ 2,983		$ 3,067
Wisconsin Power & Light Co. 5% 7/15/19	1,000		1,121
			278,390
Gas Utilities - 0.0%
Southern California Gas Co. 3.75% 9/15/42	2,000		1,936
Southern Natural Gas Co. 5.9% 4/1/17 (d)	438		469
			2,405
Multi-Utilities - 0.6%
Ameren Illinois Co. 6.125% 11/15/17	3,364		3,750
CenterPoint Energy, Inc. 5.95% 2/1/17	1,181		1,273
CMS Energy Corp. 4.875% 3/1/44	5,000		5,421
Consolidated Edison Co. of New York, Inc.:
4.45% 6/15/20	2,000		2,220
4.45% 3/15/44	8,000		8,277
5.5% 12/1/39	2,500		2,956
Consumers Energy Co. 2.85% 5/15/22	6,650		6,715
Delmarva Power & Light 4% 6/1/42	4,000		3,999
Dominion Resources, Inc.:
2.25% 9/1/15	1,000		1,004
2.5% 12/1/19	6,700		6,773
2.5731% 9/30/66 (g)	1,000		920
4.9% 8/1/41	2,000		2,110
7.5% 6/30/66 (g)	1,000		1,010
MidAmerican Energy Holdings, Co.:
4.5% 2/1/45	3,000		3,049
5.15% 11/15/43	1,650		1,844
5.75% 4/1/18	3,750		4,173
6.5% 9/15/37	7,605		9,508
NiSource Finance Corp.:
4.8% 2/15/44	5,500		5,818
5.45% 9/15/20	5,111		5,850
6.25% 12/15/40	2,453		3,028
6.4% 3/15/18	1,532		1,732
PG&E Corp. 2.4% 3/1/19	2,406		2,431
Puget Energy, Inc. 3.65% 5/15/25 (d)	8,070		8,118
San Diego Gas & Electric Co. 4.5% 8/15/40	1,000		1,084
Sempra Energy:
2.4% 3/15/20	12,406		12,471
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
UTILITIES - continued
Multi-Utilities - continued
Sempra Energy: - continued
2.875% 10/1/22	$ 3,000		$ 2,976
4.05% 12/1/23	5,000		5,296
6% 10/15/39	1,000		1,234
6.5% 6/1/16	3,000		3,169
Wisconsin Energy Corp. 6.25% 5/15/67 (g)	4,228		4,075
			122,284
TOTAL UTILITIES			403,079
TOTAL NONCONVERTIBLE BONDS (Cost $4,954,877)		5,174,129
U.S. Government and Government Agency Obligations - 40.8%

