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:

January 31

 

 

Date of reporting period:

October 31, 2014

Item 1. Schedule of Investments

Quarterly Holdings Report

for

Fidelity ® Series
1000 Value Index Fund

October 31, 2014 

1.967969.100

XS6-QTLY-1214

Investments October 31, 2014 (Unaudited)

Showing Percentage of Net Assets

Common Stocks - 99.3%

Shares

Value

CONSUMER DISCRETIONARY - 6.1%

Auto Components - 0.4%

Gentex Corp.

10,828

$ 354,509

Johnson Controls, Inc.

89,131

4,211,440

Lear Corp.

2,921

270,193

TRW Automotive Holdings Corp. (a)

20,078

2,034,905

Visteon Corp. (a)

8,743

820,968

 

7,692,015

Automobiles - 1.0%

Ford Motor Co.

710,792

10,015,059

General Motors Co.

293,455

9,214,487

 

19,229,546

Distributors - 0.0%

Genuine Parts Co.

1,775

172,317

Diversified Consumer Services - 0.1%

Apollo Education Group, Inc. Class A (non-vtg.) (a)

17,502

501,607

DeVry, Inc.

11,465

555,021

Graham Holdings Co.

803

629,231

Service Corp. International

8,573

187,492

ServiceMaster Global Holdings, Inc.

2,049

49,135

 

1,922,486

Hotels, Restaurants & Leisure - 0.6%

ARAMARK Holdings Corp.

572

15,965

Carnival Corp. unit

78,018

3,132,423

Choice Hotels International, Inc.

5,856

313,296

Darden Restaurants, Inc. (d)

24,063

1,245,982

Hyatt Hotels Corp. Class A (a)

7,077

419,100

International Game Technology

44,902

735,944

Marriott International, Inc. Class A

5,040

381,780

MGM Mirage, Inc. (a)

62,025

1,442,081

Norwegian Cruise Line Holdings Ltd. (a)

1,177

45,903

Royal Caribbean Cruises Ltd.

30,181

2,051,403

Starwood Hotels & Resorts Worldwide, Inc.

19,233

1,474,402

Wendy's Co.

49,645

398,153

 

11,656,432

Household Durables - 0.7%

D.R. Horton, Inc.

53,099

1,210,126

Garmin Ltd. (d)

23,554

1,306,776

GoPro, Inc. Class A (d)

1,289

99,382

Jarden Corp. (a)

16,167

1,052,310

Leggett & Platt, Inc.

12,668

498,866

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Household Durables - continued

Lennar Corp. Class A

31,580

$ 1,360,466

Mohawk Industries, Inc. (a)

11,139

1,582,184

Newell Rubbermaid, Inc.

20,334

677,732

PulteGroup, Inc.

68,368

1,311,982

Taylor Morrison Home Corp. (a)

5,861

101,044

Toll Brothers, Inc. (a)

33,444

1,068,536

Whirlpool Corp.

12,809

2,203,788

 

12,473,192

Internet & Catalog Retail - 0.1%

HomeAway, Inc. (a)

1,266

44,183

Liberty Interactive Corp. Series A (a)

44,626

1,166,524

 

1,210,707

Leisure Products - 0.1%

Hasbro, Inc.

3,280

188,698

Mattel, Inc.

39,385

1,223,692

 

1,412,390

Media - 1.8%

CBS Corp. Class B

8,886

481,799

Clear Channel Outdoor Holding, Inc. Class A

4,088

29,679

Comcast Corp. Class A

39,988

2,213,336

DISH Network Corp. Class A (a)

10,281

654,386

DreamWorks Animation SKG, Inc. Class A (a)(d)

13,502

300,825

Gannett Co., Inc.

41,258

1,299,627

John Wiley & Sons, Inc. Class A

7,963

464,960

Liberty Media Corp.:

Class A (a)

17,774

853,507

Class C (a)

34,593

1,658,042

Live Nation Entertainment, Inc. (a)

12,836

333,736

News Corp. Class A (a)

90,330

1,398,308

Regal Entertainment Group Class A (d)

11,138

246,707

Starz Series A (a)

2,078

64,210

The Madison Square Garden Co. Class A (a)

11,245

851,921

The Walt Disney Co.

51,546

4,710,273

Thomson Reuters Corp.

64,579

2,402,553

Time Warner, Inc.

161,348

12,822,326

Twenty-First Century Fox, Inc. Class A

91,828

3,166,229

 

33,952,424

Multiline Retail - 0.6%

Big Lots, Inc.

7,382

336,988

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Multiline Retail - continued

Dillard's, Inc. Class A (d)

1,489

$ 157,477

Dollar General Corp. (a)

13,471

844,228

Family Dollar Stores, Inc.

984

77,037

JC Penney Corp., Inc. (a)(d)

55,034

418,809

Kohl's Corp.

36,422

1,974,801

Macy's, Inc.

15,009

867,820

Sears Holdings Corp. (a)(d)

1,059

36,980

Target Corp.

104,476

6,458,706

 

11,172,846

Specialty Retail - 0.7%

Aarons, Inc. Class A

9,550

236,458

Abercrombie & Fitch Co. Class A (d)

11,248

376,583

Ascena Retail Group, Inc. (a)

23,491

292,463

Bed Bath & Beyond, Inc. (a)(d)

21,426

1,442,827

Best Buy Co., Inc.

36,617

1,250,104

Cabela's, Inc. Class A (a)(d)

7,984

383,392

CarMax, Inc. (a)(d)

12,489

698,260

Chico's FAS, Inc.

15,495

233,665

CST Brands, Inc.

2,007

76,768

Dick's Sporting Goods, Inc.

14,419

654,190

DSW, Inc. Class A

13,563

402,143

Foot Locker, Inc.

22,702

1,271,539

GameStop Corp. Class A (d)

19,768

845,280

L Brands, Inc.

28,992

2,090,903

Michaels Companies, Inc.

1,015

18,554

Murphy U.S.A., Inc. (a)

4,517

258,824

Penske Automotive Group, Inc.

4,278

193,537

Sally Beauty Holdings, Inc. (a)

7,571

221,906

Signet Jewelers Ltd.

4,555

546,646

Staples, Inc. (d)

117,536

1,490,356

Urban Outfitters, Inc. (a)

5,371

163,064

 

13,147,462

Textiles, Apparel & Luxury Goods - 0.0%

PVH Corp.

1,842

210,633

Ralph Lauren Corp.

2,841

468,310

 

678,943

TOTAL CONSUMER DISCRETIONARY

114,720,760

Common Stocks - continued

Shares

Value

CONSUMER STAPLES - 7.1%

Beverages - 0.1%

Constellation Brands, Inc. Class A (sub. vtg.) (a)

1,970

$ 180,334

Molson Coors Brewing Co. Class B

24,707

1,837,707

 

2,018,041

Food & Staples Retailing - 2.4%

Costco Wholesale Corp.

4,650

620,171

CVS Health Corp.

183,615

15,756,003

Rite Aid Corp. (a)

58,296

306,054

Safeway, Inc.

41,792

1,456,869

Sysco Corp.

67,515

2,602,028

Wal-Mart Stores, Inc.

261,496

19,944,300

Walgreen Co.

43,007

2,761,910

Whole Foods Market, Inc.

37,753

1,484,825

 

44,932,160

Food Products - 1.5%

Archer Daniels Midland Co.

108,217

5,086,199

Bunge Ltd.

26,753

2,371,653

Campbell Soup Co.

10,509

464,183

ConAgra Foods, Inc.

76,564

2,629,973

Ingredion, Inc.

11,526

890,384

Kellogg Co.

4,081

261,021

Mondelez International, Inc.

309,595

10,916,320

Pilgrims Pride Corp. (a)(d)

9,919

281,799

Pinnacle Foods, Inc.

9,826

332,119

The Hain Celestial Group, Inc. (a)

760

82,270

The J.M. Smucker Co.

19,358

2,013,232

Tyson Foods, Inc. Class A

49,357

1,991,555

 

27,320,708

Household Products - 2.4%

Clorox Co.

3,970

395,015

Colgate-Palmolive Co.

17,519

1,171,671

Energizer Holdings, Inc.

11,213

1,375,274

Kimberly-Clark Corp.

11,727

1,340,044

Procter & Gamble Co.

466,517

40,712,939

 

44,994,943

Personal Products - 0.0%

Avon Products, Inc.

46,438

482,955

Coty, Inc. Class A

2,693

44,704

 

527,659

Common Stocks - continued

Shares

Value

CONSUMER STAPLES - continued

Tobacco - 0.7%

Altria Group, Inc.

19,480

$ 941,663

Philip Morris International, Inc.

119,037

10,595,483

Reynolds American, Inc.

13,779

866,837

 

12,403,983

TOTAL CONSUMER STAPLES

132,197,494

ENERGY - 12.1%

Energy Equipment & Services - 0.8%

Atwood Oceanics, Inc.

9,077

368,980

Baker Hughes, Inc.

73,599

3,897,803

Cameron International Corp. (a)

13,419

799,101

Diamond Offshore Drilling, Inc. (d)

12,100

456,291

Frank's International NV (d)

5,386

92,801

Helmerich & Payne, Inc.

5,634

489,144

Nabors Industries Ltd.

48,793

870,955

National Oilwell Varco, Inc.

71,917

5,224,051

Oil States International, Inc. (a)

8,476

506,356

Patterson-UTI Energy, Inc.

12,758

293,817

Rowan Companies PLC

22,687

550,613

Seadrill Ltd.

45,175

1,039,025

Seventy Seven Energy, Inc. (a)

5,230

68,356

Superior Energy Services, Inc.

26,645

670,122

Tidewater, Inc. (d)

8,979

331,056

Unit Corp. (a)

9,113

441,251

 

16,099,722

Oil, Gas & Consumable Fuels - 11.3%

Anadarko Petroleum Corp.

85,702

7,865,730

Apache Corp.

70,754

5,462,209

Chesapeake Energy Corp.

73,732

1,635,376

Chevron Corp.

348,032

41,746,438

Cimarex Energy Co.

13,903

1,580,354

Cobalt International Energy, Inc. (a)

5,833

68,304

ConocoPhillips Co.

224,726

16,213,981

CONSOL Energy, Inc.

41,798

1,538,166

CVR Energy, Inc. (d)

1,660

80,643

Denbury Resources, Inc. (d)

64,039

794,084

Devon Energy Corp.

75,107

4,506,420

Energen Corp.

13,245

896,687

EP Energy Corp. (d)

5,966

87,104

Common Stocks - continued

Shares

Value

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

EQT Corp.

2,575

$ 242,153

Exxon Mobil Corp.

785,163

75,933,100

Golar LNG Ltd. (d)

9,227

517,727

Gulfport Energy Corp. (a)

2,946

147,830

Hess Corp.

51,133

4,336,590

HollyFrontier Corp.

29,507

1,339,028

Kinder Morgan Holding Co. LLC

87,195

3,374,447

Laredo Petroleum Holdings, Inc. (a)(d)

1,696

32,156

Marathon Oil Corp.

124,466

4,406,096

Marathon Petroleum Corp.

11,653

1,059,258

Memorial Resource Development Corp.

3,718

100,721

Murphy Oil Corp.

32,612

1,741,155

Newfield Exploration Co. (a)

24,792

808,467

Noble Energy, Inc.

18,829

1,085,115

Occidental Petroleum Corp.

143,727

12,781,642

ONEOK, Inc.

17,772

1,047,482

PBF Energy, Inc. Class A

8,559

223,133

Peabody Energy Corp.

49,364

514,867

Phillips 66 Co.

61,131

4,798,784

QEP Resources, Inc.

28,619

717,478

Rice Energy, Inc.

626

16,545

SandRidge Energy, Inc. (a)(d)

89,261

348,118

Spectra Energy Corp.

122,855

4,807,316

Teekay Corp.

4,445

259,855

Tesoro Corp.

13,404

957,180

Ultra Petroleum Corp. (a)(d)

19,383

441,932

Valero Energy Corp.

74,380

3,725,694

Whiting Petroleum Corp. (a)

19,397

1,187,872

World Fuel Services Corp.

10,124

417,514

WPX Energy, Inc. (a)

36,778

703,195

 

210,547,946

TOTAL ENERGY

226,647,668

FINANCIALS - 29.2%

Banks - 11.2%

Associated Banc-Corp.

31,106

584,793

Bank of America Corp.

1,922,947

32,997,771

Bank of Hawaii Corp.

8,022

469,688

BankUnited, Inc.

19,574

585,263

BB&T Corp.

131,437

4,978,834

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Banks - continued

BOK Financial Corp.

4,913

$ 336,835

CIT Group, Inc.

35,165

1,720,623

Citigroup, Inc.

555,395

29,730,294

City National Corp.

8,594

676,434

Comerica, Inc.

33,051

1,577,855

Commerce Bancshares, Inc. (d)

15,657

708,636

Cullen/Frost Bankers, Inc.

10,316

833,636

East West Bancorp, Inc.

26,225

964,031

Fifth Third Bancorp

155,993

3,118,300

First Horizon National Corp.

45,985

591,367

First Niagara Financial Group, Inc.

64,181

480,716

First Republic Bank

25,021

1,274,320

Fulton Financial Corp.

34,120

405,346

Huntington Bancshares, Inc.

150,719

1,493,625

JPMorgan Chase & Co.

691,830

41,841,878

KeyCorp

163,678

2,160,550

M&T Bank Corp.

23,914

2,921,813

PacWest Bancorp

18,564

791,940

PNC Financial Services Group, Inc.

97,457

8,419,310

Popular, Inc. (a)

18,683

595,614

Regions Financial Corp.

254,394

2,526,132

Signature Bank (a)

687

83,216

SunTrust Banks, Inc.

97,909

3,832,158

SVB Financial Group (a)

8,381

938,588

Synovus Financial Corp.

25,094

636,384

TCF Financial Corp.

30,086

464,829

U.S. Bancorp

313,736

13,365,154

Wells Fargo & Co.

872,458

46,318,795

Zions Bancorporation (d)

36,905

1,069,138

 

209,493,866

Capital Markets - 3.3%

Ameriprise Financial, Inc.

22,423

2,829,110

Bank of New York Mellon Corp.

208,729

8,081,987

BlackRock, Inc. Class A

14,430

4,922,217

Charles Schwab Corp.

172,293

4,939,640

E*TRADE Financial Corp. (a)

52,469

1,170,059

Federated Investors, Inc. Class B (non-vtg.)

4,472

139,839

Franklin Resources, Inc.

13,201

734,108

Goldman Sachs Group, Inc.

81,748

15,531,303

Invesco Ltd.

67,535

2,733,141

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Capital Markets - continued

Legg Mason, Inc.

11,397

$ 592,644

Morgan Stanley

280,731

9,811,548

Northern Trust Corp.

42,952

2,847,718

NorthStar Asset Management Group, Inc.

26,052

472,062

Raymond James Financial, Inc.

22,743

1,276,565

SEI Investments Co.

1,511

58,415

State Street Corp.

78,857

5,950,549

TD Ameritrade Holding Corp.

6,067

204,701

 

62,295,606

Consumer Finance - 0.9%

Ally Financial, Inc. (a)

5,125

116,338

Capital One Financial Corp.

104,577

8,655,838

Discover Financial Services

85,549

5,456,315

Navient Corp.

76,958

1,522,229

Santander Consumer U.S.A. Holdings, Inc.

14,739

272,672

SLM Corp.

50,382

481,148

Synchrony Financial (a)

4,484

121,158

 

16,625,698

Diversified Financial Services - 3.1%

Berkshire Hathaway, Inc. Class B (a)

334,586

46,895,574

CME Group, Inc.

58,581

4,909,674

Interactive Brokers Group, Inc.

9,738

251,435

IntercontinentalExchange Group, Inc.

12,063

2,512,602

Leucadia National Corp.

56,158

1,335,437

MSCI, Inc. Class A

11,891

554,834

The NASDAQ OMX Group, Inc.

21,269

920,097

Voya Financial, Inc.

26,183

1,027,683

 

58,407,336

Insurance - 5.7%

ACE Ltd.

61,642

6,737,471

AFLAC, Inc.

83,165

4,967,445

Alleghany Corp. (a)

2,989

1,327,953

Allied World Assurance Co.

17,795

676,210

Allstate Corp.

79,382

5,147,923

American Financial Group, Inc.

11,865

709,883

American International Group, Inc.

264,490

14,168,729

American National Insurance Co.

1,317

150,243

Aon PLC

12,509

1,075,774

Arch Capital Group Ltd. (a)

24,390

1,373,645

Arthur J. Gallagher & Co.

1,560

74,412

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Insurance - continued

Aspen Insurance Holdings Ltd.

11,814

$ 515,445

Assurant, Inc.

13,047

890,066

Assured Guaranty Ltd.

32,433

748,554

Axis Capital Holdings Ltd.

19,613

944,170

Brown & Brown, Inc.

20,745

660,936

Cincinnati Financial Corp.

29,767

1,502,340

CNA Financial Corp.

4,785

186,998

Endurance Specialty Holdings Ltd.

8,065

467,367

Everest Re Group Ltd.

8,377

1,429,535

FNF Group

50,346

1,502,325

FNFV Group (a)

16,666

223,991

Genworth Financial, Inc. Class A (a)

90,191

1,261,772

Hanover Insurance Group, Inc.

7,955

532,508

Hartford Financial Services Group, Inc.

83,010

3,285,536

HCC Insurance Holdings, Inc.

19,014

992,341

Lincoln National Corp.

48,582

2,660,350

Loews Corp.

59,189

2,580,640

Markel Corp. (a)

2,540

1,754,861

Marsh & McLennan Companies, Inc.

32,555

1,770,015

MBIA, Inc. (a)

25,565

249,514

Mercury General Corp.

4,871

258,748

MetLife, Inc.

171,239

9,288,003

Old Republic International Corp.

47,043

694,825

PartnerRe Ltd.

9,121

1,055,208

Principal Financial Group, Inc.

54,134

2,834,998

ProAssurance Corp.

10,720

501,482

Progressive Corp.

108,699

2,870,741

Protective Life Corp.

14,311

997,190

Prudential Financial, Inc.

84,290

7,463,037

Reinsurance Group of America, Inc.

9,005

758,671

RenaissanceRe Holdings Ltd.

7,321

756,479

StanCorp Financial Group, Inc.

7,897

549,315

The Chubb Corp.

44,749

4,446,261

The Travelers Companies, Inc.

63,559

6,406,747

Torchmark Corp.

24,015

1,271,834

Unum Group

48,181

1,612,136

Validus Holdings Ltd.

16,392

652,074

W.R. Berkley Corp.

18,258

941,017

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Insurance - continued

White Mountains Insurance Group Ltd.

1,115

$ 696,786

XL Group PLC Class A

49,334

1,671,436

 

106,295,940

Real Estate Investment Trusts - 4.7%

Alexandria Real Estate Equities, Inc.

13,005

1,079,415

American Campus Communities, Inc.

19,134

751,392

American Capital Agency Corp.