U.S. Government Agency Obligations - 2.9%
Fannie Mae:
0.5% 3/30/16	28,500		28,538
0.875% 10/26/17	32,907		32,922
1.5% 6/22/20	2,690		2,675
1.625% 1/21/20	10,000		10,032
1.75% 11/26/19	9,606		9,710
1.875% 9/18/18	15,050		15,419
2.625% 9/6/24	4,000		4,082
5% 3/15/16	28,200		29,234
Federal Home Loan Bank:
0.625% 12/28/16	28,350		28,390
0.875% 5/24/17	15,825		15,895
1% 6/21/17	35,300		35,536
1.125% 4/25/18	54,675		54,929
5% 11/17/17	33,300		36,660
5.5% 7/15/36	1,500		2,008
Freddie Mac:
0.5% 5/13/16	30,000		30,036
0.875% 10/14/16	24,375		24,498
1% 6/29/17	2,660		2,677
1% 9/29/17	32,075		32,194
1.375% 5/1/20	14,000		13,906
1.75% 9/10/15	20,385		20,480
2.375% 1/13/22	13,000		13,329
U.S. Government and Government Agency Obligations - continued
	Principal Amount (000s)		Value (000s)
U.S. Government Agency Obligations - continued
Freddie Mac: - continued
3.75% 3/27/19	$ 2,300		$ 2,507
4.875% 6/13/18	66,960		74,714
6.25% 7/15/32	7,700		11,033
6.75% 3/15/31	26,000		38,319
Tennessee Valley Authority:
5.25% 9/15/39	20,000		25,069
5.375% 4/1/56	5,395		6,819
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS			601,611
U.S. Treasury Obligations - 37.9%
U.S. Treasury Bonds:
2.5% 2/15/45	45,530		41,930
3% 11/15/44	47,165		48,171
3.125% 8/15/44	48,370		50,603
3.375% 5/15/44	72,390		79,267
3.5% 2/15/39	8,315		9,277
3.625% 8/15/43	26,640		30,490
3.625% 2/15/44	67,570		77,357
3.75% 11/15/43	44,780		52,414
3.875% 8/15/40	30,080		35,671
4.25% 5/15/39	26,000		32,455
4.25% 11/15/40	811		1,018
4.375% 2/15/38	8,200		10,419
4.375% 11/15/39	100		127
4.375% 5/15/40	8,000		10,213
4.375% 5/15/41	57,765		74,124
4.5% 2/15/36	34,680		44,889
4.5% 5/15/38	15,000		19,372
4.5% 8/15/39	39,000		50,496
4.625% 2/15/40	21,500		28,385
4.75% 2/15/37	9,420		12,586
4.75% 2/15/41	54,830		74,093
5% 5/15/37	11,000		15,191
5.375% 2/15/31	53,470		73,500
6.25% 5/15/30	86,360		127,347
8.75% 5/15/17	8,000		9,266
8.875% 8/15/17	5,000		5,896
8.875% 2/15/19	6,960		8,920
9% 11/15/18	4,000		5,078
9.125% 5/15/18	3,000		3,721
U.S. Government and Government Agency Obligations - continued
	Principal Amount (000s)		Value (000s)
U.S. Treasury Obligations - continued
U.S. Treasury Notes:
0.25% 8/15/15	$ 31,845		$ 31,857
0.25% 12/15/15	3		3
0.375% 10/31/16	9,870		9,860
0.5% 8/31/16	39,100		39,152
0.5% 2/28/17	56,690		56,663
0.5% 3/31/17	31,130		31,094
0.5% 4/30/17 (c)	64,360		64,259
0.625% 8/15/16	37,000		37,107
0.625% 11/15/16	18,700		18,745
0.625% 12/15/16	122,260		122,518
0.625% 2/15/17	176,910		177,159
0.625% 5/31/17	115,140		115,176
0.75% 1/15/17	7,700		7,732
0.75% 3/15/17	66,400		66,644
0.75% 4/15/18	126,660		126,066
0.875% 9/15/16	15,010		15,099
0.875% 11/30/16	71,530		71,960
0.875% 12/31/16	12,063		12,138
0.875% 1/31/17	26,650		26,804
0.875% 2/28/17	109,294		109,943
0.875% 4/15/17	146,720		147,534
0.875% 5/15/17	49,260		49,529
0.875% 6/15/17	112,340		112,928
0.875% 7/15/17	100,740		101,228
0.875% 8/15/17	82,420		82,761
0.875% 10/15/17	206,880		207,462
0.875% 11/15/17	33,950		34,030
0.875% 1/15/18	8,670		8,678
1% 8/31/16	100,010		100,776
1% 9/30/16	46,030		46,386
1% 10/31/16	86,750		87,414
1% 3/31/17	45,115		45,478
1% 9/15/17	64,200		64,601
1% 12/15/17	112,860		113,407
1% 2/15/18	96,230		96,568
1% 3/15/18	56,600		56,759
1.125% 4/30/20	177,430		174,464
1.25% 8/31/15	74,230		74,450
1.25% 10/31/18	45,190		45,405
1.25% 11/30/18	47,480		47,688
U.S. Government and Government Agency Obligations - continued
	Principal Amount (000s)		Value (000s)
U.S. Treasury Obligations - continued
U.S. Treasury Notes: - continued
1.25% 1/31/19	$ 14,670		$ 14,709
1.25% 1/31/20	17,545		17,397
1.375% 6/30/18	31,800		32,173
1.375% 7/31/18	1,175		1,188
1.375% 9/30/18	126,860		128,099
1.375% 2/28/19	98,500		99,108
1.375% 1/31/20	20,920		20,871
1.375% 2/29/20	59,520		59,325
1.375% 3/31/20	16,530		16,465
1.375% 4/30/20 (c)	55,840		55,561
1.5% 6/30/16	84,550		85,613
1.5% 7/31/16	31,340		31,754
1.5% 8/31/18	252,040		255,643
1.5% 12/31/18	4,060		4,109
1.5% 1/31/19	37,180		37,610
1.5% 2/28/19	32,250		32,600
1.5% 3/31/19	12,800		12,932
1.5% 10/31/19	36,700		36,884
1.5% 11/30/19	51,090		51,325
1.5% 5/31/20	77,210		77,276
1.5% 1/31/22	4,370		4,272
1.625% 4/30/19	4,980		5,052
1.625% 7/31/19	43,010		43,538
1.625% 8/31/19	100,350		101,542
1.625% 12/31/19	8,990		9,073
1.75% 5/31/16	6,670		6,765
1.75% 10/31/18	10		10
1.75% 9/30/19	11,230		11,413
1.75% 10/31/20	9,960		10,032
1.75% 3/31/22	117,000		116,177
1.75% 4/30/22	15,910		15,789
1.875% 9/30/17	11,325		11,621
1.875% 10/31/17	40,860		41,942
1.875% 6/30/20	24,290		24,707
1.875% 11/30/21	81,260		81,552
1.875% 5/31/22	78,890		78,927
2% 11/30/20	31,910		32,536
2% 2/28/21	26,380		26,850
2% 5/31/21	40,290		40,910
2% 8/31/21	108,300		109,721
U.S. Government and Government Agency Obligations - continued
	Principal Amount (000s)		Value (000s)
U.S. Treasury Obligations - continued
U.S. Treasury Notes: - continued
2% 10/31/21	$ 29,700		$ 30,055
2% 2/15/25 (c)	60,060		59,464
2.125% 2/29/16	134,950		136,890
2.125% 8/31/20	49,753		51,141
2.125% 1/31/21	3,060		3,136
2.125% 6/30/21	7,260		7,418
2.125% 8/15/21	90,750		92,650
2.125% 9/30/21	43,640		44,516
2.125% 12/31/21	19,320		19,681
2.125% 5/15/25	57,080		57,116
2.25% 3/31/16	54,000		54,894
2.25% 11/30/17	11,000		11,400
2.25% 4/30/21	42,310		43,589
2.25% 7/31/21	31,690		32,613
2.25% 11/15/24	85,930		86,930
2.375% 8/15/24	78,790		80,643
2.5% 8/15/23	97,170		100,973
2.5% 5/15/24	95,500		98,850
2.625% 2/29/16	13,600		13,845
2.625% 4/30/18	10,200		10,700
2.625% 8/15/20	141,000		148,480
2.625% 11/15/20	94,180		99,110
2.75% 11/30/16	25,000		25,852
2.75% 12/31/17	3,000		3,147
2.75% 11/15/23	102,790		108,708
2.75% 2/15/24	135,610		143,270
3% 8/31/16	12,402		12,800
3% 9/30/16	22,000		22,753
3.125% 10/31/16	23,900		24,798
3.125% 5/15/21	50,876		54,930
3.25% 5/31/16	14,200		14,615
3.25% 12/31/16	25,000		26,082
3.375% 11/15/19	27,740		30,117
3.5% 2/15/18	4,000		4,283
3.5% 5/15/20	81,800		89,641
3.625% 2/15/20	59,600		65,574
3.625% 2/15/21	39,800		44,054
3.875% 5/15/18	8,000		8,687
4% 8/15/18	22,000		24,095
4.25% 11/15/17	16,000		17,349
U.S. Government and Government Agency Obligations - continued
	Principal Amount (000s)		Value (000s)
U.S. Treasury Obligations - continued
U.S. Treasury Notes: - continued
4.5% 5/15/17	$ 13,000		$ 13,981
4.625% 11/15/16	15,000		15,905
4.625% 2/15/17	14,000		14,973
5.125% 5/15/16	13,100		13,700
TOTAL U.S. TREASURY OBLIGATIONS			7,776,280
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $8,113,996)		8,377,891
U.S. Government Agency - Mortgage Securities - 29.0%

Fannie Mae - 17.4%
2.039% 11/1/34 (g)	12,512		13,193
2.41% 11/1/34 (g)	991		1,056
2.5% 3/1/27 to 8/1/43	271,338		277,369
2.5% 6/1/30 (f)	10,000		10,217
3% 11/1/20 to 3/1/45	705,933		723,761
3% 6/1/30 (f)	10,000		10,444
3% 6/1/45 (f)	25,000		25,320
3% 6/1/45 (f)	12,000		12,154
3% 6/1/45 (f)	33,000		33,423
3.125% 4/1/41 (g)	7,457		7,980
3.5% 10/1/18 to 2/1/45	665,984		698,950
3.5% 6/1/30 (f)	1,000		1,061
3.5% 6/1/30 (f)	1,000		1,061
3.5% 6/1/45 (f)	88,000		91,905
3.5% 6/1/45 (f)	27,000		28,198
3.5% 7/1/45 (f)	27,000		28,119
3.5% 7/1/45 (f)	88,000		91,647
3.5% 7/1/45 (f)	30,000		31,243
4% 10/1/15 to 3/1/45	675,355		723,405
4% 6/1/45 (f)	8,000		8,541
4% 6/1/45 (f)	10,000		10,677
4% 6/1/45 (f)	8,000		8,541
4.5% 1/1/19 to 12/1/44	268,052		291,604
4.5% 6/1/45 (f)	8,000		8,698
4.5% 6/1/45 (f)	1,000		1,087
5% 12/1/20 to 11/1/44	162,966		180,997
U.S. Government Agency - Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Fannie Mae - continued
5% 6/1/45 (f)	$ 2,000		$ 2,225
5.5% 8/1/17 to 9/1/41	111,370		126,213
5.5% 6/1/45 (f)	1,000		1,132
6% 2/1/23 to 7/1/41	77,675		88,745
6.5% 3/1/22 to 6/1/40	28,136		32,579
TOTAL FANNIE MAE			3,571,545
Freddie Mac - 3.9%
1.952% 3/1/36 (g)	6,141		6,430
2.354% 12/1/35 (g)	5,450		5,825
2.46% 9/1/37 (g)	1,636		1,753
2.472% 3/1/35 (g)	2,227		2,381
2.5% 5/1/23 to 10/1/29	47,247		48,376
3% 3/1/27 to 1/1/45	159,387		163,507
3.5% 9/1/18 to 9/1/43	151,553		158,893
3.5% 6/1/45 (f)	2,400		2,502
4% 3/1/26 to 10/1/44	114,641		122,827
4.5% 6/1/25 to 12/1/44	141,765		154,329
5% 4/1/23 to 9/1/40	74,198		82,510
5.5% 5/1/23 to 6/1/41	43,041		48,628
6% 4/1/32 to 8/1/37	2,002		2,301
6.5% 8/1/36 to 12/1/37	776		895
TOTAL FREDDIE MAC			801,157
Ginnie Mae - 7.7%
2.5% 10/20/42 to 3/20/44	8,320		8,212
3% 4/15/42 to 3/20/45	244,188		250,668
3% 6/1/45 (f)	14,000		14,334
3% 6/1/45 (f)	10,100		10,341
3% 6/1/45 (f)	14,000		14,334
3.5% 10/15/40 to 2/20/45	253,475		266,279
3.5% 6/1/45 (f)	76,200		79,988
3.5% 6/1/45	89,900		94,369
3.5% 6/1/45 (f)	18,000		18,895
3.5% 7/1/45 (f)	76,200		79,768
4% 1/15/25 to 9/15/44	204,574		219,543
4% 6/1/45 (f)	102,800		109,458
4% 6/1/45 (f)	2,000		2,130
4% 6/1/45 (f)	1,000		1,065
4.5% 9/15/33 to 9/20/42	202,107		220,958
U.S. Government Agency - Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Ginnie Mae - continued
4.5% 6/1/45 (f)	$ 4,000		$ 4,331
4.5% 6/1/45 (f)	1,000		1,083
5% 4/20/38 to 11/20/44	108,765		122,488
5.5% 10/20/32 to 8/20/44	41,184		47,133
6% 5/20/34 to 12/15/40	18,808		21,537
6.5% 8/20/36 to 1/15/39	3,705		4,291
TOTAL GINNIE MAE			1,591,205
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $5,849,344)		5,963,907
Asset-Backed Securities - 0.7%