64,100

1,457,634

American Homes 4 Rent Class A

27,162

476,150

American Realty Capital Properties, Inc.

165,054

1,464,029

Annaly Capital Management, Inc.

172,191

1,964,699

Apartment Investment & Management Co. Class A

11,449

409,760

AvalonBay Communities, Inc.

23,784

3,706,499

BioMed Realty Trust, Inc.

37,185

807,658

Boston Properties, Inc.

24,909

3,157,216

Brandywine Realty Trust (SBI)

32,644

503,697

Brixmor Property Group, Inc.

8,680

211,445

Camden Property Trust (SBI)

15,573

1,193,982

CBL & Associates Properties, Inc.

30,080

575,430

CBS Outdoor Americas, Inc.

20,173

613,864

Chimera Investment Corp.

185,528

578,847

Columbia Property Trust, Inc.

19,179

483,886

Corporate Office Properties Trust (SBI)

17,302

473,037

Corrections Corp. of America

21,210

780,104

DDR Corp.

54,993

997,573

Digital Realty Trust, Inc. (d)

24,594

1,696,740

Douglas Emmett, Inc.

27,531

774,447

Duke Realty LP

60,049

1,138,529

Equity Commonwealth

23,466

626,777

Equity Lifestyle Properties, Inc.

4,152

203,863

Equity Residential (SBI)

66,192

4,604,316

Essex Property Trust, Inc.

11,350

2,289,976

Federal Realty Investment Trust (SBI)

4,081

537,876

Gaming & Leisure Properties

12,685

396,406

General Growth Properties, Inc.

104,323

2,703,009

HCP, Inc.

83,798

3,684,598

Health Care REIT, Inc.

26,166

1,860,664

Healthcare Trust of America, Inc.

37,705

484,132

Home Properties, Inc.

10,971

705,545

Hospitality Properties Trust (SBI)

27,273

807,554

Host Hotels & Resorts, Inc.

139,502

3,251,792

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Real Estate Investment Trusts - continued

Iron Mountain, Inc.

3,373

$ 121,664

Kilroy Realty Corp.

14,962

1,013,526

Kimco Realty Corp.

76,398

1,906,130

Liberty Property Trust (SBI)

26,894

935,104

MFA Financial, Inc.

66,249

555,167

Mid-America Apartment Communities, Inc.

13,645

964,156

National Retail Properties, Inc.

22,399

853,850

NorthStar Realty Finance Corp.

30,059

558,496

Omega Healthcare Investors, Inc.

15,293

583,581

Piedmont Office Realty Trust, Inc. Class A (d)

27,855

541,780

Plum Creek Timber Co., Inc.

16,708

685,195

Post Properties, Inc.

9,811

548,827

Prologis, Inc.

91,501

3,811,017

Public Storage

1,997

368,127

Rayonier, Inc.

20,281

678,805

Realty Income Corp.

40,238

1,852,155

Regency Centers Corp.

16,886

1,024,980

Retail Properties America, Inc.

43,218

678,090

Senior Housing Properties Trust (SBI)

37,094

837,953

Simon Property Group, Inc.

14,305

2,563,599

SL Green Realty Corp.

17,343

2,006,585

Spirit Realty Capital, Inc.

72,422

861,822

Starwood Property Trust, Inc.

40,263

908,333

Tanger Factory Outlet Centers, Inc.

6,157

220,236

Taubman Centers, Inc.

754

57,342

The Macerich Co.

26,237

1,849,709

Two Harbors Investment Corp.

66,647

675,134

UDR, Inc.

45,695

1,381,360

Ventas, Inc.

28,183

1,930,817

Vornado Realty Trust

26,377

2,887,754

Washington Prime Group, Inc. (d)

28,046

494,451

Weingarten Realty Investors (SBI)

22,368

810,840

Weyerhaeuser Co.

85,942

2,909,996

WP Carey, Inc.

18,077

1,224,174

 

86,753,296

Real Estate Management & Development - 0.1%

Forest City Enterprises, Inc. Class A (a)

32,052

669,566

Howard Hughes Corp. (a)

3,750

552,675

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Real Estate Management & Development - continued

Jones Lang LaSalle, Inc.

5,898

$ 797,469

Realogy Holdings Corp. (a)

14,959

613,469

 

2,633,179

Thrifts & Mortgage Finance - 0.2%

Hudson City Bancorp, Inc.

96,803

934,149

Nationstar Mortgage Holdings, Inc. (a)

289

10,150

New York Community Bancorp, Inc.

80,704

1,287,229

People's United Financial, Inc.

56,002

818,749

TFS Financial Corp.

13,624

203,543

 

3,253,820

TOTAL FINANCIALS

545,758,741

HEALTH CARE - 13.7%

Biotechnology - 0.1%

Alkermes PLC (a)

3,757

189,916

Alnylam Pharmaceuticals, Inc. (a)

1,823

169,065

Amgen, Inc.

7,171

1,162,993

Cubist Pharmaceuticals, Inc. (a)

707

51,109

Myriad Genetics, Inc. (a)(d)

1,662

65,632

 

1,638,715

Health Care Equipment & Supplies - 2.6%

Abbott Laboratories

274,921

11,983,806

Alere, Inc. (a)

15,034

600,909

Boston Scientific Corp. (a)

217,523

2,888,705

CareFusion Corp. (a)

37,649

2,159,923

Covidien PLC

82,494

7,625,745

DENTSPLY International, Inc.

18,730

950,922

Hill-Rom Holdings, Inc.

9,640

428,787

Hologic, Inc. (a)

29,573

774,517

Intuitive Surgical, Inc. (a)

513

254,345

Medtronic, Inc.

182,907

12,466,941

Sirona Dental Systems, Inc. (a)

3,997

313,964

St. Jude Medical, Inc.

18,380

1,179,445

Stryker Corp.

24,668

2,159,190

Teleflex, Inc.

7,469

852,362

The Cooper Companies, Inc.

2,238

366,808

Zimmer Holdings, Inc.

28,201

3,137,079

 

48,143,448

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Health Care Providers & Services - 3.0%

Aetna, Inc.

46,030

$ 3,797,935

Cardinal Health, Inc.

57,289

4,496,041

Cigna Corp.

45,418

4,522,270

Community Health Systems, Inc. (a)

20,963

1,152,336

DaVita HealthCare Partners, Inc. (a)

21,092

1,646,652

Express Scripts Holding Co. (a)

18,833

1,446,751

HCA Holdings, Inc. (a)

54,184

3,795,589

Health Net, Inc. (a)

14,589

693,123

Humana, Inc.

28,378

3,940,285

Laboratory Corp. of America Holdings (a)

9,317

1,018,255

LifePoint Hospitals, Inc. (a)

8,031

562,170

MEDNAX, Inc. (a)

6,242

389,688

Omnicare, Inc.

18,001

1,198,687

Patterson Companies, Inc.

14,131

609,187

Quest Diagnostics, Inc.

26,262

1,666,587

UnitedHealth Group, Inc.

179,282

17,033,583

Universal Health Services, Inc. Class B

12,580

1,304,672

VCA, Inc. (a)

15,944

726,568

WellPoint, Inc.

51,237

6,491,216

 

56,491,595

Health Care Technology - 0.0%

Allscripts Healthcare Solutions, Inc. (a)

20,319

278,777

Life Sciences Tools & Services - 0.6%

Agilent Technologies, Inc.

52,556

2,905,296

Bio-Rad Laboratories, Inc. Class A (a)

3,747

422,737

Charles River Laboratories International, Inc. (a)

4,602

290,662

Covance, Inc. (a)

985

78,702

PerkinElmer, Inc.

16,579

719,860

QIAGEN NV (a)(d)

42,486

996,722

Quintiles Transnational Holdings, Inc. (a)

5,400

316,116

Techne Corp.

3,433

312,575

Thermo Fisher Scientific, Inc.

43,618

5,128,168

 

11,170,838

Pharmaceuticals - 7.4%

Bristol-Myers Squibb Co.

194,996

11,346,817

Eli Lilly & Co.

180,139

11,948,620

Hospira, Inc. (a)

30,387

1,631,782

Johnson & Johnson

436,128

47,005,876

Mallinckrodt PLC (a)

5,643

520,172

Merck & Co., Inc.

459,749

26,637,857

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Pharmaceuticals - continued

Perrigo Co. PLC

19,031

$ 3,072,555

Pfizer, Inc.

1,166,660

34,941,467

 

137,105,146

TOTAL HEALTH CARE

254,828,519

INDUSTRIALS - 10.2%

Aerospace & Defense - 2.2%

Alliant Techsystems, Inc.

5,793

677,549

Exelis, Inc.

34,227

610,952

General Dynamics Corp.

55,978

7,823,485

Huntington Ingalls Industries, Inc.

1,374

145,397

L-3 Communications Holdings, Inc.

15,672

1,903,521

Northrop Grumman Corp.

37,993

5,241,514

Raytheon Co.

57,400

5,962,712

Rockwell Collins, Inc.

2,887

242,941

Spirit AeroSystems Holdings, Inc. Class A (a)

1,501

59,049

Textron, Inc.

50,773

2,108,603

Triumph Group, Inc.

7,204

501,615

United Technologies Corp.

148,851

15,927,057

Vectrus, Inc. (a)

1,901

46,460

 

41,250,855

Air Freight & Logistics - 0.3%

FedEx Corp.

30,934

5,178,352

Airlines - 0.4%

Alaska Air Group, Inc.

2,134

113,593

Copa Holdings SA Class A (d)

1,295

151,411

Delta Air Lines, Inc.

147,424

5,930,868

Southwest Airlines Co.

13,741

473,790

 

6,669,662

Building Products - 0.1%

A.O. Smith Corp.

7,477

398,898

Fortune Brands Home & Security, Inc.

17,450

754,713

Owens Corning

21,261

681,628

 

1,835,239

Commercial Services & Supplies - 0.5%

ADT Corp. (d)

31,711

1,136,522

Cintas Corp.

3,633

266,081

Clean Harbors, Inc. (a)(d)

2,896

143,728

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Commercial Services & Supplies - continued

Covanta Holding Corp.

11,537

$ 254,622

KAR Auction Services, Inc.

15,095

458,284

Pitney Bowes, Inc.

19,867

491,510

R.R. Donnelley & Sons Co.

32,471

566,619

Republic Services, Inc.

48,289

1,854,298

Tyco International Ltd.

8,995

386,155

Waste Connections, Inc.

8,795

438,871

Waste Management, Inc.

76,620

3,745,952

 

9,742,642

Construction & Engineering - 0.2%

AECOM Technology Corp. (a)

22,893

745,167

Fluor Corp.

11,291

749,045

Jacobs Engineering Group, Inc. (a)

24,062

1,141,742

KBR, Inc.

26,576

507,070

Quanta Services, Inc. (a)

29,480

1,004,678

 

4,147,702

Electrical Equipment - 0.6%

Babcock & Wilcox Co.

19,913

569,512

Eaton Corp. PLC

87,334

5,972,772

Emerson Electric Co.

32,276

2,067,601

Hubbell, Inc. Class B

9,050

1,026,361

Regal-Beloit Corp.

8,148

578,264

 

10,214,510

Industrial Conglomerates - 3.0%

Carlisle Companies, Inc.

11,673

1,037,496

Danaher Corp.

85,149

6,845,980

General Electric Co.

1,833,780

47,329,862

Roper Industries, Inc.

9,925

1,571,128

 

56,784,466

Machinery - 1.8%

AGCO Corp.

17,749

786,458

Caterpillar, Inc.

90,001

9,127,001

Crane Co.

5,584

348,162

Deere & Co. (d)

52,087

4,455,522

Donaldson Co., Inc.

2,246

93,389

Dover Corp.

8,389

666,422

IDEX Corp.

1,121

83,974

Ingersoll-Rand PLC

45,746

2,864,615

ITT Corp.

12,832

578,210

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Machinery - continued

Joy Global, Inc. (d)

18,223

$ 959,076

Kennametal, Inc.

14,185

547,683

Lincoln Electric Holdings, Inc.

9,570

693,634

Navistar International Corp. (a)(d)

8,288

293,147

Oshkosh Truck Corp.

15,463

692,124

PACCAR, Inc.

5,379

351,356

Parker Hannifin Corp.

12,659

1,608,073

Pentair PLC

32,773

2,197,430

Snap-On, Inc.

9,124

1,205,645

SPX Corp.

8,345

791,023

Stanley Black & Decker, Inc.

25,196

2,359,353

Terex Corp.

20,086

577,874

Timken Co.

13,760

591,542

Trinity Industries, Inc.

6,545

233,722

Valmont Industries, Inc. (d)

4,538

617,939

Xylem, Inc.

9,125

331,785

 

33,055,159

Professional Services - 0.2%

Dun & Bradstreet Corp.

4,298

527,837

Equifax, Inc.

10,245

775,956

Manpower, Inc.

14,494

967,475

Nielsen Holdings B.V.

12,873

546,974

Towers Watson & Co.

11,809

1,302,415

 

4,120,657

Road & Rail - 0.8%

AMERCO

576

156,165

Con-way, Inc.

10,301

446,754

CSX Corp.

183,816

6,549,364

Genesee & Wyoming, Inc. Class A (a)

5,069

487,638

Kansas City Southern

4,542

557,712

Norfolk Southern Corp.

44,768

4,953,132

Ryder System, Inc.

9,725

860,371

 

14,011,136

Trading Companies & Distributors - 0.1%

Air Lease Corp. Class A

17,408

636,959

GATX Corp.

8,314

527,108

MRC Global, Inc. (a)

10,069

211,751

Now, Inc. (d)

17,721

532,693

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Trading Companies & Distributors - continued

Veritiv Corp. (a)(d)

1,263

$ 56,974

WESCO International, Inc. (a)(d)

8,450

696,365

 

2,661,850

TOTAL INDUSTRIALS

189,672,230

INFORMATION TECHNOLOGY - 9.2%

Communications Equipment - 1.6%

Arista Networks, Inc. (d)

230

18,688

Brocade Communications Systems, Inc.

79,263

850,492

Cisco Systems, Inc.

937,431

22,938,937

EchoStar Holding Corp. Class A (a)

5,873

274,445

Harris Corp.

15,438

1,074,485

JDS Uniphase Corp. (a)

41,759

562,076

Juniper Networks, Inc.

67,446

1,421,087

Motorola Solutions, Inc.

31,635

2,040,458

 

29,180,668

Electronic Equipment & Components - 0.5%

Arrow Electronics, Inc. (a)

18,133

1,031,042

Avnet, Inc.

20,078

868,374

AVX Corp.

8,408

121,412

Corning, Inc.

184,290

3,765,045

Dolby Laboratories, Inc. Class A

8,632

361,853

FLIR Systems, Inc.

7,671

257,209

Ingram Micro, Inc. Class A (a)

28,222

757,478

Jabil Circuit, Inc.

38,875

814,431

Knowles Corp. (a)(d)

15,353

298,769

Tech Data Corp. (a)

6,893

411,650

Vishay Intertechnology, Inc. (d)

24,433

330,090

 

9,017,353

Internet Software & Services - 0.5%

AOL, Inc. (a)

14,433

628,268

IAC/InterActiveCorp

7,904

535,022

Yahoo!, Inc. (a)

184,541

8,498,113

 

9,661,403

IT Services - 0.6%

Amdocs Ltd.

29,087

1,382,796

Booz Allen Hamilton Holding Corp. Class A

886

23,346

Computer Sciences Corp.

24,725

1,493,390

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

IT Services - continued

CoreLogic, Inc. (a)

16,582

$ 520,177

DST Systems, Inc.

1,021

98,373

Fidelity National Information Services, Inc.

46,705

2,727,105

Genpact Ltd. (a)

25,698

451,000

Leidos Holdings, Inc.

11,594

423,993

Paychex, Inc.

6,406

300,698

Teradata Corp. (a)(d)

6,008

254,259

Total System Services, Inc.

6,871

232,171

Xerox Corp.

214,608

2,849,994

 

10,757,302

Semiconductors & Semiconductor Equipment - 2.4%

Altera Corp.

37,269

1,280,936

Analog Devices, Inc.

31,107

1,543,529

Applied Materials, Inc.

73,460

1,622,731

Broadcom Corp. Class A

98,077

4,107,465

Cree, Inc. (a)(d)

9,951

313,257

First Solar, Inc. (a)(d)

13,320

784,548

Freescale Semiconductor, Inc. (a)

1,481

29,457

Intel Corp.

833,201

28,337,166

KLA-Tencor Corp.

2,635

208,560

Lam Research Corp.

21,622

1,683,489

Marvell Technology Group Ltd.

73,838

992,383

Maxim Integrated Products, Inc.

4,186

122,817

Micron Technology, Inc. (a)

23,923

791,612

NVIDIA Corp. (d)

84,816

1,657,305

ON Semiconductor Corp. (a)

38,776

321,453

SunEdison, Inc. (a)(d)

33,111

645,996

SunPower Corp. (a)(d)

7,512

239,182

Teradyne, Inc.

33,171

610,346

 

45,292,232

Software - 1.9%

Activision Blizzard, Inc.

30,412

606,719

ANSYS, Inc. (a)

12,971

1,019,002

Autodesk, Inc. (a)

8,666

498,642

CA Technologies, Inc.

59,582

1,731,453

Citrix Systems, Inc. (a)

2,811

180,551

Electronic Arts, Inc. (a)

13,289

544,450

FireEye, Inc. (a)(d)

2,925

99,421

Informatica Corp. (a)

1,982

70,678

Microsoft Corp.

533,359

25,041,205

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Software - continued

Nuance Communications, Inc. (a)

47,740

$ 736,628

Rovi Corp. (a)

17,104

357,132

Symantec Corp.

127,038

3,153,083

Synopsys, Inc. (a)

28,188

1,155,144

Zynga, Inc. (a)

130,439

332,619

 

35,526,727

Technology Hardware, Storage & Peripherals - 1.7%

EMC Corp.

338,197

9,716,400

Hewlett-Packard Co.

346,860

12,445,337

Lexmark International, Inc. Class A (d)

11,173

482,227

NCR Corp. (a)

27,633

764,605

NetApp, Inc.

38,494

1,647,543

SanDisk Corp.

21,578

2,031,353

Stratasys Ltd. (a)(d)

3,852

463,627

Western Digital Corp.

40,883

4,021,661

 

31,572,753

TOTAL INFORMATION TECHNOLOGY

171,008,438

MATERIALS - 3.2%

Chemicals - 1.5%

Air Products & Chemicals, Inc.

38,943

5,244,064

Albemarle Corp. (d)

8,517

497,222

Ashland, Inc.

14,164

1,530,703

Cabot Corp.

10,887

505,483

Celanese Corp. Class A

25,911

1,521,753

CF Industries Holdings, Inc.

9,462

2,460,120

Cytec Industries, Inc.

12,420

579,145

E.I. du Pont de Nemours & Co.

9,336

645,584

Eastman Chemical Co.

2,441

197,184

Huntsman Corp.