BMW Vehicle Lease Trust Series 2015-1 Class A3, 1.24% 12/20/17	9,500		9,523
Capital One Multi-Asset Execution Trust Series 2015-A1 Class A, 1.39% 1/15/21	9,500		9,503
Chase Issuance Trust:
Series 2012-A4 Class A4, 1.58% 8/16/21	6,875		6,817
Series 2012-A7 Class A7, 2.16% 9/16/24	3,925		3,878
Series 2015-A4 Class A, 1.85% 4/15/22	4,750		4,727
Citibank Credit Card Issuance Trust:
Series 2013-A3 Class A3, 1.11% 7/23/18	2,800		2,811
Series 2013-A9 Class A9, 4% 9/8/25	4,675		5,077
Discover Card Master Trust Series 2015-A2 Class A, 1.9% 10/17/22	10,800		10,753
Ford Credit Auto Owner Trust:
Series 2013-C Class A3, 0.82% 12/15/17	3,463		3,470
Series 2014-C Class A3, 1.06% 5/15/19	9,475		9,499
Ford Credit Floorplan Master Owner Trust:
Series 2013-5 Class A1, 1.5% 9/15/18	4,675		4,714
Series 2015-2 Class A1, 1.98% 1/15/22	9,500		9,492
Honda Auto Receivables Owner Trust:
Series 2014-4 Class A3, 0.99% 9/17/18	9,475		9,490
Series 2015-1 Class A3, 1.05% 10/15/18	10,000		10,014
Hyundai Auto Receivables Trust:
Series 2013-C Class A3, 1.01% 2/15/18	4,292		4,303
Series 2015-A Class A3, 1.05% 4/15/19	9,500		9,499
Mercedes-Benz Auto Lease Trust Series 2015-A Class A3, 1.1% 8/15/17	9,500		9,534
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Mercedes-Benz Auto Receivables Trust Series 2013-1 Class A3, 0.78% 8/15/17	$ 1,430		$ 1,431
Nissan Auto Receivables Owner Trust:
Series 2013-B Class A3, 0.84% 11/15/17	3,219		3,224
Series 2014-B Class A3, 1.11% 5/15/19	9,475		9,489
Volkswagen Auto Lease Trust Series 2015-A Class A3, 1.25% 12/20/17	9,500		9,519
TOTAL ASSET-BACKED SECURITIES (Cost $145,691)		146,767
Commercial Mortgage Securities - 2.6%

Banc of America Commercial Mortgage Trust:
sequential payer:
Series 2006-2 Class AAB, 5.8986% 5/10/45 (g)	37		37
Series 2006-3 Class A4, 5.889% 7/10/44	6,259		6,470
Series 2006-5 Class A2, 5.317% 9/10/47	320		320
Series 2006-6 Class A3, 5.369% 10/10/45	2,536		2,565
Series 2006-6 Class E, 5.619% 10/10/45 (d)	733		110
Series 2007-3:
Class A3, 5.7354% 6/10/49 (g)	1,507		1,506
Class A4, 5.7354% 6/10/49 (g)	2,643		2,802
Banc of America Commercial Mortgage, Inc. sequential payer Series 2001-1 Class A4, 5.451% 1/15/49	2,524		2,670
Bayview Commercial Asset Trust Series 2007-5A, Class IO, 4.186% 10/25/37 (d)(g)(h)	3,391		42
Bear Stearns Commercial Mortgage Securities Trust:
sequential payer Series 2007-PW16 Class A4, 5.8965% 6/11/40 (g)	16,612		17,824
Series 2006-T22 Class A4, 5.7581% 4/12/38 (g)	139		141
Citigroup Commercial Mortgage Trust:
sequential payer Series 2006-C5 Class A4, 5.431% 10/15/49	9,390		9,820
Series 2007-C6 Class A4, 5.8998% 12/10/49 (g)	9,950		10,685
Citigroup/Deutsche Bank Commercial Mortgage Trust sequential payer Series 2007-CD4:
Class A3, 5.293% 12/11/49	115		116
Class A4, 5.322% 12/11/49	4,412		4,616
Cobalt CMBS Commercial Mortgage Trust Series 2007-C2 Class B, 5.617% 4/15/47 (g)	1,416		1,384
COMM Mortgage Trust Series 2015-CR22 Class A5, 3.309% 3/10/48	19,425		19,932
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
COMM Mortgage Trust pass-thru certificates sequential payer Series 2007-C9 Class A4, 5.989% 12/10/49 (g)	$ 2,805		$ 3,032
Credit Suisse Commercial Mortgage Trust:
sequential payer:
Series 2006-C4 Class A3, 5.467% 9/15/39	5,349		5,562
Series 2007-C2 Class A3, 5.542% 1/15/49 (g)	2,536		2,685
Series 2007-C3 Class A4, 5.8901% 6/15/39 (g)	6,030		6,425
Series 2007-C5 Class A4, 5.695% 9/15/40 (g)	1,148		1,226
Freddie Mac:
sequential payer:
Series K007 Class A2, 4.224% 3/25/20	19,000		20,993
Series K034 Class A2, 3.531% 7/25/23	9,000		9,711
Series K013 Class A2, 3.974% 1/25/21	11,575		12,764
Series K020 Class A2, 2.373% 5/25/22	10,400		10,470
Series K036 Class A2, 3.527% 10/25/23	8,975		9,672
Series K501 Class A2, 1.655% 11/25/16	16,800		16,959
GE Capital Commercial Mortgage Corp. sequential payer Series 2007-C1 Class A4, 5.543% 12/10/49	19,501		20,398
Greenwich Capital Commercial Funding Corp.:
sequential payer Series 2007-GG9 Class A4, 5.444% 3/10/39	3,371		3,557
Series 2006-GG7 Class A4, 6.0136% 7/10/38 (g)	38,776		39,949
JPMBB Commercial Mortgage Securities Trust:
sequential payer Series 2014-C21 Class A5, 3.7748% 8/15/47	7,000		7,488
Series 2014-C23 Class A5, 3.9342% 9/15/47	9,550		10,329
Series 2014-C24 Class A5, 3.6385% 11/15/47	5,275		5,584
JPMorgan Chase Commercial Mortgage Securities Corp. sequential payer Series 2012-LC9 Class A5, 2.84% 12/15/47	13,796		14,048
JPMorgan Chase Commercial Mortgage Securities Trust:
sequential payer:
Series 2006-CB17 Class A4, 5.429% 12/12/43	26,028		27,210
Series 2006-LDP8 Class A4, 5.399% 5/15/45	731		757
Series 2006-LDP9 Class A3, 5.336% 5/15/47	518		539
Series 2007-CB19 Class A4, 5.8851% 2/12/49 (g)	28,547		30,484
Series 2007-LD11 Class A4, 5.9618% 6/15/49 (g)	8,435		8,961
Series 2007-LDPX Class A3, 5.42% 1/15/49	10,922		11,524
Series 2006-LDP7 Class A4, 6.057% 4/15/45 (g)	3,366		3,459
LB Commercial Conduit Mortgage Trust sequential payer Series 2007-C3 Class A4, 6.1102% 7/15/44 (g)	3,313		3,556
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
LB-UBS Commercial Mortgage Trust:
sequential payer:
Series 2006-C6 Class A4, 5.372% 9/15/39	$ 571		$ 596
Series 2006-C7 Class A3, 5.347% 11/15/38	945		991
Series 2007-C1 Class A4, 5.424% 2/15/40	1,113		1,174
Series 2007-C2 Class A3, 5.43% 2/15/40	498		528
Series 2007-C6 Class A4, 5.858% 7/15/40 (g)	1,457		1,524
Series 2007-C7 Class A3, 5.866% 9/15/45	5,364		5,856
Merrill Lynch Mortgage Trust:
Series 2005-LC1 Class F, 5.6028% 1/12/44 (d)(g)	1,103		1,089
Series 2007-C1 Class A4, 6.0289% 6/12/50 (g)	4,800		5,103
Series 2008-C1 Class A4, 5.69% 2/12/51	1,972		2,136
Merrill Lynch-CFC Commercial Mortgage Trust:
sequential payer:
Series 2006-4 Class ASB, 5.133% 12/12/49 (g)	206		208
Series 2007-5 Class A4, 5.378% 8/12/48	6,447		6,738
Series 2007-6 Class A4, 5.485% 3/12/51 (g)	2,000		2,120
Series 2007-7 Class A4, 5.81% 6/12/50 (g)	4,358		4,663
Series 2007-6 Class B, 5.635% 3/12/51 (g)	1,268		395
Series 2007-8 Class A3, 6.0766% 8/12/49 (g)	1,094		1,182
Morgan Stanley BAML Trust Series 2015-C20 Class A4, 3.249% 2/15/48	14,725		15,075
Morgan Stanley Capital I Trust:
sequential payer:
Series 2007-HQ11 Class A31, 5.439% 2/12/44	110		110
Series 2007-IQ13 Class A4, 5.364% 3/15/44	5,000		5,301
Series 2006-IQ11 Class A4, 5.8301% 10/15/42 (g)	288		291
Series 2007-IQ14 Class A4, 5.6859% 4/15/49	1,902		2,022
Salomon Brothers Mortgage Securities VII, Inc. Series 2006-C2 Class H, 6.308% 7/18/33 (d)	168		55
Wachovia Bank Commercial Mortgage Trust:
sequential payer:
Series 2007-C30 Class A5, 5.342% 12/15/43	31,242		32,940
Series 2007-C31:
Class A4, 5.509% 4/15/47	15,483		16,244
Class A5, 5.5% 4/15/47	7,950		8,480
Series 2007-C32 Class A3, 5.9027% 6/15/49 (g)	8,092		8,610
Series 2007-C33:
Class A4, 6.1503% 2/15/51 (g)	25,003		26,376
Class A5, 6.1503% 2/15/51 (g)	839		911
Series 2005-C22 Class B, 5.5288% 12/15/44 (g)	2,812		2,798
Series 2006-C23 Class A5, 5.416% 1/15/45 (g)	7,395		7,533
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Wachovia Bank Commercial Mortgage Trust: - continued
Series 2006-C25 Class AM, 5.8965% 5/15/43 (g)	$ 664		$ 689
WF-RBS Commercial Mortgage Trust Series 2014-C25 Class A5, 3.631% 11/15/47	14,450		15,262
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $502,440)		545,382
Municipal Securities - 0.7%