10,851

264,764

Rayonier Advanced Materials, Inc. (d)

6,705

191,294

Rockwood Holdings, Inc.

12,348

949,685

RPM International, Inc.

1,756

79,547

Sigma Aldrich Corp.

11,656

1,584,167

The Dow Chemical Co.

185,117

9,144,780

The Mosaic Co.

61,475

2,723,957

W.R. Grace & Co. (a)

1,901

179,835

Westlake Chemical Corp.

1,091

76,970

 

28,376,257

Common Stocks - continued

Shares

Value

MATERIALS - continued

Construction Materials - 0.1%

Vulcan Materials Co.

23,775

$ 1,467,155

Containers & Packaging - 0.3%

Aptargroup, Inc.

9,292

578,334

Avery Dennison Corp.

11,327

530,670

Bemis Co., Inc.

18,427

708,887

Greif, Inc. Class A

5,733

252,596

MeadWestvaco Corp.

30,532

1,348,598

Owens-Illinois, Inc. (a)

11,892

306,457

Rock-Tenn Co. Class A

26,103

1,335,168

Sonoco Products Co.

18,727

765,372

 

5,826,082

Metals & Mining - 1.1%

Alcoa, Inc.

215,279

3,608,076

Allegheny Technologies, Inc.

19,763

649,215

Carpenter Technology Corp.

9,001

450,500

Cliffs Natural Resources, Inc. (d)

27,658

310,599

Freeport-McMoRan, Inc.

190,511

5,429,564

Newmont Mining Corp.

90,618

1,699,994

Nucor Corp.

58,723

3,174,565

Reliance Steel & Aluminum Co.

14,174

956,462

Royal Gold, Inc.

11,724

670,027

Steel Dynamics, Inc.

43,650

1,004,387

Tahoe Resources, Inc. (a)

12,772

221,722

TimkenSteel Corp.

6,880

279,190

United States Steel Corp. (d)

26,314

1,053,613

 

19,507,914

Paper & Forest Products - 0.2%

Domtar Corp.

11,577

475,467

International Paper Co.

67,350

3,409,257

 

3,884,724

TOTAL MATERIALS

59,062,132

TELECOMMUNICATION SERVICES - 2.2%

Diversified Telecommunication Services - 2.1%

AT&T, Inc.

949,028

33,064,136

CenturyLink, Inc.

98,703

4,094,200

Frontier Communications Corp. (d)

182,264

1,192,007

Common Stocks - continued

Shares

Value

TELECOMMUNICATION SERVICES - continued

Diversified Telecommunication Services - continued

Level 3 Communications, Inc. (a)

2,081

$ 97,620

Windstream Holdings, Inc.

6,964

72,983

 

38,520,946

Wireless Telecommunication Services - 0.1%

Sprint Corp. (a)(d)

132,413

785,209

T-Mobile U.S., Inc. (a)

48,235

1,407,980

Telephone & Data Systems, Inc.

15,542

398,497

U.S. Cellular Corp. (a)

2,384

86,825

 

2,678,511

TOTAL TELECOMMUNICATION SERVICES

41,199,457

UTILITIES - 6.3%

Electric Utilities - 3.4%

American Electric Power Co., Inc.

89,637

5,229,423

Duke Energy Corp.

129,121

10,607,290

Edison International

59,773

3,740,594

Entergy Corp.

33,132

2,783,751

Exelon Corp.

157,219

5,752,643

FirstEnergy Corp.

76,341

2,850,573

Great Plains Energy, Inc.

29,298

788,995

Hawaiian Electric Industries, Inc. (d)

18,322

515,948

ITC Holdings Corp.

1,594

63,138

NextEra Energy, Inc.

79,767

7,994,249

Northeast Utilities

58,104

2,867,432

OGE Energy Corp.

36,249

1,351,725

Pepco Holdings, Inc.

45,590

1,246,431

Pinnacle West Capital Corp.

20,116

1,236,531

PPL Corp.

121,848

4,263,462

Southern Co.

162,476

7,532,387

Westar Energy, Inc. (d)

25,413

960,866

Xcel Energy, Inc. (d)

92,107

3,082,821

 

62,868,259

Gas Utilities - 0.3%

AGL Resources, Inc.

21,684

1,168,984

Atmos Energy Corp.

18,232

966,296

National Fuel Gas Co.

15,284

1,058,111

Questar Corp.

31,928

769,784

UGI Corp.

31,377

1,182,599

 

5,145,774

Common Stocks - continued

Shares

Value

UTILITIES - continued

Independent Power Producers & Energy Traders - 0.3%

Calpine Corp. (a)

66,030

$ 1,506,805

NRG Energy, Inc.

61,277

1,837,084

The AES Corp.

131,861

1,855,284

 

5,199,173

Multi-Utilities - 2.2%

Alliant Energy Corp.

20,141

1,246,929

Ameren Corp.

44,078

1,866,263

CenterPoint Energy, Inc.

78,050

1,916,128

CMS Energy Corp.

49,075

1,603,280

Consolidated Edison, Inc.

53,165

3,368,534

Dominion Resources, Inc.

99,852

7,119,448

DTE Energy Co.

32,145

2,641,033

Integrys Energy Group, Inc.

14,533

1,056,258

MDU Resources Group, Inc.

34,855

982,214

NiSource, Inc.

57,168

2,404,486

PG&E Corp.

84,953

4,274,835

Public Service Enterprise Group, Inc.

93,013

3,842,367

SCANA Corp.

25,737

1,412,704

Sempra Energy

44,549

4,900,390

TECO Energy, Inc.

42,490

833,229

Vectren Corp.

15,841

712,053

Wisconsin Energy Corp.

42,285

2,099,873

 

42,280,024

Water Utilities - 0.1%

American Water Works Co., Inc.

33,275

1,775,887

Aqua America, Inc.

32,354

847,675

 

2,623,562

TOTAL UTILITIES

118,116,792

TOTAL COMMON STOCKS

(Cost $1,689,940,684)


1,853,212,231

U.S. Treasury Obligations - 0.1%

 

Principal Amount

 

U.S. Treasury Bills, yield at date of purchase 0.05% 3/5/15 (e)
(Cost $1,299,768)

$ 1,300,000


1,299,813

Money Market Funds - 2.4%

Shares

Value

Fidelity Cash Central Fund, 0.11% (b)

7,703,346

$ 7,703,346

Fidelity Securities Lending Cash Central Fund, 0.11% (b)(c)

37,039,554

37,039,554

TOTAL MONEY MARKET FUNDS

(Cost $44,742,900)


44,742,900

TOTAL INVESTMENT PORTFOLIO - 101.8%

(Cost $1,735,983,352)

1,899,254,944

NET OTHER ASSETS (LIABILITIES) - (1.8)%

(32,805,115)

NET ASSETS - 100%

$ 1,866,449,829

Futures Contracts

Expiration
Date

Underlying
Face Amount
at Value

Unrealized
Appreciation/
(Depreciation)

Purchased

Equity Index Contracts

87 CME E-mini S&P 500 Index Contracts (United States)

Dec. 2014

$ 8,749,590

$ 283,078

9 CME S&P 500 Index Contracts (United States)

Dec. 2014

4,525,650

142,741

TOTAL EQUITY INDEX CONTRACTS

$ 13,275,240

$ 425,819

 

The face value of futures purchased as a percentage of net assets is 0.7%

Legend

(a) Non-income producing

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

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

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

(e) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $576,917.

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

$ 7,535

Fidelity Securities Lending Cash Central Fund

129,153

Total

$ 136,688

Other Information

The following is a summary of the inputs used, as of October 31, 2014, 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:

Equities:

Consumer Discretionary

$ 114,720,760

$ 114,720,760

$ -

$ -

Consumer Staples

132,197,494

132,197,494

-

-

Energy

226,647,668

226,647,668

-

-

Financials

545,758,741

545,758,741

-

-

Health Care

254,828,519

254,828,519

-

-

Industrials

189,672,230

189,672,230

-

-

Information Technology

171,008,438

171,008,438

-

-

Materials

59,062,132

59,062,132

-

-

Telecommunication Services

41,199,457

41,199,457

-

-

Utilities

118,116,792

118,116,792

-

-

U.S. Government and Government Agency Obligations

1,299,813

-

1,299,813

-

Money Market Funds

44,742,900

44,742,900

-

-

Total Investments in Securities:

$ 1,899,254,944

$ 1,897,955,131

$ 1,299,813

$ -

Derivative Instruments:

Assets

Futures Contracts

$ 425,819

$ 425,819

$ -

$ -

Income Tax Information

At October 31, 2014, the cost of investment securities for income tax purposes was $1,736,178,683. Net unrealized appreciation aggregated $163,076,261, of which $194,879,828 related to appreciated investment securities and $31,803,567 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. In accordance with valuation policies and procedures approved by the Board of Trustees (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 Fidelity Management & Research Company (FMR) Fair Value Committee (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 is responsible for approving and reporting to the Board all fair value determinations. The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels: Level 1 - quoted prices in active markets for identical investments: Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds etc.): Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available). Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the Fund's investments by major category are as follows:

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

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices.

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

Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day and are categorized as Level 1 in the hierarchy.

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

Quarterly Holdings Report

for

Fidelity ® Tax-Free Bond Fund

October 31, 2014 

1.809079.111

SFB-QTLY-1214

Investments October 31, 2014 (Unaudited)

Showing Percentage of Net Assets

Municipal Bonds - 92.1%

 

Principal Amount

Value

Alabama - 0.2%

Birmingham Gen. Oblig. Series 2013 A, 0% 3/1/43 (a)

$ 1,400,000

$ 1,360,646

Huntsville Pub. Bldg. Auth. Rev.:

5% 10/1/20

520,000

576,545

5% 10/1/20 (Pre-Refunded to 4/1/17 @ 100)

280,000

309,876

5% 10/1/22

655,000

725,386

5% 10/1/22 (Pre-Refunded to 4/1/17 @ 100)

345,000

381,812

Mobile Indl. Dev. Board Poll. Cont. Rev. Bonds Series 2009 E, 1.65%, tender 3/20/17 (d)

585,000

595,425

Univ. of Alabama at Birmingham Hosp. Rev. Series 2008 A, 5.75% 9/1/22

1,000,000

1,154,860

 

5,104,550

Arizona - 2.0%

Arizona Ctfs. of Prtn. Series 2010 A:

5% 10/1/18 (FSA Insured)

1,000,000

1,147,850

5.25% 10/1/20 (FSA Insured)

2,600,000

3,008,720

5.25% 10/1/23 (FSA Insured)

5,000,000

5,740,500

5.25% 10/1/26 (FSA Insured)

1,000,000

1,140,070

5.25% 10/1/28 (FSA Insured)

500,000

552,390

Arizona Health Facilities Auth. Rev. (Banner Health Sys. Proj.):

Series 2007 A, 5% 1/1/21

1,000,000

1,087,990

Series 2007 B, 0.967% 1/1/37 (d)

1,000,000

900,100

Series 2008 D, 5.5% 1/1/38

3,400,000

3,684,920

Arizona School Facilities Board Ctfs. of Prtn. Series 2008, 5.75% 9/1/22

5,000,000

5,804,600

Goodyear McDowell Road Commercial Corridor Impt. District 5.25% 1/1/16 (AMBAC Insured)

1,000,000

1,041,600

Goodyear Pub. Impt. Corp. Facilities Rev. Series 2008, 6% 7/1/31

2,000,000

2,230,400

Marana Muni. Property Corp. Facilities Rev. Series 2008 A, 5% 7/1/20

1,520,000

1,701,610

Maricopa County Poll. Cont. Rev. (Southern California Edison Co. Proj.) Series 2000 A, 5% 6/1/35

1,200,000

1,339,236

Maricopa County School District #28 Kyrene Elementary Series 2010 B, 1% 7/1/21 (b)

375,000

398,674

McAllister Academic Village LLC Rev. (Arizona State Univ. Hassayampa Academic Village Proj.) Series 2008, 5.25% 7/1/39

1,100,000

1,186,625

Phoenix Civic Impt. Corp. District Rev. (Plaza Expansion Proj.) Series 2005 B, 5.5% 7/1/38 (Nat'l. Pub. Fin. Guarantee Corp. Insured)

5,000,000

6,638,250

Municipal Bonds - continued

 

Principal Amount

Value

Arizona - continued

Phoenix Civic Impt. Corp. Wtr. Sys. Rev. Series 2005, 5% 7/1/29 (Nat'l. Pub. Fin. Guarantee Corp. Insured)

$ 4,250,000

$ 4,369,298

Pima County Swr. Sys. Rev. Series 2012 A, 5% 7/1/27

1,000,000

1,173,180

Pinal County Indl. Dev. Auth. Correctional Facilities Contract Rev. (Florence West Prison Expansion, LLC Proj.) Series 2006 A, 5.25% 10/1/15 (ACA Finl. Guaranty Corp. Insured)

1,335,000

1,361,620

Salt River Proj. Agricultural Impt. & Pwr. District Elec. Sys. Rev. Series 2008 A, 5% 1/1/24

1,000,000

1,125,260

Salt Verde Finl. Corp. Sr. Gas Rev. Series 2007:

5.25% 12/1/23

2,500,000

2,989,875

5.5% 12/1/29

2,100,000

2,552,718

Scottsdale Indl. Dev. Auth. Hosp. Rev. (Scottsdale Healthcare Proj.) Series 2006 C, 5% 9/1/35 (FSA Insured)

285,000

306,862

Tempe Transit Excise Tax Rev. Series 2008, 5% 7/1/33

1,000,000

1,122,510

Univ. of Arizona Univ. Revs. Series 2005 A, 5% 6/1/28 (Pre-Refunded to 6/1/15 @ 100)

1,285,000

1,320,479

 

53,925,337

California - 15.0%

Bay Area Toll Auth. San Francisco Bay Toll Bridge Rev. Series 2009 F1, 5.625% 4/1/44 (Pre-Refunded to 4/1/19 @ 100)

2,000,000

2,402,460

Cabrillo Cmnty. College District Series B, 0% 8/1/21 (Nat'l. Pub. Fin. Guarantee Corp. Insured)

2,155,000

1,776,108

California Edl. Facilities Auth. Rev.:

(Univ. of Southern California Proj.) Series 2007 A, 4.75% 10/1/37

4,850,000

5,263,220

Series U6, 5% 5/1/45

8,600,000

11,337,208

California Gen. Oblig.:

Bonds 3%, tender 12/1/19 (d)

10,400,000

11,160,552

Series 2007, 5.625% 5/1/20

5,000

5,023

5% 8/1/20

2,745,000

3,018,731

5% 10/1/22

1,500,000

1,762,860

5% 11/1/22 (XL Cap. Assurance, Inc. Insured)

1,100,000

1,241,361

5% 12/1/22

7,810,000

8,841,154

5% 11/1/24

3,000,000

3,375,000

5% 3/1/26

1,000,000

1,057,910

5% 6/1/26 (Pre-Refunded to 6/1/15 @ 100)

1,085,000

1,115,467

5% 3/1/31

1,700,000

1,793,041

5% 9/1/31

1,200,000

1,290,072

5% 9/1/32

1,400,000

1,503,474

Municipal Bonds - continued

 

Principal Amount

Value

California - continued

California Gen. Oblig.: - continued

5% 9/1/33

$ 2,900,000

$ 3,108,829

5% 9/1/35

450,000

481,721

5.25% 9/1/23

8,500,000

10,319,765

5.25% 12/1/33

35,000

35,137

5.25% 4/1/35

4,300,000

4,996,944

5.25% 3/1/38

2,525,000

2,761,113

5.25% 11/1/40

1,100,000

1,262,008

5.5% 8/1/27

3,200,000

3,723,872

5.5% 8/1/29

4,300,000

4,947,365

5.5% 4/1/30

5,000

5,022

5.5% 3/1/40

600,000

687,222

5.6% 3/1/36

300,000

352,437

6% 3/1/33

5,850,000

7,238,907

6% 4/1/38

3,100,000

3,662,247

6% 11/1/39

11,280,000

13,693,356

6.5% 4/1/33

5,050,000

6,171,807

California Health Facilities Fing. Auth. Rev.:

(Catholic Healthcare West Proj.) Series 2008 L, 5.125% 7/1/22 (Pre-Refunded to 7/1/15 @ 100)

1,160,000

1,197,874

(Kaiser Permanente Health Sys. Proj.) Series 2006 A, 5.25% 4/1/39

1,000,000

1,040,690

(Providence Health and Svcs. Proj.):

Series C, 6.5% 10/1/38 (Pre-Refunded to 10/1/18 @ 100)

45,000

54,765

6.5% 10/1/38 (Pre-Refunded to 10/1/18 @ 100)

2,155,000

2,627,311

(Stanford Hosp. & Clinics Proj.) Series 2010 B, 5.75% 11/15/31

5,400,000

6,480,000

Series 2013 A, 5% 8/15/52

15,070,000

16,633,060

California Pub. Works Board Lease Rev.:

(Butterfield State Office Complex Proj.) Series 2005 A, 5.25% 6/1/30

1,200,000

1,231,440

(Coalinga State Hosp. Proj.) Series 2013 E, 5% 6/1/26

5,265,000

6,234,708

(Dept. of Health Svcs. Proj.) Series 2005 K, 5% 11/1/23

1,600,000

1,670,944

(Office of Emergency Svcs. Proj.) Series 2007 A, 5% 3/1/22

1,000,000

1,098,960

(Porterville Developmental Ctr. Hsg. Expansion and Recreation Complex Proj.) Series 2009 C, 6.25% 4/1/34

2,640,000

3,174,257

(Univ. of California Research Proj.) Series 2006 E, 5.25% 10/1/19 (Pre-Refunded to 10/1/16 @ 100)

2,000,000

2,189,180

Municipal Bonds - continued

 

Principal Amount

Value

California - continued

California Pub. Works Board Lease Rev.: - continued

(Univ. Proj.) Series 2011 B, 5.25% 10/1/25

$ 6,000,000

$ 7,153,620

(Various Cap. Projs.):

Series 2012 A, 5% 4/1/24

6,500,000

7,756,970

Series 2012 G, 5% 11/1/25

1,500,000

1,780,785

(Various Judicial Council Projects) Series 2011 D:

5% 12/1/22

1,400,000

1,675,674

5% 12/1/23

2,600,000

3,094,988

Series 2005 B, 5.25% 11/1/24 (XL Cap. Assurance, Inc. Insured)

1,000,000

1,046,520

Series 2005 H, 5% 6/1/18

1,000,000

1,026,840

Series 2005 K, 5% 11/1/16

1,300,000

1,360,320

Series 2009 G1, 5.75% 10/1/30

835,000

991,763

Series 2009 I:

6.125% 11/1/29

500,000

617,850

6.375% 11/1/34

1,400,000

1,730,050

California State Univ. Rev. Series 2009 A:

5.75% 11/1/25

3,330,000

3,932,630

5.75% 11/1/27

5,600,000

6,600,104

6% 11/1/40

5,400,000

6,358,500

California Statewide Cmntys. Dev. Auth. Rev. (St. Joseph Health Sys. Proj.) Series 2007 C, 5.75% 7/1/47 (FGIC Insured)

5,100,000

5,669,772

Carlsbad Unified School District Series 2009 B, 0% 5/1/34 (a)

1,450,000

1,328,650

Fontana Unified School District Gen. Oblig.:

5% 5/1/21 (Assured Guaranty Corp. Insured)

1,880,000

2,155,796

5% 5/1/22 (Assured Guaranty Corp. Insured)

1,840,000

2,098,796

Golden State Tobacco Securitization Corp. Tobacco Settlement Rev.:

Series 2005 A:

5% 6/1/45

3,700,000

3,787,653

5% 6/1/45

1,000,000

1,023,690

Series 2013 A, 5% 6/1/29

2,500,000

2,891,775

5% 6/1/45 (FSA Insured)

65,000

66,589

Loma Linda Hosp. Rev. (Loma Linda Univ. Med. Ctr. Proj.) Series 2008 A, 8.25% 12/1/38

3,100,000

3,454,392

Long Beach Unified School District Series A, 5.75% 8/1/33

1,450,000

1,677,563

Los Angeles Cmnty. College District Series 2008 A, 6% 8/1/33

10,000,000

12,142,800

Municipal Bonds - continued

 

Principal Amount

Value

California - continued

Los Angeles Muni. Impt. Corp. Lease Rev. Series 2012 C:

5% 3/1/24

$ 2,000,000

$ 2,350,140

5% 3/1/25

1,000,000

1,162,660

Los Angeles Unified School District Series 2002 B, 5% 7/1/22 (Pre-Refunded to 7/1/17 @ 100)

1,200,000

1,341,252

Los Angeles Unified School District Ctfs. of Prtn. Series 2007 A, 5% 10/1/17 (AMBAC Insured)

1,080,000

1,210,010

Los Angeles Wastewtr. Sys. Rev. Series 2009 A, 5.75% 6/1/34

10,000,000

11,687,800

Madera County Ctfs. of Prtn. (Children's Hosp. Central California Proj.) Series 2010, 5.375% 3/15/36

1,000,000

1,111,010

Marina Coast Wtr. District Ctfs. Prtn. Series 2006, 5% 6/1/31 (Nat'l. Pub. Fin. Guarantee Corp. Insured)

1,500,000

1,593,600

Marina Gen. Oblig. Series 2005, 5.25% 8/1/35 (AMBAC Insured)

1,170,000

1,219,702

Merced Union High School District Series A, 0% 8/1/21 (Nat'l. Pub. Fin. Guarantee Corp. Insured)

1,455,000

1,219,290

Monterey County Pub. Impt. Corp. Ctfs. of Prtn. Series 2007, 5% 8/1/19 (AMBAC Insured)

1,000,000

1,117,600

Northern California Transmission Agcy. Rev. (California-Oregon Transmission Proj.) Series 2009 A:

5% 5/1/23

2,235,000

2,525,595

5% 5/1/24

1,510,000

1,699,414

Oakland Gen. Oblig.:

Series 2009 B, 6.25% 1/15/39

1,000,000

1,138,140

Series 2012, 5% 1/15/27

4,865,000

5,451,962

Oakland Unified School District Alameda County Series 2009 A, 6.5% 8/1/20

1,935,000

2,334,539

Oakland-Alameda County Coliseum Auth. (Oakland Coliseum Proj.) Series 2012 A:

5% 2/1/19

1,500,000

1,731,495

5% 2/1/24

2,915,000

3,367,554

Port of Oakland Rev. Series 2007 C, 5% 11/1/17 (Nat'l. Pub. Fin. Guarantee Corp. Insured)

3,000,000

3,375,180

Poway Unified School District:

(District #2007-1 School Facilities Proj.) Series 2008 A, 0% 8/1/32

1,300,000

638,339

Series B:

0% 8/1/33

4,350,000

2,033,277

0% 8/1/37

8,000,000

2,980,240

0% 8/1/38

4,225,000

1,496,580

0% 8/1/39

7,220,000

2,401,155

0% 8/1/40

1,100,000

342,925

Municipal Bonds - continued

 

Principal Amount

Value

California - continued

Poway Unified School District: - continued

Series B:

0% 8/1/41

$ 4,900,000

$ 1,429,771

Poway Unified School District Pub. Fing. Auth. Lease Rev. Bonds Series 2008 B, 0%, tender 12/1/42 (FSA Insured)

4,485,000

4,483,341

Sacramento City Fing. Auth. Rev. Series A, 0% 12/1/26 (FGIC Insured)

1,600,000

972,160

Sacramento Muni. Util. District Elec. Rev. Series 2012 Y, 5% 8/15/28

4,475,000

5,195,923

San Bernardino County Ctfs. of Prtn. (Arrowhead Proj.) Series 2009 A, 5.25% 8/1/26

1,000,000

1,085,760

San Diego Cmnty. College District Series 2011, 0% 8/1/35

3,000,000

1,249,050

San Diego Convention Ctr. Expansion Series 2012 A, 5% 4/15/24

4,470,000

5,231,375

San Diego Pub. Facilities Fing. Auth. Swr. Rev. Series 2009 A, 5.25% 5/15/39

3,000,000

3,434,040

San Diego Unified School District:

Series 2008 C:

0% 7/1/34

1,300,000

583,206

0% 7/1/36

10,050,000

4,033,869

0% 7/1/37

5,105,000

1,934,233

0% 7/1/39

3,500,000

1,196,825

Series 2008 E:

0% 7/1/47 (a)

2,600,000

1,215,058

0% 7/1/49

9,300,000

1,955,883

San Jacinto Unified School District Series 2007, 5.25% 8/1/32 (FSA Insured)

1,900,000

2,089,905

San Jose Fing. Auth. Lease Rev. (Civic Ctr. Proj.) Series 2013 A:

5% 6/1/24

1,000,000

1,208,960

5% 6/1/27

1,000,000

1,185,870

5% 6/1/32

10,000,000

11,641,300

San Jose Int'l. Arpt. Rev. Series 2007 B, 5% 3/1/23 (AMBAC Insured)

3,325,000

3,599,080

San Leandro Unified School District Series 2006 B, 6.25% 8/1/33 (FSA Insured)

1,700,000

1,993,165

San Marcos Unified School District:

Series 2010 A, 5% 8/1/38

1,700,000

1,878,670

Series 2010 B, 0% 8/1/47

3,700,000

826,802

San Mateo County Joint Powers Fing. Auth. Series 2009 A, (Cap. Projects) 5.25% 7/15/23

2,795,000

3,304,556

Municipal Bonds - continued

 

Principal Amount

Value

California - continued

Santa Clara County Fing. Auth. Rev. (El Camino Hosp. Proj.) Series 2007 C, 5.75% 2/1/41 (AMBAC Insured)

$ 10,000,000

$ 10,963,400

Santa Monica-Malibu Unified School District Series 1999, 0% 8/1/20 (Nat'l. Pub. Fin. Guarantee Corp. Insured)

1,000,000

903,300

Santa Rosa Wastewtr. Rev. Series 2002 B, 0% 9/1/25 (AMBAC Insured)

1,700,000

1,209,550

Sonoma County Jr. College District Rev. Series 2002, 5% 8/1/28 (FSA Insured)

165,000

170,443

Sweetwater Union High School District Series 2008 A, 5.625% 8/1/47 (FSA Insured)

8,300,000

9,219,972

Univ. of California Revs.:

Series 2007 K, 5% 5/15/18 (Nat'l. Pub. Fin. Guarantee Corp. Insured)

940,000

971,951

Series 2009 O:

5.25% 5/15/39

1,000,000

1,143,740

5.75% 5/15/30

5,700,000

6,764,817

5.75% 5/15/34

3,060,000

3,609,576

Ventura County Cmnty. College District Series C, 5.5% 8/1/33

1,700,000

1,962,412

Washington Township Health Care District Gen. Oblig. Series 2013 B, 5.5% 8/1/38

2,000,000

2,349,240

Washington Township Health Care District Rev.:

Series 2007 A, 5% 7/1/16

535,000

568,946

Series 2009 A:

5.125% 7/1/17

205,000

224,721

5.25% 7/1/18

230,000

259,863

5.5% 7/1/19

390,000

451,885

6% 7/1/29

1,000,000

1,130,330

Series 2010 A, 5.25% 7/1/30

1,900,000

2,038,928

West Contra Costa Unified School District:

(Election of 2005 Proj.) Series B, 5.625% 8/1/35 (Berkshire Hathaway Assurance Corp. Insured)

1,200,000

1,348,536

Series 2012, 5% 8/1/27

5,000,000

5,866,700

Yuba City Unified School District Series A, 0% 9/1/22 (FGIC Insured)

1,000,000

782,510

 

414,647,753

Colorado - 0.6%

Colorado Ctfs. of Prtn. (UCDHSC Fitzsimons Academic Proj.) Series 2005 B, 5.25% 11/1/24 (Pre-Refunded to 11/1/15 @ 100)

1,000,000

1,050,170

Municipal Bonds - continued

 

Principal Amount

Value

Colorado - continued

Colorado Health Facilities Auth. Retirement Hsg. Rev. (Liberty Heights Proj.):

Series B, 0% 7/15/20 (Escrowed to Maturity)

$ 2,000,000

$ 1,827,520

0% 7/15/22 (Escrowed to Maturity)

4,500,000

3,776,805

Colorado Health Facilities Auth. Rev.:

(Adventist Health Sys./Sunbelt Proj.) Series 2006 D, 5.25% 11/15/27

2,000,000

2,167,240

(Valley View Hosp. Proj.) Series 2008, 5.75% 5/15/36

2,640,000

2,916,698

Denver City & County Arpt. Rev. Series 2007 E, 5% 11/15/32 (AMBAC Insured)

1,000,000

1,100,410

E-470 Pub. Hwy. Auth. Rev.:

Series 2000 B, 0% 9/1/20 (Nat'l. Pub. Fin. Guarantee Corp. Insured)

1,400,000

1,206,590

Series 2010 A, 0% 9/1/41

3,400,000

1,041,488

Series 2010 C, 5.375% 9/1/26

1,000,000

1,155,430

Univ. of Colorado Enterprise Sys. Rev. Series 2009 A, 5.5% 6/1/26 (Pre-Refunded to 6/1/19 @ 100)

1,250,000

1,493,975

 

17,736,326

District Of Columbia - 0.7%

District of Columbia Hosp. Rev. (Sibley Memorial Hosp. Proj.) Series 2009, 6.375% 10/1/39

5,000,000

5,781,600

District of Columbia Rev. Series B, 4.75% 6/1/32

800,000

859,848

District of Columbia Wtr. & Swr. Auth. Pub. Util. Rev. Series 2007 A, 5.5% 10/1/41 (Pre-Refunded to 10/1/17 @ 100)

4,700,000

5,365,285

Metropolitan Washington Arpts. Auth. Dulles Toll Road Rev. Series 2009 B:

0% 10/1/31 (Assured Guaranty Corp. Insured)

5,825,000

2,800,194

0% 10/1/36 (Assured Guaranty Corp. Insured)

5,020,000

1,830,041

0% 10/1/39 (Assured Guaranty Corp. Insured)

10,000,000

3,098,700

 

19,735,668

Florida - 9.6%

Brevard County School Board Ctfs. of Prtn.:

Series 2007 B, 5% 7/1/24 (AMBAC Insured)

1,000,000

1,089,400

Series 2014, 5% 7/1/27

1,700,000

2,003,416

Broward County Arpt. Sys. Rev. series 2012 Q1, 5% 10/1/22

2,000,000

2,413,940

Broward County School Board Ctfs. of Prtn.:

Series 2004 B, 5.25% 7/1/15 (FSA Insured)

5,000,000

5,161,950

Municipal Bonds - continued

 

Principal Amount

Value

Florida - continued

Broward County School Board Ctfs. of Prtn.: - continued

Series 2007 A, 5% 7/1/16 (Nat'l. Pub. Fin. Guarantee Corp. Insured)

$ 1,000,000

$ 1,073,580

Series 2012 A, 5% 7/1/24

8,830,000

10,318,915

Broward County Wtr. & Swr. Util. Rev. Series 2009 A, 5.25% 10/1/34

12,120,000

13,495,984

Citizens Property Ins. Corp.:

Series 2010 A1, 5% 6/1/16 (FSA Insured)

5,000,000

5,349,450

Series 2011 A1, 5% 6/1/20

1,000,000

1,171,240

Series 2012 A1, 5% 6/1/21

3,100,000

3,657,473

Collier County Indl. Dev. Auth. Healthcare Facilities Rev. (NCH Healthcare Sys. Proj.) Series 2011, 6.25% 10/1/39

8,060,000

9,286,813

Florida Board of Ed. Lottery Rev. Series 2011 A, 5% 7/1/20

4,300,000

5,128,481

Florida Board of Ed. Pub. Ed. Cap. Outlay:

Series 2006 C, 5% 6/1/29

1,665,000

1,845,869

Series 2011 E, 5% 6/1/24

2,385,000

2,833,261

Series A, 5.5% 6/1/38

700,000

797,608

Florida Dev. Fin. Corp. Healthcare Facility Rev. 6% 2/1/33

2,400,000

2,610,528

Florida Gen. Oblig.:

(Dept. of Trans. Right-of-Way and Bridge Construction Proj.) Series 2008 A, 5.375% 7/1/26

5,675,000

6,395,271

Series 2008 A, 5.25% 7/1/37

1,000,000

1,109,080

Series 2011 B, 5% 7/1/23

3,600,000

4,329,468

Series 2012 A, 5% 7/1/25

3,300,000

3,945,777

Florida Muni. Pwr. Agcy. Rev.:

(St. Lucie Proj.) Series 2012 A, 5% 10/1/26

1,125,000

1,302,863

Series 2009 A, 6.25% 10/1/31

1,000,000

1,175,620

Highlands County Health Facilities Auth. Rev. (Adventist Health Sys./Sunbelt, Inc. Prog.):

Series 2005 A:

5% 11/15/16

495,000

518,384

5% 11/15/16 (Pre-Refunded to 11/15/15 @ 100)

305,000

320,122

Series 2005 B, 5% 11/15/30 (Pre-Refunded to 11/15/15 @ 100)

130,000

136,445

Series 2006 G:

5% 11/15/16

95,000

103,452

5.125% 11/15/18

965,000

1,053,693

Series 2008 B, 6% 11/15/37

5,000,000

5,871,000

Hillsborough County Indl. Dev. (Tampa Gen. Hosp. Proj.) Series 2006, 5.25% 10/1/41

4,980,000

5,188,712

Municipal Bonds - continued

 

Principal Amount

Value

Florida - continued

Hillsborough County Indl. Dev. Auth. Indl. Dev. Rev. (Health Facilities/Univ. Cmnty. Hosp. Proj.) Series 2008 B, 8% 8/15/32 (Pre-Refunded to 8/15/19 @ 101)

$ 1,500,000

$ 1,981,440

Indian River County School Board Ctfs. of Prtn. Series 2014, 5% 7/1/24 (c)

2,600,000

3,066,440

Jacksonville Elec. Auth. Elec. Sys. Rev.:

Series 2012 A, 4% 10/1/23

2,335,000

2,538,192

Series Three 2010 D, 5% 10/1/38

2,800,000

3,105,452

Jacksonville Sales Tax Rev. Series 2012, 5% 10/1/25

2,250,000

2,656,485

Lake County School Board Ctfs. of Prtn. Series 2014 A, 5% 6/1/29 (FSA Insured)

1,500,000

1,725,075

Miami Beach Health Facilities Auth. Hosp. Rev. (Mount Sinai Med. Ctr. of Florida Proj.) Series 2012, 5% 11/15/22

800,000

940,832

Miami-Dade County Aviation Rev.:

Series 2010 A:

5.5% 10/1/30

1,000,000

1,162,540

5.5% 10/1/41

1,500,000

1,679,985

Series 2010 A1, 5.375% 10/1/35

4,240,000

4,827,876

Miami-Dade County Cap. Asset Acquisition Series 2012 A, 5% 10/1/24

1,000,000

1,171,260

Miami-Dade County Edl. Facilities Rev. (Univ. of Miami Proj.) Series 2008 A, 5.75% 4/1/28

1,400,000

1,490,538

Miami-Dade County Expressway Auth.:

Series 2010 A, 5% 7/1/40

3,300,000

3,520,440

Series 2014 A:

5% 7/1/25

1,430,000

1,705,175

5% 7/1/27

1,000,000

1,174,790

5% 7/1/28

2,225,000

2,601,670

5% 7/1/29

1,010,000

1,176,367

5% 7/1/44

17,200,000

19,118,832

Series 2014 B, 5% 7/1/30

2,500,000

2,895,900

Miami-Dade County School Board Ctfs. of Prtn.:

Series 2008 A, 5% 8/1/21 (AMBAC Insured)

1,500,000

1,690,740

Series 2011 B, 5.625% 5/1/31

2,195,000

2,500,522

Series 2014 D:

5% 11/1/22 (c)

2,085,000

2,465,325

5% 11/1/23 (c)

5,485,000

6,500,328

5% 11/1/24 (c)

6,350,000

7,559,929

5% 11/1/25 (c)

6,655,000

7,821,555

Municipal Bonds - continued

 

Principal Amount

Value

Florida - continued

Miami-Dade County Transit Sales Surtax Rev. Series 2012:

5% 7/1/22

$ 765,000

$ 916,332

5% 7/1/42

800,000

876,568

Miami-Dade County Wtr. & Swr. Rev. Series 2008 A, 5.25% 10/1/22 (FSA Insured)

6,000,000

7,296,840

North Brevard County Hosp. District Rev.:

5.75% 10/1/38

915,000

1,001,751

5.75% 10/1/38 (Pre-Refunded to 10/1/18 @ 100)

2,285,000

2,710,307

5.75% 10/1/43

285,000

309,510

5.75% 10/1/43 (Pre-Refunded to 10/1/18 @ 100)

715,000

848,083

Orange County Health Facilities Auth.:

(Orlando Health, Inc.) Series 2009, 5.375% 10/1/23

2,500,000

2,905,025

Series 2012 A, 5% 10/1/42

6,315,000

6,778,837

Series 2012 B, 5% 10/1/42

2,500,000

2,683,625

Orlando & Orange County Expressway Auth. Rev. Series 2012, 5% 7/1/23

1,150,000

1,383,784

Orlando Utils. Commission Util. Sys. Rev.:

Series 2009 A, 5.25% 10/1/39

1,000,000

1,131,420

Series 2009 B, 5% 10/1/33

6,200,000

6,977,728

Series 2012 A, 5% 10/1/24

1,450,000

1,800,813

Series 2013 A:

5% 10/1/24

2,300,000

2,856,462

5% 10/1/25

1,800,000

2,252,556

Palm Beach County Health Facilities Auth. Hosp. Rev. Series 2014, 5% 12/1/31

1,500,000

1,665,345

Palm Beach County School Board Ctfs. of Prtn. Series 2014 B:

5% 8/1/22

2,000,000

2,434,540

5% 8/1/23

3,550,000

4,298,518

5% 8/1/24

1,500,000

1,826,655

Palm Beach County Solid Waste Auth. Rev. Series 2011, 5% 10/1/24

4,000,000

4,727,880

Port Saint Lucie Master Lease Proj. Ctfs. of Prtn. (Muni. Complex Proj.) Series 2008, 6.25% 9/1/27 (Assured Guaranty Corp. Insured)

1,590,000

1,854,020

Putnam County Dev. Auth. Poll. Cont. Rev. Bonds (Seminole Elec. Coop., Inc. Proj.) Series 2007 B, 5.35%, tender 5/1/18 (d)

2,300,000

2,609,971

Saint Lucie County School Board Ctfs. of Prtn. Series 2013 A, 5% 7/1/26

2,515,000

2,883,448

Municipal Bonds - continued

 

Principal Amount

Value

Florida - continued

Sarasota County School Board Ctfs. of Prtn. (Master Lease Prog.):

5% 7/1/16

$ 1,315,000

$ 1,414,020

5% 7/1/17

4,385,000

4,872,831

Seminole County School Board Ctfs. of Prtn. Series 2005 A, 5% 7/1/16 (Nat'l. Pub. Fin. Guarantee Corp. Insured)

200,000

206,110

South Lake County Hosp. District (South Lake Hosp., Inc.) Series 2009 A, 6% 4/1/29

2,375,000

2,681,565

Tampa Bay Wtr. Reg'l. Wtr. Supply Auth. Util. Sys. Rev. Series 2011 B, 5% 10/1/19

2,725,000

3,219,697

Tampa Tax Allocation (H. Lee Moffitt Cancer Ctr. Proj.) Series 2012 A, 5% 9/1/25

900,000

1,037,511

Volusia County School Board Ctfs. of Prtn. (Master Lease Prog.) Series 2014 B, 5% 8/1/22

810,000

972,470

 

266,199,705

Georgia - 2.9%

Atlanta Wtr. & Wastewtr. Rev. Series 2009 A, 6.25% 11/1/39

12,700,000

15,084,552

Burke County Indl. Dev. Auth. Poll. Cont. Rev. Bonds:

(Oglethorpe Pwr. Corp. Vogtle Proj.) Series 2013 A, 2.4%, tender 4/1/20 (d)

3,000,000

3,045,720

2.2%, tender 4/2/19 (d)

5,900,000

6,014,637

Colquitt County Dev. Auth. Rev.:

Series A, 0% 12/1/21 (Escrowed to Maturity)

4,120,000

3,642,327

Series C, 0% 12/1/21 (Escrowed to Maturity)

3,000,000

2,652,180

DeKalb County Hosp. Auth. Rev. (DeKalb Med. Ctr., Inc. Proj.) Series 2010:

6% 9/1/30

2,900,000

3,241,475

6.125% 9/1/40

3,665,000

4,023,804

DeKalb County Wtr. & Swr. Rev. Series 2011 A:

5.25% 10/1/36

1,000,000

1,146,080

5.25% 10/1/41

1,900,000

2,157,184

Fulton County Wtr. & Swr. Rev.:

Series 2011, 5% 1/1/23

2,500,000

2,960,900

Series 2013, 5% 1/1/32

10,000,000

11,499,400

Georgia Muni. Elec. Auth. Pwr. Rev.:

(Gen. Resolution Proj.) Series 2008 A, 5.25% 1/1/19

4,000,000

4,656,480

Series C, 5% 1/1/22

2,900,000

3,451,725

Series GG, 5% 1/1/23

1,600,000

1,930,096

Georgia Muni. Gas Auth. Rev. (Gas Portfolio III Proj.):

Series R, 5% 10/1/21

1,225,000

1,435,051

Municipal Bonds - continued

 

Principal Amount

Value

Georgia - continued

Georgia Muni. Gas Auth. Rev. (Gas Portfolio III Proj.): - continued

Series S, 5% 10/1/24

$ 1,575,000

$ 1,827,646

Metropolitan Atlanta Rapid Transit Auth. Sales Tax Rev. Third Series 2009 A, 5.25% 7/1/36

4,900,000

5,639,753

Private Colleges & Univs. Auth. Rev. (The Savannah College of Arts and Design Projs.) Series 2014, 5% 4/1/28

2,560,000

2,911,590

Savannah Econ. Dev. Auth. Rev. (Southern Care Corp. Proj.) Series C, 0% 12/1/21 (Escrowed to Maturity)

1,995,000

1,763,700

Valdosta & Lowndes County Hosp. Series 2007, 5% 10/1/24

1,000,000

1,048,120

 

80,132,420

Idaho - 0.3%

Idaho Health Facilities Auth. Rev.:

(St. Luke's Health Sys. Proj.) Series 2008 A, 6.75% 11/1/37

1,900,000

2,211,030

(Trinity Health Group Proj.) 2008 B, 6.25% 12/1/33

6,300,000

7,328,601

 

9,539,631

Illinois - 16.3%

Boone & Winnebago County Cmnty. Unit School District 200 Series 2003, 0% 1/1/20 (Nat'l. Pub. Fin. Guarantee Corp. Insured)

1,065,000

925,112

Chicago Board of Ed.:

Series 2011 A, 5.5% 12/1/39

2,700,000

2,856,870

Series 2012 A, 5% 12/1/42

7,100,000

7,137,204

Chicago Gen. Oblig.:

(Cap. Impt. Proj.) Series 1999:

0% 1/1/27 (Nat'l. Pub. Fin. Guarantee Corp. Insured)

1,700,000

987,394

0% 1/1/39 (Nat'l. Pub. Fin. Guarantee Corp. Insured)

5,600,000

1,605,296

(City Colleges Proj.):

Series 1999, 0% 1/1/17 (Nat'l. Pub. Fin. Guarantee Corp. Insured)

4,300,000

4,164,593

0% 1/1/26 (Nat'l. Pub. Fin. Guarantee Corp. Insured)

16,330,000

10,071,038

Series 2004 A, 5.25% 1/1/29 (FSA Insured)

210,000

210,479

Series 2007 A, 5% 1/1/37 (FSA Insured)

10,000,000

10,407,700

Series 2007 C, 5% 1/1/30 (Nat'l. Pub. Fin. Guarantee Corp. Insured)

4,905,000

5,148,239

Series 2008 C, 5% 1/1/34

680,000

687,575

Municipal Bonds - continued

 

Principal Amount

Value

Illinois - continued

Chicago Gen. Oblig.: - continued

Series 2009 A:

5% 1/1/22

$ 1,500,000

$ 1,582,050

5% 1/1/27 (FSA Insured)

1,900,000

2,024,051

Series 2009 C, 5% 1/1/23

1,285,000

1,336,182

Series 2011 A, 5% 1/1/40

4,125,000

4,144,264

Series 2012 A:

5% 1/1/33

2,175,000

2,227,396

5% 1/1/34

1,045,000

1,063,800

Series 2012 C, 5% 1/1/23

500,000

532,420

Series A, 5.5% 1/1/17

1,480,000

1,605,075

Chicago O'Hare Int'l. Arpt. Rev.:

Series 2008 A, 5% 1/1/16 (FSA Insured)

1,200,000

1,263,144

Series 2011 C, 6.5% 1/1/41

6,585,000

8,011,772

Series 2013 D, 5% 1/1/27

5,175,000

5,930,757

Chicago Park District Gen. Oblig.:

Series 2010 C:

5.25% 1/1/37

2,100,000

2,292,108

5.25% 1/1/40

1,300,000

1,413,685

Series 2013 A:

5.5% 1/1/33

1,000,000

1,161,420

5.75% 1/1/38

2,400,000

2,801,352

Series 2014 B:

5% 1/1/24

1,000,000

1,189,000

5% 1/1/25

1,000,000

1,168,640

Series 2014 C, 5% 1/1/28

2,000,000

2,297,360

Series 2014 D, 5% 1/1/20

1,000,000

1,167,590

Chicago Transit Auth. Series 2014, 5.25% 12/1/49

12,000,000

13,670,880

Chicago Transit Auth. Cap. Grant Receipts Rev. (Fed. Transit Administration Section 5307 Proj.):

Series 2006 A, 5% 6/1/21

1,000,000

1,071,140

Series 2008 A:

5.25% 6/1/22 (Assured Guaranty Corp. Insured)

1,200,000

1,357,284

5.25% 6/1/23 (Assured Guaranty Corp. Insured)

1,000,000

1,130,320

Chicago Wtr. Rev. Series 2008:

5.25% 11/1/33

2,300,000

2,516,729

5.25% 11/1/38

9,150,000

9,897,098

Cook County Cmnty. College District Series 2013:

5% 12/1/23

2,000,000

2,353,820

5% 12/1/24

1,000,000

1,165,570

5.25% 12/1/25

1,450,000

1,725,167

Municipal Bonds - continued

 

Principal Amount

Value

Illinois - continued

Cook County Forest Preservation District Series 2012 C:

5% 12/15/22

$ 1,230,000

$ 1,424,340

5% 12/15/37

1,000,000

1,087,590

Cook County Gen. Oblig.:

Series 2004 B, 5.25% 11/15/26 (Pre-Refunded to 11/15/14 @ 100)

300,000

300,426

Series 2006 B, 5% 11/15/18 (Nat'l. Pub. Fin. Guarantee Corp. Insured)

1,000,000

1,115,820

Series 2010 A, 5.25% 11/15/33

13,180,000

14,363,696

Series 2011 A, 5.25% 11/15/28

1,625,000

1,814,735

Series 2012 C:

5% 11/15/23

4,375,000

5,028,756

5% 11/15/24

3,500,000

4,001,445

5% 11/15/25

5,800,000

6,595,470

Des Plaines Pub. Library District 5.5% 1/1/30

4,210,000

4,804,115

Grundy, Kendall & Will County Cmnty. High School District #111 Gen. Oblig.:

Series 2006 A, 5.25% 5/1/24 (Nat'l. Pub. Fin. Guarantee Corp. Insured)

1,400,000

1,494,178

Series A:

5.5% 5/1/15 (Escrowed to Maturity)

480,000

492,595

5.5% 5/1/15 (Escrowed to Maturity)

520,000

533,645

Illinois Dev. Fin. Auth. Retirement Hsg. Regency Park Rev. 0% 7/15/23 (Escrowed to Maturity)

5,600,000

4,594,184

Illinois Fin. Auth. Hosp. Rev. (KishHealth Sys. Proj.) Series 2008, 5.75% 10/1/35

2,400,000

2,680,872

Illinois Fin. Auth. Rev.:

(Advocate Health Care Proj.) Series 2008 D, 6.5% 11/1/38

1,100,000

1,279,685

(Bradley Univ. Proj.) 5% 8/1/20 (XL Cap. Assurance, Inc. Insured)

1,440,000

1,560,154

(Central DuPage Health Proj.) Series 2009 B, 5.375% 11/1/39

2,100,000

2,297,904

(Children's Memorial Hosp. Proj.) Series 2008 A, 5.25% 8/15/33 (Assured Guaranty Corp. Insured)

1,900,000

1,994,620

(Edward Hosp. Obligated Group Proj.) Series 2008 A, 5.5% 2/1/40 (AMBAC Insured)

2,205,000

2,371,698

(Newman Foundation, Inc. Proj.) 5% 2/1/27 (Radian Asset Assurance, Inc. Insured)

1,225,000

1,258,051

(Northwest Cmnty. Hosp. Proj.) Series 2008 A, 5.5% 7/1/38

2,800,000

2,987,488

(Northwestern Memorial Hosp. Proj.) Series 2009 A, 6% 8/15/39

3,700,000

4,276,016

Municipal Bonds - continued

 

Principal Amount

Value

Illinois - continued

Illinois Fin. Auth. Rev.: - continued

(Palos Cmnty. Hosp. Proj.) Series 2010 C, 5.375% 5/15/30

$ 7,600,000

$ 8,550,152

(Provena Health Proj.):

Series 2009 A, 7.75% 8/15/34

6,060,000

7,605,300

Series 2010 A, 6% 5/1/28

5,300,000

6,055,939

(Rush Univ. Med. Ctr. Proj.):

Series 2009 A, 7.25% 11/1/30

1,865,000

2,212,580

Series 2009 C, 6.625% 11/1/39

2,300,000

2,620,758

Series 2009 D, 6.625% 11/1/39

2,300,000

2,620,758

Series B, 5.75% 11/1/28 (Nat'l. Pub. Fin. Guarantee Corp. Insured)

3,595,000

4,097,509

(Sherman Health Systems Proj.) Series 2007 A, 5.5% 8/1/37

6,825,000

7,485,182

(Silver Cross Hosp. and Med. Ctr. Proj.) Series
2008 A:

5.5% 8/15/30

700,000

739,445

6% 8/15/23

1,000,000

1,098,460

(The Carle Foundation Proj.) Series 2009 A:

5.5% 2/15/15 (Assured Guaranty Corp. Insured)

6,090,000

6,168,500

5.5% 2/15/17 (Assured Guaranty Corp. Insured)

3,825,000

4,227,161

Series 2008 A:

5.625% 1/1/37

9,975,000

10,794,845

6% 2/1/23 (AMBAC Insured)

400,000

453,560

Series 2009 A, 7.25% 11/1/38

2,880,000

3,405,888

Series 2009:

6.875% 8/15/38

150,000

172,799

7% 8/15/44

6,210,000

7,158,205

Series 2010 A:

5.5% 8/15/24

1,030,000

1,148,914

5.75% 8/15/29

700,000

774,900

Series 2010, 5.25% 8/15/36

1,365,000

1,448,647

Series 2012 A:

5% 5/15/19

1,000,000

1,146,510

5% 5/15/23

700,000

809,522

Series 2012:

4% 9/1/32

3,000,000

2,782,530

5% 9/1/22

800,000

913,184

5% 9/1/32

4,000,000

4,252,360

5% 9/1/38

5,400,000

5,655,852

5% 11/15/43

1,640,000

1,752,799

Municipal Bonds - continued

 

Principal Amount

Value

Illinois - continued

Illinois Fin. Auth. Rev.: - continued

Series 2013:

5% 11/15/24

$ 1,115,000

$ 1,296,344

5% 11/15/27

400,000

454,556

5% 5/15/43

3,700,000

3,889,292

Illinois Gen. Oblig.:

Series 2002, 5.5% 8/1/15 (Nat'l. Pub. Fin. Guarantee Corp. Insured)

1,000,000

1,036,290

Series 2006:

5% 1/1/19

1,500,000

1,671,570

5.5% 1/1/31

1,000,000

1,150,040

Series 2010:

5% 1/1/21 (FSA Insured)

900,000

994,860

5% 1/1/23 (FSA Insured)

2,100,000

2,289,714

Series 2012 A, 5% 1/1/33

1,700,000

1,806,964

Series 2012:

5% 8/1/19

900,000

1,010,628

5% 8/1/21

740,000

832,544

5% 3/1/23

1,500,000

1,658,430

5% 8/1/23

1,675,000

1,869,350

5% 3/1/36

1,000,000

1,060,270

Series 2013, 5.5% 7/1/38

2,000,000

2,193,020

Series 2014:

5% 2/1/23

1,850,000

2,062,454

5.25% 2/1/29

3,900,000

4,301,739

Illinois Health Facilities Auth. Rev. (Delnor-Cmnty. Hosp. Proj.):

Series 2002 A, 5.25% 5/15/22 (FSA Insured)

1,175,000

1,315,953

Series 2002 D, 5.25% 5/15/32 (FSA Insured)

1,000,000

1,101,900

5.25% 5/15/32 (FSA Insured)

590,000

650,121

Illinois Muni. Elec. Agcy. Pwr. Supply Series A, 5.25% 2/1/20 (Nat'l. Pub. Fin. Guarantee Corp. Insured)

3,360,000

3,689,515

Illinois Sales Tax Rev.:

Series 2005, 5% 6/15/30 (Pre-Refunded to 6/15/15 @ 100)

3,000,000

3,088,470

Series 2010, 5% 6/15/15

4,300,000

4,426,807

Illinois Toll Hwy. Auth. Toll Hwy. Rev. Series 2013 A, 5% 1/1/38

20,000,000

22,052,000

Illinois Unemployment Ins. Fund Bldg. Receipts Series 2012 A, 5% 6/15/19

1,400,000

1,440,838

Jersey & Greene Counties Cmnty. Unit School District #100 Series 2003, 0% 12/1/18 (FSA Insured)

1,100,000

991,353

Municipal Bonds - continued

 

Principal Amount

Value

Illinois - continued

Joliet School District #86 Gen. Oblig. Series 2002:

0% 11/1/19 (FSA Insured)

$ 2,260,000

$ 1,984,777

0% 11/1/20 (FSA Insured)

3,850,000

3,240,237

Kane & DeKalb Counties Cmnty. Unit School District #302 Series 2004, 0% 2/1/22 (Nat'l. Pub. Fin. Guarantee Corp. Insured)

5,025,000

4,021,859

Kane, McHenry, Cook & DeKalb Counties Unit School District #300:

0% 12/1/17 (AMBAC Insured)

910,000

871,289

0% 12/1/17 (Escrowed to Maturity)

90,000

87,765

6.5% 1/1/20 (AMBAC Insured)

310,000

381,936

6.5% 1/1/20 (Escrowed to Maturity)

535,000

675,416

6.5% 1/1/20 (Escrowed to Maturity)

55,000

69,435

Lake County Cmnty. Consolidated School District #73 Gen. Oblig.:

0% 12/1/16 (Escrowed to Maturity)

260,000

257,111

0% 12/1/16 (Nat'l. Pub. Fin. Guarantee Corp. Insured)

840,000

823,662

Lake County Cmnty. Unit School District #95, Lake Zurich Series 2000 B, 0% 12/1/18 (Nat'l. Pub. Fin. Guarantee Corp. Insured)

3,000,000

2,805,810

Madison County Cmnty. United School District #007 Series A, 5% 12/1/15 (FSA Insured)

1,000,000

1,047,730

McHenry & Kane Counties Cmnty. Consolidated School District #158 Series 2004, 0% 1/1/24 (FSA Insured)

1,600,000

1,152,048

Metropolitan Pier & Exposition:

(McCormick Place Expansion Proj.):

Series 2002 A, 0% 12/15/30 (Nat'l. Pub. Fin. Guarantee Corp. Insured)

11,900,000

6,024,494

Series 2010 B1:

0% 6/15/43 (FSA Insured)

15,500,000

3,912,510

0% 6/15/44 (FSA Insured)

19,125,000

4,587,514

0% 6/15/45 (FSA Insured)

12,145,000

2,776,104

0% 6/15/46 (FSA Insured)

2,335,000

503,916

0% 6/15/47 (FSA Insured)

5,660,000

1,159,960

Series 2012 B:

0% 12/15/41

4,600,000

1,257,962

0% 12/15/51

5,900,000

916,919

5% 6/15/52

7,100,000

7,571,227

Series A, 0% 12/15/16 (Nat'l. Pub. Fin. Guarantee Corp. Insured)

3,255,000

3,167,180

0% 6/15/15

2,760,000

2,746,393

0% 6/15/15 (Escrowed to Maturity)

1,885,000

1,882,474

Municipal Bonds - continued

 

Principal Amount

Value

Illinois - continued

Metropolitan Pier & Exposition: - continued

0% 6/15/15 (Escrowed to Maturity)

$ 605,000

$ 604,189

0% 6/15/16 (Escrowed to Maturity)

475,000

471,799

0% 6/15/16 (Nat'l. Pub. Fin. Guarantee Corp. Insured)

1,125,000

1,103,524

Quincy Hosp. Rev. Series 2007, 5% 11/15/14

1,015,000

1,016,421

Schaumburg Village Gen. Oblig. Series B, 5% 12/1/38 (Pre-Refunded to 12/1/14 @ 100)

1,900,000

1,906,745

Univ. of Illinois Rev.:

(Auxiliary Facilities Sys. Proj.):

Series 1999 A, 0% 4/1/20 (Nat'l. Pub. Fin. Guarantee Corp. Insured)

2,015,000

1,789,280

Series 2009 A, 5.75% 4/1/38

4,870,000

5,605,273

Series 2010 A:

5% 4/1/25

1,700,000

1,962,871

5.25% 4/1/30

1,020,000

1,183,924

Series 2013:

6% 10/1/42

1,935,000

2,191,465

6.25% 10/1/38

1,900,000

2,203,658

Will County Cmnty. Unit School District #365-U:

0% 11/1/14 (FSA Insured)

505,000

504,990

0% 11/1/16 (Escrowed to Maturity)

420,000

416,098

0% 11/1/16 (FSA Insured)

1,280,000

1,256,102

0% 11/1/18 (Escrowed to Maturity)

945,000

909,941

0% 11/1/18 (FSA Insured)

4,085,000

3,836,428

0% 11/1/19 (Escrowed to Maturity)

1,290,000

1,214,045

0% 11/1/19 (FSA Insured)

8,310,000

7,558,111

Winnebago County School District No. 122 Harlem-Loves Park Rev.:

0% 1/1/15 (Escrowed to Maturity)

1,605,000

1,604,422

0% 1/1/15 (FSA Insured)

2,675,000

2,667,938

 

449,079,290

Indiana - 2.6%

Beech Grove School Bldg. Corp. Series 1996, 5.625% 7/5/24 (Nat'l. Pub. Fin. Guarantee Corp. Insured)

2,875,000

3,368,005

Carlisle-Sullivan Independent School Bldg. Corp. Series 2007, 5% 7/15/20 (FSA Insured)

1,000,000

1,112,290

Delaware County Ind. Hosp. Auth. Series 2006, 5.125% 8/1/29 (Pre-Refunded to 8/1/16 @ 100)

1,000,000

1,082,340

Franklin Cmnty. Multi-School Bldg. Corp. 5% 7/15/20 (FSA Insured)

1,525,000

1,681,587

Municipal Bonds - continued

 

Principal Amount

Value

Indiana - continued

Franklin Township Independent School Bldg. Corp., Marion County 5% 7/15/20 (AMBAC Insured)

$ 3,540,000

$ 3,857,857

Hammond School Bldg. Corp. Series 2004, 5% 7/15/18 (Pre-Refunded to 1/15/15 @ 100)

1,000,000

1,009,460

Hobart Bldg. Corp. Series 2006, 6.5% 1/15/29 (Nat'l. Pub. Fin. Guarantee Corp. Insured)

3,100,000

3,892,887

Indiana Fin. Auth. Health Sys. Rev. (Sisters of Saint Francis Health Svcs., Inc. Obligated Group Proj.) Series 2009 A, 5.25% 11/1/39

1,700,000

1,884,314

Indiana Fin. Auth. Rev. Series 2012:

5% 3/1/25

1,000,000

1,123,570

5% 3/1/30

500,000

548,050

5% 3/1/41

2,590,000

2,774,926

Indiana Health & Edl. Facilities Fing. Auth. Rev.:

(Sisters of St. Francis Health Svcs., Inc. Proj.) Series 2006 E, 5.25% 5/15/41 (FSA Insured)

1,600,000

1,722,256

Bonds (Ascension Health Sr. Cr. Group Proj.) Series 2006 B1, 4.1%, tender 11/3/16 (d)

5,000,000

5,352,650

Indiana Health Facility Fing. Auth. Rev. Bonds (Ascension Health Cr. Group Proj.) Series 2001 A2, 1.6%, tender 2/1/17 (d)

2,800,000

2,857,120

Indiana Muni. Pwr. Agcy. Pwr. Supply Sys. Rev. Series 2011 A, 5% 1/1/21

800,000

954,176

Indiana State Fin. Auth. Wastewtr. Util. Rev.:

(CWA Auth. Proj.):

Series 2012 A:

5% 10/1/24

850,000

1,010,276

5% 10/1/37

1,700,000

1,921,068

Series 2014 A:

5% 10/1/25

1,200,000

1,448,892

5% 10/1/26

1,750,000

2,094,383

(CWA Auth. Proj.) Series 2014 A, 5% 10/1/27

1,750,000

2,084,338

Series 2011 A, 5.25% 10/1/26

1,000,000

1,171,320

Series 2011 B, 5% 10/1/41

2,000,000

2,172,340

Indiana Trans. Fin. Auth. Hwy. Rev. Series 1993 A, 0% 6/1/17 (AMBAC Insured)

1,000,000

966,720

Indianapolis Local Pub. Impt. Bond Bank (Wtrwks. Proj.):

Series 2007 L, 5.25% 7/1/23 (Nat'l. Pub. Fin. Guarantee Corp. Insured)

1,000,000

1,116,120

Series A, 5.5% 1/1/16 (Nat'l. Pub. Fin. Guarantee Corp. Insured)

1,005,000

1,063,059

Indianapolis Thermal Energy Sys. Series 2010 B, 5% 10/1/19

8,390,000

9,726,275

Municipal Bonds - continued

 

Principal Amount

Value

Indiana - continued

Jasper County Indl. Poll. Ctl. Rev. (Northern Indiana Pub. Svc. Co. Proj.) Series 1988 C, 5.6% 11/1/16 (Nat'l. Pub. Fin. Guarantee Corp. Insured)

$ 1,000,000

$ 1,077,380

Lake Central Multi-District School Bldg. Corp. Series 2012 B:

5% 7/15/27

5,000,000

5,804,250

5% 1/15/30

4,300,000

4,920,490

Purdue Univ. Rev. (Student Facilities Sys. Proj.) Series 2009 B, 5% 7/1/27

1,220,000

1,410,100

Wayne Township Marion County School Bldg. Corp. Series 2007, 5.5% 7/15/27 (Nat'l. Pub. Fin. Guarantee Corp. Insured)

700,000

766,423

 

71,974,922

Kansas - 0.3%

Kansas Dev. Fin. Auth. Health Facilities Rev. (Hays Med. Ctr. Proj.) Series 2005 L, 5.25% 11/15/14

650,000

650,930

Lawrence Hosp. Rev. Series 2006, 5.25% 7/1/15

200,000

206,504

Overland Park Sales Tax Spl. Oblig. Rev. Series 2012, 4.375% 12/15/23

1,800,000

1,807,254

Wichita Hosp. Facilities Rev. (Via Christi Health Sys., Inc. Proj.) Series 2009 X:

4% 11/15/18 (Escrowed to Maturity)

400,000

449,108

5% 11/15/17 (Escrowed to Maturity)

1,000,000

1,130,850

Wyandotte County/Kansas City Unified Govt. Util. Sys. Rev. Series 2012 A, 5% 9/1/26

4,020,000

4,591,765

 

8,836,411

Kentucky - 0.3%

Ashland Med. Ctr. Rev. (Ashland Hosp. Corp. d/b/a King's Daughters Med. Ctr. Proj.) Series 2010 B, 5% 2/1/21

1,185,000

1,301,462

Kentucky Econ. Dev. Fin. Auth. Rev. (Ashland Hosp. Corp. d/b/a King's Daughters Med. Ctr. Proj.) Series 2010 A, 5% 2/1/30

1,605,000

1,709,742

Louisville & Jefferson County Series 2013 A:

5.5% 10/1/33

1,275,000

1,462,310

5.75% 10/1/38

3,105,000

3,561,249

Pikeville Hosp. Rev. (Pikeville Med. Ctr., Inc. Proj.) Series 2011, 6.5% 3/1/41

1,000,000

1,146,180

 

9,180,943

Municipal Bonds - continued

 

Principal Amount

Value

Louisiana - 0.8%

Louisiana Pub. Facilities Auth. Hosp. Rev. (Franciscan Missionaries of Our Lady Health Sys. Proj.) Series 2009, 6.75% 7/1/39

$ 800,000

$ 933,952

Louisiana Pub. Facilities Auth. Rev. (Nineteenth Judicial District Court Proj.) Series 2007:

5.375% 6/1/32 (Nat'l. Pub. Fin. Guarantee Corp. Insured)

1,500,000

1,611,030

5.5% 6/1/41 (Nat'l. Pub. Fin. Guarantee Corp. Insured)

4,770,000

5,135,382

New Orleans Gen. Oblig.:

Series 2005, 5.25% 12/1/23 (Nat'l. Pub. Fin. Guarantee Corp. Insured)

1,000,000

1,043,340

Series 2012:

5% 12/1/24

2,455,000

2,741,204

5% 12/1/25

2,400,000

2,670,816

Tobacco Settlement Fing. Corp. Series 2013 A:

5% 5/15/23

2,500,000

2,943,700

5.5% 5/15/29

5,000,000

5,597,400

 

22,676,824

Maine - 0.2%

Maine Health & Higher Ed. Facilities Auth. Rev. Series 2008 D, 5.75% 7/1/38

1,800,000

1,983,222

Maine Tpk. Auth. Tpk. Rev. Series 2007:

5.25% 7/1/27 (AMBAC Insured)

1,065,000

1,167,986

5.25% 7/1/37 (AMBAC Insured)

1,500,000

1,628,685

 

4,779,893

Maryland - 0.4%

Maryland Econ. Dev. Corp. Student Hsg. Rev. (Towson Univ. Proj.) Series A, 5.25% 7/1/24

1,000,000

1,063,040

Maryland Health & Higher Edl. Facilities Auth. Rev.:

(Doctors Cmnty. Hosp. Proj.) Series 2010, 5.75% 7/1/38

1,880,000

1,965,521

(Upper Chesapeake Hosp. Proj.) Series 2008 C:

5.5% 1/1/18

480,000

495,398

6% 1/1/38

4,200,000

4,592,364

(Washington County Health Sys. Proj.) Series 2008, 6% 1/1/43

1,100,000

1,137,499

Bonds (Johns Hopkins Health Sys. Obligated Group Proj.) Series 2008 B, 5%, tender 5/15/15 (d)

1,400,000

1,435,728

Series 2010, 5.625% 7/1/30

1,100,000

1,152,173

 

11,841,723

Municipal Bonds - continued

 

Principal Amount

Value

Massachusetts - 0.8%

Massachusetts Dev. Fin. Agcy. Rev.:

Series 2011 I, 6.75% 1/1/36

$ 1,000,000

$ 1,193,780

4% 11/15/17

3,200,000

3,201,376

5.5% 7/1/44

2,600,000

2,812,212

Massachusetts Gen. Oblig. Series 2004 D, 5% 12/1/23 (Pre-Refunded to 12/1/14 @ 100)

1,100,000

1,103,861

Massachusetts Health & Edl. Facilities Auth. Rev. (CareGroup, Inc. Proj.) Series 2008 E1, 5.125% 7/1/33

1,000,000

1,089,660

Massachusetts School Bldg. Auth. Dedicated Sales Tax Rev.:

Series 2005 A:

5% 8/15/23 (Pre-Refunded to 8/15/15 @ 100)

3,000,000

3,113,760

5% 8/15/24 (Pre-Refunded to 8/15/15 @ 100)

5,000,000

5,189,600

Series 2007 A, 5% 8/15/22 (AMBAC Insured)

2,890,000

3,223,593

Springfield Gen. Oblig. Series 2005, 5% 8/1/21 (Pre-Refunded to 8/1/15 @ 100)

2,040,000

2,112,726

 

23,040,568

Michigan - 2.5%

Detroit School District Series 2012 A, 5% 5/1/22

1,500,000

1,725,915

Detroit Swr. Disp. Rev.:

Series 2001 E, 5.75% 7/1/31 (Berkshire Hathaway Assurance Corp. Insured) (FGIC Insured)

800,000

887,896

Series 2006 B, 5% 7/1/36 (Nat'l. Pub. Fin. Guarantee Corp. Insured)

2,300,000

2,334,523

Detroit Wtr. Supply Sys. Rev.:

Series 2004 A, 5.25% 7/1/15 (Nat'l. Pub. Fin. Guarantee Corp. Insured)

1,000,000

1,031,650

Series 2006 B:

6.25% 7/1/36 (FSA Insured)

1,500,000

1,635,195

7% 7/1/36 (FSA Insured)

1,400,000

1,583,232

Kent Hosp. Fin. Auth. Hosp. Facilities Rev. Bonds (Spectrum Health Sys. Proj.) Series 2008 A, 5.5%, tender 1/15/15 (d)

1,200,000

1,212,516

Lansing Board of Wtr. & Lt. Util. Rev. 5.5% 7/1/41

1,000,000

1,186,900

Lapeer Cmnty. Schools Series 2007, 5% 5/1/33 (FSA Insured)

800,000

863,920

Lincoln Consolidated School District Series 2008, 5% 5/1/19 (FSA Insured)

1,355,000

1,507,790

Michigan Bldg. Auth. Rev. Series IA:

5.375% 10/15/41

1,000,000

1,129,810

5.5% 10/15/45

2,000,000

2,244,660

Municipal Bonds - continued

 

Principal Amount

Value

Michigan - continued

Michigan Fin. Auth. Rev.:

Series 2012 A:

4.125% 6/1/32

$ 2,350,000

$ 2,299,593

5% 6/1/20

750,000

853,643

5% 6/1/27

1,100,000

1,183,875

5% 6/1/39

2,400,000

2,463,816

Series 2012:

5% 11/15/36

1,300,000

1,413,620

5% 11/15/42

2,950,000

3,176,000

Series 2013, 5% 8/15/29

3,865,000

4,365,131

Michigan Gen. Oblig. Series 2007, 5.25% 9/15/21 (FSA Insured)

3,625,000

4,063,879

Michigan Hosp. Fin. Auth. Rev.:

(McLaren Health Care Corp. Proj.) Series 2008 A, 5.75% 5/15/38

2,000,000

2,237,560

(Sparrow Hosp. Proj.) Series 2007, 5% 11/15/15

1,390,000

1,456,845

(Trinity Health Sys. Proj.) Series 2008 A, 6.5% 12/1/33

3,500,000

4,105,465

Michigan Muni. Bond Auth. Rev. Series 2009, 5% 10/1/26

4,165,000

4,849,768

Portage Pub. Schools Series 2008, 5% 5/1/23 (FSA Insured)

5,275,000

5,946,297

Royal Oak Hosp. Fin. Auth. Hosp. Rev. (William Beaumont Hosp. Proj.) Series 2009 V, 8.25% 9/1/39 (Pre-Refunded to 9/1/18 @ 100)

900,000

1,150,317

South Redford School District Series 2005, 5% 5/1/22 (Pre-Refunded to 5/1/15 @ 100)

1,575,000

1,612,469

Western Michigan Univ. Rev.:

5.25% 11/15/19 (Assured Guaranty Corp. Insured)

3,015,000

3,516,998

5.25% 11/15/22 (Assured Guaranty Corp. Insured)

4,640,000

5,368,805

Willow Run Cmnty. Schools County of Washtenaw Series 2005, 5% 5/1/19 (FSA Insured)

1,000,000

1,022,990

 

68,431,078

Minnesota - 1.1%

Duluth Independent School District #709 Ctfs. of Prtn. Series 2009 B, 4% 3/1/21

1,765,000

1,822,239

Maple Grove Health Care Sys. Rev. (Maple Grove Hosp. Corp. Proj.) Series 2007, 5.25% 5/1/28

1,000,000

1,052,100

Minneapolis & Saint Paul Metropolitan Arpts. Commission Arpt. Rev. Series 2007 A, 5% 1/1/22

8,845,000

9,663,163

Municipal Bonds - continued

 

Principal Amount

Value

Minnesota - continued

Minneapolis Health Care Sys. Rev. (Fairview Health Svcs. Proj.) Series 2008 B, 6.5% 11/15/38 (Assured Guaranty Corp. Insured)

$ 1,000,000

$ 1,161,510

Minnesota Gen. Oblig.:

5% 8/1/22

1,960,000

2,188,222

5% 8/1/22 (Pre-Refunded to 8/1/17 @ 100)

40,000

44,739

Minnesota Higher Ed. Facilities Auth. Rev. (Macalester College Proj.) Series 6, 5% 3/1/20

2,190,000

2,393,210

Saint Paul Port Auth. Lease Rev. (HealthEast Midway Campus Proj.) Series 2003 A, 5.75% 5/1/25

700,000

714,504

Southern Minnesota Muni. Pwr. Agcy. Pwr. Supply Sys. Rev. Series 2009 A, 5% 1/1/21

1,915,000

2,159,258

St. Louis Park Health Care Facilities Rev. (Park Nicollet Health Svcs. Proj.):

Series 2008 C, 5.5% 7/1/17

1,225,000

1,366,684

Series 2009, 5.75% 7/1/39

6,690,000

7,477,346

St. Paul Hsg. & Redev. Auth. Health Care Facilities Rev. (HealthPartners Oblig. Group Proj.) Series 2006, 5.25% 5/15/36

1,000,000

1,051,800

 

31,094,775

Mississippi - 0.1%

Mississippi Hosp. Equip. & Facilities Auth. (Mississippi Baptist Med. Proj.) Series 2007 A, 5% 8/15/15

1,500,000

1,545,870

Missouri - 0.1%

Kansas City Spl. Oblig.:

4% 9/1/18

400,000

439,980

5% 9/1/21

295,000

338,701

5% 9/1/22

500,000

573,075

5% 9/1/23

400,000

458,260

Metropolitan St. Louis Swr. District Wastewtr. Sys. Rev. Series 2008 A, 5.75% 5/1/38

1,000,000

1,117,790

Missouri Envir. Impt. & Energy Resources Auth. Wtr. Poll. Cont. & Drinking Wtr. Rev. 5.125% 1/1/21

125,000

125,348

Saint Louis County Indl. Dev. Auth. Sr. Living Facilities Rev. (Friendship Village West County Proj.) Series A, 5.25% 9/1/16

940,000

970,935

 