American Muni. Pwr., Inc. Rev. (Combined Hydroelectric Proj.) Series 2010 B, 8.084% 2/15/50	9,720		15,055
Bay Area Toll Auth. San Francisco Bay Toll Bridge Rev. Series 2010 S1, 7.043% 4/1/50	2,375		3,388
California Gen. Oblig. 7.55% 4/1/39	15,000		22,646
Chicago Gen. Oblig. 6.314% 1/1/44	1,900		1,714
Illinois Gen. Oblig.:
Series 2003, 5.1% 6/1/33	8,900		8,387
Series 2011:
4.961% 3/1/16	2,830		2,916
5.877% 3/1/19	2,080		2,258
Los Angeles Cmnty. College District Series 2008 E, 6.75% 8/1/49	9,450		13,721
Los Angeles Dept. Arpt. Rev. Series 2009 C, 6.582% 5/15/39	4,985		6,543
New Jersey Tpk. Auth. Tpk. Rev. Series A, 7.414% 1/1/40	4,700		6,842
New York City Muni. Wtr. Fin. Auth. Wtr. & Swr. Sys. Rev. Series 2010 DD, 5.952% 6/15/42	9,025		11,801
New York City Transitional Fin. Auth. Rev. Series 2011 A, 5.508% 8/1/37	10,725		13,244
New York Metropolitan Trans. Auth. Rev. Series 2010 A, 6.668% 11/15/39	6,160		8,378
Port Auth. of New York & New Jersey:
Series 180, 4.96% 8/1/46	5,175		6,033
Series 2010 164, 5.647% 11/1/40	5,210		6,392
San Francisco Pub. Utils. Commission Wtr. Rev. Series 2010 E, 6% 11/1/40	6,320		7,875
Univ. of California Revs.:
Series 2009 R, 5.77% 5/15/43	1,000		1,250
Series 2015 AP, 3.931% 5/15/45	3,740		3,688
TOTAL MUNICIPAL SECURITIES (Cost $124,697)		142,131
Foreign Government and Government Agency Obligations - 2.5%
	Principal Amount (000s)		Value (000s)
Brazilian Federative Republic:
4.25% 1/7/25	$ 3,775		$ 3,715
4.875% 1/22/21	15,540		16,511
5.625% 1/7/41	11,975		12,155
5.875% 1/15/19	1,300		1,450
6% 1/17/17	3,000		3,215
Canadian Government 1.125% 3/19/18	6,640		6,667
Chilean Republic 3.25% 9/14/21	9,000		9,536
Colombian Republic:
2.625% 3/15/23	7,575		7,045
4% 2/26/24	4,825		4,909
5% 6/15/45	2,000		1,973
5.625% 2/26/44	7,775		8,378
6.125% 1/18/41	4,750		5,427
7.375% 3/18/19	3,450		4,045
Export Development Canada:
1.25% 10/26/16	4,000		4,037
1.5% 10/3/18	1,700		1,718
Israeli State 4% 6/30/22	7,000		7,665
Italian Republic:
5.375% 6/12/17	2,375		2,564
6.875% 9/27/23	6,000		7,644
Jordanian Kingdom 1.945% 6/23/19	23,650		24,169
KfW:
0.5% 4/19/16	8,000		8,008
0.75% 3/17/17	8,000		8,008
1.5% 4/20/20	2,825		2,811
1.875% 4/1/19	16,930		17,277
2.125% 1/17/23	12,000		12,048
2.75% 10/1/20	4,175		4,403
4% 1/27/20	3,000		3,325
4.875% 6/17/19	25,000		28,398
Korean Republic 7.125% 4/16/19	6,650		7,954
Manitoba Province:
1.3% 4/3/17	3,420		3,451
2.1% 9/6/22	1,900		1,886
3.05% 5/14/24	1,500		1,571
New Brunswick Province 2.75% 6/15/18	4,350		4,551
Ontario Province:
1% 7/22/16	17,000		17,077
4% 10/7/19	15,000		16,464
Panamanian Republic:
3.75% 3/16/25	3,800		3,814
Foreign Government and Government Agency Obligations - continued
	Principal Amount (000s)		Value (000s)
Panamanian Republic: - continued
4% 9/22/24	$ 4,800		$ 4,920
4.3% 4/29/53	5,675		5,200
5.2% 1/30/20	1,800		1,994
Peruvian Republic:
5.625% 11/18/50	7,150		8,401
6.55% 3/14/37	3,075		3,990
7.125% 3/30/19	1,900		2,239
Philippine Republic:
3.95% 1/20/40	5,100		5,330
4.2% 1/21/24	4,765		5,301
6.375% 10/23/34	10,375		14,369
6.5% 1/20/20	6,144		7,319
Polish Government:
3.875% 7/16/15	4,350		4,366
4% 1/22/24	4,550		4,863
5% 10/19/15	3,050		3,101
5% 3/23/22	14,500		16,367
Province of British Columbia 1.2% 4/25/17	7,600		7,662
Province of Quebec:
2.75% 8/25/21	20,000		20,703
2.875% 10/16/24	2,075		2,139
South African Republic:
5.875% 5/30/22	7,675		8,639
6.875% 5/27/19	6,750		7,742
Turkish Republic:
5.75% 3/22/24	3,000		3,307
6% 1/14/41	13,200		14,553
6.25% 9/26/22	13,225		14,924
6.75% 4/3/18	8,375		9,271
7.5% 11/7/19	2,625		3,058
United Mexican States:
3.5% 1/21/21	7,400		7,629
3.625% 3/15/22	3,000		3,069
4% 10/2/23	18,750		19,547
4.6% 1/23/46	3,000		2,951
4.75% 3/8/44	9,700		9,775
5.55% 1/21/45	1,316		1,479
6.05% 1/11/40	4,800		5,712
Uruguay Republic:
4.125% 11/20/45	4,750		4,299
Foreign Government and Government Agency Obligations - continued
	Principal Amount (000s)		Value (000s)
Uruguay Republic: - continued
4.5% 8/14/24	$ 3,625		$ 3,879
5.1% 6/18/50	3,875		3,904
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $500,412)		515,871
Supranational Obligations - 1.4%