4,024,089

Nebraska - 0.2%

Central Plains Energy Proj. Rev. (Nebraska Gas Proj.) Series 2007 B, 0.657% 12/1/17 (d)

1,000,000

972,760

Douglas County Hosp. Auth. #2 Health Facilities Rev.:

6% 8/15/24

1,080,000

1,199,534

Municipal Bonds - continued

 

Principal Amount

Value

Nebraska - continued

Douglas County Hosp. Auth. #2 Health Facilities Rev.: - continued

6% 8/15/24 (Pre-Refunded to 8/15/17 @ 100)

$ 835,000

$ 958,271

Nebraska Pub. Pwr. District Rev. Series 2012 C, 5% 1/1/26

2,550,000

2,853,348

 

5,983,913

Nevada - 0.7%

Clark County Wtr. Reclamation District:

Series 2009 A, 5.25% 7/1/29 (Berkshire Hathaway Assurance Corp. Insured)

1,400,000

1,615,418

5.625% 7/1/32

10,730,000

12,439,718

Las Vegas Valley Wtr. District Wtr. Impt. Gen. Oblig.:

Series 2011 C, 5% 6/1/24

1,900,000

2,222,582

Series 2012 B, 5% 6/1/42

3,260,000

3,628,576

 

19,906,294

New Hampshire - 0.5%

New Hampshire Bus. Fin. Auth. Rev. Series 2009 A, 6.125% 10/1/39

2,900,000

3,243,070

New Hampshire Health & Ed. Facilities Auth. Rev.:

Series 2007 A, 5% 10/1/37

2,200,000

2,305,226

Series 2012:

4% 7/1/23

1,000,000

1,040,790

4% 7/1/32

900,000

879,876

New Hampshire Tpk. Sys. Rev. Series 2012 B:

5% 10/1/19

2,890,000

3,366,619

5% 2/1/20

1,300,000

1,519,102

 

12,354,683

New Jersey - 1.5%

Garden State Preservation Trust Open Space & Farmland Preservation Series 2005 A, 5.8% 11/1/19 (Pre-Refunded to 11/1/15 @ 100)

600,000

633,360

New Jersey Ctfs. of Prtn. Series 2009 A:

5.125% 6/15/24

1,500,000

1,693,455

5.25% 6/15/28

1,000,000

1,117,190

New Jersey Econ. Dev. Auth. Rev.:

Series 2005 O:

5.125% 3/1/28 (Pre-Refunded to 3/1/15 @ 100)

600,000

609,750

5.25% 3/1/23 (Pre-Refunded to 3/1/15 @ 100)

1,000,000

1,016,650

5.25% 3/1/25 (Pre-Refunded to 3/1/15 @ 100)

800,000

813,320

Series 2011 EE, 5% 9/1/20

4,650,000

5,341,269

Municipal Bonds - continued

 

Principal Amount

Value

New Jersey - continued

New Jersey Econ. Dev. Auth. Rev.: - continued

Series 2012, 5% 6/15/21

$ 1,600,000

$ 1,854,992

Series 2013:

5% 3/1/23

4,500,000

5,084,010

5% 3/1/24

6,200,000

6,999,800

5% 3/1/25

700,000

783,251

6% 12/15/34 (Pre-Refunded to 12/15/34 @ 100)

30,000

34,984

New Jersey Health Care Facilities Fing. Auth. Rev. Series 2008, 6.625% 7/1/38

3,700,000

4,106,704

New Jersey Trans. Trust Fund Auth.:

Series 2001 A, 6% 6/15/35

1,300,000

1,569,477

Series 2005 B, 5.25% 12/15/22 (AMBAC Insured)

400,000

470,976

Series 2008 A, 0% 12/15/35

24,090,000

8,868,493

 

40,997,681

New Mexico - 0.1%

New Mexico Edl. Assistance Foundation Series 2010 A1, 5% 12/1/18

3,000,000

3,406,890

New York - 9.2%

Hudson Yards Infrastructure Corp. New York Rev. Series 2012 A, 5.75% 2/15/47

5,200,000

6,002,776

New York City Gen. Oblig.:

Series 2005 F1:

5% 9/1/25

50,000

51,890

5% 9/1/25 (Pre-Refunded to 9/1/15 @ 100)

2,950,000

3,066,525

Series 2005 G, 5% 8/1/15

2,800,000

2,900,660

Series 2008 A1, 5.25% 8/15/27

2,200,000

2,499,244

Series 2008 D1, 5.125% 12/1/23

1,000,000

1,127,730

Series 2009 I1, 5.625% 4/1/29

1,000,000

1,175,670

Series 2012 A1, 5% 8/1/24

2,720,000

3,230,082

Series 2012 F, 5% 8/1/24

10,525,000

12,402,029

Series 2012 G1, 5% 4/1/25

5,040,000

5,939,086

New York City Indl. Dev. Agcy. Civic Facility Rev. (Polytechnic Univ. NY Proj.) 5.25% 11/1/27 (ACA Finl. Guaranty Corp. Insured)

1,065,000

1,192,257

New York City Indl. Dev. Agcy. Rev.:

(Queens Ballpark Co. LLC Proj.) Series 2006, 5% 1/1/22 (AMBAC Insured)

1,000,000

1,075,490

(Yankee Stadium Proj.) Series 2006, 5% 3/1/31

1,000,000

1,032,470

New York City Muni. Wtr. Fin. Auth. Wtr. & Swr. Sys. Rev.:

Series 2009 A, 5.75% 6/15/40

5,400,000

6,226,308

Series 2009 CC, 5% 6/15/34

3,585,000

3,953,861

Municipal Bonds - continued

 

Principal Amount

Value

New York - continued

New York City Muni. Wtr. Fin. Auth. Wtr. & Swr. Sys. Rev.: - continued

Series 2009 EE, 5.25% 6/15/40

$ 3,300,000

$ 3,738,966

Series 2009 FF 2, 5.5% 6/15/40

4,800,000

5,513,568

Series 2011 EE, 5.375% 6/15/43

22,705,000

26,691,998

Series 2012 EE, 5.25% 6/15/30

6,300,000

7,426,881

Series 2013 EE, 5% 6/15/47

11,710,000

13,070,351

Series 2014 CC, 5% 6/15/47

5,800,000

6,540,022

Series 2015 AA, 5% 6/15/44

8,900,000

10,058,869

New York City Transitional Fin. Auth. Bldg. Aid Rev.:

Series 2009 S2:

6% 7/15/33

6,415,000

7,468,664

6% 7/15/38

13,000,000

15,109,770

Series 2009 S3, 5.25% 1/15/39

8,300,000

9,354,930

Series 2009 S4:

5.5% 1/15/39

1,200,000

1,365,540

5.75% 1/15/39

2,500,000

2,873,125

Series S1:

5% 7/15/24

2,000,000

2,392,780

5% 7/15/27

2,000,000

2,343,360

New York Dorm. Auth. Mental Health Svcs. Facilities Impt. Rev. Series 2012 A:

4% 5/15/21

1,500,000

1,706,340

4% 5/15/22

5,000,000

5,688,100

5% 5/15/23

2,000,000

2,417,360

New York Dorm. Auth. Personal Income Tax Rev.:

(Ed. Proj.):

Series 2007 A, 5% 3/15/32

3,900,000

4,237,272

Series 2008 B, 5.75% 3/15/36

5,500,000

6,417,235

Series 2009 A, 5% 2/15/34 (Pre-Refunded to 2/15/34 @ 100)

1,750,000

1,977,990

New York Dorm. Auth. Revs. (New York Univ. Hosp. Ctr. Proj.) Series 2007 B, 5.25% 7/1/24

400,000

433,556

New York Metropolitan Trans. Auth. Rev.:

Series 2003 B, 5.25% 11/15/19 (Nat'l. Pub. Fin. Guarantee Corp. Insured)

3,000,000

3,547,650

Series 2008 A, 5.25% 11/15/36

4,600,000

5,074,168

Series 2008 C, 6.5% 11/15/28

3,600,000

4,357,512

Series 2012 D, 5% 11/15/25

9,500,000

11,286,095

Series 2012 F, 5% 11/15/24

4,600,000

5,483,338

Series 2014 B, 5.25% 11/15/44

2,215,000

2,517,126

Municipal Bonds - continued

 

Principal Amount

Value

New York - continued

New York Thruway Auth. Gen. Rev. Series 2007 H:

5% 1/1/25

$ 4,000,000

$ 4,454,720

5% 1/1/26

2,500,000

2,776,000

New York Thruway Auth. Personal Income Tax Rev. Series 2007 A, 5.25% 3/15/25

2,000,000

2,246,980

New York Thruway Auth. Second Gen. Hwy. & Bridge Trust Fund Series 2007 A, 5% 4/1/21

1,900,000

2,086,390

Rockland County Gen. Oblig. Series 2014 A, 5% 3/1/18 (FSA Insured)

1,825,000

2,036,883

Tobacco Settlement Fing. Corp.:

Series 2011:

5% 6/1/17

4,000,000

4,447,480

5% 6/1/17

3,600,000

4,002,732

Series 2013 B:

5% 6/1/20

4,600,000

4,927,520

5% 6/1/21

2,000,000

2,140,440

Triborough Bridge & Tunnel Auth. Revs. 5% 11/15/22

1,970,000

2,411,201

 

252,498,990

North Carolina - 0.8%

Charlotte Int'l. Arpt. Rev. (Charlotte Douglas Int'l. Arpt. Proj.) Series 2010 A:

5% 7/1/21

1,000,000

1,171,900

5% 7/1/22

1,965,000

2,293,568

5% 7/1/23

2,075,000

2,419,554

Nash Health Care Sys. Health Care Facilities Rev.:

Series 2003, 5.5% 11/1/26 (FSA Insured)

1,200,000

1,315,776

Series 2012, 5% 11/1/41

1,630,000

1,765,274

North Carolina Eastern Muni. Pwr. Agcy. Pwr. Sys. Rev. Series 2009 B, 5% 1/1/26

3,730,000

4,204,158

North Carolina Med. Care Commission Health Care Facilities Rev. (Rex Healthcare Proj.) Series 2010 A, 5% 7/1/30

2,780,000

3,053,469

North Carolina Muni. Pwr. Agcy. #1 Catawba Elec. Rev. Series 2009 A, 5% 1/1/30

1,000,000

1,127,550

Raleigh Durham Arpt. Auth. Arpt. Rev. Series 2010 A, 5% 5/1/32

2,900,000

3,261,775

Randolph County Ctfs. of Prtn. 5% 2/1/20
(Pre-Refunded to 2/1/17 @ 100)

1,500,000

1,650,795

 

22,263,819

Municipal Bonds - continued

 

Principal Amount

Value

North Dakota - 0.2%

Cass County Health Care Facilities Rev. (Essentia Health Obligated Group Proj.) Series 2008, 5.125% 2/15/37 (Assured Guaranty Corp. Insured)

$ 1,500,000

$ 1,614,210

McLean County Solid Waste Facilities Rev. (Great River Energy Projects) Series 2010 B, 5.15% 7/1/40

3,700,000

3,928,660

Ward County Health Care Facility Rev. (Trinity Med. Ctr. Proj.) Series 2006, 5.125% 7/1/21

1,065,000

1,093,936

 

6,636,806

Ohio - 1.4%

American Muni. Pwr., Inc. Rev. (Freemont Energy Ctr. Proj.) Series 2012 B, 5% 2/15/42

900,000

978,795

Buckeye Tobacco Settlement Fing. Auth. Series 2007 A1:

5% 6/1/16

1,500,000

1,594,815

5% 6/1/17

1,755,000

1,920,128

Cleveland Gen. Oblig. Series C:

5.25% 11/15/18 (Nat'l. Pub. Fin. Guarantee Corp. Insured)

1,090,000

1,251,015

5.25% 11/15/19 (Nat'l. Pub. Fin. Guarantee Corp. Insured)

1,050,000

1,227,240

Fairfield County Hosp. Facilities Rev. (Fairfield Med. Ctr. Proj.) Series 2013, 5.25% 6/15/43

5,000,000

5,312,700

Lake County Hosp. Facilities Rev. (Lake Hosp. Sys., Inc. Proj.) Series 2008 C, 6% 8/15/43

2,500,000

2,776,250

Lucas County Hosp. Rev. (ProMedica Healthcare Oblig. Group Proj.) Series 2011 A, 6.5% 11/15/37

1,900,000

2,329,324

Muskingum County Hosp. Facilities (Genesis Healthcare Sys. Obligated Group Proj.) Series 2013, 5% 2/15/48

4,400,000

4,411,484

Ohio Air Quality Dev. Auth. Rev.:

Bonds (First Energy Nuclear Generation Proj.) Series 2006 A, 3.75%, tender 12/3/18 (d)

7,900,000

8,400,386

Series 2009 C, 5.625% 6/1/18

700,000

783,202

Ohio Tpk. Commission Tpk. Rev. (Infastructure Proj.) Series 2005 A, 0% 2/15/42

5,800,000

1,681,942

Ohio Wtr. Dev. Auth. Poll. Cont. Facilities Rev. Bonds (FirstEnergy Corp. Proj.) Series 2009 A, 5.875%, tender 6/1/16 (d)

4,000,000

4,282,520

Ross County Hosp. Facilities Rev. (Adena Health Sys. Proj.) Series 2008, 5.75% 12/1/35

2,300,000

2,545,341

 

39,495,142

Oklahoma - 1.0%

Grand River Dam Auth. Rev. Series 2014 A, 5% 6/1/39

7,000,000

7,982,100

Municipal Bonds - continued

 

Principal Amount

Value

Oklahoma - continued

Oklahoma City Pub. Property Auth. Hotel Tax Rev. Series 2005, 5.5% 10/1/21 (Nat'l. Pub. Fin. Guarantee Corp. Insured)

$ 1,000,000

$ 1,038,320

Oklahoma Dev. Fin. Auth. Health Sys. Rev. (Integris Baptist Med. Ctr. Proj.) Series C:

5.5% 8/15/20

2,000,000

2,307,840

5.5% 8/15/22

2,400,000

2,750,280

Oklahoma Dev. Fin. Auth. Rev.:

(Saint John Health Sys. Proj.) Series 2012, 5% 2/15/42

3,625,000

3,949,619

Series 2012:

5% 2/15/21

955,000

1,121,361

5% 2/15/24

1,800,000

2,078,244

Oklahoma Pwr. Auth. Pwr. Supply Sys. Rev. Series 2014 A, 5% 1/1/38 (c)

3,705,000

4,196,728

Tulsa County Indl. Auth. Health Care Rev. Series 2006, 5% 12/15/17

1,205,000

1,316,583

 

26,741,075

Oregon - 0.2%

Oregon State Dept. of Administrative Svcs. Lottery Rev. Series 2011 A, 5.25% 4/1/31

1,900,000

2,228,320

Polk Marion & Benton School District # 13J Series B, 0% 12/15/38

2,115,000

778,214

Yamhill County School District #029J Newberg Series 2005, 5.5% 6/15/18 (Nat'l. Pub. Fin. Guarantee Corp. Insured)

1,000,000

1,162,290

 

4,168,824

Pennsylvania - 1.3%

Allegheny County Hosp. Dev. Auth. Rev. (Univ. of Pittsburgh Med. Ctr. Proj.) Series 2009 A:

4.7% 8/15/19

1,000,000

1,153,980

5% 8/15/20

3,000,000

3,507,960

Annville-Cleona School District:

5.5% 3/1/21

345,000

349,940

5.5% 3/1/21 (Pre-Refunded to 3/1/15 @ 100)

855,000

869,783

Beaver County Indl. Dev. Auth. Poll. Cont. Rev. Bonds (FirstEnergy Nuclear Generation Corp. Proj.) Series 2005 A, 3.375%, tender 7/1/15 (d)

3,400,000

3,456,882

Centre County Hosp. Auth. Rev. (Mount Nittany Med. Ctr. Proj.) Series 2011, 7% 11/15/46

1,000,000

1,192,330

Municipal Bonds - continued

 

Principal Amount

Value

Pennsylvania - continued

Econ. Dev. Fin. Auth. Unemployment Compensation Rev. Series 2012 B:

5% 7/1/21

$ 1,700,000

$ 1,911,820

5% 1/1/23

1,000,000

1,052,260

Mifflin County School District Series 2007, 7.75% 9/1/30 (XL Cap. Assurance, Inc. Insured)

400,000

463,268

Monroeville Fin. Auth. UPMC Rev. Series 2012, 5% 2/15/26

1,700,000

2,052,155

Montgomery County Higher Ed. & Health Auth. Hosp. Rev. (Abington Memorial Hosp. Proj.) Series 2012 A, 5% 6/1/24

1,400,000

1,605,730

Montgomery County Higher Ed. & Health Auth. Rev. Series 2014 A, 5% 10/1/23

2,160,000

2,439,504

Pennsylvania Gen. Oblig. Second Series 2006, 5% 3/1/20 (Pre-Refunded to 3/1/17 @ 100)

700,000

772,975

Philadelphia Gas Works Rev.:

(1975 Gen. Ordinance Proj.) Seventeenth Series, 5.375% 7/1/20 (FSA Insured)

500,000

501,550

(1998 Gen. Ordinance Proj.):

Fifth Series A1, 5% 9/1/33 (FSA Insured)

150,000

150,305

Ninth Series, 5.25% 8/1/40

3,800,000

4,300,992

Seventh Series, 5% 10/1/37 (AMBAC Insured)

2,100,000

2,280,033

Philadelphia Gen. Oblig.:

Series 2008 A, 5.25% 12/15/32 (FSA Insured)

2,500,000

2,809,600

Series 2008 B, 7.125% 7/15/38 (Pre-Refunded to 7/15/16 @ 100)

1,000,000

1,113,990

Philadelphia School District:

Series 2005 A, 5% 8/1/22

285,000

293,217

5% 8/1/22 (Pre-Refunded to 8/1/15 @ 100)

15,000

15,529

Southeastern Pennsylvania Trans. Auth. Rev. Series 2011, 5% 6/1/22

1,000,000

1,167,120

Westmoreland County Muni. Auth. Muni. Svc. Rev. Series 2001 A, 0% 8/15/20 (Nat'l. Pub. Fin. Guarantee Corp. Insured)

2,500,000

2,170,650

 

35,631,573

South Carolina - 4.0%

Greenwood Fifty School Facilities Installment 5% 12/1/21 (Assured Guaranty Corp. Insured)

1,000,000

1,119,100

Lexington County Health Svcs. District, Inc. Hosp. Rev. Series 2007, 5% 11/1/14

1,000,000

1,000,130

Municipal Bonds - continued

 

Principal Amount

Value

South Carolina - continued

Scago Edl. Facilities Corp. for Colleton School District (School Proj.):

5% 12/1/16 (Assured Guaranty Corp. Insured)

$ 1,000,000

$ 1,080,750

5% 12/1/18 (Assured Guaranty Corp. Insured)

1,880,000

2,022,542

South Carolina Jobs-Econ. Dev. Auth. Econ. Dev. Rev. Series 2013, 5% 11/1/27

2,900,000

3,285,062

South Carolina Jobs-Econ. Dev. Auth. Health Facilities Rev. (Bishop Gadsden Proj.) Series 2007, 5% 4/1/18

1,765,000

1,854,680

South Carolina Pub. Svc. Auth. Rev.:

(Santee Cooper Proj.) Series 2009 B, 5.25% 1/1/39

2,700,000

3,032,100

Series 2012 C:

5% 12/1/15

3,220,000

3,384,381

5% 12/1/18

7,000,000

8,084,230

Series 2013 E, 5.5% 12/1/53

14,000,000

15,857,380

Series 2014 A:

5% 12/1/49

29,450,000

32,387,025

5.5% 12/1/54

14,200,000

16,060,626

Series 2014 C, 5% 12/1/46

17,500,000

19,397,875

Univ. of South Carolina Athletic Facilities Rev. Series 2008 A, 5.5% 5/1/38

1,590,000

1,804,809

 

110,370,690

South Dakota - 0.2%

South Dakota Health & Edl. Facilities Auth. Rev. Series 2014 B, 5% 11/1/44

5,000,000

5,547,950

Tennessee - 0.3%

Clarksville Natural Gas Acquisition Corp. Gas Rev. Series 2006, 5% 12/15/15

2,525,000

2,634,863

Jackson Hosp. Rev. (Jackson-Madison County Gen. Hosp. Proj.) Series 2008, 5.75% 4/1/41

1,500,000

1,656,615

Knox County Health Edl. & Hsg. Facilities Board Rev. (Univ. Health Sys. Proj.) Series 2007, 5% 4/1/16

1,700,000

1,784,133

Sullivan County Health, Ed. and Hsg. Board (Wellmont Health Sys. Proj.) Series 2006 C, 5.25% 9/1/36

935,000

980,319

 

7,055,930

Texas - 9.9%

Aledo Independent School District (School Bldg. Proj.) Series 2006 A, 5% 2/15/43

2,000,000

2,157,000

Austin Cmnty. College District Pub. Facilities Lease Rev. (Round Rock Campus Proj.) Series 2008, 5.5% 8/1/19

1,500,000

1,733,910

Municipal Bonds - continued

 

Principal Amount

Value

Texas - continued

Bastrop Independent School District Series 2007:

5.25% 2/15/37

$ 1,000,000

$ 1,078,260

5.25% 2/15/42

3,255,000

3,496,847

Bexar Metropolitan Wtr. District Wtrwks. Sys. Rev.:

5% 5/1/19 (XL Cap. Assurance, Inc. Insured)

1,715,000

1,873,895

5% 5/1/20 (XL Cap. Assurance, Inc. Insured)

1,325,000

1,446,052

Brazosport College District Series 2008, 5.5% 2/15/33 (Assured Guaranty Corp. Insured)

1,000,000

1,125,400

Canyon Reg'l. Wtr. Auth. Contract Rev. (Wells Ranch Proj.) 5% 8/1/21 (AMBAC Insured)

1,670,000

1,834,746

Comal Independent School District Series 1996, 0% 2/1/16

2,235,000

2,226,440

Corpus Christi Util. Sys. Rev. 5% 7/15/23

3,400,000

3,939,920

Cotulla Independent School District Series 2007, 5.25% 2/15/37 (Pre-Refunded to 2/15/17 @ 100)

4,170,000

4,620,026

Crowley Independent School District Series 2006, 5.25% 8/1/33 (Pre-Refunded to 8/1/16 @ 100)

500,000

542,710

Dallas Area Rapid Transit Sales Tax Rev. Series 2008, 5.25% 12/1/38

5,615,000

6,348,656

Dallas Fort Worth Int'l. Arpt. Rev.:

Series 2009 A, 5% 11/1/22

1,500,000

1,625,925

Series 2010 A, 5% 11/1/42

5,200,000

5,775,224

Dallas Independent School District Series 2008, 6.375% 2/15/34 (Pre-Refunded to 2/15/18 @ 100)

500,000

591,425

Dallas Wtrwks. & Swr. Sys. Rev. Series 2008, 5% 10/1/33

3,000,000

3,426,240

Freer Independent School District Series 2007, 5.25% 8/15/37

1,000,000

1,086,510

Frisco Independent School District Series 2009, 5.375% 8/15/39 (Assured Guaranty Corp. Insured)

2,610,000

3,065,341

Granbury Independent School District 0% 8/1/19

1,000,000

936,020

Grand Parkway Trans. Corp. Series 2013 B:

5% 4/1/53

27,390,000

29,766,356

5.25% 10/1/51

24,800,000

27,653,240

5.5% 4/1/53

2,300,000

2,525,515

Harris County Cultural Ed. Facilities Fin. Corp. Med. Facilities Rev. (Baylor College of Medicine Proj.) Series 2012 A, 5% 11/15/37

5,200,000

5,628,220

Harris County Gen. Oblig. (Road Proj.) Series 2008 B, 5.25% 8/15/47

11,600,000

12,804,428

Houston Arpt. Sys. Rev. Series 2011 B:

5% 7/1/25

1,460,000

1,701,937

5% 7/1/26

3,000,000

3,475,050

Municipal Bonds - continued

 

Principal Amount

Value

Texas - continued

Houston Independent School District:

Bonds Series 2012, 2.5%, tender 6/1/15 (d)

$ 3,800,000

$ 3,846,436

Series 2005 A, 0% 2/15/16

2,800,000

2,785,384

Kermit Independent School District Series 2007, 5.25% 2/15/32

600,000

652,302

Lewisville Independent School District 0% 8/15/18

1,025,000

984,502

Liberty Hill Independent School District (School Bldg. Proj.) Series 2006, 5.25% 8/1/35

1,000,000

1,050,020

Lower Colorado River Auth. Rev.:

5.75% 5/15/37

105,000

107,557

5.75% 5/15/37 (Pre-Refunded to 5/15/15 @ 100)

15,000

15,441

5.75% 5/15/37 (Pre-Refunded to 5/15/15 @ 100)

30,000

30,889

Lubbock Cooper Independent School District:

5.75% 2/15/42 (Assured Guaranty Corp. Insured)

4,500,000

5,107,275

6% 2/15/49 (Assured Guaranty Corp. Insured)

5,000,000

5,791,400

Lubbock Gen. Oblig. (Wtrwks. Sys. Surplus Proj.) Series 2005, 5% 2/15/16 (Pre-Refunded to 2/15/15 @ 100)

1,260,000

1,277,035

Magnolia Independent School District Series 2005, 5.25% 8/15/29 (Pre-Refunded to 8/15/15 @ 100)

1,300,000

1,351,311

Mansfield Independent School District 5.5% 2/15/17

15,000

15,058

New Caney Independent School District Series 2007 A, 5.25% 2/15/37

6,820,000

7,444,848

North Forest Independent School District Series A, 5% 8/15/18

2,125,000

2,298,379

North Harris County Reg'l. Wtr. Auth. Series 2005, 5.25% 12/15/17 (Nat'l. Pub. Fin. Guarantee Corp. Insured)

2,000,000

2,011,380

North Texas Muni. Wtr. District Reg'l. Wastewtr. Sys. Rev. Series 2008:

5% 6/1/24

1,000,000

1,133,610

5% 6/1/25

2,100,000

2,376,633

North Texas Muni. Wtr. District Wtr. Sys. Rev. Series 2006, 5% 9/1/35 (Nat'l. Pub. Fin. Guarantee Corp. Insured)

1,000,000

1,075,060

North Texas Tollway Auth. Dallas North Tollway Sys. Rev. Series 2005 A, 5% 1/1/35 (Pre-Refunded to 1/1/15 @ 100)

1,000,000

1,007,570

North Texas Tollway Auth. Rev.:

Bonds Series 2008 E3, 5.75%, tender 1/1/16 (d)

5,000,000

5,294,250

Series 2008 A:

6% 1/1/24

1,000,000

1,128,910

6% 1/1/25

6,000,000

6,771,480

Municipal Bonds - continued

 

Principal Amount

Value

Texas - continued

North Texas Tollway Auth. Rev.: - continued

Series 2008 I, 0% 1/1/42 (Assured Guaranty Corp. Insured) (a)

$ 1,700,000

$ 2,055,300

Series 2009 A, 6.25% 1/1/39

3,000,000

3,477,300

Series 2011 A:

5.5% 9/1/41

5,370,000

6,260,883

6% 9/1/41

2,100,000

2,548,014

Series 2011 D, 5% 9/1/28

4,700,000

5,451,812

Prosper Independent School District Series 2007, 5.375% 8/15/33

2,400,000

2,634,816

Rockdale Independent School District:

Series 2007 A, 5.25% 2/15/37 (Pre-Refunded to 2/15/16 @ 100)

220,000

234,082

5.25% 2/15/37

580,000

609,157

Sam Rayburn Muni. Pwr. Agcy. Series 2012, 5% 10/1/18

600,000

685,248

San Antonio Elec. & Gas Sys. Rev.:

Series 2008, 5% 2/1/24

1,000,000

1,114,930

Series 2012, 5.25% 2/1/25

1,600,000

2,021,680

San Antonio Wtr. Sys. Rev. Series 2012:

5% 5/15/25

3,540,000

4,175,749

5% 5/15/26

7,000,000

8,241,310

San Jacinto Cmnty. College District Series 2009, 5% 2/15/39

1,605,000

1,795,818

Seminole Independent School District Series A, 5% 2/15/21

3,200,000

3,505,024

Spring Branch Independent School District Series 2008, 5.25% 2/1/38

1,000,000

1,079,700

Tarrant County Cultural Ed. Facilities Fin. Corp. Hosp. Rev.:

(Baylor Health Care Sys. Proj.) Series 2009, 5.75% 11/15/24

1,800,000

2,078,820

(Scott & White Healthcare Proj.) Series 2013 A, 4% 8/15/43

1,005,000

1,015,341

Tarrant County Cultural Ed. Facilities Fin. Corp. Retirement Facility Rev. (Buckner Retirement Svcs. Proj.) 5% 11/15/15

1,000,000

1,032,960

Tarrant County Cultural Ed. Facilities Fin. Corp. Rev. 5% 2/15/16

4,500,000

4,769,505

Texas Gen. Oblig.:

Series 2006 A, 5% 4/1/29

1,020,000

1,112,137

4.75% 4/1/35 (Pre-Refunded to 4/1/15 @ 100)

2,375,000

2,419,959

4.75% 4/1/35 (Pre-Refunded to 4/1/15 @ 100)

55,000

56,019

Municipal Bonds - continued

 

Principal Amount

Value

Texas - continued

Texas Gen. Oblig.: - continued

5% 4/1/25

$ 1,370,000

$ 1,555,484

5% 4/1/25 (Pre-Refunded to 4/1/18 @ 100)

130,000

148,448

Texas Muni. Pwr. Agcy. Rev.:

0% 9/1/15 (Nat'l. Pub. Fin. Guarantee Corp. Insured)

2,340,000

2,333,846

0% 9/1/16 (Escrowed to Maturity)

15,000

14,872

0% 9/1/16 (Nat'l. Pub. Fin. Guarantee Corp. Insured)

5,045,000

4,990,211

Texas Private Activity Bond Surface Trans. Corp.:

(LBJ Infrastructure Group LLC IH-635 Managed Lanes Proj.) Series 2010, 7% 6/30/40

2,100,000

2,516,745

(NTE Mobility Partners LLC North Tarrant Express Managed Lanes Proj.) Series 2009, 6.875% 12/31/39

3,800,000

4,476,438

Texas Trans. Commission Central Texas Tpk. Sys. Rev. Bonds Series 2012 B, 1.25%, tender 2/15/15 (d)

1,200,000

1,202,724

Texas Trans. Commission State Hwy. Fund Rev. Series 2007:

5% 4/1/25

1,200,000

1,316,508

5% 4/1/26

1,525,000

1,671,141

Texas Wtr. Dev. Board Rev. Series 2008 B, 5.25% 7/15/23

1,000,000

1,117,800

Univ. of Texas Board of Regents Sys. Rev. Series 2007 F, 4.75% 8/15/27

2,085,000

2,245,399

Waller Independent School District 5.5% 2/15/33

5,100,000

5,656,563

 

273,663,766

Utah - 0.1%

Utah Associated Muni. Pwr. Sys. Rev. Series 2012 A, 5% 9/1/25

1,680,000

1,931,597

Utah Transit Auth. Sales Tax Rev. Series 2008 A, 5.25% 6/15/38

1,785,000

1,988,079

 

3,919,676

Vermont - 0.2%

Vermont Edl. & Health Bldg. Fin. Agcy. Rev. (Fletcher Allen Health Care Proj.) Series 2004 B, 5.5% 12/1/28 (FSA Insured)

3,900,000

4,214,106

Virginia - 0.1%

Fredericksburg Econ. Dev. Auth. Rev. 5% 6/15/26

1,960,000

2,234,184

Washington - 2.5%

Chelan County Pub. Util. District #1 Columbia River-Rock Island Hydro-Elec. Sys. Rev. Series A, 0% 6/1/28 (Nat'l. Pub. Fin. Guarantee Corp. Insured)

1,200,000

796,788

Municipal Bonds - continued

 

Principal Amount

Value

Washington - continued

Grant County Pub. Util. District #2 Wanapum Hydro Elec. Rev. Series 2005 A:

5% 1/1/18 (Pre-Refunded to 1/1/15 @ 100)

$ 135,000

$ 136,022

5% 1/1/18 (Pre-Refunded to 1/1/15 @ 100)

960,000

966,653

Kent Spl. Events Ctr. Pub. Facilities District Rev. Series 2008, 5.25% 12/1/32 (FSA Insured)

3,000,000

3,300,690

King County Swr. Rev.:

Series 2008, 5.75% 1/1/43

7,700,000

8,684,368

Series 2009, 5.25% 1/1/42

1,000,000

1,125,970

Spokane Pub. Facilities District Hotel/Motel Tax & Sales/Use Tax Rev. Series 2013 B, 5% 12/1/26

3,880,000

4,532,888

Tobacco Settlement Auth. Rev. Series 2013, 5% 6/1/22

3,500,000

4,073,930

Washington Gen. Oblig.:

Series 1999 S2, 0% 1/1/19 (FSA Insured)

10,000,000

9,522,800

Series 2006 A, 5% 7/1/24 (Pre-Refunded to 7/1/15 @ 100)

1,595,000

1,645,450

Series B, 5% 7/1/28 (Pre-Refunded to 7/1/15 @ 100)

1,000,000

1,031,970

Series C, 0% 6/1/21 (AMBAC Insured)

5,000,000

4,421,400

Washington Health Care Facilities Auth. Rev.:

(Catholic Health Initiatives Proj.) Series 2008 D, 6.375% 10/1/36

7,000,000

8,211,140

(MultiCare Health Sys. Proj.):

Series 2008 B, 6% 8/15/39 (Assured Guaranty Corp. Insured)

1,500,000

1,777,305

Series 2010 A, 5.25% 8/15/20

2,325,000

2,692,885

(Overlake Hosp. Med. Ctr. Proj.) Series 2010, 5.5% 7/1/30

3,800,000

4,275,912

(Providence Health Systems Proj.):

Series 2006 D, 5.25% 10/1/33

1,500,000

1,672,500

Series 2012 A, 5% 10/1/24

6,700,000

7,910,422

(Seattle Children's Hosp. Proj.) Series 2009, 5.625% 10/1/38

2,200,000

2,519,858

 

69,298,951

West Virginia - 0.3%

West Virginia Hosp. Fin. Auth. Hosp. Rev.:

(West Virginia United Health Sys. Proj.) Series 2008 E, 5.625% 6/1/35

1,300,000

1,462,773

(West Virginia Univ. Hospitals, Inc. Proj.) Series 2003 D, 5.5% 6/1/33 (FSA Insured)

1,000,000

1,080,000

Municipal Bonds - continued

 

Principal Amount

Value

West Virginia - continued

West Virginia Univ. Revs. (West Virginia Univ. Projs.) Series 2014 A:

4% 10/1/44

$ 1,500,000

$ 1,540,755

5% 10/1/44

2,900,000

3,282,162

 

7,365,690

Wisconsin - 0.5%

Evansville Cmnty. School District 5% 4/1/16 (FSA Insured)

1,000,000

1,063,240

Wisconsin Health & Edl. Facilities Auth. Rev.:

(Agnesian HealthCare, Inc. Proj.):

Series 2010:

5.5% 7/1/40

1,000,000

1,089,980

5.75% 7/1/30

1,000,000

1,122,670

Series 2013 B:

5% 7/1/26

750,000

854,370

5% 7/1/36

1,900,000

2,062,374

(Children's Hosp. of Wisconsin Proj.) Series 2008 A, 5.25% 8/15/23

2,000,000

2,257,100

(Marshfield Clinic Proj.) Series A, 5.375% 2/15/34

1,000,000

1,042,210

Series 2012:

5% 10/1/24

1,400,000

1,636,502

5% 8/15/32

1,000,000

1,127,430

5% 6/1/39

390,000

424,281

 

12,680,157

Wyoming - 0.1%

Campbell County Solid Waste Facilities Rev. (Basin Elec. Pwr. Coop. - Dry Fork Station Facilities Proj.) Series 2009 A, 5.75% 7/15/39

2,600,000

2,905,968

TOTAL MUNICIPAL BONDS

(Cost $2,351,014,241)


2,542,870,534

Municipal Notes - 0.2%

Principal Amount

Value

Kentucky - 0.2%

Kentucky Pub. Trans. BAN Series 2013 A, 5% 7/1/17
(Cost $3,866,680)

$ 3,600,000

$ 3,983,400

TOTAL INVESTMENT PORTFOLIO - 92.3%

(Cost $2,354,880,921)

2,546,853,934

NET OTHER ASSETS (LIABILITIES) - 7.7%

213,960,235

NET ASSETS - 100%

$ 2,760,814,169

Security Type Abbreviations

BAN

-

BOND ANTICIPATION NOTE

Legend

(a) Security initially issued in zero coupon form which converts to coupon form at a specified rate and date. The rate shown is the rate at period end.

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

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

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

Other Information

All investments are categorized as Level 2 under the Fair Value Hierarchy. 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, please refer to the Investment Valuation section at the end of this listing.

Income Tax Information

At October 31, 2014, the cost of investment securities for income tax purposes was $2,355,059,653. Net unrealized appreciation aggregated $191,794,281, of which $195,457,555 related to appreciated investment securities and $3,663,274 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. In accordance with valuation policies and procedures approved by the Board of Trustees (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 Fidelity Management & Research Company (FMR) Fair Value Committee (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 is responsible for approving and reporting to the Board all fair value determinations. 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. Municipal securities 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.

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

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:

December 30, 2014

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:

December 30, 2014

By:

/s/Howard J. Galligan III

 

Howard J. Galligan III

 

Chief Financial Officer

 

 

Date:

December 30, 2014