African Development Bank:
0.875% 5/15/17	1,000		1,002
0.875% 3/15/18	1,900		1,891
1.125% 3/15/17	1,300		1,310
1.625% 10/2/18	2,800		2,839
2.375% 9/23/21	2,900		2,985
Asian Development Bank:
1.125% 3/15/17	5,000		5,037
1.125% 6/5/18	7,290		7,272
1.5% 1/22/20	4,750		4,748
1.875% 4/12/19	12,000		12,245
1.875% 2/18/22	2,000		1,994
2.125% 11/24/21	4,825		4,885
Council of Europe Development Bank:
1% 3/7/18	1,900		1,898
2.625% 2/16/16	4,250		4,314
European Bank for Reconstruction and Development:
1% 6/15/18	4,750		4,722
1.625% 9/3/15	4,750		4,769
1.75% 6/14/19	4,700		4,752
1.75% 11/26/19	2,875		2,900
2.5% 3/15/16	3,800		3,863
European Investment Bank:
0.875% 4/18/17	11,000		11,032
1.125% 8/15/18	6,590		6,587
1.25% 5/15/18	3,550		3,571
1.375% 6/15/20	2,725		2,692
1.625% 6/15/17	4,640		4,717
1.625% 12/18/18	30,900		31,283
1.75% 3/15/17	5,000		5,093
1.75% 6/17/19	8,625		8,743
1.875% 3/15/19	3,000		3,060
Supranational Obligations - continued
	Principal Amount (000s)		Value (000s)
European Investment Bank: - continued
1.875% 2/10/25	$ 3,000		$ 2,903
2.125% 10/15/21	2,840		2,880
2.5% 4/15/21	4,650		4,830
2.5% 10/15/24	5,725		5,858
2.875% 9/15/20	9,000		9,550
3.25% 1/29/24	2,000		2,171
Inter-American Development Bank:
0.5% 8/17/15	1,900		1,902
1.125% 3/15/17	17,100		17,225
1.75% 10/15/19	1,375		1,393
2.125% 1/15/25	1,830		1,809
3% 10/4/23	3,575		3,838
3.875% 9/17/19	5,000		5,497
4.375% 1/24/44	4,000		4,820
International Bank for Reconstruction & Development:
0.875% 4/17/17	8,050		8,090
1% 9/15/16	9,000		9,052
1% 6/15/18	5,600		5,598
1.625% 2/10/22	3,900		3,826
1.875% 10/7/19	3,825		3,895
2.25% 6/24/21	16,075		16,525
2.5% 11/25/24	5,700		5,811
International Finance Corp. 1.75% 9/16/19	11,350		11,440
Rabobank Nederland New York Branch 3.375% 5/21/25	3,750		3,778
TOTAL SUPRANATIONAL OBLIGATIONS (Cost $277,805)		282,895

Preferred Securities - 0.0%

FINANCIALS - 0.0%
Diversified Financial Services - 0.0%
MUFG Capital Finance 1 Ltd. 6.346% (e)(g) (Cost $1,176)	1,725		1,848
Money Market Funds - 1.4%
	Shares
Fidelity Cash Central Fund, 0.15% (a) (Cost $296,385)	296,384,588		296,385
Cash Equivalents - 0.8%
	Maturity Amount (000s)		Value (000s)
Investments in repurchase agreements in a joint trading account at 0.11%, dated 5/29/15 due 6/1/15 (Collateralized by U.S. Government Obligations) # (b) (Cost $155,191)	$ 155,192		$ 155,191
TOTAL INVESTMENT PORTFOLIO - 105.1% (Cost $20,922,014)			21,602,397
NET OTHER ASSETS (LIABILITIES) - (5.1)%			(1,047,244)
NET ASSETS - 100%		$ 20,555,153
TBA Sale Commitments
	Principal Amount (000s)
Fannie Mae
3.5% 6/1/45	$ (27,000)		(28,198)
3.5% 6/1/45	(88,000)		(91,905)
TOTAL FANNIE MAE			(120,103)
Ginnie Mae
3.5% 6/1/45	(76,200)		(79,988)
TOTAL TBA SALE COMMITMENTS (Proceeds $199,941)		$ (200,091)

Legend

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

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

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

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

(h) 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.

# Additional information on each counterparty to the repurchase agreement is as follows:

Repurchase Agreement / Counterparty	Value (000s)
$155,191,000 due 6/01/15 at 0.11%
Bank of America NA	$ 4,855
Commerz Markets LLC	36,144
Merrill Lynch, Pierce, Fenner & Smith, Inc.	104,676
RBS Securities, Inc.	9,516
	$ 155,191

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	$ 198

Other Information

Valuation Inputs at Reporting Date:
Description (Amounts in thousands)	Total	Level 1	Level 2	Level 3
Investments in Securities:
Corporate Bonds	$ 5,174,129	$ -	$ 5,174,129	$ -
U.S. Government and Government Agency Obligations	8,377,891	-	8,377,891	-
U.S. Government Agency - Mortgage Securities	5,963,907	-	5,963,907	-
Valuation Inputs at Reporting Date:
Description (Amounts in thousands)	Total	Level 1	Level 2	Level 3
Investments in Securities:
Asset-Backed Securities	$ 146,767	$ -	$ 146,767	$ -
Commercial Mortgage Securities	545,382	-	545,327	55
Municipal Securities	142,131	-	142,131	-
Foreign Government and Government Agency Obligations	515,871	-	515,871	-
Supranational Obligations	282,895	-	282,895	-
Preferred Securities	1,848	-	1,848	-
Money Market Funds	296,385	296,385	-	-
Cash Equivalents	155,191	-	155,191	-
Total Investments in Securities:	$ 21,602,397	$ 296,385	$ 21,305,957	$ 55
Other Financial Instruments:
TBA Sale Commitments	$ (200,091)	$ -	$ (200,091)	$ -

Income Tax Information

At May 31, 2015, the cost of investment securities for income tax purposes was $20,904,859,000. Net unrealized appreciation aggregated $697,538,000, of which $766,370,000 related to appreciated investment securities and $68,832,000 related to depreciated investment securities.

Investment Valuation

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 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:

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, foreign government and government agency obligations, municipal securities, preferred securities, supranational obligations 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, 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 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.

Quarterly 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 Report

Item 2. Controls and Procedures

(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the Fidelity Salem Street 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 Salem Street Trust

By:	/s/Stephanie J. Dorsey
	Stephanie J. Dorsey
	President and Treasurer

Date:	July 30, 2015

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/Stephanie J. Dorsey
	Stephanie J. Dorsey
	President and Treasurer

Date:	July 30, 2015

By:	/s/Howard J. Galligan III
	Howard J. Galligan III
	Chief Financial Officer

Date:	July 30, 2015